UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-23325
SIX CIRCLES TRUST
On behalf of the following series:
Six Circles U.S. Unconstrained Equity Fund
Six Circles International Unconstrained Equity Fund
Six Circles Tax Aware Ultra Short Duration Fund
Six Circles Ultra Short Duration Fund
Six Circles Managed Equity Portfolio U.S. Unconstrained Fund
Six Circles Managed Equity Portfolio International Unconstrained Fund
Six Circles Global Bond Fund
Six Circles Tax Aware Bond Fund
Six Circles Credit Opportunities Fund
383 Madison Avenue
New York, NY 10179
(Address of principal executive offices) (Zip Code)
The Corporation Trust Company
1209 Orange Street
Wilmington, DE 19801
(Name and address of agent for service)
Registrant’s telephone number, including area code: (212) 270-6000
Date of fiscal year end: December 31
Date of reporting period: June 30, 2023
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Report to Stockholders.
Semi-Annual Report
SIX CIRCLES® FUNDS
June 30, 2023
Six Circles Ultra Short Duration Fund
Six Circles Tax Aware Ultra Short Duration Fund
Six Circles U.S. Unconstrained Equity Fund
Six Circles International Unconstrained Equity Fund
Six Circles Global Bond Fund
Six Circles Tax Aware Bond Fund
Six Circles Credit Opportunities Fund
CONTENTS
Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.
For more complete information about the Funds, including the Funds’ objectives, risks, charges and expenses, call your J.P. Morgan representative or call 1-212-464-2070 or go to www.sixcirclesfunds.com for a prospectus. Read the prospectus carefully. An investment in these Funds and any other Fund is not designed to be a complete investment program. The Funds are NOT designed to be used as stand-alone investments.
PRESIDENT’S LETTER
June 30, 2023 (Unaudited)
Dear Shareholder,
We hope this letter finds you well.
Markets proved resilient in the first half of 2023 on top of positive economic news, including falling inflation and growing consumer sentiment. Recession fears appeared to diminish, even if they did not totally disappear. Against this backdrop, equity markets rallied, with U.S. stocks leading the way.
The Six Circles Funds are designed to help our discretionary portfolios navigate through changing markets, by giving us the flexibility to target key themes and high conviction ideas. On the following pages, we provide detailed discussions on the strategies we implemented in each of the Six Circles Funds during the review period, and how they performed.
As a reminder, the Six Circles Funds are not meant to be standalone investments. They are purposefully constructed as com-
pletion funds and, as such, we believe they should be reviewed and evaluated within the context of your broader portfolio for a complete picture of their performance.
I hope you find the information on these pages to be informative and helpful. If you should have any questions about the Funds, you can contact your J.P. Morgan team, visit the Fund’s website at www.sixcirclesfunds.com, or call us at 212-464-2070.
Sincerely,
Mary Savino
President, Six Circles Funds
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| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 1 |
Market Overview
As Of June 30, 2023 (Unaudited)
Year-to-date June 2023, equities outperformed global bond and cash markets, with the MSCI USA Index, MSCI World ex-USA Index, MSCI Emerging Markets Index and MSCI World Index up 17.13%, 11.29%, 4.89% and 15.43% during the period, respectively. Whereas, Bloomberg 1-3 Month U.S. Treasury Bills Index and the Bloomberg Global-Aggregate Index - Hedged USD returned 2.33% and 2.96% respectively.
To slow down inflation, the Fed hiked rates by 5% since the start of 2022. Economic growth slowed on the back of the significant tightening of financial conditions with parts of the economy, like smaller U.S. banks, showing signs of stress. This further increased the odds of a recession. However, even if a recession occurs, we believe that equities and fixed income may generate positive returns over the next 12 months.
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| 2 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
Six Circles Ultra Short Duration Fund
FUND COMMENTARY
Period January 1, 2023 Through June 30, 2023 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN | |
| Fund* | | | 2.55% | |
| Bloomberg 1-3 Month U.S. Treasury Bill Index | | | 2.33% | |
| |
| Net Assets as of 06/30/2023 (In Thousands) | | $ | 580,581 | |
| Duration | | | 0.56 years | |
INVESTMENT OBJECTIVES AND STRATEGY**
Six Circles Ultra Short Duration Fund (the “Fund”) seeks to generate current income consistent with capital preservation. The Fund mainly invests in U.S. dollar and non-U.S. dollar denominated investment grade short-term fixed and floating rate debt securities. The Fund allocates assets among securities with various maturities which, under normal market conditions, will not exceed an average effective portfolio duration of two years.
INVESTMENT APPROACH
J.P. Morgan Private Investments Inc., the Fund’s investment adviser (“JPMPI” or the “Adviser”) constructs the Fund’s portfolios by allocating the Fund’s assets among investment strategies managed by one or more sub-advisers retained by the Adviser (each a “Sub-Adviser”).
The Adviser currently engages the following Sub-Advisers:
| • | | Goldman Sachs Asset Management, L.P. (“Goldman”)(a) |
| • | | BlackRock Investment Management, LLC (“BlackRock”) |
| • | | Pacific Investment Management Company LLC (“PIMCO”) |
| (a) | During the reporting period, the Adviser did not allocate Fund assets to Goldman. |
The Adviser may adjust allocations to the Sub-Advisers at any time or make recommendations to the Board of Trustees of the Six Circles Trust (the “Board”) with respect to the hiring, termination or replacement of a Sub-Adviser. As such, the identity of the Fund’s Sub-Advisers, the investment strategies they pursue and the portion of the Fund allocated to them, may change over time.
The Fund is specifically designed to serve as a completion portfolio and accomplish particular goals within discretionary portfolios managed by JPMPI or its affiliates (the “Portfolios”). The Adviser utilizes the Fund to express targeted investment views, while taking into consideration positions held at the aggregate level in the broader Portfolios. As such, the Fund’s allocations and performance should be evaluated in the context of the broader Portfolios and not on a standalone basis.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
During the period of January 1, 2023 through June 30, 2023 (the “reporting period”), the Fund posted a positive return on
an absolute basis, and outperformed relative to the Bloomberg 1-3 Month U.S. Treasury Bill Index (the “Index”). References to the Index are for informational purposes. The use of the Index does not imply the Fund is being managed to the Index, but rather is disclosed to allow for comparison of the Fund’s performance to that of a well-known and widely recognized Index.
By sector composition, Investment Grade Credit and Securitized Credit comprised approximately 81% of the Fund’s exposure on a look-through basis at the end of the reporting period and were the Fund’s largest sector overweights relative to the Index. During the reporting period, both sectors contributed to the Fund’s performance on an absolute basis, as well as relative to the Index.
The Fund’s exposure to Government Bonds was the Fund’s largest sector underweight relative to the Index and comprised approximately 13% of the Fund’s exposure on a look-through basis at the end of the reporting period. During the reporting period, the sector contributed to the Fund’s performance on an absolute basis, as well as relative to the Index.
On an allocation level, the Fund’s allocations to Core Ultra Short and Global Markets strategies contributed to the Fund’s return on an absolute basis.
HOW WAS THE FUND POSITIONED?
At the end of the reporting period the Fund was allocated to two Sub-Advisers as follows.
| | | | |
| PORTFOLIO ALLOCATION*** | |
| Core Ultra Short (BlackRock) | | | 70 | % |
| Global Markets (PIMCO) | | | 30 | |
| * | | The return shown is based on the net asset value calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at June 30, 2023 for financial reporting purposes, and as a result, the net asset value for shareholder transactions and the total return based on that net asset value may differ from the adjusted net assets and the total return for financial reporting. |
| ** | | The Adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | | Percentages are based on total investments as of June 30, 2023. The portfolio allocation is subject to change. |
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| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 3 |
Six Circles Ultra Short Duration Fund
FUND COMMENTARY
Period January 1, 2023 Through June 30, 2023 (Unaudited) (continued)
Within the fixed income allocation on the broader Portfolio level, the Adviser prefers high-quality liquid investments combined with flexibility to implement opportunistic ideas across fixed income markets. The majority of the Fund’s assets were invested into the more liquid segments of the fixed income market, with approximately 97% of the Fund invested in instruments with maturities of three years and under as of June 30, 2023.
The Adviser allocates to the two Sub-Advisers, with the expectation that the Sub-Advisers will capitalize on the opportunities present in the segment of the fixed income market that their specific mandate is focused on.
The Core Ultra Short allocation, which comprised approximately 70% of the Fund as of June 30, 2023, invests in a diversified fixed income portfolio on the shorter end of the U.S. fixed income market, balancing income against credit quality, within the context of the broader Portfolios.
The Global Markets allocation, which comprised approximately 30% of the Fund as of June 30, 2023, has a broad investment universe, seeking total return opportunities within the global fixed income markets.
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AVERAGE ANNUAL TOTAL RETURNS
AS OF JUNE 30, 2023 | |
| | | | | | 6 Months* | | | 1 Year | | | Since
Inception
(July 9, 2018) | |
| Six Circles Ultra Short Duration Fund | | | | | | | 2.55 | % | | | 3.65 | % | | | 1.66 | % |
GROWTH OF $10,000 REPORT (07/9/2018 TO 06/30/2023)
| 1) | Presented percentages may not sum to 100% due to rounding to the nearest percent. The above Sector allocation uses The Global Industry Classification Standard (GICS®) and may differ from categories listed within the Schedule of Investments. |
| 2) | 0.26% of the amount shown in the Fund’s “Cash” line item reflects the mark-to-market value of the Fund’s derivative positions. |
The allocation of the various strategies employed by the Fund may shift and therefore, the performance shown may not be a true indication of how the Fund may perform going forward. Performance quoted is past performance and is no guarantee of future results. Investment returns and principal value will fluctuate, so shares, when sold, may be worth more or less than original cost. Current performance may be higher or lower than returns shown. As of the latest prospectus, the gross and net expense ratios for the Fund were 0.32% and 0.19% respectively. Contact your J.P. Morgan representative or call 1-212-464-2070 for the most recent month-end performance.
The Fund commenced operations on July 9, 2018.
The graph illustrates comparative performance for $10,000 invested in the Six Circles Ultra Short Duration Fund and the Bloomberg 1-3 Month U.S. Treasury Bill Index from July 9, 2018 to June 30, 2023. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg 1-3 Month U.S. Treasury Bill Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable.
The Bloomberg 1-3 Month U.S. Treasury Bill Index measures the performance of public obligations of the U.S. Treasury that have a remaining maturity of greater than or equal to 1 month and less than 3 months. Investors cannot invest directly in an index.
Fund performance may reflect the waiver of the Fund’s fees and/or reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or redemptions or sales of Fund shares.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by JP MORGAN CHASE BANK NA. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability and fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
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| 4 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
Six Circles Tax Aware Ultra Short Duration Fund
FUND COMMENTARY
Period January 1, 2023 Through June 30, 2023 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN | |
| Fund* | | | 1.47% | |
| iMoneyNet Tax-Free National Institutional Money Market Index | | | 1.42% | |
| |
| Net Assets as of 06/30/2023 (In Thousands) | | $ | 692,279 | |
| Duration | | | 0.60 years | |
INVESTMENT OBJECTIVES AND STRATEGY**
Six Circles Tax Aware Ultra Short Duration Fund (the “Fund”) seeks to generate current income consistent with capital preservation. The Fund invests at least 50% of its net assets in municipal securities, the income from which is exempt from federal income tax1). The Fund also may invest in taxable instruments. The Fund allocates assets among securities with various maturities which, under normal market conditions, will not exceed an average effective portfolio duration of two years.
INVESTMENT APPROACH
J.P. Morgan Private Investments Inc., the Fund’s investment adviser (“JPMPI” or the “Adviser”) constructs the Fund’s portfolios by allocating the Fund’s assets among investment strategies managed by one or more sub-advisers retained by the Adviser (each a “Sub-Adviser”).
The Adviser currently engages the following Sub-Advisers:
| • | | Goldman Sachs Asset Management, L.P. (“Goldman”)(a) |
| • | | Insight North America LLC (“Insight”) |
| • | | Pacific Investment Management Company LLC (“PIMCO”) |
| (a) | During the reporting period, the Adviser did not allocate Fund assets to Goldman. |
The Adviser may adjust allocations to the Sub-Advisers at any time or make recommendations to the Board of Trustees of the Six Circles Trust (the “Board”) with respect to the hiring, termination or replacement of a Sub-Adviser. As such, the identity of the Fund’s Sub-Advisers, the investment strategies they pursue and the portion of the Fund allocated to them, may change over time.
The Fund is specifically designed to serve as a completion portfolio and accomplish particular goals within discretionary portfolios managed by JPMPI or its affiliates (the “Portfolios”). The Adviser utilizes the Fund to express targeted investment views, while taking into consideration positions held at the aggregate level in the broader Portfolios. As such, the Fund’s allocations and performance should be evaluated in the context of the broader Portfolios and not on a standalone basis.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
During the period of January 1, 2023 through June 30, 2023 (the “reporting period”), the Fund posted a positive return on
an absolute basis, and outperformed relative to the iMoneyNet Tax-Free National Institutional Money Market Index (the “Index”). References to the Index are for informational purposes. The use of the Index does not imply the Fund is being managed to the Index, but rather is disclosed to allow for comparison of the Fund’s performance to that of a well-known and widely recognized Index.
By sector composition, Municipal Bonds and Investment Grade Credit were the largest sector exposures in the Fund on a look-through basis and comprised approximately 64% and 15% of the Fund, respectively, at the end of the reporting period. Both exposures contributed to the Fund’s performance on an absolute basis, whereas relative to the Index, Investment Grade Credit contributed while Municipal Bonds detracted from the Fund’s performance.
On allocation level, the Fund’s allocations to both Core Municipal Ultra Short and Global Markets strategies contributed to the Fund’s return on an absolute basis.
HOW WAS THE FUND POSITIONED?
At the end of the reporting period the Fund was allocated to two Sub-Advisers as follows.
| | | | |
| PORTFOLIO ALLOCATION*** | |
| Core Municipal Ultra Short (Insight) | | | 70 | % |
| Global Markets (PIMCO) | | | 30 | |
| * | | The return shown is based on the net asset value calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at June 30, 2023 for financial reporting purposes, and as a result, the net asset value for shareholder transactions and the total return based on that net asset value may differ from the adjusted net assets and the total return for financial reporting. |
| ** | | The Adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | | Percentages are based on total investments as of June 30, 2023. The portfolio allocation is subject to change. |
| 1) | | Interest on Municipal securities is exempt from federal income tax however interest on certain bonds may be subject to the federal alternative minimum tax for individuals. |
Within the fixed income allocation on the broader Portfolio level, the Adviser prefers high-quality liquid investments combined with flexibility to implement opportunistic ideas across
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| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 5 |
Six Circles Tax Aware Ultra Short Duration Fund
FUND COMMENTARY
Period January 1, 2023 Through June 30, 2023 (Unaudited) (continued)
fixed income markets. The majority of the Fund’s assets were invested into the more liquid segments of the fixed income market, with approximately 98% of the Fund invested in instruments with maturities of three years and under as of June 30, 2023.
The Adviser allocates to the two Sub-Advisers, with the expectation that the Sub-Advisers will capitalize on the opportunities present in the segment of the fixed income market that their specific mandate is focused on.
The Core Municipal Ultra Short allocation, which comprised approximately 70% of the Fund as of June 30, 2023, invests in a diversified fixed income portfolio on the shorter end of the U.S. municipal fixed income market, balancing income against credit quality, within the context of the broader Portfolio.
The Global Markets allocation, which comprised approximately 30% of the Fund as of June 30, 2023, has a broad investment universe, seeking total return opportunities within the global taxable fixed income markets.
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AVERAGE ANNUAL TOTAL RETURNS
AS OF JUNE 30, 2023 | |
| | | 6 Months* | | | 1 Year | | | Since
Inception
(July 9, 2018) | |
| Six Circles Tax Aware Ultra Short Duration Fund | | | 1.47 | % | | | 1.96 | % | | | 1.09 | % |
GROWTH OF $10,000 REPORT (07/9/2018 TO 06/30/2023)
| 1) | Presented percentages may not sum to 100% due to rounding to the nearest percent. The above Sector allocation uses The Global Industry Classification Standard (GICS®) and may differ from categories listed within the Schedule of Investments. |
| 2) | 0.06% of the amount shown in the Fund’s “Cash” line item reflects the mark-to-market value of the Funds derivative positions. |
The allocation of the various strategies employed by the Fund may shift and therefore, the performance shown may not be a true indication of how the Fund may perform going forward. Performance quoted is past performance and is no guarantee of future results. Investment returns and principal value will fluctuate, so shares, when sold, may be worth more or less than original cost. Current performance may be higher or lower than returns shown. As of the latest prospectus, the gross and net expense ratios for the Fund were 0.31% and 0.15% respectively. Contact your J.P. Morgan representative or call 1-212-464-2070 for the most recent month-end performance.
The Fund commenced operations on July 9, 2018.
The graph illustrates comparative performance for $10,000 invested in the Six Circles Tax Aware Ultra Short Duration Fund and the iMoneyNet Tax-Free National Institutional Money Market Index from July 9, 2018 to June 30, 2023. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. Although the performance of the iMoneyNet Tax-Free National Institutional Money Market Index reflects returns of constituent mutual funds net of expenses, the index itself is unmanaged and no expenses are deducted at the index level. The performance of the Index has also been adjusted to reflect reinvestment of all dividends and capital gain distributions of the mutual funds included in the Index, if applicable.
The iMoneyNet Tax-Free National Institutional Money Market Index is an average of all tax-free and municipal, U.S.-domiciled institutional and retail money market funds. Investors cannot invest directly in an index.
Fund performance may reflect the waiver of the Fund’s fees and/or reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or redemptions or sales of Fund shares.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by JP MORGAN CHASE BANK NA. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability and fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
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| 6 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
Six Circles U.S. Unconstrained Equity Fund
FUND COMMENTARY
Period January 1, 2023 Through June 30, 2023 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN | |
| Fund* | | | 18.92% | |
| MSCI USA Index | | | 17.13% | |
| |
| Net Assets as of 06/30/2023 (In Thousands) | | $ | 20,064,819 | |
INVESTMENT OBJECTIVES AND STRATEGY**
Six Circles U.S. Unconstrained Equity Fund (the “Fund”) seeks to provide capital appreciation. The Fund invests at least 80% of its net assets in equity securities issued by U.S. companies and other instruments with economic characteristics similar to equity securities issued by U.S. companies. The Fund is generally unconstrained by any particular capitalization, style or industry sector.
INVESTMENT APPROACH
J.P. Morgan Private Investments Inc., the Fund’s investment adviser (“JPMPI” or the “Adviser”), actively allocates the Fund’s investments among a range of Indexed investment strategies that are managed by the current sub-adviser, BlackRock Investment Management, LLC (the “Sub-Adviser” or “BlackRock”). For each Indexed investment strategy, the Sub-Adviser seeks to replicate the performance of an Index or sub-index selected by the Adviser. In addition to allocating and reallocating the Fund’s assets among one or more indexed investment strategies, the Adviser may also select securities of specific individual companies for the Fund to purchase or sell on an ongoing basis and the amount of the Fund’s assets to allocate to such securities. The Fund is specifically designed to serve as a completion portfolio and accomplish particular goals within discretionary portfolios managed by JPMPI or its affiliates (the “Portfolios”). The Adviser utilizes the Fund to express targeted investment views, while taking into consideration positions held at the aggregate level in the broader Portfolios. As such, the Fund’s allocations and performance should be evaluated in the context of the broader Portfolios and not on a standalone basis.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
During the period of January 1, 2023 through June 30, 2023 (the “reporting period”), the Fund posted a positive return on an absolute basis, and outperformed relative to the MSCI USA Index (the “Index”). References to the Index are for informational purposes. The use of the Index does not imply the Fund is being managed to the Index, but rather is disclosed to allow for comparison of the Fund’s performance to that of a well-known and widely recognized Index.
Health Care and Financials sectors comprised approximately 37% of the Fund’s sector exposure on a look-through basis at the end of the reporting period and were the Fund’s largest sector overweights relative to the Index. On an absolute basis and relative to the Index, both Health Care and Financials
detracted from the Fund’s performance.
Consumer Discretionary, Consumer Staples and Energy sectors comprised approximately 14% of the Fund’s sector exposure on a look-through basis at the end of the reporting period and were the Fund’s largest sector underweights relative to the Index. Relative to the Index, all three sectors contributed to the Fund’s performance. Additionally, Information Technology which comprised 28% of the Fund’s sector exposure on a look-through basis at the end of the reporting period was the biggest contributor to the Fund’s performance on an absolute basis and outperformed relative to the Index.
On an allocation level, the Fund’s allocation to U.S. Software was the largest contributor to the Fund’s return on an absolute basis, whereas U.S. Financials was the largest detractor to the Fund’s return on an absolute basis, during the reporting period.
HOW WAS THE FUND POSITIONED?
At the end of the reporting period, the Fund was allocated to thirteen strategies managed by one Sub-Adviser, across various sector and sub-industry exposures as follows.
| | | | |
| PORTFOLIO ALLOCATION*** | | | |
| USA | | | 30 | % |
| U.S. Financials | | | 14 | |
| U.S. Software | | | 9 | |
| U.S. Pharmaceuticals | | | 8 | |
| U.S. Technology Hardware Equipment | | | 7 | |
| U.S. Interactive Media & Services | | | 7 | |
| U.S. Managed Health Care | | | 5 | |
| U.S Broadline Retail | | | 5 | |
| U.S. Custom Equity Sleeve (JPMPI) | | | 4 | |
| U.S. Air & Freight | | | 4 | |
U.S. Semiconductors & Semiconductor Equipment | | | 3 | |
| Life Sciences Tools & Services | | | 3 | |
| U.S. Beverages | | | 1 | |
| * | | The return shown is based on the net asset value calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at June 30, 2023 for financial reporting purposes, and as a result, the net asset value for shareholder transactions and the total return based on that net asset value may differ from the adjusted net assets and the total return for financial reporting. |
| ** | | The Adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | | Percentages are based on total investments as of June 30, 2023. The portfolio allocation is subject to change. |
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| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 7 |
Six Circles U.S. Unconstrained Equity Fund
FUND COMMENTARY
Period January 1, 2023 Through June 30, 2023 (Unaudited) (continued)
Allocation to Broad USA comprised approximately 30% of the Fund as of June 30, 2023. Within the context of the broader Portfolios, the Adviser believes that an allocation to Broad USA provides the ability to tactically allocate to broad U.S. large cap exposure and use as a potential funding source for future targeted allocations.
Allocation to U.S. Software and U.S. Broadline Retail provides what the Adviser believes is a multi-year opportunity for the leaders in this space to take advantage of businesses shifting workloads onto Cloud-based platforms. These exposures collectively comprised approximately 14% of the Fund as of June 30, 2023.
Allocation to U.S. Financials comprised approximately 14% of the Fund as of June 30, 2023. The Adviser believes in capital adequacy and dividend sustainability in the sector and currently has conviction in the sector given compelling valuations and more realistic market expectations about potential credit costs and buybacks.
Allocation to U.S. Pharmaceuticals comprised approximately 8% of the Fund, as of June 30, 2023. The Adviser believes that pharmaceutical companies have strong fundamentals with attractive valuations in the current market.
Allocation to U.S. Technology, Hardware & Equipment allows the Adviser to access specific exposures within the Technology sector. The allocation comprised approximately 7% of the Fund as of June 30, 2023.
Allocation to U.S. Managed Health Care comprised approximately 5% of the Fund as of June 30, 2023. The Adviser believes that the allocation focuses on the intersection of Health Care and innovation, focusing on the four paradigm shifts within Health Care identified by the Adviser, including big data, advanced diagnostics, targeted therapies, and enhanced aging.
The Adviser believes that companies in the U.S. Air, Freight & Logistics sector may have the potential to improve free cash flow generation after having underperformed. This allocation comprised approximately 4% of the Fund as of June 30, 2023.
Allocation to the Custom Equity Sleeve was approximately 4% of the Fund as of June 30, 2023. This portion of the Fund’s investments is allocated to individual publicly traded large capitalization U.S. equity securities, selected by the Adviser. Securities included in the U.S. Custom Equity Sleeve may be represented by a variety of U.S. sectors, sub-sectors or industries and are selected for inclusion by the Adviser based on its investment analysis in order to assist with either portfolio construction, risk management, liquidity considerations, or a combination thereof.
Allocation to U.S. Interactive Media & Services focuses on companies engaged in content and information creation or distribution through proprietary platforms, where revenues are derived primarily through pay-per-click advertisements. This allocation was approximately 7% of the Fund as of June 30, 2023. The Adviser believes in the opportunities available in the cloud market and views this exposure as potential for continued strength in earnings growth.
Allocation to Life Sciences Tools & Services was approximately 3% of the Fund as of June 30, 2023. The Adviser believes that the sector is comprised of high quality and large cap companies with high potential for double digit earnings growth.
The Adviser believes that valuations for U.S. Semiconductors & Semiconductor Equipment companies are now more reasonable and provide an attractive entry point. This allocation comprised approximately 3% of the Fund as of June 30, 2023.
Allocation to U.S. Beverages was approximately 1% of the Fund’s exposure as of June 30, 2023 and reflects the Adviser’s belief that this industry is relatively defensive relative to the market. The Adviser believes that the major players of this sector are going through structural changes and as such may have the potential to improve free cash flow conversion.
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS
AS OF JUNE 30, 2023 | |
| | | 6 Months* | | | 1 Year | | | Since
Inception
(July 9, 2018) | |
| Six Circles U.S. Unconstrained Equity Fund | | | 18.92 | % | | | 17.28 | % | | | 12.18 | % |
GROWTH OF $10,000 REPORT (07/9/2018 TO 06/30/2023)
| | | | | | | | | | |
| | | | | |
| 8 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| 1) | Presented percentages may not sum to 100% due to rounding to the nearest percent. Cash and mark-to-market value on derivatives contracts represent less than 0.5%. The above Sector allocation uses The Global Industry Classification Standard (GICS®) and may differ from categories listed within the Schedule of Investments. |
The allocation of the various strategies employed by the Fund may shift and therefore, the performance shown may not be a true indication of how the Fund may perform going forward. Performance quoted is past performance and is no guarantee of future results. Investment returns and principal value will fluctuate, so shares, when sold, may be worth more or less than original cost. Current performance may be higher or lower than returns shown. As of the latest prospectus, the gross and net expense ratios for the Fund were 0.27% and 0.06% respectively. Contact your J.P. Morgan representative or call 1-212-464-2070 for the most recent month-end performance.
The Fund commenced operations on July 9, 2018.
The graph illustrates comparative performance for $10,000 invested in the Six Circles U.S. Unconstrained Equity Fund and the MSCI USA Index from July 9, 2018 to June 30, 2023. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the MSCI USA Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the secu rities included in the Index, if applicable.
The MSCI USA Index is designed to measure the performance of the large and mid-cap segments of the U.S. market. With 627 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in the United States. Investors cannot invest directly in an index.
Fund performance may reflect the waiver of the Fund’s fees and/or reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or redemptions or sales of Fund shares.
The MSCI information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used as a basis for or a component of any financial instruments or products or indices. None of the MSCI information is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. Historical data and analysis should not be taken as an indication or guarantee of any future performance analysis, forecast or prediction. The MSCI information is provided on an “as is” basis and the user of this information assumes the entire risk of any use made of this information. MSCI, each of its affiliates and each other person involved in or related to compiling, computing or creating any MSCI information (collectively, the “MSCI Parties”) expressly disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect this information. Without limiting any of the foregoing, in no event shall any MSCI Party have any liability for any direct, indirect, special, incidental, punitive, consequential (including, without limitation, lost profits) or any other damages. (www.msci.com)
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by JP MORGAN CHASE BANK NA. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability and fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
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| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 9 |
Six Circles International Unconstrained Equity Fund
FUND COMMENTARY
Period January 1, 2023 Through June 30, 2023 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN | |
| Fund* | | | 13.76% | |
| MSCI World ex-USA Index | | | 11.29% | |
| |
| Net Assets as of 06/30/2023 (In Thousands) | | $ | 13,191,125 | |
INVESTMENT OBJECTIVES AND STRATEGY**
Six Circles International Unconstrained Equity Fund (the “Fund”) seeks to provide capital appreciation. The Fund invests at least 80% of its net assets in equity securities and other instruments with economic characteristics similar to equity securities. The Fund primarily invests in the equity securities of non-U.S. companies and is generally unconstrained by any particular capitalization, style or sector or non-U.S. country.
INVESTMENT APPROACH
J.P. Morgan Private Investments Inc., the Fund’s investment adviser (“JPMPI” or the “Adviser”), actively allocates the Fund’s investments among a range of Indexed investment strategies that are managed by the current sub-adviser, BlackRock Investment Management, LLC (the “Sub-Adviser” or “BlackRock”). For each Indexed investment strategy, the Sub-Adviser seeks to replicate the performance of an Index or sub-index selected by the Adviser. The Fund is specifically designed to serve as a completion portfolio and accomplish particular goals within discretionary portfolios managed by JPMPI or its affiliates (the “Portfolios”). The Adviser utilizes the Fund to express targeted investment views, while taking into consideration positions held at the aggregate level in the Portfolios. As such, the Fund’s allocations and performance should be evaluated in the context of the broader Portfolios and not on a standalone basis.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
During the period of January 1, 2023 through June 30, 2023 (the “reporting period”), the Fund posted a positive return on an absolute basis, and outperformed the MSCI World ex USA Index (the “Index”). References to the Index are for informational purposes. The use of the Index does not imply the Fund is being managed to the Index, but rather is disclosed to allow for comparison of the Fund’s performance to that of a well-known and widely recognized Index.
Information Technology, Consumer Staples and Energy sectors comprised approximately 45% of the Fund’s sector exposure on a look-through basis at the end of the reporting period and were the Fund’s largest sector overweights relative to the Index. All three sectors contributed to the Fund’s performance on an absolute basis. Relative to the Index, Consumer Staples and Energy detracted while Information Technology contributed to the Fund’s performance.
Industrials, Financials and Materials sectors comprised approximately 30% of the Fund’s sector exposure on a look-through basis at the end of the reporting period and were the Fund’s largest sector underweights relative to the Index. Financials & Industrials contributed to the Fund’s performance on an absolute basis, while Materials detracted. Relative to the Index, Financials and Materials contributed to the Fund’s performance, while Industrials detracted. The Fund’s exposure to the Consumer Discretionary sector on a look-through basis was approximately 10% and was a slight underweight relative to the Index. However, this sector was the largest contributor to Fund performance on an absolute basis and outperformed relative to the Index.
On an allocation level, Europe Textile Luxury Goods, which is part of the Consumer Discretionary sector, was the largest contributor to the Fund’s performance on an absolute basis, while the allocation to Europe Financials was the largest detractor from the Fund’s return on an absolute basis during the reporting period.
HOW WAS THE FUND POSITIONED?
At the end of the reporting period, the Fund was allocated to fifteen strategies managed by one Sub-Adviser, across various sector and sub-industry exposures as follows.
| | | | |
| PORTFOLIO ALLOCATION*** | | | |
| Europe ex-UK | | | 23 | % |
| Europe Financials | | | 10 | |
| Broad UK | | | 9 | |
| Europe Integrated Oil & Gas | | | 8 | |
| Switzerland Food Products | | | 8 | |
| Europe Semiconductor & Semiconductor Equipment | | | 7 | |
| Europe Industrials | | | 6 | |
| Europe Textile Luxury Goods | | | 6 | |
| Europe Beverage | | | 6 | |
| Europe Pharmaceuticals | | | 5 | |
| Germany Application Software | | | 4 | |
| Japan | | | 4 | |
Taiwan Semiconductors & Semiconductor Equipment | | | 2 | |
| Europe ex-UK Utilities | | | 1 | |
Korea Technology, Hardware, Storage & Peripherals | | | 1 | |
| * | | The return shown is based on the net asset value calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at June 30, 2023 for financial reporting purposes, and as a result, the net asset value for shareholder transactions and the total return based on that net asset value may differ from the adjusted net assets and the total return for financial reporting. |
| | | | | | | | | | |
| | | | | |
| 10 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| ** | | The Adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | | Percentages are based on total investments as of June 30, 2023. The portfolio allocation is subject to change. |
Allocation to Europe ex-UK comprised approximately 23% of the Fund as of June 30, 2023. Within the context of the broader Portfolios, the Adviser believes that this is a defensive position, and the exposure to renewable energy helps diversify against European Energy positions and provides a growth dynamic to the sector, while trading at reasonable valuations.
Allocation to Europe Financials was approximately 10% of the Fund as of June 30, 2023. The Adviser currently has conviction in this sector due to improved capital levels and believes that Financials can directly benefit from higher inflation and interest rates through higher lending costs and better net interest margin.
Allocation to Broad UK comprised approximately 9% of the Fund as of June 30, 2023. Within the context of the broader Portfolios, the Adviser believes that the allocation provides exposure to a more cyclical European market that has clarity as COVID-19 subsides.
Allocation to Switzerland Food Products was approximately 8% of the Fund as of June 30, 2023, and serves as a defensive position, allowing the Adviser access to mainly large cap companies.
Allocation to Europe Integrated Oil & Gas was approximately 8% of the Fund as of June 30, 2023. The Adviser believes that the sector provides exposure to a cyclical industry that could take advantage of the early cycle environment.
The Adviser believes that companies within the Europe Semiconductors sector have reasonable valuations making the exposure attractive, as it believes that the demand for semiconductors and semiconductor equipment may increase following the theme of electrification. The sector comprised approximately 7% of the Fund as of June 30, 2023.
Europe accounts for a large portion of the beverage industry’s demand and many European Beverage companies struggled in 2022, however, the Adviser believes that allocation to Europe Beverage could perform well as the China reopening provides strong headwinds to the demand. This allocation comprised approximately 6% of the Fund as of June 30, 2023.
Allocation to Europe Industrials was approximately 6% of the Fund as of June 30, 2023. The Adviser believes that the Industrials sector is built on cyclical exposures that could benefit from economic recovery and growth.
Allocation to Europe Textile Luxury Goods was approximately 6% of the Fund as of June 30, 2023. The Adviser believes that the sector provides cyclical exposures in Europe that could benefit from economic recovery and growth.
Allocation to Europe Pharmaceuticals comprised approximately 5% of the Fund as of June 30, 2023 and provides what the Adviser believes to be a defensive exposure with attractive fundamentals and valuations, within the context of the broader Portfolios.
The Adviser believes that the allocation to Broad Japan provides exposure to high quality Japanese companies with evolving business models. The allocation was approximately 4% of the Fund as of June 30, 2023
Allocation to Germany Application Software was approximately 4% of the Fund as of June 30, 2023. German Investable Markets Index is primarily made up of SAP, a company the Adviser believes that the market is currently underappreciating given its cloud transition, value of defensive cashflows, and positive business model changes.
The Adviser believes that the allocation to Korea Technology Hardware, Storage and Peripherals provides exposure to a strong player within the global technology supply chain. The allocation was approximately 1% of the Fund as of June 30, 2023.
The Adviser believes that allocation to Europe ex-UK Utilities serves as a defensive position with exposure to renewable energy, which helps diversify against European Energy positions and provides a growth dynamic to the sector. This allocation was approximately 1% of the Fund as of June 30, 2023.
Allocation to Taiwan Semiconductors was approximately 2% of the Fund as of June 30, 2023.
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS
AS OF JUNE 30, 2023 | |
| | | 6 Months* | | | 1 Year | | | Since
Inception
(July 9, 2018) | |
| Six Circles International Unconstrained Equity Fund | | | 13.76 | % | | | 21.91 | % | | | 3.33 | % |
GROWTH OF $10,000 REPORT (07/9/2018 TO 06/30/2023)
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 11 |
Six Circles International Unconstrained Equity Fund
FUND COMMENTARY
Period January 1, 2023 Through June 30, 2023 (Unaudited) (continued)
| 1) | Presented percentages may not sum to 100% due to rounding to the nearest percent. Cash and mark-to-market value on derivatives contracts represent less than 0.5%. The above Sector allocation uses The Global Industry Classification Standard (GICS®) and may differ from categories listed within the Schedule of Investments. |
The allocation of the various strategies employed by the Fund may shift and therefore, the performance shown may not be a true indication of how the Fund may perform going forward. Performance quoted is past performance and is no guarantee of future results. Investment returns and principal value will fluctuate, so shares, when sold, may be worth more or less than original cost. Current performance may be higher or lower than returns shown. As of the latest prospectus, the gross and net expense ratios for the Fund were 0.28% and 0.08% respectively. Contact your J.P. Morgan representative or call 1-212-464-2070 for the most recent month-end performance.
The Fund commenced operations on July 9, 2018.
The graph illustrates comparative performance for $10,000 invested in the Six Circles International Unconstrained Equity Fund and the MSCI World ex-USA Index from July 9, 2018 to June 30, 2023. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the MSCI World ex-USA Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable.
The MSCI World ex-USA Index captures large and mid-cap representation across 22 of 23 Developed Markets (DM) countries—excluding the United States. With 1,016 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country. Investors cannot invest directly in an index.
The MSCI Emerging Markets Index captures large and mid cap representation across 24 Emerging Markets (EM) countries. With 1,377 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.
Fund performance may reflect the waiver of the Fund’s fees and/or reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or redemptions or sales of Fund shares.
International investing has a greater degree of risk and increased volatility due to political and economic instability of some overseas markets. Changes in currency exchange rates and different accounting and taxation policies outside the U.S. can affect returns.
The MSCI information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used as a basis for or a component of any financial instruments or products or indices. None of the MSCI information is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. Historical data and analysis should not be taken as an indication or guarantee of any future performance analysis, forecast or prediction. The MSCI information is provided on an “as is” basis and the user of this information assumes the entire risk of any use made of this information. MSCI, each of its affiliates and each other person involved in or related to compiling, computing or creating any MSCI information (collectively, the “MSCI Parties”) expressly disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect this information. Without limiting any of the foregoing, in no event shall any MSCI Party have any liability for any direct, indirect, special, incidental, punitive, consequential (including, without limitation, lost profits) or any other damages. (www.msci.com)
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by JP MORGAN CHASE BANK NA. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability and fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
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| 12 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
Six Circles Global Bond Fund
FUND COMMENTARY
Period January 1, 2023 Through June 30, 2023 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN | | | |
| Fund* | | | 2.65% | |
| Bloomberg Global-Aggregate Index - Hedged USD | | | 2.96% | |
| |
| Net Assets as of 06/30/2023 (In Thousands) | | $ | 9,719,142 | |
| Duration | | | 6.20 years | |
INVESTMENT OBJECTIVES AND STRATEGY**
Six Circles Global Bond Fund (the “Fund”) seeks to provide total return. The Fund invests mainly in a global portfolio of investment grade fixed income securities with varying maturities across government, corporate, and securitized fixed income sectors. The Fund will also allocate across a number of different countries around the World.
INVESTMENT APPROACH
J.P. Morgan Private Investments Inc., the Fund’s investment adviser (“JPMPI” or the “Adviser”) constructs the Fund’s portfolios by allocating the Fund’s assets among investment strategies managed by one or more sub-advisers retained by the Adviser (each a “Sub-Adviser”).
The Adviser currently engages the following Sub-Advisers:
| • | | BlackRock Investment Management, LLC (“BlackRock”) |
| • | | Pacific Investment Management Company LLC (“PIMCO”) |
The Adviser may adjust allocations to the Sub-Advisers at any time or make recommendations to the Board of Trustees of the Six Circles Trust (the “Board”) with respect to the hiring, termination or replacement of a Sub-Adviser. As such, the identity of the Fund’s Sub-Advisers, the investment strategies they pursue and the portion of the Fund allocated to them, may change over time.
The Fund is specifically designed to serve as a completion portfolio and accomplish particular goals within discretionary portfolios managed by JPMPI or its affiliates (the “Portfolios”). The Adviser utilizes the Fund to express targeted investment views, while taking into consideration positions held at the aggregate level in the broader Portfolios. As such, the Fund’s allocations and performance should be evaluated in the context of the broader Portfolios and not on a standalone basis.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
During the period January 1, 2023 through June 30, 2023, (the “reporting period”) the Fund posted a positive return on an absolute basis, but underperformed relative to the Bloomberg Global-Aggregate Index – Hedged USD (the “Index”). References to the Index are for informational purposes. The use of the Index does not imply the Fund is being managed to
the Index, but rather is disclosed to allow for comparison of the Fund’s performance to that of a well-known and widely recognized Index.
By sector composition, Investment Grade Credit was the largest sector exposure in the Fund on a look-through basis and comprised approximately 41% of the Fund at the end of the reporting period, with the Fund being overweight this sector relative to the Index. Investment Grade Credit contributed to the Fund’s performance both on an absolute basis as well as relative to the Index during the reporting period.
Government Bonds comprised approximately 37% of the Fund’s exposure on a look-through basis at the end of the reporting period, with the Fund being underweight this sector relative to the Index. During the reporting period, exposure to Government Bonds contributed to the Fund’s performance both on an absolute basis as well as relative to the Index.
On an allocation level, the Fund’s allocation to Pan European Credit was the largest contributor to the Fund’s return on an absolute basis during the reporting period.
HOW WAS THE FUND POSITIONED?
At the end of the reporting period, the Fund was allocated to twelve strategies across various sectors, credit ratings, maturity buckets, and regional exposures.
| | | | |
| PORTFOLIO ALLOCATION*** | | | |
| Pan-European Credit (BlackRock) | | | 40 | % |
| Pan-European Government (BlackRock) | | | 11 | |
| China Treasury & Policy Bank (BlackRock) | | | 10 | |
| U.S. Treasury 10-20 Year (BlackRock) | | | 8 | |
| Global Credit (PGIM) | | | 7 | |
| Global Securitized (PIMCO) | | | 7 | |
| U.S. Securitized (BlackRock) | | | 6 | |
| Global Government (PGIM) | | | 4 | |
| U.S. Credit (BlackRock) | | | 3 | |
| U.S. Government (BlackRock) | | | 2 | |
| Asia Pacific Government ex-China (BlackRock) | | | 1 | |
| Pan European Securitized (BlackRock) | | | 1 | |
| * | | The return shown is based on the net asset value calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at June 30, 2023 for financial |
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 13 |
Six Circles Global Bond Fund
FUND COMMENTARY
Period January 1, 2023 Through June 30, 2023 (Unaudited) (continued)
| | reporting purposes, and as a result, the net asset value for shareholder transactions and the total return based on that net asset value may differ from the adjusted net assets and the total return for financial reporting. |
| ** | | The Adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | | Percentages are based on total investments as of June 30, 2023. The portfolio allocation is subject to change. |
Allocations to Global Credit and Pan European Credit comprised approximately 47% of the Fund as of June 30, 2023 and provide what the Adviser believes to be a full tracking error, flexible access point to a broad range of global corporate bonds across different regions, sectors, and credit qualities.
Allocations to Asia Pacific Government ex-China and Pan-European Government comprised approximately 12% of the Fund as of June 30, 2023 and provide what the Adviser believes is a low tracking error, tactical way to allocate to government bonds within these regions.
Allocations to Global Securitized and Pan European Securitized comprised approximately 8% of the Fund as of June 30, 2023 and provides what the Adviser believes to be full tracking error, flexible access to a broad range of securitized debt across different regions, sectors, and credit qualities.
The Adviser believes that the allocation to Global Government provides full tracking error access to a broad range of government bonds across different regions. The allocation was approximately 4% of the Fund as of June 30, 2023.
Allocations to U.S. Treasury, U.S. Credit, U.S. Government, and U.S. Securitized comprised approximately 19% of the Fund as of June 30, 2023. These allocations provide what the Adviser believes is a low tracking error, tactical way to allocate within these sectors.
Allocations to China Treasury & Policy Bank comprised approximately 10% of the Fund as of June 30, 2023. This exposure allows the portfolio to tactically allocate to Chinese government bonds.
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS
AS OF JUNE 30, 2023 | |
| | | 6 Months* | | | 1 Year | | | Since
Inception
(May 19, 2020) | |
| Six Circles Global Bond Fund | | | 2.65 | % | | | 0.91 | % | | | (1.55 | )% |
GROWTH OF $10,000 REPORT (05/19/2020 TO 06/30/2023)
| 1) | Presented percentages may not sum to 100% due to rounding to the nearest percent. The above Sector allocation uses The Global Industry Classification Standard (GICS®) and may differ from categories listed within the Schedule of Investments. |
| 2) | (0.82)% of the amount shown in the Fund’s “Cash” line item reflects the mark-to-market value of the Funds derivative positions. |
The allocation of the various strategies employed by the Fund may shift and therefore, the performance shown may not be a true indication of how the Fund may perform going forward. Performance quoted is past performance and is no guarantee of future results. Investment returns and principal value will fluctuate, so shares, when sold, may be worth more or less than original cost. Current performance may be higher or lower than returns shown. As of the latest prospectus, the gross and net expense ratios for the Fund were 0.31% and 0.12% respectively. Contact your J.P. Morgan representative or call 1-212-464-2070 for the most recent month-end performance.
The Fund commenced operations on May 19, 2020.
The graph illustrates comparative performance for $10,000 invested in the Six Circles Global Bond Fund and the Bloomberg Global-Aggregate Index - Hedged USD from May 19, 2020 to June 30, 2023. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg Global-Aggregate Index - Hedged USD does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable.
| | | | | | | | | | |
| | | | | |
| 14 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
The Bloomberg Global-Aggregate Index - Hedged USD provides a broad-based measure of the global investment grade fixed income markets. Investors cannot invest directly in an index.
Fund performance may reflect the waiver of the Fund’s fees and/or reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or redemptions or sales of Fund shares.
International investing has a greater degree of risk and increased volatility due to political and economic instability of some overseas markets. Changes in currency exchange rates and different accounting and taxation policies outside the U.S. can affect returns.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by JP MORGAN CHASE BANK NA. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability and fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
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| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 15 |
Six Circles Tax Aware Bond Fund
FUND COMMENTARY
Period January 1, 2023 Through June 30, 2023 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN | |
| Fund* | | | 2.69% | |
| Bloomberg 1-15 Year Municipal Bond Index | | | 1.85% | |
| |
| Net Assets as of 06/30/2023 (In Thousands) | | $ | 6,302,559 | |
| Duration | | | 5.73 years | |
INVESTMENT OBJECTIVES AND STRATEGY**
Six Circles Tax Aware Bond Fund (the “Fund”) seeks to provide after-tax total return. The Fund invests at least 50% in municipal securities across varying maturity ranges, the income from which is exempt from federal income tax1). The Fund also may invest in taxable instruments.
INVESTMENT APPROACH
J.P. Morgan Private Investments Inc., the Fund’s investment adviser (“JPMPI” or the “Adviser”) constructs the Fund’s portfolios by allocating the Fund’s assets among investment strategies managed by one or more sub-advisers retained by the Adviser (each a “Sub-Adviser”).
The Adviser currently engages the following Sub-Advisers:
| • | | Allspring Global Investments, LLC (“Allspring”) |
| • | | BlackRock Investment Management, LLC (“BlackRock”)(a) |
| • | | Capital International Inc. (“Capital Group”) |
| • | | Nuveen Asset Management, LLC (“Nuveen”) |
| (a) | During the reporting period, the Adviser did not allocate Fund assets to this Sub-Adviser. |
The Adviser may adjust allocations to the Sub-Advisers at any time or make recommendations to the Board of Trustees of the Six Circles Trust (the “Board”) with respect to the hiring, termination or replacement of a Sub-Adviser. As such, the identity of the Fund’s Sub-Advisers, the investment strategies they pursue and the portion of the Fund allocated to them, may change over time.
The Fund is specifically designed to serve as a completion portfolio and accomplish particular goals within discretionary portfolios managed by JPMPI or its affiliates (the “Portfolios”). The Adviser utilizes the Fund to express targeted investment views, while taking into consideration positions held at the aggregate level in the broader Portfolios. As such, the Fund’s allocations and performance should be evaluated in the context of the broader Portfolios and not on a standalone basis.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
During the period January 1, 2023 through June 30, 2023, (the “reporting period”), the Fund posted a positive return on an absolute basis, and outperformed relative to the Bloomberg 1-15 Year Municipal Bond Index (the “Index”). References to the
Index are for informational purposes. The use of the Index does not imply the Fund is being managed to the Index, but rather is disclosed to allow for comparison of the Fund’s performance to that of a well-known and widely recognized Index.
By sector composition, Investment Grade Rated Municipal Bonds were the largest sector exposure in the Fund on a look-through basis and comprised approximately 90% of the Fund at the end of the reporting period, with the Fund being underweight this sector relative to the Index. This sector contributed to the Fund’s performance both on an absolute basis as well as relative to the Index during the reporting period.
High Yield Municipal Bonds were approximately 9% of the Fund’s exposure on a look-through basis at the end of the reporting period, with the Fund being overweight this sector relative to the Index. During the reporting period, exposure to High Yield Municipal Bonds contributed to the Fund’s performance both on an absolute basis as well as relative to the Index.
On an allocation level, the full tracking error Municipal allocation managed by Nuveen was the largest contributor to the Fund’s return on an absolute basis during the reporting period.
HOW WAS THE FUND POSITIONED?
At the end of the reporting period, the Fund was allocated to five strategies across various sectors, credit ratings, maturity buckets, and regional exposures.
| | | | |
| PORTFOLIO ALLOCATION*** | |
| Municipals (Allspring) | | | 38 | % |
| Municipals (Nuveen) | | | 38 | |
| Short Duration Municipal (Capital Group) | | | 11 | |
| Intermediate Duration Municipal (Capital Group) | | | 7 | |
| Long Duration Municipal (Capital Group) | | | 6 | |
| * | | The return shown is based on the net asset value calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at June 30, 2023 for financial reporting purposes, and as a result, the net asset value for shareholder transactions and the total return based on that net asset value may differ from the adjusted net assets and the total return for financial reporting. |
| | | | | | | | | | |
| | | | | |
| 16 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| ** | | The Adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | | Percentages are based on total investments as of June 30, 2023. The portfolio allocation is subject to change. |
| 1) | | Interest on Municipal securities is exempt from federal income tax however interest on certain bonds may be subject to the federal alternative minimum tax for individuals. |
Allocations to Short Duration Municipal, Intermediate Duration Municipal and Long Duration Municipal comprised approximately 11%, 7% and 6% of the Fund, respectively, as of June 30, 2023. These allocations provide what the Adviser believes to be low tracking error, flexible access points to municipal debt within short, intermediate and long maturity ranges.
The Adviser believes that the allocations to Municipal strategies sub-advised by Nuveen and Allspring provide full tracking error, flexible access to a broad range of municipals across different sectors and credit qualities. Each of these allocations were approximately 38% of the Fund as of June 30, 2023.
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS
AS OF JUNE 30, 2023 | |
| | | 6 Months* | | | 1 Year | | | Since
Inception
(May 19, 2020) | |
| Six Circles Tax Aware Bond Fund | | | 2.69 | % | | | 3.21 | % | | | 0.32 | % |
GROWTH OF $10,000 REPORT (05/19/2020 TO 06/30/2023)
| 2) | Presented percentages may not sum to 100% due to rounding to the nearest percent. The above Sector allocation uses The Global Industry Classification Standard (GICS®) and may differ from categories listed within the Schedule of Investments. |
The allocation of the various strategies employed by the Fund may shift and therefore, the performance shown may not be a true indication of how the Fund may perform going forward. Performance quoted is past performance and is no guarantee of future results. Investment returns and principal value will fluctuate, so shares, when sold, may be worth more or less than original cost. Current performance may be higher or lower than returns shown. As of the latest prospectus, the gross and net expense ratios for the Fund were 0.28% and 0.14% respectively. Contact your J.P. Morgan representative or call 1-212-464-2070 for the most recent month-end performance.
The Fund commenced operations on May 19, 2020.
The graph illustrates comparative performance for $10,000 invested in the Six Circles Tax Aware Bond Fund and the Bloomberg 1-15 Year Municipal Bond Index from May 19, 2020 to June 30, 2023. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg 1-15 Year Municipal Bond Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable.
The Bloomberg 1-15 Year Municipal Bond Index consists of a broad selection of investment grade general obligation and revenue bonds of maturities ranging from one year to 17 years. Investors cannot invest directly in an index.
Fund performance may reflect the waiver of the Fund’s fees and/or reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or redemptions or sales of Fund shares.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by JP MORGAN CHASE BANK NA. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability and fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 17 |
Six Circles Credit Opportunities Fund
FUND COMMENTARY
Period January 1, 2023 Through June 30, 2023 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN | |
| Fund* | | | 3.52% | |
| Bloomberg U.S. Intermediate Corporate Bond Index | | | 2.33% | |
| |
| Net Assets as of 06/30/2023 (In Thousands) | | $ | 3,222,198 | |
| Duration | | | 3.11 years | |
INVESTMENT OBJECTIVES AND STRATEGY**
Six Circles Credit Opportunities Fund (the “Fund”) seeks to provide total return. The Fund invests mainly in global fixed income opportunities, including below investment-grade debt, as well as other tactical credit opportunities.
INVESTMENT APPROACH
J.P. Morgan Private Investments Inc., the Fund’s investment adviser (“JPMPI” or the “Adviser”) constructs the Fund’s portfolios by allocating the Fund’s assets among investment strategies managed by one or more sub-advisers retained by the Adviser (each a “Sub-Adviser”).
The Adviser currently engages the following Sub-Advisers:
| • | | BlackRock Investment Management, LLC (“BlackRock”) |
| • | | Royal Bank of Canada Global Asset Management (UK) (“RBC GAM (UK)”)(a) |
| • | | Lord Abbett & Co, LLC (“Lord Abbett”) |
| • | | Muzinich & Co., Inc. (“Muzinich”)(a) |
| • | | Pacific Investment Management Company LLC (“PIMCO”) |
| (a) | During the reporting period, the Fund has not allocated assets to these Sub-Advisers. |
The Adviser may adjust allocations to the Sub-Advisers at any time or make recommendations to the Board of Trustees of the Six Circles Trust (the “Board”) with respect to the hiring, termination or replacement of a Sub-Adviser. As such, the identity of the Fund’s Sub-Advisers, the investment strategies they pursue and the portion of the Fund allocated to them, may change over time.
The Fund is specifically designed to serve as a completion portfolio and accomplish particular goals within discretionary portfolios managed by JPMPI or its affiliates (the “Portfolios”). The Adviser utilizes the Fund to express targeted investment views, while taking into consideration positions held at the aggregate level in the broader Portfolios. As such, the Fund’s allocations and performance should be evaluated in the context of the broader Portfolios and not on a standalone basis.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
During the period January 1, 2023 through June 30, 2023, (the “reporting period”) the Fund posted a positive return on an
absolute basis, and outperformed relative to the Bloomberg U.S. Intermediate Corporate Bond Index (the “Index”). References to the Index are for informational purposes. The use of the Index does not imply the Fund is being managed to the Index, but rather is disclosed to allow for comparison of the Fund’s performance to that of a well-known and widely recognized Index.
By sector composition, High Yield was the largest sector exposure in the Fund on a look-through basis and comprised approximately 82% of the Fund at the end of the reporting period. During the reporting period, this sector contributed to the Fund’s performance both on an absolute basis as well as relative to the Index.
Investment Grade Corporate Bonds was the largest sector underweight, with approximately 11% of the Fund’s exposure on a look-through basis at the end of the reporting period. During the reporting period, exposure to Investment Grade Corporate Bonds contributed to the Fund’s performance both on an absolute basis as well as relative to the Index.
On an allocation level, the High Yield allocation managed by BlackRock was the largest contributor to the Fund’s return, while Asia High Yield allocation managed by PIMCO was the largest detractor on an absolute basis during the reporting period.
HOW WAS THE FUND POSITIONED?
At the end of the reporting period, the Fund was allocated to four Sub-Advisers across various sectors, credit ratings, maturity buckets, and regional exposures.
| | | | |
| PORTFOLIO ALLOCATION*** | |
| High Yield (BlackRock) | | | 46 | % |
| High Yield (PGIM) | | | 25 | |
| Asia High Yield (PIMCO) | | | 24 | |
| Short Duration (Lord Abbett) | | | 5 | |
| * | | The return shown is based on the net asset value calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at June 30, 2023 for financial reporting purposes, and as a result, the net asset value for shareholder transactions and the total return based on that net asset value may differ from the adjusted net assets and the total return for financial reporting. |
| | | | | | | | | | |
| | | | | |
| 18 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| ** | | The Adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | | Percentages are based on total investments as of June 30, 2023. The portfolio allocation is subject to change. |
Allocation to High Yield managed by BlackRock comprised approximately 46% of the Fund as of June 30, 2023. The Adviser believes that the allocation provides flexibility in the portfolio construction process for adjusting credit quality and sector allocations in response to market movements.
Allocation to High Yield managed by PGIM comprised approximately 25% of the Fund as of June 30, 2023. This allocation provides what the Adviser believes to be a broader market exposure, with potential ability to offer excess returns without taking large sector or credit rating bets.
Allocation to Asia High Yield managed by PIMCO comprised approximately 24% of the Fund as of June 30, 2023 and provides what the Adviser believes to be a more focused exposure to CCC or B-rated names.
Allocation to Short Duration managed by Lord Abbett comprised approximately 5% of the Fund as of June 30, 2023. The Adviser believes that this allocation provides a higher quality, shorter duration exposure and consists of investment grade and securitized bonds.
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS
AS OF JUNE 30, 2023 | |
| | | 6 Months* | | | 1 Year | | | Since
Inception
(August 19, 2020) | |
| Six Circles Credit Opportunities Fund | | | 3.52 | % | | | 7.07 | % | | | 0.11 | % |
GROWTH OF $10,000 REPORT (08/19/2020 TO 06/30/2023)
| 1) | Presented percentages may not sum to 100% due to rounding to the nearest percent. The above Sector allocation uses The Global Industry Classification Standard (GICS®) and may differ from categories listed within the Schedule of Investments. |
| 2) | 0.29% of the amount shown in the Fund’s “Cash” line item reflects the mark-to-market value of the Fund’s derivative positions. |
The allocation of the various strategies employed by the Fund may shift and therefore, the performance shown may not be a true indication of how the Fund may perform going forward. Performance quoted is past performance and is no guarantee of future results. Investment returns and principal value will fluctuate, so shares, when sold, may be worth more or less than original cost. Current performance may be higher or lower than returns shown. As of the latest prospectus, the gross and net expense ratios for the Fund were 0.80% and 0.29% respectively. Contact your J.P. Morgan representative or call 1-212-464-2070 for the most recent month-end performance.
The Fund commenced operations on August 19, 2020.
The graph illustrates comparative performance for $10,000 invested in the Six Circles Credit Opportunities Fund and the Bloomberg U.S. Intermediate Corporate Bond Index from August 19, 2020 to June 30, 2023. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg U.S. Intermediate Corporate Bond Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable.
The Bloomberg U.S. Intermediate Corporate Total Return Bond Index measures the investment grade, fixed-rate, taxable corporate bond market whose maturity ranges between 1 to 9.9999 years. It includes USD denominated securities publicly issued by U.S. and non-U.S. industrial, utility and financial issuers. Investors cannot invest directly in an index.
Fund performance may reflect the waiver of the Fund’s fees and/or reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or redemptions or sales of Fund shares.
International investing has a greater degree of risk and increased volatility due to political and economic instability of some overseas markets. Changes in currency exchange rates and different accounting and taxation policies outside the U.S. can affect returns.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by JP MORGAN CHASE BANK NA. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability and fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 19 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Asset-Backed Securities — 18.6% | | | | | | | | |
American Express Credit Account Master Trust, Series 2022-2, Class A, 3.39%, 05/15/2027 | | | 1,200 | | | | 1,158 | |
AmeriCredit Automobile Receivables Trust, Series 2023-1, Class A2B, (United States 30 Day Average SOFR + 0.73%), 5.80%, 10/19/2026 (aa) | | | 1,400 | | | | 1,402 | |
Anchorage Capital CLO Ltd., (Cayman Islands), | | | | | | | | |
Series 2014-3RA, Class A, (ICE LIBOR USD 3 Month + 1.05%), 6.32%, 01/28/2031 (e) (aa) | | | 1,181 | | | | 1,169 | |
Series 2015-7A, Class AR2, (ICE LIBOR USD 3 Month + 1.09%), 6.36%, 01/28/2031 (e) (aa) | | | 1,544 | | | | 1,527 | |
Atlas Senior Loan Fund III Ltd., (Cayman Islands), Series 2013-1A, Class AR, (ICE LIBOR USD 3 Month + 0.83%), 6.16%, 11/17/2027 (e) (aa) | | | 89 | | | | 89 | |
AutoFlorence Srl, (Italy), | | | | | | | | |
Series 2, Class A, Reg. S, (ICE LIBOR EUR 1 Month + 0.70%), 4.14%, 12/24/2044 (aa) | | EUR | 581 | | | | 635 | |
Series 2, Class B, Reg. S, (ICE LIBOR EUR 1 Month + 0.75%), 4.19%, 12/24/2044 (aa) | | EUR | 120 | | | | 129 | |
Series 3, Class A, Reg. S, (ICE LIBOR EUR 1 Month + 0.95%), 4.33%, 12/25/2046 (aa) | | EUR | 1,000 | | | | 1,092 | |
Series 3, Class B, Reg. S, (ICE LIBOR EUR 1 Month + 2.35%), 5.73%, 12/25/2046 (aa) | | EUR | 100 | | | | 109 | |
Autonoria Spain 2022 FT, (Spain), | | | | | | | | |
Series 2022-SP, Class A, Reg. S, (ICE LIBOR EUR 1 Month + 0.84%), 4.25%, 01/25/2040 (aa) | | EUR | 748 | | | | 820 | |
Series 2022-SP, Class B, Reg. S, (ICE LIBOR EUR 1 Month + 2.00%), 5.41%, 01/26/2040 (aa) | | EUR | 93 | | | | 103 | |
Azure Finance No. 3 plc, (United Kingdom), Series 3, Class A, Reg. S, (SONIA Interest Rate Benchmark + 0.80%), 5.59%, 06/20/2034 (aa) | | GBP | 463 | | | | 589 | |
BA Credit Card Trust, | | | | | | | | |
Series 2021-A1, Class A1, 0.44%, 09/15/2026 | | | 2,180 | | | | 2,094 | |
Series 2022-A2, Class A2, 5.00%, 04/15/2028 | | | 1,485 | | | | 1,477 | |
Barings CLO Ltd., (Cayman Islands), Series 2019-3A, Class A1R, (ICE LIBOR USD 3 Month + 1.07%), 6.32%, 04/20/2031 (e) (aa) | | | 250 | | | | 247 | |
Battalion CLO 18 Ltd., (Cayman Islands), Series 2020-18A, Class AR, (ICE LIBOR USD 3 Month + 1.20%), 6.46%, 10/15/2036 (e) (aa) | | | 1,000 | | | | 975 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | |
| | | | | | | | |
Bavarian Sky 5 plc, (United Kingdom), Series UK5, Class A, Reg. S, (SONIA Interest Rate Benchmark + 0.62%), 5.41%, 04/20/2031 (aa) | | GBP | 1,215 | | | | 1,547 | |
Benefit Street Partners CLO Ltd., (Cayman Islands), Series 2015-6BR, Class A, (ICE LIBOR USD 3 Month + 1.19%), 6.44%, 07/20/2034 (e) (aa) | | | 1,000 | | | | 979 | |
Benefit Street Partners CLO VIII Ltd., (Cayman Islands), Series 2015-8A, Class A1AR, (ICE LIBOR USD 3 Month + 1.10%), 6.35%, 01/20/2031 (e) (aa) | | | 970 | | | | 962 | |
BHG Securitization Trust, Series 2022-B, Class A, 3.75%, 06/18/2035 (e) | | | 63 | | | | 62 | |
Birch Grove CLO Ltd., (Cayman Islands), Series 19A, Class AR, (ICE LIBOR USD 3 Month + 1.13%), 6.68%, 06/15/2031 (e) (aa) | | | 2,000 | | | | 1,980 | |
BMW Canada Auto Trust, (Canada), | | | | | | | | |
Series 2022-1A, Class A1, 3.65%, 12/20/2024 (e) | | CAD | 308 | | | | 231 | |
Series 2023-1A, Class A1, 5.43%, 01/20/2026 (e) | | CAD | 900 | | | | 678 | |
BMW Vehicle Lease Trust, Series 2023-1, Class A2, 5.27%, 02/25/2025 | | | 500 | | | | 499 | |
Bumper De SA, (Luxembourg), Series 2023-DE1, Class A, Reg. S, (ICE LIBOR EUR 1 Month + 0.58%), 4.02%, 08/23/2032 (aa) | | EUR | 600 | | | | 655 | |
Burnham Park CLO Ltd., (Cayman Islands), Series 2016-1A, Class AR, (ICE LIBOR USD 3 Month + 1.15%), 6.40%, 10/20/2029 (e) (aa) | | | 338 | | | | 335 | |
Capital One Multi-Asset Execution Trust, | | | | | | | | |
Series 2017-A5, Class A5, (ICE LIBOR USD 1 Month + 0.58%), 5.77%, 07/15/2027 (aa) | | | 900 | | | | 901 | |
Series 2022-A2, Class A, 3.49%, 05/15/2027 | | | 500 | | | | 483 | |
CarMax Auto Owner Trust, | | | | | | | | |
Series 2021-2, Class A3, 0.52%, 02/17/2026 | | | 701 | | | | 677 | |
Series 2022-2, Class A2B, (United States 30 Day Average SOFR + 0.60%), 5.67%, 05/15/2025 (aa) | | | 351 | | | | 351 | |
Series 2022-4, Class A2A, 5.34%, 12/15/2025 | | | 598 | | | | 596 | |
Series 2022-4, Class A2B, (United States 30 Day Average SOFR + 0.90%), 5.97%, 12/15/2025 (aa) | | | 854 | | | | 855 | |
Chesapeake Funding II LLC, Series 2020-1A, Class A2, (ICE LIBOR USD 1 Month + 0.65%), 5.84%, 08/15/2032 (e) (aa) | | | 264 | | | | 264 | |
CIFC Funding Ltd., (Cayman Islands), Series 2014-5A, Class A1R2, (ICE LIBOR USD 3 Month + 1.20%), 6.46%, 10/17/2031 (e) (aa) | | | 1,000 | | | | 989 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 20 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Asset-Backed Securities — continued | | | | | | | | |
CIT Mortgage Loan Trust, Series 2007-1, Class 1A, (ICE LIBOR USD 1 Month + 1.35%), 6.50%, 10/25/2037 (e) (aa) | | | 53 | | | | 53 | |
Citibank Credit Card Issuance Trust, | | | | | | | | |
Series 2017-A5, Class A5, (ICE LIBOR USD 1 Month + 0.62%), 5.77%, 04/22/2026 (aa) | | | 900 | | | | 902 | |
Series 2018-A5, Class A5, (ICE LIBOR USD 1 Month + 0.61%), 5.80%, 08/07/2027 (aa) | | | 900 | | | | 902 | |
Dell Equipment Finance Trust, | | | | | | | | |
Series 2021-2, Class A3, 0.53%, 12/22/2026 (e) | | | 466 | | | | 456 | |
Series 2023-2, Class A2, 5.84%, 01/22/2029 (e) | | | 500 | | | | 501 | |
Discover Card Execution Note Trust, Series 2017-A5, Class A5, (ICE LIBOR USD 1 Month + 0.60%), 5.79%, 12/15/2026 (aa) | | | 900 | | | | 900 | |
Dowson plc, (United Kingdom), | | | | | | | | |
Series 2021-2, Class A, Reg. S, (SONIA Interest Rate Benchmark + 0.68%), 5.47%, 10/20/2028 (aa) | | GBP | 74 | | | | 94 | |
Series 2021-2, Class B, Reg. S, (SONIA Interest Rate Benchmark + 1.20%), 5.99%, 10/20/2028 (aa) | | GBP | 200 | | | | 254 | |
Series 2022-1, Class A, Reg. S, (SONIA Interest Rate Benchmark + 0.92%), 5.71%, 01/20/2029 (aa) | | GBP | 169 | | | | 215 | |
Series 2022-2, Class B, Reg. S, (SONIA Interest Rate Benchmark + 2.70%), 7.49%, 08/20/2029 (aa) | | GBP | 500 | | | | 639 | |
Dryden 49 Senior Loan Fund, (Cayman Islands), Series 2017-49A, Class AR, (ICE LIBOR USD 3 Month + 0.95%), 6.21%, 07/18/2030 (e) (aa) | | | 1,421 | | | | 1,409 | |
ELFI Graduate Loan Program LLC, Series 2021-A, Class A, 1.53%, 12/26/2046 (e) | | | 762 | | | | 647 | |
FCT Autonoria, (France), | | | | | | | | |
Series 2023-DE, Class A, Reg. S, (ICE LIBOR EUR 1 Month + 0.47%), 3.88%, 01/26/2043 (aa) | | EUR | 1,200 | | | | 1,310 | |
Series 2023-DE, Class B, Reg. S, (ICE LIBOR EUR 1 Month + 1.15%),4.56%, 01/26/2043 (aa) | | EUR | 300 | | | | 327 | |
Ford Auto Securitization Trust, (Canada), Series 2021-AA, Class A2, 1.16%, 10/15/2025 (e) | | CAD | 689 | | | | 509 | |
Ford Credit Auto Lease Trust, Series 2022-A, Class A2B, (United States 30 Day Average SOFR + 0.60%), 5.67%, 10/15/2024 (aa) | | | 222 | | | | 222 | |
Ford Credit Auto Owner Trust, | | | | | | | | |
Series 2022-B, Class A2A, 3.44%, 02/15/2025 | | | 1,240 | | | | 1,232 | |
Series 2022-D, Class A3, 5.27%, 05/17/2027 | | | 110 | | | | 110 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Series 2023-A, Class A2B, (United States 30 Day Average SOFR + 0.72%), 5.79%, 03/15/2026 (aa) | | | 2,086 | | | | 2,091 | |
Ford Credit Floorplan Master Owner Trust A, | | | | | | | | |
Series 2020-1, Class A1, 0.70%, 09/15/2025 | | | 1,400 | | | | 1,385 | |
Series 2023-1, Class A2, (United States 30 Day Average SOFR + 1.25%), 6.32%, 05/15/2028 (e) (aa) | | | 2,290 | | | | 2,305 | |
FS Rialto Issuer LLC, | | | | | | | | |
Series 2022-FL4, Class A, (United States 30 Day Average SOFR + 1.90%), 6.97%, 01/19/2039 (e) (aa) | | | 483 | | | | 476 | |
Series 2022-FL6, Class A, (CME Term SOFR 1 Month + 2.58%), 7.66%, 08/17/2037 (e) (aa) | | | 640 | | | | 638 | |
Gilbert Park CLO Ltd., (Cayman Islands), Series 2017-1A, Class A, (ICE LIBOR USD 3 Month + 1.19%), 6.45%, 10/15/2030 (e) (aa) | | | 1,650 | | | | 1,633 | |
GM Financial Automobile Leasing Trust, | | | | | | | | |
Series 2022-2, Class A2, 2.93%, 10/21/2024 | | | 912 | | | | 905 | |
Series 2022-3, Class A2A, 4.01%, 10/21/2024 | | | 573 | | | | 570 | |
Series 2023-1, Class A2A, 5.27%, 06/20/2025 | | | 1,000 | | | | 996 | |
Series 2023-2, Class A2A, 5.44%, 10/20/2025 | | | 1,000 | | | | 996 | |
GM Financial Consumer Automobile Receivables Trust, | | | | | | | | |
Series 2022-3, Class A2A, 3.50%, 09/16/2025 | | | 2,821 | | | | 2,796 | |
Series 2022-3, Class A2B, (United States 30 Day Average SOFR + 0.60%), 5.67%, 09/16/2025 (aa) | | | 1,127 | | | | 1,127 | |
Series 2023-2, Class A2A, 5.10%, 05/18/2026 | | | 900 | | | | 895 | |
Series 2023-2, Class A3, 4.47%, 02/16/2028 | | | 429 | | | | 422 | |
GMF Canada Leasing Trust Asset-Backed Notes, (Canada), Series 2023-1A, Class A1, 5.46%, 04/21/2025 (e) | | CAD | 1,300 | | | | 980 | |
Hertz Vehicle Financing III LLC, Series 2022-3A, Class A, 3.37%, 03/25/2025 (e) | | | 100 | | | | 99 | |
Honda Auto Receivables Owner Trust, Series 2022-2, Class A2, 3.81%, 03/18/2025 | | | 2,430 | | | | 2,410 | |
Hyundai Auto Lease Securitization Trust, | | | | | | | | |
Series 2021-C, Class A3, 0.38%, 09/16/2024 (e) | | | 1,181 | | | | 1,167 | |
Series 2023-A, Class A2A, 5.20%, 04/15/2025 (e) | | | 870 | | | | 867 | |
Hyundai Auto Receivables Trust, | | | | | | | | |
Series 2022-A, Class A2B, (United States 30 Day Average SOFR + 0.63%), 5.70%, 02/18/2025 (e) (aa) | | | 1,248 | | | | 1,248 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 21 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Asset-Backed Securities — continued | | | | | | | | |
Series 2022-B, Class A2A, 3.64%, 05/15/2025 | | | 668 | | | | 663 | |
Series 2023-A, Class A2A, 5.19%, 12/15/2025 | | | 800 | | | | 797 | |
Series 2023-A, Class A3, 4.58%, 04/15/2027 | | | 500 | | | | 492 | |
ICG US CLO Ltd., (Cayman Islands), Series 2015-1A, Class A1R, (ICE LIBOR USD 3 Month + 1.14%), 6.41%, 10/19/2028 (e) (aa) | | | 469 | | | | 468 | |
John Deere Owner Trust, Series 2022-B, Class A2, 3.73%, 06/16/2025 | | | 556 | | | | 552 | |
Koromo Italy Srl, (Italy), Series 1, Class A, Reg. S, (ICE LIBOR EUR 1 Month + 0.80%), 4.21%, 02/26/2035 (aa) | | EUR | 456 | | | | 498 | |
KREF Ltd., (Cayman Islands), Series 2022-FL3, Class A, (CME Term SOFR 1 Month + 1.45%), 6.53%, 02/17/2039 (e) (aa) | | | 1,310 | | | | 1,280 | |
Lt Autorahoitus IV DAC, (Ireland), Series 4, Class A, Reg. S, (ICE LIBOR EUR 1 Month + 0.69%), 4.04%, 07/18/2033 (aa) | | EUR | 633 | | | | 691 | |
Madison Park Funding XLI Ltd., (Cayman Islands), Series 12A, Class AR, (ICE LIBOR USD 3 Month + 0.83%), 6.10%, 04/22/2027 (e) (aa) | | | 546 | | | | 542 | |
Madison Park Funding XXXIII Ltd., (Cayman Islands), Series 2019-33A, Class AR, (CME Term SOFR 3 Month + 1.29%), 6.28%, 10/15/2032 (e) (aa) | | | 250 | | | | 246 | |
Master Credit Card Trust II, (Canada), Series 2023-1A, Class A, 4.70%, 06/21/2027 (e) | | | 600 | | | | 590 | |
Master Credit Card Trust, (Canada), Series 2021-1A, Class A, 0.53%, 11/21/2025 (e) | | | 1,500 | | | | 1,429 | |
Navient Private Education Loan Trust, | | | | | | | | |
Series 2017-A, Class A2B, (ICE LIBOR USD 1 Month + 0.90%), 6.09%, 12/16/2058 (e) (aa) | | | 88 | | | | 88 | |
Series 2018-BX, Class A2B, Reg. S, (CME Term SOFR 1 Month + 0.83%), 6.04%, 12/15/2059 (aa) | | | 502 | | | | 497 | |
Series 2020-A, Class A2B, (ICE LIBOR USD 1 Month + 0.90%), 6.09%, 11/15/2068 (e) (aa) | | | 666 | | | | 655 | |
Navient Private Education Refi Loan Trust, | | | | | | | | |
Series 2019-D, Class A2B, (ICE LIBOR USD 1 Month + 1.05%), 6.24%, 12/15/2059 (e) (aa) | | | 313 | | | | 309 | |
Series 2019-GA, Class A, 2.40%, 10/15/2068 (e) | | | 160 | | | | 147 | |
Series 2021-DA, Class A, (Prime Rate -1.99%), 6.26%, 04/15/2060 (e) (aa) | | | 395 | | | | 369 | |
Navient Student Loan Trust, Series 2019-BA, Class A2B, (ICE LIBOR USD 1 Month + 0.98%), 6.17%, 12/15/2059 (e) (aa) | | | 228 | | | | 225 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Nelnet Student Loan Trust, | | | | | | | | |
Series 2019-2A, Class A, (ICE LIBOR USD 1 Month + 0.90%), 6.05%, 06/27/2067 (e) (aa) | | | 732 | | | | 718 | |
Series 2021-CA, Class AFL, (ICE LIBOR USD 1 Month + 0.74%), 5.89%, 04/20/2062 (e) (aa) | | | 932 | | | | 914 | |
Neuberger Berman Loan Advisers CLO 26 Ltd., (Cayman Islands), Series 2017-26A, Class AR, (ICE LIBOR USD 3 Month + 0.92%), 6.18%, 10/18/2030 (e) (aa) | | | 1,871 | | | | 1,846 | |
Nissan Auto Lease Trust, Series 2022-A, Class A2A, 3.45%, 08/15/2024 | | | 1,874 | | | | 1,867 | |
OneMain Direct Auto Receivables Trust, Series 2022-1A, Class A2, (United States 30 Day Average SOFR + 1.60%), 6.67%, 03/14/2029 (e) (aa) | | | 835 | | | | 838 | |
Oscar US Funding XI LLC, (Japan), Series 2019-2A, Class A4, 2.68%, 09/10/2026 (e) | | | 131 | | | | 129 | |
Oscar US Funding XIII LLC, (Japan), Series 2021-2A, Class A2, 0.39%, 08/12/2024 (e) | | | 31 | | | | 31 | |
Palmer Square CLO Ltd., (Cayman Islands), Series 2013-2A, Class A1A3, (ICE LIBOR USD 3 Month + 1.00%), 6.26%, 10/17/2031 (e) (aa) | | | 250 | | | | 247 | |
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-WCW2, Class M2, (ICE LIBOR USD 1 Month + 0.80%), 5.95%, 07/25/2035 (aa) | | | 469 | | | | 463 | |
Pawnee Equipment Receivables LLC, | | | | | | | | |
Series 2021-1, Class A2, 1.10%, 07/15/2027 (e) | | | 524 | | | | 505 | |
Series 2022-1, Class A2, 4.84%, 02/15/2028 (e) | | | 603 | | | | 600 | |
PCL Funding VI plc, (United Kingdom), Series 2022-1, Class A, Reg. S, (SONIA Interest Rate Benchmark + 1.40%), 6.34%, 07/15/2026 (aa) | | GBP | 723 | | | | 921 | |
PRET LLC, | | | | | | | | |
Series 2021-NPL3, Class A1, SUB, 1.87%, 07/25/2051 (e) | | | 650 | | | | 593 | |
Series 2021-NPL6, Class A1, SUB, 2.49%, 07/25/2051 (e) | | | 376 | | | | 347 | |
Pretium Mortgage Credit Partners LLC, Series 2021-RN1, Class A1, SUB, 1.99%, 02/25/2061 (e) | | | 227 | | | | 210 | |
Prodigy Finance DAC, (Ireland), Series 2021-1A, Class A, (CME Term SOFR 1 Month + 1.36%), 6.45%, 07/25/2051 (e) (aa) | | | 81 | | | | 80 | |
Red & Black Auto Germany 8 UG, (Germany), Series 8, Class B, Reg. S, (ICE LIBOR EUR 1 Month + 0.75%), 4.08%, 09/15/2030 (aa) | | EUR | 168 | | | | 182 | |
Red & Black Auto Italy Srl, (Italy), Series 1, Class A, Reg. S, (ICE LIBOR EUR 1 Month + 0.70%), 4.13%, 12/28/2031 (aa) | | EUR | 786 | | | | 856 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 22 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Asset-Backed Securities — continued | | | | | | | | |
Rockford Tower CLO Ltd., (Cayman Islands), Series 2017-3A, Class A, (ICE LIBOR USD 3 Month + 1.19%), 6.44%, 10/20/2030 (e) (aa) | | | 238 | | | | 236 | |
RR 3 Ltd., (Cayman Islands), Series 2018-3A, Class A1R2, (ICE LIBOR USD 3 Month + 1.09%), 6.35%, 01/15/2030 (e) (aa) | | | 918 | | | | 911 | |
Santander Drive Auto Receivables Trust, Series 2022-4, Class A2, 4.05%, 07/15/2025 | | | 130 | | | | 130 | |
SC Germany SA Compartment Consumer, (Luxembourg), Series 2020-1, Class C, Reg. S, (ICE LIBOR EUR 1 Month + 1.75%), 5.21%, 11/14/2034 (aa) | | EUR | 217 | | | | 235 | |
SLM Student Loan Trust, Series 2004-10, Class A7B, (ICE LIBOR USD 3 Month + 0.60%), 5.86%, 10/25/2029 (e) (aa) | | | 531 | | | | 526 | |
SMB Private Education Loan Trust, | | | | | | | | |
Series 2016-B, Class A2B, (ICE LIBOR USD 1 Month + 1.45%), 6.64%, 02/17/2032 (e) (aa) | | | 386 | | | | 386 | |
Series 2016-C, Class A2A, 2.34%, 09/15/2034 (e) | | | 267 | | | | 257 | |
Series 2017-A, Class A2B, (ICE LIBOR USD 1 Month + 0.90%), 6.09%, 09/15/2034 (e) (aa) | | | 934 | | | | 929 | |
Series 2020-A, Class A2B, (ICE LIBOR USD 1 Month + 0.83%), 6.02%, 09/15/2037 (e) (aa) | | | 523 | | | | 514 | |
Series 2020-PTA, Class A2A, 1.60%, 09/15/2054 (e) | | | 400 | | | | 355 | |
Series 2021-A, Class A2A1, (ICE LIBOR USD 1 Month + 0.73%), 5.92%, 01/15/2053 (e) (aa) | | | 1,772 | | | | 1,726 | |
Series 2021-D, Class A1B, (ICE LIBOR USD 1 Month + 0.60%), 5.79%, 03/17/2053 (e) (aa) | | | 196 | | | | 191 | |
Series 2022-B, Class A1B, (United States 30 Day Average SOFR + 1.45%), 6.52%, 02/16/2055 (e) (aa) | | | 1,722 | | | | 1,706 | |
Series 2022-D, Class A1B, (United States 30 Day Average SOFR + 1.80%), 6.87%, 10/15/2058 (e) (aa) | | | 2,534 | | | | 2,538 | |
Symphony CLO XXIV Ltd., (Cayman Islands), Series 2020-24A, Class A, (ICE LIBOR USD 3 Month + 1.20%), 6.47%, 01/23/2032 (e) (aa) | | | 700 | | | | 693 | |
TAGUS-Sociedade de Titularizacao de Creditos SA / Viriato Finance No. 1 , (Portugal), Series 1, Class B, Reg. S, (ICE LIBOR EUR 1 Month + 0.95%), 4.38%, 10/28/2040 (aa) | | EUR | 381 | | | | 410 | |
TCI-Symphony CLO Ltd., (Cayman Islands), Series 2016-1A, Class AR2, (ICE LIBOR USD 3 Month + 1.02%), 6.26%, 10/13/2032 (e) (aa) | | | 265 | | | | 262 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Towd Point Asset Trust, Series 2021-SL1, Class A2, (ICE LIBOR USD 1 Month + 0.70%), 5.86%, 11/20/2061 (e) (aa) | | | 171 | | | | 168 | |
Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.35%, 05/25/2033 (e) | | | 1,500 | | | | 1,385 | |
Toyota Auto Receivables Owner Trust, | | | | | | | | |
Series 2022-C, Class A2A, 3.83%, 08/15/2025 | | | 1,161 | | | | 1,151 | |
Series 2022-C, Class A2B, (United States 30 Day Average SOFR + 0.57%), 5.64%, 08/15/2025 (aa) | | | 1,548 | | | | 1,548 | |
Venture XVIII CLO Ltd., (Cayman Islands), Series 2014-18A, Class AR, (ICE LIBOR USD 3 Month + 1.22%), 6.48%, 10/15/2029 (e) (aa) | | | 1,652 | | | | 1,640 | |
Volkswagen Auto Lease Trust, Series 2022-A, Class A2, 3.02%, 10/21/2024 | | | 1,655 | | | | 1,642 | |
Volkswagen Auto Loan Enhanced Trust, Series 2023-1, Class A2A, 5.50%, 12/21/2026 | | | 1,000 | | | | 997 | |
Voya CLO Ltd., (Cayman Islands), Series 2018-3A, Class A1A, (ICE LIBOR USD 3 Month + 1.15%), 6.41%, 10/15/2031 (e) (aa) | | | 1,150 | | | | 1,141 | |
VOYA CLO, (Cayman Islands), Series 2017-2A, Class A1R, (ICE LIBOR USD 3 Month + 0.98%), 6.24%, 06/07/2030 (e) (aa) | | | 230 | | | | 229 | |
Westlake Automobile Receivables Trust, Series 2021-3A, Class A3, 0.95%, 06/16/2025 (e) | | | 1,109 | | | | 1,097 | |
Wind River CLO Ltd., (Cayman Islands), Series 2013-1A, Class A1RR, (ICE LIBOR USD 3 Month + 0.98%), 6.23%, 07/20/2030 (e) (aa) | | | 174 | | | | 173 | |
World Omni Auto Receivables Trust, | | | | | | | | |
Series 2023-A, Class A2A, 5.18%, 07/15/2026 | | | 700 | | | | 697 | |
Series 2023-B, Class A2A, 5.25%, 11/16/2026 | | | 1,000 | | | | 994 | |
| | | | | | | | |
Total Asset-Backed Securities
(Cost $109,114) | | | | | | | 108,099 | |
| | | | | | | | |
Certificate of Deposit — 0.2% | | | | | | | | |
Financial — 0.2% | | | | | | | | |
Banks — 0.2% | | | | | | | | |
Standard Chartered Bank, (United Kingdom), (United States SOFR + 0.42%), 5.48%, 07/28/2023 (aa)
(Cost $1,300) | | | 1,300 | | | | 1,300 | |
| | | | | | | | |
Collateralized Mortgage Obligations — 3.5% | | | | | | | | |
Brass NO 8 plc, (United Kingdom), Series 8A, Class A1, (ICE LIBOR USD 3 Month + 0.70%), 6.02%, 11/16/2066 (e) (aa) | | | 14 | | | | 14 | |
Cheshire plc, (United Kingdom), Series 2020-1, Class A, Reg. S, (SONIA Interest Rate Benchmark + 0.90%), 5.65%, 08/20/2045 (aa) | | GBP | 420 | | | | 529 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 23 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Collateralized Mortgage Obligations — continued | |
CSMC Trust, Series 2021-RPL4, Class A1, 1.80%, 12/27/2060 (e) (z) | | | 301 | | | | 278 | |
Dutch Property Finance BV, (Netherlands), Series 2022-1, Class A, Reg. S, (ICE LIBOR EUR 3 Month + 0.75%), 3.99%, 10/28/2059 (aa) | | EUR | 794 | | | | 863 | |
Economic Master Issuer plc, (United Kingdom), Series 2023-1, Class A, Reg. S, (SONIA Interest Rate Benchmark + 0.56%), 5.45%, 06/25/2074 (aa) | | GBP | 297 | | | | 379 | |
FNMA REMICS, | | | | | | | | |
Series 2020-29, Class FC, (ICE LIBOR USD 1 Month + 0.80%), 4.40%, 05/25/2050 (aa) | | | 1,444 | | | | 1,435 | |
Series 2022-8, Class D, 2.00%, 08/25/2038 | | | 1,362 | | | | 1,216 | |
Friary No. 7 plc, (United Kingdom), Series 7, Class A, Reg. S, (SONIA Interest Rate Benchmark + 0.67%), 5.17%, 10/21/2070 (aa) | | GBP | 230 | | | | 293 | |
GCAT LLC, Series 2020-3, Class A1, SUB, 2.98%, 09/25/2025 (e) | | | 475 | | | | 463 | |
GNMA, | | | | | | | | |
Series 2015-H04, Class FA, (ICE LIBOR USD 1 Month + 0.65%), 4.30%, 12/20/2064 (aa) | | | 1,083 | | | | 1,067 | |
Series 2017-121, Class PE, 3.00%, 07/20/2046 | | | 151 | | | | 142 | |
Series 2018-H18, Class FC, (ICE LIBOR USD 1 Month + 0.35%), 5.44%, 08/20/2065 (aa) | | | 950 | | | | 944 | |
Series 2019-54, Class KF, (ICE LIBOR USD 1 Month + 0.42%), 2.50%, 05/20/2044 (aa) | | | 332 | | | | 319 | |
Series 2021-H09, Class FG, (United States 30 Day Average SOFR + 1.50%), 6.18%, 06/20/2071 (aa) | | | 1,388 | | | | 1,417 | |
Series 2022-5, Class FA, (United States 30 Day Average SOFR + 0.30%), 3.50%, 01/20/2052 (aa) | | | 909 | | | | 800 | |
Series 2022-H01, Class FA, (United States 30 Day Average SOFR + 0.35%), 5.42%, 01/20/2072 (aa) | | | 690 | | | | 665 | |
Series 2023-H02, Class FA, (United States 30 Day Average SOFR + 0.90%), 5.97%, 01/20/2073 (aa) | | | 512 | | | | 509 | |
Series 2023-H12, Class FA, (United States 30 Day Average SOFR + 1.00%), 6.07%, 05/20/2073 (aa) | | | 1,703 | | | | 1,703 | |
GS Mortgage-Backed Securities Corp. Trust, Series 2021-RPL1, Class A1, 1.75%, 12/25/2060 (e) (z) | | | 306 | | | | 272 | |
Holmes Master Issuer plc, (United Kingdom), Series 2023-1X, Class A1, Reg. S, (SONIA Interest Rate Benchmark + 0.58%), 5.54%, 10/15/2072 (aa) | | GBP | 666 | | | | 849 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Hops Hill No. 1 plc, (United Kingdom), Series 1, Class A, Reg. S, (SONIA Interest Rate Benchmark + 0.95%), 5.86%, 05/27/2054 (aa) | | GBP | 394 | | | | 499 | |
Legacy Mortgage Asset Trust, Series 2021-GS3, Class A1, SUB, 1.75%, 07/25/2061 (e) | | | 1,177 | | | | 1,101 | |
MFA Trust, Series 2021-RPL1, Class A1, 1.13%, 07/25/2060 (e) (z) | | | 351 | | | | 308 | |
New Residential Mortgage Loan Trust, | | | | | | | | |
Series 2018-3A, Class A1, 4.50%, 05/25/2058 (e) (z) | | | 107 | | | | 102 | |
Series 2019-NQM5, Class A1, 2.71%, 11/25/2059 (e) (z) | | | 288 | | | | 254 | |
Series 2021-NQ2R, Class A1, 0.94%, 10/25/2058 (e) (z) | | | 510 | | | | 451 | |
Resimac Bastille Trust Series, (Australia), Series 2021-2NCA, Class A1A, (ICE LIBOR USD 1 Month + 0.65%), 5.81%, 02/03/2053 (e) (aa) | | | 227 | | | | 226 | |
Silverstone Master Issuer plc, (United Kingdom), | | | | | | | | |
Series 2022-1A, Class 1A, (United States SOFR + 0.38%), 5.41%, 01/21/2070 (e) (aa) | | | 627 | | | | 625 | |
Series 2022-1X, Class 2A, Reg. S, (SONIA Interest Rate Benchmark + 0.29%), 4.79%, 01/21/2070 (aa) | | GBP | 550 | | | | 695 | |
Starwood Mortgage Residential Trust, | | | | | | | | |
Series 2020-3, Class A1, 1.49%, 04/25/2065 (e) (z) | | | 193 | | | | 176 | |
Series 2020-INV1, Class A1, 1.03%, 11/25/2055 (e) (z) | | | 118 | | | | 104 | |
Series 2021-2, Class A1, 0.94%, 05/25/2065 (e) (z) | | | 260 | | | | 229 | |
Stratton Mortgage Funding, (United Kingdom), Series 2021-2A, Class A, (SONIA Interest Rate Benchmark + 0.90%), 5.39%, 07/20/2060 (e) (aa) | | GBP | 130 | | | | 165 | |
Towd Point Mortgage Funding, (United Kingdom), Series 2019-A13A, Class A1, (SONIA Interest Rate Benchmark + 1.35%), 5.84%, 07/20/2045 (e) (aa) | | GBP | 529 | | | | 671 | |
Towd Point Mortgage Trust, Series 2019-HY2, Class A1, (ICE LIBOR USD 1 Month + 1.00%), 6.15%, 05/25/2058 (e) (aa) | | | 270 | | | | 269 | |
| | | | | | | | |
Total Collateralized Mortgage Obligations
(Cost $20,756) | | | | | | | 20,032 | |
| | | | | | | | |
Commercial Mortgage-Backed Securities — 4.0% | | | | | |
280 Park Avenue Mortgage Trust, Series 2017-280P, Class A, (ICE LIBOR USD 1 Month + 0.88%), 6.06%, 09/15/2034 (e) (aa) | | | 500 | | | | 485 | |
AREIT Trust, (Cayman Islands), Series 2021-CRE5, Class A, (ICE LIBOR USD 1 Month + 1.08%), 6.24%, 11/17/2038 (e) (aa) | | | 465 | | | | 452 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 24 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Commercial Mortgage-Backed Securities — continued | |
Ashford Hospitality Trust, Series 2018-KEYS, Class A, (ICE LIBOR USD 1 Month + 1.00%), 6.32%, 06/15/2035 (e) (aa) | | | 434 | | | | 422 | |
BAMLL Commercial Mortgage Securities Trust, | | | | | | | | |
Series 2018-DSNY, Class A, (ICE LIBOR USD 1 Month + 0.85%), 6.04%, 09/15/2034 (e) (aa) | | | 853 | | | | 847 | |
Series 2019-RLJ, Class A, (ICE LIBOR USD 1 Month + 1.05%), 6.25%, 04/15/2036 (e) (aa) | | | 400 | | | | 396 | |
BDS LLC, Series 2022-FL12, Class A, (CME Term SOFR 1 Month + 2.14%), 7.23%, 08/19/2038 (e) (aa) | | | 700 | | | | 696 | |
BWAY Mortgage Trust, Series 2021-1450, Class A, (ICE LIBOR USD 1 Month + 1.25%), 6.44%, 09/15/2036 (e) (aa) | | | 500 | | | | 469 | |
CEDR Commercial Mortgage Trust, Series 2022-SNAI, Class A, (CME Term SOFR 1 Month + 0.99%), 6.14%, 02/15/2039 (e) (aa) | | | 530 | | | | 485 | |
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class ASB, 3.09%, 05/10/2058 | | | 665 | | | | 637 | |
Citigroup Commercial Mortgage Trust, | | | | | | | | |
Series 2013-GC15, Class A4, 4.37%, 09/10/2046 (z) | | | 68 | | | | 68 | |
Series 2019-SMRT, Class A, 4.15%, 01/10/2036 (e) | | | 355 | | | | 352 | |
Series 2021-KEYS, Class A, (ICE LIBOR USD 1 Month + 1.18%), 6.37%, 10/15/2036 (e) (aa) | | | 900 | | | | 881 | |
COMM Mortgage Trust, | | | | | | | | |
Series 2013-CR11, Class A4, 4.26%, 08/10/2050 | | | 66 | | | | 66 | |
Series 2014-UBS2, Class ASB, 3.47%, 03/10/2047 | | | 221 | | | | 220 | |
Series 2014-UBS3, Class A4, 3.82%, 06/10/2047 | | | 1,600 | | | | 1,554 | |
Series 2015-LC19, Class ASB, 3.04%, 02/10/2048 | | | 168 | | | | 163 | |
CSMC, Series 2021-BHAR, Class A, (ICE LIBOR USD 1 Month + 1.15%), 6.34%, 11/15/2038 (e) (aa) | | | 974 | | | | 953 | |
DBGS Mortgage Trust, Series 2018-BIOD, Class A, (ICE LIBOR USD 1 Month + 1.05%), 6.25%, 05/15/2035 (e) (aa) | | | 1,188 | | | | 1,177 | |
GS Mortgage Securities Trust, Series 2013-GC16, Class A4, 4.27%, 11/10/2046 | | | 565 | | | | 563 | |
ILPT Commercial Mortgage Trust, Series 2022-LPF2, Class A, (CME Term SOFR 1 Month + 2.25%), 7.39%, 10/15/2039 (e) (aa) | | | 480 | | | | 478 | |
INTOWN Mortgage Trust, Series 2022-STAY, Class A, (CME Term SOFR 1 Month + 2.49%), 7.64%, 08/15/2039 (e) (aa) | | | 1,250 | | | | 1,250 | |
Life Mortgage Trust, Series 2021-BMR, Class A, (CME Term SOFR 1 Month + 0.81%), 5.96%, 03/15/2038 (e) (aa) | | | 295 | | | | 287 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | |
| | | | | | | | |
MF1X, Series 2021-W10, Class A, (CME Term SOFR 1 Month + 1.07%), 6.22%, 12/15/2034 (e) (aa) | | | 1,130 | | | | 1,091 | |
Morgan Stanley Capital I Trust, Series 2019-PLND, Class A, (ICE LIBOR USD 1 Month + 1.00%), 6.19%, 05/15/2036 (e) (aa) | | | 700 | | | | 657 | |
MTN Commercial Mortgage Trust, Series 2022-LPFL, Class A, (CME Term SOFR 1 Month + 1.40%), 6.54%, 03/15/2039 (e) (aa) | | | 1,100 | | | | 1,079 | |
Natixis Commercial Mortgage Securities Trust, Series 2022-RRI, Class A, (CME Term SOFR 1 Month + 1.82%), 6.97%, 03/15/2035 (e) (aa) | | | 773 | | | | 757 | |
Sage AR Funding No. 1 plc, (United Kingdom), Series 1A, Class A, (SONIA Interest Rate Benchmark + 1.25%), 5.97%, 11/17/2030 (e) (aa) | | GBP | 800 | | | | 986 | |
SMRT, Series 2022-MINI, Class A, (CME Term SOFR 1 Month + 1.00%), 6.15%, 01/15/2039 (e) (aa) | | | 350 | | | | 339 | |
SREIT Trust, Series 2021-IND, Class A, (ICE LIBOR USD 1 Month + 0.70%), 5.89%, 10/15/2038 (e) (aa) | | | 900 | | | | 874 | |
Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class A, (CME Term SOFR 1 Month + 2.19%), 7.33%, 05/15/2037 (e) (aa) | | | 745 | | | | 724 | |
Taurus UK DAC, (Ireland), Series 2019-UK2, Class A, Reg. S, (SONIA Interest Rate Benchmark + 1.32%), 6.04%, 11/17/2029 (aa) | | GBP | 950 | | | | 1,184 | |
Vita Scientia DAC, (Ireland), Series 2022-1X, Class A, Reg. S, (ICE LIBOR EUR 3 Month + 1.30%), 4.76%, 02/27/2033 (aa) | | EUR | 1,000 | | | | 1,043 | |
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2, Class A2, 3.02%, 07/15/2058 | | | 129 | | | | 125 | |
WFRBS Commercial Mortgage Trust, Series 2013-C18, Class A5, 4.16%, 12/15/2046 (z) | | | 1,250 | | | | 1,231 | |
| | | | | | | | |
Total Commercial Mortgage-Backed Securities
(Cost $23,748) | | | | | | | 22,991 | |
| | | | | | | | |
Corporate Bonds — 50.5% | | | | | | | | |
Basic Materials — 0.3% | | | | | | | | |
Chemicals — 0.3% | | | | | | | | |
DuPont de Nemours, Inc., (ICE LIBOR USD 3 Month + 1.11%), 6.43%, 11/15/2023 (aa) | | | 1,500 | | | | 1,504 | |
| | | | | | | | |
Communications — 3.7% | | | | | | | | |
Internet — 0.1% | | | | | | | | |
SK Broadband Co. Ltd., (South Korea), Reg. S, 3.88%, 08/13/2023 | | | 400 | | | | 399 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 25 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | | | | | | | | |
Media — 1.0% | | | | | | | | |
Charter Communications Operating LLC / Charter Communications Operating Capital, | | | | | | | | |
4.50%, 02/01/2024 | | | 2,000 | | | | 1,982 | |
(ICE LIBOR USD 3 Month + 1.65%), 6.95%, 02/01/2024 (aa) | | | 4,000 | | | | 4,017 | |
| | | | | | | | |
| | |
| | | | | | | 5,999 | |
| | | | | | | | |
Telecommunications — 2.6% | | | | | | | | |
AT&T, Inc., | | | | | | | | |
Reg. S, (BBSW ASX Australian 3 Month + 1.25%), 5.57%, 09/19/2023 (aa) | | AUD | 720 | | | | 480 | |
(ICE LIBOR USD 3 Month + 1.18%), 6.72%, 06/12/2024 (aa) | | | 5,300 | | | | 5,346 | |
British Telecommunications plc, (United Kingdom), 4.50%, 12/04/2023 | | | 400 | | | | 398 | |
NTT Finance Corp., (Japan), 4.14%, 07/26/2024 (e) | | | 370 | | | | 364 | |
Rogers Communications, Inc., (Canada), 2.95%, 03/15/2025 (e) | | | 3,750 | | | | 3,559 | |
Verizon Communications, Inc., | | | | | | | | |
(SOFR Compounded Index + 0.50%), 5.59%, 03/22/2024 (aa) | | | 5,000 | | | | 5,000 | |
(ICE LIBOR USD 3 Month + 1.10%), 6.42%, 05/15/2025 (aa) | | | 200 | | | | 202 | |
| | | | | | | | |
| | |
| | | | | | | 15,349 | |
| | | | | | | | |
Total Communications | | | | | | | 21,747 | |
| | | | | | | | |
Consumer Cyclical — 5.6% | | | | | | | | |
Auto Manufacturers — 5.1% | | | | | | | | |
American Honda Finance Corp., | | | | | | | | |
0.55%, 07/12/2024 | | | 1,070 | | | | 1,017 | |
0.88%, 07/07/2023 | | | 1,000 | | | | 1,000 | |
5.00%, 05/23/2025 | | | 1,500 | | | | 1,493 | |
BMW US Capital LLC, | | | | | | | | |
(SOFR Compounded Index + 0.38%), 5.47%, 08/12/2024 (e) (aa) | | | 2,130 | | | | 2,125 | |
(SOFR Compounded Index + 0.84%), 5.93%, 04/01/2025 (e) (aa) | | | 1,100 | | | | 1,102 | |
Daimler Truck Finance North America LLC, | | | | | | | | |
1.13%, 12/14/2023 (e) | | | 1,000 | | | | 979 | |
5.20%, 01/17/2025 (e) | | | 2,000 | | | | 1,984 | |
General Motors Financial Co., Inc., | | | | | | | | |
1.05%, 03/08/2024 | | | 2,059 | | | | 1,991 | |
3.50%, 11/07/2024 | | | 1,000 | | | | 966 | |
(United States SOFR + 0.76%), 5.85%, 03/08/2024 (aa) | | | 1,000 | | | | 998 | |
Hyundai Capital America, 1.00%, 09/17/2024 (e) | | | 2,425 | | | | 2,280 | |
Mercedes-Benz Finance North America LLC, 0.75%, 03/01/2024 (e) | | | 3,750 | | | | 3,628 | |
Nissan Motor Acceptance Co. LLC, 1.13%, 09/16/2024 (e) | | | 2,600 | | | | 2,422 | |
Toyota Motor Credit Corp., | | | | | | | | |
(SOFR Compounded Index + 0.33%), 5.34%, 01/11/2024 (aa) | | | 2,000 | | | | 2,000 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | |
| | | | | | | | |
Auto Manufacturers — continued | | | | | | | | |
(SOFR Compounded Index + 0.65%), 5.74%, 12/29/2023 (aa) | | | 2,100 | | | | 2,102 | |
Volkswagen Group of America Finance LLC, | | | | | | | | |
0.88%, 11/22/2023 (e) | | | 1,800 | | | | 1,767 | |
4.25%, 11/13/2023 (e) | | | 2,090 | | | | 2,077 | |
| | | | | | | | |
| | |
| | | | | | | 29,931 | |
| | | | | | | | |
Home Builders — 0.1% | | | | | | | | |
Lennar Corp., 4.50%, 04/30/2024 | | | 500 | | | | 496 | |
| | | | | | | | |
Retail — 0.4% | | | | | | | | |
7-Eleven, Inc., 0.80%, 02/10/2024 (e) | | | 2,174 | | | | 2,107 | |
| | | | | | | | |
Total Consumer Cyclical | | | | | | | 32,534 | |
| | | | | | | | |
Consumer Non-cyclical — 8.6% | | | | | | | | |
Agriculture — 0.4% | | | | | | | | |
Altria Group, Inc., 3.80%, 02/14/2024 | | | 1,500 | | | | 1,480 | |
Imperial Brands Finance plc, (United Kingdom), 3.13%, 07/26/2024 (e) | | | 1,100 | | | | 1,063 | |
| | | | | | | | |
| | |
| | | | | | | 2,543 | |
| | | | | | | | |
Beverages — 0.1% | | | | | | | | |
JDE Peet’s NV, (Netherlands), 0.80%, 09/24/2024 (e) | | | 400 | | | | 375 | |
| | | | | | | | |
Biotechnology — 1.5% | | | | | | | | |
Amgen, Inc., 5.25%, 03/02/2025 | | | 2,935 | | | | 2,919 | |
Gilead Sciences, Inc., | | | | | | | | |
0.75%, 09/29/2023 | | | 2,625 | | | | 2,595 | |
3.70%, 04/01/2024 | | | 3,500 | | | | 3,450 | |
| | | | | | | | |
| | |
| | | | | | | 8,964 | |
| | | | | | | | |
Commercial Services — 0.1% | | | | | | | | |
Transurban Queensland Finance Pty Ltd., (Australia), Reg. S, (BBSW ASX Australian 3 Month + 2.05%), 6.35%,
12/16/2024 (aa) | | AUD | 700 | | | | 472 | |
| | | | | | | | |
Cosmetics/Personal Care — 0.3% | | | | | | | | |
Haleon US Capital LLC, 3.02%, 03/24/2024 | | | 1,800 | | | | 1,761 | |
| | | | | | | | |
Food — 0.9% | | | | | | | | |
General Mills, Inc., | | | | | | | | |
3.65%, 02/15/2024 | | | 2,345 | | | | 2,313 | |
(ICE LIBOR USD 3 Month + 1.01%), 6.27%, 10/17/2023 (aa) | | | 1,797 | | | | 1,801 | |
J M Smucker Co. (The),
3.50%, 03/15/2025 | | | 1,000 | | | | 966 | |
| | | | | | | | |
| | |
| | | | | | | 5,080 | |
| | | | | | | | |
Healthcare — Products — 0.7% | | | | | | | | |
Baxter International, Inc.,
0.87%, 12/01/2023 | | | 1,000 | | | | 979 | |
Stryker Corp.,
0.60%, 12/01/2023 | | | 1,330 | | | | 1,302 | |
Thermo Fisher Scientific, Inc.,
1.22%, 10/18/2024 | | | 850 | | | | 804 | |
(SOFR Compounded Index + 0.53%), 5.56%, 10/18/2024 (aa) | | | 1,285 | | | | 1,285 | |
| | | | | | | | |
| | |
| | | | | | | 4,370 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 26 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | | | | | | | | |
Healthcare — Services — 1.2% | | | | | | | | |
HCA, Inc., 5.00%, 03/15/2024 | | | 3,800 | | | | 3,775 | |
Humana, Inc., 0.65%, 08/03/2023 | | | 3,040 | | | | 3,029 | |
| | | | | | | | |
| | |
| | | | | | | 6,804 | |
| | | | | | | | |
Pharmaceuticals — 3.4% | | | | | | | | |
AbbVie, Inc., | | | | | | | | |
2.60%, 11/21/2024 | | | 6,000 | | | | 5,756 | |
3.60%, 05/14/2025 | | | 1,000 | | | | 967 | |
Bayer US Finance II LLC, | | | | | | | | |
3.88%, 12/15/2023 (e) | | | 5,195 | | | | 5,145 | |
(ICE LIBOR USD 3 Month + 1.01%), 6.56%, 12/15/2023 (e) (aa) | | | 2,700 | | | | 2,697 | |
Cigna Group (The), 3.00%, 07/15/2023 | | | 2,000 | | | | 1,998 | |
CVS Health Corp., 4.00%, 12/05/2023 | | | 600 | | | | 598 | |
Pfizer Investment Enterprises Pte Ltd., (Singapore), 4.65%, 05/19/2025 | | | 1,600 | | | | 1,585 | |
Shire Acquisitions Investments Ireland DAC, (Ireland), 2.88%, 09/23/2023 | | | 796 | | | | 791 | |
Takeda Pharmaceutical Co. Ltd., (Japan), 4.40%, 11/26/2023 | | | 200 | | | | 199 | |
| | | | | | | | |
| | |
| | | | | | | 19,736 | |
| | | | | | | | |
Total Consumer Non-cyclical | | | | | | | 50,105 | |
| | | | | | | | |
Energy — 2.1% | | | | | | | | |
Oil & Gas — 0.5% | | | | | | | | |
Eni SpA, (Italy), Series X-R, 4.00%, 09/12/2023 (e) | | | 1,200 | | | | 1,195 | |
Phillips 66, 0.90%, 02/15/2024 | | | 1,800 | | | | 1,746 | |
| | | | | | | | |
| | |
| | | | | | | 2,941 | |
| | | | | | | | |
Pipelines — 1.6% | | | | | | | | |
Enbridge, Inc., (Canada), | | | | | | | | |
0.55%, 10/04/2023 | | | 220 | | | | 217 | |
2.15%, 02/16/2024 | | | 720 | | | | 703 | |
4.00%, 10/01/2023 | | | 1,750 | | | | 1,743 | |
Kinder Morgan, Inc., 5.63%, 11/15/2023 (e) | | | 500 | | | | 500 | |
Sabine Pass Liquefaction LLC, 5.63%, 03/01/2025 | | | 2,900 | | | | 2,888 | |
Williams Cos., Inc. (The), | | | | | | | | |
4.30%, 03/04/2024 | | | 1,500 | | | | 1,483 | |
4.55%, 06/24/2024 | | | 2,000 | | | | 1,976 | |
| | | | | | | | |
| | |
| | | | | | | 9,510 | |
| | | | | | | | |
Total Energy | | | | | | | 12,451 | |
| | | | | | | | |
Financial — 16.7% | | | | | | | | |
Banks — 14.1% | | | | | | | | |
Aozora Bank Ltd., (Japan), Reg. S, 1.05%, 09/09/2024 | | | 1,000 | | | | 938 | |
Banco Santander SA, (Spain), | | | | | | | | |
(CMT Index 1 Year + 0.45%), 0.70%, 06/30/2024 (aa) | | | 400 | | | | 398 | |
3.89%, 05/24/2024 | | | 500 | | | | 490 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | |
| | | | | | | | |
Banks — continued | | | | | | | | |
Bank of America Corp., (Canada Bankers Acceptances 3 Month + 0.90%), 2.93%, 04/25/2025 (aa) | | CAD | 1,400 | | | | 1,033 | |
(CME Term SOFR 3 Month + 1.20%), 3.86%, 07/23/2024 (aa) | | | 1,000 | | | | 999 | |
(United States SOFR + 1.75%), 4.83%, 07/22/2026 (aa) | | | 4,000 | | | | 3,931 | |
(United States SOFR + 1.29%), 5.08%, 01/20/2027 (aa) | | | 1,300 | | | | 1,279 | |
(United States SOFR + 1.10%), 6.15%, 04/25/2025 (aa) | | | 600 | | | | 602 | |
Bank of Montreal, (Canada), Series H, 4.25%, 09/14/2024 | | | 2,000 | | | | 1,960 | |
Bank of Nova Scotia (The), (Canada), Series FRN, (SOFR Compounded Index + 0.45%), 5.47%, 04/15/2024 (aa) | | | 500 | | | | 499 | |
Banque Federative du Credit Mutuel SA, (France), Reg. S, 1.00%, 02/04/2025 | | | 500 | | | | 461 | |
Barclays plc, (United Kingdom), | | | | | | | | |
(CMT Index 1 Year + 0.80%), 1.01%, 12/10/2024 (aa) | | | 1,000 | | | | 975 | |
(ICE LIBOR USD 3 Month + 1.61%), 3.93%, 05/07/2025 (aa) | | | 700 | | | | 684 | |
BNP Paribas SA, (France), | | | | | | | | |
3.80%, 01/10/2024 (e) | | | 600 | | | | 592 | |
Reg. S, 3.80%, 01/10/2024 | | | 200 | | | | 198 | |
(ICE LIBOR USD 3 Month + 2.24%), 4.71%, 01/10/2025 (e) (aa) | | | 800 | | | | 793 | |
BPCE SA, (France), 4.00%, 04/15/2024 | | | 700 | | | | 689 | |
Citigroup, Inc., | | | | | | | | |
(United States SOFR + 0.69%), 2.01%, 01/25/2026 (aa) | | | 4,250 | | | | 3,992 | |
(BBSW ASX Australian 3 Month + 1.72%), 5.38%, 10/27/2023 (aa) | | AUD | 1,000 | | | | 667 | |
(United States SOFR + 1.37%), 6.46%, 05/24/2025 (aa) | | | 2,000 | | | | 2,009 | |
Credit Suisse AG, (Switzerland), | | | | | | | | |
0.50%, 02/02/2024 | | | 2,700 | | | | 2,597 | |
0.52%, 08/09/2023 | | | 1,100 | | | | 1,091 | |
Danske Bank A/S, (Denmark), | | | | | | | | |
Reg. S, 5.38%, 01/12/2024 | | | 1,200 | | | | 1,193 | |
Reg. S, (ICE LIBOR USD 3 Month + 1.06%), 6.60%, 09/12/2023 (aa) | | | 500 | | | | 501 | |
Deutsche Bank AG, (Germany), | | | | | | | | |
0.90%, 05/28/2024 | | | 2,100 | | | | 1,996 | |
(United States SOFR + 1.13%), 1.45%, 04/01/2025 (aa) | | | 1,700 | | | | 1,615 | |
3.70%, 05/30/2024 | | | 1,700 | | | | 1,651 | |
DNB Bank ASA, (Norway), (SOFR Compounded Index + 0.83%), 5.92%, 03/28/2025 (e) (aa) | | | 1,295 | | | | 1,294 | |
Federation des Caisses Desjardins du Quebec, (Canada), | | | | | | | | |
0.70%, 05/21/2024 (e) | | | 1,000 | | | | 955 | |
2.05%, 02/10/2025 (e) | | | 500 | | | | 469 | |
(United States SOFR + 0.43%), 5.52%, 05/21/2024 (e) (aa) | | | 1,900 | | | | 1,896 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 27 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | | | | | | | | |
Banks — continued | | | | | | | | |
First Abu Dhabi Bank PJSC, (United Arab Emirates), (BBSW ASX Australian 3 Month + 1.10%), 5.02%, 02/18/2025 (aa) | | AUD | 700 | | | | 464 | |
Goldman Sachs Group, Inc. (The), | | | | | | | | |
(United States SOFR + 0.73%), 1.76%, 01/24/2025 (aa) | | | 2,000 | | | | 1,947 | |
(United States SOFR + 0.50%), 5.59%, 09/10/2024 (aa) | | | 2,500 | | | | 2,493 | |
5.70%, 11/01/2024 | | | 2,000 | | | | 1,996 | |
(United States SOFR + 1.39%), 6.48%, 03/15/2024 (aa) | | | 800 | | | | 804 | |
HSBC Holdings plc, (United Kingdom), | | | | | | | | |
(United States SOFR + 0.58%), 5.67%, 11/22/2024 (aa) | | | 620 | | | | 618 | |
(ICE LIBOR USD 3 Month + 1.23%), 6.77%, 03/11/2025 (aa) | | | 1,000 | | | | 1,004 | |
HSBC USA, Inc., 5.63%, 03/17/2025 | | | 1,500 | | | | 1,493 | |
Mitsubishi UFJ Financial Group, Inc., (Japan), | | | | | | | | |
(ICE LIBOR USD 3 Month + 0.86%), 6.13%, 07/26/2023 (aa) | | | 2,300 | | | | 2,301 | |
(United States SOFR + 1.65%), 6.68%, 07/18/2025 (aa) | | | 1,300 | | | | 1,310 | |
Morgan Stanley, | | | | | | | | |
(United States SOFR + 0.56%), 1.16%, 10/21/2025 (aa) | | | 1,400 | | | | 1,309 | |
(United States SOFR + 0.46%), 5.52%, 01/25/2024 (aa) | | | 7,200 | | | | 7,192 | |
NatWest Group plc, (United Kingdom), (ICE LIBOR USD 3 Month + 1.76%), 4.27%, 03/22/2025 (aa) | | | 325 | | | | 319 | |
NatWest Markets plc, (United Kingdom), 3.48%, 03/22/2025 (e) | | | 825 | | | | 791 | |
Oversea-Chinese Banking Corp. Ltd., (Singapore), | | | | | | | | |
(BBSW ASX Australian 3 Month + 0.26%), 4.15%, 08/12/2024 (aa) | | AUD | 1,000 | | | | 664 | |
(BBSW ASX Australian 3 Month + 0.35%), 4.67%, 03/18/2024 (f) (aa) | | AUD | 1,000 | | | | 665 | |
Royal Bank of Canada, (Canada),
5.66%, 10/25/2024 | | | 980 | | | | 980 | |
Santander UK Group Holdings plc, (United Kingdom), (ICE LIBOR USD 3 Month + 1.57%), 4.80%, 11/15/2024 (aa) | | | 1,100 | | | | 1,092 | |
Societe Generale SA, (France), | | | | | | | | |
2.63%, 01/22/2025 (e) | | | 800 | | | | 752 | |
3.88%, 03/28/2024 (e) | | | 700 | | | | 685 | |
4.25%, 09/14/2023 (e) | | | 300 | | | | 298 | |
Standard Chartered plc, (United Kingdom), (ICE LIBOR USD 3 Month + 1.56%), 3.79%, 05/21/2025 (e) (aa) | | | 1,600 | | | | 1,560 | |
Sumitomo Mitsui Financial Group, Inc., (Japan), Reg. S, (BBSW ASX Australian 3 Month + 1.25%), 4.91%, 10/16/2024 (aa) | | AUD | 2,300 | | | | 1,530 | |
Sumitomo Mitsui Trust Bank Ltd., (Japan), 0.80%, 09/16/2024 (e) | | | 200 | | | | 188 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | |
| | | | | | | | |
Banks — continued | | | | | | | | |
Toronto-Dominion Bank (The), (Canada), | | | | | | | | |
3.25%, 03/11/2024 | | | 1,200 | | | | 1,180 | |
4.29%, 09/13/2024 | | | 2,000 | | | | 1,964 | |
(United States SOFR + 0.45%), 5.54%, 09/28/2023 (aa) | | | 1,700 | | | | 1,700 | |
UBS AG, (Switzerland), | | | | | | | | |
Reg. S, (BBSW ASX Australian 3 Month + 0.87%), 4.55%, 07/30/2025 (aa) | | AUD | 2,100 | | | | 1,392 | |
(United States SOFR + 0.36%), 5.45%, 02/09/2024 (e) (aa) | | | 1,000 | | | | 998 | |
(United States SOFR + 0.45%), 5.54%, 08/09/2024 (e) (aa) | | | 1,615 | | | | 1,610 | |
Wells Fargo & Co., 2.51%, 10/27/2023 (f) | | CAD | 2,500 | | | | 1,870 | |
| | | | | | | | |
| | |
| | | | | | | 81,616 | |
| | | | | | | | |
Diversified Financial Services — 2.3% | | | | | | | | |
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, (Ireland), | | | | | | | | |
4.50%, 09/15/2023 | | | 200 | | | | 199 | |
4.88%, 01/16/2024 | | | 2,000 | | | | 1,986 | |
American Express Co., | | | | | | | | |
3.40%, 02/22/2024 | | | 2,000 | | | | 1,970 | |
(United States SOFR + 0.93%), 6.02%, 03/04/2025 (aa) | | | 1,120 | | | | 1,127 | |
Capital One Financial Corp., (United States SOFR + 1.37%), 4.17%, 05/09/2025 (aa) | | | 2,700 | | | | 2,630 | |
Mitsubishi HC Capital, Inc., (Japan), 3.96%, 09/19/2023 (e) | | | 550 | | | | 547 | |
Nomura Holdings, Inc., (Japan), 1.85%, 07/16/2025 | | | 1,900 | | | | 1,738 | |
ORIX Corp., (Japan), 3.25%, 12/04/2024 | | | 400 | | | | 384 | |
Synchrony Financial, 4.38%, 03/19/2024 | | | 2,750 | | | | 2,696 | |
| | | | | | | | |
| | |
| | | | | | | 13,277 | |
| | | | | | | | |
Insurance — 0.1% | | | | | | | | |
Marsh & McLennan Cos., Inc., 3.88%, 03/15/2024 | | | 713 | | | | 704 | |
| | | | | | | | |
Savings & Loans — 0.2% | | | | | | | | |
Nationwide Building Society, (United Kingdom), | | | | | | | | |
0.55%, 01/22/2024 (e) | | | 400 | | | | 388 | |
Reg. S, (ICE LIBOR USD 3 Month + 1.39%), 4.36%, 08/01/2024 (aa) | | | 1,000 | | | | 998 | |
| | | | | | | | |
| | |
| | | | | | | 1,386 | |
| | | | | | | | |
Total Financial | | | | | | | 96,983 | |
| | | | | | | | |
Industrial — 5.9% | | | | | | | | |
Aerospace/Defense — 1.5% | | | | | | | | |
Boeing Co. (The), | | | | | | | | |
1.43%, 02/04/2024 | | | 3,600 | | | | 3,504 | |
1.95%, 02/01/2024 | | | 3,000 | | | | 2,932 | |
Northrop Grumman Corp., 2.93%, 01/15/2025 | | | 2,000 | | | | 1,921 | |
| | | | | | | | |
| | |
| | | | | | | 8,357 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 28 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | | | | | | | | |
Building Materials — 0.1% | | | | | | | | |
Martin Marietta Materials, Inc., 0.65%, 07/15/2023 | | | 695 | | | | 694 | |
| | | | | | | | |
Machinery — Construction & Mining — 0.7% | | | | | | | | |
Caterpillar Financial Services Corp., | | | | | | | | |
(United States SOFR + 0.45%), 5.54%, 11/13/2023 (aa) | | | 835 | | | | 836 | |
(United States SOFR + 0.52%), 5.61%, 06/13/2025 (aa) | | | 2,000 | | | | 2,007 | |
Komatsu Finance America, Inc., Reg. S, 0.85%, 09/09/2023 | | | 1,200 | | | | 1,188 | |
| | | | | | | | |
| | |
| | | | | | | 4,031 | |
| | | | | | | | |
Machinery — Diversified — 0.8% | | | | | | | | |
CNH Industrial Capital LLC, 1.95%, 07/02/2023 | | | 700 | | | | 700 | |
CNH Industrial NV, (Netherlands), 4.50%, 08/15/2023 | | | 1,000 | | | | 999 | |
John Deere Capital Corp., 5.15%, 03/03/2025 | | | 2,600 | | | | 2,599 | |
Rockwell Automation, Inc., 0.35%, 08/15/2023 | | | 480 | | | | 477 | |
| | | | | | | | |
| | |
| | | | | | | 4,775 | |
| | | | | | | | |
Miscellaneous Manufacturers — 0.9% | | | | | | | | |
Parker-Hannifin Corp., 3.65%, 06/15/2024 | | | 5,100 | | | | 4,997 | |
| | | | | | | | |
Transportation — 1.4% | | | | | | | | |
Canadian Pacific Railway Co., (Canada), 1.35%, 12/02/2024 | | | 3,540 | | | | 3,326 | |
Ryder System, Inc., | | | | | | | | |
3.65%, 03/18/2024 | | | 1,000 | | | | 983 | |
3.88%, 12/01/2023 | | | 2,000 | | | | 1,983 | |
Union Pacific Corp., 3.15%, 03/01/2024 | | | 2,000 | | | | 1,968 | |
| | | | | | | | |
| | |
| | | | | | | 8,260 | |
| | | | | | | | |
Trucking & Leasing — 0.5% | | | | | | | | |
Penske Truck Leasing Co. LP / PTL Finance Corp., 3.90%, 02/01/2024 (e) | | | 2,000 | | | | 1,974 | |
SMBC Aviation Capital Finance DAC, (Ireland), Reg. S, 4.13%, 07/15/2023 | | | 1,000 | | | | 999 | |
| | | | | | | | |
| | |
| | | | | | | 2,973 | |
| | | | | | | | |
Total Industrial | | | | | | | 34,087 | |
| | | | | | | | |
Technology — 5.0% | | | | | | | | |
Semiconductors — 1.4% | | | | | | | | |
Broadcom Corp. / Broadcom Cayman Finance Ltd., (Multinational), 3.63%, 01/15/2024 | | | 2,000 | | | | 1,976 | |
NXP BV / NXP Funding LLC, (Multinational),
4.88%, 03/01/2024 | | | 4,600 | | | | 4,567 | |
SK Hynix, Inc., (South Korea), | | | | | | | | |
1.00%, 01/19/2024 (e) | | | 400 | | | | 389 | |
Reg. S, 1.00%, 01/19/2024 | | | 1,300 | | | | 1,263 | |
| | | | | | | | |
| | |
| | | | | | | 8,195 | |
| | | | | | | | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Software — 3.6% | | | | | | | | |
Fidelity National Information Services, Inc.,
0.60%, 03/01/2024 | | | 2,865 | | | | 2,765 | |
Fiserv, Inc., | | | | | | | | |
2.75%, 07/01/2024 | | | 1,500 | | | | 1,455 | |
3.80%, 10/01/2023 | | | 3,415 | | | | 3,398 | |
Oracle Corp., | | | | | | | | |
2.40%, 09/15/2023 | | | 3,500 | | | | 3,476 | |
2.95%, 11/15/2024 | | | 1,000 | | | | 965 | |
2.95%, 05/15/2025 | | | 1,000 | | | | 954 | |
3.40%, 07/08/2024 | | | 1,625 | | | | 1,584 | |
VMware, Inc., | | | | | | | | |
0.60%, 08/15/2023 | | | 4,800 | | | | 4,771 | |
1.00%, 08/15/2024 | | | 1,500 | | | | 1,420 | |
| | | | | | | | |
| | |
| | | | | | | 20,788 | |
| | | | | | | | |
Total Technology | | | | | | | 28,983 | |
| | | | | | | | |
Utilities — 2.6% | | | | | | | | |
Electric — 2.6% | | | | | | | | |
Ausgrid Finance Pty Ltd., (Australia), Reg. S, (BBSW ASX Australian 3 Month + 1.22%), 4.90%, 10/30/2024 (aa) | | AUD | 1,500 | | | | 1,001 | |
Dominion Energy, Inc., Series D, (ICE LIBOR USD 3 Month + 0.53%), 6.08%, 09/15/2023 (aa) | | | 1,800 | | | | 1,800 | |
Enel Finance International NV, (Netherlands), | | | | | | | | |
2.65%, 09/10/2024 (e) | | | 1,500 | | | | 1,443 | |
4.25%, 06/15/2025 (e) | | | 300 | | | | 291 | |
Israel Electric Corp. Ltd., (Israel), Series 6, Reg. S, 5.00%, 11/12/2024 (e) | | | 800 | | | | 791 | |
Kansai Electric Power Co., Inc. (The), (Japan), Reg. S, 2.55%, 09/17/2024 | | | 1,740 | | | | 1,664 | |
NextEra Energy Capital Holdings, Inc., | | | | | | | | |
2.94%, 03/21/2024 | | | 4,000 | | | | 3,924 | |
4.26%, 09/01/2024 | | | 1,175 | | | | 1,156 | |
Pacific Gas and Electric Co., | | | | | | | | |
3.40%, 08/15/2024 | | | 100 | | | | 97 | |
3.75%, 02/15/2024 | | | 100 | | | | 98 | |
3.85%, 11/15/2023 | | | 100 | | | | 99 | |
4.25%, 08/01/2023 | | | 800 | | | | 799 | |
WEC Energy Group, Inc., 0.80%, 03/15/2024 | | | 2,000 | | | | 1,930 | |
| | | | | | | | |
Total Utilities | | | | | | | 15,093 | |
| | | | | | | | |
Total Corporate Bonds | | | | | | | | |
(Cost $296,704) | | | | | | | 293,487 | |
| | | | | | | | |
Foreign Government Securities — 0.7% | | | | | | | | |
Export-Import Bank of Korea, (South Korea),
4.88%, 01/11/2026 | | | 500 | | | | 494 | |
International Bank for Reconstruction & Development, (Supranational), 0.65%, 02/10/2026 | | | 3,100 | | | | 2,769 | |
Korea National Oil Corp., (South Korea), Reg. S, (ICE LIBOR USD 3 Month + 0.88%), 6.14%, 07/16/2023 (aa) | | | 800 | | | | 800 | |
| | | | | | | | |
Total Foreign Government Securities (Cost $4,399) | | | | | | | 4,063 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 29 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — 0.4% (t) | | | | | | | | |
California — 0.1% | | | | | | | | |
Municipal Improvement Corp. of Los Angeles, Series A, Rev., 0.42%, 11/01/2023 | | | 590 | | | | 580 | |
| | | | | | | | |
Maryland — 0.1% | | | | | | | | |
State of Maryland Department of Transportation, Series A, Rev., 0.36%, 08/01/2023 | | | 450 | | | | 448 | |
| | | | | | | | |
Pennsylvania — 0.2% | | | | | | | | |
Philadelphia Authority for Industrial Development, Rev., 0.94%, 04/15/2024 | | | 1,555 | | | | 1,494 | |
| | | | | | | | |
Total Municipal Bonds | | | | | | | | |
(Cost $2,595) | | | | | | | 2,522 | |
| | | | | | | | |
U.S. Government Agency Securities — 7.4% | | | | | |
FHLBs, | | | | | | | | |
0.38%, 05/17/2024 | | | 1,500 | | | | 1,434 | |
0.40%, 05/24/2024 | | | 1,360 | | | | 1,299 | |
0.46%, 09/10/2024 | | | 2,500 | | | | 2,355 | |
1.04%, 06/14/2024 | | | 2,000 | | | | 1,916 | |
3.63%, 02/28/2024 | | | 1,000 | | | | 987 | |
5.17%, 03/08/2024 | | | 2,000 | | | | 1,993 | |
5.28%, 05/06/2024 | | | 1,700 | | | | 1,692 | |
5.30%, 12/06/2024 | | | 1,000 | | | | 992 | |
5.35%, 05/17/2024 | | | 1,700 | | | | 1,692 | |
5.50%, 04/01/2024 | | | 3,000 | | | | 2,997 | |
5.51%, 04/01/2024 | | | 2,000 | | | | 1,994 | |
5.55%, 04/05/2024 | | | 2,000 | | | | 1,994 | |
5.65%, 05/28/2025 | | | 1,700 | | | | 1,700 | |
5.71%, 03/14/2025 | | | 1,700 | | | | 1,692 | |
FHLMC, | | | | | | | | |
4.05%, 08/28/2025 | | | 2,500 | | | | 2,445 | |
5.05%, 01/28/2025 | | | 1,000 | | | | 990 | |
5.08%, 10/25/2024 | | | 1,000 | | | | 991 | |
5.36%, 11/22/2024 | | | 1,700 | | | | 1,688 | |
5.38%, 04/24/2025 | | | 1,000 | | | | 993 | |
5.52%, 05/28/2025 | | | 1,700 | | | | 1,689 | |
5.55%, 05/09/2025 | | | 1,700 | | | | 1,696 | |
5.65%, 03/07/2025 | | | 3,400 | | | | 3,384 | |
5.68%, 04/03/2025 | | | 1,700 | | | | 1,692 | |
5.73%, 04/03/2025 | | | 1,700 | | | | 1,693 | |
FNMA, 4.00%, 02/28/2025 | | | 1,000 | | | | 978 | |
| | | | | | | | |
Total U.S. Government Agency Securities | | | | | | | | |
(Cost $43,253) | | | | | | | 42,976 | |
| | | | | | | | |
U.S. Treasury Obligations — 1.8% | | | | | | | | |
U.S. Treasury Notes, | | | | | | | | |
2.00%, 04/30/2024 | | | 5,500 | | | | 5,346 | |
2.25%, 04/30/2024 | | | 5,000 | | | | 4,871 | |
| | | | | | | | |
Total U.S. Treasury Obligations | | | | | | | | |
(Cost $10,275) | | | | | | | 10,217 | |
| | | | | | | | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Short-Term Investments — 12.1% | | | | | | | | |
Banker’s Acceptance Bill — 0.5% | | | | | | | | |
Bank of Nova Scotia, (Canada), 4.82%, 08/11/2023 (n) | | CAD | 3,900 | | | | 2,926 | |
| | | | | | | | |
Certificates of Deposit — 1.4% | | | | | | | | |
Barclays Bank plc, (United Kingdom), 4.06%, 07/13/2023 (e) (n) | | | 2,000 | | | | 1,999 | |
Citibank NA, 0.00%, 09/21/2023 (n) | | | 2,000 | | | | 1,997 | |
Natixis SA, 4.06%, 08/18/2023 (n) | | | 2,000 | | | | 1,996 | |
Royal Bank of Canada, 5.97%, 06/27/2024 (e) (n) | | | 2,000 | | | | 2,000 | |
| | | | | | | | |
Total Certificates of Deposit | | | | | | | 7,992 | |
| | | | | | | | |
Commercial Papers — 4.1% | | | | | | | | |
American Electric Power Co., Inc., | | | | | | | | |
5.47%, 08/07/2023 (e) (n) | | | 1,000 | | | | 994 | |
5.47%, 08/08/2023 (e) (n) | | | 800 | | | | 795 | |
American Honda Finance Corp., 5.48%, 07/21/2023 (n) | | | 2,000 | | | | 1,994 | |
AT&T, Inc., 5.93%, 02/21/2024 (e) (n) | | | 2,000 | | | | 1,924 | |
Bayer Corp., 07/10/2023 (e) (n) | | | 1,500 | | | | 1,498 | |
Conagra Brands, Inc., 5.79%, 07/05/2023 (e) (n) | | | 300 | | | | 300 | |
Consolidated Edison Co. of New York, Inc., 5.45%, 07/17/2023 (e) (n) | | | 1,600 | | | | 1,596 | |
Electricite de France SA, | | | | | | | | |
5.55%, 08/03/2023 (e) (n) | | | 350 | | | | 348 | |
5.55%, 08/04/2023 (e) (n) | | | 350 | | | | 348 | |
5.60%, 07/14/2023 (e) (n) | | | 1,000 | | | | 998 | |
Enbridge US, Inc., 5.47%, 07/27/2023 (e) (n) | | | 1,000 | | | | 996 | |
Enel Finance America LLC, 5.53%, 09/01/2023 (e) (n) | | | 1,500 | | | | 1,486 | |
Global Payments, Inc., 5.98%, 07/14/2023 (n) | | | 800 | | | | 798 | |
HSBC USA, Inc., | | | | | | | | |
4.50%, 08/23/2023 (n) | | | 500 | | | | 496 | |
6.55%, 06/24/2024 (n) | | | 750 | | | | 704 | |
Humana, Inc., 5.47%, 07/19/2023 (e) (n) | | | 1,700 | | | | 1,695 | |
Keurig Dr Pepper, Inc., 5.26%, 07/05/2023 (e) (n) | | | 400 | | | | 400 | |
Leidos, Inc., 5.93%, 07/10/2023 (e) (n) | | | 1,100 | | | | 1,098 | |
Northrop Grumman Corp., 5.68%, 08/22/2023 (n) | | | 1,800 | | | | 1,785 | |
Raytheon Technologies Corp., 5.49%, 07/12/2023 (e) (n) | | | 1,800 | | | | 1,797 | |
VW Credit, Inc., 5.43%, 07/24/2023 (e) (n) | | | 1,700 | | | | 1,694 | |
| | | | | | | | |
Total Commercial Papers | | | | | | | 23,744 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 30 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Short-Term Investments — continued | | | | | | | | |
Corporate Bond — 0.2% | | | | | | | | |
Warnermedia Holdings, Inc., 3.43%, 03/15/2024 | | | 1,400 | | | | 1,375 | |
| | | | | | | | |
Foreign Government Securities — 3.6% | | | | | | | | |
Canadian Treasury Bill, (Canada), Zero Coupon, 09/14/2023 | | CAD | 2,000 | | | | 1,494 | |
Japan Treasury Discount Bills, (Japan), | | | | | | | | |
Series 1102, Zero Coupon, 08/21/2023 | | JPY | 1,400,000 | | | | 9,704 | |
Series 1153, Zero Coupon, 07/31/2023 | | JPY | 1,400,000 | | | | 9,704 | |
| | | | | | | | |
Total Foreign Government Securities | | | | | | | 20,902 | |
| | | | | | | | |
Repurchase Agreement — 0.6% | | | | | | | | |
BNP Paribas Securities Corp.,
5.11%, dated 06/30/2023 due 07/03/2023, repurchase price
$3,501 collateralized by U.S. Treasury Security, 1.25%, due 08/15/2031, with a value of $3,570. | | | 3,500 | | | | 3,500 | |
| | | | | | | | |
Time Deposits — 1.7% | | | | | | | | |
Australia & New Zealand Banking Group Ltd., | | | | | | | | |
2.77%, 07/03/2023 | | AUD | 30 | | | | 20 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Time Deposits — continued | | | | | | | | |
4.42%, 07/03/2023 | | | 959 | | | | 959 | |
Brown Brothers Harriman, 3.90%, 07/03/2023 | | NZD | — | (h) | | | — | (h) |
Citibank NA, 4.42%, 07/03/2023 | | | 8,595 | | | | 8,595 | |
Royal Bank of Canada, 3.54%, 07/04/2023 | | CAD | 133 | | | | 100 | |
Skandinaviska Enskilda Banken AB, | | | | | | | | |
2.37%, 07/03/2023 | | EUR | 126 | | | | 138 | |
3.92%, 07/03/2023 | | GBP | 12 | | | | 16 | |
| | | | | | | | |
Total Time Deposits | | | | | | | 9,828 | |
| | | | | | | | |
U.S. Treasury Obligation — 0.0% (g) | | | | | | | | |
U.S. Treasury Bill, Zero Coupon, 09/12/2023 (ii) | | | 14 | | | | 14 | |
| | | | | | | | |
Total Short-Term Investments | | | | | | | | |
(Cost $71,027) | | | | | | | 70,281 | |
| | | | | | | | |
| | |
Total Investments — 99.2%
(Cost — $583,171) * | | | | | | | 575,968 | |
| | |
Other Assets in Excess of Liabilities — 0.8% | | | | | | | 4,613 | |
| | | | | | | | |
| | |
NET ASSETS — 100.0% | | | | | | | $580,581 | |
| | | | | | | | |
Percentages indicated are based on net assets.
| | | | | | | | | | | | | | | | | | | | |
| Futures contracts outstanding as of June 30, 2023: | |
| Exchange Traded | |
| DESCRIPTION | | NUMBER OF CONTRACTS | | | EXPIRATION
DATE | | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT ($) | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
SOFR 3 Month | | | 174 | | | | 09/2023 | | | | USD | | | | 41,043 | | | | 107 | |
U.S. Treasury 2 Year Note | | | 158 | | | | 09/2023 | | | | USD | | | | 32,338 | | | | (209 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (102 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Short Contracts | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury 2 Year Note | | | (145 | ) | | | 09/2023 | | | | USD | | | | (29,863 | ) | | | 378 | |
U.S. Treasury 5 Year Note | | | (114 | ) | | | 09/2023 | | | | USD | | | | (12,387 | ) | | | 179 | |
U.S. Treasury Ultra Bond | | | (1 | ) | | | 09/2023 | | | | USD | | | | (135 | ) | | | (2 | ) |
U.S. Ultra Treasury 10 Year Note | | | (28 | ) | | | 09/2023 | | | | USD | | | | (3,354 | ) | | | 38 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 593 | |
| | | | | | | | | | | | | | | | | | | | |
Total unrealized appreciation (depreciation) | | | | | | | | | | | | | | | | | | | 491 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| Forward foreign currency exchange contracts outstanding as of June 30, 2023: | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT DATE | | | UNREALIZED APPRECIATION (DEPRECIATION) ($) | |
USD | | | 10,203 | | | JPY | | | 1,400,000 | | | Nomura International plc | | | 07/31/2023 | | | | 459 | |
USD | | | 10,548 | | | AUD | | | 15,604 | | | Bank of America, NA | | | 08/16/2023 | | | | 140 | |
AUD | | | 2,596 | | | USD | | | 1,700 | | | Morgan Stanley & Co. | | | 08/16/2023 | | | | 32 | |
USD | | | 10,248 | | | JPY | | | 1,400,000 | | | UBS AG LONDON | | | 08/21/2023 | | | | 473 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 31 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | | | | | | | | | | | | | |
| Forward foreign currency exchange contracts outstanding as of June 30, 2023: | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT DATE | | | UNREALIZED APPRECIATION (DEPRECIATION) ($) | |
USD | | | 10,033 | | | EUR | | | 9,143 | | | BNP Paribas | | | 09/20/2023 | | | | 17 | |
USD | | | 8,157 | | | GBP | | | 6,361 | | | BNP Paribas | | | 09/20/2023 | | | | 76 | |
USD | | | 111 | | | GBP | | | 87 | | | Citibank, NA | | | 09/20/2023 | | | | — (h) | |
| | | | | | | | | | | | | | | | | | | | |
Total unrealized appreciation | | | | | | | 1,197 | |
| | | | | | | | | | | | | | | | | | | | |
USD | | | 897 | | | CAD | | | 1,200 | | | Bank of America, NA | | | 07/05/2023 | | | | (9) | |
USD | | | 2,760 | | | CAD | | | 3,756 | | | Bank of America, NA | | | 07/05/2023 | | | | (75) | |
USD | | | 974 | | | CAD | | | 1,300 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | (8) | |
GBP | | | 219 | | | USD | | | 280 | | | Barclays Bank plc | | | 07/05/2023 | | | | (1) | |
USD | | | 2,584 | | | GBP | | | 2,079 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | (56) | |
USD | | | 2,903 | | | CAD | | | 3,900 | | | Deutsche Bank AG | | | 08/11/2023 | | | | (43) | |
AUD | | | 1,014 | | | USD | | | 689 | | | Morgan Stanley & Co. | | | 08/16/2023 | | | | (13) | |
AUD | | | 1,209 | | | USD | | | 809 | | | Morgan Stanley & Co. | | | 08/16/2023 | | | | (3) | |
USD | | | 1,494 | | | CAD | | | 2,000 | | | Citibank, NA | | | 09/14/2023 | | | | (18) | |
USD | | | 62 | | | EUR | | | 57 | | | BNP Paribas | | | 09/20/2023 | | | | (-)(h) | |
USD | | | 663 | | | CAD | | | 900 | | | Deutsche Bank AG | | | 12/08/2023 | | | | (19) | |
| | | | | | | | | | | | | | | | | | | | |
Total unrealized depreciation | | | | | | | (245) | |
| | | | | | | | | | | | | | | | | | | | |
Net unrealized appreciation (depreciation) | | | | | | | 952 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Centrally Cleared Credit Default Swaps contracts outstanding — buy protection (1) as of June 30, 2023: | |
| REFERENCE OBLIGATION/ INDEX | | FINANCING
RATE PAID
BY THE
FUND(%) | | | PAYMENT
FREQUENCY | | | MATURITY DATE | | | IMPLIED CREDIT
SPREAD (%) (2) | | | NOTIONAL AMOUNT (3) | | | UPFRONT PAYMENTS (RECEIPTS) ($) (4) | | | UNREALIZED APPRECIATION (DEPRECIATION)
($) | | | VALUE ($) | |
CDX.NA.IG.40-V1 | | | 1.00 | % | | | quarterly | | | | 06/20/2028 | | | | 0.66 | | | | USD | | | | 11,300 | | | | (104 | ) | | | (70 | ) | | | (174 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | (104 | ) | | | (70 | ) | | | (174 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (1) | The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay or receive an upfront premium to or from the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. |
| (2) | Implied credit spreads are an indication of the seller’s performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e. make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average spread across the underlying reference obligations included in a particular index. |
| (3) | The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive, upon occurrence of a credit event. |
| (4) | Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 32 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023
| | |
| ASX | | — Australian Stock Exchange |
| BBSW | | — Bank Bill Swap Rate |
| CDX | | — Credit Default Swap Index |
| CLO | | — Collateralized Loan Obligations |
| CMT | | — Constant Maturity Treasury |
| FHLB | | — Federal Home Loan Bank |
| FHLMC | | — Federal Home Loan Mortgage Corp. |
| FNMA | | — Federal National Mortgage Association |
| GNMA | | — Government National Mortgage Association |
| ICE | | — Intercontinental Exchange |
| LIBOR | | — London Interbank Offered Rate |
| Reg. S | | — Security was purchased pursuant to Regulation S under the Securities Act of 1933, as amended (the “Securities Act”), which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act, or pursuant to an exemption from registration. |
| REMICS | | — Real Estate Mortgage Investment Conduit |
| Rev. | | — Revenue |
| SOFR | | — Secured Overnight Financing Rate |
| SONIA | | — Sterling Overnight Interbank Average Rate |
| SUB | | — Step-Up Bond. The interest rate shown is the rate in effect as of June 30, 2023. |
| (e) | | — Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| | |
| (f) | | — Security is exempt from registration under Rule 144A or Section 4 (a) (2) of the Securities Act of 1933, as amended. |
| (g) | | — Amount rounds to less than 0.05%. |
| (h) | | — Amount rounds to less than 500 shares or principal/ $500. |
| (n) | | — The rate shown is the effective yield as of June 30, 2023. |
| (t) | | — The date shown represents the earliest of the next put date, next demand date or final maturity date. |
| (z) | | — Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of June 30, 2023. |
| (aa) | | — Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of June 30, 2023. |
| (ii) | | — Approximately $14 of this investment is restricted as collateral for forwards to Morgan Stanley & Co. International plc. |
| * | | — The cost of securities is substantially the same for federal income tax purposes. |
| AUD | | — Australian Dollar |
| CAD | | — Canadian Dollar |
| EUR | | — Euro |
| GBP | | — British Pound |
| JPY | | — Japanese Yen |
| NZD | | — New Zealand Dollar |
| USD | | — United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 33 |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Asset-Backed Securities — 6.0% | |
American Express Credit Account Master Trust, Series 2022-2, Class A, 3.39%, 05/15/2027 | | | 1,200 | | | | 1,158 | |
BMW Canada Auto Trust, (Canada), | | | | | | | | |
Series 2022-1A, Class A1, 3.65%, 12/20/2024 (e) | | CAD | 339 | | | | 255 | |
Series 2023-1A, Class A1, 5.43%, 01/20/2026 (e) | | CAD | 1,000 | | | | 753 | |
BMW Vehicle Lease Trust, Series 2023-1, Class A2, 5.27%, 02/25/2025 | | | 1,000 | | | | 998 | |
Capital One Multi-Asset Execution Trust, | | | | | | | | |
Series 2017-A5, Class A5, (ICE LIBOR USD 1 Month + 0.58%), 5.77%, 07/15/2027 (aa) | | | 1,000 | | | | 1,001 | |
Series 2022-A2, Class A, 3.49%, 05/15/2027 | | | 500 | | | | 483 | |
Capital One Prime Auto Receivables Trust, Series 2022-2, Class A2B, (United States 30 Day Average SOFR + 0.65%), 5.72%,
09/15/2025 (aa) | | | 1,415 | | | | 1,415 | |
Carmax Auto Owner Trust, | | | | | | | | |
Series 2022-4, Class A2A, 5.34%, 12/15/2025 | | | 598 | | | | 596 | |
Series 2022-4, Class A2B, (United States 30 Day Average SOFR + 0.90%), 5.97%, 12/15/2025 (aa) | | | 1,110 | | | | 1,112 | |
CIT Mortgage Loan Trust, Series 2007-1, Class 1A, (ICE LIBOR USD 1 Month + 1.35%), 6.50%, 10/25/2037 (e) (aa) | | | 53 | | | | 53 | |
Citibank Credit Card Issuance Trust, | | | | | | | | |
Series 2017-A5, Class A5, (ICE LIBOR USD 1 Month + 0.62%), 5.77%,
04/22/2026 (aa) | | | 1,000 | | | | 1,002 | |
Series 2017-A6, Class A6, (ICE LIBOR USD 1 Month + 0.77%), 5.99%,
05/14/2029 (aa) | | | 2,000 | | | | 1,998 | |
Series 2018-A5, Class A5, (ICE LIBOR USD 1 Month + 0.61%), 5.80%, 08/07/2027 (aa) | | | 1,000 | | | | 1,002 | |
Dell Equipment Finance Trust, | | | | | | | | |
Series 2021-2, Class A3, 0.53%, 12/22/2026 (e) | | | 466 | | | | 456 | |
Series 2023-2, Class A2, 5.84%, 01/22/2029 (e) | | | 500 | | | | 501 | |
Discover Card Execution Note Trust, Series 2017-A5, Class A5, (ICE LIBOR USD 1 Month + 0.60%), 5.79%, 12/15/2026 (aa) | | | 1,000 | | | | 1,000 | |
ELFI Graduate Loan Program LLC, Series 2021-A, Class A, 1.53%, 12/26/2046 (e) | | | 832 | | | | 706 | |
Enterprise Fleet Financing LLC, Series 2022-1, Class A2, 3.03%, 01/20/2028 (e) | | | 733 | | | | 714 | |
Ford Auto Securitization Trust, (Canada), Series 2021-AA, Class A2, 1.16%, 10/15/2025 (e) | | CAD | 371 | | | | 274 | |
Ford Credit Auto Owner Trust, Series 2023-A, Class A1, 5.03%, 04/15/2024 | | | 880 | | | | 879 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Ford Credit Floorplan Master Owner Trust A, Series 2020-1, Class A1, 0.70%, 09/15/2025 | | | 1,700 | | | | 1,681 | |
GM Financial Automobile Leasing Trust, | | | | | | | | |
Series 2022-2, Class A2, 2.93%, 10/21/2024 | | | 378 | | | | 375 | |
Series 2022-3, Class A2A, 4.01%, 10/21/2024 | | | 573 | | | | 570 | |
Series 2023-1, Class A2A, 5.27%, 06/20/2025 | | | 1,300 | | | | 1,295 | |
Series 2023-2, Class A2A, 5.44%, 10/20/2025 | | | 1,000 | | | | 996 | |
GM Financial Consumer Automobile Receivables Trust, | | | | | | | | |
Series 2022-3, Class A2B, (United States 30 Day Average SOFR + 0.60%), 5.67%, 09/16/2025 (aa) | | | 1,326 | | | | 1,326 | |
Series 2023-2, Class A2A, 5.10%, 05/18/2026 | | | 1,000 | | | | 995 | |
GMF Canada Leasing Trust Asset-Backed Notes, (Canada), Series 2023-1A, Class A1, 5.46%, 04/21/2025 (e) | | CAD | 1,400 | | | | 1,055 | |
Hertz Vehicle Financing III LLC, Series 2022-3A, Class A, 3.37%, 03/25/2025 (e) | | | 100 | | | | 98 | |
Hyundai Auto Lease Securitization Trust, | | | | | | | | |
Series 2021-C, Class A3, 0.38%,
09/16/2024 (e) | | | 1,389 | | | | 1,373 | |
Series 2023-A, Class A2A, 5.20%, 04/15/2025 (e) | | | 870 | | | | 867 | |
Hyundai Auto Receivables Trust, Series 2023-A, Class A2A, 5.19%, 12/15/2025 | | | 1,000 | | | | 996 | |
Master Credit Card Trust II, (Canada), Series 2023-1A, Class A, 4.70%, 06/21/2027 (e) | | | 600 | | | | 590 | |
Master Credit Card Trust, (Canada), Series 2021-1A, Class A, 0.53%, 11/21/2025 (e) | | | 900 | | | | 857 | |
Navient Private Education Loan Trust, Series 2018-BX, Class A2B, Reg. S, (CME Term SOFR 1 Month + 0.83%), 6.04%, 12/15/2059 (aa) | | | 837 | | | | 828 | |
Nelnet Student Loan Trust, Series 2019-2A, Class A, (ICE LIBOR USD 1 Month + 0.90%), 6.05%, 06/27/2067 (e) (aa) | | | 829 | | | | 814 | |
Oscar US Funding XI LLC, (Japan), Series 2019-2A, Class A4, 2.68%, 09/10/2026 (e) | | | 153 | | | | 151 | |
Oscar US Funding XIII LLC, (Japan), Series 2021-2A, Class A2, 0.39%, 08/12/2024 (e) | | | 35 | | | | 34 | |
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-WCW2, Class M2, (ICE LIBOR USD 1 Month + 0.80%), 5.95%, 07/25/2035 (aa) | | | 609 | | | | 600 | |
Pawnee Equipment Receivables LLC, | | | | | | | | |
Series 2021-1, Class A2, 1.10%,
07/15/2027 (e) | | | 576 | | | | 556 | |
Series 2022-1, Class A2, 4.84%,
02/15/2028 (e) | | | 603 | | | | 600 | |
PRET LLC, | | | | | | | | |
Series 2021-NPL3, Class A1, SUB, 1.87%, 07/25/2051 (e) | | | 732 | | | | 667 | |
Series 2021-NPL6, Class A1, SUB, 2.49%, 07/25/2051 (e) | | | 376 | | | | 347 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 34 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Asset-Backed Securities — continued | | | | | | | | |
Pretium Mortgage Credit Partners LLC, Series 2021-RN1, Class A1, SUB, 1.99%, 02/25/2061 (e) | | | 227 | | | | 210 | |
SLM Student Loan Trust, Series 2004-10, Class A7B, (ICE LIBOR USD 3 Month + 0.60%), 5.86%, 10/25/2029 (e) (aa) | | | 590 | | | | 585 | |
SMB Private Education Loan Trust, | | | | | | | | |
Series 2016-C, Class A2A, 2.34%, 09/15/2034 (e) | | | 284 | | | | 273 | |
Series 2020-PTA, Class A2A, 1.60%, 09/15/2054 (e) | | | 457 | | | | 406 | |
Towd Point Asset Trust, Series 2021-SL1, Class A2, (ICE LIBOR USD 1 Month + 0.70%), 5.86%, 11/20/2061 (e) (aa) | | | 171 | | | | 168 | |
Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.35%, 05/25/2033 (e) | | | 1,800 | | | | 1,661 | |
Toyota Auto Receivables Owner Trust, Series 2022-C, Class A2A, 3.83%, 08/15/2025 | | | 1,161 | | | | 1,151 | |
Volkswagen Auto Loan Enhanced Trust, Series 2023-1, Class A2A, 5.50%, 12/21/2026 | | | 1,000 | | | | 997 | |
World Omni Auto Receivables Trust, | | | | | | | | |
Series 2023-A, Class A2A, 5.18%, 07/15/2026 | | | 1,000 | | | | 996 | |
Series 2023-B, Class A2A, 5.25%, 11/16/2026 | | | 1,000 | | | | 994 | |
| | | | | | | | |
Total Asset-Backed Securities
(Cost $42,118) | | | | | | | 41,468 | |
| | | | | | | | |
Collateralized Mortgage Obligations — 2.5% | | | | | | | | |
Avon Finance No. 2 plc, (United Kingdom), Series 2X, Class A, Reg. S, (SONIA Interest Rate Benchmark + 0.90%), 5.81%,
09/20/2048 (aa) | | GBP | 120 | | | | 152 | |
Brass NO 8 plc, (United Kingdom), Series 8A, Class A1, (ICE LIBOR USD 3 Month + 0.70%), 6.02%, 11/16/2066 (e) (aa) | | | 14 | | | | 14 | |
Cheshire plc, (United Kingdom), Series 2020-1, Class A, Reg. S, (SONIA Interest Rate Benchmark + 0.90%), 5.65%,
08/20/2045 (aa) | | GBP | 420 | | | | 529 | |
CSMC Trust, Series 2021-RPL4, Class A1, 1.80%, 12/27/2060 (e) (z) | | | 301 | | | | 278 | |
FNMA REMICS, | | | | | | | | |
Series 2020-29, Class FC, (ICE LIBOR USD 1 Month + 0.80%), 4.40%,
05/25/2050 (aa) | | | 1,609 | | | | 1,599 | |
Series 2022-8, Class D, 2.00%, 08/25/2038 | | | 1,437 | | | | 1,284 | |
GCAT LLC, Series 2020-3, Class A1, SUB, 2.98%, 09/25/2025 (e) | | | 538 | | | | 525 | |
GNMA, | | | | | | | | |
Series 2015-H04, Class FA, (ICE LIBOR USD 1 Month + 0.65%), 4.30%,
12/20/2064 (aa) | | | 1,083 | | | | 1,067 | |
Series 2017-121, Class PE, 3.00%, 07/20/2046 | | | 179 | | | | 169 | |
Series 2018-H18, Class FC, (ICE LIBOR USD 1 Month + 0.35%), 5.44%,
08/20/2065 (aa) | | | 950 | | | | 944 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Collateralized Mortgage Obligations — continued | |
Series 2019-54, Class KF, (ICE LIBOR USD 1 Month + 0.42%), 2.50%, 05/20/2044 (aa) | | | 389 | | | | 374 | |
Series 2021-H09, Class FG, (United States 30 Day Average SOFR + 1.50%), 6.18%,
06/20/2071 (aa) | | | 1,475 | | | | 1,506 | |
Series 2022-5, Class FA, (United States 30 Day Average SOFR + 0.30%), 3.50%,
01/20/2052 (aa) | | | 909 | | | | 800 | |
Series 2022-H01, Class FA, (United States 30 Day Average SOFR + 0.35%), 5.42%,
01/20/2072 (aa) | | | 789 | | | | 760 | |
Series 2023-H02, Class FA, (United States 30 Day Average SOFR + 0.90%), 5.97%,
01/20/2073 (aa) | | | 410 | | | | 407 | |
Series 2023-H12, Class FA, (United States 30 Day Average SOFR + 1.00%), 6.07%,
05/20/2073 (aa) | | | 2,003 | | | | 2,003 | |
GS Mortgage-Backed Securities Corp. Trust, Series 2021-RPL1, Class A1, 1.75%, 12/25/2060 (e) (z) | | | 245 | | | | 217 | |
Legacy Mortgage Asset Trust, Series 2021-GS3, Class A1, SUB, 1.75%, 07/25/2061 (e) | | | 1,255 | | | | 1,174 | |
MFA Trust, Series 2021-RPL1, Class A1, 1.13%, 07/25/2060 (e) (z) | | | 409 | | | | 359 | |
New Residential Mortgage Loan Trust, | | | | | | | | |
Series 2018-3A, Class A1, 4.50%,
05/25/2058 (e) (z) | | | 107 | | | | 102 | |
Series 2019-NQM5, Class A1, 2.71%, 11/25/2059 (e) (z) | | | 257 | | | | 227 | |
Series 2021-NQ2R, Class A1, 0.94%,
10/25/2058 (e) (z) | | | 542 | | | | 479 | |
Silverstone Master Issuer plc, (United Kingdom), Series 2022-1A, Class 1A, (United States SOFR + 0.38%), 5.41%,
01/21/2070 (e) (aa) | | | 627 | | | | 625 | |
Starwood Mortgage Residential Trust, | | | | | | | | |
Series 2020-3, Class A1, 1.49%,
04/25/2065 (e) (z) | | | 231 | | | | 212 | |
Series 2021-2, Class A1, 0.94%,
05/25/2065 (e) (z) | | | 293 | | | | 258 | |
Stratton Mortgage Funding, (United Kingdom), Series 2021-2A, Class A, (SONIA Interest Rate Benchmark + 0.90%), 5.39%, 07/20/2060 (e) (aa) | | GBP | 130 | | | | 165 | |
Towd Point Mortgage Funding, (United Kingdom), Series 2019-A13A, Class A1, (SONIA Interest Rate Benchmark + 1.35%), 5.84%, 07/20/2045 (e) (aa) | | GBP | 529 | | | | 671 | |
Towd Point Mortgage Trust, Series 2019-HY2, Class A1, (ICE LIBOR USD 1 Month + 1.00%), 6.15%, 05/25/2058 (e) (aa) | | | 270 | | | | 269 | |
| | | | | | | | |
Total Collateralized Mortgage Obligations
(Cost $18,023) | | | | | | | 17,169 | |
| | | | | | | | |
Commercial Mortgage-Backed Securities — 1.3% | |
280 Park Avenue Mortgage Trust, Series 2017-280P, Class A, (ICE LIBOR USD 1 Month + 0.88%), 6.06%, 09/15/2034 (e) (aa) | | | 500 | | | | 485 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 35 |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Commercial Mortgage-Backed Securities — continued | |
AREIT Trust, (Cayman Islands), | | | | | | | | |
Series 2021-CRE5, Class A, (ICE LIBOR USD 1 Month + 1.08%), 6.24%,
11/17/2038 (e) (aa) | | | 399 | | | | 387 | |
Series 2022-CRE6, Class A, (United States 30 Day Average SOFR + 1.25%), 6.32%, 01/20/2037 (e) (aa) | | | 841 | | | | 821 | |
Ashford Hospitality Trust, Series 2018-KEYS, Class A, (ICE LIBOR USD 1 Month + 1.00%), 6.32%, 06/15/2035 (e) (aa) | | | 434 | | | | 422 | |
BAMLL Commercial Mortgage Securities Trust, Series 2019-RLJ, Class A, (ICE LIBOR USD 1 Month + 1.05%), 6.25%,
04/15/2036 (e) (aa) | | | 400 | | | | 395 | |
BDS LLC, Series 2022-FL12, Class A, (CME Term SOFR 1 Month + 2.14%), 7.23%, 08/19/2038 (e) (aa) | | | 900 | | | | 894 | |
BWAY Mortgage Trust, Series 2021-1450, Class A, (ICE LIBOR USD 1 Month + 1.25%), 6.44%, 09/15/2036 (e) (aa) | | | 500 | | | | 469 | |
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class ASB, 3.09%, 05/10/2058 | | | 554 | | | | 531 | |
Citigroup Commercial Mortgage Trust, Series 2021-KEYS, Class A, (ICE LIBOR USD 1 Month + 1.18%), 6.37%, 10/15/2036 (e) (aa) | | | 900 | | | | 881 | |
MF1X, Series 2021-W10, Class A, (CME Term SOFR 1 Month + 1.07%), 6.22%,
12/15/2034 (e) (aa) | | | 900 | | | | 869 | |
Morgan Stanley Capital I Trust, Series 2019-PLND, Class A, (ICE LIBOR USD 1 Month + 1.00%), 6.19%, 05/15/2036 (e) (aa) | | | 700 | | | | 657 | |
Natixis Commercial Mortgage Securities Trust, Series 2022-RRI, Class A, (CME Term SOFR 1 Month + 1.82%), 6.97%, 03/15/2035 (e) (aa) | | | 773 | | | | 757 | |
Sage AR Funding No. 1 plc, (United Kingdom), Series 1A, Class A, (SONIA Interest Rate Benchmark + 1.25%), 5.97%, 11/17/2030 (e) (aa) | | GBP | 800 | | | | 986 | |
SREIT Trust, Series 2021-IND, Class A, (ICE LIBOR USD 1 Month + 0.70%), 5.89%,
10/15/2038 (e) (aa) | | | 100 | | | | 97 | |
VMC Finance LLC, Series 2021-FL4, Class A, (ICE LIBOR USD 1 Month + 1.10%), 6.26%, 06/16/2036 (e) (aa) | | | 277 | | | | 270 | |
| | | | | | | | |
Total Commercial Mortgage-Backed Securities
(Cost $9,245) | | | | 8,921 | |
| | | | | | | | |
Corporate Bonds — 11.6% | | | | | | | | |
Communications — 0.8% | | | | | | | | |
Internet — 0.0% (g) | | | | | | | | |
SK Broadband Co. Ltd., (South Korea), Reg. S, 3.88%, 08/13/2023 | | | 200 | | | | 200 | |
| | | | | | | | |
Media — 0.3% | | | | | | | | |
Charter Communications Operating LLC / Charter Communications Operating Capital, | | | | | | | | |
4.50%, 02/01/2024 | | | 300 | | | | 298 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Media — continued | | | | | | | | |
(ICE LIBOR USD 3 Month + 1.65%), 6.95%, 02/01/2024 (aa) | | | 1,700 | | | | 1,707 | |
| | | | | | | | |
| | |
| | | | | | | 2,005 | |
| | | | | | | | |
Telecommunications — 0.5% | | | | | | | | |
AT&T, Inc., | | | | | | | | |
Reg. S, 3.45%, 09/19/2023 | | AUD | 800 | | | | 531 | |
Reg. S, (BBSW ASX Australian 3 Month + 1.25%), 5.57%, 09/19/2023 (aa) | | AUD | 800 | | | | 533 | |
(ICE LIBOR USD 3 Month + 1.18%), 6.72%, 06/12/2024 (aa) | | | 800 | | | | 807 | |
British Telecommunications plc, (United Kingdom), 4.50%, 12/04/2023 | | | 400 | | | | 398 | |
Verizon Communications, Inc., (ICE LIBOR USD 3 Month + 1.10%), 6.42%, 05/15/2025 (aa) | | | 900 | | | | 907 | |
| | | | | | | | |
| | |
| | | | | | | 3,176 | |
| | | | | | | | |
Total Communications | | | | | | | 5,381 | |
| | | | | | | | |
Consumer Cyclical — 0.5% | | | | | | | | |
Auto Manufacturers — 0.5% | | | | | | | | |
American Honda Finance Corp., 5.00%, 05/23/2025 | | | 2,000 | | | | 1,991 | |
Hyundai Capital America, | | | | | | | | |
0.80%, 01/08/2024 (e) | | | 1,200 | | | | 1,169 | |
Reg. S, 1.25%, 09/18/2023 | | | 100 | | | | 99 | |
| | | | | | | | |
| | |
| | | | | | | 3,259 | |
| | | | | | | | |
Retail — 0.0% (g) | | | | | | | | |
McDonald’s Corp., Reg. S, (BBSW ASX Australian 3 Month + 1.13%), 5.33%, 03/08/2024 (aa) | | AUD | 600 | | | | 400 | |
| | | | | | | | |
Total Consumer Cyclical | | | | | | | 3,659 | |
| | | | | | | | |
Consumer Non-cyclical — 1.6% | | | | | | | | |
Agriculture — 0.2% | | | | | | | | |
Imperial Brands Finance plc, (United Kingdom), 3.13%, 07/26/2024 (e) | | | 1,400 | | | | 1,353 | |
| | | | | | | | |
Beverages — 0.0% (g) | | | | | | | | |
JDE Peet’s NV, (Netherlands), 0.80%, 09/24/2024 (e) | | | 400 | | | | 375 | |
| | | | | | | | |
Commercial Services — 0.1% | | | | | | | | |
Transurban Queensland Finance Pty Ltd., (Australia), Reg. S, (BBSW ASX Australian 3 Month + 2.05%), 6.35%, 12/16/2024 (aa) | | AUD | 1,000 | | | | 674 | |
| | | | | | | | |
Cosmetics/Personal Care — 0.3% | | | | | | | | |
Haleon US Capital LLC, 3.02%, 03/24/2024 | | | 2,100 | | | | 2,054 | |
| | | | | | | | |
Healthcare — Products — 0.2% | | | | | | | | |
Baxter International, Inc., (SOFR Compounded Index + 0.26%), 5.35%, 12/01/2023 (aa) | | | 500 | | | | 499 | |
Thermo Fisher Scientific, Inc., (SOFR Compounded Index + 0.39%), 5.42%, 10/18/2023 (aa) | | | 770 | | | | 770 | |
| | | | | | | | |
| | |
| | | | | | | 1,269 | |
| | | | | | | | |
Healthcare — Services — 0.3% | | | | | | | | |
HCA, Inc., 5.00%, 03/15/2024 | | | 2,000 | | | | 1,987 | |
| | | | | | | | |
Pharmaceuticals — 0.5% | | | | | | | | |
Bayer US Finance II LLC, (ICE LIBOR USD 3 Month + 1.01%), 6.56%, 12/15/2023 (e) (aa) | | | 3,500 | | | | 3,496 | |
| | | | | | | | |
Total Consumer Non-cyclical | | | | | | | 11,208 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 36 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | | | | | | | | |
Energy — 0.4% | | | | | | | | |
Oil & Gas — 0.2% | | | | | | | | |
Eni SpA, (Italy), Series X-R, 4.00%,
09/12/2023 (e) | | | 1,000 | | | | 996 | |
| | | | | | | | |
Pipelines — 0.2% | | | | | | | | |
Kinder Morgan, Inc., 5.63%, 11/15/2023 (e) | | | 1,500 | | | | 1,499 | |
| | | | | | | | |
Total Energy | | | | | | | 2,495 | |
| | | | | | | | |
Financial — 5.9% | | | | | | | | |
Banks — 5.3% | | | | | | | | |
Aozora Bank Ltd., (Japan), Reg. S, 1.05%, 09/09/2024 | | | 1,100 | | | | 1,031 | |
Banco Santander SA, (Spain), 3.89%, 05/24/2024 | | | 453 | | | | 444 | |
Bank of America Corp., | | | | | | | | |
(Canada Bankers Acceptances 3 Month + 0.90%), 2.93%, 04/25/2025 (aa) | | CAD | 1,200 | | | | 886 | |
(CME Term SOFR 3 Month + 1.20%), 3.86%, 07/23/2024 (aa) | | | 500 | | | | 499 | |
(United States SOFR + 1.10%), 6.15%, 04/25/2025 (aa) | | | 600 | | | | 602 | |
Bank of Nova Scotia (The), (Canada), Series FRN, (SOFR Compounded Index + 0.45%), 5.47%, 04/15/2024 (aa) | | | 500 | | | | 499 | |
Banque Federative du Credit Mutuel SA, (France), Reg. S, 1.00%, 02/04/2025 | | | 600 | | | | 553 | |
Barclays plc, (United Kingdom), | | | | | | | | |
(CMT Index 1 Year + 0.80%), 1.01%, 12/10/2024 (aa) | | | 1,000 | | | | 975 | |
(ICE LIBOR USD 3 Month + 1.61%), 3.93%, 05/07/2025 (aa) | | | 1,000 | | | | 977 | |
BNP Paribas SA, (France), | | | | | | | | |
Reg. S, 3.80%, 01/10/2024 | | | 200 | | | | 197 | |
(ICE LIBOR USD 3 Month + 2.24%), 4.71%, 01/10/2025 (e) (aa) | | | 1,900 | | | | 1,883 | |
BPCE SA, (France), (ICE LIBOR USD 3 Month + 1.24%), 6.78%, 09/12/2023 (e) (aa) | | | 1,000 | | | | 1,001 | |
Citigroup, Inc., (BBSW ASX Australian 3 Month + 1.72%), 5.38%, 10/27/2023 (aa) | | AUD | 1,000 | | | | 667 | |
Danske Bank A/S, (Denmark), | | | | | | | | |
Reg. S, 5.38%, 01/12/2024 | | | 1,400 | | | | 1,392 | |
Reg. S, (ICE LIBOR USD 3 Month + 1.06%), 6.60%, 09/12/2023 (aa) | | | 600 | | | | 601 | |
Deutsche Bank AG, (Germany), 3.70%, 05/30/2024 | | | 2,000 | | | | 1,942 | |
Federation des Caisses Desjardins du Quebec, (Canada), | | | | | | | | |
0.70%, 05/21/2024 (e) | | | 1,100 | | | | 1,050 | |
2.05%, 02/10/2025 (e) | | | 500 | | | | 469 | |
First Abu Dhabi Bank PJSC, (United Arab Emirates), (BBSW ASX Australian 3 Month + 1.10%), 5.02%, 02/18/2025 (aa) | | AUD | 700 | | | | 464 | |
Goldman Sachs Group, Inc. (The), | | | | | | | | |
(BBSW ASX Australian 3 Month + 1.55%), Reg. S, 5.24%, 05/02/2024 (aa) | | AUD | 500 | | | | 334 | |
(ICE LIBOR USD 3 Month + 1.60%), 7.06%, 11/29/2023 (aa) | | | 1,400 | | | | 1,406 | |
HSBC Holdings plc, (United Kingdom), (ICE LIBOR USD 3 Month + 1.23%), 6.77%,
03/11/2025 (aa) | | | 1,000 | | | | 1,004 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Banks — continued | | | | | | | | |
Mitsubishi UFJ Financial Group, Inc., (Japan), (ICE LIBOR USD 3 Month + 0.86%), 6.13%, 07/26/2023 (aa) | | | 2,500 | | | | 2,501 | |
Morgan Stanley, (United States SOFR + 0.46%), 5.52%, 01/25/2024 (aa) | | | 2,000 | | | | 1,998 | |
NatWest Group plc, (United Kingdom), (ICE LIBOR USD 3 Month + 1.76%), 4.27%, 03/22/2025 (aa) | | | 800 | | | | 786 | |
Oversea-Chinese Banking Corp. Ltd., (Singapore), | | | | | | | | |
(BBSW ASX Australian 3 Month + 0.26%), 4.15%, 08/12/2024 (aa) | | AUD | 1,000 | | | | 664 | |
(BBSW ASX Australian 3 Month + 0.35%), 4.67%, 03/18/2024 (aa) (f) | | AUD | 500 | | | | 333 | |
Santander UK Group Holdings plc, (United Kingdom), (ICE LIBOR USD 3 Month + 1.57%), 4.80%, 11/15/2024 (aa) | | | 1,200 | | | | 1,191 | |
Societe Generale SA, (France), | | | | | | | | |
2.63%, 01/22/2025 (e) | | | 800 | | | | 752 | |
3.88%, 03/28/2024 (e) | | | 500 | | | | 489 | |
4.25%, 09/14/2023 (e) | | | 500 | | | | 498 | |
Standard Chartered plc, (United Kingdom), (ICE LIBOR USD 3 Month + 1.56%), 3.79%, 05/21/2025 (e) (aa) | | | 1,700 | | | | 1,657 | |
Sumitomo Mitsui Financial Group, Inc., (Japan), Reg. S, (BBSW ASX Australian 3 Month + 1.25%), 4.91%, 10/16/2024 (aa) | | AUD | 2,400 | | | | 1,597 | |
Sumitomo Mitsui Trust Bank Ltd., (Japan), 0.80%, 09/16/2024 (e) | | | 400 | | | | 376 | |
Toronto-Dominion Bank (The), (Canada), (United States SOFR + 0.45%), 5.54%,
09/28/2023 (aa) | | | 2,000 | | | | 2,000 | |
UBS AG, (Switzerland), Reg. S, (BBSW ASX Australian 3 Month + 0.87%), 4.55%, 07/30/2025 (aa) | | AUD | 2,200 | | | | 1,459 | |
Wells Fargo & Co., (United States SOFR + 1.32%), 6.37%, 04/25/2026 (aa) | | | 1,200 | | | | 1,208 | |
| | | | | | | | |
| | |
| | | | | | | 36,385 | |
| | | | | | | | |
Diversified Financial Services — 0.4% | | | | | | | | |
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, (Ireland), 4.50%, 09/15/2023 | | | 200 | | | | 199 | |
Mitsubishi HC Capital, Inc., (Japan), 3.56%, 02/28/2024 (e) | | | 350 | | | | 344 | |
Nomura Holdings, Inc., (Japan), 1.85%, 07/16/2025 | | | 2,300 | | | | 2,103 | |
ORIX Corp., (Japan), 3.25%, 12/04/2024 | | | 400 | | | | 384 | |
| | | | | | | | |
| | |
| | | | | | | 3,030 | |
| | | | | | | | |
Savings & Loans — 0.2% | | | | | | | | |
Nationwide Building Society, (United Kingdom), | | | | | | | | |
0.55%, 01/22/2024 (e) | | | 400 | | | | 388 | |
Reg. S, (ICE LIBOR USD 3 Month + 1.39%), 4.36%, 08/01/2024 (aa) | | | 1,100 | | | | 1,098 | |
| | | | | | | | |
| | |
| | | | | | | 1,486 | |
| | | | | | | | |
Total Financial | | | | | | | 40,901 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 37 |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | | | | | | | | |
Industrial — 0.8% | | | | | | | | |
Aerospace/Defense — 0.2% | | | | | | | | |
Boeing Co. (The), 1.43%, 02/04/2024 | | | 1,710 | | | | 1,665 | |
| | | | | | | | |
Machinery — Construction & Mining — 0.1% | | | | | | | | |
Komatsu Finance America, Inc., Reg. S, 0.85%, 09/09/2023 | | | 1,000 | | | | 990 | |
| | | | | | | | |
Machinery — Diversified — 0.3% | | | | | | | | |
CNH Industrial NV, (Netherlands), 4.50%, 08/15/2023 | | | 1,700 | | | | 1,697 | |
| | | | | | | | |
Trucking & Leasing — 0.2% | | | | | | | | |
SMBC Aviation Capital Finance DAC, (Ireland), Reg. S, 4.13%, 07/15/2023 | | | 1,500 | | | | 1,499 | |
| | | | | | | | |
Total Industrial | | | | | | | 5,851 | |
| | | | | | | | |
Technology — 0.5% | | | | | | | | |
Semiconductors — 0.3% | | | | | | | | |
SK Hynix, Inc., (South Korea), | | | | | | | | |
1.00%, 01/19/2024 (e) | | | 300 | | | | 292 | |
Reg. S, 1.00%, 01/19/2024 | | | 1,800 | | | | 1,749 | |
| | | | | | | | |
| | |
| | | | | | | 2,041 | |
| | | | | | | | |
Software — 0.2% | | | | | | | | |
VMware, Inc., 0.60%, 08/15/2023 | | | 1,300 | | | | 1,292 | |
| | | | | | | | |
Total Technology | | | | | | | 3,333 | |
| | | | | | | | |
Utilities — 1.1% | | | | | | | | |
Electric — 1.1% | | | | | | | | |
American Electric Power Co., Inc., Series A, (ICE LIBOR USD 3 Month + 0.48%), 5.78%, 11/01/2023 (aa) | | | 1,300 | | | | 1,299 | |
Dominion Energy, Inc., Series D, (ICE LIBOR USD 3 Month + 0.53%), 6.08%, 09/15/2023 (aa) | | | 800 | | | | 800 | |
Enel Finance International NV, (Netherlands), | | | | | | | | |
2.65%, 09/10/2024 (e) | | | 1,800 | | | | 1,732 | |
4.25%, 06/15/2025 (e) | | | 300 | | | | 291 | |
Israel Electric Corp. Ltd., (Israel), Series 6, Reg. S, 5.00%, 11/12/2024 (e) | | | 300 | | | | 297 | |
Kansai Electric Power Co., Inc. (The), (Japan), Reg. S, 2.55%, 09/17/2024 | | | 1,800 | | | | 1,722 | |
Pacific Gas and Electric Co., | | | | | | | | |
1.70%, 11/15/2023 | | | 200 | | | | 197 | |
3.75%, 02/15/2024 | | | 100 | | | | 98 | |
3.85%, 11/15/2023 | | | 400 | | | | 396 | |
4.25%, 08/01/2023 | | | 800 | | | | 799 | |
| | | | | | | | |
Total Utilities | | | | | | | 7,631 | |
| | | | | | | | |
Total Corporate Bonds | | | | | | | | |
(Cost $82,056) | | | | | | | 80,459 | |
| | | | | | | | |
Foreign Government Securities — 0.6% | | | | | | | | |
Export-Import Bank of Korea, (South Korea), 4.88%, 01/11/2026 | | | 800 | | | | 790 | |
International Bank for Reconstruction & Development, (Supranational), 0.65%, 02/10/2026 | | | 3,400 | | | | 3,037 | |
Korea National Oil Corp., (South Korea), Reg. S, (ICE LIBOR USD 3 Month + 0.88%), 6.14%, 07/16/2023 (aa) | | | 500 | | | | 500 | |
| | | | | | | | |
Total Foreign Government Securities
(Cost $4,698) | | | | | | | 4,327 | |
| | | | | | | | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — 68.6% (t) | | | | | | | | |
Alaska — 0.5% | | | | | | | | |
Alaska Housing Finance Corp., Home Mortgage, Series B, Rev., VRDO, 3.96%, 07/07/2023 (z) | | | 2,300 | | | | 2,300 | |
Alaska Municipal Bond Bank Authority, Series 4, Rev., AMT, 5.00%, 12/01/2024 | | | 1,215 | | | | 1,233 | |
| | | | | | | | |
| | |
| | | | | | | 3,533 | |
| | | | | | | | |
Arizona — 1.9% | | | | | | | | |
Arizona State University, Series A, Rev., VRDO, 4.05%, 07/07/2023 (z) | | | 13,295 | | | | 13,295 | |
| | | | | | | | |
California — 4.9% | | | | | | | | |
California State Public Works Board, Various Capital Projects, Rev., 5.00%, 12/01/2025 | | | 8,400 | | | | 8,820 | |
City of Los Angeles Department of Airports, Green Bonds Subordinated, Rev., AMT, 5.00%, 05/15/2025 | | | 750 | | | | 768 | |
City of Los Angeles Department of Airports, Senior Bonds Green Bond Project, Rev., AMT, 5.00%, 05/15/2025 | | | 2,475 | | | | 2,537 | |
San Francisco City & County Airport Commission International Airport, Revenue Refunding, Second Series, Series A, Rev., AMT, 5.00%, 05/01/2025 | | | 3,000 | | | | 3,067 | |
San Francisco City & County Airport Comm-San Francisco International Airport, Series B, Rev., VRDO, LOC: Barclays Bank plc, 2.75%, 07/07/2023 (z) | | | 14,265 | | | | 14,265 | |
State of California, Series C3, GO, VRDO, LOC: U.S. Bank NA, 2.55%, 07/07/2023 (z) | | | 1,345 | | | | 1,345 | |
West Valley-Mission Community College District, GO, 5.00%, 08/01/2024 | | | 3,000 | | | | 3,062 | |
| | | | | | | | |
| | |
| | | | | | | 33,864 | |
| | | | | | | | |
Connecticut — 3.8% | | | | | | | | |
Connecticut Housing Finance Authority, Series B3, Rev., VRDO, 3.95%, 07/07/2023 (z) | | | 5,680 | | | | 5,680 | |
Connecticut State Health & Educational Facilities Authority, Stamford Hospital Issuer, Rev., 4.00%, 07/01/2023 | | | 550 | | | | 550 | |
Connecticut State Health & Educational Facilities Authority, Yale University, | | | | | | | | |
Series A, Rev., VRDO, 3.50%, 07/03/2023 (z) | | | 16,000 | | | | 16,000 | |
Series V1, Rev., VRDO, 3.50%, 07/03/2023 (z) | | | 3,000 | | | | 3,000 | |
State of Connecticut Special Tax Revenue, Rev., 5.00%, 11/01/2025 | | | 1,250 | | | | 1,304 | |
| | | | | | | | |
| | |
| | | | | | | 26,534 | |
| | | | | | | | |
District of Columbia — 0.7% | | | | | | | | |
District of Columbia, Rev., VRDO, LOC: Wells Fargo Bank NA, 3.95%, 07/07/2023 (z) | | | 2,325 | | | | 2,325 | |
Metropolitan Washington Airports Authority Aviation Revenue, | | | | | | | | |
Series A, Rev., AMT, 5.00%, 10/01/2025 | | | 1,665 | | | | 1,711 | |
Series B, Rev., 5.00%, 10/01/2025 | | | 1,030 | | | | 1,073 | |
| | | | | | | | |
| | |
| | | | | | | 5,109 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 38 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Florida — 5.7% | | | | | | | | |
Central Florida Expressway Authority, Senior Lien, Rev., AGM, 5.00%, 07/01/2023 | | | 1,000 | | | | 1,000 | |
Citizens Property Insurance, Inc., Series A1, Rev., 5.00%, 06/01/2025 | | | 1,000 | | | | 1,019 | |
County of Miami-Dade Seaport Department, Senior Bonds, Series A, Rev., AMT, 5.00%, 10/01/2025 | | | 1,500 | | | | 1,545 | |
Florida Gulf Coast University Financing Corp., Parking Project, Series A3, Rev., VRDO, LOC: TD Bank NA, 3.95%, 07/07/2023 (z) | | | 3,215 | | | | 3,215 | |
Highlands County Health Facilities Authority, Adventist Health System/Sunbelt Obligated Group, Series A, Rev., VRDO, 4.10%, 07/07/2023 (z) | | | 2,800 | | | | 2,800 | |
JEA Water & Sewer System Revenue, | | | | | | | | |
Series A, Rev., 5.00%, 10/01/2024 | | | 3,750 | | | | 3,802 | |
Series B1, Rev., VRDO, 4.20%, 07/07/2023 (z) | | | 8,385 | | | | 8,385 | |
Orange County Health Facilities Authority, Nemours Foundation, Series B, Rev., VRDO, LOC: Northern Trust Co., 3.75%, 07/07/2023 (z) | | | 15,545 | | | | 15,545 | |
State of Florida Lottery Revenue, Lottery, Series A, Rev., 5.00%, 07/01/2025 | | | 2,000 | | | | 2,075 | |
| | | | | | | | |
| | |
| | | | | | | 39,386 | |
| | | | | | | | |
Georgia — 0.3% | | | | | | | | |
City of Atlanta, Department of Aviation, Series C, Rev., AMT, 5.00%, 07/01/2024 | | | 615 | | | | 622 | |
Main Street Natural Gas, Inc., Series A, Rev., 5.00%, 06/01/2025 | | | 700 | | | | 707 | |
Municipal Electric Authority of Georgia, Plant Vogtle Units 3&4 Project, Rev., AGM, 5.00%, 07/01/2025 | | | 550 | | | | 569 | |
| | | | | | | | |
| | |
| | | | | | | 1,898 | |
| | | | | | | | |
Idaho — 0.7% | | | | | | | | |
Idaho Health Facilities Authority, St. Luke’s Health System Obligated Group, Rev., VRDO, LOC: U.S. Bank NA, 4.00%, 07/03/2023 (z) | | | 4,500 | | | | 4,500 | |
| | | | | | | | |
Illinois — 2.7% | | | | | | | | |
County of Cook, | | | | | | | | |
Series A, GO, 5.00%, 11/15/2023 | | | 2,250 | | | | 2,262 | |
Series A, GO, 5.00%, 11/15/2024 | | | 5,000 | | | | 5,104 | |
Illinois Finance Authority, The Catherine Cook School Project, Rev., VRDO, LOC: Northern Trust Co., 3.75%, 07/07/2023 (z) | | | 1,770 | | | | 1,770 | |
Railsplitter Tobacco Settlement Authority, Rev., 5.00%, 06/01/2024 | | | 1,005 | | | | 1,019 | |
Sales Tax Securitization Corp., Rev., 5.00%, 01/01/2025 | | | 3,250 | | | | 3,328 | |
Sales Tax Securitization Corp., Second Lien, Series A, Rev., 5.00%, 01/01/2024 | | | 2,700 | | | | 2,720 | |
State of Illinois, Series D, GO, 5.00%, 07/01/2025 | | | 2,600 | | | | 2,670 | |
| | | | | | | | |
| | |
| | | | | | | 18,873 | |
| | | | | | | | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Indiana — 1.1% | | | | | | | | |
Indiana Finance Authority, Health Systems, Sisters of St. Francis, Series I, Rev., VRDO, LOC: Barclays Bank plc,
3.75%, 07/03/2023 (z) | | | 6,500 | | | | 6,500 | |
Indiana Municipal Power Agency, Series B, Rev., VRDO, LOC: U.S. Bank NA, 4.00%, 07/03/2023 (z) | | | 1,300 | | | | 1,300 | |
| | | | | | | | |
| | |
| | | | | | | 7,800 | |
| | | | | | | | |
Kansas — 0.3% | | | | | | | | |
Johnson County Unified School District No. 512 Shawnee Mission, Series A, GO, 5.00%, 10/01/2025 | | | 1,935 | | | | 2,017 | |
| | | | | | | | |
Maine — 0.1% | | | | | | | | |
Maine Health & Higher Educational Facilities Authority, Series A, Rev., AGM, 5.00%, 07/01/2023 | | | 550 | | | | 550 | |
| | | | | | | | |
Massachusetts — 1.8% | | | | | | | | |
Commonwealth of Massachusetts, | | | | | | | | |
Series A, GO, 5.00%, 01/01/2025 | | | 2,000 | | | | 2,058 | |
Series B, GO, 5.00%, 07/01/2023 | | | 4,650 | | | | 4,650 | |
Massachusetts Development Finance Agency, Partners Healthcare System, Inc., Series K1, Rev., VRDO, 3.90%, 07/07/2023 (z) | | | 5,700 | | | | 5,700 | |
| | | | | | | | |
| | |
| | | | | | | 12,408 | |
| | | | | | | | |
Michigan — 2.2% | | | | | | | | |
University of Michigan, Series D1, Rev., VRDO, 3.65%, 07/03/2023 (z) | | | 2,170 | | | | 2,170 | |
Wayne County Airport Authority, Rev., AMT, 4.00%, 12/01/2023 (e) | | | 12,715 | | | | 12,721 | |
| | | | | | | | |
| | |
| | | | | | | 14,891 | |
| | | | | | | | |
Minnesota — 2.4% | | | | | | | | |
City of Rochester, Mayo Clinic, | | | | | | | | |
Series A, Rev., VRDO, 4.10%, 07/07/2023 (z) | | | 13,000 | | | | 13,000 | |
Series B, Rev., VRDO, 4.10%, 07/07/2023 (z) | | | 3,900 | | | | 3,900 | |
| | | | | | | | |
| | |
| | | | | | | 16,900 | |
| | | | | | | | |
Missouri — 2.0% | | | | | | | | |
City of Kansas City, Series A, GO, 5.00%, 02/01/2026 | | | 900 | | | | 945 | |
City of St. Louis, Airport Revenue, Series A, Rev., AGM, 5.00%, 07/01/2024 | | | 2,000 | | | | 2,032 | |
Health & Educational Facilities Authority of the State of Missouri, SSM Healthcare, | | | | | | | | |
Series A, Rev., 5.00%, 06/01/2024 | | | 2,380 | | | | 2,413 | |
Series F, Rev., VRDO, 3.75%, 07/03/2023 (z) | | | 8,130 | | | | 8,130 | |
| | | | | | | | |
| | |
| | | | | | | 13,520 | |
| | | | | | | | |
New Hampshire — 0.3% | | | | | | | | |
New Hampshire Health and Education Facilities Authority Act, Bishop Guertin High School, Rev., VRDO, LOC: TD Bank NA, 4.00%, 07/07/2023 (z) | | | 1,965 | | | | 1,965 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 39 |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
New Jersey — 2.0% | | | | | | | | |
Jersey City Redevelopment Agency, Bayfront Redevelopment Project, Rev., 4.00%, 12/15/2024 | | | 5,350 | | | | 5,410 | |
New Jersey Economic Development Authority, Rev., 5.00%, 03/01/2026 | | | 500 | | | | 520 | |
New Jersey Health Care Facilities Financing Authority, RWJ Barnabas Health Obligated Group, Rev., 5.00%, 07/01/2024 | | | 6,930 | | | | 7,050 | |
New Jersey Higher Education Student Assistance Authority, Series B, Rev., AMT, 5.00%, 12/01/2023 | | | 300 | | | | 302 | |
New Jersey Higher Education Student Assistance Authority, Senior, Series A, Rev., AMT, 5.00%, 12/01/2025 | | | 575 | | | | 590 | |
| | | | | | | | |
| | |
| | | | | | | 13,872 | |
| | | | | | | | |
New Mexico — 2.2% | | | | | | | | |
New Mexico Educational Assistance Foundation, Series 1A, Rev., AMT, 5.00%, 09/01/2024 | | | 6,750 | | | | 6,842 | |
New Mexico Finance Authority, Subordinate, Series A, Rev., 5.00%, 06/15/2025 | | | 2,795 | | | | 2,895 | |
University of New Mexico (The), System Improvement, Rev., VRDO, 3.75%, 07/07/2023 (z) | | | 5,435 | | | | 5,435 | |
| | | | | | | | |
| | |
| | | | | | | 15,172 | |
| | | | | | | | |
New York — 8.0% | | | | | | | | |
City of New York, Fiscal 2018, Series B, GO, VRDO, 3.75%, 07/03/2023 (z) | | | 12,000 | | | | 12,000 | |
City of New York, Fiscal 2021, Series C, GO, 5.00%, 08/01/2024 | | | 1,015 | | | | 1,035 | |
City of New York, Fiscal Year 2017, Series A4, GO, VRDO, LOC: Citibank NA, 4.14%, 07/07/2023 (z) | | | 1,090 | | | | 1,090 | |
City of New York, Fiscal Year 2018, Series B5, GO, VRDO, 3.75%, 07/03/2023 (z) | | | 5,000 | | | | 5,000 | |
Metropolitan Transportation Authority, Series A1, Rev., VRDO, LOC: TD Bank NA, 3.55%, 07/03/2023 (z) | | | 1,000 | | | | 1,000 | |
New York City Transitional Finance Authority Future Tax Secured Revenue, Subordinated, Series E1, Rev., 5.00%, 11/01/2025 | | | 7,000 | | | | 7,314 | |
New York City Transitional Finance Authority, Future Tax Secured Revenue, | | | | | | | | |
Rev., 5.00%, 11/01/2023 | | | 1,000 | | | | 1,006 | |
Series B5, Rev., VRDO, 4.00%, 07/03/2023 (z) | | | 3,000 | | | | 3,000 | |
New York State Dormitory Authority, | | | | | | | | |
Series A, Rev., AGM, 4.00%, 10/01/2023 | | | 1,150 | | | | 1,152 | |
Series B, Rev., 4.00%, 10/01/2023 | | | 2,805 | | | | 2,810 | |
New York State Dormitory Authority, School Districts Financing Program, Rev., 5.00%, 10/01/2023 | | | 1,245 | | | | 1,250 | |
New York State Dormitory Authority, St. John’s University, Series A, Rev., 5.00%, 07/01/2023 | | | 500 | | | | 500 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
New York — continued | | | | | | | | |
New York State Dormitory Authority, Unrefunded General Purpose, Rev., 5.00%, 02/15/2026 | | | 6,590 | | | | 6,923 | |
New York State Urban Development Corp., Personal Income Tax, Series A, Rev., 5.00%, 03/15/2024 | | | 1,630 | | | | 1,652 | |
Port Authority of New York & New Jersey, Series 207, Rev., AMT, 5.00%, 09/15/2024 | | | 3,000 | | | | 3,048 | |
Triborough Bridge & Tunnel Authority, MTA Bridges And Tunnels, Rev., 5.00%, 11/15/2025 | | | 6,455 | | | | 6,753 | |
| | | | | | | | |
| | |
| | | | | | | 55,533 | |
| | | | | | | | |
North Carolina — 0.4% | | | | | | | | |
North Carolina Turnpike Authority, Rev., BAN, 5.00%, 02/01/2024 (p) | | | 3,000 | | | | 3,030 | |
| | | | | | | | |
Ohio — 4.1% | | | | | | | | |
County of Franklin, Facilities, OhioHealth Corp., Series D, Rev., VRDO, LOC: Northern Trust Co., 4.02%, 07/07/2023 (z) | | | 2,100 | | | | 2,100 | |
Ohio Higher Educational Facility Commission, Hospital, Cleveland Clinic Health System Obligated Group, Series B3, Rev., VRDO, 4.00%, 07/03/2023 (z) | | | 5,000 | | | | 5,000 | |
Ohio State University (The), Series B2, Rev., VRDO, 3.85%, 07/07/2023 (z) | | | 6,725 | | | | 6,725 | |
State of Ohio, Cleveland Clinic Health System, Rev., VRDO, 3.95%, 07/07/2023 (z) | | | 14,000 | | | | 14,000 | |
State of Ohio, Mental Health Facilities Improvement, Series A, Rev., 5.00%, 02/01/2024 | | | 500 | | | | 505 | |
| | | | | | | | |
| | |
| | | | | | | 28,330 | |
| | | | | | | | |
Oklahoma — 0.5% | | | | | | | | |
Oklahoma Municipal Power Authority, Power Supply System, Series A, Rev., AGM, 5.00%, 01/01/2026 | | | 3,500 | | | | 3,649 | |
| | | | | | | | |
Oregon — 0.9% | | | | | | | | |
Oregon State Lottery, Series A, Rev., 5.00%, 04/01/2024 | | | 1,100 | | | | 1,114 | |
Portland Community College District, GO, 5.00%, 06/15/2025 | | | 3,235 | | | | 3,357 | |
Washington & Multnomah Counties School District No. 48J Beaverton, Series B, GO, SCH BD GTY, 5.00%, 06/15/2024 | | | 2,000 | | | | 2,036 | |
| | | | | | | | |
| | |
| | | | | | | 6,507 | |
| | | | | | | | |
Pennsylvania — 0.4% | | | | | | | | |
City of Philadelphia Water & Wastewater Revenue, Series C, Rev., 5.00%, 06/01/2025 | | | 1,355 | | | | 1,400 | |
Lancaster Higher Education Authority, Harrisburg Area Community, Rev., BAM, 5.00%, 10/01/2023 | | | 600 | | | | 602 | |
Pennsylvania Economic Development Financing Authority, Series A, Rev., 4.00%, 10/15/2023 | | | 700 | | | | 701 | |
| | | | | | | | |
| | |
| | | | | | | 2,703 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 40 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Texas — 11.2% | | | | | | | | |
Austin Independent School District, GO, 5.00%, 08/01/2025 | | | 4,500 | | | | 4,677 | |
Board of Regents of the University of Texas System, Financing System, Series B, Rev., VRDO, LIQ: University of Texas Investment Management Co. (The), 4.10%, 07/07/2023 (z) | | | 28,900 | | | | 28,900 | |
City of Garland Electric Utility System Revenue, Series A, Rev., 5.00%, 03/01/2025 | | | 2,190 | | | | 2,250 | |
City of Houston Combined Utility System Revenue, Combined First Lien, Rev., VRDO, 4.00%, 07/07/2023 (z) | | | 16,000 | | | | 16,000 | |
City of Houston Combined Utility System Revenue, Rev., VRDO, (SIFMA Municipal Swap Index + 0.01%), 3.78%, 07/07/2023 (aa) | | | 5,000 | | | | 5,000 | |
City of Wichita Falls Water & Sewer System Revenue, Rev., 5.00%, 08/01/2024 | | | 1,540 | | | | 1,571 | |
County of Harris Toll Road Revenue, Rev., 5.00%, 08/15/2023 | | | 1,600 | | | | 1,603 | |
Cypress-Fairbanks Independent School District, Series A, GO, PSF-GTD, 5.00%, 02/15/2025 | | | 2,140 | | | | 2,205 | |
Fort Worth Independent School District, Series A, GO, PSF-GTD, 5.00%, 02/15/2025 | | | 1,150 | | | | 1,184 | |
Plano Independent School District, GO, 5.00%, 02/15/2025 | | | 3,600 | | | | 3,711 | |
San Antonio Independent School District, GO, PSF-GTD, 5.00%, 08/15/2024 | | | 1,375 | | | | 1,404 | |
State of Texas, Transportation Commission Highway, GO, 5.00%, 04/01/2025 | | | 3,000 | | | | 3,099 | |
Texas A&M University, Financing System, Series E, Rev., 5.00%, 05/15/2025 | | | 3,000 | | | | 3,109 | |
Texas Public Finance Authority, Rev., 5.00%, 02/01/2025 | | | 2,980 | | | | 3,069 | |
| | | | | | | | |
| | |
| | | | | | | 77,782 | |
| | | | | | | | |
Utah — 0.5% | | | | | | | | |
Central Valley Water Reclamation Facility, Green Bond, Series C, Rev., 5.00%, 03/01/2024 | | | 500 | | | | 506 | |
City of Salt Lake City Public Utilities Revenue, Rev., 5.00%, 02/01/2025 | | | 1,550 | | | | 1,596 | |
University of Utah, Green Bonds, Series A, Rev., 5.00%, 08/01/2025 | | | 925 | | | | 963 | |
| | | | | | | | |
| | |
| | | | | | | 3,065 | |
| | | | | | | | |
Virginia — 3.2% | | | | | | | | |
Albermarle County Economic Development Authority, Sentara Healthcare Obligated Group, Series B, Rev., VRDO, 3.60%, 07/03/2023 (z) | | | 4,350 | | | | 4,350 | |
Norfolk Economic Development Authority, Sentara Healthcare Obligated Group, | | | | | | | | |
Series A, Rev., VRDO, 4.12%, 07/07/2023 (z) | | | 6,700 | | | | 6,700 | |
Series B, Rev., VRDO, 3.95%, 07/07/2023 (z) | | | 9,440 | | | | 9,440 | |
Virginia College Building Authority, 21st Century College, Series E1, Rev., 5.00%, 02/01/2024 | | | 1,285 | | | | 1,299 | |
| | | | | | | | |
| | |
| | | | | | | 21,789 | |
| | | | | | | | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Washington — 3.8% | | | | | | | | |
Central Puget Sound Regional Transit Authority, Green Bonds, Series S1, Rev., 5.00%, 11/01/2025 | | | 5,000 | | | | 5,225 | |
Chelan County Public Utility District No. 1, Series B, Rev., VRDO, 4.00%, 07/07/2023 (z) | | | 11,060 | | | | 11,060 | |
Port of Seattle WA, Rev., AMT, 5.00%, 08/01/2025 | | | 1,735 | | | | 1,780 | |
Port of Seattle, Private Activity, Rev., AMT, 5.00%, 09/01/2025 | | | 6,885 | | | | 7,090 | |
Snohomish County School District No. 6 Mukilteo, GO, SCH BD GTY, 5.00%, 12/01/2023 | | | 1,000 | | | | 1,008 | |
| | | | | | | | |
| | |
| | | | | | | 26,163 | |
| | | | | | | | |
Total Municipal Bonds | | | | | | | | |
(Cost $477,727) | | | | | | | 474,638 | |
| | | | | | | | |
U.S. Government Agency Securities — 3.3% | | | | | | | | |
FHLBs, | | | | | | | | |
5.28%, 05/06/2024 | | | 2,000 | | | | 1,990 | |
5.35%, 05/17/2024 | | | 2,000 | | | | 1,991 | |
5.65%, 05/28/2025 | | | 2,000 | | | | 2,000 | |
5.71%, 03/14/2025 | | | 2,000 | | | | 1,991 | |
FHLMC, | | | | | | | | |
5.36%, 11/22/2024 | | | 1,700 | | | | 1,688 | |
5.38%, 04/24/2025 | | | 1,200 | | | | 1,191 | |
5.52%, 05/28/2025 | | | 2,000 | | | | 1,987 | |
5.55%, 05/09/2025 | | | 2,000 | | | | 1,996 | |
5.65%, 03/07/2025 | | | 4,000 | | | | 3,981 | |
5.68%, 04/03/2025 | | | 2,000 | | | | 1,991 | |
5.73%, 04/03/2025 | | | 2,000 | | | | 1,992 | |
| | | | | | | | |
Total U.S. Government Agency Securities | | | | | | | | |
(Cost $22,900) | | | | | | | 22,798 | |
| | | | | | | | |
Short-Term Investments — 6.4% | | | | | | | | |
Banker’s Acceptance Bill — 0.5% | | | | | | | | |
Bank of Nova Scotia, (Canada), 4.82%, 08/11/2023 (n) | | CAD | 4,900 | | | | 3,676 | |
| | | | | | | | |
Commercial Papers — 3.0% | | | | | | | | |
American Electric Power Co., Inc., | | | | | | | | |
5.47%, 08/07/2023 (e) (n) | | | 400 | | | | 398 | |
5.47%, 08/08/2023 (e) (n) | | | 400 | | | | 397 | |
Conagra Brands, Inc., 5.79%, 07/05/2023 (e) | | | 2,000 | | | | 1,998 | |
Consolidated Edison Co. of New York, Inc., 5.45%, 07/17/2023 (e) (n) | | | 2,000 | | | | 1,995 | |
Electricite de France SA, 5.60%, 07/14/2023 (e) (n) | | | 2,000 | | | | 1,996 | |
Global Payments, Inc., 5.98%, 07/14/2023 (n) | | | 1,400 | | | | 1,397 | |
Humana, Inc., 5.47%, 07/19/2023 (e) (n) | | | 2,000 | | | | 1,994 | |
Keurig Dr Pepper, Inc., 5.26%, 07/05/2023 (e) (n) | | | 500 | | | | 500 | |
Leidos, Inc., 5.93%, 07/10/2023 (e) (n) | | | 2,000 | | | | 1,997 | |
McCormick & Co., Inc., 5.37%, 07/25/2023 (e) (n) | | | 2,000 | | | | 1,993 | |
Northrop Grumman Corp., 5.68%, 08/22/2023 (n) | | | 2,100 | | | | 2,083 | |
Raytheon Technologies Corp., 5.49%, 07/12/2023 (e) (n) | | | 2,100 | | | | 2,096 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 41 |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Short-Term Investments — continued | | | | | | | | |
Commercial Papers — continued | | | | | | | | |
VW Credit, Inc., 5.43%, 07/24/2023 (e) (n) | | | 2,000 | | | | 1,993 | |
| | | | | | | | |
Total Commercial Papers | | | | | | | 20,837 | |
| | | | | | | | |
Corporate Bond — 0.3% | | | | | | | | |
Warnermedia Holdings, Inc., 3.43%, 03/15/2024 | | | 1,700 | | | | 1,669 | |
| | | | | | | | |
Municipal Bond — 0.7% (t) | | | | | | | | |
City of Los Angeles, TRAN, 5.00%, 06/27/2024 (w) | | | 5,000 | | | | 5,083 | |
| | | | | | | | |
Repurchase Agreement — 0.5% | | | | | | | | |
BNP Paribas Securities Corp., 5.11%, dated 06/30/2023 due 07/03/2023, repurchase price $3,101 collateralized by U.S. Treasury Security, 1.25%, due 08/15/2031, with a value of $3,162. | | | 3,100 | | | | 3,100 | |
| | | | | | | | |
Time Deposits — 1.4% | | | | | | | | |
Australia & New Zealand Banking Group Ltd., 2.77%, 07/03/2023 | | AUD | 30 | | | | 20 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Time Deposits — continued | | | | | | | | |
Citibank NA, 4.42%, 07/03/2023 | | | 9,012 | | | | 9,012 | |
Royal Bank of Canada, 3.54%, 07/04/2023 | | CAD | 109 | | | | 82 | |
Skandinaviska Enskilda Banken AB, | | | | | | | | |
2.37%, 07/03/2023 | | EUR | 1 | | | | 2 | |
3.92%, 07/03/2023 | | GBP | 7 | | | | 9 | |
Sumitomo Mitsui Trust Bank Ltd., 4.42%, 07/03/2023 | | | 736 | | | | 736 | |
| | | | | | | | |
Total Time Deposits | | | | | | | 9,861 | |
| | | | | | | | |
U.S. Treasury Obligation — 0.0% (g) | | | | | | | | |
U.S. Treasury Bill, Zero Coupon, 09/14/2023 | | | 214 | | | | 212 | |
| | | | | | | | |
Total Short-Term Investments
(Cost $44,380) | | | | | | | 44,438 | |
| | | | | | | | |
| | |
Total Investments — 100.3%
(Cost — $701,147) * | | | | | | | 694,218 | |
| | |
Liabilities in Excess of Other Assets — (0.3)% | | | | | | | (1,939 | ) |
| | | | | | | | |
| | |
NET ASSETS — 100.0% | | | | | | $ | 692,279 | |
| | | | | | | | |
Percentages indicated are based on net assets.
| | | | | | | | | | | | | | | | | | | | |
| Futures contracts outstanding as of June 30, 2023: | |
| Exchange Traded | |
| DESCRIPTION | | NUMBER OF CONTRACTS | | | EXPIRATION
DATE | | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT ($) | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
SOFR 3 Month | | | 204 | | | | 09/2023 | | | | USD | | | | 48,121 | | | | 125 | |
U.S. Treasury 2 Year Note | | | 201 | | | | 09/2023 | | | | USD | | | | 41,152 | | | | (280 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (155 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Short Contracts | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury 5 Year Note | | | (126 | ) | | | 09/2023 | | | | USD | | | | (13,692 | ) | | | 198 | |
U.S. Treasury Ultra Bond | | | (1 | ) | | | 09/2023 | | | | USD | | | | (135 | ) | | | (1 | ) |
U.S. Ultra Treasury 10 Year Note | | | (30 | ) | | | 09/2023 | | | | USD | | | | (3,596 | ) | | | 43 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 240 | |
| | | | | | | | | | | | | | | | | | | | |
Total unrealized appreciation (depreciation) | | | | | | | | | | | | | | | | | | | 85 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| Forward foreign currency exchange contracts outstanding as of June 30, 2023: | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) ($) | |
USD | | | 10,906 | | | | AUD | | | | 16,134 | | | Bank of America, NA | | | 08/16/2023 | | | | 145 | |
AUD | | | 2,586 | | | | USD | | | | 1,693 | | | Morgan Stanley & Co. | | | 08/16/2023 | | | | 31 | |
| | | | | | | | | | | | | | | | | | | | | | |
Total unrealized appreciation | | | | 176 | |
| | | | | | | | | | | | | | | | | | | | | | |
USD | | | 879 | | | | CAD | | | | 1,177 | | | Bank of America, NA | | | 07/05/2023 | | | | (9) | |
USD | | | 1,049 | | | | CAD | | | | 1,400 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | (8) | |
USD | | | 594 | | | | CAD | | | | 805 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | (14) | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 42 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | | | | | | | | | | | | | | | |
| Forward foreign currency exchange contracts outstanding as of June 30, 2023: | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) ($) | |
GBP | | | 220 | | | | USD | | | | 281 | | | Barclays Bank plc | | | 07/05/2023 | | | | (1) | |
USD | | | 2,742 | | | | GBP | | | | 2,206 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | (60) | |
USD | | | 3,647 | | | | CAD | | | | 4,900 | | | Deutsche Bank AG | | | 08/11/2023 | | | | (54) | |
AUD | | | 1,519 | | | | USD | | | | 1,017 | | | Morgan Stanley & Co. | | | 08/16/2023 | | | | (4) | |
AUD | | | 761 | | | | USD | | | | 517 | | | Morgan Stanley & Co. | | | 08/16/2023 | | | | (10) | |
USD | | | 736 | | | | CAD | | | | 1,000 | | | Deutsche Bank AG | | | 12/08/2023 | | | | (20) | |
| | | | | | | | | | | | | | | | | | | | | | |
Total unrealized depreciation | | | | (180) | |
| | | | | | | | | | | | | | | | | | | | | | |
Net unrealized appreciation (depreciation) | | | | (4) | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Centrally Cleared Credit Default Swaps contracts outstanding — buy protection (1) as of June 30, 2023: | |
REFERENCE OBLIGATION/INDEX | | FINANCING RATE PAID BY THE
FUND(%) | | | PAYMENT FREQUENCY | | | MATURITY
DATE | | | IMPLIED
CREDIT
SPREAD (%) (2) | | | NOTIONAL
AMOUNT (3) | | | UPFRONT
PAYMENTS
(RECEIPTS) ($) (4) | | | UNREALIZED
APPRECIATION
(DEPRECIATION) ($) | | | VALUE ($) | |
CDX.NA.IG.40-V1 | | | 1.00 | % | | | quarterly | | | | 06/20/2028 | | | | 0.66 | | | | USD | | | | 11,700 | | | | (107 | ) | | | (73 | ) | | | (180 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | (107 | ) | | | (73 | ) | | | (180 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (1) | The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay or receive an upfront premium to or from the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. |
| (2) | Implied credit spreads are an indication of the seller’s performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e. make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average spread across the underlying reference obligations included in a particular index. |
| (3) | The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive, upon occurrence of a credit event. |
| (4) | Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 43 |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023
| | |
ASX | | — Australian Stock Exchange |
| AGM | | — Insured by Assured Guaranty Municipal Corp. |
| AMT | | — Alternative Minimum Tax |
| BAM | | — Insured by Build America Mutual |
| BAN | | — Bond Anticipation Note |
| BBSW | | — Bank Bill Swap Rate |
| CDX | | — Credit Default Swap Index |
| CMT | | — Constant Maturity Treasury |
| FHLB | | — Federal Home Loan Bank |
| FHLMC | | — Federal Home Loan Mortgage Corp. |
| FNMA | | — Federal National Mortgage Association |
| GNMA | | — Government National Mortgage Association |
| GO | | — General Obligation |
| GTD | | — Guaranteed |
| ICE | | — Intercontinental Exchange |
| LIBOR | | — London Interbank Offered Rate |
| LIQ | | — Liquidity Agreement |
| LOC | | — Letter of Credit |
| PSF | | — Permanent School Fund |
| Reg. S | | — Security was purchased pursuant to Regulation S under the Securities Act of 1933, as amended (the “Securities Act”), which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act, or pursuant to an exemption from registration. |
| REMICS | | — Real Estate Mortgage Investment Conduit |
| Rev. | | — Revenue |
| SCH BD GTY | | — School Bond Guaranty |
| SIFMA | | — Securities Industry and Financial Markets Association |
| SOFR | | — Secured Overnight Financing Rate |
| SONIA | | — Sterling Overnight Interbank Average Rate |
| SUB | | — Step-Up Bond. The interest rate shown is the rate in effect as of June 30, 2023. |
| | |
| TRAN | | — Tax & Revenue Anticipation Note |
| VRDO | | — Variable Rate Demand Obligation. The interest rate shown is the rate in effect as of June 30, 2023. |
| (e) | | — Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| (f) | | — Security is exempt from registration under Rule 144A or Section 4 (a) (2) of the Securities Act of 1933, as amended. |
| (g) | | — Amount rounds to less than 0.05%. |
| (n) | | — The rate shown is the effective yield as of June 30, 2023. |
| (p) | | — Security is prerefunded or escrowed to maturity. |
| (t) | | — The date shown represents the earliest of the prerefunded date, next put date or final maturity date. |
| (w) | | — All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
| (z) | | — Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of June 30, 2023. |
| (aa) | | — Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of June 30, 2023. |
| * | | — The cost of securities is substantially the same for federal income tax purposes. |
| AUD | | — Australian Dollar |
| CAD | | — Canadian Dollar |
| EUR | | — Euro |
| GBP | | — British Pound |
| USD | | — United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 44 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
Common Stocks — 98.6% | | | | | | | | |
Basic Materials — 0.7% | | | | | | | | |
Chemicals — 0.5% | | | | | | | | |
Air Products & Chemicals, Inc. | | | 37 | | | | 10,993 | |
Albemarle Corp. | | | 19 | | | | 4,293 | |
Celanese Corp., Class A | | | 13 | | | | 1,452 | |
CF Industries Holdings, Inc. | | | 32 | | | | 2,244 | |
Dow, Inc. | | | 132 | | | | 7,027 | |
DuPont de Nemours, Inc. | | | 83 | | | | 5,946 | |
Eastman Chemical Co. | | | 17 | | | | 1,393 | |
Ecolab, Inc. | | | 42 | | | | 7,873 | |
FMC Corp. | | | 16 | | | | 1,721 | |
International Flavors & Fragrances, Inc. | | | 38 | | | | 3,041 | |
Linde plc | | | 83 | | | | 31,690 | |
LyondellBasell Industries NV, Class A | | | 47 | | | | 4,348 | |
Mosaic Co. (The) | | | 57 | | | | 1,986 | |
PPG Industries, Inc. | | | 38 | | | | 5,601 | |
RPM International, Inc. | | | 16 | | | | 1,410 | |
Sherwin-Williams Co. (The) | | | 40 | | | | 10,601 | |
Westlake Corp. | | | 8 | | | | 945 | |
| | | | | | | | |
| | |
| | | | | | | 102,564 | |
| | | | | | | | |
Forest Products & Paper — 0.0% (g) | | | | | | | | |
International Paper Co. | | | 89 | | | | 2,841 | |
| | | | | | | | |
Iron/Steel — 0.1% | | | | | | | | |
Cleveland-Cliffs, Inc. (a) | | | 78 | | | | 1,299 | |
Nucor Corp. | | | 41 | | | | 6,663 | |
Reliance Steel & Aluminum Co. | | | 9 | | | | 2,557 | |
Steel Dynamics, Inc. | | | 27 | | | | 2,920 | |
| | | | | | | | |
| | |
| | | | | | | 13,439 | |
| | | | | | | | |
Mining — 0.1% | | | | | | | | |
Alcoa Corp. | | | 6 | | | | 217 | |
Freeport-McMoRan, Inc. | | | 215 | | | | 8,618 | |
Newmont Corp. | | | 110 | | | | 4,692 | |
| | | | | | | | |
| | |
| | | | | | | 13,527 | |
| | | | | | | | |
Total Basic Materials | | | | | | | 132,371 | |
| | | | | | | | |
Communications — 17.1% | | | | | | | | |
Advertising — 0.1% | | | | | | | | |
Interpublic Group of Cos., Inc. (The) | | | 86 | | | | 3,306 | |
Omnicom Group, Inc. | | | 43 | | | | 4,137 | |
Trade Desk, Inc. (The), Class A (a) | | | 75 | | | | 5,760 | |
| | | | | | | | |
| | |
| | | | | | | 13,203 | |
| | | | | | | | |
Internet — 15.3% | | | | | | | | |
Airbnb, Inc., Class A (a) | | | 67 | | | | 8,586 | |
Alphabet, Inc., Class A (a) | | | 4,101 | | | | 490,881 | |
Alphabet, Inc., Class C (a) | | | 3,701 | | | | 447,758 | |
Amazon.com, Inc. (a) | | | 9,106 | | | | 1,187,081 | |
Booking Holdings, Inc. (a) | | | 7 | | | | 18,416 | |
CDW Corp. | | | 75 | | | | 13,691 | |
Chewy, Inc., Class A (a) | | | 7 | | | | 291 | |
DoorDash, Inc., Class A (a) | | | 37 | | | | 2,806 | |
eBay, Inc. | | | 513 | | | | 22,924 | |
Etsy, Inc. (a) | | | 126 | | | | 10,635 | |
Expedia Group, Inc. (a) | | | 33 | | | | 3,643 | |
F5, Inc. (a) | | | 29 | | | | 4,283 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
| | | | | | | | |
Internet — continued | | | | | | | | |
Gen Digital, Inc. | | | 317 | | | | 5,887 | |
GoDaddy, Inc., Class A (a) | | | 22 | | | | 1,640 | |
Match Group, Inc. (a) | | | 178 | | | | 7,440 | |
MercadoLibre, Inc., (Uruguay) (a) | | | 44 | | | | 52,619 | |
Meta Platforms, Inc., Class A (a) | | | 1,526 | | | | 437,913 | |
Netflix, Inc. (a) | | | 77 | | | | 34,007 | |
Okta, Inc., Class A (a) | | | 26 | | | | 1,801 | |
Palo Alto Networks, Inc. (a) | | | 174 | | | | 44,366 | |
Pinterest, Inc., Class A (a) | | | 400 | | | | 10,926 | |
Roku, Inc., Class A (a) | | | 19 | | | | 1,221 | |
Snap, Inc., Class A (a) | | | 680 | | | | 8,046 | |
Uber Technologies, Inc. (a) | | | 5,834 | | | | 251,875 | |
VeriSign, Inc. (a) | | | 13 | | | | 2,927 | |
Zillow Group, Inc., Class C (a) | | | 26 | | | | 1,323 | |
| | | | | | | | |
| | |
| | | | | | | 3,072,986 | |
| | | | | | | | |
Media — 0.5% | | | | | | | | |
Charter Communications, Inc., Class A (a) | | | 14 | | | | 5,014 | |
Comcast Corp., Class A | | | 696 | | | | 28,937 | |
FactSet Research Systems, Inc. | | | 27 | | | | 10,792 | |
Fox Corp., Class A | | | 65 | | | | 2,218 | |
Fox Corp., Class B | | | 28 | | | | 877 | |
Liberty Broadband Corp., Class C (a) | | | 20 | | | | 1,570 | |
Liberty Global plc, (United Kingdom), Class C (a) | | | 51 | | | | 903 | |
Liberty Media Corp.-Liberty Formula One, Class C (a) | | | 37 | | | | 2,776 | |
Liberty Media Corp.-Liberty SiriusXM, Class C (a) | | | 27 | | | | 896 | |
News Corp., Class A | | | 86 | | | | 1,682 | |
Paramount Global, Class B | | | 88 | | | | 1,395 | |
Sirius XM Holdings, Inc. | | | 110 | | | | 499 | |
Walt Disney Co. (The) (a) | | | 319 | | | | 28,513 | |
Warner Bros Discovery, Inc. (a) | | | 390 | | | | 4,889 | |
| | | | | | | | |
| | |
| | | | | | | 90,961 | |
| | | | | | | | |
Telecommunications — 1.2% | | | | | | | | |
Arista Networks, Inc. (a) | | | 140 | | | | 22,743 | |
AT&T, Inc. | | | 1,171 | | | | 18,681 | |
Cisco Systems, Inc. | | | 2,256 | | | | 116,741 | |
Corning, Inc. | | | 438 | | | | 15,347 | |
Juniper Networks, Inc. | | | 171 | | | | 5,372 | |
Motorola Solutions, Inc. | | | 90 | | | | 26,283 | |
T-Mobile US, Inc. (a) | | | 95 | | | | 13,174 | |
Verizon Communications, Inc. | | | 686 | | | | 25,510 | |
| | | | | | | | |
| | |
| | | | | | | 243,851 | |
| | | | | | | | |
Total Communications | | | | | | | 3,421,001 | |
| | | | | | | | |
Consumer Cyclical — 3.0% | | | | | | | | |
Airlines — 0.0% (g) | | | | | | | | |
Delta Air Lines, Inc. (a) | | | 25 | | | | 1,195 | |
Southwest Airlines Co. | | | 23 | | | | 841 | |
| | | | | | | | |
| | |
| | | | | | | 2,036 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 45 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
Common Stocks — continued | | | | | | | | |
Apparel — 0.1% | | | | | | | | |
Deckers Outdoor Corp. (a) | | | 4 | | | | 1,931 | |
NIKE, Inc., Class B | | | 208 | | | | 22,928 | |
VF Corp. | | | 46 | | | | 883 | |
| | | | | | | | |
| | |
| | | | | | | 25,742 | |
| | | | | | | | |
Auto Manufacturers — 0.8% | | | | | | | | |
Cummins, Inc. | | | 25 | | | | 6,239 | |
Ford Motor Co. | | | 720 | | | | 10,888 | |
General Motors Co. | | | 280 | | | | 10,800 | |
Lucid Group, Inc. (a) | | | 157 | | | | 1,080 | |
PACCAR, Inc. | | | 97 | | | | 8,121 | |
Rivian Automotive, Inc., Class A (a) | | | 106 | | | | 1,771 | |
Tesla, Inc. (a) | | | 487 | | | | 127,476 | |
| | | | | | | | |
| | |
| | | | | | | 166,375 | |
| | | | | | | | |
Auto Parts & Equipment — 0.1% | | | | | | | | |
Aptiv plc, (Ireland) (a) | | | 50 | | | | 5,094 | |
BorgWarner, Inc. | | | 57 | | | | 2,784 | |
Lear Corp. | | | 17 | | | | 2,376 | |
| | | | | | | | |
| | |
| | | | | | | 10,254 | |
| | | | | | | | |
Distribution/Wholesale — 0.2% | | | | | | | | |
Copart, Inc. (a) | | | 60 | | | | 5,514 | |
Fastenal Co. | | | 114 | | | | 6,727 | |
Ferguson plc, (United Kingdom) | | | 40 | | | | 6,271 | |
LKQ Corp. | | | 44 | | | | 2,571 | |
Pool Corp. | | | 5 | | | | 1,817 | |
Watsco, Inc. | | | 7 | | | | 2,567 | |
WW Grainger, Inc. | | | 8 | | | | 6,671 | |
| | | | | | | | |
| | |
| | | | | | | 32,138 | |
| | | | | | | | |
Entertainment — 0.0% (g) | | | | | | | | |
Caesars Entertainment, Inc. (a) | | | 16 | | | | 791 | |
Live Nation Entertainment, Inc. (a) | | | 28 | | | | 2,594 | |
Vail Resorts, Inc. | | | 9 | | | | 2,166 | |
| | | | | | | | |
| | |
| | | | | | | 5,551 | |
| | | | | | | | |
Food Service — 0.0% (g) | | | | | | | | |
Aramark | | | 39 | | | | 1,690 | |
| | | | | | | | |
Home Builders — 0.1% | | | | | | | | |
DR Horton, Inc. | | | 43 | | | | 5,279 | |
Lennar Corp., Class A | | | 34 | | | | 4,308 | |
NVR, Inc. (a) | | | — (h) | | | | 2,350 | |
PulteGroup, Inc. | | | 24 | | | | 1,858 | |
| | | | | | | | |
| | |
| | | | | | | 13,795 | |
| | | | | | | | |
Home Furnishings — 0.0% (g) | | | | | | | | |
Whirlpool Corp. | | | 6 | | | | 926 | |
| | | | | | | | |
Leisure Time — 0.0% (g) | | | | | | | | |
Carnival Corp. (a) | | | 168 | | | | 3,154 | |
Royal Caribbean Cruises Ltd. (a) | | | 39 | | | | 4,063 | |
| | | | | | | | |
| | |
| | | | | | | 7,217 | |
| | | | | | | | |
Lodging — 0.1% | | | | | | | | |
Hilton Worldwide Holdings, Inc. | | | 56 | | | | 8,095 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
| | | | | | | | |
Lodging — continued | | | | | | | | |
Hyatt Hotels Corp., Class A | | | 14 | | | | 1,655 | |
Las Vegas Sands Corp. (a) | | | 48 | | | | 2,810 | |
Marriott International, Inc., Class A | | | 52 | | | | 9,562 | |
MGM Resorts International | | | 45 | | | | 1,987 | |
Wynn Resorts Ltd. | | | 12 | | | | 1,255 | |
| | | | | | | | |
| | |
| | | | | | | 25,364 | |
| | | | | | | | |
Retail — 1.6% | | | | | | | | |
Advance Auto Parts, Inc. | | | 10 | | | | 681 | |
AutoZone, Inc. (a) | | | 3 | | | | 7,236 | |
Bath & Body Works, Inc. | | | 34 | | | | 1,262 | |
Best Buy Co., Inc. | | | 33 | | | | 2,719 | |
Burlington Stores, Inc. (a) | | | 10 | | | | 1,548 | |
CarMax, Inc. (a) | | | 28 | | | | 2,335 | |
Chipotle Mexican Grill, Inc., Class A (a) | | | 5 | | | | 9,957 | |
Costco Wholesale Corp. | | | 76 | | | | 40,761 | |
Darden Restaurants, Inc. | | | 23 | | | | 3,802 | |
Dick’s Sporting Goods, Inc. | | | 10 | | | | 1,360 | |
Dollar General Corp. | | | 37 | | | | 6,305 | |
Dollar Tree, Inc. (a) | | | 37 | | | | 5,279 | |
Domino’s Pizza, Inc. | | | 4 | | | | 1,366 | |
Genuine Parts Co. | | | 22 | | | | 3,775 | |
Home Depot, Inc. (The) | | | 171 | | | | 53,060 | |
Lowe’s Cos., Inc. | | | 99 | | | | 22,394 | |
Lululemon Athletica, Inc., (Canada) (a) | | | 19 | | | | 7,230 | |
McDonald’s Corp. | | | 124 | | | | 37,147 | |
O’Reilly Automotive, Inc. (a) | | | 10 | | | | 9,305 | |
Ross Stores, Inc. | | | 55 | | | | 6,130 | |
Starbucks Corp. | | | 193 | | | | 19,142 | |
Target Corp. | | | 78 | | | | 10,338 | |
TJX Cos., Inc. (The) | | | 189 | | | | 16,064 | |
Tractor Supply Co. | | | 16 | | | | 3,441 | |
Ulta Beauty, Inc. (a) | | | 8 | | | | 3,620 | |
Walgreens Boots Alliance, Inc. | | | 110 | | | | 3,142 | |
Walmart, Inc. | | | 264 | | | | 41,451 | |
Yum! Brands, Inc. | | | 39 | | | | 5,468 | |
| | | | | | | | |
| | |
| | | | | | | 326,318 | |
| | | | | | | | |
Toys/Games/Hobbies — 0.0% (g) | | | | | | | | |
Hasbro, Inc. | | | 20 | | | | 1,296 | |
| | | | | | | | |
Total Consumer Cyclical | | | | | | | 618,702 | |
| | | | | | | | |
Consumer Non-cyclical — 22.7% | | | | | | | | |
Agriculture — 0.2% | | | | | | | | |
Altria Group, Inc. | | | 296 | | | | 13,421 | |
Archer-Daniels-Midland Co. | | | 100 | | | | 7,592 | |
Bunge Ltd. | | | 32 | | | | 2,973 | |
Darling Ingredients, Inc. (a) | | | 26 | | | | 1,682 | |
Philip Morris International, Inc. | | | 253 | | | | 24,721 | |
| | | | | | | | |
| | |
| | | | | | | 50,389 | |
| | | | | | | | |
Beverages — 1.3% | | | | | | | | |
Brown-Forman Corp., Class B | | | 114 | | | | 7,599 | |
Coca-Cola Co. (The) | | | 1,704 | | | | 102,606 | |
Constellation Brands, Inc., Class A | | | 67 | | | | 16,466 | |
Keurig Dr Pepper, Inc. | | | 366 | | | | 11,456 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 46 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
Common Stocks — continued | | | | | | | | |
Beverages — continued | | | | | | | | |
Molson Coors Beverage Co., Class B | | | 77 | | | | 5,081 | |
Monster Beverage Corp. (a) | | | 314 | | | | 18,027 | |
PepsiCo., Inc. | | | 578 | | | | 106,993 | |
| | | | | | | | |
| | |
| | | | | | | 268,228 | |
| | | | | | | | |
Biotechnology — 0.7% | | | | | | | | |
Alnylam Pharmaceuticals, Inc. (a) | | | 21 | | | | 3,996 | |
Amgen, Inc. | | | 93 | | | | 20,664 | |
Biogen, Inc. (a) | | | 25 | | | | 7,220 | |
BioMarin Pharmaceutical, Inc. (a) | | | 32 | | | | 2,750 | |
Bio-Rad Laboratories, Inc., Class A (a) | | | 21 | | | | 7,781 | |
Corteva, Inc. | | | 119 | | | | 6,837 | |
Gilead Sciences, Inc. | | | 214 | | | | 16,477 | |
Horizon Therapeutics Plc (a) | | | 35 | | | | 3,637 | |
Illumina, Inc. (a) | | | 152 | | | | 28,545 | |
Incyte Corp. (a) | | | 31 | | | | 1,923 | |
Moderna, Inc. (a) | | | 56 | | | | 6,828 | |
Regeneron Pharmaceuticals, Inc. (a) | | | 19 | | | | 13,347 | |
Royalty Pharma plc, Class A | | | 37 | | | | 1,148 | |
Seagen, Inc. (a) | | | 24 | | | | 4,708 | |
United Therapeutics Corp. (a) | | | 8 | | | | 1,785 | |
Vertex Pharmaceuticals, Inc. (a) | | | 45 | | | | 15,683 | |
| | | | | | | | |
| | |
| | | | | | | 143,329 | |
| | | | | | | | |
Commercial Services — 1.6% | | | | | | | | |
Automatic Data Processing, Inc. | | | 74 | | | | 16,323 | |
Block, Inc., Class A (a) | | | 355 | | | | 23,636 | |
Booz Allen Hamilton Holding Corp., Class A | | | 23 | | | | 2,574 | |
Cintas Corp. | | | 19 | | | | 9,452 | |
Clarivate plc, (United Kingdom) (a) | | | 23 | | | | 219 | |
CoStar Group, Inc. (a) | | | 61 | | | | 5,469 | |
Equifax, Inc. | | | 25 | | | | 5,811 | |
FleetCor Technologies, Inc. (a) | | | 46 | | | | 11,577 | |
Gartner, Inc. (a) | | | 14 | | | | 4,837 | |
Global Payments, Inc. | | | 175 | | | | 17,210 | |
MarketAxess Holdings, Inc. | | | 24 | | | | 6,293 | |
Moody’s Corp. | | | 114 | | | | 39,625 | |
Paylocity Holding Corp. (a) | | | 6 | | | | 1,127 | |
PayPal Holdings, Inc. (a) | | | 706 | | | | 47,129 | |
Quanta Services, Inc. | | | 25 | | | | 4,901 | |
Robert Half International, Inc. | | | 21 | | | | 1,609 | |
Rollins, Inc. | | | 51 | | | | 2,196 | |
S&P Global, Inc. | | | 227 | | | | 90,868 | |
Toast, Inc., Class A (a) | | | 191 | | | | 4,322 | |
TransUnion | | | 36 | | | | 2,797 | |
U-Haul Holding Co., Class B | | | 25 | | | | 1,270 | |
United Rentals, Inc. | | | 12 | | | | 5,520 | |
Verisk Analytics, Inc., Class A | | | 29 | | | | 6,468 | |
| | | | | | | | |
| | |
| | | | | | | 311,233 | |
| | | | | | | | |
Cosmetics/Personal Care — 0.4% | | | | | | | | |
Colgate-Palmolive Co. | | | 120 | | | | 9,257 | |
Estee Lauder Cos., Inc. (The), Class A | | | 39 | | | | 7,667 | |
Procter & Gamble Co. (The) | | | 413 | | | | 62,671 | |
| | | | | | | | |
| | |
| | | | | | | 79,595 | |
| | | | | | | | |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
| | | | | | | | |
Food — 0.4% | | | | | | | | |
Albertsons Cos., Inc., Class A | | | 51 | | | | 1,109 | |
Campbell Soup Co. | | | 44 | | | | 2,016 | |
Conagra Brands, Inc. | | | 91 | | | | 3,079 | |
General Mills, Inc. | | | 109 | | | | 8,394 | |
Hershey Co. (The) | | | 26 | | | | 6,368 | |
Hormel Foods Corp. | | | 53 | | | | 2,122 | |
J M Smucker Co. (The) | | | 22 | | | | 3,191 | |
Kellogg Co. | | | 55 | | | | 3,698 | |
Kraft Heinz Co. (The) | | | 160 | | | | 5,680 | |
Kroger Co. (The) | | | 121 | | | | 5,695 | |
Lamb Weston Holdings, Inc. | | | 22 | | | | 2,520 | |
McCormick & Co., Inc. | | | 43 | | | | 3,712 | |
Mondelez International, Inc., Class A | | | 254 | | | | 18,537 | |
Sysco Corp. | | | 74 | | | | 5,525 | |
Tyson Foods, Inc., Class A | | | 52 | | | | 2,667 | |
| | | | | | | | |
| | |
| | | | | | | 74,313 | |
| | | | | | | | |
Healthcare — Products — 3.0% | | | | | | | | |
Abbott Laboratories | | | 302 | | | | 32,937 | |
Align Technology, Inc. (a) | | | 12 | | | | 4,231 | |
Avantor, Inc. (a) | | | 642 | | | | 13,179 | |
Baxter International, Inc. | | | 78 | | | | 3,532 | |
Bio-Techne Corp. | | | 152 | | | | 12,405 | |
Boston Scientific Corp. (a) | | | 250 | | | | 13,525 | |
Cooper Cos., Inc. (The) | | | 8 | | | | 3,093 | |
Danaher Corp. | | | 668 | | | | 160,374 | |
DENTSPLY SIRONA, Inc. | | | 26 | | | | 1,049 | |
Edwards Lifesciences Corp. (a) | | | 100 | | | | 9,414 | |
Exact Sciences Corp. (a) | | | 30 | | | | 2,833 | |
GE HealthCare Technologies, Inc. | | | 72 | | | | 5,845 | |
Hologic, Inc. (a) | | | 39 | | | | 3,152 | |
IDEXX Laboratories, Inc. (a) | | | 13 | | | | 6,596 | |
Insulet Corp. (a) | | | 11 | | | | 3,166 | |
Intuitive Surgical, Inc. (a) | | | 59 | | | | 20,326 | |
Masimo Corp. (a) | | | 6 | | | | 1,010 | |
Medtronic plc, (Ireland) | | | 230 | | | | 20,258 | |
Novocure Ltd., (Jersey, Channel Islands) (a) | | | 16 | | | | 649 | |
Repligen Corp. (a) | | | 50 | | | | 7,072 | |
ResMed, Inc. | | | 23 | | | | 4,957 | |
Revvity, Inc. | | | 122 | | | | 14,504 | |
STERIS plc | | | 16 | | | | 3,622 | |
Stryker Corp. | | | 58 | | | | 17,761 | |
Teleflex, Inc. | | | 7 | | | | 1,627 | |
Thermo Fisher Scientific, Inc. | | | 372 | | | | 194,272 | |
Waters Corp. (a) | | | 53 | | | | 14,108 | |
West Pharmaceutical Services, Inc. | | | 71 | | | | 27,145 | |
Zimmer Biomet Holdings, Inc. | | | 35 | | | | 5,101 | |
| | | | | | | | |
| | |
| | | | | | | 607,743 | |
| | | | | | | | |
Healthcare — Services — 6.1% | | | | | | | | |
Catalent, Inc. (a) | | | 193 | | | | 8,374 | |
Centene Corp. (a) | | | 932 | | | | 62,867 | |
Charles River Laboratories International, Inc. (a) | | | 49 | | | | 10,320 | |
DaVita, Inc. (a) | | | 9 | | | | 948 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 47 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
Common Stocks — continued | | | | | | | | |
Healthcare — Services — continued | | | | | | | | |
Elevance Health, Inc. | | | 406 | | | | 180,287 | |
HCA Healthcare, Inc. | | | 36 | | | | 10,992 | |
Humana, Inc. | | | 214 | | | | 95,681 | |
IQVIA Holdings, Inc. (a) | | | 180 | | | | 40,422 | |
Laboratory Corp. of America Holdings | | | 15 | | | | 3,665 | |
Molina Healthcare, Inc. (a) | | | 98 | | | | 29,512 | |
Quest Diagnostics, Inc. | | | 19 | | | | 2,685 | |
UnitedHealth Group, Inc. | | | 1,596 | | | | 767,305 | |
Universal Health Services, Inc., Class B | | | 11 | | | | 1,659 | |
| | | | | | | | |
| | |
| | | | | | | 1,214,717 | |
| | | | | | | | |
Household Products/Wares — 0.1% | | | | | | | | |
Avery Dennison Corp. | | | 17 | | | | 2,879 | |
Church & Dwight Co., Inc. | | | 41 | | | | 4,149 | |
Clorox Co. (The) | | | 21 | | | | 3,322 | |
Kimberly-Clark Corp. | | | 56 | | | | 7,728 | |
| | | | | | | | |
| | |
| | | | | | | 18,078 | |
| | | | | | | | |
Pharmaceuticals — 8.9% | | | | | | | | |
AbbVie, Inc. | | | 301 | | | | 40,506 | |
AmerisourceBergen Corp. | | | 31 | | | | 6,000 | |
Becton Dickinson & Co. | | | 49 | | | | 12,970 | |
Bristol-Myers Squibb Co. | | | 2,284 | | | | 146,052 | |
Cardinal Health, Inc. | | | 44 | | | | 4,172 | |
Cigna Group (The) | | | 50 | | | | 14,079 | |
CVS Health Corp. | | | 226 | | | | 15,592 | |
Dexcom, Inc. (a) | | | 65 | | | | 8,305 | |
Eli Lilly & Co. | | | 861 | | | | 403,630 | |
Henry Schein, Inc. (a) | | | 21 | | | | 1,688 | |
Jazz Pharmaceuticals plc (a) | | | 3 | | | | 382 | |
Johnson & Johnson | | | 2,830 | | | | 468,399 | |
McKesson Corp. | | | 24 | | | | 10,064 | |
Merck & Co., Inc. | | | 2,764 | | | | 318,957 | |
Neurocrine Biosciences, Inc. (a) | | | 15 | | | | 1,418 | |
Organon & Co. | | | 234 | | | | 4,870 | |
Pfizer, Inc. | | | 6,150 | | | | 225,596 | |
Viatris, Inc. | | | 1,298 | | | | 12,955 | |
Zoetis, Inc., Class A | | | 500 | | | | 86,081 | |
| | | | | | | | |
| | |
| | | | | | | 1,781,716 | |
| | | | | | | | |
Total Consumer Non-cyclical | | | | | | | 4,549,341 | |
| | | | | | | | |
Energy — 2.5% | | | | | | | | |
Energy — Alternate Sources — 0.1% | | | | | | | | |
Enphase Energy, Inc. (a) | | | 57 | | | | 9,537 | |
First Solar, Inc. (a) | | | 43 | | | | 8,225 | |
SolarEdge Technologies, Inc., (Israel) (a) | | | 23 | | | | 6,282 | |
| | | | | | | | |
| | |
| | | | | | | 24,044 | |
| | | | | | | | |
Oil & Gas — 1.2% | | | | | | | | |
APA Corp. | | | 45 | | | | 1,541 | |
Chesapeake Energy Corp. | | | 18 | | | | 1,547 | |
Chevron Corp. | | | 310 | | | | 48,852 | |
ConocoPhillips | | | 216 | | | | 22,352 | |
Coterra Energy, Inc. | | | 137 | | | | 3,463 | |
Devon Energy Corp. | | | 111 | | | | 5,354 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
| | | | | | | | |
Oil & Gas — continued | | | | | | | | |
Diamondback Energy, Inc. | | | 29 | | | | 3,861 | |
EOG Resources, Inc. | | | 101 | | | | 11,511 | |
EQT Corp. | | | 60 | | | | 2,477 | |
Exxon Mobil Corp. | | | 699 | | | | 74,987 | |
Hess Corp. | | | 44 | | | | 6,037 | |
HF Sinclair Corp. | | | 67 | | | | 2,974 | |
Marathon Oil Corp. | | | 116 | | | | 2,670 | |
Marathon Petroleum Corp. | | | 78 | | | | 9,122 | |
Occidental Petroleum Corp. | | | 125 | | | | 7,341 | |
Ovintiv, Inc. | | | 42 | | | | 1,584 | |
Phillips 66 | | | 82 | | | | 7,846 | |
Pioneer Natural Resources Co. | | | 41 | | | | 8,475 | |
Texas Pacific Land Corp. | | | 1 | | | | 889 | |
Valero Energy Corp. | | | 63 | | | | 7,445 | |
| | | | | | | | |
| | |
| | | | | | | 230,328 | |
| | | | | | | | |
Oil & Gas Services — 1.1% | | | | | | | | |
Baker Hughes Co., Class A | | | 160 | | | | 5,044 | |
Halliburton Co. | | | 138 | | | | 4,568 | |
Schlumberger NV | | | 4,390 | | | | 215,639 | |
| | | | | | | | |
| | |
| | | | | | | 225,251 | |
| | | | | | | | |
Pipelines — 0.1% | | | | | | | | |
Cheniere Energy, Inc. | | | 37 | | | | 5,683 | |
Kinder Morgan, Inc. | | | 279 | | | | 4,797 | |
ONEOK, Inc. | | | 61 | | | | 3,756 | |
Targa Resources Corp. | | | 22 | | | | 1,656 | |
Williams Cos., Inc. (The) | | | 172 | | | | 5,604 | |
| | | | | | | | |
| | |
| | | | | | | 21,496 | |
| | | | | | | | |
Total Energy | | | | | | | 501,119 | |
| | | | | | | | |
Financial — 17.6% | | | | | | | | |
Banks — 5.9% | | | | | | | | |
Bank of America Corp. | | | 13,090 | | | | 375,553 | |
Bank of New York Mellon Corp. (The) | | | 677 | | | | 30,154 | |
Citigroup, Inc. | | | 1,428 | | | | 65,758 | |
Citizens Financial Group, Inc. | | | 563 | | | | 14,676 | |
Fifth Third Bancorp | | | 690 | | | | 18,089 | |
First Citizens BancShares, Inc., Class A | | | 12 | | | | 15,440 | |
First Horizon Corp. | | | 559 | | | | 6,302 | |
Goldman Sachs Group, Inc. (The) | | | 242 | | | | 77,896 | |
Huntington Bancshares, Inc. | | | 1,559 | | | | 16,804 | |
KeyCorp. | | | 1,273 | | | | 11,763 | |
M&T Bank Corp. | | | 164 | | | | 20,340 | |
Morgan Stanley | | | 2,702 | | | | 230,736 | |
Northern Trust Corp. | | | 170 | | | | 12,617 | |
PNC Financial Services Group, Inc. (The) | | | 314 | | | | 39,529 | |
Regions Financial Corp. | | | 982 | | | | 17,503 | |
State Street Corp. | | | 306 | | | | 22,419 | |
Truist Financial Corp. | | | 1,083 | | | | 32,859 | |
US Bancorp | | | 1,205 | | | | 39,807 | |
Webster Financial Corp. | | | 291 | | | | 10,989 | |
Wells Fargo & Co. | | | 2,652 | | | | 113,202 | |
| | | | | | | | |
| | |
| | | | | | | 1,172,436 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 48 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
Common Stocks — continued | | | | | | | | |
Diversified Financial Services — 5.1% | | | | | | | | |
Ally Financial, Inc. | | | 304 | | | | 8,214 | |
American Express Co. | | | 456 | | | | 79,395 | |
Ameriprise Financial, Inc. | | | 86 | | | | 28,530 | |
Apollo Global Management, Inc. | | | 270 | | | | 20,768 | |
BlackRock, Inc., Class A | | | 65 | | | | 45,075 | |
Capital One Financial Corp. | | | 309 | | | | 33,741 | |
Cboe Global Markets, Inc. | | | 75 | | | | 10,325 | |
Charles Schwab Corp. (The) | | | 1,016 | | | | 57,614 | |
CME Group, Inc., Class A | | | 269 | | | | 49,777 | |
Coinbase Global, Inc., Class A (a) | | | 105 | | | | 7,519 | |
Discover Financial Services | | | 225 | | | | 26,349 | |
Franklin Resources, Inc. | | | 287 | | | | 7,666 | |
Intercontinental Exchange, Inc. | | | 428 | | | | 48,374 | |
Invesco Ltd. | | | 494 | | | | 8,309 | |
LPL Financial Holdings, Inc. | | | 53 | | | | 11,540 | |
Mastercard, Inc., Class A | | | 577 | | | | 226,866 | |
Nasdaq, Inc. | | | 247 | | | | 12,311 | |
Raymond James Financial, Inc. | | | 189 | | | | 19,634 | |
SEI Investments Co. | | | 167 | | | | 9,933 | |
Synchrony Financial | | | 462 | | | | 15,681 | |
T Rowe Price Group, Inc. | | | 202 | | | | 22,668 | |
Tradeweb Markets, Inc., Class A | | | 77 | | | | 5,295 | |
Visa, Inc., Class A | | | 1,106 | | | | 262,707 | |
| | | | | | | | |
| | |
| | | | | | | 1,018,291 | |
| | | | | | | | |
Insurance — 4.7% | | | | | | | | |
Aflac, Inc. | | | 482 | | | | 33,646 | |
Allstate Corp. (The) | | | 219 | | | | 23,895 | |
American Financial Group, Inc. | | | 79 | | | | 9,369 | |
American International Group, Inc. | | | 563 | | | | 32,423 | |
Aon plc, Class A | | | 137 | | | | 47,348 | |
Arch Capital Group Ltd., (Bermuda) (a) | | | 324 | | | | 24,250 | |
Arthur J Gallagher & Co. | | | 150 | | | | 32,881 | |
Assurant, Inc. | | | 40 | | | | 5,059 | |
Berkshire Hathaway, Inc., Class B (a) | | | 881 | | | | 300,465 | |
Brown & Brown, Inc. | | | 161 | | | | 11,056 | |
Chubb Ltd., (Switzerland) | | | 297 | | | | 57,207 | |
Cincinnati Financial Corp. | | | 107 | | | | 10,402 | |
Equitable Holdings, Inc. | | | 311 | | | | 8,441 | |
Erie Indemnity Co., Class A | | | 17 | | | | 3,482 | |
Everest Re Group Ltd., (Bermuda) | | | 44 | | | | 14,894 | |
Fidelity National Financial, Inc. | | | 205 | | | | 7,377 | |
Globe Life, Inc. | | | 135 | | | | 14,774 | |
Hartford Financial Services Group, Inc. (The) | | | 297 | | | | 21,365 | |
Loews Corp. | | | 237 | | | | 14,080 | |
Markel Group, Inc. (a) | | | 9 | | | | 12,549 | |
Marsh & McLennan Cos., Inc. | | | 344 | | | | 64,664 | |
MetLife, Inc. | | | 554 | | | | 31,317 | |
Principal Financial Group, Inc. | | | 246 | | | | 18,649 | |
Progressive Corp. (The) | | | 426 | | | | 56,334 | |
Prudential Financial, Inc. | | | 294 | | | | 25,919 | |
Travelers Cos., Inc. (The) | | | 183 | | | | 31,785 | |
Willis Towers Watson plc, (United Kingdom) | | | 84 | | | | 19,735 | |
WR Berkley Corp. | | | 149 | | | | 8,903 | |
| | | | | | | | |
| | |
| | | | | | | 942,269 | |
| | | | | | | | |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
| | | | | | | | |
Private Equity — 0.4% | | | | | | | | |
Ares Management Corp., Class A | | | 110 | | | | 10,628 | |
Blackstone, Inc. | | | 477 | | | | 44,300 | |
Carlyle Group, Inc. (The) | | | 169 | | | | 5,399 | |
KKR & Co., Inc. | | | 405 | | | | 22,654 | |
| | | | | | | | |
| | |
| | | | | | | 82,981 | |
| | | | | | | | |
Real Estate — 0.0% (g) | | | | | | | | |
CBRE Group, Inc., Class A (a) | | | 56 | | | | 4,559 | |
| | | | | | | | |
REITS — 1.5% | | | | | | | | |
Alexandria Real Estate Equities, Inc. | | | 27 | | | | 3,021 | |
American Homes 4 Rent, Class A | | | 46 | | | | 1,624 | |
American Tower Corp. | | | 820 | | | | 158,994 | |
Annaly Capital Management, Inc. | | | 300 | | | | 6,010 | |
AvalonBay Communities, Inc. | | | 23 | | | | 4,392 | |
Boston Properties, Inc. | | | 21 | | | | 1,224 | |
Camden Property Trust | | | 12 | | | | 1,352 | |
Crown Castle, Inc. | | | 72 | | | | 8,251 | |
Digital Realty Trust, Inc. | | | 48 | | | | 5,430 | |
Equinix, Inc. | | | 16 | | | | 12,468 | |
Equity LifeStyle Properties, Inc. | | | 15 | | | | 992 | |
Equity Residential | | | 61 | | | | 4,026 | |
Essex Property Trust, Inc. | | | 10 | | | | 2,266 | |
Extra Space Storage, Inc. | | | 21 | | | | 3,131 | |
Gaming and Leisure Properties, Inc. | | | 40 | | | | 1,940 | |
Healthcare Realty Trust, Inc., Class A | | | 37 | | | | 694 | |
Healthpeak Properties, Inc. | | | 87 | | | | 1,750 | |
Host Hotels & Resorts, Inc. | | | 124 | | | | 2,088 | |
Invitation Homes, Inc. | | | 99 | | | | 3,419 | |
Iron Mountain, Inc. | | | 46 | | | | 2,635 | |
Kimco Realty Corp. | | | 93 | | | | 1,837 | |
Mid-America Apartment Communities, Inc. | | | 18 | | | | 2,698 | |
Prologis, Inc. | | | 159 | | | | 19,500 | |
Public Storage | | | 26 | | | | 7,728 | |
Realty Income Corp. | | | 108 | | | | 6,455 | |
Regency Centers Corp. | | | 25 | | | | 1,519 | |
SBA Communications Corp., Class A | | | 16 | | | | 3,815 | |
Simon Property Group, Inc. | | | 52 | | | | 6,042 | |
Sun Communities, Inc. | | | 16 | | | | 2,102 | |
UDR, Inc. | | | 36 | | | | 1,552 | |
Ventas, Inc. | | | 65 | | | | 3,089 | |
VICI Properties, Inc., Class A | | | 159 | | | | 4,996 | |
Welltower, Inc. | | | 82 | | | | 6,672 | |
Weyerhaeuser Co. | | | 133 | | | | 4,448 | |
WP Carey, Inc. | | | 33 | | | | 2,223 | |
| | | | | | | | |
| | |
| | | | | | | 300,383 | |
| | | | | | | | |
Total Financial | | | | | | | 3,520,919 | |
| | | | | | | | |
Industrial — 7.2% | | | | | | | | |
Aerospace/Defense — 0.5% | | | | | | | | |
Boeing Co. (The) (a) | | | 97 | | | | 20,451 | |
General Dynamics Corp. | | | 43 | | | | 9,274 | |
HEICO Corp. | | | 4 | | | | 670 | |
HEICO Corp., Class A | | | 12 | | | | 1,732 | |
Howmet Aerospace, Inc. | | | 64 | | | | 3,178 | |
L3Harris Technologies, Inc. | | | 31 | | | | 6,075 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 49 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
Common Stocks — continued | | | | | | | | |
Aerospace/Defense — continued | | | | | | | | |
Lockheed Martin Corp. | | | 39 | | | | 18,176 | |
Northrop Grumman Corp. | | | 25 | | | | 11,342 | |
Raytheon Technologies Corp. | | | 256 | | | | 25,102 | |
TransDigm Group, Inc. | | | 9 | | | | 7,812 | |
| | | | | | | | |
| | |
| | | | | | | 103,812 | |
| | | | | | | | |
Building Materials — 0.2% | | | | | | | | |
Builders FirstSource, Inc. (a) | | | 24 | | | | 3,321 | |
Carrier Global Corp. | | | 143 | | | | 7,105 | |
Fortune Brands Innovations, Inc. | | | 23 | | | | 1,643 | |
Johnson Controls International plc | | | 122 | | | | 8,288 | |
Lennox International, Inc. | | | 4 | | | | 1,357 | |
Martin Marietta Materials, Inc. | | | 12 | | | | 5,424 | |
Masco Corp. | | | 36 | | | | 2,057 | |
Mohawk Industries, Inc. (a) | | | 9 | | | | 900 | |
Owens Corning | | | 17 | | | | 2,215 | |
Trane Technologies plc, (Ireland) | | | 39 | | | | 7,478 | |
Vulcan Materials Co. | | | 25 | | | | 5,640 | |
| | | | | | | | |
| | |
| | | | | | | 45,428 | |
| | | | | | | | |
Electrical Components & Equipment — 0.1% | | | | | |
AMETEK, Inc. | | | 53 | | | | 8,615 | |
Emerson Electric Co. | | | 106 | | | | 9,612 | |
Generac Holdings, Inc. (a) | | | 10 | | | | 1,534 | |
| | | | | | | | |
| | |
| | | | | | | 19,761 | |
| | | | | | | | |
Electronics — 1.0% | | | | | | | | |
Agilent Technologies, Inc. | | | 287 | | | | 34,570 | |
Allegion plc, (Ireland) | | | 9 | | | | 1,110 | |
Amphenol Corp., Class A | | | 316 | | | | 26,851 | |
Arrow Electronics, Inc. (a) | | | 35 | | | | 4,967 | |
Fortive Corp. | | | 61 | | | | 4,575 | |
Garmin Ltd., (Switzerland) | | | 24 | | | | 2,493 | |
Honeywell International, Inc. | | | 117 | | | | 24,299 | |
Hubbell, Inc., Class B | | | 11 | | | | 3,485 | |
Keysight Technologies, Inc. (a) | | | 95 | | | | 15,969 | |
Mettler-Toledo International, Inc. (a) | | | 21 | | | | 27,029 | |
Sensata Technologies Holding plc | | | 19 | | | | 847 | |
TE Connectivity Ltd. | | | 172 | | | | 24,144 | |
Trimble, Inc. (a) | | | 122 | | | | 6,474 | |
| | | | | | | | |
| | |
| | | | | | | 176,813 | |
| | | | | | | | |
Engineering & Construction — 0.0% (g) | | | | | | | | |
AECOM | | | 25 | | | | 2,103 | |
Jacobs Solutions, Inc. | | | 24 | | | | 2,797 | |
| | | | | | | | |
| | |
| | | | | | | 4,900 | |
| | | | | | | | |
Environmental Control — 0.2% | | | | | | | | |
Pentair plc, (United Kingdom) | | | 24 | | | | 1,532 | |
Republic Services, Inc., Class A | | | 48 | | | | 7,406 | |
Waste Connections, Inc., (Canada) | | | 55 | | | | 7,907 | |
Waste Management, Inc. | | | 81 | | | | 14,090 | |
| | | | | | | | |
| | |
| | | | | | | 30,935 | |
| | | | | | | | |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
| | | | | | | | |
Hand/Machine Tools — 0.0% (g) | | | | | | | | |
Snap-on, Inc. | | | 10 | | | | 2,819 | |
Stanley Black & Decker, Inc. | | | 26 | | | | 2,414 | |
| | | | | | | | |
| | |
| | | | | | | 5,233 | |
| | | | | | | | |
Machinery — Construction & Mining — 0.1% | | | | | |
Caterpillar, Inc. | | | 89 | | | | 21,789 | |
| | | | | | | | |
Machinery — Diversified — 0.3% | | | | | | | | |
Cognex Corp. | | | 89 | | | | 4,971 | |
Deere & Co. | | | 48 | | | | 19,516 | |
Dover Corp. | | | 23 | | | | 3,385 | |
Graco, Inc. | | | 21 | | | | 1,802 | |
IDEX Corp. | | | 10 | | | | 2,127 | |
Ingersoll Rand, Inc. | | | 67 | | | | 4,356 | |
Nordson Corp. | | | 5 | | | | 1,340 | |
Otis Worldwide Corp. | | | 60 | | | | 5,322 | |
Rockwell Automation, Inc. | | | 22 | | | | 7,147 | |
Toro Co. (The) | | | 18 | | | | 1,801 | |
Westinghouse Air Brake Technologies Corp. | | | 31 | | | | 3,372 | |
Xylem, Inc. | | | 40 | | | | 4,513 | |
| | | | | | | | |
| | |
| | | | | | | 59,652 | |
| | | | | | | | |
Miscellaneous Manufacturers — 0.4% | | | | | | | | |
3M Co. | | | 100 | | | | 9,981 | |
AO Smith Corp. | | | 18 | | | | 1,302 | |
Axon Enterprise, Inc. (a) | | | 11 | | | | 2,094 | |
Carlisle Cos., Inc. | | | 8 | | | | 2,136 | |
Eaton Corp. plc | | | 77 | | | | 15,536 | |
General Electric Co. | | | 190 | | | | 20,870 | |
Illinois Tool Works, Inc. | | | 50 | | | | 12,446 | |
Parker-Hannifin Corp. | | | 21 | | | | 8,335 | |
Teledyne Technologies, Inc. (a) | | | 24 | | | | 9,751 | |
Textron, Inc. | | | 33 | | | | 2,211 | |
| | | | | | | | |
| | |
| | | | | | | 84,662 | |
| | | | | | | | |
Packaging & Containers — 0.1% | | | | | | | | |
Amcor plc, (United Kingdom) | | | 322 | | | | 3,214 | |
Ball Corp. | | | 55 | | | | 3,223 | |
Crown Holdings, Inc. | | | 21 | | | | 1,806 | |
Packaging Corp. of America | | | 20 | | | | 2,690 | |
Sealed Air Corp. | | | 22 | | | | 890 | |
Westrock Co. | | | 59 | | | | 1,721 | |
| | | | | | | | |
| | |
| | | | | | | 13,544 | |
| | | | | | | | |
Shipbuilding — 0.0% (g) | | | | | | | | |
Huntington Ingalls Industries, Inc. | | | 6 | | | | 1,333 | |
| | | | | | | | |
Transportation — 4.3% | | | | | | | | |
CH Robinson Worldwide, Inc. | | | 438 | | | | 41,358 | |
CSX Corp. | | | 383 | | | | 13,053 | |
Expeditors International of Washington, Inc. | | | 574 | | | | 69,512 | |
FedEx Corp. | | | 864 | | | | 214,268 | |
JB Hunt Transport Services, Inc. | | | 17 | | | | 3,020 | |
Knight-Swift Transportation Holdings, Inc., Class A | | | 38 | | | | 2,115 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 50 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
Common Stocks — continued | | | | | | | | |
Transportation — continued | | | | | | | | |
Norfolk Southern Corp. | | | 43 | | | | 9,764 | |
Old Dominion Freight Line, Inc. | | | 17 | | | | 6,188 | |
Union Pacific Corp. | | | 109 | | | | 22,224 | |
United Parcel Service, Inc., Class B | | | 2,706 | | | | 485,096 | |
| | | | | | | | |
| | |
| | | | | | | 866,598 | |
| | | | | | | | |
Total Industrial | | | | | | | 1,434,460 | |
| | | | | | | | |
Technology — 27.0% | | | | | | | | |
Computers — 9.2% | | | | | | | | |
Accenture plc, (Ireland), Class A | | | 110 | | | | 33,913 | |
Apple, Inc. | | | 8,593 | | | | 1,666,740 | |
Cognizant Technology Solutions Corp., Class A | | | 98 | | | | 6,403 | |
Crowdstrike Holdings, Inc., Class A (a) | | | 128 | | | | 18,794 | |
Dell Technologies, Inc., Class C | | | 145 | | | | 7,856 | |
EPAM Systems, Inc. (a) | | | 10 | | | | 2,182 | |
Fortinet, Inc. (a) | | | 381 | | | | 28,834 | |
Hewlett Packard Enterprise Co. | | | 718 | | | | 12,056 | |
HP, Inc. | | | 499 | | | | 15,317 | |
International Business Machines Corp. | | | 161 | | | | 21,589 | |
Leidos Holdings, Inc. | | | 23 | | | | 2,077 | |
NetApp, Inc. | | | 118 | | | | 8,989 | |
Seagate Technology Holdings plc | | | 99 | | | | 6,147 | |
Western Digital Corp. (a) | | | 171 | | | | 6,488 | |
Zscaler, Inc. (a) | | | 49 | | | | 7,221 | |
| | | | | | | | |
| | |
| | | | | | | 1,844,606 | |
| | | | | | | | |
Office/Business Equipment — 0.0% (g) | | | | | | | | |
Zebra Technologies Corp., Class A (a) | | | 26 | | | | 7,746 | |
| | | | | | | | |
Semiconductors — 5.8% | | | | | | | | |
Advanced Micro Devices, Inc. (a) | | | 681 | | | | 77,594 | |
Analog Devices, Inc. | | | 214 | | | | 41,778 | |
Applied Materials, Inc. | | | 358 | | | | 51,684 | |
Broadcom, Inc. | | | 177 | | | | 153,140 | |
Entegris, Inc. | | | 62 | | | | 6,831 | |
Intel Corp. | | | 1,770 | | | | 59,180 | |
KLA Corp. | | | 58 | | | | 27,994 | |
Lam Research Corp. | | | 57 | | | | 36,642 | |
Lattice Semiconductor Corp. (a) | | | 55 | | | | 5,257 | |
Marvell Technology, Inc. | | | 361 | | | | 21,596 | |
Microchip Technology, Inc. | | | 230 | | | | 20,639 | |
Micron Technology, Inc. | | | 467 | | | | 29,449 | |
Monolithic Power Systems, Inc. | | | 18 | | | | 9,949 | |
NVIDIA Corp. | | | 1,045 | | | | 441,890 | |
NXP Semiconductors NV, (Netherlands) | | | 109 | | | | 22,300 | |
ON Semiconductor Corp. (a) | | | 181 | | | | 17,156 | |
Qorvo, Inc. (a) | | | 40 | | | | 4,079 | |
QUALCOMM, Inc. | | | 470 | | | | 55,982 | |
Skyworks Solutions, Inc. | | | 65 | | | | 7,195 | |
Teradyne, Inc. | | | 61 | | | | 6,746 | |
Texas Instruments, Inc. | | | 384 | | | | 69,093 | |
Wolfspeed, Inc. (a) | | | 50 | | | | 2,801 | |
| | | | | | | | |
| | |
| | | | | | | 1,168,975 | |
| | | | | | | | |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
| | | | | | | | |
Software — 12.0% | | | | | | | | |
Activision Blizzard, Inc. (a) | | | 130 | | | | 10,993 | |
Adobe, Inc. (a) | | | 263 | | | | 128,674 | |
Akamai Technologies, Inc. (a) | | | 29 | | | | 2,567 | |
ANSYS, Inc. (a) | | | 50 | | | | 16,465 | |
Aspen Technology, Inc. (a) | | | 16 | | | | 2,735 | |
Atlassian Corp., (Australia), Class A (a) | | | 86 | | | | 14,455 | |
Autodesk, Inc. (a) | | | 123 | | | | 25,159 | |
Bentley Systems, Inc., Class B | | | 120 | | | | 6,531 | |
BILL Holdings, Inc. (a) | | | 54 | | | | 6,270 | |
Black Knight, Inc. (a) | | | 89 | | | | 5,318 | |
Broadridge Financial Solutions, Inc. | | | 26 | | | | 4,306 | |
Cadence Design Systems, Inc. (a) | | | 157 | | | | 36,842 | |
Ceridian HCM Holding, Inc. (a) | | | 23 | | | | 1,556 | |
Cloudflare, Inc., Class A (a) | | | 45 | | | | 2,950 | |
Datadog, Inc., Class A (a) | | | 143 | | | | 14,062 | |
DocuSign, Inc., Class A (a) | | | 115 | | | | 5,874 | |
Dropbox, Inc., Class A (a) | | | 136 | | | | 3,628 | |
Dynatrace, Inc. (a) | | | 124 | | | | 6,377 | |
Electronic Arts, Inc. | | | 48 | | | | 6,259 | |
Fair Isaac Corp. (a) | | | 14 | | | | 11,540 | |
Fidelity National Information Services, Inc. | | | 388 | | | | 21,226 | |
Fiserv, Inc. (a) | | | 442 | | | | 55,781 | |
HubSpot, Inc. (a) | | | 27 | | | | 14,428 | |
Intuit, Inc. | | | 162 | | | | 74,155 | |
Jack Henry & Associates, Inc. | | | 46 | | | | 7,763 | |
Microsoft Corp. | | | 4,058 | | | | 1,381,803 | |
MongoDB, Inc., Class A (a) | | | 12 | | | | 4,824 | |
MSCI, Inc., Class A | | | 54 | | | | 25,333 | |
Oracle Corp. | | | 930 | | | | 110,716 | |
Palantir Technologies, Inc., Class A (a) | | | 1,029 | | | | 15,778 | |
Paychex, Inc. | | | 60 | | | | 6,690 | |
Paycom Software, Inc. | | | 8 | | | | 2,697 | |
PTC, Inc. (a) | | | 64 | | | | 9,098 | |
ROBLOX Corp., Class A (a) | | | 70 | | | | 2,841 | |
Roper Technologies, Inc. | | | 62 | | | | 29,604 | |
Salesforce, Inc. (a) | | | 575 | | | | 121,494 | |
ServiceNow, Inc. (a) | | | 117 | | | | 65,826 | |
Snowflake, Inc., Class A (a) | | | 44 | | | | 7,809 | |
Splunk, Inc. (a) | | | 89 | | | | 9,446 | |
SS&C Technologies Holdings, Inc. | | | 45 | | | | 2,700 | |
Synopsys, Inc. (a) | | | 88 | | | | 38,273 | |
Take-Two Interactive Software, Inc. (a) | | | 29 | | | | 4,329 | |
Twilio, Inc., Class A (a) | | | 29 | | | | 1,834 | |
Tyler Technologies, Inc. (a) | | | 24 | | | | 10,042 | |
UiPath, Inc., Class A (a) | | | 197 | | | | 3,269 | |
Unity Software, Inc. (a) | | | 128 | | | | 5,551 | |
Veeva Systems, Inc., Class A (a) | | | 23 | | | | 4,601 | |
VMware, Inc., Class A (a) | | | 136 | | | | 19,497 | |
Workday, Inc., Class A (a) | | | 118 | | | | 26,684 | |
Zoom Video Communications, Inc., Class A (a) | | | 132 | | | | 8,937 | |
ZoomInfo Technologies, Inc., Class A (a) | | | 191 | | | | 4,854 | |
| | | | | | | | |
| | |
| | | | | | | 2,410,444 | |
| | | | | | | | |
Total Technology | | | | | | | 5,431,771 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 51 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
Common Stocks — continued | | | | | | | | |
Utilities — 0.8% | | | | | | | | |
Electric — 0.8% | | | | | | | | |
AES Corp. (The) | | | 91 | | | | 1,879 | |
Alliant Energy Corp. | | | 23 | | | | 1,210 | |
Ameren Corp. | | | 40 | | | | 3,247 | |
American Electric Power Co., Inc. | | | 97 | | | | 8,160 | |
CenterPoint Energy, Inc. | | | 97 | | | | 2,838 | |
CMS Energy Corp. | | | 32 | | | | 1,860 | |
Consolidated Edison, Inc. | | | 74 | | | | 6,655 | |
Constellation Energy Corp. | | | 56 | | | | 5,152 | |
Dominion Energy, Inc. | | | 139 | | | | 7,180 | |
DTE Energy Co. | | | 32 | | | | 3,555 | |
Duke Energy Corp. | | | 150 | | | | 13,484 | |
Edison International | | | 61 | | | | 4,267 | |
Entergy Corp. | | | 37 | | | | 3,631 | |
Evergy, Inc. | | | 38 | | | | 2,199 | |
Eversource Energy | | | 55 | | | | 3,904 | |
Exelon Corp. | | | 183 | | | | 7,446 | |
FirstEnergy Corp. | | | 84 | | | | 3,277 | |
NextEra Energy, Inc. | | | 346 | | | | 25,687 | |
NRG Energy, Inc. | | | 39 | | | | 1,464 | |
PG&E Corp. (a) | | | 312 | | | | 5,388 | |
PPL Corp. | | | 112 | | | | 2,955 | |
Public Service Enterprise Group, Inc. | | | 84 | | | | 5,283 | |
Sempra Energy | | | 55 | | | | 7,966 | |
Southern Co. (The) | | | 197 | | | | 13,873 | |
Vistra Corp. | | | 48 | | | | 1,258 | |
WEC Energy Group, Inc. | | | 50 | | | | 4,437 | |
Xcel Energy, Inc. | | | 101 | | | | 6,298 | |
| | | | | | | | |
| | |
| | | | | | | 154,553 | |
| | | | | | | | |
Gas — 0.0% (g) | | | | | | | | |
Atmos Energy Corp. | | | 23 | | | | 2,712 | |
NiSource, Inc. | | | 38 | | | | 1,028 | |
UGI Corp. | | | 19 | | | | 526 | |
| | | | | | | | |
| | |
| | | | | | | 4,266 | |
| | | | | | | | |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
| | | | | | | | |
Water — 0.0% (g) | | | | | | | | |
American Water Works Co., Inc. | | | 30 | | | | 4,240 | |
Essential Utilities, Inc. | | | 18 | | | | 710 | |
| | | | | | | | |
| | |
| | | | | | | 4,950 | |
| | | | | | | | |
Total Utilities | | | | | | | 163,769 | |
| | | | | | | | |
Total Common Stocks
(Cost $15,877,530) | | | | | | | 19,773,453 | |
| | | | | | | | |
| | |
| | | PRINCIPAL AMOUNT ($) | | | | |
Short-Term Investments — 2.5% | | | | | | | | |
Time Deposits — 2.5% | | | | | | | | |
Australia & New Zealand Banking Group Ltd., 4.42%, 07/03/2023 | | | 25,363 | | | | 25,363 | |
Barclays SA, 4.42%, 07/03/2023 | | | 300,000 | | | | 300,000 | |
Citibank NA, 4.42%, 07/03/2023 | | | 87,213 | | | | 87,213 | |
Sumitomo Mitsui Banking Corp., 4.42%, 07/03/2023 | | | 14,556 | | | | 14,556 | |
Sumitomo Mitsui Trust Bank Ltd., 4.42%, 07/03/2023 | | | 84,268 | | | | 84,268 | |
| | | | | | | | |
Total Short-Term Investments
(Cost $511,400) | | | | | | | 511,400 | |
| | | | | | | | |
| | |
Total Investments — 101.1%
(Cost — $16,388,930) * | | | | | | | 20,284,853 | |
| |
Liabilities in Excess of Other Assets — (1.1)% | | | | (220,034) | |
| | | | | | | | |
| | |
NET ASSETS — 100.0% | | | | | | | $20,064,819 | |
| | | | | | | | |
| Percentages | indicated are based on net assets. |
| | | | | | | | | | | | | | | | | | | | |
| Futures contracts outstanding as of June 30, 2023: | | | | | | | | | | | | | |
| Exchange Traded | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF CONTRACTS | | | EXPIRATION DATE | | | TRADING CURRENCY | | | NOTIONAL AMOUNT ($) | | | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
E-mini Consumer Staples Select Sector Index | | | 12 | | | | 09/2023 | | | | USD | | | | 904 | | | | — (h) | |
E-mini Financial Select Sector Index | | | 181 | | | | 09/2023 | | | | USD | | | | 18,658 | | | | 316 | |
E-mini Health Care Select Sector Index | | | 78 | | | | 09/2023 | | | | USD | | | | 10,352 | | | | 210 | |
E-mini Russell 2000 Index | | | 1 | | | | 09/2023 | | | | USD | | | | 95 | | | | — (h) | |
E-mini Utilities Select Sector Index | | | 67 | | | | 09/2023 | | | | USD | | | | 4,534 | | | | (70 | ) |
Micro E-mini NASDAQ 100 Index | | | 379 | | | | 09/2023 | | | | USD | | | | 11,170 | | | | 455 | |
Micro E-mini Russell 2000 Index | | | 15 | | | | 09/2023 | | | | USD | | | | 143 | | | | (—)(h) | |
Micro E-mini S&P 500 Index | | | 23 | | | | 09/2023 | | | | USD | | | | 500 | | | | 16 | |
NASDAQ 100 E-mini Index | | | 53 | | | | 09/2023 | | | | USD | | | | 15,595 | | | | 662 | |
S&P 500 E-mini Index | | | 805 | | | | 09/2023 | | | | USD | | | | 176,992 | | | | 3,660 | |
| | | | | | | | | | | | | | | | | | | | |
Total unrealized appreciation (depreciation) | | | | | | | | | | | | | | | | | | | 5,249 | |
| | | | | | | | | | | | | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 52 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023
| | |
| REIT | | — Real Estate Investment Trust |
| (a) | | — Non-income producing security. |
| (g) | | — Amount rounds to less than 0.05%. |
| (h) | | — Amount rounds to less than 500 shares or principal/ $500. |
| * | | — The cost of securities is substantially the same for federal income tax purposes. |
| USD | | — United States Dollar |
Summary of Investments by Industry, June 30, 2023
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
| | | | |
| INDUSTRY | | PERCENTAGE | |
| |
Internet | | | 15.2 | % |
| |
Software | | | 11.9 | % |
| |
Computers | | | 9.1 | % |
| |
Pharmaceuticals | | | 8.8 | % |
| |
Healthcare — Services | | | 6.0 | % |
| |
Banks | | | 5.8 | % |
| |
Semiconductors | | | 5.8 | % |
| |
Diversified Financial Services | | | 5.0 | % |
| |
Insurance | | | 4.6 | % |
| |
Transportation | | | 4.3 | % |
| |
Healthcare — Products | | | 3.0 | % |
| |
Retail | | | 1.6 | % |
| |
Commercial Services | | | 1.5 | % |
| |
REITS | | | 1.5 | % |
| |
Beverages | | | 1.3 | % |
| |
Telecommunications | | | 1.2 | % |
| |
Oil & Gas | | | 1.1 | % |
| |
Oil & Gas Services | | | 1.1 | % |
| |
Others (Each less than 1.0%) | | | 8.7 | % |
| |
Short-Term Investments | | | 2.5 | % |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 53 |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
Common Stocks — 98.0% | | | | | | | | |
Austria — 0.3% | | | | | | | | |
Erste Group Bank AG | | | 385 | | | | 13,511 | |
OMV AG | | | 342 | | | | 14,514 | |
Verbund AG | | | 58 | | | | 4,690 | |
voestalpine AG | | | 45 | | | | 1,605 | |
| | | | | | | | |
| | |
| | | | | | | 34,320 | |
| | | | | | | | |
Belgium — 1.6% | | | | | | | | |
Ageas SA | | | 181 | | | | 7,345 | |
Anheuser-Busch InBev SA | | | 2,641 | | | | 149,666 | |
D’ieteren Group | | | 8 | | | | 1,476 | |
Elia Group SA | | | 26 | | | | 3,287 | |
Groupe Bruxelles Lambert NV | | | 111 | | | | 8,784 | |
KBC Group NV | | | 281 | | | | 19,619 | |
Sofina SA | | | 17 | | | | 3,591 | |
Solvay SA | | | 29 | | | | 3,193 | |
UCB SA | | | 114 | | | | 10,087 | |
Umicore SA | | | 80 | | | | 2,250 | |
Warehouses De Pauw CVA | | | 66 | | | | 1,810 | |
| | | | | | | | |
| | |
| | | | | | | 211,108 | |
| | | | | | | | |
Chile — 0.0% (g) | | | | | | | | |
Antofagasta plc | | | 204 | | | | 3,785 | |
| | | | | | | | |
China — 0.0% (g) | | | | | | | | |
Silergy Corp. | | | 145 | | | | 1,806 | |
| | | | | | | | |
Denmark — 3.4% | | | | | | | | |
AP Moller — Maersk A/S, Class A | | | 3 | | | | 4,692 | |
AP Moller — Maersk A/S, Class B | | | 5 | | | | 8,230 | |
Carlsberg A/S, Class B | | | 299 | | | | 47,956 | |
Chr Hansen Holding A/S | | | 41 | | | | 2,852 | |
Coloplast A/S, Class B | | | 46 | | | | 5,797 | |
Danske Bank A/S (a) | | | 774 | | | | 18,845 | |
Demant A/S (a) | | | 35 | | | | 1,497 | |
DSV A/S | | | 168 | | | | 35,357 | |
Genmab A/S (a) | | | 26 | | | | 9,701 | |
Novo Nordisk A/S, Class B | | | 1,491 | | | | 240,874 | |
Novozymes A/S, Class B | | | 80 | | | | 3,711 | |
Orsted AS (e) | | | 160 | | | | 15,202 | |
Pandora A/S | | | 158 | | | | 14,079 | |
ROCKWOOL A/S, Class B | | | 8 | | | | 2,120 | |
Tryg A/S | | | 403 | | | | 8,730 | |
Vestas Wind Systems A/S (a) | | | 913 | | | | 24,287 | |
| | | | | | | | |
| | |
| | | | | | | 443,930 | |
| | | | | | | | |
Finland — 1.0% | | | | | | | | |
Elisa OYJ | | | 56 | | | | 2,989 | |
Fortum OYJ | | | 382 | | | | 5,118 | |
Kesko OYJ, Class B | | | 108 | | | | 2,025 | |
Kone OYJ, Class B | | | 308 | | | | 16,080 | |
Metso OYJ | | | 594 | | | | 7,170 | |
Neste OYJ | | | 166 | | | | 6,384 | |
Nokia OYJ | | | 2,075 | | | | 8,693 | |
Nordea Bank Abp | | | 3,652 | | | | 39,781 | |
Orion OYJ, Class B | | | 96 | | | | 4,001 | |
Sampo OYJ, Class A | | | 517 | | | | 23,200 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
| | | | | | | | |
Finland — continued | | | | | | | | |
Stora Enso OYJ, Class R | | | 223 | | | | 2,590 | |
UPM-Kymmene OYJ | | | 207 | | | | 6,154 | |
Wartsila OYJ Abp | | | 427 | | | | 4,813 | |
| | | | | | | | |
| | |
| | | | | | | 128,998 | |
| | | | | | | | |
France — 15.7% | | | | | | | | |
Accor SA | | | 70 | | | | 2,615 | |
Aeroports de Paris | | | 27 | | | | 3,862 | |
Air Liquide SA | | | 203 | | | | 36,448 | |
Airbus SE | | | 537 | | | | 77,618 | |
Alstom SA | | | 292 | | | | 8,724 | |
Amundi SA (e) | | | 69 | | | | 4,088 | |
Arkema SA | | | 22 | | | | 2,093 | |
AXA SA | | | 2,060 | | | | 60,865 | |
BioMerieux | | | 16 | | | | 1,713 | |
BNP Paribas SA | | | 1,247 | | | | 78,720 | |
Bollore SE | | | 344 | | | | 2,144 | |
Bouygues SA | | | 182 | | | | 6,125 | |
Bureau Veritas SA | | | 267 | | | | 7,317 | |
Capgemini SE | | | 64 | | | | 12,125 | |
Carrefour SA | | | 229 | | | | 4,337 | |
Cie de Saint-Gobain | | | 443 | | | | 26,963 | |
Cie Generale des Etablissements Michelin SCA | | | 265 | | | | 7,829 | |
Covivio SA | | | 20 | | | | 940 | |
Credit Agricole SA | | | 1,360 | | | | 16,145 | |
Danone SA | | | 250 | | | | 15,327 | |
Dassault Aviation SA | | | 23 | | | | 4,545 | |
Dassault Systemes SE | | | 259 | | | | 11,498 | |
Edenred | | | 280 | | | | 18,740 | |
Eiffage SA | | | 65 | | | | 6,809 | |
Engie SA | | | 1,546 | | | | 25,750 | |
EssilorLuxottica SA | | | 113 | | | | 21,308 | |
Eurazeo SE | | | 49 | | | | 3,464 | |
Gecina SA | | | 19 | | | | 2,000 | |
Getlink SE | | | 325 | | | | 5,526 | |
Hermes International | | | 55 | | | | 119,409 | |
Ipsen SA | | | 34 | | | | 4,115 | |
Kering SA | | | 129 | | | | 71,332 | |
Klepierre SA | | | 85 | | | | 2,111 | |
La Francaise des Jeux SAEM (e) | | | 49 | | | | 1,920 | |
Legrand SA | | | 242 | | | | 24,014 | |
L’Oreal SA | | | 94 | | | | 43,631 | |
LVMH Moet Hennessy Louis Vuitton SE | | | 479 | | | | 451,778 | |
Orange SA | | | 725 | | | | 8,469 | |
Pernod Ricard SA | | | 628 | | | | 138,777 | |
Publicis Groupe SA | | | 89 | | | | 7,128 | |
Remy Cointreau SA | | | 70 | | | | 11,184 | |
Renault SA | | | 74 | | | | 3,127 | |
Safran SA | | | 309 | | | | 48,435 | |
Sanofi | | | 1,022 | | | | 110,035 | |
Sartorius Stedim Biotech | | | 11 | | | | 2,705 | |
Schneider Electric SE | | | 491 | | | | 89,246 | |
SEB SA | | | 10 | | | | 1,002 | |
Societe Generale SA | | | 817 | | | | 21,259 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 54 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
Common Stocks — continued | | | | | | | | |
France — continued | | | | | | | | |
Sodexo SA | | | 34 | | | | 3,744 | |
Teleperformance | | | 54 | | | | 8,993 | |
Thales SA | | | 95 | | | | 14,263 | |
TotalEnergies SE | | | 5,479 | | | | 314,508 | |
Unibail-Rodamco-Westfield (a) | | | 46 | | | | 2,407 | |
Valeo | | | 80 | | | | 1,719 | |
Veolia Environnement SA | | | 575 | | | | 18,215 | |
Vinci SA | | | 480 | | | | 55,745 | |
Vivendi SE | | | 277 | | | | 2,541 | |
Wendel SE | | | 30 | | | | 3,087 | |
Worldline SA (a) (e) | | | 268 | | | | 9,816 | |
| | | | | | | | |
| | |
| | | | | | | 2,070,353 | |
| | | | | | | | |
Germany — 12.3% | | | | | | | | |
adidas AG | | | 281 | | | | 54,556 | |
Allianz SE (Registered) | | | 453 | | | | 105,483 | |
BASF SE | | | 347 | | | | 16,879 | |
Bayer AG (Registered) | | | 885 | | | | 48,982 | |
Bayerische Motoren Werke AG | | | 132 | | | | 16,279 | |
Bechtle AG | | | 31 | | | | 1,246 | |
Beiersdorf AG | | | 39 | | | | 5,126 | |
Brenntag SE | | | 140 | | | | 10,912 | |
Carl Zeiss Meditec AG | | | 16 | | | | 1,692 | |
Commerzbank AG | | | 1,194 | | | | 13,236 | |
Continental AG | | | 43 | | | | 3,218 | |
Covestro AG (a) (e) | | | 74 | | | | 3,871 | |
Daimler Truck Holding AG | | | 446 | | | | 16,090 | |
Delivery Hero SE (a) (e) | | | 67 | | | | 2,961 | |
Deutsche Bank AG (Registered) | | | 2,176 | | | | 22,879 | |
Deutsche Boerse AG | | | 213 | | | | 39,368 | |
Deutsche Lufthansa AG (Registered) (a) | | | 535 | | | | 5,481 | |
Deutsche Post AG (Registered) | | | 911 | | | | 44,490 | |
Deutsche Telekom AG (Registered) | | | 1,257 | | | | 27,434 | |
E.ON SE | | | 1,901 | | | | 24,280 | |
Evonik Industries AG | | | 81 | | | | 1,539 | |
Fresenius Medical Care AG & Co. KGaA | | | 80 | | | | 3,818 | |
Fresenius SE & Co. KGaA | | | 164 | | | | 4,551 | |
GEA Group AG | | | 136 | | | | 5,693 | |
Hannover Rueck SE | | | 68 | | | | 14,368 | |
Heidelberg Materials AG | | | 55 | | | | 4,534 | |
HelloFresh SE (a) | | | 63 | | | | 1,566 | |
Henkel AG & Co. KGaA | | | 42 | | | | 2,937 | |
Infineon Technologies AG | | | 3,455 | | | | 142,296 | |
Knorr-Bremse AG | | | 65 | | | | 5,007 | |
LEG Immobilien SE (a) | | | 29 | | | | 1,656 | |
Mercedes-Benz Group AG | | | 332 | | | | 26,759 | |
Merck KGaA | | | 117 | | | | 19,286 | |
MTU Aero Engines AG | | | 48 | | | | 12,551 | |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | | | 157 | | | | 59,045 | |
Nemetschek SE | | | 256 | | | | 19,131 | |
Puma SE | | | 183 | | | | 11,029 | |
Rational AG | | | 5 | | | | 3,383 | |
Rheinmetall AG | | | 39 | | | | 10,797 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
| | | | | | | | |
Germany — continued | | | | | | | | |
RWE AG | | | 534 | | | | 23,288 | |
SAP SE | | | 4,634 | | | | 632,984 | |
Scout24 SE (e) | | | 29 | | | | 1,863 | |
Siemens AG (Registered) | | | 688 | | | | 114,649 | |
Siemens Energy AG (a) | | | 469 | | | | 8,301 | |
Siemens Healthineers AG (e) | | | 109 | | | | 6,185 | |
Symrise AG, Class A | | | 51 | | | | 5,397 | |
Talanx AG | | | 71 | | | | 4,077 | |
Telefonica Deutschland Holding AG | | | 348 | | | | 978 | |
Volkswagen AG | | | 14 | | | | 2,292 | |
Vonovia SE | | | 278 | | | | 5,436 | |
Wacker Chemie AG | | | 7 | | | | 974 | |
Zalando SE (a) (e) | | | 86 | | | | 2,492 | |
| | | | | | | | |
| | |
| | | | | | | 1,623,325 | |
| | | | | | | | |
Hong Kong — 0.4% | | | | | | | | |
Prudential plc | | | 3,449 | | | | 48,707 | |
| | | | | | | | |
Ireland — 0.9% | | | | | | | | |
AerCap Holdings NV (a) | | | 150 | | | | 9,517 | |
AIB Group plc | | | 1,498 | | | | 6,305 | |
Bank of Ireland Group plc | | | 1,201 | | | | 11,469 | |
CRH plc | | | 290 | | | | 15,992 | |
DCC plc | | | 102 | | | | 5,679 | |
Experian plc | | | 952 | | | | 36,547 | |
Flutter Entertainment plc (a) | | | 68 | | | | 13,777 | |
Kerry Group plc, Class A | | | 63 | | | | 6,145 | |
Kingspan Group plc | | | 141 | | | | 9,359 | |
Smurfit Kappa Group plc | | | 104 | | | | 3,485 | |
| | | | | | | | |
| | |
| | | | | | | 118,275 | |
| | | | | | | | |
Italy — 2.8% | | | | | | | | |
Amplifon SpA | | | 48 | | | | 1,778 | |
Assicurazioni Generali SpA | | | 1,134 | | | | 23,061 | |
Davide Campari-Milano NV | | | 1,590 | | | | 22,030 | |
DiaSorin SpA | | | 10 | | | | 1,014 | |
Enel SpA | | | 6,891 | | | | 46,463 | |
Eni SpA | | | 5,381 | | | | 77,472 | |
Ferrari NV | | | 49 | | | | 15,993 | |
FinecoBank Banca Fineco SpA | | | 685 | | | | 9,220 | |
Infrastrutture Wireless Italiane SpA (e) | | | 128 | | | | 1,695 | |
Intesa Sanpaolo SpA | | | 18,097 | | | | 47,445 | |
Mediobanca Banca di Credito Finanziario SpA | | | 622 | | | | 7,444 | |
Moncler SpA | | | 357 | | | | 24,724 | |
Nexi SpA (a) (e) | | | 655 | | | | 5,139 | |
Poste Italiane SpA (e) | | | 586 | | | | 6,343 | |
Prysmian SpA | | | 231 | | | | 9,648 | |
Recordati Industria Chimica e Farmaceutica SpA | | | 95 | | | | 4,517 | |
Snam SpA | | | 1,757 | | | | 9,180 | |
Telecom Italia SpA (a) | | | 4,214 | | | | 1,188 | |
Terna — Rete Elettrica Nazionale | | | 1,219 | | | | 10,393 | |
UniCredit SpA | | | 2,069 | | | | 48,118 | |
| | | | | | | | |
| | |
| | | | | | | 372,865 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 55 |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
Common Stocks — continued | | | | | | | | |
Japan — 3.6% | | | | | | | | |
Advantest Corp. | | | 26 | | | | 3,515 | |
Aeon Co. Ltd. | | | 89 | | | | 1,812 | |
AGC, Inc. | | | 28 | | | | 997 | |
Aisin Corp. | | | 20 | | | | 618 | |
Ajinomoto Co., Inc. | | | 61 | | | | 2,430 | |
ANA Holdings, Inc. (a) | | | 22 | | | | 517 | |
Asahi Group Holdings Ltd. | | | 65 | | | | 2,538 | |
Asahi Intecc Co. Ltd. | | | 30 | | | | 581 | |
Asahi Kasei Corp. | | | 172 | | | | 1,167 | |
Astellas Pharma, Inc. | | | 246 | | | | 3,664 | |
Azbil Corp. | | | 16 | | | | 494 | |
Bandai Namco Holdings, Inc. | | | 82 | | | | 1,901 | |
BayCurrent Consulting, Inc. | | | 18 | | | | 673 | |
Bridgestone Corp. | | | 78 | | | | 3,196 | |
Brother Industries Ltd. | | | 32 | | | | 461 | |
Canon, Inc. | | | 136 | | | | 3,578 | |
Capcom Co. Ltd. | | | 23 | | | | 928 | |
Central Japan Railway Co. | | | 20 | | | | 2,456 | |
Chiba Bank Ltd. (The) | | | 72 | | | | 435 | |
Chubu Electric Power Co., Inc. | | | 89 | | | | 1,081 | |
Chugai Pharmaceutical Co. Ltd. | | | 92 | | | | 2,606 | |
Concordia Financial Group Ltd. | | | 144 | | | | 561 | |
CyberAgent, Inc. | | | 58 | | | | 426 | |
Dai Nippon Printing Co. Ltd. | | | 30 | | | | 844 | |
Daifuku Co. Ltd. | | | 41 | | | | 846 | |
Dai-ichi Life Holdings, Inc. | | | 128 | | | | 2,440 | |
Daiichi Sankyo Co. Ltd. | | | 252 | | | | 7,991 | |
Daikin Industries Ltd. | | | 36 | | | | 7,377 | |
Daito Trust Construction Co. Ltd. | | | 8 | | | | 841 | |
Daiwa House Industry Co. Ltd. | | | 81 | | | | 2,145 | |
Daiwa House REIT Investment Corp., Class A | | | — (h) | | | | 573 | |
Daiwa Securities Group, Inc. | | | 184 | | | | 948 | |
Denso Corp. | | | 59 | | | | 3,980 | |
Dentsu Group, Inc. | | | 27 | | | | 901 | |
Disco Corp. | | | 13 | | | | 1,982 | |
East Japan Railway Co. | | | 41 | | | | 2,268 | |
Eisai Co. Ltd. | | | 35 | | | | 2,345 | |
ENEOS Holdings, Inc. | | | 390 | | | | 1,341 | |
FANUC Corp. | | | 130 | | | | 4,578 | |
Fast Retailing Co. Ltd. | | | 24 | | | | 6,078 | |
Fuji Electric Co. Ltd. | | | 18 | | | | 775 | |
FUJIFILM Holdings Corp. | | | 51 | | | | 3,033 | |
Fujitsu Ltd. | | | 24 | | | | 3,082 | |
GLP J-Reit | | | 1 | | | | 598 | |
GMO Payment Gateway, Inc. | | | 6 | | | | 447 | |
Hakuhodo DY Holdings, Inc. | | | 32 | | | | 335 | |
Hamamatsu Photonics KK | | | 19 | | | | 933 | |
Hankyu Hanshin Holdings, Inc. | | | 31 | | | | 1,028 | |
Hikari Tsushin, Inc. | | | 3 | | | | 402 | |
Hirose Electric Co. Ltd. | | | 4 | | | | 559 | |
Hitachi Construction Machinery Co. Ltd. | | | 15 | | | | 411 | |
Hitachi Ltd. | | | 128 | | | | 7,934 | |
Honda Motor Co. Ltd. | | | 209 | | | | 6,344 | |
Hoshizaki Corp. | | | 15 | | | | 528 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
| | | | | | | | |
Japan — continued | | | | | | | | |
Hoya Corp. | | | 49 | | | | 5,828 | |
Hulic Co. Ltd. | | | 52 | | | | 446 | |
Ibiden Co. Ltd. | | | 15 | | | | 871 | |
Idemitsu Kosan Co. Ltd. | | | 28 | | | | 566 | |
Iida Group Holdings Co. Ltd. | | | 23 | | | | 382 | |
Inpex Corp. | | | 131 | | | | 1,444 | |
Isuzu Motors Ltd. | | | 79 | | | | 958 | |
ITOCHU Corp. | | | 162 | | | | 6,435 | |
Itochu Techno-Solutions Corp. | | | 13 | | | | 329 | |
Japan Airlines Co. Ltd. | | | 20 | | | | 425 | |
Japan Exchange Group, Inc. | | | 69 | | | | 1,209 | |
Japan Metropolitan Fund Invest | | | 1 | | | | 633 | |
Japan Post Bank Co. Ltd. | | | 202 | | | | 1,576 | |
Japan Post Holdings Co. Ltd. | | | 297 | | | | 2,136 | |
Japan Post Insurance Co. Ltd. | | | 27 | | | | 406 | |
Japan Real Estate Investment Corp. | | | — (h) | | | | 677 | |
Japan Tobacco, Inc. | | | 163 | | | | 3,577 | |
JFE Holdings, Inc. | | | 68 | | | | 971 | |
JSR Corp. | | | 24 | | | | 687 | |
Kajima Corp. | | | 57 | | | | 865 | |
Kansai Electric Power Co., Inc. (The) | | | 97 | | | | 1,213 | |
KAO Corp. | | | 64 | | | | 2,308 | |
Kawasaki Kisen Kaisha Ltd. | | | 19 | | | | 459 | |
KDDI Corp. | | | 204 | | | | 6,291 | |
Keio Corp. | | | 14 | | | | 440 | |
Keisei Electric Railway Co. Ltd. | | | 18 | | | | 725 | |
Keyence Corp. | | | 26 | | | | 12,544 | |
Kikkoman Corp. | | | 18 | | | | 1,051 | |
Kintetsu Group Holdings Co. Ltd. | | | 25 | | | | 848 | |
Kirin Holdings Co. Ltd. | | | 105 | | | | 1,536 | |
Kobayashi Pharmaceutical Co. Ltd. | | | 7 | | | | 375 | |
Kobe Bussan Co. Ltd. | | | 20 | | | | 529 | |
Koei Tecmo Holdings Co. Ltd. | | | 16 | | | | 277 | |
Koito Manufacturing Co. Ltd. | | | 28 | | | | 515 | |
Komatsu Ltd. | | | 126 | | | | 3,408 | |
Konami Group Corp. | | | 14 | | | | 713 | |
Kose Corp. | | | 5 | | | | 433 | |
Kubota Corp. | | | 138 | | | | 2,025 | |
Kurita Water Industries Ltd. | | | 14 | | | | 545 | |
Kyocera Corp. | | | 44 | | | | 2,365 | |
Kyowa Kirin Co. Ltd. | | | 37 | | | | 678 | |
Lasertec Corp. | | | 10 | | | | 1,541 | |
Lixil Corp. | | | 39 | | | | 496 | |
M3, Inc. | | | 61 | | | | 1,321 | |
Makita Corp. | | | 30 | | | | 859 | |
Marubeni Corp. | | | 207 | | | | 3,530 | |
MatsukiyoCocokara & Co. | | | 16 | | | | 871 | |
Mazda Motor Corp. | | | 77 | | | | 745 | |
McDonald’s Holdings Co. Japan Ltd. | | | 12 | | | | 455 | |
MEIJI Holdings Co. Ltd. | | | 30 | | | | 668 | |
MINEBEA MITSUMI, Inc. | | | 49 | | | | 935 | |
MISUMI Group, Inc. | | | 39 | | | | 775 | |
Mitsubishi Chemical Group Corp. | | | 173 | | | | 1,043 | |
Mitsubishi Corp. | | | 169 | | | | 8,151 | |
Mitsubishi Electric Corp. | | | 263 | | | | 3,718 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 56 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
Common Stocks — continued | | | | | | | | |
Japan — continued | | | | | | | | |
Mitsubishi Estate Co. Ltd. | | | 154 | | | | 1,827 | |
Mitsubishi HC Capital, Inc. | | | 119 | | | | 707 | |
Mitsubishi Heavy Industries Ltd. | | | 43 | | | | 2,027 | |
Mitsubishi UFJ Financial Group, Inc. | | | 1,553 | | | | 11,448 | |
Mitsui & Co. Ltd. | | | 179 | | | | 6,763 | |
Mitsui Chemicals, Inc. | | | 23 | | | | 684 | |
Mitsui Fudosan Co. Ltd. | | | 122 | | | | 2,432 | |
Mitsui OSK Lines Ltd. | | | 47 | | | | 1,140 | |
Mizuho Financial Group, Inc. | | | 328 | | | | 5,020 | |
MonotaRO Co. Ltd. | | | 34 | | | | 434 | |
MS&AD Insurance Group Holdings, Inc. | | | 59 | | | | 2,075 | |
Murata Manufacturing Co. Ltd. | | | 78 | | | | 4,492 | |
NEC Corp. | | | 34 | | | | 1,635 | |
Nexon Co. Ltd. | | | 53 | | | | 1,016 | |
NGK Insulators Ltd. | | | 32 | | | | 379 | |
NIDEC CORP | | | 57 | | | | 3,135 | |
Nintendo Co. Ltd. | | | 141 | | | | 6,446 | |
Nippon Building Fund, Inc. | | | — (h) | | | | 818 | |
NIPPON EXPRESS HOLDINGS INC | | | 10 | | | | 547 | |
Nippon Paint Holdings Co. Ltd. | | | 129 | | | | 1,063 | |
Nippon Prologis REIT, Inc. | | | — (h) | | | | 617 | |
Nippon Sanso Holdings Corp. | | | 23 | | | | 508 | |
Nippon Shinyaku Co. Ltd. | | | 7 | | | | 290 | |
Nippon Steel Corp. | | | 109 | | | | 2,290 | |
Nippon Telegraph & Telephone Corp. | | | 4,070 | | | | 4,816 | |
Nippon Yusen KK | | | 66 | | | | 1,461 | |
Nissan Chemical Corp. | | | 17 | | | | 746 | |
Nissan Motor Co. Ltd. | | | 314 | | | | 1,290 | |
Nisshin Seifun Group, Inc. | | | 27 | | | | 330 | |
Nissin Foods Holdings Co. Ltd. | | | 8 | | | | 686 | |
Nitori Holdings Co. Ltd. | | | 11 | | | | 1,224 | |
Nitto Denko Corp. | | | 20 | | | | 1,507 | |
Nomura Holdings, Inc. | | | 394 | | | | 1,503 | |
Nomura Real Estate Holdings, Inc. | | | 15 | | | | 354 | |
Nomura Real Estate Master Fund, Inc. | | | 1 | | | | 663 | |
Nomura Research Institute Ltd. | | | 52 | | | | 1,448 | |
NTT Data Corp. | | | 87 | | | | 1,214 | |
Obayashi Corp. | | | 88 | | | | 760 | |
Obic Co. Ltd. | | | 10 | | | | 1,525 | |
Odakyu Electric Railway Co. Ltd. | | | 40 | | | | 535 | |
Oji Holdings Corp. | | | 117 | | | | 436 | |
Olympus Corp. | | | 163 | | | | 2,578 | |
Omron Corp. | | | 24 | | | | 1,455 | |
Ono Pharmaceutical Co. Ltd. | | | 53 | | | | 951 | |
Open House Group Co. Ltd. | | | 11 | | | | 383 | |
Oracle Corp. Japan | | | 5 | | | | 387 | |
Oriental Land Co. Ltd. | | | 148 | | | | 5,782 | |
ORIX Corp. | | | 160 | | | | 2,918 | |
Osaka Gas Co. Ltd. | | | 51 | | | | 780 | |
Otsuka Corp. | | | 16 | | | | 604 | |
Otsuka Holdings Co. Ltd. | | | 53 | | | | 1,944 | |
Pan Pacific International Holdings Corp. | | | 52 | | | | 926 | |
Panasonic Holdings Corp. | | | 301 | | | | 3,686 | |
Persol Holdings Co. Ltd. | | | 24 | | | | 434 | |
Rakuten Group, Inc. | | | 202 | | | | 705 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
| | | | | | | | |
Japan — continued | | | | | | | | |
Recruit Holdings Co. Ltd. | | | 196 | | | | 6,265 | |
Renesas Electronics Corp. (a) | | | 173 | | | | 3,272 | |
Resona Holdings, Inc. | | | 290 | | | | 1,388 | |
Ricoh Co. Ltd. | | | 74 | | | | 633 | |
Rohm Co. Ltd. | | | 12 | | | | 1,127 | |
SBI Holdings, Inc. | | | 33 | | | | 642 | |
SCSK Corp. | | | 21 | | | | 334 | |
Secom Co. Ltd. | | | 29 | | | | 1,929 | |
Seiko Epson Corp. | | | 40 | | | | 631 | |
Sekisui Chemical Co. Ltd. | | | 50 | | | | 717 | |
Sekisui House Ltd. | | | 83 | | | | 1,685 | |
Seven & i Holdings Co. Ltd. | | | 102 | | | | 4,424 | |
SG Holdings Co. Ltd. | | | 43 | | | | 618 | |
Sharp Corp. | | | 27 | | | | 152 | |
Shimadzu Corp. | | | 33 | | | | 1,011 | |
Shimano, Inc. | | | 11 | | | | 1,758 | |
Shimizu Corp. | | | 75 | | | | 474 | |
Shin-Etsu Chemical Co. Ltd. | | | 248 | | | | 8,278 | |
Shionogi & Co. Ltd. | | | 36 | | | | 1,497 | |
Shiseido Co. Ltd. | | | 54 | | | | 2,457 | |
Shizuoka Financial Group, Inc. | | | 61 | | | | 437 | |
SMC Corp. | | | 8 | | | | 4,335 | |
SoftBank Corp. | | | 391 | | | | 4,178 | |
SoftBank Group Corp. | | | 140 | | | | 6,598 | |
Sompo Holdings, Inc. | | | 43 | | | | 1,925 | |
Sony Group Corp. | | | 172 | | | | 15,481 | |
Square Enix Holdings Co. Ltd. | | | 12 | | | | 540 | |
Subaru Corp. | | | 84 | | | | 1,586 | |
SUMCO Corp. | | | 48 | | | | 674 | |
Sumitomo Chemical Co. Ltd. | | | 191 | | | | 580 | |
Sumitomo Corp. | | | 153 | | | | 3,254 | |
Sumitomo Electric Industries Ltd. | | | 98 | | | | 1,203 | |
Sumitomo Metal Mining Co. Ltd. | | | 34 | | | | 1,101 | |
Sumitomo Mitsui Financial Group, Inc. | | | 178 | | | | 7,629 | |
Sumitomo Mitsui Trust Holdings, Inc. | | | 45 | | | | 1,593 | |
Sumitomo Realty & Development Co. Ltd. | | | 39 | | | | 959 | |
Suntory Beverage & Food Ltd. | | | 19 | | | | 685 | |
Suzuki Motor Corp. | | | 51 | | | | 1,831 | |
Sysmex Corp. | | | 23 | | | | 1,562 | |
T&D Holdings, Inc. | | | 68 | | | | 996 | |
Taisei Corp. | | | 23 | | | | 807 | |
Takeda Pharmaceutical Co. Ltd. | | | 215 | | | | 6,765 | |
TDK Corp. | | | 53 | | | | 2,079 | |
Terumo Corp. | | | 92 | | | | 2,921 | |
TIS, Inc. | | | 30 | | | | 749 | |
Tobu Railway Co. Ltd. | | | 26 | | | | 702 | |
Toho Co. Ltd. | | | 15 | | | | 579 | |
Tokio Marine Holdings, Inc. | | | 245 | | | | 5,646 | |
Tokyo Electric Power Co. Holdings, Inc. (a) | | | 207 | | | | 758 | |
Tokyo Electron Ltd. | | | 61 | | | | 8,771 | |
Tokyo Gas Co. Ltd. | | | 53 | | | | 1,159 | |
Tokyu Corp. | | | 73 | | | | 885 | |
Toppan, Inc. | | | 33 | | | | 717 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 57 |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
Common Stocks — continued | | | | | | | | |
Japan — continued | | | | | | | | |
Toray Industries, Inc. | | | 188 | | | | 1,048 | |
Toshiba Corp. | | | 56 | | | | 1,748 | |
Tosoh Corp. | | | 35 | | | | 418 | |
TOTO Ltd. | | | 18 | | | | 544 | |
Toyota Industries Corp. | | | 20 | | | | 1,447 | |
Toyota Motor Corp. | | | 1,442 | | | | 23,182 | |
Toyota Tsusho Corp. | | | 29 | | | | 1,439 | |
Trend Micro, Inc. | | | 18 | | | | 881 | |
Unicharm Corp. | | | 55 | | | | 2,034 | |
USS Co. Ltd. | | | 28 | | | | 462 | |
Welcia Holdings Co. Ltd. | | | 13 | | | | 267 | |
West Japan Railway Co. | | | 30 | | | | 1,256 | |
Yakult Honsha Co. Ltd. | | | 17 | | | | 1,100 | |
Yamaha Corp. | | | 19 | | | | 736 | |
Yamaha Motor Co. Ltd. | | | 41 | | | | 1,176 | |
Yamato Holdings Co. Ltd. | | | 39 | | | | 701 | |
Yaskawa Electric Corp. | | | 33 | | | | 1,521 | |
Yokogawa Electric Corp. | | | 31 | | | | 574 | |
Z Holdings Corp. | | | 362 | | | | 872 | |
ZOZO, Inc. | | | 17 | | | | 351 | |
| | | | | | | | |
| | |
| | | | | | | 477,887 | |
| | | | | | | | |
Jordan — 0.0% (g) | | | | | | | | |
Hikma Pharmaceuticals plc | | | 172 | | | | 4,142 | |
| | | | | | | | |
Luxembourg — 0.1% | | | | | | | | |
ArcelorMittal SA | | | 185 | | | | 5,049 | |
Eurofins Scientific SE | | | 53 | | | | 3,356 | |
Tenaris SA | | | 190 | | | | 2,846 | |
| | | | | | | | |
| | |
| | | | | | | 11,251 | |
| | | | | | | | |
Netherlands — 9.4% | | | | | | | | |
ABN AMRO Bank NV, CVA (e) | | | 453 | | | | 7,048 | |
Adyen NV (a) (e) | | | 24 | | | | 42,180 | |
Aegon NV | | | 1,895 | | | | 9,617 | |
Akzo Nobel NV | | | 66 | | | | 5,417 | |
Argenx SE (a) | | | 21 | | | | 8,375 | |
ASM International NV | | | 124 | | | | 52,668 | |
ASML Holding NV | | | 1,067 | | | | 773,741 | |
Euronext NV (e) | | | 96 | | | | 6,507 | |
EXOR NV | | | 121 | | | | 10,815 | |
Ferrovial SE | | | 513 | | | | 16,220 | |
Heineken Holding NV | | | 351 | | | | 30,538 | |
Heineken NV | | | 788 | | | | 81,045 | |
IMCD NV | | | 52 | | | | 7,446 | |
ING Groep NV | | | 4,063 | | | | 54,780 | |
JDE Peet’s NV | | | 49 | | | | 1,455 | |
Just Eat Takeaway.com NV (a) (e) | | | 80 | | | | 1,227 | |
Koninklijke Ahold Delhaize NV | | | 379 | | | | 12,936 | |
Koninklijke KPN NV | | | 1,263 | | | | 4,508 | |
Koninklijke Philips NV | | | 362 | | | | 7,837 | |
NN Group NV | | | 283 | | | | 10,469 | |
OCI NV | | | 41 | | | | 989 | |
Prosus NV (a) | | | 311 | | | | 22,770 | |
QIAGEN NV (a) | | | 88 | | | | 3,973 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
| | | | | | | | |
Netherlands — continued | | | | | | | | |
Randstad NV | | | 100 | | | | 5,282 | |
Stellantis NV | | | 871 | | | | 15,317 | |
Universal Music Group NV | | | 318 | | | | 7,056 | |
Wolters Kluwer NV | | | 233 | | | | 29,587 | |
| | | | | | | | |
| | |
| | | | | | | 1,229,803 | |
| | | | | | | | |
Norway — 0.8% | | | | | | | | |
Adevinta ASA, Class B (a) | | | 112 | | | | 735 | |
Aker BP ASA | | | 125 | | | | 2,927 | |
DNB Bank ASA | | | 1,044 | | | | 19,516 | |
Equinor ASA | | | 2,207 | | | | 64,264 | |
Gjensidige Forsikring ASA | | | 223 | | | | 3,568 | |
Kongsberg Gruppen ASA | | | 80 | | | | 3,644 | |
Mowi ASA | | | 171 | | | | 2,714 | |
Norsk Hydro ASA | | | 528 | | | | 3,146 | |
Orkla ASA | | | 293 | | | | 2,108 | |
Salmar ASA | | | 28 | | | | 1,133 | |
Telenor ASA | | | 272 | | | | 2,761 | |
Yara International ASA | | | 64 | | | | 2,251 | |
| | | | | | | | |
| | |
| | | | | | | 108,767 | |
| | | | | | | | |
Portugal — 0.2% | | | | | | | | |
EDP — Energias de Portugal SA | | | 2,487 | | | | 12,158 | |
Galp Energia SGPS SA | | | 1,144 | | | | 13,368 | |
Jeronimo Martins SGPS SA | | | 109 | | | | 3,010 | |
| | | | | | | | |
| | |
| | | | | | | 28,536 | |
| | | | | | | | |
South Korea — 1.1% | | | | | | | | |
CosmoAM&T Co. Ltd. (a) | | | 13 | | | | 1,848 | |
Samsung Electronics Co. Ltd. | | | 2,671 | | | | 147,062 | |
| | | | | | | | |
| | |
| | | | | | | 148,910 | |
| | | | | | | | |
Spain — 2.6% | | | | | | | | |
Acciona SA | | | 21 | | | | 3,587 | |
ACS Actividades de Construccion y Servicios SA | | | 188 | | | | 6,628 | |
Aena SME SA (e) | | | 68 | | | | 11,059 | |
Amadeus IT Group SA (a) | | | 175 | | | | 13,340 | |
Banco Bilbao Vizcaya Argentaria SA | | | 6,780 | | | | 52,087 | |
Banco Santander SA | | | 18,488 | | | | 68,445 | |
CaixaBank SA | | | 4,643 | | | | 19,231 | |
Cellnex Telecom SA (e) | | | 220 | | | | 8,881 | |
Corp. ACCIONA Energias Renovables SA | | | 60 | | | | 2,015 | |
EDP Renovaveis SA | | | 220 | | | | 4,395 | |
Enagas SA | | | 100 | | | | 1,960 | |
Endesa SA | | | 275 | | | | 5,914 | |
Grifols SA (a) | | | 117 | | | | 1,495 | |
Iberdrola SA | | | 4,956 | | | | 64,716 | |
Industria de Diseno Textil SA | | | 424 | | | | 16,462 | |
Naturgy Energy Group SA | | | 116 | | | | 3,449 | |
Redeia Corp. SA | | | 224 | | | | 3,768 | |
Repsol SA | | | 3,094 | | | | 45,001 | |
Telefonica SA | | | 2,037 | | | | 8,268 | |
| | | | | | | | |
| | |
| | | | | | | 340,701 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 58 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
Common Stocks — continued | | | | | | | | |
Sweden — 2.9% | | | | | | | | |
Alfa Laval AB | | | 261 | | | | 9,538 | |
Assa Abloy AB, Class B | | | 905 | | | | 21,765 | |
Atlas Copco AB, Class A | | | 2,424 | | | | 34,992 | |
Atlas Copco AB, Class B | | | 1,422 | | | | 17,736 | |
Beijer Ref AB, Class B | | | 320 | | | | 4,085 | |
Boliden AB | | | 106 | | | | 3,080 | |
Embracer Group AB, Class B (a) | | | 245 | | | | 613 | |
Epiroc AB, Class A | | | 592 | | | | 11,209 | |
Epiroc AB, Class B | | | 358 | | | | 5,790 | |
EQT AB | | | 399 | | | | 7,679 | |
Essity AB, Class B | | | 237 | | | | 6,303 | |
Evolution AB (e) | | | 71 | | | | 8,985 | |
Fastighets AB Balder, Class B (a) | | | 255 | | | | 932 | |
Getinge AB, Class B | | | 90 | | | | 1,572 | |
H & M Hennes & Mauritz AB, Class B | | | 254 | | | | 4,366 | |
Hexagon AB, Class B | | | 808 | | | | 9,944 | |
Holmen AB, Class B | | | 36 | | | | 1,296 | |
Husqvarna AB, Class B | | | 378 | | | | 3,426 | |
Industrivarden AB, Class A | | | 148 | | | | 4,108 | |
Industrivarden AB, Class C | | | 171 | | | | 4,727 | |
Indutrade AB | | | 249 | | | | 5,609 | |
Investment AB Latour, Class B | | | 135 | | | | 2,672 | |
Investor AB, Class A | | | 495 | | | | 9,906 | |
Investor AB, Class B | | | 1,939 | | | | 38,790 | |
Kinnevik AB, Class B (a) | | | 271 | | | | 3,761 | |
L E Lundbergforetagen AB, Class B | | | 84 | | | | 3,567 | |
Lifco AB, Class B | | | 212 | | | | 4,616 | |
Nibe Industrier AB, Class B | | | 1,370 | | | | 13,026 | |
Saab AB, Class B | | | 72 | | | | 3,916 | |
Sagax AB, Class B | | | 75 | | | | 1,479 | |
Sandvik AB | | | 963 | | | | 18,805 | |
Securitas AB, Class B | | | 445 | | | | 3,657 | |
Skandinaviska Enskilda Banken AB, Class A | | | 1,814 | | | | 20,066 | |
Skanska AB, Class B | | | 307 | | | | 4,311 | |
SKF AB, Class B | | | 307 | | | | 5,358 | |
Svenska Cellulosa AB SCA, Class B | | | 234 | | | | 2,982 | |
Svenska Handelsbanken AB, Class A | | | 1,644 | | | | 13,761 | |
Swedbank AB, Class A | | | 954 | | | | 16,098 | |
Swedish Orphan Biovitrum AB (a) | | | 66 | | | | 1,283 | |
Tele2 AB, Class B | | | 210 | | | | 1,736 | |
Telefonaktiebolaget LM Ericsson, Class B | | | 1,134 | | | | 6,163 | |
Telia Co. AB | | | 961 | | | | 2,109 | |
Volvo AB, Class A | | | 147 | | | | 3,127 | |
Volvo AB, Class B | | | 1,398 | | | | 28,927 | |
Volvo Car AB, Class B (a) | | | 232 | | | | 922 | |
| | | | | | | | |
| | |
| | | | | | | 378,793 | |
| | | | | | | | |
Switzerland — 17.5% | | | | | | | | |
ABB Ltd. (Registered) | | | 1,420 | | | | 55,871 | |
Adecco Group AG (Registered) | | | 146 | | | | 4,769 | |
Alcon, Inc. | | | 194 | | | | 16,083 | |
Bachem Holding AG, Class B | | | 13 | | | | 1,143 | |
Baloise Holding AG (Registered) | | | 52 | | | | 7,593 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
| | | | | | | | |
Switzerland — continued | | | | | | | | |
Banque Cantonale Vaudoise (Registered) | | | 34 | | | | 3,578 | |
Barry Callebaut AG (Registered) | | | 11 | | | | 20,625 | |
BKW AG | | | 18 | | | | 3,224 | |
Chocoladefabriken Lindt & Spruengli AG | | | 3 | | | | 37,669 | |
Chocoladefabriken Lindt & Spruengli AG (Registered) | | | — (h) | | | | 40,339 | |
Cie Financiere Richemont SA (Registered), Class A | | | 905 | | | | 153,807 | |
Clariant AG (Registered) (a) | | | 104 | | | | 1,506 | |
Coca-Cola HBC AG | | | 698 | | | | 20,820 | |
DSM-Firmenich AG (a) | | | 68 | | | | 7,314 | |
Dufry AG (Registered) (a) | | | 37 | | | | 1,701 | |
EMS-Chemie Holding AG (Registered) | | | 3 | | | | 2,082 | |
Geberit AG (Registered) | | | 31 | | | | 16,111 | |
Givaudan SA (Registered) | | | 4 | | | | 11,914 | |
Glencore plc | | | 5,531 | | | | 31,362 | |
Helvetia Holding AG (Registered) | | | 41 | | | | 5,620 | |
Holcim AG (a) | | | 214 | | | | 14,442 | |
Julius Baer Group Ltd. | | | 239 | | | | 15,109 | |
Kuehne + Nagel International AG (Registered) | | | 49 | | | | 14,524 | |
Logitech International SA (Registered) | | | 63 | | | | 3,786 | |
Lonza Group AG (Registered) | | | 29 | | | | 17,283 | |
Nestle SA (Registered) | | | 8,244 | | | | 991,704 | |
Novartis AG (Registered) | | | 1,846 | | | | 186,130 | |
Partners Group Holding AG | | | 26 | | | | 24,058 | |
Roche Holding AG | | | 662 | | | | 202,786 | |
Schindler Holding AG | | | 37 | | | | 8,680 | |
Schindler Holding AG (Registered) | | | 21 | | | | 4,735 | |
SGS SA (Registered) | | | 136 | | | | 12,836 | |
SIG Group AG (a) | | | 118 | | | | 3,267 | |
Sika AG (Registered) | | | 57 | | | | 16,241 | |
Sonova Holding AG (Registered) | | | 20 | | | | 5,368 | |
STMicroelectronics NV | | | 1,808 | | | | 90,189 | |
Straumann Holding AG (Registered) | | | 43 | | | | 7,014 | |
Swatch Group AG (The) | | | 52 | | | | 15,097 | |
Swatch Group AG (The) (Registered) | | | 83 | | | | 4,547 | |
Swiss Life Holding AG (Registered) | | | 35 | | | | 20,251 | |
Swiss Prime Site AG (Registered) | | | 30 | | | | 2,641 | |
Swiss Re AG | | | 339 | | | | 34,119 | |
Swisscom AG (Registered) | | | 10 | | | | 6,290 | |
Temenos AG (Registered) | | | 25 | | | | 1,967 | |
UBS Group AG (Registered) | | | 3,691 | | | | 74,822 | |
VAT Group AG (e) | | | 24 | | | | 10,141 | |
Zurich Insurance Group AG | | | 169 | | | | 80,337 | |
| | | | | | | | |
| | |
| | | | | | | 2,311,495 | |
| | | | | | | | |
Taiwan — 1.9% | | | | | | | | |
ASE Technology Holding Co. Ltd. | | | 1,363 | | | | 4,847 | |
eMemory Technology, Inc. | | | 29 | | | | 2,076 | |
Global Unichip Corp. | | | 39 | | | | 2,019 | |
Globalwafers Co. Ltd. | | | 96 | | | | 1,541 | |
MediaTek, Inc. | | | 678 | | | | 15,008 | |
Nanya Technology Corp. | | | 556 | | | | 1,267 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 59 |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
Common Stocks — continued | | | | | | | | |
Taiwan — continued | | | | | | | | |
Novatek Microelectronics Corp. | | | 258 | | | | 3,542 | |
Powerchip Semiconductor Manufacturing Corp. | | | 1,339 | | | | 1,337 | |
Realtek Semiconductor Corp. | | | 204 | | | | 2,544 | |
Taiwan Semiconductor Manufacturing Co. Ltd. | | | 10,987 | | | | 202,966 | |
United Microelectronics Corp. | | | 5,019 | | | | 7,886 | |
Vanguard International Semiconductor Corp. | | | 397 | | | | 1,127 | |
Win Semiconductors Corp. | | | 148 | | | | 784 | |
Winbond Electronics Corp. (a) | | | 1,323 | | | | 1,170 | |
| | | | | | | | |
| | |
| | | | | | | 248,114 | |
| | | | | | | | |
United Arab Emirates — 0.0% | | | | | | | | |
NMC Health plc (a) (bb) (cc) | | | 116 | | | | — | |
| | | | | | | | |
United Kingdom — 19.5% | | | | | | | | |
3i Group plc | | | 1,220 | | | | 30,233 | |
abrdn plc | | | 2,506 | | | | 6,960 | |
Admiral Group plc | | | 265 | | | | 7,018 | |
Anglo American plc | | | 659 | | | | 18,750 | |
Ashtead Group plc | | | 454 | | | | 31,483 | |
Associated British Foods plc | | | 181 | | | | 4,579 | |
AstraZeneca plc | | | 1,597 | | | | 228,959 | |
Auto Trader Group plc (e) | | | 480 | | | | 3,729 | |
Aviva plc | | | 3,490 | | | | 17,558 | |
BAE Systems plc | | | 3,160 | | | | 37,265 | |
Barclays plc | | | 19,481 | | | | 38,058 | |
Barratt Developments plc | | | 507 | | | | 2,666 | |
Berkeley Group Holdings plc | | | 56 | | | | 2,787 | |
BP plc | | | 43,246 | | | | 251,797 | |
British American Tobacco plc | | | 1,101 | | | | 36,575 | |
British Land Co. plc (The) | | | 452 | | | | 1,743 | |
BT Group plc, Class A | | | 3,606 | | | | 5,612 | |
Bunzl plc | | | 350 | | | | 13,347 | |
Burberry Group plc | | | 704 | | | | 19,005 | |
Centrica plc | | | 2,930 | | | | 4,620 | |
CNH Industrial NV | | | 927 | | | | 13,371 | |
Coca-Cola Europacific Partners plc | | | 626 | | | | 40,305 | |
Compass Group plc | | | 904 | | | | 25,323 | |
Croda International plc | | | 72 | | | | 5,168 | |
Diageo plc | | | 7,151 | | | | 307,447 | |
Endeavour Mining plc | | | 96 | | | | 2,298 | |
Entain plc | | | 330 | | | | 5,335 | |
GSK plc | | | 4,220 | | | | 74,788 | |
Haleon plc | | | 2,638 | | | | 10,827 | |
Halma plc | | | 197 | | | | 5,704 | |
Hargreaves Lansdown plc | | | 446 | | | | 4,627 | |
HSBC Holdings plc | | | 25,030 | | | | 198,183 | |
Imperial Brands plc | | | 455 | | | | 10,073 | |
Informa plc | | | 724 | | | | 6,683 | |
InterContinental Hotels Group plc | | | 90 | | | | 6,236 | |
Intertek Group plc | | | 166 | | | | 9,015 | |
J Sainsbury plc | | | 850 | | | | 2,905 | |
JD Sports Fashion plc | | | 1,358 | | | | 2,522 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
| | | | | | | | |
United Kingdom — continued | | | | | | | | |
Johnson Matthey plc | | | 95 | | | | 2,105 | |
Kingfisher plc | | | 1,006 | | | | 2,966 | |
Land Securities Group plc | | | 362 | | | | 2,645 | |
Legal & General Group plc | | | 7,466 | | | | 21,618 | |
Lloyds Banking Group plc | | | 83,019 | | | | 46,022 | |
London Stock Exchange Group plc | | | 503 | | | | 53,549 | |
M&G plc | | | 2,810 | | | | 6,839 | |
Mondi plc | | | 250 | | | | 3,818 | |
National Grid plc | | | 1,906 | | | | 25,267 | |
NatWest Group plc | | | 7,190 | | | | 21,977 | |
Next plc | | | 63 | | | | 5,517 | |
Ocado Group plc (a) | | | 298 | | | | 2,154 | |
Pearson plc | | | 337 | | | | 3,529 | |
Persimmon plc | | | 168 | | | | 2,188 | |
Phoenix Group Holdings plc | | | 942 | | | | 6,374 | |
Reckitt Benckiser Group plc | | | 371 | | | | 27,892 | |
RELX plc | | | 1,970 | | | | 65,704 | |
Rentokil Initial plc | | | 2,611 | | | | 20,416 | |
Rio Tinto plc | | | 583 | | | | 37,075 | |
Rolls-Royce Holdings plc (a) | | | 8,652 | | | | 16,637 | |
Sage Group plc (The) | | | 531 | | | | 6,236 | |
Schroders plc | | | 1,007 | | | | 5,604 | |
Segro plc | | | 625 | | | | 5,701 | |
Severn Trent plc | | | 131 | | | | 4,278 | |
Shell plc | | | 16,736 | | | | 499,262 | |
Smith & Nephew plc | | | 453 | | | | 7,309 | |
Smiths Group plc | | | 366 | | | | 7,659 | |
Spirax-Sarco Engineering plc | | | 76 | | | | 10,064 | |
SSE plc | | | 565 | | | | 13,250 | |
St James’s Place plc | | | 687 | | | | 9,496 | |
Standard Chartered plc | | | 3,015 | | | | 26,234 | |
Taylor Wimpey plc | | | 1,813 | | | | 2,368 | |
Tesco plc | | | 3,793 | | | | 11,964 | |
Unilever plc | | | 1,309 | | | | 68,169 | |
United Utilities Group plc | | | 356 | | | | 4,349 | |
Vodafone Group plc | | | 11,890 | | | | 11,210 | |
Whitbread plc | | | 104 | | | | 4,494 | |
Wise plc, Class A (a) | | | 768 | | | | 6,422 | |
WPP plc | | | 554 | | | | 5,804 | |
| | | | | | | | |
| | |
| | | | | | | 2,577,719 | |
| | | | | | | | |
United States — 0.0% (g) | | | | | | | | |
Parade Technologies Ltd. | | | 34 | | | | 1,179 | |
| | | | | | | | |
Total Common Stocks
(Cost $11,286,404) | | | | | | | 12,924,769 | |
| | | | | | | | |
Preferred Stocks — 0.4% | | | | | | | | |
Germany — 0.2% | | | | | | | | |
Bayerische Motoren Werke AG | | | 19 | | | | 2,176 | |
Dr Ing hc F Porsche AG (e) | | | 44 | | | | 5,456 | |
Henkel AG & Co. KGaA | | | 65 | | | | 5,184 | |
Porsche Automobil Holding SE (a) | | | 60 | | | | 3,592 | |
Sartorius AG | | | 10 | | | | 3,528 | |
Volkswagen AG | | | 77 | | | | 10,389 | |
| | | | | | | | |
| | |
| | | | | | | 30,325 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 60 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
Preferred Stocks — continued | | | | | | | | |
South Korea — 0.2% | | | | | | | | |
Samsung Electronics Co. Ltd. | | | 460 | | | | 20,883 | |
| | | | | | | | |
Total Preferred Stocks
(Cost $41,774) | | | | | | | 51,208 | |
| | | | | | | | |
| | |
| | | PRINCIPAL
AMOUNT ($) | | | | |
Short-Term Investments — 0.8% | | | | | | | | |
Time Deposits — 0.8% | | | | | | | | |
Australia & New Zealand Banking Group Ltd., 4.42%, 07/03/2023 | | | 3,845 | | | | 3,845 | |
Barclays SA, 4.42%, 07/03/2023 | | | 1 | | | | 1 | |
Brown Brothers Harriman, | | | | | | | | |
1.97%, 07/03/2023 | | DKK | 14,224 | | | | 2,084 | |
2.22%, 07/03/2023 | | SEK | 12,111 | | | | 1,123 | |
2.60%, 07/03/2023 | | NOK | 11,476 | | | | 1,069 | |
4.42%, 07/03/2023 | | | 4,134 | | | | 4,134 | |
Citibank NA, | | | | | | | | |
2.37%, 07/03/2023 | | EUR | 8,428 | | | | 9,196 | |
4.42%, 07/03/2023 | | | 7,711 | | | | 7,711 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | |
Time Deposits — continued | | | | | | | | |
Skandinaviska Enskilda Banken AB, | | | | | | | | |
0.65%, 07/03/2023 | | CHF | 17,129 | | | | 19,137 | |
2.37%, 07/03/2023 | | EUR | 32,649 | | | | 35,627 | |
3.92%, 07/03/2023 | | GBP | 15,206 | | | | 19,312 | |
Sumitomo Mitsui Banking Corp., | | | | | | | | |
(0.37%), 07/03/2023 | | JPY | 348,742 | | | | 2,417 | |
4.42%, 07/03/2023 | | | 3,333 | | | | 3,333 | |
Sumitomo Mitsui Trust Bank Ltd., 4.42%, 07/03/2023 | | | — (h) | | | | — (h) | |
| | | | | | | | |
Total Short-Term Investments
(Cost $108,989) | | | | | | | 108,989 | |
| | | | | | | | |
| | |
Total Investments — 99.2%
(Cost — $11,437,167) * | | | | | | | 13,084,966 | |
| |
Other Assets in Excess of Liabilities — 0.8% | | | | 106,159 | |
| | | | | | | | |
| | |
NET ASSETS — 100.0% | | | | | | | $13,191,125 | |
| | | | | | | | |
Percentages indicated are based on net assets.
