Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Asset-Backed Securities 15.4% | ||||||||
American Express Credit Account Master Trust, Series 2018-4, Class A, 2.99%, 12/15/2023 | 3,375 | 3,433 | ||||||
Anchorage Capital CLO Ltd., (Cayman Islands), | ||||||||
Series 2015-7A, Class AR2, (ICE LIBOR USD 3 Month + 1.09%), 1.34%, 01/28/2031 (e) (aa) | 577 | 569 | ||||||
Series 2016-8A, Class AR, (ICE LIBOR USD 3 Month + 1.00%), 1.25%, 07/28/2028 (e) (aa) | 1,850 | 1,835 | ||||||
Apidos CLO XXI, (Cayman Islands), Series 2015-21A, Class A1R, (ICE LIBOR USD 3 Month + 0.93%), 1.20%, 07/18/2027 (e) (aa) | 1,000 | 994 | ||||||
Atlas Senior Loan Fund III Ltd., (Cayman Islands), Series 2013-1A, Class AR, (ICE LIBOR USD 3 Month + 0.83%), 1.11%, 11/17/2027 (e) (aa) | 506 | 499 | ||||||
Atrium XII, (Cayman Islands), Series 12A, Class AR, (ICE LIBOR USD 3 Month + 0.83%), 1.09%, 04/22/2027 (e) (aa) | 989 | 983 | ||||||
B2R Mortgage Trust, Series 2016-1, Class A, 2.57%, 06/15/2049 (e) | 1,042 | 1,043 | ||||||
Battalion CLO Ltd., (Cayman Islands), Series 2020-18A, Class A1, (ICE LIBOR USD 3 Month + 1.80%), 0.00%, 10/15/2032 (e) (aa) | 1,000 | 998 | ||||||
Battalion CLO X Ltd., (Cayman Islands), Series 2016-10A, Class A1R, (ICE LIBOR USD 3 Month + 1.25%), 1.51%, 01/24/2029 (e) (aa) | 1,500 | 1,495 | ||||||
Birch Grove CLO Ltd., (Cayman Islands), Series 19A, Class A, (ICE LIBOR USD 3 Month + 1.49%), 1.74%, 06/15/2031 (e) (aa) | 2,000 | 2,001 | ||||||
BlueMountain CLO Ltd., (Cayman Islands), Series 2012-2A, Class AR2, (ICE LIBOR USD 3 Month + 1.05%), 1.30%, 11/20/2028 (e) (aa) | 2,100 | 2,089 | ||||||
BMW Canada Auto Trust, (Canada), | ||||||||
Series 2019-1A, Class A1, 2.15%, 10/20/2021 (e) | CAD | 579 | 436 | |||||
Series 2020-1A, Class A1, 1.96%, 09/20/2022 (e) | CAD | 1,663 | 1,260 | |||||
Burnham Park CLO Ltd., (Cayman Islands), Series 2016-1A, Class AR, (ICE LIBOR USD 3 Month + 1.15%), 1.42%, 10/20/2029 (e) (aa) | 500 | 493 | ||||||
Capital One Multi-Asset Execution Trust, Series 2019-A1, Class A1, 2.84%, 12/15/2024 | 5,000 | 5,176 | ||||||
CarMax Auto Owner Trust, | ||||||||
Series 2017-1, Class A3, 1.98%, 11/15/2021 | | (h) | | (h) | ||||
Series 2017-2, Class A3, 1.93%, 03/15/2022 | 80 | 80 | ||||||
Series 2017-3, Class A3, 1.97%, 04/15/2022 | 297 | 298 | ||||||
Series 2018-4, Class A3, 3.36%, 09/15/2023 | 1,950 | 2,000 | ||||||
Series 2019-1, Class A2A, 3.02%, 07/15/2022 | 203 | 203 | ||||||
Series 2019-3, Class A3, 2.18%, 08/15/2024 | 1,000 | 1,027 | ||||||
Series 2020-3, Class A2B, (ICE LIBOR USD 1 Month + 0.25%), 0.40%, 06/15/2023 (aa) | 440 | 440 | ||||||
CBAM Ltd., (Cayman Islands), Series 2017-3A, Class A, (ICE LIBOR USD 3 Month + 1.23%), 1.50%, 10/17/2029 (e) (aa) | 1,140 | 1,136 | ||||||
Chesapeake Funding II LLC, | ||||||||
Series 2018-2A, Class A1, 3.23%, 08/15/2030 (e) | 1,041 | 1,056 | ||||||
Series 2019-1A, Class A1, 2.94%, 04/15/2031 (e) | 916 | 940 | ||||||
Series 2020-1A, Class A2, (ICE LIBOR USD 1 Month + 0.65%), 0.80%, 08/16/2032 (e) (aa) | 1,055 | 1,056 | ||||||
CIFC Funding Ltd., (Cayman Islands), Series 2014-5A, Class A1R2, (ICE LIBOR USD 3 Month + 1.20%), 1.47%, 10/17/2031 (e) (aa) | 750 | 744 | ||||||
CNH Equipment Trust, | ||||||||
Series 2019-A, Class A2, 2.96%, 05/16/2022 | 156 | 157 | ||||||
Series 2020-A, Class A2, 1.08%, 07/17/2023 | 1,030 | 1,035 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Asset-Backed Securities continued | ||||||||
Discover Card Execution Note Trust, Series 2019-A2, Class A, (ICE LIBOR USD 1 Month + 0.27%), 0.42%, 12/15/2023 (aa) | 1,500 | 1,502 | ||||||
Drive Auto Receivables Trust, Series 2019-4, Class A3, 2.16%, 05/15/2023 | 810 | 816 | ||||||
DT Auto Owner Trust, Series 2020-3A, Class A, 0.54%, 04/15/2024 (e) | 2,000 | 2,000 | ||||||
Enterprise Fleet Financing LLC, | ||||||||
Series 2018-2, Class A2, 3.14%, 02/20/2024 (e) | 611 | 617 | ||||||
Series 2019-3, Class A2, 2.06%, 05/20/2025 (e) | 1,402 | 1,427 | ||||||
Ford Auto Securitization Trust, (Canada), Series 2019-BA, Class A2, 2.32%, 10/15/2023 (e) | CAD | 1,000 | 761 | |||||
Ford Credit Auto Lease Trust, Series 2020-B, Class A2B, (ICE LIBOR USD 1 Month + 0.26%), 0.41%, 12/15/2022 (aa) | 1,250 | 1,252 | ||||||
Ford Credit Auto Owner Trust, Series 2017-B, Class A3, 1.69%, 11/15/2021 | 124 | 124 | ||||||
Ford Credit Floorplan Master Owner Trust A, | ||||||||
Series 2018-3, Class A2, (ICE LIBOR USD 1 Month + 0.40%), 0.55%, 10/15/2023 (aa) | 3,000 | 3,006 | ||||||
Series 2019-1, Class A, 2.84%, 03/15/2024 | 1,400 | 1,448 | ||||||
Series 2019-3, Class A2, (ICE LIBOR USD 1 Month + 0.60%), 0.75%, 09/15/2024 (aa) | 2,480 | 2,491 | ||||||
Series 2020-1, Class A1, 0.70%, 09/15/2025 | 1,400 | 1,404 | ||||||
Galaxy XXIII CLO Ltd., (Cayman Islands), Series 2017-23A, Class A, (ICE LIBOR USD 3 Month + 1.28%), 1.54%, 04/24/2029 (e) (aa) | 720 | 720 | ||||||
GM Financial Automobile Leasing Trust, Series 2020-3, Class A2B, (ICE LIBOR USD 1 Month + 0.13%), 0.57%, 11/21/2022 (aa) | 2,000 | 2,000 | ||||||
GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class A3, 1.84%, 09/16/2024 | 2,600 | 2,663 | ||||||
Home Equity Asset Trust, Series 2005-8, Class M1, (ICE LIBOR USD 1 Month + 0.43%), 0.58%, 02/25/2036 (aa) | 1,180 | 1,176 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
Series 2018-4, Class A3, 3.16%, 01/17/2023 | 620 | 632 | ||||||
Series 2020-1, Class A3, 1.61%, 04/22/2024 | 2,500 | 2,559 | ||||||
Series 2020-2, Class A3, 0.82%, 07/15/2024 | 3,660 | 3,694 | ||||||
Hyundai Auto Receivables Trust, Series 2020-B, Class A2, 0.38%, 03/15/2023 | 1,950 | 1,951 | ||||||
ICG US CLO Ltd., (Cayman Islands), Series 2015-1A, Class A1R, (ICE LIBOR USD 3 Month + 1.14%), 1.41%, 10/19/2028 (e) (aa) | 1,000 | 993 | ||||||
John Deere Owner Trust, Series 2020-B, Class A2, 0.41%, 03/15/2023 | 1,690 | 1,691 | ||||||
Legacy Mortgage Asset Trust, Series 2019-GS3, Class A1, SUB, 3.75%, 04/25/2059 (e) | 256 | 261 | ||||||
Marlette Funding Trust, Series 2018-4A, Class A, 3.71%, 12/15/2028 (e) | 194 | 195 | ||||||
Navient Private Education Loan Trust, Series 2017-A, Class A2B, (ICE LIBOR USD 1 Month + 0.90%), 1.05%, 12/16/2058 (e) (aa) | 842 | 839 | ||||||
Navient Student Loan Trust, Series 2018-EA, Class A1, 3.43%, 12/15/2059 (e) | 155 | 156 | ||||||
Nelnet Student Loan Trust, Series 2019-2A, Class A, (ICE LIBOR USD 1 Month + 0.90%), 1.08%, 06/27/2067 (e) (aa) | 1,213 | 1,203 | ||||||
Neuberger Berman Loan Advisers CLO Ltd., (Cayman Islands), Series 2017-26A, Class A, (ICE LIBOR USD 3 Month + 1.17%), 1.44%, 10/18/2030 (e) (aa) | 1,900 | 1,887 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
Series 2017-B, Class A3, 1.75%, 10/15/2021 | 191 | 191 | ||||||
Series 2019-A, Class A2A, 2.82%, 01/18/2022 | 268 | 269 | ||||||
Series 2020-A, Class A3, 1.38%, 12/16/2024 | 3,040 | 3,101 | ||||||
Oscar US Funding X LLC, (Japan), Series 2019-1A, Class A2, 3.10%, 04/11/2022 (e) | 616 | 619 | ||||||
OZLM XII Ltd., (Cayman Islands), Series 2015-12A, Class A1R, (ICE LIBOR USD 3 Month + 1.05%), 1.32%, 04/30/2027 (e) (aa) | 228 | 226 | ||||||
OZLM XIV Ltd., (Cayman Islands), Series 2015-14A, Class A1AR, (ICE LIBOR USD 3 Month + 1.16%), 1.44%, 01/15/2029 (e) (aa) | 655 | 651 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Asset-Backed Securities continued | ||||||||
Palmer Square Loan Funding Ltd., (Cayman Islands), Series 2018-5A, Class A1, (ICE LIBOR USD 3 Month + 0.85%), 1.12%, 01/20/2027 (e) (aa) | 1,281 | 1,269 | ||||||
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-WCW2, Class M2, (ICE LIBOR USD 1 Month + 0.80%), 0.94%, 07/25/2035 (aa) | 1,744 | 1,720 | ||||||
Regatta Funding LP, (Cayman Islands), Series 2013-2A, Class A1R2, (ICE LIBOR USD 3 Month + 1.25%), 1.53%, 01/15/2029 (e) (aa) | 600 | 598 | ||||||
SLM Student Loan Trust, | ||||||||
Series 2003-10A, Class A3, (ICE LIBOR USD 3 Month + 0.47%), 0.72%, 12/15/2027 (e) (aa) | 1,218 | 1,211 | ||||||
Series 2004-10, Class A7B, (ICE LIBOR USD 3 Month + 0.60%), 0.84%, 10/25/2029 (e) (aa) | 1,795 | 1,788 | ||||||
SMB Private Education Loan Trust, | ||||||||
Series 2015-B, Class A2A, 2.98%, 07/15/2027 (e) | 858 | 872 | ||||||
Series 2016-B, Class A2B, (ICE LIBOR USD 1 Month + 1.45%), 1.60%, 02/17/2032 (e) (aa) | 1,306 | 1,310 | ||||||
Series 2016-C, Class A2A, 2.34%, 09/15/2034 (e) | 924 | 941 | ||||||
Series 2020-PTA, Class A1, (ICE LIBOR USD 1 Month + 0.30%), 0.45%, 09/15/2054 (e) (aa) | 1,827 | 1,818 | ||||||
Series 2020-PTA, Class A2A, 1.60%, 09/15/2054 (e) | 700 | 704 | ||||||
SoFi Consumer Loan Program Trust, | ||||||||
Series 2019-1, Class A, 3.24%, 02/25/2028 (e) | 242 | 244 | ||||||
Series 2019-3, Class A, 2.90%, 05/25/2028 (e) | 384 | 388 | ||||||
SoFi Professional Loan Program LLC, | ||||||||
Series 2016-C, Class A2B, 2.36%, 12/27/2032 (e) | 796 | 807 | ||||||
