Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Asset-Backed Securities — 10.5% | ||||||||
Ally Auto Receivables Trust, Series2018-3, Class A2, 2.72%, 05/17/2021 | 594 | 594 | ||||||
American Express Credit Account Master Trust, | ||||||||
Series2018-1, Class A, 2.67%, 10/17/2022 | 2,250 | 2,256 | ||||||
Series2018-4, Class A, 2.99%, 12/15/2023 | 3,375 | 3,434 | ||||||
Anchorage Capital CLO 7 Ltd., (Cayman Islands), Series2015-7A, Class AR, (ICE LIBOR USD 3 Month + 0.96%), 3.26%, 10/15/2027 (e) (aa) | 577 | 576 | ||||||
Anchorage Capital CLO 8 Ltd., (Cayman Islands), Series2016-8A, Class AR, (ICE LIBOR USD 3 Month + 1.00%), 3.26%, 07/28/2028 (e) (aa) | 1,850 | 1,850 | ||||||
Apidos CLO XXI, (Cayman Islands), Series2015-21A, Class A1R, (ICE LIBOR USD 3 Month + 0.93%), 3.23%, 07/18/2027 (e) (aa) | 1,000 | 999 | ||||||
ARI Fleet Lease Trust, Series2017-A, Class A2, 1.91%, 04/15/2026 (e) | 794 | 793 | ||||||
Atlas Senior Loan Fund III Ltd., (Cayman Islands), Series2013-1A, Class AR, (ICE LIBOR USD 3 Month + 0.83%), 2.95%, 11/17/2027 (e) (aa) | 595 | 594 | ||||||
Atrium XII, (Cayman Islands), Series 12A, Class AR, (ICE LIBOR USD 3 Month + 0.83%), 3.11%, 04/22/2027 (e) (aa) | 1,000 | 998 | ||||||
B2R Mortgage Trust, Series2016-1, Class A, 2.57%, 06/15/2049 (e) | 1,213 | 1,210 | ||||||
BA Credit Card Trust, Series2017-A2, Class A2, 1.84%, 01/17/2023 | 2,010 | 2,008 | ||||||
Bank of The West Auto Trust, Series2018-1, Class A2, 3.09%, 04/15/2021 (e) | 1,658 | 1,661 | ||||||
Battalion CLO X Ltd., (Cayman Islands), Series2016-10A, Class A1R, (ICE LIBOR USD 3 Month + 1.25%), 3.53%, 01/24/2029 (e) (aa) | 1,500 | 1,503 | ||||||
BlueMountain CLO Ltd., (Cayman Islands), Series2012-2A, Class AR2, (ICE LIBOR USD 3 Month + 1.05%), 3.19%, 11/20/2028 (e) (aa) | 2,100 | 2,101 | ||||||
BMW Canada Auto Trust, (Canada), Series2019-1A, Class A1, 2.15%, 10/20/2021 (e) | CAD | 1,734 | 1,309 | |||||
BMW Vehicle Owner Trust, Series2016-A, Class A4, 1.37%, 12/27/2022 | 585 | 583 | ||||||
Burnham Park Clo Ltd., (Cayman Islands), Series2016-1A, Class AR, (3 Month ICE LIBOR USD + 1.15%), 0.00%, 10/20/2029 (e) (aa) (bb) | 500 | 500 | ||||||
Capital One Multi-Asset Execution Trust, | ||||||||
Series2016-A6, Class A6, 1.82%, 09/15/2022 | 2,542 | 2,541 | ||||||
Series2017-A4, Class A4, 1.99%, 07/17/2023 | 1,615 | 1,616 | ||||||
CarMax Auto Owner Trust, | ||||||||
Series2017-1, Class A3, 1.98%, 11/15/2021 | 275 | 275 | ||||||
Series2017-2, Class A3, 1.93%, 03/15/2022 | 484 | 483 | ||||||
Series2017-3, Class A3, 1.97%, 04/15/2022 | 1,100 | 1,099 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Asset-Backed Securities — continued | ||||||||
Series2018-3, Class A2A, 2.88%, 10/15/2021 | 1,696 | 1,700 | ||||||
Series2019-1, Class A2A, 3.02%, 07/15/2022 | 1,574 | 1,582 | ||||||
CBAM Ltd., (Cayman Islands), Series2017-3A, Class A, (ICE LIBOR USD 3 Month + 1.23%), 3.53%, 10/17/2029 (e) (aa) | 1,140 | 1,140 | ||||||
Chesapeake Funding II LLC, | ||||||||
Series2016-2A, Class A1, 1.88%, 06/15/2028 (e) | 648 | 648 | ||||||
Series2019-1A, Class A1, 2.94%, 04/15/2031 (e) | 1,378 | 1,395 | ||||||
Chrysler Capital Auto Receivables Trust, Series2016-BA, Class A4, 1.87%, 02/15/2022 (e) | 1,800 | 1,797 | ||||||
Citibank Credit Card Issuance Trust, | ||||||||
Series2016-A1, Class A1, 1.75%, 11/19/2021 | 2,000 | 1,999 | ||||||
Series2017-A8, Class A8, 1.86%, 08/08/2022 | 1,185 | 1,184 | ||||||
CNH Equipment Trust, Series2019-A, Class A2, 2.96%, 05/16/2022 | 840 | 844 | ||||||
Discover Card Execution Note Trust, Series2019-A2, Class A, (ICE LIBOR USD 1 Month + 0.27%), 2.30%, 12/15/2023 (aa) | 4,500 | 4,504 | ||||||
Drive Auto Receivables Trust, | ||||||||
Series2019-1, Class A2A, 3.08%, 09/15/2021 | 861 | 861 | ||||||
Series2019-4, Class A3, 2.16%, 05/15/2023 | 810 | 809 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
Series2016-C, Class A3, 1.22%, 03/15/2021 | 320 | 319 | ||||||
Series2017-B, Class A3, 1.69%, 11/15/2021 | 1,533 | 1,530 | ||||||
Ford Credit Floorplan Master Owner Trust A, | ||||||||
Series2015-2, Class A1, 1.98%, 01/15/2022 | 5,206 | 5,202 | ||||||
Series2018-3, Class A2, (ICE LIBOR USD 1 Month + 0.40%), 2.43%, 10/15/2023 (aa) | 3,000 | 2,994 | ||||||
Series2019-1, Class A, 2.84%, 03/15/2024 | 1,400 | 1,426 | ||||||
Series2019-3, Class A2, (ICE LIBOR USD 1 Month + 0.60%), 2.65%, 09/15/2024 (aa) | 2,480 | 2,482 | ||||||
Galaxy XXIII CLO Ltd., (Cayman Islands), Series2017-23A, Class A, (ICE LIBOR USD 3 Month + 1.28%), 3.56%, 04/24/2029 (e) (aa) | 720 | 720 | ||||||
GM Financial Automobile Leasing Trust, Series2019-1, Class A2A, 2.91%, 04/20/2021 | 1,677 | 1,682 | ||||||
Gracechurch Card Funding plc, (United Kingdom), Series2018-1A, Class A, (ICE LIBOR USD 1 Month + 0.40%), 2.43%, 07/15/2022 (e) (aa) | 200 | 200 | ||||||
Home Equity Asset Trust, Series2005-8, Class M1, (ICE LIBOR USD 1 Month + 0.43%), 2.45%, 02/25/2036 (aa) | 1,875 | 1,881 | ||||||
Honda Auto Receivables Owner Trust, Series2018-4, Class A2, 2.98%, 05/17/2021 | 1,124 | 1,128 | ||||||
ICG US CLO Ltd., (Cayman Islands), Series2015-1A, Class A1R, (ICE LIBOR USD 3 Month + 1.14%), 3.44%, 10/19/2028 (e) (aa) | 1,000 | 998 | ||||||
Legacy Mortgage Asset Trust, Series2019-GS3, Class A1, SUB, 3.75%, 04/25/2059 (e) | 284 | 288 | ||||||
Marlette Funding Trust, Series2018-4A, Class A, 3.71%, 12/15/2028 (e) | 693 | 699 | ||||||
Mercedes-Benz Auto Lease Trust, Series2019-A, Class A2, 3.01%, 02/16/2021 | 1,279 | 1,283 | ||||||
MMAF Equipment Finance LLC, Series2016-AA, Class A3, 1.48%, 06/15/2020 (e) | 335 | 335 | ||||||
Navient Private Education Loan Trust, Series2017-A, Class A2B, (ICE LIBOR USD 1 Month + 0.90%), 2.93%, 12/16/2058 (e) (aa) | 1,105 | 1,107 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Asset-Backed Securities — continued | ||||||||
Navient Private Education Refi Loan Trust, | ||||||||
Series2018-A, Class A1, 2.53%, 02/18/2042 (e) | 958 | 959 | ||||||
Series2018-CA, Class A1, 3.01%, 06/16/2042 (e) | 1,682 | 1,693 | ||||||
Navient Student Loan Trust, Series2018-EA, Class A1, 3.43%, 12/15/2059 (e) | 1,943 | 1,965 | ||||||
Nelnet Student Loan Trust, Series2019-2A, Class A, (ICE LIBOR USD 1 Month + 0.90%), 3.05%, 06/27/2067 (e) (aa) | 1,473 | 1,470 | ||||||
Neuberger Berman Loan Advisers CLO 26 Ltd., (Cayman Islands), Series2017-26A, Class A, (ICE LIBOR USD 3 Month + 1.17%), 3.47%, 10/18/2030 (e) (aa) | 1,900 | 1,894 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
Series2017-B, Class A3, 1.75%, 10/15/2021 | 1,348 | 1,347 | ||||||
Series2019-A, Class A2A, 2.82%, 01/18/2022 | 2,000 | 2,008 | ||||||
OneMain Direct Auto Receivables Trust, Series2017-2A, Class A, 2.31%, 12/14/2021 (e) | 474 | 473 | ||||||
Oscar US Funding X LLC, (Japan), Series2019-1A, Class A2, 3.10%, 04/11/2022 (e) | 1,423 | 1,429 | ||||||
OZLM VIII Ltd., (Cayman Islands), Series2014-8A, Class A1RR, (ICE LIBOR USD 3 Month + 1.17%), 3.47%, 10/17/2029 (e) (aa) | 1,180 | 1,177 | ||||||
OZLM XII Ltd., (Cayman Islands), Series2015-12A, Class A1R, (ICE LIBOR USD 3 Month + 1.05%), 3.32%, 04/30/2027 (e) (aa) | 250 | 250 | ||||||
OZLM XIV Ltd., (Cayman Islands), Series2015-14A, Class A1AR, (3 Month ICE LIBOR USD + 1.16%), 0.00%, 01/15/2029 (e) (aa) | 655 | 655 | ||||||
Palmer Square Loan Funding Ltd., (Cayman Islands), Series2018-5A, Class A1, (ICE LIBOR USD 3 Month + 0.85%), 3.13%, 01/20/2027 (e) (aa) | 1,793 | 1,788 | ||||||
PFS Financing Corp., Series2018-C, Class A, (ICE LIBOR USD 1 Month + 0.48%), 2.51%, 04/15/2022 (e) (aa) | 1,430 | 1,431 | ||||||
Regatta Funding LP, (Cayman Islands), Series2013-2A, Class A1R2, (ICE LIBOR USD 3 Month + 1.25%), 3.55%, 01/15/2029 (e) (aa) | 600 | 601 | ||||||
Santander Drive Auto Receivables Trust, Series2018-5, Class A3, 3.19%, 03/15/2022 | 430 | 431 | ||||||
Securitized Term Auto Receivables Trust, (Canada), Series2018-2A, Class A2A, 3.06%, 02/25/2021 (e) | 685 | 687 | ||||||
SLC Student Loan Trust, Series2005-1, Class A3, (ICE LIBOR USD 3 Month + 0.10%), 2.26%, 02/15/2025 (aa) | 1,087 | 1,087 | ||||||
SLM Private Education Loan Trust, Series2011-C, Class A2A, (ICE LIBOR USD 1 Month + 3.25%), 5.28%, 10/17/2044 (e) (aa) | 383 | 385 | ||||||
SLM Student Loan Trust, Series2003-10A, Class A3, (ICE LIBOR USD 3 Month + 0.47%), 2.59%, 12/15/2027 (e) (aa) | 2,004 | 2,005 | ||||||
SMB Private Education Loan Trust, | ||||||||
Series2015-A, Class A2A, 2.49%, 06/15/2027 (e) | 2,197 | 2,204 | ||||||
Series2015-B, Class A2A, 2.98%, 07/15/2027 (e) | 1,442 | 1,454 | ||||||
Series2018-A, Class A1, (ICE LIBOR USD 1 Month + 0.35%), 2.38%, 03/16/2026 (e) (aa) | 815 | 816 | ||||||
Series2018-B, Class A1, (ICE LIBOR USD 1 Month + 0.32%), 2.35%, 12/16/2024 (e) (aa) | 571 | 570 | ||||||
Series2018-C, Class A1, (ICE LIBOR USD 1 Month + 0.30%), 2.33%, 09/15/2025 (e) (aa) | 1,207 | 1,206 | ||||||
Series2016-C, Class A2A, 2.34%, 09/15/2034 (e) | 1,197 | 1,198 | ||||||
SoFi Consumer Loan Program Trust, | ||||||||
Series2019-1, Class A, 3.24%, 02/25/2028 (e) | 678 | 685 | ||||||
Series2019-3, Class A, 2.90%, 05/25/2028 (e) | 842 | 848 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Asset-Backed Securities — continued | ||||||||
Sofi Professional Loan Program LLC, Series2018-A, Class A2A, 2.39%, 02/25/2042 (e) | 1,221 | 1,223 | ||||||
Sound Point CLO XV Ltd., (Cayman Islands), Series2017-1A, Class AR, (3 Month ICE LIBOR USD + 1.15%), 0.00%, 01/23/2029 (e) (aa) | 500 | 500 | ||||||
TCI-Symphony CLO Ltd., (Cayman Islands), | ||||||||
Series2016-1A, Class A, (ICE LIBOR USD 3 Month + 1.48%), 3.78%, 10/13/2029 (e) (aa) | 265 | 265 | ||||||
Series2016-1A, Class AR, (3 Month ICE LIBOR USD + 1.16%), 0.00%, 10/13/2029 (e) (aa) | 265 | 265 | ||||||
Toyota Auto Receivables, Series2016-C, Class A4, 1.32%, 11/15/2021 | 475 | 474 | ||||||
Toyota Auto Receivables Owner Trust, | ||||||||
Series2018-B, Class A3, 2.96%, 09/15/2022 | 3,500 | 3,540 | ||||||
Series2019-A, Class A2A, 2.83%, 10/15/2021 | 1,690 | 1,696 | ||||||
Venture XVIII CLO Ltd., (Cayman Islands), Series2014-18A, Class AR, (ICE LIBOR USD 3 Month + 1.22%), 3.52%, 10/15/2029 (e) (aa) | 2,100 | 2,099 | ||||||
Venture XXIV CLO Ltd., (Cayman Islands), Series2016-24A, Class AR, (ICE LIBOR USD 3 Month + 1.18%), 3.46%, 10/20/2028 (e) (aa) | 105 | 105 | ||||||
Volkswagen Auto Loan Enhanced Trust, Series2018-2, Class A2A, 3.05%, 08/20/2021 | 2,049 | 2,055 | ||||||
Voya CLO Ltd., (Cayman Islands), Series2015-2A, Class AR, (ICE LIBOR USD 3 Month + 0.97%), 3.23%, 07/23/2027 (e) (aa) | 750 | 750 | ||||||
VOYA CLO, (Cayman Islands), Series2017-2A, Class A1, (ICE LIBOR USD 3 Month + 1.21%), 3.51%, 06/07/2030 (e) (aa) | 270 | 270 | ||||||
Wheels SPV 2 LLC, Series2017-1A, Class A2, 1.88%, 04/20/2026 (e) | 463 | 463 | ||||||
WhiteHorse VIII Ltd., (Cayman Islands), Series2014-1A, Class AR, (ICE LIBOR USD 3 Month + 0.90%), 3.15%, 05/01/2026 (e) (aa) | 612 | 611 | ||||||
|
| |||||||
Total Asset-Backed Securities (Cost $118,361) | 118,752 | |||||||
|
| |||||||
Certificates of Deposit — 1.2% | ||||||||
Financial — 1.2% | ||||||||
Banks — 1.2% | ||||||||
Bank of Montreal, (Canada), (ICE LIBOR USD 3 Month + 0.29%), 2.41%, 08/28/2020 (aa) | 4,500 | 4,509 | ||||||
Credit Suisse AG, 2.85%, 03/09/2020 (n) | 4,000 | 4,013 | ||||||
Nordea Bank Abp, (Sweden), (ICE LIBOR USD 3 Month + 0.30%), 2.43%, 06/05/2020 (aa) | 2,000 | 2,003 | ||||||
Wells Fargo Bank NA, (United States FEDEF + 0.31%), 2.14%, 08/10/2020 (aa) | 3,500 | 3,500 | ||||||
|
| |||||||
Total Financial | 14,025 | |||||||
|
| |||||||
Total Certificates of Deposit (Cost $14,008) | 14,025 | |||||||
|
| |||||||
Collateralized Mortgage Obligations—1.6% | ||||||||
Brass NO 8 plc, (United Kingdom), Series 8A, Class A1, (3 Month ICE LIBOR USD + 0.70%), 0.00%, 11/16/2066 (e) (aa) | 300 | 300 | ||||||
Credit Suisse Mortgage Capital Certificates, Series 2019-RPL4, Class A1, 3.83%, 08/26/2058 (e) | 291 | 295 | ||||||
FNMA REMICS, | ||||||||
Series2018-86, Class FN, (ICE LIBOR USD 1 Month + 0.35%), 2.58%, 12/25/2048 (aa) | 2,187 | 2,177 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Collateralized Mortgage Obligations — continued | ||||||||
Series2019-47, Class FD, (ICE LIBOR USD 1 Month + 0.40%), 2.55%, 08/25/2049 (aa) | 995 | 996 | ||||||
GNMA, | ||||||||
Series2015-H04, Class FA, (ICE LIBOR USD 1 Month + 0.65%), 2.88%, 12/20/2064 (aa) | 2,059 | 2,061 | ||||||
Series2018-H18, Class FC, (ICE LIBOR USD 1 Month + 0.35%), 2.58%, 08/20/2065 (aa) | 2,847 | 2,838 | ||||||
Series2019-54, Class KF, (ICE LIBOR USD 1 Month + 0.42%), 2.52%, 05/20/2044 (aa) | 1,806 | 1,804 | ||||||
Hawksmoor Mortgages, (United Kingdom), Series2019-1A, Class A, ( SONIA Deposit Rates Swap 3 Month + 1.05%), 0.00%, 05/25/2053 (e) (aa) | GBP | 2,700 | 3,321 | |||||
Lanark Master Issuer plc, (United Kingdom), Series2019-1A, Class 1A1, (ICE LIBOR USD 3 Month + 0.77%), 2.90%, 12/22/2069 (e) (aa) | 1,400 | 1,401 | ||||||
New Residential Mortgage Loan Trust, Series2018-3A, Class A1, 4.50%, 05/25/2058 (e) (z) | 248 | 262 | ||||||
Ripon Mortgages plc, (United Kingdom), Series 1X, Class A2, Reg. S, (ICE LIBOR GBP 3 Month + 0.80%), 1.56%, 08/20/2056 (aa) | GBP | 2,493 | 3,061 | |||||
Silverstone Master Issuer plc, (United Kingdom), Series2019-1A, Class 1A, (ICE LIBOR USD 3 Month + 0.57%), 2.85%, 01/21/2070 (e) (aa) | 200 | 200 | ||||||
Trinity Square plc, (United Kingdom), Series2015-1X, Class A, Reg. S, (ICE LIBOR GBP 3 Month + 1.15%), 1.92%, 07/15/2051 (aa) | GBP | 154 | 190 | |||||
|
| |||||||
Total Collateralized Mortgage Obligations (Cost $19,065) | 18,906 | |||||||
|
| |||||||
Commercial Mortgage-Backed Securities — 3.8% | ||||||||
AREIT Trust, | ||||||||
Series 2019-CRE3, Class A, (ICE LIBOR USD 1 Month + 1.02%), 3.05%, 09/14/2036 (e) (aa) | 500 | 500 | ||||||
Series 2018-CRE2, Class A, (ICE LIBOR USD 1 Month + 0.98%), 3.01%, 11/14/2035 (e) (aa) | 2,114 | 2,110 | ||||||
Aventura Mall Trust, Series2013-AVM, Class A, 3.87%, 12/05/2032 (e) (z) | 1,500 | 1,518 | ||||||
BAMLL Commercial Mortgage Securities Trust, | ||||||||
Series2019-AHT, Class A, (ICE LIBOR USD 1 Month + 1.20%), 3.23%, 03/15/2034 (e) (aa) | 300 | 301 | ||||||
Series2019-RLJ, Class A, (ICE LIBOR USD 1 Month + 1.05%), 3.08%, 04/15/2036 (e) (aa) | 400 | 400 | ||||||
Bancorp Commercial Mortgage Trust, Series 2019-CRE6, Class A, (ICE LIBOR USD 1 Month + 1.05%), 3.32%, 09/15/2036 (e) (aa) | 400 | 400 | ||||||
BX Commercial Mortgage Trust, Series2018-IND, Class A, (ICE LIBOR USD 1 Month + 0.75%), 2.78%, 11/15/2035 (e) (aa) | 2,670 | 2,670 | ||||||
Citigroup Commercial Mortgage Trust, Series 2015-GC29, Class A2, 2.67%, 04/10/2048 | 963 | 963 | ||||||
COMM Mortgage Trust, | ||||||||
Series 2015-CR23, Class A2, 2.85%, 05/10/2048 | 2,450 | 2,451 | ||||||
Series 2015-CR27, Class A2, 2.22%, 10/10/2048 | 1,160 | 1,159 | ||||||
Series 2015-LC19, Class A2, 2.79%, 02/10/2048 | 2,062 | 2,062 | ||||||
GPMT Ltd., (Cayman Islands), Series2018-FL1, Class A, (ICE LIBOR USD 1 Month + 0.90%), 2.94%, 11/21/2035 (e) (aa) | 886 | 886 | ||||||
Grace Mortgage Trust, Series 2014-GRCE, Class A, 3.37%, 06/10/2028 (e) | 1,000 | 1,015 | ||||||
GS Mortgage Securities Corp. II, Series 2013-KING, Class A, 2.71%, 12/10/2027 (e) | 1,664 | 1,664 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Commercial Mortgage-Backed Securities — continued | ||||||||
GS Mortgage Securities Trust, | ||||||||
Series 2012-GCJ9, Class A3, 2.77%, 11/10/2045 | 991 | 1,010 | ||||||
Series 2013-GC14, Class A3, 3.53%, 08/10/2046 | 2,177 | 2,190 | ||||||
Series 2014-GC24, Class A2, 3.10%, 09/10/2047 | 38 | 39 | ||||||
Madison Avenue Trust, Series 2013-650M, Class A, 3.84%, 10/12/2032 (e) | 2,000 | 2,019 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
Series2013-C10, Class ASB, 3.91%, 07/15/2046 (z) | 302 | 310 | ||||||
Series2013-C11, Class AAB, 3.85%, 08/15/2046 | 786 | 812 | ||||||
Series2014-C18, Class A2, 3.19%, 10/15/2047 | 71 | 71 | ||||||
Series2014-C19, Class A2, 3.10%, 12/15/2047 | 134 | 135 | ||||||
Series2015-C23, Class A2, 2.98%, 07/15/2050 | 1,715 | 1,717 | ||||||
Morgan Stanley Capital I Trust, | ||||||||
Series2014-CPT, Class A, 3.35%, 07/13/2029 (e) | 1,500 | 1,526 | ||||||
Series 2019-PLND, Class A, (ICE LIBOR USD 1 Month + 1.00%), 3.03%, 05/15/2036 (e) (aa) | 700 | 700 | ||||||
Series2012-C4, Class A3, 2.99%, 03/15/2045 | 505 | 507 | ||||||
Series2012-C4, Class AS, 3.77%, 03/15/2045 | 1,400 | 1,443 | ||||||
PFP Ltd., (Cayman Islands), Series2019-5, Class A, (ICE LIBOR USD 1 Month + 0.97%), 3.00%, 04/14/2036 (e) (aa) | 1,500 | 1,501 | ||||||
UBS-Citigroup Commercial Mortgage Trust, Series2011-C1, Class AAB, 3.19%, 01/10/2045 | 855 | 862 | ||||||
VMC Finance LLC, Series2018-FL2, Class A, (ICE LIBOR USD 1 Month + 0.92%), 2.94%, 10/15/2035 (e) (aa) | 2,096 | 2,093 | ||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||
Series2010-C1, Class A2, 4.39%, 11/15/2043 (e) | 2,000 | 2,027 | ||||||
Series2012-LC5, Class ASB, 2.53%, 10/15/2045 | 1,386 | 1,391 | ||||||
Series 2015-NXS2, Class A2, 3.02%, 07/15/2058 | 1,500 | 1,499 | ||||||
Series 2016-NXS5, Class A2, 2.71%, 01/15/2059 | 1,160 | 1,164 | ||||||
WFRBS Commercial Mortgage Trust, | ||||||||
Series2013-C12, Class ASB, 2.84%, 03/15/2048 | 1,455 | 1,468 | ||||||
Series2012-C9, Class A3, 2.87%, 11/15/2045 | 1,654 | 1,687 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities (Cost $44,178) | 44,270 | |||||||
|
| |||||||
Corporate Bonds — 41.4% | ||||||||
Basic Materials — 0.2% | ||||||||
Chemicals — 0.2% | ||||||||
DuPont de Nemours, Inc., | ||||||||
(ICE LIBOR USD 3 Month + 0.71%), 2.87%, 11/15/2020 (aa) | 1,500 | 1,507 | ||||||
3.77%, 11/15/2020 | 500 | 510 | ||||||
Incitec Pivot Finance LLC, Reg. S, 6.00%, 12/10/2019 | 200 | 201 | ||||||
|
| |||||||
2,218 | ||||||||
|
| |||||||
Forest Products & Paper — 0.0%(g) | ||||||||
Georgia-Pacific LLC, 5.40%, 11/01/2020 (e) | 200 | 207 | ||||||
|
| |||||||
Total Basic Materials | 2,425 | |||||||
|
| |||||||
Communications — 2.2% | ||||||||
Advertising — 0.0%(g) | ||||||||
Interpublic Group of Cos., Inc. (The), 3.50%, 10/01/2020 | 15 | 15 | ||||||
|
| |||||||
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds — continued | ||||||||
Media — 0.7% | ||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 3.58%, 07/23/2020 | 3,100 | 3,128 | ||||||
Comcast Corp., (ICE LIBOR USD 3 Month + 0.44%), 2.54%, 10/01/2021 (aa) | 4,100 | 4,112 | ||||||
|
| |||||||
7,240 | ||||||||
|
| |||||||
Telecommunications — 1.5% | ||||||||
AT&T, Inc., | ||||||||
(ICE LIBOR USD 3 Month + 0.75%), 2.89%, 06/01/2021 (aa) | 1,810 | 1,819 | ||||||
(ICE LIBOR USD 3 Month + 0.65%), 2.95%, 01/15/2020 (aa) | 4,000 | 4,006 | ||||||
(ICE LIBOR USD 3 Month + 0.93%), 3.03%, 06/30/2020 (aa) | 1,733 | 1,742 | ||||||
(ICE LIBOR USD 3 Month + 0.95%), 3.25%, 07/15/2021 (aa) | 500 | 504 | ||||||
(ICE LIBOR USD 3 Month + 1.18%), 3.31%, 06/12/2024 (aa) | 2,000 | 2,037 | ||||||
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC, 3.36%, 09/20/2021 (e) | 237 | 238 | ||||||
Verizon Communications, Inc., | ||||||||
(ICE LIBOR USD 3 Month + 0.55%), 2.70%, 05/22/2020 (aa) | 2,790 | 2,797 | ||||||
3.45%, 03/15/2021 | 2,000 | 2,043 | ||||||
Vodafone Group plc, (United Kingdom), (ICE LIBOR USD 3 Month + 0.99%), 3.31%, 01/16/2024 (aa) | 2,200 | 2,219 | ||||||
|
| |||||||
17,405 | ||||||||
|
| |||||||
Total Communications | 24,660 | |||||||
|
| |||||||
Consumer Cyclical — 5.3% | ||||||||
Airlines — 0.0% (g) | ||||||||
Southwest Airlines Co., 2.75%, 11/06/2019 | 150 | 150 | ||||||
WestJet Airlines Ltd., (Canada), 3.50%, 06/16/2021 (e) (i) | 600 | 610 | ||||||
|
| |||||||
760 | ||||||||
|
| |||||||
Auto Manufacturers — 4.8% | ||||||||
American Honda Finance Corp., | ||||||||
(ICE LIBOR USD 3 Month + 0.15%), 2.33%, 11/13/2019 (aa) | 2,750 | 2,751 | ||||||
(ICE LIBOR USD 3 Month + 0.35%), 2.64%, 11/05/2021 (aa) | 300 | 300 | ||||||
BMW US Capital LLC, | ||||||||
(ICE LIBOR USD 3 Month + 0.37%), 2.55%, 08/14/2020 (e) (aa) | 4,500 | 4,508 | ||||||
(ICE LIBOR USD 3 Month + 0.50%), 2.68%, 08/13/2021 (e) (aa) | 3,400 | 3,407 | ||||||
(ICE LIBOR USD 3 Month + 0.41%), 2.75%, 04/12/2021 (e) (aa) | 100 | 100 | ||||||
3.25%, 08/14/2020 (e) | 200 | 202 | ||||||
Daimler Finance North America LLC, | ||||||||
(ICE LIBOR USD 3 Month + 0.45%), 2.60%, 02/22/2021 (e) (aa) | 700 | 700 | ||||||
2.70%, 08/03/2020 (e) | 800 | 804 | ||||||
(ICE LIBOR USD 3 Month + 0.63%), 2.93%, 01/06/2020 (e) (aa) | 5,735 | 5,742 | ||||||
3.10%, 05/04/2020 (e) | 1,105 | 1,112 | ||||||
Ford Motor Credit Co. LLC, | ||||||||
2.34%, 11/02/2020 | 600 | 596 | ||||||
2.43%, 06/12/2020 | 200 | 200 | ||||||
2.60%, 11/04/2019 | 2,800 | 2,800 | ||||||
(ICE LIBOR USD 3 Month + 0.43%), 2.70%, 11/02/2020 (aa) | 1,000 | 991 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds — continued | ||||||||
Auto Manufacturers — continued | ||||||||
(ICE LIBOR USD 3 Month + 1.00%), 3.31%, 01/09/2020 (aa) | 1,500 | 1,500 | ||||||
(ICE LIBOR USD 3 Month + 1.27%), 3.37%, 03/28/2022 (aa) | 300 | 296 | ||||||
General Motors Financial Co., Inc., 2.45%, 11/06/2020 | 1,922 | 1,921 | ||||||
(ICE LIBOR USD 3 Month + 0.54%), 2.78%, 11/06/2020 (aa) | 500 | 499 | ||||||
(ICE LIBOR USD 3 Month + 0.85%), 3.16%, 04/09/2021 (aa) | 1,000 | 1,000 | ||||||
(ICE LIBOR USD 3 Month + 0.93%), 3.23%, 04/13/2020 (aa) | 2,000 | 2,005 | ||||||
(ICE LIBOR USD 3 Month + 1.10%), 3.34%, 11/06/2021 (aa) | 730 | 730 | ||||||
3.70%, 11/24/2020 | 2,900 | 2,936 | ||||||
4.20%, 03/01/2021 | 1,500 | 1,532 | ||||||
Harley-Davidson Financial Services, Inc., 2.15%, 02/26/2020 (e) | 1,500 | 1,497 | ||||||
Hyundai Capital America, 2.60%, 03/19/2020 (e) | 800 | 800 | ||||||
Reg. S, (ICE LIBOR USD 3 Month + 0.82%), 2.95%, 03/12/2021 (aa) | 2,200 | 2,203 | ||||||
(ICE LIBOR USD 3 Month + 0.80%), 3.13%, 04/03/2020 (e) (aa) | 100 | 100 | ||||||
(ICE LIBOR USD 3 Month + 1.00%), 3.15%, 09/18/2020 (e) (aa) | 100 | 100 | ||||||
Nissan Motor Acceptance Corp., 2.15%, 07/13/2020 (e) | 700 | 699 | ||||||
Reg. S, (ICE LIBOR USD 3 Month + 0.39%), 2.49%, 09/28/2020 (aa) | 800 | 800 | ||||||
(ICE LIBOR USD 3 Month + 0.52%), 2.64%, 03/15/2021 (e) (aa) | 200 | 200 | ||||||
(ICE LIBOR USD 3 Month + 0.69%), 2.79%, 09/28/2022 (e) (aa) | 1,800 | 1,797 | ||||||
(ICE LIBOR USD 3 Month + 0.65%), 2.95%, 07/13/2022 (e) (aa) | 1,500 | 1,496 | ||||||
(ICE LIBOR USD 3 Month + 0.89%), 3.19%, 01/13/2022 (e) (aa) | 40 | 40 | ||||||
Toyota Motor Credit Corp., | ||||||||
(ICE LIBOR USD 3 Month + 0.14%), 2.32%, 11/14/2019 (aa) | 3,000 | 3,001 | ||||||
(ICE LIBOR USD 3 Month + 0.10%), 2.44%, 01/10/2020 (aa) | 1,200 | 1,200 | ||||||
(ICE LIBOR USD 3 Month + 0.28%), 2.58%, 04/13/2021 (aa) | 500 | 501 | ||||||
(ICE LIBOR USD 3 Month + 0.44%), 2.74%, 10/18/2019 (aa) | 1,450 | 1,450 | ||||||
Volkswagen Group of America Finance LLC, 2.70%, 09/26/2022 (e) | 200 | 201 | ||||||
(ICE LIBOR USD 3 Month + 0.86%), 2.97%, 09/24/2021 (e) (aa) | 1,000 | 1,002 | ||||||
4.00%, 11/12/2021 (e) | 400 | 413 | ||||||
Volkswagen International Finance NV, (Netherlands), 4.00%, 08/12/2020 (e) | 600 | 609 | ||||||
|
| |||||||
54,741 | ||||||||
|
| |||||||
Auto Parts & Equipment — 0.1% | ||||||||
ZF North America Capital, Inc., 4.00%, 04/29/2020 (e) | 650 | 654 | ||||||
|
| |||||||
Lodging — 0.1% | ||||||||
Las Vegas Sands Corp., 3.20%, 08/08/2024 | 700 | 713 | ||||||
|
|
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds — continued | ||||||||
Retail — 0.3% | ||||||||
McDonald’s Corp., (ICE LIBOR USD 3 Month + 0.43%), 2.69%, 10/28/2021 (aa) | 1,000 | 1,000 | ||||||
Walgreens Boots Alliance, Inc., 2.70%, 11/18/2019 | 1,950 | 1,951 | ||||||
|
| |||||||
2,951 | ||||||||
|
| |||||||
Total Consumer Cyclical | 59,819 | |||||||
|
| |||||||
ConsumerNon-cyclical — 6.9% | ||||||||
Agriculture — 1.1% | ||||||||
BAT Capital Corp., 2.76%, 08/15/2022 | 2,200 | 2,219 | ||||||
(ICE LIBOR USD 3 Month + 0.59%), 2.77%, 08/14/2020 (aa) | 400 | 401 | ||||||
(ICE LIBOR USD 3 Month + 0.88%), 3.04%, 08/15/2022 (aa) | 3,200 | 3,219 | ||||||
Imperial Brands Finance plc, (United Kingdom), 3.75%, 07/21/2022 (e) | 1,700 | 1,750 | ||||||
2.95%, 07/21/2020 (e) | 1,000 | 1,003 | ||||||
Reynolds American, Inc., | ||||||||
4.00%, 06/12/2022 | 300 | 312 | ||||||
6.88%, 05/01/2020 | 2,927 | 3,004 | ||||||
|
| |||||||
11,908 | ||||||||
|
| |||||||
Biotechnology — 0.4% | ||||||||
Amgen, Inc., (ICE LIBOR USD 3 Month + 0.45%), 2.63%, 05/11/2020 (aa) | 950 | 951 | ||||||
Gilead Sciences, Inc., 2.55%, 09/01/2020 | 3,440 | 3,457 | ||||||
|
| |||||||
4,408 | ||||||||
|
| |||||||
Commercial Services — 1.5% | ||||||||
Central Nippon Expressway Co. Ltd., (Japan), | ||||||||
Reg. S, 2.36%, 05/28/2021 | 10,000 | 9,988 | ||||||
Reg. S, 2.38%, 09/17/2020 | 500 | 500 | ||||||
Reg. S, (ICE LIBOR USD 3 Month + 0.56%), 2.83%, 11/02/2021 (aa) | 3,600 | 3,601 | ||||||
Equifax, Inc., (ICE LIBOR USD 3 Month + 0.87%), 3.03%, 08/15/2021 (aa) | 2,800 | 2,799 | ||||||
|
| |||||||
16,888 | ||||||||
|
| |||||||
Food — 0.8% | ||||||||
Conagra Brands, Inc., (ICE LIBOR USD 3 Month + 0.50%), 2.81%, 10/09/2020 (aa) | 900 | 900 | ||||||
General Mills, Inc., (ICE LIBOR USD 3 Month + 0.54%), 2.86%, 04/16/2021 (aa) | 1,840 | 1,844 | ||||||
Mondelez International Holdings Netherlands BV, (Netherlands), (ICE LIBOR USD 3 Month + 0.61%), 2.87%, 10/28/2019 (e) (aa) | 1,500 | 1,501 | ||||||
Tyson Foods, Inc., | ||||||||
(ICE LIBOR USD 3 Month + 0.45%), 2.60%, 08/21/2020 (aa) | 150 | 150 | ||||||
(ICE LIBOR USD 3 Month + 0.55%), 2.68%, 06/02/2020 (aa) | 500 | 500 | ||||||
Wm Wrigley Jr Co., | ||||||||
2.90%, 10/21/2019 (e) | 4,000 | 4,002 | ||||||
3.38%, 10/21/2020 (e) | 500 | 507 | ||||||
|
| |||||||
9,404 | ||||||||
|
| |||||||
Healthcare - Services — 0.4% | ||||||||
Dignity Health, 2.64%, 11/01/2019 | 3,000 | 3,000 | ||||||
Fresenius Medical Care US Finance II, Inc., 4.13%, 10/15/2020 (e) | 1,600 | 1,620 | ||||||
|
| |||||||