| | | | | | | | | | | | | | | | | | | | |
| Futures contracts outstanding as of June 30, 2023: | |
| Exchange Traded | |
| DESCRIPTION | | NUMBER OF CONTRACTS | | | EXPIRATION DATE | | | TRADING CURRENCY | | | NOTIONAL AMOUNT ($) | | | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
Euro STOXX 50 Index | | | 1,262 | | | | 09/2023 | | | | EUR | | | | 59,779 | | | | 1,185 | |
FTSE 100 Index | | | 349 | | | | 09/2023 | | | | GBP | | | | 33,473 | | | | (47 | ) |
MSCI Emerging Markets Index | | | 20 | | | | 09/2023 | | | | USD | | | | 992 | | | | 6 | |
SGX FTSE Taiwan Index | | | 54 | | | | 07/2023 | | | | USD | | | | 3,138 | | | | (18 | ) |
TOPIX Index | | | 20 | | | | 09/2023 | | | | JPY | | | | 3,088 | | | | 83 | |
| | | | | | | | | | | | | | | | | | | | |
Total unrealized appreciation (depreciation) | | | | | | | | | | | | | | | | | | | 1,209 | |
| | | | | | | | | | | | | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 61 |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023
| | |
| CVA | | — Dutch Certification |
| OYJ | | — Public Limited Company |
| REIT | | — Real Estate Investment Trust |
| (a) | | — Non-income producing security. |
| (e) | | — Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| (g) | | — Amount rounds to less than 0.05%. |
| (h) | | — Amount rounds to less than 500 shares or principal/ $500. |
| (bb) | | — Security has been valued using significant unobservable inputs. |
| (cc) | | — Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| * | | — The cost of securities is substantially the same for federal income tax purposes. |
| CHF | | — Swiss Franc |
| DKK | | — Danish Krone |
| EUR | | — Euro |
| GBP | | — British Pound |
| JPY | | — Japanese Yen |
| NOK | | — Norwegian Krone |
| SEK | | — Swedish Krona |
| USD | | — United States Dollar |
Summary of Investments by Industry, June 30, 2023
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
| | | | |
| INDUSTRY | | PERCENTAGE | |
| |
Semiconductors | | | 11.5 | % |
| |
Oil & Gas | | | 9.9 | % |
| |
Food | | | 9.1 | % |
| |
Pharmaceuticals | | | 8.9 | % |
| |
Banks | | | 8.3 | % |
| |
Beverages | | | 6.6 | % |
| |
Apparel | | | 5.6 | % |
| |
Software | | | 5.2 | % |
| |
Insurance | | | 4.6 | % |
| |
Commercial Services | | | 2.3 | % |
| |
Electric | | | 2.2 | % |
| |
Retail | | | 2.0 | % |
| |
Aerospace/Defense | | | 1.7 | % |
| |
Auto Manufacturers | | | 1.4 | % |
| |
Diversified Financial Services | | | 1.2 | % |
| |
Miscellaneous Manufacturers | | | 1.2 | % |
| |
Machinery — Diversified | | | 1.1 | % |
| |
Chemicals | | | 1.1 | % |
| |
Cosmetics/Personal Care | | | 1.1 | % |
| |
Transportation | | | 1.0 | % |
| |
Building Materials | | | 1.0 | % |
| |
Others (Each less than 1.0%) | | | 12.2 | % |
| |
Short-Term Investments | | | 0.8 | % |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 62 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — 106.9% | | | | | | | | |
Asset-Backed Securities — 0.7% | | | | | | | | |
Anchorage Capital CLO 11 Ltd., (Cayman Islands), Series 2019-11A, Class AR, (ICE LIBOR USD 3 Month + 1.14%), 6.41%, 07/22/2032 (e) (aa) | | | 1,900 | | | | 1,872 | |
ARES L CLO Ltd., (Cayman Islands), Series 2018-50A, Class AR, (ICE LIBOR USD 3 Month + 1.05%), 6.31%, 01/15/2032 (e) (aa) | | | 3,300 | | | | 3,257 | |
Atlas Senior Loan Fund Ltd., (Cayman Islands), Series 2017-8A, Class A, (ICE LIBOR USD 3 Month + 1.15%), 6.41%, 01/16/2030 (e) (aa) | | | 3,901 | | | | 3,877 | |
Benefit Street Partners CLO XVII Ltd., (Cayman Islands), Series 2019-17A, Class AR, (ICE LIBOR USD 3 Month + 1.08%), 6.34%, 07/15/2032 (e) (aa) | | | 4,300 | | | | 4,248 | |
CARLYLE US CLO Ltd., (Cayman Islands), Series 2017-1A, Class A1R, (ICE LIBOR USD 3 Month + 1.00%), 6.25%, 04/20/2031 (e) (aa) | | | 1,900 | | | | 1,874 | |
Carmax Auto Owner Trust, Series 2020-1, Class A3, 1.89%, 12/16/2024 | | | 33 | | | | 33 | |
CIFC Funding Ltd., (Cayman Islands), Series 2017-4A, Class A1R, (ICE LIBOR USD 3 Month + 0.95%), 6.22%, 10/24/2030 (e) (aa) | | | 3,046 | | | | 3,021 | |
Crestline Denali CLO XV Ltd., (Cayman Islands), Series 2017-1A, Class AR, (ICE LIBOR USD 3 Month + 1.03%), 6.28%, 04/20/2030 (e) (aa) | | | 4,319 | | | | 4,276 | |
Dryden 27 R Euro CLO 2017 DAC, (Ireland), Series 2017-27A, Class AR, (ICE LIBOR EUR 3 Month + 0.66%), 4.32%, 04/15/2033 (e) (aa) | | EUR | 7,600 | | | | 8,092 | |
Dryden Senior Loan Fund, (Cayman Islands), Series 2014-36A, Class AR3, (CME Term SOFR 3 Month + 1.28%), 6.27%, 04/15/2029 (e) (aa) | | | 5,200 | | | | 5,167 | |
Ford Credit Auto Owner Trust, Series 2020-B, Class A4, 0.79%, 11/15/2025 | | | 850 | | | | 830 | |
GM Financial Consumer Automobile Receivables Trust, | | | | | | | | |
Series 2020-2, Class A4, 1.74%, 08/18/2025 | | | 500 | | | | 490 | |
Series 2023-1, Class A3, 4.66%, 02/16/2028 | | | 1,850 | | | | 1,826 | |
Series 2023-1, Class A4, 4.59%, 07/17/2028 | | | 230 | | | | 226 | |
Hyundai Auto Receivables Trust, Series 2020-A, Class A3, 1.41%, 11/15/2024 | | | 18 | | | | 18 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Asset-Backed Securities — continued | | | | | | | | |
Madison Park Funding XXVI Ltd., (Cayman Islands), Series 2017-26A, Class AR, (ICE LIBOR USD 3 Month + 1.20%), 6.50%, 07/29/2030 (e) (aa) | | | 2,331 | | | | 2,321 | |
Magnetite XVIII Ltd., (Cayman Islands), Series 2016-18A, Class AR2, (ICE LIBOR USD 3 Month + 0.88%), 6.20%, 11/15/2028 (e) (aa) | | | 6,438 | | | | 6,389 | |
Marathon CLO IX Ltd., (Cayman Islands), Series 2017-9A, Class A1AR, (ICE LIBOR USD 3 Month + 1.15%), 6.41%, 04/15/2029 (e) (aa) | | | 204 | | | | 203 | |
Marble Point CLO X Ltd., (Cayman Islands), Series 2017-1A, Class AR, (ICE LIBOR USD 3 Month + 1.04%), 6.30%, 10/15/2030 (e) (aa) | | | 1,535 | | | | 1,523 | |
Mountain View CLO LLC, (Cayman Islands), | | | | | | | | |
Series 2017-1A, Class AR, (ICE LIBOR USD 3 Month + 1.09%), 6.35%, 10/16/2029 (e) (aa) | | | 1,217 | | | | 1,208 | |
Series 2017-2A, Class AR, (ICE LIBOR USD 3 Month + 1.04%), 6.30%, 01/16/2031 (e) (aa) | | | 2,870 | | | | 2,831 | |
Nissan Auto Receivables Owner Trust, Series 2020-A, Class A3, 1.38%, 12/16/2024 | | | 18 | | | | 18 | |
OCP CLO Ltd., (Cayman Islands), Series 2017-14A, Class A1A, (ICE LIBOR USD 3 Month + 1.15%), 6.53%, 11/20/2030 (e) (aa) | | | 4,974 | | | | 4,942 | |
Sculptor CLO XXV Ltd., (Cayman Islands), Series 25A, Class A1, (ICE LIBOR USD 3 Month + 1.27%), 6.53%, 01/15/2031 (e) (aa) | | | 1,200 | | | | 1,181 | |
Sound Point CLO XII Ltd., (Cayman Islands), Series 2016-2A, Class AR2, (ICE LIBOR USD 3 Month + 1.05%), 6.30%, 10/20/2028 (e) (aa) | | | 18 | | | | 18 | |
Venture 33 CLO Ltd., (Cayman Islands), Series 2018-33A, Class A1LR, (ICE LIBOR USD 3 Month + 1.06%), 6.32%, 07/15/2031 (e) (aa) | | | 700 | | | | 690 | |
Vibrant CLO VI Ltd., (Cayman Islands), Series 2017-6A, Class AR, (ICE LIBOR USD 3 Month + 0.95%), 6.46%, 06/20/2029 (e) (aa) | | | 1,485 | | | | 1,481 | |
Voya CLO Ltd., (Cayman Islands), Series 2017-1A, Class A1R, (ICE LIBOR USD 3 Month + 0.95%), 6.21%, 04/17/2030 (e) (aa) | | | 4,300 | | | | 4,263 | |
Wellfleet CLO Ltd., (Cayman Islands), Series 2015-1A, Class AR4, (ICE LIBOR USD 3 Month + 0.89%), 6.14%, 07/20/2029 (e) (aa) | | | 710 | | | | 701 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 63 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Asset-Backed Securities — continued | | | | | | | | |
World Omni Auto Receivables Trust, Series 2020-A, Class A3, 1.10%, 04/15/2025 | | | 21 | | | | 21 | |
| | | | | | | | |
Total Asset-Backed Securities
(Cost $68,562) | | | | | | | 66,897 | |
| | | | | | | | |
Collateralized Mortgage Obligations — 2.2% | |
Citigroup Mortgage Loan Trust, | | | | | | | | |
Series 2021-INV1, Class A3A, 2.50%, 05/25/2051 (e) (z) | | | 5,902 | | | | 4,758 | |
Series 2021-INV3, Class A11, (United States 30 Day Average SOFR + 0.85%), 5.00%, 05/25/2051 (e) (aa) | | | 429 | | | | 393 | |
FHLMC REMICS, | | | | | | | | |
Series 3404, Class SA, IF, IO, (6.00% - ICE LIBOR USD 1 Month), 0.81%, 01/15/2038 (aa) | | | 1,190 | | | | 79 | |
Series 3680, Class SA, IF, IO, (5.00% - ICE LIBOR USD 1 Month), 0.00%, 06/15/2040 (aa) | | | 2,263 | | | | 88 | |
Series 4023, Class S, IF, IO, (6.25% - ICE LIBOR USD 1 Month), 1.06%, 03/15/2042 (aa) | | | 1,059 | | | | 82 | |
Series 4056, Class GS, IF, IO, (6.65% - ICE LIBOR USD 1 Month), 1.46%, 12/15/2041 (aa) | | | 501 | | | | 40 | |
Series 4134, Class PI, IO, 3.00%, 11/15/2042 | | | 463 | | | | 52 | |
Series 4147, Class JI, IO, 3.50%, 12/15/2032 | | | 4,499 | | | | 403 | |
Series 4165, Class TI, IO, 3.00%, 12/15/2042 | | | 488 | | | | 35 | |
Series 4479, Class AI, IO, 3.50%, 09/15/2025 | | | 3,202 | | | | 83 | |
Series 4598, Class IK, IO, 3.50%, 03/15/2046 | | | 603 | | | | 105 | |
Series 4710, Class EI, IO, 3.50%, 11/15/2031 | | | 3,266 | | | | 246 | |
Series 4751, Class EF, (ICE LIBOR USD 1 Month + 0.25%), 5.44%, 05/15/2041 (aa) | | | 2,775 | | | | 2,668 | |
Series 4764, Class WF, (ICE LIBOR USD 1 Month + 0.30%), 5.49%, 02/15/2048 (aa) | | | 4,850 | | | | 4,639 | |
Series 4790, Class F, (ICE LIBOR USD 1 Month + 0.19%), 5.38%, 10/15/2043 (aa) | | | 1,860 | | | | 1,819 | |
Series 4825, Class SE, IF, IO, (6.20% - ICE LIBOR USD 1 Month), 1.01%, 09/15/2048 (aa) | | | 4,207 | | | | 439 | |
Series 4888, Class IB, IO, 4.00%, 03/15/2047 | | | 340 | | | | 48 | |
Series 4990, Class MI, IO, 4.00%, 07/25/2050 | | | 4,410 | | | | 989 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Collateralized Mortgage Obligations — continued | | | | | |
Series 5003, Class AS, IF, IO, (6.10% - ICE LIBOR USD 1 Month), 0.95%, 08/25/2050 (aa) | | | 7,172 | | | | 881 | |
Series 5013, Class IQ, IO, 3.50%, 09/25/2050 | | | 5,205 | | | | 803 | |
Series 5016, Class PI, IO, 3.00%, 09/25/2050 | | | 11,225 | | | | 1,837 | |
Series 5024, Class BI, IO, 2.00%, 10/25/2050 | | | 18,286 | | | | 2,066 | |
Series 5034, Class MI, IO, 2.00%, 11/25/2050 | | | 1,982 | | | | 250 | |
Series 5034, Class YI, IO, 4.00%, 11/25/2050 | | | 2,763 | | | | 506 | |
Series 5045, Class DI, IO, 2.50%, 11/25/2050 | | | 2,829 | | | | 380 | |
Series 5047, Class CI, IO, 2.00%, 12/25/2050 | | | 1,740 | | | | 230 | |
Series 5056, Class PI, IO, 2.50%, 12/25/2050 | | | 8,648 | | | | 1,085 | |
Series 5062, Class EI, IO, 2.00%, 01/25/2051 | | | 3,745 | | | | 498 | |
Series 5065, Class IG, IO, 3.00%, 01/25/2051 | | | 3,391 | | | | 501 | |
Series 5069, Class DI, IO, 3.50%, 02/25/2041 | | | 1,362 | | | | 169 | |
Series 5069, Class LI, IO, 2.50%, 02/25/2051 | | | 14,777 | | | | 2,083 | |
Series 5071, Class IN, IO, 4.00%, 08/25/2050 | | | 5,637 | | | | 1,225 | |
Series 5087, Class IL, IO, 3.00%, 03/25/2051 | | | 2,026 | | | | 310 | |
Series 5124, Class LI, IO, 4.50%, 07/25/2051 | | | 11,893 | | | | 2,559 | |
Series 5202, Class UI, IO, 3.50%, 01/25/2052 | | | 4,236 | | | | 740 | |
Series 5210, Class AI, IO, 3.50%, 01/25/2042 | | | 4,387 | | | | 585 | |
Series 5227, Class EI, IO, 4.00%, 04/25/2050 | | | 4,717 | | | | 518 | |
FHLMC STRIPs, Series 365, Class C2, IO, 4.00%, 06/15/2049 | | | 4,039 | | | | 747 | |
FNMA Interest STRIP, | | | | | | | | |
Series 379, Class S56, IF, IO, (7.90% - ICE LIBOR USD 1 Month), 2.75%, 05/25/2037 (aa) | | | 382 | | | | 48 | |
Series 405, Class 1, PO, Zero Coupon, 10/25/2040 | | | 309 | | | | 249 | |
Series 406, Class 23, IO, 6.00%, 11/25/2040 (z) | | | 144 | | | | 32 | |
FNMA REMICS, | | | | | | | | |
Series 2007-30, Class JS, IF, IO, (6.44% - ICE LIBOR USD 1 Month), 1.29%, 04/25/2037 (aa) | | | 1,655 | | | | 140 | |
Series 2012-53, Class IO, IO, 3.50%, 05/25/2027 | | | 416 | | | | 17 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 64 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Collateralized Mortgage Obligations — continued | | | | | |
Series 2012-98, Class JI, IO, 3.00%, 04/25/2027 | | | 887 | | | | 15 | |
Series 2012-135, Class SB, IF, IO, (6.10% - ICE LIBOR USD 1 Month), 0.95%, 12/25/2042 (aa) | | | 968 | | | | 90 | |
Series 2013-109, Class BO, PO, Zero Coupon, 07/25/2043 | | | 411 | | | | 252 | |
Series 2014-34, Class US, IF, (8.60% - ICE LIBOR USD 1 Month), 0.00%, 06/25/2044 (aa) | | | 67 | | | | 53 | |
Series 2016-26, Class SY, IF, (7.03% - ICE LIBOR USD 1 Month), 0.00%, 11/25/2042 (aa) | | | 514 | | | | 322 | |
Series 2016-63, Class AS, IF, IO, (6.00% - ICE LIBOR USD 1 Month), 0.85%, 09/25/2046 (aa) | | | 1,590 | | | | 157 | |
Series 2017-97, Class BF, (ICE LIBOR USD 1 Month + 0.30%), 5.45%, 12/25/2047 (aa) | | | 4,844 | | | | 4,676 | |
Series 2018-67, Class HF, (ICE LIBOR USD 1 Month + 0.30%), 5.45%, 09/25/2048 (aa) | | | 2,563 | | | | 2,420 | |
Series 2018-67, Class SH, IF, IO, (6.20% - ICE LIBOR USD 1 Month), 1.05%, 09/25/2048 (aa) | | | 3,204 | | | | 324 | |
Series 2018-77, Class PF, (ICE LIBOR USD 1 Month + 0.30%), 5.45%, 10/25/2048 (aa) | | | 2,069 | | | | 1,982 | |
Series 2019-48, Class IB, IO, 0.67%, 06/25/2039 (z) | | | 21,659 | | | | 465 | |
Series 2019-68, Class US, IF, IO, (6.00% - ICE LIBOR USD 1 Month), 0.85%, 11/25/2049 (aa) | | | 6,284 | | | | 680 | |
Series 2019-78, Class DI, IO, 4.50%, 11/25/2049 | | | 628 | | | | 95 | |
Series 2020-42, Class CI, IO, 3.00%, 06/25/2050 | | | 12,921 | | | | 2,057 | |
Series 2020-60, Class BI, IO, 3.50%, 09/25/2050 | | | 11,584 | | | | 2,123 | |
Series 2020-68, Class CI, IO, 3.00%, 10/25/2050 | | | 8,699 | | | | 1,209 | |
Series 2020-74, Class PI, IO, 2.00%, 12/25/2049 | | | 10,463 | | | | 1,068 | |
Series 2020-86, Class PI, IO, 2.50%, 12/25/2050 | | | 3,325 | | | | 504 | |
Series 2020-89, Class IM, IO, 2.00%, 12/25/2050 | | | 9,874 | | | | 1,218 | |
Series 2020-89, Class LI, IO, 3.00%, 12/25/2050 | | | 11,454 | | | | 1,877 | |
Series 2020-99, Class IQ, IO, 3.00%, 01/25/2051 | | | 946 | | | | 149 | |
Series 2021-3, Class TI, IO, 2.50%, 02/25/2051 | | | 2,643 | | | | 417 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Collateralized Mortgage Obligations — continued | | | | | |
Series 2021-8, Class YF, (United States 30 Day Average SOFR + 0.20%), 4.49%, 03/25/2061 (aa) | | | 9,492 | | | | 9,196 | |
GNMA, | | | | | | | | |
Series 2015-H03, Class FA, (ICE LIBOR USD 1 Month + 0.50%), 5.59%, 12/20/2064 (aa) | | | 52 | | | | 52 | |
Series 2015-H33, Class FA, (ICE LIBOR USD 1 Month + 0.66%), 4.59%, 12/20/2065 (aa) | | | 9,279 | | | | 9,149 | |
Series 2017-H03, Class HA, 3.00%, 01/20/2067 | | | 4,353 | | | | 4,153 | |
Series 2019-H08, Class FE, (ICE LIBOR USD 1 Month + 0.65%), 3.86%, 01/20/2069 (aa) | | | 4,162 | | | | 4,032 | |
Series 2019-H16, Class FD, (ICE LIBOR USD 1 Month + 0.80%), 3.63%, 10/20/2069 (aa) | | | 2,428 | | | | 2,393 | |
Series 2020-142, Class LI, IO, 2.50%, 09/20/2050 | | | 11,081 | | | | 1,479 | |
Series 2020-142, Class MT, IF, IO, (6.15% - ICE LIBOR USD 1 Month), 0.05%, 07/20/2047 (aa) | | | 13,554 | | | | 25 | |
Series 2020-142, Class TN, IF, IO, (6.20% - ICE LIBOR USD 1 Month), 0.10%, 09/20/2047 (aa) | | | 18,178 | | | | 73 | |
Series 2020-H12, Class F, (ICE LIBOR USD 1 Month + 0.50%), 4.55%, 07/20/2070 (aa) | | | 577 | | | | 561 | |
Series 2020-H13, Class FA, (ICE LIBOR USD 1 Month + 0.45%), 4.42%, 07/20/2070 (aa) | | | 6,804 | | | | 6,559 | |
Series 2020-H14, Class FH, (ICE LIBOR USD 1 Month + 1.25%), 4.58%, 08/20/2070 (aa) | | | 6,739 | | | | 6,811 | |
Series 2020-H15, Class FH, (ICE LIBOR USD 1 Month + 1.05%), 4.39%, 07/20/2070 (aa) | | | 2,856 | | | | 2,821 | |
Series 2020-H15, Class FK, (ICE LIBOR USD 1 Month + 1.25%), 4.41%, 04/20/2070 (aa) | | | 5,117 | | | | 5,082 | |
Series 2020-H16, Class FN, (ICE LIBOR USD 1 Month + 1.25%), 4.40%, 09/20/2070 (aa) | | | 1,855 | | | | 1,872 | |
Series 2021-23, Class GI, IO, 2.00%, 02/20/2051 | | | 11,872 | | | | 1,308 | |
Series 2021-122, Class IT, IO, 2.50%, 07/20/2051 | | | 12,123 | | | | 1,633 | |
Series 2021-206, Class IG, IO, 2.50%, 09/20/2051 | | | 10,335 | | | | 1,281 | |
Series 2021-223, Class QI, IO, 2.50%, 10/20/2051 | | | 11,076 | | | | 1,237 | |
Series 2021-H03, Class ML, 6.98%, 01/20/2071 (z) | | | 9,580 | | | | 9,726 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 65 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Collateralized Mortgage Obligations — continued | | | | | |
Series 2021-H05, Class FJ, (United States 30 Day Average SOFR + 0.75%), 4.67%, 03/20/2071 (aa) | | | 313 | | | | 308 | |
Series 2021-H12, Class DF, (United States 30 Day Average SOFR + 1.50%), 6.18%, 08/20/2071 (aa) | | | 1,984 | | | | 2,004 | |
Series 2021-H14, Class HF, (United States 30 Day Average SOFR + 1.50%), 6.09%, 09/20/2071 (aa) | | | 7,707 | | | | 7,861 | |
Series 2021-H16, Class F, (United States 30 Day Average SOFR + 1.50%), 6.57%, 09/20/2071 (aa) | | | 9,655 | | | | 9,871 | |
Series 2022-H09, Class FA, (United States 30 Day Average SOFR + 0.67%), 5.74%, 04/20/2072 (aa) | | | 554 | | | | 536 | |
Series 2023-H02, Class FA, (United States 30 Day Average SOFR + 0.90%), 5.97%, 01/20/2073 (aa) | | | 2,948 | | | | 2,930 | |
Series 2023-H02, Class FL, (United States 30 Day Average SOFR + 0.90%), 5.97%, 01/20/2073 (aa) | | | 8,572 | | | | 8,522 | |
Series 2023-H02, Class JF, (United States 30 Day Average SOFR + 0.90%), 5.97%, 01/20/2073 (aa) | | | 6,558 | | | | 6,518 | |
Series 2023-H03, Class FA, (United States 30 Day Average SOFR + 0.87%), 5.94%, 02/20/2073 (aa) | | | 11,767 | | | | 11,673 | |
Series 2023-H09, Class FA, (United States 30 Day Average SOFR + 0.80%), 5.87%, 04/20/2073 (aa) | | | 1,999 | | | | 1,967 | |
Series 2023-H11, Class FC, (United States 30 Day Average SOFR + 1.10%), 6.17%, 05/20/2073 (aa) | | | 8,620 | | | | 8,596 | |
Series 2023-H11, Class FD, (United States 30 Day Average SOFR + 1.15%), 6.22%, 05/20/2073 (aa) | | | 1,502 | | | | 1,502 | |
Series 2023-H15, Class FB, (United States 30 Day Average SOFR + 1.00%), 6.07%, 03/20/2073 (aa) | | | 2,007 | | | | 1,999 | |
GS Mortgage-Backed Securities Trust, | | | | | | | | |
Series 2021-GR2, Class A2, 2.50%, 02/25/2052 (e) (z) | | | 1,102 | | | | 884 | |
Series 2021-INV1, Class A2, 2.50%, 12/25/2051 (e) (z) | | | 856 | | | | 688 | |
IMS Ecuadorian Mortgage Trust, Series 2021-1, Class GA, 3.40%, 08/18/2043 (e) | | | 2,052 | | | | 1,889 | |
MFA Trust, Series 2020-NQM2, Class A1, 1.38%, 04/25/2065 (e) (z) | | | 3,448 | | | | 3,081 | |
Morgan Stanley Residential Mortgage Loan Trust, Series 2021-6, Class A6, (United States 30 Day Average SOFR + 0.85%), 5.00%, 09/25/2051 (e) (aa) | | | 1,868 | | | | 1,711 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Collateralized Mortgage Obligations — continued | | | | | |
OBX Trust, Series 2021-INV2, Class A11, (United States 30 Day Average SOFR + 0.90%), 5.00%, 10/25/2051 (e) (aa) | | | 435 | | | | 399 | |
PMT Loan Trust, | | | | | | | | |
Series 2021-INV1, Class A11, (United States 30 Day Average SOFR + 0.90%), 5.00%, 07/25/2051 (e) (aa) | | | 8,663 | | | | 7,961 | |
Series 2021-INV1, Class A3, 2.50%, 07/25/2051 (e) (z) | | | 4,117 | | | | 3,304 | |
| | | | | | | | |
Total Collateralized Mortgage Obligations
(Cost $230,342) | | | | | | | 211,225 | |
| | | | | | | | |
Commercial Mortgage-Backed Securities — 0.4% | | | | | |
Banc of America Commercial Mortgage Trust, Series 2015-UBS7, Class ASB, 3.43%, 09/15/2048 | | | 308 | | | | 296 | |
BANK, | | | | | | | | |
Series 2017-BNK7, Class AS, 3.75%, 09/15/2060 | | | 750 | | | | 676 | |
Series 2018-BN13, Class A5, 4.22%, 08/15/2061 (z) | | | 500 | | | | 470 | |
Series 2018-BN15, Class A4, 4.41%, 11/15/2061 (z) | | | 1,235 | | | | 1,171 | |
Barclays Commercial Mortgage Trust, | | | | | | | | |
Series 2019-C5, Class A4, 3.06%, 11/15/2052 | | | 1,000 | | | | 874 | |
Series 2019-C5, Class ASB, 2.99%, 11/15/2052 | | | 500 | | | | 461 | |
BBCMS Mortgage Trust, | | | | | | | | |
Series 2020-C6, Class ASB, 2.60%, 02/15/2053 | | | 600 | | | | 539 | |
Series 2020-C7, Class A5, 2.04%, 04/15/2053 | | | 210 | | | | 171 | |
BCP Trust, Series 2021-330N, Class A, (ICE LIBOR USD 1 Month + 0.80%), 5.99%, 06/15/2038 (e) (aa) | | | 2,800 | | | | 2,499 | |
Benchmark Mortgage Trust, | | | | | | | | |
Series 2020-B16, Class AM, 2.94%, 02/15/2053 (z) | | | 350 | | | | 287 | |
Series 2020-B17, Class A5, 2.29%, 03/15/2053 | | | 500 | | | | 403 | |
Series 2020-B20, Class A5, 2.03%, 10/15/2053 | | | 750 | | | | 581 | |
BWAY Mortgage Trust, Series 2021-1450, Class A, (ICE LIBOR USD 1 Month + 1.25%), 6.44%, 09/15/2036 (e) (aa) | | | 4,600 | | | | 4,311 | |
BX Commercial Mortgage Trust, Series 2021-21M, Class A, (ICE LIBOR USD 1 Month + 0.73%), 5.92%, 10/15/2036 (e) (aa) | | | 2,235 | | | | 2,164 | |
CD Mortgage Trust, Series 2017-CD5, Class AAB, 3.22%, 08/15/2050 | | | 818 | | | | 775 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 66 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Commercial Mortgage-Backed Securities — continued | | | | | |
CGMS Commercial Mortgage Trust, Series 2017-B1, Class A4, 3.46%, 08/15/2050 | | | 1,100 | | | | 1,004 | |
Citigroup Commercial Mortgage Trust, | | | | | | | | |
Series 2014-GC23, Class AS, 3.86%, 07/10/2047 | | | 250 | | | | 239 | |
Series 2014-GC25, Class A4, 3.64%, 10/10/2047 | | | 500 | | | | 481 | |
Series 2015-GC33, Class AS, 4.11%, 09/10/2058 | | | 500 | | | | 466 | |
Series 2019-GC41, Class AS, 3.02%, 08/10/2056 | | | 250 | | | | 208 | |
COMM Mortgage Trust, Series 2016-CR28, Class ASB, 3.53%, 02/10/2049 | | | 248 | | | | 238 | |
CSAIL Commercial Mortgage Trust, Series 2016-C7, Class ASB, 3.31%, 11/15/2049 | | | 222 | | | | 213 | |
CSMC, Series 2020-FACT, Class A, (ICE LIBOR USD 1 Month + 1.35%), 6.54%, 10/15/2037 (e) (aa) | | | 2,100 | | | | 2,019 | |
FHLMC Multifamily Structured Pass Through Certificates, | | | | | | | | |
Series K047, Class A2, 3.33%, 05/25/2025 (z) | | | 1,000 | | | | 963 | |
Series K049, Class A2, 3.01%, 07/25/2025 | | | 250 | | | | 239 | |
Series K057, Class A2, 2.57%, 07/25/2026 | | | 850 | | | | 798 | |
Series K063, Class A2, 3.43%, 01/25/2027 (z) | | | 1,000 | | | | 955 | |
Series K071, Class A2, 3.29%, 11/25/2027 | | | 500 | | | | 473 | |
Series K073, Class A2, 3.35%, 01/25/2028 | | | 1,000 | | | | 947 | |
Series K075, Class A2, 3.65%, 02/25/2028 (z) | | | 500 | | | | 480 | |
Series K094, Class A2, 2.90%, 06/25/2029 | | | 112 | | | | 102 | |
Series K103, Class A2, 2.65%, 11/25/2029 | | | 500 | | | | 447 | |
Series K108, Class A2, 1.52%, 03/25/2030 | | | 304 | | | | 252 | |
Series K117, Class A2, 1.41%, 08/25/2030 | | | 1,500 | | | | 1,215 | |
Series K118, Class A2, 1.49%, 09/25/2030 | | | 500 | | | | 407 | |
Series K725, Class A2, 3.00%, 01/25/2024 | | | 218 | | | | 215 | |
Series K726, Class A2, 2.91%, 04/25/2024 | | | 684 | | | | 671 | |
Series K729, Class A2, 3.14%, 10/25/2024 | | | 200 | | | | 194 | |
Series K737, Class A2, 2.53%, 10/25/2026 | | | 650 | | | | 605 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Commercial Mortgage-Backed Securities — continued | | | | | |
Series K-152, Class A2, 3.78%, 11/25/2032 (z) | | | 2,500 | | | | 2,366 | |
FNMA-ACES, | | | | | | | | |
Series 2015-M10, Class A2, 3.09%, 04/25/2027 (z) | | | 452 | | | | 427 | |
Series 2016-M5, Class A2, 2.47%, 04/25/2026 | | | 470 | | | | 440 | |
Series 2017-M11, Class A2, 2.98%, 08/25/2029 | | | 998 | | | | 915 | |
Series 2017-M12, Class A2, 3.16%, 06/25/2027 (z) | | | 92 | | | | 87 | |
Series 2017-M13, Class A2, 3.03%, 09/25/2027 (z) | | | 513 | | | | 478 | |
Series 2018-M8, Class A2, 3.41%, 06/25/2028 (z) | | | 907 | | | | 857 | |
Series 2020-M46, Class A2, 1.32%, 05/25/2030 | | | 1,000 | | | | 815 | |
GS Mortgage Securities Trust, Series 2019-GSA1, Class A4, 3.05%, 11/10/2052 | | | 250 | | | | 215 | |
Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | | | | |
Series 2016-C29, Class A4, 3.33%, 05/15/2049 | | | 500 | | | | 466 | |
Series 2016-C31, Class A5, 3.10%, 11/15/2049 | | | 500 | | | | 454 | |
Series 2016-C32, Class A4, 3.72%, 12/15/2049 | | | 1,000 | | | | 934 | |
UBS Commercial Mortgage Trust, | | | | | | | | |
Series 2018-C11, Class ASB, 4.12%, 06/15/2051 | | | 687 | | | | 651 | |
Series 2018-C12, Class A5, 4.30%, 08/15/2051 | | | 1,380 | | | | 1,276 | |
Wells Fargo Commercial Mortgage Trust, | | | | | | | | |
Series 2014-LC18, Class A5, 3.41%, 12/15/2047 | | | 420 | | | | 401 | |
Series 2015-C27, Class A5, 3.45%, 02/15/2048 | | | 918 | | | | 872 | |
Series 2015-LC20, Class A5, 3.18%, 04/15/2050 | | | 500 | | | | 473 | |
Series 2017-C39, Class A5, 3.42%, 09/15/2050 | | | 1,000 | | | | 912 | |
Series 2017-C40, Class A4, 3.58%, 10/15/2050 | | | 550 | | | | 504 | |
Series 2018-C44, Class A5, 4.21%, 05/15/2051 | | | 1,000 | | | | 936 | |
Series 2021-C60, Class A4, 2.34%, 08/15/2054 | | | 550 | | | | 441 | |
| | | | | | | | |
Total Commercial Mortgage-Backed Securities
(Cost $50,440) | | | | 44,429 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 67 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — 42.0% | | | | | | | | |
Basic Materials — 1.1% | | | | | | | | |
Chemicals — 0.5% | | | | | | | | |
Air Liquide Finance SA, (France), | | | | | | | | |
Reg. S, 0.63%, 06/20/2030 | | EUR | 800 | | | | 726 | |
Reg. S, 0.75%, 06/13/2024 | | EUR | 1,200 | | | | 1,269 | |
Air Products and Chemicals, Inc., | | | | | | | | |
0.50%, 05/05/2028 | | EUR | 1,000 | | | | 934 | |
0.80%, 05/05/2032 | | EUR | 2,000 | | | | 1,697 | |
1.00%, 02/12/2025 | | EUR | 4,450 | | | | 4,640 | |
2.80%, 05/15/2050 | | | 15 | | | | 11 | |
4.00%, 03/03/2035 | | EUR | 1,600 | | | | 1,764 | |
Akzo Nobel NV, (Netherlands), | | | | | | | | |
Reg. S, 1.50%, 03/28/2028 | | EUR | 1,000 | | | | 976 | |
Reg. S, 2.00%, 03/28/2032 | | EUR | 1,000 | | | | 928 | |
Albemarle Corp., 5.65%, 06/01/2052 | | | 75 | | | | 71 | |
Argentum Netherlands BV for Givaudan SA, (Netherlands), | | | | | | | | |
Reg. S, 1.13%, 09/17/2025 | | EUR | 800 | | | | 818 | |
Reg. S, 2.00%, 09/17/2030 | | EUR | 1,000 | | | | 960 | |
Arkema SA, (France), | | | | | | | | |
Reg. S, 0.75%, 12/03/2029 | | EUR | 1,000 | | | | 905 | |
Reg. S, (EUR Swap Rate 5 Year + 1.57%), 1.50%, 10/21/2025 (x) (aa) | | EUR | 1,000 | | | | 963 | |
Reg. S, 1.50%, 04/20/2027 | | EUR | 1,000 | | | | 1,009 | |
Brenntag Finance BV, (Netherlands), | | | | | | | | |
Reg. S, 0.50%, 10/06/2029 | | EUR | 500 | | | | 436 | |
Reg. S, 1.13%, 09/27/2025 | | EUR | 1,000 | | | | 1,025 | |
CF Industries, Inc., 4.50%, 12/01/2026 (e) | | | 1,800 | | | | 1,735 | |
Covestro AG, (Germany), Reg. S, 0.88%, 02/03/2026 | | EUR | 1,875 | | | | 1,895 | |
Dow Chemical Co. (The), | | | | | | | | |
4.55%, 11/30/2025 | | | 118 | | | | 115 | |
5.25%, 11/15/2041 | | | 600 | | | | 578 | |
6.90%, 05/15/2053 | | | 960 | | | | 1,082 | |
Ecolab, Inc., 1.00%, 01/15/2024 | | EUR | 1,950 | | | | 2,094 | |
EIDP, Inc., 2.30%, 07/15/2030 | | | 404 | | | | 337 | |
FMC Corp., | | | | | | | | |
3.20%, 10/01/2026 | | | 10 | | | | 9 | |
5.15%, 05/18/2026 | | | 675 | | | | 664 | |
5.65%, 05/18/2033 | | | 1,390 | | | | 1,357 | |
Givaudan Finance Europe BV, (Netherlands), Reg. S, 1.00%, 04/22/2027 | | EUR | 100 | | | | 99 | |
Huntsman International LLC, 4.50%, 05/01/2029 | | | 975 | | | | 891 | |
International Flavors & Fragrances, Inc., 1.80%, 09/25/2026 | | EUR | 1,500 | | | | 1,470 | |
LANXESS AG, (Germany), Reg. S, 0.63%, 12/01/2029 | | EUR | 500 | | | | 426 | |
Linde Finance BV, (Netherlands), | | | | | | | | |
Reg. S, 0.25%, 05/19/2027 | | EUR | 1,000 | | | | 960 | |
Reg. S, 0.55%, 05/19/2032 | | EUR | 800 | | | | 672 | |
Reg. S, 1.00%, 04/20/2028 | | EUR | 1,000 | | | | 982 | |
Reg. S, 1.88%, 05/22/2024 | | EUR | 1,825 | | | | 1,960 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Chemicals — continued | | | | | | | | |
Linde plc, (Ireland), Reg. S, 1.00%, 09/30/2051 | | EUR | 1,500 | | | | 912 | |
LYB International Finance BV, (Netherlands), 4.88%, 03/15/2044 | | | 550 | | | | 483 | |
LYB International Finance II BV, (Netherlands), | | | | | | | | |
0.88%, 09/17/2026 | | EUR | 1,000 | | | | 977 | |
1.63%, 09/17/2031 | | EUR | 1,000 | | | | 885 | |
3.50%, 03/02/2027 | | | 100 | | | | 95 | |
LYB International Finance III LLC, | | | | | | | | |
3.38%, 10/01/2040 | | | 290 | | | | 213 | |
3.63%, 04/01/2051 | | | 235 | | | | 162 | |
PPG Industries, Inc., | | | | | | | | |
0.88%, 11/03/2025 | | EUR | 1,000 | | | | 1,015 | |
1.20%, 03/15/2026 | | | 35 | | | | 31 | |
1.40%, 03/13/2027 | | EUR | 1,000 | | | | 987 | |
1.88%, 06/01/2025 | | EUR | 1,500 | | | | 1,569 | |
2.75%, 06/01/2029 | | EUR | 4,200 | | | | 4,268 | |
Solvay SA, (Belgium), Reg. S, 2.75%, 12/02/2027 | | EUR | 1,000 | | | | 1,045 | |
Westlake Corp., 1.63%, 07/17/2029 | | EUR | 3,000 | | | | 2,684 | |
Yara International ASA, (Norway), 3.15%, 06/04/2030 (e) | | | 1,000 | | | | 837 | |
| | | | | | | | |
| | |
| | | | | | | 52,621 | |
| | | | | | | | |
Forest Products & Paper — 0.0% (g) | |
Georgia-Pacific LLC, 8.88%, 05/15/2031 | | | 100 | | | | 123 | |
Mondi Finance Europe GmbH, (Austria), Reg. S, 2.38%, 04/01/2028 | | EUR | 500 | | | | 506 | |
Mondi Finance plc, (United Kingdom), | | | | | | | | |
Reg. S, 1.50%, 04/15/2024 | | EUR | 500 | | | | 534 | |
Reg. S, 1.63%, 04/27/2026 | | EUR | 1,000 | | | | 1,017 | |
| | | | | | | | |
| | |
| | | | | | | 2,180 | |
| | | | | | | | |
Iron/Steel — 0.1% | |
ArcelorMittal SA, (Luxembourg), | | | | | | | | |
Reg. S, 1.75%, 11/19/2025 | | EUR | 1,500 | | | | 1,552 | |
Reg. S, 4.88%, 09/26/2026 | | EUR | 1,500 | | | | 1,668 | |
Reliance Steel & Aluminum Co., | | | | | | | | |
1.30%, 08/15/2025 | | | 320 | | | | 292 | |
2.15%, 08/15/2030 | | | 980 | | | | 798 | |
Steel Dynamics, Inc., 3.25%, 01/15/2031 | | | 4,050 | | | | 3,508 | |
| | | | | | | | |
| | |
| | | | | | | 7,818 | |
| | | | | | | | |
Mining — 0.5% | |
Anglo American Capital plc, (United Kingdom), | | | | | | | | |
Reg. S, 1.63%, 09/18/2025 | | EUR | 1,000 | | | | 1,034 | |
Reg. S, 1.63%, 03/11/2026 | | EUR | 1,000 | | | | 1,021 | |
AngloGold Ashanti Holdings plc, (Isle of Man), 3.75%, 10/01/2030 | | | 550 | | | | 472 | |
Barrick PD Australia Finance Pty Ltd., (Australia), 5.95%, 10/15/2039 | | | 920 | | | | 959 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 68 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Mining — continued | |
BHP Billiton Finance Ltd., (Australia), | | | | | | | | |
Series 10, Reg. S, 3.25%, 09/24/2027 | | EUR | 1,898 | | | | 2,022 | |
Series 12, Reg. S, 4.30%, 09/25/2042 | | GBP | 1,000 | | | | 1,062 | |
Series 13, Reg. S, 3.13%, 04/29/2033 | | EUR | 11,191 | | | | 11,243 | |
Series 17, Reg. S, 1.50%, 04/29/2030 | | EUR | 2,175 | | | | 2,010 | |
BHP Billiton Finance USA Ltd., (Australia), | | | | | | | | |
4.75%, 02/28/2028 | | | 600 | | | | 595 | |
4.90%, 02/28/2033 | | | 275 | | | | 274 | |
Freeport-McMoRan, Inc., 4.13%, 03/01/2028 | | | 1,500 | | | | 1,410 | |
Glencore Capital Finance DAC, (Ireland), Reg. S, 0.75%, 03/01/2029 | | EUR | 1,900 | | | | 1,680 | |
Glencore Finance Europe Ltd., (Jersey), | | | | | | | | |
Reg. S, 0.63%, 09/11/2024 | | EUR | 7,500 | | | | 7,809 | |
Reg. S, 1.50%, 10/15/2026 | | EUR | 3,500 | | | | 3,496 | |
Reg. S, 3.75%, 04/01/2026 | | EUR | 1,500 | | | | 1,614 | |
Kinross Gold Corp., (Canada), | | | | | | | | |
4.50%, 07/15/2027 | | | 2,500 | | | | 2,393 | |
6.25%, 07/15/2033 (e) (w) | | | 570 | | | | 564 | |
Norsk Hydro ASA, (Norway), | | | | | | | | |
Reg. S, 1.13%, 04/11/2025 | | EUR | 2,700 | | | | 2,773 | |
Reg. S, 2.00%, 04/11/2029 | | EUR | 800 | | | | 764 | |
Orano SA, (France), | | | | | | | | |
Reg. S, 2.75%, 03/08/2028 | | EUR | 100 | | | | 100 | |
Reg. S, 5.38%, 05/15/2027 | | EUR | 200 | | | | 223 | |
Rio Tinto Finance plc, (United Kingdom), Reg. S, 4.00%, 12/11/2029 | | GBP | 2,000 | | | | 2,289 | |
Rio Tinto Finance USA Ltd., (Australia), 2.75%, 11/02/2051 | | | 150 | | | | 102 | |
Rio Tinto Finance USA plc, (United Kingdom), 5.13%, 03/09/2053 | | | 315 | | | | 317 | |
Southern Copper Corp., | | | | | | | | |
3.88%, 04/23/2025 | | | 35 | | | | 34 | |
5.25%, 11/08/2042 | | | 112 | | | | 107 | |
5.88%, 04/23/2045 | | | 9 | | | | 9 | |
6.75%, 04/16/2040 | | | 10 | | | | 11 | |
Yamana Gold, Inc., (Canada), 2.63%, 08/15/2031 | | | 2,705 | | | | 2,106 | |
| | | | | | | | |
| | |
| | | | | | | 48,493 | |
| | | | | | | | |
Total Basic Materials | | | | | | | 111,112 | |
| | | | | | | | |
Communications — 2.4% | | | | | | | | |
Advertising — 0.2% | | | | | | | | |
Interpublic Group of Cos., Inc. (The), 3.38%, 03/01/2041 | | | 64 | | | | 47 | |
JCDecaux SE, (France), | | | | | | | | |
Reg. S, 1.63%, 02/07/2030 | | EUR | 1,000 | | | | 892 | |
Reg. S, 2.63%, 04/24/2028 | | EUR | 1,000 | | | | 1,004 | |
Reg. S, 5.00%, 01/11/2029 | | EUR | 4,500 | | | | 4,918 | |
MMS USA Holdings, Inc., | | | | | | | | |
Reg. S, 0.63%, 06/13/2025 | | EUR | 2,900 | | | | 2,956 | |
Reg. S, 1.25%, 06/13/2028 | | EUR | 3,700 | | | | 3,549 | |
Reg. S, 1.75%, 06/13/2031 | | EUR | 5,000 | | | | 4,629 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Advertising — continued | | | | | | | | |
Omnicom Group, Inc., 2.60%, 08/01/2031 | | | 620 | | | | 514 | |
| | | | | | | | |
| | |
| | | | | | | 18,509 | |
| | | | | | | | |
Internet — 0.5% | |
Alphabet, Inc., | | | | | | | | |
1.90%, 08/15/2040 | | | 700 | | | | 480 | |
2.25%, 08/15/2060 | | | 265 | | | | 161 | |
Amazon.com, Inc., | | | | | | | | |
3.10%, 05/12/2051 | | | 75 | | | | 56 | |
3.25%, 05/12/2061 | | | 15 | | | | 11 | |
3.45%, 04/13/2029 | | | 885 | | | | 832 | |
Booking Holdings, Inc., | | | | | | | | |
0.10%, 03/08/2025 | | EUR | 1,500 | | | | 1,532 | |
0.50%, 03/08/2028 | | EUR | 1,500 | | | | 1,403 | |
1.80%, 03/03/2027 | | EUR | 1,500 | | | | 1,518 | |
2.38%, 09/23/2024 | | EUR | 1,000 | | | | 1,068 | |
3.60%, 06/01/2026 | | | 50 | | | | 48 | |
4.63%, 04/13/2030 | | | 315 | | | | 307 | |
Expedia Group, Inc., | | | | | | | | |
3.25%, 02/15/2030 | | | 1,140 | | | | 992 | |
3.80%, 02/15/2028 | | | 700 | | | | 654 | |
4.63%, 08/01/2027 | | | 700 | | | | 678 | |
Meta Platforms, Inc., | | | | | | | | |
3.50%, 08/15/2027 | | | 240 | | | | 228 | |
3.85%, 08/15/2032 | | | 460 | | | | 427 | |
4.65%, 08/15/2062 | | | 150 | | | | 132 | |
5.60%, 05/15/2053 | | | 500 | | | | 513 | |
5.75%, 05/15/2063 | | | 455 | | | | 470 | |
Netflix, Inc., 4.63%, 05/15/2029 | | EUR | 15,000 | | | | 16,547 | |
Prosus NV, (Netherlands), | | | | | | | | |
Reg. S, 1.21%, 01/19/2026 | | EUR | 4,000 | | | | 3,960 | |
Reg. S, 1.29%, 07/13/2029 | | EUR | 9,000 | | | | 7,459 | |
Reg. S, 1.54%, 08/03/2028 | | EUR | 1,000 | | | | 895 | |
Reg. S, 1.99%, 07/13/2033 | | EUR | 5,937 | | | | 4,427 | |
Reg. S, 2.03%, 08/03/2032 | | EUR | 3,900 | | | | 3,013 | |
Reg. S, 2.09%, 01/19/2030 | | EUR | 1,000 | | | | 851 | |
Reg. S, 2.78%, 01/19/2034 | | EUR | 2,700 | | | | 2,165 | |
VeriSign, Inc., | | | | | | | | |
2.70%, 06/15/2031 | | | 1,090 | | | | 907 | |
4.75%, 07/15/2027 | | | 277 | | | | 273 | |
5.25%, 04/01/2025 | | | 267 | | | | 264 | |
| | | | | | | | |
| | |
| | | | | | | 52,271 | |
| | | | | | | | |
Media — 0.7% | |
Charter Communications Operating LLC / Charter Communications Operating Capital, | | | | | | | | |
3.70%, 04/01/2051 | | | 2,440 | | | | 1,540 | |
3.95%, 06/30/2062 | | | 330 | | | | 203 | |
4.50%, 02/01/2024 | | | 105 | | | | 104 | |
4.80%, 03/01/2050 | | | 955 | | | | 720 | |
4.91%, 07/23/2025 | | | 45 | | | | 44 | |
5.25%, 04/01/2053 | | | 50 | | | | 40 | |
5.50%, 04/01/2063 | | | 35 | | | | 28 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 69 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Media — continued | |
Comcast Corp., | | | | | | | | |
0.25%, 09/14/2029 | | EUR | 3,100 | | | | 2,743 | |
1.88%, 02/20/2036 | | GBP | 575 | | | | 487 | |
1.95%, 01/15/2031 | | | 2,875 | | | | 2,352 | |
2.35%, 01/15/2027 | | | 57 | | | | 52 | |
2.65%, 02/01/2030 | | | 530 | | | | 463 | |
2.65%, 08/15/2062 | | | 50 | | | | 30 | |
2.89%, 11/01/2051 | | | 190 | | | | 127 | |
2.99%, 11/01/2063 | | | 330 | | | | 209 | |
3.15%, 02/15/2028 | | | 298 | | | | 278 | |
3.20%, 07/15/2036 | | | 25 | | | | 20 | |
3.40%, 07/15/2046 | | | 420 | | | | 319 | |
3.75%, 04/01/2040 | | | 300 | | | | 252 | |
3.97%, 11/01/2047 | | | 145 | | | | 120 | |
4.25%, 10/15/2030 | | | 900 | | | | 866 | |
4.60%, 10/15/2038 | | | 120 | | | | 112 | |
Cox Communications, Inc., | | | | | | | | |
3.50%, 08/15/2027 (e) | | | 3,180 | | | | 2,956 | |
3.85%, 02/01/2025 (e) | | | 1,500 | | | | 1,451 | |
5.45%, 09/15/2028 (e) | | | 700 | | | | 699 | |
Discovery Communications LLC, | | | | | | | | |
4.13%, 05/15/2029 | | | 940 | | | | 858 | |
5.20%, 09/20/2047 | | | 1,100 | | | | 899 | |
FactSet Research Systems, Inc., | | | | | | | | |
2.90%, 03/01/2027 | | | 965 | | | | 885 | |
3.45%, 03/01/2032 | | | 337 | | | | 286 | |
Informa plc, (United Kingdom), | | | | | | | | |
Reg. S, 1.25%, 04/22/2028 | | EUR | 10,100 | | | | 9,539 | |
Reg. S, 2.13%, 10/06/2025 | | EUR | 7,000 | | | | 7,278 | |
Reg. S, 3.13%, 07/05/2026 | | GBP | 1,100 | | | | 1,256 | |
ITV plc, (United Kingdom), Reg. S, 1.38%, 09/26/2026 | | EUR | 1,500 | | | | 1,488 | |
Paramount Global, 4.85%, 07/01/2042 | | | 1,580 | | | | 1,168 | |
Pearson Funding plc, (United Kingdom), Reg. S, 3.75%, 06/04/2030 | | GBP | 2,475 | | | | 2,663 | |
TDF Infrastructure SASU, (France), Reg. S, 1.75%, 12/01/2029 | | EUR | 4,500 | | | | 3,939 | |
Time Warner Cable LLC, | | | | | | | | |
4.50%, 09/15/2042 | | | 300 | | | | 224 | |
5.50%, 09/01/2041 | | | 800 | | | | 664 | |
Vivendi SE, (France), Reg. S, 1.13%, 12/11/2028 | | EUR | 1,200 | | | | 1,145 | |
Walt Disney Co. (The), | | | | | | | | |
1.75%, 01/13/2026 | | | 45 | | | | 42 | |
2.00%, 09/01/2029 | | | 790 | | | | 672 | |
Wolters Kluwer NV, (Netherlands), | | | | | | | | |
Reg. S, 0.25%, 03/30/2028 | | EUR | 2,500 | | | | 2,339 | |
Reg. S, 0.75%, 07/03/2030 | | EUR | 1,475 | | | | 1,324 | |
Reg. S, 1.50%, 03/22/2027 | | EUR | 4,375 | | | | 4,401 | |
Reg. S, 2.50%, 05/13/2024 | | EUR | 1,000 | | | | 1,078 | |
Reg. S, 3.00%, 09/23/2026 | | EUR | 5,000 | | | | 5,320 | |
| | | | | | | | |
| | |
| | | | | | | 63,683 | |
| | | | | | | | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Telecommunications — 1.0% | |
America Movil SAB de CV, (Mexico), | | | | | | | | |
2.13%, 03/10/2028 | | EUR | 1,300 | | | | 1,306 | |
4.38%, 08/07/2041 | | GBP | 1,500 | | | | 1,574 | |
5.00%, 10/27/2026 | | GBP | 1,200 | | | | 1,456 | |
AT&T, Inc., | | | | | | | | |
1.65%, 02/01/2028 | | | 180 | | | | 155 | |
1.70%, 03/25/2026 | | | 1,170 | | | | 1,066 | |
1.80%, 09/05/2026 | | EUR | 2,250 | | | | 2,291 | |
2.05%, 05/19/2032 | | EUR | 200 | | | | 185 | |
2.45%, 03/15/2035 | | EUR | 825 | | | | 749 | |
3.50%, 06/01/2041 | | | 2,790 | | | | 2,135 | |
3.55%, 09/15/2055 | | | 10 | | | | 7 | |
3.65%, 06/01/2051 | | | 1,800 | | | | 1,319 | |
3.65%, 09/15/2059 | | | 390 | | | | 271 | |
3.80%, 02/15/2027 | | | 40 | | | | 38 | |
3.85%, 06/01/2060 | | | 70 | | | | 51 | |
4.25%, 06/01/2043 | | GBP | 200 | | | | 193 | |
4.30%, 11/18/2034 | | EUR | 2,500 | | | | 2,732 | |
4.30%, 12/15/2042 | | | 100 | | | | 85 | |
4.50%, 03/09/2048 | | | 15 | | | | 13 | |
4.75%, 05/15/2046 | | | 70 | | | | 62 | |
4.85%, 03/01/2039 | | | 195 | | | | 179 | |
5.40%, 02/15/2034 | | | 310 | | | | 310 | |
7.00%, 04/30/2040 | | GBP | 400 | | | | 535 | |
Bell Telephone Co. of Canada or Bell Canada (The), (Canada), | | | | | | | | |
3.65%, 08/15/2052 | | | 135 | | | | 102 | |
Series US-3, 0.75%, 03/17/2024 | | | 45 | | | | 44 | |
British Telecommunications plc, (United Kingdom), Reg. S, 1.75%, 03/10/2026 | | | EUR 3,000 | | | | 3,082 | |
Chorus Ltd., (New Zealand), Reg. S, 3.63%, 09/07/2029 | | EUR | 2,650 | | | | 2,813 | |
CK Hutchison Group Telecom Finance SA, (Luxembourg), Reg. S, 0.38%, 10/17/2023 | | | EUR 1,300 | | | | 1,403 | |
Corning, Inc., 5.45%, 11/15/2079 | | | 115 | | | | 104 | |
Elisa OYJ, (Finland), Reg. S, 0.88%, 03/17/2024 | | EUR | 100 | | | | 107 | |
Emirates Telecommunications Group Co. PJSC, (United Arab Emirates), Reg. S, 0.88%, 05/17/2033 | | | EUR 1,600 | | | | 1,308 | |
Eutelsat SA, (France), | | | | | | | | |
Reg. S, 2.00%, 10/02/2025 | | EUR | 1,000 | | | | 985 | |
Reg. S, 2.25%, 07/13/2027 | | EUR | 1,000 | | | | 902 | |
Juniper Networks, Inc., 2.00%, 12/10/2030 | | | 331 | | | | 257 | |
Koninklijke KPN NV, (Netherlands), | | | | | | | | |
Reg. S, 3.88%, 07/03/2031 (w) | | EUR | 7,100 | | | | 7,709 | |
Reg. S, 5.75%, 09/17/2029 | | GBP | 5,000 | | | | 6,073 | |
Motorola Solutions, Inc., | | | | | | | | |
2.30%, 11/15/2030 | | | 47 | | | | 38 | |
2.75%, 05/24/2031 | | | 1,670 | | | | 1,368 | |
4.60%, 05/23/2029 | | | 40 | | | | 38 | |
5.50%, 09/01/2044 | | | 975 | | | | 924 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 70 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Telecommunications — continued | |
NTT Finance Corp., (Japan), | | | | | | | | |
Reg. S, 0.01%, 03/03/2025 | | EUR | 500 | | | | 510 | |
Reg. S, 0.08%, 12/13/2025 | | EUR | 1,000 | | | | 994 | |
Reg. S, 0.34%, 03/03/2030 | | EUR | 500 | | | | 440 | |
Reg. S, 0.40%, 12/13/2028 | | EUR | 1,000 | | | | 921 | |
O2 Telefonica Deutschland Finanzierungs GmbH, (Germany), Reg. S, 1.75%, 07/05/2025 | | EUR | 1,000 | | | | 1,039 | |
Optus Finance Pty Ltd., (Australia), Reg. S, 1.00%, 06/20/2029 | | | EUR 1,400 | | | | 1,251 | |
Orange SA, (France), | | | | | | | | |
Reg. S, 0.00%, 09/04/2026 | | EUR | 2,000 | | | | 1,944 | |
Reg. S, 0.50%, 09/04/2032 | | EUR | 2,000 | | | | 1,654 | |
Reg. S, 3.25%, 01/15/2032 | | GBP | 1,100 | | | | 1,173 | |
OTE plc, (United Kingdom), Reg. S, 0.88%, 09/24/2026 | | EUR | 100 | | | | 99 | |
Proximus SADP, (Belgium), | | | | | | | | |
Reg. S, 0.75%, 11/17/2036 | | EUR | 100 | | | | 73 | |
Reg. S, 1.88%, 10/01/2025 | | EUR | 100 | | | | 104 | |
Rogers Communications, Inc., (Canada), | | | | | | | | |
3.20%, 03/15/2027 (e) | | | 257 | | | | 239 | |
3.80%, 03/15/2032 (e) | | | 68 | | | | 59 | |
4.50%, 03/15/2042 (e) | | | 251 | | | | 208 | |
4.55%, 03/15/2052 (e) | | | 192 | | | | 154 | |
SES SA, (Luxembourg), Reg. S, 3.50%, 01/14/2029 | | EUR | 2,300 | | | | 2,311 | |
Sprint LLC, | | | | | | | | |
7.63%, 02/15/2025 | | | 2,800 | | | | 2,859 | |
7.63%, 03/01/2026 | | | 2,500 | | | | 2,597 | |
Telefonaktiebolaget LM Ericsson, (Sweden), Reg. S, 1.00%, 05/26/2029 | | | EUR 2,715 | | | | 2,347 | |
Telenor ASA, (Norway), Reg. S, 0.25%, 02/14/2028 | | EUR | 1,300 | | | | 1,208 | |
Telia Co. AB, (Sweden), | | | | | | | | |
Reg. S, 2.13%, 02/20/2034 | | EUR | 700 | | | | 642 | |
Reg. S, 3.88%, 10/01/2025 | | EUR | 5,000 | | | | 5,438 | |
Telstra Corp. Ltd., (Australia), Reg. S, 1.00%, 04/23/2030 | | EUR | 3,500 | | | | 3,212 | |
Telstra Group Ltd., (Australia), Reg. S, 3.75%, 05/04/2031 | | EUR | 8,425 | | | | 9,189 | |
T-Mobile USA, Inc., | | | | | | | | |
1.50%, 02/15/2026 | | | 10 | | | | 9 | |
2.63%, 04/15/2026 | | | 510 | | | | 473 | |
3.00%, 02/15/2041 | | | 50 | | | | 36 | |
3.30%, 02/15/2051 | | | 120 | | | | 84 | |
3.60%, 11/15/2060 | | | 290 | | | | 203 | |
3.75%, 04/15/2027 | | | 380 | | | | 360 | |
3.88%, 04/15/2030 | | | 3,420 | | | | 3,150 | |
5.05%, 07/15/2033 | | | 800 | | | | 785 | |
5.20%, 01/15/2033 | | | 165 | | | | 164 | |
5.80%, 09/15/2062 | | | 310 | | | | 314 | |
Verizon Communications, Inc., | | | | | | | | |
0.88%, 04/02/2025 | | EUR | 750 | | | | 776 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Telecommunications — continued | |
0.88%, 04/08/2027 | | EUR | 475 | | | | 463 | |
1.68%, 10/30/2030 | | | 78 | | | | 62 | |
2.10%, 03/22/2028 | | | 350 | | | | 307 | |
2.36%, 03/15/2032 | | | 340 | | | | 273 | |
2.50%, 04/08/2031 | | GBP | 1,000 | | | | 1,001 | |
2.55%, 03/21/2031 | | | 650 | | | | 542 | |
2.65%, 11/20/2040 | | | 1,070 | | | | 743 | |
3.25%, 02/17/2026 | | EUR | 200 | | | | 215 | |
3.38%, 02/15/2025 | | | 90 | | | | 87 | |
3.55%, 03/22/2051 | | | 70 | | | | 52 | |
3.88%, 03/01/2052 | | | 370 | | | | 291 | |
4.02%, 12/03/2029 | | | 150 | | | | 140 | |
4.13%, 08/15/2046 | | | 80 | | | | 66 | |
4.27%, 01/15/2036 | | | 25 | | | | 23 | |
4.33%, 09/21/2028 | | | 860 | | | | 829 | |
4.40%, 11/01/2034 | | | 20 | | | | 18 | |
4.75%, 10/31/2034 | | EUR | 1,000 | | | | 1,142 | |
| | | | | | | | |
| | |
| | | | | | | 97,242 | |
| | | | | | | | |
Total Communications | | | | | | | 231,705 | |
| | | | | | | | |
Consumer Cyclical — 2.5% | |
Airlines — 0.2% | |
easyJet FinCo. BV, (Netherlands), Reg. S, 1.88%, 03/03/2028 | | EUR | 16,450 | | | | 15,650 | |
easyJet plc, (United Kingdom), Reg. S, 0.88%, 06/11/2025 | | EUR | 1,500 | | | | 1,535 | |
Ryanair DAC, (Ireland), | |
Reg. S, 0.88%, 05/25/2026 | | EUR | 1,500 | | | | 1,493 | |
Reg. S, 2.88%, 09/15/2025 | | EUR | 1,000 | | | | 1,062 | |
Southwest Airlines Co., 5.13%, 06/15/2027 | | | 1,150 | | | | 1,140 | |
United Airlines, Inc., | | | | | | | | |
4.38%, 04/15/2026 (e) | | | 525 | | | | 498 | |
4.63%, 04/15/2029 (e) | | | 360 | | | | 328 | |
| | | | | | | | |
| | |
| | | | | | | 21,706 | |
| | | | | | | | |
Apparel — 0.1% | |
Burberry Group plc, (United Kingdom), Reg. S, 1.13%, 09/21/2025 | | GBP | 825 | | | | 929 | |
LVMH Moet Hennessy Louis Vuitton SE, (France), | | | | | | | | |
Reg. S, 0.13%, 02/11/2028 | | EUR | 800 | | | | 758 | |
Reg. S, 0.75%, 04/07/2025 | | EUR | 300 | | | | 311 | |
Reg. S, 1.13%, 02/11/2027 | | GBP | 1,200 | | | | 1,304 | |
Tapestry, Inc., | | | | | | | | |
3.05%, 03/15/2032 | | | 905 | | | | 722 | |
4.13%, 07/15/2027 | | | 2,020 | | | | 1,896 | |
VF Corp., 2.40%, 04/23/2025 | | | 25 | | | | 23 | |
| | | | | | | | |
| | |
| | | | | | | 5,943 | |
| | | | | | | | |
Auto Manufacturers — 1.2% | |
American Honda Finance Corp., | | | | | | | | |
0.75%, 11/25/2026 | | GBP | 4,800 | | | | 5,095 | |
1.50%, 10/19/2027 | | GBP | 2,300 | | | | 2,433 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 71 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Auto Manufacturers — continued | |
Cummins, Inc., 2.60%, 09/01/2050 | | | 160 | | | | 103 | |
Dongfeng Motor Hong Kong International Co. Ltd., (Hong Kong), Reg. S, 0.43%, 10/19/2024 | | EUR | 600 | | | | 614 | |
Ford Motor Co., 3.25%, 02/12/2032 | | | 700 | | | | 551 | |
Ford Motor Credit Co. LLC, | | | | | | | | |
4.00%, 11/13/2030 | | | 545 | | | | 466 | |
4.95%, 05/28/2027 | | | 3,065 | | | | 2,891 | |
General Motors Co., | | | | | | | | |
5.20%, 04/01/2045 | | | 940 | | | | 800 | |
5.40%, 04/01/2048 | | | 215 | | | | 185 | |
6.25%, 10/02/2043 | | | 170 | | | | 166 | |
6.60%, 04/01/2036 | | | 520 | | | | 533 | |
General Motors Financial Co., Inc., | |
Reg. S, 1.69%, 03/26/2025 | | EUR | 1,475 | | | | 1,537 | |
1.70%, 08/18/2023 | | | 70 | | | | 69 | |
Reg. S, 2.35%, 09/03/2025 | | GBP | 8,725 | | | | 10,063 | |
2.35%, 02/26/2027 | | | 110 | | | | 98 | |
2.70%, 08/20/2027 | | | 1,450 | | | | 1,284 | |
2.70%, 06/10/2031 | | | 585 | | | | 466 | |
2.75%, 06/20/2025 | | | 980 | | | | 923 | |
2.90%, 02/26/2025 | | | 45 | | | | 43 | |
5.00%, 04/09/2027 | | | 1,120 | | | | 1,090 | |
Honda Motor Co. Ltd., (Japan), 2.53%, 03/10/2027 | | | 410 | | | | 378 | |
Mercedes-Benz Finance Canada, Inc., (Canada), Reg. S, 3.00%, 02/23/2027 | | EUR | 2,625 | | | | 2,786 | |
Mercedes-Benz Group AG, (Germany), | |
Reg. S, 1.13%, 11/06/2031 | | EUR | 15 | | | | 14 | |
Reg. S, 2.13%, 07/03/2037 | | EUR | 775 | | | | 716 | |
Mercedes-Benz International Finance BV, (Netherlands), | | | | | | | | |
Reg. S, 1.63%, 08/22/2023 | | EUR | 20 | | | | 22 | |
Reg. S, 1.63%, 11/11/2024 | | GBP | 5,000 | | | | 5,982 | |
Nissan Motor Acceptance Co. LLC, 1.13%, 09/16/2024 (e) | | | 1,600 | | | | 1,490 | |
Nissan Motor Co. Ltd., (Japan), | | | | | | | | |
Reg. S, 2.65%, 03/17/2026 | | EUR | 4,800 | | | | 4,896 | |
3.52%, 09/17/2025 (e) | | | 3,000 | | | | 2,790 | |
PACCAR Financial Europe BV, (Netherlands), Reg. S, 3.25%, 11/29/2025 | | | EUR 8,750 | | | | 9,381 | |
RCI Banque SA, (France), | |
Reg. S, 1.13%, 01/15/2027 | | EUR | 5,000 | | | | 4,849 | |
Reg. S, 4.75%, 07/06/2027 | | EUR | 2,100 | | | | 2,280 | |
Stellantis Finance US, Inc., 2.69%, 09/15/2031 (e) | | | 460 | | | | 367 | |
Stellantis NV, (Netherlands), Reg. S, 4.38%, 03/14/2030 | | EUR | 2,075 | | | | 2,264 | |
Toyota Motor Credit Corp., | | | | | | | | |
0.80%, 01/09/2026 | | | 200 | | | | 180 | |
3.65%, 08/18/2025 | | | 580 | | | | 560 | |
3.95%, 06/30/2025 | | | 175 | | | | 171 | |
4.80%, 01/10/2025 | | | 110 | | | | 109 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Auto Manufacturers — continued | |
Volkswagen Bank GmbH, (Germany), | |
Reg. S, 1.25%, 06/10/2024 | | EUR | 4,500 | | | | 4,770 | |
Reg. S, 1.25%, 12/15/2025 | | EUR | 1,000 | | | | 1,015 | |
Volkswagen Financial Services AG, (Germany), | | | | | | | | |
Reg. S, 0.00%, 02/12/2025 | | EUR | 10,000 | | | | 10,172 | |
Reg. S, 1.50%, 10/01/2024 | | EUR | 1,000 | | | | 1,057 | |
Reg. S, 2.25%, 10/16/2026 | | EUR | 10 | | | | 10 | |
Reg. S, 3.00%, 04/06/2025 | | EUR | 20 | | | | 21 | |
Reg. S, 3.38%, 04/06/2028 | | EUR | 1,450 | | | | 1,527 | |
Volkswagen Financial Services NV, (Netherlands), Reg. S, 1.13%, 07/05/2026 | | | GBP 1,000 | | | | 1,077 | |
Volkswagen Group of America Finance LLC, 4.35%, 06/08/2027 (e) | | | 1,540 | | | | 1,482 | |
Volkswagen International Finance NV, (Netherlands), | | | | | | | | |
Reg. S, 0.05%, 06/10/2024 | | EUR | 400 | | | | 420 | |
Reg. S, 3.13%, 03/28/2025 | | EUR | 1,000 | | | | 1,069 | |
Reg. S, (EUR Swap Rate 5 Year + 3.75%), 3.50%, 06/17/2025 (x) (aa) | | EUR | 1,000 | | | | 1,023 | |
Reg. S, (EUR Swap Rate 5 Year + 2.92%), 3.75%, 12/28/2027 (x) (aa) | | EUR | 1,000 | | | | 948 | |
Reg. S, (EUR Swap Rate 9 Year + 3.96%), 3.88%, 06/17/2029 (x) (aa) | | EUR | 2,000 | | | | 1,825 | |
Reg. S, 4.13%, 11/16/2038 | | EUR | 1,900 | | | | 1,977 | |
Reg. S, (EUR Swap Rate 12 Year + 2.97%), 4.63%, 03/24/2026 (x) (aa) | | EUR | 210 | | | | 218 | |
Volkswagen Leasing GmbH, (Germany), | | | | | | | | |
Reg. S, 0.00%, 07/19/2024 | | EUR | 4,000 | | | | 4,181 | |
Reg. S, 0.38%, 07/20/2026 | | EUR | 1,500 | | | | 1,450 | |
Reg. S, 0.63%, 07/19/2029 | | EUR | 1,000 | | | | 880 | |
Reg. S, 1.38%, 01/20/2025 | | EUR | 1,000 | | | | 1,042 | |
Reg. S, 1.50%, 06/19/2026 | | EUR | 10,000 | | | | 10,047 | |
| | | | | | | | |
| | |
| | | | | | | 114,856 | |
| | | | | | | | |
Auto Parts & Equipment — 0.2% | |
Autoliv, Inc., Reg. S, 4.25%, 03/15/2028 | | EUR | 2,125 | | | | 2,298 | |
BorgWarner, Inc., 1.00%, 05/19/2031 | | EUR | 1,500 | | | | 1,271 | |
Cie Generale des Etablissements Michelin SCA, (France), Reg. S, 0.63%, 11/02/2040 | | | EUR 300 | | | | 211 | |
Magna International, Inc., (Canada), | | | | | | | | |
2.45%, 06/15/2030 | | | 1,000 | | | | 847 | |
4.15%, 10/01/2025 | | | 2,000 | | | | 1,938 | |
Pirelli & C SpA, (Italy), Reg. S, 4.25%, 01/18/2028 | | EUR | 2,925 | | | | 3,138 | |
Robert Bosch GmbH, (Germany), Reg. S, 4.00%, 06/02/2035 | | EUR | 4,500 | | | | 4,978 | |
| | | | | | | | |
| | |
| | | | | | | 14,681 | |
| | | | | | | | |
Distribution/Wholesale — 0.1% | |
Bunzl Finance plc, (United Kingdom), Reg. S, 1.50%, 10/30/2030 | | | GBP 1,050 | | | | 972 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 72 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Distribution/Wholesale — continued | |
IMCD NV, (Netherlands), | | | | | | | | |
Reg. S, 2.13%, 03/31/2027 | | EUR | 4,100 | | | | 4,031 | |
LKQ Corp., 5.75%, 06/15/2028 (e) | | | 145 | | | | 144 | |
| | | | | | | | |
| | |
| | | | | | | 5,147 | |
| | | | | | | | |
Entertainment — 0.1% | |
Smithsonian Institution, 1.87%, 09/01/2029 | | | 1,000 | | | | 842 | |
Universal Music Group NV, (Netherlands), | | | | | | | | |
Reg. S, 3.00%, 06/30/2027 | | EUR | 2,050 | | | | 2,160 | |
Reg. S, 4.00%, 06/13/2031 | | EUR | 7,850 | | | | 8,532 | |
Warnermedia Holdings, Inc., | | | | | | | | |
5.05%, 03/15/2042 | | | 705 | | | | 593 | |
5.14%, 03/15/2052 | | | 1,140 | | | | 927 | |
| | | | | | | | |
| | |
| | | | | | | 13,054 | |
| | | | | | | | |
Food Service — 0.1% | |
Compass Group plc, (United Kingdom), | | | | | | | | |
Reg. S, 2.00%, 07/03/2029 | | GBP | 2,500 | | | | 2,589 | |
Reg. S, 3.85%, 06/26/2026 | | GBP | 5,000 | | | | 5,989 | |
Sodexo SA, (France), | | | | | | | | |
Reg. S, 0.75%, 04/27/2025 | | EUR | 1,000 | | | | 1,028 | |
Reg. S, 1.00%, 07/17/2028 | | EUR | 500 | | | | 482 | |
Reg. S, 1.00%, 04/27/2029 | | EUR | 1,000 | | | | 945 | |
Reg. S, 1.13%, 05/22/2025 | | EUR | 500 | | | | 516 | |
Reg. S, 2.50%, 06/24/2026 | | EUR | 500 | | | | 524 | |
| | | | | | | | |
| | |
| | | | | | | 12,073 | |
| | | | | | | | |
Home Builders — 0.0% (g) | |
Berkeley Group plc (The), (United Kingdom), Reg. S, 2.50%, 08/11/2031 | | GBP | 172 | | | | 142 | |
Lennar Corp., 5.00%, 06/15/2027 | | | 230 | | | | 225 | |
MDC Holdings, Inc., 2.50%, 01/15/2031 | | | 340 | | | | 267 | |
NVR, Inc., 3.00%, 05/15/2030 | | | 1,039 | | | | 900 | |
Toll Brothers Finance Corp., 3.80%, 11/01/2029 | | | 670 | | | | 600 | |
| | | | | | | | |
| | |
| | | | | | | 2,134 | |
| | | | | | | | |
Housewares — 0.0% (g) | |
Newell Brands, Inc., | | | | | | | | |
4.70%, 04/01/2026 | | | 120 | | | | 113 | |
4.88%, 06/01/2025 | | | 155 | | | | 149 | |
| | | | | | | | |
| | |
| | | | | | | 262 | |
| | | | | | | | |
Leisure Time — 0.0% (g) | |
Brunswick Corp., 5.10%, 04/01/2052 | | | 180 | | | | 133 | |
| | | | | | | | |
Lodging — 0.2% | |
Choice Hotels International, Inc., 3.70%, 12/01/2029 | | | 101 | | | | 87 | |
Hyatt Hotels Corp., | | | | | | | | |
1.80%, 10/01/2024 | | | 400 | | | | 381 | |
4.38%, 09/15/2028 | | | 100 | | | | 94 | |
5.75%, 04/23/2030 | | | 363 | | | | 363 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Lodging — continued | |
InterContinental Hotels Group plc, (United Kingdom), | | | | | | | | |
Reg. S, 1.63%, 10/08/2024 | | EUR | 1,500 | | | | 1,581 | |
Reg. S, 2.13%, 08/24/2026 | | GBP | 600 | | | | 658 | |
Reg. S, 2.13%, 05/15/2027 | | EUR | 4,933 | | | | 4,989 | |
Reg. S, 3.38%, 10/08/2028 | | GBP | 450 | | | | 484 | |
Reg. S, 3.75%, 08/14/2025 | | GBP | 2,100 | | | | 2,497 | |
Marriott International, Inc., | | | | | | | | |
5.00%, 10/15/2027 | | | 995 | | | | 987 | |
Series HH, 2.85%, 04/15/2031 | | | 550 | | | | 462 | |
Whitbread Group plc, (United Kingdom), | | | | | | | | |
Reg. S, 2.38%, 05/31/2027 | | GBP | 1,500 | | | | 1,584 | |
Reg. S, 3.00%, 05/31/2031 | | GBP | 7,000 | | | | 6,798 | |
| | | | | | | | |
| | |
| | | | | | | 20,965 | |
| | | | | | | | |
Retail — 0.3% | |
AutoNation, Inc., | | | | | | | | |
1.95%, 08/01/2028 | | | 166 | | | | 134 | |
4.75%, 06/01/2030 | | | 1,300 | | | | 1,213 | |
AutoZone, Inc., | | | | | | | | |
1.65%, 01/15/2031 | | | 2,595 | | | | 2,024 | |
4.75%, 02/01/2033 | | | 850 | | | | 814 | |
Costco Wholesale Corp., 1.60%, 04/20/2030 | | | 40 | | | | 33 | |
Dick’s Sporting Goods, Inc., | | | | | | | | |
3.15%, 01/15/2032 | | | 360 | | | | 295 | |
4.10%, 01/15/2052 | | | 505 | | | | 350 | |
Genuine Parts Co., | | | | | | | | |
1.75%, 02/01/2025 | | | 400 | | | | 375 | |
1.88%, 11/01/2030 | | | 270 | | | | 211 | |
2.75%, 02/01/2032 | | | 1,265 | | | | 1,038 | |
Greene King Finance plc, (United Kingdom), Series A2, 5.32%, 09/15/2031 | | GBP | 28 | | | | 31 | |
H&M Finance BV, (Netherlands), Reg. S, 0.25%, 08/25/2029 | | EUR | 1,500 | | | | 1,321 | |
Home Depot, Inc. (The), | | | | | | | | |
2.50%, 04/15/2027 | | | 100 | | | | 93 | |
3.50%, 09/15/2056 | | | 95 | | | | 73 | |
3.63%, 04/15/2052 | | | 280 | | | | 222 | |
4.20%, 04/01/2043 | | | 1,050 | | | | 937 | |
5.88%, 12/16/2036 | | | 90 | | | | 98 | |
Lowe’s Cos., Inc., | | | | | | | | |
3.00%, 10/15/2050 | | | 50 | | | | 33 | |
3.35%, 04/01/2027 | | | 40 | | | | 38 | |
4.50%, 04/15/2030 | | | 100 | | | | 97 | |
5.80%, 09/15/2062 | | | 75 | | | | 74 | |
McDonald’s Corp., | | | | | | | | |
Reg. S, 0.90%, 06/15/2026 | | EUR | 1,500 | | | | 1,508 | |
Reg. S, 1.75%, 05/03/2028 | | EUR | 1,000 | | | | 998 | |
Reg. S, 1.88%, 05/26/2027 | | EUR | 1,000 | | | | 1,015 | |
Reg. S, 2.38%, 11/27/2024 | | EUR | 1,500 | | | | 1,605 | |
Reg. S, 2.38%, 05/31/2029 | | EUR | 1,500 | | | | 1,517 | |
2.63%, 09/01/2029 | | | 165 | | | | 146 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 73 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Retail — continued | |
3.38%, 05/26/2025 | | | 50 | | | | 48 | |
3.63%, 09/01/2049 | | | 747 | | | | 588 | |
4.45%, 09/01/2048 | | | 13 | | | | 12 | |
4.60%, 05/26/2045 | | | 150 | | | | 137 | |
5.15%, 09/09/2052 | | | 365 | | | | 363 | |
6.30%, 03/01/2038 | | | 50 | | | | 55 | |
Pandora A/S, (Denmark), Reg. S, 4.50%, 04/10/2028 | | EUR | 6,225 | | | | 6,767 | |
Roadster Finance DAC, (Ireland), | | | | | | | | |
Reg. S, 1.63%, 12/09/2024 | | EUR | 500 | | | | 495 | |
Reg. S, 2.38%, 12/08/2027 | | EUR | 500 | | | | 432 | |
Starbucks Corp., 4.75%, 02/15/2026 | | | 245 | | | | 243 | |
Tractor Supply Co., 5.25%, 05/15/2033 | | | 320 | | | | 317 | |
Walmart, Inc., | | | | | | | | |
2.55%, 04/08/2026 | | EUR | 2,550 | | | | 2,708 | |
2.65%, 09/22/2051 | | | 20 | | | | 14 | |
Wesfarmers Ltd., (Australia), Reg. S, 0.95%, 10/21/2033 | | EUR | 2,381 | | | | 1,947 | |
| | | | | | | | |
| | |
| | | | | | | 30,419 | |
| | | | | | | | |
Total Consumer Cyclical | | | | | | | 241,373 | |
| | | | | | | | |
Consumer Non-cyclical — 5.8% | |
Agriculture — 0.9% | |
Altria Group, Inc., | | | | | | | | |
1.70%, 06/15/2025 | | EUR | 2,000 | | | | 2,075 | |
2.20%, 06/15/2027 | | EUR | 4,800 | | | | 4,858 | |
3.13%, 06/15/2031 | | EUR | 2,000 | | | | 1,877 | |
3.40%, 02/04/2041 | | | 525 | | | | 366 | |
3.70%, 02/04/2051 | | | 470 | | | | 314 | |
3.88%, 09/16/2046 | | | 40 | | | | 28 | |
4.00%, 02/04/2061 | | | 550 | | | | 379 | |
5.38%, 01/31/2044 | | | 65 | | | | 61 | |
5.95%, 02/14/2049 | | | 10 | | | | 9 | |
6.20%, 02/14/2059 | | | 28 | | | | 27 | |
Archer-Daniels-Midland Co., 1.00%, 09/12/2025 | | EUR | 1,500 | | | | 1,535 | |
BAT Capital Corp., | |
Reg. S, 1.13%, 11/16/2023 | | EUR | 100 | | | | 108 | |
2.26%, 03/25/2028 | | | 100 | | | | 86 | |
2.79%, 09/06/2024 | | | 485 | | | | 466 | |
3.22%, 08/15/2024 | | | 100 | | | | 97 | |
3.56%, 08/15/2027 | | | 2,450 | | | | 2,249 | |
3.73%, 09/25/2040 | | | 45 | | | | 32 | |
4.54%, 08/15/2047 | | | 110 | | | | 81 | |
4.76%, 09/06/2049 | | | 85 | | | | 64 | |
BAT International Finance plc, (United Kingdom), | | | | | | | | |
Reg. S, 1.25%, 03/13/2027 | | EUR | 3,000 | | | | 2,959 | |
Reg. S, 2.00%, 03/13/2045 | | EUR | 800 | | | | 492 | |
Reg. S, 2.25%, 06/26/2028 | | GBP | 2,000 | | | | 2,026 | |
Reg. S, 2.25%, 01/16/2030 | | EUR | 2,500 | | | | 2,277 | |
Reg. S, 2.25%, 09/09/2052 | | GBP | 1,500 | | | | 745 | |
Reg. S, 3.13%, 03/06/2029 | | EUR | 2,500 | | | | 2,511 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Agriculture — continued | |
3.95%, 06/15/2025 (e) | | | 70 | | | | 67 | |
Reg. S, 4.00%, 09/04/2026 | | GBP | 3,450 | | | | 3,996 | |
4.45%, 03/16/2028 | | | 150 | | | | 142 | |
Reg. S, 6.00%, 11/24/2034 | | GBP | 600 | | | | 663 | |
Cargill, Inc., | | | | | | | | |
1.70%, 02/02/2031 (e) (jj) | | | 750 | | | | 597 | |
2.13%, 04/23/2030 (e) (jj) | | | 1,500 | | | | 1,255 | |
Imperial Brands Finance plc, (United Kingdom), | | | | | | | | |
Reg. S, 3.38%, 02/26/2026 | | EUR | 6,161 | | | | 6,529 | |
Reg. S, 5.50%, 09/28/2026 | | GBP | 4,000 | | | | 4,836 | |
JT International Financial Services BV, (Netherlands), | | | | | | | | |
Reg. S, 1.00%, 11/26/2029 | | EUR | 6,100 | | | | 5,489 | |
Reg. S, 1.13%, 09/28/2025 | | EUR | 6,600 | | | | 6,720 | |
Reg. S, (EUR Swap Rate 5 Year + 2.79%), 2.38%, 04/07/2081 (aa) | | | EUR 3,000 | | | | 2,995 | |
Reg. S, 2.75%, 09/28/2033 | | GBP | 9,475 | | | | 8,788 | |
Reg. S, (EUR Swap Rate 5 Year + 3.18%), 2.88%, 10/07/2083 (aa) | | | EUR 2,500 | | | | 2,370 | |
Philip Morris International, Inc., | | | | | | | | |
0.13%, 08/03/2026 | | EUR | 1,000 | | | | 972 | |
0.80%, 08/01/2031 | | EUR | 1,000 | | | | 825 | |
0.88%, 05/01/2026 | | | 100 | | | | 89 | |
1.50%, 05/01/2025 | | | 34 | | | | 32 | |
1.75%, 11/01/2030 | | | 70 | | | | 55 | |
2.88%, 05/14/2029 | | EUR | 1,250 | | | | 1,288 | |
3.13%, 06/03/2033 | | EUR | 1,000 | | | | 1,007 | |
4.25%, 11/10/2044 | | | 1,665 | | | | 1,380 | |
4.88%, 11/15/2043 | | | 105 | | | | 94 | |
5.38%, 02/15/2033 | | | 910 | | | | 908 | |
6.38%, 05/16/2038 | | | 655 | | | | 713 | |
STG Global Finance BV, (Netherlands), Reg. S, 1.38%, 09/24/2025 | | EUR | 344 | | | | 343 | |
Sudzucker International Finance BV, (Netherlands), | | | | | | | | |
Reg. S, 1.00%, 11/28/2025 | | EUR | 2,500 | | | | 2,552 | |
Reg. S, 5.13%, 10/31/2027 | | EUR | 500 | | | | 560 | |
Viterra Finance BV, (Netherlands), | | | | | | | | |
Reg. S, 0.38%, 09/24/2025 | | EUR | 1,000 | | | | 994 | |
Reg. S, 1.00%, 09/24/2028 | | EUR | 2,050 | | | | 1,881 | |
| | | | | | | | |
| | |
| | | | | | | 83,862 | |
| | | | | | | | |
Beverages — 0.9% | |
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc., | | | | | | | | |
3.65%, 02/01/2026 | | | 50 | | | | 48 | |
4.70%, 02/01/2036 | | | 1,700 | | | | 1,653 | |
4.90%, 02/01/2046 | | | 1,655 | | | | 1,577 | |
Anheuser-Busch InBev SA, (Belgium), | | | | | | | | |
Reg. S, 2.75%, 03/17/2036 | | EUR | 10 | | | | 10 | |
Reg. S, 9.75%, 07/30/2024 | | GBP | 8,000 | | | | 10,511 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 74 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Beverages — continued | |
Anheuser-Busch InBev Worldwide, Inc., | | | | | | | | |
4.00%, 04/13/2028 | | | 500 | | | | 483 | |
4.35%, 06/01/2040 | | | 100 | | | | 92 | |
Carlsberg Breweries A/S, (Denmark), Reg. S, 3.50%, 11/26/2026 | | EUR | 4,100 | | | | 4,423 | |
CCEP Finance Ireland DAC, (Ireland), | | | | | | | | |
Reg. S, 0.00%, 09/06/2025 | | EUR | 3,000 | | | | 3,003 | |
Reg. S, 0.50%, 09/06/2029 | | EUR | 2,400 | | | | 2,159 | |
Coca-Cola Co. (The), | | | | | | | | |
0.13%, 03/09/2029 | | EUR | 4,800 | | | | 4,343 | |
0.13%, 03/15/2029 | | EUR | 3,300 | | | | 2,982 | |
0.50%, 03/09/2033 | | EUR | 3,000 | | | | 2,468 | |
1.00%, 03/09/2041 | | EUR | 800 | | | | 572 | |
1.25%, 03/08/2031 | | EUR | 1,000 | | | | 928 | |
1.63%, 03/09/2035 | | EUR | 1,000 | | | | 896 | |
2.50%, 06/01/2040 | | | 90 | | | | 68 | |
2.75%, 06/01/2060 | | | 355 | | | | 244 | |
3.00%, 03/05/2051 | | | 320 | | | | 243 | |
3.45%, 03/25/2030 | | | 640 | | | | 604 | |
Coca-Cola Europacific Partners plc, (United Kingdom), | | | | | | | | |
Reg. S, 0.20%, 12/02/2028 | | EUR | 3,000 | | | | 2,713 | |
Reg. S, 1.13%, 04/12/2029 | | EUR | 1,000 | | | | 947 | |
Reg. S, 1.75%, 03/27/2026 | | EUR | 2,000 | | | | 2,063 | |
Reg. S, 2.38%, 05/07/2025 | | EUR | 3,900 | | | | 4,130 | |
Coca-Cola HBC Finance BV, (Netherlands), Reg. S, 1.63%, 05/14/2031 | | | EUR 1,900 | | | | 1,767 | |
Constellation Brands, Inc., | | | | | | | | |
2.25%, 08/01/2031 | | | 50 | | | | 41 | |
4.35%, 05/09/2027 | | | 285 | | | | 278 | |
Diageo Capital BV, (Netherlands), Reg. S, 0.13%, 09/28/2028 | | EUR | 4,000 | | | | 3,680 | |
Diageo Capital plc, (United Kingdom), | | | | | | | | |
2.13%, 04/29/2032 | | | 1,220 | | | | 991 | |
3.88%, 04/29/2043 | | | 10 | | | | 8 | |
5.30%, 10/24/2027 | | | 630 | | | | 640 | |
5.50%, 01/24/2033 | | | 200 | | | | 211 | |
Diageo Finance plc, (United Kingdom), | | | | | | | | |
Reg. S, 1.25%, 03/28/2033 | | GBP | 3,000 | | | | 2,641 | |
Reg. S, 1.88%, 03/27/2027 | | EUR | 1,000 | | | | 1,026 | |
Reg. S, 2.50%, 03/27/2032 | | EUR | 600 | | | | 599 | |
Reg. S, 2.75%, 06/08/2038 | | GBP | 625 | | | | 577 | |
Diageo Investment Corp., 4.25%, 05/11/2042 | | | 20 | | | | 18 | |
Heineken NV, (Netherlands), Reg. S, 2.88%, 08/04/2025 | | EUR | 1,300 | | | | 1,392 | |
PepsiCo., Inc., | | | | | | | | |
0.40%, 10/09/2032 | | EUR | 6,900 | | | | 5,733 | |
0.50%, 05/06/2028 | | EUR | 1,000 | | | | 947 | |
0.75%, 10/14/2033 | | EUR | 3,950 | | | | 3,309 | |
0.88%, 10/16/2039 | | EUR | 1,000 | | | | 736 | |
1.13%, 03/18/2031 | | EUR | 1,000 | | | | 920 | |
1.63%, 05/01/2030 | | | 230 | | | | 191 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Beverages — continued | |
2.63%, 07/29/2029 | | | 440 | | | | 396 | |
2.88%, 10/15/2049 | | | 65 | | | | 49 | |
3.20%, 07/22/2029 | | GBP | 750 | | | | 835 | |
3.45%, 10/06/2046 | | | 315 | | | | 259 | |
3.55%, 07/22/2034 | | GBP | 1,400 | | | | 1,510 | |
3.60%, 02/18/2028 | | | 55 | | | | 53 | |
4.00%, 05/02/2047 | | | 85 | | | | 78 | |
4.20%, 07/18/2052 | | | 440 | | | | 409 | |
4.65%, 02/15/2053 | | | 510 | | | | 512 | |
Pernod Ricard SA, (France), | | | | | | | | |
Reg. S, 1.13%, 04/07/2025 | | EUR | 3,100 | | | | 3,226 | |
Reg. S, 3.25%, 11/02/2028 | | EUR | 1,500 | | | | 1,610 | |
| | | | | | | | |
| | |
| | | | | | | 81,802 | |
| | | | | | | | |
Biotechnology — 0.1% | |
Amgen, Inc., | | | | | | | | |
1.90%, 02/21/2025 | | | 200 | | | | 189 | |
4.05%, 08/18/2029 | | | 845 | | | | 799 | |
4.40%, 02/22/2062 | | | 55 | | | | 45 | |
4.66%, 06/15/2051 | | | 10 | | | | 9 | |
5.15%, 03/02/2028 | | | 110 | | | | 110 | |
5.25%, 03/02/2033 | | | 1,505 | | | | 1,507 | |
5.60%, 03/02/2043 | | | 615 | | | | 616 | |
5.65%, 03/02/2053 | | | 450 | | | | 455 | |
Biogen, Inc., | | | | | | | | |
2.25%, 05/01/2030 | | | 115 | | | | 96 | |
3.15%, 05/01/2050 | | | 580 | | | | 396 | |
3.25%, 02/15/2051 | | | 135 | | | | 94 | |
H Lundbeck A/S, (Denmark), Reg. S, 0.88%, 10/14/2027 | | EUR | 4,000 | | | | 3,783 | |
Regeneron Pharmaceuticals, Inc., | | | | | | | | |
1.75%, 09/15/2030 | | | 840 | | | | 669 | |
2.80%, 09/15/2050 | | | 155 | | | | 100 | |
Royalty Pharma plc, (United Kingdom), 1.20%, 09/02/2025 | | | 320 | | | | 288 | |
| | | | | | | | |
| | |
| | | | | | | 9,156 | |
| | | | | | | | |
Commercial Services — 1.5% | |
Abertis Infraestructuras SA, (Spain), Reg. S, 3.38%, 11/27/2026 | | GBP | 10,400 | | | | 11,732 | |
ALD SA, (France), Reg. S, 1.25%, 03/02/2026 | | EUR | 3,000 | | | | 3,024 | |
Amadeus IT Group SA, (Spain), | |
Reg. S, 0.88%, 09/18/2023 | | EUR | 2,000 | | | | 2,167 | |
Reg. S, 1.50%, 09/18/2026 | | EUR | 1,000 | | | | 1,017 | |
Reg. S, 2.50%, 05/20/2024 | | EUR | 1,000 | | | | 1,074 | |
Reg. S, 2.88%, 05/20/2027 | | EUR | 500 | | | | 525 | |
American University (The), Series 2019, 3.67%, 04/01/2049 | | | 80 | | | | 64 | |
APRR SA, (France), Reg. S, 1.88%, 01/03/2029 | | EUR | 4,000 | | | | 3,980 | |
ASTM SpA, (Italy), | | | | | | | | |
Reg. S, 1.00%, 11/25/2026 | | EUR | 1,000 | | | | 972 | |
Reg. S, 1.50%, 01/25/2030 | | EUR | 1,000 | | | | 885 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 75 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Commercial Services — continued | |
Reg. S, 1.63%, 02/08/2028 | | EUR | 500 | | | | 482 | |
Automatic Data Processing, Inc., | | | | | | | | |
1.25%, 09/01/2030 | | | 90 | | | | 73 | |
1.70%, 05/15/2028 | | | 630 | | | | 552 | |
Autoroutes du Sud de la France SA, (France), Reg. S, 1.25%, 01/18/2027 | | EUR | 3,900 | | | | 3,917 | |
Autostrade per l’Italia SpA, (Italy), | | | | | | | | |
Reg. S, 1.63%, 01/25/2028 | | EUR | 7,000 | | | | 6,701 | |
Reg. S, 1.75%, 06/26/2026 | | EUR | 7,000 | | | | 7,055 | |
Reg. S, 2.25%, 01/25/2032 | | EUR | 7,000 | | | | 6,192 | |
Babcock International Group plc, (United Kingdom), Reg. S, 1.38%, 09/13/2027 | | EUR | 1,000 | | | | 964 | |
California Institute of Technology, 4.70%, 11/01/2111 | | | 25 | | | | 22 | |
Case Western Reserve University, Series 22-C, 5.41%, 06/01/2122 | | | 50 | | | | 48 | |
Central Nippon Expressway Co. Ltd., (Japan), | | | | | | | | |
Reg. S, 0.89%, 09/29/2025 | | | 600 | | | | 539 | |
Reg. S, 0.89%, 12/10/2025 | | | 200 | | | | 178 | |
Reg. S, 1.87%, 09/26/2024 | | AUD | 1,000 | | | | 636 | |
Channel Link Enterprises Finance plc, (United Kingdom), Series A8, Reg. S, (ICE LIBOR EUR 6 Month + 5.90%), 2.71%, 06/30/2050 (aa) | | EUR | 100 | | | | 98 | |
Cintas Corp. No. 2, 3.70%, 04/01/2027 | | | 30 | | | | 29 | |
Claremont Mckenna College, 3.78%, 01/01/2122 | | | 50 | | | | 35 | |
Duke University, Series 2020, 2.68%, 10/01/2044 | | | 20 | | | | 15 | |
East Nippon Expressway Co. Ltd., (Japan), Series 66, 0.10%, 12/18/2026 | | JPY | 100,000 | | | | 690 | |
Edenred, (France), | | | | | | | | |
Reg. S, 1.38%, 03/10/2025 | | EUR | 1,000 | | | | 1,045 | |
Reg. S, 1.38%, 06/18/2029 | | EUR | 1,000 | | | | 957 | |
Reg. S, 1.88%, 03/06/2026 | | EUR | 500 | | | | 519 | |
Equifax, Inc., 3.10%, 05/15/2030 | | | 1,800 | | | | 1,552 | |
ERAC USA Finance LLC, | | | | | | | | |
3.85%, 11/15/2024 (e) | | | 160 | | | | 156 | |
4.50%, 02/15/2045 (e) | | | 400 | | | | 347 | |
4.60%, 05/01/2028 (e) | | | 1,100 | | | | 1,068 | |
4.90%, 05/01/2033 (e) | | | 865 | | | | 845 | |
7.00%, 10/15/2037 (e) | | | 800 | | | | 913 | |
Experian Finance plc, (United Kingdom), | | | | | | | | |
Reg. S, 0.74%, 10/29/2025 | | GBP | 600 | | | | 671 | |
Reg. S, 1.38%, 06/25/2026 | | EUR | 2,625 | | | | 2,657 | |
Reg. S, 3.25%, 04/07/2032 | | GBP | 425 | | | | 449 | |
George Washington University (The), Series 2014, 4.30%, 09/15/2044 | | | 30 | | | | 27 | |
Global Payments, Inc., 4.88%, 03/17/2031 | | EUR | 2,050 | | | | 2,223 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Commercial Services — continued | |
Holding d’Infrastructures de Transport SASU, (France), | | | | | | | | |
Reg. S, 0.63%, 09/14/2028 | | EUR | 300 | | | | 272 | |
Reg. S, 2.50%, 05/04/2027 | | EUR | 1,600 | | | | 1,629 | |
ISS Global A/S, (Denmark), Reg. S, 2.13%, 12/02/2024 | | EUR | 3,500 | | | | 3,699 | |
Johns Hopkins University, Series A, 2.81%, 01/01/2060 | | | 600 | | | | 394 | |
ManpowerGroup, Inc., | | | | | | | | |
Reg. S, 1.75%, 06/22/2026 | | EUR | 1,000 | | | | 1,019 | |
Reg. S, 3.50%, 06/30/2027 | | EUR | 500 | | | | 533 | |
Massachusetts Institute of Technology, | | | | | | | | |
3.89%, 07/01/2116 | | | 663 | | | | 509 | |
4.68%, 07/01/2114 | | | 650 | | | | 605 | |
Series F, 2.99%, 07/01/2050 | | | 20 | | | | 15 | |
Moody’s Corp., 1.75%, 03/09/2027 | | EUR | 1,125 | | | | 1,139 | |
Northwestern University, Series 2020, 2.64%, 12/01/2050 | | | 10 | | | | 7 | |
President and Fellows of Harvard College, 2.52%, 10/15/2050 | | | 10 | | | | 7 | |
Prosegur Cash SA, (Spain), Reg. S, 1.38%, 02/04/2026 | | EUR | 1,500 | | | | 1,526 | |
Prosegur Cia de Seguridad SA, (Spain), Reg. S, 2.50%, 04/06/2029 | | EUR | 1,000 | | | | 980 | |
Quanta Services, Inc., | | | | | | | | |
2.35%, 01/15/2032 | | | 520 | | | | 409 | |
3.05%, 10/01/2041 | | | 150 | | | | 104 | |
RELX Capital, Inc., | | | | | | | | |
1.30%, 05/12/2025 | | EUR | 500 | | | | 517 | |
4.75%, 05/20/2032 | | | 610 | | | | 598 | |
RELX Finance BV, (Netherlands), | |
Reg. S, zero coupon, 03/18/2024 | | EUR | 100 | | | | 106 | |
Reg. S, 0.50%, 03/10/2028 | | EUR | 500 | | | | 469 | |
Reg. S, 0.88%, 03/10/2032 | | EUR | 16,800 | | | | 14,348 | |
Reg. S, 1.38%, 05/12/2026 | | EUR | 1,000 | | | | 1,017 | |
Reg. S, 1.50%, 05/13/2027 | | EUR | 4,500 | | | | 4,506 | |
Reg. S, 3.75%, 06/12/2031 | | EUR | 5,000 | | | | 5,447 | |
Rentokil Initial Finance BV, (Netherlands), | | | | | | | | |
Reg. S, 3.88%, 06/27/2027 | | EUR | 2,325 | | | | 2,518 | |
Reg. S, 4.38%, 06/27/2030 | | EUR | 1,900 | | | | 2,098 | |
Rentokil Initial plc, (United Kingdom), | | | | | | | | |
Reg. S, 0.50%, 10/14/2028 | | EUR | 1,000 | | | | 913 | |
Reg. S, 5.00%, 06/27/2032 | | GBP | 4,000 | | | | 4,694 | |
Rockefeller Foundation (The), Series 2020, 2.49%, 10/01/2050 | | | 5 | | | | 3 | |
S&P Global, Inc., | | | | | | | | |
2.30%, 08/15/2060 | | | 351 | | | | 203 | |
2.45%, 03/01/2027 | | | 335 | | | | 309 | |
SGS Nederland Holding BV, (Netherlands), Reg. S, 0.13%, 04/21/2027 | | EUR | 2,500 | | | | 2,365 | |
Thomas Jefferson University, 3.85%, 11/01/2057 | | | 50 | | | | 36 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 76 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Commercial Services — continued | |
Transurban Finance Co. Pty Ltd., (Australia), | | | | | | | | |
Reg. S, 1.45%, 05/16/2029 | | EUR | 2,000 | | | | 1,897 | |
Reg. S, 1.75%, 03/29/2028 | | EUR | 5,000 | | | | 4,946 | |
Reg. S, 1.88%, 09/16/2024 | | EUR | 1,000 | | | | 1,062 | |
Reg. S, 2.00%, 08/28/2025 | | EUR | 3,000 | | | | 3,125 | |
Reg. S, 3.00%, 04/08/2030 | | EUR | 3,100 | | | | 3,172 | |
Reg. S, 4.23%, 04/26/2033 | | EUR | 7,050 | | | | 7,769 | |
Triton Container International Ltd. / TAL International Container Corp., (Bermuda), 3.25%, 03/15/2032 | | | 201 | | | | 157 | |
Trustees of Princeton University (The), | | | | | | | | |
4.20%, 03/01/2052 | | | 1,295 | | | | 1,203 | |
Series 2020, 2.52%, 07/01/2050 | | | 20 | | | | 13 | |
University of Oxford, (United Kingdom), Reg. S, 2.54%, 12/08/2117 | | GBP | 1,500 | | | | 992 | |
University of Southern California, | | | | | | | | |
2.81%, 10/01/2050 | | | 20 | | | | 14 | |
Series 21A, 2.95%, 10/01/2051 | | | 10 | | | | 7 | |
Verisk Analytics, Inc., 5.50%, 06/15/2045 | | | 143 | | | | 136 | |
Washington University (The), | | | | | | | | |
4.35%, 04/15/2122 | | | 255 | | | | 212 | |
Series 2022, 3.52%, 04/15/2054 | | | 900 | | | | 728 | |
Wellcome Trust Ltd. (The), (United Kingdom), | | | | | | | | |
Reg. S, 1.50%, 07/14/2071 | | GBP | 1,500 | | | | 750 | |
Reg. S, 2.52%, 02/07/2118 | | GBP | 200 | | | | 131 | |
West Nippon Expressway Co. Ltd., (Japan), Series 29, 0.31%, 02/12/2026 | | JPY | 200,000 | | | | 1,391 | |
Worldline SA, (France), | | | | | | | | |
Reg. S, 0.25%, 09/18/2024 | | EUR | 500 | | | | 520 | |
Reg. S, 0.88%, 06/30/2027 | | EUR | 1,500 | | | | 1,454 | |
| | | | | | | | |
| | |
| | | | | | | 149,768 | |
| | | | | | | | |
Cosmetics/Personal Care — 0.4% | |
Colgate-Palmolive Co., 3.25%, 08/15/2032 | | | 340 | | | | 312 | |
Estee Lauder Cos., Inc. (The), | | | | | | | | |
2.60%, 04/15/2030 | | | 60 | | | | 52 | |
3.13%, 12/01/2049 | | | 100 | | | | 73 | |
Procter & Gamble Co. (The), | | | | | | | | |
0.35%, 05/05/2030 | | EUR | 2,800 | | | | 2,496 | |
0.63%, 10/30/2024 | | EUR | 1,450 | | | | 1,515 | |
1.88%, 10/30/2038 | | EUR | 1,125 | | | | 1,007 | |
2.70%, 02/02/2026 | | | 70 | | | | 67 | |
3.60%, 03/25/2050 | | | 35 | | | | 29 | |
4.88%, 05/11/2027 | | EUR | 425 | | | | 488 | |
Reckitt Benckiser Treasury Services Nederland BV, (Netherlands), Reg. S, 0.75%, 05/19/2030 | | EUR | 200 | | | | 183 | |
Unilever Capital Corp., Reg. S, 3.40%, 06/06/2033 | | EUR | 13,450 | | | | 14,426 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Cosmetics/Personal Care — continued | |
Unilever Finance Netherlands BV, (Netherlands), | | | | | | | | |
Reg. S, 0.75%, 02/28/2026 | | EUR | 2,475 | | | | 2,509 | |
Reg. S, 1.13%, 02/12/2027 | | EUR | 825 | | | | 826 | |
Reg. S, 1.13%, 04/29/2028 | | EUR | 1,000 | | | | 977 | |
Reg. S, 1.25%, 02/28/2031 | | EUR | 1,500 | | | | 1,394 | |
Reg. S, 1.75%, 11/16/2028 | | EUR | 6,000 | | | | 6,010 | |
Reg. S, 1.75%, 03/25/2030 | | EUR | 1,000 | | | | 980 | |
Reg. S, 3.50%, 02/23/2035 | | EUR | 7,150 | | | | 7,738 | |
| | | | | | | | |
| | |
| | | | | | | 41,082 | |
| | | | | | | | |
Food — 0.6% | |
Campbell Soup Co., 3.95%, 03/15/2025 | | | 310 | | | | 301 | |
Conagra Brands, Inc., | | | | | | | | |
5.30%, 11/01/2038 | | | 245 | | | | 235 | |
5.40%, 11/01/2048 | | | 35 | | | | 33 | |
Danone SA, (France), Reg. S, 0.52%, 11/09/2030 | | EUR | 5,800 | | | | 5,112 | |
General Mills, Inc., | | | | | | | | |
0.13%, 11/15/2025 | | EUR | 1,000 | | | | 996 | |
0.45%, 01/15/2026 | | EUR | 3,000 | | | | 2,997 | |
2.88%, 04/15/2030 | | | 1,010 | | | | 897 | |
3.00%, 02/01/2051 | | | 30 | | | | 21 | |
3.91%, 04/13/2029 | | EUR | 18,025 | | | | 19,669 | |
4.95%, 03/29/2033 | | | 230 | | | | 228 | |
5.24%, 11/18/2025 | | | 150 | | | | 150 | |
Hershey Co. (The), | | | | | | | | |
0.90%, 06/01/2025 | | | 255 | | | | 235 | |
1.70%, 06/01/2030 | | | 322 | | | | 267 | |
2.30%, 08/15/2026 | | | 70 | | | | 65 | |
2.65%, 06/01/2050 | | | 10 | | | | 7 | |
4.50%, 05/04/2033 | | | 640 | | | | 635 | |
Hormel Foods Corp., 1.70%, 06/03/2028 | | | 281 | | | | 244 | |
JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., (Multinational), | | | | | | | | |
3.00%, 05/15/2032 (e) | | | 575 | | | | 441 | |
5.75%, 04/01/2033 (e) | | | 1,020 | | | | 952 | |
Kellogg Co., | | | | | | | | |
0.50%, 05/20/2029 | | EUR | 1,500 | | | | 1,342 | |
1.00%, 05/17/2024 | | EUR | 500 | | | | 532 | |
1.25%, 03/10/2025 | | EUR | 500 | | | | 522 | |
2.10%, 06/01/2030 | | | 40 | | | | 33 | |
Kerry Group Financial Services Unltd Co., (Ireland), Reg. S, 2.38%, 09/10/2025 | | EUR | 2,700 | | | | 2,871 | |
Koninklijke Ahold Delhaize NV, (Netherlands), Reg. S, 3.50%, 04/04/2028 | | EUR | 2,150 | | | | 2,323 | |
Kraft Heinz Foods Co., | |
Reg. S, 1.50%, 05/24/2024 | | EUR | 1,000 | | | | 1,066 | |
Reg. S, 2.25%, 05/25/2028 | | EUR | 1,000 | | | | 1,008 | |
3.88%, 05/15/2027 | | | 665 | | | | 638 | |
Reg. S, 4.13%, 07/01/2027 | | GBP | 5,000 | | | | 5,867 | |
4.38%, 06/01/2046 | | | 175 | | | | 149 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 77 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Food — continued | |
5.00%, 06/04/2042 | | | 5 | | | | 5 | |
5.50%, 06/01/2050 | | | 100 | | | | 99 | |
Kroger Co. (The), 3.95%, 01/15/2050 | | | 5 | | | | 4 | |
Mars, Inc., 2.38%, 07/16/2040 (e) | | | 1,200 | | | | 823 | |
Mondelez International Holdings Netherlands BV, (Netherlands), | | | | | | | | |
Reg. S, 0.25%, 09/09/2029 | | EUR | 1,000 | | | | 887 | |
Reg. S, 0.38%, 09/22/2029 | | EUR | 200 | | | | 178 | |
Reg. S, 0.63%, 09/09/2032 | | EUR | 1,000 | | | | 831 | |
Mondelez International, Inc., | | | | | | | | |
0.25%, 03/17/2028 | | EUR | 1,000 | | | | 929 | |
0.75%, 03/17/2033 | | EUR | 500 | | | | 410 | |
1.50%, 02/04/2031 | | | 1,000 | | | | 784 | |
Nestle Finance International Ltd., (Luxembourg), | | | | | | | | |
Reg. S, 0.00%, 06/14/2026 | | EUR | 1,500 | | | | 1,479 | |
Reg. S, 1.25%, 03/29/2031 | | EUR | 1,200 | | | | 1,131 | |
Tesco Corporate Treasury Services plc, (United Kingdom), | | | | | | | | |
Reg. S, 0.88%, 05/29/2026 | | EUR | 1,500 | | | | 1,493 | |
Reg. S, 1.88%, 11/02/2028 | | GBP | 1,300 | | | | 1,318 | |
Reg. S, 2.75%, 04/27/2030 | | GBP | 825 | | | | 844 | |
Woolworths Group Ltd., (Australia), Reg. S, 0.38%, 11/15/2028 | | | EUR 1,500 | | | | 1,354 | |
| | | | | | | | |
| | |
| | | | | | | 62,405 | |
| | | | | | | | |
Healthcare — Products — 0.3% | |
Abbott Laboratories, 4.90%, 11/30/2046 | | | 685 | | | | 690 | |
Alcon Finance BV, (Netherlands), Reg. S, 2.38%, 05/31/2028 | | EUR | 200 | | | | 202 | |
American Medical Systems Europe BV, (Netherlands), 0.75%, 03/08/2025 | | | EUR 1,300 | | | | 1,342 | |
Becton Dickinson Euro Finance Sarl, (Luxembourg), | | | | | | | | |
1.21%, 06/04/2026 | | EUR | 825 | | | | 833 | |
1.34%, 08/13/2041 | | EUR | 2,000 | | | | 1,390 | |
Boston Scientific Corp., | | | | | | | | |
0.63%, 12/01/2027 | | EUR | 800 | | | | 763 | |
3.45%, 03/01/2024 | | | 44 | | | | 43 | |
Danaher Corp., 2.80%, 12/10/2051 | | | 105 | | | | 72 | |
DH Europe Finance II Sarl, (Luxembourg), | | | | | | | | |
0.20%, 03/18/2026 | | EUR | 3,775 | | | | 3,731 | |
3.40%, 11/15/2049 | | | 30 | | | | 24 | |
Edwards Lifesciences Corp., 4.30%, 06/15/2028 | | | 705 | | | | 681 | |
GE HealthCare Technologies, Inc., | | | | | | | | |
5.55%, 11/15/2024 | | | 700 | | | | 697 | |
5.60%, 11/15/2025 | | | 100 | | | | 100 | |
6.38%, 11/22/2052 | | | 310 | | | | 344 | |
Medtronic Global Holdings SCA, (Luxembourg), | | | | | | | | |
1.13%, 03/07/2027 | | EUR | 4,000 | | | | 3,973 | |
1.63%, 10/15/2050 | | EUR | 900 | | | | 595 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Healthcare — Products — continued | |
1.75%, 07/02/2049 | | EUR | 900 | | | | 622 | |
3.00%, 10/15/2028 | | EUR | 3,400 | | | | 3,589 | |
3.38%, 10/15/2034 | | EUR | 4,200 | | | | 4,398 | |
Molnlycke Holding AB, (Sweden), Reg. S, 1.88%, 02/28/2025 | | EUR | 1,900 | | | | 1,989 | |
Smith & Nephew plc, (United Kingdom), 4.57%, 10/11/2029 | | EUR | 1,500 | | | | 1,659 | |
Stryker Corp., 1.00%, 12/03/2031 | | EUR | 1,300 | | | | 1,121 | |
Thermo Fisher Scientific Finance I BV, (Netherlands), 1.13%, 10/18/2033 | | | EUR 1,000 | | | | 845 | |
Thermo Fisher Scientific, Inc., | | | | | | | | |
1.22%, 10/18/2024 | | | 80 | | | | 76 | |
1.88%, 10/01/2049 | | EUR | 900 | | | | 632 | |
Werfen SA, (Spain), Reg. S, 0.50%, 10/28/2026 | | EUR | 1,200 | | | | 1,145 | |
Zimmer Biomet Holdings, Inc., | | | | | | | | |
1.16%, 11/15/2027 | | EUR | 1,000 | | | | 966 | |
2.43%, 12/13/2026 | | EUR | 500 | | | | 516 | |
| | | | | | | | |
| | |
| | | | | | | 33,038 | |
| | | | | | | | |
Healthcare — Services — 0.3% | |
Advocate Health & Hospitals Corp., 3.39%, 10/15/2049 | | | 35 | | | | 26 | |
Aetna, Inc., 3.50%, 11/15/2024 | | | 58 | | | | 56 | |
AHS Hospital Corp., Series 2021, 2.78%, 07/01/2051 | | | 755 | | | | 493 | |
Allina Health System, Series 2019, 3.89%, 04/15/2049 | | | 40 | | | | 32 | |
Ascension Health, 3.95%, 11/15/2046 | | | 140 | | | | 117 | |
Banner Health, 2.91%, 01/01/2042 | | | 100 | | | | 73 | |
Beth Israel Lahey Health, Inc., Series L, 3.08%, 07/01/2051 | | | 7 | | | | 5 | |
City of Hope, Series 2013, 5.62%, 11/15/2043 | | | 35 | | | | 35 | |
Cleveland Clinic Foundation (The), 4.86%, 01/01/2114 | | | 1,000 | | | | 898 | |
CommonSpirit Health, 3.91%, 10/01/2050 | | | 368 | | | | 284 | |
Duke University Health System, Inc., Series 2017, 3.92%, 06/01/2047 | | | 50 | | | | 42 | |
Elevance Health, Inc., | | | | | | | | |
2.88%, 09/15/2029 | | | 545 | | | | 480 | |
3.35%, 12/01/2024 | | | 100 | | | | 97 | |
4.90%, 02/08/2026 | | | 130 | | | | 128 | |
Eurofins Scientific SE, (Luxembourg), Reg. S, 2.13%, 07/25/2024 | | | EUR 796 | | | | 849 | |
Hackensack Meridian Health, Inc., | | | | | | | | |
Series 2020, 2.68%, 09/01/2041 | | | 1,385 | | | | 985 | |
Series 2020, 2.88%, 09/01/2050 | | | 35 | | | | 23 | |
HCA, Inc., | | | | | | | | |
3.13%, 03/15/2027 (e) | | | 2,560 | | | | 2,351 | |
3.50%, 09/01/2030 | | | 560 | | | | 490 | |
3.50%, 07/15/2051 | | | 185 | | | | 128 | |
4.63%, 03/15/2052 (e) | | | 1,270 | | | | 1,042 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 78 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Healthcare — Services — continued | | | | | | | | |
5.13%, 06/15/2039 | | | 355 | | | | 329 | |
5.20%, 06/01/2028 | | | 240 | | | | 238 | |
5.25%, 06/15/2049 | | | 285 | | | | 257 | |
5.38%, 02/01/2025 | | | 375 | | | | 372 | |
5.90%, 06/01/2053 | | | 300 | | | | 297 | |
Health Care Service Corp. A Mutual Legal Reserve Co., 2.20%, 06/01/2030 (e) | | | 1,400 | | | | 1,156 | |
Humana, Inc., | | | | | | | | |
0.65%, 08/03/2023 | | | 175 | | | | 174 | |
3.70%, 03/23/2029 | | | 80 | | | | 73 | |
3.85%, 10/01/2024 | | | 50 | | | | 49 | |
5.70%, 03/13/2026 | | | 480 | | | | 480 | |
5.75%, 03/01/2028 | | | 500 | | | | 509 | |
Kaiser Foundation Hospitals, | | | | | | | | |
4.15%, 05/01/2047 | | | 1,200 | | | | 1,046 | |
Series 2021, 3.00%, 06/01/2051 | | | 250 | | | | 175 | |
Lonza Finance International NV, (Belgium), Reg. S, 1.63%, 04/21/2027 | | EUR | 2,800 | | | | 2,822 | |
Mayo Clinic, | | | | | | | | |
3.77%, 11/15/2043 | | | 30 | | | | 25 | |
Series 2013, 4.00%, 11/15/2047 | | | 25 | | | | 21 | |
Series 2021, 3.20%, 11/15/2061 | | | 440 | | | | 298 | |
Memorial Health Services, 3.45%, 11/01/2049 | | | 10 | | | | 7 | |
Memorial Sloan-Kettering Cancer Center, 4.13%, 07/01/2052 | | | 50 | | | | 42 | |
Methodist Hospital (The), Series 20A, 2.71%, 12/01/2050 | | | 1,500 | | | | 971 | |
MultiCare Health System, 2.80%, 08/15/2050 | | | 1,000 | | | | 606 | |
MyMichigan Health, Series 2020, 3.41%, 06/01/2050 | | | 1,498 | | | | 1,069 | |
New York and Presbyterian Hospital (The), | | | | | | | | |
2.26%, 08/01/2040 | | | 1,090 | | | | 732 | |
4.02%, 08/01/2045 | | | 70 | | | | 59 | |
Northwell Healthcare, Inc., 4.26%, 11/01/2047 | | | 25 | | | | 20 | |
OhioHealth Corp., | | | | | | | | |
2.30%, 11/15/2031 | | | 830 | | | | 677 | |
2.83%, 11/15/2041 | | | 370 | | | | 267 | |
Series 2020, 3.04%, 11/15/2050 | | | 535 | | | | 383 | |
PeaceHealth Obligated Group, | | | | | | | | |
Series 2020, 1.38%, 11/15/2025 | | | 700 | | | | 631 | |
Series 2020, 3.22%, 11/15/2050 | | | 749 | | | | 504 | |
Piedmont Healthcare, Inc., | | | | | | | | |
2.86%, 01/01/2052 | | | 3 | | | | 2 | |
Series 2032, 2.04%, 01/01/2032 | | | 470 | | | | 370 | |
Series 2042, 2.72%, 01/01/2042 | | | 453 | | | | 313 | |
Presbyterian Healthcare Services, 4.88%, 08/01/2052 | | | 100 | | | | 97 | |
Providence St Joseph Health Obligated Group, Series 21A, 2.70%, 10/01/2051 | | | 150 | | | | 90 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Healthcare — Services — continued | | | | | | | | |
Sentara Healthcare, Series 2021, 2.93%, 11/01/2051 | | | 2,365 | | | | 1,593 | |
Texas Health Resources, 2.33%, 11/15/2050 | | | 750 | | | | 438 | |
Trinity Health Corp., Series 2021, 2.63%, 12/01/2040 | | | 233 | | | | 165 | |
UMass Memorial Health Care Obligated Group, 5.36%, 07/01/2052 | | | 5 | | | | 5 | |
UnitedHealth Group, Inc., | | | | | | | | |
2.00%, 05/15/2030 | | | 160 | | | | 135 | |
2.95%, 10/15/2027 | | | 130 | | | | 121 | |
3.13%, 05/15/2060 | | | 160 | | | | 111 | |
3.45%, 01/15/2027 | | | 70 | | | | 67 | |
3.70%, 05/15/2027 | | | 75 | | | | 72 | |
3.70%, 08/15/2049 | | | 1,100 | | | | 882 | |
3.75%, 07/15/2025 | | | 20 | | | | 20 | |
3.85%, 06/15/2028 | | | 70 | | | | 67 | |
3.88%, 08/15/2059 | | | 50 | | | | 41 | |
4.00%, 05/15/2029 | | | 250 | | | | 239 | |
4.25%, 01/15/2029 | | | 370 | | | | 359 | |
4.25%, 03/15/2043 | | | 120 | | | | 109 | |
4.50%, 04/15/2033 | | | 150 | | | | 146 | |
5.00%, 10/15/2024 | | | 30 | | | | 30 | |
5.05%, 04/15/2053 | | | 400 | | | | 397 | |
5.15%, 10/15/2025 | | | 15 | | | | 15 | |
5.20%, 04/15/2063 | | | 1,350 | | | | 1,345 | |
5.25%, 02/15/2028 | | | 320 | | | | 326 | |
5.30%, 02/15/2030 | | | 220 | | | | 225 | |
5.35%, 02/15/2033 | | | 330 | | | | 343 | |
5.88%, 02/15/2053 | | | 130 | | | | 144 | |
6.05%, 02/15/2063 | | | 520 | | | | 587 | |
Universal Health Services, Inc., 2.65%, 10/15/2030 | | | 132 | | | | 107 | |
West Virginia United Health System Obligated Group, Series 2020, 3.13%, 06/01/2050 | | | 50 | | | | 33 | |
Yale-New Haven Health Services Corp., Series 2020, 2.50%, 07/01/2050 | | | 50 | | | | 30 | |
| | | | | | | | |
| | |
| | | | | | | 31,947 | |
| | | | | | | | |
Household Products/Wares — 0.1% | |
Clorox Co. (The), 1.80%, 05/15/2030 | | | 10 | | | | 8 | |
Henkel AG & Co. KGaA, (Germany), Reg. S, 0.50%, 11/17/2032 | | EUR | 1,000 | | | | 837 | |
Kimberly-Clark Corp., | | | | | | | | |
0.63%, 09/07/2024 | | EUR | 1,500 | | | | 1,574 | |
2.88%, 02/07/2050 | | | 165 | | | | 119 | |
Reckitt Benckiser Treasury Services plc, (United Kingdom), Reg. S, 1.75%, 05/19/2032 | | GBP | 2,175 | | | | 2,068 | |
| | | | | | | | |
| | |
| | | | | | | 4,606 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 79 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Pharmaceuticals — 0.7% | |
AbbVie, Inc., | | | | | | | | |
2.60%, 11/21/2024 | | | 345 | | | | 331 | |
3.20%, 11/21/2029 | | | 5,460 | | | | 4,933 | |
3.85%, 06/15/2024 | | | 150 | | | | 148 | |
4.05%, 11/21/2039 | | | 230 | | | | 200 | |
4.25%, 11/21/2049 | | | 480 | | | | 413 | |
4.40%, 11/06/2042 | | | 25 | | | | 22 | |
4.50%, 05/14/2035 | | | 25 | | | | 24 | |
4.70%, 05/14/2045 | | | 25 | | | | 23 | |
AmerisourceBergen Corp., | | | | | | | | |
3.25%, 03/01/2025 | | | 640 | | | | 614 | |
3.45%, 12/15/2027 | | | 5 | | | | 5 | |
4.25%, 03/01/2045 | | | 195 | | | | 161 | |
4.30%, 12/15/2047 | | | 25 | | | | 21 | |
Astrazeneca Finance LLC, | | | | | | | | |
0.70%, 05/28/2024 | | | 105 | | | | 100 | |
1.75%, 05/28/2028 | | | 480 | | | | 416 | |
AstraZeneca plc, (United Kingdom), | | | | | | | | |
Reg. S, 0.38%, 06/03/2029 | | EUR | 1,500 | | | | 1,360 | |
Reg. S, 1.25%, 05/12/2028 | | EUR | 1,000 | | | | 975 | |
1.38%, 08/06/2030 | | | 300 | | | | 241 | |
4.38%, 11/16/2045 | | | 90 | | | | 84 | |
Bayer AG, (Germany), | | | | | | | | |
Reg. S, 0.38%, 01/12/2029 | | EUR | 1,900 | | | | 1,711 | |
Reg. S, 0.63%, 07/12/2031 | | EUR | 1,900 | | | | 1,589 | |
Reg. S, 1.13%, 01/06/2030 | | EUR | 1,000 | | | | 906 | |
Bayer Capital Corp. BV, (Netherlands), Reg. S, 2.13%, 12/15/2029 | | EUR | 600 | | | | 581 | |
Becton Dickinson & Co., | | | | | | | | |
3.79%, 05/20/2050 | | | 100 | | | | 79 | |
4.30%, 08/22/2032 | | | 35 | | | | 33 | |
Bristol-Myers Squibb Co., | | | | | | | | |
1.45%, 11/13/2030 | | | 200 | | | | 161 | |
2.35%, 11/13/2040 | | | 75 | | | | 53 | |
2.55%, 11/13/2050 | | | 140 | | | | 91 | |
3.40%, 07/26/2029 | | | 710 | | | | 659 | |
3.45%, 11/15/2027 | | | 70 | | | | 67 | |
3.70%, 03/15/2052 | | | 360 | | | | 292 | |
3.90%, 03/15/2062 | | | 190 | | | | 152 | |
4.13%, 06/15/2039 | | | 495 | | | | 450 | |
4.55%, 02/20/2048 | | | 8 | | | | 7 | |
Cardinal Health, Inc., | | | | | | | | |
3.08%, 06/15/2024 | | | 10 | | | | 10 | |
4.50%, 11/15/2044 | | | 45 | | | | 36 | |
Cigna Group (The), | | | | | | | | |
2.40%, 03/15/2030 | | | 75 | | | | 64 | |
4.90%, 12/15/2048 | | | 800 | | | | 743 | |
CVS Health Corp., | | | | | | | | |
1.30%, 08/21/2027 | | | 40 | | | | 35 | |
2.63%, 08/15/2024 | | | 60 | | | | 58 | |
3.25%, 08/15/2029 | | | 300 | | | | 269 | |
4.25%, 04/01/2050 | | | 70 | | | | 58 | |
5.05%, 03/25/2048 | | | 1,200 | | | | 1,104 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Pharmaceuticals — continued | |
Eli Lilly & Co., | | | | | | | | |
0.50%, 09/14/2033 | | EUR | 1,500 | | | | 1,234 | |
0.63%, 11/01/2031 | | EUR | 4,800 | | | | 4,179 | |
1.13%, 09/14/2051 | | EUR | 3,500 | | | | 2,191 | |
1.38%, 09/14/2061 | | EUR | 2,875 | | | | 1,650 | |
1.63%, 06/02/2026 | | EUR | 1,500 | | | | 1,541 | |
1.70%, 11/01/2049 | | EUR | 2,500 | | | | 1,894 | |
3.38%, 03/15/2029 | | | 130 | | | | 122 | |
4.88%, 02/27/2053 | | | 400 | | | | 410 | |
4.95%, 02/27/2063 | | | 210 | | | | 214 | |
GlaxoSmithKline Capital plc, (United Kingdom), | | | | | | | | |
5.25%, 12/19/2033 | | GBP | 640 | | | | 807 | |
Reg. S, 5.25%, 04/10/2042 | | GBP | 150 | | | | 185 | |
Johnson & Johnson, | | | | | | | | |
0.95%, 09/01/2027 | | | 105 | | | | 92 | |
1.15%, 11/20/2028 | | EUR | 1,000 | | | | 973 | |
2.10%, 09/01/2040 | | | 10 | | | | 7 | |
2.45%, 09/01/2060 | | | 290 | | | | 187 | |
3.40%, 01/15/2038 | | | 50 | | | | 44 | |
3.55%, 03/01/2036 | | | 15 | | | | 13 | |
McKesson Corp., | | | | | | | | |
0.90%, 12/03/2025 | | | 70 | | | | 63 | |
1.50%, 11/17/2025 | | EUR | 1,000 | | | | 1,029 | |
1.63%, 10/30/2026 | | EUR | 2,000 | | | | 2,027 | |
3.13%, 02/17/2029 | | GBP | 1,925 | | | | 2,074 | |
5.25%, 02/15/2026 | | | 510 | | | | 508 | |
Merck & Co., Inc., | | | | | | | | |
0.50%, 11/02/2024 | | EUR | 1,000 | | | | 1,043 | |
1.38%, 11/02/2036 | | EUR | 1,000 | | | | 837 | |
1.88%, 10/15/2026 | | EUR | 1,900 | | | | 1,955 | |
1.90%, 12/10/2028 | | | 977 | | | | 853 | |
2.35%, 06/24/2040 | | | 50 | | | | 36 | |
2.50%, 10/15/2034 | | EUR | 500 | | | | 493 | |
2.75%, 12/10/2051 | | | 30 | | | | 21 | |
2.90%, 12/10/2061 | | | 355 | | | | 235 | |
3.40%, 03/07/2029 | | | 280 | | | | 262 | |
3.70%, 02/10/2045 | | | 60 | | | | 51 | |
3.90%, 03/07/2039 | | | 150 | | | | 134 | |
4.00%, 03/07/2049 | | | 40 | | | | 35 | |
4.30%, 05/17/2030 | | | 200 | | | | 196 | |
4.90%, 05/17/2044 | | | 485 | | | | 485 | |
5.00%, 05/17/2053 | | | 120 | | | | 121 | |
5.15%, 05/17/2063 | | | 275 | | | | 280 | |
Merck Financial Services GmbH, (Germany), Reg. S, 0.13%, 07/16/2025 | | | EUR 1,000 | | | | 1,012 | |
Merck KGaA, (Germany), Reg. S, (ICE EURIBOR Swap Rate 5 Year + 2.94%), 2.88%, 06/25/2079 (aa) | | EUR | 200 | | | | 191 | |
Mylan, Inc., 5.20%, 04/15/2048 | | | 30 | | | | 23 | |
Novartis Capital Corp., | | | | | | | | |
2.75%, 08/14/2050 | | | 176 | | | | 128 | |
3.10%, 05/17/2027 | | | 37 | | | | 35 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 80 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Pharmaceuticals — continued | |
Novartis Finance SA, (Luxembourg), | | | | | | | | |
Reg. S, 0.00%, 09/23/2028 | | EUR | 2,000 | | | | 1,836 | |
Reg. S, 0.63%, 09/20/2028 | | EUR | 1,000 | | | | 949 | |
Reg. S, 1.13%, 09/30/2027 | | EUR | 1,000 | | | | 991 | |
Reg. S, 1.38%, 08/14/2030 | | EUR | 1,000 | | | | 961 | |
Reg. S, 1.70%, 08/14/2038 | | EUR | 1,000 | | | | 881 | |
Novo Nordisk Finance Netherlands BV, (Netherlands), | | | | | | | | |
Reg. S, 0.75%, 03/31/2025 | | EUR | 1,000 | | | | 1,033 | |
Reg. S, 1.13%, 09/30/2027 | | EUR | 1,000 | | | | 994 | |
Reg. S, 1.38%, 03/31/2030 | | EUR | 1,000 | | | | 965 | |
Pfizer Investment Enterprises Pte Ltd., (Singapore), | | | | | | | | |
4.45%, 05/19/2026 | | | 50 | | | | 49 | |
4.45%, 05/19/2028 | | | 70 | | | | 69 | |
4.65%, 05/19/2025 | | | 50 | | | | 50 | |
4.65%, 05/19/2030 | | | 70 | | | | 69 | |
4.75%, 05/19/2033 | | | 70 | | | | 70 | |
5.30%, 05/19/2053 | | | 120 | | | | 125 | |
5.34%, 05/19/2063 | | | 50 | | | | 50 | |
Pfizer, Inc., | | | | | | | | |
2.75%, 06/03/2026 | | | 145 | | | | 137 | |
3.00%, 12/15/2026 | | | 920 | | | | 868 | |
5.60%, 09/15/2040 | | | 100 | | | | 108 | |
Roche Finance Europe BV, (Netherlands), Reg. S, 0.88%, 02/25/2025 | | | EUR 1,600 | | | | 1,676 | |
Sanofi, (France), Series 20FX, Reg. S, 1.88%, 03/21/2038 | | EUR | 800 | | | | 733 | |
Takeda Pharmaceutical Co. Ltd., (Japan), Reg. S, 3.00%, 11/21/2030 | | | EUR 1,000 | | | | 1,024 | |
Upjohn Finance BV, (Netherlands), | | | | | | | | |
Reg. S, 1.02%, 06/23/2024 | | EUR | 1,000 | | | | 1,055 | |
Reg. S, 1.36%, 06/23/2027 | | EUR | 1,000 | | | | 963 | |
Reg. S, 1.91%, 06/23/2032 | | EUR | 400 | | | | 335 | |
Utah Acquisition Sub, Inc., | | | | | | | | |
Reg. S, 2.25%, 11/22/2024 | | EUR | 1,000 | | | | 1,057 | |
3.95%, 06/15/2026 | | | 30 | | | | 28 | |
Viatris, Inc., | | | | | | | | |
3.85%, 06/22/2040 | | | 2,200 | | | | 1,518 | |
4.00%, 06/22/2050 | | | 170 | | | | 112 | |
Zoetis, Inc., | | | | | | | | |
3.90%, 08/20/2028 | | | 40 | | | | 39 | |
4.70%, 02/01/2043 | | | 245 | | | | 227 | |
5.40%, 11/14/2025 | | | 330 | | | | 331 | |
| | | | | | | | |
| | |
| | | | | | | 68,452 | |
| | | | | | | | |
Total Consumer Non-cyclical | | | | | | | 566,118 | |
| | | | | | | | |
Energy — 1.6% | |
Coal — 0.0% (g) | |
Teck Resources Ltd., (Canada), 5.40%, 02/01/2043 | | | 1,100 | | | | 995 | |
| | | | | | | | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Energy — Alternate Sources — 0.1% | |
ERG SpA, (Italy), | | | | | | | | |
Reg. S, 0.50%, 09/11/2027 | | EUR | 5,000 | | | | 4,728 | |
Reg. S, 0.88%, 09/15/2031 | | EUR | 1,300 | | | | 1,093 | |
| | | | | | | | |
| | |
| | | | | | | 5,821 | |
| | | | | | | | |
Oil & Gas — 1.1% | |
Aker BP ASA, (Norway), | | | | | | | | |
2.00%, 07/15/2026 (e) | | | 915 | | | | 822 | |
3.10%, 07/15/2031 (e) | | | 1,585 | | | | 1,311 | |
5.60%, 06/13/2028 (e) | | | 795 | | | | 788 | |
6.00%, 06/13/2033 (e) | | | 715 | | | | 714 | |
BP Capital Markets BV, (Netherlands), Reg. S, 4.32%, 05/12/2035 | | | EUR 4,650 | | | | 5,059 | |
BP Capital Markets plc, (United Kingdom), | | | | | | | | |
Reg. S, 1.64%, 06/26/2029 | | EUR | 1,000 | | | | 964 | |
Reg. S, 2.27%, 07/03/2026 | | GBP | 2,000 | | | | 2,286 | |
Reg. S, (EUR Swap Rate 5 Year + 3.88%), 3.25%, 03/22/2026 (x) (aa) | | EUR | 1,500 | | | | 1,506 | |
Reg. S, (EUR Swap Rate 5 Year + 4.12%), 3.63%, 03/22/2029 (x) (aa) | | EUR | 1,300 | | | | 1,233 | |
Reg. S, (UK Gilts 5 Year + 4.17%), 4.25%, 03/22/2027 (x) (aa) | | | GBP 7,900 | | | | 8,817 | |
Canadian Natural Resources Ltd., (Canada), 6.50%, 02/15/2037 | | | 145 | | | | 147 | |
Cepsa Finance SA, (Spain), Reg. S, 2.25%, 02/13/2026 | | EUR | 100 | | | | 103 | |
Chevron Corp., 1.55%, 05/11/2025 | | | 75 | | | | 70 | |
Chevron USA, Inc., 1.02%, 08/12/2027 | | | 100 | | | | 87 | |
CNOOC Petroleum North America ULC, (Canada), 6.40%, 05/15/2037 | | | 60 | | | | 66 | |
Continental Resources, Inc., 4.90%, 06/01/2044 | | | 35 | | | | 27 | |
Devon Energy Corp., 5.88%, 06/15/2028 | | | 1,750 | | | | 1,744 | |
Diamondback Energy, Inc., | | | | | | | | |
3.13%, 03/24/2031 | | | 2,400 | | | | 2,058 | |
6.25%, 03/15/2033 | | | 350 | | | | 362 | |
Eni SpA, (Italy), | | | | | | | | |
Reg. S, 0.63%, 01/23/2030 | | EUR | 500 | | | | 439 | |
Reg. S, 1.00%, 10/11/2034 | | EUR | 1,900 | | | | 1,514 | |
Reg. S, 1.25%, 05/18/2026 | | EUR | 9,200 | | | | 9,292 | |
Reg. S, 1.50%, 02/02/2026 | | EUR | 1,000 | | | | 1,026 | |
Reg. S, 1.50%, 01/17/2027 | | EUR | 2,700 | | | | 2,716 | |
Reg. S, 1.63%, 05/17/2028 | | EUR | 1,000 | | | | 981 | |
Reg. S, 2.00%, 05/18/2031 | | EUR | 500 | | | | 470 | |
EQT Corp., | | | | | | | | |
3.13%, 05/15/2026 (e) | | | 65 | | | | 59 | |
5.70%, 04/01/2028 | | | 400 | | | | 395 | |
6.13%, 02/01/2025 | | | 17 | | | | 17 | |
Equinor ASA, (Norway), | | | | | | | | |
Reg. S, 0.75%, 11/09/2026 | | EUR | 1,000 | | | | 988 | |
Reg. S, 1.38%, 05/22/2032 | | EUR | 825 | | | | 746 | |
Reg. S, 1.63%, 11/09/2036 | | EUR | 2,000 | | | | 1,701 | |
1.75%, 01/22/2026 | | | 200 | | | | 184 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 81 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Oil & Gas — continued | |
2.38%, 05/22/2030 | | | 260 | | | | 226 | |
3.25%, 11/18/2049 | | | 30 | | | | 22 | |
3.63%, 04/06/2040 | | | 1,800 | | | | 1,508 | |
3.70%, 04/06/2050 | | | 165 | | | | 134 | |
Reg. S, 6.88%, 03/11/2031 | | GBP | 150 | | | | 207 | |
Exxon Mobil Corp., | | | | | | | | |
0.14%, 06/26/2024 | | EUR | 1,500 | | | | 1,576 | |
0.84%, 06/26/2032 | | EUR | 1,050 | | | | 887 | |
1.41%, 06/26/2039 | | EUR | 2,200 | | | | 1,607 | |
3.45%, 04/15/2051 | | | 545 | | | | 423 | |
Helmerich & Payne, Inc., 2.90%, 09/29/2031 | | | 700 | | | | 564 | |
Hess Corp., | | | | | | | | |
3.50%, 07/15/2024 | | | 10 | | | | 10 | |
5.60%, 02/15/2041 | | | 120 | | | | 115 | |
5.80%, 04/01/2047 | | | 16 | | | | 15 | |
Marathon Petroleum Corp., | | | | | | | | |
3.80%, 04/01/2028 | | | 250 | | | | 232 | |
4.50%, 04/01/2048 | | | 15 | | | | 12 | |
5.00%, 09/15/2054 | | | 125 | | | | 103 | |
MOL Hungarian Oil & Gas plc, (Hungary), Reg. S, 1.50%, 10/08/2027 | | EUR | 5,200 | | | | 4,925 | |
OMV AG, (Austria), Reg. S, (EUR Swap Rate 5 Year + 2.83%), 2.50%, 06/01/2026 (x) (aa) | | EUR | 4,000 | | | | 3,923 | |
Ovintiv, Inc., | | | | | | | | |
5.65%, 05/15/2025 | | | 735 | | | | 729 | |
5.65%, 05/15/2028 | | | 715 | | | | 700 | |
Petroleos Mexicanos, (Mexico), (ICE LIBOR USD 3 Month + 0.43%), 5.75%, 02/15/2024 (aa) | | | 225 | | | | 225 | |
Pioneer Natural Resources Co., | | | | | | | | |
1.90%, 08/15/2030 | | | 1,050 | | | | 851 | |
5.10%, 03/29/2026 | | | 620 | | | | 616 | |
Polski Koncern Naftowy ORLEN SA, (Poland), Reg. S, 1.13%, 05/27/2028 | | | EUR 1,300 | | | | 1,207 | |
Shell International Finance BV, (Netherlands), | | | | | | | | |
Reg. S, 1.63%, 01/20/2027 | | EUR | 3,900 | | | | 3,950 | |
Reg. S, 1.88%, 09/15/2025 | | EUR | 1,000 | | | | 1,047 | |
Reg. S, 1.88%, 04/07/2032 | | EUR | 1,000 | | | | 937 | |
3.00%, 11/26/2051 | | | 380 | | | | 267 | |
6.38%, 12/15/2038 | | | 115 | | | | 129 | |
TotalEnergies Capital International SA, (France), | | | | | | | | |
Reg. S, 0.95%, 05/18/2031 | | EUR | 1,000 | | | | 897 | |
Reg. S, 1.38%, 10/04/2029 | | EUR | 2,000 | | | | 1,904 | |
Reg. S, 1.49%, 09/04/2030 | | EUR | 1,000 | | | | 945 | |
Reg. S, 1.54%, 05/31/2039 | | EUR | 1,000 | | | | 812 | |
Reg. S, 1.62%, 05/18/2040 | | EUR | 1,000 | | | | 789 | |
TotalEnergies SE, (France), | | | | | | | | |
Reg. S, (EUR Swap Rate 5 Year + 1.90%), 2.00%, 01/17/2027 (x) (aa) | | EUR | 2,000 | | | | 1,900 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Oil & Gas — continued | |
Reg. S, (EUR Swap Rate 5 Year + 2.40%), 2.00%, 06/04/2030 (x) (aa) | | EUR | 1,900 | | | | 1,591 | |
Reg. S, (EUR Swap Rate 5 Year + 2.15%), 2.63%, 02/26/2025 (x) (aa) | | EUR | 6,000 | | | | 6,204 | |
Reg. S, (EUR Swap Rate 5 Year + 2.94%), 3.25%, 07/17/2036 (x) (aa) | | EUR | 500 | | | | 401 | |
Reg. S, (EUR Swap Rate 5 Year + 3.35%), 3.37%, 10/06/2026 (x) (aa) | | EUR | 3,500 | | | | 3,582 | |
Series NC7, Reg. S, (EUR Swap Rate 5 Year + 1.99%), 1.63%, 10/25/2027 (x) (aa) | | | EUR 1,000 | | | | 906 | |
Series NC12, Reg. S, (EUR Swap Rate 5 Year + 2.51%), 2.13%, 07/25/2032 (x) (aa) | | | EUR 3,550 | | | | 2,786 | |
Var Energi ASA, (Norway), 5.00%, 05/18/2027 (e) | | | 1,600 | | | | 1,518 | |
Reg. S, 5.50%, 05/04/2029 | | EUR | 4,175 | | | | 4,534 | |
| | | | | | | | |
| | |
| | | | | | | 104,608 | |
| | | | | | | | |
Oil & Gas Services — 0.0% (g) | |
Schlumberger Finance BV, (Netherlands), | | | | | | | | |
Reg. S, 0.00%, 10/15/2024 | | EUR | 1,000 | | | | 1,038 | |
Reg. S, 0.25%, 10/15/2027 | | EUR | 1,500 | | | | 1,418 | |
Reg. S, 0.50%, 10/15/2031 | | EUR | 500 | | | | 421 | |
Schlumberger Finance Canada Ltd., (Canada), 1.40%, 09/17/2025 | | | 30 | | | | 27 | |
Schlumberger Finance France SAS, (France), Reg. S, 1.00%, 02/18/2026 | | EUR | 500 | | | | 507 | |
| | | | | | | | |
| | |
| | | | | | | 3,411 | |
| | | | | | | | |
Pipelines — 0.4% | |
Cheniere Corpus Christi Holdings LLC, 3.70%, 11/15/2029 | | | 88 | | | | 80 | |
Colonial Enterprises, Inc., 3.25%, 05/15/2030 (e) | | | 1,330 | | | | 1,185 | |
Columbia Pipeline Group, Inc., 4.50%, 06/01/2025 | | | 20 | | | | 20 | |
DCP Midstream Operating LP, | | | | | | | | |
3.25%, 02/15/2032 | | | 335 | | | | 284 | |
5.13%, 05/15/2029 | | | 1,500 | | | | 1,467 | |
5.38%, 07/15/2025 | | | 70 | | | | 69 | |
Enbridge, Inc., (Canada), 5.97%, 03/08/2026 | | | 240 | | | | 240 | |
Energy Transfer LP, | | | | | | | | |
2.90%, 05/15/2025 | | | 220 | | | | 208 | |
4.20%, 04/15/2027 | | | 5,830 | | | | 5,569 | |
5.35%, 05/15/2045 | | | 10 | | | | 9 | |
5.40%, 10/01/2047 | | | 190 | | | | 167 | |
5.55%, 02/15/2028 | | | 1,210 | | | | 1,207 | |
5.75%, 02/15/2033 | | | 1,705 | | | | 1,716 | |
6.25%, 04/15/2049 | | | 460 | | | | 448 | |
6.50%, 02/01/2042 | | | 10 | | | | 10 | |
Series H, (CMT Index 5 Year + 5.69%), 6.50%, 11/15/2026 (x) (aa) | | | 1,490 | | | | 1,353 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 82 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Pipelines — continued | |
Enterprise Products Operating LLC, | | | | | | | | |
3.75%, 02/15/2025 | | | 50 | | | | 49 | |
3.90%, 02/15/2024 | | | 50 | | | | 50 | |
4.15%, 10/16/2028 | | | 150 | | | | 143 | |
4.20%, 01/31/2050 | | | 40 | | | | 34 | |
5.10%, 02/15/2045 | | | 1,700 | | | | 1,619 | |
(CME Term SOFR 3 Month + 2.83%), 5.38%, 02/15/2078 (aa) | | | 600 | | | | 496 | |
Kinder Morgan Energy Partners LP, | | | | | | | | |
4.30%, 05/01/2024 | | | 3,200 | | | | 3,157 | |
4.70%, 11/01/2042 | | | 850 | | | | 705 | |
Kinder Morgan, Inc., | | | | | | | | |
1.75%, 11/15/2026 | | | 390 | | | | 345 | |
2.25%, 03/16/2027 | | EUR | 1,500 | | | | 1,509 | |
3.60%, 02/15/2051 | | | 35 | | | | 24 | |
Magellan Midstream Partners LP, | | | | | | | | |
3.95%, 03/01/2050 | | | 105 | | | | 75 | |
5.00%, 03/01/2026 | | | 10 | | | | 10 | |
MPLX LP, | | | | | | | | |
1.75%, 03/01/2026 | | | 400 | | | | 363 | |
2.65%, 08/15/2030 | | | 2,495 | | | | 2,086 | |
4.50%, 04/15/2038 | | | 75 | | | | 64 | |
4.70%, 04/15/2048 | | | 1,293 | | | | 1,060 | |
4.88%, 06/01/2025 | | | 2,340 | | | | 2,296 | |
4.90%, 04/15/2058 | | | 40 | | | | 32 | |
4.95%, 03/14/2052 | | | 1,395 | | | | 1,181 | |
5.20%, 03/01/2047 | | | 10 | | | | 9 | |
5.50%, 02/15/2049 | | | 520 | | | | 470 | |
5.65%, 03/01/2053 | | | 65 | | | | 61 | |
ONEOK Partners LP, 6.13%, 02/01/2041 | | | 24 | | | | 23 | |
ONEOK, Inc., | | | | | | | | |
2.20%, 09/15/2025 | | | 1,100 | | | | 1,017 | |
3.40%, 09/01/2029 | | | 1,210 | | | | 1,055 | |
4.45%, 09/01/2049 | | | 2,522 | | | | 1,909 | |
5.20%, 07/15/2048 | | | 35 | | | | 30 | |
5.85%, 01/15/2026 | | | 245 | | | | 246 | |
6.10%, 11/15/2032 | | | 325 | | | | 330 | |
6.35%, 01/15/2031 | | | 90 | | | | 93 | |
7.15%, 01/15/2051 | | | 180 | | | | 188 | |
Plains All American Pipeline LP / PAA Finance Corp., | | | | | | | | |
3.55%, 12/15/2029 | | | 65 | | | | 57 | |
4.90%, 02/15/2045 | | | 140 | | | | 113 | |
Targa Resources Corp., | | | | | | | | |
4.95%, 04/15/2052 | | | 275 | | | | 227 | |
5.20%, 07/01/2027 | | | 965 | | | | 947 | |
6.13%, 03/15/2033 | | | 380 | | | | 388 | |
6.50%, 02/15/2053 | | | 520 | | | | 529 | |
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5.00%, 01/15/2028 | | | 599 | | | | 572 | |
Transcontinental Gas Pipe Line Co. LLC, | | | | | | | | |
3.25%, 05/15/2030 | | | 80 | | | | 71 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Pipelines — continued | |
4.00%, 03/15/2028 | | | 20 | | | | 19 | |
7.85%, 02/01/2026 | | | 428 | | | | 448 | |
Western Midstream Operating LP, | | | | | | | | |
4.50%, 03/01/2028 | | | 1,200 | | | | 1,132 | |
5.50%, 02/01/2050 | | | 31 | | | | 25 | |
6.15%, 04/01/2033 | | | 330 | | | | 331 | |
Williams Cos., Inc. (The), | | | | | | | | |
3.50%, 11/15/2030 | | | 1,900 | | | | 1,698 | |
4.50%, 11/15/2023 | | | 80 | | | | 80 | |
5.30%, 08/15/2052 | | | 140 | | | | 129 | |
5.80%, 11/15/2043 | | | 15 | | | | 14 | |
| | | | | | | | |
| | |
| | | | | | | 41,541 | |
| | | | | | | | |
Total Energy | | | | | | | 156,376 | |
| | | | | | | | |
Financial — 18.0% | |
Banks — 13.1% | |
ABN AMRO Bank NV, (Netherlands), | | | | | | | | |
Reg. S, 0.40%, 09/17/2041 | | EUR | 100 | | | | 66 | |
Reg. S, 0.60%, 01/15/2027 | | EUR | 10,000 | | | | 9,578 | |
Reg. S, 1.25%, 01/10/2033 | | EUR | 100 | | | | 92 | |
Reg. S, 1.38%, 01/16/2025 | | GBP | 1,500 | | | | 1,766 | |
Reg. S, 1.38%, 01/12/2037 | | EUR | 100 | | | | 87 | |
Reg. S, 1.45%, 04/12/2038 | | EUR | 100 | | | | 86 | |
Reg. S, 4.25%, 02/21/2030 | | EUR | 10,000 | | | | 10,799 | |
Reg. S, 4.38%, 10/20/2028 | | EUR | 12,700 | | | | 13,743 | |
Aegon Bank NV, (Netherlands), Reg. S, 0.01%, 11/16/2025 | | EUR | 100 | | | | 100 | |
AIB Group plc, (Ireland), | | | | | | | | |
Reg. S, (EUR Swap Rate 1 Year + 1.30%), 2.25%, 04/04/2028 (aa) | | EUR | 1,000 | | | | 989 | |
Reg. S, (EUR Swap Rate 1 Year + 2.00%), 3.63%, 07/04/2026 (aa) | | EUR | 1,500 | | | | 1,597 | |
AMCO - Asset Management Co. SpA, (Italy), | | | | | | | | |
Reg. S, 0.75%, 04/20/2028 | | EUR | 163 | | | | 147 | |
Reg. S, 1.38%, 01/27/2025 | | EUR | 100 | | | | 104 | |
ANZ New Zealand Int’l Ltd., (New Zealand), Reg. S, 0.20%, 09/23/2027 | | EUR | 6,000 | | | | 5,543 | |
Argenta Spaarbank NV, (Belgium), Reg. S, 3.38%, 06/22/2028 | | EUR | 100 | | | | 108 | |
Arion Banki HF, (Iceland), | | | | | | | | |
Reg. S, 0.05%, 10/05/2026 | | EUR | 100 | | | | 96 | |
Reg. S, 0.38%, 07/14/2025 | | EUR | 2,950 | | | | 2,817 | |
Arkea Public Sector SCF SA, (France), Reg. S, 0.13%, 01/15/2030 | | EUR | 100 | | | | 89 | |
ASB Finance Ltd., (New Zealand), | | | | | | | | |
Reg. S, 0.25%, 09/08/2028 | | EUR | 1,000 | | | | 887 | |
Reg. S, 0.50%, 09/24/2029 | | EUR | 1,000 | | | | 869 | |
Reg. S, 0.63%, 10/18/2024 | | EUR | 100 | | | | 104 | |
Australia & New Zealand Banking Group Ltd., (Australia), | | | | | | | | |
Reg. S, 0.25%, 03/17/2025 | | EUR | 100 | | | | 103 | |
Reg. S, (EUR Swap Rate 5 Year + 1.12%), 0.67%, 05/05/2031 (aa) | | EUR | 2,925 | | | | 2,757 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 83 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Banks — continued | |
Banca Monte dei Paschi di Siena SpA, (Italy), | | | | | | | | |
Reg. S, 0.88%, 10/08/2026 | | EUR | 3,504 | | | | 3,405 | |
Series 16, Reg. S, 2.88%, 07/16/2024 | | EUR | 100 | | | | 107 | |
Banco Bilbao Vizcaya Argentaria SA, (Spain), | | | | | | | | |
Reg. S, (ICE LIBOR EUR 3 Month + 0.52%), 0.13%, 03/24/2027 (aa) | | EUR | 2,000 | | | | 1,945 | |
Reg. S, 0.38%, 10/02/2024 | | EUR | 1,000 | | | | 1,040 | |
Reg. S, 0.38%, 11/15/2026 | | EUR | 1,000 | | | | 966 | |
Reg. S, 0.50%, 01/14/2027 | | EUR | 1,000 | | | | 958 | |
0.88%, 09/18/2023 | | | 200 | | | | 198 | |
Reg. S, 0.88%, 11/22/2026 | | EUR | 100 | | | | 99 | |
Reg. S, 1.00%, 06/21/2026 | | EUR | 1,000 | | | | 997 | |
Reg. S, (EUR Swap Rate 5 Year + 1.27%), 1.00%, 01/16/2030 (aa) | | EUR | 1,000 | | | | 1,010 | |
Reg. S, 1.38%, 05/14/2025 | | EUR | 1,000 | | | | 1,034 | |
Reg. S, 1.75%, 11/26/2025 | | EUR | 10,000 | | | | 10,281 | |
Reg. S, 3.38%, 09/20/2027 | | EUR | 6,800 | | | | 7,185 | |
Reg. S, 3.50%, 02/10/2027 | | EUR | 500 | | | | 528 | |
Banco de Sabadell SA, (Spain), | | | | | | | | |
Reg. S, (EUR Swap Rate 1 Year + 0.97%), 0.63%, 11/07/2025 (aa) | | EUR | 3,700 | | | | 3,815 | |
Reg. S, 0.88%, 07/22/2025 | | EUR | 7,500 | | | | 7,582 | |
Reg. S, 1.00%, 04/26/2027 | | EUR | 100 | | | | 99 | |
Reg. S, (EUR Swap Rate 1 Year + 1.55%), 1.13%, 03/11/2027 (aa) | | EUR | 2,900 | | | | 2,864 | |
Reg. S, (EUR Swap Rate 1 Year + 2.20%), 2.63%, 03/24/2026 (aa) | | EUR | 1,500 | | | | 1,555 | |
Reg. S, (EUR Swap Rate 1 Year + 2.40%), 5.25%, 02/07/2029 (aa) | | EUR | 1,500 | | | | 1,602 | |
Banco Santander SA, (Spain), | | | | | | | | |
Reg. S, 0.10%, 02/27/2032 | | EUR | 200 | | | | 164 | |
Reg. S, 0.20%, 02/11/2028 | | EUR | 1,900 | | | | 1,734 | |
Reg. S, 1.00%, 04/07/2025 | | EUR | 100 | | | | 104 | |
Reg. S, 1.13%, 10/25/2028 | | EUR | 100 | | | | 97 | |
Reg. S, 1.38%, 01/05/2026 | | EUR | 200 | | | | 203 | |
Reg. S, 1.63%, 10/22/2030 | | EUR | 1,900 | | | | 1,650 | |
Reg. S, 1.75%, 02/17/2027 | | GBP | 1,000 | | | | 1,052 | |
Reg. S, 2.38%, 09/08/2027 | | EUR | 100 | | | | 104 | |
2.75%, 05/28/2025 | | | 600 | | | | 563 | |
3.50%, 03/24/2025 | | | 200 | | | | 191 | |
Reg. S, (EUR Swap Rate 1 Year + 1.05%), 3.63%, 09/27/2026 (aa) | | EUR | 2,000 | | | | 2,141 | |
Reg. S, 3.88%, 01/16/2028 | | EUR | 10,000 | | | | 10,717 | |
3.89%, 05/24/2024 | | | 3,800 | | | | 3,725 | |
5.29%, 08/18/2027 | | | 200 | | | | 196 | |
Series DIP, Reg. S, 3.25%, 04/04/2026 | | EUR | 10,000 | | | | 10,510 | |
Bank of America Corp., | | | | | | | | |
Reg. S, (ICE LIBOR EUR 3 Month + 0.75%), 0.81%, 05/09/2026 (aa) | | EUR | 1,900 | | | | 1,933 | |
(United States SOFR + 0.91%), 0.98%, 09/25/2025 (aa) | | | 177 | | | | 166 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Banks — continued | |
(United States SOFR + 0.65%), 1.53%, 12/06/2025 (aa) | | | 25 | | | | 23 | |
Reg. S, (ICE LIBOR EUR 3 Month + 0.89%), 1.66%, 04/25/2028 (aa) | | EUR | 4,000 | | | | 3,919 | |
Reg. S, (UK Gilts 1 Year + 1.10%), 1.67%, 06/02/2029 (aa) | | GBP | 2,000 | | | | 2,026 | |
(United States SOFR + 0.96%), 1.73%, 07/22/2027 (aa) | | | 1,465 | | | | 1,306 | |
Reg. S, (ICE LIBOR EUR 3 Month + 0.91%), 1.95%, 10/27/2026 (aa) | | | EUR 2,000 | | | | 2,052 | |
(United States SOFR + 1.06%), 2.09%, 06/14/2029 (aa) | | | 1,500 | | | | 1,277 | |
(United States SOFR + 1.22%), 2.30%, 07/21/2032 (aa) | | | 1,000 | | | | 799 | |
Reg. S, 2.30%, 07/25/2025 | | GBP | 1,000 | | | | 1,165 | |
(CME Term SOFR 3 Month + 1.25%), 2.50%, 02/13/2031 (aa) | | | 3,300 | | | | 2,761 | |
(United States SOFR + 1.21%), 2.57%, 10/20/2032 (aa) | | | 2,605 | | | | 2,120 | |
(United States SOFR + 1.93%), 2.68%, 06/19/2041 (aa) | | | 1,920 | | | | 1,345 | |
(United States SOFR + 1.32%), 2.69%, 04/22/2032 (aa) | | | 2,150 | | | | 1,780 | |
(CME Term SOFR 3 Month + 1.45%), 2.88%, 10/22/2030 (aa) | | | 65 | | | | 56 | |
(CME Term SOFR 3 Month + 1.35%), 3.09%, 10/01/2025 (aa) | | | 10 | | | | 10 | |
(United States SOFR + 1.58%), 3.31%, 04/22/2042 (aa) | | | 60 | | | | 46 | |
(United States SOFR + 1.33%), 3.38%, 04/02/2026 (aa) | | | 1,000 | | | | 958 | |
(CME Term SOFR 3 Month + 1.30%), 3.42%, 12/20/2028 (aa) | | | 350 | | | | 321 | |
Reg. S, (UK Gilts 1 Year + 1.75%), 3.58%, 04/27/2031 (aa) | | GBP | 1,500 | | | | 1,610 | |
(United States SOFR + 1.11%), 3.84%, 04/25/2025 (aa) | | | 1,235 | | | | 1,211 | |
(CME Term SOFR 3 Month + 1.33%), 3.97%, 03/05/2029 (aa) | | | 295 | | | | 276 | |
(CME Term SOFR 3 Month + 1.47%), 3.97%, 02/07/2030 (aa) | | | 200 | | | | 185 | |
4.00%, 01/22/2025 | | | 4,200 | | | | 4,083 | |
(CME Term SOFR 3 Month + 1.58%), 4.08%, 04/23/2040 (aa) | | | 100 | | | | 86 | |
(CME Term SOFR 3 Month + 3.41%), 4.08%, 03/20/2051 (aa) | | | 50 | | | | 41 | |
(United States SOFR + 1.58%), 4.38%, 04/27/2028 (aa) | | | 940 | | | | 902 | |
(United States SOFR + 1.75%), 4.83%, 07/22/2026 (aa) | | | 115 | | | | 113 | |
4.88%, 04/01/2044 | | | 25 | | | | 24 | |
(United States SOFR + 2.04%), 4.95%, 07/22/2028 (aa) | | | 1,720 | | | | 1,686 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 84 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Banks — continued | |
5.00%, 01/21/2044 | | | 20 | | | | 19 | |
(United States SOFR + 2.16%), 5.02%, 07/22/2033 (aa) | | | 470 | | | | 460 | |
(United States SOFR + 1.91%), 5.29%, 04/25/2034 (aa) | | | 1,980 | | | | 1,961 | |
(United States SOFR + 1.99%), 6.20%, 11/10/2028 (aa) | | | 205 | | | | 211 | |
Reg. S, 7.00%, 07/31/2028 | | GBP | 650 | | | | 843 | |
Series N, (United States SOFR + 1.22%), 2.65%, 03/11/2032 (aa) | | | 1,000 | | | | 828 | |
Series N, (United States SOFR + 1.65%), 3.48%, 03/13/2052 (aa) | | | 180 | | | | 133 | |
Bank of Ireland Group plc, (Ireland), | | | | | | | | |
Reg. S, (ICE EURIBOR Swap Rate 1 Year + 1.10%), 1.88%, 06/05/2026 (aa) | | EUR | 2,900 | | | | 2,979 | |
Reg. S, (EUR Swap Rate 1 Year + 2.05%), 4.88%, 07/16/2028 (aa) | | EUR | 6,700 | | | | 7,297 | |
Bank of Montreal, (Canada), | | | | | | | | |
Reg. S, 0.05%, 06/08/2029 | | EUR | 100 | | | | 89 | |
Reg. S, 1.00%, 04/05/2026 | | EUR | 100 | | | | 101 | |
1.85%, 05/01/2025 | | | 120 | | | | 112 | |
Series H, 4.25%, 09/14/2024 | | | 690 | | | | 677 | |
Bank of New York Mellon Corp. (The), | | | | | | | | |
(United States SOFR + 1.35%), 4.41%, 07/24/2026 (aa) | | | 235 | | | | 230 | |
(United States SOFR + 1.17%), 4.54%, 02/01/2029 (aa) | | | 210 | | | | 204 | |
(United States SOFR + 1.51%), 4.71%, 02/01/2034 (aa) | | | 100 | | | | 96 | |
Bank of New Zealand, (New Zealand), Reg. S, 2.55%, 06/29/2027 | | EUR | 100 | | | | 104 | |
Bank of Nova Scotia (The), (Canada), | | | | | | | | |
Reg. S, 0.01%, 01/14/2027 | | EUR | 100 | | | | 96 | |
Reg. S, 0.38%, 10/23/2023 | | EUR | 100 | | | | 108 | |
Reg. S, 0.38%, 03/26/2030 | | EUR | 100 | | | | 89 | |
1.05%, 03/02/2026 | | | 170 | | | | 151 | |
3.45%, 04/11/2025 | | | 510 | | | | 491 | |
4.85%, 02/01/2030 | | | 2,550 | | | | 2,459 | |
Bankinter SA, (Spain), | | | | | | | | |
Reg. S, 0.88%, 07/08/2026 | | EUR | 3,000 | | | | 2,926 | |
Reg. S, (EUR Swap Rate 5 Year + 1.45%), 1.25%, 12/23/2032 (aa) | | EUR | 3,600 | | | | 3,225 | |
Banque Federative du Credit Mutuel SA, (France), | | | | | | | | |
Reg. S, 0.01%, 03/07/2025 | | EUR | 1,000 | | | | 1,015 | |
Reg. S, 0.01%, 05/11/2026 | | EUR | 1,000 | | | | 969 | |
Reg. S, 0.63%, 11/03/2028 | | EUR | 1,000 | | | | 893 | |
Reg. S, 0.75%, 06/08/2026 | | EUR | 1,000 | | | | 987 | |
Reg. S, 0.75%, 01/17/2030 | | EUR | 1,000 | | | | 866 | |
Reg. S, 1.00%, 05/23/2025 | | EUR | 4,000 | | | | 4,108 | |
Reg. S, 1.13%, 11/19/2031 | | EUR | 600 | | | | 482 | |
Reg. S, 1.25%, 05/26/2027 | | EUR | 1,000 | | | | 978 | |
Reg. S, 1.25%, 06/03/2030 | | EUR | 1,000 | | | | 886 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Banks — continued | |
Reg. S, 1.38%, 07/16/2028 | | EUR | 3,000 | | | | 2,871 | |
Reg. S, 1.88%, 11/04/2026 | | EUR | 1,200 | | | | 1,206 | |
Reg. S, 1.88%, 06/18/2029 | | EUR | 1,000 | | | | 923 | |
Reg. S, 2.50%, 05/25/2028 | | EUR | 1,500 | | | | 1,476 | |
Reg. S, 2.63%, 11/06/2029 | | EUR | 500 | | | | 490 | |
Reg. S, 3.00%, 05/21/2024 | | EUR | 2,000 | | | | 2,152 | |
Reg. S, 3.00%, 09/11/2025 | | EUR | 7,000 | | | | 7,404 | |
Reg. S, 3.13%, 09/14/2027 | | EUR | 3,400 | | | | 3,566 | |
Reg. S, 3.63%, 09/14/2032 | | EUR | 3,000 | | | | 3,162 | |
Reg. S, (EUR Swap Rate 5 Year + 2.20%), 3.88%, 06/16/2032 (aa) | | EUR | 1,000 | | | | 1,020 | |
4.94%, 01/26/2026 (e) | | | 2,000 | | | | 1,962 | |
Reg. S, 5.00%, 01/19/2026 | | GBP | 10,000 | | | | 12,170 | |
Barclays Bank plc, (United Kingdom), Reg. S, 5.75%, 09/14/2026 | | GBP | 90 | | | | 110 | |
Barclays plc, (United Kingdom), | | | | | | | | |
Reg. S, (ICE EURIBOR Swap Rate 1 Year + 0.85%), 0.88%, 01/28/2028 (aa) | | EUR | 4,200 | | | | 3,974 | |
Reg. S, (EUR Swap Rate 1 Year + 0.78%), 1.38%, 01/24/2026 (aa) | | EUR | 7,000 | | | | 7,229 | |
(CMT Index 1 Year + 1.05%), 2.28%, 11/24/2027 (aa) | | | 300 | | | | 264 | |
Reg. S, (ICE EURIBOR Swap Rate 1 Year + 1.68%), 2.89%, 01/31/2027 (aa) | | EUR | 3,150 | | | | 3,262 | |
Reg. S, 3.00%, 05/08/2026 | | GBP | 100 | | | | 113 | |
Reg. S, 3.25%, 02/12/2027 | | GBP | 1,200 | | | | 1,335 | |
Reg. S, (UK Gilts 5 Year + 3.75%), 3.75%, 11/22/2030 (aa) | | GBP | 825 | | | | 937 | |
(CMT Index 1 Year + 2.65%), 5.50%, 08/09/2028 (aa) | | | 975 | | | | 950 | |
(United States SOFR + 2.98%), 6.22%, 05/09/2034 (aa) | | | 1,150 | | | | 1,145 | |
(CMT Index 1 Year + 3.05%), 7.33%, 11/02/2026 (aa) | | | 1,110 | | | | 1,134 | |
(CMT Index 1 Year + 3.50%), 7.44%, 11/02/2033 (aa) | | | 855 | | | | 925 | |
Basellandschaftliche Kantonalbank, (Switzerland), Reg. S, 0.38%, 05/13/2030 | | CHF | 100 | | | | 101 | |
Bausparkasse Schwaebisch Hall AG, (Germany), Reg. S, 2.00%, 05/17/2034 | | EUR | 100 | | | | 97 | |
BAWAG PSK Bank fuer Arbeit und Wirtschaft und Oesterreichische Postsparkasse AG, (Austria), | | | | | | | | |
Reg. S, 0.10%, 05/12/2031 | | EUR | 100 | | | | 85 | |
Reg. S, 1.13%, 07/31/2028 | | EUR | 100 | | | | 97 | |
Bayerische Landesbank, (Germany), | | | | | | | | |
Reg. S, 0.13%, 11/02/2029 | | EUR | 50 | | | | 45 | |
Reg. S, 0.25%, 01/14/2025 | | EUR | 100 | | | | 103 | |
Reg. S, (EUR Swap Rate 5 Year + 1.40%), 1.38%, 11/22/2032 (aa) | | EUR | 100 | | | | 85 | |
Reg. S, 2.13%, 09/01/2031 | | EUR | 50 | | | | 51 | |
Reg. S, 3.75%, 02/07/2029 | | EUR | 200 | | | | 210 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 85 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Banks — continued | |
Belfius Bank SA, (Belgium), | | | | | | | | |
Reg. S, 1.00%, 10/26/2024 | | EUR | 5,000 | | | | 5,226 | |
Reg. S, 3.25%, 10/18/2027 | | EUR | 100 | | | | 108 | |
Berlin Hyp AG, (Germany), | | | | | | | | |
Reg. S, 0.01%, 07/07/2028 | | EUR | 100 | | | | 93 | |
Reg. S, 1.75%, 05/10/2032 | | EUR | 50 | | | | 49 | |
Series 200, Reg. S, 0.38%, 02/21/2025 | | EUR | 100 | | | | 103 | |
BNP Paribas SA, (France), | | | | | | | | |
Reg. S, (ICE LIBOR EUR 3 Month + 0.75%), 0.50%, 07/15/2025 (aa) | | EUR | 500 | | | | 523 | |
Reg. S, (ICE LIBOR EUR 3 Month + 0.73%), 0.50%, 02/19/2028 (aa) | | EUR | 1,000 | | | | 943 | |
Reg. S, (ICE LIBOR EUR 3 Month + 0.95%), 0.50%, 09/01/2028 (aa) | | EUR | 3,900 | | | | 3,591 | |
Reg. S, (ICE LIBOR EUR 3 Month + 0.83%), 0.50%, 01/19/2030 (aa) | | EUR | 3,500 | | | | 3,060 | |
Reg. S, 0.63%, 12/03/2032 | | EUR | 3,000 | | | | 2,355 | |
Reg. S, (ICE LIBOR EUR 3 Month + 0.83%), 0.88%, 07/11/2030 (aa) | | EUR | 3,000 | | | | 2,641 | |
Reg. S, (EUR Swap Rate 5 Year + 1.17%), 0.88%, 08/31/2033 (aa) | | EUR | 1,000 | | | | 860 | |
Reg. S, 1.13%, 08/28/2024 | | EUR | 500 | | | | 527 | |
Reg. S, 1.13%, 06/11/2026 | | EUR | 1,000 | | | | 1,003 | |
Reg. S, (EUR Swap Rate 5 Year + 1.20%), 1.13%, 01/15/2032 (aa) | | EUR | 1,500 | | | | 1,391 | |
Reg. S, 1.38%, 05/28/2029 | | EUR | 200 | | | | 184 | |
Reg. S, 1.50%, 05/23/2028 | | EUR | 500 | | | | 479 | |
Reg. S, 1.50%, 05/25/2028 | | EUR | 1,500 | | | | 1,458 | |
(United States SOFR + 0.91%), 1.68%, 06/30/2027 (e) (aa) | | | 1,250 | | | | 1,102 | |
Reg. S, 1.88%, 12/14/2027 | | GBP | 2,000 | | | | 2,070 | |
Reg. S, (UK Gilts 5 Year + 1.65%), 2.00%, 05/24/2031 (aa) | | GBP | 2,500 | | | | 2,665 | |
Reg. S, 2.10%, 04/07/2032 | | EUR | 1,500 | | | | 1,379 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.80%), 2.13%, 01/23/2027 (aa) | | EUR | 10,000 | | | | 10,219 | |
(United States SOFR + 1.22%), 2.16%, 09/15/2029 (e) (aa) | | | 3,465 | | | | 2,885 | |
Reg. S, 2.25%, 01/11/2027 | | EUR | 500 | | | | 507 | |
Reg. S, 2.38%, 02/17/2025 | | EUR | 1,000 | | | | 1,053 | |
Reg. S, (EUR Swap Rate 1 Year + 1.60%), 2.50%, 03/31/2032 (aa) | | EUR | 4,300 | | | | 4,171 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.37%), 2.75%, 07/25/2028 (aa) | | EUR | 1,500 | | | | 1,521 | |
Reg. S, 2.88%, 02/24/2029 | | GBP | 2,000 | | | | 2,096 | |
Reg. S, 3.38%, 01/23/2026 | | GBP | 600 | | | | 700 | |
Reg. S, (ICE LIBOR EUR 3 Month + 0.92%), 3.88%, 01/10/2031 (aa) | | EUR | 3,400 | | | | 3,651 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.45%), 4.38%, 01/13/2029 (aa) | | EUR | 5,900 | | | | 6,403 | |
Reg. S, 5.75%, 06/13/2032 | | GBP | 4,500 | | | | 5,415 | |
BNZ International Funding Ltd., (New Zealand), Reg. S, 0.38%, 09/14/2024 | | EUR | 4,050 | | | | 4,224 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Banks — continued | |
BPCE SA, (France), | | | | | | | | |
Reg. S, 0.25%, 01/15/2026 | | EUR | 6,200 | | | | 6,127 | |
Reg. S, 0.25%, 01/14/2031 | | EUR | 1,900 | | | | 1,559 | |
Reg. S, 0.63%, 09/26/2024 | | EUR | 1,500 | | | | 1,565 | |
Reg. S, 0.63%, 04/28/2025 | | EUR | 1,000 | | | | 1,023 | |
Reg. S, 0.88%, 01/31/2024 | | EUR | 1,200 | | | | 1,286 | |
Reg. S, 1.00%, 12/22/2025 | | GBP | 2,000 | | | | 2,215 | |
Reg. S, 1.00%, 10/05/2028 | | EUR | 500 | | | | 465 | |
Reg. S, 3.50%, 01/25/2028 | | EUR | 10,000 | | | | 10,606 | |
Reg. S, 4.00%, 11/29/2032 | | EUR | 4,300 | | | | 4,620 | |
Reg. S, 4.38%, 07/13/2028 | | EUR | 3,000 | | | | 3,245 | |
4.63%, 07/11/2024 (e) | | | 1,200 | | | | 1,173 | |
Reg. S, (ICE EURIBOR Swap Rate 5 Year + 2.65%), 5.75%, 06/01/2033 (aa) | | EUR | 2,900 | | | | 3,159 | |
(United States SOFR + 2.10%), 5.98%, 01/18/2027 (e) (aa) | | | 1,700 | | | | 1,683 | |
Caixa Geral de Depositos SA, (Portugal), Reg. S, (EUR Swap Rate 1 Year + 2.75%), 5.75%, 10/31/2028 (aa) | | EUR | 100 | | | | 112 | |
CaixaBank SA, (Spain), | | | | | | | | |
Reg. S, (ICE LIBOR EUR 3 Month + 0.90%), 0.50%, 02/09/2029 (aa) | | EUR | 1,500 | | | | 1,357 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.00%), 0.75%, 05/26/2028 (aa) | �� | EUR | 2,100 | | | | 1,968 | |
Reg. S, 1.00%, 09/25/2025 | | EUR | 200 | | | | 204 | |
Reg. S, 1.13%, 11/12/2026 | | EUR | 8,000 | | | | 7,817 | |
Reg. S, 1.25%, 01/11/2027 | | EUR | 200 | | | | 200 | |
Reg. S, (EUR Swap Rate 5 Year + 1.63%), 1.25%, 06/18/2031 (aa) | | EUR | 500 | | | | 476 | |
Reg. S, 1.38%, 06/19/2026 | | EUR | 2,300 | | | | 2,286 | |
Reg. S, (EUR Swap Rate 5 Year + 1.68%), 2.25%, 04/17/2030 (aa) | | EUR | 1,000 | | | | 1,012 | |
Reg. S, 3.75%, 09/07/2029 | | EUR | 2,500 | | | | 2,692 | |
Reg. S, (EUR Swap Rate 5 Year + 3.55%), 6.25%, 02/23/2033 (aa) | | EUR | 1,400 | | | | 1,534 | |
Caja Rural de Navarra SCC, (Spain), Reg. S, 3.00%, 04/26/2027 | | EUR | 100 | | | | 106 | |
Canadian Imperial Bank of Commerce, (Canada), | | | | | | | | |
Reg. S, 0.04%, 07/09/2027 | | EUR | 100 | | | | 94 | |
3.95%, 08/04/2025 | | | 805 | | | | 778 | |
Cie de Financement Foncier SA, (France), | | | | | | | | |
Reg. S, 0.23%, 09/14/2026 | | EUR | 100 | | | | 98 | |
Reg. S, 0.50%, 09/04/2024 | | EUR | 100 | | | | 105 | |
Reg. S, 0.60%, 10/25/2041 | | EUR | 100 | | | | 69 | |
Reg. S, 0.75%, 01/21/2025 | | EUR | 100 | | | | 104 | |
Reg. S, 0.75%, 05/29/2026 | | EUR | 100 | | | | 100 | |
Reg. S, 2.38%, 03/15/2030 | | EUR | 100 | | | | 103 | |
Reg. S, 3.88%, 04/25/2055 | | EUR | 20 | | | | 25 | |
Citigroup, Inc., | | | | | | | | |
(United States SOFR + 0.67%), 0.98%, 05/01/2025 (aa) | | | 640 | | | | 612 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 86 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Banks — continued | |
(United States SOFR + 0.77%), 1.12%, 01/28/2027 (aa) | | | 130 | | | | 116 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.66%), 1.25%, 07/06/2026 (aa) | | EUR | 2,000 | | | | 2,041 | |
(United States SOFR + 0.77%), 1.46%, 06/09/2027 (aa) | | | 3,250 | | | | 2,886 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.07%), 1.50%, 07/24/2026 (aa) | | EUR | 10,000 | | | | 10,234 | |
1.75%, 01/28/2025 | | EUR | 700 | | | | 736 | |
(United States SOFR + 0.69%), 2.01%, 01/25/2026 (aa) | | | 90 | | | | 85 | |
(United States SOFR + 1.18%), 2.52%, 11/03/2032 (aa) | | | 465 | | | | 374 | |
(United States SOFR + 1.17%), 2.56%, 05/01/2032 (aa) | | | 1,060 | | | | 865 | |
(United States SOFR + 2.11%), 2.57%, 06/03/2031 (aa) | | | 3,600 | | | | 3,002 | |
(United States SOFR + 1.38%), 2.90%, 11/03/2042 (aa) | | | 75 | | | | 53 | |
(United States SOFR + 2.84%), 3.11%, 04/08/2026 (aa) | | | 155 | | | | 148 | |
(United States SOFR + 1.53%), 3.29%, 03/17/2026 (aa) | | | 1,000 | | | | 956 | |
(CME Term SOFR 3 Month + 1.16%), 3.35%, 04/24/2025 (aa) | | | 65 | | | | 64 | |
(CME Term SOFR 3 Month + 1.65%), 3.67%, 07/24/2028 (aa) | | | 450 | | | | 421 | |
(United States SOFR + 1.94%), 3.79%, 03/17/2033 (aa) | | | 100 | | | | 88 | |
(United States SOFR + 1.37%), 4.14%, 05/24/2025 (aa) | | | 1,535 | | | | 1,508 | |
(CME Term SOFR 3 Month + 2.10%), 4.28%, 04/24/2048 (aa) | | | 160 | | | | 137 | |
4.40%, 06/10/2025 | | | 3,500 | | | | 3,399 | |
4.65%, 07/30/2045 | | | 10 | | | | 9 | |
4.65%, 07/23/2048 | | | 25 | | | | 23 | |
(United States SOFR + 1.89%), 4.66%, 05/24/2028 (aa) | | | 200 | | | | 195 | |
(United States SOFR + 4.55%), 5.32%, 03/26/2041 (aa) | | | 100 | | | | 97 | |
6.00%, 10/31/2033 | | | 50 | | | | 51 | |
(United States SOFR + 2.66%), 6.17%, 05/25/2034 (aa) | | | 2,260 | | | | 2,277 | |
Clydesdale Bank plc, (United Kingdom), Reg. S, 2.50%, 06/22/2027 | | EUR | 5,000 | | | | 5,182 | |
Commerzbank AG, (Germany), | | | | | | | | |
Reg. S, 0.01%, 03/11/2030 | | EUR | 100 | | | | 88 | |
Reg. S, 0.25%, 01/12/2032 | | EUR | 100 | | | | 86 | |
Reg. S, 0.88%, 09/08/2025 | | EUR | 100 | | | | 103 | |
Reg. S, 1.00%, 03/04/2026 | | EUR | 1,500 | | | | 1,520 | |
Reg. S, 2.88%, 04/28/2026 | | EUR | 100 | | | | 107 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.50%), 3.00%, 09/14/2027 (aa) | | EUR | 1,000 | | | | 1,023 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Banks — continued | |
Reg. S, (ICE LIBOR EUR 3 Month + 2.20%), 4.63%, 03/21/2028 (aa) | | EUR | 4,000 | | | | 4,288 | |
Reg. S, (UK Gilts 5 Year + 5.25%), 8.63%, 02/28/2033 (aa) | | GBP | 1,800 | | | | 2,196 | |
Commonwealth Bank of Australia, (Australia), | | | | | | | | |
Reg. S, 0.75%, 02/28/2028 | | EUR | 100 | | | | 96 | |
Reg. S, 1.13%, 01/18/2028 | | EUR | 1,000 | | | | 968 | |
Reg. S, (EUR Swap Rate 5 Year + 1.45%), 1.94%, 10/03/2029 (aa) | | EUR | 1,825 | | | | 1,895 | |
Reg. S, 3.25%, 10/24/2025 | | EUR | 100 | | | | 107 | |
Cooperatieve Rabobank UA, (Netherlands), | | | | | | | | |
Reg. S, 0.01%, 11/27/2040 | | EUR | 100 | | | | 63 | |
Reg. S, 0.75%, 03/02/2032 | | EUR | 100 | | | | 89 | |
Reg. S, 0.88%, 02/08/2028 | | EUR | 200 | | | | 195 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.18%), 0.88%, 05/05/2028 (aa) | | EUR | 700 | | | | 669 | |
Reg. S, 1.25%, 03/23/2026 | | EUR | 1,475 | | | | 1,510 | |
Reg. S, 1.38%, 02/03/2027 | | EUR | 25 | | | | 25 | |
Reg. S, (EUR Swap Rate 5 Year + 1.95%), 3.88%, 11/30/2032 (aa) | | EUR | 2,100 | | | | 2,169 | |
4.38%, 08/04/2025 | | | 890 | | | | 859 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.55%), 4.63%, 01/27/2028 (aa) | | | EUR 15,700 | | | | 17,222 | |
Reg. S, 5.25%, 05/23/2041 | | GBP | 50 | | | | 64 | |
Credit Agricole Italia SpA, (Italy), | | | | | | | | |
Reg. S, 0.13%, 03/15/2033 | | EUR | 100 | | | | 77 | |
Reg. S, 0.25%, 09/30/2024 | | EUR | 100 | | | | 104 | |
Reg. S, 3.50%, 01/15/2030 | | EUR | 100 | | | | 108 | |
Credit Agricole SA, (France), | | | | | | | | |
Reg. S, 0.38%, 10/21/2025 | | EUR | 7,000 | | | | 7,033 | |
Reg. S, 1.00%, 09/18/2025 | | EUR | 15,000 | | | | 15,353 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.25%), 1.00%, 04/22/2026 (aa) | | EUR | 3,000 | | | | 3,068 | |
Reg. S, 1.75%, 03/05/2029 | | EUR | 1,100 | | | | 1,048 | |
Reg. S, (UK Gilts 5 Year + 1.50%), 1.87%, 12/09/2031 (aa) | | GBP | 600 | | | | 621 | |
Reg. S, 1.88%, 12/20/2026 | | EUR | 1,000 | | | | 1,012 | |
Reg. S, (ICE LIBOR EUR 3 Month + 0.77%), 1.88%, 04/22/2027 (aa) | | EUR | 1,000 | | | | 1,012 | |
Reg. S, 2.38%, 05/20/2024 | | EUR | 600 | | | | 645 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.35%), 4.00%, 10/12/2026 (aa) | | EUR | 2,000 | | | | 2,155 | |
Reg. S, 4.00%, 01/18/2033 | | EUR | 10,000 | | | | 10,890 | |
Reg. S, (UK Gilts 1 Year + 2.18%), 6.38%, 06/14/2031 (aa) | | GBP | 7,300 | | | | 9,129 | |
Credit Mutuel Arkea SA, (France), | | | | | | | | |
Reg. S, 3.25%, 06/01/2026 | | EUR | 500 | | | | 523 | |
Reg. S, 3.38%, 09/19/2027 | | EUR | 3,000 | | | | 3,177 | |
Reg. S, 4.25%, 12/01/2032 | | EUR | 3,600 | | | | 3,933 | |
Credit Suisse AG, (Switzerland), | | | | | | | | |
Reg. S, 0.25%, 01/05/2026 | | EUR | 1,000 | | | | 973 | |
Reg. S, 0.25%, 09/01/2028 | | EUR | 1,200 | | | | 1,048 | |
7.95%, 01/09/2025 | | | 1,700 | | | | 1,732 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 87 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Banks — continued | |
Credit Suisse Schweiz AG, (Switzerland), | | | | | | | | |
Reg. S, 0.00%, 10/31/2030 | | CHF | 25 | | | | 24 | |
Reg. S, 3.39%, 12/05/2025 | | EUR | 100 | | | | 107 | |
Credito Emiliano SpA, (Italy), | | | | | | | | |
Reg. S, 0.01%, 07/07/2028 | | EUR | 100 | | | | 91 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.05%), 1.13%, 01/19/2028 (aa) | | EUR | 2,000 | | | | 1,928 | |
Crelan SA, (Belgium), Reg. S, 5.38%, 10/31/2025 | | EUR | 1,700 | | | | 1,843 | |
Danske Bank A/S, (Denmark), | | | | | | | | |
Reg. S, IF, (1.15% - ICE EURIBOR Swap Rate 1 Year), 0.50%, 08/27/2025 (aa) | | EUR | 425 | | | | 441 | |
Reg. S, 0.63%, 05/26/2025 | | EUR | 3,000 | | | | 3,060 | |
Reg. S, (ICE EURIBOR Swap Rate 1 Year + 0.88%), 0.75%, 06/09/2029 (aa) | | | EUR 3,500 | | | | 3,151 | |
Reg. S, (EUR Swap Rate 5 Year + 1.40%), 1.00%, 05/15/2031 (aa) | | | EUR 1,000 | | | | 956 | |
Reg. S, (EUR Swap Rate 1 Year + 0.85%), 1.38%, 02/17/2027 (aa) | | | EUR 1,000 | | | | 996 | |
Reg. S, (EUR Swap Rate 5 Year + 1.70%), 1.38%, 02/12/2030 (aa) | | | EUR 3,000 | | | | 3,030 | |
Reg. S, (UK Gilts 1 Year + 1.65%), 2.25%, 01/14/2028 (aa) | | GBP | 6,800 | | | | 7,218 | |
(CMT Index 1 Year + 2.10%), 6.47%, 01/09/2026 (e) (aa) | | | 2,255 | | | | 2,249 | |
Danske Hypotek AB, (Sweden), Series 2512, Reg. S, 1.00%, 12/17/2025 | | | SEK 2,000 | | | | 172 | |
Danske Mortgage Bank plc, (Finland), Reg. S, 0.01%, 11/24/2026 | | EUR | 100 | | | | 97 | |
DBS Bank Ltd., (Singapore), Reg. S, 2.81%, 10/13/2025 | | EUR | 100 | | | | 106 | |
de Volksbank NV, (Netherlands), Reg. S, 1.00%, 03/08/2028 | | EUR | 100 | | | | 98 | |
Deutsche Apotheker-und Aerztebank eG, (Germany), Reg. S, 0.01%, 02/06/2029 | | EUR | 100 | | | | 91 | |
Deutsche Bank AG, (Germany), | | | | | | | | |
Reg. S, 0.13%, 01/21/2030 | | EUR | 75 | | | | 67 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.60%), 1.00%, 11/19/2025 (aa) | | EUR | 200 | | | | 206 | |
Reg. S, 1.13%, 08/30/2023 | | EUR | 775 | | | | 842 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.67%), 1.38%, 06/10/2026 (aa) | | | EUR 1,000 | | | | 1,030 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.38%), 1.88%, 02/23/2028 (aa) | | | EUR 2,900 | | | | 2,798 | |
(United States SOFR + 1.87%), 2.13%, 11/24/2026 (aa) | | | 2,950 | | | | 2,624 | |
Reg. S, 2.25%, 09/20/2027 | | EUR | 100 | | | | 104 | |
Reg. S, 2.63%, 12/16/2024 | | GBP | 1,500 | | | | 1,770 | |
Reg. S, 3.13%, 10/19/2026 | | EUR | 100 | | | | 107 | |
(United States SOFR + 2.26%), 3.74%, 01/07/2033 (aa) | | | 200 | | | | 147 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Banks — continued | |
Reg. S, 3.88%, 02/12/2024 | | GBP | 1,000 | | | | 1,241 | |
Reg. S, (SONIA Interest Rate Benchmark + 1.94%), 4.00%, 06/24/2026 (aa) | | | GBP 2,000 | | | | 2,348 | |
Reg. S, 4.00%, 11/29/2027 | | EUR | 4,100 | | | | 4,414 | |
Reg. S, (ICE LIBOR EUR 3 Month + 2.50%), 5.38%, 01/11/2029 (aa) | | | EUR 1,300 | | | | 1,408 | |
(United States SOFR + 3.18%), 6.72%, 01/18/2029 (aa) | | | 1,575 | | | | 1,577 | |
(United States SOFR + 3.65%), 7.08%, 02/10/2034 (aa) | | | 2,410 | | | | 2,228 | |
Deutsche Kreditbank AG, (Germany), Reg. S, 1.63%, 05/05/2032 | | EUR | 50 | | | | 48 | |
Deutsche Pfandbriefbank AG, (Germany), | | | | | | | | |
Reg. S, 0.63%, 08/30/2027 | | EUR | 100 | | | | 97 | |
Reg. S, 1.00%, 04/13/2026 | | EUR | 100 | | | | 102 | |
Dexia Credit Local SA, (France), | |
Reg. S, 0.00%, 01/21/2028 | | EUR | 300 | | | | 281 | |
Reg. S, 0.01%, 01/22/2027 | | EUR | 500 | | | | 482 | |
Reg. S, 0.63%, 01/17/2026 | | EUR | 600 | | | | 606 | |
Reg. S, 1.25%, 11/26/2024 | | EUR | 700 | | | | 737 | |
Reg. S, 2.13%, 02/12/2025 | | GBP | 400 | | | | 478 | |
DNB Bank ASA, (Norway), Reg. S, (EUR Swap Rate 5 Year + 2.00%), 4.63%, 02/28/2033 (aa) | | | EUR 5,425 | | | | 5,793 | |
DNB Boligkreditt A/S, (Norway), | | | | | | | | |
Reg. S, 0.01%, 05/12/2028 | | EUR | 5,000 | | | | 4,617 | |
Reg. S, 0.01%, 01/21/2031 | | EUR | 100 | | | | 85 | |
Reg. S, 0.25%, 09/07/2026 | | EUR | 100 | | | | 98 | |
Reg. S, 0.38%, 11/20/2024 | | EUR | 100 | | | | 104 | |
DZ HYP AG, (Germany), | | | | | | | | |
Reg. S, 0.01%, 06/23/2028 | | EUR | 100 | | | | 93 | |
Reg. S, 0.01%, 10/27/2028 | | EUR | 25 | | | | 23 | |
Reg. S, 0.38%, 06/06/2025 | | EUR | 100 | | | | 102 | |
Reg. S, 0.38%, 03/31/2026 | | EUR | 100 | | | | 100 | |
Reg. S, 0.88%, 04/17/2034 | | EUR | 100 | | | | 86 | |
Reg. S, 3.00%, 10/29/2027 | | EUR | 50 | | | | 54 | |
Reg. S, 3.00%, 11/30/2032 | | EUR | 100 | | | | 108 | |
Eika Boligkreditt A/S, (Norway), Reg. S, 0.38%, 02/26/2025 | | EUR | 100 | | | | 103 | |
Erste Group Bank AG, (Austria), | | | | | | | | |
Reg. S, (ICE LIBOR EUR 3 Month + 0.52%), 0.10%, 11/16/2028 (aa) | | | EUR 1,000 | | | | 911 | |
Reg. S, 0.13%, 05/17/2028 | | EUR | 1,000 | | | | 900 | |
Reg. S, 0.25%, 06/26/2024 | | EUR | 100 | | | | 105 | |
Reg. S, 0.50%, 01/12/2037 | | EUR | 100 | | | | 75 | |
Reg. S, 0.75%, 02/05/2025 | | EUR | 100 | | | | 104 | |
Reg. S, 0.88%, 05/22/2026 | | EUR | 1,000 | | | | 995 | |
Reg. S, (ICE EURIBOR Swap Rate 5 Year + 1.10%), 0.88%, 11/15/2032 (aa) | | | EUR 4,500 | | | | 3,997 | |
Reg. S, 1.50%, 04/07/2026 | | EUR | 1,000 | | | | 1,020 | |
Reg. S, (ICE EURIBOR Swap Rate 5 Year + 2.10%), 1.63%, 09/08/2031 (aa) | | | EUR 1,000 | | | | 961 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 88 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Banks — continued | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.25%), 4.00%, 01/16/2031 (aa) | | EUR | 1,500 | | | | 1,606 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.25%), 4.25%, 05/30/2030 (aa) | | EUR | 9,800 | | | | 10,604 | |
Federation des Caisses Desjardins du Quebec, (Canada), Reg. S, 0.01%, 04/08/2026 | | EUR | 100 | | | | 98 | |
First Abu Dhabi Bank PJSC, (United Arab Emirates), Reg. S, 0.13%, 02/16/2026 | | EUR | 100 | | | | 98 | |
Goldman Sachs Group, Inc. (The), | | | | | | | | |
Reg. S, 0.13%, 08/19/2024 | | EUR | 1,000 | | | | 1,044 | |
Reg. S, 0.25%, 01/26/2028 | | EUR | 1,000 | | | | 912 | |
(United States SOFR + 0.61%), 0.86%, 02/12/2026 (aa) | | | 28 | | | | 26 | |
Reg. S, 1.00%, 03/18/2033 | | EUR | 1,000 | | | | 810 | |
(United States SOFR + 0.79%), 1.09%, 12/09/2026 (aa) | | | 585 | | | | 521 | |
(United States SOFR + 0.80%), 1.43%, 03/09/2027 (aa) | | | 1,310 | | | | 1,170 | |
Reg. S, 1.50%, 12/07/2027 | | GBP | 3,000 | | | | 3,078 | |
(United States SOFR + 0.73%), 1.76%, 01/24/2025 (aa) | | | 120 | | | | 117 | |
(United States SOFR + 0.91%), 1.95%, 10/21/2027 (aa) | | | 1,815 | | | | 1,614 | |
2.60%, 02/07/2030 | | | 1,895 | | | | 1,613 | |
(United States SOFR + 1.28%), 2.62%, 04/22/2032 (aa) | | | 2,715 | | | | 2,226 | |
(United States SOFR + 1.26%), 2.65%, 10/21/2032 (aa) | | | 600 | | | | 489 | |
(United States SOFR + 1.47%), 2.91%, 07/21/2042 (aa) | | | 865 | | | | 610 | |
(United States SOFR + 1.41%), 3.10%, 02/24/2033 (aa) | | | 280 | | | | 236 | |
Reg. S, 3.13%, 07/25/2029 | | GBP | 1,500 | | | | 1,589 | |
Reg. S, 3.38%, 03/27/2025 | | EUR | 4,000 | | | | 4,304 | |
3.50%, 04/01/2025 | | | 97 | | | | 93 | |
(United States SOFR + 1.85%), 3.62%, 03/15/2028 (aa) | | | 480 | | | | 450 | |
Reg. S, (UK Gilts 1 Year + 1.95%), 3.63%, 10/29/2029 (aa) | | GBP | 2,000 | | | | 2,190 | |
Reg. S, 4.00%, 09/21/2029 | | EUR | 1,000 | | | | 1,075 | |
(CME Term SOFR 3 Month + 1.63%), 4.02%, 10/31/2038 (aa) | | | 60 | | | | 51 | |
Reg. S, 4.25%, 01/29/2026 | | GBP | 2,000 | | | | 2,393 | |
(United States SOFR + 1.51%), 4.39%, 06/15/2027 (aa) | | | 1,360 | | | | 1,322 | |
(United States SOFR + 1.73%), 4.48%, 08/23/2028 (aa) | | | 495 | | | | 478 | |
5.15%, 05/22/2045 | | | 21 | | | | 20 | |
6.25%, 02/01/2041 | | | 50 | | | | 54 | |
6.75%, 10/01/2037 | | | 170 | | | | 183 | |
6.88%, 01/18/2038 | | GBP | 825 | | | | 1,041 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Banks — continued | |
HSBC Bank Canada, (Canada), Reg. S, 1.50%, 09/15/2027 | | EUR | 100 | | | | 100 | |
HSBC Holdings plc, (United Kingdom), | | | | | | | | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.03%), 0.77%, 11/13/2031 (aa) | | EUR | 1,000 | | | | 848 | |
(United States SOFR + 1.54%), 1.65%, 04/18/2026 (aa) | | | 1,000 | | | | 921 | |
(United States SOFR + 1.73%), 2.01%, 09/22/2028 (aa) | | | 800 | | | | 685 | |
Reg. S, 2.50%, 03/15/2027 | | EUR | 2,000 | | | | 2,056 | |
(United States SOFR + 1.43%), 3.00%, 03/10/2026 (aa) | | | 600 | | | | 569 | |
Reg. S, 3.00%, 06/30/2025 | | EUR | 5,000 | | | | 5,298 | |
(GBP Swap Rate 1 Year + 1.65%), 3.00%, 07/22/2028 (aa) | | GBP | 1,000 | | | | 1,089 | |
(GBP Swap Rate 1 Year + 1.77%), 3.00%, 05/29/2030 (aa) | | GBP | 225 | | | | 232 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.45%), 3.02%, 06/15/2027 (aa) | | EUR | 2,175 | | | | 2,260 | |
Reg. S, 3.13%, 06/07/2028 | | EUR | 11,000 | | | | 11,120 | |
(CME Term SOFR 3 Month + 1.87%), 3.97%, 05/22/2030 (aa) | | | 900 | | | | 808 | |
(United States SOFR + 1.51%), 4.18%, 12/09/2025 (aa) | | | 390 | | | | 378 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.29%), 4.75%, 03/10/2028 (aa) | | EUR | 10,000 | | | | 10,903 | |
(United States SOFR + 2.53%), 4.76%, 03/29/2033 (aa) | | | 430 | | | | 388 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.94%), 4.86%, 05/23/2033 (aa) | | EUR | 11,600 | | | | 12,711 | |
(United States SOFR + 2.87%), 5.40%, 08/11/2033 (aa) | | | 500 | | | | 489 | |
(United States SOFR + 1.97%), 6.16%, 03/09/2029 (aa) | | | 350 | | | | 353 | |
(United States SOFR + 2.39%), 6.25%, 03/09/2034 (aa) | | | 570 | | | | 583 | |
(United States SOFR + 2.65%), 6.33%, 03/09/2044 (aa) | | | 1,680 | | | | 1,739 | |
6.50%, 09/15/2037 | | | 400 | | | | 398 | |
(United States SOFR + 2.98%), 6.55%, 06/20/2034 (aa) | | | 280 | | | | 279 | |
Reg. S, 7.00%, 04/07/2038 | | GBP | 300 | | | | 368 | |
(United States SOFR + 3.35%), 7.39%, 11/03/2028 (aa) | | | 3,200 | | | | 3,376 | |
HYPO NOE Landesbank fuer Niederoesterreich und Wien AG, (Austria), | | | | | | | | |
Reg. S, 0.13%, 06/30/2026 | | EUR | 200 | | | | 192 | |
Reg. S, 3.25%, 04/19/2028 | | EUR | 100 | | | | 107 | |
Hypo Vorarlberg Bank AG, (Austria), | | | | | | | | |
Reg. S, 0.75%, 02/11/2025 | | EUR | 100 | | | | 104 | |
Reg. S, 4.13%, 02/16/2026 | | EUR | 100 | | | | 107 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 89 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Banks — continued | |
Industrial & Commercial Bank of China Ltd., (China), Reg. S, 0.13%, 10/28/2024 | | EUR | 2,500 | | | | 2,575 | |
ING Bank NV, (Netherlands), | | | | | | | | |
Reg. S, 0.13%, 12/08/2031 | | EUR | 100 | | | | 85 | |
Reg. S, 0.75%, 02/18/2029 | | EUR | 100 | | | | 95 | |
Reg. S, 2.50%, 02/21/2030 | | EUR | 100 | | | | 104 | |
ING Belgium SA, (Belgium), Reg. S, 0.01%, 02/20/2030 | | EUR | 100 | | | | 88 | |
ING Groep NV, (Netherlands), | | | | | | | | |
Reg. S, (ICE LIBOR EUR 3 Month + 0.60%), 0.10%, 09/03/2025 (aa) | | | EUR 2,500 | | | | 2,591 | |
Reg. S, (ICE LIBOR EUR 3 Month + 0.43%), 0.13%, 11/29/2025 (aa) | | | EUR 1,500 | | | | 1,536 | |
Reg. S, (ICE LIBOR EUR 3 Month + 0.70%), 0.38%, 09/29/2028 (aa) | | | EUR 1,000 | | | | 915 | |
Reg. S, (ICE EURIBOR Swap Rate 5 Year + 1.15%), 0.88%, 06/09/2032 (aa) | | | EUR 1,000 | | | | 920 | |
Reg. S, (EUR Swap Rate 5 Year + 1.20%), 1.00%, 11/13/2030 (aa) | | | EUR 1,000 | | | | 972 | |
Reg. S, (EUR Swap Rate 5 Year + 1.15%), 1.00%, 11/16/2032 (aa) | | | EUR 1,500 | | | | 1,352 | |
Reg. S, 1.13%, 02/14/2025 | | EUR | 3,200 | | | | 3,321 | |
Reg. S, (SONIA Interest Rate Benchmark + 0.91%), 1.13%, 12/07/2028 (aa) | | | GBP 1,900 | | | | 1,891 | |
Reg. S, (ICE LIBOR EUR 3 Month + 0.85%), 1.25%, 02/16/2027 (aa) | | | EUR 1,200 | | | | 1,198 | |
Reg. S, 1.38%, 01/11/2028 | | EUR | 1,000 | | | | 969 | |
Reg. S, (EUR Swap Rate 5 Year + 1.25%), 1.63%, 09/26/2029 (aa) | | | EUR 1,000 | | | | 1,031 | |
(United States SOFR + 1.01%), 1.73%, 04/01/2027 (aa) | | | 1,465 | | | | 1,304 | |
Reg. S, 2.00%, 09/20/2028 | | EUR | 800 | | | | 787 | |
Reg. S, (EUR Swap Rate 5 Year + 1.35%), 2.00%, 03/22/2030 (aa) | | | EUR 3,000 | | | | 3,060 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.10%), 2.13%, 05/23/2026 (aa) | | | EUR 3,000 | | | | 3,120 | |
Reg. S, (EUR Swap Rate 5 Year + 2.40%), 2.13%, 05/26/2031 (aa) | | | EUR 1,300 | | | | 1,287 | |
Reg. S, 3.00%, 02/18/2026 | | GBP | 2,000 | | | | 2,307 | |
(United States SOFR + 1.64%), 3.87%, 03/28/2026 (aa) | | | 200 | | | | 192 | |
4.10%, 10/02/2023 | | | 200 | | | | 199 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.85%), 4.88%, 11/14/2027 (aa) | | EUR | 5,300 | | | | 5,822 | |
ING-DiBa AG, (Germany), Reg. S, 0.01%, 10/07/2028 | | EUR | 200 | | | | 184 | |
Intesa Sanpaolo SpA, (Italy), | | | | | | | | |
Reg. S, 0.38%, 09/14/2026 | | EUR | 100 | | | | 98 | |
Reg. S, 0.63%, 02/24/2026 | | EUR | 1,000 | | | | 986 | |
Reg. S, 0.75%, 12/04/2024 | | EUR | 500 | | | | 519 | |
Reg. S, 0.75%, 03/16/2028 | | EUR | 5,500 | | | | 5,110 | |
Reg. S, 1.00%, 07/04/2024 | | EUR | 1,500 | | | | 1,585 | |
Reg. S, 1.35%, 02/24/2031 | | EUR | 1,500 | | | | 1,236 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Banks — continued | |
Reg. S, 1.50%, 04/10/2024 | | EUR | 3,100 | | | | 3,315 | |
Reg. S, 1.75%, 03/20/2028 | | EUR | 4,000 | | | | 3,897 | |
Reg. S, 2.13%, 05/26/2025 | | EUR | 4,375 | | | | 4,570 | |
Reg. S, 2.50%, 01/15/2030 | | GBP | 3,000 | | | | 2,949 | |
Reg. S, 3.38%, 01/24/2025 | | EUR | 100 | | | | 108 | |
Reg. S, 4.75%, 09/06/2027 | | EUR | 1,000 | | | | 1,094 | |
Reg. S, 5.25%, 01/13/2030 | | EUR | 3,000 | | | | 3,360 | |
7.00%, 11/21/2025 (e) | | | 1,060 | | | | 1,069 | |
(CMT Index 1 Year + 3.90%), 7.78%, 06/20/2054 (e) (aa) | | | 650 | | | | 646 | |
(CMT Index 1 Year + 4.40%), 8.25%, 11/21/2033 (e) (aa) | | | 1,305 | | | | 1,370 | |
Series XR, 3.25%, 09/23/2024 (e) | | | 2,900 | | | | 2,781 | |
Investec plc, (United Kingdom), | | | | | | | | |
Reg. S, (UK Gilts 1 Year + 1.50%), 1.88%, 07/16/2028 (aa) | | GBP | 1,500 | | | | 1,490 | |
Reg. S, (UK Gilts 5 Year + 2.05%), 2.63%, 01/04/2032 (aa) | | GBP | 1,000 | | | | 995 | |
Investitionsbank Berlin, (Germany), | | | | | | | | |
Reg. S, 2.75%, 10/04/2027 | | EUR | 300 | | | | 321 | |
Series 208, 0.05%, 03/02/2035 | | EUR | 100 | | | | 76 | |
Jyske Bank A/S, (Denmark), | | | | | | | | |
Reg. S, (EUR Swap Rate 1 Year + 0.50%), 0.05%, 09/02/2026 (aa) | | EUR | 3,350 | | | | 3,293 | |
Reg. S, (ICE EURIBOR Swap Rate 1 Year + 0.42%), 0.25%, 02/17/2028 (aa) | | EUR | 2,000 | | | | 1,857 | |
Reg. S, (EUR Swap Rate 1 Year + 2.10%), 4.63%, 04/11/2026 (aa) | | EUR | 10,000 | | | | 10,821 | |
KBC Bank NV, (Belgium), Reg. S, 3.13%, 02/22/2027 | | EUR | 100 | | | | 108 | |
KBC Group NV, (Belgium), | | | | | | | | |
Reg. S, 0.63%, 04/10/2025 | | EUR | 8,000 | | | | 8,222 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.38%), 4.38%, 04/19/2030 (aa) | | EUR | 7,000 | | | | 7,567 | |
Reg. S, (UK Gilts 1 Year + 0.92%), 1.25%, 09/21/2027 (aa) | | GBP | 5,000 | | | | 5,326 | |
Kreditanstalt fuer Wiederaufbau, (Germany), | | | | | | | | |
Reg. S, 0.00%, 02/18/2025 | | EUR | 120 | | | | 124 | |
Reg. S, 0.00%, 06/15/2026 | | EUR | 500 | | | | 495 | |
Reg. S, 0.00%, 03/31/2027 | | EUR | 500 | | | | 484 | |
Reg. S, 0.00%, 04/30/2027 | | EUR | 2,230 | | | | 2,156 | |
Reg. S, 0.00%, 12/15/2027 | | EUR | 1,140 | | | | 1,084 | |
Reg. S, 0.00%, 09/15/2028 | | EUR | 1,325 | | | | 1,236 | |
Reg. S, 0.00%, 11/09/2028 | | EUR | 1,000 | | | | 928 | |
Reg. S, 0.00%, 06/15/2029 | | EUR | 254 | | | | 232 | |
Reg. S, 0.00%, 09/17/2030 | | EUR | 3,108 | | | | 2,742 | |
Reg. S, 0.00%, 01/10/2031 | | EUR | 670 | | | | 586 | |
Reg. S, 0.01%, 05/05/2027 | | EUR | 520 | | | | 503 | |
Reg. S, 0.05%, 09/29/2034 | | EUR | 780 | | | | 614 | |
Reg. S, 0.13%, 01/09/2032 | | EUR | 830 | | | | 715 | |
0.25%, 09/15/2025 | | EUR | 1,100 | | | | 1,122 | |
0.38%, 07/18/2025 | | | 1,400 | | | | 1,278 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 90 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Banks — continued | |
Reg. S, 0.38%, 04/23/2030 | | EUR | 360 | | | | 331 | |
Reg. S, 0.38%, 05/20/2036 | | EUR | 548 | | | | 428 | |
Reg. S, 0.50%, 09/28/2026 | | EUR | 2,520 | | | | 2,522 | |
0.50%, 09/15/2027 | | EUR | 500 | | | | 489 | |
0.63%, 01/07/2028 | | EUR | 720 | | | | 704 | |
Reg. S, 0.88%, 09/15/2026 | | GBP | 5,000 | | | | 5,489 | |
Reg. S, 0.88%, 07/04/2039 | | EUR | 400 | | | | 315 | |
Reg. S, 1.13%, 05/09/2033 | | EUR | 550 | | | | 507 | |
Reg. S, 1.38%, 12/15/2025 | | GBP | 425 | | | | 485 | |
Reg. S, 1.38%, 07/31/2035 | | EUR | 202 | | | | 183 | |
2.00%, 05/02/2025 | | | 195 | | | | 185 | |
Reg. S, 2.00%, 11/15/2029 | | EUR | 500 | | | | 514 | |
2.50%, 11/20/2024 | | | 750 | | | | 722 | |
Reg. S, 2.50%, 11/19/2025 | | EUR | 3,450 | | | | 3,693 | |
Reg. S, 2.75%, 05/15/2030 | | EUR | 1,300 | | | | 1,399 | |
Reg. S, 2.75%, 02/14/2033 | | EUR | 700 | | | | 752 | |
Reg. S, 4.13%, 02/18/2026 | | GBP | 10,000 | | | | 12,208 | |
4.70%, 06/02/2037 | | CAD | 100 | | | | 79 | |
Reg. S, 4.88%, 03/15/2037 | | GBP | 825 | | | | 1,061 | |
5.75%, 06/07/2032 | | GBP | 1,300 | | | | 1,777 | |
6.00%, 12/07/2028 | | GBP | 2,500 | | | | 3,293 | |
Series EXC, 5.50%, 06/18/2025 | | GBP | 9,900 | | | | 12,463 | |
Kutxabank SA, (Spain), Reg. S, 1.25%, 09/22/2025 | | EUR | 100 | | | | 103 | |
La Banque Postale SA, (France), | | | | | | | | |
Reg. S, 0.25%, 07/12/2026 | | EUR | 200 | | | | 194 | |
Reg. S, 0.75%, 06/23/2031 | | EUR | 100 | | | | 83 | |
Reg. S, (ICE LIBOR EUR 3 Month + 0.78%), 1.00%, 02/09/2028 (aa) | | EUR | 200 | | | | 190 | |
Reg. S, 1.38%, 04/24/2029 | | EUR | 200 | | | | 186 | |
Reg. S, 4.00%, 05/03/2028 | | EUR | 200 | | | | 216 | |
Reg. S, (EUR Swap Rate 5 Year + 2.85%), 5.50%, 03/05/2034 (aa) | | EUR | 100 | | | | 106 | |
Landesbank Baden-Wuerttemberg, (Germany), | | | | | | | | |
Reg. S, 0.25%, 07/21/2028 | | EUR | 200 | | | | 179 | |
Reg. S, 0.38%, 02/18/2027 | | EUR | 200 | | | | 188 | |
Reg. S, 0.38%, 02/28/2028 | | EUR | 100 | | | | 91 | |
Reg. S, 0.38%, 05/07/2029 | | EUR | 100 | | | | 86 | |
Reg. S, 0.88%, 09/15/2025 | | EUR | 100 | | | | 103 | |
Series 809, Reg. S, 0.38%, 07/29/2026 | | EUR | 100 | | | | 96 | |
Series 829, Reg. S, 1.75%, 02/28/2028 | | EUR | 100 | | | | 102 | |
Landesbank Hessen-Thueringen Girozentrale, (Germany), | | | | | | | | |
Reg. S, 0.38%, 06/04/2029 | | EUR | 100 | | | | 87 | |
Reg. S, 0.50%, 01/19/2037 | | EUR | 100 | | | | 77 | |
Reg. S, 0.63%, 01/12/2027 | | EUR | 100 | | | | 99 | |
Reg. S, 4.00%, 02/04/2030 | | EUR | 100 | | | | 107 | |
Reg. S, (ICE EURIBOR Swap Rate 5 Year + 2.75%), 4.50%, 09/15/2032 (aa) | | EUR | 100 | | | | 102 | |
Landeskreditbank Baden-Wuerttemberg Foerderbank, (Germany), | | | | | | | | |
Reg. S, 0.38%, 02/25/2027 | | EUR | 400 | | | | 392 | |
Reg. S, 0.63%, 12/15/2025 | | GBP | 2,000 | | | | 2,233 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Banks — continued | |
Landwirtschaftliche Rentenbank, (Germany), | | | | | | | | |
Reg. S, 0.00%, 09/28/2026 | | EUR | 535 | | | | 525 | |
Reg. S, 0.00%, 07/19/2028 | | EUR | 1,700 | | | | 1,587 | |
Reg. S, 0.00%, 12/13/2028 | | EUR | 720 | | | | 665 | |
Reg. S, 0.00%, 11/27/2029 | | EUR | 520 | | | | 468 | |
Reg. S, 0.05%, 12/18/2029 | | EUR | 180 | | | | 162 | |
Reg. S, 0.10%, 03/08/2027 | | EUR | 200 | | | | 194 | |
Reg. S, 0.25%, 08/29/2025 | | EUR | 300 | | | | 306 | |
Reg. S, 0.38%, 02/14/2028 | | EUR | 1,140 | | | | 1,096 | |
Reg. S, 0.50%, 02/28/2029 | | EUR | 400 | | | | 378 | |
Reg. S, 0.63%, 02/20/2030 | | EUR | 140 | | | | 131 | |
Reg. S, 0.63%, 10/31/2036 | | EUR | 75 | | | | 60 | |
Reg. S, 0.88%, 12/15/2026 | | GBP | 2,000 | | | | 2,170 | |
Reg. S, 2.75%, 02/16/2032 | | EUR | 200 | | | | 214 | |
Reg. S, 3.25%, 09/06/2030 | | EUR | 300 | | | | 332 | |
Lloyds Bank plc, (United Kingdom), | | | | | | | | |
Reg. S, 0.13%, 06/18/2026 | | EUR | 100 | | | | 98 | |
Reg. S, 6.00%, 02/08/2029 | | GBP | 100 | | | | 129 | |
Reg. S, 6.50%, 09/17/2040 | | GBP | 300 | | | | 429 | |
Lloyds Banking Group plc, | | | | | | | | |
(United Kingdom), (UK Gilts 5 Year + 1.60%), 1.99%, 12/15/2031 (aa) | | GBP | 1,900 | | | | 1,993 | |
Reg. S, (UK Gilts 5 Year + 2.40%), 2.71%, 12/03/2035 (aa) | | GBP | 600 | | | | 550 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.72%), 4.50%, 03/18/2030 (aa) | | | EUR 4,000 | | | | 4,248 | |
Macquarie Group Ltd., (Australia), | | | | | | | | |
Reg. S, 2.13%, 10/01/2031 | | GBP | 1,500 | | | | 1,394 | |
Reg. S, 4.08%, 05/31/2029 | | GBP | 2,000 | | | | 2,205 | |
Mediobanca Banca di Credito Finanziario SpA, (Italy), | | | | | | | | |
Reg. S, 0.75%, 07/15/2027 | | EUR | 425 | | | | 401 | |
Reg. S, 1.13%, 07/15/2025 | | EUR | 975 | | | | 998 | |
Reg. S, 2.38%, 06/30/2027 | | EUR | 100 | | | | 103 | |
Series 4, Reg. S, 1.38%, 11/10/2025 | | EUR | 100 | | | | 103 | |
Mitsubishi UFJ Financial Group, Inc., (Japan), | | | | | | | | |
(CMT Index 1 Year + 0.55%), 0.95%, 07/19/2025 (aa) | | | 400 | | | | 378 | |
(CMT Index 1 Year + 0.75%), 1.54%, 07/20/2027 (aa) | | | 2,000 | | | | 1,765 | |
Reg. S, (ICE LIBOR EUR 3 Month + 0.94%), 2.26%, 06/14/2025 (aa) | | | EUR 2,275 | | | | 2,430 | |
(CMT Index 1 Year + 0.83%), 2.34%, 01/19/2028 (aa) | | | 640 | | | | 572 | |
(CMT Index 1 Year + 1.55%), 5.06%, 09/12/2025 (aa) | | | 1,000 | | | | 988 | |
(CMT Index 1 Year + 1.90%), 5.35%, 09/13/2028 (aa) | | | 3,450 | | | | 3,423 | |
Mizuho Financial Group, Inc., (Japan), | | | | | | | | |
Reg. S, 0.12%, 09/06/2024 | | EUR | 1,000 | | | | 1,042 | |
Reg. S, 0.21%, 10/07/2025 | | EUR | 2,000 | | | | 2,010 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 91 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Banks — continued | |
Reg. S, (ICE LIBOR EUR 3 Month + 0.72%), 0.47%, 09/06/2029 (aa) | | EUR | 1,000 | | | | 893 | |
Reg. S, 2.10%, 04/08/2032 | | EUR | 1,000 | | | | 922 | |
(CME Term SOFR 3 Month + 1.09%), 2.23%, 05/25/2026 (aa) | | | 3,000 | | | | 2,781 | |
(CMT Index 1 Year + 0.90%), 2.65%, 05/22/2026 (aa) | | | 1,000 | | | | 935 | |
(United States SOFR + 1.24%), 2.84%, 07/16/2025 (aa) | | | 400 | | | | 385 | |
Reg. S, 4.42%, 05/20/2033 | | EUR | 10,000 | | | | 10,904 | |
(CMT Index 1 Year + 2.05%), 5.41%, 09/13/2028 (aa) | | | 2,900 | | | | 2,876 | |
Reg. S, 5.63%, 06/13/2028 | | GBP | 3,150 | | | | 3,803 | |
(CMT Index 1 Year + 1.90%), 5.75%, 07/06/2034 (w) (aa) | | | 780 | | | | 781 | |
Morgan Stanley, | | | | | | | | |
(ICE LIBOR EUR 3 Month + 0.70%), 0.41%, 10/29/2027 (aa) | | EUR | 4,350 | | | | 4,137 | |
(ICE LIBOR EUR 3 Month + 0.75%), 0.64%, 07/26/2024 (aa) | | EUR | 1,675 | | | | 1,824 | |
(United States SOFR + 0.56%), 1.16%, 10/21/2025 (aa) | | | 1,240 | | | | 1,159 | |
(United States SOFR + 0.86%), 1.51%, 07/20/2027 (aa) | | | 225 | | | | 199 | |
(United States SOFR + 0.88%), 1.59%, 05/04/2027 (aa) | | | 185 | | | | 166 | |
1.88%, 04/27/2027 | | EUR | 2,500 | | | | 2,503 | |
(ICE LIBOR EUR 3 Month + 0.90%), 2.10%, 05/08/2026 (aa) | | EUR | 900 | | | | 937 | |
2.63%, 03/09/2027 | | GBP | 1,425 | | | | 1,581 | |
(United States SOFR + 1.14%), 2.70%, 01/22/2031 (aa) | | | 1,000 | | | | 850 | |
(United States SOFR + 1.43%), 2.80%, 01/25/2052 (aa) | | | 45 | | | | 30 | |
(ICE LIBOR EUR 3 Month + 1.25%), 2.95%, 05/07/2032 (aa) | | EUR | 5,200 | | | | 5,115 | |
(United States SOFR + 1.16%), 3.62%, 04/17/2025 (aa) | | | 235 | | | | 230 | |
4.30%, 01/27/2045 | | | 170 | | | | 148 | |
4.38%, 01/22/2047 | | | 23 | | | | 20 | |
(CME Term SOFR 3 Month + 1.89%), 4.43%, 01/23/2030 (aa) | | | 75 | | | | 71 | |
(CME Term SOFR 3 Month + 1.69%), 4.46%, 04/22/2039 (aa) | | | 10 | | | | 9 | |
(ICE LIBOR EUR 3 Month + 1.30%), 4.66%, 03/02/2029 (aa) | | EUR | 2,400 | | | | 2,631 | |
(United States SOFR + 1.67%), 4.68%, 07/17/2026 (aa) | | | 965 | | | | 947 | |
(ICE LIBOR EUR 3 Month + 1.76%), 4.81%, 10/25/2028 (aa) | | EUR | 5,000 | | | | 5,511 | |
5.00%, 11/24/2025 | | | 140 | | | | 138 | |
(United States SOFR + 1.87%), 5.25%, 04/21/2034 (aa) | | | 1,255 | | | | 1,239 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Banks — continued | |
(United States SOFR + 4.84%), 5.60%, 03/24/2051 (aa) | | | 40 | | | | 42 | |
(SONIA Interest Rate Benchmark + 2.25%), 5.79%, 11/18/2033 (aa) | | | GBP 4,300 | | | | 5,226 | |
(CMT Index 5 Year + 2.43%), 5.95%, 01/19/2038 (aa) | | | 135 | | | | 133 | |
(United States SOFR + 2.24%), 6.30%, 10/18/2028 (aa) | | | 1,020 | | | | 1,048 | |
(United States SOFR + 2.56%), 6.34%, 10/18/2033 (aa) | | | 750 | | | | 798 | |
Muenchener Hypothekenbank eG, (Germany), | | | | | | | | |
Reg. S, 0.01%, 11/02/2040 | | EUR | 50 | | | | 31 | |
Reg. S, 0.13%, 02/01/2029 | | EUR | 50 | | | | 46 | |
Reg. S, 1.00%, 04/18/2039 | | EUR | 50 | | | | 40 | |
Reg. S, 1.50%, 06/25/2024 | | EUR | 100 | | | | 107 | |
Reg. S, 2.50%, 07/04/2028 | | EUR | 50 | | | | 52 | |
National Australia Bank Ltd., (Australia), | | | | | | | | |
Reg. S, 0.25%, 05/20/2024 | | EUR | 1,000 | | | | 1,055 | |
Reg. S, 0.63%, 09/18/2024 | | EUR | 1,000 | | | | 1,048 | |
Reg. S, 0.75%, 01/30/2026 | | EUR | 100 | | | | 101 | |
Reg. S, 1.25%, 05/18/2026 | | EUR | 1,000 | | | | 1,017 | |
Reg. S, (UK Gilts 5 Year + 1.40%), 1.70%, 09/15/2031 (aa) | | GBP | 1,425 | | | | 1,475 | |
Reg. S, 2.13%, 05/24/2028 | | EUR | 500 | | | | 506 | |
Reg. S, 2.35%, 08/30/2029 | | EUR | 100 | | | | 102 | |
National Bank of Canada, (Canada), | | | | | | | | |
Reg. S, 0.75%, 03/13/2025 | | EUR | 100 | | | | 103 | |
5.25%, 01/17/2025 | | | 250 | | | | 248 | |
Nationale-Nederlanden Bank NV (The), (Netherlands), Reg. S, 0.01%, 07/08/2030 | | EUR | 100 | | | | 87 | |
NatWest Group plc, (United Kingdom), | | | | | | | | |
Reg. S, (ICE LIBOR EUR 3 Month + 0.89%), 0.67%, 09/14/2029 (aa) | | EUR | 2,200 | | | | 1,938 | |
Reg. S, (EUR Swap Rate 5 Year + 1.27%), 1.04%, 09/14/2032 (aa) | | EUR | 2,375 | | | | 2,113 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.08%), 1.75%, 03/02/2026 (aa) | | EUR | 1,200 | | | | 1,243 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.74%), 2.00%, 03/04/2025 (aa) | | EUR | 100 | | | | 107 | |
Reg. S, (UK Gilts 5 Year + 1.75%), 2.11%, 11/28/2031 (aa) | | GBP | 600 | | | | 627 | |
Reg. S, (GBP Swap Rate 1 Year + 1.49%), 2.88%, 09/19/2026 (aa) | | GBP | 2,000 | | | | 2,302 | |
Reg. S, (UK Gilts 1 Year + 2.10%), 3.62%, 03/29/2029 (aa) | | GBP | 4,000 | | | | 4,358 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.91%), 4.07%, 09/06/2028 (aa) | | EUR | 1,950 | | | | 2,060 | |
(CMT Index 1 Year + 1.95%), 5.81%, 09/13/2029 (aa) | | | 1,670 | | | | 1,645 | |
NatWest Markets plc, (United Kingdom), | | | | | | | | |
Reg. S, 0.13%, 06/18/2026 | | EUR | 1,000 | | | | 963 | |
Reg. S, 2.00%, 08/27/2025 | | EUR | 1,000 | | | | 1,037 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 92 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Banks — continued | |
NIBC Bank NV, (Netherlands), Reg. S, 0.63%, 06/01/2026 | | EUR | 100 | | | | 100 | |
NORD / LB Luxembourg SA Covered Bond Bank, (Luxembourg), Reg. S, 0.01%, 06/10/2027 | | EUR | 100 | | | | 95 | |
Norddeutsche Landesbank-Girozentrale, (Germany), | | | | | | | | |
Reg. S, 0.01%, 09/23/2026 | | EUR | 100 | | | | 97 | |
Reg. S, 0.25%, 10/28/2026 | | EUR | 20 | | | | 20 | |
Reg. S, 0.50%, 06/29/2026 | | EUR | 50 | | | | 50 | |
Reg. S, 3.13%, 02/20/2026 | | EUR | 50 | | | | 54 | |
Nordea Bank Abp, (Finland), | | | | | | | | |
Reg. S, (EUR Swap Rate 5 Year + 0.92%), 0.63%, 08/18/2031 (aa) | | EUR | 5,000 | | | | 4,758 | |
Reg. S, 1.13%, 02/16/2027 | | EUR | 2,000 | | | | 1,967 | |
Reg. S, 4.13%, 05/05/2028 | | EUR | 10,025 | | | | 10,829 | |
Nordea Hypotek AB, (Sweden), | | | | | | | | |
Series 5534, Reg. S, 1.00%, 09/18/2024 | | SEK | 500 | | | | 45 | |
Series 5535, Reg. S, 1.00%, 09/17/2025 | | SEK | 2,200 | | | | 191 | |
Series 5536, Reg. S, 0.50%, 09/16/2026 | | SEK | 1,200 | | | | 99 | |
Series 5537, Reg. S, 1.00%, 06/16/2027 | | SEK | 2,000 | | | | 166 | |
Nordea Kiinnitysluottopankki OYJ, (Finland), | | | | | | | | |
Reg. S, 0.13%, 06/18/2027 | | EUR | 100 | | | | 96 | |
Reg. S, 2.50%, 09/14/2032 | | EUR | 100 | | | | 103 | |
NRW Bank, (Germany), | | | | | | | | |
Reg. S, 0.00%, 07/28/2031 | | EUR | 138 | | | | 118 | |
Reg. S, 0.10%, 07/09/2035 | | EUR | 300 | | | | 228 | |
Reg. S, 0.25%, 03/10/2025 | | EUR | 120 | | | | 123 | |
Reg. S, 0.38%, 12/16/2024 | | GBP | 2,000 | | | | 2,343 | |
Reg. S, 0.38%, 05/16/2029 | | EUR | 550 | | | | 511 | |
Reg. S, 0.50%, 05/26/2025 | | EUR | 320 | | | | 329 | |
Reg. S, 0.50%, 06/17/2041 | | EUR | 100 | | | | 70 | |
Reg. S, 0.75%, 06/30/2028 | | EUR | 260 | | | | 252 | |
1.20%, 03/28/2039 | | EUR | 100 | | | | 82 | |
1.25%, 05/13/2049 | | EUR | 87 | | | | 65 | |
2.75%, 02/21/2029 | | EUR | 500 | | | | 534 | |
Reg. S, 3.00%, 05/31/2030 | | EUR | 500 | | | | 542 | |
Nykredit Realkredit A/S, (Denmark), | | | | | | | | |
Reg. S, (EUR Swap Rate 5 Year + 1.18%), 0.88%, 07/28/2031 (aa) | | EUR | 5,000 | | | | 4,698 | |
Series 13H, Reg. S, 1.00%, 07/01/2024 | | DKK | 500 | | | | 71 | |
Series 13H, Reg. S, 1.00%, 07/01/2026 | | DKK | 600 | | | | 81 | |
Series 13H, Reg. S, 1.00%, 01/01/2027 | | DKK | 1,000 | | | | 134 | |
Series 13H, Reg. S, 1.00%, 01/01/2028 | | DKK | 200 | | | | 26 | |
Series 13H, Reg. S, 2.00%, 01/01/2025 | | DKK | 300 | | | | 43 | |
Series 13H, Reg. S, 2.00%, 01/01/2026 | | DKK | 1,000 | | | | 141 | |
Oesterreichische Kontrollbank AG, (Austria), | | | | | | | | |
Reg. S, 0.00%, 10/08/2026 | | EUR | 150 | | | | 147 | |
Reg. S, 0.25%, 09/26/2024 | | EUR | 300 | | | | 313 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Banks — continued | |
OP Corporate Bank plc, (Finland), Reg. S, 4.13%, 04/18/2027 | | EUR | 3,000 | | | | 3,278 | |
OP Mortgage Bank, (Finland), | | | | | | | | |
Reg. S, 0.63%, 02/15/2029 | | EUR | 100 | | | | 94 | |
Reg. S, 1.00%, 10/05/2027 | | EUR | 100 | | | | 99 | |
Reg. S, 2.75%, 06/22/2026 | | EUR | 100 | | | | 106 | |
Pfandbriefbank schweizerischer Hypothekarinstitute AG, (Switzerland), | | | | | | | | |
Reg. S, 0.00%, 02/26/2030 | | CHF | 800 | | | | 797 | |
Series 675, Reg. S, 0.00%, 06/15/2027 | | CHF | 50 | | | | 52 | |
Series 680, Reg. S, 0.00%, 03/30/2026 | | CHF | 100 | | | | 106 | |
Series 682, Reg. S, 0.00%, 04/06/2027 | | CHF | 100 | | | | 104 | |
Series 683, Reg. S, 0.00%, 02/25/2028 | | CHF | 200 | | | | 205 | |
Series 684, Reg. S, 0.00%, 05/10/2045 | | CHF | 125 | | | | 97 | |
Series 695, Reg. S, 0.00%, 10/26/2029 | | CHF | 200 | | | | 200 | |
Series 697, Reg. S, 0.00%, 05/20/2041 | | CHF | 200 | | | | 164 | |
Pfandbriefzentrale der schweizerischen Kantonalbanken AG, (Switzerland), | | | | | | | | |
Series 483, Reg. S, 0.00%, 01/27/2027 | | CHF | 700 | | | | 732 | |
Series 485, Reg. S, 0.00%, 10/02/2026 | | CHF | 100 | | | | 105 | |
Series 517, Reg. S, 0.00%, 04/02/2031 | | CHF | 100 | | | | 98 | |
Series 524, Reg. S, 0.00%, 06/21/2028 | | CHF | 50 | | | | 51 | |
Series 528, Reg. S, 0.00%, 03/15/2030 | | CHF | 50 | | | | 50 | |
Series 530, Reg. S, 0.00%, 03/18/2033 | | CHF | 120 | | | | 114 | |
Series 531, Reg. S, 0.00%, 02/15/2036 | | CHF | 205 | | | | 184 | |
Series 534, Reg. S, 0.00%, 03/13/2028 | | CHF | 50 | | | | 51 | |
Series 538, Reg. S, 0.00%, 07/25/2031 | | CHF | 200 | | | | 194 | |
PNC Financial Services Group, Inc. (The), | | | | | | | | |
(SOFR Compounded Index + 1.09%), 5.67%, 10/28/2025 (aa) | | | 580 | | | | 575 | |
(United States SOFR + 1.32%), 5.81%, 06/12/2026 (aa) | | | 180 | | | | 179 | |
Prima Banka Slovensko A/S, (Slovakia), Reg. S, 0.01%, 09/14/2027 | | EUR | 100 | | | | 93 | |
Raiffeisen Bank International AG, (Austria), | | | | | | | | |
Reg. S, 0.25%, 01/22/2025 | | EUR | 2,000 | | | | 2,025 | |
Reg. S, 3.88%, 03/16/2026 | | EUR | 100 | | | | 109 | |
Reg. S, 4.13%, 09/08/2025 | | EUR | 3,000 | | | | 3,224 | |
Reg. S, 5.75%, 01/27/2028 | | EUR | 3,000 | | | | 3,371 | |
Raiffeisenlandesbank Niederoesterreich-Wien AG, (Austria), Reg. S, 0.63%, 08/28/2026 | | EUR | 200 | | | | 198 | |
Raiffeisenlandesbank Oberoesterreich AG, (Austria), Reg. S, 1.25%, 04/26/2027 | | EUR | 100 | | | | 100 | |
Raiffeisen-Landesbank Tirol AG, (Austria), Reg. S, 3.00%, 01/24/2028 | | EUR | 100 | | | | 106 | |
Rheinland-Pfalz Bank, (Germany), SUB, 6.88%, 02/23/2028 (e) | | | 200 | | | | 216 | |
Royal Bank of Canada, (Canada), | | | | | | | | |
Reg. S, 0.01%, 10/05/2028 | | EUR | 100 | | | | 91 | |
Reg. S, 0.25%, 05/02/2024 | | EUR | 1,300 | | | | 1,374 | |
Reg. S, 0.63%, 09/10/2025 | | EUR | 100 | | | | 102 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 93 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Banks — continued | |
1.15%, 06/10/2025 | | | 100 | | | | 92 | |
Reg. S, 2.38%, 09/13/2027 | | EUR | 150 | | | | 155 | |
3.63%, 05/04/2027 | | | 90 | | | | 85 | |
5.00%, 02/01/2033 | | | 110 | | | | 108 | |
5.66%, 10/25/2024 | | | 530 | | | | 530 | |
6.00%, 11/01/2027 | | | 30 | | | | 31 | |
Santander Consumer Bank A/S, (Norway), Reg. S, 0.13%, 02/25/2025 | | EUR | 5,200 | | | | 5,278 | |
Santander Holdings USA, Inc., | | | | | | | | |
3.45%, 06/02/2025 | | | 45 | | | | 42 | |
(United States SOFR + 2.36%), 6.50%, 03/09/2029 (aa) | | | 190 | | | | 188 | |
Santander UK Group Holdings plc, (United Kingdom), | | | | | | | | |
Reg. S, (EUR Swap Rate 1 Year + 0.80%), 0.60%, 09/13/2029 (aa) | | EUR | 2,050 | | | | 1,781 | |
(United States SOFR + 0.79%), 1.09%, 03/15/2025 (aa) | | | 600 | | | | 575 | |
(United States SOFR + 1.22%), 2.47%, 01/11/2028 (aa) | | | 480 | | | | 419 | |
(United States SOFR + 2.75%), 6.83%, 11/21/2026 (aa) | | | 2,200 | | | | 2,204 | |
Santander UK plc, (United Kingdom), Reg. S, 0.05%, 01/12/2027 | | EUR | 100 | | | | 96 | |
Skandinaviska Enskilda Banken AB, (Sweden), | | | | | | | | |
Reg. S, 0.05%, 07/01/2024 | | EUR | 1,475 | | | | 1,547 | |
Reg. S, (EUR Swap Rate 5 Year + 1.35%), 1.38%, 10/31/2028 (aa) | | EUR | 425 | | | | 457 | |
Reg. S, 3.25%, 11/24/2025 | | EUR | 6,825 | | | | 7,284 | |
Reg. S, 3.25%, 05/04/2028 | | EUR | 100 | | | | 108 | |
Series 581, Reg. S, 0.50%, 12/16/2026 | | SEK | 2,000 | | | | 165 | |
Series 601, Reg. S, 3.00%, 12/06/2027 | | SEK | 2,000 | | | | 178 | |
Societe Generale SA, (France), | | | | | | | | |
Reg. S, 0.13%, 02/24/2026 | | EUR | 1,000 | | | | 978 | |
Reg. S, 0.25%, 07/08/2027 | | EUR | 2,900 | | | | 2,696 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.28%), 0.88%, 09/22/2028 (aa) | | | EUR 1,500 | | | | 1,398 | |
(EUR Swap Rate 5 Year + 1.55%), 1.00%, 11/24/2030 (aa) | | EUR | 1,000 | | | | 964 | |
Reg. S, 1.13%, 01/23/2025 | | EUR | 200 | | | | 208 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.50%), 1.13%, 04/21/2026 (aa) | | | EUR 3,900 | | | | 3,987 | |
Reg. S, (EUR Swap Rate 5 Year + 1.60%), 1.13%, 06/30/2031 (aa) | | | EUR 1,000 | | | | 945 | |
Reg. S, 1.25%, 12/07/2027 | | GBP | 3,000 | | | | 3,002 | |
Reg. S, 1.25%, 06/12/2030 | | EUR | 2,000 | | | | 1,754 | |
Reg. S, (ICE LIBOR EUR 3 Month + 0.60%), 1.50%, 05/30/2025 (aa) | | EUR | 500 | | | | 530 | |
(CMT Index 1 Year + 1.05%), 2.23%, 01/21/2026 (e) (aa) | | | 2,850 | | | | 2,646 | |
Reg. S, 2.63%, 05/30/2029 | | EUR | 1,000 | | | | 1,009 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Banks — continued | |
(CMT Index 1 Year + 1.30%), 2.80%, 01/19/2028 (e) (aa) | | | 2,595 | | | | 2,297 | |
Reg. S, 4.00%, 11/16/2027 | | EUR | 8,000 | | | | 8,639 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.80%), 4.25%, 12/06/2030 (aa) | | | EUR 1,500 | | | | 1,581 | |
SpareBank 1 Boligkreditt A/S, (Norway), | | | | | | | | |
Reg. S, 0.01%, 09/22/2027 | | EUR | 5,000 | | | | 4,704 | |
Reg. S, 0.13%, 05/12/2031 | | EUR | 100 | | | | 85 | |
Reg. S, 0.38%, 06/26/2024 | | EUR | 100 | | | | 105 | |
Reg. S, 1.00%, 01/30/2029 | | EUR | 100 | | | | 96 | |
Sparebank 1 Oestlandet, (Norway), | | | | | | | | |
Reg. S, 0.25%, 09/30/2024 | | EUR | 600 | | | | 621 | |
Reg. S, 1.75%, 04/27/2027 | | EUR | 1,000 | | | | 1,000 | |
SpareBank 1 SR-Bank ASA, (Norway), Reg. S, 0.63%, 03/25/2024 | | EUR | 700 | | | | 743 | |
Sparebanken Soer Boligkreditt A/S, (Norway), | | | | | | | | |
Reg. S, 0.01%, 09/25/2028 | | EUR | 5,000 | | | | 4,563 | |
Reg. S, 0.50%, 02/06/2026 | | EUR | 100 | | | | 100 | |
SR-Boligkreditt A/S, (Norway), Reg. S, 0.01%, 03/10/2031 | | EUR | 100 | | | | 85 | |
Stadshypotek AB, (Sweden), | | | | | | | | |
Reg. S, 0.01%, 11/24/2028 | | EUR | 100 | | | | 91 | |
Reg. S, 0.50%, 07/11/2025 | | EUR | 100 | | | | 102 | |
Reg. S, 3.63%, 06/20/2028 | | SEK | 2,000 | | | | 183 | |
Series 1590, Reg. S, 1.00%, 09/03/2025 | | SEK | 2,000 | | | | 174 | |
Series 1591, Reg. S, 0.50%, 06/01/2026 | | SEK | 2,000 | | | | 168 | |
Series 1592, Reg. S, 1.00%, 03/01/2027 | | SEK | 2,000 | | | | 167 | |
Series 1594, Reg. S, 2.00%, 09/01/2028 | | SEK | 2,000 | | | | 168 | |
Standard Chartered plc, (United Kingdom), | | | | | | | | |
Reg. S, (EUR Swap Rate 5 Year + 1.55%), 1.20%, 09/23/2031 (aa) | | | EUR 4,000 | | | | 3,680 | |
(CMT Index 1 Year + 1.00%), 1.46%, 01/14/2027 (e) (aa) | | | 1,200 | | | | 1,063 | |
(CMT Index 1 Year + 1.18%), 2.61%, 01/12/2028 (e) (aa) | | | 2,600 | | | | 2,301 | |
Sumitomo Mitsui Financial Group, Inc., (Japan), 1.47%, 07/08/2025 | | | 250 | | | | 230 | |
Reg. S, 1.55%, 06/15/2026 | | EUR | 6,000 | | | | 6,062 | |
1.90%, 09/17/2028 | | | 400 | | | | 336 | |
5.46%, 01/13/2026 | | | 200 | | | | 199 | |
5.52%, 01/13/2028 | | | 200 | | | | 201 | |
5.71%, 01/13/2030 | | | 200 | | | | 202 | |
5.77%, 01/13/2033 | | | 760 | | | | 782 | |
Sumitomo Mitsui Trust Bank Ltd., (Japan), Reg. S, 0.01%, 10/15/2027 | | EUR | 100 | | | | 93 | |
Svenska Handelsbanken AB, (Sweden), | | | | | | | | |
Reg. S, 0.05%, 09/06/2028 | | EUR | 1,000 | | | | 896 | |
Reg. S, 0.13%, 11/03/2026 | | EUR | 3,200 | | | | 3,074 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 94 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Banks — continued | |
Reg. S, 0.50%, 02/18/2030 | | EUR | 1,875 | | | | 1,608 | |
Reg. S, 1.00%, 04/15/2025 | | EUR | 2,000 | | | | 2,068 | |
Reg. S, (EUR Swap Rate 5 Year + 1.80%), 3.25%, 06/01/2033 (aa) | | | EUR 1,500 | | | | 1,494 | |
Reg. S, 3.75%, 11/01/2027 | | EUR | 1,200 | | | | 1,298 | |
Sveriges Sakerstallda Obligationer AB, (Sweden), | | | | | | | | |
Reg. S, 0.01%, 03/14/2030 | | EUR | 100 | | | | 87 | |
Reg. S, 0.63%, 10/30/2025 | | EUR | 100 | | | | 101 | |
Series 146, Reg. S, 0.50%, 06/11/2025 | | SEK | 2,000 | | | | 173 | |
Series 147, Reg. S, 2.00%, 06/17/2026 | | SEK | 1,000 | | | | 88 | |
Series 148, Reg. S, 0.25%, 06/09/2027 | | SEK | 2,000 | | | | 161 | |
Swedbank AB, (Sweden), | | | | | | | | |
Reg. S, (EUR Swap Rate 1 Year + 0.57%), 0.30%, 05/20/2027 (aa) | | | EUR 1,500 | | | | 1,440 | |
Reg. S, 0.75%, 05/05/2025 | | EUR | 1,300 | | | | 1,328 | |
Reg. S, 1.30%, 02/17/2027 | | EUR | 1,000 | | | | 974 | |
Reg. S, (UK Gilts 1 Year + 1.00%), 1.38%, 12/08/2027 (aa) | | GBP | 1,500 | | | | 1,580 | |
Reg. S, (EUR Swap Rate 5 Year + 1.28%), 1.50%, 09/18/2028 (aa) | | | EUR 1,900 | | | | 2,048 | |
Reg. S, 2.10%, 05/25/2027 | | EUR | 1,000 | | | | 1,010 | |
Reg. S, (EUR Swap Rate 5 Year + 2.15%), 3.63%, 08/23/2032 (aa) | | | EUR 1,500 | | | | 1,496 | |
Reg. S, (UK Gilts 5 Year + 3.80%), 7.27%, 11/15/2032 (aa) | | GBP | 6,000 | | | | 7,383 | |
Sydbank A/S, (Denmark), Reg. S, (EUR Swap Rate 1 Year + 1.80%), 4.75%, 09/30/2025 (aa) | | | EUR 6,500 | | | | 7,036 | |
Toronto-Dominion Bank (The), (Canada), 1.25%, 09/10/2026 | | | 20 | | | | 18 | |
Reg. S, 1.71%, 07/28/2025 | | EUR | 100 | | | | 104 | |
Reg. S, 1.95%, 04/08/2030 | | EUR | 1,300 | | | | 1,231 | |
Reg. S, 2.88%, 04/05/2027 | | GBP | 5,000 | | | | 5,542 | |
Reg. S, 3.72%, 03/13/2030 | | EUR | 100 | | | | 110 | |
4.29%, 09/13/2024 | | | 5 | | | | 5 | |
4.69%, 09/15/2027 | | | 515 | | | | 504 | |
Truist Financial Corp., | | | | | | | | |
1.20%, 08/05/2025 | | | 160 | | | | 145 | |
3.88%, 03/19/2029 | | | 1,400 | | | | 1,253 | |
(United States SOFR + 2.36%), 5.87%, 06/08/2034 (aa) | | | 370 | | | | 370 | |
(United States SOFR + 2.05%), 6.05%, 06/08/2027 (aa) | | | 220 | | | | 220 | |
UBS AG, (Switzerland), Reg. S, 0.50%, 03/31/2031 | | EUR | 1,000 | | | | 836 | |
UBS Group AG, (Switzerland), | | | | | | | | |
Reg. S, 0.25%, 02/24/2028 | | EUR | 1,000 | | | | 891 | |
Reg. S, (EUR Swap Rate 1 Year + 0.77%), 0.25%, 11/05/2028 (aa) | | | EUR 1,200 | | | | 1,072 | |
Reg. S, 0.63%, 02/24/2033 | | EUR | 1,000 | | | | 767 | |
Reg. S, (ICE EURIBOR Swap Rate 1 Year + 0.80%), 1.00%, 03/21/2025 (aa) | | | EUR 3,000 | | | | 3,173 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Banks — continued | |
Reg. S, (EUR Swap Rate 1 Year + 0.75%), 1.25%, 04/17/2025 (aa) | | EUR | 200 | | | | 211 | |
Reg. S, (EUR Swap Rate 1 Year + 0.75%), 1.25%, 07/17/2025 (aa) | | | EUR 1,400 | | | | 1,461 | |
Reg. S, 1.25%, 09/01/2026 | | EUR | 1,000 | | | | 981 | |
Reg. S, (EUR Swap Rate 1 Year + 1.60%), 2.13%, 10/13/2026 (aa) | | EUR | 900 | | | | 914 | |
(CMT Index 1 Year + 1.10%), 2.75%, 02/11/2033 (e) (aa) | | | 1,000 | | | | 779 | |
Reg. S, (ICE EURIBOR Swap Rate 1 Year + 1.15%), 2.75%, 06/15/2027 (aa) | | | EUR 5,000 | | | | 5,099 | |
Reg. S, (EUR Swap Rate 1 Year + 1.95%), 2.88%, 04/02/2032 (aa) | | | EUR 2,600 | | | | 2,470 | |
(United States SOFR + 1.73%), 3.09%, 05/14/2032 (e) (aa) | | | 755 | | | | 610 | |
Reg. S, (ICE EURIBOR Swap Rate 1 Year + 1.35%), 3.13%, 06/15/2030 (aa) | | | EUR 1,500 | | | | 1,498 | |
Reg. S, (ICE EURIBOR Swap Rate 1 Year + 1.55%), 4.38%, 01/11/2031 (aa) | | | EUR 2,000 | | | | 2,120 | |
UniCredit Bank AG, (Germany), | |
Reg. S, 0.01%, 09/15/2028 | | EUR | 50 | | | | 46 | |
Reg. S, 0.01%, 03/10/2031 | | EUR | 125 | | | | 107 | |
Reg. S, 0.85%, 05/22/2034 | | EUR | 50 | | | | 43 | |
Reg. S, 0.88%, 01/11/2029 | | EUR | 100 | | | | 96 | |
Reg. S, 1.88%, 04/09/2024 | | EUR | 100 | | | | 107 | |
UniCredit Bank Austria AG, (Austria), Reg. S, 0.05%, 09/21/2035 | | EUR | 100 | | | | 74 | |
UniCredit SpA, (Italy), | | | | | | | | |
Reg. S, 0.33%, 01/19/2026 | | EUR | 1,000 | | | | 988 | |
Reg. S, 0.38%, 10/31/2026 | | EUR | 100 | | | | 97 | |
Reg. S, 0.50%, 04/09/2025 | | EUR | 1,000 | | | | 1,021 | |
Reg. S, (ICE LIBOR EUR 3 Month + 0.90%), 0.80%, 07/05/2029 (aa) | | | EUR 1,000 | | | | 912 | |
Reg. S, 0.85%, 01/19/2031 | | EUR | 1,000 | | | | 830 | |
Reg. S, (ICE LIBOR EUR 3 Month + 0.85%), 0.93%, 01/18/2028 (aa) | | | EUR 1,000 | | | | 961 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.35%), 1.20%, 01/20/2026 (aa) | | | EUR 3,275 | | | | 3,381 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.55%), 1.25%, 06/25/2025 (aa) | | | EUR 1,000 | | | | 1,056 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.90%), 1.63%, 07/03/2025 (aa) | | EUR | 500 | | | | 529 | |
Reg. S, 1.63%, 01/18/2032 | | EUR | 1,000 | | | | 860 | |
Reg. S, 1.80%, 01/20/2030 | | EUR | 1,000 | | | | 901 | |
Reg. S, 2.13%, 10/24/2026 | | EUR | 1,000 | | | | 1,024 | |
Reg. S, (ICE LIBOR EUR 3 Month + 2.55%), 2.20%, 07/22/2027 (aa) | | | EUR 1,000 | | | | 1,007 | |
(CMT Index 1 Year + 2.30%), 2.57%, 09/22/2026 (e) (aa) | | | 3,000 | | | | 2,707 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.60%), 4.45%, 02/16/2029 (aa) | | | EUR 9,350 | | | | 9,881 | |
Reg. S, (ICE LIBOR EUR 3 Month + 1.90%), 4.80%, 01/17/2029 (aa) | | | EUR 5,000 | | | | 5,456 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 95 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Banks — continued | |
Reg. S, (ICE LIBOR EUR 3 Month + 2.85%), 5.85%, 11/15/2027 (aa) | | | EUR 6,500 | | | | 7,257 | |
United Overseas Bank Ltd., (Singapore), Reg. S, 0.01%, 12/01/2027 | | EUR | 100 | | | | 93 | |
US Bancorp, | | | | | | | | |
0.85%, 06/07/2024 | | EUR | 800 | | | | 836 | |
(CMT Index 5 Year + 2.54%), 3.70%, 01/15/2027 (x) (aa) | | | 2,300 | | | | 1,706 | |
(United States SOFR + 1.66%), 4.55%, 07/22/2028 (aa) | | | 20 | | | | 19 | |
(United States SOFR + 1.23%), 4.65%, 02/01/2029 (aa) | | | 45 | | | | 43 | |
(United States SOFR + 1.43%), 5.73%, 10/21/2026 (aa) | | | 280 | | | | 280 | |
(United States SOFR + 2.02%), 5.78%, 06/12/2029 (aa) | | | 375 | | | | 375 | |
(United States SOFR + 2.26%), 5.84%, 06/12/2034 (aa) | | | 725 | | | | 730 | |
Valiant Bank AG, (Switzerland), Reg. S, 0.00%, 07/31/2029 | | CHF | 50 | | | | 50 | |
| | |
Virgin Money UK plc, (United Kingdom), | | | | | | | | |
Reg. S, (SONIA Interest Rate Benchmark + 2.57%), 3.13%, 06/22/2025 (aa) | | | GBP 1,000 | | | | 1,204 | |
Reg. S, (UK Gilts 1 Year + 2.80%), 4.00%, 09/25/2026 (aa) | | GBP | 200 | | | | 229 | |
Reg. S, (UK Gilts 5 Year + 5.25%), 5.13%, 12/11/2030 (aa) | | GBP | 1,000 | | | | 1,140 | |
| | |
Wells Fargo & Co., | | | | | | | | |
Reg. S, 1.00%, 02/02/2027 | | EUR | 1,000 | | | | 965 | |
Reg. S, 1.38%, 10/26/2026 | | EUR | 1,000 | | | | 988 | |
Reg. S, 2.00%, 04/27/2026 | | EUR | 1,000 | | | | 1,020 | |
Reg. S, 2.13%, 09/24/2031 | | GBP | 1,000 | | | | 937 | |
(CME Term SOFR 3 Month + 1.09%), 2.41%, 10/30/2025 (aa) | | | 92 | | | | 88 | |
Reg. S, 2.50%, 05/02/2029 | | GBP | 1,500 | | | | 1,521 | |
(United States SOFR + 2.53%), 3.07%, 04/30/2041 (aa) | | | 2,440 | | | | 1,792 | |
(CME Term SOFR 3 Month + 1.43%), 3.20%, 06/17/2027 (aa) | | | 1,590 | | | | 1,493 | |
Reg. S, (SONIA Interest Rate Benchmark + 1.28%), 3.47%, 04/26/2028 (aa) | | | GBP 1,000 | | | | 1,113 | |
Reg. S, 3.50%, 09/12/2029 | | GBP | 1,500 | | | | 1,600 | |
(United States SOFR + 1.51%), 3.53%, 03/24/2028 (aa) | | | 370 | | | | 345 | |
3.90%, 05/01/2045 | | | 20 | | | | 16 | |
(United States SOFR + 1.32%), 3.91%, 04/25/2026 (aa) | | | 1,635 | | | | 1,580 | |
(United States SOFR + 1.56%), 4.54%, 08/15/2026 (aa) | | | 65 | | | | 63 | |
(United States SOFR + 2.13%), 4.61%, 04/25/2053 (aa) | | | 1,000 | | | | 873 | |
4.63%, 11/02/2035 | | GBP | 1,500 | | | | 1,679 | |
4.75%, 12/07/2046 | | | 95 | | | | 81 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Banks — continued | |
(United States SOFR + 1.98%), 4.81%, 07/25/2028 (aa) | | | 1,360 | | | | 1,329 | |
Reg. S, 4.88%, 11/29/2035 | | GBP | 1,000 | | | | 1,073 | |
(United States SOFR + 2.02%), 5.39%, 04/24/2034 (aa) | | | 940 | | | | 934 | |
5.61%, 01/15/2044 | | | 24 | | | | 23 | |
Westpac Banking Corp., (Australia), | | | | | | | | |
Reg. S, 0.01%, 09/22/2028 | | EUR | 100 | | | | 90 | |
Reg. S, 0.88%, 04/17/2027 | | EUR | 1,000 | | | | 968 | |
Reg. S, 1.08%, 04/05/2027 | | EUR | 100 | | | | 99 | |
3.74%, 08/26/2025 | | | 580 | | | | 562 | |
Westpac Securities NZ Ltd., (New Zealand), | | | | | | | | |
Reg. S, 0.43%, 12/14/2026 | | EUR | 2,500 | | | | 2,398 | |
Reg. S, 3.75%, 04/20/2028 | | EUR | 100 | | | | 109 | |
Wirtschafts- und Infrastrukturbank Hessen, (Germany), 0.88%, 06/14/2028 | | EUR | 100 | | | | 97 | |
Zuercher Kantonalbank, (Switzerland), Series 150, Reg. S, 0.10%, 03/31/2031 | | CHF | 240 | | | | 234 | |
| | | | | | | | |
| | |
| | | | | | | 1,275,319 | |
| | | | | | | | |
Diversified Financial Services — 0.8% | |
Aareal Bank AG, (Germany), | | | | | | | | |
Reg. S, 3.13%, 02/13/2026 | | EUR | 100 | | | | 108 | |
Reg. S, 4.50%, 07/25/2025 | | EUR | 2,300 | | | | 2,432 | |
Series 236, Reg. S, 0.01%, 02/01/2028 | | EUR | 100 | | | | 93 | |
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, (Ireland), | | | | | | | | |
2.45%, 10/29/2026 | | | 650 | | | | 581 | |
3.85%, 10/29/2041 | | | 150 | | | | 114 | |
4.50%, 09/15/2023 | | | 150 | | | | 149 | |
4.63%, 10/15/2027 | | | 190 | | | | 180 | |
Affordable Housing Finance plc, (United Kingdom), Reg. S, 2.89%, 08/11/2043 | | GBP | 100 | | | | 95 | |
American Express Co., | | | | | | | | |
2.25%, 03/04/2025 | | | 125 | | | | 118 | |
3.38%, 05/03/2024 | | | 40 | | | | 39 | |
3.95%, 08/01/2025 | | | 370 | | | | 359 | |
4.90%, 02/13/2026 | | | 120 | | | | 119 | |
(United States SOFR + 1.00%), 4.99%, 05/01/2026 (aa) | | | 250 | | | | 247 | |
(United States SOFR + 1.84%), 5.04%, 05/01/2034 (aa) | | | 550 | | | | 538 | |
Ameriprise Financial, Inc., 5.15%, 05/15/2033 | | | 480 | | | | 476 | |
Arkea Home Loans SFH SA, (France), Reg. S, 3.25%, 08/01/2033 | | EUR | 100 | | | | 108 | |
Artesian Finance II plc, (United Kingdom), 6.00%, 09/30/2033 | | GBP | 30 | | | | 38 | |
Aspire Defence Finance plc, (United Kingdom), Series B, 4.67%, 03/31/2040 | | GBP | 40 | | | | 47 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 96 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Diversified Financial Services — continued | |
AXA Bank Europe SCF, (France), | | | | | | | | |
Reg. S, 0.01%, 01/22/2027 | | EUR | 100 | | | | 96 | |
Reg. S, 0.50%, 04/18/2025 | | EUR | 100 | | | | 103 | |
AyT Cedulas Cajas X Fondo de Titulizacion de Activos, (Spain), Series X, 3.75%, 06/30/2025 | | EUR | 100 | | | | 108 | |
| | |
BNP Paribas Home Loan SFH SA, (France), | | | | | | | | |
Reg. S, 3.00%, 05/25/2028 | | EUR | 100 | | | | 107 | |
Reg. S, 3.00%, 01/31/2030 | | EUR | 100 | | | | 107 | |
BPCE SFH SA, (France), | | | | | | | | |
Reg. S, 0.01%, 01/21/2027 | | EUR | 100 | | | | 96 | |
Reg. S, 0.01%, 10/16/2028 | | EUR | 100 | | | | 91 | |
Reg. S, 0.01%, 01/29/2036 | | EUR | 100 | | | | 72 | |
Reg. S, 0.13%, 12/03/2030 | | EUR | 100 | | | | 86 | |
Reg. S, 0.63%, 09/22/2027 | | EUR | 100 | | | | 97 | |
Reg. S, 0.75%, 09/02/2025 | | EUR | 100 | | | | 102 | |
Reg. S, 1.13%, 04/12/2030 | | EUR | 100 | | | | 95 | |
Reg. S, 1.75%, 05/27/2032 | | EUR | 100 | | | | 96 | |
Caisse de Refinancement de l’Habitat SA, (France), | | | | | | | | |
Reg. S, 0.01%, 10/08/2029 | | EUR | 100 | | | | 89 | |
Reg. S, 0.13%, 04/30/2027 | | EUR | 100 | | | | 96 | |
Cantor Fitzgerald LP, 4.50%, 04/14/2027 (e) | | | 2,055 | | | | 1,918 | |
Capital One Financial Corp., | | | | | | | | |
0.80%, 06/12/2024 | | EUR | 825 | | | | 860 | |
(United States SOFR + 2.64%), 6.31%, 06/08/2029 (aa) | | | 170 | | | | 169 | |
(United States SOFR + 2.86%), 6.38%, 06/08/2034 (aa) | | | 1,250 | | | | 1,240 | |
Cboe Global Markets, Inc., | | | | | | | | |
1.63%, 12/15/2030 | | | 361 | | | | 284 | |
3.65%, 01/12/2027 | | | 505 | | | | 480 | |
Cedulas TDA 6 Fondo de Titulizacion de Activos, (Spain), Series A6, 3.88%, 05/23/2025 | | EUR | 100 | | | | 108 | |
Charles Schwab Corp. (The), 1.15%, 05/13/2026 | | | 390 | | | | 345 | |
CME Group, Inc., 2.65%, 03/15/2032 | | | 203 | | | | 172 | |
| | |
Credit Agricole Home Loan SFH SA, (France), | | | | | | | | |
Reg. S, 0.01%, 04/12/2028 | | EUR | 4,200 | | | | 3,895 | |
Reg. S, 0.01%, 11/03/2031 | | EUR | 100 | | | | 83 | |
Reg. S, 0.13%, 12/16/2024 | | EUR | 100 | | | | 103 | |
Reg. S, 0.38%, 09/30/2024 | | EUR | 100 | | | | 105 | |
Reg. S, 0.88%, 08/11/2028 | | EUR | 100 | | | | 96 | |
Reg. S, 0.88%, 05/06/2034 | | EUR | 100 | | | | 85 | |
Reg. S, 2.13%, 01/07/2030 | | EUR | 100 | | | | 101 | |
Credit Agricole Public Sector SCF SA, (France), Reg. S, 0.88%, 08/02/2027 | | EUR | 100 | | | | 98 | |
Credit Mutuel Home Loan SFH SA, (France), | | | | | | | | |
Reg. S, 0.01%, 07/20/2028 | | EUR | 5,000 | | | | 4,602 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Diversified Financial Services — continued | |
Reg. S, 0.75%, 09/15/2027 | | EUR | 100 | | | | 97 | |
Reg. S, 0.88%, 03/04/2032 | | EUR | 100 | | | | 89 | |
Reg. S, 1.00%, 01/30/2029 | | EUR | 100 | | | | 96 | |
Reg. S, 2.38%, 02/08/2028 | | EUR | 100 | | | | 104 | |
Discover Financial Services, 6.70%, 11/29/2032 | | | 85 | | | | 88 | |
HSBC SFH France SA, (France), Reg. S, 0.75%, 03/22/2027 | | EUR | 100 | | | | 98 | |
IG Group Holdings plc, (United Kingdom), Reg. S, 3.13%, 11/18/2028 | | | GBP 4,000 | | | | 3,784 | |
Intercontinental Exchange, Inc., | | | | | | | | |
3.00%, 09/15/2060 | | | 215 | | | | 140 | |
3.65%, 05/23/2025 | | | 20 | | | | 20 | |
5.20%, 06/15/2062 | | | 140 | | | | 138 | |
Jefferies Financial Group, Inc., | | | | | | | | |
2.63%, 10/15/2031 | | | 1,250 | | | | 969 | |
2.75%, 10/15/2032 | | | 1,420 | | | | 1,090 | |
Jyske Realkredit A/S, (Denmark), | | | | | | | | |
Reg. S, 3.25%, 07/01/2030 | | EUR | 100 | | | | 108 | |
Series 32IE, Reg. S, 1.00%, 04/01/2025 | | DKK | 400 | | | | 56 | |
Series CCE, Reg. S, 1.00%, 10/01/2024 | | DKK | 100 | | | | 14 | |
La Banque Postale Home Loan SFH SA, (France), | | | | | | | | |
Reg. S, 1.00%, 10/04/2028 | | EUR | 100 | | | | 97 | |
Reg. S, 3.00%, 01/31/2031 | | EUR | 100 | | | | 107 | |
Lansforsakringar Hypotek AB, (Sweden), | | | | | | | | |
Reg. S, 1.38%, 05/31/2027 | | EUR | 100 | | | | 101 | |
Series 518, Reg. S, 1.25%, 09/17/2025 | | SEK | 1,000 | | | | 87 | |
Series 519, Reg. S, 1.50%, 09/16/2026 | | SEK | 900 | | | | 77 | |
Series 520, Reg. S, 1.00%, 09/15/2027 | | SEK | 1,000 | | | | 82 | |
Series 521, Reg. S, 0.50%, 09/20/2028 | | SEK | 700 | | | | 55 | |
LeasePlan Corp. NV, (Netherlands), Reg. S, 2.13%, 05/06/2025 | | EUR | 3,000 | | | | 3,129 | |
London Stock Exchange Group plc, (United Kingdom), | | | | | | | | |
Reg. S, 1.63%, 04/06/2030 | | GBP | 2,000 | | | | 1,979 | |
Reg. S, 1.75%, 12/06/2027 | | EUR | 3,800 | | | | 3,817 | |
Lseg Netherlands BV, (Netherlands), | | | | | | | | |
Reg. S, 0.00%, 04/06/2025 | | EUR | 1,500 | | | | 1,524 | |
Reg. S, 0.25%, 04/06/2028 | | EUR | 1,000 | | | | 941 | |
Reg. S, 0.75%, 04/06/2033 | | EUR | 1,000 | | | | 827 | |
Mastercard, Inc., | | | | | | | | |
2.10%, 12/01/2027 | | EUR | 5,025 | | | | 5,152 | |
2.95%, 06/01/2029 | | | 710 | | | | 646 | |
3.30%, 03/26/2027 | | | 80 | | | | 76 | |
3.35%, 03/26/2030 | | | 105 | | | | 98 | |
3.85%, 03/26/2050 | | | 160 | | | | 138 | |
4.88%, 03/09/2028 | | | 190 | | | | 192 | |
Nasdaq, Inc., | | | | | | | | |
1.75%, 03/28/2029 | | EUR | 2,300 | | | | 2,195 | |
5.35%, 06/28/2028 | | | 100 | | | | 100 | |
5.55%, 02/15/2034 | | | 150 | | | | 151 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 97 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Diversified Financial Services — continued | |
Nomura Holdings, Inc., (Japan), | | | | | | | | |
1.85%, 07/16/2025 | | | 1,955 | | | | 1,788 | |
2.61%, 07/14/2031 | | | 1,255 | | | | 996 | |
3.00%, 01/22/2032 | | | 1,320 | | | | 1,068 | |
5.10%, 07/03/2025 | | | 2,700 | | | | 2,649 | |
Nordea Kredit Realkreditaktieselskab, (Denmark), | | | | | | | | |
Reg. S, 1.00%, 10/01/2024 (e) | | DKK | 300 | | | | 42 | |
Reg. S, 1.00%, 04/01/2026 (e) | | DKK | 250 | | | | 34 | |
1.00%, 10/01/2026 | | DKK | 500 | | | | 67 | |
Series CC2, Reg. S, 1.00%, 04/01/2025 (e) | | DKK | 200 | | | | 28 | |
Series CC2, Reg. S, 1.00%, 04/01/2027 (e) | | DKK | 500 | | | | 67 | |
Private Export Funding Corp., | | | | | | | | |
0.55%, 07/30/2024 (e) | | | 300 | | | | 283 | |
Series PP, 1.40%, 07/15/2028 | | | 775 | | | | 668 | |
Programa Cedulas TDA Fondo de Titulizacion de Activos, (Spain), Series A6, 4.25%, 04/10/2031 | | EUR | 100 | | | | 115 | |
Prs Finance plc, (United Kingdom), | | | | | | | | |
Reg. S, 1.75%, 11/24/2026 | | GBP | 189 | | | | 211 | |
Reg. S, 2.00%, 01/23/2029 | | GBP | 500 | | | | 534 | |
Realkredit Danmark A/S, (Denmark), | | | | | | | | |
Series 10f, Reg. S, 1.00%, 01/01/2025 (e) | | DKK | 700 | | | | 98 | |
Series 10F, Reg. S, 1.00%, 01/01/2026 (e) | | DKK | 1,000 | | | | 137 | |
Series 22S, Reg. S, 0.00%, 10/01/2040 (e) | | DKK | 42 | | | | 5 | |
Societe Generale SFH SA, (France), | | | | | | | | |
Reg. S, 0.50%, 06/02/2025 | | EUR | 100 | | | | 102 | |
Reg. S, 0.50%, 01/28/2026 | | EUR | 100 | | | | 101 | |
Reg. S, 1.38%, 05/05/2028 | | EUR | 100 | | | | 99 | |
Reg. S, 1.75%, 05/05/2034 | | EUR | 100 | | | | 94 | |
Sparebanken Vest Boligkreditt A/S, (Norway), Reg. S, 2.50%, 09/22/2027 | | EUR | 100 | | | | 105 | |
Swedbank Hypotek AB, (Sweden), | | | | | | | | |
Reg. S, 0.05%, 05/28/2025 | | EUR | 100 | | | | 101 | |
Series 194, Reg. S, 1.00%, 09/18/2024 | | SEK | 1,600 | | | | 143 | |
Series 195, Reg. S, 1.00%, 06/18/2025 | | SEK | 2,000 | | | | 175 | |
Series 196, Reg. S, 1.00%, 03/18/2026 | | SEK | 1,000 | | | | 86 | |
Series 197, Reg. S, 1.00%, 03/17/2027 | | SEK | 700 | | | | 58 | |
THFC Funding No. 1 plc, (United Kingdom), Reg. S, 5.13%, 12/21/2035 | | | GBP 1,370 | | | | 1,646 | |
TP ICAP Finance plc, (United Kingdom), Reg. S, 5.25%, 05/29/2026 | | | GBP 2,000 | | | | 2,334 | |
Visa, Inc., | | | | | | | | |
1.50%, 06/15/2026 | | EUR | 4,800 | | | | 4,913 | |
2.00%, 06/15/2029 | | EUR | 4,100 | | | | 4,138 | |
2.70%, 04/15/2040 | | | 130 | | | | 100 | |
3.65%, 09/15/2047 | | | 200 | | | | 169 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Diversified Financial Services — continued | |
Wellcome Trust Finance plc, (United Kingdom), Reg. S, 4.63%, 07/25/2036 | | GBP | 225 | | | | 274 | |
Western Union Co. (The), 1.35%, 03/15/2026 | | | 740 | | | | 656 | |
| | | | | | | | |
| | |
| | | | | | | 74,572 | |
| | | | | | | | |
Insurance — 1.8% | |
Aflac, Inc., 4.75%, 01/15/2049 | | | 40 | | | | 37 | |
AIA Group Ltd., (Hong Kong), Reg. S, (EUR Swap Rate 5 Year + 1.10%), 0.88%, 09/09/2033 (aa) | | EUR | 3,700 | | | | 3,191 | |
Alleghany Corp., | | | | | | | | |
3.25%, 08/15/2051 | | | 135 | | | | 96 | |
3.63%, 05/15/2030 | | | 15 | | | | 14 | |
Allianz Finance II BV, (Netherlands), Series 62, Reg. S, 4.50%, 03/13/2043 | | | GBP 1,500 | | | | 1,732 | |
Allianz SE, (Germany), | | | | | | | | |
Reg. S, (ICE LIBOR EUR 3 Month + 2.65%), 2.24%, 07/07/2045 (aa) | | | EUR 5,000 | | | | 5,131 | |
Reg. S, (ICE EURIBOR Swap Rate 10 Year + 3.20%), 3.38%, 09/18/2024 (x) (aa) | | | EUR 2,500 | | | | 2,653 | |
Reg. S, (ICE LIBOR EUR 3 Month + 3.55%), 4.25%, 07/05/2052 (aa) | | | EUR 6,000 | | | | 6,072 | |
Allstate Corp. (The), 5.25%, 03/30/2033 | | | 180 | | | | 179 | |
American International Group, Inc., 1.88%, 06/21/2027 | | EUR | 1,000 | | | | 996 | |
Aon Corp., 2.80%, 05/15/2030 | | | 50 | | | | 43 | |
Aon Corp. / Aon Global Holdings PLC, | | | | | | | | |
2.90%, 08/23/2051 | | | 20 | | | | 13 | |
3.90%, 02/28/2052 | | | 110 | | | | 86 | |
Aon Global Ltd., (United Kingdom), 4.60%, 06/14/2044 | | | 10 | | | | 9 | |
Aquarius & Investments plc for Zurich Insurance Co. Ltd., (Ireland), Reg. S, (ICE LIBOR EUR 3 Month + 3.45%), 4.25%, 10/02/2043 (aa) | | EUR | 100 | | | | 109 | |
Argentum Netherlands BV for Zurich Insurance Co. Ltd., (Netherlands), Reg. S, (ICE LIBOR EUR 3 Month + 3.20%), 2.75%, 02/19/2049 (aa) | | EUR | 500 | | | | 477 | |
Arthur J Gallagher & Co., | | | | | | | | |
2.40%, 11/09/2031 | | | 300 | | | | 239 | |
3.05%, 03/09/2052 | | | 70 | | | | 44 | |
5.75%, 03/02/2053 | | | 240 | | | | 241 | |
ASR Nederland NV, (Netherlands), | | | | | | | | |
Reg. S, (EUR Swap Rate 5 Year + 4.00%), 3.38%, 05/02/2049 (aa) | | | EUR 1,000 | | | | 946 | |
Reg. S, (EUR Swap Rate 5 Year + 4.95%), 5.00%, 09/30/2024 (x) (aa) | | EUR | 1,000 | | | | 1,071 | |
Reg. S, (EUR Swap Rate 5 Year + 5.20%), 5.13%, 09/29/2045 (aa) | | | EUR 1,000 | | | | 1,073 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 98 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Insurance — continued | |
Assicurazioni Generali SpA, (Italy), | | | | | | | | |
Reg. S, 1.71%, 06/30/2032 | | EUR | 1,000 | | | | 831 | |
Reg. S, 2.43%, 07/14/2031 | | EUR | 1,000 | | | | 903 | |
Reg. S, 3.88%, 01/29/2029 | | EUR | 500 | | | | 522 | |
Reg. S, 4.13%, 05/04/2026 | | EUR | 100 | | | | 109 | |
Reg. S, (ICE LIBOR EUR 3 Month + 4.50%), 4.60%, 11/21/2025 (x) (aa) | | EUR | 770 | | | | 815 | |
Reg. S, (ICE LIBOR EUR 3 Month + 5.35%), 5.00%, 06/08/2048 (aa) | | | EUR 1,000 | | | | 1,089 | |
Reg. S, (ICE LIBOR EUR 3 Month + 5.35%), 5.50%, 10/27/2047 (aa) | | | EUR 1,000 | | | | 1,096 | |
Athene Global Funding, | | | | | | | | |
Reg. S, 1.24%, 04/08/2024 | | EUR | 1,300 | | | | 1,374 | |
2.50%, 01/14/2025 (e) | | | 20 | | | | 18 | |
Athene Holding Ltd., (Bermuda), 3.95%, 05/25/2051 | | | 55 | | | | 37 | |
Aviva plc, (United Kingdom), | | | | | | | | |
Reg. S, 1.88%, 11/13/2027 | | EUR | 500 | | | | 506 | |
Reg. S, (ICE LIBOR EUR 3 Month + 3.55%), 3.38%, 12/04/2045 (aa) | | | EUR 1,000 | | | | 1,032 | |
Reg. S, (EUR Swap Rate 5 Year + 3.48%), 3.88%, 07/03/2044 (aa) | | | EUR 1,000 | | | | 1,068 | |
Reg. S, (UK Gilts 5 Year + 4.70%), 4.00%, 06/03/2055 (aa) | | GBP | 825 | | | | 782 | |
Reg. S, (UK Gilts 5 Year + 2.85%), 6.13%, 11/14/2036 (aa) | | GBP | 430 | | | | 525 | |
AXA SA, (France), | |
Reg. S, (ICE LIBOR EUR 3 Month + 2.40%), 1.38%, 10/07/2041 (aa) | | | EUR 1,225 | | | | 1,014 | |
Reg. S, (ICE LIBOR EUR 3 Month + 3.75%), 3.38%, 07/06/2047 (aa) | | | EUR 1,900 | | | | 1,932 | |
Reg. S, (EUR Swap Rate 11 Year + 3.25%), 3.88%, 10/08/2025 (x) (aa) | | EUR | 5,000 | | | | 5,236 | |
Reg. S, (ICE LIBOR EUR 3 Month + 3.60%), 4.25%, 03/10/2043 (aa) | | | EUR 1,200 | | | | 1,200 | |
Reg. S, (SONIA Interest Rate Benchmark + 2.87%), 6.69%, 07/06/2026 (x) (aa) | | GBP | 375 | | | | 473 | |
Berkshire Hathaway Finance Corp., | | | | | | | | |
1.50%, 03/18/2030 | | EUR | 2,200 | | | | 2,064 | |
2.38%, 06/19/2039 | | GBP | 825 | | | | 709 | |
2.85%, 10/15/2050 | | | 15 | | | | 10 | |
3.85%, 03/15/2052 | | | 395 | | | | 326 | |
4.20%, 08/15/2048 | | | 25 | | | | 23 | |
Berkshire Hathaway, Inc., | | | | | | | | |
0.00%, 03/12/2025 | | EUR | 1,900 | | | | 1,940 | |
2.15%, 03/15/2028 | | EUR | 1,000 | | | | 1,015 | |
BNP Paribas Cardif SA, (France), | | | | | | | | |
Reg. S, 1.00%, 11/29/2024 | | EUR | 1,000 | | | | 1,038 | |
Reg. S, (ICE LIBOR EUR 3 Month + 3.93%), 4.03%, 11/25/2025 (x) (aa) | | EUR | 6,000 | | | | 6,302 | |
Brown & Brown, Inc., 4.95%, 03/17/2052 | | | 220 | | | | 188 | |
Caisse Nationale de Reassurance Mutuelle Agricole Groupama, (France), Reg. S, 0.75%, 07/07/2028 | | | EUR 4,900 | | | | 4,382 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Insurance — continued | |
Chubb INA Holdings, Inc., | | | | | | | | |
0.88%, 12/15/2029 | | EUR | 1,000 | | | | 894 | |
1.40%, 06/15/2031 | | EUR | 1,000 | | | | 882 | |
1.55%, 03/15/2028 | | EUR | 3,000 | | | | 2,924 | |
Cloverie PLC for Zurich Insurance Co. Ltd., (Ireland), | | | | | | | | |
Reg. S, 1.50%, 12/15/2028 | | EUR | 1,000 | | | | 981 | |
Reg. S, 1.75%, 09/16/2024 | | EUR | 500 | | | | 531 | |
CNA Financial Corp., 2.05%, 08/15/2030 | | | 2,500 | | | | 1,996 | |
CNP Assurances, (France), | | | | | | | | |
Reg. S, 1.25%, 01/27/2029 | | EUR | 700 | | | | 631 | |
Reg. S, (ICE LIBOR EUR 3 Month + 3.65%), 2.50%, 06/30/2051 (aa) | | | EUR 1,000 | | | | 870 | |
Corebridge Financial, Inc., | | | | | | | | |
3.50%, 04/04/2025 | | | 100 | | | | 95 | |
4.35%, 04/05/2042 | | | 155 | | | | 125 | |
Credit Agricole Assurances SA, (France), | | | | | | | | |
Reg. S, 2.00%, 07/17/2030 | | EUR | 5,000 | | | | 4,403 | |
Reg. S, (EUR Swap Rate 5 Year + 4.50%), 4.25%, 01/13/2025 (x) (aa) | | EUR | 3,000 | | | | 3,183 | |
Reg. S, (EUR Swap Rate 5 Year + 4.35%), 4.50%, 10/14/2025 (x) (aa) | | EUR | 100 | | | | 106 | |
Enstar Group Ltd., (Bermuda), | | | | | | | | |
3.10%, 09/01/2031 | | | 561 | | | | 440 | |
4.95%, 06/01/2029 | | | 10 | | | | 9 | |
Everest Reinsurance Holdings, Inc., | | | | | | | | |
3.13%, 10/15/2052 | | | 82 | | | | 54 | |
3.50%, 10/15/2050 | | | 745 | | | | 528 | |
Fairfax Financial Holdings Ltd., (Canada), | | | | | | | | |
3.38%, 03/03/2031 | | | 2,000 | | | | 1,689 | |
4.85%, 04/17/2028 | | | 375 | | | | 361 | |
5.63%, 08/16/2032 | | | 1,440 | | | | 1,390 | |
Groupe des Assurances du Credit Mutuel SADIR, (France), Reg. S, (ICE LIBOR EUR 3 Month + 2.65%), 1.85%, 04/21/2042 (aa) | | | EUR 2,200 | | | | 1,756 | |
Hannover Rueck SE, (Germany), | | | | | | | | |
Reg. S, (ICE LIBOR EUR 3 Month + 2.38%), 1.13%, 10/09/2039 (aa) | | | EUR 1,000 | | | | 858 | |
Reg. S, (ICE LIBOR EUR 3 Month + 3.75%), 5.88%, 08/26/2043 (aa) | | | EUR 4,600 | | | | 5,226 | |
Jackson Financial, Inc., 4.00%, 11/23/2051 | | | 5 | | | | 3 | |
Legal & General Finance plc, (United Kingdom), Reg. S, 5.88%, 04/05/2033 | | GBP | 425 | | | | 542 | |
Legal & General Group plc, (United Kingdom), | | | | | | | | |
Reg. S, (UK Gilts 5 Year + 5.25%), 4.50%, 11/01/2050 (aa) | | GBP | 825 | | | | 874 | |
Reg. S, (UK Gilts 5 Year + 4.65%), 5.13%, 11/14/2048 (aa) | | GBP | 600 | | | | 684 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 99 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Insurance — continued | |
Liberty Mutual Finance Europe DAC, (Ireland), Reg. S, 1.75%, 03/27/2024 | | EUR | 2,000 | | | | 2,134 | |
Liberty Mutual Group, Inc., | | | | | | | | |
3.95%, 10/15/2050 (e) | | | 830 | | | | 606 | |
5.50%, 06/15/2052 (e) | | | 495 | | | | 466 | |
Loews Corp., 3.20%, 05/15/2030 | | | 10 | | | | 9 | |
M&G plc, (United Kingdom), Reg. S, (UK Gilts 5 Year + 4.16%), 5.56%, 07/20/2055 (aa) | | GBP | 825 | | | | 893 | |
Markel Group, Inc., 3.45%, 05/07/2052 | | | 1,000 | | | | 702 | |
Marsh & McLennan Cos., Inc., | | | | | | | | |
1.98%, 03/21/2030 | | EUR | 5,050 | | | | 4,778 | |
2.90%, 12/15/2051 | | | 780 | | | | 519 | |
4.20%, 03/01/2048 | | | 850 | | | | 715 | |
4.75%, 03/15/2039 | | | 179 | | | | 169 | |
4.90%, 03/15/2049 | | | 290 | | | | 272 | |
MetLife, Inc., Reg. S, 5.38%, 12/09/2024 | | GBP | 1,000 | | | | 1,244 | |
Metropolitan Life Global Funding I, | | | | | | | | |
Reg. S, 0.38%, 04/09/2024 | | EUR | 2,125 | | | | 2,256 | |
Reg. S, 0.50%, 05/25/2029 | | EUR | 500 | | | | 447 | |
Reg. S, 0.55%, 06/16/2027 | | EUR | 1,475 | | | | 1,405 | |
Reg. S, 0.63%, 12/08/2027 | | GBP | 1,000 | | | | 994 | |
Reg. S, 1.63%, 10/12/2028 | | GBP | 1,000 | | | | 1,015 | |
Reg. S, 1.63%, 09/21/2029 | | GBP | 2,125 | | | | 2,074 | |
Reg. S, 1.75%, 05/25/2025 | | EUR | 1,000 | | | | 1,041 | |
Reg. S, 3.50%, 09/30/2026 | | GBP | 2,000 | | | | 2,319 | |
Reg. S, 4.13%, 09/02/2025 | | GBP | 1,000 | | | | 1,205 | |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, (Germany), | | | | | | | | |
Reg. S, (ICE LIBOR EUR 3 Month + 2.10%), 1.00%, 05/26/2042 (aa) | | EUR | 15,800 | | | | 12,416 | |
Reg. S, (ICE LIBOR EUR 3 Month + 2.55%), 1.25%, 05/26/2041 (aa) | | EUR | 5,000 | | | | 4,155 | |
Reg. S, (ICE LIBOR EUR 3 Month + 3.40%), 3.25%, 05/26/2049 (aa) | | EUR | 2,000 | | | | 1,980 | |
Mutuelle Assurance Des Commercants et Industriels de France et Des Cadres et Sal, (France), Reg. S, 0.63%, 06/21/2027 | | EUR | 1,900 | | | | 1,768 | |
New York Life Global Funding, Reg. S, 3.63%, 01/09/2030 | | EUR | 9,625 | | | | 10,313 | |
NN Group NV, (Netherlands), Reg. S, (ICE LIBOR EUR 3 Month + 4.00%), 4.50%, 01/15/2026 (x) (aa) | | EUR | 1,350 | | | | 1,422 | |
Old Republic International Corp., 3.85%, 06/11/2051 | | | 85 | | | | 61 | |
Pension Insurance Corp. plc, (United Kingdom), Reg. S, 5.63%, 09/20/2030 | | GBP | 1,121 | | | | 1,231 | |
Phoenix Group Holdings plc, (United Kingdom), Reg. S, 6.63%, 12/18/2025 | | GBP | 425 | | | | 526 | |
Principal Financial Group, Inc., | | | | | | | | |
3.10%, 11/15/2026 | | | 1,400 | | | | 1,292 | |
5.50%, 03/15/2053 | | | 190 | | | | 180 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Insurance — continued | |
Progressive Corp. (The), | | | | | | | | |
3.70%, 03/15/2052 | | | 150 | | | | 117 | |
4.13%, 04/15/2047 | | | 20 | | | | 17 | |
Prudential Funding Asia plc, (United Kingdom), 5.88%, 05/11/2029 | | | GBP 1,500 | | | | 1,862 | |
Reinsurance Group of America, Inc., 6.00%, 09/15/2033 | | | 420 | | | | 422 | |
RenaissanceRe Holdings Ltd., (Bermuda), 5.75%, 06/05/2033 | | | 850 | | | | 832 | |
Sampo OYJ, (Finland), | | | | | | | | |
Reg. S, 2.25%, 09/27/2030 | | EUR | 1,000 | | | | 1,026 | |
Reg. S, (ICE LIBOR EUR 3 Month + 3.60%), 2.50%, 09/03/2052 (aa) | | | EUR 1,025 | | | | 864 | |
Reg. S, (ICE LIBOR EUR 3 Month + 4.05%), 3.38%, 05/23/2049 (aa) | | | EUR 2,275 | | | | 2,205 | |
Talanx AG, (Germany), Reg. S, 4.00%, 10/25/2029 | | EUR | 2,500 | | | | 2,738 | |
Travelers Cos., Inc. (The), 5.45%, 05/25/2053 | | | 140 | | | | 146 | |
UNIQA Insurance Group AG, (Austria), | | | | | | | | |
Reg. S, 1.38%, 07/09/2030 | | EUR | 500 | | | | 462 | |