Series 2018-A, Class A2A, 2.39%, 02/25/2042 (e) | 9 | 9 | ||||||
SoFi Professional Loan Program Trust, Series 2020-A, Class A1FX, 2.06%, 05/15/2046 (e) | 2,243 | 2,263 | ||||||
Sound Point CLO XV Ltd., (Cayman Islands), Series 2017-1A, Class AR, (ICE LIBOR USD 3 Month + 1.15%), 1.41%, 01/23/2029 (e) (aa) | 500 | 496 | ||||||
Springleaf Funding Trust, Series 2017-AA, Class A, 2.68%, 07/15/2030 (e) | 411 | 411 | ||||||
TCI-Symphony CLO Ltd., (Cayman Islands), Series 2016-1A, Class AR, (ICE LIBOR USD 3 Month + 1.16%), 1.43%, 10/13/2029 (e) (aa) | 265 | 264 | ||||||
Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.35%, 05/25/2033 (e) | 1,500 | 1,540 | ||||||
Toyota Auto Receivables Owner Trust, | ||||||||
Series 2018-B, Class A3, 2.96%, 09/15/2022 | 2,255 | 2,282 | ||||||
Series 2019-A, Class A2A, 2.83%, 10/15/2021 | 201 | 202 | ||||||
Venture XVIII CLO Ltd., (Cayman Islands), Series 2014-18A, Class AR, (ICE LIBOR USD 3 Month + 1.22%), 1.50%, 10/15/2029 (e) (aa) | 2,100 | 2,089 | ||||||
Venture XXIV CLO Ltd., (Cayman Islands), Series 2016-24A, Class AR, (ICE LIBOR USD 3 Month + 1.18%), 1.45%, 10/20/2028 (e) (aa) | 105 | 104 | ||||||
Verizon Owner Trust, Series 2020-A, Class A1B, (ICE LIBOR USD 1 Month + 0.27%), 0.43%, 07/22/2024 (aa) | 520 | 520 | ||||||
Voya CLO Ltd., (Cayman Islands), | ||||||||
Series 2015-2A, Class AR, (ICE LIBOR USD 3 Month + 0.97%), 1.23%, 07/23/2027 (e) (aa) | 750 | 745 | ||||||
Series 2018-3A, Class A1A, (ICE LIBOR USD 3 Month + 1.15%), 1.43%, 10/15/2031 (e) (aa) | 1,150 | 1,147 | ||||||
VOYA CLO, (Cayman Islands), Series 2017-2A, Class A1, (ICE LIBOR USD 3 Month + 1.21%), 1.49%, 06/07/2030 (e) (aa) | 270 | 268 | ||||||
WhiteHorse VIII Ltd., (Cayman Islands), Series 2014-1A, Class AR, (ICE LIBOR USD 3 Month + 0.90%), 1.15%, 05/01/2026 (e) (aa) | 141 | 141 | ||||||
World Omni Select Auto Trust, Series 2020-A, Class A2, 0.47%, 06/17/2024 | 700 | 700 | ||||||
|
| |||||||
Total Asset-Backed Securities (Cost $104,498) | 104,852 | |||||||
|
|
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Certificates of Deposit 1.1% | ||||||||
Financial 1.1% | ||||||||
Banks 1.1% | ||||||||
Credit Suisse AG, (Switzerland), (United States SOFR + 0.30%), 0.38%, 09/17/2021 (aa) | 3,000 | 3,001 | ||||||
Sumitomo Mitsui Banking Corp., (Japan), | ||||||||
(ICE LIBOR USD 3 Month + 0.35%), 0.60%, 11/05/2021 (aa) | 1,500 | 1,501 | ||||||
0.70%, 07/15/2022 | 3,000 | 3,001 | ||||||
|
| |||||||
Total Financial | 7,503 | |||||||
|
| |||||||
Total Certificates of Deposit (Cost $7,500) | 7,503 | |||||||
|
| |||||||
Collateralized Mortgage Obligations 3.5% | ||||||||
Brass NO 8 plc, (United Kingdom), Series 8A, Class A1, (ICE LIBOR USD 3 Month + 0.70%), 0.98%, 11/16/2066 (e) (aa) | 237 | 233 | ||||||
Canterbury Finance plc, (United Kingdom), Series 1, Class A2, Reg. S, (SONIA Deposit Rates Swap 3 Month + 1.35%), 1.41%, 05/16/2056 (aa) | GBP | 1,000 | 1,286 | |||||
COLT Mortgage Loan Trust, Series 2020-1R, Class A1, 1.26%, 09/25/2065 (e) (z) (bb) | 500 | 500 | ||||||
Credit Suisse Mortgage Capital Certificates, Series 2019-RPL4, Class A1, 3.51%, 08/26/2058 (e) | 272 | 274 | ||||||
FHLMC REMICS, | ||||||||
Series 4950, Class A, 2.50%, 06/25/2034 | 1,870 | 1,882 | ||||||
Series 4961, Class LA, 2.50%, 07/25/2034 | 2,038 | 2,057 | ||||||
Finsbury Square plc, (United Kingdom), Series 2018-2, Class A, Reg. S, (ICE LIBOR GBP 3 Month + 0.95%), 1.01%, 09/12/2068 (aa) | GBP | 469 | 606 | |||||
Finsbury Square plc, (United Kingdom), Series 20-2A, Class A, (SONIA Deposit Rates Swap 3 Month + 1.30%), 0.00%, 06/16/2070 (e) (aa) | GBP | 500 | 650 | |||||
FNMA REMICS, Series 2020-29, Class FC, (ICE LIBOR USD 1 Month + 0.80%), 0.96%, 05/25/2050 (aa) | 3,032 | 3,046 | ||||||
GCAT LLC, Series 2020-3, Class A1, SUB, 2.98%, 09/25/2025 (e) (bb) | 1,500 | 1,500 | ||||||
GNMA, | ||||||||
Series 2015-H04, Class FA, (ICE LIBOR USD 1 Month + 0.65%), 0.80%, 12/20/2064 (aa) | 1,859 | 1,872 | ||||||
Series 2017-121, Class PE, 3.00%, 07/20/2046 | 1,369 | 1,406 | ||||||
Series 2018-H18, Class FC, (ICE LIBOR USD 1 Month + 0.35%), 0.50%, 08/20/2065 (aa) | 2,499 | 2,494 | ||||||
Series 2019-54, Class KF, (ICE LIBOR USD 1 Month + 0.42%), 0.58%, 05/20/2044 (aa) | 950 | 950 | ||||||
Lanark Master Issuer plc, (United Kingdom), Series 2019-1A, Class 1A1, (ICE LIBOR USD 3 Month + 0.77%), 1.03%, 12/22/2069 (e) (aa) | 1,050 | 1,043 | ||||||
London Wall Mortgage Capital plc, (United Kingdom), Series 2017-FL1, Class A, Reg. S, (ICE LIBOR GBP 3 Month + 0.85%), 0.92%, 11/15/2049 (aa) | GBP | 79 | 102 | |||||
New Residential Mortgage Loan Trust, Series 2018-3A, Class A1, 4.50%, 05/25/2058 (e) (z) | 204 | 221 | ||||||
Polaris RMBS, (United Kingdom), Series 2019-1, Class A, Reg.S, (SONIA Deposit Rates Swap 1 Month + 1.25%), 1.31%, 04/27/2057 (aa) | GBP | 732 | 944 | |||||
Ripon Mortgages plc, (United Kingdom), Series 1X, Class A1, Reg. S, (ICE LIBOR GBP 3 Month + 0.80%), 0.87%, 08/20/2056 (aa) | GBP | 201 | 259 | |||||
Silverstone Master Issuer plc, (United Kingdom), Series 2019-1A, Class 1A, (ICE LIBOR USD 3 Month + 0.57%), 0.84%, 01/21/2070 (e) (aa) | 144 | 144 | ||||||
Starwood Mortgage Residential Trust, Series 2020-3, Class A1, 1.49%, 04/25/2065 (e) (z) | 964 | 967 | ||||||
Towd Point Mortgage Funding, (United Kingdom), Series 2019-A13A, Class A1, (SONIA Deposit Rates Swap 3 Month + 0.90%), 0.97%, 07/20/2045 (e) (aa) | GBP | 834 | 1,073 | |||||
Trinity Square plc, (United Kingdom), Series 2015-1X, Class A, Reg. S, (ICE LIBOR GBP 3 Month + 1.15%), 1.23%, 07/15/2051 (aa) | GBP | 127 | 164 | |||||
|
| |||||||
Total Collateralized Mortgage Obligations (Cost $23,554) | 23,673 | |||||||
|
| |||||||
Commercial Mortgage-Backed Securities 3.7% | ||||||||
AREIT Trust, | ||||||||
Series 2018-CRE2, Class A, (ICE LIBOR USD 1 Month + 0.98%), 1.13%, 11/14/2035 (e) (aa) | 897 | 894 | ||||||
Series 2019-CRE3, Class A, (ICE LIBOR USD 1 Month + 1.02%), 1.17%, 09/14/2036 (e) (aa) | 500 | 493 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Commercial Mortgage-Backed Securities continued | ||||||||
BAMLL Commercial Mortgage Securities Trust, Series 2019-RLJ, Class A, (ICE LIBOR USD 1 Month + 1.05%), 1.20%, 04/15/2036 (e) (aa) | 400 | 385 | ||||||
BX Commercial Mortgage Trust, Series 2018-IND, Class A, (ICE LIBOR USD 1 Month + 0.75%), 0.90%, 11/15/2035 (e) (aa) | 1,341 | 1,341 | ||||||
Citigroup Commercial Mortgage Trust, Series 2015-GC29, Class A2, 2.67%, 04/10/2048 | 18 | 18 | ||||||
COMM, Series 2013-GAM, Class A2, 3.37%, 02/10/2028 (e) | 1,500 | 1,438 | ||||||
COMM Mortgage Trust, | ||||||||
Series 2014-UBS2, Class ASB, 3.47%, 03/10/2047 | 1,362 | 1,421 | ||||||
Series 2015-CR23, Class A2, 2.85%, 05/10/2048 | 582 | 582 | ||||||
Series 2015-CR27, Class A2, 2.22%, 10/10/2048 | 141 | 142 | ||||||
Series 2015-LC19, Class A2, 2.79%, 02/10/2048 | 438 | 437 | ||||||
Series 2015-LC19, Class ASB, 3.04%, 02/10/2048 | 513 | 536 | ||||||
GPMT Ltd., (Cayman Islands), Series 2018-FL1, Class A, (ICE LIBOR USD 1 Month + 0.90%), 1.06%, 11/21/2035 (e) (aa) | 204 | 203 | ||||||
Grace Mortgage Trust, Series 2014-GRCE, Class A, 3.37%, 06/10/2028 (e) | 1,000 | 1,006 | ||||||
GS Mortgage Securities Corp. Trust, Series 2016-RENT, Class A, 3.20%, 02/10/2029 (e) | 2,000 | 1,997 | ||||||
GS Mortgage Securities Trust, | ||||||||
Series 2012-GCJ9, Class A3, 2.77%, 11/10/2045 | 978 | 1,003 | ||||||
Series 2013-GC14, Class A3, 3.53%, 08/10/2046 | 147 | 147 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
Series 2013-C10, Class ASB, 3.91%, 07/15/2046 (z) | 209 | 217 | ||||||
Series 2013-C11, Class AAB, 3.85%, 08/15/2046 | 598 | 623 | ||||||
Series 2014-C18, Class A2, 3.19%, 10/15/2047 | 66 | 66 | ||||||
Morgan Stanley Capital I Trust, | ||||||||
Series 2012-C4, Class A3, 2.99%, 03/15/2045 | 164 | 164 | ||||||
Series 2012-C4, Class AS, 3.77%, 03/15/2045 | 1,400 | 1,442 | ||||||
Series 2014-CPT, Class A, 3.35%, 07/13/2029 (e) | 1,500 | 1,520 | ||||||
Series 2019-PLND, Class A, (ICE LIBOR USD 1 Month + 1.00%), 1.15%, 05/15/2036 (e) (aa) | 700 | 672 | ||||||
PFP Ltd., (Cayman Islands), Series 2019-5, Class A, (ICE LIBOR USD 1 Month + 0.97%), 1.12%, 04/14/2036 (e) (aa) | 1,169 | 1,154 | ||||||
Rosslyn Portfolio Trust, Series 2017-ROSS, Class B, (ICE LIBOR USD 1 Month + 1.25%), 2.24%, 06/15/2033 (e) (aa) | 388 | 375 | ||||||
UBS-Citigroup Commercial Mortgage Trust, Series 2011-C1, Class AAB, 3.19%, 01/10/2045 | 436 | 440 | ||||||
VMC Finance LLC, Series 2018-FL2, Class A, (ICE LIBOR USD 1 Month + 0.92%), 1.07%, 10/15/2035 (e) (aa) | 1,076 | 1,058 | ||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||
Series 2012-LC5, Class ASB, 2.53%, 10/15/2045 | 881 | 893 | ||||||
Series 2013-LC12, Class A3FL, (ICE LIBOR USD 1 Month + 1.05%), 1.20%, 07/15/2046 (e) (aa) | 1,000 | 994 | ||||||