4,620 | ||||||||
|
|
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds — continued | ||||||||
Pharmaceuticals — 2.7% | ||||||||
AbbVie, Inc., 2.50%, 05/14/2020 | 6,090 | 6,104 | ||||||
Allergan Funding SCS, (Luxembourg), 3.00%, 03/12/2020 | 6,480 | 6,499 | ||||||
Bayer US Finance II LLC, | ||||||||
(ICE LIBOR USD 3 Month + 0.63%), 2.74%, 06/25/2021 (e) (aa) | 1,150 | 1,149 | ||||||
(ICE LIBOR USD 3 Month + 1.01%), 3.13%, 12/15/2023 (e) (aa) | 3,400 | 3,402 | ||||||
Bristol-Myers Squibb Co., | ||||||||
(ICE LIBOR USD 3 Month + 0.20%), 2.37%, 11/16/2020 (e) (aa) | 3,550 | 3,552 | ||||||
(ICE LIBOR USD 3 Month + 0.38%), 2.55%, 05/16/2022 (e) (aa) | 1,200 | 1,201 | ||||||
Cigna Corp., 3.20%, 09/17/2020 | 1,765 | 1,782 | ||||||
CVS Health Corp., | ||||||||
(ICE LIBOR USD 3 Month + 0.63%), 2.73%, 03/09/2020 (aa) | 100 | 100 | ||||||
2.80%, 07/20/2020 | 2,430 | 2,441 | ||||||
(ICE LIBOR USD 3 Month + 0.72%), 2.82%, 03/09/2021 (aa) | 3,580 | 3,597 | ||||||
GlaxoSmithKline Capital plc, (United Kingdom), (ICE LIBOR USD 3 Month + 0.35%), 2.53%, 05/14/2021 (aa) | 750 | 751 | ||||||
Shire Acquisitions Investments Ireland DAC, (Ireland), 2.40%, 09/23/2021 | 40 | 40 | ||||||
|
| |||||||
30,618 | ||||||||
|
| |||||||
Total ConsumerNon-cyclical | 77,846 | |||||||
|
| |||||||
Diversified — 0.1% | ||||||||
Holding Companies - Diversified — 0.1% | ||||||||
CK Hutchison International 17 II Ltd., (Cayman Islands), 2.25%, 09/29/2020 (e) | 200 | 200 | ||||||
Reg. S, 2.25%, 09/29/2020 | 1,500 | 1,498 | ||||||
|
| |||||||
Total Diversified | 1,698 | |||||||
|
| |||||||
Energy — 2.4% | ||||||||
Coal — 0.1% | ||||||||
China Shenhua Overseas Capital Co. Ltd., (British Virgin Islands), Reg. S, 3.13%, 01/20/2020 | 510 | 510 | ||||||
|
| |||||||
Oil & Gas — 0.5% | ||||||||
BP Capital Markets plc, (United Kingdom), 2.32%, 02/13/2020 | 1,174 | 1,176 | ||||||
CNOOC Finance 2015 Australia Pty Ltd., (Australia), 2.63%, 05/05/2020 | 3,250 | 3,253 | ||||||
EQT Corp., (ICE LIBOR USD 3 Month + 0.77%), 2.87%, 10/01/2020 (aa) | 800 | 798 | ||||||
Petronas Global Sukuk Ltd., (Malaysia), Reg. S, 2.71%, 03/18/2020 | 200 | 200 | ||||||
Phillips 66, (ICE LIBOR USD 3 Month + 0.75%), 3.05%, 04/15/2020 (e) (aa) | 500 | 500 | ||||||
|
| |||||||
5,927 | ||||||||
|
| |||||||
Pipelines — 1.8% | ||||||||
Enbridge, Inc., (Canada), | ||||||||
(ICE LIBOR USD 3 Month + 0.40%), 2.74%, 01/10/2020 (aa) | 3,700 | 3,700 | ||||||
(ICE LIBOR USD 3 Month + 0.70%), 2.82%, 06/15/2020 (aa) | 6,000 | 6,011 | ||||||
Enterprise Products Operating LLC, 5.20%, 09/01/2020 | 3,500 | 3,596 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds — continued | ||||||||
Pipelines — continued | ||||||||
Florida Gas Transmission Co. LLC, 5.45%, 07/15/2020 (e) | 500 | 512 | ||||||
Rockies Express Pipeline LLC, 5.63%, 04/15/2020 (e) | 1,200 | 1,217 | ||||||
TransCanada PipeLines Ltd., (Canada), 3.80%, 10/01/2020 | 3,350 | 3,403 | ||||||
Williams Cos., Inc. (The), | ||||||||
4.13%, 11/15/2020 | 500 | 508 | ||||||
5.25%, 03/15/2020 | 2,025 | 2,051 | ||||||
|
| |||||||
20,998 | ||||||||
|
| |||||||
Total Energy | 27,435 | |||||||
|
| |||||||
Financial — 16.0% | ||||||||
Banks — 12.4% | ||||||||
Aozora Bank Ltd., (Japan), Reg. S, 2.75%, 03/09/2020 | 200 | 200 | ||||||
Australia & New Zealand Banking Group Ltd., (Australia), (ICE LIBOR USD 3 Month + 0.32%), 2.50%, 11/09/2020 (e) (aa) | 4,000 | 4,006 | ||||||
Banco Santander Chile, (Chile), (ICE LIBOR USD 3 Month + 1.20%), 3.34%, 11/28/2021 (aa) | 3,000 | 3,038 | ||||||
Bank of America Corp., 2.63%, 10/19/2020 | 1,645 | 1,656 | ||||||
(ICE LIBOR USD 3 Month + 0.65%), 2.75%, 10/01/2021 (aa) | 1,250 | 1,254 | ||||||
(ICE LIBOR USD 3 Month + 0.65%), 2.76%, 06/25/2022 (aa) | 1,700 | 1,706 | ||||||
(ICE LIBOR USD 3 Month + 0.66%), 2.94%, 07/21/2021 (aa) | 100 | 100 | ||||||
(ICE LIBOR USD 3 Month + 1.18%), 3.46%, 10/21/2022 (aa) | 1,000 | 1,013 | ||||||
(ICE LIBOR USD 3 Month + 1.42%), 3.72%, 04/19/2021 (aa) | 3,000 | 3,052 | ||||||
Bank of Montreal, (Canada), | ||||||||
(ICE LIBOR USD 3 Month + 0.34%), 2.64%, 07/13/2020 (aa) | 2,350 | 2,355 | ||||||
(ICE LIBOR USD 3 Month + 0.60%), 2.73%, 12/12/2019 (aa) | 785 | 786 | ||||||
(ICE LIBOR USD 3 Month + 0.79%), 2.92%, 08/27/2021 (aa) | 100 | 101 | ||||||
Barclays plc, (United Kingdom), | ||||||||
2.75%, 11/08/2019 | 5,600 | 5,600 | ||||||
2.88%, 06/08/2020 | 2,000 | 2,002 | ||||||
BB&T Corp., (ICE LIBOR USD 3 Month + 0.57%), 2.69%, 06/15/2020 (aa) | 4,000 | 4,012 | ||||||
Citibank NA, | ||||||||
(ICE LIBOR USD 3 Month + 0.60%), 2.74%, 05/20/2022 (aa) | 1,600 | 1,602 | ||||||
3.05%, 05/01/2020 | 1,750 | 1,759 | ||||||
Citigroup, Inc., | ||||||||
2.65%, 10/26/2020 | 100 | 101 | ||||||
(ICE LIBOR USD 3 Month + 1.07%), 3.17%, 12/08/2021 (aa) | 2,000 | 2,024 | ||||||
Citizens Bank NA, (ICE LIBOR USD 3 Month + 0.54%), 2.68%, 03/02/2020 (aa) | 5,000 | 5,006 | ||||||
Commonwealth Bank of Australia, (Australia), 2.05%, 09/18/2020 (e) | 500 | 500 | ||||||
Credit Suisse Group Funding Guernsey Ltd., (Guernsey), 2.75%, 03/26/2020 | 5,800 | 5,815 | ||||||
Danske Bank A/S, (Denmark), (ICE LIBOR USD 3 Month + 1.25%), 3.00%, 09/20/2022 (e) (aa) | 1,000 | 1,004 | ||||||
Fifth Third Bank, (ICE LIBOR USD 3 Month + 0.25%), 2.52%, 10/30/2020 (aa) | 1,000 | 1,001 | ||||||
First Abu Dhabi Bank PJSC, (United Arab Emirates), Reg. S, (ICE LIBOR USD 3 Month + 0.95%), 3.27%, 04/16/2022 (aa) | 1,700 | 1,706 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds — continued | ||||||||
Banks — continued | ||||||||
Goldman Sachs Group, Inc. (The), | ||||||||
2.35%, 11/15/2021 | 55 | 55 | ||||||
2.75%, 09/15/2020 | 50 | 50 | ||||||
(ICE LIBOR USD 3 Month + 0.73%), 2.83%, 12/27/2020 (aa) | 4,900 | 4,905 | ||||||
(ICE LIBOR USD 3 Month + 1.17%), 3.33%, 11/15/2021 (aa) | 750 | 756 | ||||||
(ICE LIBOR USD 3 Month + 1.16%), 3.42%, 04/23/2020 (aa) | 3,800 | 3,817 | ||||||
(ICE LIBOR USD 3 Month + 1.36%), 3.64%, 04/23/2021 (aa) | 100 | 101 | ||||||
HSBC Holdings plc, (United Kingdom), | ||||||||
(ICE LIBOR USD 3 Month + 0.60%), 2.72%, 05/18/2021 (aa) | 1,700 | 1,702 | ||||||
(ICE LIBOR USD 3 Month + 1.00%), 3.12%, 05/18/2024 (aa) | 2,000 | 2,008 | ||||||
(ICE LIBOR USD 3 Month + 1.50%), 3.79%, 01/05/2022 (aa) | 1,000 | 1,019 | ||||||
(ICE LIBOR USD 3 Month + 1.66%), 3.79%, 05/25/2021 (aa) | 1,450 | 1,476 | ||||||
Huntington National Bank (The), | ||||||||
2.38%, 03/10/2020 | 1,500 | 1,501 | ||||||
2.88%, 08/20/2020 | 400 | 403 | ||||||
ING Groep NV, (Netherlands), (ICE LIBOR USD 3 Month + 1.15%), 3.25%, 03/29/2022 (aa) | 1,700 | 1,722 | ||||||
KEB Hana Bank, (South Korea), (ICE LIBOR USD 3 Month + 0.70%), 2.79%, 10/02/2022 (e) (aa) | 400 | 401 | ||||||
Lloyds Bank plc, (United Kingdom), 5.80%, 01/13/2020 (e) | 500 | 505 | ||||||
Lloyds Banking Group plc, (United Kingdom), (ICE LIBOR USD 3 Month + 0.80%), 2.96%, 06/21/2021 (aa) | 1,000 | 1,002 | ||||||
Mitsubishi UFJ Financial Group, Inc., (Japan), | ||||||||
(ICE LIBOR USD 3 Month + 0.65%), 2.92%, 07/26/2021 (aa) | 700 | 702 | ||||||
(ICE LIBOR USD 3 Month + 0.79%), 3.07%, 07/25/2022 (aa) | 3,400 | 3,414 | ||||||
(ICE LIBOR USD 3 Month + 1.06%), 3.19%, 09/13/2021 (aa) | 1,400 | 1,415 | ||||||
Mizuho Financial Group, Inc., (Japan), | ||||||||
(ICE LIBOR USD 3 Month + 0.88%), 3.02%, 09/11/2022 (aa) | 3,400 | 3,419 | ||||||
(ICE LIBOR USD 3 Month + 0.94%), 3.08%, 02/28/2022 (aa) | 1,000 | 1,007 | ||||||
(ICE LIBOR USD 3 Month + 1.48%), 3.82%, 04/12/2021 (e) (aa) | 1,000 | 1,016 | ||||||
Morgan Stanley, | ||||||||
2.50%, 04/21/2021 | 50 | 50 | ||||||
(ICE LIBOR USD 3 Month + 0.55%), 2.73%, 02/10/2021 (aa) | 3,300 | 3,303 | ||||||
2.80%, 06/16/2020 | 5,300 | 5,327 | ||||||
(ICE LIBOR USD 3 Month + 0.93%), 3.21%, 07/22/2022 (aa) | 2,700 | 2,720 | ||||||
(ICE LIBOR USD 3 Month + 1.18%), 3.46%, 01/20/2022 (aa) | 1,000 | 1,010 | ||||||
National Australia Bank Ltd., (Australia), (ICE LIBOR USD 3 Month + 1.00%), 3.34%, 07/12/2021 (e) (aa) | 1,150 | 1,164 | ||||||
Nordea Bank Abp, (Finland), | ||||||||
2.13%, 05/29/2020 (e) | 2,000 | 2,001 | ||||||
(ICE LIBOR USD 3 Month + 0.47%), 2.59%, 05/29/2020 (e) (aa) | 1,500 | 1,503 | ||||||
(ICE LIBOR USD 3 Month + 0.94%), 3.06%, 08/30/2023 (e) (aa) | 200 | 199 | ||||||
QNB Finance Ltd., (Cayman Islands), | ||||||||
Reg. S, (ICE LIBOR USD 3 Month + 1.00%), 3.27%, 05/02/2022 (aa) | 3,100 | 3,103 | ||||||
Reg. S, (ICE LIBOR USD 3 Month + 1.35%), 3.47%, 05/31/2021 (aa) | 200 | 202 | ||||||
Royal Bank of Scotland Group plc, (United Kingdom), (ICE LIBOR USD 3 Month + 1.47%), 3.63%, 05/15/2023 (aa) | 400 | 400 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds — continued | ||||||||
Banks — continued | ||||||||
Santander UK plc, (United Kingdom), | ||||||||
(ICE LIBOR USD 3 Month + 0.66%), 2.82%, 11/15/2021 (aa) | 200 | 200 | ||||||
2.38%, 03/16/2020 | 200 | 200 | ||||||
Skandinaviska Enskilda Banken AB, (Sweden), | ||||||||
(ICE LIBOR USD 3 Month + 0.43%), 2.55%, 05/17/2021 (e) (aa) | 1,500 | 1,504 | ||||||
2.63%, 11/17/2020 (e) | 200 | 201 | ||||||
Standard Chartered plc, (United Kingdom), 3.05%, 01/15/2021 (e) | 1,000 | 1,006 | ||||||
State Bank of India, (India), Reg. S, (ICE LIBOR USD 3 Month + 0.95%), 3.25%, 04/06/2020 (aa) | 2,800 | 2,804 | ||||||
Sumitomo Mitsui Banking Corp., (Japan), 2.45%, 01/16/2020 | 2,000 | 2,001 | ||||||
Sumitomo Mitsui Financial Group, Inc., (Japan), | ||||||||
(ICE LIBOR USD 3 Month + 0.78%), 3.12%, 07/12/2022 (aa) | 3,400 | 3,412 | ||||||
(ICE LIBOR USD 3 Month + 1.68%), 3.78%, 03/09/2021 (aa) | 100 | 102 | ||||||
SunTrust Bank, (ICE LIBOR USD 3 Month + 0.50%), 2.77%, 10/26/2021 (aa) | 1,180 | 1,181 | ||||||
Svenska Handelsbanken AB, (Sweden), (ICE LIBOR USD 3 Month + 0.36%), 2.46%, 09/08/2020 (aa) | 2,500 | 2,506 | ||||||
Synchrony Bank, (ICE LIBOR USD 3 Month + 0.63%), 2.73%, 03/30/2020 (aa) | 2,200 | 2,201 | ||||||
UBS AG, (Switzerland), | ||||||||
2.45%, 12/01/2020 (e) | 2,400 | 2,408 | ||||||
(ICE LIBOR USD 3 Month + 0.58%), 2.68%, 06/08/2020 (e) (aa) | 2,100 | 2,106 | ||||||
UBS Group Funding Switzerland AG, (Switzerland), (ICE LIBOR USD 3 Month + 1.78%), 4.08%, 04/14/2021 (e) (aa) | 3,400 | 3,471 | ||||||
Wells Fargo & Co., | ||||||||
(ICE LIBOR USD 3 Month + 0.68%), 2.95%, 01/30/2020 (aa) | 1,500 | 1,503 | ||||||
(ICE LIBOR USD 3 Month + 0.93%), 3.11%, 02/11/2022 (aa) | 1,500 | 1,509 | ||||||
(ICE LIBOR USD 3 Month + 1.01%), 3.11%, 12/07/2020 (aa) | 100 | 101 | ||||||
(ICE LIBOR USD 3 Month + 0.88%), 3.16%, 07/22/2020 (aa) | 3,000 | 3,017 | ||||||
Wells Fargo Bank NA, | ||||||||
(ICE LIBOR USD 3 Month + 0.62%), 2.75%, 05/27/2022 (aa) | 3,000 | 3,007 | ||||||
(ICE LIBOR USD 3 Month + 0.49%), 3.33%, 07/23/2021 (aa) | 2,000 | 2,018 | ||||||
|
| |||||||
141,235 | ||||||||
|
| |||||||
Diversified Financial Services — 2.2% | ||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, (Ireland), | ||||||||
4.25%, 07/01/2020 | 600 | 608 | ||||||
4.63%, 10/30/2020 | 5,580 | 5,712 | ||||||
Aircastle Ltd., (Bermuda), 5.50%, 02/15/2022 | 1,350 | 1,437 | ||||||
American Express Co., | ||||||||
(ICE LIBOR USD 3 Month + 0.33%), 2.60%, 10/30/2020 (aa) | 2,000 | 2,002 | ||||||
(ICE LIBOR USD 3 Month + 0.53%), 2.65%, 05/17/2021 (aa) | 1,000 | 1,003 | ||||||
2.75%, 05/20/2022 | 3,300 | 3,353 | ||||||
BOC Aviation Ltd., (Singapore), | ||||||||
Reg. S, 2.38%, 09/15/2021 | 2,200 | 2,181 | ||||||
(ICE LIBOR USD 3 Month + 1.05%), 3.32%, 05/02/2021 (e) (aa) | 200 | 201 | ||||||
Capital One Financial Corp., | ||||||||
2.40%, 10/30/2020 | 3,000 | 3,008 | ||||||
2.50%, 05/12/2020 | 1,000 | 1,002 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds — continued | ||||||||
Diversified Financial Services — continued | ||||||||
GE Capital International Funding Co. Unlimited Co., (Ireland), 2.34%, 11/15/2020 | 700 | 698 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd., (Japan), | ||||||||
2.65%, 09/19/2022 (e) | 800 | 803 | ||||||
Reg. S, 2.75%, 10/21/2020 | 2,500 | 2,510 | ||||||
Nomura Holdings, Inc., (Japan), 6.70%, 03/04/2020 | 200 | 204 | ||||||
OMX Timber Finance Investments I LLC, 5.42%, 10/31/2019 (e) | 200 | 200 | ||||||
|
| |||||||
24,922 | ||||||||
|
| |||||||
Insurance — 0.8% | ||||||||
AIA Group Ltd., (Hong Kong), (ICE LIBOR USD 3 Month + 0.52%), 2.68%, 09/20/2021 (e) (aa) | 3,400 | 3,397 | ||||||
American International Group, Inc., 3.38%, 08/15/2020 | 7 | 7 | ||||||
Metropolitan Life Global Funding I, | ||||||||
(United States SOFR + 0.50%), 2.32%, 05/28/2021 (e) (aa) | 3,900 | 3,904 | ||||||
(ICE LIBOR USD 3 Month + 0.23%), 2.53%, 01/08/2021 (e) (aa) | 2,000 | 2,001 | ||||||
|
| |||||||
9,309 | ||||||||
|
| |||||||
Real Estate — 0.5% | ||||||||
Qatari Diar Finance Co., (Qatar), Reg. S, 5.00%, 07/21/2020 | 5,000 | 5,095 | ||||||
Sinochem Overseas Capital Co. Ltd., (British Virgin Islands), Reg. S, 4.50%, 11/12/2020 | 200 | 204 | ||||||
|
| |||||||
5,299 | ||||||||
|
| |||||||
Savings & Loans — 0.1% | ||||||||
Nationwide Building Society, (United Kingdom), | ||||||||
Reg. S, 2.35%, 01/21/2020 | 200 | 200 | ||||||
6.25%, 02/25/2020 (e) | 1,000 | 1,016 | ||||||
|
| |||||||
1,216 | ||||||||
|
| |||||||
Total Financial | 181,981 | |||||||
|
| |||||||
Industrial — 4.3% | ||||||||
Aerospace/Defense — 0.7% | ||||||||
Boeing Co. (The), 4.88%, 02/15/2020 | 4,250 | 4,290 | ||||||
L3Harris Technologies, Inc., (ICE LIBOR USD 3 Month + 0.48%), 2.75%, 04/30/2020 (aa) | 200 | 200 | ||||||
Northrop Grumman Corp., 2.08%, 10/15/2020 | 1,000 | 1,000 | ||||||
Rolls-Royce plc, (United Kingdom), 2.38%, 10/14/2020 (e) | 1,500 | 1,502 | ||||||
United Technologies Corp., 3.35%, 08/16/2021 | 480 | 492 | ||||||
|
| |||||||
7,484 | ||||||||
|
| |||||||
Building Materials — 0.0%(g) | ||||||||
Holcim US Finance Sarl & Cie SCS, (Luxembourg), Reg. S, 6.00%, 12/30/2019 | 250 | 252 | ||||||
|
| |||||||
Electronics — 0.4% | ||||||||
Honeywell International, Inc., (ICE LIBOR USD 3 Month + 0.04%), 2.31%, 10/30/2019 (aa) | 4,150 | 4,150 | ||||||
Tyco Electronics Group SA, (Luxembourg), (ICE LIBOR USD 3 Month + 0.45%), 2.58%, 06/05/2020 (aa) | 1,000 | 1,001 | ||||||
|
| |||||||
5,151 | ||||||||
|
| |||||||
Machinery - Construction & Mining — 0.3% | ||||||||
Caterpillar Financial Services Corp., Series I, (ICE LIBOR USD 3 Month + 0.39%), 2.51%, 05/17/2021 (aa) | 3,000 | 3,007 | ||||||
|
|
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds — continued | ||||||||
Machinery - Diversified — 0.2% | ||||||||
John Deere Capital Corp., (ICE LIBOR USD 3 Month + 0.18%), 2.48%, 01/07/2020 (aa) | 3,000 | 3,001 | ||||||
|
| |||||||
Miscellaneous Manufacturers — 1.0% | ||||||||
General Electric Co., | ||||||||
5.50%, 01/08/2020 | 6,265 | 6,314 | ||||||
5.55%, 05/04/2020 | 1,500 | 1,521 | ||||||
Siemens Financieringsmaatschappij NV, (Netherlands), 2.15%, 05/27/2020 (e) | 3,250 | 3,250 | ||||||
|
| |||||||
11,085 | ||||||||
|
| |||||||
Transportation — 1.0% | ||||||||
Burlington Northern Santa Fe LLC, 4.70%, 10/01/2019 | 3,000 | 3,000 | ||||||
Ryder System, Inc., | ||||||||
2.50%, 05/11/2020 | 1,843 | 1,846 | ||||||
2.65%, 03/02/2020 | 3,800 | 3,805 | ||||||
2.88%, 06/01/2022 | 1,500 | 1,524 | ||||||
United Parcel Service of America, Inc., 8.38%, 04/01/2020 | 1,356 | 1,399 | ||||||
|
| |||||||
11,574 | ||||||||
|
| |||||||
Trucking & Leasing — 0.7% | ||||||||
Aviation Capital Group LLC, 2.88%, 01/20/2022 (e) | 3,300 | 3,313 | ||||||
GATX Corp., (ICE LIBOR USD 3 Month + 0.72%), 3.01%, 11/05/2021 (aa) | 500 | 501 | ||||||
Penske Truck Leasing Co. LP / PTL Finance Corp., 3.20%, 07/15/2020 (e) | 3,700 | 3,722 | ||||||
|
| |||||||
7,536 | ||||||||
|
| |||||||
Total Industrial | 49,090 | |||||||
|
| |||||||
Technology — 2.8% | ||||||||
Computers — 0.9% | ||||||||
Dell International LLC / EMC Corp., 4.42%, 06/15/2021 (e) | 1,000 | 1,031 | ||||||
DXC Technology Co., (ICE LIBOR USD 3 Month + 0.95%), 3.08%, 03/01/2021 (aa) | 2,000 | 1,999 | ||||||
Hewlett Packard Enterprise Co., | ||||||||
(ICE LIBOR USD 3 Month + 0.72%), 3.01%, 10/05/2021 (aa) | 1,464 | 1,464 | ||||||
3.60%, 10/15/2020 | 1,250 | 1,266 | ||||||
IBM Credit LLC, (ICE LIBOR USD 3 Month + 0.47%), 2.59%, 11/30/2020 (aa) | 420 | 422 | ||||||
International Business Machines Corp., 1.90%, 01/27/2020 | 4,500 | 4,497 | ||||||
|
| |||||||
10,679 | ||||||||
|
| |||||||
Semiconductors — 1.1% | ||||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd., | ||||||||
2.20%, 01/15/2021 | 650 | 647 | ||||||
2.38%, 01/15/2020 | 4,745 | 4,745 | ||||||
Broadcom, Inc., 3.13%, 04/15/2021 (e) | 1,100 | 1,111 | ||||||
Intel Corp., (ICE LIBOR USD 3 Month + 0.08%), 2.26%, 05/11/2020 (aa) | 1,500 | 1,501 | ||||||
KLA Corp., 3.38%, 11/01/2019 | 1,000 | 1,000 | ||||||
NXP BV / NXP Funding LLC, (Netherlands), | ||||||||
3.88%, 09/01/2022 (e) | 400 | 413 | ||||||
4.13%, 06/01/2021 (e) | 2,800 | 2,873 | ||||||
|
| |||||||
12,290 | ||||||||
|
|
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds — continued | ||||||||
Software — 0.8% | ||||||||
Adobe, Inc., 4.75%, 02/01/2020 | 5,200 | 5,246 | ||||||
Fidelity National Information Services, Inc., 3.63%, 10/15/2020 | 2,850 | 2,888 | ||||||
VMware, Inc., 2.30%, 08/21/2020 | 200 | 200 | ||||||
|
| |||||||
8,334 | ||||||||
|
| |||||||
Total Technology | 31,303 | |||||||
|
| |||||||
Utilities — 1.2% | ||||||||
Electric — 1.2% | ||||||||
Chugoku Electric Power Co., Inc. (The), (Japan), Reg. S, 2.70%, 03/16/2020 | 3,300 | 3,302 | ||||||
Electricite de France SA, (France), 4.60%, 01/27/2020 (e) | 4,000 | 4,032 | ||||||
Exelon Generation Co. LLC, 5.20%, 10/01/2019 | 2,000 | 2,000 | ||||||
NextEra Energy Capital Holdings, Inc., (ICE LIBOR USD 3 Month + 0.40%), 2.54%, 08/21/2020 (aa) | 3,400 | 3,400 | ||||||
Sempra Energy, (ICE LIBOR USD 3 Month + 0.50%), 2.80%, 01/15/2021 (aa) | 200 | 200 | ||||||
Southern Co. (The), 2.75%, 06/15/2020 | 1,181 | 1,185 | ||||||
|
| |||||||
Total Utilities | 14,119 | |||||||
|
| |||||||
Total Corporate Bonds (Cost $468,769) | 470,376 | |||||||
|
| |||||||
Foreign Government Securities — 0.9% | ||||||||
Export-Import Bank of India, (India), | ||||||||
Reg. S, 2.75%, 08/12/2020 | 200 | 200 | ||||||
Reg. S, (ICE LIBOR USD 3 Month + 1.00%), 3.15%, 08/21/2022 (aa) | 3,400 | 3,396 | ||||||
Export-Import Bank of Korea, (South Korea), (ICE LIBOR USD 3 Month + 0.58%), 2.71%, 06/01/2021 (aa) | 6,250 | 6,271 | ||||||
|
| |||||||
Total Foreign Government Securities (Cost $9,861) | 9,867 | |||||||
|
| |||||||
Mortgage-Backed Securities — 4.2% | ||||||||
FNMA or FHLMC, Single Family, 30 years, | ||||||||
TBA, 3.00%, 12/01/2049 (w) | 2,400 | 2,433 | ||||||
TBA, 3.50%, 11/01/2048 (w) | 6,800 | 6,976 | ||||||
TBA, 4.00%, 11/01/2048 (w) | 11,600 | 12,042 | ||||||
FNMA Pool, Single Family, 15 years, | ||||||||
3.50%, 04/01/2033 | 862 | 903 | ||||||
3.50%, 11/01/2033 | 13,650 | 14,109 | ||||||
3.50%, 01/01/2034 | 10,565 | 10,920 | ||||||
|
| |||||||
Total Mortgage-Backed Securities (Cost $46,552) | 47,383 | |||||||
|
| |||||||
U.S. Government Agency Security — 0.4% | ||||||||
FHLMC, 2.80%, 06/03/2024 (Cost $4,000) | 4,000 | 4,003 | ||||||
|
|
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
U.S. Treasury Obligations — 7.5% | ||||||||
U.S. Treasury Floating Rate Notes, | ||||||||
(U.S. Treasury 3 Month Bill Market Yield + 0.05%), 1.96%, 10/31/2020 (aa) | 5,000 | 4,992 | ||||||
(U.S. Treasury 3 Month Bill Market Yield + 0.12%), 2.03%, 01/31/2021 (aa) | 10,000 | 9,987 | ||||||
(U.S. Treasury 3 Month Bill Market Yield + 0.22%), 2.13%, 07/31/2021 (aa) | 4,500 | 4,496 | ||||||
U.S. Treasury Inflation Indexed Notes, | ||||||||
0.13%, 04/15/2022 (cc) | 6,330 | 6,263 | ||||||
0.13%, 01/15/2023 | 9,226 | 9,145 | ||||||
0.38%, 07/15/2023 | 10,088 | 10,145 | ||||||
0.63%, 04/15/2023 (cc) | 17,043 | 17,178 | ||||||
U.S. Treasury Notes, | ||||||||
1.13%, 12/31/2019 | 3,700 | 3,693 | ||||||
1.50%, 06/15/2020 | 10,000 | 9,974 | ||||||
2.00%, 07/31/2020 | 7,000 | 7,007 | ||||||
3.38%, 11/15/2019 | 1,800 | 1,803 | ||||||
|
| |||||||
Total U.S. Treasury Obligations (Cost $84,090) | 84,683 | |||||||
|
| |||||||
Short-Term Investments — 30.7% | ||||||||
Certificates of Deposit — 3.0% | ||||||||
Bank of Nova Scotia, (Canada), (ICE LIBOR USD 3 Month + 0.06%), 2.27%, 05/07/2020 (aa) | 4,000 | 4,001 | ||||||
Barclays Bank plc, (United Kingdom), (ICE LIBOR USD 3 Month + 0.28%), 2.49%, 05/07/2020 (aa) | 2,000 | 2,000 | ||||||
Credit Agricole Corporate and Investment Bank, (France), (United States FEDEF + 0.33%), 2.16%, 06/12/2020 (aa) | 4,000 | 4,000 | ||||||
Mizuho Bank Ltd., (Japan), 2.29%, 11/01/2019 (n) | 4,000 | 4,000 | ||||||
MUFG Bank Ltd., (Japan), 2.97%, 01/28/2020 (n) | 1,000 | 1,003 | ||||||
Natixis SA, (France), (ICE LIBOR USD 1 Month + 0.29%), 2.36%, 06/05/2020 (aa) | 4,500 | 4,501 | ||||||
Norinchukin Bank, (Japan), 2.53%, 12/04/2019 (n) | 4,500 | 4,503 | ||||||
Societe Generale, (France), (ICE LIBOR USD 3 Month + 0.18%), 2.46%, 04/24/2020 (aa) | 4,000 | 4,002 | ||||||
Standard Chartered Bank, (United Kingdom), (ICE LIBOR USD 1 Month + 0.13%), 2.18%, 12/11/2019 (aa) | 4,500 | 4,500 | ||||||
Sumitomo Mitsui Banking Corp., (Japan), (ICE LIBOR USD 3 Month + 0.04%), 2.34%, 10/18/2019 (aa) | 1,000 | 1,000 | ||||||
|
| |||||||
Total Certificates of Deposit | 33,510 | |||||||
|
| |||||||
Commercial Papers — 7.2% | ||||||||
AT&T, Inc., 2.42%, 12/06/2019 (e) (n) | 2,500 | 2,489 | ||||||
Commonwealth Bank of Australia, (Australia), (ICE LIBOR USD 1 Month + 0.17%), 2.26%, 04/02/2020 (e) (aa) | 3,000 | 2,999 | ||||||
DNB Bank ASA, (Norway), (ICE LIBOR USD 3 Month + 0.04%), 2.14%, 03/09/2020 (e) (aa) | 4,500 | 4,500 | ||||||
Dupont de Nemours, Inc., 2.27%, 11/12/2019 (e) (n) | 3,000 | 2,992 | ||||||
Eli Lilly & Co., 2.75%, 10/31/2019 (e) (n) | 4,000 | 3,993 | ||||||
Exxon Mobil Corp., 2.30%, 10/10/2019 (n) | 4,500 | 4,497 | ||||||
Federation des Caisses Desjardins du Quebec, (Canada), 2.24%, 11/01/2019 (e) (n) | 4,500 | 4,492 | ||||||
Ford Motor Credit Co. LLC, 3.43%, 01/21/2020 (e) (n) | 1,400 | 1,388 | ||||||
Keurig Dr Pepper, Inc., 2.31%, 10/11/2019 (e) (n) | 1,000 | 999 | ||||||
LVMH Moet Hennessy Louis Vuitton, Inc., 2.74%, 10/07/2019 (e) (n) | 4,000 | 3,998 | ||||||
Macquarie Bank Ltd., (Australia), (ICE LIBOR USD 1 Month + 0.25%), 2.29%, 07/09/2020 (e) (aa) | 4,800 | 4,799 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Short-Term Investments — continued | ||||||||
Commercial Papers — continued | ||||||||
Marriot International, Inc., | ||||||||
2.27%, 12/20/2019 (e) (n) | 3,000 | 2,985 | ||||||
2.33%, 10/30/2019 (e) (n) | 1,000 | 998 | ||||||
Mitsubishi UFJ Trust & Banking Corp., 2.17%, 12/18/2019 (e) (n) | 2,150 | 2,140 | ||||||
National Australia Bank Ltd., (Australia), (ICE LIBOR USD 1 Month + 0.18%), 2.20%, 06/25/2020 (e) (aa) | 4,500 | 4,497 | ||||||
Nationwide Building Society, (United Kingdom), 2.52%, 11/01/2019 (e) (n) | 4,500 | 4,492 | ||||||
Pfizer, Inc., 1.98%, 02/13/2020 (e) (n) | 4,500 | 4,466 | ||||||
Royal Bank of Canada, (Canada), (United States FEDEF + 0.28%), 2.11%, 04/09/2020 (e) (aa) | 2,000 | 2,000 | ||||||
Smithfield Foods, Inc., 2.45%, 10/15/2019 (e) (n) | 400 | 400 | ||||||
Societe Generale SA, (France), (ICE LIBOR USD 3 Month + 0.18%), 2.36%, 05/11/2020 (e) (aa) | 4,500 | 4,503 | ||||||
Toronto-Dominion Bank (The), (Canada) | ||||||||
(ICE LIBOR USD 3 Month + 0.19%), 2.30%, 09/28/2020 (e) (aa) | 3,500 | 3,500 | ||||||
3.09%, 10/18/2019 (e) (n) | 2,000 | 1,998 | ||||||
VW Credit, Inc., | ||||||||
2.34%, 02/05/2020 (e) (n) | 1,000 | 992 | ||||||
2.48%, 02/03/2020 (e) (n) | 1,300 | 1,289 | ||||||
2.60%, 03/30/2020 (e) (n) | 1,400 | 1,384 | ||||||
3.03%, 10/07/2019 (e) (n) | 1,000 | 1,000 | ||||||
3.06%, 12/06/2019 (e) (n) | 1,050 | 1,045 | ||||||
Walgreens Boot Alliance, Inc., | ||||||||
2.33%, 02/18/2020 (e) (n) | 2,000 | 1,982 | ||||||
2.33%, 03/31/2020 (e) (n) | 1,000 | 989 | ||||||
Walt Disney Co. (The), 1.99%, 01/31/2020 (e) (n) | 4,500 | 4,470 | ||||||
|
| |||||||
Total Commercial Papers | 82,276 | |||||||
|
| |||||||
Corporate Notes — 0.7% | ||||||||
BellSouth LLC, 4.27%, 04/26/2020 (e) | 2,000 | 2,020 | ||||||
Caterpillar Financial Services Corp., (ICE LIBOR USD 3 Month + 0.10%), 2.26%, 06/19/2020 (aa) | 3,993 | 3,994 | ||||||
Cigna Corp., (ICE LIBOR USD 3 Month + 0.35%), 2.49%, 03/17/2020 (aa) | 2,000 | 2,000 | ||||||
|
| |||||||
Total Corporate Notes | 8,014 | |||||||
|
| |||||||
Repurchase Agreements — 18.5% | ||||||||
BNP Paribas SA, 2.35%, dated 09/30/2019, due 10/01/2019, repurchase price $70,005, collateralized by U.S. Treasury Securities, 0.00% - 4.63%, due 11/15/2020 - 02/15/2049, with a value of $71,506. | 70,000 | 70,000 | ||||||
BofA Securities, Inc., 2.30%, dated 09/30/2019, due 10/01/2019, repurchase price $70,004, collateralized by U.S. Treasury Security, 1.25%, due 07/15/2020, with a value of $71,380. | 70,000 | 70,000 | ||||||
Citibank NA, 2.30%, dated 09/30/2019, due 10/01/2019, repurchase price $70,004, collateralized by U.S. Treasury Securities, 0.13% - 2.50%, due 04/30/2024 - 07/15/2024, with a value of $71,365. | 70,000 | 70,000 | ||||||
|
| |||||||
Total Repurchase Agreements | 210,000 | |||||||
|
|
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Short-Term Investments — continued | ||||||||
Time Deposits — 1.3% | ||||||||
BNP Paribas SA, (0.67%), 10/01/2019 | EUR | 142 | 154 | |||||
Brown Brothers Harriman, | ||||||||
0.38%, 10/01/2019 | GBP | 1 | 1 | |||||
0.84%, 10/01/2019 | CAD | 471 | 355 | |||||
Citibank NA, 1.25%, 10/01/2019 | 14,455 | 14,455 | ||||||
|
| |||||||
Total Time Deposits | 14,965 | |||||||
|
| |||||||
Total Short-Term Investments | ||||||||
(Cost $348,740) | 348,765 | |||||||
|
| |||||||
Total Investments — 102.2% (Cost $1,157,624)* | 1,161,030 | |||||||
Liabilities in Excess of Other Assets — (2.2)% | (25,237 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,135,793 | ||||||
|
|
Percentages indicated are based on net assets.