Reg. S, (ICE LIBOR EUR 3 Month + 3.35%), 2.38%, 12/09/2041 (aa) | | EUR | 500 | | | | 402 | |
Reg. S, (ICE LIBOR EUR 3 Month + 5.82%), 6.00%, 07/27/2046 (aa) | | EUR | 500 | | | | 545 | |
Unum Group, | | | | | | | | |
4.00%, 06/15/2029 | | | 1,750 | | | | 1,609 | |
4.13%, 06/15/2051 | | | 980 | | | | 715 | |
5.75%, 08/15/2042 | | | 25 | | | | 23 | |
W R Berkley Corp., 4.00%, 05/12/2050 | | | 700 | | | | 551 | |
Willis North America, Inc., | | | | | | | | |
2.95%, 09/15/2029 | | | 50 | | | | 43 | |
3.60%, 05/15/2024 | | | 100 | | | | 98 | |
3.88%, 09/15/2049 | | | 250 | | | | 181 | |
4.65%, 06/15/2027 | | | 100 | | | | 97 | |
5.35%, 05/15/2033 | | | 700 | | | | 682 | |
Zurich Finance Ireland Designated Activity Co., (Ireland), | | | | | | | | |
Reg. S, 1.63%, 06/17/2039 | | EUR | 500 | | | | 405 | |
Reg. S, (UK Gilts 5 Year + 4.10%), 5.13%, 11/23/2052 (aa) | | GBP | 5,625 | | | | 6,171 | |
| | | | | | | | |
| | |
| | | | | | | 177,866 | |
| | | | | | | | |
Investment Companies — 0.2% | |
Ares Capital Corp., 2.15%, 07/15/2026 | | | 385 | | | | 334 | |
Barings BDC, Inc., 3.30%, 11/23/2026 | | | 20 | | | | 17 | |
Blackstone Private Credit Fund, 3.25%, 03/15/2027 | | | 45 | | | | 39 | |
Blackstone Secured Lending Fund, 2.85%, 09/30/2028 | | | 23 | | | | 19 | |
FS KKR Capital Corp., 2.63%, 01/15/2027 | | | 275 | | | | 234 | |
Golub Capital BDC, Inc., 2.50%, 08/24/2026 | | | 5 | | | | 4 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 100 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Investment Companies — continued | |
Investor AB, (Sweden), | | | | | | | | |
Reg. S, 0.38%, 10/29/2035 | | EUR | 425 | | | | 313 | |
Reg. S, 1.50%, 09/12/2030 | | EUR | 700 | | | | 662 | |
Reg. S, 2.75%, 06/10/2032 | | EUR | 1,000 | | | | 1,012 | |
Main Street Capital Corp., 3.00%, 07/14/2026 | | | 165 | | | | 145 | |
MDGH GMTN RSC Ltd., (United Arab Emirates), | | | | | | | | |
Reg. S, 0.38%, 03/10/2027 | | EUR | 500 | | | | 480 | |
Reg. S, 1.00%, 03/10/2034 | | EUR | 600 | | | | 478 | |
Owl Rock Capital Corp., 2.88%, 06/11/2028 | | | 265 | | | | 216 | |
Temasek Financial I Ltd., (Singapore), | | | | | | | | |
Reg. S, 1.50%, 03/01/2028 | | EUR | 4,300 | | | | 4,260 | |
Reg. S, 3.25%, 02/15/2027 | | EUR | 1,000 | | | | 1,078 | |
Wendel SE, (France), | | | | | | | | |
Reg. S, 1.00%, 06/01/2031 | | EUR | 4,400 | | | | 3,684 | |
Reg. S, 1.38%, 01/18/2034 | | EUR | 1,000 | | | | 795 | |
Reg. S, 2.50%, 02/09/2027 | | EUR | 1,000 | | | | 1,024 | |
| | | | | | | | |
| | |
| | | | | | | 14,794 | |
| | | | | | | | |
Private Equity — 0.2% | |
3i Group plc, (United Kingdom), | | | | | | | | |
Reg. S, 4.88%, 06/14/2029 | | EUR | 16,925 | | | | 18,192 | |
Reg. S, 5.75%, 12/03/2032 | | GBP | 350 | | | | 427 | |
Brookfield Capital Finance LLC, 6.09%, 06/14/2033 | | | 155 | | | | 157 | |
Brookfield Finance, Inc., (Canada), 4.00%, 04/01/2024 | | | 40 | | | | 40 | |
Intermediate Capital Group plc, (United Kingdom), | | | | | | | | |
Reg. S, 1.63%, 02/17/2027 | | EUR | 1,000 | | | | 911 | |
Reg. S, 2.50%, 01/28/2030 | | EUR | 1,500 | | | | 1,213 | |
| | | | | | | | |
| | |
| | | | | | | 20,940 | |
| | | | | | | | |
Real Estate — 0.8% | |
Affinity Sutton Capital Markets plc, (United Kingdom), Reg. S, 5.98%, 09/17/2038 | | GBP | 1,000 | | | | 1,281 | |
Akelius Residential Property Financing BV, (Netherlands), | | | | | | | | |
Reg. S, 0.75%, 02/22/2030 | | EUR | 2,000 | | | | 1,555 | |
Reg. S, 1.00%, 01/17/2028 | | EUR | 1,000 | | | | 873 | |
Aroundtown SA, (Luxembourg), Reg. S, 0.00%, 07/16/2026 | | EUR | 3,800 | | | | 3,164 | |
Balder Finland OYJ, (Finland), | | | | | | | | |
Reg. S, 1.00%, 01/18/2027 | | EUR | 1,000 | | | | 819 | |
Reg. S, 1.00%, 01/20/2029 | | EUR | 1,000 | | | | 692 | |
Reg. S, 2.00%, 01/18/2031 | | EUR | 5,000 | | | | 3,245 | |
Blackstone Property Partners Europe Holdings Sarl, (Luxembourg), | | | | | | | | |
Reg. S, 0.50%, 09/12/2023 | | EUR | 2,200 | | | | 2,373 | |
Reg. S, 1.63%, 04/20/2030 | | EUR | 1,000 | | | | 765 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Real Estate — continued | |
Reg. S, 1.75%, 03/12/2029 | | EUR | 2,500 | | | | 2,023 | |
Reg. S, 2.00%, 02/15/2024 | | EUR | 500 | | | | 531 | |
Reg. S, 2.63%, 10/20/2028 | | GBP | 1,075 | | | | 998 | |
Broadgate Financing plc, (United Kingdom), Series A4, Reg. S, 4.82%, 07/05/2033 | | GBP | 50 | | | | 58 | |
CBRE Services, Inc., | | | | | | | | |
2.50%, 04/01/2031 | | | 246 | | | | 198 | |
4.88%, 03/01/2026 | | | 20 | | | | 19 | |
Clarion Funding plc, (United Kingdom), | | | | | | | | |
Reg. S, 1.25%, 11/13/2032 | | GBP | 1,000 | | | | 860 | |
Reg. S, 1.88%, 09/07/2051 | | GBP | 500 | | | | 298 | |
Reg. S, 2.63%, 01/18/2029 | | GBP | 200 | | | | 213 | |
CPI Property Group SA, (Luxembourg), | | | | | | | | |
Reg. S, 1.50%, 01/27/2031 | | EUR | 2,000 | | | | 1,176 | |
Reg. S, 1.75%, 01/14/2030 | | EUR | 1,000 | | | | 655 | |
Reg. S, 2.75%, 01/22/2028 | | GBP | 1,800 | | | | 1,519 | |
CTP NV, (Netherlands), | | | | | | | | |
Reg. S, 0.50%, 06/21/2025 | | EUR | 2,865 | | | | 2,779 | |
Reg. S, 0.63%, 11/27/2023 | | EUR | 750 | | | | 801 | |
Reg. S, 0.63%, 09/27/2026 | | EUR | 3,500 | | | | 3,075 | |
Reg. S, 0.88%, 01/20/2026 | | EUR | 1,000 | | | | 928 | |
Reg. S, 1.25%, 06/21/2029 | | EUR | 600 | | | | 472 | |
Deutsche Wohnen SE, (Germany), | | | | | | | | |
Reg. S, 0.50%, 04/07/2031 | | EUR | 500 | | | | 382 | |
Reg. S, 1.00%, 04/30/2025 | | EUR | 2,000 | | | | 2,033 | |
Reg. S, 1.30%, 04/07/2041 | | EUR | 500 | | | | 316 | |
Reg. S, 1.50%, 04/30/2030 | | EUR | 2,000 | | | | 1,744 | |
Essential Properties LP, 2.95%, 07/15/2031 | | | 245 | | | | 183 | |
Fastighets AB Balder, (Sweden), | | | | | | | | |
Reg. S, 1.13%, 01/29/2027 | | EUR | 4,000 | | | | 3,275 | |
Reg. S, 1.88%, 01/23/2026 | | EUR | 2,000 | | | | 1,814 | |
Heimstaden Bostad AB, (Sweden), Reg. S, 1.13%, 01/21/2026 | | EUR | 1,200 | | | | 1,050 | |
Hexagon Housing Association Ltd., (United Kingdom), Reg. S, 3.63%, 04/22/2048 | | | GBP 1,000 | | | | 862 | |
HOWOGE Wohnungsbaugesellschaft mbH, (Germany), Reg. S, 1.13%, 11/01/2033 | | EUR | 100 | | | | 79 | |
Kojamo OYJ, (Finland), | | | | | | | | |
Reg. S, 0.88%, 05/28/2029 | | EUR | 1,000 | | | | 770 | |
Reg. S, 2.00%, 03/31/2026 | | EUR | 1,000 | | | | 961 | |
Logicor 2019-1 UK plc, (United Kingdom), Reg. S, 1.88%, 11/17/2026 | | GBP | 825 | | | | 891 | |
Logicor Financing Sarl, (Luxembourg), | | | | | | | | |
Reg. S, 0.75%, 07/15/2024 | | EUR | 1,500 | | | | 1,558 | |
Reg. S, 0.88%, 01/14/2031 | | EUR | 400 | | | | 291 | |
Reg. S, 1.50%, 07/13/2026 | | EUR | 1,200 | | | | 1,129 | |
Reg. S, 2.25%, 05/13/2025 | | EUR | 2,000 | | | | 2,027 | |
London & Quadrant Housing Trust, (United Kingdom), | | | | | | | | |
Reg. S, 2.00%, 03/31/2032 | | GBP | 1,000 | | | | 939 | |
Reg. S, 2.00%, 10/20/2038 | | GBP | 425 | | | | 332 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 101 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Real Estate — continued | |
Reg. S, 2.63%, 02/28/2028 | | GBP | 1,225 | | | | 1,330 | |
Reg. S, 2.75%, 07/20/2057 | | GBP | 425 | | | | 308 | |
Reg. S, 3.13%, 02/28/2053 | | GBP | 500 | | | | 401 | |
Meadowhall Finance plc, (United Kingdom), Series A1, Reg. S, 4.99%, 01/12/2032 | | GBP | 27 | | | | 29 | |
NE Property BV, (Netherlands), | | | | | | | | |
Reg. S, 1.75%, 11/23/2024 | | EUR | 500 | | | | 517 | |
Reg. S, 1.88%, 10/09/2026 | | EUR | 1,000 | | | | 944 | |
Reg. S, 2.00%, 01/20/2030 | | EUR | 500 | | | | 401 | |
Reg. S, 3.38%, 07/14/2027 | | EUR | 500 | | | | 488 | |
Notting Hill Genesis, (United Kingdom), | | | | | | | | |
Reg. S, 2.00%, 06/03/2036 | | GBP | 2,800 | | | | 2,319 | |
Reg. S, 3.25%, 10/12/2048 | | GBP | 1,000 | | | | 841 | |
Reg. S, 4.38%, 02/20/2054 | | GBP | 500 | | | | 510 | |
Reg. S, 5.25%, 07/07/2042 | | GBP | 1,000 | | | | 1,175 | |
Ontario Teachers’ Cadillac Fairview Properties Trust, (Canada), | | | | | | | | |
2.50%, 10/15/2031 (e) | | | 580 | | | | 456 | |
4.13%, 02/01/2029 (e) | | | 2,100 | | | | 1,908 | |
Optivo Finance plc, (United Kingdom), | | | | | | | | |
Reg. S, 3.28%, 03/22/2048 | | GBP | 2,000 | | | | 1,708 | |
Reg. S, 5.25%, 03/13/2043 | | GBP | 1,000 | | | | 1,175 | |
Orbit Capital plc, (United Kingdom), Reg. S, 3.38%, 06/14/2048 | | | GBP 1,325 | | | | 1,153 | |
P3 Group Sarl, (Luxembourg), Reg. S, 0.88%, 01/26/2026 | | EUR | 490 | | | | 471 | |
Sagax AB, (Sweden), Reg. S, 2.25%, 03/13/2025 | | EUR | 1,000 | | | | 1,029 | |
Sagax Euro Mtn NL BV, (Netherlands), Reg. S, 1.63%, 02/24/2026 | | | EUR 1,000 | | | | 975 | |
Sinochem Offshore Capital Co. Ltd., (British Virgin Islands), Reg. S, 0.75%, 11/25/2025 | | | EUR 1,000 | | | | 985 | |
Telereal Securitisation plc, (United Kingdom), Series B4, 6.16%, 12/10/2031 | | GBP | 43 | | | | 51 | |
Tesco Property Finance 1 plc, (United Kingdom), Reg. S, 7.62%, 07/13/2039 | | GBP | 79 | | | | 106 | |
Trafford Centre Finance Ltd. (The), (Cayman Islands), Series A2, Reg. S, 6.50%, 07/28/2033 | | GBP | 33 | | | | 40 | |
Vonovia Finance BV, (Netherlands), | | | | | | | | |
Reg. S, 0.63%, 07/09/2026 | | EUR | 300 | | | | 285 | |
Reg. S, 0.88%, 07/03/2023 | | EUR | 100 | | | | 109 | |
Reg. S, 1.00%, 01/28/2041 | | EUR | 1,100 | | | | 621 | |
Series DIP, Reg. S, 1.50%, 03/31/2025 | | EUR | 2,000 | | | | 2,056 | |
Vonovia SE, (Germany), Reg. S, 0.75%, 09/01/2032 | | EUR | 1,700 | | | | 1,271 | |
| | | | | | | | |
| | |
| | | | | | | 75,668 | |
| | | | | | | | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
REITS — 1.0% | |
Aedifica SA, (Belgium), Reg. S, 0.75%, 09/09/2031 | | EUR | 1,200 | | | | 916 | |
Altarea SCA, (France), Reg. S, 1.75%, 01/16/2030 | | EUR | 400 | | | | 303 | |
American Tower Corp., | | | | | | | | |
0.88%, 05/21/2029 | | EUR | 1,000 | | | | 888 | |
1.30%, 09/15/2025 | | | 200 | | | | 181 | |
1.38%, 04/04/2025 | | EUR | 2,050 | | | | 2,118 | |
1.95%, 05/22/2026 | | EUR | 1,000 | | | | 1,015 | |
2.70%, 04/15/2031 | | | 50 | | | | 41 | |
2.95%, 01/15/2051 | | | 157 | | | | 99 | |
3.65%, 03/15/2027 | | | 270 | | | | 253 | |
Brixmor Operating Partnership LP, | | | | | | | | |
4.05%, 07/01/2030 | | | 1,175 | | | | 1,059 | |
4.13%, 06/15/2026 | | | 2,300 | | | | 2,147 | |
4.13%, 05/15/2029 | | | 875 | | | | 780 | |
Carmila SA, (France), | | | | | | | | |
Reg. S, 1.63%, 05/30/2027 | | EUR | 1,000 | | | | 958 | |
Reg. S, 2.38%, 09/16/2024 | | EUR | 1,000 | | | | 1,063 | |
EPR Properties, 3.60%, 11/15/2031 | | | 300 | | | | 234 | |
Equinix, Inc., | | | | | | | | |
0.25%, 03/15/2027 | | EUR | 3,900 | | | | 3,704 | |
1.00%, 03/15/2033 | | EUR | 3,500 | | | | 2,832 | |
1.45%, 05/15/2026 | | | 200 | | | | 179 | |
2.63%, 11/18/2024 | | | 85 | | | | 81 | |
2.90%, 11/18/2026 | | | 200 | | | | 183 | |
Globalworth Real Estate Investments Ltd., (Guernsey), | | | | | | | | |
Reg. S, 2.95%, 07/29/2026 | | EUR | 500 | | | | 408 | |
Reg. S, 3.00%, 03/29/2025 | | EUR | 1,000 | | | | 895 | |
GLP Capital LP / GLP Financing II, Inc., | | | | | | | | |
3.25%, 01/15/2032 | | | 1,805 | | | | 1,456 | |
3.35%, 09/01/2024 | | | 20 | | | | 19 | |
5.30%, 01/15/2029 | | | 235 | | | | 224 | |
5.38%, 04/15/2026 | | | 1,500 | | | | 1,468 | |
5.75%, 06/01/2028 | | | 610 | | | | 597 | |
Goodman Australia Finance Pty Ltd., (Australia), Reg. S, 1.38%, 09/27/2025 | | EUR | 2,758 | | | | 2,774 | |
Hammerson Ireland Finance DAC, (Ireland), Reg. S, 1.75%, 06/03/2027 | | | EUR 9,733 | | | | 8,689 | |
Hammerson plc, (United Kingdom), | | | | | | | | |
Reg. S, 6.00%, 02/23/2026 | | GBP | 3,900 | | | | 4,469 | |
Reg. S, 7.25%, 04/21/2028 | | GBP | 1,400 | | | | 1,585 | |
Healthpeak OP LLC, 3.00%, 01/15/2030 | | | 1,400 | | | | 1,215 | |
Host Hotels & Resorts LP, Series J, 2.90%, 12/15/2031 | | | 415 | | | | 326 | |
Kimco Realty OP LLC, 2.70%, 10/01/2030 | | | 1,900 | | | | 1,565 | |
Klepierre SA, (France), | | | | | | | | |
Reg. S, 0.88%, 02/17/2031 | | EUR | 1,000 | | | | 829 | |
Reg. S, 1.63%, 12/13/2032 | | EUR | 1,000 | | | | 830 | |
Reg. S, 2.00%, 05/12/2029 | | EUR | 1,000 | | | | 963 | |
Mercialys SA, (France), | | | | | | | | |
Reg. S, 1.80%, 02/27/2026 | | EUR | 1,000 | | | | 975 | |
Reg. S, 2.50%, 02/28/2029 | | EUR | 2,000 | | | | 1,773 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 102 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
REITS — continued | |
Merlin Properties Socimi SA, (Spain), | | | | | | | | |
Reg. S, 1.38%, 06/01/2030 | | EUR | 1,000 | | | | 842 | |
Reg. S, 2.38%, 07/13/2027 | | EUR | 1,000 | | | | 1,000 | |
MPT Operating Partnership LP / MPT Finance Corp., 0.99%, 10/15/2026 | | | EUR 1,650 | | | | 1,353 | |
National Health Investors, Inc., 3.00%, 02/01/2031 | | | 336 | | | | 258 | |
Omega Healthcare Investors, Inc., | | | | | | | | |
3.25%, 04/15/2033 | | | 265 | | | | 197 | |
4.50%, 04/01/2027 | | | 16 | | | | 15 | |
Prologis Euro Finance LLC, 0.25%, 09/10/2027 | | EUR | 2,725 | | | | 2,510 | |
Prologis LP, | | | | | | | | |
2.25%, 06/30/2029 | | GBP | 1,600 | | | | 1,627 | |
4.88%, 06/15/2028 | | | 150 | | | | 148 | |
5.25%, 06/15/2053 | | | 120 | | | | 118 | |
Public Storage, | | | | | | | | |
0.50%, 09/09/2030 | | EUR | 1,500 | | | | 1,264 | |
0.88%, 02/15/2026 | | | 50 | | | | 45 | |
1.50%, 11/09/2026 | | | 200 | | | | 179 | |
1.85%, 05/01/2028 | | | 300 | | | | 260 | |
1.95%, 11/09/2028 | | | 400 | | | | 343 | |
2.25%, 11/09/2031 | | | 165 | | | | 135 | |
2.30%, 05/01/2031 | | | 65 | | | | 54 | |
3.09%, 09/15/2027 | | | 110 | | | | 102 | |
3.39%, 05/01/2029 | | | 145 | | | | 134 | |
Realty Income Corp., | | | | | | | | |
1.63%, 12/15/2030 | | GBP | 200 | | | | 184 | |
1.75%, 07/13/2033 | | GBP | 1,100 | | | | 931 | |
3.10%, 12/15/2029 | | | 800 | | | | 701 | |
3.88%, 04/15/2025 | | | 100 | | | | 97 | |
5.05%, 01/13/2026 | | | 14 | | | | 14 | |
5.13%, 07/06/2034 (w) | | EUR | 1,700 | | | | 1,853 | |
5.63%, 10/13/2032 | | | 440 | | | | 444 | |
Sabra Health Care LP, 3.20%, 12/01/2031 | | | 146 | | | | 109 | |
Scentre Group Trust 1 / Scentre Group Trust 2, (Australia), | | | | | | | | |
Reg. S, 1.45%, 03/28/2029 | | EUR | 2,000 | | | | 1,803 | |
Reg. S, 1.75%, 04/11/2028 | | EUR | 2,000 | | | | 1,894 | |
Scentre Group Trust 1, (Australia), | |
Reg. S, 2.25%, 07/16/2024 | | EUR | 2,000 | | | | 2,118 | |
Reg. S, 3.88%, 07/16/2026 | | GBP | 554 | | | | 644 | |
Simon International Finance SCA, (Luxembourg), Reg. S, 1.25%, 05/13/2025 | | | EUR 2,325 | | | | 2,377 | |
Simon Property Group LP, | | | | | | | | |
1.38%, 01/15/2027 | | | 70 | | | | 61 | |
3.50%, 09/01/2025 | | | 50 | | | | 48 | |
5.85%, 03/08/2053 | | | 130 | | | | 129 | |
Tanger Properties LP, 2.75%, 09/01/2031 | | | 280 | | | | 203 | |
Ventas Realty LP, 4.13%, 01/15/2026 | | | 2,300 | | | | 2,199 | |
VICI Properties LP, | | | | | | | | |
4.75%, 02/15/2028 | | | 485 | | | | 459 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
REITS — continued | |
4.95%, 02/15/2030 | | | 1,645 | | | | 1,543 | |
5.13%, 05/15/2032 | | | 189 | | | | 177 | |
5.63%, 05/15/2052 | | | 308 | | | | 274 | |
Welltower OP LLC, | | | | | | | | |
2.75%, 01/15/2031 | | | 50 | | | | 41 | |
3.10%, 01/15/2030 | | | 2,400 | | | | 2,077 | |
4.50%, 01/15/2024 | | | 3,500 | | | | 3,468 | |
4.50%, 12/01/2034 | | GBP | 300 | | | | 312 | |
4.80%, 11/20/2028 | | GBP | 1,650 | | | | 1,886 | |
Weyerhaeuser Co., 4.00%, 04/15/2030 | | | 1,500 | | | | 1,379 | |
WP Carey, Inc., 2.25%, 04/01/2033 | | | 1,000 | | | | 748 | |
WPC Eurobond BV, (Netherlands), | | | | | | | | |
0.95%, 06/01/2030 | | EUR | 1,800 | | | | 1,490 | |
1.35%, 04/15/2028 | | EUR | 825 | | | | 764 | |
2.13%, 04/15/2027 | | EUR | 1,800 | | | | 1,788 | |
| | | | | | | | |
| | |
| | | | | | | 92,893 | |
| | | | | | | | |
Savings & Loans — 0.1% | |
Coventry Building Society, (United Kingdom), Reg. S, 2.63%, 12/07/2026 | | EUR | 5,000 | | | | 5,239 | |
Nationwide Building Society, (United Kingdom), | |
Reg. S, 0.25%, 07/22/2025 | | EUR | 2,000 | | | | 2,014 | |
Reg. S, 0.63%, 03/25/2027 | | EUR | 100 | | | | 98 | |
Reg. S, 5.63%, 01/28/2026 | | GBP | 100 | | | | 126 | |
Yorkshire Building Society, (United Kingdom), | |
Reg. S, 0.01%, 10/13/2027 | | EUR | 100 | | | | 93 | |
Reg. S, 0.01%, 11/16/2028 | | EUR | 5,000 | | | | 4,499 | |
| | | | | | | | |
| | |
| | | | | | | 12,069 | |
| | | | | | | | |
Total Financial | | | | | | | 1,744,121 | |
| | | | | | | | |
Government — 3.4% | |
Multi-National — 3.4% | |
African Development Bank, (Supranational), | | | | | | | | |
0.25%, 11/21/2024 | | EUR | 925 | | | | 961 | |
0.50%, 03/22/2027 | | EUR | 1,000 | | | | 983 | |
0.50%, 03/21/2029 | | EUR | 3,000 | | | | 2,815 | |
0.88%, 05/24/2028 | | EUR | 400 | | | | 390 | |
2.25%, 09/14/2029 | | EUR | 2,000 | | | | 2,066 | |
Asian Development Bank, (Supranational), | |
Reg. S, 0.03%, 01/31/2030 | | EUR | 3,550 | | | | 3,171 | |
0.35%, 07/16/2025 | | EUR | 700 | | | | 714 | |
0.75%, 12/07/2027 | | GBP | 5,000 | | | | 5,218 | |
1.40%, 02/06/2037 | | EUR | 7,000 | | | | 6,196 | |
1.63%, 03/15/2024 | | | 100 | | | | 97 | |
1.95%, 07/22/2032 | | EUR | 10,000 | | | | 9,922 | |
2.00%, 01/22/2025 | | | 300 | | | | 286 | |
2.50%, 12/19/2024 | | GBP | 2,000 | | | | 2,420 | |
2.63%, 01/30/2024 | | | 258 | | | | 254 | |
4.13%, 09/27/2024 | | | 2,525 | | | | 2,485 | |
6.22%, 08/15/2027 | | | 100 | | | | 106 | |
Asian Infrastructure Investment Bank (The), (Supranational), | | | | | | | | |
0.50%, 10/30/2024 | | | 495 | | | | 463 | |
Reg. S, 4.38%, 06/11/2026 | | GBP | 11,000 | | | | 13,363 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 103 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Multi-National — continued | |
Corp. Andina de Fomento, (Supranational), | | | | | | | | |
Reg. S, 0.25%, 02/04/2026 | | EUR | 2,000 | | | | 1,956 | |
Reg. S, 1.13%, 02/13/2025 | | EUR | 10,000 | | | | 10,328 | |
Council Of Europe Development Bank, (Supranational), | | | | | | | | |
Reg. S, 0.00%, 04/09/2027 | | EUR | 2,000 | | | | 1,927 | |
Reg. S, 0.00%, 01/20/2031 | | EUR | 5,000 | | | | 4,338 | |
Reg. S, 0.25%, 01/19/2032 | | EUR | 3,000 | | | | 2,592 | |
Reg. S, 0.38%, 03/27/2025 | | EUR | 175 | | | | 180 | |
Reg. S, 0.63%, 01/30/2029 | | EUR | 1,500 | | | | 1,428 | |
Reg. S, 0.75%, 06/09/2025 | | EUR | 50 | | | | 52 | |
Erste Abwicklungsanstalt, (Germany), Reg. S, 0.01%, 11/03/2023 | | EUR | 1,000 | | | | 1,078 | |
Eurofima Europaeische Gesellschaft fuer die Finanzierung von Eisenbahnmaterial, (Supranational), | | | | | | | | |
4.55%, 03/30/2027 | | CAD | 300 | | | | 228 | |
5.50%, 06/07/2032 | | GBP | 300 | | | | 393 | |
European Bank for Reconstruction & Development, (Supranational), | | | | | | | | |
0.25%, 07/10/2023 | | | 95 | | | | 95 | |
0.50%, 05/19/2025 | | | 135 | | | | 124 | |
European Investment Bank, (Supranational), 0.00%, 03/15/2024 | | EUR | 300 | | | | 319 | |
Reg. S, 0.00%, 03/25/2025 | | EUR | 5,000 | | | | 5,135 | |
Reg. S, 0.00%, 03/13/2026 | | EUR | 700 | | | | 699 | |
Reg. S, 0.00%, 06/17/2027 | | EUR | 1,500 | | | | 1,444 | |
Reg. S, 0.00%, 09/28/2028 | | EUR | 1,000 | | | | 930 | |
Zero Coupon, 05/28/2037 (e) | | CAD | 150 | | | | 63 | |
Reg. S, 0.01%, 11/15/2035 | | EUR | 4,200 | | | | 3,132 | |
Reg. S, 0.01%, 05/15/2041 | | EUR | 15,000 | | | | 9,301 | |
Reg. S, 0.05%, 05/24/2024 | | EUR | 2,000 | | | | 2,115 | |
Reg. S, 0.05%, 11/15/2029 | | EUR | 10,000 | | | | 9,047 | |
0.05%, 01/16/2030 | | EUR | 17,900 | | | | 16,107 | |
Reg. S, 0.05%, 10/13/2034 | | EUR | 34,000 | | | | 26,457 | |
Reg. S, 0.10%, 10/15/2026 | | EUR | 5,000 | | | | 4,927 | |
Reg. S, 0.13%, 12/14/2026 | | GBP | 1,875 | | | | 1,985 | |
Reg. S, 0.13%, 06/20/2029 | | EUR | 6,000 | | | | 5,512 | |
Reg. S, 0.25%, 06/15/2040 | | EUR | 3,950 | | | | 2,656 | |
0.38%, 07/16/2025 | | EUR | 25,000 | | | | 25,627 | |
0.38%, 03/26/2026 | | | 1,300 | | | | 1,160 | |
Reg. S, 0.38%, 04/14/2026 | | EUR | 3,000 | | | | 3,017 | |
0.50%, 01/15/2027 | | EUR | 2,000 | | | | 1,985 | |
Reg. S, 0.50%, 11/13/2037 | | EUR | 2,000 | | | | 1,520 | |
0.63%, 07/25/2025 | | | 100 | | | | 92 | |
Reg. S, 0.88%, 05/15/2026 | | GBP | 2,000 | | | | 2,228 | |
0.88%, 09/13/2047 | | EUR | 200 | | | | 135 | |
Reg. S, 1.00%, 03/14/2031 | | EUR | 20,000 | | | | 18,795 | |
Reg. S, 1.00%, 04/14/2032 | | EUR | 3,275 | | | | 3,016 | |
Reg. S, 1.38%, 03/07/2025 | | GBP | 100 | | | | 118 | |
Reg. S, 1.50%, 06/15/2032 | | EUR | 11,000 | | | | 10,581 | |
1.50%, 10/16/2048 | | EUR | 2,845 | | | | 2,184 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Multi-National — continued | |
1.63%, 03/14/2025 | | | 200 | | | | 189 | |
2.75%, 08/15/2025 | | | 600 | | | | 575 | |
Reg. S, 2.75%, 09/15/2025 | | EUR | 10,000 | | | | 10,748 | |
Reg. S, 2.75%, 07/30/2030 | | EUR | 30,000 | | | | 32,157 | |
2.75%, 09/13/2030 | | EUR | 230 | | | | 247 | |
3.13%, 12/14/2023 | | | 250 | | | | 247 | |
3.25%, 01/29/2024 | | | 165 | | | | 163 | |
Reg. S, 3.63%, 03/14/2042 | | EUR | 2,025 | | | | 2,312 | |
Reg. S, 3.88%, 06/08/2037 | | GBP | 3,000 | | | | 3,496 | |
4.50%, 10/15/2025 | | EUR | 10,000 | | | | 11,158 | |
Reg. S, 4.50%, 03/07/2044 | | GBP | 3,000 | | | | 3,692 | |
5.00%, 04/15/2039 | | GBP | 3,500 | | | | 4,579 | |
Reg. S, 6.27%, 08/28/2024 | | IDR | 10,000,000 | | | | 666 | |
Series 1981, 2.63%, 03/15/2035 | | EUR | 40 | | | | 41 | |
Series DIP, Reg. S, 4.63%, 10/12/2054 | | GBP | 3,055 | | | | 3,867 | |
FMS Wertmanagement, (Germany), Reg. S, 0.38%, 04/29/2030 | | EUR | 1,600 | | | | 1,455 | |
Inter-American Development Bank, (Supranational), | | | | | | | | |
0.50%, 09/23/2024 | | | 750 | | | | 706 | |
0.88%, 04/20/2026 | | | 400 | | | | 361 | |
1.25%, 12/15/2025 | | GBP | 2,000 | | | | 2,273 | |
1.50%, 01/13/2027 | | | 1,000 | | | | 902 | |
2.13%, 01/15/2025 | | | 290 | | | | 277 | |
2.38%, 08/03/2029 | | GBP | 1,000 | | | | 1,091 | |
2.63%, 01/16/2024 | | | 230 | | | | 227 | |
3.00%, 02/21/2024 | | | 100 | | | | 98 | |
6.75%, 07/15/2027 | | | 700 | | | | 748 | |
International Development Association, (Supranational), | | | | | | | | |
Reg. S, 0.00%, 10/19/2026 | | EUR | 1,000 | | | | 973 | |
Reg. S, 0.35%, 04/22/2036 | | EUR | 3,500 | | | | 2,717 | |
Reg. S, 0.38%, 09/22/2027 | | GBP | 2,000 | | | | 2,066 | |
Reg. S, 0.70%, 01/17/2042 | | EUR | 1,000 | | | | 707 | |
Reg. S, 2.50%, 01/15/2038 | | EUR | 4,000 | | | | 4,029 | |
International Finance Corp., (Supranational), | | | | | | | | |
0.25%, 12/15/2025 | | GBP | 1,000 | | | | 1,108 | |
Reg. S, 1.38%, 03/07/2025 | | GBP | 1,000 | | | | 1,182 | |
2.88%, 07/31/2023 | | | 80 | | | | 80 | |
3.63%, 09/15/2025 | | | 2,120 | | | | 2,069 | |
North American Development Bank, (Supranational), Reg. S, 0.20%, 11/28/2028 | | CHF | 200 | | | | 205 | |
| | | | | | | | |
| | |
| | | | | | | 334,327 | |
| | | | | | | | |
Municipal — 0.0% (g) | |
Transport for London, (United Kingdom), | |
Reg. S, 3.88%, 07/23/2042 | | GBP | 140 | | | | 142 | |
Reg. S, 4.00%, 09/12/2033 | | GBP | 300 | | | | 330 | |
| | | | | | | | |
| | |
| | | | | | | 472 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 104 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Regional (State/Province) — 0.0% (g) | |
KAF Kaerntner Ausgleichszahlungs-Fonds, (Austria), Reg. S, Zero Coupon, 01/14/2032 | | EUR | 860 | | | | 703 | |
UK Municipal Bonds Agency Finance Co. Designated Activity Co., (Ireland), Reg. S, 1.63%, 08/26/2060 | | GBP | 100 | | | | 53 | |
| | | | | | | | |
| | |
| | | | | | | 756 | |
| | | | | | | | |
Total Government | | | | | | | 335,555 | |
| | | | | | | | |
Industrial — 2.6% | |
Aerospace/Defense — 0.3% | |
Airbus SE, (Netherlands), | | | | | | | | |
Reg. S, 1.63%, 06/09/2030 | | EUR | 500 | | | | 481 | |
Reg. S, 2.00%, 04/07/2028 | | EUR | 1,100 | | | | 1,120 | |
Reg. S, 2.38%, 04/07/2032 | | EUR | 1,000 | | | | 989 | |
BAE Systems plc, (United Kingdom), 1.90%, 02/15/2031 (e) | | | 1,350 | | | | 1,084 | |
Boeing Co. (The), | | | | | | | | |
3.45%, 11/01/2028 | | | 100 | | | | 91 | |
4.88%, 05/01/2025 | | | 800 | | | | 788 | |
5.71%, 05/01/2040 | | | 2,405 | | | | 2,396 | |
5.81%, 05/01/2050 | | | 405 | | | | 402 | |
5.93%, 05/01/2060 | | | 260 | | | | 257 | |
General Dynamics Corp., | | | | | | | | |
2.25%, 06/01/2031 | | | 300 | | | | 252 | |
3.75%, 05/15/2028 | | | 85 | | | | 82 | |
Hexcel Corp., 4.20%, 02/15/2027 | | | 520 | | | | 489 | |
Lockheed Martin Corp., | | | | | | | | |
3.80%, 03/01/2045 | | | 300 | | | | 252 | |
4.09%, 09/15/2052 | | | 35 | | | | 31 | |
4.15%, 06/15/2053 | | | 400 | | | | 352 | |
4.30%, 06/15/2062 | | | 455 | | | | 402 | |
4.70%, 05/15/2046 | | | 360 | | | | 345 | |
4.75%, 02/15/2034 | | | 300 | | | | 299 | |
5.10%, 11/15/2027 | | | 400 | | | | 406 | |
5.20%, 02/15/2055 | | | 330 | | | | 340 | |
5.70%, 11/15/2054 | | | 290 | | | | 322 | |
5.90%, 11/15/2063 | | | 185 | | | | 210 | |
Raytheon Technologies Corp., | | | | | | | | |
2.15%, 05/18/2030 | | EUR | 1,500 | | | | 1,451 | |
2.82%, 09/01/2051 | | | 200 | | | | 134 | |
3.20%, 03/15/2024 | | | 30 | | | | 30 | |
3.95%, 08/16/2025 | | | 140 | | | | 137 | |
7.20%, 08/15/2027 | | | 20 | | | | 21 | |
Safran SA, (France), | |
Reg. S, 0.13%, 03/16/2026 | | EUR | 1,000 | | | | 985 | |
Reg. S, 0.75%, 03/17/2031 | | EUR | 5,500 | | | | 4,984 | |
Thales SA, (France), | |
Reg. S, 0.00%, 03/26/2026 | | EUR | 3,800 | | | | 3,726 | |
Reg. S, 0.75%, 01/23/2025 | | EUR | 1,000 | | | | 1,035 | |
Reg. S, 1.00%, 05/15/2028 | | EUR | 1,900 | | | | 1,809 | |
| | | | | | | | |
| | |
| | | | | | | 25,702 | |
| | | | | | | | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Building Materials — 0.4% | |
Carrier Global Corp., | | | | | | | | |
2.24%, 02/15/2025 | | | 20 | | | | 19 | |
2.49%, 02/15/2027 | | | 10 | | | | 9 | |
3.38%, 04/05/2040 | | | 100 | | | | 77 | |
CRH Finance DAC, (Ireland), Reg. S, 1.38%, 10/18/2028 | | EUR | 1,000 | | | | 963 | |
Crh Finance UK plc, (United Kingdom), Reg. S, 4.13%, 12/02/2029 | | | GBP 1,500 | | | | 1,703 | |
CRH SMW Finance DAC, (Ireland), Reg. S, 1.25%, 11/05/2026 | | EUR | 1,000 | | | | 1,002 | |
Eagle Materials, Inc., 2.50%, 07/01/2031 | | | 461 | | | | 376 | |
Fortune Brands Innovations, Inc., 4.50%, 03/25/2052 | | | 30 | | | | 23 | |
Heidelberg Materials AG, (Germany), Reg. S, 3.75%, 05/31/2032 | | | EUR 6,125 | | | | 6,343 | |
Holcim Finance Luxembourg SA, (Luxembourg), | |
Reg. S, 0.50%, 11/29/2026 | | EUR | 500 | | | | 488 | |
Reg. S, 0.50%, 09/03/2030 | | EUR | 500 | | | | 422 | |
Reg. S, 0.50%, 04/23/2031 | | EUR | 1,000 | | | | 829 | |
Reg. S, 0.63%, 04/06/2030 | | EUR | 4,350 | | | | 3,786 | |
Reg. S, 0.63%, 01/19/2033 | | EUR | 500 | | | | 396 | |
Reg. S, 1.50%, 04/06/2025 | | EUR | 5,000 | | | | 5,202 | |
Reg. S, 2.25%, 05/26/2028 | | EUR | 2,000 | | | | 2,024 | |
Reg. S, (ICE EURIBOR Swap Rate 5 Year + 3.07%), 3.00%, 04/05/2024 (x) (aa) | | EUR | 500 | | | | 529 | |
Holcim Sterling Finance Netherlands BV, (Netherlands), Reg. S, 3.00%, 05/12/2032 | | | GBP 3,500 | | | | 3,461 | |
Imerys SA, (France), | |
Reg. S, 1.50%, 01/15/2027 | | EUR | 3,000 | | | | 2,970 | |
Reg. S, 2.00%, 12/10/2024 | | EUR | 1,000 | | | | 1,056 | |
Johnson Controls International plc / Tyco Fire & Security Finance SCA, (Ireland), | | | | | | | | |
0.38%, 09/15/2027 | | EUR | 1,000 | | | | 938 | |
1.00%, 09/15/2032 | | EUR | 1,000 | | | | 843 | |
3.00%, 09/15/2028 | | EUR | 1,000 | | | | 1,038 | |
Lennox International, Inc., 1.35%, 08/01/2025 | | | 12 | | | | 11 | |
Martin Marietta Materials, Inc., | | | | | | | | |
3.20%, 07/15/2051 | | | 96 | | | | 67 | |
4.25%, 07/02/2024 | | | 40 | | | | 39 | |
Owens Corning, 3.95%, 08/15/2029 | | | 1,000 | | | | 929 | |
Trane Technologies Luxembourg Finance SA, (Luxembourg), 4.50%, 03/21/2049 | | | 15 | | | | 13 | |
Vulcan Materials Co., | | | | | | | | |
3.50%, 06/01/2030 | | | 60 | | | | 54 | |
4.70%, 03/01/2048 | | | 440 | | | | 392 | |
5.80%, 03/01/2026 | | | 240 | | | | 240 | |
| | | | | | | | |
| | |
| | | | | | | 36,242 | |
| | | | | | | | |
Electrical Components & Equipment — 0.1% | |
Emerson Electric Co., | | | | | | | | |
1.25%, 10/15/2025 | | EUR | 1,000 | | | | 1,024 | |
1.95%, 10/15/2030 | | | 200 | | | | 166 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 105 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Electrical Components & Equipment — continued | |
2.00%, 12/21/2028 | | | 25 | | | | 21 | |
2.00%, 10/15/2029 | | EUR | 1,500 | | | | 1,490 | |
2.80%, 12/21/2051 | | | 169 | | | | 115 | |
Legrand SA, (France), | |
Reg. S, 0.63%, 06/24/2028 | | EUR | 1,000 | | | | 951 | |
Reg. S, 1.00%, 03/06/2026 | | EUR | 1,000 | | | | 1,009 | |
Reg. S, 1.88%, 07/06/2032 | | EUR | 1,000 | | | | 950 | |
Signify NV, (Netherlands), | |
Reg. S, 2.00%, 05/11/2024 | | EUR | 550 | | | | 588 | |
Reg. S, 2.38%, 05/11/2027 | | EUR | 175 | | | | 176 | |
| | | | | | | | |
| | |
| | | | | | | 6,490 | |
| | | | | | | | |
Electronics — 0.2% | |
Agilent Technologies, Inc., | | | | | | | | |
2.30%, 03/12/2031 | | | 425 | | | | 348 | |
2.75%, 09/15/2029 | | | 60 | | | | 52 | |
3.05%, 09/22/2026 | | | 275 | | | | 254 | |
Allegion US Holding Co., Inc., 3.20%, 10/01/2024 | | | 20 | | | | 19 | |
Amphenol Technologies Holding GmbH, (Germany), Reg. S, 0.75%, 05/04/2026 | | | EUR 2,525 | | | | 2,518 | |
Arrow Electronics, Inc., 6.13%, 03/01/2026 | | | 480 | | | | 478 | |
Avnet, Inc., 5.50%, 06/01/2032 | | | 60 | | | | 57 | |
Flex Ltd., (Singapore), | | | | | | | | |
3.75%, 02/01/2026 | | | 220 | | | | 209 | |
4.88%, 06/15/2029 | | | 164 | | | | 156 | |
4.88%, 05/12/2030 | | | 175 | | | | 169 | |
Honeywell International, Inc., | | | | | | | | |
0.75%, 03/10/2032 | | EUR | 2,500 | | | | 2,100 | |
2.25%, 02/22/2028 | | EUR | 1,500 | | | | 1,532 | |
2.50%, 11/01/2026 | | | 400 | | | | 373 | |
4.13%, 11/02/2034 | | EUR | 8,700 | | | | 9,596 | |
4.50%, 01/15/2034 | | | 650 | | | | 636 | |
Hubbell, Inc., 2.30%, 03/15/2031 | | | 399 | | | | 329 | |
Jabil, Inc., | | | | | | | | |
1.70%, 04/15/2026 | | | 150 | | | | 134 | |
5.45%, 02/01/2029 | | | 350 | | | | 347 | |
Keysight Technologies, Inc., | | | | | | | | |
3.00%, 10/30/2029 | | | 245 | | | | 214 | |
4.55%, 10/30/2024 | | | 250 | | | | 246 | |
4.60%, 04/06/2027 | | | 55 | | | | 54 | |
Tyco Electronics Group SA, (Luxembourg), | | | | | | | | |
0.00%, 02/14/2025 | | EUR | 1,000 | | | | 1,024 | |
0.00%, 02/16/2029 | | EUR | 1,000 | | | | 889 | |
Vontier Corp., 2.95%, 04/01/2031 | | | 485 | | | | 385 | |
| | | | | | | | |
| | |
| | | | | | | 22,119 | |
| | | | | | | | |
Engineering & Construction — 0.3% | |
ABB Finance BV, (Netherlands), | |
Reg. S, 0.00%, 01/19/2030 | | EUR | 2,000 | | | | 1,732 | |
Reg. S, 0.75%, 05/16/2024 | | EUR | 1,500 | | | | 1,594 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Engineering & Construction — continued | |
Aeroports de Paris, (France), | |
Reg. S, 1.00%, 01/05/2029 | | EUR | 500 | | | | 472 | |
Reg. S, 1.50%, 07/02/2032 | | EUR | 100 | | | | 89 | |
Reg. S, 2.13%, 10/02/2026 | | EUR | 200 | | | | 208 | |
Reg. S, 2.75%, 06/05/2028 | | EUR | 100 | | | | 106 | |
Reg. S, 2.75%, 04/02/2030 | | EUR | 2,500 | | | | 2,554 | |
Cellnex Finance Co. SA, (Spain), | |
Reg. S, 2.00%, 02/15/2033 | | EUR | 1,200 | | | | 1,017 | |
Reg. S, 2.25%, 04/12/2026 | | EUR | 2,000 | | | | 2,042 | |
CRCC Hean Ltd., (Hong Kong), Reg. S, 0.88%, 05/20/2026 | | EUR | 300 | | | | 296 | |
DAA Finance plc, (Ireland), Reg. S, 1.60%, 11/05/2032 | | EUR | 100 | | | | 88 | |
Ferrovial Emisiones SA, (Spain), | |
Reg. S, 0.54%, 11/12/2028 | | EUR | 1,000 | | | | 921 | |
Reg. S, 1.38%, 03/31/2025 | | EUR | 1,000 | | | | 1,041 | |
Reg. S, 1.38%, 05/14/2026 | | EUR | 1,000 | | | | 1,014 | |
Heathrow Funding Ltd., (Jersey), | |
Reg. S, 4.63%, 10/31/2046 | | GBP | 325 | | | | 334 | |
Reg. S, 6.45%, 12/10/2031 | | GBP | 225 | | | | 290 | |
Reg. S, 6.75%, 12/03/2026 | | GBP | 150 | | | | 190 | |
HOCHTIEF AG, (Germany), | |
Reg. S, 0.50%, 09/03/2027 | | EUR | 2,000 | | | | 1,908 | |
Reg. S, 1.75%, 07/03/2025 | | EUR | 1,500 | | | | 1,564 | |
Royal Schiphol Group NV, (Netherlands), | |
Reg. S, 0.38%, 09/08/2027 | | EUR | 300 | | | | 286 | |
Reg. S, 0.75%, 04/22/2033 | | EUR | 200 | | | | 164 | |
Sydney Airport Finance Co. Pty Ltd., (Australia), | |
Reg. S, 1.75%, 04/26/2028 | | EUR | 1,000 | | | | 982 | |
Reg. S, 2.75%, 04/23/2024 | | EUR | 500 | | | | 539 | |
Technip Energies NV, (Netherlands), Reg. S, 1.13%, 05/28/2028 | | EUR | 10,252 | | | | 9,526 | |
Vinci SA, (France), Reg. S, 3.38%, 10/17/2032 | | EUR | 2,000 | | | | 2,130 | |
Worley US Finance Sub Ltd., Reg. S, 0.88%, 06/09/2026 | | EUR | 3,075 | | | | 2,993 | |
| | | | | | | | |
| | |
| | | | | | | 34,080 | |
| | | | | | | | |
Environmental Control — 0.0% (g) | |
Waste Connections, Inc., (Canada), | | | | | | | | |
2.60%, 02/01/2030 | | | 200 | | | | 173 | |
3.20%, 06/01/2032 | | | 50 | | | | 44 | |
4.25%, 12/01/2028 | | | 250 | | | | 240 | |
| | | | | | | | |
| | |
| | | | | | | 457 | |
| | | | | | | | |
Hand/Machine Tools — 0.0% (g) | |
Regal Rexnord Corp., | | | | | | | | |
6.05%, 02/15/2026 (e) | | | 620 | | | | 621 | |
6.30%, 02/15/2030 (e) | | | 159 | | | | 158 | |
Snap-on, Inc., 3.10%, 05/01/2050 | | | 30 | | | | 22 | |
| | | | | | | | |
| | |
| | | | | | | 801 | |
| | | | | | | | |
Machinery — Construction & Mining — 0.0% (g) | |
Caterpillar Financial Services Corp., | | | | | | | | |
0.80%, 11/13/2025 | | | 150 | | | | 136 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 106 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Machinery — Construction & Mining — continued | |
4.90%, 01/17/2025 | | | 560 | | | | 557 | |
Caterpillar, Inc., 4.75%, 05/15/2064 | | | 100 | | | | 95 | |
Sandvik AB, (Sweden), | |
Reg. S, 2.13%, 06/07/2027 | | EUR | 1,000 | | | | 1,017 | |
Reg. S, 3.75%, 09/27/2029 | | EUR | 1,000 | | | | 1,079 | |
| | | | | | | | |
| | |
| | | | | | | 2,884 | |
| | | | | | | | |
Machinery – Diversified — 0.2% | |
AGCO International Holdings BV, (Netherlands), Reg. S, 0.80%, 10/06/2028 | | EUR | 6,200 | | | | 5,614 | |
Atlas Copco AB, (Sweden), Reg. S, 0.63%, 08/30/2026 | | EUR | 1,325 | | | | 1,322 | |
Atlas Copco Finance DAC, (Ireland), | |
Reg. S, 0.13%, 09/03/2029 | | EUR | 500 | | | | 447 | |
Reg. S, 0.75%, 02/08/2032 | | EUR | 500 | | | | 435 | |
CNH Industrial Capital LLC, 3.95%, 05/23/2025 | | | 1,065 | | | | 1,030 | |
CNH Industrial Finance Europe SA, (Luxembourg), Reg. S, 0.00%, 04/01/2024 | | EUR | 1,000 | | | | 1,058 | |
Dover Corp., | | | | | | | | |
0.75%, 11/04/2027 | | EUR | 1,000 | | | | 951 | |
1.25%, 11/09/2026 | | EUR | 1,000 | | | | 995 | |
Highland Holdings Sarl, (Luxembourg), | | | | | | | | |
0.32%, 12/15/2026 | | EUR | 1,500 | | | | 1,445 | |
0.93%, 12/15/2031 | | EUR | 2,050 | | | | 1,753 | |
IDEX Corp., | | | | | | | | |
2.63%, 06/15/2031 | | | 1,445 | | | | 1,207 | |
3.00%, 05/01/2030 | | | 332 | | | | 291 | |
John Deere Capital Corp., | | | | | | | | |
3.40%, 06/06/2025 | | | 115 | | | | 111 | |
4.75%, 01/20/2028 | | | 500 | | | | 500 | |
5.15%, 03/03/2025 | | | 255 | | | | 255 | |
John Deere Cash Management SARL, (Luxembourg), Reg. S, 1.65%, 06/13/2039 | | EUR | 825 | | | | 692 | |
nVent Finance Sarl, (Luxembourg), 5.65%, 05/15/2033 | | | 655 | | | | 644 | |
Otis Worldwide Corp., | | | | | | | | |
2.06%, 04/05/2025 | | | 20 | | | | 19 | |
2.29%, 04/05/2027 | | | 200 | | | | 181 | |
3.36%, 02/15/2050 | | | 10 | | | | 7 | |
Westinghouse Air Brake Technologies Corp., | | | | | | | | |
3.20%, 06/15/2025 | | | 350 | | | | 332 | |
4.40%, 03/15/2024 | | | 1,800 | | | | 1,776 | |
| | | | | | | | |
| | |
| | | | | | | 21,065 | |
| | | | | | | | |
Miscellaneous Manufacturers — 0.5% | |
3M Co., 2.88%, 10/15/2027 | | | 230 | | | | 210 | |
Alfa Laval Treasury International AB, (Sweden), Reg. S, 0.88%, 02/18/2026 | | | EUR 3,500 | | | | 3,516 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Miscellaneous Manufacturers — continued | |
Eaton Capital Unlimited Co., (Ireland), | |
Reg. S, 0.13%, 03/08/2026 | | EUR | 10,000 | | | | 9,846 | |
Reg. S, 0.58%, 03/08/2030 | | EUR | 1,500 | | | | 1,323 | |
Reg. S, 0.70%, 05/14/2025 | | EUR | 2,525 | | | | 2,587 | |
Reg. S, 0.75%, 09/20/2024 | | EUR | 1,000 | | | | 1,049 | |
Eaton Corp., | | | | | | | | |
4.15%, 11/02/2042 | | | 100 | | | | 89 | |
4.35%, 05/18/2028 | | | 70 | | | | 68 | |
GE Capital UK Funding Unlimited Co., (Ireland), Reg. S, 5.88%, 01/18/2033 | | GBP | 2,950 | | | | 3,617 | |
General Electric Co., | | | | | | | | |
1.50%, 05/17/2029 | | EUR | 1,000 | | | | 960 | |
1.88%, 05/28/2027 | | EUR | 1,000 | | | | 1,013 | |
Reg. S, 4.13%, 09/19/2035 | | EUR | 1,000 | | | | 1,081 | |
Reg. S, 4.88%, 09/18/2037 | | GBP | 2,000 | | | | 2,143 | |
Illinois Tool Works, Inc., | | | | | | | | |
0.63%, 12/05/2027 | | EUR | 1,000 | | | | 957 | |
1.00%, 06/05/2031 | | EUR | 500 | | | | 445 | |
Parker-Hannifin Corp., 1.13%, 03/01/2025 | | EUR | 1,650 | | | | 1,708 | |
Pentair Finance Sarl, (Luxembourg), 4.50%, 07/01/2029 | | | 2,000 | | | | 1,879 | |
Siemens Financieringsmaatschappij NV, (Netherlands), Reg. S, 0.30%, 02/28/2024 | | | EUR 20 | | | | 21 | |
Smiths Group plc, (United Kingdom), Reg. S, 2.00%, 02/23/2027 | | EUR | 12,602 | | | | 12,734 | |
Teledyne Technologies, Inc., 1.60%, 04/01/2026 | | | 170 | | | | 154 | |
Textron, Inc., 2.45%, 03/15/2031 | | | 1,000 | | | | 824 | |
Wabtec Transportation Netherlands BV, (Netherlands), 1.25%, 12/03/2027 | | EUR | 1,500 | | | | 1,418 | |
| | | | | | | | |
| | |
| | | | | | | 47,642 | |
| | | | | | | | |
Packaging & Containers — 0.1% | |
Amcor UK Finance plc, (United Kingdom), 1.13%, 06/23/2027 | | EUR | 1,500 | | | | 1,446 | |
Ball Corp., 0.88%, 03/15/2024 | | EUR | 1,200 | | | | 1,276 | |
Berry Global, Inc., 5.50%, 04/15/2028 (e) | | | 615 | | | | 605 | |
DS Smith plc, (United Kingdom), | |
Reg. S, 0.88%, 09/12/2026 | | EUR | 4,300 | | | | 4,191 | |
Series EMT7, Reg. S, 1.38%, 07/26/2024 | | EUR | 500 | | | | 527 | |
Sealed Air Corp., 5.50%, 09/15/2025 (e) | | | 1,460 | | | | 1,437 | |
| | | | | | | | |
| | |
| | | | | | | 9,482 | |
| | | | | | | | |
Transportation — 0.5% | |
Aurizon Network Pty Ltd., (Australia), | |
Reg. S, 2.00%, 09/18/2024 | | EUR | 1,000 | | | | 1,061 | |
Reg. S, 3.13%, 06/01/2026 | | EUR | 1,000 | | | | 1,053 | |
Brambles Finance Ltd., (Australia), Reg. S, 2.38%, 06/12/2024 | | EUR | 825 | | | | 884 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 107 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Transportation — continued | |
Brambles Finance plc, (United Kingdom), | |
Reg. S, 1.50%, 10/04/2027 | | EUR | 1,000 | | | | 999 | |
Reg. S, 4.25%, 03/22/2031 | | EUR | 14,325 | | | | 15,668 | |
Burlington Northern Santa Fe LLC, | | | | | | | | |
2.88%, 06/15/2052 | | | 380 | | | | 259 | |
3.00%, 04/01/2025 | | | 160 | | | | 154 | |
3.30%, 09/15/2051 | | | 20 | | | | 15 | |
4.15%, 04/01/2045 | | | 50 | | | | 43 | |
4.45%, 01/15/2053 | | | 75 | | | | 69 | |
4.55%, 09/01/2044 | | | 170 | | | | 156 | |
4.95%, 09/15/2041 | | | 700 | | | | 682 | |
5.20%, 04/15/2054 | | | 900 | | | | 917 | |
5.40%, 06/01/2041 | | | 70 | | | | 71 | |
Canadian National Railway Co., (Canada), 4.40%, 08/05/2052 | | | 430 | | | | 394 | |
Canadian Pacific Railway Co., (Canada), | | | | | | | | |
3.10%, 12/02/2051 | | | 210 | | | | 148 | |
4.20%, 11/15/2069 | | | 10 | | | | 8 | |
Deutsche Bahn Finance GMBH, (Germany), | |
Reg. S, 0.10%, 01/28/2036 | | CHF | 150 | | | | 135 | |
Reg. S, 0.35%, 09/29/2031 | | EUR | 100 | | | | 86 | |
Reg. S, 0.50%, 04/09/2027 | | EUR | 140 | | | | 137 | |
Reg. S, 1.00%, 12/17/2027 | | EUR | 300 | | | | 296 | |
Reg. S, 1.13%, 12/18/2028 | | EUR | 300 | | | | 292 | |
Reg. S, 1.13%, 05/29/2051 | | EUR | 112 | | | | 72 | |
Reg. S, 1.38%, 03/28/2031 | | EUR | 2,000 | | | | 1,881 | |
Reg. S, 1.38%, 04/16/2040 | | EUR | 50 | | | | 39 | |
Reg. S, 1.50%, 08/26/2024 | | CHF | 500 | | | | 556 | |
Reg. S, 1.63%, 08/16/2033 | | EUR | 189 | | | | 172 | |
Reg. S, 1.88%, 02/13/2026 | | GBP | 6,000 | | | | 6,895 | |
Reg. S, 1.88%, 05/24/2030 | | EUR | 300 | | | | 297 | |
1.99%, 07/08/2030 | | AUD | 200 | | | | 105 | |
Reg. S, 3.25%, 05/19/2033 | | EUR | 100 | | | | 107 | |
Reg. S, 3.50%, 09/27/2024 | | AUD | 300 | | | | 196 | |
Reg. S, 3.63%, 12/18/2037 | | EUR | 390 | | | | 427 | |
Reg. S, | | | | | | | | |
3.75%, 10/29/2025 | | AUD | 1,000 | | | | 644 | |
Series CB, Reg. S, (EUR Swap Rate 5 Year + 1.89%), 1.60%, 07/18/2029 (x) (aa) | | | EUR 1,700 | | | | 1,473 | |
East Japan Railway Co., (Japan), Reg. S, 4.50%, 01/25/2036 | | GBP | 2,000 | | | | 2,285 | |
Ferrovie dello Stato Italiane SpA, (Italy), | |
Reg. S, 1.50%, 06/27/2025 | | EUR | 510 | | | | 528 | |
Reg. S, 4.50%, 05/23/2033 | | EUR | 200 | | | | 218 | |
La Poste SA, (France), | |
Reg. S, 0.00%, 07/18/2029 | | EUR | 200 | | | | 174 | |
Reg. S, 0.38%, 09/17/2027 | | EUR | 100 | | | | 95 | |
Reg. S, 0.63%, 10/21/2026 | | EUR | 1,300 | | | | 1,277 | |
Reg. S, 1.00%, 09/17/2034 | | EUR | 200 | | | | 164 | |
Reg. S, 1.38%, 04/21/2032 | | EUR | 1,000 | | | | 899 | |
Reg. S, 2.63%, 09/14/2028 | | EUR | 100 | | | | 104 | |
Reg. S, 4.00%, 06/12/2035 | | EUR | 100 | | | | 110 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Transportation — continued | |
Network Rail Infrastructure Finance plc, (United Kingdom), Reg. S, 4.38%, 12/09/2030 | | GBP | 190 | | | | 234 | |
OeBB-Infrastruktur AG, (Austria), | | | | | | | | |
2.25%, 05/28/2029 | | EUR | 325 | | | | 337 | |
3.00%, 10/24/2033 | | EUR | 200 | | | | 217 | |
Reg. S, 3.38%, 05/18/2032 | | EUR | 4 | | | | 5 | |
Reg. S, 3.88%, 06/30/2025 | | EUR | 80 | | | | 87 | |
Ryder System, Inc., 5.65%, 03/01/2028 | | | 110 | | | | 110 | |
United Parcel Service, Inc., 1.50%, 11/15/2032 | | EUR | 1,125 | | | | 1,000 | |
| | | | | | | | |
| | |
| | | | | | | 44,235 | |
| | | | | | | | |
Trucking & Leasing — 0.0% (g) | |
Penske Truck Leasing Co. LP / PTL Finance Corp., | | | | | | | | |
4.40%, 07/01/2027 (e) | | | 730 | | | | 689 | |
5.55%, 05/01/2028 (e) | | | 1,135 | | | | 1,117 | |
5.75%, 05/24/2026 (e) | | | 860 | | | | 852 | |
| | | | | | | | |
| | |
| | | | | | | 2,658 | |
| | | | | | | | |
Total Industrial | | | | | | | 253,857 | |
| | | | | | | | |
Technology — 1.0% | |
Computers — 0.2% | |
Amdocs Ltd., (Guernsey), 2.54%, 06/15/2030 | | | 1,135 | | | | 947 | |
Apple, Inc., | | | | | | | | |
1.20%, 02/08/2028 | | | 295 | | | | 256 | |
1.38%, 05/24/2029 | | EUR | 100 | | | | 98 | |
1.40%, 08/05/2028 | | | 30 | | | | 26 | |
1.63%, 11/10/2026 | | EUR | 1,125 | | | | 1,153 | |
1.65%, 05/11/2030 | | | 250 | | | | 210 | |
2.38%, 02/08/2041 | | | 85 | | | | 63 | |
2.55%, 08/20/2060 | | | 15 | | | | 10 | |
2.65%, 05/11/2050 | | | 25 | | | | 17 | |
2.65%, 02/08/2051 | | | 30 | | | | 21 | |
2.80%, 02/08/2061 | | | 20 | | | | 13 | |
2.85%, 08/05/2061 | | | 40 | | | | 27 | |
3.05%, 07/31/2029 | | GBP | 425 | | | | 476 | |
3.25%, 02/23/2026 | | | 50 | | | | 48 | |
3.25%, 08/08/2029 | | | 1,020 | | | | 957 | |
3.35%, 02/09/2027 | | | 15 | | | | 14 | |
3.75%, 09/12/2047 | | | 1,000 | | | | 863 | |
3.95%, 08/08/2052 | | | 285 | | | | 251 | |
4.10%, 08/08/2062 | | | 425 | | | | 371 | |
Capgemini SE, (France), Reg. S, 0.63%, 06/23/2025 | | EUR | 100 | | | | 103 | |
CGI, Inc., (Canada), | | | | | | | | |
1.45%, 09/14/2026 | | | 60 | | | | 53 | |
2.30%, 09/14/2031 | | | 540 | | | | 422 | |
Dell Bank International DAC, (Ireland), | |
Reg. S, 0.50%, 10/27/2026 | | EUR | 1,000 | | | | 965 | |
Reg. S, 4.50%, 10/18/2027 | | EUR | 1,000 | | | | 1,100 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 108 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Computers — continued | |
Fortinet, Inc., 2.20%, 03/15/2031 | | | 190 | | | | 154 | |
Genpact Luxembourg Sarl, (Luxembourg), 3.38%, 12/01/2024 | | | 1,400 | | | | 1,349 | |
Hewlett Packard Enterprise Co., | | | | | | | | |
5.90%, 10/01/2024 | | | 15 | | | | 15 | |
6.10%, 04/01/2026 | | | 220 | | | | 220 | |
6.35%, 10/15/2045 | | | 81 | | | | 85 | |
International Business Machines Corp., | | | | | | | | |
1.25%, 02/09/2034 | | EUR | 1,000 | | | | 838 | |
2.20%, 02/09/2027 | | | 200 | | | | 182 | |
2.72%, 02/09/2032 | | | 100 | | | | 86 | |
3.30%, 05/15/2026 | | | 1,060 | | | | 1,010 | |
3.43%, 02/09/2052 | | | 200 | | | | 145 | |
3.63%, 02/06/2031 | | EUR | 1,700 | | | | 1,833 | |
4.00%, 07/27/2025 | | | 300 | | | | 293 | |
4.25%, 05/15/2049 | | | 390 | | | | 331 | |
4.50%, 02/06/2028 | | | 400 | | | | 392 | |
4.88%, 02/06/2038 | | GBP | 1,000 | | | | 1,130 | |
4.90%, 07/27/2052 | | | 550 | | | | 513 | |
Kyndryl Holdings, Inc., | | | | | | | | |
2.05%, 10/15/2026 | | | 20 | | | | 17 | |
3.15%, 10/15/2031 | | | 190 | | | | 143 | |
NetApp, Inc., 1.88%, 06/22/2025 | | | 1,700 | | | | 1,579 | |
Teledyne FLIR LLC, 2.50%, 08/01/2030 | | | 510 | | | | 421 | |
| | | | | | | | |
| | |
| | | | | | | 19,200 | |
| | | | | | | | |
Office/Business & Equipment — 0.0% (g) | |
CDW LLC / CDW Finance Corp., | | | | | | | | |
2.67%, 12/01/2026 | | | 985 | | | | 884 | |
3.28%, 12/01/2028 | | | 342 | | | | 296 | |
3.57%, 12/01/2031 | | | 262 | | | | 221 | |
4.13%, 05/01/2025 | | | 1,915 | | | | 1,844 | |
| | | | | | | | |
| | |
| | | | | | | 3,245 | |
| | | | | | | | |
Semiconductors — 0.3% | |
Analog Devices, Inc., | | | | | | | | |
1.70%, 10/01/2028 | | | 200 | | | | 172 | |
2.95%, 10/01/2051 | | | 250 | | | | 176 | |
3.45%, 06/15/2027 (e) | | | 270 | | | | 256 | |
Applied Materials, Inc., 3.30%, 04/01/2027 | | | 55 | | | | 53 | |
ASML Holding NV, (Netherlands), | |
Reg. S, 0.25%, 02/25/2030 | | EUR | 1,000 | | | | 889 | |
Reg. S, 0.63%, 05/07/2029 | | EUR | 1,200 | | | | 1,120 | |
Reg. S, 1.38%, 07/07/2026 | | EUR | 2,000 | | | | 2,042 | |
Reg. S, 1.63%, 05/28/2027 | | EUR | 2,750 | | | | 2,794 | |
Reg. S, 2.25%, 05/17/2032 | | EUR | 5,000 | | | | 5,014 | |
Broadcom, Inc., | | | | | | | | |
3.14%, 11/15/2035 (e) | | | 3,335 | | | | 2,558 | |
3.15%, 11/15/2025 | | | 217 | | | | 206 | |
3.19%, 11/15/2036 (e) | | | 1,220 | | | | 921 | |
3.42%, 04/15/2033 (e) | | | 293 | | | | 244 | |
3.46%, 09/15/2026 | | | 1,320 | | | | 1,247 | |
3.47%, 04/15/2034 (e) | | | 100 | | | | 82 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Semiconductors — continued | |
3.50%, 02/15/2041 (e) | | | 635 | | | | 474 | |
3.75%, 02/15/2051 (e) | | | 65 | | | | 48 | |
4.00%, 04/15/2029 (e) | | | 475 | | | | 439 | |
4.11%, 09/15/2028 | | | 20 | | | | 19 | |
4.15%, 04/15/2032 (e) | | | 310 | | | | 281 | |
4.93%, 05/15/2037 (e) | | | 200 | | | | 181 | |
Infineon Technologies AG, (Germany), | |
Reg. S, 0.63%, 02/17/2025 | | EUR | 2,000 | | | | 2,065 | |
Reg. S, 1.13%, 06/24/2026 | | EUR | 1,400 | | | | 1,414 | |
Reg. S, 1.63%, 06/24/2029 | | EUR | 1,000 | | | | 962 | |
Intel Corp., | | | | | | | | |
4.88%, 02/10/2028 | | | 300 | | | | 299 | |
5.63%, 02/10/2043 | | | 225 | | | | 228 | |
5.70%, 02/10/2053 | | | 785 | | | | 798 | |
5.90%, 02/10/2063 | | | 295 | | | | 304 | |
Microchip Technology, Inc., 4.25%, 09/01/2025 | | | 3,680 | | | | 3,565 | |
NVIDIA Corp., 3.70%, 04/01/2060 | | | 10 | | | | 8 | |
NXP BV / NXP Funding LLC / NXP USA, Inc., (Multinational), | | | | | | | | |
3.40%, 05/01/2030 | | | 1,000 | | | | 884 | |
3.88%, 06/18/2026 | | | 590 | | | | 567 | |
NXP BV / NXP Funding LLC, (Multinational), 4.88%, 03/01/2024 | | | 95 | | | | 94 | |
Skyworks Solutions, Inc., 3.00%, 06/01/2031 | | | 103 | | | | 83 | |
Texas Instruments, Inc., | | | | | | | | |
1.75%, 05/04/2030 | | | 59 | | | | 50 | |
2.70%, 09/15/2051 | | | 260 | | | | 180 | |
4.15%, 05/15/2048 | | | 17 | | | | 15 | |
| | | | | | | | |
| | |
| | | | | | | 30,732 | |
| | | | | | | | |
Software — 0.5% | |
Activision Blizzard, Inc., 2.50%, 09/15/2050 | | | 70 | | | | 45 | |
Adobe, Inc., 2.30%, 02/01/2030 | | | 288 | | | | 253 | |
Electronic Arts, Inc., 2.95%, 02/15/2051 | | | 255 | | | | 172 | |
Fidelity National Information Services, Inc., | | | | | | | | |
3.10%, 03/01/2041 | | | 180 | | | | 123 | |
3.36%, 05/21/2031 | | GBP | 100 | | | | 104 | |
Fiserv, Inc., | | | | | | | | |
3.00%, 07/01/2031 | | GBP | 8,000 | | | | 8,122 | |
3.50%, 07/01/2029 | | | 170 | | | | 155 | |
4.40%, 07/01/2049 | | | 135 | | | | 114 | |
5.45%, 03/02/2028 | | | 360 | | | | 362 | |
5.60%, 03/02/2033 | | | 315 | | | | 320 | |
Intuit, Inc., 1.65%, 07/15/2030 | | | 18 | | | | 15 | |
Microsoft Corp., | | | | | | | | |
2.53%, 06/01/2050 | | | 1,160 | | | | 800 | |
2.68%, 06/01/2060 | | | 535 | | | | 358 | |
3.04%, 03/17/2062 | | | 30 | | | | 22 | |
Oracle Corp., | | | | | | | | |
1.65%, 03/25/2026 | | | 155 | | | | 141 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 109 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Software — continued | |
2.30%, 03/25/2028 | | | 900 | | | | 794 | |
2.65%, 07/15/2026 | | | 250 | | | | 231 | |
2.95%, 04/01/2030 | | | 300 | | | | 262 | |
3.60%, 04/01/2050 | | | 1,365 | | | | 974 | |
3.65%, 03/25/2041 | | | 450 | | | | 346 | |
3.85%, 04/01/2060 | | | 105 | | | | 74 | |
3.90%, 05/15/2035 | | | 285 | | | | 245 | |
3.95%, 03/25/2051 | | | 270 | | | | 204 | |
4.00%, 07/15/2046 | | | 475 | | | | 363 | |
4.10%, 03/25/2061 | | | 490 | | | | 361 | |
4.30%, 07/08/2034 | | | 309 | | | | 280 | |
4.65%, 05/06/2030 | | | 115 | | | | 111 | |
4.90%, 02/06/2033 | | | 75 | | | | 73 | |
5.55%, 02/06/2053 | | | 670 | | | | 648 | |
6.90%, 11/09/2052 | | | 745 | | | | 833 | |
Sage Group plc (The), (United Kingdom), | |
Reg. S, 1.63%, 02/25/2031 | | GBP | 2,000 | | | | 1,862 | |
Reg. S, 2.88%, 02/08/2034 | | GBP | 3,500 | | | | 3,339 | |
Reg. S, 3.82%, 02/15/2028 | | EUR | 8,600 | | | | 9,258 | |
SAP SE, (Germany), | |
Reg. S, 0.38%, 05/18/2029 | | EUR | 5,000 | | | | 4,616 | |
Reg. S, 1.00%, 04/01/2025 | | EUR | 50 | | | | 53 | |
Reg. S, 1.38%, 03/13/2030 | | EUR | 7,500 | | | | 7,208 | |
ServiceNow, Inc., 1.40%, 09/01/2030 | | | 15 | | | | 12 | |
VMware, Inc., 4.50%, 05/15/2025 | | | 235 | | | | 230 | |
| | | | | | | | |
| | |
| | | | | | | 43,483 | |
| | | | | | | | |
Total Technology | | | | | | | 96,660 | |
| | | | | | | | |
Utilities — 3.6% | |
Electric — 2.9% | |
A2A SpA, (Italy), | | | | | | | | |
Reg. S, 1.00%, 07/16/2029 | | EUR | 100 | | | | 90 | |
Reg. S, 1.00%, 11/02/2033 | | EUR | 100 | | | | 78 | |
Reg. S, 1.63%, 10/19/2027 | | EUR | 200 | | | | 199 | |
Reg. S, 4.38%, 02/03/2034 | | EUR | 100 | | | | 108 | |
ACEA SpA, (Italy), | |
Reg. S, 0.50%, 04/06/2029 | | EUR | 100 | | | | 90 | |
Reg. S, 1.75%, 05/23/2028 | | EUR | 130 | | | | 128 | |
Reg. S, 2.63%, 07/15/2024 | | EUR | 100 | | | | 107 | |
Reg. S, 3.88%, 01/24/2031 | | EUR | 200 | | | | 213 | |
AEP Texas, Inc., | | | | | | | | |
3.45%, 05/15/2051 | | | 10 | | | | 7 | |
4.70%, 05/15/2032 | | | 885 | | | | 846 | |
5.25%, 05/15/2052 | | | 10 | | | | 9 | |
Series I, 2.10%, 07/01/2030 | | | 2,600 | | | | 2,122 | |
AES Corp. (The), 2.45%, 01/15/2031 | | | 125 | | | | 101 | |
Alabama Power Co., | | | | | | | | |
3.00%, 03/15/2052 | | | 60 | | | | 41 | |
3.75%, 09/01/2027 | | | 310 | | | | 296 | |
Alliander NV, (Netherlands), Reg. S, 2.63%, 09/09/2027 | | EUR | 400 | | | | 421 | |
Ameren Corp., | | | | | | | | |
2.50%, 09/15/2024 | | | 30 | | | | 29 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Electric — continued | |
3.50%, 01/15/2031 | | | 10 | | | | 9 | |
Ameren Illinois Co., | | | | | | | | |
1.55%, 11/15/2030 | | | 30 | | | | 24 | |
3.25%, 03/15/2050 | | | 1,200 | | | | 875 | |
4.95%, 06/01/2033 | | | 10 | | | | 10 | |
5.90%, 12/01/2052 | | | 20 | | | | 22 | |
American Electric Power Co., Inc., | | | | | | | | |
2.03%, 03/15/2024 | | | 90 | | | | 87 | |
2.30%, 03/01/2030 | | | 25 | | | | 21 | |
3.25%, 03/01/2050 | | | 20 | | | | 14 | |
5.95%, 11/01/2032 | | | 120 | | | | 125 | |
Amprion GmbH, (Germany), | |
Reg. S, 0.63%, 09/23/2033 | | EUR | 1,500 | | | | 1,187 | |
Reg. S, 3.97%, 09/22/2032 | | EUR | 800 | | | | 877 | |
Appalachian Power Co., | | | | | | | | |
Series BB, 4.50%, 08/01/2032 | | | 150 | | | | 140 | |
Series Y, 4.50%, 03/01/2049 | | | 20 | | | | 17 | |
Series Z, 3.70%, 05/01/2050 | | | 45 | | | | 34 | |
Arizona Public Service Co., | | | | | | | | |
2.20%, 12/15/2031 | | | 100 | | | | 78 | |
2.60%, 08/15/2029 | | | 84 | | | | 72 | |
3.35%, 05/15/2050 | | | 60 | | | | 41 | |
4.25%, 03/01/2049 | | | 10 | | | | 8 | |
5.55%, 08/01/2033 | | | 1,375 | | | | 1,376 | |
Atlantic City Electric Co., 4.00%, 10/15/2028 | | | 50 | | | | 48 | |
Baltimore Gas and Electric Co., | | | | | | | | |
2.90%, 06/15/2050 | | | 50 | | | | 33 | |
4.55%, 06/01/2052 | | | 300 | | | | 266 | |
5.40%, 06/01/2053 | | | 50 | | | | 51 | |
Berkshire Hathaway Energy Co., | | | | | | | | |
1.65%, 05/15/2031 | | | 400 | | | | 310 | |
2.85%, 05/15/2051 | | | 420 | | | | 271 | |
4.25%, 10/15/2050 | | | 15 | | | | 12 | |
4.60%, 05/01/2053 | | | 55 | | | | 47 | |
5.15%, 11/15/2043 | | | 60 | | | | 56 | |
Black Hills Corp., | | | | | | | | |
2.50%, 06/15/2030 | | | 100 | | | | 83 | |
3.05%, 10/15/2029 | | | 20 | | | | 17 | |
3.88%, 10/15/2049 | | | 10 | | | | 7 | |
CenterPoint Energy Houston Electric LLC, | | | | | | | | |
5.30%, 04/01/2053 | | | 50 | | | | 51 | |
Series AD, 2.90%, 07/01/2050 | | | 45 | | | | 30 | |
Series AF, 3.35%, 04/01/2051 | | | 10 | | | | 7 | |
Series AH, 3.60%, 03/01/2052 | | | 10 | | | | 8 | |
Series AJ, 4.85%, 10/01/2052 | | | 100 | | | | 95 | |
CenterPoint Energy, Inc., | | | | | | | | |
2.95%, 03/01/2030 | | | 45 | | | | 39 | |
4.25%, 11/01/2028 | | | 3 | | | | 3 | |
CEZ A/S, (Czech Republic), Reg. S, 2.38%, 04/06/2027 | | EUR | 1,425 | | | | 1,446 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 110 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Electric — continued | |
Coentreprise de Transport d’Electricite SA, (France), | | | | | | | | |
Reg. S, 0.88%, 09/29/2024 | | EUR | 100 | | | | 105 | |
Reg. S, 1.50%, 07/29/2028 | | EUR | 100 | | | | 97 | |
Reg. S, 2.13%, 07/29/2032 | | EUR | 100 | | | | 93 | |
Commonwealth Edison Co., | | | | | | | | |
3.00%, 03/01/2050 | | | 55 | | | | 38 | |
3.70%, 08/15/2028 | | | 10 | | | | 9 | |
4.00%, 03/01/2048 | | | 25 | | | | 21 | |
4.00%, 03/01/2049 | | | 10 | | | | 8 | |
4.35%, 11/15/2045 | | | 980 | | | | 853 | |
5.30%, 02/01/2053 | | | 10 | | | | 10 | |
Series 131, 2.75%, 09/01/2051 | | | 440 | | | | 284 | |
Series 132, 3.15%, 03/15/2032 | | | 200 | | | | 176 | |
Connecticut Light and Power Co. (The), Series A, 2.05%, 07/01/2031 | | | 905 | | | | 736 | |
Consolidated Edison Co. of New York, Inc., | | | | | | | | |
3.20%, 12/01/2051 | | | 100 | | | | 69 | |
3.60%, 06/15/2061 | | | 210 | | | | 152 | |
3.85%, 06/15/2046 | | | 10 | | | | 8 | |
5.20%, 03/01/2033 | | | 100 | | | | 101 | |
6.15%, 11/15/2052 | | | 60 | | | | 66 | |
Series 09-C, 5.50%, 12/01/2039 | | | 10 | | | | 10 | |
Series 20A, 3.35%, 04/01/2030 | | | 70 | | | | 63 | |
Series 20B, 3.95%, 04/01/2050 | | | 55 | | | | 45 | |
Series A, 4.13%, 05/15/2049 | | | 20 | | | | 16 | |
Series C, 3.00%, 12/01/2060 | | | 20 | | | | 13 | |
Series E, 4.65%, 12/01/2048 | | | 10 | | | | 9 | |
Constellation Energy Generation LLC, | | | | | | | | |
5.60%, 06/15/2042 | | | 70 | | | | 68 | |
5.80%, 03/01/2033 | | | 20 | | | | 20 | |
Consumers Energy Co., | | | | | | | | |
2.50%, 05/01/2060 | | | 10 | | | | 6 | |
3.10%, 08/15/2050 | | | 30 | | | | 21 | |
3.25%, 08/15/2046 | | | 1,100 | | | | 809 | |
3.75%, 02/15/2050 | | | 25 | | | | 20 | |
4.20%, 09/01/2052 | | | 200 | | | | 171 | |
Dominion Energy South Carolina, Inc., 4.60%, 06/15/2043 | | | 1,400 | | | | 1,271 | |
Dominion Energy, Inc., | | | | | | | | |
3.90%, 10/01/2025 | | | 220 | | | | 212 | |
4.25%, 06/01/2028 | | | 20 | | | | 19 | |
Series A, 4.35%, 08/15/2032 | | | 200 | | | | 187 | |
Series A, 4.60%, 03/15/2049 | | | 10 | | | | 9 | |
Series B, 4.85%, 08/15/2052 | | | 245 | | | | 217 | |
Series C, 3.38%, 04/01/2030 | | | 20 | | | | 18 | |
DTE Electric Co., | | | | | | | | |
2.95%, 03/01/2050 | | | 25 | | | | 17 | |
3.70%, 03/15/2045 | | | 1,100 | | | | 874 | |
3.95%, 03/01/2049 | | | 10 | | | | 8 | |
Series B, 3.25%, 04/01/2051 | | | 130 | | | | 94 | |
DTE Energy Co., | | | | | | | | |
2.85%, 10/01/2026 | | | 250 | | | | 230 | |
Series C, 3.40%, 06/15/2029 | | | 19 | | | | 17 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Electric — continued | |
Duke Energy Carolinas LLC, | | | | | | | | |
3.55%, 03/15/2052 | | | 60 | | | | 45 | |
3.95%, 11/15/2028 | | | 40 | | | | 38 | |
5.30%, 02/15/2040 | | | 10 | | | | 10 | |
5.35%, 01/15/2053 | | | 65 | | | | 66 | |
5.40%, 01/15/2054 | | | 40 | | | | 41 | |
Duke Energy Corp., | | | | | | | | |
0.90%, 09/15/2025 | | | 40 | | | | 36 | |
2.45%, 06/01/2030 | | | 110 | | | | 92 | |
2.55%, 06/15/2031 | | | 10 | | | | 8 | |
2.65%, 09/01/2026 | | | 30 | | | | 28 | |
3.10%, 06/15/2028 | | EUR | 2,150 | | | | 2,210 | |
3.50%, 06/15/2051 | | | 10 | | | | 7 | |
3.75%, 09/01/2046 | | | 10 | | | | 8 | |
3.85%, 06/15/2034 | | EUR | 2,200 | | | | 2,188 | |
4.20%, 06/15/2049 | | | 20 | | | | 16 | |
4.30%, 03/15/2028 | | | 100 | | | | 96 | |
4.50%, 08/15/2032 | | | 450 | | | | 424 | |
5.00%, 08/15/2052 | | | 170 | | | | 155 | |
Duke Energy Florida LLC, | | | | | | | | |
3.00%, 12/15/2051 | | | 20 | | | | 14 | |
4.20%, 07/15/2048 | | | 10 | | | | 8 | |
Duke Energy Indiana LLC, | | | | | | | | |
2.75%, 04/01/2050 | | | 20 | | | | 13 | |
5.40%, 04/01/2053 | | | 20 | | | | 20 | |
Series YYY, 3.25%, 10/01/2049 | | | 40 | | | | 28 | |
Duke Energy Ohio, Inc., | | | | | | | | |
2.13%, 06/01/2030 | | | 30 | | | | 25 | |
3.65%, 02/01/2029 | | | 10 | | | | 9 | |
4.30%, 02/01/2049 | | | 80 | | | | 67 | |
Duke Energy Progress LLC, | | | | | | | | |
3.40%, 04/01/2032 | | | 290 | | | | 256 | |
4.00%, 04/01/2052 | | | 150 | | | | 122 | |
E.ON International Finance BV, (Netherlands), | |
Reg. S, 5.88%, 10/30/2037 | | GBP | 1,000 | | | | 1,220 | |
Reg. S, 6.13%, 07/06/2039 | | GBP | 650 | | | | 811 | |
E.ON SE, (Germany), | |
Reg. S, 1.00%, 10/07/2025 | | EUR | 100 | | | | 103 | |
Reg. S, 3.50%, 01/12/2028 | | EUR | 11,000 | | | | 11,896 | |
EDP - Energias de Portugal SA, (Portugal), Reg. S, 1.63%, 04/15/2027 | | EUR | 200 | | | | 201 | |
EDP Finance BV, (Netherlands), Reg. S, 2.00%, 04/22/2025 | | EUR | 1,300 | | | | 1,371 | |
Electricite de France SA, (France), | |
Reg. S, 1.00%, 10/13/2026 | | EUR | 600 | | | | 598 | |
Reg. S, 1.00%, 11/29/2033 | | EUR | 100 | | | | 79 | |
Reg. S, 1.88%, 10/13/2036 | | EUR | 200 | | | | 159 | |
Reg. S, 2.00%, 12/09/2049 | | EUR | 700 | | | | 456 | |
Reg. S, 4.25%, 01/25/2032 | | EUR | 400 | | | | 431 | |
Reg. S, 4.63%, 01/25/2043 | | EUR | 100 | | | | 104 | |
Reg. S, 4.75%, 10/12/2034 | | EUR | 1,600 | | | | 1,764 | |
Reg. S, 5.13%, 09/22/2050 | | GBP | 800 | | | | 811 | |
Reg. S, 5.50%, 03/27/2037 | | GBP | 500 | | | | 555 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 111 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Electric — continued | |
Reg. S, 5.50%, 10/17/2041 | | GBP | 1,000 | | | | 1,089 | |
5.88%, 07/18/2031 | | GBP | 465 | | | | 560 | |
Reg. S, 6.00%, 01/23/2114 | | GBP | 600 | | | | 664 | |
Reg. S, 6.13%, 06/02/2034 | | GBP | 600 | | | | 720 | |
Reg. S, 6.25%, 05/30/2028 | | GBP | 3,000 | | | | 3,741 | |
Elia Transmission Belgium SA, (Belgium), Reg. S, 3.63%, 01/18/2033 | | | EUR 5,400 | | | | 5,818 | |
Emera US Finance LP, 2.64%, 06/15/2031 | | | 110 | | | | 88 | |
EnBW Energie Baden-Wuerttemberg AG, (Germany), | | | | | | | | |
Reg. S, (EUR Swap Rate 5 Year + 1.65%), 1.38%, 08/31/2081 (aa) | | EUR | 100 | | | | 87 | |
Reg. S, (ICE EURIBOR Swap Rate 5 Year + 1.73%), 1.63%, 08/05/2079 (aa) | | EUR | 100 | | | | 93 | |
Reg. S, (EUR Swap Rate 5 Year + 2.32%), 1.88%, 06/29/2080 (aa) | | EUR | 100 | | | | 97 | |
EnBW International Finance BV, (Netherlands), | | | | | | | | |
Reg. S, 0.13%, 03/01/2028 | | EUR | 182 | | | | 172 | |
Reg. S, 0.50%, 03/01/2033 | | EUR | 97 | | | | 76 | |
Reg. S, 0.63%, 04/17/2025 | | EUR | 200 | | | | 206 | |
Reg. S, 3.50%, 07/24/2028 | | EUR | 120 | | | | 128 | |
Reg. S, 4.00%, 01/24/2035 | | EUR | 100 | | | | 107 | |
Reg. S, 6.13%, 07/07/2039 | | EUR | 40 | | | | 52 | |
Enel Finance International NV, (Netherlands), | | | | | | | | |
Reg. S, 0.00%, 06/17/2024 | | EUR | 4,375 | | | | 4,590 | |
Reg. S, 0.00%, 05/28/2026 | | EUR | 1,000 | | | | 973 | |
Reg. S, 0.38%, 06/17/2027 | | EUR | 1,000 | | | | 952 | |
Reg. S, 0.38%, 05/28/2029 | | EUR | 8,000 | | | | 7,109 | |
Reg. S, 0.50%, 06/17/2030 | | EUR | 1,000 | | | | 860 | |
Reg. S, 0.88%, 01/17/2031 | | EUR | 8,500 | | | | 7,375 | |
Reg. S, 0.88%, 09/28/2034 | | EUR | 3,000 | | | | 2,294 | |
Reg. S, 0.88%, 06/17/2036 | | EUR | 6,700 | | | | 4,830 | |
Reg. S, 1.00%, 09/16/2024 | | EUR | 1,000 | | | | 1,052 | |
Reg. S, 1.50%, 07/21/2025 | | EUR | 2,000 | | | | 2,076 | |
2.25%, 07/12/2031 (e) | | | 300 | | | | 235 | |
2.65%, 09/10/2024 (e) | | | 3,500 | | | | 3,367 | |
3.50%, 04/06/2028 (e) | | | 1,700 | | | | 1,555 | |
Reg. S, 4.50%, 02/20/2043 | | EUR | 6,000 | | | | 6,391 | |
5.00%, 06/15/2032 (e) | | | 940 | | | | 888 | |
7.50%, 10/14/2032 (e) | | | 1,185 | | | | 1,313 | |
Enel SpA, (Italy), Series 635, Reg. S, (EUR Swap Rate 5 Year + 2.58%), 3.38%, 08/24/2026 (x) (aa) | | | EUR 5,000 | | | | 4,998 | |
e-netz Suedhessen AG, (Germany), 6.13%, 04/23/2041 | | EUR | 20 | | | | 26 | |
Enexis Holding NV, (Netherlands), | |
Reg. S, 0.75%, 07/02/2031 | | EUR | 134 | | | | 118 | |
Reg. S, 0.88%, 04/28/2026 | | EUR | 100 | | | | 101 | |
Engie SA, (France), | |
Reg. S, 0.38%, 06/21/2027 | | EUR | 1,000 | | | | 958 | |
Reg. S, 0.38%, 10/26/2029 | | EUR | 1,000 | | | | 888 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Electric — continued | |
Reg. S, 1.00%, 10/26/2036 | | EUR | 1,000 | | | | 755 | |
Reg. S, 1.38%, 03/27/2025 | | EUR | 1,000 | | | | 1,044 | |
Reg. S, (EUR Swap Rate 5 Year + 1.88%), 1.50%, 05/30/2028 (x) (aa) | | EUR | 3,000 | | | | 2,676 | |
Reg. S, (EUR Swap Rate 5 Year + 1.84%), 1.63%, 04/08/2025 (x) (aa) | | EUR | 1,000 | | | | 1,008 | |
Reg. S, 1.75%, 03/27/2028 | | EUR | 3,000 | | | | 3,002 | |
Reg. S, 2.00%, 09/28/2037 | | EUR | 1,000 | | | | 844 | |
Reg. S, 2.38%, 05/19/2026 | | EUR | 3,000 | | | | 3,158 | |
Reg. S, (EUR Swap Rate 5 Year + 3.17%), 3.25%, 11/28/2024 (x) (aa) | | EUR | 1,800 | | | | 1,900 | |
Reg. S, 5.00%, 10/01/2060 | | GBP | 4,000 | | | | 4,446 | |
Reg. S, 7.00%, 10/30/2028 | | GBP | 2,000 | | | | 2,625 | |
Entergy Arkansas LLC, 4.20%, 04/01/2049 | | | 10 | | | | 8 | |
Entergy Corp., | | | | | | | | |
0.90%, 09/15/2025 | | | 230 | | | | 207 | |
3.75%, 06/15/2050 | | | 30 | | | | 22 | |
Entergy Louisiana LLC, | | | | | | | | |
1.60%, 12/15/2030 (jj) | | | 2,300 | | | | 1,795 | |
2.35%, 06/15/2032 | | | 30 | | | | 24 | |
2.90%, 03/15/2051 | | | 30 | | | | 20 | |
3.12%, 09/01/2027 (jj) | | | 2,500 | | | | 2,306 | |
3.25%, 04/01/2028 | | | 10 | | | | 9 | |
4.20%, 09/01/2048 | | | 10 | | | | 9 | |
Entergy Texas, Inc., | | | | | | | | |
4.00%, 03/30/2029 | | | 15 | | | | 14 | |
5.00%, 09/15/2052 | | | 200 | | | | 187 | |
ESB Finance DAC, (Ireland), | |
Reg. S, 1.88%, 06/14/2031 | | EUR | 224 | | | | 211 | |
Reg. S, 2.13%, 06/08/2027 | | EUR | 100 | | | | 102 | |
Reg. S, 3.75%, 01/25/2043 | | EUR | 100 | | | | 104 | |
Evergy Kansas Central, Inc., 3.45%, 04/15/2050 | | | 55 | | | | 40 | |
Evergy Metro, Inc., | | | | | | | | |
4.20%, 03/15/2048 | | | 10 | | | | 8 | |
Series 2019, 4.13%, 04/01/2049 | | | 20 | | | | 16 | |
Series 2020, 2.25%, 06/01/2030 | | | 150 | | | | 125 | |
Evergy, Inc., 2.45%, 09/15/2024 | | | 3,000 | | | | 2,874 | |
Eversource Energy, | | | | | | | | |
3.38%, 03/01/2032 | | | 300 | | | | 261 | |
3.45%, 01/15/2050 | | | 30 | | | | 22 | |
4.20%, 06/27/2024 | | | 85 | | | | 84 | |
4.60%, 07/01/2027 | | | 100 | | | | 98 | |
Series R, 1.65%, 08/15/2030 | | | 1,410 | | | | 1,117 | |
EWE AG, (Germany), Reg. S, 0.38%, 10/22/2032 | | EUR | 90 | | | | 71 | |
Exelon Corp., | | | | | | | | |
2.75%, 03/15/2027 | | | 200 | | | | 183 | |
4.05%, 04/15/2030 | | | 10 | | | | 9 | |
4.10%, 03/15/2052 | | | 20 | | | | 16 | |
4.45%, 04/15/2046 | | | 10 | | | | 9 | |
4.70%, 04/15/2050 | | | 10 | | | | 9 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 112 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Electric — continued | |
FirstEnergy Transmission LLC, 4.35%, 01/15/2025 (e) | | | 1,100 | | | | 1,072 | |
Florida Power & Light Co., | | | | | | | | |
2.45%, 02/03/2032 | | | 200 | | | | 168 | |
2.88%, 12/04/2051 | | | 295 | | | | 204 | |
3.15%, 10/01/2049 | | | 20 | | | | 15 | |
3.95%, 03/01/2048 | | | 500 | | | | 420 | |
4.13%, 06/01/2048 | | | 20 | | | | 17 | |
5.30%, 04/01/2053 | | | 120 | | | | 124 | |
FLUVIUS System Operator CVBA, (Belgium), | |
Reg. S, 0.63%, 11/24/2031 | | EUR | 100 | | | | 85 | |
Reg. S, 3.88%, 05/09/2033 | | EUR | 100 | | | | 108 | |
Reg. S, 4.00%, 07/06/2032 | | EUR | 200 | | | | 221 | |
Fortum OYJ, (Finland), | |
Reg. S, 2.13%, 02/27/2029 | | EUR | 100 | | | | 98 | |
Reg. S, 4.50%, 05/26/2033 | | EUR | 200 | | | | 220 | |
Georgia Power Co., | | | | | | | | |
4.70%, 05/15/2032 | | | 2,350 | | | | 2,270 | |
5.13%, 05/15/2052 | | | 162 | | | | 157 | |
Series A, 3.25%, 03/15/2051 | | | 20 | | | | 14 | |
Series B, 3.70%, 01/30/2050 | | | 60 | | | | 46 | |
Hera SpA, (Italy), | |
Reg. S, 0.25%, 12/03/2030 | | EUR | 160 | | | | 132 | |
Reg. S, 1.00%, 04/25/2034 | | EUR | 200 | | | | 157 | |
Iberdrola Finanzas SA, (Spain), Reg. S, 1.25%, 10/28/2026 | | EUR | 2,000 | | | | 2,028 | |
Iberdrola International BV, (Netherlands), | | | | | | | | |
Series NC5, Reg. S, (EUR Swap Rate 5 Year + 2.32%), 1.87%, 01/28/2026 (x) (aa) | | | EUR 3,000 | | | | 2,941 | |
Series NC8, Reg. S, (EUR Swap Rate 5 Year + 2.57%), 2.25%, 01/28/2029 (x) (aa) | | | EUR 2,000 | | | | 1,789 | |
Ignitis Grupe AB, (Lithuania), Reg. S, 2.00%, 05/21/2030 | | EUR | 110 | | | | 100 | |
Interstate Power and Light Co., 3.50%, 09/30/2049 | | | 110 | | | | 80 | |
Iren SpA, (Italy), Reg. S, 1.00%, 07/01/2030 | | EUR | 550 | | | | 481 | |
ITC Holdings Corp., 4.95%, 09/22/2027 (e) | | | 1,170 | | | | 1,151 | |
Kentucky Utilities Co., 3.30%, 06/01/2050 | | | 25 | | | | 18 | |
MidAmerican Energy Co., | | | | | | | | |
2.70%, 08/01/2052 | | | 15 | | | | 10 | |
3.10%, 05/01/2027 | | | 10 | | | | 9 | |
6.75%, 12/30/2031 | | | 10 | | | | 11 | |
Mississippi Power Co., Series B, 3.10%, 07/30/2051 | | | 40 | | | | 27 | |
National Grid Electricity Distribution East Midlands plc, (United Kingdom), | | | | | | | | |
Reg. S, 3.53%, 09/20/2028 | | EUR | 3,000 | | | | 3,186 | |
Reg. S, 3.95%, 09/20/2032 | | EUR | 2,000 | | | | 2,152 | |
Reg. S, 6.25%, 12/10/2040 | | GBP | 1,000 | | | | 1,299 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Electric — continued | |
National Grid Electricity Distribution South Wales plc, (United Kingdom), Series WALE, 5.75%, 03/23/2040 | | | GBP 2,000 | | | | 2,461 | |
National Grid Electricity Distribution South West plc, (United Kingdom), Reg. S, 5.88%, 03/25/2027 | | | GBP 20 | | | | 25 | |
National Grid Electricity Transmission plc, (United Kingdom), | | | | | | | | |
Reg. S, 0.19%, 01/20/2025 | | EUR | 1,000 | | | | 1,026 | |
Reg. S, 2.00%, 04/17/2040 | | GBP | 425 | | | | 315 | |
National Grid plc, (United Kingdom), | |
Reg. S, 0.25%, 09/01/2028 | | EUR | 1,000 | | | | 904 | |
Reg. S, 0.55%, 09/18/2029 | | EUR | 3,075 | | | | 2,711 | |
Reg. S, 2.18%, 06/30/2026 | | EUR | 3,925 | | | | 4,063 | |
National Rural Utilities Cooperative Finance Corp., | | | | | | | | |
1.00%, 06/15/2026 | | | 200 | | | | 177 | |
1.35%, 03/15/2031 | | | 230 | | | | 175 | |
3.45%, 06/15/2025 | | | 110 | | | | 106 | |
4.30%, 03/15/2049 | | | 20 | | | | 17 | |
Naturgy Finance BV, (Netherlands), | |
Reg. S, 0.75%, 11/28/2029 | | EUR | 1,000 | | | | 909 | |
Reg. S, 0.88%, 05/15/2025 | | EUR | 1,000 | | | | 1,028 | |
Reg. S, 1.25%, 01/15/2026 | | EUR | 3,900 | | | | 3,961 | |
Reg. S, 1.25%, 04/19/2026 | | EUR | 1,000 | | | | 1,012 | |
Reg. S, 1.38%, 01/19/2027 | | EUR | 1,200 | | | | 1,199 | |
Reg. S, 1.50%, 01/29/2028 | | EUR | 1,200 | | | | 1,187 | |
Reg. S, 1.88%, 10/05/2029 | | EUR | 1,000 | | | | 967 | |
Nevada Power Co., | | | | | | | | |
Series DD, 2.40%, 05/01/2030 | | | 100 | | | | 84 | |
Series EE, 3.13%, 08/01/2050 | | | 30 | | | | 20 | |
NextEra Energy Capital Holdings, Inc., | | | | | | | | |
2.25%, 06/01/2030 | | | 1,280 | | | | 1,064 | |
2.75%, 11/01/2029 | | | 35 | | | | 30 | |
3.00%, 01/15/2052 | | | 100 | | | | 66 | |
4.26%, 09/01/2024 | | | 230 | | | | 226 | |
4.63%, 07/15/2027 | | | 200 | | | | 196 | |
5.25%, 02/28/2053 | | | 850 | | | | 814 | |
6.05%, 03/01/2025 | | | 610 | | | | 612 | |
NIE Finance plc, (United Kingdom), Reg. S, 5.88%, 12/01/2032 | | GBP | 100 | | | | 125 | |
Northern Powergrid Yorkshire plc, (United Kingdom), Reg. S, 5.13%, 05/04/2035 | | GBP | 150 | | | | 178 | |
Northern States Power Co., | | | | | | | | |
2.25%, 04/01/2031 | | | 1,450 | | | | 1,210 | |
2.60%, 06/01/2051 | | | 35 | | | | 22 | |
3.20%, 04/01/2052 | | | 30 | | | | 21 | |
4.50%, 06/01/2052 | | | 10 | | | | 9 | |
5.10%, 05/15/2053 | | | 40 | | | | 39 | |
NRG Energy, Inc., | | | | | | | | |
2.00%, 12/02/2025 (e) | | | 2,150 | | | | 1,928 | |
2.45%, 12/02/2027 (e) | | | 2,275 | | | | 1,917 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 113 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Electric — continued | |
NSTAR Electric Co., | | | | | | | | |
3.10%, 06/01/2051 | | | 30 | | | | 21 | |
4.55%, 06/01/2052 | | | 470 | | | | 422 | |
4.95%, 09/15/2052 | | | 60 | | | | 58 | |
Oglethorpe Power Corp., 5.05%, 10/01/2048 | | | 90 | | | | 79 | |
Ohio Power Co., Series R, 2.90%, 10/01/2051 | | | 15 | | | | 10 | |
Oklahoma Gas and Electric Co., | | | | | | | | |
4.15%, 04/01/2047 | | | 920 | | | | 752 | |
5.60%, 04/01/2053 | | | 10 | | | | 10 | |
Oncor Electric Delivery Co. LLC, | | | | | | | | |
3.10%, 09/15/2049 | | | 50 | | | | 35 | |
3.70%, 05/15/2050 | | | 5 | | | | 4 | |
4.30%, 05/15/2028 (e) | | | 140 | | | | 136 | |
4.60%, 06/01/2052 | | | 15 | | | | 14 | |
4.95%, 09/15/2052 | | | 150 | | | | 144 | |
Origin Energy Finance Ltd., (Australia), Reg. S, 1.00%, 09/17/2029 | | | EUR 5,500 | | | | 5,533 | |
Orsted A/S, (Denmark), | | | | | | | | |
Reg. S, 2.13%, 05/17/2027 | | GBP | 5,000 | | | | 5,489 | |
Reg. S, 2.25%, 06/14/2028 | | EUR | 1,000 | | | | 1,018 | |
Reg. S, 5.75%, 04/09/2040 | | GBP | 425 | | | | 528 | |
Pacific Gas and Electric Co., | | | | | | | | |
3.15%, 01/01/2026 | | | 335 | | | | 311 | |
3.25%, 06/01/2031 | | | 40 | | | | 32 | |
3.50%, 08/01/2050 | | | 40 | | | | 25 | |
3.75%, 07/01/2028 | | | 10 | | | | 9 | |
3.95%, 12/01/2047 | | | 900 | | | | 612 | |
4.50%, 07/01/2040 | | | 300 | | | | 233 | |
4.55%, 07/01/2030 | | | 30 | | | | 27 | |
4.95%, 07/01/2050 | | | 295 | | | | 232 | |
5.25%, 03/01/2052 | | | 100 | | | | 81 | |
6.75%, 01/15/2053 | | | 130 | | | | 128 | |
PacifiCorp., | | | | | | | | |
2.90%, 06/15/2052 | | | 740 | | | | 460 | |
3.30%, 03/15/2051 | | | 1,400 | | | | 957 | |
4.15%, 02/15/2050 | | | 15 | | | | 12 | |
5.35%, 12/01/2053 | | | 5 | | | | 4 | |
5.50%, 05/15/2054 | | | 40 | | | | 37 | |
PECO Energy Co., | | | | | | | | |
2.80%, 06/15/2050 | | | 50 | | | | 33 | |
3.05%, 03/15/2051 | | | 435 | | | | 300 | |
4.60%, 05/15/2052 | | | 385 | | | | 352 | |
4.90%, 06/15/2033 (jj) | | | 1,680 | | | | 1,676 | |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, (Indonesia), Reg. S, 1.88%, 11/05/2031 | | | EUR 1,000 | | | | 826 | |
PPL Capital Funding, Inc., 4.13%, 04/15/2030 | | | 330 | | | | 306 | |
PPL Electric Utilities Corp., 5.25%, 05/15/2053 | | | 80 | | | | 81 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Electric — continued | |
Public Service Co. of Colorado, | | | | | | | | |
5.25%, 04/01/2053 | | | 50 | | | | 48 | |
Series 36, 2.70%, 01/15/2051 | | | 10 | | | | 6 | |
Series 38, 4.10%, 06/01/2032 | | | 200 | | | | 186 | |
Series 39, 4.50%, 06/01/2052 | | | 160 | | | | 139 | |
Public Service Electric and Gas Co., | | | | | | | | |
1.90%, 08/15/2031 | | | 35 | | | | 28 | |
2.05%, 08/01/2050 | | | 60 | | | | 35 | |
2.45%, 01/15/2030 | | | 20 | | | | 17 | |
3.10%, 03/15/2032 | | | 300 | | | | 262 | |
3.65%, 09/01/2028 | | | 120 | | | | 113 | |
3.85%, 05/01/2049 | | | 10 | | | | 8 | |
Public Service Enterprise Group, Inc., 0.80%, 08/15/2025 | | | 3,000 | | | | 2,712 | |
Puget Energy, Inc., | | | | | | | | |
2.38%, 06/15/2028 | | | 1,040 | | | | 894 | |
4.10%, 06/15/2030 | | | 10 | | | | 9 | |
4.22%, 03/15/2032 | | | 200 | | | | 180 | |
Puget Sound Energy, Inc., | | | | | | | | |
2.89%, 09/15/2051 | | | 10 | | | | 7 | |
3.25%, 09/15/2049 | | | 20 | | | | 14 | |
Red Electrica Financiaciones SAU, (Spain), Reg. S, 1.13%, 04/24/2025 | | EUR | 200 | | | | 209 | |
Ren Finance BV, (Netherlands), | | | | | | | | |
Reg. S, 0.50%, 04/16/2029 | | EUR | 1,000 | | | | 911 | |
Reg. S, 1.75%, 01/18/2028 | | EUR | 1,000 | | | | 991 | |
RTE Reseau de Transport d’Electricite SADIR, (France), | | | | | | | | |
Reg. S, 0.75%, 01/12/2034 | | EUR | 100 | | | | 82 | |
Reg. S, 1.13%, 07/08/2040 | | EUR | 200 | | | | 148 | |
Reg. S, 1.13%, 09/09/2049 | | EUR | 100 | | | | 66 | |
Reg. S, 1.50%, 09/27/2030 | | EUR | 100 | | | | 93 | |
Reg. S, 1.63%, 11/27/2025 | | EUR | 300 | | | | 310 | |
Reg. S, 2.00%, 04/18/2036 | | EUR | 100 | | | | 89 | |
RWE AG, (Germany), | | | | | | | | |
Reg. S, 2.13%, 05/24/2026 | | EUR | 2,000 | | | | 2,066 | |
Reg. S, 2.75%, 05/24/2030 | | EUR | 2,000 | | | | 2,005 | |
Reg. S, 4.13%, 02/13/2035 | | EUR | 2,225 | | | | 2,362 | |
San Diego Gas & Electric Co., | | | | | | | | |
4.15%, 05/15/2048 | | | 820 | | | | 683 | |
Series WWW, 2.95%, 08/15/2051 | | | 25 | | | | 17 | |
Series XXX, 3.00%, 03/15/2032 | | | 500 | | | | 428 | |
Scottish Hydro Electric Transmission plc, (United Kingdom), Reg. S, 2.13%, 03/24/2036 | | | GBP 1,500 | | | | 1,271 | |
Sempra Energy, | | | | | | | | |
3.40%, 02/01/2028 | | | 10 | | | | 9 | |
3.70%, 04/01/2029 | | | 100 | | | | 91 | |
4.00%, 02/01/2048 | | | 10 | | | | 8 | |
Sierra Pacific Power Co., 2.60%, 05/01/2026 | | | 100 | | | | 93 | |
Southern California Edison Co., | | | | | | | | |
2.75%, 02/01/2032 | | | 100 | | | | 84 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 114 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Electric — continued | |
2.85%, 08/01/2029 | | | 10 | | | | 9 | |
3.45%, 02/01/2052 | | | 310 | | | | 221 | |
3.65%, 02/01/2050 | | | 80 | | | | 59 | |
4.00%, 04/01/2047 | | | 20 | | | | 16 | |
4.05%, 03/15/2042 | | | 900 | | | | 727 | |
5.88%, 12/01/2053 | | | 50 | | | | 51 | |
6.05%, 03/15/2039 | | | 10 | | | | 10 | |
Series 20A, 2.95%, 02/01/2051 | | | 6 | | | | 4 | |
Series B, 3.65%, 03/01/2028 | | | 25 | | | | 23 | |
Series E, 3.70%, 08/01/2025 | | | 10 | | | | 10 | |
Series H, 3.65%, 06/01/2051 | | | 10 | | | | 7 | |
Southern Co. (The), | | | | | | | | |
5.20%, 06/15/2033 | | | 120 | | | | 119 | |
5.70%, 10/15/2032 | | | 100 | | | | 103 | |
Series 21-A, 0.60%, 02/26/2024 | | | 60 | | | | 58 | |
Series 21-A, (CMT Index 5 Year + 2.92%), 3.75%, 09/15/2051 (aa) | | | 90 | | | | 77 | |
Series A, 3.70%, 04/30/2030 | | | 95 | | | | 87 | |
Southwestern Electric Power Co., | | | | | | | | |
3.25%, 11/01/2051 | | | 325 | | | | 218 | |
5.30%, 04/01/2033 | | | 140 | | | | 138 | |
Series N, 1.65%, 03/15/2026 | | | 50 | | | | 45 | |
Southwestern Public Service Co., | | | | | | | | |
3.70%, 08/15/2047 | | | 1,000 | | | | 765 | |
Series 8, 3.15%, 05/01/2050 | | | 60 | | | | 42 | |
SP Transmission plc, (United Kingdom), Reg. S, 2.00%, 11/13/2031 | | GBP | 100 | | | | 97 | |
SSE plc, (United Kingdom), | |
Reg. S, 0.88%, 09/06/2025 | | EUR | 2,000 | | | | 2,043 | |
Reg. S, 1.25%, 04/16/2025 | | EUR | 1,000 | | | | 1,037 | |
Reg. S, 1.38%, 09/04/2027 | | EUR | 1,000 | | | | 999 | |
Reg. S, 1.75%, 04/16/2030 | | EUR | 1,000 | | | | 956 | |
Reg. S, (EUR Swap Rate 5 Year + 3.42%), 3.13%, 04/14/2027 (x) (aa) | | EUR | 3,000 | | | | 2,964 | |
Reg. S, 6.25%, 08/27/2038 | | GBP | 3,000 | | | | 3,828 | |
State Grid Overseas Investment BVI Ltd., (British Virgin Islands), Reg. S, 1.30%, 08/05/2032 | | EUR | 500 | | | | 416 | |
Statkraft A/S, (Norway), Reg. S, 1.50%, 03/26/2030 | | EUR | 5,000 | | | | 4,770 | |
Stedin Holding NV, (Netherlands), | | | | | | | | |
Reg. S, 0.88%, 10/24/2025 | | EUR | 100 | | | | 102 | |
Reg. S, 1.38%, 09/19/2028 | | EUR | 200 | | | | 195 | |
Reg. S, 2.38%, 06/03/2030 | | EUR | 200 | | | | 200 | |
System Energy Resources, Inc., 6.00%, 04/15/2028 | | | 385 | | | | 380 | |
Tampa Electric Co., 4.30%, 06/15/2048 | | | 120 | | | | 100 | |
Tauron Polska Energia SA, (Poland), Reg. S, 2.38%, 07/05/2027 | | | EUR 1,000 | | | | 932 | |
TenneT Holding BV, (Netherlands), | | | | | | | | |
Reg. S, 0.88%, 06/03/2030 | | EUR | 120 | | | | 112 | |
Reg. S, 1.00%, 06/13/2026 | | EUR | 200 | | | | 203 | |
Reg. S, 1.13%, 06/09/2041 | | EUR | 100 | | | | 78 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Electric — continued | |
Reg. S, 1.38%, 06/26/2029 | | EUR | 100 | | | | 97 | |
Reg. S, 1.63%, 11/17/2026 | | EUR | 450 | | | | 465 | |
Reg. S, 2.00%, 06/05/2034 | | EUR | 100 | | | | 94 | |
Reg. S, 2.75%, 05/17/2042 | | EUR | 100 | | | | 96 | |
Reg. S, 4.50%, 10/28/2034 | | EUR | 500 | | | | 580 | |
Reg. S, 4.75%, 10/28/2042 | | EUR | 100 | | | | 121 | |
Terna - Rete Elettrica Nazionale, (Italy), | | | | | | | | |
Reg. S, 0.13%, 07/25/2025 | | EUR | 3,900 | | | | 3,926 | |
Reg. S, 0.38%, 09/25/2030 | | EUR | 825 | | | | 703 | |
Reg. S, 0.75%, 07/24/2032 | | EUR | 200 | | | | 167 | |
Reg. S, 1.00%, 04/10/2026 | | EUR | 4,000 | | | | 4,054 | |
Reg. S, 1.00%, 10/11/2028 | | EUR | 1,000 | | | | 943 | |
Reg. S, 1.38%, 07/26/2027 | | EUR | 2,125 | | | | 2,115 | |
Tucson Electric Power Co., | | | | | | | | |
1.50%, 08/01/2030 | | | 30 | | | | 23 | |
3.25%, 05/01/2051 | | | 10 | | | | 7 | |
4.00%, 06/15/2050 | | | 10 | | | | 8 | |
5.50%, 04/15/2053 | | | 30 | | | | 30 | |
Union Electric Co., | | | | | | | | |
2.15%, 03/15/2032 | | | 50 | | | | 40 | |
2.63%, 03/15/2051 | | | 10 | | | | 7 | |
3.25%, 10/01/2049 | | | 40 | | | | 28 | |
3.90%, 04/01/2052 | | | 300 | | | | 244 | |
Vattenfall AB, (Sweden), Reg. S, 3.75%, 10/18/2026 | | EUR | 6,000 | | | | 6,516 | |
Verbund AG, (Austria), Reg. S, 0.90%, 04/01/2041 | | EUR | 100 | | | | 75 | |
Virginia Electric and Power Co., | | | | | | | | |
2.95%, 11/15/2051 | | | 25 | | | | 17 | |
3.30%, 12/01/2049 | | | 50 | | | | 36 | |
Series B, 3.80%, 09/15/2047 | | | 60 | | | | 47 | |
Series C, 4.63%, 05/15/2052 | | | 90 | | | | 79 | |
Vistra Operations Co. LLC, 3.55%, 07/15/2024 (e) | | | 1,400 | | | | 1,352 | |
WEC Energy Group, Inc., | | | | | | | | |
3.55%, 06/15/2025 | | | 47 | | | | 45 | |
5.00%, 09/27/2025 | | | 300 | | | | 297 | |
Wisconsin Electric Power Co., 1.70%, 06/15/2028 | | | 10 | | | | 9 | |
Wisconsin Power and Light Co., 3.00%, 07/01/2029 | | | 50 | | | | 45 | |
Wisconsin Public Service Corp., | | | | | | | | |
2.85%, 12/01/2051 | | | 20 | | | | 13 | |
3.30%, 09/01/2049 | | | 55 | | | | 40 | |
Xcel Energy, Inc., | | | | | | | | |
1.75%, 03/15/2027 | | | 100 | | | | 88 | |
3.40%, 06/01/2030 | | | 20 | | | | 18 | |
3.50%, 12/01/2049 | | | 20 | | | | 14 | |
4.60%, 06/01/2032 | | | 165 | | | | 156 | |
| | | | | | | | |
| | |
| | | | | | | 278,777 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 115 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Gas — 0.5% | |
APA Infrastructure Ltd., (Australia), | | | | | | | | |
Reg. S, 0.75%, 03/15/2029 | | EUR | 4,800 | | | | 4,260 | |
Reg. S, 1.25%, 03/15/2033 | | EUR | 3,900 | | | | 3,145 | |
Reg. S, 2.00%, 03/22/2027 | | EUR | 2,000 | | | | 2,004 | |
Reg. S, 2.00%, 07/15/2030 | | EUR | 1,000 | | | | 928 | |
Reg. S, 3.50%, 03/22/2030 | | GBP | 2,430 | | | | 2,560 | |
Atmos Energy Corp., | | | | | | | | |
1.50%, 01/15/2031 | | | 1,630 | | | | 1,280 | |
2.63%, 09/15/2029 | | | 15 | | | | 13 | |
2.85%, 02/15/2052 | | | 5 | | | | 3 | |
3.38%, 09/15/2049 | | | 210 | | | | 155 | |
4.15%, 01/15/2043 | | | 10 | | | | 9 | |
5.75%, 10/15/2052 | | | 100 | | | | 106 | |
Cadent Finance plc, (United Kingdom), Reg. S, 2.63%, 09/22/2038 | | | GBP 1,725 | | | | 1,407 | |
CenterPoint Energy Resources Corp., 4.40%, 07/01/2032 | | | 30 | | | | 29 | |
Centrica plc, (United Kingdom), Reg. S, 4.25%, 09/12/2044 | | GBP | 3,000 | | | | 2,929 | |
Italgas SpA, (Italy), | | | | | | | | |
Reg. S, 1.00%, 12/11/2031 | | EUR | 1,125 | | | | 953 | |
Reg. S, 1.13%, 03/14/2024 | | EUR | 850 | | | | 908 | |
National Gas Transmission plc, (United Kingdom), Reg. S, 1.38%, 02/07/2031 | | | GBP 1,600 | | | | 1,440 | |
National Grid North America, Inc., | | | | | | | | |
Reg. S, 0.41%, 01/20/2026 | | EUR | 2,500 | | | | 2,485 | |
Reg. S, 1.00%, 07/12/2024 | | EUR | 1,000 | | | | 1,055 | |
Naturgy Capital Markets SA, (Spain), Reg. S, 1.13%, 04/11/2024 | | | EUR 1,000 | | | | 1,067 | |
Nederlandse Gasunie NV, (Netherlands), | | | | | | | | |
Reg. S, 0.75%, 10/13/2036 | | EUR | 100 | | | | 75 | |
Reg. S, 3.38%, 07/11/2034 | | EUR | 100 | | | | 106 | |
NiSource, Inc., | | | | | | | | |
0.95%, 08/15/2025 | | | 3,000 | | | | 2,735 | |
3.49%, 05/15/2027 | | | 130 | | | | 122 | |
3.60%, 05/01/2030 | | | 25 | | | | 23 | |
4.38%, 05/15/2047 | | | 15 | | | | 13 | |
4.80%, 02/15/2044 | | | 10 | | | | 9 | |
5.00%, 06/15/2052 | | | 110 | | | | 101 | |
ONE Gas, Inc., 4.25%, 09/01/2032 | | | 120 | | | | 113 | |
Piedmont Natural Gas Co., Inc., | | | | | | | | |
2.50%, 03/15/2031 | | | 1,550 | | | | 1,265 | |
3.35%, 06/01/2050 | | | 15 | | | | 11 | |
5.05%, 05/15/2052 | | | 610 | | | | 548 | |
Redexis Gas Finance BV, (Netherlands), Reg. S, 1.88%, 05/28/2025 | | | EUR 1,300 | | | | 1,350 | |
Snam SpA, (Italy), | | | | | | | | |
Reg. S, 0.00%, 08/15/2025 | | EUR | 2,000 | | | | 2,003 | |
Reg. S, 0.00%, 12/07/2028 | | EUR | 500 | | | | 441 | |
Reg. S, 0.63%, 06/30/2031 | | EUR | 500 | | | | 417 | |
Reg. S, 0.75%, 06/20/2029 | | EUR | 3,175 | | | | 2,865 | |
Reg. S, 0.75%, 06/17/2030 | | EUR | 1,500 | | | | 1,313 | |
Reg. S, 0.88%, 10/25/2026 | | EUR | 1,650 | | | | 1,632 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Gas — continued | |
Southern California Gas Co., | | | | | | | | |
Series VV, 4.30%, 01/15/2049 | | | 20 | | | | 16 | |
Series WW, 3.95%, 02/15/2050 | | | 200 | | | | 156 | |
Southern Co. Gas Capital Corp., | | | | | | | | |
3.95%, 10/01/2046 | | | 20 | | | | 16 | |
5.15%, 09/15/2032 | | | 100 | | | | 99 | |
Series 20-A, 1.75%, 01/15/2031 | | | 3,700 | | | | 2,906 | |
Series 21A, 3.15%, 09/30/2051 | | | 15 | | | | 10 | |
Southern Gas Networks plc, (United Kingdom), | | | | | | | | |
Reg. S, 2.50%, 02/03/2025 | | GBP | 825 | | | | 985 | |
6.38%, 05/15/2040 | | GBP | 825 | | | | 1,045 | |
Southwest Gas Corp., | | | | | | | | |
4.05%, 03/15/2032 | | | 205 | | | | 184 | |
4.15%, 06/01/2049 | | | 10 | | | | 8 | |
SPP-Distribucia A/S, (Slovakia), Reg. S, 1.00%, 06/09/2031 | | EUR | 100 | | | | 75 | |
Vier Gas Transport GmbH, (Germany), Reg. S, 0.50%, 09/10/2034 | | | EUR 1,200 | | | | 888 | |
Wales & West Utilities Finance plc, (United Kingdom), Reg. S, 1.88%, 05/28/2041 | | GBP | 825 | | | | 601 | |
Washington Gas Light Co., 3.65%, 09/15/2049 | | | 10 | | | | 7 | |
| | | | | | | | |
| | |
| | | | | | | 48,874 | |
| | | | | | | | |
Water — 0.2% | |
Affinity Water Finance 2004 plc, (United Kingdom), 5.88%, 07/13/2026 | | GBP | 30 | | | | 38 | |
American Water Capital Corp., | | | | | | | | |
4.15%, 06/01/2049 | | | 60 | | | | 50 | |
4.45%, 06/01/2032 | | | 330 | | | | 320 | |
Essential Utilities, Inc., | | | | | | | | |
2.40%, 05/01/2031 | | | 100 | | | | 81 | |
2.70%, 04/15/2030 | | | 40 | | | | 34 | |
5.30%, 05/01/2052 | | | 10 | | | | 9 | |
Northumbrian Water Finance plc, (United Kingdom), | | | | | | | | |
Reg. S, 1.63%, 10/11/2026 | | GBP | 825 | | | | 894 | |
Reg. S, 5.13%, 01/23/2042 | | GBP | 1,000 | | | | 1,130 | |
Reg. S, 5.63%, 04/29/2033 | | GBP | 425 | | | | 516 | |
Thames Water Utilities Finance plc, (United Kingdom), | | | | | | | | |
Reg. S, 2.38%, 04/22/2040 | | GBP | 300 | | | | 217 | |
Reg. S, 5.50%, 02/11/2041 | | GBP | 1,050 | | | | 1,137 | |
6.75%, 11/16/2028 | | GBP | 380 | | | | 460 | |
United Utilities Water Finance plc, (United Kingdom), Reg. S, 2.00%, 07/03/2033 | | GBP | 900 | | | | 812 | |
Veolia Environnement SA, (France), Reg. S, (ICE EURIBOR Swap Rate 5 Year + 2.15%), 1.63%, 06/01/2026 (x) (aa) | | | EUR 8,000 | | | | 7,605 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 116 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Corporate Bonds — continued | | | | | | | | |
Water — continued | |
Wessex Water Services Finance plc, (United Kingdom), | | | | | | | | |
Reg. S, 1.50%, 09/17/2029 | | GBP | 2,700 | | | | 2,559 | |
Reg. S, 5.38%, 03/10/2028 | | GBP | 2,425 | | | | 2,918 | |
| | | | | | | | |
| | |
| | | | | | | 18,780 | |
| | | | | | | | |
Total Utilities | | | | | | | 346,431 | |
| | | | | | | | |
Total Corporate Bonds
(Cost $4,202,098) | | | | | | | 4,083,308 | |
| | | | | | | | |
Foreign Government Securities — 31.7% | | | | | | | | |
Action Logement Services, (France), | | | | | | | | |
Reg. S, 0.38%, 10/05/2031 | | EUR | 400 | | | | 347 | |
Reg. S, 3.13%, 09/28/2037 | | EUR | 200 | | | | 206 | |
Reg. S, 3.63%, 05/25/2043 | | EUR | 100 | | | | 107 | |
Adif Alta Velocidad, (Spain), | | | | | | | | |
Reg. S, 0.55%, 04/30/2030 | | EUR | 100 | | | | 88 | |
Reg. S, 0.95%, 04/30/2027 | | EUR | 200 | | | | 198 | |
Reg. S, 1.88%, 01/28/2025 | | EUR | 100 | | | | 106 | |
Reg. S, 3.50%, 07/30/2029 | | EUR | 200 | | | | 215 | |
Agence Francaise de Developpement EPIC, (France), | | | | | | | | |
Reg. S, 0.13%, 09/29/2031 | | EUR | 300 | | | | 253 | |
Reg. S, 0.25%, 07/21/2026 | | EUR | 500 | | | | 495 | |
Reg. S, 0.25%, 06/29/2029 | | EUR | 400 | | | | 365 | |
Reg. S, 0.38%, 05/25/2036 | | EUR | 100 | | | | 74 | |
Reg. S, 0.50%, 05/25/2030 | | EUR | 200 | | | | 181 | |
Reg. S, 0.50%, 05/31/2035 | | EUR | 500 | | | | 393 | |
Reg. S, 1.50%, 10/31/2034 | | EUR | 900 | | | | 818 | |
Reg. S, 1.63%, 05/25/2032 | | EUR | 200 | | | | 191 | |
Reg. S, 3.38%, 05/25/2033 | | EUR | 500 | | | | 548 | |
Reg. S, 3.50%, 02/25/2033 | | EUR | 100 | | | | 111 | |
Agence France Locale, (France), | | | | | | | | |
Reg. S, 0.00%, 09/20/2027 | | EUR | 500 | | | | 473 | |
Reg. S, 0.00%, 03/20/2031 | | EUR | 100 | | | | 85 | |
Reg. S, 0.13%, 06/20/2026 | | EUR | 400 | | | | 395 | |
Reg. S, 0.20%, 03/20/2029 | | EUR | 400 | | | | 366 | |
Reg. S, 1.13%, 06/20/2028 | | EUR | 1,000 | | | | 980 | |
Agricultural Development Bank of China, (China), | | | | | | | | |
2.91%, 02/21/2029 | | CNY | 18,000 | | | | 2,496 | |
Reg. S, 3.40%, 11/06/2024 | | CNH | 56,000 | | | | 7,786 | |
Reg. S, 3.80%, 10/27/2030 | | CNH | 14,350 | | | | 2,078 | |
Series 1605, 3.33%, 01/06/2026 | | CNY | 12,000 | | | | 1,686 | |
Series 1618, 3.58%, 04/22/2026 | | CNY | 29,000 | | | | 4,111 | |
Series 1705, 3.85%, 01/06/2027 | | CNY | 26,500 | | | | 3,802 | |
Series 1806, 4.65%, 05/11/2028 | | CNY | 8,100 | | | | 1,215 | |
Series 1901, 3.75%, 01/25/2029 | | CNY | 44,300 | | | | 6,410 | |
Series 1906, 3.74%, 07/12/2029 | | CNY | 65,500 | | | | 9,510 | |
Series 1908, 3.63%, 07/19/2026 | | CNY | 172,000 | | | | 24,484 | |
Series 1909, 3.24%, 08/14/2024 | | CNY | 28,000 | | | | 3,897 | |
Series 2004, 2.96%, 04/17/2030 | | CNY | 99,400 | | | | 13,821 | |
Series 2005, 2.25%, 04/22/2025 | | CNY | 128,800 | | | | 17,695 | |
Series 2008, 3.45%, 09/23/2025 | | CNY | 17,000 | | | | 2,393 | |
Series 2105, 3.52%, 05/24/2031 | | CNY | 17,000 | | | | 2,447 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Series 2108, 2.99%, 08/11/2026 | | CNY | 66,000 | | | | 9,223 | |
Series 2110, 3.30%, 11/05/2031 | | CNY | 44,000 | | | | 6,243 | |
Series 2202, 2.74%, 02/23/2027 | | CNY | 29,900 | | | | 4,141 | |
Series 2203, 2.61%, 03/09/2025 | | CNY | 5,000 | | | | 691 | |
Series 2205, 3.06%, 06/06/2032 | | CNY | 54,700 | | | | 7,610 | |
Series 2207, 2.50%, 08/24/2027 | | CNY | 50,000 | | | | 6,849 | |
Series 2210, 2.97%, 10/14/2032 | | CNY | 56,500 | | | | 7,804 | |
Series 2302, 2.58%, 03/23/2025 | | CNY | 8,000 | | | | 1,105 | |
Series 2302, 3.10%, 02/27/2033 | | CNY | 24,000 | | | | 3,352 | |
Andorra International Bond, (Andorra), | | | | | | | | |
Reg. S, 1.25%, 02/23/2027 | | EUR | 800 | | | | 785 | |
Reg. S, 1.25%, 05/06/2031 | | EUR | 1,000 | | | | 880 | |
Auckland Council, (New Zealand), | | | | | | | | |
Reg. S, 0.13%, 09/26/2029 | | EUR | 200 | | | | 179 | |
Reg. S, 0.25%, 11/17/2031 | | EUR | 200 | | | | 169 | |
Reg. S, 1.00%, 01/19/2027 | | EUR | 300 | | | | 299 | |
Reg. S, 1.50%, 11/28/2025 | | CHF | 300 | | | | 332 | |
Australia Government Bond, (Australia), | | | | | | | | |
Series 138, Reg. S, 3.25%, 04/21/2029 | | AUD | 200 | | | | 128 | |
Series 139, Reg. S, 3.25%, 04/21/2025 | | AUD | 1,475 | | | | 966 | |
Series 149, Reg. S, 2.25%, 05/21/2028 | | AUD | 1,340 | | | | 825 | |
Series 150, Reg. S, 3.00%, 03/21/2047 | | AUD | 46 | | | | 25 | |
Series 152, Reg. S, 2.75%, 11/21/2028 | | AUD | 388 | | | | 243 | |
Series 154, Reg. S, 2.75%, 11/21/2029 | | AUD | 105 | | | | 65 | |
Series 155, Reg. S, 2.50%, 05/21/2030 | | AUD | 3,435 | | | | 2,084 | |
Series 156, Reg. S, 2.75%, 05/21/2041 | | AUD | 450 | | | | 242 | |
Series 158, 1.25%, 05/21/2032 | | AUD | 290 | | | | 153 | |
Series 159, Reg. S, 0.25%, 11/21/2024 | | AUD | 192 | | | | 121 | |
Series 160, Reg. S, 1.00%, 12/21/2030 | | AUD | 240 | | | | 129 | |
Series 161, Reg. S, 0.25%, 11/21/2025 | | AUD | 680 | | | | 414 | |
Series 162, Reg. S, 1.75%, 06/21/2051 | | AUD | 360 | | | | 139 | |
Series 165, Reg. S, 1.75%, 11/21/2032 | | AUD | 220 | | | | 121 | |
Series 166, Reg. S, 3.00%, 11/21/2033 | | AUD | 190 | | | | 116 | |
Series 167, Reg. S, 3.75%, 05/21/2034 | | AUD | 40 | | | | 26 | |
Series 168, Reg. S, 3.50%, 12/21/2034 | | AUD | 60 | | | | 38 | |
Autobahnen- und Schnell- strassen-Finanzierungs AG, (Austria), | | | | | | | | |
Reg. S, 0.10%, 07/09/2029 | | EUR | 500 | | | | 457 | |
Reg. S, 2.75%, 06/11/2032 | | EUR | 100 | | | | 106 | |
Reg. S, 2.75%, 06/20/2033 | | EUR | 130 | | | | 138 | |
Autonomous Community of Andalusia Spain, (Spain), | | | | | | | | |
Reg. S, 0.50%, 04/30/2031 | | EUR | 363 | | | | 313 | |
Reg. S, 1.38%, 04/30/2029 | | EUR | 30 | | | | 29 | |
Autonomous Community of Catalonia, (Spain), 4.22%, 04/26/2035 | | EUR | 100 | | | | 108 | |
Autonomous Community of Madrid Spain, (Spain), | | | | | | | | |
Reg. S, 0.42%, 04/30/2030 | | EUR | 161 | | | | 143 | |
Reg. S, 1.57%, 04/30/2029 | | EUR | 200 | | | | 197 | |
Reg. S, 1.72%, 04/30/2032 | | EUR | 110 | | | | 103 | |
Reg. S, 1.77%, 04/30/2028 | | EUR | 200 | | | | 201 | |
Reg. S, 1.83%, 04/30/2025 | | EUR | 270 | | | | 285 | |
Reg. S, 2.82%, 10/31/2029 | | EUR | 100 | | | | 105 | |
Reg. S, 3.60%, 04/30/2033 | | EUR | 200 | | | | 218 | |
4.30%, 09/15/2026 | | EUR | 500 | | | | 556 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 117 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Foreign Government Securities — continued | | | | | |
Basque Government, (Spain), | | | | | | | | |
Reg. S, 0.25%, 04/30/2031 | | EUR | 100 | | | | 85 | |
Reg. S, 0.45%, 04/30/2032 | | EUR | 200 | | | | 168 | |
Reg. S, 0.85%, 04/30/2030 | | EUR | 50 | | | | 46 | |
Reg. S, 1.75%, 03/16/2026 | | EUR | 170 | | | | 177 | |
Reg. S, 3.50%, 04/30/2033 | | EUR | 100 | | | | 109 | |
Bermuda Government International Bond, (Bermuda), 2.38%, 08/20/2030 (e) | | | 670 | | | | 559 | |
BNG Bank NV, (Netherlands), | | | | | | | | |
Reg. S, 0.00%, 01/20/2031 | | EUR | 200 | | | | 173 | |
Reg. S, 0.10%, 01/15/2030 | | EUR | 320 | | | | 286 | |
Reg. S, 0.13%, 04/11/2026 | | EUR | 530 | | | | 527 | |
Reg. S, 0.13%, 04/19/2033 | | EUR | 700 | | | | 574 | |
Reg. S, 0.13%, 07/09/2035 | | EUR | 230 | | | | 176 | |
Reg. S, 0.20%, 11/09/2024 | | EUR | 550 | | | | 572 | |
Reg. S, 0.38%, 12/15/2025 | | GBP | 1,900 | | | | 2,106 | |
Reg. S, 0.81%, 06/28/2049 | | EUR | 200 | | | | 123 | |
Reg. S, 0.88%, 10/17/2035 | | EUR | 100 | | | | 84 | |
Reg. S, 0.88%, 10/24/2036 | | EUR | 160 | | | | 132 | |
Reg. S, 1.13%, 09/04/2024 | | EUR | 702 | | | | 744 | |
Reg. S, 1.25%, 03/30/2037 | | EUR | 100 | | | | 85 | |
Reg. S, 1.50%, 03/29/2038 | | EUR | 190 | | | | 165 | |
Reg. S, 1.50%, 07/15/2039 | | EUR | 170 | | | | 145 | |
Reg. S, 1.88%, 07/13/2032 | | EUR | 320 | | | | 316 | |
Reg. S, 2.75%, 10/04/2027 | | EUR | 410 | | | | 439 | |
Reg. S, 3.00%, 02/23/2028 | | EUR | 600 | | | | 648 | |
Reg. S, 3.00%, 01/11/2033 | | EUR | 500 | | | | 540 | |
Bonos de la Tesoreria de la Republica en pesos, (Chile), Reg. S, 4.70%, 09/01/2030 (e) | | CLP | 300,000 | | | | 368 | |
Bpifrance, (France), | | | | | | | | |
Reg. S, 0.13%, 03/25/2025 | | EUR | 400 | | | | 411 | |
Reg. S, 0.25%, 03/29/2030 | | EUR | 200 | | | | 179 | |
Reg. S, 0.25%, 06/04/2031 | | EUR | 200 | | | | 174 | |
Reg. S, 0.63%, 05/25/2026 | | EUR | 500 | | | | 504 | |
Reg. S, 0.88%, 09/26/2028 | | EUR | 200 | | | | 193 | |
Reg. S, 2.13%, 11/29/2027 | | EUR | 200 | | | | 208 | |
Reg. S, 2.88%, 11/25/2029 | | EUR | 500 | | | | 534 | |
Reg. S, 3.38%, 11/25/2032 | | EUR | 200 | | | | 221 | |
Bulgaria Government International Bond, (Bulgaria), | | | | | | | | |
Reg. S, 1.38%, 09/23/2050 | | EUR | 1,300 | | | | 773 | |
Reg. S, 2.95%, 09/03/2024 | | EUR | 800 | | | | 864 | |
Reg. S, 4.13%, 09/23/2029 | | EUR | 1,000 | | | | 1,079 | |
Reg. S, 4.50%, 01/27/2033 | | EUR | 6,000 | | | | 6,474 | |
Reg. S, 4.63%, 09/23/2034 | | EUR | 1,000 | | | | 1,083 | |
Series 12YR, Reg. S, 3.00%, 03/21/2028 | | EUR | 800 | | | | 845 | |
Bundesobligation, (Germany), | | | | | | | | |
Series 180, Reg. S, 0.00%, 10/18/2024 | | EUR | 2,006 | | | | 2,097 | |
Series 181, Reg. S, 0.00%, 04/11/2025 | | EUR | 3,890 | | | | 4,014 | |
Series 182, Reg. S, 0.00%, 10/10/2025 | | EUR | 2,300 | | | | 2,342 | |
Series 183, Reg. S, 0.00%, 04/10/2026 | | EUR | 7,056 | | | | 7,108 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | | | | |
Series 184, Reg. S, 0.00%, 10/09/2026 | | EUR | 500 | | | | 498 | |
Series 185, Reg. S, 0.00%, 04/16/2027 | | EUR | 2,083 | | | | 2,054 | |
Series 186, Reg. S, 1.30%, 10/15/2027 | | EUR | 250 | | | | 258 | |
Series 187, Reg. S, 2.20%, 04/13/2028 | | EUR | 3,120 | | | | 3,345 | |
Bundesrepublik Deutschland Bundesanleihe, (Germany), | | | | | | | | |
Reg. S, 0.00%, 08/15/2026 | | EUR | 1,370 | | | | 1,371 | |
Reg. S, 0.00%, 11/15/2027 | | EUR | 7,381 | | | | 7,196 | |
Reg. S, 0.00%, 11/15/2028 | | EUR | 735 | | | | 702 | |
Reg. S, 0.00%, 08/15/2029 | | EUR | 2,432 | | | | 2,289 | |
Reg. S, 0.00%, 02/15/2030 | | EUR | 8,543 | | | | 7,956 | |
Reg. S, 0.00%, 08/15/2030 | | EUR | 2,640 | | | | 2,434 | |
Reg. S, 0.00%, 02/15/2031 | | EUR | 1,589 | | �� | | 1,449 | |
Reg. S, 0.00%, 08/15/2031 | | EUR | 2,260 | | | | 2,040 | |
Reg. S, 0.00%, 02/15/2032 | | EUR | 4,819 | | | | 4,302 | |
Reg. S, 0.00%, 05/15/2035 | | EUR | 2,559 | | | | 2,098 | |
Reg. S, 0.00%, 05/15/2036 | | EUR | 2,870 | | | | 2,290 | |
Reg. S, 0.00%, 08/15/2050 | | EUR | 3,101 | | | | 1,815 | |
Reg. S, 0.00%, 08/15/2052 | | EUR | 2,515 | | | | 1,404 | |
Reg. S, 0.25%, 02/15/2027 | | EUR | 3,310 | | | | 3,308 | |
Reg. S, 0.25%, 08/15/2028 | | EUR | 2,892 | | | | 2,815 | |
Reg. S, 0.25%, 02/15/2029 | | EUR | 1,270 | | | | 1,225 | |
Reg. S, 0.50%, 02/15/2025 | | EUR | 7,959 | | | | 8,314 | |
Reg. S, 0.50%, 02/15/2026 | | EUR | 2,447 | | | | 2,507 | |
Reg. S, 0.50%, 08/15/2027 | | EUR | 2,810 | | | | 2,814 | |
Reg. S, 0.50%, 02/15/2028 | | EUR | 5,790 | | | | 5,755 | |
Reg. S, 1.00%, 08/15/2024 | | EUR | 1,509 | | | | 1,604 | |
Reg. S, 1.00%, 08/15/2025 | | EUR | 4,411 | | | | 4,607 | |
Reg. S, 1.00%, 05/15/2038 | | EUR | 3,610 | | | | 3,212 | |
Reg. S, 1.25%, 08/15/2048 | | EUR | 4,578 | | | | 3,963 | |
Reg. S, 1.70%, 08/15/2032 | | EUR | 2,310 | | | | 2,384 | |
Reg. S, 1.80%, 08/15/2053 | | EUR | 2,310 | | | | 2,202 | |
Reg. S, 2.10%, 11/15/2029 | | EUR | 180 | | | | 192 | |
Reg. S, 2.30%, 02/15/2033 | | EUR | 7,360 | | | | 7,964 | |
Reg. S, 2.50%, 07/04/2044 | | EUR | 1,881 | | | | 2,069 | |
Reg. S, 2.50%, 08/15/2046 | | EUR | 3,996 | | | | 4,439 | |
Reg. S, 3.25%, 07/04/2042 | | EUR | 3,176 | | | | 3,857 | |
Reg. S, 4.00%, 01/04/2037 | | EUR | 1,493 | | | | 1,911 | |
Reg. S, 4.25%, 07/04/2039 | | EUR | 2,184 | | | | 2,925 | |
Reg. S, 4.75%, 07/04/2034 | | EUR | 1,771 | | | | 2,362 | |
Reg. S, 4.75%, 07/04/2040 | | EUR | 2,014 | | | | 2,874 | |
Reg. S, 5.50%, 01/04/2031 | | EUR | 900 | | | | 1,186 | |
Reg. S, 5.63%, 01/04/2028 | | EUR | 780 | | | | 959 | |
Reg. S, 6.25%, 01/04/2030 | | EUR | 1,025 | | | | 1,371 | |
Reg. S, 6.50%, 07/04/2027 | | EUR | 1,410 | | | | 1,757 | |
Series G, Reg. S, 0.00%, 08/15/2030 | | EUR | 1,320 | | | | 1,218 | |
Series G, Reg. S, 0.00%, 08/15/2031 | | EUR | 560 | | | | 506 | |
Series G, Reg. S, 0.00%, 08/15/2050 | | EUR | 852 | | | | 501 | |
Series G, Reg. S, 1.80%, 08/15/2053 | | EUR | 800 | | | | 763 | |
Series G, Reg. S, 2.30%, 02/15/2033 | | EUR | 1,380 | | | | 1,494 | |
Bundesschatzanweisungen, (Germany), | | | | | | | | |
Reg. S, 0.20%, 06/14/2024 | | EUR | 930 | | | | 984 | |
Reg. S, 0.40%, 09/13/2024 | | EUR | 3,830 | | | | 4,035 | |
Reg. S, 2.20%, 12/12/2024 | | EUR | 2,340 | | | | 2,513 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 118 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Foreign Government Securities — continued | | | | | |
Caisse d’Amortissement de la Dette Sociale, (France), | | | | | | | | |
Reg. S, 0.00%, 02/25/2028 | | EUR | 200 | | | | 188 | |
Reg. S, 0.00%, 11/25/2030 | | EUR | 900 | | | | 782 | |
Reg. S, 0.00%, 05/25/2031 | | EUR | 400 | | | | 343 | |
Reg. S, 0.13%, 09/15/2031 | | EUR | 300 | | | | 258 | |
Reg. S, 0.45%, 01/19/2032 | | EUR | 400 | | | | 351 | |
Reg. S, 0.60%, 11/25/2029 | | EUR | 600 | | | | 559 | |
Reg. S, 1.50%, 05/25/2032 | | EUR | 400 | | �� | | 383 | |
Reg. S, 1.75%, 11/25/2027 | | EUR | 700 | | | | 718 | |
Reg. S, 2.75%, 11/25/2032 | | EUR | 400 | | | | 424 | |
Reg. S, 2.88%, 05/25/2027 | | EUR | 700 | | | | 752 | |
Reg. S, 3.00%, 05/25/2028 | | EUR | 800 | | | | 865 | |
Reg. S, 3.13%, 03/01/2030 | | EUR | 1,000 | | | | 1,091 | |
Reg. S, 4.00%, 12/15/2025 | | EUR | 1,383 | | | | 1,526 | |
Caisse des Depots et Consignations, (France), | | | | | | | | |
Reg. S, 3.00%, 05/25/2028 | | EUR | 500 | | | | 542 | |
Reg. S, 3.13%, 05/25/2033 | | EUR | 200 | | | | 218 | |
Caisse Francaise de Financement Local, (France), | | | | | | | | |
Reg. S, 0.01%, 05/07/2025 | | EUR | 100 | | | | 102 | |
Reg. S, 0.13%, 06/30/2031 | | EUR | 100 | | | | 85 | |
Reg. S, 0.38%, 06/23/2025 | | EUR | 100 | | | | 102 | |
Reg. S, 0.50%, 01/16/2025 | | EUR | 100 | | | | 104 | |
Reg. S, 0.50%, 01/19/2026 | | EUR | 100 | | | | 100 | |
Reg. S, 0.50%, 10/01/2046 | | EUR | 100 | | | | 61 | |
Reg. S, 1.00%, 04/25/2028 | | EUR | 100 | | | | 97 | |
Reg. S, 1.25%, 05/11/2032 | | EUR | 100 | | | | 92 | |
Reg. S, 1.50%, 06/28/2038 | | EUR | 100 | | | | 85 | |
Reg. S, 3.00%, 10/02/2028 | | EUR | 5,000 | | | | 5,339 | |
Canadian Government Bond, (Canada), | | | | | | | | |
1.00%, 06/01/2027 | | CAD | 200 | | | | 136 | |
1.25%, 03/01/2025 | | CAD | 1,115 | | | | 797 | |
1.50%, 06/01/2031 | | CAD | 600 | | | | 395 | |
1.75%, 12/01/2053 | | CAD | 400 | | | | 223 | |
2.00%, 09/01/2023 | | CAD | 1,900 | | | | 1,428 | |
2.00%, 06/01/2032 | | CAD | 600 | | | | 407 | |
2.00%, 12/01/2051 | | CAD | 530 | | | | 317 | |
3.50%, 03/01/2028 | | CAD | 500 | | | | 374 | |
3.50%, 12/01/2045 | | CAD | 2,090 | | | | 1,658 | |
4.00%, 06/01/2041 | | CAD | 150 | | | | 125 | |
Canton of Geneva Switzerland, (Switzerland), Reg. S, 0.02%, 11/27/2024 | | CHF | 240 | | | | 261 | |
Canton of Zurich, (Switzerland), Reg. S, 0.10%, 06/23/2045 | | CHF | 50 | | | | 42 | |
Cassa Depositi e Prestiti SpA, (Italy), | | | | | | | | |
Reg. S, 1.00%, 09/21/2028 | | EUR | 300 | | | | 280 | |
Reg. S, 2.00%, 04/20/2027 | | EUR | 100 | | | | 101 | |
Reg. S, 3.88%, 02/13/2029 | | EUR | 200 | | | | 215 | |
CDP Financial, Inc., (Canada), | | | | | | | | |
Reg. S, 1.13%, 04/06/2027 | | EUR | 6,000 | | | | 5,974 | |
5.60%, 11/25/2039 (e) | | | 250 | | | | 268 | |
Reg. S, 5.60%, 11/25/2039 | | | 250 | | | | 269 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | |
Chile Government International Bond, (Chile), | | | | | | | | |
0.10%, 01/26/2027 | | EUR | 5,000 | | | | 4,753 | |
0.83%, 07/02/2031 | | EUR | 1,050 | | | | 899 | |
1.25%, 01/22/2051 | | EUR | 6,900 | | | | 3,919 | |
1.30%, 07/26/2036 | | EUR | 1,000 | | | | 788 | |
Reg. S, 1.63%, 01/30/2025 | | EUR | 4,000 | | | | 4,212 | |
2.55%, 01/27/2032 | | | 200 | | | | 171 | |
3.50%, 01/31/2034 | | | 200 | | | | 176 | |
China Development Bank, (China), | | | | | | | | |
Reg. S, 2.95%, 07/19/2027 | | CNH | 15,000 | | | | 2,069 | |
Reg. S, 3.23%, 11/27/2025 | | CNH | 10,000 | | | | 1,392 | |
Reg. S, 4.20%, 01/19/2027 | | CNH | 13,000 | | | | 1,873 | |
Reg. S, 4.30%, 08/02/2032 | | CNH | 7,000 | | | | 1,055 | |
Reg. S, 4.35%, 08/06/2024 | | CNH | 7,000 | | | | 980 | |
Reg. S, 4.35%, 09/19/2024 | | CNH | 1,000 | | | | 140 | |
Reg. S, 4.50%, 11/13/2028 | | CNH | 2,500 | | | | 371 | |
Series 1510, 4.21%, 04/13/2025 | | CNY | 73,000 | | | | 10,369 | |
Series 1518, 3.74%, 09/10/2025 | | CNY | 62,700 | | | | 8,874 | |
Series 1605, 3.80%, 01/25/2036 | | CNY | 98,000 | | | | 14,592 | |
Series 1613, 3.05%, 08/25/2026 | | CNY | 9,700 | | | | 1,357 | |
Series 1710, 4.04%, 04/10/2027 | | CNY | 114,900 | | | | 16,634 | |
Series 1806, 4.73%, 04/02/2025 | | CNY | 10,230 | | | | 1,465 | |
Series 1904, 3.68%, 02/26/2026 | | CNY | 46,500 | | | | 6,601 | |
Series 1905, 3.48%, 01/08/2029 | | CNY | 204,500 | | | | 29,207 | |
Series 1908, 3.42%, 07/02/2024 | | CNY | 35,000 | | | | 4,876 | |
Series 1909, 3.50%, 08/13/2026 | | CNY | 104,100 | | | | 14,766 | |
Series 1910, 3.65%, 05/21/2029 | | CNY | 181,900 | | | | 26,242 | |
Series 1915, 3.45%, 09/20/2029 | | CNY | 105,000 | | | | 15,006 | |
Series 2003, 3.23%, 01/10/2025 | | CNY | 164,300 | | | | 22,926 | |
Series 2004, 3.43%, 01/14/2027 | | CNY | 35,000 | | | | 4,960 | |
Series 2005, 3.07%, 03/10/2030 | | CNY | 47,200 | | | | 6,607 | |
Series 2008, 2.89%, 06/22/2025 | | CNY | 20,000 | | | | 2,781 | |
Series 2015, 3.70%, 10/20/2030 | | CNY | 18,000 | | | | 2,618 | |
Series 2104, 3.40%, 01/08/2028 | | CNY | 4,000 | | | | 568 | |
Series 2105, 3.66%, 03/01/2031 | | CNY | 83,500 | | | | 12,135 | |
Series 2110, 3.41%, 06/07/2031 | | CNY | 46,200 | | | | 6,606 | |
Series 2115, 3.12%, 09/13/2031 | | CNY | 22,500 | | | | 3,149 | |
Series 2118, 2.73%, 11/11/2024 | | CNY | 6,000 | | | | 831 | |
Series 2204, 2.99%, 03/01/2029 | | CNY | 4,000 | | | | 557 | |
Series 2205, 3.00%, 01/17/2032 | | CNY | 151,500 | | | | 20,996 | |
Series 2210, 2.98%, 04/22/2032 | | CNY | 32,200 | | | | 4,455 | |
Series 2220, 2.77%, 10/24/2032 | | CNY | 64,000 | | | | 8,708 | |
China Government Bond, (China), | | | | | | | | |
1.99%, 04/09/2025 | | CNY | 443,700 | | | | 60,845 | |
2.24%, 05/25/2025 | | CNY | 25,000 | | | | 3,442 | |
2.26%, 02/24/2025 | | CNY | 73,000 | | | | 10,058 | |
2.37%, 01/20/2027 | | CNY | 250,000 | | | | 34,375 | |
2.48%, 04/15/2027 | | CNY | 134,300 | | | | 18,525 | |
2.60%, 09/01/2032 | | CNY | 63,800 | | | | 8,682 | |
2.68%, 05/21/2030 | | CNY | 489,700 | | | | 67,315 | |
2.69%, 08/12/2026 | | CNY | 190,500 | | | | 26,498 | |
2.75%, 06/15/2029 | | CNY | 112,500 | | | | 15,588 | |
2.75%, 02/17/2032 | | CNY | 110,600 | | | | 15,238 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 119 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Foreign Government Securities — continued | | | | | |
2.79%, 12/15/2029 | | CNY | 5,400 | | | | 748 | |
2.80%, 03/24/2029 | | CNY | 158,000 | | | | 22,000 | |
2.80%, 11/15/2032 | | CNY | 64,600 | | | | 8,945 | |
Reg. S, 2.82%, 08/12/2032 | | CNY | 10,000 | | | | 1,379 | |
2.85%, 06/04/2027 | | CNY | 363,000 | | | | 50,761 | |
2.89%, 11/18/2031 | | CNY | 79,000 | | | | 11,005 | |
3.02%, 05/27/2031 | | CNY | 32,500 | | | | 4,581 | |
3.19%, 04/15/2053 | | CNY | 5,000 | | | | 710 | |
3.27%, 03/25/2073 | | CNY | 50,870 | | | | 7,186 | |
Reg. S, 3.30%, 07/04/2023 | | CNH | 2,000 | | | | 275 | |
Reg. S, 3.31%, 11/30/2025 | | CNH | 2,000 | | | | 281 | |
3.32%, 04/15/2052 | | CNY | 18,500 | | | | 2,652 | |
Reg. S, 3.38%, 11/21/2024 | | CNH | 3,000 | | | | 419 | |
Reg. S, 3.38%, 07/04/2026 | | CNH | 24,000 | | | | 3,390 | |
3.39%, 03/16/2050 | | CNY | 199,840 | | | | 28,885 | |
3.40%, 07/15/2072 | | CNY | 57,510 | | | | 8,386 | |
3.53%, 10/18/2051 | | CNY | 111,400 | | | | 16,551 | |
Reg. S, 3.60%, 06/27/2028 | | CNH | 26,500 | | | | 3,797 | |
Reg. S, 3.60%, 05/21/2030 | | CNH | 8,500 | | | | 1,227 | |
3.72%, 04/12/2051 | | CNY | 106,000 | | | | 16,256 | |
3.73%, 05/25/2070 | | CNY | 20,670 | | | | 3,237 | |
3.81%, 09/14/2050 | | CNY | 89,100 | | | | 13,840 | |
Reg. S, 3.85%, 12/12/2026 | | CNH | 19,000 | | | | 2,725 | |
Reg. S, 3.90%, 07/04/2036 | | CNH | 13,500 | | | | 1,995 | |
Reg. S, 4.00%, 05/22/2024 | | CNH | 8,500 | | | | 1,187 | |
Reg. S, 4.00%, 11/30/2035 | | CNH | 30,500 | | | | 4,585 | |
Reg. S, 4.15%, 12/04/2027 | | CNH | 20,000 | | | | 2,922 | |
Reg. S, 4.15%, 12/12/2031 | | CNH | 3,000 | | | | 454 | |
Reg. S, 4.29%, 05/22/2029 | | CNH | 3,000 | | | | 447 | |
Reg. S, 4.40%, 12/12/2046 | | CNH | 26,000 | | | | 4,139 | |
Series 1908, 4.00%, 06/24/2069 | | CNY | 5,000 | | | | 827 | |
Series 2216, 2.50%, 07/25/2027 | | CNY | 11,000 | | | | 1,517 | |
China Government International Bond, (China), | | | | | | | | |
Reg. S, 0.13%, 11/12/2026 | | EUR | 3,700 | | | | 3,585 | |
Reg. S, 0.50%, 11/12/2031 | | EUR | 3,250 | | | | 2,802 | |
City of Milan Italy, (Italy), 4.02%, 06/29/2035 | | EUR | 40 | | | | 41 | |
City of Montreal Canada, (Canada), 2.30%, 09/01/2029 | | CAD | 600 | | | | 408 | |
City of Quebec Canada, (Canada), | | | | | | | | |
2.10%, 07/06/2031 | | CAD | 300 | | | | 193 | |
2.65%, 12/20/2027 | | CAD | 565 | | | | 396 | |
City of Toronto Canada, (Canada), | | | | | | | | |
2.95%, 04/28/2035 | | CAD | 200 | | | | 133 | |
3.50%, 06/02/2036 | | CAD | 300 | | | | 208 | |
Colombia Government International Bond, (Colombia), 9.85%, 06/28/2027 | | | COP 500,000 | | | | 115 | |
Communaute Francaise de Belgique, (Belgium), Reg. S, 1.63%, 05/03/2032 | | EUR | 200 | | | | 190 | |
CPPIB Capital, Inc., (Canada), | | | | | | | | |
Reg. S, 0.25%, 04/06/2027 | | EUR | 2,550 | | | | 2,463 | |
Reg. S, 0.25%, 01/18/2041 | | EUR | 2,500 | | | | 1,584 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | |
Reg. S, 0.38%, 06/20/2024 | | EUR | 300 | | | | 317 | |
Reg. S, 0.75%, 07/15/2049 | | EUR | 600 | | | | 368 | |
Reg. S, 1.63%, 10/22/2071 | | GBP | 2,000 | | | | 1,045 | |
Croatia Government International Bond, (Croatia), | | | | | | | | |
Reg. S, 1.50%, 06/17/2031 | | EUR | 770 | | | | 716 | |
Reg. S, 1.75%, 03/04/2041 | | EUR | 500 | | | | 383 | |
Reg. S, 3.00%, 03/20/2027 | | EUR | 300 | | | | 323 | |
Cyprus Government International Bond, (Cyprus), | | | | | | | | |
Reg. S, 0.63%, 12/03/2024 | | EUR | 347 | | | | 361 | |
Reg. S, 0.63%, 01/21/2030 | | EUR | 235 | | | | 213 | |
Reg. S, 0.95%, 01/20/2032 | | EUR | 300 | | | | 262 | |
Reg. S, 1.25%, 01/21/2040 | | EUR | 720 | | | | 520 | |
Reg. S, 2.25%, 04/16/2050 | | EUR | 10 | | | | 8 | |
Reg. S, 4.13%, 04/13/2033 | | EUR | 360 | | | | 403 | |
Czech Republic Government Bond, (Czech Republic), | | | | | | | | |
Series 49, Reg. S, 4.20%, 12/04/2036 | | CZK | 5,390 | | | | 242 | |
Series 53, Reg. S, 4.85%, 11/26/2057 | | CZK | 2,340 | | | | 109 | |
Series 58, Reg. S, 5.70%, 05/25/2024 | | CZK | 140 | | | | 6 | |
Series 78, Reg. S, 2.50%, 08/25/2028 | | CZK | 16,760 | | | | 695 | |
Series 89, Reg. S, 2.40%, 09/17/2025 | | CZK | 16,910 | | | | 729 | |
Series 94, Reg. S, 0.95%, 05/15/2030 | | CZK | 17,380 | | | | 635 | |
Series 95, Reg. S, 1.00%, 06/26/2026 | | CZK | 6,860 | | | | 280 | |
Series 97, Reg. S, 0.45%, 10/25/2023 | | CZK | 12,000 | | | | 540 | |
Series 100, 0.25%, 02/10/2027 | | CZK | 60,340 | | | | 2,356 | |
Series 103, 2.00%, 10/13/2033 | | CZK | 20,000 | | | | 740 | |
Series 105, 2.75%, 07/23/2029 | | CZK | 5,810 | | | | 241 | |
Series 120, 1.25%, 02/14/2025 | | CZK | 11,950 | | | | 512 | |
Series 121, 1.20%, 03/13/2031 | | CZK | 27,250 | | | | 992 | |
Series 125, 1.50%, 04/24/2040 | | CZK | 3,380 | | | | 101 | |
Series 130, 0.05%, 11/29/2029 | | CZK | 13,030 | | | | 453 | |
Series 138, 1.75%, 06/23/2032 | | CZK | 20,400 | | | | 759 | |
Series 142, 1.95%, 07/30/2037 | | CZK | 12,960 | | | | 447 | |
Series 148, 6.00%, 02/26/2026 | | CZK | 5,910 | | | | 278 | |
Denmark Government Bond, (Denmark), | | | | | | | | |
0.25%, 11/15/2052 | | DKK | 5,921 | | | | 457 | |
0.50%, 11/15/2027 | | DKK | 5,478 | | | | 726 | |
0.50%, 11/15/2029 | | DKK | 13,494 | | | | 1,723 | |
1.75%, 11/15/2025 | | DKK | 5,460 | | | | 773 | |
4.50%, 11/15/2039 | | DKK | 10,830 | | | | 1,955 | |
7.00%, 11/10/2024 | | DKK | 1,470 | | | | 226 | |
Series G, 0.00%, 11/15/2031 | | DKK | 960 | | | | 113 | |
Series TWIN, 0.00%, 11/15/2031 | | DKK | 12,807 | | | | 1,507 | |
Development Bank of Japan, Inc., (Japan), | | | | | | | | |
Reg. S, 0.88%, 10/10/2025 | | EUR | 1,000 | | | | 1,019 | |
Reg. S, 2.13%, 09/01/2026 | | EUR | 1,000 | | | | 1,038 | |
4.75%, 11/26/2027 | | EUR | 900 | | | | 1,031 | |
Series 86, 0.24%, 10/13/2027 | | JPY | 100,000 | | | | 695 | |
Estonia Government International Bond, (Estonia), Reg. S, 0.13%, 06/10/2030 | | EUR | 200 | | | | 175 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 120 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Foreign Government Securities — continued | | | | | |
European Financial Stability Facility, (Luxembourg), | | | | | | | | |
Reg. S, 0.00%, 10/13/2027 | | EUR | 4,325 | | | | 4,119 | |
Reg. S, 0.00%, 01/20/2031 | | EUR | 9,600 | | | | 8,344 | |
Reg. S, 0.05%, 10/17/2029 | | EUR | 9,000 | | | | 8,140 | |
Reg. S, 0.05%, 01/18/2052 | | EUR | 1,000 | | | | 447 | |
Reg. S, 0.40%, 02/17/2025 | | EUR | 1,000 | | | | 1,037 | |
Reg. S, 0.50%, 07/11/2025 | | EUR | 8,000 | | | | 8,220 | |
Reg. S, 0.63%, 10/16/2026 | | EUR | 100 | | | | 100 | |
Reg. S, 0.70%, 01/20/2050 | | EUR | 2,500 | | | | 1,506 | |
Reg. S, 0.70%, 01/17/2053 | | EUR | 10,000 | | | | 5,668 | |
Reg. S, 0.75%, 05/03/2027 | | EUR | 15,000 | | | | 14,923 | |
Reg. S, 0.88%, 04/10/2035 | | EUR | 15,900 | | | | 13,480 | |
Reg. S, 1.20%, 02/17/2045 | | EUR | 2,325 | | | | 1,759 | |
Reg. S, 1.38%, 05/31/2047 | | EUR | 10,000 | | | | 7,652 | |
Reg. S, 1.45%, 09/05/2040 | | EUR | 370 | | | | 312 | |
Reg. S, 1.50%, 12/15/2025 | | EUR | 13,000 | | | | 13,550 | |
Reg. S, 1.70%, 02/13/2043 | | EUR | 1,900 | | | | 1,616 | |
Reg. S, 1.75%, 07/17/2053 | | EUR | 2,050 | | | | 1,584 | |
Reg. S, 2.00%, 02/28/2056 | | EUR | 2,000 | | | | 1,640 | |
Reg. S, 2.38%, 04/11/2028 | | EUR | 15,000 | | | | 15,785 | |
Reg. S, 2.38%, 06/21/2032 | | EUR | 5,000 | | | | 5,158 | |
Reg. S, 2.75%, 08/17/2026 | | EUR | 15,000 | | | | 16,082 | |
Reg. S, 2.75%, 12/03/2029 | | EUR | 1,020 | | | | 1,092 | |
Reg. S, 3.00%, 12/15/2028 | | EUR | 500 | | | | 542 | |
Reg. S, 3.38%, 04/03/2037 | | EUR | 3,000 | | | | 3,339 | |
European Stability Mechanism, (Supranational), | | | | | | | | |
Reg. S, 0.00%, 12/15/2026 | | EUR | 10,500 | | | | 10,246 | |
Reg. S, 0.01%, 03/04/2030 | | EUR | 1,900 | | | | 1,694 | |
Reg. S, 0.01%, 10/15/2031 | | EUR | 8,900 | | | | 7,585 | |
Reg. S, 0.50%, 03/02/2026 | | EUR | 5,600 | | | | 5,663 | |
Reg. S, 0.50%, 03/05/2029 | | EUR | 6,000 | | | | 5,669 | |
Reg. S, 0.75%, 09/05/2028 | | EUR | 2,750 | | | | 2,662 | |
Reg. S, 0.88%, 07/18/2042 | | EUR | 1,020 | | | | 732 | |
Reg. S, 1.00%, 09/23/2025 | | EUR | 15,000 | | | | 15,519 | |
Reg. S, 1.00%, 06/23/2027 | | EUR | 5,000 | | | | 5,002 | |
Reg. S, 1.75%, 10/20/2045 | | EUR | 1,050 | | | | 877 | |
Reg. S, 1.80%, 11/02/2046 | | EUR | 10,420 | | | | 8,740 | |
Reg. S, 1.85%, 12/01/2055 | | EUR | 180 | | | | 140 | |
European Union, (Supranational), | | | | | | | | |
Reg. S, 0.00%, 07/06/2026 | | EUR | 10,350 | | | | 10,251 | |
Reg. S, 0.00%, 10/04/2028 | | EUR | 1,800 | | | | 1,672 | |
Reg. S, 0.00%, 04/22/2031 | | EUR | 5,800 | | | | 5,022 | |
Reg. S, 0.00%, 07/04/2031 | | EUR | 30,000 | | | | 25,811 | |
Reg. S, 0.25%, 04/22/2036 | | EUR | 12,900 | | | | 9,848 | |
Reg. S, 0.40%, 02/04/2037 | | EUR | 10,000 | | | | 7,632 | |
Reg. S, 0.45%, 07/04/2041 | | EUR | 19,800 | | | | 13,445 | |
Reg. S, 0.50%, 04/04/2025 | | EUR | 3,575 | | | | 3,702 | |
Reg. S, 0.70%, 07/06/2051 | | EUR | 5,900 | | | | 3,579 | |
Reg. S, 0.75%, 04/04/2031 | | EUR | 3,925 | | | | 3,618 | |
Reg. S, 0.80%, 07/04/2025 | | EUR | 20,700 | | | | 21,430 | |
Reg. S, 1.00%, 07/06/2032 | | EUR | 5,800 | | | | 5,336 | |
Reg. S, 1.13%, 04/04/2036 | | EUR | 1,265 | | | | 1,095 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | |
Reg. S, 1.38%, 10/04/2029 | | EUR | 8,000 | | | | 7,891 | |
Reg. S, 1.50%, 10/04/2035 | | EUR | 5,000 | | | | 4,564 | |
Reg. S, 1.63%, 12/04/2029 | | EUR | 21,600 | | | | 21,601 | |
Reg. S, 2.00%, 10/04/2027 | | EUR | 10,000 | | | | 10,405 | |
Reg. S, 2.50%, 10/04/2052 | | EUR | 9,000 | | | | 8,424 | |
Reg. S, 2.63%, 02/04/2048 | | EUR | 16,000 | | | | 15,764 | |
Reg. S, 2.75%, 10/05/2026 | | EUR | 20,000 | | | | 21,477 | |
Reg. S, 3.38%, 04/04/2032 | | EUR | 1,200 | | | | 1,342 | |
Reg. S, 3.38%, 04/04/2038 | | EUR | 4,000 | | | | 4,454 | |
Reg. S, 3.38%, 10/04/2038 | | EUR | 30,000 | | | | 33,122 | |
Reg. S, 3.38%, 11/04/2042 | | EUR | 20,000 | | | | 22,105 | |
Reg. S, 3.75%, 04/04/2042 | | EUR | 5,015 | | | | 5,823 | |
Reg. S, 3.00%, 03/04/2053 | | EUR | 8,000 | | | | 8,288 | |
Series SURE, Reg. S, 0.00%, 11/04/2025 | | EUR | 5,198 | | | | 5,251 | |
Series SURE, Reg. S, 0.00%, 06/02/2028 | | EUR | 5,500 | | | | 5,160 | |
Series SURE, Reg. S, 0.00%, 10/04/2030 | | EUR | 10,000 | | | | 8,798 | |
Series SURE, Reg. S, 0.00%, 07/04/2035 | | EUR | 20,800 | | | | 15,658 | |
Series SURE, Reg. S, 0.10%, 10/04/2040 | | EUR | 7,675 | | | | 4,970 | |
Series SURE, Reg. S, 0.20%, 06/04/2036 | | EUR | 9,600 | | | | 7,210 | |
Series SURE, Reg. S, 0.30%, 11/04/2050 | | EUR | 1,220 | | | | 651 | |
Series SURE, Reg. S, 0.45%, 05/02/2046 | | EUR | 5,000 | | | | 3,084 | |
Series SURE, Reg. S, 0.75%, 01/04/2047 | | EUR | 5,000 | | | | 3,312 | |
Series SURE, Reg. S, 1.13%, 06/04/2037 | | EUR | 5,000 | | | | 4,200 | |
Export Development Canada, (Canada), | | | | | | | | |
Reg. S, 0.50%, 02/25/2027 | | EUR | 2,000 | | | | 1,969 | |
Reg. S, 2.88%, 01/19/2028 | | EUR | 10,000 | | | | 10,725 | |
Export-Import Bank of China (The), (China), | | | | | | | | |
Series 1514, 3.87%, 09/14/2025 | | CNY | 29,000 | | | | 4,117 | |
Series 1603, 3.33%, 02/22/2026 | | CNY | 15,000 | | | | 2,110 | |
Series 1610, 3.18%, 09/05/2026 | | CNY | 10,000 | | | | 1,405 | |
Series 1703, 4.11%, 03/20/2027 | | CNY | 14,000 | | | | 2,030 | |
Series 1910, 3.86%, 05/20/2029 | | CNY | 97,800 | | | | 14,258 | |
Series 2005, 2.93%, 03/02/2025 | | CNY | 95,600 | | | | 13,281 | |
Series 2007, 3.26%, 02/24/2027 | | CNY | 74,400 | | | | 10,485 | |
Series 2010, 3.23%, 03/23/2030 | | CNY | 39,400 | | | | 5,565 | |
Series 2011, 3.74%, 11/16/2030 | | CNY | 10,000 | | | | 1,461 | |
Series 2015, 3.43%, 10/23/2025 | | CNY | 71,000 | | | | 9,995 | |
Series 2203, 2.57%, 06/10/2025 | | CNY | 13,000 | | | | 1,796 | |
Series 2205, 2.61%, 01/27/2027 | | CNY | 40,000 | | | | 5,516 | |
Series 2210, 3.18%, 03/11/2032 | | CNY | 96,400 | | | | 13,531 | |
Series 2211, 2.90%, 08/19/2032 | | CNY | 57,600 | | | | 7,909 | |
Series 2213, 2.64%, 12/05/2025 | | CNY | 7,400 | | | | 1,024 | |
Series 2215, 2.82%, 06/17/2027 | | CNY | 19,000 | | | | 2,636 | |
Series 2310, 3.10%, 02/13/2033 | | CNY | 23,800 | | | | 3,323 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 121 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Foreign Government Securities — continued | | | | | |
Export-Import Bank of Korea, (South Korea), | | | | | | | | |
Reg. S, 2.60%, 11/08/2023 | | AUD | 1,100 | | | | 727 | |
Reg. S, 8.00%, 05/15/2024 | | IDR | 400,000 | | | | 27 | |
Finland Government Bond, (Finland), | | | | | | | | |
Reg. S, 0.00%, 09/15/2030 (e) | | EUR | 510 | | | | 452 | |
Reg. S, 0.13%, 09/15/2031 (e) | | EUR | 755 | | | | 656 | |
Reg. S, 0.13%, 04/15/2036 (e) | | EUR | 280 | | | | 210 | |
Reg. S, 0.13%, 04/15/2052 (e) | | EUR | 450 | | | | 230 | |
Reg. S, 0.25%, 09/15/2040 (e) | | EUR | 384 | | | | 261 | |
Reg. S, 0.50%, 04/15/2026 (e) | | EUR | 1,440 | | | | 1,463 | |
Reg. S, 0.50%, 09/15/2027 (e) | | EUR | 660 | | | | 650 | |
Reg. S, 0.50%, 09/15/2028 (e) | | EUR | 440 | | | | 424 | |
Reg. S, 0.50%, 09/15/2029 (e) | | EUR | 80 | | | | 76 | |
Reg. S, 0.50%, 04/15/2043 (e) | | EUR | 500 | | | | 339 | |
Reg. S, 0.75%, 04/15/2031 (e) | | EUR | 321 | | | | 298 | |
Reg. S, 0.88%, 09/15/2025 (e) | | EUR | 430 | | | | 446 | |
Reg. S, 1.13%, 04/15/2034 (e) | | EUR | 421 | | | | 380 | |
Reg. S, 1.38%, 04/15/2027 (e) | | EUR | 160 | | | | 164 | |
Reg. S, 1.50%, 09/15/2032 (e) | | EUR | 1,300 | | | | 1,252 | |
Reg. S, 2.63%, 07/04/2042 (e) | | EUR | 675 | | | | 691 | |
Reg. S, 2.75%, 07/04/2028 (e) | | EUR | 960 | | | | 1,039 | |
Reg. S, 2.75%, 04/15/2038 (e) | | EUR | 540 | | | | 562 | |
Reg. S, 4.00%, 07/04/2025 (e) | | EUR | 780 | | | | 862 | |
Series 30Y, Reg. S, 1.38%, 04/15/2047 (e) | | EUR | 717 | | | | 574 | |
Finnvera OYJ, (Finland), | | | | | | | | |
Reg. S, 0.38%, 04/09/2029 | | EUR | 300 | | | | 279 | |
Reg. S, 0.75%, 08/07/2028 | | EUR | 1,500 | | | | 1,449 | |
Reg. S, 2.13%, 03/08/2028 | | EUR | 300 | | | | 312 | |
Fondo De Titulizacion Del Deficit Del Sistema Electrico FTA, (Spain), | | | | | | | | |
Reg. S, 0.01%, 09/17/2025 | | EUR | 100 | | | | 101 | |
Reg. S, 0.85%, 12/17/2023 | | EUR | 1,000 | | | | 1,075 | |
Free and Hanseatic City of Hamburg, (Germany), | | | | | | | | |
Reg. S, 0.00%, 04/07/2026 | | EUR | 280 | | | | 278 | |
Reg. S, 0.01%, 06/30/2028 | | EUR | 180 | | | | 168 | |
0.01%, 11/05/2035 | | EUR | 70 | | | | 52 | |
Reg. S, 0.20%, 09/03/2049 | | EUR | 70 | | | | 37 | |
Reg. S, 0.25%, 02/18/2041 | | EUR | 394 | | | | 261 | |
Free State of Bavaria, (Germany), Reg. S, 0.01%, 01/18/2035 | | EUR | 352 | | | | 272 | |
Free State of Saxony, (Germany), | |
Reg. S, 0.01%, 11/05/2029 | | EUR | 197 | | | | 177 | |
Series 132, Reg. S, 0.01%, 12/17/2035 | | EUR | 210 | | | | 157 | |
French Republic Government Bond OAT, (France), | | | | | | | | |
Reg. S, 0.00%, 02/25/2025 | | EUR | 6,620 | | | | 6,838 | |
Reg. S, 0.00%, 03/25/2025 | | EUR | 5,030 | | | | 5,185 | |
Reg. S, 0.00%, 02/25/2026 | | EUR | 7,430 | | | | 7,470 | |
Reg. S, 0.00%, 02/25/2027 | | EUR | 7,205 | | | | 7,061 | |
Reg. S, 0.00%, 11/25/2029 | | EUR | 9,655 | | | | 8,809 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | |
Reg. S, 0.00%, 11/25/2030 | | EUR | 2,197 | | | | 1,948 | |
Reg. S, 0.00%, 11/25/2031 | | EUR | 5,604 | | | | 4,828 | |
Reg. S, 0.00%, 05/25/2032 | | EUR | 3,990 | | | | 3,384 | |
Reg. S, 0.25%, 11/25/2026 | | EUR | 4,076 | | | | 4,053 | |
Reg. S, 0.50%, 05/25/2025 | | EUR | 5,793 | | | | 5,998 | |
Reg. S, 0.50%, 05/25/2026 | | EUR | 3,759 | | | | 3,811 | |
Reg. S, 0.50%, 05/25/2029 | | EUR | 3,547 | | | | 3,382 | |
Reg. S, 0.50%, 05/25/2040 (e) | | EUR | 5,014 | | | | 3,567 | |
Reg. S, 0.50%, 06/25/2044 (e) | | EUR | 972 | | | | 627 | |
Reg. S, 0.50%, 05/25/2072 (e) | | EUR | 1,553 | | | | 660 | |
Reg. S, 0.75%, 02/25/2028 | | EUR | 9,480 | | | | 9,379 | |
Reg. S, 0.75%, 05/25/2028 | | EUR | 7,363 | | | | 7,256 | |
Reg. S, 0.75%, 11/25/2028 | | EUR | 535 | | | | 523 | |
Reg. S, 0.75%, 05/25/2052 (e) | | EUR | 4,457 | | | | 2,644 | |
Reg. S, 0.75%, 05/25/2053 (e) | | EUR | 4,808 | | | | 2,790 | |
Reg. S, 1.00%, 11/25/2025 | | EUR | 2,810 | | | | 2,914 | |
Reg. S, 1.00%, 05/25/2027 | | EUR | 3,898 | | | | 3,948 | |
Reg. S, 1.25%, 05/25/2034 | | EUR | 3,292 | | | | 3,015 | |
Reg. S, 1.25%, 05/25/2036 (e) | | EUR | 6,764 | | | | 5,958 | |
Reg. S, 1.25%, 05/25/2038 | | EUR | 3,850 | | | | 3,258 | |
Reg. S, 1.50%, 05/25/2031 | | EUR | 3,873 | | | | 3,838 | |
Reg. S, 1.50%, 05/25/2050 (e) | | EUR | 4,021 | | | | 3,046 | |
Reg. S, 1.75%, 11/25/2024 | | EUR | 3,360 | | | | 3,585 | |
Reg. S, 1.75%, 06/25/2039 (e) | | EUR | 1,597 | | | | 1,445 | |
Reg. S, 1.75%, 05/25/2066 (e) | | EUR | 2,136 | | | | 1,588 | |
Reg. S, 2.00%, 11/25/2032 | | EUR | 8,910 | | | | 9,010 | |
Reg. S, 2.00%, 05/25/2048 (e) | | EUR | 3,137 | | | | 2,703 | |
Reg. S, 2.50%, 09/24/2026 | | EUR | 3,110 | | | | 3,332 | |
Reg. S, 2.50%, 05/25/2030 | | EUR | 11,211 | | | | 11,991 | |
Reg. S, 2.50%, 05/25/2043 (e) | | EUR | 3,240 | | | | 3,143 | |
Reg. S, 2.75%, 10/25/2027 | | EUR | 5,509 | | | | 5,966 | |
Reg. S, 3.00%, 05/25/2033 | | EUR | 1,680 | | | | 1,843 | |
Reg. S, 3.00%, 05/25/2054 (e) | | EUR | 470 | | | | 484 | |
Reg. S, 3.25%, 05/25/2045 | | EUR | 3,425 | | | | 3,745 | |
Reg. S, 3.50%, 04/25/2026 | | EUR | 536 | | | | 591 | |
Reg. S, 4.00%, 10/25/2038 | | EUR | 2,618 | | | | 3,147 | |
Reg. S, 4.00%, 04/25/2055 (e) | | EUR | 1,031 | | | | 1,283 | |
Reg. S, 4.00%, 04/25/2060 | | EUR | 1,968 | | | | 2,486 | |
Reg. S, 4.50%, 04/25/2041 | | EUR | 2,142 | | | | 2,744 | |
Reg. S, 4.75%, 04/25/2035 | | EUR | 1,867 | | | | 2,376 | |
Reg. S, 5.50%, 04/25/2029 | | EUR | 2,037 | | | | 2,528 | |
Reg. S, 5.75%, 10/25/2032 | | EUR | 1,029 | | | | 1,380 | |
Reg. S, 6.00%, 10/25/2025 | | EUR | 1,290 | | | | 1,493 | |
Gemeinsame Deutsche Bundeslaender, (Germany), | | | | | | | | |
Series 46, Reg. S, 1.13%, 09/30/2024 | | EUR | 720 | | | | 761 | |
Series 58, Reg. S, 0.00%, 02/19/2027 | | EUR | 220 | | | | 213 | |
Series 60, Reg. S, 0.01%, 02/04/2031 | | EUR | 146 | | | | 127 | |
Series 62, Reg. S, 1.25%, 05/04/2029 | | EUR | 580 | | | | 570 | |
HM Treasury UK Sovereign Sukuk plc, (United Kingdom), Reg. S, 0.33%, 07/22/2026 | | GBP | 900 | | | | 984 | |
Hong Kong Government Bond Programme, (Hong Kong), 1.97%, 01/17/2029 | | HKD | 200 | | | | 24 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 122 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Foreign Government Securities — continued | | | | | |
Hong Kong Government International Bond, (Hong Kong), | | | | | | | | |
Reg. S, 2.80%, 11/30/2024 | | CNH | 5,000 | | | | 690 | |
Reg. S, 3.00%, 11/30/2026 | | CNH | 10,000 | | | | 1,390 | |
Hungary Government Bond, (Hungary), | | | | | | | | |
Series 24/C, 2.50%, 10/24/2024 | | HUF | 281,740 | | | | 745 | |
Series 26/E, 1.50%, 04/22/2026 | | HUF | 352,910 | | | | 848 | |
Series 26/D, 2.75%, 12/22/2026 | | HUF | 80,210 | | | | 195 | |
Series 27/A, 3.00%, 10/27/2027 | | HUF | 194,780 | | | | 475 | |
Series 28/B, 4.50%, 03/23/2028 | | HUF | 73,760 | | | | 189 | |
Series 28/A, 6.75%, 10/22/2028 | | HUF | 75,000 | | | | 211 | |
Series 29/A, 2.00%, 05/23/2029 | | HUF | 200,000 | | | | 444 | |
Series 30/A, 3.00%, 08/21/2030 | | HUF | 297,350 | | | | 678 | |
Series 32/A, 4.75%, 11/24/2032 | | HUF | 58,400 | | | | 145 | |
Series 33/A, 2.25%, 04/20/2033 | | HUF | 194,590 | | | | 390 | |
Series 34/A, 2.25%, 06/22/2034 | | HUF | 100,520 | | | | 193 | |
Series 38/A, 3.00%, 10/27/2038 | | HUF | 82,470 | | | | 155 | |
Series 41/A, 3.00%, 04/25/2041 | | HUF | 27,170 | | | | 49 | |
Hungary Government International Bond, (Hungary), | | | | | | | | |
Reg. S, 0.50%, 11/18/2030 | | EUR | 1,000 | | | | 792 | |
Reg. S, 1.63%, 04/28/2032 | | EUR | 1,000 | | | | 827 | |
Reg. S, 1.75%, 10/10/2027 | | EUR | 825 | | | | 803 | |
Reg. S, 1.75%, 06/05/2035 | | EUR | 5,000 | | | | 3,812 | |
Hydro-Quebec, (Canada), | | | | | | | | |
6.00%, 02/15/2040 | | CAD | 300 | | | | 276 | |
SUB, 8.40%, 03/28/2025 | | | 600 | | | | 627 | |
SUB, 8.91%, 11/18/2024 | | | 800 | | | | 835 | |
Series HK, 9.38%, 04/15/2030 | | | 500 | | | | 632 | |
Ile-de-France Mobilites, (France), | | | | | | | | |
Reg. S, 0.40%, 05/28/2031 | | EUR | 300 | | | | 264 | |
Reg. S, 0.68%, 11/24/2036 | | EUR | 100 | | | | 77 | |
Reg. S, 1.00%, 05/25/2034 | | EUR | 300 | | | | 258 | |
Reg. S, 1.28%, 02/14/2042 | | EUR | 100 | | | | 75 | |
Reg. S, 3.40%, 05/25/2043 | | EUR | 100 | | | | 105 | |
Indonesia Government International Bond, (Indonesia), | | | | | | | | |
0.90%, 02/14/2027 | | EUR | 3,102 | | | | 3,019 | |
1.10%, 03/12/2033 | | EUR | 1,000 | | | | 808 | |
1.85%, 03/12/2031 | | | 234 | | | | 188 | |
Reg. S, 2.15%, 07/18/2024 | | EUR | 2,050 | | | | 2,187 | |
3.35%, 03/12/2071 | | | 200 | | | | 138 | |
Reg. S, 3.38%, 07/30/2025 | | EUR | 7,000 | | | | 7,524 | |
Reg. S, 3.75%, 06/14/2028 | | EUR | 1,000 | | | | 1,081 | |
4.65%, 09/20/2032 | | | 600 | | | | 587 | |
Indonesia Treasury Bond, (Indonesia), | | | | | | | | |
Series FR56, 8.38%, 09/15/2026 | | IDR | 3,269,000 | | | | 233 | |
Series FR67, 8.75%, 02/15/2044 | | IDR | 2,074,000 | | | | 166 | |
Series FR75, 7.50%, 05/15/2038 | | IDR | 1,300,000 | | | | 94 | |
Series FR86, 5.50%, 04/15/2026 | | IDR | 600,000 | | | | 40 | |
Series FR91, 6.38%, 04/15/2032 | | IDR | 3,200,000 | | | | 214 | |
Series FR95, 6.38%, 08/15/2028 | | IDR | 1,000,000 | | | | 68 | |
Industrial Bank of Korea, (South Korea), Reg. S, 0.02%, 07/16/2025 | | CHF | 300 | | | | 319 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | |
Infraestruturas de Portugal SA, (Portugal), Reg. S, 4.68%, 10/16/2024 | | EUR | 150 | | | | 165 | |
Instituto de Credito Oficial, (Spain), Reg. S, 2.65%, 01/31/2028 | | EUR | 100 | | | | 105 | |
International Bank for Reconstruction & Development, (Supranational), | | | | | | | | |
0.00%, 01/15/2027 | | EUR | 2,125 | | | | 2,062 | |
Zero Coupon, 07/15/2029 | | | 38 | | | | 29 | |
Zero Coupon, 10/31/2030 | | | 1,000 | | | | 712 | |
0.10%, 09/17/2035 | | EUR | 1,475 | | | | 1,116 | |
Reg. S, 0.20%, 01/21/2061 | | EUR | 1,000 | | | | 388 | |
0.25%, 09/23/2027 | | GBP | 2,900 | | | | 2,979 | |
0.25%, 05/21/2029 | | EUR | 5,000 | | | | 4,619 | |
0.38%, 07/28/2025 | | | 50 | | | | 46 | |
0.50%, 10/28/2025 | | | 2,100 | | | | 1,906 | |
0.50%, 06/21/2035 | | EUR | 50 | | | | 40 | |
0.65%, 02/10/2026 | | | 750 | | | | 670 | |
Reg. S, 0.70%, 10/22/2046 | | EUR | 2,000 | | | | 1,303 | |
0.88%, 12/13/2024 | | GBP | 2,050 | | | | 2,424 | |
1.00%, 12/21/2029 | | GBP | 2,000 | | | | 1,994 | |
1.20%, 08/08/2034 | | EUR | 9,000 | | | | 8,066 | |
1.63%, 01/15/2025 | | | 475 | | | | 450 | |
(ICE LIBOR USD 3 Month + 0.00%), 2.33%, 05/31/2026 (aa) | | | 1,000 | | | | 923 | |
2.50%, 03/19/2024 | | | 465 | | | | 455 | |
2.90%, 01/19/2033 | | EUR | 7,000 | | | | 7,503 | |
3.00%, 09/27/2023 | | | 200 | | | | 199 | |
Investitionsbank Schleswig-Holstein, (Germany), | | | | | | | | |
Reg. S, 0.01%, 05/15/2026 | | EUR | 100 | | | | 99 | |
Reg. S, 3.25%, 03/10/2031 | | EUR | 300 | | | | 331 | |
Ireland Government Bond, (Ireland), | | | | | | | | |
Reg. S, 0.00%, 10/18/2031 | | EUR | 1,577 | | | | 1,368 | |
Reg. S, 0.20%, 05/15/2027 | | EUR | 1,940 | | | | 1,902 | |
Reg. S, 0.20%, 10/18/2030 | | EUR | 611 | | | | 553 | |
Reg. S, 0.35%, 10/18/2032 | | EUR | 290 | | | | 253 | |
Reg. S, 0.40%, 05/15/2035 | | EUR | 691 | | | | 563 | |
Reg. S, 0.55%, 04/22/2041 | | EUR | 385 | | | | 273 | |
Reg. S, 0.90%, 05/15/2028 | | EUR | 412 | | | | 410 | |
Reg. S, 1.00%, 05/15/2026 | | EUR | 720 | | | | 742 | |
Reg. S, 1.10%, 05/15/2029 | | EUR | 957 | | | | 946 | |
Reg. S, 1.30%, 05/15/2033 | | EUR | 780 | | | | 736 | |
Reg. S, 1.35%, 03/18/2031 | | EUR | 965 | | | | 949 | |
Reg. S, 1.50%, 05/15/2050 | | EUR | 1,093 | | | | 835 | |
Reg. S, 1.70%, 05/15/2037 | | EUR | 800 | | | | 735 | |
Reg. S, 2.00%, 02/18/2045 | | EUR | 685 | | | | 609 | |
Reg. S, 2.40%, 05/15/2030 | | EUR | 1,000 | | | | 1,065 | |
Reg. S, 3.00%, 10/18/2043 | | EUR | 600 | | | | 643 | |
5.40%, 03/13/2025 | | EUR | 790 | | | | 892 | |
Israel Government AID Bond, (Israel), | | | | | | | | |
5.50%, 09/18/2033 | | | 200 | | | | 220 | |
Series 2, Zero Coupon, 11/01/2024 | | | 24 | | | | 22 | |
Israel Government Bond — Fixed, (Israel), | | | | | | | | |
Series 142, 5.50%, 01/31/2042 | | ILS | 290 | | | | 95 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 123 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Foreign Government Securities — continued | | | | | |
Series 327, 2.00%, 03/31/2027 | | ILS | 800 | | | | 203 | |
Series 330, 1.00%, 03/31/2030 | | ILS | 1,200 | | | | 272 | |
Series 537, 1.50%, 05/31/2037 | | ILS | 305 | | | | 62 | |
Israel Government International Bond, (Israel), | | | | | | | | |
Reg. S, 0.63%, 01/18/2032 | | EUR | 3,000 | | | | 2,496 | |
Reg. S, 1.50%, 01/18/2027 | | EUR | 2,000 | | | | 2,009 | |
Reg. S, 2.50%, 01/16/2049 | | EUR | 825 | | | | 688 | |
2.75%, 07/03/2030 | | | 400 | | | | 353 | |
Italy Buoni Poliennali Del Tesoro, (Italy), | | | | | | | | |
Series 2Y, Reg. S, 1.75%, 05/30/2024 | | EUR | 4,640 | | | | 4,969 | |
Series 3Y, Reg. S, 0.00%, 12/15/2024 | | EUR | 650 | | | | 672 | |
Series 3Y, Reg. S, 1.20%, 08/15/2025 | | EUR | 500 | | | | 517 | |
Series 3Y, Reg. S, 3.50%, 01/15/2026 | | EUR | 1,720 | | | | 1,864 | |
Series 5Y, Reg. S, 0.00%, 04/01/2026 | | EUR | 2,060 | | | | 2,029 | |
Series 5Y, Reg. S, 0.00%, 08/01/2026 | | EUR | 3,447 | | | | 3,356 | |
Series 5Y, Reg. S, 0.50%, 02/01/2026 | | EUR | 5,270 | | | | 5,293 | |
Series 5Y, Reg. S, 1.10%, 04/01/2027 | | EUR | 2,370 | | | | 2,352 | |
Series 5Y, Reg. S, 1.75%, 07/01/2024 | | EUR | 2,050 | | | | 2,192 | |
Series 5Y, Reg. S, 1.85%, 07/01/2025 (e) | | EUR | 2,080 | | | | 2,186 | |
Series 5Y, Reg. S, 2.65%, 12/01/2027 | | EUR | 660 | | | | 689 | |
Series 6Y, Reg. S, 0.35%, 02/01/2025 | | EUR | 2,780 | | | | 2,875 | |
Series 7Y, Reg. S, 0.25%, 03/15/2028 | | EUR | 7,600 | | | | 7,070 | |
Series 7Y, Reg. S, 0.45%, 02/15/2029 | | EUR | 2,560 | | | | 2,331 | |
Series 7Y, Reg. S, 0.50%, 07/15/2028 | | EUR | 2,854 | | | | 2,659 | |
Series 7Y, Reg. S, 0.65%, 10/15/2023 | | EUR | 1,000 | | | | 1,082 | |
Series 7Y, Reg. S, 0.95%, 09/15/2027 | | EUR | 1,440 | | | | 1,405 | |
Series 7Y, Reg. S, 1.45%, 11/15/2024 | | EUR | 3,400 | | | | 3,596 | |
Series 7Y, Reg. S, 1.45%, 05/15/2025 | | EUR | 2,813 | | | | 2,943 | |
Series 7Y, Reg. S, 2.50%, 11/15/2025 | | EUR | 545 | | | | 578 | |
Series 7Y, Reg. S, 3.70%, 06/15/2030 | | EUR | 1,800 | | | | 1,946 | |
Series 7Y, Reg. S, 3.85%, 12/15/2029 | | EUR | 1,500 | | | | 1,640 | |
Series 8Y, Reg. S, 0.85%, 01/15/2027 (e) | | EUR | 6,435 | | | | 6,364 | |
Series 8Y, Reg. S, 4.00%, 10/30/2031 (e) | | EUR | 2,470 | | | | 2,717 | |
Series 10Y, Reg. S, 0.60%, 08/01/2031 (e) | | EUR | 2,294 | | | | 1,943 | |
Series 10Y, Reg. S, 0.95%, 08/01/2030 | | EUR | 910 | | | | 818 | |
Series 10Y, Reg. S, 0.95%, 12/01/2031 (e) | | EUR | 2,855 | | | | 2,470 | |
Series 10Y, Reg. S, 0.95%, 06/01/2032 | | EUR | 3,305 | | | | 2,816 | |
Series 10Y, Reg. S, 1.25%, 12/01/2026 | | EUR | 2,107 | | | | 2,120 | |
Series 10Y, Reg. S, 1.50%, 06/01/2025 | | EUR | 1,620 | | | | 1,693 | |
Series 10Y, Reg. S, 1.60%, 06/01/2026 | | EUR | 1,820 | | | | 1,870 | |
Series 10Y, Reg. S, 1.65%, 12/01/2030 (e) | | EUR | 1,753 | | | | 1,645 | |
Series 10Y, Reg. S, 2.00%, 12/01/2025 | | EUR | 1,400 | | | | 1,467 | |
Series 10Y, Reg. S, 2.00%, 02/01/2028 | | EUR | 1,402 | | | | 1,421 | |
Series 10Y, Reg. S, 2.05%, 08/01/2027 | | EUR | 3,580 | | | | 3,665 | |
Series 10Y, Reg. S, 2.20%, 06/01/2027 | | EUR | 1,977 | | | | 2,041 | |
Series 10Y, Reg. S, 2.50%, 12/01/2024 | | EUR | 994 | | | | 1,066 | |
Series 10Y, Reg. S, 2.50%, 12/01/2032 | | EUR | 5,610 | | | | 5,443 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | |
Series 10Y, Reg. S, 2.80%, 12/01/2028 | | EUR | 2,648 | | | | 2,763 | |
Series 10Y, Reg. S, 3.00%, 08/01/2029 | | EUR | 1,946 | | | | 2,038 | |
Series 10Y, Reg. S, 3.75%, 09/01/2024 | | EUR | 1,230 | | | | 1,341 | |
Series 10Y, Reg. S, 4.40%, 05/01/2033 | | EUR | 2,840 | | | | 3,205 | |
Series 11Y, Reg. S, 0.90%, 04/01/2031 | | EUR | 1,957 | | | | 1,720 | |
Series 11Y, Reg. S, 1.35%, 04/01/2030 | | EUR | 2,100 | | | | 1,961 | |
Series 11Y, Reg. S, 4.50%, 03/01/2024 | | EUR | 59 | | | | 65 | |
Series 13Y, Reg. S, 4.00%, 04/30/2035 (e) | | EUR | 800 | | | | 863 | |
Series 15Y, Reg. S, 2.45%, 09/01/2033 (e) | | EUR | 1,431 | | | | 1,362 | |
Series 15Y, Reg. S, 4.75%, 09/01/2028 (e) | | EUR | 620 | | | | 709 | |
Series 16Y, Reg. S, 0.95%, 03/01/2037 (e) | | EUR | 3,214 | | | | 2,362 | |
Series 16Y, Reg. S, 1.45%, 03/01/2036 (e) | | EUR | 1,229 | | | | 992 | |
Series 16Y, Reg. S, 3.25%, 03/01/2038 (e) | | EUR | 3,700 | | | | 3,612 | |
Series 16Y, Reg. S, 3.50%, 03/01/2030 (e) | | EUR | 6,136 | | | | 6,591 | |
Series 16Y, Reg. S, 4.50%, 03/01/2026 (e) | | EUR | 2,853 | | | | 3,170 | |
Series 16Y, Reg. S, 5.00%, 03/01/2025 (e) | | EUR | 4,570 | | | | 5,077 | |
Series 17Y, Reg. S, 1.65%, 03/01/2032 (e) | | EUR | 2,246 | | | | 2,056 | |
Series 20Y, Reg. S, 2.25%, 09/01/2036 (e) | | EUR | 2,134 | | | | 1,890 | |
Series 20Y, Reg. S, 2.95%, 09/01/2038 (e) | | EUR | 2,212 | | | | 2,080 | |
Series 20Y, Reg. S, 4.45%, 09/01/2043 (e) | | EUR | 2,500 | | | | 2,771 | |
Series 21Y, Reg. S, 1.80%, 03/01/2041 (e) | | EUR | 1,754 | | | | 1,345 | |
Series 21Y, Reg. S, 3.10%, 03/01/2040 (e) | | EUR | 1,112 | | | | 1,049 | |
Series 26Y, Reg. S, 3.35%, 03/01/2035 (e) | | EUR | 2,660 | | | | 2,695 | |
Series 30Y, Reg. S, 2.15%, 09/01/2052 (e) | | EUR | 1,271 | | | | 908 | |
Series 30Y, Reg. S, 3.85%, 09/01/2049 (e) | | EUR | 1,030 | | | | 1,048 | |
Series 30Y, Reg. S, 4.50%, 10/01/2053 (e) | | EUR | 540 | | | | 600 | |
Series 30Y, Reg. S, 6.50%, 11/01/2027 | | EUR | 890 | | | | 1,080 | |
Series 30Y, Reg. S, 7.25%, 11/01/2026 | | EUR | 2,200 | | | | 2,663 | |
Series 31Y, Reg. S, 1.70%, 09/01/2051 (e) | | EUR | 2,267 | | | | 1,481 | |
Series 31Y, Reg. S, 2.70%, 03/01/2047 (e) | | EUR | 1,350 | | | | 1,143 | |
Series 31Y, Reg. S, 3.25%, 09/01/2046 (e) | | EUR | 1,990 | | | | 1,857 | |
Series 31Y, Reg. S, 3.45%, 03/01/2048 (e) | | EUR | 2,665 | | | | 2,557 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 124 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Foreign Government Securities — continued | | | | | |
Series 31Y, Reg. S, 4.00%, 02/01/2037 (e) | | EUR | 1,310 | | | | 1,409 | |
Series 31Y, Reg. S, 4.75%, 09/01/2044 (e) | | EUR | 2,105 | | | | 2,434 | |
Series 31Y, Reg. S, 5.00%, 08/01/2034 (e) | | EUR | 966 | | | | 1,139 | |
Series 31Y, Reg. S, 5.00%, 09/01/2040 (e) | | EUR | 560 | | | | 666 | |
Series 31Y, Reg. S, 5.25%, 11/01/2029 | | EUR | 1,777 | | | | 2,105 | |
Series 31Y, Reg. S, 5.75%, 02/01/2033 | | EUR | 1,260 | | | | 1,566 | |
Series 31Y, Reg. S, 6.00%, 05/01/2031 | | EUR | 1,753 | | | | 2,194 | |
Series 32Y, Reg. S, 5.00%, 08/01/2039 (e) | | EUR | 1,341 | | | | 1,589 | |
Series 34Y, Reg. S, 1.50%, 04/30/2045 (e) | | EUR | 1,851 | | | | 1,248 | |
Series 50Y, Reg. S, 2.15%, 03/01/2072 (e) | | EUR | 467 | | | | 302 | |
Series 50Y, Reg. S, 2.80%, 03/01/2067 (e) | | EUR | 1,055 | | | | 822 | |
Series CAC, Reg. S, 2.45%, 09/01/2050 (e) | | EUR | 1,442 | | | | 1,125 | |
Japan Bank for International Cooperation, (Japan), | | | | | | | | |
0.63%, 07/15/2025 | | | 500 | | | | 457 | |
3.13%, 02/15/2028 | | EUR | 800 | | | | 859 | |
Japan Expressway Holding and Debt Repayment Agency, (Japan), | | | | | | | | |
Series 37, 2.42%, 06/20/2028 | | JPY | 100,000 | | | | 767 | |
Series 75, 1.96%, 09/19/2031 | | JPY | 100,000 | | | | 774 | |
Series 271, 0.02%, 03/31/2026 | | JPY | 30,000 | | | | 208 | |
Japan Finance Corp., (Japan), Series 57, 0.00%, 10/17/2025 | | JPY | 20,000 | | | | 139 | |
Japan Finance Organization for Municipalities, (Japan), | | | | | | | | |
Reg. S, 0.05%, 02/12/2027 | | EUR | 500 | | | | 479 | |
Reg. S, 0.63%, 09/02/2025 | | | 1,000 | | | | 905 | |
Series 55, 0.78%, 12/28/2023 | | JPY | 100,000 | | | | 696 | |
Series 69, 0.48%, 02/28/2025 | | JPY | 100,000 | | | | 698 | |
Series 2022, 2.32%, 06/18/2027 | | JPY | 20,000 | | | | 150 | |
Japan Government Five Year Bond, (Japan), | | | | | | | | |
Series 142, 0.10%, 12/20/2024 | | JPY | 87,500 | | | | 608 | |
Series 143, 0.10%, 03/20/2025 | | JPY | 15,700 | | | | 109 | |
Series 144, 0.10%, 06/20/2025 | | JPY | 347,000 | | | | 2,413 | |
Series 146, 0.10%, 12/20/2025 | | JPY | 122,000 | | | | 849 | |
Series 148, 0.01%, 06/20/2026 | | JPY | 409,750 | | | | 2,845 | |
Series 151, 0.01%, 03/20/2027 | | JPY | 173,000 | | | | 1,201 | |
Series 153, 0.01%, 06/20/2027 | | JPY | 459,600 | | | | 3,189 | |
Japan Government Forty Year Bond, (Japan), | | | | | | | | |
Series 1, 2.40%, 03/20/2048 | | JPY | 100,000 | | | | 880 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | |
Series 3, 2.20%, 03/20/2050 | | JPY | 505,850 | | | | 4,293 | |
Series 7, 1.70%, 03/20/2054 | | JPY | 4,500 | | | | 35 | |
Series 8, 1.40%, 03/20/2055 | | JPY | 14,350 | | | | 103 | |
Series 9, 0.40%, 03/20/2056 | | JPY | 11,000 | | | | 58 | |
Series 10, 0.90%, 03/20/2057 | | JPY | 7,050 | | | | 44 | |
Series 15, 1.00%, 03/20/2062 | | JPY | 49,850 | | | | 307 | |
Japan Government Ten Year Bond, (Japan), | | | | | | | | |
Series 343, 0.10%, 06/20/2026 | | JPY | 227,350 | | | | 1,583 | |
Series 344, 0.10%, 09/20/2026 | | JPY | 131,500 | | | | 916 | |
Series 349, 0.10%, 12/20/2027 | | JPY | 59,700 | | | | 415 | |
Series 357, 0.10%, 12/20/2029 | | JPY | 341,050 | | | | 2,356 | |
Series 358, 0.10%, 03/20/2030 | | JPY | 90,300 | | | | 623 | |
Series 359, 0.10%, 06/20/2030 | | JPY | 35,000 | | | | 241 | |
Series 360, 0.10%, 09/20/2030 | | JPY | 22,800 | | | | 157 | |
Series 361, 0.10%, 12/20/2030 | | JPY | 156,550 | | | | 1,074 | |
Series 363, 0.10%, 06/20/2031 | | JPY | 310,050 | | | | 2,119 | |
Series 364, 0.10%, 09/20/2031 | | JPY | 215,000 | | | | 1,467 | |
Series 365, 0.10%, 12/20/2031 | | JPY | 45,000 | | | | 307 | |
Series 366, 0.20%, 03/20/2032 | | JPY | 444,100 | | | | 3,046 | |
Japan Government Thirty Year Bond, (Japan), | | | | | | | | |
Series 11, 1.70%, 06/20/2033 | | JPY | 100,000 | | | | 779 | |
Series 21, 2.30%, 12/20/2035 | | JPY | 721,850 | | | | 6,027 | |
Series 22, 2.50%, 03/20/2036 | | JPY | 132,250 | | | | 1,128 | |
Series 24, 2.50%, 09/20/2036 | | JPY | 57,950 | | | | 496 | |
Series 33, 2.00%, 09/20/2040 | | JPY | 333,000 | | | | 2,712 | |
Series 47, 1.60%, 06/20/2045 | | JPY | 10,000 | | | | 76 | |
Series 66, 0.40%, 03/20/2050 | | JPY | 335,250 | | | | 1,893 | |
Series 67, 0.60%, 06/20/2050 | | JPY | 50,000 | | | | 297 | |
Series 68, 0.60%, 09/20/2050 | | JPY | 131,500 | | | | 779 | |
Series 71, 0.70%, 06/20/2051 | | JPY | 118,600 | | | | 716 | |
Series 74, 1.00%, 03/20/2052 | | JPY | 104,000 | | | | 677 | |
Series 76, 1.40%, 09/20/2052 | | JPY | 3,000 | | | | 21 | |
Series 77, 1.60%, 12/20/2052 | | JPY | 41,500 | | | | 312 | |
Japan Government Twenty Year Bond, (Japan), | | | | | | | | |
Series 80, 2.10%, 06/20/2025 | | JPY | 517,000 | | | | 3,736 | |
Series 105, 2.10%, 09/20/2028 | | JPY | 224,100 | | | | 1,716 | |
Series 122, 1.80%, 09/20/2030 | | JPY | 924,000 | | | | 7,134 | |
Series 140, 1.70%, 09/20/2032 | | JPY | 188,950 | | | | 1,469 | |
Series 142, 1.80%, 12/20/2032 | | JPY | 10,900 | | | | 86 | |
Series 143, 1.60%, 03/20/2033 | | JPY | 7,300 | | | | 56 | |
Series 148, 1.50%, 03/20/2034 | | JPY | 67,550 | | | | 518 | |
Series 151, 1.20%, 12/20/2034 | | JPY | 6,500 | | | | 48 | |
Series 153, 1.30%, 06/20/2035 | | JPY | 10,000 | | | | 75 | |
Series 164, 0.50%, 03/20/2038 | | JPY | 5,000 | | | | 34 | |
Series 167, 0.50%, 12/20/2038 | | JPY | 8,000 | | | | 53 | |
Series 172, 0.40%, 03/20/2040 | | JPY | 145,000 | | | | 933 | |
Series 173, 0.40%, 06/20/2040 | | JPY | 125,000 | | | | 802 | |
Series 175, 0.50%, 12/20/2040 | | JPY | 80,000 | | | | 518 | |
Series 176, 0.50%, 03/20/2041 | | JPY | 173,050 | | | | 1,117 | |
Series 177, 0.40%, 06/20/2041 | | JPY | 40,000 | | | | 253 | |
Series 178, 0.50%, 09/20/2041 | | JPY | 448,950 | | | | 2,884 | |
Series 179, 0.50%, 12/20/2041 | | JPY | 25,000 | | | | 160 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 125 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Foreign Government Securities — continued | | | | | |
Series 180, 0.80%, 03/20/2042 | | JPY | 133,000 | | | | 897 | |
Series 183, 1.40%, 12/20/2042 | | JPY | 10,000 | | | | 74 | |
Series 184, 1.10%, 03/20/2043 | | JPY | 9,000 | | | | 64 | |
Japan Government Two Year Bond, (Japan), | | | | | | | | |
Series 430, 0.01%, 11/01/2023 | | JPY | 300,000 | | | | 2,080 | |
Series 449, 0.01%, 06/01/2025 | | JPY | 25,000 | | | | 174 | |
Japan Housing Finance Agency, (Japan), | | | | | | | | |
Series 71, 1.75%, 03/19/2026 | | JPY | 200,000 | | | | 1,449 | |
Series 108, 1.43%, 06/18/2027 | | JPY | 100,000 | | | | 728 | |
Japan International Cooperation Agency, (Japan), Series 35, 0.08%, 06/19/2026 | | | JPY 200,000 | | | | 1,386 | |
Japanese Government CPI Linked Bond, (Japan), Series 25, 0.20%, 03/10/2030 | | | JPY 104,811 | | | | 802 | |
Jersey International Bond, (Jersey), Reg. S, 3.75%, 06/09/2054 | | GBP | 400 | | | | 402 | |
Junta de Castilla y Leon, (Spain), Reg. S, 0.43%, 04/30/2030 | | EUR | 62 | | | | 55 | |
Kazakhstan Government International Bond, (Kazakhstan), Reg. S, 1.50%, 09/30/2034 | | EUR | 400 | | | | 313 | |
Kingdom of Belgium Government Bond, (Belgium), | | | | | | | | |
Series 44, Reg. S, 5.00%, 03/28/2035 (e) | | EUR | 580 | | | | 746 | |
Series 60, Reg. S, 4.25%, 03/28/2041 (e) | | EUR | 1,330 | | | | 1,633 | |
Series 64, Reg. S, 4.50%, 03/28/2026 (e) | | EUR | 1,865 | | | | 2,107 | |
Series 66, Reg. S, 4.00%, 03/28/2032 | | EUR | 342 | | | | 402 | |
Series 71, Reg. S, 3.75%, 06/22/2045 | | EUR | 863 | | | | 1,002 | |
Series 73, Reg. S, 3.00%, 06/22/2034 (e) | | EUR | 2,138 | | | | 2,312 | |
Series 74, Reg. S, 0.80%, 06/22/2025 (e) | | EUR | 2,159 | | | | 2,248 | |
Series 75, Reg. S, 1.00%, 06/22/2031 (e) | | EUR | 997 | | | | 940 | |
Series 76, Reg. S, 1.90%, 06/22/2038 (e) | | EUR | 2,043 | | | | 1,875 | |
Series 77, Reg. S, 1.00%, 06/22/2026 (e) | | EUR | 1,412 | | | | 1,452 | |
Series 78, Reg. S, 1.60%, 06/22/2047 (e) | | EUR | 1,967 | | | | 1,534 | |
Series 80, Reg. S, 2.15%, 06/22/2066 (e) | | EUR | 1,021 | | | | 832 | |
Series 81, Reg. S, 0.80%, 06/22/2027 (e) | | EUR | 970 | | | | 973 | |
Series 82, Reg. S, 0.50%, 10/22/2024 (e) | | EUR | 1,000 | | | | 1,051 | |
Series 83, Reg. S, 2.25%, 06/22/2057 (e) | | EUR | 467 | | | | 400 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | |
Series 84, Reg. S, 1.45%, 06/22/2037 (e) | | EUR | 300 | | | | 264 | |
Series 85, Reg. S, 0.80%, 06/22/2028 (e) | | EUR | 2,362 | | | | 2,332 | |
Series 86, Reg. S, 1.25%, 04/22/2033 (e) | | EUR | 2,124 | | | | 1,985 | |
Series 87, Reg. S, 0.90%, 06/22/2029 (e) | | EUR | 2,254 | | | | 2,198 | |
Series 88, Reg. S, 1.70%, 06/22/2050 (e) | | EUR | 956 | | | | 740 | |
Series 89, Reg. S, 0.10%, 06/22/2030 (e) | | EUR | 1,672 | | | | 1,508 | |
Series 90, Reg. S, 0.40%, 06/22/2040 (e) | | EUR | 1,285 | | | | 877 | |
Series 91, Reg. S, 0.00%, 10/22/2027 (e) | | EUR | 3,496 | | | | 3,365 | |
Series 92, Reg. S, 0.00%, 10/22/2031 (e) | | EUR | 2,227 | | | | 1,908 | |
Series 93, Reg. S, 0.65%, 06/22/2071 (e) | | EUR | 628 | | | | 283 | |
Series 94, Reg. S, 0.35%, 06/22/2032 (e) | | EUR | 1,880 | | | | 1,629 | |
Series 95, Reg. S, 1.40%, 06/22/2053 (e) | | EUR | 1,845 | | | | 1,282 | |
Series 96, Reg. S, 2.75%, 04/22/2039 (e) | | EUR | 400 | | | | 408 | |
Series 97, Reg. S, 3.00%, 06/22/2033 (e) | | EUR | 1,190 | | | | 1,292 | |
Series 99, Reg. S, 3.45%, 06/22/2043 (e) | | EUR | 620 | | | | 683 | |
Kommunalbanken A/S, (Norway), | | | | | | | | |
Reg. S, 0.05%, 10/24/2029 | | EUR | 6,200 | | | | 5,554 | |
Reg. S, 0.63%, 04/20/2026 | | EUR | 1,200 | | | | 1,205 | |
Reg. S, 0.88%, 05/24/2027 | | EUR | 500 | | | | 495 | |
Kommunekredit, (Denmark), 0.00%, 11/17/2029 | | EUR | 800 | | | | 716 | |
Reg. S, 0.01%, 05/04/2034 | | EUR | 500 | | | | 389 | |
Reg. S, 0.50%, 01/24/2025 | | EUR | 460 | | | | 477 | |
Reg. S, 2.38%, 09/15/2032 | | EUR | 4,000 | | | | 4,109 | |
Reg. S, 2.88%, 01/19/2035 | | EUR | 7,000 | | | | 7,374 | |
Kommuninvest I Sverige AB, (Sweden), | | | | | | | | |
Reg. S, 1.50%, 05/12/2025 | | SEK | 3,000 | | | | 266 | |
Series 2505, Reg. S, 1.00%, 05/12/2025 | | SEK | 5,000 | | | | 439 | |
Series 2602, Reg. S, 0.75%, 02/04/2026 | | SEK | 2,880 | | | | 246 | |
Series 2611, Reg. S, 1.00%, 11/12/2026 | | SEK | 4,000 | | | | 339 | |
Korea Development Bank (The), (South Korea), | | | | | | | | |
Reg. S, 1.83%, 08/10/2027 | | SEK | 2,000 | | | | 176 | |
2.63%, 09/08/2027 | | EUR | 6,500 | | | | 6,852 | |
6.00%, 01/22/2025 | | IDR | 15,000,000 | | | | 993 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 126 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Foreign Government Securities — continued | | | | | |
Korea Expressway Corp., (South Korea), Reg. S, 3.10%, 06/08/2026 | | | 800 | | | | 729 | |
Korea Housing Finance Corp., (South Korea), Reg. S, 1.96%, 07/19/2026 | | EUR | 100 | | | | 102 | |
Korea Hydro & Nuclear Power Co. Ltd., (South Korea), Reg. S, 0.00%, 07/19/2024 | | CHF | 300 | | | | 327 | |
Korea National Oil Corp., (South Korea), | | | | | | | | |
Reg. S, 0.00%, 10/04/2024 | | CHF | 300 | | | | 326 | |
Reg. S, 0.26%, 07/30/2027 | | CHF | 300 | | | | 309 | |
Korea Treasury Bond, (South Korea), | | | | | | | | |
Series 2409, 1.38%, 09/10/2024 | | KRW | 700,550 | | | | 518 | |
Series 2612, 1.50%, 12/10/2026 | | KRW | 569,490 | | | | 402 | |
Series 2806, 2.63%, 06/10/2028 | | KRW | 50,000 | | | | 36 | |
Series 3006, 1.38%, 06/10/2030 | | KRW | 160,000 | | | | 104 | |
Series 3106, 2.00%, 06/10/2031 | | KRW | 491,310 | | | | 329 | |
Series 3112, 2.38%, 12/10/2031 | | KRW | 140,920 | | | | 97 | |
Series 3212, 4.25%, 12/10/2032 | | KRW | 100,000 | | | | 79 | |
Series 4009, 1.50%, 09/10/2040 | | KRW | 277,980 | | | | 152 | |
Series 4209, 3.25%, 09/10/2042 | | KRW | 79,120 | | | | 56 | |
Series 5003, 1.50%, 03/10/2050 | | KRW | 627,880 | | | | 298 | |
Series 5303, 3.25%, 03/10/2053 | | KRW | 135,000 | | | | 94 | |
Series 7009, 1.63%, 09/10/2070 | | KRW | 72,350 | | | | 29 | |
Kuntarahoitus OYJ, (Finland), | | | | | | | | |
Reg. S, 0.00%, 10/14/2030 | | EUR | 500 | | | | 438 | |
Reg. S, 0.05%, 09/06/2029 | | EUR | 400 | | | | 362 | |
Reg. S, 0.25%, 02/25/2032 | | EUR | 100 | | | | 86 | |
Reg. S, 0.38%, 12/17/2025 | | GBP | 5,000 | | | | 5,541 | |
Reg. S, 1.25%, 02/23/2033 | | EUR | 200 | | | | 185 | |
Reg. S, 3.00%, 09/25/2028 | | EUR | 200 | | | | 216 | |
Land Baden-Wuerttemberg, (Germany), | | | | | | | | |
Reg. S, 0.01%, 09/02/2030 | | EUR | 218 | | | | 192 | |
Reg. S, 0.13%, 11/19/2040 | | EUR | 100 | | | | 65 | |
Reg. S, 0.63%, 01/27/2026 | | EUR | 380 | | | | 385 | |
Land Berlin, (Germany), | | | | | | | | |
Reg. S, 0.01%, 07/02/2030 | | EUR | 490 | | | | 432 | |
Reg. S, 0.05%, 08/06/2040 | | EUR | 200 | | | | 128 | |
Reg. S, 0.10%, 01/18/2030 | | EUR | 635 | | | | 572 | |
Reg. S, 0.13%, 11/24/2045 | | EUR | 90 | | | | 51 | |
Reg. S, 0.15%, 02/22/2036 | | EUR | 100 | | | | 75 | |
Reg. S, 0.63%, 02/05/2029 | | EUR | 800 | | | | 762 | |
Reg. S, 0.63%, 01/26/2052 | | EUR | 200 | | | | 116 | |
Reg. S, 1.63%, 08/02/2032 | | EUR | 180 | | | | 175 | |
Series 493, Reg. S, 0.63%, 02/08/2027 | | EUR | 220 | | | | 218 | |
Series 495, Reg. S, 1.38%, 06/05/2037 | | EUR | 260 | | | | 227 | |
Series 506, Reg. S, 1.38%, 08/27/2038 | | EUR | 115 | | | | 98 | |
Series 530, Reg. S, 0.10%, 01/18/2041 | | EUR | 80 | | | | 51 | |
Land Thueringen, (Germany), | | | | | | | | |
Reg. S, 0.05%, 05/06/2030 | | EUR | 260 | | | | 231 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | |
Reg. S, 0.13%, 01/13/2051 | | EUR | 100 | | | | 49 | |
0.50%, 03/02/2029 | | EUR | 500 | | | | 472 | |
Latvia Government International Bond, (Latvia), | | | | | | | | |
Reg. S, 0.00%, 03/17/2031 | | EUR | 100 | | | | 81 | |
Reg. S, 1.13%, 05/30/2028 | | EUR | 390 | | | | 377 | |
Reg. S, 1.38%, 05/16/2036 | | EUR | 110 | | | | 88 | |
Reg. S, 1.88%, 02/19/2049 | | EUR | 100 | | | | 75 | |
Reg. S, 3.50%, 01/17/2028 | | EUR | 650 | | | | 702 | |
LCR Finance plc, (United Kingdom), | | | | | | | | |
Reg. S, 4.50%, 12/07/2028 | | GBP | 400 | | | | 492 | |
Reg. S, 4.50%, 12/07/2038 | | GBP | 110 | | | | 135 | |
5.10%, 03/07/2051 | | GBP | 50 | | | | 67 | |
Lithuania Government International Bond, (Lithuania), | | | | | | | | |
Reg. S, 0.25%, 05/06/2025 | | EUR | 70 | | | | 71 | |
Reg. S, 0.50%, 07/28/2050 | | EUR | 210 | | | | 102 | |
Reg. S, 0.75%, 05/06/2030 | | EUR | 440 | | | | 393 | |
Reg. S, 0.95%, 05/26/2027 | | EUR | 500 | | | | 493 | |
Reg. S, 2.13%, 06/01/2032 | | EUR | 210 | | | | 201 | |
Luxembourg Government Bond, (Luxembourg), | | | | | | | | |
Reg. S, 0.00%, 04/28/2025 | | EUR | 110 | | | | 112 | |
Reg. S, 0.00%, 11/13/2026 | | EUR | 400 | | | | 391 | |
Reg. S, 0.00%, 04/28/2030 | | EUR | 150 | | | | 134 | |
Malaysia Government Bond, (Malaysia), | | | | | | | | |
Series 114, 4.18%, 07/15/2024 | | MYR | 240 | | | | 52 | |
Series 119, 3.91%, 07/15/2026 | | MYR | 500 | | | | 108 | |
Series 219, 3.89%, 08/15/2029 | | MYR | 6,600 | | | | 1,421 | |
Series 519, 3.76%, 05/22/2040 | | MYR | 640 | | | | 130 | |
Malaysia Government Investment Issue, (Malaysia), | | | | | | | | |
Series 119, 4.13%, 07/09/2029 | | MYR | 810 | | | | 177 | |
Series 122, 4.19%, 10/07/2032 | | MYR | 140 | | | | 31 | |
Series 417, 4.90%, 05/08/2047 | | MYR | 271 | | | | 63 | |
Series 617, 4.72%, 06/15/2033 | | MYR | 505 | | | | 115 | |
Metropolitano de Lisboa EPE, (Portugal), | | | | | | | | |
4.80%, 12/07/2027 | | EUR | 700 | | | | 806 | |
7.30%, 12/23/2025 | | EUR | 500 | | | | 595 | |
Mexican Bonos, (Mexico), | | | | | | | | |
Series M, 7.50%, 06/03/2027 | | MXN | 17,000 | | | | 944 | |
Series M, 7.75%, 05/29/2031 | | MXN | 12,000 | | | | 663 | |
Series M, 7.75%, 11/13/2042 | | MXN | 2,000 | | | | 105 | |
Series M, 8.50%, 05/31/2029 | | MXN | 1,000 | | | | 58 | |
Series M, 8.50%, 11/18/2038 | | MXN | 2,000 | | | | 114 | |
Mexico Government International Bond, (Mexico), | | | | | | | | |
1.13%, 01/17/2030 | | EUR | 1,200 | | | | 1,079 | |
1.35%, 09/18/2027 | | EUR | 3,075 | | | | 3,037 | |
1.45%, 10/25/2033 | | EUR | 7,000 | | | | 5,643 | |
1.63%, 04/08/2026 | | EUR | 200 | | | | 205 | |
2.13%, 10/25/2051 | | EUR | 2,200 | | | | 1,366 | |
3.00%, 03/06/2045 | | EUR | 825 | | | | 668 | |
Reg. S, 3.38%, 02/23/2031 | | EUR | 3,000 | | | | 3,052 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 127 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Foreign Government Securities — continued | | | | | |
3.50%, 02/12/2034 | | | 900 | | | | 754 | |
3.75%, 04/19/2071 | | | 200 | | | | 133 | |
Reg. S, 4.00%, 03/15/2115 | | EUR | 3,500 | | | | 2,804 | |
4.40%, 02/12/2052 | | | 400 | | | | 315 | |
4.50%, 04/22/2029 | | | 200 | | | | 194 | |
4.60%, 02/10/2048 | | | 250 | | | | 205 | |
Reg. S, 5.63%, 03/19/2114 | | GBP | 800 | | | | 737 | |
5.75%, 10/12/2110 | | | 80 | | | | 71 | |
6.75%, 02/06/2024 | | GBP | 100 | | | | 127 | |
Ministeries Van de Vlaamse Gemeenschap, (Belgium), | | | | | | | | |
Reg. S, 0.30%, 10/20/2031 | | EUR | 900 | | | | 773 | |
Reg. S, 1.00%, 01/23/2051 | | EUR | 100 | | | | 61 | |
Reg. S, 1.38%, 11/21/2033 | | EUR | 500 | | | | 452 | |
Reg. S, 1.50%, 07/12/2038 | | EUR | 100 | | | | 83 | |
Reg. S, 1.50%, 04/11/2044 | | EUR | 100 | | | | 76 | |
Reg. S, 3.00%, 10/12/2032 | | EUR | 100 | | | | 106 | |
Reg. S, 3.25%, 01/12/2043 | | EUR | 200 | | | | 206 | |
Municipal Finance Authority of British Columbia, (Canada), | | | | | | | | |
1.10%, 06/01/2025 | | CAD | 200 | | | | 141 | |
2.55%, 10/09/2029 | | CAD | 300 | | | | 208 | |
2.80%, 12/03/2023 | | CAD | 500 | | | | 374 | |
Nederlandse Waterschapsbank NV, (Netherlands), | | | | | | | | |
Reg. S, 0.00%, 09/08/2031 | | EUR | 930 | | | | 790 | |
Reg. S, 0.05%, 01/28/2030 | | EUR | 374 | | | | 334 | |
0.13%, 09/25/2023 | | EUR | 400 | | | | 433 | |
Reg. S, 0.38%, 09/28/2046 | | EUR | 169 | | | | 100 | |
Reg. S, 0.75%, 10/04/2041 | | EUR | 200 | | | | 143 | |
Reg. S, 1.00%, 03/01/2028 | | EUR | 300 | | | | 296 | |
Reg. S, 1.25%, 05/27/2036 | | EUR | 140 | | | | 121 | |
Reg. S, 1.50%, 04/27/2038 | | EUR | 440 | | | | 385 | |
Reg. S, 1.50%, 06/15/2039 | | EUR | 160 | | | | 137 | |
Reg. S, 2.75%, 12/17/2029 | | EUR | 1,000 | | | | 1,064 | |
5.20%, 03/31/2025 | | CAD | 1,000 | | | | 760 | |
Netherlands Government Bond, (Netherlands), | | | | | | | | |
Reg. S, 0.00%, 01/15/2026 (e) | | EUR | 1,100 | | | | 1,111 | |
Reg. S, 0.00%, 01/15/2027 (e) | | EUR | 1,890 | | | | 1,864 | |
0.00%, 01/15/2029 | | EUR | 1,030 | | | | 966 | |
Reg. S, 0.00%, 07/15/2030 (e) | | EUR | 1,014 | | | | 918 | |
Reg. S, 0.00%, 07/15/2031 (e) | | EUR | 2,977 | | | | 2,626 | |
Reg. S, 0.00%, 01/15/2038 (e) | | EUR | 1,552 | | | | 1,136 | |
Reg. S, 0.00%, 01/15/2052 (e) | | EUR | 2,094 | | | | 1,110 | |
Reg. S, 0.25%, 07/15/2025 (e) | | EUR | 2,884 | | | | 2,968 | |
Reg. S, 0.25%, 07/15/2029 (e) | | EUR | 799 | | | | 754 | |
Reg. S, 0.50%, 07/15/2026 (e) | | EUR | 2,290 | | | | 2,320 | |
Reg. S, 0.50%, 07/15/2032 (e) | | EUR | 2,160 | | | | 1,947 | |
Reg. S, 0.50%, 01/15/2040 (e) | | EUR | 1,720 | | | | 1,321 | |
Reg. S, 0.75%, 07/15/2027 (e) | | EUR | 1,913 | | | | 1,923 | |
Reg. S, 0.75%, 07/15/2028 (e) | | EUR | 2,650 | | | | 2,619 | |
Reg. S, 2.00%, 01/15/2054 (e) | | EUR | 770 | | | | 729 | |
Reg. S, 2.50%, 01/15/2033 (e) | | EUR | 2,288 | | | | 2,456 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | |
Reg. S, 2.75%, 01/15/2047 (e) | | EUR | 1,868 | | | | 2,073 | |
Reg. S, 3.75%, 01/15/2042 (e) | | EUR | 1,881 | | | | 2,352 | |
Reg. S, 4.00%, 01/15/2037 (e) | | EUR | 974 | | | | 1,207 | |
Reg. S, 5.50%, 01/15/2028 (e) | | EUR | 1,366 | | | | 1,657 | |
New South Wales Treasury Corp., (Australia), | | | | | | | | |
Reg. S, 2.00%, 03/20/2031 | | AUD | 200 | | | | 112 | |
Reg. S, 2.00%, 03/08/2033 | | AUD | 100 | | | | 53 | |
Reg. S, 2.50%, 11/22/2032 | | AUD | 50 | | | | 28 | |
Reg. S, 3.00%, 02/20/2030 | | AUD | 200 | | | | 122 | |
New Zealand Government Bond, (New Zealand), | | | | | | | | |
Series 425, Reg. S, 2.75%, 04/15/2025 | | NZD | 170 | | | | 100 | |
Series 429, 3.00%, 04/20/2029 | | NZD | 110 | | | | 62 | |
Series 528, 0.25%, 05/15/2028 | | NZD | 700 | | | | 349 | |
Series 532, 2.00%, 05/15/2032 | | NZD | 80 | | | | 40 | |
Series 551, 2.75%, 05/15/2051 | | NZD | 40 | | | | 17 | |
New Zealand Local Government Funding Agency Bond, (New Zealand), | | | | | | | | |
Reg. S, 2.00%, 04/15/2037 | | NZD | 250 | | | | 103 | |
3.50%, 04/14/2033 | | NZD | 300 | | | | 159 | |
Northern Territory Treasury Corp., (Australia), Reg. S, 2.00%, 04/21/2031 | | AUD | 300 | | | | 166 | |
Norway Government Bond, (Norway), | | | | | | | | |
Series 476, Reg. S, 3.00%, 03/14/2024 (e) | | NOK | 6,073 | | | | 562 | |
Series 477, Reg. S, 1.75%, 03/13/2025 (e) | | NOK | 6,500 | | | | 582 | |
Series 478, Reg. S, 1.50%, 02/19/2026 (e) | | NOK | 4,500 | | | | 393 | |
Series 479, Reg. S, 1.75%, 02/17/2027 (e) | | NOK | 3,070 | | | | 266 | |
Series 480, Reg. S, 2.00%, 04/26/2028 (e) | | NOK | 6,510 | | | | 558 | |
Series 481, Reg. S, 1.75%, 09/06/2029 (e) | | NOK | 3,040 | | | | 252 | |
Series 482, Reg. S, 1.38%, 08/19/2030 (e) | | NOK | 7,050 | | | | 561 | |
Series 483, Reg. S, 1.25%, 09/17/2031 (e) | | NOK | 7,444 | | | | 575 | |
Series 484, Reg. S, 2.13%, 05/18/2032 (e) | | NOK | 5,867 | | | | 482 | |
Series 485, Reg. S, 3.50%, 10/06/2042 (e) | | NOK | 1,280 | | | | 122 | |
Series 486, Reg. S, 3.00%, 08/15/2033 (e) | | NOK | 1,400 | | | | 123 | |
OMERS Finance Trust, (Canada), 0.45%, 05/13/2025 (e) | | EUR | 250 | | | | 256 | |
Reg. S, 0.45%, 05/13/2025 | | EUR | 2,700 | | | | 2,762 | |
Ontario Electricity Financial Corp., (Canada), Series 40, Zero Coupon, 04/11/2031 | | | CAD 1,500 | | | | 821 | |
Ontario Teachers’ Finance Trust, (Canada), | | | | | | | | |
Reg. S, 0.50%, 05/06/2025 | | EUR | 6,800 | | | | 6,962 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 128 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Foreign Government Securities — continued | | | | | |
Reg. S, 0.90%, 05/20/2041 | | EUR | 1,650 | | | | 1,175 | |
Reg. S, 1.85%, 05/03/2032 | | EUR | 10,000 | | | | 9,498 | |
Reg. S, 3.30%, 10/05/2029 | | EUR | 800 | | | | 857 | |
Panama Government International Bond, (Panama), | | | | | | | | |
3.30%, 01/19/2033 | | | 400 | | | | 334 | |
4.50%, 01/19/2063 | | | 400 | | | | 292 | |
Peruvian Government International Bond, (Peru), 1.25%, 03/11/2033 | | EUR | 2,000 | | | | 1,637 | |
Reg. S, 1.95%, 11/17/2036 | | EUR | 1,000 | | | | 787 | |
Reg. S, 2.75%, 01/30/2026 | | EUR | 825 | | | | 870 | |
2.78%, 01/23/2031 | | | 110 | | | | 94 | |
3.00%, 01/15/2034 | | | 570 | | | | 473 | |
3.23%, 07/28/2121 | | | 25 | | | | 15 | |
3.55%, 03/10/2051 | | | 75 | | | | 56 | |
Reg. S, 6.90%, 08/12/2037 | | PEN | 1,000 | | | | 271 | |
Philippine Government International Bond, (Philippines), | | | | | | | | |
1.20%, 04/28/2033 | | EUR | 5,000 | | | | 4,149 | |
1.65%, 06/10/2031 | | | 200 | | | | 157 | |
1.75%, 04/28/2041 | | EUR | 1,000 | | | | 706 | |
3.20%, 07/06/2046 | | | 200 | | | | 147 | |
5.61%, 04/13/2033 | | | 700 | | | | 738 | |
9.50%, 02/02/2030 | | | 100 | | | | 125 | |
Portugal Obrigacoes do Tesouro OT, (Portugal), | | | | | | | | |
Reg. S, 0.30%, 10/17/2031 (e) | | EUR | 1,092 | | | | 954 | |
Reg. S, 0.48%, 10/18/2030 (e) | | EUR | 377 | | | | 344 | |
Reg. S, 0.70%, 10/15/2027 (e) | | EUR | 1,675 | | | | 1,663 | |
Reg. S, 0.90%, 10/12/2035 (e) | | EUR | 861 | | | | 705 | |
Reg. S, 1.00%, 04/12/2052 (e) | | EUR | 530 | | | | 317 | |
Reg. S, 1.15%, 04/11/2042 (e) | | EUR | 395 | | | | 293 | |
Reg. S, 1.65%, 07/16/2032 (e) | | EUR | 1,210 | | | | 1,167 | |
Reg. S, 1.95%, 06/15/2029 (e) | | EUR | 1,803 | | | | 1,857 | |
Reg. S, 2.13%, 10/17/2028 (e) | | EUR | 1,047 | | | | 1,095 | |
Reg. S, 2.88%, 10/15/2025 (e) | | EUR | 1,500 | | | | 1,631 | |
Reg. S, 2.88%, 07/21/2026 (e) | | EUR | 1,710 | | | | 1,861 | |
Reg. S, 3.50%, 06/18/2038 (e) | | EUR | 700 | | | | 762 | |
Reg. S, 3.88%, 02/15/2030 (e) | | EUR | 1,020 | | | | 1,170 | |
Reg. S, 4.10%, 04/15/2037 (e) | | EUR | 837 | | | | 974 | |
Reg. S, 4.10%, 02/15/2045 (e) | | EUR | 640 | | | | 759 | |
Reg. S, 4.13%, 04/14/2027 (e) | | EUR | 480 | | | | 545 | |
Series 15Y, Reg. S, 2.25%, 04/18/2034 (e) | | EUR | 656 | | | | 649 | |
Province of Alberta Canada, (Canada), | | | | | | | | |
Reg. S, 1.40%, 02/20/2029 | | SEK | 2,000 | | | | 159 | |
2.20%, 06/01/2026 | | CAD | 600 | | | | 426 | |
Province of British Columbia Canada, (Canada), | | | | | | | | |
2.80%, 06/18/2048 | | CAD | 400 | | | | 241 | |
7.25%, 09/01/2036 | | | 300 | | | | 378 | |
7.88%, 11/30/2023 | | CAD | 620 | | | | 471 | |
Province of Manitoba Canada, (Canada), 2.75%, 06/02/2029 | | CAD | 500 | | | | 353 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | |
Province of Nova Scotia Canada, (Canada), 3.45%, 06/01/2045 | | CAD | 200 | | | | 134 | |
Province of Ontario Canada, (Canada), | | | | | | | | |
Reg. S, 0.01%, 11/25/2030 | | EUR | 3,000 | | | | 2,563 | |
Reg. S, 0.25%, 12/15/2026 | | GBP | 1,900 | | | | 1,997 | |
Reg. S, 0.25%, 06/09/2031 | | EUR | 3,000 | | | | 2,563 | |
Reg. S, 0.50%, 12/15/2023 | | GBP | 500 | | | | 620 | |
Reg. S, 0.63%, 04/17/2025 | | EUR | 400 | | | | 412 | |
Reg. S, 0.88%, 01/21/2025 | | EUR | 1,000 | | | | 1,042 | |
5.60%, 06/02/2035 | | CAD | 300 | | | | 260 | |
Province of Quebec Canada, (Canada), | | | | | | | | |
Reg. S, 0.25%, 05/05/2031 | | EUR | 8,000 | | | | 6,883 | |
Reg. S, 0.50%, 01/25/2032 | | EUR | 3,000 | | | | 2,578 | |
Reg. S, 0.88%, 05/04/2027 | | EUR | 3,500 | | | | 3,459 | |
Reg. S, 0.88%, 07/05/2028 | | EUR | 1,025 | | | | 987 | |
Reg. S, 2.38%, 01/22/2024 | | EUR | 425 | | | | 460 | |
3.50%, 12/01/2045 | | CAD | 200 | | | | 137 | |
Series PD, 7.50%, 09/15/2029 | | | 100 | | | | 116 | |
Province of Saskatchewan Canada, (Canada), 3.30%, 06/02/2048 | | CAD | 400 | | | | 263 | |
Queensland Treasury Corp., (Australia), | | | | | | | | |
Reg. S, 1.75%, 08/21/2031 (e) | | AUD | 600 | | | | 326 | |
Series 27, Reg. S, 2.75%, 08/20/2027 (e) | | AUD | 400 | | | | 251 | |
Regiao Autonoma Madeira, (Portugal), 0.94%, 05/29/2032 | | EUR | 200 | | | | 175 | |
Regie Autonome des Transports Parisiens, (France), | | | | | | | | |
Reg. S, 0.38%, 06/15/2024 | | EUR | 300 | | | | 317 | |
Reg. S, 0.40%, 12/19/2036 | | EUR | 567 | | | | 533 | |
Reg. S, 0.88%, 05/25/2027 | | EUR | 100 | | | | 99 | |
Reg. S, 1.75%, 05/25/2031 | | EUR | 500 | | | | 490 | |
Reg. S, 1.88%, 05/25/2032 | | EUR | 100 | | | | 97 | |
Region of Ile de France, (France), | | | | | | | | |
Reg. S, 0.00%, 04/20/2028 | | EUR | 200 | | | | 187 | |
Reg. S, 0.50%, 06/14/2025 | | EUR | 200 | | | | 205 | |
Reg. S, 0.63%, 04/23/2027 | | EUR | 200 | | | | 197 | |
Reg. S, 2.23%, 07/19/2032 | | EUR | 200 | | | | 199 | |
Region Wallonne Belgium, (Belgium), | | | | | | | | |
Reg. S, 0.25%, 05/03/2026 | | EUR | 300 | | | | 299 | |
Reg. S, 0.38%, 10/22/2031 | | EUR | 100 | | | | 86 | |
Reg. S, 0.50%, 06/22/2037 | | EUR | 100 | | | | 73 | |
Reg. S, 1.05%, 06/22/2040 | | EUR | 100 | | | | 73 | |
Reg. S, 1.25%, 05/03/2034 | | EUR | 200 | | | | 174 | |
Reg. S, 1.38%, 04/06/2032 | | EUR | 200 | | | | 185 | |
Reg. S, 3.25%, 06/22/2033 | | EUR | 600 | | | | 641 | |
Reg. S, 3.50%, 03/15/2043 | | EUR | 100 | | | | 105 | |
Republic of Austria Government Bond, (Austria), | | | | | | | | |
Reg. S, 0.00%, 07/15/2024 (e) | | EUR | 280 | | | | 295 | |
Reg. S, 0.00%, 04/20/2025 (e) | | EUR | 1,300 | | | | 1,337 | |
Reg. S, 0.00%, 10/20/2028 (e) | | EUR | 490 | | | | 457 | |
Reg. S, 0.00%, 02/20/2030 (e) | | EUR | 1,178 | | | | 1,058 | |
Reg. S, 0.00%, 02/20/2031 (e) | | EUR | 2,094 | | | | 1,823 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 129 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Foreign Government Securities — continued | | | | | |
Reg. S, 0.00%, 10/20/2040 (e) | | EUR | 460 | | | | 297 | |
Reg. S, 0.25%, 10/20/2036 (e) | | EUR | 1,450 | | | | 1,099 | |
Reg. S, 0.50%, 04/20/2027 (e) | | EUR | 1,100 | | | | 1,093 | |
Reg. S, 0.50%, 02/20/2029 (e) | | EUR | 1,219 | | | | 1,161 | |
Reg. S, 0.70%, 04/20/2071 (e) | | EUR | 451 | | | | 222 | |
Reg. S, 0.75%, 10/20/2026 (e) | | EUR | 1,000 | | | | 1,013 | |
Reg. S, 0.75%, 02/20/2028 (e) | | EUR | 2,740 | | | | 2,701 | |
Reg. S, 0.75%, 03/20/2051 (e) | | EUR | 1,362 | | | | 861 | |
Reg. S, 0.85%, 06/30/2120 (e) | | EUR | 300 | | | | 134 | |
Reg. S, 0.90%, 02/20/2032 (e) | | EUR | 1,890 | | | | 1,737 | |
Reg. S, 1.20%, 10/20/2025 (e) | | EUR | 1,760 | | | | 1,837 | |
Reg. S, 1.50%, 02/20/2047 (e) | | EUR | 895 | | | | 718 | |
Reg. S, 1.50%, 11/02/2086 (e) | | EUR | 190 | | | | 124 | |
Reg. S, 1.85%, 05/23/2049 (e) | | EUR | 570 | | | | 488 | |
Reg. S, 2.00%, 07/15/2026 (e) | | EUR | 270 | | | | 285 | |
Reg. S, 2.10%, 09/20/2117 (e) | | EUR | 756 | | | | 604 | |
Reg. S, 2.40%, 05/23/2034 (e) | | EUR | 673 | | | | 690 | |
Reg. S, 2.90%, 02/20/2033 (e) | | EUR | 690 | | | | 744 | |
Reg. S, 3.15%, 06/20/2044 (e) | | EUR | 948 | | | | 1,047 | |
Reg. S, 3.15%, 10/20/2053 (e) | | EUR | 300 | | | | 331 | |
Reg. S, 3.80%, 01/26/2062 (e) | | EUR | 370 | | | | 471 | |
Reg. S, 4.15%, 03/15/2037 (e) | | EUR | 1,195 | | | | 1,452 | |
Reg. S, 4.85%, 03/15/2026 (e) | | EUR | 1,661 | | | | 1,890 | |
Reg. S, 6.25%, 07/15/2027 | | EUR | 133 | | | | 162 | |
Series 1, Reg. S, 1.65%, 10/21/2024 (e) | | EUR | 1,468 | | | | 1,567 | |
Republic of Austria Government International Bond, (Austria), Reg. S, 5.38%, 12/01/2034 (e) | | CAD | 200 | | | | 166 | |
Republic of Italy Government International Bond, (Italy), | | | | | | | | |
1.25%, 02/17/2026 | | | 2,000 | | | | 1,785 | |
2.88%, 10/17/2029 | | | 200 | | | | 174 | |
Reg. S, (ICE EURIBOR Swap Rate 30 Year + 0.00%), 4.25%, 06/28/2029 (aa) | | | EUR 1,000 | | | | 1,116 | |
Reg. S, 5.13%, 07/31/2024 | | EUR | 520 | | | | 573 | |
5.20%, 07/31/2034 | | EUR | 200 | | | | 232 | |
Reg. S, 6.00%, 08/04/2028 | | GBP | 1,050 | | | | 1,297 | |
Republic of Poland Government Bond, (Poland), | | | | | | | | |
Series 424, 2.50%, 04/25/2024 | | PLN | 1,639 | | | | 392 | |
Series 425, 0.75%, 04/25/2025 | | PLN | 1,810 | | | | 407 | |
Series 428, 2.75%, 04/25/2028 | | PLN | 6,310 | | | | 1,363 | |
Series 429, 5.75%, 04/25/2029 | | PLN | 530 | | | | 131 | |
Series 432, 1.75%, 04/25/2032 | | PLN | 4,323 | | | | 775 | |
Series 447, 4.00%, 04/25/2047 | | PLN | 373 | | | | 71 | |
Series 725, 3.25%, 07/25/2025 | | PLN | 4,160 | | | | 973 | |
Series 726, 2.50%, 07/25/2026 | | PLN | 4,870 | | | | 1,092 | |
Series 727, 2.50%, 07/25/2027 | | PLN | 8,450 | | | | 1,844 | |
Series 1024, 2.25%, 10/25/2024 | | PLN | 5,960 | | | | 1,398 | |
Series 1026, 0.25%, 10/25/2026 | | PLN | 6,040 | | | | 1,246 | |
Series 1029, 2.75%, 10/25/2029 | | PLN | 3,773 | | | | 790 | |
Series 1030, 1.25%, 10/25/2030 | | PLN | 4,143 | | | | 759 | |
Series 1033, 6.00%, 10/25/2033 | | PLN | 1,730 | | | | 432 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | |
Republic of Poland Government International Bond, (Poland), | | | | | | | | |
Reg. S, 0.00%, 07/07/2023 | | EUR | 425 | | | | 463 | |
Reg. S, 0.00%, 02/10/2025 | | EUR | 160 | | | | 164 | |
Reg. S, 0.88%, 05/10/2027 | | EUR | 1,900 | | | | 1,878 | |
Reg. S, 1.13%, 08/07/2026 | | EUR | 1,825 | | | | 1,860 | |
Reg. S, 1.38%, 10/22/2027 | | EUR | 6,000 | | | | 5,976 | |
Reg. S, 2.00%, 03/08/2049 | | EUR | 53 | | | | 39 | |
Reg. S, 2.38%, 01/18/2036 | | EUR | 1,000 | | | | 906 | |
Reg. S, 2.75%, 05/25/2032 | | EUR | 3,000 | | | | 2,988 | |
Reg. S, 4.25%, 02/14/2043 | | EUR | 5,000 | | | | 5,360 | |
Reg. S, 5.25%, 01/20/2025 | | EUR | 1,000 | | | | 1,113 | |
Romania Government Bond, (Romania), | | | | | | | | |
Series 5Y, 3.25%, 06/24/2026 | | RON | 2,215 | | | | 445 | |
Series 5Y, 3.65%, 07/28/2025 | | RON | 9,970 | | | | 2,078 | |
Series 5Y, 4.25%, 04/28/2036 | | RON | 1,215 | | | | 207 | |
Series 7Y, 2.50%, 10/25/2027 | | RON | 1,350 | | | | 251 | |
Series 8Y, 4.15%, 01/26/2028 | | RON | 1,930 | | | | 382 | |
Series 10YR, 4.15%, 10/24/2030 | | RON | 3,055 | | | | 569 | |
Series 10Y, 6.70%, 02/25/2032 | | RON | 3,130 | | | | 683 | |
Series 10Y, 8.25%, 09/29/2032 | | RON | 3,330 | | | | 802 | |
Romanian Government International Bond, (Romania), | | | | | | | | |
Reg. S, 1.38%, 12/02/2029 | | EUR | 2,000 | | | | 1,689 | |
Reg. S, 1.75%, 07/13/2030 | | EUR | 1,000 | | | | 830 | |
Reg. S, 2.00%, 04/14/2033 | | EUR | 1,500 | | | | 1,153 | |
Reg. S, 2.12%, 07/16/2031 | | EUR | 3,000 | | | | 2,477 | |
Reg. S, 2.13%, 03/07/2028 | | EUR | 3,000 | | | | 2,836 | |
Reg. S, 2.38%, 04/19/2027 | | EUR | 2,000 | | | | 1,989 | |
Reg. S, 2.63%, 12/02/2040 | | EUR | 1,000 | | | | 662 | |
Reg. S, 2.75%, 10/29/2025 | | EUR | 6,000 | | | | 6,326 | |
Reg. S, 2.75%, 02/26/2026 | | EUR | 15 | | | | 16 | |
Reg. S, 2.75%, 04/14/2041 | | EUR | 800 | | | | 534 | |
Reg. S, 2.88%, 10/28/2024 | | EUR | 1,475 | | | | 1,582 | |
Reg. S, 2.88%, 04/13/2042 | | EUR | 1,000 | | | | 668 | |
Reg. S, 3.38%, 02/08/2038 | | EUR | 1,425 | | | | 1,115 | |
Reg. S, 3.38%, 01/28/2050 | | EUR | 1,265 | | | | 862 | |
Reg. S, 3.62%, 05/26/2030 | | EUR | 1,875 | | | | 1,790 | |
Reg. S, 3.75%, 02/07/2034 | | EUR | 1,000 | | | | 880 | |
Reg. S, 3.88%, 10/29/2035 | | EUR | 5,000 | | | | 4,312 | |
Reg. S, 5.00%, 09/27/2026 | | EUR | 1,000 | | | | 1,094 | |
Reg. S, 6.63%, 09/27/2029 | | EUR | 2,000 | | | | 2,262 | |
Saudi Government International Bond, (Saudi Arabia), | | | | | | | | |
Reg. S, 0.75%, 07/09/2027 | | EUR | 2,200 | | | | 2,121 | |
Reg. S, 2.00%, 07/09/2039 | | EUR | 1,200 | | | | 936 | |
SFIL SA, (France), | | | | | | | | |
Reg. S, 0.05%, 06/04/2029 | | EUR | 800 | | | | 723 | |
Reg. S, 1.50%, 03/05/2032 | | EUR | 300 | | | | 285 | |
Singapore Government Bond, (Singapore), | | | | | | | | |
1.88%, 03/01/2050 | | SGD | 53 | | | | 35 | |
2.13%, 06/01/2026 | | SGD | 134 | | | | 96 | |
2.38%, 07/01/2039 | | SGD | 60 | | | | 42 | |
2.75%, 03/01/2046 | | SGD | 60 | | | | 46 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 130 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Foreign Government Securities — continued | | | | | |
2.88%, 07/01/2029 | | SGD | 150 | | | | 109 | |
2.88%, 09/01/2030 | | SGD | 1,215 | | | | 885 | |
3.38%, 09/01/2033 | | SGD | 340 | | | | 258 | |
Slovakia Government Bond, (Slovakia), | | | | | | | | |
Series 231, 0.63%, 05/22/2026 | | EUR | 860 | | | | 863 | |
Series 232, Reg. S, 1.88%, 03/09/2037 | | EUR | 160 | | | | 138 | |
Series 233, Reg. S, 2.00%, 10/17/2047 | | EUR | 280 | | | | 216 | |
Series 234, Reg. S, 1.00%, 06/12/2028 | | EUR | 700 | | | | 679 | |
Series 235, Reg. S, 2.25%, 06/12/2068 | | EUR | 99 | | | | 76 | |
Series 236, Reg. S, 0.75%, 04/09/2030 | | EUR | 420 | | | | 381 | |
Series 238, Reg. S, 0.25%, 05/14/2025 | | EUR | 690 | | | | 706 | |
Series 239, Reg. S, 1.00%, 05/14/2032 | | EUR | 718 | | | | 629 | |
Series 241, Reg. S, 0.13%, 06/17/2027 | | EUR | 162 | | | | 155 | |
Series 242, Reg. S, 0.38%, 04/21/2036 | | EUR | 379 | | | | 269 | |
Series 243, Reg. S, 1.00%, 10/13/2051 | | EUR | 280 | | | | 159 | |
Series 244, Reg. S, 4.00%, 10/19/2032 | | EUR | 80 | | | | 89 | |
Series 245, Reg. S, 3.75%, 02/23/2035 | | EUR | 840 | | | | 905 | |
Slovenia Government Bond, (Slovenia), | | | | | | | | |
Series RS66, Reg. S, 4.63%, 09/09/2024 | | EUR | 319 | | | | 356 | |
Series RS70, Reg. S, 5.13%, 03/30/2026 | | EUR | 470 | | | | 537 | |
Series RS74, Reg. S, 1.50%, 03/25/2035 | | EUR | 120 | | | | 105 | |
Series RS76, Reg. S, 3.13%, 08/07/2045 | | EUR | 160 | | | | 162 | |
Series RS77, Reg. S, 2.25%, 03/03/2032 | | EUR | 130 | | | | 131 | |
Series RS78, Reg. S, 1.75%, 11/03/2040 | | EUR | 212 | | | | 175 | |
Series RS80, Reg. S, 1.00%, 03/06/2028 | | EUR | 500 | | | | 490 | |
Series RS82, Reg. S, 0.28%, 01/14/2030 | | EUR | 586 | | | | 526 | |
Series RS84, Reg. S, 0.88%, 07/15/2030 | | EUR | 190 | | | | 176 | |
Series RS85, Reg. S, 0.49%, 10/20/2050 | | EUR | 190 | | | | 99 | |
Series RS87, Reg. S, 0.69%, 03/03/2081 | | EUR | 121 | | | | 58 | |
Series RS91, Reg. S, 3.63%, 03/11/2033 | | EUR | 760 | | | | 855 | |
SNCF Reseau, (France), | | | | | | | | |
Reg. S, 0.88%, 01/22/2029 | | EUR | 200 | | | | 191 | |
Reg. S, 1.00%, 11/09/2031 | | EUR | 300 | | | | 273 | |
Reg. S, 1.13%, 05/19/2027 | | EUR | 500 | | | | 501 | |
Reg. S, 1.13%, 05/25/2030 | | EUR | 500 | | | | 475 | |
Reg. S, 1.50%, 05/29/2037 | | EUR | 300 | | | | 256 | |
Reg. S, 2.00%, 11/12/2026 | | CHF | 300 | | | | 336 | |
Reg. S, 2.00%, 02/05/2048 | | EUR | 100 | | | | 78 | |
Reg. S, 2.25%, 12/20/2047 | | EUR | 100 | | | | 83 | |
Reg. S, 3.13%, 10/25/2028 | | EUR | 500 | | | | 540 | |
4.70%, 06/01/2035 | | CAD | 100 | | | | 79 | |
Reg. S, 4.83%, 03/25/2060 | | GBP | 2,000 | | | | 2,438 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | |
Reg. S, 5.00%, 10/10/2033 | | EUR | 200 | | | | 247 | |
Reg. S, 5.00%, 03/11/2052 | | GBP | 145 | | | | 178 | |
Reg. S, 5.25%, 12/07/2028 | | GBP | 300 | | | | 378 | |
Societe Du Grand Paris EPIC, (France), | | | | | | | | |
Reg. S, 0.00%, 11/25/2030 | | EUR | 400 | | | | 344 | |
Reg. S, 0.30%, 09/02/2036 | | EUR | 200 | | | | 145 | |
Reg. S, 0.70%, 10/15/2060 | | EUR | 300 | | | | 128 | |
Reg. S, 0.88%, 05/10/2046 | | EUR | 100 | | | | 62 | |
Reg. S, 1.00%, 11/26/2051 | | EUR | 200 | | | | 115 | |
Reg. S, 1.13%, 10/22/2028 | | EUR | 700 | | | | 685 | |
Reg. S, 1.13%, 05/25/2034 | | EUR | 200 | | | | 173 | |
Reg. S, 1.70%, 05/25/2050 | | EUR | 300 | | | | 219 | |
Reg. S, 3.50%, 05/25/2043 | | EUR | 500 | | | | 530 | |
Reg. S, 3.70%, 05/25/2053 | | EUR | 200 | | | | 218 | |
Societe Nationale SNCF SA, (France), | | | | | | | | |
Reg. S, 0.63%, 04/17/2030 | | EUR | 500 | | | | 455 | |
Reg. S, 1.00%, 05/25/2040 | | EUR | 100 | | | | 72 | |
Reg. S, 1.00%, 01/19/2061 | | EUR | 100 | | | | 46 | |
Reg. S, 1.50%, 02/02/2029 | | EUR | 300 | | | | 296 | |
Reg. S, 3.38%, 05/25/2033 | | EUR | 200 | | | | 218 | |
Reg. S, 5.38%, 03/18/2027 | | GBP | 400 | | | | 499 | |
South Australian Government Financing Authority, (Australia), Reg. S, 2.00%, 05/23/2036 | | AUD | 89 | | | | 43 | |
Spain Government Bond, (Spain), | | | | | | | | |
Reg. S, 0.00%, 01/31/2025 (e) | | EUR | 5,469 | | | | 5,651 | |
Reg. S, 0.00%, 05/31/2025 (e) | | EUR | 2,600 | | | | 2,656 | |
Reg. S, 0.00%, 01/31/2026 (e) | | EUR | 3,200 | | | | 3,205 | |
Reg. S, 0.00%, 01/31/2027 (e) | | EUR | 1,730 | | | | 1,680 | |
Reg. S, 0.00%, 01/31/2028 (e) | | EUR | 3,878 | | | | 3,653 | |
Reg. S, 0.10%, 04/30/2031 (e) | | EUR | 1,030 | | | | 881 | |
Reg. S, 0.50%, 04/30/2030 (e) | | EUR | 6,473 | | | | 5,895 | |
Reg. S, 0.50%, 10/31/2031 (e) | | EUR | 3,588 | | | | 3,128 | |
Reg. S, 0.60%, 10/31/2029 (e) | | EUR | 980 | | | | 911 | |
Reg. S, 0.70%, 04/30/2032 (e) | | EUR | 2,660 | | | | 2,330 | |
Reg. S, 0.80%, 07/30/2027 (e) | | EUR | 3,441 | | | | 3,405 | |
Reg. S, 0.80%, 07/30/2029 (e) | | EUR | 1,100 | | | | 1,040 | |
Reg. S, 0.85%, 07/30/2037 (e) | | EUR | 4,393 | | | | 3,339 | |
Reg. S, 1.00%, 07/30/2042 (e) | | EUR | 1,293 | | | | 887 | |
Reg. S, 1.00%, 10/31/2050 (e) | | EUR | 2,900 | | | | 1,688 | |
Reg. S, 1.20%, 10/31/2040 (e) | | EUR | 2,511 | | | | 1,866 | |
Reg. S, 1.25%, 10/31/2030 (e) | | EUR | 2,458 | | | | 2,334 | |
Reg. S, 1.30%, 10/31/2026 (e) | | EUR | 1,651 | | | | 1,690 | |
Reg. S, 1.40%, 04/30/2028 (e) | | EUR | 3,456 | | | | 3,466 | |
Reg. S, 1.40%, 07/30/2028 (e) | | EUR | 1,511 | | | | 1,509 | |
Reg. S, 1.45%, 10/31/2027 (e) | | EUR | 4,440 | | | | 4,494 | |
Reg. S, 1.45%, 04/30/2029 (e) | | EUR | 5,130 | | | | 5,078 | |
Reg. S, 1.45%, 10/31/2071 (e) | | EUR | 549 | | | | 289 | |
Reg. S, 1.50%, 04/30/2027 (e) | | EUR | 1,325 | | | | 1,355 | |
Reg. S, 1.60%, 04/30/2025 (e) | | EUR | 2,810 | | | | 2,966 | |
Reg. S, 1.85%, 07/30/2035 (e) (ee) | | EUR | 2,233 | | | | 2,042 | |
Reg. S, 1.90%, 10/31/2052 (e) | | EUR | 1,212 | | | | 874 | |
Reg. S, 1.95%, 04/30/2026 (e) | | EUR | 2,228 | | | | 2,340 | |
Reg. S, 1.95%, 07/30/2030 (e) | | EUR | 1,340 | | | | 1,344 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 131 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Foreign Government Securities — continued | | | | | |
Reg. S, 2.15%, 10/31/2025 (e) | | EUR | 3,525 | | | | 3,745 | |
Reg. S, 2.35%, 07/30/2033 (e) | | EUR | 2,091 | | | | 2,079 | |
Reg. S, 2.55%, 10/31/2032 (e) | | EUR | 3,290 | | | | 3,363 | |
Reg. S, 2.80%, 05/31/2026 (e) | | EUR | 1,600 | | | | 1,717 | |
Reg. S, 2.90%, 10/31/2046 (e) | | EUR | 1,463 | | | | 1,379 | |
Reg. S, 3.15%, 04/30/2033 (e) | | EUR | 4,020 | | | | 4,298 | |
Reg. S, 3.45%, 07/30/2043 (e) | | EUR | 1,480 | | | | 1,531 | |
Reg. S, 3.45%, 07/30/2066 (e) | | EUR | 1,660 | | | | 1,640 | |
Reg. S, 4.20%, 01/31/2037 (e) | | EUR | 773 | | | | 898 | |
Reg. S, 4.65%, 07/30/2025 (e) | | EUR | 1,956 | | | | 2,185 | |
Reg. S, 4.70%, 07/30/2041 (e) | | EUR | 1,404 | | | | 1,727 | |
Reg. S, 4.90%, 07/30/2040 (e) | | EUR | 2,689 | | | | 3,374 | |
Reg. S, 5.15%, 10/31/2028 (e) | | EUR | 1,476 | | | | 1,758 | |
Reg. S, 5.15%, 10/31/2044 (e) | | EUR | 1,421 | | | | 1,856 | |
5.75%, 07/30/2032 | | EUR | 1,706 | | | | 2,215 | |
Reg. S, 5.90%, 07/30/2026 (e) | | EUR | 2,920 | | | | 3,419 | |
6.00%, 01/31/2029 | | EUR | 1,780 | | | | 2,212 | |
Series 5YR, Reg. S, 0.25%, 07/30/2024 (e) | | EUR | 1,223 | | | | 1,287 | |
Series 30Y, Reg. S, 2.70%, 10/31/2048 (e) | | EUR | 2,634 | | | | 2,364 | |
State of Brandenburg, (Germany), | | | | | | | | |
Reg. S, 0.13%, 01/26/2046 | | EUR | 259 | | | | 145 | |
Reg. S, 1.45%, 11/26/2038 | | EUR | 180 | | | | 155 | |
Reg. S, 2.50%, 01/25/2029 | | EUR | 200 | | | | 211 | |
Reg. S, 3.00%, 02/27/2032 | | EUR | 200 | | | | 218 | |
State of Bremen, (Germany), | | | | | | | | |
Series 215, Reg. S, 1.20%, 01/30/2034 | | EUR | 40 | | | | 36 | |
Series 224, Reg. S, 0.40%, 08/20/2049 | | EUR | 30 | | | | 17 | |
Series 232, Reg. S, 0.55%, 02/04/2050 | | EUR | 30 | | | | 17 | |
Series 247, Reg. S, 0.15%, 09/14/2040 | | EUR | 210 | | | | 137 | |
Series 250, Reg. S, 0.01%, 10/06/2028 | | EUR | 640 | | | | 593 | |
Series 258, Reg. S, 0.50%, 05/06/2041 | | EUR | 138 | | | | 95 | |
State of Hesse, (Germany), | | | | | | | | |
Reg. S, 0.13%, 10/10/2031 | | EUR | 203 | | | | 175 | |
Reg. S, 0.88%, 12/10/2024 | | EUR | 600 | | | | 629 | |
Series 1801, Reg. S, 0.63%, 08/02/2028 | | EUR | 230 | | | | 221 | |
Series 2006, Reg. S, 0.01%, 03/11/2030 | | EUR | 100 | | | | 89 | |
Series 2301, 2.88%, 01/10/2033 | | EUR | 800 | | | | 865 | |
State of Israel, (Israel), 3.38%, 01/15/2050 | | | 200 | | | | 150 | |
State of Lower Saxony, (Germany), | | | | | | | | |
Reg. S, 0.00%, 02/11/2027 | | EUR | 1,310 | | | | 1,269 | |
Reg. S, 0.01%, 01/10/2031 | | EUR | 479 | | | | 417 | |
Reg. S, 0.05%, 03/09/2035 | | EUR | 277 | | | | 212 | |
Reg. S, 0.38%, 05/14/2029 | | EUR | 500 | | | | 466 | |
Reg. S, 1.50%, 10/17/2029 | | EUR | 200 | | | | 199 | |
Series 884, Reg. S, 0.88%, 10/25/2028 | | EUR | 320 | | | | 311 | |
Series 898, Reg. S, 0.01%, 08/13/2030 | | EUR | 149 | | | | 131 | |
Series 901, Reg. S, 0.01%, 11/25/2027 | | EUR | 640 | | | | 607 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | |
State of North Rhine-Westphalia Germany, (Germany), | | | | | | | | |
Reg. S, 0.00%, 01/15/2029 | | EUR | 161 | | | | 148 | |
Reg. S, 0.20%, 04/09/2030 | | EUR | 694 | | | | 626 | |
Reg. S, 0.20%, 01/27/2051 | | EUR | 270 | | | | 135 | |
Reg. S, 0.38%, 09/02/2050 | | EUR | 713 | | | | 385 | |
Reg. S, 0.50%, 11/25/2039 | | EUR | 110 | | | | 79 | |
Reg. S, 0.75%, 08/16/2041 | | EUR | 360 | | | | 259 | |
Reg. S, 0.80%, 07/30/2049 | | EUR | 100 | | | | 64 | |
Reg. S, 0.90%, 11/15/2028 | | EUR | 600 | | | | 583 | |
Reg. S, 0.95%, 03/13/2028 | | EUR | 144 | | | | 142 | |
Reg. S, 0.95%, 01/10/2121 | | EUR | 195 | | | | 83 | |
Reg. S, 1.00%, 10/16/2046 | | EUR | 300 | | | | 211 | |
Reg. S, 1.38%, 01/15/2120 | | EUR | 434 | | | | 230 | |
Reg. S, 1.45%, 02/16/2043 | | EUR | 100 | | | | 81 | |
Reg. S, 1.45%, 01/19/2122 | | EUR | 150 | | | | 82 | |
Reg. S, 1.65%, 02/22/2038 | | EUR | 480 | | | | 431 | |
Reg. S, 1.65%, 05/16/2047 | | EUR | 620 | | | | 505 | |
Reg. S, 1.75%, 10/26/2057 | | EUR | 172 | | | | 132 | |
Reg. S, 1.75%, 07/11/2068 | | EUR | 104 | | | | 73 | |
Reg. S, 1.95%, 09/26/2078 | | EUR | 254 | | | | 188 | |
Reg. S, 2.13%, 06/13/2025 | | GBP | 1,000 | | | | 1,180 | |
Reg. S, 2.15%, 03/21/2119 | | EUR | 376 | | | | 286 | |
Reg. S, 2.75%, 01/15/2032 | | EUR | 430 | | | | 460 | |
Reg. S, 2.90%, 01/15/2053 | | EUR | 390 | | | | 407 | |
Reg. S, 3.40%, 03/07/2073 | | EUR | 180 | | | | 205 | |
Series 15YR, Reg. S, 0.00%, 10/12/2035 | | EUR | 654 | | | | 488 | |
Series 15YR, Reg. S, 1.10%, 03/13/2034 | | EUR | 240 | | | | 216 | |
Series 1250, Reg. S, 2.38%, 05/13/2033 | | EUR | 350 | | | | 361 | |
Series 1409, Reg. S, 0.50%, 04/16/2026 | | EUR | 980 | | | | 986 | |
Series 1439, Reg. S, 1.55%, 06/16/2048 | | EUR | 200 | | | | 158 | |
State of Rhineland-Palatinate, (Germany), | | | | | | | | |
Reg. S, 0.01%, 01/21/2031 | | EUR | 410 | | | | 357 | |
Reg. S, 0.38%, 01/26/2027 | | EUR | 220 | | | | 216 | |
Reg. S, 0.38%, 03/10/2051 | | EUR | 200 | | | | 107 | |
Reg. S, 0.75%, 01/19/2026 | | EUR | 725 | | | | 738 | |
State of Saarland, (Germany), Reg. S, 0.05%, 11/05/2040 | | EUR | 68 | | | | 44 | |
State of Saxony-Anhalt, (Germany), | | | | | | | | |
Reg. S, 0.00%, 03/10/2031 | | EUR | 280 | | | | 243 | |
0.35%, 02/09/2032 | | EUR | 100 | | | | 87 | |
Reg. S, 0.50%, 03/24/2051 | | EUR | 123 | | | | 69 | |
Series 10Y, Reg. S, 0.75%, 01/29/2029 | | EUR | 200 | | | | 192 | |
State of Schleswig-Holstein Germany, (Germany), | | | | | | | | |
Reg. S, 0.05%, 07/08/2031 | | EUR | 400 | | | | 345 | |
Reg. S, 0.13%, 06/12/2029 | | EUR | 331 | | | | 303 | |
Reg. S, 0.38%, 02/08/2027 | | EUR | 310 | | | | 305 | |
Reg. S, 0.50%, 03/22/2029 | | EUR | 140 | | | | 132 | |
Reg. S, 0.63%, 08/31/2028 | | EUR | 140 | | | | 135 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 132 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Foreign Government Securities — continued | | | | | |
State of the Grand-Duchy of Luxembourg, (Luxembourg), | | | | | | | | |
Reg. S, 0.00%, 03/24/2031 | | EUR | 103 | | | | 89 | |
Reg. S, 0.00%, 09/14/2032 | | EUR | 400 | | | | 333 | |
Reg. S, 1.38%, 05/25/2029 | | EUR | 380 | | | | 378 | |
Reg. S, 1.75%, 05/25/2042 | | EUR | 360 | | | | 317 | |
States of Guernsey Bond, (Guernsey), Reg. S, 3.38%, 12/12/2046 | | GBP | 200 | | | | 191 | |
Svensk Exportkredit AB, (Sweden), | | | | | | | | |
Zero Coupon, 05/11/2037 | | | 224 | | | | 112 | |
Reg. S, 2.00%, 06/30/2027 | | EUR | 1,000 | | | | 1,031 | |
Sweden Government Bond, (Sweden), | | | | | | | | |
Series 1053, Reg. S, 3.50%, 03/30/2039 | | SEK | 3,890 | | | | 400 | |
Series 1056, Reg. S, 2.25%, 06/01/2032 | | SEK | 9,200 | | | | 832 | |
Series 1058, Reg. S, 2.50%, 05/12/2025 (e) | | SEK | 5,100 | | | | 465 | |
Series 1059, Reg. S, 1.00%, 11/12/2026 | | SEK | 17,300 | | | | 1,499 | |
Series 1060, Reg. S, 0.75%, 05/12/2028 (e) | | SEK | 16,175 | | | | 1,362 | |
Series 1061, Reg. S, 0.75%, 11/12/2029 (e) | | SEK | 7,090 | | | | 584 | |
Series 1062, Reg. S, 0.13%, 05/12/2031 (e) | | SEK | 5,705 | | | | 436 | |
Series 1063, Reg. S, 0.50%, 11/24/2045 | | SEK | 2,100 | | | | 125 | |
Series 1064, Reg. S, 1.38%, 06/23/2071 (e) | | SEK | 570 | | | | 32 | |
Series 1065, Reg. S, 1.75%, 11/11/2033 | | SEK | 2,830 | | | | 244 | |
Swiss Confederation Government Bond, (Switzerland), | | | | | | | | |
Reg. S, 0.00%, 06/22/2029 | | CHF | 670 | | | | 705 | |
Reg. S, 0.00%, 06/26/2034 | | CHF | 1,179 | | | | 1,185 | |
Reg. S, 0.00%, 07/24/2039 | | CHF | 1,059 | | | | 1,009 | |
Reg. S, 0.50%, 05/27/2030 | | CHF | 540 | | | | 585 | |
Reg. S, 0.50%, 06/27/2032 | | CHF | 990 | | | | 1,062 | |
Reg. S, 0.50%, 06/28/2045 | | CHF | 160 | | | | 163 | |
Reg. S, 0.50%, 05/24/2055 | | CHF | 222 | | | | 221 | |
Reg. S, 0.50%, 05/30/2058 | | CHF | 160 | | | | 159 | |
Reg. S, 1.25%, 06/11/2024 | | CHF | 410 | | | | 457 | |
Reg. S, 1.25%, 05/28/2026 | | CHF | 550 | | | | 616 | |
Reg. S, 1.25%, 06/27/2037 | | CHF | 330 | | | | 381 | |
Reg. S, 1.50%, 07/24/2025 | | CHF | 190 | | | | 213 | |
Reg. S, 1.50%, 04/30/2042 | | CHF | 240 | | | | 293 | |
Reg. S, 2.00%, 06/25/2064 | | CHF | 411 | | | | 656 | |
Reg. S, 2.25%, 06/22/2031 | | CHF | 52 | | | | 64 | |
Reg. S, 3.25%, 06/27/2027 | | CHF | 510 | | | | 618 | |
Reg. S, 4.00%, 04/08/2028 | | CHF | 663 | | | | 843 | |
Reg. S, 4.00%, 01/06/2049 | | CHF | 440 | | | | 836 | |
Thailand Government Bond, (Thailand), | | | | | | | | |
1.45%, 12/17/2024 | | THB | 3,270 | | | | 91 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | |
1.59%, 12/17/2035 | | THB | 1,400 | | | | 35 | |
1.60%, 12/17/2029 | | THB | 54,000 | | | | 1,445 | |
2.13%, 12/17/2026 | | THB | 4,024 | | | | 113 | |
2.65%, 06/17/2028 | | THB | 1,000 | | | | 29 | |
2.88%, 06/17/2046 | | THB | 1,430 | | | | 38 | |
3.40%, 06/17/2036 | | THB | 4,000 | | | | 120 | |
3.45%, 06/17/2043 | | THB | 980 | | | | 29 | |
3.65%, 06/20/2031 | | THB | 3,480 | | | | 106 | |
4.00%, 06/17/2066 | | THB | 1,620 | | | | 49 | |
Tokyo Metropolitan Government, (Japan), Reg. S, 0.75%, 07/16/2025 | | | 1,000 | | | | 911 | |
Treasury Corp. of Victoria, (Australia), | | | | | | | | |
2.25%, 11/20/2034 | | AUD | 500 | | | | 257 | |
2.25%, 11/20/2041 | | AUD | 500 | | | | 214 | |
Reg. S, 2.50%, 10/22/2029 | | AUD | 200 | | | | 119 | |
Reg. S, 4.75%, 09/15/2036 | | AUD | 100 | | | | 65 | |
Tyollisyysrahasto, (Finland), 0.01%, 06/16/2027 | | EUR | 200 | | | | 191 | |
U.S. Treasury Notes, | | | | | | | | |
2.63%, 04/15/2025 | | | 2,000 | | | | 1,918 | |
4.13%, 09/30/2027 | | | 507 | | | | 504 | |
UNEDIC ASSEO, (France), | | | | | | | | |
Reg. S, 0.00%, 03/05/2030 | | EUR | 100 | | | | 89 | |
Reg. S, 0.00%, 11/19/2030 | | EUR | 200 | | | | 175 | |
Reg. S, 0.01%, 05/25/2031 | | EUR | 1,700 | | | | 1,467 | |
Reg. S, 0.10%, 11/25/2026 | | EUR | 600 | | | | 587 | |
Reg. S, 0.25%, 11/25/2029 | | EUR | 1,000 | | | | 914 | |
Reg. S, 0.25%, 07/16/2035 | | EUR | 300 | | | | 232 | |
Reg. S, 0.50%, 05/25/2036 | | EUR | 300 | | | | 231 | |
Reg. S, 0.63%, 03/03/2026 | | EUR | 100 | | | | 101 | |
Reg. S, 1.25%, 10/21/2027 | | EUR | 200 | | | | 201 | |
Reg. S, 1.25%, 05/25/2033 | | EUR | 200 | | | | 184 | |
Reg. S, 1.75%, 11/25/2032 | | EUR | 300 | | | | 293 | |
United Kingdom Gilt, (United Kingdom), | | | | | | | | |
Reg. S, 0.13%, 01/30/2026 | | GBP | 5,130 | | | | 5,744 | |
Reg. S, 0.13%, 01/31/2028 | | GBP | 6,677 | | | | 6,871 | |
Reg. S, 0.25%, 01/31/2025 | | GBP | 4,950 | | | | 5,804 | |
Reg. S, 0.25%, 07/31/2031 | | GBP | 6,396 | | | | 5,864 | |
Reg. S, 0.38%, 10/22/2026 | | GBP | 2,207 | | | | 2,401 | |
Reg. S, 0.38%, 10/22/2030 | | GBP | 5,902 | | | | 5,620 | |
Reg. S, 0.50%, 01/31/2029 | | GBP | 4,670 | | | | 4,717 | |
Reg. S, 0.50%, 10/22/2061 | | GBP | 3,012 | | | | 1,211 | |
Reg. S, 0.63%, 06/07/2025 | | GBP | 4,858 | | | | 5,650 | |
Reg. S, 0.63%, 07/31/2035 | | GBP | 6,084 | | | | 4,996 | |
Reg. S, 0.63%, 10/22/2050 | | GBP | 3,556 | | | | 1,832 | |
Reg. S, 0.88%, 10/22/2029 | | GBP | 2,750 | | | | 2,800 | |
Reg. S, 0.88%, 07/31/2033 | | GBP | 3,561 | | | | 3,240 | |
Reg. S, 0.88%, 01/31/2046 | | GBP | 2,859 | | | | 1,788 | |
Reg. S, 1.00%, 01/31/2032 | | GBP | 3,752 | | | | 3,623 | |
Reg. S, 1.13%, 01/31/2039 | | GBP | 2,046 | | | | 1,623 | |
Reg. S, 1.13%, 10/22/2073 | | GBP | 1,127 | | | | 557 | |
Reg. S, 1.25%, 07/22/2027 | | GBP | 3,271 | | | | 3,607 | |
Reg. S, 1.25%, 10/22/2041 | | GBP | 3,291 | | | | 2,508 | |
Reg. S, 1.25%, 07/31/2051 | | GBP | 3,396 | | | | 2,137 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 133 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Foreign Government Securities — continued | | | | | |
Reg. S, 1.50%, 07/22/2026 | | GBP | 4,270 | | | | 4,885 | |
Reg. S, 1.50%, 07/22/2047 | | GBP | 2,153 | | | | 1,545 | |
Reg. S, 1.50%, 07/31/2053 | | GBP | 1,940 | | | | 1,287 | |
Reg. S, 1.63%, 10/22/2028 | | GBP | 3,325 | | | | 3,625 | |
Reg. S, 1.63%, 10/22/2054 | | GBP | 2,201 | | | | 1,505 | |
Reg. S, 1.63%, 10/22/2071 | | GBP | 2,120 | | | | 1,335 | |
Reg. S, 1.75%, 09/07/2037 | | GBP | 1,989 | | | | 1,805 | |
Reg. S, 1.75%, 01/22/2049 | | GBP | 5,200 | | | | 3,909 | |
Reg. S, 1.75%, 07/22/2057 | | GBP | 3,284 | | | | 2,314 | |
Reg. S, 2.00%, 09/07/2025 | | GBP | 4,923 | | | | 5,823 | |
Reg. S, 2.50%, 07/22/2065 | | GBP | 2,112 | | | | 1,810 | |
Reg. S, 2.75%, 09/07/2024 | | GBP | 3,800 | | | | 4,679 | |
Reg. S, 3.25%, 01/31/2033 | | GBP | 3,560 | | | | 4,122 | |
Reg. S, 3.25%, 01/22/2044 | | GBP | 7,420 | | | | 7,837 | |
Reg. S, 3.50%, 01/22/2045 | | GBP | 3,387 | | | | 3,700 | |
Reg. S, 3.50%, 07/22/2068 | | GBP | 2,089 | | | | 2,307 | |
Reg. S, 3.75%, 01/29/2038 | | GBP | 6,100 | | | | 7,108 | |
Reg. S, 3.75%, 07/22/2052 | | GBP | 1,027 | | | | 1,164 | |
Reg. S, 3.75%, 10/22/2053 | | GBP | 3,040 | | | | 3,431 | |
Reg. S, 4.00%, 01/22/2060 | | GBP | 1,628 | | | | 1,975 | |
Reg. S, 4.00%, 10/22/2063 | | GBP | 990 | | | | 1,207 | |
Reg. S, 4.13%, 01/29/2027 | | GBP | 4,570 | | | | 5,599 | |
Reg. S, 4.25%, 12/07/2027 | | GBP | 2,300 | | | | 2,850 | |
Reg. S, 4.25%, 06/07/2032 | | GBP | 1,620 | | | | 2,047 | |
Reg. S, 4.25%, 03/07/2036 | | GBP | 999 | | | | 1,246 | |
Reg. S, 4.25%, 09/07/2039 | | GBP | 894 | | | | 1,101 | |
Reg. S, 4.25%, 12/07/2040 | | GBP | 2,985 | | | | 3,671 | |
Reg. S, 4.25%, 12/07/2046 | | GBP | 3,948 | | | | 4,830 | |
Reg. S, 4.25%, 12/07/2049 (ff) | | GBP | 1,387 | | | | 1,703 | |
Reg. S, 4.25%, 12/07/2055 | | GBP | 1,689 | | | | 2,107 | |
Reg. S, 4.50%, 09/07/2034 | | GBP | 1,549 | | | | 1,983 | |
Reg. S, 4.50%, 12/07/2042 | | GBP | 1,215 | | | | 1,542 | |
Reg. S, 4.75%, 12/07/2030 | | GBP | 3,076 | | | | 3,993 | |
Reg. S, 4.75%, 12/07/2038 | | GBP | 1,679 | | | | 2,192 | |
Reg. S, 5.00%, 03/07/2025 | | GBP | 1,928 | | | | 2,437 | |
Reg. S, 6.00%, 12/07/2028 | | GBP | 912 | | | | 1,227 | |
United States International Development Finance Corp., 3.37%, 10/05/2034 | | | 85 | | | | 78 | |
Uruguay Government International Bond, (Uruguay), | | | | | | | | |
4.98%, 04/20/2055 | | | 350 | | | | 340 | |
5.10%, 06/18/2050 | | | 150 | | | | 149 | |
Ville de Paris, (France), | | | | | | | | |
Reg. S, 1.38%, 11/20/2034 | | EUR | 100 | | | | 88 | |
Reg. S, 1.63%, 02/02/2033 | | EUR | 200 | | | | 187 | |
Reg. S, 1.75%, 05/25/2031 | | EUR | 200 | | | | 197 | |
3.88%, 12/29/2025 | | EUR | 500 | | | | 547 | |
Western Australian Treasury Corp., (Australia), Reg. S, 2.25%, 07/23/2041 | | AUD | 100 | | | | 44 | |
Xunta de Galicia, (Spain), Reg. S, 0.27%, 07/30/2028 | | EUR | 300 | | | | 278 | |
| | | | | | | | |
Total Foreign Government Securities (Cost $3,317,944) | | | | | | | 3,085,294 | |
| | | | | | | | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Mortgage-Backed Securities — 14.5% | |
FHLMC Gold Pool, | | | | | | | | |
3.00%, 10/01/2046 | | | 175 | | | | 156 | |
3.50%, 12/01/2044 | | | 407 | | | | 370 | |
3.50%, 06/01/2045 | | | 818 | | | | 742 | |
3.50%, 05/01/2046 | | | 131 | | | | 119 | |
3.50%, 10/01/2046 | | | 184 | | | | 167 | |
FHLMC Gold Pool, Single Family, 15 years, 3.00%, 05/01/2029 | | | 4,996 | | | | 4,783 | |
FHLMC Gold Pool, Single Family, 30 years, | | | | | | | | |
3.00%, 03/01/2046 | | | 18 | | | | 16 | |
3.00%, 12/01/2046 | | | 29 | | | | 26 | |
4.00%, 08/01/2040 | | | 271 | | | | 261 | |
4.00%, 10/01/2040 | | | 2,378 | | | | 2,289 | |
4.00%, 11/01/2040 | | | 556 | | | | 535 | |
4.00%, 11/01/2047 | | | 1,722 | | | | 1,648 | |
4.00%, 01/01/2048 | | | 37 | | | | 35 | |
FHLMC Non Gold Pool, ARM, (ICE LIBOR USD 1 Year + 1.64%), 3.58%, 01/01/2050 (aa) | | | 56 | | | | 53 | |
FHLMC Pool, | | | | | | | | |
3.50%, 02/01/2043 | | | 58 | | | | 54 | |
3.50%, 02/01/2044 | | | 82 | | | | 77 | |
6.00%, 08/01/2035 | | | 54 | | | | 53 | |
FHLMC Pool, Single Family, 15 years, | | | | | | | | |
1.50%, 12/01/2035 | | | 372 | | | | 321 | |
1.50%, 03/01/2036 | | | 566 | | | | 489 | |
1.50%, 02/01/2037 | | | 812 | | | | 702 | |
1.50%, 03/01/2037 | | | 840 | | | | 726 | |
2.00%, 12/01/2035 | | | 734 | | | | 655 | |
2.00%, 02/01/2036 | | | 5,035 | | | | 4,480 | |
2.00%, 03/01/2036 | | | 420 | | | | 372 | |
2.00%, 05/01/2036 | | | 2,555 | | | | 2,267 | |
2.00%, 08/01/2036 | | | 1,199 | | | | 1,064 | |
2.00%, 10/01/2036 | | | 655 | | | | 581 | |
2.00%, 11/01/2036 | | | 3,652 | | | | 3,240 | |
2.00%, 12/01/2036 | | | 368 | | | | 327 | |
2.00%, 01/01/2037 | | | 4,420 | | | | 3,921 | |
2.00%, 04/01/2037 | | | 1,644 | | | | 1,458 | |
2.00%, 05/01/2037 | | | 1,020 | | | | 904 | |
2.00%, 06/01/2037 | | | 1,942 | | | | 1,723 | |
2.50%, 07/01/2032 | | | 2,166 | | | | 2,007 | |
2.50%, 10/01/2035 | | | 8,212 | | | | 7,517 | |
2.50%, 07/01/2036 | | | 1,294 | | | | 1,181 | |
2.50%, 04/01/2037 | | | 154 | | | | 141 | |
2.50%, 05/01/2037 | | | 380 | | | | 347 | |
3.00%, 04/01/2028 | | | 36 | | | | 34 | |
3.00%, 10/01/2028 | | | 1,233 | | | | 1,176 | |
3.00%, 04/01/2029 | | | 38 | | | | 37 | |
3.00%, 05/01/2030 | | | 5 | | | | 5 | |
3.00%, 06/01/2030 | | | 586 | | | | 558 | |
3.00%, 11/01/2030 | | | 109 | | | | 104 | |
3.00%, 11/01/2031 | | | 36 | | | | 34 | |
3.00%, 11/01/2032 | | | 111 | | | | 104 | |
3.00%, 01/01/2033 | | | 52 | | | | 49 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 134 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Mortgage-Backed Securities — continued | | | | | |
3.50%, 11/01/2025 | | | 285 | | | | 278 | |
3.50%, 09/01/2033 | | | 296 | | | | 283 | |
3.50%, 02/01/2034 | | | 731 | | | | 700 | |
3.50%, 05/01/2035 | | | 604 | | | | 580 | |
3.50%, 12/01/2035 | | | 52 | | | | 49 | |
3.50%, 02/01/2036 | | | 179 | | | | 170 | |
4.00%, 07/01/2025 | | | 16 | | | | 16 | |
4.00%, 05/01/2026 | | | 13 | | | | 12 | |
4.00%, 07/01/2029 | | | 289 | | | | 282 | |
4.00%, 11/01/2033 | | | 243 | | | | 237 | |
4.00%, 01/01/2034 | | | 16 | | | | 15 | |
FHLMC Pool, Single Family, 20 years, | | | | | | | | |
3.00%, 07/01/2042 | | | 356 | | | | 320 | |
3.00%, 08/01/2042 | | | 127 | | | | 114 | |
3.50%, 06/01/2039 | | | 264 | | | | 248 | |
3.50%, 07/01/2039 | | | 156 | | | | 146 | |
3.50%, 08/01/2039 | | | 589 | | | | 552 | |
3.50%, 09/01/2039 | | | 367 | | | | 345 | |
FHLMC Pool, Single Family, 30 years, | | | | | | | | |
1.50%, 02/01/2051 | | | 26 | | | | 21 | |
1.50%, 04/01/2051 | | | 49 | | | | 38 | |
1.50%, 05/01/2051 | | | 5,523 | | | | 4,280 | |
1.50%, 07/01/2051 | | | 928 | | | | 719 | |
2.00%, 09/01/2050 | | | 733 | | | | 603 | |
2.00%, 10/01/2050 | | | 4,439 | | | | 3,652 | |
2.00%, 02/01/2051 | | | 4,045 | | | | 3,320 | |
2.00%, 03/01/2051 | | | 2,947 | | | | 2,421 | |
2.00%, 05/01/2051 | | | 11,464 | | | | 9,406 | |
2.00%, 06/01/2051 | | | 1,374 | | | | 1,126 | |
2.00%, 07/01/2051 | | | 1,394 | | | | 1,146 | |
2.00%, 10/01/2051 | | | 1,793 | | | | 1,470 | |
2.00%, 11/01/2051 | | | 5,841 | | | | 4,777 | |
2.00%, 12/01/2051 | | | 4,538 | | | | 3,708 | |
2.00%, 01/01/2052 | | | 488 | | | | 399 | |
2.00%, 02/01/2052 | | | 2,197 | | | | 1,795 | |
2.00%, 03/01/2052 | | | 822 | | | | 672 | |
2.50%, 11/01/2050 | | | 22,808 | | | | 19,463 | |
2.50%, 12/01/2050 | | | 795 | | | | 677 | |
2.50%, 02/01/2051 (gg) | | | 12,728 | | | | 10,857 | |
2.50%, 04/01/2051 | | | 409 | | | | 348 | |
2.50%, 08/01/2051 (gg) | | | 14,518 | | | | 12,455 | |
2.50%, 11/01/2051 | | | 826 | | | | 701 | |
2.50%, 03/01/2052 | | | 1,766 | | | | 1,506 | |
2.50%, 04/01/2052 | | | 211 | | | | 180 | |
3.00%, 02/01/2049 | | | 2,220 | | | | 1,999 | |
3.00%, 11/01/2049 | | | 1,623 | | | | 1,448 | |
3.00%, 05/01/2050 | | | 3,621 | | | | 3,238 | |
3.00%, 07/01/2050 | | | 1,935 | | | | 1,717 | |
3.00%, 08/01/2050 | | | 3,996 | | | | 3,558 | |
3.00%, 06/01/2051 | | | 3,238 | | | | 2,853 | |
3.00%, 07/01/2051 | | | 5,639 | | | | 5,020 | |
3.00%, 11/01/2051 | | | 9,400 | | | | 8,295 | |
3.00%, 12/01/2051 | | | 11,022 | | | | 9,720 | |
3.00%, 02/01/2052 | | | 1,598 | | | | 1,407 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | |
3.00%, 03/01/2052 | | | 3,597 | | | | 3,174 | |
3.00%, 04/01/2052 | | | 6,618 | | | | 5,842 | |
3.50%, 03/01/2042 | | | 2 | | | | 2 | |
3.50%, 07/01/2043 | | | 2 | | | | 2 | |
3.50%, 11/01/2047 | | | 332 | | | | 307 | |
3.50%, 02/01/2048 | | | 1,746 | | | | 1,612 | |
3.50%, 03/01/2048 | | | 297 | | | | 275 | |
3.50%, 05/01/2048 | | | 3,721 | | | | 3,435 | |
3.50%, 06/01/2048 | | | 4 | | | | 4 | |
3.50%, 01/01/2049 | | | 41 | | | | 38 | |
3.50%, 02/01/2049 | | | 553 | | | | 515 | |
3.50%, 09/01/2049 | | | 2,251 | | | | 2,076 | |
3.50%, 10/01/2049 | | | 2,072 | | | | 1,910 | |
3.50%, 04/01/2050 | | | 3,027 | | | | 2,799 | |
3.50%, 11/01/2051 | | | 490 | | | | 448 | |
3.50%, 01/01/2052 | | | 425 | | | | 388 | |
3.50%, 04/01/2052 | | | 1,761 | | | | 1,608 | |
3.50%, 06/01/2052 | | | 7,586 | | | | 6,930 | |
3.50%, 07/01/2052 | | | 1,977 | | | | 1,806 | |
3.50%, 08/01/2052 | | | 1,660 | | | | 1,515 | |
3.50%, 09/01/2052 | | | 16 | | | | 14 | |
4.00%, 10/01/2048 | | | 2,761 | | | | 2,632 | |
4.00%, 04/01/2049 | | | 2,328 | | | | 2,219 | |
4.00%, 09/01/2049 | | | 1,456 | | | | 1,392 | |
4.00%, 05/01/2050 | | | 1,037 | | | | 990 | |
4.00%, 08/01/2050 | | | 1,196 | | | | 1,134 | |
4.00%, 09/01/2050 | | | 9,857 | | | | 9,342 | |
4.00%, 04/01/2052 | | | 54 | | | | 51 | |
4.00%, 06/01/2052 | | | 965 | | | | 907 | |
4.00%, 07/01/2052 | | | 967 | | | | 908 | |
4.00%, 08/01/2052 | | | 3,204 | | | | 3,012 | |
4.00%, 09/01/2052 | | | 2,306 | | | | 2,169 | |
4.00%, 10/01/2052 | | | 585 | | | | 552 | |
4.00%, 02/01/2053 | | | 490 | | | | 465 | |
4.50%, 12/01/2047 | | | 179 | | | | 176 | |
4.50%, 03/01/2048 | | | 213 | | | | 208 | |
4.50%, 04/01/2048 | | | 618 | | | | 605 | |
4.50%, 08/01/2048 | | | 21 | | | | 21 | |
4.50%, 09/01/2048 | | | 699 | | | | 683 | |
4.50%, 08/01/2049 | | | 1,352 | | | | 1,326 | |
4.50%, 09/01/2050 | | | 932 | | | | 911 | |
4.50%, 10/01/2050 | | | 3,548 | | | | 3,434 | |
4.50%, 07/01/2052 | | | 225 | | | | 217 | |
4.50%, 08/01/2052 | | | 151 | | | | 146 | |
4.50%, 12/01/2052 | | | 981 | | | | 953 | |
5.00%, 12/01/2049 | | | 407 | | | | 406 | |
5.00%, 08/01/2052 | | | 265 | | | | 260 | |
5.00%, 09/01/2052 | | | 626 | | | | 618 | |
5.00%, 10/01/2052 | | | 306 | | | | 300 | |
5.00%, 11/01/2052 | | | 262 | | | | 257 | |
5.00%, 01/01/2053 | | | 484 | | | | 475 | |
5.00%, 04/01/2053 | | | 1,335 | | | | 1,311 | |
5.00%, 06/01/2053 | | | 200 | | | | 198 | |
5.50%, 11/01/2052 | | | 411 | | | | 414 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 135 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Mortgage-Backed Securities — continued | | | | | |
5.50%, 12/01/2052 | | | 1,311 | | | | 1,317 | |