Series 2015-NXS2, Class A2, 3.02%, 07/15/2058 | 423 | 430 | ||||||
Series 2016-NXS5, Class A2, 2.71%, 01/15/2059 | 167 | 168 | ||||||
WFRBS Commercial Mortgage Trust, | ||||||||
Series 2012-C9, Class A3, 2.87%, 11/15/2045 | 1,654 | 1,697 | ||||||
Series 2013-C12, Class ASB, 2.84%, 03/15/2048 | 911 | 931 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities (Cost $24,972) | 24,887 | |||||||
|
| |||||||
Corporate Bonds 46.1% | ||||||||
Basic Materials 1.0% | ||||||||
Chemicals 1.0% | ||||||||
DuPont de Nemours, Inc., | ||||||||
(ICE LIBOR USD 3 Month + 0.71%), 0.99%, 11/15/2020 (aa) | 1,500 | 1,501 | ||||||
3.77%, 11/15/2020 | 2,500 | 2,510 | ||||||
Nutrition & Biosciences, Inc., 0.70%, 09/15/2022 (e) | 2,400 | 2,404 | ||||||
|
| |||||||
6,415 | ||||||||
|
|
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Forest Products & Paper 0.0% (g) | ||||||||
Georgia-Pacific LLC, 5.40%, 11/01/2020 (e) | 200 | 201 | ||||||
|
| |||||||
Total Basic Materials | 6,616 | |||||||
|
| |||||||
Communications 0.7% | ||||||||
Advertising 0.0% (g) | ||||||||
Interpublic Group of Cos., Inc. (The), 3.50%, 10/01/2020 | 15 | 15 | ||||||
|
| |||||||
Media 0.7% | ||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital, | ||||||||
(ICE LIBOR USD 3 Month + 1.65%), 1.90%, 02/01/2024 (aa) | 1,000 | 1,023 | ||||||
4.46%, 07/23/2022 | 3,250 | 3,441 | ||||||
|
| |||||||
4,464 | ||||||||
|
| |||||||
Telecommunications 0.0% (g) | ||||||||
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC, 3.36%, 09/20/2021 (e) | 118 | 119 | ||||||
|
| |||||||
Total Communications | 4,598 | |||||||
|
| |||||||
Consumer Cyclical 6.0% | ||||||||
Auto Manufacturers 5.3% | ||||||||
American Honda Finance Corp., | ||||||||
(ICE LIBOR USD 3 Month + 0.35%), 0.60%, 11/05/2021 (aa) | 300 | 300 | ||||||
1.70%, 09/09/2021 | 2,000 | 2,024 | ||||||
BMW Finance NV, (Netherlands), 2.25%, 08/12/2022 (e) | 1,100 | 1,136 | ||||||
BMW US Capital LLC, | ||||||||
(ICE LIBOR USD 3 Month + 0.41%), 0.68%, 04/12/2021 (e) (aa) | 100 | 100 | ||||||
(ICE LIBOR USD 3 Month + 0.50%), 0.75%, 08/13/2021 (e) (aa) | 3,400 | 3,407 | ||||||
Daimler Finance North America LLC, | ||||||||
(ICE LIBOR USD 3 Month + 0.45%), 0.71%, 02/22/2021 (e) (aa) | 1,200 | 1,200 | ||||||
2.30%, 02/12/2021 (e) | 500 | 503 | ||||||
3.00%, 02/22/2021 (e) | 3,500 | 3,534 | ||||||
Ford Motor Credit Co. LLC, 2.34%, 11/02/2020 | 600 | 599 | ||||||
General Motors Financial Co., Inc., | ||||||||
(ICE LIBOR USD 3 Month + 0.54%), 0.79%, 11/06/2020 (aa) | 500 | 500 | ||||||
(ICE LIBOR USD 3 Month + 0.85%), 1.12%, 04/09/2021 (aa) | 1,000 | 1,000 | ||||||
(ICE LIBOR USD 3 Month + 1.10%), 1.35%, 11/06/2021 (aa) | 730 | 730 | ||||||
2.45%, 11/06/2020 | 1,922 | 1,925 | ||||||
3.45%, 04/10/2022 | 1,500 | 1,542 | ||||||
3.70%, 11/24/2020 | 2,900 | 2,904 | ||||||
4.20%, 03/01/2021 | 1,500 | 1,518 | ||||||
Hyundai Capital America, | ||||||||
Reg. S, 2.45%, 06/15/2021 | 365 | 369 | ||||||
Reg. S, 3.00%, 03/18/2021 | 430 | 434 | ||||||
Nissan Motor Acceptance Corp., | ||||||||
(ICE LIBOR USD 3 Month + 0.52%), 0.77%, 03/15/2021 (e) (aa) | 200 | 199 | ||||||
(ICE LIBOR USD 3 Month + 0.65%), 0.92%, 07/13/2022 (e) (aa) | 600 | 586 | ||||||
(ICE LIBOR USD 3 Month + 0.69%), 0.92%, 09/28/2022 (e) (aa) | 1,800 | 1,750 | ||||||
(ICE LIBOR USD 3 Month + 0.89%), 1.16%, 01/13/2022 (e) (aa) | 40 | 40 | ||||||
Toyota Motor Credit Corp., | ||||||||
(ICE LIBOR USD 3 Month + 0.28%), 0.55%, 04/13/2021 (aa) | 500 | 500 | ||||||
2.95%, 04/13/2021 | 3,000 | 3,042 | ||||||
3.30%, 01/12/2022 | 1,100 | 1,140 | ||||||
Volkswagen Group of America Finance LLC, | ||||||||
(ICE LIBOR USD 3 Month + 0.86%), 1.08%, 09/24/2021 (e) (aa) | 1,000 | 1,004 | ||||||
2.70%, 09/26/2022 (e) | 200 | 207 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Auto Manufacturers continued | ||||||||
2.90%, 05/13/2022 (e) | 2,500 | 2,585 | ||||||
4.00%, 11/12/2021 (e) | 900 | 933 | ||||||
|
| |||||||
35,711 | ||||||||
|
| |||||||
Lodging 0.3% | ||||||||
Marriott International, Inc., Series N, 3.13%, 10/15/2021 | 2,000 | 2,027 | ||||||
|
| |||||||
Retail 0.4% | ||||||||
McDonalds Corp., (ICE LIBOR USD 3 Month + 0.43%), 0.68%, 10/28/2021 (aa) | 3,000 | 3,009 | ||||||
|
| |||||||
Total Consumer Cyclical | 40,747 | |||||||
|
| |||||||
Consumer Non-cyclical 11.1% | ||||||||
Agriculture 2.8% | ||||||||
Altria Group, Inc., 4.75%, 05/05/2021 | 7,500 | 7,688 | ||||||
BAT Capital Corp., | ||||||||
(ICE LIBOR USD 3 Month + 0.88%), 1.16%, 08/15/2022 (aa) | 3,200 | 3,218 | ||||||
2.76%, 08/15/2022 | 3,700 | 3,835 | ||||||
Imperial Brands Finance plc, (United Kingdom), 3.75%, 07/21/2022 (e) | 2,800 | 2,926 | ||||||
Philip Morris International, Inc., 2.90%, 11/15/2021 | 1,000 | 1,028 | ||||||
Reynolds American, Inc., 4.00%, 06/12/2022 | 300 | 316 | ||||||
|
| |||||||
19,011 | ||||||||
|
| |||||||
Commercial Services 1.9% | ||||||||
Central Nippon Expressway Co. Ltd., (Japan), Reg. S, 2.36%, 05/28/2021 | 10,000 | 10,104 | ||||||
Equifax, Inc., (ICE LIBOR USD 3 Month + 0.87%), 1.15%, 08/15/2021 (aa) | 2,800 | 2,811 | ||||||
|
| |||||||
12,915 | ||||||||
|
| |||||||
Food 1.5% | ||||||||
Conagra Brands, Inc., 3.80%, 10/22/2021 | 300 | 310 | ||||||
General Mills, Inc., | ||||||||
(ICE LIBOR USD 3 Month + 0.54%), 0.81%, 04/16/2021 (aa) | 1,840 | 1,843 | ||||||
2.60%, 10/12/2022 | 915 | 952 | ||||||
Kroger Co. (The), 2.80%, 08/01/2022 | 3,000 | 3,117 | ||||||
Mondelez International Holdings Netherlands BV, (Netherlands), 2.00%, 10/28/2021 (e) | 3,000 | 3,047 | ||||||
Tyson Foods, Inc., 4.50%, 06/15/2022 | 792 | 838 | ||||||
Wm Wrigley Jr Co., 3.38%, 10/21/2020 (e) | 500 | 501 | ||||||
|
| |||||||
10,608 | ||||||||
|
| |||||||
Healthcare - Services 0.5% | ||||||||
Anthem, Inc., 3.13%, 05/15/2022 | 3,240 | 3,379 | ||||||
|
| |||||||
Pharmaceuticals 4.4% | ||||||||
AbbVie, Inc., | ||||||||
(ICE LIBOR USD 3 Month + 0.35%), 0.60%, 05/21/2021 (e) (aa) | 3,400 | 3,403 | ||||||
5.00%, 12/15/2021 (e) | 3,455 | 3,603 | ||||||
Bayer US Finance II LLC, | ||||||||
(ICE LIBOR USD 3 Month + 0.63%), 0.86%, 06/25/2021 (e) (aa) | 1,150 | 1,152 | ||||||
(ICE LIBOR USD 3 Month + 1.01%), 1.26%, 12/15/2023 (e) (aa) | 3,400 | 3,431 | ||||||
Becton Dickinson and Co., (ICE LIBOR USD 3 Month + 1.03%), 1.28%, 06/06/2022 (aa) | 945 | 952 | ||||||
Cigna Corp., 3.40%, 09/17/2021 | 2,000 | 2,058 | ||||||
CVS Health Corp., | ||||||||
(ICE LIBOR USD 3 Month + 0.72%), 0.96%, 03/09/2021 (aa) | 3,580 | 3,589 | ||||||
2.13%, 06/01/2021 | 4,000 | 4,042 | ||||||
3.50%, 07/20/2022 | 279 | 293 | ||||||
GlaxoSmithKline Capital plc, (United Kingdom), | ||||||||
(ICE LIBOR USD 3 Month + 0.35%), 0.61%, 05/14/2021 (aa) | 750 | 751 | ||||||
3.13%, 05/14/2021 | 1,000 | 1,017 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Pharmaceuticals continued | ||||||||
Shire Acquisitions Investments Ireland DAC, (Ireland), 2.40%, 09/23/2021 | 1,137 | 1,158 | ||||||
Takeda Pharmaceutical Co. Ltd., (Japan), 4.00%, 11/26/2021 | 4,065 | 4,221 | ||||||
|
| |||||||
29,670 | ||||||||
|
| |||||||
Total Consumer Non-cyclical | 75,583 | |||||||
|
| |||||||
Energy 1.1% | ||||||||
Oil & Gas 0.4% | ||||||||
BG Energy Capital plc, (United Kingdom), 4.00%, 10/15/2021 (e) | 750 | 776 | ||||||
Chevron Corp., 2.10%, 05/16/2021 | 1,590 | 1,606 | ||||||
|
| |||||||
2,382 | ||||||||
|
| |||||||
Pipelines 0.7% | ||||||||
TransCanada PipeLines Ltd., (Canada), 3.80%, 10/01/2020 | 3,350 | 3,350 | ||||||
Williams Cos., Inc. (The), 3.60%, 03/15/2022 | 1,500 | 1,551 | ||||||
|
| |||||||
4,901 | ||||||||
|
| |||||||
Total Energy | 7,283 | |||||||
|
| |||||||
Financial 22.3% | ||||||||
Banks 17.2% | ||||||||
Australia & New Zealand Banking Group Ltd., (Australia), (ICE LIBOR USD 3 Month + 0.32%), 0.56%, 11/09/2020 (e) (aa) | 4,000 | 4,001 | ||||||
Banco Santander Chile, (Chile), (ICE LIBOR USD 3 Month + 1.20%), 1.46%, 11/28/2021 (aa) | 3,000 | 2,990 | ||||||
Bank of America Corp., | ||||||||
(ICE LIBOR USD 3 Month + 0.65%), 0.88%, 06/25/2022 (aa) | 1,700 | 1,706 | ||||||
(ICE LIBOR USD 3 Month + 1.18%), 1.45%, 10/21/2022 (aa) | 1,000 | 1,010 | ||||||
(ICE LIBOR USD 3 Month + 1.42%), 1.69%, 04/19/2021 (aa) | 3,000 | 3,023 | ||||||
(ICE LIBOR USD 3 Month + 0.63%), 2.33%, 10/01/2021 (aa) | 2,850 | 2,850 | ||||||
(ICE LIBOR USD 3 Month + 0.37%), 2.74%, 01/23/2022 (aa) | 2,000 | 2,014 | ||||||
Bank of Montreal, (Canada), | ||||||||
(United States SOFR + 0.68%), 0.75%, 03/10/2023 (aa) | 1,900 | 1,909 | ||||||
(ICE LIBOR USD 3 Month + 0.79%), 1.04%, 08/27/2021 (aa) | 100 | 100 | ||||||
Barclays Bank plc, (United Kingdom), 5.14%, 10/14/2020 | 405 | 406 | ||||||
Barclays plc, (United Kingdom), | ||||||||
Reg. S, (BBSW Interbank Volume 3 Month + 1.80%), 1.89%, 06/15/2023 (aa) | AUD | 1,000 | 715 | |||||
3.25%, 01/12/2021 | 3,000 | 3,024 | ||||||
BPCE SA, (France), | ||||||||