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Futures contracts outstanding as of September 30, 2019:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
Canadian 10 Year Government Bond | 135 | 12/2019 | CAD | 14,654 | (123 | ) | ||||||||||||||
Canadian Bankers’ Acceptance | 177 | 12/2020 | CAD | 32,812 | (13 | ) | ||||||||||||||
U.S. Treasury 2 Year Note | 875 | 12/2019 | USD | 188,883 | (321 | ) | ||||||||||||||
U.S. Ultra Tresury 10 Year Note | 19 | 12/2019 | USD | 2,748 | (42 | ) | ||||||||||||||
|
| |||||||||||||||||||
(499 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Short Contracts | ||||||||||||||||||||
3 Month Eurodollar | (749) | 12/2020 | USD | (184,245) | (244 | ) | ||||||||||||||
Euro-Bobl | (24) | 12/2019 | EUR | (3,557) | 9 | |||||||||||||||
Euro-Schatz | (153) | 12/2019 | EUR | (18,753) | 20 | |||||||||||||||
U.S. Treasury Ultra Bond | (21) | 12/2019 | USD | (4,074) | 44 | |||||||||||||||
|
| |||||||||||||||||||
(171 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Total unrealized appreciation (depreciation) | (670 | ) | ||||||||||||||||||
|
|
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 September 30, 2019:
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||||||||
CAD 492 | USD | 370 | Morgan Stanley & Co. | 11/15/2019 | 1 | |||||||
USD 2,220 | CAD | 2,926 | Morgan Stanley & Co. | 11/15/2019 | 10 | |||||||
|
| |||||||||||
Total unrealized appreciation |
| 11 | ||||||||||
|
| |||||||||||
EUR 291 | USD | 328 | Morgan Stanley & Co. | 11/15/2019 | (9 | ) | ||||||
USD 6,462 | GBP | 5,303 | Morgan Stanley & Co. | 11/15/2019 | (70 | ) | ||||||
|
| |||||||||||
Total unrealized depreciation |
| (79 | ) | |||||||||
|
| |||||||||||
Net unrealized appreciation (depreciation) |
| (68 | ) | |||||||||
|
|
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Centrally Cleared Interest Rate Swap contracts outstanding as of September 30, 2019:
FLOATING RATE INDEX (a) | FIXED RATE | PAY/RECEIVE | MATURITY DATE | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) ($) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) | |||||||||||||||||
United States FEDEF Intraday | 2.30% annually | Receive | 03/01/2022 | USD | 129,100 | 54 | (2,927 | ) | (2,873 | ) | ||||||||||||||
|
| |||||||||||||||||||||||
Total | 54 | (2,927 | ) | (2,873 | ) | |||||||||||||||||||
|
|
(a) | Value of floating rate index as of September 30, 2019 was as follows: |
FLOATING RATE INDEX | ||||
United States FEDEF | 1.90 | % |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Sale-Buyback Transactions
COUNTERPARTY | BORROWING DATE | MATURITY DATE | BORROWING RATE | AMOUNT BORROWED | PAYABLE FOR SALE-BUYBACK TRANSACTIONS | |||||||||||||||
Morgan Stanley & Co. LLC. | 09/24/2019 | 10/03/2019 | 2.55% | 6,274 | (6,277 | ) | ||||||||||||||
Morgan Stanley & Co. LLC. | 09/30/2019 | 10/01/2019 | 2.99% | 1,046 | (1,046 | ) | ||||||||||||||
|
| |||||||||||||||||||
(7,323 | ) | |||||||||||||||||||
|
|
Six Circles Ultra Short Duration Fund
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019
| ||||
BofA | — | Bank of America | ||
CLO | — | Collateralized Loan Obligations | ||
FEDEF | — | Federal Fund Effective Rate (Continuous Series) | ||
FNMA | — | Federal National Mortgage Association | ||
FHLMC | — | Federal Home Loan Mortgage Corp. | ||
GNMA | — | Government National Mortgage Association | ||
ICE | — | Intercontinental Exchange | ||
LIBOR | — | London Interbank Offered Rate | ||
REMICS | — | Real Estate Mortgage Investment Conduit | ||
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. | ||
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 September 30, 2019. | ||
TBA | — | To Be Announced | ||
(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. | ||
(i) | — | Illiquid security. | ||
(g) | — | Amount rounds to less than 0.05%. | ||
(n) | — | The rate shown is the effective yield as of September 30, 2019. | ||
(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 September 30, 2019. | ||
(aa) | — | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of September 30, 2019 | ||
(bb) | — | Security has been valued using significant unobservable inputs. | ||
(cc) | — | All or a portion of these U.S. Treasury Obligations were purchased in a sale-buyback transaction. The value of these securities total $7,305, which represents 0.6% of total net assets. | ||
* | — | The cost of securities is substantially the same for federal income tax purposes. | ||
CAD | — | Canadian Dollar | ||
EUR | — | Euro | ||
GBP | — | British Pound | ||
USD | — | United States Dollar |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Asset-Backed Securities — 3.1% | ||||||||
Bank of The West Auto Trust, Series2018-1, Class A2, 3.09%, 04/15/2021 (e) | 1,658 | 1,661 | ||||||
BMW Canada Auto Trust, (Canada), Series2019-1A, Class A1, 2.15%, 10/20/2021 (e) | CAD | 1,970 | 1,487 | |||||
Chesapeake Funding II LLC, | ||||||||
Series2016-2A, Class A1, 1.88%, 06/15/2028 (e) | 605 | 605 | ||||||
Series2019-1A, Class A1, 2.94%, 04/15/2031 (e) | 1,378 | 1,395 | ||||||
Chrysler Capital Auto Receivables Trust, Series2016-BA, Class A4, 1.87%, 02/15/2022 (e) | 1,800 | 1,797 | ||||||
Discover Card Execution Note Trust, Series2019-A2, Class A, (ICE LIBOR USD 1 Month + 0.27%), 2.30%, 12/15/2023 (aa) | 3,500 | 3,503 | ||||||
Ford Credit Floorplan Master Owner Trust A, | ||||||||
Series2015-2, Class A1, 1.98%, 01/15/2022 | 3,000 | 2,998 | ||||||
Series2018-3, Class A2, (ICE LIBOR USD 1 Month + 0.40%), 2.43%, 10/15/2023 (aa) | 2,900 | 2,894 | ||||||
Series2019-3, Class A2, (ICE LIBOR USD 1 Month + 0.60%), 2.65%, 09/15/2024 (aa) | 600 | 600 | ||||||
Gracechurch Card Funding plc, (United Kingdom), Series2018-1A, Class A, (ICE LIBOR USD 1 Month + 0.40%), 2.43%, 07/15/2022 (e) (aa) | 200 | 200 | ||||||
Home Equity Asset Trust, Series2005-8, Class M1, (ICE LIBOR USD 1 Month + 0.43%), 2.45%, 02/25/2036 (aa) | 1,905 | 1,911 | ||||||
Legacy Mortgage Asset Trust, Series2019-GS3, Class A1, SUB, 3.75%, 04/25/2059 (e) | 284 | 288 | ||||||
Marlette Funding Trust, Series2018-4A, Class A, 3.71%, 12/15/2028 (e) | 693 | 699 | ||||||
Mercedes-Benz Auto Lease Trust, Series2019-A, Class A2, 3.01%, 02/16/2021 | 1,279 | 1,283 | ||||||
MMAF Equipment Finance LLC, Series2016-AA, Class A3, 1.48%, 06/15/2020 (e) | 303 | 303 | ||||||
Navient Private Education Refi Loan Trust, | ||||||||
Series2018-A, Class A1, 2.53%, 02/18/2042 (e) | 1,156 | 1,157 | ||||||
Series2018-CA, Class A1, 3.01%, 06/16/2042 (e) | 1,850 | 1,863 | ||||||
Navient Student Loan Trust, Series2018-EA, Class A1, 3.43%, 12/15/2059 (e) | 1,943 | 1,965 | ||||||
Nelnet Student Loan Trust, Series2019-2A, Class A, (ICE LIBOR USD 1 Month + 0.90%), 3.05%, 06/27/2067 (e) (aa) | 1,670 | 1,666 | ||||||
Oscar US Funding X LLC, (Japan), Series2019-1A, Class A2, 3.10%, 04/11/2022 (e) | 1,423 | 1,429 | ||||||
Securitized Term Auto Receivables Trust, (Canada), Series2018-2A, Class A2A, 3.06%, 02/25/2021 (e) | 685 | 687 | ||||||
SLC Student Loan Trust, Series2005-1, Class A3, (ICE LIBOR USD 3 Month + 0.10%), 2.26%, 02/15/2025 (aa) | 1,178 | 1,178 | ||||||
SMB Private Education Loan Trust, | ||||||||
Series2015-A, Class A2A, 2.49%, 06/15/2027 (e) | 2,300 | 2,307 | ||||||
Series2015-B, Class A2A, 2.98%, 07/15/2027 (e) | �� | 1,442 | 1,453 | |||||
Series2016-C, Class A2A, 2.34%, 09/15/2034 (e) | 1,272 | 1,273 |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Asset-Backed Securities — continued | ||||||||
SoFi Consumer Loan Program Trust, | ||||||||
Series2019-1, Class A, 3.24%, 02/25/2028 (e) | 678 | 685 | ||||||
Series2019-3, Class A, 2.90%, 05/25/2028 (e) | 842 | 848 | ||||||
Sofi Professional Loan Program LLC, Series2018-A, Class A2A, 2.39%, 02/25/2042 (e) | 1,018 | 1,019 | ||||||
|
| |||||||
Total Asset-Backed Securities (Cost $38,945) | 39,154 | |||||||
|
| |||||||
Collateralized Mortgage Obligations — 1.7% | ||||||||
Brass NO 8 plc, (United Kingdom), Series 8A, Class A1, (ICE LIBOR USD 3 Month + 0.70%), 0.00%, 11/16/2066 (e) (aa) | 300 | 300 | ||||||
Credit Suisse Mortgage Capital Certificates, Series 2019-RPL4, Class A1, 3.83%, 08/26/2058 (e) | 291 | 295 | ||||||
FNMA REMICS, | ||||||||
Series2018-86, Class FN, (ICE LIBOR USD 1 Month + 0.35%), 2.58%, 12/25/2048 (aa) | 2,187 | 2,177 | ||||||
Series2019-31, Class FB, (ICE LIBOR USD 1 Month + 0.45%), 2.47%, 07/25/2049 (aa) | 1,965 | 1,962 | ||||||
Series2019-47, Class FD, (ICE LIBOR USD 1 Month + 0.40%), 2.55%, 08/25/2049 (aa) | 1,086 | 1,087 | ||||||
GNMA, | ||||||||
Series2015-H04, Class FA, (ICE LIBOR USD 1 Month + 0.65%), 2.88%, 12/20/2064 (aa) | 2,059 | 2,061 | ||||||
Series2018-H18, Class FC, (ICE LIBOR USD 1 Month + 0.35%), 2.58%, 08/20/2065 (aa) | 2,847 | 2,838 | ||||||
Series2019-54, Class KF, (ICE LIBOR USD 1 Month + 0.42%), 2.52%, 05/20/2044 (aa) | 2,120 | 2,117 | ||||||
Hawksmoor Mortgages, (United Kingdom), Series2019-1A, Class A, (SONIA Deposit Rates Swap 3 Month + 1.05%), 0.00%, 05/25/2053 (e) (aa) | GBP | 3,000 | 3,691 | |||||
Lanark Master Issuer plc, (United Kingdom), Series2019-1A, Class 1A1, (ICE LIBOR USD 3 Month + 0.77%), 2.90%, 12/22/2069 (e) (aa) | 1,400 | 1,401 | ||||||
New Residential Mortgage Loan Trust, Series2018-3A, Class A1, 4.50%, 05/25/2058 (e) (z) | 248 | 262 | ||||||
Ripon Mortgages plc, (United Kingdom), Series 1X, Class A2, Reg. S, (ICE LIBOR GBP 3 Month + 0.80%), 1.56%, 08/20/2056 (aa) | GBP | 2,871 | 3,524 | |||||
Silverstone Master Issuer plc, (United Kingdom), Series2019-1A, Class 1A, (ICE LIBOR USD 3 Month + 0.57%), 2.85%, 01/21/2070 (e) (aa) | 200 | 200 | ||||||
Trinity Square plc, (United Kingdom), Series2015-1X, Class A, Reg. S, (ICE LIBOR GBP 3 Month + 1.15%), 1.92%, 07/15/2051 (aa) | GBP | 154 | 190 | |||||
|
| |||||||
Total Collateralized Mortgage Obligations (Cost $22,284) | 22,105 | |||||||
|
| |||||||
Commercial Mortgage-Backed Securities — 1.0% | ||||||||
AREIT Trust, | ||||||||
Series 2018-CRE2, Class A, (ICE LIBOR USD 1 Month + 0.98%), 3.01%, 11/14/2035 (e) (aa) | 2,114 | 2,110 | ||||||
Series 2019-CRE3, Class A, (ICE LIBOR USD 1 Month + 1.02%), 3.05%, 09/14/2036 (e) (aa) | 500 | 500 | ||||||
BAMLL Commercial Mortgage Securities Trust, | ||||||||
Series2019-AHT, Class A, (ICE LIBOR USD 1 Month + 1.20%), 3.23%, 03/15/2034 (e) (aa) | 300 | 301 | ||||||
Series2019-RLJ, Class A, (ICE LIBOR USD 1 Month + 1.05%), 3.08%, 04/15/2036 (e) (aa) | 400 | 400 |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Commercial Mortgage-Backed Securities — continued | ||||||||
Bancorp Commercial Mortgage Trust, Series 2019-CRE6, Class A, (ICE LIBOR USD 1 Month + 1.05%), 3.32%, 09/15/2036 (e) (aa) | 500 | 500 | ||||||
BX Commercial Mortgage Trust, Series2018-IND, Class A, (ICE LIBOR USD 1 Month + 0.75%), 2.78%, 11/15/2035 (e) (aa) | 2,906 | 2,905 | ||||||
GPMT Ltd., (Cayman Islands), Series2018-FL1, Class A, (ICE LIBOR USD 1 Month + 0.90%), 2.94%, 11/21/2035 (e) (aa) | 886 | 886 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series2013-C11, Class AAB, 3.85%, 08/15/2046 | 786 | 812 | ||||||
Morgan Stanley Capital I Trust, Series 2019-PLND, Class A, (ICE LIBOR USD 1 Month + 1.00%), 3.03%, 05/15/2036 (e) (aa) | 700 | 700 | ||||||
PFP Ltd., (Cayman Islands), Series2019-5, Class A, (ICE LIBOR USD 1 Month + 0.97%), 3.00%, 04/14/2036 (e) (aa) | 1,500 | 1,501 | ||||||
VMC Finance LLC, Series2018-FL2, Class A, (ICE LIBOR USD 1 Month + 0.92%), 2.94%, 10/15/2035 (e) (aa) | 2,382 | 2,378 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities (Cost $12,985) | 12,993 | |||||||
|
| |||||||
Corporate Bonds — 16.0% | ||||||||
Basic Materials — 0.0%(g) | ||||||||
Chemicals — 0.0% (g) | ||||||||
Incitec Pivot Finance LLC, Reg. S, 6.00%, 12/10/2019 | 200 | 201 | ||||||
|
| |||||||
Forest Products & Paper — 0.0%(g) | ||||||||
Georgia-Pacific LLC, 5.40%, 11/01/2020 (e) | 200 | 207 | ||||||
|
| |||||||
Total Basic Materials | 408 | |||||||
|
| |||||||
Communications — 0.7% | ||||||||
Media — 0.3% | ||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 3.58%, 07/23/2020 | 3,600 | 3,632 | ||||||
|
| |||||||
Telecommunications — 0.4% | ||||||||
AT&T, Inc., (ICE LIBOR USD 3 Month + 1.18%), 3.31%, 06/12/2024 (aa) | 2,100 | 2,138 | ||||||
Vodafone Group plc, (United Kingdom), (ICE LIBOR USD 3 Month + 0.99%), 3.31%, 01/16/2024 (aa) | 2,500 | 2,522 | ||||||
|
| |||||||
4,660 | ||||||||
|
| |||||||
Total Communications | 8,292 | |||||||
|
| |||||||
Consumer Cyclical — 2.3% | ||||||||
Airlines — 0.1% | ||||||||
Southwest Airlines Co., 2.75%, 11/06/2019 | 150 | 150 | ||||||
WestJet Airlines Ltd., (Canada), 3.50%, 06/16/2021 (e) (i) | 749 | 762 | ||||||
|
| |||||||
912 | ||||||||
|
| |||||||
Auto Manufacturers — 2.1% | ||||||||
BMW US Capital LLC, (ICE LIBOR USD 3 Month + 0.50%), 2.68%, 08/13/2021 (e) (aa) | 3,700 | 3,708 | ||||||
Daimler Finance North America LLC, | ||||||||
(ICE LIBOR USD 3 Month + 0.45%), 2.60%, 02/22/2021 (e) (aa) | 700 | 700 | ||||||
2.70%, 08/03/2020 (e) | 800 | 804 | ||||||
Ford Motor Credit Co. LLC, | ||||||||
2.34%, 11/02/2020 | 800 | 795 | ||||||
2.43%, 06/12/2020 | 200 | 200 |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds — continued | ||||||||
Auto Manufacturers — continued | ||||||||
(ICE LIBOR USD 3 Month + 0.43%), 2.70%, 11/02/2020 (aa) | 1,200 | 1,190 | ||||||
(ICE LIBOR USD 3 Month + 0.88%), 3.22%, 10/12/2021 (aa) | 150 | 147 | ||||||
(ICE LIBOR USD 3 Month + 1.00%), 3.31%, 01/09/2020 (aa) | 1,000 | 1,000 | ||||||
(ICE LIBOR USD 3 Month + 1.27%), 3.37%, 03/28/2022 (aa) | 350 | 345 | ||||||
General Motors Financial Co., Inc., | ||||||||
(ICE LIBOR USD 3 Month + 0.93%), 3.23%, 04/13/2020 (aa) | 2,000 | 2,005 | ||||||
3.70%, 11/24/2020 | 3,200 | 3,240 | ||||||
Harley-Davidson Financial Services, Inc., 2.15%, 02/26/2020 (e) | 1,500 | 1,497 | ||||||
Hyundai Capital America, | ||||||||
2.55%, 04/03/2020 (e) | 500 | 500 | ||||||
2.60%, 03/19/2020 (e) | 500 | 500 | ||||||
Reg. S, (ICE LIBOR USD 3 Month + 0.82%), 2.95%, 03/12/2021 (aa) | 2,645 | 2,649 | ||||||
(ICE LIBOR USD 3 Month + 0.80%), 3.13%, 04/03/2020 (e) (aa) | 100 | 100 | ||||||
Nissan Motor Acceptance Corp., | ||||||||
2.15%, 07/13/2020 (e) | 1,100 | 1,099 | ||||||
(ICE LIBOR USD 3 Month + 0.39%), 2.49%, 09/28/2020 (e) (aa) | 1,000 | 1,000 | ||||||
(ICE LIBOR USD 3 Month + 0.52%), 2.64%, 03/15/2021 (e) (aa) | 200 | 200 | ||||||
(ICE LIBOR USD 3 Month + 0.69%), 2.79%, 09/28/2022 (e) (aa) | 1,620 | 1,617 | ||||||
(ICE LIBOR USD 3 Month + 0.65%), 2.95%, 07/13/2022 (e) (aa) | 1,700 | 1,695 | ||||||
Volkswagen Group of America Finance LLC, | ||||||||
(ICE LIBOR USD 3 Month + 0.86%), 2.97%, 09/24/2021 (e) (aa) | 1,000 | 1,002 | ||||||
4.00%, 11/12/2021 (e) | 400 | 413 | ||||||
Volkswagen International Finance NV, (Netherlands), 4.00%, 08/12/2020 (e) | 800 | 811 | ||||||
|
| |||||||
27,217 | ||||||||
|
| |||||||
Auto Parts & Equipment — 0.0% (g) | ||||||||
ZF North America Capital, Inc., 4.00%, 04/29/2020 (e) | 600 | 604 | ||||||
|
| |||||||
Lodging — 0.1% | ||||||||
Las Vegas Sands Corp., 3.20%, 08/08/2024 | 700 | 713 | ||||||
|
| |||||||
Total Consumer Cyclical | 29,446 | |||||||
|
| |||||||
ConsumerNon-cyclical — 2.7% | ||||||||
Agriculture — 0.5% | ||||||||
BAT Capital Corp., | ||||||||
(ICE LIBOR USD 3 Month + 0.59%), 2.77%, 08/14/2020 (aa) | 1,000 | 1,002 | ||||||
(ICE LIBOR USD 3 Month + 0.88%), 3.04%, 08/15/2022 (aa) | 3,500 | 3,520 | ||||||
Imperial Brands Finance plc, (United Kingdom), 3.75%, 07/21/2022 (e) | 1,900 | 1,956 | ||||||
|
| |||||||
6,478 | ||||||||
|
| |||||||
Commercial Services — 1.3% | ||||||||
Central Nippon Expressway Co. Ltd., (Japan), | ||||||||
Reg. S, 2.36%, 05/28/2021 | 10,000 | 9,988 | ||||||
Reg. S, (ICE LIBOR USD 3 Month + 0.56%), 2.83%, 11/02/2021 (aa) | 3,900 | 3,901 | ||||||
Equifax, Inc., (ICE LIBOR USD 3 Month + 0.87%), 3.03%, 08/15/2021 (aa) | 3,090 | 3,089 | ||||||
|
| |||||||
16,978 | ||||||||
|
|
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds — continued | ||||||||
Food — 0.1% | ||||||||
Conagra Brands, Inc., (ICE LIBOR USD 3 Month + 0.50%), 2.81%, 10/09/2020 (aa) | 1,000 | 1,000 | ||||||
|
| |||||||
Healthcare - Services — 0.4% | ||||||||
Dignity Health, 2.64%, 11/01/2019 | 3,100 | 3,100 | ||||||
Fresenius Medical Care US Finance II, Inc., 4.13%, 10/15/2020 (e) | 1,900 | 1,924 | ||||||
|
| |||||||
5,024 | ||||||||
|
| |||||||
Pharmaceuticals — 0.4% | ||||||||
Bayer US Finance II LLC, (ICE LIBOR USD 3 Month + 1.01%), 3.13%, 12/15/2023 (e) (aa) | 3,700 | 3,702 | ||||||
Bristol-Myers Squibb Co., (ICE LIBOR USD 3 Month + 0.38%), 2.55%, 05/16/2022 (e) (aa) | 1,200 | 1,201 | ||||||
|
| |||||||
4,903 | ||||||||
|
| |||||||
Total ConsumerNon-cyclical | 34,383 | |||||||
|
| |||||||
Diversified — 0.1% | ||||||||
Holding Companies — 0.1% | ||||||||
CK Hutchison International 17 II Ltd., (Cayman Islands), | ||||||||
2.25%, 09/29/2020 (e) | 200 | 200 | ||||||
Reg. S, 2.25%, 09/29/2020 | 1,500 | 1,498 | ||||||
|
| |||||||
Total Diversified | 1,698 | |||||||
|
| |||||||
Energy — 0.8% | ||||||||
Coal — 0.0% (g) | ||||||||
China Shenhua Overseas Capital Co. Ltd., (British Virgin Islands), Reg. S, 3.13%, 01/20/2020 | 500 | 500 | ||||||
|
| |||||||
Oil & Gas — 0.4% | ||||||||
CNOOC Finance 2015 Australia Pty Ltd., (Australia), 2.63%, 05/05/2020 | 3,400 | 3,403 | ||||||
EQT Corp., (ICE LIBOR USD 3 Month + 0.77%), 2.87%, 10/01/2020 (aa) | 900 | 898 | ||||||
Petronas Global Sukuk Ltd., (Malaysia), Reg. S, 2.71%, 03/18/2020 | 200 | 200 | ||||||
|
| |||||||
4,501 | ||||||||
|
| |||||||
Pipelines — 0.4% | ||||||||
Enbridge, Inc., (Canada), (ICE LIBOR USD 3 Month + 0.40%), 2.74%, 01/10/2020 (aa) | 3,500 | 3,501 | ||||||
Florida Gas Transmission Co. LLC, 5.45%, 07/15/2020 (e) | 500 | 512 | ||||||
Rockies Express Pipeline LLC, 5.63%, 04/15/2020 (e) | 1,200 | 1,216 | ||||||
|
| |||||||
5,229 | ||||||||
|
| |||||||
Total Energy | 10,230 | |||||||
|
| |||||||
Financial — 6.9% | ||||||||
Banks — 4.5% | ||||||||
Aozora Bank Ltd., (Japan), Reg. S, 2.75%, 03/09/2020 | 200 | 200 | ||||||
Axis Bank Ltd., (India), 3.25%, 05/21/2020 (e) | 500 | 501 | ||||||
Banco Santander Chile, (Chile), (ICE LIBOR USD 3 Month + 1.20%), 3.34%, 11/28/2021 (aa) | 3,200 | 3,240 | ||||||
Bank of America Corp., (ICE LIBOR USD 3 Month + 1.18%), 3.46%, 10/21/2022 (aa) | 1,200 | 1,216 |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds — continued | ||||||||
Banks — continued | ||||||||
Barclays plc, (United Kingdom), 2.75%, 11/08/2019 | 3,900 | 3,900 | ||||||
Citibank NA, (ICE LIBOR USD 3 Month + 0.60%), 2.74%, 05/20/2022 (aa) | 1,800 | 1,803 | ||||||
Danske Bank A/S, (Denmark), (ICE LIBOR USD 3 Month + 1.25%), 3.00%, 09/20/2022 (e) (aa) | 1,200 | 1,204 | ||||||
First Abu Dhabi Bank PJSC, (United Arab Emirates), Reg. S, (ICE LIBOR USD 3 Month + 0.95%), 3.27%, 04/16/2022 (aa) | 1,800 | 1,807 | ||||||
Goldman Sachs Group, Inc. (The), | ||||||||
(ICE LIBOR USD 3 Month + 0.73%), 2.83%, 12/27/2020 (aa) | 3,700 | 3,704 | ||||||
(ICE LIBOR USD 3 Month + 1.17%), 3.33%, 11/15/2021 (aa) | 300 | 302 | ||||||
HSBC Holdings plc, (United Kingdom), | ||||||||
(ICE LIBOR USD 3 Month + 0.60%), 2.72%, 05/18/2021 (aa) | 1,800 | 1,802 | ||||||
(ICE LIBOR USD 3 Month + 1.00%), 3.12%, 05/18/2024 (aa) | 2,300 | 2,309 | ||||||
(ICE LIBOR USD 3 Month + 1.50%), 3.79%, 01/05/2022 (aa) | 1,000 | 1,019 | ||||||
ING Groep NV, (Netherlands), (ICE LIBOR USD 3 Month + 1.15%), 3.25%, 03/29/2022 (aa) | 1,900 | 1,924 | ||||||
KEB Hana Bank, (South Korea), (ICE LIBOR USD 3 Month + 0.70%), 2.79%, 10/02/2022 (e) (aa) | 500 | 501 | ||||||
Lloyds Bank plc, (United Kingdom), 5.80%, 01/13/2020 (e) | 500 | 505 | ||||||
Mitsubishi UFJ Financial Group, Inc., (Japan), | ||||||||
(ICE LIBOR USD 3 Month + 0.65%), 2.92%, 07/26/2021 (aa) | 900 | 903 | ||||||
(ICE LIBOR USD 3 Month + 0.79%), 3.07%, 07/25/2022 (aa) | 3,700 | 3,715 | ||||||
Mizuho Financial Group, Inc., (Japan), (ICE LIBOR USD 3 Month + 0.88%), 3.02%, 09/11/2022 (aa) | 3,700 | 3,721 | ||||||
Morgan Stanley, | ||||||||
(ICE LIBOR USD 3 Month + 0.93%), 3.21%, 07/22/2022 (aa) | 2,400 | 2,418 | ||||||
(ICE LIBOR USD 3 Month + 1.18%), 3.46%, 01/20/2022 (aa) | 1,000 | 1,010 | ||||||
Nordea Bank Abp, (Finland), (ICE LIBOR USD 3 Month + 0.94%), 3.06%, 08/30/2023 (e) (aa) | 200 | 199 | ||||||
QNB Finance Ltd., (Cayman Islands), | ||||||||
Reg. S, (ICE LIBOR USD 3 Month + 1.00%), 3.27%, 05/02/2022 (aa) | 3,600 | 3,603 | ||||||
Reg. S, (ICE LIBOR USD 3 Month + 1.35%), 3.47%, 05/31/2021 (aa) | 200 | 202 | ||||||
Royal Bank of Scotland Group plc, (United Kingdom), (ICE LIBOR USD 3 Month + 1.47%), 3.63%, 05/15/2023 (aa) | 700 | 701 | ||||||
Santander UK plc, (United Kingdom), 2.38%, 03/16/2020 | 200 | 200 | ||||||
(ICE LIBOR USD 3 Month + 0.66%), 2.82%, 11/15/2021 (aa) | 500 | 501 | ||||||
State Bank of India, (India), Reg. S, (ICE LIBOR USD 3 Month + 0.95%), 3.25%, 04/06/2020 (aa) | 3,300 | 3,304 | ||||||
Sumitomo Mitsui Financial Group, Inc., (Japan), (ICE LIBOR USD 3 Month + 0.78%), 3.12%, 07/12/2022 (aa) | 3,700 | 3,713 | ||||||
UBS Group Funding Switzerland AG, (Switzerland), (ICE LIBOR USD 3 Month + 1.78%), 4.08%, 04/14/2021 (e) (aa) | 3,700 | 3,777 | ||||||
Wells Fargo Bank NA, (ICE LIBOR USD 3 Month + 0.62%), 2.75%, 05/27/2022 (aa) | 3,500 | 3,509 | ||||||
|
| |||||||
57,413 | ||||||||
|
| |||||||
Diversified Financial Services — 1.3% | ||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, (Ireland), | ||||||||
4.25%, 07/01/2020 | 400 | 405 | ||||||
4.63%, 10/30/2020 | 2,600 | 2,662 | ||||||
Aircastle Ltd., (Bermuda), 5.50%, 02/15/2022 | 1,450 | 1,543 | ||||||
American Express Co., 2.75%, 05/20/2022 | 3,700 | 3,759 |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds — continued | ||||||||
Diversified Financial Services — continued | ||||||||
BOC Aviation Ltd., (Singapore), | ||||||||
Reg. S, 2.38%, 09/15/2021 | 2,500 | 2,478 | ||||||
(ICE LIBOR USD 3 Month + 1.05%), 3.32%, 05/02/2021 (e) (aa) | 200 | 201 | ||||||
GE Capital International Funding Co. Unlimited Co., (Ireland), 2.34%, 11/15/2020 | 900 | 898 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd., (Japan), 2.65%, 09/19/2022 (e) | 1,700 | 1,705 | ||||||
Reg. S, 2.75%, 10/21/2020 | 2,500 | 2,511 | ||||||
Nomura Holdings, Inc., (Japan), 6.70%, 03/04/2020 | 200 | 204 | ||||||
OMX Timber Finance Investments I LLC, 5.42%, 10/31/2019 (e) | 200 | 200 | ||||||
|
| |||||||
16,566 | ||||||||
|
| |||||||
Insurance — 0.6% | ||||||||
AIA Group Ltd., (Hong Kong), (ICE LIBOR USD 3 Month + 0.52%), 2.68%, 09/20/2021 (e) (aa) | 3,700 | 3,697 | ||||||
Metropolitan Life Global Funding I, (United States SOFR + 0.50%), 2.32%, 05/28/2021 (e) (aa) | 4,500 | 4,505 | ||||||
|
| |||||||
8,202 | ||||||||
|
| |||||||
Real Estate — 0.4% | ||||||||
Qatari Diar Finance Co., (Qatar), Reg. S, 5.00%, 07/21/2020 | 5,000 | 5,095 | ||||||
Sinochem Overseas Capital Co. Ltd., (British Virgin Islands), Reg. S, 4.50%, 11/12/2020 | 200 | 204 | ||||||
|
| |||||||
5,299 | ||||||||
|
| |||||||
Savings & Loans — 0.1% | ||||||||
Nationwide Building Society, (United Kingdom), | ||||||||
Reg. S, 2.35%, 01/21/2020 | 200 | 200 | ||||||
6.25%, 02/25/2020 (e) | 1,000 | 1,016 | ||||||
|
| |||||||
1,216 | ||||||||
|
| |||||||
Total Financial | 88,696 | |||||||
|
| |||||||
Industrial — 0.6% | ||||||||
Aerospace/Defense — 0.0%(g) | ||||||||
L3Harris Technologies, Inc., (ICE LIBOR USD 3 Month + 0.48%), 2.75%, 04/30/2020 (aa) | 200 | 200 | ||||||
|
| |||||||
Building Materials — 0.0% (g) | ||||||||
Holcim US Finance Sarl & Cie SCS, (Luxembourg), Reg. S, 6.00%, 12/30/2019 | 250 | 252 | ||||||
|
| |||||||
Miscellaneous Manufacturers — 0.1% | ||||||||
General Electric Co., 5.55%, 05/04/2020 | 1,500 | 1,522 | ||||||
|
| |||||||
Transportation — 0.2% | ||||||||
Ryder System, Inc., 2.88%, 06/01/2022 | 1,900 | 1,930 | ||||||
|
| |||||||
Trucking & Leasing — 0.3% | ||||||||
Aviation Capital Group LLC, 2.88%, 01/20/2022 (e) | 3,700 | 3,715 | ||||||
GATX Corp., (ICE LIBOR USD 3 Month + 0.72%), 3.01%, 11/05/2021 (aa) | 500 | 501 | ||||||
|
| |||||||
4,216 | ||||||||
|
| |||||||
Total Industrial | 8,120 | |||||||
|
|
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds — continued | ||||||||
Technology — 1.1% | ||||||||
Computers — 0.3% | ||||||||
Dell International LLC / EMC Corp., 4.42%, 06/15/2021 (e) | 1,200 | 1,237 | ||||||
DXC Technology Co., (ICE LIBOR USD 3 Month + 0.95%), 3.08%, 03/01/2021 (aa) | 2,300 | 2,299 | ||||||
|
| |||||||
3,536 | ||||||||
|
| |||||||
Semiconductors — 0.8% | ||||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd., 2.38%, 01/15/2020 | 4,500 | 4,500 | ||||||
Broadcom, Inc., 3.13%, 10/15/2022 (e) | 200 | 203 | ||||||
KLA Corp., 3.38%, 11/01/2019 | 1,000 | 1,000 | ||||||
NXP BV / NXP Funding LLC, (Netherlands), 3.88%, 09/01/2022 (e) | 400 | 413 | ||||||
4.13%, 06/01/2021 (e) | 3,400 | 3,488 | ||||||
|
| |||||||
9,604 | ||||||||
|
| |||||||
Software — 0.0% (g) | ||||||||
VMware, Inc., 2.30%, 08/21/2020 | 200 | 200 | ||||||
|
| |||||||
Total Technology | 13,340 | |||||||
|
| |||||||
Utilities — 0.8% | ||||||||
Electric — 0.8% | ||||||||
Chugoku Electric Power Co., Inc. (The), (Japan), Reg. S, 2.70%, 03/16/2020 | 3,150 | 3,152 | ||||||
Exelon Generation Co. LLC, 5.20%, 10/01/2019 | 2,000 | 2,000 | ||||||
IPALCO Enterprises, Inc., 3.45%, 07/15/2020 | 1,000 | 1,006 | ||||||
NextEra Energy Capital Holdings, Inc., (ICE LIBOR USD 3 Month + 0.40%), 2.54%, 08/21/2020 (aa) | 3,700 | 3,700 | ||||||
|
| |||||||
Total Utilities | 9,858 | |||||||
|
| |||||||
Total Corporate Bonds (Cost $203,511) | 204,471 | |||||||
|
| |||||||
Foreign Government Securities — 0.8% | ||||||||
Export-Import Bank of India, (India), | ||||||||
Reg. S, 2.75%, 08/12/2020 | 200 | 201 | ||||||
Reg. S, (ICE LIBOR USD 3 Month + 1.00%), 3.15%, 08/21/2022 (aa) | 3,700 | 3,695 | ||||||
Export-Import Bank of Korea, (South Korea), (ICE LIBOR USD 3 Month + 0.58%), 2.71%, 06/01/2021 (aa) | 6,300 | 6,321 | ||||||
|
| |||||||
Total Foreign Government Securities (Cost $10,211) | 10,217 | |||||||
|
| |||||||
Mortgage-Backed Securities — 4.2% | ||||||||
FNMA or FHLMC, Single Family, 30 years, | ||||||||
TBA, 3.00%, 12/01/2049 (w) | 2,800 | 2,838 | ||||||
TBA, 3.50%, 11/01/2048 (w) | 7,800 | 8,002 | ||||||
TBA, 4.00%, 11/01/2048 (w) | 16,200 | 16,818 | ||||||
FNMA Pool, Single Family, 15 years, 3.50%, 04/01/2033 | 862 | 903 | ||||||
3.50%, 11/01/2033 | 13,159 | 13,602 | ||||||
3.50%, 01/01/2034 | 11,220 | 11,597 | ||||||
|
| |||||||
Total Mortgage-Backed Securities (Cost $52,917) | 53,760 | |||||||
|
|
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Municipal Bonds — 60.4% (t) | ||||||||
Alabama — 0.0% (g) | ||||||||
County of Jefferson, Series A, GO, 5.00%, 04/01/2020 | 500 | 508 | ||||||
|
| |||||||
Alaska — 0.3% | ||||||||
Alaska Housing Finance Corp., Home Mortgage, Series B, Rev., VRDO, 1.55%, 10/07/2019 (z) | 2,400 | 2,400 | ||||||
City of Valdez, Exxon Pipeline Co. Project, Rev., VRDO, 1.87%, 10/01/2019 (z) | 2,000 | 2,000 | ||||||
|
| |||||||
4,400 | ||||||||
|
| |||||||
Arizona — 1.3% | ||||||||
Arizona Health Facilities Authority, Banner Health Obligated Group, Series G, Rev., VRDO, LOC: Wells Fargo Bank NA, 1.58%, 10/07/2019 (z) | 4,060 | 4,060 | ||||||
Arizona Health Facilities Authority, Dignity Health Obligated Group, Series B, Rev., VRDO, LOC: Barclays Bank plc, 1.62%, 10/07/2019 (z) | 8,800 | 8,800 | ||||||
City of Phoenix, Civic Improvement Corp., | ||||||||