5.50%, 01/01/2053 | | | 901 | | | | 903 | |
5.50%, 02/01/2053 | | | 573 | | | | 576 | |
5.50%, 04/01/2053 | | | 418 | | | | 417 | |
5.50%, 05/01/2053 | | | 1,491 | | | | 1,489 | |
5.50%, 06/01/2053 | | | 109 | | | | 109 | |
FNMA or FHLMC, Single Family, 15 years, | | | | | | | | |
TBA, 1.50%, 07/01/2038 (w) | | | 1,166 | | | | 1,007 | |
TBA, 2.50%, 07/01/2038 (w) | | | 400 | | | | 364 | |
TBA, 3.00%, 07/01/2038 (w) | | | 2,675 | | | | 2,496 | |
TBA, 3.50%, 07/01/2038 (w) | | | 4,250 | | | | 4,039 | |
TBA, 4.00%, 07/01/2036 (w) | | | 2,000 | | | | 1,931 | |
TBA, 4.50%, 07/01/2038 (w) | | | 6,800 | | | | 6,668 | |
FNMA or FHLMC, Single Family, 30 years, | | | | | | | | |
TBA, 1.50%, 07/01/2053 (w) | | | 7,300 | | | | 5,643 | |
TBA, 2.00%, 07/01/2053 (w) | | | 200 | | | | 163 | |
TBA, 2.00%, 08/01/2053 (w) | | | 88,000 | | | | 71,892 | |
TBA, 2.50%, 07/01/2053 (w) | | | 8,175 | | | | 6,930 | |
TBA, 2.50%, 08/01/2053 (w) | | | 38,400 | | | | 32,598 | |
TBA, 3.00%, 07/01/2053 (w) | | | 7,028 | | | | 6,187 | |
TBA, 3.50%, 07/01/2053 (w) | | | 8,839 | | | | 8,056 | |
TBA, 4.00%, 07/01/2053 (w) | | | 1,675 | | | | 1,572 | |
TBA, 4.00%, 08/01/2053 (w) | | | 88,150 | | | | 82,782 | |
TBA, 4.50%, 07/01/2053 (w) | | | 3,318 | | | | 3,191 | |
TBA, 5.00%, 07/01/2053 (w) | | | 66,854 | | | | 65,538 | |
TBA, 5.00%, 08/01/2053 (w) | | | 15,500 | | | | 15,197 | |
TBA, 5.50%, 07/01/2053 (w) | | | 2,593 | | | | 2,581 | |
TBA, 5.50%, 08/01/2053 (w) | | | 37,100 | | | | 36,930 | |
TBA, 6.00%, 07/01/2053 (w) | | | 14,200 | | | | 14,330 | |
TBA, 6.50%, 07/01/2053 (w) | | | 23,600 | | | | 24,103 | |
FNMA Pool, | | | | | | | | |
2.00%, 11/01/2027 | | | 347 | | | | 327 | |
2.32%, 01/01/2026 | | | 2,088 | | | | 1,956 | |
3.00%, 12/01/2042 | | | 249 | | | | 223 | |
3.00%, 06/01/2043 | | | 1,017 | | | | 903 | |
3.00%, 05/01/2045 | | | 329 | | | | 292 | |
3.00%, 07/01/2045 | | | 35 | | | | 31 | |
3.00%, 11/01/2046 | | | 31 | | | | 27 | |
3.00%, 03/01/2060 (gg) | | | 18,322 | | | | 16,178 | |
3.01%, 04/01/2032 | | | 4,122 | | | | 3,646 | |
3.44%, 01/01/2037 | | | 318 | | | | 291 | |
3.50%, 07/01/2024 | | | 55 | | | | 54 | |
3.50%, 09/01/2027 | | | 134 | | | | 128 | |
3.50%, 12/01/2028 | | | 60 | | | | 57 | |
3.50%, 08/01/2032 | | | 62 | | | | 59 | |
3.50%, 12/01/2042 | | | 145 | | | | 135 | |
3.50%, 04/01/2043 | | | 217 | | | | 202 | |
3.50%, 11/01/2043 | | | 106 | | | | 98 | |
3.50%, 02/01/2045 | | | 257 | | | | 239 | |
3.50%, 02/01/2048 | | | 768 | | | | 696 | |
3.50%, 09/01/2048 | | | 81 | | | | 73 | |
3.50%, 07/01/2049 | | | 290 | | | | 261 | |
4.00%, 04/01/2041 | | | 120 | | | | 114 | |
4.00%, 08/01/2046 | | | 105 | | | | 102 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | |
4.13%, 08/01/2031 | | | 2,291 | | | | 2,207 | |
4.14%, 04/01/2028 | | | 521 | | | | 508 | |
4.25%, 01/01/2033 | | | 3,888 | | | | 3,806 | |
4.39%, 04/01/2033 | | | 552 | | | | 547 | |
4.50%, 06/01/2030 | | | 100 | | | | 99 | |
4.55%, 05/01/2028 | | | 100 | | | | 99 | |
4.59%, 06/01/2033 | | | 1,173 | | | | 1,183 | |
4.79%, 06/01/2033 | | | 1,300 | | | | 1,323 | |
4.83%, 12/01/2032 | | | 3,301 | | | | 3,360 | |
4.99%, 03/01/2031 (bb) (cc) | | | 500 | | | | 509 | |
5.09%, 02/01/2031 | | | 1,758 | | | | 1,800 | |
5.17%, 08/01/2034 | | | 750 | | | | 782 | |
5.26%, 12/01/2029 | | | 1,254 | | | | 1,294 | |
FNMA Pool, 30 years, FHA/VA, 3.00%, 01/01/2047 | | | 854 | | | | 764 | |
FNMA Pool, Single Family, 15 years, | | | | | | | | |
1.50%, 10/01/2036 | | | 540 | | | | 468 | |
1.50%, 11/01/2036 | | | 486 | | | | 422 | |
1.50%, 03/01/2037 | | | 471 | | | | 407 | |
1.50%, 05/01/2037 | | | 190 | | | | 164 | |
1.50%, 08/01/2037 | | | 525 | | | | 453 | |
2.00%, 02/01/2028 | | | 14 | | | | 13 | |
2.00%, 09/01/2028 | | | 115 | | | | 107 | |
2.00%, 11/01/2028 | | | 112 | | | | 104 | |
2.00%, 07/01/2032 | | | 10 | | | | 9 | |
2.00%, 12/01/2035 | | | 831 | | | | 742 | |
2.00%, 02/01/2036 | | | 6,160 | | | | 5,481 | |
2.00%, 03/01/2036 | | | 467 | | | | 415 | |
2.00%, 08/01/2036 | | | 1,174 | | | | 1,041 | |
2.00%, 11/01/2036 | | | 2,368 | | | | 2,100 | |
2.00%, 12/01/2036 | | | 1,198 | | | | 1,062 | |
2.00%, 01/01/2037 | | | 582 | | | | 516 | |
2.00%, 02/01/2037 | | | 992 | | | | 880 | |
2.00%, 04/01/2037 | | | 1,178 | | | | 1,045 | |
2.00%, 05/01/2037 | | | 711 | | | | 631 | |
2.50%, 08/01/2035 | | | 241 | | | | 220 | |
2.50%, 03/01/2036 | | | 2,208 | | | | 2,018 | |
2.50%, 07/01/2036 | | | 891 | | | | 813 | |
2.50%, 08/01/2036 | | | 133 | | | | 121 | |
2.50%, 03/01/2037 | | | 251 | | | | 228 | |
2.50%, 04/01/2037 | | | 517 | | | | 470 | |
2.50%, 05/01/2037 | | | 133 | | | | 121 | |
3.00%, 04/01/2027 | | | 495 | | | | 476 | |
3.00%, 11/01/2027 | | | 34 | | | | 32 | |
3.00%, 02/01/2028 | | | 220 | | | | 211 | |
3.00%, 10/01/2029 | | | 60 | | | | 57 | |
3.00%, 03/01/2030 | | | 41 | | | | 39 | |
3.00%, 05/01/2030 | | | 21 | | | | 20 | |
3.00%, 07/01/2030 | | | 21 | | | | 20 | |
3.00%, 09/01/2030 | | | 626 | | | | 597 | |
3.00%, 12/01/2030 | | | 29 | | | | 27 | |
3.00%, 04/01/2031 | | | 104 | | | | 98 | |
3.00%, 12/01/2031 | | | 230 | | | | 217 | |
3.00%, 07/01/2032 | | | 98 | | | | 92 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 136 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Mortgage-Backed Securities — continued | | | | | |
3.00%, 01/01/2033 | | | 68 | | | | 64 | |
3.00%, 07/01/2033 | | | 111 | | | | 104 | |
3.00%, 02/01/2034 | | | 1,328 | | | | 1,251 | |
3.00%, 09/01/2034 | | | 510 | | | | 477 | |
3.00%, 12/01/2035 | | | 547 | | | | 515 | |
3.50%, 12/01/2025 | | | 148 | | | | 145 | |
3.50%, 01/01/2026 | | | 454 | | | | 443 | |
3.50%, 07/01/2031 | | | 67 | | | | 64 | |
3.50%, 07/01/2034 | | | 420 | | | | 403 | |
3.50%, 03/01/2035 | | | 1,422 | | | | 1,362 | |
3.50%, 04/01/2035 | | | 880 | | | | 836 | |
3.50%, 05/01/2035 | | | 83 | | | | 80 | |
3.50%, 06/01/2035 | | | 284 | | | | 271 | |
4.00%, 03/01/2025 | | | 51 | | | | 50 | |
4.00%, 06/01/2026 | | | 68 | | | | 67 | |
4.00%, 08/01/2026 | | | 41 | | | | 40 | |
4.00%, 08/01/2027 | | | 43 | | | | 42 | |
4.00%, 12/01/2028 | | | 20 | | | | 19 | |
4.00%, 04/01/2033 | | | 540 | | | | 525 | |
4.00%, 10/01/2033 | | | 82 | | | | 80 | |
4.00%, 11/01/2033 | | | 273 | | | | 267 | |
4.00%, 12/01/2033 | | | 20 | | | | 19 | |
4.00%, 03/01/2035 | | | 1,060 | | | | 1,034 | |
FNMA Pool, Single Family, 20 years, | | | | | | | | |
3.00%, 05/01/2042 | | | 746 | | | | 670 | |
3.00%, 06/01/2042 | | | 383 | | | | 343 | |
3.00%, 07/01/2042 | | | 1,412 | | | | 1,269 | |
3.50%, 03/01/2037 | | | 476 | | | | 451 | |
3.50%, 08/01/2038 | | | 108 | | | | 101 | |
3.50%, 04/01/2039 | | | 14 | | | | 13 | |
3.50%, 08/01/2039 | | | 164 | | | | 154 | |
4.50%, 06/01/2039 | | | 31 | | | | 31 | |
4.50%, 07/01/2043 | | | 1,038 | | | | 1,006 | |
FNMA Pool, Single Family, 30 years, | | | | | | | | |
1.50%, 11/01/2050 | | | 1,356 | | | | 1,049 | |
1.50%, 06/01/2051 | | | 2,031 | | | | 1,574 | |
1.50%, 07/01/2051 | | | 1,245 | | | | 964 | |
1.50%, 04/01/2052 | | | 945 | | | | 731 | |
2.00%, 07/01/2050 | | | 1,451 | | | | 1,194 | |
2.00%, 09/01/2050 | | | 1,265 | | | | 1,041 | |
2.00%, 10/01/2050 | | | 963 | | | | 793 | |
2.00%, 12/01/2050 | | | 8,004 | | | | 6,585 | |
2.00%, 01/01/2051 | | | 4,095 | | | | 3,365 | |
2.00%, 02/01/2051 | | | 1,365 | | | | 1,121 | |
2.00%, 03/01/2051 | | | 2,063 | | | | 1,694 | |
2.00%, 04/01/2051 | | | 3,744 | | | | 3,074 | |
2.00%, 05/01/2051 | | | 1,847 | | | | 1,515 | |
2.00%, 06/01/2051 | | | 6,053 | | | | 4,963 | |
2.00%, 07/01/2051 | | | 3,142 | | | | 2,569 | |
2.00%, 10/01/2051 | | | 19,092 | | | | 15,607 | |
2.00%, 11/01/2051 | | | 2,290 | | | | 1,876 | |
2.00%, 12/01/2051 (jj) | | | 16,165 | | | | 13,201 | |
2.50%, 08/01/2046 | | | 5,327 | | | | 4,581 | |
2.50%, 08/01/2050 | | | 18 | | | | 15 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | |
2.50%, 10/01/2050 | | | 8,632 | | | | 7,370 | |
2.50%, 12/01/2050 | | | 13,666 | | | | 11,660 | |
2.50%, 02/01/2051 | | | 1,916 | | | | 1,633 | |
2.50%, 03/01/2051 | | | 5,320 | | | | 4,542 | |
2.50%, 04/01/2051 | | | 6,509 | | | | 5,528 | |
2.50%, 07/01/2051 | | | 1,751 | | | | 1,494 | |
2.50%, 08/01/2051 | | | 3,890 | | | | 3,319 | |
2.50%, 09/01/2051 | | | 520 | | | | 442 | |
2.50%, 10/01/2051 | | | 938 | | | | 797 | |
2.50%, 11/01/2051 | | | 5,303 | | | | 4,504 | |
2.50%, 12/01/2051 | | | 14,182 | | | | 12,055 | |
2.50%, 01/01/2052 | | | 18,862 | | | | 16,001 | |
2.50%, 02/01/2052 | | | 1,091 | | | | 926 | |
2.50%, 03/01/2052 | | | 16,082 | | | | 13,662 | |
2.50%, 04/01/2052 | | | 4,804 | | | | 4,088 | |
2.50%, 05/01/2052 | | | 919 | | | | 781 | |
2.50%, 07/01/2052 | | | 499 | | | | 424 | |
3.00%, 08/01/2046 | | | 1,176 | | | | 1,054 | |
3.00%, 11/01/2046 | | | 3,123 | | | | 2,820 | |
3.00%, 02/01/2047 | | | 600 | | | | 542 | |
3.00%, 04/01/2048 | | | 6,148 | | | | 5,552 | |
3.00%, 01/01/2050 | | | 3,001 | | | | 2,684 | |
3.00%, 03/01/2050 | | | 1,549 | | | | 1,375 | |
3.00%, 06/01/2050 | | | 282 | | | | 250 | |
3.00%, 07/01/2050 | | | 11,504 | | | | 10,174 | |
3.00%, 08/01/2050 | | | 3,392 | | | | 3,019 | |
3.00%, 12/01/2050 (gg) | | | 4,054 | | | | 3,615 | |
3.00%, 01/01/2051 | | | 1,478 | | | | 1,309 | |
3.00%, 05/01/2051 (gg) | | | 10,998 | | | | 9,692 | |
3.00%, 06/01/2051 | | | 7,039 | | | | 6,218 | |
3.00%, 07/01/2051 | | | 1,517 | | | | 1,344 | |
3.00%, 08/01/2051 | | | 1,296 | | | | 1,152 | |
3.00%, 10/01/2051 | | | 3,290 | | | | 2,901 | |
3.00%, 11/01/2051 | | | 3,427 | | | | 3,027 | |
3.00%, 12/01/2051 | | | 2,651 | | | | 2,335 | |
3.00%, 01/01/2052 | | | 5,384 | | | | 4,751 | |
3.00%, 02/01/2052 | | | 813 | | | | 719 | |
3.00%, 03/01/2052 | | | 2,128 | | | | 1,875 | |
3.00%, 04/01/2052 | | | 7,509 | | | | 6,619 | |
3.00%, 05/01/2052 | | | 1,406 | | | | 1,240 | |
3.00%, 07/01/2052 | | | 1,457 | | | | 1,285 | |
3.50%, 07/01/2042 | | | 1 | | | | 1 | |
3.50%, 09/01/2042 | | | 161 | | | | 151 | |
3.50%, 05/01/2043 | | | 5 | | | | 4 | |
3.50%, 07/01/2043 | | | 7,126 | | | | 6,673 | |
3.50%, 08/01/2043 (gg) | | | 18,015 | | | | 16,833 | |
3.50%, 01/01/2044 | | | 220 | | | | 206 | |
3.50%, 10/01/2045 | | | 21 | | | | 19 | |
3.50%, 12/01/2045 | | | 1,998 | | | | 1,859 | |
3.50%, 07/01/2046 | | | 3,906 | | | | 3,634 | |
3.50%, 02/01/2047 | | | 4,127 | | | | 3,858 | |
3.50%, 07/01/2047 | | | 899 | | | | 836 | |
3.50%, 09/01/2047 | | | 63 | | | | 58 | |
3.50%, 10/01/2047 | | | 1,347 | | | | 1,243 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 137 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Mortgage-Backed Securities — continued | | | | | |
3.50%, 02/01/2048 | | | 2,114 | | | | 1,951 | |
3.50%, 03/01/2048 | | | 189 | | | | 176 | |
3.50%, 03/01/2049 | | | 344 | | | | 317 | |
3.50%, 06/01/2049 | | | 3,728 | | | | 3,439 | |
3.50%, 08/01/2049 | | | 585 | | | | 540 | |
3.50%, 04/01/2050 | | | 173 | | | | 159 | |
3.50%, 05/01/2050 | | | 4,147 | | | | 3,820 | |
3.50%, 07/01/2050 | | | 9,813 | | | | 8,999 | |
3.50%, 01/01/2051 | | | 748 | | | | 687 | |
3.50%, 03/01/2052 (gg) | | | 13,900 | | | | 12,820 | |
3.50%, 04/01/2052 | | | 317 | | | | 289 | |
3.50%, 05/01/2052 (gg) | | | 18,231 | | | | 16,657 | |
3.50%, 06/01/2052 | | | 8,410 | | | | 7,680 | |
3.50%, 07/01/2052 | | | 3,212 | | | | 2,933 | |
3.50%, 09/01/2052 | | | 68 | | | | 62 | |
4.00%, 04/01/2039 | | | 1,290 | | | | 1,240 | |
4.00%, 03/01/2042 | | | 576 | | | | 557 | |
4.00%, 04/01/2043 | | | 226 | | | | 218 | |
4.00%, 02/01/2045 | | | 242 | | | | 232 | |
4.00%, 09/01/2046 | | | 137 | | | | 131 | |
4.00%, 09/01/2047 | | | 40 | | | | 38 | |
4.00%, 10/01/2047 | | | 497 | | | | 475 | |
4.00%, 03/01/2048 | | | 76 | | | | 72 | |
4.00%, 04/01/2048 | | | 423 | | | | 403 | |
4.00%, 06/01/2048 | | | 30 | | | | 28 | |
4.00%, 08/01/2048 | | | 126 | | | | 120 | |
4.00%, 09/01/2048 | | | 295 | | | | 281 | |
4.00%, 03/01/2049 | | | 1,188 | | | | 1,130 | |
4.00%, 06/01/2049 | | | 1,169 | | | | 1,118 | |
4.00%, 11/01/2049 | | | 218 | | | | 208 | |
4.00%, 05/01/2050 | | | 955 | | | | 905 | |
4.00%, 03/01/2051 | | | 2,528 | | | | 2,402 | |
4.00%, 05/01/2051 | | | 247 | | | | 235 | |
4.00%, 04/01/2052 | | | 56 | | | | 52 | |
4.00%, 05/01/2052 | | | 1,859 | | | | 1,749 | |
4.00%, 06/01/2052 | | | 646 | | | | 608 | |
4.00%, 07/01/2052 | | | 678 | | | | 638 | |
4.00%, 08/01/2052 | | | 3,322 | | | | 3,121 | |
4.00%, 09/01/2052 | | | 308 | | | | 290 | |
4.50%, 05/01/2047 | | | 2 | | | | 2 | |
4.50%, 11/01/2047 | | | 611 | | | | 600 | |
4.50%, 01/01/2048 | | | 583 | | | | 573 | |
4.50%, 04/01/2048 | | | 29 | | | | 29 | |
4.50%, 08/01/2048 | | | 16 | | | | 16 | |
4.50%, 09/01/2048 | | | 441 | | | | 433 | |
4.50%, 02/01/2049 (gg) (hh) | | | 5,225 | | | | 5,084 | |
4.50%, 05/01/2049 | | | 463 | | | | 453 | |
4.50%, 08/01/2049 | | | 10 | | | | 9 | |
4.50%, 01/01/2050 | | | 153 | | | | 151 | |
4.50%, 04/01/2050 | | | 7,265 | | | | 7,091 | |
4.50%, 05/01/2052 | | | 21 | | | | 20 | |
4.50%, 06/01/2052 | | | 1,372 | | | | 1,321 | |
4.50%, 08/01/2052 | | | 396 | | | | 382 | |
4.50%, 09/01/2052 | | | 2,295 | | | | 2,208 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | |
4.50%, 10/01/2052 | | | 960 | | | | 923 | |
4.50%, 11/01/2052 | | | 2,882 | | | | 2,773 | |
4.50%, 12/01/2052 | | | 483 | | | | 465 | |
5.00%, 09/01/2049 | | | 1,036 | | | | 1,032 | |
5.00%, 10/01/2052 | | | 564 | | | | 558 | |
5.00%, 11/01/2052 | | | 539 | | | | 532 | |
5.00%, 12/01/2052 | | | 585 | | | | 577 | |
5.00%, 01/01/2053 | | | 2,361 | | | | 2,317 | |
5.00%, 03/01/2053 | | | 369 | | | | 366 | |
5.00%, 04/01/2053 | | | 982 | | | | 965 | |
5.00%, 06/01/2053 | | | 300 | | | | 297 | |
5.50%, 09/01/2052 | | | 339 | | | | 343 | |
5.50%, 01/01/2053 | | | 483 | | | | 491 | |
5.50%, 02/01/2053 | | | 1,967 | | | | 1,964 | |
5.50%, 03/01/2053 | | | 1,503 | | | | 1,515 | |
5.50%, 04/01/2053 | | | 1,903 | | | | 1,915 | |
5.50%, 05/01/2053 | | | 999 | | | | 996 | |
GNMA I Pool, Single Family, 30 years, | | | | | | | | |
3.00%, 10/15/2049 | | | 197 | | | | 177 | |
3.00%, 03/15/2050 | | | 16 | | | | 14 | |
GNMA II Pool, | | | | | | | | |
2.50%, 12/20/2049 | | | 257 | | | | 219 | |
3.00%, 01/20/2047 | | | 117 | | | | 104 | |
3.00%, 08/20/2050 | | | 656 | | | | 573 | |
3.50%, 09/20/2042 | | | 2,460 | | | | 2,292 | |
3.50%, 08/20/2045 | | | 2,434 | | | | 2,254 | |
3.50%, 09/20/2045 | | | 818 | | | | 757 | |
3.50%, 12/20/2047 | | | 3,635 | | | | 3,365 | |
3.50%, 06/20/2048 | | | 49 | | | | 45 | |
3.50%, 07/20/2048 | | | 39 | | | | 36 | |
3.50%, 08/20/2049 | | | 100 | | | | 92 | |
3.50%, 11/20/2049 | | | 159 | | | | 146 | |
3.50%, 07/20/2050 | | | 174 | | | | 158 | |
4.00%, 11/20/2041 | | | 21 | | | | 20 | |
4.00%, 10/20/2050 | | | 338 | | | | 314 | |
4.50%, 08/20/2040 | | | 17 | | | | 17 | |
4.50%, 10/20/2040 | | | 41 | | | | 39 | |
ARM, (CMT Index 1 Year + 1.83%), 6.30%, 07/20/2072 (aa) (gg) | | | 19,592 | | | | 20,330 | |
ARM, (ICE LIBOR USD 1 Month + 2.21%), 7.04%, 10/20/2071 (aa) | | | 10,307 | | | | 10,567 | |
ARM, (ICE LIBOR USD 1 Month + 2.21%), 7.04%, 02/20/2071 (aa) | | | 3,280 | | | | 3,365 | |
GNMA II Pool, Single Family, 15 years, 2.00%, 12/20/2035 | | | 3,141 | | | | 2,786 | |
GNMA II Pool, Single Family, 30 years, | | | | | | | | |
1.50%, 10/20/2051 | | | 308 | | | | 247 | |
2.00%, 07/20/2050 | | | 154 | | | | 130 | |
2.00%, 08/20/2050 | | | 4,982 | | | | 4,207 | |
2.00%, 11/20/2050 | | | 1,742 | | | | 1,469 | |
2.00%, 12/20/2050 | | | 2,895 | | | | 2,440 | |
2.00%, 02/20/2051 | | | 1,060 | | | | 893 | |
2.00%, 10/20/2051 | | | 5,702 | | | | 4,797 | |
2.00%, 12/20/2051 | | | 5,617 | | | | 4,720 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 138 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Mortgage-Backed Securities — continued | | | | | |
2.00%, 01/20/2052 | | | 519 | | | | 436 | |
2.00%, 03/20/2052 | | | 1,418 | | | | 1,191 | |
2.00%, 04/20/2052 | | | 3,312 | | | | 2,782 | |
2.50%, 01/20/2051 | | | 317 | | | | 275 | |
2.50%, 02/20/2051 | | | 2,393 | | | | 2,081 | |
2.50%, 05/20/2051 | | | 6,577 | | | | 5,713 | |
2.50%, 07/20/2051 | | | 8,429 | | | | 7,297 | |
2.50%, 09/20/2051 (gg) | | | 12,070 | | | | 10,460 | |
2.50%, 11/20/2051 | | | 3,587 | | | | 3,105 | |
2.50%, 12/20/2051 | | | 3,943 | | | | 3,414 | |
2.50%, 03/20/2052 | | | 944 | | | | 817 | |
2.50%, 04/20/2052 | | | 473 | | | | 410 | |
2.50%, 05/20/2052 | | | 839 | | | | 727 | |
2.50%, 07/20/2052 | | | 280 | | | | 242 | |
2.50%, 08/20/2052 | | | 465 | | | | 403 | |
3.00%, 01/20/2043 | | | 455 | | | | 415 | |
3.00%, 11/20/2043 | | | 94 | | | | 86 | |
3.00%, 03/20/2045 | | | 100 | | | | 91 | |
3.00%, 09/20/2046 | | | 2,158 | | | | 1,962 | |
3.00%, 10/20/2047 | | | 435 | | | | 394 | |
3.00%, 04/20/2049 | | | 33 | | | | 30 | |
3.00%, 04/20/2050 | | | 7,843 | | | | 7,070 | |
3.00%, 07/20/2050 | | | 3,950 | | | | 3,557 | |
3.00%, 08/20/2050 | | | 6,305 | | | | 5,677 | |
3.00%, 08/20/2051 | | | 653 | | | | 586 | |
3.00%, 10/20/2051 | | | 2,956 | | | | 2,650 | |
3.00%, 11/20/2051 | | | 3,685 | | | | 3,303 | |
3.00%, 12/20/2051 | | | 900 | | | | 806 | |
3.00%, 01/20/2052 (gg) | | | 8,443 | | | | 7,558 | |
3.00%, 02/20/2052 | | | 362 | | | | 324 | |
3.00%, 09/20/2052 | | | 483 | | | | 433 | |
3.00%, 02/20/2053 | | | 3,415 | | | | 3,064 | |
3.50%, 09/20/2045 | | | 2,692 | | | | 2,522 | |
3.50%, 09/20/2047 | | | 3,461 | | | | 3,234 | |
3.50%, 08/20/2048 | | | 177 | | | | 166 | |
3.50%, 11/20/2048 | | | 211 | | | | 197 | |
3.50%, 12/20/2048 | | | 6 | | | | 5 | |
3.50%, 03/20/2049 | | | 1,022 | | | | 953 | |
3.50%, 07/20/2049 | | | 999 | | | | 931 | |
3.50%, 09/20/2049 | | | 1,263 | | | | 1,177 | |
3.50%, 10/20/2049 | | | 533 | | | | 497 | |
3.50%, 12/20/2049 | | | 420 | | | | 390 | |
3.50%, 01/20/2050 | | | 626 | | | | 586 | |
3.50%, 04/20/2050 | | | 126 | | | | 117 | |
3.50%, 01/20/2052 | | | 4,422 | | | | 4,082 | |
3.50%, 02/20/2052 | | | 2,632 | | | | 2,430 | |
3.50%, 09/20/2052 | | | 1,022 | | | | 943 | |
3.50%, 02/20/2053 | | | 3,432 | | | | 3,176 | |
4.00%, 07/20/2048 | | | 1,027 | | | | 984 | |
4.00%, 09/20/2048 | | | 1,744 | | | | 1,664 | |
4.00%, 11/20/2048 | | | 30 | | | | 29 | |
4.00%, 12/20/2048 | | | 880 | | | | 842 | |
4.00%, 05/20/2049 | | | 541 | | | | 516 | |
4.00%, 01/20/2050 | �� | | 984 | | | | 940 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | |
4.00%, 03/20/2050 | | | 213 | | | | 204 | |
4.00%, 12/20/2050 | | | 2,547 | | | | 2,429 | |
4.00%, 07/20/2052 | | | 207 | | | | 196 | |
4.00%, 09/20/2052 | | | 1,862 | | | | 1,761 | |
4.00%, 12/20/2052 | | | 418 | | | | 395 | |
4.50%, 03/20/2047 | | | 433 | | | | 423 | |
4.50%, 06/20/2047 | | | 846 | | | | 828 | |
4.50%, 07/20/2047 | | | 1,537 | | | | 1,509 | |
4.50%, 10/20/2047 | | | 357 | | | | 348 | |
4.50%, 11/20/2047 | | | 1,095 | | | | 1,069 | |
4.50%, 05/20/2048 (gg) (hh) | | | 7,770 | | | | 7,555 | |
4.50%, 09/20/2048 | | | 644 | | | | 614 | |
4.50%, 11/20/2048 | | | 759 | | | | 737 | |
4.50%, 01/20/2049 | | | 1,885 | | | | 1,842 | |
4.50%, 03/20/2049 | | | 483 | | | | 472 | |
4.50%, 05/20/2049 | | | 237 | | | | 223 | |
4.50%, 10/20/2049 | | | 687 | | | | 672 | |
4.50%, 08/20/2052 | | | 1,648 | | | | 1,594 | |
5.00%, 12/20/2048 | | | 163 | | | | 163 | |
5.00%, 06/20/2049 | | | 355 | | | | 353 | |
5.00%, 07/20/2052 | | | 121 | | | | 119 | |
5.00%, 09/20/2052 | | | 916 | | | | 901 | |
5.00%, 12/20/2052 | | | 1,322 | | | | 1,302 | |
5.50%, 12/20/2052 | | | 472 | | | | 470 | |
5.50%, 01/20/2053 | | | 154 | | | | 153 | |
5.50%, 03/20/2053 | | | 562 | | | | 560 | |
5.50%, 04/20/2053 | | | 1,436 | | | | 1,431 | |
5.50%, 06/20/2053 | | | 1,208 | | | | 1,203 | |
GNMA, Single Family, 30 years, | | | | | | | | |
TBA, 2.50%, 07/01/2053 (w) | | | 12,811 | | | | 11,089 | |
TBA, 3.00%, 07/15/2042 (w) | | | 6,187 | | | | 5,528 | |
TBA, 3.00%, 08/01/2053 (w) | | | 57,450 | | | | 51,373 | |
TBA, 3.50%, 07/01/2042 (w) | | | 2,670 | | | | 2,465 | |
TBA, 3.50%, 08/01/2053 (w) | | | 1,700 | | | | 1,571 | |
TBA, 4.00%, 07/01/2053 (w) | | | 2,935 | | | | 2,777 | |
TBA, 4.00%, 08/01/2053 (w) | | | 4,700 | | | | 4,450 | |
TBA, 4.50%, 07/01/2053 (w) | | | 1,575 | | | | 1,521 | |
TBA, 5.00%, 07/01/2053 (w) | | | 2,980 | | | | 2,930 | |
TBA, 5.50%, 07/01/2038 (w) | | | 3,439 | | | | 3,425 | |
TBA, 5.50%, 08/01/2053 (w) | | | 10,700 | | | | 10,653 | |
| | | | | | | | |
Total Mortgage-Backed Securities (Cost $1,518,228) | | | | | | | 1,406,624 | |
| | | | | | | | |
Municipal Bonds — 0.1% (t) | |
Arizona — 0.0% (g) | |
Salt River Project, Agricultural Improvement & Power District, Build America Bonds, Series A, Rev., 4.84%, 01/01/2041 | | | 150 | | | | 148 | |
| | | | | | | | |
California — 0.1% | |
Bay Area Toll Authority, Build America Bonds, Series S1, Rev., 6.92%, 04/01/2040 | | | 115 | | | | 136 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 139 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Municipal Bonds — continued | | | | | |
California — continued | |
California Health Facilities Financing Authority, Taxable, Social Bonds, | | | | | | | | |
Rev., 4.19%, 06/01/2037 | | | 5 | | | | 5 | |
Rev., 4.35%, 06/01/2041 | | | 5 | | | | 4 | |
California State University, Taxable Systemwide, Series E, Rev., 2.90%, 11/01/2051 | | | 15 | | | | 11 | |
City of San Francisco, Public Utilities Commission Water Revenue, Build America Bonds, Rev., 6.95%, 11/01/2050 | | | 70 | | | | 86 | |
Los Angeles Community College District, Taxable, GO, 2.11%, 08/01/2032 | | | 150 | | | | 122 | |
Los Angeles County Metropolitan Transportation Authority, Build America Bonds, Rev., 5.74%, 06/01/2039 | | | 50 | | | | 54 | |
Los Angeles Department of Water & Power, | | | | | | | | |
Rev., 6.57%, 07/01/2045 | | | 50 | | | | 60 | |
Rev., 6.60%, 07/01/2050 | | | 30 | | | | 37 | |
Los Angeles Unified School District, Build America Bond, GO, 5.75%, 07/01/2034 | | | 25 | | | | 27 | |
Regents of the University of California Medical Center Pooled Revenue, Build America Bonds, Series F, Rev., 6.58%, 05/15/2049 | | | 200 | | | | 234 | |
Regents of the University of California Medical Center Pooled Revenue, Taxable, Series N, Rev., 3.26%, 05/15/2060 | | | 50 | | | | 35 | |
State of California, Build America Bonds, | | | | | | | | |
GO, 7.35%, 11/01/2039 | | | 100 | | | | 121 | |
GO, 7.50%, 04/01/2034 | | | 50 | | | | 61 | |
GO, 7.55%, 04/01/2039 | | | 150 | | | | 189 | |
GO, 7.60%, 11/01/2040 | | | 50 | | | | 64 | |
State of California, Taxable Construction Bond Bidding Group, GO, 1.75%, 11/01/2030 | | | 350 | | | | 287 | |
University of California, Build America Bonds, Rev., 5.95%, 05/15/2045 | | | 35 | | | | 38 | |
University of California, Taxable, | | | | | | | | |
Series AQ, Rev., 4.77%, 05/15/2115 | | | 20 | | | | 17 | |
Series BJ, Rev., 3.07%, 05/15/2051 | | | 5 | | | | 4 | |
| | | | | | | | |
| | |
| | | | | | | 1,592 | |
| | | | | | | | |
District of Columbia — 0.0% (g) | |
District of Columbia, Water & Sewer Authority, Senior Lien, Green Bonds, Series A, Rev., 4.81%, 10/01/2114 | | | 895 | | | | 830 | |
| | | | | | | | |
Florida — 0.0% (g) | |
State Board of Administration Finance Corp., Taxable, Series A, Rev., 1.26%, 07/01/2025 | | | 100 | | | | 92 | |
| | | | | | | | |
Illinois — 0.0% (g) | |
Chicago Transit Authority Sales & Transfer Tax Receipts Revenue, Series B, Rev., 6.90%, 12/01/2040 | | | 100 | | | | 113 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | |
Illinois — continued | |
Sales Tax Securitization Corp., Taxable, Second Lien, Series B, Rev., 3.24%, 01/01/2042 | | | 40 | | | | 32 | |
State of Illinois, Taxable Pension, GO, 5.10%, 06/01/2033 | | | 350 | | | | 344 | |
| | | | | | | | |
| | |
| | | | | | | 489 | |
| | | | | | | | |
Louisiana — 0.0% (g) | |
State of Louisiana Gasoline & Fuels Tax Revenue, Taxable, Series A, Rev., 2.95%, 05/01/2041 | | | 1,450 | | | | 1,117 | |
| | | | | | | | |
Massachusetts — 0.0% (g) | |
Commonwealth of Massachusetts, Taxable Consolidated Loan, Series H, GO, 2.90%, 09/01/2049 | | | 15 | | | | 11 | |
Commonwealth of Massachusetts, Build America Bonds, GO, 4.91%, 05/01/2029 | | | 100 | | | | 100 | |
Commonwealth of Massachusetts, Taxable, Series D, GO, 2.66%, 09/01/2039 | | | 148 | | | | 118 | |
| | | | | | | | |
| | |
| | | | | | | 229 | |
| | | | | | | | |
Michigan — 0.0% (g) | |
Michigan State University, Taxable, Series A, Rev., 4.17%, 08/15/2122 | | | 115 | | | | 91 | |
University of Michigan, Taxable, | | | | | | | | |
Series B, Rev., 2.56%, 04/01/2050 | | | 25 | | | | 17 | |
Series C, Rev., 3.60%, 04/01/2047 | | | 14 | | | | 12 | |
| | | | | | | | |
| | |
| | | | | | | 120 | |
| | | | | | | | |
Missouri — 0.0% (g) | |
Health & Educational Facilities Authority of the State of Missouri, Washington University, Series A, Rev., 3.23%, 05/15/2050 | | | 35 | | | | 27 | |
| | | | | | | | |
New Jersey — 0.0% (g) | |
New Jersey Transportation Trust Fund Authority, Build America Bonds, Series B, Rev., 6.56%, 12/15/2040 | | | 125 | | | | 144 | |
New Jersey Turnpike Authority, Build America Bonds, Series F, Rev., 7.41%, 01/01/2040 | | | 230 | | | | 288 | |
| | | | | | | | |
| | |
| | | | | | | 432 | |
| | | | | | | | |
New York — 0.0% (g) | |
City of New York, Build America Bonds, GO, 5.52%, 10/01/2037 | | | 25 | | | | 26 | |
Metropolitan Transportation Authority, Taxable Green Bond, Series C2, Rev., 5.18%, 11/15/2049 | | | 100 | | | | 91 | |
New York City Municipal Water Finance Authority, Second General Resolution, Rev., 5.95%, 06/15/2042 | | | 200 | | | | 227 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 140 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
Municipal Bonds — continued | | | | | |
New York — continued | |
New York City Water & Sewer System, Build America Bonds, Second General Resolution, Rev., 5.44%, 06/15/2043 | | | 30 | | | | 32 | |
New York State Dormitory Authority, State University of New York Dormitory Facilities, Taxable, Rev., 3.14%, 07/01/2043 | | | 150 | | | | 122 | |
Port Authority of New York & New Jersey, Consolidated, | | | | | | | | |
Series 174, Rev., 4.46%, 10/01/2062 | | | 50 | | | | 46 | |
Series 21, Rev., 3.29%, 08/01/2069 | | | 40 | | | | 27 | |
Port Authority of New York & New Jersey, Taxable Consolidated 160, Rev., 5.65%, 11/01/2040 | | | 250 | | | | 269 | |
| | | | | | | | |
| | |
| | | | | | | 840 | |
| | | | | | | | |
Ohio — 0.0% (g) | |
Ohio State University (The), Taxable, Series A, Rev., 4.80%, 06/01/2111 | | | 130 | | | | 119 | |
| | | | | | | | |
Oklahoma — 0.0% (g) | |
Oklahoma Development Finance Authority, Taxable, Public Service Company, Series A2, Rev., 4.62%, 06/01/2044 | | | 10 | | | | 10 | |
| | | | | | | | |
Oregon — 0.0% (g) | |
Oregon State University, Taxable, Rev., BAM, 3.42%, 03/01/2060 | | | 10 | | | | 7 | |
State of Oregon Department of Transportation, Taxable Subordinated, Build America Bonds, Series A, Rev., 5.83%, 11/15/2034 | | | 50 | | | | 55 | |
| | | | | | | | |
| | |
| | | | | | | 62 | |
| | | | | | | | |
Pennsylvania — 0.0% (g) | |
City of Philadelphia, Water & Wastewater Revenue, Rev., 2.93%, 07/01/2045 | | | 10 | | | | 7 | |
| | | | | | | | |
Texas — 0.0% (g) | |
Board of Regents of the University of Texas System, Series C, Rev., 4.79%, 08/15/2046 | | | 110 | | | | 111 | |
City of San Antonio, Electric & Gas Systems Revenue, Build America Bonds, Rev., 5.99%, 02/01/2039 | | | 20 | | | | 22 | |
Dallas Area Rapid Transit, Build America Bonds, Rev., 5.02%, 12/01/2048 | | | 30 | | | | 31 | |
Dallas Area Rapid Transit, Taxable, Senior Lien, Series A, Rev., 2.61%, 12/01/2048 | | | 130 | | | | 92 | |
Dallas Fort Worth International Airport, Taxable, | | | | | | | | |
Series A, Rev., 4.09%, 11/01/2051 | | | 425 | | | | 375 | |
Series A, Rev., 4.51%, 11/01/2051 | | | 100 | | | | 93 | |
Series C, Rev., 3.09%, 11/01/2040 | | | 100 | | | | 78 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | |
Texas — continued | |
North Texas Tollway Authority, Build America Bonds, Series B, Rev., 6.72%, 01/01/2049 | | | 65 | | | | 81 | |
State of Texas, Build America Bonds Taxable, GO, 5.52%, 04/01/2039 | | | 150 | | | | 161 | |
Texas Transportation Commission, Taxable Mobility Fund, GO, 2.47%, 10/01/2044 | | | 10 | | | | 7 | |
| | | | | | | | |
| | |
| | | | | | | 1,051 | |
| | | | | | | | |
Virginia — 0.0% (g) | |
University of Virginia, Taxable, Series C, Rev., 4.18%, 09/01/2117 | | | 40 | | | | 32 | |
| | | | | | | | |
Total Municipal Bonds
(Cost $8,369) | | | | | | | 7,197 | |
| | | | | | | | |
U.S. Government Agency Securities — 0.1% | |
Federal Farm Credit Banks Funding Corp., 5.48%, 06/27/2042 | | | 1,000 | | | | 972 | |
FHLBs, | | | | | | | | |
0.50%, 04/14/2025 | | | 2,000 | | | | 1,850 | |
3.25%, 11/16/2028 | | | 650 | | | | 622 | |
FHLMC, | | | | | | | | |
Zero Coupon, 12/14/2029 | | | 1,170 | | | | 895 | |
0.38%, 07/21/2025 | | | 1,000 | | | | 912 | |
1.50%, 02/12/2025 | | | 107 | | | | 101 | |
6.25%, 07/15/2032 | | | 199 | | | | 231 | |
6.75%, 03/15/2031 | | | 400 | | | | 469 | |
FHLMC Coupon STRIPs, Zero Coupon, 07/15/2031 | | | 100 | | | | 71 | |
FHLMC STRIPs, Zero Coupon, 03/15/2031 | | | 497 | | | | 358 | |
FNMA, | | | | | | | | |
0.88%, 08/05/2030 | | | 810 | | | | 651 | |
5.38%, 12/07/2028 | | GBP | 460 | | | | 583 | |
Resolution Funding Corp. Interest STRIP, | | | | | | | | |
Zero Coupon, 07/15/2027 | | | 53 | | | | 44 | |
Zero Coupon, 07/15/2028 | | | 166 | | | | 133 | |
Zero Coupon, 10/15/2028 | | | 993 | | | | 789 | |
Zero Coupon, 10/15/2029 | | | 175 | | | | 133 | |
Zero Coupon, 01/15/2030 | | | 950 | | | | 713 | |
Zero Coupon, 04/15/2030 | | | 1,780 | | | | 1,319 | |
Resolution Funding Corp. Principal STRIP, | | | | | | | | |
Zero Coupon, 01/15/2030 | | | 1,050 | | | | 787 | |
Zero Coupon, 04/15/2030 | | | 145 | | | | 108 | |
Tennessee Valley Authority, 4.63%, 06/07/2043 | | GBP | 200 | | | | 231 | |
| | | | | | | | |
Total U.S. Government Agency Securities (Cost $13,555) | | | | | | | 11,972 | |
| | | | | | | | |
U.S. Treasury Obligations — 11.2% | |
U.S. Treasury Bonds, | | | | | | | | |
1.13%, 05/15/2040 | | | 33,782 | | | | 21,858 | |
1.13%, 08/15/2040 | | | 41,325 | | | | 26,519 | |
1.25%, 05/15/2050 (jj) | | | 7,480 | | | | 4,196 | |
1.38%, 11/15/2040 | | | 65,670 | | | | 43,858 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 141 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
U.S. Treasury Obligations — continued | | | | | |
1.38%, 08/15/2050 | | | 1,626 | | | | 943 | |
1.63%, 11/15/2050 | | | 1,600 | | | | 992 | |
1.75%, 08/15/2041 | | | 94,300 | | | | 66,132 | |
1.88%, 02/15/2041 | | | 80,400 | | | | 58,293 | |
1.88%, 02/15/2051 | | | 1,100 | | | | 727 | |
1.88%, 11/15/2051 | | | 2,030 | | | | 1,337 | |
2.00%, 11/15/2041 | | | 102,500 | | | | 74,897 | |
2.00%, 02/15/2050 | | | 2,169 | | | | 1,484 | |
2.00%, 08/15/2051 | | | 2,450 | | | | 1,667 | |
2.25%, 05/15/2041 | | | 83,400 | | | | 64,130 | |
2.25%, 08/15/2046 | | | 940 | | | | 685 | |
2.25%, 08/15/2049 | | | 1,200 | | | | 870 | |
2.25%, 02/15/2052 | | | 400 | | | | 289 | |
2.38%, 02/15/2042 | | | 78,650 | | | | 61,126 | |
2.38%, 11/15/2049 | | | 700 | | | | 522 | |
2.38%, 05/15/2051 | | | 1,800 | | | | 1,336 | |
2.50%, 02/15/2045 | | | 1,420 | | | | 1,097 | |
2.50%, 02/15/2046 | | | 700 | | | | 538 | |
2.50%, 05/15/2046 | | | 970 | | | | 744 | |
2.75%, 08/15/2042 | | | 14,200 | | | | 11,686 | |
2.75%, 11/15/2042 | | | 13,850 | | | | 11,373 | |
2.75%, 08/15/2047 | | | 700 | | | | 562 | |
2.75%, 11/15/2047 | | | 1,575 | | | | 1,264 | |
2.88%, 05/15/2043 | | | 17,120 | | | | 14,297 | |
2.88%, 08/15/2045 | | | 1,435 | | | | 1,182 | |
2.88%, 11/15/2046 | | | 500 | | | | 411 | |
2.88%, 05/15/2049 | | | 1,500 | | | | 1,237 | |
2.88%, 05/15/2052 | | | 840 | | | | 695 | |
3.00%, 05/15/2042 | | | 11,500 | | | | 9,871 | |
3.00%, 11/15/2044 | | | 900 | | | | 760 | |
3.00%, 05/15/2045 | | | 1,730 | | | | 1,458 | |
3.00%, 11/15/2045 | | | 229 | | | | 193 | |
3.00%, 02/15/2047 | | | 338 | | | | 284 | |
3.00%, 05/15/2047 | | | 500 | | | | 420 | |
3.00%, 02/15/2048 | | | 250 | | | | 210 | |
3.00%, 08/15/2048 | | | 620 | | | | 522 | |
3.00%, 02/15/2049 | | | 750 | | | | 633 | |
3.00%, 08/15/2052 | | | 850 | | | | 722 | |
3.13%, 11/15/2041 | | | 11,300 | | | | 9,938 | |
3.13%, 02/15/2042 | | | 11,450 | | | | 10,047 | |
3.13%, 02/15/2043 | | | 16,060 | | | | 13,985 | |
3.13%, 08/15/2044 | | | 350 | | | | 302 | |
3.13%, 05/15/2048 | | | 220 | | | | 190 | |
3.25%, 05/15/2042 | | | 57,100 | | | | 50,870 | |
3.38%, 08/15/2042 | | | 46,750 | | | | 42,369 | |
3.38%, 11/15/2048 | | | 700 | | | | 631 | |
3.50%, 02/15/2039 | | | 500 | | | | 479 | |
3.63%, 08/15/2043 | | | 1,790 | | | | 1,678 | |
3.63%, 02/15/2044 | | | 1,500 | | | | 1,403 | |
3.63%, 02/15/2053 | | | 1,070 | | | | 1,025 | |
3.63%, 05/15/2053 | | | 740 | | | | 710 | |
3.75%, 08/15/2041 | | | 8,300 | | | | 8,005 | |
3.75%, 11/15/2043 | | | 3,115 | | | | 2,972 | |
3.88%, 08/15/2040 | | | 27,100 | | | | 26,852 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | |
3.88%, 02/15/2043 | | | 23,030 | | | | 22,415 | |
3.88%, 05/15/2043 | | | 13,300 | | | | 12,955 | |
4.00%, 11/15/2042 | | | 35,430 | | | | 35,148 | |
4.00%, 11/15/2052 | | | 975 | | | | 1,000 | |
4.25%, 11/15/2040 | | | 19,769 | | | | 20,517 | |
4.38%, 02/15/2038 | | | 3,000 | | | | 3,187 | |
4.38%, 11/15/2039 | | | 14,900 | | | | 15,752 | |
4.38%, 05/15/2040 | | | 21,500 | | | | 22,689 | |
4.38%, 05/15/2041 | | | 6,010 | | | | 6,316 | |
4.50%, 02/15/2036 | | | 1,805 | | | | 1,946 | |
4.50%, 05/15/2038 | | | 16,691 | | | | 17,938 | |
4.63%, 02/15/2040 | | | 19,900 | | | | 21,663 | |
4.75%, 02/15/2037 | | | 800 | | | | 884 | |
4.75%, 02/15/2041 | | | 14,400 | | | | 15,876 | |
5.00%, 05/15/2037 | | | 1,500 | | | | 1,696 | |
5.25%, 02/15/2029 | | | 365 | | | | 385 | |
U.S. Treasury Inflation Indexed Note, 0.13%, 04/15/2025 | | | 47 | | | | 45 | |
U.S. Treasury Notes, | | | | | | | | |
0.25%, 06/15/2024 | | | 3,500 | | | | 3,333 | |
0.25%, 05/31/2025 | | | 1,000 | | | | 915 | |
0.25%, 06/30/2025 | | | 1,500 | | | | 1,370 | |
0.25%, 07/31/2025 | | | 490 | | | | 446 | |
0.25%, 08/31/2025 | | | 500 | | | | 454 | |
0.25%, 09/30/2025 | | | 500 | | | | 453 | |
0.38%, 08/15/2024 | | | 2,000 | | | | 1,892 | |
0.38%, 04/30/2025 | | | 1,195 | | | | 1,099 | |
0.38%, 11/30/2025 | | | 500 | | | | 451 | |
0.38%, 12/31/2025 | | | 900 | | | | 811 | |
0.38%, 01/31/2026 | | | 600 | | | | 539 | |
0.38%, 07/31/2027 | | | 315 | | | | 269 | |
0.38%, 09/30/2027 | | | 500 | | | | 425 | |
0.50%, 03/31/2025 | | | 500 | | | | 462 | |
0.50%, 04/30/2027 | | | 532 | | | | 461 | |
0.50%, 05/31/2027 | | | 500 | | | | 432 | |
0.50%, 08/31/2027 | | | 400 | | | | 343 | |
0.50%, 10/31/2027 | | | 700 | | | | 597 | |
0.63%, 07/31/2026 | | | 2,350 | | | | 2,093 | |
0.63%, 03/31/2027 | | | 1,000 | | | | 873 | |
0.63%, 11/30/2027 | | | 200 | | | | 171 | |
0.63%, 12/31/2027 | | | 500 | | | | 427 | |
0.63%, 05/15/2030 | | | 4,243 | | | | 3,398 | |
0.63%, 08/15/2030 | | | 2,755 | | | | 2,194 | |
0.75%, 03/31/2026 | | | 1,500 | | | | 1,355 | |
0.75%, 04/30/2026 | | | 1,500 | | | | 1,350 | |
0.75%, 05/31/2026 | | | 1,900 | | | | 1,706 | |
0.75%, 08/31/2026 | | | 2,000 | | | | 1,783 | |
0.75%, 01/31/2028 | | | 1,000 | | | | 857 | |
0.88%, 06/30/2026 | | | 1,000 | | | | 901 | |
0.88%, 09/30/2026 | | | 2,300 | | | | 2,057 | |
0.88%, 11/15/2030 | | | 2,200 | | | | 1,779 | |
1.00%, 12/15/2024 | | | 500 | | | | 470 | |
1.00%, 07/31/2028 | | | 1,095 | | | | 939 | |
1.13%, 10/31/2026 | | | 500 | | | | 449 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 142 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
U.S. Treasury Obligations — continued | | | | | |
1.13%, 02/28/2027 | | | 1,000 | | | | 892 | |
1.13%, 02/29/2028 | | | 1,300 | | | | 1,132 | |
1.13%, 08/31/2028 | | | 3,500 | | | | 3,015 | |
1.13%, 02/15/2031 | | | 2,600 | | | | 2,137 | |
1.25%, 11/30/2026 | | | 1,500 | | | | 1,351 | |
1.25%, 12/31/2026 | | | 1,700 | | | | 1,530 | |
1.25%, 03/31/2028 | | | 500 | | | | 437 | |
1.25%, 04/30/2028 | | | 2,100 | | | | 1,833 | |
1.25%, 05/31/2028 | | | 1,750 | | | | 1,526 | |
1.25%, 06/30/2028 | | | 390 | | | | 339 | |
1.25%, 09/30/2028 | | | 1,800 | | | | 1,558 | |
1.25%, 08/15/2031 | | | 1,430 | | | | 1,173 | |
1.38%, 10/31/2028 | | | 2,300 | | | | 2,000 | |
1.38%, 12/31/2028 | | | 2,500 | | | | 2,168 | |
1.38%, 11/15/2031 | | | 1,700 | | | | 1,401 | |
1.50%, 10/31/2024 | | | 500 | | | | 476 | |
1.50%, 11/30/2024 | | | 300 | | | | 285 | |
1.50%, 08/15/2026 | | | 1,000 | | | | 914 | |
1.50%, 01/31/2027 | | | 500 | | | | 453 | |
1.50%, 11/30/2028 | | | 500 | | | | 437 | |
1.50%, 02/15/2030 | | | 1,149 | | | | 984 | |
1.63%, 02/15/2026 | | | 500 | | | | 463 | |
1.63%, 05/15/2026 | | | 1,500 | | | | 1,383 | |
1.63%, 10/31/2026 | | | 600 | | | | 549 | |
1.63%, 08/15/2029 | | | 500 | | | | 436 | |
1.63%, 05/15/2031 | | | 1,970 | | | | 1,673 | |
1.75%, 03/15/2025 | | | 4,800 | | | | 4,540 | |
1.75%, 12/31/2026 | | | 840 | | | | 769 | |
1.75%, 01/31/2029 | | | 500 | | | | 442 | |
1.75%, 11/15/2029 | | | 500 | | | | 438 | |
1.88%, 02/28/2027 | | | 1,500 | | | | 1,374 | |
1.88%, 02/28/2029 | | | 500 | | | | 444 | |
1.88%, 02/15/2032 | | | 1,550 | | | | 1,327 | |
2.00%, 08/15/2025 | | | 1,000 | | | | 943 | |
2.00%, 11/15/2026 | | | 700 | | | | 647 | |
2.13%, 07/31/2024 | | | 3,000 | | | | 2,897 | |
2.13%, 09/30/2024 | | | 400 | | | | 385 | |
2.13%, 05/15/2025 | | | 1,000 | | | | 949 | |
2.13%, 05/31/2026 | | | 200 | | | | 187 | |
2.25%, 11/15/2024 | | | 700 | | | | 672 | |
2.25%, 11/15/2025 | | | 538 | | | | 508 | |
2.25%, 03/31/2026 | | | 400 | | | | 376 | |
2.25%, 02/15/2027 | | | 1,200 | | | | 1,115 | |
2.25%, 08/15/2027 | | | 200 | | | | 185 | |
2.25%, 11/15/2027 | | | 250 | | | | 230 | |
2.38%, 08/15/2024 | | | 800 | | | | 774 | |
2.38%, 04/30/2026 | | | 500 | | | | 471 | |
2.38%, 05/15/2027 | | | 1,000 | | | | 931 | |
2.38%, 03/31/2029 | | | 1,100 | | | | 1,004 | |
2.38%, 05/15/2029 | | | 600 | | | | 547 | |
2.50%, 01/31/2025 | | | 500 | | | | 480 | |
2.50%, 03/31/2027 | | | 1,000 | | | | 937 | |
2.63%, 02/15/2029 | | | 500 | | | | 463 | |
2.63%, 07/31/2029 | | | 500 | | | | 462 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
| | | | | |
2.75%, 02/28/2025 | | | 1,000 | | | | 963 | |
2.75%, 06/30/2025 | | | 800 | | | | 767 | |
2.75%, 04/30/2027 | | | 1,500 | | | | 1,416 | |
2.75%, 07/31/2027 | | | 900 | | | | 848 | |
2.75%, 02/15/2028 | | | 1,980 | | | | 1,860 | |
2.75%, 05/31/2029 | | | 1,000 | | | | 931 | |
2.75%, 08/15/2032 | | | 1,600 | | | | 1,466 | |
2.88%, 04/30/2025 | | | 900 | | | | 866 | |
2.88%, 06/15/2025 | | | 2,500 | | | | 2,404 | |
2.88%, 07/31/2025 | | | 1,000 | | | | 961 | |
2.88%, 11/30/2025 | | | 1,300 | | | | 1,246 | |
2.88%, 05/15/2028 | | | 1,500 | | | | 1,415 | |
2.88%, 08/15/2028 | | | 1,800 | | | | 1,695 | |
2.88%, 04/30/2029 | | | 1,000 | | | | 937 | |
2.88%, 05/15/2032 | | | 2,885 | | | | 2,674 | |
3.00%, 07/31/2024 | | | 1,000 | | | | 975 | |
3.00%, 07/15/2025 | | | 1,000 | | | | 964 | |
3.00%, 09/30/2025 | | | 60 | | | | 58 | |
3.13%, 08/15/2025 | | | 1,000 | | | | 966 | |
3.13%, 08/31/2027 | | | 1,000 | | | | 956 | |
3.13%, 11/15/2028 | | | 4,990 | | | | 4,752 | |
3.25%, 06/30/2027 | | | 500 | | | | 481 | |
3.25%, 06/30/2029 | | | 1,000 | | | | 956 | |
3.38%, 05/15/2033 | | | 1,250 | | | | 1,205 | |
3.50%, 09/15/2025 | | | 700 | | | | 681 | |
3.50%, 01/31/2028 | | | 500 | | | | 485 | |
3.50%, 04/30/2028 | | | 500 | | | | 486 | |
3.50%, 01/31/2030 | | | 4,200 | | | | 4,074 | |
3.50%, 04/30/2030 | | | 650 | | | | 631 | |
3.50%, 02/15/2033 | | | 14,670 | | | | 14,283 | |
3.63%, 05/15/2026 | | | 1,000 | | | | 975 | |
3.63%, 03/31/2028 | | | 700 | | | | 684 | |
3.63%, 05/31/2028 (jj) | | | 17,995 | | | | 17,596 | |
3.63%, 03/31/2030 | | | 550 | | | | 538 | |
3.75%, 04/15/2026 | | | 900 | | | | 881 | |
3.75%, 05/31/2030 | | | 940 | | | | 926 | |
3.75%, 06/30/2030 | | | 800 | | | | 789 | |
3.88%, 01/15/2026 | | | 1,000 | | | | 981 | |
3.88%, 11/30/2027 | | | 985 | | | | 971 | |
3.88%, 12/31/2027 | | | 850 | | | | 838 | |
3.88%, 09/30/2029 | | | 300 | | | | 297 | |
3.88%, 11/30/2029 | | | 990 | | | | 981 | |
3.88%, 12/31/2029 | | | 1,210 | | | | 1,199 | |
4.00%, 12/15/2025 | | | 1,700 | | | | 1,673 | |
4.00%, 02/15/2026 | | | 1,500 | | | | 1,477 | |
4.00%, 02/29/2028 | | | 900 | | | | 893 | |
4.00%, 06/30/2028 | | | 400 | | | | 398 | |
4.00%, 10/31/2029 | | | 1,000 | | | | 997 | |
4.00%, 02/28/2030 | | | 700 | | | | 699 | |
4.13%, 01/31/2025 | | | 800 | | | | 787 | |
4.13%, 06/15/2026 | | | 2,000 | | | | 1,979 | |
4.13%, 10/31/2027 | | | 700 | | | | 696 | |
4.13%, 11/15/2032 | | | 2,400 | | | | 2,451 | |
4.25%, 09/30/2024 | | | 700 | | | | 691 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 143 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Long Positions — continued | | | | | | | | |
U.S. Treasury Obligations — continued | | | | | |
4.25%, 05/31/2025 | | | 9,615 | | | | 9,493 | |
4.25%, 10/15/2025 | | | 1,450 | | | | 1,434 | |
4.50%, 11/30/2024 | | | 1,500 | | | | 1,484 | |
4.50%, 11/15/2025 | | | 1,000 | | | | 995 | |
4.63%, 02/28/2025 | | | 1,000 | | | | 992 | |
4.63%, 06/30/2025 | | | 800 | | | | 796 | |
4.63%, 03/15/2026 | | | 2,000 | | | | 2,002 | |
U.S. Treasury STRIP Coupon Bonds, | | | | | | | | |
Zero Coupon, 05/15/2024 | | | 800 | | | | 765 | |
Zero Coupon, 05/15/2026 | | | 5,000 | | | | 4,400 | |
Zero Coupon, 11/15/2026 | | | 5,000 | | | | 4,318 | |
Zero Coupon, 11/15/2028 (ee) (ff) | | | 12,000 | | | | 9,623 | |
Zero Coupon, 11/15/2038 (jj) | | | 6,250 | | | | 3,357 | |
Zero Coupon, 11/15/2041 | | | 200 | | | | 93 | |
Zero Coupon, 08/15/2045 | | | 600 | | | | 240 | |
| | | | | | | | |
Total U.S. Treasury Obligations (Cost $1,122,315) | | | | | | | 1,089,275 | |
| | | | | | | | |
Short-Term Investments — 4.0% | |
Repurchase Agreements — 0.5% | |
BNP Paribas Securities Corp., | | | | | | | | |
5.10%, dated 06/30/2023 due 07/03/2023, repurchase price $23,510 collateralized by U.S. Treasury Security, 0.13%, due 01/15/2030, with a value of $24,028. | | | 23,500 | | | | 23,500 | |
5.14%, dated 07/03/2023 due 07/05/2023, repurchase price $24,207 collateralized by U.S. Treasury Security, 1.88%, due 08/31/2024, with a value of $24,666. | | | 24,200 | | | | 24,200 | |
| | | | | | | | |
| | |
Total Repurchase Agreements | | | | | | | 47,700 | |
| | | | | | | | |
Time Deposits — 3.4% | |
Australia & New Zealand Banking Group Ltd., | | | | | | | | |
2.77%, 07/03/2023 | | AUD | 101 | | | | 68 | |
4.42%, 07/03/2023 | | | 8,020 | | | | 8,020 | |
Brown Brothers Harriman & Co., | | | | | | | | |
1.97%, 07/03/2023 | | DKK | 419 | | | | 62 | |
2.22%, 07/03/2023 | | SEK | 1,327 | | | | 123 | |
2.60%, 07/03/2023 | | NOK | 756 | | | | 70 | |
2.80%, 07/03/2023 | | SGD | 5 | | | | 3 | |
3.47%, 07/03/2023 | | HKD | 2 | | | | — | (h) |
3.90%, 07/03/2023 | | NZD | 17 | | | | 10 | |
Citibank NA, | | | | | | | | |
2.37%, 07/03/2023 | | EUR | 10,755 | | | | 11,736 | |
4.42%, 07/03/2023 | | | 23,902 | | | | 23,902 | |
Royal Bank of Canada, | | | | | | | | |
3.54%, 07/04/2023 | | CAD | 135 | | | | 102 | |
4.42%, 07/03/2023 | | | 106,218 | | | | 106,218 | |
Skandinaviska Enskilda Banken AB, | | | | | | | | |
0.65%, 07/03/2023 | | CHF | 482 | | | | 538 | |
2.37%, 07/03/2023 | | EUR | 17,531 | | | | 19,130 | |
3.92%, 07/03/2023 | | GBP | 3,278 | | | | 4,164 | |
4.42%, 07/03/2023 | | | 43,409 | | | | 43,409 | |
Sumitomo Mitsui Banking Corp., (0.37%), 07/03/2023 | | JPY | 19,395 | | | | 135 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Time Deposits — continued | |
Sumitomo Mitsui Trust Bank Ltd., 4.42%, 07/03/2023 | | | 110,967 | | | | 110,967 | |
| | | | | | | | |
Total Time Deposits | | | | | | | 328,657 | |
| | | | | | | | |
U.S. Treasury Obligations — 0.1% | |
U.S. Treasury Bills, | | | | | | | | |
Zero Coupon, 07/05/2023 | | | 700 | | | | 700 | |
Zero Coupon, 07/25/2023 | | | 1,400 | | | | 1,396 | |
Zero Coupon, 08/10/2023 (hh) | | | 136 | | | | 135 | |
Zero Coupon, 09/07/2023 (hh) (ii) | | | 2,365 | | | | 2,342 | |
Zero Coupon, 08/03/2023 | | | 700 | | | | 697 | |
Zero Coupon, 08/17/2023 (hh) | | | 105 | | | | 104 | |
Zero Coupon, 09/12/2023 (hh) | | | 1,310 | | | | 1,297 | |
Zero Coupon, 09/14/2023 (hh) | | | 580 | | | | 574 | |
Zero Coupon, 08/24/2023 (hh) (ii) | | | 810 | | | | 804 | |
| | | | | | | | |
| | |
Total U.S. Treasury Obligations | | | | | | | 8,049 | |
| | | | | | | | |
Total Short-Term Investments
(Cost $384,404) | | | | | | | 384,406 | |
| | | | | | | | |
| | |
Total Investments, Before Short Positions — 106.9%
(Cost — $10,916,257) * | | | | | | | 10,390,627 | |
| |
Liabilities in Excess of Other Assets — (6.9)% | | | | (671,485 | ) |
| | | | | | | | |
| | |
NET ASSETS — 100.0% | | | | | | $ | 9,719,142 | |
| | | | | | | | |
Short Positions — 1.8% | |
Mortgage-Backed Securities — 1.8% | |
FHLMC Pool, Single Family, 15 years, | | | | | | | | |
3.50%, 12/01/2035 | | | 52 | | | | 49 | |
3.50%, 02/01/2036 | | | 179 | | | | 170 | |
FNMA or FHLMC, Single Family, 15 years, | | | | | | | | |
TBA, 2.00%, 07/01/2038 (w) | | | 200 | | | | 177 | |
TBA, 3.00%, 07/01/2038 (w) | | | 4,900 | | | | 4,572 | |
TBA, 3.50%, 07/01/2038 (w) | | | 100 | | | | 95 | |
TBA, 4.00%, 07/01/2036 (w) | | | 2,700 | | | | 2,607 | |
FNMA or FHLMC, Single Family, 30 years, | | | | | | | | |
TBA, 3.00%, 07/01/2053 (w) | | | 500 | | | | 440 | |
TBA, 3.00%, 08/01/2053 (w) | | | 98,400 | | | | 86,746 | |
TBA, 3.50%, 07/01/2053 (w) | | | 4,000 | | | | 3,645 | |
TBA, 3.50%, 08/01/2053 (w) | | | 48,965 | | | | 44,673 | |
TBA, 4.50%, 08/01/2053 (w) | | | 2,200 | | | | 2,117 | |
FNMA Pool, Single Family, 15 years, | | | | | | | | |
3.50%, 06/01/2035 | | | 284 | | | | 271 | |
3.50%, 04/01/2035 | | | 880 | | | | 836 | |
GNMA II Pool, Single Family, 30 years, 4.00%, 12/20/2050 | | | 2,547 | | | | 2,430 | |
GNMA, Single Family, 30 years, | | | | | | | | |
TBA, 2.50%, 07/01/2053 (w) | | | 12,100 | | | | 10,474 | |
TBA, 2.50%, 08/01/2053 (w) | | | 12,000 | | | | 10,395 | |
TBA, 4.50%, 08/01/2053 (w) | | | 6,600 | | | | 6,378 | |
| | | | | | | | |
Total Mortgage-Backed Securities (Proceeds $178,508) | | | | | | | 176,075 | |
| | | | | | | | |
| | |
Total Securities Sold Short — 1.8% (Proceeds $178,508)* | | | | | | | 176,075 | |
| | | | | | | | |
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 144 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | | | | | | | | | | | | | |
| Futures contracts outstanding as of June 30, 2023: | |
| Exchange Traded | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT($) | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION)($) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
Australian Government 10 Year Bond | | | 20 | | | | 09/2023 | | | | AUD | | | | 1,559 | | | | (11 | ) |
Canadian Government 10 Year Bond | | | 3 | | | | 09/2023 | | | | CAD | | | | 276 | | | | 1 | |
Euro Bund | | | 100 | | | | 09/2023 | | | | EUR | | | | 14,458 | | | | 135 | |
Euro Buxl | | | 40 | | | | 09/2023 | | | | EUR | | | | 5,985 | | | | 109 | |
Euro Schatz | | | 97 | | | | 09/2023 | | | | EUR | | | | 11,167 | | | | (69 | ) |
Long Gilt | | | 164 | | | | 09/2023 | | | | GBP | | | | 20,168 | | | | (319 | ) |
SOFR 3 Month | | | 212 | | | | 09/2023 | | | | USD | | | | 50,300 | | | | (162 | ) |
SOFR 3 Month | | | 1,275 | | | | 03/2024 | | | | USD | | | | 302,765 | | | | (319 | ) |
U.S. Treasury 10 Year Note | | | 80 | | | | 09/2023 | | | | USD | | | | 9,136 | | | | (154 | ) |
U.S. Treasury 2 Year Note | | | 46 | | | | 09/2023 | | | | USD | | | | 9,455 | | | | (101 | ) |
U.S. Treasury 5 Year Note | | | 201 | | | | 09/2023 | | | | USD | | | | 21,893 | | | | (367 | ) |
U.S. Treasury Long Bond | | | 228 | | | | 09/2023 | | | | USD | | | | 29,013 | | | | (78 | ) |
U.S. Treasury Ultra Bond | | | 119 | | | | 09/2023 | | | | USD | | | | 16,138 | | | | 72 | |
U.S. Ultra Treasury 10 Year Note | | | 46 | | | | 09/2023 | | | | USD | | | | 5,503 | | | | (55 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (1,318 | ) |
| | | | | | | | | | | | | | | | | | | | |
Short Contracts | | | | | | | | | | | | | | | | | | | | |
Euro BOBL | | | (402 | ) | | | 09/2023 | | | | EUR | | | | (51,413 | ) | | | 655 | |
Euro Bund | | | (25 | ) | | | 09/2023 | | | | EUR | | | | (3,684 | ) | | | 36 | |
SOFR 3 Month | | | (106 | ) | | | 12/2023 | | | | USD | | | | (25,233 | ) | | | 154 | |
SOFR 3 Month | | | (1,381 | ) | | | 06/2024 | | | | USD | | | | (329,351 | ) | | | 535 | |
U.S. Treasury 10 Year Note | | | (326 | ) | | | 09/2023 | | | | USD | | | | (37,233 | ) | | | 634 | |
U.S. Treasury 2 Year Note | | | (26 | ) | | | 09/2023 | | | | USD | | | | (5,356 | ) | | | 69 | |
U.S. Treasury 5 Year Note | | | (10 | ) | | | 09/2023 | | | | USD | | | | (1,093 | ) | | | 22 | |
U.S. Treasury Long Bond | | | (24 | ) | | | 09/2023 | | | | USD | | | | (3,051 | ) | | | 5 | |
U.S. Treasury Ultra Bond | | | (26 | ) | | | 09/2023 | | | | USD | | | | (3,515 | ) | | | (27 | ) |
U.S. Ultra Treasury 10 Year Note | | | (25 | ) | | | 09/2023 | | | | USD | | | | (2,987 | ) | | | 26 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 2,109 | |
| | | | | | | | | | | | | | | | | | | | |
Total unrealized appreciation (depreciation) | | | | | | | | | | | | | | | | | | | 791 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| Forward foreign currency exchange contracts outstanding as of June 30, 2023: | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION)($) | |
USD | | | 402 | | | | AUD | | | | 602 | | | Bank of America, NA | | | 07/05/2023 | | | | 1 | |
AUD | | | 3,360 | | | | USD | | | | 2,233 | | | Bank of America, NA | | | 07/05/2023 | | | | 5 | |
AUD | | | 60 | | | | USD | | | | 39 | | | Goldman Sachs International | | | 07/05/2023 | | | | 1 | |
AUD | | | 602 | | | | USD | | | | 396 | | | HSBC Bank plc | | | 07/05/2023 | | | | 5 | |
USD | | | 2,847 | | | | CAD | | | | 3,744 | | | Goldman Sachs International | | | 07/05/2023 | | | | 20 | |
CAD | | | 656 | | | | USD | | | | 483 | | | HSBC Bank plc | | | 07/05/2023 | | | | 12 | |
CAD | | | 3,089 | | | | USD | | | | 2,283 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | 49 | |
CHF | | | 40 | | | | USD | | | | 44 | | | Goldman Sachs International | | | 07/05/2023 | | | | 1 | |
CHF | | | 3,290 | | | | USD | | | | 3,654 | | | Goldman Sachs International | | | 07/05/2023 | | | | 22 | |
CHF | | | 10,022 | | | | USD | | | | 11,115 | | | UBS AG London | | | 07/05/2023 | | | | 81 | |
USD | | | 1,828 | | | | CNY | | | | 13,200 | | | Brown Brothers Harriman & Co. | | | 07/05/2023 | | | | 10 | |
USD | | | 907,423 | | | | CNY | | | | 6,429,200 | | | Brown Brothers Harriman & Co. | | | 07/05/2023 | | | | 22,352 | |
USD | | | 29,655 | | | | CNY | | | | 210,000 | | | Brown Brothers Harriman & Co. | | | 07/05/2023 | | | | 745 | |
USD | | | 3,275 | | | | CNY | | | | 23,600 | | | Brown Brothers Harriman & Co. | | | 07/05/2023 | | | | 26 | |
USD | | | 2,686 | | | | CNY | | | | 19,000 | | | Brown Brothers Harriman & Co. | | | 07/05/2023 | | | | 70 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 145 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION)($) | |
USD | | | 1,635 | | | | CNY | | | | 11,800 | | | Brown Brothers Harriman & Co. | | | 07/05/2023 | | | | 11 | |
USD | | | 3,510 | | | | CNY | | | | 25,000 | | | Brown Brothers Harriman & Co. | | | 07/05/2023 | | | | 69 | |
USD | | | 12,688 | | | | CNY | | | | 90,000 | | | Brown Brothers Harriman & Co. | | | 07/05/2023 | | | | 298 | |
DKK | | | 47,197 | | | | USD | | | | 6,872 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | 45 | |
DKK | | | 7,590 | | | | USD | | | | 1,106 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | 7 | |
EUR | | | 84,825 | | | | USD | | | | 91,950 | | | Citibank, NA | | | 07/05/2023 | | | | 611 | |
EUR | | | 3,091,561 | | | | USD | | | | 3,369,183 | | | Citibank, NA | | | 07/05/2023 | | | | 4,329 | |
EUR | | | 41,824 | | | | USD | | | | 45,337 | | | Citibank, NA | | | 07/05/2023 | | | | 301 | |
EUR | | | 805,083 | | | | USD | | | | 877,540 | | | Goldman Sachs International | | | 07/05/2023 | | | | 966 | |
USD | | | 1,186 | | | | EUR | | | | 1,085 | | | Goldman Sachs International | | | 07/05/2023 | | | | 2 | |
USD | | | 343 | | | | EUR | | | | 313 | | | HSBC Bank plc | | | 07/05/2023 | | | | 2 | |
USD | | | 5 | | | | EUR | | | | 5 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | — | (h) |
USD | | | 27 | | | | EUR | | | | 25 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | — | (h) |
EUR | | | 19,041 | | | | USD | | | | 20,740 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | 38 | |
USD | | | 115 | | | | EUR | | | | 105 | | | UBS AG London | | | 07/05/2023 | | | | — | (h) |
EUR | | | 210 | | | | USD | | | | 225 | | | UBS AG London | | | 07/05/2023 | | | | 4 | |
EUR | | | 2,000 | | | | USD | | | | 2,135 | | | UBS AG London | | | 07/05/2023 | | | | 47 | |
EUR | | | 654 | | | | USD | | | | 700 | | | Westpac Banking Corp. | | | 07/05/2023 | | | | 14 | |
GBP | | | 439,457 | | | | USD | | | | 556,375 | | | Bank of America, NA | | | 07/05/2023 | | | | 1,736 | |
GBP | | | 137,634 | | | | USD | | | | 174,251 | | | Bank of America, NA | | | 07/05/2023 | | | | 544 | |
GBP | | | 459 | | | | USD | | | | 569 | | | HSBC Bank plc | | | 07/05/2023 | | | | 14 | |
GBP | | | 12,080 | | | | USD | | | | 14,983 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | 359 | |
GBP | | | 566 | | | | USD | | | | 717 | | | UBS AG London | | | 07/05/2023 | | | | 2 | |
USD | | | 26 | | | | HKD | | | | 200 | | | Goldman Sachs International | | | 07/05/2023 | | | | — | (h) |
HUF | | | 1,386,696 | | | | USD | | | | 4,051 | | | Goldman Sachs International | | | 07/05/2023 | | | | 11 | |
USD | | | 19,224 | | | | JPY | | | | 2,676,520 | | | Bank of America, NA | | | 07/05/2023 | | | | 675 | |
USD | | | 369 | | | | JPY | | | | 51,540 | | | Deutsche Bank AG | | | 07/05/2023 | | | | 12 | |
USD | | | 7 | | | | JPY | | | | 1,040 | | | Deutsche Bank AG | | | 07/05/2023 | | | | — | (h) |
USD | | | 64,754 | | | | JPY | | | | 8,989,616 | | | HSBC Bank plc | | | 07/05/2023 | | | | 2,453 | |
USD | | | 399 | | | | JPY | | | | 55,420 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | 15 | |
JPY | | | 2,807,400 | | | | USD | | | | 19,411 | | | Royal Bank of Canada | | | 07/05/2023 | | | | 45 | |
USD | | | 85 | | | | JPY | | | | 11,900 | | | Royal Bank of Canada | | | 07/05/2023 | | | | 3 | |
USD | | | 76 | | | | JPY | | | | 10,980 | | | Toronto-Dominion Bank (The) | | | 07/05/2023 | | | | — | (h) |
NOK | | | 47,175 | | | | USD | | | | 4,382 | | | Bank of America, NA | | | 07/05/2023 | | | | 13 | |
NZD | | | 400 | | | | USD | | | | 243 | | | Royal Bank of Canada | | | 07/05/2023 | | | | 2 | |
PLN | | | 44,493 | | | | USD | | | | 10,857 | | | Goldman Sachs International | | | 07/05/2023 | | | | 86 | |
RON | | | 23,120 | | | | USD | | | | 5,052 | | | Goldman Sachs International | | | 07/05/2023 | | | | 37 | |
SEK | | | 540 | | | | USD | | | | 50 | | | Bank of America, NA | | | 07/05/2023 | | | | — | (h) |
SEK | | | 34,693 | | | | USD | | | | 3,185 | | | Bank of America, NA | | | 07/05/2023 | | | | 32 | |
SEK | | | 73,620 | | | | USD | | | | 6,766 | | | Goldman Sachs International | | | 07/05/2023 | | | | 60 | |
SGD | | | 500 | | | | USD | | | | 369 | | | Toronto-Dominion Bank (The) | | | 07/05/2023 | | | | 1 | |
CZK | | | 198,614 | | | | USD | | | | 9,064 | | | Goldman Sachs International | | | 07/07/2023 | | | | 52 | |
USD | | | 7,610 | | | | AUD | | | | 11,301 | | | Morgan Stanley & Co. | | | 07/19/2023 | | | | 79 | |
USD | | | 2,787 | | | | CHF | | | | 2,476 | | | Barclays Bank plc | | | 07/19/2023 | | | | 16 | |
USD | | | 1,036 | | | | CZK | | | | 22,045 | | | HSBC Bank plc | | | 07/19/2023 | | | | 25 | |
USD | | | 689 | | | | DKK | | | | 4,651 | | | HSBC Bank plc | | | 07/19/2023 | | | | 7 | |
GBP | | | 321 | | | | USD | | | | 404 | | | Citibank, NA | | | 07/19/2023 | | | | 4 | |
GBP | | | 454 | | | | USD | | | | 563 | | | Morgan Stanley & Co. | | | 07/19/2023 | | | | 13 | |
USD | | | 321 | | | | JPY | | | | 44,567 | | | Bank of America, NA | | | 07/19/2023 | | | | 12 | |
USD | | | 352 | | | | NOK | | | | 3,663 | | | Goldman Sachs International | | | 07/19/2023 | | | | 11 | |
USD | | | 707 | | | | NZD | | | | 1,136 | | | Morgan Stanley & Co. | | | 07/19/2023 | | | | 10 | |
USD | | | 583 | | | | RON | | | | 2,629 | | | Morgan Stanley & Co. | | | 07/19/2023 | | | | 4 | |
USD | | | 1,122 | | | | SEK | | | | 11,538 | | | HSBC Bank plc | | | 07/19/2023 | | | | 52 | |
CHF | | | 40 | | | | USD | | | | 45 | | | Morgan Stanley & Co. | | | 08/02/2023 | | | | — | (h) |
CHF | | | 125 | | | | EUR | | | | 128 | | | UBS AG London | | | 08/02/2023 | | | | — | (h) |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 146 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION)($) | |
USD | | | 939,676 | | | | CNY | | | | 6,795,300 | | | Brown Brothers Harriman & Co. | | | 08/02/2023 | | | | 1,118 | |
USD | | | 1,058 | | | | DKK | | | | 7,179 | | | Bank of America, NA | | | 08/02/2023 | | | | 4 | |
USD | | | 940 | | | | DKK | | | | 6,403 | | | Morgan Stanley & Co. | | | 08/02/2023 | | | | — | (h) |
USD | | | 235 | | | | EUR | | | | 215 | | | Bank of America, NA | | | 08/02/2023 | | | | — | (h) |
SEK | | | 850 | | | | EUR | | | | 72 | | | Bank of America, NA | | | 08/02/2023 | | | | 1 | |
USD | | | 56,653 | | | | EUR | | | | 51,632 | | | BNP Paribas | | | 08/02/2023 | | | | 227 | |
USD | | | 9,961 | | | | EUR | | | | 9,105 | | | Citibank, NA | | | 08/02/2023 | | | | 11 | |
EUR | | | 210 | | | | USD | | | | 229 | | | Citibank, NA | | | 08/02/2023 | | | | — | (h) |
EUR | | | 11,010 | | | | USD | | | | 12,029 | | | Citibank, NA | | | 08/02/2023 | | | | 4 | |
USD | | | 45,945 | | | | EUR | | | | 41,824 | | | Morgan Stanley & Co. | | | 08/02/2023 | | | | 237 | |
EUR | | | 125 | | | | USD | | | | 137 | | | Morgan Stanley & Co. | | | 08/02/2023 | | | | — | (h) |
EUR | | | 2,980 | | | | USD | | | | 3,256 | | | Morgan Stanley & Co. | | | 08/02/2023 | | | | 1 | |
USD | | | 93,182 | | | | EUR | | | | 84,825 | | | Morgan Stanley & Co. | | | 08/02/2023 | | | | 482 | |
EUR | | | 210 | | | | USD | | | | 229 | | | Westpac Banking Corp. | | | 08/02/2023 | | | | — | (h) |
EUR | | | 642 | | | | USD | | | | 700 | | | Westpac Banking Corp. | | | 08/02/2023 | | | | 1 | |
USD | | | 25,853 | | | | GBP | | | | 20,342 | | | Barclays Bank plc | | | 08/02/2023 | | | | 13 | |
USD | | | 17,092 | | | | GBP | | | | 13,448 | | | Barclays Bank plc | | | 08/02/2023 | | | | 9 | |
USD | | | 4,001 | | | | GBP | | | | 3,145 | | | Goldman Sachs International | | | 08/02/2023 | | | | 6 | |
USD | | | 62,923 | | | | JPY | | | | 8,989,616 | | | Bank of America, NA | | | 08/02/2023 | | | | 333 | |
SEK | | | 185 | | | | USD | | | | 17 | | | Morgan Stanley & Co. | | | 08/02/2023 | | | | — | (h) |
USD | | | 511 | | | | CNH | | | | 3,621 | | | Bank of America, NA | | | 08/23/2023 | | | | 11 | |
USD | | | 889 | | | | CNH | | | | 6,294 | | | Morgan Stanley & Co. | | | 08/23/2023 | | | | 20 | |
USD | | | 51,212 | | | | CNH | | | | 357,464 | | | Morgan Stanley & Co. | | | 08/23/2023 | | | | 1,841 | |
USD | | | 1,865 | | | | IDR | | | | 27,858,741 | | | Morgan Stanley & Co. | | | 09/20/2023 | | | | 8 | |
USD | | | 871 | | | | IDR | | | | 12,975,922 | | | Morgan Stanley & Co. | | | 09/20/2023 | | | | 6 | |
USD | | | 799 | | | | ILS | | | | 2,907 | | | Citibank, NA | | | 09/20/2023 | | | | 12 | |
USD | | | 2,059 | | | | KRW | | | | 2,609,680 | | | Morgan Stanley & Co. | | | 09/20/2023 | | | | 70 | |
USD | | | 676 | | | | MYR | | | | 3,103 | | | Goldman Sachs International | | | 09/20/2023 | | | | 7 | |
USD | | | 28 | | | | MYR | | | | 130 | | | Morgan Stanley & Co. | | | 09/20/2023 | | | | — | (h) |
USD | | | 1,343 | | | | MYR | | | | 6,136 | | | Morgan Stanley & Co. | | | 09/20/2023 | | | | 21 | |
USD | | | 1,258 | | | | SGD | | | | 1,689 | | | Goldman Sachs International | | | 09/20/2023 | | | | 5 | |
USD | | | 606 | | | | THB | | | | 20,779 | | | Goldman Sachs International | | | 09/20/2023 | | | | 15 | |
USD | | | 1,400 | | | | THB | | | | 48,057 | | | Morgan Stanley & Co. | | | 09/20/2023 | | | | 34 | |
| | | | | | | | | | | | | | | | | | | | | | |
Total unrealized appreciation | | | | | | | | | | 41,026 | |
| | | | | | | | | | | | | | | | | | | | | | |
USD | | | 13 | | | | AUD | | | | 20 | | | Deutsche Bank AG | | | 07/05/2023 | | | | (— | )(h) |
USD | | | 7 | | | | AUD | | | | 10 | | | Standard Chartered Bank | | | 07/05/2023 | | | | (— | )(h) |
USD | | | 2,198 | | | | AUD | | | | 3,390 | | | UBS AG London | | | 07/05/2023 | | | | (60 | ) |
USD | | | 44 | | | | CHF | | | | 40 | | | Bank of America, NA | | | 07/05/2023 | | | | (1 | ) |
USD | | | 320 | | | | CHF | | | | 290 | | | Bank of America, NA | | | 07/05/2023 | | | | (5 | ) |
USD | | | 72 | | | | CHF | | | | 65 | | | Bank of America, NA | | | 07/05/2023 | | | | (1 | ) |
USD | | | 39 | | | | CHF | | | | 35 | | | Bank of America, NA | | | 07/05/2023 | | | | (— | )(h) |
CHF | | | 125 | | | | EUR | | | | 129 | | | Goldman Sachs International | | | 07/05/2023 | | | | (1 | ) |
USD | | | 110 | | | | CHF | | | | 100 | | | Goldman Sachs International | | | 07/05/2023 | | | | (2 | ) |
USD | | | 340 | | | | CHF | | | | 310 | | | Goldman Sachs International | | | 07/05/2023 | | | | (6 | ) |
USD | | | 209 | | | | CHF | | | | 190 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | (4 | ) |
USD | | | 17 | | | | CHF | | | | 15 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | (— | )(h) |
USD | | | 44 | | | | CHF | | | | 40 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | (— | )(h) |
USD | | | 27 | | | | CHF | | | | 25 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | (— | )(h) |
USD | | | 3,406 | | | | CHF | | | | 3,090 | | | UBS AG London | | | 07/05/2023 | | | | (46 | ) |
EUR | | | 128 | | | | CHF | | | | 125 | | | UBS AG London | | | 07/05/2023 | | | | (— | )(h) |
USD | | | 22 | | | | CHF | | | | 20 | | | UBS AG London | | | 07/05/2023 | | | | (— | )(h) |
USD | | | 10,067 | | | | CHF | | | | 9,132 | | | UBS AG London | | | 07/05/2023 | | | | (136 | ) |
CNY | | | 26,500 | | | | USD | | | | 3,756 | | | Brown Brothers Harriman & Co. | | | 07/05/2023 | | | | (107 | ) |
USD | | | 2,255 | | | | DKK | | | | 15,619 | | | Bank of America, NA | | | 07/05/2023 | | | | (34 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 147 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION)($) | |
DKK | | | 7,191 | | | | USD | | | | 1,058 | | | Bank of America, NA | | | 07/05/2023 | | | | (4 | ) |
USD | | | 8 | | | | DKK | | | | 55 | | | Bank of America, NA | | | 07/05/2023 | | | | (— | )(h) |
USD | | | 29 | | | | DKK | | | | 195 | | | Citibank, NA | | | 07/05/2023 | | | | (— | )(h) |
USD | | | 6,779 | | | | DKK | | | | 47,197 | | | Citibank, NA | | | 07/05/2023 | | | | (138 | ) |
USD | | | 1,037 | | | | DKK | | | | 7,220 | | | Citibank, NA | | | 07/05/2023 | | | | (21 | ) |
DKK | | | 6,413 | | | | USD | | | | 940 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | (— | )(h) |
USD | | | 17 | | | | DKK | | | | 120 | | | UBS AG London | | | 07/05/2023 | | | | (— | )(h) |
USD | | | 211,122 | | | | EUR | | | | 197,278 | | | Bank of America, NA | | | 07/05/2023 | | | | (4,148 | ) |
USD | | | 64,838 | | | | EUR | | | | 60,700 | | | Bank of America, NA | | | 07/05/2023 | | | | (1,398 | ) |
USD | | | 64 | | | | EUR | | | | 60 | | | Bank of America, NA | | | 07/05/2023 | | | | (1 | ) |
USD | | | 54 | | | | EUR | | | | 50 | | | Bank of America, NA | | | 07/05/2023 | | | | (1 | ) |
USD | | | 529 | | | | EUR | | | | 495 | | | Bank of America, NA | | | 07/05/2023 | | | | (11 | ) |
USD | | | 97 | | | | EUR | | | | 90 | | | Bank of America, NA | | | 07/05/2023 | | | | (2 | ) |
EUR | | | 72 | | | | SEK | | | | 850 | | | Bank of America, NA | | | 07/05/2023 | | | | (1 | ) |
USD | | | 601,180 | | | | EUR | | | | 561,480 | | | Bank of New York Mellon | | | 07/05/2023 | | | | (11,507 | ) |
EUR | | | 51,632 | | | | USD | | | | 56,573 | | | BNP Paribas | | | 07/05/2023 | | | | (232 | ) |
USD | | | 55,505 | | | | EUR | | | | 51,632 | | | BNP Paribas | | | 07/05/2023 | | | | (836 | ) |
USD | | | 43 | | | | EUR | | | | 40 | | | Citibank, NA | | | 07/05/2023 | | | | (1 | ) |
USD | | | 90,460 | | | | EUR | | | | 84,297 | | | Citibank, NA | | | 07/05/2023 | | | | (1,525 | ) |
USD | | | 43,380 | | | | EUR | | | | 40,425 | | | Citibank, NA | | | 07/05/2023 | | | | (732 | ) |
USD | | | 3,928 | | | | EUR | | | | 3,660 | | | Goldman Sachs International | | | 07/05/2023 | | | | (66 | ) |
USD | | | 1,127 | | | | EUR | | | | 1,055 | | | HSBC Bank plc | | | 07/05/2023 | | | | (24 | ) |
USD | | | 5,964 | | | | EUR | | | | 5,550 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | (93 | ) |
EUR | | | 41,824 | | | | USD | | | | 45,881 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | (243 | ) |
USD | | | 20,926 | | | | EUR | | | | 19,590 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | (451 | ) |
USD | | | 19,083 | | | | EUR | | | | 17,826 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | (369 | ) |
USD | | | 43,525 | | | | EUR | | | | 40,425 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | (586 | ) |
USD | | | 601 | | | | EUR | | | | 557 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | (7 | ) |
USD | | | 752 | | | | EUR | | | | 705 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | (17 | ) |
SEK | | | 850 | | | | EUR | | | | 73 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | (1 | )(h) |
USD | | | 1,312 | | | | EUR | | | | 1,224 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | (24 | ) |
USD | | | 90,763 | | | | EUR | | | | 84,297 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | (1,223 | ) |
EUR | | | 84,825 | | | | USD | | | | 93,053 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | (492 | ) |
USD | | | 2,044,725 | | | | EUR | | | | 1,909,611 | | | UBS AG London | | | 07/05/2023 | | | | (39,043 | ) |
USD | | | 1,101,004 | | | | EUR | | | | 1,028,250 | | | UBS AG London | | | 07/05/2023 | | | | (21,023 | ) |
USD | | | 11 | | | | EUR | | | | 10 | | | UBS AG London | | | 07/05/2023 | | | | (— | )(h) |
USD | | | 91,913 | | | | EUR | | | | 85,900 | | | UBS AG London | | | 07/05/2023 | | | | (1,821 | ) |
USD | | | 397 | | | | EUR | | | | 370 | | | UBS AG London | | | 07/05/2023 | | | | (7 | ) |
USD | | | 59 | | | | EUR | | | | 55 | | | UBS AG London | | | 07/05/2023 | | | | (1 | ) |
USD | | | 3,247 | | | | EUR | | | | 3,010 | | | UBS AG London | | | 07/05/2023 | | | | (38 | ) |
USD | | | 300 | | | | EUR | | | | 280 | | | UBS AG London | | | 07/05/2023 | | | | (6 | ) |
USD | | | 9,742 | | | | EUR | | | | 9,100 | | | UBS AG London | | | 07/05/2023 | | | | (188 | ) |
USD | | | 13,974 | | | | EUR | | | | 13,060 | | | UBS AG London | | | 07/05/2023 | | | | (278 | ) |
USD | | | 229 | | | | EUR | | | | 210 | | | Westpac Banking Corp. | | | 07/05/2023 | | | | (— | )(h) |
USD | | | 700 | | | | EUR | | | | 643 | | | Westpac Banking Corp. | | | 07/05/2023 | | | | (1 | ) |
USD | | | 3,758 | | | | GBP | | | | 3,000 | | | Bank of America, NA | | | 07/05/2023 | | | | (52 | ) |
USD | | | 874 | | | | GBP | | | | 700 | | | Bank of America, NA | | | 07/05/2023 | | | | (15 | ) |
USD | | | 3,742 | | | | GBP | | | | 3,020 | | | Bank of America, NA | | | 07/05/2023 | | | | (94 | ) |
GBP | | | 13,448 | | | | USD | | | | 17,088 | | | Barclays Bank plc | | | 07/05/2023 | | | | (8 | ) |
GBP | | | 20,342 | | | | USD | | | | 25,847 | | | Barclays Bank plc | | | 07/05/2023 | | | | (13 | ) |
USD | | | 701 | | | | GBP | | | | 566 | | | Citibank, NA | | | 07/05/2023 | | | | (18 | ) |
USD | | | 541 | | | | GBP | | | | 430 | | | Citibank, NA | | | 07/05/2023 | | | | (5 | ) |
USD | | | 25,744 | | | | GBP | | | | 20,801 | | | Goldman Sachs International | | | 07/05/2023 | | | | (673 | ) |
USD | | | 1,273 | | | | GBP | | | | 1,020 | | | Goldman Sachs International | | | 07/05/2023 | | | | (23 | ) |
USD | | | 16,644 | | | | GBP | | | | 13,448 | | | Goldman Sachs International | | | 07/05/2023 | | | | (435 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 148 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION)($) | |
USD | | | 542,992 | | | | GBP | | | | 438,537 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | (13,950 | ) |
USD | | | 164,015 | | | | GBP | | | | 132,464 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | (4,214 | ) |
USD | | | 12,463 | | | | GBP | | | | 10,000 | | | Westpac Banking Corp. | | | 07/05/2023 | | | | (237 | ) |
HKD | | | 200 | | | | USD | | | | 26 | | | Royal Bank of Canada | | | 07/05/2023 | | | | (— | )(h) |
USD | | | 3,950 | | | | HUF | | | | 1,386,696 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | (112 | ) |
JPY | | | 8,989,616 | | | | USD | | | | 62,657 | | | Bank of America, NA | | | 07/05/2023 | | | | (356 | ) |
USD | | | 4,193 | | | | NOK | | | | 47,175 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | (202 | ) |
USD | | | 240 | | | | NZD | | | | 400 | | | Toronto-Dominion Bank (The) | | | 07/05/2023 | | | | (5 | ) |
USD | | | 217 | | | | PLN | | | | 910 | | | Goldman Sachs International | | | 07/05/2023 | | | | (7 | ) |
USD | | | 10,006 | | | | PLN | | | | 42,683 | | | Goldman Sachs International | | | 07/05/2023 | | | | (492 | ) |
USD | | | 214 | | | | PLN | | | | 900 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | (7 | ) |
USD | | | 4,263 | | | | RON | | | | 19,860 | | | Goldman Sachs International | | | 07/05/2023 | | | | (108 | ) |
USD | | | 176 | | | | RON | | | | 820 | | | Goldman Sachs International | | | 07/05/2023 | | | | (5 | ) |
USD | | | 523 | | | | RON | | | | 2,440 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | (14 | ) |
USD | | | 6,741 | | | | SEK | | | | 73,620 | | | Bank of America, NA | | | 07/05/2023 | | | | (85 | ) |
USD | | | 49 | | | | SEK | | | | 540 | | | Bank of America, NA | | | 07/05/2023 | | | | (1 | ) |
USD | | | 2,966 | | | | SEK | | | | 32,388 | | | Bank of America, NA | | | 07/05/2023 | | | | (37 | ) |
USD | | | 111 | | | | SEK | | | | 1,205 | | | Bank of America, NA | | | 07/05/2023 | | | | (1 | ) |
USD | | | 6 | | | | SEK | | | | 60 | | | Goldman Sachs International | | | 07/05/2023 | | | | (— | )(h) |
USD | | | 56 | | | | SEK | | | | 610 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | (— | )(h) |
USD | | | 14 | | | | SEK | | | | 155 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | (— | )(h) |
USD | | | 25 | | | | SEK | | | | 275 | | | Morgan Stanley & Co. | | | 07/05/2023 | | | | (— | )(h) |
USD | | | 369 | | | | SGD | | | | 500 | | | Toronto-Dominion Bank (The) | | | 07/05/2023 | | | | (— | )(h) |
USD | | | 166 | | | | CZK | | | | 3,710 | | | Goldman Sachs International | | | 07/07/2023 | | | | (4 | ) |
USD | | | 8,758 | | | | CZK | | | | 194,904 | | | Goldman Sachs International | | | 07/07/2023 | | | | (188 | ) |
USD | | | 358 | | | | AUD | | | | 540 | | | Morgan Stanley & Co. | | | 07/19/2023 | | | | (1 | ) |
USD | | | 515 | | | | CAD | | | | 697 | | | Barclays Bank plc | | | 07/19/2023 | | | | (11 | ) |
USD | �� | | 12,175 | | | | CAD | | | | 16,460 | | | HSBC Bank plc | | | 07/19/2023 | | | | (253 | ) |
USD | | | 2,077 | | | | EUR | | | | 1,925 | | | Bank of America, NA | | | 07/19/2023 | | | | (25 | ) |
EUR | | | 322 | | | | USD | | | | 357 | | | Citibank, NA | | | 07/19/2023 | | | | (5 | ) |
USD | | | 627 | | | | EUR | | | | 587 | | | Morgan Stanley & Co. | | | 07/19/2023 | | | | (13 | ) |
USD | | | 466 | | | | HUF | | | | 163,362 | | | Barclays Bank plc | | | 07/19/2023 | | | | (10 | ) |
JPY | | | 53,054 | | | | USD | | | | 394 | | | Citibank, NA | | | 07/19/2023 | | | | (26 | ) |
USD | | | 328 | | | | JPY | | | | 47,329 | | | Morgan Stanley & Co. | | | 07/19/2023 | | | | (1 | ) |
USD | | | 414 | | | | PLN | | | | 1,753 | | | Citibank, NA | | | 07/19/2023 | | | | (17 | ) |
USD | | | 364 | | | | PLN | | | | 1,554 | | | Morgan Stanley & Co. | | | 07/19/2023 | | | | (18 | ) |
USD | | | 87 | | | | AUD | | | | 130 | | | Bank of America, NA | | | 08/02/2023 | | | | (— | )(h) |
AUD | | | 602 | | | | USD | | | | 402 | | | Bank of America, NA | | | 08/02/2023 | | | | (1 | ) |
USD | | | 2,235 | | | | AUD | | | | 3,360 | | | Bank of America, NA | | | 08/02/2023 | | | | (5 | ) |
CAD | | | 3,744 | | | | USD | | | | 2,848 | | | Goldman Sachs International | | | 08/02/2023 | | | | (20 | ) |
USD | | | 6 | | | | CHF | | | | 5 | | | Bank of America, NA | | | 08/02/2023 | | | | (— | )(h) |
USD | | | 50 | | | | CHF | | | | 45 | | | Bank of America, NA | | | 08/02/2023 | | | | (— | )(h) |
USD | | | 3,664 | | | | CHF | | | | 3,290 | | | Goldman Sachs International | | | 08/02/2023 | | | | (23 | ) |
USD | | | 11,147 | | | | CHF | | | | 10,022 | | | UBS AG London | | | 08/02/2023 | | | | (85 | ) |
USD | | | 4,252 | | | | CNY | | | | 30,800 | | | Brown Brothers Harriman & Co. | | | 08/02/2023 | | | | (2 | ) |
USD | | | 20,018 | | | | CNY | | | | 145,000 | | | Brown Brothers Harriman & Co. | | | 08/02/2023 | | | | (9 | ) |
USD | | | 9,053 | | | | CZK | | | | 198,614 | | | Goldman Sachs International | | | 08/02/2023 | | | | (51 | ) |
USD | | | 6,884 | | | | DKK | | | | 47,197 | | | Morgan Stanley & Co. | | | 08/02/2023 | | | | (46 | ) |
USD | | | 1,107 | | | | DKK | | | | 7,590 | | | Morgan Stanley & Co. | | | 08/02/2023 | | | | (7 | ) |
USD | | | 45,401 | | | | EUR | | | | 41,824 | | | Citibank, NA | | | 08/02/2023 | | | | (306 | ) |
USD | | | 3,373,840 | | | | EUR | | | | 3,091,561 | | | Citibank, NA | | | 08/02/2023 | | | | (4,749 | ) |
USD | | | 92,080 | | | | EUR | | | | 84,825 | | | Citibank, NA | | | 08/02/2023 | | | | (620 | ) |
USD | | | 878,750 | | | | EUR | | | | 805,083 | | | Goldman Sachs International | | | 08/02/2023 | | | | (1,079 | ) |
USD | | | 20,768 | | | | EUR | | | | 19,041 | | | Morgan Stanley & Co. | | | 08/02/2023 | | | | (40 | ) |
USD | | | 556,500 | | | | GBP | | | | 439,457 | | | Bank of America, NA | | | 08/02/2023 | | | | (1,734 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 149 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION)($) | |
USD | | | 174,290 | | | | GBP | | | | 137,634 | | | Bank of America, NA | | | 08/02/2023 | | | | (543 | ) |
GBP | | | 2,590 | | | | USD | | | | 3,294 | | | Citibank, NA | | | 08/02/2023 | | | | (3 | ) |
GBP | | | 15 | | | | USD | | | | 19 | | | Morgan Stanley & Co. | | | 08/02/2023 | | | | (— | )(h) |
USD | | | 717 | | | | GBP | | | | 566 | | | UBS AG London | | | 08/02/2023 | | | | (2 | ) |
GBP | | | 430 | | | | USD | | | | 547 | | | UBS AG London | | | 08/02/2023 | | | | (1 | ) |
USD | | | 26 | | | | HKD | | | | 200 | | | Royal Bank of Canada | | | 08/02/2023 | | | | (— | )(h) |
USD | | | 4,020 | | | | HUF | | | | 1,386,696 | | | Goldman Sachs International | | | 08/02/2023 | | | | (8 | ) |
USD | | | 436 | | | | HUF | | | | 150,095 | | | UBS AG London | | | 08/02/2023 | | | | (— | )(h) |
USD | | | 120 | | | | JPY | | | | 17,270 | | | Deutsche Bank AG | | | 08/02/2023 | | | | (— | )(h) |
USD | | | 820 | | | | JPY | | | | 117,940 | | | Deutsche Bank AG | | | 08/02/2023 | | | | (1 | ) |
USD | | | 19,493 | | | | JPY | | | | 2,807,400 | | | Royal Bank of Canada | | | 08/02/2023 | | | | (54 | ) |
USD | | | 4,387 | | | | NOK | | | | 47,175 | | | Bank of America, NA | | | 08/02/2023 | | | | (13 | ) |
USD | | | 243 | | | | NZD | | | | 400 | | | Royal Bank of Canada | | | 08/02/2023 | | | | (2 | ) |
USD | | | 10,841 | | | | PLN | | | | 44,493 | | | Goldman Sachs International | | | 08/02/2023 | | | | (84 | ) |
USD | | | 5,048 | | | | RON | | | | 23,120 | | | Goldman Sachs International | | | 08/02/2023 | | | | (36 | ) |
USD | | | 50 | | | | SEK | | | | 540 | | | Bank of America, NA | | | 08/02/2023 | | | | (1 | ) |
USD | | | 3,189 | | | | SEK | | | | 34,693 | | | Bank of America, NA | | | 08/02/2023 | | | | (32 | ) |
USD | | | 6,775 | | | | SEK | | | | 73,620 | | | Goldman Sachs International | | | 08/02/2023 | | | | (61 | ) |
USD | | | 30 | | | | SGD | | | | 40 | | | Toronto-Dominion Bank (The) | | | 08/02/2023 | | | | (— | )(h) |
USD | | | 369 | | | | SGD | | | | 500 | | | Toronto-Dominion Bank (The) | | | 08/02/2023 | | | | (1 | ) |
USD | | | 244 | | | | CLP | | | | 198,618 | | | HSBC Bank plc | | | 09/20/2023 | | | | (2 | ) |
USD | | | 148 | | | | CLP | | | | 120,755 | | | HSBC Bank plc | | | 09/20/2023 | | | | (1 | ) |
USD | | | 53 | | | | KRW | | | | 69,390 | | | Bank of America, NA | | | 09/20/2023 | | | | (— | )(h) |
USD | | | 200 | | | | KRW | | | | 262,800 | | | Bank of America, NA | | | 09/20/2023 | | | | (— | )(h) |
KRW | | | 1,260,908 | | | | USD | | | | 992 | | | Citibank, NA | | | 09/20/2023 | | | | (31 | ) |
USD | | | 1,784 | | | | MXN | | | | 31,682 | | | Barclays Bank plc | | | 09/20/2023 | | | | (40 | ) |
USD | | | 327 | | | | PEN | | | | 1,205 | | | HSBC Bank plc | | | 09/20/2023 | | | | (3 | ) |
USD | | | 32 | | | | THB | | | | 1,130 | | | Deutsche Bank AG | | | 09/20/2023 | | | | (— | )(h) |
| | | | | | | | | | | | | | | | | | | | | | |
Total unrealized depreciation | | | | | | | (118,400 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Net unrealized appreciation (depreciation) | | | | | | | (77,374 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| OTC Interest Rate Swaps contracts outstanding as of June 30, 2023: | | | | | | | |
| FLOATING RATE INDEX (a) | | FIXED RATE | | | PAY/RECEIVE
FLOATING RATE | | | COUNTERPARTY | | | MATURITY
DATE | | | NOTIONAL
AMOUNT | | | UPFRONT
PAYMENTS
(RECEIPTS)($) | | | UNREALIZED
APPRECIATION
(DEPRECIATION)($) | | | VALUE($) | |
Bank Negara Malaysia KLIBOR Interbank Offered Rate Fixing 3 Month | | | 2.44% quarterly | | | | Pay | | | | Morgan Stanley & Co. | | | | 11/17/2030 | | | | MYR | | | | 5,000 | | | | (— | )(h) | | | (96 | ) | | | (96 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Total | | | | (— | )(h) | | | (96 | ) | | | (96 | ) |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Centrally Cleared Interest Rate Swap contracts outstanding as of June 30, 2023: | |
| FLOATING RATE INDEX (a) | | FIXED RATE | | PAY/RECEIVE
FLOATING RATE | | MATURITY
DATE | | | NOTIONAL
AMOUNT | | | UPFRONT
PAYMENTS
(RECEIPTS)($) | | | UNREALIZED
APPRECIATION
(DEPRECIATION)($) | | | VALUE($) |
Bank of Japan Final Result: Unsecured
Overnight Call Rate TONAR | | (0.05)% annually | | Pay | | | 07/08/2023 | | | | JPY | | | | 360,000 | | | | 3 | | | | (3 | ) | | | (— | )(h) |
Bank of Japan Final Result: Unsecured
Overnight Call Rate TONAR | | (0.05)% annually | | Pay | | | 07/08/2024 | | | | JPY | | | | 600,000 | | | | (11 | ) | | | 8 | | | | (3 | ) |
Bank of Japan Final Result: Unsecured
Overnight Call Rate TONAR | | 0.14% annually | | Pay | | | 12/06/2024 | | | | JPY | | | | 193,790 | | | | — | (h) | | | 3 | | | | 3 | |
Bank of Japan Final Result: Unsecured
Overnight Call Rate TONAR | | 0.10% semi-annually | | Pay | | | 12/03/2025 | | | | JPY | | | | 140,000 | | | | (— | )(h) | | | (1 | ) | | | (1 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 150 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FLOATING RATE INDEX (a) | | FIXED RATE | | PAY/RECEIVE
FLOATING RATE | | MATURITY
DATE | | | NOTIONAL
AMOUNT | | | UPFRONT
PAYMENTS
(RECEIPTS)($) | | | UNREALIZED
APPRECIATION
(DEPRECIATION)($) | | | VALUE($) |
Bank of Japan Final Result: Unsecured
Overnight Call Rate TONAR | | (0.05)% annually | | Pay | | | 07/08/2027 | | | | JPY | | | | 400,000 | | | | (32 | ) | | | 4 | | | | (28 | ) |
Bank of Japan Final Result: Unsecured
Overnight Call Rate TONAR | | (0.05)% annually | | Pay | | | 07/08/2028 | | | | JPY | | | | 165,000 | | | | (19 | ) | | | 1 | | | | (18 | ) |
Bank of Japan Final Result: Unsecured
Overnight Call Rate TONAR | | (0.05)% annually | | Receive | | | 07/08/2029 | | | | JPY | | | | 300,000 | | | | 70 | | | | (22 | ) | | | 48 | |
Bank of Japan Final Result: Unsecured
Overnight Call Rate TONAR | | (0.05)% annually | | Receive | | | 07/08/2030 | | | | JPY | | | | 445,000 | | | | 130 | | | | (32 | ) | | | 98 | |
Bank of Japan Final Result: Unsecured
Overnight Call Rate TONAR | | 0.30% semi-annually | | Pay | | | 12/03/2030 | | | | JPY | | | | 143,500 | | | | (— | )(h) | | | (14 | ) | | | (14 | ) |
Bank of Japan Final Result: Unsecured
Overnight Call Rate TONAR | | 0.05% annually | | Pay | | | 07/08/2032 | | | | JPY | | | | 120,000 | | | | (40 | ) | | | 4 | | | | (36 | ) |
Bank of Japan Final Result: Unsecured
Overnight Call Rate TONAR | | 0.10% annually | | Pay | | | 07/08/2033 | | | | JPY | | | | 125,000 | | | | (40 | ) | | | (1 | ) | | | (41 | ) |
Bank of Japan Final Result: Unsecured
Overnight Call Rate TONAR | | 0.15% annually | | Pay | | | 07/08/2037 | | | | JPY | | | | 135,000 | | | | (78 | ) | | | — | (h) | | | (78 | ) |
Bank of Japan Final Result: Unsecured
Overnight Call Rate TONAR | | 0.30% annually | | Pay | | | 07/08/2043 | | | | JPY | | | | 110,000 | | | | (100 | ) | | | 8 | | | | (92 | ) |
Bank of Japan Final Result: Unsecured
Overnight Call Rate TONAR | | 0.45% annually | | Pay | | | 07/08/2048 | | | | JPY | | | | 10,000 | | | | (9 | ) | | | (— | )(h) | | | (9 | ) |
BBSW ASX Australian 6 Month | | 2.50% semi-annually | | Pay | | | 12/03/2025 | | | | AUD | | | | 3,390 | | | | 269 | | | | (375 | ) | | | (106 | ) |
BBSW ASX Australian 6 Month | | 2.75% semi-annually | | Pay | | | 12/03/2030 | | | | AUD | | | | 1,035 | | | | 144 | | | | (213 | ) | | | (69 | ) |
BBSW ASX Australian 6 Month | | 2.80% semi-annually | | Pay | | | 12/03/2033 | | | | AUD | | | | 485 | | | | (42 | ) | | | (1 | ) | | | (43 | ) |
Canadian Overnight Repo Rate Average | | 4.45% semi-annually | | Pay | | | 12/03/2024 | | | | CAD | | | | 13,145 | | | | 45 | | | | (114 | ) | | | (69 | ) |
Canadian Overnight Repo Rate Average | | 3.65% semi-annually | | Pay | | | 12/03/2027 | | | | CAD | | | | 8,000 | | | | 132 | | | | (189 | ) | | | (57 | ) |
Canadian Overnight Repo Rate Average | | 3.50% semi-annually | | Pay | | | 12/03/2029 | | | | CAD | | | | 2,325 | | | | 52 | | | | (63 | ) | | | (11 | ) |
Canadian Overnight Repo Rate Average | | 3.45% semi-annually | | Pay | | | 12/03/2032 | | | | CAD | | | | 1,775 | | | | 45 | | | | (48 | ) | | | (3 | ) |
Canadian Overnight Repo Rate Average | | 3.55% semi-annually | | Pay | | | 12/03/2042 | | | | CAD | | | | 1,895 | | | | 57 | | | | (40 | ) | | | 17 | |
Canadian Overnight Repo Rate Average | | 3.30% semi-annually | | Pay | | | 12/03/2052 | | | | CAD | | | | 1,510 | | | | 36 | | | | (18 | ) | | | 18 | |
Canadian Overnight Repo Rate Average | | 3.55% semi-annually | | Pay | | | 12/03/2053 | | | | CAD | | | | 115 | | | | (— | )(h) | | | (1 | ) | | | (1 | ) |
CFETS China Fixing Repo Rates 7 Day | | 2.30% quarterly | | Pay | | | 05/11/2025 | | | | CNY | | | | 3,450 | | | | 1 | | | | 1 | | | | 2 | |
CFETS China Fixing Repo Rates 7 Day | | 2.81% quarterly | | Pay | | | 04/12/2026 | | | | CNY | | | | 3,590 | | | | — | (h) | | | 9 | | | | 9 | |
CFETS China Fixing Repo Rates 7 Day | | 2.60% quarterly | | Pay | | | 05/11/2028 | | | | CNY | | | | 12,340 | | | | 11 | | | | 7 | | | | 18 | |
Colombia IBR Overnight Nominal Interbank Reference Rate | | 4.44% quarterly | | Pay | | | 09/10/2030 | | | | COP | | | | 2,257,000 | | | | — | (h) | | | (101 | ) | | | (101 | ) |
ESTR Volume Weighted Trimmed Mean Rate | | 1.20% annually | | Pay | | | 05/11/2052 | | | | EUR | | | | 1,810 | | | | (182 | ) | | | (337 | ) | | | (519 | ) |
ICE LIBOR USD 3 Month | | 1.50% semi-annually | | Pay | | | 09/15/2023 | | | | USD | | | | 27,300 | | | | 3 | | | | (289 | ) | | | (286 | ) |
KRW Certificate of Deposit 3 Month | | 3.15% quarterly | | Pay | | | 08/04/2024 | | | | KRW | | | | 1,448,000 | | | | — | (h) | | | (8 | ) | | | (8 | ) |
KRW Certificate of Deposit 3 Month | | 1.00% quarterly | | Pay | | | 09/01/2025 | | | | KRW | | | | 2,400,000 | | | | — | (h) | | | (106 | ) | | | (106 | ) |
KRW Certificate of Deposit 3 Month | | 3.14% quarterly | | Pay | | | 04/19/2028 | | | | KRW | | | | 860,000 | | | | — | (h) | | | (11 | ) | | | (11 | ) |
KRW Certificate of Deposit 3 Month | | 1.07% quarterly | | Pay | | | 04/27/2030 | | | | KRW | | | | 200,000 | | | | (8 | ) | | | (14 | ) | | | (22 | ) |
KRW Certificate of Deposit 3 Month | | 0.97% quarterly | | Pay | | | 08/14/2030 | | | | KRW | | | | 2,100,000 | | | | — | (h) | | | (257 | ) | | | (257 | ) |
KRW Certificate of Deposit 3 Month | | 0.94% quarterly | | Pay | | | 08/19/2030 | | | | KRW | | | | 5,075,000 | | | | (83 | ) | | | (535 | ) | | | (618 | ) |
KRW Certificate of Deposit 3 Month | | 2.82% quarterly | | Pay | | | 04/28/2032 | | | | KRW | | | | 1,245,595 | | | | (13 | ) | | | (31 | ) | | | (44 | ) |
KRW Certificate of Deposit 3 Month | | 3.10% quarterly | | Pay | | | 03/10/2043 | | | | KRW | | | | 161,125 | | | | (3 | ) | | | (2 | ) | | | (5 | ) |
SONIA Interest Rate Benchmark | | 0.45% annually | | Pay | | | 03/31/2026 | | | | GBP | | | | 1,250 | | | | — | (h) | | | (224 | ) | | | (224 | ) |
SONIA Interest Rate Benchmark | | 1.15% annually | | Receive | | | 05/08/2033 | | | | GBP | | | | 2,500 | | | | 666 | | | | 185 | | | | 851 | |
SONIA Interest Rate Benchmark | | 1.20% annually | | Pay | | | 05/08/2038 | | | | GBP | | | | 345 | | | | (139 | ) | | | 1 | | | | (138 | ) |
SONIA Interest Rate Benchmark | | 1.25% annually | | Receive | | | 05/08/2043 | | | | GBP | | | | 895 | | | | 381 | | | | 58 | | | | 439 | |
SONIA Interest Rate Benchmark | | 1.25% annually | | Pay | | | 05/08/2046 | | | | GBP | | | | 1,865 | | | | 299 | | | | (1,245 | ) | | | (946 | ) |
SONIA Interest Rate Benchmark | | 1.25% annually | | Pay | | | 05/08/2048 | | | | GBP | | | | 480 | | | | (258 | ) | | | 7 | | | | (251 | ) |
Swiss Average Rate ON Intraday Value | | 0.13% annually | | Pay | | | 11/05/2031 | | | | CHF | | | | 150 | | | | 2 | | | | (25 | ) | | | (23 | ) |
Swiss Average Rate ON Intraday Value | | 1.91% annually | | Pay | | | 03/31/2033 | | | | CHF | | | | 400 | | | | — | (h) | | | 6 | | | | 6 | |
Thailand Overnight Repo Rate ON | | 1.15% quarterly | | Pay | | | 11/19/2030 | | | | THB | | | | 31,000 | | | | — | (h) | | | (90 | ) | | | (90 | ) |
United States SOFR | | 1.75% annually | | Pay | | | 06/15/2025 | | | | USD | | | | 15,200 | | | | (441 | ) | | | (1,464 | ) | | | (1,905 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 151 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FLOATING RATE INDEX (a) | | FIXED RATE | | PAY/RECEIVE
FLOATING RATE | | MATURITY
DATE | | | NOTIONAL
AMOUNT | | | UPFRONT
PAYMENTS
(RECEIPTS)($) | | | UNREALIZED
APPRECIATION
(DEPRECIATION)($) | | | VALUE($) |
United States SOFR | | 3.50% annually | | Receive | | | 06/21/2026 | | | | USD | | | | 5,500 | | | | (1 | ) | | | 137 | | | | 136 | |
United States SOFR | | 2.00% annually | | Receive | | | 12/21/2027 | | | | USD | | | | 5,400 | | | | 378 | | | | 136 | | | | 514 | |
United States SOFR | | 1.22% annually | | Receive | | | 08/15/2028 | | | | USD | | | | 5,797 | | | | — | (h) | | | 858 | | | | 858 | |
United States SOFR | | 1.50% semi-annually | | Pay | | | 12/15/2028 | | | | USD | | | | 27,300 | | | | 173 | | | | (3,422 | ) | | | (3,249 | ) |
United States SOFR | | 3.50% annually | | Receive | | | 12/20/2030 | | | | USD | | | | 34,800 | | | | (64 | ) | | | 139 | | | | 75 | |
United States SOFR | | 3.50% annually | | Receive | | | 12/20/2033 | | | | USD | | | | 60,500 | | | | (430 | ) | | | 129 | | | | (301 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | 904 | | | | (7,595 | ) | | | (6,691 | ) |
| | | | | | | | | | | | | | | | | |
| (a) | Value of floating rate index as of June 30, 2023 was as follows: |
| | | | |
| FLOATING RATE INDEX | | | |
Bank Negara Malaysia KLIBOR Interbank Offered Rate Fixing 3 Month | | | 3.45% | |
Bank of Japan Final Result: Unsecured Overnight Call Rate TONAR | | | (0.08)% | |
BBSW ASX Australian 6 Month | | | 4.70% | |
Canadian Overnight Repo Rate Average | | | 4.75% | |
CFETS China Fixing Repo Rates 7 Day | | | 2.60% | |
Colombia IBR Overnight Nominal Interbank Reference Rate | | | 12.27% | |
ESTR Volume Weighted Trimmed Mean Rate | | | 3.40% | |
ICE LIBOR USD 3 Month | | | 5.55% | |
KRW Certificate of Deposit 3 Month | | | 3.75% | |
SONIA Interest Rate Benchmark | | | 4.93% | |
Swiss Average Rate ON Intraday Value | | | 1.71% | |
Thailand Overnight Repo Rate ON | | | 1.99% | |
United States SOFR | | | 5.09% | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Written Put Option contracts on securities as of June 30, 2023: | |
| DESCRIPTION | | COUNTERPARTY | | | NUMBER OF
CONTRACTS | | | NOTIONAL
AMOUNT | | | EXERCISE
PRICE | | | EXPIRATION
DATE | | | VALUE | |
FNMA or FHLMC, Single Family, 30 years, TBA, 4.00%, 07/13/2053 | | | Citigroup Global Markets, Inc. | | | | (2,500 | ) | | | USD | | | | (696 | ) | | | USD | | | | 93.86 | | | | 07/06/2023 | | | $ | (7) | |
FNMA or FHLMC, Single Family, 30 years, TBA, 4.00%, 07/13/2053 | | | BofA Securities, Inc. | | | | (4,500 | ) | | | USD | | | | (1,540 | ) | | | USD | | | | 93.98 | | | | 07/06/2023 | | | | (16) | |
FNMA or FHLMC, Single Family, 30 years, TBA, 4.00%, 07/13/2053 | | | Citigroup Global Markets, Inc. | | | | (3,000 | ) | | | USD | | | | (1,052 | ) | | | USD | | | | 94.00 | | | | 07/06/2023 | | | | (11) | |
FNMA or FHLMC, Single Family, 30 years, TBA, 4.50%, 08/14/2053 | | | Citigroup Global Markets, Inc. | | | | (22,500 | ) | | | USD | | | | (12,588 | ) | | | USD | | | | 95.88 | | | | 08/07/2023 | | | | (132 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (166 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Written Call Option contracts on securities as of June 30, 2023: | | | | | | | |
| DESCRIPTION | | COUNTERPARTY | | | NUMBER OF
CONTRACTS | | | NOTIONAL
AMOUNT | | | EXERCISE
PRICE | | | EXPIRATION
DATE | | | VALUE | |
FNMA or FHLMC, Single Family, 30 years, TBA, 4.00%, 08/14/2053 | | | Citigroup Global Markets, Inc. | | | | (7,000 | ) | | | USD | | | | (1,914 | ) | | | USD | | | | 95.39 | | | | 08/07/2023 | | | | (20 | ) |
FNMA or FHLMC, Single Family, 30 years, TBA, 4.50%, 08/14/2053 | | | Citigroup Global Markets, Inc. | | | | (22,500 | ) | | | USD | | | | (3,101 | ) | | | USD | | | | 97.88 | | | | 08/07/2023 | | | | (32 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (52 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Written Options Contracts (Premiums Received $324) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (218 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reverse Repurchase Agreements | |
| COUNTERPARTY | | BORROWING
RATE | | | SETTLEMENT
DATE | | | MATURITY
DATE | | | AMOUNT
BORROWED | | | PAYABLE FOR
REVERSE
REPURCHASE
AGREEMENTS | | | COLLATERAL
PLEDGED/
(RECEIVED) | | | NET AMOUNT
(DUE TO)/ FROM
COUNTERPATRY | |
| BofA Securities, Inc. | | | 5.26 | % | | | 6/13/2023 | | | | 7/13/2023 | | | | (118,320 | ) | | | 118,631 | | | | (118,631 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 118,631 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 152 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | | | | | | | | | | | | | |
Accounted for as Secured Borrowings | |
| Remaining Contractual Maturity of the Agreements | |
| | | OVERNIGHT AND
CONTINUOUS | | | UP TO 30 DAYS | | | 31-90 DAYS | | | GREATER THAN
90 DAYS | | | TOTAL | |
Reverse Repurchase Agreements | | | | | | | | | | | | | | | | | | | | |
Mortgage Backed Securities | | | — | | | | 118,631 | | | | — | | | | — | | | | 118,631 | |
| | | | | | | | | | | | | | | | | | | | |
Payable for Reverse Repurchase Agreements | | | | | | | | | | | | | | | | | | | 118,631 | |
| | | | | | | | | | | | | | | | | | | | |
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023
| | |
| ACES | | — Alternative Credit Enhancement Securities |
| ARM | | — Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of June 30, 2023. |
| ASX | | — Australian Stock Exchange |
| BAM | | — Insured by Build America Mutual |
| BBSW | | — Bank Bill Swap Rate |
| CFETS | | — China Foreign Exchange Trade System |
| CLO | | — Collateralized Loan Obligations |
| CMT | | — Constant Maturity Treasury |
| CPI | | — Consumer Price Index |
| EURIBOR | | — Euro Interbank Offered Rate |
| ESTR | | — Euro short-term rate |
| FHA | | — Federal Housing Administration |
| FHLB | | — Federal Home Loan Bank |
| FHLMC | | — Federal Home Loan Mortgage Corp. |
| FNMA | | — Federal National Mortgage Association |
| GNMA | | — Government National Mortgage Association |
| GO | | — General Obligation |
| IBR | | — Indicador Bancario de Referencia |
| ICE | | — Intercontinental Exchange |
| IF | | — Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index. The interest rate shown is the rate in effect as of June 30, 2023. The rate may be subject to a cap and floor. |
| IO | | — Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. |
| KLIBOR | | — Kuala Lumpur Interbank Offered Rate |
| LIBOR | | — London Interbank Offered Rate |
| OYJ | | — Public Limited Company |
| PO | | — Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. |
| REIT | | — Real Estate Investment Trust |
| Reg. S | | — Security was purchased pursuant to Regulation S under the Securities Act of 1933, as amended (the “Securities Act”), which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act, or pursuant to an exemption from registration. |
| | |
| REMICS | | — Real Estate Mortgage Investment Conduit |
| Rev. | | — Revenue |
| SOFR | | — Secured Overnight Financing Rate |
| SONIA | | — Sterling Overnight Interbank Average Rate |
| STRIP | | — Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. |
| SUB | | — Step-Up Bond. The interest rate shown is the rate in effect as of June 30, 2023. |
| TBA | | — To Be Announced |
| TONAR | | — Tokyo Overnight Average Rate |
| VA | | — Veterans Administration |
| (e) | | — Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| (g) | | — Amount rounds to less than 0.05%. |
| (h) | | — Amount rounds to less than 500 shares or principal/ $500. |
| (t) | | — The date shown represents the earliest of the next put date or final maturity date. |
| (w) | | — All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
| (x) | | — Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of June 30, 2023. |
| (z) | | — Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of June 30, 2023. |
| (aa) | | — Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of June 30, 2023. |
| (bb) | | — Security has been valued using significant unobservable inputs. |
| (ee) | | — Approximately $596 of these investments are restricted as collateral for swaps to Citigroup Clearing. |
| (ff) | | — Approximately $655 of these investments are restricted as collateral for futures to Citigroup Global Markets, Inc. |
| (gg) | | — Position, or portion thereof, has been segregated to collateralize reverse repurchase agreements. |
| (hh) | | — Approximately $3,620 of these investments are restricted as collateral for TBAs to various brokers. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 153 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | |
| (ii) | | — Approximately $948 of these investments are restricted as collateral for forwards to various brokers. |
| (jj) | | — Approximately $4,883 of these investments are restricted as collateral for bi-lateral derivatives to various brokers. |
| * | | — The cost of securities is substantially the same for federal income tax purposes. |
| AUD | | — Australian Dollar |
| CAD | | — Canadian Dollar |
| CHF | | — Swiss Franc |
| CLP | | — Chilean Peso |
| CNH | | — Chinese Yuan |
| COP | | — Colombian Peso |
| CNY | | — Chinese Yuan |
| CZK | | — Czech Koruna |
| DKK | | — Danish Krone |
| EUR | | — Euro |
| HKD | | — Hong Kong Dollar |
| | |
| HUF | | — Hungarian Forint |
| GBP | | — British Pound |
| IDR | | — Indonesian Rupiah |
| ILS | | — Israeli New Shekel |
| JPY | | — Japanese Yen |
| KRW | | — Korean Won |
| MXN | | — Mexican Peso |
| MYR | | — Malaysian Ringgit |
| NOK | | — Norwegian Krone |
| NZD | | — New Zealand Dollar |
| PEN | | — Peruvian Nuevo Sol |
| PLN | | — Polish Zloty |
| RON | | — Romanian Leu |
| SEK | | — Swedish Krona |
| SGD | | — Singapore Dollar |
| THB | | — Thai Baht |
| USD | | — United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 154 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Corporate Bond — 0.0% (g) | |
Consumer Non-cyclical — 0.0% (g) | | | | | | | | |
Healthcare — Services — 0.0% (g) | | | | | | | | |
Tower Health, Series 2020, 4.45%, 02/01/2050
(Cost $865) | | | 1,000 | | | | 452 | |
| | | | | | | | |
Municipal Bonds — 97.2% (t) | |
Alabama — 3.1% | | | | | | | | |
Alabama Economic Settlement Authority, BP Settlement, Series A, Rev., 4.00%, 09/15/2033 | | | 1,000 | | | | 1,002 | |
Alabama Federal Aid Highway Finance Authority, Series A, Rev., 5.00%, 09/01/2035 (p) | | | 2,000 | | | | 2,129 | |
Alabama Federal Aid Highway Finance Authority, Garvee, | | | | | | | | |
Series A, Rev., 5.00%, 09/01/2032 (p) | | | 1,160 | | | | 1,263 | |
Series A, Rev., 5.00%, 09/01/2035 (p) | | | 1,000 | | | | 1,089 | |
Series A, Rev., 5.00%, 09/01/2036 (p) | | | 2,000 | | | | 2,130 | |
Alabama Housing Finance Authority, South Oak Residence Project, Rev., 1.25%, 12/01/2025 (z) | | | 4,270 | | | | 4,102 | |
Alabama Public School and College Authority, Social Bonds, | | | | | | | | |
Series A, Rev., 5.00%, 11/01/2037 | | | 6,400 | | | | 7,134 | |
Series A, Rev., 5.00%, 11/01/2039 | | | 10,000 | | | | 11,052 | |
Alabama Special Care Facilities Financing Authority, Ascension Senior Credit Group, Series C, Rev., 5.00%, 11/15/2046 | | | 5,000 | | | | 5,082 | |
Black Belt Energy Gas District, | | | | | | | | |
Rev., LIQ: Royal Bank of Canada, 4.00%, 06/01/2051 (z) | | | 17,030 | | | | 16,825 | |
Series B1, Rev., 4.00%, 04/01/2053 (z) | | | 2,000 | | | | 1,977 | |
Series B2, Rev., (SIFMA Municipal Swap Index + 0.65%), 4.66%, 04/01/2053 (aa) | | | 9,250 | | | | 9,038 | |
Series B, Rev., LIQ: Royal Bank of Canada, 5.25%, 12/01/2053 (z) | | | 1,845 | | | | 1,970 | |
Series C1, Rev., 5.25%, 02/01/2053 (z) | | | 12,245 | | | | 12,818 | |
Series D1, Rev., LIQ: Royal Bank of Canada, 4.00%, 07/01/2052 (z) | | | 1,930 | | | | 1,924 | |
Black Belt Energy Gas District, Gas Project, Series F, Rev., 5.50%, 11/01/2053 (z) | | | 10,625 | | | | 11,216 | |
Black Belt Energy Gas District, Gas Project Bonds Project No. 7, Rev., 4.00%, 10/01/2052 (z) | | | 12,120 | | | | 12,011 | |
Black Belt Energy Gas District, Gas Project No. 8, Series A, Rev., 4.00%, 12/01/2052 (z) | | | 3,410 | | | | 3,313 | |
Black Belt Energy Gas District, Project No. 4, Series A1, Rev., 4.00%, 12/01/2049 (z) | | | 7,810 | | | | 7,764 | |
Black Belt Energy Gas District, Project No. 5, Series A1, Rev., 4.00%, 10/01/2049 (z) | | | 5,000 | | | | 4,961 | |
Black Belt Energy Gas District, Project No. 6, Series B, Rev., 4.00%, 10/01/2052 (z) | | | 6,505 | | | | 6,446 | |
City of Birmingham, Warrants, Series A, GO, 4.00%, 06/01/2032 | | | 4,075 | | | | 4,292 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Alabama — continued | | | | | | | | |
County of Jefferson, Sewer Revenue, Senior Lien, Warrants, Series A, Rev., AGM, 5.50%, 10/01/2053 | | | 500 | | | | 511 | |
County of Jefferson, Sewer Revenue, Subordinated Lien, Series D, Rev., 6.50%, 10/01/2053 | | | 220 | | | | 232 | |
Energy Southeast A Cooperative District, Series A1, Rev., 5.50%, 11/01/2053 (z) | | | 1,500 | | | | 1,609 | |
Health Care Authority for Baptist Health, Series B, Rev., VRDO, 5.30%, 07/07/2023 (z) | | | 2,035 | | | | 2,035 | |
Health Care Authority for Baptist Health, Affiliate of UAB Health System Community, Rev., 5.00%, 11/15/2032 | | | 10,495 | | | | 11,702 | |
Health Care Authority of the City of Huntsville, Health System, | | | | | | | | |
Series B1, Rev., 4.00%, 06/01/2045 | | | 1,750 | | | | 1,634 | |
Series B1, Rev., 5.00%, 06/01/2038 | | | 1,000 | | | | 1,050 | |
Hoover Industrial Development Board, Green Bonds, Rev., AMT, 6.38%, 11/01/2050 (z) | | | 2,375 | | | | 2,624 | |
Huntsville Public Building Authority, Rev., 5.00%, 02/01/2052 | | | 3,000 | | | | 3,188 | |
Lower Alabama Gas District (The), Gas Project Revenue Bonds, Rev., 4.00%, 12/01/2050 (z) | | | 3,250 | | | | 3,231 | |
Selma Industrial Development Board, International Paper Co. Project, Rev., 1.38%, 05/01/2034 (z) | | | 1,000 | | | | 953 | |
Southeast Alabama Gas Supply District (The), Project No. 2, Series A, Rev., 4.00%, 06/01/2049 (z) | | | 100 | | | | 100 | |
Southeast Energy Authority A Cooperative District, Project 1, Series A, Rev., 4.00%, 11/01/2051 (z) | | | 4,580 | | | | 4,522 | |
Southeast Energy Authority A Cooperative District, Project 2, Series B, Rev., 4.00%, 12/01/2051 (z) | | | 6,000 | | | | 5,832 | |
Southeast Energy Authority A Cooperative District, Project No. 3, Series A1, Rev., 5.50%, 01/01/2053 (z) | | | 1,820 | | | | 1,935 | |
Southeast Energy Authority A Cooperative District, Project No. 5, Series A, Rev., 5.25%, 01/01/2054 (z) | | | 15,000 | | | | 15,684 | |
State of Alabama Docks Department, Docks, | | | | | | | | |
Series A, Rev., AGM, AMT, 5.00%, 10/01/2025 | | | 1,750 | | | | 1,795 | |
Series A, Rev., AGM, AMT, 5.00%, 10/01/2026 | | | 1,890 | | | | 1,959 | |
Tuscaloosa City Board of Education, Warrants, Rev., 5.00%, 08/01/2041 (p) | | | 2,525 | | | | 2,676 | |
Tuscaloosa County Industrial Development Authority, Hunt Refining Project, Series A, Rev., 4.50%, 05/01/2032 (e) | | | 777 | | | | 725 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 155 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Alabama — continued | | | | | | | | |
UAB Medicine Finance Authority, Series B, Rev., 5.00%, 09/01/2041 | | | 1,750 | | | | 1,799 | |
University of South Alabama, Rev., AGM, 4.00%, 11/01/2035 | | | 2,000 | | | | 2,004 | |
| | | | | | | | |
| | |
| | | | | | | 197,338 | |
| | | | | | | | |
Alaska — 0.2% | | | | | | | | |
Alaska Housing Finance Corp., | | | | | | | | |
Series A, Rev., 5.00%, 12/01/2032 (p) | | | 125 | | | | 126 | |
Series A, Rev., 5.00%, 12/01/2033 (p) | | | 60 | | | | 60 | |
Alaska Housing Finance Corp., General Mortgage, Series B, Rev., 3.25%, 12/01/2044 | | | 1,615 | | | | 1,564 | |
Alaska Housing Finance Corp., Social Bonds State Capital, | | | | | | | | |
Rev., 5.00%, 06/01/2032 | | | 920 | | | | 1,041 | |
Rev., 5.00%, 12/01/2032 | | | 945 | | | | 1,069 | |
City of Anchorage Electric Revenue, Senior Lien, Series A, Rev., 5.00%, 12/01/2041 (p) | | | 1,000 | | | | 1,023 | |
Northern Tobacco Securitization Corp., Senior, Series B2, Rev., Zero Coupon, 06/01/2066 | | | 9,475 | | | | 1,197 | |
State of Alaska International Airports System, | | | | | | | | |
Series C, Rev., AMT, 5.00%, 10/01/2025 | | | 1,000 | | | | 1,027 | |
Series C, Rev., AMT, 5.00%, 10/01/2027 | | | 2,000 | | | | 2,110 | |
Series C, Rev., AMT, 5.00%, 10/01/2030 | | | 5,000 | | | | 5,480 | |
| | | | | | | | |
| | |
| | | | | | | 14,697 | |
| | | | | | | | |
Arizona — 2.0% | | | | | | | | |
Arizona Board of Regents, Series A, Rev., 5.00%, 07/01/2043 | | | 2,480 | | | | 2,696 | |
Arizona Health Facilities Authority, Banner Health, Series A, Rev., 5.00%, 01/01/2044 (p) | | | 1,055 | | | | 1,064 | |
Arizona Health Facilities Authority, Scottsdale Lincoln Hospital Project, Rev., 5.00%, 12/01/2029 | | | 2,705 | | | | 2,758 | |
Arizona Industrial Development Authority, | | | | | | | | |
Series 2019-2, Rev., 3.63%, 05/20/2033 | | | 1,168 | | | | 1,088 | |
Series A, Rev., 4.00%, 09/01/2035 | | | 225 | | | | 228 | |
Series A, Rev., 4.00%, 09/01/2036 | | | 250 | | | | 251 | |
Arizona Industrial Development Authority, Greathearts Arizona Project, | | | | | | | | |
Series A, Rev., 5.00%, 07/01/2024 | | | 125 | | | | 127 | |
Series A, Rev., 5.00%, 07/01/2026 | | | 125 | | | | 129 | |
Arizona Industrial Development Authority, Jerome Facilities Project, Series B, Rev., 4.00%, 07/01/2051 | | | 2,000 | | | | 1,645 | |
Arizona Industrial Development Authority, Phoenix Children’s Hospital, Rev., 5.00%, 02/01/2033 | | | 2,000 | | | | 2,297 | |
Arizona Industrial Development Authority, Somerset Academy of Las Vegas, Aliante, | | | | | | | | |
Rev., 3.00%, 12/15/2031 (e) | | | 525 | | | | 451 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Arizona — continued | | | | | | | | |
Rev., 4.00%, 12/15/2041 (e) | | | 500 | | | | 403 | |
Rev., 4.00%, 12/15/2051 (e) | | | 700 | | | | 512 | |
Arizona State University, | | | | | | | | |
Series A, Rev., 5.00%, 07/01/2043 | | | 1,105 | | | | 1,189 | |
Series C, Rev., 5.00%, 07/01/2042 | | | 2,000 | | | | 2,058 | |
Arizona State University, Board of Regents, | | | | | | | | |
Series B, Rev., 5.00%, 07/01/2026 | | | 100 | | | | 106 | |
Series B, Rev., 5.00%, 07/01/2042 | | | 2,000 | | | | 2,099 | |
Arizona Transportation Board, Rev., 5.00%, 07/01/2023 | | | 25 | | | | 25 | |
Chandler Industrial Development Authority, Intel Corp. Project, Rev., AMT, 5.00%, 09/01/2042 (z) | | | 3,000 | | | | 3,070 | |
Chandler Industrial Development Authority, Intel Corp. Project, | | | | | | | | |
Rev., 2.40%, 12/01/2035 (z) | | | 775 | | | | 773 | |
Rev., AMT, 5.00%, 09/01/2052 (z) | | | 2,860 | | | | 2,927 | |
City of Bullhead Excise Taxes Revenue, Second Series, Rev., 0.60%, 07/01/2024 | | | 250 | | | | 241 | |
City of Mesa Utility System Revenue, Rev., 5.00%, 07/01/2032 | | | 1,000 | | | | 1,101 | |
City of Phoenix Civic Improvement Corp., | | | | | | | | |
Series A, Rev., 5.00%, 07/01/2029 | | | 1,000 | | | | 1,100 | |
Series A, Rev., 5.00%, 07/01/2031 | | | 2,000 | | | | 2,192 | |
Series A, Rev., 5.00%, 07/01/2032 | | | 1,000 | | | | 1,094 | |
Series A, Rev., 5.00%, 07/01/2034 | | | 1,600 | | | | 1,858 | |
City of Phoenix Civic Improvement Corp., Junior Lien, Series A, Rev., 5.00%, 07/01/2029 | | | 1,515 | | | | 1,712 | |
City of Phoenix Civic Improvement Corp., Junior Lien Airport Special Obligation, Rev., 4.00%, 07/01/2040 | | | 3,555 | | | | 3,504 | |
City of Phoenix, Civic Improvement Corp., | | | | | | | | |
Series A, Rev., 5.00%, 07/01/2034 | | | 2,185 | | | | 2,381 | |
Series B, Rev., 5.00%, 07/01/2024 | | | 130 | | | | 133 | |
City of Phoenix, Civic Improvement Corp., Airport Revenue, Junior Lien, | | | | | | | | |
Series A, Rev., 5.00%, 07/01/2044 | | | 1,000 | | | | 1,064 | |
Series B, Rev., AMT, 5.00%, 07/01/2027 | | | 1,500 | | | | 1,582 | |
Series B, Rev., AMT, 5.00%, 07/01/2033 | | | 2,000 | | | | 2,159 | |
County of Pima Sewer System Revenue, Rev., 5.00%, 07/01/2028 | | | 500 | | | | 552 | |
Gilbert Public Facilities Municipal Property Corp., Rev., 5.00%, 07/01/2026 | | | 1,025 | | | | 1,087 | |
Gilbert Water Resource Municipal Property Corp., Green Bond Senior Lien, Rev., 4.00%, 07/15/2047 | | | 1,000 | | | | 978 | |
Industrial Development Authority of the City of Phoenix, Republic Services, Rev., AMT, 3.88%, 12/01/2035 (z) | | | 14,250 | | | | 14,250 | |
Industrial Development Authority of the County of Pima (The), American Leadership Academy, | | | | | | | | |
Rev., 4.00%, 06/15/2025 (e) | | | 2,555 | | | | 2,508 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 156 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Arizona — continued | | | | | | | | |
Rev., 4.00%, 06/15/2027 (e) | | | 2,680 | | | | 2,606 | |
Rev., 4.00%, 06/15/2030 (e) | | | 1,510 | | | | 1,443 | |
Industrial Development Authority of the County of Pima (The), Tucson Medical Center, Rev., 4.00%, 04/01/2035 | | | 825 | | | | 822 | |
Industrial Development Authority of the County of Yavapai, Waste Management, Inc. Project, Rev., AMT, 1.30%, 06/01/2027 | | | 3,260 | | | | 2,919 | |
Kyrene Elementary School District No. 28, School Improvement Project 2010, | | | | | | | | |
Series B, GO, 4.50%, 07/01/2024 | | | 570 | | | | 570 | |
Maricopa County Industrial Development Authority, Banner Health, | | | | | | | | |
Rev., 5.00%, 01/01/2053 (z) | | | 2,925 | | | | 3,153 | |
Series A3, Rev., 5.00%, 01/01/2053 (z) | | | 3,000 | | | | 3,331 | |
Series A, Rev., 4.00%, 01/01/2041 | | | 4,000 | | | | 3,929 | |
Maricopa County Pollution Control Corp., Southern California Edison, Rev., 2.40%, 06/01/2035 | | | 1,000 | | | | 787 | |
Maricopa County Special Health Care District, Series C, GO, 4.00%, 07/01/2037 | | | 21,910 | | | | 22,024 | |
Northern Arizona University, Speed Stimulus Plan Economic Education, Rev., 5.00%, 08/01/2032 (p) | | | 3,145 | | | | 3,149 | |
Salt River Project Agricultural Improvement & Power District, Series A, Rev., 5.00%, 12/01/2045 | | | 8,300 | | | | 8,542 | |
Salt River Project Agricultural Improvement & Power District, Salt River Project, Series A, Rev., 5.00%, 01/01/2026 | | | 3,000 | | | | 3,149 | |
Salt Verde Financial Corp., Rev., 5.00%, 12/01/2032 | | | 420 | | | | 446 | |
Salt Verde Financial Corp., Senior, Rev., 5.50%, 12/01/2029 | | | 1,475 | | | | 1,586 | |
Tempe Industrial Development Authority, Friendship Village of Tempe, Rev., 1.13%, 12/01/2026 | | | 3,350 | | | | 3,095 | |
| | | | | | | | |
| | |
| | | | | | | 126,943 | |
| | | | | | | | |
Arkansas — 0.1% | | | | | | | | |
Arkansas Development Finance Authority Public Safety Charges Revenue, Division of Emergency Management Project, Rev., 5.00%, 06/01/2024 | | | 1,000 | | | | 1,015 | |
Arkansas Development Finance Authority, Big River Steel Project, Rev., AMT, 4.50%, 09/01/2049 (e) | | | 630 | | | | 569 | |
Arkansas Development Finance Authority, Green Bond United States, Rev., AMT, 5.45%, 09/01/2052 | | | 3,000 | | | | 3,000 | |
| | | | | | | | |
| | |
| | | | | | | 4,584 | |
| | | | | | | | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
California — 9.4% | | | | | | | | |
Alameda County, Oakland Unified School District, GO, 5.00%, 08/01/2027 | | | 65 | | | | 69 | |
Anaheim City School District, Election 2016, Series A, GO, 4.00%, 08/01/2048 | | | 4,000 | | | | 3,955 | |
Anaheim Housing & Public Improvements Authority, Series A, Rev., 5.00%, 10/01/2050 | | | 1,780 | | | | 1,823 | |
Anaheim Public Financing Authority, Senior Public Improvement Project, Series A, Rev., BAM, 5.00%, 09/01/2036 | | | 2,250 | | | | 2,376 | |
Bay Area Toll Authority, San Francisco Bay Area, | | | | | | | | |
Rev., 2.00%, 04/01/2053 (z) | | | 2,200 | | | | 2,170 | |
Series C, Rev., (SIFMA Municipal Swap Index + 0.45%), 4.46%, 04/01/2056 (aa) | | | 2,675 | | | | 2,645 | |
Bay Area Toll Authority, San Francisco Bay Area Toll, Rev., (SIFMA Municipal Swap Index + 0.41%), 4.42%, 04/01/2056 (aa) | | | 5,000 | | | | 4,862 | |
Cabrillo Unified School District, Election 2018, Series B, GO, 5.00%, 08/01/2050 | | | 5,000 | | | | 5,273 | |
California Community Choice Financing Authority, Series B1, Rev., 4.00%, 02/01/2052 (z) | | | 5,680 | | | | 5,643 | |
California Community Choice Financing Authority, Green Bond, Series A1, Rev., 4.00%, 05/01/2053 (z) | | | 6,860 | | | | 6,860 | |
California Community Choice Financing Authority, Green Bond, Clean Energy, Rev., 5.00%, 12/01/2053 (z) | | | 6,160 | | | | 6,427 | |
California Community Choice Financing Authority, Green Bonds Clean Energy Project, | | | | | | | | |
Rev., 5.00%, 07/01/2053 (z) | | | 11,050 | | | | 11,610 | |
Rev., 5.25%, 01/01/2054 (z) | | | 14,375 | | | | 15,037 | |
California County, Tobacco Securitization Agency, Series A, Rev., 5.00%, 06/01/2027 | | | 10 | | | | 11 | |
California County, Tobacco Securitization Agency, Senior Bonds, Merced County Tobacco Funding Corporation, | | | | | | | | |
Rev., 5.00%, 06/01/2032 | | | 340 | | | | 376 | |
Rev., 5.00%, 06/01/2033 | | | 170 | | | | 187 | |
California County, Tobacco Securitization Agency, Sonoma County Securitization, | | | | | | | | |
Rev., 5.00%, 06/01/2031 | | | 255 | | | | 282 | |
Rev., 5.00%, 06/01/2032 | | | 250 | | | | 276 | |
Rev., 5.00%, 06/01/2033 | | | 300 | | | | 331 | |
Rev., 5.00%, 06/01/2049 | | | 250 | | | | 255 | |
California Educational Facilities Authority, Loyola Marymount University, Series A, Rev., NATL, Zero Coupon, 10/01/2037 | | | 340 | | | | 186 | |
California Educational Facilities Authority, University Southern California, Series C, Rev., 5.25%, 10/01/2024 (p) | | | 210 | | | | 216 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 157 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
California — continued | | | | | | | | |
California Health Facilities Financing Authority, Rev., 5.00%, 10/01/2039 (p) (z) | | | 945 | | | | 986 | |
California Health Facilities Financing Authority, Adventist Health System, Rev., 3.00%, 03/01/2041 (z) | | | 1,815 | | | | 1,806 | |
California Health Facilities Financing Authority, Cedars Sinai Health System, Rev., 4.00%, 08/15/2040 | | | 4,050 | | | | 4,076 | |
California Health Facilities Financing Authority, Children’s Hospital, Rev., 4.00%, 11/01/2035 | | | 1,460 | | | | 1,514 | |
California Health Facilities Financing Authority, City of Hope, Rev., 5.00%, 11/15/2049 | | | 3,000 | | | | 3,034 | |
California Health Facilities Financing Authority, Commonspirit Health, | | | | | | | | |
Series A, Rev., 4.00%, 04/01/2038 | | | 3,500 | | | | 3,447 | |
Series A, Rev., 5.00%, 04/01/2033 | | | 3,000 | | | | 3,264 | |
California Health Facilities Financing Authority, Kaiser Permanente, Series A2, Rev., 4.00%, 11/01/2044 | | | 3,000 | | | | 2,955 | |
California Health Facilities Financing Authority, PIH Health, Series A, Rev., 5.00%, 06/01/2035 | | | 3,010 | | | | 3,243 | |
California Health Facilities Financing Authority, Stanford Health Care, Series A, Rev., 5.00%, 11/15/2030 | | | 2,000 | | | | 2,185 | |
California Health Facilities Financing Authority, Sutter Health, Series A, Rev., 5.00%, 08/15/2043 (p) | | | 465 | | | | 485 | |
California Health Facilities Financing Authority, Unrefunded, Rev., 5.00%, 10/01/2039 (z) | | | 1,055 | | | | 1,083 | |
California Housing Finance Agency, Series 2021-1, Rev., 3.50%, 11/20/2035 | | | 967 | | | | 904 | |
California Housing Finance Agency, Social Certificates, Series A, Rev., 3.25%, 08/20/2036 | | | 6,714 | | | | 6,112 | |
California Infrastructure & Economic Development Bank, Brightline West Passenger, Rev., AMT, 3.65%, 01/01/2050 (e) (z) | | | 13,935 | | | | 13,876 | |
California Infrastructure & Economic Development Bank, J. Paul Getty Trust, Rev., 3.00%, 10/01/2047 (z) | | | 1,000 | | | | 993 | |
California Infrastructure & Economic Development Bank, Los Angeles County, Series B, Rev., (SIFMA Municipal Swap Index + 0.70%), 4.71%, 12/01/2050 (aa) | | | 1,370 | | | | 1,332 | |
California Infrastructure & Economic Development Bank, Sanford Consortium Project, Series A, Rev., 5.00%, 05/15/2031 | | | 1,230 | | | | 1,313 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
California — continued | | | | | | | | |
California Municipal Finance Authority, Open Door Community Health Center, | | | | | | | | |
Rev., 4.00%, 09/15/2034 | | | 920 | | | | 968 | |
Rev., 4.00%, 09/15/2035 | | | 960 | | | | 994 | |
Rev., 4.00%, 09/15/2036 | | | 1,000 | | | | 1,018 | |
California Municipal Finance Authority, Republic Services, Inc. Project, Series B, Rev., AMT, 3.60%, 07/01/2051 (z) | | | 6,000 | | | | 5,999 | |
California Municipal Finance Authority, Simpson University, Series A, Rev., 6.00%, 10/01/2050 (e) | | | 2,000 | | | | 2,013 | |
California Municipal Finance Authority, Southern California Institute, Rev., 5.00%, 12/01/2037 | | | 745 | | | | 761 | |
California Municipal Finance Authority, Subordinate Caritas Project, Series B, Rev., 4.00%, 08/15/2041 | | | 300 | | | | 276 | |
California Municipal Finance Authority, Taxable Virginia Oceanside Health Care Center, Rev., 3.64%, 07/01/2030 (e) | | | 2,985 | | | | 2,547 | |
California Municipal Finance Authority, Walnut Apartments, Rev., HUD, 0.45%, 12/01/2024 (z) | | | 1,125 | | | | 1,106 | |
California Municipal Finance Authority, Waste Management, Inc. Project, | | | | | | | | |
Rev., AMT, 0.70%, 12/01/2044 (z) | | | 1,670 | | | | 1,641 | |
Series A, Rev., AMT, 2.40%, 10/01/2044 (z) | | | 4,960 | | | | 4,533 | |
California Pollution Control Financing Authority, Plant Bonds, | | | | | | | | |
Rev., AMT, 5.00%, 07/01/2037 (e) | | | 1,500 | | | | 1,501 | |
Rev., AMT, 5.00%, 11/21/2045 (e) | | | 4,000 | | | | 3,957 | |
California Pollution Control Financing Authority, Poseidon Resources, Rev., AMT, 5.00%, 07/01/2037 (e) | | | 2,200 | | | | 2,306 | |
California Pollution Control Financing Authority, Republic Services, Inc., Rev., AMT, 3.70%, 11/01/2042 (e) (z) | | | 3,490 | | | | 3,490 | |
California Public Finance Authority, Enso Village Project, Rev., 2.13%, 11/15/2027 (e) | | | 1,000 | | | | 964 | |
California Public Finance Authority, Enso Village Project, Green Bond, Rev., 5.00%, 11/15/2036 (e) | | | 325 | | | | 315 | |
California Public Finance Authority, Henry Mayo Newhall Hospital, | | | | | | | | |
Rev., 5.00%, 10/15/2032 | | | 1,000 | | | | 1,037 | |
Series A, Rev., 4.00%, 10/15/2023 | | | 130 | | | | 130 | |
California School Finance Authority, Rocketship Education Obligated, Series A, Rev., 5.00%, 06/01/2034 (e) | | | 1,230 | | | | 1,234 | |
California State Public Works Board, Corrections Facilities, Series A, Rev., 5.00%, 09/01/2039 | | | 7,560 | | | | 7,675 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
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| 158 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
California — continued | | | | | | | | |
California State Public Works Board, Forward Delivery, Series A, Rev., 5.00%, 02/01/2030 | | | 2,500 | | | | 2,870 | |
California State Public Works Board, Green Bond Natural Resources, Rev., 5.00%, 11/01/2033 | | | 1,035 | | | | 1,220 | |
California State Public Works Board, Various Capital Projects, | | | | | | | | |
Rev., 4.00%, 11/01/2030 | | | 1,245 | | | | 1,287 | |
Rev., 4.00%, 11/01/2031 | | | 1,000 | | | | 1,030 | |
Rev., 5.00%, 11/01/2026 | | | 565 | | | | 606 | |
Series D, Rev., 4.00%, 11/01/2037 | | | 1,000 | | | | 1,023 | |
California State University, Series A, Rev., 5.00%, 11/01/2044 | | | 2,640 | | | | 2,862 | |
California State University, Systemwide, Series A, Rev., 4.00%, 11/01/2035 | | | 1,000 | | | | 1,019 | |
California Statewide Communities Development Authority, Series B, Special Assessment, 4.00%, 09/02/2040 | | | 570 | | | | 509 | |
California Statewide Communities Development Authority, Enloe Medical Center, Series A, Rev., AGM, 5.13%, 08/15/2047 | | | 500 | | | | 532 | |
California Statewide Communities Development Authority, Green Bond, Marin General Hospital, Rev., 4.00%, 08/01/2045 | | | 3,000 | | | | 2,649 | |
California Statewide Communities Development Authority, Health Facility, Dignity Health, Rev., AGM, 4.01%, 07/01/2041 (z) | | | 2,000 | | | | 2,000 | |
California Statewide Communities Development Authority, Loma Linda University Medical Center, | | | | | | | | |
Rev., 5.25%, 12/01/2044 | | | 6,065 | | | | 6,006 | |
Rev., 5.50%, 12/01/2054 | | | 1,100 | | | | 1,098 | |
Series A, Rev., 5.00%, 12/01/2026 (e) | | | 300 | | | | 308 | |
Series A, Rev., 5.00%, 12/01/2041 (e) | | | 2,000 | | | | 1,968 | |
Series A, Rev., 5.25%, 12/01/2056 (e) | | | 3,000 | | | | 2,899 | |
California Statewide Communities Development Authority, Montage Health, Series A, Rev., 4.00%, 06/01/2028 | | | 435 | | | | 458 | |
California Statewide Communities Development Authority, South California Edison Co., Rev., 2.63%, 11/01/2033 (z) | | | 275 | | | | 273 | |
Chino Valley Unified School District, Election of 2016, Series C, GO, Zero Coupon, 08/01/2034 | | | 125 | | | | 84 | |
City & County of San Francisco, Series R2, GO, 5.00%, 06/15/2024 | | | 1,000 | | | | 1,020 | |
City & County of San Francisco Special Tax District No. 2020-1, Mission Rock Facilities and Services, Special Tax, 4.00%, 09/01/2036 (e) | | | 155 | | | | 146 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
California — continued | | | | | | | | |
City & County of San Francisco, Special Tax District No. 2020-1, Mission Rock Facilities and Services, Special Tax, 4.00%, 09/01/2031 (e) | | | 300 | | | | 297 | |
City of Dixon, Community Facilities District Improvement, Special Tax, 4.00%, 09/01/2036 | | | 200 | | | | 192 | |
City of Fresno, Airport Revenue, Series A, Rev., BAM, AMT, 5.00%, 07/01/2048 | | | 1,000 | | | | 1,052 | |
City of Long Beach Airport System Revenue, | | | | | | | | |
Series C, Rev., AGM, AMT, 5.00%, 06/01/2042 | | | 1,000 | | | | 1,063 | |
Series C, Rev., AGM, AMT, 5.25%, 06/01/2047 | | | 1,000 | | | | 1,074 | |
City of Los Angeles Department of Airports, | | | | | | | | |
Rev., AMT, 5.00%, 05/15/2026 | | | 1,500 | | | | 1,560 | |
Series B, Rev., AMT, 5.00%, 05/15/2027 | | | 1,000 | | | | 1,057 | |
Series B, Rev., AMT, 5.00%, 05/15/2046 | | | 21,965 | | | | 22,297 | |
City of Los Angeles Department of Airports, Los Angeles International Airport, Rev., AMT, 5.00%, 05/15/2032 | | | 1,000 | | | | 1,081 | |
City of Los Angeles Department of Airports, Private Activity, Series A, Rev., AMT, 5.00%, 05/15/2045 | | | 5,000 | | | | 5,277 | |
City of Los Angeles Department of Airports, Senior, | | | | | | | | |
Series A, Rev., AMT, 4.75%, 05/15/2040 | | | 2,415 | | | | 2,423 | |
Series C, Rev., AMT, 5.00%, 05/15/2036 | | | 4,090 | | | | 4,412 | |
City of Los Angeles Department of Airports, Senior Bonds Green Bond Project, | | | | | | | | |
Rev., AMT, 5.00%, 05/15/2029 | | | 4,000 | | | | 4,340 | |
Rev., AMT, 5.25%, 05/15/2047 | | | 4,000 | | | | 4,280 | |
City of Los Angeles Department of Airports, Subordinate, | | | | | | | | |
Series B, Rev., 5.00%, 05/15/2040 | | | 900 | | | | 1,010 | |
Series C, Rev., 5.00%, 05/15/2038 | | | 2,000 | | | | 2,068 | |
Series D, Rev., AMT, 5.00%, 05/15/2027 | | | 2,605 | | | | 2,753 | |
Series D, Rev., AMT, 5.00%, 05/15/2029 | | | 4,485 | | | | 4,866 | |
City of Los Angeles Department of Airports, Subordinate Los Angeles International Airport, | | | | | | | | |
Rev., AMT, 5.00%, 05/15/2027 | | | 1,235 | | | | 1,305 | |
Rev., AMT, 5.00%, 05/15/2029 | | | 1,000 | | | | 1,085 | |
City of Los Angeles Department of Airports, Subordinate P3 Project, | | | | | | | | |
Series A, Rev., AMT, 5.00%, 05/15/2026 | | | 1,180 | | | | 1,227 | |
Series A, Rev., AMT, 5.00%, 05/15/2046 | | | 8,000 | | | | 8,387 | |
City of Los Angeles Department of Airports, Subordinated, | | | | | | | | |
Series C, Rev., AMT, 5.00%, 05/15/2033 | | | 1,330 | | | | 1,409 | |
Series E, Rev., 5.00%, 05/15/2039 | | | 1,510 | | | | 1,643 | |
Series E, Rev., 5.00%, 05/15/2044 | | | 1,000 | | | | 1,076 | |
City of Los Angeles Department of Airports, Subordinated Los Angeles International, Rev., AMT, 5.25%, 05/15/2038 | | | 1,735 | | | | 1,836 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 159 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
California — continued | | | | | | | | |
City of Los Angeles Wastewater System Revenue, Subordinate, Series C, Rev., 5.00%, 06/01/2026 | | | 500 | | | | 531 | |
City of Los Angeles, Department of Airports, Senior, Series B, Rev., 5.00%, 05/15/2034 | | | 1,600 | | | | 1,839 | |
City of Roseville, Special Tax, | | | | | | | | |
5.00%, 09/01/2035 | | | 1,160 | | | | 1,220 | |
4.00%, 09/01/2040 | | | 1,000 | | | | 927 | |
City of San Francisco CA Public Utilities Commission Water Revenue, Regional Water, Series B, Rev., 5.00%, 11/01/2050 | | | 4,235 | | | | 4,463 | |
City of Santa Rosa Wastewater Revenue, Series A, Rev., 5.00%, 09/01/2033 | | | 1,770 | | | | 2,034 | |
City of Victorville Electric Revenue, | | | | | | | | |
Series A, Rev., 5.00%, 05/01/2038 | | | 1,055 | | | | 1,163 | |
Series A, Rev., 5.00%, 05/01/2039 | | | 1,110 | | | | 1,219 | |
City of Woodland, Facilities District Number 2004 1 Capital Project, Special Tax, 4.00%, 09/01/2041 | | | 500 | | | | 486 | |
Coachella Valley Water District Drinking Water System Revenue, Notes, Series A, Rev., 1.38%, 06/01/2025 | | | 2,000 | | | | 1,904 | |
Coast Community College District, Election of 2012, Series F, GO, Zero Coupon, 08/01/2040 | | | 3,020 | | | | 1,431 | |
Compton Community Redevelopment Agency Successor Agency, Series A, Tax Allocation, AGM, 5.00%, 08/01/2042 | | | 750 | | | | 817 | |
Compton Unified School District, Series B, GO, BAM, Zero Coupon, 06/01/2036 | | | 1,400 | | | | 801 | |
County of Los Angeles Community Facilities District No. 2021-01, Valencia Facilities, Special Tax, 5.00%, 09/01/2033 | | | 105 | | | | 113 | |
County of Los Angeles, Community Facilities District No. 2021-01, Valencia Facilities, Special Tax, 5.00%, 09/01/2042 | | | 540 | | | | 549 | |
CSCDA Community Improvement Authority, Series A, Rev., 5.00%, 01/01/2054 (e) | | | 3,295 | | | | 2,824 | |
CSCDA Community Improvement Authority, Renaissance at City Center, Series A, Rev., 5.00%, 07/01/2051 (e) | | | 215 | | | | 199 | |
CSCDA Community Improvement Authority, Social Bonds, Rev., 4.00%, 08/01/2056 (e) | | | 410 | | | | 314 | |
CSCDA Community Improvement Authority, Union South Bay, Social Bonds, Rev., 4.00%, 07/01/2056 (e) | | | 2,000 | | | | 1,483 | |
Department of Veterans Affairs, Veteran’s Farm & Home Purchase Program, Series A, Rev., 3.00%, 12/01/2050 | | | 830 | | | | 807 | |
East Bay Municipal Utility District Water System Revenue, Green Bond, Series A, Rev., 5.00%, 06/01/2035 | | | 1,200 | | | | 1,306 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
California — continued | | | | | | | | |
East Side Union High School District, 2014 Election Education Tech, | | | | | | | | |
Series D, GO, 5.00%, 08/01/2024 | | | 300 | | | | 306 | |
Series D, GO, 5.00%, 08/01/2025 | | | 400 | | | | 417 | |
Eastern Municipal Water District, Series A, Rev., 3.00%, 07/01/2024 | | | 30 | | | | 30 | |
Elk Grove Finance Authority, Special Tax, 4.00%, 09/01/2040 | | | 1,280 | | | | 1,169 | |
FHLMC Multifamily ML Certificates, Series 2021-ML10, Class A, Rev., 2.03%, 01/25/2038 (e) | | | 338 | | | | 258 | |
Fontana Public Facilities Financing Authority, Series A, Special Tax, 4.00%, 09/01/2023 | | | 145 | | | | 145 | |
Fresno Unified School District, | | | | | | | | |
Series D, GO, 2.00%, 08/01/2023 | | | 20 | | | | 20 | |
Series D, GO, 2.00%, 08/01/2024 | | | 100 | | | | 99 | |
Gilroy School Facilities Financing Authority, General Obligations, Series A, Rev., 5.00%, 08/01/2046 (p) | | | 5,000 | | | | 5,007 | |
Golden State Tobacco Securitization Corp., Subordinated, Series B2, Rev., Zero Coupon, 06/01/2066 | | | 8,000 | | | | 869 | |
Golden State Tobacco Securitization Corp., Taxable Tobacco Settlement Asset Backed Bonds, Series C, Rev., 2.75%, 06/01/2034 | | | 1,900 | | | | 1,546 | |
Golden State Tobacco Securitization Corp., Tobacco Settlement Asset Backed Bonds, Rev., 5.00%, 06/01/2051 | | | 2,235 | | | | 2,328 | |
Hayward Unified School District, COP, 5.25%, 08/01/2047 | | | 3,000 | | | | 3,122 | |
Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue, Green Bond Measure R, Rev., 5.00%, 06/01/2027 | | | 1,000 | | | | 1,088 | |
Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue, Proposition C, Series A, Rev., 5.00%, 07/01/2027 | | | 1,255 | | | | 1,370 | |
Los Angeles County Metropolitan Transportation Authority, Measure R Junior Subordinated, Green Bonds, Series A, Rev., 5.00%, 06/01/2034 | | | 7,000 | | | | 7,617 | |
Los Angeles County Metropolitan Transportation Authority, Measure R Junior, Green Bond, Subordinated, Series A, Rev., 5.00%, 06/01/2033 | | | 2,000 | | | | 2,319 | |
Los Angeles County Sanitation Districts Financing Authority, Series A, Rev., 4.00%, 10/01/2033 | | | 1,000 | | | | 1,029 | |
Los Angeles County, Metropolitan Transportation Authority, Green Bond, Measure R Junior Subordinated, Series A, Rev., 5.00%, 06/01/2030 | | | 1,500 | | | | 1,745 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 160 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
California — continued | | | | | | | | |
Los Angeles Department of Water, | | | | | | | | |
Series B, Rev., 4.00%, 07/01/2027 | | | 1,500 | | | | 1,572 | |
Series B, Rev., 4.00%, 07/01/2029 | | | 1,000 | | | | 1,075 | |
Series B, Rev., 5.00%, 07/01/2037 | | | 740 | | | | 807 | |
Los Angeles Department of Water & Power, | | | | | | | | |
Series A, Rev., 5.00%, 07/01/2029 | | | 3,000 | | | | 3,407 | |
Series B, Rev., 5.00%, 07/01/2039 | | | 500 | | | | 569 | |
Series C, Rev., 5.00%, 07/01/2038 | | | 275 | | | | 313 | |
Los Angeles Department of Water & Power, Power System Bonds, Series C, Rev., 5.00%, 07/01/2037 | | | 1,000 | | | | 1,109 | |
Los Angeles Department of Water & Power, Power System Revenue, | | | | | | | | |
Series A, Rev., 5.25%, 07/01/2049 | | | 9,500 | | | | 10,266 | |
Series B, Rev., 5.00%, 07/01/2038 | | | 1,000 | | | | 1,061 | |
Los Angeles Unified School District, | | | | | | | | |
Series A, GO, 3.00%, 01/01/2034 | | | 2,000 | | | | 1,914 | |
Series C, GO, 4.00%, 07/01/2036 | | | 1,000 | | | | 1,039 | |
Series C, GO, 5.00%, 07/01/2026 | | | 2,285 | | | | 2,434 | |
Series RYQ, GO, 5.00%, 07/01/2035 | | | 1,280 | | | | 1,464 | |
Los Angeles Unified School District, Election 2008, Series B1, GO, BAM, 5.00%, 07/01/2029 | | | 100 | | | | 110 | |
Los Angeles Unified School District, Sustainability Bonds, Series QRR, GO, 5.00%, 07/01/2026 | | | 550 | | | | 586 | |
Metropolitan Water District of Southern California, Rev., 5.00%, 01/01/2038 | | | 3,015 | | | | 3,290 | |
Municipal Improvement Corp. of Los Angeles, Real Property, Series B, Rev., 5.00%, 11/01/2039 | | | 2,535 | | | | 2,793 | |
Natomas Unified School District, | | | | | | | | |
Series A, GO, AGM, 4.00%, 08/01/2045 | | | 7,740 | | | | 7,734 | |
Series A, GO, AGM, 4.00%, 08/01/2049 | | | 2,655 | | | | 2,625 | |
Norman Y Mineta San Jose International Airport SJC, | | | | | | | | |
Series A, Rev., AMT, 5.00%, 03/01/2027 | | | 1,480 | | | | 1,553 | |
Series A, Rev., AMT, 5.00%, 03/01/2031 | | | 1,000 | | | | 1,097 | |
Series A, Rev., AMT, 5.00%, 03/01/2032 | | | 2,000 | | | | 2,198 | |
Series A, Rev., AMT, 5.00%, 03/01/2036 | | | 1,160 | | | | 1,206 | |
Northern California Energy Authority, Series A, Rev., 4.00%, 07/01/2049 (z) | | | 2,000 | | | | 2,002 | |
Norwalk-La Mirada Unified School District, Series D, GO, 3.00%, 08/01/2043 | | | 2,000 | | | | 1,663 | |
Norwalk-La Mirada Unified School District, Election 2014, Series E, GO, 3.00%, 08/01/2050 | | | 10,000 | | | | 7,737 | |
Oakland Unified School District/Alameda County, Election of 2012, Series A, GO, AGM, 4.00%, 08/01/2034 | | | 1,000 | | | | 1,035 | |
Ontario International Airport Authority, Series A, Rev., AGM, 5.00%, 05/15/2046 | | | 1,500 | | | | 1,630 | |
Orange County Community Facilities District, District No. 2021-1 Rienda, Series A, Special Tax, 5.00%, 08/15/2033 | | | 300 | | | | 323 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
California — continued | | | | | | | | |
Orange County Transportation Authority, 405 Improvement Project, Rev., BAN, 5.00%, 10/15/2024 (p) | | | 3,230 | | | | 3,312 | |
Oxnard Union High School District, Series B, GO, 5.00%, 08/01/2045 | | | 3,000 | | | | 3,203 | |
Palomar Health, Rev., 5.00%, 11/01/2039 | | | 4,000 | | | | 4,060 | |
Palomar Health, Capital Appreciation, Electric of 2004, | | | | | | | | |
Series A, GO, AGC, Zero Coupon, 08/01/2028 | | | 500 | | | | 421 | |
Series A, GO, AGC, Zero Coupon, 08/01/2031 | | | 330 | | | | 247 | |
Peralta Community College District, GO, 5.25%, 08/01/2037 | | | 2,000 | | | | 2,345 | |
Pittsburg Public Financing Authority, Series A, Rev., AGM, 4.13%, 08/01/2047 | | | 1,400 | | | | 1,375 | |
Port of Oakland, Intermediate Lien, | | | | | | | | |
Series H, Rev., AMT, 5.00%, 05/01/2027 | | | 2,500 | | | | 2,621 | |
Series H, Rev., AMT, 5.00%, 05/01/2028 | | | 4,275 | | | | 4,544 | |
Series H, Rev., AMT, 5.00%, 05/01/2029 | | | 980 | | | | 1,056 | |
River Islands Public Financing Authority, Community Facilities District No. 2003-1, Special Tax, AGM, 5.25%, 09/01/2052 | | | 1,085 | | | | 1,194 | |
Sacramento City Unified School District, GO, BAM, 5.00%, 07/01/2031 | | | 525 | | | | 619 | |
Sacramento City Unified School District, Election of 2020 Measure, | | | | | | | | |
GO, BAM, 5.00%, 08/01/2024 | | | 860 | | | | 877 | |
GO, BAM, 5.00%, 08/01/2038 | | | 500 | | | | 552 | |
Sacramento County Sanitation Districts Financing Authority, Series A, Rev., 5.00%, 12/01/2044 | | | 4,250 | | | | 4,300 | |
Sacramento Municipal Utility District, Electric, Series H, Rev., 4.00%, 08/15/2040 | | | 2,000 | | | | 2,032 | |
San Bernardino Community College District, Election of 2018, Series A, GO, 3.00%, 08/01/2041 (p) | | | 2,000 | | | | 2,028 | |
San Diego Community College District, GO, 4.00%, 08/01/2032 (p) | | | 2,910 | | | | 3,023 | |
San Diego County Regional Airport Authority, Subordinate, Series B, Rev., AMT, 4.00%, 07/01/2036 | | | 1,090 | | | | 1,095 | |
San Diego County Regional Airport Authority, Subordinated, | | | | | | | | |
Rev., 5.00%, 07/01/2034 | | | 1,000 | | | | 1,146 | |
Series B, Rev., AMT, 5.00%, 07/01/2031 | | | 775 | | | | 817 | |
San Diego Public Facilities Financing Authority, Series A, Rev., 5.00%, 05/15/2039 | | | 1,565 | | | | 1,652 | |
San Diego Unified School District, Election 2008, Series E, GO, Zero Coupon, 07/01/2034 | | | 1,250 | | | | 859 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 161 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
California — continued | | | | | | | | |
San Dieguito School Facilities Financing Authority, Special Tax, 5.00%, 03/01/2031 | | | 1,030 | | | | 1,133 | |
San Francisco Bay Area Rapid Transit District, Election 2004, Green Bond, GO, 5.00%, 08/01/2036 | | | 1,875 | | | | 2,024 | |
San Francisco Bay Area Rapid Transit District, Green Bonds, Series C1, GO, 4.00%, 08/01/2032 | | | 1,000 | | | | 1,073 | |
San Francisco City & County Airport Commission-San Francisco International Airport, | | | | | | | | |
Series H, Rev., AMT, 5.00%, 05/01/2025 | | | 1,500 | | | | 1,535 | |
Series H, Rev., AMT, 5.00%, 05/01/2028 | | | 3,000 | | | | 3,200 | |
San Francisco City & County Airport Commission San Francisco International Airport, Unrefunded, | | | | | | | | |
Rev., AMT, 5.00%, 05/01/2027 | | | 775 | | | | 811 | |
Series A, Rev., AMT, 5.00%, 05/01/2044 | | | 1,495 | | | | 1,500 | |
San Francisco City & County Airport Commission-San Francisco International Airport, | | | | | | | | |
Series A, Rev., AMT, 5.00%, 05/01/2025 | | | 2,000 | | | | 2,044 | |
Series A, Rev., AMT, 5.00%, 05/01/2030 | | | 2,000 | | | | 2,190 | |
Series A, Rev., 5.00%, 05/01/2031 | | | 205 | | | | 219 | |
Series A, Rev., AMT, 5.00%, 05/01/2032 | | | 2,000 | | | | 2,213 | |
Series C, Rev., 5.00%, 05/01/2046 | | | 1,920 | | | | 1,977 | |
San Francisco City & County Public Utilities Commission Wastewater Revenue, Green Bonds, Series C, Rev., 4.00%, 10/01/2048 (z) | | | 2,290 | | | | 2,434 | |
San Francisco Unified School District, Series B, GO, 4.00%, 06/15/2035 | | | 300 | | | | 314 | |
San Joaquin Hills Transportation Corridor Agency, Junior Lien, | | | | | | | | |
Series B, Rev., 5.25%, 01/15/2044 | | | 8,020 | | | | 8,176 | |
Series B, Rev., 5.25%, 01/15/2049 | | | 3,000 | | | | 3,054 | |
San Joaquin Hills Transportation Corridor Agency, Senior Lien Toll Road, Rev., 4.00%, 01/15/2034 | | | 3,000 | | | | 3,148 | |
San Jose Unified School District, Taxable, GO, 1.01%, 08/01/2027 | | | 1,700 | | | | 1,470 | |
Santa Clara Valley Water District, Water System Utility Improvement, COP, 5.00%, 06/01/2038 | | | 2,495 | | | | 2,785 | |
Santaluz Community Facilities District No. 2, | | | | | | | | |
Special Tax, 3.00%, 09/01/2023 | | | 250 | | | | 250 | |
Special Tax, 3.00%, 09/01/2024 | | | 95 | | | | 94 | |
Sierra View Local Health Care District, Tulare Co., Rev., 4.00%, 07/01/2024 | | | 475 | | | | 476 | |
South San Francisco Public Facilities Financing Authority, Multiple Capital Projects at Orange Memorial Park, Rev., 5.25%, 06/01/2046 | | | 1,000 | | | | 1,100 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
California — continued | | | | | | | | |
Southern California Public Power Authority, Green Bond Milford Wind Co., | | | | | | | | |
Rev., 5.00%, 07/01/2024 | | | 40 | | | | 41 | |
Rev., 5.00%, 07/01/2025 | | | 250 | | | | 260 | |
State of California, | | | | | | | | |
GO, 3.00%, 11/01/2040 | | | 500 | | | | 434 | |
GO, 4.00%, 03/01/2036 | | | 4,000 | | | | 4,180 | |
GO, 4.00%, 11/01/2041 | | | 1,000 | | | | 1,004 | |
GO, 5.00%, 09/01/2024 | | | 5,000 | | | | 5,119 | |
GO, 5.00%, 10/01/2026 | | | 2,000 | | | | 2,135 | |
GO, 5.00%, 04/01/2027 | | | 145 | | | | 157 | |
GO, 5.00%, 04/01/2029 | | | 80 | | | | 90 | |
GO, 5.00%, 09/01/2029 | | | 1,000 | | | | 1,136 | |
GO, 5.00%, 11/01/2029 | | | 13,215 | | | | 15,055 | |
GO, 5.00%, 12/01/2029 | | | 700 | | | | 799 | |
GO, 5.00%, 12/01/2030 | | | 55 | | | | 64 | |
GO, 5.00%, 10/01/2034 | | | 700 | | | | 835 | |
GO, 5.00%, 10/01/2047 | | | 1,500 | | | | 1,563 | |
Series CU, GO, 5.50%, 12/01/2052 | | | 250 | | | | 280 | |
State of California, Taxable Bidding Group A, GO, 1.75%, 10/01/2028 | | | 5,000 | | | | 4,303 | |
State of California, Taxable Group B, GO, 5.50%, 10/01/2025 | | | 9,000 | | | | 9,040 | |
State of California, Various Purpose, | | | | | | | | |
GO, 4.00%, 09/01/2031 | | | 1,000 | | | | 1,034 | |
GO, 4.00%, 11/01/2033 | | | 3,550 | | | | 3,699 | |
GO, 4.00%, 10/01/2035 | | | 2,825 | | | | 2,999 | |
GO, 4.00%, 10/01/2036 | | | 8,850 | | | | 9,261 | |
GO, 5.00%, 10/01/2029 | | | 1,000 | | | | 1,138 | |
GO, 5.00%, 04/01/2031 | | | 1,000 | | | | 1,170 | |
GO, 5.00%, 03/01/2034 | | | 2,180 | | | | 2,494 | |
GO, 5.00%, 03/01/2035 | | | 505 | | | | 575 | |
GO, 5.00%, 04/01/2035 | | | 1,000 | | | | 1,117 | |
State of California, Veterans Bonds, GO, 5.00%, 12/01/2031 | | | 5,500 | | | | 5,646 | |
University of California, | | | | | | | | |
Series AR, Rev., 5.00%, 05/15/2041 | | | 2,000 | | | | 2,095 | |
Series BM, Rev., 5.00%, 05/15/2029 | | | 5,000 | | | | 5,698 | |
Series BN, Rev., 5.00%, 05/15/2037 | | | 1,000 | | | | 1,186 | |
Series BN, Rev., 5.00%, 05/15/2038 | | | 5,000 | | | | 5,840 | |
Series S, Rev., 5.00%, 05/15/2031 | | | 1,500 | | | | 1,773 | |
University of California, Limited Project, | | | | | | | | |
Series K, Rev., 5.00%, 05/15/2035 | | | 1,980 | | | | 2,103 | |
Series M, Rev., 4.00%, 05/15/2047 | | | 1,300 | | | | 1,294 | |
Series M, Rev., 5.00%, 05/15/2034 | | | 1,500 | | | | 1,623 | |
University of California, Limited Project Revenue Bonds, Series Q, Rev., 5.00%, 05/15/2032 | | | 350 | | | | 413 | |
Upper Santa Clara Valley Joint Powers Authority, | | | | | | | | |
Series A, Rev., 4.00%, 08/01/2045 | | | 1,500 | | | | 1,499 | |
Series A, Rev., 4.00%, 08/01/2050 | | | 2,000 | | | | 1,971 | |
Val Verde Unified School District, Election 2012, Series A, GO, BAM, 5.00%, 08/01/2042 (p) | | | 500 | | | | 501 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 162 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
California — continued | | | | | | | | |
Victor Valley Union High School District, Series B, GO, AGM, 4.00%, 08/01/2036 | | | 1,270 | | | | 1,285 | |
West Contra Costa Healthcare District, Special Tax, 5.00%, 07/01/2027 | | | 805 | | | | 869 | |
William S Hart Union High School District, Capital Appreciation Election 2001, Series B, GO, AGM, Zero Coupon, 09/01/2025 | | | 1,960 | | | | 1,820 | |
| | | | | | | | |
| | |
| | | | | | | 592,602 | |
| | | | | | | | |
Colorado — 3.3% | | | | | | | | |
Adams & Weld Counties School District No. 27J Brighton, GO, 5.00%, 12/01/2042 | | | 1,000 | | | | 1,054 | |
Aerotropolis Regional Transportation Authority, Rev., 4.25%, 12/01/2041 | | | 500 | | | | 410 | |
Alpine Mountain Ranch Metropolitan District Special Improvement District No. 1, Special Assessment, 4.00%, 12/01/2040 | | | 500 | | | | 423 | |
Arapahoe County School District No. 6 Littleton, GO, 5.00%, 12/01/2023 | | | 670 | | | | 675 | |
Board of Water Commissioners City & County of Denver, Green Bond, Series A, Rev., 4.00%, 09/15/2042 | | | 2,180 | | | | 2,166 | |
Brighton Crossing Metropolitan District No. 6, Series A, GO, 5.00%, 12/01/2035 | | | 525 | | | | 499 | |
Castle Oaks Metropolitan District No. 3, GO, AGM, 4.00%, 12/01/2026 | | | 220 | | | | 226 | |
Centerra Metropolitan District No. 1, Rev., 6.50%, 12/01/2053 | | | 500 | | | | 504 | |
City & County of Denver Airport System Revenue, | | | | | | | | |
Series A, Rev., AMT, 4.00%, 11/15/2041 | | | 3,000 | | | | 2,926 | |
Series A, Rev., AMT, 5.00%, 11/15/2029 | | | 1,000 | | | | 1,088 | |
Series A, Rev., AMT, 5.50%, 11/15/2053 | | | 4,000 | | | | 4,370 | |
Series B, Rev., 5.25%, 11/15/2053 | | | 4,775 | | | | 5,257 | |
Series D, Rev., AMT, 5.75%, 11/15/2040 | | | 4,750 | | | | 5,418 | |
Series D, Rev., AMT, 5.75%, 11/15/2041 | | | 3,000 | | | | 3,410 | |
Series D, Rev., AMT, 5.75%, 11/15/2045 | | | 11,050 | | | | 12,426 | |
City & County of Denver Airport System Revenue, Subordinate System, Series A, Rev., AMT, 5.00%, 12/01/2034 | | | 2,510 | | | | 2,671 | |
City & County of Denver Dedicated Excise Tax Revenue, Series A, Rev., 4.00%, 08/01/2051 | | | 9,925 | | | | 9,571 | |
City & County of Denver, Airport System Revenue, | | | | | | | | |
Series A, Rev., AMT, 5.00%, 11/15/2027 | | | 1,000 | | | | 1,061 | |
Series A, Rev., AMT, 5.00%, 12/01/2030 | | | 3,000 | | | | 3,295 | |
Series B2, Rev., AMT, 5.00%, 11/15/2031 (z) | | | 1,000 | | | | 1,026 | |
City & County of Denver, Airport System Revenue, Subordinated, Series A, Rev., AMT, 5.00%, 12/01/2027 | | | 5,840 | | | | 6,185 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Colorado — continued | | | | | | | | |
City & County of Denver, Airport System Revenue, Subordinated System, Series A, Rev., AMT, 5.00%, 12/01/2043 | | | 3,000 | | | | 3,097 | |
City of Aurora, Water Revenue, Green Bond, Rev., 5.00%, 08/01/2041 (p) | | | 1,800 | | | | 1,913 | |
Colorado Bridge Enterprise, Central 70 Project, | | | | | | | | |
Rev., AMT, 4.00%, 12/31/2025 | | | 1,000 | | | | 1,005 | |
Rev., AMT, 4.00%, 12/31/2030 | | | 1,505 | | | | 1,518 | |
Colorado Educational & Cultural Facilities Authority, Aspen View Academy Project, | | | | | | | | |
Rev., 4.00%, 05/01/2036 | | | 175 | | | | 163 | |
Rev., 4.00%, 05/01/2041 | | | 175 | | | | 152 | |
Colorado Health Facilities Authority, AdventHealth Obligated Group, | | | | | | | | |
Rev., 3.00%, 11/15/2051 | | | 9,790 | | | | 7,217 | |
Rev., 4.00%, 11/15/2038 | | | 2,000 | | | | 2,008 | |
Rev., 5.00%, 11/15/2038 | | | 1,000 | | | | 1,105 | |
Colorado Health Facilities Authority, Adventist Health System, Rev., 5.00%, 11/15/2036 (z) | | | 1,295 | | | | 1,359 | |
Colorado Health Facilities Authority, Children’s Hospital, Series C, Rev., 5.00%, 12/01/2030 | | | 1,000 | | | | 1,049 | |
Colorado Health Facilities Authority, Children’s Hospital Co. Project, Series A, Rev., 5.00%, 12/01/2033 | | | 3,765 | | | | 3,783 | |
Colorado Health Facilities Authority, Commonspirit Health, | | | | | | | | |
Series A1, Rev., 5.00%, 08/01/2027 | | | 1,025 | | | | 1,080 | |
Series A1, Rev., 5.00%, 08/01/2034 | | | 1,240 | | | | 1,328 | |
Series A2, Rev., 5.00%, 08/01/2028 | | | 2,215 | | | | 2,368 | |
Series A2, Rev., 5.00%, 08/01/2044 | | | 16,940 | | | | 17,488 | |
Colorado Health Facilities Authority, Commonspirit Health Obligation Group, Rev., 5.25%, 11/01/2052 | | | 2,000 | | | | 2,086 | |
Colorado Health Facilities Authority, Improvement Bonds Christian Living Communities, Rev., 4.00%, 01/01/2042 | | | 500 | | | | 366 | |
Colorado Health Facilities Authority, SCL Health System, Series A, Rev., 5.00%, 01/01/2030 | | | 1,175 | | | | 1,323 | |
Colorado Housing and Finance Authority, Series H, Rev., GNMA COLL, 3.00%, 05/01/2050 | | | 1,890 | | | | 1,830 | |
Colorado Housing and Finance Authority, Social Bonds, | | | | | | | | |
Series E, Rev., GNMA, 3.00%, 11/01/2051 | | | 2,780 | | | | 2,678 | |
Series I, Rev., GNMA COLL, 6.00%, 05/01/2053 | | | 1,380 | | | | 1,514 | |
Series L, Rev., GNMA COLL, 3.25%, 11/01/2051 | | | 1,565 | | | | 1,515 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 163 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Colorado — continued | | | | | | | | |
Colorado Housing and Finance Authority, Social Bonds Class I, Series H, Rev., GNMA, 3.00%, 11/01/2051 | | | 1,225 | | | | 1,176 | |
Colorado Housing and Finance Authority, Wintergreen Ridge Apartments Project, Rev., 4.00%, 05/01/2041 (z) | | | 80 | | | | 80 | |
Copperleaf Metropolitan District No. 2, | | | | | | | | |
GO, BAM, 4.00%, 12/01/2023 | | | 305 | | | | 306 | |
GO, BAM, 4.00%, 12/01/2025 | | | 470 | | | | 478 | |
Crystal Valley, Metropolitan District No. 2, | | | | | | | | |
Series A, GO, AGM, 5.00%, 12/01/2028 | | | 500 | | | | 552 | |
Series A, GO, AGM, 5.00%, 12/01/2030 | | | 360 | | | | 412 | |
Denver City & County, School District No. 1, GO, 5.00%, 12/01/2029 | | | 1,000 | | | | 1,066 | |
Denver Convention Center Hotel Authority, Senior, Rev., 5.00%, 12/01/2036 | | | 1,320 | | | | 1,334 | |
Denver Urban Renewal Authority, Senior Subordinated Stapleton, Series B, Tax Allocation, 5.00%, 12/01/2025 | | | 500 | | | | 521 | |
E-470 Public Highway Authority, Series B, Rev., (United States SOFR * 0.67 + 0.35%), 3.74%, 09/01/2039 (aa) | | | 1,485 | | | | 1,479 | |
E-470 Public Highway Authority, Capital Appreciation, Series A, Rev., NATL, Zero Coupon, 09/01/2027 | | | 1,250 | | | | 1,086 | |
E-470 Public Highway Authority, Capital Appreciation School Reform, Series B, Rev., NATL, Zero Coupon, 09/01/2030 | | | 290 | | | | 226 | |
E-470 Public Highway Authority, Senior, | | | | | | | | |
Series A, Rev., 5.00%, 09/01/2027 | | | 1,000 | | | | 1,078 | |
Series A, Rev., 5.00%, 09/01/2028 | | | 1,000 | | | | 1,099 | |
Series A, Rev., 5.00%, 09/01/2040 | | | 2,775 | | | | 2,804 | |
Falcon Area Water & Wastewater Authority, Series A, Rev., 6.75%, 12/01/2034 (e) | | | 3,000 | | | | 2,989 | |
Garfield Pitkin & Eagle Counties School District No. RE-1 Roaring Fork, GO, 4.00%, 12/15/2034 (p) | | | 2,000 | | | | 2,052 | |
Jefferson Center Metropolitan District No. 1, | | | | | | | | |
Series A2, Rev., 4.13%, 12/01/2040 | | | 575 | | | | 484 | |
Series A2, Rev., 4.38%, 12/01/2047 | | | 795 | | | | 649 | |
Jefferson County School District, | | | | | | | | |
Series R1, GO, 4.00%, 12/15/2032 | | | 1,500 | | | | 1,613 | |
Series R1, GO, 5.00%, 12/15/2031 | | | 2,000 | | | | 2,221 | |
Peak Metropolitan District No. 3, GO, 0.00%, 12/01/2042 | | | 3,950 | | | | 2,240 | |
Public Authority for Colorado Energy, Rev., 6.50%, 11/15/2038 | | | 6,000 | | | | 7,241 | |
Pueblo Urban Renewal Authority, EVRAZ Project Tax Increment, Tax Allocation, 4.75%, 12/01/2045 (e) | | | 635 | | | | 432 | |
Regional Transportation District, Denver Transit Partners Eagle, | | | | | | | | |
Series A, Rev., 5.00%, 07/15/2026 | | | 575 | | | | 598 | |
Series A, Rev., 5.00%, 01/15/2027 | | | 1,000 | | | | 1,047 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Colorado — continued | | | | | | | | |
Series A, Rev., 5.00%, 01/15/2032 | | | 1,470 | | | | 1,623 | |
Siena Lake Metropolitan District, GO, 3.75%, 12/01/2041 | | | 500 | | | | 383 | |
South Suburban Park & Recreation District, COP, 4.00%, 12/15/2036 | | | 1,350 | | | | 1,365 | |
Spring Valley Metropolitan District No. 3, Series A, GO, 5.00%, 12/01/2049 | | | 1,360 | | | | 1,238 | |
State of Colorado, | | | | | | | | |
COP, 6.00%, 12/15/2041 | | | 15,000 | | | | 17,868 | |
Series A, COP, 5.00%, 09/01/2026 | | | 1,500 | | | | 1,587 | |
Series A, COP, 5.00%, 12/15/2029 | | | 1,000 | | | | 1,128 | |
Series L, COP, 5.00%, 03/15/2028 | | | 1,000 | | | | 1,092 | |
Sterling Ranch Metropolitan District No. 1, GO, 5.00%, 12/01/2040 | | | 500 | | | | 470 | |
University of Colorado, Series B1, Rev., 4.00%, 06/01/2034 (p) | | | 4,000 | | | | 4,125 | |
University of Colorado, University Enterprise, | | | | | | | | |
Rev., 2.00%, 06/01/2051 (z) | | | 4,000 | | | | 3,825 | |
Verve Metropolitan District No. 1, GO, 5.00%, 12/01/2036 | | | 1,500 | | | | 1,473 | |
Village Metropolitan District (The), GO, 4.15%, 12/01/2030 | | | 460 | | | | 437 | |
Villages at Johnstown Metropolitan District No. 3, Senior Bond, Series A, GO, 5.00%, 12/01/2040 | | | 585 | | | | 546 | |
Weld County School District No. RE-4, | | | | | | | | |
GO, 5.00%, 12/01/2029 | | | 1,100 | | | | 1,250 | |
GO, 5.00%, 12/01/2031 | | | 1,000 | | | | 1,172 | |
GO, 5.25%, 12/01/2047 | | | 5,000 | | | | 5,613 | |
Windler Public Improvement Authority, Series A1, Rev., 4.00%, 12/01/2036 | | | 2,565 | | | | 1,945 | |
Windy Gap Firming Project Water Activity Enterprise, Windy Gap Firming Project, Rev., 5.00%, 07/15/2051 | | | 5,000 | | | | 5,386 | |
| | | | | | | | |
| | |
| | | | | | | 210,395 | |
| | | | | | | | |
Connecticut — 1.3% | | | | | | | | |
City of Bridgeport, Series A, GO, 4.00%, 06/01/2039 | | | 250 | | | | 246 | |
Connecticut Housing Finance Authority, Social Bond, Series C, Rev., (SIFMA Municipal Swap Index + 0.63%), 4.63%, 05/15/2051 (aa) | | | 1,540 | | | | 1,540 | |
Connecticut Housing Finance Authority, Social Bonds, Series A1, Rev., 3.50%, 11/15/2051 | | | 65 | | | | 63 | |
Connecticut State Health & Educational Facilities Authority, | | | | | | | | |
Series 2017 B1, Rev., 5.00%, 07/01/2029 | | | 4,845 | | | | 5,497 | |
Series A, Rev., 2.80%, 07/01/2048 (z) | | | 2,000 | | | | 1,959 | |
Connecticut State Health & Educational Facilities Authority, Connecticut Children’s Medical Center, Rev., 5.25%, 07/15/2048 | | | 4,575 | | | | 4,928 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 164 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Connecticut — continued | | | | | | | | |
Connecticut State Health & Educational Facilities Authority, Hartford Healthcare Project, | | | | | | | | |
Series A, Rev., 5.00%, 07/01/2026 | | | 555 | | | | 579 | |
Series A, Rev., 5.00%, 07/01/2033 | | | 565 | | | | 618 | |
Connecticut State Health & Educational Facilities Authority, Quinnipiac University Issue, Rev., 5.00%, 07/01/2048 | | | 3,000 | | | | 3,177 | |
Connecticut State Health & Educational Facilities Authority, Stamford Hospital Issue, | | | | | | | | |
Rev., 4.00%, 07/01/2035 | | | 1,000 | | | | 992 | |
Rev., 4.00%, 07/01/2038 | | | 2,500 | | | | 2,379 | |
Rev., 4.00%, 07/01/2041 | | | 2,250 | | | | 2,082 | |
Rev., 5.00%, 07/01/2024 | | | 175 | | | | 177 | |
Rev., 5.00%, 07/01/2030 | | | 865 | | | | 941 | |
Connecticut State Health & Educational Facilities Authority, Yale New Haven, Series B, Rev., 1.80%, 07/01/2049 (z) | | | 4,000 | | | | 3,924 | |
Connecticut State Higher Education Supplement Loan Authority, CHESLA Loan Program, Series B, Rev., AMT, 5.00%, 11/15/2030 | | | 500 | | | | 540 | |
Connecticut State, Health & Educational Facilities Authority, Sacred Heart University, | | | | | | | | |
Series K, Rev., 4.00%, 07/01/2045 | | | 750 | | | | 695 | |
Series K, Rev., 5.00%, 07/01/2037 | | | 950 | | | | 1,025 | |
Connecticut State, Health & Educational Facilities Authority, Yale University, Series C1, Rev., 5.00%, 07/01/2040 (z) | | | 3,220 | | | | 3,533 | |
State of Connecticut, | | | | | | | | |
Series 2021A, GO, 3.00%, 01/15/2026 | | | 5,000 | | | | 4,957 | |
Series 2021A, GO, 3.00%, 01/15/2032 | | | 2,250 | | | | 2,182 | |
Series 2021A, GO, 3.00%, 01/15/2033 | | | 500 | | | | 483 | |
Series 2021A, GO, 4.00%, 01/15/2028 | | | 3,500 | | | | 3,662 | |
Series A, GO, 4.00%, 03/15/2032 | | | 850 | | | | 860 | |
Series B, GO, 5.00%, 08/01/2033 | | | 1,750 | | | | 2,089 | |
Series C, GO, 5.00%, 06/15/2037 | | | 40 | | | | 46 | |
State of Connecticut Special Tax Revenue, | | | | | | | | |
Series A, Rev., 5.00%, 07/01/2028 | | | 500 | | | | 551 | |
Series A, Rev., 5.00%, 05/01/2035 | | | 500 | | | | 570 | |
Series A, Rev., 5.25%, 07/01/2042 | | | 10,000 | | | | 11,388 | |
Series D, Rev., 4.00%, 11/01/2038 | | | 3,500 | | | | 3,576 | |
Series D, Rev., 5.00%, 11/01/2028 | | | 1,480 | | | | 1,641 | |
Series D, Rev., 5.00%, 11/01/2033 | | | 1,675 | | | | 1,944 | |
Series D, Rev., 5.00%, 11/01/2036 | | | 1,500 | | | | 1,697 | |
State of Connecticut, Social Bonds, | | | | | | | | |
Series B, GO, 4.00%, 01/15/2038 | | | 500 | | | | 509 | |
Series F, GO, 5.00%, 11/15/2041 | | | 1,525 | | | | 1,688 | |
State of Connecticut, Special Tax Obligation Bonds, | | | | | | | | |
Rev., 5.00%, 05/01/2025 | | | 300 | | | | 310 | |
Rev., 5.00%, 05/01/2040 | | | 300 | | | | 328 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Connecticut — continued | | | | | | | | |
State of Connecticut, Special Tax Revenue, Transportation Infrastructure, Series A, Rev., 5.00%, 09/01/2031 | | | 1,220 | | | | 1,243 | |
Steel Point Infrastructure Improvement District, Steelpointe Harbor Project, Tax Allocation, 4.00%, 04/01/2036 (e) | | | 195 | | | | 170 | |
Town of Hamden, | | | | | | | | |
GO, BAM, 4.00%, 08/15/2027 | | | 535 | | | | 546 | |
GO, BAM, 5.00%, 08/15/2029 | | | 575 | | | | 627 | |
GO, BAM, 5.00%, 08/15/2031 | | | 500 | | | | 558 | |
Series A, GO, BAM, 5.00%, 08/01/2032 | | | 2,255 | | | | 2,490 | |
University of Connecticut, | | | | | | | | |
Series A, Rev., 5.00%, 02/15/2025 | | | 1,200 | | | | 1,235 | |
Series A, Rev., 5.00%, 08/15/2026 | | | 1,400 | | | | 1,403 | |
Series A, Rev., 5.00%, 01/15/2037 | | | 3,000 | | | | 3,165 | |
| | | | | | | | |
| | |
| | | | | | | 84,813 | |
| | | | | | | | |
Delaware — 0.4% | | | | | | | | |
Delaware State Economic Development Authority, NRG Energy Project, Rev., 1.25%, 10/01/2045 (z) | | | 4,065 | | | | 3,709 | |
Delaware State Health Facilities Authority, Christiana Health Care System, Rev., 5.00%, 10/01/2039 | | | 5,345 | | | | 5,699 | |
Delaware Transportation Authority, | | | | | | | | |
Rev., 5.00%, 07/01/2027 | | | 1,000 | | | | 1,084 | |
Rev., 5.00%, 07/01/2033 | | | 2,265 | | | | 2,594 | |
Delaware Transportation Authority, Garvee, Rev., 5.00%, 09/01/2025 | | | 1,000 | | | | 1,040 | |
State of Delaware, | | | | | | | | |
GO, 4.00%, 02/01/2031 | | | 1,000 | | | | 1,071 | |
GO, 5.00%, 02/01/2028 | | | 6,520 | | | | 7,174 | |
GO, 5.00%, 02/01/2031 | | | 85 | | | | 99 | |
Series A, GO, 5.00%, 10/01/2024 | | | 1,500 | | | | 1,536 | |
| | | | | | | | |
| | |
| | | | | | | 24,006 | |
| | | | | | | | �� |
District of Columbia — 1.6% | | | | | | | | |
District of Columbia, | | | | | | | | |
Rev., 5.00%, 06/01/2040 | | | 1,725 | | | | 1,666 | |
Series A, Rev., 4.00%, 03/01/2037 | | | 2,000 | | | | 2,046 | |
Series A, Rev., 4.00%, 03/01/2040 | | | 10,000 | | | | 10,099 | |
Series A, GO, 5.00%, 01/01/2027 | | | 475 | | | | 509 | |
Series A, Rev., 5.00%, 03/01/2031 | | | 1,500 | | | | 1,698 | |
Series A, GO, 5.00%, 01/01/2038 | | | 1,000 | | | | 1,145 | |
Series A, GO, 5.00%, 01/01/2040 | | | 2,400 | | | | 2,718 | |
Series B, GO, 5.00%, 06/01/2025 | | | 1,000 | | | | 1,036 | |
Series C, Rev., 4.00%, 05/01/2039 | | | 2,500 | | | | 2,529 | |
Series C, Rev., 4.00%, 05/01/2045 | | | 5,000 | | | | 4,920 | |
Series C, Rev., 5.00%, 10/01/2030 | | | 1,250 | | | | 1,417 | |
Series D, GO, 5.00%, 02/01/2028 | | | 820 | | | | 900 | |
Series D, GO, 5.00%, 02/01/2029 | | | 70 | | | | 78 | |
Series D, GO, 5.00%, 02/01/2034 | | | 5,000 | | | | 5,778 | |
Series E, GO, 5.00%, 06/01/2025 | | | 2,000 | | | | 2,072 | |
Series E, GO, 5.00%, 02/01/2028 | | | 110 | | | | 121 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 165 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
District of Columbia — continued | | | | | | | | |
District of Columbia Housing Finance Agency, Kenilworth 166 Apartments, Rev., HUD, 1.25%, 06/01/2025 (z) | | | 3,225 | | | | 3,098 | |
District of Columbia Water & Sewer Authority, Green Bond Subordinate, Series A, Rev., 5.00%, 10/01/2038 | | | 1,010 | | | | 1,111 | |
District of Columbia Water & Sewer Authority, Subordinate, Series C1, Rev., 5.00%, 10/01/2031 | | | 2,000 | | | | 2,337 | |
District of Columbia, Latin American Montessori, Rev., 4.00%, 06/01/2030 | | | 745 | | | | 711 | |
District of Columbia, National Public Radio, | | | | | | | | |
Rev., 4.00%, 04/01/2032 (p) | | | 1,500 | | | | 1,543 | |
Rev., 5.00%, 04/01/2028 (p) | | | 270 | | | | 285 | |
Rev., 5.00%, 04/01/2029 (p) | | | 275 | | | | 290 | |
Metropolitan Washington Airports Authority, | | | | | | | | |
Rev., AMT, 5.00%, 10/01/2026 | | | 1,335 | | | | 1,393 | |
Rev., AMT, 5.00%, 10/01/2029 | | | 2,000 | | | | 2,117 | |
Series A, Rev., AMT, 5.00%, 10/01/2027 | | | 1,000 | | | | 1,058 | |
Metropolitan Washington Airports Authority Aviation Revenue, | | | | | | | | |
Rev., AMT, 5.00%, 10/01/2027 | | | 1,000 | | | | 1,058 | |
Series A, Rev., AMT, 5.00%, 10/01/2023 | | | 85 | | | | 85 | |
Series A, Rev., AMT, 5.00%, 10/01/2025 | | | 450 | | | | 463 | |
Series A, Rev., AMT, 5.00%, 10/01/2028 | | | 1,880 | | | | 2,020 | |
Series A, Rev., AMT, 5.00%, 10/01/2030 | | | 1,000 | | | | 1,096 | |
Series A, Rev., AMT, 5.00%, 10/01/2032 | | | 5,000 | | | | 5,500 | |
Series A, Rev., NATL, AMT, 5.00%, 10/01/2034 | | | 8,000 | | | | 8,095 | |
Series A, Rev., AMT, 5.00%, 10/01/2044 | | | 3,890 | | | | 3,903 | |
Series A, Rev., AMT, 5.25%, 10/01/2039 (w) | | | 1,135 | | | | 1,245 | |
Metropolitan Washington Airports Authority Aviation Revenue, Airport System, Series A, Rev., AMT, 5.00%, 10/01/2033 | | | 3,000 | | | | 3,245 | |
Metropolitan Washington Airports Authority Dulles Toll Road Revenue, Series B, Rev., 4.00%, 10/01/2049 | | | 1,000 | | | | 931 | |
Metropolitan Washington Airports Authority Dulles Toll Road Revenue, Dulles Metrorail & Capital, Rev., AGM, 4.00%, 10/01/2052 | | | 5,000 | | | | 4,752 | |
Metropolitan Washington Airports Authority Dulles Toll Road Revenue, Subordinated Dulles Metrorail, Rev., AGM, 4.00%, 10/01/2053 | | | 1,965 | | | | 1,865 | |
Metropolitan Washington Airports Authority, Dulles Toll Road Revenue, Second Lien, Series C, Rev., AGC, 6.50%, 10/01/2041 (p) | | | 350 | | | | 389 | |
Washington Convention & Sports Authority, | | | | | | | | |
Series A, Rev., 4.00%, 10/01/2034 | | | 1,015 | | | | 1,052 | |
Series A, Rev., 5.00%, 10/01/2033 | | | 1,000 | | | | 1,124 | |
Washington Convention & Sports Authority, Senior Lien, | | | | | | | | |
Series B, Tax Allocation, 5.00%, 10/01/2029 | | | 1,000 | | | | 1,116 | |
Series B, Tax Allocation, 5.00%, 10/01/2030 | | | 1,500 | | | | 1,691 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
District of Columbia — continued | | | | | | | | |
Washington Metropolitan Area Transit Authority, | | | | | | | | |
Series A, Rev., 5.00%, 07/15/2026 | | | 1,650 | | | | 1,748 | |
Series A, Rev., 5.00%, 07/15/2037 | | | 2,000 | | | | 2,223 | |
Washington Metropolitan Area Transit Authority Dedicated Revenue, Series A, Rev., 5.00%, 07/15/2025 | | | 1,990 | | | | 2,065 | |
Washington Metropolitan Area Transit Authority, Green Bond, Series A, Rev., 5.00%, 07/15/2029 | | | 1,540 | | | | 1,732 | |
| | | | | | | | |
| | |
| | | | | | | 100,073 | |
| | | | | | | | |
Florida — 4.8% | | | | | | | | |
Alachua County Health Facilities Authority, Oak Hammock At The University of Florida, Inc. Project, Rev., 4.00%, 10/01/2031 | | | 615 | | | | 558 | |
Alachua County Health Facilities Authority, Shands Teaching Hospital & Clinics, | | | | | | | | |
Rev., 5.00%, 12/01/2032 | | | 1,000 | | | | 1,073 | |
Rev., 5.00%, 12/01/2034 | | | 2,570 | | | | 2,744 | |
Ave Maria Stewardship Community District, Phase 3 Master Improvements Project, | | | | | | | | |
Special Assessment, 2.75%, 05/01/2031 | | | 420 | | | | 365 | |
Special Assessment, 3.13%, 05/01/2041 | | | 1,775 | | | | 1,310 | |
Ave Maria Stewardship Community District, Phase 4 Master Improvement, Special Assessment, BAN, 3.50%, 05/01/2026 (e) | | | 1,000 | | | | 975 | |
Belmond Reserve Community Development District, 202 Project, Special Assessment, 4.00%, 05/01/2040 | | | 345 | | | | 299 | |
Belmont II Community Development District, 2020 Assessment Area, | | | | | | | | |
Special Assessment, 2.50%, 12/15/2025 | | | 15 | | | | 14 | |
Special Assessment, 3.13%, 12/15/2030 | | | 125 | | | | 116 | |
Boggy Branch Community Development District, Special Assessment, 2.50%, 05/01/2026 | | | 195 | | | | 185 | |
Brevard County Health Facilities Authority, Health First, Inc., Rev., 5.00%, 04/01/2025 | | | 1,600 | | | | 1,613 | |
Broward County Housing Finance Authority, Solaris Apartments, Series B, Rev., 0.70%, 01/01/2025 (z) | | | 1,470 | | | | 1,414 | |
Broward County Water & Sewer Utility Revenue, Series A, Rev., 4.00%, 10/01/2038 | | | 675 | | | | 687 | |
Capital Projects Finance Authority, Florida University Project, Series A1, Rev., 5.00%, 10/01/2032 | | | 1,350 | | | | 1,406 | |
Capital Trust Agency, Inc., Imagine School at North Manatee, Rev., 5.00%, 06/01/2041 (e) | | | 325 | | | | 293 | |
Capital Trust Agency, Inc., Liza Jackson Preparatory School, Rev., 5.00%, 08/01/2040 | | | 150 | | | | 151 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 166 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Florida — continued | | | | | | | | |
Capital Trust Agency, Inc., Lutz Preparatory School, Inc. Project, Series A, Rev., 4.00%, 06/01/2041 | | | 300 | | | | 282 | |
Capital Trust Agency, Inc., Tallahassee Classical School, Rev., 4.00%, 07/01/2036 (e) | | | 1,370 | | | | 1,097 | |
Central Florida Expressway Authority, | | | | | | | | |
Series D, Rev., 5.00%, 07/01/2029 | | | 565 | | | | 633 | |
Series D, Rev., AGM, 5.00%, 07/01/2034 | | | 3,000 | | | | 3,464 | |
Series D, Rev., AGM, 5.00%, 07/01/2035 | | | 10,000 | | | | 11,434 | |
Central Florida Expressway Authority, Senior Lien, | | | | | | | | |
Rev., AGM, 4.00%, 07/01/2038 | | | 3,625 | | | | 3,698 | |
Rev., AGM, 4.00%, 07/01/2039 | | | 1,260 | | | | 1,278 | |
Centre Lake Community Development District, Special Assessment, 3.00%, 05/01/2042 | | | 605 | | | | 454 | |
Chapel Creek Community Development District, Special Assessment, 3.00%, 05/01/2031 (e) | | | 250 | | | | 220 | |
City of Cape Coral, Water & Sewer Revenue, Rev., 5.00%, 10/01/2029 | | | 250 | | | | 272 | |
City of Jacksonville, Series A, Rev., 5.00%, 10/01/2034 | | | 1,250 | | | | 1,416 | |
City of Jacksonville, Brooks Rehabilitation Project, | | | | | | | | |
Rev., 4.00%, 11/01/2034 | | | 500 | | | | 499 | |
Rev., 4.00%, 11/01/2045 | | | 1,500 | | | | 1,348 | |
City of Pompano Beach, John Knox Village Project, Series A, Rev., 4.00%, 09/01/2036 | | | 175 | | | | 153 | |
City of Port St. Lucie Stormwater Utility Revenue, Rev., 4.00%, 05/01/2039 | | | 1,075 | | | | 1,082 | |
City of South Miami, Health Facilities Authority, Inc., Baptist Health South Florida, Rev., 5.00%, 08/15/2023 | | | 100 | | | | 100 | |
City of Tallahassee, Energy System Revenue, Rev., 5.00%, 10/01/2028 | | | 2,000 | | | | 2,203 | |
City of Tampa, Baycare, Series A, Rev., 5.00%, 11/15/2046 | | | 4,000 | | | | 4,042 | |
Collier County Health Facilities Authority, The Moorings, Inc., Rev., 4.00%, 05/01/2052 | | | 145 | | | | 124 | |
County of Broward Tourist Development Tax Revenue, Convention Center Expansion Project, Rev., 5.00%, 09/01/2031 | | | 3,000 | | | | 3,414 | |
County of Broward, Airport System Revenue, | | | | | | | | |
Rev., AMT, 5.00%, 10/01/2033 | | | 655 | | | | 691 | |
Series A, Rev., AMT, 5.00%, 10/01/2028 | | | 800 | | | | 855 | |
Series A, Rev., AMT, 5.00%, 10/01/2036 | | | 2,000 | | | | 2,127 | |
County of Broward, Port Facilities Revenue, Senior Bond, Series B, Rev., AMT, 4.00%, 09/01/2044 | | | 3,000 | | | | 2,882 | |
County of Broward, Tourist Development Tax Revenue, Convention Center Expansion Project, Rev., 4.00%, 09/01/2047 | | | 3,000 | | | | 2,862 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Florida — continued | | | | | | | | |
County of Hillsborough, Rev., 4.00%, 08/01/2034 | | | 4,370 | | | | 4,602 | |
County of Lee Airport Revenue, | | | | | | | | |
Series B, Rev., AMT, 5.00%, 10/01/2029 | | | 180 | | | | 194 | |
Series B, Rev., AMT, 5.00%, 10/01/2032 | | | 2,000 | | | | 2,202 | |
County of Lee Local Option Gas Tax Revenue, Rev., 5.25%, 08/01/2049 | | | 13,000 | | | | 14,065 | |
County of Miami-Dade Aviation Revenue, | | | | | | | | |
Rev., 5.00%, 10/01/2041 | | | 6,000 | | | | 6,159 | |
Series A, Rev., 5.00%, 10/01/2025 | | | 1,250 | | | | 1,297 | |
Series A, Rev., 5.00%, 10/01/2031 | | | 2,000 | | | | 2,262 | |
Series A, Rev., AMT, 5.00%, 10/01/2044 | | | 2,200 | | | | 2,270 | |
Series A, Rev., AMT, 5.00%, 10/01/2049 | | | 3,250 | | | | 3,340 | |
Series B, Rev., AMT, 5.00%, 10/01/2040 | | | 7,000 | | | | 7,180 | |
County of Miami-Dade Seaport Department, Senior Bonds, | | | | | | | | |
Series A, Rev., AMT, 5.00%, 10/01/2030 | | | 1,970 | | | | 2,155 | |
Series A, Rev., AMT, 5.00%, 10/01/2031 | | | 2,975 | | | | 3,284 | |
Series A, Rev., AMT, 5.00%, 10/01/2033 | | | 3,500 | | | | 3,880 | |
Series A, Rev., AMT, 5.25%, 10/01/2052 | | | 2,000 | | | | 2,100 | |
County of Miami-Dade Seaport Department, Subordinate, Series A1, Rev., AGM, AMT, 4.00%, 10/01/2040 | | | 2,675 | | | | 2,656 | |
County of Miami-Dade Transit System, Rev., 4.00%, 07/01/2048 | | | 5,000 | | | | 4,860 | |
County of Miami-Dade, Aviation Revenue, | | | | | | | | |
Rev., AMT, 5.00%, 10/01/2028 | | | 7,000 | | | | 7,070 | |
Series A, Rev., AMT, 5.00%, 10/01/2027 | | | 1,325 | | | | 1,337 | |
Series A, Rev., AMT, 5.00%, 10/01/2030 | | | 2,000 | | | | 2,047 | |
County of Miami-Dade, Building Better Communities Project, Series A, GO, 4.00%, 07/01/2044 | | | 350 | | | | 348 | |
County of Miami-Dade, Public Health Trust Program, GO, 4.00%, 07/01/2042 | | | 3,000 | | | | 3,003 | |
County of Miami-Dade, Water & Sewer System Revenue, | | | | | | | | |
Series B, Rev., 5.00%, 10/01/2031 | | | 500 | | | | 516 | |
Series B, Rev., 5.00%, 10/01/2033 | | | 1,000 | | | | 1,030 | |
County of Monroe Airport Revenue, Key West International Airport, Series 202, Rev., AMT, 5.00%, 10/01/2052 | | | 2,450 | | | | 2,450 | |
Daytona Beach Housing Authority, The WM at River Project, Rev., 1.25%, 12/01/2025 (z) | | | 115 | | | | 110 | |
DG Farms Community Development District, Special Assessment, 3.75%, 05/01/2040 | | | 400 | | | | 329 | |
Duval County Public Schools, Series A, COP, AGM, 5.00%, 07/01/2032 | | | 4,750 | | | | 5,342 | |
Eden Hills Community Development District, Special Assessment, 4.00%, 05/01/2040 | | | 300 | | | | 275 | |
Epperson North Community Development District, Assessment Area, Special Assessment, 2.50%, 05/01/2026 | | | 145 | | | | 137 | |
Florida Development Finance Corp., Series A, Rev., 4.00%, 06/01/2030 | | | 500 | | | | 463 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 167 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Florida — continued | | | | | | | | |
Florida Development Finance Corp., Brightline Florida Passenger Rail, Series B, Rev., AMT, 7.38%, 01/01/2049 (e) | | | 9,500 | | | | 9,405 | |
Florida Development Finance Corp., Brightline Passenger Rail, Rev., AMT, 7.50%, 07/01/2057 (e) | | | 6,500 | | | | 6,397 | |
Florida Development Finance Corp., Brighton, Florida Passenger Rail, Rev., AMT, 7.25%, 07/01/2057 (e) | | | 8,000 | | | | 8,137 | |
Florida Development Finance Corp., Discovery High School Project, Series A, Rev., 4.00%, 06/01/2030 (e) | | | 1,400 | | | | 1,284 | |
Florida Development Finance Corp., Lakeland Regional Health System, Rev., 4.00%, 11/15/2037 | | | 2,400 | | | | 2,353 | |
Florida Development Finance Corp., Mater Academy Project, Series A, Rev., 5.00%, 06/15/2040 | | | 400 | | | | 400 | |
Florida Development Finance Corp., Mayflower Retirement, Rev., 1.75%, 06/01/2026 (e) | | | 210 | | | | 204 | |
Florida Development Finance Corp., UF Health Jacksonville Project, Rev., 5.00%, 02/01/2035 | | | 1,200 | | | | 1,219 | |
Florida Development Finance Corp., Virgin Trains USA Passenger, | | | | | | | | |
Series A, Rev., AMT, 6.38%, 01/01/2049 (e) (z) | | | 3,225 | | | | 3,110 | |
Series A, Rev., AMT, 6.50%, 01/01/2049 (e) (z) | | | 2,475 | | | | 2,374 | |
Florida Housing Finance Corp., Series 2, Rev., GNMA/FNMA/FHLMC, 3.00%, 07/01/2052 | | | 590 | | | | 567 | |
Florida Housing Finance Corp., Social Bond, Social Bond, Series 1, Rev., GNMA/FNMA/FHLMC, 3.00%, 01/01/2052 | | | 1,390 | | | | 1,341 | |
Florida Housing Finance Corp., Social Bonds, | | | | | | | | |
Series 1, Rev., GNMA/FNMA/FHLMC, 3.50%, 07/01/2052 | | | 1,000 | | | | 977 | |
Series 2, Rev., GNMA/FNMA/FHLMC, 3.00%, 07/01/2051 | | | 6,435 | | | | 6,221 | |
Florida State Board of Governors Florida International University Dormitory Rev, Series A, Rev., BAM, 5.00%, 07/01/2029 | | | 1,900 | | | | 2,122 | |
Fort Pierce Utilities Authority, Series A, Rev., AGM, 5.00%, 10/01/2039 | | | 925 | | | | 1,017 | |
Greater Orlando Aviation Authority, Series A, Rev., AMT, 5.00%, 10/01/2032 | | | 1,500 | | | | 1,625 | |
Greater Orlando Aviation Authority, Priority Subordinated, | | | | | | | | |
Series A, Rev., AMT, 5.00%, 10/01/2033 | | | 1,500 | | | | 1,583 | |
Series A, Rev., AMT, 5.00%, 10/01/2036 | | | 2,230 | | | | 2,324 | |
Hammock Reserve Community Development District, Assessment Area One Project, Special Assessment, 4.00%, 05/01/2040 | | | 545 | | | | 500 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Florida — continued | | | | | | | | |
Hillsborough County Aviation Authority, Tampa, Rev., AMT, 5.00%, 10/01/2040 (p) | | | 750 | | | | 763 | |
Hillsborough County Industrial Development Authority, Tampa General Hospital Project, | | | | | | | | |
Rev., 4.00%, 08/01/2050 | | | 5,000 | | | | 4,514 | |
Series A, Rev., 4.00%, 08/01/2045 | | | 3,275 | | | | 3,025 | |
JEA Electric System Revenue, | | | | | | | | |
Series 3A, Rev., 5.00%, 10/01/2035 | | | 5,000 | | | | 5,560 | |
Series IIIB, Rev., 5.00%, 10/01/2032 | | | 1,295 | | | | 1,401 | |
JEA Electric System Revenue, Subordinate, Series A, Rev., 5.00%, 10/01/2031 | | | 1,795 | | | | 2,066 | |
JEA Water & Sewer System Revenue, Series A, Rev., 4.00%, 10/01/2037 | | | 750 | | | | 764 | |
JEA Water & Sewer System Revenue, Subordinated, Series A, Rev., 5.00%, 10/01/2031 | | | 885 | | | | 964 | |
Julington Creek Plantation Community Development District, Special Assessment, Special Assessment, AGM, 5.50%, 05/01/2043 | | | 1,500 | | | | 1,661 | |
Lakewood Ranch Stewardship District, Lorraine Lakes Project, Special Assessment, 3.13%, 05/01/2030 (e) | | | 315 | | | | 284 | |
Lakewood Ranch Stewardship District, Northeast Sector Project, | | | | | | | | |
Special Assessment, 2.50%, 05/01/2025 (e) | | | 605 | | | | 584 | |
Special Assessment, 3.20%, 05/01/2030 (e) | | | 545 | | | | 494 | |
Special Assessment, 3.50%, 05/01/2040 | | | 925 | | | | 736 | |
Lakewood Ranch Stewardship District, Zario Project, Special Assessment, 2.63%, 05/01/2025 | | | 285 | | | | 275 | |
Lee County Industrial Development Authority, Shell Point/Waterside Health, | | | | | | | | |
Rev., 5.00%, 11/15/2044 | | | 3,000 | | | | 2,889 | |
Rev., 5.00%, 11/15/2049 | | | 2,550 | | | | 2,404 | |
Lee Memorial Health System, Float Mode, Lee Memorial, Rev., VRDO, 4.47%, 07/07/2023 (z) | | | 3,000 | | | | 3,000 | |
Miami Beach Health Facilities Authority, Mount Sinai Medical Center, | | | | | | | | |
Rev., 5.00%, 11/15/2039 | | | 2,000 | | | | 2,012 | |
Rev., 5.00%, 11/15/2044 | | | 5,000 | | | | 5,022 | |
Miami Beach Redevelopment Agency, Tax Increment Revenue, Tax Allocation, 5.00%, 02/01/2028 | | | 1,000 | | | | 1,008 | |
Miami-Dade County Housing Finance Authority, Platform 3750 LLC, Rev., 0.25%, 08/01/2024 (z) | | | 1,525 | | | | 1,520 | |
Midtown Miami Community Development District, Series A, Special Assessment, 5.00%, 05/01/2037 | | | 350 | | | | 344 | |
North Powerline Road Community Development District, Special Assessment, 3.63%, 05/01/2040 | | | 1,345 | | | | 1,092 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 168 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Florida — continued | | | | | | | | |
Old Hickory Community Development District, Special Assessment, 2.50%, 06/15/2025 | | | 110 | | | | 106 | |
Orange County Health Facilities Authority, Orlando Health Obligated Group, | | | | | | | | |
Rev., 4.00%, 10/01/2052 | | | 5,000 | | | | 4,568 | |
Rev., 5.00%, 10/01/2027 | | | 365 | | | | 392 | |
Orange County Health Facilities Authority, Presbyterian Retirement Communities, | | | | | | | | |
Rev., 4.00%, 08/01/2036 | | | 295 | | | | 271 | |
Rev., 5.00%, 08/01/2047 | | | 790 | | | | 814 | |
Orange County Housing Finance Authority, Stratford Point Apartments, Rev., 0.55%, 01/01/2025 (z) | | | 885 | | | | 850 | |
Orlando Utilities Commission, Series 2018A, Rev., 5.00%, 10/01/2035 | | | 2,480 | | | | 2,684 | |
Palm Beach County Health Facilities Authority, BRRH Corporation Obligated Group, Rev., 5.00%, 12/01/2024 (p) | | | 1,910 | | | | 1,957 | |
Palm Beach County Health Facilities Authority, Retirement Life Communities, Rev., 5.00%, 11/15/2032 | | | 2,270 | | | | 2,299 | |
Palm Beach County Housing Finance Authority, Christian Manor, Rev., 1.25%, 02/15/2025 (z) | | | 1,985 | | | | 1,943 | |
Parkview at Long Lake Ranch Community Development District, Special Assessment, 4.00%, 05/01/2051 | | | 800 | | | | 627 | |
Pasco County School Board, Series A, COP, BAM, 5.00%, 08/01/2036 | | | 1,720 | | | | 1,857 | |
Pine Island Community Development District, Special Assessment, 5.75%, 05/01/2035 | | | 1,900 | | | | 1,906 | |
Pinellas County Housing Finance Authority, Jordan Park Apartments, Rev., HUD, 0.65%, 01/01/2025 (z) | | | 1,135 | | | | 1,091 | |
Reunion East Community Development District, | | | | | | | | |
Special Assessment, 2.40%, 05/01/2026 | | | 75 | | | | 71 | |
Special Assessment, 2.85%, 05/01/2031 | | | 25 | | | | 22 | |
Saddle Creek Preserve of Polk County Community Development District, Special Assessment, 4.00%, 06/15/2040 | | | 500 | | | | 433 | |
Sarasota County Health Facilities Authority, Sunnyside Village Project, Rev., 5.00%, 05/15/2048 | | | 425 | | | | 380 | |
Sarasota County Public Hospital District, Sarasota Memorial Hospital Project, Rev., 4.00%, 07/01/2052 | | | 6,000 | | | | 5,585 | |
Sarasota County School Board, Series A, COP, 5.00%, 07/01/2033 | | | 1,000 | | | | 1,197 | |
Sarasota National Community Development District, Special Assessment, 4.00%, 05/01/2039 | | | 615 | | | | 536 | |
Sawyers Landing Community Development District, Special Assessment, 3.75%, 05/01/2031 | | | 400 | | | | 363 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Florida — continued | | | | | | | | |
School District of Broward County, Series A, COP, 5.00%, 07/01/2027 | | | 1,500 | | | | 1,617 | |
Somerset Community Development District, Special Assessment, 4.00%, 05/01/2032 | | | 800 | | | | 757 | |
South Kendall Community Development District, Special Assessment, 4.25%, 11/01/2037 | | | 1,575 | | | | 1,489 | |
St. John’s County School Board, Series A, COP, AGM, 5.25%, 07/01/2047 | | | 3,000 | | | | 3,325 | |
State Board of Administration Finance Corp., Taxable, Series A, Rev., 1.71%, 07/01/2027 | | | 4,000 | | | | 3,541 | |
State of Florida Department of Transportation, Rev., 5.00%, 07/01/2024 | | | 430 | | | | 438 | |
State of Florida Department of Transportation Turnpike System Revenue, Series B, Rev., 5.00%, 07/01/2033 | | | 1,000 | | | | 1,170 | |
State of Florida Department of Transportation Turnpike System Revenue, Turnpike Revenue, Series B, Rev., 3.00%, 07/01/2033 | | | 2,390 | | | | 2,284 | |
State of Florida Department of Transportation Turnpike System, Revenue Refunding, Series A, Rev., 5.00%, 07/01/2026 | | | 1,000 | | | | 1,060 | |
State of Florida, Capital Outlay, Series C, GO, 5.00%, 06/01/2027 | | | 1,060 | | | | 1,118 | |
State of Florida, Department of Transportation, Turnpike System Revenue, | | | | | | | | |
Series 8, Rev., 5.00%, 07/01/2023 | | | 125 | | | | 125 | |
Series A, Rev., 5.00%, 07/01/2029 | | | 500 | | | | 566 | |
Stillwater Community Development District, Project 2021, Special Assessment, 3.00%, 06/15/2031 (e) | | | 225 | | | | 198 | |
Stoneybrook South Community Development District, Fox South Assessment Area, | | | | | | | | |
Special Assessment, 2.50%, 12/15/2025 (e) | | | 415 | | | | 397 | |
Special Assessment, 3.00%, 12/15/2030 (e) | | | 475 | | | | 434 | |
Special Assessment, 3.50%, 12/15/2040 (e) | | | 1,030 | | | | 868 | |
Storey Park Community Development District, Assessment Area Four Project, | | | | | | | | |
Special Assessment, 2.38%, 06/15/2026 (e) | | | 30 | | | | 28 | |
Special Assessment, 2.88%, 06/15/2031 (e) | | | 60 | | | | 54 | |
Touchstone Community Development District, Senior Lien, Series A1, Special Assessment, 5.38%, 05/01/2042 | | | 1,000 | | | | 1,045 | |
Towne Park Community Development District, Assessment Area 3D Project, Special Assessment, 2.63%, 05/01/2025 (e) | | | 255 | | | | 247 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 169 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Florida — continued | | | | | | | | |
Tradition Community Development District No. 9, Special Assessment, 3.00%, 05/01/2041 | | | 130 | | | | 95 | |
Village Community Development District No. 13, | | | | | | | | |
Special Assessment, 1.88%, 05/01/2025 (e) | | | 490 | | | | 471 | |
Special Assessment, 2.63%, 05/01/2030 (e) | | | 1,460 | | | | 1,311 | |
Villamar Community Development District, Special Assessment, 3.75%, 05/01/2040 | | | 655 | | | | 540 | |
West Villages Improvement District, Special Assessment, Unit of Development #8, Special Assessment, 5.38%, 05/01/2042 | | | 1,875 | | | | 1,890 | |
Wildwood Utility Dependent District, Senior South Sumter Utilities Project, | | | | | | | | |
Rev., BAM, 5.00%, 10/01/2031 | | | 1,300 | | | | 1,499 | |
Rev., BAM, 5.00%, 10/01/2033 | | | 1,150 | | | | 1,319 | |
Rev., BAM, 5.00%, 10/01/2039 | | | 1,490 | | | | 1,629 | |
Rev., BAM, 5.00%, 10/01/2040 | | | 1,610 | | | | 1,753 | |
Wildwood Utility Dependent District, Subordinate South Sumter Utilities Project, Rev., BAM, 5.00%, 10/01/2041 | | | 650 | | | | 705 | |
| | | | | | | | |
| | |
| | | | | | | 304,263 | |
| | | | | | | | |
Georgia — 3.9% | | | | | | | | |
Atlanta Urban Residential Finance Authority, Sylvan Senior Apartments, Rev., FHA, 0.41%, 12/01/2025 (z) | | | 575 | | | | 565 | |
Bartow County Development Authority, Georgia Power Co. Pollution Bowen Project, Rev., 1.80%, 09/01/2029 (z) | | | 4,425 | | | | 3,714 | |
Board of Water Light & Sinking Fund Commissioners of The City of Dalton, Combined Utilities Revenue Bonds, | | | | | | | | |
Rev., 4.00%, 03/01/2035 | | | 1,100 | | | | 1,096 | |
Rev., 4.00%, 03/01/2036 | | | 1,000 | | | | 997 | |
Rev., 4.00%, 03/01/2037 | | | 1,135 | | | | 1,129 | |
Rev., 4.00%, 03/01/2038 | | | 1,000 | | | | 989 | |
Brookhaven Development Authority, Children’s Healthcare of Atlanta, | | | | | | | | |
Rev., 5.00%, 07/01/2036 | | | 2,425 | | | | 2,645 | |
Rev., 5.00%, 07/01/2037 | | | 2,400 | | | | 2,601 | |
Brookhaven Development Authority, Children’s Healthcare of Atlanta Obligated Group, Series A, Rev., 4.00%, 07/01/2044 | | | 3,000 | | | | 2,955 | |
Brookhaven Urban Redevelopment Agency, Series A, Rev., 4.00%, 07/01/2045 | | | 3,260 | | | | 3,259 | |
Carroll County, School District, GO, 5.00%, 04/01/2024 | | | 1,000 | | | | 1,014 | |
City of Atlanta Department of Aviation, | | | | | | | | |
Series C, Rev., AMT, 5.00%, 07/01/2026 | | | 960 | | | | 998 | |
Series C, Rev., AMT, 5.00%, 07/01/2034 | | | 540 | | | | 594 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Georgia — continued | | | | | | | | |
City of Atlanta Water & Wastewater Revenue, Series B, Rev., 4.00%, 11/01/2037 | | | 1,000 | | | | 1,012 | |
City of Atlanta, Airport Passenger Facility, Subordinated Lien, Series C, Rev., 5.00%, 07/01/2040 | | | 2,000 | | | | 2,145 | |
City of Atlanta, Department of Aviation, Series B, Rev., AMT, 5.00%, 07/01/2028 | | | 3,300 | | | | 3,532 | |
City of Atlanta, Department of Aviation, Airport Revenue, Series B, Rev., AMT, 5.00%, 07/01/2031 | | | 1,155 | | | | 1,249 | |
Cobb County Kennestone Hospital Authority, Revenue Anticipation Certificates, Rev., 5.00%, 04/01/2036 | | | 500 | | | | 522 | |
DeKalb County Housing Authority, Columbia Village Project, Series A, Rev., HUD, 0.34%, 08/01/2024 (z) | | | 285 | | | | 284 | |
Development Authority for Fulton County, Jonesboro Road Senior Village, Rev., 3.00%, 10/01/2025 (z) | | | 2,020 | | | | 2,001 | |
Development Authority of Burke County (The), Oglethorpe Power Corp. Scherer Project, Series A, Rev., 1.50%, 01/01/2040 (z) | | | 250 | | | | 236 | |
Development Authority of Monroe County (The), Oglethorpe Power Corporation Scherer Project, Series A, Rev., 1.50%, 01/01/2039 (z) | | | 125 | | | | 118 | |
Development Authority of Monroe County, Georgia Power Company Plant Scherer, Rev., 3.88%, 06/01/2042 (z) | | | 1,250 | | | | 1,250 | |
Development Authority of Monroe County (The), Georgia Power Co. Plant Scherer, Rev., 1.00%, 07/01/2049 (z) | | | 1,785 | | | | 1,585 | |
Development Authority of Rockdale County, Arbours at Conyers Project, Rev., 3.63%, 02/01/2026 (z) | | | 1,085 | | | | 1,076 | |
George L Smith II Congress Center Authority, Convention Center Hotel, Series 2, Rev., 5.00%, 01/01/2054 (e) | | | 1,000 | | | | 840 | |
George L Smith II Congress Center Authority, Convention Center Hotel First, Series 1, Rev., 4.00%, 01/01/2036 | | | 2,750 | | | | 2,621 | |
Georgia Housing & Finance Authority, Series A, Rev., 2.75%, 12/01/2035 | | | 500 | | | | 435 | |
Georgia Ports Authority, Rev., 5.25%, 07/01/2043 | | | 2,705 | | | | 3,058 | |
Georgia State Road & Tollway Authority, | | | | | | | | |
Rev., 5.00%, 06/01/2027 | | | 5,250 | | | | 5,678 | |
Rev., 5.00%, 06/01/2028 | | | 5,500 | | | | 6,070 | |
Rev., 5.00%, 06/01/2030 | | | 6,205 | | | | 7,120 | |
Main Street Natural Gas, Inc., | | | | | | | | |
Series A, Rev., LIQ: Royal Bank of Canada, 4.00%, 04/01/2048 (z) | | | 1,650 | | | | 1,652 | |
Series A, Rev., 4.00%, 07/01/2052 (z) | | | 14,500 | | | | 14,452 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 170 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Georgia — continued | | | | | | | | |
Series A, Rev., 5.00%, 05/15/2033 | | | 4,950 | | | | 5,085 | |
Series A, Rev., 5.00%, 06/01/2053 (z) | | | 12,000 | | | | 12,424 | |
Series B, Rev., 4.00%, 08/01/2049 (z) | | | 1,575 | | | | 1,579 | |
Series B, Rev., (ICE LIBOR USD 1 Month * 0.67 + 0.75%), 4.21%, 04/01/2048 (aa) | | | 11,500 | | | | 11,497 | |
Series B, Rev., 5.00%, 06/01/2028 | | | 2,500 | | | | 2,579 | |
Series B, Rev., 5.00%, 06/01/2029 | | | 1,500 | | | | 1,553 | |
Series B, Rev., 5.00%, 12/01/2052 (z) | | | 8,000 | | | | 8,253 | |
Series B, Rev., 5.00%, 07/01/2053 (z) | | | 9,845 | | | | 10,286 | |
Series C, Rev., LIQ: Royal Bank of Canada, 4.00%, 08/01/2048 (z) | | | 105 | | | | 105 | |
Series C, Rev., 4.00%, 03/01/2050 (z) | | | 6,350 | | | | 6,312 | |
Series C, Rev., 4.00%, 05/01/2052 (z) | | | 12,310 | | | | 12,124 | |
Series C, Rev., 5.00%, 09/01/2053 (z) | | | 11,285 | | | | 11,848 | |
Main Street Natural Gas, Inc., Gas Supply, Series C, Rev., 4.00%, 08/01/2052 (e) (z) | | | 11,000 | | | | 10,632 | |
Main Street Natural Gas, Inc., Main Street Gas, Series D, Rev., LIQ: Royal Bank of Canada, (ICE LIBOR USD 1 Month * 0.67 + 0.83%), 4.29%, 08/01/2048 (aa) | | | 1,000 | | | | 999 | |
Metropolitan Atlanta Rapid Transit Authority, Series B, Rev., 5.00%, 07/01/2045 | | | 10,000 | | | | 10,358 | |
Milledgeville & Baldwin County Development Authority, Georgia College & State University Projects, | | | | | | | | |
Rev., 4.00%, 06/15/2037 | | | 500 | | | | 497 | |
Rev., 5.00%, 06/15/2024 | | | 470 | | | | 478 | |
Rev., 5.00%, 06/15/2025 | | | 360 | | | | 371 | |
Municipal Electric Authority of Georgia, Combined Cycle Project, | | | | | | | | |
Series A, Rev., 4.00%, 11/01/2023 | | | 2,750 | | | | 2,753 | |
Series A, Rev., 5.00%, 11/01/2027 | | | 250 | | | | 266 | |
Series A, Rev., 5.00%, 11/01/2029 | | | 250 | | | | 274 | |
Municipal Electric Authority of Georgia, General Resolution Project, Series A, Rev., 4.00%, 01/01/2037 | | | 1,125 | | | | 1,108 | |
Municipal Electric Authority of Georgia, Plant Vogtle Unis 3&4 Project, Rev., 5.00%, 01/01/2059 | | | 3,000 | | | | 3,022 | |
Municipal Electric Authority of Georgia, Plant Vogtle Units 3 and 4 Project, | | | | | | | | |
Series A, Rev., AGM, 5.00%, 07/01/2033 | | | 1,610 | | | | 1,826 | |
Series A, Rev., AGM, 5.00%, 07/01/2035 | | | 1,300 | | | | 1,455 | |
Series A, Rev., AGM, 5.00%, 07/01/2036 | | | 2,795 | | | | 3,098 | |
Municipal Electric Authority of Georgia, Plant Vogtle Units 3&4 Project, | | | | | | | | |
Rev., AGM, 4.00%, 01/01/2036 | | | 330 | | | | 333 | |
Rev., AGM, 4.00%, 01/01/2041 | | | 1,000 | | | | 982 | |
Rev., AGM, 5.00%, 01/01/2025 | | | 200 | | | | 204 | |
Rev., AGM, 5.00%, 01/01/2027 | | | 125 | | | | 133 | |
Rev., AGM, 5.00%, 07/01/2027 | | | 500 | | | | 536 | |
Rev., BAM, 5.00%, 01/01/2049 | | | 2,000 | | | | 2,060 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Georgia — continued | | | | | | | | |
Rev., AGM, 5.00%, 07/01/2053 | | | 3,675 | | | | 3,859 | |
Rev., AGM, 5.00%, 07/01/2055 | | | 4,615 | | | | 4,846 | |
Municipal Electric Authority of Georgia, Project One Subordinated, | | | | | | | | |
Rev., 5.00%, 01/01/2029 | | | 1,110 | | | | 1,201 | |
Series A, Rev., 5.00%, 01/01/2035 | | | 2,245 | | | | 2,281 | |
Municipal Electric Authority of Georgia, Project One, Subordinated, Series B, Rev., 4.00%, 01/01/2039 | | | 1,400 | | | | 1,363 | |
Municipal Electric Authority of Georgia, Subordinate General Resolution, Rev., 5.00%, 01/01/2033 | | | 1,010 | | | | 1,136 | |
Municipal Electric Authority of Georgia, Subordinate Project One, | | | | | | | | |
Series A, Rev., 5.00%, 01/01/2030 | | | 705 | | | | 775 | |
Series A, Rev., 5.00%, 01/01/2031 | | | 1,715 | | | | 1,909 | |
Northwest Georgia Housing Authority, Dallas Manor Apartments Projects, Rev., HUD, 0.25%, 10/01/2024 (z) | | | 260 | | | | 257 | |
Paulding County Hospital Authority, Anticipation Certificates Wellstar Health, | | | | | | | | |
Rev., 5.00%, 04/01/2036 | | | 325 | | | | 352 | |
Rev., 5.00%, 04/01/2038 | | | 500 | | | | 532 | |
Private Colleges & Universities Authority, Emory University, Series B, Rev., 4.00%, 09/01/2039 | | | 1,420 | | | | 1,446 | |
Private Colleges & Universities Authority, Savannah College of Art and Design, | | | | | | | | |
Rev., 4.00%, 04/01/2038 | | | 1,400 | | | | 1,431 | |
Rev., 5.00%, 04/01/2027 | | | 400 | | | | 425 | |
Savannah Economic Development Authority, International Paper Company Project, Rev., 1.90%, 08/01/2024 | | | 150 | | | | 145 | |
State of Georgia, | | | | | | | | |
Series A1, GO, 5.00%, 02/01/2024 | | | 100 | | | | 101 | |
Series A, GO, 5.00%, 08/01/2023 | | | 85 | | | | 85 | |
Series C, GO, 4.00%, 07/01/2027 | | | 1,000 | | | | 1,050 | |
Series E, GO, 5.00%, 12/01/2027 | | | 1,570 | | | | 1,683 | |
Series F, GO, 5.00%, 01/01/2025 | | | 2,000 | | | | 2,058 | |
State of Georgia, Bidding Group 1, Series A, GO, 5.00%, 07/01/2033 | | | 2,000 | | | | 2,347 | |
State of Georgia, Bidding Group 2, Series A, GO, 4.00%, 07/01/2035 | | | 750 | | | | 801 | |
State of Georgia, Group 2, Series A, GO, 4.00%, 08/01/2034 | | | 1,000 | | | | 1,071 | |
State of Georgia, Tranche #1, Series A, GO, 5.00%, 07/01/2023 | | | 1,420 | | | | 1,420 | |
State of Georgia, Tranche 2, Series A, GO, 5.00%, 07/01/2030 | | | 2,000 | | | | 2,267 | |
Valdosta Housing Authority, Tishco Rural Rental Housing, Rev., 1.25%, 02/01/2025 (z) | | | 375 | | | | 369 | |
Villa Rica Downtown Development Authority, Arbours At Villa Rica Project, Rev., 1.25%, 08/01/2025 (z) | | | 4,415 | | | | 4,281 | |
Walker County Development Authority, Gateway At Rossville Project, Rev., 0.46%, 12/01/2024 (z) | | | 1,000 | | | | 983 | |
| | | | | | | | |
| | |
| | | | | | | 244,996 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 171 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Guam — 0.0% (g) | | | | | | | | |
Antonio B. Won Pat International Airport Authority, Rev., AMT, 5.25%, 10/01/2030 (w) | | | 750 | | | | 770 | |
Territory of Guam, Series F, Rev., 4.00%, 01/01/2042 | | | 1,000 | | | | 884 | |
| | | | | | | | |
| | |
| | | | | | | 1,654 | |
| | | | | | | | |
Hawaii — 0.4% | | | | | | | | |
City & County Honolulu Wastewater System Revenue, Senior First Bond Resolution, Series A, Rev., 5.00%, 07/01/2035 | | | 2,110 | | | | 2,291 | |
City & County of Honolulu, | | | | | | | | |
Series A, GO, 5.00%, 10/01/2025 | | | 15 | | | | 16 | |
Series A, GO, 5.00%, 09/01/2027 | | | 30 | | | | 32 | |
Series C, GO, 5.00%, 10/01/2029 | | | 1,000 | | | | 1,131 | |
State of Hawaii, Series FG, GO, 4.00%, 10/01/2032 | | | 2,000 | | | | 2,043 | |
State of Hawaii Airports System Revenue, | | | | | | | | |
Series A, Rev., AMT, 5.00%, 07/01/2032 | | | 1,500 | | | | 1,602 | |
Series A, Rev., AMT, 5.00%, 07/01/2033 | | | 1,630 | | | | 1,740 | |
Series A, Rev., AMT, 5.00%, 07/01/2034 | | | 2,000 | | | | 2,176 | |
Series B, Rev., 5.00%, 07/01/2026 | | | 1,250 | | | | 1,322 | |
State of Hawaii Department of Budget & Finance, Rev., 3.20%, 07/01/2039 | | | 3,000 | | | | 2,523 | |
State of Hawaii Harbor System Revenue, | | | | | | | | |
Series A, Rev., AMT, 4.00%, 07/01/2031 | | | 250 | | | | 256 | |
Series A, Rev., AMT, 4.00%, 07/01/2032 | | | 500 | | | | 509 | |
Series A, Rev., AMT, 4.00%, 07/01/2033 | | | 750 | | | | 759 | |
Series A, Rev., AMT, 4.00%, 07/01/2034 | | | 3,555 | | | | 3,600 | |
Series A, Rev., AMT, 5.00%, 07/01/2027 | | | 250 | | | | 263 | |
Series A, Rev., AMT, 5.00%, 07/01/2028 | | | 500 | | | | 535 | |
Series A, Rev., AMT, 5.00%, 07/01/2029 | | | 250 | | | | 271 | |
Series C, Rev., 4.00%, 07/01/2032 | | | 200 | | | | 209 | |
State of Hawaii State Highway Fund, Rev., 5.00%, 01/01/2029 | | | 1,000 | | | | 1,115 | |
State of Hawaii, Airports System Revenue, Series D, Rev., 5.00%, 07/01/2030 | | | 1,000 | | | | 1,138 | |
| | | | | | | | |
| | |
| | | | | | | 23,531 | |
| | | | | | | | |
Idaho — 0.1% | | | | | | | | |
Idaho Health Facilities Authority, Trinity Health Credit Group, Series A, Rev., 5.00%, 12/01/2047 | | | 1,715 | | | | 1,761 | |
Idaho Housing & Finance Association, | | | | | | | | |
Series A, Rev., 5.00%, 08/15/2029 | | | 1,000 | | | | 1,128 | |
Series A, Rev., 5.00%, 08/15/2034 | | | 1,130 | | | | 1,344 | |
Idaho Housing & Finance Association, Garvee, Series A, Rev., 5.00%, 07/15/2030 | | | 1,250 | | | | 1,412 | |
Idaho Housing & Finance Association, Transportation Expansion & Mitigation, Rev., 5.00%, 08/15/2037 | | | 165 | | | | 187 | |
| | | | | | | | |
| | | | | | | 5,832 | |
| | | | | | | | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Illinois — 7.8% | | | | | | | | |
Champaign County Community Unit School District No. 4 Champaign, GO, 5.00%, 01/01/2029 | | | 1,765 | | | | 1,842 | |
Chicago Board of Education, | | | | | | | | |
Series A, GO, AGM, 5.00%, 12/01/2026 | | | 10 | | | | 10 | |
Series A, GO, 5.00%, 12/01/2041 | | | 1,000 | | | | 1,008 | |
Series A, GO, 5.00%, 12/01/2042 | | | 10,000 | | | | 9,865 | |
Series D, GO, 5.00%, 12/01/2046 | | | 7,500 | | | | 7,338 | |
Chicago Board of Education Dedicated Capital Improvement Tax, | | | | | | | | |
Rev., 5.25%, 04/01/2039 | | | 3,125 | | | | 3,356 | |
Rev., 5.75%, 04/01/2048 | | | 4,000 | | | | 4,367 | |
Chicago Board of Education, Capital Appreciation School Reform, | | | | | | | | |
Series A, GO, NATL, Zero Coupon, 12/01/2024 | | | 500 | | | | 472 | |
Series A, GO, NATL, Zero Coupon, 12/01/2025 | | | 255 | | | | 231 | |
Series A, GO, NATL, Zero Coupon, 12/01/2029 | | | 1,220 | | | | 937 | |
Series B1, GO, NATL, Zero Coupon, 12/01/2028 | | | 500 | | | | 401 | |
Series B1, GO, NATL, Zero Coupon, 12/01/2029 | | | 1,105 | | | | 849 | |
Chicago Board of Education, Dedicated, | | | | | | | | |
Series C, GO, 5.00%, 12/01/2034 | | | 2,000 | | | | 2,047 | |
Series G, GO, 5.00%, 12/01/2034 | | | 1,000 | | | | 1,024 | |
Series H, GO, 5.00%, 12/01/2036 | | | 2,000 | | | | 2,027 | |
Series H, GO, 5.00%, 12/01/2046 | | | 1,000 | | | | 980 | |
Chicago Midway International Airport, Series B, Rev., 5.00%, 01/01/2046 | | | 10,000 | | | | 10,166 | |
Chicago Midway International Airport, Second Lien, Series A, Rev., AMT, 5.00%, 01/01/2041 | | | 3,000 | | | | 3,000 | |
Chicago O’Hare International Airport, | | | | | | | | |
Rev., AMT, 5.00%, 01/01/2030 | | | 3,400 | | | | 3,453 | |
Rev., AMT, 5.00%, 01/01/2032 | | | 2,000 | | | | 2,032 | |
Chicago O’Hare International Airport, Passenger Facility Charge, Rev., AMT, 5.00%, 01/01/2032 | | | 3,500 | | | | 3,502 | |
Chicago O’Hare International Airport, Senior Lien, | | | | | | | | |
Series A, Rev., 4.00%, 01/01/2035 | | | 3,500 | | | | 3,620 | |
Series A, Rev., 5.00%, 01/01/2035 | | | 6,000 | | | | 6,652 | |
Chicago Transit Authority Capital Grant Receipts Revenue, Section 5357, Rev., 5.00%, 06/01/2028 | | | 1,000 | | | | 1,075 | |
Chicago Transit Authority Sales Tax Receipts Fund, | | | | | | | | |
Rev., 5.00%, 12/01/2044 | | | 5,000 | | | | 5,050 | |
Series A, Rev., BAM, 5.00%, 12/01/2046 | | | 4,500 | | | | 4,832 | |
Chicago Transit Authority Sales Tax Receipts Fund, Second Lien, | | | | | | | | |
Rev., 5.00%, 12/01/2051 | | | 4,750 | | | | 4,851 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 172 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Illinois — continued | | | | | | | | |
Series A, Rev., 4.00%, 12/01/2049 | | | 4,000 | | | | 3,783 | |
Series A, Rev., 5.00%, 12/01/2055 | | | 2,000 | | | | 2,057 | |
Chicago Transit Authority, Sales Tax Receipts Fund, | | | | | | | | |
Rev., AGM, 5.00%, 12/01/2044 | | | 1,000 | | | | 1,013 | |
Rev., 5.25%, 12/01/2049 | | | 10,000 | | | | 10,143 | |
Series A, Rev., 5.00%, 12/01/2045 | | | 6,500 | | | | 6,796 | |
City of Aurora Waterworks & Sewerage Revenue, Series B, Rev., 4.00%, 12/01/2034 | | | 1,565 | | | | 1,568 | |
City of Berwyn, Series A, GO, 5.00%, 12/01/2029 | | | 1,000 | | | | 1,017 | |
City of Chicago, | | | | | | | | |
Series A, GO, 5.00%, 01/01/2027 | | | 5,500 | | | | 5,757 | |
Series A, GO, 5.00%, 01/01/2033 | | | 1,000 | | | | 1,082 | |
Series A, GO, 5.00%, 01/01/2034 | | | 4,500 | | | | 4,864 | |
Series A, GO, 5.50%, 01/01/2049 | | | 6,325 | | | | 6,667 | |
Series A, GO, 6.00%, 01/01/2038 | | | 8,775 | | | | 9,335 | |
Series B, GO, 4.00%, 01/01/2038 (e) | | | 521 | | | | 491 | |
Series C, GO, Zero Coupon, 01/01/2027 (p) | | | 500 | | | | 448 | |
Series C, GO, 5.00%, 01/01/2025 | | | 45 | | | | 46 | |
Series C, GO, 5.00%, 01/01/2028 | | | 1,450 | | | | 1,484 | |
City of Chicago Special Assessment Revenue, Lakeshore East Project, | | | | | | | | |
Special Assessment, 2.69%, 12/01/2026 (e) | | | 305 | | | | 290 | |
Special Assessment, 3.04%, 12/01/2028 (e) | | | 270 | | | | 252 | |
City of Chicago Waterworks Revenue, Second Lien Project, | | | | | | | | |
Rev., 4.00%, 11/01/2037 | | | 215 | | | | 215 | |
Rev., 5.00%, 11/01/2023 | | | 100 | | | | 100 | |
Rev., 5.00%, 11/01/2044 | | | 2,410 | | | | 2,430 | |
City of Chicago, Chicago Works, | | | | | | | | |
Series A, GO, 5.25%, 01/01/2038 | | | 2,680 | | | | 2,901 | |
Series A, GO, 5.50%, 01/01/2039 | | | 1,180 | | | | 1,296 | |
Series A, GO, 5.50%, 01/01/2040 | | | 1,000 | | | | 1,093 | |
Series A, GO, 5.50%, 01/01/2041 | | | 1,000 | | | | 1,073 | |
Series A, GO, 5.50%, 01/01/2043 | | | 1,500 | | | | 1,603 | |
City of Chicago, Wastewater Transmission Revenue, Second Lien, | | | | | | | | |
Series A, Rev., AGM, 5.25%, 01/01/2048 | | | 5,000 | | | | 5,438 | |
Series B, Rev., AGM-CR, 5.00%, 01/01/2027 | | | 1,000 | | | | 1,063 | |
Series B, Rev., AGM, 5.00%, 01/01/2029 | | | 300 | | | | 329 | |
Series B, Rev., AGM, 5.00%, 01/01/2038 | | | 130 | | | | 143 | |
City of Chicago, Waterworks Revenue, Second Lien, | | | | | | | | |
Rev., 5.00%, 11/01/2034 | | | 1,000 | | | | 1,017 | |
Series A, Rev., AGM, 5.25%, 11/01/2048 | | | 1,500 | | | | 1,641 | |
Series B, Rev., AGM, 4.00%, 11/01/2040 | | | 4,320 | | | | 4,285 | |
Series B, Rev., AGM, 5.00%, 11/01/2028 | | | 300 | | | | 333 | |
Series B, Rev., AGM, 5.00%, 11/01/2031 | | | 400 | | | | 463 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Illinois — continued | | | | | | | | |
Series B, Rev., AGM, 5.00%, 11/01/2033 | | | 2,350 | | | | 2,667 | |
City of Granite City, Waste Management, Inc., Rev., AMT, 1.25%, 05/01/2027 | | | 5,000 | | | | 4,479 | |
Cook County Community College District No. 508, City Colleges Chicago, | | | | | | | | |
GO, 5.13%, 12/01/2038 | | | 1,000 | | | | 1,001 | |