(ICE LIBOR USD 3 Month + 1.22%), 1.48%, 05/22/2022 (e) (aa) | 1,000 | 1,011 | ||||||
3.00%, 05/22/2022 (e) | 1,000 | 1,035 | ||||||
Citigroup, Inc., | ||||||||
(ICE LIBOR USD 3 Month + 0.69%), 0.93%, 10/27/2022 (aa) | 1,300 | 1,307 | ||||||
(ICE LIBOR USD 3 Month + 0.95%), 1.21%, 07/24/2023 (aa) | 700 | 705 | ||||||
(ICE LIBOR USD 3 Month + 1.07%), 1.32%, 12/08/2021 (aa) | 2,000 | 2,018 | ||||||
2.65%, 10/26/2020 | 100 | 100 | ||||||
2.70%, 03/30/2021 | 7,000 | 7,083 | ||||||
Citizens Bank NA, | ||||||||
2.25%, 10/30/2020 | 2,200 | 2,201 | ||||||
3.25%, 02/14/2022 | 2,000 | 2,073 | ||||||
Credit Suisse AG, (Switzerland), 1.00%, 05/05/2023 | 1,000 | 1,010 | ||||||
Credit Suisse Group Funding Guernsey Ltd., (Guernsey), 3.45%, 04/16/2021 | 6,500 | 6,609 | ||||||
Danske Bank A/S, (Denmark), | ||||||||
Reg. S, (ICE LIBOR USD 3 Month + 1.06%), 1.31%, 09/12/2023 (aa) | 500 | 496 | ||||||
(ICE LIBOR USD 3 Month + 1.25%), 3.00%, 09/20/2022 (e) (aa) | 1,000 | 1,019 | ||||||
First Abu Dhabi Bank PJSC, (United Arab Emirates), Reg. S, (ICE LIBOR USD 3 Month + 0.95%), 1.22%, 04/16/2022 (aa) | 1,700 | 1,701 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Banks continued | ||||||||
Goldman Sachs Group, Inc. (The), | ||||||||
(ICE LIBOR USD 3 Month + 0.75%), 1.01%, 02/23/2023 (aa) | 1,000 | 1,003 | ||||||
(ICE LIBOR USD 3 Month + 0.78%), 1.04%, 10/31/2022 (aa) | 1,000 | 1,004 | ||||||
(ICE LIBOR USD 3 Month + 1.17%), 1.45%, 11/15/2021 (aa) | 750 | 751 | ||||||
(ICE LIBOR USD 3 Month + 1.36%), 1.60%, 04/23/2021 (aa) | 100 | 101 | ||||||
2.35%, 11/15/2021 | 55 | 55 | ||||||
3.00%, 04/26/2022 | 1,200 | 1,217 | ||||||
5.75%, 01/24/2022 | 3,000 | 3,205 | ||||||
HSBC Holdings plc, (United Kingdom), | ||||||||
(ICE LIBOR USD 3 Month + 1.00%), 1.27%, 05/18/2024 (aa) | 600 | 598 | ||||||
(ICE LIBOR USD 3 Month + 1.23%), 1.48%, 03/11/2025 (aa) | 1,000 | 1,009 | ||||||
ING Groep NV, (Netherlands), (ICE LIBOR USD 3 Month + 1.15%), 1.37%, 03/29/2022 (aa) | 1,700 | 1,716 | ||||||
KEB Hana Bank, (South Korea), (ICE LIBOR USD 3 Month + 0.70%), 0.93%, 10/02/2022 (e) (aa) | 400 | 400 | ||||||
Lloyds Banking Group plc, (United Kingdom), (ICE LIBOR USD 3 Month + 0.80%), 1.03%, 06/21/2021 (aa) | 1,000 | 1,004 | ||||||
Mitsubishi UFJ Financial Group, Inc., (Japan), | ||||||||
(ICE LIBOR USD 3 Month + 0.86%), 1.10%, 07/26/2023 (aa) | 2,300 | 2,321 | ||||||
(ICE LIBOR USD 3 Month + 0.92%), 1.18%, 02/22/2022 (aa) | 700 | 707 | ||||||
(ICE LIBOR USD 3 Month + 1.06%), 1.31%, 09/13/2021 (aa) | 1,185 | 1,194 | ||||||
Mizuho Financial Group, Inc., (Japan), | ||||||||
(ICE LIBOR USD 3 Month + 0.63%), 0.88%, 05/25/2024 (aa) | 2,000 | 1,999 | ||||||
(ICE LIBOR USD 3 Month + 0.94%), 1.20%, 02/28/2022 (aa) | 1,000 | 1,010 | ||||||
(ICE LIBOR USD 3 Month + 1.48%), 1.75%, 04/12/2021 (e) (aa) | 1,000 | 1,007 | ||||||
2.63%, 04/12/2021 (e) | 1,500 | 1,518 | ||||||
Morgan Stanley, | ||||||||
(United States SOFR + 0.70%), 0.78%, 01/20/2023 (aa) | 2,000 | 2,004 | ||||||
(Canada Bankers Acceptances 3 Month + 0.30%), 0.83%, 02/03/2023 (aa) | CAD | 1,800 | 1,340 | |||||
(ICE LIBOR USD 3 Month + 0.93%), 1.19%, 07/22/2022 (aa) | 700 | 703 | ||||||
(ICE LIBOR USD 3 Month + 1.40%), 1.66%, 10/24/2023 (aa) | 500 | 508 | ||||||
2.50%, 04/21/2021 | 3,050 | 3,087 | ||||||
2.63%, 11/17/2021 | 3,000 | 3,075 | ||||||
MUFG Union Bank NA, (United States SOFR + 0.71%), 0.78%, 12/09/2022 (aa) | 300 | 302 | ||||||
National Australia Bank Ltd., (Australia), (ICE LIBOR USD 3 Month + 1.00%), 1.27%, 07/12/2021 (e) (aa) | 1,150 | 1,158 | ||||||
Natwest Group plc, (United Kingdom), | ||||||||
(ICE LIBOR USD 3 Month + 1.47%), 1.75%, 05/15/2023 (aa) | 400 | 402 | ||||||
(ICE LIBOR USD 3 Month + 1.55%), 1.78%, 06/25/2024 (aa) | 900 | 904 | ||||||
NatWest Markets plc, (United Kingdom), (ICE LIBOR USD 3 Month + 1.40%), 1.62%, 09/29/2022 (e) (aa) | 2,100 | 2,117 | ||||||
Nordea Bank Abp, (Finland), (ICE LIBOR USD 3 Month + 0.94%), 1.20%, 08/30/2023 (e) (aa) | 200 | 200 | ||||||
QNB Finance Ltd., (Cayman Islands), | ||||||||
Reg. S, (ICE LIBOR USD 3 Month + 1.00%), 1.25%, 05/02/2022 (aa) | 800 | 798 | ||||||
Reg. S, (ICE LIBOR USD 3 Month + 1.35%), 1.61%, 05/31/2021 (aa) | 1,200 | 1,204 | ||||||
Shinhan Bank Co. Ltd., (South Korea), Reg. S, 2.88%, 03/28/2022 | 1,900 | 1,960 | ||||||
Skandinaviska Enskilda Banken AB, (Sweden), | ||||||||
(ICE LIBOR USD 3 Month + 0.43%), 0.71%, 05/17/2021 (e) (aa) | 1,500 | 1,504 | ||||||
(ICE LIBOR USD 3 Month + 0.65%), 0.89%, 12/12/2022 (e) (aa) | 500 | 504 | ||||||
2.63%, 11/17/2020 (e) | 200 | 201 | ||||||
2.63%, 03/15/2021 | 1,858 | 1,878 | ||||||
Standard Chartered plc, (United Kingdom), | ||||||||
Reg. S, (ICE LIBOR USD 3 Month + 1.20%), 1.45%, 09/10/2022 (aa) | 300 | 301 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Banks continued | ||||||||
3.05%, 01/15/2021 (e) | 1,000 | 1,007 | ||||||
(ICE LIBOR USD 3 Month + 1.56%), 3.79%, 05/21/2025 (e) (aa) | 1,600 | 1,701 | ||||||
Sumitomo Mitsui Financial Group, Inc., (Japan), (ICE LIBOR USD 3 Month + 1.68%), 1.92%, 03/09/2021 (aa) | 100 | 101 | ||||||
Truist Bank, | ||||||||
(ICE LIBOR USD 3 Month + 0.50%), 0.74%, 10/26/2021 (aa) | 1,180 | 1,180 | ||||||
(ICE LIBOR USD 3 Month + 0.59%), 0.87%, 05/17/2022 (aa) | 1,000 | 1,007 | ||||||
UBS AG, (Switzerland), 2.45%, 12/01/2020 (e) | 2,400 | 2,404 | ||||||
UBS Group AG, (Switzerland), | ||||||||
Reg. S, (ICE LIBOR USD 3 Month + 1.53%), 1.78%, 02/01/2022 (aa) | 1,000 | 1,017 | ||||||
3.00%, 04/15/2021 (e) | 4,675 | 4,741 | ||||||
Wells Fargo & Co., | ||||||||
(ICE LIBOR USD 3 Month + 0.93%), 1.18%, 02/11/2022 (aa) | 1,500 | 1,504 | ||||||
(ICE LIBOR USD 3 Month + 1.01%), 1.26%, 12/07/2020 (aa) | 100 | 100 | ||||||
(ICE LIBOR USD 3 Month + 1.23%), 1.49%, 10/31/2023 (aa) | 2,000 | 2,025 | ||||||
2.63%, 07/22/2022 | 1,500 | 1,555 | ||||||
|
| |||||||
116,427 | ||||||||
|
| |||||||
Diversified Financial Services 3.8% | ||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, (Ireland), | ||||||||
4.45%, 12/16/2021 | 700 | 715 | ||||||
5.00%, 10/01/2021 | 1,460 | 1,505 | ||||||
Aircastle Ltd., (Bermuda), 5.50%, 02/15/2022 | 1,350 | 1,380 | ||||||
American Express Co., | ||||||||
(ICE LIBOR USD 3 Month + 0.53%), 0.81%, 05/17/2021 (aa) | 1,000 | 1,002 | ||||||
3.38%, 05/17/2021 | 3,000 | 3,049 | ||||||
BOC Aviation Ltd., (Singapore), | ||||||||
(ICE LIBOR USD 3 Month + 1.05%), 1.30%, 05/02/2021 (e) (aa) | 200 | 200 | ||||||
Reg. S, 2.38%, 09/15/2021 | 2,200 | 2,215 | ||||||
Capital One Bank USA NA, (United States SOFR + 0.62%), 2.01%, 01/27/2023 (aa) | 1,500 | 1,526 | ||||||
Capital One Financial Corp., 2.40%, 10/30/2020 | 3,000 | 3,000 | ||||||
GE Capital International Funding Co. Unlimited Co., (Ireland), 2.34%, 11/15/2020 | 2,889 | 2,895 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd., (Japan), | ||||||||
2.65%, 09/19/2022 (e) | 800 | 823 | ||||||
Reg. S, 2.75%, 10/21/2020 | 2,500 | 2,503 | ||||||
Nomura Holdings, Inc., (Japan), 1.85%, 07/16/2025 | 1,900 | 1,934 | ||||||
Synchrony Financial, | ||||||||
2.85%, 07/25/2022 | 300 | 309 | ||||||
3.75%, 08/15/2021 | 3,000 | 3,060 | ||||||
|
| |||||||
26,116 | ||||||||
|
| |||||||
Insurance 1.3% | ||||||||
Marsh & McLennan Cos., Inc., 4.80%, 07/15/2021 | 3,000 | 3,076 | ||||||
MET Tower Global Funding, (United States SOFR + 0.55%), 0.64%, 01/17/2023 (e) (aa) | 3,900 | 3,918 | ||||||
Metropolitan Life Global Funding I, (ICE LIBOR USD 3 Month + 0.23%), 0.51%, 01/08/2021 (e) (aa) | 2,000 | 2,001 | ||||||
|
| |||||||
8,995 | ||||||||
|
| |||||||
Total Financial | 151,538 | |||||||
|
| |||||||
Industrial 2.2% | ||||||||
Aerospace/Defense 0.6% | ||||||||
Boeing Co. (The), 2.13%, 03/01/2022 | 900 | 907 | ||||||
Northrop Grumman Corp., 2.08%, 10/15/2020 | 2,000 | 2,001 | ||||||
Rolls-Royce plc, (United Kingdom), 2.38%, 10/14/2020 (e) | 1,500 | 1,496 | ||||||
|
| |||||||
4,404 | ||||||||
|
|
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Environmental Control 0.2% | ||||||||
Republic Services, Inc., 3.55%, 06/01/2022 | 1,180 | 1,231 | ||||||
|
| |||||||
Machinery - Construction & Mining 0.4% | ||||||||
Caterpillar Financial Services Corp., Series I, (ICE LIBOR USD 3 Month + 0.39%), 0.67%, 05/17/2021 (aa) | 3,000 | 3,005 | ||||||
|
| |||||||
Miscellaneous Manufacturers 0.2% | ||||||||
General Electric Co., 3.15%, 09/07/2022 | 1,000 | 1,044 | ||||||
|
| |||||||
Transportation 0.5% | ||||||||
Ryder System, Inc., 2.88%, 06/01/2022 | 1,500 | 1,554 | ||||||
United Parcel Service, Inc., 2.05%, 04/01/2021 | 2,000 | 2,018 | ||||||
|
| |||||||
3,572 | ||||||||
|
| |||||||
Trucking & Leasing 0.3% | ||||||||
Aviation Capital Group LLC, 2.88%, 01/20/2022 (e) | 1,400 | 1,390 | ||||||
GATX Corp., (ICE LIBOR USD 3 Month + 0.72%), 0.97%, 11/05/2021 (aa) | 500 | 499 | ||||||
|
| |||||||
1,889 | ||||||||
|
| |||||||
Total Industrial | 15,145 | |||||||
|
| |||||||