Rev., AMT, 5.00%, 07/01/2020 | 620 | 636 | ||||||
Rev., 5.00%, 07/01/2020 | 1,000 | 1,027 | ||||||
Rev., AMT, 5.00%, 07/01/2021 | 1,750 | 1,860 | ||||||
Maricopa County Industrial Development Authority, Scottsdale Healthcare Hospitals Obligated Group, Series A, Rev., 5.00%, 09/01/2021 | 725 | 774 | ||||||
|
| |||||||
17,157 | ||||||||
|
| |||||||
California— 1.3% | ||||||||
ABAG Finance Authority for Nonprofit Corps, Lakeside Village Apartments, Series A, Rev., VRDO, LOC: FHLMC, LIQ: FHLMC, 1.35%, 10/07/2019 (z) | 400 | 400 | ||||||
Burbank-Glendale-Pasadena Airport Authority Brick Campaign, Series B, Rev., AMT, 5.00%, 07/01/2022 | 1,430 | 1,567 | ||||||
California Health Facilities Financing Authority, Kaiser Permanente, Series C, Rev., VRDO, 1.49%, 10/07/2019 (z) | 800 | 800 | ||||||
City of Riverside, Electric Revenue, Series A, Rev., VRDO, LOC: Barclays Bank plc, 1.37%, 10/07/2019 (z) | 200 | 200 | ||||||
Golden State Tobacco Securitization Corp., Series A1, Rev., 5.00%, 06/01/2021 | 400 | 423 | ||||||
Los Angeles Department of Water & Power, Power System Revenue, | ||||||||
Series B5, Rev., VRDO, 1.30%, 10/07/2019 (z) | 600 | 600 | ||||||
Series B7, Rev., VRDO, 1.29%, 10/07/2019 (z) | 3,800 | 3,800 | ||||||
Metropolitan Water District of Southern California, Series A2, Rev., VRDO, 1.30%, 10/07/2019 (z) | 450 | 450 | ||||||
San Francisco City & County Airport Comm-San Francisco International Airport, Special Facilities Lease, SFO Fuel Co. LLC, Series A, Rev., AMT, 5.00%, 01/01/2021 | 6,405 | 6,687 | ||||||
Santa Clara County Financing Authority, Multiple Facilities Projects, Series M, Rev., VRDO, LOC: Bank of America NA, 1.42%, 10/07/2019 (z) | 1,550 | 1,550 | ||||||
State of California, Series B3, GO, VRDO, LOC: Sumitomo Mitsui Banking Corp., 1.36%, 10/07/2019 (z) | 500 | 500 | ||||||
|
| |||||||
16,977 | ||||||||
|
| |||||||
Colorado — 2.5% | ||||||||
City & County of Denver, Airport System Revenue, Series A, Rev., AMT, 5.00%, 11/15/2021 | 2,000 | 2,145 | ||||||
Colorado Educational & Cultural Facilities Authority, Nature Conservancy (The), Rev., VRDO, 1.63%, 10/07/2019 (z) | 1,950 | 1,950 |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Municipal Bonds — continued | ||||||||
Colorado — continued | ||||||||
Colorado Health Facilities Authority, Sisters of Charity of Leavenworth Health System, Inc., | ||||||||
Series B, Rev., VRDO, 1.65%, 10/07/2019 (z) | 300 | 300 | ||||||
Series C, Rev., VRDO, 1.61%, 10/07/2019 (z) | 10,755 | 10,755 | ||||||
Colorado Health Facilities Authority, Sisters of Charity of Leavenworth Health System, Inc. Obligated Group, Series A, Rev., 5.00%, 01/01/2022 (w) | 2,500 | 2,703 | ||||||
Colorado Housing & Finance Authority, Adjusted Single Family Mortgage, Series I, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 1.65%, 10/07/2019 (z) | 670 | 670 | ||||||
Colorado Housing & Finance Authority, Multifamily Project, Series B2, Class I, Rev., 1.35%, 02/01/2022 | 5,000 | 4,974 | ||||||
University of Colorado Hospital Authority, Health Obligated Group, | ||||||||
Series B1, Rev., VRDO, 1.54%, 10/07/2019 (z) | 4,600 | 4,600 | ||||||
Series B2, Rev., VRDO, 1.54%, 10/07/2019 (z) | 4,400 | 4,400 | ||||||
|
| |||||||
32,497 | ||||||||
|
| |||||||
Connecticut— 2.3% | ||||||||
Connecticut Housing Finance Authority, | ||||||||
Series B3, Rev., VRDO, 1.58%, 10/07/2019 (z) | 280 | 280 | ||||||
Series B4, Rev., VRDO, 1.58%, 10/07/2019 (z) | 3,500 | 3,500 | ||||||
Series C3, Rev., VRDO, 1.57%, 10/07/2019 (z) | 4,000 | 4,000 | ||||||
Series A3, Rev., VRDO, 1.57%, 10/07/2019 (z) | 5,000 | 5,000 | ||||||
Series E3, Rev., VRDO, 1.55%, 10/07/2019 (z) | 4,000 | 4,000 | ||||||
Series F3, Rev., VRDO, 1.62%, 10/07/2019 (z) | 10,000 | 10,000 | ||||||
Connecticut State Health & Educational Facilities Authority, Covenant Retirement Communities Obligated Group, Series B, Rev., 5.00%, 12/01/2020 | 1,000 | 1,039 | ||||||
Metropolitan District (The), Hartford County, Series A, GO, 5.00%, 07/15/2022 | 1,200 | 1,321 | ||||||
|
| |||||||
29,140 | ||||||||
|
| |||||||
District of Columbia— 0.3% | ||||||||
District of Columbia, Georgetown University, Series B1, Rev., VRDO, LOC: Bank of America NA, 1.57%, 10/07/2019 (z) | 500 | 500 | ||||||
Metropolitan Washington Airports Authority, | ||||||||
Series A, Rev., AMT, 4.00%, 10/01/2020 | 1,500 | 1,537 | ||||||
Series C2, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 1.60%, 10/07/2019 (z) | 2,075 | 2,075 | ||||||
|
| |||||||
4,112 | ||||||||
|
| |||||||
Florida— 3.0% | ||||||||
City of Gainesville, Utilities System Revenue, | ||||||||
Series A, Rev., 5.00%, 10/01/2021 | 1,400 | 1,503 | ||||||
Series B, Rev., VRDO, 1.65%, 10/07/2019 (z) | 4,830 | 4,830 | ||||||
City of Orlando, Capital Improvement, | ||||||||
Series B, Rev., 4.00%, 10/01/2020 | 500 | 514 | ||||||
Series B, Rev., 5.00%, 10/01/2021 | 775 | 832 | ||||||
County of Hillsborough, Community Investment Tax Revenue, Rev., 5.00%, 11/01/2019 | 5,000 | 5,015 | ||||||
County of Miami-Dade, Aviation, Series C, Rev., 5.00%, 10/01/2021 | 1,650 | 1,767 | ||||||
Florida Atlantic University Finance Corp., Series A, Rev., 5.00%, 07/01/2021 | 880 | 934 | ||||||
Florida Gulf Coast University Financing Corp., Parking Project, Series A, Rev., VRDO, LOC: TD Bank NA, 1.55%, 10/07/2019 (z) | 3,770 | 3,770 |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Municipal Bonds — continued | ||||||||
Florida — continued | ||||||||
Highlands County Health Facilities Authority, Adventist Health System/Sunbelt Obligated Group, Series A, Rev., VRDO, 1.58%, 10/07/2019 (z) | 4,000 | 4,000 | ||||||
JEA, Water & Sewer System Revenue, Series A2, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 1.62%, 10/07/2019 (z) | 300 | 300 | ||||||
Lee Memorial Health System,, Series A1, Rev., 5.00%, 04/01/2022 | 1,000 | 1,086 | ||||||
Orlando Utilities Commission, | ||||||||
Series 1, Rev., VRDO, 1.62%, 10/07/2019 (z) | 6,200 | 6,200 | ||||||
Series 2, Rev., VRDO, 1.59%, 10/07/2019 (z) | 7,400 | 7,400 | ||||||
|
| |||||||
38,151 | ||||||||
|
| |||||||
Georgia— 2.4% | ||||||||
Athens-Clarke County Unified Government Development Authority, University of Georgia Athletic Association, Inc., Series B, Rev., VRDO, LOC: Wells Fargo Bank NA, 1.73%, 10/01/2019 (z) | 305 | 305 | ||||||
Brookhaven Development Authority, Children’s Healthcare of Atlanta Obligated Group, Series A, Rev., 5.00%, 07/01/2022 | 1,040 | 1,143 | ||||||
DeKalb County School District, Sales & Tax, GO, 4.00%, 10/01/2019 | 9,930 | 9,930 | ||||||
Municipal Electric Authority of Georgia, Series B, Rev., VRDO, LOC: Barclays Bank plc, 1.62%, 10/07/2019 (z) | 6,760 | 6,760 | ||||||
Private Colleges & Universities Authority, Emory University, | ||||||||
Series B1, Rev., VRDO, 1.52%, 10/07/2019 (z) | 6,295 | 6,295 | ||||||
Series C1, Rev., VRDO, 1.60%, 10/07/2019 (z) | 5,400 | 5,400 | ||||||
Series C4, Rev., VRDO, 1.55%, 10/07/2019 (z) | 600 | 600 | ||||||
|
| |||||||
30,433 | ||||||||
|
| |||||||
Idaho— 0.2% | ||||||||
Idaho Health Facilities Authority, Trinity Health Corp. Obligated Group, Series D, Rev., 5.00%, 12/01/2020 | 2,500 | 2,605 | ||||||
|
| |||||||
Illinois— 2.7% | ||||||||
Chicago Midway International Airport, Series A, Rev., AMT, 5.00%, 01/01/2021 | 3,580 | 3,732 | ||||||
Chicago O’Hare International Airport, | ||||||||
Series A, Rev., AMT, 5.00%, 01/01/2021 | 3,730 | 3,891 | ||||||
Series A, Rev., AMT, 5.00%, 01/01/2022 | 2,000 | 2,150 | ||||||
Fountaindale Public Library District, GO, 5.00%, 02/01/2021 | 1,050 | 1,098 | ||||||
Illinois Finance Authority, Northwestern University, Series C, Rev., VRDO, 1.59%, 10/07/2019 (z) | 3,500 | 3,500 | ||||||
Illinois Finance Authority, University of Chicago (The), Series C, Rev., VRDO, 1.56%, 10/07/2019 (z) | 1,955 | 1,955 | ||||||
Illinois Finance Authority, University of Chicago Medical Center Obligated Group, Series B, Rev., VRDO, LOC: Wells Fargo Bank NA, 1.73%, 10/01/2019 (z) | 200 | 200 | ||||||
Illinois Housing Development Authority, Series B, Rev., VRDO, 1.62%, 10/07/2019 (z) (w) | 3,000 | 3,000 | ||||||
Illinois Housing Development Authority, Multifamily Housing, Century Woods TC LP, Rev., GNMA COLL, 1.90%, 10/01/2022 (z) | 1,500 | 1,510 | ||||||
Illinois Housing Development Authority, Multifamily Housing, Heather Ridge TC LP, Rev., 1.90%, 10/01/2022 (z) | 3,000 | 3,021 | ||||||
Illinois State Toll Highway Authority, Series A1B, Rev., VRDO, LOC: Bank of America NA, 1.62%, 10/07/2019 (z) | 10,300 | 10,300 | ||||||
|
| |||||||
34,357 | ||||||||
|
|
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Municipal Bonds — continued | ||||||||
Indiana— 2.6% | ||||||||
Indiana Finance Authority, Ascension Health Credit Group, Rev., VRDO, 1.59%, 10/07/2019 (z) | 3,770 | 3,770 | ||||||
Indiana Finance Authority, Health Systems, Sisters of St. Francis, Series I, Rev., VRDO, LOC: Barclays Bank plc, 1.77%, 10/01/2019 (z) | 1,000 | 1,000 | ||||||
Indiana Finance Authority, Indiana University Health, Inc. Obligated Group, | ||||||||
Series E, Rev., VRDO, LOC: Bank of America NA, 1.50%, 10/07/2019 (z) | 4,600 | 4,600 | ||||||
Series B, Rev., VRDO, LOC: TD Bank NA, 1.52%, 10/07/2019 (z) | 4,780 | 4,780 | ||||||
Series C, Rev., VRDO, LOC: Northern Trust Co., 1.54%, 10/07/2019 (z) | 5,600 | 5,600 | ||||||
Indiana Health Facility Financing Authority, Ascension Health Credit Group, Series A2, Rev., VRDO, 1.59%, 10/07/2019 (z) | 7,700 | 7,700 | ||||||
Indianapolis Local Public Improvement Bond Bank, Airport Authority Project, | ||||||||
Rev., AMT, 5.00%, 01/01/2021 | 2,815 | 2,939 | ||||||
Rev., AMT, 5.00%, 01/01/2022 | 3,085 | 3,321 | ||||||
Purdue University, Student Facilities System, Series C, Rev., VRDO, 1.55%, 10/07/2019 (z) | 200 | 200 | ||||||
|
| |||||||
33,910 | ||||||||
|
| |||||||
Iowa — 0.0% (g) | ||||||||
Iowa Finance Authority, Trinity Health Corp. Obligated Group, Series D, Rev., VRDO, 1.62%, 10/07/2019 (z) | 100 | 100 | ||||||
|
| |||||||
Louisiana — 0.4% | ||||||||
Consolidated Government of the City of Baton Rouge & Parish of East Baton Rouge, Exxon Mobil Corp. Project, Rev., VRDO, 1.75%, 10/01/2019 (z) | �� | 2,600 | 2,600 | |||||
Jefferson Sales Tax District, Series A, Rev., AGM, 5.00%, 12/01/2021 | 2,325 | 2,507 | ||||||
|
| |||||||
5,107 | ||||||||
|
| |||||||
Maryland — 0.7% | ||||||||
County of Montgomery, Consolidated Public Improvement, Series A, GO, 5.00%, 11/01/2020 | 8,000 | 8,320 | ||||||
|
| |||||||
Massachusetts — 5.8% | ||||||||
Commonwealth of Massachusetts, Series C, GO, VRDO, 1.55%, 10/07/2019 (z) | 4,900 | 4,900 | ||||||
Commonwealth of Massachusetts, Central Artery, Series A, GO, VRDO, 1.57%, 10/07/2019 (z) | 1,625 | 1,625 | ||||||
Massachusetts Bay Transportation Authority, | ||||||||
Series A1, Rev., VRDO, 1.60%, 10/07/2019 (z) | 1,800 | 1,800 | ||||||
Series A2, Rev., VRDO, 1.52%, 10/07/2019 (z) | 5,895 | 5,895 | ||||||
Massachusetts Bay Transportation Authority, General Transportation System, Series A2, Rev., VRDO, 1.63%, 10/07/2019 (z) | 100 | 100 | ||||||
Massachusetts Development Finance Agency, Beth Israel Lahey Health Obligated Group, Series K, Rev., 4.00%, 07/01/2021 | 720 | 752 | ||||||
Massachusetts Development Finance Agency, Dana-Farber Cancer Institute Obligated Group, Series O, Rev., 5.00%, 12/01/2021 | 1,000 | 1,078 |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Municipal Bonds — continued | ||||||||
Massachusetts — continued | ||||||||
Massachusetts Development Finance Agency, Partners Healthcare System, Inc., | ||||||||
Series K1, Rev., VRDO, 1.55%, 10/07/2019 (z) | 5,700 | 5,700 | ||||||
Series K2, Rev., VRDO, 1.57%, 10/07/2019 (z) | 22,360 | 22,360 | ||||||
Massachusetts Development Finance Agency, Tufts University, Series R, Rev., VRDO, 1.66%, 10/01/2019 (z) | 10,000 | 10,000 | ||||||
Massachusetts Educational Financing Authority, | ||||||||
Series A, Rev., AMT, 5.00%, 01/01/2021 | 3,150 | 3,284 | ||||||
Series B, Rev., AMT, 5.00%, 07/01/2021 | 900 | 953 | ||||||
Series B, Rev., AMT, 5.00%, 07/01/2022 | 2,000 | 2,183 | ||||||
Series J, Rev., AMT, 5.00%, 07/01/2020 | 400 | 410 | ||||||
Massachusetts Health & Educational Facilities Authority, Tufts University, Series N1, Rev., VRDO, 1.59%, 10/01/2019 (z) | 7,200 | 7,200 | ||||||
Massachusetts Water Resources Authority, | ||||||||
Series A2, Rev., VRDO, 1.46%, 10/07/2019 (z) | 1,140 | 1,140 | ||||||
Series A3, Rev., VRDO, 1.50%, 10/07/2019 (z) | 4,495 | 4,495 | ||||||
|
| |||||||
73,875 | ||||||||
|
| |||||||
Michigan — 1.9% | ||||||||
Michigan Finance Authority, Clean Water Revolving Fund, Series B, Rev., 4.00%, 10/01/2020 | 7,515 | 7,724 | ||||||
Michigan Finance Authority, Great Lakes Water Authority Water Supply System Revenue, Local Government Loan Program, Series D1, Rev., AGM, 5.00%, 07/01/2020 | 2,700 | 2,772 | ||||||
Michigan Finance Authority, Hospital Project, Ascension Health Credit Group, Series E, Rev., VRDO, 1.62%, 10/07/2019 (z) | 2,275 | 2,275 | ||||||
University of Michigan, | ||||||||
Series A, Rev., VRDO, 1.50%, 10/07/2019 (z) | 5,325 | 5,325 | ||||||
Series D1, Rev., VRDO, 1.72%, 10/01/2019 (z) | 200 | 200 | ||||||
Series D2, Rev., VRDO, 1.54%, 10/07/2019 (z) | 970 | 970 | ||||||
Wayne County Airport Authority, Series A, Rev., AMT, 5.00%, 12/01/2020 | 4,985 | 5,190 | ||||||
|
| |||||||
24,456 | ||||||||
|
| |||||||
Minnesota — 0.3% | ||||||||
City of Rochester, Health Care Facilities, Mayo Clinic, Rev., VRDO, 1.61%, 10/07/2019 (z) | 500 | 500 | ||||||
County of Hennepin, Series B, GO, VRDO, 1.60%, 10/07/2019 (z) | 2,740 | 2,740 | ||||||
|
| |||||||
3,240 | ||||||||
|
| |||||||
Mississippi — 1.0% | ||||||||
Mississippi Business Finance Corp., Chevron USA, Inc. Project, | ||||||||
Series A, Rev., VRDO, 1.60%, 10/07/2019 (z) | 510 | 510 | ||||||
Series A, Rev., VRDO, 1.77%, 10/01/2019 (z) | 2,300 | 2,300 | ||||||
Series B, Rev., VRDO, 1.77%, 10/01/2019 (z) | 1,000 | 1,000 | ||||||
Series C, Rev., VRDO, 1.62%, 10/07/2019 (z) | 1,400 | 1,400 | ||||||
Series D, Rev., VRDO, 1.62%, 10/07/2019 (z) | 300 | 300 | ||||||
Series E, Rev., VRDO, 1.70%, 10/01/2019 (z) | 6,300 | 6,300 | ||||||
Series F, Rev., VRDO, 1.60%, 10/07/2019 (z) | 275 | 275 | ||||||
Series K, Rev., VRDO, 1.77%, 10/01/2019 (z) | 700 | 700 | ||||||
|
| |||||||
12,785 | ||||||||
|
|
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Municipal Bonds — continued | ||||||||
Missouri — 0.5% | ||||||||
City of St Louis, Airport Revenue, Series B, Rev., AGM, AMT, 4.00%, 07/01/2020 | 1,500 | 1,528 | ||||||
Missouri Development Finance Board, Nelson Gallery Foundation (The), Series A, Rev., VRDO, 1.75%, 10/01/2019 (z) | 5,000 | 5,000 | ||||||
|
| |||||||
6,528 | ||||||||
|
| |||||||
Nevada — 0.5% | ||||||||
County of Clark Department of Aviation, Series A1, Rev., AMT, 5.00%, 07/01/2021 | 5,000 | 5,310 | ||||||
Washoe County School District, Series C, GO, 5.00%, 10/01/2021 | 1,250 | 1,340 | ||||||
|
| |||||||
6,650 | ||||||||
|
| |||||||
New Hampshire — 0.8% | ||||||||
New Hampshire Health and Education Facilities Authority Act, Trustees of Dartmouth College, Series B, Rev., VRDO, 1.69%, 10/01/2019 (z) | 6,000 | 6,000 | ||||||
New Hampshire Health and Education Facilities Authority Act, University System of New Hampshire, | ||||||||
Series A1, Rev., VRDO, 1.77%, 10/01/2019 (z) | 800 | 800 | ||||||
Series B, Rev., VRDO, 1.77%, 10/01/2019 (z) | 2,800 | 2,800 | ||||||
|
| |||||||
9,600 | ||||||||
|
| |||||||
New Jersey — 0.6% | ||||||||
New Jersey Housing & Mortgage Finance Agency, | ||||||||
Series D, Rev., AMT, 4.00%, 04/01/2020 | 1,125 | 1,137 | ||||||
Series D, Rev., AMT, 4.00%, 10/01/2020 | 1,290 | 1,319 | ||||||
New Jersey Sports & Exposition Authority, | ||||||||
Series A, Rev., 5.00%, 09/01/2020 | 1,000 | 1,028 | ||||||
Series A, Rev., 5.00%, 09/01/2021 | 4,000 | 4,257 | ||||||
|
| |||||||
7,741 | ||||||||
|
| |||||||
New Mexico — 0.3% | ||||||||
New Mexico Municipal Energy Acquisition Authority, Gas Supply, | ||||||||
Series A, Rev., LIQ: Royal Bank of Canada, 4.00%, 11/01/2020 | 2,600 | 2,672 | ||||||
Series A, Rev., LIQ: Royal Bank of Canada, 4.00%, 11/01/2021 | 625 | 657 | ||||||
|
| |||||||
3,329 | ||||||||
|
| |||||||
New York — 9.9% | ||||||||
City of New York, | ||||||||
Series BB1A, GO, VRDO, LOC: TD Bank NA, 1.69%, 10/01/2019 (z) | 8,200 | 8,200 | ||||||
Series G4, GO, VRDO, LOC: Citibank NA, 1.54%, 10/07/2019 (z) | 1,000 | 1,000 | ||||||
Series G4, GO, VRDO, 1.62%, 10/07/2019 (z) | 425 | 425 | ||||||
Series I3, GO, VRDO, LOC: Bank of America NA, 1.77%, 10/01/2019 (z) | 750 | 750 | ||||||
City of New York, Fiscal Year 2017, Series A4, GO, VRDO, LOC: Citibank NA, 1.54%, 10/07/2019 (z) | 7,000 | 7,000 | ||||||
City of New York, Fiscal Year 2018, Series B5, GO, VRDO, 1.77%, 10/01/2019 (z) | 7,400 | 7,400 | ||||||
Metropolitan Transportation Authority, | ||||||||
Series A1, Rev., VRDO, LOC: TD Bank NA, 1.69%, 10/01/2019 (z) | 5,220 | 5,220 | ||||||
Series A, Rev., BAN, 5.00%, 03/01/2022 | 2,000 | 2,172 | ||||||
Series D2, Rev., VRDO, LOC: Landesbank Hessen-Thueringen, 1.74%, 10/01/2019 (z) | 5,600 | 5,600 | ||||||
Series G2, Rev., VRDO, LOC: TD Bank NA, 1.54%, 10/07/2019 (z) | 750 | 750 |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Municipal Bonds — continued | ||||||||
New York — continued | ||||||||
Nassau County Interim Finance Authority, Sales Tax Secured, Series A, Rev., VRDO, 1.53%, 10/07/2019 (z) | 13,640 | 13,640 | ||||||
New York City Housing Development Corp., Series C4, Rev., VRDO, 1.58%, 10/07/2019 (z) | 7,000 | 7,000 | ||||||
New York City Housing Development Corp., Multifamily Mortgage, New LLC, 245 East 124th Street, Rev., VRDO, LOC: FHLMC, LIQ: FHLMC, 1.47%, 10/07/2019 (z) | 8,200 | 8,200 | ||||||
New York City Housing Development Corp., Multi-Family Rental Housing, 90 Washington Street, Series A, Rev., VRDO, LOC: FNMA, LIQ: FNMA, 1.60%, 10/07/2019 (z) | 600 | 600 | ||||||
New York City Housing Development Corp., Multifamily Mortgage, Bruckner by the Bridge LLC, Series A, Rev., VRDO, LIQ: FHLMC, 1.60%, 10/07/2019 (z) | 4,700 | 4,700 | ||||||
New York City Municipal Water Finance Authority, Water & Sewer System, Series F1A, Rev., VRDO, 1.58%, 10/07/2019 (z) | 6,000 | 6,000 | ||||||
New York City Municipal Water Finance Authority, Water & Sewer System, Second General Resolution, Fiscal Year 2008, Series BB2, Rev., VRDO, 1.71%, 10/01/2019 (z) | 3,500 | 3,500 | ||||||
New York City Transitional Finance Authority, Future Tax, Series A4, Rev., VRDO, 1.69%, 10/01/2019 (z) | 2,250 | 2,250 | ||||||
New York City Transitional Finance Authority, Future Tax Secured Revenue, | ||||||||
Series B5, Rev., VRDO, 1.76%, 10/01/2019 (z) | 800 | 800 | ||||||
Series F5, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 1.64%, 10/07/2019 (z) | 7,285 | 7,285 | ||||||
New York City Transitional Finance Authority, New York City Recovery, Series 1E, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 1.61%, 10/07/2019 (z) | 375 | 375 | ||||||
New York City Trust for Cultural Resources, Metropolitan Museum of Art (The), Series A1, Rev., VRDO, 1.52%, 10/07/2019 (z) | 525 | 525 | ||||||
New York City, Water & Sewer System, Series BB, Rev., VRDO, 1.77%, 10/01/2019 (z) | 1,000 | 1,000 | ||||||
New York State Dormitory Authority, City University of New York (The), Consolidated Fifth, Series C, Rev., VRDO, LOC: Bank of America NA, 1.59%, 10/07/2019 (z) | 1,200 | 1,200 | ||||||
New York State Dormitory Authority, School District, Financing Program, Series D, Rev., BAM, 5.00%, 10/01/2020 | 1,500 | 1,556 | ||||||
New York State Housing Finance Agency, Series L, Rev., VRDO, LOC: Bank of America NA, 1.47%, 10/07/2019 (z) | 100 | 100 | ||||||
New York State Housing Finance Agency, Clinton Park Housing, Series A, Rev., VRDO, LIQ: FHLMC, 1.60%, 10/07/2019 (z) | 200 | 200 | ||||||
New York State Housing Finance Agency, Housing Related, Taconic, Rev., VRDO, LOC: FNMA, LIQ: FNMA, 1.62%, 10/07/2019 (z) | 1,220 | 1,220 | ||||||
New York State Urban Development Corp., Series A, Rev., 5.00%, 03/15/2021 | 2,930 | 3,088 | ||||||
Onondaga County Resource Recovery Agency, Series A, Rev., AGM, AMT, 5.00%, 05/01/2021 | 1,915 | 2,025 | ||||||
Onondaga County Trust for Cultural Resources, Syracuse University Project, Series A, Rev., VRDO, LOC: Wells Fargo Bank NA, 1.43%, 10/07/2019 (z) | 1,000 | 1,000 | ||||||
Port Authority of New York & New Jersey, Consolidated One Hundred Eighty, Rev., AMT, 5.00%, 09/01/2021 | 3,060 | 3,269 |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Municipal Bonds — continued | ||||||||
New York — continued | ||||||||
Triborough Bridge & Tunnel Authority, | ||||||||
Series B2, Rev., VRDO, LOC: Citibank NA, 1.74%, 10/01/2019 (z) | 1,100 | 1,100 | ||||||
Series B3, Rev., VRDO, LOC: State Street Bank & Trust Co., 1.78%, 10/01/2019 (z) | 9,620 | 9,620 | ||||||
Series F, Rev., VRDO, LOC: Citibank NA, 1.74%, 10/01/2019 (z) | 8,175 | 8,175 | ||||||
|
| |||||||
126,945 | ||||||||
|
| |||||||
North Carolina— 1.8% | ||||||||
City of Charlotte, Water & Sewer System Revenue, Series B, Rev., VRDO, 1.55%, 10/07/2019 (z) | 12,300 | 12,300 | ||||||
City of Raleigh, Combined Enterprise System Revenue, Series B, Rev., VRDO, 1.63%, 10/07/2019 (z) | 3,800 | 3,800 | ||||||
University of North Carolina at Chapel Hill, Series C, Rev., VRDO, 1.59%, 10/07/2019 (z) | 4,000 | 4,000 | ||||||
University of North Carolina, University Hospital at Chapel Hill, | ||||||||
Series A, Rev., VRDO, 1.59%, 10/07/2019 (z) | 100 | 100 | ||||||
Series B, Rev., VRDO, 1.75%, 10/01/2019 (z) | 2,900 | 2,900 | ||||||
|
| |||||||
23,100 | ||||||||
|
| |||||||
Ohio— 4.0% | ||||||||
American Municipal Power, Inc., Hydroelectric Project, Series C, Rev., 5.00%, 02/15/2020 | 1,000 | 1,013 | ||||||
County of Franklin, Hospital Facilities, OhioHealth Corp. Obligated Group, Series C, Rev., VRDO, 1.58%, 10/07/2019 (z) | 6,000 | 6,000 | ||||||
County of Lucas, Promedica Healthcare Obligated Group, Series A, Rev., 5.00%, 11/15/2019 | 1,000 | 1,004 | ||||||
Ohio Higher Educational Facility Commission, Hospital, Cleveland Clinic Health System Obligated Group, | ||||||||
Series B1, Rev., VRDO, 1.72%, 10/01/2019 (z) | 950 | 950 | ||||||
Series B3, Rev., VRDO, 1.75%, 10/01/2019 (z) | 1,700 | 1,700 | ||||||
Series B4, Rev., VRDO, 1.72%, 10/01/2019 (z) | 6,650 | 6,650 | ||||||
Ohio State University (The), | ||||||||
Series B2, Rev., VRDO, 1.51%, 10/07/2019 (z) | 6,725 | 6,725 | ||||||
Series B, Rev., VRDO, 1.51%, 10/07/2019 (z) | 5,800 | 5,800 | ||||||
Series E, Rev., VRDO, 1.59%, 10/07/2019 (z) | 3,500 | 3,500 | ||||||
State of Ohio, Series C, GO, VRDO, 1.51%, 10/07/2019 (z) | 5,000 | 5,000 | ||||||
State of Ohio, Infrastructure Improvement, Series A, GO, VRDO, LOC: TD Bank NA, 1.52%, 10/07/2019 (z) | 12,775 | 12,775 | ||||||
|
| |||||||
51,117 | ||||||||
|
| |||||||
Oregon — 0.0%(g) | ||||||||
Oregon Health & Science University, Series B3, Rev., VRDO, LOC: U.S. Bank NA, 1.75%, 10/01/2019 (z) | 350 | 350 | ||||||
|
| |||||||
Pennsylvania— 1.8% | ||||||||
Commonwealth of Pennsylvania, First Series, GO, 5.00%, 08/15/2021 | 7,210 | 7,698 | ||||||
Delaware River Port Authority, Series B, Rev., 5.00%, 01/01/2021 | 3,100 | 3,242 | ||||||
Monroeville Finance Authority, UPMC Obligated Group, Rev., 5.00%, 02/15/2021 | 1,155 | 1,213 | ||||||
Pennsylvania Economic Development Financing Authority, UPMC Obligated Group, Series A, Rev., 4.00%, 11/15/2020 | 1,000 | 1,029 | ||||||
Pennsylvania Economic Development Financing Authority, Waste Management Obligated Group Project, Series A, Rev., 2.15%, 11/01/2021 | 1,375 | 1,389 | ||||||
Pennsylvania Higher Educational Facilities Authority, Drexel University, Series B, Rev., VRDO, LOC: TD Bank NA, 1.72%, 10/01/2019 (z) | 350 | 350 |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Municipal Bonds — continued | ||||||||
Pennsylvania—continued | ||||||||
Philadelphia Authority for Industrial Development, City of Philadelphia, Rev., 5.00%, 10/01/2021 | 4,000 | 4,281 | ||||||
Philadelphia Authority for Industrial Development, City Service Agreement, Rebuild Project, | ||||||||
Rev., 5.00%, 05/01/2020 | 500 | 510 | ||||||
Rev., 5.00%, 05/01/2021 | 750 | 792 | ||||||
School District of Philadelphia, | ||||||||
Series F, GO, 5.00%, 09/01/2020 | 1,100 | 1,135 | ||||||
Series F, GO, 5.00%, 09/01/2021 | 1,500 | 1,597 | ||||||
|
| |||||||
23,236 | ||||||||
|
| |||||||
South Carolina — 0.1% | ||||||||
South Carolina Educational Facilities Authority, Furman University, Series B, Rev., VRDO, 1.78%, 10/01/2019 (z) | 1,100 | 1,100 | ||||||
|
| |||||||
Tennessee — 0.2% | ||||||||
Tennessee Energy Acquisition Corp., Series A, Rev., 5.25%, 09/01/2021 | 2,040 | 2,173 | ||||||
|
| |||||||
Texas — 3.8% | ||||||||
City of Arlington, Water & Wastewater System Revenue, Series A, Rev., 2.00%, 06/01/2021 | 400 | 405 | ||||||
City of Austin, Airport System Revenue, Rev., AMT, 5.00%, 11/15/2020 | 2,500 | 2,597 | ||||||
City of Garland, Texas, GO, 5.00%, 02/15/2021 | 1,700 | 1,787 | ||||||
City of Houston, Airport System Revenue, Series D, Rev., 5.00%, 07/01/2021 | 1,150 | 1,223 | ||||||
Cypress-Fairbanks Texas Independent School District, GO,PSF-GTD, 5.00%, 02/15/2021 | 2,465 | 2,591 | ||||||
Gulf Coast Authority, Rev., VRDO, 1.87%, 10/01/2024 (z) | 4,000 | 4,000 | ||||||
Houston Independent School District, GO,PSF-GTD, 5.00%, 02/15/2022 | 1,600 | 1,739 | ||||||
Lower Neches Valley Authority Industrial Development Corp., Exxonmobil, Rev., VRDO, 1.75%, 10/01/2019 (z) | 5,500 | 5,500 | ||||||
North Texas Tollway Authority System, First Tier, Series A, Rev., 5.00%, 01/01/2021 | 1,000 | 1,046 | ||||||
North Texas Tollway Authority, First Tier, Series A, Rev., 5.00%, 01/01/2022 | 2,000 | 2,163 | ||||||
Northwest Independent School District, Series B, GO,PSF-GTD, 5.00%, 02/15/2021 | 2,000 | 2,102 | ||||||
Permanent University Fund - University of Texas System, Series A, Rev., VRDO, 1.55%, 10/07/2019 (z) | 800 | 800 | ||||||
Socorro Independent School District, GO,PSF-GTD, 4.00%, 08/15/2020 | 3,220 | 3,296 | ||||||
State of Texas, College Student Loan, Series B, GO, AMT, 5.00%, 08/01/2020 | 4,010 | 4,131 | ||||||
State of Texas, Public Finance Authority, GO, 5.00%, 10/01/2019 | 5,300 | 5,300 | ||||||
State of Texas, Veterans, | ||||||||
GO, VRDO, LIQ: FHLB, 1.60%, 10/07/2019 (z) | 2,500 | 2,500 | ||||||
Series C, GO, VRDO, 1.58%, 10/07/2019 (z) | 1,175 | 1,175 | ||||||
Tarrant County Cultural Education Facilities Finance Corp., Texas Health Resources Obligated Group, Series B, Rev., VRDO, 1.58%, 10/07/2019 (z) | 3,000 | 3,000 | ||||||
Texas Municipal Gas Acquisition & Supply Corp. I, Series A, Rev., 5.25%, 12/15/2019 | 3,920 | 3,949 | ||||||
|
| |||||||
49,304 | ||||||||
|
|
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Municipal Bonds — continued | ||||||||
Utah— 0.1% | ||||||||
County of Utah, IHC Health Services, Inc., Series B, Rev., VRDO, 1.58%, 10/07/2019 (z) | 1,150 | 1,150 | ||||||
|
| |||||||
Virginia— 4.1% | ||||||||
Albermarle County Economic Development Authority, Sentara Healthcare Obligated Group, Series B, Rev., VRDO, 1.75%, 10/02/2019 (z) | 1,350 | 1,350 | ||||||
County of Chesterfield, Series B, GO, 5.00%, 01/01/2021 | 1,430 | 1,496 | ||||||
Fairfax County Economic Development Authority, Smithsonian Institution, Series A, Rev., VRDO, 1.50%, 10/07/2019 (z) | 4,325 | 4,325 | ||||||