GO, 5.25%, 12/01/2030 | | | 1,000 | | | | 1,002 | |
Cook County Community Consolidated School District No. 34 Glenview, GO, 4.00%, 12/01/2029 | | | 2,000 | | | | 2,146 | |
Cook County High School District No. 214 Arlington Heights, GO, 4.00%, 12/01/2026 | | | 1,910 | | | | 1,979 | |
Cook County, Community School District No. 97, Oak Park, GO, 4.00%, 01/01/2034 | | | 2,000 | | | | 2,075 | |
County of Cook, | | | | | | | | |
Series A, GO, 5.00%, 11/15/2025 | | | 960 | | | | 995 | |
Series A, GO, AGM, 5.00%, 11/15/2026 | | | 1,000 | | | | 1,059 | |
Series A, GO, 5.00%, 11/15/2026 | | | 3,900 | | | | 4,114 | |
Series A, GO, 5.00%, 11/15/2033 | | | 250 | | | | 284 | |
County of Cook Sales Tax Revenue, | | | | | | | | |
Series A, Rev., 5.00%, 11/15/2025 | | | 690 | | | | 717 | |
Series A, Rev., 5.25%, 11/15/2045 | | | 2,500 | | | | 2,687 | |
County of Cook, Sales Tax Revenue, Series A, Rev., 5.00%, 11/15/2038 | | | 1,240 | | | | 1,330 | |
Illinois Finance Authority, | | | | | | | | |
Series A, Rev., 4.00%, 07/15/2036 | | | 710 | | | | 725 | |
Series A, Rev., 4.00%, 07/15/2039 | | | 3,000 | | | | 3,005 | |
Series B2, Rev., 5.00%, 05/15/2050 (z) | | | 2,550 | | | | 2,643 | |
Illinois Finance Authority, Acero Charter Schools, Inc., Rev., 4.00%, 10/01/2042 (e) | | | 500 | | | | 382 | |
Illinois Finance Authority, Advocate Health Care Network Project, Rev., 4.00%, 11/01/2030 | | | 2,600 | | | | 2,623 | |
Illinois Finance Authority, American Water Capital Corp. Project, Rev., 0.70%, 05/01/2040 (z) | | | 895 | | | | 890 | |
Illinois Finance Authority, Ann & Robert H. Lurie Children’s Hospital of Chicago, Rev., 5.00%, 08/15/2035 | | | 1,610 | | | | 1,694 | |
Illinois Finance Authority, Carle Foundation, Series A, Rev., 5.00%, 02/15/2045 | | | 19,250 | | | | 19,587 | |
Illinois Finance Authority, Centegra Health System, Series A, Rev., 5.00%, 09/01/2025 (p) | | | 130 | | | | 133 | |
Illinois Finance Authority, Depaul College Prep Foundation, Rev., 5.50%, 08/01/2043 (e) | | | 1,360 | | | | 1,379 | |
Illinois Finance Authority, Green Bonds, | | | | | | | | |
Rev., 4.00%, 01/01/2033 | | | 8,190 | | | | 8,692 | |
Rev., 4.00%, 07/01/2038 | | | 4,160 | | | | 4,182 | |
Rev., 4.00%, 07/01/2040 | | | 1,500 | | | | 1,486 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 173 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Illinois — continued | | | | | | | | |
Illinois Finance Authority, Health Services Facility Lease Revenue, Provident Group UIC Surgery, | | | | | | | | |
Rev., 4.00%, 10/01/2040 | | | 1,750 | | | | 1,611 | |
Rev., 5.00%, 10/01/2032 | | | 750 | | | | 804 | |
Rev., 5.00%, 10/01/2034 | | | 125 | | | | 133 | |
Illinois Finance Authority, Illinois State Clean Water Initiative, Green Bond, Rev., 5.00%, 01/01/2028 | | | 100 | | | | 110 | |
Illinois Finance Authority, Mercy Health Corp., Rev., 5.00%, 12/01/2040 | | | 1,080 | | | | 1,095 | |
Illinois Finance Authority, Northshore University Health System, Rev., 5.00%, 08/15/2035 | | | 1,500 | | | | 1,676 | |
Illinois Finance Authority, OSF Healthcare System, | | | | | | | | |
Rev., 4.00%, 05/15/2050 | | | 1,000 | | | | 886 | |
Series A, Rev., 5.00%, 11/15/2045 | | | 10,900 | | | | 10,976 | |
Series B1, Rev., 5.00%, 05/15/2050 (z) | | | 2,250 | | | | 2,273 | |
Illinois Finance Authority, Plymouth Place, Inc., Rev., 5.00%, 05/15/2041 | | | 400 | | | | 343 | |
Illinois Finance Authority, Presbyterian Homes, Series B, Rev., (SIFMA Municipal Swap Index + 0.70%), 4.71%, 05/01/2042 (aa) | | | 180 | | | | 176 | |
Illinois Finance Authority, Southern Illinois Healthcare, Rev., 5.00%, 03/01/2031 | | | 2,135 | | | | 2,230 | |
Illinois Finance Authority, State Clean Water Initiative, Rev., 4.00%, 07/01/2026 | | | 2,100 | | | | 2,150 | |
Illinois Finance Authority, Swedish Covenant Hospital, | | | | | | | | |
Rev., 5.00%, 08/15/2032 (p) | | | 4,000 | | | | 4,224 | |
Series A, Rev., 5.00%, 08/15/2026 (p) | | | 1,690 | | | | 1,784 | |
Illinois Finance Authority, The Carle Foundation, | | | | | | | | |
Series A, Rev., 3.00%, 08/15/2048 | | | 2,850 | | | | 2,132 | |
Series A, Rev., 5.00%, 08/15/2031 | | | 2,530 | | | | 2,858 | |
Series B, Rev., 5.00%, 08/15/2053 (z) | | | 285 | | | | 314 | |
Illinois Finance Authority, UChicago Medicine, | | | | | | | | |
Rev., 5.00%, 08/15/2052 (z) | | | 1,710 | | | | 1,818 | |
Series A, Rev., 5.00%, 08/15/2047 | | | 17,000 | | | | 18,028 | |
Illinois Finance Authority, University of Chicago, | | | | | | | | |
Series A, Rev., 5.00%, 10/01/2028 | | | 3,000 | | | | 3,325 | |
Series A, Rev., 5.00%, 10/01/2034 | | | 1,750 | | | | 2,101 | |
Series A, Rev., 5.00%, 10/01/2035 | | | 1,400 | | | | 1,681 | |
Series A, Rev., 5.00%, 10/01/2038 | | | 1,000 | | | | 1,192 | |
Series A, Rev., 5.25%, 05/15/2048 | | | 2,000 | | | | 2,211 | |
Illinois Housing Development Authority, | | | | | | | | |
Series C, Rev., FHA, 0.80%, 07/01/2026 | | | 270 | | | | 247 | |
Series D, Rev., GNMA/FNMA/FHLMC COLL, 3.75%, 04/01/2050 | | | 1,410 | | | | 1,390 | |
Illinois Housing Development Authority, Social Bonds, | | | | | | | | |
Series A, Rev., GNMA FNMA FHLMC COLL, 3.00%, 04/01/2051 | | | 3,920 | | | | 3,775 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Illinois — continued | | | | | | | | |
Series B, Rev., GNMA FNMA FHLMC COLL, 3.00%, 04/01/2051 | | | 405 | | | | 389 | |
Illinois Sports Facilities Authority (The), State Tax Supported, | | | | | | | | |
Rev., 5.00%, 06/15/2030 | | | 500 | | | | 510 | |
Rev., AGM, 5.25%, 06/15/2031 | | | 225 | | | | 228 | |
Illinois State Toll Highway Authority, | | | | | | | | |
Series A, Rev., 4.00%, 01/01/2046 | | | 14,950 | | | | 14,353 | |
Series A, Rev., 5.00%, 01/01/2028 | | | 185 | | | | 194 | |
Series A, Rev., 5.00%, 01/01/2041 | | | 3,300 | | | | 3,650 | |
Series A, Rev., 5.00%, 01/01/2044 | | | 6,580 | | | | 6,950 | |
Series B, Rev., 5.00%, 01/01/2029 | | | 100 | | | | 105 | |
Series B, Rev., 5.00%, 01/01/2037 | | | 5,000 | | | | 5,027 | |
Illinois State Toll Highway Authority, Senior, | | | | | | | | |
Series A, Rev., 5.00%, 12/01/2031 | | | 5,115 | | | | 5,316 | |
Series A, Rev., 5.25%, 01/01/2043 | | | 2,315 | | | | 2,578 | |
Series B, Rev., 5.00%, 01/01/2028 | | | 4,000 | | | | 4,349 | |
Series B, Rev., 5.00%, 01/01/2041 | | | 2,190 | | | | 2,266 | |
Illinois State Toll Highway Authority, Toll Highway Revenue, | | | | | | | | |
Series A, Rev., 5.00%, 01/01/2036 | | | 1,000 | | | | 1,115 | |
Series A, Rev., 5.00%, 01/01/2037 | | | 1,555 | | | | 1,717 | |
Macon County, School District No. 61 Decatur, | | | | | | | | |
GO, AGM, 4.00%, 01/01/2040 | | | 1,420 | | | | 1,409 | |
GO, AGM, 4.00%, 01/01/2045 | | | 3,000 | | | | 2,978 | |
Metropolitan Pier & Exposition Authority, Rev., NATL, Zero Coupon, 12/15/2034 | | | 500 | | | | 315 | |
Metropolitan Pier & Exposition Authority Revenue, McCormick Place Expansion, Rev., 5.00%, 06/15/2042 | | | 5,645 | | | | 5,828 | |
Metropolitan Pier & Exposition Authority, Capital Appreciation McCormick, | | | | | | | | |
Rev., NATL, Zero Coupon, 12/15/2035 | | | 500 | | | | 298 | |
Rev., NATL, Zero Coupon, 06/15/2036 | | | 6,000 | | | | 3,476 | |
Rev., NATL, Zero Coupon, 06/15/2037 | | | 500 | | | | 273 | |
Rev., AGM, Zero Coupon, 06/15/2044 | | | 500 | | | | 187 | |
Series B, Rev., AGM, Zero Coupon, 06/15/2027 | | | 660 | | | | 570 | |
Metropolitan Pier & Exposition Authority, Capital Appreciation McCormick Project, Rev., NATL, Zero Coupon, 06/15/2028 | | | 250 | | | | 207 | |
Metropolitan Pier & Exposition Authority, McCormick Expansion Project, Series B, Rev., 5.00%, 12/15/2027 | | | 125 | | | | 128 | |
Metropolitan Pier & Exposition Authority, McCormick Place, | | | | | | | | |
Rev., Zero Coupon, 06/15/2037 | | | 1,175 | | | | 629 | |
Rev., Zero Coupon, 06/15/2041 | | | 1,750 | | | | 749 | |
Metropolitan Pier & Exposition Authority, McCormick Place Expansion, | | | | | | | | |
Rev., 3.00%, 06/15/2025 | | | 150 | | | | 148 | |
Rev., 4.00%, 12/15/2042 | | | 4,990 | | | | 4,724 | |
Rev., 4.00%, 06/15/2050 | | | 1,000 | | | | 905 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 174 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Illinois — continued | | | | | | | | |
Metropolitan Water Reclamation District of Greater Chicago, Green Bond | | | | | | | | |
Series C, GO, 5.00%, 12/01/2045 | | | 3,000 | | | | 3,065 | |
Series E, GO, 5.00%, 12/01/2036 | | | 2,065 | | | | 2,156 | |
Northern Illinois University, Board of Trustees Auxiliary Facilities, Rev., BAM, 4.00%, 10/01/2033 | | | 1,000 | | | | 1,011 | |
Regional Transportation Authority, Series A, Rev., NATL, 6.00%, 07/01/2025 | | | 25 | | | | 26 | |
Sales Tax Securitization Corp., Series A, Rev., 5.00%, 01/01/2048 | | | 2,000 | | | | 2,059 | |
Sales Tax Securitization Corp., Second Lien, | | | | | | | | |
Series A, Rev., BAM, 5.00%, 01/01/2037 | | | 750 | | | | 811 | |
Series C, Rev., 5.00%, 01/01/2029 (w) | | | 850 | | | | 918 | |
Series C, Rev., 5.00%, 01/01/2032 (w) | | | 1,400 | | | | 1,574 | |
Series C, Rev., 5.00%, 01/01/2034 (w) | | | 365 | | | | 407 | |
Southern Illinois University, Housing, Rev., BAM, 5.00%, 04/01/2032 | | | 650 | | | | 705 | |
Southwestern Illinois Development Authority, Southwestern Il Flood Prevention, Rev., 4.00%, 10/15/2035 | | | 1,215 | | | | 1,248 | |
State of Illinois, | | | | | | | | |
GO, 4.00%, 06/01/2036 | | | 485 | | | | 478 | |
GO, 5.00%, 07/01/2023 | | | 85 | | | | 85 | |
GO, 5.00%, 01/01/2028 | | | 6,810 | | | | 7,054 | |
GO, 5.00%, 02/01/2028 | | | 3,000 | | | | 3,156 | |
GO, 5.00%, 01/01/2029 | | | 2,085 | | | | 2,159 | |
GO, 5.00%, 02/01/2029 | | | 1,000 | | | | 1,054 | |
GO, 5.25%, 02/01/2030 | | | 2,000 | | | | 2,020 | |
GO, 5.50%, 05/01/2030 | | | 2,000 | | | | 2,228 | |
GO, 5.50%, 07/01/2038 | | | 1,000 | | | | 1,000 | |
Series A, GO, 4.00%, 03/01/2041 | | | 250 | | | | 239 | |
Series A, GO, 5.00%, 10/01/2023 | | | 300 | | | | 301 | |
Series A, GO, 5.00%, 03/01/2024 | | | 80 | | | | 81 | |
Series A, GO, 5.00%, 11/01/2026 | | | 1,360 | | | | 1,427 | |
Series A, GO, 5.00%, 03/01/2027 | | | 2,355 | | | | 2,484 | |
Series A, GO, 5.00%, 03/01/2028 | | | 2,500 | | | | 2,680 | |
Series A, GO, 5.00%, 03/01/2030 | | | 1,000 | | | | 1,103 | |
Series A, GO, 5.00%, 03/01/2046 | | | 1,000 | | | | 1,040 | |
Series A, GO, 5.50%, 03/01/2042 | | | 1,500 | | | | 1,651 | |
Series A, GO, 5.50%, 03/01/2047 | | | 2,690 | | | | 2,918 | |
Series B, GO, 5.00%, 10/01/2029 | | | 1,000 | | | | 1,098 | |
Series B, GO, 5.00%, 10/01/2031 | | | 5,000 | | | | 5,570 | |
Series B, GO, 5.50%, 05/01/2039 | | | 250 | | | | 273 | |
Series B, GO, 5.50%, 05/01/2047 | | | 2,500 | | | | 2,715 | |
Series C, GO, 5.00%, 11/01/2029 | | | 4,200 | | | | 4,480 | |
Series C, GO, 5.25%, 10/01/2047 | | | 3,000 | | | | 3,187 | |
Series D, GO, 5.00%, 11/01/2024 | | | 1,000 | | | | 1,018 | |
Series D, GO, 5.00%, 11/01/2026 | | | 1,980 | | | | 2,077 | |
Series D, GO, 5.00%, 11/01/2027 | | | 6,080 | | | | 6,484 | |
Series D, GO, 5.00%, 11/01/2028 | | | 2,500 | | | | 2,661 | |
State of Illinois Sales Tax Revenue, Series A, Rev., BAM, 4.00%, 06/15/2029 | | | 2,250 | | | | 2,290 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Illinois — continued | | | | | | | | |
State of Illinois Sales Tax Revenue, Junior Obligation, | | | | | | | | |
Series A, Rev., BAM, 4.00%, 06/15/2026 | | | 505 | | | | 509 | |
Series A, Rev., BAM, 4.00%, 06/15/2031 | | | 1,500 | | | | 1,531 | |
State of Illinois, Build America Bonds, | | | | | | | | |
GO, 6.90%, 03/01/2035 | | | 1,000 | | | | 1,075 | |
GO, 7.35%, 07/01/2035 | | | 3,714 | | | | 4,003 | |
University of Illinois, Auxiliary Facilities System, Series A, Rev., 5.00%, 04/01/2025 | | | 140 | | | | 141 | |
University of Illinois, Auxiliary Facility, Series A, Rev., AGM-CR, 4.00%, 04/01/2036 | | | 4,730 | | | | 4,702 | |
Village of Rosemont, Series A, GO, BAM, 5.00%, 12/01/2042 | | | 10,000 | | | | 10,927 | |
Will County Community Unit School District No. 209-U Wilmington, GO, AGM, 5.50%, 02/01/2038 | | | 1,195 | | | | 1,323 | |
Will Grundy Etc. Counties Community College District No. 525, Alternative Revenue Source, Series B, GO, 5.50%, 06/01/2031 (p) | | | 3,375 | | | | 3,407 | |
| | | | | | | | |
| | |
| | | | | | | 491,182 | |
| | | | | | | | |
Indiana — 2.2% | | | | | | | | |
City of Fishers Sewage Works Revenue, Rev., BAM, 4.00%, 07/01/2047 | | | 1,000 | | | | 974 | |
City of Franklin, Otterbein Homes, Series B, Rev., 5.00%, 07/01/2023 | | | 115 | | | | 115 | |
City of Kokomo, KHA RAD I Apartments, Rev., HUD, 0.56%, 02/01/2025 (z) | | | 2,175 | | | | 2,124 | |
City of Mount Vernon, Southern Industry Gas and Electric Company, Rev., AMT, 0.88%, 09/01/2055 (z) | | | 250 | | | | 249 | |
City of Rockport, Industry Pollution Control, Michigan Power Company Project, Rev., 2.75%, 06/01/2025 | | | 100 | | | | 98 | |
City of Whiting, BP Products North America, Inc. Project, Rev., AMT, 5.00%, 11/01/2047 (z) | | | 5,000 | | | | 5,071 | |
Evansville Waterworks District, Series A, Rev., BAM, 5.00%, 07/01/2042 | | | 925 | | | | 1,004 | |
Indiana Finance Authority, Citizens Water Westfield Project, Series A, Rev., 4.00%, 10/01/2048 | | | 1,500 | | | | 1,460 | |
Indiana Finance Authority, Community Foundation of Northwest Industry, Rev., 5.00%, 09/01/2036 | | | 1,000 | | | | 1,040 | |
Indiana Finance Authority, DePauw University Project, Series A, Rev., 5.00%, 07/01/2047 | | | 8,000 | | | | 8,049 | |
Indiana Finance Authority, Duke Energy Indian, Rev., AMT, 4.50%, 05/01/2035 (z) | | | 3,305 | | | | 3,315 | |
Indiana Finance Authority, First Lien, CWA Authority Project, Rev., 5.00%, 10/01/2023 | | | 45 | | | | 45 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 175 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Indiana — continued | | | | | | | | |
Indiana Finance Authority, Green Bond CWA Authority Project | | | | | | | | |
Rev., 5.00%, 10/01/2035 | | | 2,160 | | | | 2,271 | |
Rev., 4.00%, 10/01/2037 | | | 1,440 | | | | 1,441 | |
Indiana Finance Authority, IN University Health Obligation Group, Rev., 4.00%, 12/01/2040 | | | 1,000 | | | | 978 | |
Indiana Finance Authority, Indianapolis Power, | | | | | | | | |
Series A, Rev., 0.75%, 12/01/2038 (z) | | | 4,875 | | | | 4,338 | |
Series B, Rev., AMT, 0.95%, 12/01/2038 (z) | | | 7,025 | | | | 6,305 | |
Indiana Finance Authority, Marion General Hospital, Series A, Rev., 4.00%, 07/01/2040 | | | 5,060 | | | | 4,910 | |
Indiana Finance Authority, Ohio Valley Electric Corp. Project, | | | | | | | | |
Series A, Rev., 4.25%, 11/01/2030 | | | 2,000 | | | | 1,989 | |
Series B, Rev., 2.50%, 11/01/2030 | | | 1,000 | | | | 875 | |
Indiana Finance Authority, Private Activity Ohio River Bridge, Rev., AMT, 5.00%, 07/01/2035 (p) | | | 2,000 | | | | 2,000 | |
Indiana Finance Authority, Private Activity, Ohio River Bridges Project, | | | | | | | | |
Rev., AMT, 5.00%, 07/01/2044 (p) | | | 10,000 | | | | 10,000 | |
Rev., AMT, 5.00%, 07/01/2048 (p) | | | 7,435 | | | | 7,435 | |
Indiana Finance Authority, Second Lien, CWA Authority Project, Rev., 5.00%, 10/01/2035 | | | 3,000 | | | | 3,411 | |
Indiana Finance Authority, United States Steel Corp., Series A, Rev., 4.13%, 12/01/2026 | | | 145 | | | | 143 | |
Indiana Finance Authority, University of Evansville, Rev., 5.25%, 09/01/2037 | | | 1,150 | | | | 1,151 | |
Indiana Finance Authority, Valley Electric Corporation Project, Series B, Rev., 3.00%, 11/01/2030 | | | 1,000 | | | | 905 | |
Indiana Finance Authority, Valparaiso University Project, Rev., 4.00%, 10/01/2034 | | | 1,315 | | | | 1,269 | |
Indiana Health Facility Financing Authority, Ascension Health Substitute Credit Group, Series A, Rev., 4.00%, 11/01/2023 | | | 85 | | | | 85 | |
Indiana Housing & Community Development Authority, Series A, Rev., GNMA/FNMA/FHLMC, 3.00%, 07/01/2051 | | | 810 | | | | 782 | |
Indiana Housing & Community Development Authority, Social Bonds, | | | | | | | | |
Series A1, Rev., GNMA/FNMA/FHLMC COLL, 5.75%, 07/01/2053 | | | 250 | | | | 266 | |
Series A, Rev., GNMA/FNMA/FHLMC COLL, 3.00%, 07/01/2052 | | | 990 | | | | 948 | |
Series C1, Rev., GNMA/FNMA/FHLMC COLL, 3.00%, 01/01/2052 | | | 45 | | | | 43 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Indiana — continued | | | | | | | | |
Indiana Municipal Power Agency, Series A, Rev., 5.00%, 01/01/2029 | | | 400 | | | | 441 | |
Indianapolis Local Public Improvement Bond Bank, | | | | | | | | |
Series A, Rev., AGM, 4.00%, 06/01/2036 | | | 5,000 | | | | 5,108 | |
Series A, Rev., AGM, 4.00%, 06/01/2041 | | | 9,000 | | | | 8,878 | |
Series A, Rev., 5.00%, 06/01/2024 | | | 15 | | | | 15 | |
Series A, Rev., 5.00%, 06/01/2025 | | | 500 | | | | 514 | |
Indianapolis Local Public Improvement Bond Bank, Airport Authority, Series A1, Rev., AMT, 5.00%, 01/01/2028 | | | 200 | | | | 207 | |
Indianapolis Local Public Improvement Bond Bank, CityWay 1 Project, Series B, Rev., 5.00%, 02/01/2024 | | | 175 | | | | 176 | |
Indianapolis Local Public Improvement Bond Bank, Indianapolis Airport, Rev., AMT, 5.00%, 01/01/2029 | | | 2,855 | | | | 3,063 | |
Indianapolis Local Public Improvement Bond Bank, Indianapolis Airport Authority, | | | | | | | | |
Series D, Rev., AMT, 5.00%, 01/01/2029 | | | 3,000 | | | | 3,012 | |
Series D, Rev., AMT, 5.00%, 01/01/2030 | | | 2,000 | | | | 2,008 | |
Series D, Rev., AMT, 5.00%, 01/01/2031 | | | 4,000 | | | | 4,016 | |
Series D, Rev., AMT, 5.00%, 01/01/2032 | | | 4,500 | | | | 4,518 | |
Series D, Rev., AMT, 5.00%, 01/01/2033 | | | 3,500 | | | | 3,514 | |
Series I, Rev., AMT, 5.00%, 01/01/2032 | | | 4,885 | | | | 4,973 | |
Series I, Rev., AMT, 5.00%, 01/01/2033 | | | 5,000 | | | | 5,085 | |
Indianapolis Local Public Improvement Bond Bank, Metropolitan Thoroughfare District, Series D, Rev., 4.00%, 01/01/2041 | | | 10,000 | | | | 9,859 | |
Northwestern School Building Corp., | | | | | | | | |
Rev., 6.00%, 07/15/2040 | | | 700 | | | | 807 | |
Rev., 6.00%, 07/15/2041 | | | 900 | | | | 1,035 | |
Purdue University, Series A, Rev., 5.00%, 07/01/2027 | | | 1,500 | | | | 1,627 | |
Southwest Allen Multi School Building Corp., 1st Mortgage, Rev., 5.00%, 01/15/2030 | | | 1,200 | | | | 1,314 | |
Tippecanoe School Corp., GO, 4.00%, 07/15/2023 | | | 1,080 | | | | 1,080 | |
| | | | | | | | |
| | |
| | | | | | | 136,339 | |
| | | | | | | | |
Iowa — 0.6% | | | | | | | | |
Clinton Community School District, | | | | | | | | |
GO, AGM, 5.00%, 06/01/2024 | | | 1,425 | | | | 1,447 | |
GO, AGM, 5.00%, 06/01/2026 | | | 1,290 | | | | 1,355 | |
Iowa Finance Authority, | | | | | | | | |
Series A, Rev., 5.00%, 08/01/2034 | | | 1,030 | | | | 1,196 | |
Series D, Rev., GNMA/FNMA/FHLMC, 3.50%, 01/01/2049 | | | 330 | | | | 323 | |
Iowa Finance Authority, Iowa Fertilizer Company Project, | | | | | | | | |
Rev., 4.00%, 12/01/2050 (z) | | | 5,905 | | | | 5,810 | |
Rev., 5.00%, 12/01/2050 | | | 4,755 | | | | 4,849 | |
Iowa Finance Authority, Social Bond, Series A, Rev., GNMA/FNMA/FHLMC, 3.00%, 01/01/2052 | | | 2,000 | | | | 1,916 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 176 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Iowa — continued | | | | | | | | |
Iowa Finance Authority, Social Bonds, Series A, Rev., GNMA/FNMA/FHLMC, 3.00%, 01/01/2047 | | | 1,995 | | | | 1,922 | |
Iowa Tobacco Settlement Authority, Subordinate, | | | | | | | | |
Series B1, Rev., 4.00%, 06/01/2049 | | | 6,670 | | | | 6,595 | |
Series B, Rev., Zero Coupon, 06/01/2065 | | | 15,345 | | | | 1,764 | |
PEFA, Inc., Rev., 5.00%, 09/01/2049 (z) | | | 2,745 | | | | 2,799 | |
Sioux City Community School District, Rev., BAM, 3.00%, 10/01/2025 | | | 3,625 | | | | 3,571 | |
Southeast Polk Community School District, Series A, GO, 5.00%, 05/01/2028 | | | 5,185 | | | | 5,685 | |
| | | | | | | | |
| | |
| | | | | | | 39,232 | |
| | | | | | | | |
Kansas — 0.4% | | | | | | | | |
Butler County Unified School District No. 385 Andover, Refunding and School Building, GO, 5.00%, 09/01/2032 (p) | | | 1,000 | | | | 1,089 | |
City of Manhattan, Meadowlark Hills, Series A, Rev., 4.00%, 06/01/2036 | | | 1,000 | | | | 835 | |
Johnson County Unified School District No. 512 Shawnee Mission, Series A, GO, 4.00%, 10/01/2043 | | | 2,000 | | | | 1,978 | |
Kansas Development Finance Authority, Unrefunded, Rev., 5.00%, 11/15/2054 (z) | | | 1,500 | | | | 1,628 | |
Riley County Unified School District No. 383 Manhattan-Ogden, Series A, GO, 5.00%, 09/01/2034 (p) | | | 1,000 | | | | 1,087 | |
University of Kansas Hospital Authority, Improvement Ku Health System, Rev., 5.00%, 09/01/2045 | | | 3,800 | | | | 3,867 | |
University of Kansas Hospital Authority, University Kansas Health System, Rev., 5.00%, 03/01/2047 (p) | | | 3,865 | | | | 4,141 | |
University of Kansas Hospital Authority, Unrefunded University Kansas Health System, Rev., 5.00%, 03/01/2047 | | | 7,350 | | | | 7,526 | |
Wyandotte County Unified School District No. 203 Piper, | | | | | | | | |
Series A, GO, AGM, 5.00%, 09/01/2040 | | | 900 | | | | 996 | |
Series A, GO, AGM, 5.25%, 09/01/2052 | | | 1,000 | | | | 1,096 | |
| | | | | | | | |
| | |
| | | | | | | 24,243 | |
| | | | | | | | |
Kentucky — 1.2% | | | | | | | | |
City of Henderson, Pratt Paper LLC Project, Rev., AMT, 4.45%, 01/01/2042 (e) | | | 1,685 | | | | 1,619 | |
County of Carroll, Utilities Company Project, Rev., AMT, 2.00%, 02/01/2032 | | | 8,620 | | | | 7,054 | |
County of Trimble, Louisville Gas & Electric, | | | | | | | | |
Rev., 0.63%, 09/01/2026 | | | 605 | | | | 542 | |
Rev., AMT, 1.30%, 09/01/2044 (z) | | | 1,000 | | | | 842 | |
Rev., AMT, 1.35%, 11/01/2027 | | | 8,100 | | | | 7,253 | |
Fayette County School District Finance Corp., Series A, Rev., 4.00%, 05/01/2038 | | | 3,000 | | | | 3,004 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Kentucky — continued | | | | | | | | |
Kentucky Bond Development Corp., Centre College, Rev., 4.00%, 06/01/2040 | | | 420 | | | | 406 | |
Kentucky Economic Development Finance Authority, Norton Healthcare, Inc., | | | | | | | | |
Series B, Rev., NATL, Zero Coupon, 10/01/2026 | | | 3,930 | | | | 3,469 | |
Series B, Rev., NATL, Zero Coupon, 10/01/2027 | | | 1,995 | | | | 1,699 | |
Kentucky Economic Development Finance Authority, Senior Next Generation Information, Rev., 5.00%, 07/01/2040 | | | 5,000 | | | | 5,016 | |
Kentucky Housing Corp., Cambridge Square Project, Rev., 0.30%, 08/01/2024 (z) | | | 575 | | | | 561 | |
Kentucky Housing Corp., New Hope Properties Portfolio, Rev., HUD, 0.41%, 04/01/2024 (z) | | | 275 | | | | 272 | |
Kentucky Public Energy Authority, | | | | | | | | |
Series A1, Rev., 4.00%, 08/01/2052 (z) | | | 1,000 | | | | 981 | |
Series A2, Rev., (ICE LIBOR USD 1 Month * 0.67 + 1.12%), 4.58%, 12/01/2049 (aa) | | | 1,000 | | | | 994 | |
Series A2, Rev., (United States SOFR * 0.67 + 1.20%), 4.59%, 08/01/2052 (aa) | | | 2,500 | | | | 2,383 | |
Series C, Rev., 4.00%, 02/01/2050 (z) | | | 10,885 | | | | 10,762 | |
Kentucky Public Energy Authority, Gas Supply, Series B, Rev., 4.00%, 01/01/2049 (z) | | | 12,885 | | | | 12,884 | |
Kentucky State University, Kentucky State University Project, | | | | | | | | |
COP, BAM, 4.00%, 11/01/2033 | | | 145 | | | | 153 | |
COP, BAM, 4.00%, 11/01/2035 | | | 135 | | | | 141 | |
COP, BAM, 4.00%, 11/01/2036 | | | 155 | | | | 159 | |
COP, BAM, 4.00%, 11/01/2038 | | | 650 | | | | 650 | |
Louisville and Jefferson County Metropolitan Government, Louisville Gas & Electric Co. Project, Series A, Rev., 0.90%, 09/01/2026 | | | 2,750 | | | | 2,496 | |
Louisville and Jefferson County Metropolitan Government, Norton Healthcare, Inc., Rev., 5.00%, 10/01/2031 | | | 670 | | | | 697 | |
Louisville/Jefferson County Metropolitan Government, Louisville Gas & Electric Co. Project, | | | | | | | | |
Rev., AMT, 1.35%, 11/01/2027 | | | 2,000 | | | | 1,766 | |
Rev., 2.00%, 10/01/2033 | | | 1,000 | | | | 805 | |
Louisville/Jefferson County Metropolitan Government, Norton Healthcare Obligation Group, Rev., 5.75%, 10/01/2042 | | | 5,000 | | | | 5,013 | |
Louisville/Jefferson County Metropolitan Government, UofL Health Project, Series A, Rev., 5.00%, 05/15/2047 | | | 3,180 | | | | 3,241 | |
| | | | | | | | |
| | |
| | | | | | | 74,862 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 177 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Louisiana — 1.4% | | | | | | | | |
City of New Orleans Sewerage Service Revenue, Rev., 5.00%, 06/01/2045 (p) | | | 2,000 | | | | 2,073 | |
City of Shreveport, Water & Sewer Improvement, GO, 5.00%, 09/01/2032 (p) | | | 4,390 | | | | 4,476 | |
Consolidated Government of the City of Baton Rouge & Parish of East Baton Rouge, Sales Tax, Rev., AGM, 5.00%, 08/01/2027 | | | 1,400 | | | | 1,504 | |
East Baton Rouge Sewerage Commission, Series A, Rev., 1.30%, 02/01/2041 (z) | | | 4,500 | | | | 3,813 | |
Ernest N Morial New Orleans Exhibition Hall Authority, Special Tax, 5.25%, 07/15/2048 | | | 6,000 | | | | 6,528 | |
Lakeshore Villages Master Community Development District, Parish of St. Tammany, Special Assessment, 3.20%, 06/01/2041 (e) | | | 630 | | | | 498 | |
Louisiana Housing Corp., Hollywood Acres and Hollywood Heights Projects, Rev., 0.55%, 12/01/2023 | | | 165 | | | | 162 | |
Louisiana Housing Corp., Home Ownership Program, Rev., GNMA/FNMA/FHLMC COLL, 5.75%, 06/01/2054 | | | 400 | | | | 433 | |
Louisiana Housing Corp., Mabry Place Townhouse Project, Rev., 0.31%, 08/01/2024 (z) | | | 1,955 | | | | 1,949 | |
Louisiana Housing Corp., Social Bonds Home Ownership Project, Rev., GNMA/FNMA/FHLMC, 5.00%, 06/01/2052 | | | 1,225 | | | | 1,263 | |
Louisiana Local Government Environmental Facilities & Community Development Authority, Entergy Louisiana LLC Project, | | | | | | | | |
Rev., 2.00%, 06/01/2030 | | | 2,755 | | | | 2,403 | |
Rev., 2.50%, 04/01/2036 | | | 1,000 | | | | 813 | |
Louisiana Public Facilities Authority, Children’s Medical Center Project, Rev., 5.00%, 06/01/2045 (z) | | | 450 | | | | 480 | |
Louisiana Public Facilities Authority, Loyola University Project, Rev., 4.00%, 10/01/2038 | | | 2,560 | | | | 2,432 | |
Louisiana Public Facilities Authority, Ochsner Clinic Foundation, Series B, Rev., 5.00%, 05/15/2050 (z) | | | 1,100 | | | | 1,123 | |
Louisiana Public Facilities Authority, Ochsner Clinic Foundation Project, Rev., 5.00%, 05/15/2042 | | | 1,480 | | | | 1,509 | |
Louisiana Stadium & Exposition District, Senior Bonds, Series A, Rev., 5.25%, 07/01/2053 | | | 7,500 | | | | 8,143 | |
New Orleans Aviation Board, | | | | | | | | |
Series B, Rev., AMT, 5.00%, 01/01/2040 | | | 14,500 | | | | 14,556 | |
Series B, Rev., AMT, 5.00%, 01/01/2045 | | | 4,000 | | | | 4,004 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Louisiana — continued | | | | | | | | |
New Orleans Aviation Board, General Airport, Series D2, Rev., AMT, 5.00%, 01/01/2033 | | | 1,100 | | | | 1,147 | |
New Orleans Aviation Board, General Airport North Terminal, | | | | | | | | |
Series B, Rev., AMT, 5.00%, 01/01/2038 | | | 1,000 | | | | 1,026 | |
Series B, Rev., AMT, 5.00%, 01/01/2048 | | | 5,000 | | | | 5,066 | |
Parish of St. John the Baptist, Marathon Oil Corp. Project, | | | | | | | | |
Series B1, Rev., 2.13%, 06/01/2037 (z) | | | 875 | | | | 858 | |
Rev., 4.05%, 06/01/2037 (z) | | | 2,625 | | | | 2,613 | |
Port New Orleans Board of Commissioners, Series E, Rev., AMT, 5.00%, 04/01/2039 | | | 1,170 | | | | 1,204 | |
St. Tammany Parish Hospital Service District No. 1, | | | | | | | | |
Series A, Rev., 5.00%, 07/01/2032 | | | 1,615 | | | | 1,736 | |
Series A, Rev., 5.00%, 07/01/2034 | | | 1,655 | | | | 1,770 | |
State of Louisiana, Series A, GO, 5.00%, 03/01/2037 | | | 9,555 | | | | 10,468 | |
State of Louisiana Gasoline & Fuels Tax Revenue, Second Lien, Series A, Rev., (United States SOFR * 0.70 + 0.50%), 4.04%, 05/01/2043 (aa) | | | 1,130 | | | | 1,108 | |
| | | | | | | | |
| | |
| | | | | | | 85,158 | |
| | | | | | | | |
Maine — 0.2% | | | | | | | | |
Finance Authority of Maine, Supplemental Educational Loan Program, | | | | | | | | |
Series A1, Rev., AGM, AMT, 2.38%, 12/01/2033 | | | 705 | | | | 617 | |
Series A1, Rev., AGM, AMT, 5.00%, 12/01/2023 | | | 165 | | | | 166 | |
Series A1, Rev., AGM, AMT, 5.00%, 12/01/2024 | | | 75 | | | | 76 | |
Series A1, Rev., AGM, AMT, 5.00%, 12/01/2025 | | | 85 | | | | 88 | |
Maine State Housing Authority, Social Bonds, Series D, Rev., 3.00%, 11/15/2051 | | | 970 | | | | 931 | |
Maine Turnpike Authority, | | | | | | | | |
Rev., 4.00%, 07/01/2045 | | | 9,000 | | | | 8,957 | |
Rev., 5.00%, 07/01/2028 | | | 2,000 | | | | 2,207 | |
Rev., 5.00%, 07/01/2033 | | | 1,155 | | | | 1,309 | |
| | | | | | | | |
| | |
| | | | | | | 14,351 | |
| | | | | | | | |
Maryland — 1.4% | | | | | | | | |
City of Baltimore, Water Project, Series A, Rev., 5.00%, 07/01/2050 | | | 3,200 | | | | 3,435 | |
City of Brunswick, Brunswick Crossing Special Tax, Special Tax, 4.00%, 07/01/2029 | | | 500 | | | | 489 | |
County of Baltimore, Series 83, GO, 5.00%, 03/01/2024 | | | 50 | | | | 51 | |
County of Howard, Series D, GO, 5.00%, 02/15/2030 | | | 3,000 | | | | 3,302 | |
County of Montgomery, Series B, GO, 4.00%, 11/01/2028 | | | 1,500 | | | | 1,597 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 178 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Maryland — continued | | | | | | | | |
County of Montgomery, Trinity Health Credit Group, Rev., 4.00%, 12/01/2044 | | | 3,000 | | | | 2,900 | |
County of Prince George’s, Series A, GO, 5.00%, 07/01/2029 | | | 1,250 | | | | 1,414 | |
County of Prince George’s, Behavioral Health Facility, COP, 5.00%, 10/01/2023 | | | 650 | | | | 653 | |
County of Prince George’s, Chesapeake Lighthouse Obligations, Series A, Rev., 6.50%, 08/01/2035 (e) | | | 750 | | | | 767 | |
Maryland Community Development Administration, | | | | | | | | |
Series B, Rev., 3.00%, 09/01/2051 | | | 155 | | | | 149 | |
Series D, Rev., 3.25%, 09/01/2050 | | | 2,545 | | | | 2,476 | |
Maryland Community Development Administration, Community Development Admin Social Bonds, Rev., GNMA/FNMA/FHLMC COLL, 4.95%, 09/01/2042 | | | 1,430 | | | | 1,477 | |
Maryland Community Development Administration, Residential, Series B, Rev., AMT, 4.50%, 09/01/2048 | | | 1,505 | | | | 1,500 | |
Maryland Community Development Administration, Social Bonds, Series C, Rev., 3.00%, 09/01/2051 | | | 2,511 | | | | 2,412 | |
Maryland Economic Development Corp., Green Bond, Purple Line, Rev., AMT, 5.25%, 06/30/2047 | | | 1,300 | | | | 1,354 | |
Maryland Economic Development Corp., Morgan State University Project, | | | | | | | | |
Rev., 4.00%, 07/01/2040 | | | 665 | | | | 636 | |
Rev., 5.38%, 07/01/2038 | | | 1,250 | | | | 1,365 | |
Maryland Economic Development Corp., Port Covington Project, | | | | | | | | |
Tax Allocation, 3.25%, 09/01/2030 | | | 1,405 | | | | 1,314 | |
Tax Allocation, 4.00%, 09/01/2040 | | | 2,280 | | | | 2,056 | |
Maryland Economic Development Corp., Transportation Facilities Project, Series A, Rev., 5.00%, 06/01/2035 | | | 1,000 | | | | 1,044 | |
Maryland Health & Higher Educational Facilities Authority, Adventist Healthcare, | | | | | | | | |
Rev., 4.00%, 01/01/2038 | | | 2,020 | | | | 1,852 | |
Rev., 5.00%, 01/01/2025 | | | 470 | | | | 475 | |
Rev., 5.00%, 01/01/2036 | | | 4,580 | | | | 4,755 | |
Maryland Health & Higher Educational Facilities Authority, Lifebridge Health, Rev., 4.00%, 07/01/2041 | | | 2,315 | | | | 2,259 | |
Maryland Health & Higher Educational Facilities Authority, Medstar Health Issue, | | | | | | | | |
Series A, Rev., 5.00%, 05/15/2042 | | | 3,000 | | | | 3,095 | |
Series A, Rev., 5.00%, 05/15/2045 | | | 4,000 | | | | 4,098 | |
Series B, Rev., 5.00%, 08/15/2038 | | | 1,000 | | | | 1,000 | |
Maryland Health & Higher Educational Facilities Authority, Meritus Medical Center, Rev., 5.00%, 07/01/2028 | | | 1,300 | | | | 1,330 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Maryland — continued | | | | | | | | |
Maryland Stadium Authority Built to Learn Revenue, | | | | | | | | |
Rev., 4.00%, 06/01/2035 | | | 2,000 | | | | 2,067 | |
Rev., 4.00%, 06/01/2036 | | | 2,125 | | | | 2,176 | |
Series A, Rev., 5.00%, 06/01/2033 | | | 1,375 | | | | 1,595 | |
State of Maryland, Series B, GO, 5.00%, 08/01/2026 | | | 1,000 | | | | 1,063 | |
State of Maryland Department of Transportation, Rev., 3.00%, 10/01/2030 | | | 1,500 | | | | 1,488 | |
State of Maryland Department of Transportation, Baltimore Washington International, | | | | | | | | |
Rev., AMT, 4.00%, 08/01/2038 | | | 965 | | | | 946 | |
Rev., AMT, 4.00%, 08/01/2039 | | | 1,160 | | | | 1,128 | |
State of Maryland, Bidding Group 1, Series A, GO, 5.00%, 03/15/2030 | | | 1,495 | | | | 1,715 | |
State of Maryland, Group 1, Series A, GO, 5.00%, 08/01/2028 | | | 1,500 | | | | 1,664 | |
State of Maryland, Local Facilities Loan, Series A, GO, 5.00%, 08/01/2028 | | | 5,000 | | | | 5,548 | |
State of Maryland, State & Local Facilities Loan of 2022, GO, 5.00%, 06/01/2033 | | | 1,000 | | | | 1,188 | |
State of Maryland, State & Local Facilities Loan, Series A, GO, 5.00%, 06/01/2036 | | | 1,500 | | | | 1,742 | |
Washington Suburban Sanitary Commission, | | | | | | | | |
Rev., CNTY GTD, 5.00%, 06/01/2029 | | | 3,000 | | | | 3,387 | |
Rev., CNTY GTD, 5.00%, 06/01/2039 | | | 9,080 | | | | 10,469 | |
Washington Suburban Sanitary Commission, Consolidated Public Improvement, Rev., CNTY GTD, 5.00%, 06/01/2029 | | | 1,500 | | | | 1,660 | |
| | | | | | | | |
| | |
| | | | | | | 87,091 | |
| | | | | | | | |
Massachusetts — 1.2% | | | | | | | | |
Boston Water & Sewer Commission, Senior Bonds, Series B, Rev., 4.00%, 11/01/2039 | | | 1,570 | | | | 1,601 | |
Commonwealth of Massachusetts, | | | | | | | | |
Rev., NATL, 5.50%, 01/01/2034 | | | 1,500 | | | | 1,766 | |
Series E, GO, 5.00%, 11/01/2047 | | | 5,000 | | | | 5,490 | |
Commonwealth of Massachusetts Transportation Fund Revenue, Rail Enhancement Project, Series B, Rev., 5.00%, 06/01/2025 | | | 375 | | | | 389 | |
Commonwealth of Massachusetts, Consolidated Loans, Series E, GO, 5.00%, 11/01/2050 | | | 2,175 | | | | 2,338 | |
Massachusetts Development Finance Agency, Series B, Rev., 0.25%, 07/01/2024 (z) | | | 370 | | | | 370 | |
Massachusetts Development Finance Agency, Green Bond, Boston Medical Center, Rev., 5.00%, 07/01/2044 | | | 1,150 | | | | 1,156 | |
Massachusetts Development Finance Agency, Harvard University Issue, Series A, Rev., 5.00%, 10/15/2030 | | | 1,000 | | | | 1,167 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 179 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Massachusetts — continued | | | | | | | | |
Massachusetts Development Finance Agency, Lahey Health System, Series F, Rev., 5.00%, 08/15/2045 | | | 10,000 | | | | 10,163 | |
Massachusetts Development Finance Agency, Milford Regional Medical Center, Rev., 5.00%, 07/15/2046 (e) | | | 1,000 | | | | 865 | |
Massachusetts Development Finance Agency, Northeastern University Issue, Rev., 5.00%, 10/01/2044 | | | 2,000 | | | | 2,229 | |
Massachusetts Development Finance Agency, Partners Healthcare System, Rev., (SIFMA Municipal Swap Index + 0.60%), 4.61%, 07/01/2049 (e) (aa) | | | 100 | | | | 99 | |
Massachusetts Development Finance Agency, Suffolk University Project, Rev., 4.00%, 07/01/2051 | | | 1,250 | | | | 1,048 | |
Massachusetts Development Finance Agency, UMass Memorial Health Care, Rev., 5.00%, 07/01/2044 | | | 1,000 | | | | 1,010 | |
Massachusetts Educational Financing Authority, | | | | | | | | |
Series B, Rev., AMT, 2.63%, 07/01/2036 | | | 300 | | | | 288 | |
Series B, Rev., AMT, 5.00%, 07/01/2023 | | | 250 | | | | 250 | |
Series B, Rev., AMT, 5.00%, 07/01/2024 | | | 615 | | | | 622 | |
Series I, Rev., AMT, 5.00%, 01/01/2025 | | | 3,000 | | | | 3,046 | |
Massachusetts Educational Financing Authority, Educational Loan Revenue Bonds, Rev., AMT, 2.00%, 07/01/2037 | | | 180 | | | | 152 | |
Massachusetts Educational Financing Authority, Senior Bonds, Series B, Rev., AMT, 4.25%, 07/01/2044 | | | 305 | | | | 302 | |
Massachusetts Educational Financing Authority, Senior Issue M, Series B, Rev., AMT, 3.63%, 07/01/2038 | | | 1,030 | | | | 946 | |
Massachusetts Health & Educational Facilities Authority, Mass Institute Technology, Rev., 5.50%, 07/01/2032 | | | 2,000 | | | | 2,488 | |
Massachusetts Health & Educational Facilities Authority, Massachusetts Institute Technology, Series J2, Rev., VRDO, 3.75%, 07/07/2023 (z) | | | 4,015 | | | | 4,015 | |
Massachusetts Housing Finance Agency, Social Bond, | | | | | | | | |
Series 220, Rev., GNMA/FNMA/FHLMC, 3.00%, 12/01/2050 | | | 3,120 | | | | 3,008 | |
Series 220, Rev., GNMA/FNMA/FHLMC, 5.00%, 12/01/2023 | | | 500 | | | | 503 | |
Massachusetts Housing Finance Agency, Social Bonds, | | | | | | | | |
Series 223, Rev., GNMA/FNMA/FHLMC, 3.00%, 06/01/2047 | | | 960 | | | | 924 | |
Series 227, Rev., GNMA/FNMA/FHLMC COLL, 4.70%, 12/01/2043 | | | 2,250 | | | | 2,279 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Massachusetts — continued | | | | | | | | |
Massachusetts Housing Finance Agency, Sustainability Bond, | | | | | | | | |
Series A2, Rev., HUD, 0.30%, 12/01/2023 | | | 105 | | | | 103 | |
Series A2, Rev., HUD, 0.40%, 06/01/2024 | | | 140 | | | | 136 | |
Series B2, Rev., 0.75%, 06/01/2025 | | | 115 | | | | 108 | |
Series C1, Rev., 2.65%, 12/01/2034 | | | 1,000 | | | | 879 | |
Series D3, Rev., FHA HUD, 3.35%, 06/01/2027 | | | 650 | | | | 647 | |
Massachusetts Port Authority, | | | | | | | | |
Series A, Rev., 5.00%, 07/01/2037 | | | 1,000 | | | | 1,122 | |
Series E, Rev., AMT, 5.00%, 07/01/2031 | | | 1,495 | | | | 1,662 | |
Series E, Rev., AMT, 5.00%, 07/01/2032 | | | 2,000 | | | | 2,221 | |
Massachusetts Port Authority, Green Bonds, | | | | | | | | |
Series A, Rev., AMT, 5.00%, 07/01/2031 | | | 925 | | | | 1,029 | |
Series A, Rev., AMT, 5.00%, 07/01/2038 | | | 2,580 | | | | 2,788 | |
Series A, Rev., AMT, 5.00%, 07/01/2040 | | | 3,500 | | | | 3,749 | |
Massachusetts School Building Authority, Sales Tax, Series A, Rev., 5.00%, 11/15/2027 | | | 1,105 | | | | 1,154 | |
Massachusetts School Building Authority, Subordinated, Series A, Rev., 5.00%, 02/15/2036 (p) | | | 7,190 | | | | 7,274 | |
Massachusetts Water Resources Authority, Green Bond, Series B, Rev., 5.00%, 08/01/2026 | | | 1,000 | | | | 1,064 | |
University of Massachusetts Building Authority, Series 2021, Rev., 5.00%, 11/01/2026 | | | 5,000 | | | | 5,357 | |
| | | | | | | | |
| | |
| | | | | | | 77,807 | |
| | | | | | | | |
Michigan — 1.5% | | | | | | | | |
City of Detroit Sewage Disposal System Revenue, Floating Rate Notes Refunding System Libor D, Rev., AGM, (ICE LIBOR USD 3 Month * 0.67 + 0.60%), 4.07%, 07/01/2032 (aa) | | | 1,000 | | | | 947 | |
City of Detroit, Social Bonds, | | | | | | | | |
Series A, GO, 4.00%, 04/01/2041 | | | 500 | | | | 442 | |
Series A, GO, 5.00%, 04/01/2039 | | | 115 | | | | 116 | |
Series A, GO, 5.00%, 04/01/2046 | | | 35 | | | | 34 | |
Series A, GO, 5.00%, 04/01/2050 | | | 30 | | | | 28 | |
Detroit Downtown Development Authority, Catalyst Development Project, | | | | | | | | |
Series A, Tax Allocation, AGM, 5.00%, 07/01/2043 | | | 1,000 | | | | 1,005 | |
Series A, Tax Allocation, AGM, 5.00%, 07/01/2048 | | | 2,500 | | | | 2,512 | |
Gerald R. Ford International Airport Authority, | | | | | | | | |
Rev., CNTY GTD, AMT, 5.00%, 01/01/2026 | | | 225 | | | | 234 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 180 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Michigan — continued | | | | | | | | |
Rev., CNTY GTD, AMT, 5.00%, 01/01/2027 | | | 350 | | | | 370 | |
Rev., CNTY GTD, AMT, 5.00%, 01/01/2028 | | | 275 | | | | 295 | |
Rev., CNTY GTD, AMT, 5.00%, 01/01/2029 | | | 600 | | | | 651 | |
Rev., CNTY GTD, AMT, 5.00%, 01/01/2034 | | | 1,140 | | | | 1,279 | |
Rev., CNTY GTD, AMT, 5.00%, 01/01/2038 | | | 1,300 | | | | 1,405 | |
Rev., CNTY GTD, AMT, 5.00%, 01/01/2039 | | | 1,000 | | | | 1,076 | |
Rev., CNTY GTD, AMT, 5.00%, 01/01/2040 | | | 1,125 | | | | 1,205 | |
Great Lakes Water Authority Sewage Disposal System Revenue, Senior Lien, Series B, Rev., 5.00%, 07/01/2028 | | | 140 | | | | 154 | |
Great Lakes Water Authority Water Supply System Revenue, Taxable Senior Lien, Series C, Rev., 2.19%, 07/01/2027 | | | 3,000 | | | | 2,706 | |
Great Lakes Water Authority, Sewage Disposal System, Second Lien, Series C, Rev., 5.00%, 07/01/2032 | | | 75 | | | | 79 | |
Great Lakes Water Authority, Sewage Disposal System, Senior Lien, Series B, Rev., 5.00%, 07/01/2030 | | | 3,200 | | | | 3,377 | |
Lansing Board of Water & Light, Series A, Rev., 5.00%, 07/01/2048 | | | 1,675 | | | | 1,771 | |
Michigan Finance Authority, | | | | | | | | |
Rev., 5.00%, 11/15/2023 (p) | | | 1,375 | | | | 1,384 | |
Series A, Rev., 4.00%, 12/01/2049 | | | 1,000 | | | | 943 | |
Michigan Finance Authority, Aquinas College Project, | | | | | | | | |
Rev., 5.00%, 05/01/2036 | | | 300 | | | | 270 | |
Rev., 5.00%, 05/01/2046 | | | 2,000 | | | | 1,672 | |
Michigan Finance Authority, Beaumont Spectrum, | | | | | | | | |
Rev., 4.00%, 04/15/2042 | | | 2,500 | | | | 2,398 | |
Rev., 5.00%, 04/15/2030 | | | 3,000 | | | | 3,358 | |
Michigan Finance Authority, Che Trinity Health, Rev., 4.00%, 12/01/2040 (p) | | | 95 | | | | 102 | |
Michigan Finance Authority, Henry Ford Health System, Series A, Rev., 5.00%, 11/15/2048 | | | 5,000 | | | | 5,151 | |
Michigan Finance Authority, Higher Educational Facilities Authority, | | | | | | | | |
Rev., 5.00%, 09/01/2032 | | | 690 | | | | 760 | |
Rev., 5.00%, 09/01/2033 | | | 800 | | | | 875 | |
Rev., 5.00%, 09/01/2034 | | | 570 | | | | 621 | |
Rev., 5.00%, 09/01/2035 | | | 1,200 | | | | 1,298 | |
Michigan Finance Authority, Multi Modal McLaren Health Care, | | | | | | | | |
Rev., 4.00%, 02/15/2044 | | | 9,625 | | | | 9,236 | |
Rev., 4.00%, 02/15/2050 | | | 2,500 | | | | 2,324 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Michigan — continued | | | | | | | | |
Michigan Finance Authority, Senior Lien Great Lakes, Rev., 5.00%, 07/01/2033 | | | 5,000 | | | | 5,066 | |
Michigan Finance Authority, Senior Turbo, Series A2, Rev., 5.00%, 06/01/2040 | | | 1,655 | | | | 1,724 | |
Michigan Finance Authority, Sparrow Obligated Group, Rev., 5.00%, 11/15/2045 | | | 2,250 | | | | 2,256 | |
Michigan Finance Authority, Sparrow Obligation Group, Rev., 5.00%, 11/15/2045 (p) | | | 2,750 | | | | 2,846 | |
Michigan Finance Authority, Trinity Health Credit Group, Rev., 5.00%, 12/01/2036 | | | 1,000 | | | | 1,084 | |
Michigan State Building Authority, | | | | | | | | |
Series I, Rev., 5.00%, 10/15/2027 | | | 2,500 | | | | 2,719 | |
Series I, Rev., 5.00%, 10/15/2029 | | | 1,750 | | | | 1,977 | |
Michigan State Hospital Finance Authority, Hospital Trinity Health Credit, Series C, Rev., 5.00%, 12/01/2027 | | | 100 | | | | 108 | |
Michigan State Housing Development Authority, | | | | | | | | |
Series A, Rev., 0.55%, 04/01/2025 | | | 375 | | | | 351 | |
Series C, Rev., 3.00%, 06/01/2051 | | | 2,220 | | | | 2,137 | |
Michigan State Housing Development Authority, Carpenter Place Apartments, Rev., HUD, 1.25%, 12/01/2024 (z) | | | 495 | | | | 490 | |
Michigan State Housing Development Authority, Social Bond, | | | | | | | | |
Series A, Rev., 3.00%, 06/01/2052 | | | 3,110 | | | | 2,987 | |
Series A, Rev., 5.00%, 06/01/2053 | | | 2,350 | | | | 2,428 | |
Michigan State Housing Development Authority, Social Bonds, | | | | | | | | |
Series A, Rev., 5.50%, 12/01/2053 | | | 1,305 | | | | 1,397 | |
Series D, Rev., 5.50%, 06/01/2053 | | | 345 | | | | 364 | |
Michigan State University, | | | | | | | | |
Series A, Rev., 5.00%, 08/15/2029 | | | 2,000 | | | | 2,250 | |
Series A, Rev., 5.00%, 08/15/2038 | | | 250 | | | | 250 | |
Series C, Rev., 4.00%, 02/15/2039 | | | 2,000 | | | | 2,013 | |
Michigan Strategic Fund, Consumers Energy Co. Project, Rev., AMT, 0.88%, 04/01/2035 (z) | | | 1,620 | | | | 1,432 | |
Michigan Strategic Fund, Detroit Edison Co. Exempt, Rev., 1.35%, 08/01/2029 | | | 3,450 | | | | 3,003 | |
Michigan Strategic Fund, Detroit Edison Company, Rev., 1.45%, 09/01/2030 | | | 810 | | | | 692 | |
Michigan Strategic Fund, Green Bond Recycling, Rev., AMT, 4.00%, 10/01/2061 (z) | | | 1,685 | | | | 1,676 | |
State of Michigan, Environmental Program Bonds, Series A, GO, 5.00%, 05/15/2030 | | | 400 | | | | 461 | |
State of Michigan, Gans Garvee, Rev., GAN, 5.00%, 03/15/2027 | | | 2,000 | | | | 2,156 | |
Troy School District, GO, Q-SBLF, 5.00%, 05/01/2039 | | | 1,025 | | | | 1,154 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 181 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Michigan — continued | | | | | | | | |
Wayne County Airport Authority, Series F, Rev., AMT, 5.00%, 12/01/2034 | | | 1,470 | | | | 1,506 | |
Wayne County Airport Authority, Detroit Metropolitan Wayne County Airport, Series B, Rev., BAM, 5.00%, 12/01/2039 | | | 3,000 | | | | 3,037 | |
| | | | | | | | |
| | |
| | | | | | | 97,642 | |
| | | | | | | | |
Minnesota — 0.9% | | | | | | | | |
City of Minneapolis, Allina Health System, | | | | | | | | |
Series A, Rev., 5.00%, 11/15/2052 (z) | | | 1,000 | | | | 1,078 | |
Series B, Rev., 5.00%, 11/15/2053 (z) | | | 2,650 | | | | 2,925 | |
County of Hennepin, Series C, GO, 5.00%, 12/15/2032 | | | 1,500 | | | | 1,719 | |
Housing & Redevelopment Authority of The City of St. Paul Minnesota, Fairview Health Services, Series A, Rev., 5.00%, 11/15/2047 | | | 9,000 | | | | 9,132 | |
Housing & Redevelopment Authority of The City of St. Paul Minnesota, Hope Community Academy Project, Series A, Rev., 5.00%, 12/01/2043 | | | 1,000 | | | | 870 | |
Minneapolis St. Paul Metropolitan Airports Commission, Subordinate, | | | | | | | | |
Series B, Rev., AMT, 5.00%, 01/01/2034 | | | 1,345 | | | | 1,487 | |
Series B, Rev., AMT, 5.25%, 01/01/2047 | | | 1,845 | | | | 1,964 | |
Minnesota Housing Finance Agency, | | | | | | | | |
Series B, Rev., GNMA/FNMA/FHLMC, 2.63%, 01/01/2040 | | | 1,920 | | | | 1,553 | |
Series B, Rev., GNMA/FNMA/FHLMC, 3.00%, 07/01/2051 | | | 730 | | | | 704 | |
Series C, Rev., 5.00%, 08/01/2032 | | | 2,365 | | | | 2,709 | |
Series D, Rev., GNMA/FNMA/FHLMC COLL, 3.00%, 01/01/2052 | | | 1,690 | | | | 1,626 | |
Series G, Rev., GNMA/FNMA/FHLMC, 3.00%, 01/01/2051 | | | 3,160 | | | | 3,053 | |
Series I, Rev., GNMA/FNMA/FHLMC, 2.80%, 12/01/2047 | | | 333 | | | | 296 | |
Series I, Rev., 3.00%, 01/01/2051 | | | 1,695 | | | | 1,636 | |
Minnesota Housing Finance Agency, Social Bond, Series H, Rev., GNMA/FNMA/FHLMC, 3.00%, 07/01/2052 | | | 95 | | | | 91 | |
Minnesota Housing Finance Agency, Social Bonds, | | | | | | | | |
Series A, Rev., GNMA/FNMA/FHLMC, 3.00%, 07/01/2052 | | | 1,120 | | | | 1,074 | |
Series F, Rev., GNMA/FNMA/FHLMC, 3.00%, 07/01/2052 | | | 245 | | | | 236 | |
Series F, Rev., GNMA/FNMA/FHLMC COLL, 5.75%, 07/01/2053 (w) | | | 405 | | | | 434 | |
Minnesota Housing Finance Agency, State Appropriation Bond Housing, Rev., 5.00%, 08/01/2029 | | | 1,245 | | | | 1,389 | |
Minnesota Municipal Gas Agency, Series A, Rev., LIQ: Royal Bank of Canada, 4.00%, 12/01/2052 (z) | | | 4,370 | | | | 4,367 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Minnesota — continued | | | | | | | | |
Minnesota Office of Higher Education, Supplemental Student Loan, Rev., AMT, 4.00%, 11/01/2037 | | | 665 | | | | 654 | |
Shakopee Independent School District No. 720, Series D, GO, 5.00%, 02/01/2024 | | | 3,685 | | | | 3,721 | |
St. Paul Port Authority, Solid Gerdau St. Paul Steel Mill Project, Rev., AMT, 4.50%, 10/01/2037 (e) | | | 4,500 | | | | 4,326 | |
State of Minnesota, | | | | | | | | |
Series A, GO, 4.00%, 09/01/2037 | | | 690 | | | | 720 | |
Series A, GO, 5.00%, 08/01/2026 | | | 250 | | | | 266 | |
Series A, GO, 5.00%, 10/01/2029 | | | 45 | | | | 49 | |
Series A, GO, 5.00%, 10/01/2032 | | | 1,000 | | | | 1,095 | |
Series A, GO, 5.00%, 08/01/2033 | | | 2,000 | | | | 2,111 | |
Series A, GO, 5.00%, 08/01/2034 | | | 2,000 | | | | 2,212 | |
Series E, GO, 3.00%, 08/01/2026 | | | 710 | | | | 698 | |
| | | | | | | | |
| | |
| | | | | | | 54,195 | |
| | | | | | | | |
Mississippi — 0.1% | | | | | | | | |
Mississippi Business Finance Corp., System Energy Resources, Inc. Project, Rev., 2.38%, 06/01/2044 | | | 175 | | | | 110 | |
Mississippi Development Bank, Hinds County School District Project, Rev., 5.00%, 03/01/2048 | | | 1,360 | | | | 1,413 | |
Mississippi Home Corp., Social Bond, Series C, Rev., GNMA/FNMA/FHLMC COLL, 5.00%, 12/01/2052 | | | 180 | | | | 186 | |
Mississippi Home Corp., Southwest Village Apartments Project, Rev., HUD, 2.00%, 02/01/2025 (z) | | | 2,970 | | | | 2,941 | |
Mississippi Hospital Equipment & Facilities Authority, Baptist Memorial Health Care, Rev., 5.00%, 09/01/2044 (z) | | | 250 | | | | 258 | |
| | | | | | | | |
| | |
| | | | | | | 4,908 | |
| | | | | | | | |
Missouri — 0.7% | | | | | | | | |
Cape Girardeau County Industrial Development Authority, Southeasthealth, Rev., 4.00%, 03/01/2041 | | | 870 | | | | 745 | |
City of St Louis Airport Revenue, St Louis Lambert International, Rev., 5.00%, 07/01/2048 | | | 1,000 | | | | 1,086 | |
City of St. Charles, Series B, COP, 4.00%, 02/01/2029 | | | 515 | | | | 539 | |
Curators of the University of Missouri (The), | | | | | | | | |
Series A, Rev., 4.00%, 11/01/2034 | | | 2,500 | | | | 2,521 | |
Series A, Rev., 4.00%, 11/01/2035 | | | 1,000 | | | | 1,006 | |
Health & Educational Facilities Authority of the State of Missouri, Series C, Rev., 5.00%, 05/01/2052 (z) | | | 2,695 | | | | 2,916 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 182 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Missouri — continued | | | | | | | | |
Health & Educational Facilities Authority of the State of Missouri, Capital Region Medical Center, Rev., 5.00%, 11/01/2035 | | | 3,400 | | | | 3,195 | |
Health & Educational Facilities Authority of the State of Missouri, Luke’s Health System, Rev., 4.00%, 11/15/2038 | | | 2,000 | | | | 1,994 | |
Health & Educational Facilities Authority of the State of Missouri, Lutheran Senior Service Projects, Series A, Rev., 5.00%, 02/01/2029 | | | 1,410 | | | | 1,416 | |
Health & Educational Facilities Authority of the State of Missouri, Lutheran Senior Services, Rev., 4.00%, 02/01/2034 | | | 500 | | | | 445 | |
Kansas City Industrial Development Authority, Rev., AMT, 5.00%, 03/01/2032 | | | 900 | | | | 976 | |
Kansas City Industrial Development Authority, Kansas City International Airport, | | | | | | | | |
Rev., AMT, 4.00%, 03/01/2036 | | | 1,250 | | | | 1,242 | |
Rev., AMT, 4.00%, 03/01/2040 | | | 2,500 | | | | 2,398 | |
Rev., AMT, 5.00%, 03/01/2029 | | | 3,050 | | | | 3,255 | |
Rev., AMT, 5.00%, 03/01/2038 | | | 2,480 | | | | 2,594 | |
Kansas City Industrial Development Authority, Kansas City International Airport,, Rev., AMT, 5.00%, 03/01/2044 | | | 5,000 | | | | 5,152 | |
Missouri Development Finance Board, Procter & Gamble Paper Products, Rev., AMT, 5.20%, 03/15/2029 | | | 370 | | | | 411 | |
Missouri Housing Development Commission, First Place Homeownership Loan, | | | | | | | | |
Rev., GNMA/FNMA/FHLMC COLL, 3.00%, 05/01/2052 | | | 470 | | | | 452 | |
Rev., GNMA/FNMA/FHLMC, 3.00%, 05/01/2052 | | | 3,015 | | | | 2,897 | |
Rev., GNMA/FNMA/FHLMC, 3.25%, 11/01/2052 | | | 430 | | | | 416 | |
Series D, Rev., GNMA/FNMA/FHLMC, 3.25%, 05/01/2051 | | | 5 | | | | 5 | |
Missouri State Environmental Improvement & Energy Resources Authority, Union Electric Company Project, Series AR, Rev., 2.90%, 09/01/2033 | | | 2,000 | | | | 1,886 | |
Orchard Farm R-V School District, COP, 4.00%, 04/01/2028 (p) | | | 410 | | | | 431 | |
Plaza at Noah’s Ark Community Improvement District, Rev., 3.00%, 05/01/2030 | | | 575 | | | | 522 | |
St. Charles County Industrial Development Authority, Hidden Valley Estates, Rev., HUD, 0.27%, 08/01/2025 (z) | | | 1,290 | | | | 1,276 | |
St. Louis Municipal Finance Corp., Convention Center Expansion, Rev., AGM, 5.00%, 10/01/2045 | | | 3,215 | | | | 3,376 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Missouri — continued | | | | | | | | |
State of Missouri, Health & Educational Facilities, Saint Luke’s Health System, Inc., Rev., 5.00%, 11/15/2023 | | | 290 | | | | 292 | |
| | | | | | | | |
| | |
| | | | | | | 43,444 | |
| | | | | | | | |
Montana — 0.1% | | | | | | | | |
City of Forsyth, Northwestern Corp. Colstrip, Rev., 3.88%, 07/01/2028 | | | 1,100 | | | | 1,104 | |
Montana Board of Housing, | | | | | | | | |
Rev., 3.00%, 12/01/2050 | | | 2,880 | | | | 2,780 | |
Series A, Rev., 3.00%, 06/01/2052 | | | 350 | | | | 335 | |
Series B2, Rev., AMT, 3.50%, 12/01/2042 | | | 265 | | | | 261 | |
Series B, Rev., 3.00%, 12/01/2051 | | | 1,180 | | | | 1,135 | |
Montana Facility Finance Authority, Rev., 5.00%, 02/15/2033 | | | 1,000 | | | | 1,039 | |
Montana State Board of Regents, Series G, Rev., 5.00%, 11/15/2031 | | | 250 | | | | 288 | |
| | | | | | | | |
| | |
| | | | | | | 6,942 | |
| | | | | | | | |
Nebraska — 0.3% | | | | | | | | |
Central Plains Energy Project, | | | | | | | | |
Rev., LIQ: Royal Bank of Canada, 4.00%, 12/01/2049 (z) | | | 4,000 | | | | 4,001 | |
Series 1, Rev., 5.00%, 05/01/2053 (z) | | | 3,915 | | | | 4,059 | |
County of Douglas, Creighton University Project, Rev., (SIFMA Municipal Swap Index + 0.53%), 4.54%, 07/01/2035 (aa) | | | 2,230 | | | | 2,195 | |
County of Washington, Cargill, Inc. Project, Rev., AMT, 0.90%, 09/01/2030 (z) | | | 350 | | | | 331 | |
Douglas County Hospital Authority No. 2, Health Facilities Children’s Hospital, Rev., 5.00%, 11/15/2047 | | | 3,000 | | | | 3,058 | |
Douglas County Hospital Authority No. 2, Madonna Rehabilitation Hospital, Rev., 4.00%, 05/15/2033 | | | 2,100 | | | | 2,004 | |
Douglas County, Hospital Authority No. 2, Children’s Hospital Obligated Group, Rev., 5.00%, 11/15/2053 (z) | | | 2,190 | | | | 2,246 | |
Nebraska Educational Health Cultural & Social Services Finance Authority, Immanuel Obligated Group, Rev., 4.00%, 01/01/2037 | | | 1,000 | | | | 1,006 | |
Nebraska Public Power District, Series A, Rev., 5.00%, 07/01/2028 | | | 300 | | | | 326 | |
University of Nebraska, University Nebraska Lincoln Student, Rev., 3.00%, 07/01/2035 (p) | | | 1,030 | | | | 1,030 | |
| | | | | | | | |
| | |
| | | | | | | 20,256 | |
| | | | | | | | |
Nevada — 1.0% | | | | | | | | |
City of Carson City, Carson Tahoe Regional Medical Center, Rev., 5.00%, 09/01/2047 | | | 1,000 | | | | 1,006 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 183 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Nevada — continued | | | | | | | | |
City of Las Vegas Special Improvement District No. 612 Skye Hills, Special Assessment, 3.50%, 06/01/2035 | | | 205 | | | | 171 | |
City of North Las Vegas, GO, BAM,
5.00%, 06/01/2027 | | | 2,000 | | | | 2,153 | |
Clark County School District, | | | | | | | | |
Series B, GO, 5.00%, 06/15/2030 | | | 1,445 | | | | 1,635 | |
Series C, GO, 5.00%, 06/15/2026 | | | 1,250 | | | | 1,315 | |
Clark County School District, Building, | | | | | | | | |
Series A, GO, 5.00%, 06/15/2029 | | | 500 | | | | 547 | |
Series B, GO, AGM-CR, 5.00%, 06/15/2033 | | | 3,000 | | | | 3,289 | |
County of Clark Department of Aviation, Airport Systems, Subordinate, Rev., 5.00%, 07/01/2033 | | | 1,010 | | | | 1,166 | |
County of Clark Department of Aviation, Jet Aviation Fuel Tax, Rev., AMT, 5.00%, 07/01/2025 | | | 1,625 | | | | 1,663 | |
County of Clark Department of Aviation, Subordinate, Series B, Rev., AMT, 5.00%, 07/01/2027 | | | 6,000 | | | | 6,316 | |
County of Clark Department of Aviation, System Senior, Series A, Rev., 5.00%, 07/01/2040 | | | 2,000 | | | | 2,043 | |
County of Clark Passenger Facility Charge Revenue, McCarran International, | | | | | | | | |
Rev., 5.00%, 07/01/2029 | | | 5,000 | | | | 5,602 | |
Rev., 5.00%, 07/01/2031 | | | 1,950 | | | | 2,166 | |
Rev., 5.00%, 07/01/2032 | | | 2,385 | | | | 2,646 | |
County of Clark, Detention Center, GO, 4.00%, 06/01/2034 | | | 3,335 | | | | 3,465 | |
County of Clark, Passenger Facility Charge Revenue, Las Vegas McCarran International Airport, Rev., 5.00%, 07/01/2030 | | | 1,425 | | | | 1,587 | |
County of Clark, Southern CA Edison Company, Rev., 2.10%, 06/01/2031 | | | 1,000 | | | | 835 | |
County of Clark, Streets and Highway Project, Rev., 4.00%, 07/01/2043 | | | 4,465 | | | | 4,422 | |
Las Vegas Convention & Visitors Authority, | | | | | | | | |
Series B, Rev., 5.00%, 07/01/2029 | | | 1,345 | | | | 1,487 | |
Series B, Rev., 5.00%, 07/01/2034 | | | 1,275 | | | | 1,461 | |
Series B, Rev., 5.00%, 07/01/2043 | | | 5,150 | | | | 5,366 | |
Las Vegas Valley Water District, | | | | | | | | |
Series A, GO, 5.00%, 06/01/2026 | | | 1,500 | | | | 1,587 | |
Series C, GO, 5.00%, 06/01/2032 | | | 1,560 | | | | 1,838 | |
Series D, GO, 5.00%, 06/01/2027 | | | 2,025 | | | | 2,188 | |
Las Vegas Valley Water District, Water Improvement, Series A, GO, 5.00%, 06/01/2046 | | | 5,000 | | | | 5,153 | |
Las Vegas Valley, Water District, Series B, GO, 5.00%, 12/01/2023 | | | 70 | | | | 71 | |
State of Nevada Department of Business & Industry, Brightline West Passenger Rail, Rev., AMT, 3.70%, 01/01/2050 (e) (z) | | | 3,415 | | | | 3,401 | |
| | | | | | | | |
| | |
| | | | | | | 64,579 | |
| | | | | | | | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
New Hampshire — 0.2% | | | | | | | | |
New Hampshire Business Finance Authority, Municipal Certificates, Series 1A, Rev., 4.13%, 01/20/2034 | | | 950 | | | | 927 | |
New Hampshire Business Finance Authority, Social Bond, Series 2022-1, Rev., 4.38%, 09/20/2036 | | | 656 | | | | 642 | |
New Hampshire Business Finance Authority, Caritas Oregon Project, Series A, Rev., 4.13%, 08/15/2040 (e) | | | 2,000 | | | | 1,692 | |
New Hampshire Business Finance Authority, Saint Luke’s University Health, Rev., 4.00%, 08/15/2036 | | | 720 | | | | 706 | |
New Hampshire Business Finance Authority, Springpoint Senior Living, | | | | | | | | |
Rev., 4.00%, 01/01/2026 | | | 270 | | | | 266 | |
Rev., 4.00%, 01/01/2027 | | | 250 | | | | 244 | |
Rev., 4.00%, 01/01/2028 | | | 290 | | | | 280 | |
Rev., 4.00%, 01/01/2029 | | | 300 | | | | 287 | |
Rev., 4.00%, 01/01/2030 | | | 280 | | | | 266 | |
Rev., 4.00%, 01/01/2031 | | | 290 | | | | 272 | |
New Hampshire Business Finance Authority, Taxable Virginia Birmingham Care Center, Rev., 3.78%, 01/01/2036 | | | 2,000 | | | | 1,533 | |
New Hampshire Business Finance Authority, University of Nevada, Reno Project, Rev., BAM, 5.25%, 06/01/2051 | | | 1,875 | | | | 2,022 | |
New Hampshire Business Finance Authority, Waste Management, Inc. Project, Rev., AMT, (SIFMA Municipal Swap Index + 0.38%), 4.39%, 10/01/2033 (aa) | | | 4,170 | | | | 4,087 | |
New Hampshire Housing Finance Authority, Social Bonds, Series A, Rev., GNMA/FNMA/FHLMC COLL, 6.00%, 07/01/2053 | | | 435 | | | | 468 | |
| | | | | | | | |
| | |
| | | | | | | 13,692 | |
| | | | | | | | |
New Jersey — 3.0% | | | | | | | | |
Camden County Improvement Authority, Social Bonds, KIPP Cooper Norcross Academy, | | | | | | | | |
Rev., 6.00%, 06/15/2042 | | | 530 | | | | 569 | |
Rev., 6.00%, 06/15/2047 | | | 1,000 | | | | 1,064 | |
City of Bayonne, Qualified General Improvement, GO, BAM,
5.00%, 07/01/2034 (p) | | | 1,000 | | | | 1,061 | |
City of Newark, | | | | | | | | |
Series A, GO, AGM, 5.00%, 10/01/2027 | | | 100 | | | | 107 | |
Series A, GO, AGM, 5.00%, 10/01/2028 | | | 750 | | | | 813 | |
Garden State Preservation Trust, Capital Appreciation, Series B, Rev., AGM, Zero Coupon, 11/01/2026 | | | 1,000 | | | | 895 | |
Gloucester County Improvement Authority, The Rowan University Fossil Park, | | | | | | | | |
Rev., BAM, 4.00%, 07/01/2046 | | | 725 | | | | 697 | |
Rev., BAM, 4.00%, 07/01/2051 | | | 1,000 | | | | 942 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 184 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
New Jersey — continued | | | | | | | | |
Hudson County Improvement Authority, Hudson County Courthouse Project, Rev., 5.00%, 10/01/2028 | | | 150 | | | | 167 | |
New Brunswick Parking Authority, City Guaranteed Parking, Series A, Rev., BAM, 5.00%, 09/01/2026 | | | 1,000 | | | | 1,056 | |
New Jersey Building Authority, Prerefunded Refunding, Series A, Rev., BAM, 5.00%, 06/15/2025 (p) | | | 1,000 | | | | 1,036 | |
New Jersey Economic Development Authority, | | | | | | | | |
Rev., 5.00%, 03/01/2028 | | | 785 | | | | 844 | |
Series A, Rev., 5.00%, 11/01/2027 | | | 2,500 | | | | 2,679 | |
Series AAA, Rev., 5.00%, 06/15/2036 | | | 1,000 | | | | 1,038 | |
Series AAA, Rev., 5.00%, 06/15/2041 (p) | | | 500 | | | | 536 | |
Series AAA, Rev., 5.50%, 06/15/2028 | | | 5,000 | | | | 5,368 | |
Series AAA, Rev., 5.50%, 06/15/2032 (p) | | | 2,000 | | | | 2,175 | |
Series B, Rev., 5.00%, 11/01/2023 | | | 75 | | | | 75 | |
Series DDD, Rev., 5.00%, 06/15/2031 (p) | | | 2,000 | | | | 2,168 | |
Series WW, Rev., 5.00%, 06/15/2034 (p) | | | 1,500 | | | | 1,559 | |
Series WW, Rev., 5.25%, 06/15/2030 (p) | | | 1,000 | | | | 1,044 | |
New Jersey Economic Development Authority, Continental Airlines, Inc. Project, Rev., AMT, 5.13%, 09/15/2023 | | | 710 | | | | 710 | |
New Jersey Economic Development Authority, Higher Education Capital Improvement Fund, Series A, Rev., 5.00%, 09/01/2025 | | | 245 | | | | 249 | |
New Jersey Economic Development Authority, New Jersey American Water Company, Inc., | | | | | | | | |
Rev., AMT, 1.10%, 11/01/2029 (z) | | | 2,610 | | | | 2,236 | |
Series E, Rev., AMT, 0.85%, 12/01/2025 | | | 1,940 | | | | 1,752 | |
New Jersey Economic Development Authority, Port Newark Container, Rev., AMT, 5.00%, 10/01/2037 | | | 1,000 | | | | 1,016 | |
New Jersey Economic Development Authority, Portal North Bridge NJ Transit, | | | | | | | | |
Rev., 5.00%, 11/01/2038 | | | 5,345 | | | | 5,802 | |
Rev., 5.00%, 11/01/2052 | | | 6,190 | | | | 6,502 | |
Rev., 5.25%, 11/01/2041 | | | 6,000 | | | | 6,581 | |
New Jersey Economic Development Authority, School Facilities Construction, | | | | | | | | |
Series EEE, Rev., 5.00%, 06/15/2032 | | | 1,500 | | | | 1,627 | |
Series GGG, Rev., 5.25%, 09/01/2026 (e) | | | 8,000 | | | | 8,454 | |
New Jersey Economic Development Authority, Self Designated Social Bonds, | | | | | | | | |
Series QQQ, Rev., 4.00%, 06/15/2034 | | | 500 | | | | 516 | |
Series QQQ, Rev., 5.00%, 06/15/2026 | | | 555 | | | | 580 | |
Series QQQ, Rev., 5.00%, 06/15/2027 | | | 410 | | | | 436 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
New Jersey — continued | | | | | | | | |
Series QQQ, Rev., 5.00%, 06/15/2028 | | | 400 | | | | 432 | |
New Jersey Economic Development Authority, State House Project, | | | | | | | | |
Series B, Rev., 5.00%, 06/15/2027 | | | 10,690 | | | | 11,378 | |
Series B, Rev., 5.00%, 06/15/2028 | | | 8,635 | | | | 9,331 | |
New Jersey Educational Facilities Authority, Montclair State University, Series D, Rev., 5.00%, 07/01/2028 | | | 2,000 | | | | 2,060 | |
New Jersey Educational Facilities Authority, Princeton University, | | | | | | | | |
Series B, Rev., 5.00%, 07/01/2024 | | | 1,000 | | | | 1,019 | |
Series I, Rev., 5.00%, 07/01/2036 | | | 1,015 | | | | 1,096 | |
New Jersey Educational Facilities Authority, Ramapo College of New Jersey, Series A, Rev., AGM, 5.00%, 07/01/2035 | | | 200 | | | | 228 | |
New Jersey Health Care Facilities Financing Authority, Atlanticare Health System Obligated, Rev., 5.00%, 07/01/2032 | | | 2,070 | | | | 2,334 | |
New Jersey Health Care Facilities Financing Authority, Atlanticare Health System Obligation, Rev., 3.00%, 07/01/2051 | | | 1,715 | | | | 1,242 | |
New Jersey Higher Education Student Assistance Authority, | | | | | | | | |
Series B, Rev., AMT, 5.00%, 12/01/2024 | | | 570 | | | | 578 | |
Series B, Rev., AMT, 5.00%, 12/01/2027 | | | 1,340 | | | | 1,404 | |
Series B, Rev., AMT, 5.00%, 12/01/2028 | | | 1,480 | | | | 1,566 | |
Series B, Rev., AMT, 5.00%, 12/01/2029 | | | 1,440 | | | | 1,541 | |
New Jersey Higher Education Student Assistance Authority, Senior, | | | | | | | | |
Series A, Rev., AMT, 3.50%, 12/01/2039 | | | 115 | | | | 109 | |
Series B, Rev., AMT, 4.00%, 12/01/2041 | | | 250 | | | | 247 | |
Series B, Rev., AMT, 4.00%, 12/01/2044 | | | 2,200 | | | | 2,137 | |
New Jersey Higher Education Student Assistance Authority, Senior Bonds, Series B, Rev., AMT, 5.00%, 12/01/2024 | | | 300 | | | | 304 | |
New Jersey Higher Education Student Assistance Authority, Senior Student Loan, Rev., AMT, 5.00%, 12/01/2023 | | | 215 | | | | 216 | |
New Jersey Higher Education Student Assistance Authority, Subordinated, Series C, Rev., AMT, 4.00%, 12/01/2048 | | | 1,195 | | | | 1,074 | |
New Jersey Housing & Mortgage Finance Agency, Series E, Rev., 3.50%, 04/01/2051 | | | 2,360 | | | | 2,307 | |
New Jersey Housing & Mortgage Finance Agency, Browns Woods Apartments Project, Rev., HUD, 1.25%, 12/01/2024 (z) | | | 850 | | | | 841 | |
New Jersey Housing & Mortgage Finance Agency, Social Bond, Rev., 5.00%, 10/01/2053 | | | 195 | | | | 202 | |
New Jersey Housing & Mortgage Finance Agency, Social Bonds, Series H, Rev., 3.00%, 10/01/2052 | | | 805 | | | | 769 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 185 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
New Jersey — continued | | | | | | | | |
New Jersey Transportation Trust Fund Authority, | | | | | | | | |
Series A, Rev., 4.00%, 06/15/2035 | | | 2,000 | | | | 2,046 | |
Series A, Rev., 5.00%, 12/15/2028 | | | 300 | | | | 328 | |
Series A, Rev., 5.00%, 06/15/2029 | | | 1,550 | | | | 1,706 | |
Series A, Rev., 5.00%, 06/15/2030 | | | 3,000 | | | | 3,346 | |
Series AA, Rev., 4.00%, 06/15/2040 | | | 3,750 | | | | 3,670 | |
Series AA, Rev., 5.00%, 06/15/2029 | | | 1,000 | | | | 1,100 | |
Series AA, Rev., 5.00%, 06/15/2035 | | | 3,000 | | | | 3,342 | |
Series AA, Rev., 5.00%, 06/15/2045 | | | 660 | | | | 698 | |
Series BB, Rev., 5.00%, 06/15/2032 | | | 2,000 | | | | 2,169 | |
New Jersey Transportation Trust Fund Authority, Capital Appreciation, Series A, Rev., BAM, Zero Coupon, 12/15/2038 | | | 1,000 | | | | 523 | |
New Jersey Transportation Trust Fund Authority, Program B, | | | | | | | | |
Rev., 5.00%, 06/15/2037 | | | 2,000 | | | | 2,189 | |
Rev., 5.25%, 06/15/2046 | | | 14,455 | | | | 15,782 | |
New Jersey Transportation Trust Fund Authority, Transportation Program, Series AA, Rev., 5.00%, 06/15/2036 | | | 1,305 | | | | 1,305 | |
New Jersey Transportation Trust Fund Authority, Transportation Program Bonds, Rev., 5.00%, 06/15/2035 | | | 500 | | | | 554 | |
New Jersey Transportation Trust Fund Authority, Transportation System, Series A, Rev., 5.00%, 06/15/2038 | | | 500 | | | | 545 | |
New Jersey Transportation Trust Fund Authority, Transportation System Bond, | | | | | | | | |
Rev., 4.00%, 12/15/2039 | | | 2,000 | | | | 1,970 | |
Rev., 5.00%, 12/15/2028 | | | 1,000 | | | | 1,092 | |
Rev., 5.00%, 12/15/2031 | | | 1,560 | | | | 1,715 | |
New Jersey Turnpike Authority, | | | | | | | | |
Series A, Rev., 4.00%, 01/01/2042 | | | 1,000 | | | | 1,002 | |
Series B, Rev., 4.50%, 01/01/2048 | | | 1,750 | | | | 1,821 | |
Series D, Rev., 5.00%, 01/01/2028 | | | 2,400 | | | | 2,531 | |
Series E, Rev., 5.00%, 01/01/2027 | | | 1,000 | | | | 1,068 | |
Series E, Rev., 5.00%, 01/01/2032 | | | 7,000 | | | | 7,185 | |
Newark Board of Education, Sustainability Bonds, | | | | | | | | |
GO, BAM, 4.00%, 07/15/2034 | | | 400 | | | | 411 | |
GO, BAM, 4.00%, 07/15/2035 | | | 410 | | | | 416 | |
GO, BAM, 4.00%, 07/15/2036 | | | 425 | | | | 426 | |
GO, BAM, 4.00%, 07/15/2037 | | | 430 | | | | 426 | |
North Hudson Sewerage Authority, Senior Lien Lease Certificates, | | | | | | | | |
Rev., AGM, 5.00%, 06/01/2039 | | | 1,100 | | | | 1,257 | |
Rev., AGM, 5.00%, 06/01/2040 | | | 1,100 | | | | 1,249 | |
Rev., AGM, 5.00%, 06/01/2041 | | | 1,000 | | | | 1,140 | |
Rev., AGM, 5.00%, 06/01/2042 | | | 1,000 | | | | 1,147 | |
South Jersey Port Corp., Marine Terminal, | | | | | | | | |
Series B, Rev., AMT, 5.00%, 01/01/2025 | | | 500 | | | | 503 | |
Series B, Rev., AMT, 5.00%, 01/01/2026 | | | 1,015 | | | | 1,036 | |
South Jersey Port Corp., Marine Terminal, Subordinated, Series B, Rev., AMT, 5.00%, 01/01/2037 | | | 1,000 | | | | 1,022 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
New Jersey — continued | | | | | | | | |
South Jersey Port Corp., Subordinate Marine Term, Series B, Rev., AMT, 5.00%, 01/01/2032 | | | 1,290 | | | | 1,345 | |
South Jersey Transportation Authority, | | | | | | | | |
Series A, Rev., AGM, 5.00%, 11/01/2030 | | | 500 | | | | 552 | |
Series A, Rev., AGM, 5.00%, 11/01/2033 | | | 1,215 | | | | 1,338 | |
Series A, Rev., BAM, 5.00%, 11/01/2041 | | | 2,925 | | | | 3,152 | |
South Jersey Transportation Authority, Transportation System, Rev., BAM, 5.25%, 11/01/2052 | | | 3,100 | | | | 3,402 | |
State of New Jersey, Covid-19 Emergency Bonds, General Obligations, | | | | | | | | |
Series A, GO, 4.00%, 06/01/2030 | | | 2,000 | | | | 2,124 | |
Series A, GO, 5.00%, 06/01/2028 | | | 4,245 | | | | 4,654 | |
| | | | | | | | |
| | |
| | | | | | | 188,056 | |
| | | | | | | | |
New Mexico — 0.4% | | | | | | | | |
Albuquerque Municipal School District No. 12, Series A, GO, 5.00%, 08/01/2024 | | | 250 | | | | 254 | |
City of Farmington, Four Corners Project, Rev., 1.80%, 04/01/2029 | | | 3,000 | | | | 2,578 | |
City of Farmington, Pollution Control Revenue, Public Service Company, New Mexico Sanitary, Series E, Rev., 1.15%, 06/01/2040 (z) | | | 1,000 | | | | 970 | |
City of Farmington, Public Service Company, San Juan, Rev., 3.90%, 06/01/2040 (z) | | | 1,000 | | | | 1,003 | |
City of Farmington, San Juan and Four Corners, | | | | | | | | |
Rev., 2.15%, 04/01/2033 | | | 4,890 | | | | 3,901 | |
New Mexico Educational Assistance Foundation, Series 1A, Rev., AMT, 2.05%, 09/01/2051 | | | 930 | | | | 815 | |
New Mexico Finance Authority, Senior Lien Public Project, Series C, Rev., 4.00%, 06/01/2028 | | | 1,070 | | | | 1,102 | |
New Mexico Finance Authority, Subordinated Lien, Public Project Revolving Fund, Rev., 5.00%, 06/15/2024 | | | 1,000 | | | | 1,018 | |
New Mexico Hospital Equipment Loan Council, | | | | | | | | |
Rev., 5.00%, 06/01/2030 | | | 1,050 | | | | 1,135 | |
Rev., 5.00%, 06/01/2032 | | | 1,000 | | | | 1,068 | |
New Mexico Hospital Equipment Loan Council, Presbyterian Healthcare, Rev., 4.00%, 08/01/2037 | | | 500 | | | | 494 | |
New Mexico Mortgage Finance Authority, Series A, Rev., GNMA/FNMA/FHLMC, 3.00%, 01/01/2052 | | | 1,240 | | | | 1,193 | |
New Mexico Mortgage Finance Authority, Single Family Mortgage Program, | | | | | | | | |
Rev., GNMA/FNMA/FHLMC, 3.00%, 01/01/2052 | | | 2,150 | | | | 2,065 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 186 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
New Mexico — continued | | | | | | | | |
Series C, Rev., GNMA/FNMA/FHLMC, 4.00%, 01/01/2049 | | | 185 | | | | 183 | |
New Mexico Municipal Energy Acquisition Authority, Series A, Rev., LIQ: Royal Bank of Canada, 5.00%, 11/01/2039 (z) | | | 3,500 | | | | 3,575 | |
Santa Fe Public School District, GO, 5.00%, 08/01/2029 | | | 1,375 | | | | 1,506 | |
Winrock Town Center Tax, Increment Development District No. 1, Senior Lien, Tax Allocation, 4.25%, 05/01/2040 (e) | | | 1,750 | | | | 1,470 | |
| | | | | | | | |
| | |
| | | | | | | 24,330 | |
| | | | | | | | |
New York — 11.4% | | | | | | | | |
Albany County, Airport Authority, Series B, Rev., AMT, 5.00%, 12/15/2023 | | | 1,225 | | | | 1,231 | |
Battery Park City Authority, Series B, Rev., 5.00%, 11/01/2036 (w) | | | 2,000 | | | | 2,358 | |
Broome County, Local Development Corp., United Health Services Hospital, | | | | | | | | |
Rev., AGM, 4.00%, 04/01/2039 | | | 2,750 | | | | 2,691 | |
Rev., AGM, 5.00%, 04/01/2026 | | | 500 | | | | 520 | |
Build C Resource Corp., Family Life Academy Charter Project, Rev., 7.25%, 06/01/2055 (e) | | | 250 | | | | 250 | |
Build NYC Resource Corp., Rev., 5.00%, 07/01/2026 | | | 325 | | | | 333 | |
Build NYC Resource Corp., Academic Leadership Charter School, Rev., 4.00%, 06/15/2024 | | | 70 | | | | 70 | |
Build NYC Resource Corp., Family Life Academy Charter, Series A1, Rev., 5.25%, 06/01/2040 (e) | | | 1,220 | | | | 1,027 | |
Build NYC Resource Corp., Friends of Hellenic Classical, Series A, Rev., 4.00%, 12/01/2031 (e) | | | 700 | | | | 632 | |
Build NYC Resource Corp., Grand Concourse Academy Charter School, | | | | | | | | |
Rev., 5.00%, 07/01/2042 | | | 555 | | | | 562 | |
Rev., 5.00%, 07/01/2052 | | | 700 | | | | 697 | |
City of Long Beach, | | | | | | | | |
Series A, GO, 5.00%, 09/01/2025 | | | 1,990 | | | | 2,038 | |
Series A, GO, 5.00%, 09/01/2027 | | | 1,500 | | | | 1,569 | |
City of New York, | | | | | | | | |
Series 1I, GO, 5.00%, 03/01/2026 | | | 360 | | | | 364 | |
Series A1, GO, 4.00%, 08/01/2034 | | | 3,000 | | | | 3,171 | |
Series A1, GO, 4.00%, 08/01/2036 | | | 1,000 | | | | 1,035 | |
Series A1, GO, 5.00%, 08/01/2029 | | | 2,900 | | | | 3,259 | |
Series A1, GO, 5.00%, 09/01/2034 | | | 2,000 | | | | 2,331 | |
Series A1, GO, 5.00%, 08/01/2041 | | | 3,000 | | | | 3,235 | |
Series A1, GO, 5.25%, 09/01/2042 | | | 8,715 | | | | 9,866 | |
Series B1, GO, 5.00%, 08/01/2031 | | | 1,000 | | | | 1,160 | |
Series B1, GO, 5.00%, 10/01/2031 | | | 500 | | | | 581 | |
Series B1, GO, 5.00%, 08/01/2035 | | | 90 | | | | 104 | |
Series B1, GO, 5.00%, 12/01/2037 | | | 1,760 | | | | 1,849 | |
Series C1, GO, 5.00%, 08/01/2031 | | | 500 | | | | 570 | |
Series C, GO, 5.00%, 08/01/2027 | | | 2,000 | | | | 2,164 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
New York — continued | | | | | | | | |
Series D1, GO, 5.00%, 12/01/2024 | | | 150 | | | | 154 | |
Series D1, GO, 5.00%, 12/01/2031 | | | 1,380 | | | | 1,523 | |
Series D1, GO, 5.00%, 12/01/2036 | | | 11,955 | | | | 12,984 | |
Series D1, GO, 5.00%, 12/01/2044 | | | 2,560 | | | | 2,726 | |
Series E, GO, 5.00%, 08/01/2028 | | | 1,625 | | | | 1,793 | |
Series E, GO, 5.00%, 08/01/2033 | | | 2,000 | | | | 2,214 | |
Series F1, GO, 5.00%, 03/01/2043 | | | 1,000 | | | | 1,093 | |
Series J3, GO, AGM, 4.84%, 06/01/2036 (z) | | | 1,000 | | | | 1,000 | |
City of New York, Fiscal 2001, | | | | | | | | |
Series 2, GO, VRDO, 4.21%, 07/07/2023 (z) | | | 120 | | | | 120 | |
Series 3, GO, VRDO, 4.21%, 07/07/2023 (z) | | | 1,590 | | | | 1,590 | |
City of New York, Fiscal 2008, Series J10, GO, 5.00%, 08/01/2026 | | | 505 | | | | 536 | |
City of New York, Fiscal 2015, Series F4, GO, 5.00%, 06/01/2044 (z) | | | 125 | | | | 129 | |
City of New York, Fiscal 2020, Series B1, GO, 5.00%, 10/01/2038 | | | 5,000 | | | | 5,450 | |
City of New York, Fiscal 2021, | | | | | | | | |
Series C, GO, 4.00%, 08/01/2037 | | | 450 | | | | 459 | |
Series C, GO, 5.00%, 08/01/2033 | | | 2,000 | | | | 2,274 | |
Series C, GO, 5.00%, 08/01/2035 | | | 4,740 | | | | 5,327 | |
City of New York, Fiscal 2022, | | | | | | | | |
GO, 5.25%, 05/01/2039 | | | 200 | | | | 228 | |
GO, 5.25%, 05/01/2041 | | | 2,000 | | | | 2,265 | |
GO, 5.50%, 05/01/2044 | | | 1,000 | | | | 1,148 | |
City of New York, Fiscal 2022 Subordinated, Series D3, GO, VRDO, 3.75%, 07/03/2023 (z) | | | 10,000 | | | | 10,000 | |
City of New York, Subordinate, | | | | | | | | |
Series F1, GO, 5.00%, 08/01/2025 | | | 390 | | | | 405 | |
Series F1, GO, 5.00%, 08/01/2027 | | | 1,750 | | | | 1,893 | |
Series F1, GO, 5.00%, 08/01/2028 | | | 350 | | | | 386 | |
City of New York, Subordinated, Series E1, GO, 4.00%, 04/01/2050 | | | 8,500 | | | | 8,276 | |
City of Yonkers, | | | | | | | | |
Series F, GO, BAM, 5.00%, 11/15/2038 | | | 500 | | | | 563 | |
Series F, GO, BAM, 5.00%, 11/15/2039 | | | 1,000 | | | | 1,118 | |
County of Nassau, | | | | | | | | |
Series A, GO, AGM, 4.00%, 04/01/2046 | | | 1,300 | | | | 1,283 | |
Series B, GO, BAM, 5.00%, 10/01/2027 | | | 1,450 | | | | 1,545 | |
Dutchess County, Local Development Corp., Health Quest System, Inc. Project, Series B, Rev., 5.00%, 07/01/2046 | | | 1,250 | | | | 1,256 | |
Hempstead Town Local Development Corp., Evergreen Charter School Project, Series A, Rev., 5.25%, 06/15/2042 | | | 4,000 | | | | 3,986 | |
Hudson Yards Infrastructure Corp., | | | | | | | | |
Series A, Rev., AGM, 4.00%, 02/15/2047 | | | 9,335 | | | | 9,120 | |
Series A, Rev., 5.00%, 02/15/2045 | | | 2,210 | | | | 2,313 | |
Long Island Power Authority, | | | | | | | | |
Rev., 5.00%, 09/01/2042 | | | 2,070 | | | | 2,191 | |
Series A, Rev., 5.00%, 09/01/2037 | | | 1,250 | | | | 1,390 | |
Series B, Rev., 1.50%, 09/01/2051 (z) | | | 5,700 | | | | 5,280 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 187 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
New York — continued | | | | | | | | |
Long Island Power Authority, Notes, Rev., 1.00%, 09/01/2025 | | | 2,680 | | | | 2,494 | |
Metropolitan Transportation Authority, | | | | | | | | |
Rev., AGM, (United States SOFR * 0.67 + 0.55%), 3.94%, 11/01/2032 (aa) | | | 1,770 | | | | 1,764 | |
Rev., AGM, (United States SOFR * 0.67 + 0.80%), 4.19%, 11/01/2032 (aa) | | | 430 | | | | 421 | |
Series A, Rev., 5.25%, 11/15/2030 | | | 3,025 | | | | 3,243 | |
Series A, Rev., 5.25%, 11/15/2034 | | | 8,000 | | | | 8,557 | |
Series B4, Rev., 5.00%, 11/15/2023 | | | 2,000 | | | | 2,013 | |
Series B, Rev., 5.00%, 11/15/2024 | | | 340 | | | | 346 | |
Series B, Rev., 5.00%, 11/15/2025 | | | 540 | | | | 556 | |
Series C1, Rev., 5.00%, 11/15/2056 | | | 3,100 | | | | 3,106 | |
Series D, Rev., 5.00%, 11/15/2027 | | | 1,200 | | | | 1,250 | |
Series D, Rev., 5.00%, 11/15/2038 | | | 600 | | | | 600 | |
Metropolitan Transportation Authority, Build America Bonds, Rev., 6.67%, 11/15/2039 | | | 2,500 | | | | 2,653 | |
Metropolitan Transportation Authority, Green Bond, | | | | | | | | |
Series A1, Rev., AGM, 4.00%, 11/15/2054 | | | 2,000 | | | | 1,921 | |
Series A2, Rev., 5.00%, 11/15/2025 | | | 1,000 | | | | 1,030 | |
Series A2, Rev., 5.00%, 11/15/2027 | | | 1,085 | | | | 1,130 | |
Series B1, Rev., 5.00%, 11/15/2046 | | | 2,000 | | | | 2,076 | |
Series B, Rev., 5.00%, 11/15/2023 | | | 100 | | | | 100 | |
Series C2, Rev., Zero Coupon, 11/15/2032 | | | 500 | | | | 345 | |
Series C, Rev., 5.00%, 11/15/2040 | | | 2,465 | | | | 2,580 | |
Series D1, Rev., 5.00%, 11/15/2043 | | | 2,000 | | | | 2,096 | |
Series D3, Rev., 4.00%, 11/15/2049 | | | 1,000 | | | | 931 | |
Series D, Rev., 5.00%, 11/15/2034 (z) | | | 5,000 | | | | 5,077 | |
Series E, Rev., 4.00%, 11/15/2045 | | | 60 | | | | 57 | |
Series E, Rev., 5.00%, 11/15/2029 | | | 250 | | | | 271 | |
Metropolitan Transportation Authority, Green Bonds, Subordinated, Series B1, Rev., 5.00%, 11/15/2036 | | | 10,000 | | | | 10,546 | |
Metropolitan Transportation Authority, Transportation, | | | | | | | | |
Series A1, Rev., 5.00%, 11/15/2044 | | | 4,500 | | | | 4,500 | |
Series A1, Rev., 5.25%, 11/15/2039 | | | 1,000 | | | | 1,001 | |
Series B, Rev., 5.25%, 11/15/2037 | | | 4,795 | | | | 4,828 | |
Series C1, Rev., 5.00%, 11/15/2026 | | | 305 | | | | 314 | |
Metropolitan Transportation Authority, Transportation Green Bonds, Series B, Rev., 5.00%, 11/15/2026 | | | 1,720 | | | | 1,794 | |
Monroe County Industrial Development Corp., Rochester Regional Health Project, | | | | | | | | |
Rev., 5.00%, 12/01/2027 | | | 1,000 | | | | 1,047 | |
Rev., 5.00%, 12/01/2028 | | | 1,700 | | | | 1,793 | |
Rev., 5.00%, 12/01/2029 | | | 1,900 | | | | 2,014 | |
New York City Health and Hospitals Corp., | | | | | | | | |
Series A, Rev., 5.00%, 02/15/2024 | | | 270 | | | | 273 | |
Series A, Rev., 5.00%, 02/15/2026 | | | 6,055 | | | | 6,358 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
New York — continued | | | | | | | | |
Series A, Rev., 5.00%, 02/15/2027 | | | 5,360 | | | | 5,745 | |
Series A, Rev., 5.00%, 02/15/2029 | | | 2,485 | | | | 2,770 | |
New York City Housing Development Corp., Sustainability Bonds, | | | | | | | | |
Rev., FHA, 0.70%, 11/01/2060 (z) | | | 2,500 | | | | 2,326 | |
Series C2, Rev., 0.70%, 11/01/2060 (z) | | | 1,790 | | | | 1,671 | |
New York City Housing Development Corp., Sustainable Development Bonds, Series D2, Rev., FHA, 0.70%, 05/01/2060 (z) | | | 1,000 | | | | 950 | |
New York City Industrial Development Agency, Queens Baseball Stadium Project, | | | | | | | | |
Rev., AGM, 3.00%, 01/01/2040 | | | 250 | | | | 208 | |
Series A, Rev., AGM, 4.00%, 01/01/2032 | | | 1,000 | | | | 1,047 | |
Series A, Rev., AGM, 5.00%, 01/01/2025 | | | 250 | | | | 256 | |
Series A, Rev., AGM, 5.00%, 01/01/2027 | | | 625 | | | | 660 | |
Series A, Rev., AGM, 5.00%, 01/01/2029 | | | 1,000 | | | | 1,092 | |
Series A, Rev., AGM, 5.00%, 01/01/2030 | | | 1,500 | | | | 1,664 | |
New York City Industrial Development Agency, Yankee Stadium Project Pilot, | | | | | | | | |
Rev., AGM, 4.00%, 03/01/2045 | | | 8,825 | | | | 8,471 | |
Rev., AGM, 5.00%, 03/01/2028 | | | 1,250 | | | | 1,347 | |
Rev., AGM, 5.00%, 03/01/2029 | | | 1,500 | | | | 1,640 | |
Rev., AGM, 5.00%, 03/01/2030 | | | 3,900 | | | | 4,330 | |
New York City Municipal Water Finance Authority, | | | | | | | | |
Series CC1, Rev., 4.00%, 06/15/2052 | | | 5,000 | | | | 4,894 | |
Series DD, Rev., 5.00%, 06/15/2034 | | | 1,920 | | | | 2,302 | |
New York City Municipal Water Finance Authority, Second General Resolution, | | | | | | | | |
Rev., VRDO, 3.75%, 07/03/2023 (z) | | | 8,000 | | | | 8,000 | |
Series CC1, Rev., 5.00%, 06/15/2049 | | | 5,000 | | | | 5,338 | |
Series DD, Rev., 5.00%, 06/15/2036 | | | 665 | | | | 675 | |
New York City Transitional Finance Authority Building Aid Revenue, Fiscal 2015, Subordinate, Series S, Rev., 5.00%, 07/15/2040 | | | 17,800 | | | | 18,306 | |
New York City Transitional Finance Authority Building Aid Revenue, Fiscal Year 2015, Series S1, Rev., 5.00%, 07/15/2035 | | | 585 | | | | 600 | |
New York City Transitional Finance Authority Building Aid Revenue, Subordinate, | | | | | | | | |
Series S1, Rev., 4.00%, 07/15/2034 | | | 1,000 | | | | 1,067 | |
Series S1, Rev., 5.00%, 07/15/2031 | | | 1,590 | | | | 1,858 | |
Series S1, Rev., 5.00%, 07/15/2043 | | | 1,505 | | | | 1,548 | |
New York City Transitional Finance Authority Future Tax Secured, Rev., 5.00%, 08/01/2029 | | | 3,000 | | | | 3,375 | |
New York City Transitional Finance Authority Future Tax Secured Revenue, | | | | | | | | |
Rev., 5.00%, 11/01/2028 | | | 600 | | | | 665 | |
Series A1, Rev., 5.00%, 11/01/2031 | | | 1,725 | | | | 2,011 | |
Series E1, Rev., 3.00%, 02/01/2028 | | | 730 | | | | 732 | |
Series F1, Rev., 5.00%, 02/01/2039 | | | 3,000 | | | | 3,353 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 188 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
New York — continued | | | | | | | | |
New York City Transitional Finance Authority Future Tax Secured Revenue, Future Tax Secured, Rev., 4.00%, 11/01/2035 | | | 7,000 | | | | 7,320 | |
New York City Transitional Finance Authority Future Tax Secured Revenue, Future Tax Secured Subordinate, Series B1, Rev., 5.00%, 08/01/2038 | | | 1,000 | | | | 1,042 | |
New York City Transitional Finance Authority Future Tax Secured Revenue, Future Tax Subordinated, Series A3, Rev., 4.00%, 08/01/2042 | | | 2,500 | | | | 2,474 | |
New York City Transitional Finance Authority Future Tax Secured Revenue, Subordinate, | | | | | | | | |
Rev., 4.00%, 05/01/2038 | | | 2,000 | | | | 2,037 | |
Rev., 5.00%, 11/01/2025 | | | 255 | | | | 266 | |
Series DS, Rev., 4.00%, 11/01/2038 | | | 4,000 | | | | 4,075 | |
Series E1, Rev., 4.00%, 02/01/2046 | | | 2,000 | | | | 1,968 | |
New York City Transitional Finance Authority Future Tax Secured Revenue, Subordinate, Future Tax Secured, Rev., 3.75%, 11/01/2025 | | | 8,000 | | | | 7,748 | |
New York City Transitional Finance Authority Future Tax Secured Revenue, Subordinated, | | | | | | | | |
Rev., 5.00%, 11/01/2026 | | | 1,000 | | | | 1,067 | |
Rev., 5.00%, 05/01/2031 | | | 1,000 | | | | 1,150 | |
Rev., 5.25%, 08/01/2042 | | | 3,000 | | | | 3,388 | |
Series A3, Rev., 4.00%, 05/01/2042 | | | 2,000 | | | | 1,980 | |
Series A3, Rev., 5.00%, 08/01/2040 | | | 1,720 | | | | 1,819 | |
New York City Transitional Finance Authority Future Tax Secured Revenue, Taxable Subordinate, Series F2, Rev., 2.85%, 05/01/2025 | | | 6,600 | | | | 6,317 | |
New York City Trust for Cultural Resources, Refunding Lincoln Center, Series A, Rev., 5.00%, 12/01/2032 | | | 500 | | | | 564 | |
New York City Water & Sewer System, | | | | | | | | |
Series AA2, Rev., 5.00%, 06/15/2029 | | | 1,350 | | | | 1,529 | |
Series BB1, Rev., 5.00%, 06/15/2049 | | | 500 | | | | 534 | |
Series FF, Rev., 5.00%, 06/15/2041 | | | 2,000 | | | | 2,188 | |
Series GG1, Rev., 5.00%, 06/15/2030 | | | 1,000 | | | | 1,155 | |
Series GG, Rev., 5.00%, 06/15/2039 | | | 2,660 | | | | 2,735 | |
New York City Water & Sewer System, Second General Resolution, | | | | | | | | |
Rev., 5.00%, 06/15/2026 | | | 1,005 | | | | 1,067 | |
Rev., 5.00%, 06/15/2029 | | | 535 | | | | 606 | |
Series CC1, Rev., 5.00%, 06/15/2048 | | | 2,730 | | | | 2,850 | |
Series CC1, Rev., 5.25%, 06/15/2037 | | | 2,345 | | | | 2,490 | |
Series DD1, Rev., 5.00%, 06/15/2048 | | | 3,115 | | | | 3,272 | |
Series DD2, Rev., 5.00%, 06/15/2040 | | | 2,000 | | | | 2,130 | |
Series DD, Rev., 5.00%, 06/15/2047 | | | 6,680 | | | | 6,943 | |
New York City Water & Sewer System, Various Second General Resolution, Series BB4, Rev., VRDO, 3.75%, 07/03/2023 (z) | | | 2,000 | | | | 2,000 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
New York — continued | | | | | | | | |
New York City Water & Sewer System, Water and Sewer System Revenue Second General Resolution, Series BB2, Rev., 4.00%, 06/15/2042 | | | 1,180 | | | | 1,179 | |
New York Liberty Development Corp., | | | | | | | | |
Series 1WTC, Rev., 3.00%, 02/15/2042 | | | 1,755 | | | | 1,404 | |
Series 1WTC, Rev., 4.00%, 02/15/2043 | | | 1,000 | | | | 975 | |
New York Liberty Development Corp., 7 World Trade Center Project, Rev., 3.13%, 09/15/2050 | | | 3,000 | | | | 2,332 | |
New York Liberty Development Corp., World Trade Center Project, Series 1, Rev., 5.00%, 11/15/2044 (e) | | | 10,900 | | | | 10,717 | |
New York Power Authority, Green Transmission Project, | | | | | | | | |
Rev., AGM, 4.00%, 11/15/2036 | | | 145 | | | | 151 | |
Rev., AGM, 5.00%, 11/15/2028 | | | 1,000 | | | | 1,122 | |
Rev., AGM, 5.00%, 11/15/2034 | | | 635 | | | | 748 | |
Rev., AGM, 5.00%, 11/15/2035 | | | 1,250 | | | | 1,460 | |
New York State Dormitory Authority, | | | | | | | | |
Series 2015-B, Rev., 5.00%, 03/15/2027 (p) | | | 1,000 | | | | 1,043 | |
Series A, Rev., 4.00%, 03/15/2039 | | | 1,000 | | | | 1,006 | |
Series A, Rev., 5.00%, 03/15/2024 (p) | | | 100 | | | | 102 | |
Series A, Rev., 5.00%, 03/15/2029 | | | 3,000 | | | | 3,355 | |
Series A, Rev., 5.00%, 03/15/2034 | | | 2,000 | | | | 2,121 | |
Series A, Rev., 5.00%, 03/15/2040 | | | 1,000 | | | | 1,078 | |
New York State Dormitory Authority, Bidding Group 1, Series E, Rev., 5.00%, 03/15/2029 | | | 3,000 | | | | 3,355 | |
New York State Dormitory Authority, Cornell University, Series A, Rev., 5.00%, 07/01/2031 | | | 1,000 | | | | 1,178 | |
New York State Dormitory Authority, Exchange Bonds, Series C, Rev., 5.00%, 07/01/2031 | | | 1,227 | | | | 1,427 | |
New York State Dormitory Authority, General Purpose, Series D, Rev., 5.00%, 02/15/2026 | | | 100 | | | | 105 | |
New York State Dormitory Authority, Green Bond, Cornell University, Rev., 5.00%, 07/01/2034 | | | 1,100 | | | | 1,345 | |
New York State Dormitory Authority, Group 1, Series A, Rev., 5.00%, 03/15/2024 (p) | | | 2,000 | | | | 2,027 | |
New York State Dormitory Authority, Group 2, | | | | | | | | |
Series A, Rev., 5.00%, 03/15/2033 | | | 2,000 | | | | 2,286 | |
Series A, Rev., 5.00%, 03/15/2036 | | | 2,015 | | | | 2,212 | |
New York State Dormitory Authority, Group 3, Series A, Rev., 5.00%, 03/15/2037 | | | 5,000 | | | | 5,452 | |
New York State Dormitory Authority, Montefiore Obligated Group, | | | | | | | | |
Series A, Rev., 5.00%, 08/01/2025 | | | 1,000 | | | | 1,002 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 189 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
New York — continued | | | | | | | | |
Series A, Rev., 5.00%, 08/01/2026 | | | 900 | | | | 901 | |
Series A, Rev., 5.00%, 08/01/2031 | | | 1,010 | | | | 1,022 | |
New York State Dormitory Authority, Northwell Health Obligated Group, | | | | | | | | |
Rev., 4.00%, 05/01/2045 | | | 6,500 | | | | 6,180 | |
Rev., 4.25%, 05/01/2052 | | | 4,930 | | | | 4,836 | |
Rev., 5.00%, 05/01/2052 | | | 3,000 | | | | 3,151 | |
New York State Dormitory Authority, Refunded General Purpose, Series B, Rev., 5.00%, 02/15/2026 (p) | | | 2,835 | | | | 2,983 | |
New York State Dormitory Authority, Second Bond Financing Program, | | | | | | | | |
Rev., AGM, 5.00%, 10/01/2029 | | | 3,000 | | | | 3,381 | |
Rev., AGM, 5.00%, 10/01/2030 | | | 4,000 | | | | 4,585 | |
Rev., AGM, 5.00%, 10/01/2036 | | | 260 | | | | 293 | |
New York State Dormitory Authority, St. John’s University, Series A, Rev., 4.00%, 07/01/2048 | | | 1,000 | | | | 947 | |
New York State Dormitory Authority, Unrefunded, Series D, Rev., 5.00%, 02/15/2027 | | | 35 | | | | 38 | |
New York State Dormitory Authority, Unrefunded Group 2, Series E, Rev., 5.00%, 03/15/2028 | | | 1,000 | | | | 1,096 | |
New York State Dormitory Authority, Unrefunded School Districts Revenue, Rev., AGM, 5.00%, 10/01/2025 | | | 1,460 | | | | 1,519 | |
New York State Dormitory Authority, Yeshiva University, Series A, Rev., 5.00%, 07/15/2037 | | | 2,500 | | | | 2,587 | |
New York State Environmental Facilities Corp., Green Bond 2010 Master Finance, Rev., 4.00%, 08/15/2037 | | | 1,760 | | | | 1,830 | |
New York State Environmental Facilities Corp., Green Bond 2010 Master Financing Project, | | | | | | | | |
Rev., 5.00%, 09/15/2028 | | | 575 | | | | 640 | |
Rev., 5.00%, 09/15/2031 | | | 250 | | | | 295 | |
New York State Environmental Facilities Corp., Municipal Water, Subordinated, Rev., 5.00%, 06/15/2042 | | | 2,655 | | | | 2,814 | |
New York State Environmental Facilities Corp., Solid Waste Disposal Revenue, Casella Waste System, Inc. Project, Rev., AMT, 2.75%, 09/01/2050 (e) (z) | | | 250 | | | | 240 | |
New York State Environmental Facilities Corp., State Clean Water & Drinking Water Revenue Revolving, Rev., 5.00%, 06/15/2026 | | | 1,000 | | | | 1,060 | |
New York State Housing Finance Agency, Sustainability Bonds, | | | | | | | | |
Series B, Rev., HUD, SONYMA, 3.60%, 11/01/2062 (z) | | | 1,705 | | | | 1,703 | |
Series I, Rev., SONYMA, 0.70%, 11/01/2056 (z) | | | 2,375 | | | | 2,195 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
New York — continued | | | | | | | | |
Series J, Rev., HUD, SONYMA, 1.10%, 11/01/2061 (z) | | | 4,170 | | | | 3,694 | |
Series K2, Rev., HUD, SONYMA, 1.00%, 11/01/2061 (z) | | | 2,320 | | | | 2,110 | |
Series K, Rev., SONYMA, 0.70%, 11/01/2024 | | | 1,085 | | | | 1,042 | |
Series P, Rev., 1.55%, 11/01/2023 | | | 160 | | | | 159 | |
New York State Thruway Authority, | | | | | | | | |
Series A1, Rev., 4.00%, 03/15/2041 | | | 500 | | | | 498 | |
Series A1, Rev., 5.00%, 03/15/2033 | | | 1,000 | | | | 1,152 | |
Series A, Rev., 5.00%, 03/15/2027 | | | 1,000 | | | | 1,076 | |
Series L, Rev., 5.00%, 01/01/2024 | | | 75 | | | | 76 | |
New York State Thruway Authority, Group 2, Series N, Rev., 4.00%, 01/01/2041 | | | 3,120 | | | | 3,109 | |
New York State Urban Development Corp., Series A, Rev., 4.00%, 03/15/2042 | | | 2,000 | | | | 1,993 | |
New York State Urban Development Corp., Bidding Group 1, | | | | | | | | |
Series A, Rev., 5.00%, 03/15/2027 | | | 4,000 | | | | 4,311 | |
Series A, Rev., 5.00%, 03/15/2034 | | | 1,690 | | | | 1,962 | |
New York State Urban Development Corp., Bidding Group 4, Series A, Rev., 3.00%, 03/15/2050 | | | 4,000 | | | | 3,079 | |
New York State Urban Development Corp., Personal Income Tax, | | | | | | | | |
Rev., 4.00%, 03/15/2037 | | | 2,000 | | | | 2,045 | |
Rev., 4.00%, 03/15/2041 | | | 5,000 | | | | 4,991 | |
Rev., 5.00%, 03/15/2030 | | | 500 | | | | 571 | |
Series C3, Rev., 5.00%, 03/15/2038 | | | 1,860 | | | | 1,983 | |
New York State Urban Development Corp., State Personal Income Tax, | | | | | | | | |
Rev., 4.00%, 03/15/2042 | | | 2,000 | | | | 1,988 | |
Rev., 5.00%, 03/15/2028 | | | 1,250 | | | | 1,373 | |
Rev., 5.00%, 03/15/2034 | | | 3,000 | | | | 3,032 | |
Series A, Rev., 5.00%, 03/15/2024 | | | 1,000 | | | | 1,013 | |
New York State Urban Development Corp., State Personal Income Tax, General Purpose, | | | | | | | | |
Series A, Rev., 5.00%, 03/15/2042 | | | 5,000 | | | | 5,337 | |
Series B, Rev., 3.54%, 03/15/2028 | | | 7,000 | | | | 6,599 | |
New York Transportation Development Corp., American Airlines Inc, | | | | | | | | |
Rev., AMT, 2.25%, 08/01/2026 | | | 770 | | | | 741 | |
Rev., AMT, 5.00%, 08/01/2026 | | | 7,000 | | | | 7,012 | |
New York Transportation Development Corp., Delta Air Lines, Inc. LaGuardia, | | | | | | | | |
Rev., AMT, 5.00%, 01/01/2032 | | | 3,000 | | | | 3,115 | |
Rev., AMT, 4.38%, 10/01/2045 | | | 1,000 | | | | 974 | |
Rev., AMT, 5.00%, 10/01/2035 | | | 11,000 | | | | 11,516 | |
New York Transportation Development Corp., LaGuardia Airport Terminal B, | | | | | | | | |
Rev., AMT, 5.00%, 07/01/2046 | | | 12,180 | | | | 12,034 | |
Rev., AMT, 5.25%, 01/01/2050 | | | 7,425 | | | | 7,434 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 190 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
New York — continued | | | | | | | | |
New York Transportation Development Corp., LaGuardia Airport Terminal B Redevelopment, | | | | | | | | |
Rev., AMT, 4.00%, 07/01/2031 | | | 4,500 | | | | 4,439 | |
Rev., AGM, AMT, 4.00%, 07/01/2035 | | | 5,080 | | | | 5,075 | |
Rev., AMT, 5.00%, 07/01/2041 | | | 1,000 | | | | 1,000 | |
New York Transportation Development Corp., New York State Thruway, Rev., AMT, 4.00%, 10/31/2034 | | | 600 | | | | 592 | |
New York Transportation Development Corp., Terminal 4 JFK International, | | | | | | | | |
Rev., AMT, 4.00%, 12/01/2038 | | | 300 | | | | 289 | |
Rev., AMT, 4.00%, 12/01/2039 | | | 300 | | | | 287 | |
Rev., AMT, 4.00%, 12/01/2040 | | | 1,475 | | | | 1,401 | |
Rev., AMT, 4.00%, 12/01/2041 | | | 300 | | | | 283 | |
Rev., AMT, 4.00%, 12/01/2042 | | | 300 | | | | 280 | |
Rev., 5.00%, 12/01/2024 | | | 200 | | | | 204 | |
Rev., 5.00%, 12/01/2025 | | | 200 | | | | 207 | |
Rev., 5.00%, 12/01/2026 | | | 200 | | | | 210 | |
Rev., 5.00%, 12/01/2027 | | | 200 | | | | 213 | |
Rev., 5.00%, 12/01/2028 | | | 200 | | | | 216 | |
Rev., AMT, 5.00%, 12/01/2030 | | | 1,710 | | | | 1,842 | |
Rev., AMT, 5.00%, 12/01/2032 | | | 2,005 | | | | 2,184 | |
Rev., AMT, 5.00%, 12/01/2033 | | | 1,000 | | | | 1,069 | |
Rev., AMT, 5.00%, 12/01/2037 | | | 3,500 | | | | 3,681 | |
Rev., 5.00%, 12/01/2037 | | | 250 | | | | 267 | |
Rev., AMT, 5.00%, 12/01/2038 | | | 1,000 | | | | 1,048 | |
Rev., 5.00%, 12/01/2038 | | | 2,250 | | | | 2,398 | |
Port Authority of New York & New Jersey, | | | | | | | | |
Series 207, Rev., AMT, 5.00%, 09/15/2031 | | | 5,000 | | | | 5,305 | |
Series 223, Rev., AMT, 5.00%, 07/15/2023 | | | 1,220 | | | | 1,220 | |
Series 226, Rev., AMT, 5.00%, 10/15/2031 | | | 4,500 | | | | 5,013 | |
Series 226, Rev., AMT, 5.00%, 10/15/2032 | | | 1,250 | | | | 1,388 | |
Series 226, Rev., AMT, 5.00%, 10/15/2036 | | | 2,040 | | | | 2,209 | |
Port Authority of New York & New Jersey, Consolidated, | | | | | | | | |
Series 197, Rev., AMT, 5.00%, 11/15/2032 | | | 3,000 | | | | 3,111 | |
Series 206, Rev., AMT, 5.00%, 11/15/2032 | | | 3,000 | | | | 3,171 | |
Series 221, Rev., AMT, 5.00%, 07/15/2031 | | | 1,620 | | | | 1,779 | |
Series 221, Rev., AMT, 5.00%, 07/15/2032 | | | 1,500 | | | | 1,644 | |
Port Authority of New York & New Jersey, Consolidated Bond 233, Rev., 5.00%, 08/01/2038 | | | 670 | | | | 756 | |
Port Authority of New York & New Jersey, Consolidated Bond 200, Rev., AMT, 5.00%, 01/15/2039 | | | 1,250 | | | | 1,351 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
New York — continued | | | | | | | | |
Port Authority of New York & New Jersey, Consolidated 180, | | | | | | | | |
Rev., AMT, 5.00%, 09/01/2026 | | | 3,000 | | | | 3,041 | |
Series 222, Rev., 4.00%, 07/15/2036 | | | 10,250 | | | | 10,656 | |
State of New York Mortgage Agency, Social Bond, Series 239, Rev., SONYMA, 3.25%, 10/01/2051 | | | 290 | | | | 280 | |
State of New York Mortgage Agency, Social Bonds, | | | | | | | | |
Series 233, Rev., 3.00%, 10/01/2045 | | | 2,330 | | | | 2,242 | |
Series 235, Rev., AMT, 0.55%, 10/01/2023 | | | 190 | | | | 189 | |
State of New York Mortgage Agency, Social Bonds 242, Rev., SONYMA, 3.50%, 10/01/2052 | | | 110 | | | | 107 | |
Triborough Bridge & Tunnel Authority, | | | | | | | | |
Series A2, Rev., 2.00%, 05/15/2045 (z) | | | 4,250 | | | | 3,881 | |
Series A, Rev., BAN, 5.00%, 08/15/2024 | | | 3,000 | | | | 3,055 | |
Series A, Rev., 5.00%, 11/15/2041 | | | 1,975 | | | | 2,027 | |
Series A, Rev., 5.00%, 11/15/2047 | | | 2,500 | | | | 2,723 | |
Series A, Rev., 5.00%, 11/15/2049 | | | 3,040 | | | | 3,257 | |
Triborough Bridge & Tunnel Authority, Green Bond, | | | | | | | | |
Series E1, Rev., 5.00%, 11/15/2027 | | | 1,155 | | | | 1,255 | |
Series E-2B, Rev., 5.00%, 11/15/2032 | | | 575 | | | | 685 | |
Triborough Bridge & Tunnel Authority, MTA Bridges & Tunnels, Rev., 5.00%, 05/15/2047 | | | 5,250 | | | | 5,722 | |
Triborough Bridge & Tunnel Authority, MTA Bridges & Tunnels, | | | | | | | | |
Rev., 5.00%, 11/15/2026 | | | 3,660 | | | | 3,909 | |
Rev., 5.00%, 11/15/2027 | | | 1,285 | | | | 1,402 | |
Triborough Bridge & Tunnel Authority, MTA Bridges & Tunnels, Green Bonds, Rev., 5.00%, 11/15/2029 | | | 1,615 | | | | 1,838 | |
Triborough Bridge & Tunnel Authority, Senior, Series C, Rev., 5.00%, 05/15/2040 | | | 5,000 | | | | 5,584 | |
Triborough Bridge & Tunnel Authority, Senior Lien, | | | | | | | | |
Rev., 5.00%, 05/15/2050 (z) | | | 7,000 | | | | 7,299 | |
Series C, Rev., 5.25%, 05/15/2052 | | | 10,000 | | | | 11,061 | |
Series C1-A, Rev., 5.00%, 05/15/2038 | | | 2,000 | | | | 2,247 | |
Triborough Bridge & Tunnel Authority, Senior Lien MTA Bridges & Tunnels, | | | | | | | | |
Rev., 5.00%, 05/15/2035 | | | 2,000 | | | | 2,338 | |
Rev., 5.00%, 05/15/2036 | | | 2,000 | | | | 2,307 | |
Rev., 5.00%, 05/15/2038 | | | 4,240 | | | | 4,791 | |
Troy Capital Resource Corp., Rensselaer Polytechnic Institute, Rev., 4.00%, 09/01/2036 | | | 750 | | | | 743 | |
TSASC, Inc., Series B, Rev., 5.00%, 06/01/2048 | | | 6,780 | | | | 6,340 | |
Utility Debt Securitization Authority, Restructuring, Rev., 5.00%, 12/15/2025 | | | 15 | | | | 15 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 191 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
New York — continued | | | | | | | | |
Utility Debt Securitization Authority, Restructuring Bonds, | | | | | | | | |
Rev., 5.00%, 12/15/2033 | | | 1,500 | | | | 1,573 | |
Series TE, Rev., 5.00%, 12/15/2029 | | | 1,500 | | | | 1,648 | |
Series TE, Rev., 5.00%, 12/15/2032 | | | 800 | | | | 934 | |
Westchester County Local Development Corp., Purchase Senior Learning, Rev., 2.88%, 07/01/2026 (e) | | | 500 | | | | 477 | |
Western Regional Off-Track Betting Corp., Rev., 3.00%, 12/01/2026 (e) | | | 240 | | | | 222 | |
| | | | | | | | |
| | |
| | | | | | | 715,862 | |
| | | | | | | | |
North Carolina — 0.8% | | | | | | | | |
Charlotte-Mecklenburg Hospital Authority, Atrium Health, Series B, Rev., 1.95%, 01/15/2048 (z) | | | 2,285 | | | | 2,039 | |
City of Charlotte Airport Revenue, Series B, Rev., AMT, 5.00%, 07/01/2023 | | | 1,750 | | | | 1,750 | |
City of Charlotte Airport Special Facilities Revenue, Charlotte Douglas International, | | | | | | | | |
Rev., 5.00%, 07/01/2049 | | | 5,000 | | | | 5,281 | |
Rev., AMT, 5.00%, 07/01/2049 | | | 5,000 | | | | 5,176 | |
City of Charlotte, 2003 Governmental Facilities Project, VRDO, COP, LIQ: Wells Fargo Bank NA, 3.96%, 07/07/2023 (z) | | | 2,300 | | | | 2,300 | |
City of Charlotte, Airport Special Facilities Revenue, Series B, Rev., AMT, 5.00%, 07/01/2027 | | | 1,315 | | | | 1,387 | |
County of Cumberland, Qualified School Construction Bonds, COP, 1.25%, 12/15/2025 | | | 4,000 | | | | 3,649 | |
Greater Asheville Regional Airport Authority, | | | | | | | | |
Rev., AGM, AMT, 5.25%, 07/01/2040 | | | 500 | | | | 547 | |
Rev., AGM, AMT, 5.25%, 07/01/2041 | | | 415 | | | | 452 | |
Rev., AGM, AMT, 5.25%, 07/01/2048 | | | 1,750 | | | | 1,874 | |
North Carolina Housing Finance Agency, | | | | | | | | |
Series 37A, Rev., AMT, 3.50%, 07/01/2039 | | | 55 | | | | 55 | |
Series 44, Rev., 4.00%, 07/01/2050 | | | 345 | | | | 342 | |
Series 45, Rev., GNMA/FNMA/FHLMC COLL, 1.90%, 01/01/2032 | | | 1,525 | | | | 1,262 | |
North Carolina Housing Finance Agency, Home Ownership, Series 47, Rev., GNMA/FNMA/FHLMC COLL, 3.00%, 07/01/2051 | | | 980 | | | | 942 | |
North Carolina Medical Care Commission, CaroMont Health, Series A, Rev., 4.00%, 02/01/2036 | | | 500 | | | | 510 | |
North Carolina Medical Care Commission, Lutheran Services for the Aging, Rev., 4.00%, 03/01/2041 | | | 1,050 | | | | 816 | |
North Carolina Medical Care Commission, Presbyterian Homes Obligations, | | | | | | | | |
Series A, Rev., 4.00%, 10/01/2027 | | | 600 | | | | 592 | |
Series A, Rev., 4.00%, 10/01/2040 | | | 1,200 | | | | 1,027 | |
Series A, Rev., 4.00%, 10/01/2045 | | | 2,250 | | | | 1,835 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
North Carolina — continued | | | | | | | | |
North Carolina Medical Care Commission, Rex Healthcare, Series A, Rev., 5.00%, 07/01/2031 | | | 1,760 | | | | 1,937 | |
North Carolina Medical Care Commission, The Forest at Duke Project, Rev., 4.00%, 09/01/2041 | | | 830 | | | | 706 | |
North Carolina Turnpike Authority, Rev., BAN, 5.00%, 02/01/2024 (p) | | | 7,130 | | | | 7,201 | |
North Carolina Turnpike Authority, Senior Lien, Rev., AGM, 5.00%, 01/01/2038 | | | 2,375 | | | | 2,488 | |
North Carolina Turnpike Authority, Triangle Expressway System, Senior Lien, Rev., AGM, 5.00%, 01/01/2049 | | | 1,000 | | | | 1,033 | |
Raleigh Durham Airport Authority, | | | | | | | | |
Series A, Rev., AMT, 5.00%, 05/01/2032 | | | 1,200 | | | | 1,290 | |
State of North Carolina, Build Nc Programs, Series B, Rev., 5.00%, 05/01/2027 | | | 2,750 | | | | 2,974 | |
State of North Carolina, Grant Anticipation Revenue, Rev., 5.00%, 03/01/2029 | | �� | 1,000 | | | | 1,115 | |
Western Carolina University, Series B, Rev., 5.00%, 04/01/2031 | | | 2,120 | | | | 2,371 | |
| | | | | | | | |
| | |
| | | | | | | 52,951 | |
| | | | | | | | |
North Dakota — 0.3% | | | | | | | | |
Cass County Joint Water Resource District, Series A, GO, 0.48%, 05/01/2024 | | | 3,635 | | | | 3,499 | |
City of Grand Forks, Altru Health System, Rev., 5.00%, 12/01/2031 | | | 1,500 | | | | 1,577 | |
County of Ward, Trinity Obligation Group, Series C, Rev., 5.00%, 06/01/2043 | | | 2,500 | | | | 2,109 | |
North Dakota Housing Finance Agency, | | | | | | | | |
Series B, Rev., 3.00%, 07/01/2051 | | | 2,020 | | | | 1,951 | |
Series C, Rev., 4.00%, 01/01/2050 | | | 755 | | | | 750 | |
North Dakota Housing Finance Agency, Home Mortgage Financing Program, Series A, Rev., 3.00%, 01/01/2052 | | | 45 | | | | 43 | |
North Dakota Housing Finance Agency, Housing Finance Program, Home Mortgage Finance, Series D, Rev., 4.25%, 01/01/2049 | | | 2,385 | | | | 2,377 | |
North Dakota Housing Finance Agency, Social Bonds, Series B, Rev., 3.00%, 07/01/2052 | | | 1,040 | | | | 996 | |
North Dakota Housing Finance Agency, Social Bonds Home Mortgage Financing, Rev., 5.75%, 07/01/2053 | | | 1,315 | | | | 1,401 | |
University of North Dakota, Series A, COP, AGM, 4.00%, 06/01/2046 | | | 1,480 | | | | 1,439 | |
West Fargo Public School District No. 6, Series C, GO, 4.00%, 08/01/2026 | | | 300 | | | | 309 | |
| | | | | | | | |
| | |
| | | | | | | 16,451 | |
| | | | | | | | |
Ohio — 2.0% | | | | | | | | |
Akron Bath Copley Joint Township Hospital District, Rev., 5.25%, 11/15/2046 | | | 5,775 | | | | 5,849 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 192 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Ohio — continued | | | | | | | | |
Akron Bath Copley Joint Township Hospital District, Children’s Hospital Medical, Rev., 4.00%, 11/15/2042 | | | 1,265 | | | | 1,206 | |
Akron Bath Copley Joint Township Hospital District, Summa Health Obligations, | | | | | | | | |
Rev., 4.00%, 11/15/2034 | | | 500 | | | | 488 | |
Rev., 4.00%, 11/15/2035 | | | 1,000 | | | | 952 | |
Rev., 4.00%, 11/15/2038 | | | 750 | | | | 678 | |
American Municipal Power, Inc., Fremont Energy Center Project, | | | | | | | | |
Rev., 4.00%, 02/15/2036 | | | 1,750 | | | | 1,766 | |
Rev., 5.00%, 02/15/2026 | | | 600 | | | | 626 | |
Buckeye Tobacco Settlement Financing Authority, Series B2, Rev., 5.00%, 06/01/2055 | | | 12,715 | | | | 11,908 | |
Buckeye Tobacco Settlement Financing Authority, Senior, Series A2, Rev., 4.00%, 06/01/2048 | | | 2,210 | | | | 2,045 | |
City of Cincinnati, Mercer Commons Phase 2 Project, Rev., 5.00%, 11/01/2035 | | | 1,085 | | | | 1,121 | |
Cleveland Department of Public Utilities Division of Water, Series FF, Rev., 5.00%, 01/01/2026 | | | 300 | | | | 315 | |
Columbus-Franklin County Finance Authority, Bridge Park D Block Project, Series A, Rev., 5.00%, 12/01/2051 | | | 1,000 | | | | 969 | |
County of Allen, Hospital Facilities Revenue, Series A, Rev., 5.00%, 08/01/2027 | | | 50 | | | | 54 | |
County of Butler, UC Health, Rev., 5.00%, 11/15/2030 | | | 1,300 | | | | 1,364 | |
County of Franklin, Nationwide Children’s Hospital, | | | | | | | | |
Rev., 4.00%, 11/01/2040 | | | 2,000 | | | | 1,969 | |
Rev., 5.00%, 11/01/2031 | | | 1,000 | | | | 1,137 | |
County of Hamilton, Trihealth, Inc. Obligated Group, Rev., 5.00%, 08/15/2040 | | | 1,510 | | | | 1,584 | |
County of Montgomery, Dayton Children’s Hospital, | | | | | | | | |
Rev., 5.00%, 08/01/2027 | | | 725 | | | | 773 | |
Rev., 5.00%, 08/01/2029 | | | 145 | | | | 160 | |
Rev., 5.00%, 08/01/2033 | | | 230 | | | | 259 | |
County of Montgomery, Kettering Health Network Obligations, Rev., 4.00%, 08/01/2041 | | | 1,200 | | | | 1,162 | |
County of Van Wert, Van Wert Health Obligated, Rev., 6.13%, 12/01/2049 (p) | | | 2,000 | | | | 2,335 | |
Dayton Metropolitan Housing Authority, Southern Montgomery Apartments, Rev., HUD, 0.32%, 09/01/2024 (z) | | | 1,505 | | | | 1,495 | |
Hamilton City School District, Various Purpose, GO, 5.00%, 12/01/2034 (p) | | | 1,500 | | | | 1,538 | |
Lancaster Port Authority, Series A, Rev., LIQ: Royal Bank of Canada, 5.00%, 08/01/2049 (z) | | | 5,000 | | | | 5,076 | |
Miami University, | | | | | | | | |
Series A, Rev., 5.00%, 09/01/2028 | | | 515 | | | | 568 | |
Series A, Rev., 5.00%, 09/01/2030 | | | 1,005 | | | | 1,150 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Ohio — continued | | | | | | | | |
Northeast Ohio Medical University, Rev., BAM, 5.00%, 12/01/2043 | | | 1,475 | | | | 1,558 | |
Ohio Air Quality Development Authority, American Electric Power Company, Series A, Rev., AMT, 2.10%, 01/01/2029 (z) | | | 1,250 | | | | 1,209 | |
Ohio Air Quality Development Authority, Dayton Power & Light, Rev., AMT, 4.25%, 11/01/2040 (z) | | | 7,000 | | | | 6,972 | |
Ohio Air Quality Development Authority, Duke Energy, Rev., AMT, 4.25%, 11/01/2039 (z) | | | 7,205 | | | | 7,148 | |
Ohio Air Quality Development Authority, Ohio Valley Electric Corp., Rev., AMT, 2.50%, 11/01/2042 (z) | | | 1,000 | | | | 869 | |
Ohio Air Quality Development Authority, Ohio Valley Electric Corp. Project, | | | | | | | | |
Rev., 1.38%, 02/01/2026 (z) | | | 1,875 | | | | 1,780 | |
Rev., 1.50%, 02/01/2026 (z) | | | 120 | | | | 110 | |
Ohio Higher Educational Facility Commission, Case Western Reserve, Rev., (SIFMA Municipal Swap Index + 0.23%), 4.24%, 12/01/2042 (aa) | | | 155 | | | | 149 | |
Ohio Higher Educational Facility Commission, Case Western Reserve University, Rev., 5.00%, 12/01/2040 | | | 1,065 | | | | 1,101 | |
Ohio Higher Educational Facility Commission, Otterbein Homes Obligated, Rev., 4.00%, 07/01/2023 | | | 75 | | | | 75 | |
Ohio Higher Educational Facility Commission, Senior University Circle, Inc. Project, Rev., 5.00%, 01/15/2037 | | | 265 | | | | 268 | |
Ohio Higher Educational Facility Commission, University of Dayton, Rev., 5.00%, 02/01/2034 | | | 1,125 | | | | 1,233 | |
Ohio Housing Finance Agency, Series A, Rev., GNMA/FNMA/FHLMC, 4.50%, 09/01/2048 | | | 955 | | | | 957 | |
Ohio Housing Finance Agency, Franklin Manor North Project, Rev., HUD, 0.25%, 09/01/2024 (z) | | | 160 | | | | 159 | |
Ohio Housing Finance Agency, Glen Meadows Apartments, Rev., HUD, 0.40%, 11/01/2024 (z) | | | 620 | | | | 611 | |
Ohio Housing Finance Agency, Marianna Terrace Apartments, Rev., HUD, 1.30%, 03/01/2025 (z) | | | 330 | | | | 324 | |
Ohio Housing Finance Agency, Post Oak Station, Rev., HUD, 3.35%, 07/01/2025 (z) | | | 295 | | | | 292 | |
Ohio Housing Finance Agency, Thornwood Commons, Rev., FHA HUD, 5.00%, 12/01/2026 (z) | | | 2,000 | | | | 2,050 | |
Ohio Turnpike & Infrastructure Commission, Infrastructure Projects, Series A, Rev., 4.00%, 02/15/2038 | | | 1,500 | | | | 1,517 | |
Ohio Turnpike & Infrastructure Commission, Junior Lien Infrastructure, | | | | | | | | |
Rev., 5.00%, 02/15/2028 | | | 500 | | | | 548 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 193 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Ohio — continued | | | | | | | | |
Rev., 5.00%, 02/15/2033 | | | 365 | | | | 432 | |
Rev., 5.00%, 02/15/2039 | | | 3,000 | | | | 3,381 | |
Ohio Water Development Authority, Series A, Rev., 5.00%, 06/01/2029 | | | 500 | | | | 561 | |
Ohio Water Development Authority Water Pollution Control Loan Fund, Series A, Rev., 5.00%, 12/01/2030 | | | 4,500 | | | | 5,205 | |
Ohio Water Development Authority Water Pollution Control Loan Fund, Green Bond, Series A, Rev., 5.00%, 12/01/2034 | | | 160 | | | | 186 | |
Ohio Water Development Authority Water Pollution Control Loan Fund, Loan Fund, Series A, Rev., 5.00%, 12/01/2031 | | | 1,000 | | | | 1,081 | |
Ohio Water Development Authority, Sustainability Bond, Series A, Rev., 5.00%, 06/01/2031 | | | 300 | | | | 350 | |
Ohio Water Development Authority, Water Pollution Control Loan Fund, Series A, Rev., VRDO, 3.85%, 07/07/2023 (z) | | | 3,500 | | | | 3,500 | |
State of Ohio, | | | | | | | | |
Series A2, Rev., 4.00%, 04/01/2033 | | | 3,000 | | | | 3,022 | |
Series A, GO, 5.00%, 09/01/2024 | | | 130 | | | | 133 | |
Series A, GO, 5.00%, 03/01/2034 | | | 1,000 | | | | 1,189 | |
Series X, GO, 5.00%, 05/01/2035 | | | 300 | | | | 349 | |
State of Ohio, Cleveland Clinic Health System, | | | | | | | | |
Rev., 5.00%, 01/01/2033 | | | 2,410 | | | | 2,781 | |
Rev., 5.00%, 01/01/2034 | | | 2,425 | | | | 2,786 | |
Rev., 5.00%, 01/01/2039 | | | 570 | | | | 626 | |
Series A, Rev., 5.00%, 01/01/2027 | | | 940 | | | | 1,000 | |
State of Ohio, Common Schools, Series C, GO, 5.00%, 03/15/2030 | | | 125 | | | | 143 | |
State of Ohio, Garvee, | | | | | | | | |
Series 1A, Rev., 5.00%, 12/15/2025 | | | 800 | | | | 837 | |
Series 1A, Rev., 5.00%, 12/15/2028 | | | 1,000 | | | | 1,113 | |
Series 2022-1, Rev., 5.00%, 12/15/2028 | | | 1,000 | | | | 1,113 | |
Series 2022-1, Rev., 5.00%, 12/15/2031 | | | 1,000 | | | | 1,151 | |
State of Ohio, Higher Education, | | | | | | | | |
Series A, GO, 5.00%, 05/01/2032 | | | 10,000 | | | | 10,764 | |
Series C, GO, 5.00%, 08/01/2028 (p) | | | 350 | | | | 389 | |
State of Ohio, Infrastructure Improvement, GO, 5.00%, 03/01/2034 | | | 1,000 | | | | 1,172 | |
State of Ohio, Premier Health Partners, | | | | | | | | |
Rev., 4.00%, 11/15/2039 | | | 1,320 | | | | 1,206 | |
Rev., 4.00%, 11/15/2041 | | | 1,450 | | | | 1,289 | |
Rev., 5.00%, 11/15/2028 | | | 680 | | | | 716 | |
State of Ohio, University Hospital Health, Rev., VRDO, 4.21%, 07/03/2023 (z) | | | 1,500 | | | | 1,500 | |
State of Ohio, University Hospitals Health, Rev., 4.00%, 01/15/2037 | | | 1,000 | | | | 979 | |
State of Ohio, University Hospitals Health System, Series A, Rev., 5.00%, 01/15/2041 | | | 1,000 | | | | 1,018 | |
| | | | | | | | |
| | |
| | | | | | | 127,449 | |
| | | | | | | | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Oklahoma — 0.4% | | | | | | | | |
Oklahoma City Economic Development Trust, Inc., District #8 Project, | | | | | | | | |
Rev., 4.00%, 03/01/2032 | | | 1,640 | | | | 1,745 | |
Rev., 4.00%, 03/01/2033 | | | 5,000 | | | | 5,315 | |
Rev., 4.00%, 03/01/2034 | | | 4,440 | | | | 4,705 | |
Oklahoma Development Finance Authority, Integris, Series A, Rev., 4.00%, 08/15/2038 | | | 2,000 | | | | 1,948 | |
Oklahoma Development Finance Authority, Integris Obligated Group, Rev., VRDO, 4.31%, 07/07/2023 (z) | | | 2,110 | | | | 2,110 | |
Oklahoma Development Finance Authority, OU Health Project, Series A, Rev., 5.50%, 08/15/2037 | | | 1,110 | | | | 1,055 | |
Oklahoma Development Finance Authority, OU Medicine Project, Series B, Rev., 5.50%, 08/15/2057 | | | 6,000 | | | | 5,674 | |
Oklahoma Water Resources Board, Drinking Water Program 2019 Master, Rev., 4.00%, 04/01/2048 | | | 3,000 | | | | 2,919 | |
Tulsa County Independent School District No. 1 Tulsa, Series B, GO, 2.00%, 09/01/2026 | | | 1,500 | | | | 1,424 | |
| | | | | | | | |
| | |
| | | | | | | 26,895 | |
| | | | | | | | |
Oregon — 0.8% | | | | | | | | |
City of Portland Sewer System Revenue, Second Lien, Series A, Rev., 5.00%, 12/01/2031 | | | 2,670 | | | | 3,129 | |
City of Portland Water System Revenue, Second Lien, | | | | | | | | |
Series A, Rev., 4.00%, 05/01/2039 | | | 500 | | | | 505 | |
Series A, Rev., 5.00%, 05/01/2033 | | | 1,825 | | | | 2,065 | |
County of Gilliam, Waste Management, Rev., AMT, 3.95%, 07/01/2038 (z) | | | 1,000 | | | | 1,000 | |
Hospital Facilities Authority of Multnomah County Oregon, Green Bond Terwilliger, Rev., 0.95%, 06/01/2027 | | | 1,200 | | | | 1,048 | |
Jackson County School District No. 5 Ashland, GO, SCH BD GTY, 5.00%, 06/15/2030 | | | 1,000 | | | | 1,122 | |
Medford Hospital Facilities Authority, Asante Project, Series A, Rev., AGM, 4.00%, 08/15/2045 | | | 1,330 | | | | 1,275 | |
Multnomah County School District No. 1 Portland, GO, SCH BD GTY, 5.00%, 06/15/2028 | | | 1,850 | | | | 2,045 | |
Oregon Health & Science University, Series B1, Rev., 5.00%, 07/01/2046 (z) | | | 1,500 | | | | 1,660 | |
Oregon State Business Development Commission, Intel Corp. Project, Series 232, Rev., 2.40%, 12/01/2040 (z) | | | 200 | | | | 200 | |
Oregon State Facilities Authority, Samaritan Health Services, Rev., 5.00%, 10/01/2040 | | | 1,750 | | | | 1,799 | |
Oregon State Facilities Authority, Samaritan Health Services Project, Rev., 5.00%, 10/01/2031 | | | 1,740 | | | | 1,804 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 194 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Oregon — continued | | | | | | | | |
Port of Portland Airport Revenue, | | | | | | | | |
Series 27A, Rev., AMT, 5.00%, 07/01/2028 | | | 1,595 | | | | 1,699 | |
Series 27A, Rev., AMT, 5.00%, 07/01/2036 | | | 1,000 | | | | 1,071 | |
Port of Portland Airport Revenue, Green Bonds, Rev., AMT, 5.00%, 07/01/2036 | | | 500 | | | | 548 | |
Port of Portland Airport Revenue, Portland International Air, Rev., AMT, 5.00%, 07/01/2035 | | | 1,270 | | | | 1,358 | |
Port of Portland Airport Revenue, Portland International Airport, Series 25B, Rev., AMT, 5.00%, 07/01/2039 | | | 1,020 | | | | 1,069 | |
Salem Hospital Facility Authority, Capital Manor Project, | | | | | | | | |
Rev., 4.00%, 05/15/2032 | | | 185 | | | | 173 | |
Rev., 4.00%, 05/15/2040 | | | 750 | | | | 608 | |
Salem Hospital Facility Authority, Salem Health Projects, Series A, Rev., 5.00%, 05/15/2046 | | | 3,000 | | | | 3,057 | |
State of Oregon, Series N, GO, 5.00%, 12/01/2023 | | | 1,890 | | | | 1,892 | |
State of Oregon Department of Transportation, Subordinate, Series A, Rev., 5.00%, 11/15/2036 | | | 9,095 | | | | 10,099 | |
State of Oregon Housing & Community Services Department, Single Family Mortgage Program, Series A, Rev., 3.00%, 07/01/2052 | | | 645 | | | | 621 | |
State of Oregon Housing & Community Services Department, The Susan Emmons Apartment, Rev., HUD, 0.38%, 06/01/2024 (z) | | | 945 | | | | 929 | |
State of Oregon, Article XI Q, Series F, GO, 5.00%, 05/01/2030 | | | 100 | | | | 106 | |
State of Oregon, Article XI Q State Project, | | | | | | | | |
GO, 5.00%, 05/01/2025 | | | 500 | | | | 518 | |
GO, 5.00%, 05/01/2030 | | | 405 | | | | 464 | |
State of Oregon, Article XI Q State Projects, GO, 5.00%, 05/01/2028 | | | 1,000 | | | | 1,104 | |
State of Oregon, Article Xi-M & Xi-N Seismic, GO, 5.00%, 06/01/2030 | | | 1,995 | | | | 2,289 | |
State of Oregon, Article XI-Q State Project, Series A, GO, 5.00%, 05/01/2027 | | | 1,220 | | | | 1,318 | |
State of Oregon, Veterans Welfare Bonds, GO, 5.50%, 12/01/2053 | | | 270 | | | | 289 | |
State of Oregon, Veterans Welfare Bonds Series, GO, 3.00%, 12/01/2051 | | | 1,370 | | | | 1,308 | |
University of Oregon, Series A, Rev., 5.00%, 04/01/2048 | | | 1,000 | | | | 1,049 | |
Yamhill County Hospital Authority, Friendsview, Series B3, Rev., 1.75%, 11/15/2026 | | | 1,360 | | | | 1,274 | |
| | | | | | | | |
| | |
| | | | | | | 50,495 | |
| | | | | | | | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Pennsylvania — 5.5% | | | | | | | | |
Allegheny County Airport Authority, | | | | | | | | |
Series A, Rev., AGM, AMT, 4.00%, 01/01/2046 | | | 11,800 | | | | 11,100 | |
Series A, Rev., AGM-CR, AMT, 4.00%, 01/01/2056 | | | 3,610 | | | | 3,315 | |
Allegheny County Hospital Development Authority, Health Network Obligations, | | | | | | | | |
Rev., 5.00%, 04/01/2033 | | | 1,000 | | | | 1,057 | |
Series A, Rev., 5.00%, 04/01/2047 | | | 1,560 | | | | 1,579 | |
Allegheny County Hospital Development Authority, University of Pittsburgh Medical Center, Rev., 5.00%, 07/15/2030 | | | 1,000 | | | | 1,100 | |
Allegheny County Hospital Development Authority, University Pittsburgh Medical Center, Rev., 4.00%, 07/15/2038 | | | 2,185 | | | | 2,171 | |
Allegheny County Industrial Development Authority, United States Steel Corp., Rev., 4.88%, 11/01/2024 | | | 1,500 | | | | 1,509 | |
Allegheny County Sanitary Authority, Rev., 5.75%, 06/01/2047 | | | 2,250 | | | | 2,606 | |
Allegheny County, Hospital Development Authority, Pittsburg University Medical Center, | | | | | | | | |
Series A, Rev., 4.00%, 07/15/2036 | | | 2,200 | | | | 2,208 | |
Series A, Rev., 5.00%, 07/15/2027 | | | 765 | | | | 816 | |
Allegheny County, Sanitary Authority, | | | | | | | | |
Series B, Rev., 4.00%, 06/01/2035 | | | 400 | | | | 415 | |
Series B, Rev., 4.00%, 06/01/2036 | | | 675 | | | | 698 | |
Series B, Rev., 5.00%, 06/01/2030 | | | 500 | | | | 573 | |
Series B, Rev., 5.00%, 06/01/2032 | | | 550 | | | | 631 | |
Allentown Neighborhood Improvement Zone Development Authority, Forward Delivery, Rev., 5.00%, 05/01/2042 | | | 1,000 | | | | 1,009 | |
Allentown Neighborhood Improvement Zone Development Authority, Senior Tax Revenue, Rev., 6.00%, 05/01/2042 (e) | | | 180 | | | | 185 | |
Altoona Area School District, GO, BAM, 5.00%, 12/01/2048 (p) | | | 1,000 | | | | 1,046 | |
Bentworth School District, Series A, GO, BAM, 4.00%, 03/15/2025 | | | 1,380 | | | | 1,397 | |
Berks County Industrial Development Authority, Tower Health Project, | | | | | | | | |
Rev., 4.00%, 11/01/2050 | | | 1,500 | | | | 893 | |
Rev., 5.00%, 11/01/2047 | | | 2,155 | | | | 1,391 | |
Bethlehem Area School District Authority, Bethlehem Area School District, | | | | | | | | |
Rev., (United States SOFR * 0.67 + 0.35%), 3.74%, 01/01/2030 (aa) | | | 230 | | | | 225 | |
Rev., (United States SOFR * 0.67 + 0.35%), 3.74%, 07/01/2031 (aa) | | | 305 | | | | 299 | |
Rev., (United States SOFR * 0.67 + 0.35%), 3.74%, 01/01/2032 (aa) | | | 240 | | | | 235 | |
Capital Region Water, Water Revenue, Rev., 5.00%, 07/15/2032 | | | 1,000 | | | | 1,088 | |
Central Bradford Progress Authority, Guthrie Clinic, Rev., VRDO, 4.51%, 07/07/2023 (z) | | | 400 | | | | 400 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 195 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Pennsylvania — continued | | | | | | | | |
City of Lancaster, GO, BAM, 5.00%, 11/01/2047 | | | 6,665 | | | | 7,091 | |
City of Philadelphia, | | | | | | | | |
GO, AGM, 5.00%, 08/01/2031 | | | 1,795 | | | | 1,926 | |
Series A, GO, 5.00%, 08/01/2030 | | | 4,000 | | | | 4,128 | |
City of Philadelphia Airport Revenue, | | | | | | | | |
Series A, Rev., 5.00%, 07/01/2047 | | | 5,000 | | | | 5,152 | |
Series C, Rev., AMT, 4.00%, 07/01/2050 | | | 1,500 | | | | 1,382 | |
Series C, Rev., AMT, 5.00%, 07/01/2028 | | | 10,000 | | | | 10,634 | |
City of Philadelphia Airport Revenue, Private Activity, Rev., AGM, AMT, 4.00%, 07/01/2041 | | | 1,100 | | | | 1,053 | |
City of Philadelphia Water & Wastewater Revenue, | | | | | | | | |
Series A, Rev., 5.00%, 11/01/2045 | | | 7,000 | | | | 7,394 | |
Series C, Rev., 5.00%, 06/01/2042 | | | 1,000 | | | | 1,074 | |
City of Philadelphia, Airport Revenue, Series B, Rev., AMT, 5.00%, 07/01/2035 | | | 2,235 | | | | 2,338 | |
City of Philadelphia, Airport Revenue, Private Activity, Rev., AGM, AMT, 4.00%, 07/01/2046 | | | 3,750 | | | | 3,525 | |
City of Philadelphia, Water & Wastewater Revenue, Series A, Rev., 5.00%, 11/01/2040 | | | 2,790 | | | | 2,982 | |
Commonwealth Financing Authority, Tobacco Master Settlement Payment, Rev., AGM, 4.00%, 06/01/2039 | | | 6,340 | | | | 6,233 | |
Commonwealth of Pennsylvania, | | | | | | | | |
Series 1, GO, 4.00%, 03/15/2034 | | | 5,000 | | | | 5,061 | |
Series 1, GO, 4.00%, 03/01/2035 | | | 3,650 | | | | 3,772 | |
Series 1, GO, 4.00%, 03/15/2035 | | | 2,000 | | | | 2,021 | |
County of Allegheny, Series C75, GO, 5.00%, 11/01/2028 | | | 2,305 | | | | 2,439 | |
County of Berks, GO, 4.00%, 11/15/2027 (p) | | | 225 | | | | 226 | |
County of Lehigh, St. Luke’s Hospital Project, Rev., (SIFMA Municipal Swap Index + 1.10%), 5.11%, 08/15/2038 (aa) | | | 355 | | | | 350 | |
Cumberland County Municipal Authority, Rev., 5.00%, 05/01/2030 | | | 1,000 | | | | 1,040 | |
Cumberland Valley School District, | | | | | | | | |
GO, 5.00%, 11/15/2032 (p) | | | 150 | | | | 151 | |
GO, 5.00%, 11/15/2034 (p) | | | 140 | | | | 141 | |
Delaware River Port Authority, | | | | | | | | |
Rev., 5.00%, 01/01/2037 | | | 3,000 | | | | 3,020 | |
Rev., 5.00%, 01/01/2040 | | | 10,000 | | | | 10,047 | |
Delaware Valley Regional Finance Authority, | | | | | | | | |
Series A, Rev., AMBAC, 5.50%, 08/01/2028 | | | 5,000 | | | | 5,603 | |
Series C, Rev., (ICE LIBOR USD 3 Month * 0.67 + 0.75%), 4.43%, 06/01/2037 (aa) | | | 250 | | | | 223 | |
Geisinger Authority, Geisinger Health System Obligation Group, Rev., 4.00%, 04/01/2039 | | | 1,000 | | | | 979 | |
Lancaster County Hospital Authority, Penn State Health, Rev., 5.00%, 11/01/2037 | | | 600 | | | | 639 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Pennsylvania — continued | | | | | | | | |
Lancaster Industrial Development Authority, Landis Homes Retirement Community, Rev., 4.00%, 07/01/2056 | | | 765 | | | | 547 | |
Lehigh County Industrial Development Authority, PPL Electric Utilities Project, Series A, Rev., 3.00%, 09/01/2029 | | | 3,455 | | | | 3,356 | |
Monroeville Finance Authority, | | | | | | | | |
Series B, Rev., 5.00%, 02/15/2029 | | | 1,425 | | | | 1,556 | |
Series B, Rev., 5.00%, 02/15/2038 | | | 1,200 | | | | 1,309 | |
Series B, Rev., 5.00%, 02/15/2039 | | | 2,000 | | | | 2,172 | |
Montgomery County Higher Education and Health Authority, Thomas Jefferson University, Rev., 4.00%, 05/01/2038 | | | 250 | | | | 241 | |
Montgomery County Higher Education and Health Authority, Thomas Jefferson University Project, Rev., 4.00%, 09/01/2044 | | | 1,610 | | | | 1,489 | |
Montgomery County Industrial Development Authority, Constellation Energy, Rev., 4.10%, 04/01/2053 (z) | | | 3,335 | | | | 3,397 | |
Montgomery County Industrial Development Authority, Retirement Life Communities, | | | | | | | | |
Rev., 5.00%, 11/15/2033 | | | 1,500 | | | | 1,517 | |
Series C, Rev., 5.00%, 11/15/2045 | | | 2,585 | | | | 2,455 | |
New Castle Sanitation Authority, Series A, Rev., AGM, 3.00%, 06/01/2029 | | | 500 | | | | 500 | |
Norristown Area School District, GO, 5.00%, 09/01/2026 | | | 1,500 | | | | 1,582 | |
Pennsylvania Economic Development Financing Authority, | | | | | | | | |
Rev., 4.00%, 05/15/2048 | | | 2,055 | | | | 1,924 | |
Rev., 5.00%, 05/15/2031 | | | 2,385 | | | | 2,679 | |
Pennsylvania Economic Development Financing Authority, Pennsylvania Bridges Finco LP P3 Project, | | | | | | | | |
Rev., AMT, 5.00%, 12/31/2030 | | | 3,460 | | | | 3,555 | |
Rev., AMT, 5.00%, 12/31/2034 | | | 2,000 | | | | 2,043 | |
Rev., AMT, 5.00%, 06/30/2042 | | | 1,250 | | | | 1,257 | |
Pennsylvania Economic Development Financing Authority, Philadelphia Biosolids Facility, | | | | | | | | |
Rev., 4.00%, 01/01/2028 | | | 1,590 | | | | 1,580 | |
Rev., 4.00%, 01/01/2029 | | | 450 | | | | 447 | |
Rev., 4.00%, 01/01/2031 | | | 800 | | | | 792 | |
Pennsylvania Economic Development Financing Authority, The Penndot Major Bridges, | | | | | | | | |
Rev., AGM, AMT, 5.00%, 12/31/2057 | | | 6,730 | | | | 6,883 | |
Rev., AGM, AMT, 5.50%, 06/30/2042 | | | 5,640 | | | | 6,221 | |
Rev., AMT, 5.75%, 06/30/2048 | | | 7,000 | | | | 7,691 | |
Rev., AMT, 6.00%, 06/30/2061 | | | 1,500 | | | | 1,671 | |
Pennsylvania Economic Development Financing Authority, University of Pittsburgh Medical Center, Rev., 5.00%, 07/01/2038 | | | 5,500 | | | | 5,500 | |
Pennsylvania Economic Development Financing Authority, UPMC, | | | | | | | | |
Series A1, Rev., 4.00%, 04/15/2045 | | | 5,440 | | | | 5,217 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 196 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Pennsylvania — continued | | | | | | | | |
Series A, Rev., 4.00%, 02/15/2042 | | | 1,330 | | | | 1,288 | |
Pennsylvania Economic Development Financing Authority, Waste Management Project, Rev., 0.95%, 12/01/2033 (z) | | | 2,000 | | | | 1,800 | |
Pennsylvania Economic Development Financing Authority, Waste Management, Inc., Rev., AMT, 1.10%, 06/01/2031 (z) | | | 2,000 | | | | 1,813 | |
Pennsylvania Economic Development Financing Authority, Waste Management, Inc. Project, | | | | | | | | |
Rev., AMT, 1.75%, 08/01/2038 (z) | | | 5,000 | | | | 4,881 | |
Rev., AMT, 3.88%, 08/01/2045 (z) | | | 3,000 | | | | 3,000 | |
Rev., AMT, (SIFMA Municipal Swap Index + 0.40%), 4.41%, 06/01/2041 (aa) | | | 805 | | | | 791 | |
Series A, Rev., AMT, 0.58%, 08/01/2037 (z) | | | 2,610 | | | | 2,516 | |
Pennsylvania Higher Education Assistance Agency, Series A, Rev., AMT, 5.00%, 06/01/2026 | | | 95 | | | | 98 | |
Pennsylvania Higher Education Assistance Agency, Senior, Series A, Rev., AMT, 5.00%, 06/01/2028 | | | 3,775 | | | | 3,945 | |
Pennsylvania Higher Educational Facilities Authority, University of Pennsylvania Health System, Rev., 5.00%, 08/15/2042 | | | 1,250 | | | | 1,293 | |
Pennsylvania Higher Educational Facilities Authority, University Pennsylvania Health System, Series A, Rev., 4.00%, 08/15/2035 | | | 1,170 | | | | 1,186 | |
Pennsylvania Housing Finance Agency, Series 133, Rev., 3.00%, 10/01/2050 | | | 3,005 | | | | 2,902 | |
Pennsylvania Housing Finance Agency, School of Nursing, Rev., HUD, 0.27%, 08/01/2024 (z) | | | 3,200 | | | | 3,190 | |
Pennsylvania Housing Finance Agency, Social Bond, | | | | | | | | |
Series A, Rev., 4.85%, 10/01/2043 | | | 4,000 | | | | 4,099 | |
Series A, Rev., 5.50%, 10/01/2053 | | | 1,500 | | | | 1,594 | |
Pennsylvania Housing Finance Agency, Social Bonds, | | | | | | | | |
Series 141B, Rev., VRDO, 3.95%, 07/07/2023 (z) | | | 5,000 | | | | 5,000 | |
Series 141A, Rev., 5.75%, 10/01/2053 | | | 3,075 | | | | 3,277 | |
Pennsylvania Turnpike Commission, | | | | | | | | |
Series A1, Rev., 5.00%, 12/01/2027 | | | 1,000 | | | | 1,086 | |
Series A1, Rev., 5.00%, 12/01/2031 | | | 250 | | | | 272 | |
Series A1, Rev., 5.00%, 12/01/2034 | | | 1,000 | | | | 1,074 | |
Series A1, Rev., 5.00%, 12/01/2045 | | | 7,685 | | | | 7,845 | |
Series A1, Rev., 5.00%, 12/01/2046 | | | 1,000 | | | | 1,029 | |
Series A2, Rev., 5.00%, 12/01/2024 | | | 100 | | | | 102 | |
Series A, Rev., 5.25%, 12/01/2044 | | | 2,500 | | | | 2,675 | |
Series B, Rev., 4.00%, 12/01/2039 | | | 3,000 | | | | 2,980 | |
Series B, Rev., 5.00%, 12/01/2026 | | | 400 | | | | 426 | |
Series B, Rev., 5.00%, 12/01/2027 | | | 500 | | | | 543 | |
Series B, Rev., 5.00%, 12/01/2039 | | | 1,305 | | | | 1,446 | |
Series B, Rev., 5.25%, 12/01/2047 | | | 3,000 | | | | 3,300 | |
Series C, Rev., 4.00%, 12/01/2040 | | | 1,400 | | | | 1,414 | |
Series C, Rev., 4.00%, 12/01/2042 | | | 1,555 | | | | 1,556 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Pennsylvania — continued | | | | | | | | |
Series C, Rev., 5.00%, 12/01/2027 | | | 345 | | | | 375 | |
Series C, Rev., 5.00%, 12/01/2041 | | | 1,560 | | | | 1,681 | |
Series C, Rev., 5.00%, 12/01/2046 | | | 1,350 | | | | 1,434 | |
Pennsylvania Turnpike Commission, Motor License, Rev., 5.00%, 12/01/2040 | | | 1,000 | | | | 1,052 | |
Pennsylvania Turnpike Commission, Subordinated, | | | | | | | | |
Rev., 5.00%, 12/01/2030 | | | 1,750 | | | | 1,887 | |
Series A, Rev., 4.00%, 12/01/2043 | | | 2,135 | | | | 2,093 | |
Pennsylvania Turnpike Commission, Subordinated, | | | | | | | | |
Rev., 5.00%, 06/01/2026 | | | 2,000 | | | | 2,081 | |
Series A, Rev., 5.00%, 12/01/2036 | | | 2,775 | | | | 2,886 | |
Series B2, Rev., 5.00%, 06/01/2027 | | | 2,480 | | | | 2,651 | |
Philadelphia Authority for Industrial Development, Rev., 5.00%, 05/01/2033 | | | 1,250 | | | | 1,346 | |
Philadelphia Authority for Industrial Development, String Theory Charter School, Rev., 5.00%, 06/15/2040 (e) | | | 900 | | | | 901 | |
Philadelphia Authority for Industrial Development, Thomas Jefferson University, | | | | | | | | |
Series A, Rev., 5.00%, 09/01/2032 | | | 1,110 | | | | 1,164 | |
Series A, Rev., 5.00%, 09/01/2035 | | | 1,105 | | | | 1,153 | |
Series A, Rev., 5.00%, 09/01/2047 | | | 1,000 | | | | 1,022 | |
Philadelphia Gas Works Co., Series A, Rev., AGM, 4.00%, 08/01/2045 | | | 5,000 | | | | 4,917 | |
Pittsburgh Water & Sewer Authority, | | | | | | | | |
Series B, Rev., AGM, 4.00%, 09/01/2036 | | | 500 | | | | 511 | |
Series B, Rev., AGM, 4.00%, 09/01/2038 | | | 500 | | | | 505 | |
Series B, Rev., AGM, 4.00%, 09/01/2045 | | | 2,250 | | | | 2,268 | |
Series C, Rev., AGM, (SIFMA Municipal Swap Index + 0.65%), 4.66%, 09/01/2040 (aa) | | | 3,110 | | | | 3,110 | |
Pittsburgh Water & Sewer Authority, First Lien, Series A, Rev., AGM, 5.00%, 09/01/2048 (w) | | | 1,000 | | | | 1,091 | |
Ridley School District, GO, BAM, 5.25%, 11/15/2039 | | | 4,545 | | | | 4,956 | |
School District of Philadelphia (The), | | | | | | | | |
Series A, GO, 5.00%, 09/01/2027 | | | 610 | | | | 650 | |
Series A, GO, 5.00%, 09/01/2031 | | | 245 | | | | 274 | |
Series A, GO, 5.00%, 09/01/2035 | | | 3,000 | | | | 3,234 | |
Series F, GO, 5.00%, 09/01/2035 | | | 5,000 | | | | 5,142 | |
School District of Philadelphia (The), Green Bond, | | | | | | | | |
Series B, GO, 5.00%, 09/01/2027 | | | 895 | | | | 953 | |
Series B, GO, 5.00%, 09/01/2028 | | | 1,485 | | | | 1,609 | |
Series B, GO, 5.00%, 09/01/2029 | | | 450 | | | | 494 | |
Scranton School District, Series E, GO, BAM, 4.00%, 12/01/2037 | | | 1,025 | | | | 1,034 | |
Southeastern Pennsylvania Transportation Authority, Asset Improvement Program, | | | | | | | | |
Rev., 5.25%, 06/01/2041 | | | 3,000 | | | | 3,390 | |
Rev., 5.25%, 06/01/2042 | | | 1,500 | | | | 1,689 | |
Rev., 5.25%, 06/01/2047 | | | 7,750 | | | | 8,614 | |
Sports & Exhibition Authority of Pittsburgh and Allegheny County, | | | | | | | | |
Rev., AGM, 5.00%, 02/01/2027 | | | 2,250 | | | | 2,395 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 197 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Pennsylvania — continued | | | | | | | | |
Rev., AGM, 5.00%, 02/01/2028 | | | 2,590 | | | | 2,813 | |
State Public School Building Authority, Northampton County Area Community, | | | | | | | | |
Rev., BAM, 4.00%, 03/01/2029 | | | 1,000 | | | | 1,039 | |
Rev., BAM, 4.00%, 03/01/2030 | | | 640 | | | | 664 | |
Rev., BAM, 4.00%, 03/01/2031 | | | 500 | | | | 519 | |
Rev., BAM, 5.00%, 03/01/2027 | | | 715 | | | | 758 | |
Rev., BAM, 5.00%, 03/01/2028 | | | 755 | | | | 815 | |
State Public School Building Authority, Philadelphia School District, Rev., AGM, 5.00%, 06/01/2030 | | | 3,480 | | | | 3,665 | |
Westmoreland County Industrial Development Authority, Excela Health Project, | | | | | | | | |
Series A, Rev., 4.00%, 07/01/2025 | | | 575 | | | | 570 | |
Series A, Rev., 5.00%, 07/01/2028 | | | 1,400 | | | | 1,448 | |
| | | | | | | | |
| | |
| | | | | | | 345,425 | |
| | | | | | | | |
Puerto Rico — 0.8% | | | | | | | | |
Commonwealth of Puerto Rico, Restructured, | | | | | | | | |
Series A1, GO, 4.00%, 07/01/2033 | | | 481 | | | | 457 | |
Series A1, GO, 4.00%, 07/01/2041 | | | 505 | | | | 439 | |
Series A1, GO, 4.00%, 07/01/2046 | | | 525 | | | | 444 | |
Series A1, GO, 5.25%, 07/01/2023 | | | 1,267 | | | | 1,267 | |
Series A1, GO, 5.38%, 07/01/2025 | | | 1,917 | | | | 1,964 | |
Series A1, GO, 5.63%, 07/01/2027 | | | 4,045 | | | | 4,260 | |
Series A1, GO, 5.63%, 07/01/2029 | | | 2,000 | | | | 2,142 | |
Series A1, GO, 5.75%, 07/01/2031 | | | 2,008 | | | | 2,193 | |
Series A, GO, Zero Coupon, 07/01/2024 | | | 161 | | | | 154 | |
Series A, GO, Zero Coupon, 07/01/2033 | | | 7,410 | | | | 4,530 | |
Commonwealth of Puerto Rico, Subordinate, Note Claims, Series CW, 0.00%, 11/01/2043 (z) | | | 2,279 | | | | 1,148 | |
Puerto Rico Electric Power Authority, | | | | | | | | |
Series AAA, Rev., 5.25%, 07/01/2023 (d) | | | 100 | | | | 38 | |
Series AAA, Rev., 5.25%, 07/01/2024 (d) | | | 2,450 | | | | 919 | |
Series CCC, Rev., 4.63%, 07/01/2025 (d) | | | 100 | | | | 38 | |
Series DDD, Rev., 5.00%, 07/01/2020 (d) | | | 570 | | | | 214 | |
Series NN, Rev., NATL, 4.75%, 07/01/2033 | | | 30 | | | | 29 | |
Series TT, Rev., 5.00%, 07/01/2020 (d) | | | 285 | | | | 107 | |
Series TT, Rev., 5.00%, 07/01/2021 (d) | | | 100 | | | | 37 | |
Series TT, Rev., 5.00%, 07/01/2037 (d) | | | 1,200 | | | | 450 | |
Series XX, Rev., 4.63%, 07/01/2025 (d) | | | 100 | | | | 37 | |
Series XX, Rev., 4.75%, 07/01/2026 (d) | | | 295 | | | | 111 | |
Series ZZ, Rev., 4.25%, 07/01/2020 (d) | | | 470 | | | | 176 | |
Series ZZ, Rev., 5.25%, 07/01/2019 (d) | | | 580 | | | | 217 | |
Series ZZ, Rev., 5.25%, 07/01/2023 (d) | | | 500 | | | | 187 | |
Puerto Rico Electric Power Authority, Libor, Series UU, Rev., AGM, (ICE LIBOR USD 3 Month * 0.67 + 0.52%), 3.99%, 07/01/2029 (aa) | | | 500 | | | | 463 | |
Puerto Rico Highway & Transportation Authority, Restructured Toll Revenue, Series A, Rev., 5.00%, 07/01/2062 | | | 5,000 | | | | 4,863 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Puerto Rico — continued | | | | | | | | |
Puerto Rico Highway & Transportation Authority, Restructured Toll Revenue Convertible Capital Appreciation, Series C, Rev., 0.00%, 07/01/2053 | | | 3,000 | | | | 1,830 | |
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, Restructured, | | | | | | | | |
Series A1, Rev., Zero Coupon, 07/01/2031 | | | 2,925 | | | | 2,087 | |
Series A1, Rev., 4.75%, 07/01/2053 | | | 3,000 | | | | 2,859 | |
Series A1, Rev., 5.00%, 07/01/2058 | | | 9,500 | | | | 9,261 | |
Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue, Restructured, | | | | | | | | |
Series A1, Rev., 4.55%, 07/01/2040 | | | 1,385 | | | | 1,353 | |
Series A2, Rev., 4.33%, 07/01/2040 | | | 7,600 | | | | 7,228 | |
| | | | | | | | |
| | |
| | | | | | | 51,502 | |
| | | | | | | | |
Rhode Island — 0.2% | | | | | | | | |
Rhode Island Health and Educational Building Corp., Brown University, Series A, Rev., 4.00%, 09/01/2037 | | | 1,000 | | | | 1,015 | |
Rhode Island Housing and Mortgage Finance Corp., Series 71, Rev., GNMA COLL, 3.75%, 10/01/2049 | | | 375 | | | | 370 | |
Rhode Island Housing and Mortgage Finance Corp., Homeownership Opportunity, | | | | | | | | |
Series 73A, Rev., 0.95%, 04/01/2026 | | | 500 | | | | 462 | |
Series 73A, Rev., 1.10%, 04/01/2027 | | | 300 | | | | 272 | |
Series 73A, Rev., 1.65%, 10/01/2029 | | | 715 | | | | 625 | |
Series 73A, Rev., 3.00%, 10/01/2050 | | | 1,215 | | | | 1,172 | |
Rhode Island Housing and Mortgage Finance Corp., Social Bonds, Series 75A, Rev., 3.00%, 10/01/2051 | | | 2,720 | | | | 2,615 | |
Rhode Island Student Loan Authority, Senior Bond, Series A, Rev., AMT, 5.00%, 12/01/2029 | | | 370 | | | | 402 | |
Tobacco Settlement Financing Corp., Series B, Rev., 4.50%, 06/01/2045 | | | 3,170 | | | | 3,128 | |
| | | | | | | | |
| | |
| | | | | | | 10,061 | |
| | | | | | | | |
South Carolina — 0.9% | | | | | | | | |
City of Columbia Waterworks & Sewer System Revenue, Rev., 5.00%, 02/01/2047 | | | 2,625 | | | | 2,906 | |
City of Rock Hill, Combined Utility System Revenue, Rev., 5.00%, 01/01/2027 | | | 250 | | | | 261 | |
Columbia Housing Authority, Colonial Bluffs Apartments, Rev., 1.25%, 08/01/2025 (z) | | | 770 | | | | 747 | |
Lexington County Health Services District, Inc., Lexmed Obligated Group, | | | | | | | | |
Rev., 4.00%, 11/01/2030 | | | 1,000 | | | | 1,023 | |
Rev., 4.00%, 11/01/2031 | | | 1,000 | | | | 1,022 | |
Patriots Energy Group Financing Agency, Series A, Rev., LIQ: Royal Bank of Canada, 4.00%, 10/01/2048 (z) | | | 40 | | | | 40 | |
South Carolina Jobs-Economic Development Authority, Bon Secours Mercy Health, Series S, Rev., 5.00%, 12/01/2048 (z) | | | 1,000 | | | | 1,028 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 198 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
South Carolina — continued | | | | | | | | |
South Carolina Jobs-Economic Development Authority, McLeod Health Projects, Rev., 5.00%, 11/01/2048 | | | 1,000 | | | | 1,026 | |
South Carolina Jobs-Economic Development Authority, Prisma Health Obligated Group, Series A, Rev., 5.00%, 05/01/2030 | | | 1,500 | | | | 1,583 | |
South Carolina Ports Authority, Rev., AMT, 5.00%, 07/01/2043 | | | 5,680 | | | | 5,877 | |
South Carolina Public Service Authority, | | | | | | | | |
Series A, Rev., 4.00%, 12/01/2033 | | | 1,000 | | | | 1,005 | |
Series A, Rev., 4.00%, 12/01/2034 | | | 2,000 | | | | 2,008 | |
Series A, Rev., 4.00%, 12/01/2037 | | | 2,000 | | | | 1,993 | |
Series A, Rev., 4.00%, 12/01/2038 | | | 520 | | | | 515 | |
Series A, Rev., 5.00%, 12/01/2024 | | | 500 | | | | 510 | |
Series A, Rev., 5.00%, 12/01/2027 | | | 1,525 | | | | 1,623 | |
Series A, Rev., 5.00%, 12/01/2028 | | | 1,700 | | | | 1,740 | |
Series A, Rev., 5.00%, 12/01/2029 | | | 85 | | | | 93 | |
Series A, Rev., 5.00%, 12/01/2031 | | | 4,500 | | | | 4,916 | |
Series A, Rev., 5.00%, 12/01/2032 | | | 1,000 | | | | 1,089 | |
Series B, Rev., 5.00%, 12/01/2040 | | | 1,000 | | | | 1,056 | |
Series B, Rev., 5.00%, 12/01/2041 | | | 1,000 | | | | 1,016 | |
South Carolina Public Service Authority, Bond Exchange, Series A, Rev., 5.00%, 12/01/2050 | | | 5,000 | | | | 5,013 | |
South Carolina Public Service Authority, Obligations, Series C, Rev., 5.00%, 12/01/2027 | | | 1,600 | | | | 1,675 | |
South Carolina State Housing Finance & Development Authority, | | | | | | | | |
Series A, Rev., 3.00%, 01/01/2052 | | | 705 | | | | 678 | |
Series A, Rev., 4.00%, 01/01/2052 | | | 870 | | | | 865 | |
Series B, Rev., 3.25%, 01/01/2052 | | | 6,855 | | | | 6,670 | |
South Carolina State Housing Finance & Development Authority, James Lewis Jr. Eastside, Rev., FNMA COLL, 0.30%, 09/01/2024 (z) | | | 2,190 | | | | 2,128 | |
South Carolina State Housing Finance & Development Authority, Villages At Congaree, Rev., 1.25%, 06/01/2025 (z) | | | 895 | | | | 872 | |
Spartanburg Housing Authority, Connecticut Village Apartments, Rev., 1.05%, 08/01/2025 (z) | | | 625 | | | | 623 | |
Spartanburg Housing Authority, Hickory Heights and Oakland, Rev., HUD, 0.29%, 10/01/2024 (z) | | | 1,000 | | | | 989 | |
Spartanburg Regional Health Services District, Services District, Inc., | | | | | | | | |
Rev., 5.00%, 04/15/2026 | | | 565 | | | | 586 | |
Rev., 5.00%, 04/15/2028 | | | 500 | | | | 535 | |
| | | | | | | | |
| | |
| | | | | | | 53,711 | |
| | | | | | | | |
South Dakota — 0.1% | | | | | | | | |
County of Lincoln, Augustana College Association, Rev., 4.00%, 08/01/2041 | | | 250 | | | | 219 | |
South Dakota Housing Development Authority, Series C, Rev., GNMA/FNMA/FHLMC COLL, 3.50%, 05/01/2051 | | | 1,000 | | | | 978 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
South Dakota — continued | | | | | | | | |
South Dakota Housing Development Authority, Homeownership Mortgage, Series B, Rev., 3.00%, 11/01/2051 | | | 2,780 | | | | 2,672 | |
| | | | | | | | |
| | |
| | | | | | | 3,869 | |
| | | | | | | | |
Tennessee — 1.2% | | | | | | | | |
Chattanooga Health Educational & Housing Facility Board, Battery Heights Apartments, Rev., 0.20%, 08/01/2024 (z) | | | 90 | | | | 90 | |
Chattanooga Health Educational & Housing Facility Board, Commonspirit Health, Series A1, Rev., 5.00%, 08/01/2028 | | | 305 | | | | 326 | |
City of Clarksville Water Sewer & Gas Revenue, Rev., 5.00%, 02/01/2041 (p) | | | 965 | | | | 1,013 | |
City of Memphis Storm Water System Revenue, Rev., 5.00%, 10/01/2044 | | | 3,365 | | | | 3,541 | |
County of Coffee, GO, 5.00%, 06/01/2026 | | | 250 | | | | 264 | |
Health Educational and Housing Facility Board of the City of Memphis (The), Tillman Cove Apartments, Rev., HUD, 0.55%, 12/01/2024 (z) | | | 2,275 | | | | 2,192 | |
Knox County Health Educational & Housing Facility Board, Westview Towers Project, Rev., HUD, 3.95%, 12/01/2027 (z) | | | 410 | | | | 409 | |
Knoxville’s Community Development Corp., Austin 1B Apartments Project, Rev., 0.22%, 10/01/2024 (z) | | | 320 | | | | 316 | |
Memphis-Shelby County Airport Authority, | | | | | | | | |
Rev., AMT, 5.00%, 07/01/2032 | | | 270 | | | | 286 | |
Rev., AMT, 5.00%, 07/01/2043 | | | 2,055 | | | | 2,109 | |
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Bond, Vanderbilt University Medical Center, Rev., 5.00%, 07/01/2046 | | | 1,285 | | | | 1,308 | |
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Bond, Vanderbilt University Medical Center, Series A, Rev., 5.00%, 07/01/2040 | | | 7,555 | | | | 7,732 | |
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Bond, Richland Hills Apartments Project, Rev., HUD, 1.25%, 12/01/2024 (z) | | | 5,644 | | | | 5,587 | |
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Bond, Vanderbilt University Medical, Rev., 5.00%, 07/01/2031 | | | 2,785 | | | | 3,089 | |
Metropolitan Government Nashville & Davidson County Industrial Development Bond, Waste Management, Inc. Tenn Project, Rev., AMT, 0.58%, 08/01/2031 (z) | | | 600 | | | | 579 | |
Metropolitan Government of Nashville & Davidson County, Water & Sewer Revenue, Rev., 5.00%, 07/01/2025 (p) | | | 50 | | | | 50 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 199 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Tennessee — continued | | | | | | | | |
Metropolitan Government of Nashville & Davidson County, Water & Sewer Revenue, Subordinate, Series B, Rev., 5.00%, 07/01/2035 | | | 1,500 | | | | 1,614 | |
Metropolitan Nashville Airport Authority (The), | | | | | | | | |
Series B, Rev., AMT, 5.00%, 07/01/2026 | | | 70 | | | | 72 | |
Series B, Rev., AMT, 5.00%, 07/01/2027 | | | 170 | | | | 179 | |
Series B, Rev., AMT, 5.25%, 07/01/2033 | | | 270 | | | | 307 | |
Series B, Rev., AMT, 5.25%, 07/01/2047 | | | 3,500 | | | | 3,737 | |
Series B, Rev., AMT, 5.50%, 07/01/2038 | | | 1,625 | | | | 1,817 | |
Tennergy Corp., Series A, Rev., 4.00%, 12/01/2051 (z) | | | 5,500 | | | | 5,426 | |
Tennergy Corp., Gas Supply Bonds, Series A, Rev., 5.50%, 10/01/2053 (z) | | | 5,000 | | | | 5,293 | |
Tennessee Energy Acquisition Corp., | | | | | | | | |
Rev., 4.00%, 11/01/2049 (z) | | | 4,480 | | | | 4,456 | |
Rev., 5.00%, 05/01/2052 (z) | | | 18,000 | | | | 18,673 | |
Tennessee Energy Acquisition Corp., Gas Project, Series A1, Rev., 5.00%, 05/01/2053 (z) | | | 4,000 | | | | 4,138 | |
Tennessee Housing Development Agency, Residential Finance Program I, Rev., 3.75%, 01/01/2050 | | | 230 | | | | 227 | |
| | | | | | | | |
| | |
| | | | | | | 74,830 | |
| | | | | | | | |
Texas — 9.2% | | | | | | | | |
Argyle Independent School District, Series A, GO, PSF-GTD, 5.00%, 08/15/2027 | | | 1,000 | | | | 1,083 | |
Arlington Higher Education Finance Corp., | | | | | | | | |
Series A, Rev., PSF-GTD, 4.00%, 08/15/2024 | | | 200 | | | | 201 | |
Series A, Rev., PSF-GTD, 4.00%, 08/15/2025 | | | 445 | | | | 449 | |
Series A, Rev., PSF-GTD, 4.00%, 08/15/2026 | | | 265 | | | | 270 | |
Series A, Rev., PSF-GTD, 4.00%, 08/15/2030 | | | 425 | | | | 443 | |
Series A, Rev., PSF-GTD, 5.00%, 08/15/2031 | | | 555 | | | | 635 | |
Arlington Higher Education Finance Corp., Legacy Traditional Schools, Rev., 4.13%, 02/15/2041 | | | 815 | | | | 618 | |
Arlington Higher Education Finance Corp., Legacy Traditional Schools Texas, Rev., 6.00%, 02/15/2042 (e) | | | 250 | | | | 237 | |
Austin Convention Enterprises, Inc., First Tier Convention Center, Rev., 5.00%, 01/01/2033 | | | 1,125 | | | | 1,148 | |
Austin Independent School District, | | | | | | | | |
GO, 5.00%, 08/01/2026 | | | 1,000 | | | | 1,061 | |
GO, 5.00%, 08/01/2038 | | | 500 | | | | 570 | |
Barbers Hill Independent School District, | | | | | | | | |
GO, PSF-GTD, 5.00%, 02/15/2033 | | | 1,010 | | | | 1,183 | |
GO, PSF-GTD, 5.00%, 02/15/2035 | | | 3,000 | | | | 3,476 | |
Beaumont Independent School District, GO, PSF-GTD, 5.00%, 02/15/2028 | | | 1,535 | | | | 1,607 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Texas — continued | | | | | | | | |
Bexar County Hospital District, Certificates of Obligation, | | | | | | | | |
GO, 5.00%, 02/15/2036 | | | 370 | | | | 417 | |
GO, 5.00%, 02/15/2037 | | | 230 | | | | 257 | |
Board of Regents of the University of Texas System, | | | | | | | | |
Series A, Rev., 5.00%, 08/15/2030 | | | 1,000 | | | | 1,151 | |
Series E, Rev., 5.00%, 08/15/2027 | | | 1,000 | | | | 1,084 | |
Board of Regents of the University of Texas System, Financing System, Series A, Rev., 4.00%, 08/15/2036 | | | 1,000 | | | | 1,000 | |
Boerne Independent School District, GO, PSF-GTD, 3.13%, 02/01/2053 (z) | | | 1,775 | | | | 1,757 | |
Brazoria County Toll Road Authority, Subordinated Lien, Series A, Rev., CNTY GTD, 5.00%, 03/01/2033 | | | 1,670 | | | | 1,794 | |
Brazosport Independent School District, | | | | | | | | |
GO, PSF-GTD, 5.00%, 02/15/2029 | | | 2,000 | | | | 2,232 | |
GO, PSF-GTD, 5.00%, 02/15/2030 | | | 1,925 | | | | 2,146 | |
Cameron County Housing Finance Corp., Sunfield Country Apartments, Rev., 0.28%, 02/01/2024 (z) | | | 415 | | | | 414 | |
Capital Area Housing Finance Corp., Redwood Apartments, Rev., 0.41%, 01/01/2041 (z) | | | 6,605 | | | | 6,468 | |
Central Texas Regional Mobility Authority, | | | | | | | | |
Series B, Rev., 4.00%, 01/01/2040 | | | 800 | | | | 793 | |
Series B, Rev., 4.00%, 01/01/2051 | | | 1,250 | | | | 1,169 | |
Series B, Rev., 5.00%, 01/01/2037 | | | 1,000 | | | | 1,082 | |
Series B, Rev., 5.00%, 01/01/2046 | | | 1,500 | | | | 1,581 | |
Central Texas Regional Mobility Authority, Senior Lien, | | | | | | | | |
Series B, Rev., 4.00%, 01/01/2039 | | | 600 | | | | 599 | |
Series B, Rev., 4.00%, 01/01/2040 | | | 500 | | | | 496 | |
Series B, Rev., 5.00%, 01/01/2024 | | | 230 | | | | 232 | |
Series B, Rev., 5.00%, 01/01/2045 | | | 3,595 | | | | 3,773 | |
Series D, Rev., 5.00%, 01/01/2033 | | | 480 | | | | 537 | |
Series E, Rev., 5.00%, 01/01/2045 | | | 2,665 | | | | 2,797 | |
Central Texas Regional Mobility Authority, Subordinated, Series F, Rev., BAN, 5.00%, 01/01/2025 | | | 4,770 | | | | 4,835 | |
Central Texas Turnpike System, Subordinate, Series C, Rev., 5.00%, 08/15/2042 | | | 5,000 | | | | 5,031 | |
City Austin, Certificates Obligation, | | | | | | | | |
GO, 5.00%, 09/01/2032 | | | 1,750 | | | | 1,998 | |
GO, 5.00%, 09/01/2033 | | | 1,100 | | | | 1,254 | |
GO, 5.00%, 09/01/2034 | | | 1,750 | | | | 1,991 | |
City of Arlington, Tax Increment Reinvestment Zone, Tax Allocation, 4.00%, 08/15/2041 | | | 1,000 | | | | 908 | |
City of Austin Airport System Revenue, | | | | | | | | |
Rev., AMT, 5.00%, 11/15/2029 | | | 1,400 | | | | 1,519 | |
Rev., AMT, 5.00%, 11/15/2040 | | | 1,500 | | | | 1,600 | |
City of Austin Water & Wastewater System Revenue, | | | | | | | | |
Rev., 4.00%, 11/15/2036 | | | 185 | | | | 190 | |
Rev., 5.00%, 11/15/2039 | | | 500 | | | | 503 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 200 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Texas — continued | | | | | | | | |
Series C, Rev., 5.00%, 11/15/2025 (p) | | | 175 | | | | 183 | |
Series C, Rev., 5.00%, 11/15/2032 | | | 1,000 | | | | 1,150 | |
City of Austin Water & Wastewater System Revenue, Unrefunded, Series C, Rev., 5.00%, 11/15/2025 | | | 335 | | | | 350 | |
City of Austin, Airport System Revenue, | | | | | | | | |
Series B, Rev., AMT, 5.00%, 11/15/2030 | | | 1,000 | | | | 1,086 | |
Series B, Rev., AMT, 5.00%, 11/15/2033 | | | 1,130 | | | | 1,174 | |
Series B, Rev., AMT, 5.00%, 11/15/2036 | | | 3,335 | | | | 3,474 | |
City of Austin, Electric Utility Revenue, | | | | | | | | |
Series A, Rev., 5.00%, 11/15/2038 | | | 1,265 | | | | 1,302 | |
Series B, Rev., 5.00%, 11/15/2037 | | | 1,505 | | | | 1,654 | |
Series B, Rev., 5.00%, 11/15/2038 | | | 1,340 | | | | 1,465 | |
Series B, Rev., 5.00%, 11/15/2044 | | | 1,000 | | | | 1,069 | |
City of Austin, Refunding & Public Improvement, GO, 5.00%, 09/01/2033 | | | 620 | | | | 707 | |
City of Austin, Water & Wastewater System Revenue, Rev., 5.00%, 11/15/2041 | | | 7,000 | | | | 7,304 | |
City of Corpus Christi, Utility System Revenue, | | | | | | | | |
Rev., 5.00%, 07/15/2028 (w) | | | 1,885 | | | | 2,063 | |
Rev., 5.00%, 07/15/2039 (w) | | | 1,000 | | | | 1,116 | |
City of Dallas Housing Finance Corp., Midpark Towers, Rev., 0.35%, 01/01/2024 (z) | | | 120 | | | | 120 | |
City of Dallas Waterworks & Sewer System Revenue, | | | | | | | | |
Series A, Rev., 5.00%, 10/01/2047 | | | 5,000 | | | | 5,579 | |
Series C, Rev., 4.00%, 10/01/2031 | | | 2,000 | | | | 2,111 | |
Series C, Rev., 4.00%, 10/01/2039 | | | 7,470 | | | | 7,608 | |
Series C, Rev., 4.00%, 10/01/2040 | | | 1,000 | | | | 1,013 | |
Series C, Rev., 5.00%, 10/01/2029 | | | 1,125 | | | | 1,265 | |
City of Eagle Pass, Certificates Obligation, | | | | | | | | |
GO, AGM, 4.00%, 03/01/2039 | | | 500 | | | | 501 | |
GO, AGM, 4.00%, 03/01/2041 | | | 680 | | | | 683 | |
City of Fort Worth, GO, 4.00%, 03/01/2030 | | | 1,150 | | | | 1,201 | |
City of Garland, Certificates Obligation, GO, 5.00%, 02/15/2024 | | | 275 | | | | 278 | |
City of Haslet, Improvement Area Second Project, Special Assessment, 3.25%, 09/01/2031 (e) | | | 500 | | | | 426 | |
City of Houston Airport System Revenue, Subordinate Lien, | | | | | | | | |
Rev., AGM, AMT, 5.00%, 07/01/2028 (w) | | | 550 | | | | 585 | |
Rev., AGM, AMT, 5.00%, 07/01/2029 (w) | | | 1,580 | | | | 1,696 | |
Rev., AGM, AMT, 5.00%, 07/01/2037 (w) | | | 2,000 | | | | 2,174 | |
City of Houston Airport System Revenue, Subordinated, Series A, Rev., AMT, 4.00%, 07/01/2035 | | | 1,000 | | | | 1,001 | |
City of Houston Airport System Revenue, Subordinated Lien, | | | | | | | | |
Series A, Rev., AMT, 4.00%, 07/01/2040 | | | 3,570 | | | | 3,443 | |
Series A, Rev., AMT, 5.00%, 07/01/2024 | | | 1,000 | | | | 1,010 | |
Series A, Rev., AMT, 5.00%, 07/01/2028 | | | 1,000 | | | | 1,065 | |
Series A, Rev., AMT, 5.00%, 07/01/2034 | | | 2,500 | | | | 2,721 | |
Series B, Rev., 5.00%, 07/01/2027 | | | 1,995 | | | | 2,148 | |
City of Houston Airport System Revenue, United Airlines, Inc. Terminal, Rev., AMT, 4.00%, 07/15/2041 | | | 4,365 | | | | 3,957 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Texas — continued | | | | | | | | |
City of Houston Combined Utility System Revenue, First Lien, Series A, Rev., 4.00%, 11/15/2033 | | | 1,200 | | | | 1,264 | |
City of Houston Hotel Occupancy Tax & Special Revenue, Convention & Entertainment, | | | | | | | | |
Rev., 4.00%, 09/01/2023 | | | 50 | | | | 50 | |
Rev., 4.00%, 09/01/2024 | | | 150 | | | | 151 | |
Rev., 4.00%, 09/01/2025 | | | 45 | | | | 45 | |
Rev., 4.00%, 09/01/2029 | | | 280 | | | | 292 | |
City of Houston, Airport System Revenue, Series C, Rev., AMT, 5.00%, 07/01/2028 | | | 470 | | | | 501 | |
City of Houston, Airport System Revenue, Special Facilities, United Airlines, Inc., Rev., AMT, 5.00%, 07/15/2028 | | | 600 | | | | 610 | |
City of Houston, Airport System Revenue, Subordinated Lien, | | | | | | | | |
Series A, Rev., AMT, 5.00%, 07/01/2028 | | | 890 | | | | 948 | |
Series B, Rev., 5.00%, 07/01/2026 | | | 1,000 | | | | 1,056 | |
City of Houston, Combined Utility System Revenue, First Lien, | | | | | | | | |
Series A, Rev., 5.00%, 11/15/2029 | | | 1,100 | | | | 1,238 | |
Series C, Rev., 5.00%, 11/15/2029 | | | 3,100 | | | | 3,490 | |
City of Justin, Timberbrook Public Improvement, Special Assessment, 3.00%, 09/01/2031 (e) | | | 315 | | | | 274 | |
City of Kyle, 6 Creeks Public Improvement, Special Assessment, 2.63%, 09/01/2025 (e) | | | 330 | | | | 312 | |
City of Lewisville, Waterworks & Sewer System Revenue, Rev., 5.00%, 02/15/2038 | | | 1,015 | | | | 1,148 | |
City of Lubbock Electric Light & Power System Revenue, | | | | | | | | |
Rev., 5.00%, 04/15/2026 | | | 800 | | | | 837 | |
Rev., 5.00%, 04/15/2027 | | | 785 | | | | 837 | |
Rev., 5.00%, 04/15/2028 | | | 900 | | | | 975 | |
City of McKinney Waterworks & Sewer System Revenue, Rev., 5.00%, 03/15/2026 | | | 350 | | | | 368 | |
City of Palestine, Certificates Obligation, GO, AGM, 4.00%, 02/15/2046 | | | 5,000 | | | | 4,904 | |
City of San Antonio Electric & Gas Systems Revenue, | | | | | | | | |
Rev., 4.00%, 02/01/2030 | | | 1,660 | | | | 1,751 | |
Rev., 5.00%, 02/01/2025 | | | 3,095 | | | | 3,182 | |
City of San Antonio Electric & Gas Systems Revenue, Junior Lien, | | | | | | | | |
Rev., 4.00%, 02/01/2037 | | | 1,000 | | | | 1,024 | |
Rev., (SIFMA Municipal Swap Index + 0.87%), 4.88%, 02/01/2048 (aa) | | | 3,000 | | | | 3,000 | |
Series D, Rev., 1.13%, 12/01/2045 (z) | | | 6,510 | | | | 5,752 | |
City of San Antonio, Electric & Gas Systems Revenue, Rev., 4.00%, 02/01/2027 | | | 2,000 | | | | 2,059 | |
Cleburne Independent School District, School Building, GO, PSF-GTD, 5.00%, 02/15/2036 | | | 1,065 | | | | 1,101 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 201 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Texas — continued | | | | | | | | |
Clifton Higher Education Finance Corp., Idea Public School, | | | | | | | | |
Series A, Rev., 4.00%, 08/15/2035 | | | 415 | | | | 407 | |
Series A, Rev., 4.00%, 08/15/2047 | | | 1,300 | | | | 1,142 | |
Series T, Rev., PSF-GTD, 4.00%, 08/15/2036 | | | 700 | | | | 715 | |
Series T, Rev., PSF-GTD, 4.00%, 08/15/2047 | | | 1,175 | | | | 1,140 | |
Series T, Rev., PSF-GTD, 5.00%, 08/15/2023 | | | 60 | | | | 60 | |
Series T, Rev., PSF-GTD, 5.00%, 08/15/2024 | | | 65 | | | | 66 | |
Series T, Rev., PSF-GTD, 5.00%, 08/15/2025 | | | 70 | | | | 72 | |
Series T, Rev., PSF-GTD, 5.00%, 08/15/2026 | | | 55 | | | | 58 | |
Series T, Rev., PSF-GTD, 5.00%, 08/15/2027 | | | 30 | | | | 32 | |
Series T, Rev., PSF-GTD, 5.00%, 08/15/2028 | | | 40 | | | | 43 | |
Series T, Rev., PSF-GTD, 5.00%, 08/15/2030 | | | 215 | | | | 239 | |
Clifton Higher Education Finance Corp., Idea Public Schools, Rev., PSF-GTD, 5.00%, 08/15/2026 | | | 1,840 | | | | 1,931 | |
Clifton Higher Education Finance Corp., International Leadership of Texas, | | | | | | | | |
Rev., PSF-GTD, 4.00%, 08/15/2023 | | | 75 | | | | 75 | |
Rev., PSF-GTD, 4.00%, 08/15/2024 | | | 115 | | | | 116 | |
Rev., PSF-GTD, 4.00%, 08/15/2025 | | | 145 | | | | 147 | |
Conroe Independent School District, Series A, GO, PSF-GTD, 5.00%, 02/15/2024 | | | 750 | | | | 759 | |
County of Bexar, | | | | | | | | |
GO, 4.00%, 06/15/2040 | | | 11,085 | | | | 11,102 | |
GO, 5.00%, 06/15/2043 (p) | | | 2,000 | | | | 2,117 | |
County of Collin, GO, 5.00%, 02/15/2029 (w) | | | 2,000 | | | | 2,223 | |
County of Dallas, Certificates of Obligation, GO, 5.00%, 08/15/2041 | | | 2,550 | | | | 2,852 | |
County of Denton, GO, 5.00%, 07/15/2027 | | | 1,000 | | | | 1,080 | |
County of El Paso, Series A, GO, 5.00%, 02/15/2027 | | | 1,430 | | | | 1,496 | |
County of Harris, | | | | | | | | |
Series A, GO, 5.00%, 10/01/2024 | | | 1,900 | | | | 1,945 | |
Series A, GO, 5.00%, 10/01/2029 | | | 1,150 | | | | 1,296 | |
County of Harris, Subordinate, Series A, GO, 5.00%, 08/15/2026 | | | 1,750 | | | | 1,856 | |
County of Nueces, GO, 5.00%, 02/15/2029 | | | 460 | | | | 510 | |
Cypress-Fairbanks Independent School District, School Building, Series B2, GO, PSF-GTD, 0.28%, 02/15/2040 (z) | | | 1,350 | | | | 1,297 | |
Dallas Area Rapid Transit, | | | | | | | | |
Series A, Rev., 5.00%, 12/01/2029 (p) | | | 1,890 | | | | 1,974 | |
Series A, Rev., 5.00%, 12/01/2046 (p) | | | 2,000 | | | | 2,088 | |
Dallas Area Rapid Transit, Senior Lien, Rev., 5.00%, 12/01/2032 | | | 1,000 | | | | 1,125 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Texas — continued | | | | | | | | |
Dallas Fort Worth International Airport, Series B, Rev., 5.00%, 11/01/2050 | | | 4,000 | | | | 4,317 | |
Dallas Fort Worth International Airport, Dallas Fort Worth International, | | | | | | | | |
Rev., 5.00%, 11/01/2025 | | | 1,825 | | | | 1,901 | |
Rev., 5.00%, 11/01/2026 | | | 2,850 | | | | 3,031 | |
Dallas Independent School District, GO, PSF-GTD, 5.00%, 02/15/2026 | | | 1,240 | | | | 1,303 | |
Deer Park Independent School District, GO, PSF-GTD, 5.00%, 08/15/2028 | | | 1,000 | | | | 1,106 | |
Del Valle Independent School District, | | | | | | | | |
GO, PSF-GTD, 4.00%, 06/15/2031 | | | 3,085 | | | | 3,290 | |
GO, PSF-GTD, 4.00%, 06/15/2032 | | | 3,405 | | | | 3,616 | |
GO, PSF-GTD, 4.00%, 06/15/2033 | | | 5,740 | | | | 6,092 | |
GO, PSF-GTD, 4.00%, 06/15/2034 | | | 3,280 | | | | 3,477 | |
GO, PSF-GTD, 5.00%, 06/15/2026 | | | 1,750 | | | | 1,849 | |
Denton Independent School District, GO, PSF-GTD, 5.00%, 08/15/2027 | | | 1,000 | | | | 1,082 | |
Eagle Mountain & Saginaw Independent School District, GO, PSF-GTD, 5.00%, 08/15/2026 | | | 1,000 | | | | 1,058 | |
Fort Bend Grand Parkway Toll Road Authority, | | | | | | | | |
Series A, Rev., CNTY GTD, 5.00%, 03/01/2026 | | | 750 | | | | 787 | |
Series A, Rev., CNTY GTD, 5.00%, 03/01/2027 | | | 285 | | | | 305 | |
Series A, Rev., CNTY GTD, 5.00%, 03/01/2029 | | | 390 | | | | 434 | |
Series A, Rev., CNTY GTD, 5.00%, 03/01/2030 | | | 1,000 | | | | 1,132 | |
Fort Bend Independent School District, | | | | | | | | |
Series B, GO, PSF-GTD, 0.72%, 08/01/2051 (z) | | | 640 | | | | 567 | |
Series B, GO, PSF-GTD, 0.88%, 08/01/2050 (z) | | | 860 | | | | 808 | |
Fort Worth Independent School District, GO, PSF-GTD, 5.00%, 02/15/2040 | | | 1,750 | | | | 1,980 | |
Frisco Independent School District, school Building, Series A, GO, PSF-GTD, 4.00%, 08/15/2032 | | | 2,140 | | | | 2,179 | |
Galveston Public Facility Corp., The Oleanders At Broadway, Rev., HUD, 0.47%, 08/01/2025 (z) | | | 560 | | | | 538 | |
Goose Creek Consolidated Independent School District, GO, PSF-GTD, 5.00%, 02/15/2026 | | | 900 | | | | 944 | |
Grand Parkway Transportation Corp., Grand Parkway System, Rev., 4.00%, 10/01/2045 | | | 10,125 | | | | 9,897 | |
Grand Parkway Transportation Corp., Subordinated Tier Toll, Series B, Rev., 5.00%, 04/01/2053 (p) | | | 100 | | | | 100 | |
Hale Center Education Facilities Corp., Wayland Baptist University Project, Rev., 5.00%, 03/01/2034 | | | 1,265 | | | | 1,328 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 202 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Texas — continued | | | | | | | | |
Harlandale Independent School District, GO, PSF-GTD, 0.75%, 08/15/2045 (z) | | | 465 | | | | 442 | |
Harlandale Independent School District, Variable Maintenance Tax Notes, GO, BAM, 2.00%, 08/15/2040 (z) | | | 350 | | | | 346 | |
Harlingen Consolidated Independent School District, GO, PSF-GTD, 5.00%, 08/15/2024 | | | 80 | | | | 82 | |
Harris County Cultural Education Facilities Finance Corp., Medical Facilities Mortgage Revenue, Rev., (ICE LIBOR USD 1 Month * 0.70 + 0.65%), 4.27%, 11/15/2046 (aa) | | | 1,130 | | | | 1,130 | |
Harris County Cultural Education Facilities Finance Corp., Texas Children’s Hospital, | | | | | | | | |
Rev., 4.00%, 10/01/2041 | | | 3,205 | | | | 3,166 | |
Rev., 5.00%, 10/01/2051 (z) | | | 3,000 | | | | 3,427 | |
Harris County Cultural Education Facilities Finance Corp., Texas Medical Center, Series A, Rev., 0.90%, 05/15/2050 (z) | | | 6,315 | | | | 5,938 | |
Harris County Flood Control District, Series A, GO, 5.00%, 10/01/2029 | | | 1,700 | | | | 1,919 | |
Harris County Flood Control District, Sustainability Bond, | | | | | | | | |
Series A, GO, 4.00%, 09/15/2041 (w) | | | 2,500 | | | | 2,522 | |
Series A, GO, 4.00%, 09/15/2048 (w) | | | 9,000 | | | | 8,835 | |
Harris County Industrial Development Corp., Energy Transfer, Rev., 4.05%, 11/01/2050 (z) | | | 2,000 | | | | 2,012 | |
Harris County Toll Road Authority, First Lien, Rev., 5.00%, 08/15/2030 | | | 1,200 | | | | 1,368 | |
Harris County, Cultural Education Facilities Finance Corp., Memorial Hermann, Rev., 5.00%, 06/01/2032 (z) | | | 1,000 | | | | 1,019 | |
Harris County, Toll Road Authority, Senior Lien, Series A, Rev., 5.00%, 08/15/2024 | | | 100 | | | | 102 | |
Hidalgo County Regional Mobility Authority, Senior Lien, | | | | | | | | |
Series A, Rev., 5.00%, 12/01/2032 | | | 1,000 | | | | 1,069 | |
Series A, Rev., 5.00%, 12/01/2033 | | | 575 | | | | 611 | |
Series A, Rev., 5.00%, 12/01/2034 | | | 750 | | | | 791 | |
Housing Options, Inc., The Oaks Project, Rev., 0.50%, 08/01/2041 (z) | | | 240 | | | | 223 | |
Houston Higher Education Finance Corp., Houston Baptist University, Rev., 4.00%, 10/01/2051 | | | 1,100 | | | | 918 | |
Houston Higher Education Finance Corp., Kipp, Inc., Rev., PSF-GTD, 4.00%, 08/15/2040 | | | 2,500 | | | | 2,409 | |
Houston Housing Finance Corp., Temenos Place Apartments, Rev., 0.29%, 08/01/2024 (z) | | | 60 | | | | 60 | |
Houston Independent School District, Series C, GO, PSF-GTD, 4.00%, 06/01/2039 (z) | | | 4,350 | | | | 4,400 | |
Katy Independent School District, Series B, GO, PSF-GTD, 5.00%, 02/15/2036 | | | 2,475 | | | | 2,575 | |
Kilgore Independent School District, GO, PSF-GTD, 5.00%, 02/15/2026 | | | 450 | | | | 472 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Texas — continued | | | | | | | | |
Lake Houston Redevelopment Authority, Rev., 4.00%, 09/01/2035 | | | 250 | | | | 237 | |
Lake Travis Independent School District, School Building, Series A, GO, PSF-GTD, 5.00%, 02/15/2043 (p) | | | 1,090 | | | | 1,171 | |
Lamar Consolidated Independent School District, GO, PSF-GTD, 5.00%, 02/15/2029 | | | 150 | | | | 167 | |
Love Field Airport Modernization Corp., Southwest Airlines Co. Project, Rev., AMT, 5.00%, 11/01/2028 | | | 2,000 | | | | 2,000 | |
Lower Colorado River Authority, | | | | | | | | |
Rev., AGM, 4.00%, 05/15/2033 | | | 500 | | | | 503 | |
Rev., AGM, 5.00%, 05/15/2031 | | | 4,795 | | | | 5,526 | |
Rev., AGM, 5.00%, 05/15/2032 | | | 5,000 | | | | 5,711 | |
Series A, Rev., 5.00%, 05/15/2027 | | | 420 | | | | 450 | |
Lower Colorado River Authority, LCRA Transmission Services, Rev., 5.00%, 05/15/2027 | | | 700 | | | | 749 | |
Lower Colorado River Authority, LCRA Transmission Services, Rev., 5.00%, 05/15/2030 | | | 1,000 | | | | 1,128 | |
Lower Colorado, River Authority, Transmission Services Contract, Rev., 5.00%, 05/15/2029 | | | 100 | | | | 111 | |
Mansfield Independent School District, GO, PSF-GTD, 3.00%, 08/01/2036 | | | 1,000 | | | | 932 | |
Matagorda County Navigation District No. 1, Central Power & Light Co., Rev., 2.60%, 11/01/2029 | | | 3,500 | | | | 3,156 | |
Matagorda County Navigation District No. 1, Central Power and Light Co., Rev., AMT, 0.90%, 05/01/2030 (z) | | | 4,945 | | | | 4,912 | |
Medina Valley Independent School District, GO, PSF-GTD, 0.82%, 02/15/2051 (z) | | | 615 | | | | 563 | |
Metropolitan Transit Authority of Harris County Sales & Use Tax Revenue, Contractual Obligation, Series B, Rev., 5.00%, 11/01/2025 | | | 435 | | | | 453 | |
New Hope Cultural Education Facilities Finance Corp., Children’s Health System, Series A, Rev., 5.00%, 08/15/2047 | | | 1,000 | | | | 1,026 | |
New Hope Cultural Education Facilities Finance Corp., NCCD College Station Project, Series A, Rev., 5.00%, 07/01/2035 (d) | | | 1,500 | | | | 1,357 | |
New Hope Cultural Education Facilities Finance Corp., Westminster Project, Rev., 4.00%, 11/01/2049 | | | 100 | | | | 78 | |
Newark Higher Education Finance Corp., Austin Achieve Public Schools, Rev., PSF-GTD, 5.00%, 06/15/2038 | | | 1,365 | | | | 1,509 | |
North Central Texas Housing Finance Corp., Bluebonnet Ridge Apartment, Rev., 0.38%, 08/01/2040 (z) | | | 505 | | | | 483 | |
North East Independent School District, Series C, GO, PSF-GTD, 2.05%, 08/01/2046 (z) | | | 2,665 | | | | 2,662 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 203 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Texas — continued | | | | | | | | |
North Fort Bend Water Authority, Rev., BAM, 5.00%, 12/15/2026 | | | 1,520 | | | | 1,620 | |
North Texas Municipal Water District Water System Revenue, Rev., 3.00%, 09/01/2041 | | | 575 | | | | 487 | |
North Texas Tollway Authority, | | | | | | | | |
Series A, Rev., 5.00%, 01/01/2029 | | | 1,800 | | | | 1,886 | |
Series B, Rev., 5.00%, 01/01/2027 | | | 1,150 | | | | 1,178 | |
North Texas Tollway Authority, Capital Appreciation, First Tier, Rev., AGC, Zero Coupon, 01/01/2030 | | | 1,500 | | | | 1,202 | |
North Texas Tollway Authority, First Tier Bonds, | | | | | | | | |
Series A, Rev., 4.00%, 01/01/2035 | | | 2,000 | | | | 2,054 | |
Series A, Rev., 5.00%, 01/01/2037 | | | 1,500 | | | | 1,653 | |
Series A, Rev., 5.00%, 01/01/2040 | | | 4,000 | | | | 4,313 | |
North Texas Tollway Authority, Second Tier, | | | | | | | | |
Rev., 4.25%, 01/01/2049 | | | 4,000 | | | | 3,959 | |
Rev., 5.00%, 01/01/2048 | | | 2,335 | | | | 2,413 | |
Series B, Rev., 4.00%, 01/01/2035 | | | 1,000 | | | | 1,032 | |
Series B, Rev., 4.00%, 01/01/2037 | | | 1,000 | | | | 1,012 | |
Series B, Rev., 5.00%, 01/01/2027 | | | 215 | | | | 225 | |
Series B, Rev., 5.00%, 01/01/2033 | | | 1,000 | | | | 1,060 | |
North Texas Tollway Authority, Unrefunded First Tier, Series A, Rev., 5.00%, 01/01/2025 | | | 45 | | | | 45 | |
Northside Independent School District, GO, PSF-GTD, 0.70%, 06/01/2050 (z) | | | 13,550 | | | | 12,795 | |
Northwest Independent School District, School Building, GO, PSF-GTD, 5.00%, 02/15/2042 (p) | | | 4,515 | | | | 4,745 | |
Odessa Junior College District, Consolidated Fund, Rev., AGM, 4.00%, 07/01/2026 | | | 1,015 | | | | 1,040 | |
Pasadena Independent School District, GO, PSF-GTD, 5.00%, 02/15/2047 | | | 2,000 | | | | 2,185 | |
Pearland Independent School District, GO, PSF-GTD, 5.00%, 02/15/2026 | | | 1,075 | | | | 1,128 | |
Permanent University Fund—Texas A&M University System, Board of Regents, Rev., 5.00%, 07/01/2039 | | | 1,500 | | | | 1,697 | |
Permanent University Fund—University of Texas System, Rev., 5.00%, 07/01/2041 | | | 2,000 | | | | 2,000 | |
Permanent University Fund—University of Texas System, Permanent University Fund Bonds, Rev., 5.00%, 07/01/2033 | | | 1,090 | | | | 1,125 | |
Plano Independent School District, GO, 5.00%, 02/15/2027 | | | 650 | | | | 698 | |
Port Authority of Houston of Harris County Texas, | | | | | | | | |
Rev., 5.00%, 10/01/2026 | | | 850 | | | | 904 | |
Rev., 5.00%, 10/01/2028 | | | 1,250 | | | | 1,384 | |
Rev., 5.00%, 10/01/2029 | | | 1,250 | | | | 1,410 | |
Port Beaumont Navigation District, Jefferson Gulf Coast Energy, | | | | | | | | |
Rev., AMT, 2.00%, 01/01/2027 (e) | | | 550 | | | | 484 | |
Rev., AMT, 2.25%, 01/01/2029 (e) | | | 800 | | | | 662 | |
Rev., AMT, 2.88%, 01/01/2041 (e) | | | 120 | | | | 78 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Texas — continued | | | | | | | | |
Port of Beaumont Industrial Development Authority, Taxable Jefferson Gulf Coast Energy, Rev., 4.10%, 01/01/2028 (e) | | | 3,000 | | | | 2,373 | |
Port of Port Arthur Navigation District, Motiva Enterprises, Rev., VRDO, 5.03%, 07/07/2023 (z) | | | 13,600 | | | | 13,600 | |
Prosper Independent School District, Series A, GO, PSF-GTD, 5.00%, 02/15/2030 | | | 25 | | | | 28 | |
Rockwall Independent School District, | | | | | | | | |
GO, PSF-GTD, 5.00%, 02/15/2027 | | | 1,335 | | | | 1,429 | |
Series A, GO, PSF-GTD, 5.00%, 02/15/2038 | | | 1,000 | | | | 1,111 | |
Round Rock Independent School District, Series A, GO, PSF-GTD, 5.00%, 08/01/2031 | | | 1,000 | | | | 1,118 | |
San Antonio Education Facilities Corp., University of The Incarnate Word, | | | | | | | | |
Rev., 4.00%, 04/01/2038 | | | 2,065 | | | | 1,899 | |
Rev., 4.00%, 04/01/2041 | | | 1,000 | | | | 890 | |
San Antonio Housing Trust Finance Corp., The Arbors At West Avenue, Rev., HUD, 1.45%, 03/01/2026 (z) | | | 805 | | | | 771 | |
San Antonio Water System, Series 2013F, Rev., 1.00%, 05/01/2043 (z) | | | 6,000 | | | | 5,306 | |
San Antonio Water System, Junior Lien, Series A, Rev., 5.00%, 05/15/2043 | | | 3,500 | | | | 3,709 | |
Spring Branch Independent School District, GO, PSF-GTD, 5.00%, 02/01/2028 | | | 1,660 | | | | 1,812 | |
State of Texas, Series B, GO, 4.00%, 08/01/2030 | | | 60 | | | | 61 | |
State of Texas, Mobility Fund, Series B, GO, 5.00%, 10/01/2032 | | | 14,655 | | | | 15,205 | |
State of Texas, Public Finance Authority, GO, 5.00%, 10/01/2026 | | | 1,000 | | | | 1,062 | |
State of Texas, Water Financial Assistance, | | | | | | | | |
GO, 5.00%, 08/01/2024 | | | 125 | | | | 127 | |
Series B, GO, 5.00%, 08/01/2037 | | | 1,000 | | | | 1,030 | |
Strategic Housing Finance Corp. of Travis County, ECG Yager LP Yager, Rev., 0.46%, 09/01/2041 (z) | | | 2,500 | | | | 2,350 | |
Tarrant County Cultural Education Facilities Finance Corp., Baylor Scott & White Health, | | | | | | | | |
Rev., 4.00%, 11/15/2042 | | | 10,000 | | | | 9,637 | |
Series A, Rev., 5.00%, 11/15/2045 | | | 2,195 | | | | 2,242 | |
Tarrant County Cultural Education Facilities Finance Corp., Baylor Scott & White Health Project, | | | | | | | | |
Rev., 5.50%, 11/15/2047 | | | 12,415 | | | | 13,659 | |
Rev., 5.00%, 11/15/2052 (z) | | | 4,455 | | | | 4,829 | |
Tarrant County Cultural Education Facilities Finance Corp., Christus Health, Series B, Rev., 5.00%, 07/01/2035 | | | 1,110 | | | | 1,189 | |
Tarrant County Cultural Education Facilities Finance Corp., Hendrick Medical Center, Taxable, | | | | | | | | |
Rev., AGM, 1.36%, 09/01/2024 | | | 800 | | | | 758 | |
Rev., AGM, 1.39%, 09/01/2025 | | | 600 | | | | 546 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 204 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Texas — continued | | | | | | | | |
Tarrant County Cultural Education Facilities Finance Corp., Methodist Hospitals of Dallas, | | | | | | | | |
Rev., 5.00%, 10/01/2030 | | | 1,000 | | | | 1,134 | |
Rev., 5.00%, 10/01/2037 | | | 1,000 | | | | 1,091 | |
Texas Department of Housing & Community Affairs, | | | | | | | | |
Series A, Rev., GNMA COLL, 4.00%, 03/01/2050 | | | 380 | | | | 377 | |
Series B, Rev., GNMA COLL, 6.00%, 03/01/2053 | | | 595 | | | | 650 | |
Texas Department of Housing & Community Affairs, Corona Del Valle, Rev., HUD, 0.37%, 08/01/2025 (z) | | | 380 | | | | 379 | |
Texas Department of Housing & Community Affairs, Palladium Simpson Stuart Apartments, Rev., 0.35%, 01/01/2025 (z) | | | 1,290 | | | | 1,259 | |
Texas Department of Housing & Community Affairs, Social Bond, Series A, Rev., GNMA, 3.50%, 07/01/2052 | | | 1,135 | | | | 1,107 | |
Texas Department of Housing & Community Affairs, Social Bonds, Series A, Rev., GNMA, 3.00%, 01/01/2052 | | | 2,155 | | | | 2,068 | |
Texas Municipal Gas Acquisition & Supply Corp. III, | | | | | | | | |
Rev., 5.00%, 12/15/2025 | | | 1,305 | | | | 1,327 | |
Rev., 5.00%, 12/15/2030 | | | 3,300 | | | | 3,425 | |
Rev., 5.00%, 12/15/2031 | | | 2,000 | | | | 2,084 | |
Texas Municipal Gas Acquisition and Supply Corp. I, Series D, Rev., 6.25%, 12/15/2026 | | | 4,555 | | | | 4,746 | |
Texas Municipal Power Agency, Rev., AGM, 3.00%, 09/01/2038 | | | 500 | | | | 432 | |
Texas Private Activity Bond Surface Transportation Corp., Rev., AMT, 5.00%, 06/30/2058 | | | 12,920 | | | | 12,857 | |
Texas Private Activity Bond Surface Transportation Corp., LBJ Infrastructure Group, | | | | | | | | |
Rev., 4.00%, 12/31/2030 | | | 3,970 | | | | 3,971 | |
Rev., 4.00%, 06/30/2033 | | | 1,000 | | | | 996 | |
Texas Transportation Commission, Transportation Commission Mobility, GO, 0.65%, 10/01/2041 (z) | | | 4,500 | | | | 4,079 | |
Texas Water Development Board, | | | | | | | | |
Rev., 5.00%, 08/01/2025 | | | 1,300 | | | | 1,352 | |
Rev., 5.00%, 08/01/2026 | | | 2,250 | | | | 2,389 | |
Texas Water Development Board, Master Trust, Rev., 4.00%, 10/15/2033 | | | 1,000 | | | | 1,061 | |
Texas Water Development Board, Revolving Fund, | | | | | | | | |
Rev., 4.00%, 08/01/2038 | | | 500 | | | | 506 | |
Rev., 5.00%, 08/01/2024 | | | 250 | | | | 255 | |
Rev., 5.00%, 08/01/2028 | | | 625 | | | | 690 | |
Series A, Rev., 5.00%, 10/15/2028 | | | 100 | | | | 110 | |
Texas Water Development Board, State Revolving Fund, Rev., 5.00%, 08/01/2027 | | | 2,835 | | | | 3,074 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Texas — continued | | | | | | | | |
Texas Water Development Board, State Water Implementation Fund, | | | | | | | | |
Rev., 4.00%, 10/15/2045 | | | 3,000 | | | | 2,999 | |
Series A, Rev., 4.00%, 10/15/2033 | | | 1,900 | | | | 1,955 | |
Series A, Rev., 5.00%, 04/15/2026 | | | 100 | | | | 105 | |
Series A, Rev., 5.00%, 10/15/2030 | | | 500 | | | | 523 | |
Series A, Rev., 5.00%, 10/15/2047 | | | 2,480 | | | | 2,611 | |
Series B, Rev., 5.00%, 04/15/2049 | | | 11,535 | | | | 12,244 | |
Texas Water Development Board, State Water Implementation Revenue, Rev., 5.25%, 10/15/2046 | | | 2,000 | | | | 2,090 | |
Tomball Independent School District, School Building, Series B2, GO, PSF-GTD, 0.26%, 02/15/2039 (z) | | | 3,055 | | | | 2,923 | |
Travis County Housing Finance Corp., Airport Gateway Apartments, Rev., 4.13%, 06/01/2045 (z) | | | 190 | | | | 190 | |
Travis County Housing Finance Corp., Montopolis Apartments, Rev., 0.40%, 07/01/2041 (z) | | | 1,930 | | | | 1,930 | |
Trinity River Authority Central Regional Wastewater System Revenue, Rev., 5.00%, 08/01/2029 | | | 1,500 | | | | 1,680 | |
University of Houston, Series A, Rev., 5.00%, 02/15/2041 | | | 2,000 | | | | 2,188 | |
University of Texas, Series C, Rev., 5.00%, 08/15/2028 | | | 100 | | | | 111 | |
Upper Trinity Regional Water District, Regional Treated Water Supply, Rev., BAM, 3.00%, 08/01/2023 | | | 715 | | | | 715 | |
Uptown Development Authority, | | | | | | | | |
Tax Allocation, 4.00%, 09/01/2033 | | | 400 | | | | 390 | |
Tax Allocation, 4.00%, 09/01/2035 | | | 995 | | | | 946 | |
Waco Educational Finance Corp., Baylor University Issue, Series A, Rev., 4.00%, 03/01/2036 | | | 750 | | | | 759 | |
Waller Consolidated Independent School District, | | | | | | | | |
GO, BAM, 5.00%, 02/15/2040 | | | 2,800 | | | | 3,095 | |
GO, BAM, 5.00%, 02/15/2042 | | | 6,550 | | | | 7,185 | |
| | | | | | | | |
| | |
| | | | | | | 579,517 | |
| | | | | | | | |
Utah — 0.5% | | | | | | | | |
Canyons School District, Series B, GO, SCH BD GTY, 5.00%, 06/15/2027 | | | 1,000 | | | | 1,083 | |
City of Salt Lake City Airport Revenue, | | | | | | | | |
Series A, Rev., AMT, 5.00%, 07/01/2028 | | | 1,750 | | | | 1,864 | |
Series A, Rev., AMT, 5.00%, 07/01/2037 | | | 5,000 | | | | 5,355 | |
County of Utah, IHC Health Services, Inc., Series B, Rev., 5.00%, 05/15/2060 (z) | | | 625 | | | | 657 | |
Downtown East Streetcar Sewer Public Infrastructure District, Senior Lien, Series A, GO, 6.00%, 03/01/2053 (e) | | | 1,415 | | | | 1,407 | |
Granite School District Board of Education, GO, SCH BD GTY, 5.00%, 06/01/2024 | | | 150 | | | | 153 | |
Intermountain Power Agency, Series A, Rev., 5.00%, 07/01/2030 | | | 500 | | | | 573 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 205 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Utah — continued | | | | | | | | |
Provo School District, GO, SCH BD GTY, 5.00%, 06/15/2028 | | | 2,000 | | | | 2,209 | |
Red Bridge Public Infrastructure District No. 1, Senior Infrastructure District, Series 1A, GO, 3.63%, 02/01/2035 (e) | | | 600 | | | | 489 | |
State of Utah, | | | | | | | | |
GO, 3.00%, 07/01/2034 | | | 2,000 | | | | 1,950 | |
GO, 5.00%, 07/01/2024 | | | 100 | | | | 102 | |
GO, 5.00%, 07/01/2029 | | | 1,580 | | | | 1,776 | |
GO, 5.00%, 07/01/2030 | | | 2,000 | | | | 2,247 | |
Series B, GO, 5.00%, 07/01/2029 | | | 100 | | | | 112 | |
University of Utah, Series A, Rev., 5.00%, 08/01/2039 | | | 1,505 | | | | 1,591 | |
University of Utah, Board of Regents, Series A, Rev., 4.00%, 08/01/2040 | | | 1,750 | | | | 1,763 | |
Utah Housing Corp., Drawdown New City, Rev., HUD, 3.50%, 08/01/2025 (z) | | | 900 | | | | 894 | |
Utah Telecommunication Open Infrastructure Agency, | | | | | | | | |
Rev., 5.00%, 06/01/2025 | | | 115 | | | | 118 | |
Rev., 5.00%, 06/01/2027 | | | 130 | | | | 139 | |
Rev., 5.00%, 06/01/2031 | | | 210 | | | | 237 | |
Rev., 5.25%, 06/01/2035 | | | 700 | | | | 805 | |
Rev., 5.25%, 06/01/2037 | | | 2,250 | | | | 2,541 | |
Utah Transit Authority, Series A, Rev., 4.00%, 06/15/2036 (p) | | | 1,500 | | | | 1,526 | |
Vineyard Redevelopment Agency, Tax Allocation, AGM, 5.00%, 05/01/2024 | | | 190 | | | | 193 | |
| | | | | | | | |
| | |
| | | | | | | 29,784 | |
| | | | | | | | |
Vermont — 0.0% (g) | | | | | | | | |
Vermont Housing Finance Agency, Series A, Rev., GNMA/FNMA/FHLMC COLL, 4.00%, 11/01/2049 | | | 280 | | | | 278 | |
Vermont Municipal Bond Bank, Vermont State Colleges System, Series A, Rev., 4.00%, 10/01/2034 | | | 250 | | | | 264 | |
Vermont Student Assistance Corp., Series A, Rev., AMT, 2.38%, 06/15/2039 | | | 525 | | | | 482 | |
| | | | | | | | |
| | |
| | | | | | | 1,024 | |
| | | | | | | | |
Virgin Islands — 0.0% (g) | | | | | | | | |
Matching Fund Special Purpose Securitization Corp., Series A, Rev., 5.00%, 10/01/2027 | | | 1,505 | | | | 1,513 | |
| | | | | | | | |
Virginia — 1.9% | | | | | | | | |
Albemarle County Economic Development Authority, Westminster Canterbury of the Blue Ridge, Rev., 4.00%, 06/01/2035 | | | 1,365 | | | | 1,300 | |
Chesapeake Bay Bridge & Tunnel District, First Tier General Resolution, | | | | | | | | |
Rev., BAN, 5.00%, 11/01/2023 | | | 4,000 | | | | 4,015 | |
Rev., 5.00%, 07/01/2051 | | | 4,000 | | | | 4,043 | |
Chesapeake Hospital Authority, Chesapeake Regional Medical Center, Rev., 5.00%, 07/01/2030 | | | 300 | | | | 328 | |
Chesapeake Hospital Authority, Regional Medical Center, Rev., 5.00%, 07/01/2028 | | | 550 | | | | 594 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Virginia — continued | | | | | | | | |
Commonwealth of Virginia, Series B, GO, 5.00%, 06/01/2027 | | | 3,000 | | | | 3,181 | |
County of Fairfax, Public Improvement, Series A, GO, 5.00%, 10/01/2031 (p) | | | 945 | | | | 996 | |
County of Henrico Water & Sewer Revenue, Rev., 5.00%, 05/01/2046 (p) | | | 1,000 | | | | 1,057 | |
Fairfax County Industrial Development Authority, Inova Health System Project, Rev., 5.00%, 05/15/2029 | | | 2,000 | | | | 2,240 | |
Fairfax County Redevelopment & Housing Authority, Arrowbrook Apartments Project, Rev., 0.41%, 01/01/2041 (z) | | | 225 | | | | 219 | |
Fairfax County Redevelopment & Housing Authority, One University Senior Apartments, Rev., 1.25%, 12/01/2025 (z) | | | 4,680 | | | | 4,496 | |
FHLMC Multifamily VRD Certificates, Series M67, Rev., 2.25%, 12/15/2037 | | | 963 | | | | 747 | |
Gloucester County Economic Development Authority, Waste Management Services, Rev., AMT, 3.95%, 09/01/2038 (z) | | | 1,970 | | | | 1,969 | |
Hampton Roads Transportation Accountability Commission, Senior Lien, | | | | | | | | |
Series A, Rev., 5.00%, 07/01/2031 | | | 1,500 | | | | 1,724 | |
Series A, Rev., 5.00%, 07/01/2038 (p) | | | 1,000 | | | | 1,097 | |
Series A, Rev., 5.00%, 07/01/2039 | | | 2,100 | | | | 2,318 | |
Henrico County Economic Development Authority, Westminster Canterbury Richmond, Rev., 5.00%, 10/01/2042 | | | 100 | | | | 103 | |
Hopewell Redevelopment & Housing Authority, Hopewell Heights Apartment, Rev., HUD, 0.49%, 12/01/2024 (z) | | | 750 | | | | 737 | |
James City County Economic Development Authority, Williamsburg Landing, Series A, Rev., 4.00%, 12/01/2035 | | | 150 | | | | 136 | |
Louisa Industrial Development Authority, Virginia Electric and Power Co. Project, Series B, Rev., 0.75%, 11/01/2035 (z) | | | 2,125 | | | | 1,948 | |
Lynchburg Economic Development Authority, Centra Health Obligation Group, | | | | | | | | |
Rev., 3.00%, 01/01/2051 | | | 4,750 | | | | 3,352 | |
Rev., 5.00%, 01/01/2029 | | | 700 | | | | 747 | |
Norfolk Airport Authority, Rev., 5.00%, 07/01/2038 | | | 1,175 | | | | 1,252 | |
Norfolk Redevelopment & Housing Authority, Braywood Manor Apartments Project, Rev., HUD, 5.00%, 05/01/2043 (z) | | | 350 | | | | 360 | |
Upper Occoquan Sewage Authority, | | | | | | | | |
Rev., 4.00%, 07/01/2033 (p) | | | 2,630 | | | | 2,680 | |
Rev., 5.00%, 07/01/2027 (p) | | | 2,485 | | | | 2,580 | |
Virginia Beach Development Authority, Westminster Canterbury, Rev., 5.00%, 09/01/2044 | | | 2,215 | | | | 1,998 | |
Virginia College Building Authority, Series B, Rev., 5.00%, 09/01/2023 | | | 1,000 | | | | 1,003 | |
Virginia College Building Authority, 21st Century College and Equipment, | | | | | | | | |
Rev., 5.00%, 02/01/2028 | | | 4,000 | | | | 4,387 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 206 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Virginia — continued | | | | | | | | |
Virginia College Building Authority, 21st Century College and Equipment, Rev., 5.00%, 02/01/2029 | | | 1,000 | | | | 1,119 | |
Virginia College Building Authority, 21st Century College and Equipment, Rev., 5.00%, 02/01/2033 | | | 3,750 | | | | 4,237 | |
Virginia College Building Authority, Marymount University Project, Series A, Rev., 5.00%, 07/01/2045 (e) | | | 1,000 | | | | 940 | |
Virginia Commonwealth Transportation Board, Rev., 5.00%, 05/15/2027 | | | 1,500 | | | | 1,623 | |
Virginia Housing Development Authority, Series G, Rev., 5.05%, 11/01/2047 | | | 1,750 | | | | 1,811 | |
Virginia Port Authority Commonwealth Port Fund, Rev., AMT, 5.00%, 07/01/2039 (p) | | | 1,955 | | | | 2,003 | |
Virginia Public Building Authority, Series A, Rev., 4.00%, 08/01/2027 (p) | | | 2,000 | | | | 2,001 | |
Virginia Public Building Authority, Bidding Group 1, Series A, Rev., 5.00%, 08/01/2033 | | | 1,000 | | | | 1,186 | |
Virginia Resources Authority, Series A, Rev., 5.00%, 11/01/2024 (p) | | | 105 | | | | 106 | |
Virginia Resources Authority, Virginia Pooled Financing, Rev., 5.00%, 11/01/2028 | | | 1,510 | | | | 1,671 | |
Virginia Resources Authority, Virginia Pooled Financing Program, Rev., 5.00%, 11/01/2028 | | | 1,000 | | | | 1,116 | |
Virginia Small Business Financing Authority, Lifespire of Virginia, Rev., 3.00%, 12/01/2023 | | | 35 | | | | 35 | |
Virginia Small Business Financing Authority, National Senior Campuses, | | | | | | | | |
Series A, Rev., 5.00%, 01/01/2025 | | | 700 | | | | 710 | |
Series A, Rev., 5.00%, 01/01/2032 | | | 1,500 | | | | 1,608 | |
Virginia Small Business Financing Authority, Senior Lien 95 Express, | | | | | | | | |
Rev., AMT, 5.00%, 07/01/2032 | | | 400 | | | | 432 | |
Rev., AMT, 5.00%, 07/01/2033 | | | 2,320 | | | | 2,503 | |
Rev., AMT, 5.00%, 01/01/2036 | | | 200 | | | | 212 | |
Rev., AMT, 5.00%, 07/01/2037 | | | 1,000 | | | | 1,045 | |
Virginia Small Business Financing Authority, Senior Lien, 495 Hot, | | | | | | | | |
Rev., AMT, 5.00%, 06/30/2040 | | | 3,735 | | | | 3,908 | |
Rev., AMT, 5.00%, 06/30/2041 | | | 3,470 | | | | 3,618 | |
Rev., AMT, 5.00%, 12/31/2047 | | | 1,000 | | | | 1,026 | |
Virginia Small Business Financing Authority, Senior Lien, Elizabeth River, | | | | | | | | |
Rev., AMT, 3.00%, 01/01/2041 | | | 8,740 | | | | 6,775 | |
Rev., AMT, 4.00%, 01/01/2030 | | | 3,125 | | | | 3,137 | |
Rev., AMT, 4.00%, 01/01/2033 | | | 1,500 | | | | 1,503 | |
Rev., AMT, 4.00%, 01/01/2034 | | | 2,250 | | | | 2,255 | |
Virginia Small Business Financing Authority, Transform 66 P3 Project, | | | | | | | | |
Rev., AMT, 5.00%, 12/31/2047 | | | 1,800 | | | | 1,819 | |
Rev., AMT, 5.00%, 12/31/2052 | | | 8,425 | | | | 8,491 | |
Rev., AMT, 5.00%, 12/31/2056 | | | 3,000 | | | | 3,018 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Virginia — continued | | | | | | | | |
Williamsburg Economic Development Authority, Williamsburg Properties LLC, | | | | | | | | |
Rev., AGM, 4.00%, 07/01/2048 (w) | | | 1,245 | | | | 1,216 | |
Rev., AGM, 5.25%, 07/01/2053 (w) | | | 2,600 | | | | 2,872 | |
Wise County Industrial Development Authority, Electric and Power Company Project, Series A, Rev., 0.75%, 10/01/2040 (z) | | | 4,500 | | | | 4,125 | |
| | | | | | | | |
| | |
| | | | | | | 119,728 | |
| | | | | | | | |
Washington — 2.9% | | | | | | | | |
Central Puget Sound Regional Transit Authority, Green Bond, Series S1, Rev., 5.00%, 11/01/2035 (p) | | | 1,085 | | | | 1,135 | |
Chelan County Public Utility District No. 1, Series C, Rev., AMT, 5.00%, 07/01/2026 | | | 1,285 | | | | 1,347 | |
City of Seattle Municipal Light & Power Revenue, Series B, Rev., (SIFMA Municipal Swap Index + 0.25%), 4.26%, 05/01/2045 (aa) | | | 2,000 | | | | 1,966 | |
City of Seattle Municipal Light & Power Revenue, Green Bond, Series A, Rev., 4.00%, 07/01/2040 | | | 1,300 | | | | 1,314 | |
City of Seattle, Drainage & Wastewater Revenue, Rev., 4.00%, 05/01/2044 | | | 945 | | | | 931 | |
City of Seattle, Municipal Light & Power Revenue, Rev., 4.00%, 09/01/2040 | | | 1,000 | | | | 1,000 | |
City of Tacoma, Electric System Revenue, Series A, Rev., 4.00%, 01/01/2042 | | | 5,460 | | | | 5,324 | |
Clark County Public Utility District No. 1, Rev., 4.00%, 01/01/2034 | | | 665 | | | | 703 | |
County of Grant, GO, 5.25%, 12/01/2047 | | | 1,000 | | | | 1,109 | |
County of King, Series A, GO, 5.00%, 12/01/2034 | | | 1,335 | | | | 1,535 | |
County of King, Sewer Revenue, Rev., AGM, 5.00%, 01/01/2047 | | | 5,000 | | | | 5,051 | |
Energy Northwest Washington, Project 3 Electric Revenue, Series C, Rev., 5.00%, 07/01/2027 | | | 100 | | | | 108 | |
Energy Northwest, Columbia Generating Station, Rev., 4.00%, 07/01/2042 | | | 1,625 | | | | 1,632 | |
Everett Housing Authority, Baker Heights Legacy, Rev., 0.30%, 09/01/2024 (z) | | | 575 | | | | 571 | |
Grant County Public Utility District No. 2 Priest Rapids Hydroelectric Project, Series A, Rev., 5.00%, 01/01/2043 (p) | | | 1,555 | | | | 1,630 | |
Grant County, Public Utility District No. 2, Electric Revenue, | | | | | | | | |
Series 2017-O, Rev., 5.00%, 01/01/2047 | | | 4,950 | | | | 5,169 | |
Series R, Rev., 2.00%, 01/01/2044 (z) | | | 1,500 | | | | 1,436 | |
HopeSource III Portfolio Projects, Rev., 1.25%, 01/01/2025 (z) | | | 2,765 | | | | 2,723 | |
King & Snohomish Counties School District No. 417 Northshore, GO, SCH BD GTY, 4.00%, 12/01/2032 | | | 1,000 | | | | 1,006 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 207 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Washington — continued | | | | | | | | |
King County Housing Authority, Rev., 5.00%, 11/01/2029 | | | 1,325 | | | | 1,421 | |
King County Public Hospital District No. 4, GO, 5.00%, 12/01/2038 | | | 1,000 | | | | 1,001 | |
Pierce County School District No. 10 Tacoma, Social Bonds, Series B, GO, SCH BD GTY, 4.00%, 12/01/2042 | | | 10,000 | | | | 9,936 | |
Port of Seattle, Series A, Rev., AMT, 5.00%, 05/01/2036 | | | 2,000 | | | | 2,071 | |
Port of Seattle Industrial Development Corp., Special Facilities Delta Airline, Rev., AMT, 5.00%, 04/01/2030 | | | 2,000 | | | | 2,001 | |
Port of Seattle, Intermediate Lien, | | | | | | | | |
Rev., AMT, 5.00%, 04/01/2028 | | | 2,250 | | | | 2,392 | |
Rev., AMT, 5.00%, 08/01/2028 | | | 1,000 | | | | 1,068 | |
Rev., AMT, 5.00%, 04/01/2030 | | | 4,000 | | | | 4,288 | |
Rev., AMT, 5.00%, 04/01/2032 | | | 2,110 | | | | 2,261 | |
Rev., AMT, 5.00%, 04/01/2044 | | | 2,000 | | | | 2,071 | |
Rev., AMT, 5.00%, 08/01/2046 | | | 3,500 | | | | 3,661 | |
Rev., AMT, 5.00%, 08/01/2047 | | | 1,250 | | | | 1,311 | |
Rev., AMT, 5.50%, 08/01/2047 | | | 1,000 | | | | 1,086 | |
Series C, Rev., AMT, 5.00%, 08/01/2034 | | | 5,000 | | | | 5,474 | |
Seattle Housing Authority, Lam Bow Apartments Project, Rev., 1.25%, 06/01/2024 | | | 120 | | | | 117 | |
Seattle Housing Authority, Northgate Plaza Project, Rev., 1.00%, 06/01/2026 | | | 2,045 | | | | 1,871 | |
Skagit County Public Hospital District No. 1, Improvement Skagit Regional Health, Rev., 5.00%, 12/01/2031 | | | 2,145 | | | | 2,211 | |
Snohomish County School District No. 201 Snohomish, GO, SCH BD GTY, 5.00%, 12/01/2028 | | | 1,500 | | | | 1,673 | |
Spokane County School District No. 81 Spokane, Series C, GO, SCH BD GTY, 5.00%, 12/01/2034 | | | 2,000 | | | | 2,159 | |
State of Washington, | | | | | | | | |
Series 2020A, GO, 5.00%, 08/01/2038 | | | 1,500 | | | | 1,641 | |
Series 2021A, GO, 5.00%, 06/01/2034 | | | 1,000 | | | | 1,139 | |
Series A1, GO, 5.00%, 08/01/2040 | | | 13,645 | | | | 14,009 | |
Series A3, GO, 5.00%, 08/01/2044 | | | 1,000 | | | | 1,107 | |
Series A, GO, 5.00%, 08/01/2036 | | | 1,475 | | | | 1,653 | |
Series A, GO, 5.00%, 08/01/2040 | | | 3,890 | | | | 4,279 | |
Series B, GO, 5.00%, 07/01/2025 | | | 75 | | | | 78 | |
Series B, GO, 5.00%, 07/01/2027 | | | 1,000 | | | | 1,047 | |
Series B, GO, 5.00%, 06/01/2035 | | | 4,760 | | | | 5,378 | |
Series D, GO, 4.00%, 07/01/2033 | | | 2,000 | | | | 2,152 | |
Series R, GO, 5.00%, 02/01/2031 | | | 1,000 | | | | 1,161 | |
Series R, GO, 5.00%, 08/01/2031 | | | 750 | | | | 878 | |
Series RC, GO, 5.00%, 08/01/2029 | | | 100 | | | | 108 | |
Series R-2017A, GO, 5.00%, 08/01/2027 | | | 1,000 | | | | 1,057 | |
Series R-2017A, GO, 5.00%, 08/01/2034 | | | 1,840 | | | | 1,944 | |
Series R-2022B, GO, 4.00%, 02/01/2035 | | | 500 | | | | 528 | |
Series R-2022D, GO, 4.00%, 07/01/2028 | | | 3,140 | | | | 3,319 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Washington — continued | | | | | | | | |
State of Washington, Bid Group, Series C, GO, 5.00%, 02/01/2024 | | | 1,000 | | | | 1,011 | |
State of Washington, MVFT/VRF GO Bonds, | | | | | | | | |
Series F, GO, 5.00%, 06/01/2034 | | | 4,080 | | | | 4,722 | |
Series F, GO, 5.00%, 06/01/2038 | | | 2,775 | | | | 3,106 | |
State of Washington, Various Purpose, | | | | | | | | |
Series 2015A1, GO, 5.00%, 08/01/2036 | | | 11,200 | | | | 11,384 | |
Series A, GO, 5.00%, 08/01/2041 | | | 10,000 | | | | 10,718 | |
Thurston County School District No. 111 Olympia, GO, SCH BD GTY, 5.00%, 12/01/2026 | | | 1,275 | | | | 1,364 | |
University of Washington, Series C, Rev., 5.00%, 04/01/2026 | | | 1,500 | | | | 1,577 | |
Washington Health Care Facilities Authority, Multicare Health System, Series B, Rev., 5.00%, 08/15/2037 | | | 1,200 | | | | 1,226 | |
Washington Health Care Facilities Authority, Seattle Cancer Care Alliance, | | | | | | | | |
Rev., 4.00%, 12/01/2040 (e) | | | 860 | | | | 833 | |
Rev., 5.00%, 09/01/2045 | | | 1,000 | | | | 1,048 | |
Washington Health Care Facilities Authority, Unrefunded Providence Health, Rev., 5.00%, 10/01/2041 | | | 8,000 | | | | 8,006 | |
Washington Health Care Facilities Authority, Virginia Mason Medical Center, Rev., 5.00%, 08/15/2036 | | | 5,500 | | | | 5,587 | |
Washington State Housing Finance Commission, | | | | | | | | |
Series A1, Rev., 3.50%, 12/20/2035 | | | 1,905 | | | | 1,760 | |
Series 2N, Rev., GNMA/FNMA/FHLMC COLL, 3.00%, 12/01/2050 | | | 685 | | | | 660 | |
Washington State Housing Finance Commission, Downtowner Apartments Project, Rev., LIQ: FHLMC, 3.70%, 07/01/2030 | | | 2,000 | | | | 2,014 | |
Washington State Housing Finance Commission, Garden Haus Apartments Project, Rev., 0.37%, 07/01/2024 (z) | | | 350 | | | | 350 | |
Washington State Housing Finance Commission, Rockwood Retirement Communities, Rev., 3.00%, 07/01/2027 (e) | | | 500 | | | | 500 | |
Washington State Housing Finance Commission, Social Bond, Series 2N, Rev., GNMA/FNMA/FHLMC, 3.00%, 06/01/2051 | | | 940 | | | | 900 | |
| | | | | | | | |
| | |
| | | | | | | 182,007 | |
| | | | | | | | |
West Virginia — 0.1% | | | | | | | | |
Monongalia County Commission Excise Tax District, Series A, Rev., 4.13%, 06/01/2043 (e) | | | 470 | | | | 416 | |
Monongalia County Commission Special District, Refunding and Improvement, University Town Center, Series A, Rev., 5.50%, 06/01/2037 (e) | | | 1,050 | | | | 1,072 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 208 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
West Virginia — continued | | | | | | | | |
Monongalia County Commission Special District, University Town Center, Series A, Rev., 5.75%, 06/01/2043 (e) | | | 500 | | | | 511 | |
West Virginia Economic Development Authority, Appalachian Power Company Amos Project, Rev., AMT, 1.00%, 01/01/2041 (z) | | | 2,765 | | | | 2,566 | |
West Virginia Parkways Authority, Senior Lien, Rev., 5.00%, 06/01/2038 | | | 1,000 | | | | 1,115 | |
| | | | | | | | |
| | |
| | | | | | | 5,680 | |
| | | | | | | | |
Wisconsin — 2.9% | | | | | | | | |
City of Milwaukee, Promissory Notes, Series N4, GO, 5.00%, 04/01/2030 | | | 10,150 | | | | 11,184 | |
City of Milwaukee, Sewerage System Revenue, Series S7, Rev., 5.00%, 06/01/2026 | | | 2,665 | | | | 2,801 | |
Milwaukee Metropolitan Sewerage District, Green Bond, Series A, GO, 3.00%, 10/01/2031 | | | 1,700 | | | | 1,678 | |
Milwaukee Metropolitan Sewerage District, Green Bond Climate Bond Certificate, GO, 4.00%, 10/01/2043 | | | 6,150 | | | | 6,032 | |
Public Finance Authority, Appalachian Healthcare System, | | | | | | | | |
Rev., 5.00%, 07/01/2036 | | | 350 | | | | 370 | |
Rev., 5.00%, 07/01/2037 | | | 300 | | | | 313 | |
Rev., 5.00%, 07/01/2039 | | | 350 | | | | 361 | |
Public Finance Authority, Carmelite System, Social Bonds, Rev., 5.00%, 01/01/2045 | | | 1,105 | | | | 1,052 | |
Public Finance Authority, Celanese Project, Series C, Rev., AMT, 4.30%, 11/01/2030 | | | 3,000 | | | | 2,966 | |
Public Finance Authority, CFP3 Eastern Michigan University, | | | | | | | | |
Rev., BAM, 5.00%, 07/01/2029 | | | 500 | | | | 550 | |
Rev., BAM, 5.25%, 07/01/2034 | | | 260 | | | | 301 | |
Rev., BAM, 5.25%, 07/01/2042 | | | 5,625 | | | | 6,197 | |
Rev., BAM, 5.38%, 07/01/2047 | | | 8,025 | | | | 8,823 | |
Rev., BAM, 5.50%, 07/01/2052 | | | 6,005 | | | | 6,639 | |
Public Finance Authority, CHF Wilmington LLC University, Rev., AGM, 5.00%, 07/01/2053 | | | 3,970 | | | | 4,083 | |
Public Finance Authority, Duke Energy Progress, Rev., 3.70%, 10/01/2046 (z) | | | 1,500 | | | | 1,512 | |
Public Finance Authority, Ku Campus Development Corp. Project, Rev., 5.00%, 03/01/2041 | | | 3,000 | | | | 3,059 | |
Public Finance Authority, Lenoir Rhyne University, | | | | | | | | |
Rev., 5.00%, 04/01/2036 | | | 1,625 | | | | 1,636 | |
Rev., 5.00%, 04/01/2037 | | | 1,705 | | | | 1,694 | |
Public Finance Authority, Point College Prep Project, | | | | | | | | |
Rev., 4.00%, 06/15/2030 (e) | | | 200 | | | | 181 | |
Rev., 5.00%, 06/15/2041 (e) | | | 250 | | | | 214 | |
Public Finance Authority, Renown Regional Medical Center Project, | | | | | | | | |
Rev., 5.00%, 06/01/2026 | | | 500 | | | | 516 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Wisconsin — continued | | | | | | | | |
Rev., 5.00%, 06/01/2027 | | | 425 | | | | 444 | |
Rev., 5.00%, 06/01/2028 | | | 600 | | | | 634 | |
Rev., 5.00%, 06/01/2034 | | | 1,000 | | | | 1,070 | |
Public Finance Authority, Senior Lien, Grand Hyatt San Antonio Hotel Acquisition Project, Rev., 5.00%, 02/01/2042 | | | 4,000 | | | | 4,070 | |
Public Finance Authority, Sky Harbor Capital LLC, Rev., AMT, 4.00%, 07/01/2036 | | | 815 | | | | 688 | |
Public Finance Authority, United Methodist Retirement, Rev., 4.00%, 10/01/2026 | | | 60 | | | | 59 | |
Public Finance Authority, Waste Management, Inc. Project, | | | | | | | | |
Rev., AMT, 1.10%, 07/01/2029 (z) | | | 1,445 | | | | 1,327 | |
Rev., AMT, 2.63%, 11/01/2025 | | | 5,000 | | | | 4,794 | |
State of Wisconsin, | | | | | | | | |
Series 1, GO, 5.00%, 05/01/2027 | | | 2,400 | | | | 2,593 | |
Series 2, GO, 5.00%, 05/01/2034 | | | 1,000 | | | | 1,195 | |
Series 3, GO, 5.00%, 11/01/2027 | | | 1,000 | | | | 1,080 | |
Series 20212, GO, 5.00%, 05/01/2026 | | | 5,850 | | | | 6,188 | |
Series B, GO, 4.00%, 05/01/2039 | | | 500 | | | | 507 | |