Technology 0.8% | ||||||||
Computers 0.4% | ||||||||
Dell International LLC / EMC Corp., 4.42%, 06/15/2021 (e) | 534 | 547 | ||||||
Hewlett Packard Enterprise Co., (ICE LIBOR USD 3 Month + 0.72%), 1.02%, 10/05/2021 (aa) | 1,464 | 1,464 | ||||||
IBM Credit LLC, (ICE LIBOR USD 3 Month + 0.47%), 0.73%, 11/30/2020 (aa) | 420 | 420 | ||||||
|
| |||||||
2,431 | ||||||||
|
| |||||||
Semiconductors 0.4% | ||||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd, | ||||||||
2.20%, 01/15/2021 | 650 | 652 | ||||||
3.00%, 01/15/2022 | 1,800 | 1,852 | ||||||
NXP BV / NXP Funding LLC, (Netherlands), 3.88%, 09/01/2022 (e) | 400 | 423 | ||||||
|
| |||||||
2,927 | ||||||||
|
| |||||||
Total Technology | 5,358 | |||||||
|
| |||||||
Utilities 0.9% | ||||||||
Electric 0.9% | ||||||||
Dominion Energy, Inc., Series D, (ICE LIBOR USD 3 Month + 0.53%), 0.77%, 09/15/2023 (aa) | 1,800 | 1,803 | ||||||
Duke Energy Corp., (ICE LIBOR USD 3 Month + 0.65%), 0.90%, 03/11/2022 (aa) | 2,000 | 2,012 | ||||||
Israel Electric Corp. Ltd., (Israel), Series 6, Reg. S, 5.00%, 11/12/2024 (e) | 300 | 338 | ||||||
Pacific Gas and Electric Co., | ||||||||
1.75%, 06/16/2022 | 600 | 601 | ||||||
3.25%, 06/15/2023 | 100 | 104 | ||||||
3.40%, 08/15/2024 | 100 | 104 | ||||||
3.75%, 02/15/2024 | 100 | 105 | ||||||
3.85%, 11/15/2023 | 100 | 106 | ||||||
4.25%, 08/01/2023 | 800 | 852 | ||||||
Sempra Energy, (ICE LIBOR USD 3 Month + 0.50%), 0.78%, 01/15/2021 (aa) | 200 | 200 | ||||||
|
| |||||||
Total Utilities | 6,225 | |||||||
|
| |||||||
Total Corporate Bonds (Cost $311,303) | 313,093 | |||||||
|
| |||||||
Foreign Government Securities 1.2% | ||||||||
Canada Housing Trust No. 1, (Canada), 1.25%, 06/15/2021 (e) | CAD | 6,000 | 4,537 | |||||
Export-Import Bank of Korea, (South Korea), (ICE LIBOR USD 3 Month + 0.58%), 0.82%, 06/01/2021 (aa) | 3,450 | 3,458 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Korea Development Bank (The), (South Korea), Reg. S, (ICE LIBOR USD 3 Month + 0.80%), 1.07%, 10/30/2022 (aa) | 400 | 403 | ||||||
|
| |||||||
Total Foreign Government Securities (Cost $8,437) | 8,398 | |||||||
|
| |||||||
U.S. Government Agency Securities 4.5% | ||||||||
FHLMC, | ||||||||
0.25%, 08/24/2023 | 1,800 | 1,801 | ||||||
0.38%, 06/08/2022 | 4,000 | 4,001 | ||||||
0.41%, 09/16/2022 | 4,000 | 4,002 | ||||||
0.45%, 05/26/2023 | 4,300 | 4,303 | ||||||
0.70%, 09/02/2025 | 6,000 | 6,002 | ||||||
0.80%, 07/30/2025 | 2,000 | 2,001 | ||||||
U.S. Government Agency Securities continued | ||||||||
FNMA, | ||||||||
0.45%, 06/01/2023 | 4,000 | 4,003 | ||||||
0.50%, 05/05/2023 | 2,300 | 2,301 | ||||||
0.50%, 05/25/2023 | 2,000 | 2,000 | ||||||
|
| |||||||
Total U.S. Government Agency Securities (Cost $30,397) | 30,414 | |||||||
|
| |||||||
U.S. Treasury Obligations 3.8% | ||||||||
U.S. Treasury Floating Rate Notes, | ||||||||
(U.S. Treasury Bill Market Yield 3 Month + 0.11%), 0.21%, 04/30/2022 (aa) | 5,000 | 5,005 | ||||||
(U.S. Treasury Bill Market Yield 3 Month + 0.15%), 0.25%, 01/31/2022 (aa) | 5,000 | 5,008 | ||||||
U.S. Treasury Inflation Indexed Notes, 0.63%, 04/15/2023 | 7,093 | 7,422 | ||||||
U.S. Treasury Notes, | ||||||||
0.13%, 08/15/2023 | 3,300 | 3,297 | ||||||
2.88%, 10/31/2020 | 5,100 | 5,112 | ||||||
|
| |||||||
Total U.S. Treasury Obligations (Cost $25,430) | 25,844 | |||||||
|
| |||||||
Short-Term Investments 20.5% | ||||||||
Corporate Bond 0.3% | ||||||||
Broadcom, Inc., 3.13%, 04/15/2021 | 2,100 | 2,123 | ||||||
|
| |||||||
Certificates of Deposit 3.2% | ||||||||
Banco Santander SA, (Spain), 1.87% 10/15/2020 | 2,000 | 2,001 | ||||||
Barclays Bank plc, (United Kingdom), | ||||||||
0.71%, 02/01/2021 (n) | 2,000 | 2,002 | ||||||
(ICE LIBOR USD 3 Month + 0.45%), 0.73%, 10/08/2020 (aa) | 3,000 | 3,000 | ||||||
(ICE LIBOR USD 3 Month + 0.48%), 0.75%, 07/30/2021 (aa) | 4,000 | 4,000 | ||||||
Credit Suisse AG, (Switzerland), (United States SOFR + 0.35%), 0.42%, 08/03/2021 (aa) | 3,000 | 3,003 | ||||||
Lloyds Bank Crop., 0.46%, 07/20/2021 | 3,000 | 3,004 | ||||||
Standard Chartered Bank, (United Kingdom), (ICE LIBOR USD 3 Month + 0.15%), 0.40%, 08/24/2021 (aa) | 2,750 | 2,751 | ||||||
Toronto-Dominion Bank, (Canada), 0.43%, 08/03/2021 | 2,000 | 2,003 | ||||||
|
| |||||||
Total Certificates of Deposit | 21,764 | |||||||
|
| |||||||
Commercial Papers 3.7% | ||||||||
Boeing Co. (The), 2.18%, 11/18/2020 (e) (n) | 2,000 | 1,997 | ||||||
BPCE SA, (France), | ||||||||
0.32%, 08/20/2021 (e) (n) | 4,000 | 3,991 | ||||||
0.47%, 07/01/2021 (e) (n) | 4,000 | 3,993 | ||||||
Intercontinental Exchange, Inc., 0.45%, 09/23/2021 (e) (n) | 1,575 | 1,567 | ||||||
National Australia Bank Ltd., (Australia), (ICE LIBOR USD 1 Month + 0.11%), 0.26%, 04/29/2021 (e) (aa) | 3,000 | 3,001 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Short-Term Investments continued | ||||||||
NatWest Markets plc, (United Kingdom), Series G, 2.24%, 01/07/2021 (e) (n) | 3,000 | 2,999 | ||||||
Shell International Finance BV, (Netherlands), | ||||||||
1.16%, 02/25/2021 (e) (n) | 2,000 | 1,998 | ||||||
1.17%, 02/16/2021 (e) (n) | 800 | 799 | ||||||
VW Credit, Inc., 2.03%, 01/29/2021 (e) (n) | 2,700 | 2,698 | ||||||
Westpac Securities NZ Ltd., (United Kingdom), (ICE LIBOR USD 1 Month + 0.03%), 0.18%, 02/08/2021 (e) (aa) | 2,000 | 2,000 | ||||||
|
| |||||||
Total Commercial Papers | 25,043 | |||||||
|
| |||||||
Foreign Government Securities 9.3% | ||||||||
Canadian Treasury Bill, (Canada), | ||||||||
Zero Coupon, 10/15/2020 | CAD | 9,000 | 6,759 | |||||
Zero Coupon, 12/17/2020 | CAD | 18,000 | 13,514 | |||||
Japan Treasury Discount Bill, (Japan), | ||||||||
Series 921, Zero Coupon, 10/12/2020 | JPY | 2,500,000 | 23,705 | |||||
Series 926, Zero Coupon, 02/25/2021 | JPY | 1,000,000 | 9,488 | |||||
Series 932, Zero Coupon, 11/02/2020 | JPY | 1,000,000 | 9,483 | |||||
|
| |||||||
Total Foreign Government Securities | 62,949 | |||||||
|
| |||||||
Repurchase Agreement 2.9% | ||||||||
BNP Paribas SA, 0.11%, dated 09/30/2020 due 10/01/2020, repurchase price $19,400, collateralized by U.S. Treasury Security, 2.88%, due 05/15/2043, with a value of $19,715. | 19,400 | 19,400 | ||||||
|
| |||||||
Time Deposits 1.1% | ||||||||
BNP Paribas SA, 0.01%, 10/01/2020 | 131 | 131 | ||||||
Brown Brothers Harriman, | ||||||||
(0.23%), 10/01/2020 | JPY | 66 | 1 | |||||
0.00%, 10/01/2020 | AUD | 53 | 38 | |||||
0.03%, 10/01/2020 | CAD | 269 | 202 | |||||
Citibank NA, | ||||||||
0.01%, 10/01/2020 | 6,752 | 6,752 | ||||||
0.01%, 10/01/2020 | GBP | 25 | 33 | |||||
Skandinaviska Enskilda Banken AB, 0.01%, 10/01/2020 | 513 | 513 | ||||||
|
| |||||||
Total Time Deposits | 7,670 | |||||||
|
| |||||||
Total Short-Term Investments (Cost $138,739) | 138,949 | |||||||
|
| |||||||
Total Investments 99.8% (Cost - $674,830)* | 677,613 | |||||||
Other Assets in Excess of Liabilities 0.2% | 1,108 | |||||||
|
| |||||||
NET ASSETS 100.0% | $ | 678,721 | ||||||
|
|
Percentages indicated are based on net assets
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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, 2020:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
Canadian Bankers Acceptance | 319 | 06/2021 | CAD | 59,509 | 78 | |||||||||||||||
Canadian Bankers Acceptance | 41 | 12/2022 | CAD | 7,646 | 4 | |||||||||||||||
Canadian Bankers Acceptance | 8 | 03/2023 | CAD | 1,492 | | |||||||||||||||
U.S. Treasury 2 Year Note | 166 | 12/2020 | USD | 36,664 | 16 | |||||||||||||||
U.S. Treasury Ultra Bond | 1 | 12/2020 | USD | 225 | (3 | ) | ||||||||||||||
|
| |||||||||||||||||||
95 | ||||||||||||||||||||
|
| |||||||||||||||||||
Short Contracts | ||||||||||||||||||||
U.S. Treasury 5 Year Note | (140 | ) | 12/2020 | USD | (17,623 | ) | (22 | ) | ||||||||||||
U.S. Ultra Treasury 10 Year Note | (28 | ) | 12/2020 | USD | (4,484 | ) | 6 | |||||||||||||
|
| |||||||||||||||||||
(16 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Total unrealized appreciation (depreciation) | 79 | |||||||||||||||||||
|
|
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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, 2020:
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||||||||
USD 1 | CAD | 1 | BNP Paribas SA | 10/15/2020 | | (h) | ||||||
USD 6,841 | CAD | 8,999 | BNP Paribas SA | 10/15/2020 | 83 | |||||||
USD 4 | CAD | 6 | Morgan Stanley & Co. | 10/15/2020 | | (h) | ||||||
USD 13,536 | CAD | 17,994 | Morgan Stanley & Co. | 10/15/2020 | 21 | |||||||
USD 9,499 | JPY | 1,000,000 | Morgan Stanley & Co. | 11/02/2020 | 14 | |||||||
USD 4,296 | CAD | 5,685 | Barclays Bank plc | 11/17/2020 | 26 | |||||||
USD 5,543 | GBP | 4,230 | Barclays Bank plc | 11/17/2020 | 83 | |||||||
USD 4,609 | CAD | 6,065 | Morgan Stanley & Co. | 02/03/2021 | 51 | |||||||
|
| |||||||||||
Total unrealized appreciation | 278 | |||||||||||
|
| |||||||||||