Fairfax County Industrial Development Authority, Inova Health System Obligated Group Project, Series C, Rev., VRDO, 1.59%, 10/07/2019 (z) | 13,300 | 13,300 | ||||||
Loudoun County Economic Development Authority, Howard Hughes Medical Institute, | ||||||||
Series B, Rev., VRDO, 1.59%, 10/07/2019 (z) | 2,630 | 2,630 | ||||||
Series C, Rev., VRDO, 1.59%, 10/07/2019 (z) | 4,500 | 4,500 | ||||||
Series D, Rev., VRDO, 1.59%, 10/07/2019 (z) | 200 | 200 | ||||||
Series F, Rev., VRDO, 1.57%, 10/07/2019 (z) | 4,100 | 4,100 | ||||||
Norfolk Economic Development Authority, Sentara Healthcare Obligated Group, | ||||||||
Series A, Rev., VRDO, 1.55%, 10/07/2019 (z) | 10,500 | 10,500 | ||||||
Series B, Rev., VRDO, 1.58%, 10/07/2019 (z) | 6,500 | 6,500 | ||||||
Virginia Port Authority, Port Facility Refunding, | ||||||||
Series B, Rev., AMT, 5.00%, 07/01/2020 | 1,730 | 1,774 | ||||||
Series B, Rev., AMT, 5.00%, 07/01/2021 | 1,405 | 1,487 | ||||||
|
| |||||||
52,162 | ||||||||
|
| |||||||
Washington— 1.7% | ||||||||
Chelan County Public Utility District No. 1, Series B, Rev., VRDO, 1.62%, 10/07/2019 (z) | 6,000 | 6,000 | ||||||
King County Public Hospital District No. 1, Valley Medical Center, GO, 4.00%, 12/01/2020 | 475 | 489 | ||||||
King County School District No. 412 Shoreline, GO, SCH BD GTY, 5.00%, 12/01/2020 | 1,000 | 1,043 | ||||||
Port of Seattle, Rev., AMT, 5.00%, 04/01/2022 | 2,000 | 2,172 | ||||||
State of Washington, Motor Vehicle Fuel Tax, Series B, GO, 5.00%, 08/01/2020 | 4,730 | 4,876 | ||||||
Washington Health Care Facilities Authority, Providence Health & Service, Series C, Rev., VRDO, 1.63%, 10/07/2019 (z) | 5,100 | 5,100 | ||||||
Washington State Housing Finance Commission, Interurban Senior Living Associates LP, Rev., VRDO, LOC: FHLMC, LIQ: FHLMC, 1.56%, 10/07/2019 (z) | 2,245 | 2,245 | ||||||
|
| |||||||
21,925 | ||||||||
|
| |||||||
Wisconsin— 0.8% | ||||||||
State of Wisconsin, | ||||||||
Series A, GO, 5.00%, 05/01/2022 | 4,815 | 5,272 | ||||||
Series B, GO, 5.00%, 05/01/2021 | 2,435 | 2,579 | ||||||
Wisconsin Health & Educational Facilities Authority, Ascension Health Credit Group, Series B2, Rev., 4.00%, 11/15/2020 | 1,530 | 1,576 | ||||||
Wisconsin Housing & Economic Development Authority, Series B, Rev., FNMA COLL, VRDO, 1.60%, 10/07/2019 (z) | 1,000 | 1,000 | ||||||
|
| |||||||
10,427 | ||||||||
|
|
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Municipal Bonds — continued | ||||||||
Wyoming— 0.4% | ||||||||
County of Lincoln, Exxon Capital Ventures, Inc., Rev., VRDO, 1.71%, 10/01/2019 (z) | 5,000 | 5,000 | ||||||
|
| |||||||
Total Municipal Bonds (Cost $772,805) | 773,967 | |||||||
|
| |||||||
U.S. Government Agency Security — 0.3% | ||||||||
FHLMC, 2.80%, 06/03/2024 (Cost $4,000) | 4,000 | 4,003 | ||||||
|
| |||||||
U.S. Treasury Obligations — 4.0% | ||||||||
U.S. Treasury Inflation Indexed Notes, | ||||||||
0.13%, 04/15/2022 | 6,647 | 6,576 | ||||||
0.13%, 01/15/2023 | 10,560 | 10,468 | ||||||
0.38%, 07/15/2023 | 10,860 | 10,921 | ||||||
0.63%, 04/15/2023 | 20,349 | 20,509 | ||||||
U.S. Treasury Notes, 1.75%, 07/31/2021 | 3,000 | 3,004 | ||||||
|
| |||||||
Total U.S. Treasury Obligations (Cost $50,878) | 51,478 | |||||||
|
| |||||||
Short-Term Investments — 10.3% | ||||||||
Commercial Papers — 4.2% | ||||||||
Board Of Trustees Michigan State University, 1.34%, 11/05/2019 (n) | 600 | 600 | ||||||
City of Dallas, Series D1, 1.33%, 12/05/2019 (n) | 5,000 | 4,998 | ||||||
District of Columbia, | ||||||||
1.35%, 10/10/2019 (n) | 6,000 | 5,999 | ||||||
1.40%, 10/10/2019 (n) | 5,000 | 5,000 | ||||||
Encana Corp., (Canada), Series USCP, 2.57%, 10/28/2019 (e) (n) | 3,000 | 2,994 | ||||||
Ford Motor Credit Co. LLC, 3.43%, 01/21/2020 (e) (n) | 1,900 | 1,884 | ||||||
Humana, Inc., 2.36%, 10/30/2019 (e) (n) | 3,700 | 3,692 | ||||||
Huntsville Alabama Health Care Authority, | ||||||||
1.34%, 12/05/2019 (n) | 6,000 | 5,997 | ||||||
1.42%, 10/09/2019 (n) | 2,000 | 2,000 | ||||||
Massachusetts Health & Educational Facilities Authority, 1.75%, 10/10/2019 (n) | 3,000 | 3,000 | ||||||
Montgomery County, Series 2010, 1.39%, 10/09/2019 (n) | 3,000 | 3,000 | ||||||
New York State Power Authority, | ||||||||
1.22%, 12/04/2019 (n) | 2,000 | 1,999 | ||||||
1.24%, 12/04/2019 (n) | 10,000 | 9,997 | ||||||
Smithfield Foods, Inc., 0.00%, 10/15/2019 (e) (n) | 400 | 400 | ||||||
University of Michigan, Series B, 1.30%, 11/05/2019 (n) | 2,000 | 1,999 | ||||||
|
| |||||||
Total Commercial Papers | 53,559 | |||||||
|
| |||||||
Municipal Bonds — 4.0%(t) | ||||||||
Brookhaven Development Authority, Children’s Healthcare of Atlanta Obligated Group, Series A, Rev., 5.00%, 07/01/2020 | 2,250 | 2,311 | ||||||
County of Los Angeles, Rev., TRAN, 5.00%, 06/30/2020 | 6,500 | 6,684 | ||||||
County of Salt Lake, GO, TRAN, 3.00%, 12/27/2019 | 3,200 | 3,213 | ||||||
King County Public Hospital District No. 1, Valley Medical Center, GO, 4.00%, 12/01/2019 | 450 | 452 |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Short-Term Investments — continued | ||||||||
Municipal Bonds — continued | ||||||||
Metropolitan Transportation Authority, Anticipation Notes Transportation, Series A, Rev., BAN, 4.00%, 02/03/2020 | 6,000 | 6,052 | ||||||
New Mexico Municipal Energy Acquisition Authority, Gas Supply, Series A, Rev., LIQ: Royal Bank of Canada, 4.00%, 05/01/2020 | 5,045 | 5,120 | ||||||
New York State Thruway Authority, Rev., 4.00%, 02/01/2020 | 3,740 | 3,746 | ||||||
San Francisco City & County Airport Comm-San Francisco International Airport, Special Facilities Lease, SFO Fuel Co. LLC, Series A, Rev., AMT, 5.00%, 01/01/2020 | 1,010 | 1,019 | ||||||
State of Idaho, GO, TAN, 3.00%, 06/30/2020 | 7,000 | 7,089 | ||||||
State of Texas, Rev., TRAN, 4.00%, 08/27/2020 | 15,000 | 15,359 | ||||||
|
| |||||||
Total Municipal Bonds | 51,045 | |||||||
|
| |||||||
Time Deposits — 2.1% | ||||||||
Barclays SA, 1.25%, 10/01/2019 | 237 | 237 | ||||||
BNP Paribas SA, (0.67%), 10/01/2019 | EUR | 161 | 175 | |||||
Brown Brothers Harriman, | ||||||||
0.38%, 10/01/2019 | GBP | — | (h) | — | (h) | |||
0.84%, 10/01/2019 | CAD | 536 | 405 | |||||
Citibank NA, 1.25%, 10/01/2019 | 25,783 | 25,783 | ||||||
|
| |||||||
Total Time Deposits | 26,600 | |||||||
|
| |||||||
Total Short-Term Investments (Cost $131,205) | 131,204 | |||||||
|
| |||||||
Total Investments — 101.8% | 1,303,352 | |||||||
Liabilities in Excess of Other Assets — (1.8)% | (22,458 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,280,894 | ||||||
|
|
Percentages indicated are based on net assets.
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Futures contracts outstanding as of September 30, 2019:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts |
| |||||||||||||||||||
Canadian 10 Year Government Bond | 154 | 12/2019 | CAD | 16,716 | (141 | ) | ||||||||||||||
Canadian Bankers’ Acceptance | 189 | 12/2020 | CAD | 35,037 | (14 | ) | ||||||||||||||
Canadian Bankers’ Acceptance | 13 | 09/2020 | CAD | 2,406 | 2 | |||||||||||||||
U.S. Treasury 2 Year Note | 920 | 12/2019 | USD | 198,595 | (335 | ) | ||||||||||||||
U.S. Ultra Treasury 10 Year Note | 21 | 12/2019 | USD | 3,037 | (47 | ) | ||||||||||||||
|
| |||||||||||||||||||
(535 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Short Contracts | ||||||||||||||||||||
3 Month Eurodollar | (860) | 12/2020 | USD | (211,649) | (179 | ) | ||||||||||||||
EURO-BOBL | (28) | 12/2019 | EUR | (4,150) | 10 | |||||||||||||||
EURO-SCHATZ | (175) | 12/2019 | EUR | (21,449) | 24 | |||||||||||||||
U.S. Treasury 5 Year Note | (20) | 12/2019 | USD | (2,396) | 13 | |||||||||||||||
U.S. Treasury Ultra Bond | (24) | 12/2019 | USD | (4,658) | 52 | |||||||||||||||
|
| |||||||||||||||||||
(80 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Total unrealized appreciation (depreciation) |
| (615 | ) | |||||||||||||||||
|
|
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 September 30, 2019:
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||||||||
CAD 554 | USD | 417 | Morgan Stanley & Co. | 11/15/2019 | 2 | |||||||
USD 2,525 | CAD | 3,328 | Morgan Stanley & Co. | 11/15/2019 | 11 | |||||||
|
| |||||||||||
Total unrealized appreciation | 13 | |||||||||||
|
| |||||||||||
EUR 319 | USD | 359 | Morgan Stanley & Co. | 11/15/2019 | (10 | ) | ||||||
USD 7,284 | GBP | 5,978 | Morgan Stanley & Co. | 11/15/2019 | (80 | ) | ||||||
|
| |||||||||||
Total unrealized depreciation | (90 | ) | ||||||||||
|
| |||||||||||
Net unrealized appreciation (depreciation) | (77 | ) | ||||||||||
|
|
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Centrally Cleared Interest Rate Swap contracts outstanding as of September 30, 2019:
FLOATING RATE INDEX (a) | FIXED RATE | PAY/RECEIVE | MATURITY DATE | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) ($) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) | |||||||||||||||||
United States FEDEF Intraday | 2.30% annually | Receive | 03/01/2022 | USD 129,500 | (7 | ) | (2,892 | ) | (2,899 | ) | ||||||||||||||
|
| |||||||||||||||||||||||
Total | (7 | ) | (2,892 | ) | (2,899 | ) | ||||||||||||||||||
|
|
(a) | Value of floating rate index as of September 30, 2019 was as follows: |
FLOATING RATE INDEX | ||||
United States FEDEF | 1.90 | % |
Six Circles Tax Aware Ultra Short Duration Fund
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019
AGM | — | Insured by Assured Guaranty Municipal Corp. | ||
AMT | — | Alternative Minimum Tax | ||
BAM | — | Insured by Build America Mutual | ||
BAN | — | Bond Anticipation Note | ||
COLL | — | Collateral | ||
FEDEF | — | Federal Fund Effective Rate (Continuous Series) | ||
FHLB | — | Federal Home Loan Bank | ||
FHLMC | — | Federal Home Loan Mortgage Corp. | ||
FNMA | — | Federal National Mortgage Association | ||
GO | — | General Obligation | ||
GNMA | — | Government National Mortgage Association | ||
GTD | — | Guaranteed | ||
GTY | — | Guaranty | ||
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 | — | School Bond | ||
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 September 30, 2019. | ||
TAN | — | Tax Anticipation Note | ||
TBA | — | To Be Announced | ||
TRAN | — | Tax & Revenue Anticipation Note | ||
VRDO | — | Variable Rate Demand Obligation. The interest rate shown is the rate in effect as of September 30, 2019. | ||
(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. | ||
(i) | — | Illiquid security. | ||
(g) | — | Amount rounds to less than 0.05%. | ||
(h) | — | Amount rounds to less than 500. | ||
(n) | — | The rate shown is the effective yield as of September 30, 2019. | ||
(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 September 30, 2019. | ||
(aa) | — | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of September 30, 2019 | ||
* | — | The cost of securities is substantially the same for federal income tax purposes. | ||
CAD | — | Canadian Dollar | ||
EUR | — | Euro | ||
GBP | — | British Pound | ||
USD | — | United States Dollar |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks—99.8% | ||||||||
Basic Materials— 1.1% | ||||||||
Chemicals— 1.0% | ||||||||
Air Products & Chemicals, Inc. | 78 | 17,409 | ||||||
Albemarle Corp. | 28 | 1,943 | ||||||
Ashland Global Holdings, Inc. | 4 | 289 | ||||||
Axalta Coating Systems Ltd. (a) | 9 | 265 | ||||||
Cabot Corp. | 16 | 707 | ||||||
Celanese Corp., Class A | 44 | 5,350 | ||||||
CF Industries Holdings, Inc. | 9 | 423 | ||||||
Dow, Inc. | 27 | 1,302 | ||||||
DuPont de Nemours, Inc. | 27 | 1,928 | ||||||
Eastman Chemical Co. | 75 | 5,535 | ||||||
Ecolab, Inc. | 50 | 9,960 | ||||||
FMC Corp. | 5 | 445 | ||||||
HB Fuller Co. | 1 | 54 | ||||||
International Flavors & Fragrances, Inc. | 35 | 4,324 | ||||||
Linde plc, (United Kingdom) | 169 | 32,812 | ||||||
LyondellBasell Industries NV, Class A | 10 | 897 | ||||||
Mosaic Co. (The) | 15 | 307 | ||||||
NewMarket Corp. | 1 | 581 | ||||||
PolyOne Corp. | 6 | 195 | ||||||
PPG Industries, Inc. | 80 | 9,507 | ||||||
RPM International, Inc. | 35 | 2,442 | ||||||
Sensient Technologies Corp. | 2 | 164 | ||||||
Sherwin-Williams Co. (The) | 14 | 7,670 | ||||||
Valvoline, Inc. | 30 | 670 | ||||||
Westlake Chemical Corp. | 6 | 411 | ||||||
|
| |||||||
105,590 | ||||||||
|
| |||||||
Forest Products & Paper — 0.0%(g) | ||||||||
Domtar Corp. | 42 | 1,497 | ||||||
International Paper Co. | 14 | 596 | ||||||
|
| |||||||
2,093 | ||||||||
|
| |||||||
Iron/Steel— 0.1% | ||||||||
Nucor Corp. | 176 | 8,956 | ||||||
Reliance Steel & Aluminum Co. | 20 | 2,034 | ||||||
Steel Dynamics, Inc. | 92 | 2,734 | ||||||
|
| |||||||
13,724 | ||||||||
|
|
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks — continued | ||||||||
Mining — 0.0%(g) | ||||||||
Freeport-McMoRan, Inc. | 46 | 441 | ||||||
Newmont Goldcorp Corp. | 29 | 1,081 | ||||||
Royal Gold, Inc. | 2 | 297 | ||||||
|
| |||||||
1,819 | ||||||||
|
| |||||||
Total Basic Materials | 123,226 | |||||||
|
| |||||||
Communications— 18.7% | ||||||||
Advertising— 0.1% | ||||||||
Interpublic Group of Cos., Inc. (The) | 225 | 4,858 | ||||||
Omnicom Group, Inc. | 104 | 8,148 | ||||||
|
| |||||||
13,006 | ||||||||
|
| |||||||
Internet— 14.9% | ||||||||
Alphabet, Inc., Class A (a) | 251 | 307,063 | ||||||
Alphabet, Inc., Class C (a) | 254 | 309,730 | ||||||
Amazon.com, Inc. (a) | 260 | 451,654 | ||||||
Booking Holdings, Inc. (a) | 27 | 52,237 | ||||||
CDW Corp. | 21 | 2,593 | ||||||
eBay, Inc. | 496 | 19,333 | ||||||
Expedia Group, Inc. | 105 | 14,090 | ||||||
F5 Networks, Inc. (a) | 2 | 336 | ||||||
Facebook, Inc., Class A (a) | 2,019 | 359,624 | ||||||
GoDaddy, Inc., Class A (a) | 6 | 392 | ||||||
GrubHub, Inc. (a) | 3 | 142 | ||||||
IAC/InterActiveCorp. (a) | 3 | 620 | ||||||
MercadoLibre, Inc., (Argentina) (a) | 2 | 833 | ||||||
Netflix, Inc. (a) | 15 | 4,061 | ||||||
Okta, Inc., Class A (a) | 3 | 327 | ||||||
Palo Alto Networks, Inc. (a) | 3 | 689 | ||||||
Roku, Inc., Class A (a) | 3 | 288 | ||||||
Snap, Inc., Class A (a) | 24 | 386 | ||||||
Symantec Corp. | 360 | 8,500 | ||||||
TripAdvisor, Inc. (a) | 87 | 3,365 | ||||||
Twitter, Inc. (a) | 647 | 26,664 | ||||||
Uber Technologies, Inc. (a) | 8 | 233 | ||||||
VeriSign, Inc. (a) | 4 | 676 | ||||||
Wayfair, Inc., Class A (a) | 2 | 245 | ||||||
Zillow Group, Inc., Class C (a) | 4 | 106 | ||||||
|
| |||||||
1,564,187 | ||||||||
|
| |||||||
Media— 1.2% | ||||||||
Altice USA, Inc., Class A (a) | 4 | 113 | ||||||
CBS Corp., Class B | 12 | 501 | ||||||
Charter Communications, Inc., Class A (a) | 6 | 2,320 | ||||||
Comcast Corp., Class A | 1,379 | 62,144 | ||||||
Discovery, Inc., Class A (a) | 7 | 186 | ||||||
Discovery, Inc., Class C (a) | 14 | �� | 347 | |||||
DISH Network Corp., Class A (a) | 9 | 317 | ||||||
FactSet Research Systems, Inc. | 5 | 1,207 | ||||||
Fox Corp., Class A | 13 | 425 | ||||||
Fox Corp., Class B | 7 | 231 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | ||||||||
Media — continued | ||||||||
John Wiley & Sons, Inc., Class A | 4 | 165 | ||||||
Liberty Broadband Corp., Class C (a) | 4 | 392 | ||||||
Liberty Global plc, (United Kingdom), Class A (a) | 8 | 199 | ||||||
Liberty Global plc, (United Kingdom), Class C (a) | 15 | 347 | ||||||
Liberty Media Corp.-Liberty Formula One, Class C (a) | 8 | 336 | ||||||
Liberty Media Corp.-Liberty SiriusXM, Class A (a) | 4 | 171 | ||||||
Liberty Media Corp.-Liberty SiriusXM, Class C (a) | 7 | 289 | ||||||
Meredith Corp. | 17 | 617 | ||||||
News Corp., Class A | 16 | 229 | ||||||
Nexstar Media Group, Inc., Class A | 4 | 436 | ||||||
Sinclair Broadcast Group, Inc., Class A | 10 | 438 | ||||||
Sirius XM Holdings, Inc. | 60 | 374 | ||||||
Viacom, Inc., Class B | 14 | 335 | ||||||
Walt Disney Co. (The) | 390 | 50,859 | ||||||
|
| |||||||
122,978 | ||||||||
|
| |||||||
Telecommunications— 2.5% | ||||||||
Arista Networks, Inc. (a) | 2 | 418 | ||||||
AT&T, Inc. | 257 | 9,728 | ||||||
CenturyLink, Inc. | 35 | 432 | ||||||
Cisco Systems, Inc. | 1,872 | 92,473 | ||||||
Corning, Inc. | 335 | 9,557 | ||||||
Juniper Networks, Inc. | 14 | 343 | ||||||
Motorola Solutions, Inc. | 34 | 5,803 | ||||||
Sprint Corp. (a) | 34 | 213 | ||||||
Telephone & Data Systems, Inc. | 9 | 239 | ||||||
T-Mobile US, Inc. (a) | 12 | 967 | ||||||
Verizon Communications, Inc. | 2,355 | 142,149 | ||||||
Zayo Group Holdings, Inc. (a) | 8 | 284 | ||||||
|
| |||||||
262,606 | ||||||||
|
| |||||||
Total Communications | 1,962,777 | |||||||
|
| |||||||
Consumer Cyclical— 5.4% | ||||||||
Airlines— 0.2% | ||||||||
Alaska Air Group, Inc. | 27 | 1,727 | ||||||
American Airlines Group, Inc. | 6 | 150 | ||||||
Delta Air Lines, Inc. | 254 | 14,624 | ||||||
Southwest Airlines Co. | 99 | 5,348 | ||||||
United Airlines Holdings, Inc. (a) | 3 | 249 | ||||||
|
| |||||||
22,098 | ||||||||
|
| |||||||
Apparel— 0.4% | ||||||||
Capri Holdings Ltd., (United Kingdom) (a) | 7 | 226 | ||||||
Carter’s, Inc. | 9 | 799 | ||||||
Hanesbrands, Inc. | 190 | 2,905 | ||||||
NIKE, Inc., Class B | 255 | 23,916 | ||||||
PVH Corp. | 3 | 285 | ||||||
Ralph Lauren Corp., Class A | 2 | 223 | ||||||
Tapestry, Inc. | 12 | 315 | ||||||
Under Armour, Inc., Class A (a) | 9 | 175 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 — continued | ||||||||
Under Armour, Inc., Class C (a) | 4 | 77 | ||||||
VF Corp. | 124 | 11,024 | ||||||
|
| |||||||
39,945 | ||||||||
|
| |||||||
Auto Manufacturers— 0.1% | ||||||||
Ford Motor Co. | 142 | 1,304 | ||||||
General Motors Co. | 46 | 1,723 | ||||||
PACCAR, Inc. | 134 | 9,394 | ||||||
Tesla, Inc. (a) | 4 | 1,056 | ||||||
|
| |||||||
13,477 | ||||||||
|
| |||||||
Auto Parts & Equipment— 0.1% | ||||||||
Aptiv plc, (Ireland) | 10 | 836 | ||||||
Autoliv, Inc., (Sweden) | 43 | 3,384 | ||||||
BorgWarner, Inc. | 59 | 2,165 | ||||||
Goodyear Tire & Rubber Co. (The) | 157 | 2,259 | ||||||
Lear Corp. | 27 | 3,162 | ||||||
WABCO Holdings, Inc. (a) | 2 | 280 | ||||||
|
| |||||||
12,086 | ||||||||
|
| |||||||
Distribution/Wholesale— 0.2% | ||||||||
Copart, Inc. (a) | 8 | 615 | ||||||
Core-Mark Holding Co., Inc. | 3 | 108 | ||||||
Fastenal Co. | 237 | 7,747 | ||||||
HD Supply Holdings, Inc. (a) | 7 | 285 | ||||||
KAR Auction Services, Inc. | 94 | 2,312 | ||||||
LKQ Corp. (a) | 13 | 396 | ||||||
Pool Corp. | 3 | 600 | ||||||
WW Grainger, Inc. | 14 | 4,110 | ||||||
|
| |||||||
16,173 | ||||||||
|
| |||||||
Entertainment — 0.0%(g) | ||||||||
Live Nation Entertainment, Inc. (a) | 6 | 378 | ||||||
Marriott Vacations Worldwide Corp. | 4 | 453 | ||||||
Vail Resorts, Inc. | 2 | 358 | ||||||
|
| |||||||
1,189 | ||||||||
|
| |||||||
Food Service — 0.0%(g) | ||||||||
Aramark | 46 | 2,004 | ||||||
|
| |||||||
Home Builders— 0.1% | ||||||||
DR Horton, Inc. | 58 | 3,038 | ||||||
Lennar Corp., Class A | 11 | 598 | ||||||
NVR, Inc. (a) | — | (h) | 401 | |||||
PulteGroup, Inc. | 10 | 380 | ||||||
Thor Industries, Inc. | 10 | 549 | ||||||
|
| |||||||
4,966 | ||||||||
|
| |||||||
Home Furnishings— 0.1% | ||||||||
Leggett & Platt, Inc. | 64 | 2,611 | ||||||
Whirlpool Corp. | 34 | 5,380 | ||||||
|
| |||||||
7,991 | ||||||||
|
|
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | ||||||||
Housewares — 0.0%(g) | ||||||||
Newell Brands, Inc. | 15 | 288 | ||||||
Scotts Miracle-Gro Co. (The) | 6 | 629 | ||||||
Toro Co. (The) | 9 | 653 | ||||||
|
| |||||||
1,570 | ||||||||
|
| |||||||
Leisure Time— 0.1% | ||||||||
Brunswick Corp. | 10 | 546 | ||||||
Carnival Corp. | 16 | 690 | ||||||
Harley-Davidson, Inc. | 87 | 3,140 | ||||||
Norwegian Cruise Line Holdings Ltd. (a) | 8 | 433 | ||||||
Polaris, Inc. | 19 | 1,699 | ||||||
Royal Caribbean Cruises Ltd. | 68 | 7,373 | ||||||
|
| |||||||
13,881 | ||||||||
|
| |||||||
Lodging— 0.1% | ||||||||
Hilton Worldwide Holdings, Inc. | 10 | 936 | ||||||
Las Vegas Sands Corp. | 13 | 740 | ||||||
Marriott International, Inc., Class A | 67 | 8,365 | ||||||
MGM Resorts International | 19 | 532 | ||||||
Wyndham Destinations, Inc. | 47 | 2,167 | ||||||
Wyndham Hotels & Resorts, Inc. | 17 | 871 | ||||||
Wynn Resorts Ltd. | 3 | 327 | ||||||
|
| |||||||
13,938 | ||||||||
|
| |||||||
Office Furnishings — 0.0%(g) | ||||||||
Herman Miller, Inc. | — | (h) | 15 | |||||
HNI Corp. | 2 | 65 | ||||||
|
| |||||||
80 | ||||||||
|
| |||||||
Retail— 3.9% | ||||||||
Advance Auto Parts, Inc. | 3 | 461 | ||||||
AutoZone, Inc. (a) | 1 | 897 | ||||||
Best Buy Co., Inc. | 104 | 7,181 | ||||||
Big Lots, Inc. | 2 | 50 | ||||||
Brinker International, Inc. | 3 | 143 | ||||||
Burlington Stores, Inc. (a) | 2 | 425 | ||||||
CarMax, Inc. (a) | 6 | 491 | ||||||
Cheesecake Factory, Inc. (The) | 3 | 140 | ||||||
Children’s Place, Inc. (The) | 1 | 71 | ||||||
Chipotle Mexican Grill, Inc., Class A (a) | 1 | 806 | ||||||
Costco Wholesale Corp. | 72 | 20,865 | ||||||
Cracker Barrel Old Country Store, Inc. | 7 | 1,063 | ||||||
Darden Restaurants, Inc. | 53 | 6,222 | ||||||
Dick’s Sporting Goods, Inc. | 22 | 890 | ||||||
Dollar General Corp. | 9 | 1,500 | ||||||
Dollar Tree, Inc. (a) | 9 | 992 | ||||||
Domino’s Pizza, Inc. | 5 | 1,168 | ||||||
Dunkin’ Brands Group, Inc. | 13 | 1,065 | ||||||
Foot Locker, Inc. | 51 | 2,221 | ||||||
Gap, Inc. (The) | 10 | 181 | ||||||
Genuine Parts Co. | 68 | 6,796 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | ||||||||
Retail —continued | ||||||||
Home Depot, Inc. (The) | 415 | 96,219 | ||||||
Kohl’s Corp. | 119 | 5,919 | ||||||
L Brands, Inc. | 9 | 181 | ||||||
Lithia Motors, Inc., Class A | 1 | 129 | ||||||
Lowe’s Cos., Inc. | 249 | 27,325 | ||||||
Lululemon Athletica, Inc., (Canada) (a) | 4 | 710 | ||||||
Macy’s, Inc. | 13 | 209 | ||||||
McDonald’s Corp. | 278 | 59,704 | ||||||
MSC Industrial Direct Co., Inc., Class A | 16 | 1,160 | ||||||
Nordstrom, Inc. | 6 | 187 | ||||||
Nu Skin Enterprises, Inc., Class A | 13 | 550 | ||||||
O’Reilly Automotive, Inc. (a) | 3 | 1,086 | ||||||
Penske Automotive Group, Inc. | 9 | 413 | ||||||
Qurate Retail, Inc., Class A (a) | 18 | 185 | ||||||
Ross Stores, Inc. | 59 | 6,525 | ||||||
Signet Jewelers Ltd. | 41 | 683 | ||||||
Starbucks Corp. | 324 | 28,641 | ||||||
Target Corp. | 197 | 21,109 | ||||||
Texas Roadhouse, Inc., Class A | 8 | 439 | ||||||
Tiffany & Co. | 35 | 3,210 | ||||||
TJX Cos., Inc. (The) | 338 | 18,829 | ||||||
Tractor Supply Co. | 20 | 1,782 | ||||||
Ulta Beauty, Inc. (a) | 2 | 460 | ||||||
Walgreens Boots Alliance, Inc. | 379 | 20,935 | ||||||
Walmart, Inc. | 435 | 51,673 | ||||||
Wendy’s Co. (The) | 19 | 385 | ||||||
Williams-Sonoma, Inc. | 21 | 1,441 | ||||||
Yum! Brands, Inc. | 78 | 8,874 | ||||||
|
| |||||||
412,591 | ||||||||
|
| |||||||
Storage/Warehousing — 0.0%(g) | ||||||||
Mobile Mini, Inc. | 1 | 23 | ||||||
|
| |||||||
Textiles — 0.0%(g) | ||||||||
Mohawk Industries, Inc. (a) | 3 | 310 | ||||||
|
| |||||||
Toys/Games/Hobbies — 0.1% | ||||||||
Hasbro, Inc. | 41 | 4,894 | ||||||
|
| |||||||
Total Consumer Cyclical | 567,216 | |||||||
|
| |||||||
ConsumerNon-cyclical — 29.4% | ||||||||
Agriculture — 0.2% | ||||||||
Altria Group, Inc. | 66 | 2,698 | ||||||
Archer-Daniels-Midland Co. | 298 | 12,248 | ||||||
Bunge Ltd. | 71 | 4,026 | ||||||
Philip Morris International, Inc. | 54 | 4,111 | ||||||
|
| |||||||
23,083 | ||||||||
|
|
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | ||||||||
Beverages— 6.8% | ||||||||
Brown-Forman Corp., Class A | 19 | 1,140 | ||||||
Brown-Forman Corp., Class B | 347 | 21,786 | ||||||
Coca-Cola Co. (The) | 5,999 | 326,562 | ||||||
Constellation Brands, Inc., Class A | 180 | 37,235 | ||||||
Molson Coors Brewing Co., Class B | 205 | 11,788 | ||||||
Monster Beverage Corp. (a) | 438 | 25,457 | ||||||
PepsiCo., Inc. | 2,084 | 285,736 | ||||||
|
| |||||||
709,704 | ||||||||
|
| |||||||
Biotechnology— 3.6% | ||||||||
Alexion Pharmaceuticals, Inc. (a) | 156 | 15,300 | ||||||
Alnylam Pharmaceuticals, Inc. (a) | 77 | 6,190 | ||||||
Amgen, Inc. | 683 | 132,201 | ||||||
Biogen, Inc. (a) | 135 | 31,421 | ||||||
BioMarin Pharmaceutical, Inc. (a) | 125 | 8,416 | ||||||
Celgene Corp. (a) | 491 | 48,710 | ||||||
Corteva, Inc. | 25 | 701 | ||||||
Exact Sciences Corp. (a) | 89 | 8,076 | ||||||
Gilead Sciences, Inc. | 884 | 56,047 | ||||||
Illumina, Inc. (a) | 5 | 1,599 | ||||||
Incyte Corp. (a) | 127 | 9,427 | ||||||
Ionis Pharmaceuticals, Inc. (a) | 92 | 5,510 | ||||||
Nektar Therapeutics, Class A (a) | 134 | 2,435 | ||||||
Regeneron Pharmaceuticals, Inc. (a) | 56 | 15,618 | ||||||
Seattle Genetics, Inc. (a) | 79 | 6,710 | ||||||
Vertex Pharmaceuticals, Inc. (a) | 178 | 30,176 | ||||||
|
| |||||||
378,537 | ||||||||
|
| |||||||
Commercial Services— 0.6% | ||||||||
ABM Industries, Inc. | 8 | 302 | ||||||
AMERCO | — | (h) | 168 | |||||
Automatic Data Processing, Inc. | 132 | 21,362 | ||||||
Booz Allen Hamilton Holding Corp., Class A | 17 | 1,192 | ||||||
Cintas Corp. | 12 | 3,097 | ||||||
CoStar Group, Inc. (a) | 1 | 727 | ||||||
Equifax, Inc. | 5 | 638 | ||||||
FleetCor Technologies, Inc. (a) | 3 | 890 | ||||||
Gartner, Inc. (a) | 3 | 489 | ||||||
Global Payments, Inc. | 11 | 1,696 | ||||||
H&R Block, Inc. | 9 | 205 | ||||||
Healthcare Services Group, Inc. | 11 | 266 | ||||||
IHS Markit Ltd., (United Kingdom) (a) | 14 | 936 | ||||||
Insperity, Inc. | 4 | 378 | ||||||
ManpowerGroup, Inc. | 22 | 1,813 | ||||||
MarketAxess Holdings, Inc. | 4 | 1,193 | ||||||
Moody’s Corp. | 31 | 6,366 | ||||||
Nielsen Holdings plc | 13 | 268 | ||||||
PayPal Holdings, Inc. (a) | 40 | 4,095 | ||||||
Robert Half International, Inc. | 29 | 1,624 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | ||||||||
Commercial Services—continued | ||||||||
Rollins, Inc. | 17 | 583 | ||||||
S&P Global, Inc. | 46 | 11,387 | ||||||
Sabre Corp. | 71 | 1,596 | ||||||
Service Corp. International | 31 | 1,505 | ||||||
Square, Inc., Class A (a) | 11 | 686 | ||||||
TransUnion | 7 | 562 | ||||||
United Rentals, Inc. (a) | 3 | 393 | ||||||
Verisk Analytics, Inc., Class A | 6 | 906 | ||||||
|
| |||||||
65,323 | ||||||||
|
| |||||||
Cosmetics/Personal Care — 1.5% | ||||||||
Colgate-Palmolive Co. | 310 | 22,787 | ||||||
Coty, Inc., Class A | 10 | 109 | ||||||
Estee Lauder Cos., Inc. (The), Class A | 35 | 6,950 | ||||||
Procter & Gamble Co. (The) | 985 | 122,489 | ||||||
|
| |||||||
152,335 | ||||||||
|
| |||||||
Food — 0.8% | ||||||||
Campbell Soup Co. | 6 | 278 | ||||||
Conagra Brands, Inc. | 17 | 524 | ||||||
General Mills, Inc. | 21 | 1,148 | ||||||
Hershey Co. (The) | 41 | 6,368 | ||||||
Hormel Foods Corp. | 71 | 3,126 | ||||||
Ingredion, Inc. | 23 | 1,889 | ||||||
JM Smucker Co. (The) | 50 | 5,512 | ||||||
Kellogg Co. | 125 | 8,056 | ||||||
Kraft Heinz Co. (The) | 23 | 644 | ||||||
Kroger Co. (The) | 315 | 8,109 | ||||||
Lamb Weston Holdings, Inc. | 5 | 330 | ||||||
Lancaster Colony Corp. | — | (h) | 18 | |||||
McCormick & Co., Inc. | 25 | 3,889 | ||||||
Mondelez International, Inc., Class A | 445 | 24,594 | ||||||
Sysco Corp. | 152 | 12,082 | ||||||
Tyson Foods, Inc., Class A | 84 | 7,254 | ||||||
|
| |||||||
83,821 | ||||||||
|
| |||||||
Healthcare - Products — 1.5% | ||||||||
Abbott Laboratories | 470 | 39,313 | ||||||
ABIOMED, Inc. (a) | 1 | 244 | ||||||
Align Technology, Inc. (a) | 2 | 444 | ||||||
Baxter International, Inc. | 86 | 7,560 | ||||||
Becton Dickinson & Co. | 56 | 14,093 | ||||||
Boston Scientific Corp. (a) | 49 | 1,999 | ||||||
Cooper Cos., Inc. (The) | 2 | 504 | ||||||
Danaher Corp. | 70 | 10,057 | ||||||
DENTSPLY SIRONA, Inc. | 21 | 1,138 | ||||||
Edwards Lifesciences Corp. (a) | 7 | 1,566 | ||||||
Henry Schein, Inc. (a) | 6 | 377 | ||||||