Series B, GO, 5.00%, 05/01/2035 | | | 10,580 | | | | 11,787 | |
University of Wisconsin Hospitals & Clinics, Green Bond, | | | | | | | | |
Rev., 4.00%, 04/01/2035 | | | 440 | | | | 450 | |
Rev., 4.00%, 04/01/2046 | | | 4,120 | | | | 3,960 | |
Wisconsin Center District, Capital Appreciation Senior Dedicated, | | | | | | | | |
Series C, Rev., AGM, Zero Coupon, 12/15/2036 | | | 1,550 | | | | 873 | |
Series C, Rev., AGM, Zero Coupon, 12/15/2039 | | | 1,750 | | | | 830 | |
Series C, Rev., AGM, Zero Coupon, 12/15/2040 | | | 1,650 | | | | 740 | |
Series D, Rev., AGM, Zero Coupon, 12/15/2028 | | | 545 | | | | 449 | |
Series D, Rev., AGM, Zero Coupon, 12/15/2029 | | | 395 | | | | 313 | |
Wisconsin Center District, Junior Dedicated, Series D, Rev., AGM, Zero Coupon, 12/15/2045 | | | 8,500 | | | | 2,930 | |
Wisconsin Department of Transportation, Series A, Rev., 5.00%, 07/01/2027 | | | 1,675 | | | | 1,813 | |
Wisconsin Health & Educational Facilities Authority, | | | | | | | | |
Rev., 5.00%, 10/01/2029 | | | 5,940 | | | | 6,591 | |
Rev., 5.00%, 10/01/2030 | | | 6,355 | | | | 7,156 | |
Wisconsin Health & Educational Facilities Authority Revenue, Ascension Senior Credit Group, Rev., 5.00%, 11/15/2027 | | | 500 | | | | 537 | |
Wisconsin Health & Educational Facilities Authority Revenue, Marshfield Clinic Health System, Series B1, Rev., 5.00%, 02/15/2052 (z) | | | 2,000 | | | | 2,022 | |
Wisconsin Health & Educational Facilities Authority, Advocate Aurora Healthcare, Rev., 5.00%, 08/15/2054 (z) | | | 2,590 | | | | 2,709 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 209 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
Wisconsin — continued | | | | | | | | |
Wisconsin Health & Educational Facilities Authority, Ascension Health Alliance Senor, Rev., 4.00%, 11/15/2043 | | | 2,045 | | | | 1,978 | |
Wisconsin Health & Educational Facilities Authority, Ascension Health Credit Group, | | | | | | | | |
Rev., 4.00%, 11/15/2039 | | | 10,500 | | | | 10,430 | |
Rev., 5.00%, 11/15/2035 | | | 4,500 | | | | 4,672 | |
Wisconsin Health & Educational Facilities Authority, Ascension Senior Credit Group, Rev., 5.00%, 11/15/2036 | | | 1,500 | | | | 1,552 | |
Wisconsin Health & Educational Facilities Authority, Aspirus, Inc. Obligated Group, Rev., 5.00%, 08/15/2038 | | | 1,000 | | | | 1,061 | |
Wisconsin Health & Educational Facilities Authority, Bellin Memorial Hospital, Inc., | | | | | | | | |
Rev., 5.00%, 12/01/2045 | | | 2,500 | | | | 2,598 | |
Series B, Rev., 5.25%, 12/01/2048 | | | 3,000 | | | | 3,181 | |
Wisconsin Health & Educational Facilities Authority, Froedtert Health, Inc., | | | | | | | | |
Series A, Rev., 5.00%, 04/01/2030 | | | 1,280 | | | | 1,427 | |
Series A, Rev., 5.00%, 04/01/2033 | | | 1,010 | | | | 1,131 | |
Wisconsin Health & Educational Facilities Authority, Froedtert Health, Inc. Obligated, | | | | | | | | |
Rev., 4.00%, 04/01/2039 | | | 5,000 | | | | 4,905 | |
Rev., 5.00%, 04/01/2035 | | | 1,325 | | | | 1,397 | |
Wisconsin Health & Educational Facilities Authority, Gundersen Health System, | | | | | | | | |
Rev., 4.00%, 10/15/2035 | | | 545 | | | | 557 | |
Rev., 4.00%, 10/15/2036 | | | 2,100 | | | | 2,127 | |
Wisconsin Health & Educational Facilities Authority, Marshfield Clinic Health System, | | | | | | | | |
Rev., 5.00%, 02/15/2051 (z) | | | 2,600 | | | | 2,673 | |
Series B, Rev., 5.00%, 02/15/2042 | | | 1,000 | | | | 1,004 | |
Series B, Rev., 5.00%, 02/15/2046 | | | 4,550 | | | | 4,490 | |
Wisconsin Health & Educational Facilities Authority, St. John’s Communities, Inc. Project, | | | | | | | | |
Series A, Rev., 5.00%, 09/15/2045 (p) | | | 1,000 | | | | 1,003 | |
Series A, Rev., 5.00%, 09/15/2050 (p) | | | 1,725 | | | | 1,730 | |
Wisconsin Health & Educational Facilities Authority, The Medical College of Wisconsin, Rev., 4.00%, 12/01/2046 | | | 3,000 | | | | 2,861 | |
Wisconsin Housing & Economic Development Authority, | | | | | | | | |
Series B, Rev., HUD, 0.40%, 05/01/2045 (z) | | | 185 | | | | 182 | |
Series B, Rev., HUD, 0.50%, 11/01/2050 (z) | | | 245 | | | | 232 | |
Series D, Rev., 4.00%, 03/01/2047 | | | 105 | | | | 104 | |
Wisconsin Housing & Economic Development Authority, Social Bond, Series A, Rev., 3.00%, 03/01/2052 | | | 845 | | | | 812 | |
Wisconsin Housing & Economic Development Authority, Social Bonds, Series C, Rev., GNMA/FHLMC/FNMA COLL, 3.00%, 09/01/2052 | | | 1,280 | | | | 1,228 | |
| | | | | | | | |
| | |
| | | | | | | 183,306 | |
| | | | | | | | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
Wyoming — 0.1% | | | | | | | | |
Consolidated Municipalities Electric Power Systems Joint Powers Board, Rev., 5.25%, 06/01/2039 | | | 1,000 | | | | 1,106 | |
County of Laramie, Cheyenne Regional Medical Center, | | | | | | | | |
Rev., 4.00%, 05/01/2026 | | | 615 | | | | 626 | |
Rev., 4.00%, 05/01/2028 | | | 460 | | | | 477 | |
County of Sweetwater, Idaho Power Company Project, Rev., 1.70%, 07/15/2026 | | | 1,045 | | | | 971 | |
Wyoming Community Development Authority, | | | | | | | | |
Series 2, Rev., 3.00%, 06/01/2049 | | | 1,180 | | | | 1,138 | |
Series 2, Rev., VRDO, LIQ: Royal Bank of Canada, 3.95%, 07/07/2023 (z) | | | 3,000 | | | | 3,000 | |
Series 3, Rev., GNMA/FHLMC/FNMA COLL, 3.00%, 06/01/2050 | | | 1,480 | | | | 1,432 | |
| | | | | | | | |
| | |
| | | | | | | 8,750 | |
| | | | | | | | |
Total Municipal Bonds
(Cost $6,418,873) | | | | | | | 6,124,846 | |
| | | | | | | | |
Short-Term Investments — 2.2% | | | | | | | | |
Municipal Bond — 0.0% (g) (t) | | | | | | | | |
Miami-Dade County Housing Finance Authority, Council Towers Seniors Apartment, Rev., HUD, 5.00%, 02/01/2024 | | | 950 | | | | 955 | |
| | | | | | | | |
Time Deposits — 2.2% | | | | | | | | |
Citibank NA, 4.42%, 07/03/2023 | | | 101,167 | | | | 101,167 | |
Skandinaviska Enskilda Banken AB, 4.42%, 07/03/2023 | | | 381 | | | | 381 | |
Sumitomo Mitsui Banking Corp., 4.42%, 07/03/2023 | | | 29,383 | | | | 29,383 | |
Sumitomo Mitsui Trust Bank Ltd., 4.42%, 07/03/2023 | | | 6,576 | | | | 6,576 | |
| | | | | | | | |
Total Time Deposits | | | | | | | 137,507 | |
| | | | | | | | |
Total Short-Term Investments
(Cost $138,461) | | | | | | | 138,462 | |
| | | | | | | | |
| | |
Total Investments — 99.4%
(Cost — $6,558,199) * | | | | | | | 6,263,760 | |
| | |
Other Assets in Excess of Liabilities — 0.6% | | | | | | | 38,799 | |
| | | | | | | | |
| | |
NET ASSETS — 100.0% | | | | | | $ | 6,302,559 | |
| | | | | | | | |
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 210 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
|
| Futures contracts outstanding as of June 30, 2023: |
| Exchange Traded |
|
| | | | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF CONTRACTS | | | EXPIRATION DATE | | | TRADING CURRENCY | | | NOTIONAL AMOUNT ($) | | | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury 2 Year Note | | | 182 | | | | 09/2023 | | | | USD | | | | 37,416 | | | | (408 | ) |
U.S. Treasury 5 Year Note | | | 475 | | | | 09/2023 | | | | USD | | | | 51,411 | | | | (541 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (949 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Short Contracts | | | | | | | | | | | | | | | | | | | | |
U.S. Ultra Treasury 10 Year Note | | | (239 | ) | | | 09/2023 | | | | USD | | | | (28,396 | ) | | | 90 | |
| | | | | | | | | | | | | | | | | | | | |
Total unrealized appreciation (depreciation) | | | | | | | | | | | | | | | | | | | (859 | ) |
| | | | | | | | | | | | | | | | | | | | |
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023
| | |
| AGC | | — Insured by Assured Guaranty Corp. |
| AGM | | — Insured by Assured Guaranty Municipal Corp. |
| AMBAC | | — Insured by American Municipal Bond Assurance Corp. |
| AMT | | — Alternative Minimum Tax |
| BAM | | — Insured by Build America Mutual |
| BAN | | — Bond Anticipation Note |
| CNTY | | — County |
| COLL | | — Collateral |
| COP | | — Certificate of Participation |
| CR | | — Custodial Receipts |
| FHA | | — Federal Housing Administration |
| FHLMC | | — Federal Home Loan Mortgage Corp. |
| FNMA | | — Federal National Mortgage Association |
| GAN | | — Grant Anticipation Note |
| GNMA | | — Government National Mortgage Association |
| GO | | — General Obligation |
| GTD | | — Guaranteed |
| HUD | | — U.S. Department of Housing and Urban Development |
| ICE | | — Intercontinental Exchange |
| LIBOR | | — London Interbank Offered Rate |
| LIQ | | — Liquidity Agreement |
| NATL | | — Insured by National Public Finance Guarantee Corp. |
| PSF | | — Permanent School Fund |
| Q-SBLF | | — Qualified School Bond Loan Fund |
| Rev. | | — Revenue |
| SCH BD GTY | | — School Bond Guaranty |
| SIFMA | | — Securities Industry and Financial Markets Association |
| SOFR | | — Secured Overnight Financing Rate |
| | |
| SONYMA | | — State of New York Mortgage Agency |
| VRDO | | — Variable Rate Demand Obligation. The interest rate shown is the rate in effect as of June 30, 2023. |
| (d) | | — Defaulted Security. Security has not paid its last interest payment and/or interest is not being accrued. |
| (e) | | — Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| (g) | | — Amount rounds to less than 0.05%. |
| (p) | | — Security is prerefunded or escrowed to maturity. |
| (t) | | — The date shown represents the earliest of the next put date or final maturity date. |
| (w) | | — All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
| (z) | | — Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of June 30, 2023. |
| (aa) | | — Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of June 30, 2023. |
| * | | — The cost of securities is substantially the same for federal income tax purposes. |
| USD | | — United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 211 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Asset-Backed Securities — 3.6% | |
American Express Credit Account Master Trust, Series 2022-2, Class A, 3.39%, 05/15/2027 | | | 1,350 | | | | 1,302 | |
Americredit Automobile Receivables Trust, | | | | | | | | |
Series 2023-1, Class A2A, 5.84%, 10/19/2026 | | | 375 | | | | 375 | |
Series 2023-1, Class A3, 5.62%, 11/18/2027 | | | 225 | | | | 223 | |
Series 2023-1, Class B, 5.57%, 03/20/2028 | | | 100 | | | | 99 | |
Series 2023-1, Class C, 5.80%, 12/18/2028 | | | 100 | | | | 99 | |
AmeriCredit Automobile Receivables Trust, Series 2022-2, Class C, 5.32%, 04/18/2028 | | | 100 | | | | 98 | |
AMMC CLO 23 Ltd., (Cayman Islands), Series 2020-23A, Class A1R, (ICE LIBOR USD 3 Month + 1.04%), 6.30%, 10/17/2031 (e) (aa) | | | 1,740 | | | | 1,716 | |
ARES L CLO Ltd., (Cayman Islands), Series 2018-50A, Class AR, (ICE LIBOR USD 3 Month + 1.05%), 6.31%, 01/15/2032 (e) (aa) | | | 300 | | | | 296 | |
Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A, 2.02%, 02/20/2027 (e) | | | 1,150 | | | | 1,041 | |
BA Credit Card Trust, Series 2022-A2, Class A2, 5.00%, 04/15/2028 | | | 340 | | | | 338 | |
BDS LLC, Series 2022-FL11, Class ATS, (CME Term SOFR 1 Month + 1.80%), 6.88%, 03/19/2039 (e) (aa) | | | 1,000 | | | | 988 | |
BlueMountain CLO Ltd., (Cayman Islands), Series 2016-2A, Class A1R2, (ICE LIBOR USD 3 Month + 1.12%), 6.50%, 08/20/2032 (e) (aa) | | | 14,500 | | | | 14,204 | |
BMW Vehicle Lease Trust, | | | | | | | | |
Series 2023-1, Class A2, 5.27%, 02/25/2025 | | | 395 | | | | 394 | |
Series 2023-1, Class A3, 5.16%, 11/25/2025 | | | 775 | | | | 770 | |
BSPRT Issuer Ltd., (Cayman Islands), Series 2021-FL7, Class A, (ICE LIBOR USD 1 Month + 1.32%), 6.51%, 12/15/2038 (e) (aa) | | | 1,770 | | | | 1,732 | |
Carlyle Global Market Strategies CLO Ltd., (Cayman Islands), Series 2015-5A, Class A1RR, (ICE LIBOR USD 3 Month + 1.08%), 6.33%, 01/20/2032 (e) (aa) | | | 3,740 | | | | 3,680 | |
CarMax Auto Owner Trust, Series 2023-1, Class A3, 4.75%, 10/15/2027 | | | 200 | | | | 197 | |
Carvana Auto Receivables Trust, | | | | | | | | |
Series 2021-N1, Class A, 0.70%, 01/10/2028 | | | 161 | | | | 151 | |
Series 2022-P1, Class A3, 3.35%, 02/10/2027 | | | 565 | | | | 546 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Cedar Funding IX CLO Ltd., (Cayman Islands), Series 2018-9A, Class A1, (ICE LIBOR USD 3 Month + 0.98%), 6.23%,
04/20/2031 (e) (aa) | | | 260 | | | | 257 | |
CIFC Funding Ltd., (Cayman Islands), Series 2013-2A, Class A1L2, (ICE LIBOR USD 3 Month + 1.00%), 6.26%, 10/18/2030 (e) (aa) | | | 387 | | | | 383 | |
Credit Acceptance Auto Loan Trust, Series 2021-3A, Class A, 1.00%, 05/15/2030 (e) | | | 615 | | | | 599 | |
Discover Card Execution Note Trust, Series 2022-A3, Class A3, 3.56%, 07/15/2027 | | | 745 | | | | 720 | |
Exeter Automobile Receivables Trust, Series 2021-2A, Class C, 0.98%, 06/15/2026 | | | 350 | | | | 343 | |
First Investors Auto Owner Trust, Series 2022-2A, Class A, 6.26%, 07/15/2027 (e) | | | 246 | | | | 246 | |
Flagship Credit Auto Trust, Series 2023-1, Class A3, 5.01%, 08/16/2027 (e) | | | 350 | | | | 343 | |
Ford Credit Auto Owner Trust, Series 2018-1, Class A, 3.19%, 07/15/2031 (e) | | | 850 | | | | 817 | |
Generate CLO Ltd., (Cayman Islands), Series 2A, Class AR, (ICE LIBOR USD 3 Month + 1.15%), 6.42%, 01/22/2031 (e) (aa) | | | 2,155 | | | | 2,135 | |
GM Financial Automobile Leasing Trust, | | | | | | | | |
Series 2022-2, Class A3, 3.42%, 06/20/2025 | | | 980 | | | | 963 | |
Series 2022-3, Class A2A, 4.01%, 10/21/2024 | | | 229 | | | | 228 | |
Series 2022-3, Class A3, 4.01%, 09/22/2025 | | | 364 | | | | 358 | |
Series 2023-1, Class A3, 5.16%, 04/20/2026 | | | 780 | | | | 774 | |
GREYWOLF CLO VI Ltd., (Cayman Islands), Series 2018-1A, Class A1, (CME Term SOFR 3 Month + 1.29%), 6.36%, 04/26/2031 (e) (aa) | | | 2,460 | | | | 2,428 | |
Guggenheim CLO STAT Ltd., (Cayman Islands), Series 2022-1A, Class A1A, (CME Term SOFR 3 Month + 2.59%), 7.66%, 10/25/2031 (e) (aa) | | | 7,618 | | | | 7,656 | |
Honda Auto Receivables Owner Trust, Series 2023-1, Class A2, 5.22%, 10/21/2025 | | | 775 | | | | 772 | |
Hyundai Auto Lease Securitization Trust, Series 2022-C, Class A2A, 4.34%, 01/15/2025 (e) | | | 955 | | | | 949 | |
Jamestown CLO VI-R Ltd., (Cayman Islands), Series 2018-6RA, Class A1, (ICE LIBOR USD 3 Month + 1.15%), 6.41%, 04/25/2030 (e) (aa) | | | 874 | | | | 868 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 212 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Asset-Backed Securities — continued | |
KKR Static CLO Ltd., (Cayman Islands), Series 2022-2A, Class A1, (CME Term SOFR 3 Month + 2.22%), 6.74%, 10/20/2031 (e) (aa) | | | 12,000 | | | | 11,997 | |
Lendmark Funding Trust, Series 2021-2A, Class A, 2.00%, 04/20/2032 (e) | | | 915 | | | | 779 | |
Madison Park Funding XVII Ltd., (Cayman Islands), Series 2015-17A, Class AR2, (ICE LIBOR USD 3 Month + 1.00%), 6.26%, 07/21/2030 (e) (aa) | | | 243 | | | | 241 | |
Madison Park Funding XVIII Ltd., (Cayman Islands), Series 2015-18A, Class ARR, (ICE LIBOR USD 3 Month + 0.94%), 6.20%, 10/21/2030 (e) (aa) | | | 8,922 | | | | 8,844 | |
Magnetite VII Ltd., (Cayman Islands), Series 2012-7A, Class A1R2, (ICE LIBOR USD 3 Month + 0.80%), 6.06%, 01/15/2028 (e) (aa) | | | 176 | | | | 175 | |
Mariner Finance Issuance Trust, | | | | | | | | |
Series 2021-BA, Class A, 2.10%, 11/20/2036 (e) | | | 895 | | | | 777 | |
Series 2022-AA, Class A, 6.45%, 10/20/2037 (e) | | | 440 | | | | 439 | |
Nelnet Student Loan Trust, Series 2021-A, Class APT1, 1.36%, 04/20/2062 (e) | | | 549 | | | | 487 | |
New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class A1, 1.91%, 10/20/2061 (e) | | | 360 | | | | 307 | |
NextGear Floorplan Master Owner Trust, Series 2023-1A, Class A2, 5.74%, 03/15/2028 (e) | | | 310 | | | | 311 | |
OneMain Financial Issuance Trust, | | | | | | | | |
Series 2019-2A, Class A, 3.14%, 10/14/2036 (e) | | | 535 | | | | 484 | |
Series 2021-1A, Class A1, 1.55%, 06/16/2036 (e) | | | 190 | | | | 164 | |
Series 2022-3A, Class A, 5.94%, 05/15/2034 (e) | | | 320 | | | | 318 | |
Pagaya AI Debt Trust, Series 2022-1, Class A, 2.03%, 10/15/2029 (e) | | | 444 | | | | 432 | |
Palmer Square Loan Funding Ltd., (Cayman Islands), Series 2022-3A, Class A1A, (CME Term SOFR 3 Month + 1.82%), 6.81%, 04/15/2031 (e) (aa) | | | 9,199 | | | | 9,175 | |
Race Point VIII CLO Ltd., (Cayman Islands), Series 2013-8A, Class AR2, (ICE LIBOR USD 3 Month + 1.04%), 6.42%, 02/20/2030 (e) (aa) | | | 4,304 | | | | 4,270 | |
Rad CLO 1 Ltd., (Cayman Islands), Series 2018-1A, Class AR, (ICE LIBOR USD 3 Month + 0.98%), 6.24%, 07/15/2031 (e) (aa) | | | 340 | | | | 337 | |
Rad CLO 2 Ltd., (Cayman Islands), Series 2018-2A, Class AR, (ICE LIBOR USD 3 Month + 1.08%), 6.34%, 10/15/2031 (e) (aa) | | | 250 | | | | 247 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Rad CLO 7 Ltd., (Cayman Islands), Series 2020-7A, Class A1, (ICE LIBOR USD 3 Month + 1.20%), 6.46%, 04/17/2033 (e) (aa) | | | 250 | | | | 246 | |
Santander Consumer Auto Receivables Trust, Series 2020-BA, Class C, 1.29%, 04/15/2026 (e) | | | 1,066 | | | | 1,040 | |
Santander Drive Auto Receivables Trust, | | | | | | | | |
Series 2022-5, Class A2, 3.98%, 01/15/2025 | | | 101 | | | | 101 | |
Series 2022-6, Class A2, 4.37%, 05/15/2025 | | | 167 | | | | 166 | |
Series 2022-7, Class C, 6.69%, 03/17/2031 | | | 375 | | | | 382 | |
SCF Equipment Leasing LLC, | | | | | | | | |
Series 2019-2A, Class A2, 2.47%, 04/20/2026 (e) | | | 363 | | | | 362 | |
Series 2021-1A, Class A3, 0.83%, 08/21/2028 (e) | | | 303 | | | | 295 | |
Series 2021-1A, Class B, 1.37%, 08/20/2029 (e) | | | 1,000 | | | | 917 | |
Summer BidCo. BV, (Netherlands), Reg. S, 9.00% (cash), 11/15/2025 (v) | | EUR | 268 | | | | 256 | |
TCW CLO Ltd., (Cayman Islands), Series 2022-1A, Class A1, (CME Term SOFR 3 Month + 1.34%), 6.41%, 04/22/2033 (e) (aa) | | | 500 | | | | 492 | |
TICP CLO IX Ltd., (Cayman Islands), Series 2017-9A, Class A, (ICE LIBOR USD 3 Month + 1.14%), 6.39%, 01/20/2031 (e) (aa) | | | 963 | | | | 956 | |
Upstart Securitization Trust, Series 2021-5, Class A, 1.31%, 11/20/2031 (e) | | | 443 | | | | 433 | |
Verizon Master Trust, Series 2022-7, Class A1A, 5.23%, 11/22/2027 | | | 265 | | | | 263 | |
Voya CLO Ltd., (Cayman Islands), | | | | | | | | |
Series 2014-2A, Class A1RR, (ICE LIBOR USD 3 Month + 1.02%), 6.28%, 04/17/2030 (e) (aa) | | | 4,162 | | | | 4,129 | |
Series 2016-1A, Class A1R, (CME Term SOFR 3 Month + 1.33%), 6.38%, 01/20/2031 (e) (aa) | | | 8,347 | | | | 8,245 | |
Wellfleet CLO Ltd., (Cayman Islands), Series 2018-3A, Class A1A, (ICE LIBOR USD 3 Month + 1.25%), 6.50%, 01/20/2032 (e) (aa) | | | 7,600 | | | | 7,497 | |
Westlake Automobile Receivables Trust, Series 2022-2A, Class C, 4.85%, 09/15/2027 (e) | | | 75 | | | | 73 | |
| | | | | | | | |
Total Asset-Backed Securities
(Cost $115,455) | | | | | | | 114,725 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 213 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Certificate of Deposit — 0.0% (g) | |
Financial — 0.0% (g) | |
Banks — 0.0% (g) | | | | | | | | |
Credit Suisse AG, (Switzerland), (SOFR Compounded Index + 0.42%), 5.48%, 07/10/2023 (aa)
(Cost $250) | | | 250 | | | | 250 | |
| | | | | | | | |
Collateralized Mortgage Obligations — 0.1% | |
Connecticut Avenue Securities Trust, | | | | | | | | |
Series 2023-R01, Class 1M1, (United States 30 Day Average SOFR + 2.40%), 7.47%, 12/25/2042 (e) (aa) | | | 351 | | | | 353 | |
Series 2023-R03, Class 2M1, (United States 30 Day Average SOFR + 2.50%), 7.57%, 04/25/2043 (e) (aa) | | | 145 | | | | 146 | |
CSMC, | | | | | | | | |
Series 2021-NQM1, Class A1, 0.81%, 05/25/2065 (e) (z) | | | 616 | | | | 514 | |
Series 2021-NQM3, Class A1, 1.02%, 04/25/2066 (e) (z) | | | 355 | | | | 290 | |
Series 2022-NQM1, Class A1, 2.27%, 11/25/2066 (e) (z) | | | 895 | | | | 757 | |
FHLMC Structured Agency Credit Risk Debt Notes, | | | | | | | | |
Series 2013-DN1, Class M2, (ICE LIBOR USD 1 Month + 7.15%), 12.30%, 07/25/2023 (aa) | | | 298 | | | | 299 | |
Series 2023-DNA2, Class M1A, (United States 30 Day Average SOFR + 2.10%), 7.17%, 04/25/2043 (e) (aa) | | | 651 | | | | 652 | |
FNMA Connecticut Avenue Securities, Series 2013-C01, Class M2, (ICE LIBOR USD 1 Month + 5.25%), 10.40%, 10/25/2023 (aa) | | | 314 | | | | 318 | |
Verus Securitization Trust, | | | | | | | | |
Series 2021-1, Class A1, 0.82%, 01/25/2066 (e) (z) | | | 192 | | | | 162 | |
Series 2021-3, Class A1, 1.05%, 06/25/2066 (e) (z) | | | 514 | | | | 428 | |
Series 2021-R2, Class A1, 0.92%, 02/25/2064 (e) (z) | | | 661 | | | | 565 | |
Series 2021-R3, Class A1, 1.02%, 04/25/2064 (e) (z) | | | 326 | | | | 286 | |
| | | | | | | | |
Total Collateralized Mortgage Obligations (Cost $5,321) | | | | | | | 4,770 | |
| | | | | | | | |
Commercial Mortgage-Backed Securities — 0.4% | |
BBCMS Mortgage Trust, Series 2018-TALL, Class C, (ICE LIBOR USD 1 Month + 1.27%), 6.47%, 03/15/2037 (e) (aa) | | | 1,600 | | | | 1,193 | |
BWAY Mortgage Trust, Series 2015-1740, Class C, 3.34%, 01/10/2035 (e) | | | 2,750 | | | | 553 | |
BX Commercial Mortgage Trust, Series 2021-XL2, Class A, (ICE LIBOR USD 1 Month + 0.69%), 5.88%, 10/15/2038 (e) (aa) | | | 834 | | | | 809 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
BXHPP Trust, Series 2021-FILM, Class B, (ICE LIBOR USD 1 Month + 0.90%), 6.09%, 08/15/2036 (e) (aa) | | | 600 | | | | 549 | |
Citigroup Commercial Mortgage Trust, Series 2020-GC46, Class XA, IO, 1.10%, 02/15/2053 (z) | | | 44,924 | | | | 2,089 | |
DBWF Mortgage Trust, Series 2018-GLKS, Class A, (ICE LIBOR USD 1 Month + 1.13%), 6.28%, 12/19/2030 (e) (aa) | | | 452 | | | | 445 | |
Great Wolf Trust, Series 2019-WOLF, Class A, (CME Term SOFR 1 Month + 1.15%), 6.30%, 12/15/2036 (e) (aa) | | | 1,850 | | | | 1,828 | |
GS Mortgage Securities Corp. Trust, | | | | | | | | |
Series 2021-ROSS, Class A, (ICE LIBOR USD 1 Month + 1.15%), 6.34%, 05/15/2026 (e) (aa) | | | 720 | | | | 646 | |
Series 2021-ROSS, Class H, (ICE LIBOR USD 1 Month + 5.90%), 11.09%, 05/15/2026 (e) (aa) | | | 270 | | | | 154 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C29, Class A4, 3.33%, 05/15/2049 | | | 900 | | | | 839 | |
WFRBS Commercial Mortgage Trust, | | | | | | | | |
Series 2013-C15, Class AS, 4.36%, 08/15/2046 (z) | | | 1,000 | | | | 971 | |
Series 2014-C19, Class A5, 4.10%, 03/15/2047 | | | 1,245 | | | | 1,225 | |
| | | | | | | | |
Total Commercial Mortgage-Backed Securities
(Cost $15,460) | | | | 11,301 | |
| | | | | | | | |
Convertible Bonds — 0.5% | |
Communications — 0.3% | |
Internet — 0.2% | | | | | | | | |
Meituan, (Cayman Islands), Reg. S, Zero Coupon, 04/27/2028 | | | 5,100 | | | | 4,185 | |
Uber Technologies, Inc., Zero Coupon, 12/15/2025 | | | 2,600 | | | | 2,371 | |
| | | | | | | | |
| | |
| | | | | | | 6,556 | |
| | | | | | | | |
Media — 0.1% | |
Cable One, Inc., | | | | | | | | |
Zero Coupon, 03/15/2026 | | | 623 | | | | 509 | |
1.13%, 03/15/2028 | | | 986 | | | | 742 | |
| | | | | | | | |
| | |
| | | | | | | 1,251 | |
| | | | | | | | |
Telecommunications — 0.0% (g) | |
Digicel Group Holdings Ltd., (Bermuda), 7.00% (cash), 07/17/2023 (e) (v) (x) | | | 67 | | | | 7 | |
| | | | | | | | |
Total Communications | | | | | | | 7,814 | |
| | | | | | | | |
Consumer Cyclical — 0.1% | |
Lodging — 0.1% | |
Wynn Macau Ltd., (Cayman Islands), 4.50%, 03/07/2029 (e) | | | 2,800 | | | | 2,900 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 214 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Convertible Bonds — continued | | | | | | | | |
Consumer Non-cyclical — 0.1% | |
Agriculture — 0.1% | |
ADM Ag Holding Ltd., (British Virgin Islands), Reg. S, Zero Coupon, 08/26/2023 | | | 3,800 | | | | 3,757 | |
| | | | | | | | |
Commercial Services — 0.0% (g) | |
Nexi SpA, (Italy), Reg. S, Zero Coupon, 02/24/2028 | | EUR | 200 | | | | 164 | |
Shift4 Payments, Inc., Zero Coupon, 12/15/2025 | | | 292 | | | | 317 | |
| | | | | | | | |
| | | | | | | 481 | |
| | | | | | | | |
Total Consumer Non-cyclical | | | | | | | 4,238 | |
| | | | | | | | |
Industrial — 0.0% (g) | |
Engineering & Construction — 0.0% (g) | |
Cellnex Telecom SA, (Spain), Reg. S, 0.75%, 11/20/2031 | | EUR | 200 | | | | 174 | |
| | | | | | | | |
Total Convertible Bonds
(Cost $15,305) | | | | | | | 15,126 | |
| | | | | | | | |
Corporate Bonds — 83.1% | |
Basic Materials — 4.2% | |
Chemicals — 1.4% | | | | | | | | |
Ashland, Inc., | | | | | | | | |
3.38%, 09/01/2031 (e) | | | 1,232 | | | | 976 | |
6.88%, 05/15/2043 | | | 500 | | | | 496 | |
Avient Corp., 7.13%, 08/01/2030 (e) | | | 581 | | | | 586 | |
Axalta Coating Systems Dutch Holding B BV, (Netherlands), Reg. S, 3.75%, 01/15/2025 | | EUR | 200 | | | | 214 | |
Axalta Coating Systems LLC, 3.38%, 02/15/2029 (e) | | | 1,806 | | | | 1,537 | |
Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding B BV, (Multinational), 4.75%, 06/15/2027 (e) | | | 1,590 | | | | 1,499 | |
Celanese US Holdings LLC, 5.90%, 07/05/2024 | | | 408 | | | | 407 | |
Chemours Co. (The), | | | | | | | | |
4.63%, 11/15/2029 (e) | | | 1,542 | | | | 1,303 | |
5.75%, 11/15/2028 (e) | | | 1,317 | | | | 1,210 | |
Diamond BC BV, (Netherlands), 4.63%, 10/01/2029 (e) | | | 1,635 | | | | 1,649 | |
Element Solutions, Inc., 3.88%, 09/01/2028 (e) | | | 7,253 | | | | 6,338 | |
FIS Fabbrica Italiana Sintetici SpA, (Italy), Reg. S, 5.63%, 08/01/2027 | | EUR | 100 | | | | 97 | |
FMC Corp., 5.15%, 05/18/2026 | | | 65 | | | | 64 | |
Herens Holdco Sarl, (Luxembourg), 4.75%, 05/15/2028 (e) | | | 1,505 | | | | 1,166 | |
Illuminate Buyer LLC / Illuminate Holdings IV, Inc., 9.00%, 07/01/2028 (e) | | | 2,042 | | | | 1,779 | |
INEOS Quattro Finance 2 Plc, (United Kingdom), Reg. S, 2.50%, 01/15/2026 | | EUR | 194 | | | | 189 | |
International Flavors & Fragrances, Inc., 1.23%, 10/01/2025 (e) | | | 406 | | | | 362 | |
Iris Holding, Inc., 10.00%, 12/15/2028 (e) | | | 2,200 | | | | 1,608 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Chemicals — continued | | | | | | | | |
Kobe US Midco 2, Inc., 9.25% (cash), 11/01/2026 (e) (v) | | | 1,436 | | | | 948 | |
LSF11 A5 HoldCo. LLC, 6.63%, 10/15/2029 (e) | | | 662 | | | | 553 | |
Monitchem HoldCo. 3 SA, (Luxembourg), Reg. S, 8.75%, 05/01/2028 | | EUR | 100 | | | | 108 | |
Olympus Water US Holding Corp., 4.25%, 10/01/2028 (e) | | | 1,125 | | | | 889 | |
Reg. S, | | | | | | | | |
9.63%, 11/15/2028 | | EUR | 198 | | | | 207 | |
9.75%, 11/15/2028 (e) | | | 4,265 | | | | 4,163 | |
Orbia Advance Corp. SAB de CV, (Mexico), 1.88%, 05/11/2026 (e) | | | 249 | | | | 223 | |
Rain CII Carbon LLC / CII Carbon Corp., 7.25%, 04/01/2025 (e) | | | 2,145 | | | | 2,082 | |
Sasol Financing USA LLC, 5.88%, 03/27/2024 | | | 200 | | | | 197 | |
SCIL IV LLC / SCIL USA Holdings LLC, | | | | | | | | |
5.38%, 11/01/2026 (e) | | | 982 | | | | 895 | |
Reg. S, (ICE LIBOR EUR 3 Month + 4.38%), 7.63%, 11/01/2026 (aa) | | EUR | 100 | | | | 107 | |
Reg. S, 9.50%, 07/15/2028 (w) | | EUR | 101 | | | | 110 | |
SK Invictus Intermediate II Sarl, (Luxembourg), 5.00%, 10/30/2029 (e) | | | 4,680 | | | | 3,719 | |
SPCM SA, (France), 3.13%, 03/15/2027 (e) | | | 387 | | | | 347 | |
Synthomer plc, (United Kingdom), Reg. S, 3.88%, 07/01/2025 | | EUR | 147 | | | | 148 | |
Tronox, Inc., 4.63%, 03/15/2029 (e) | | | 1,715 | | | | 1,425 | |
Valvoline, Inc., 3.63%, 06/15/2031 (e) | | | 1,325 | | | | 1,077 | |
Venator Finance Sarl / Venator Materials LLC, (Multinational), | | | | | | | | |
5.75%, 07/15/2025 (d) (e) | | | 1,835 | | | | 16 | |
9.50%, 07/01/2025 (d) (e) | | | 529 | | | | 402 | |
WR Grace Holdings LLC, | | | | | | | | |
4.88%, 06/15/2027 (e) | | | 858 | | | | 796 | |
5.63%, 08/15/2029 (e) | | | 5,024 | | | | 4,116 | |
7.38%, 03/01/2031 (e) | | | 1,254 | | | | 1,229 | |
| | | | | | | | |
| | |
| | | | | | | 45,237 | |
| | | | | | | | |
Forest Products & Paper — 0.0% (g) | |
Ahlstrom Holding 3 Oy, (Finland), Reg. S, 3.63%, 02/04/2028 | | EUR | 100 | | | | 90 | |
| | | | | | | | |
Iron/Steel — 1.0% | |
ATI, Inc., | | | | | | | | |
4.88%, 10/01/2029 | | | 816 | | | | 735 | |
5.13%, 10/01/2031 | | | 895 | | | | 797 | |
5.88%, 12/01/2027 | | | 1,002 | | | | 970 | |
Baffinland Iron Mines Corp. / Baffinland Iron Mines LP, (Canada), 8.75%, 07/15/2026 (e) | | | 162 | | | | 155 | |
Big River Steel LLC / BRS Finance Corp., 6.63%, 01/31/2029 (e) | | | 8,803 | | | | 8,696 | |
Carpenter Technology Corp., | | | | | | | | |
6.38%, 07/15/2028 | | | 2,163 | | | | 2,120 | |
7.63%, 03/15/2030 | | | 1,089 | | | | 1,101 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 215 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — continued | | | | | | | | |
Iron/Steel — continued | | | | | | | | |
Cleveland-Cliffs, Inc., 6.75%, 04/15/2030 (e) | | | 1,025 | | | | 987 | |
Commercial Metals Co., 4.38%, 03/15/2032 | | | 400 | | | | 346 | |
JSW Steel Ltd., (India), Reg. S, 5.05%, 04/05/2032 | | | 1,000 | | | | 808 | |
Mineral Resources Ltd., (Australia), 8.13%, 05/01/2027 (e) | | | 2,537 | | | | 2,536 | |
Periama Holdings LLC, Reg. S, 5.95%, 04/19/2026 | | | 15,850 | | | | 15,216 | |
| | | | | | | | |
| | |
| | | | | | | 34,467 | |
| | | | | | | | |
Mining — 1.8% | |
Anglo American Capital plc, (United Kingdom), 4.88%, 05/14/2025 (e) | | | 344 | | | | 337 | |
Arconic Corp., | | | | | | | | |
6.00%, 05/15/2025 (e) | | | 252 | | | | 254 | |
6.13%, 02/15/2028 (e) | | | 1,804 | | | | 1,826 | |
Bukit Makmur Mandiri Utama PT, (Indonesia), Reg. S, 7.75%, 02/10/2026 | | | 6,400 | | | | 5,443 | |
China Hongqiao Group Ltd., (Cayman Islands), Reg. S, 6.25%, 06/08/2024 | | | 2,900 | | | | 2,838 | |
Constellium SE, (France), 3.75%, 04/15/2029 (e) | | | 3,871 | | | | 3,293 | |
Reg. S, 4.25%, 02/15/2026 | | EUR | 400 | | | | 425 | |
5.63%, 06/15/2028 (e) | | | 1,126 | | | | 1,059 | |
5.88%, 02/15/2026 (e) | | | 1,730 | | | | 1,695 | |
Eldorado Gold Corp., (Canada), 6.25%, 09/01/2029 (e) | | | 575 | | | | 515 | |
ERO Copper Corp., (Canada), 6.50%, 02/15/2030 (e) | | | 608 | | | | 524 | |
First Quantum Minerals Ltd., (Canada), | | | | | | | | |
6.88%, 03/01/2026 (e) | | | 335 | | | | 330 | |
6.88%, 10/15/2027 (e) | | | 1,812 | | | | 1,768 | |
7.50%, 04/01/2025 (e) | | | 659 | | | | 658 | |
8.63%, 06/01/2031 (e) | | | 2,250 | | | | 2,306 | |
Glencore Funding LLC, | | | | | | | | |
1.63%, 04/27/2026 (e) | | | 291 | | | | 263 | |
4.00%, 04/16/2025 (e) | | | 164 | | | | 159 | |
4.00%, 03/27/2027 (e) | | | 250 | | | | 238 | |
4.63%, 04/29/2024 (e) | | | 558 | | | | 551 | |
Hecla Mining Co., 7.25%, 02/15/2028 | | | 1,083 | | | | 1,073 | |
Hudbay Minerals, Inc., (Canada), | | | | | | | | |
4.50%, 04/01/2026 (e) | | | 525 | | | | 489 | |
6.13%, 04/01/2029 (e) | | | 1,781 | | | | 1,640 | |
Kaiser Aluminum Corp., | | | | | | | | |
4.50%, 06/01/2031 (e) | | | 2,015 | | | | 1,612 | |
4.63%, 03/01/2028 (e) | | | 931 | | | | 814 | |
Kinross Gold Corp., (Canada), 5.95%, 03/15/2024 | | | 207 | | | | 207 | |
New Gold, Inc., (Canada), 7.50%, 07/15/2027 (e) | | | 5,801 | | | | 5,417 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Mining — continued | | | | | | | | |
Novelis Corp., | | | | | | | | |
3.25%, 11/15/2026 (e) | | | 4,308 | | | | 3,900 | |
3.88%, 08/15/2031 (e) | | | 2,465 | | | | 2,026 | |
4.75%, 01/30/2030 (e) | | | 4,065 | | | | 3,613 | |
Novelis Sheet Ingot GmbH, (Germany), Reg. S, 3.38%, 04/15/2029 | | EUR | 900 | | | | 860 | |
Vedanta Resources Finance II plc, (United Kingdom), 8.95%, 03/11/2025 (e) | | | 200 | | | | 151 | |
Reg. S, 8.95%, 03/11/2025 | | | 14,100 | | | | 10,645 | |
| | | | | | | | |
| | |
| | | | | | | 56,929 | |
| | | | | | | | |
Total Basic Materials | | | | | | | 136,723 | |
| | | | | | | | |
Communications — 9.0% | |
Advertising — 0.6% | |
Clear Channel International BV, (Netherlands), 6.63%, 08/01/2025 (e) | | | 1,608 | | | | 1,600 | |
Clear Channel Outdoor Holdings, Inc., | | | | | | | | |
5.13%, 08/15/2027 (e) | | | 6,273 | | | | 5,652 | |
7.50%, 06/01/2029 (e) | | | 4,102 | | | | 3,035 | |
7.75%, 04/15/2028 (e) | | | 584 | | | | 459 | |
CMG Media Corp., 8.88%, 12/15/2027 (e) | | | 5,380 | | | | 3,764 | |
Outfront Media Capital LLC / Outfront Media Capital Corp., | | | | | | | | |
4.25%, 01/15/2029 (e) | | | 2,284 | | | | 1,919 | |
4.63%, 03/15/2030 (e) | | | 45 | | | | 38 | |
5.00%, 08/15/2027 (e) | | | 1,809 | | | | 1,642 | |
Summer BC Holdco B Sarl, (Luxembourg), Reg. S, 5.75%, 10/31/2026 | | EUR | 100 | | | | 97 | |
| | | | | | | | |
| | |
| | | | | | | 18,206 | |
| | | | | | | | |
Internet — 1.0% | |
Acuris Finance US, Inc. / Acuris Finance Sarl, 5.00%, 05/01/2028 (e) | | | 3,167 | | | | 2,451 | |
ANGI Group LLC, 3.88%, 08/15/2028 (e) | | | 835 | | | | 681 | |
Arches Buyer, Inc., 4.25%, 06/01/2028 (e) | | | 115 | | | | 100 | |
Cablevision Lightpath LLC, | | | | | | | | |
3.88%, 09/15/2027 (e) | | | 3,163 | | | | 2,649 | |
5.63%, 09/15/2028 (e) | | | 1,050 | | | | 778 | |
Engineering — Ingegneria Informatica — SpA, (Italy), Reg. S, 11.13%, 05/15/2028 | | EUR | 104 | | | | 114 | |
Gen Digital, Inc., 5.00%, 04/15/2025 (e) | | | 1,185 | | | | 1,161 | |
Go Daddy Operating Co. LLC / GD Finance Co., Inc., 3.50%, 03/01/2029 (e) | | | 1,314 | | | | 1,126 | |
Iliad SA, (France), Reg. S, 5.38%, 06/14/2027 | | EUR | 300 | | | | 323 | |
ION Trading Technologies Sarl, (Luxembourg), 5.75%, 05/15/2028 (e) | | | 1,008 | | | | 870 | |
Match Group Holdings II LLC, | | | | | | | | |
3.63%, 10/01/2031 (e) | | | 1,312 | | | | 1,073 | |
4.63%, 06/01/2028 (e) | | | 788 | | | | 724 | |
Netflix, Inc., 4.88%, 04/15/2028 | | | 175 | | | | 173 | |
Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc., 4.75%, 04/30/2027 (e) | | | 705 | | | | 623 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 216 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — continued | | | | | | | | |
Internet — continued | | | | | | | | |
Prosus NV, (Netherlands), | | | | | | | | |
Reg. S, 3.06%, 07/13/2031 | | | 3,300 | | | | 2,579 | |
Reg. S, 4.99%, 01/19/2052 | | | 5,200 | | | | 3,746 | |
Uber Technologies, Inc., | | | | | | | | |
4.50%, 08/15/2029 (e) | | | 8,521 | | | | 7,843 | |
6.25%, 01/15/2028 (e) | | | 1,267 | | | | 1,261 | |
7.50%, 05/15/2025 (e) | | | 113 | | | | 114 | |
7.50%, 09/15/2027 (e) | | | 1,606 | | | | 1,643 | |
8.00%, 11/01/2026 (e) | | | 1,105 | | | | 1,126 | |
United Group BV, (Netherlands), | |
Reg. S, 4.00%, 11/15/2027 | | EUR | 100 | | | | 89 | |
Reg. S, 4.88%, 07/01/2024 | | EUR | 100 | | | | 108 | |
| | | | | | | | |
| | |
| | | | | | | 31,355 | |
| | | | | | | | |
Media — 3.9% | |
Altice Financing SA, (Luxembourg), | | | | | | | | |
Reg. S, 2.25%, 01/15/2025 | | EUR | 200 | | | | 203 | |
Reg. S, 3.00%, 01/15/2028 | | EUR | 100 | | | | 84 | |
Reg. S, 4.25%, 08/15/2029 | | EUR | 107 | | | | 89 | |
5.00%, 01/15/2028 (e) | | | 515 | | | | 412 | |
5.75%, 08/15/2029 (e) | | | 6,354 | | | | 4,923 | |
AMC Networks, Inc., | | | | | | | | |
4.75%, 08/01/2025 | | | 31 | | | | 27 | |
5.00%, 04/01/2024 | | | 450 | | | | 443 | |
Cable One, Inc., 4.00%, 11/15/2030 (e) | | | 1,523 | | | | 1,190 | |
CCO Holdings LLC / CCO Holdings Capital Corp., | | | | | | | | |
4.25%, 02/01/2031 (e) | | | 9,971 | | | | 8,080 | |
4.25%, 01/15/2034 (e) | | | 5,801 | | | | 4,385 | |
4.50%, 08/15/2030 (e) | | | 528 | | | | 440 | |
4.50%, 05/01/2032 | | | 4,947 | | | | 3,950 | |
4.50%, 06/01/2033 (e) | | | 2,550 | | | | 2,002 | |
4.75%, 03/01/2030 (e) | | | 4,003 | | | | 3,424 | |
4.75%, 02/01/2032 (e) | | | 1,924 | | | | 1,569 | |
5.00%, 02/01/2028 (e) | | | 5,808 | | | | 5,292 | |
5.13%, 05/01/2027 (e) | | | 4,219 | | | | 3,929 | |
6.38%, 09/01/2029 (e) | | | 4,241 | | | | 3,995 | |
7.38%, 03/01/2031 (e) | | | 3,508 | | | | 3,418 | |
Charter Communications Operating LLC / Charter Communications Operating Capital, 4.50%, 02/01/2024 | | | 207 | | | | 205 | |
CSC Holdings LLC, | | | | | | | | |
3.38%, 02/15/2031 (e) | | | 900 | | | | 609 | |
4.13%, 12/01/2030 (e) | | | 3,222 | | | | 2,254 | |
4.50%, 11/15/2031 (e) | | | 3,188 | | | | 2,222 | |
4.63%, 12/01/2030 (e) | | | 7,010 | | | | 3,119 | |
5.00%, 11/15/2031 (e) | | | 2,100 | | | | 979 | |
5.25%, 06/01/2024 | | | 443 | | | | 412 | |
5.38%, 02/01/2028 (e) | | | 825 | | | | 663 | |
5.50%, 04/15/2027 (e) | | | 2,346 | | | | 1,952 | |
5.75%, 01/15/2030 (e) | | | 2,000 | | | | 945 | |
6.50%, 02/01/2029 (e) | | | 1,500 | | | | 1,212 | |
7.50%, 04/01/2028 (e) | | | 500 | | | | 285 | |
11.25%, 05/15/2028 (e) | | | 5,087 | | | | 4,933 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Media — continued | | | | | | | | |
Diamond Sports Group LLC / Diamond Sports Finance Co., | | | | | | | | |
5.38%, 08/15/2026 (d) (e) | | | 17,957 | | | | 606 | |
6.63%, 08/15/2027 (d) (e) | | | 10,954 | | | | 276 | |
DIRECTV Financing LLC / Directv Financing Co-Obligor, Inc., 5.88%, 08/15/2027 (e) | | | 1,539 | | | | 1,394 | |
DISH DBS Corp., | | | | | | | | |
5.13%, 06/01/2029 | | | 1,344 | | | | 624 | |
5.25%, 12/01/2026 (e) | | | 21 | | | | 17 | |
5.75%, 12/01/2028 (e) | | | 1,790 | | | | 1,331 | |
7.38%, 07/01/2028 | | | 5,423 | | | | 2,901 | |
7.75%, 07/01/2026 | | | 4,515 | | | | 2,777 | |
DISH Network Corp., 11.75%, 11/15/2027 (e) | | | 8,234 | | | | 8,024 | |
FactSet Research Systems, Inc., 2.90%, 03/01/2027 | | | 120 | | | | 110 | |
GCI LLC, 4.75%, 10/15/2028 (e) | | | 182 | | | | 155 | |
Gray Television, Inc., | | | | | | | | |
5.88%, 07/15/2026 (e) | | | 2,565 | | | | 2,290 | |
7.00%, 05/15/2027 (e) | | | 500 | | | | 425 | |
iHeartCommunications, Inc., 6.38%, 05/01/2026 | | | 1,175 | | | | 986 | |
LCPR Senior Secured Financing DAC, (Ireland), 6.75%, 10/15/2027 (e) | | | 2,112 | | | | 1,979 | |
Midcontinent Communications / Midcontinent Finance Corp., 5.38%, 08/15/2027 (e) | | | 325 | | | | 304 | |
News Corp., 3.88%, 05/15/2029 (e) | | | 250 | | | | 219 | |
Nexstar Media, Inc., | | | | | | | | |
4.75%, 11/01/2028 (e) | | | 590 | | | | 512 | |
5.63%, 07/15/2027 (e) | | | 400 | | | | 373 | |
Radiate Holdco LLC / Radiate Finance, Inc., | | | | | | | | |
4.50%, 09/15/2026 (e) | | | 3,539 | | | | 2,824 | |
6.50%, 09/15/2028 (e) | | | 8,496 | | | | 4,946 | |
RCS & RDS SA, (Romania), Reg. S, 2.50%, 02/05/2025 | | EUR | 100 | | | | 104 | |
Sinclair Television Group, Inc., | | | | | | | | |
4.13%, 12/01/2030 (e) | | | 3,656 | | | | 2,395 | |
5.13%, 02/15/2027 (e) | | | 2,465 | | | | 2,088 | |
Sirius XM Radio, Inc., | | | | | | | | |
3.13%, 09/01/2026 (e) | | | 2,810 | | | | 2,516 | |
5.00%, 08/01/2027 (e) | | | 3,099 | | | | 2,875 | |
TEGNA, Inc., 4.75%, 03/15/2026 (e) | | | 202 | | | | 193 | |
Tele Columbus AG, (Germany), Reg. S, 3.88%, 05/02/2025 | | EUR | 344 | | | | 252 | |
Telenet Finance Luxembourg Notes Sarl, (Luxembourg), 5.50%, 03/01/2028 (e) | | | 1,200 | | | | 1,100 | |
Univision Communications, Inc., | | | | | | | | |
5.13%, 02/15/2025 (e) | | | 2,798 | | | | 2,739 | |
6.63%, 06/01/2027 (e) | | | 5,067 | | | | 4,899 | |
7.38%, 06/30/2030 (e) | | | 849 | | | | 808 | |
UPC Broadband Finco BV, (Netherlands), 4.88%, 07/15/2031 (e) | | | 1,402 | | | | 1,154 | |
Virgin Media Vendor Financing Notes III DAC, (Ireland), Reg. S, 4.88%, 07/15/2028 | | GBP | 300 | | | | 301 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 217 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — continued | | | | | | | | |
Media — continued | | | | | | | | |
Virgin Media Vendor Financing Notes IV DAC, (Ireland), 5.00%, 07/15/2028 (e) | | | 2,389 | | | | 2,090 | |
VZ Secured Financing BV, (Netherlands), | | | | | | | | |
Reg. S, 3.50%, 01/15/2032 | | EUR | 100 | | | | 84 | |
5.00%, 01/15/2032 (e) | | | 2,150 | | | | 1,731 | |
VZ Vendor Financing II BV, (Netherlands), Reg. S, 2.88%, 01/15/2029 | | EUR | 100 | | | | 84 | |
Ziggo Bond Co. BV, (Netherlands), 5.13%, 02/28/2030 (e) | | | 872 | | | | 660 | |
Ziggo BV, (Netherlands), 4.88%, 01/15/2030 (e) | | | 152 | | | | 126 | |
| | | | | | | | |
| | |
| | | | | | | 126,917 | |
| | | | | | | | |
Telecommunications — 3.5% | |
Altice France Holding SA, (Luxembourg), 10.50%, 05/15/2027 (e) | | | 2,883 | | | | 1,746 | |
Altice France SA, (France), | | | | | | | | |
Reg. S, 2.13%, 02/15/2025 | | EUR | 200 | | | | 200 | |
5.13%, 01/15/2029 (e) | | | 1,276 | | | | 910 | |
5.13%, 07/15/2029 (e) | | | 3,054 | | | | 2,168 | |
5.50%, 01/15/2028 (e) | | | 155 | | | | 117 | |
5.50%, 10/15/2029 (e) | | | 2,218 | | | | 1,586 | |
8.13%, 02/01/2027 (e) | | | 4,216 | | | | 3,631 | |
CommScope Technologies LLC, 6.00%, 06/15/2025 (e) | | | 2,170 | | | | 2,023 | |
CommScope, Inc., | | | | | | | | |
4.75%, 09/01/2029 (e) | | | 2,937 | | | | 2,316 | |
6.00%, 03/01/2026 (e) | | | 1,204 | | | | 1,122 | |
7.13%, 07/01/2028 (e) | | | 275 | | | | 195 | |
8.25%, 03/01/2027 (e) | | | 1,653 | | | | 1,322 | |
Connect Finco Sarl / Connect US Finco LLC, (Multinational), 6.75%, 10/01/2026 (e) | | | 6,080 | | | | 5,906 | |
Digicel Group Holdings Ltd., (Bermuda), 8.00%, 04/01/2025 (e) | | | 190 | | | | 82 | |
Digicel International Finance Ltd. / Digicel international Holdings Ltd., (Multinational), | | | | | | | | |
8.00%, 12/31/2026 (e) | | | 6,725 | | | | 1,143 | |
8.75%, 05/25/2024 (e) | | | 1,000 | | | | 916 | |
13.00% (Blend (cash 6.00% + PIK 7.00%)), 12/31/2025 (e) (v) | | | 2,651 | | | | 1,909 | |
Digicel Ltd., (Bermuda), 6.75%, 03/01/2023 (e) | | | 19,230 | | | | 3,558 | |
Eutelsat SA, (France), Reg. S, 1.50%, 10/13/2028 | | EUR | 200 | | | | 160 | |
Frontier Communications Holdings LLC, | | | | | | | | |
5.00%, 05/01/2028 (e) | | | 1,519 | | | | 1,310 | |
5.88%, 10/15/2027 (e) | | | 576 | | | | 529 | |
6.75%, 05/01/2029 (e) | | | 860 | | | | 667 | |
8.75%, 05/15/2030 (e) | | | 7,011 | | | | 6,852 | |
Global Switch Holdings Ltd., (British Virgin Islands), Reg. S, 2.25%, 05/31/2027 | | EUR | 179 | | | | 181 | |
Globe Telecom, Inc., (Philippines), | | | | | | | | |
Reg. S, 3.00%, 07/23/2035 | | | 1,300 | | | | 969 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Telecommunications — continued | | | | | | | | |
Reg. S, (CMT Index 5 Year + 5.53%), 4.20%, 08/02/2026 (x) (aa) | | | 7,384 | | | | 6,834 | |
Iliad Holding SASU, (France), | | | | | | | | |
Reg. S, 5.63%, 10/15/2028 | | EUR | 100 | | | | 101 | |
6.50%, 10/15/2026 (e) | | | 5,921 | | | | 5,589 | |
7.00%, 10/15/2028 (e) | | | 4,853 | | | | 4,476 | |
Intelsat Jackson Holdings SA, (Luxembourg), | | | | | | | | |
5.50%, 08/01/2023 (d) (bb) (cc) | | | 3,425 | | | | — (h) | |
6.50%, 03/15/2030 (e) | | | 4,320 | | | | 3,932 | |
8.50%, 10/15/2024 (d) (e) (bb) (cc) | | | 3,800 | | | | — (h) | |
9.75%, 07/15/2025 (d) (e) (bb) (cc) | | | 1,875 | | | | — (h) | |
Level 3 Financing, Inc., | | | | | | | | |
3.40%, 03/01/2027 (e) | | | 7,318 | | | | 6,206 | |
3.75%, 07/15/2029 (e) | | | 255 | | | | 154 | |
4.25%, 07/01/2028 (e) | | | 210 | | | | 135 | |
4.63%, 09/15/2027 (e) | | | 700 | | | | 487 | |
10.50%, 05/15/2030 (e) | | | 3,615 | | | | 3,668 | |
Liberty Costa Rica Senior Secured Finance, (Cayman Islands), 10.88%, 01/15/2031 (e) | | | 832 | | | | 823 | |
Ligado Networks LLC, 15.50% (PIK), 11/01/2023 (e) (v) | | | 306 | | | | 116 | |
Lorca Telecom Bondco SA, (Spain), Reg. S, 4.00%, 09/18/2027 | | EUR | 319 | | | | 317 | |
Lumen Technologies, Inc., 4.00%, 02/15/2027 (e) | | | 4,739 | | | | 3,543 | |
SES SA, (Luxembourg), | | | | | | | | |
Reg. S, (EUR Swap Rate 5 Year + 3.19%), 2.88%, 05/27/2026 (x) (aa) | | EUR | 100 | | | | 92 | |
Reg. S, (EUR Swap Rate 5 Year + 5.40%), 5.63%, 01/29/2024 (x) (aa) | | EUR | 100 | | | | 108 | |
SoftBank Group Corp., (Japan), | | | | | | | | |
Reg. S, 3.13%, 09/19/2025 | | EUR | 482 | | | | 493 | |
Reg. S, 3.88%, 07/06/2032 | | EUR | 100 | | | | 83 | |
Reg. S, 4.00%, 09/19/2029 | | EUR | 100 | | | | 91 | |
Reg. S, 4.50%, 04/20/2025 | | EUR | 100 | | | | 107 | |
Reg. S, (USD ICE Swap Rate 5 Year + 4.23%), 6.00%, 07/19/2023 (x) (aa) | | | 200 | | | | 199 | |
Sprint Capital Corp., | | | | | | | | |
6.88%, 11/15/2028 | | | 500 | | | | 530 | |
8.75%, 03/15/2032 | | | 575 | | | | 695 | |
Sprint LLC, | | | | | | | | |
7.13%, 06/15/2024 | | | 2,584 | | | | 2,607 | |
7.63%, 02/15/2025 | | | 1,390 | | | | 1,419 | |
7.88%, 09/15/2023 | | | 1,150 | | | | 1,153 | |
Telecom Italia Capital SA, (Luxembourg), | | | | | | | | |
6.00%, 09/30/2034 | | | 332 | | | | 266 | |
6.38%, 11/15/2033 | | | 425 | | | | 360 | |
7.20%, 07/18/2036 | | | 1,436 | | | | 1,235 | |
Telecom Italia Finance SA, (Luxembourg), Reg. S, 7.75%, 01/24/2033 | | EUR | 100 | | | | 114 | |
Telecom Italia SpA, (Italy), | | | | | | | | |
Reg. S, 1.63%, 01/18/2029 | | EUR | 542 | | | | 452 | |
5.30%, 05/30/2024 (e) | | | 400 | | | | 389 | |
Reg. S, 6.88%, 02/15/2028 | | EUR | 127 | | | | 138 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 218 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — continued | | | | | | | | |
Telecommunications — continued | | | | | | | | |
Telefonica Europe BV, (Netherlands), Reg. S, (EUR Swap Rate 6 Year + 4.32%), 7.13%, 08/23/2028 (x) (aa) | | EUR | 200 | | | | 223 | |
T-Mobile USA, Inc., | | | | | | | | |
2.25%, 02/15/2026 | | | 160 | | | | 147 | |
2.63%, 04/15/2026 | | | 36 | | | | 34 | |
3.75%, 04/15/2027 | | | 90 | | | | 85 | |
Viasat, Inc., | | | | | | | | |
5.63%, 09/15/2025 (e) | | | 8,387 | | | | 8,125 | |
5.63%, 04/15/2027 (e) | | | 393 | | | | 367 | |
Viavi Solutions, Inc., 3.75%, 10/01/2029 (e) | | | 1,481 | | | | 1,258 | |
Vmed O2 UK Financing I plc, (United Kingdom), | | | | | | | | |
Reg. S, 4.00%, 01/31/2029 | | GBP | 100 | | | | 101 | |
4.25%, 01/31/2031 (e) | | | 303 | | | | 245 | |
4.75%, 07/15/2031 (e) | | | 765 | | | | 636 | |
Vodafone Group plc, (United Kingdom), | | | | | | | | |
Reg. S, (EUR Swap Rate 5 Year + 3.48%), 3.00%, 08/27/2080 (aa) | | EUR | 100 | | | | 88 | |
Reg. S, (GBP Swap Rate 5 Year + 3.27%), 4.88%, 10/03/2078 (aa) | | GBP | 200 | | | | 237 | |
Reg. S, (EUR Swap Rate 5 Year + 3.49%), 6.50%, 08/30/2084 (aa) | | EUR | 100 | | | | 110 | |
Xiaomi Best Time International Ltd., (Hong Kong), Reg. S, 4.10%, 07/14/2051 | | | 3,100 | | | | 1,831 | |
Zayo Group Holdings, Inc., | | | | | | | | |
4.00%, 03/01/2027 (e) | | | 11,803 | | | | 8,336 | |
6.13%, 03/01/2028 (e) | | | 6,295 | | | | 3,932 | |
| | | | | | | | |
| | | | | | | 114,185 | |
| | | | | | | | |
Total Communications | | | | | | | 290,663 | |
| | | | | | | | |
Consumer Cyclical — 17.4% | |
Airlines — 1.2% | |
Air Canada, (Canada), 3.88%, 08/15/2026 (e) | | | 1,647 | | | | 1,527 | |
Air France-KLM, (France), Reg. S, 8.13%, 05/31/2028 | | EUR | 200 | | | | 226 | |
Allegiant Travel Co., 7.25%, 08/15/2027 (e) | | | 410 | | | | 408 | |
American Airlines, Inc., | | | | | | | | |
7.25%, 02/15/2028 (e) | | | 1,106 | | | | 1,099 | |
11.75%, 07/15/2025 (e) | | | 7,007 | | | | 7,683 | |
American Airlines, Inc. / AAdvantage Loyalty IP Ltd., (Multinational), | | | | | | | | |
5.50%, 04/20/2026 (e) | | | 959 | | | | 946 | |
5.75%, 04/20/2029 (e) | | | 5,243 | | | | 5,092 | |
British Airways 2013-1 Class A Pass Through Trust, 4.63%, 06/20/2024 (e) | | | 143 | | | | 141 | |
Deutsche Lufthansa AG, (Germany), Reg. S, 3.50%, 07/14/2029 | | EUR | 100 | | | | 99 | |
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd., (Cayman Islands), 5.75%, 01/20/2026 (e) | | | 1,583 | | | | 1,499 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Airlines — continued | | | | | | | | |
International Consolidated Airlines Group SA, (Spain), Reg. S, 3.75%, 03/25/2029 | | EUR | 100 | | | | 95 | |
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/2027 (e) | | | 3,722 | | | | 3,730 | |
Singapore Airlines Ltd., (Singapore), Reg. S, 3.00%, 07/20/2026 | | | 4,650 | | | | 4,349 | |
Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd., (Cayman Islands), | | | | | | | | |
8.00%, 09/20/2025 (e) | | | 919 | | | | 926 | |
United Airlines Pass Through Trust, | | | | | | | | |
Series 20-1, Class A, 5.88%, 10/15/2027 | | | 76 | | | | 76 | |
Series 20-1, Class B, 4.88%, 01/15/2026 | | | 41 | | | | 39 | |
United Airlines, Inc., | | | | | | | | |
4.38%, 04/15/2026 (e) | | | 4,097 | | | | 3,891 | |
4.63%, 04/15/2029 (e) | | | 6,130 | | | | 5,585 | |
VistaJet Malta Finance PLC / Vista Management Holding, Inc., (Multinational), | | | | | | | | |
6.38%, 02/01/2030 (e) | | | 1,150 | | | | 926 | |
7.88%, 05/01/2027 (e) | | | 1,754 | | | | 1,576 | |
9.50%, 06/01/2028 (e) | | | 475 | | | | 436 | |
| | | | | | | | |
| | | | | | | 40,349 | |
| | | | | | | | |
Apparel — 0.3% | |
Crocs, Inc., | | | | | | | | |
4.13%, 08/15/2031 (e) | | | 163 | | | | 132 | |
4.25%, 03/15/2029 (e) | | | 1,111 | | | | 944 | |
Hanesbrands, Inc., | | | | | | | | |
4.88%, 05/15/2026 (e) | | | 254 | | | | 237 | |
9.00%, 02/15/2031 (e) | | | 1,752 | | | | 1,766 | |
Kontoor Brands, Inc., 4.13%, 11/15/2029 (e) | | | 500 | | | | 418 | |
Levi Strauss & Co., 3.50%, 03/01/2031 (e) | | | 2,352 | | | | 1,946 | |
PVH Corp., 4.63%, 07/10/2025 | | | 190 | | | | 184 | |
William Carter Co. (The), 5.63%, 03/15/2027 (e) | | | 330 | | | | 320 | |
Wolverine World Wide, Inc., 4.00%, 08/15/2029 (e) | | | 2,875 | | | | 2,289 | |
| | | | | | | | |
| | |
| | | | | | | 8,236 | |
| | | | | | | | |
Auto Manufacturers — 1.7% | |
Allison Transmission, Inc., 3.75%, 01/30/2031 (e) | | | 900 | | | | 760 | |
Daimler Truck Finance North America LLC, 5.15%, 01/16/2026 (e) | | | 150 | | | | 149 | |
Ford Motor Co., | | | | | | | | |
3.25%, 02/12/2032 | | | 3,127 | | | | 2,460 | |
4.75%, 01/15/2043 | | | 5,723 | | | | 4,401 | |
5.29%, 12/08/2046 | | | 1,155 | | | | 952 | |
6.10%, 08/19/2032 | | | 651 | | | | 629 | |
7.40%, 11/01/2046 | | | 1,275 | | | | 1,302 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 219 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — continued | | | | | | | | |
Auto Manufacturers — continued | | | | | | | | |
Ford Motor Credit Co. LLC, | | | | | | | | |
2.30%, 02/10/2025 | | | 200 | | | | 187 | |
2.70%, 08/10/2026 | | | 3,406 | | | | 3,043 | |
4.00%, 11/13/2030 | | | 1,100 | | | | 940 | |
4.13%, 08/04/2025 | | | 597 | | | | 566 | |
4.27%, 01/09/2027 | | | 2,500 | | | | 2,311 | |
4.39%, 01/08/2026 | | | 908 | | | | 859 | |
4.54%, 03/06/2025 | | GBP | 287 | | | | 345 | |
4.87%, 08/03/2027 | | EUR | 225 | | | | 241 | |
4.95%, 05/28/2027 | | | 3,820 | | | | 3,604 | |
5.11%, 05/03/2029 | | | 3,253 | | | | 3,017 | |
5.13%, 06/16/2025 | | | 4,896 | | | | 4,759 | |
5.58%, 03/18/2024 | | | 879 | | | | 873 | |
6.80%, 05/12/2028 | | | 200 | | | | 200 | |
6.95%, 03/06/2026 | | | 1,100 | | | | 1,106 | |
7.20%, 06/10/2030 | | | 2,600 | | | | 2,627 | |
7.35%, 03/06/2030 | | | 2,151 | | | | 2,197 | |
General Motors Financial Co., Inc., | | | | | | | | |
2.75%, 06/20/2025 | | | 1,000 | | | | 942 | |
5.40%, 04/06/2026 | | | 95 | | | | 94 | |
Series C, (CMT Index 5 Year + 5.00%), 5.70%, 09/30/2030 (x) (aa) | | | 5 | | | | 4 | |
Hyundai Capital America, | | | | | | | | |
0.80%, 01/08/2024 (e) | | | 500 | | | | 487 | |
5.65%, 06/26/2026 (e) | | | 156 | | | | 155 | |
Jaguar Land Rover Automotive plc, (United Kingdom), Reg. S, 4.50%, 07/15/2028 | | EUR | 100 | | | | 95 | |
Nissan Motor Acceptance Co. LLC, 3.88%, 09/21/2023 (e) | | | 775 | | | | 771 | |
Nissan Motor Co. Ltd., (Japan), 4.81%, 09/17/2030 (e) | | | 1,175 | | | | 1,030 | |
PM General Purchaser LLC, 9.50%, 10/01/2028 (e) | | | 2,510 | | | | 2,456 | |
RCI Banque SA, (France), Reg. S, (EUR Swap Rate 5 Year + 2.85%), 2.63%, 02/18/2030 (aa) | | EUR | 600 | | | | 608 | |
TML Holdings Pte Ltd., (Singapore), | | | | | | | | |
Reg. S, 4.35%, 06/09/2026 | | | 6,650 | | | | 6,212 | |
Reg. S, 5.50%, 06/03/2024 | | | 3,200 | | | | 3,154 | |
Wabash National Corp., 4.50%, 10/15/2028 (e) | | | 76 | | | | 66 | |
| | | | | | | | |
| | |
| | | | | | | 53,602 | |
| | | | | | | | |
Auto Parts & Equipment — 1.0% | |
Adient Global Holdings Ltd., (Jersey), | | | | | | | | |
Reg. S, 3.50%, 08/15/2024 | | EUR | 15 | | | | 16 | |
4.88%, 08/15/2026 (e) | | | 2,325 | | | | 2,209 | |
7.00%, 04/15/2028 (e) | | | 575 | | | | 581 | |
American Axle & Manufacturing, Inc., 6.50%, 04/01/2027 | | | 1,275 | | | | 1,210 | |
Clarios Global LP / Clarios US Finance Co., (Multinational), | | | | | | | | |
Reg. S, 4.38%, 05/15/2026 | | EUR | 1,262 | | | | 1,311 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Auto Parts & Equipment — continued | | | | | | | | |
6.25%, 05/15/2026 (e) | | | 4,343 | | | | 4,315 | |
6.75%, 05/15/2028 (e) | | | 3,608 | | | | 3,595 | |
8.50%, 05/15/2027 (e) | | | 12,116 | | | | 12,137 | |
Clarios Global LP, (Canada), 6.75%, 05/15/2025 (e) | | | 1,204 | | | | 1,205 | |
Dana Financing Luxembourg Sarl, (Luxembourg), 5.75%, 04/15/2025 (e) | | | 74 | | | | 73 | |
Reg. S, 8.50%, 07/15/2031 | | EUR | 137 | | | | 154 | |
Dana, Inc., | | | | | | | | |
4.25%, 09/01/2030 | | | 500 | | | | 416 | |
4.50%, 02/15/2032 | | | 575 | | | | 477 | |
5.38%, 11/15/2027 | | | 275 | | | | 261 | |
5.63%, 06/15/2028 | | | 700 | | | | 658 | |
Dealer Tire LLC / DT Issuer LLC, 8.00%, 02/01/2028 (e) | | | 186 | | | | 170 | |
Forvia, (France), | | | | | | | | |
Reg. S, 2.75%, 02/15/2027 | | EUR | 185 | | | | 183 | |
Reg. S, 7.25%, 06/15/2026 | | EUR | 150 | | | | 170 | |
Goodyear Tire & Rubber Co. (The), | | | | | | | | |
5.00%, 07/15/2029 | | | 678 | | | | 612 | |
5.63%, 04/30/2033 | | | 740 | | | | 643 | |
9.50%, 05/31/2025 | | | 105 | | | | 107 | |
Grupo Antolin-Irausa SA, (Spain), Reg. S, 3.50%, 04/30/2028 | | EUR | 100 | | | | 79 | |
IHO Verwaltungs GmbH, (Germany), Reg. S, 8.75% (cash), 05/15/2028 (v) | | EUR | 128 | | | | 144 | |
Titan International, Inc., 7.00%, 04/30/2028 | | | 1,025 | | | | 958 | |
ZF Europe Finance BV, (Netherlands), Reg. S, 2.00%, 02/23/2026 | | EUR | 300 | | | | 297 | |
ZF Finance GmbH, (Germany), Reg. S, 5.75%, 08/03/2026 | | EUR | 100 | | | | 109 | |
| | | | | | | | |
| | |
| | | | | | | 32,090 | |
| | | | | | | | |
Distribution/Wholesale — 0.2% | |
American Builders & Contractors Supply Co., Inc., 3.88%, 11/15/2029 (e) | | | 45 | | | | 38 | |
BCPE Empire Holdings, Inc., 7.63%, 05/01/2027 (e) | | | 1,763 | | | | 1,640 | |
H&E Equipment Services, Inc., 3.88%, 12/15/2028 (e) | | | 3,250 | | | | 2,814 | |
LKQ Corp., 5.75%, 06/15/2028 (e) | | | 106 | | | | 105 | |
Resideo Funding, Inc., 4.00%, 09/01/2029 (e) | | | 218 | | | | 181 | |
Ritchie Bros Holdings, Inc., | | | | | | | | |
6.75%, 03/15/2028 (e) | | | 552 | | | | 556 | |
7.75%, 03/15/2031 (e) | | | 650 | | | | 675 | |
Windsor Holdings III LLC, 8.50%, 06/15/2030 (e) (w) | | | 1,100 | | | | 1,097 | |
| | | | | | | | |
| | |
| | | | | | | 7,106 | |
| | | | | | | | |
Entertainment — 2.5% | |
Allwyn Entertainment Financing UK plc, (United Kingdom), | | | | | | | | |
Reg. S, 7.25%, 04/30/2030 | | EUR | 132 | | | | 146 | |
7.88%, 04/30/2029 (e) | | | 666 | | | | 674 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 220 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — continued | | | | | | | | |
Entertainment — continued | | | | | | | | |
Boyne USA, Inc., 4.75%, 05/15/2029 (e) | | | 2,344 | | | | 2,112 | |
Caesars Entertainment, Inc., | | | | | | | | |
4.63%, 10/15/2029 (e) | | | 5,866 | | | | 5,122 | |
6.25%, 07/01/2025 (e) | | | 5,931 | | | | 5,903 | |
7.00%, 02/15/2030 (e) | | | 7,209 | | | | 7,240 | |
8.13%, 07/01/2027 (e) | | | 4,743 | | | | 4,852 | |
Caesars Resort Collection LLC / CRC Finco, Inc., 5.75%, 07/01/2025 (e) | | | 366 | | | | 370 | |
CCM Merger, Inc., 6.38%, 05/01/2026 (e) | | | 1,245 | | | | 1,208 | |
CDI Escrow Issuer, Inc., 5.75%, 04/01/2030 (e) | | | 4,295 | | | | 4,009 | |
Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Op, | | | | | | | | |
5.38%, 04/15/2027 | | | 242 | | | | 230 | |
5.50%, 05/01/2025 (e) | | | 1,811 | | | | 1,795 | |
6.50%, 10/01/2028 | | | 3 | | | | 3 | |
Churchill Downs, Inc., | | | | | | | | |
4.75%, 01/15/2028 (e) | | | 2,222 | | | | 2,061 | |
5.50%, 04/01/2027 (e) | | | 387 | | | | 372 | |
6.75%, 05/01/2031 (e) | | | 2,543 | | | | 2,514 | |
Cirsa Finance International Sarl, (Luxembourg), Reg. S, 4.75%, 05/22/2025 | | EUR | 100 | | | | 107 | |
CPUK Finance Ltd., (Jersey), Reg. S, 4.88%, 08/28/2025 | | GBP | 100 | | | | 120 | |
Everi Holdings, Inc., 5.00%, 07/15/2029 (e) | | | 100 | | | | 88 | |
Golden Entertainment, Inc., 7.63%, 04/15/2026 (e) | | | 1,829 | | | | 1,837 | |
Inter Media and Communication SpA, (Italy), Reg. S, 6.75%, 02/09/2027 | | EUR | 200 | | | | 211 | |
International Game Technology plc, (United Kingdom), 5.25%, 01/15/2029 (e) | | | 855 | | | | 810 | |
Jacobs Entertainment, Inc., 6.75%, 02/15/2029 (e) | | | 1,300 | | | | 1,163 | |
Lions Gate Capital Holdings LLC, 5.50%, 04/15/2029 (e) | | | 1,573 | | | | 1,139 | |
Live Nation Entertainment, Inc., | | | | | | | | |
3.75%, 01/15/2028 (e) | | | 410 | | | | 366 | |
4.75%, 10/15/2027 (e) | | | 2,153 | | | | 2,008 | |
4.88%, 11/01/2024 (e) | | | 33 | | | | 33 | |
5.63%, 03/15/2026 (e) | | | 78 | | | | 76 | |
6.50%, 05/15/2027 (e) | | | 7,594 | | | | 7,635 | |
Lottomatica SpA, (Italy), | | | | | | | | |
Reg. S, 6.25%, 07/15/2025 | | EUR | 300 | | | | 332 | |
Reg. S, 9.75%, 09/30/2027 | | EUR | 123 | | | | 145 | |
Merlin Entertainments Ltd., (United Kingdom), 5.75%, 06/15/2026 (e) | | | 1,555 | | | | 1,498 | |
Midwest Gaming Borrower LLC / Midwest Gaming Finance Corp., 4.88%, 05/01/2029 (e) | | | 1,521 | | | | 1,343 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Entertainment — continued | | | | | | | | |
Motion Bondco DAC, (Ireland), 6.63%, 11/15/2027 (e) | | | 707 | | | | 647 | |
Odeon Finco plc, (United Kingdom), 12.75%, 11/01/2027 (e) | | | 313 | | | | 307 | |
Penn Entertainment, Inc., | | | | | | | | |
4.13%, 07/01/2029 (e) | | | 2,200 | | | | 1,804 | |
5.63%, 01/15/2027 (e) | | | 2,264 | | | | 2,117 | |
Pinewood Finance Co. Ltd., (United Kingdom), Reg. S, 3.63%, 11/15/2027 | | GBP | 100 | | | | 110 | |
Premier Entertainment Sub LLC / Premier Entertainment Finance Corp., 5.88%, 09/01/2031 (e) | | | 1,591 | | | | 1,174 | |
Scientific Games Holdings LP / Scientific Games US FinCo., Inc., 6.63%, 03/01/2030 (e) | | | 1,080 | | | | 950 | |
Scientific Games International, Inc., | | | | | | | | |
7.00%, 05/15/2028 (e) | | | 1,196 | | | | 1,189 | |
7.25%, 11/15/2029 (e) | | | 500 | | | | 501 | |
8.63%, 07/01/2025 (e) | | | 58 | | | | 59 | |
Six Flags Entertainment Corp., 7.25%, 05/15/2031 (e) | | | 1,902 | | | | 1,852 | |
Six Flags Theme Parks, Inc., 7.00%, 07/01/2025 (e) | | | 958 | | | | 963 | |
Warnermedia Holdings, Inc., | | | | | | | | |
3.79%, 03/15/2025 | | | 112 | | | | 108 | |
5.14%, 03/15/2052 | | | 5,440 | | | | 4,424 | |
5.39%, 03/15/2062 | | | 1,769 | | | | 1,434 | |
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp., | | | | | | | | |
5.13%, 10/01/2029 (e) | | | 4,872 | | | | 4,366 | |
7.13%, 02/15/2031 (e) | | | 1,455 | | | | 1,446 | |
| | | | | | | | |
| | | | | | | 80,973 | |
| | | | | | | | |
Food Service — 0.2% | |
Aramark International Finance Sarl, (Luxembourg), Reg. S, 3.13%, 04/01/2025 | | EUR | 693 | | | | 725 | |
Aramark Services, Inc., | | | | | | | | |
5.00%, 04/01/2025 (e) | | | 406 | | | | 400 | |
5.00%, 02/01/2028 (e) | | | 2,705 | | | | 2,550 | |
6.38%, 05/01/2025 (e) | | | 2,470 | | | | 2,467 | |
Elior Group SA, (France), Reg. S, 3.75%, 07/15/2026 | | EUR | 100 | | | | 90 | |
| | | | | | | | |
| | |
| | | | | | | 6,232 | |
| | | | | | | | |
Home Builders — 1.2% | |
Ashton Woods USA LLC / Ashton Woods Finance Co., | | | | | | | | |
4.63%, 08/01/2029 (e) | | | 1,108 | | | | 944 | |
4.63%, 04/01/2030 (e) | | | 500 | | | | 427 | |
6.63%, 01/15/2028 (e) | | | 950 | | | | 908 | |
Beazer Homes USA, Inc., | | | | | | | | |
5.88%, 10/15/2027 | | | 5,850 | | | | 5,455 | |
6.75%, 03/15/2025 | | | 1,330 | | | | 1,320 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 221 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — continued | | | | | | | | |
Home Builders — continued | | | | | | | | |
Brookfield Residential Properties, Inc. / Brookfield Residential US LLC, (Canada), | | | | | | | | |
4.88%, 02/15/2030 (e) | | | 4,143 | | | | 3,247 | |
5.00%, 06/15/2029 (e) | | | 1,586 | | | | 1,270 | |
6.25%, 09/15/2027 (e) | | | 1,550 | | | | 1,423 | |
Century Communities, Inc., 6.75%, 06/01/2027 | | | 1,125 | | | | 1,127 | |
Empire Communities Corp., (Canada), 7.00%, 12/15/2025 (e) | | | 225 | | | | 213 | |
Forestar Group, Inc., | | | | | | | | |
3.85%, 05/15/2026 (e) | | | 650 | | | | 597 | |
5.00%, 03/01/2028 (e) | | | 1,475 | | | | 1,352 | |
KB Home, | | | | | | | | |
4.00%, 06/15/2031 | | | 500 | | | | 431 | |
4.80%, 11/15/2029 | | | 2,000 | | | | 1,834 | |
6.88%, 06/15/2027 | | | 698 | | | | 708 | |
7.25%, 07/15/2030 | | | 600 | | | | 608 | |
M/I Homes, Inc., 4.95%, 02/01/2028 | | | 1,268 | | | | 1,182 | |
Mattamy Group Corp., (Canada), | | | | | | | | |
4.63%, 03/01/2030 (e) | | | 1,580 | | | | 1,366 | |
5.25%, 12/15/2027 (e) | | | 4,922 | | | | 4,586 | |
Meritage Homes Corp., 5.13%, 06/06/2027 | | | 653 | | | | 627 | |
Shea Homes LP / Shea Homes Funding Corp., | | | | | | | | |
4.75%, 02/15/2028 | | | 3,025 | | | | 2,682 | |
4.75%, 04/01/2029 | | | 450 | | | | 390 | |
STL Holding Co. LLC, 7.50%, 02/15/2026 (e) | | | 1,615 | | | | 1,483 | |
Taylor Morrison Communities, Inc., | | | | | | | | |
5.13%, 08/01/2030 (e) | | | 1,821 | | | | 1,682 | |
5.75%, 01/15/2028 (e) | | | 700 | | | | 677 | |
5.88%, 06/15/2027 (e) | | | 1,890 | | | | 1,856 | |
Tri Pointe Homes, Inc., | | | | | | | | |
5.25%, 06/01/2027 | | | 450 | | | | 427 | |
5.70%, 06/15/2028 | | | 1,801 | | | | 1,740 | |
| | | | | | | | |
| | | | | | | 40,562 | |
| | | | | | | | |
Home Furnishings — 0.0% (g) | |
Tempur Sealy International, Inc., | | | | | | | | |
3.88%, 10/15/2031 (e) | | | 398 | | | | 325 | |
4.00%, 04/15/2029 (e) | | | 1,449 | | | | 1,246 | |
| | | | | | | | |
| | | | | | | 1,571 | |
| | | | | | | | |
Housewares — 0.3% | |
CD&R Smokey Buyer, Inc., 6.75%, 07/15/2025 (e) | | | 1,230 | | | | 1,139 | |
Scotts Miracle-Gro Co. (The), | | | | | | | | |
4.00%, 04/01/2031 | | | 3,072 | | | | 2,419 | |
4.38%, 02/01/2032 | | | 1,000 | | | | 788 | |
4.50%, 10/15/2029 | | | 800 | | | | 684 | |
SWF Escrow Issuer Corp., 6.50%, 10/01/2029 (e) | | | 6,487 | | | | 3,892 | |
| | | | | | | | |
| | |
| | | | | | | 8,922 | |
| | | | | | | | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Leisure Time — 2.0% | |
Carnival Corp., (Panama), | | | | | | | | |
4.00%, 08/01/2028 (e) | | | 1,988 | | | | 1,768 | |
5.75%, 03/01/2027 (e) | | | 5,346 | | | | 4,922 | |
6.00%, 05/01/2029 (e) | | | 3,685 | | | | 3,290 | |
7.63%, 03/01/2026 (e) | | | 2,911 | | | | 2,851 | |
Reg. S, 7.63%, 03/01/2026 | | EUR | 103 | | | | 109 | |
9.88%, 08/01/2027 (e) | | | 1,256 | | | | 1,308 | |
Reg. S, 10.13%, 02/01/2026 | | EUR | 300 | | | | 343 | |
10.50%, 02/01/2026 (e) | | | 2,738 | | | | 2,878 | |
Carnival Holdings Bermuda Ltd., 10.38%, 05/01/2028 (e) | | | 10,234 | | | | 11,193 | |
Carnival plc, (United Kingdom), 1.00%, 10/28/2029 | | EUR | 100 | | | | 67 | |
Dometic Group AB, (Sweden), Reg. S, 3.00%, 05/08/2026 | | EUR | 100 | | | | 102 | |
Life Time, Inc., | | | | | | | | |
5.75%, 01/15/2026 (e) | | | 2,136 | | | | 2,081 | |
8.00%, 04/15/2026 (e) | | | 897 | | | | 886 | |
Lindblad Expeditions Holdings, Inc., 9.00%, 05/15/2028 (e) | | | 1,867 | | | | 1,894 | |
Lindblad Expeditions LLC, 6.75%, 02/15/2027 (e) | | | 1,385 | | | | 1,319 | |
MajorDrive Holdings IV LLC, 6.38%, 06/01/2029 (e) | | | 74 | | | | 59 | |
NCL Corp. Ltd., (Bermuda), | | | | | | | | |
5.88%, 03/15/2026 (e) | | | 2,655 | | | | 2,484 | |
5.88%, 02/15/2027 (e) | | | 950 | | | | 925 | |
7.75%, 02/15/2029 (e) | | | 769 | | | | 730 | |
8.38%, 02/01/2028 (e) | | | 2,042 | | | | 2,134 | |
NCL Finance Ltd., (Bermuda), 6.13%, 03/15/2028 (e) | | | 1,062 | | | | 956 | |
Royal Caribbean Cruises Ltd., (Liberia), | | | | | | | | |
4.25%, 07/01/2026 (e) | | | 589 | | | | 541 | |
5.38%, 07/15/2027 (e) | | | 1,235 | | | | 1,154 | |
5.50%, 08/31/2026 (e) | | | 524 | | | | 497 | |
5.50%, 04/01/2028 (e) | | | 316 | | | | 295 | |
7.25%, 01/15/2030 (e) | | | 3,075 | | | | 3,115 | |
8.25%, 01/15/2029 (e) | | | 1,800 | | | | 1,890 | |
9.25%, 01/15/2029 (e) | | | 2,902 | | | | 3,092 | |
11.50%, 06/01/2025 (e) | | | 1,177 | | | | 1,249 | |
11.63%, 08/15/2027 (e) | | | 2,143 | | | | 2,330 | |
TUI Cruises GmbH, (Germany), Reg. S, 6.50%, 05/15/2026 | | EUR | 100 | | | | 100 | |
Viking Cruises Ltd., (Bermuda), | | | | | | | | |
5.88%, 09/15/2027 (e) | | | 2,488 | | | | 2,287 | |
6.25%, 05/15/2025 (e) | | | 500 | | | | 490 | |
9.13%, 07/15/2031 (e) | | | 2,722 | | | | 2,750 | |
Viking Ocean Cruises Ship VII Ltd., (Bermuda), 5.63%, 02/15/2029 (e) | | | 2,234 | | | | 2,044 | |
| | | | | | | | |
| | |
| | | | | | | 64,133 | |
| | | | | | | | |
Lodging — 4.4% | |
Accor SA, (France), Reg. S, (EUR Swap Rate 5 Year + 4.56%), 4.38%, 01/30/2024 (x) (aa) | | EUR | 200 | | | | 215 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 222 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — continued | | | | | | | | |
Lodging — continued | | | | | | | | |
Boyd Gaming Corp., 4.75%, 06/15/2031 (e) | | | 1,997 | | | | 1,784 | |
Champion Path Holdings Ltd., (British Virgin Islands), Reg. S, 4.50%, 01/27/2026 | | | 4,719 | | | | 4,147 | |
Fortune Star BVI Ltd., (British Virgin Islands), | | | | | | | | |
Reg. S, 5.00%, 05/18/2026 | | | 2,900 | | | | 2,152 | |
Reg. S, 5.05%, 01/27/2027 | | | 3,100 | | | | 2,124 | |
Reg. S, 5.95%, 10/19/2025 | | | 7,400 | | | | 5,837 | |
Reg. S, 6.85%, 07/02/2024 | | | 3,000 | | | | 2,701 | |
Genting New York LLC / GENNY Capital, Inc., 3.30%, 02/15/2026 (e) | | | 270 | | | | 241 | |
Hilton Domestic Operating Co., Inc., | | | | | | | | |
3.63%, 02/15/2032 (e) | | | 1,973 | | | | 1,645 | |
3.75%, 05/01/2029 (e) | | | 835 | | | | 741 | |
4.00%, 05/01/2031 (e) | | | 245 | | | | 213 | |
4.88%, 01/15/2030 | | | 1,642 | | | | 1,528 | |
5.75%, 05/01/2028 (e) | | | 858 | | | | 845 | |
Hyatt Hotels Corp., 1.30%, 10/01/2023 | | | 440 | | | | 436 | |
Las Vegas Sands Corp., 3.90%, 08/08/2029 | | | 18 | | | | 16 | |
Melco Resorts Finance Ltd., (Cayman Islands), | | | | | | | | |
4.88%, 06/06/2025 (e) | | | 900 | | | | 857 | |
Reg. S, 4.88%, 06/06/2025 | | | 5,580 | | | | 5,316 | |
5.38%, 12/04/2029 (e) | | | 2,000 | | | | 1,654 | |
Reg. S, 5.63%, 07/17/2027 | | | 1,600 | | | | 1,448 | |
5.75%, 07/21/2028 (e) | | | 600 | | | | 528 | |
Reg. S, 5.75%, 07/21/2028 | | | 18,250 | | | | 16,060 | |
MGM China Holdings Ltd., (Cayman Islands), 4.75%, 02/01/2027 (e) | | | 350 | | | | 319 | |
Reg. S, 4.75%, 02/01/2027 | | | 2,800 | | | | 2,548 | |
5.25%, 06/18/2025 (e) | | | 2,200 | | | | 2,108 | |
Reg. S, 5.25%, 06/18/2025 | | | 2,970 | | | | 2,845 | |
5.88%, 05/15/2026 (e) | | | 200 | | | | 190 | |
Reg. S, 5.88%, 05/15/2026 | | | 500 | | | | 476 | |
MGM Resorts International, | | | | | | | | |
4.63%, 09/01/2026 | | | 750 | | | | 707 | |
4.75%, 10/15/2028 | | | 2,826 | | | | 2,565 | |
5.50%, 04/15/2027 | | | 650 | | | | 623 | |
5.75%, 06/15/2025 | | | 475 | | | | 470 | |
6.75%, 05/01/2025 | | | 350 | | | | 351 | |
Sands China Ltd., (Cayman Islands), | | | | | | | | |
2.80%, 03/08/2027 | | | 3,900 | | | | 3,385 | |
3.75%, 08/08/2031 | | | 1,800 | | | | 1,464 | |
4.30%, 01/08/2026 | | | 8,850 | | | | 8,321 | |
4.88%, 06/18/2030 | | | 1,800 | | | | 1,602 | |
5.63%, 08/08/2025 | | | 5,600 | | | | 5,464 | |
5.90%, 08/08/2028 | | | 16,700 | | | | 15,921 | |
Station Casinos LLC, | | | | | | | | |
4.50%, 02/15/2028 (e) | | | 1,578 | | | | 1,416 | |
4.63%, 12/01/2031 (e) | | | 588 | | | | 496 | |
Studio City Co. Ltd., (British Virgin Islands), Reg. S, 7.00%, 02/15/2027 | | | 1,800 | | | | 1,686 | |
Studio City Finance Ltd., (British Virgin Islands), | | | | | | | | |
Reg. S, 5.00%, 01/15/2029 | | | 1,200 | | | | 889 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Lodging — continued | | | | | | | | |
Reg. S, 6.00%, 07/15/2025 | | | 8,883 | | | | 8,244 | |
Reg. S, 6.50%, 01/15/2028 | | | 1,100 | | | | 918 | |
Sugarhouse HSP Gaming Prop Mezz LP / Sugarhouse HSP Gaming Finance Corp., 5.88%, 05/15/2025 (e) | | | 800 | | | | 772 | |
Wynn Macau Ltd., (Cayman Islands), | | | | | | | | |
Reg. S, 4.88%, 10/01/2024 | | | 2,000 | | | | 1,950 | |
Reg. S, 5.13%, 12/15/2029 | | | 650 | | | | 546 | |
5.50%, 01/15/2026 (e) | | | 814 | | | | 756 | |
Reg. S, 5.50%, 01/15/2026 | | | 12,550 | | | | 11,656 | |
5.50%, 10/01/2027 (e) | | | 1,530 | | | | 1,361 | |
Reg. S, 5.50%, 10/01/2027 | | | 3,400 | | | | 3,026 | |
5.63%, 08/26/2028 (e) | | | 5,710 | | | | 4,982 | |
Reg. S, 5.63%, 08/26/2028 | | | 3,900 | | | | 3,403 | |
| | | | | | | | |
| | |
| | | | | | | 141,948 | |
| | | | | | | | |
Retail — 2.2% | |
1011778 BC ULC / New Red Finance, Inc., (Canada), | | | | | | | | |
3.50%, 02/15/2029 (e) | | | 1,500 | | | | 1,316 | |
3.88%, 01/15/2028 (e) | | | 240 | | | | 219 | |
4.00%, 10/15/2030 (e) | | | 3,271 | | | | 2,799 | |
4.38%, 01/15/2028 (e) | | | 767 | | | | 708 | |
5.75%, 04/15/2025 (e) | | | 77 | | | | 77 | |
7-Eleven, Inc., 0.80%, 02/10/2024 (e) | | | 425 | | | | 412 | |
Arko Corp., 5.13%, 11/15/2029 (e) | | | 1,559 | | | | 1,267 | |
Asbury Automotive Group, Inc., | | | | | | | | |
4.75%, 03/01/2030 | | | 3 | | | | 3 | |
5.00%, 02/15/2032 (e) | | | 793 | | | | 690 | |
At Home Group, Inc., | | | | | | | | |
4.88%, 07/15/2028 (e) | | | 300 | | | | 152 | |
7.13%, 07/15/2029 (e) | | | 607 | | | | 425 | |
BCPE Ulysses Intermediate, Inc., 7.75% (cash), 04/01/2027 (e) (v) | | | 125 | | | | 110 | |
Beacon Roofing Supply, Inc., 4.13%, 05/15/2029 (e) | | | 935 | | | | 827 | |
Brinker International, Inc., | | | | | | | | |
5.00%, 10/01/2024 (e) | | | 625 | | | | 609 | |
8.25%, 07/15/2030 (e) | | | 1,525 | | | | 1,503 | |
Burger King France SAS, (France), Reg. S, (ICE LIBOR EUR 3 Month + 4.75%), 8.00%, 11/01/2026 (aa) | | EUR | 300 | | | | 327 | |
Carrols Restaurant Group, Inc., 5.88%, 07/01/2029 (e) | | | 975 | | | | 802 | |
Constellation Automotive Financing plc, (United Kingdom), Reg. S, 4.88%, 07/15/2027 | | GBP | 100 | | | | 97 | |
eG Global Finance plc, (United Kingdom), | | | | | | | | |
Reg. S, 4.38%, 02/07/2025 | | EUR | 922 | | | | 952 | |
Reg. S, 6.25%, 10/30/2025 | | EUR | 1,536 | | | | 1,590 | |
6.75%, 02/07/2025 (e) | | | 2,357 | | | | 2,289 | |
8.50%, 10/30/2025 (e) | | | 1,765 | | | | 1,713 | |
Ferrellgas LP / Ferrellgas Finance Corp., | | | | | | | | |
5.38%, 04/01/2026 (e) | | | 300 | | | | 279 | |
5.88%, 04/01/2029 (e) | | | 335 | | | | 281 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 223 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — continued | | | | | | | | |
Retail — continued | | | | | | | | |
Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc., | | | | | | | | |
4.63%, 01/15/2029 (e) | | | 1,491 | | | | 1,308 | |
6.75%, 01/15/2030 (e) | | | 3,962 | | | | 3,372 | |
Foundation Building Materials, Inc., 6.00%, 03/01/2029 (e) | | | 2,734 | | | | 2,283 | |
Gap, Inc. (The), | | | | | | | | |
3.63%, 10/01/2029 (e) | | | 875 | | | | 619 | |
3.88%, 10/01/2031 (e) | | | 2,030 | | | | 1,386 | |
Goldstory SASU, (France), Reg. S, 5.38%, 03/01/2026 | | EUR | 200 | | | | 210 | |
GYP Holdings III Corp., 4.63%, 05/01/2029 (e) | | | 1,502 | | | | 1,322 | |
Jollibee Worldwide Pte Ltd., (Singapore), Reg. S, 4.13%, 01/24/2026 | | | 4,200 | | | | 4,013 | |
Ken Garff Automotive LLC, 4.88%, 09/15/2028 (e) | | | 3 | | | | 3 | |
LBM Acquisition LLC, 6.25%, 01/15/2029 (e) | | | 2,025 | | | | 1,675 | |
LCM Investments Holdings II LLC, 4.88%, 05/01/2029 (e) | | | 2,665 | | | | 2,280 | |
Lithia Motors, Inc., 3.88%, 06/01/2029��(e) | | | 13 | | | | 11 | |
NMG Holding Co., Inc. / Neiman Marcus Group LLC, 7.13%, 04/01/2026 (e) | | | 579 | | | | 539 | |
Park River Holdings, Inc., | | | | | | | | |
5.63%, 02/01/2029 (e) | | | 2,900 | | | | 2,248 | |
6.75%, 08/01/2029 (e) | | | 550 | | | | 437 | |
Patrick Industries, Inc., | | | | | | | | |
4.75%, 05/01/2029 (e) | | | 825 | | | | 709 | |
7.50%, 10/15/2027 (e) | | | 60 | | | | 58 | |
PetSmart, Inc. / PetSmart Finance Corp., | | | | | | | | |
4.75%, 02/15/2028 (e) | | | 250 | | | | 231 | |
7.75%, 02/15/2029 (e) | | | 2,955 | | | | 2,936 | |
Sally Holdings LLC / Sally Capital, Inc., 5.63%, 12/01/2025 | | | 2,675 | | | | 2,638 | |
Sizzling Platter LLC / Sizzling Platter Finance Corp., 8.50%, 11/28/2025 (e) | | | 225 | | | | 219 | |
SRS Distribution, Inc., | | | | | | | | |
4.63%, 07/01/2028 (e) | | | 2,625 | | | | 2,344 | |
6.00%, 12/01/2029 (e) | | | 3,286 | | | | 2,836 | |
6.13%, 07/01/2029 (e) | | | 4,266 | | | | 3,684 | |
Staples, Inc., 7.50%, 04/15/2026 (e) | | | 760 | | | | 628 | |
Stonegate Pub Co. Financing 2019 plc, (United Kingdom), Reg. S, 8.00%, 07/13/2025 | | GBP | 150 | | | | 173 | |
Suburban Propane Partners LP / Suburban Energy Finance Corp., | | | | | | | | |
5.00%, 06/01/2031 (e) | | | 1,950 | | | | 1,632 | |
5.88%, 03/01/2027 | | | 725 | | | | 701 | |
Superior Plus LP / Superior General Partner, Inc., (Canada), 4.50%, 03/15/2029 (e) | | | 2,500 | | | | 2,191 | |
White Cap Buyer LLC, 6.88%, 10/15/2028 (e) | | | 6,807 | | | | 6,169 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Retail — continued | | | | | | | | |
White Cap Parent LLC, 8.25% (cash), 03/15/2026 (e) (v) | | | 1,350 | | | | 1,293 | |
| | | | | | | | |
| | |
| | | | | | | 69,595 | |
| | | | | | | | |
Storage/Warehousing — 0.1% | |
GLP China Holdings Ltd., (Hong Kong), Reg. S, 2.95%, 03/29/2026 | | | 3,050 | | | | 1,867 | |
| | | | | | | | |
Toys/Games/Hobbies — 0.1% | |
Mattel, Inc., 5.45%, 11/01/2041 | | | 2,701 | | | | 2,238 | |
| | | | | | | | |
Total Consumer Cyclical | | | | | | | 559,424 | |
| | | | | | | | |
Consumer Non-cyclical — 10.4% | |
Agriculture — 0.3% | |
BAT Capital Corp., | | | | | | | | |
3.22%, 08/15/2024 | | | 327 | | | | 317 | |
3.56%, 08/15/2027 | | | 258 | | | | 237 | |
4.70%, 04/02/2027 | | | 274 | | | | 265 | |
BAT International Finance plc, (United Kingdom), 3.95%, 06/15/2025 (e) | | | 337 | | | | 325 | |
Darling Ingredients, Inc., 6.00%, 06/15/2030 (e) | | | 2,720 | | | | 2,657 | |
Imperial Brands Finance plc, (United Kingdom), | | | | | | | | |
3.13%, 07/26/2024 (e) | | | 643 | | | | 621 | |
6.13%, 07/27/2027 (e) | | | 855 | | | | 856 | |
Philip Morris International, Inc., | | | | | | | | |
4.88%, 02/13/2026 | | | 112 | | | | 111 | |
5.13%, 11/17/2027 | | | 193 | | | | 194 | |
Reynolds American, Inc., 4.45%, 06/12/2025 | | | 281 | | | | 273 | |
Tereos Finance Groupe I SA, (France), Reg. S, 7.25%, 04/15/2028 | | EUR | 175 | | | | 194 | |
Vector Group Ltd., 5.75%, 02/01/2029 (e) | | | 3,100 | | | | 2,697 | |
Viterra Finance BV, (Netherlands), 2.00%, 04/21/2026 (e) | | | 700 | | | | 625 | |
| | | | | | | | |
| | |
| | | | | | | 9,372 | |
| | | | | | | | |
Biotechnology — 0.1% | |
Amgen, Inc., | | | | | | | | |
5.15%, 03/02/2028 | | | 241 | | | | 241 | |
5.25%, 03/02/2025 | | | 135 | | | | 134 | |
5.51%, 03/02/2026 | | | 241 | | | | 241 | |
Cidron Aida Finco Sarl, (Luxembourg), Reg. S, 6.25%, 04/01/2028 | | GBP | 100 | | | | 110 | |
Gilead Sciences, Inc., 0.75%, 09/29/2023 | | | 760 | | | | 751 | |
Grifols Escrow Issuer SA, (Spain), Reg. S, 3.88%, 10/15/2028 | | EUR | 100 | | | | 93 | |
Illumina, Inc., | | | | | | | | |
5.75%, 12/13/2027 | | | 151 | | | | 152 | |
5.80%, 12/12/2025 | | | 38 | | | | 38 | |
| | | | | | | | |
| | |
| | | | | | | 1,760 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 224 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — continued | | | | | | | | |
Commercial Services — 4.0% | |
Adani Ports & Special Economic Zone Ltd., (India), 3.38%, 07/24/2024 (e) | | | 200 | | | | 191 | |
ADT Security Corp. (The), | | | | | | | | |
4.13%, 08/01/2029 (e) | | | 1,209 | | | | 1,044 | |
4.88%, 07/15/2032 (e) | | | 250 | | | | 214 | |
Adtalem Global Education, Inc., 5.50%, 03/01/2028 (e) | | | 1,250 | | | | 1,134 | |
Albion Financing 1 Sarl / Aggreko Holdings, Inc., (Luxembourg), 6.13%, 10/15/2026 (e) | | | 200 | | | | 188 | |
Allied Universal Holdco LLC / Allied Universal Finance Corp., | | | | | | | | |
6.00%, 06/01/2029 (e) | | | 7,924 | | | | 5,847 | |
6.63%, 07/15/2026 (e) | | | 5,991 | | | | 5,685 | |
9.75%, 07/15/2027 (e) | | | 8,496 | | | | 7,510 | |
Allied Universal Holdco LLC / Allied Universal Finance Corp. / Atlas Luxco 4 Sarl, (Multinational), | | | | | | | | |
Reg. S, 3.63%, 06/01/2028 | | EUR | 160 | | | | 139 | |
4.63%, 06/01/2028 (e) | | | 10,825 | | | | 9,134 | |
Alta Equipment Group, Inc., 5.63%, 04/15/2026 (e) | | | 900 | | | | 836 | |
AMN Healthcare, Inc., | | | | | | | | |
4.00%, 04/15/2029 (e) | | | 450 | | | | 392 | |
4.63%, 10/01/2027 (e) | | | 874 | | | | 809 | |
APi Group DE, Inc., | | | | | | | | |
4.13%, 07/15/2029 (e) | | | 1,730 | | | | 1,492 | |
4.75%, 10/15/2029 (e) | | | 450 | | | | 405 | |
APX Group, Inc., | | | | | | | | |
5.75%, 07/15/2029 (e) | | | 1,909 | | | | 1,657 | |
6.75%, 02/15/2027 (e) | | | 154 | | | | 151 | |
Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 4.75%, 04/01/2028 (e) | | | 1,450 | | | | 1,335 | |
Avis Budget Finance Plc, (Jersey), Reg. S, 4.75%, 01/30/2026 | | EUR | 300 | | | | 321 | |
BCP V Modular Services Finance II plc, (United Kingdom), | | | | | | | | |
Reg. S, 4.75%, 11/30/2028 | | EUR | 100 | | | | 93 | |
Reg. S, 6.13%, 11/30/2028 | | GBP | 100 | | | | 105 | |
Block, Inc., | | | | | | | | |
2.75%, 06/01/2026 | | | 1,289 | | | | 1,173 | |
3.50%, 06/01/2031 | | | 6,448 | | | | 5,341 | |
Brink’s Co. (The), | | | | | | | | |
4.63%, 10/15/2027 (e) | | | 1,738 | | | | 1,614 | |
5.50%, 07/15/2025 (e) | | | 625 | | | | 617 | |
Carriage Services, Inc., 4.25%, 05/15/2029 (e) | | | 400 | | | | 344 | |
CoreLogic, Inc., 4.50%, 05/01/2028 (e) | | | 3,065 | | | | 2,471 | |
eHi Car Services Ltd., (Cayman Islands), Reg. S, 7.00%, 09/21/2026 | | | 6,650 | | | | 3,963 | |
Garda World Security Corp., (Canada), | | | | | | | | |
4.63%, 02/15/2027 (e) | | | 613 | | | | 561 | |
7.75%, 02/15/2028 (e) | | | 2,065 | | | | 2,050 | |
9.50%, 11/01/2027 (e) | | | 304 | | | | 293 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Commercial Services — continued | | | | | | | | |
Gartner, Inc., | | | | | | | | |
3.75%, 10/01/2030 (e) | | | 500 | | | | 436 | |
4.50%, 07/01/2028 (e) | | | 799 | | | | 746 | |
Global Payments, Inc., | | | | | | | | |
2.65%, 02/15/2025 | | | 47 | | | | 45 | |
3.20%, 08/15/2029 | | | 716 | | | | 623 | |
4.45%, 06/01/2028 | | | 155 | | | | 145 | |
5.40%, 08/15/2032 | | | 1,475 | | | | 1,437 | |
5.95%, 08/15/2052 | | | 1,429 | | | | 1,364 | |
Herc Holdings, Inc., 5.50%, 07/15/2027 (e) | | | 2,863 | | | | 2,746 | |
Hertz Corp. (The), | | | | | | | | |
4.63%, 12/01/2026 (e) | | | 632 | | | | 570 | |
5.00%, 12/01/2029 (e) | | | 825 | | | | 682 | |
India Toll Roads, (Mauritius), Reg. S, 5.50%, 08/19/2024 | | | 7,300 | | | | 7,017 | |
La Financiere Atalian SASU, (France), Reg. S, 5.13%, 05/15/2025 | | EUR | 200 | | | | 150 | |
Legends Hospitality Holding Co. LLC / Legends Hospitality Co-Issuer, Inc., 5.00%, 02/01/2026 (e) | | | 41 | | | | 37 | |
Metis Merger Sub LLC, 6.50%, 05/15/2029 (e) | | | 4,085 | | | | 3,524 | |
MPH Acquisition Holdings LLC, 5.50%, 09/01/2028 (e) | | | 2,000 | | | | 1,705 | |
Neptune Bidco US, Inc., 9.29%, 04/15/2029 (e) | | | 1,287 | | | | 1,182 | |
NESCO Holdings II, Inc., 5.50%, 04/15/2029 (e) | | | 2,236 | | | | 2,001 | |
Prime Security Services Borrower LLC / Prime Finance, Inc., | | | | | | | | |
5.75%, 04/15/2026 (e) | | | 1,245 | | | | 1,222 | |
6.25%, 01/15/2028 (e) | | | 2,085 | | | | 1,954 | |
Q-Park Holding I BV, (Netherlands), Reg. S, 1.50%, 03/01/2025 | | EUR | 100 | | | | 104 | |
Rekeep SpA, (Italy), Reg. S, 7.25%, 02/01/2026 | | EUR | 200 | | | | 204 | |
Royal Capital BV, (Netherlands), | | | | | | | | |
Reg. S, (CMT Index 5 Year + 5.93%), 4.88%, 05/05/2024 (x) (aa) | | | 1,131 | | | | 1,111 | |
Reg. S, (CMT Index 5 Year + 7.40%), 5.00%, 02/05/2026 (x) (aa) | | | 6,150 | | | | 5,950 | |
Sabre GLBL, Inc., 7.38%, 09/01/2025 (e) | | | 2,235 | | | | 1,984 | |
Service Corp. International, | | | | | | | | |
3.38%, 08/15/2030 | | | 770 | | | | 643 | |
4.00%, 05/15/2031 | | | 2,416 | | | | 2,058 | |
Shift4 Payments LLC / Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/2026 (e) | | | 3,269 | | | | 3,066 | |
Sotheby’s, 7.38%, 10/15/2027 (e) | | | 7,438 | | | | 6,690 | |
Sotheby’s / Bidfair Holdings, Inc., 5.88%, 06/01/2029 (e) | | | 299 | | | | 232 | |
Techem Verwaltungsgesellschaft 674 mbH, (Germany), Reg. S, 6.00%, 07/30/2026 | | | EUR 176 | | | | 188 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 225 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — continued | | | | | | | | |
Commercial Services — continued | | | | | | | | |
Triton Container International Ltd., (Bermuda), | | | | | | | | |
0.80%, 08/01/2023 (e) | | | 400 | | | | 398 | |
1.15%, 06/07/2024 (e) | | | 169 | | | | 160 | |
United Rentals North America, Inc., | | | | | | | | |
3.75%, 01/15/2032 | | | 1,750 | | | | 1,482 | |
3.88%, 02/15/2031 | | | 895 | | | | 775 | |
4.88%, 01/15/2028 | | | 2,025 | | | | 1,927 | |
5.25%, 01/15/2030 | | | 425 | | | | 406 | |
6.00%, 12/15/2029 (e) | | | 8,112 | | | | 8,092 | |
Verisure Holding AB, (Sweden), Reg. S, 9.25%, 10/15/2027 | | EUR | 100 | | | | 116 | |
Verscend Escrow Corp., 9.75%, 08/15/2026 (e) | | | 6,775 | | | | 6,796 | |
Williams Scotsman International, Inc., 4.63%, 08/15/2028 (e) | | | 1,309 | | | | 1,197 | |
| | | | | | | | |
| | |
| | | | | | | 128,274 | |
| | | | | | | | |
Cosmetics/Personal Care — 0.0% (g) | |
Coty, Inc., Reg. S, 3.88%, 04/15/2026 | | EUR | 100 | | | | 106 | |
Coty, Inc. / HFC Prestige Products, Inc. / HFC Prestige International US LLC, 4.75%, 01/15/2029 (e) | | | 62 | | | | 57 | |
| | | | | | | | |
| | |
| | | | | | | 163 | |
| | | | | | | | |
Food — 1.6% | |
Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, | | | | | | | | |
3.25%, 03/15/2026 (e) | | | 358 | | | | 330 | |
3.50%, 03/15/2029 (e) | | | 1,760 | | | | 1,524 | |
4.63%, 01/15/2027 (e) | | | 282 | | | | 267 | |
4.88%, 02/15/2030 (e) | | | 1,144 | | | | 1,056 | |
5.88%, 02/15/2028 (e) | | | 2,001 | | | | 1,945 | |
6.50%, 02/15/2028 (e) | | | 1,070 | | | | 1,072 | |
B&G Foods, Inc., | | | | | | | | |
5.25%, 04/01/2025 | | | 1,775 | | | | 1,694 | |
5.25%, 09/15/2027 | | | 2,271 | | | | 1,973 | |
Bellis Acquisition Co. plc, (United Kingdom), | | | | | | | | |
Reg. S, 3.25%, 02/16/2026 | | GBP | 300 | | | | 318 | |
Reg. S, 4.50%, 02/16/2026 | | GBP | 163 | | | | 177 | |
C&S Group Enterprises LLC, 5.00%, 12/15/2028 (e) | | | 675 | | | | 520 | |
Casino Guichard Perrachon SA, (France), Reg. S, (ICE EURIBOR Swap Rate 5 Year + 3.82%), 3.99%, 01/31/2024 (x) | | EUR | 100 | | | | 1 | |
China Modern Dairy Holdings Ltd., (Cayman Islands), Reg. S, 2.13%, 07/14/2026 | | | 1,800 | | | | 1,535 | |
Chobani LLC / Chobani Finance Corp., Inc., | | | | | | | | |
4.63%, 11/15/2028 (e) | | | 4,457 | | | | 4,056 | |
7.50%, 04/15/2025 (e) | | | 5,382 | | | | 5,354 | |
Darling Global Finance BV, (Netherlands), Reg. S, 3.63%, 05/15/2026 | | EUR | 300 | | | | 319 | |
FPC Resources Ltd., (British Virgin Islands), Reg. S, 4.38%, 09/11/2027 | | | 300 | | | | 287 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Food — continued | |
JGSH Philippines Ltd., (British Virgin Islands), Reg. S, 4.13%, 07/09/2030 | | | 6,350 | | | | 5,730 | |
Kraft Heinz Foods Co., | | | | | | | | |
6.88%, 01/26/2039 | | | 2,000 | | | | 2,249 | |
7.13%, 08/01/2039 (e) | | | 500 | | | | 556 | |
Lamb Weston Holdings, Inc., | | | | | | | | |
4.13%, 01/31/2030 (e) | | | 413 | | | | 369 | |
4.38%, 01/31/2032 (e) | | | 3,470 | | | | 3,100 | |
4.88%, 05/15/2028 (e) | | | 72 | | | | 69 | |
Market Bidco Finco plc, (United Kingdom), 5.50%, 11/04/2027 (e) | | GBP | 150 | | | | 148 | |
Performance Food Group, Inc., | | | | | | | | |
4.25%, 08/01/2029 (e) | | | 212 | | | | 189 | |
5.50%, 10/15/2027 (e) | | | 1,895 | | | | 1,826 | |
Picard Groupe SAS, (France), Reg. S, 3.88%, 07/01/2026 | | EUR | 100 | | | | 100 | |
Pilgrim’s Pride Corp., | | | | | | | | |
3.50%, 03/01/2032 | | | 2,600 | | | | 2,055 | |
4.25%, 04/15/2031 | | | 8,148 | | | | 6,989 | |
Post Holdings, Inc., | | | | | | | | |
4.50%, 09/15/2031 (e) | | | 1,821 | | | | 1,555 | |
4.63%, 04/15/2030 (e) | | | 1,405 | | | | 1,231 | |
5.50%, 12/15/2029 (e) | | | 950 | | | | 877 | |
Simmons Foods, Inc. / Simmons Prepared Foods, Inc. / Simmons Pet Food, Inc. / Simmons Feed, 4.63%, 03/01/2029 (e) | | | 1,139 | | | | 914 | |
United Natural Foods, Inc., 6.75%, 10/15/2028 (e) | | | 123 | | | | 102 | |
US Foods, Inc., | | | | | | | | |
4.75%, 02/15/2029 (e) | | | 1,879 | | | | 1,720 | |
6.25%, 04/15/2025 (e) | | | 456 | | | | 456 | |
| | | | | | | | |
| | |
| | | | | | | 52,663 | |
| | | | | | | | |
Healthcare — Products — 0.7% | |
Avantor Funding, Inc., | | | | | | | | |
Reg. S, 2.63%, 11/01/2025 | | EUR | 1,081 | | | | 1,130 | |
Reg. S, 3.88%, 07/15/2028 | | EUR | 100 | | | | 100 | |
3.88%, 11/01/2029 (e) | | | 2,015 | | | | 1,764 | |
4.63%, 07/15/2028 (e) | | | 1,867 | | | | 1,731 | |
Embecta Corp., | | | | | | | | |
5.00%, 02/15/2030 (e) | | | 1,100 | | | | 913 | |
6.75%, 02/15/2030 (e) | | | 1,184 | | | | 1,061 | |
Garden Spinco Corp., 8.63%, 07/20/2030 (e) | | | 942 | | | | 1,012 | |
GE HealthCare Technologies, Inc., 5.60%, 11/15/2025 | | | 225 | | | | 225 | |
Medline Borrower LP, | | | | | | | | |
3.88%, 04/01/2029 (e) | | | 4,103 | | | | 3,555 | |
5.25%, 10/01/2029 (e) | | | 11,404 | | | | 9,895 | |
Teleflex, Inc., 4.25%, 06/01/2028 (e) | | | 1,284 | | | | 1,173 | |
| | | | | | | | |
| | |
| | | | | | | 22,559 | |
| | | | | | | | |
Healthcare — Services — 2.2% | |
Acadia Healthcare Co., Inc., 5.00%, 04/15/2029 (e) | | | 126 | | | | 116 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 226 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — continued | | | | | | | | |
Healthcare — Services — continued | |
AHP Health Partners, Inc., 5.75%, 07/15/2029 (e) | | | 1,798 | | | | 1,550 | |
Cano Health LLC, 6.25%, 10/01/2028 (e) | | | 655 | | | | 409 | |
Catalent Pharma Solutions, Inc., | | | | | | | | |
Reg. S, 2.38%, 03/01/2028 | | EUR | 200 | | | | 176 | |
3.13%, 02/15/2029 (e) | | | 431 | | | | 350 | |
3.50%, 04/01/2030 (e) | | | 1,748 | | | | 1,416 | |
Centene Corp., | | | | | | | | |
2.45%, 07/15/2028 | | | 919 | | | | 785 | |
2.50%, 03/01/2031 | | | 61 | | | | 49 | |
2.63%, 08/01/2031 | | | 521 | | | | 415 | |
3.00%, 10/15/2030 | | | 3,772 | | | | 3,143 | |
4.25%, 12/15/2027 | | | 498 | | | | 467 | |
Charles River Laboratories International, Inc., | | | | | | | | |
4.00%, 03/15/2031 (e) | | | 15 | | | | 13 | |
4.25%, 05/01/2028 (e) | | | 1,363 | | | | 1,247 | |
CHS / Community Health Systems, Inc., | | | | | | | | |
4.75%, 02/15/2031 (e) | | | 3,669 | | | | 2,773 | |
5.25%, 05/15/2030 (e) | | | 3,377 | | | | 2,660 | |
5.63%, 03/15/2027 (e) | | | 700 | | | | 617 | |
Clariane SE, (France), Reg. S, (UK Gilts 5 Year + 9.08%), 4.13%, 03/15/2024 (x) (aa) | | GBP | 200 | | | | 203 | |
DaVita, Inc., | | | | | | | | |
3.75%, 02/15/2031 (e) | | | 4,332 | | | | 3,463 | |
4.63%, 06/01/2030 (e) | | | 3,175 | | | | 2,725 | |
Encompass Health Corp., | | | | | | | | |
4.50%, 02/01/2028 | | | 55 | | | | 51 | |
4.63%, 04/01/2031 | | | 1,222 | | | | 1,083 | |
4.75%, 02/01/2030 | | | 1,396 | | | | 1,271 | |
Fortrea Holdings, Inc., 7.50%, 07/01/2030 (e) | | | 876 | | | | 897 | |
HCA, Inc., | | | | | | | | |
5.25%, 04/15/2025 | | | 500 | | | | 494 | |
7.05%, 12/01/2027 | | | 950 | | | | 990 | |
7.50%, 11/06/2033 | | | 1,650 | | | | 1,801 | |
HealthEquity, Inc., 4.50%, 10/01/2029 (e) | | | 3,225 | | | | 2,842 | |
Humana, Inc., 5.70%, 03/13/2026 | | | 102 | | | | 102 | |
IQVIA, Inc., | | | | | | | | |
Reg. S, 1.75%, 03/15/2026 | | EUR | 200 | | | | 202 | |
Reg. S, 2.25%, 03/15/2029 | | EUR | 100 | | | | 93 | |
5.00%, 10/15/2026 (e) | | | 397 | | | | 383 | |
6.50%, 05/15/2030 (e) | | | 1,178 | | | | 1,190 | |
Legacy LifePoint Health LLC, | | | | | | | | |
4.38%, 02/15/2027 (e) | | | 173 | | | | 133 | |
6.75%, 04/15/2025 (e) | | | 1,291 | | | | 1,191 | |
LifePoint Health, Inc., 5.38%, 01/15/2029 (e) | | | 2,650 | | | | 1,508 | |
ModivCare, Inc., 5.88%, 11/15/2025 (e) | | | 1,002 | | | | 928 | |
Molina Healthcare, Inc., | | | | | | | | |
3.88%, 11/15/2030 (e) | | | 334 | | | | 286 | |
3.88%, 05/15/2032 (e) | | | 1,855 | | | | 1,556 | |
4.38%, 06/15/2028 (e) | | | 217 | | | | 200 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Healthcare — Services — continued | |
Prime Healthcare Services, Inc., 7.25%, 11/01/2025 (e) | | | 2,425 | | | | 2,298 | |
RegionalCare Hospital Partners Holdings, Inc. / LifePoint Health, Inc., 9.75%, 12/01/2026 (e) | | | 4,925 | | | | 4,114 | |
Surgery Center Holdings, Inc., | | | | | | | | |
6.75%, 07/01/2025 (e) | | | 427 | | | | 425 | |
10.00%, 04/15/2027 (e) | | | 2,518 | | | | 2,575 | |
Tenet Healthcare Corp., | | | | | | | | |
4.25%, 06/01/2029 | | | 3,279 | | | | 2,962 | |
4.38%, 01/15/2030 | | | 9,130 | | | | 8,239 | |
4.88%, 01/01/2026 | | | 973 | | | | 948 | |
5.13%, 11/01/2027 | | | 4,525 | | | | 4,319 | |
6.13%, 10/01/2028 | | | 2,022 | | | | 1,947 | |
6.13%, 06/15/2030 | | | 439 | | | | 432 | |
6.25%, 02/01/2027 | | | 697 | | | | 690 | |
6.75%, 05/15/2031 (e) | | | 3,927 | | | | 3,936 | |
| | | | | | | | |
| | |
| | | | | | | 72,663 | |
| | | | | | | | |
Household Products/Wares — 0.2% | |
ACCO Brands Corp., 4.25%, 03/15/2029 (e) | | | 1,715 | | | | 1,441 | |
Central Garden & Pet Co., | | | | | | | | |
4.13%, 10/15/2030 | | | 79 | | | | 66 | |
5.13%, 02/01/2028 | | | 360 | | | | 338 | |
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc., | | | | | | | | |
5.00%, 12/31/2026 (e) | | | 450 | | | | 412 | |
7.00%, 12/31/2027 (e) | | | 1,625 | | | | 1,438 | |
Spectrum Brands, Inc., 3.88%, 03/15/2031 (e) | | | 1,691 | | | | 1,387 | |
| | | | | | | | |
| | |
| | | | | | | 5,082 | |
| | | | | | | | |
Pharmaceuticals — 1.3% | |
AdaptHealth LLC, | | | | | | | | |
4.63%, 08/01/2029 (e) | | | 2,100 | | | | 1,676 | |
5.13%, 03/01/2030 (e) | | | 1,301 | | | | 1,054 | |
6.13%, 08/01/2028 (e) | | | 865 | | | | 749 | |
Bausch Health Americas, Inc., 8.50%, 01/31/2027 (e) | | | 275 | | | | 150 | |
Bausch Health Cos., Inc., (Canada), | | | | | | | | |
5.00%, 01/30/2028 (e) | | | 2,125 | | | | 903 | |
5.00%, 02/15/2029 (e) | | | 3,800 | | | | 1,577 | |
5.25%, 01/30/2030 (e) | | | 4,610 | | | | 1,913 | |
5.25%, 02/15/2031 (e) | | | 2,370 | | | | 991 | |
6.25%, 02/15/2029 (e) | | | 6,918 | | | | 2,940 | |
7.00%, 01/15/2028 (e) | | | 450 | | | | 196 | |
Bayer AG, (Germany), Reg. S, (EUR Swap Rate 5 Year + 3.75%), 4.50%, 03/25/2082 (aa) | | EUR | 300 | | | | 309 | |
Bayer US Finance II LLC, | | | | | | | | |
3.88%, 12/15/2023 (e) | | | 554 | | | | 549 | |
4.25%, 12/15/2025 (e) | | | 300 | | | | 289 | |
(ICE LIBOR USD 3 Month + 1.01%), 6.56%, 12/15/2023 (e) (aa) | | | 200 | | | | 200 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 227 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — continued | | | | | | | | |
Pharmaceuticals — continued | |
Cheplapharm Arzneimittel GmbH, (Germany), 5.50%, 01/15/2028 (e) | | | 2,033 | | | | 1,840 | |
Gruenenthal GmbH, (Germany), Reg. S, 4.13%, 05/15/2028 | | EUR | 100 | | | | 101 | |
Health & Happiness H&H International Holdings Ltd., (Cayman Islands), | | | | | | | | |
Reg. S, 5.63%, 10/24/2024 | | | 5,250 | | | | 4,806 | |
Reg. S, 13.50%, 06/26/2026 | | | 3,000 | | | | 2,818 | |
Horizon Therapeutics USA, Inc., 5.50%, 08/01/2027 (e) | | | 375 | | | | 377 | |
Jazz Securities DAC, (Ireland), 4.38%, 01/15/2029 (e) | | | 1,078 | | | | 962 | |
Option Care Health, Inc., 4.38%, 10/31/2029 (e) | | | 957 | | | | 838 | |
Organon & Co. / Organon Foreign Debt Co-Issuer BV, | | | | | | | | |
4.13%, 04/30/2028 (e) | | | 1,798 | | | | 1,596 | |
5.13%, 04/30/2031 (e) | | | 5,337 | | | | 4,403 | |
P&L Development LLC / PLD Finance Corp., 7.75%, 11/15/2025 (e) | | | 1,483 | | | | 1,202 | |
PRA Health Sciences, Inc., 2.88%, 07/15/2026 (e) | | | 2,384 | | | | 2,158 | |
Teva Pharmaceutical Finance Netherlands II BV, (Netherlands), | | | | | | | | |
4.38%, 05/09/2030 | | EUR | 283 | | | | 263 | |
7.38%, 09/15/2029 | | EUR | 200 | | | | 222 | |
Teva Pharmaceutical Finance Netherlands III BV, (Netherlands), | | | | | | | | |
3.15%, 10/01/2026 | | | 3,005 | | | | 2,688 | |
7.13%, 01/31/2025 | | | 200 | | | | 203 | |
7.88%, 09/15/2029 | | | 1,962 | | | | 2,022 | |
8.13%, 09/15/2031 | | | 751 | | | | 787 | |
| | | | | | | | |
| | |
| | | | | | | 40,782 | |
| | | | | | | | |
Total Consumer Non-cyclical | | | | | | | 333,318 | |
| | | | | | | | |
Diversified — 0.1% | |
Holding Companies — Diversified — 0.1% | |
Benteler International AG, (Austria), 10.50%, 05/15/2028 (e) | | | 350 | | | | 354 | |
San Miguel Corp., (Philippines), Reg. S, (CMT Index 5 Year + 10.24%), 5.50%, 07/29/2025 (x) (aa) | | | 3,150 | | | | 2,792 | |
| | | | | | | | |
Total Diversified | | | | | | | 3,146 | |
| | | | | | | | |
Energy — 10.8% | |
Coal — 0.4% | |
Adaro Indonesia PT, (Indonesia), Reg. S, 4.25%, 10/31/2024 | | | 6,150 | | | | 5,916 | |
Alliance Resource Operating Partners LP / Alliance Resource Finance Corp., 7.50%, 05/01/2025 (e) | | | 150 | | | | 150 | |
Conuma Resources Ltd., (Canada), 13.13%, 05/01/2028 (e) | | | 800 | | | | 757 | |
Coronado Finance Pty Ltd., (Australia), 10.75%, 05/15/2026 (e) | | | 554 | | | | 570 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Coal — continued | |
Indika Energy Capital IV Pte Ltd., (Singapore), Reg. S, 8.25%, 10/22/2025 | | | 5,150 | | | | 5,109 | |
| | | | | | | | |
| | |
| | | | | | | 12,502 | |
| | | | | | | | |
Energy — Alternate Sources — 1.2% | |
Adani Green Energy UP Ltd. / Prayatna Developers Pvt Ltd. / Parampujya Solar Energ, (India), Reg. S, 6.25%, 12/10/2024 | | | 4,300 | | | | 4,123 | |
Cullinan Holdco Scsp, (Luxembourg), Reg. S, 4.63%, 10/15/2026 | | EUR | 201 | | | | 185 | |
Greenko Dutch BV, (Netherlands), 3.85%, 03/29/2026 (e) | | | 188 | | | | 168 | |
Reg. S, 3.85%, 03/29/2026 | | | 8,742 | | | | 7,831 | |
Greenko Solar Mauritius Ltd., (Mauritius), Reg. S, 5.55%, 01/29/2025 | | | 5,850 | | | | 5,625 | |
Greenko Wind Projects Mauritius Ltd., (Mauritius), | | | | | | | | |
5.50%, 04/06/2025 (e) | | | 7,200 | | | | 6,882 | |
Reg. S, 5.50%, 04/06/2025 | | | 1,300 | | | | 1,243 | |
India Cleantech Energy, (Mauritius), Reg. S, 4.70%, 08/10/2026 | | | 2,930 | | | | 2,557 | |
India Green Energy Holdings, (Mauritius), Reg. S, 5.38%, 04/29/2024 | | | 7,100 | | | | 6,941 | |
TerraForm Power Operating LLC, 4.75%, 01/15/2030 (e) | | | 1,165 | | | | 1,028 | |
| | | | | | | | |
| | |
| | | | | | | 36,583 | |
| | | | | | | | |
Oil & Gas — 5.6% | |
Aethon United BR LP / Aethon United Finance Corp., 8.25%, 02/15/2026 (e) | | | 3,837 | | | | 3,770 | |
Aker BP ASA, (Norway), 2.00%, 07/15/2026 (e) | | | 212 | | | | 190 | |
Antero Resources Corp., | | | | | | | | |
5.38%, 03/01/2030 (e) | | | 2,520 | | | | 2,308 | |
7.63%, 02/01/2029 (e) | | | 950 | | | | 964 | |
Apache Corp., | | | | | | | | |
5.10%, 09/01/2040 | | | 1,035 | | | | 841 | |
5.35%, 07/01/2049 | | | 695 | | | | 540 | |
Ascent Resources Utica Holdings LLC / ARU Finance Corp., | | | | | | | | |
5.88%, 06/30/2029 (e) | | | 3,682 | | | | 3,287 | |
7.00%, 11/01/2026 (e) | | | 1,075 | | | | 1,040 | |
8.25%, 12/31/2028 (e) | | | 4,573 | | | | 4,497 | |
9.00%, 11/01/2027 (e) | | | 1,629 | | | | 2,025 | |
Athabasca Oil Corp., (Canada), 9.75%, 11/01/2026 (e) | | | 2,545 | | | | 2,680 | |
Baytex Energy Corp., (Canada), 8.50%, 04/30/2030 (e) | | | 627 | | | | 612 | |
California Resources Corp., 7.13%, 02/01/2026 (e) | | | 236 | | | | 237 | |
Callon Petroleum Co., | | | | | | | | |
6.38%, 07/01/2026 | | | 4,697 | | | | 4,572 | |
7.50%, 06/15/2030 (e) | | | 1,396 | | | | 1,318 | |
8.00%, 08/01/2028 (e) | | | 3,457 | | | | 3,418 | |
8.25%, 07/15/2025 | | | 294 | | | | 292 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 228 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — continued | | | | | | | | |
Oil & Gas — continued | |
Chesapeake Energy Corp., | | | | | | | | |
5.50%, 02/01/2026 (e) | | | 500 | | | | 488 | |
5.88%, 02/01/2029 (e) | | | 835 | | | | 793 | |
6.75%, 04/15/2029 (e) | | | 2,650 | | | | 2,629 | |
Chord Energy Corp., 6.38%, 06/01/2026 (e) | | | 156 | | | | 154 | |
CITGO Petroleum Corp., | | | | | | | | |
6.38%, 06/15/2026 (e) | | | 2,405 | | | | 2,315 | |
7.00%, 06/15/2025 (e) | | | 3,414 | | | | 3,350 | |
Civitas Resources, Inc., | | | | | | | | |
8.38%, 07/01/2028 (e) | | | 4,565 | | | | 4,612 | |
8.75%, 07/01/2031 (e) | | | 2,802 | | | | 2,841 | |
CNX Resources Corp., | | | | | | | | |
7.25%, 03/14/2027 (e) | | | 2,315 | | | | 2,291 | |
7.38%, 01/15/2031 (e) | | | 746 | | | | 726 | |
Comstock Resources, Inc., | | | | | | | | |
5.88%, 01/15/2030 (e) | | | 3,295 | | | | 2,861 | |
6.75%, 03/01/2029 (e) | | | 3,690 | | | | 3,377 | |
Continental Resources, Inc., | | | | | | | | |
2.27%, 11/15/2026 (e) | | | 580 | | | | 516 | |
3.80%, 06/01/2024 | | | 450 | | | | 441 | |
4.38%, 01/15/2028 | | | 275 | | | | 258 | |
Crescent Energy Finance LLC, | | | | | | | | |
7.25%, 05/01/2026 (e) | | | 3,913 | | | | 3,672 | |
9.25%, 02/15/2028 (e) | | | 1,884 | | | | 1,828 | |
CrownRock LP / CrownRock Finance, Inc., | | | | | | | | |
5.00%, 05/01/2029 (e) | | | 206 | | | | 193 | |
5.63%, 10/15/2025 (e) | | | 3,356 | | | | 3,306 | |
Devon Energy Corp., 5.25%, 10/15/2027 | | | 415 | | | | 409 | |
Diamondback Energy, Inc., 6.25%, 03/15/2033 | | | 1,693 | | | | 1,751 | |
Earthstone Energy Holdings LLC, | | | | | | | | |
8.00%, 04/15/2027 (e) | | | 1,727 | | | | 1,664 | |
9.88%, 07/15/2031 (e) | | | 1,357 | | | | 1,340 | |
Endeavor Energy Resources LP / EER Finance, Inc., 5.75%, 01/30/2028 (e) | | | 2,033 | | | | 1,989 | |
Eni SpA, (Italy), Series X-R, 4.00%, 09/12/2023 (e) | | | 1,000 | | | | 996 | |
EnQuest plc, (United Kingdom), 11.63%, 11/01/2027 (e) | | | 200 | | | | 181 | |
EQT Corp., | | | | | | | | |
3.90%, 10/01/2027 | | | 326 | | | | 301 | |
6.13%, 02/01/2025 | | | 190 | | | | 189 | |
Gulfport Energy Corp., 8.00%, 05/17/2026 (e) | | | 302 | | | | 303 | |
Harbour Energy plc, (United Kingdom), 5.50%, 10/15/2026 (e) | | | 264 | | | | 242 | |
Hilcorp Energy I LP / Hilcorp Finance Co., | | | | | | | | |
5.75%, 02/01/2029 (e) | | | 1,949 | | | | 1,765 | |
6.00%, 04/15/2030 (e) | | | 350 | | | | 319 | |
6.00%, 02/01/2031 (e) | | | 3,913 | | | | 3,487 | |
6.25%, 11/01/2028 (e) | | | 786 | | | | 740 | |
6.25%, 04/15/2032 (e) | | | 1,150 | | | | 1,025 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Oil & Gas — continued | |
Magnolia Oil & Gas Operating LLC / Magnolia Oil & Gas Finance Corp., 6.00%, 08/01/2026 (e) | | | 156 | | | | 151 | |
Matador Resources Co., | | | | | | | | |
5.88%, 09/15/2026 | | | 1,237 | | | | 1,199 | |
6.88%, 04/15/2028 (e) | | | 1,268 | | | | 1,249 | |
Medco Oak Tree Pte Ltd., (Singapore), Reg. S, 7.38%, 05/14/2026 | | | 12,750 | | | | 12,534 | |
MEG Energy Corp., (Canada), 5.88%, 02/01/2029 (e) | | | 1,150 | | | | 1,081 | |
Nabors Industries Ltd., (Bermuda), | | | | | | | | |
7.25%, 01/15/2026 (e) | | | 415 | | | | 387 | |
7.50%, 01/15/2028 (e) | | | 6,121 | | | | 5,402 | |
Nabors Industries, Inc., | | | | | | | | |
5.75%, 02/01/2025 | | | 4,261 | | | | 4,124 | |
7.38%, 05/15/2027 (e) | | | 4,951 | | | | 4,711 | |
Noble Finance II LLC, 8.00%, 04/15/2030 (e) | | | 1,816 | | | | 1,846 | |
Northern Oil and Gas, Inc., | | | | | | | | |
8.13%, 03/01/2028 (e) | | | 6,046 | | | | 5,925 | |
8.75%, 06/15/2031 (e) | | | 1,417 | | | | 1,392 | |
Occidental Petroleum Corp., | | | | | | | | |
4.63%, 06/15/2045 | | | 1,442 | | | | 1,116 | |
5.88%, 09/01/2025 | | | 521 | | | | 517 | |
6.20%, 03/15/2040 | | | 516 | | | | 509 | |
6.38%, 09/01/2028 | | | 510 | | | | 519 | |
6.45%, 09/15/2036 | | | 1,759 | | | | 1,804 | |
7.88%, 09/15/2031 | | | 500 | | | | 557 | |
Ovintiv Exploration, Inc., 5.38%, 01/01/2026 | | | 250 | | | | 248 | |
Parkland Corp., (Canada), | | | | | | | | |
4.50%, 10/01/2029 (e) | | | 1,800 | | | | 1,559 | |
4.63%, 05/01/2030 (e) | | | 500 | | | | 434 | |
Patterson-UTI Energy, Inc., 3.95%, 02/01/2028 | | | 186 | | | | 167 | |
PBF Holding Co. LLC / PBF Finance Corp., 7.25%, 06/15/2025 | | | 381 | | | | 380 | |
PDC Energy, Inc., | | | | | | | | |
5.75%, 05/15/2026 | | | 377 | | | | 376 | |
6.13%, 09/15/2024 | | | 115 | | | | 115 | |
Permian Resources Operating LLC, | | | | | | | | |
5.38%, 01/15/2026 (e) | | | 54 | | | | 51 | |
5.88%, 07/01/2029 (e) | | | 3,644 | | | | 3,433 | |
6.88%, 04/01/2027 (e) | | | 1,135 | | | | 1,118 | |
7.75%, 02/15/2026 (e) | | | 1,164 | | | | 1,169 | |
Petroleos Mexicanos, (Mexico), | | | | | | | | |
4.63%, 09/21/2023 | | | 300 | | | | 297 | |
6.49%, 01/23/2027 | | | 38 | | | | 34 | |
6.88%, 08/04/2026 | | | 268 | | | | 250 | |
Petron Corp., (Philippines), Reg. S, (CMT Index 5 Year + 7.57%), 5.95%, 04/19/2026 (x) (aa) | | | 3,500 | | | | 3,231 | |
Precision Drilling Corp., (Canada), 6.88%, 01/15/2029 (e) | | | 1,935 | | | | 1,748 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 229 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — continued | | | | | | | | |
Oil & Gas — continued | |
Range Resources Corp., | | | | | | | | |
4.75%, 02/15/2030 (e) | | | 325 | | | | 291 | |
4.88%, 05/15/2025 | | | 1,576 | | | | 1,545 | |
Repsol International Finance BV, (Netherlands), Reg. S, (EUR Swap Rate 5 Year + 4.41%), 4.25%, 09/11/2028 (x) (aa) | | EUR | 185 | | | | 182 | |
Rockcliff Energy II LLC, 5.50%, 10/15/2029 (e) | | | 1,156 | | | | 1,066 | |
Saka Energi Indonesia PT, (Indonesia), Reg. S, 4.45%, 05/05/2024 | | | 2,400 | | | | 2,340 | |
SM Energy Co., | | | | | | | | |
5.63%, 06/01/2025 | | | 888 | | | | 868 | |
6.50%, 07/15/2028 | | | 1,015 | | | | 974 | |
6.63%, 01/15/2027 | | | 25 | | | | 24 | |
6.75%, 09/15/2026 | | | 603 | | | | 588 | |
Southwestern Energy Co., | | | | | | | | |
4.75%, 02/01/2032 | | | 2,217 | | | | 1,954 | |
5.38%, 02/01/2029 | | | 1,422 | | | | 1,339 | |
5.38%, 03/15/2030 | | | 3,154 | | | | 2,943 | |
5.70%, 01/23/2025 | | | 3 | | | | 3 | |
Suncor Energy, Inc., (Canada), 7.88%, 06/15/2026 | | | 145 | | | | 153 | |
Sunoco LP / Sunoco Finance Corp., | | | | | | | | |
4.50%, 05/15/2029 | | | 1,500 | | | | 1,330 | |
4.50%, 04/30/2030 | | | 775 | | | | 678 | |
5.88%, 03/15/2028 | | | 320 | | | | 308 | |
Tap Rock Resources LLC, 7.00%, 10/01/2026 (e) | | | 5,178 | | | | 5,333 | |
Tengizchevroil Finance Co. International Ltd., (Bermuda), 2.63%, 08/15/2025 (e) | | | 200 | | | | 182 | |
Transocean Titan Financing Ltd., (Cayman Islands), 8.38%, 02/01/2028 (e) | | | 1,225 | | | | 1,251 | |
Transocean, Inc., (Cayman Islands), | | | | | | | | |
7.25%, 11/01/2025 (e) | | | 150 | | | | 144 | |
7.50%, 01/15/2026 (e) | | | 1,524 | | | | 1,448 | |
8.00%, 02/01/2027 (e) | | | 625 | | | | 566 | |
8.75%, 02/15/2030 (e) | | | 4,372 | | | | 4,438 | |
11.50%, 01/30/2027 (e) | | | 1,353 | | | | 1,407 | |
Valaris Ltd., (Bermuda), 8.38%, 04/30/2030 (e) | | | 2,955 | | | | 2,965 | |
Vermilion Energy, Inc., (Canada), 6.88%, 05/01/2030 (e) | | | 197 | | | | 182 | |
Vital Energy, Inc., 9.50%, 01/15/2025 | | | 228 | | | | 226 | |
| | | | | | | | |
| | |
| | | | | | | 180,304 | |
| | | | | | | | |
Oil & Gas Services — 0.4% | |
Archrock Partners LP / Archrock Partners Finance Corp., | | | | | | | | |
6.25%, 04/01/2028 (e) | | | 4,192 | | | | 3,918 | |
6.88%, 04/01/2027 (e) | | | 1,935 | | | | 1,858 | |
Enerflex Ltd., (Canada), 9.00%, 10/15/2027 (e) | | | 786 | | | | 765 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Oil & Gas Services — continued | |
Oceaneering International, Inc., 4.65%, 11/15/2024 | | | 157 | | | | 153 | |
USA Compression Partners LP / USA Compression Finance Corp., | | | | | | | | |
6.88%, 04/01/2026 | | | 2,967 | | | | 2,906 | |
6.88%, 09/01/2027 | | | 2,254 | | | | 2,152 | |
Weatherford International Ltd., (Bermuda), | | | | | | | | |
6.50%, 09/15/2028 (e) | | | 1,166 | | | | 1,168 | |
8.63%, 04/30/2030 (e) | | | 1,056 | | | | 1,072 | |
| | | | | | | | |
| | |
| | | | | | | 13,992 | |
| | | | | | | | |
Pipelines — 3.2% | |
Antero Midstream Partners LP / Antero Midstream Finance Corp., | | | | | | | | |
5.38%, 06/15/2029 (e) | | | 2,812 | | | | 2,613 | |
5.75%, 03/01/2027 (e) | | | 1,531 | | | | 1,475 | |
5.75%, 01/15/2028 (e) | | | 2,146 | | | | 2,046 | |
7.88%, 05/15/2026 (e) | | | 450 | | | | 456 | |
Buckeye Partners LP, | | | | | | | | |
3.95%, 12/01/2026 | | | 88 | | | | 79 | |
5.60%, 10/15/2044 | | | 46 | | | | 33 | |
5.85%, 11/15/2043 | | | 17 | | | | 13 | |
Cheniere Corpus Christi Holdings LLC, 5.88%, 03/31/2025 | | | 1,019 | | | | 1,014 | |
Cheniere Energy Partners LP, | | | | | | | | |
3.25%, 01/31/2032 | | | 4,363 | | | | 3,589 | |
4.00%, 03/01/2031 | | | 1,550 | | | | 1,365 | |
Cheniere Energy, Inc., 4.63%, 10/15/2028 | | | 2,408 | | | | 2,249 | |
CNX Midstream Partners LP, 4.75%, 04/15/2030 (e) | | | 1,530 | | | | 1,298 | |
CQP Holdco LP / BIP-V Chinook Holdco LLC, 5.50%, 06/15/2031 (e) | | | 4,660 | | | | 4,156 | |
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., | | | | | | | | |
5.63%, 05/01/2027 (e) | | | 62 | | | | 59 | |
6.00%, 02/01/2029 (e) | | | 2,359 | | | | 2,203 | |
7.38%, 02/01/2031 (e) | | | 674 | | | | 664 | |
8.00%, 04/01/2029 (e) | | | 52 | | | | 52 | |
DCP Midstream Operating LP, | | | | | | | | |
5.38%, 07/15/2025 | | | 161 | | | | 159 | |
6.45%, 11/03/2036 (e) | | | 610 | | | | 626 | |
6.75%, 09/15/2037 (e) | | | 260 | | | | 276 | |
DT Midstream, Inc., | | | | | | | | |
4.13%, 06/15/2029 (e) | | | 2,466 | | | | 2,164 | |
4.38%, 06/15/2031 (e) | | | 171 | | | | 147 | |
Energy Transfer LP, | | | | | | | | |
5.30%, 04/15/2047 | | | 830 | | | | 721 | |
Series H, (CMT Index 5 Year + 5.69%), 6.50%, 11/15/2026 (x) (aa) | | | 2,073 | | | | 1,883 | |
EnLink Midstream LLC, | | | | | | | | |
5.38%, 06/01/2029 | | | 319 | | | | 304 | |
5.63%, 01/15/2028 (e) | | | 3,133 | | | | 3,033 | |
6.50%, 09/01/2030 (e) | | | 764 | | | | 763 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 230 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — continued | | | | | | | | |
Pipelines — continued | |
EnLink Midstream Partners LP, | | | | | | | | |
4.15%, 06/01/2025 | | | 96 | | | | 93 | |
4.85%, 07/15/2026 | | | 380 | | | | 366 | |
5.45%, 06/01/2047 | | | 923 | | | | 755 | |
5.60%, 04/01/2044 | | | 113 | | | | 93 | |
EQM Midstream Partners LP, | | | | | | | | |
4.50%, 01/15/2029 (e) | | | 11 | | | | 10 | |
4.75%, 01/15/2031 (e) | | | 248 | | | | 217 | |
6.00%, 07/01/2025 (e) | | | 1,366 | | | | 1,351 | |
6.50%, 07/01/2027 (e) | | | 1,338 | | | | 1,319 | |
7.50%, 06/01/2027 (e) | | | 1,225 | | | | 1,237 | |
7.50%, 06/01/2030 (e) | | | 1,333 | | | | 1,349 | |
FTAI Infra Escrow Holdings LLC, 10.50%, 06/01/2027 (e) | | | 460 | | | | 452 | |
Genesis Energy LP / Genesis Energy Finance Corp., | | | | | | | | |
6.50%, 10/01/2025 | | | 49 | | | | 48 | |
7.75%, 02/01/2028 | | | 339 | | | | 323 | |
8.88%, 04/15/2030 | | | 659 | | | | 644 | |
Global Partners LP / GLP Finance Corp., 7.00%, 08/01/2027 | | | 600 | | | | 582 | |
Hess Midstream Operations LP, 4.25%, 02/15/2030 (e) | | | 1,480 | | | | 1,291 | |
Howard Midstream Energy Partners LLC, 8.88%, 07/15/2028 (e) (w) | | | 1,535 | | | | 1,545 | |
ITT Holdings LLC, 6.50%, 08/01/2029 (e) | | | 2,449 | | | | 2,063 | |
Kinetik Holdings LP, 5.88%, 06/15/2030 (e) | | | 2,042 | | | | 1,942 | |
New Fortress Energy, Inc., | | | | | | | | |
6.50%, 09/30/2026 (e) | | | 6,528 | | | | 5,842 | |
6.75%, 09/15/2025 (e) | | | 4,470 | | | | 4,193 | |
NGL Energy Operating LLC / NGL Energy Finance Corp., 7.50%, 02/01/2026 (e) | | | 1,369 | | | | 1,348 | |
NuStar Logistics LP, | | | | | | | | |
5.75%, 10/01/2025 | | | 32 | | | | 31 | |
6.00%, 06/01/2026 | | | 1,514 | | | | 1,475 | |
6.38%, 10/01/2030 | | | 13 | | | | 12 | |
ONEOK, Inc., 4.95%, 07/13/2047 | | | 829 | | | | 682 | |
Plains All American Pipeline LP / PAA Finance Corp., 3.60%, 11/01/2024 | | | 121 | | | | 117 | |
Rockies Express Pipeline LLC, | | | | | | | | |
4.95%, 07/15/2029 (e) | | | 183 | | | | 168 | |
7.50%, 07/15/2038 (e) | | | 2,825 | | | | 2,578 | |
Sabal Trail Transmission LLC, 4.25%, 05/01/2028 (e) | | | 425 | | | | 402 | |
Sabine Pass Liquefaction LLC, | | | | | | | | |
5.75%, 05/15/2024 | | | 100 | | | | 100 | |
5.88%, 06/30/2026 | | | 250 | | | | 252 | |
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., | | | | | | | | |
5.50%, 01/15/2028 (e) | | | 4,098 | | | | 3,745 | |
6.00%, 03/01/2027 (e) | | | 836 | | | | 785 | |
6.00%, 12/31/2030 (e) | | | 33 | | | | 29 | |
6.00%, 09/01/2031 (e) | | | 2,664 | | | | 2,292 | |
7.50%, 10/01/2025 (e) | | | 61 | | | | 61 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Pipelines — continued | |
Targa Resources Corp., 6.25%, 07/01/2052 | | | 521 | | | | 508 | |
Targa Resources Partners LP / Targa Resources Partners Finance Corp., | | | | | | | | |
4.00%, 01/15/2032 | | | 506 | | | | 437 | |
6.50%, 07/15/2027 | | | 244 | | | | 242 | |
Venture Global Calcasieu Pass LLC, | | | | | | | | |
3.88%, 08/15/2029 (e) | | | 3,889 | | | | 3,397 | |
3.88%, 11/01/2033 (e) | | | 3,136 | | | | 2,568 | |
4.13%, 08/15/2031 (e) | | | 3,573 | | | | 3,073 | |
Venture Global LNG, Inc., | | | | | | | | |
8.13%, 06/01/2028 (e) | | | 5,794 | | | | 5,869 | |
8.38%, 06/01/2031 (e) | | | 8,966 | | | | 9,010 | |
Western Midstream Operating LP, | | | | | | | | |
4.65%, 07/01/2026 | | | 360 | | | | 346 | |
5.30%, 03/01/2048 | | | 624 | | | | 520 | |
5.45%, 04/01/2044 | | | 53 | | | | 45 | |
5.50%, 08/15/2048 | | | 463 | | | | 386 | |
5.50%, 02/01/2050 | | | 4,483 | | | | 3,672 | |
6.15%, 04/01/2033 | | | 330 | | | | 331 | |
| | | | | | | | |
| | |
| | | | | | | 103,636 | |
| | | | | | | | |
Total Energy | | | | | | | 347,017 | |
| | | | | | | | |
Financial — 13.4% | |
Banks — 3.2% | |
ABN AMRO Bank NV, (Netherlands), 4.75%, 07/28/2025 (e) | | | 700 | | | | 675 | |
AIB Group plc, (Ireland), | | | | | | | | |
(ICE LIBOR USD 3 Month + 1.87%), 4.26%, 04/10/2025 (e) (aa) | | | 483 | | | | 472 | |
Reg. S, (EUR Swap Rate 5 Year + 5.70%), 5.25%, 10/09/2024 (x) (aa) | | EUR | 359 | | | | 365 | |
Banca Monte dei Paschi di Siena SpA, (Italy), Reg. S, (ICE LIBOR EUR 3 Month + 3.21%), 6.75%, 03/02/2026 (aa) | | EUR | 100 | | | | 109 | |
Banco Bilbao Vizcaya Argentaria SA, (Spain), Reg. S, (EUR Swap Rate 5 Year + 6.04%), 6.00%, 03/29/2024 (x) (aa) | | EUR | 400 | | | | 422 | |
Banco BPM SpA, (Italy), | | | | | | | | |
Reg. S, (EUR Swap Rate 5 Year + 3.40%), 3.38%, 01/19/2032 (aa) | | EUR | 214 | | | | 203 | |
Reg. S, (EUR Swap Rate 5 Year + 4.67%), 4.25%, 10/01/2029 (aa) | | EUR | 100 | | | | 106 | |
Reg. S, (ICE LIBOR EUR 3 Month + 2.80%), 6.00%, 06/14/2028 (aa) | | EUR | 200 | | | | 217 | |
Banco de Sabadell SA, (Spain), | | | | | | | | |
Reg. S, (EUR Swap Rate 5 Year + 2.95%), 2.50%, 04/15/2031 (aa) | | EUR | 200 | | | | 191 | |
Reg. S, (EUR Swap Rate 1 Year + 2.40%), 5.25%, 02/07/2029 (aa) | | EUR | 100 | | | | 107 | |
Bangkok Bank PCL, (Thailand), | | | | | | | | |
Reg. S, (CMT Index 5 Year + 1.90%), 3.73%, 09/25/2034 (aa) | | | 3,550 | | | | 3,009 | |
Reg. S, (CMT Index 5 Year + 4.73%), 5.00%, 09/23/2025 (x) (aa) | | | 3,400 | | | | 3,221 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 231 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — continued | | | | | | | | |
Banks — continued | |
Bank Negara Indonesia Persero Tbk. PT, (Indonesia), Reg. S, 3.75%, 03/30/2026 | | | 9,050 | | | | 8,354 | |
Bank of America Corp., | | | | | | | | |
(United States SOFR + 0.96%), 1.73%, 07/22/2027 (aa) | | | 98 | | | | 87 | |
(CME Term SOFR 3 Month + 1.13%), 2.46%, 10/22/2025 (aa) | | | 80 | | | | 76 | |
(CME Term SOFR 3 Month + 1.35%), 3.09%, 10/01/2025 (aa) | | | 18 | | | | 17 | |
(United States SOFR + 1.33%), 3.38%, 04/02/2026 (aa) | | | 672 | | | | 644 | |
(United States SOFR + 1.11%), 3.84%, 04/25/2025 (aa) | | | 1,045 | | | | 1,024 | |
(CME Term SOFR 3 Month + 1.20%), 3.86%, 07/23/2024 (aa) | | | 355 | | | | 355 | |
(United States SOFR + 2.04%), 4.95%, 07/22/2028 (aa) | | | 230 | | | | 226 | |
(United States SOFR + 1.99%), 6.20%, 11/10/2028 (aa) | | | 1,378 | | | | 1,416 | |
Series L, 3.95%, 04/21/2025 | | | 552 | | | | 535 | |
Bank of East Asia Ltd. (The), (Hong Kong), Reg. S, (CMT Index 5 Year + 3.75%), 4.00%, 05/29/2030 (aa) | | | 5,000 | | | | 4,622 | |
Bank of Ireland Group plc, (Ireland), 4.50%, 11/25/2023 (e) | | | 700 | | | | 693 | |
(CMT Index 1 Year + 2.65%), 6.25%, 09/16/2026 (e) (aa) | | | 200 | | | | 198 | |
Reg. S, (EUR Swap Rate 5 Year + 7.92%), 7.50%, 05/19/2025 (x) (aa) | | EUR | 200 | | | | 214 | |
Bank of Montreal, (Canada), | | | | | | | | |
3.70%, 06/07/2025 | | | 141 | | | | 136 | |
5.30%, 06/05/2026 | | | 197 | | | | 197 | |
Bank of New York Mellon (The), (United States SOFR + 1.07%), 5.15%, 05/22/2026 (aa) | | | 250 | | | | 248 | |
Bank of New York Mellon Corp. (The), (United States SOFR + 1.17%), 4.54%, 02/01/2029 (aa) | | | 124 | | | | 121 | |
Bank of Nova Scotia (The), (Canada), | | | | | | | | |
4.75%, 02/02/2026 | | | 124 | | | | 122 | |
5.45%, 06/12/2025 | | | 158 | | | | 157 | |
Bankinter SA, (Spain), Reg. S, (ICE EURIBOR Swap Rate 5 Year + 4.71%), 7.38%, 08/15/2028 (x) (aa) | | EUR | 200 | | | | 206 | |
BankUnited, Inc., 4.88%, 11/17/2025 | | | 544 | | | | 502 | |
Barclays plc, (United Kingdom), | | | | | | | | |
(United States SOFR + 2.71%), 2.85%, 05/07/2026 (aa) | | | 376 | | | | 352 | |
(ICE LIBOR USD 3 Month + 1.61%), 3.93%, 05/07/2025 (aa) | | | 415 | | | | 406 | |
(CMT Index 5 Year + 3.41%), 4.38%, 03/15/2028 (x) (aa) | | | 465 | | | | 316 | |
(United States SOFR + 2.21%), 5.83%, 05/09/2027 (aa) | | | 252 | | | | 248 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Banks — continued | |
(CMT Index 1 Year + 3.05%), 7.33%, 11/02/2026 (aa) | | | 356 | | | | 364 | |
(CMT Index 5 Year + 5.67%), 8.00%, 06/15/2024 (x) (aa) | | | 200 | | | | 189 | |
(CMT Index 5 Year + 5.43%), 8.00%, 03/15/2029 (x) (aa) | | | 794 | | | | 709 | |
BNP Paribas SA, (France), | | | | | | | | |
(United States SOFR + 1.00%), 1.32%, 01/13/2027 (e) (aa) | | | 221 | | | | 196 | |
(United States SOFR + 2.07%), 2.22%, 06/09/2026 (e) (aa) | | | 490 | | | | 453 | |
Reg. S, (ICE EURIBOR Swap Rate 5 Year + 4.63%), 7.38%, 06/11/2030 (x) (aa) | | EUR | 200 | | | | 211 | |
BPCE SA, (France), | | | | | | | | |
4.50%, 03/15/2025 (e) | | | 200 | | | | 192 | |
4.88%, 04/01/2026 (e) | | | 200 | | | | 191 | |
5.15%, 07/21/2024 (e) | | | 235 | | | | 231 | |
CaixaBank SA, (Spain), Reg. S, (EUR Swap Rate 5 Year + 6.50%), 6.75%, 06/13/2024 (x) (aa) | | EUR | 200 | | | | 211 | |
Canadian Imperial Bank of Commerce, (Canada), | | | | | | | | |
3.95%, 08/04/2025 | | | 231 | | | | 223 | |
5.00%, 04/28/2028 | | | 204 | | | | 201 | |
5.14%, 04/28/2025 | | | 274 | | | | 272 | |
Citigroup, Inc., | | | | | | | | |
(United States SOFR + 2.84%), 3.11%, 04/08/2026 (aa) | | | 382 | | | | 364 | |
(CME Term SOFR 3 Month + 1.16%), 3.35%, 04/24/2025 (aa) | | | 935 | | | | 914 | |
(United States SOFR + 1.37%), 4.14%, 05/24/2025 (aa) | | | 243 | | | | 239 | |
(United States SOFR + 2.66%), 6.17%, 05/25/2034 (aa) | | | 1,930 | | | | 1,944 | |
Series P, (CME Term SOFR 3 Month + 4.17%), 5.95%, 05/15/2025 (x) (aa) | | | 470 | | | | 451 | |
Series Y, (CMT Index 5 Year + 3.00%), 4.15%, 11/15/2026 (x) (aa) | | | 15 | | | | 12 | |
Commerzbank AG, (Germany), Reg. S, (EUR Swap Rate 5 Year + 6.36%), 6.13%, 10/09/2025 (x) (aa) | | EUR | 400 | | | | 397 | |
Credit Agricole SA, (France), 4.38%, 03/17/2025 (e) | | | 450 | | | | 433 | |
(CMT Index 5 Year + 3.24%), 4.75%, 03/23/2029 (e) (x) (aa) | | | 261 | | | | 208 | |
Credit Suisse AG, (Switzerland), 3.63%, 09/09/2024 | | | 605 | | | | 583 | |
Danske Bank A/S, (Denmark), (ICE LIBOR USD 3 Month + 1.59%), 3.24%, 12/20/2025 (e) (aa) | | | 1,193 | | | | 1,132 | |
Deutsche Bank AG, (Germany), Reg. S, (ICE EURIBOR Swap Rate 5 Year + 6.94%), 10.00%, 12/01/2027 (x) (aa) | | EUR | 200 | | | | 216 | |
Discover Bank, 4.25%, 03/13/2026 | | | 250 | | | | 236 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 232 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — continued | | | | | | | | |
Banks — continued | |
Federation des Caisses Desjardins du Quebec, (Canada), 5.70%, 03/14/2028 (e) | | | 200 | | | | 200 | |
First-Citizens Bank & Trust Co., (CME Term SOFR 3 Month + 1.72%), 2.97%, 09/27/2025 (aa) | | | 250 | | | | 236 | |
Freedom Mortgage Corp., 7.63%, 05/01/2026 (e) | | | 883 | | | | 813 | |
Goldman Sachs Group, Inc. (The), | | | | | | | | |
(United States SOFR + 0.91%), 1.95%, 10/21/2027 (aa) | | | 200 | | | | 178 | |
(United States SOFR + 1.11%), 2.64%, 02/24/2028 (aa) | | | 554 | | | | 502 | |
(CME Term SOFR 3 Month + 1.46%), 3.27%, 09/29/2025 (aa) | | | 316 | | | | 305 | |
(CME Term SOFR 3 Month + 1.56%), 4.22%, 05/01/2029 (aa) | | | 212 | | | | 200 | |
Series R, (CMT Index 5 Year + 3.22%), 4.95%, 02/10/2025 (x) (aa) | | | 441 | | | | 416 | |
HDFC Bank Ltd., (India), Reg. S, (CMT Index 5 Year + 2.93%), 3.70%, 08/25/2026 (x) (aa) | | | 1,800 | | | | 1,559 | |
Hongkong & Shanghai Banking Corp. Ltd. (The), (Hong Kong), Series 3H, (ICE LIBOR USD 3 Month + 0.19%), 5.46%, 07/31/2023 (x) (aa) | | | 155 | | | | 154 | |
HSBC Holdings plc, (United Kingdom), | | | | | | | | |
(CME Term SOFR 3 Month + 1.47%), 3.80%, 03/11/2025 (aa) | | | 400 | | | | 392 | |
(CMT Index 5 Year + 3.65%), 4.60%, 12/17/2030 (x) (aa) | | | 200 | | | | 152 | |
(United States SOFR + 3.35%), 7.39%, 11/03/2028 (aa) | | | 992 | | | | 1,047 | |
HSBC USA, Inc., 5.63%, 03/17/2025 | | | 200 | | | | 199 | |
Huntington Bancshares, Inc., (United States SOFR + 1.97%), 4.44%, 08/04/2028 (aa) | | | 100 | | | | 93 | |
ING Groep NV, (Netherlands),
(CMT Index 5 Year + 4.34%), 5.75%, 11/16/2026 (x) (aa) | | | 200 | | | | 177 | |
Intesa Sanpaolo SpA, (Italy), | | | | | | | | |
(CMT Index 1 Year + 2.60%), 4.20%, 06/01/2032 (e) (aa) | | | 620 | | | | 462 | |
5.02%, 06/26/2024 (e) | | | 672 | | | | 651 | |
Reg. S, 5.15%, 06/10/2030 | | GBP | 247 | | | | 253 | |
5.71%, 01/15/2026 (e) | | | 300 | | | | 285 | |
Kasikornbank PCL, (Thailand), Reg. S, (CMT Index 5 Year + 4.94%), 5.28%, 10/14/2025 (x) (aa) | | | 9,900 | | | | 9,327 | |
Lloyds Banking Group plc, (United Kingdom), | | | | | | | | |
4.58%, 12/10/2025 | | | 200 | | | | 192 | |
(CMT Index 5 Year + 3.91%), 8.00%, 09/27/2029 (x) (aa) | | | 1,225 | | | | 1,119 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Banks — continued | |
Macquarie Bank Ltd., (Australia), | | | | | | | | |
4.88%, 06/10/2025 (e) | | | 284 | | | | 275 | |
6.80%, 01/18/2033 (e) | | | 640 | | | | 642 | |
Macquarie Group Ltd., (Australia), | | | | | | | | |
(United States SOFR + 1.07%), 1.34%, 01/12/2027 (e) (aa) | | | 105 | | | | 93 | |
(ICE LIBOR USD 3 Month + 1.37%), 3.76%, 11/28/2028 (e) (aa) | | | 400 | | | | 366 | |
Manufacturers & Traders Trust Co., | | | | | | | | |
4.65%, 01/27/2026 | | | 610 | | | | 582 | |
4.70%, 01/27/2028 | | | 250 | | | | 234 | |
Mitsubishi UFJ Financial Group, Inc., | | | | | | | | |
(Japan), (CMT Index 1 Year + 0.45%), 0.96%, 10/11/2025 (aa) | | | 200 | | | | 187 | |
(CMT Index 1 Year + 1.70%), 4.79%, 07/18/2025 (aa) | | | 295 | | | | 291 | |
(CMT Index 1 Year + 1.55%), 5.06%, 09/12/2025 (aa) | | | 200 | | | | 197 | |
(CMT Index 1 Year + 1.08%), 5.72%, 02/20/2026 (aa) | | | 200 | | | | 199 | |
Morgan Stanley, | | | | | | | | |
(United States SOFR + 0.51%), 0.79%, 01/22/2025 (aa) | | | 250 | | | | 242 | |
(United States SOFR + 1.99%), 2.19%, 04/28/2026 (aa) | | | 323 | | | | 303 | |
(United States SOFR + 1.16%), 3.62%, 04/17/2025 (aa) | | | 390 | | | | 382 | |
(United States SOFR + 1.30%), 5.05%, 01/28/2027 (aa) | | | 68 | | | | 68 | |
(United States SOFR + 1.73%), 5.12%, 02/01/2029 (aa) | | | 99 | | | | 98 | |
(CMT Index 5 Year + 2.43%), 5.95%, 01/19/2038 (aa) | | | 755 | | | | 745 | |
(United States SOFR + 1.77%), 6.14%, 10/16/2026 (aa) | | | 104 | | | | 105 | |
NatWest Group plc, (United Kingdom), | | | | | | | | |
(ICE LIBOR USD 3 Month + 1.76%), 4.27%, 03/22/2025 (aa) | | | 1,000 | | | | 982 | |
(CMT Index 1 Year + 1.95%), 5.81%, 09/13/2029 (aa) | | | 211 | | | | 208 | |
(CMT Index 1 Year + 2.85%), 7.47%, 11/10/2026 (aa) | | | 313 | | | | 320 | |
Northern Trust Corp., 6.13%, 11/02/2032 | | | 854 | | | | 885 | |
PNC Financial Services Group, Inc. (The), | | | | | | | | |
Series V, (CMT Index 5 Year + 3.24%), 6.20%, 09/15/2027 (x) (aa) | | | 654 | | | | 610 | |
Series W, (CMT Index 7 Year + 2.81%), 6.25%, 03/15/2030 (x) (aa) | | | 1,234 | | | | 1,108 | |
Popular, Inc., (Puerto Rico), 6.13%, 09/14/2023 | | | 400 | | | | 399 | |
Santander Holdings USA, Inc., (United States SOFR + 2.33%), 5.81%, 09/09/2026 (aa) | | | 57 | | | | 56 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 233 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — continued | | | | | | | | |
Banks — continued | |
Santander UK Group Holdings plc, (United Kingdom), | | | | | | | | |
(United States SOFR + 0.79%), 1.09%, 03/15/2025 (aa) | | | 200 | | | | 192 | |
4.75%, 09/15/2025 (e) | | | 200 | | | | 192 | |
Reg. S, (GBP Swap Rate 5 Year + 5.79%), 6.75%, 06/24/2024 (x) (aa) | | GBP | 200 | | | | 237 | |
Societe Generale SA, (France), Reg. S, (EUR Swap Rate 5 Year + 5.23%), 7.88%, 01/18/2029 (x) (aa) | | EUR | 100 | | | | 104 | |
Standard Chartered plc, (United Kingdom), 5.20%, 01/26/2024 (e) | | | 585 | | | | 579 | |
Reg. S, (CMT Index 5 Year + 5.66%), 6.00%, 07/26/2025 (x) (aa) | | | 3,300 | | | | 3,134 | |
(CMT Index 1 Year + 1.85%), 6.19%, 07/06/2027 (e) (w) (aa) | | | 2,100 | | | | 2,100 | |
(CMT Index 5 Year + 4.98%), 7.75%, 08/15/2027 (e) (x) (aa) | | | 4,100 | | | | 4,060 | |
Reg. S, (CMT Index 5 Year + 4.98%), 7.75%, 08/15/2027 (x) (aa) | | | 17,700 | | | | 17,528 | |
State Street Corp., (United States SOFR + 1.13%), 5.10%, 05/18/2026 (aa) | | | 153 | | | | 152 | |
Toronto-Dominion Bank (The), (Canada), 4.69%, 09/15/2027 | | | 179 | | | | 175 | |
Truist Financial Corp., (United States SOFR + 1.44%), 4.87%, 01/26/2029 (aa) | | | 73 | | | | 70 | |
UBS Group AG, (Switzerland), | | | | | | | | |
(CMT Index 1 Year + 0.85%), 1.49%, 08/10/2027 (e) (aa) | | | 400 | | | | 343 | |
4.28%, 01/09/2028 (e) | | | 250 | | | | 231 | |
(CMT Index 5 Year + 3.31%), 4.38%, 02/10/2031 (e) (x) (aa) | | | 200 | | | | 141 | |
(CMT Index 1 Year + 1.55%), 4.49%, 05/12/2026 (e) (aa) | | | 504 | | | | 487 | |
(CMT Index 1 Year + 1.55%), 5.71%, 01/12/2027 (e) (aa) | | | 400 | | | | 396 | |
Reg. S, (ICE EURIBOR Swap Rate 1 Year + 4.95%), 7.75%, 03/01/2029 (aa) | | EUR | 123 | | | | 149 | |
UniCredit SpA, (Italy), | | | | | | | | |
Reg. S, (ICE EURIBOR Swap Rate 5 Year + 7.33%), | | | | | | | | |
7.50%, 06/03/2026 (x) (aa) | | EUR | 200 | | | | 214 | |
7.83%, 12/04/2023 (e) | | | 700 | | | | 703 | |
US Bancorp, (United States SOFR + 2.02%), 5.78%, 06/12/2029 (aa) | | | 160 | | | | 160 | |
Wells Fargo & Co., | | | | | | | | |
(United States SOFR + 2.00%), 2.19%, 04/30/2026 (aa) | | | 111 | | | | 104 | |
(United States SOFR + 1.56%), 4.54%, 08/15/2026 (aa) | | | 223 | | | | 218 | |
(United States SOFR + 1.98%), 4.81%, 07/25/2028 (aa) | | | 231 | | | | 226 | |
| | | | | | | | |
| | |
| | | | | | | 101,725 | |
| | | | | | | | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Diversified Financial Services — 2.1% | |
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, (Ireland), | | | | | | | | |
2.88%, 08/14/2024 | | | 336 | | | | 323 | |
3.50%, 01/15/2025 | | | 347 | | | | 332 | |
4.50%, 09/15/2023 | | | 150 | | | | 149 | |
5.75%, 06/06/2028 | | | 150 | | | | 149 | |
Series 3NC1, 1.75%, 10/29/2024 | | | 541 | | | | 508 | |
AG TTMT Escrow Issuer LLC, 8.63%, 09/30/2027 (e) | | | 534 | | | | 547 | |
Air Lease Corp., 3.00%, 09/15/2023 | | | 320 | | | | 318 | |
Aircastle Ltd., (Bermuda), | | | | | | | | |
4.40%, 09/25/2023 | | | 448 | | | | 446 | |
5.25%, 08/11/2025 (e) | | | 120 | | | | 116 | |
Ally Financial, Inc., | | | | | | | | |
1.45%, 10/02/2023 | | | 80 | | | | 79 | |
5.13%, 09/30/2024 | | | 250 | | | | 245 | |
5.75%, 11/20/2025 | | | 329 | | | | 317 | |
American Express Co., | | | | | | | | |
(CMT Index 5 Year + 2.85%), 3.55%, 09/15/2026 (x) (aa) | | | 760 | | | | 631 | |
3.95%, 08/01/2025 | | | 156 | | | | 151 | |
4.90%, 02/13/2026 | | | 137 | | | | 136 | |
(United States SOFR + 1.00%), 4.99%, 05/01/2026 (aa) | | | 312 | | | | 308 | |
5.85%, 11/05/2027 | | | 55 | | | | 56 | |
Aviation Capital Group LLC, | | | | | | | | |
1.95%, 01/30/2026 (e) | | | 175 | | | | 156 | |
1.95%, 09/20/2026 (e) | | | 389 | | | | 337 | |
4.38%, 01/30/2024 (e) | | | 151 | | | | 148 | |
5.50%, 12/15/2024 (e) | | | 300 | | | | 294 | |
Avolon Holdings Funding Ltd., (Cayman Islands), | | | | | | | | |
3.95%, 07/01/2024 (e) | | | 206 | | | | 200 | |
4.25%, 04/15/2026 (e) | | | 520 | | | | 484 | |
Bread Financial Holdings, Inc., 4.75%, 12/15/2024 (e) | | | 1,515 | | | | 1,485 | |
Capital One Financial Corp., | | | | | | | | |
(United States SOFR + 1.37%), 4.17%, 05/09/2025 (aa) | | | 260 | | | | 253 | |
(United States SOFR + 0.69%), 5.78%, 12/06/2024 (aa) | | | 311 | | | | 306 | |
(United States SOFR + 2.64%), 6.31%, 06/08/2029 (aa) | | | 600 | | | | 596 | |
(United States SOFR + 2.86%), 6.38%, 06/08/2034 (aa) | | | 434 | | | | 431 | |
Discover Financial Services, 6.70%, 11/29/2032 | | | 605 | | | | 623 | |
Drawbridge Special Opportunities Fund LP / Drawbridge Special Opportunities Fin, 3.88%, 02/15/2026 (e) | | | 250 | | | | 223 | |
Enact Holdings, Inc., 6.50%, 08/15/2025 (e) | | | 1,618 | | | | 1,590 | |
Encore Capital Group, Inc., Reg. S, 5.38%, 02/15/2026 | | GBP | 200 | | | | 222 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 234 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — continued | | | | | | | | |
Diversified Financial Services — continued | |
Garfunkelux Holdco 3 SA, (Luxembourg), Reg. S, 6.75%, 11/01/2025 | | EUR | 200 | | | | 159 | |
GGAM Finance Ltd., (Cayman Islands), | | | | | | | | |
7.75%, 05/15/2026 (e) | | | 202 | | | | 203 | |
8.00%, 06/15/2028 (e) | | | 202 | | | | 202 | |
Global Aircraft Leasing Co. Ltd., (Cayman Islands), 6.50% (cash), 09/15/2024 (e) (v) | | | 162 | | | | 149 | |
Home Point Capital, Inc., 5.00%, 02/01/2026 (e) | | | 1,840 | | | | 1,650 | |
Intrum AB, (Sweden), Reg. S, 3.13%, 07/15/2024 | | EUR | 78 | | | | 79 | |
Jefferies Finance LLC / JFIN Co-Issuer Corp., 5.00%, 08/15/2028 (e) | | | 3,731 | | | | 3,059 | |
LD Holdings Group LLC, 6.13%, 04/01/2028 (e) | | | 1,403 | | | | 807 | |
LFS Topco LLC, 5.88%, 10/15/2026 (e) | | | 625 | | | | 549 | |
LPL Holdings, Inc., | | | | | | | | |
4.38%, 05/15/2031 (e) | | | 225 | | | | 194 | |
4.63%, 11/15/2027 (e) | | | 245 | | | | 230 | |
Macquarie Airfinance Holdings Ltd., (United Kingdom), 8.38%, 05/01/2028 (e) | | | 325 | | | | 329 | |
Muthoot Finance Ltd., (India), Reg. S, 4.40%, 09/02/2023 | | | 283 | | | | 280 | |
Nationstar Mortgage Holdings, Inc., | | | | | | | | |
5.13%, 12/15/2030 (e) | | | 2,266 | | | | 1,838 | |
5.50%, 08/15/2028 (e) | | | 1,951 | | | | 1,699 | |
5.75%, 11/15/2031 (e) | | | 118 | | | | 97 | |
6.00%, 01/15/2027 (e) | | | 1,339 | | | | 1,246 | |
Navient Corp., | | | | | | | | |
5.50%, 03/15/2029 | | | 2,763 | | | | 2,356 | |
5.88%, 10/25/2024 | | | 190 | | | | 187 | |
6.13%, 03/25/2024 | | | 229 | | | | 227 | |
6.75%, 06/25/2025 | | | 674 | | | | 663 | |
7.25%, 09/25/2023 | | | 108 | | | | 108 | |
9.38%, 07/25/2030 | | | 1,247 | | | | 1,240 | |
NFP Corp., | | | | | | | | |
4.88%, 08/15/2028 (e) | | | 3,370 | | | | 3,010 | |
6.88%, 08/15/2028 (e) | | | 7,804 | | | | 6,775 | |
7.50%, 10/01/2030 (e) | | | 385 | | | | 373 | |
Nuveen Finance LLC, 4.13%, 11/01/2024 (e) | | | 270 | | | | 262 | |
OneMain Finance Corp., | | | | | | | | |
3.50%, 01/15/2027 | | | 391 | | | | 335 | |
3.88%, 09/15/2028 | | | 850 | | | | 695 | |
4.00%, 09/15/2030 | | | 2,835 | | | | 2,176 | |
5.38%, 11/15/2029 | | | 301 | | | | 256 | |
6.13%, 03/15/2024 | | | 106 | | | | 106 | |
6.63%, 01/15/2028 | | | 255 | | | | 240 | |
6.88%, 03/15/2025 | | | 4,895 | | | | 4,847 | |
7.13%, 03/15/2026 | | | 746 | | | | 733 | |
Park Aerospace Holdings Ltd., (Cayman Islands), 5.50%, 02/15/2024 (e) | | | 250 | | | | 247 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Diversified Financial Services — continued | |
PennyMac Financial Services, Inc., | | | | | | | | |
4.25%, 02/15/2029 (e) | | | 925 | | | | 743 | |
5.38%, 10/15/2025 (e) | | | 1,175 | | | | 1,110 | |
Rocket Mortgage LLC / Rocket Mortgage Co-Issuer, Inc., | | | | | | | | |
2.88%, 10/15/2026 (e) | | | 3,932 | | | | 3,480 | |
3.63%, 03/01/2029 (e) | | | 695 | | | | 584 | |
3.88%, 03/01/2031 (e) | | | 640 | | | | 519 | |
4.00%, 10/15/2033 (e) | | | 805 | | | | 630 | |
Shriram Finance Ltd., (India), | | | | | | | | |
Reg. S, 4.15%, 07/18/2025 | | | 1,484 | | | | 1,402 | |
Reg. S, 4.40%, 03/13/2024 | | | 9,878 | | | | 9,644 | |
SLM Corp., 3.13%, 11/02/2026 | | | 61 | | | | 53 | |
| | | | | | | | |
| | |
| | | | | | | 67,930 | |
| | | | | | | | |
Insurance — 1.9% | |
Acrisure LLC / Acrisure Finance, Inc., 6.00%, 08/01/2029 (e) | | | 57 | | | | 49 | |
Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer, | | | | | | | | |
4.25%, 10/15/2027 (e) | | | 5,809 | | | | 5,213 | |
5.88%, 11/01/2029 (e) | | | 6,489 | | | | 5,645 | |
6.75%, 10/15/2027 (e) | | | 11,157 | | | | 10,499 | |
6.75%, 04/15/2028 (e) | | | 2,409 | | | | 2,404 | |
AmWINS Group, Inc., 4.88%, 06/30/2029 (e) | | | 1,509 | | | | 1,362 | |
Aon Corp., 8.21%, 01/01/2027 | | | 269 | | | | 273 | |
BroadStreet Partners, Inc., 5.88%, 04/15/2029 (e) | | | 1,636 | | | | 1,419 | |
CNO Financial Group, Inc., 5.25%, 05/30/2025 | | | 250 | | | | 245 | |
CNO Global Funding, 1.75%, 10/07/2026 (e) | | | 406 | | | | 358 | |
Corebridge Global Funding, 5.75%, 07/02/2026 (e) (w) | | | 66 | | | | 66 | |
Equitable Financial Life Global Funding, | | | | | | | | |
1.40%, 07/07/2025 (e) | | | 183 | | | | 167 | |
5.45%, 03/03/2028 (e) | | | 182 | | | | 179 | |
F&G Annuities & Life, Inc., 7.40%, 01/13/2028 (e) | | | 92 | | | | 92 | |
F&G Global Funding, | | | | | | | | |
1.75%, 06/30/2026 (e) | | | 220 | | | | 195 | |
2.30%, 04/11/2027 (e) | | | 444 | | | | 392 | |
FWD Group Ltd., (Cayman Islands), | | | | | | | | |
Reg. S, (CMT Index 5 Year + 4.88%), 6.38%, 09/13/2024 (x) (aa) | | | 600 | | | | 531 | |
Reg. S, (CMT Index 5 Year + 4.87%), 8.05%, 12/15/2023 (x) (aa) | | | 2,800 | | | | 2,533 | |
GA Global Funding Trust, | | | | | | | | |
0.80%, 09/13/2024 (e) | | | 674 | | | | 627 | |
3.85%, 04/11/2025 (e) | | | 483 | | | | 460 | |
Galaxy Bidco Ltd., (Jersey), Reg. S, 6.50%, 07/31/2026 | | GBP | 157 | | | | 181 | |
GTCR AP Finance, Inc., 8.00%, 05/15/2027 (e) | | | 1,631 | | | | 1,599 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 235 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — continued | | | | | | | | |
Insurance — continued | |
HUB International Ltd., | | | | | | | | |
7.00%, 05/01/2026 (e) | | | 4,798 | | | | 4,783 | |
7.25%, 06/15/2030 (e) | | | 6,471 | | | | 6,690 | |
Jackson National Life Global Funding, 5.50%, 01/09/2026 (e) | | | 500 | | | | 488 | |
Jones Deslauriers Insurance Management, Inc., (Canada), | | | | | | | | |
8.50%, 03/15/2030 (e) | | | 2,293 | | | | 2,339 | |
10.50%, 12/15/2030 (e) | | | 1,119 | | | | 1,123 | |
Muang Thai Life Assurance PCL, (Thailand), Reg. S, (CMT Index 10 Year + 2.40%), 3.55%, 01/27/2037 (aa) | | | 2,400 | | | | 2,075 | |
Peak RE Bvi Holding Ltd., (British Virgin Islands), Reg. S, (CMT Index 5 Year + 5.01%), 5.35%, 10/28/2025 (x) (aa) | | | 2,200 | | | | 1,816 | |
Ryan Specialty LLC, 4.38%, 02/01/2030 (e) | | | 776 | | | | 687 | |
Tongyang Life Insurance Co. Ltd., (South Korea), Reg. S, (CMT Index 5 Year + 4.98%), 5.25%, 09/22/2025 (x) (aa) | | | 2,000 | | | | 1,761 | |
ZhongAn Online P&C Insurance Co. Ltd., (China), Reg. S, 3.13%, 07/16/2025 | | | 4,750 | | | | 4,182 | |
| | | | | | | | |
| | |
| | | | | | | 60,433 | |
| | | | | | | | |
Investment Companies — 1.2% | |
Blackstone Private Credit Fund, | | | | | | | | |
3.25%, 03/15/2027 | | | 498 | | | | 430 | |
7.05%, 09/29/2025 | | | 602 | | | | 601 | |
Compass Group Diversified Holdings LLC, 5.25%, 04/15/2029 (e) | | | 1,450 | | | | 1,271 | |
Huarong Finance 2017 Co. Ltd., (British Virgin Islands), | | | | | | | | |
Reg. S, 4.25%, 11/07/2027 | | | 1,100 | | | | 913 | |
Reg. S, 4.75%, 04/27/2027 | | | 4,700 | | | | 4,053 | |
Huarong Finance 2019 Co. Ltd., (British Virgin Islands), | | | | | | | | |
Reg. S, 3.25%, 11/13/2024 | | | 2,200 | | | | 2,057 | |
Reg. S, 3.75%, 05/29/2024 | | | 1,800 | | | | 1,724 | |
Reg. S, 3.88%, 11/13/2029 | | | 4,300 | | | | 3,304 | |
Reg. S, 4.50%, 05/29/2029 | | | 8,300 | | | | 6,630 | |
Reg. S, (ICE LIBOR USD 3 Month + 1.25%), 6.62%, 02/24/2025 (aa) | | | 1,400 | | | | 1,310 | |
Huarong Finance II Co. Ltd., (British Virgin Islands), | | | | | | | | |
Reg. S, 4.63%, 06/03/2026 | | | 300 | | | | 266 | |
Reg. S, 5.00%, 11/19/2025 | | | 10,200 | | | | 9,381 | |
Icahn Enterprises LP / Icahn Enterprises Finance Corp., | | | | | | | | |
4.38%, 02/01/2029 | | | 1,742 | | | | 1,369 | |
5.25%, 05/15/2027 | | | 2,650 | | | | 2,277 | |
6.25%, 05/15/2026 | | | 358 | | | | 326 | |
Owl Rock Capital Corp., | | | | | | | | |
3.40%, 07/15/2026 | | | 424 | | | | 375 | |
3.75%, 07/22/2025 | | | 529 | | | | 490 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Investment Companies — continued | |
OWL Rock Core Income Corp., | | | | | | | | |
3.13%, 09/23/2026 | | | 284 | | | | 244 | |
5.50%, 03/21/2025 | | | 195 | | | | 188 | |
7.75%, 09/16/2027 (e) | | | 1,603 | | | | 1,594 | |
| | | | | | | | |
| | |
| | | | | | | 38,803 | |
| | | | | | | | |
Real Estate — 3.7% | |
Agile Group Holdings Ltd., (Cayman Islands), | | | | | | | | |
Reg. S, 5.50%, 04/21/2025 | | | 6,300 | | | | 1,570 | |
Reg. S, 5.50%, 05/17/2026 | | | 1,700 | | | | 349 | |
Reg. S, 5.75%, 01/02/2025 | | | 7,350 | | | | 2,222 | |
Reg. S, 6.05%, 10/13/2025 | | | 800 | | | | 186 | |
Agps Bondco plc, (United Kingdom), | | | | | | | | |
Reg. S, 5.50%, 11/13/2026 | | EUR | 200 | | | | 83 | |
Reg. S, 6.00%, 08/05/2025 | | EUR | 100 | | | | 47 | |
China SCE Group Holdings Ltd., (Cayman Islands), | | | | | | | | |
Reg. S, 5.95%, 09/29/2024 | | | 3,450 | | | | 569 | |
Reg. S, 6.00%, 02/04/2026 | | | 4,300 | | | | 516 | |
CIFI Holdings Group Co. Ltd., (Cayman Islands), | | | | | | | | |
Reg. S, 4.45%, 08/17/2026 (d) | | | 4,450 | | | | 482 | |
Reg. S, 6.00%, 07/16/2025 (d) | | | 2,700 | | | | 293 | |
Country Garden Holdings Co. Ltd., (Cayman Islands), | | | | | | | | |
Reg. S, 2.70%, 07/12/2026 | | | 5,900 | | | | 1,762 | |
Reg. S, 3.13%, 10/22/2025 | | | 3,220 | | | | 999 | |
Reg. S, 3.88%, 10/22/2030 | | | 4,773 | | | | 1,341 | |
Reg. S, 4.20%, 02/06/2026 | | | 3,700 | | | | 1,152 | |
Reg. S, 4.80%, 08/06/2030 | | | 4,079 | | | | 1,151 | |
Reg. S, 5.13%, 01/14/2027 | | | 10,752 | | | | 3,325 | |
Reg. S, 5.40%, 05/27/2025 | | | 1,000 | | | | 363 | |
Reg. S, 5.63%, 01/14/2030 | | | 3,200 | | | | 986 | |
Reg. S, 6.50%, 04/08/2024 | | | 2,300 | | | | 1,348 | |
Reg. S, 7.25%, 04/08/2026 | | | 10,500 | | | | 3,641 | |
Reg. S, 8.00%, 01/27/2024 | | | 1,900 | | | | 1,239 | |
Cushman & Wakefield US Borrower LLC, 6.75%, 05/15/2028 (e) | | | 2,168 | | | | 1,962 | |
DIC Asset AG, (Germany), Reg. S, 2.25%, 09/22/2026 | | EUR | 100 | | | | 66 | |
Easy Tactic Ltd., (British Virgin Islands), 7.50% (PIK), 07/11/2025 (v) | | | 400 | | | | 34 | |
7.50% (PIK), 07/11/2027 (v) | | | 14,811 | | | | 1,201 | |
7.50% (PIK), 07/11/2028 (v) | | | 11,551 | | | | 810 | |
Five Point Operating Co. LP / Five Point Capital Corp., 7.88%, 11/15/2025 (e) | | | 2,705 | | | | 2,442 | |
Global Prime Capital Pte Ltd., (Singapore), Reg. S, 5.95%, 01/23/2025 | | | 1,000 | | | | 956 | |
GLP Pte Ltd., (Singapore), | | | | | | | | |
Reg. S, (CMT Index 5 Year + 3.74%), 4.50%, 05/17/2026 (x) (aa) | | | 1,000 | | | | 366 | |
Reg. S, (CMT Index 5 Year + 3.73%), 4.60%, 06/29/2027 (x) (aa) | | | 5,260 | | | | 1,949 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 236 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — continued | | | | | | | | |
Real Estate — continued | |
Greenland Global Investment Ltd., (British Virgin Islands), Reg. S, 7.25%, 01/22/2027 | | | 8,700 | | | | 1,396 | |
Greystar Real Estate Partners LLC, 5.75%, 12/01/2025 (e) | | | 200 | | | | 195 | |
Heimstaden Bostad AB, (Sweden), Reg. S, (EUR Swap Rate 5 Year + 3.91%), 3.38%, 01/15/2026 (x) (aa) | | EUR | 150 | | | | 81 | |
Howard Hughes Corp. (The), | | | | | | | | |
4.13%, 02/01/2029 (e) | | | 206 | | | | 171 | |
4.38%, 02/01/2031 (e) | | | 2,673 | | | | 2,133 | |
5.38%, 08/01/2028 (e) | | | 2,500 | | | | 2,225 | |
Hunt Cos., Inc., 5.25%, 04/15/2029 (e) | | | 2,740 | | | | 2,176 | |
KWG Group Holdings Ltd., (Cayman Islands), Reg. S, 5.95%, 08/10/2025 (d) | | | 4,400 | | | | 436 | |
New Metro Global Ltd., (British Virgin Islands), | | | | | | | | |
Reg. S, 4.50%, 05/02/2026 | | | 1,100 | | | | 454 | |
Reg. S, 4.80%, 12/15/2024 | | | 3,700 | | | | 2,505 | |
Reg. S, 6.80%, 08/05/2023 | | | 7,100 | | | | 6,851 | |
NWD Finance BVI Ltd., (British Virgin Islands), | | | | | | | | |
Reg. S, (CMT Index 5 Year + 5.86%), 4.13%, 03/10/2028 (x) (aa) | | | 5,100 | | | | 3,432 | |
Reg. S, 4.80%, 09/09/2023 (x) | | | 1,600 | | | | 934 | |
Reg. S, (CMT Index 5 Year + 7.89%), 5.25%, 03/22/2026 (x) (aa) | | | 18,000 | | | | 15,696 | |
Reg. S, (CMT Index 3 Year + 6.20%), 6.15%, 03/16/2025 (x) (aa) | | | 2,700 | | | | 2,497 | |
Pakuwon Jati Tbk. PT, (Indonesia), Reg. S, 4.88%, 04/29/2028 | | | 1,000 | | | | 892 | |
PCPD Capital Ltd., (Cayman Islands), Reg. S, 5.13%, 06/18/2026 | | | 900 | | | | 711 | |
Powerlong Real Estate Holdings Ltd., (Cayman Islands), Reg. S, 5.95%, 04/30/2025 | | | 4,700 | | | | 475 | |
Realogy Group LLC / Realogy Co-Issuer Corp., | | | | | | | | |
5.25%, 04/15/2030 (e) | | | 1,005 | | | | 714 | |
5.75%, 01/15/2029 (e) | | | 3,635 | | | | 2,718 | |
RKPF Overseas 2019 A Ltd., (British Virgin Islands), Reg. S, 6.00%, 09/04/2025 | | | 900 | | | | 512 | |
RKPF Overseas 2020 A Ltd., (British Virgin Islands), Reg. S, 5.13%, 07/26/2026 | | | 12,450 | | | | 5,614 | |
Seazen Group Ltd., (Cayman Islands), Reg. S, 4.45%, 07/13/2025 | | | 3,248 | | | | 1,656 | |
Shui On Development Holding Ltd., (Cayman Islands), Reg. S, 5.50%, 06/29/2026 | | | 3,300 | | | | 2,421 | |
Sino-Ocean Land Treasure IV Ltd., (British Virgin Islands), | | | | | | | | |
Reg. S, 2.70%, 01/13/2025 | | | 6,200 | | | | 1,922 | |
Reg. S, 3.25%, 05/05/2026 | | | 13,520 | | | | 4,109 | |
Sunac China Holdings Ltd., (Cayman Islands), | | | | | | | | |
Reg. S, 5.95%, 04/26/2024 (d) | | | 1,500 | | | | 214 | |
Reg. S, 6.50%, 07/09/2023 (d) | | | 9,400 | | | | 1,389 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Real Estate — continued | |
Reg. S, 6.80%, 10/20/2024 (d) | | | 6,800 | | | | 994 | |
Reg. S, 7.95%, 10/11/2023 (d) | | | 2,000 | | | | 291 | |
Theta Capital Pte Ltd., (Singapore), Reg. S, 6.75%, 10/31/2026 | | | 1,200 | | | | 853 | |
Times China Holdings Ltd., (Cayman Islands), | | | | | | | | |
Reg. S, 5.55%, 06/04/2024 (d) | | | 8,800 | | | | 583 | |
Reg. S, 6.60%, 03/02/2023 (d) | | | 1,200 | | | | 79 | |
VLL International, Inc., (Cayman Islands), Reg. S, 5.75%, 11/28/2024 | | | 9,200 | | | | 8,837 | |
Wanda Properties Global Co. Ltd., (British Virgin Islands), Reg. S, 11.00%, 02/13/2026 | | | 900 | | | | 373 | |
Wanda Properties International Co. Ltd., (British Virgin Islands), Reg. S, 7.25%, 01/29/2024 | | | 2,350 | | | | 1,454 | |
Wanda Properties Overseas Ltd., (British Virgin Islands), Reg. S, 6.88%, 07/23/2023 | | | 1,000 | | | | 921 | |
Wheelock MTN BVI Ltd., (British Virgin Islands), Reg. S, 2.38%, 01/25/2026 | | | 3,000 | | | | 2,757 | |
Yanlord Land HK Co. Ltd., (Hong Kong), Reg. S, 5.13%, 05/20/2026 | | | 6,900 | | | | 5,635 | |
| | | | | | | | |
| | |
| | | | | | | 120,716 | |
| | | | | | | | |
REITS — 1.3% | |
American Tower Corp., | | | | | | | | |
1.60%, 04/15/2026 | | | 28 | | | | 25 | |
3.60%, 01/15/2028 | | | 240 | | | | 221 | |
3.65%, 03/15/2027 | | | 429 | | | | 402 | |
Brookfield Property REIT, Inc. / BPR Cumulus LLC / BPR Nimbus LLC / GGSI Sellco LL, 4.50%, 04/01/2027 (e) | | | 65 | | | | 55 | |
Diversified Healthcare Trust, | | | | | | | | |
4.38%, 03/01/2031 | | | 2,200 | | | | 1,603 | |
4.75%, 05/01/2024 | | | 250 | | | | 233 | |
4.75%, 02/15/2028 | | | 4,150 | | | | 2,928 | |
9.75%, 06/15/2025 | | | 2,008 | | | | 1,926 | |
EPR Properties, 4.75%, 12/15/2026 | | | 247 | | | | 225 | |
GLP Capital LP / GLP Financing II, Inc., | | | | | | | | |
3.25%, 01/15/2032 | | | 1,404 | | | | 1,132 | |
5.25%, 06/01/2025 | | | 139 | | | | 136 | |
HAT Holdings I LLC / HAT Holdings II LLC, 3.38%, 06/15/2026 (e) | | | 1,002 | | | | 898 | |
Iron Mountain Information Management Services, Inc., 5.00%, 07/15/2032 (e) | | | 1,443 | | | | 1,246 | |
Iron Mountain UK plc, (United Kingdom), Reg. S, 3.88%, 11/15/2025 | | GBP | 100 | | | | 118 | |
Iron Mountain, Inc., 7.00%, 02/15/2029 (e) | | | 2,430 | | | | 2,435 | |
Kite Realty Group Trust, 4.00%, 03/15/2025 | | | 99 | | | | 94 | |
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., | | | | | | | | |
4.75%, 06/15/2029 (e) | | | 19 | | | | 15 | |
5.25%, 10/01/2025 (e) | | | 201 | | | | 190 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 237 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — continued | | | | | | | | |
REITS — continued | |
MPT Operating Partnership LP / MPT Finance Corp., | | | | | | | | |
2.55%, 12/05/2023 | | GBP | 340 | | | | 415 | |
3.50%, 03/15/2031 | | | 3,440 | | | | 2,370 | |
4.63%, 08/01/2029 | | | 5,354 | | | | 4,049 | |
5.00%, 10/15/2027 | | | 437 | | | | 368 | |
RHP Hotel Properties LP / RHP Finance Corp., | | | | | | | | |
4.50%, 02/15/2029 (e) | | | 1,923 | | | | 1,702 | |
4.75%, 10/15/2027 | | | 1,824 | | | | 1,699 | |
7.25%, 07/15/2028 (e) | | | 1,460 | | | | 1,477 | |
RLJ Lodging Trust LP, 4.00%, 09/15/2029 (e) | | | 159 | | | | 133 | |
Sabra Health Care LP, 5.13%, 08/15/2026 | | | 250 | | | | 235 | |
SBA Communications Corp., | | | | | | | | |
3.13%, 02/01/2029 | | | 3,301 | | | | 2,798 | |
3.88%, 02/15/2027 | | | 1,956 | | | | 1,797 | |
Service Properties Trust, 7.50%, 09/15/2025 | | | 435 | | | | 427 | |
Starwood Property Trust, Inc., 5.50%, 11/01/2023 (e) | | | 2 | | | | 2 | |
Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC, 10.50%, 02/15/2028 (e) | | | 2,009 | | | | 1,993 | |
VICI Properties LP, | | | | | | | | |
4.95%, 02/15/2030 | | | 1,554 | | | | 1,458 | |
5.63%, 05/15/2052 | | | 1,982 | | | | 1,765 | |
VICI Properties LP / VICI Note Co., Inc., | | | | | | | | |
3.50%, 02/15/2025 (e) | | | 625 | | | | 597 | |
3.75%, 02/15/2027 (e) | | | 105 | | | | 96 | |
3.88%, 02/15/2029 (e) | | | 183 | | | | 161 | |
4.13%, 08/15/2030 (e) | | | 146 | | | | 129 | |
4.50%, 01/15/2028 (e) | | | 876 | | | | 805 | |
4.63%, 06/15/2025 (e) | | | 221 | | | | 213 | |
4.63%, 12/01/2029 (e) | | | 2,754 | | | | 2,500 | |
5.63%, 05/01/2024 (e) | | | 611 | | | | 607 | |
5.75%, 02/01/2027 (e) | | | 1,088 | | | | 1,065 | |
Vornado Realty LP, 3.50%, 01/15/2025 | | | 219 | | | | 206 | |
WEA Finance LLC / Westfield UK & Europe Finance plc, 3.75%, 09/17/2024 (e) | | | 500 | | | | 472 | |
| | | | | | | | |
| | |
| | | | | | | 43,421 | |
| | | | | | | | |
Total Financial | | | | | | | 433,028 | |
| | | | | | | | |
Industrial — 10.4% | |
Aerospace/Defense — 2.7% | |
Boeing Co. (The), | | | | | | | | |
1.43%, 02/04/2024 | | | 800 | | | | 778 | |
5.81%, 05/01/2050 | | | 1,505 | | | | 1,494 | |
5.93%, 05/01/2060 | | | 4,120 | | | | 4,075 | |
Bombardier, Inc., (Canada), | | | | | | | | |
6.00%, 02/15/2028 (e) | | | 3,143 | | | | 2,971 | |
7.13%, 06/15/2026 (e) | | | 7,905 | | | | 7,852 | |
7.45%, 05/01/2034 (e) | | | 351 | | | | 400 | |
7.50%, 03/15/2025 (e) | | | 868 | | | | 869 | |
7.50%, 02/01/2029 (e) | | | 5,083 | | | | 5,024 | |
7.88%, 04/15/2027 (e) | | | 10,643 | | | | 10,615 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Aerospace/Defense — continued | |
F-Brasile SpA / F-Brasile US LLC, (Italy), Series XR, 7.38%, 08/15/2026 (e) | | | 2,000 | | | | 1,810 | |
Hexcel Corp., 4.95%, 08/15/2025 | | | 136 | | | | 133 | |
Rolls-Royce plc, (United Kingdom), | | | | | | | | |
3.63%, 10/14/2025 (e) | | | 364 | | | | 344 | |
5.75%, 10/15/2027 (e) | | | 3,045 | | | | 2,968 | |
Spirit AeroSystems, Inc., | | | | | | | | |
7.50%, 04/15/2025 (e) | | | 1,929 | | | | 1,905 | |
9.38%, 11/30/2029 (e) | | | 3,720 | | | | 3,983 | |
TransDigm UK Holdings plc, (United Kingdom), 6.88%, 05/15/2026 | | | 1,075 | | | | 1,065 | |
TransDigm, Inc., | | | | | | | | |
5.50%, 11/15/2027 | | | 400 | | | | 377 | |
6.25%, 03/15/2026 (e) | | | 23,447 | | | | 23,331 | |
6.75%, 08/15/2028 (e) | | | 12,039 | | | | 12,086 | |
7.50%, 03/15/2027 | | | 676 | | | | 677 | |
Triumph Group, Inc., 9.00%, 03/15/2028 (e) | | | 3,939 | | | | 4,021 | |
| | | | | | | | |
| | |
| | | | | | | 86,778 | |
| | | | | | | | |
Building Materials — 1.4% | |
Camelot Return Merger Sub, Inc., 8.75%, 08/01/2028 (e) | | | 3,297 | | | | 3,116 | |
Cornerstone Building Brands, Inc., 6.13%, 01/15/2029 (e) | | | 500 | | | | 395 | |
Eco Material Technologies, Inc., 7.88%, 01/31/2027 (e) | | | 2,100 | | | | 1,987 | |
Emerald Debt Merger Sub LLC, | | | | | | | | |
6.38%, 12/15/2030 (e) | | EUR | 731 | | | | 795 | |
6.63%, 12/15/2030 (e) | | | 11,625 | | | | 11,523 | |
Griffon Corp., 5.75%, 03/01/2028 | | | 705 | | | | 659 | |
HT Troplast GmbH, (Germany), Reg. S, 9.25%, 07/15/2025 | | EUR | 100 | | | | 111 | |
JELD-WEN, Inc., 4.63%, 12/15/2025 (e) | | | 1,731 | | | | 1,677 | |
Knife River Corp., 7.75%, 05/01/2031 (e) | | | 425 | | | | 430 | |
Masonite International Corp., (Canada), | | | | | | | | |
3.50%, 02/15/2030 (e) | | | 97 | | | | 81 | |
5.38%, 02/01/2028 (e) | | | 588 | | | | 561 | |
MIWD Holdco II LLC / MIWD Finance Corp., 5.50%, 02/01/2030 (e) | | | 1,150 | | | | 949 | |
New Enterprise Stone & Lime Co., Inc., | | | | | | | | |
5.25%, 07/15/2028 (e) | | | 881 | | | | 801 | |
9.75%, 07/15/2028 (e) | | | 1,023 | | | | 987 | |
PCF GmbH, (Germany), Reg. S, 4.75%, 04/15/2026 | | EUR | 100 | | | | 84 | |
Smyrna Ready Mix Concrete LLC, 6.00%, 11/01/2028 (e) | | | 5,153 | | | | 4,860 | |
Standard Industries, Inc., | | | | | | | | |
Reg. S, 2.25%, 11/21/2026 | | EUR | 467 | | | | 452 | |
3.38%, 01/15/2031 (e) | | | 5,048 | | | | 4,066 | |
4.38%, 07/15/2030 (e) | | | 3,119 | | | | 2,701 | |
4.75%, 01/15/2028 (e) | | | 157 | | | | 146 | |
5.00%, 02/15/2027 (e) | | | 127 | | | | 121 | |
Summit Materials LLC / Summit Materials Finance Corp., 5.25%, 01/15/2029 (e) | | | 38 | | | | 36 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 238 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — continued | | | | | | | | |
Building Materials — continued | |
Vulcan Materials Co., 5.80%, 03/01/2026 | | | 191 | | | | 191 | |
West China Cement Ltd., (Jersey), Reg. S, 4.95%, 07/08/2026 | | | 9,200 | | | | 6,954 | |
| | | | | | | | |
| | |
| | | | | | | 43,683 | |
| | | | | | | | |
Electrical Components & Equipment — 0.3% | |
Energizer Holdings, Inc., | | | | | | | | |
4.38%, 03/31/2029 (e) | | | 750 | | | | 644 | |
6.50%, 12/31/2027 (e) | | | 1,050 | | | | 1,009 | |
EnerSys, 4.38%, 12/15/2027 (e) | | | 560 | | | | 517 | |
WESCO Distribution, Inc., | | | | | | | | |
7.13%, 06/15/2025 (e) | | | 3,369 | | | | 3,404 | |
7.25%, 06/15/2028 (e) | | | 3,512 | | | | 3,583 | |
| | | | | | | | |
| | | | | | | 9,157 | |
| | | | | | | | |
Electronics — 0.5% | |
AAC Technologies Holdings, Inc., (Cayman Islands), Reg. S, 3.00%, 11/27/2024 | | | 7,350 | | | | 6,949 | |
Coherent Corp., 5.00%, 12/15/2029 (e) | | | 2,103 | | | | 1,898 | |
Imola Merger Corp., 4.75%, 05/15/2029 (e) | | | 2,492 | | | | 2,168 | |
Likewize Corp., 9.75%, 10/15/2025 (e) | | | 1,780 | | | | 1,698 | |
Sensata Technologies BV, (Netherlands), | | | | | | | | |
4.00%, 04/15/2029 (e) | | | 74 | | | | 66 | |
5.88%, 09/01/2030 (e) | | | 464 | | | | 451 | |
Sensata Technologies, Inc., | | | | | | | | |
3.75%, 02/15/2031 (e) | | | 326 | | | | 278 | |
4.38%, 02/15/2030 (e) | | | 3,942 | | | | 3,521 | |
TD SYNNEX Corp., 1.25%, 08/09/2024 | | | 825 | | | | 780 | |
| | | | | | | | |
| | |
| | | | | | | 17,809 | |
| | | | | | | | |
Engineering & Construction — 0.8% | |
Abertis Infraestructuras Finance BV, (Netherlands), Reg. S, (EUR Swap Rate 5 Year + 3.69%), 3.25%, 11/24/2025 (x) (aa) | | EUR | 300 | | | | 293 | |
Arcosa, Inc., 4.38%, 04/15/2029 (e) | | | 1,705 | | | | 1,528 | |
Azzurra Aeroporti SpA, (Italy), Reg. S, 2.13%, 05/30/2024 | | EUR | 323 | | | | 341 | |
Celestial Miles Ltd., (British Virgin Islands), Reg. S, (CMT Index 5 Year + 8.21%), 5.75%, 01/31/2024 (x) (aa) | | | 11,500 | | | | 11,326 | |
Cellnex Finance Co. SA, (Spain), | | | | | | | | |
Reg. S, 1.00%, 09/15/2027 | | EUR | 100 | | | | 94 | |
Reg. S, 1.25%, 01/15/2029 | | EUR | 300 | | | | 271 | |
Reg. S, 1.50%, 06/08/2028 | | EUR | 100 | | | | 93 | |
Reg. S, 2.00%, 02/15/2033 | | EUR | 100 | | | | 85 | |
Cellnex Telecom SA, (Spain), Reg. S, 1.75%, 10/23/2030 | | EUR | 100 | | | | 88 | |
Dycom Industries, Inc., 4.50%, 04/15/2029 (e) | | | 343 | | | | 311 | |
Ferrovial Netherlands BV, (Netherlands), Reg. S, (EUR Swap Rate 5 Year + 2.13%), 5.11%, 05/14/2024 (x) (aa) | | EUR | 100 | | | | 108 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Engineering & Construction — continued | |
Gatwick Airport Finance plc, (United Kingdom), Reg. S, 4.38%, 04/07/2026 | | GBP | 172 | | | | 198 | |
GMR Hyderabad International Airport Ltd., (India), | | | | | | | | |
Reg. S, 4.25%, 10/27/2027 | | | 1,700 | | | | 1,497 | |
Reg. S, 4.75%, 02/02/2026 | | | 7,650 | | | | 7,256 | |
Heathrow Finance plc, (United Kingdom), Reg. S, 5.75%, 03/03/2025 | | GBP | 200 | | | | 246 | |
India Airport Infra, (Mauritius), Reg. S, 6.25%, 10/25/2025 | | | 1,700 | | | | 1,645 | |
Infrastrutture Wireless Italiane SpA, (Italy), Reg. S, 1.63%, 10/21/2028 | | EUR | 200 | | | | 191 | |
TopBuild Corp., 3.63%, 03/15/2029 (e) | | | 500 | | | | 435 | |
| | | | | | | | |
| | |
| | | | | | | 26,006 | |
| | | | | | | | |
Environmental Control — 0.6% | |
Clean Harbors, Inc., | | | | | | | | |
4.88%, 07/15/2027 (e) | | | 252 | | | | 241 | |
5.13%, 07/15/2029 (e) | | | 41 | | | | 39 | |
6.38%, 02/01/2031 (e) | | | 774 | | | | 779 | |
Covanta Holding Corp., | | | | | | | | |
4.88%, 12/01/2029 (e) | | | 1,882 | | | | 1,628 | |
5.00%, 09/01/2030 | | | 156 | | | | 132 | |
GFL Environmental, Inc., (Canada), | | | | | | | | |
3.50%, 09/01/2028 (e) | | | 459 | | | | 408 | |
3.75%, 08/01/2025 (e) | | | 811 | | | | 772 | |
4.00%, 08/01/2028 (e) | | | 1,587 | | | | 1,419 | |
4.25%, 06/01/2025 (e) | | | 78 | | | | 75 | |
4.38%, 08/15/2029 (e) | | | 2,781 | | | | 2,475 | |
4.75%, 06/15/2029 (e) | | | 2,403 | | | | 2,196 | |
5.13%, 12/15/2026 (e) | | | 2,644 | | | | 2,551 | |
Madison IAQ LLC, 5.88%, 06/30/2029 (e) | | | 1,191 | | | | 965 | |
Paprec Holding SA, (France), Reg. S, 3.50%, 07/01/2028 | | EUR | 100 | | | | 96 | |
Waste Pro USA, Inc., 5.50%, 02/15/2026 (e) | | | 5,451 | | | | 5,053 | |
| | | | | | | | |
| | |
| | | | | | | 18,829 | |
| | | | | | | | |
Hand/Machine Tools — 0.2% | |
Regal Rexnord Corp., | | | | | | | | |
6.05%, 02/15/2026 (e) | | | 114 | | | | 114 | |
6.05%, 04/15/2028 (e) | | | 1,944 | | | | 1,925 | |
6.30%, 02/15/2030 (e) | | | 1,600 | | | | 1,595 | |
6.40%, 04/15/2033 (e) | | | 1,490 | | | | 1,488 | |
| | | | | | | | |
| | | | | | | 5,122 | |
| | | | | | | | |
Machinery — Construction & Mining — 0.2% | |
BWX Technologies, Inc., | | | | | | | | |
4.13%, 06/30/2028 (e) | | | 341 | | | | 311 | |
4.13%, 04/15/2029 (e) | | | 2,058 | | | | 1,857 | |
Terex Corp., 5.00%, 05/15/2029 (e) | | | 2,552 | | | | 2,373 | |
Vertiv Group Corp., 4.13%, 11/15/2028 (e) | | | 2,875 | | | | 2,590 | |
| | | | | | | | |
| | |
| | | | | | | 7,131 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 239 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — continued | | | | | | | | |
Machinery — Diversified — 0.9% | |
ATS Corp., (Canada), 4.13%, 12/15/2028 (e) | | | 114 | | | | 102 | |
Chart Industries, Inc., | | | | | | | | |
7.50%, 01/01/2030 (e) | | | 3,342 | | | | 3,409 | |
9.50%, 01/01/2031 (e) | | | 1,618 | | | | 1,717 | |
GrafTech Finance, Inc., 4.63%, 12/15/2028 (e) | | | 1,294 | | | | 1,051 | |
GrafTech Global Enterprises, Inc., 9.88%, 12/15/2028 (e) | | | 1,244 | | | | 1,235 | |
Husky III Holding Ltd., (Canada), 13.00% (cash), 02/15/2025 (e) (v) | | | 122 | | | | 111 | |
Maxim Crane Works Holdings Capital LLC, 10.13%, 08/01/2024 (e) | | | 3,671 | | | | 3,653 | |
Mueller Water Products, Inc., 4.00%, 06/15/2029 (e) | | | 1,088 | | | | 965 | |
OT Merger Corp., 7.88%, 10/15/2029 (e) | | | 394 | | | | 246 | |
Renk AG / Frankfurt am Main, (Germany), Reg. S, 5.75%, 07/15/2025 | | EUR | 200 | | | | 215 | |
Titan Acquisition Ltd. / Titan Co-Borrower LLC, (Multinational), 7.75%, 04/15/2026 (e) | | | 6,387 | | | | 5,796 | |
TK Elevator Holdco GmbH, (Germany), 7.63%, 07/15/2028 (e) | | | 2,311 | | | | 2,097 | |
TK Elevator Midco GmbH, (Germany), Reg. S, 4.38%, 07/15/2027 | | EUR | 485 | | | | 472 | |
TK Elevator US Newco, Inc., 5.25%, 07/15/2027 (e) | | | 6,816 | | | | 6,298 | |
Westinghouse Air Brake Technologies Corp., 4.38%, 08/15/2023 | | | 200 | | | | 200 | |
| | | | | | | | |
| | |
| | | | | | | 27,567 | |
| | | | | | | | |
Metal Fabricate/Hardware — 0.1% | |
Advanced Drainage Systems, Inc., | | | | | | | | |
5.00%, 09/30/2027 (e) | | | 564 | | | | 534 | |
6.38%, 06/15/2030 (e) | | | 3,319 | | | | 3,283 | |
Roller Bearing Co. of America, Inc., 4.38%, 10/15/2029 (e) | | | 695 | | | | 623 | |
Vallourec SA, (France), Reg. S, 8.50%, 06/30/2026 | | EUR | 200 | | | | 218 | |
| | | | | | | | |
| | |
| | | | | | | 4,658 | |
| | | | | | | | |
Miscellaneous Manufacturers — 0.2% | |
Amsted Industries, Inc., | | | | | | | | |
4.63%, 05/15/2030 (e) | | | 1,391 | | | | 1,241 | |
5.63%, 07/01/2027 (e) | | | 297 | | | | 287 | |
Gates Global LLC / Gates Corp., 6.25%, 01/15/2026 (e) | | | 2,751 | | | | 2,709 | |
Trinity Industries, Inc., 7.75%, 07/15/2028 (e) | | | 775 | | | | 780 | |
| | | | | | | | |
| | |
| | | | | | | 5,017 | |
| | | | | | | | |
Packaging & Containers — 2.0% | |
ARD Finance SA, (Luxembourg), 6.50% (cash), 06/30/2027 (e) (v) | | | 5,528 | | | | 4,481 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Packaging & Containers — continued | |
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc, (Multinational), | | | | | | | | |
Reg. S, 2.00%, 09/01/2028 | | EUR | 100 | | | | 91 | |
Reg. S, 3.00%, 09/01/2029 | | EUR | 300 | | | | 243 | |
3.25%, 09/01/2028 (e) | | | 926 | | | | 796 | |
4.00%, 09/01/2029 (e) | | | 6,567 | | | | 5,201 | |
6.00%, 06/15/2027 (e) | | | 824 | | | | 809 | |
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc., (Multinational), | | | | | | | | |
Reg. S, 2.13%, 08/15/2026 | | EUR | 938 | | | | 908 | |
4.13%, 08/15/2026 (e) | | | 500 | | | | 466 | |
Reg. S, 4.75%, 07/15/2027 | | GBP | 100 | | | | 100 | |
5.25%, 04/30/2025 (e) | | | 200 | | | | 196 | |
5.25%, 08/15/2027 (e) | | | 1,294 | | | | 1,095 | |
Ball Corp., | | | | | | | | |
3.13%, 09/15/2031 | | | 354 | | | | 291 | |
6.00%, 06/15/2029 | | | 864 | | | | 858 | |
Clydesdale Acquisition Holdings, Inc., | | | | | | | | |
6.63%, 04/15/2029 (e) | | | 2,692 | | | | 2,567 | |
8.75%, 04/15/2030 (e) | | | 2,605 | | | | 2,298 | |
Crown Americas LLC, 5.25%, 04/01/2030 | | | 422 | | | | 402 | |
Crown European Holdings SA, (France), | | | | | | | | |
Reg. S, 3.38%, 05/15/2025 | | EUR | 100 | | | | 107 | |
Reg. S, 5.00%, 05/15/2028 | | EUR | 100 | | | | 110 | |
Fiber Bidco Spa, (Italy), Reg. S, 11.00%, 10/25/2027 | | EUR | 100 | | | | 116 | |
Graham Packaging Co., Inc., 7.13%, 08/15/2028 (e) | | | 1,375 | | | | 1,174 | |
Graphic Packaging International LLC, | | | | | | | | |
Reg. S, 2.63%, 02/01/2029 | | EUR | 400 | | | | 383 | |
4.13%, 08/15/2024 | | | 475 | | | | 464 | |
4.75%, 07/15/2027 (e) | | | 648 | | | | 616 | |
Intelligent Packaging Holdco Issuer LP, (Canada), 9.00% (cash), 01/15/2026 (e) (v) | | | 1,775 | | | | 1,342 | |
Intelligent Packaging Ltd. Finco, Inc. / Intelligent Packaging Ltd. Co-Issuer LLC, (Canada), 6.00%, 09/15/2028 (e) | | | 1,539 | | | | 1,306 | |
Kleopatra Finco Sarl, (Luxembourg), Reg. S, 4.25%, 03/01/2026 | | EUR | 140 | | | | 127 | |
LABL, Inc., | | | | | | | | |
5.88%, 11/01/2028 (e) | | | 2,645 | | | | 2,405 | |
6.75%, 07/15/2026 (e) | | | 2,525 | | | | 2,482 | |
8.25%, 11/01/2029 (e) | | | 800 | | | | 669 | |
9.50%, 11/01/2028 (e) | | | 2,510 | | | | 2,554 | |
10.50%, 07/15/2027 (e) | | | 925 | | | | 888 | |
Mauser Packaging Solutions Holding Co., | | | | | | | | |
7.88%, 08/15/2026 (e) | | | 15,671 | | | | 15,548 | |
9.25%, 04/15/2027 (e) | | | 430 | | | | 397 | |
OI European Group BV, (Netherlands), | | | | | | | | |
4.75%, 02/15/2030 (e) | | | 300 | | | | 268 | |
6.25%, 05/15/2028 (e) | | EUR | 568 | | | | 633 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 240 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — continued | | | | | | | | |
Packaging & Containers — continued | |
Owens-Brockway Glass Container, Inc., | | | | | | | | |
6.63%, 05/13/2027 (e) | | | 527 | | | | 522 | |
7.25%, 05/15/2031 (e) | | | 1,459 | | | | 1,477 | |
Pactiv Evergreen Group Issuer LLC / Pactiv Evergreen Group Issuer, Inc., 4.38%, 10/15/2028 (e) | | | 875 | | | | 758 | |
Sealed Air Corp., 4.00%, 12/01/2027 (e) | | | 89 | | | | 81 | |
Sealed Air Corp. / Sealed Air Corp. US, 6.13%, 02/01/2028 (e) | | | 1,516 | | | | 1,505 | |
Trident TPI Holdings, Inc., 12.75%, 12/31/2028 (e) | | | 2,128 | | | | 2,207 | |
TriMas Corp., 4.13%, 04/15/2029 (e) | | | 525 | | | | 468 | |
Trivium Packaging Finance BV, (Netherlands), | | | | | | | | |
5.50%, 08/15/2026 (e) | | | 2,218 | | | | 2,130 | |
8.50%, 08/15/2027 (e) | | | 4,398 | | | | 4,233 | |
| | | | | | | | |
| | | | | | | 65,772 | |
| | | | | | | | |
Shipbuilding — 0.0% (g) | |
Huntington Ingalls Industries, Inc., 4.20%, 05/01/2030 | | | 349 | | | | 323 | |
| | | | | | | | |
Transportation — 0.3% | |
MISC Capital Two Labuan Ltd., (Malaysia), Reg. S, 3.75%, 04/06/2027 | | | 1,800 | | | | 1,684 | |
Poste Italiane SpA, (Italy), Reg. S, (ICE EURIBOR Swap Rate 5 Year + 2.68%), 2.63%, 03/24/2029 (x) (aa) | | EUR | 200 | | | | 165 | |
XPO Escrow Sub LLC, 7.50%, 11/15/2027 (e) | | | 708 | | | | 724 | |
XPO, Inc., | | | | | | | | |
6.25%, 06/01/2028 (e) | | | 646 | | | | 635 | |
7.13%, 06/01/2031 (e) | | | 150 | | | | 151 | |
Yunda Holding Investment Ltd., (British Virgin Islands), Reg. S, 2.25%, 08/19/2025 | | | 6,300 | | | | 5,658 | |
| | | | | | | | |
| | |
| | | | | | | 9,017 | |
| | | | | | | | |
Trucking & Leasing — 0.2% | |
Fortress Transportation and Infrastructure Investors LLC, | | | | | | | | |
5.50%, 05/01/2028 (e) | | | 4,169 | | | | 3,815 | |
6.50%, 10/01/2025 (e) | | | 3,164 | | | | 3,117 | |
9.75%, 08/01/2027 (e) | | | 1,034 | | | | 1,068 | |
| | | | | | | | |
| | |
| | | | | | | 8,000 | |
| | | | | | | | |
Total Industrial | | | | | | | 334,869 | |
| | | | | | | | |
Technology — 3.8% | |
Computers — 0.9% | |
Atos SE, (France), | | | | | | | | |
Reg. S, 1.75%, 05/07/2025 | | EUR | 100 | | | | 92 | |
Reg. S, 2.50%, 11/07/2028 | | EUR | 100 | | | | 80 | |
Banff Merger Sub, Inc., Reg. S, 8.38%, 09/01/2026 | | EUR | 106 | | | | 111 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Computers — continued | |
Booz Allen Hamilton, Inc., | | | | | | | | |
3.88%, 09/01/2028 (e) | | | 393 | | | | 357 | |
4.00%, 07/01/2029 (e) | | | 2,182 | | | | 1,943 | |
CA Magnum Holdings, (Mauritius), 5.38%, 10/31/2026 (e) | | | 3,578 | | | | 3,204 | |
Reg. S, 5.38%, 10/31/2026 | | | 9,050 | | | | 8,103 | |
Dell International LLC / EMC Corp., | | | | | | | | |
4.90%, 10/01/2026 | | | 200 | | | | 198 | |
6.02%, 06/15/2026 | | | 407 | | | | 414 | |
KBR, Inc., 4.75%, 09/30/2028 (e) | | | 323 | | | | 293 | |
Lenovo Group Ltd., (Hong Kong), 5.83%, 01/27/2028 (e) | | | 1,600 | | | | 1,596 | |
McAfee Corp., 7.38%, 02/15/2030 (e) | | | 4,995 | | | | 4,343 | |
NCR Corp., | | | | | | | | |
5.00%, 10/01/2028 (e) | | | 788 | | | | 703 | |
5.13%, 04/15/2029 (e) | | | 1,551 | | | | 1,373 | |
5.25%, 10/01/2030 (e) | | | 1,052 | | | | 914 | |
5.75%, 09/01/2027 (e) | | | 500 | | | | 500 | |
6.13%, 09/01/2029 (e) | | | 850 | | | | 851 | |
Presidio Holdings, Inc., 4.88%, 02/01/2027 (e) | | | 203 | | | | 190 | |
Seagate HDD Cayman, (Cayman Islands), | | | | | | | | |
8.25%, 12/15/2029 (e) | | | 1,615 | | | | 1,687 | |
8.50%, 07/15/2031 (e) | | | 2,047 | | | | 2,147 | |
Tempo Acquisition LLC / Tempo Acquisition Finance Corp., 5.75%, 06/01/2025 (e) | | | 949 | | | | 948 | |
| | | | | | | | |
| | |
| | | | | | | 30,047 | |
| | | | | | | | |
Office/Business & Equipment — 0.0% (g) | |
CDW LLC / CDW Finance Corp., 3.25%, 02/15/2029 | | | 689 | | | | 590 | |
| | | | | | | | |
Semiconductors — 0.5% | |
Entegris Escrow Corp., | | | | | | | | |
4.75%, 04/15/2029 (e) | | | 8,379 | | | | 7,754 | |
5.95%, 06/15/2030 (e) | | | 817 | | | | 783 | |
Entegris, Inc., 4.38%, 04/15/2028 (e) | | | 476 | | | | 432 | |
Microchip Technology, Inc., 4.25%, 09/01/2025 | | | 712 | | | | 690 | |
Qorvo, Inc., 1.75%, 12/15/2024 (e) | | | 78 | | | | 72 | |
SK Hynix, Inc., (South Korea), 1.50%, 01/19/2026 (e) | | | 731 | | | | 648 | |
Reg. S, 1.50%, 01/19/2026 | | | 1,150 | | | | 1,019 | |
6.38%, 01/17/2028 (e) | | | 1,900 | | | | 1,907 | |
Synaptics, Inc., 4.00%, 06/15/2029 (e) | | | 882 | | | | 739 | |
| | | | | | | | |
| | |
| | | | | | | 14,044 | |
| | | | | | | | |
Software — 2.4% | |
Alteryx, Inc., 8.75%, 03/15/2028 (e) | | | 1,050 | | | | 1,031 | |
AthenaHealth Group, Inc., 6.50%, 02/15/2030 (e) | | | 8,667 | | | | 7,295 | |
Black Knight InfoServ LLC, 3.63%, 09/01/2028 (e) | | | 5,643 | | | | 5,050 | |
Boxer Parent Co., Inc., | | | | | | | | |
Reg. S, 6.50%, 10/02/2025 | | EUR | 300 | | | | 323 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 241 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — continued | | | | | | | | |
Software — continued | |
7.13%, 10/02/2025 (e) | | | 4,613 | | | | 4,611 | |
9.13%, 03/01/2026 (e) | | | 2,309 | | | | 2,297 | |
Camelot Finance SA, (Luxembourg), 4.50%, 11/01/2026 (e) | | | 279 | | | | 263 | |
Capstone Borrower, Inc., 8.00%, 06/15/2030 (e) | | | 1,410 | | | | 1,392 | |
Cedacri Mergeco SPA, (Italy), Reg. S, (ICE LIBOR EUR 3 Month + 5.50%), 8.88%, 05/15/2028 (aa) | | EUR | 100 | | | | 105 | |
Central Parent, Inc. / CDK Global, Inc., 7.25%, 06/15/2029 (e) | | | 2,893 | | | | 2,864 | |
Clarivate Science Holdings Corp., | | | | | | | | |
3.88%, 07/01/2028 (e) | | | 5,417 | | | | 4,802 | |
4.88%, 07/01/2029 (e) | | | 4,216 | | | | 3,740 | |
Cloud Software Group, Inc., | | | | | | | | |
6.50%, 03/31/2029 (e) | | | 14,789 | | | | 13,169 | |
9.00%, 09/30/2029 (e) | | | 6,644 | | | | 5,775 | |
Consensus Cloud Solutions, Inc., 6.50%, 10/15/2028 (e) | | | 60 | | | | 51 | |
Dun & Bradstreet Corp. (The), 5.00%, 12/15/2029 (e) | | | 3,307 | | | | 2,916 | |
Elastic NV, (Netherlands), 4.13%, 07/15/2029 (e) | | | 2,106 | | | | 1,817 | |
Fair Isaac Corp., 4.00%, 06/15/2028 (e) | | | 1,672 | | | | 1,534 | |
MicroStrategy, Inc., 6.13%, 06/15/2028 (e) | | | 1,725 | | | | 1,547 | |
MSCI, Inc., | | | | | | | | |
3.25%, 08/15/2033 (e) | | | 20 | | | | 16 | |
3.63%, 09/01/2030 (e) | | | 209 | | | | 180 | |
3.88%, 02/15/2031 (e) | | | 818 | | | | 709 | |
Open Text Corp., (Canada), 6.90%, 12/01/2027 (e) | | | 3,835 | | | | 3,904 | |
Oracle Corp., | | | | | | | | |
2.30%, 03/25/2028 | | | 615 | | | | 543 | |
2.50%, 04/01/2025 | | | 74 | | | | 70 | |
PTC, Inc., 3.63%, 02/15/2025 (e) | | | 536 | | | | 518 | |
SS&C Technologies, Inc., 5.50%, 09/30/2027 (e) | | | 4,622 | | | | 4,425 | |
Twilio, Inc., | | | | | | | | |
3.63%, 03/15/2029 | | | 228 | | | | 194 | |
3.88%, 03/15/2031 | | | 2,281 | | | | 1,899 | |
Veritas US, Inc. / Veritas Bermuda Ltd., 7.50%, 09/01/2025 (e) | | | 321 | | | | 261 | |
ZoomInfo Technologies LLC / ZoomInfo Finance Corp., 3.88%, 02/01/2029 (e) | | | 4,628 | | | | 3,982 | |
| | | | | | | | |
| | |
| | | | | | | 77,283 | |
| | | | | | | | |
Total Technology | | | | | | | 121,964 | |
| | | | | | | | |
Utilities — 3.6% | |
Electric — 3.5% | |
ACEN Finance Ltd., (Cayman Islands), Reg. S, 4.00%, 03/08/2025 (x) | | | 5,000 | | | | 3,440 | |
Adani Green Energy Ltd., (India), Reg. S, 4.38%, 09/08/2024 | | | 1,500 | | | | 1,386 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Electric — continued | |
AES Corp. (The), | | | | | | | | |
3.30%, 07/15/2025 (e) | | | 527 | | | | 498 | |
5.45%, 06/01/2028 | | | 179 | | | | 175 | |
Alexander Funding Trust, 1.84%, 11/15/2023 (e) | | | 560 | | | | 548 | |
American Electric Power Co., Inc., 5.75%, 11/01/2027 | | | 67 | | | | 68 | |
Black Hills Corp., 5.95%, 03/15/2028 | | | 137 | | | | 139 | |
Calpine Corp., | | | | | | | | |
3.75%, 03/01/2031 (e) | | | 2,455 | | | | 1,989 | |
4.50%, 02/15/2028 (e) | | | 1,273 | | | | 1,153 | |
4.63%, 02/01/2029 (e) | | | 3,235 | | | | 2,729 | |
5.00%, 02/01/2031 (e) | | | 3,900 | | | | 3,226 | |
5.13%, 03/15/2028 (e) | | | 8,223 | | | | 7,338 | |
Cikarang Listrindo Tbk. PT, (Indonesia), Reg. S, 4.95%, 09/14/2026 | | | 6,400 | | | | 6,095 | |
Clean Renewable Power Mauritius Pte Ltd., (Mauritius), Reg. S, 4.25%, 03/25/2027 | | | 3,581 | | | | 3,135 | |
Clearway Energy Operating LLC, | | | | | | | | |
3.75%, 01/15/2032 (e) | | | 832 | | | | 678 | |
4.75%, 03/15/2028 (e) | | | 1,589 | | | | 1,466 | |
Comision Federal de Electricidad, (Mexico), Reg. S, 4.75%, 02/23/2027 | | | 200 | | | | 191 | |
Constellation Energy Generation LLC, 5.60%, 03/01/2028 | | | 127 | | | | 128 | |
Diamond II Ltd., (Mauritius), 7.95%, 07/28/2026 (e) | | | 1,000 | | | | 984 | |
Duke Energy Corp., | | | | | | | | |
2.65%, 09/01/2026 | | | 94 | | | | 87 | |
5.00%, 12/08/2025 | | | 58 | | | | 57 | |
Edison International, | | | | | | | | |
Series A, (CMT Index 5 Year + 4.70%), 5.38%, 03/15/2026 (x) (aa) | | | 792 | | | | 692 | |
Series B, (CMT Index 5 Year + 3.90%), 5.00%, 12/15/2026 (x) (aa) | | | 329 | | | | 284 | |
EDP — Energias de Portugal SA, (Portugal), | | | | | | | | |
Reg. S, (EUR Swap Rate 5 Year + 1.84%), 1.70%, 07/20/2080 (aa) | | EUR | 100 | | | | 99 | |
Reg. S, (EUR Swap Rate 5 Year + 2.38%), 1.88%, 08/02/2081 (aa) | | EUR | 200 | | | | 192 | |
Electricite de France SA, (France), | | | | | | | | |
Reg. S, (EUR Swap Rate 5 Year + 3.97%), 3.38%, 06/15/2030 (x) (aa) | | EUR | 400 | | | | 334 | |
5.70%, 05/23/2028 (e) | | | 260 | | | | 260 | |
Enel SpA, (Italy), Reg. S, (ICE EURIBOR Swap Rate 5 Year + 3.49%), 6.38%, 04/16/2028 (x) (aa) | | | EUR 100 | | | | 110 | |
Evergy Missouri West, Inc., 5.15%, 12/15/2027 (e) | | | 234 | | | | 231 | |
Fells Point Funding Trust, 3.05%, 01/31/2027 (e) | | | 524 | | | | 482 | |
FirstEnergy Corp., 2.05%, 03/01/2025 | | | 330 | | | | 308 | |
FirstEnergy Transmission LLC, | | | | | | | | |
4.35%, 01/15/2025 (e) | | | 223 | | | | 217 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 242 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Corporate Bonds — continued | | | | | | | | |
Electric — continued | |
4.55%, 04/01/2049 (e) | | | 147 | | | | 123 | |
5.45%, 07/15/2044 (e) | | | 642 | | | | 593 | |
Jersey Central Power & Light Co., 4.70%, 04/01/2024 (e) | | | 312 | | | | 309 | |
JSW Hydro Energy Ltd., (India), Reg. S, 4.13%, 05/18/2031 | | | 4,872 | | | | 4,101 | |
Minejesa Capital BV, (Netherlands), Reg. S, 4.63%, 08/10/2030 | | | 4,700 | | | | 4,207 | |
Mong Duong Finance Holdings BV, (Netherlands), Reg. S, 5.13%, 05/07/2029 | | | 7,439 | | | | 6,528 | |
National Grid plc, (United Kingdom), 5.60%, 06/12/2028 | | | 91 | | | | 91 | |
Naturgy Finance BV, (Netherlands), Reg. S, (EUR Swap Rate 5 Year + 2.44%), 2.37%, 11/23/2026 (x) (aa) | | EUR | 300 | | | | 287 | |
NRG Energy, Inc., | | | | | | | | |
3.63%, 02/15/2031 (e) | | | 2,185 | | | | 1,703 | |
3.88%, 02/15/2032 (e) | | | 1,700 | | | | 1,310 | |
5.25%, 06/15/2029 (e) | | | 1,304 | | | | 1,166 | |
5.75%, 01/15/2028 | | | 1,555 | | | | 1,473 | |
6.63%, 01/15/2027 | | | 538 | | | | 534 | |
7.00%, 03/15/2033 (e) | | | 920 | | | | 928 | |
(CMT Index 5 Year + 5.92%), 10.25%, 03/15/2028 (e) (x) (aa) | | | 3,626 | | | | 3,410 | |
Pacific Gas and Electric Co., | | | | | | | | |
1.70%, 11/15/2023 | | | 94 | | | | 93 | |
3.15%, 01/01/2026 | | | 529 | | | | 491 | |
3.75%, 02/15/2024 | | | 232 | | | | 228 | |
6.10%, 01/15/2029 | | | 1,083 | | | | 1,065 | |
6.40%, 06/15/2033 | | | 1,597 | | | | 1,587 | |
6.75%, 01/15/2053 | | | 779 | | | | 765 | |
Palomino Funding Trust I, 7.23%, 05/17/2028 (e) | | | 698 | | | | 698 | |
Pattern Energy Operations LP / Pattern Energy Operations, Inc., 4.50%, 08/15/2028 (e) | | | 1,096 | | | | 1,001 | |
PG&E Corp., 5.25%, 07/01/2030 | | | 3,086 | | | | 2,766 | |
Public Service Enterprise Group, Inc., 5.85%, 11/15/2027 | | | 133 | | | | 136 | |
ReNew Wind Energy AP2 / ReNew Power Pvt Ltd. other 9 Subsidiaries, (India), Reg. S, 4.50%, 07/14/2028 | | | 10,000 | | | | 8,525 | |
SMC Global Power Holdings Corp., (Philippines), | | | | | | | | |
Reg. S, (CMT Index 5 Year + 6.61%), 6.50%, 04/25/2024 (x) (aa) | | | 250 | | | | 220 | |
Reg. S, (CMT Index 5 Year + 9.20%), 7.00%, 10/21/2025 (x) (aa) | | | 10,150 | | | | 8,379 | |
Star Energy Geothermal Wayang Windu Ltd., (British Virgin Islands), Reg. S, 6.75%, 04/24/2033 | | | 4,703 | | | | 4,604 | |
System Energy Resources, Inc., 6.00%, 04/15/2028 | | | 832 | | | | 820 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Electric — continued | |
Talen Energy Supply LLC, 8.63%, 06/01/2030 (e) | | | 606 | | | | 627 | |
TransAlta Corp., (Canada), 7.75%, 11/15/2029 | | | 772 | | | | 795 | |
Vistra Corp., | | | | | | | | |
(CMT Index 5 Year + 5.74%), 7.00%, 12/15/2026 (e) (x) (aa) | | | 2,549 | | | | 2,224 | |
(CMT Index 5 Year + 6.93%), 8.00%, 10/15/2026 (e) (x) (aa) | | | 1,525 | | | | 1,426 | |
Vistra Operations Co. LLC, | | | | | | | | |
3.55%, 07/15/2024 (e) | | | 622 | | | | 601 | |
4.38%, 05/01/2029 (e) | | | 6,400 | | | | 5,606 | |
4.88%, 05/13/2024 (e) | | | 495 | | | | 485 | |
5.00%, 07/31/2027 (e) | | | 90 | | | | 84 | |
5.50%, 09/01/2026 (e) | | | 1,035 | | | | 996 | |
5.63%, 02/15/2027 (e) | | | 2,353 | | | | 2,255 | |
| | | | | | | | |
| | |
| | | | | | | 111,959 | |
| | | | | | | | |
Gas — 0.1% | |
AmeriGas Partners LP / AmeriGas Finance Corp., | | | | | | | | |
5.50%, 05/20/2025 | | | 1,330 | | | | 1,284 | |
5.88%, 08/20/2026 | | | 1,780 | | | | 1,674 | |
9.38%, 06/01/2028 (e) | | | 1,229 | | | | 1,248 | |
Brooklyn Union Gas Co. (The), 4.63%, 08/05/2027 (e) | | | 162 | | | | 155 | |
CenterPoint Energy Resources Corp., 5.25%, 03/01/2028 | | | 78 | | | | 78 | |
National Fuel Gas Co., 5.50%, 01/15/2026 | | | 289 | | | | 285 | |
NiSource, Inc., 5.25%, 03/30/2028 | | | 54 | | | | 54 | |
ONE Gas, Inc., 1.10%, 03/11/2024 | | | 125 | | | | 121 | |
Southwest Gas Corp., 5.45%, 03/23/2028 | | | 100 | | | | 99 | |
UGI International LLC, Reg. S, 2.50%, 12/01/2029 | | EUR | 200 | | | | 171 | |
| | | | | | | | |
| | |
| | | | | | | 5,169 | |
| | | | | | | | |
Total Utilities | | | | | | | 117,128 | |
| | | | | | | | |
Total Corporate Bonds
(Cost $2,789,813) | | | | | | �� | 2,677,280 | |
| | | | | | | | |
Foreign Government Securities — 1.7% | |
Mongolia Government International Bond, (Mongolia), | | | | | | | | |
Reg. S, 3.50%, 07/07/2027 | | | 2,000 | | | | 1,661 | |
Reg. S, 4.45%, 07/07/2031 | | | 200 | | | | 154 | |
Reg. S, 5.13%, 04/07/2026 | | | 4,400 | | | | 4,083 | |
8.65%, 01/19/2028 (e) | | | 5,300 | | | | 5,316 | |
Reg. S, 8.65%, 01/19/2028 | | | 3,300 | | | | 3,310 | |
Oman Government International Bond, (Oman), Reg. S, 7.00%, 01/25/2051 | | | 1,300 | | | | 1,285 | |
Pakistan Government International Bond, (Pakistan), | | | | | | | | |
Reg. S, 6.00%, 04/08/2026 | | | 12,900 | | | | 6,240 | |
Reg. S, 6.88%, 12/05/2027 | | | 18,000 | | | | 8,528 | |
Reg. S, 7.38%, 04/08/2031 | | | 12,850 | | | | 5,847 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 243 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Foreign Government Securities — continued | |
Sri Lanka Government International Bond, (Sri Lanka), | | | | | | | | |
Reg. S, 5.75%, 04/18/2023 (d) | | | 2,600 | | | | 1,166 | |
6.20%, 05/11/2027 (d) (e) | | | 15,600 | | | | 7,026 | |
Reg. S, 6.20%, 05/11/2027 (d) | | | 3,800 | | | | 1,712 | |
Reg. S, 6.75%, 04/18/2028 (d) | | | 4,000 | | | | 1,802 | |
Reg. S, 6.85%, 03/14/2024 (d) | | | 12,100 | | | | 5,452 | |
Reg. S, 7.55%, 03/28/2030 (d) | | | 2,000 | | | | 901 | |
Vietnam Government International Bond, (Vietnam), Series 30YR, 5.50%, 03/12/2028 | | | 228 | | | | 217 | |
| | | | | | | | |
Total Foreign Government Securities
(Cost $67,007) | | | | | | | 54,700 | |
| | | | | | | | |
U.S. Treasury Obligations — 1.6% | |
U.S. Treasury Inflation Indexed Notes, | | | | | | | | |
0.13%, 04/15/2025 | | | 822 | | | | 782 | |
0.13%, 01/15/2032 (ii) | | | 5,034 | | | | 4,427 | |
0.25%, 01/15/2025 | | | 1,028 | | | | 986 | |
0.50%, 04/15/2024 | | | 920 | | | | 897 | |
U.S. Treasury Notes, | | | | | | | | |
2.50%, 05/31/2024 (ee) | | | 26,890 | | | | 26,188 | |
2.75%, 04/30/2027 | | | 740 | | | | 699 | |
3.38%, 05/15/2033 | | | 11,600 | | | | 11,181 | |
3.63%, 05/31/2028 | | | 7,000 | | | | 6,845 | |
3.88%, 04/30/2025 | | | 484 | | | | 475 | |
4.25%, 05/31/2025 | | | 527 | | | | 520 | |
| | | | | | | | |
Total U.S. Treasury Obligations
(Cost $54,154) | | | | | | | 53,000 | |
| | | | | | | | |
| | |
| | | SHARES | | | | |
Common Stock — 0.1% | | | | | | | | |
Communications — 0.1% | | | | | | | | |
Telecommunications — 0.1% | | | | | | | | |
Intelsat SA, (Luxembourg) (a) (bb) (cc)
(Cost $4,732) | | | 87 | | | | 1,844 | |
| | | | | | | | |
Preferred Stock — 0.2% | | | | | | | | |
Consumer Cyclical — 0.2% | | | | | | | | |
Retail — 0.2% | | | | | | | | |
Ferrellgas Escrow LLC, expiring, 03/30/2031 (a) (bb) (cc)
(Cost $6,490) | | | 6 | | | | 6,467 | |
| | | | | | | | |
| | |
| | | PRINCIPAL
AMOUNT($) | | | | |
Loan Assignments — 4.7% (o) | | | | | | | | |
Basic Materials — 0.2% | | | | | | | | |
Chemicals — 0.2% | | | | | | | | |
ARC Falcon I, Inc., Initial Term Loan, (CME Term SOFR 1 Month + 3.75%), 8.95%, 09/30/2028 (aa) | | | 686 | | | | 639 | |
Ascend Performance Materials Operations LLC, 2021 Refinancing Term Loan, (CME Term SOFR 6 Month + 4.75%), 9.71%, 08/27/2026 (aa) | | | 139 | | | | 136 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Chemicals — continued | | | | | | | | |
Discovery Purchaser Corp., Initial Term Loan (First Lien), (CME Term SOFR 3 Month + 4.38%), 9.62%, 10/04/2029 (aa) | | | 2,394 | | | | 2,285 | |
Nutrition & Biosciences, Inc., 3-Year Delayed Draw Term Loan, (ICE LIBOR USD 3 Month + 1.50%), 6.57%, 01/17/2023 (f) (u) (aa) | | | 239 | | | | 238 | |
Sparta U.S. Holdco LLC, Initial Term Loan (First Lien), (CME Term SOFR 1 Month + 3.25%), 8.54%, 08/02/2028 (aa) | | | 613 | | | | 607 | |
Venator Finance Sarl, Final Order Term Loan, (Luxembourg), (CME Term SOFR 1 Month + 10.00%), 15.09%, 09/14/2023 (aa) | | | 532 | | | | 543 | |
Venator Finance Sarl, Initial Term Loan, (Luxembourg), (PRIME 3 Month + 4.00%), 8.25%, 08/08/2024 (d) (u) (aa) | | | 499 | | | | 273 | |
| | | | | | | | |
Total Basic Materials | | | | | | | 4,721 | |
| | | | | | | | |
Communications — 1.0% | |
Advertising — 0.2% | |
Clear Channel Outdoor Holdings, Inc., Term B Loan, (CME Term SOFR 3 Month + 3.50%), 8.81%, 08/21/2026 (u) (aa) | | | 5,485 | | | | 5,228 | |
| | | | | | | | |
Internet — 0.2% | |
Acuris Finance US, Inc., Initial Dollar Term Loan, (CME Term SOFR 3 Month + 4.00%), 9.39%, 02/16/2028 (aa) | | | 178 | | | | 176 | |
CNT Holdings I Corp., Initial Term Loan (First Lien), (CME Term SOFR 3 Month + 3.50%), 8.46%, 11/08/2027 (aa) | | | 1,162 | | | | 1,156 | |
Comcast Hulu Holdings LLC, Term Loan A, (ICE LIBOR USD 1 Month + 0.88%), 6.07%, 03/15/2024 (aa) | | | 750 | | | | 746 | |
MH Sub I LLC, 2020 June New Term Loan (First Lien), (ICE LIBOR USD 1 Month + 3.75%), 9.11%, 09/13/2024 (u) (aa) | | | 158 | | | | 157 | |
MH Sub I LLC, 2021 Replacement Term Loan (Second Lien), (CME Term SOFR 1 Month + 6.25%), 11.35%, 02/23/2029 (aa) | | | 758 | | | | 657 | |
MH Sub I LLC, 2023 May Incremental Term Loan (First Lien), (CME Term SOFR 1 Month + 4.25%), 9.35%, 05/03/2028 (aa) | | | 2,868 | | | | 2,748 | |
MH Sub I LLC, Amendment No. 2 Initial Term Loan (First Lien), (ICE LIBOR USD 3 Month + 3.75%), 9.26%, 09/13/2024 (u) (aa) | | | 70 | | | | 70 | |
Proofpoint, Inc., Initial Term Loan (First Lien), (CME Term SOFR 1 Month + 3.25%), 8.47%, 08/31/2028 (aa) | | | 2,190 | | | | 2,141 | |
| | | | | | | | |
| | |
| | | | | | | 7,851 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 244 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Loan Assignments — continued | | | | | | | | |
Media — 0.2% | |
Charter Communications Operating LLC, Term B-1 Loan, (CME Term SOFR 3 Month + 1.75%), 6.80%, 04/30/2025 (aa) | | | 856 | | | | 855 | |
Diamond Sports Group LLC, Term Loan (First Lien), (CME Term SOFR 6 Month + 8.25%), 4.81%, 05/25/2026 (aa) | | | 2,745 | | | | 2,095 | |
Diamond Sports Group LLC, Term Loan (Second Lien), (CME Term SOFR 1 Month + 5.25%), 10.50%, 08/24/2026 (d) (aa) | | | 4,720 | | | | 151 | |
DIRECTV Financing LLC, Closing Date Term Loan, (CME Term SOFR 1 Month + 5.00%), 10.22%, 08/02/2027 (aa) | | | 3,465 | | | | 3,384 | |
Radiate Holdco LLC, Amendment No. 6 Term B Loan, (CME Term SOFR 1 Month + 3.25%), 8.48%, 09/25/2026 (aa) | | | 665 | | | | 553 | |
Univision Communications, Inc., 2017 Replacement Repriced First-Lien Term Loan, (ICE LIBOR USD 1 Month + 2.75%), 7.94%, 03/15/2024 (aa) | | | 175 | | | | 175 | |
| | | | | | | | |
| | |
| | | | | | | 7,213 | |
| | | | | | | | |
Telecommunications — 0.4% | |
Connect Finco Sarl, Amendment No. 1 Refinancing Term Loan, (Luxembourg), (ICE LIBOR USD 1 Month + 3.50%), 8.70%, 12/11/2026 (aa) | | | 1,734 | | | | 1,731 | |
Delta Topco, Inc., Initial Term Loan (First Lien), (CME Term SOFR 6 Month + 3.75%), 9.07%, 12/01/2027 (aa) | | | 1,078 | | | | 1,042 | |
Digicel International Finance Limited, Initial Term B Loan (First Lien), (Saint Lucia), (ICE LIBOR USD 3 Month + 3.25%), 8.98%, 05/27/2024 (u) (aa) | | | 1,593 | | | | 1,457 | |
Intelsat Jackson Holdings S.A., Term B Loan, (Luxembourg), (CME Term SOFR 3 Month + 4.25%), 9.44%, 02/01/2029 (u) (aa) | | | 2,507 | | | | 2,495 | |
Xplore, Inc., Initial Term Loan (Second Lien), (Canada), (CME Term SOFR 1 Month + 7.00%), 12.22%, 10/01/2029 (aa) | | | 1,300 | | | | 621 | |
Xplore, Inc., Refinancing Term Loan (First Lien), (Canada), (CME Term SOFR 1 Month + 4.00%), 9.22%, 10/02/2028 (aa) | | | 3,257 | | | | 2,645 | |
Zayo Group Holdings, Inc., Initial Dollar Term Loan, (CME Term SOFR 1 Month + 3.00%), 8.22%, 03/09/2027 (u) (aa) | | | 2,198 | | | | 1,720 | |
| | | | | | | | |
| | |
| | | | | | | 11,711 | |
| | | | | | | | |
Total Communications | | | | | | | 32,003 | |
| | | | | | | | |
Consumer Cyclical — 0.4% | |
Airlines — 0.1% | |
AAdvantage Loyality IP Ltd., Initial Term Loan, (Cayman Islands), (ICE LIBOR USD 3 Month + 4.75%), 10.00%, 04/20/2028 (aa) | | | 3,369 | | | | 3,436 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Airlines — continued | |
SkyMiles IP Ltd., Initial Term Loan, (Cayman Islands), (CME Term SOFR 3 Month + 3.75%), 8.80%, 10/20/2027 (aa) | | | 621 | | | | 644 | |
United AirLines, Inc., Class B Term Loan, (ICE LIBOR USD 3 Month + 3.75%), 9.29%, 04/21/2028 (aa) | | | 458 | | | | 457 | |
| | | | | | | | |
| | |
| | | | | | | 4,537 | |
| | | | | | | | |
Entertainment — 0.0% (g) | |
Flutter Entertainment plc, USD Term Loan, (Ireland), (CME Term SOFR 3 Month + 2.25%), 7.75%, 07/21/2026 (aa) | | | 232 | | | | 232 | |
| | | | | | | | |
Lodging — 0.1% | |
Fertitta Entertainment LLC, Initial B Term Loan, (CME Term SOFR 1 Month + 4.00%), 9.10%, 01/27/2029 (aa) | | | 2,612 | | | | 2,574 | |
Hilton Worldwide Finance LLC, Refinanced Series B-2 Term Loan, (CME Term SOFR 1 Month + 1.75%), 6.94%, 06/22/2026 (aa) | | | 383 | | | | 383 | |
Resorts World Las Vegas LLC, Term A Facility Loan, (CME Term SOFR 1 Month + 1.50%), 6.68%, 04/16/2024 (aa) | | | 500 | | | | 495 | |
| | | | | | | | |
| | |
| | | | | | | 3,452 | |
| | | | | | | | |
Retail — 0.2% | |
Great Outdoors Group LLC, Term B-2 Loan, (ICE LIBOR USD 1 Month + 3.75%), 8.94%, 03/06/2028 (aa) | | | 2,469 | | | | 2,447 | |
IRB Holding Corp., 2022 Replacement Term B Loan, (CME Term SOFR 1 Month + 3.00%), 8.20%, 12/15/2027 (u) (aa) | | | 673 | | | | 667 | |
SRS Distribution, Inc., 2022 Refinancing Term Loan, (CME Term SOFR 1 Month + 3.50%), 8.70%, 06/02/2028 (aa) | | | 1,329 | | | | 1,295 | |
White Cap Supply Holdings LLC, Initial Closing Date Term Loan, (CME Term SOFR 1 Month + 3.75%), 8.85%, 10/19/2027 (aa) | | | 1,613 | | | | 1,596 | |
| | | | | | | | |
| | |
| | | | | | | 6,005 | |
| | | | | | | | |
Total Consumer Cyclical | | | | | | | 14,226 | |
| | | | | | | | |
Consumer Non-cyclical — 0.4% | |
Beverages — 0.0% (g) | |
Naked Juice LLC, Initial Loan (Second Lien), (CME Term SOFR 3 Month + 6.00%), 11.34%, 01/24/2030 (aa) | | | 111 | | | | 87 | |
Naked Juice LLC, Initial Term Loan (First Lien), (CME Term SOFR 3 Month + 3.25%), 8.59%, 01/24/2029 (aa) | | | 750 | | | | 696 | |
| | | | | | | | |
| | |
| | | | | | | 783 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 245 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Loan Assignments — continued | | | | | | | | |
Commercial Services — 0.2% | |
CoreLogic, Inc., Initial Term Loan (First Lien), (ICE LIBOR USD 1 Month + 3.50%), 8.75%, 06/02/2028 (aa) | | | 752 | | | | 678 | |
PECF USS Intermediate Holding III Corp., Initial Term Loan, (ICE LIBOR USD 3 Month + 4.25%), 9.52%, 12/15/2028 (aa) | | | 428 | | | | 349 | |
Sabre GLBL, Inc., 2021 Other Term B-1 Loan, (CME Term SOFR 3 Month + 3.50%), 8.60%, 12/17/2027 (aa) | | | 295 | | | | 230 | |
Sabre GLBL, Inc., 2021 Other Term B-2 Loan, (CME Term SOFR 3 Month + 3.50%), 9.35%, 12/17/2027 (aa) | | | 461 | | | | 359 | |
Verscend Holding Corp., Term B-1 Loan, (CME Term SOFR 1 Month + 4.00%), 9.22%, 08/27/2025 (aa) | | | 4,179 | | | | 4,173 | |
| | | | | | | | |
| | |
| | | | | | | 5,789 | |
| | | | | | | | |
Food — 0.0% (g) | |
Chobani LLC, 2020 New Term Loan, (CME Term SOFR 1 Month + 3.50%), 8.72%, 10/25/2027 (aa) | | | 166 | | | | 165 | |
US Foods, Inc., Incremental B-2019 Term Loan, (ICE LIBOR USD 1 Month + 2.00%), 7.19%, 09/13/2026 (u) (aa) | | | 237 | | | | 237 | |
| | | | | | | | |
| | |
| | | | | | | 402 | |
| | | | | | | | |
Healthcare — Products — 0.1% | |
Bausch + Lomb Corp., Initial Term Loan, (Canada), (CME Term SOFR 3 Month + 3.25%), 8.59%, 05/10/2027 (aa) | | | 1,195 | | | | 1,157 | |
| | | | | | | | |
Healthcare — Services — 0.1% | |
Fortrea Holdings Inc., Term Loan B, (SOFR 3 Month + 3.75%), 8.90%, 06/12/2030 (u) (aa) | | | 465 | | | | 465 | |
LifePoint Health, Inc., Term B Loan (First Lien), (ICE LIBOR USD 3 Month + 3.75%), 9.02%, 11/16/2025 (aa) | | | 1,068 | | | | 987 | |
Parexel International, Inc., Initial Term Loan (First Lien), (ICE LIBOR USD 1 Month + 3.25%), 8.35%, 11/15/2028 (aa) | | | 1,157 | | | | 1,147 | |
Quorum Health Corp., Term Loan (Exit), (CME Term SOFR 3 Month + 8.25%), 13.24%, 04/29/2025 (aa) | | | 572 | | | | 389 | |
Surgery Center Holdings, Inc., 2021 New Term Loan, (ICE LIBOR USD 1 Month + 3.75%), 8.90%, 08/31/2026 (aa) | | | 714 | | | | 713 | |
WCG Purchaser Corp., Initial Term Loan (First Lien), (CME Term SOFR 1 Month + 4.00%), 9.22%, 01/08/2027 (aa) | | | 286 | | | | 280 | |
| | | | | | | | |
| | |
| | | | | | | 3,981 | |
| | | | | | | | |
Pharmaceuticals — 0.0% (g) | |
Gainwell Acquisition Corp., Term B Loan (First Lien), (CME Term SOFR 3 Month + 4.00%), 9.34%, 10/01/2027 (aa) | | | 1,075 | | | | 1,058 | |
| | | | | | | | |
Total Consumer Non-cyclical | | | | | | | 13,170 | |
| | | | | | | | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Energy — 0.0% (g) | |
Oil & Gas — 0.0% (g) | |
Keane Group Holdings LLC, Initial Term Loan, (ICE LIBOR USD 3 Month + 3.50%), 9.90%, 05/25/2025 (u) (aa) | | | 171 | | | | 171 | |
| | | | | | | | |
Pipelines — 0.0% (g) | |
Buckeye Partners, L.P., 2021 Tranche B-1 Term Loan, (CME Term SOFR 1 Month + 2.25%), 7.45%, 11/01/2026 (aa) | | | 149 | | | | 148 | |
Freeport LNG investments, LLLP, Initial Term B Loan, (ICE LIBOR USD 3 Month + 3.50%), 8.75%, 12/21/2028 (aa) | | | 1,765 | | | | 1,727 | |
| | | | | | | | |
| | |
| | | | | | | 1,875 | |
| | | | | | | | |
Total Energy | | | | | | | 2,046 | |
| | | | | | | | |
Financial — 0.3% | |
Banks — 0.0% (g) | |
Greenhill & Co., Inc., New Term Loan, (ICE LIBOR USD 3 Month + 3.25%), 8.73%, 04/12/2024 (u) (aa) | | | 150 | | | | 150 | |
Mercury Borrower, Inc., Initial Term Loan (First Lien), (CME Term SOFR 1 Month + 3.50%), 8.72%, 08/02/2028 (aa) | | | 527 | | | | 518 | |
Mercury Borrower, Inc., Initial Term Loan (Second Lien), (ICE LIBOR USD 1 Month + 6.50%), 11.69%, 08/02/2029 (aa) | | | 325 | | | | 289 | |
| | | | | | | | |
| | |
| | | | | | | 957 | |
| | | | | | | | |
Diversified Financial Services — 0.1% | |
Advisor Group Holdings, Inc., Term B-1 Loan, (ICE LIBOR USD 1 Month + 4.50%), 9.69%, 07/31/2026 (aa) | | | 494 | | | | 493 | |
Deerfield Dakota Holding LLC, 2021 Replacement Term Loan (Second Lien), (ICE LIBOR USD 3 Month + 6.75%), 12.29%, 04/07/2028 (aa) | | | 763 | | | | 707 | |
Deerfield Dakota Holding LLC, Initial Dollar Term Loan (First Lien), (CME Term SOFR 3 Month + 3.75%), 8.99%, 04/09/2027 (aa) | | | 886 | | | | 858 | |
| | | | | | | | |
| | |
| | | | | | | 2,058 | |
| | | | | | | | |
Insurance — 0.1% | |
Acrisure LLC, 2021-1 Additional Term Loan (First Lien), (ICE LIBOR USD 1 Month + 3.75%), 8.94%, 02/15/2027 (aa) | | | 977 | | | | 951 | |
Alliant Holdings Intermediate LLC, TLB-5 New Term Loan, (CME Term SOFR 1 Month + 3.50%), 8.65%, 11/05/2027 (aa) | | | 319 | | | | 317 | |
AssuredPartners, Inc., 2022 Term Loan, (CME Term SOFR 1 Month + 3.50%), 8.60%, 02/12/2027 (aa) | | | 1,248 | | | | 1,235 | |
Asurion LLC, New B-4 Term Loan (Second Lien), (CME Term SOFR 1 Month + 5.25%), 10.47%, 01/20/2029 (aa) | | | 1,785 | | | | 1,493 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 246 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Loan Assignments — continued | | | | | | | | |
Insurance — continued | |
Hub International Limited, B-3 Incremental Term Loan, (CME Term SOFR 3 Month + 4.25%), 9.15%, 04/25/2025 (aa) | | | 154 | | | | 154 | |
| | | | | | | | |
| | |
| | | | | | | 4,150 | |
| | | | | | | | |
REITS — 0.1% | |
Invitation Homes Operating Partnership LP, Term Loan A, (CME Term SOFR 1 Month + 1.00%), 6.20%, 01/31/2025 (aa) | | | 1,552 | | | | 1,513 | |
| | | | | | | | |
Total Financial | | | | | | | 8,678 | |
| | | | | | | | |
Industrial — 0.8% | |
Building Materials — 0.0% (g) | |
Chariot Buyer LLC, Initial Term Loan (First Lien), (CME Term SOFR 1 Month + 3.25%), 8.45%, 11/03/2028 (aa) | | | 832 | | | | 812 | |
| | | | | | | | |
Electronics — 0.1% | |
Indicor LLC, Initial Dollar Term Loan (First Lien), (CME Term SOFR 3 Month + 4.50%), 9.74%, 11/22/2029 (aa) | | | 1,251 | | | | 1,245 | |
| | | | | | | | |
Engineering & Construction — 0.4% | |
Apple Bidco LLC, Amendment No. 1 Term Loan (First Lien), (CME Term SOFR 1 Month + 4.00%), 9.10%, 09/22/2028 (aa) | | | 761 | | | | 756 | |
Brand Industrial Services, Inc., Initial Term Loan, (ICE LIBOR USD 1 Month + 4.25%), 9.42%, 06/21/2024 (u) (aa) | | | 10,217 | | | | 10,075 | |
Brown Group Holding LLC, Incremental Term B-2 Facility, (CME Term SOFR 3 Month + 3.75%), 8.85%, 07/02/2029 (aa) | | | 591 | | | | 589 | |
| | | | | | | | |
| | |
| | | | | | | 11,420 | |
| | | | | | | | |
Environmental Control — 0.0% (g) | |
Madison IAQ LLC, Initial Term Loan, (ICE LIBOR USD 3 Month + 3.25%), 8.30%, 06/21/2028 (u) (aa) | | | 846 | | | | 827 | |
| | | | | | | | |
Machinery — Construction & Mining — 0.0% (g) | |
Vertiv Group Corp., Term B Loan, (ICE LIBOR USD 1 Month + 2.75%), 7.94%, 03/02/2027 (aa) | | | 492 | | | | 490 | |
| | | | | | | | |
Machinery — Diversified — 0.2% | |
Husky Injection Molding Systems Ltd., Initial Term Loan, (Canada), (ICE LIBOR USD 3 Month + 3.00%), 8.73%, 03/28/2025 (aa) | | | 5,570 | | | | 5,429 | |
SPX Flow, Inc., Term Loan, (CME Term SOFR 1 Month + 4.50%), 9.70%, 04/05/2029 (aa) | | | 1,082 | | | | 1,067 | |
| | | | | | | | |
| | |
| | | | | | | 6,496 | |
| | | | | | | | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Miscellaneous Manufacturers — 0.0% (g) | |
MB Aerospace Holdings II Corp., Initial Term Loan (First Lien), (ICE LIBOR USD 1 Month + 3.50%), 9.09%, 01/22/2025 (u) (aa) | | | 321 | | | | 318 | |
| | | | | | | | |
Packaging & Containers — 0.1% | |
Charter Next Generation, Inc., Initial Term Loan (2021) (First Lien), (CME Term SOFR 1 Month + 3.75%), 8.97%, 12/01/2027 (aa) | | | 1,154 | | | | 1,144 | |
Mauser Packaging Solutions Holding Co., Initial Term Loan, (CME Term SOFR 1 Month + 4.00%), 9.16%, 08/14/2026 (aa) | | | 944 | | | | 940 | |
Trident TPI Holdings, Inc., Tranche B-5 Initial Term Loan, (CME Term SOFR 3 Month + 4.50%), 9.74%, 09/15/2028 (aa) | | | 1,146 | | | | 1,129 | |
| | | | | | | | |
| | |
| | | | | | | 3,213 | |
| | | | | | | | |
Total Industrial | | | | | | | 24,821 | |
| | | | | | | | |
Technology — 1.6% | |
Computers — 0.3% | |
Magenta Buyer LLC, Initial Term Loan (First Lien), (ICE LIBOR USD 3 Month + 4.75%), 10.03%, 07/27/2028 (aa) | | | 4,097 | | | | 3,070 | |
Magenta Buyer LLC, Initial Term Loan (Second Lien), (ICE LIBOR USD 3 Month + 8.25%), 13.53%, 07/27/2029 (aa) | | | 491 | | | | 317 | |
McAfee Corp., Tranche B-1 Term Loan, (CME Term SOFR 1 Month + 3.75%), 9.01%, 03/01/2029 (aa) | | | 3,163 | | | | 3,020 | |
Peraton Corp., Term B Loan (First Lien), (CME Term SOFR 1 Month + 3.75%), 8.95%, 02/01/2028 (aa) | | | 2,027 | | | | 1,988 | |
Peraton Corp., Term B-1 Loan (Second Lien), (CME Term SOFR 3 Month + 7.75%), 12.98%, 02/01/2029 (aa) | | | 1,205 | | | | 1,165 | |
Tempo Acquisition LLC, Initial Term B-1 Loan, (CME Term SOFR 1 Month + 3.00%), 8.10%, 08/31/2028 (aa) | | | 484 | | | | 484 | |
| | | | | | | | |
| | |
| | | | | | | 10,044 | |
| | | | | | | | |
Software — 1.3% | |
Ascend Learning LLC, Initial Term Loan (2021) (First Lien), (CME Term SOFR 1 Month + 3.50%), 8.70%, 12/11/2028 (aa) | | | 1,284 | | | | 1,204 | |
Ascend Learning LLC, Initial Term Loan (Second Lien), (CME Term SOFR 1 Month + 5.75%), 10.95%, 12/10/2029 (aa) | | | 458 | | | | 387 | |
athenahealth Group, Inc., Initial Term Loan, (CME Term SOFR 1 Month + 3.50%), 8.59%, 02/15/2029 (u) (aa) | | | 6,476 | | | | 6,225 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 247 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Loan Assignments — continued | | | | | | | | |
Software — continued | |
Banff Guarantor, Inc., Initial Term Loan (Second Lien), (CME Term SOFR 1 Month + 5.50%), 10.72%, 02/27/2026 (aa) | | | 1,992 | | | | 1,934 | |
Boxer Parent Co., Inc., 2021 Replacement Dollar Term Loan, (CME Term SOFR 1 Month + 3.75%), 8.97%, 10/02/2025 (aa) | | | 1,207 | | | | 1,196 | |
Camelot U.S. Acquisition LLC, Amendment No. 2 Incremental Term Loan, (CME Term SOFR 1 Month + 3.00%), 8.22%, 10/30/2026 (aa) | | | 784 | | | | 783 | |
Central Parent, Inc., Initial Term Loan (First Lien), (CME Term SOFR 3 Month + 4.25%), 9.49%, 07/06/2029 (aa) | | | 1,296 | | | | 1,292 | |
Cloud Software Group, Inc., Dollar Term B Loan (First Lien), (CME Term SOFR 3 Month + 4.50%), 9.84%, 03/30/2029 (aa) | | | 2,631 | | | | 2,457 | |
Dun & Bradstreet Corp., The, 2022 Incremental Term B-2 Loan, (CME Term SOFR 1 Month + 3.25%), 8.33%, 01/18/2029 (aa) | | | 928 | | | | 925 | |
EP Purchaser LLC, Closing Date Term Loan (First Lien), (CME Term SOFR 3 Month + 3.50%), 9.00%, 11/06/2028 (aa) | | | 485 | | | | 473 | |
Epicor Software Corp., Term C Loan, (CME Term SOFR 1 Month + 3.25%), 8.47%, 07/30/2027 (aa) | | | 494 | | | | 488 | |
Helios Software Holdings, Inc., Initial Dollar Term Loan (2021), (CME Term SOFR 3 Month + 3.75%), 9.14%, 03/11/2028 (aa) | | | 882 | | | | 870 | |
Misys Limited, Dollar Term Loan (First Lien), (United Kingdom), (ICE LIBOR USD 3 Month + 3.50%), 9.23%, 06/13/2024 (aa) | | | 1,985 | | | | 1,905 | |
Misys Limited, Dollar Term Loan (Second Lien), (United Kingdom), (ICE LIBOR USD 6 Month + 7.25%), 5.73%, 06/13/2025 (aa) | | | 1,970 | | | | 1,776 | |
Planview Parent, Inc., Closing Date Loan (Second Lien), (CME Term SOFR 3 Month + 7.25%), 12.59%, 12/18/2028 (aa) | | | 180 | | | | 158 | |
Polaris Newco LLC, Dollar Term Loan (First Lien), (ICE LIBOR USD 3 Month + 4.00%), 9.54%, 06/02/2028 (aa) | | | 1,558 | | | | 1,431 | |
Project Alpha Intermediate Holding, Inc., 2021 Refinancing Term Loan, (ICE LIBOR USD 1 Month + 4.00%), 9.20%, 04/26/2024 (u) (aa) | | | 395 | | | | 394 | |
RealPage, Inc., Initial Loan (Second Lien), (CME Term SOFR 3 Month + 6.50%), 12.04%, 04/23/2029 (aa) | | | 918 | | | | 887 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
| | | | | | | | |
Software — continued | |
RealPage, Inc., Initial Term Loan (First Lien), (CME Term SOFR 1 Month + 3.00%), 8.22%, 04/24/2028 (aa) | | | 2,929 | | | | 2,862 | |
Skillsoft Finance II, Inc., Initial Term Loan, (CME Term SOFR 1 Month + 5.25%), 10.51%, 07/14/2028 (aa) | | | 2,298 | | | | 1,997 | |
Sophia, L.P., Term Loan B (First Lien), (ICE LIBOR USD 3 Month + 3.50%), 9.04%, 10/07/2027 (aa) | | | 7,048 | | | | 6,965 | |
Sovos Compliance LLC, Initial Term Loan (First Lien), (CME Term SOFR 1 Month + 4.50%), 9.72%, 08/11/2028 (aa) | | | 1,015 | | | | 977 | |
UKG, Inc., 2021 Incremental Term Loan (Second Lien), (CME Term SOFR 3 Month + 5.25%), 10.27%, 05/03/2027 (aa) | | | 2,087 | | | | 2,018 | |
UKG, Inc., Initial Term Loan (First Lien), (CME Term SOFR 3 Month + 3.75%), 8.90%, 05/04/2026 (aa) | | | 1,751 | | | | 1,725 | |
| | | | | | | | |
| | |
| | | | | | | 41,329 | |
| | | | | | | | |
Total Technology | | | | | | | 51,373 | |
| | | | | | | | |
Utilities — 0.0% (g) | |
Electric — 0.0% (g) | |
Calpine Construction Finance Co., L.P., Term B Loan, (ICE LIBOR USD 3 Month + 2.00%), 7.19%, 01/15/2025 (u) (aa) | | | 224 | | | | 224 | |
Heritage Power LLC, Term Loan, (ICE LIBOR USD 3 Month + 5.00%), 7.50%, 07/30/2026 (d) (aa) | | | 1,416 | | | | 343 | |
| | | | | | | | |
Total Utilities | | | | | | | 567 | |
| | | | | | | | |
Total Loan Assignments
(Cost $154,268) | | | | | | | 151,605 | |
| | | | | | | | |
| | |
| | | NUMBER
OF RIGHTS | | | | |
Rights — 0.0% (g) | | | | | | | | |
Communications — 0.0% (g) | | | | | | | | |
Telecommunications — 0.0% (g) | | | | | | | | |
Intelsat Jackson Holdings SA, expiring, 12/31/2049 (a) (bb) (cc) | | | 18 | | | | 104 | |
| | | | | | | | |
(Cost $0) | | | | | | | | |
| | |
| | | PRINCIPAL
AMOUNT($) | | | | |
Short-Term Investments — 2.0% | | | | | | | | |
Commercial Papers — 0.1% | | | | | | | | |
Bayer Corp., 5.97%, 07/21/2023 (e) (n) | | | 750 | | | | 748 | |
Brookfield Infrastructure Holdings Canada, Inc., (Canada), 6.40%, 10/05/2023 (n) | | | 1,620 | | | | 1,595 | |
General Motors Financial Co., Inc., 5.60%, 08/22/2023 (e) (n) | | | 250 | | | | 248 | |
RWE AG, 5.99%, 07/11/2023 (e) (n) | | | 250 | | | | 249 | |
| | | | | | | | |
Total Commercial Papers | | | | | | | 2,840 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 248 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
Short-Term Investments — continued | | | | | | | | |
Corporate Bond — 0.0% (g) | |
Warnermedia Holdings, Inc., 3.43%, 03/15/2024 | | | 226 | | | | 222 | |
| | | | | | | | |
Time Deposits — 0.8% | |
Australia & New Zealand Banking Group Ltd., 4.42%, 07/03/2023 | | | 8,022 | | | | 8,022 | |
Citibank NA, | | | | | | | | |
2.37%, 07/03/2023 | | EUR | 132 | | | | 144 | |
4.42%, 07/03/2023 | | | 8,544 | | | | 8,544 | |
Royal Bank of Canada, 3.54%, 07/04/2023 | | CAD | 1 | | | | 1 | |
Skandinaviska Enskilda Banken AB, | | | | | | | | |
0.65%, 07/03/2023 | | CHF | 1 | | | | 1 | |
2.37%, 07/03/2023 | | EUR | 220 | | | | 240 | |
3.92%, 07/03/2023 | | GBP | 8 | | | | 11 | |
Sumitomo Mitsui Trust Bank Ltd., 4.42%, 07/03/2023 | | | 9,159 | | | | 9,159 | |
| | | | | | | | |
Total Time Deposits | | | | | | | 26,122 | |
| | | | | | | | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL
AMOUNT($) | | | VALUE($) | |
U.S. Government Agency Security — 0.9% | |