USD 23,564 | JPY | 2,500,000 | Bank of America, NA | 10/13/2020 | (144 | ) | ||||||
USD 712 | AUD | 1,000 | Morgan Stanley & Co. | 11/17/2020 | (4 | ) | ||||||
CAD 356 | USD | 268 | Bank of America, NA | 11/17/2020 | ( | )(h) | ||||||
GBP 342 | USD | 443 | Bank of America, NA | 11/17/2020 | (2 | ) | ||||||
USD 9,464 | JPY | 1,000,000 | Goldman Sachs International | 02/25/2021 | (39 | ) | ||||||
|
| |||||||||||
Total unrealized depreciation | (189 | ) | ||||||||||
|
| |||||||||||
Net unrealized appreciation (depreciation) | 89 | |||||||||||
|
|
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Centrally Cleared Interest Rate Swap contracts outstanding as of September 30, 2020:
FLOATING RATE INDEX (a) | FIXED RATE | PAY/ RECEIVE | MATURITY DATE | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) ($) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) | |||||||||||||||||
ICE LIBOR USD 1 Month | ICE LIBOR USD 3 Month | Pay | 01/13/2023 | USD | 9,600 | | 1 | 1 | ||||||||||||||||
ICE LIBOR USD 1 Month | ICE LIBOR USD 3 Month | Pay | 01/13/2023 | USD | 12,500 | | 1 | 1 | ||||||||||||||||
|
| |||||||||||||||||||||||
Total | | 2 | 2 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
(a) Value of floating rate index as of September 30, 2020 was as follows:
|
| |||||||||||||||||||||||
FLOATING RATE INDEX | ||||||||||||||||||||||||
ICE LIBOR USD 1 Month |
| 0.15 | % | |||||||||||||||||||||
ICE LIBOR USD 3 Month |
| 0.23 | % |
Six Circles Ultra Short Duration Fund
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020
CLO | | Collateralized Loan Obligations | ||
BBSW | | Bank Bill Swap rate | ||
FHLMC | | Federal Home Loan Mortgage Corp. | ||
FNMA | | Federal National Mortgage Association | ||
GNMA | | Government National Mortgage Association | ||
ICE | | Intercontinental Exchange | ||
LIBOR | | London Interbank Offered Rate | ||
Reg. S | | Security was purchased pursuant to Regulation S under the Securities Act of 1933, as amended (the Securities Act), which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act, or pursuant to an exemption from registration. | ||
REMICS | | Real Estate Mortgage Investment Conduit | ||
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, 2020. | ||
(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. | ||
(n) | | The rate shown is the effective yield as of September 30, 2020. | ||
(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, 2020. | ||
(aa) | | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of September 30, 2020. | ||
(bb) | | Security has been valued using significant unobservable inputs. | ||
* | | The cost of securities is substantially the same for federal income tax purposes. | ||
AUD | | Australian Dollar | ||
CAD | | Canadian Dollar | ||
GBP | | British Pound | ||
JPY | | Japanese Yen | ||
USD | | United States Dollar |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Asset-Backed Securities 3.4% | ||||||||
BMW Canada Auto Trust, (Canada), | ||||||||
Series 2019-1A, Class A1, 2.15%, 10/20/2021 (e) | CAD | 658 | 495 | |||||
Series 2020-1A, Class A1, 1.96%, 09/20/2022 (e) | CAD | 1,796 | 1,361 | |||||
Chesapeake Funding II LLC, Series 2019-1A, Class A1, 2.94%, 04/15/2031 (e) | 916 | 940 | ||||||
DT Auto Owner Trust, Series 2020-3A, Class A, 0.54%, 04/15/2024 (e) | 2,300 | 2,300 | ||||||
Ford Auto Securitization Trust, (Canada), Series 2019-BA, Class A2, 2.32%, 10/15/2023 (e) | CAD | 1,000 | 761 | |||||
Ford Credit Floorplan Master Owner Trust A, | ||||||||
Series 2018-3, Class A2, (ICE LIBOR USD 1 Month + 0.40%), 0.55%, 10/15/2023 (aa) | 2,900 | 2,906 | ||||||
Series 2019-3, Class A2, (ICE LIBOR USD 1 Month + 0.60%), 0.75%, 09/15/2024 (aa) | 600 | 603 | ||||||
Series 2020-1, Class A1, 0.70%, 09/15/2025 | 1,700 | 1,704 | ||||||
Home Equity Asset Trust, Series 2005-8, Class M1, (ICE LIBOR USD 1 Month + 0.43%), 0.58%, 02/25/2036 (aa) | 1,199 | 1,195 | ||||||
Legacy Mortgage Asset Trust, Series 2019-GS3, Class A1, SUB, 3.75%, 04/25/2059 (e) | 256 | 261 | ||||||
Marlette Funding Trust, Series 2018-4A, Class A, 3.71%, 12/15/2028 (e) | 194 | 195 | ||||||
Navient Student Loan Trust, Series 2018-EA, Class A1, 3.43%, 12/15/2059 (e) | 155 | 156 | ||||||
Nelnet Student Loan Trust, Series 2019-2A, Class A, (ICE LIBOR USD 1 Month + 0.90%), 1.08%, 06/27/2067 (e) (aa) | 1,375 | 1,363 | ||||||
Oscar US Funding X LLC, (Japan), Series 2019-1A, Class A2, 3.10%, 04/11/2022 (e) | 624 | 628 | ||||||
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-WCW2, Class M2, (ICE LIBOR USD 1 Month + 0.80%), 0.94%, 07/25/2035 (aa) | 2,263 | 2,232 | ||||||
SLM Student Loan Trust, Series 2004-10, Class A7B, (ICE LIBOR USD 3 Month + 0.60%), 0.84%, 10/25/2029 (e) (aa) | 1,994 | 1,987 | ||||||
SMB Private Education Loan Trust, | ||||||||
Series 2015-B, Class A2A, 2.98%, 07/15/2027 (e) | 858 | 871 | ||||||
Series 2016-C, Class A2A, 2.34%, 09/15/2034 (e) | 981 | 1,000 | ||||||
Series 2020-PTA, Class A1, (ICE LIBOR USD 1 Month + 0.30%), 0.45%, 09/15/2054 (e) (aa) | 485 | 483 | ||||||
Series 2020-PTA, Class A2A, 1.60%, 09/15/2054 (e) | 800 | 805 | ||||||
SoFi Consumer Loan Program Trust, | ||||||||
Series 2019-1, Class A, 3.24%, 02/25/2028 (e) | 242 | 244 | ||||||
Series 2019-3, Class A, 2.90%, 05/25/2028 (e) | 384 | 388 | ||||||
SoFi Professional Loan Program LLC, Series 2018-A, Class A2A, 2.39%, 02/25/2042 (e) | 7 | 7 | ||||||
SoFi Professional Loan Program Trust, Series 2020-A, Class A1FX, 2.06%, 05/15/2046 (e) | 1,035 | 1,045 | ||||||
Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.35%, 05/25/2033 (e) | 1,800 | 1,848 | ||||||
World Omni Select Auto Trust, Series 2020-A, Class A2, 0.47%, 06/17/2024 | 700 | 700 | ||||||
|
| |||||||
Total Asset-Backed Securities (Cost $26,221) | 26,478 | |||||||
|
|
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Certificate of Deposit 0.2% | ||||||||
Financial 0.2% | ||||||||
Banks 0.2% | ||||||||
Sumitomo Mitsui Banking Corp., (Japan), Class B, ICE LIBOR USD 3 Month + 0.35%), 0.60%, 11/05/2021 (aa) | ||||||||
Total Certificate of Deposit (Cost $1,800) | 1,800 | 1,801 | ||||||
|
| |||||||
Collateralized Mortgage Obligations 3.4% | ||||||||
Brass NO plc, (United Kingdom), Series 8A, Class A1, (ICE LIBOR USD 3 Month + 0.70%), 0.98%, 11/16/2066 (e) (aa) | 237 | 233 | ||||||
Canterbury Finance plc, (United Kingdom), Series 1, Class A2, Reg. S, (SONIA Deposit Rates Swap 3 Month + 1.35%), 1.41%, 05/16/2056 (aa) | GBP | 1,000 | 1,286 | |||||
COLT Mortgage Loan Trust, Series 2020-1R, Class A1, 1.26%, 09/25/2065 (e) (z) (bb) | 500 | 500 | ||||||
Credit Suisse Mortgage Capital Certificates, Series 2019-RPL4, Class A1, 3.51%, 08/26/2058 (e) | 272 | 274 | ||||||
FHLMC REMICS, | ||||||||
Series 4950, Class A, 2.50%, 06/25/2034 | 2,137 | 2,151 | ||||||
Series 4961, Class LA, 2.50%, 07/25/2034 | 2,265 | 2,286 | ||||||
Finsbury Square plc, (United Kingdom), | ||||||||
Series 2018-2, Class A, Reg. S, (ICE LIBOR GBP 3 Month + 0.95%), 1.01%, 09/12/2068 (aa) | GBP | 1,172 | 1,514 | |||||
Series 2020-2A, Class A, (SONIA Deposit Rates Swap 3 Month + 1.30%), 0.00%, 06/16/2070 (e) (aa) | GBP | 500 | 650 | |||||
FNMA REMICS, Series 2020-29, Class FC, (ICE LIBOR USD 1 Month + 0.80%), 0.96%, 05/25/2050 (aa) | 3,378 | 3,394 | ||||||
GCAT LLC, Series 2020-3, Class A1, SUB, 2.98%, 09/25/2025 (e) (bb) | 1,700 | 1,700 | ||||||
GNMA, | ||||||||
Series 2015-H04, Class FA, (ICE LIBOR USD 1 Month + 0.65%), 0.80%, 12/20/2064 (aa) | 1,859 | 1,872 | ||||||
Series 2017-121, Class PE, 3.00%, 07/20/2046 | 1,626 | 1,669 | ||||||
Series 2018-H18, Class FC, (ICE LIBOR USD 1 Month + 0.35%), 0.50%, 08/20/2065 (aa) | 2,499 | 2,494 | ||||||
Series 2019-54, Class KF, (ICE LIBOR USD 1 Month + 0.42%), 0.58%, 05/20/2044 (aa) | 1,115 | 1,116 | ||||||
Lanark Master Issuer plc, (United Kingdom), Series 2019-1A, Class 1A1, (ICE LIBOR USD 3 Month + 0.77%), 1.03%, 12/22/2069 (e) (aa) | 1,050 | 1,043 | ||||||
London Wall Mortgage Capital plc, (United Kingdom), Series 2017-FL1, Class A, Reg. S, (ICE LIBOR GBP 3 Month + 0.85%), 0.92%, 11/15/2049 (aa) | GBP | 99 | 127 | |||||
New Residential Mortgage Loan Trust, Series 2018-3A, Class A1, 4.50%, 05/25/2058 (e) (z) | 204 | 221 | ||||||
Polaris RMBS, (United Kingdom), Series 2019-1, Class A, Reg. S, (SONIA Deposit Rates Swap 1 Month + 1.25%), 1.31%, 04/27/2057 (aa) | GBP | 806 | 1,039 | |||||
Ripon Mortgages plc, (United Kingdom), Series 1X, Class A1, Reg. S, (ICE LIBOR GBP 3 Month + 0.80%), 0.87%, 08/20/2056 (aa) | GBP | 268 | 346 | |||||
Silverstone Master Issuer plc, (United Kingdom), Series 2019-1A, Class 1A, (ICE LIBOR USD 3 Month + 0.57%), 0.84%, 01/21/2070 (e) (aa) | 144 | 144 |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Starwood Mortgage Residential Trust, Series 2020-3, Class A1, 1.49%, 04/25/2065 (e) (z) | 1,157 | 1,160 | ||||||