Hill-Rom Holdings, Inc. | 1 | 86 | ||||||
Hologic, Inc. (a) | 8 | 429 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 —continued | ||||||||
IDEXX Laboratories, Inc. (a) | 3 | 780 | ||||||
Intuitive Surgical, Inc. (a) | 4 | 2,193 | ||||||
Medtronic plc, (Ireland) | 448 | 48,677 | ||||||
Patterson Cos., Inc. | 28 | 498 | ||||||
ResMed, Inc. | 24 | 3,223 | ||||||
STERIS plc | 10 | 1,402 | ||||||
Stryker Corp. | 55 | 11,912 | ||||||
Teleflex, Inc. | 2 | 549 | ||||||
Thermo Fisher Scientific, Inc. | 14 | 4,130 | ||||||
Varian Medical Systems, Inc. (a) | 4 | 421 | ||||||
Zimmer Biomet Holdings, Inc. | 7 | 1,011 | ||||||
|
| |||||||
152,606 | ||||||||
|
| |||||||
Healthcare - Services — 0.9% | ||||||||
Anthem, Inc. | 53 | 12,787 | ||||||
Centene Corp. (a) | 15 | 657 | ||||||
DaVita, Inc. (a) | 4 | 254 | ||||||
Encompass Health Corp. | 12 | 777 | ||||||
HCA Healthcare, Inc. | 10 | 1,201 | ||||||
Humana, Inc. | 17 | 4,451 | ||||||
IQVIA Holdings, Inc. (a) | 6 | 921 | ||||||
Laboratory Corp. of America Holdings (a) | 4 | 625 | ||||||
Quest Diagnostics, Inc. | 37 | 4,007 | ||||||
UnitedHealth Group, Inc. | 288 | 62,631 | ||||||
Universal Health Services, Inc., Class B | 3 | 472 | ||||||
WellCare Health Plans, Inc. (a) | 2 | 458 | ||||||
|
| |||||||
89,241 | ||||||||
|
| |||||||
Household Products/Wares — 0.3% | ||||||||
Avery Dennison Corp. | 27 | 3,059 | ||||||
Church & Dwight Co., Inc. | 44 | 3,283 | ||||||
Clorox Co. (The) | 48 | 7,326 | ||||||
Kimberly-Clark Corp. | 160 | 22,777 | ||||||
Spectrum Brands Holdings, Inc. | — | (h) | 15 | |||||
WD-40 Co. | 1 | 112 | ||||||
|
| |||||||
36,572 | ||||||||
|
| |||||||
Pharmaceuticals — 13.2% | ||||||||
AbbVie, Inc. | 2,317 | 175,468 | ||||||
Alkermes plc, (Ireland) (a) | 107 | 2,093 | ||||||
Allergan plc | 250 | 42,125 | ||||||
AmerisourceBergen Corp., Class A | 40 | 3,281 | ||||||
Bristol-Myers Squibb Co. | 2,009 | 101,898 | ||||||
Cardinal Health, Inc. | 168 | 7,924 | ||||||
Cigna Corp. | 13 | 2,045 | ||||||
CVS Health Corp. | 46 | 2,919 | ||||||
DexCom, Inc. (a) | 3 | 477 | ||||||
Elanco Animal Health, Inc. (a) | 11 | 285 | ||||||
Eli Lilly & Co. | 649 | 72,548 | ||||||
Jazz Pharmaceuticals plc, (Ireland) (a) | 2 | 279 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | ||||||||
Pharmaceuticals —continued | ||||||||
Johnson & Johnson | 3,021 | 390,841 | ||||||
McKesson Corp. | 35 | 4,781 | ||||||
Merck & Co., Inc. | 2,932 | 246,845 | ||||||
Mylan NV (a) | 395 | 7,817 | ||||||
Perrigo Co. plc, (Ireland) | 122 | 6,838 | ||||||
Pfizer, Inc. | 7,267 | 261,111 | ||||||
Sarepta Therapeutics, Inc. (a) | 51 | 3,878 | ||||||
Zoetis, Inc., Class A | 395 | 49,204 | ||||||
|
| |||||||
1,382,657 | ||||||||
|
| |||||||
Total ConsumerNon-cyclical | 3,073,879 | |||||||
|
| |||||||
Energy— 9.8% | ||||||||
Oil & Gas— 8.4% | ||||||||
Apache Corp. | 279 | 7,142 | ||||||
Cabot Oil & Gas Corp. | 307 | 5,395 | ||||||
Chevron Corp. | 2,478 | 293,845 | ||||||
Cimarex Energy Co. | 74 | 3,569 | ||||||
Concho Resources, Inc. | 149 | 10,083 | ||||||
ConocoPhillips | 822 | 46,822 | ||||||
Continental Resources, Inc. (a) | 2 | 59 | ||||||
Devon Energy Corp. | 302 | 7,255 | ||||||
Diamondback Energy, Inc. | 120 | 10,767 | ||||||
EOG Resources, Inc. | 429 | 31,851 | ||||||
Exxon Mobil Corp. | 3,127 | 220,768 | ||||||
Helmerich & Payne, Inc. | 82 | 3,276 | ||||||
Hess Corp. | 191 | 11,565 | ||||||
HollyFrontier Corp. | 113 | 6,068 | ||||||
Marathon Oil Corp. | 597 | 7,319 | ||||||
Marathon Petroleum Corp. | 854 | 51,897 | ||||||
Noble Energy, Inc. | 352 | 7,898 | ||||||
Occidental Petroleum Corp. | 662 | 29,434 | ||||||
Parsley Energy, Inc., Class A | 8 | 127 | ||||||
Phillips 66 | 545 | 55,771 | ||||||
Pioneer Natural Resources Co. | 123 | 15,525 | ||||||
Valero Energy Corp. | 566 | 48,219 | ||||||
|
| |||||||
874,655 | ||||||||
|
| |||||||
Oil & Gas Services— 0.7% | ||||||||
Baker Hughes a GE Co., Class A | 477 | 11,057 | ||||||
Halliburton Co. | 650 | 12,245 | ||||||
National Oilwell Varco, Inc. | 287 | 6,087 | ||||||
Schlumberger Ltd. | 1,023 | 34,964 | ||||||
TechnipFMC plc, (United Kingdom) | 311 | 7,518 | ||||||
|
| |||||||
71,871 | ||||||||
|
| |||||||
Pipelines— 0.7% | ||||||||
Cheniere Energy, Inc. (a) | 7 | 467 | ||||||
Kinder Morgan, Inc. | 1,443 | 29,742 | ||||||
ONEOK, Inc. | 305 | 22,440 | ||||||
Plains GP Holdings LP, Class A (a) | 7 | 153 | ||||||
Targa Resources Corp. | 7 | 275 | ||||||
Williams Cos., Inc. (The) | 895 | 21,542 | ||||||
|
| |||||||
74,619 | ||||||||
|
| |||||||
Total Energy | 1,021,145 | |||||||
|
|
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | ||||||||
Financial — 10.3% | ||||||||
Banks — 5.8% | ||||||||
Associated Banc-Corp. | 204 | 4,132 | ||||||
Atlantic Union Bankshares Corp. | 90 | 3,350 | ||||||
BancFirst Corp. | 47 | 2,621 | ||||||
BancorpSouth Bank | 111 | 3,284 | ||||||
Bank of America Corp. | 2,960 | 86,354 | ||||||
Bank of New York Mellon Corp. (The) | 398 | 18,015 | ||||||
Bank OZK | 109 | 2,963 | ||||||
Banner Corp. | 11 | 645 | ||||||
BB&T Corp. | 452 | 24,099 | ||||||
BOK Financial Corp. | 42 | 3,288 | ||||||
Cathay General Bancorp | 107 | 3,701 | ||||||
CIT Group, Inc. | 5 | 205 | ||||||
Citigroup, Inc. | 82 | 5,649 | ||||||
Citizens Financial Group, Inc. | 346 | 12,235 | ||||||
Columbia Banking System, Inc. | 28 | 1,030 | ||||||
Comerica, Inc. | 134 | 8,859 | ||||||
Commerce Bancshares, Inc. | 64 | 3,891 | ||||||
Community Bank System, Inc. | 17 | 1,025 | ||||||
Cullen/Frost Bankers, Inc. | 57 | 5,010 | ||||||
CVB Financial Corp. | 157 | 3,286 | ||||||
East West Bancorp, Inc. | 6 | 271 | ||||||
Fifth Third Bancorp | 27 | 752 | ||||||
First Busey Corp. | 112 | 2,837 | ||||||
First Financial Bankshares, Inc. | 101 | 3,369 | ||||||
First Horizon National Corp. | 309 | 4,998 | ||||||
First Interstate BancSystem, Inc., Class A | 76 | 3,056 | ||||||
First Merchants Corp. | 88 | 3,297 | ||||||
First Midwest Bancorp, Inc. | 34 | 668 | ||||||
First Republic Bank | 52 | 5,021 | ||||||
Glacier Bancorp, Inc. | 30 | 1,214 | ||||||
Goldman Sachs Group, Inc. (The) | 135 | 27,968 | ||||||
Home BancShares, Inc. | 188 | 3,542 | ||||||
Hope Bancorp, Inc. | 69 | 991 | ||||||
Huntington Bancshares, Inc. | 784 | 11,186 | ||||||
Independent Bank Corp. | 12 | 860 | ||||||
Independent Bank Group, Inc. | 55 | 2,889 | ||||||
KeyCorp. | 767 | 13,684 | ||||||
LegacyTexas Financial Group, Inc. | 71 | 3,108 | ||||||
M&T Bank Corp. | 5 | 763 | ||||||
Morgan Stanley | 681 | 29,070 | ||||||
NBT Bancorp, Inc. | 17 | 620 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | ||||||||
Banks — continued | ||||||||
Northern Trust Corp. | 93 | 8,720 | ||||||
PNC Financial Services Group, Inc. (The) | 233 | 32,589 | ||||||
Prosperity Bancshares, Inc. | 57 | 4,055 | ||||||
Regions Financial Corp. | 691 | 10,928 | ||||||
S&T Bancorp, Inc. | 14 | 502 | ||||||
ServisFirst Bancshares, Inc. | 87 | 2,879 | ||||||
Signature Bank | 2 | 271 | ||||||
Simmons First National Corp., Class A | 34 | 859 | ||||||
South State Corp. | 42 | 3,178 | ||||||
State Street Corp. | 196 | 11,573 | ||||||
SunTrust Banks, Inc. | 263 | 18,127 | ||||||
SVB Financial Group (a) | 2 | 426 | ||||||
TCF Financial Corp. | 127 | 4,840 | ||||||
Towne Bank | 114 | 3,177 | ||||||
UMB Financial Corp. | 48 | 3,081 | ||||||
United Community Banks, Inc. | 3 | 91 | ||||||
US Bancorp | 661 | 36,606 | ||||||
Webster Financial Corp. | 96 | 4,485 | ||||||
Wells Fargo & Co. | 2,601 | 131,206 | ||||||
WesBanco, Inc. | 92 | 3,426 | ||||||
Westamerica Bancorporation | 10 | 645 | ||||||
Wintrust Financial Corp. | 51 | 3,280 | ||||||
Zions Bancorp NA | 144 | 6,431 | ||||||
|
| |||||||
605,181 | ||||||||
|
| |||||||
Diversified Financial Services — 1.9% | ||||||||
Affiliated Managers Group, Inc. | 2 | 198 | ||||||
Air Lease Corp., Class A | 2 | 91 | ||||||
Alliance Data Systems Corp. | 2 | 253 | ||||||
Ally Financial, Inc. | 15 | 507 | ||||||
American Express Co. | 175 | 20,717 | ||||||
Ameriprise Financial, Inc. | 59 | 8,640 | ||||||
BlackRock, Inc., Class A | 56 | 24,782 | ||||||
Capital One Financial Corp. | 17 | 1,546 | ||||||
Cboe Global Markets, Inc. | 4 | 492 | ||||||
Charles Schwab Corp. (The) | 43 | 1,813 | ||||||
CME Group, Inc., Class A | 94 | 19,777 | ||||||
Discover Financial Services | 124 | 10,081 | ||||||
E*TRADE Financial Corp. | 10 | 418 | ||||||
Eaton Vance Corp. | 42 | 1,900 | ||||||
Evercore, Inc., Class A | 10 | 809 | ||||||
Franklin Resources, Inc. | 180 | 5,186 | ||||||
Intercontinental Exchange, Inc. | 139 | 12,826 | ||||||
Invesco Ltd. | 16 | 278 | ||||||
Jefferies Financial Group, Inc. | 11 | 207 | ||||||
Mastercard, Inc., Class A | 103 | 28,075 | ||||||
Nasdaq, Inc. | 41 | 4,025 | ||||||
Raymond James Financial, Inc. | 41 | 3,404 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | ||||||||
Diversified Financial Services — continued | ||||||||
SEI Investments Co. | 18 | 1,054 | ||||||
Synchrony Financial | 23 | 797 | ||||||
T Rowe Price Group, Inc. | 110 | 12,551 | ||||||
TD Ameritrade Holding Corp. | 112 | 5,241 | ||||||
Visa, Inc., Class A | 217 | 37,280 | ||||||
Western Union Co. (The) | 17 | 394 | ||||||
|
| |||||||
203,342 | ||||||||
|
| |||||||
Insurance — 2.2% | ||||||||
Aflac, Inc. | 291 | 15,219 | ||||||
Alleghany Corp. (a) | 1 | 444 | ||||||
Allstate Corp. (The) | 125 | 13,621 | ||||||
American Financial Group, Inc. | 15 | 1,622 | ||||||
American International Group, Inc. | 31 | 1,745 | ||||||
Aon plc, (United Kingdom) | 44 | 8,427 | ||||||
Arch Capital Group Ltd., (Bermuda) (a) | 15 | 641 | ||||||
Arthur J Gallagher & Co. | 52 | 4,691 | ||||||
Assurant, Inc. | 21 | 2,644 | ||||||
Assured Guaranty Ltd., (Bermuda) | 10 | 460 | ||||||
Athene Holding Ltd., (Bermuda), Class A (a) | 7 | 282 | ||||||
AXA Equitable Holdings, Inc. | 12 | 273 | ||||||
Axis Capital Holdings Ltd., (Bermuda) | 22 | 1,494 | ||||||
Berkshire Hathaway, Inc., Class B (a) | 46 | 9,524 | ||||||
Brighthouse Financial, Inc. (a) | 5 | 197 | ||||||
Brown & Brown, Inc. | 11 | 391 | ||||||
Chubb Ltd., (Switzerland) | 154 | 24,919 | ||||||
Cincinnati Financial Corp. | 56 | 6,531 | ||||||
CNO Financial Group, Inc. | 19 | 296 | ||||||
Erie Indemnity Co., Class A | 5 | 848 | ||||||
Everest Re Group Ltd., (Bermuda) | 14 | 3,754 | ||||||
FBL Financial Group, Inc., Class A | 5 | 291 | ||||||
Fidelity National Financial, Inc. | 141 | 6,273 | ||||||
First American Financial Corp. | 37 | 2,183 | ||||||
Globe Life, Inc. | 20 | 1,872 | ||||||
Hanover Insurance Group, Inc. (The) | 5 | 705 | ||||||
Hartford Financial Services Group, Inc. (The) | 151 | 9,144 | ||||||
Lincoln National Corp. | 78 | 4,710 | ||||||
Loews Corp. | 11 | 543 | ||||||
Markel Corp. (a) | 1 | 619 | ||||||
Marsh & McLennan Cos., Inc. | 159 | 15,862 | ||||||
MetLife, Inc. | 578 | 27,261 | ||||||
Old Republic International Corp. | 161 | 3,795 | ||||||
Primerica, Inc. | 1 | 139 | ||||||
Principal Financial Group, Inc. | 11 | 606 | ||||||
Progressive Corp. (The) | 21 | 1,627 | ||||||
Prudential Financial, Inc. | 305 | 27,475 | ||||||
Reinsurance Group of America, Inc., Class A | 29 | 4,583 | ||||||
RenaissanceRe Holdings Ltd., (Bermuda) | 5 | 932 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | ||||||||
RLI Corp. | 1 | 100 | ||||||
Travelers Cos., Inc. (The) | 110 | 16,381 | ||||||
Unum Group | 121 | 3,610 | ||||||
Voya Financial, Inc. | 6 | 321 | ||||||
Willis Towers Watson plc, (United Kingdom) | 5 | 874 | ||||||
WR Berkley Corp. | 24 | 1,725 | ||||||
|
| |||||||
229,654 | ||||||||
|
| |||||||
Private Equity — 0.0%(g) | ||||||||
Kennedy-Wilson Holdings, Inc. | 34 | 755 | ||||||
KKR & Co., Inc., Class A | 19 | 507 | ||||||
|
| |||||||
1,262 | ||||||||
|
| |||||||
Real Estate — 0.0%(g) | ||||||||
CBRE Group, Inc., Class A (a) | 12 | 638 | ||||||
Jones Lang LaSalle, Inc. | 5 | 645 | ||||||
|
| |||||||
1,283 | ||||||||
|
| |||||||
REITS — 0.3% | ||||||||
AGNC Investment Corp. | 21 | 341 | ||||||
Alexandria Real Estate Equities, Inc. | 4 | 610 | ||||||
American Tower Corp. | 15 | 3,384 | ||||||
Annaly Capital Management, Inc. | 51 | 449 | ||||||
AvalonBay Communities, Inc. | 5 | 1,072 | ||||||
Boston Properties, Inc. | 5 | 664 | ||||||
Camden Property Trust | 3 | 334 | ||||||
Crown Castle International Corp. | 15 | 2,017 | ||||||
Digital Realty Trust, Inc. | 7 | 923 | ||||||
Duke Realty Corp. | 11 | 385 | ||||||
Equinix, Inc. | 3 | 1,674 | ||||||
Equity LifeStyle Properties, Inc. | 3 | 359 | ||||||
Equity Residential | 13 | 1,144 | ||||||
Essex Property Trust, Inc. | 2 | 750 | ||||||
Extra Space Storage, Inc. | 4 | 522 | ||||||
Federal Realty Investment Trust | 3 | 361 | ||||||
HCP, Inc. | 18 | 631 | ||||||
Host Hotels & Resorts, Inc. | 28 | 488 | ||||||
Invitation Homes, Inc. | 16 | 465 | ||||||
Iron Mountain, Inc. | 10 | 330 | ||||||
Kimco Realty Corp. | 13 | 265 | ||||||
Liberty Property Trust | 5 | 271 | ||||||
Macerich Co. (The) | 2 | 79 | ||||||
Mid-America Apartment Communities, Inc. | 4 | 521 | ||||||
National Retail Properties, Inc. | 6 | 326 | ||||||
Prologis, Inc. | 22 | 1,909 | ||||||
Public Storage | 6 | 1,378 | ||||||
Realty Income Corp. | 11 | 847 | ||||||
Regency Centers Corp. | 5 | 363 | ||||||
SBA Communications Corp., Class A | 4 | 951 | ||||||
Simon Property Group, Inc. | 11 | 1,689 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | ||||||||
REITS — continued | ||||||||
SL Green Realty Corp. | 3 | 222 | ||||||
Sun Communities, Inc. | 3 | 474 | ||||||
UDR, Inc. | 10 | 480 | ||||||
Ventas, Inc. | 13 | 940 | ||||||
VEREIT, Inc. | 35 | 338 | ||||||
Vornado Realty Trust | 6 | 387 | ||||||
Welltower, Inc. | 14 | 1,260 | ||||||
Weyerhaeuser Co. | 27 | 760 | ||||||
WP Carey, Inc. | 6 | 535 | ||||||
|
| |||||||
30,898 | ||||||||
|
| |||||||
Savings & Loans — 0.1% | ||||||||
Investors Bancorp, Inc. | 337 | 3,824 | ||||||
Northwest Bancshares, Inc. | 55 | 905 | ||||||
People’s United Financial, Inc. | 17 | 262 | ||||||
Provident Financial Services, Inc. | 78 | 1,923 | ||||||
Washington Federal, Inc. | 92 | 3,417 | ||||||
WSFS Financial Corp. | 24 | 1,047 | ||||||
|
| |||||||
11,378 | ||||||||
|
| |||||||
Total Financial | 1,082,998 | |||||||
|
| |||||||
Industrial — 6.7% | ||||||||
Aerospace/Defense — 2.0% | ||||||||
Arconic, Inc. | 16 | 407 | ||||||
Boeing Co. (The) | 179 | 68,286 | ||||||
General Dynamics Corp. | 91 | 16,654 | ||||||
HEICO Corp. | 2 | 223 | ||||||
HEICO Corp., Class A | 3 | 292 | ||||||
L3Harris Technologies, Inc. | 48 | 10,057 | ||||||
Lockheed Martin Corp. | 92 | 35,887 | ||||||
Northrop Grumman Corp. | 41 | 15,356 | ||||||
Raytheon Co. | 87 | 17,102 | ||||||
Spirit AeroSystems Holdings, Inc., Class A | 4 | 345 | ||||||
TransDigm Group, Inc. | 2 | 901 | ||||||
United Technologies Corp. | 286 | 39,099 | ||||||
|
| |||||||
204,609 | ||||||||
|
| |||||||
Building Materials — 0.3% | ||||||||
Fortune Brands Home & Security, Inc. | 25 | 1,393 | ||||||
Johnson Controls International plc | 331 | 14,537 | ||||||
Lennox International, Inc. | 5 | 1,122 | ||||||
Martin Marietta Materials, Inc. | 2 | 636 | ||||||
Masco Corp. | 58 | 2,426 | ||||||
MDU Resources Group, Inc. | 56 | 1,584 | ||||||
Owens Corning | 27 | 1,683 | ||||||
Simpson Manufacturing Co., Inc. | 1 | 92 | ||||||
Vulcan Materials Co. | 19 | 2,898 | ||||||
|
| |||||||
26,371 | ||||||||
|
|
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | ||||||||
Electrical Components & Equipments — 0.2% | ||||||||
Acuity Brands, Inc. | 2 | 233 | ||||||
AMETEK, Inc. | 9 | 782 | ||||||
Emerson Electric Co. | 324 | 21,651 | ||||||
Hubbell, Inc., Class B | 15 | 2,028 | ||||||
|
| |||||||
24,694 | ||||||||
|
| |||||||
Electronics — 0.6% | ||||||||
Agilent Technologies, Inc. | 12 | 897 | ||||||
Allegion plc, (Ireland) | 10 | 1,085 | ||||||
Amphenol Corp., Class A | 48 | 4,622 | ||||||
Arrow Electronics, Inc. (a) | 4 | 266 | ||||||
Brady Corp., Class A | 4 | 190 | ||||||
Flex Ltd. (a) | 22 | 234 | ||||||
FLIR Systems, Inc. | 16 | 820 | ||||||
Fortive Corp. | 11 | 769 | ||||||
Garmin Ltd., (Switzerland) | 5 | 433 | ||||||
Gentex Corp. | 54 | 1,476 | ||||||
Honeywell International, Inc. | 239 | 40,430 | ||||||
Keysight Technologies, Inc. (a) | 7 | 641 | ||||||
Mettler-Toledo International, Inc. (a) | 1 | 574 | ||||||
National Instruments Corp. | 20 | 834 | ||||||
nVent Electric plc, (United Kingdom) | 37 | 825 | ||||||
PerkinElmer, Inc. | 4 | 371 | ||||||
Sensata Technologies Holding plc (a) | 5 | 244 | ||||||
SYNNEX Corp. | 3 | 347 | ||||||
TE Connectivity Ltd., (Switzerland) | 111 | 10,353 | ||||||
Trimble, Inc. (a) | 8 | 300 | ||||||
Waters Corp. (a) | 2 | 520 | ||||||
|
| |||||||
66,231 | ||||||||
|
| |||||||
Engineering & Construction — 0.0%(g) | ||||||||
Fluor Corp. | 7 | 142 | ||||||
Jacobs Engineering Group, Inc. | 5 | 486 | ||||||
|
| |||||||
628 | ||||||||
|
| |||||||
Environmental Control — 0.2% | ||||||||
Pentair plc, (United Kingdom) | 32 | 1,225 | ||||||
Republic Services, Inc., Class A | 75 | 6,472 | ||||||
Tetra Tech, Inc. | 1 | 71 | ||||||
Waste Connections, Inc. | 10 | 895 | ||||||
Waste Management, Inc. | 133 | 15,311 | ||||||
|
| |||||||
23,974 | ||||||||
|
| |||||||
Hand/Machine Tools — 0.1% | ||||||||
Lincoln Electric Holdings, Inc. | 11 | 977 | ||||||
MSA Safety, Inc. | 1 | 136 | ||||||
Regal Beloit Corp. | 3 | 234 | ||||||
Snap-on, Inc. | 18 | 2,753 | ||||||
Stanley Black & Decker, Inc. | 48 | 6,961 | ||||||
|
| |||||||
11,061 | ||||||||
|
| |||||||
Machinery - Construction & Mining — 0.4% | ||||||||
BWX Technologies, Inc. | 4 | 218 | ||||||
Caterpillar, Inc. | 286 | 36,065 | ||||||
Oshkosh Corp. | 8 | 632 | ||||||
|
| |||||||
36,915 | ||||||||
|
|
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | ||||||||
Machinery - Diversified — 0.4% | ||||||||
AGCO Corp. | 10 | 748 | ||||||
Cognex Corp. | 5 | 250 | ||||||
Cummins, Inc. | 80 | 12,934 | ||||||
Deere & Co. | 11 | 1,830 | ||||||
Dover Corp. | 46 | 4,572 | ||||||
Flowserve Corp. | 6 | 261 | ||||||
Graco, Inc. | 17 | 804 | ||||||
IDEX Corp. | 12 | 1,910 | ||||||
Middleby Corp. (The) (a) | 2 | 240 | ||||||
Nordson Corp. | 3 | 411 | ||||||
Rockwell Automation, Inc. | 47 | 7,694 | ||||||
Roper Technologies, Inc. | 11 | 4,062 | ||||||
Wabtec Corp. | 17 | 1,190 | ||||||
Xylem, Inc. | 29 | 2,307 | ||||||
|
| |||||||
39,213 | ||||||||
|
| |||||||
Metal Fabricate/Hardware — 0.0%(g) | ||||||||
Timken Co. (The) | 9 | 403 | ||||||
Worthington Industries, Inc. | 3 | 113 | ||||||
|
| |||||||
516 | ||||||||
|
| |||||||
Miscellaneous Manufacturers — 1.0% | ||||||||
3M Co. | 306 | 50,240 | ||||||
AO Smith Corp. | 30 | 1,430 | ||||||
AptarGroup, Inc. | 5 | 588 | ||||||
Carlisle Cos., Inc. | 9 | 1,237 | ||||||
Donaldson Co., Inc. | 16 | 831 | ||||||
Eaton Corp. plc | 239 | 19,853 | ||||||
General Electric Co. | 311 | 2,782 | ||||||
Hillenbrand, Inc. | 2 | 65 | ||||||
Illinois Tool Works, Inc. | 132 | 20,601 | ||||||
Ingersoll-Rand plc | 74 | 9,067 | ||||||
ITT, Inc. | 1 | 35 | ||||||
Parker-Hannifin Corp. | 5 | 854 | ||||||
Textron, Inc. | 9 | 445 | ||||||
Trinity Industries, Inc. | 44 | 873 | ||||||
|
| |||||||
108,901 | ||||||||
|
| |||||||
Packaging & Containers — 0.3% | ||||||||
Amcor plc, (United Kingdom) | 1,152 | 11,235 | ||||||
Ball Corp. | 11 | 837 | ||||||
Crown Holdings, Inc. (a) | 5 | 351 | ||||||
Matthews International Corp., Class A | 1 | 34 | ||||||
Packaging Corp. of America | 45 | 4,779 | ||||||
Sealed Air Corp. | 6 | 267 | ||||||
Silgan Holdings, Inc. | 10 | 292 | ||||||
Sonoco Products Co. | 39 | 2,266 | ||||||
WestRock Co. | 192 | 7,014 | ||||||
|
| |||||||
27,075 | ||||||||
|
|
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | ||||||||
Shipbuilding — 0.0%(g) | ||||||||
Huntington Ingalls Industries, Inc. | 8 | 1,633 | ||||||
|
| |||||||
Transportation — 1.2% | ||||||||
CH Robinson Worldwide, Inc. | 51 | 4,356 | ||||||
CSX Corp. | 186 | 12,852 | ||||||
Expeditors International of Washington, Inc. | 36 | 2,679 | ||||||
FedEx Corp. | 66 | 9,564 | ||||||
JB Hunt Transport Services, Inc. | 14 | 1,522 | ||||||
Kansas City Southern | 18 | 2,413 | ||||||
Knight-Swift Transportation Holdings, Inc., Class A | 6 | 211 | ||||||
Norfolk Southern Corp. | 10 | 1,713 | ||||||
Old Dominion Freight Line, Inc. | 3 | 426 | ||||||
Ryder System, Inc. | 27 | 1,392 | ||||||
Union Pacific Corp. | 269 | 43,628 | ||||||
United Parcel Service, Inc., Class B | 343 | 41,144 | ||||||
XPO Logistics, Inc. (a) | 4 | 315 | ||||||
|
| |||||||
122,215 | ||||||||
|
| |||||||
Trucking & Leasing — 0.0% (g) | ||||||||
GATX Corp. | 3 | 245 | ||||||
|
| |||||||
Total Industrial | 694,281 | |||||||
|
| |||||||
Technology — 15.9% | ||||||||
Computers — 2.2% | ||||||||
Accenture plc, (Ireland), Class A | 166 | 31,946 | ||||||
Apple, Inc. | 788 | 176,520 | ||||||
Cognizant Technology Solutions Corp., Class A | 21 | 1,247 | ||||||
Dell Technologies, Inc., Class C (a) | 5 | 271 | ||||||
DXC Technology Co. | 11 | 310 | ||||||
EPAM Systems, Inc. (a) | 2 | 331 | ||||||
Fortinet, Inc. (a) | 89 | 6,865 | ||||||
Hewlett Packard Enterprise Co. | 51 | 771 | ||||||
HP, Inc. | 55 | 1,045 | ||||||
International Business Machines Corp. | 31 | 4,568 | ||||||
Leidos Holdings, Inc. | 5 | 455 | ||||||
NetApp, Inc. | 115 | 6,051 | ||||||
Seagate Technology plc | 8 | 431 | ||||||
Western Digital Corp. | 10 | 583 | ||||||
|
| |||||||
231,394 | ||||||||
|
| |||||||
Office/Business Equipment — 0.0% (g) | ||||||||
Xerox Holdings Corp. | 83 | 2,484 | ||||||
Zebra Technologies Corp., Class A (a) | 2 | 348 | ||||||
|
| |||||||
2,832 | ||||||||
|
|
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | ||||||||
Semiconductors — 1.8% | ||||||||
Advanced Micro Devices, Inc. (a) | 36 | 1,037 | ||||||
Analog Devices, Inc. | 115 | 12,883 | ||||||
Applied Materials, Inc. | 34 | 1,692 | ||||||
Broadcom, Inc. | 216 | 59,609 | ||||||
Intel Corp. | 158 | 8,136 | ||||||
IPG Photonics Corp. (a) | 1 | 135 | ||||||
KLA Corp. | 50 | 8,038 | ||||||
Lam Research Corp. | 47 | 10,900 | ||||||
Marvell Technology Group Ltd. | 20 | 511 | ||||||
Maxim Integrated Products, Inc. | 129 | 7,453 | ||||||
Microchip Technology, Inc. | 57 | 5,273 | ||||||
Micron Technology, Inc. (a) | 40 | 1,710 | ||||||
MKS Instruments, Inc. | 3 | 291 | ||||||
NVIDIA Corp. | 50 | 8,680 | ||||||
ON Semiconductor Corp. (a) | 16 | 316 | ||||||
Qorvo, Inc. (a) | 5 | 356 | ||||||
QUALCOMM, Inc. | 42 | 3,225 | ||||||
Skyworks Solutions, Inc. | 51 | 4,077 | ||||||
Texas Instruments, Inc. | 372 | 48,033 | ||||||
Xilinx, Inc. | 57 | 5,507 | ||||||
|
| |||||||
187,862 | ||||||||
|
| |||||||
Software — 11.9% | ||||||||
Activision Blizzard, Inc. | 96 | 5,080 | ||||||
Adobe, Inc. (a) | 305 | 84,274 | ||||||
Akamai Technologies, Inc. (a) | 6 | 558 | ||||||
ANSYS, Inc. (a) | 53 | 11,695 | ||||||
Autodesk, Inc. (a) | 138 | 20,372 | ||||||
Broadridge Financial Solutions, Inc. | 30 | 3,728 | ||||||
Cadence Design Systems, Inc. (a) | 176 | 11,632 | ||||||
CDK Global, Inc. | 3 | 168 | ||||||
Cerner Corp. | 12 | 805 | ||||||
Citrix Systems, Inc. | 78 | 7,529 | ||||||
DocuSign, Inc., Class A (a) | 3 | 170 | ||||||
Dropbox, Inc., Class A (a) | 4 | 88 | ||||||
Electronic Arts, Inc. (a) | 10 | 1,016 | ||||||
Fidelity National Information Services, Inc. | 109 | 14,532 | ||||||
Fiserv, Inc. (a) | 20 | 2,107 | ||||||
Intuit, Inc. | 187 | 49,660 | ||||||
j2 Global, Inc. | 6 | 580 | ||||||
Jack Henry & Associates, Inc. | 10 | 1,511 | ||||||
Microsoft Corp. | 5,823 | 809,640 | ||||||
MongoDB, Inc., Class A (a) | 2 | 182 | ||||||
MSCI, Inc., Class A | 18 | 3,896 | ||||||
Oracle Corp. | 1,999 | 109,988 | ||||||
Paychex, Inc. | 12 | 966 | ||||||
Paycom Software, Inc. (a) | 2 | 330 | ||||||
PTC, Inc. (a) | 3 | 238 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | ||||||||
Software — continued | ||||||||
salesforce.com, Inc. (a) | 549 | 81,555 | ||||||
ServiceNow, Inc. (a) | 6 | 1,630 | ||||||
Splunk, Inc. (a) | 5 | 620 | ||||||
SS&C Technologies Holdings, Inc. | 7 | 384 | ||||||
Synopsys, Inc. (a) | 95 | 12,988 | ||||||
Take-Two Interactive Software, Inc. (a) | 4 | 460 | ||||||
Twilio, Inc., Class A (a) | 4 | 400 | ||||||
Veeva Systems, Inc., Class A (a) | 4 | 682 | ||||||
VMware, Inc., Class A | 3 | 478 | ||||||
Workday, Inc., Class A (a) | 6 | 958 | ||||||
|
| |||||||
1,240,900 | ||||||||
|
| |||||||
Total Technology | 1,662,988 | |||||||
|
| |||||||
Utilities — 2.5% | ||||||||
Electric — 2.2% | ||||||||
AES Corp. | 340 | 5,562 | ||||||
ALLETE, Inc. | 12 | 1,028 | ||||||
Alliant Energy Corp. | 87 | 4,690 | ||||||
Ameren Corp. | 8 | 667 | ||||||
American Electric Power Co., Inc. | 250 | 23,406 | ||||||
Avista Corp. | 15 | 748 | ||||||
Black Hills Corp. | 11 | 868 | ||||||
CenterPoint Energy, Inc. | 279 | 8,409 | ||||||
CMS Energy Corp. | 110 | 7,052 | ||||||
Consolidated Edison, Inc. | 191 | 18,074 | ||||||
Dominion Energy, Inc. | 28 | 2,294 | ||||||
DTE Energy Co. | 95 | 12,661 | ||||||
Duke Energy Corp. | 26 | 2,464 | ||||||
Edison International | 12 | 892 | ||||||
El Paso Electric Co. | 3 | 190 | ||||||
Entergy Corp. | 7 | 812 | ||||||
Evergy, Inc. | 101 | 6,701 | ||||||
Eversource Energy | 157 | 13,425 | ||||||
Exelon Corp. | 35 | 1,672 | ||||||
FirstEnergy Corp. | 18 | 853 | ||||||
IDACORP, Inc. | 10 | 1,161 | ||||||
MGE Energy, Inc. | — (h) | 3 | ||||||
NextEra Energy, Inc. | 183 | 42,578 | ||||||
NorthWestern Corp. | 13 | 968 | ||||||
NRG Energy, Inc. | 9 | 344 | ||||||
OGE Energy Corp. | 85 | 3,866 | ||||||
Otter Tail Corp. | 2 | 99 | ||||||
Pinnacle West Capital Corp. | 47 | 4,526 | ||||||
PNM Resources, Inc. | 12 | 643 | ||||||
Portland General Electric Co. | 23 | 1,271 | ||||||
PPL Corp. | 26 | 828 | ||||||
Public Service Enterprise Group, Inc. | 257 | 15,933 | ||||||
Sempra Energy | 121 | 17,857 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | ||||||||
Electric — continued | ||||||||
Southern Co. (The) | 37 | 2,264 | ||||||
Vistra Energy Corp. | 14 | 384 | ||||||
WEC Energy Group, Inc. | 137 | 13,036 | ||||||
Xcel Energy, Inc. | 245 | 15,914 | ||||||
|
| |||||||
234,143 | ||||||||
|
| |||||||
Gas — 0.2% | ||||||||
Atmos Energy Corp. | 30 | 3,383 | ||||||
National Fuel Gas Co. | 29 | 1,377 | ||||||
New Jersey Resources Corp. | 17 | 776 | ||||||
NiSource, Inc. | 135 | 4,040 | ||||||
South Jersey Industries, Inc. | 24 | 784 | ||||||
Southwest Gas Holdings, Inc. | 11 | 962 | ||||||
Spire, Inc. | 12 | 1,022 | ||||||
UGI Corp. | 72 | 3,607 | ||||||
|
| |||||||
15,951 | ||||||||
|
| |||||||
Water — 0.1% | ||||||||
American Water Works Co., Inc. | 43 | 5,327 | ||||||
Aqua America, Inc. | 53 | 2,356 | ||||||
|
| |||||||
7,683 | ||||||||
|
| |||||||
Total Utilities | 257,777 | |||||||
|
| |||||||
Total Common Stocks (Cost $9,990,469) | 10,446,287 | |||||||
|
| |||||||
PRINCIPAL | ||||||||
Short-Term Investments — 0.2% | ||||||||
Time Deposits — 0.2% | ||||||||
Australia & New Zealand Banking Group Ltd., 1.25%, 10/01/2019 | 5,924 | 5,924 | ||||||
Barclays SA, 1.25%, 10/01/2019 | 1,112 | 1,112 | ||||||
BNP Paribas SA, 1.25%, 10/01/2019 | 6,621 | 6,621 | ||||||
Citibank NA, 1.25%, 10/01/2019 | 3,527 | 3,527 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $17,184) | 17,184 | |||||||
|
| |||||||
Total Investments — 100.0% (Cost $10,007,653)* | 10,463,471 | |||||||
Other Assets in Excess of Liabilities — 0.0% (g) | 4,711 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 10,468,182 | ||||||
|
|
Percentages indicated are based on net assets.