FHLB DNs, Zero Coupon, 07/14/2023 | | | 30,600 | | | | 30,555 | |
| | | | | | | | |
U.S. Treasury Obligations — 0.2% | |
U.S. Treasury Bills, | | | | | | | | |
Zero Coupon, 07/18/2023 | | | 2,209 | | | | 2,204 | |
Zero Coupon, 11/24/2023 | | | 3,997 | | | | 3,914 | |
| | | | | | | | |
Total U.S. Treasury Obligations | | | | | | | 6,118 | |
| | | | | | | | |
Total Short-Term Investments
(Cost $65,839) | | | | | | | 65,857 | |
| | | | | | | | |
| | |
Total Investments — 98.0%
(Cost — $3,294,094) * | | | | | | | 3,157,029 | |
| | |
Other Assets in Excess of Liabilities — 2.0% | | | | | | | 65,169 | |
| | | | | | | | |
| | |
NET ASSETS — 100.0% | | | | | | $ | 3,222,198 | |
| | | | | | | | |
Percentages indicated are based on net assets.
| | | | | | | | | | | | | | | | | | | | |
| Futures contracts outstanding as of June 30, 2023: | |
| Exchange Traded | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT($) | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION)($) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
Euro Schatz | | | 2 | | | | 09/2023 | | | | EUR | | | | 231 | | | | (2 | ) |
U.S. Treasury 10 Year Note | | | 87 | | | | 09/2023 | | | | USD | | | | 9,869 | | | | (102 | ) |
U.S. Treasury 2 Year Note | | | 444 | | | | 09/2023 | | | | USD | | | | 91,491 | | | | (1,206 | ) |
U.S. Treasury 5 Year Note | | | 647 | | | | 09/2023 | | | | USD | | | | 70,643 | | | | (1,353 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (2,663 | ) |
| | | | | | | | | | | | | | | | | | | | |
Short Contracts | | | | | | | | | | | | | | | | | | | | |
Euro BOBL | | | (1 | ) | | | 09/2023 | | | | EUR | | | | (128 | ) | | | 2 | |
U.S. Treasury 10 Year Note | | | (3 | ) | | | 09/2023 | | | | USD | | | | (343 | ) | | | 6 | |
U.S. Treasury 5 Year Note | | | (104 | ) | | | 09/2023 | | | | USD | | | | (11,351 | ) | | | 214 | |
U.S. Treasury Long Bond | | | (3 | ) | | | 09/2023 | | | | USD | | | | (381 | ) | | | — | (h) |
U.S. Treasury Ultra Bond | | | (22 | ) | | | 09/2023 | | | | USD | | | | (2,966 | ) | | | (31 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 191 | |
| | | | | | | | | | | | | | | | | | | | |
Total unrealized appreciation (depreciation) | | | | | | | | | | | | | | | | | | | (2,472 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| Forward foreign currency exchange contracts outstanding as of June 30, 2023: | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION)($) | |
USD | | | 2,766 | | | | EUR | | | | 2,530 | | | HSBC Bank plc | | | 08/02/2023 | | | | 1 | |
USD | | | 176 | | | | GBP | | | | 139 | | | Bank of America, NA | | | 08/02/2023 | | | | — | (h) |
USD | | | 28,718 | | | | EUR | | | | 26,170 | | | BNP Paribas | | | 09/20/2023 | | | | 50 | |
USD | | | 4,219 | | | | GBP | | | | 3,290 | | | BNP Paribas | | | 09/20/2023 | | | | 39 | |
| | | | | | | | | | | | | | | | | | | | | | |
Total unrealized appreciation | | | | | | | | | | 90 | |
| | | | | | | | | | | | | | | | | | | | | | |
USD | | | 2,729 | | | | EUR | | | | 2,530 | | | Bank of America, NA | | | 07/05/2023 | | | | (32 | ) |
EUR | | | 2,530 | | | | USD | | | | 2,762 | | | HSBC Bank plc | | | 07/05/2023 | | | | (1 | ) |
GBP | | | 139 | | | | USD | | | | 176 | | | Bank of America, NA | | | 07/05/2023 | | | | — | (h) |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 249 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | | | | | | | | | | | | | | | |
| Forward foreign currency exchange contracts outstanding as of June 30, 2023 (continued): | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION)($) | |
USD | | | 172 | | | | GBP | | | | 139 | | | Goldman Sachs International | | | 07/05/2023 | | | | (4 | ) |
USD | | | 152 | | | | EUR | | | | 141 | | | Bank of America, NA | | | 09/20/2023 | | | | (2 | ) |
USD | | | 308 | | | | EUR | | | | 286 | | | Bank of America, NA | | | 09/20/2023 | | | | (6 | ) |
USD | | | 209 | | | | EUR | | | | 194 | | | BNP Paribas | | | 09/20/2023 | | | | (4 | ) |
USD | | | 58 | | | | EUR | | | | 54 | | | Morgan Stanley & Co. | | | 09/20/2023 | | | | (1 | ) |
USD | | | 99 | | | | EUR | | | | 92 | | | Morgan Stanley & Co. | | | 09/20/2023 | | | | (1 | ) |
USD | | | 101 | | | | EUR | | | | 94 | | | Morgan Stanley & Co. | | | 09/20/2023 | | | | (2 | ) |
USD | | | 311 | | | | EUR | | | | 288 | | | UBS AG LONDON | | | 09/20/2023 | | | | (5 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Total unrealized depreciation | | | | | | | (58 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Net unrealized appreciation (depreciation) | | | | | | | 32 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Centrally Cleared Interest Rate Swap contracts outstanding as of June 30, 2023: | |
| FLOATING RATE INDEX (a) | | FIXED RATE | | PAY/RECEIVE
FLOATING RATE | | MATURITY
DATE | | | NOTIONAL
AMOUNT | | | UPFRONT
PAYMENTS
(RECEIPTS)($) | | | UNREALIZED
APPRECIATION
(DEPRECIATION)($) | | | VALUE($) | |
United States SOFR | | 1.00% annually | | Receive | | | 06/15/2027 | | | | USD | | | | 32,500 | | | | (3,365 | ) | | | (1,325 | ) | | | (4,690 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | (3,365 | ) | | | (1,325 | ) | | | (4,690 | ) |
| | | | | | | | | | | | | | | | | |
| (a) | Value of floating rate index as of June 30, 2023 was as follows: |
| | | | |
| FLOATING RATE INDEX | | | |
United States SOFR | | | 5.09% | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| OTC Credit Default Swaps contracts outstanding — buy protection (1) as of June 30, 2023: | |
REFERENCE
OBLIGATION/INDEX | | FINANCING
RATE PAID
BY THE FUND(%) | | PAYMENT
FREQUENCY | | | COUNTERPARTY | | | MATURITY
DATE | | | IMPLIED CREDIT
SPREAD(%) (3) | | | NOTIONAL
AMOUNT (4) | | | UPFRONT
PAYMENTS
(RECEIPTS)($) (5) | | | UNREALIZED
APPRECIATION
(DEPRECIATION)($) | | | VALUE($) | |
Intrum AB,
3.13%, 07/15/2024 | | 5.00% | | | quarterly | | | | Goldman Sachs | | | | 06/20/2028 | | | | 11.13 | | | | EUR | | | | 67 | | | | 15 | | | | (1 | ) | | | 14 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 15 | | | | (1 | ) | | | 14 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| OTC Credit Default Swaps contracts outstanding — sell protection (2) as of June 30, 2023: | |
REFERENCE
OBLIGATION/INDEX | | FINANCING
RATE RECEIVED
BY THE FUND(%) | | PAYMENT
FREQUENCY | | | COUNTERPARTY | | MATURITY
DATE | | | IMPLIED CREDIT
SPREAD(%) (3) | | | NOTIONAL
AMOUNT (4) | | | UPFRONT
PAYMENTS
(RECEIPTS)($) (5) | | | UNREALIZED
APPRECIATION
(DEPRECIATION)($) | | | VALUE($) | |
thyssenkrupp AG,
2.50%, 02/25/2025 | | 5.00% | | | quarterly | | | Bank of America, NA | | | 12/20/2023 | | | | 0.66 | | | | EUR | | | | 140 | | | | (4 | ) | | | 9 | | | | 5 | |
CMA CGM SA,
7.50%, 01/15/2026 | | 5.00% | | | quarterly | | | Goldman Sachs | | | 06/20/2026 | | | | 2.08 | | | | EUR | | | | 10 | | | | 1 | | | | (— | )(h) | | | 1 | |
Jaguar Land Rover Automotive,
2.20%, 01/15/2024 | | 5.00% | | | quarterly | | | Bank of America, NA | | | 06/20/2026 | | | | 4.64 | | | | EUR | | | | 68 | | | | (2 | ) | | | 3 | | | | 1 | |
Jaguar Land Rover Automotive,
2.20%, 01/15/2024 | | 5.00% | | | quarterly | | | Barclays Bank plc | | | 12/20/2026 | | | | 5.19 | | | | EUR | | | | 30 | | | | 1 | | | | (1 | ) | | | (— | )(h) |
Jaguar Land Rover Automotive,
2.20%, 01/15/2024 | | 5.00% | | | quarterly | | | Morgan Stanley | | | 12/20/2026 | | | | 5.19 | | | | EUR | | | | 10 | | | | 1 | | | | (1 | ) | | | (— | )(h) |
Jaguar Land Rover Automotive,
2.20%, 01/15/2024 | | 5.00% | | | quarterly | | | Bank of America, NA | | | 12/20/2026 | | | | 5.19 | | | | EUR | | | | 20 | | | | (1 | ) | | | 1 | | | | (— | )(h) |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 250 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| OTC Credit Default Swaps contracts outstanding — sell protection (2) as of June 30, 2023 (continued): | |
REFERENCE
OBLIGATION/INDEX | | FINANCING
RATE RECEIVED
BY THE FUND(%) | | PAYMENT
FREQUENCY | | | COUNTERPARTY | | MATURITY
DATE | | | IMPLIED CREDIT
SPREAD(%) (3) | | | NOTIONAL
AMOUNT (4) | | | UPFRONT
PAYMENTS
(RECEIPTS)($) (5) | | | UNREALIZED
APPRECIATION
(DEPRECIATION)($) | | | VALUE($) | |
CMA CGM SA,
7.50%, 01/15/2026 | | 5.00% | | | quarterly | | | Goldman Sachs | | | 06/20/2027 | | | | 2.53 | | | | EUR | | | | 70 | | | | 2 | | | | 5 | | | | 7 | |
CMA CGM SA,
7.50%, 01/15/2026 | | 5.00% | | | quarterly | | | Barclays Bank plc | | | 06/20/2027 | | | | 2.53 | | | | EUR | | | | 49 | | | | 1 | | | | 3 | | | | 4 | |
Vietnam Government International Bond,
4.80%, 11/19/2024 | | 1.00% | | | quarterly | | | Citibank, NA | | | 12/20/2027 | | | | 1.07 | | | | USD | | | | 4,300 | | | | (124 | ) | | | 113 | | | | (11 | ) |
Adler Real Estate AG,
2.13%, 02/06/2024 | | 5.00% | | | quarterly | | | Bank of America, NA | | | 12/20/2027 | | | | 16.58 | | | | EUR | | | | 200 | | | | (50 | ) | | | (— | )(h) | | | (50 | ) |
United Group BV,
3.63%, 02/15/2028 | | 5.00% | | | quarterly | | | Bank of America, NA | | | 12/20/2027 | | | | 7.75 | | | | EUR | | | | 113 | | | | (17 | ) | | | 6 | | | | (11 | ) |
United Group BV,
3.63%, 02/15/2028 | | 5.00% | | | quarterly | | | Morgan Stanley | | | 12/20/2027 | | | | 7.75 | | | | EUR | | | | 37 | | | | (6 | ) | | | 2 | | | | (4 | ) |
Ladbrokes Group Finance plc,
5.13% 09/08/2023 | | 1.00% | | | quarterly | | | Morgan Stanley | | | 06/20/2028 | | | | 1.75 | | | | EUR | | | | 259 | | | | (19 | ) | | | 10 | | | | (9 | ) |
K+S AG, 3.25%, 07/18/2024 | | 5.00% | | | quarterly | | | Morgan Stanley | | | 06/20/2028 | | | | 2.19 | | | | EUR | | | | 94 | | | | 10 | | | | 3 | | | | 13 | |
Casino Guichard Perrachon SA,
4.05%, 08/05/2026 | | 5.00% | | | quarterly | | | Morgan Stanley | | | 06/20/2028 | | | | 462.25 | | | | EUR | | | | 150 | | | | (122 | ) | | | (31 | ) | | | (153 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | | | | | | | | | | | | | | | | (329 | ) | | | 122 | | | | (207 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Centrally Cleared Credit Default Swaps contracts outstanding — buy protection (1) as of June 30, 2023: | |
REFERENCE
OBLIGATION/INDEX | | FINANCING
RATE PAID
BY THE FUND(%) | | | PAYMENT
FREQUENCY | | | MATURITY
DATE | | | IMPLIED CREDIT
SPREAD(%) (3) | | | NOTIONAL
AMOUNT (4) | | | UPFRONT
PAYMENTS
(RECEIPTS)($) (5) | | | UNREALIZED
APPRECIATION
(DEPRECIATION)($) | | | VALUE($) | |
CDX.NA.IG.40-V1 | | | 1.00 | % | | | quarterly | | | | 06/20/2028 | | | | 0.66 | | | | USD | | | | 79,660 | | | | (1,013 | ) | | | (215 | ) | | | (1,228 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | | | | | | | | | | | | | | | | (1,013 | ) | | | (215 | ) | | | (1,228 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Centrally Cleared Credit Default Swaps contracts outstanding — sell protection (2) as of June 30, 2023: | |
REFERENCE
OBLIGATION/ INDEX | | FINANCING
RATE RECEIVED
BY THE FUND(%) | | | PAYMENT
FREQUENCY | | | MATURITY
DATE | | | IMPLIED CREDIT
SPREAD(%) (3) | | | NOTIONAL
AMOUNT (4) | | | UPFRONT
PAYMENTS
(RECEIPTS)($) (5) | | | UNREALIZED
APPRECIATION
(DEPRECIATION)($) | | | VALUE($) | |
CDX.NA.HY.40-V1 | | | 5.00 | % | | | quarterly | | | | 06/20/2028 | �� | | | 4.27 | | | | USD | | | | 27,298 | | | | (43 | ) | | | 867 | | | | 824 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | | | | | | | | | | | | | | | | (43 | ) | | | 867 | | | | 824 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (1) | The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay or receive an upfront premium to or from the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. |
| (2) | The Fund, as a seller of credit protection, receives periodic payments and may also receive or pay an upfront premium from or to the protection buyer, and is obligated to make a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. |
| (3) | Implied credit spreads are an indication of the seller’s performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e. make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average spread across the underlying reference obligations included in a particular index. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 251 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| (4) | The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive, upon occurrence of a credit event. |
| (5) | Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). |
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023
| | |
| CDX | | — Credit Default Swap Index |
| CLO | | — Collateralized Loan Obligations |
| CMT | | — Constant Maturity Treasury |
| DN | | — Discount Notes |
| EURIBOR | | — Euro Interbank Offered Rate |
| FHLB | | — Federal Home Loan Bank |
| FHLMC | | — Federal Home Loan Mortgage Corp. |
| FNMA | | — Federal National Mortgage Association |
| ICE | | — Intercontinental Exchange |
| IO | | — Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As result, interest income may be reduced considerably. |
| LIBOR | | — London Interbank Offered Rate |
| Reg. S | | — Security was purchased pursuant to Regulation S under the Securities Act of 1933, as amended (the “Securities Act”), which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act, or pursuant to an exemption from registration. |
| REIT | | — Real Estate Investment Trust |
| SOFR | | — Secured Overnight Financing Rate |
| (a) | | — Non-income producing security. |
| (d) | | — Defaulted Security. Security has not paid its last interest payment and/or interest is not being accrued. |
| (e) | | — Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| (g) | | — Amount rounds to less than 0.05%. |
| (f) | | — Security is exempt from registration under Rule 144A or Section 4 (a) (2) of the Securities Act of 1933, as amended. |
| | |
| (h) | | — Amount rounds to less than 500 shares or principal/ $500. |
| (n) | | — The rate shown is the effective yield as of June 30, 2023. |
| (o) | | — Loan assignments are presented by obligor. Each Series or loan tranche underlying each obligor may have varying terms. |
| (u) | | — All or a portion of the security is unsettled as of June 30, 2023. Unless otherwise indicated, the coupon rate is undetermined. |
| (v) | | — Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. |
| (w) | | — All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
| (x) | | — Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of June 30, 2023. |
| (z) | | — Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of June 30, 2023. |
| (aa) | | — Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of June 30, 2023. |
| (bb) | | — Security has been valued using significant unobservable inputs. |
| (cc) | | — Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| (ee) | | — Approximately $1,569 of these investments are restricted as collateral for swaps to Citigroup Clearing. |
| (ii) | | — Approximately $267 of these investments are restricted as collateral for forwards to Bank of America, NA. |
| * | | — The cost of securities is substantially the same for federal income tax purposes. |
| CAD | | — Canadian Dollar |
| CHF | | — Swiss Franc |
| EUR | | — Euro |
| GBP | | — British Pound |
| USD | | — United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 252 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2023 (Unaudited)
(Amounts in thousands)
| | | | |
| | | Six Circles Ultra
Short Duration
Fund | |
ASSETS: | | | | |
Investments in non-affiliates, at value | | $ | 572,468 | |
Repurchase agreements, at value | | | 3,500 | |
Foreign currency, at value | | | 4 | |
Deposits at broker for futures contracts | | | 490 | |
Deposits at broker for centrally cleared swaps | | | 181 | |
Receivables: | | | | |
Investment securities sold | | | 312 | |
Fund shares sold | | | 825 | |
Interest and dividends from non-affiliates | | | 3,668 | |
Variation margin on centrally cleared swaps (net upfront receipts of $104) | | | 59 | |
Unrealized appreciation on forward foreign currency exchange contracts | | | 1,197 | |
| | | | |
Total Assets | | | 582,704 | |
| | | | |
| |
LIABILITIES: | | | | |
Payables: | | | | |
Due to custodian — cash | | | 193 | |
Deposits from broker for OTC contracts | | | 130 | |
Investment securities purchased | | | 996 | |
Fund shares redeemed | | | 271 | |
Variation margin on futures contracts | | | 19 | |
Unrealized depreciation on forward foreign currency exchange contracts | | | 245 | |
Accrued liabilities: | | | | |
Investment advisory fees | | | 81 | |
Administration fees | | | 16 | |
Custodian and accounting fees | | | 34 | |
Other | | | 138 | |
| | | | |
Total Liabilities | | | 2,123 | |
| | | | |
Net Assets | | $ | 580,581 | |
| | | | |
| |
NET ASSETS: | | | | |
Paid-in capital | | $ | 598,491 | |
Total distributable earnings (loss) | | | (17,910 | ) |
| | | | |
Total Net Assets | | $ | 580,581 | |
| | | | |
Outstanding units of beneficial interest (shares) | | | | |
($0.0001 par value; unlimited number of shares authorized): | | | 59,380 | |
Net Asset Value, offering and redemption price per share:(a) | | $ | 9.78 | |
Cost of investments in non-affiliates | | $ | 579,671 | |
Cost of repurchase agreements | | | 3,500 | |
Cost of foreign currency | | | 4 | |
| (a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 253 |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in thousands)
| | | | |
| | | Six Circles Tax
Aware Ultra
Short Duration
Fund | |
ASSETS: | | | | |
Investments in non-affiliates, at value | | $ | 691,118 | |
Repurchase agreements, at value | | | 3,100 | |
Foreign currency, at value | | | 13 | |
Deposits at broker for futures contracts | | | 393 | |
Deposits at broker for centrally cleared swaps | | | 196 | |
Receivables: | | | | |
Investment securities sold | | | 341 | |
Fund shares sold | | | 1,364 | |
Interest and dividends from non-affiliates | | | 4,555 | |
Variation margin on futures contracts | | | 16 | |
Variation margin on centrally cleared swaps (net upfront receipts of $107) | | | 47 | |
Unrealized appreciation on forward foreign currency exchange contracts | | | 176 | |
| | | | |
Total Assets | | | 701,319 | |
| | | | |
| |
LIABILITIES: | | | | |
Payables: | | | | |
Due to custodian — cash | | | 65 | |
Deposits from broker for OTC contracts | | | 210 | |
Interest expense | | | 1 | |
Investment securities purchased | | | 8,218 | |
Fund shares redeemed | | | 217 | |
Unrealized depreciation on forward foreign currency exchange contracts | | | 180 | |
Accrued liabilities: | | | | |
Investment advisory fees | | | 53 | |
Administration fees | | | 16 | |
Custodian and accounting fees | | | 22 | |
Registration and filing fees | | | 3 | |
Other | | | 55 | |
| | | | |
Total Liabilities | | | 9,040 | |
| | | | |
Net Assets | | $ | 692,279 | |
| | | | |
| |
NET ASSETS: | | | | |
Paid-in capital | | $ | 708,424 | |
Total distributable earnings (loss) | | | (16,145 | ) |
| | | | |
Total Net Assets | | $ | 692,279 | |
| | | | |
Outstanding units of beneficial interest (shares) | | | | |
($0.0001 par value; unlimited number of shares authorized): | | | 70,749 | |
Net Asset Value, offering and redemption price per share:(a) | | $ | 9.78 | |
Cost of investments in non-affiliates | | $ | 698,047 | |
Cost of repurchase agreements | | | 3,100 | |
Cost of foreign currency | | | 13 | |
| (a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 254 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | |
| | | Six Circles U.S.
Unconstrained
Equity Fund | |
ASSETS: | | | | |
Investments in non-affiliates, at value | | $ | 20,284,853 | |
Deposits at broker for futures contracts | | | 16,956 | |
Prepaid expenses | | | 7 | |
Receivables: | | | | |
Fund shares sold | | | 33,054 | |
Interest and dividends from non-affiliates | | | 10,613 | |
Tax reclaims | | | 54 | |
Variation margin on futures contracts | | | 3,858 | |
Other assets | | | 12 | |
| | | | |
Total Assets | | | 20,349,407 | |
| | | | |
| |
LIABILITIES: | | | | |
Payables: | | | | |
Due to custodian — cash | | | 9 | |
Investment securities purchased | | | 270,570 | |
Fund shares redeemed | | | 12,418 | |
Accrued liabilities: | | | | |
Investment advisory fees | | | 1,014 | |
Administration fees | | | 96 | |
Custodian and accounting fees | | | 96 | |
Trustees’ fees | | | 27 | |
Other | | | 358 | |
| | | | |
Total Liabilities | | | 284,588 | |
| | | | |
Net Assets | | $ | 20,064,819 | |
| | | | |
| |
NET ASSETS: | | | | |
Paid-in capital | | $ | 16,612,784 | |
Total distributable earnings (loss) | | | 3,452,035 | |
| | | | |
Total Net Assets | | $ | 20,064,819 | |
| | | | |
Outstanding units of beneficial interest (shares) | | | | |
($0.0001 par value; unlimited number of shares authorized): | | | 1,464,397 | |
Net Asset Value, offering and redemption price per share:(a) | | $ | 13.70 | |
Cost of investments in non-affiliates | | $ | 16,388,930 | |
| (a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 255 |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in thousands)
| | | | |
| | | Six Circles
International
Unconstrained
Equity Fund | |
ASSETS: | | | | |
Investments in non-affiliates, at value | | $ | 13,084,966 | |
Foreign currency, at value | | | 506 | |
Deposits at broker for futures contracts | | | 6,568 | |
Prepaid expenses | | | — | (a) |
Receivables: | | | | |
Investment securities sold | | | 343 | |
Fund shares sold | | | 17,050 | |
Interest and dividends from non-affiliates | | | 13,170 | |
Tax reclaims | | | 75,392 | |
Variation margin on futures contracts | | | 782 | |
| | | | |
Total Assets | | | 13,198,777 | |
| | | | |
| |
LIABILITIES: | | | | |
Payables: | | | | |
Due to custodian — cash | | | 58 | |
Deposits from broker for futures contracts | | | 71 | |
Investment securities purchased | | | 188 | |
Fund shares redeemed | | | 5,454 | |
Accrued liabilities: | | | | |
Investment advisory fees | | | 1,029 | |
Administration fees | | | 87 | |
Custodian and accounting fees | | | 319 | |
Trustees’ fees | | | 18 | |
Registration and filing fees | | | 6 | |
Other | | | 422 | |
| | | | |
Total Liabilities | | | 7,652 | |
| | | | |
Net Assets | | $ | 13,191,125 | |
| | | | |
| |
NET ASSETS: | | | | |
Paid-in capital | | $ | 12,594,070 | |
Total distributable earnings (loss) | | | 597,055 | |
| | | | |
Total Net Assets | | $ | 13,191,125 | |
| | | | |
Outstanding units of beneficial interest (shares) | | | | |
($0.0001 par value; unlimited number of shares authorized): | | | 1,246,646 | |
Net Asset Value, offering and redemption price per share:(b) | | $ | 10.58 | |
Cost of investments in non-affiliates | | $ | 11,437,167 | |
Cost of foreign currency | | | 506 | |
| (a) | Amount rounds to less than $500. |
| (b) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 256 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | |
| | | Six Circles
Global Bond
Fund | |
ASSETS: | | | | |
Investments in non-affiliates, at value | | $ | 10,342,927 | |
Repurchase agreements, at value | | | 47,700 | |
Foreign currency, at value | | | 1,367 | |
Deposits at broker for futures contracts | | | 3,637 | |
Deposits at broker for centrally cleared swaps | | | 3,945 | |
Receivables: | | | | |
Investment securities sold | | | 43,084 | |
Investment securities sold — delayed delivery securities | | | 1,101,172 | |
Reverse Repurchase Agreement | | | 1,555 | |
Fund shares sold | | | 36,387 | |
Interest and dividends from non-affiliates | | | 79,932 | |
Unrealized appreciation on forward foreign currency exchange contracts | | | 41,026 | |
| | | | |
Total Assets | | | 11,702,732 | |
| | | | |
| |
LIABILITIES: | | | | |
Payable for reverse repurchase agreements | | | 118,631 | |
Payables: | | | | |
Securities sold short, at value | | | 176,075 | |
Due to custodian—cash | | | 45 | |
Deposits from broker for OTC contracts | | | 2,490 | |
Deposits from broker for delayed delivery securities | | | 902 | |
Interest expense | | | 18 | |
Investment securities purchased | | | 136,099 | |
Investment securities purchased — delayed delivery securities | | | 1,423,653 | |
Fund shares redeemed | | | 3,873 | |
Variation margin on futures contracts | | | 1,221 | |
Variation margin on centrally cleared swaps (net upfront payments of $904) | | | 23 | |
Outstanding options written, at fair value | | | 218 | |
Unrealized depreciation on forward foreign currency exchange contracts | | | 118,400 | |
Outstanding OTC swap contracts, at value (net upfront payments of $–(a)) | | | 96 | |
Accrued liabilities: | | | | |
Investment advisory fees | | | 917 | |
Administration fees | | | 102 | |
Custodian and accounting fees | | | 606 | |
Other | | | 221 | |
| | | | |
Total Liabilities | | | 1,983,590 | |
| | | | |
Net Assets | | $ | 9,719,142 | |
| | | | |
NET ASSETS: | | | | |
Paid-in capital | | $ | 11,367,725 | |
Total distributable earnings (loss) | | | (1,648,583 | ) |
| | | | |
Total Net Assets | | $ | 9,719,142 | |
| | | | |
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized): | | | 1,187,829 | |
Net Asset Value, offering and redemption price per share (b): | | $ | 8.18 | |
Cost of investments in non-affiliates | | $ | 10,868,557 | |
Cost of repurchase agreements | | | 47,700 | |
Cost of foreign currency | | | 1,367 | |
Proceeds from securities sold short | | | (178,508 | ) |
Premiums received from options written | | | (324 | ) |
| (a) | Amount rounds to less than $500. |
| (b) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 257 |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in thousands)
| | | | |
| | | Six Circles
Tax Aware
Bond Fund | |
ASSETS: | | | | |
Investments in non-affiliates, at value | | $ | 6,263,760 | |
Deposits at broker for futures contracts | | | 517 | |
Receivables: | | | | |
Investment securities sold | | | 7 | |
Fund shares sold | | | 15,537 | |
Interest and dividends from non-affiliates | | | 70,739 | |
| | | | |
Total Assets | | | 6,350,560 | |
| | | | |
| |
LIABILITIES: | | | | |
Payables: | | | | |
Due to custodian — cash | | | 155 | |
Investment securities purchased | | | 44,743 | |
Fund shares redeemed | | | 2,079 | |
Variation margin on futures contracts | | | 77 | |
Accrued liabilities: | | | | |
Investment advisory fees | | | 557 | |
Administration fees | | | 80 | |
Custodian and accounting fees | | | 164 | |
Trustees’ fees | | | 5 | |
Registration and filing fees | | | 5 | |
Other | | | 136 | |
| | | | |
Total Liabilities | | | 48,001 | |
| | | | |
Net Assets | | $ | 6,302,559 | |
| | | | |
| |
NET ASSETS: | | | | |
Paid-in capital | | $ | 6,734,257 | |
Total distributable earnings (loss) | | | (431,698 | ) |
| | | | |
Total Net Assets | | $ | 6,302,559 | |
| | | | |
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized): | | | 652,908 | |
Net Asset Value, offering and redemption price per share (a): | | $ | 9.65 | |
Cost of investments in non-affiliates | | $ | 6,558,199 | |
| (a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 258 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | |
| | | Six Circles
Credit
Opportunities
Fund | |
ASSETS: | | | | |
Investments in non-affiliates, at value | | $ | 3,157,029 | |
Cash | | | 1,019 | |
Deposits at broker for futures contracts | | | 1,379 | |
Deposits at broker for centrally cleared swaps | | | 904 | |
Receivables: | | | | |
Investment securities sold | | | 27,663 | |
Fund shares sold | | | 9,420 | |
Interest and dividends from non-affiliates | | | 55,049 | |
Variation margin on futures contracts | | | 368 | |
Unrealized appreciation on forward foreign currency exchange contracts | | | 90 | |
Outstanding OTC swap contracts, at value (net upfront payments of $24) | | | 45 | |
Unrealized appreciation on unfunded commitments | | | 21 | |
| | | | |
Total Assets | | | 3,252,987 | |
| | | | |
| |
LIABILITIES: | | | | |
Payables: | | | | |
Due to custodian — foreign currency | | | 8 | |
Investment securities purchased | | | 26,915 | |
Fund shares redeemed | | | 946 | |
Variation margin on centrally cleared swaps (net upfront receipts of $4,421) | | | 1,138 | |
Unrealized depreciation on forward foreign currency exchange contracts | | | 58 | |
Outstanding OTC swap contracts, at value (net upfront receipts of $338) | | | 238 | |
Accrued liabilities: | | | | |
Investment advisory fees | | | 920 | |
Administration fees | | | 113 | |
Custodian and accounting fees | | | 176 | |
Trustees’ fees | | | 25 | |
Registration and filing fees | | | 127 | |
Other | | | 125 | |
| | | | |
Total Liabilities | | | 30,789 | |
| | | | |
Net Assets | | $ | 3,222,198 | |
| | | | |
| |
NET ASSETS: | | | | |
Paid-in capital | | $ | 3,610,667 | |
Total distributable earnings (loss) | | | (388,469 | ) |
| | | | |
Total Net Assets | | $ | 3,222,198 | |
| | | | |
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized): | | | 373,818 | |
Net Asset Value, offering and redemption price per share (a): | | $ | 8.62 | |
Cost of investments in non-affiliates | | $ | 3,294,094 | |
| (a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 259 |
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2023 (Unaudited)
(Amounts in thousands)
| | | | |
| | | Six Circles Ultra Short
Duration Fund | |
INVESTMENT INCOME: | | | | |
Interest income from non-affiliates | | $ | 11,164 | |
| | | | |
Total investment income | | | 11,164 | |
| | | | |
| |
EXPENSES: | | | | |
Investment advisory fees | | | 709 | |
Administration fees | | | 31 | |
Custodian and accounting fees | | | 73 | |
Professional fees | | | 36 | |
Trustees’ fees | | | 14 | |
Printing and mailing costs | | | 43 | |
Registration and filing fees | | | 12 | |
Transfer agency fees | | | 14 | |
Interest expense | | | 9 | |
Other | | | 6 | |
| | | | |
Total expenses | | | 947 | |
| | | | |
Less advisory fees waived | | | (381 | ) |
| | | | |
Net expenses | | | 566 | |
| | | | |
Net investment income (loss) | | | 10,598 | |
| | | | |
| |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | |
Net realized gain (loss) on: | | | | |
Investments in non-affiliates | | | (165 | ) |
Futures contracts | | | (823 | ) |
Foreign currency transactions | | | (268 | ) |
Forward foreign currency exchange contracts | | | (1,494 | ) |
Swaps | | | 146 | |
| | | | |
Net realized gain (loss) | | | (2,604 | ) |
| | | | |
Change in net unrealized appreciation (depreciation) of: | | | | |
Investments in non-affiliates | | | 3,246 | |
Futures contracts | | | 434 | |
Foreign currency translations | | | (2 | ) |
Forward foreign currency exchange contracts | | | 2,470 | |
Swaps | | | (241 | ) |
| | | | |
Change in net unrealized appreciation (depreciation) | | | 5,907 | |
| | | | |
Net realized/unrealized gains (losses) | | | 3,303 | |
| | | | |
Change in net assets resulting from operations | | $ | 13,901 | |
| | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 260 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | |
| | | Six Circles Tax Aware
Ultra Short
Duration Fund | |
INVESTMENT INCOME: | | | | |
Interest income from non-affiliates | | $ | 9,544 | |
Other Income | | | (— | )(a) |
| | | | |
Total investment income | | | 9,544 | |
| | | | |
| |
EXPENSES: | | | | |
Investment advisory fees | | | 815 | |
Administration fees | | | 31 | |
Custodian and accounting fees | | | 51 | |
Professional fees | | | 35 | |
Trustees’ fees | | | 15 | |
Printing and mailing costs | | | 8 | |
Registration and filing fees | | | 15 | |
Transfer agency fees | | | 14 | |
Interest expense | | | 9 | |
Other | | | 5 | |
| | | | |
Total expenses | | | 998 | |
| | | | |
Less advisory fees waived | | | (506 | ) |
| | | | |
Net expenses | | | 492 | |
| | | | |
Net investment income (loss) | | | 9,052 | |
| | | | |
| |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | |
Net realized gain (loss) on: | | | | |
Investments in non-affiliates | | | (665 | ) |
Futures contracts | | | (819 | ) |
Foreign currency transactions | | | (36 | ) |
Forward foreign currency exchange contracts | | | (278 | ) |
Swaps | | | 153 | |
| | | | |
Net realized gain (loss) | | | (1,645 | ) |
| | | | |
Change in net unrealized appreciation (depreciation) of: | | | | |
Investments in non-affiliates | | | 1,513 | |
Futures contracts | | | 29 | |
Foreign currency translations | | | (1 | ) |
Forward foreign currency exchange contracts | | | 446 | |
Swaps | | | (228 | ) |
| | | | |
Change in net unrealized appreciation (depreciation) | | | 1,759 | |
| | | | |
Net realized/unrealized gains (losses) | | | 114 | |
| | | | |
Change in net assets resulting from operations | | $ | 9,166 | |
| | | | |
| (a) | Amount rounds to less than $500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 261 |
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2023 (Unaudited) (continued)
(Amounts in thousands)
| | | | |
| | | Six Circles U.S.
Unconstrained
Equity Fund | |
INVESTMENT INCOME: | | | | |
Interest income from non-affiliates | | $ | 3,684 | |
Dividend income from non-affiliates | | | 109,404 | |
Foreign taxes withheld | | | (26 | ) |
| | | | |
Total investment income | | | 113,062 | |
| | | | |
| |
EXPENSES: | | | | |
Investment advisory fees | | | 19,941 | |
Administration fees | | | 193 | |
Custodian and accounting fees | | | 224 | |
Professional fees | | | 156 | |
Trustees’ fees | | | 212 | |
Printing and mailing costs | | | 126 | |
Registration and filing fees | | | 91 | |
Transfer agency fees | | | 17 | |
Interest expense | | | 150 | |
Other | | | 182 | |
| | | | |
Total expenses | | | 21,292 | |
| | | | |
Less advisory fees waived | | | (16,886 | ) |
| | | | |
Net expenses | | | 4,406 | |
| | | | |
Net investment income (loss) | | | 108,656 | |
| | | | |
| |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | |
Net realized gain (loss) on: | | | | |
Investments in non-affiliates | | | 339,278 | |
Futures contracts | | | (1,688 | ) |
| | | | |
Net realized gain (loss) | | | 337,590 | |
| | | | |
Change in net unrealized appreciation (depreciation) of: | | | | |
Investments in non-affiliates | | | 2,387,979 | |
Futures contracts | | | 7,617 | |
| | | | |
Change in net unrealized appreciation (depreciation) | | | 2,395,596 | |
| | | | |
Net realized/unrealized gains (losses) | | | 2,733,186 | |
| | | | |
Change in net assets resulting from operations | | $ | 2,841,842 | |
| | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 262 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | |
| | | Six Circles
International
Unconstrained
Equity Fund | |
INVESTMENT INCOME: | | | | |
Interest income from non-affiliates | | $ | 1,163 | |
Dividend income from non-affiliates | | | 303,773 | |
Foreign taxes withheld | | | (35,820 | ) |
Other Income | | | 29 | |
| | | | |
Total investment income | | | 269,145 | |
| | | | |
| |
EXPENSES: | | | | |
Investment advisory fees | | | 15,686 | |
Administration fees | | | 186 | |
Custodian and accounting fees | | | 837 | |
Professional fees | | | 148 | |
Trustees’ fees | | | 167 | |
Printing and mailing costs | | | 111 | |
Registration and filing fees | | | 71 | |
Transfer agency fees | | | 16 | |
Interest expense | | | 44 | |
Other | | | 251 | |
| | | | |
Total expenses | | | 17,517 | |
| | | | |
Less advisory fees waived | | | (12,667 | ) |
| | | | |
Net expenses | | | 4,850 | |
| | | | |
Net investment income (loss) | | | 264,295 | |
| | | | |
| |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | |
Net realized gain (loss) on: | | | | |
Investments in non-affiliates | | | 161,478 | |
Futures contracts | | | 7,188 | |
Foreign currency transactions | | | 1,739 | |
Forward foreign currency exchange contracts | | | 317 | |
| | | | |
Net realized gain (loss) | | | 170,722 | |
| | | | |
Change in net unrealized appreciation (depreciation) of: | | | | |
Investments in non-affiliates | | | 1,139,967 | (a) |
Futures contracts | | | 2,208 | |
Foreign currency translations | | | 1,419 | |
| | | | |
Change in net unrealized appreciation (depreciation) | | | 1,143,594 | |
| | | | |
Net realized/unrealized gains (losses) | | | 1,314,316 | |
| | | | |
Change in net assets resulting from operations | | $ | 1,578,611 | |
| | | | |
| (a) | Net of change in foreign capital gains tax of approximately $485. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 263 |
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2023 (Unaudited) (continued)
(Amounts in thousands)
| | | | |
| | | Six Circles
Global Bond
Fund | |
INVESTMENT INCOME: | | | | |
Interest income from non-affiliates | | $ | 143,774 | |
Foreign taxes withheld | | | (80 | ) |
Other Income | | | 16 | |
| | | | |
Total investment income | | | 143,710 | |
| | | | |
| |
EXPENSES: | | | | |
Investment advisory fees | | | 11,185 | |
Administration fees | | | 205 | |
Custodian and accounting fees | | | 1,397 | |
Professional fees | | | 96 | |
Trustees’ fees | | | 119 | |
Printing and mailing costs | | | 84 | |
Registration and filing fees | | | 114 | |
Transfer agency fees | | | 16 | |
Interest expense | | | 2,263 | |
Other | | | 73 | |
| | | | |
Total expenses | | | 15,552 | |
| | | | |
Less advisory fees waived | | | (8,052 | ) |
| | | | |
Net expenses | | | 7,500 | |
| | | | |
Net investment income (loss) | | | 136,210 | |
| | | | |
| |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | |
Net realized gain (loss) on: | | | | |
Investments in non-affiliates | | | (120,220 | ) |
Options purchased | | | (27 | ) |
Options written | | | 2,279 | |
Futures contracts | | | (664 | ) |
Foreign currency transactions | | | 18,152 | |
Forward foreign currency exchange contracts | | | (91,298 | ) |
Securities sold short | | | 1,833 | |
Swaps | | | 2,860 | |
| | | | |
Net realized gain (loss) | | | (187,085 | ) |
| | | | |
Change in net unrealized appreciation (depreciation) of: | | | | |
Investments in non-affiliates | | | 214,960 | |
Options purchased | | | (8 | ) |
Options written | | | 506 | |
Futures contracts | | | 1,559 | |
Foreign currency translations | | | (2,647 | ) |
Forward foreign currency exchange contracts | | | 62,633 | |
Securities sold short | | | (244 | ) |
Swaps | | | (3,782 | ) |
| | | | |
Change in net unrealized appreciation (depreciation) | | | 272,977 | |
| | | | |
Net realized/unrealized gains (losses) | | | 85,892 | |
| | | | |
Change in net assets resulting from operations | | $ | 222,102 | |
| | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 264 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | |
| | | Six Circles
Tax Aware
Bond Fund | |
INVESTMENT INCOME: | | | | |
Interest income from non-affiliates | | $ | 84,247 | |
| | | | |
Total investment income | | | 84,247 | |
| | | | |
| |
EXPENSES: | | | | |
Investment advisory fees | | | 7,629 | |
Administration fees | | | 177 | |
Custodian and accounting fees | | | 358 | |
Professional fees | | | 76 | |
Trustees’ fees | | | 78 | |
Printing and mailing costs | | | 37 | |
Registration and filing fees | | | 41 | |
Transfer agency fees | | | 16 | |
Interest expense | | | — | (a) |
Other | | | 22 | |
| | | | |
Total expenses | | | 8,434 | |
| | | | |
Less advisory fees waived | | | (4,303 | ) |
| | | | |
Net expenses | | | 4,131 | |
| | | | |
Net investment income (loss) | | | 80,116 | |
| | | | |
| |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | |
Net realized gain (loss) on: | | | | |
Investments in non-affiliates | | | (14,727 | ) |
Futures contracts | | | (514 | ) |
| | | | |
Net realized gain (loss) | | | (15,241 | ) |
| | | | |
Change in net unrealized appreciation (depreciation) of: | | | | |
Investments in non-affiliates | | | 97,658 | |
Futures contracts | | | (1,005 | ) |
| | | | |
Change in net unrealized appreciation (depreciation) | | | 96,653 | |
| | | | |
Net realized/unrealized gains (losses) | | | 81,412 | |
| | | | |
Change in net assets resulting from operations | | $ | 161,528 | |
| | | | |
| (a) | Amount rounds to less than $500. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 265 |
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2023 (Unaudited) (continued)
(Amounts in thousands)
| | | | |
| | | Six Circles
Credit
Opportunities
Fund | |
INVESTMENT INCOME: | | | | |
Interest income from non-affiliates | | $ | 148,776 | |
Foreign taxes withheld | | | (14 | ) |
Other Income | | | 4 | |
| | | | |
Total investment income | | | 148,766 | |
| | | | |
| |
EXPENSES: | | | | |
Investment advisory fees | | | 13,280 | |
Administration fees | | | 178 | |
Custodian and accounting fees | | | 333 | |
Professional fees | | | 126 | |
Trustees’ fees | | | 69 | |
Printing and mailing costs | | | 100 | |
Registration and filing fees | | | 156 | |
Transfer agency fees | | | 15 | |
Interest expense | | | 2 | |
Other | | | 19 | |
| | | | |
Total expenses | | | 14,278 | |
| | | | |
Less advisory fees waived | | | (8,942 | ) |
| | | | |
Net expenses | | | 5,336 | |
| | | | |
Net investment income (loss) | | | 143,430 | |
| | | | |
| |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | |
Net realized gain (loss) on: | | | | |
Investments in non-affiliates | | | (68,860 | ) |
Futures contracts | | | (1,959 | ) |
Foreign currency transactions | | | (244 | ) |
Forward foreign currency exchange contracts | | | (222 | ) |
Swaps | | | 1,578 | |
| | | | |
Net realized gain (loss) | | | (69,707 | ) |
| | | | |
Change in net unrealized appreciation (depreciation) of: | | | | |
Investments in non-affiliates | | | 77,789 | |
Futures contracts | | | (2,483 | ) |
Foreign currency translations | | | (15 | ) |
Forward foreign currency exchange contracts | | | 197 | |
Swaps | | | (4,774 | ) |
Unfunded commitments | | | 57 | |
| | | | |
Change in net unrealized appreciation (depreciation) | | | 70,771 | |
| | | | |
Net realized/unrealized gains (losses) | | | 1,064 | |
| | | | |
Change in net assets resulting from operations | | $ | 144,494 | |
| | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 266 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| | | | | | | | |
| | | Six Circles Ultra Short Duration Fund | |
| | | Period Ended
June 30, 2023
(Unaudited) | | | Year Ended
December 31, 2022 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | | |
Net investment income (loss) | | $ | 10,598 | | | $ | 8,550 | |
Net realized gain (loss) | | | (2,604 | ) | | | 527 | |
Change in net unrealized appreciation (depreciation) | | | 5,907 | | | | (9,738 | ) |
| | | | | | | | |
Change in net assets resulting from operations | | | 13,901 | | | | (661 | ) |
| | | | | | | | |
| | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | |
Distributions to shareholders | | | (10,855 | ) | | | (13,350 | ) |
| | |
CAPITAL TRANSACTIONS: | | | | | | | | |
Change in net assets resulting from capital transactions | | | 10,113 | | | | (38,990 | ) |
| | | | | | | | |
| | |
NET ASSETS: | | | | | | | | |
Change in net assets | | | 13,159 | | | | (53,001 | ) |
Beginning of period | | | 567,422 | | | | 620,423 | |
| | | | | | | | |
End of period | | $ | 580,581 | | | $ | 567,422 | |
| | | | | | | | |
| | |
CAPITAL TRANSACTIONS: | | | | | | | | |
Proceeds from shares issued | | $ | 40,952 | | | $ | 70,561 | |
Distributions reinvested | | | 10,853 | | | | 13,348 | |
Cost of shares redeemed | | | (41,692 | ) | | | (122,899 | ) |
| | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | 10,113 | | | $ | (38,990 | ) |
| | | | | | | | |
| | |
SHARE TRANSACTIONS: | | | | | | | | |
Issued | | | 4,187 | | | | 7,166 | |
Reinvested | | | 1,112 | | | | 1,367 | |
Redeemed | | | (4,264 | ) | | | (12,514 | ) |
| | | | | | | | |
Change in Shares | | | 1,035 | | | | (3,981 | ) |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 267 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | |
| | | Six Circles Tax Aware
Ultra Short Duration Fund | |
| | | Period Ended
June 30, 2023
(Unaudited) | | | Year Ended
December 31, 2022 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | | |
Net investment income (loss) | | $ | 9,052 | | | $ | 6,466 | |
Net realized gain (loss) | | | (1,645 | ) | | | (1,006 | ) |
Change in net unrealized appreciation (depreciation) | | | 1,759 | | | | (7,942 | ) |
| | | | | | | | |
Change in net assets resulting from operations | | | 9,166 | | | | (2,482 | ) |
| | | | | | | | |
| | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | |
Distributions to shareholders | | | (9,075 | ) | | | (9,164 | ) |
| | |
CAPITAL TRANSACTIONS: | | | | | | | | |
Change in net assets resulting from capital transactions | | | 127,898 | | | | (67,131 | ) |
| | | | | | | | |
| | |
NET ASSETS: | | | | | | | | |
Change in net assets | | | 127,989 | | | | (78,777 | ) |
Beginning of period | | | 564,290 | | | | 643,067 | |
| | | | | | | | |
End of period | | $ | 692,279 | | | $ | 564,290 | |
| | | | | | | | |
| | |
CAPITAL TRANSACTIONS: | | | | | | | | |
Proceeds from shares issued | | $ | 172,735 | | | $ | 71,441 | |
Distributions reinvested | | | 9,069 | | | | 9,157 | |
Cost of shares redeemed | | | (53,906 | ) | | | (147,729 | ) |
| | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | 127,898 | | | $ | (67,131 | ) |
| | | | | | | | |
| | |
SHARE TRANSACTIONS: | | | | | | | | |
Issued | | | 17,627 | | | | 7,231 | |
Reinvested | | | 926 | | | | 934 | |
Redeemed | | | (5,501 | ) | | | (14,993 | ) |
| | | | | | | | |
Change in Shares | | | 13,052 | | | | (6,828 | ) |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 268 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| | | Six Circles U.S. Unconstrained
Equity Fund | |
| | | Period Ended
June 30, 2023
(Unaudited) | | | Year Ended
December 31, 2022 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | | |
Net investment income (loss) | | $ | 108,656 | | | $ | 201,435 | |
Net realized gain (loss) | | | 337,590 | | | | (702,559 | ) |
Change in net unrealized appreciation (depreciation) | | | 2,395,596 | | | | (3,550,492 | ) |
| | | | | | | | |
Change in net assets resulting from operations | | | 2,841,842 | | | | (4,051,616 | ) |
| | | | | | | | |
| | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | |
Distributions to shareholders | | | — | | | | (386,090 | ) |
| | |
CAPITAL TRANSACTIONS: | | | | | | | | |
Change in net assets resulting from capital transactions | | | 2,532,271 | | | | 790,459 | |
| | | | | | | | |
| | |
NET ASSETS: | | | | | | | | |
Change in net assets | | | 5,374,113 | | | | (3,647,247 | ) |
Beginning of period | | | 14,690,706 | | | | 18,337,953 | |
| | | | | | | | |
End of period | | $ | 20,064,819 | | | $ | 14,690,706 | |
| | | | | | | | |
| | |
CAPITAL TRANSACTIONS: | | | | | | | | |
Proceeds from shares issued | | $ | 3,667,273 | | | $ | 3,894,429 | |
Distributions reinvested | | | — | | | | 385,573 | |
Cost of shares redeemed | | | (1,135,002 | ) | | | (3,489,543 | ) |
| | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | 2,532,271 | | | $ | 790,459 | |
| | | | | | | | |
| | |
SHARE TRANSACTIONS: | | | | | | | | |
Issued | | | 280,711 | | | | 298,755 | |
Reinvested | | | — | | | | 33,012 | |
Redeemed | | | (91,641 | ) | | | (278,426 | ) |
| | | | | | | | |
Change in Shares | | | 189,070 | | | | 53,341 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 269 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | |
| | | Six Circles International
Unconstrained Equity Fund | |
| | | Period Ended
June 30, 2023
(Unaudited) | | | Year Ended
December 31, 2022 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | | |
Net investment income (loss) | | $ | 264,295 | | | $ | 353,118 | |
Net realized gain (loss) | | | 170,722 | | | | (1,287,545 | ) |
Change in net unrealized appreciation (depreciation) | | | 1,143,594 | | | | (1,221,477 | ) |
| | | | | | | | |
Change in net assets resulting from operations | | | 1,578,611 | | | | (2,155,904 | ) |
| | | | | | | | |
| | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | |
Distributions to shareholders | | | — | | | | (353,505 | ) |
| | |
CAPITAL TRANSACTIONS: | | | | | | | | |
Change in net assets resulting from capital transactions | | | 231,888 | | | | (338,528 | ) |
| | | | | | | | |
| | |
NET ASSETS: | | | | | | | | |
Change in net assets | | | 1,810,499 | | | | (2,847,937 | ) |
Beginning of period | | | 11,380,626 | | | | 14,228,563 | |
| | | | | | | | |
End of period | | $ | 13,191,125 | | | $ | 11,380,626 | |
| | | | | | | | |
| | |
CAPITAL TRANSACTIONS: | | | | | | | | |
Proceeds from shares issued | | $ | 1,188,965 | | | $ | 4,195,948 | |
Distributions reinvested | | | — | | | | 353,267 | |
Cost of shares redeemed | | | (957,077 | ) | | | (4,887,743 | ) |
| | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | 231,888 | | | $ | (338,528 | ) |
| | | | | | | | |
| | |
SHARE TRANSACTIONS: | | | | | | | | |
Issued | | | 116,178 | | | | 441,008 | |
Reinvested | | | — | | | | 37,782 | |
Redeemed | | | (93,604 | ) | | | (536,770 | ) |
| | | | | | | | |
Change in Shares | | | 22,574 | | | | (57,980 | ) |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 270 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| | | Six Circles Global Bond Fund | |
| | | Period Ended
June 30, 2023
(Unaudited) | | | Year Ended
December 31, 2022 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | | |
Net investment income (loss) | | $ | 136,210 | | | $ | 117,891 | |
Net realized gain (loss) | | | (187,085 | ) | | | (134,761 | ) |
Change in net unrealized appreciation (depreciation) | | | 272,977 | | | | (672,402 | ) |
| | | | | | | | |
Change in net assets resulting from operations | | | 222,102 | | | | (689,272 | ) |
| | | | | | | | |
| | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | |
Distributions to shareholders | | | (137,769 | ) | | | (806,124 | ) |
| | |
CAPITAL TRANSACTIONS: | | | | | | | | |
Change in net assets resulting from capital transactions | | | 1,724,914 | | | | 1,601,228 | |
| | | | | | | | |
| | |
NET ASSETS: | | | | | | | | |
Change in net assets | | | 1,809,247 | | | | 105,832 | |
Beginning of period | | | 7,909,895 | | | | 7,804,063 | |
| | | | | | | | |
End of period | | $ | 9,719,142 | | | $ | 7,909,895 | |
| | | | | | | | |
| | |
CAPITAL TRANSACTIONS: | | | | | | | | |
Proceeds from shares issued | | $ | 2,399,751 | | | $ | 2,881,333 | |
Distributions reinvested | | | 137,762 | | | | 806,107 | |
Cost of shares redeemed | | | (812,599 | ) | | | (2,086,212 | ) |
| | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | 1,724,914 | | | $ | 1,601,228 | |
| | | | | | | | |
| | |
SHARE TRANSACTIONS: | | | | | | | | |
Issued | | | 292,777 | | | | 317,366 | |
Reinvested | | | 16,817 | | | | 97,980 | |
Redeemed | | | (98,663 | ) | | | (229,254 | ) |
| | | | | | | | |
Change in Shares | | | 210,931 | | | | 186,092 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 271 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| | | | | | | | |
| | | Six Circles Tax Aware Bond Fund | |
| | | Period Ended
June 30, 2023
(Unaudited) | | | Year Ended
December 31, 2022 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | | |
Net investment income (loss) | | $ | 80,116 | | | $ | 95,716 | |
Net realized gain (loss) | | | (15,241 | ) | | | (120,364 | ) |
Change in net unrealized appreciation (depreciation) | | | 96,653 | | | | (446,688 | ) |
| | | | | | | | |
Change in net assets resulting from operations | | | 161,528 | | | | (471,336 | ) |
| | | | | | | | |
| | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | |
Distributions to shareholders | | | (80,089 | ) | | | (94,996 | ) |
| | |
CAPITAL TRANSACTIONS: | | | | | | | | |
Change in net assets resulting from capital transactions | | | 360,542 | | | | 34,591 | |
| | | | | | | | |
| | |
NET ASSETS: | | | | | | | | |
Change in net assets | | | 441,981 | | | | (531,741 | ) |
Beginning of period | | | 5,860,578 | | | | 6,392,319 | |
| | | | | | | | |
End of period | | $ | 6,302,559 | | | $ | 5,860,578 | |
| | | | | | | | |
| | |
CAPITAL TRANSACTIONS: | | | | | | | | |
Proceeds from shares issued | | $ | 787,452 | | | $ | 4,678,962 | |
Distributions reinvested | | | 80,077 | | | | 94,959 | |
Cost of shares redeemed | | | (506,987 | ) | | | (4,739,330 | ) |
| | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | 360,542 | | | $ | 34,591 | |
| | | | | | | | |
| | |
SHARE TRANSACTIONS: | | | | | | | | |
Issued | | | 81,342 | | | | 490,645 | |
Reinvested | | | 8,299 | | | | 9,891 | |
Redeemed | | | (52,446 | ) | | | (496,232 | ) |
| | | | | | | | |
Change in Shares | | | 37,195 | | | | 4,304 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 272 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| | | Six Circles Credit Opportunities Fund | |
| | | Period Ended
June 30, 2023
(Unaudited) | | | Year Ended
December 31, 2022 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | | |
Net investment income (loss) | | $ | 143,430 | | | $ | 204,715 | |
Net realized gain (loss) | | | (69,707 | ) | | | (175,023 | ) |
Change in net unrealized appreciation (depreciation) | | | 70,771 | | | | (215,704 | ) |
| | | | | | | | |
Change in net assets resulting from operations | | | 144,494 | | | | (186,012 | ) |
| | | | | | | | |
| | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | |
Distributions to shareholders | | | (145,854 | ) | | | (204,554 | ) |
| | |
CAPITAL TRANSACTIONS: | | | | | | | | |
Change in net assets resulting from capital transactions | | | (1,238,276 | ) | | | 1,272,971 | |
| | | | | | | | |
| | |
NET ASSETS: | | | | | | | | |
Change in net assets | | | (1,239,636 | ) | | | 882,405 | |
Beginning of period | | | 4,461,834 | | | | 3,579,429 | |
| | | | | | | | |
End of period | | $ | 3,222,198 | | | $ | 4,461,834 | |
| | | | | | | | |
| | |
CAPITAL TRANSACTIONS: | | | | | | | | |
Proceeds from shares issued | | $ | 259,361 | | | $ | 3,514,852 | |
Distributions reinvested | | | 145,800 | | | | 204,464 | |
Cost of shares redeemed | | | (1,643,437 | ) | | | (2,446,345 | ) |
| | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | (1,238,276 | ) | | $ | 1,272,971 | |
| | | | | | | | |
| | |
SHARE TRANSACTIONS: | | | | | | | | |
Issued | | | 29,525 | | | | 397,218 | |
Reinvested | | | 16,708 | | | | 23,086 | |
Redeemed | | | (185,680 | ) | | | (255,391 | ) |
| | | | | | | | |
Change in Shares | | | (139,447 | ) | | | 164,913 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 273 |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Per share operating performance | |
| | | | | | Investment operations | | | Distributions | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) (b) | | | Net realized
and unrealized
gains
(losses) on
investments
and foreign
currency
transactions | | | Total from
investment
operations | | | Net
investment
income | | | Net
realized
gain | | | Total
distributions | |
| | | | | | | |
Six Circles Ultra Short Duration Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended June 30, 2023 (Unaudited) | | $ | 9.73 | | | $ | 0.18 | | | $ | 0.06 | | | $ | 0.24 | | | $ | (0.19 | ) | | $ | — | | | $ | (0.19 | ) |
Year Ended December 31, 2022 | | | 9.95 | | | | 0.14 | | | | (0.13 | ) | | | 0.01 | | | | (0.23 | ) | | | — | | | | (0.23 | ) |
Year Ended December 31, 2021 | | | 10.03 | | | | 0.07 | | | | (0.06 | ) | | | 0.01 | | | | (0.09 | ) | | | — | | | | (0.09 | ) |
Year Ended December 31, 2020 | | | 9.99 | | | | 0.15 | | | | 0.05 | | | | 0.20 | | | | (0.16 | ) | | | — | | | | (0.16 | ) |
Year Ended December 31, 2019 | | | 9.98 | | | | 0.26 | | | | 0.02 | | | | 0.28 | | | | (0.27 | ) | | | — | | | | (0.27 | ) |
Period Ended December 31, 2018* | | | 10.00 | | | | 0.11 | | | | (0.04 | ) | | | 0.07 | | | | (0.09 | ) | | | — | | | | (0.09 | ) |
| * | Six Circles Ultra Short Duration Fund was launched on July 9, 2018. |
| (a) | Annualized except for certain expenses for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 274 | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets (a) | | | | |
Net asset
value,
end of
period | | | Total
return (c)(d) | | | Net assets,
end of
period (000’s) | | | Net expenses,
with interest
expense | | | Net expenses,
without interest
expense | | | Net
investment
income
(loss) | | | Expenses
without waivers
and reimbursements | | | Portfolio
turnover
rate (c) | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 9.78 | | | | 2.44 | % | | $ | 580,581 | | | | 0.20 | %(e) | | | 0.20 | % | | | 3.74 | % | | | 0.33 | % | | | 34.47 | % |
| | 9.73 | | | | 0.06 | | | | 567,422 | | | | 0.19 | | | | 0.19 | | | | 1.43 | | | | 0.32 | | | | 33.24 | |
| | 9.95 | | | | 0.15 | | | | 620,423 | | | | 0.18 | (e) | | | 0.18 | | | | 0.69 | | | | 0.31 | | | | 66.58 | |
| | 10.03 | | | | 2.05 | | | | 516,528 | | | | 0.17 | (e) | | | 0.17 | | | | 1.47 | | | | 0.31 | | | | 121.23 | |
| | 9.99 | | | | 2.84 | | | | 1,200,167 | | | | 0.25 | | | | 0.20 | | | | 2.56 | | | | 0.41 | | | | 61.40 | |
| | 9.98 | | | | 0.74 | | | | 1,082,850 | | | | 0.23 | (e) | | | 0.23 | | | | 2.46 | | | | 0.63 | | | | 24.56 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | 275 | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Per share operating performance | |
| | | | | | Investment operations | | | Distributions | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) (b) | | | Net realized
and unrealized gains (losses) on investments and foreign currency transactions | | | Total from
investment
operations | | | Net
investment
income | | | Net
realized
gain | | | Total
distributions | |
|
Six Circles Tax Aware Ultra Short Duration Fund | |
Six Months Ended June 30, 2023 (Unaudited) | | $ | 9.78 | | | $ | 0.14 | | | $ | (0.01 | )(f) | | $ | 0.13 | | | $ | (0.13 | ) | | $ | — | | | $ | (0.13 | ) |
Year Ended December 31, 2022 | | | 9.97 | | | | 0.10 | | | | (0.14 | ) | | | (0.04 | ) | | | (0.15 | ) | | | — | | | | (0.15 | ) |
Year Ended December 31, 2021 | | | 10.02 | | | | 0.06 | | | | (0.05 | ) | | | 0.01 | | | | (0.06 | ) | | | — | | | | (0.06 | ) |
Year Ended December 31, 2020 | | | 9.98 | | | | 0.12 | | | | 0.06 | | | | 0.18 | | | | (0.14 | ) | | | — | | | | (0.14 | ) |
Year Ended December 31, 2019 | | | 9.98 | | | | 0.19 | | | | 0.01 | | | | 0.20 | | | | (0.20 | ) | | | — | | | | (0.20 | ) |
Period Ended December 31, 2018* | | | 10.00 | | | | 0.08 | | | | (0.03 | ) | | | 0.05 | | | | (0.07 | ) | | | — | | | | (0.07 | ) |
| * | Six Circles Tax Aware Ultra Short Duration Fund was launched on July 9, 2018. |
| (a) | Annualized except for certain expenses for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| (f) | Calculation of the net realized and unrealized gains (losses) per share do not correlate with the Fund’s net realized and unrealized gains (losses) presented on the Statements of Operations due to the timing of capital transactions in relation to the fluctuating market values of the Fund’s investments. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 276 | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets (a) | | | | |
Net asset
value,
end of
period | | | Total
return (c)(d) | | | Net assets,
end of
period (000’s) | | | Net expenses, with interest expense | | | Net expenses,
without interest
expense | | | Net
investment
income
(loss) | | | Expenses
without waivers
and reimbursements | | | Portfolio
turnover
rate (c) | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 9.78 | | | | 1.37 | % | | $ | 692,279 | | | | 0.15 | %(e) | | | 0.15 | % | | | 2.78 | % | | | 0.30 | % | | | 21.48 | % |
| | 9.78 | | | | (0.36 | ) | | | 564,290 | | | | 0.15 | (e) | | | 0.15 | | | | 1.06 | | | | 0.31 | | | | 58.13 | |
| | 9.97 | | | | 0.08 | | | | 643,067 | | | | 0.15 | (e) | | | 0.15 | | | | 0.63 | | | | 0.30 | | | | 49.05 | |
| | 10.02 | | | | 1.81 | | | | 568,826 | | | | 0.14 | (e) | | | 0.14 | | | | 1.22 | | | | 0.30 | | | | 89.21 | |
| | 9.98 | | | | 1.98 | | | | 1,355,740 | | | | 0.21 | | | | 0.17 | | | | 1.85 | | | | 0.37 | | | | 49.82 | |
| | 9.98 | | | | 0.48 | | | | 1,098,004 | | | | 0.22 | (e) | | | 0.22 | | | | 1.90 | | | | 0.64 | | | | 33.02 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | 277 | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Per share operating performance | |
| | | | | | Investment operations | | | Distributions | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) (b) | | | Net realized
and unrealized
gains
(losses) on
investments
and foreign
currency
transactions | | | Total from
investment
operations | | | Net
investment
income | | | Net
realized
gain | | | Total
distributions | |
| | | | | | | |
Six Circles U.S. Unconstrained Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended June 30, 2023 (Unaudited) | | $ | 11.52 | | | $ | 0.08 | | | $ | 2.10 | | | $ | 2.18 | | | $ | — | | | $ | — | | | $ | — | |
Year Ended December 31, 2022 | | | 15.01 | | | | 0.16 | | | | (3.34 | ) | | | (3.18 | ) | | | (0.16 | ) | | | (0.15 | ) | | | (0.31 | ) |
Year Ended December 31, 2021 | | | 13.44 | | | | 0.20 | | | | 3.84 | | | | 4.04 | | | | (0.19 | ) | | | (2.28 | ) | | | (2.47 | ) |
Year Ended December 31, 2020 | | | 11.12 | | | | 0.20 | | | | 2.87 | | | | 3.07 | | | | (0.21 | ) | | | (0.54 | ) | | | (0.75 | ) |
Year Ended December 31, 2019 | | | 9.05 | | | | 0.21 | | | | 2.05 | | | | 2.26 | | | | (0.19 | ) | | | — | (f) | | | (0.19 | ) |
Period Ended December 31, 2018* | | | 10.00 | | | | 0.10 | | | | (1.01 | ) | | | (0.91 | ) | | | (0.04 | ) | | | — | (f) | | | (0.04 | ) |
| * | Six Circles U.S. Unconstrained Equity Fund was launched on July 9, 2018. |
| (a) | Annualized except for certain expenses for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| (f) | Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 278 | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets (a) | | | | |
Net asset
value,
end of
period | | | Total
return (c)(d) | | | Net assets,
end of
period (000’s) | | | Net
expenses (e) | | | Net
investment
income
(loss) | | | Expenses
without waivers
and reimbursements | | | Portfolio
turnover
rate (c) | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 13.70 | | | | 18.92 | % | | $ | 20,064,819 | | | | 0.05 | % | | | 1.36 | % | | | 0.27 | % | | | 46.94 | % |
| | 11.52 | | | | (21.22 | ) | | | 14,690,706 | | | | 0.06 | | | | 1.26 | | | | 0.27 | | | | 48.77 | |
| | 15.0 | | | | 30.48 | | | | 18,337,953 | | | | 0.05 | | | | 1.26 | | | | 0.26 | | | | 70.88 | |
| | 13.44 | | | | 27.64 | | | | 13,064,418 | | | | 0.06 | | | | 1.71 | | | | 0.27 | | | | 71.32 | |
| | 11.12 | | | | 24.94 | | | | 11,237,068 | | | | 0.08 | | | | 2.05 | | | | 0.29 | | | | 58.71 | |
| | 9.05 | | | | (9.13 | ) | | | 4,979,458 | | | | 0.14 | | | | 2.27 | | | | 0.42 | | | | 15.24 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | 279 | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Per share operating performance | |
| | | | | | Investment operations | | | Distributions | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) (b) | | | Net realized
and unrealized gains (losses) on investments
and foreign
currency
transactions | | | Total from
investment
operations | | | Net
investment
income | | | Net
realized
gain | | | Total
distributions | |
| | | | | | |
Six Circles International Unconstrained Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended June 30, 2023 (Unaudited) | | $ | 9.30 | | | $ | 0.21 | | | $ | 1.07 | | | $ | 1.28 | | | $ | — | | | $ | — | | | $ | — | |
Year Ended December 31, 2022 | | | 11.10 | | | | 0.28 | | | | (1.79 | ) | | | (1.51 | ) | | | (0.29 | ) | | | — | | | | (0.29 | ) |
Year Ended December 31, 2021 | | | 9.98 | | | | 0.28 | (f) | | | 1.11 | | | | 1.39 | | | | (0.27 | ) | | | — | | | | (0.27 | ) |
Year Ended December 31, 2020 | | | 9.59 | | | | 0.22 | | | | 0.37 | | | | 0.59 | | | | (0.16 | ) | | | (0.04 | ) | | | (0.20 | ) |
Year Ended December 31, 2019 | | | 8.30 | | | | 0.31 | | | | 1.26 | | | | 1.57 | | | | (0.28 | ) | | | — | | | | (0.28 | ) |
Period Ended December 31, 2018* | | | 10.00 | | | | 0.07 | | | | (1.75 | ) | | | (1.68 | ) | | | (0.02 | ) | | | — | | | | (0.02 | ) |
| * | Six Circles International Unconstrained Equity Fund was launched on July 9, 2018. |
| (a) | Annualized except for certain expenses for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| (f) | Includes income recognized from non-cash dividends which amounted to $0.02 per share and 0.152% of average net assets for the year ended December 31, 2021. |
| (g) | Includes interest expense, which was 0.009% for the year ended December 31, 2021. |
| (h) | Includes interest expense, which was 0.009% for the year ended December 31, 2020. |
| (i) | Includes interest expense, which was 0.006% for the period ended December 31, 2018. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 280 | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets (a) | | | | |
Net asset
value,
end of
period | | | Total
return (c)(d) | | | Net assets,
end of
period (000’s) | | | Net
expenses (e) | | | Net
investment
income
(loss) | | | Expenses
without waivers
and reimbursements | | | Portfolio
turnover
rate (c) | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 10.58 | | | | 13.76 | % | | $ | 13,191,125 | | | | 0.08 | % | | | 4.21 | % | | | 0.28 | % | | | 50.65 | % |
| | 9.30 | | | | (13.60 | ) | | | 11,380,626 | | | | 0.08 | | | | 2.95 | | | | 0.28 | | | | 69.15 | |
| | 11.1 | | | | 14.04 | | | | 14,228,563 | | | | 0.10 | (g) | | | 2.61 | (f) | | | 0.30 | | | | 61.71 | |
| | 9.98 | | | | 6.17 | | | | 8,621,638 | | | | 0.10 | (h) | | | 2.52 | | | | 0.30 | | | | 104.24 | |
| | 9.59 | | | | 18.90 | | | | 5,355,585 | | | | 0.13 | | | | 3.35 | | | | 0.33 | | | | 135.39 | |
| | 8.30 | | | | (16.83 | ) | | | 2,504,508 | | | | 0.21 | (i) | | | 1.84 | | | | 0.55 | | | | 76.24 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | 281 | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Per share operating performance | |
| | | | | | Investment operations | | | Distributions | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) (b) | | | Net realized
and unrealized
gains
(losses) on
investments
and foreign
currency
transactions | | | Total from
investment
operations | | | Net
investment
income | | | Net
realized
gain | | | Total
distributions | |
| | | | | |
Six Circles Global Bond Fund | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended June 30, 2023 (Unaudited) | | $ | 8.10 | | | $ | 0.12 | | | $ | 0.08 | | | $ | 0.20 | | | $ | (0.12 | ) | | $ | — | | | $ | (0.12 | ) |
Year Ended December 31, 2022 | | | 9.87 | | | | 0.15 | | | | (1.02 | ) | | | (0.87 | ) | | | (0.90 | ) | | | — | | | | (0.90 | ) |
Year Ended December 31, 2021 | | | 10.20 | | | | 0.09 | | | | (0.17 | ) | | | (0.08 | ) | | | (0.25 | ) | | | — | (h) | | | (0.25 | ) |
Period Ended December 31, 2020* | | | 10.00 | | | | 0.05 | | | | 0.22 | | | | 0.27 | | | | (0.07 | ) | | | — | | | | (0.07 | ) |
| * | Six Circles Global Bond Fund was launched on May 19, 2020. |
| (a) | Certain expenses incurred by the Fund were not annualized for the period. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| (f) | Includes interest expense, which was 0.025% for the six months ended June 30, 2023. |
| (g) | Includes interest expense, which was 0.006% for the year ended December 31, 2022. |
| (h) | Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 282 | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets (a) | | | | |
Net asset
value,
end of
period | | | Total
return (c)(d) | | | Net assets,
end of
period (000’s) | | | Net
expenses (e) | | | Net
investment
income
(loss) | | | Expenses
without waivers
and reimbursements | | | Portfolio
turnover
rate (c) | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 8.18 | | | | 2.53 | % | | $ | 9,719,142 | | | | 0.14 | %(f) | | | 3.07 | % | | | 0.32 | % | | | 83.10 | % |
| | 8.10 | | | | (8.84 | ) | | | 7,909,895 | | | | 0.12 | (g) | | | 1.60 | | | | 0.31 | | | | 227.27 | |
| | 9.8 | | | | (0.74 | ) | | | 7,804,063 | | | | 0.11 | | | | 0.86 | | | | 0.30 | | | | 308.56 | |
| | 10.20 | | | | 2.67 | | | | 6,619,708 | | | | 0.16 | | | | 0.74 | | | | 0.36 | | | | 198.77 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | 283 | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Per share operating performance | |
| | | | | | Investment operations | | | Distributions | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) (b) | | | Net realized
and unrealized
gains
(losses) on
investments
and foreign
currency
transactions | | | Total from
investment
operations | | | Net
investment
income | | | Net
realized
gain | | | Total
distributions | |
| | | | | |
Six Circles Tax Aware Bond Fund | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended June 30, 2023 (Unaudited) | | $ | 9.52 | | | $ | 0.13 | | | $ | 0.13 | | | $ | 0.26 | | | $ | (0.13 | ) | | $ | — | | | $ | (0.13 | ) |
Year Ended December 31, 2022 | | | 10.46 | | | | 0.17 | | | | (0.94 | ) | | | (0.77 | ) | | | (0.17 | ) | | | — | | | | (0.17 | ) |
Year Ended December 31, 2021 | | | 10.45 | | | | 0.11 | | | | 0.01 | | | | 0.12 | | | | (0.11 | ) | | | — | (f) | | | (0.11 | ) |
Period Ended December 31, 2020* | | | 10.00 | | | | 0.05 | | | | 0.45 | | | | 0.50 | | | | (0.05 | ) | | | — | | | | (0.05 | ) |
| * | Six Circles Tax Aware Bond Fund was launched on May 19, 2020. |
| (a) | Certain expenses incurred by the Fund were not annualized for the period. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| (f) | Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 284 | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets (a) | | | | |
Net asset
value,
end of
period | | | Total
return (c)(d) | | | Net assets,
end of
period (000’s) | | | Net
expenses (e) | | | Net
investment
income
(loss) | | | Expenses
without waivers
and reimbursements | | | Portfolio
turnover
rate (c) | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 9.65 | | | | 2.69 | % | | $ | 6,302,559 | | | | 0.14 | % | | | 2.63 | % | | | 0.28 | % | | | 6.77 | % |
| | 9.52 | | | | (7.41 | ) | | | 5,860,578 | | | | 0.14 | | | | 1.71 | | | | 0.28 | | | | 49.51 | |
| | 10.4 | | | | 1.15 | | | | 6,392,319 | | | | 0.13 | | | | 1.04 | | | | 0.28 | | | | 13.54 | |
| | 10.45 | | | | 5.03 | | | | 5,029,650 | | | | 0.18 | | | | 0.85 | | | | 0.35 | | | | 35.13 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | 285 | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Per share operating performance | |
| | | | | | Investment operations | | | Distributions | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) (b) | | | Net realized
and unrealized gains (losses) on investments and foreign currency transactions | | | Total from
investment
operations | | | Net
investment
income | | | Net
realized
gain | | | Total
distributions | |
| | | | | | | |
Six Circles Credit Opportunities Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended June 30, 2023 (Unaudited) | | $ | 8.69 | | | $ | 0.35 | | | $ | (0.05 | )(f) | | $ | 0.30 | | | $ | (0.37 | ) | | $ | — | | | $ | (0.37 | ) |
Year Ended December 31, 2022 | | | 10.28 | | | | 0.58 | | | | (1.61 | ) | | | (1.03 | ) | | | (0.56 | ) | | | — | | | | (0.56 | ) |
Year Ended December 31, 2021 | | | 10.29 | | | | 0.34 | | | | 0.01 | (f) | | | 0.35 | | | | (0.35 | ) | | | (0.01 | ) | | | (0.36 | ) |
Period Ended December 31, 2020* | | | 10.00 | | | | 0.13 | | | | 0.28 | | | | 0.41 | | | | (0.12 | ) | | | — | | | | (0.12 | ) |
| * | Six Circles Credit Opportunities Fund was launched on August 19, 2020. |
| (a) | Certain expenses incurred by the Fund were not annualized for the period. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| (f) | Calculation of the net realized and unrealized gains (losses) per share do not correlate with the Fund’s net realized and unrealized gains (losses) presented on the Statements of Operations due to the timing of capital transactions in relation to the fluctuating market values of the Fund’s investments. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 286 | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets (a) | | | | |
Net asset
value,
end of
period | | | Total
return (c)(d) | | | Net assets,
end of
period (000’s) | | | Net
expenses (e) | | | Net
investment
income
(loss) | | | Expenses
without waivers
and reimbursements | | | Portfolio
turnover
rate (c) | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 8.62 | | | | 3.52 | % | | $ | 3,222,198 | | | | 0.30 | % | | | 8.10 | % | | | 0.81 | % | | | 25.30 | % |
| | 8.69 | | | | (10.02 | ) | | | 4,461,834 | | | | 0.29 | | | | 6.45 | | | | 0.80 | | | | 123.84 | |
| | 10.2 | | | | 3.42 | | | | 3,579,429 | | | | 0.25 | | | | 3.26 | | | | 0.81 | | | | 51.33 | |
| | 10.29 | | | | 4.11 | | | | 1,076,525 | | | | 0.44 | | | | 3.40 | | | | 1.11 | | | | 11.35 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | 287 | |
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2023 (Unaudited)
1. Organization
Six Circles Trust (the “Trust”) was formed on November 8, 2017, as a Delaware statutory trust, pursuant to a Declaration of Trust dated November 8, 2017, as amended and restated June 12, 2018, and further amended to add fund series on September 21, 2018, November 19, 2019, and April 13, 2020, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
The following are seven separate series of the Trust (each, a “Fund” and collectively, the “Funds”) covered by this report. Each Fund currently offers one class of shares.
| | | | |
| Fund | | Commencement of Operations | | Diversification Status |
Six Circles Ultra Short Duration Fund | | July 9, 2018 | | Diversified |
Six Circles Tax Aware Ultra Short Duration Fund | | July 9, 2018 | | Diversified |
Six Circles U.S. Unconstrained Equity Fund | | July 9, 2018 | | Non-Diversified |
Six Circles International Unconstrained Equity Fund | | July 9, 2018 | | Non-Diversified |
Six Circles Global Bond Fund | | May 19, 2020 | | Non-Diversified |
Six Circles Tax Aware Bond Fund | | May 19, 2020 | | Diversified |
Six Circles Credit Opportunities Fund | | August 19, 2020 | | Non-Diversified* |
| * | Effective August 19, 2023, the Six Circles Credit Opportunities Fund changed from Non-Diversified to Diversified. |
The investment objective of each of the Six Circles Ultra Short Duration Fund and the Six Circles Tax Aware Ultra Short Duration Fund is to generate current income consistent with capital preservation.
The investment objective of each of the Six Circles U.S. Unconstrained Equity Fund and the Six Circles International Unconstrained Equity Fund is to provide capital appreciation.
The investment objective of the Six Circles Global Bond Fund and the Six Circles Credit Opportunities Fund is to provide total return.
The investment objective of the Six Circles Tax Aware Bond Fund is to provide after-tax total return.
J.P. Morgan Private Investments Inc. (“JPMPI”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as the Funds’ investment adviser (the “Adviser”). The Adviser has engaged certain Sub-Advisers to manage the assets of the Funds.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Funds’ valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
The Board has designated the Adviser as the Valuation Designee, and the Adviser uses the Six Circles Funds Valuation Committee (“VC”), comprised of officers of the Funds and other personnel of the Adviser, to assist the Board with the oversight and monitoring of the valuation of the Funds’ investments with respect to Rule 2a-5 under the 1940 Act. The VC oversees and carries out policies and procedures for the valuation of investments held by the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events and pricing vendor due diligence. The VC, through the Adviser, is responsible for assessing the potential impacts to the fair values on an ongoing basis, and discussing this on at least a quarterly basis with the Board.
A market-based approach is primarily used to value the Funds’ investments for which market quotations are readily available and which are generally valued at their current market value. Other securities and assets, including securities for which market quotations are not readily available, market quotations are determined not to be reliable, or whose value has been materially affected by events occurring after the close of trading on the exchange or market on which the security is principally traded but before a Fund’s net asset value (“NAV”) is calculated, are valued by approved pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. The valuation may include related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment in order to determine the fair value of the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based on current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used, had a ready market for the investments existed, and such differences could be material.
| | | | | | | | | | |
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| 288 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
Equity securities listed on a North American, Central American, South American or Caribbean (“Americas”) securities exchange are generally valued at the last sale price or official market closing price on the primary exchange on which the security is principally traded that is reported before the time when the net assets values of the Funds are calculated on a valuation date. The Funds calculate their NAV as of 4 p.m. Eastern time each day the New York Stock Exchange (NYSE) is open for trading.
Foreign equity securities are valued as of the close of trading on the stock exchange on which the security is primarily traded, or as of 4 p.m. Eastern time. The value is then converted into its U.S. dollar equivalent at the foreign exchange rate in effect at 4 p.m. Eastern time on the day that the value of the security is determined. Generally foreign equity securities, as well as certain derivatives with equity reference obligations, are valued by applying international fair value factors provided by approved Pricing Services.
The factors seek to adjust the local closing price for movements of local markets post-closing, but prior to the time the NAVs are calculated. The fair valued securities are converted at the exchange rates available at 4 p.m. Eastern time.
Fixed income securities are valued based on prices received from Pricing Services. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, Pricing Services may consider a variety of inputs and factors, including, but not limited to proprietary models that may take into account market transactions in securities with comparable characteristics, yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, underlying collateral and estimated cash flows.
Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots.
Shares of exchange-traded funds (“ETFs”) are generally valued at the last sale price on the exchange on which the ETF is principally traded. Shares of open-end investment companies are valued at their respective NAVs.
Exchange-traded futures contracts and options are generally valued on the basis of available market quotations. Swaps, forward foreign currency exchange contracts and over the counter options are valued utilizing market quotations from approved Pricing Services.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Funds’ investments are summarized into the three broad levels listed below.
| • | | Level 1 —Unadjusted inputs using quoted prices in active markets for identical investments. |
| • | | Level 2 —Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| • | | Level 3 —Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds’ assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):
Six Circles Ultra Short Duration Fund
| | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Investments in Securities | | | | | | | | | | | | | | | | |
Debt Securities | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | $ | — | | | $ | 108,099 | | | $ | — | | | $ | 108,099 | |
Certificate of Deposit | | | | | | | | | | | | | | | | |
Financial | | | — | | | | 1,300 | | | | — | | | | 1,300 | |
Collateralized Mortgage Obligations | | | — | | | | 20,032 | | | | — | | | | 20,032 | |
Commercial Mortgage-Backed Securities | | | — | | | | 22,991 | | | | — | | | | 22,991 | |
Corporate Bonds | | | | | | | | | | | | | | | | |
Basic Materials | | | — | | | | 1,504 | | �� | | — | | | | 1,504 | |
Communications | | | — | | | | 21,747 | | | | — | | | | 21,747 | |
Consumer Cyclical | | | — | | | | 32,534 | | | | — | | | | 32,534 | |
Consumer Non-cyclical | | | — | | | | 50,105 | | | | — | | | | 50,105 | |
Energy | | | — | | | | 12,451 | | | | — | | | | 12,451 | |
Financial | | | — | | | | 96,983 | | | | — | | | | 96,983 | |
Industrial | | | — | | | | 34,087 | | | | — | | | | 34,087 | |
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 289 |
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
Six Circles Ultra Short Duration Fund (Continued)
| | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Technology | | $ | — | | | $ | 28,983 | | | $ | — | | | $ | 28,983 | |
Utilities | | | — | | | | 15,093 | | | | — | | | | 15,093 | |
| | | | | | | | | | | | | | | | |
Total Corporate Bonds | | | — | | | | 293,487 | | | | — | | | | 293,487 | |
| | | | | | | | | | | | | | | | |
Foreign Government Securities | | | — | | | | 4,063 | | | | — | | | | 4,063 | |
Municipal Bonds | | | — | | | | 2,522 | | | | — | | | | 2,522 | |
U.S. Government Agency Securities | | | — | | | | 42,976 | | | | — | | | | 42,976 | |
U.S. Treasury Obligations | | | — | | | | 10,217 | | | | — | | | | 10,217 | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Banker’s Acceptance Bill | | | — | | | | 2,926 | | | | — | | | | 2,926 | |
Certificates of Deposit | | | — | | | | 7,992 | | | | — | | | | 7,992 | |
Commercial Papers | | | — | | | | 23,744 | | | | — | | | | 23,744 | |
Corporate Bond | | | — | | | | 1,375 | | | | — | | | | 1,375 | |
Foreign Government Securities | | | — | | | | 20,902 | | | | — | | | | 20,902 | |
Repurchase Agreement | | | — | | | | 3,500 | | | | — | | | | 3,500 | |
Time Deposits | | | — | | | | 9,828 | | | | — | | | | 9,828 | |
U.S. Treasury Obligation | | | — | | | | 14 | | | | — | | | | 14 | |
| | | | | | | | | | | | | | | | |
Total Short-Term Investments | | | — | | | | 70,281 | | | | — | | | | 70,281 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | $ | — | | | $ | 575,968 | | | $ | — | | | $ | 575,968 | |
| | | | | | | | | | | | | | | | |
Appreciation in Other Financial Instruments | | | | | | | | | | | | | | | | |
Futures contracts | | $ | 702 | | | $ | — | | | $ | — | | | $ | 702 | |
Forward Foreign Currency Exchange contracts | | | — | | | | 1,197 | | | | — | | | | 1,197 | |
| | | | | | | | | | | | | | | | |
Total Appreciation in Other Financial Instruments | | $ | 702 | | | $ | 1,197 | | | $ | — | | | $ | 1,899 | |
| | | | | | | | | | | | | | | | |
Depreciation in Other Financial Instruments | | | | | | | | | | | | | | | | |
Futures contracts | | $ | (211 | ) | | $ | — | | | $ | — | | | $ | (211 | ) |
Forward Foreign Currency Exchange contracts | | | — | | | | (245 | ) | | | — | | | | (245 | ) |
Centrally Cleared Credit Default Swap contract | | | — | | | | (70 | ) | | | — | | | | (70 | ) |
| | | | | | | | | | | | | | | | |
Total Depreciation in Other Financial Instruments | | $ | (211 | ) | | $ | (315 | ) | | $ | — | | | $ | (526 | ) |
| | | | | | | | | | | | | | | | |
Six Circles Tax Aware Ultra Short Duration Fund
| | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3 Significant
unobservable inputs | | | Total | |
Investments in Securities | | | | | | | | | | | | | | | | |
Debt Securities | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | $ | — | | | $ | 41,468 | | | $ | — | | | $ | 41,468 | |
Collateralized Mortgage Obligations | | | — | | | | 17,169 | | | | — | | | | 17,169 | |
Commercial Mortgage-Backed Securities | | | — | | | | 8,921 | | | | — | | | | 8,921 | |
Corporate Bonds | | | | | | | | | | | | | | | | |
Communications | | | — | | | | 5,381 | | | | — | | | | 5,381 | |
Consumer Cyclical | | | — | | | | 3,659 | | | | — | | | | 3,659 | |
Consumer Non-cyclical | | | — | | | | 11,208 | | | | — | | | | 11,208 | |
Energy | | | — | | | | 2,495 | | | | — | | | | 2,495 | |
Financial | | | — | | | | 40,901 | | | | — | | | | 40,901 | |
Industrial | | | — | | | | 5,851 | | | | — | | | | 5,851 | |
Technology | | | — | | | | 3,333 | | | | — | | | | 3,333 | |
Utilities | | | — | | | | 7,631 | | | | — | | | | 7,631 | |
| | | | | | | | | | | | | | | | |
Total Corporate Bonds | | | — | | | | 80,459 | | | | — | | | | 80,459 | |
| | | | | | | | | | | | | | | | |
Foreign Government Securities | | | — | | | | 4,327 | | | | — | | | | 4,327 | |
Municipal Bonds | | | — | | | | 474,638 | | | | — | | | | 474,638 | |
U.S. Government Agency Securities | | | — | | | | 22,798 | | | | — | | | | 22,798 | |
| | | | | | | | | | |
| | | | | |
| 290 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
Six Circles Tax Aware Ultra Short Duration Fund (continued)
| | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3 Significant
unobservable inputs | | | Total | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Banker’s Acceptance Bill | | $ | — | | | $ | 3,676 | | | $ | — | | | $ | 3,676 | |
Commercial Papers | | | — | | | | 20,837 | | | | — | | | | 20,837 | |
Corporate Bond | | | — | | | | 1,669 | | | | — | | | | 1,669 | |
Municipal Bond | | | — | | | | 5,083 | | | | — | | | | 5,083 | |
Repurchase Agreement | | | — | | | | 3,100 | | | | — | | | | 3,100 | |
Time Deposits | | | — | | | | 9,861 | | | | — | | | | 9,861 | |
U.S. Treasury Obligation | | | — | | | | 212 | | | | — | | | | 212 | |
| | | | | | | | | | | | | | | | |
Total Short-Term Investments | | | — | | | | 44,438 | | | | — | | | | 44,438 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | $ | — | | | $ | 694,218 | | | $ | — | | | $ | 694,218 | |
| | | | | | | | | | | | | | | | |
Appreciation in Other Financial Instruments | | | | | | | | | | | | | | | | |
Futures contracts | | $ | 366 | | | $ | — | | | $ | — | | | $ | 366 | |
Forward Foreign Currency Exchange contracts | | | — | | | | 176 | | | | — | | | | 176 | |
| | | | | | | | | | | | | | | | |
Total Appreciation in Other Financial Instruments | | $ | 366 | | | $ | 176 | | | $ | — | | | $ | 542 | |
| | | | | | | | | | | | | | | | |
Depreciation in Other Financial Instruments | | | | | | | | | | | | | | | | |
Futures contracts | | $ | (281 | ) | | $ | — | | | $ | — | | | $ | (281 | ) |
Forward Foreign Currency Exchange contracts | | | — | | | | (180 | ) | | | — | | | | (180 | ) |
Centrally Cleared Credit Default Swap contract | | | — | | | | (73 | ) | | | — | | | | (73 | ) |
| | | | | | | | | | | | | | | | |
Total Depreciation in Other Financial Instruments | | $ | (281 | ) | | $ | (253 | ) | | $ | — | | | $ | (534 | ) |
| | | | | | | | | | | | | | | | |
Six Circles U.S. Unconstrained Equity Fund
| | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant unobservable inputs | | | Total | |
Investments in Securities | | | | | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | | | | | |
Basic Materials | | $ | 132,371 | | | $ | — | | | $ | — | | | $ | 132,371 | |
Communications | | | 3,421,001 | | | | — | | | | — | | | | 3,421,001 | |
Consumer Cyclical | | | 618,702 | | | | — | | | | — | | | | 618,702 | |
Consumer Non-cyclical | | | 4,549,341 | | | | — | | | | — | | | | 4,549,341 | |
Energy | | | 501,119 | | | | — | | | | — | | | | 501,119 | |
Financial | | | 3,520,919 | | | | — | | | | — | | | | 3,520,919 | |
Industrial | | | 1,434,460 | | | | — | | | | — | | | | 1,434,460 | |
Technology | | | 5,431,771 | | | | — | | | | — | | | | 5,431,771 | |
Utilities | | | 163,769 | | | | — | | | | — | | | | 163,769 | |
| | | | | | | | | | | | | | | | |
Total Common Stocks | | | 19,773,453 | | | | — | | | | — | | | | 19,773,453 | |
| | | | | | | | | | | | | | | | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Time Deposits | | | — | | | | 511,400 | | | | — | | | | 511,400 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | $ | 19,773,453 | | | $ | 511,400 | | | $ | — | | | $ | 20,284,853 | |
| | | | | | | | | | | | | | | | |
Appreciation in Other Financial Instruments | | | | | | | | | | | | | | | | |
Futures contracts | | $ | 5,319 | | | $ | — | | | $ | — | | | $ | 5,319 | |
| | | | | | | | | | | | | | | | |
Depreciation in Other Financial Instruments | | | | | | | | | | | | | | | | |
Future contract | | $ | (70 | ) | | $ | — | | | $ | — | | | $ | (70) | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 291 |
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
Six Circles International Unconstrained Equity Fund
| | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Investments in Securities | | | | | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | | | | | |
Austria | | $ | — | | | $ | 34,320 | | | $ | — | | | $ | 34,320 | |
Belgium | | | — | | | | 211,108 | | | | — | | | | 211,108 | |
Chile | | | — | | | | 3,785 | | | | — | | | | 3,785 | |
China | | | — | | | | 1,806 | | | | — | | | | 1,806 | |
Denmark | | | — | | | | 443,930 | | | | — | | | | 443,930 | |
Finland | | | — | | | | 128,998 | | | | — | | | | 128,998 | |
France | | | — | | | | 2,070,353 | | | | — | | | | 2,070,353 | |
Germany | | | — | | | | 1,623,325 | | | | — | | | | 1,623,325 | |
Hong Kong | | | — | | | | 48,707 | | | | — | | | | 48,707 | |
Ireland | | | 9,517 | | | | 108,758 | | | | — | | | | 118,275 | |
Italy | | | — | | | | 372,865 | | | | — | | | | 372,865 | |
Japan | | | 455 | | | | 477,432 | | | | — | | | | 477,887 | |
Jordan | | | — | | | | 4,142 | | | | — | | | | 4,142 | |
Luxembourg | | | — | | | | 11,251 | | | | — | | | | 11,251 | |
Netherlands | | | 17,675 | | | | 1,212,128 | | | | — | | | | 1,229,803 | |
Norway | | | — | | | | 108,767 | | | | — | | | | 108,767 | |
Portugal | | | — | | | | 28,536 | | | | — | | | | 28,536 | |
South Korea | | | — | | | | 148,910 | | | | — | | | | 148,910 | |
Spain | | | — | | | | 340,701 | | | | — | | | | 340,701 | |
Sweden | | | — | | | | 378,793 | | | | — | | | | 378,793 | |
Switzerland | | | 7,314 | | | | 2,304,181 | | | | — | | | | 2,311,495 | |
Taiwan | | | — | | | | 248,114 | | | | — | | | | 248,114 | |
United Arab Emirates | | | — | | | | — | | | | — | | | | — | |
United Kingdom | | | 40,305 | | | | 2,537,414 | | | | — | | | | 2,577,719 | |
United States | | | — | | | | 1,179 | | | | — | | | | 1,179 | |
| | | | | | | | | | | | | | | | |
Total Common Stocks | | | 75,266 | | | | 12,849,503 | | | | — | | | | 12,924,769 | |
| | | | | | | | | | | | | | | | |
Preferred Stocks | | | | | | | | | | | | | | | | |
Germany | | | — | | | | 30,325 | | | | — | | | | 30,325 | |
South Korea | | | — | | | | 20,883 | | | | — | | | | 20,883 | |
| | | | | | | | | | | | | | | | |
Total Preferred Stocks | | | — | | | | 51,208 | | | | — | | | | 51,208 | |
| | | | | | | | | | | | | | | | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Time Deposits | | | — | | | | 108,989 | | | | — | | | | 108,989 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | $ | 75,266 | | | $ | 13,009,700 | | | $ | — | | | $ | 13,084,966 | |
| | | | | | | | | | | | | | | | |
Appreciation in Other Financial Instruments | | | | | | | | | | | | | | | | |
Futures contracts | | $ | 1,274 | | | $ | — | | | $ | — | | | $ | 1,274 | |
| | | | | | | | | | | | | | | | |
Depreciation in Other Financial Instruments | | | | | | | | | | | | | | | | |
Futures contracts | | $ | (65 | ) | | $ | — | | | $ | — | | | $ | (65 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | | | | |
| 292 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
Six Circles Global Bond Fund
| | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Investments in Securities | | | | | | | | | | | | | | | | |
Debt Securities | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | $ | — | | | $ | 66,897 | | | $ | — | | | $ | 66,897 | |
Collateralized Mortgage Obligations | | | — | | | | 211,225 | | | | — | | | | 211,225 | |
Commercial Mortgage-Backed Securities | | | — | | | | 44,429 | | | | — | | | | 44,429 | |
Corporate Bonds | | | | | | | | | | | | | | | | |
Basic Materials | | | — | | | | 111,112 | | | | — | | | | 111,112 | |
Communications | | | — | | | | 231,705 | | | | — | | | | 231,705 | |
Consumer Cyclical | | | — | | | | 241,373 | | | | — | | | | 241,373 | |
Consumer Non-cyclical | | | — | | | | 566,118 | | | | — | | | | 566,118 | |
Energy | | | — | | | | 156,376 | | | | — | | | | 156,376 | |
Financial | | | — | | | | 1,744,121 | | | | — | | | | 1,744,121 | |
Government | | | — | | | | 335,555 | | | | — | | | | 335,555 | |
Industrial | | | — | | | | 253,857 | | | | — | | | | 253,857 | |
Technology | | | — | | | | 96,660 | | | | — | | | | 96,660 | |
Utilities | | | — | | | | 346,431 | | | | — | | | | 346,431 | |
| | | | | | | | | | | | | | | | |
Total Corporate Bonds | | | — | | | | 4,083,308 | | | | — | | | | 4,083,308 | |
| | | | | | | | | | | | | | | | |
Foreign Government Securities | | | — | | | | 3,085,294 | | | | — | | | | 3,085,294 | |
Mortgage-Backed Securities | | | — | | | | 1,406,115 | | | | 509 | | | | 1,406,624 | |
Municipal Bonds | | | — | | | | 7,197 | | | | — | | | | 7,197 | |
U.S. Government Agency Securities | | | — | | | | 11,972 | | | | — | | | | 11,972 | |
U.S. Treasury Obligations | | | — | | | | 1,089,275 | | | | — | | | | 1,089,275 | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Repurchase Agreements | | | — | | | | 47,700 | | | | — | | | | 47,700 | |
Time Deposits | | | — | | | | 328,657 | | | | — | | | | 328,657 | |
U.S. Treasury Obligations | | | — | | | | 8,049 | | | | — | | | | 8,049 | |
| | | | | | | | | | | | | | | | |
Total Short-Term Investments | | | — | | | | 384,406 | | | | — | | | | 384,406 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | $ | — | | | $ | 10,390,118 | | | $ | 509 | | | $ | 10,390,627 | |
| | | | | | | | | | | | | | | | |
Liabilities | | | | | | | | | | | | | | | | |
Debt Securities | | | | | | | | | | | | | | | | |
Mortgage-Backed Securities | | $ | — | | | $ | 176,075 | | | $ | — | | | $ | 176,075 | |
Reverse Repurchase Agreements | | | — | | | | 118,631 | | | | — | | | | 118,631 | |
| | | | | | | | | | | | | | | | |
Total Liabilities | | $ | — | | | $ | 294,706 | | | $ | — | | | $ | 294,706 | |
| | | | | | | | | | | | | | | | |
Appreciation in Other Financial Instruments | | | | | | | | | | | | | | | | |
Futures contracts | | $ | 2,453 | | | $ | — | | | $ | — | | | $ | 2,453 | |
Forward Foreign Currency Exchange contracts | | | — | | | | 41,026 | | | | — | | | | 41,026 | |
Centrally Cleared Interest Rate Swap contracts | | | — | | | | 1,701 | | | | — | | | | 1,701 | |
| | | | | | | | | | | | | | | | |
Total Appreciation in Other Financial Instruments | | $ | 2,453 | | | $ | 42,727 | | | $ | — | | | $ | 45,180 | |
| | | | | | | | | | | | | | | | |
Depreciation in Other Financial Instruments | | | | | | | | | | | | | | | | |
Futures contracts | | $ | (1,662 | ) | | $ | — | | | $ | — | | | $ | (1,662 | ) |
Forward Foreign Currency Exchange contracts | | | — | | | | (118,400 | ) | | | — | | | | (118,400 | ) |
OTC Interest Rate Swap contract | | | — | | | | (96 | ) | | | — | | | | (96 | ) |
Centrally Cleared Interest Rate Swap contracts | | | — | | | | (9,296 | ) | | | — | | | | (9,296 | ) |
Written Option contracts | | | | | | | | | | | | | | | | |
Written Call Option contracts | | | — | | | | (52 | ) | | | — | | | | (52 | ) |
Written Put Option contracts | | | — | | | | (166 | ) | | | — | | | | (166 | ) |
| | | | | | | | | | | | | | | | |
Total Written Option contracts | | | — | | | | (218 | ) | | | — | | | | (218 | ) |
| | | | | | | | | | | | | | | | |
Total Depreciation in Other Financial Instruments | | $ | (1,662 | ) | | $ | (128,010 | ) | | $ | — | | | $ | (129,672 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 293 |
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
Six Circles Tax Aware Bond Fund
| | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2 Other significant
observable inputs | | | Level 3 Significant unobservable inputs | | | Total | |
Investments in Securities | | | | | | | | | | | | | | | | |
Debt Securities | | | | | | | | | | | | | | | | |
Corporate Bond | | | | | | | | | | | | | | | | |
Consumer Non-cyclical | | $ | — | | | $ | 452 | | | $ | — | | | $ | 452 | |
Municipal Bonds | | | — | | | | 6,124,846 | | | | — | | | | 6,124,846 | |
Short-Term Investment | | | | | | | | | | | | | | | | |
Municipal Bond | | | — | | | | 955 | | | | — | | | | 955 | |
Time Deposits | | | — | | | | 137,507 | | | | — | | | | 137,507 | |
| | | | | | | | | | | | | | | | |
Total Short-Term Investments | | | — | | | | 138,462 | | | | — | | | | 138,462 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | $ | — | | | $ | 6,263,760 | | | $ | — | | | $ | 6,263,760 | |
| | | | | | | | | | | | | | | | |
Appreciation in Other Financial Instruments | | | | | | | | | | | | | | | | |
Future contract | | $ | 90 | | | $ | — | | | $ | — | | | $ | 90 | |
| | | | | | | | | | | | | | | | |
Depreciation in Other Financial Instruments | | | | | | | | | | | | | | | | |
Futures contracts | | $ | (949 | ) | | $ | — | | | $ | — | | | $ | (949 | ) |
| | | | | | | | | | | | | | | | |
Six Circles Credit Opportunities Fund
| | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Investments in Securities | | | | | | | | | | | | | | | | |
Debt Securities | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | $ | — | | | $ | 114,725 | | | $ | — | | | $ | 114,725 | |
Certificate of Deposit | | | | | | | | | | | | | | | | |
Financial | | | — | | | | 250 | | | | — | | | | 250 | |
Collateralized Mortgage Obligations | | | — | | | | 4,770 | | | | — | | | | 4,770 | |
Commercial Mortgage-Backed Securities | | | — | | | | 11,301 | | | | — | | | | 11,301 | |
Convertible Bonds | | | | | | | | | | | | | | | | |
Communications | | | — | | | | 7,814 | | | | — | | | | 7,814 | |
Consumer Cyclical | | | — | | | | 2,900 | | | | — | | | | 2,900 | |
Consumer Non-cyclical | | | — | | | | 4,238 | | | | — | | | | 4,238 | |
Industrial | | | — | | | | 174 | | | | — | | | | 174 | |
| | | | | | | | | | | | | | | | |
Total Convertible Bonds | | | — | | | | 15,126 | | | | — | | | | 15,126 | |
| | | | | | | | | | | | | | | | |
Corporate Bonds | | | | | | | | | | | | | | | | |
Basic Materials | | | — | | | | 136,723 | | | | — | | | | 136,723 | |
Communications | | | — | | | | 290,663 | | | | — | (a) | | | 290,663 | |
Consumer Cyclical | | | — | | | | 559,424 | | | | — | | | | 559,424 | |
Consumer Non-cyclical | | | — | | | | 333,318 | | | | — | | | | 333,318 | |
Diversified | | | — | | | | 3,146 | | | | — | | | | 3,146 | |
Energy | | | — | | | | 347,017 | | | | — | | | | 347,017 | |
Financial | | | — | | | | 433,028 | | | | — | | | | 433,028 | |
Industrial | | | — | | | | 334,869 | | | | — | | | | 334,869 | |
Technology | | | — | | | | 121,964 | | | | — | | | | 121,964 | |
Utilities | | | — | | | | 117,128 | | | | — | | | | 117,128 | |
| | | | | | | | | | | | | | | | |
Total Corporate Bonds | | | — | | | | 2,677,280 | | | | — | (a) | | | 2,677,280 | |
| | | | | | | | | | | | | | | | |
Foreign Government Securities | | | — | | | | 54,700 | | | | — | | | | 54,700 | |
U.S. Treasury Obligations | | | — | | | | 53,000 | | | | — | | | | 53,000 | |
Common Stock | | | | | | | | | | | | | | | | |
Communications | | | — | | | | — | | | | 1,844 | | | | 1,844 | |
Preferred Stock | | | | | | | | | | | | | | | | |
Consumer Cyclical | | | — | | | | — | | | | 6,467 | | | | 6,467 | |
Loan Assignments | | | | | | | | | | | | | | | | |
Basic Materials | | | — | | | | 4,721 | | | | — | | | | 4,721 | |
Communications | | | — | | | | 32,003 | | | | — | | | | 32,003 | |
| | | | | | | | | | |
| | | | | |
| 294 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
Six Circles Credit Opportunities Fund (Continued)
| | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Consumer Cyclical | | $ | — | | | $ | 14,226 | | | $ | — | | | $ | 14,226 | |
Consumer Non-cyclical | | | — | | | | 13,170 | | | | — | | | | 13,170 | |
Energy | | | — | | | | 2,046 | | | | — | | | | 2,046 | |
Financial | | | — | | | | 8,678 | | | | — | | | | 8,678 | |
Industrial | | | — | | | | 24,821 | | | | — | | | | 24,821 | |
Technology | | | — | | | | 51,373 | | | | — | | | | 51,373 | |
Utilities | | | — | | | | 567 | | | | — | | | | 567 | |
| | | | | | | | | | | | | | | | |
Total Loan Assignments | | | — | | | | 151,605 | | | | — | | | | 151,605 | |
| | | | | | | | | | | | | | | | |
Rights | | | | | | | | | | | | | | | | |
Communications | | | — | | | | — | | | | 104 | | | | 104 | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Commercial Papers | | | — | | | | 2,840 | | | | — | | | | 2,840 | |
Corporate Bond | | | — | | | | 222 | | | | — | | | | 222 | |
Time Deposits | | | — | | | | 26,122 | | | | — | | | | 26,122 | |
U.S. Government Agency Security | | | — | | | | 30,555 | | | | — | | | | 30,555 | |
U.S. Treasury Obligations | | | — | | | | 6,118 | | | | — | | | | 6,118 | |
| | | | | | | | | | | | | | | | |
Total Short-Term Investments | | | — | | | | 65,857 | | | | — | | | | 65,857 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | $ | — | | | $ | 3,148,614 | | | $ | 8,415 | | | $ | 3,157,029 | |
| | | | | | | | | | | | | | | | |
Appreciation in Other Financial Instruments | | | | | | | | | | | | | | | | |
Futures contracts | | $ | 222 | | | $ | — | | | $ | — | | | $ | 222 | |
Forward Foreign Currency Exchange contracts | | | — | | | | 90 | | | | — | | | | 90 | |
OTC Credit Default Swaps contracts | | | — | | | | 155 | | | | — | | | | 155 | |
Centrally Cleared Credit Default Swap contract | | | — | | | | 867 | | | | — | | | | 867 | |
| | | | | | | | | | | | | | | | |
Total Appreciation in Other Financial Instruments | | $ | 222 | | | $ | 1,112 | | | $ | — | | | $ | 1,334 | |
| | | | | | | | | | | | | | | | |
Depreciation in Other Financial Instruments | | | | | | | | | | | | | | | | |
Futures contracts | | $ | (2,694 | ) | | $ | — | | | $ | — | | | $ | (2,694 | ) |
Forward Foreign Currency Exchange contracts | | | — | | | | (58 | ) | | | — | | | | (58 | ) |
Centrally Cleared Interest Rate Swap contract | | | — | | | | (1,325 | ) | | | — | | | | (1,325 | ) |
OTC Credit Default Swaps contracts | | | — | | | | (34 | ) | | | — | | | | (34 | ) |
Centrally Cleared Credit Default Swap contract | | | — | | | | (215 | ) | | | — | | | | (215 | ) |
| | | | | | | | | | | | | | | | |
Total Depreciation in Other Financial Instruments | | $ | (2,694 | ) | | $ | (1,632 | ) | | $ | — | | | $ | (4,326 | ) |
| | | | | | | | | | | | | | | | |
| (a) | Amount rounds to less than $500. |
There were no significant transfers into or out of level 3 for the period ended June 30, 2023 for the Funds.
B. Restricted Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933 (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net asset value of the Funds.
C. When-Issued Securities, Delayed Delivery Securities and Forward Commitments — The Funds may purchase when-issued securities, including To Be Announced (“TBA”) securities, and enter into contracts to purchase or sell securities for a fixed price that may be settled a month or more after the trade date, or purchase delayed delivery securities which generally settle seven days after the trade date. When-issued securities are securities that have been authorized, but not issued in the market. A forward commitment involves entering into a contract to purchase or sell securities for a fixed price at a future date that may be settled a month or more after the trade date. A delayed delivery security is agreed upon in advance between the buyer and the seller of the security and is generally delivered beyond seven days of the agreed upon date. The purchase of securities on a when-issued, delayed delivery or forward commitment basis involves the risk that the value of the security to be purchased declines before the settlement date. The sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. The Funds may be exposed to credit risk if the counterparty fails to perform under the terms of the transaction. Interest income for securities purchased on a when-issued, delayed delivery or forward commitment basis is not accrued until the settlement date.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 295 |
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
D. Loan Assignments — The Six Circles Credit Opportunities Fund invests in debt instruments that are interests in amounts owed to lenders or lending syndicates (a “Lender”) by corporate, governmental or other borrowers (a “Borrower”). A loan is typically originated, negotiated and structured by a U.S. or foreign bank, insurance company or other financial institution (the “Agent”) for a group of loan investors (“Loan Investors”). The Agent administers the terms of the loan, as specified in the loan agreement. When a Fund purchases a loan assignment, the Fund has direct rights against the Borrower on a loan, provided, however, the Fund’s rights may be more limited than the lender from which it acquired the assignment and the Fund may be able to enforce its rights only through the Agent. As a result, the Fund assumes the credit risk of the Borrower, the selling participant and any other persons interpositioned between each Fund and the Borrower (“Intermediate Participants”). In the event that the Borrower, selling participant or Intermediate Participants become insolvent or enter into bankruptcy, the Fund may incur certain costs and delays in realizing payment or may suffer a loss of principal and/or interest. The Adviser or Sub-Advisers may have access to material non-public information regarding the Borrower.
Certain loan assignments are also subject to the risks associated with high yield securities described under Note 5.
Unfunded commitments represent the remaining obligation of each Fund to the Borrower. At any point in time, up to the maturity date of the issue, the Borrower may demand the unfunded portion. The unrealized appreciation/depreciation from unfunded commitments is reported on the Statements of Assets and Liabilities, if any. As of June 30, 2023 the Six Circles Credit Opportunities Fund had the following loan commitments outstanding in which all or a portion of the commitment was unfunded (amounts in thousands):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | Unfunded
Commitment | | | Funded
Commitment | | | Total
Commitment | |
| Security Description | | Term | | | Maturity
Date | | | Commitment
Fee Rate | | | Rate if
Funded | | | Par | | | Value | | | Par | | | Value | | | Par | | | Value | |
athenahealth Group, Inc. | | | Initial Delayed Draw Term Loan | | | | 2/15/2029 | | | | 3.50 | % | | | 3.50 | % | | | 797 | | | $ | 766 | | | | — | | | $ | — | | | | 797 | | | $ | 766 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 797 | | | $ | 766 | | | | — | | | $ | — | | | | 797 | | | $ | 766 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
E. Derivatives — The Funds used derivative instruments including options, futures contracts, forward foreign currency exchange contracts and swaps, in connection with their respective investment strategies. Derivative instruments may be used as substitutes for securities in which the Funds can invest, to hedge portfolio investments or to generate income or gain to the Funds. Derivatives may also be used to manage duration, sector and yield curve exposures as well as credit and spread volatility.
The Funds may be subject to various risks from the use of derivatives including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing a Fund to close out its position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Funds’ risk of loss associated with these instruments may exceed their value, as recorded on the Statements of Assets and Liabilities.
The Funds are party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Funds’ ISDA agreements, which are separately negotiated by the Sub-Advisers, with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Funds in the event the Funds’ net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Funds to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Funds often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Funds. The ISDA agreements give the Funds and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable with collateral posted to a segregated account by one party to the other.
Counterparty credit risk may be mitigated to the extent a counterparty posts collateral for mark-to-market gains to the Fund.
Notes E(1) — E(4) below describe the various derivatives used by the Funds.
(1) Options — The Six Circles Global Bond Fund purchased and sold (“wrote”) put and call options on securities to manage and hedge interest rate risks within its portfolio and also to gain long or short exposure to the underlying instrument. A purchaser of a put option has the right, but not the obligation, to sell the underlying instrument at an agreed upon price (“strike price”) to the option seller. A purchaser of a call option has the right, but not the obligation, to purchase the underlying instrument at the strike price from the option seller.
Options Purchased — Premiums paid by the Funds for options purchased are included on the Statements of Assets and Liabilities as Options purchased. The option is adjusted daily to reflect the current market value of the option and the change is recorded as Change in net unrealized appreciation/depreciation on options purchased on the Statements of Operations. If the option is allowed to expire, the Funds will lose the entire premium they paid and record a realized loss for the premium amount. Premiums paid for options purchased which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) or cost basis of the underlying investment.
| | | | | | | | | | |
| | | | | |
| 296 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
Options Written — Premiums received by the Funds for options written are included on the Statements of Assets and Liabilities as a liability. The amount of the liability is adjusted daily to reflect the current market value of the option written and the change in market value is recorded as Change in net unrealized appreciation/depreciation on options written on the Statements of Operations. Premiums received from options written that expire are treated as realized gains. If a written option is closed, the Funds record a realized gain or loss on options written based on whether the cost of the closing transaction exceeds the premium received. If a call option is exercised by the option buyer, the premium received by the Funds is added to the proceeds from the sale of the underlying security to the option buyer and compared to the cost of the closing transaction to determine whether there has been a realized gain or loss. If a put option is exercised by an option buyer, the premium received by the option seller reduces the cost basis of the purchased security.
Written uncovered call options subject the Funds to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Written put options subject the Funds to risk of loss if the value of the security declines below the exercise price minus the put premium.
The Funds are not subject to credit risk on options written as the counterparty has already performed its obligation by paying the premium at the inception of the contract.
The Fund’s option contracts are subject to master netting arrangements.
(2) Futures Contracts — The Six Circles Ultra Short Duration Fund, Six Circles Tax Aware Ultra Short Duration Fund, Six Circles Global Bond Fund, Six Circles Tax Aware Bond Fund and Six Circles Credit Opportunities Fund used interest rate futures to manage interest rate risks associated with portfolio investments. The Six Circles U.S. Unconstrained Equity Fund and Six Circles International Unconstrained Equity Fund used index futures to gain or reduce exposure to certain countries or regions, to maintain liquidity or minimize transaction costs.
Futures contracts may provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to
deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOIs and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities. Futures contracts outstanding at period end, if any, are listed after each Fund’s SOI.
The use of futures contracts may expose the Funds to interest rate and equity price risks. The Funds may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Funds credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent the liquidation of positions.
The Funds’ futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
(3) Forward Foreign Currency Exchange Contracts — The Six Circles International Unconstrained Equity Fund, Six Circles Ultra Short Duration Fund, Six Circles Tax Aware Ultra Short Duration Fund, Six Circles Global Bond Fund and Six Circles Credit Opportunities Fund may be exposed to foreign currency risks associated with some or all of the portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Funds also bought forward foreign currency exchange contracts to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Forward contracts outstanding at period end, if any, are listed after each Fund’s SOI.
The values of the forward foreign currency exchange contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation/depreciation until the contract settlement date. When the forward foreign currency exchange contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed. The Fund also records a realized gain or loss when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty upon settlement.
The Funds’ forward foreign currency exchange contracts may be subject to master netting arrangements (the right to close out all transactions with a counterparty and net amounts owed or due across transactions). The Funds may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 297 |
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(4) Swaps — The Six Circles Ultra Short Duration Fund, Six Circles Tax Aware Ultra Short Duration Fund, Six Circles Global Bond Fund, and the Six Circles Credit Opportunities Fund engaged in various swap transactions, including interest swaps, to manage interest rate (e.g., duration, yield curve) risks within their respective portfolios. The Funds also used swaps as alternatives to direct investments. Swap transactions are negotiated contracts over the counter (“OTC swaps”) between a fund and a counterparty or centrally cleared (“centrally cleared swaps”) with a central clearinghouse through a Futures Commission Merchant (“FCM”), to exchange investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. Swap contracts outstanding at period end, if any, are listed after each Fund’s SOI.
Upfront payments made and/or received are recorded as assets or liabilities, respectively on the Statements of Assets and Liabilities and amortized over the term of the swap. The value of an OTC swap agreement is recorded as either an asset or a liability on the Statements of Assets and Liabilities at the beginning of the measurement period.
Upon entering into a centrally cleared swap, the Funds are required to deposit with the FCM cash or securities, which is referred to as initial margin deposit. Securities deposited as initial margin are designated on the SOIs and cash deposited is recorded on the Statements of Assets and Liabilities. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a variation margin receivable or payable on the Statements of Assets and Liabilities. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as Change in net unrealized appreciation/depreciation on the Statements of Operations. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.
The central clearing house acts as the counterparty to each centrally cleared swap transaction, therefore credit risk is limited to the failure of the clearing house.
The Funds may be required to post or receive collateral in the form of cash or securities based on the net value of the Fund’s outstanding OTC swap contracts with the counterparty. Daily movement of collateral is subject to minimum threshold amounts. Collateral posted by the Funds is held in a segregated account at the Funds’ custodian bank. Collateral received by the Funds is held in escrow in segregated accounts maintained by Brown Brothers Harriman & Co.
The Funds’ swap contracts (excluding centrally cleared swaps) are subject to master netting arrangements.
Credit Default Swaps
Six Circles Ultra Short Duration Fund, Six Circles Tax Aware Ultra Short Duration Fund and Six Circles Credit Opportunities Fund entered into credit default swaps to simulate long and short bond positions or to take an active long or short position with respect to the likelihood of a default or credit event by the issuer of the underlying reference obligation.
The underlying reference obligation may be a single issuer of corporate or sovereign debt, a basket of issuers or a credit index. A credit index is a list of credit instruments or exposures that reference a fixed number of obligors with shared characteristics that represents some part of the credit market as a whole. Index credit default swaps have standardized terms including a fixed spread and standard maturity dates. The composition of the obligations within a particular index changes periodically.
Credit default swaps involve one party, the protection buyer, making a stream of payments to another party, the protection seller, in exchange for the right to receive a contingent payment if there is a credit event related to the underlying reference obligation. In the event that the reference obligation matures prior to the termination date of the contract, a similar security will be substituted for the duration of the contract term. Credit events are defined under individual swap agreements and generally include bankruptcy, failure to pay, restructuring, repudiation/moratorium, obligation acceleration and obligation default.
If a credit event occurs, the Funds, as protection sellers, would be obligated to make a payment, which may be either: (i) a net cash settlement equal to the notional amount of the swap less the auction value of the reference obligation or (ii) the notional amount of the swap in exchange for the delivery of the reference obligation. Selling protection effectively adds leverage to a Fund’s portfolio up to the notional amount of swap agreements. The notional amount represents the maximum potential liability under a contract and is not reflected on the Statements of Assets and Liabilities. Potential liabilities under these contracts may be reduced by: the auction rates of the underlying reference obligations; upfront payments received at the inception of a swap; and net amounts received from credit default swaps purchased with the identical reference obligation.
Interest Rate Swaps
The Six Circles Ultra Short Duration Fund, Six Circles Tax Aware Ultra Short Duration Fund, Six Circles Global Bond Fund and Six Circles Credit Opportunities Fund entered into interest rate swap contracts to manage fund exposure to interest rates and/or to preserve or generate a return on a particular investment or portion of its portfolio. These are agreements between counterparties to exchange periodic payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified interest rate while the other is typically a fixed interest rate.
| | | | | | | | | | |
| | | | | |
| 298 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
(5) Summary of Derivatives Information
The following tables present the value of derivatives held as of June 30, 2023 by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities (amounts in thousands):
Six Circles Ultra Short Duration Fund
| | | | | | | | | | | | | | | | | | |
| Derivative Contracts | | Statements of Assets and Liabilities Location | | | | | | | | | | |
| Gross Assets: | | | | Futures
Contracts (a) | | | Forward
Foreign Currency Exchange
Contracts | | | Centrally Cleared Swaps (b) | | | Total | |
Interest rate contracts | | Receivables, Net Assets — Unrealized Appreciation | | $ | 702 | | | $ | — | | | $ | — | | | $ | 702 | |
Foreign exchange contracts | | Receivables | | | — | | | | 1,197 | | | | — | | | | 1,197 | |
| | | | | | | | | | | | | | | | | | |
Total | | | | $ | 702 | | | $ | 1,197 | | | $ | — | | | $ | 1,899 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
Gross Liabilities: | | | | | | | | | | | | | | |
Credit contracts | | Payables, Net Assets — Unrealized Depreciation | | $ | — | | | $ | — | | | $ | (174 | ) | | $ | (174 | ) |
Interest rate contracts | | Payables, Net Assets — Unrealized Depreciation | | | (211 | ) | | | — | | | | — | | | | (211 | ) |
Foreign exchange contracts | | Payables | | | — | | | | (245 | ) | | | — | | | | (245 | ) |
| | | | | | | | | | | | | | | | | | |
Total | | | | $ | (211 | ) | | $ | (245 | ) | | $ | (174 | ) | | $ | (630 | ) |
| | | | | | | | | | | | | | | | | | |
| (a) | This amount represents the cumulative appreciation (depreciation) of futures contracts as reported on the SOIs. The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers. |
| (b) | This amount represents the value of centrally cleared swaps as reported on the SOIs. The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers. |
Six Circles Tax Aware Ultra Short Duration Fund
| | | | | | | | | | | | | | | | | | |
| Derivative Contracts | | Statements of Assets and Liabilities Location | | | | | | | | | | | | |
| Gross Assets: | | | | Futures
Contracts (a) | | | Forward Foreign Currency Exchange
Contracts | | | Centrally Cleared Swaps (b) | | | Total | |
Interest rate contracts | | Receivables, Net Assets — Unrealized Appreciation | | $ | 366 | | | $ | — | | | $ | — | | | $ | 366 | |
Foreign exchange contracts | | Receivables | | | — | | | | 176 | | | | — | | | | 176 | |
| | | | | | | | | | | | | | | | | | |
Total | | | | $ | 366 | | | $ | 176 | | | $ | — | | | $ | 542 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
Gross Liabilities: | | | | | | | | | | | | | | |
Credit contracts | | Payables, Net Assets — Unrealized Depreciation | | $ | — | | | $ | — | | | $ | (180 | ) | | $ | (180 | ) |
Interest rate contracts | | Payables, Net Assets — Unrealized Depreciation | | | (281 | ) | | | — | | | | — | | | | (281 | ) |
Foreign exchange contracts | | Payables | | | — | | | | (180 | ) | | | — | | | | (180 | ) |
| | | | | | | | | | | | | | | | | | |
Total | | | | $ | (281 | ) | | $ | (180 | ) | | $ | (180 | ) | | $ | (641 | ) |
| | | | | | | | | | | | | | | | | | |
| (a) | This amount represents the cumulative appreciation (depreciation) of futures contracts as reported on the SOIs. The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers. |
| (b) | This amount represents the value of centrally cleared swaps as reported on the SOIs. The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers. |
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 299 |
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
Six Circles U.S. Unconstrained Equity Fund
| | | | | | |
| Derivative Contracts | | Statements of Assets and Liabilities Location | |
| Gross Assets: | | | | Futures
Contracts (a) | |
Equity contracts | | Receivables, Net Assets — Unrealized Appreciation | | $ | 5,319 | |
| | | | | | |
| | |
Gross Liabilities: | | | | | |
Equity contracts | | Payables, Net Assets — Unrealized Depreciation | | $ | (70 | ) |
| | | | | | |
| (a) | This amount represents the cumulative appreciation (depreciation) of futures contracts as reported on the SOIs. The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers. |
Six Circles International Unconstrained Equity Fund
| | | | | | |
| Derivative Contracts | | Statements of Assets and Liabilities Location | |
| Gross Assets: | | | | Futures
Contracts (a) | |
Equity contracts | | Receivables, Net Assets — Unrealized Appreciation | | $ | 1,274 | |
| | | | | | |
| | |
Gross Liabilities: | | | | | |
Equity contracts | | Payables, Net Assets — Unrealized Depreciation | | $ | (65 | ) |
| | | | | | |
| (a) | This amount represents the cumulative appreciation (depreciation) of futures contracts as reported on the SOIs. The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers. |
Six Circles Global Bond Fund
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Derivative Contracts | | Statements of Assets and Liabilities Location | |
| Gross Assets: | | | | Futures
Contracts (a) | | | Forward Foreign
Currency Exchange
Contracts | | | Centrally
Cleared
Swaps (b) | | | OTC
Swaps | | | OTC
Options
Written | | | Total | |
Interest rate contracts | | Receivables, Net Assets — Unrealized Appreciation | | $ | 2,453 | | | $ | — | | | $ | 3,092 | | | $ | — | | | $ | — | | | $ | 5,545 | |
Foreign exchange contracts | | Receivables | | | — | | | | 41,026 | | | | — | | | | — | | | | — | | | | 41,026 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | $ | 2,453 | | | $ | 41,026 | | | $ | 3,092 | | | $ | — | | | $ | — | | | $ | 46,571 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Gross Liabilities: | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | Payables, Net Assets —
Unrealized Depreciation | | $ | (1,662 | ) | | $ | — | | | $ | (9,783 | ) | | $ | (96 | ) | | $ | (218 | ) | | $ | (11,759 | ) |
Foreign exchange contracts | | Payables | | | — | | | | (118,400 | ) | | | — | | | | — | | | | — | | | | (118,400 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | $ | (1,662 | ) | | $ | (118,400 | ) | | $ | (9,783 | ) | | $ | (96 | ) | | $ | (218 | ) | | $ | (130,159 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | This amount represents the cumulative appreciation (depreciation) of futures contracts as reported on the SOIs. The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers. |
| (b) | This amount represents the value of centrally cleared swaps as reported on the SOIs. The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers. |
Six Circles Tax Aware Bond Fund
| | | | | | |
| Derivative Contracts | | Statements of Assets and Liabilities Location | | | |
| Gross Assets: | | | | Futures
Contracts (a) | |
Interest rate contracts | | Receivables, Net Assets — Unrealized Appreciation | | $ | 90 | |
| | | | | | |
| | |
Gross Liabilities: | | | | | |
Interest rate contracts | | Payables, Net Assets — Unrealized Depreciation | | $ | (949 | ) |
| | | | | | |
| (a) | This amount represents the cumulative appreciation (depreciation) of futures contracts as reported on the SOIs. The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers. |
| | | | | | | | | | |
| | | | | |
| 300 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
Six Circles Credit Opportunities Fund
| | | | | | | | | | | | | | | | | | | | | | |
| Derivative Contracts | | Statements of Assets and Liabilities Location | |
| Gross Assets: | | | | Futures
Contracts (a) | | | Forward Foreign
Currency Exchange
Contracts | | | Centrally
Cleared
Swaps (b) | | | OTC
Swaps | | | Total | |
Credit contracts | | Receivables | | $ | — | | | $ | — | | | $ | 824 | | | $ | 45 | | | $ | 869 | |
Interest rate contracts | | Receivables, Net Assets — Unrealized Appreciation | | | 222 | | | | — | | | | — | | | | — | | | | 222 | |
Foreign exchange contracts | | Receivables | | | — | | | | 90 | | | | — | | | | — | | | | 90 | |
| | | | | | | | | | | | | | | | | | | | | | |
Total | | | | $ | 222 | | | $ | 90 | | | $ | 824 | | | $ | 45 | | | $ | 1,181 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Gross Liabilities: | | | | | | | | | | | | | | | | | |
Credit contracts | | Payables | | $ | — | | | $ | — | | | $ | (1,228 | ) | | $ | (238 | ) | | $ | (1,466 | ) |
Interest rate contracts | | Payables, Net Assets — Unrealized Depreciation | | | (2,694 | ) | | | — | | | | (4,690 | ) | | | — | | | | (7,384 | ) |
Foreign exchange contracts | | Payables | | | — | | | | (58 | ) | | | — | | | | — | | | | (58 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Total | | | | $ | (2,694 | ) | | $ | (58 | ) | | $ | (5,918 | ) | | $ | (238 | ) | | $ | (8,908 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| (a) | This amount represents the cumulative appreciation (depreciation) of futures contracts as reported on the SOIs. The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers. |
| (b) | This amount represents the value of centrally cleared swaps as reported on the SOIs. The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers. |
The following tables present the Funds’ gross derivative assets and liabilities by counterparty net of amounts available for offset under netting arrangements and any related collateral received or posted by the Fund as of June 30, 2023 (amounts in thousands):
Six Circles Ultra Short Duration Fund
| | | | | | | | | | | | | | | | |
| | | Gross Amount of
Derivative Assets
Subject to Netting
Arrangements
Presented on the
Statements of
Assets and
Liabilities (a) | | | Derivatives
Available
for offset | | | Collateral
Received | | | Net Amount Due
From Counterparty
(Not less than zero) | |
Bank of America, NA | | $ | 140 | | | $ | (84 | ) | | $ | (56 | ) | | $ | — | |
BNP Paribas | | | 93 | | | | (— | )(b) | | | — | | | | 93 | |
Citibank, NA | | | — | (b) | | | (— | )(b) | | | — | | | | — | |
Morgan Stanley & Co. | | | 32 | | | | (32 | ) | | | — | | | | — | |
Nomura International plc | | | 459 | | | | — | | | | — | | | | 459 | |
UBS AG LONDON | | | 473 | | | | — | | | | — | | | | 473 | |
| | | | | | | | | | | | | | | | |
| | $ | 1,197 | | | $ | (116 | ) | | $ | (56 | ) | | $ | 1,025 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | Gross Amount of
Derivative Liabilities
Subject to Netting
Arrangements
Presented on the
Statements of
Assets and
Liabilities (a) | | | Derivatives
Available
for offset | | | Collateral
Posted | | | Net Amount Due
To Counterparty
(Not less than zero) | |
Bank of America, NA | | $ | 84 | | | $ | (84 | ) | | $ | — | | | $ | — | |
Barclays Bank plc | | | 1 | | | | — | | | | — | | | | 1 | |
BNP Paribas | | | — | (b) | | | (— | )(b) | | | — | | | | — | |
Citibank, NA | | | 18 | | | | (— | )(b) | | | — | | | | 18 | |
Deutsche Bank AG | | | 62 | | | | — | | | | — | | | | 62 | |
Morgan Stanley & Co. | | | 80 | | | | (32 | ) | | | (14 | ) | | | 34 | |
| | | | | | | | | | | | | | | | |
| | $ | 245 | | | $ | (116 | ) | | $ | (14 | ) | | $ | 115 | |
| | | | | | | | | | | | | | | | |
| (a) | For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities subject to master netting arrangements on the Statements of Assets and Liabilities. |
| (b) | Amount rounds to less than $500. |
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 301 |
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
Six Circles Tax Aware Ultra Short Duration Fund
| | | | | | | | | | | | | | | | |
| | | Gross Amount of
Derivative Assets
Subject to Netting
Arrangements
Presented on the
Statements of
Assets and
Liabilities (a) | | | Derivatives
Available
for offset | | | Collateral
Received | | | Net Amount Due
From Counterparty
(Not less than zero) | |
Bank of America, NA | | $ | 145 | | | $ | (9 | ) | | $ | (136 | ) | | $ | — | |
Morgan Stanley & Co. | | | 31 | | | | (31 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| | $ | 176 | | | $ | (40 | ) | | $ | (136 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | Gross Amount of
Derivative Liabilities
Subject to Netting
Arrangements
Presented on the
Statements of
Assets and
Liabilities (a) | | | Derivatives
Available
for offset | | | Collateral
Posted | | | Net Amount Due
To Counterparty
(Not less than zero) | |
Bank of America, NA | | $ | 9 | | | $ | (9 | ) | | $ | — | | | $ | — | |
Barclays Bank plc | | | 1 | | | | — | | | | — | | | | 1 | |
Deutsche Bank AG | | | 74 | | | | — | | | | — | | | | 74 | |
Morgan Stanley & Co. | | | 96 | | | | (31 | ) | | | — | | | | 65 | |
| | | | | | | | | | | | | | | | |
| | $ | 180 | | | $ | (40 | ) | | $ | — | | | $ | 140 | |
| | | | | | | | | | | | | | | | |
| (a) | For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities subject to master netting arrangements on the Statements of Assets and Liabilities. |
Six Circles Global Bond Fund
| | | | | | | | | | | | | | | | |
| | | Gross Amount of
Derivative Assets
Subject to Netting
Arrangements
Presented on the
Statements of
Assets and
Liabilities (a) | | | Derivatives
Available
for offset | | | Collateral
Received | | | Net Amount Due
From Counterparty
(Not less than zero) | |
Bank of America, NA | | $ | 3,367 | | | $ | (3,367 | ) | | $ | — | | | $ | — | |
Barclays Bank plc | | | 38 | | | | (38 | ) | | | — | | | | — | |
BNP Paribas | | | 227 | | | | (227 | ) | | | — | | | | — | |
Brown Brothers Harriman & Co. | | | 24,699 | | | | (118 | ) | | | — | | | | 24,581 | |
Citibank, NA | | | 5,272 | | | | (5,272 | ) | | | — | | | | — | |
Deutsche Bank AG | | | 12 | | | | (1 | ) | | | — | | | | 11 | |
Goldman Sachs International | | | 1,302 | | | | (1,302 | ) | | | — | | | | — | |
HSBC Bank plc | | | 2,570 | | | | (283 | ) | | | (2,287 | ) | | | — | |
Morgan Stanley & Co. | | | 3,339 | | | | (3,339 | ) | | | — | | | | — | |
Royal Bank of Canada | | | 50 | | | | (50 | ) | | | — | | | | — | |
Toronto-Dominion Bank (The) | | | 1 | | | | (1 | ) | | | — | | | | — | |
UBS AG London | | | 134 | | | | (134 | ) | | | — | | | | — | |
Westpac Banking Corp. | | | 15 | | | | (15 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| | $ | 41,026 | | | $ | (14,147 | ) | | $ | (2,287 | ) | | $ | 24,592 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | | | | |
| 302 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | | | | | | | | | |
| | | Gross Amount of
Derivative Liabilities
Subject to Netting
Arrangements
Presented on the
Statements of
Assets and
Liabilities (a) | | | Derivatives
Available
for offset | | | Collateral
Posted | | | Net Amount Due
To Counterparty
(Not less than zero) | |
Bank of America, NA | | $ | 8,618 | | | $ | (3,367 | ) | | | (60 | ) | | $ | 5,191 | |
Bank of New York Mellon | | | 11,507 | | | | — | | | | — | | | | 11,507 | |
Barclays Bank plc | | | 82 | | | | (38 | ) | | | (44 | ) | | | — | |
BNP Paribas | | | 1,068 | | | | (227 | ) | | | (841 | ) | | | — | |
Brown Brothers Harriman & Co. | | | 118 | | | | (118 | ) | | | — | | | | — | |
Citibank, NA | | | 8,197 | | | | (5,272 | ) | | | (2,333 | ) | | | 592 | |
Citigroup Global Markets, Inc. | | | 202 | | | | — | | | | (202 | ) | | | — | |
Deutsche Bank AG | | | 1 | | | | (1 | ) | | | — | | | | — | |
Goldman Sachs International | | | 3,372 | | | | (1,302 | ) | | | (537 | ) | | | 1,533 | |
HSBC Bank plc | | | 283 | | | | (283 | ) | | | — | | | | — | |
Morgan Stanley & Co. | | | 22,231 | | | | (3,339 | ) | | | (1,117 | ) | | | 17,775 | |
Royal Bank of Canada | | | 56 | | | | (50 | ) | | | — | | | | 6 | |
Standard Chartered Bank | | | — | (b) | | | — | | | | — | | | | — | (b) |
Toronto-Dominion Bank (The) | | | 6 | | | | (1 | ) | | | — | | | | 5 | |
UBS AG London | | | 62,735 | | | | (134 | ) | | | — | | | | 62,601 | |
Westpac Banking Corp. | | | 238 | | | | (15 | ) | | | — | | | | 223 | |
| | | | | | | | | | | | | | | | |
| | $ | 118,714 | | | $ | (14,147 | ) | | $ | (5,134 | ) | | $ | 99,433 | |
| | | | | | | | | | | | | | | | |
| (a) | For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities subject to master netting arrangements on the Statements of Assets and Liabilities. |
| (b) | Amount rounds to less than $500. |
Six Circles Credit Opportunities Fund
| | | | | | | | | | | | | | | | |
| | | Gross Amount of
Derivative Assets
Subject to Netting
Arrangements
Presented on the
Statements of
Assets and
Liabilities (a) | | | Derivatives
Available
for offset | | | Collateral
Received | | | Net Amount Due
From Counterparty
(Not less than zero) | |
Bank of America, NA | | $ | 19 | | | $ | (19 | ) | | $ | — | | | $ | — | |
Barclays Bank plc | | | 3 | | | | (1 | ) | | | — | | | | 2 | |
BNP Paribas | | | 89 | | | | (4 | ) | | | — | | | | 85 | |
Citibank NA | | | 113 | | | | — | | | | — | | | | 113 | |
Goldman Sachs International | | | 5 | | | | (5 | ) | | | — | | | | — | |
HSBC Bank plc | | | 1 | | | | (1 | ) | | | — | | | | — | |
Morgan Stanley | | | 15 | | | | (15 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| | $ | 245 | | | $ | (45 | ) | | $ | — | | | $ | 200 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | Gross Amount of
Derivative Liabilities
Subject to Netting
Arrangements
Presented on the
Statements of
Assets and
Liabilities (a) | | | Derivatives
Available
for offset | | | Collateral
Posted | | | Net Amount Due
To Counterparty
(Not less than zero) | |
Bank of America, NA | | $ | 40 | | | $ | (19 | ) | | $ | (21 | ) | | $ | — | |
Barclays Bank plc | | | 1 | | | | (1 | ) | | | — | | | | — | |
BNP Paribas | | | 4 | | | | (4 | ) | | | — | | | | — | |
Goldman Sachs International | | | 5 | | | | (5 | ) | | | — | | | | — | (b) |
HSBC Bank plc | | | 1 | | | | (1 | ) | �� | | — | | | | — | (b) |
Morgan Stanley | | | 36 | | | | (15 | ) | | | — | | | | 21 | |
UBS AG LONDON | | | 5 | | | | — | | | | — | | | | 5 | |
| | | | | | | | | | | | | | | | |
| | $ | 92 | | | $ | (45 | ) | | $ | (21 | ) | | $ | 26 | |
| | | | | | | | | | | | | | | | |
| (a) | For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities subject to master netting arrangements on the Statements of Assets and Liabilities. |
| (b) | Amount rounds to less than $500. |
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 303 |
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
The following tables present the effect of derivatives on the Statements of Operations for the period ended June 30, 2023, by primary underlying risk exposure (amounts in thousands):
Six Circles Ultra Short Duration Fund
| | | | | | | | | | | | | | | | |
| Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations | |
| Derivative Contracts | | Futures
Contracts | | | Forward Foreign
Currency Exchange
Contracts | | | Swaps | | | Total | |
Credit contracts | | $ | — | | | $ | — | | | $ | 92 | | | $ | 92 | |
Interest rate contracts | | | (823 | ) | | | — | | | | 54 | | | | (769 | ) |
Foreign exchange contracts | | | — | | | | (1,494 | ) | | | — | | | | (1,494 | ) |
| | | | | | | | | | | | | | | | |
Total | | $ | (823 | ) | | $ | (1,494 | ) | | $ | 146 | | | $ | (2,171 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations | |
| Derivative Contracts | | Futures
Contracts | | | Forward Foreign
Currency Exchange
Contracts | | | Swaps | | | Total | |
Credit contracts | | $ | — | | | $ | — | | | $ | (247 | ) | | $ | (247 | ) |
Interest rate contracts | | | 434 | | | | — | | | | 6 | | | | 440 | |
Foreign exchange contracts | | | — | | | | 2,470 | | | | — | | | | 2,470 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 434 | | | $ | 2,470 | | | $ | (241 | ) | | $ | 2,663 | |
| | | | | | | | | | | | | | | | |
Six Circles Tax Aware Ultra Short Duration Fund
| | | | | | | | | | | | | | | | |
| Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations | |
| Derivative Contracts | | Futures
Contracts | | | Forward Foreign
Currency Exchange
Contracts | | | Swaps | | | Total | |
Credit contracts | | $ | — | | | $ | — | | | $ | 87 | | | $ | 87 | |
Interest rate contracts | | | (819 | ) | | | — | | | | 66 | | | | (753 | ) |
Foreign exchange contracts | | | — | | | | (278 | ) | | | — | | | | (278 | ) |
| | | | | | | | | | | | | | | | |
Total | | $ | (819 | ) | | $ | (278 | ) | | $ | 153 | | | $ | (944 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations | |
| Derivative Contracts | | Futures
Contracts | | | Forward Foreign
Currency Exchange
Contracts | | | Swaps | | | Total | |
Credit contracts | | $ | — | | | $ | — | | | $ | (253 | ) | | $ | (253 | ) |
Interest rate contracts | | | 29 | | | | — | | | | 25 | | | | 54 | |
Foreign exchange contracts | | | — | | | | 446 | | | | — | | | | 446 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 29 | | | $ | 446 | | | $ | (228 | ) | | $ | 247 | |
| | | | | | | | | | | | | | | | |
Six Circles U.S. Unconstrained Equity Fund
| | | | |
| Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations | |
| Derivative Contracts | | Futures
Contracts | |
Equity contracts | | $ | (1,688 | ) |
| | | | |
| | | | |
| Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations | |
| Derivative Contracts | | Futures
Contracts | |
Equity contracts | | $ | 7,617 | |
| | | | |
| | | | | | | | | | |
| | | | | |
| 304 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
Six Circles International Unconstrained Equity Fund
| | | | | | | | | | | | |
| Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations | |
| Derivative Contracts | | Futures
Contracts | | | Forward Foreign
Currency Exchange
Contracts | | | Total | |
Equity contracts | | $ | 7,188 | | | $ | — | | | $ | 7,188 | |
Foreign exchange contracts | | | — | | | | 317 | | | | 317 | |
| | | | | | | | | | | | |
Total | | $ | 7,188 | | | $ | 317 | | | $ | 7,505 | |
| | | | | | | | | | | | |
| | | | |
| Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations | |
| Derivative Contracts | | Futures
Contracts | |
Equity contracts | | $ | 2,208 | |
| | | | |
Six Circles Global Bond Fund
| | | | | | | | | | | | | | | | | | | | | | | | |
| Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations | |
| Derivative Contracts | | Futures
Contracts | | | Forward Foreign
Currency Exchange
Contracts | | | Swaps | | | Options
written | | | Options
purchased | | | Total | |
Interest rate contracts | | $ | (664 | ) | | $ | — | | | $ | 2,860 | | | $ | 2,279 | | | $ | (27 | ) | | $ | 4,448 | |
Foreign exchange contracts | | | — | | | | (91,298 | ) | | | — | | | | — | | | | — | | | | (91,298 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | (664 | ) | | $ | (91,298 | ) | | $ | 2,860 | | | $ | 2,279 | | | $ | (27 | ) | | $ | (86,850 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations | |
| Derivative Contracts | | Futures
Contracts | | | Forward Foreign
Currency Exchange
Contracts | | | Swaps | | | Options
written | | | Options
purchased | | | Total | |
Interest rate contracts | | $ | 1,559 | | | $ | — | | | $ | (3,782 | ) | | $ | 506 | | | $ | (8 | ) | | $ | (1,725 | ) |
Foreign exchange contracts | | | — | | | | 62,633 | | | | — | | | | — | | | | — | | | | 62,633 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 1,559 | | | $ | 62,633 | | | $ | (3,782 | ) | | $ | 506 | | | $ | (8 | ) | | $ | 60,908 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Six Circles Tax Aware Bond Fund
| | | | |
| Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations | | | |
| Derivative Contracts | | Futures
Contracts | |
Interest rate contracts | | $ | (514 | ) |
| | | | |
| | | | |
| Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations | |
| Derivative Contracts | | Futures
Contracts | |
Interest rate contracts | | $ | (1,005 | ) |
| | | | |
Six Circles Credit Opportunities Fund
| | | | | | | | | | | | | | | | |
| Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations | |
| Derivative Contracts | | Futures
Contracts | | | Forward Foreign
Currency Exchange
Contracts | | | Swaps | | | Total | |
Credit contracts | | $ | — | | | $ | — | | | $ | (547 | ) | | $ | (547 | ) |
Interest rate contracts | | | (1,959 | ) | | | — | | | | 2,125 | | | | 166 | |
Foreign exchange contracts | | | — | | | | (222 | ) | | | — | | | | (222 | ) |
| | | | | | | | | | | | | | | | |
Total | | $ | (1,959 | ) | | $ | (222 | ) | | $ | 1,578 | | | $ | (603 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 305 |
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
Six Circles Credit Opportunities Fund (continued)
| | | | | | | | | | | | | | | | |
| Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations | |
| Derivative Contracts | | Futures
Contracts | | | Forward Foreign
Currency Exchange
Contracts | | | Swaps | | | Total | |
Credit contracts | | $ | — | | | $ | — | | | $ | (2,639 | ) | | $ | (2,639 | ) |
Interest rate contracts | | | (2,483 | ) | | | — | | | | (2,135 | ) | | | (4,618 | ) |
Foreign exchange contracts | | | — | | | | 197 | | | | — | | | | 197 | |
| | | | | | | | | | | | | | | | |
Total | | $ | (2,483 | ) | | $ | 197 | | | $ | (4,774 | ) | | $ | (7,060 | ) |
| | | | | | | | | | | | | | | | |
Derivatives Volume
The table below discloses the volume of the Funds’ options, futures contracts, forward foreign currency exchange contracts and swaps activity during the period ended June 30, 2023 (amounts in thousands, except number of contracts). Please refer to the tables in the Summary of Derivative Information for derivative-related gains and losses associated with volume activity (amounts in thousands).
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Six Circles
Ultra Short
Duration Fund | | | Six Circles Tax
Aware Ultra
Short
Duration Fund | | | Six Circles U.S.
Unconstrained
Equity Fund | | | Six Circles
International
Unconstrained
Equity Fund | | | Six Circles
Global
Bond Fund | | | Six Circles
Tax Aware
Bond Fund | | | Six Circles
Credit
Opportunities
Fund | |
Futures Contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Notional Amount Long | | $ | 50,970 | | | $ | 58,911 | | | $ | 119,317 | | | $ | 101,640 | | | $ | 223,946 | | | $ | 79,926 | | | $ | 184,301 | |
Average Notional Amount Short | | | 38,534 | | | | 25,406 | | | | — | | | | — | | | | 211,934 | | | | 30,210 | | | | 38,540 | |
Forward Foreign Currency Exchange: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Principal Amount Purchased | | | 5,546 | | | | 4,087 | | | | — | | | | — | | | | 2,486,258 | | | | — | | | | 2,983 | |
Average Principal Amount Sold | | | 56,472 | | | | 23,161 | | | | — | | | | — | | | | 8,825,754 | | | | — | | | | 37,352 | |
Credit Default Swaps: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Notional Amount — Buy Protection | | | 12,629 | | | | 12,871 | | | | — | | | | — | | | | — | | | | — | | | | 52,007 | |
Average Notional Amount — Sell Protection | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 118,077 | |
Interest Rate Swaps: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Notional Amount | | | 25,067 | (a) | | | 27,433 | (a) | | | — | | | | — | | | | 382,119 | | | | — | | | | 49,071 | |
Over the Counter Options: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Number of Contracts Written | | | — | | | | — | | | | — | | | | — | | | | 105,286 | | | | — | | | | — | |
| (a) | Positions were open for 2 months during the period. |
F. Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.
The Funds do not isolate the effect of changes in foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within the Change in net unrealized appreciation/depreciation on investments on the Statements of Operations.
Reported realized foreign currency gains and losses arise from the disposition of foreign currency. Currency gains or losses may be realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statements of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statements of Operations.
G. Short Sales — The Funds may engage in short sales as part of their normal investment activities. In a short sale, the Funds sell securities they do not own in anticipation of a decline in the market value of those securities. In order to deliver securities to the purchaser, the Funds borrow securities from a broker. To close out a short position, the Funds deliver the same securities to the broker.
The Funds are required to pledge cash or securities to the broker as collateral for the securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Cash collateral deposited with the custodian is recorded as Restricted cash on the
| | | | | | | | | | |
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| 306 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
Statements of Assets and Liabilities. Securities segregated as collateral are denoted on the SOIs. The Funds may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities (calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on availability of the security); and (iii) a financing charge for the difference between the market value of the short position and cash collateral deposited with the broker. The net income or fee is reported as Interest income or Interest expense, respectively, on securities sold short on the Statements of Operations. The Funds are obligated to pay the broker dividends declared on short positions when a position is open on the record date. Dividends on short positions are reported on ex-dividend date on the Statements of Operations as Dividend expense on securities sold short.
Liabilities for securities sold short are reported at market value on the Statements of Assets and Liabilities and the change in market value is recorded as Change in net unrealized appreciation (depreciation) on the Statements of Operations. Short sale transactions may result in unlimited losses as the security’s price increases and the short position loses value. There is no upward limit on the price a borrowed security could attain. The Funds are also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms. The Funds will record a realized loss if the price of the borrowed security increases between the date of the short sale and the date on which the Funds replace the borrowed security. The Funds will record a realized gain if the price of the borrowed security declines between those dates.
H. Security Transactions, Investment Income and Expense Allocation — Securities transactions are recorded on a trade date basis. Realized gain and loss from securities transactions are recorded on an identified cost basis for financial reporting and federal income tax purposes. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when the Fund first learns of the dividend. Non-cash dividends, if any, are recorded on the ex-dividend date or corporate action date at fair value. Six Circles Credit Opportunities Fund may receive income from investments in loan assignments and/or unfunded commitments, including amendment fees, consent fees and commitment fees. These fees are recorded as income when received by the Fund. These amounts are included in Interest income on the Statements of Operations.
Distributions received from certain investments held by the Funds may be comprised of dividends, realized gains and returns of capital. The Funds originally estimate the expected classification of such payments. The amounts may subsequently be reclassified upon receipt of information from the issuer.
The Funds are charged for those expenses of the Trust that are directly attributable to each Fund. Expenses that are not directly attributable to a Fund are typically allocated among the Funds in proportion to their respective net assets.
I. Repurchase Agreements — The Funds may invest in repurchase agreements, which are short term investments whereby the Funds acquire ownership of a debt security and the seller agrees to repurchase the security at a future date at a specified price. When entering into repurchase agreements, it is the Funds’ policy that their custodian take possession of the underlying collateral securities, the market value of which, at all times, shall equal at least 100% of the principal amount of the repurchase transaction. The repurchase agreements further authorize the Funds to demand additional collateral in the event that the dollar value of the collateral falls below 100%. The Funds will make payments for such securities only upon physical delivery or upon evidence of book entry transfer to the account of the custodian.
Repurchase Agreements outstanding at period end, if any, are listed after each Fund’s SOI.
The Funds’ repurchase agreements are not subject to master netting arrangements.
J. Reverse Repurchase Agreements — In a reverse repurchase agreement, a Fund delivers a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date. In an open maturity reverse repurchase agreement, there is no pre-determined repurchase date and the agreement can be terminated by the Fund or counterparty at any time. A Fund is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by a Fund to counterparties are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made by a Fund to counterparties are recorded as a component of interest expense on the Statements of Operations. A Fund will segregate assets determined to be liquid by the Adviser or will otherwise cover its obligations under reverse repurchase agreements.
Reverse repurchase agreements outstanding at period end, if any, are listed after each Fund’s SOI.
Six Circles Global Bond Fund had an average amount of borrowings outstanding during the period ended June 30, 2023 of $81,905,653 at a weighted average interest rate of 4.972%.
K. Federal Income Tax — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”) applicable to regulated investment companies. Each Fund intends to distribute to shareholders, substantially all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary.
The Funds follow the provisions of FASB Codification Section 740 (“ASC Section 740”) “Accounting for Uncertainty in Income Taxes” which clarifies the accounting for uncertainty in tax positions taken or expected to be taken on a tax return. ASC Section 740 sets forth a threshold for financial statement recognition, measurement and disclosure of tax positions taken or expected to be taken on a tax return. The Funds are required to recognize the tax effects of certain tax positions under a “more likely than not” standard, that based on their technical merits, have more than
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| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 307 |
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
50 percent likelihood of being sustained upon examination. Management has analyzed the tax positions taken on the Funds’ federal income tax returns for all open years, and has concluded that no provision for federal income tax is required in the Funds’ financial statements. At June 30, 2023 the Funds did not have any uncertain tax benefits that require recognition, de-recognition or disclosure. The Funds’ federal, state and local income and federal excise tax returns for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
L. Foreign Tax — The Funds may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests. When capital gain tax is determined to apply, the Funds record an estimated deferred tax liability in an amount that would be payable if the securities were disposed of on the valuation date.
M. Distributions to Shareholders — Distributions to shareholders are recorded on the ex-dividend date. Distributions from net investment income and net realized capital gains are generally declared and paid according to the following schedule:
| | | | | | | | |
| Fund Name | | Net Investment Income | | | Net Realized Capital Gains | |
Six Circles Ultra Short Duration Fund | | | Monthly | | | | Annual | |
Six Circles Tax Aware Ultra Short Duration Fund | | | Monthly | | | | Annual | |
Six Circles U.S. Unconstrained Equity Fund | | | Annual | | | | Annual | |
Six Circles International Unconstrained Equity Fund | | | Annual | | | | Annual | |
Six Circles Global Bond Fund | | | Monthly | | | | Annual | |
Six Circles Tax Aware Bond Fund | | | Monthly | | | | Annual | |
Six Circles Credit Opportunities Fund | | | Monthly | | | | Annual | |
Income and capital gain distributions will be determined in accordance with federal income tax regulations which may differ from GAAP. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character.
Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short- term gains as ordinary income for tax purposes. As a result, income dividends and capital gain distributions declared during a fiscal period may differ significantly from the net investment income (loss) and realized gain (loss) reported on the Fund financial statements presented under GAAP.
Distributions classified as a tax basis return of capital, if any, are reflected on the Statement of Changes in Net Assets and have been recorded to paid-in capital.
N. Sale-buyback Transactions — A sale-buyback financing transaction consists of a sale of a security by a Fund to a counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed-upon price and date. The Fund is not entitled to receive principal and interest payments, if any, made on the security sold to the counterparty during the term of the agreement. The agreed-upon proceeds for securities to be repurchased by the Fund are reflected in the payable for investments purchased on the Statements of Assets and Liabilities. The Fund will recognize net income represented by the price differential between the price received for the transferred security and the agreed-upon repurchase price. This is commonly referred to as the ‘price drop’. A price drop consists of (i) the foregone interest and inflationary income adjustments, if any, the Fund would have otherwise received had the security not been sold and (ii) the negotiated financing terms between the Fund and counterparty. In periods of increased demand for the security, the Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. The Fund will segregate assets determined to be liquid by the Sub-adviser or will otherwise cover its obligations under sale-buyback transactions. Sale-buyback transactions are governed by Master Securities Forward Transaction Agreements (“Master Forward Agreements”), which are agreements between the Fund and select counterparties. The Master Forward Agreements maintain provisions for, among other things, transaction initiation and confirmation, payment and transfer, events of default, termination and maintenance of collateral. The market value of sale-buyback transactions as of period end, if any, is disclosed in the Fund’s Schedule of Investments.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fees — The Adviser serves as the Funds’ investment adviser pursuant to an investment advisory agreement (the “Investment Advisory Agreement”). Under the terms of the Investment Advisory Agreement, the Adviser generally manages the Funds’ investments in accordance with the stated policies of each Fund, subject to the supervision of the Funds’ Board of Trustees. For the services provided to the Funds, the Adviser is entitled to a fee, accrued daily and paid monthly, at the annual rate of 0.25% of the average daily net assets of each Fund except Six Circles Credit Opportunities Fund. The fee for the Six Circles Credit Opportunities Fund is 0.75% of the average daily net assets.
The Adviser selects and oversees professional money managers (the “Sub-Advisers”) who are responsible for investing the assets of the Funds under sub-advisory agreements (the “Sub-Advisory Agreements”). Pursuant to each respective Sub-Advisory Agreement, the Adviser agrees to pay each Sub-Adviser a sub-advisory fee from its investment advisory fees. BlackRock Investment Management, LLC (“BlackRock”), Royal Bank of Canada Global Asset Management (UK) (“RBC GAM (UK)”), Insight North America LLC (“Insight”), Capital International, Inc. (“Capital Group”), Goldman Sachs Asset Management, L.P. (“Goldman”), Muzinich & Co. (“Muzinich”), Nuveen Asset Management, LLC (“Nuveen”) , Pacific Investment Management Company LLC (“PIMCO”), PGIM, Inc. (“PGIM”), Allspring Global Investments, LLC (“Allspring”), and Lord Abbett & Co. LLC (“Lord Abbett”) currently serve as the Sub-Advisers to the Funds. The Sub-Advisers are paid a management fee by the Adviser pursuant to their individually negotiated Sub-Advisory Agreements.
| | | | | | | | | | |
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| 308 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
On October 5, 2018, the Adviser entered into an agreement to allow Russell Investments Implementation Services, LLC (“Russell”) to provide stand-by interim sub-advisory services, as well as transition management services, for each Fund, to be utilized as needed in certain transitional circumstances involving a Fund Sub-Adviser. During the reporting period, the Funds have not allocated assets to Russell.
The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3F and reflected on the Statement of Operations.
B. Administration and Accounting Fees — Pursuant to an Administrative Agency Agreement, Brown Brothers Harriman & Co. (the “Administrator”) provides certain administration and fund accounting services to the Funds.
C. Distribution Fees — Pursuant to a Distribution Agreement, Foreside Fund Services, LLC (the “Distributor”), will serve as the Funds’ principal underwriter and acts as the agent of the Funds in connection with the continuous offering of shares of each Fund. The Distributor and its officers have no role in determining the investment policies or which securities are to be purchased or sold by the Funds. The Distributor does not receive compensation from the Funds, but instead is compensated by the Adviser for certain distribution-related expenses.
D. Custodian — Pursuant to a Custodian Agreement, Brown Brothers Harriman & Co. serves as the custodian (the “Custodian”) for each of the Funds and is responsible for holding portfolio securities and cash and maintaining the books of account and records of portfolio transactions.
E. Transfer Agent — Pursuant to a Transfer Agency and Service Agreement, DST Asset Manager Solutions, Inc. (the “Transfer Agent”) serves as each Fund’s transfer and dividend disbursing agent. The Transfer Agent is responsible for maintaining account records, detailing the ownership of Fund shares and for crediting income, capital gains and other changes in share ownership to shareholder accounts.
F. Waivers and Reimbursements — The Adviser has contractually agreed through at least April 30, 2024, to waive any management fees that exceed the aggregate management fees the Adviser is contractually required to pay the Fund’s Sub-Advisers. Thereafter, this waiver will continue for subsequent one year terms unless terminated in accordance with its terms. Such waivers are not subject to reimbursement by the Fund. The Adviser has also contractually agreed through at least April 30, 2024, to reimburse expenses to the extent Total Annual Fund Operating Expenses (excluding acquired fund fees and expenses, if any, dividend and interest expenses related to short sales, brokerage fees, interest on borrowings, taxes, expenses related to litigation and potential litigation, and extraordinary expenses) exceed the following percentages of the average daily net assets of each Fund (the “Expense Cap”):
| | | | |
| Fund | | Expense Cap | |
Six Circles Ultra Short Duration Fund | | | 0.40 | % |
Six Circles Tax Aware Ultra Short Duration Fund | | | 0.40 | % |
Six Circles U.S. Unconstrained Equity Fund | | | 0.45 | % |
Six Circles International Unconstrained Equity Fund | | | 0.50 | % |
Six Circles Global Bond Fund | | | 0.40 | % |
Six Circles Tax Aware Bond Fund | | | 0.40 | % |
Six Circles Credit Opportunities Fund | | | 0.95 | % |
An expense reimbursement by the Fund’s Adviser is subject to repayment by the Fund only to the extent it can be made within thirty-six months following the date of such reimbursement by the Adviser. Repayment must be limited to amounts that would not cause the Fund’s operating expenses (taking into account any reimbursements or waiver by the Adviser and repayments by the Fund) to exceed the Expense Cap in effect at the time of the reimbursement by the Adviser or at the time of repayment by the Fund. This expense reimbursement is in effect through April 30, 2024, at which time the Adviser and/or its affiliates will determine whether to renew or revise it.
For the period ended June 30, 2023 there were no amounts reimbursed by the Adviser, nor were there amounts available for potential future recoupment by the Adviser.
G. Cross Trades — The Funds may participate in purchase and sale transactions with other Six Circles Funds. These cross trades are executed in accordance with procedures adopted by the Trust’s Board and comply with Rule 17a-7 of the 1940 Act, which require, among other things, that such cross trades be effected at the independent current market price of the security. During the period ended June 30, 2023 the aggregate value of purchases and sale cross trades with other Six Circles Funds were as follows (amounts in thousands):
| | | | | | | | | | | | |
| Fund Name | | Purchases | | | Sales | | | Realized
gain/loss | |
Six Circles U.S. Unconstrained Equity Fund | | $ | 728 | | | $ | 115 | | | $ | (2 | ) |
Six Circles International Unconstrained Equity Fund | | | 5,966 | | | | 799 | | | | 117 | |
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 309 |
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
4. Investment Transactions
During the period ended June 30, 2023 purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
| | | | | | | | | | | | | | | | |
| | | Purchases
(excluding U.S.
Government) | | | Sales
(excluding U.S.
Government) | | | Purchases
of U.S.
Government | | | Sales
of U.S.
Government | |
Six Circles Ultra Short Duration Fund | | $ | 114,598 | | | $ | 139,916 | | | $ | 57,496 | | | $ | 19,541 | |
Six Circles Tax Aware Ultra Short Duration Fund | | | 241,333 | | | | 106,517 | | | | 41,234 | | | | 23,667 | |
Six Circles U.S. Unconstrained Equity Fund | | | 10,098,404 | | | | 7,630,155 | | | | — | | | | — | |
Six Circles International Unconstrained Equity Fund | | | 6,702,151 | | | | 6,266,935 | | | | — | | | | — | |
Six Circles Global Bond Fund | | | 2,815,499 | | | | 1,338,683 | | | | 6,501,276 | | | | 6,331,492 | |
Six Circles Tax Aware Bond Fund | | | 1,085,690 | | | | 399,877 | | | | — | | | | — | |
Six Circles Credit Opportunities Fund | | | 829,655 | | | | 1,982,642 | | | | 22,812 | | | | 16,522 | |
5. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
Since Six Circles U.S. Unconstrained Equity Fund, Six Circles International Unconstrained Equity Fund, and Six Circles Global Bond Fund are non-diversified, they may invest a greater percentage of their assets in a particular issuer or group of issuers than a diversified fund would. This increased investment in fewer issuers may result in the Funds` shares being more sensitive to economic results among those issuing the securities.
The Six Circles Ultra Short Duration Fund, Six Circles Tax Aware Ultra Short Duration Fund, Six Circles International Unconstrained Equity Fund, Six Circles Global Bond Fund and Six Circles Credit Opportunities Fund, invest in foreign issuers and foreign securities (including depositary receipts) which are subject to additional risks, including political and economic risks, civil conflicts and war, greater volatility, expropriation and nationalization risks, sanctions or other measures by the United States or other governments, currency fluctuations, higher transaction costs, delayed settlement, possible foreign controls on investment, and less stringent investor protection and disclosure standards of foreign markets. The securities markets of many foreign countries are relatively small, with a limited number of companies representing a small number of industries. If foreign securities are denominated and traded in a foreign currency, the value of the Fund’s foreign holdings can be affected by currency exchange rates and exchange control regulations. In certain markets where securities and other instruments are not traded “delivery versus payment,” the Fund may not receive timely payment for securities or other instruments it has delivered or receive delivery of securities paid for and may be subject to increased risk that the counterparty will fail to make payments or delivery when due or default completely.
Events and evolving conditions in certain economies or markets may alter the risks associated with investments tied to countries or regions that historically were perceived as comparatively stable becoming riskier and more volatile. These risks are magnified in countries in “emerging markets.” Emerging market countries typically have less-established economies than developed countries and may face greater social, economic, regulatory and political uncertainties. In addition, emerging markets typically present greater illiquidity and price volatility concerns due to smaller or limited local capital markets and greater difficulty in determining market valuations of securities due to limited public information on issuers. Certain emerging market countries may be subject to less stringent requirements regarding accounting, auditing, financial reporting and record keeping and therefore, material information related to an investment may not be available or reliable. In addition, the Fund is limited in its ability to exercise its legal rights or enforce a counterparty’s legal obligations in certain jurisdictions outside of the United States, in particular, in emerging markets countries.
The Global Bond and Credit Opportunities Funds invest a substantial portion of their assets in the Asia Pacific region. The small size of securities markets and the low trading volume in some countries in the Asia Pacific Region may lead to a lack of liquidity. Also, some Asia Pacific economies and financial markets have been extremely volatile in recent years. Many of the countries in the region are developing, both politically and economically. They may have relatively unstable governments and economies based on only a few commodities or industries. The share prices of companies in the region tend to be volatile and there is a significant possibility of loss. Also, some companies in the region may have less established product markets or a small management group and they may be more vulnerable to political or economic conditions, like nationalization. In addition, some countries have restricted the flow of money in and out of the country.
Certain of the currencies in the Asia Pacific region have experienced extreme volatility relative to the U.S. dollar. For example, Thailand, Indonesia, the Philippines and South Korea have had currency crises and have sought help from the International Monetary Fund. Holding securities in currencies that are devalued (or in companies whose revenues are substantially in currencies that are devalued) will likely decrease the value of the Fund. The trading volume on some Asia Pacific region stock exchanges is much lower than in the United States, and Asia Pacific region securities of some companies are less liquid and more volatile than similar U.S. securities. In addition, brokerage commissions on regional stock exchanges are fixed and are generally higher than the negotiated commissions in the United States. The imposition of tariffs or other trade barriers, or a downturn in the economy of a significant trading partner could adversely impact Asia Pacific companies. If the Fund concentrates in the Asia Pacific region, the Fund’s performance may be more volatile than that of a fund that invests globally. If Asia Pacific securities fall out of favor, it may cause a fund that concentrates in the Asia Pacific region to underperform funds that do not concentrate in the Asia Pacific region.
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| 310 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
As of June 30, 2023, the Six Circles International Unconstrained Equity Fund had non-U.S. country allocations representing greater than 10% of Net Assets allocated as follows:
| | | | | | |
| France | | Germany | | Switzerland | | United Kingdom |
| 15.7% | | 12.5% | | 17.5% | | 19.5% |
As of June 30, 2023, the Six Circles Global Bond Fund had non-U.S. country allocations representing greater than 10% of Net Assets allocated as follows:
As of June 30, 2023 a significant portion of the Six Circles International Unconstrained Equity and Six Circles Global Bond Funds’ net assets consisted of securities that were denominated in foreign currencies. Changes in currency exchange rates will affect the value of, and investment income from, such securities.
Overnight bank deposits of foreign currency can result in negative interest rates based on monetary policies in that respective country.
The Six Circles Ultra Short Duration Fund, Six Circles Tax Aware Ultra Short Duration Fund, Six Circles Global Bond Fund, Six Circles Tax Aware Bond Fund and Six Circles Credit Opportunities Fund are subject to risks associated with securities with contractual cash flows including asset-backed and mortgage related securities such as collateralized mortgage obligations, mortgage pass-through securities and commercial mortgage-backed securities, including securities backed by sub-prime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate value, pre-payments, delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates.
The Six Circles Ultra Short Duration Fund, Six Circles Tax Aware Ultra Short Duration Fund, Six Circles Global Bond Fund, Six Circles Tax Aware Bond Fund and Six Circles Credit Opportunities Fund may be subject to leveraging risk, which is the risk that certain transactions of the Fund, such as loans of portfolio securities, and the use of when-issued, delayed delivery or forward commitment transactions, or derivative instruments, may give rise to leverage, magnifying gains and losses and causing the Fund to be more volatile than if it had not been leveraged.
The Six Circles Ultra Short Duration Fund, Six Circles Tax Aware Ultra Short Duration Fund, Six Circles Global Bond Fund, Six Circles Tax Aware Bond Fund and Six Circles Credit Opportunities Fund may invest in high yield securities that are not rated or rated below investment grade (commonly known as “junk bonds”). These securities are considered to be high risk investments. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities. Junk bonds involve a greater risk of default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims. The market price of these securities can change suddenly and unexpectedly. As a result, the Funds are intended for investors who are able and willing to assume a high degree of risk.
Six Circles Credit Opportunities Fund may invest a substantial portion of the Fund’s total assets in below investment grade credit instruments including “high-yield” instruments (also known as “junk bonds”) and “distressed” debt instruments. Any investments in distressed or defaulted securities subject the Fund to even greater credit risk than investments in other below investment-grade instruments. Investments in obligations of restructured, distressed and bankrupt issuers, including debt obligations that are already in default, generally trade significantly below par and may lack liquidity. Defaulted securities might be repaid only after which the issuer might not make any interest or other payments, and such proceedings may result in only partial recovery of principal or no recovery at all. Recovery could involve an exchange of the defaulted obligation for other debt instruments or equity securities of the issuer or its affiliates, each of which may in turn be illiquid or speculative and be valued by the Fund at significantly less than its original purchase price. In addition, investments in distressed issuers may subject the Fund to liability as a lender.
The Funds are subject to the risk that, should the Funds decide to sell an illiquid investment when a ready buyer is not available at a price the Funds deem to be representative of its value, the value of the Funds’ net assets could be adversely affected.
The Six Circles Credit Opportunities Fund invests in loan assignments. Loan assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for assignments and certain assignments which were liquid, when purchased, may become illiquid and they may be difficult to value. In addition, the settlement period for loans is uncertain as there is no standardized settlement schedule applicable to such investments. Therefore, a Fund may not receive the proceeds from a sale of such investments for a period after the sale. Certain loan assignments are also subject to the risks associated with high yield securities described above.
The value of the Funds’ investments may be negatively affected by the occurrence of global events such as war, terrorism, environmental disasters, natural disasters or events, country instability, and infectious disease epidemics or pandemics. For example, the outbreak of COVID-19, a novel coronavirus disease, has negatively affected economies, markets and individual companies throughout the world, including those in which the Funds invest. The effects of this pandemic to public health and business and market conditions, including exchange trading suspensions and closures, may continue to have a significant negative impact on the performance of the Funds’ investments, increase the Funds’ volatility, exacerbate pre-existing political, social and economic risks to the Funds, and negatively impact broad segments of businesses and populations. The Funds’ operations may be interrupted as a result, which may contribute to the negative impact on investment performance. In addition, governments, their regulatory agencies, or self-regulatory organizations have taken, and may continue to take, actions in response to the pandemic that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could have a significant negative impact on the Funds’ investment performance. The full impact of the COVID-19 pandemic, or other future epidemics or pandemics, is currently unknown.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 311 |
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
The Funds may also invest in shares of other investment companies and ETFs. ETFs are ownership interests in unit investment trusts, depositary receipts, and other pooled investment vehicles that hold a portfolio of securities or stocks many of which are designed to track the price performance and dividend yield of a particular broad-based, sector or international index. ETFs include a wide range of investments. Shareholders bear both their proportionate share of the Fund’s expenses and similar expenses of the underlying investment company or ETF when the Fund invests in shares of another investment company or ETF. The Fund is subject to the risks associated with the ETF’s or investment company’s investments. ETFs, investment companies and other investment vehicles that invest in commodities or currencies are subject to the risks associated with direct investments in commodities or currencies. The price and movement of an ETF or closed-end fund designed to track an index may not track the index and may result in a loss. In addition, closed-end funds that trade on an exchange often trade at a price below their net asset value (also known as a discount). Certain ETFs or closed-end funds traded on exchanges may be thinly-traded and experience large spreads between the “ask” price quoted by a seller and the “bid” price offered by a buyer.
Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic or market conditions than other types of investments and could result in losses that significantly exceed each Fund’s original investment. Many derivatives create leverage thereby causing the Funds to be more volatile than they would have been if they had not used derivatives. Derivatives also expose the Funds to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty.
The Funds are also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Funds such as swap and option contracts and forward foreign currency exchange contracts.
The Funds are subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Funds could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. The Fund may invest in variable and floating rate securities. Although these instruments are generally less sensitive to interest rate changes than fixed rate instruments, the value of variable and floating rate securities may decline if their interest rates do not rise as quickly, or as much, as general interest rates. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. The ability of the issuers of debt to meet their obligations may be affected by the economic and political developments in a specific industry or region.
The Six Circles Tax Aware Ultra Short Duration Fund and Six Circles Tax Aware Bond Fund invest primarily in a portfolio of debt obligations issued by states, territories and possessions of the United States and by the District of Columbia, and by their political subdivisions and duly constituted authorities. These debt obligations may be insured by private insurers who guarantee the payment of principal and interest in the event of issuer default. The value of these investments may be impacted by changes to bond insurers’ ratings and the Fund’s ability to collect principal and interest in the event of an issuer’s default may be limited if the private insurer does not have the wherewithal to satisfy its obligation.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. On March 5, 2021, the U.K. Financial Conduct Authority ("FCA") publicly announced that (i) immediately after December 31, 2021, publication of the 1-week and 2-month U.S. Dollar LIBOR settings will permanently cease; (ii) immediately after June 30, 2023, publication of the overnight and 12-month U.S. Dollar LIBOR settings will permanently cease; and (iii) immediately after June 30, 2023, the 1-month, 3-month and 6-month U.S. Dollar LIBOR settings will cease to be provided or, subject to the FCA’s consideration of the case, be provided on a synthetic basis and no longer be representative of the underlying market and economic reality they are intended to measure and that representativeness will not be restored. There is no assurance that the dates announced by the FCA will not change or that the administrator of LIBOR and/or regulators will not take further action that could impact the availability, composition or characteristics of LIBOR or the currencies and/or tenors for which LIBOR is published. Public and private sector industry initiatives are currently underway to implement new or alternative reference rates to be used in place of LIBOR. There is no assurance that any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain of a Fund’s loans, notes, derivatives and other instruments or investments comprising some or all of a Fund’s investments and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as "benchmarks" and are the subject of recent regulatory reform.
6. Income Taxes and Distributions to Shareholders
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at June 30, 2023 were as follows (amounts in thousands):
| | | | | | | | | | | | | | | | |
| | | Aggregate
Tax Cost | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
Depreciation | | | Net
Unrealized
Appreciation
(Depreciation) | |
Six Circles Ultra Short Duration Fund | | $ | 583,067 | | | $ | 2,742 | | | $ | (8,572 | ) | | $ | (5,830 | ) |
Six Circles Tax Aware Ultra Short Duration Fund | | | 701,040 | | | | 751 | | | | (7,672 | ) | | | (6,921 | ) |
Six Circles U.S. Unconstrained Equity Fund | | | 16,388,930 | | | | 4,146,631 | | | | (245,459 | ) | | | 3,901,172 | |
Six Circles International Unconstrained Equity Fund | | | 11,437,167 | | | | 1,890,403 | | | | (241,395 | ) | | | 1,649,008 | |
Six Circles Global Bond Fund | | | 10,738,329 | | | | 259,439 | | | | (866,804 | ) | | | (607,365 | ) |
Six Circles Tax Aware Bond Fund | | | 6,558,199 | | | | 42,581 | | | | (337,879 | ) | | | (295,298 | ) |
Six Circles Credit Opportunities Fund | | | 3,289,359 | | | | 61,225 | | | | (200,287 | ) | | | (139,062 | ) |
| | | | | | | | | | |
| | | | | |
| 312 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
As of December 31, 2022, the following Funds had the following post-enactment net capital loss carryforwards (amounts in thousands):
| | | | | | | | |
| | | Capital Loss Carryforward Character | |
| | | Short-Term | | | Long-Term | |
Six Circles Ultra Short Duration Fund | | $ | 4,343 | | | $ | 1,088 | |
Six Circles Tax Aware Ultra Short Duration Fund | | | 2,258 | | | | 3,651 | |
Six Circles U.S. Unconstrained Equity Fund | | | — | | | | 472,272 | |
Six Circles International Unconstrained Equity Fund | | | 436,063 | | | | 720,018 | |
Six Circles Global Bond Fund | | | 276,438 | | | | 35,811 | |
Six Circles Tax Aware Bond Fund | | | 53,442 | | | | 64,770 | |
Six Circles Credit Opportunities Fund | | | 107,301 | | | | 51,955 | |
During the year ended December 31, 2022, the following Funds utilized capital loss carryforwards as follows (amounts in thousands):
| | | | | | | | |
| | | Capital Loss Utilized | |
| | | Short-Term | | | Long-Term | |
Six Circles Ultra Short Duration Fund | | $ | — | | | $ | (458 | ) |
Six Circles Tax Aware Ultra Short Duration Fund | | | — | | | | (553 | ) |
Specified ordinary losses incurred after October 31 within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the year ended December 31, 2022, the Funds deferred to January 1, 2023 the following specified ordinary losses (amounts in thousands):
| | | | |
| | | Specified
Ordinary Loss | |
Six Circles Ultra Short Duration Fund | | $ | 4,885 | |
Six Circles Tax Aware Ultra Short Duration Fund | | | 1,699 | |
Six Circles Global Bond Fund | | | 637,746 | |
7. Ownership Concentration
As of June 30, 2023, the Funds each had one affiliated omnibus account for the benefit of its clients which owned approximately 99% of its outstanding shares.
8. New Accounting Pronouncement
In June 2022, the FASB issued ASU No. 2022-03, Fair Value Measurement (Topic 820) - Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions. The amendments in the ASU clarify that a contractual restriction on the sale of an equity security is not considered part of the unit of account of the equity security and, therefore, should not be considered in measuring fair value. The ASU is effective for interim and annual reporting periods beginning after December 15, 2023, with the option of early adoption. Management is currently evaluating the impact, if any, of applying this ASU.
In March 2020, the FASB issued Accounting Standard Update (“ASU”) No. 2020-04, “Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” This ASU provides optional exceptions for applying GAAP to contract modifications, hedging relationships and other transactions affected reference rate reform if certain criteria are met. ASU 2020-04 is elective and is effective on March 12, 2020 through December 31, 2024. Management expects that the adoption of this guidance will not have a material impact on the Funds’ financial statements.
9. Subsequent Events
The Funds have evaluated subsequent events through the date of issuance of this report and have determined that there are no material events that require disclosure other than those disclosed above.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 313 |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each fund on January 1, 2023 and continued to hold your shares at the end of the reporting period, June 30, 2023
Actual Expenses
For each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
| | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
January 1, 2023 | | | Ending
Account Value
June 30, 2023 | | | Expenses
Paid During
the Period* | | | Annualized
Expense
Ratio | |
Six Circles Ultra Short Duration Fund | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,024.40 | | | $ | 1.00 | | | | 0.20 | % |
Hypothetical | | | 1,000.00 | | | | 1,023.80 | | | | 1.00 | | | | 0.20 | |
Six Circles Tax Aware Ultra Short Duration Fund | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,013.70 | | | | 0.75 | | | | 0.15 | |
Hypothetical | | | 1,000.00 | | | | 1,024.05 | | | | 0.75 | | | | 0.15 | |
Six Circles U.S. Unconstrained Equity Fund | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,189.20 | | | | 0.27 | | | | 0.05 | |
Hypothetical | | | 1,000.00 | | | | 1,024.55 | | | | 0.25 | | | | 0.05 | |
Six Circles International Unconstrained Equity Fund | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,137.60 | | | | 0.42 | | | | 0.08 | |
Hypothetical | | | 1,000.00 | | | | 1,024.40 | | | | 0.40 | | | | 0.08 | |
Six Circles Global Bond Fund | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,025.30 | | | | 0.70 | | | | 0.14 | |
Hypothetical | | | 1,000.00 | | | | 1,024.10 | | | | 0.70 | | | | 0.14 | |
Six Circles Tax Aware Bond Fund | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,026.90 | | | | 0.70 | | | | 0.14 | |
Hypothetical | | | 1,000.00 | | | | 1,024.10 | | | | 0.70 | | | | 0.14 | |
Six Circles Credit Opportunities Fund | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,035.20 | | | | 1.51 | | | | 0.30 | |
Hypothetical | | | 1,000.00 | | | | 1,023.31 | | | | 1.51 | | | | 0.30 | |
| * | Expenses are equal to each Fund’s respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
Annual Approval of the Continuation of the Advisory, Sub-Advisory and Sub-Sub-Advisory Agreements
Materials Requested Prior to Meeting. Prior to the Meeting, Ropes & Gray LLP (“Ropes & Gray” or “Independent Legal Counsel”), counsel to the Independent Trustees, had prepared letters on behalf of the Independent Trustees requesting information from J.P. Morgan Private Investments Inc. (“JPMPI” or the “Adviser”) and each Sub-Adviser (as defined below) in connection with the proposed continuance of (i) the Investment Advisory Agreement (the “Advisory Agreement”) between the Trust and JPMPI for the Six Circles U.S. Unconstrained Equity Fund (the “U.S. Equity Fund”), the Six Circles International Unconstrained Equity Fund (the “International Equity Fund”), the Six Circles Tax Aware Ultra Short Duration Fund (the “Tax Aware Fund”), the Six Circles Ultra Short Duration Fund (the “Ultra Short Fund”), the Six Circles Managed Equity Portfolio U.S. Unconstrained Fund (the “MEP U.S. Fund”), the Six Circles Managed Equity Portfolio International Unconstrained Fund (the “MEP International Fund”), the Six Circles Global Bond Fund (the “Global Bond Fund”), the Six Circles Tax Aware Bond Fund (the “Tax Aware Bond Fund”) and the Six Circles Credit Opportunities Fund (the “Credit Opportunities Fund”) (collectively the “Funds”), (ii) the Sub-Advisory Agreements in respect of the Funds between JPMPI and BlackRock Investment Management, LLC (“BlackRock”), Pacific Investment Management Company (“PIMCO”), Insight North America LLC (“Insight”), Goldman Sachs Asset Management LP (“GSAM”), PGIM, Inc. (“PGIM”), Capital International, Inc. (“Capital”), Nuveen Asset Management, LLC (“Nuveen”), Allspring Global Investments, LLC (“Allspring”), Lord, Abbett & Co. LLC (“Lord Abbett”), RBC Global Asset Management (UK) Limited (“RBC GAM (UK)”), Muzinich & Co., Inc. (“Muzinich”) and Russell Investments Implementation Services, LLC (“RIIS”) (in the case of RIIS, as a stand-by interim Sub-Adviser) (each, a “Sub-Adviser” and collectively, the “Sub-Advisers”) and (iii) the Sub-Sub-Advisory Agreements between BlackRock and each of BlackRock International Limited (“BIL”) and BlackRock (Singapore) Limited (“BSL”) as well as the Sub-Sub-Advisory Agreement between PGIM and PGIM Limited (“PGIML”) (each of BIL, BSL and PGIML, a “Sub-Sub-Adviser” and collectively, the “Sub-Sub-Advisers”) (each of the Advisory Agreement, the Sub-Advisory Agreements and the Sub-Sub-Advisory Agreements, an “Agreement” and, collectively, the “Agreements”). The requests were designed to address the requirement under Section 15(c) of the 1940 Act that the Trustees request and evaluate, and that the investment adviser and each sub-adviser furnish, such information as may be reasonably necessary to evaluate the terms of the Agreements. JPMPI and each Sub-Adviser responded to the information requests and provided memoranda and related materials and exhibits for consideration by the Trustees, which were provided to the Trustees in advance of the Meeting and included in the Meeting Materials (together, the “15(c) Materials”).
Set forth below is a summary of the material factors evaluated by the Trustees that formed the basis for the Board’s approval of the continuation of the Agreements. The Trustees’ conclusions as to the approval of the continuation of the Agreements were based on a comprehensive consideration of all information provided to the Trustees. In deciding whether to approve the continuation of the Agreements, the Board did not identify any single factor or particular information that, in isolation, was controlling. Some of the factors that figured particularly in the Trustees’ deliberations are described below, although individual Trustees may have evaluated the information presented differently from one another, attributing different weights to various factors.
Materials Reviewed. In considering the approval of the continuation of the Agreements, the Trustees reviewed the 15(c) Materials and related exhibits and other information which included, among other items, (i) the terms of the Agreements, (ii) comparative fee and expense information and comparative performance information of comparable 1940 Act funds developed by Broadridge Financial Solutions, Inc./Lipper Inc. (“Broadridge”) and of any comparable funds or accounts managed by the Adviser or a Sub-Adviser, (iii) performance of the Funds compared to applicable benchmarks/indices, (iv) fee schedules and composite performance information with respect to the J.P. Morgan managed accounts and related strategies that invest in the Funds, (v) descriptions of various services and functions performed by the Adviser for the Funds, such as portfolio management, compliance monitoring, risk management, valuation and administrative, accounting, legal and other services, and descriptions of the portfolio management services provided by each Sub-Adviser to the Funds, (vi) the estimated costs to the Adviser of providing such services, (vii) information regarding the Adviser’s and each Sub-Adviser’s compliance policies and procedures applicable to the Funds, (viii) balance sheet and/or other financial information regarding the Adviser and each Sub-Adviser, (ix) information regarding the Adviser’s corporate organizational structure and biographical information of key personnel of the Adviser and its affiliates who provide services to the Funds and similar information for each Sub-Adviser, (x) information regarding estimated profitability to the Adviser from its relationship with the Funds, (xi) information regarding potential economies of scale, and (xii) information regarding potential ancillary or “fall out” benefits to the Adviser and its affiliates of a Sub-Adviser from their relationships with the Funds. The Trustees also reviewed a memorandum prepared by Independent Legal Counsel regarding the responsibilities of the Trustees in considering the approval of the continuation of the Agreements under applicable law.
Review Process. Following receipt and review of the 15(c) Materials, the Independent Trustees and Ropes & Gray held a video call to consider the 15(c) Materials and the related proposed continuance of the Agreements as well the Funds’
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(continued)
administration- and distribution-related contracts. Based on their deliberations during this meeting, the Independent Trustees formulated a number of questions and requests for follow-up information from management. Subsequent calls were held with representatives of the Adviser to communicate the Independent Trustees’ additional questions and requests for information, each of which was responded to by the Adviser either in writing or orally at the Meeting. The Trustees also received written and oral presentations during the Board’s regular meetings throughout the year on matters related to the Agreements. At several points during the review process, Independent Trustees discussed the proposed continuation of the Agreements during executive sessions held with Independent Legal Counsel at which no representatives of management were present.