Towd Point Mortgage Funding, (United Kingdom), Series 2019-A13A, Class A1, (SONIA Deposit Rates Swap 3 Month + 0.90%), 0.97%, 07/20/2045 (e) (aa) | GBP | 834 | 1,073 | |||||
Trinity Square plc, (United Kingdom), Series 2015-1X, Class A, Reg. S, (ICE LIBOR GBP 3 Month + 1.15%), 1.23%, 07/15/2051 (aa) | GBP | 127 | 164 | |||||
|
| |||||||
Total Collateralized Mortgage Obligations (Cost $26,306) | 26,456 | |||||||
|
| |||||||
Commercial Mortgage-Backed Securities 1.0% | ||||||||
AREIT Trust, | ||||||||
Series 2018-CRE2, Class A, (ICE LIBOR USD 1 Month + 0.98%), 1.13%, 11/14/2035 (e) (aa) | 897 | 894 | ||||||
Series 2019-CRE3, Class A, (ICE LIBOR USD 1 Month + 1.02%), 1.17%, 09/14/2036 (e) (aa) | 500 | 493 | ||||||
AREIT Trust, (Cayman Islands), Series 2020-CRE4, Class A, (ICE LIBOR USD 1 Month + 2.62%), 2.77%, 04/14/2037 (e) (aa) | 1,100 | 1,111 | ||||||
BAMLL Commercial Mortgage Securities Trust, Series 2019-RLJ, Class A, (ICE LIBOR USD 1 Month + 1.05%), 1.20%, 04/15/2036 (e) (aa) | 400 | 385 | ||||||
BX Commercial Mortgage Trust, Series 2018-IND, Class A, (ICE LIBOR USD 1 Month + 0.75%), 0.90%, 11/15/2035 (e) (aa) | 1,459 | 1,459 | ||||||
GPMT Ltd., (Cayman Islands), Series 2018-FL1, Class A, (ICE LIBOR USD 1 Month + 0.90%), 1.06%, 11/21/2035 (e) (aa) | 204 | 203 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class AAB, 3.85%, 08/15/2046 | 598 | 623 | ||||||
Morgan Stanley Capital I Trust, Series 2019-PLND, Class A, (ICE LIBOR USD 1 Month + 1.00%), 1.15%, 05/15/2036 (e) (aa) | 700 | 672 | ||||||
PFP Ltd., (Cayman Islands), Series 2019-5, Class A, (ICE LIBOR USD 1 Month + 0.97%), 1.12%, 04/14/2036 (e) (aa) | 1,169 | 1,154 | ||||||
VMC Finance LLC, Series 2018-FL2, Class A, (ICE LIBOR USD 1 Month + 0.92%), 1.07%, 10/15/2035 (e) (aa) | 1,222 | 1,202 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities (Cost $8,257) | 8,196 | |||||||
|
| |||||||
Corporate Bonds 15.1% | ||||||||
Basic Materials 0.0% (g) | ||||||||
Forest Products & Paper 0.0% (g) | ||||||||
Georgia-Pacific LLC, 5.40%, 11/01/2020 (e) | 200 | 201 | ||||||
|
| |||||||
Communications 0.1% | ||||||||
Media 0.1% | ||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital, (ICE LIBOR USD 3 Month + 1.65%), 1.90%, 02/01/2024 (aa) | 1,100 | 1,125 | ||||||
|
| |||||||
Consumer Cyclical 2.3% | ||||||||
Auto Manufacturers 2.3% | ||||||||
American Honda Finance Corp., (ICE LIBOR USD 3 Month + 0.45%), 0.73%, 02/15/2022 (aa) | 2,100 | 2,105 | ||||||
BMW US Capital LLC, (ICE LIBOR USD 3 Month + 0.50%), 0.75%, 08/13/2021 (e) (aa) | 3,700 | 3,708 | ||||||
Daimler Finance North America LLC, (ICE LIBOR USD 3 Month + 0.45%), 0.71%, 02/22/2021 (e) (aa) | 1,500 | 1,501 |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Auto Manufacturers continued | ||||||||
Ford Motor Credit Co. LLC, 2.34%, 11/02/2020 | 800 | 799 | ||||||
General Motors Financial Co., Inc., | ||||||||
3.45%, 04/10/2022 | 1,500 | 1,542 | ||||||
3.70%, 11/24/2020 | 3,200 | 3,205 | ||||||
Hyundai Capital America, | ||||||||
Reg. S, 2.45%, 06/15/2021 | 100 | 101 | ||||||
Reg. S, 3.00%, 03/18/2021 | 200 | 202 | ||||||
3.00%, 03/18/2021 (e) | 400 | 403 | ||||||
Nissan Motor Acceptance Corp., | ||||||||
(ICE LIBOR USD 3 Month + 0.52%), 0.77%, 03/15/2021 (e) (aa) | 200 | 199 | ||||||
(ICE LIBOR USD 3 Month + 0.65%), 0.92%, 07/13/2022 (e) (aa) | 700 | 684 | ||||||
(ICE LIBOR USD 3 Month + 0.69%), 0.92%, 09/28/2022 (e) (aa) | 1,620 | 1,575 | ||||||
Volkswagen Group of America Finance LLC, | ||||||||
(ICE LIBOR USD 3 Month + 0.86%), 1.08%, 09/24/2021 (e) (aa) | 1,000 | 1,004 | ||||||
4.00%, 11/12/2021 (e) | 1,300 | 1,347 | ||||||
|
| |||||||
Total Consumer Cyclical | 18,375 | |||||||
|
| |||||||
Consumer Non-cyclical 3.2% | ||||||||
Agriculture 0.9% | ||||||||
BAT Capital Corp., (ICE LIBOR USD 3 Month + 0.88%), 1.16%, 08/15/2022 (aa) | 3,500 | 3,520 | ||||||
Imperial Brands Finance plc, (United Kingdom), 3.75%, 07/21/2022 (e) | 3,100 | 3,239 | ||||||
|
| |||||||
6,759 | ||||||||
|
| |||||||
Commercial Services 1.7% | ||||||||
Central Nippon Expressway Co. Ltd., (Japan), Reg. S, 2.36%, 05/28/2021 | 10,000 | 10,104 | ||||||
Equifax, Inc., (ICE LIBOR USD 3 Month + 0.87%), 1.15%, 08/15/2021 (aa) | 3,090 | 3,102 | ||||||
|
| |||||||
13,206 | ||||||||
|
| |||||||
Food 0.1% | ||||||||
Conagra Brands, Inc., 3.80%, 10/22/2021 | 400 | 413 | ||||||
|
| |||||||
Pharmaceuticals 0.5% | ||||||||
Bayer US Finance II LLC, (ICE LIBOR USD 3 Month + 1.01%), 1.26%, 12/15/2023 (e) (aa) | 3,700 | 3,734 | ||||||
|
| |||||||
Total Consumer Non-cyclical | 24,112 | |||||||
|
| |||||||
Energy 0.1% | ||||||||
Oil & Gas 0.1% | ||||||||
BG Energy Capital plc, (United Kingdom), 4.00%, 10/15/2021 (e) | 1,045 | 1,081 | ||||||
|
| |||||||
Financial 8.1% | ||||||||
Banks 5.5% | ||||||||
Banco Santander Chile, (Chile), (ICE LIBOR USD 3 Month + 1.20%), 1.46%, 11/28/2021 (aa) | 3,200 | 3,189 | ||||||
Bank of America Corp., (ICE LIBOR USD 3 Month + 1.18%), 1.45%, 10/21/2022 (aa) | 1,200 | 1,212 |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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), | ||||||||
(ICE LIBOR USD 3 Month + 1.38%), 1.66%, 05/16/2024 (aa) | 1,000 | 1,003 | ||||||
Reg. S, (BBSW Interbank Volume 3 Month + 1.80%), 1.89%, 06/15/2023 (aa) | AUD | 750 | 536 | |||||
Citigroup, Inc., | ||||||||
(ICE LIBOR USD 3 Month + 0.69%), 0.93%, 10/27/2022 (aa) | 1,500 | 1,508 | ||||||
(ICE LIBOR USD 3 Month + 0.95%), 1.21%, 07/24/2023 (aa) | 850 | 856 | ||||||
Credit Suisse AG, (Switzerland), 1.00%, 05/05/2023 | 1,150 | 1,162 | ||||||
Danske Bank A/S, (Denmark), | ||||||||
Reg. S, (ICE LIBOR USD 3 Month + 1.06%), 1.31%, 09/12/2023 (aa) | 600 | 595 | ||||||
(ICE LIBOR USD 3 Month + 1.25%), 3.00%, 09/20/2022 (e) (aa) | 1,200 | 1,223 | ||||||
First Abu Dhabi Bank PJSC, (United Arab Emirates), Reg. S, (ICE LIBOR USD 3 Month + 0.95%), 1.22%, 04/16/2022 (aa) | 1,800 | 1,802 | ||||||
Goldman Sachs Group, Inc. (The), | ||||||||
(ICE LIBOR USD 3 Month + 0.75%), 1.01%, 02/23/2023 (aa) | 200 | 201 | ||||||
(ICE LIBOR USD 3 Month + 0.78%), 1.04%, 10/31/2022 (aa) | 1,000 | 1,004 | ||||||
(ICE LIBOR USD 3 Month + 1.17%), 1.45%, 11/15/2021 (aa) | 300 | 300 | ||||||
HSBC Holdings plc, (United Kingdom), | ||||||||
(ICE LIBOR USD 3 Month + 1.00%), 1.27%, 05/18/2024 (aa) | 800 | 797 | ||||||
(ICE LIBOR USD 3 Month + 1.23%), 1.48%, 03/11/2025 (aa) | 1,000 | 1,009 | ||||||
ING Groep NV, (Netherlands), (ICE LIBOR USD 3 Month + 1.15%), 1.37%, 03/29/2022 (aa) | 1,900 | 1,918 | ||||||
KEB Hana Bank, (South Korea), (ICE LIBOR USD 3 Month + 0.70%), 0.93%, 10/02/2022 (e) (aa) | 500 | 501 | ||||||
Mitsubishi UFJ Financial Group, Inc., (Japan), | ||||||||
(ICE LIBOR USD 3 Month + 0.86%), 1.10%, 07/26/2023 (aa) | 2,500 | 2,523 | ||||||
(ICE LIBOR USD 3 Month + 0.92%), 1.18%, 02/22/2022 (aa) | 771 | 778 | ||||||
Mizuho Financial Group, Inc., (Japan), (ICE LIBOR USD 3 Month + 0.63%), 0.88%, 05/25/2024 (aa) | 3,400 | 3,398 | ||||||
Morgan Stanley, | ||||||||
(United States SOFR + 0.70%), 0.78%, 01/20/2023 (aa) | 2,394 | 2,399 | ||||||
(Canada Bankers Acceptances 3 Month + 0.30%), 0.83%, 02/03/2023 (aa) | CAD | 2,000 | 1,488 | |||||
(ICE LIBOR USD 3 Month + 1.40%), 1.66%, 10/24/2023 (aa) | 500 | 508 | ||||||
MUFG Union Bank NA, (United States SOFR + 0.71%), 0.78%, 12/09/2022 (aa) | 500 | 503 | ||||||
Natwest Group plc, (United Kingdom), | ||||||||
(ICE LIBOR USD 3 Month + 1.47%), 1.75%, 05/15/2023 (aa) | 700 | 703 | ||||||
(ICE LIBOR USD 3 Month + 1.55%), 1.78%, 06/25/2024 (aa) | 700 | 703 | ||||||
NatWest Markets plc, (United Kingdom), (ICE LIBOR USD 3 Month + 1.40%), 1.62%, 09/29/2022 (e) (aa) | 2,360 | 2,379 | ||||||
Nordea Bank Abp, (Finland), (ICE LIBOR USD 3 Month + 0.94%), 1.20%, 08/30/2023 (e) (aa) | 200 | 200 | ||||||
QNB Finance Ltd., (Cayman Islands), | ||||||||
Reg. S, (ICE LIBOR USD 3 Month + 1.00%), 1.25%, 05/02/2022 (aa) | 1,100 | 1,097 | ||||||
Reg. S, (ICE LIBOR USD 3 Month + 1.35%), 1.61%, 05/31/2021 (aa) | 1,200 | 1,204 | ||||||
Shinhan Bank Co. Ltd., (South Korea), Reg. S, 2.88%, 03/28/2022 | 2,100 | 2,167 | ||||||
Standard Chartered plc, (United Kingdom), | ||||||||
Reg. S, (ICE LIBOR USD 3 Month + 1.20%), 1.45%, 09/10/2022 (aa) | 500 | 502 | ||||||
(ICE LIBOR USD 3 Month + 1.56%), 3.79%, 05/21/2025 (e) (aa) | 1,700 | 1,807 | ||||||
Wells Fargo & Co., (ICE LIBOR USD 3 Month + 1.23%), 1.49%, 10/31/2023 (aa) | 2,200 | 2,227 | ||||||
|
| |||||||
43,402 | ||||||||
|
|
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 2.0% | ||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, (Ireland), 4.45%, 12/16/2021 | 700 | 715 | ||||||
Aircastle Ltd., (Bermuda), 5.50%, 02/15/2022 | 1,450 | 1,483 | ||||||
American Express Co., 2.75%, 05/20/2022 | 3,700 | 3,832 | ||||||
BOC Aviation Ltd., (Singapore), | ||||||||