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Futures contracts outstanding as of September 30, 2019:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||
Long Contracts |
| |||||||||||
E-mini Russell 2000 Index | 1 | 12/2019 | USD | 77 | (1 | ) | ||||||
NASDAQ 100E-mini Index | 12 | 12/2019 | USD | 1,899 | (35 | ) | ||||||
S&P 500E-mini Index | 102 | 12/2019 | USD | 15,348 | (157 | ) | ||||||
S&P MidCap 400E-mini Index | 3 | 12/2019 | USD | 590 | (8 | ) | ||||||
|
| |||||||||||
Total unrealized appreciation (depreciation) | (201 | ) | ||||||||||
|
|
Six Circles U.S. Unconstrained Equity Fund
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019
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. | ||
* | — | The cost of securities is substantially the same for federal income tax purposes. | ||
USD | — | United States Dollar |
Six Circles U.S. Unconstrained Equity Fund
Summary of Investments by Industry, September 30, 2019
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
INDUSTRY | PERCENTAGE | ||||
Internet | 14.9 | % | |||
Pharmaceuticals | 13.2 | % | |||
Software | 11.9 | % | |||
Oil & Gas | 8.4 | % | |||
Beverages | 6.8 | % | |||
Banks | 5.8 | % | |||
Retail | 3.9 | % | |||
Biotechnology | 3.6 | % | |||
Telecommunications | 2.5 | % | |||
Electric | 2.2 | % | |||
Computers | 2.2 | % | |||
Insurance | 2.2 | % | |||
Aerospace/Defense | 2.0 | % | |||
Diversified Financial Services | 1.9 | % | |||
Semiconductors | 1.8 | % | |||
Healthcare - Products | 1.5 | % | |||
Cosmetics/Personal Care | 1.5 | % | |||
Media | 1.2 | % | |||
Transportation | 1.2 | % | |||
Miscellaneous Manufacturers | 1.0 | % | |||
Chemicals | 1.0 | % | |||
Others (Each less than 1.0%) | 9.1 | % | |||
Short-Term Investments | 0.2 | % |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks—98.6% | ||||||||
Australia— 0.2% | ||||||||
BHP Group plc | 340 | 7,264 | ||||||
MMG Ltd. (a) | 2,412 | 569 | ||||||
|
| |||||||
7,833 | ||||||||
|
| |||||||
Austria — 0.4% | ||||||||
ANDRITZ AG | 12 | 470 | ||||||
Erste Group Bank AG | 48 | 1,578 | ||||||
OMV AG | 256 | 13,737 | ||||||
Raiffeisen Bank International AG | 25 | 579 | ||||||
Verbund AG | 11 | 592 | ||||||
voestalpine AG | 18 | 420 | ||||||
|
| |||||||
17,376 | ||||||||
|
| |||||||
Belgium — 2.2% | ||||||||
Ageas | 28 | 1,569 | ||||||
Anheuser-Busch InBev SA | 962 | 91,528 | ||||||
Colruyt SA | 9 | 507 | ||||||
Groupe Bruxelles Lambert SA | 13 | 1,247 | ||||||
KBC Group NV | 40 | 2,610 | ||||||
Proximus SADP | 25 | 736 | ||||||
Solvay SA | 12 | 1,245 | ||||||
Telenet Group Holding NV | 7 | 333 | ||||||
UCB SA | 109 | 7,931 | ||||||
Umicore SA | 32 | 1,214 | ||||||
|
| |||||||
108,920 | ||||||||
|
| |||||||
Chile — 0.0% (g) | ||||||||
Antofagasta plc | 62 | 689 | ||||||
|
| |||||||
China — 1.5% | ||||||||
3SBio, Inc. (a) (e) | 1,308 | 2,163 | ||||||
51job, Inc., ADR (a) | 25 | 1,872 | ||||||
Baozun, Inc., ADR (a) | 42 | 1,804 | ||||||
BeiGene Ltd., ADR (a) | 37 | 4,479 | ||||||
China Aoyuan Group Ltd. | 1,226 | 1,389 | ||||||
China Conch Venture Holdings Ltd. | 1,646 | 6,087 | ||||||
China Medical System Holdings Ltd. | 1,426 | 1,694 | ||||||
China Oriental Group Co. Ltd. | 1,142 | 395 | ||||||
China Zhongwang Holdings Ltd. | 1,606 | 653 | ||||||
CIFI Holdings Group Co. Ltd. | 2,822 | 1,649 | ||||||
COSCO SHIPPING Energy Transportation Co. Ltd., Class H | 1,274 | 564 |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks — continued | ||||||||
China — continued | ||||||||
Future Land Development Holdings Ltd. | 1,854 | 1,618 | ||||||
GDS Holdings Ltd., ADR (a) | 61 | 2,451 | ||||||
Genscript Biotech Corp. (a) | 944 | 1,809 | ||||||
GOME Retail Holdings Ltd. (a) | 10,194 | 923 | ||||||
Greentown Service Group Co. Ltd. | 1,138 | 1,117 | ||||||
Haitian International Holdings Ltd. | 672 | 1,376 | ||||||
HengTen Networks Group Ltd. (a) | 22,932 | 348 | ||||||
Hua Hong Semiconductor Ltd. (e) | 465 | 926 | ||||||
Huaneng Renewables Corp. Ltd., Class H (bb) | 4,942 | 1,684 | ||||||
Inner Mongolia Yitai Coal Co. Ltd., Class B | 1,074 | 985 | ||||||
Kaisa Group Holdings Ltd. | 2,446 | 1,073 | ||||||
Kingdee International Software Group Co. Ltd. | 2,366 | 2,492 | ||||||
Kingsoft Corp. Ltd. (a) | 840 | 1,782 | ||||||
KWG Group Holdings Ltd. (a) | 1,323 | 1,160 | ||||||
Li Ning Co. Ltd. | 2,008 | 5,761 | ||||||
Luye Pharma Group Ltd. (e) | 1,173 | 837 | ||||||
Noah Holdings Ltd., ADR (a) | 31 | 903 | ||||||
Semiconductor Manufacturing International Corp. (a) | 3,119 | 3,900 | ||||||
Shandong Weigao Group Medical Polymer Co. Ltd., Class H | 2,064 | 2,126 | ||||||
Shui On Land Ltd. | 3,638 | 724 | ||||||
Sihuan Pharmaceutical Holdings Group Ltd. | 4,010 | 609 | ||||||
Sino-Ocean Group Holding Ltd. | 3,132 | 1,064 | ||||||
Sinotrans Ltd., Class H | 2,271 | 712 | ||||||
Sinotruk Hong Kong Ltd. | 689 | 1,022 | ||||||
SOHO China Ltd. | 2,081 | 595 | ||||||
Tong Ren Tang Technologies Co. Ltd., Class H | 660 | 600 | ||||||
Uni-President China Holdings Ltd. | 1,331 | 1,436 | ||||||
Xinyi Solar Holdings Ltd. | 3,286 | 1,974 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. | 2,674 | 1,859 | ||||||
Yihai International Holding Ltd. (a) | 476 | 2,829 | ||||||
Yuzhou Properties Co. Ltd. | 1,800 | 717 | ||||||
YY, Inc., ADR (a) | 59 | 3,307 | ||||||
Zhaojin Mining Industry Co. Ltd., Class H | 1,012 | 1,168 | ||||||
Zhongsheng Group Holdings Ltd. | 582 | 1,837 | ||||||
|
| |||||||
76,473 | ||||||||
|
| |||||||
Denmark — 2.4% | ||||||||
AP Moller - Maersk A/S, Class A | 1 | 644 | ||||||
AP Moller - Maersk A/S, Class B | 1 | 1,224 | ||||||
Carlsberg A/S, Class B | 135 | 19,936 | ||||||
Chr Hansen Holding A/S | 17 | 1,434 | ||||||
Coloplast A/S, Class B | 19 | 2,300 | ||||||
Danske Bank A/S | 102 | 1,418 | ||||||
Demant A/S (a) | 17 | 434 | ||||||
DSV A/S | 35 | 3,338 | ||||||
Genmab A/S (a) | 10 | 2,119 | ||||||
H Lundbeck A/S | 61 | 2,009 | ||||||
ISS A/S | 25 | 626 |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | ||||||||
Denmark — continued | ||||||||
Novo Nordisk A/S, Class B | 1,534 | 79,249 | ||||||
Novozymes A/S, Class B | 34 | 1,420 | ||||||
Orsted A/S (e) | 30 | 2,831 | ||||||
Pandora A/S | 17 | 672 | ||||||
Tryg A/S | 19 | 532 | ||||||
Vestas Wind Systems A/S | 30 | 2,356 | ||||||
|
| |||||||
122,542 | ||||||||
|
| |||||||
Finland — 0.6% | ||||||||
Elisa OYJ | 23 | 1,177 | ||||||
Fortum OYJ | 71 | 1,667 | ||||||
Kone OYJ, Class B | 55 | 3,114 | ||||||
Metso OYJ | 17 | 630 | ||||||
Neste OYJ | 68 | 2,249 | ||||||
Nokia OYJ | 907 | 4,582 | ||||||
Nokian Renkaat OYJ | 19 | 532 | ||||||
Nordea Bank Abp | 522 | 3,700 | ||||||
Orion OYJ, Class B | 87 | 3,248 | ||||||
Sampo OYJ, Class A | 71 | 2,835 | ||||||
Stora Enso OYJ, Class R | 95 | 1,147 | ||||||
UPM-Kymmene OYJ | 86 | 2,536 | ||||||
Wartsila OYJ Abp | 71 | 797 | ||||||
|
| |||||||
28,214 | ||||||||
|
| |||||||
France — 14.4% | ||||||||
Accor SA | 30 | 1,266 | ||||||
Aeroports de Paris | 5 | 820 | ||||||
Air Liquide SA | 69 | 9,813 | ||||||
Airbus SE | 94 | 12,198 | ||||||
Alstom SA | 31 | 1,271 | ||||||
Amundi SA (e) | 9 | 659 | ||||||
Arkema SA | 11 | 1,044 | ||||||
Atos SE | 16 | 1,137 | ||||||
AXA SA | 312 | 7,970 | ||||||
BioMerieux | 7 | 582 | ||||||
BNP Paribas SA | 181 | 8,778 | ||||||
Bollore SA | 137 | 566 | ||||||
Bouygues SA | 35 | 1,409 | ||||||
Bureau Veritas SA | 45 | 1,077 | ||||||
Capgemini SE | 26 | 3,013 | ||||||
Carrefour SA | 94 | 1,646 | ||||||
Casino Guichard Perrachon SA | 8 | 392 | ||||||
Cie de Saint-Gobain | 79 | 3,104 | ||||||
Cie Generale des Etablissements Michelin SCA | 28 | 3,062 | ||||||
CNP Assurances | 28 | 550 | ||||||
Covivio | 8 | 803 | ||||||
Credit Agricole SA | 184 | 2,227 | ||||||
Danone SA | 779 | 68,640 | ||||||
Dassault Aviation SA | — | (h) | 539 |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | ||||||||
France — continued | ||||||||
Dassault Systemes SE | 21 | 3,015 | ||||||
Edenred | 38 | 1,836 | ||||||
Eiffage SA | 12 | 1,279 | ||||||
Electricite de France SA | 94 | 1,053 | ||||||
Engie SA | 294 | 4,799 | ||||||
EssilorLuxottica SA | 46 | 6,579 | ||||||
Eurazeo SE | 6 | 475 | ||||||
Eutelsat Communications SA | 29 | 533 | ||||||
Faurecia SE | 13 | 596 | ||||||
Gecina SA | 7 | 1,157 | ||||||
Getlink SE | 72 | 1,080 | ||||||
Hermes International | 5 | 3,521 | ||||||
ICADE | 5 | 421 | ||||||
Iliad SA | 4 | 400 | ||||||
Imerys SA | 6 | 233 | ||||||
Ingenico Group SA | 10 | 934 | ||||||
Ipsen SA | 33 | 3,114 | ||||||
JCDecaux SA | 13 | 358 | ||||||
Kering SA | 12 | 6,215 | ||||||
Klepierre SA | 32 | 1,089 | ||||||
Legrand SA | 43 | 3,064 | ||||||
L’Oreal SA | 405 | 113,173 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 45 | 17,738 | ||||||
Natixis SA | 145 | 602 | ||||||
Orange SA | 321 | 5,027 | ||||||
Pernod Ricard SA | 268 | 47,713 | ||||||
Peugeot SA | 94 | 2,356 | ||||||
Publicis Groupe SA | 34 | 1,657 | ||||||
Remy Cointreau SA | 29 | 3,808 | ||||||
Renault SA | 31 | 1,760 | ||||||
Safran SA | 53 | 8,296 | ||||||
Sanofi | 975 | 90,328 | ||||||
Sartorius Stedim Biotech | 4 | 613 | ||||||
Schneider Electric SE | 88 | 7,720 | ||||||
SCOR SE | 25 | 1,042 | ||||||
SEB SA | 4 | 585 | ||||||
Societe BIC SA | 4 | 285 | ||||||
Societe Generale SA | 124 | 3,384 | ||||||
Sodexo SA | 14 | 1,578 | ||||||
Suez | 52 | 819 | ||||||
Teleperformance | 9 | 2,035 | ||||||
Thales SA | 17 | 1,962 | ||||||
TOTAL SA | 4,149 | 216,004 | ||||||
Ubisoft Entertainment SA (a) | 13 | 968 | ||||||
Unibail-Rodamco-Westfield | 22 | 3,246 | ||||||
Valeo SA | 37 | 1,212 | ||||||
Veolia Environnement SA | 86 | 2,184 |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | ||||||||
France — continued | ||||||||
Vinci SA | 82 | 8,849 | ||||||
Vivendi SA | 148 | 4,037 | ||||||
Wendel SA | 4 | 591 | ||||||
Worldline SA (a) (e) | 13 | 828 | ||||||
|
| |||||||
724,717 | ||||||||
|
| |||||||
Germany — 5.2% | ||||||||
1&1 Drillisch AG | 9 | 268 | ||||||
adidas AG | 29 | 9,040 | ||||||
Allianz SE (Registered) | 68 | 15,905 | ||||||
Axel Springer SE (a) | 8 | 565 | ||||||
BASF SE | 147 | 10,308 | ||||||
Bayer AG (Registered) | 809 | 57,024 | ||||||
Bayerische Motoren Werke AG | 53 | 3,754 | ||||||
Beiersdorf AG | 161 | 19,035 | ||||||
Brenntag AG | 25 | 1,203 | ||||||
Carl Zeiss Meditec AG | 7 | 744 | ||||||
Commerzbank AG | 159 | 923 | ||||||
Continental AG | 18 | 2,266 | ||||||
Covestro AG (e) | 29 | 1,411 | ||||||
Daimler AG (Registered) | 146 | 7,257 | ||||||
Delivery Hero SE (a) (e) | 19 | 833 | ||||||
Deutsche Bank AG (Registered) | 316 | 2,361 | ||||||
Deutsche Boerse AG | 31 | 4,770 | ||||||
Deutsche Lufthansa AG (Registered) | 36 | 578 | ||||||
Deutsche Post AG (Registered) | 159 | 5,307 | ||||||
Deutsche Telekom AG (Registered) | 535 | 8,974 | ||||||
Deutsche Wohnen SE | 57 | 2,083 | ||||||
E.ON SE | 354 | 3,445 | ||||||
Evonik Industries AG | 31 | 759 | ||||||
Fraport AG Frankfurt Airport Services Worldwide | 6 | 532 | ||||||
Fresenius Medical Care AG & Co. KGaA | 35 | 2,331 | ||||||
Fresenius SE & Co. KGaA | 67 | 3,143 | ||||||
GEA Group AG | 24 | 654 | ||||||
Hannover Rueck SE | 10 | 1,617 | ||||||
HeidelbergCement AG | 24 | 1,710 | ||||||
Henkel AG & Co. KGaA | 166 | 15,201 | ||||||
HOCHTIEF AG | 4 | 448 | ||||||
HUGO BOSS AG | 10 | 517 | ||||||
Infineon Technologies AG | 201 | 3,616 | ||||||
KION Group AG | 11 | 566 | ||||||
Knorr-Bremse AG | 8 | 743 | ||||||
LANXESS AG | 13 | 822 | ||||||
Merck KGaA | 112 | 12,640 | ||||||
METRO AG | 29 | 460 | ||||||
MTU Aero Engines AG | 8 | 2,224 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | 23 | 6,001 | ||||||
Puma SE | 13 | 1,037 |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | ||||||||
RWE AG | 88 | 2,752 | ||||||
SAP SE | 158 | 18,564 | ||||||
Siemens AG (Registered) | 123 | 13,145 | ||||||
Siemens Healthineers AG (e) | 24 | 944 | ||||||
Symrise AG, Class A | 21 | 2,000 | ||||||
Telefonica Deutschland Holding AG | 133 | 370 | ||||||
thyssenkrupp AG | 67 | 928 | ||||||
TUI AG | 70 | 816 | ||||||
Uniper SE | 33 | 1,092 | ||||||
United Internet AG (Registered) | 19 | 691 | ||||||
Volkswagen AG | 5 | 876 | ||||||
Vonovia SE | 82 | 4,148 | ||||||
Wirecard AG | 19 | 3,024 | ||||||
Zalando SE (a) (e) | 22 | 1,011 | ||||||
|
| |||||||
263,436 | ||||||||
|
| |||||||
Hong Kong — 2.5% | ||||||||
Alibaba Pictures Group Ltd. (a) | 14,330 | 2,322 | ||||||
ASM Pacific Technology Ltd. | 315 | 3,845 | ||||||
Bank of East Asia Ltd. (The) | 1,342 | 3,305 | ||||||
Bosideng International Holdings Ltd. | 3,272 | 1,393 | ||||||
China Agri-Industries Holdings Ltd. | 2,550 | 829 | ||||||
China Education Group Holdings Ltd. | 630 | 925 | ||||||
China Everbright Ltd. | 960 | 1,123 | ||||||
China First Capital Group Ltd. (a) | 3,030 | 884 | ||||||
China Jinmao Holdings Group Ltd. | 5,274 | 3,023 | ||||||
China Power International Development Ltd. | 4,444 | 924 | ||||||
China Traditional Chinese Medicine Holdings Co. Ltd. | 2,420 | 1,110 | ||||||
COSCO SHIPPING Ports Ltd. | 1,798 | 1,436 | ||||||
Dairy Farm International Holdings Ltd. | 355 | 2,239 | ||||||
Far East Horizon Ltd. | 2,229 | 2,070 | ||||||
Hang Lung Properties Ltd. | 2,087 | 4,736 | ||||||
HK Electric Investments & HK Electric Investments Ltd. | 2,702 | 2,575 | ||||||
HKT Trust & HKT Ltd. | 3,884 | 6,161 | ||||||
Hutchison China MediTech Ltd., ADR (a) | 64 | 1,135 | ||||||
Hysan Development Co. Ltd. | 644 | 2,597 | ||||||
Kerry Properties Ltd. | 674 | 2,074 | ||||||
Kingboard Holdings Ltd. | 659 | 1,746 | ||||||
Kingboard Laminates Holdings Ltd. | 1,111 | 1,002 | ||||||
Lee & Man Paper Manufacturing Ltd. | 1,377 | 745 | ||||||
Link REIT | 2,168 | 23,915 | ||||||
Melco Resorts & Entertainment Ltd., ADR | 219 | 4,244 | ||||||
New World Development Co. Ltd. | 6,243 | 8,108 | ||||||
NWS Holdings Ltd. | 1,605 | 2,486 | ||||||
PCCW Ltd. | 4,427 | 2,485 | ||||||
Shanghai Industrial Holdings Ltd. | 524 | 976 | ||||||
Shanghai Industrial Urban Development Group Ltd. | 524 | 66 | ||||||
Shangri-La Asia Ltd. | 1,284 | 1,309 |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | ||||||||
Hong Kong — continued | ||||||||
Shenzhen International Holdings Ltd. | 980 | 1,881 | ||||||
Shenzhen Investment Ltd. | 3,226 | 1,191 | ||||||
Sino Land Co. Ltd. | 3,170 | 4,765 | ||||||
SJM Holdings Ltd. | 2,022 | 1,920 | ||||||
SSY Group Ltd. | 1,596 | 1,261 | ||||||
Techtronic Industries Co. Ltd. | 1,393 | 9,696 | ||||||
Towngas China Co. Ltd. (a) | 990 | 743 | ||||||
Vitasoy International Holdings Ltd. | 770 | 3,121 | ||||||
Wharf Holdings Ltd. (The) | 1,257 | 2,742 | ||||||
Wheelock & Co. Ltd. | 832 | 4,740 | ||||||
Yue Yuen Industrial Holdings Ltd. | 760 | 2,075 | ||||||
Yuexiu Property Co. Ltd. | 6,988 | 1,516 | ||||||
|
| |||||||
127,439 | ||||||||
|
| |||||||
India — 1.1% | ||||||||
Ambuja Cements Ltd. | 596 | 1,718 | ||||||
Ashok Leyland Ltd. | 1,234 | 1,186 | ||||||
Bharat Forge Ltd. | 213 | 1,341 | ||||||
Container Corp. Of India Ltd. | 218 | 1,862 | ||||||
Divi’s Laboratories Ltd. | 83 | 1,947 | ||||||
Dr Reddy’s Laboratories Ltd. | 120 | 4,561 | ||||||
Glenmark Pharmaceuticals Ltd. | 156 | 715 | ||||||
Havells India Ltd. | 254 | 2,583 | ||||||
Hindalco Industries Ltd. | 1,184 | 3,201 | ||||||
ICICI Lombard General Insurance Co. Ltd. (e) | 136 | 2,318 | ||||||
Indiabulls Housing Finance Ltd., ADR | 283 | 1,026 | ||||||
InterGlobe Aviation Ltd. (e) | 97 | 2,571 | ||||||
LIC Housing Finance Ltd. | 304 | 1,615 | ||||||
Lupin Ltd. | 230 | 2,326 | ||||||
Mahindra & Mahindra Financial Services Ltd. | 305 | 1,411 | ||||||
Marico Ltd. | 458 | 2,547 | ||||||
Page Industries Ltd. | 6 | 1,851 | ||||||
Petronet LNG Ltd. | 604 | 2,218 | ||||||
Piramal Enterprises Ltd. | 95 | 2,182 | ||||||
REC Ltd. | 696 | 1,209 | ||||||
Shriram Transport Finance Co. Ltd. | 169 | 2,561 | ||||||
Tata Power Co. Ltd. (The) | 1,098 | 967 | ||||||
United Spirits Ltd. (a) | 290 | 2,729 | ||||||
UPL Ltd. | 545 | 4,623 | ||||||
Yes Bank Ltd. | 1,915 | 1,128 | ||||||
Zee Entertainment Enterprises Ltd. | 555 | 2,073 | ||||||
|
| |||||||
54,469 | ||||||||
|
| |||||||
Indonesia — 0.3% | ||||||||
Adaro Energy Tbk. PT | 14,810 | 1,346 | ||||||
Bank Tabungan Negara Persero Tbk. PT | 4,357 | 602 | ||||||
Barito Pacific Tbk. PT | 27,562 | 1,922 | ||||||
Bukit Asam Tbk. PT | 2,837 | 452 | ||||||
Bumi Serpong Damai Tbk. PT (a) | 8,194 | 802 |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | ||||||||
Indonesia — continued | ||||||||
Indah Kiat Pulp & Paper Corp. Tbk. PT | 2,819 | 1,286 | ||||||
Indofood Sukses Makmur Tbk. PT | 4,547 | 2,466 | ||||||
Jasa Marga Persero Tbk. PT | 2,256 | 906 | ||||||
Pabrik Kertas Tjiwi Kimia Tbk. PT | 1,437 | 1,068 | ||||||
Pakuwon Jati Tbk. PT | 17,005 | 797 | ||||||
Semen Indonesia Persero Tbk. PT | 2,983 | 2,425 | ||||||
Surya Citra Media Tbk. PT | 7,454 | 609 | ||||||
|
| |||||||
14,681 | ||||||||
|
| |||||||
Ireland — 0.8% | ||||||||
AerCap Holdings NV (a) | 20 | 1,104 | ||||||
AIB Group plc | 117 | 346 | ||||||
Bank of Ireland Group plc | 149 | 592 | ||||||
CRH plc | 130 | 4,445 | ||||||
DCC plc | 15 | 1,350 | ||||||
Experian plc | 146 | 4,685 | ||||||
Flutter Entertainment plc | 13 | 1,200 | ||||||
Kerry Group plc, Class A | 200 | 23,428 | ||||||
Kingspan Group plc | 25 | 1,203 | ||||||
Smurfit Kappa Group plc | 37 | 1,093 | ||||||
|
| |||||||
39,446 | ||||||||
|
| |||||||
Isle of Man — 0.0%(g) | ||||||||
GVC Holdings plc | 93 | 850 | ||||||
|
| |||||||
Italy — 2.3% | ||||||||
Assicurazioni Generali SpA | 177 | 3,428 | ||||||
Atlantia SpA | 79 | 1,919 | ||||||
Davide Campari-Milano SpA | 733 | 6,618 | ||||||
Enel SpA | 1,309 | 9,778 | ||||||
ENI SpA | 4,414 | 67,469 | ||||||
Ferrari NV | 20 | 3,034 | ||||||
FinecoBank Banca Fineco SpA | 98 | 1,040 | ||||||
Intesa Sanpaolo SpA | 2,366 | 5,605 | ||||||
Leonardo SpA | 66 | 771 | ||||||
Mediobanca Banca di Credito Finanziario SpA | 102 | 1,109 | ||||||
Moncler SpA | 29 | 1,033 | ||||||
Pirelli & C SpA (e) | 69 | 411 | ||||||
Poste Italiane SpA (e) | 83 | 942 | ||||||
Prysmian SpA | 40 | 852 | ||||||
Recordati SpA | 91 | 3,895 | ||||||
Snam SpA | 337 | 1,704 | ||||||
Telecom Italia SpA (a) | 1,511 | 862 | ||||||
Telecom Italia SpA | 981 | 537 | ||||||
Terna Rete Elettrica Nazionale SpA | 223 | 1,430 | ||||||
UniCredit SpA | 324 | 3,814 | ||||||
|
| |||||||
116,251 | ||||||||
|
|
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | ||||||||
Luxembourg — 0.1% | ||||||||
ArcelorMittal | 105 | 1,481 | ||||||
Aroundtown SA | 146 | 1,194 | ||||||
Eurofins Scientific SE | 2 | 884 | ||||||
Millicom International Cellular SA, SDR | 11 | 541 | ||||||
RTL Group SA | 7 | 321 | ||||||
SES SA, Class A | 58 | 1,062 | ||||||
Tenaris SA | 74 | 785 | ||||||
|
| |||||||
6,268 | ||||||||
|
| |||||||
Macau — 0.1% | ||||||||
MGM China Holdings Ltd. | 970 | 1,511 | ||||||
Wynn Macau Ltd. | 1,616 | 3,149 | ||||||
|
| |||||||
4,660 | ||||||||
|
| |||||||
Malaysia — 0.5% | ||||||||
AirAsia Group Bhd. | 1,658 | 697 | ||||||
Alliance Bank Malaysia Bhd. | 1,046 | 712 | ||||||
AMMB Holdings Bhd. | 1,767 | 1,747 | ||||||
British American Tobacco Malaysia Bhd. | 150 | 677 | ||||||
Fraser & Neave Holdings Bhd. | 148 | 1,233 | ||||||
Gamuda Bhd. | 1,742 | 1,539 | ||||||
Genting Plantations Bhd. | 277 | 654 | ||||||
Hartalega Holdings Bhd. | 1,584 | 1,986 | ||||||
IJM Corp. Bhd. | 2,879 | 1,505 | ||||||
Malaysia Airports Holdings Bhd. | 760 | �� | 1,570 | |||||
Press Metal Aluminium Holdings Bhd. | 1,439 | 1,634 | ||||||
QL Resources Bhd. | 720 | 1,239 | ||||||
Sime Darby Bhd. | 2,922 | 1,570 | ||||||
Sime Darby Property Bhd. | 2,400 | 481 | ||||||
SP Setia Bhd. Group | 1,800 | 585 | ||||||
Telekom Malaysia Bhd. | 1,227 | 1,055 | ||||||
Top Glove Corp. Bhd. | 1,619 | 1,721 | ||||||
Westports Holdings Bhd. | 933 | 920 | ||||||
YTL Corp. Bhd. | 2,956 | 650 | ||||||
|
| |||||||
22,175 | ||||||||
|
| |||||||
Mexico — 0.0%(g) | ||||||||
Fresnillo plc | 38 | 323 | ||||||
|
| |||||||
Netherlands — 10.6% | ||||||||
ABN AMRO Bank NV, CVA, GDR (e) | 69 | 1,217 | ||||||
Adyen NV (a) (e) | 2 | 1,062 | ||||||
Aegon NV | 293 | 1,219 | ||||||
Akzo Nobel NV | 37 | 3,267 | ||||||
ASML Holding NV | 68 | 16,946 | ||||||
EXOR NV | 17 | 1,136 | ||||||
Heineken Holding NV | 146 | 14,476 | ||||||
Heineken NV | 327 | 35,343 | ||||||
ING Groep NV | 625 | 6,534 | ||||||
Koninklijke Ahold Delhaize NV | 191 | 4,765 | ||||||
Koninklijke DSM NV | 29 | 3,516 |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | ||||||||
Netherlands — continued | ||||||||
Koninklijke KPN NV | 570 | 1,778 | ||||||
Koninklijke Philips NV | 149 | 6,888 | ||||||
Koninklijke Vopak NV | 12 | 608 | ||||||
NN Group NV | 48 | 1,700 | ||||||
NXP Semiconductors NV | 46 | 5,009 | ||||||
Prosus NV (a) | 78 | 5,733 | ||||||
QIAGEN NV (a) | 35 | 1,160 | ||||||
Randstad NV | 19 | 927 | ||||||
Royal Dutch Shell plc, Class A | 7,551 | 221,469 | ||||||
Royal Dutch Shell plc, Class B | 6,497 | 192,011 | ||||||
Wolters Kluwer NV | 45 | 3,285 | ||||||
|
| |||||||
530,049 | ||||||||
|
| |||||||
Norway — 1.3% | ||||||||
Aker BP ASA | 17 | 463 | ||||||
DNB ASA | 155 | 2,732 | ||||||
Equinor ASA | 1,738 | 32,921 | ||||||
Gjensidige Forsikring ASA | 31 | 615 | ||||||
Mowi ASA | 554 | 12,791 | ||||||
Norsk Hydro ASA | 213 | 750 | ||||||
Orkla ASA | 970 | 8,823 | ||||||
Schibsted ASA, Class B | 16 | 436 | ||||||
Telenor ASA | 118 | 2,376 | ||||||
Yara International ASA | 29 | 1,247 | ||||||
|
| |||||||
63,154 | ||||||||
|
| |||||||
Pakistan — 0.0%(g) | ||||||||
Habib Bank Ltd. | 575 | 433 | ||||||
MCB Bank Ltd. | 445 | 487 | ||||||
|
| |||||||
920 | ||||||||
|
| |||||||
Philippines — 0.2% | ||||||||
Alliance Global Group, Inc. | 3,979 | 837 | ||||||
DMCI Holdings, Inc. | 3,920 | 629 | ||||||
Globe Telecom, Inc. | 33 | 1,177 | ||||||
GT Capital Holdings, Inc. | 98 | 1,587 | ||||||
International Container Terminal Services, Inc. | 1,049 | 2,441 | ||||||
Megaworld Corp. | 11,757 | 992 | ||||||
Metro Pacific Investments Corp. | 14,628 | 1,405 | ||||||
Robinsons Land Corp. | 2,136 | 1,009 | ||||||
Security Bank Corp. | 225 | 855 | ||||||
|
| |||||||
10,932 | ||||||||
|
| |||||||
Portugal — 0.3% | ||||||||
EDP - Energias de Portugal SA | 406 | 1,575 | ||||||
Galp Energia SGPS SA | 868 | 13,051 | ||||||
Jeronimo Martins SGPS SA | 40 | 672 | ||||||
|
| |||||||
15,298 | ||||||||
|
| |||||||
Russia — 0.0%(g) | ||||||||
Evraz plc | 83 | 480 | ||||||
|
| |||||||
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | ||||||||
Singapore — 1.1% | ||||||||
Ascendas Real Estate Investment Trust | 2,611 | 5,896 | ||||||
BOC Aviation Ltd. (e) | 210 | 1,938 | ||||||
CapitaLand Commercial Trust | 2,750 | 4,120 | ||||||
CapitaLand Mall Trust | 2,717 | 5,172 | ||||||
City Developments Ltd. | 486 | 3,454 | ||||||
ComfortDelGro Corp. Ltd. | 2,294 | 3,985 | ||||||
Golden Agri-Resources Ltd. | 7,345 | 1,196 | ||||||
Keppel Corp. Ltd. | 1,508 | 6,474 | ||||||
SATS Ltd. | 717 | 2,515 | ||||||
Sembcorp Industries Ltd. | 1,069 | 1,609 | ||||||
Singapore Exchange Ltd. | 800 | 4,909 | ||||||
Singapore Press Holdings Ltd. | 675 | 1,016 | ||||||
Singapore Technologies Engineering Ltd. | 1,662 | 4,619 | ||||||
Suntec Real Estate Investment Trust | 2,076 | 2,856 | ||||||
UOL Group Ltd. | 489 | 2,657 | ||||||
Venture Corp. Ltd. | 297 | 3,294 | ||||||
|
| |||||||
55,710 | ||||||||
|
| |||||||
South Africa — 0.0%(g) | ||||||||
Investec plc | 104 | 536 | ||||||
|
| |||||||
South Korea — 1.8% | ||||||||
BGF retail Co. Ltd. | 8 | 1,359 | ||||||
BNK Financial Group, Inc. | 286 | 1,718 | ||||||
Celltrion Pharm, Inc. (a) | 17 | 495 | ||||||
Cheil Worldwide, Inc. | 71 | 1,473 | ||||||
CJ CheilJedang Corp. | 9 | 1,690 | ||||||
CJ Corp. | 14 | 993 | ||||||
CJ ENM Co. Ltd. | 11 | 1,547 | ||||||
CJ Logistics Corp. (a) | 10 | 1,163 | ||||||
Daelim Industrial Co. Ltd. | 28 | 2,439 | ||||||
Daewoo Engineering & Construction Co. Ltd. (a) | 186 | 749 | ||||||
Daewoo Shipbuilding & Marine Engineering Co. Ltd. (a) | 39 | 986 | ||||||
DB Insurance Co. Ltd. | 52 | 2,229 | ||||||
Doosan Bobcat, Inc. | 50 | 1,479 | ||||||
E-MART, Inc. | 22 | 2,080 | ||||||
Fila Korea Ltd. | 50 | 2,412 | ||||||
GS Engineering & Construction Corp. | 61 | 1,680 | ||||||
GS Holdings Corp. | 52 | 2,192 | ||||||
GS Retail Co. Ltd. | 28 | 965 | ||||||
Hanmi Pharm Co. Ltd. | 7 | 1,557 | ||||||
Hanmi Science Co. ltd | 14 | 477 | ||||||
Hanon Systems | 187 | 1,875 | ||||||
Hanwha Chemical Corp. | 108 | 1,627 | ||||||
Hanwha Corp. | 41 | 865 | ||||||
Hanwha Life Insurance Co. Ltd. | 362 | 719 | ||||||
HDC Hyundai Development Co.-Engineering & Construction | 26 | 719 |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | ||||||||
South Korea — continued | ||||||||
Helixmith Co. Ltd. (a) | 20 | 1,086 | ||||||
HLB, Inc. (a) | 33 | 1,686 | ||||||
Hotel Shilla Co. Ltd. | 32 | 2,330 | ||||||
Hyundai Department Store Co. Ltd. | 14 | 933 | ||||||
Hyundai Engineering & Construction Co. Ltd. | 81 | 3,122 | ||||||
Hyundai Heavy Industries Holdings Co. Ltd. | 10 | 2,924 | ||||||
Hyundai Marine & Fire Insurance Co. Ltd. | 67 | 1,469 | ||||||
KCC Corp. | 6 | 1,067 | ||||||
Korea Aerospace Industries Ltd. | 76 | 2,474 | ||||||
Korea Gas Corp. | 28 | 932 | ||||||
Korea Investment Holdings Co. Ltd. | 42 | 2,640 | ||||||
Korean Air Lines Co. Ltd. | 52 | 987 | ||||||
Kumho Petrochemical Co. Ltd. | 19 | 1,118 | ||||||
LG Innotek Co. Ltd. | 14 | 1,374 | ||||||
Medy-Tox, Inc. | 4 | 1,320 | ||||||
Meritz Securities Co. Ltd. | 311 | 1,310 | ||||||
Mirae Asset Daewoo Co. Ltd. | 399 | 2,497 | ||||||
NH Investment & Securities Co. Ltd. | 141 | 1,491 | ||||||
OCI Co. Ltd. | 19 | 1,109 | ||||||
Orange Life Insurance Ltd. (e) | 33 | 756 | ||||||
Orion Corp. | 25 | 2,018 | ||||||
Ottogi Corp. | 1 | 646 | ||||||
Pan Ocean Co. Ltd. (a) | 285 | 1,087 | ||||||
Pearl Abyss Corp. (a) | 7 | 1,153 | ||||||
POSCO Chemical Co. Ltd. | 25 | 935 | ||||||
Posco International Corp. | 49 | 782 | ||||||
S-1 Corp. | 18 | 1,483 | ||||||
Samsung Card Co. Ltd. | 30 | 869 | ||||||
Samsung Engineering Co. Ltd. (a) | 164 | 2,296 | ||||||
Samsung Heavy Industries Co. Ltd. (a) | 451 | 2,964 | ||||||
Samsung Securities Co. Ltd. | 62 | 1,842 | ||||||
Shinsegae, Inc. | 8 | 1,652 | ||||||
SillaJen, Inc. (a) | 60 | 411 | ||||||
Woongjin Coway Co. Ltd. | 53 | 3,723 | ||||||
Yuhan Corp. | 9 | 1,793 | ||||||
|
| |||||||
91,767 | ||||||||
|
| |||||||
Spain — 2.0% | ||||||||
ACS Actividades de Construccion y Servicios SA | 44 | 1,770 | ||||||
Aena SME SA (e) | 11 | 2,047 | ||||||
Amadeus IT Group SA | 71 | 5,062 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 1,073 | 5,587 | ||||||
Banco de Sabadell SA | 902 | 874 | ||||||
Banco Santander SA | 2,705 | 11,008 | ||||||
Bankia SA | 215 | 405 | ||||||
Bankinter SA | 109 | 685 | ||||||
CaixaBank SA | 595 | 1,559 | ||||||
Cellnex Telecom SA (a) (e) | 31 | 1,291 |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 — continued | ||||||||
Enagas SA | 5 | 126 | ||||||
Endesa SA | 53 | 1,384 | ||||||
Ferrovial SA | 80 | 2,316 | ||||||
Grifols SA | 49 | 1,457 | ||||||
Iberdrola SA | 967 | 10,047 | ||||||
Industria de Diseno Textil SA | 176 | 5,434 | ||||||
Mapfre SA | 188 | 508 | ||||||
Naturgy Energy Group SA | 48 | 1,282 | ||||||
Red Electrica Corp. SA | 72 | 1,453 | ||||||