Nature, Extent and Quality of Services. The Trustees considered the depth and quality of the investment management process of JPMPI, the Sub-Advisers and Sub-Sub-Advisers, including for each entity, the experience and capabilities of its senior management, investment and other personnel, and the overall financial strength and stability of the organizations. The Trustees also considered the nature, extent and quality of the various services JPMPI provides under the Advisory Agreement, including with respect to its selection, evaluation and oversight of each Sub-Adviser and Sub-Sub-Adviser, as well as the administrative and other services JPMPI provides to the Funds, including oversight of the Fund’s administrator and other service providers. In this regard, Trustees noted JPMPI’s continuing investments in technology and other resources to support its investment management, compliance, accounting, risk management and other services on behalf of the Funds, as well as JPMPI’s continuing efforts to attract and retain qualified personnel to provide services to the Funds and maintain and enhance its related resources and systems. The Trustees also considered JPMPI’s policies, procedures and systems designed to promote the Funds’ compliance with applicable laws and regulations and to conduct effective oversight of each Sub-Adviser, Sub-Sub-Adviser and other Fund service providers, and its processes to keep the Trustees informed about matters relevant to the Funds and their shareholders. The Trustees noted that, to date, RIIS had not been called to act as an interim Sub-Adviser to any Fund under its Sub-Advisory Agreement.
The Trustees also considered the sub-advisory services provided, or to be provided, by each Sub-Adviser and Sub-Sub-Adviser to the Funds under the applicable Agreements, including information about the investment personnel of each entity who are responsible for providing services under the applicable Sub-Advisory Agreement or Sub-Sub-Advisory Agreement. The Trustees reviewed the nature and quality of the investment management, research, trading, risk management, compliance and other capabilities of each Sub-Adviser and Sub-Sub-Adviser, the experience and capabilities of its
portfolio management and other personnel who provide services to the Funds, and the overall financial strength of each organization.
Among other information, the Trustees also took into account certifications received from JPMPI and each Sub-Adviser the Sub-Advisers confirming the adequacy of their compliance programs and codes of ethics.
Investment Performance. As part of their review of the services provided by JPMPI and each Sub-Adviser, the Trustees reviewed the performance of each of the Funds, including in reference to a Broadridge report which contained, among other information, comparisons of each Fund’s total return investment performance for 1- and 3-year (as applicable) and since inception periods ended December 31, 2022 to a performance group and performance universe of peers funds selected by Broadridge and to the Fund’s benchmark index. In reviewing the comparative information, the Trustees took into account JPMPI’s explanation that the peer funds selected by Broadridge and the applicable benchmarks do not provide particularly apt comparisons, given the Funds’ intended role as completion portfolios for the broader J.P. Morgan managed account portfolios and the bespoke and highly tailored structures of the Funds’ portfolios. The Trustees considered JPMPI’s view that since the role of the Funds is to enhance the relative performance of the total managed account portfolios in which they are held, the Trustees should also take into account and evaluate the performance of the Funds in the context of the broader portfolios they are intended to complete and on the basis of whether the Funds serve their intended purposes. In this regard, the Board received representations from the JPMPI CIO team regarding the utility of the Funds in serving their intended purpose, including how they have served to enhance access to investment ideas and have increased portfolio efficiency for the managed account strategies that invest in the Funds.
The Trustees also considered information provided with the 15(c) Materials and throughout the year by JPMPI with respect to its diligence, selection process and monitoring of the Funds’ Sub-Advisers and Sub-Sub-Advisers performance on behalf of the Funds. In this regard, the Trustees received and took into account supplemental information regarding the performance of individual sleeves of the Funds’ portfolios managed by a Sub-Adviser or Sub-Sub-Adviser in comparison to performance benchmark(s), which included customized benchmarks in certain cases. In addition, the Trustees received and reviewed composite performance information for J.P. Morgan managed account portfolios that invest in the Funds, along with related performance attribution information. The Trustees also considered the results of reviews of the performance of the Sub-Advisers and Sub-Sub-Adviser by the J.P. Morgan Investment Performance Governance Committee (“PGC”), a separate committee within JPMorgan responsible for providing ongoing oversight of internal investment strategies, and related reports
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provided by PGC to the Board throughout the year. The Board took into account indications from PGC that it has been satisfied with the performance of each of the Funds and each Sub-Adviser, and that the Funds have to date and continue to serve their intended purpose as completion portfolios for JPMorgan separate account strategies.
Fees and Total Expenses. In considering the fees and expenses of each Fund, the Trustees took into account a number of factors, including the type and complexity of the services provided to the Funds under the Agreements, the estimated cost of providing such services, the risks assumed by JPMPI in serving as investment adviser to the Funds and providing such services, the impact on potential returns from different levels of fees, the competitive marketplace for financial products, and the attractiveness of potential returns to investors in the Funds. The Trustees noted that the advisory fee rate payable to JPMPI under the Advisory Agreement is the same for all Funds (with the exception of the Credit Opportunities Fund, which has a higher advisory fee rate to account for the higher cost sub-advisers and strategies within the Fund) and took into account JPMPI’s explanation that each Fund receives substantially similar investment management services from JPMPI, including asset allocation, investment oversight and other management services. The Trustees also took into account that the Adviser had contractually agreed to (i) reimburse expenses for the Funds to the extent the total expense ratio for each Fund exceeded a certain specified limit and (ii) waive any advisory fees that exceeded the aggregate advisory fees JPMPI is contractually required to pay to the Sub-Advisers, and that JPMPI was proposing to continue those arrangements for an additional year.
The Trustees reviewed the advisory fees and total expenses of each Fund (each as a percentage of average net assets) in comparison to the average and median fees and expenses of peer funds within two peer expense groups and an expense universe identified by Broadridge. They noted that two expense groups were identified by Broadridge for each Fund, one of which included institutional 1940 Act funds, and the other only pure index exchange-traded funds (“ETFs”) in light of the Funds’ index-based strategies. The Trustees took into account that each Fund was in the 1st quintile (i.e., having among the lowest fees/expenses) for actual management fees and total expenses in comparison to the Broadridge expense group and expense universe for institutional funds as well as the expense group including only ETFs, with the exception of the Ultra Short Fund, which was in the 2nd quintile in the performance group for institutional funds and in the 3rd and 4th quintiles for actual management fees and total expenses, respectively, in the expense group including only ETFs. The Trustees noted that all Funds were in the 1st quintile for contractual management fees in comparison to the Broadridge expense group and universe for institutional funds, with the exception of the Credit Opportunities Fund, which was in the 5th quintile, but took into
account that the Credit Opportunities Fund was in the 1st quintile for actual management fees after taking into account the fee waivers observed for the Fund.
The Trustees also considered information regarding the sub-advisory fee rates paid to each Sub-Adviser under the Sub-Advisory Agreements and found them to be reasonable. In this regard, the Trustees took into account that JPMPI, and not the Funds, pays each Sub-Adviser for its services to the Funds out of the advisory fees JPMPI receives from the Funds under the Advisory Agreement, and further that JPMPI does not retain any such advisory fees. The Trustees also considered that the fees paid to each Sub-Sub-Adviser are paid by the applicable Sub-Adviser out of the sub-advisory fees it receives from JPMPI.
The Trustees also noted management’s indication that neither JPMPI (with respect to the Funds) nor BlackRock (with respect to the U.S. Equity Fund, International Equity Fund, MEP U.S. Fund, MEP International Fund, Global Bond Fund and Credit Opportunities Fund), PIMCO (with respect to the Global Bond), Insight (with respect to the Tax Aware Fund), PGIM (with respect to the Global Bond Fund), Capital (with respect to the Tax Aware Bond Fund) and RIIS (with respect to the Funds) identified any funds or accounts with comparable investment objectives and strategies as the Funds. The Trustees reviewed the fee rates of funds or accounts with comparable investment objectives and strategies identified by BlackRock (with respect to the Ultra Short Fund), GSAM (with respect to the Ultra Short Fund and Tax Aware Fund), PIMCO (with respect to the Ultra Short Fund, Tax Aware Ultra Short Fund and Credit Opportunities Fund), Allspring (with respect to the Tax Aware Bond Fund), Nuveen (with respect to the Tax Aware Bond Fund), PGIM (with respect to the Credit Opportunities Fund), Lord Abbett (with respect to the Credit Opportunities Fund), RBC GAM (UK) (with respect to the Credit Opportunities Fund) and Muzinich (with respect to the Credit Opportunities Fund), noting the Adviser’s views regarding the limitations of fee comparisons to other funds and separately managed accounts that are not registered under the 1940 Act and/or are not publicly offered, in light of the differences in the types and scope of services provided to the Funds compared to those provided to such other funds and accounts. Further, the Trustees took into account the differing levels of services provided and resulting limitations of fee comparisons with respect to other funds for which the Sub-Advisers serve as primary investment adviser, as opposed to fees charged where the Sub-Adviser serves only in a sub-advisory capacity, as in the case of the Funds. Additionally, the Trustees noted the most-favored nation provisions agreed to by BlackRock, PIMCO, Insight, GSAM, PGIM, Capital, Nuveen, Allspring, Lord Abbett, RBC GAM (UK), Muzinich and RIIS, which help ensure that sub-advisory fee rates charged by each such Sub-Adviser with respect to the Funds are no higher than the fees the Sub-Adviser charges to similar clients.
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(continued)
Adviser Costs, Level of Profits and Economies of Scale. The Trustees considered the estimated profits realized by the Adviser from the Advisory Agreement and in connection with the operation of the Funds based on profitability information included in the 15(c) Materials. Among other information, the Trustees considered the Funds’ operating expenses and estimated cost to the Adviser of providing services to the Funds. They also considered the impact of the expense limitation agreement and fee waiver agreement observed by JPMPI on the Adviser’s estimated profitability. The Trustees took into account that JPMPI’s estimates indicated that the Adviser has been unprofitable with respect to each of the Funds from inception through December 31, 2022. The Trustees also took into account that, although JPMPI has not realized direct profits with respect to the Funds, J.P. Morgan and its affiliates could be profitable with respect to the managed accounts that invest in the Funds and received related information and input from JPMPI in this regard.
The Trustees further noted that the advisory fee rates paid to JPMPI do not have break points, but due to the Funds’ fee waiver arrangements, JPMPI does not retain any portion of the advisory fees paid by the Funds and also observes expense limitation arrangements for each Fund, which may allow the Funds to benefit from economies of scale. The Trustees took into account that the Sub-Advisory Agreements for BlackRock, PIMCO, Insight, GSAM, PGIM, Nuveen, Allspring, RBC GAM (UK), Muzinich, Lord Abbett, and RIIS include breakpoints to their sub-advisory fee rates at certain assets levels.
Ancillary Benefits. The Trustees also considered whether the Adviser, BlackRock, BIL, BSL, PIMCO, Insight, GSAM, PGIM, PGIML, Capital, Nuveen, Allspring, Lord Abbett, RBC GAM (UK), Muzinich and RIIS or any of their affiliates may receive other ancillary or “fall out” benefits as a result of their relationships with the Funds. The Trustees considered that the Funds benefit the Adviser and its affiliates by enhancing the current discretionary product offering to J.P. Morgan Private Bank, J.P. Morgan Securities and Chase Wealth Management clients. The Trustees considered that the Funds serve to expand JPMPI’s CIO investment opportunities, expand the current capacity to invest, and reduce unintended portfolio dispersion. The Trustees also considered that, apart from the Adviser, which does not retain any fees under the Advisory Agreement for managing the Funds, the Funds do not engage any JPMPI affiliates as Fund service providers. The Trustees noted that the Funds utilize third-party service providers for administration, custody, audit and other services. In this regard, the Trustees took into account JPMPI’s representation that no JPMPI affiliate directly profits financially from the Funds themselves. The Trustees considered that the Adviser and/or its affiliates do receive portfolio management fees (“PMF”) outside of the Funds based on funds held in the Adviser’s discretionary client accounts, including on assets attributable to shares of the Funds held in such accounts. The Trustees took into account, however,
JPMPI’s representation that it or its affiliates would receive these PMFs independent of whether the discretionary accounts allocated investments to the Funds or allocated the same assets to a third-party fund or other investment.
The Trustees additionally considered that BlackRock, BIL, BSL, PIMCO, Insight, GSAM, PGIM, PGIML, Capital, Nuveen, Allspring, Lord Abbett, RBC GAM (UK), Muzinich and RIIS are not affiliated with any of the Funds’ service providers, and therefore do not benefit from those contractual relationships. The Trustees also considered portfolio trading practices of RIIS, noting the relatively low trading costs that RIIS expects to incur in completing portfolio transactions for the Funds, should the services be used. Additionally, the Trustees considered that RIIS may receive ancillary benefits of receiving fees from serving as transition manager to the Funds under the Implementation Services Agreement between the Adviser and RIIS, but noted that those fees are not contingent on RIIS serving as an interim sub-adviser and would be for services that are distinct from any sub-advisory services provided by RIIS. The Trustees also considered the proprietary nature of the Funds and whether any benefits result to the Adviser by placing assets of J.P. Morgan managed account clients into the Funds. In addition, the Trustees considered whether the Adviser or its affiliates benefit from the Funds’ portfolio trading practices, noting that while the Adviser is affiliated with broker-dealers, no broker-dealer affiliate ordinarily executes portfolio transactions on behalf of the Funds.
The Trustees also took into account that, although the Adviser does not retain any of the advisory fees it receives from the Funds and has to date been unprofitable with respect to its management of the Funds themselves, that the Adviser and its affiliates receive fees for managing the J.P. Morgan managed accounts that invest in the Funds. In this regard, the Trustees discussed with management possible approaches to estimating any imputed profitability to the Adviser or J.P. Morgan from their operation of the Funds taking into account the managed account fees they receive that are attributable to assets invested in the Funds and related expenses, and reviewed related information provided by the Adviser. In this regard, the Trustees took into account the Adviser’s representation that J.P. Morgan would continue to receive the same level of fees from its managed accounts whether the accounts invested in the Funds or in other funds and/or individual securities.
Conclusions. After reviewing and considering these and other factors described herein, the Trustees concluded, in their reasonable business judgment, within the context of their overall conclusions regarding the Agreements and based on information provided and related representations made by the Adviser and Sub-Advisers, that they were satisfied that the fees payable under the Agreements represent reasonable compensation in light of the nature, extent and quality of services provided by the Adviser or Sub-Adviser/Sub-Sub-Adviser,
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as applicable, and that based on the information provided and taking into account the various assumptions made, the estimated profitability of the Adviser (if any) did not appear to be excessive. Based on their evaluation of factors that they deemed to be material, including, but not limited to, those
factors described above, the Trustees, including the Independent Trustees, unanimously concluded that the terms of the Agreements are fair and reasonable to each Fund, and approved the continuance of each Agreement for an additional one-year term.
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| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 319 |
LIQUIDITY RISK MANAGEMENT PROGRAM
Each of the Funds has adopted the Six Circles Funds Liquidity Risk Management Program (the “Program”) under Rule 22e-4 under the 1940 Act (the “Liquidity Rule”). The Program seeks to assess, manage and review each Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund. Among other things, the Liquidity Rule requires that a written report be provided to the Boards of Trustees (the “Board”) on an annual basis that addresses the operation of the Program and assesses the adequacy and effectiveness of its implementation and any material changes to the Program. JPMPI’s Liquidity Risk Forum (the “Liquidity Forum”) is the program administrator for the Program (the “Program Administrator”). On June 20, 2023, the Board of Trustees reviewed the Program Administrator’s annual written report (the “Report”) concerning the operation of the Program for the period from January 1, 2022 through December 31, 2022 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation. The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to each Fund. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s Liquidity Risk and the results of this assessment; (2) the methodology and inputs for classifying each of the Fund’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) whether a Fund invested primarily in “Highly Liquid Investments” (as defined under the Liquidity Rule) and whether a Highly Liquid Investment Minimum (“HLIM”) should be established for a Fund and the procedures for monitoring for this limit; with the assessment that each Fund was invested primarily in “Highly Liquid Investments and therefore no HLIM needed to be established for any Fund (4) whether a Fund invested more than 15% of its assets in “Illiquid Investments” (as defined under the Liquidity Rule) and the procedures for monitoring for this limit, with the assessment that each Fund was under the 15% limit during the Program Reporting Period; and (5) specific liquidity events arising during the Program Reporting Period, including the impact on Fund liquidity caused by extended non-U.S. market closures. There were no material changes to the Program during the Program Reporting Period, although adjustments were made to the “reasonably anticipated trade size” calculation methodology description to account for actual fund trade experience as the Funds have seasoned.
Based on this review, the Report concluded that: (1) the Program continues to be reasonably designed to effectively assess and manage each Fund’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to each Fund during the Program Reporting Period.
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Feb 2019
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| FACTS | | WHAT DOES SIX CIRCLES TRUST* DO WITH YOUR PERSONAL INFORMATION? |
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| Why? | | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
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| What? | | The types of personal information we may collect and share depend on the product or service you have with us. This information can include: ◾ Social Security number ◾ account balances and transaction history ◾ investment experience and risk tolerance When you are no longer our customer, we continue to share your information as described in this notice. |
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| How? | | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Six Circles Trust, chooses to share; and whether you can limit this sharing. |
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| Reasons we can share your personal information | | Does Six Circles
Trust share? | | Can you limit this
sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | | Yes | | No |
For our marketing purposes — to offer our products and services to you | | No | | We don’t share |
| For joint marketing with other financial companies | | No | | We don’t share |
For our affiliates’ everyday business purposes — information about your transactions and experiences | | Yes | | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | | No | | We don’t share |
| For nonaffiliates to market to you | | No | | We don’t share |
| * | Six Circles Trust and its fund series do not currently, nor are they expected to, collect personal non-public information from individuals, since holdings are held on the books of each fund on an omnibus basis by financial intermediaries. To the extent Six Circles Trust does get access to personal information through its affiliates or otherwise, this statement would apply. |
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| Questions? | | Call 212-464-2070 to speak with a Managed Solutions & Strategies Investor Relations representative. We accept operator relay calls. |
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| Who we are |
| Who is providing this notice? | | Six Circles Trust |
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| What we do |
| How does Six Circles Trust protect my personal information? | | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We only authorize our personnel to access information about you when they need it to do their work for us. We require companies working for us to protect your information. |
| How does Six Circles Trust collect my personal information? | | We may collect your personal information, for example, when you ◾ open an account or make a wire transfer ◾ direct us to buy securities or direct us to sell your securities ◾ provide your account information |
| Why can’t I limit all sharing? | | Federal law gives you the right to limit only ◾ sharing for affiliates’ everyday business purposes – information about your creditworthiness ◾ affiliates from using your information to market to you ◾ sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing. |
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| Definitions |
| Affiliates | | Companies related by common ownership or control. They can be financial and nonfinancial companies. ◾ Our affiliates include companies with the Chase or J.P. Morgan name including J.P. Morgan Private Investments Inc., our investment adviser. |
| Nonaffiliates | | Companies not related by common ownership or control. They can be financial and nonfinancial companies. ◾ We do not share with nonaffiliates so they can market to you |
| Joint marketing | | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. ◾ We don’t jointly market |
For more complete information about the Funds, including the Funds’ objectives, risks, charges and expenses, call your J.P. Morgan team or call 1-212-464-2070 or go to www.sixcirclesfunds.com for a prospectus. Read the prospectus carefully. An investment in these Funds and any other Fund is not designed to be a complete investment program. The Funds are NOT designed to be used as a stand-alone investments. J.P. Morgan is committed to making our products and services accessible to meet the financial services needs of all our clients. If you are a person with a disability and need additional support accessing this material, please contact your J.P. Morgan team or email us at accessibility.support@jpmorgan.com for assistance.
The Six Circles Funds are distributed by Foreside Fund Services, LLC a member of FINRA.
Contact Six Circles Funds collect at 1-212-464-2070 for a fund prospectus. You can also visit us at www.sixcirclesfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the Six Circles Funds before investing. The prospectus contains this and other information about the Six Circles Funds. Read the prospectus carefully before investing.
The Six Circles Funds file complete schedules of their fund holdings for the first and third quarters of their fiscal year with the SEC on Form N-PORT. The Six Circles Funds’ Forms N-PORT are available on the SEC’s website at http://www.sec.gov. Each Fund’s quarterly holdings can be found by visiting the Six Circles Funds’ website at www.sixcirclesfunds.com/literature.
A description of the Six Circles Funds’ policies and procedures with respect to the disclosure of the Six Circles Funds’ holdings is available in the prospectuses and Statements of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling collect 1-212-464-2070 or on the Six Circles Funds’ website at www.sixcirclesfunds.com. A description of such policies and procedures is in the Statement of Additional Information available on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser, and the Adviser in turn has delegated such authority to the Sub-Advisers. A copy of the Six Circles Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Six Circles Funds’ website at www.sixcirclesfunds.com no later than August 31 of each year. The Six Circles Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
©JPMorgan Chase & Co. 2023. All rights reserved. June 30, 2023.
Semi-Annual Report
SIX CIRCLES® FUNDS
June 30, 2023
Six Circles Managed Equity Portfolio U.S. Unconstrained Fund
Six Circles Managed Equity Portfolio International Unconstrained Fund
CONTENTS
Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.
For more complete information about the Funds, including the Funds’ objectives, risks, charges and expenses, call your J.P. Morgan representative or call 1-212-464-2070 or go to www.sixcirclesfunds.com for a prospectus. Read the prospectus carefully. An investment in these Funds and any other Fund is not designed to be a complete investment program. The Funds are NOT designed to be used as stand-alone investments.
PRESIDENT’S LETTER
JUNE 30, 2023 (Unaudited)
Dear Shareholder,
We hope this letter finds you well.
Markets proved resilient in the first half of 2023 on top of positive economic news, including falling inflation and growing consumer sentiment. Recession fears appeared to diminish, even if they did not totally disappear. Against this backdrop, equity markets rallied, with U.S. stocks leading the way.
The Six Circles Funds are designed to help our discretionary portfolios navigate through changing markets, by giving us the flexibility to target key themes and high conviction ideas. On the following pages, we provide detailed discussions on the strategies we implemented in each of the Six Circles Funds during the review period, and how they performed.
As a reminder, the Six Circles Funds are not meant to be standalone investments. They are purposefully constructed as completion funds and, as such, we believe they should be reviewed and evaluated within the context of your broader portfolio for a complete picture of their performance.
I hope you find the information on these pages to be informative and helpful. If you should have any questions about the Funds, you can contact your J.P. Morgan team, visit the Fund’s website at www.sixcirclesfunds.com, or call us at 212-464-2070.
Sincerely,
Mary Savino
President, Six Circles Funds
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| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 1 |
Market Overview
As Of June 30, 2023 (Unaudited)
Year-to-date June 2023, equities outperformed global bond and cash markets, with the MSCI USA Index, MSCI World ex-USA Index, MSCI Emerging Markets Index and MSCI World Index up 17.13%, 11.29%, 4.89% and 15.43% during the period, respectively. Whereas, Bloomberg 1-3 Month U.S. Treasury Bills Index and the Bloomberg Global-Aggregate Index — Hedged USD returned 2.33% and 2.96% respectively.
To slow down inflation, the Fed hiked rates by 5% since the start of 2022. Economic growth slowed on the back of the significant tightening of financial conditions with parts of the economy, like smaller U.S. banks, showing signs of stress. This further increased the odds of a recession. However, even if a recession occurs, we believe that equities and fixed income may generate positive returns over the next 12 months.
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| 2 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
Six Circles Managed Equity Portfolio U.S. Unconstrained Fund
FUND COMMENTARY
Period January 1, 2023 Through June 30, 2023 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN | |
| Fund* | | | 18.45% | |
| MSCI USA Index | | | 17.13% | |
| |
| Net Assets as of 06/30/2023 (In Thousands) | | $ | 8,220,245 | |
INVESTMENT OBJECTIVES AND STRATEGY**
Six Circles Managed Equity Portfolio U.S. Unconstrained Fund (the “Fund”) seeks to provide capital appreciation. The Fund invests at least 80% of its net assets in equity securities issued by U.S. companies and other instruments with economic characteristics similar to equity securities issued by U.S. companies. The Fund is generally unconstrained by any particular capitalization, style or industry sector.
INVESTMENT APPROACH
J.P. Morgan Private Investments Inc., the Fund’s investment adviser (“JPMPI” or the “Adviser”), actively allocates the Fund’s investments among a range of Indexed investment strategies that are managed by the current sub-adviser, BlackRock Investment Management, LLC (the “Sub-Adviser” or “BlackRock”). For each Indexed investment strategy, the Sub-Adviser seeks to replicate the performance of an Index or sub-index selected by the Adviser. In addition to allocating and reallocating the Fund’s assets among one or more indexed investment strategies, the Adviser may also select securities of specific individual companies for the Fund to purchase or sell on an ongoing basis and the amount of the Fund’s assets to allocate to such securities. The Fund is specifically designed to serve as a completion portfolio and accomplish particular goals within discretionary Managed Equity Portfolios managed by JPMPI or its affiliates (the “Portfolios”). The Adviser utilizes the Fund to express targeted investment views, while taking into consideration positions held at the aggregate level in the broader Portfolios. As such, the Fund’s allocations and performance should be evaluated in the context of the broader Portfolios and not on a standalone basis.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
During the period January 1, 2023 through June 30, 2023 (the “reporting period”), the Fund posted a positive return on an absolute basis, and outperformed relative to the MSCI USA Index (the “Index”). References to the Index are for informational purposes. The use of the Index does not imply the Fund is being managed to the Index, but rather is disclosed to allow for comparison of the Fund’s performance to that of a well-known and widely recognized Index.
Information Technology, Health Care and Energy sectors comprised approximately 55% of the Fund’s sector exposure on a look-through basis at the end of the reporting period and were the Fund’s largest sector overweights relative to the Index. During the reporting period, Information Technology contributed to
the Fund’s performance while Health Care and Energy detracted, both on an absolute basis as well as relative to the Index.
Financials, Industrials and Consumer Staples sectors comprised approximately 20% of the Fund’s sector exposure on a look-through basis at the end of the reporting period and were the Fund’s largest sector underweights relative to the Index. During the reporting period, all three sectors contributed to the Fund’s performance on an absolute basis as well as relative to the Index.
The Fund’s exposure to the Communication Services sector on a look-through basis was approximately 9% and was a slight overweight relative to the Index. However, this sector was the largest contributor to Fund performance relative to the Index.
On an absolute basis, the Fund’s allocation to Broad USA, which includes securities in the Communication Services sector, was the largest contributor to the Fund’s performance on an absolute basis, while allocation to U.S. Managed Care detracted, during the reporting period.
HOW WAS THE FUND POSITIONED?
At the end of the reporting period, the Fund was allocated to nineteen strategies managed by one Sub-Adviser, across various sector and sub-industry exposures as follows.
| | | | |
| PORTFOLIO ALLOCATION*** | | | |
| USA | | | 40 | % |
| U.S. Custom Equity Sleeve (JPMPI) | | | 12 | |
| U.S. Software | | | 7 | |
| U.S. Information Technology | | | 6 | |
| U.S. Pharmaceuticals | | | 6 | |
| U.S. Technology Hardware Equipment | | | 4 | |
| U.S. Communication Services | | | 3 | |
| U.S. Consumer Discretionary | | | 3 | |
| U.S. Interactive Media & Services | | | 3 | |
| USA Energy | | | 3 | |
| U.S. Air Freight & Logistics | | | 2 | |
| U.S. Semiconductor & Semiconductor Equipment | | | 2 | |
| U.S. Utilities | | | 2 | |
| U.S. Electronic Equipment | | | 2 | |
| Life Sciences Tools & Services | | | 1 | |
| U.S. Beverages | | | 1 | |
| U.S. Biotechnology | | | 1 | |
| U.S. Financials | | | 1 | |
| Canada | | | 1 | |
| * | | The return shown is based on the net asset value calculated for shareholder transactions. Certain adjustments were made to the |
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| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 3 |
Six Circles Managed Equity Portfolio U.S. Unconstrained Fund
FUND COMMENTARY
Period January 1, 2023 Through June 30, 2023 (Unaudited) (continued)
| | net assets of the Fund at June 30, 2023 for financial reporting purposes, and as a result, the net asset value for shareholder transactions and the total return based on that net asset value may differ from the adjusted net assets and the total return for financial reporting. |
| ** | | The Adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | | Percentages are based on total investments as of June 30, 2023. The portfolio allocation is subject to change. |
Allocation to Broad USA, which was approximately 40% of the Fund as of June 30, 2023, provides what the Adviser believes to be an ability to tactically allocate to broad U.S. large cap exposure and use as a potential funding source for future targeted allocations.
Allocation to the Custom Equity Sleeve was approximately 12% of the Fund as of June 30, 2023. This portion of the Fund’s investments is allocated to individual publicly traded large capitalization U.S. equity securities, selected by the Adviser. Securities included in the U.S. Custom Equity Sleeve may be represented by a variety of U.S. sectors, sub-sectors or industries and are selected for inclusion by the Adviser based on its investment analysis in order to assist with either portfolio construction, risk management, liquidity considerations, or a combination thereof.
Allocation to U.S. Software provides what the Adviser believes is a multi-year opportunity for the leaders in this space to take advantage of businesses shifting workloads onto Cloud platforms. This exposure comprised approximately 7% of the Fund as of June 30, 2023.
Allocations to U.S. Pharmaceuticals and U.S. Biotechnology comprised approximately 7% of the Fund as of June 30, 2023. The Adviser believes that pharmaceutical companies have strong fundamentals with attractive valuations in the current market. The Biotechnology sector focuses on companies primarily engaged in the research, development, manufacturing and / or marketing of products based on genetic analysis and genetic engineering.
Allocation to U.S. Information Technology, which allows the Adviser to access specific exposures within the Technology sector, was approximately 6% of the Fund as of June 30, 2023.
Allocation to U.S. Technology, Hardware & Equipment allows the Adviser to access specific exposures within the Technology sector. The allocation comprised approximately 4% of the Fund as of June 30, 2023.
Allocation to U.S. Communications Services allows the Adviser to gain specific exposures within the mega cap Technology sector. The allocation was approximately 3% of the Fund as of June 30, 2023.
Allocation to U.S. Interactive Media & Services focuses on companies engaged in content and information creation or distribution through proprietary platforms, where revenues are derived primarily through pay-per-click advertisements. This allocation was approximately 3% of the Fund as of June 30, 2023. The Adviser believes in the opportunities available in the cloud market and views this exposure as potential for continued strength in earnings growth.
The Adviser believes that allocation to USA Energy serves as a cyclical exposure that may do well as rates rise. This allocation was approximately 3% of the Fund as of June 30, 2023.
Allocation to U.S. Consumer Discretionary comprised approximately 3% of the Fund as of June 30, 2023. The Adviser believes that due to growth sell-off through most of 2022, valuations in Consumer Discretionary may now present a potentially attractive entry point for the sector.
The Adviser believes that companies in the U.S. Air, Freight & Logistics sector may have the potential to improve free cash flow generation after having underperformed. This allocation comprised approximately 2% of the Fund as of June 30, 2023.
The Adviser believes that valuations for U.S. Semiconductors & Semiconductor Equipment companies are now more reasonable and may provide a potentially attractive entry point. This allocation comprised approximately 2% of the Fund as of June 30, 2023.
The Adviser believes that allocation to the U.S. Electronic Equipment is attractive given its position within the broader Information Technology sector and structural change over the past decade. This allocation comprised approximately 2% of the Fund as of June 30, 2023.
The Adviser believes that utilities have cheapened versus the market with no change to the underlying fundamentals (for example, higher leverage, negative free-cash-flow coverage), making the sector incrementally more attractive as a defensive diversifier in the portfolio. This allocation to U.S. Utilities was approximately 2% of the Fund’s exposure as of June 30, 2023.
Allocation to Life Sciences Tools & Services was approximately 1% of the Fund as of June 30, 2023. The Adviser believes that the sector is comprised of high quality and large cap companies with high potential earnings growth.
Allocation to U.S. Beverages was approximately 1% of the Fund’s exposure as of June 30, 2023, and reflects the Adviser’s belief that major players of this sector are going through structural changes and may have the potential to improve free cash flow conversion.
Allocation to U.S. Financials comprised approximately 1% of the Fund as of June 30, 2023. The Adviser believes in capital
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| 4 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
adequacy and dividend sustainability in the sector and currently has conviction in the sector given compelling valuations and more realistic market expectations about potential credit costs and buybacks.
Allocation to Canada comprised approximately 1% of the Fund, as of June 30, 2023. The Adviser believes that the allocation provides for the diversification of the regional exposures in the broader Portfolios.
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AVERAGE ANNUAL TOTAL RETURNS
AS OF JUNE 30, 2023 | |
| | | 6 Months* | | | 1 Year | | | Since
Inception
(April 10, 2019) | |
| Six Circles Managed Equity Portfolio U.S. Unconstrained Fund | | | 18.45 | % | | | 18.95 | % | | | 13.84 | % |
* Not Annualized
GROWTH OF $10,000 REPORT (04/10/2019 to 06/30/2023)
| 1) | Presented percentages may not sum to 100% due to rounding to the nearest percent. Cash and mark-to-market value on derivatives contracts represent less than 0.5%. The above Sector allocation |
| | uses The Global Industry Classification Standard (GICS®) and may differ from categories listed within the Schedule of Investments. |
The allocation of the various strategies employed by the Fund may shift and therefore, the performance shown may not be a true indication of how the Fund may perform going forward. Performance quoted is past performance and is no guarantee of future results. Investment returns and principal value will fluctuate, so shares, when sold, may be worth more or less than original cost. Current performance may be higher or lower than returns shown. As of the latest prospectus, the gross and net expense ratios for the Fund were 0.28% and 0.07% respectively. Contact your J.P. Morgan representative or call 1-212-464-2070 for the most recent month-end performance.
The Fund commenced operations on April 10, 2019.
The graph illustrates comparative performance for $10,000 invested in the Six Circles Managed Equity Portfolio U.S. Unconstrained Fund and the MSCI USA Index from April 10, 2019 to June 30, 2023. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the MSCI USA Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable.
The MSCI USA Index is designed to measure the performance of the large and mid-cap segments of the U.S. market. With 627 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in the United States. Investors cannot invest directly in an index.
Fund performance may reflect the waiver of the Fund’s fees and/or reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or redemptions or sales of Fund shares.
The MSCI information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used as a basis for or a component of any financial instruments or products or indices. None of the MSCI information is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. Historical data and analysis should not be taken as an indication or guarantee of any future performance analysis, forecast or prediction. The MSCI information is provided on an “as is” basis and the user of this information assumes the entire risk of any use made of this information. MSCI, each of its affiliates and each other person involved in or related to compiling, computing or creating any MSCI information (collectively, the “MSCI Parties”) expressly disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect this information. Without limiting any of the foregoing, in no event shall any MSCI Party have any liability for any direct, indirect, special, incidental, punitive, consequential (including, without limitation, lost profits) or any other damages. (www.msci.com)
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by JP MORGAN CHASE BANK NA. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability and fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
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| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 5 |
Six Circles Managed Equity Portfolio International Unconstrained Fund
FUND COMMENTARY
Period January 1, 2023 Through June 30, 2023 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN | |
| Fund* | | | 14.82% | |
| MSCI World ex-USA Index | | | 11.29% | |
| |
| Net Assets as of 06/30/2023 (In Thousands) | | $ | 4,091,761 | |
INVESTMENT OBJECTIVES AND STRATEGY**
Six Circles Managed Equity Portfolio International Unconstrained Fund (the “Fund”) seeks to provide capital appreciation. The Fund invests at least 80% of its net assets in equity securities and other instruments with economic characteristics similar to equity securities. The Fund primarily invests in the equity securities of non-U.S. companies and is generally unconstrained by any particular capitalization, style or sector or non-U.S. country.
INVESTMENT APPROACH
J.P. Morgan Private Investments Inc., the Fund’s investment adviser (“JPMPI” or the “Adviser”), actively allocates the Fund’s investments among a range of Indexed investment strategies that are managed by the current sub-adviser, BlackRock Investment Management, LLC (the “Sub-Adviser” or “BlackRock”). For each Indexed investment strategy, the Sub-Adviser seeks to replicate the performance of an Index or sub-index selected by the Adviser. The Fund is specifically designed to serve as a completion portfolio and accomplish particular goals within discretionary Managed Equity Portfolios managed by JPMPI or its affiliates (the “Portfolios”). The Adviser utilizes the Fund to express targeted investment views, while taking into consideration positions held at the aggregate level in the Portfolios. As such, the Fund’s allocations and performance should be evaluated in the context of the broader Portfolios and not on a standalone basis.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
During the period January 1, 2023 through June 30, 2023 (the “reporting period”), the Fund posted a positive return on an absolute basis, and outperformed the MSCI World ex-USA Index (the “Index”) on a relative basis. References to the Index are for informational purposes. The use of the Index does not imply the Fund is being managed to the Index and is disclosed to allow for comparison of the Fund’s performance to that of a well-known and widely recognized Index.
Consumer Staples, Information Technology, and Energy sectors comprised approximately 37% of the Fund’s sector exposure on a look-through basis at the end of the reporting period and were the Fund’s largest sector overweights relative to the Index. All three sectors contributed to the Fund’s performance
on an absolute basis. Relative to the Index, Consumer Staples and Information Technology contributed to the Fund’s performance, while Energy detracted from the Fund’s performance.
Financials, Consumer Discretionary and Materials comprised approximately 30% of the Fund’s sector exposure on a look-through basis at the end of the reporting period and were the Fund’s largest sector underweights relative to the Index. Consumer Discretionary and Financials contributed to the Fund’s performance, while Materials detracted, both on an absolute basis, as well as relative to the Index.
On an allocation level, the Fund’s allocation to Europe Textiles Luxury Goods was the largest contributor to the Fund’s return, while the allocation to Europe Metal & Mining was the largest detractor from the Fund’s return, on an absolute basis during the reporting period.
HOW WAS THE FUND POSITIONED?
At the end of the reporting period, the Fund was allocated to nineteen strategies managed by one Sub-Adviser, across various sector and sub-industry exposures as follows.
| | | | |
| PORTFOLIO ALLOCATION*** | | | |
| Europe Financials | | | 13 | % |
| Europe | | | 11 | |
| Europe Industrials | | | 10 | |
| Europe Pharmaceuticals | | | 8 | |
| Europe Beverages | | | 7 | |
| Europe Semiconductors | | | 6 | |
| Europe Integrated Oil & Gas | | | 6 | |
| Europe Textiles Luxury Goods | | | 6 | |
| Europe Food Products | | | 5 | |
| Pacific ex-Japan | | | 5 | |
| Germany Application Software | | | 4 | |
| Japan | | | 4 | |
| Europe ex-UK Utilities | | | 3 | |
| European Metals & Mining | | | 3 | |
| Japan Interactive Home Entertainment | | | 3 | |
| Swiss Food Products | | | 2 | |
| Taiwan Semiconductor & Semiconductor Equipment | | | 2 | |
| Canada | | | 1 | |
| Korea Technology, Hardware, Storage & Peripherals | | | 1 | |
| * | | The return shown is based on the net asset value calculated for shareholder transactions. Certain adjustments were made to the |
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| 6 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | net assets of the Fund at June 30, 2023 for financial reporting purposes, and as a result, the net asset value for shareholder transactions and the total return based on that net asset value may differ from the adjusted net assets and the total return for financial reporting. |
| ** | | The Adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | | Percentages are based on total investments as of June 30, 2023. The portfolio allocation is subject to change. |
Allocation to Europe Financials was approximately 13% of the Fund as of June 30, 2023. The Adviser currently has conviction in the sector due to improved capital levels and believes Financials can directly benefit from higher inflation and interest rates through higher lending costs and better net interest margin.
Allocation to Europe Pharmaceuticals comprised approximately 8% of the Fund as of June 30, 2023 and provides what the Adviser believes to be a defensive exposure with attractive fundamentals and valuations, within the context of the broader Portfolios.
The Adviser believes that companies in the Europe Textiles Luxury Goods sector are high quality consumer-oriented companies within the Consumer Discretionary sector and provide for the cyclical exposure in Europe which the Adviser believes may perform well as the global economy continues to recover. This allocation comprised approximately 6% of the Fund as of June 30, 2023.
Allocation to Europe Industrials was approximately 10% of the Fund as of June 30, 2023. The Adviser believes that the Industrials sector is built on cyclical exposures that cold benefit from economic recovery and growth.
Broad European Equities sector has exposure to companies with secular tailwinds and a large concentration in semiconductors. This allocation comprised approximately 11% of the Fund as of June 30, 2023.
Allocation to Europe Food Products was approximately 5% of the Fund as of June 30, 2023 and serves as a defensive position, allowing the Adviser access to a concentrated Index of high-quality European companies.
The Adviser believes that companies within the Europe Semiconductors sector have reasonable valuations making the exposure attractive, as it believes that the demand for semiconductors and semiconductor equipment may increase following the theme of electrification. The sector comprised approximately 6% of the Fund as of June 30, 2023.
Allocation to Europe Integrated Oil & Gas provides exposure to a cyclical industry that the Adviser believes could take advantage of the early cycle environment and comprised approximately 6% of the Fund as of June 30, 2023.
Allocation to Pacific ex-Japan and Canada comprised approximately 5% and 1% of the Fund, respectively, as of June 30, 2023. The Adviser believes that the allocations provide for the diversification of the regional exposures in the broader Portfolios.
The Adviser believes that the allocation to Broad Japan provides exposure to high quality Japanese companies with evolving business models. The allocation was approximately 4% of the Fund as of June 30, 2023.
Allocation to Germany Application Software was approximately 4% of the Fund as of June 30, 2023. German Investable Markets Index is primarily made up of SAP, a company the Adviser believes the market is currently underappreciating given its cloud transition, value of defensive cashflows, and positive business model changes.
Allocation to Europe Metals and Mining provides what the Adviser believes is a cyclical exposure to companies with strong balance sheets. The allocation was approximately 3% of the Fund as of June 30, 2023.
The Adviser believes that the allocation to Europe ex-UK Utilities serves as a defensive position with exposure to renewable energy, which helps diversify against European Energy positions and provides a growth dynamic to the sector. This allocation was approximately 3% of the Fund as of June 30, 2023.
The Adviser believes that the allocation to Japan Interactive Home Entertainment provides exposure to companies that have quality earnings potential that may be underappreciated by the market. This allocation was approximately 3% of the Fund as of June 30, 2023.
Allocation to Swiss Food Products was approximately 2% of the Fund as of June 30, 2023 and serves as a defensive position, allowing the Adviser access to a concentrated Index of high-quality Swiss companies.
Allocation to Korea Technology Hardware, Storage and Peripherals provides what the Adviser believes is exposure to a strong player within the global technology supply chain. This allocation was approximately 1% of the Fund as of June 30, 2023.
Europe accounts for large portion of the beverage industry’s demand and many European Beverage companies struggled in 2022, however, the Adviser believes that allocation to Europe Beverage could perform well as the China reopening provides strong headwinds to the demand. This allocation comprised approximately 7% of the Fund as of June 30, 2023.
Allocation to Taiwan Semiconductors was approximately 2% of the Fund as of June 30, 2023.
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| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 7 |
Six Circles Managed Equity Portfolio International Unconstrained Fund
FUND COMMENTARY
Period January 1, 2023 Through June 30, 2023 (Unaudited) (continued)
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS
AS OF JUNE 30, 2023 | |
| | | 6 Months* | | | 1 Year | | | Since Inception
(April 10, 2019) | |
| Six Circles Managed Equity Portfolio International Unconstrained Fund | | | 14.82% | | | | 24.21% | | | | 7.78% | |
* Not Annualized
GROWTH OF $10,000 REPORT (04/10/2019 to 06/30/2023)
| 1) | Presented percentages may not sum to 100% due to rounding to the nearest percent. Cash and mark-to-market value on derivatives contracts represent less than 0.5%. The above Sector allocation uses The Global Industry Classification Standard (GICS®) and may differ from categories listed within the Schedule of Investments. |
The allocation of the various strategies employed by the Fund may shift and therefore, the performance shown may not be a true indication of how the Fund may perform going forward. Performance quoted is past performance and is no guarantee of future results. Investment returns and principal value will fluctuate, so shares, when sold, may be worth more or less than original cost. Current performance may be higher or lower than returns shown. As of the latest prospectus, the gross and net expense ratios for the Fund were
0.34% and 0.14% respectively. Contact your J.P. Morgan representative or call 1-212-464-2070 for the most recent month-end performance.
The Fund commenced operations on April 10, 2019.
The graph illustrates comparative performance for $10,000 invested in the Six Circles Managed Equity Portfolio International Unconstrained Fund and the MSCI World ex-USA Index from April 10, 2019 to June 30, 2023. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the MSCI World ex-USA Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable.
The MSCI World ex-USA Index captures large and mid-cap representation across 22 of 23 Developed Markets (DM) countries—excluding the United States. With 1,016 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country. Investors cannot invest directly in an index.
The MSCI Emerging Markets Index captures large and mid cap representation across 24 Emerging Markets (EM) countries. With 1,377 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.
Fund performance may reflect the waiver of the Fund’s fees and/or reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or redemptions or sales of Fund shares.
International investing has a greater degree of risk and increased volatility due to political and economic instability of some overseas markets. Changes in currency exchange rates and different accounting and taxation policies outside the U.S. can affect returns.
The MSCI information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used as a basis for or a component of any financial instruments or products or indices. None of the MSCI information is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. Historical data and analysis should not be taken as an indication or guarantee of any future performance analysis, forecast or prediction. The MSCI information is provided on an “as is” basis and the user of this information assumes the entire risk of any use made of this information. MSCI, each of its affiliates and each other person involved in or related to compiling, computing or creating any MSCI information (collectively, the “MSCI Parties”) expressly disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect this information. Without limiting any of the foregoing, in no event shall any MSCI Party have any liability for any direct, indirect, special, incidental, punitive, consequential (including, without limitation, lost profits) or any other damages. (www.msci.com)
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by JP MORGAN CHASE BANK NA. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability and fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
| | | | | | | | | | |
| | | | | |
| 8 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
Six Circles Managed Equity Portfolio U.S. Unconstrained Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | |
SHARES | | | VALUE ($) | |
Common Stocks — 99.1% | | | | | | | | |
Basic Materials — 1.0% | | | | | | | | |
Chemicals — 0.7% | | | | | | | | |
Air Products & Chemicals, Inc. | | | 19 | | | | 5,699 | |
Albemarle Corp. | | | 10 | | | | 2,190 | |
Celanese Corp., Class A | | | 9 | | | | 1,091 | |
CF Industries Holdings, Inc. | | | 19 | | | | 1,347 | |
Dow, Inc. | | | 64 | | | | 3,396 | |
DuPont de Nemours, Inc. | | | 41 | | | | 2,910 | |
Eastman Chemical Co. | | | 14 | | | | 1,138 | |
Ecolab, Inc. | | | 22 | | | | 4,078 | |
FMC Corp. | | | 12 | | | | 1,202 | |
International Flavors & Fragrances, Inc. | | | 24 | | | | 1,940 | |
Linde plc | | | 41 | | | | 15,580 | |
LyondellBasell Industries NV, Class A | | | 24 | | | | 2,209 | |
Mosaic Co. (The) | | | 34 | | | | 1,184 | |
Nutrien Ltd., (Canada) | | | 30 | | | | 1,781 | |
PPG Industries, Inc. | | | 21 | | | | 3,062 | |
RPM International, Inc. | | | 7 | | | | 660 | |
Sherwin-Williams Co. (The) | | | 19 | | | | 5,158 | |
Westlake Corp. | | | 5 | | | | 571 | |
| | | | | | | | |
| | |
| | | | | | | 55,196 | |
| | | | | | | | |
Forest Products & Paper — 0.0% (g) | | | | | | | | |
International Paper Co. | | | 36 | | | | 1,146 | |
| | | | | | | | |
Iron/Steel — 0.1% | | | | | | | | |
Cleveland-Cliffs, Inc. (a) | | | 59 | | | | 993 | |
Nucor Corp. | | | 22 | | | | 3,610 | |
Reliance Steel & Aluminum Co. | | | 6 | | | | 1,548 | |
Steel Dynamics, Inc. | | | 14 | | | | 1,576 | |
| | | | | | | | |
| | |
| | | | | | | 7,727 | |
| | | | | | | | |
Mining — 0.2% | | | | | | | | |
Agnico Eagle Mines Ltd., (Canada) | | | 30 | | | | 1,483 | |
Alcoa Corp. | | | 7 | | | | 235 | |
Barrick Gold Corp., (Canada) | | | 106 | | | | 1,798 | |
Cameco Corp., (Canada) | | | 26 | | | | 819 | |
First Quantum Minerals Ltd., (Canada) | | | 36 | | | | 840 | |
Franco-Nevada Corp., (Canada) | | | 12 | | | | 1,649 | |
Freeport-McMoRan, Inc. | | | 111 | | | | 4,439 | |
Ivanhoe Mines Ltd., (Canada), Class A (a) | | | 37 | | | | 334 | |
Kinross Gold Corp., (Canada) | | | 76 | | | | 362 | |
Lundin Mining Corp., (Canada) | | | 39 | | | | 308 | |
Newmont Corp. | | | 62 | | | | 2,660 | |
Pan American Silver Corp., (Canada) | | | 22 | | | | 319 | |
Wheaton Precious Metals Corp., (Canada) | | | 27 | | | | 1,179 | |
| | | | | | | | |
| | |
| | | | | | | 16,425 | |
| | | | | | | | |
Total Basic Materials | | | | | | | 80,494 | |
| | | | | | | | |
Communications — 16.8% | | | | | | | | |
Advertising — 0.1% | | | | | | | | |
Interpublic Group of Cos., Inc. (The) | | | 66 | | | | 2,540 | |
Omnicom Group, Inc. | | | 34 | | | | 3,190 | |
Trade Desk, Inc. (The), Class A (a) | | | 68 | | | | 5,246 | |
| | | | | | | | |
| | |
| | | | | | | 10,976 | |
| | | | | | | | |
| | | | | | | | |
| SECURITY DESCRIPTION | |
SHARES | | | VALUE ($) | |
| | | | | | | | |
Internet — 14.0% | | | | | | | | |
Airbnb, Inc., Class A (a) | | | 56 | | | | 7,153 | |
Alphabet, Inc., Class A (a) | | | 1,663 | | | | 199,002 | |
Alphabet, Inc., Class C (a) | | | 1,502 | | | | 181,668 | |
Amazon.com, Inc. (a) | | | 3,005 | | | | 391,754 | |
Booking Holdings, Inc. (a) | | | 5 | | | | 14,231 | |
CDW Corp. | | | 96 | | | | 17,703 | |
Chewy, Inc., Class A (a) | | | 6 | | | | 222 | |
DoorDash, Inc., Class A (a) | | | 31 | | | | 2,364 | |
eBay, Inc. | | | 69 | | | | 3,087 | |
Etsy, Inc. (a) | | | 18 | | | | 1,500 | |
Expedia Group, Inc. (a) | | | 23 | | | | 2,567 | |
F5, Inc. (a) | | | 14 | | | | 1,997 | |
Gen Digital, Inc. | | | 139 | | | | 2,572 | |
GoDaddy, Inc., Class A (a) | | | 17 | | | | 1,245 | |
Match Group, Inc. (a) | | | 70 | | | | 2,944 | |
MercadoLibre, Inc., (Uruguay) (a) | | | 6 | | | | 7,213 | |
Meta Platforms, Inc., Class A (a) | | | 611 | | | | 175,226 | |
Netflix, Inc. (a) | | | 68 | | | | 29,994 | |
Okta, Inc., Class A (a) | | | 20 | | | | 1,378 | |
Palo Alto Networks, Inc. (a) | | | 79 | | | | 20,068 | |
Pinterest, Inc., Class A (a) | | | 159 | | | | 4,343 | |
Roku, Inc., Class A (a) | | | 24 | | | | 1,512 | |
Shopify, Inc., (Canada), Class A (a) | | | 72 | | | | 4,670 | |
Snap, Inc., Class A (a) | | | 283 | | | | 3,353 | |
Uber Technologies, Inc. (a) | | | 1,628 | | | | 70,261 | |
VeriSign, Inc. (a) | | | 11 | | | | 2,420 | |
Zillow Group, Inc., Class C (a) | | | 15 | | | | 779 | |
| | | | | | | | |
| | |
| | | | | | | 1,151,226 | |
| | | | | | | | |
Media — 0.9% | | | | | | | | |
Charter Communications, Inc., Class A (a) | | | 14 | | | | 5,181 | |
Comcast Corp., Class A | | | 637 | | | | 26,451 | |
FactSet Research Systems, Inc. | | | 4 | | | | 1,661 | |
Fox Corp., Class A | | | 52 | | | | 1,754 | |
Fox Corp., Class B | | | 29 | | | | 916 | |
Liberty Broadband Corp., Class C (a) | | | 18 | | | | 1,433 | |
Liberty Global plc, (United Kingdom), Class A (a) | | | 33 | | | | 558 | |
Liberty Global plc, (United Kingdom), Class C (a) | | | 51 | | | | 914 | |
Liberty Media Corp.-Liberty Formula One, Class C (a) | | | 33 | | | | 2,486 | |
Liberty Media Corp.-Liberty SiriusXM, Class C (a) | | | 32 | | | | 1,038 | |
News Corp., Class A | | | 70 | | | | 1,367 | |
Paramount Global, Class B | | | 86 | | | | 1,372 | |
Quebecor, Inc., (Canada), Class B | | | 9 | | | | 232 | |
Sirius XM Holdings, Inc. | | | 167 | | | | 756 | |
Thomson Reuters Corp., (Canada) | | | 9 | | | | 1,272 | |
Walt Disney Co. (The) (a) | | | 277 | | | | 24,768 | |
Warner Bros Discovery, Inc. (a) | | | 363 | | | | 4,553 | |
| | | | | | | | |
| | |
| | | | | | | 76,712 | |
| | | | | | | | |
Telecommunications — 1.8% | | | | | | | | |
Arista Networks, Inc. (a) | | | 56 | | | | 9,067 | |
AT&T, Inc. | | | 1,090 | | | | 17,379 | |
BCE, Inc., (Canada) | | | 4 | | | | 200 | |
Cisco Systems, Inc. | | | 889 | | | | 46,016 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 9 |
Six Circles Managed Equity Portfolio U.S. Unconstrained Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | |
SHARES | | | VALUE ($) | |
Common Stocks — continued | | | | | | | | |
Telecommunications — continued | | | | | | | | |
Corning, Inc. | | | 577 | | | | 20,224 | |
Juniper Networks, Inc. | | | 75 | | | | 2,365 | |
Motorola Solutions, Inc. | | | 36 | | | | 10,460 | |
Rogers Communications, Inc., (Canada), Class B | | | 21 | | | | 977 | |
TELUS Corp., (Canada) | | | 28 | | | | 554 | |
T-Mobile US, Inc. (a) | | | 89 | | | | 12,408 | |
Verizon Communications, Inc. | | | 639 | | | | 23,763 | |
| | | | | | | | |
| | |
| | | | | | | 143,413 | |
| | | | | | | | |
Total Communications | | | | | | | 1,382,327 | |
| | | | | | | | |
Consumer Cyclical — 5.7% | | | | | | | | |
Airlines — 0.0% (g) | | | | | | | | |
Air Canada, (Canada) (a) | | | 11 | | | | 200 | |
Delta Air Lines, Inc. (a) | | | 18 | | | | 867 | |
Southwest Airlines Co. | | | 16 | | | | 594 | |
| | | | | | | | |
| | |
| | | | | | | 1,661 | |
| | | | | | | | |
Apparel — 0.3% | | | | | | | | |
Deckers Outdoor Corp. (a) | | | 3 | | | | 1,642 | |
Gildan Activewear, Inc., (Canada), Class A | | | 11 | | | | 348 | |
NIKE, Inc., Class B | | | 172 | | | | 18,945 | |
VF Corp. | | | 72 | | | | 1,381 | |
| | | | | | | | |
| | |
| | | | | | | 22,316 | |
| | | | | | | | |
Auto Manufacturers — 1.6% | | | | | | | | |
Cummins, Inc. | | | 13 | | | | 3,075 | |
Ford Motor Co. | | | 560 | | | | 8,478 | |
General Motors Co. | | | 199 | | | | 7,686 | |
Lucid Group, Inc. (a) | | | 121 | | | | 832 | |
PACCAR, Inc. | | | 45 | | | | 3,791 | |
Rivian Automotive, Inc., Class A (a) | | | 89 | | | | 1,487 | |
Tesla, Inc. (a) | | | 395 | | | | 103,467 | |
| | | | | | | | |
| | |
| | | | | | | 128,816 | |
| | | | | | | | |
Auto Parts & Equipment — 0.1% | | | | | | | | |
Aptiv plc, (Ireland) (a) | | | 39 | | | | 4,032 | |
BorgWarner, Inc. | | | 41 | | | | 1,993 | |
Lear Corp. | | | 10 | | | | 1,429 | |
Magna International, Inc., (Canada) | | | 16 | | | | 926 | |
| | | | | | | | |
| | |
| | | | | | | 8,380 | |
| | | | | | | | |
Distribution/Wholesale — 0.2% | | | | | | | | |
Copart, Inc. (a) | | | 32 | | | | 2,931 | |
Fastenal Co. | | | 52 | | | | 3,083 | |
Ferguson plc, (United Kingdom) | | | 18 | | | | 2,886 | |
LKQ Corp. | | | 40 | | | | 2,329 | |
Pool Corp. | | | 5 | | | | 1,886 | |
Toromont Industries Ltd., (Canada) | | | 5 | | | | 406 | |
Watsco, Inc. | | | 3 | | | | 1,222 | |
WW Grainger, Inc. | | | 4 | | | | 3,248 | |
| | | | | | | | |
| | |
| | | | | | | 17,991 | |
| | | | | | | | |
Entertainment — 0.1% | | | | | | | | |
Caesars Entertainment, Inc. (a) | | | 30 | | | | 1,515 | |
Live Nation Entertainment, Inc. (a) | | | 26 | | | | 2,338 | |
Vail Resorts, Inc. | | | 6 | | | | 1,611 | |
| | | | | | | | |
| | |
| | | | | | | 5,464 | |
| | | | | | | | |
| | | | | | | | |
| SECURITY DESCRIPTION | |
SHARES | | | VALUE ($) | |
| | | | | | | | |
Food Service — 0.0% (g) | | | | | | | | |
Aramark | | | 35 | | | | 1,525 | |
| | | | | | | | |
| | | | | | | | |
Home Builders — 0.2% | | | | | | | | |
DR Horton, Inc. | | | 40 | | | | 4,902 | |
Lennar Corp., Class A | | | 34 | | | | 4,288 | |
NVR, Inc. (a) | | | — | (h) | | | 2,661 | |
PulteGroup, Inc. | | | 28 | | | | 2,174 | |
| | | | | | | | |
| | |
| | | | | | | 14,025 | |
| | | | | | | | |
Home Furnishings — 0.0% (g) | | | | | | | | |
Whirlpool Corp. | | | 9 | | | | 1,287 | |
| | | | | | | | |
| | | | | | | | |
Leisure Time — 0.1% | | | | | | | | |
BRP, Inc., (Canada) | | | 2 | | | | 186 | |
Carnival Corp. (a) | | | 155 | | | | 2,920 | |
Royal Caribbean Cruises Ltd. (a) | | | 35 | | | | 3,616 | |
| | | | | | | | |
| | |
| | | | | | | 6,722 | |
| | | | | | | | |
Lodging — 0.2% | | | | | | | | |
Hilton Worldwide Holdings, Inc. | | | 39 | | | | 5,618 | |
Hyatt Hotels Corp., Class A | | | 8 | | | | 963 | |
Las Vegas Sands Corp. (a) | | | 44 | | | | 2,563 | |
Marriott International, Inc., Class A | | | 38 | | | | 6,923 | |
MGM Resorts International | | | 48 | | | | 2,116 | |
Wynn Resorts Ltd. | | | 12 | | | | 1,276 | |
| | | | | | | | |
| | |
| | | | | | | 19,459 | |
| | | | | | | | |
Retail — 2.9% | | | | | | | | |
Advance Auto Parts, Inc. | | | 12 | | | | 822 | |
Alimentation Couche-Tard, Inc., (Canada) | | | 47 | | | | 2,432 | |
AutoZone, Inc. (a) | | | 2 | | | | 6,206 | |
Bath & Body Works, Inc. | | | 26 | | | | 992 | |
Best Buy Co., Inc. | | | 31 | | | | 2,537 | |
Burlington Stores, Inc. (a) | | | 9 | | | | 1,401 | |
Canadian Tire Corp. Ltd., (Canada), Class A | | | 3 | | | | 445 | |
CarMax, Inc. (a) | | | 25 | | | | 2,059 | |
Chipotle Mexican Grill, Inc., Class A (a) | | | 4 | | | | 8,094 | |
Costco Wholesale Corp. | | | 37 | | | | 20,044 | |
Darden Restaurants, Inc. | | | 18 | | | | 3,028 | |
Dick’s Sporting Goods, Inc. | | | 10 | | | | 1,294 | |
Dollar General Corp. | | | 18 | | | | 3,063 | |
Dollar Tree, Inc. (a) | | | 18 | | | | 2,642 | |
Dollarama, Inc., (Canada) | | | 17 | | | | 1,166 | |
Domino’s Pizza, Inc. | | | 4 | | | | 1,311 | |
Genuine Parts Co. | | | 21 | | | | 3,488 | |
Home Depot, Inc. (The) | | | 139 | | | | 43,196 | |
Lowe’s Cos., Inc. | | | 81 | | | | 18,334 | |
Lululemon Athletica, Inc., (Canada) (a) | | | 15 | | | | 5,798 | |
McDonald’s Corp. | | | 100 | | | | 29,989 | |
O’Reilly Automotive, Inc. (a) | | | 8 | | | | 8,003 | |
Restaurant Brands International, Inc., (Canada) | | | 18 | | | | 1,383 | |
Ross Stores, Inc. | | | 46 | | | | 5,165 | |
Starbucks Corp. | | | 157 | | | | 15,574 | |
Target Corp. | | | 39 | | | | 5,129 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 10 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | |
SHARES | | | VALUE ($) | |
Common Stocks — continued | | | | | | | | |
Retail — continued | | | | | | | | |
TJX Cos., Inc. (The) | | | 157 | | | | 13,350 | |
Tractor Supply Co. | | | 14 | | | | 3,149 | |
Ulta Beauty, Inc. (a) | | | 7 | | | | 3,130 | |
Walgreens Boots Alliance, Inc. | | | 64 | | | | 1,837 | |
Walmart, Inc. | | | 125 | | | | 19,628 | |
Yum! Brands, Inc. | | | 37 | | | | 5,161 | |
| | | | | | | | |
| | |
| | | | | | | 239,850 | |
| | | | | | | | |
Toys/Games/Hobbies — 0.0% (g) | | | | | | | | |
Hasbro, Inc. | | | 21 | | | | 1,388 | |
| | | | | | | | |
Total Consumer Cyclical | | | | | | | 468,884 | |
| | | | | | | | |
Consumer Non-cyclical — 21.2% | | | | | | | | |
Agriculture — 0.3% | | | | | | | | |
Altria Group, Inc. | | | 153 | | | | 6,931 | |
Archer-Daniels-Midland Co. | | | 49 | | | | 3,693 | |
Bunge Ltd. | | | 14 | | | | 1,356 | |
Cadiz, Inc. (a) | | | 5 | | | | 19 | |
Darling Ingredients, Inc. (a) | | | 10 | | | | 611 | |
Philip Morris International, Inc. | | | 126 | | | | 12,269 | |
| | | | | | | | |
| | |
| | | | | | | 24,879 | |
| | | | | | | | |
Beverages — 1.9% | | | | | | | | |
Brown-Forman Corp., Class B | | | 73 | | | | 4,878 | |
Coca-Cola Co. (The) | | | 1,019 | | | | 61,372 | |
Constellation Brands, Inc., Class A | | | 41 | | | | 10,003 | |
Keurig Dr Pepper, Inc. | | | 232 | | | | 7,264 | |
Molson Coors Beverage Co., Class B | | | 49 | | | | 3,238 | |
Monster Beverage Corp. (a) | | | 192 | | | | 11,033 | |
PepsiCo., Inc. | | | 342 | | | | 63,404 | |
| | | | | | | | |
| | |
| | | | | | | 161,192 | |
| | | | | | | | |
Biotechnology — 1.6% | | | | | | | | |
Alnylam Pharmaceuticals, Inc. (a) | | | 26 | | | | 4,946 | |
Amgen, Inc. | | | 114 | | | | 25,330 | |
Biogen, Inc. (a) | | | 32 | | | | 9,041 | |
BioMarin Pharmaceutical, Inc. (a) | | | 42 | | | | 3,613 | |
Bio-Rad Laboratories, Inc., Class A (a) | | | 5 | | | | 1,747 | |
Corteva, Inc. | | | 64 | | | | 3,648 | |
Gilead Sciences, Inc. | | | 269 | | | | 20,765 | |
Horizon Therapeutics Plc (a) | | | 44 | | | | 4,507 | |
Illumina, Inc. (a) | | | 35 | | | | 6,538 | |
Incyte Corp. (a) | | | 39 | | | | 2,447 | |
Moderna, Inc. (a) | | | 71 | | | | 8,581 | |
Regeneron Pharmaceuticals, Inc. (a) | | | 23 | | | | 16,590 | |
Royalty Pharma plc, Class A | | | 23 | | | | 705 | |
Seagen, Inc. (a) | | | 31 | | | | 5,888 | |
United Therapeutics Corp. (a) | | | 10 | | | | 2,210 | |
Vertex Pharmaceuticals, Inc. (a) | | | 54 | | | | 19,080 | |
| | | | | | | | |
| | |
| | | | | | | 135,636 | |
| | | | | | | | |
Commercial Services — 0.8% | | | | | | | | |
Automatic Data Processing, Inc. | | | 35 | | | | 7,751 | |
Block, Inc., Class A (a) | | | 55 | | | | 3,634 | |
Booz Allen Hamilton Holding Corp., Class A | | | 12 | | | | 1,385 | |
| | | | | | | | |
| SECURITY DESCRIPTION | |
SHARES | | | VALUE ($) | |
| | | | | | | | |
Commercial Services — continued | | | | | | | | |
Cintas Corp. | | | 8 | | | | 4,040 | |
Clarivate plc, (United Kingdom) (a) | | | 22 | | | | 211 | |
CoStar Group, Inc. (a) | | | 32 | | | | 2,817 | |
Element Fleet Management Corp., (Canada) | | | 24 | | | | 364 | |
Equifax, Inc. | | | 11 | | | | 2,611 | |
FleetCor Technologies, Inc. (a) | | | 8 | | | | 1,984 | |
Gartner, Inc. (a) | | | 9 | | | | 3,303 | |
Global Payments, Inc. | | | 27 | | | | 2,631 | |
MarketAxess Holdings, Inc. | | | 3 | | | | 894 | |
Moody’s Corp. | | | 17 | | | | 5,908 | |
Nuvei Corp., (Canada) (a) | | | 4 | | | | 111 | |
Paylocity Holding Corp. (a) | | | 4 | | | | 690 | |
PayPal Holdings, Inc. (a) | | | 109 | | | | 7,285 | |
Quanta Services, Inc. | | | 13 | | | | 2,553 | |
RB Global, Inc., (Canada) | | | 11 | | | | 659 | |
Robert Half International, Inc. | | | 11 | | | | 813 | |
Rollins, Inc. | | | 28 | | | | 1,182 | |
S&P Global, Inc. | | | 33 | | | | 13,247 | |
Toast, Inc., Class A (a) | | | 32 | | | | 726 | |
TransUnion | | | 17 | | | | 1,355 | |
U-Haul Holding Co., Class B | | | 12 | | | | 590 | |
United Rentals, Inc. | | | 6 | | | | 2,796 | |
Verisk Analytics, Inc., Class A | | | 13 | | | | 2,901 | |
| | | | | | | | |
| | |
| | | | | | | 72,441 | |
| | | | | | | | |
Cosmetics/Personal Care — 0.5% | | | | | | | | |
Colgate-Palmolive Co. | | | 63 | | | | 4,868 | |
Estee Lauder Cos., Inc. (The), Class A | | | 19 | | | | 3,771 | |
Procter & Gamble Co. (The) | | | 198 | | | | 29,982 | |
| | | | | | | | |
| | |
| | | | | | | 38,621 | |
| | | | | | | | |
Food — 0.5% | | | | | | | | |
Albertsons Cos., Inc., Class A | | | 34 | | | | 737 | |
Campbell Soup Co. | | | 23 | | | | 1,054 | |
Conagra Brands, Inc. | | | 44 | | | | 1,486 | |
Empire Co. Ltd., (Canada), Class A | | | 9 | | | | 269 | |
General Mills, Inc. | | | 50 | | | | 3,856 | |
George Weston Ltd., (Canada) | | | 4 | | | | 451 | |
Hershey Co. (The) | | | 11 | | | | 2,755 | |
Hormel Foods Corp. | | | 28 | | | | 1,135 | |
J M Smucker Co. (The) | | | 10 | | | | 1,545 | |
Kellogg Co. | | | 25 | | | | 1,702 | |
Kraft Heinz Co. (The) | | | 73 | | | | 2,583 | |
Kroger Co. (The) | | | 61 | | | | 2,847 | |
Lamb Weston Holdings, Inc. | | | 10 | | | | 1,151 | |
Loblaw Cos. Ltd., (Canada) | | | 10 | | | | 887 | |
McCormick & Co., Inc. | | | 19 | | | | 1,638 | |
Metro, Inc., (Canada) | | | 14 | | | | 795 | |
Mondelez International, Inc., Class A | | | 116 | | | | 8,435 | |
Saputo, Inc., (Canada) | | | 15 | | | | 339 | |
Sysco Corp. | | | 43 | | | | 3,201 | |
Tyson Foods, Inc., Class A | | | 27 | | | | 1,380 | |
| | | | | | | | |
| | |
| | | | | | | 38,246 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 11 |
Six Circles Managed Equity Portfolio U.S. Unconstrained Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | |
SHARES | | | VALUE ($) | |
Common Stocks — continued | | | | | | | | |
Healthcare — Products — 3.3% | | | | | | | | |
Abbott Laboratories | | | 145 | | | | 15,809 | |
Align Technology, Inc. (a) | | | 6 | | | | 2,003 | |
Avantor, Inc. (a) | | | 146 | | | | 3,007 | |
Baxter International, Inc. | | | 36 | | | | 1,627 | |
Bio-Techne Corp. | | | 32 | | | | 2,589 | |
Boston Scientific Corp. (a) | | | 115 | | | | 6,237 | |
Cooper Cos., Inc. (The) | | | 3 | | | | 1,288 | |
Danaher Corp. | | | 332 | | | | 79,574 | |
DENTSPLY SIRONA, Inc. | | | 11 | | | | 431 | |
Edwards Lifesciences Corp. (a) | | | 47 | | | | 4,436 | |
Exact Sciences Corp. (a) | | | 38 | | | | 3,578 | |
GE HealthCare Technologies, Inc. | | | 32 | | | | 2,565 | |
Hologic, Inc. (a) | | | 17 | | | | 1,344 | |
IDEXX Laboratories, Inc. (a) | | | 7 | | | | 3,320 | |
Insulet Corp. (a) | | | 5 | | | | 1,567 | |
Intuitive Surgical, Inc. (a) | | | 28 | | | | 9,634 | |
Masimo Corp. (a) | | | 4 | | | | 638 | |
Medtronic plc, (Ireland) | | | 112 | | | | 9,895 | |
Novocure Ltd., (Jersey) (a) | | | 6 | | | | 231 | |
Repligen Corp. (a) | | | 10 | | | | 1,435 | |
ResMed, Inc. | | | 11 | | | | 2,488 | |
Revvity, Inc. | | | 29 | | | | 3,442 | |
STERIS plc | | | 7 | | | | 1,598 | |
Stryker Corp. | | | 28 | | | | 8,460 | |
Teleflex, Inc. | | | 3 | | | | 831 | |
Thermo Fisher Scientific, Inc. | | | 170 | | | | 88,840 | |
Waters Corp. (a) | | | 12 | | | | 3,301 | |
West Pharmaceutical Services, Inc. | | | 16 | | | | 5,947 | |
Zimmer Biomet Holdings, Inc. | | | 19 | | | | 2,748 | |
| | | | | | | | |
| | |
| | | | | | | 268,863 | |
| | | | | | | | |
Healthcare — Services ��� 4.0% | | | | | | | | |
Catalent, Inc. (a) | | | 64 | | | | 2,768 | |
Centene Corp. (a) | | | 47 | | | | 3,193 | |
Charles River Laboratories International, Inc. (a) | | | 12 | | | | 2,472 | |
DaVita, Inc. (a) | | | 5 | | | | 459 | |
Elevance Health, Inc. | | | 20 | | | | 8,907 | |
HCA Healthcare, Inc. | | | 18 | | | | 5,441 | |
Humana, Inc. | | | 11 | | | | 4,766 | |
IQVIA Holdings, Inc. (a) | | | 41 | | | | 9,311 | |
Laboratory Corp. of America Holdings | | | 8 | | | | 1,865 | |
Molina Healthcare, Inc. (a) | | | 4 | | | | 1,155 | |
Quest Diagnostics, Inc. | | | 8 | | | | 1,162 | |
UnitedHealth Group, Inc. | | | 590 | | | | 283,696 | |
Universal Health Services, Inc., Class B | | | 6 | | | | 946 | |
| | | | | | | | |
| | |
| | | | | | | 326,141 | |
| | | | | | | | |
Household Products/Wares — 0.1% | | | | | | | | |
Avery Dennison Corp. | | | 8 | | | | 1,352 | |
Church & Dwight Co., Inc. | | | 19 | | | | 1,920 | |
Clorox Co. (The) | | | 9 | | | | 1,453 | |
Kimberly-Clark Corp. | | | 27 | | | | 3,760 | |
| | | | | | | | |
| | |
| | | | | | | 8,485 | |
| | | | | | | | |
| | | | | | | | |
| SECURITY DESCRIPTION | |
SHARES | | | VALUE ($) | |
| | | | | | | | |
Pharmaceuticals — 8.2% | | | | | | | | |
AbbVie, Inc. | | | 379 | | | | 51,032 | |
AmerisourceBergen Corp. | | | 15 | | | | 2,948 | |
Becton Dickinson & Co. | | | 24 | | | | 6,409 | |
Bristol-Myers Squibb Co. | | | 798 | | | | 51,031 | |
Cardinal Health, Inc. | | | 24 | | | | 2,261 | |
Cigna Group (The) | | | 26 | | | | 7,172 | |
CVS Health Corp. | | | 109 | | | | 7,527 | |
Dexcom, Inc. (a) | | | 31 | | | | 3,927 | |
Eli Lilly & Co. | | | 299 | | | | 140,348 | |
Henry Schein, Inc. (a) | | | 12 | | | | 935 | |
Jazz Pharmaceuticals plc (a) | | | 4 | | | | 440 | |
Johnson & Johnson | | | 986 | | | | 163,176 | |
McKesson Corp. | | | 12 | | | | 5,176 | |
Merck & Co., Inc. | | | 964 | | | | 111,183 | |
Neurocrine Biosciences, Inc. (a) | | | 18 | | | | 1,714 | |
Organon & Co. | | | 75 | | | | 1,570 | |
Pfizer, Inc. | | | 2,146 | | | | 78,713 | |
Viatris, Inc. | | | 464 | | | | 4,635 | |
Zoetis, Inc., Class A | | | 174 | | | | 29,924 | |
| | | | | | | | |
| | |
| | | | | | | 670,121 | |
| | | | | | | | |
Total Consumer Non-cyclical | | | | | | | 1,744,625 | |
| | | | | | | | |
Energy — 5.8% | | | | | | | | |
Coal — 0.0% (g) | | | | | | | | |
Teck Resources Ltd., (Canada), Class B | | | 28 | | | | 1,157 | |
| | | | | | | | |
| | | | | | | | |
Energy — Alternate Sources — 0.1% | | | | | | | | |
Enphase Energy, Inc. (a) | | | 22 | | | | 3,654 | |
First Solar, Inc. (a) | | | 18 | | | | 3,441 | |
Montauk Renewables, Inc. (a) | | | 6 | | | | 42 | |
NextEra Energy Partners LP | | | 10 | | | | 611 | |
SolarEdge Technologies, Inc., (Israel) (a) | | | 9 | | | | 2,445 | |
Spruce Power Holding Corp. (a) | | | 15 | | | | 12 | |
Sunnova Energy International, Inc. (a) | | | 13 | | | | 229 | |
| | | | | | | | |
| | |
| | | | | | | 10,434 | |
| | | | | | | | |
Oil & Gas — 4.0% | | | | | | | | |
APA Corp. | | | 69 | | | | 2,364 | |
ARC Resources Ltd., (Canada) | | | 37 | | | | 489 | |
Canadian Natural Resources Ltd., (Canada) | | | 67 | | | | 3,757 | |
Cenovus Energy, Inc., (Canada) | | | 86 | | | | 1,467 | |
Chesapeake Energy Corp. | | | 29 | | | | 2,435 | |
Chevron Corp. | | | 428 | | | | 67,422 | |
ConocoPhillips | | | 289 | | | | 29,994 | |
Coterra Energy, Inc. | | | 192 | | | | 4,846 | |
Devon Energy Corp. | | | 162 | | | | 7,831 | |
Diamondback Energy, Inc. | | | 43 | | | | 5,667 | |
EOG Resources, Inc. | | | 141 | | | | 16,112 | |
EQT Corp. | | | 85 | | | | 3,476 | |
Exxon Mobil Corp. | | | 967 | | | | 103,747 | |
Hess Corp. | | | 63 | | | | 8,632 | |
HF Sinclair Corp. | | | 39 | | | | 1,750 | |
Imperial Oil Ltd., (Canada) | | | 12 | | | | 633 | |
Marathon Oil Corp. | | | 159 | | | | 3,656 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 12 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | |
SHARES | | | VALUE ($) | |
Common Stocks — continued | | | | | | | | |
Oil & Gas — continued | | | | | | | | |
Marathon Petroleum Corp. | | | 107 | | | | 12,498 | |
Occidental Petroleum Corp. | | | 173 | | | | 10,164 | |
Ovintiv, Inc. | | | 63 | | | | 2,388 | |
Parkland Corp., (Canada) | | | 8 | | | | 210 | |
Phillips 66 | | | 112 | | | | 10,645 | |
Pioneer Natural Resources Co. | | | 56 | | | | 11,617 | |
Suncor Energy, Inc., (Canada) | | | 80 | | | | 2,357 | |
Texas Pacific Land Corp. | | | 1 | | | | 1,951 | |
Tourmaline Oil Corp., (Canada) | | | 19 | | | | 915 | |
Valero Energy Corp. | | | 86 | | | | 10,094 | |
| | | | | | | | |
| | |
| | | | | | | 327,117 | |
| | | | | | | | |
Oil & Gas Services — 1.2% | | | | | | | | |
Baker Hughes Co., Class A | | | 242 | | | | 7,646 | |
Halliburton Co. | | | 219 | | | | 7,218 | |
Schlumberger NV | | | 1,655 | | | | 81,282 | |
| | | | | | | | |
| | |
| | | | | | | 96,146 | |
| | | | | | | | |
Pipelines — 0.5% | | | | | | | | |
Cheniere Energy, Inc. | | | 56 | | | | 8,595 | |
Enbridge, Inc., (Canada) | | | 122 | | | | 4,543 | |
Keyera Corp., (Canada) | | | 14 | | | | 318 | |
Kinder Morgan, Inc. | | | 478 | | | | 8,235 | |
ONEOK, Inc. | | | 103 | | | | 6,331 | |
Pembina Pipeline Corp., (Canada) | | | 33 | | | | 1,044 | |
Targa Resources Corp. | | | 49 | | | | 3,707 | |
TC Energy Corp., (Canada) | | | 61 | | | | 2,483 | |
Williams Cos., Inc. (The) | | | 283 | | | | 9,232 | |
| | | | | | | | |
| | |
| | | | | | | 44,488 | |
| | | | | | | | |
Total Energy | | | | | | | 479,342 | |
| | | | | | | | |
Financial — 9.6% | | | | | | | | |
Banks — 3.4% | | | | | | | | |
Bank of America Corp. | | | 3,795 | | | | 108,874 | |
Bank of Montreal, (Canada) | | | 43 | | | | 3,869 | |
Bank of New York Mellon Corp. (The) | | | 87 | | | | 3,867 | |
Bank of Nova Scotia (The), (Canada) | | | 72 | | | | 3,599 | |
Canadian Imperial Bank of Commerce, (Canada) | | | 55 | | | | 2,335 | |
Citigroup, Inc. | | | 199 | | | | 9,159 | |
Citizens Financial Group, Inc. | | | 61 | | | | 1,593 | |
Fifth Third Bancorp | | | 82 | | | | 2,159 | |
First Citizens BancShares, Inc., Class A | | | 1 | | | | 1,670 | |
First Horizon Corp. | | | 64 | | | | 720 | |
Goldman Sachs Group, Inc. (The) | | | 34 | | | | 10,913 | |
Huntington Bancshares, Inc. | | | 174 | | | | 1,872 | |
KeyCorp. | | | 131 | | | | 1,210 | |
M&T Bank Corp. | | | 19 | | | | 2,344 | |
Morgan Stanley | | | 796 | | | | 68,006 | |
National Bank of Canada, (Canada) | | | 20 | | | | 1,518 | |
Northern Trust Corp. | | | 24 | | | | 1,749 | |
PNC Financial Services Group, Inc. (The) | | | 43 | | | | 5,356 | |
Regions Financial Corp. | | | 110 | | | | 1,969 | |
Royal Bank of Canada, (Canada) | | | 84 | | | | 7,988 | |
State Street Corp. | | | 38 | | | | 2,805 | |
| | | | | | | | |
| SECURITY DESCRIPTION | |
SHARES | | | VALUE ($) | |
| | | | | | | | |
Banks — continued | | | | | | | | |
Toronto-Dominion Bank (The), (Canada) | | | 110 | | | | 6,814 | |
Truist Financial Corp. | | | 144 | | | | 4,371 | |
US Bancorp | | | 164 | | | | 5,405 | |
Webster Financial Corp. | | | 29 | | | | 1,090 | |
Wells Fargo & Co. | | | 377 | | | | 16,070 | |
| | | | | | | | |
| | |
| | | | | | | 277,325 | |
| | | | | | | | |
Diversified Financial Services — 2.5% | | | | | | | | |
Ally Financial, Inc. | | | 32 | | | | 870 | |
American Express Co. | | | 64 | | | | 11,173 | |
Ameriprise Financial, Inc. | | | 11 | | | | 3,712 | |
Apollo Global Management, Inc. | | | 42 | | | | 3,200 | |
BlackRock, Inc., Class A | | | 2 | | | | 1,306 | |
Brookfield Asset Management Ltd., (Canada), Class A | | | 21 | | | | 691 | |
Capital One Financial Corp. | | | 41 | | | | 4,530 | |
Cboe Global Markets, Inc. | | | 10 | | | | 1,424 | |
Charles Schwab Corp. (The) | | | 153 | | | | 8,684 | |
CME Group, Inc., Class A | | | 38 | | | | 6,961 | |
Coinbase Global, Inc., Class A (a) | | | 18 | | | | 1,275 | |
Discover Financial Services | | | 28 | | | | 3,242 | |
Franklin Resources, Inc. | | | 34 | | | | 921 | |
IGM Financial, Inc., (Canada) | | | 5 | | | | 155 | |
Intercontinental Exchange, Inc. | | | 59 | | | | 6,712 | |
Invesco Ltd. | | | 46 | | | | 767 | |
LPL Financial Holdings, Inc. | | | 9 | | | | 2,007 | |
Mastercard, Inc., Class A | | | 159 | | | | 62,465 | |
Nasdaq, Inc. | | | 41 | | | | 2,051 | |
Raymond James Financial, Inc. | | | 25 | | | | 2,573 | |
SEI Investments Co. | | | 17 | | | | 1,010 | |
Synchrony Financial | | | 56 | | | | 1,896 | |
T Rowe Price Group, Inc. | | | 25 | | | | 2,854 | |
TMX Group Ltd., (Canada) | | | 17 | | | | 376 | |
Tradeweb Markets, Inc., Class A | | | 16 | | | | 1,079 | |
Visa, Inc., Class A | | | 306 | | | | 72,688 | |
| | | | | | | | |
| | |
| | | | | | | 204,622 | |
| | | | | | | | |
Insurance — 1.7% | | | | | | | | |
Aflac, Inc. | | | 63 | | | | 4,422 | |
Allstate Corp. (The) | | | 29 | | | | 3,110 | |
American Financial Group, Inc. | | | 8 | | | | 997 | |
American International Group, Inc. | | | 74 | | | | 4,241 | |
Aon plc, Class A | | | 21 | | | | 7,262 | |
Arch Capital Group Ltd., (Bermuda) (a) | | | 42 | | | | 3,110 | |
Arthur J Gallagher & Co. | | | 22 | | | | 4,931 | |
Assurant, Inc. | | | 6 | | | | 730 | |
Berkshire Hathaway, Inc., Class B (a) | | | 129 | | | | 43,949 | |
Brown & Brown, Inc. | | | 28 | | | | 1,931 | |
Chubb Ltd., (Switzerland) | | | 41 | | | | 7,890 | |
Cincinnati Financial Corp. | | | 17 | | | | 1,650 | |
Equitable Holdings, Inc. | | | 35 | | | | 943 | |
Erie Indemnity Co., Class A | | | 4 | | | | 933 | |
Everest Re Group Ltd., (Bermuda) | | | 5 | | | | 1,736 | |
Fairfax Financial Holdings Ltd., (Canada) | | | 1 | | | | 1,021 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 13 |
Six Circles Managed Equity Portfolio U.S. Unconstrained Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | |
SHARES | | | VALUE ($) | |
Common Stocks — continued | | | | | | | | |
Insurance — continued | | | | | | | | |
Fidelity National Financial, Inc. | | | 23 | | | | 844 | |
Globe Life, Inc. | | | 12 | | | | 1,364 | |
Great-West Lifeco, Inc., (Canada) | | | 17 | | | | 492 | |
Hartford Financial Services Group, Inc. (The) | | | 35 | | | | 2,508 | |
iA Financial Corp., Inc., (Canada) | | | 6 | | | | 428 | |
Intact Financial Corp., (Canada) | | | 11 | | | | 1,633 | |
Loews Corp. | | | 26 | | | | 1,568 | |
Manulife Financial Corp., (Canada) | | | 112 | | | | 2,111 | |
Markel Group, Inc. (a) | | | 1 | | | | 1,867 | |
Marsh & McLennan Cos., Inc. | | | 51 | | | | 9,528 | |
MetLife, Inc. | | | 73 | | | | 4,108 | |
Power Corp. of Canada, (Canada) | | | 35 | | | | 944 | |
Principal Financial Group, Inc. | | | 30 | | | | 2,240 | |
Progressive Corp. (The) | | | 60 | | | | 7,988 | |
Prudential Financial, Inc. | | | 36 | | | | 3,219 | |
Sun Life Financial, Inc., (Canada) | | | 35 | | | | 1,846 | |
Travelers Cos., Inc. (The) | | | 23 | | | | 3,910 | |
Willis Towers Watson plc, (United Kingdom) | | | 10 | | | | 2,368 | |
WR Berkley Corp. | | | 26 | | | | 1,530 | |
| | | | | | | | |
| | |
| | | | | | | 139,352 | |
| | | | | | | | |
Private Equity — 0.2% | | | | | | | | |
Ares Management Corp., Class A | | | 19 | | | | 1,813 | |
Blackstone, Inc. | | | 113 | | | | 10,533 | |
Brookfield Corp., (Canada) | | | 85 | | | | 2,864 | |
Carlyle Group, Inc. (The) | | | 31 | | | | 985 | |
KKR & Co., Inc. | | | 61 | | | | 3,414 | |
Onex Corp., (Canada) | | | 4 | | | | 227 | |
| | | | | | | | |
| | |
| | | | | | | 19,836 | |
| | | | | | | | |
Real Estate — 0.0% (g) | | | | | | | | |
CBRE Group, Inc., Class A (a) | | | 27 | | | | 2,191 | |
FirstService Corp., (Canada) | | | 2 | | | | 370 | |
| | | | | | | | |
| | |
| | | | | | | 2,561 | |
| | | | | | | | |
REITS — 1.8% | | | | | | | | |
Alexandria Real Estate Equities, Inc. | | | 13 | | | | 1,479 | |
American Homes 4 Rent, Class A | | | 24 | | | | 838 | |
American Tower Corp. | | | 390 | | | | 75,675 | |
Annaly Capital Management, Inc. | | | 54 | | | | 1,077 | |
AvalonBay Communities, Inc. | | | 11 | | | | 2,128 | |
Boston Properties, Inc. | | | 16 | | | | 933 | |
Camden Property Trust | | | 7 | | | | 816 | |
Canadian Apartment Properties REIT, (Canada) | | | 5 | | | | 192 | |
Crown Castle, Inc. | | | 35 | | | | 4,036 | |
Digital Realty Trust, Inc. | | | 23 | | | | 2,569 | |
Equinix, Inc. | | | 8 | | | | 5,940 | |
Equity LifeStyle Properties, Inc. | | | 13 | | | | 883 | |
Equity Residential | | | 33 | | | | 2,205 | |
Essex Property Trust, Inc. | | | 5 | | | | 1,130 | |
Extra Space Storage, Inc. | | | 10 | | | | 1,533 | |
Gaming and Leisure Properties, Inc. | | | 19 | | | | 935 | |
Healthcare Realty Trust, Inc., Class A | | | 21 | | | | 392 | |
Healthpeak Properties, Inc. | | | 54 | | | | 1,079 | |
Host Hotels & Resorts, Inc. | | | 71 | | | | 1,195 | |
| | | | | | | | |
| SECURITY DESCRIPTION | |
SHARES | | | VALUE ($) | |
| | | | | | | | |
REITS — continued | | | | | | | | |
Invitation Homes, Inc. | | | 45 | | | | 1,539 | |
Iron Mountain, Inc. | | | 20 | | | | 1,161 | |
Kimco Realty Corp. | | | 51 | | | | 1,004 | |
Mid-America Apartment Communities, Inc. | | | 8 | | | | 1,177 | |
Prologis, Inc. | | | 75 | | | | 9,152 | |
Public Storage | | | 12 | | | | 3,551 | |
Realty Income Corp. | | | 50 | | | | 2,989 | |
Regency Centers Corp. | | | 11 | | | | 696 | |
RioCan Real Estate Investment Trust, (Canada) | | | 9 | | | | 127 | |
SBA Communications Corp., Class A | | | 8 | | | | 1,938 | |
Simon Property Group, Inc. | | | 27 | | | | 3,155 | |
Sun Communities, Inc. | | | 9 | | | | 1,123 | |
UDR, Inc. | | | 23 | | | | 997 | |
Ventas, Inc. | | | 38 | | | | 1,774 | |
VICI Properties, Inc., Class A | | | 75 | | | | 2,361 | |
Welltower, Inc. | | | 42 | | | | 3,432 | |
Weyerhaeuser Co. | | | 70 | | | | 2,352 | |
WP Carey, Inc. | | | 15 | | | | 997 | |
| | | | | | | | |
| | |
| | | | | | | 144,560 | |
| | | | | | | | |
Total Financial | | | | | | | 788,256 | |
| | | | | | | | |
Industrial — 7.3% | | | | | | | | |
Aerospace/Defense — 0.6% | | | | | | | | |
Boeing Co. (The) (a) | | | 48 | | | | 10,117 | |
CAE, Inc., (Canada) (a) | | | 19 | | | | 432 | |
General Dynamics Corp. | | | 21 | | | | 4,420 | |
HEICO Corp. | | | 2 | | | | 385 | |
HEICO Corp., Class A | | | 4 | | | | 542 | |
Howmet Aerospace, Inc. | | | 38 | | | | 1,863 | |
L3Harris Technologies, Inc. | | | 17 | | | | 3,262 | |
Lockheed Martin Corp. | | | 19 | | | | 8,890 | |
Northrop Grumman Corp. | | | 13 | | | | 5,779 | |
Raytheon Technologies Corp. | | | 123 | | | | 12,014 | |
TransDigm Group, Inc. | | | 4 | | | | 3,744 | |
| | | | | | | | |
| | |
| | | | | | | 51,448 | |
| | | | | | | | |
Building Materials — 0.3% | | | | | | | | |
Builders FirstSource, Inc. (a) | | | 14 | | | | 1,892 | |
Carrier Global Corp. | | | 75 | | | | 3,725 | |
Fortune Brands Innovations, Inc. | | | 12 | | | | 869 | |
Johnson Controls International plc | | | 61 | | | | 4,156 | |
Lennox International, Inc. | | | 3 | | | | 872 | |
Martin Marietta Materials, Inc. | | | 5 | | | | 2,476 | |
Masco Corp. | | | 19 | | | | 1,095 | |
Mohawk Industries, Inc. (a) | | | 8 | | | | 875 | |
Owens Corning | | | 10 | | | | 1,269 | |
Trane Technologies plc, (Ireland) | | | 20 | | | | 3,803 | |
Vulcan Materials Co. | | | 12 | | | | 2,710 | |
West Fraser Timber Co. Ltd., (Canada) | | | 3 | | | | 295 | |
| | | | | | | | |
| | |
| | | | | | | 24,037 | |
| | | | | | | | |
Electrical Components & Equipment — 0.1% | | | | | | | | |
AMETEK, Inc. | | | 20 | | | | 3,280 | |
Emerson Electric Co. | | | 50 | | | | 4,549 | |
Generac Holdings, Inc. (a) | | | 5 | | | | 803 | |
| | | | | | | | |
| | |
| | | | | | | 8,632 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 14 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | |
SHARES | | | VALUE ($) | |
Common Stocks — continued | | | | | | | | |
Electronics — 1.7% | | | | | | | | |
Agilent Technologies, Inc. | | | 66 | | | | 7,931 | |
Allegion plc, (Ireland) | | | 5 | | | | 576 | |
Amphenol Corp., Class A | | | 424 | | | | 35,977 | |
Arrow Electronics, Inc. (a) | | | 43 | | | | 6,112 | |
Fortive Corp. | | | 33 | | | | 2,490 | |
Garmin Ltd., (Switzerland) | | | 21 | | | | 2,212 | |
Honeywell International, Inc. | | | 56 | | | | 11,605 | |
Hubbell, Inc., Class B | | | 5 | | | | 1,783 | |
Keysight Technologies, Inc. (a) | | | 125 | | | | 20,949 | |
Mettler-Toledo International, Inc. (a) | | | 5 | | | | 6,072 | |
Sensata Technologies Holding plc | | | 14 | | | | 634 | |
TE Connectivity Ltd. | | | 227 | | | | 31,748 | |
Trimble, Inc. (a) | | | 171 | | | | 9,066 | |
| | | | | | | | |
| | |
| | | | | | | 137,155 | |
| | | | | | | | |
Engineering & Construction — 0.0% (g) | | | | | | | | |
AECOM | | | 12 | | | | 1,028 | |
Jacobs Solutions, Inc. | | | 12 | | | | 1,435 | |
Star Group LP | | | 4 | | | | 51 | |
WSP Global, Inc., (Canada) | | | 8 | | | | 993 | |
| | | | | | | | |
| | |
| | | | | | | 3,507 | |
| | | | | | | | |
Environmental Control — 0.2% | | | | | | | | |
GFL Environmental, Inc., (Canada) | | | 14 | | | | 546 | |
Pentair plc, (United Kingdom) | | | 9 | | | | 567 | |
Pure Cycle Corp. (a) | | | 3 | | | | 31 | |
Republic Services, Inc., Class A | | | 20 | | | | 3,107 | |
Waste Connections, Inc., (Canada) | | | 23 | | | | 3,238 | |
Waste Management, Inc. | | | 36 | | | | 6,174 | |
| | | | | | | | |
| | |
| | | | | | | 13,663 | |
| | | | | | | | |
Hand/Machine Tools — 0.0% (g) | | | | | | | | |
Snap-on, Inc. | | | 5 | | | | 1,387 | |
Stanley Black & Decker, Inc. | | | 16 | | | | 1,503 | |
| | | | | | | | |
| | |
| | | | | | | 2,890 | |
| | | | | | | | |
Machinery — Construction & Mining — 0.1% | | | | | | | | |
Caterpillar, Inc. | | | 43 | | | | 10,690 | |
| | | | | | | | |
| | | | | | | | |
Machinery — Diversified — 0.5% | | | | | | | | |
Cognex Corp. | | | 119 | | | | 6,687 | |
Deere & Co. | | | 24 | | | | 9,636 | |
Dover Corp. | | | 14 | | | | 2,006 | |
Graco, Inc. | | | 14 | | | | 1,169 | |
IDEX Corp. | | | 6 | | | | 1,295 | |
Ingersoll Rand, Inc. | | | 37 | | | | 2,429 | |
Nordson Corp. | | | 4 | | | | 1,045 | |
Otis Worldwide Corp. | | | 32 | | | | 2,891 | |
Rockwell Automation, Inc. | | | 10 | | | | 3,418 | |
Toro Co. (The) | | | 9 | | | | 936 | |
Westinghouse Air Brake Technologies Corp. | | | 18 | | | | 1,962 | |
Xylem, Inc. | | | 22 | | | | 2,505 | |
| | | | | | | | |
| | |
| | | | | | | 35,979 | |
| | | | | | | | |
| | | | | | | | |
| SECURITY DESCRIPTION | |
SHARES | | | VALUE ($) | |
| | | | | | | | |
Miscellaneous Manufacturers — 0.6% | | | | | | | | |
3M Co. | | | 47 | | | | 4,675 | |
AO Smith Corp. | | | 13 | | | | 940 | |
Axon Enterprise, Inc. (a) | | | 5 | | | | 956 | |
Carlisle Cos., Inc. | | | 5 | | | | 1,162 | |
Eaton Corp. plc | | | 34 | | | | 6,903 | |
General Electric Co. | | | 92 | | | | 10,105 | |
Illinois Tool Works, Inc. | | | 26 | | | | 6,403 | |
Parker-Hannifin Corp. | | | 11 | | | | 4,135 | |
Teledyne Technologies, Inc. (a) | | | 33 | | | | 13,516 | |
Textron, Inc. | | | 22 | | | | 1,456 | |
| | | | | | | | |
| | |
| | | | | | | 50,251 | |
| | | | | | | | |
Packaging & Containers — 0.1% | | | | | | | | |
Amcor plc, (United Kingdom) | | | 141 | | | | 1,404 | |
Ball Corp. | | | 31 | | | | 1,783 | |
CCL Industries, Inc., (Canada), Class B | | | 9 | | | | 444 | |
Crown Holdings, Inc. | | | 12 | | | | 1,009 | |
Packaging Corp. of America | | | 10 | | | | 1,304 | |
Sealed Air Corp. | | | 14 | | | | 569 | |
Westrock Co. | | | 24 | | | | 711 | |
| | | | | | | | |
| | |
| | | | | | | 7,224 | |
| | | | | | | | |
Shipbuilding — 0.0% (g) | | | | | | | | |
Huntington Ingalls Industries, Inc. | | | 5 | | | | 1,083 | |
| | | | | | | | |
Transportation — 3.1% | | | | | | | | |
Canadian National Railway Co., (Canada) | | | 34 | | | | 4,153 | |
Canadian Pacific Kansas City Ltd., (Canada) | | | 56 | | | | 4,538 | |
CH Robinson Worldwide, Inc. | | | 104 | | | | 9,828 | |
CSX Corp. | | | 179 | | | | 6,114 | |
Expeditors International of Washington, Inc. | | | 138 | | | | 16,702 | |
FedEx Corp. | | | 206 | | | | 51,017 | |
JB Hunt Transport Services, Inc. | | | 9 | | | | 1,564 | |
Knight-Swift Transportation Holdings, Inc., Class A | | | 19 | | | | 1,062 | |
Norfolk Southern Corp. | | | 20 | | | | 4,543 | |
Old Dominion Freight Line, Inc. | | | 9 | | | | 3,323 | |
TFI International, Inc., (Canada) | | | 5 | | | | 533 | |
Union Pacific Corp. | | | 51 | | | | 10,521 | |
United Parcel Service, Inc., Class B | | | 769 | | | | 137,807 | |
| | | | | | | | |
| | |
| | | | | | | 251,705 | |
| | | | | | | | |
Total Industrial | | | | | | | 598,264 | |
| | | | | | | | |
Technology — 29.1% | | | | | | | | |
Computers — 9.3% | | | | | | | | |
Accenture plc, (Ireland), Class A | | | 81 | | | | 24,887 | |
Apple, Inc. | | | 3,413 | | | | 662,003 | |
CGI, Inc., (Canada), Class A (a) | | | 13 | | | | 1,347 | |
Cognizant Technology Solutions Corp., Class A | | | 69 | | | | 4,480 | |
Crowdstrike Holdings, Inc., Class A (a) | | | 58 | | | | 8,504 | |
Dell Technologies, Inc., Class C | | | 58 | | | | 3,158 | |
EPAM Systems, Inc. (a) | | | 7 | | | | 1,683 | |
Fortinet, Inc. (a) | | | 170 | | | | 12,853 | |
Hewlett Packard Enterprise Co. | | | 293 | | | | 4,921 | |
HP, Inc. | | | 198 | | | | 6,074 | |
International Business Machines Corp. | | | 116 | | | | 15,458 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 15 |
Six Circles Managed Equity Portfolio U.S. Unconstrained Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | |
SHARES | | | VALUE ($) | |
Common Stocks — continued | | | | | | | | |
Computers — continued | | | | | | | | |
Leidos Holdings, Inc. | | | 14 | | | | 1,276 | |
NetApp, Inc. | | | 47 | | | | 3,629 | |
Seagate Technology Holdings plc | | | 43 | | | | 2,649 | |
Western Digital Corp. (a) | | | 72 | | | | 2,743 | |
Zscaler, Inc. (a) | | | 21 | | | | 3,104 | |
| | | | | | | | |
| | |
| | | | | | | 758,769 | |
| | | | | | | | |
Office/Business Equipment — 0.1% | | | | | | | | |
Zebra Technologies Corp., Class A (a) | | | 36 | | | | 10,756 | |
| | | | | | | | |
Semiconductors — 6.6% | | | | | | | | |
Advanced Micro Devices, Inc. (a) | | | 278 | | | | 31,672 | |
Analog Devices, Inc. | | | 88 | | | | 17,182 | |
Applied Materials, Inc. | | | 147 | | | | 21,221 | |
Broadcom, Inc. | | | 72 | | | | 62,593 | |
Entegris, Inc. | | | 25 | | | | 2,801 | |
Intel Corp. | | | 726 | | | | 24,263 | |
KLA Corp. | | | 24 | | | | 11,458 | |
Lam Research Corp. | | | 23 | | | | 14,949 | |
Lattice Semiconductor Corp. (a) | | | 21 | | | | 2,049 | |
Marvell Technology, Inc. | | | 145 | | | | 8,651 | |
Microchip Technology, Inc. | | | 96 | | | | 8,567 | |
Micron Technology, Inc. | | | 193 | | | | 12,198 | |
Monolithic Power Systems, Inc. | | | 7 | | | | 3,957 | |
NVIDIA Corp. | | | 572 | | | | 242,066 | |
NXP Semiconductors NV, (Netherlands) | | | 44 | | | | 8,970 | |
ON Semiconductor Corp. (a) | | | 75 | | | | 7,081 | |
Qorvo, Inc. (a) | | | 18 | | | | 1,881 | |
QUALCOMM, Inc. | | | 193 | | | | 22,997 | |
Skyworks Solutions, Inc. | | | 30 | | | | 3,334 | |
Teradyne, Inc. | | | 25 | | | | 2,784 | |
Texas Instruments, Inc. | | | 155 | | | | 27,960 | |
Wolfspeed, Inc. (a) | | | 19 | | | | 1,081 | |
| | | | | | | | |
| | |
| | | | | | | 539,715 | |
| | | | | | | | |
Software — 13.1% | | | | | | | | |
Activision Blizzard, Inc. (a) | | | 116 | | | | 9,818 | |
Adobe, Inc. (a) | | | 119 | | | | 58,391 | |
Akamai Technologies, Inc. (a) | | | 23 | | | | 2,096 | |
ANSYS, Inc. (a) | | | 23 | | | | 7,562 | |
Aspen Technology, Inc. (a) | | | 7 | | | | 1,151 | |
Atlassian Corp., (Australia), Class A (a) | | | 39 | | | | 6,597 | |
Autodesk, Inc. (a) | | | 55 | | | | 11,291 | |
Bentley Systems, Inc., Class B | | | 54 | | | | 2,907 | |
BILL Holdings, Inc. (a) | | | 24 | | | | 2,770 | |
Black Knight, Inc. (a) | | | 41 | | | | 2,420 | |
Broadridge Financial Solutions, Inc. | | | 11 | | | | 1,780 | |
Cadence Design Systems, Inc. (a) | | | 71 | | | | 16,736 | |
Ceridian HCM Holding, Inc. (a) | | | 17 | | | | 1,133 | |
Cloudflare, Inc., Class A (a) | | | 32 | | | | 2,080 | |
Constellation Software, Inc., (Canada) | | | 1 | | | | 2,517 | |
Datadog, Inc., Class A (a) | | | 65 | | | | 6,403 | |
Descartes Systems Group, Inc. (The), (Canada) (a) | | | 5 | | | | 408 | |
| | | | | | | | |
| SECURITY DESCRIPTION | |
SHARES | | | VALUE ($) | |
| | | | | | | | |
Software — continued | | | | | | | | |
DocuSign, Inc., Class A (a) | | | 57 | | | | 2,890 | |
Dropbox, Inc., Class A (a) | | | 60 | | | | 1,596 | |
Dynatrace, Inc. (a) | | | 56 | | | | 2,889 | |
Electronic Arts, Inc. | | | 44 | | | | 5,657 | |
Fair Isaac Corp. (a) | | | 6 | | | | 5,111 | |
Fidelity National Information Services, Inc. | | | 61 | | | | 3,353 | |
Fiserv, Inc. (a) | | | 63 | | | | 7,983 | |
HubSpot, Inc. (a) | | | 12 | | | | 6,602 | |
Intuit, Inc. | | | 73 | | | | 33,478 | |
Jack Henry & Associates, Inc. | | | 7 | | | | 1,217 | |
Microsoft Corp. | | | 1,833 | | | | 624,320 | |
MongoDB, Inc., Class A (a) | | | 9 | | | | 3,561 | |
MSCI, Inc., Class A | | | 8 | | | | 3,932 | |
Open Text Corp., (Canada) | | | 16 | | | | 680 | |
Oracle Corp. | | | 422 | | | | 50,305 | |
Palantir Technologies, Inc., Class A (a) | | | 465 | | | | 7,126 | |
Paychex, Inc. | | | 29 | | | | 3,275 | |
Paycom Software, Inc. | | | 5 | | | | 1,595 | |
PTC, Inc. (a) | | | 27 | | | | 3,906 | |
ROBLOX Corp., Class A (a) | | | 64 | | | | 2,575 | |
Roper Technologies, Inc. | | | 28 | | | | 13,499 | |
Salesforce, Inc. (a) | | | 261 | | | | 55,064 | |
ServiceNow, Inc. (a) | | | 53 | | | | 29,858 | |
Snowflake, Inc., Class A (a) | | | 34 | | | | 5,927 | |
Splunk, Inc. (a) | | | 39 | | | | 4,097 | |
SS&C Technologies Holdings, Inc. | | | 24 | | | | 1,446 | |
Synopsys, Inc. (a) | | | 40 | | | | 17,332 | |
Take-Two Interactive Software, Inc. (a) | | | 26 | | | | 3,815 | |
Twilio, Inc., Class A (a) | | | 24 | | | | 1,521 | |
Tyler Technologies, Inc. (a) | | | 11 | | | | 4,579 | |
UiPath, Inc., Class A (a) | | | 95 | | | | 1,578 | |
Unity Software, Inc. (a) | | | 55 | | | | 2,405 | |
Veeva Systems, Inc., Class A (a) | | | 12 | | | | 2,282 | |
VMware, Inc., Class A (a) | | | 61 | | | | 8,762 | |
Workday, Inc., Class A (a) | | | 54 | | | | 12,102 | |
Zoom Video Communications, Inc., Class A (a) | | | 64 | | | | 4,322 | |
ZoomInfo Technologies, Inc., Class A (a) | | | 78 | | | | 1,993 | |
| | | | | | | | |
| | |
| | | | | | | 1,078,693 | |
| | | | | | | | |
Total Technology | | | | | | | 2,387,933 | |
| | | | | | | | |
Utilities — 2.6% | | | | | | | | |
Electric — 2.4% | | | | | | | | |
AES Corp. (The) | | | 130 | | | | 2,699 | |
Algonquin Power & Utilities Corp., (Canada) | | | 41 | | | | 339 | |
ALLETE, Inc. | | | 7 | | | | 399 | |
Alliant Energy Corp. | | | 48 | | | | 2,534 | |
Altus Power, Inc., Class A (a) | | | 7 | | | | 39 | |
Ameren Corp. | | | 52 | | | | 4,230 | |
American Electric Power Co., Inc. | | | 108 | | | | 9,059 | |
Avangrid, Inc. | | | 9 | | | | 354 | |
Avista Corp. | | | 8 | | | | 307 | |
Black Hills Corp. | | | 8 | | | | 479 | |
Brookfield Renewable Corp., Class A | | | 8 | | | | 247 | |
CenterPoint Energy, Inc. | | | 120 | | | | 3,509 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 16 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | |
SHARES | | | VALUE ($) | |
Common Stocks — continued | | | | | | | | |
Electric — continued | | | | | | | | |
Clearway Energy, Inc., Class A | | | 4 | | | | 106 | |
Clearway Energy, Inc., Class C | | | 10 | | | | 284 | |
CMS Energy Corp. | | | 56 | | | | 3,266 | |
Consolidated Edison, Inc. | | | 73 | | | | 6,630 | |
Constellation Energy Corp. | | | 70 | | | | 6,394 | |
Dominion Energy, Inc. | | | 175 | | | | 9,089 | |
DTE Energy Co. | | | 41 | | | | 4,469 | |
Duke Energy Corp. | | | 160 | | | | 14,347 | |
Edison International | | | 78 | | | | 5,402 | |
Emera, Inc., (Canada) | | | 16 | | | | 675 | |
Entergy Corp. | | | 44 | | | | 4,327 | |
Evergy, Inc. | | | 46 | | | | 2,659 | |
Eversource Energy | | | 68 | | | | 4,796 | |
Exelon Corp. | | | 208 | | | | 8,494 | |
FirstEnergy Corp. | | | 104 | | | | 4,027 | |
Fortis, Inc., (Canada) | | | 29 | | | | 1,260 | |
Genie Energy Ltd., Class B | | | 3 | | | | 36 | |
Hawaiian Electric Industries, Inc. | | | 13 | | | | 480 | |
Hydro One Ltd., (Canada) (e) | | | 20 | | | | 569 | |
IDACORP, Inc. | | | 6 | | | | 627 | |
MGE Energy, Inc. | | | 4 | | | | 341 | |
NextEra Energy, Inc. | | | 407 | | | | 30,186 | |
Northland Power, Inc., (Canada) | | | 15 | | | | 314 | |
NorthWestern Corp. | | | 7 | | | | 410 | |
NRG Energy, Inc. | | | 47 | | | | 1,754 | |
OGE Energy Corp. | | | 24 | | | | 867 | |
Ormat Technologies, Inc. | | | 6 | | | | 516 | |
Otter Tail Corp. | | | 5 | | | | 357 | |
PG&E Corp. (a) | | | 373 | | | | 6,445 | |
Pinnacle West Capital Corp. | | | 14 | | | | 1,108 | |
PNM Resources, Inc. | | | 10 | | | | 442 | |
Portland General Electric Co. | | | 11 | | | | 508 | |
PPL Corp. | | | 140 | | | | 3,711 | |
Public Service Enterprise Group, Inc. | | | 99 | | | | 6,190 | |
Sempra Energy | | | 65 | | | | 9,457 | |
Southern Co. (The) | | | 225 | | | | 15,819 | |
Unitil Corp. | | | 2 | | | | 99 | |
Vistra Corp. | | | 63 | | | | 1,653 | |
WEC Energy Group, Inc. | | | 61 | | | | 5,370 | |
Xcel Energy, Inc. | | | 107 | | | | 6,675 | |
| | | | | | | | |
| | |
| | | | | | | 194,354 | |
| | | | | | | | |
Gas — 0.1% | | | | | | | | |
AltaGas Ltd., (Canada) | | | 17 | | | | 304 | |
Atmos Energy Corp. | | | 27 | | | | 3,136 | |
Canadian Utilities Ltd., (Canada), Class A | | | 8 | | | | 203 | |
Chesapeake Utilities Corp. | | | 2 | | | | 255 | |
National Fuel Gas Co. | | | 10 | | | | 539 | |
New Jersey Resources Corp. | | | 12 | | | | 550 | |
NiSource, Inc. | | | 77 | | | | 2,100 | |
Northwest Natural Holding Co. | | | 4 | | | | 185 | |
ONE Gas, Inc. | | | 7 | | | | 509 | |
RGC Resources, Inc. | | | 1 | | | | 21 | |
Southwest Gas Holdings, Inc. | | | 9 | | | | 543 | |
| | | | | | | | |
| SECURITY DESCRIPTION | |
SHARES | | | VALUE ($) | |
| | | | | | | | |
Gas — continued | | | | | | | | |
Spire, Inc. | | | 6 | | | | 405 | |
UGI Corp. | | | 50 | | | | 1,341 | |
| | | | | | | | |
| | |
| | | | | | | 10,091 | |
| | | | | | | | |
Water — 0.1% | | | | | | | | |
American States Water Co. | | | 4 | | | | 388 | |
American Water Works Co., Inc. | | | 38 | | | | 5,441 | |
Artesian Resources Corp., Class A | | | 1 | | | | 47 | |
California Water Service Group | | | 7 | | | | 348 | |
Consolidated Water Co. Ltd., (Cayman Islands) | | | 2 | | | | 43 | |
Essential Utilities, Inc. | | | 45 | | | | 1,778 | |
Middlesex Water Co. | | | 2 | | | | 170 | |
SJW Group | | | 4 | | | | 248 | |
York Water Co. (The) | | | 2 | | | | 74 | |
| | | | | | | | |
| | | | | | | 8,537 | |
| | | | | | | | |
Total Utilities | | | | | | | 212,982 | |
| | | | | | | | |
Total Common Stocks
(Cost $6,736,223) | | | | | | | 8,143,107 | |
| | | | | | | | |
| | |
| | | PRINCIPAL
AMOUNT ($) | | | | |
Short-Term Investments — 0.9% | | | | | | | | |
Time Deposits — 0.9% | | | | | | | | |
Australia & New Zealand Banking Group Ltd., 4.42%, 07/03/2023 | | | 5,587 | | | | 5,587 | |
Citibank NA, 4.42%, 07/03/2023 | | | 25,055 | | | | 25,055 | |
Royal Bank of Canada, 3.54%, 07/04/2023 | | CAD | 1,219 | | | | 920 | |
Skandinaviska Enskilda Banken AB, 4.42%, 07/03/2023 | | | 4,866 | | | | 4,866 | |
Sumitomo Mitsui Banking Corp., 4.42%, 07/03/2023 | | | 7,739 | | | | 7,739 | |
Sumitomo Mitsui Trust Bank Ltd., 4.42%, 07/03/2023 | | | 29,229 | | | | 29,229 | |
| | | | | | | | |
Total Short-Term Investments
(Cost $73,396) | | | | | | | 73,396 | |
| | | | | | | | |
| | |
Total Investments — 100.0%
(Cost — $6,809,619) * | | | | | | | 8,216,503 | |
| |
Other Assets in Excess of Liabilities — 0.0% | | | | 3,742 | |
| | | | | | | | |
| | |
NET ASSETS — 100.0% | | | | | | | $8,220,245 | |
| | | | | | | | |
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 17 |
Six Circles Managed Equity Portfolio U.S. Unconstrained Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | | | | | | | | | | | | | |
| Futures contracts outstanding as of June 30, 2023: | |
| Exchange Traded | |
| DESCRIPTION | | NUMBER OF CONTRACTS | | | EXPIRATION
DATE | | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT ($) | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) | |
|
Long Contracts | |
| | | | | |
| E-mini Consumer Discretionary Select Sector Index | | | 12 | | | | 09/2023 | | | | USD | | | | 2,027 | | | | 54 | |
| | | | | |
| E-mini Consumer Staples Select Sector Index | | | 9 | | | | 09/2023 | | | | USD | | | | 674 | | | | 5 | |
| | | | | |
| E-mini Energy Select Sector Index | | | 31 | | | | 09/2023 | | | | USD | | | | 2,575 | | | | 82 | |
| | | | | |
| E-mini Financial Select Sector Index | | | 4 | | | | 09/2023 | | | | USD | | | | 407 | | | | 12 | |
| | | | | |
| E-mini Health Care Select Sector Index | | | 21 | | | | 09/2023 | | | | USD | | | | 2,798 | | | | 46 | |
| | | | | |
| E-mini Technology Select Sector Index | | | 22 | | | | 09/2023 | | | | USD | | | | 3,831 | | | | 64 | |
| | | | | |
| E-mini Utilities Select Sector Index | | | 11 | | | | 09/2023 | | | | USD | | | | 729 | | | | 4 | |
| | | | | |
| Micro E-mini NASDAQ 100 Index | | | 296 | | | | 09/2023 | | | | USD | | | | 8,882 | | | | 197 | |
| | | | | |
| Micro E-mini Russell 2000 Index | | | 1 | | | | 09/2023 | | | | USD | | | | 9 | | | | — (h) | |
| | | | | |
| Micro E-mini S&P 500 Index | | | 358 | | | | 09/2023 | | | | USD | | | | 7,813 | | | | 221 | |
| | | | | |
| S&P 500 E-mini Index | | | 120 | | | | 09/2023 | | | | USD | | | | 26,482 | | | | 448 | |
| | | | | |
| S&P Toronto Stock Exchange 60 Index | | | 6 | | | | 09/2023 | | | | CAD | | | | 1,076 | | | | 28 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Total unrealized appreciation (depreciation) | | | | | | | | | | | | | | | | | | | 1,161 | |
| | | | | | | | | | | | | | | | | | | | |
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023
| | |
| REIT | | — Real Estate Investment Trust |
| (a) | | — Non-income producing security. |
| (e) | | — Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| (g) | | — Amount rounds to less than 0.05%. |
| (h) | | — Amount rounds to less than 500 shares or principal/ $500. |
| * | | — The cost of securities is substantially the same for federal income tax purposes. |
| CAD | | — Canadian Dollar |
| USD | | — United States Dollar |
Summary of Investments by Industry, June 30, 2023
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
| | | | |
| INDUSTRY | | PERCENTAGE | |
| |
Internet | | | 13.9 | % |
| |
Software | | | 13.0 | % |
| |
Computers | | | 9.2 | % |
| |
Pharmaceuticals | | | 8.1 | % |
| |
Semiconductors | | | 6.5 | % |
| |
Oil & Gas | | | 4.0 | % |
| |
Healthcare — Services | | | 4.0 | % |
| |
Banks | | | 3.4 | % |
| |
Healthcare — Products | | | 3.3 | % |
| |
Transportation | | | 3.1 | % |
| |
Retail | | | 2.9 | % |
| |
Diversified Financial Services | | | 2.5 | % |
| |
Electric | | | 2.4 | % |
| |
Beverages | | | 2.0 | % |
| |
REITS | | | 1.8 | % |
| |
Telecommunications | | | 1.7 | % |
| |
Insurance | | | 1.7 | % |
| |
Electronics | | | 1.7 | % |
| |
Biotechnology | | | 1.7 | % |
| |
Auto Manufacturers | | | 1.6 | % |
| |
Oil & Gas Services | | | 1.2 | % |
| |
Others (Each less than 1.0%) | | | 9.4 | % |
| |
Short-Term Investments | | | 0.9 | % |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 18 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
Six Circles Managed Equity Portfolio International Unconstrained Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
Common Stocks — 98.3% | | | | | | | | |
Australia — 3.1% | | | | | | | | |
Ampol Ltd. | | | 27 | | | | 535 | |
APA Group | | | 133 | | | | 860 | |
Aristocrat Leisure Ltd. | | | 67 | | | | 1,735 | |
ASX Ltd. | | | 22 | | | | 940 | |
Aurizon Holdings Ltd. | | | 206 | | | | 540 | |
ANZ Group Holdings Ltd. | | | 340 | | | | 5,385 | |
BHP Group Ltd. | | | 574 | | | | 17,257 | |
BlueScope Steel Ltd. | | | 52 | | | | 719 | |
Brambles Ltd. | | | 157 | | | | 1,511 | |
Cochlear Ltd. | | | 7 | | | | 1,147 | |
Coles Group Ltd. | | | 151 | | | | 1,857 | |
Commonwealth Bank of Australia | | | 191 | | | | 12,812 | |
Computershare Ltd. | | | 65 | | | | 1,017 | |
CSL Ltd. | | | 55 | | | | 10,126 | |
Dexus | | | 121 | | | | 629 | |
EBOS Group Ltd. | | | 17 | | | | 394 | |
Endeavour Group Ltd. | | | 161 | | | | 678 | |
Fortescue Metals Group Ltd. | | | 192 | | | | 2,850 | |
Goodman Group | | | 192 | | | | 2,579 | |
GPT Group (The) | | | 213 | | | | 590 | |
IDP Education Ltd. | | | 29 | | | | 426 | |
IGO Ltd. | | | 77 | | | | 790 | |
Insurance Australia Group Ltd. | | | 278 | | | | 1,058 | |
Lendlease Corp. Ltd. | | | 78 | | | | 404 | |
Lottery Corp. Ltd (The) | | | 250 | | | | 858 | |
Macquarie Group Ltd. | | | 42 | | | | 4,968 | |
Medibank Pvt Ltd. | | | 313 | | | | 735 | |
Mineral Resources Ltd. | | | 20 | | | | 944 | |
Mirvac Group | | | 439 | | | | 664 | |
National Australia Bank Ltd. | | | 356 | | | | 6,257 | |
Newcrest Mining Ltd. | | | 101 | | | | 1,810 | |
Northern Star Resources Ltd. | | | 130 | | | | 1,061 | |
Orica Ltd. | | | 52 | | | | 512 | |
Origin Energy Ltd. | | | 196 | | | | 1,100 | |
Pilbara Minerals Ltd. | | | 306 | | | | 1,006 | |
Qantas Airways Ltd. (a) | | | 101 | | | | 420 | |
QBE Insurance Group Ltd. | | | 168 | | | | 1,757 | |
Ramsay Health Care Ltd. | | | 21 | | | | 782 | |
REA Group Ltd. | | | 6 | | | | 581 | |
Reece Ltd. | | | 26 | | | | 321 | |
Rio Tinto Ltd. | | | 42 | | | | 3,223 | |
Santos Ltd. | | | 373 | | | | 1,867 | |
Scentre Group | | | 579 | | | | 1,025 | |
SEEK Ltd. | | | 38 | | | | 560 | |
Sonic Healthcare Ltd. | | | 50 | | | | 1,197 | |
South32 Ltd. | | | 517 | | | | 1,301 | |
Stockland | | | 267 | | | | 719 | |
Suncorp Group Ltd. | | | 145 | | | | 1,301 | |
Telstra Group Ltd. | | | 457 | | | | 1,310 | |
Transurban Group | | | 348 | | | | 3,315 | |
Treasury Wine Estates Ltd. | | | 82 | | | | 615 | |
Vicinity Ltd. | | | 433 | | | | 534 | |
Washington H Soul Pattinson & Co. Ltd. | | | 26 | | | | 561 | |
Wesfarmers Ltd. | | | 129 | | | | 4,243 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
| | | | | | | | |
Australia — continued | | | | | | | | |
Westpac Banking Corp. | | | 398 | | | | 5,661 | |
WiseTech Global Ltd. | | | 19 | | | | 1,013 | |
Woodside Energy Group Ltd. | | | 215 | | | | 4,974 | |
Woolworths Group Ltd. | | | 138 | | | | 3,657 | |
| | | | | | | | |
| | |
| | | | | | | 127,691 | |
| | | | | | | | |
Austria — 0.3% | | | | | | | | |
Erste Group Bank AG | | | 117 | | | | 4,119 | |
OMV AG | | | 71 | | | | 3,011 | |
Verbund AG | | | 26 | | | | 2,065 | |
voestalpine AG | | | 68 | | | | 2,437 | |
| | | | | | | | |
| | |
| | | | | | | 11,632 | |
| | | | | | | | |
Belgium — 1.7% | | | | | | | | |
Ageas SA | | | 55 | | | | 2,219 | |
Anheuser-Busch InBev SA | | | 898 | | | | 50,908 | |
D’ieteren Group | | | 1 | | | | 161 | |
Elia Group SA | | | 11 | | | | 1,454 | |
Groupe Bruxelles Lambert NV | | | 34 | | | | 2,660 | |
KBC Group NV | | | 85 | | | | 5,951 | |
Sofina SA | | | 5 | | | | 1,102 | |
Solvay SA | | | 3 | | | | 348 | |
UCB SA | | | 40 | | | | 3,517 | |
Umicore SA | | | 9 | | | | 250 | |
Warehouses De Pauw CVA | | | 7 | | | | 186 | |
| | | | | | | | |
| | |
| | | | | | | 68,756 | |
| | | | | | | | |
Canada — 1.0% | | | | | | | | |
Agnico Eagle Mines Ltd. | | | 11 | | | | 570 | |
Air Canada (a) | | | 4 | | | | 77 | |
Algonquin Power & Utilities Corp. | | | 16 | | | | 131 | |
Alimentation Couche-Tard, Inc. | | | 18 | | | | 935 | |
AltaGas Ltd. | | | 6 | | | | 116 | |
ARC Resources Ltd. | | | 14 | | | | 188 | |
Bank of Montreal | | | 16 | | | | 1,487 | |
Bank of Nova Scotia (The) | | | 28 | | | | 1,383 | |
Barrick Gold Corp. | | | 41 | | | | 691 | |
BCE, Inc. | | | 2 | | | | 77 | |
Brookfield Asset Management Ltd., Class A | | | 8 | | | | 267 | |
Brookfield Corp. | | | 33 | | | | 1,101 | |
BRP, Inc. | | | 1 | | | | 72 | |
CAE, Inc. (a) | | | 7 | | | | 165 | |
Cameco Corp. | | | 10 | | | | 315 | |
Canadian Apartment Properties REIT | | | 2 | | | | 75 | |
Canadian Imperial Bank of Commerce | | | 21 | | | | 897 | |
Canadian National Railway Co. | | | 13 | | | | 1,596 | |
Canadian Natural Resources Ltd. | | | 26 | | | | 1,444 | |
Canadian Pacific Kansas City Ltd. | | | 22 | | | | 1,744 | |
Canadian Tire Corp. Ltd., Class A | | | 1 | | | | 169 | |
Canadian Utilities Ltd., Class A | | | 3 | | | | 79 | |
CCL Industries, Inc., Class B | | | 3 | | | | 169 | |
Cenovus Energy, Inc. | | | 33 | | | | 564 | |
CGI, Inc. (a) | | | 5 | | | | 518 | |
Constellation Software, Inc. | | | — (h) | | | | 968 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 19 |
Six Circles Managed Equity Portfolio International Unconstrained Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
Common Stocks — continued | | | | | | | | |
Canada — continued | | | | | | | | |
Descartes Systems Group, Inc. (The) (a) | | | 2 | | | | 158 | |
Dollarama, Inc. | | | 7 | | | | 448 | |
Element Fleet Management Corp. | | | 9 | | | | 139 | |
Emera, Inc. | | | 6 | | | | 259 | |
Empire Co. Ltd., Class A | | | 4 | | | | 102 | |
Enbridge, Inc. | | | 47 | | | | 1,746 | |
Fairfax Financial Holdings Ltd. | | | 1 | | | | 393 | |
First Quantum Minerals Ltd. | | | 14 | | | | 324 | |
FirstService Corp. | | | 1 | | | | 143 | |
Fortis, Inc. | | | 11 | | | | 484 | |
Franco-Nevada Corp. | | | 4 | | | | 634 | |
George Weston Ltd. | | | 1 | | | | 171 | |
GFL Environmental, Inc. | | | 5 | | | | 208 | |
Gildan Activewear, Inc., Class A | | | 4 | | | | 136 | |
Great-West Lifeco, Inc. | | | 6 | | | | 188 | |
Hydro One Ltd. (e) | | | 8 | | | | 217 | |
iA Financial Corp., Inc. | | | 2 | | | | 163 | |
IGM Financial, Inc. | | | 2 | | | | 59 | |
Imperial Oil Ltd. | | | 5 | | | | 241 | |
Intact Financial Corp. | | | 4 | | | | 628 | |
Ivanhoe Mines Ltd., Class A (a) | | | 14 | | | | 130 | |
Keyera Corp. | | | 5 | | | | 122 | |
Kinross Gold Corp. | | | 29 | | | | 139 | |
Loblaw Cos. Ltd. | | | 4 | | | | 341 | |
Lundin Mining Corp. | | | 15 | | | | 118 | |
Magna International, Inc. | | | 6 | | | | 356 | |
Manulife Financial Corp. | | | 43 | | | | 811 | |
Metro, Inc. | | | 5 | | | | 306 | |
National Bank of Canada | | | 8 | | | | 584 | |
Northland Power, Inc. | | | 6 | | | | 121 | |
Nutrien Ltd. | | | 12 | | | | 685 | |
Nuvei Corp. (a) | | | 1 | | | | 44 | |
Onex Corp. | | | 2 | | | | 88 | |
Open Text Corp. | | | 6 | | | | 262 | |
Pan American Silver Corp. | | | 8 | | | | 124 | |
Parkland Corp. | | | 3 | | | | 81 | |
Pembina Pipeline Corp. | | | 13 | | | | 400 | |
Power Corp. of Canada | | | 13 | | | | 363 | |
Quebecor, Inc., Class B | | | 4 | | | | 88 | |
RB Global, Inc. | | | 4 | | | | 253 | |
Restaurant Brands International, Inc. | | | 7 | | | | 532 | |
RioCan Real Estate Investment Trust | | | 3 | | | | 49 | |
Rogers Communications, Inc., Class B | | | 8 | | | | 376 | |
Royal Bank of Canada | | | 32 | | | | 3,071 | |
Saputo, Inc. | | | 6 | | | | 131 | |
Shopify, Inc., Class A (a) | | | 28 | | | | 1,795 | |
Sun Life Financial, Inc. | | | 14 | | | | 710 | |
Suncor Energy, Inc. | | | 31 | | | | 906 | |
TC Energy Corp. | | | 24 | | | | 954 | |
Teck Resources Ltd., Class B | | | 11 | | | | 445 | |
TELUS Corp. | | | 11 | | | | 213 | |
TFI International, Inc. | | | 2 | | | | 206 | |
Thomson Reuters Corp. | | | 4 | | | | 488 | |
TMX Group Ltd. | | | 6 | | | | 146 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
| | | | | | | | |
Canada — continued | | | | | | | | |
Toromont Industries Ltd. | | | 2 | | | | 157 | |
Toronto-Dominion Bank (The) | | | 42 | | | | 2,619 | |
Tourmaline Oil Corp. | | | 7 | | | | 352 | |
West Fraser Timber Co. Ltd. | | | 1 | | | | 115 | |
Wheaton Precious Metals Corp. | | | 10 | | | | 453 | |
WSP Global, Inc. | | | 3 | | | | 382 | |
| | | | | | | | |
| | |
| | | | | | | 42,155 | |
| | | | | | | | |
Chile — 0.1% | | | | | | | | |
Antofagasta plc | | | 231 | | | | 4,290 | |
| | | | | | | | |
China — 0.0% (g) | | | | | | | | |
Silergy Corp. | | | 41 | | | | 511 | |
| | | | | | | | |
Denmark — 3.6% | | | | | | | | |
AP Moller—Maersk A/S, Class A | | | 1 | | | | 1,697 | |
AP Moller—Maersk A/S, Class B | | | 2 | | | | 2,769 | |
Carlsberg A/S, Class B | | | 102 | | | | 16,314 | |
Chr Hansen Holding A/S | | | 4 | | | | 311 | |
Coloplast A/S, Class B | | | 5 | | | | 619 | |
Danske Bank A/S (a) | | | 235 | | | | 5,712 | |
Demant A/S (a) | | | 4 | | | | 175 | |
DSV A/S | | | 58 | | | | 12,224 | |
Genmab A/S (a) | | | 3 | | | | 1,068 | |
Novo Nordisk A/S, Class B | | | 518 | | | | 83,728 | |
Novozymes A/S, Class B | | | 8 | | | | 395 | |
Orsted AS (e) | | | 72 | | | | 6,822 | |
Pandora A/S | | | 46 | | | | 4,090 | |
ROCKWOOL A/S, Class B | | | 3 | | | | 741 | |
Tryg A/S | | | 123 | | | | 2,664 | |
Vestas Wind Systems A/S (a) | | | 316 | | | | 8,412 | |
| | | | | | | | |
| | |
| | | | | | | 147,741 | |
| | | | | | | | |
Finland — 0.9% | | | | | | | | |
Elisa OYJ | | | 6 | | | | 321 | |
Fortum OYJ | | | 171 | | | | 2,282 | |
Kesko OYJ, Class B | | | 11 | | | | 212 | |
Kone OYJ, Class B | | | 106 | | | | 5,561 | |
Metso OYJ | | | 208 | | | | 2,507 | |
Neste OYJ | | | 18 | | | | 678 | |
Nokia OYJ | | | 228 | | | | 953 | |
Nordea Bank Abp | | | 1,105 | | | | 12,034 | |
Orion OYJ, Class B | | | 34 | | | | 1,404 | |
Sampo OYJ, Class A | | | 156 | | | | 7,020 | |
Stora Enso OYJ, Class R | | | 25 | | | | 288 | |
UPM-Kymmene OYJ | | | 23 | | | | 681 | |
Wartsila OYJ Abp | | | 149 | | | | 1,685 | |
| | | | | | | | |
| | |
| | | | | | | 35,626 | |
| | | | | | | | |
France — 14.7% | | | | | | | | |
Accor SA | | | 8 | | | | 287 | |
Aeroports de Paris | | | 9 | | | | 1,337 | |
Air Liquide SA | | | 22 | | | | 3,977 | |
Airbus SE | | | 186 | | | | 26,835 | |
Alstom SA | | | 101 | | | | 3,010 | |
Amundi SA (e) | | | 21 | | | | 1,226 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 20 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
Common Stocks — continued | | | | | | | | |
France — continued | | | | | | | | |
Arkema SA | | | 3 | | | | 244 | |
AXA SA | | | 624 | | | | 18,448 | |
BioMerieux | | | 2 | | | | 183 | |
BNP Paribas SA | | | 378 | | | | 23,865 | |
Bollore SE | | | 39 | | | | 243 | |
Bouygues SA | | | 65 | | | | 2,180 | |
Bureau Veritas SA | | | 92 | | | | 2,526 | |
Capgemini SE | | | 7 | | | | 1,307 | |
Carrefour SA | | | 24 | | | | 462 | |
Cie de Saint-Gobain | | | 154 | | | | 9,346 | |
Cie Generale des Etablissements Michelin SCA | | | 29 | | | | 846 | |
Covivio SA | | | 2 | | | | 104 | |
Credit Agricole SA | | | 412 | | | | 4,892 | |
Danone SA | | | 332 | | | | 20,316 | |
Dassault Aviation SA | | | 8 | | | | 1,570 | |
Dassault Systemes SE | | | 28 | | | | 1,257 | |
Edenred | | | 85 | | | | 5,695 | |
Eiffage SA | | | 23 | | | | 2,399 | |
Engie SA | | | 695 | | | | 11,576 | |
EssilorLuxottica SA | | | 12 | | | | 2,324 | |
Eurazeo SE | | | 15 | | | | 1,063 | |
Gecina SA | | | 2 | | | | 206 | |
Getlink SE | | | 112 | | | | 1,902 | |
Hermes International | | | 16 | | | | 34,690 | |
Ipsen SA | | | 12 | | | | 1,416 | |
Kering SA | | | 38 | | | | 20,715 | |
Klepierre SA | | | 9 | | | | 220 | |
La Francaise des Jeux SAEM (e) | | | 4 | | | | 175 | |
Legrand SA | | | 83 | | | | 8,276 | |
L’Oreal SA | | | 10 | | | | 4,758 | |
LVMH Moet Hennessy Louis Vuitton SE | | | 139 | | | | 131,201 | |
Orange SA | | | 78 | | | | 911 | |
Pernod Ricard SA | | | 213 | | | | 47,175 | |
Publicis Groupe SA | | | 10 | | | | 785 | |
Remy Cointreau SA | | | 24 | | | | 3,799 | |
Renault SA | | | 8 | | | | 348 | |
Safran SA | | | 107 | | | | 16,777 | |
Sanofi | | | 355 | | | | 38,249 | |
Sartorius Stedim Biotech | | | 1 | | | | 303 | |
Schneider Electric SE | | | 170 | | | | 30,858 | |
SEB SA | | | 1 | | | | 103 | |
Societe Generale SA | | | 247 | | | | 6,429 | |
Sodexo SA | | | 4 | | | | 404 | |
Teleperformance | | | 19 | | | | 3,116 | |
Thales SA | | | 33 | | | | 4,928 | |
TotalEnergies SE | | | 1,135 | | | | 65,167 | |
Unibail-Rodamco-Westfield (a) | | | 5 | | | | 256 | |
Valeo | | | 9 | | | | 200 | |
Veolia Environnement SA | | | 258 | | | | 8,151 | |
Vinci SA | | | 166 | | | | 19,319 | |
Vivendi SE | | | 31 | | | | 282 | |
Wendel SE | | | 9 | | | | 953 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
| | | | | | | | |
France — continued | | | | | | | | |
Worldline SA (a) (e) | | | 81 | | | | 2,976 | |
| | | | | | | | |
| | |
| | | | | | | 602,566 | |
| | | | | | | | |
Germany — 10.6% | | | | | | | | |
adidas AG | | | 82 | | | | 15,856 | |
Allianz SE (Registered) | | | 137 | | | | 31,975 | |
BASF SE | | | 38 | | | | 1,839 | |
Bayer AG (Registered) | | | 308 | | | | 17,027 | |
Bayerische Motoren Werke AG | | | 14 | | | | 1,720 | |
Bechtle AG | | | 4 | | | | 142 | |
Beiersdorf AG | | | 4 | | | | 561 | |
Brenntag SE | | | 48 | | | | 3,773 | |
Carl Zeiss Meditec AG | | | 2 | | | | 179 | |
Commerzbank AG | | | 364 | | | | 4,033 | |
Continental AG | | | 5 | | | | 351 | |
Covestro AG (a) (e) | | | 8 | | | | 425 | |
Daimler Truck Holding AG | | | 154 | | | | 5,563 | |
Delivery Hero SE (a) (e) | | | 7 | | | | 320 | |
Deutsche Bank AG (Registered) | | | 659 | | | | 6,926 | |
Deutsche Boerse AG | | | 65 | | | | 11,939 | |
Deutsche Lufthansa AG (Registered) (a) | | | 187 | | | | 1,920 | |
Deutsche Post AG (Registered) | | | 315 | | | | 15,394 | |
Deutsche Telekom AG (Registered) | | | 137 | | | | 2,984 | |
E.ON SE | | | 848 | | | | 10,838 | |
Evonik Industries AG | | | 9 | | | | 171 | |
Fresenius Medical Care AG & Co. KGaA | | | 9 | | | | 411 | |
Fresenius SE & Co. KGaA | | | 18 | | | | 496 | |
GEA Group AG | | | 48 | | | | 1,993 | |
Hannover Rueck SE | | | 21 | | | | 4,360 | |
Heidelberg Materials AG | | | 6 | | | | 513 | |
HelloFresh SE (a) | | | 7 | | | | 172 | |
Henkel AG & Co. KGaA | | | 5 | | | | 322 | |
Infineon Technologies AG | | | 934 | | | | 38,470 | |
KION Group AG | | | — (h) | | | | — (h) | |
Knorr-Bremse AG | | | 23 | | | | 1,737 | |
LEG Immobilien SE (a) | | | 3 | | | | 182 | |
Mercedes-Benz Group AG | | | 36 | | | | 2,906 | |
Merck KGaA | | | 41 | | | | 6,711 | |
MTU Aero Engines AG | | | 17 | | | | 4,337 | |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | | | 48 | | | | 17,911 | |
Nemetschek SE | | | 61 | | | | 4,558 | |
Puma SE | | | 53 | | | | 3,219 | |
Rational AG | | | 2 | | | | 1,152 | |
Rheinmetall AG | | | 14 | | | | 3,737 | |
RWE AG | | | 240 | | | | 10,460 | |
SAP SE | | | 1,103 | | | | 150,734 | |
Scout24 SE (e) | | | 3 | | | | 211 | |
Siemens AG (Registered) | | | 238 | | | | 39,664 | |
Siemens Energy AG (a) | | | 163 | | | | 2,873 | |
Siemens Healthineers AG (e) | | | 12 | | | | 685 | |
Symrise AG, Class A | | | 6 | | | | 581 | |
Talanx AG | | | 21 | | | | 1,230 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 21 |
Six Circles Managed Equity Portfolio International Unconstrained Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
Common Stocks — continued | | | | | | | | |
Germany — continued | | | | | | | | |
Telefonica Deutschland Holding AG | | | 37 | | | | 105 | |
Volkswagen AG | | | 1 | | | | 220 | |
Vonovia SE | | | 30 | | | | 587 | |
Wacker Chemie AG | | | 1 | | | | 105 | |
Zalando SE (a) (e) | | | 9 | | | | 273 | |
| | | | | | | | |
| | |
| | | | | | | 434,851 | |
| | | | | | | | |
Hong Kong — 1.4% | | | | | | | | |
AIA Group Ltd. | | | 1,321 | | | | 13,415 | |
BOC Hong Kong Holdings Ltd. | | | 423 | | | | 1,296 | |
Budweiser Brewing Co. APAC Ltd. (e) | | | 196 | | | | 506 | |
CK Asset Holdings Ltd. | | | 226 | | | | 1,253 | |
CK Hutchison Holdings Ltd. | | | 306 | | | | 1,865 | |
CK Infrastructure Holdings Ltd. | | | 73 | | | | 385 | |
CLP Holdings Ltd. | | | 187 | | | | 1,453 | |
ESR Group Ltd. (e) | | | 226 | | | | 390 | |
Futu Holdings Ltd., ADR (a) | | | 6 | | | | 249 | |
Galaxy Entertainment Group Ltd. (a) | | | 247 | | | | 1,574 | |
Hang Lung Properties Ltd. | | | 207 | | | | 320 | |
Hang Seng Bank Ltd. | | | 87 | | | | 1,237 | |
Henderson Land Development Co. Ltd. | | | 169 | | | | 503 | |
HKT Trust & HKT Ltd. | | | 429 | | | | 500 | |
Hong Kong & China Gas Co. Ltd. | | | 1,274 | | | | 1,103 | |
Hong Kong Exchanges & Clearing Ltd. | | | 132 | | | | 5,005 | |
Hongkong Land Holdings Ltd. | | | 126 | | | | 494 | |
Jardine Matheson Holdings Ltd. | | | 18 | | | | 918 | |
Link REIT | | | 289 | | | | 1,607 | |
MTR Corp. Ltd. | | | 179 | | | | 822 | |
New World Development Co. Ltd. | | | 174 | | | | 430 | |
Power Assets Holdings Ltd. | | | 159 | | | | 832 | |
Prudential plc | | | 936 | | | | 13,226 | |
Sino Land Co. Ltd. | | | 418 | | | | 515 | |
SITC International Holdings Co. Ltd. | | | 153 | | | | 280 | |
Sun Hung Kai Properties Ltd. | | | 165 | | | | 2,078 | |
Swire Pacific Ltd., Class A | | | 49 | | | | 376 | |
Swire Properties Ltd. | | | 139 | | | | 342 | |
Techtronic Industries Co. Ltd. | | | 156 | | | | 1,701 | |
WH Group Ltd. (e) | | | 944 | | | | 503 | |
Wharf Real Estate Investment Co. Ltd. | | | 191 | | | | 958 | |
Xinyi Glass Holdings Ltd. | | | 193 | | | | 302 | |
| | | | | | | | |
| | |
| | | | | | | 56,438 | |
| | | | | | | | |
Ireland — 0.9% | | | | | | | | |
AerCap Holdings NV (a) | | | 52 | | | | 3,306 | |
AIB Group plc | | | 452 | | | | 1,903 | |
Bank of Ireland Group plc | | | 361 | | | | 3,448 | |
CRH plc | | | 32 | | | | 1,742 | |
DCC plc | | | 31 | | | | 1,724 | |
Experian plc | | | 288 | | | | 11,071 | |
Flutter Entertainment plc (a) | | | 7 | | | | 1,508 | |
James Hardie Industries plc, CDI (a) | | | 50 | | | | 1,340 | |
Kerry Group plc, Class A | | | 82 | | | | 8,039 | |
Kingspan Group plc | | | 48 | | | | 3,218 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
| | | | | | | | |
Ireland — continued | | | | | | | | |
Smurfit Kappa Group plc | | | 11 | | | | 373 | |
| | | | | | | | |
| | |
| | | | | | | 37,672 | |
| | | | | | | | |
Italy — 2.7% | | | | | | | | |
Amplifon SpA | | | 5 | | | | 192 | |
Assicurazioni Generali SpA | | | 344 | | | | 7,005 | |
Bio On Spa (a) (bb) (cc) | | | 1 | | | | — | |
Davide Campari-Milano NV | | | 541 | | | | 7,497 | |
DiaSorin SpA | | | 1 | | | | 119 | |
Enel SpA | | | 3,090 | | | | 20,831 | |
Eni SpA | | | 1,114 | | | | 16,043 | |
Ferrari NV | | | 5 | | | | 1,741 | |
FinecoBank Banca Fineco SpA | | | 208 | | | | 2,806 | |
Infrastrutture Wireless Italiane SpA (e) | | | 14 | | | | 187 | |
Intesa Sanpaolo SpA | | | 5,491 | | | | 14,395 | |
Mediobanca Banca di Credito Finanziario SpA | | | 188 | | | | 2,254 | |
Moncler SpA | | | 104 | | | | 7,174 | |
Nexi SpA (a) (e) | | | 199 | | | | 1,562 | |
Poste Italiane SpA (e) | | | 178 | | | | 1,931 | |
Prysmian SpA | | | 80 | | | | 3,337 | |
Recordati Industria Chimica e Farmaceutica SpA | | | 32 | | | | 1,551 | |
Snam SpA | | | 803 | | | | 4,199 | |
Telecom Italia SpA (a) | | | 389 | | | | 110 | |
Terna—Rete Elettrica Nazionale | | | 541 | | | | 4,612 | |
UniCredit SpA | | | 628 | | | | 14,597 | |
| | | | | | | | |
| | |
| | | | | | | 112,143 | |
| | | | | | | | |
Japan — 6.3% | | | | | | | | |
Advantest Corp. | | | 8 | | | | 1,077 | |
Aeon Co. Ltd. | | | 27 | | | | 559 | |
AGC, Inc. | | | 9 | | | | 309 | |
Aisin Corp. | | | 6 | | | | 188 | |
Ajinomoto Co., Inc. | | | 19 | | | | 749 | |
ANA Holdings, Inc. (a) | | | 7 | | | | 157 | |
Asahi Group Holdings Ltd. | | | 20 | | | | 776 | |
Asahi Intecc Co. Ltd. | | | 9 | | | | 181 | |
Asahi Kasei Corp. | | | 53 | | | | 357 | |
Astellas Pharma, Inc. | | | 76 | | | | 1,124 | |
Azbil Corp. | | | 5 | | | | 152 | |
Bandai Namco Holdings, Inc. | | | 25 | | | | 581 | |
BayCurrent Consulting, Inc. | | | 5 | | | | 203 | |
Bridgestone Corp. | | | 24 | | | | 978 | |
Brother Industries Ltd. | | | 10 | | | | 143 | |
Canon, Inc. | | | 42 | | | | 1,096 | |
Capcom Co. Ltd. | | | 256 | | | | 10,140 | |
Central Japan Railway Co. | | | 6 | | | | 752 | |
Chiba Bank Ltd. (The) | | | 22 | | | | 131 | |
Chubu Electric Power Co., Inc. | | | 27 | | | | 323 | |
Chugai Pharmaceutical Co. Ltd. | | | 28 | | | | 797 | |
COLOPL, Inc. | | | 83 | | | | 378 | |
Concordia Financial Group Ltd. | | | 43 | | | | 170 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 22 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
Common Stocks — continued | | | | | | | | |
Japan — continued | | | | | | | | |
CyberAgent, Inc. | | | 18 | | | | 129 | |
Dai Nippon Printing Co. Ltd. | | | 9 | | | | 256 | |
Daifuku Co. Ltd. | | | 13 | | | | 260 | |
Dai-ichi Life Holdings, Inc. | | | 39 | | | | 746 | |
Daiichi Sankyo Co. Ltd. | | | 77 | | | | 2,453 | |
Daikin Industries Ltd. | | | 11 | | | | 2,254 | |
Daito Trust Construction Co. Ltd. | | | 3 | | | | 263 | |
Daiwa House Industry Co. Ltd. | | | 25 | | | | 661 | |
Daiwa House REIT Investment Corp., Class A | | | — (h) | | | | 176 | |
Daiwa Securities Group, Inc. | | | 55 | | | | 285 | |
DeNA Co. Ltd. | | | 105 | | | | 1,369 | |
Denso Corp. | | | 18 | | | | 1,214 | |
Dentsu Group, Inc. | | | 9 | | | | 280 | |
Disco Corp. | | | 4 | | | | 618 | |
East Japan Railway Co. | | | 13 | | | | 699 | |
Eisai Co. Ltd. | | | 11 | | | | 718 | |
ENEOS Holdings, Inc. | | | 121 | | | | 415 | |
FANUC Corp. | | | 40 | | | | 1,404 | |
Fast Retailing Co. Ltd. | | | 7 | | | | 1,872 | |
Fuji Electric Co. Ltd. | | | 5 | | | | 229 | |
FUJIFILM Holdings Corp. | | | 16 | | | | 930 | |
Fujitsu Ltd. | | | 7 | | | | 958 | |
GLP J-Reit | | | — (h) | | | | 185 | |
GMO Payment Gateway, Inc. | | | 2 | | | | 133 | |
Gree, Inc. | | | 90 | | | | 401 | |
GungHo Online Entertainment, Inc. | | | 63 | | | | 1,233 | |
Hakuhodo DY Holdings, Inc. | | | 10 | | | | 106 | |
Hamamatsu Photonics KK | | | 6 | | | | 285 | |
Hankyu Hanshin Holdings, Inc. | | | 10 | | | | 317 | |
Hikari Tsushin, Inc. | | | 1 | | | | 129 | |
Hirose Electric Co. Ltd. | | | 1 | | | | 173 | |
Hitachi Construction Machinery Co. Ltd. | | | 5 | | | | 129 | |
Hitachi Ltd. | | | 39 | | | | 2,431 | |
Honda Motor Co. Ltd. | | | 64 | | | | 1,945 | |
Hoshizaki Corp. | | | 5 | | | | 169 | |
Hoya Corp. | | | 15 | | | | 1,783 | |
Hulic Co. Ltd. | | | 16 | | | | 135 | |
Ibiden Co. Ltd. | | | 5 | | | | 273 | |
Idemitsu Kosan Co. Ltd. | | | 9 | | | | 171 | |
Iida Group Holdings Co. Ltd. | | | 7 | | | | 113 | |
Inpex Corp. | | | 41 | | | | 447 | |
Isuzu Motors Ltd. | | | 24 | | | | 292 | |
ITOCHU Corp. | | | 50 | | | | 1,970 | |
Itochu Techno-Solutions Corp. | | | 4 | | | | 99 | |
Japan Airlines Co. Ltd. | | | 6 | | | | 126 | |
Japan Exchange Group, Inc. | | | 21 | | | | 364 | |
Japan Metropolitan Fund Invest | | | — (h) | | | | 193 | |
Japan Post Bank Co. Ltd. | | | 62 | | | | 482 | |
Japan Post Holdings Co. Ltd. | | | 92 | | | | 658 | |
Japan Post Insurance Co. Ltd. | | | 8 | | | | 126 | |
Japan Real Estate Investment Corp. | | | — (h) | | | | 206 | |
Japan Tobacco, Inc. | | | 50 | | | | 1,097 | |
JFE Holdings, Inc. | | | 21 | | | | 295 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
| | | | | | | | |
Japan — continued | | | | | | | | |
JSR Corp. | | | 8 | | | | 216 | |
Kajima Corp. | | | 18 | | | | 264 | |
Kansai Electric Power Co., Inc. (The) | | | 30 | | | | 371 | |
KAO Corp. | | | 19 | | | | 704 | |
Kawasaki Kisen Kaisha Ltd. | | | 6 | | | | 142 | |
KDDI Corp. | | | 62 | | | | 1,927 | |
Keio Corp. | | | 4 | | | | 132 | |
Keisei Electric Railway Co. Ltd. | | | 5 | | | | 224 | |
Keyence Corp. | | | 8 | | | | 3,849 | |
Kikkoman Corp. | | | 6 | | | | 326 | |
Kintetsu Group Holdings Co. Ltd. | | | 8 | | | | 263 | |
Kirin Holdings Co. Ltd. | | | 33 | | | | 475 | |
Kobayashi Pharmaceutical Co. Ltd. | | | 2 | | | | 120 | |
Kobe Bussan Co. Ltd. | | | 6 | | | | 161 | |
Koei Tecmo Holdings Co. Ltd. | | | 173 | | | | 3,004 | |
Koito Manufacturing Co. Ltd. | | | 9 | | | | 156 | |
Komatsu Ltd. | | | 39 | | | | 1,044 | |
Konami Group Corp. | | | 148 | | | | 7,777 | |
Kose Corp. | | | 1 | | | | 135 | |
Kubota Corp. | | | 42 | | | | 619 | |
Kurita Water Industries Ltd. | | | 4 | | | | 169 | |
Kyocera Corp. | | | 13 | | | | 728 | |
Kyowa Kirin Co. Ltd. | | | 11 | | | | 209 | |
Lasertec Corp. | | | 3 | | | | 484 | |
Lixil Corp. | | | 12 | | | | 155 | |
M3, Inc. | | | 18 | | | | 397 | |
Makita Corp. | | | 9 | | | | 263 | |
Marubeni Corp. | | | 64 | | | | 1,087 | |
MatsukiyoCocokara & Co. | | | 5 | | | | 270 | |
Mazda Motor Corp. | | | 24 | | | | 230 | |
McDonald’s Holdings Co. Japan Ltd. | | | 4 | | | | 140 | |
MEIJI Holdings Co. Ltd. | | | 9 | | | | 205 | |
MINEBEA MITSUMI, Inc. | | | 15 | | | | 286 | |
MISUMI Group, Inc. | | | 12 | | | | 238 | |
Mitsubishi Chemical Group Corp. | | | 53 | | | | 318 | |
Mitsubishi Corp. | | | 52 | | | | 2,500 | |
Mitsubishi Electric Corp. | | | 81 | | | | 1,139 | |
Mitsubishi Estate Co. Ltd. | | | 47 | | | | 558 | |
Mitsubishi HC Capital, Inc. | | | 37 | | | | 219 | |
Mitsubishi Heavy Industries Ltd. | | | 13 | | | | 626 | |
Mitsubishi UFJ Financial Group, Inc. | | | 476 | | | | 3,512 | |
Mitsui & Co. Ltd. | | | 55 | | | | 2,074 | |
Mitsui Chemicals, Inc. | | | 7 | | | | 206 | |
Mitsui Fudosan Co. Ltd. | | | 38 | | | | 749 | |
Mitsui OSK Lines Ltd. | | | 14 | | | | 342 | |
MIXI, Inc. | | | 56 | | | | 1,044 | |
Mizuho Financial Group, Inc. | | | 101 | | | | 1,538 | |
MonotaRO Co. Ltd. | | | 10 | | | | 133 | |
MS&AD Insurance Group Holdings, Inc. | | | 18 | | | | 630 | |
Murata Manufacturing Co. Ltd. | | | 24 | | | | 1,379 | |
NEC Corp. | | | 10 | | | | 500 | |
Nexon Co. Ltd. | | | 577 | | | | 11,055 | |
NGK Insulators Ltd. | | | 9 | | | | 112 | |
NIDEC CORP | | | 17 | | | | 959 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 23 |
Six Circles Managed Equity Portfolio International Unconstrained Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
Common Stocks — continued | | | | | | | | |
Japan — continued | | | | | | | | |
Nintendo Co. Ltd. | | | 1,533 | | | | 69,905 | |
Nippon Building Fund, Inc. | | | — (h) | | | | 248 | |
NIPPON EXPRESS HOLDINGS INC | | | 3 | | | | 169 | |
Nippon Paint Holdings Co. Ltd. | | | 40 | | | | 330 | |
Nippon Prologis REIT, Inc. | | | — (h) | | | | 187 | |
Nippon Sanso Holdings Corp. | | | 7 | | | | 156 | |
Nippon Shinyaku Co. Ltd. | | | 2 | | | | 90 | |
Nippon Steel Corp. | | | 34 | | | | 705 | |
Nippon Telegraph & Telephone Corp. | | | 1,248 | | | | 1,476 | |
Nippon Yusen KK | | | 20 | | | | 451 | |
Nissan Chemical Corp. | | | 5 | | | | 233 | |
Nissan Motor Co. Ltd. | | | 98 | | | | 400 | |
Nisshin Seifun Group, Inc. | | | 8 | | | | 98 | |
Nissin Foods Holdings Co. Ltd. | | | 3 | | | | 215 | |
Nitori Holdings Co. Ltd. | | | 3 | | | | 371 | |
Nitto Denko Corp. | | | 6 | | | | 460 | |
Nomura Holdings, Inc. | | | 120 | | | | 459 | |
Nomura Real Estate Holdings, Inc. | | | 5 | | | | 107 | |
Nomura Real Estate Master Fund, Inc. | | | — (h) | | | | 202 | |
Nomura Research Institute Ltd. | | | 16 | | | | 448 | |
NTT Data Corp. | | | 26 | | | | 366 | |
Obayashi Corp. | | | 27 | | | | 234 | |
Obic Co. Ltd. | | | 3 | | | | 465 | |
Odakyu Electric Railway Co. Ltd. | | | 13 | | | | 168 | |
Oji Holdings Corp. | | | 36 | | | | 135 | |
Olympus Corp. | | | 50 | | | | 791 | |
Omron Corp. | | | 7 | | | | 454 | |
Ono Pharmaceutical Co. Ltd. | | | 16 | | | | 294 | |
Open House Group Co. Ltd. | | | 3 | | | | 116 | |
Oracle Corp. Japan | | | 2 | | | | 119 | |
Oriental Land Co. Ltd. | | | 46 | | | | 1,774 | |
ORIX Corp. | | | 49 | | | | 894 | |
Osaka Gas Co. Ltd. | | | 16 | | | | 242 | |
Otsuka Corp. | | | 5 | | | | 187 | |
Otsuka Holdings Co. Ltd. | | | 16 | | | | 598 | |
Pan Pacific International Holdings Corp. | | | 16 | | | | 279 | |
Panasonic Holdings Corp. | | | 92 | | | | 1,129 | |
Persol Holdings Co. Ltd. | | | 7 | | | | 134 | |
Rakuten Group, Inc. | | | 63 | | | | 220 | |
Recruit Holdings Co. Ltd. | | | 60 | | | | 1,918 | |
Renesas Electronics Corp. (a) | | | 53 | | | | 1,002 | |
Resona Holdings, Inc. | | | 89 | | | | 428 | |
Ricoh Co. Ltd. | | | 23 | | | | 196 | |
Rohm Co. Ltd. | | | 4 | | | | 350 | |
SBI Holdings, Inc. | | | 10 | | | | 199 | |
SCSK Corp. | | | 7 | | | | 105 | |
Secom Co. Ltd. | | | 9 | | | | 596 | |
Seiko Epson Corp. | | | 12 | | | | 190 | |
Sekisui Chemical Co. Ltd. | | | 15 | | | | 220 | |
Sekisui House Ltd. | | | 26 | | | | 521 | |
Seven & i Holdings Co. Ltd. | | | 31 | | | | 1,357 | |
SG Holdings Co. Ltd. | | | 14 | | | | 193 | |
Sharp Corp. | | | 9 | | | | 52 | |
Shimadzu Corp. | | | 10 | | | | 303 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
| | | | | | | | |
Japan — continued | | | | | | | | |
Shimano, Inc. | | | 3 | | | | 536 | |
Shimizu Corp. | | | 23 | | | | 144 | |
Shin-Etsu Chemical Co. Ltd. | | | 76 | | | | 2,540 | |
Shionogi & Co. Ltd. | | | 11 | | | | 456 | |
Shiseido Co. Ltd. | | | 17 | | | | 757 | |
Shizuoka Financial Group, Inc. | | | 18 | | | | 133 | |
SMC Corp. | | | 2 | | | | 1,334 | |
SoftBank Corp. | | | 120 | | | | 1,280 | |
SoftBank Group Corp. | | | 43 | | | | 2,023 | |
Sompo Holdings, Inc. | | | 13 | | | | 588 | |
Sony Group Corp. | | | 53 | | | | 4,748 | |
Square Enix Holdings Co. Ltd. | | | 127 | | | | 5,890 | |
Subaru Corp. | | | 26 | | | | 484 | |
SUMCO Corp. | | | 15 | | | | 209 | |
Sumitomo Chemical Co. Ltd. | | | 58 | | | | 176 | |
Sumitomo Corp. | | | 47 | | | | 997 | |
Sumitomo Electric Industries Ltd. | | | 30 | | | | 369 | |
Sumitomo Metal Mining Co. Ltd. | | | 10 | | | | 329 | |
Sumitomo Mitsui Financial Group, Inc. | | | 55 | | | | 2,336 | |
Sumitomo Mitsui Trust Holdings, Inc. | | | 14 | | | | 493 | |
Sumitomo Realty & Development Co. Ltd. | | | 12 | | | | 297 | |
Suntory Beverage & Food Ltd. | | | 6 | | | | 210 | |
Suzuki Motor Corp. | | | 16 | | | | 562 | |
Sysmex Corp. | | | 7 | | | | 486 | |
T&D Holdings, Inc. | | | 21 | | | | 302 | |
Taisei Corp. | | | 7 | | | | 248 | |
Takeda Pharmaceutical Co. Ltd. | | | 66 | | | | 2,074 | |
TDK Corp. | | | 16 | | | | 632 | |
Terumo Corp. | | | 28 | | | | 895 | |
TIS, Inc. | | | 9 | | | | 228 | |
Tobu Railway Co. Ltd. | | | 8 | | | | 212 | |
Toho Co. Ltd. | | | 5 | | | | 179 | |
Tokio Marine Holdings, Inc. | | | 75 | | | | 1,734 | |
Tokyo Electric Power Co. Holdings, Inc. (a) | | | 64 | | | | 236 | |
Tokyo Electron Ltd. | | | 19 | | | | 2,693 | |
Tokyo Gas Co. Ltd. | | | 17 | | | | 360 | |
Tokyu Corp. | | | 22 | | | | 265 | |
TOPPAN INC | | | 10 | | | | 218 | |
Toray Industries, Inc. | | | 57 | | | | 319 | |
Toshiba Corp. | | | 17 | | | | 540 | |
Tosoh Corp. | | | 11 | | | | 127 | |
TOTO Ltd. | | | 6 | | | | 166 | |
Toyota Industries Corp. | | | 6 | | | | 437 | |
Toyota Motor Corp. | | | 442 | | | | 7,110 | |
Toyota Tsusho Corp. | | | 9 | | | | 440 | |
Trend Micro, Inc. | | | 6 | | | | 271 | |
Unicharm Corp. | | | 17 | | | | 625 | |
USS Co. Ltd. | | | 9 | | | | 141 | |
Welcia Holdings Co. Ltd. | | | 4 | | | | 81 | |
West Japan Railway Co. | | | 9 | | | | 378 | |
Yakult Honsha Co. Ltd. | | | 5 | | | | 342 | |
Yamaha Corp. | | | 6 | | | | 223 | |
Yamaha Motor Co. Ltd. | | | 12 | | | | 354 | |
Yamato Holdings Co. Ltd. | | | 12 | | | | 214 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 24 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
Common Stocks — continued | | | | | | | | |
Japan — continued | | | | | | | | |
Yaskawa Electric Corp. | | | 10 | | | | 456 | |
Yokogawa Electric Corp. | | | 10 | | | | 178 | |
Z Holdings Corp. | | | 110 | | | | 266 | |
ZOZO, Inc. | | | 5 | | | | 110 | |
| | | | | | | | |
| | |
| | | | | | | 255,709 | |
| | | | | | | | |
Jordan — 0.0% (g) | | | | | | | | |
Hikma Pharmaceuticals plc | | | 52 | | | | 1,244 | |
| | | | | | | | |
Luxembourg — 0.2% | | | | | | | | |
ArcelorMittal SA | | | 283 | | | | 7,710 | |
Eurofins Scientific SE | | | 6 | | | | 356 | |
Tenaris SA | | | 21 | | | | 314 | |
| | | | | | | | |
| | |
| | | | | | | 8,380 | |
| | | | | | | | |
Macau — 0.0% (g) | | | | | | | | |
Sands China Ltd. (a) | | | 277 | | | | 948 | |
| | | | | | | | |
Netherlands — 8.2% | | | | | | | | |
ABN AMRO Bank NV, CVA, GDR (e) | | | 137 | | | | 2,135 | |
Adyen NV (a) (e) | | | 7 | | | | 12,788 | |
Aegon NV | | | 580 | | | | 2,942 | |
Akzo Nobel NV | | | 7 | | | | 583 | |
Argenx SE (a) | | | 2 | | | | 928 | |
ASM International NV | | | 34 | | | | 14,237 | |
ASML Holding NV | | | 288 | | | | 209,130 | |
Euronext NV (e) | | | 29 | | | | 1,975 | |
EXOR NV | | | 37 | | | | 3,272 | |
Ferrovial SE | | | 160 | | | | 5,053 | |
Heineken Holding NV | | | 119 | | | | 10,380 | |
Heineken NV | | | 268 | | | | 27,558 | |
IMCD NV | | | 18 | | | | 2,567 | |
ING Groep NV | | | 1,232 | | | | 16,609 | |
JDE Peet’s NV | | | 65 | | | | 1,940 | |
Just Eat Takeaway.com NV (a) (e) | | | 9 | | | | 140 | |
Koninklijke Ahold Delhaize NV | | | 42 | | | | 1,416 | |
Koninklijke KPN NV | | | 136 | | | | 484 | |
Koninklijke Philips NV | | | 39 | | | | 854 | |
NN Group NV | | | 86 | | | | 3,167 | |
OCI NV | | | 5 | | | | 115 | |
Prosus NV (a) | | | 34 | | | | 2,492 | |
QIAGEN NV (a) | | | 9 | | | | 421 | |
Randstad NV | | | 35 | | | | 1,833 | |
Stellantis NV | | | 95 | | | | 1,671 | |
Universal Music Group NV | | | 34 | | | | 762 | |
Wolters Kluwer NV | | | 81 | | | | 10,241 | |
| | | | | | | | |
| | |
| | | | | | | 335,693 | |
| | | | | | | | |
New Zealand — 0.1% | | | | | | | | |
Auckland International Airport Ltd. (a) | | | 144 | | | | 757 | |
Fisher & Paykel Healthcare Corp. Ltd. | | | 66 | | | | 997 | |
Mercury NZ Ltd. | | | 78 | | | | 312 | |
Meridian Energy Ltd. | | | 144 | | | | 497 | |
Spark New Zealand Ltd. | | | 209 | | | | 655 | |
Xero Ltd. (a) | | | 16 | | | | 1,305 | |
| | | | | | | | |
| | |
| | | | | | | 4,523 | |
| | | | | | | | |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
| | | | | | | | |
Norway — 0.9% | | | | | | | | |
Adevinta ASA, Class B (a) | | | 12 | | | | 78 | |
Aker BP ASA | | | 14 | | | | 320 | |
DNB Bank ASA | | | 316 | | | | 5,908 | |
Equinor ASA | | | 457 | | | | 13,299 | |
Gjensidige Forsikring ASA | | | 69 | | | | 1,107 | |
Kongsberg Gruppen ASA | | | 28 | | | | 1,250 | |
Mowi ASA | | | 227 | | | | 3,607 | |
Norsk Hydro ASA | | | 785 | | | | 4,678 | |
Orkla ASA | | | 387 | | | | 2,785 | |
Salmar ASA | | | 38 | | | | 1,530 | |
Telenor ASA | | | 30 | | | | 303 | |
Yara International ASA | | | 7 | | | | 254 | |
| | | | | | | | |
| | |
| | | | | | | 35,119 | |
| | | | | | | | |
Portugal — 0.2% | | | | | | | | |
EDP — Energias de Portugal SA | | | 1,130 | | | | 5,524 | |
Galp Energia SGPS SA | | | 236 | | | | 2,762 | |
Jeronimo Martins SGPS SA | | | 12 | | | | 337 | |
| | | | | | | | |
| | |
| | | | | | | 8,623 | |
| | | | | | | | |
Singapore — 0.6% | | | | | | | | |
CapitaLand Ascendas REIT | | | 373 | | | | 752 | |
CapitaLand Integrated Commercial Trust | | | 596 | | | | 844 | |
CapitaLand Investment Ltd. | | | 296 | | | | 727 | |
City Developments Ltd. | | | 56 | | | | 281 | |
DBS Group Holdings Ltd. | | | 205 | | | | 4,794 | |
Genting Singapore Ltd. | | | 695 | | | | 485 | |
Grab Holdings Ltd., Class A (a) | | | 213 | | | | 730 | |
Jardine Cycle & Carriage Ltd. | | | 11 | | | | 281 | |
Keppel Corp. Ltd. | | | 164 | | | | 817 | |
Mapletree Logistics Trust | | | 374 | | | | 450 | |
Mapletree Pan Asia Commercial Trust | | | 281 | | | | 338 | |
Oversea-Chinese Banking Corp. Ltd. | | | 384 | | | | 3,491 | |
Sea Ltd., ADR (a) | | | 41 | | | | 2,400 | |
Seatrium Ltd. (a) | | | 4,667 | | | | 433 | |
Singapore Airlines Ltd. | | | 152 | | | | 805 | |
Singapore Exchange Ltd. | | | 94 | | | | 672 | |
Singapore Technologies Engineering Ltd. | | | 174 | | | | 474 | |
Singapore Telecommunications Ltd. | | | 950 | | | | 1,759 | |
United Overseas Bank Ltd. | | | 143 | | | | 2,972 | |
UOL Group Ltd. | | | 56 | | | | 267 | |
Venture Corp. Ltd. | | | 33 | | | | 360 | |
Wilmar International Ltd. | | | 214 | | | | 604 | |
| | | | | | | | |
| | |
| | | | | | | 24,736 | |
| | | | | | | | |
South Korea — 0.9% | | | | | | | | |
CosmoAM&T Co. Ltd. (a) | | | 3 | | | | 444 | |
Samsung Electronics Co. Ltd. | | | 563 | | | | 31,003 | |
Samsung Electronics Co. Ltd. (Registered), GDR | | | 4 | | | | 5,753 | |
| | | | | | | | |
| | |
| | | | | | | 37,200 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 25 |
Six Circles Managed Equity Portfolio International Unconstrained Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
Common Stocks — continued | | | | | | | | |
Spain — 2.5% | | | | | | | | |
Acciona SA | | | 10 | | | | 1,678 | |
ACS Actividades de Construccion y Servicios SA | | | 66 | | | | 2,308 | |
Aena SME SA (e) | | | 24 | | | | 3,813 | |
Amadeus IT Group SA (a) | | | 19 | | | | 1,455 | |
Banco Bilbao Vizcaya Argentaria SA | | | 2,054 | | | | 15,780 | |
Banco Santander SA | | | 5,605 | | | | 20,749 | |
CaixaBank SA | | | 1,408 | | | | 5,832 | |
Cellnex Telecom SA (e) | | | 24 | | | | 980 | |
Corp. ACCIONA Energias Renovables SA | | | 28 | | | | 944 | |
EDP Renovaveis SA | | | 98 | | | | 1,952 | |
Enagas SA | | | 62 | | | | 1,211 | |
Endesa SA | | | 129 | | | | 2,776 | |
Grifols SA (a) | | | 13 | | | | 170 | |
Iberdrola SA | | | 2,227 | | | | 29,079 | |
Industria de Diseno Textil SA | | | 47 | | | | 1,811 | |
Naturgy Energy Group SA | | | 54 | | | | 1,598 | |
Redeia Corp. SA | | | 104 | | | | 1,745 | |
Repsol SA | | | 638 | | | | 9,276 | |
Telefonica SA | | | 224 | | | | 908 | |
| | | | | | | | |
| | |
| | | | | | | 104,065 | |
| | | | | | | | |
Sweden — 2.9% | | | | | | | | |
Alfa Laval AB | | | 91 | | | | 3,314 | |
Assa Abloy AB, Class B | | | 313 | | | | 7,535 | |
Atlas Copco AB, Class A | | | 840 | | | | 12,134 | |
Atlas Copco AB, Class B | | | 488 | | | | 6,089 | |
Beijer Ref AB, Class B | | | 118 | | | | 1,511 | |
Boliden AB | | | 160 | | | | 4,624 | |
Embracer Group AB, Class B (a) | | | 26 | | | | 64 | |
Epiroc AB, Class A | | | 206 | | | | 3,901 | |
Epiroc AB, Class B | | | 123 | | | | 1,984 | |
EQT AB | | | 121 | | | | 2,323 | |
Essity AB, Class B | | | 26 | | | | 691 | |
Evolution AB (e) | | | 8 | | | | 994 | |
Fastighets AB Balder, Class B (a) | | | 29 | | | | 107 | |
Getinge AB, Class B | | | 10 | | | | 180 | |
H & M Hennes & Mauritz AB, Class B | | | 28 | | | | 473 | |
Hexagon AB, Class B | | | 89 | | | | 1,091 | |
Holmen AB, Class B | | | 4 | | | | 143 | |
Husqvarna AB, Class B | | | 133 | | | | 1,204 | |
Industrivarden AB, Class A | | | 45 | | | | 1,246 | |
Industrivarden AB, Class C | | | 52 | | | | 1,435 | |
Indutrade AB | | | 86 | | | | 1,931 | |
Investment AB Latour, Class B | | | 46 | | | | 918 | |
Investor AB, Class A | | | 148 | | | | 2,954 | |
Investor AB, Class B | | | 589 | | | | 11,790 | |
Kinnevik AB, Class B (a) | | | 82 | | | | 1,140 | |
L E Lundbergforetagen AB, Class B | | | 26 | | | | 1,116 | |
Lifco AB, Class B | | | 73 | | | | 1,600 | |
Nibe Industrier AB, Class B | | | 473 | | | | 4,499 | |
Saab AB, Class B | | | 25 | | | | 1,355 | |
Sagax AB, Class B | | | 8 | | | | 155 | |
Sandvik AB | | | 334 | | | | 6,514 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
| | | | | | | | |
Sweden — continued | | | | | | | | |
Securitas AB, Class B | | | 152 | | | | 1,250 | |
Skandinaviska Enskilda Banken AB, Class A | | | 550 | | | | 6,087 | |
Skanska AB, Class B | | | 107 | | | | 1,495 | |
SKF AB, Class B | | | 107 | | | | 1,856 | |
Svenska Cellulosa AB SCA, Class B | | | 25 | | | | 324 | |
Svenska Handelsbanken AB, Class A | | | 497 | | | | 4,163 | |
Swedbank AB, Class A | | | 289 | | | | 4,873 | |
Swedish Orphan Biovitrum AB (a) | | | 7 | | | | 138 | |
Tele2 AB, Class B | | | 24 | | | | 195 | |
Telefonaktiebolaget LM Ericsson, Class B | | | 122 | | | | 661 | |
Telia Co. AB | | | 107 | | | | 234 | |
Volvo AB, Class A | | | 62 | | | | 1,322 | |
Volvo AB, Class B | | | 473 | | | | 9,783 | |
Volvo Car AB, Class B (a) | | | 28 | | | | 113 | |
| | | | | | | | |
| | |
| | | | | | | 117,509 | |
| | | | | | | | |
Switzerland — 16.5% | | | | | | | | |
ABB Ltd. (Registered) | | | 492 | | | | 19,359 | |
Adecco Group AG (Registered) | | | 50 | | | | 1,641 | |
Alcon, Inc. | | | 21 | | | | 1,748 | |
Bachem Holding AG, Class B | | | 1 | | | | 129 | |
Baloise Holding AG (Registered) | | | 16 | | | | 2,309 | |
Banque Cantonale Vaudoise (Registered) | | | 10 | | | | 1,088 | |
Barry Callebaut AG (Registered) | | | 3 | | | | 5,356 | |
BKW AG | | | 8 | | | | 1,403 | |
Chocoladefabriken Lindt & Spruengli AG | | | 1 | | | | 9,731 | |
Chocoladefabriken Lindt & Spruengli AG (Registered) | | | — (h) | | | | 10,426 | |
Cie Financiere Richemont SA (Registered), Class A | | | 263 | | | | 44,685 | |
Clariant AG (Registered) (a) | | | 9 | | | | 136 | |
Coca-Cola HBC AG | | | 228 | | | | 6,793 | |
DSM-Firmenich AG (a) | | | 7 | | | | 792 | |
Dufry AG (Registered) (a) | | | 4 | | | | 188 | |
EMS-Chemie Holding AG (Registered) | | | — (h) | | | | 219 | |
Geberit AG (Registered) | | | 11 | | | | 5,583 | |
Givaudan SA (Registered) | | | — (h) | | | | 1,284 | |
Glencore plc | | | 6,235 | | | | 35,353 | |
Helvetia Holding AG (Registered) | | | 13 | | | | 1,702 | |
Holcim AG (a) | | | 23 | | | | 1,580 | |
Julius Baer Group Ltd. | | | 73 | | | | 4,600 | |
Kuehne + Nagel International AG (Registered) | | | 17 | | | | 5,028 | |
Logitech International SA (Registered) | | | 7 | | | | 425 | |
Lonza Group AG (Registered) | | | 3 | | | | 1,892 | |
Nestle SA (Registered) | | | 2,129 | | | | 256,085 | |
Novartis AG (Registered) | | | 642 | | | | 64,702 | |
Partners Group Holding AG | | | 8 | | | | 7,280 | |
Roche Holding AG | | | 230 | | | | 70,481 | |
Schindler Holding AG | | | 13 | | | | 2,995 | |
Schindler Holding AG (Registered) | | | 7 | | | | 1,654 | |
SGS SA (Registered) | | | 47 | | | | 4,433 | |
SIG Group AG (a) | | | 13 | | | | 353 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 26 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
Common Stocks — continued | | | | | | | | |
Switzerland — continued | | | | | | | | |
Sika AG (Registered) | | | 6 | | | | 1,785 | |
Sonova Holding AG (Registered) | | | 2 | | | | 576 | |
STMicroelectronics NV | | | 489 | | | | 24,383 | |
Straumann Holding AG (Registered) | | | 5 | | | | 769 | |
Swatch Group AG (The) | | | 15 | | | | 4,250 | |
Swatch Group AG (The) (Registered) | | | 27 | | | | 1,469 | |
Swiss Life Holding AG (Registered) | | | 10 | | | | 6,144 | |
Swiss Prime Site AG (Registered) | | | 3 | | | | 291 | |
Swiss Re AG | | | 103 | | | | 10,349 | |
Swisscom AG (Registered) | | | 1 | | | | 685 | |
Temenos AG (Registered) | | | 3 | | | | 207 | |
UBS Group AG (Registered) | | | 1,118 | | | | 22,660 | |
VAT Group AG (e) | | | 8 | | | | 3,511 | |
Zurich Insurance Group AG | | | 51 | | | | 24,361 | |
| | | | | | | | |
| | |
| | | | | | | 672,873 | |
| | | | | | | | |
Taiwan — 1.7% | | | | | | | | |
ASE Technology Holding Co. Ltd. | | | 384 | | | | 1,366 | |
eMemory Technology, Inc. | | | 8 | | | | 573 | |
Global Unichip Corp. | | | 11 | | | | 569 | |
Globalwafers Co. Ltd. | | | 28 | | | | 449 | |
MediaTek, Inc. | | | 191 | | | | 4,228 | |
Nanya Technology Corp. | | | 153 | | | | 349 | |
Novatek Microelectronics Corp. | | | 73 | | | | 1,002 | |
Powerchip Semiconductor Manufacturing Corp. | | | 378 | | | | 377 | |
Realtek Semiconductor Corp. | | | 58 | | | | 723 | |
Taiwan Semiconductor Manufacturing Co. Ltd. | | | 3,091 | | | | 57,101 | |
United Microelectronics Corp. | | | 1,412 | | | | 2,219 | |
Vanguard International Semiconductor Corp. | | | 111 | | | | 315 | |
Win Semiconductors Corp. | | | 42 | | | | 223 | |
Winbond Electronics Corp. (a) | | | 375 | | | | 332 | |
| | | | | | | | |
| | |
| | | | | | | 69,826 | |
| | | | | | | | |
United Arab Emirates — 0.0% (g) | | | | | | | | |
NMC Health plc (a) (bb) (cc) | | | 16 | | | | — | |
| | | | | | | | |
United Kingdom — 16.3% | | | | | | | | |
3i Group plc | | | 331 | | | | 8,203 | |
abrdn plc | | | 681 | | | | 1,890 | |
Admiral Group plc | | | 72 | | | | 1,902 | |
Anglo American plc | | | 742 | | | | 21,131 | |
Ashtead Group plc | | | 137 | | | | 9,517 | |
Associated British Foods plc | | | 181 | | | | 4,591 | |
AstraZeneca plc | | | 485 | | | | 69,563 | |
Auto Trader Group plc (e) | | | 40 | | | | 312 | |
Aviva plc | | | 947 | | | | 4,765 | |
BAE Systems plc | | | 955 | | | | 11,265 | |
Barclays plc | | | 5,295 | | | | 10,345 | |
Barratt Developments plc | | | 41 | | | | 215 | |
Berkeley Group Holdings plc | | | 5 | | | | 234 | |
BP plc | | | 8,491 | | | | 49,438 | |
British American Tobacco plc | | | 90 | | | | 2,992 | |
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
| | | | | | | | |
United Kingdom — continued | | | | | | | | |
British Land Co. plc (The) | | | 38 | | | | 147 | |
BT Group plc, Class A | | | 294 | | | | 458 | |
Bunzl plc | | | 106 | | | | 4,026 | |
Burberry Group plc | | | 190 | | | | 5,138 | |
Centrica plc | | | 238 | | | | 375 | |
CNH Industrial NV | | | 320 | | | | 4,614 | |
Coca-Cola Europacific Partners plc | | | 213 | | | | 13,705 | |
Compass Group plc | | | 74 | | | | 2,069 | |
Croda International plc | | | 6 | | | | 427 | |
Diageo plc | | | 2,332 | | | | 100,263 | |
Endeavour Mining plc | | | 108 | | | | 2,602 | |
Entain plc | | | 25 | | | | 410 | |
GSK plc | | | 1,281 | | | | 22,709 | |
Haleon plc | | | 214 | | | | 878 | |
Halma plc | | | 16 | | | | 472 | |
Hargreaves Lansdown plc | | | 122 | | | | 1,270 | |
HSBC Holdings plc | | | 6,800 | | | | 53,843 | |
Imperial Brands plc | | | 37 | | | | 815 | |
Informa plc | | | 60 | | | | 556 | |
InterContinental Hotels Group plc | | | 7 | | | | 516 | |
Intertek Group plc | | | 51 | | | | 2,738 | |
J Sainsbury plc | | | 71 | | | | 241 | |
JD Sports Fashion plc | | | 116 | | | | 215 | |
Johnson Matthey plc | | | 8 | | | | 168 | |
Kingfisher plc | | | 79 | | | | 234 | |
Land Securities Group plc | | | 29 | | | | 212 | |
Legal & General Group plc | | | 2,033 | | | | 5,886 | |
Lloyds Banking Group plc | | | 22,548 | | | | 12,500 | |
London Stock Exchange Group plc | | | 137 | | | | 14,536 | |
M&G plc | | | 756 | | | | 1,839 | |
Mondi plc | | | 21 | | | | 313 | |
National Grid plc | | | 156 | | | | 2,065 | |
NatWest Group plc | | | 1,949 | | | | 5,957 | |
Next plc | | | 5 | | | | 466 | |
Ocado Group plc (a) | | | 26 | | | | 185 | |
Pearson plc | | | 28 | | | | 296 | |
Persimmon plc | | | 13 | | | | 172 | |
Phoenix Group Holdings plc | | | 256 | | | | 1,732 | |
Reckitt Benckiser Group plc | | | 30 | | | | 2,279 | |
RELX plc | | | 595 | | | | 19,865 | |
Rentokil Initial plc | | | 789 | | | | 6,165 | |
Rio Tinto plc | | | 658 | | | | 41,800 | |
Rolls-Royce Holdings plc (a) | | | 2,623 | | | | 5,043 | |
Sage Group plc (The) | | | 44 | | | | 515 | |
Schroders plc | | | 275 | | | | 1,532 | |
Segro plc | | | 52 | | | | 473 | |
Severn Trent plc | | | 11 | | | | 356 | |
Shell plc | | | 3,286 | | | | 98,025 | |
Smith & Nephew plc | | | 37 | | | | 590 | |
Smiths Group plc | | | 111 | | | | 2,329 | |
Spirax-Sarco Engineering plc | | | 23 | | | | 3,046 | |
SSE plc | | | 46 | | | | 1,084 | |
St James’s Place plc | | | 188 | | | | 2,602 | |
Standard Chartered plc | | | 818 | | | | 7,117 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 27 |
Six Circles Managed Equity Portfolio International Unconstrained Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| | | | | | | | |
| SECURITY DESCRIPTION | | SHARES | | | VALUE ($) | |
Common Stocks — continued | | | | | | | | |
United Kingdom — continued | | | | | | | | |
Taylor Wimpey plc | | | 157 | | | | 205 | |
Tesco plc | | | 311 | | | | 980 | |
Unilever plc | | | 107 | | | | 5,571 | |
United Utilities Group plc | | | 29 | | | | 359 | |
Vodafone Group plc | | | 960 | | | | 906 | |
Whitbread plc | | | 8 | | | | 366 | |
Wise plc, Class A (a) | | | 211 | | | | 1,766 | |
WPP plc | | | 45 | | | | 470 | |
| | | | | | | | |
| | |
| | | | | | | 664,855 | |
| | | | | | | | |
United States — 0.0% (g) | | | | | | | | |
Brookfield Renewable Corp., Class A | | | 3 | | | | 94 | |
Parade Technologies Ltd. | | | 10 | | | | 347 | |
| | | | | | | | |
| | |
| | | | | | | 441 | |
| | | | | | | | |
Total Common Stocks
(Cost $3,466,455) | | | | | | | 4,023,816 | |
| | | | | | | | |
Preferred Stocks — 0.2% | | | | | | | | |
Germany — 0.1% | | | | | | | | |
Bayerische Motoren Werke AG | | | 2 | | | | 285 | |
Dr Ing hc F Porsche AG (e) | | | 5 | | | | 602 | |
Henkel AG & Co. KGaA | | | 7 | | | | 567 | |
Porsche Automobil Holding SE (a) | | | 6 | | | | 387 | |
Sartorius AG | | | 1 | | | | 380 | |
Volkswagen AG | | | 9 | | | | 1,182 | |
| | | | | | | | |
| | |
| | | | | | | 3,403 | |
| | | | | | | | |
South Korea — 0.1% | | | | | | | | |
Samsung Electronics Co. Ltd. | | | 97 | | | | 4,423 | |
| | | | | | | | |
Total Preferred Stocks
(Cost $6,571) | | | | | | | 7,826 | |
| | | | | | | | |
| | | | | | | | |
| SECURITY DESCRIPTION | | PRINCIPAL AMOUNT($) | | | VALUE ($) | |
Short-Term Investments — 0.9% | | | | | | | | |
Time Deposits — 0.9% | | | | | | | | |
Australia & New Zealand Banking Group Ltd.,
2.77%, 07/03/2023 | | AUD | 729 | | | | 486 | |
4.42%, 07/03/2023 | | | 1,078 | | | | 1,078 | |
Brown Brothers Harriman,
1.97%, 07/03/2023 | | DKK | 8,012 | | | | 1,174 | |
2.22%, 07/03/2023 | | SEK | 3,333 | | | | 309 | |
2.60%, 07/03/2023 | | NOK | 2,249 | | | | 210 | |
2.80%, 07/03/2023 | | SGD | 409 | | | | 303 | |
3.47%, 07/03/2023 | | HKD | 2,157 | | | | 275 | |
3.90%, 07/03/2023 | | NZD | 140 | | | | 86 | |
Citibank NA,
2.37%, 07/03/2023 | | EUR | 5,354 | | | | 5,842 | |
4.42%, 07/03/2023 | | | 1,874 | | | | 1,874 | |
Royal Bank of Canada,
3.54%, 07/04/2023 | | CAD | 217 | | | | 164 | |
Skandinaviska Enskilda Banken AB,
0.65%, 07/03/2023 | | CHF | 2,383 | | | | 2,662 | |
2.37%, 07/03/2023 | | EUR | 5,646 | | | | 6,161 | |
3.92%, 07/03/2023 | | GBP | 4,522 | | | | 5,742 | |
4.42%, 07/03/2023 | | | 1,595 | | | | 1,595 | |
Sumitomo Mitsui Banking Corp.,
(0.37%), 07/03/2023 | | JPY | 346,086 | | | | 2,398 | |
4.42%, 07/03/2023 | | | — (h) | | | | — (h) | |
Sumitomo Mitsui Trust Bank Ltd.,
4.42%, 07/03/2023 | | | 6,905 | | | | 6,905 | |
| | | | | | | | |
Total Short-Term Investments
(Cost $37,264) | | | | | | | 37,264 | |
| | | | | | | | |
| | |
Total Investments — 99.4%
(Cost — $3,510,290) * | | | | | | | 4,068,906 | |
| |
Other Assets in Excess of Liabilities — 0.6% | | | | 22,855 | |
| | | | | | | | |
| | |
NET ASSETS — 100.0% | | | | | | | $4,091,761 | |
| | | | | | | | |
Percentages indicated are based on net assets.
| | | | | | | | | | | | | | | | | | | | |
| Futures contracts outstanding as of June 30, 2023: | |
| Exchange Traded | |
| DESCRIPTION | | NUMBER OF CONTRACTS | | | EXPIRATION DATE | | | TRADING CURRENCY | | | NOTIONAL AMOUNT ($) | | | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| ASX SPI 200 Index | | | 13 | | | | 09/2023 | | | | AUD | | | | 1,538 | | | | 12 | |
| | | | | |
| Euro STOXX 50 Index | | | 353 | | | | 09/2023 | | | | EUR | | | | 16,777 | | | | 275 | |
| | | | | |
| FTSE 100 Index | | | 126 | | | | 09/2023 | | | | GBP | | | | 12,084 | | | | (16 | ) |
| | | | | |
| MSCI Emerging Markets Index | | | 7 | | | | 09/2023 | | | | USD | | | | 349 | | | | — (h) | |
| | | | | |
| S&P Toronto Stock Exchange 60 Index | | | 1 | | | | 09/2023 | | | | CAD | | | | 179 | | | | 5 | |
| | | | | |
| SGX FTSE Taiwan Index | | | 18 | | | | 07/2023 | | | | USD | | | | 1,043 | | | | (3 | ) |
| | | | | |
| SGX MSCI Singapore Index | | | 34 | | | | 07/2023 | | | | SGD | | | | 724 | | | | 2 | |
| | | | | |
| TOPIX Index | | | 14 | | | | 09/2023 | | | | JPY | | | | 2,201 | | | | 18 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Total unrealized appreciation (depreciation) | | | | | | | | | | | | | | | | | | | 293 | |
| | | | | | | | | | | | | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 28 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2023
| | |
| ADR | | — American Depositary Receipt |
| CDI | | — CHESS Depository Interests |
| CVA | | — Dutch Certification |
| GDR | | — Global Depositary Receipt |
| OYJ | | — Public Limited Company |
| REIT | | — Real Estate Investment Trust |
| (a) | | — Non-income producing security. |
| (e) | | — Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| (g) | | — Amount rounds to less than 0.05%. |
| (h) | | — Amount rounds to less than 500 shares or principal/ $500. |
| (bb) | | — Security has been valued using significant unobservable inputs. |
| (cc) | | — Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| * | | — The cost of securities is substantially the same for federal income tax purposes. |
| AUD | | — Australian Dollar |
| CAD | | — Canadian Dollar |
| CHF | | — Swiss Franc |
| DKK | | — Danish Krone |
| EUR | | — Euro |
| GBP | | — British Pound |
| HKD | | — Hong Kong Dollar |
| JPY | | — Japanese Yen |
| NOK | | — Norwegian Krone |
| NZD | | — New Zealand Dollar |
| SEK | | — Swedish Krona |
| SGD | | — Singapore Dollar |
| USD | | — United States Dollar |
Summary of Investments by Industry, June 30, 2023
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
| | | | |
| INDUSTRY | | PERCENTAGE | |
| |
Semiconductors | | | 9.9 | % |
| |
Pharmaceuticals | | | 9.6 | % |
| |
Banks | | | 9.3 | % |
| |
Food | | | 8.3 | % |
| |
Beverages | | | 7.1 | % |
| |
Oil & Gas | | | 6.7 | % |
| |
Apparel | | | 5.2 | % |
| |
Software | | | 5.0 | % |
| |
Insurance | | | 4.9 | % |
| |
Mining | | | 3.6 | % |
| |
Electric | | | 3.0 | % |
| |
Commercial Services | | | 2.4 | % |
| |
Aerospace/Defense | | | 1.9 | % |
| |
Retail | | | 1.9 | % |
| |
Toys/Games/Hobbies | | | 1.7 | % |
| |
Diversified Financial Services | | | 1.3 | % |
| |
Miscellaneous Manufacturers | | | 1.3 | % |
| |
Transportation | | | 1.3 | % |
| |
Machinery — Diversified | | | 1.2 | % |
| |
Engineering & Construction | | | 1.1 | % |
| |
Electrical Components & Equipment | | | 1.0 | % |
| |
Others (Each less than 1.0%) | | | 11.4 | % |
| |
Short-Term Investments | | | 0.9 | % |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 29 |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2023 (Unaudited)
(Amounts in thousands, except per share amounts)
| | | | |
| | |
Six Circles
Managed Equity
Portfolio U.S.
Unconstrained
Fund | |
ASSETS: | | | | |
Investments in non-affiliates, at value | | $ | 8,216,503 | |
Cash | | | 3 | |
Deposits at broker for futures contracts | | | 3,284 | |
Prepaid expenses | | | 4 | |
Receivables: | | | | |
Investment securities sold | | | 83 | |
Fund shares sold | | | 19,464 | |
Interest and dividends from non-affiliates | | | 4,483 | |
Tax reclaims | | | 38 | |
Variation margin on futures contracts | | | 746 | |
| | | | |
Total Assets | | | 8,244,608 | |
| | | | |
| |
LIABILITIES: | | | | |
Payables: | | | | |
Due to custodian—foreign currency | | | 2 | |
Investment securities purchased | | | 18,551 | |
Fund shares redeemed | | | 4,890 | |
Accrued liabilities: | | | | |
Investment advisory fees | | | 494 | |
Administration fees | | | 99 | |
Custodian and accounting fees | | | 145 | |
Trustees’ fees | | | 3 | |
Registration and filing fees | | | 4 | |
Other | | | 175 | |
| | | | |
Total Liabilities | | | 24,363 | |
| | | | |
Net Assets | | $ | 8,220,245 | |
| | | | |
| |
NET ASSETS: | | | | |
Paid-in capital | | $ | 7,410,843 | |
Total distributable earnings (loss) | | | 809,402 | |
| | | | |
Total Net Assets | | $ | 8,220,245 | |
| | | | |
Outstanding units of beneficial interest (shares) | | | | |
($0.0001 par value; unlimited number of shares authorized): | | | 529,014 | |
Net Asset Value, offering and redemption price per share: (a) | | $ | 15.54 | |
Cost of investments in non-affiliates | | $ | 6,809,619 | |
| (a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 30 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | |
| | | Six Circles
Managed
Equity Portfolio
International
Unconstrained
Fund | |
ASSETS: | | | | |
Investments in non-affiliates, at value | | $ | 4,068,906 | |
Foreign currency, at value | | | 439 | |
Deposits at broker for futures contracts | | | 2,076 | |
Prepaid expenses | | | 2 | |
Receivables: | | | | |
Investment securities sold | | | 420 | |
Fund shares sold | | | 7,547 | |
Interest and dividends from non-affiliates | | | 3,945 | |
Tax reclaims | | | 17,873 | |
Variation margin on futures contracts | | | 252 | |
| | | | |
Total Assets | | | 4,101,460 | |
| | | | |
| |
LIABILITIES: | | | | |
Payables: | | | | |
Due to custodian—cash | | | 13 | |
Deposits from broker for futures contracts | | | 38 | |
Investment securities purchased | | | 4,959 | |
Fund shares redeemed | | | 3,659 | |
Accrued liabilities: | | | | |
Investment advisory fees | | | 321 | |
Administration fees | | | 47 | |
Custodian and accounting fees | | | 447 | |
Registration and filing fees | | | 6 | |
Other | | | 209 | |
| | | | |
Total Liabilities | | | 9,699 | |
| | | | |
Net Assets | | $ | 4,091,761 | |
| | | | |
| |
NET ASSETS: | | | | |
Paid-in capital | | $ | 3,697,048 | |
Total distributable earnings (loss) | | | 394,713 | |
| | | | |
Total Net Assets | | $ | 4,091,761 | |
| | | | |
Outstanding units of beneficial interest (shares) | | | | |
($0.0001 par value; unlimited number of shares authorized): | | | 323,857 | |
Net Asset Value, offering and redemption price per share: (a) | | $ | 12.63 | |
Cost of investments in non-affiliates | | $ | 3,510,290 | |
Cost of foreign currency | | | 439 | |
| (a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 31 |
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED JUNE 30, 2023 (Unaudited)
(Amounts in thousands)
| | | | |
| | |
Six Circles
Managed Equity
Portfolio U.S.
Unconstrained
Fund | |
INVESTMENT INCOME: | | | | |
Interest income from non-affiliates | | $ | 1,282 | |
Dividend income from non-affiliates | | | 52,978 | |
Foreign taxes withheld | | | (65 | ) |
| | | | |
Total investment income | | | 54,195 | |
| | | | |
| |
EXPENSES: | | | | |
Investment advisory fees | | | 8,606 | |
Administration fees | | | 199 | |
Custodian and accounting fees | | | 275 | |
Professional fees | | | 107 | |
Trustees’ fees | | | 90 | |
Printing and mailing costs | | | 29 | |
Registration and filing fees | | | 102 | |
Transfer agency fees | | | 14 | |
Interest expense | | | 39 | |
Other | | | 93 | |
| | | | |
Total expenses | | | 9,554 | |
| | | | |
Less advisory fees waived | | | (7,239 | ) |
| | | | |
Net expenses | | | 2,315 | |
| | | | |
Net investment income (loss) | | | 51,880 | |
| | | | |
| |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | |
Net realized gain (loss) on: | | | | |
Investments in non-affiliates | | | (135,456 | ) |
Futures contracts | | | 4,556 | |
Foreign currency transactions | | | (2 | ) |
| | | | |
Net realized gain (loss) | | | (130,902 | ) |
| | | | |
Change in net unrealized appreciation (depreciation) of: | | | | |
Investments in non-affiliates | | | 1,272,428 | |
Futures contracts | | | 2,211 | |
Foreign currency translations | | | (2 | ) |
| | | | |
Change in net unrealized appreciation (depreciation) | | | 1,274,637 | |
| | | | |
Net realized/unrealized gains (losses) | | | 1,143,735 | |
| | | | |
Change in net assets resulting from operations | | $ | 1,195,615 | |
| | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 32 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | |
| | | Six Circles
Managed
Equity Portfolio
International
Unconstrained
Fund | |
INVESTMENT INCOME: | | | | |
Interest income from non-affiliates | | $ | 449 | |
Dividend income from non-affiliates | | | 81,810 | |
Foreign taxes withheld | | | (9,740 | ) |
Other Income | | | 2 | |
| | | | |
Total investment income | | | 72,521 | |
| | | | |
| |
EXPENSES: | | | | |
Investment advisory fees | | | 4,539 | |
Administration fees | | | 117 | |
Custodian and accounting fees | | | 671 | |
Professional fees | | | 63 | |
Trustees’ fees | | | 50 | |
Printing and mailing costs | | | 17 | |
Registration and filing fees | | | 42 | |
Transfer agency fees | | | 13 | |
Interest expense | | | 21 | |
Other | | | 150 | |
| | | | |
Total expenses | | | 5,683 | |
| | | | |
Less advisory fees waived | | | (3,636 | ) |
| | | | |
Net expenses | | | 2,047 | |
| | | | |
Net investment income (loss) | | | 70,474 | |
| | | | |
| |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | |
Net realized gain (loss) on: | | | | |
Investments in non-affiliates | | | 39,509 | |
Futures contracts | | | 212 | |
Foreign currency transactions | | | (8 | ) |
Forward foreign currency exchange contracts | | | (470 | ) |
| | | | |
Net realized gain (loss) | | | 39,243 | |
| | | | |
Change in net unrealized appreciation (depreciation) of: | | | | |
Investments in non-affiliates | | | 371,234 | |
Futures contracts | | | 636 | |
Foreign currency translations | | | 280 | |
| | | | |
Change in net unrealized appreciation (depreciation) | | | 372,150 | |
| | | | |
Net realized/unrealized gains (losses) | | | 411,393 | |
| | | | |
Change in net assets resulting from operations | | $ | 481,867 | |
| | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 33 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| | | | | | | | |
| | |
Six Circles Managed Equity Portfolio U.S.
Unconstrained Fund | |
| | | Period Ended
June 30, 2023
(Unaudited) | | | Year Ended
December 31, 2022 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | | |
Net investment income (loss) | | $ | 51,880 | | | $ | 85,308 | |
Net realized gain (loss) | | | (130,902 | ) | | | (488,719 | ) |
Change in net unrealized appreciation (depreciation) | | | 1,274,637 | | | | (1,017,025 | ) |
| | | | | | | | |
Change in net assets resulting from operations | | | 1,195,615 | | | | (1,420,436 | ) |
| | | | | | | | |
| | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | |
Distributions to shareholders | | | — | | | | (92,320 | ) |
| | |
CAPITAL TRANSACTIONS: | | | | | | | | |
Change in net assets resulting from capital transactions | | | 823,608 | | | | 2,600,643 | |
| | | | | | | | |
| | |
NET ASSETS: | | | | | | | | |
Change in net assets | | | 2,019,223 | | | | 1,087,887 | |
Beginning of period | | | 6,201,022 | | | | 5,113,135 | |
| | | | | | | | |
End of period | | $ | 8,220,245 | | | $ | 6,201,022 | |
| �� | | | | | | | |
| | |
CAPITAL TRANSACTIONS: | | | | | | | | |
Proceeds from shares issued | | $ | 1,505,540 | | | $ | 4,805,910 | |
Distributions reinvested | | | — | | | | 92,177 | |
Cost of shares redeemed | | | (681,932 | ) | | | (2,297,444 | ) |
| | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | 823,608 | | | $ | 2,600,643 | |
| | | | | | | | |
| | |
SHARE TRANSACTIONS: | | | | | | | | |
Issued | | | 104,633 | | | | 324,608 | |
Reinvested | | | — | | | | 6,915 | |
Redeemed | | | (48,203 | ) | | | (165,040 | ) |
| | | | | | | | |
Change in Shares | | | 56,430 | | | | 166,483 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| 34 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | |
| | |
Six Circles Managed Equity Portfolio
International Unconstrained Fund | |
| | | Period Ended
June 30, 2023
(Unaudited) | | | Year Ended
December 31, 2022 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | | |
Net investment income (loss) | | $ | 70,474 | | | $ | 92,922 | |
Net realized gain (loss) | | | 39,243 | | | | (240,470 | ) |
Change in net unrealized appreciation (depreciation) | | | 372,150 | | | | (273,180 | ) |
| | | | | | | | |
Change in net assets resulting from operations | | | 481,867 | | | | (420,728 | ) |
| | | | | | | | |
| | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | |
Distributions to shareholders | | | — | | | | (94,370 | ) |
| | |
CAPITAL TRANSACTIONS: | | | | | | | | |
Change in net assets resulting from capital transactions | | | 418,227 | | | | 716,277 | |
| | | | | | | | |
| | |
NET ASSETS: | | | | | | | | |
Change in net assets | | | 900,094 | | | | 201,179 | |
Beginning of period | | | 3,191,667 | | | | 2,990,488 | |
| | | | | | | | |
End of period | | $ | 4,091,761 | | | $ | 3,191,667 | |
| | | | | | | | |
| | |
CAPITAL TRANSACTIONS: | | | | | | | | |
Proceeds from shares issued | | $ | 716,213 | | | $ | 1,931,031 | |
Distributions reinvested | | | — | | | | 94,213 | |
Cost of shares redeemed | | | (297,986 | ) | | | (1,308,967 | ) |
| | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | 418,227 | | | $ | 716,277 | |
| | | | | | | | |
| | |
SHARE TRANSACTIONS: | | | | | | | | |
Issued | | | 57,989 | | | | 171,535 | |
Reinvested | | | — | | | | 8,526 | |
Redeemed | | | (24,294 | ) | | | (120,867 | ) |
| | | | | | | | |
Change in Shares | | | 33,695 | | | | 59,194 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 35 |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Per share operating performance | |
| | | | | | Investment operations | | | Distributions | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) (b) | | | Net realized
and unrealized
gains
(losses) on
investments
and foreign
currency
transactions | | | Total from
investment
operations | | | Net
investment
income | | | Net
realized
gain | | | Total
distributions | |
| |
Six Circles Managed Equity Portfolio U.S. Unconstrained Fund | | | | | |
Six Months Ended June 30, 2023 (Unaudited) | | $ | 13.12 | | | $ | 0.11 | | | $ | 2.31 | | | $ | 2.42 | | | $ | — | | | $ | — | | | $ | — | |
Year Ended December 31, 2022 | | | 16.70 | | | | 0.20 | | | | (3.58 | ) | | | (3.38 | ) | | | (0.18 | ) | | | (0.02 | ) | | | (0.20 | ) |
Year Ended December 31, 2021 | | | 13.74 | | | | 0.19 | | | | 3.46 | | | | 3.65 | | | | (0.15 | ) | | | (0.54 | ) | | | (0.69 | ) |
Year Ended December 31, 2020 | | | 11.00 | | | | 0.21 | | | | 2.99 | | | | 3.20 | | | | (0.20 | ) | | | (0.26 | ) | | | (0.46 | ) |
Period Ended December 31, 2019* | | | 10.00 | | | | 0.14 | | | | 1.05 | | | | 1.19 | | | | (0.12 | ) | | | (0.07 | ) | | | (0.19 | ) |
| * | Six Circles Managed Equity Portfolio U.S. Unconstrained Fund was launched on April 10, 2019. |
| (a) | Certain expenses incurred by the Fund were not annualized for the period. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 36 | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets (a) | |
Net asset
value,
end of
period | | | Total
return (c)(d) | | | Net assets,
end of
period (000’s) | | | Net expenses (e) | | | Net
investment
income
(loss) | | | Expenses
without waivers
and reimbursements | | | Portfolio
turnover
rate (c) | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $15.54 | | | | 18.45 | % | | $ | 8,220,245 | | | | 0.07 | % | | | 1.51 | % | | | 0.28 | % | | | 22.74 | % |
| | 13.12 | | | | (20.26 | ) | | | 6,201,022 | | | | 0.07 | | | | 1.38 | | | | 0.28 | | | | 49.13 | |
| | 16.70 | | | | 26.68 | | | | 5,113,135 | | | | 0.07 | | | | 1.19 | | | | 0.28 | | | | 26.74 | |
| | 13.74 | | | | 29.09 | | | | 2,081,512 | | | | 0.09 | | | | 1.79 | | | | 0.30 | | | | 54.88 | |
| | 11.00 | | | | 11.90 | | | | 1,420,625 | | | | 0.11 | | | | 1.94 | | | | 0.33 | | | | 44.20 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | 37 | |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Per share operating performance: | |
| | | | | | Investment operations | | | Distributions | |
| | | Net asset
value,
beginning
of period | | | Net
investment
income
(loss) (b) | | | Net realized
and unrealized
gains
(losses) on
investments
and foreign
currency
transactions | | | Total from
investment
operations | | | Net
investment
income | | | Net
realized
gain | | | Total
distributions | |
| | | | | |
Six Circles Managed Equity Portfolio International Unconstrained Fund | | | | | | | | | | | | | | | | | | | | | |
Six Months Ended June 30, 2023 (Unaudited) | | $ | 11.00 | | | $ | 0.23 | | | $ | 1.40 | | | $ | 1.63 | | | $ | — | | | $ | — | | | $ | — | |
Year Ended December 31, 2022 | | | 12.95 | | | | 0.34 | | | | (1.96 | ) | | | (1.62 | ) | | | (0.33 | ) | | | — | | | | (0.33 | ) |
Year Ended December 31, 2021 | | | 11.03 | | | | 0.34 | (g) | | | 1.83 | | | | 2.17 | | | | (0.25 | ) | | | — | | | | (0.25 | ) |
Year Ended December 31, 2020 | | | 10.28 | | | | 0.21 | | | | 0.74 | | | | 0.95 | | | | (0.20 | ) | | | — | | | | (0.20 | ) |
Period Ended December 31, 2019* | | | 10.00 | | | | 0.20 | | | | 0.24 | | | | 0.44 | | | | (0.16 | ) | | | — | | | | (0.16 | ) |
| * | Six Circles Managed Equity Portfolio International Unconstrained Fund was launched on April 10, 2019. |
| (a) | Certain expenses incurred by the Fund were not annualized for the period. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| (f) | Includes interest expense, which was 0.006% for the year ended December 31, 2022. |
| (g) | Includes income recognized from non-cash dividends which amounted to $0.02 per share and 0.134% of average net assets for the year ended December 31, 2021. |
| (h) | Includes interest expense, which was 0.009% for the year ended December 31, 2021. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 38 | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios/Supplemental data | |
| | | | | | | | | | Ratios to average net assets (a) | | | | |
Net asset
value,
end of
period | | | Total
return (c)(d) | | | Net assets,
end of
period (000’s) | | | Net
expenses,
with
interest
expense | | | Net
expenses,
without
interest
expense | | | Net
investment
income
(loss) | | | Expenses
without waivers
and reimbursements | | | Portfolio
turnover
rate (c) | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $12.63 | | | | 14.82 | % | | $ | 4,091,761 | | | | 0.11 | %(e) | | | 0.11 | % | | | 3.88 | % | | | 0.31 | % | | | 21.38 | % |
| | 11.00 | | | | (12.54 | ) | | | 3,191,667 | | | | 0.14 | (f) | | | 0.13 | | | | 3.08 | | | | 0.34 | | | | 81.90 | |
| | 12.95 | | | | 19.76 | | | | 2,990,488 | | | | 0.12 | (h) | | | 0.11 | | | | 2.70 | (g) | | | 0.32 | | | | 32.44 | |
| | 11.03 | | | | 9.25 | | | | 1,388,623 | | | | 0.20 | | | | 0.19 | | | | 2.22 | | | | 0.40 | | | | 91.56 | |
| | 10.28 | | | | 4.41 | | | | 901,626 | | | | 0.26 | (e) | | | 0.26 | | | | 2.86 | | | | 0.48 | | | | 62.67 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | 39 | |
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2023 (Unaudited)
1. Organization
Six Circles Trust (the “Trust”) was formed on November 8, 2017, as a Delaware statutory trust, pursuant to a Declaration of Trust dated November 8, 2017, as amended and restated June 12, 2018, and further amended to add fund series on September 21, 2018, November 19, 2019, and April 13, 2020, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
Six Circles Managed Equity Portfolio U.S. Unconstrained Fund and Six Circles Managed Equity Portfolio International Unconstrained Fund are two separate series of the Trust (each, a “Fund” and collectively, the “Funds”) covered by this report. The Funds are classified as “non-diversified” funds. Each Fund currently offers one class of shares. The Funds commenced operations on April 10, 2019.
The investment objective of each of the Six Circles Managed Equity Portfolio U.S. Unconstrained Fund and Six Circles Managed Equity Portfolio International Unconstrained Fund is to provide capital appreciation.
J.P. Morgan Private Investments Inc. (“JPMPI”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as the Funds’ investment adviser (the “Adviser”). The Adviser has engaged a Sub-Adviser to manage the assets of the Funds.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Funds’ valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
The Board has designated the Adviser as the Valuation Designee, and the Adviser uses the Six Circles Funds Valuation Committee (“VC”), comprised of officers of the Funds and other personnel of the Adviser, to assist the Board with the oversight and monitoring of the valuation of the Funds’ investments with respect to Rule 2a-5 under the 1940 Act. The VC oversees and carries out policies and procedures for the valuation of investments held by the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events and pricing vendor due diligence. The VC, through the Adviser, is responsible for assessing the potential impacts to the fair values on an ongoing basis, and discussing this on at least a quarterly basis with the Board.
A market-based approach is primarily used to value the Funds’ investments for which market quotations are readily available and which are generally valued at their current market value. Other securities and assets, including securities for which market quotations are not readily available, market quotations are determined not to be reliable, or whose value has been materially affected by events occurring after the close of trading on the exchange or market on which the security is principally traded but before a Fund’s net asset value (“NAV”) is calculated, are valued by approved pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. The valuation may include related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment in order to determine the fair value of the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based on current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used, had a ready market for the investments existed, and such differences could be material.
Equity securities listed on a North American, Central American, South American or Caribbean (“Americas”) securities exchange are generally valued at the last sale price or official market closing price on the primary exchange on which the security is principally traded that is reported before the time when the net assets values of the Funds are calculated on a valuation date. The Funds calculate their NAV as of 4 p.m. Eastern time each day the New York Stock Exchange (NYSE) is open for trading.
Foreign equity securities are valued as of the close of trading on the stock exchange on which the security is primarily traded, or as of 4 p.m. Eastern time. The value is then converted into its U.S. dollar equivalent at the foreign exchange rate in effect at 4 p.m. Eastern time on the day that the value of the security is determined. Generally, foreign equity securities, as well as certain derivatives with equity reference obligations, are valued by applying international fair value factors provided by approved Pricing Services.
The factors seek to adjust the local closing price for movements of local markets post-closing, but prior to the time the NAVs are calculated. The fair valued securities are converted at the exchange rates available at 4 p.m. Eastern time.
Fixed income securities are valued based on prices received from Pricing Services. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, Pricing Services may consider a variety of inputs and factors, including, but
| | | | | | | | | | |
| | | | | |
| 40 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
not limited to proprietary models that may take into account market transactions in securities with comparable characteristics, yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, underlying collateral and estimated cash flows.
Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots.
Shares of exchange-traded funds (“ETFs”) are generally valued at the last sale price on the exchange on which the ETF is principally traded. Shares of open-end investment companies are valued at their respective NAVs.
Exchange-traded futures contracts are generally valued on the basis of available market quotations. Forward foreign currency exchange contracts are valued utilizing market quotations from approved Pricing Services.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Funds’ investments are summarized into the three broad levels listed below.
| • | | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
| • | | Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| • | | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds’ assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):
Six Circles Managed Equity Portfolio U.S. Unconstrained Fund
| | | | | | | | | | | | | | | | |
| | | Level 1 Quoted prices | | | Level 2 Other significant observable inputs | | | Level 3 Significant unobservable inputs | | | Total | |
Investments in Securities | | | | | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | | | | | |
Basic Materials | | $ | 80,494 | | | $ | — | | | $ | — | | | $ | 80,494 | |
Communications | | | 1,382,327 | | | | — | | | | — | | | | 1,382,327 | |
Consumer Cyclical | | | 468,884 | | | | — | | | | — | | | | 468,884 | |
Consumer Non-cyclical | | | 1,744,625 | | | | — | | | | — | | | | 1,744,625 | |
Energy | | | 479,342 | | | | — | | | | — | | | | 479,342 | |
Financial | | | 788,256 | | | | — | | | | — | | | | 788,256 | |
Industrial | | | 598,264 | | | | — | | | | — | | | | 598,264 | |
Technology | | | 2,387,933 | | | | — | | | | — | | | | 2,387,933 | |
Utilities | | | 212,982 | | | | — | | | | — | | | | 212,982 | |
| | | | | | | | | | | | | | | | |
Total Common Stocks | | | 8,143,107 | | | | — | | | | — | | | | 8,143,107 | |
| | | | | | | | | | | | | | | | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Time Deposits | | | — | | | | 73,396 | | | | — | | | | 73,396 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | $ | 8,143,107 | | | $ | 73,396 | | | $ | — | | | $ | 8,216,503 | |
| | | | | | | | | | | | | | | | |
Appreciation in Other Financial Instruments | | | | | | | | | | | | | | | | |
Futures contracts | | $ | 1,161 | | | $ | — | | | $ | — | | | $ | 1,161 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 41 |
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
Six Circles Managed Equity Portfolio International Unconstrained Fund
| | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Investments in Securities | | | | | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | | | | | |
Australia | | $ | — | | | $ | 127,691 | | | $ | — | | | $ | 127,691 | |
Austria | | | — | | | | 11,632 | | | | — | | | | 11,632 | |
Belgium | | | — | | | | 68,756 | | | | — | | | | 68,756 | |
Canada | | | 42,155 | | | | — | | | | — | | | | 42,155 | |
Chile | | | — | | | | 4,290 | | | | — | | | | 4,290 | |
China | | | — | | | | 511 | | | | — | | | | 511 | |
Denmark | | | — | | | | 147,741 | | | | — | | | | 147,741 | |
Finland | | | — | | | | 35,626 | | | | — | | | | 35,626 | |
France | | | — | | | | 602,566 | | | | — | | | | 602,566 | |
Germany | | | — | | | | 434,851 | | | | — | | | | 434,851 | |
Hong Kong | | | 249 | | | | 56,189 | | | | — | | | | 56,438 | |
Ireland | | | 3,306 | | | | 34,366 | | | | — | | | | 37,672 | |
Italy | | | — | | | | 112,143 | | | | — | | | | 112,143 | |
Japan | | | 140 | | | | 255,569 | | | | — | | | | 255,709 | |
Jordan | | | — | | | | 1,244 | | | | — | | | | 1,244 | |
Luxembourg | | | — | | | | 8,380 | | | | — | | | | 8,380 | |
Macau | | | — | | | | 948 | | | | — | | | | 948 | |
Netherlands | | | 6,993 | | | | 328,700 | | | | — | | | | 335,693 | |
New Zealand | | | — | | | | 4,523 | | | | — | | | | 4,523 | |
Norway | | | — | | | | 35,119 | | | | — | | | | 35,119 | |
Portugal | | | — | | | | 8,623 | | | | — | | | | 8,623 | |
Singapore | | | 3,130 | | | | 21,606 | | | | — | | | | 24,736 | |
South Korea | | | — | | | | 37,200 | | | | — | | | | 37,200 | |
Spain | | | — | | | | 104,065 | | | | — | | | | 104,065 | |
Sweden | | | — | | | | 117,509 | | | | — | | | | 117,509 | |
Switzerland | | | 792 | | | | 672,081 | | | | — | | | | 672,873 | |
Taiwan | | | — | | | | 69,826 | | | | — | | | | 69,826 | |
United Arab Emirates | | | — | | | | — | | | | — | | | | — | |
United Kingdom | | | 13,705 | | | | 651,150 | | | | — | | | | 664,855 | |
United States | | | 94 | | | | 347 | | | | — | | | | 441 | |
| | | | | | | | | | | | | | | | |
Total Common Stocks | | | 70,564 | | | | 3,953,252 | | | | — | | | | 4,023,816 | |
| | | | | | | | | | | | | | | | |
Preferred Stocks | | | | | | | | | | | | | | | | |
Germany | | | — | | | | 3,403 | | | | — | | | | 3,403 | |
South Korea | | | — | | | | 4,423 | | | | — | | | | 4,423 | |
| | | | | | | | | | | | | | | | |
Total Preferred Stocks | | | — | | | | 7,826 | | | | — | | | | 7,826 | |
| | | | | | | | | | | | | | | | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Time Deposits | | | — | | | | 37,264 | | | | — | | | | 37,264 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | $ | 70,564 | | | $ | 3,998,342 | | | $ | — | | | $ | 4,068,906 | |
| | | | | | | | | | | | | | | | |
Appreciation in Other Financial Instruments | | | | | | | | | | | | | | | | |
Futures contracts | | $ | 312 | | | $ | — | | | $ | — | | | $ | 312 | |
| | | | | | | | | | | | | | | | |
Depreciation in Other Financial Instruments | | | | | | | | | | | | | | | | |
Futures contracts | | $ | (19) | | | $ | — | | | $ | — | | | $ | (19) | |
| | | | | | | | | | | | | | | | |
There were no significant transfers into or out of level 3 for the period ended June 30, 2023 for the Funds.
B. Restricted Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933 (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net asset value of the Funds.
As of June 30, 2023, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A or Regulation S under the Securities Act.
C. Derivatives — The Funds used derivative instruments including futures, in connection with their respective investment strategies. Derivative instruments may be used as substitutes for securities in which the Funds can invest, to hedge portfolio investments or to generate income or gain to the Funds. Derivatives may also be used to manage duration, sector and yield curve exposures as well as credit and spread volatility.
The Funds may be subject to various risks from the use of derivatives including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract
| | | | | | | | | | |
| | | | | |
| 42 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
terms; liquidity risk related to the lack of a liquid market for these contracts allowing a Fund to close out its position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Funds’ risk of loss associated with these instruments may exceed their value, as recorded on the Statements of Assets and Liabilities.
The Funds are party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Funds’ ISDA agreements, which are separately negotiated by the Sub-Advisers, with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Funds in the event the Funds’ net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Funds to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Funds often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Funds. The ISDA agreements give the Funds and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable with collateral posted to a segregated account by one party to the other.
Counterparty credit risk may be mitigated to the extent a counterparty posts collateral for mark-to-market gains to the Fund.
Note C(1) – C(2) below describe the various derivatives used by the Funds.
(1) Futures Contracts — The Funds used index futures to gain or reduce exposure to certain countries or regions, to maintain liquidity or minimize transaction costs.
Futures contracts may provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOIs and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities. Futures contracts outstanding at period end, if any, are listed after each Fund’s SOI.
The use of futures contracts may expose the Funds to equity price risk. The Funds may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Funds to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Funds credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent the liquidation of positions.
The Funds’ futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
(2) Forward Foreign Currency Exchange Contracts — The Funds may be exposed to foreign currency risks associated with some or all of the portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Funds also bought forward foreign currency exchange contracts to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Forward contracts outstanding at period end, if any, are listed after each Fund’s SOI.
The values of the forward foreign currency exchange contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation/depreciation until the contract settlement date. When the forward foreign currency exchange contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed. The Fund also records a realized gain or loss when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty upon settlement.
The Funds’ forward foreign currency exchange contracts may be subject to master netting arrangements (the right to close out all transactions with a counterparty and net amounts owed or due across transactions). The Funds may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts. As of June 30, 2023, the Funds did not receive or post collateral for forward foreign currency exchange contracts.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 43 |
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
(3) Summary of Derivatives Information
The following tables present the value of derivatives held as of June 30, 2023 by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities (amounts in thousands):
Six Circles Managed Equity Portfolio U.S. Unconstrained Fund
| | | | | | |
| Derivative Contracts | | Statements of Assets and Liabilities Location | |
| Gross Assets: | | | | Futures
Contracts (a) | |
Equity contracts | | Receivables, Net Assets — Unrealized Appreciation | | $ | 1,161 | |
| | | | | | |
| (a) | This amount represents the cumulative appreciation (depreciation) of futures contracts as reported on the SOIs. |
| | The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers. |
Six Circles Managed Equity Portfolio International Unconstrained Fund
| | | | | | |
| Derivative Contracts | | Statements of Assets and Liabilities Location | |
| Gross Assets: | | | | Futures
Contracts (a) | |
Equity contracts | | Receivables, Net Assets — Unrealized Appreciation | | $ | 312 | |
| | | | | | |
| | |
Gross Liabilities: | | | | | |
Equity contracts | | Payables, Net Assets — Unrealized Depreciation | | $ | (19 | ) |
| | | | | | |
| (a) | This amount represents the cumulative appreciation (depreciation) of futures contracts as reported on the SOIs. |
| | The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers. |
The following tables present the effect of derivatives on the Statements of Operations for the period ended June 30, 2023 by primary underlying risk exposure (amounts in thousands):
Six Circles Managed Equity Portfolio U.S. Unconstrained Fund
| | | | |
| Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations | |
| Derivative Contracts | | Futures
Contracts | |
Equity contracts | | $ | 4,556 | |
| | | | |
| | | | |
| Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations | |
| Derivative Contracts | | Futures
Contracts | |
Equity contracts | | $ | 2,211 | |
| | | | |
Six Circles Managed Equity Portfolio International Unconstrained Fund
| | | | | | | | | | | | |
| Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations | |
| Derivative Contracts | | Futures
Contracts | | | Forward Foreign
Currency Exchange
Contracts | | | Total | |
Equity contracts | | $ | 212 | | | $ | — | | | $ | 212 | |
Foreign exchange contracts | | | — | | | | (470 | ) | | | (470 | ) |
| | | | | | | | | | | | |
Total | | $ | 212 | | | $ | (470 | ) | | $ | (258 | ) |
| | | | | | | | | | | | |
| | | | |
| Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations | |
| Derivative Contracts | | Futures
Contracts | |
Equity contracts | | $ | 636 | |
| | | | |
| | | | | | | | | | |
| | | | | |
| 44 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
Derivatives Volume
The table below discloses the volume of the Funds’ futures contracts activity during the period ended June 30, 2023 (amounts in thousands, except number of contracts). Please refer to the tables in the Summary of Derivative Information for derivative-related gains and losses associated with volume activity (amounts in thousands).
| | | | | | | | |
| | | Six Circles
Managed Equity
Portfolio U.S.
Unconstrained
Fund | | | Six Circles
Managed Equity
Portfolio
International
Unconstrained
Fund | |
Futures Contracts: | | | | | | | | |
Average Notional Amount Long | | $ | 45,046 | | | $ | 33,119 | |
Average Notional Amount Short | | | — | | | | — | |
D. Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.
The Funds do not isolate the effect of changes in foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within the Change in net unrealized appreciation/depreciation on investments on the Statements of Operations.
Reported realized foreign currency gains and losses arise from the disposition of foreign currency. Currency gains or losses may be realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statements of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statements of Operations.
E. Security Transactions, Investment Income and Expense Allocation — Securities transactions are recorded on a trade date basis. Realized gain and loss from securities transactions are recorded on an identified cost basis for financial reporting and federal income tax purposes. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when the Fund first learns of the dividend. Non-cash dividends, if any, are recorded on the ex-dividend date or corporate action date at fair value. Distributions received from certain investments held by the Funds may be comprised of dividends, realized gains and returns of capital. The Funds originally estimate the expected classification of such payments. The amounts may subsequently be reclassified upon receipt of information from the issuer.
The Funds are charged for those expenses of the Trust that are directly attributable to each Fund. Expenses that are not directly attributable to a Fund are typically allocated among the Funds in proportion to their respective net assets.
F. Federal Income Tax — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”) applicable to regulated investment companies. Each Fund intends to distribute to shareholders, substantially all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary.
The Funds follow the provisions of FASB Codification Section 740 (“ASC Section 740”) “Accounting for Uncertainty in Income Taxes” which clarifies the accounting for uncertainty in tax positions taken or expected to be taken on a tax return. ASC Section 740 sets forth a threshold for financial statement recognition, measurement and disclosure of tax positions taken or expected to be taken on a tax return. The Funds are required to recognize the tax effects of certain tax positions under a “more likely than not” standard, that based on their technical merits, have more than 50 percent likelihood of being sustained upon examination. Management has analyzed the tax positions taken on the Funds’ federal income tax returns for all open periods, and has concluded that no provision for federal income tax is required in the Funds’ financial statements. At June 30, 2023, the Funds did not have any uncertain tax benefits that require recognition, de-recognition or disclosure. The Funds’ federal, state and local income and federal excise tax returns for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
G. Foreign Tax — The Funds may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests. When capital gain tax is determined to apply, the Funds record an estimated deferred tax liability in an amount that would be payable if the securities were disposed of on the valuation date.
| | | | | | | | | | |
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| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 45 |
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
H. Distributions to Shareholders — Distributions to shareholders are recorded on the ex-dividend date. Distributions from net investment income and net realized capital gains are generally declared and paid according to the following schedule:
| | | | | | | | |
| Fund Name | | Net Investment Income | | | Net Realized Capital Gains | |
Six Circles Managed Equity Portfolio U.S. Unconstrained Fund | | | Annual | | | | Annual | |
Six Circles Managed Equity Portfolio International Unconstrained Fund | | | Annual | | | | Annual | |
Income and capital gain distributions will be determined in accordance with federal income tax regulations which may differ from GAAP. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character.
Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. As a result, income dividends and capital gain distributions declared during a fiscal period may differ significantly from the net investment income (loss) and realized gain (loss) reported on the Fund financial statements presented under GAAP.
Distributions classified as a tax basis return of capital, if any, are reflected on the Statement of Changes in Net Assets and have been recorded to paid-in capital.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fees — The Adviser serves as the Funds’ investment adviser pursuant to an investment advisory agreement (the “Investment Advisory Agreement”). Under the terms of the Investment Advisory Agreement, the Adviser generally manages the Funds’ investments in accordance with the stated policies of each Fund, subject to the supervision of the Funds’ Board of Trustees. For the services provided to the Funds, the Adviser is entitled to a fee, accrued daily and paid monthly, at the annual rate of 0.25% of the average daily net assets of each Fund.
The Adviser selects and oversees professional money managers (the “Sub-Advisers”) who are responsible for investing the assets of the Funds under sub-advisory agreements (the “Sub-Advisory Agreements”). Pursuant to each respective Sub-Advisory Agreement, the Adviser agrees to pay each Sub-Adviser a sub-advisory fee from its investment advisory fees. BlackRock Investment Management, LLC (“BlackRock”) currently serves as the Sub-Adviser to the Funds. The Sub-Adviser is paid a management fee by the Adviser pursuant to their individually negotiated Sub-Advisory Agreement.
The Adviser engaged Russell Investments Implementation Services, LLC (“Russell”) to provide stand-by interim sub-advisory services, as well as transition management services, for each Fund, to be utilized as needed in certain transitional circumstances involving a Fund Sub-Adviser. During the reporting period, the Funds have not allocated assets to Russell.
The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3F and reflected on the Statement of Operations.
B. Administration and Accounting Fees — Pursuant to an Administrative Agency Agreement, Brown Brothers Harriman & Co. (the “Administrator”) provides certain administration and fund accounting services to the Funds.
C. Distribution Fees — Pursuant to a Distribution Agreement, Foreside Fund Services, LLC (the “Distributor”), will serve as the Funds’ principal underwriter and acts as the agent of the Funds in connection with the continuous offering of shares of each Fund. The Distributor and its officers have no role in determining the investment policies or which securities are to be purchased or sold by the Funds. The Distributor does not receive compensation from the Funds, but instead is compensated by the Adviser for certain distribution-related expenses.
D. Custodian — Pursuant to a Custodian Agreement, Brown Brothers Harriman & Co. serves as the custodian (the “Custodian”) for each of the Funds and is responsible for holding portfolio securities and cash and maintaining the books of account and records of portfolio transactions.
E. Transfer Agent — Pursuant to a Transfer Agency and Service Agreement, DST Asset Manager Solutions, Inc. (the “Transfer Agent”) serves as each Fund’s transfer and dividend disbursing agent. The Transfer Agent is responsible for maintaining account records, detailing the ownership of Fund shares and for crediting income, capital gains and other changes in share ownership to shareholder accounts.
F. Waivers and Reimbursements — The Adviser has contractually agreed through at least April 30, 2024, to waive any management fees that exceed the aggregate management fees the Adviser is contractually required to pay the Fund’s Sub-Adviser. Thereafter, this waiver will continue for subsequent one year terms unless terminated in accordance with its terms. Such waivers are not subject to reimbursement by the Fund. The Adviser has also contractually agreed through at least April 30, 2024, to reimburse expenses to the extent Total Annual Fund Operating Expenses (excluding acquired fund fees and expenses, if any, dividend and interest expenses related to short sales, brokerage fees, interest on borrowings, taxes, expenses related to litigation and potential litigation, and extraordinary expenses) exceed the following percentages of the average daily net assets of each Fund (the “Expense Cap”):
| | | | |
| Fund | | Expense Cap | |
Six Circles Managed Equity Portfolio U.S. Unconstrained Fund | | | 0.45 | % |
Six Circles Managed Equity Portfolio International Unconstrained Fund | | | 0.50 | % |
An expense reimbursement by the Fund’s Adviser is subject to repayment by the Fund only to the extent it can be made within thirty-six months following the date of such reimbursement by the Adviser. Repayment must be limited to amounts that would not cause the Fund’s operating expenses (taking into account any reimbursements or waiver by the Adviser and repayments by the Fund) to exceed the Expense Cap in effect at the
| | | | | | | | | | |
| | | | | |
| 46 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
time of the reimbursement by the Adviser or at the time of repayment by the Fund. This expense reimbursement is in effect through April 30, 2024, at which time the Adviser and/or its affiliates will determine whether to renew or revise it.
For the period ended June 30, 2023, there were no amounts reimbursed by the Adviser, nor were there amounts available for potential future recoupment by the Adviser.
G. Cross Trades — The Funds may participate in purchase and sale transactions with other Six Circles Funds. These cross trades are executed in accordance with procedures adopted by the Trust’s Board and comply with Rule 17a-7 of the 1940 Act, which require, among other things, that such cross trades be effected at the independent current market price of the security.
During the period ended June 30, 2023, the aggregate value of purchase and sale cross trades with other Six Circles Funds were as follows (amounts in thousands):
| | | | | | | | | | | | |
| Fund Name | | Purchases | | | Sales | | | Realized
gain/loss | |
Six Circles Managed Equity Portfolio U.S. Unconstrained Fund | | $ | 115 | | | $ | 728 | | | $ | (66 | ) |
Six Circles Managed Equity Portfolio International Unconstrained Fund | | | 799 | | | | 5,966 | | | | 527 | |
4. Investment Transactions
During the period ended June 30, 2023, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
| | | | | | | | | | | | | | | | |
| | | Purchases
(excluding U.S.
Government) | | | Sales
(excluding U.S.
Government) | | | Purchases
of U.S.
Government | | | Sales
of U.S.
Government | |
Six Circles Managed Equity Portfolio U.S. Unconstrained Fund | | $ | 2,426,675 | | | $ | 1,576,742 | | | $ | — | | | $ | — | |
Six Circles Managed Equity Portfolio International Unconstrained Fund | | | 1,232,368 | | | | 769,486 | | | | — | | | | — | |
5. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
Since the Funds are non-diversified, they may invest a greater percentage of their assets in a particular issuer or group of issuers than a diversified fund would. This increased investment in fewer issuers may result in the Funds` shares being more sensitive to economic results among those issuing the securities.
The Funds invest in foreign issuers and foreign securities (including depositary receipts) which are subject to additional risks, including political and economic risks, civil conflicts and war, greater volatility, expropriation and nationalization risks, sanctions or other measures by the United States or other governments, currency fluctuations, higher transaction costs, delayed settlement, possible foreign controls on investment, and less stringent investor protection and disclosure standards of foreign markets. The securities markets of many foreign countries are relatively small, with a limited number of companies representing a small number of industries. If foreign securities are denominated and traded in a foreign currency, the value of the Fund’s foreign holdings can be affected by currency exchange rates and exchange control regulations. In certain markets where securities and other instruments are not traded “delivery versus payment,” the Fund may not receive timely payment for securities or other instruments it has delivered or receive delivery of securities paid for and may be subject to increased risk that the counterparty will fail to make payments or delivery when due or default completely.
Events and evolving conditions in certain economies or markets may alter the risks associated with investments tied to countries or regions that historically were perceived as comparatively stable becoming riskier and more volatile. These risks are magnified in countries in “emerging markets.” Emerging market countries typically have less-established economies than developed countries and may face greater social, economic, regulatory and political uncertainties. In addition, emerging markets typically present greater illiquidity and price volatility concerns due to smaller or limited local capital markets and greater difficulty in determining market valuations of securities due to limited public information on issuers. Certain emerging market countries may be subject to less stringent requirements regarding accounting, auditing, financial reporting and record keeping and therefore, material information related to an investment may not be available or reliable. In addition, the Fund is limited in its ability to exercise its legal rights or enforce a counterparty’s legal obligations in certain jurisdictions outside of the United States, in particular, in emerging markets countries.
As of June 30, 2023, the Six Circles Managed Equity Portfolio International Unconstrained Fund had non-U.S. country allocations representing greater than 10% of Net Assets as follows:
| | | | | | |
| France | | Germany | | Switzerland | | United Kingdom |
14.7% | | 10.7% | | 16.5% | | 16.3% |
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 47 |
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2023 (Unaudited) (continued)
As of June 30, 2023, a significant portion of the Six Circles Managed Equity Portfolio International Unconstrained Fund net assets consisted of securities that were denominated in foreign currencies. Changes in currency exchange rates will affect the value of, and investment income from, such securities.
The Funds are subject to the risk that, should the Funds decide to sell an illiquid investment when a ready buyer is not available at a price the Funds deem to be representative of its value, the value of the Funds’ net assets could be adversely affected.
The value of the Funds’ investments may be negatively affected by the occurrence of global events such as war, terrorism, environmental disasters, natural disasters or events, country instability, and infectious disease epidemics or pandemics. For example, the outbreak of COVID-19, a novel coronavirus disease, has negatively affected economies, markets and individual companies throughout the world, including those in which the Funds invest. The effects of this pandemic to public health and business and market conditions, including exchange trading suspensions and closures, may continue to have a significant negative impact on the performance of the Funds’ investments, increase the Funds’ volatility, exacerbate pre-existing political, social and economic risks to the Funds, and negatively impact broad segments of businesses and populations. The Funds’ operations may be interrupted as a result, which may contribute to the negative impact on investment performance. In addition, governments, their regulatory agencies, or self-regulatory organizations have taken, and may continue to take, actions in response to the pandemic that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could have a significant negative impact on the Funds’ investment performance. The full impact of the COVID-19 pandemic, or other future epidemics or pandemics, is currently unknown.
The Funds may also invest in shares of other investment companies and ETFs. ETFs are ownership interests in unit investment trusts, depositary receipts, and other pooled investment vehicles that hold a portfolio of securities or stocks many of which are designed to track the price performance and dividend yield of a particular broad-based, sector or international index. ETFs include a wide range of investments. Shareholders bear both their proportionate share of the Fund’s expenses and similar expenses of the underlying investment company or ETF when the Fund invests in shares of another investment company or ETF. The Fund is subject to the risks associated with the ETF’s or investment company’s investments. ETFs, investment companies and other investment vehicles that invest in commodities or currencies are subject to the risks associated with direct investments in commodities or currencies. The price and movement of an ETF or closed-end fund designed to track an index may not track the index and may result in a loss. In addition, closed-end funds that trade on an exchange often trade at a price below their net asset value (also known as a discount). Certain ETFs or closed-end funds traded on exchanges may be thinly-traded and experience large spreads between the “ask” price quoted by a seller and the “bid” price offered by a buyer.
Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic or market conditions than other types of investments and could result in losses that significantly exceed each Fund’s original investment. Many derivatives create leverage thereby causing the Funds to be more volatile than they would have been if they had not used derivatives. Derivatives also expose the Funds to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty.
The Funds are also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Funds such as swap contracts and forward foreign currency exchange contracts.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. On March 5, 2021, the U.K. Financial Conduct Authority (“FCA”) publicly announced that (i) immediately after December 31, 2021, publication of the 1-week and 2-month U.S. Dollar LIBOR settings will permanently cease; (ii) immediately after June 30, 2023, publication of the overnight and 12-month U.S. Dollar LIBOR settings will permanently cease; and (iii) immediately after June 30, 2023, the 1-month, 3-month and 6-month U.S. Dollar LIBOR settings will cease to be provided or, subject to the FCA’s consideration of the case, be provided on a synthetic basis and no longer be representative of the underlying market and economic reality they are intended to measure and that representativeness will not be restored. There is no assurance that the dates announced by the FCA will not change or that the administrator of LIBOR and/or regulators will not take further action that could impact the availability, composition or characteristics of LIBOR or the currencies and/or tenors for which LIBOR is published. Public and private sector industry initiatives are currently underway to implement new or alternative reference rates to be used in place of LIBOR. There is no assurance that any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain of a Fund’s loans, notes, derivatives and other instruments or investments comprising some or all of a Fund’s investments and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
| | | | | | | | | | |
| | | | | |
| 48 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
6. Income Taxes and Distributions to Shareholders
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at June 30, 2023 were as follows (amounts in thousands):
| | | | | | | | | | | | | | | | |
| | | Aggregate
Tax Cost | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
Depreciation | | | Net
Unrealized
Appreciation
(Depreciation) | |
Six Circles Managed Equity Portfolio U.S. Unconstrained Fund | | $ | 6,809,619 | | | $ | 1,576,996 | | | $ | (168,951 | ) | | $ | 1,408,045 | |
Six Circles Managed Equity Portfolio International Unconstrained Fund | | | 3,510,290 | | | | 697,428 | | | | (138,519 | ) | | | 558,909 | |
As of December 31, 2022, the following Funds had the following post-enactment net capital loss carryforwards (amounts in thousands):
| | | | | | | | |
| | | Capital Loss Carryforward Character | |
| | | Short-Term | | | Long-Term | |
Six Circles Managed Equity Portfolio U.S. Unconstrained Fund | | $ | 169,820 | | | $ | 79,082 | |
Six Circles Managed Equity Portfolio International Unconstrained Fund | | | 96,574 | | | | 50,642 | |
7. Ownership Concentration
As of June 30, 2023, Six Circles Managed Equity Portfolio U.S. Unconstrained Fund and Six Circles Managed Equity Portfolio International Unconstrained Fund each had one affiliated omnibus account for the benefit of its clients which owned approximately 99% of its outstanding shares.
8. New Accounting Pronouncement
In June 2022, the FASB issued ASU No. 2022-03, Fair Value Measurement (Topic 820) - Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions. The amendments in the ASU clarify that a contractual restriction on the sale of an equity security is not considered part of the unit of account of the equity security and, therefore, should not be considered in measuring fair value. The ASU is effective for interim and annual reporting periods beginning after December 15, 2023, with the option of early adoption. Management is currently evaluating the impact, if any, of applying this ASU.
In March 2020, the FASB issued Accounting Standard Update (“ASU”) No. 2020-04, “Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” This ASU provides optional exceptions for applying GAAP to contract modifications, hedging relationships and other transactions affected reference rate reform if certain criteria are met. ASU 2020-04 is elective and is effective on March 12, 2020 through December 31, 2024. Management expects that the adoption of this guidance will not have a material impact on the Funds’ financial statements.
9. Subsequent Events
The Funds have evaluated subsequent events through the date of issuance of this report and have determined that there are no material events that require disclosure.
| | | | | | | | | | |
| | | | | |
| JUNE 30, 2023 | | SIX CIRCLES TRUST | | | | | | | | 49 |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Fund on January 1, 2023, and continued to hold your shares at the end of the reporting period, June 30, 2023.
Actual Expenses
For each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
| | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
January 1, 2023 | | | Ending
Account Value
June 30, 2023 | | | Expenses
Paid During
the Period* | | | Annualized
Expense
Ratio | |
Six Circles Managed Equity Portfolio U.S. Unconstrained Fund | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,184.50 | | | $ | 0.38 | | | | 0.07 | % |
Hypothetical | | | 1,000.00 | | | | 1,024.45 | | | | 0.35 | | | | 0.07 | |
Six Circles Managed Equity Portfolio International Unconstrained Fund | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,148.20 | | | | 0.59 | | | | 0.11 | |
Hypothetical | | | 1,000.00 | | | | 1,024.25 | | | | 0.55 | | | | 0.11 | |
| * | Expenses are equal to each Fund’s respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| | | | | | | | | | |
| | | | | |
| 50 | | | | | | | | SIX CIRCLES TRUST | | JUNE 30, 2023 |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
Annual Approval of the Continuation of the Advisory, Sub-Advisory and Sub-Sub-Advisory Agreements
Materials Requested Prior to Meeting. Prior to the Meeting, Ropes & Gray LLP (“Ropes & Gray” or “Independent Legal Counsel”), counsel to the Independent Trustees, had prepared letters on behalf of the Independent Trustees requesting information from J.P. Morgan Private Investments Inc. (“JPMPI” or the “Adviser”) and each Sub-Adviser (as defined below) in connection with the proposed continuance of (i) the Investment Advisory Agreement (the “Advisory Agreement”) between the Trust and JPMPI for the Six Circles U.S. Unconstrained Equity Fund (the “U.S. Equity Fund”), the Six Circles International Unconstrained Equity Fund (the “International Equity Fund”), the Six Circles Tax Aware Ultra Short Duration Fund (the “Tax Aware Fund”), the Six Circles Ultra Short Duration Fund (the “Ultra Short Fund”), the Six Circles Managed Equity Portfolio U.S. Unconstrained Fund (the “MEP U.S. Fund”), the Six Circles Managed Equity Portfolio International Unconstrained Fund (the “MEP International Fund”), the Six Circles Global Bond Fund (the “Global Bond Fund”), the Six Circles Tax Aware Bond Fund (the “Tax Aware Bond Fund”) and the Six Circles Credit Opportunities Fund (the “Credit Opportunities Fund”) (collectively the “Funds”), (ii) the Sub-Advisory Agreements in respect of the Funds between JPMPI and BlackRock Investment Management, LLC (“BlackRock”), Pacific Investment Management Company (“PIMCO”), Insight North America LLC (“Insight”), Goldman Sachs Asset Management LP (“GSAM”), PGIM, Inc. (“PGIM”), Capital International, Inc. (“Capital”), Nuveen Asset Management, LLC (“Nuveen”), Allspring Global Investments, LLC (“Allspring”), Lord, Abbett & Co. LLC (“Lord Abbett”), RBC Global Asset Management (UK) Limited (“RBC GAM (UK)”), Muzinich & Co., Inc. (“Muzinich”) and Russell Investments Implementation Services, LLC (“RIIS”) (in the case of RIIS, as a stand-by interim Sub-Adviser) (each, a “Sub-Adviser” and collectively, the “Sub-Advisers”) and (iii) the Sub-Sub-Advisory Agreements between BlackRock and each of BlackRock International Limited (“BIL”) and BlackRock (Singapore) Limited (“BSL”) as well as the Sub-Sub-Advisory Agreement between PGIM and PGIM Limited (“PGIML”) (each of BIL, BSL and PGIML, a “Sub-Sub-Adviser” and collectively, the “Sub-Sub-Advisers”) (each of the Advisory Agreement, the Sub-Advisory Agreements and the Sub-Sub-Advisory Agreements, an “Agreement” and, collectively, the “Agreements”). The requests were designed to address the requirement under Section 15(c) of the 1940 Act that the Trustees request and evaluate, and that the investment adviser and each sub-adviser furnish, such information as may be reasonably necessary to evaluate the terms of the Agreements. JPMPI and each Sub-Adviser responded to the information requests and provided memoranda and related materials and exhibits for consideration by the Trustees, which were provided to the Trustees in advance of the Meeting and included in the Meeting Materials (together, the “15(c) Materials”).
Set forth below is a summary of the material factors evaluated by the Trustees that formed the basis for the Board’s approval
of the continuation of the Agreements. The Trustees’ conclusions as to the approval of the continuation of the Agreements were based on a comprehensive consideration of all information provided to the Trustees. In deciding whether to approve the continuation of the Agreements, the Board did not identify any single factor or particular information that, in isolation, was controlling. Some of the factors that figured particularly in the Trustees’ deliberations are described below, although individual Trustees may have evaluated the information presented differently from one another, attributing different weights to various factors.
Materials Reviewed. In considering the approval of the continuation of the Agreements, the Trustees reviewed the 15(c) Materials and related exhibits and other information which included, among other items, (i) the terms of the Agreements, (ii) comparative fee and expense information and comparative performance information of comparable 1940 Act funds developed by Broadridge Financial Solutions, Inc./Lipper Inc. (“Broadridge”) and of any comparable funds or accounts managed by the Adviser or a Sub-Adviser, (iii) performance of the Funds compared to applicable benchmarks/indices, (iv) fee schedules and composite performance information with respect to the J.P. Morgan managed accounts and related strategies that invest in the Funds, (v) descriptions of various services and functions performed by the Adviser for the Funds, such as portfolio management, compliance monitoring, risk management, valuation and administrative, accounting, legal and other services, and descriptions of the portfolio management services provided by each Sub-Adviser to the Funds, (vi) the estimated costs to the Adviser of providing such services, (vii) information regarding the Adviser’s and each Sub-Adviser’s compliance policies and procedures applicable to the Funds, (viii) balance sheet and/or other financial information regarding the Adviser and each Sub-Adviser, (ix) information regarding the Adviser’s corporate organizational structure and biographical information of key personnel of the Adviser and its affiliates who provide services to the Funds and similar information for each Sub-Adviser, (x) information regarding estimated profitability to the Adviser from its relationship with the Funds, (xi) information regarding potential economies of scale, and (xii) information regarding potential ancillary or “fall out” benefits to the Adviser and its affiliates of a Sub-Adviser from their relationships with the Funds. The Trustees also reviewed a memorandum prepared by Independent Legal Counsel regarding the responsibilities of the Trustees in considering the approval of the continuation of the Agreements under applicable law.
Review Process. Following receipt and review of the 15(c) Materials, the Independent Trustees and Ropes & Gray held a video call to consider the 15(c) Materials and the related proposed continuance of the Agreements as well the Funds’ administration- and distribution-related contracts. Based on their deliberations during this meeting, the Independent Trustees formulated a number of questions and requests for follow-up information from management. Subsequent calls
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
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were held with representatives of the Adviser to communicate the Independent Trustees’ additional questions and requests for information, each of which was responded to by the Adviser either in writing or orally at the Meeting. The Trustees also received written and oral presentations during the Board’s regular meetings throughout the year on matters related to the Agreements. At several points during the review process, Independent Trustees discussed the proposed continuation of the Agreements during executive sessions held with Independent Legal Counsel at which no representatives of management were present.
Nature, Extent and Quality of Services. The Trustees considered the depth and quality of the investment management process of JPMPI, the Sub-Advisers and Sub-Sub-Advisers, including for each entity, the experience and capabilities of its senior management, investment and other personnel, and the overall financial strength and stability of the organizations. The Trustees also considered the nature, extent and quality of the various services JPMPI provides under the Advisory Agreement, including with respect to its selection, evaluation and oversight of each Sub-Adviser and Sub-Sub-Adviser, as well as the administrative and other services JPMPI provides to the Funds, including oversight of the Fund’s administrator and other service providers. In this regard, Trustees noted JPMPI’s continuing investments in technology and other resources to support its investment management, compliance, accounting, risk management and other services on behalf of the Funds, as well as JPMPI’s continuing efforts to attract and retain qualified personnel to provide services to the Funds and maintain and enhance its related resources and systems. The Trustees also considered JPMPI’s policies, procedures and systems designed to promote the Funds’ compliance with applicable laws and regulations and to conduct effective oversight of each Sub-Adviser, Sub-Sub-Adviser and other Fund service providers, and its processes to keep the Trustees informed about matters relevant to the Funds and their shareholders. The Trustees noted that, to date, RIIS had not been called to act as an interim Sub-Adviser to any Fund under its Sub-Advisory Agreement.
The Trustees also considered the sub-advisory services provided, or to be provided, by each Sub-Adviser and Sub-Sub-Adviser to the Funds under the applicable Agreements, including information about the investment personnel of each entity who are responsible for providing services under the applicable Sub-Advisory Agreement or Sub-Sub-Advisory Agreement. The Trustees reviewed the nature and quality of the investment management, research, trading, risk management, compliance and other capabilities of each Sub-Adviser and Sub-Sub-Adviser, the experience and capabilities of its portfolio management and other personnel who provide services to the Funds, and the overall financial strength of each organization.
Among other information, the Trustees also took into account certifications received from JPMPI and each Sub-Adviser the
Sub-Advisers confirming the adequacy of their compliance programs and codes of ethics.
Investment Performance. As part of their review of the services provided by JPMPI and each Sub-Adviser, the Trustees reviewed the performance of each of the Funds, including in reference to a Broadridge report which contained, among other information, comparisons of each Fund’s total return investment performance for 1- and 3-year (as applicable) and since inception periods ended December 31, 2022 to a performance group and performance universe of peers funds selected by Broadridge and to the Fund’s benchmark index. In reviewing the comparative information, the Trustees took into account JPMPI’s explanation that the peer funds selected by Broadridge and the applicable benchmarks do not provide particularly apt comparisons, given the Funds’ intended role as completion portfolios for the broader J.P. Morgan managed account portfolios and the bespoke and highly tailored structures of the Funds’ portfolios. The Trustees considered JPMPI’s view that since the role of the Funds is to enhance the relative performance of the total managed account portfolios in which they are held, the Trustees should also take into account and evaluate the performance of the Funds in the context of the broader portfolios they are intended to complete and on the basis of whether the Funds serve their intended purposes. In this regard, the Board received representations from the JPMPI CIO team regarding the utility of the Funds in serving their intended purpose, including how they have served to enhance access to investment ideas and have increased portfolio efficiency for the managed account strategies that invest in the Funds.
The Trustees also considered information provided with the 15(c) Materials and throughout the year by JPMPI with respect to its diligence, selection process and monitoring of the Funds’ Sub-Advisers and Sub-Sub-Advisers performance on behalf of the Funds. In this regard, the Trustees received and took into account supplemental information regarding the performance of individual sleeves of the Funds’ portfolios managed by a Sub-Adviser or Sub-Sub-Adviser in comparison to performance benchmark(s), which included customized benchmarks in certain cases. In addition, the Trustees received and reviewed composite performance information for J.P. Morgan managed account portfolios that invest in the Funds, along with related performance attribution information. The Trustees also considered the results of reviews of the performance of the Sub-Advisers and Sub-Sub-Adviser by the J.P. Morgan Investment Performance Governance Committee (“PGC”), a separate committee within JPMorgan responsible for providing ongoing oversight of internal investment strategies, and related reports provided by PGC to the Board throughout the year. The Board took into account indications from PGC that it has been satisfied with the performance of each of the Funds and each Sub-Adviser, and that the Funds have to date and continue to serve their intended purpose as completion portfolios for JPMorgan separate account strategies.
Fees and Total Expenses. In considering the fees and expenses of each Fund, the Trustees took into account a number of
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factors, including the type and complexity of the services provided to the Funds under the Agreements, the estimated cost of providing such services, the risks assumed by JPMPI in serving as investment adviser to the Funds and providing such services, the impact on potential returns from different levels of fees, the competitive marketplace for financial products, and the attractiveness of potential returns to investors in the Funds. The Trustees noted that the advisory fee rate payable to JPMPI under the Advisory Agreement is the same for all Funds (with the exception of the Credit Opportunities Fund, which has a higher advisory fee rate to account for the higher cost sub-advisers and strategies within the Fund) and took into account JPMPI’s explanation that each Fund receives substantially similar investment management services from JPMPI, including asset allocation, investment oversight and other management services. The Trustees also took into account that the Adviser had contractually agreed to (i) reimburse expenses for the Funds to the extent the total expense ratio for each Fund exceeded a certain specified limit and (ii) waive any advisory fees that exceeded the aggregate advisory fees JPMPI is contractually required to pay to the Sub-Advisers, and that JPMPI was proposing to continue those arrangements for an additional year.
The Trustees reviewed the advisory fees and total expenses of each Fund (each as a percentage of average net assets) in comparison to the average and median fees and expenses of peer funds within two peer expense groups and an expense universe identified by Broadridge. They noted that two expense groups were identified by Broadridge for each Fund, one of which included institutional 1940 Act funds, and the other only pure index exchange-traded funds (“ETFs”) in light of the Funds’ index-based strategies. The Trustees took into account that each Fund was in the 1st quintile (i.e., having among the lowest fees/expenses) for actual management fees and total expenses in comparison to the Broadridge expense group and expense universe for institutional funds as well as the expense group including only ETFs, with the exception of the Ultra Short Fund, which was in the 2nd quintile in the performance group for institutional funds and in the 3rd and 4th quintiles for actual management fees and total expenses, respectively, in the expense group including only ETFs. The Trustees noted that all Funds were in the 1st quintile for contractual management fees in comparison to the Broadridge expense group and universe for institutional funds, with the exception of the Credit Opportunities Fund, which was in the 5th quintile, but took into account that the Credit Opportunities Fund was in the 1st quintile for actual management fees after taking into account the fee waivers observed for the Fund.
The Trustees also considered information regarding the sub-advisory fee rates paid to each Sub-Adviser under the Sub-Advisory Agreements and found them to be reasonable. In this regard, the Trustees took into account that JPMPI, and not the Funds, pays each Sub-Adviser for its services to the Funds out of the advisory fees JPMPI receives from the Funds under the Advisory Agreement, and further that JPMPI does not retain
any such advisory fees. The Trustees also considered that the fees paid to each Sub-Sub-Adviser are paid by the applicable Sub-Adviser out of the sub-advisory fees it receives from JPMPI.
The Trustees also noted management’s indication that neither JPMPI (with respect to the Funds) nor BlackRock (with respect to the U.S. Equity Fund, International Equity Fund, MEP U.S. Fund, MEP International Fund, Global Bond Fund and Credit Opportunities Fund), PIMCO (with respect to the Global Bond), Insight (with respect to the Tax Aware Fund), PGIM (with respect to the Global Bond Fund), Capital (with respect to the Tax Aware Bond Fund) and RIIS (with respect to the Funds) identified any funds or accounts with comparable investment objectives and strategies as the Funds. The Trustees reviewed the fee rates of funds or accounts with comparable investment objectives and strategies identified by BlackRock (with respect to the Ultra Short Fund), GSAM (with respect to the Ultra Short Fund and Tax Aware Fund), PIMCO (with respect to the Ultra Short Fund, Tax Aware Ultra Short Fund and Credit Opportunities Fund), Allspring (with respect to the Tax Aware Bond Fund), Nuveen (with respect to the Tax Aware Bond Fund), PGIM (with respect to the Credit Opportunities Fund), Lord Abbett (with respect to the Credit Opportunities Fund), RBC GAM (UK) (with respect to the Credit Opportunities Fund) and Muzinich (with respect to the Credit Opportunities Fund), noting the Adviser’s views regarding the limitations of fee comparisons to other funds and separately managed accounts that are not registered under the 1940 Act and/or are not publicly offered, in light of the differences in the types and scope of services provided to the Funds compared to those provided to such other funds and accounts. Further, the Trustees took into account the differing levels of services provided and resulting limitations of fee comparisons with respect to other funds for which the Sub-Advisers serve as primary investment adviser, as opposed to fees charged where the Sub-Adviser serves only in a sub-advisory capacity, as in the case of the Funds. Additionally, the Trustees noted the most-favored nation provisions agreed to by BlackRock, PIMCO, Insight, GSAM, PGIM, Capital, Nuveen, Allspring, Lord Abbett, RBC GAM (UK), Muzinich and RIIS, which help ensure that sub-advisory fee rates charged by each such Sub-Adviser with respect to the Funds are no higher than the fees the Sub-Adviser charges to similar clients.
Adviser Costs, Level of Profits and Economies of Scale. The Trustees considered the estimated profits realized by the Adviser from the Advisory Agreement and in connection with the operation of the Funds based on profitability information included in the 15(c) Materials. Among other information, the Trustees considered the Funds’ operating expenses and estimated cost to the Adviser of providing services to the Funds. They also considered the impact of the expense limitation agreement and fee waiver agreement observed by JPMPI on the Adviser’s estimated profitability. The Trustees took into account that JPMPI’s estimates indicated that the Adviser has been unprofitable with respect to each of the Funds from inception through December 31, 2022. The Trustees also took
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(continued)
into account that, although JPMPI has not realized direct profits with respect to the Funds, J.P. Morgan and its affiliates could be profitable with respect to the managed accounts that invest in the Funds and received related information and input from JPMPI in this regard.
The Trustees further noted that the advisory fee rates paid to JPMPI do not have break points, but due to the Funds’ fee waiver arrangements, JPMPI does not retain any portion of the advisory fees paid by the Funds and also observes expense limitation arrangements for each Fund, which may allow the Funds to benefit from economies of scale. The Trustees took into account that the Sub-Advisory Agreements for BlackRock, PIMCO, Insight, GSAM, PGIM, Nuveen, Allspring, RBC GAM (UK), Muzinich, Lord Abbett, and RIIS include breakpoints to their sub-advisory fee rates at certain assets levels.
Ancillary Benefits. The Trustees also considered whether the Adviser, BlackRock, BIL, BSL, PIMCO, Insight, GSAM, PGIM, PGIML, Capital, Nuveen, Allspring, Lord Abbett, RBC GAM (UK), Muzinich and RIIS or any of their affiliates may receive other ancillary or “fall out” benefits as a result of their relationships with the Funds. The Trustees considered that the Funds benefit the Adviser and its affiliates by enhancing the current discretionary product offering to J.P. Morgan Private Bank, J.P. Morgan Securities and Chase Wealth Management clients. The Trustees considered that the Funds serve to expand JPMPI’s CIO investment opportunities, expand the current capacity to invest, and reduce unintended portfolio dispersion. The Trustees also considered that, apart from the Adviser, which does not retain any fees under the Advisory Agreement for managing the Funds, the Funds do not engage any JPMPI affiliates as Fund service providers. The Trustees noted that the Funds utilize third-party service providers for administration, custody, audit and other services. In this regard, the Trustees took into account JPMPI’s representation that no JPMPI affiliate directly profits financially from the Funds themselves. The Trustees considered that the Adviser and/or its affiliates do receive portfolio management fees (“PMF”) outside of the Funds based on funds held in the Adviser’s discretionary client accounts, including on assets attributable to shares of the Funds held in such accounts. The Trustees took into account, however, JPMPI’s representation that it or its affiliates would receive these PMFs independent of whether the discretionary accounts allocated investments to the Funds or allocated the same assets to a third-party fund or other investment.
The Trustees additionally considered that BlackRock, BIL, BSL, PIMCO, Insight, GSAM, PGIM, PGIML, Capital, Nuveen, Allspring, Lord Abbett, RBC GAM (UK), Muzinich and RIIS are not affiliated with any of the Funds’ service providers, and therefore do not benefit from those contractual relationships. The Trustees also considered portfolio trading practices of RIIS, noting the relatively low trading costs that RIIS expects to incur in completing portfolio transactions for the Funds, should the services be
used. Additionally, the Trustees considered that RIIS may receive ancillary benefits of receiving fees from serving as transition manager to the Funds under the Implementation Services Agreement between the Adviser and RIIS, but noted that those fees are not contingent on RIIS serving as an interim sub-adviser and would be for services that are distinct from any sub-advisory services provided by RIIS. The Trustees also considered the proprietary nature of the Funds and whether any benefits result to the Adviser by placing assets of J.P. Morgan managed account clients into the Funds. In addition, the Trustees considered whether the Adviser or its affiliates benefit from the Funds’ portfolio trading practices, noting that while the Adviser is affiliated with broker-dealers, no broker-dealer affiliate ordinarily executes portfolio transactions on behalf of the Funds.
The Trustees also took into account that, although the Adviser does not retain any of the advisory fees it receives from the Funds and has to date been unprofitable with respect to its management of the Funds themselves, that the Adviser and its affiliates receive fees for managing the J.P. Morgan managed accounts that invest in the Funds. In this regard, the Trustees discussed with management possible approaches to estimating any imputed profitability to the Adviser or J.P. Morgan from their operation of the Funds taking into account the managed account fees they receive that are attributable to assets invested in the Funds and related expenses, and reviewed related information provided by the Adviser. In this regard, the Trustees took into account the Adviser’s representation that J.P. Morgan would continue to receive the same level of fees from its managed accounts whether the accounts invested in the Funds or in other funds and/or individual securities.
Conclusions. After reviewing and considering these and other factors described herein, the Trustees concluded, in their reasonable business judgment, within the context of their overall conclusions regarding the Agreements and based on information provided and related representations made by the Adviser and Sub-Advisers, that they were satisfied that the fees payable under the Agreements represent reasonable compensation in light of the nature, extent and quality of services provided by the Adviser or Sub-Adviser/Sub-Sub-Adviser, as applicable, and that based on the information provided and taking into account the various assumptions made, the estimated profitability of the Adviser (if any) did not appear to be excessive. Based on their evaluation of factors that they deemed to be material, including, but not limited to, those factors described above, the Trustees, including the Independent Trustees, unanimously concluded that the terms of the Agreements are fair and reasonable to each Fund, and approved the continuance of each Agreement for an additional one-year term.
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LIQUIDITY RISK MANAGEMENT PROGRAM
Each of the Funds has adopted the Six Circles Funds Liquidity Risk Management Program (the “Program”) under Rule 22e-4 under the 1940 Act (the “Liquidity Rule”). The Program seeks to assess, manage and review each Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund. Among other things, the Liquidity Rule requires that a written report be provided to the Boards of Trustees (the “Board”) on an annual basis that addresses the operation of the Program and assesses the adequacy and effectiveness of its implementation and any material changes to the Program. JPMPI’s Liquidity Risk Forum (the “Liquidity Forum”) is the program administrator for the Program (the “Program Administrator”). On June 20, 2023, the Board of Trustees reviewed the Program Administrator’s annual written report (the “Report”) concerning the operation of the Program for the period from January 1, 2022 through December 31, 2022 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation. The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to each Fund. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s Liquidity Risk and the results of this assessment; (2) the methodology and inputs for classifying each of the Fund’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) whether a Fund invested primarily in “Highly Liquid Investments” (as defined under the Liquidity Rule) and whether a Highly Liquid Investment Minimum (“HLIM”) should be established for a Fund and the procedures for monitoring for this limit; with the assessment that each Fund was invested primarily in “Highly Liquid Investments and therefore no HLIM needed to be established for any Fund (4) whether a Fund invested more than 15% of its assets in “Illiquid Investments” (as defined under the Liquidity Rule) and the procedures for monitoring for this limit, with the assessment that each Fund was under the 15% limit during the Program Reporting Period; and (5) specific liquidity events arising during the Program Reporting Period, including the impact on Fund liquidity caused by extended non-U.S. market closures. There were no material changes to the Program during the Program Reporting Period, although adjustments were made to the “reasonably anticipated trade size” calculation methodology description to account for actual fund trade experience as the Funds have seasoned.
Based on this review, the Report concluded that: (1) the Program continues to be reasonably designed to effectively assess and manage each Fund’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to each Fund during the Program Reporting Period.
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Feb 2019
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| FACTS | | WHAT DOES SIX CIRCLES TRUST* DO WITH YOUR PERSONAL INFORMATION? |
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| Why? | | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
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| What? | | The types of personal information we may collect and share depend on the product or service you have with us. This information can include: ◾ Social Security number ◾ account balances and transaction history ◾ investment experience and risk tolerance When you are no longer our customer, we continue to share your information as described in this notice. |
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| How? | | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Six Circles Trust, chooses to share; and whether you can limit this sharing. |
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| Reasons we can share your personal information | | Does Six Circles
Trust share? | | Can you limit this
sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | | Yes | | No |
For our marketing purposes — to offer our products and services to you | | No | | We don’t share |
| For joint marketing with other financial companies | | No | | We don’t share |
For our affiliates’ everyday business purposes — information about your transactions and experiences | | Yes | | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | | No | | We don’t share |
| For nonaffiliates to market to you | | No | | We don’t share |
| * | Six Circles Trust and its fund series do not currently, nor are they expected to, collect personal non-public information from individuals, since holdings are held on the books of each fund on an omnibus basis by financial intermediaries. To the extent Six Circles Trust does get access to personal information through its affiliates or otherwise, this statement would apply. |
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| Questions? | | Call 212-464-2070 to speak with a Managed Solutions & Strategies Investor Relations representative. We accept operator relay calls. |
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| Who we are |
| Who is providing this notice? | | Six Circles Trust |
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| What we do |
| How does Six Circles Trust protect my personal information? | | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We only authorize our personnel to access information about you when they need it to do their work for us. We require companies working for us to protect your information. |
| How does Six Circles Trust collect my personal information? | | We may collect your personal information, for example, when you ◾ open an account or make a wire transfer ◾ direct us to buy securities or direct us to sell your securities ◾ provide your account information |
| Why can’t I limit all sharing? | | Federal law gives you the right to limit only ◾ sharing for affiliates’ everyday business purposes – information about your creditworthiness ◾ affiliates from using your information to market to you ◾ sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing. |
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| Definitions |
| Affiliates | | Companies related by common ownership or control. They can be financial and nonfinancial companies. ◾ Our affiliates include companies with the Chase or J.P. Morgan name including J.P. Morgan Private Investments Inc., our investment adviser. |
| Nonaffiliates | | Companies not related by common ownership or control. They can be financial and nonfinancial companies. ◾ We do not share with nonaffiliates so they can market to you |
| Joint marketing | | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. ◾ We don’t jointly market |
For more complete information about the Funds, including the Funds’ objectives, risks, charges and expenses, call your J.P. Morgan team or call 1-212-464-2070 or go to www.sixcirclesfunds.com for a prospectus. Read the prospectus carefully. An investment in these Funds and any other Fund is not designed to be a complete investment program. The Funds are NOT designed to be used as stand-alone investments. J.P. Morgan is committed to making our products and services accessible to meet the financial services needs of all our clients. If you are a person with a disability and need additional support accessing this material, please contact your J.P. Morgan team or email us at accessibility.support@jpmorgan.com for assistance.
The Six Circles Funds are distributed by Foreside Fund Services, LLC a member of FINRA.
Contact Six Circles Funds collect at 1-212-464-2070 for a fund prospectus. You can also visit us at www.sixcirclesfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the Six Circles Funds before investing. The prospectus contains this and other information about the Six Circles Funds. Read the prospectus carefully before investing.
The Six Circles Funds file complete schedules of their fund holdings for the first and third quarters of their fiscal year with the SEC on Form N-PORT. The Six Circles Funds’ Forms N-PORT are available on the SEC’s website at http://www.sec.gov. Each Fund’s quarterly holdings can be found by visiting the Six Circles Funds’ website at www.sixcirclesfunds.com/literature.
A description of the Six Circles Funds’ policies and procedures with respect to the disclosure of the Six Circles Funds’ holdings is available in the prospectuses and Statements of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling collect 1-212-464-2070 or on the Six Circles Funds’ website at www.sixcirclesfunds.com. A description of such policies and procedures is in the Statement of Additional Information available on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser, and the Adviser in turn has delegated such authority to the Sub-Advisers. A copy of the Six Circles Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Six Circles Funds’ website at www.sixcirclesfunds.com no later than August 31 of each year. The Six Circles Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
©JPMorgan Chase & Co. 2023. All rights reserved. June 30, 2023.
Item 2. Code of Ethics.
Not Applicable. This item is only required in an annual report on Form N-CSR.
Item 3. Audit Committee Financial Expert.
Not Applicable. This item is only required in an annual report on Form N-CSR.
Item 4. Principal Accountant Fees and Services.
Not Applicable. This item is only required in an annual report on Form N-CSR.
Item 5. Audit Committee of Listed Registrants.
Not Applicable. This item is only required in an annual report on Form N-CSR.
Item 6. Investments.
| (a) | A Schedule of Investments in securities of unaffiliated issuers as of the close of the Reporting Period is included as part of the report to shareholders filed under Item 1 of this Form N-CSR. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
| (a) | The Registrant’s principal executive and financial officers have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective, as of a date within 90 days of the filing date of this Form N-CSR, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”). |
| (b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this Form N-CSR, that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | |
| (Registrant) Six Circles Trust |
| |
| By: | | (Signature and Title) |
|
| /s/ Mary Savino |
| Mary Savino |
| Title: President—Principal Executive Officer |
| Date: August 29, 2023 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
| | |
| By: | | (Signature and Title) |
|
| /s/ Mary Savino |
| Mary Savino |
| Title: President—Principal Executive Officer |
| Date: August 29, 2023 |
| | |
| By: | | (Signature and Title) |
|
| /s/ Gregory McNeil |
| Gregory McNeil |
| Title: Treasurer—Principal Financial Officer |
| Date: August 29, 2023 |