Repsol SA | 2,525 | 39,378 | ||||||
Siemens Gamesa Renewable Energy SA | 42 | 566 | ||||||
Telefonica SA | 752 | 5,748 | ||||||
|
| |||||||
99,987 | ||||||||
|
| |||||||
Sweden— 1.7% | ||||||||
Alfa Laval AB | 50 | 987 | ||||||
Assa Abloy AB, Class B | 161 | 3,587 | ||||||
Atlas Copco AB, Class A | 108 | 3,329 | ||||||
Atlas Copco AB, Class B | 63 | 1,696 | ||||||
Boliden AB | 44 | 999 | ||||||
Electrolux AB, Class B | 35 | 818 | ||||||
Epiroc AB, Class A | 106 | 1,146 | ||||||
Epiroc AB, Class B | 61 | 629 | ||||||
Essity AB, Class B | 972 | 28,347 | ||||||
Hennes & Mauritz AB, Class B | 129 | 2,507 | ||||||
Hexagon AB, Class B | 42 | 2,005 | ||||||
Husqvarna AB, Class B | 70 | 530 | ||||||
ICA Gruppen AB | 15 | 673 | ||||||
Industrivarden AB, Class C | 27 | 586 | ||||||
Investor AB, Class B | 73 | 3,581 | ||||||
Kinnevik AB, Class B | 40 | 1,044 | ||||||
L E Lundbergforetagen AB, Class B | 12 | 460 | ||||||
Lundin Petroleum AB | 30 | 890 | ||||||
Sandvik AB | 182 | 2,829 | ||||||
Securitas AB, Class B | 52 | 793 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 262 | 2,405 | ||||||
Skanska AB, Class B | 56 | 1,137 | ||||||
SKF AB, Class B | 61 | 1,001 | ||||||
Svenska Handelsbanken AB, Class A | 246 | 2,301 | ||||||
Swedbank AB, Class A | 145 | 2,084 | ||||||
Swedish Match AB | 215 | 8,880 | ||||||
Tele2 AB, Class B | 78 | 1,160 | ||||||
Telefonaktiebolaget LM Ericsson, Class B | 495 | 3,950 | ||||||
Telia Co. AB | 438 | 1,959 | ||||||
Volvo AB, Class B | 239 | 3,355 | ||||||
|
| |||||||
85,668 | ||||||||
|
|
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | ||||||||
Switzerland — 17.8% | ||||||||
ABB Ltd. (Registered) | 297 | 5,834 | ||||||
Adecco Group AG (Registered) | 25 | 1,384 | ||||||
Alcon, Inc. (a) | 67 | 3,900 | ||||||
Baloise Holding AG (Registered) | 8 | 1,379 | ||||||
Barry Callebaut AG (Registered) | 3 | 5,715 | ||||||
Chocoladefabriken Lindt & Spruengli AG | 1 | 10,111 | ||||||
Chocoladefabriken Lindt & Spruengli AG (Registered) | — | (h) | 10,593 | |||||
Cie Financiere Richemont SA (Registered) | 84 | 6,141 | ||||||
Clariant AG (Registered) (a) | 31 | 596 | ||||||
Coca-Cola HBC AG | 252 | 8,230 | ||||||
Credit Suisse Group AG (Registered) (a) | 411 | 5,033 | ||||||
Dufry AG (Registered) (a) | 7 | 617 | ||||||
EMS-Chemie Holding AG (Registered) | 1 | 845 | ||||||
Geberit AG (Registered) | 6 | 2,850 | ||||||
Givaudan SA (Registered) | 1 | 4,147 | ||||||
Glencore plc (a) | 1,767 | 5,326 | ||||||
Julius Baer Group Ltd. (a) | 37 | 1,636 | ||||||
Kuehne + Nagel International AG (Registered) | 8 | 1,241 | ||||||
LafargeHolcim Ltd. (Registered) (a) | 78 | 3,849 | ||||||
Lonza Group AG (Registered) (a) | 12 | 4,057 | ||||||
Nestle SA (Registered) | 3,866 | 419,317 | ||||||
Novartis AG (Registered) | 1,862 | 161,589 | ||||||
Pargesa Holding SA | 6 | 472 | ||||||
Partners Group Holding AG | 3 | 2,311 | ||||||
Roche Holding AG | 609 | 177,363 | ||||||
Schindler Holding AG | 6 | 1,443 | ||||||
Schindler Holding AG (Registered) | 3 | 721 | ||||||
SGS SA (Registered) | 1 | 2,124 | ||||||
Sika AG (Registered) | 21 | 3,005 | ||||||
Sonova Holding AG (Registered) | 9 | 2,072 | ||||||
STMicroelectronics NV | 109 | 2,116 | ||||||
Straumann Holding AG (Registered) | 2 | 1,327 | ||||||
Swatch Group AG (The) | 5 | 1,224 | ||||||
Swatch Group AG (The) (Registered) | 9 | 456 | ||||||
Swiss Life Holding AG (Registered) | 6 | 2,634 | ||||||
Swiss Prime Site AG (Registered) (a) | 12 | 1,222 | ||||||
Swiss Re AG | 49 | 5,119 | ||||||
Swisscom AG (Registered) | 4 | 2,050 | ||||||
Temenos AG (Registered) (a) | 10 | 1,736 | ||||||
UBS Group AG (Registered) (a) | 621 | 7,053 | ||||||
Vifor Pharma AG | 40 | 6,328 | ||||||
Zurich Insurance Group AG | 24 | 9,305 | ||||||
|
| |||||||
894,471 | ||||||||
|
| |||||||
Taiwan — 2.1% | ||||||||
Acer, Inc. | 3,091 | 1,773 | ||||||
Airtac International Group | 129 | 1,537 | ||||||
Asia Cement Corp. | 2,229 | 3,111 | ||||||
AU Optronics Corp. | 8,829 | 2,230 |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | ||||||||
Chailease Holding Co. Ltd. | 1,214 | 4,902 | ||||||
Chicony Electronics Co. Ltd. | 594 | 1,750 | ||||||
China Airlines Ltd. | 3,022 | 884 | ||||||
China Life Insurance Co. Ltd. (a) | 2,654 | 2,104 | ||||||
Compal Electronics, Inc. | 4,240 | 2,446 | ||||||
Eclat Textile Co. Ltd. | 197 | 2,645 | ||||||
Eva Airways Corp. | 2,525 | 1,111 | ||||||
Evergreen Marine Corp. Taiwan Ltd. (a) | 2,567 | 1,076 | ||||||
Feng TAY Enterprise Co. Ltd. | 340 | 2,438 | ||||||
Formosa Taffeta Co. Ltd. | 895 | 975 | ||||||
Foxconn Technology Co. Ltd. | 948 | 1,977 | ||||||
Giant Manufacturing Co. Ltd. | 302 | 2,054 | ||||||
Highwealth Construction Corp. (a) | 849 | 1,365 | ||||||
Hiwin Technologies Corp. | 237 | 2,065 | ||||||
Innolux Corp. | 8,780 | 1,867 | ||||||
Inventec Corp. | 2,582 | 1,781 | ||||||
Lite-On Technology Corp., ADR | 2,147 | 3,411 | ||||||
Micro-Star International Co. Ltd. | 693 | 2,015 | ||||||
Nien Made Enterprise Co. Ltd. | 166 | 1,455 | ||||||
Novatek Microelectronics Corp. | 594 | 3,409 | ||||||
Phison Electronics Corp. | 152 | 1,352 | ||||||
Pou Chen Corp. | 2,290 | 2,936 | ||||||
Powertech Technology, Inc. | 739 | 2,077 | ||||||
Realtek Semiconductor Corp. | 499 | 3,700 | ||||||
Ruentex Development Co. Ltd. (a) | 572 | 765 | ||||||
Ruentex Industries Ltd. (a) | 364 | 785 | ||||||
Shin Kong Financial Holding Co. Ltd. (a) | 10,520 | 3,183 | ||||||
SinoPac Financial Holdings Co. Ltd. | 11,042 | 4,305 | ||||||
Standard Foods Corp. | 446 | 892 | ||||||
Synnex Technology International Corp. | 1,372 | 1,605 | ||||||
TaiMed Biologics, Inc. (a) | 183 | 877 | ||||||
Taishin Financial Holding Co. Ltd. | 9,909 | 4,422 | ||||||
Taiwan Business Bank | 4,053 | 1,665 | ||||||
Taiwan Cement Corp. | 5,060 | 6,466 | ||||||
Taiwan High Speed Rail Corp. | 2,045 | 2,326 | ||||||
Tatung Co. Ltd. (a) | 1,924 | 1,055 | ||||||
Vanguard International Semiconductor Corp. | 921 | 1,857 | ||||||
Walsin Technology Corp. | 324 | 1,824 | ||||||
Win Semiconductors Corp. | 345 | 3,086 | ||||||
Winbond Electronics Corp. | 3,010 | 1,731 | ||||||
Wistron Corp. | 2,932 | 2,366 | ||||||
WPG Holdings Ltd. | 1,525 | 1,876 | ||||||
Zhen Ding Technology Holding Ltd. | 545 | 1,951 | ||||||
|
| |||||||
103,483 | ||||||||
|
|
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | ||||||||
Thailand — 0.6% | ||||||||
Bangkok Expressway & Metro PCL | 7,928 | 2,801 | ||||||
Banpu PCL, NVDR | 4,502 | 1,737 | ||||||
BTS Group Holdings PCL, NVDR | 6,810 | 2,982 | ||||||
Bumrungrad Hospital PCL, NVDR | 456 | 1,907 | ||||||
Electricity Generating PCL, NVDR | 292 | 3,423 | ||||||
Energy Absolute PCL, NVDR | 1,716 | 2,694 | ||||||
Gulf Energy Development PCL, NVDR | 538 | 2,811 | ||||||
IRPC PCL, NVDR | 11,772 | 1,416 | ||||||
Land & Houses PCL, NVDR | 8,414 | 2,640 | ||||||
Muangthai Capital PCL, NVDR | 678 | 1,264 | ||||||
Ratch Group PCL, NVDR | 762 | 1,780 | ||||||
Robinson PCL, NVDR | 517 | 1,076 | ||||||
Thai Union Group PCL, NVDR | 3,509 | 1,916 | ||||||
TMB Bank PCL, NVDR | 10,855 | 557 | ||||||
Total Access Communication PCL, NVDR | 735 | 1,382 | ||||||
|
| |||||||
30,386 | ||||||||
|
| |||||||
United Arab Emirates — 0.0%(g) | ||||||||
NMC Health plc | 15 | 490 | ||||||
|
| |||||||
United Kingdom — 24.5% | ||||||||
3i Group plc | 156 | 2,235 | ||||||
Admiral Group plc | 31 | 815 | ||||||
Anglo American plc | 170 | 3,899 | ||||||
Ashtead Group plc | 75 | 2,083 | ||||||
Associated British Foods plc | 450 | 12,727 | ||||||
AstraZeneca plc | 1,137 | 101,513 | ||||||
Auto Trader Group plc (e) | 152 | 951 | ||||||
Aviva plc | 630 | 3,095 | ||||||
BAE Systems plc | 516 | 3,611 | ||||||
Barclays plc | 2,775 | 5,114 | ||||||
Barratt Developments plc | 167 | 1,332 | ||||||
Berkeley Group Holdings plc | 20 | 1,003 | ||||||
BP plc | 35,295 | 223,443 | ||||||
British American Tobacco plc | 2,896 | 106,949 | ||||||
British Land Co. plc (The) | 143 | 1,028 | ||||||
BT Group plc | 1,358 | 2,978 | ||||||
Bunzl plc | 53 | 1,385 | ||||||
Burberry Group plc | 66 | 1,753 | ||||||
Centrica plc | 925 | 839 | ||||||
CNH Industrial NV | 161 | 1,644 | ||||||
Coca-Cola European Partners plc | 296 | 16,435 | ||||||
Compass Group plc | 255 | 6,571 | ||||||
Croda International plc | 21 | 1,240 | ||||||
Diageo plc | 2,998 | 122,459 | ||||||
Direct Line Insurance Group plc | 224 | 827 | ||||||
easyJet plc | 27 | 387 | ||||||
Ferguson plc | 37 | 2,727 | ||||||
Fiat Chrysler Automobiles NV | 175 | 2,263 | ||||||
G4S plc | 259 | 604 |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | ||||||||
GlaxoSmithKline plc | 4,325 | 92,708 | ||||||
Halma plc | 60 | 1,454 | ||||||
Hargreaves Lansdown plc | 46 | 1,166 | ||||||
HSBC Holdings plc | 3,253 | 24,925 | ||||||
Imperial Brands plc | 1,208 | 27,118 | ||||||
Informa plc | 201 | 2,105 | ||||||
InterContinental Hotels Group plc | 28 | 1,719 | ||||||
Intertek Group plc | 26 | 1,731 | ||||||
ITV plc | 564 | 873 | ||||||
J Sainsbury plc | 283 | 764 | ||||||
John Wood Group plc | 113 | 529 | ||||||
Johnson Matthey plc | 31 | 1,167 | ||||||
Kingfisher plc | 350 | 888 | ||||||
Land Securities Group plc | 116 | 1,220 | ||||||
Legal & General Group plc | 960 | 2,929 | ||||||
Lloyds Banking Group plc | 11,415 | 7,567 | ||||||
London Stock Exchange Group plc | 51 | 4,548 | ||||||
Marks & Spencer Group plc | 311 | 705 | ||||||
Meggitt plc | 124 | 968 | ||||||
Melrose Industries plc | 774 | 1,917 | ||||||
Merlin Entertainments plc (e) | 113 | 629 | ||||||
Micro Focus International plc | 56 | 791 | ||||||
Mondi plc | 77 | 1,473 | ||||||
National Grid plc | 549 | 5,947 | ||||||
Next plc | 21 | 1,634 | ||||||
Ocado Group plc (a) | 73 | 1,187 | ||||||
Pearson plc | 123 | 1,112 | ||||||
Persimmon plc | 52 | 1,378 | ||||||
Prudential plc | 411 | 7,446 | ||||||
Reckitt Benckiser Group plc | 1,134 | 88,519 | ||||||
RELX plc | 314 | 7,456 | ||||||
Rentokil Initial plc | 294 | 1,691 | ||||||
Rio Tinto plc | 183 | 9,502 | ||||||
Rolls-Royce Holdings plc (a) | 276 | 2,681 | ||||||
Royal Bank of Scotland Group plc | 771 | 1,965 | ||||||
RSA Insurance Group plc | 169 | 1,112 | ||||||
Sage Group plc (The) | 172 | 1,462 | ||||||
Schroders plc | 20 | 745 | ||||||
Segro plc | 174 | 1,735 | ||||||
Severn Trent plc | 38 | 1,014 | ||||||
Smith & Nephew plc | 141 | 3,391 | ||||||
Smiths Group plc | 65 | 1,258 | ||||||
Spirax-Sarco Engineering plc | 12 | 1,141 | ||||||
SSE plc | 166 | 2,544 | ||||||
St James’s Place plc | 85 | 1,025 | ||||||
Standard Chartered plc | 449 | 3,773 | ||||||
Standard Life Aberdeen plc | 397 | 1,393 |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | 532 | 1,055 | ||||||
Tesco plc | 1,577 | 4,661 | ||||||
Unilever NV | 2,334 | 140,155 | ||||||
Unilever plc | 1,777 | 106,820 | ||||||
United Utilities Group plc | 112 | 1,139 | ||||||
Vodafone Group plc | 4,290 | 8,546 | ||||||
Weir Group plc (The) | 42 | 733 | ||||||
Whitbread plc | 22 | 1,136 | ||||||
Wm Morrison Supermarkets plc | 384 | 945 | ||||||
WPP plc | 203 | 2,544 | ||||||
|
| |||||||
1,230,649 | ||||||||
|
| |||||||
United States — 0.0%(g) | ||||||||
Carnival plc | 26 | 1,061 | ||||||
Nexteer Automotive Group Ltd. | 871 | 719 | ||||||
|
| |||||||
1,780 | ||||||||
|
| |||||||
Total Common Stocks (Cost $4,969,414) | 4,952,522 | |||||||
|
| |||||||
Preferred Stocks—0.7% | ||||||||
Germany— 0.7% | ||||||||
Bayerische Motoren Werke AG | 9 | 507 | ||||||
FUCHS PETROLUB SE | 11 | 400 | ||||||
Henkel AG & Co. KGaA | 285 | 28,239 | ||||||
Porsche Automobil Holding SE | 24 | 1,577 | ||||||
Sartorius AG | 6 | 1,036 | ||||||
Volkswagen AG | 30 | 5,081 | ||||||
|
| |||||||
Total Preferred Stocks (Cost $36,139) | 36,840 | |||||||
|
| |||||||
NUMBER OF RIGHTS | ||||||||
Right — 0.0%(g) | ||||||||
Thailand — 0.0%(g) | ||||||||
TMB Bank PCL, expiring 12/31/2049 (a) (bb) (Cost $0) | 7,515 | 42 | ||||||
|
| |||||||
PRINCIPAL AMOUNT ($) | ||||||||
Short-Term Investments — 0.5% | ||||||||
Time Deposits — 0.5% | ||||||||
Barclays SA, 1.25%, 10/01/2019 | 6,528 | 6,528 | ||||||
BNP Paribas SA, | ||||||||
(0.67%), 10/01/2019 | EUR | 2,978 | 3,246 | |||||
1.25%, 10/01/2019 | 2,164 | 2,164 | ||||||
2.20%, 10/02/2019 | HKD | 3,500 | 447 | |||||
Brown Brothers Harriman, | ||||||||
(1.62%), 10/01/2019 | CHF | 1,630 | 1,634 | |||||
(0.85%), 10/01/2019 | DKK | 1,681 | 245 | |||||
(0.67%), 10/01/2019 | EUR | 4 | 4 | |||||
(0.51%), 10/01/2019 | SEK | 260 | 26 | |||||
0.38%, 10/01/2019 | GBP | — | (h) | — | (h) |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | ||||||||
Time Deposits — continued | ||||||||
0.50%, 10/01/2019 | NOK | 1,270 | 140 | |||||
0.79%, 10/01/2019 | SGD | 40 | 29 | |||||
1.25%, 10/01/2019 | 13 | 13 | ||||||
Citibank NA, | ||||||||
(0.67%), 10/01/2019 | EUR | 534 | 582 | |||||
0.38%, 10/01/2019 | GBP | 5,369 | 6,602 | |||||
1.25%, 10/01/2019 | 1,132 | 1,132 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $22,792) | 22,792 | |||||||
|
| |||||||
Total Investments — 99.8% (Cost — $5,028,345)* | 5,012,196 | |||||||
Other Assets in Excess of Liabilities — 0.2% | 11,145 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 5,023,341 | ||||||
|
|
Percentages indicated are based on net assets.
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Futures contracts outstanding as of September 30, 2019:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||
Long Contracts |
| |||||||||||
EURO STOXX 50 Index | 167 | 12/2019 | EUR | 6,401 | 70 | |||||||
FTSE 100 Index | 103 | 12/2019 | GBP | 9,245 | 106 | |||||||
MSCI Emerging Markets Index | 137 | 12/2019 | USD | 6,991 | (128 | ) | ||||||
|
| |||||||||||
Total unrealized appreciation (depreciation) | 48 | |||||||||||
|
|
Six Circles International Unconstrained Equity Fund
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019
ADR | — | American Depositary Receipt | ||
CVA | — | Dutch Certification | ||
GDR | — | Global Depositary Receipt | ||
NVDR | — | Non-Voting Depository Receipt | ||
REIT | — | Real Estate Investment Trust | ||
SDR | — | Swedish Depository Receipt | ||
(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. | ||
(bb) | — | Security has been valued using significant unobservable inputs. | ||
* | — | The cost of securities is substantially the same for federal income tax purposes. | ||
CHF | — | Swiss Franc | ||
DKK | — | Danish Krone | ||
EUR | — | Euro | ||
GBP | — | British Pound | ||
HKD | — | Hong Kong Dollar | ||
NOK | — | Norwegian Krone | ||
SEK | — | Swedish Krona | ||
SGD | — | Singapore Dollar | ||
USD | — | United States Dollar |
Six Circles International Unconstrained Equity Fund
Summary of Investments by Industry, September 30, 2019
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
INDUSTRY | PERCENTAGE | |||
Oil & Gas | 20.5 | % | ||
Pharmaceuticals | 16.3 | % | ||
Food | 12.2 | % | ||
Cosmetics/Personal Care | 8.1 | % | ||
Beverages | 7.5 | % | ||
Agriculture | 2.9 | % | ||
Banks | 2.9 | % | ||
Household Products/Wares | 2.6 | % | ||
Insurance | 1.9 | % | ||
Telecommunications | 1.4 | % | ||
Real Estate | 1.3 | % | ||
Diversified Financial Services | 1.3 | % | ||
Electric | 1.2 | % | ||
Chemicals | 1.2 | % | ||
Commercial Services | 1.1 | % | ||
Apparel | 1.1 | % | ||
Engineering & Construction | 1.1 | % | ||
REITS | 1.1 | % | ||
Semiconductors | 1.0 | % | ||
Others (Each less than 1.0%) | 12.8 | % | ||
Short term | 0.5 | % |
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited)
A. Valuation of Investments —The valuation of investments is in accordance with U.S. generally accepted accounting principles (“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 appointed the Six Circles Funds Valuation Committee (“VC”), comprised of officers of the Funds and other personnel of the J.P. Morgan Private Investments Inc. (the “Adviser”), to assist the Board with the oversight and monitoring of the valuation of the Funds’ investments. 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 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.
Futures are generally valued on the basis of available market quotations. Swaps and 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.
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
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 | $ | — | $ | 118,252 | $ | 500 | $ | 118,752 | ||||||||
Certificates of Deposit | ||||||||||||||||
Financial | — | 14,025 | — | 14,025 | ||||||||||||
Collateralized Mortgage Obligations | — | 18,906 | — | 18,906 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 44,270 | — | 44,270 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Basic Materials | — | 2,425 | — | 2,425 | ||||||||||||
Communications | — | 24,660 | — | 24,660 | ||||||||||||
Consumer Cyclical | — | 59,819 | — | 59,819 | ||||||||||||
ConsumerNon-cyclical | — | 77,846 | — | 77,846 | ||||||||||||
Diversified | — | 1,698 | — | 1,698 | ||||||||||||
Energy | — | 27,435 | — | 27,435 | ||||||||||||
Financial | — | 181,981 | — | 181,981 | ||||||||||||
Industrial | — | 49,090 | — | 49,090 | ||||||||||||
Technology | — | 31,303 | — | 31,303 | ||||||||||||
Utilities | — | 14,119 | — | 14,119 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Corporate Bonds | — | 470,376 | — | 470,376 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Government Securities | — | 9,867 | — | 9,867 | ||||||||||||
Mortgage-Backed Securities | — | 47,383 | — | 47,383 | ||||||||||||
U.S. Government Agency Security | — | 4,003 | — | 4,003 | ||||||||||||
U.S. Treasury Obligations | — | 84,683 | — | 84,683 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Certificates of Deposit | — | 33,510 | — | 33,510 | ||||||||||||
Commercial Papers | — | 82,276 | — | 82,276 | ||||||||||||
Corporate Notes | — | 8,014 | — | 8,014 | ||||||||||||
Repurchase Agreements | — | 210,000 | — | 210,000 | ||||||||||||
Time Deposits | — | 14,965 | — | 14,965 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 348,765 | — | 348,765 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | — | $ | 1,160,530 | $ | 500 | $ | 1,161,030 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments |
| |||||||||||||||
Futures contracts | $ | 73 | $ | — | $ | — | $ | 73 | ||||||||
Forward Foreign Currency Exchange contracts | — | 11 | — | 11 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Appreciation in Other Financial Instruments | $ | 73 | $ | 11 | $ | — | $ | 84 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures contracts | $ | (743 | ) | $ | — | $ | — | $ | (743 | ) | ||||||
Centrally Cleared Interest Rate Swap contracts | — | (2,927 | ) | — | (2,927 | ) | ||||||||||
Forward Foreign Currency Exchange contracts | — | (79 | ) | — | (79 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Depreciation in Other Financial Instruments | $ | (743 | ) | $ | (3,006 | ) | $ | — | $ | (3,749 | ) | |||||
|
|
|
|
|
|
|
|
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
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 | $ | — | $ | 39,154 | $ | — | $ | 39,154 | ||||||||
Collateralized Mortgage Obligations | — | 22,105 | — | 22,105 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 12,993 | — | 12,993 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Basic Materials | — | 408 | — | 408 | ||||||||||||
Communications | — | 8,292 | — | 8,292 | ||||||||||||
Consumer Cyclical | — | 29,446 | — | 29,446 | ||||||||||||
ConsumerNon-cyclical | — | 34,383 | — | 34,383 | ||||||||||||
Diversified | — | 1,698 | — | 1,698 | ||||||||||||
Energy | — | 10,230 | — | 10,230 | ||||||||||||
Financial | — | 88,696 | — | 88,696 | ||||||||||||
Industrial | — | 8,120 | — | 8,120 | ||||||||||||
Technology | — | 13,340 | — | 13,340 | ||||||||||||
Utilities | — | 9,858 | — | 9,858 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Corporate Bonds | — | 204,471 | — | 204,471 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Government Securities | — | 10,217 | — | 10,217 | ||||||||||||
Mortgage-Backed Securities | — | 53,760 | — | 53,760 | ||||||||||||
Municipal Bonds | — | 773,967 | — | 773,967 | ||||||||||||
U.S. Government Agency Security | — | 4,003 | — | 4,003 | ||||||||||||
U.S. Treasury Obligations | — | 51,478 | — | 51,478 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Commercial Papers | — | 53,559 | — | 53,559 | ||||||||||||
Municipal Bonds | — | 51,045 | — | 51,045 | ||||||||||||
Time Deposits | — | 26,600 | — | 26,600 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 131,204 | — | 131,204 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | — | $ | 1,303,352 | $ | — | $ | 1,303,352 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures contracts | $ | 101 | $ | — | $ | — | $ | 101 | ||||||||
Forward Foreign Currency Exchange contracts | — | 13 | — | 13 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Appreciation in Other Financial Instruments | $ | 101 | $ | 13 | $ | — | $ | 114 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures contracts | $ | (716 | ) | $ | — | $ | — | $ | (716 | ) | ||||||
Centrally Cleared Interest Rate Swap contracts | — | (2,892 | ) | — | (2,892 | ) | ||||||||||
Forward Foreign Currency Exchange contracts | — | (90 | ) | — | (90 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Depreciation in Other Financial Instruments | $ | (716 | ) | $ | (2,982 | ) | $ | — | $ | (3,698 | ) | |||||
|
|
|
|
|
|
|
|
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
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 | $ | 123,226 | $ | — | $ | — | $ | 123,226 | ||||||||
Communications | 1,962,777 | — | — | 1,962,777 | ||||||||||||
Consumer Cyclical | 567,216 | — | — | 567,216 | ||||||||||||
ConsumerNon-cyclical | 3,073,879 | — | — | 3,073,879 | ||||||||||||
Energy | 1,021,145 | — | — | 1,021,145 | ||||||||||||
Financial | 1,082,998 | — | — | 1,082,998 | ||||||||||||
Industrial | 694,281 | — | — | 694,281 | ||||||||||||
Technology | 1,662,988 | — | — | 1,662,988 | ||||||||||||
Utilities | 257,777 | — | — | 257,777 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 10,446,287 | — | — | 10,446,287 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Time Deposits | — | 17,184 | — | 17,184 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 10,446,287 | $ | 17,184 | $ | — | $ | 10,463,471 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures contracts | $ | (201 | ) | $ | — | $ | — | $ | (201 | ) | ||||||
|
|
|
|
|
|
|
|
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (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 | ||||||||||||||||
Australia | $ | — | $ | 7,833 | $ | — | $ | 7,833 | ||||||||
Austria | — | 17,376 | — | 17,376 | ||||||||||||
Belgium | — | 108,920 | — | 108,920 | ||||||||||||
Chile | — | 689 | — | 689 | ||||||||||||
China | 14,816 | 59,973 | 1,684 | 76,473 | ||||||||||||
Denmark | — | 122,542 | — | 122,542 | ||||||||||||
Finland | 1,177 | 27,037 | — | 28,214 | ||||||||||||
France | 6,176 | 718,541 | — | 724,717 | ||||||||||||
Germany | 10,718 | 252,718 | — | 263,436 | ||||||||||||
Hong Kong | 7,954 | 119,485 | — | 127,439 | ||||||||||||
India | 3,454 | 51,015 | — | 54,469 | ||||||||||||
Indonesia | — | 14,681 | — | 14,681 | ||||||||||||
Ireland | 26,935 | 12,511 | — | 39,446 | ||||||||||||
Isle of Man | — | 850 | — | 850 | ||||||||||||
Italy | — | 116,251 | — | 116,251 | ||||||||||||
Luxembourg | — | 6,268 | — | 6,268 | ||||||||||||
Macau | — | 4,660 | — | 4,660 | ||||||||||||
Malaysia | — | 22,175 | — | 22,175 | ||||||||||||
Mexico | — | 323 | — | 323 | ||||||||||||
Netherlands | 10,742 | 519,307 | — | 530,049 | ||||||||||||
Norway | — | 63,154 | — | 63,154 | ||||||||||||
Pakistan | 433 | 487 | — | 920 | ||||||||||||
Philippines | 2,815 | 8,117 | — | 10,932 | ||||||||||||
Portugal | — | 15,298 | — | 15,298 | ||||||||||||
Russia | — | 480 | — | 480 | ||||||||||||
Singapore | — | 55,710 | — | 55,710 | ||||||||||||
South Africa | — | 536 | — | 536 | ||||||||||||
South Korea | 2,956 | 88,811 | — | 91,767 | ||||||||||||
Spain | — | 99,987 | — | 99,987 | ||||||||||||
Sweden | — | 85,668 | — | 85,668 | ||||||||||||
Switzerland | 10,593 | 883,878 | — | 894,471 | ||||||||||||
Taiwan | — | 103,483 | — | 103,483 | ||||||||||||
Thailand | — | 30,386 | — | 30,386 | ||||||||||||
United Arab Emirates | — | 490 | — | 490 | ||||||||||||
United Kingdom | 16,435 | 1,214,214 | — | 1,230,649 | ||||||||||||
United States | — | 1,780 | — | 1,780 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 115,204 | 4,835,634 | 1,684 | 4,952,522 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Germany | — | 36,840 | — | 36,840 | ||||||||||||
Right | ||||||||||||||||
Thailand | — | — | 42 | 42 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Time Deposits | — | 22,792 | — | 22,792 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 115,204 | $ | 4,895,266 | $ | 1,726 | $ | 5,012,196 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures contracts | $ | 176 | $ | — | $ | — | $ | 176 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures contracts | $ | (128 | ) | $ | — | $ | — | $ | (128 | ) | ||||||
|
|
|
|
|
|
|
|
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
B. Derivatives — The Funds used derivative instruments including futures, 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.
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 theSub-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 apre-determined percentage or fall below apre-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 B(1) — B(3) below describe the various derivatives used by the Funds.
(1) Futures Contracts — The Funds used interest rate futures and index futures to manage interest rate risks associated with portfolio investments and/or to gain or reduce exposure to fluctuations of a particular country or region as well as to lengthen or shorten the duration of the overall investment portfolio.
Futures contracts 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 changes in net unrealized appreciation/depreciation. Futures contracts outstanding at period end, if any, are listed after each Fund’s SOIs.
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
The use of futures contracts exposes 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 Funds to risk of loss 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 — Six Circles Ultra Short Duration Fund and Six Circles Tax Aware Ultra Short Duration 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 fornon-deliverable forward foreign currency exchange contracts.
(3) Swaps — Six Circles Ultra Short Duration Fund and Six Circles Tax Aware Ultra Short Duration 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 and amortized over the term of the swap. The value of an OTC swap agreement is recorded as either an asset or a liability 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. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a variation margin receivable or payable. 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. 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.
Interest Rate Swaps
Six Circles Ultra Short Duration Fund and Six Circles Tax Aware Ultra Short Duration 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.