(ICE LIBOR USD 3 Month + 1.05%), 1.30%, 05/02/2021 (e) (aa) | 200 | 200 | ||||||
Reg. S, 2.38%, 09/15/2021 | 2,500 | 2,517 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd., (Japan), | ||||||||
2.65%, 09/19/2022 (e) | 1,700 | 1,750 | ||||||
Reg. S, 2.75%, 10/21/2020 | 2,500 | 2,502 | ||||||
Nomura Holdings, Inc., (Japan), 1.85%, 07/16/2025 | 2,300 | 2,340 | ||||||
ORIX Corp., (Japan), 2.90%, 07/18/2022 | 688 | 712 | ||||||
Synchrony Financial, 2.85%, 07/25/2022 | 300 | 309 | ||||||
|
| |||||||
16,360 | ||||||||
|
| |||||||
Insurance 0.6% | ||||||||
MET Tower Global Funding, (United States SOFR + 0.55%), 0.64%, 01/17/2023 (e) (aa) | 4,500 | 4,521 | ||||||
|
| |||||||
Total Financial | 64,283 | |||||||
|
| |||||||
Industrial 0.7% | ||||||||
Aerospace/Defense 0.1% | ||||||||
Boeing Co. (The), 2.13%, 03/01/2022 | 800 | 806 | ||||||
|
| |||||||
Transportation 0.3% | ||||||||
Ryder System, Inc., 2.88%, 06/01/2022 | 1,900 | 1,969 | ||||||
|
| |||||||
Trucking & Leasing 0.3% | ||||||||
Aviation Capital Group LLC, 2.88%, 01/20/2022 (e) | 1,600 | 1,588 | ||||||
GATX Corp., (ICE LIBOR USD 3 Month + 0.72%), 0.97%, 11/05/2021 (aa) | 500 | 499 | ||||||
|
| |||||||
2,087 | ||||||||
|
| |||||||
Total Industrial | 4,862 | |||||||
|
| |||||||
Technology 0.2% | ||||||||
Computers 0.1% | ||||||||
Dell International LLC / EMC Corp., 4.42%, 06/15/2021 (e) | 624 | 639 | ||||||
|
| |||||||
Semiconductors 0.1% | ||||||||
Broadcom, Inc., 3.13%, 10/15/2022 | 200 | 209 | ||||||
NXP BV / NXP Funding LLC, (Netherlands), 3.88%, 09/01/2022 (e) | 400 | 423 | ||||||
|
| |||||||
632 | ||||||||
|
| |||||||
Total Technology | 1,271 | |||||||
|
|
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Utilities 0.4% | ||||||||
Electric 0.4% | ||||||||
Dominion Energy, Inc., Series D (ICE LIBOR USD 3 Month + 0.53%), 0.77%, 09/15/2023 (aa) | 800 | 801 | ||||||
Israel Electric Corp. Ltd., (Israel), Series 6, Reg. S, 5.00%, 11/12/2024 (e) | 300 | 338 | ||||||
Pacific Gas and Electric Co., | ||||||||
1.75%, 06/16/2022 | 600 | 601 | ||||||
3.25%, 06/15/2023 | 200 | 207 | ||||||
3.75%, 02/15/2024 | 100 | 105 | ||||||
3.85%, 11/15/2023 | 400 | 424 | ||||||
4.25%, 08/01/2023 | 800 | 852 | ||||||
|
| |||||||
Total Utilities | 3,328 | |||||||
|
| |||||||
Total Corporate Bonds (Cost $117,856) | 118,638 | |||||||
|
| |||||||
Foreign Government Securities 0.6% | ||||||||
Export-Import Bank of Korea, (South Korea), | ||||||||
(ICE LIBOR USD 3 Month + 0.53%), 0.75%, 06/25/2022 (aa) | 1,000 | 1,004 | ||||||
(ICE LIBOR USD 3 Month + 0.58%), 0.82%, 06/01/2021 (aa) | 3,400 | 3,408 | ||||||
Korea Development Bank (The), (South Korea), Reg. S, (ICE LIBOR USD 3 Month + 0.80%), 1.07%, 10/30/2022 (aa) | 500 | 503 | ||||||
|
| |||||||
Total Foreign Government Securities | ||||||||
(Cost $4,907) | 4,915 | |||||||
|
| |||||||
Municipal Bonds 63.8% (t) | ||||||||
Alabama 0.1% | ||||||||
Lower Alabama Gas District, Series A, Rev., 4.00%, 12/01/2022 | 550 | 590 | ||||||
|
| |||||||
Alaska 0.3% | ||||||||
Alaska Housing Finance Corp., Series B, Rev., VRDO, 0.12%, 10/07/2020 (z) | 2,400 | 2,400 | ||||||
|
| |||||||
Arizona 2.7% | ||||||||
Arizona Health Facilities Authority, Dignity Health, Series B, Rev., VRDO, LOC: Barclays Bank plc, 0.12%, 10/07/2020 (z) | 8,800 | 8,800 | ||||||
City of Phoenix Civic Improvement Corp., Senior Lien, Rev., AMT, 5.00%, 07/01/2021 | 1,750 | 1,803 | ||||||
City of Phoenix, Industrial Development Authority, Mayo Clinic, Series B, Rev., VRDO, 0.09%, 10/01/2020 (z) | 6,160 | 6,160 | ||||||
Maricopa County Industrial Development Authority, Honorhealth, Series A, Rev., 5.00%, 09/01/2021 | 725 | 754 | ||||||
Maricopa County Unified School District, GO, 5.00%, 07/01/2022 | 1,310 | 1,421 | ||||||
Maricopa County, Unified School District No. 80 Chandler, Series A, GO, 5.00%, 07/01/2021 | 1,300 | 1,347 | ||||||
Maricopa County, Union High School District No. 210, School Improvement Project 2011 and 2017, GO, 5.00%, 07/01/2022 | 1,000 | 1,084 | ||||||
|
| |||||||
21,369 | ||||||||
|
| |||||||
California 2.2% | ||||||||
Burbank-Glendale-Pasadena Airport Authority Brick Campaign, Series B, Rev., AMT, 5.00%, 07/01/2022 | 1,430 | 1,532 | ||||||
City of Long Beach, Series B, Rev., AMT, 4.00%, 05/15/2022 | 3,000 | 3,165 | ||||||
City of Long Beach, Harbor Revenue, Series C, Rev., 4.00%, 07/15/2021 | 2,000 | 2,060 |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
California continued | ||||||||
Golden State Tobacco Securitization Corp., Series A1, Rev., 5.00%, 06/01/2021 | 400 | 412 | ||||||
Los Angeles Department of Water, Series B4, Rev., VRDO, 0.11%, 10/01/2020 (z) | 500 | 500 | ||||||
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 | 6,468 | ||||||
Southern California Public Power Authority, Windy Point/Windy Flats Project, Rev., 5.00%, 07/01/2021 | 1,250 | 1,296 | ||||||
State of California, | ||||||||
GO, 5.00%, 10/01/2022 | 1,000 | 1,096 | ||||||
GO, 5.00%, 11/01/2022 | 1,000 | 1,100 | ||||||
|
| |||||||
17,629 | ||||||||
|
| |||||||
Colorado 1.5% | ||||||||
City & County of Denver, Airport System, Series A, Rev., AMT, 5.00%, 11/15/2021 | 2,000 | 2,104 | ||||||
Colorado Health Facilities Authority, Sisters of Charity of Leavenworth Health System, Inc. Obligated Group, Series A, Rev., 5.00%, 01/01/2022 | 2,500 | 2,639 | ||||||
Colorado Housing & Finance Authority, Multifamily Project, Series B2, Rev., 1.35%, 02/01/2022 | 5,000 | 5,023 | ||||||
Weld County School District No. 6 Greeley, GO, 5.00%, 12/01/2022 | 1,850 | 2,042 | ||||||
|
| |||||||
11,808 | ||||||||
|
| |||||||
Connecticut 1.8% | ||||||||
Connecticut Housing Finance Authority, | ||||||||
Series B3, Rev., VRDO, 0.12%, 10/07/2020 (z) | 280 | 280 | ||||||
Series F3, Rev., VRDO, 0.12%, 10/07/2020 (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 | 1,006 | ||||||
Connecticut State, Health & Educational Facilities Authority, Yale University, Series U2, Rev., 2.00%, 07/01/2033 (z) | 1,300 | 1,332 | ||||||
Hartford County, Metropolitan District (The), Series A, GO, 5.00%, 07/15/2022 | 1,200 | 1,298 | ||||||
|
| |||||||
13,916 | ||||||||
|
| |||||||
District of Columbia 0.8% | ||||||||
District of Columbia, Series A, GO, 5.00%, 10/15/2022 | 4,050 | 4,450 | ||||||
District of Columbia, Georgetown University (The), Series B1, Rev., VRDO, LOC: Bank of America NA, 0.11%, 10/07/2020 (z) | 500 | 500 | ||||||
Metropolitan Washington Airports Authority, Series A, Rev., AMT, 4.00%, 10/01/2020 | 1,500 | 1,500 | ||||||
|
| |||||||
6,450 | ||||||||
|
| |||||||
Florida 5.5% | ||||||||
City of Fort Lauderdale, Police and Public Safety Project, Series B, GO, 5.00%, 07/01/2022 | 1,215 | 1,318 | ||||||
City of Gainesville, Utilities System, | ||||||||
Series A, Rev., 5.00%, 10/01/2021 | 1,400 | 1,468 | ||||||
Series B, Rev., VRDO, 0.15%, 10/07/2020 (z) | 4,830 | 4,830 | ||||||
City of Orlando, Series B, Rev., 5.00%, 10/01/2021 | 775 | 813 | ||||||
County of Miami-Dade Aviation, Series C, Rev., 5.00%, 10/01/2021 | 1,650 | 1,726 |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
County of Miami-Dade, Building Better Communities Project, | ||||||||
Series A, GO, 5.00%, 07/01/2021 | 5,000 | 5,181 | ||||||
Series A, GO, 5.00%, 07/01/2022 | 6,000 | 6,506 | ||||||
Florida Atlantic University Finance Corp., Series A, Rev., 5.00%, 07/01/2021 | 880 | 904 | ||||||
Florida Gulf Coast University Financing Corp., Parking Project, Series A, Rev., VRDO, LOC: TD Bank NA, 0.12%, 10/07/2020 (z) | 3,655 | 3,655 | ||||||
Highlands County Health Facilities Authority, Adventist Health System/Sunbelt Obligated Group, Series A, Rev., VRDO, 0.12%, 10/07/2020 (z) | 4,000 | 4,000 | ||||||
Lee Memorial Health System, Series A1, Rev., 5.00%, 04/01/2022 | 1,000 | 1,068 | ||||||
Orlando Utilities Commission, Series 1, Rev., VRDO, 0.11%, 10/07/2020 (z) | 6,200 | 6,200 | ||||||
Seacoast Utility Authority, Series B, Rev., 5.00%, 03/01/2023 | 2,215 | 2,471 | ||||||
State of Florida, Board Education, Capital Outlay, Series A, GO, 5.00%, 06/01/2022 | 2,500 | 2,701 | ||||||
|
| |||||||
42,841 | ||||||||
|
| |||||||
Georgia 0.1% | ||||||||
Brookhaven Development Authority, Childrens Healthcare of Atlanta Obligated Group, Series A, Rev., 5.00%, 07/01/2022 | 1,040 | 1,124 | ||||||
|
| |||||||
Hawaii 0.1% | ||||||||
State of Hawaii, Series EA, GO, 5.00%, 12/01/2021 | 1,075 | 1,135 | ||||||
|
| |||||||
Idaho 0.9% | ||||||||
Idaho Health Facilities Authority, St. Lukes Health System Obligated Group, Rev., VRDO, LOC: U.S. Bank NA, 0.10%, 10/01/2020 (z) | 4,500 | 4,500 | ||||||
Idaho Health Facilities Authority, Trinity Health Corp. Obligated Group, Series D, Rev., 5.00%, 12/01/2020 | 2,500 | 2,519 | ||||||
|
| |||||||
7,019 | ||||||||
|
| |||||||
Illinois 2.8% | ||||||||
Chicago Midway International Airport, Second Lien, Series A, Rev., AMT, 5.00%, 01/01/2021 | 3,580 | 3,615 | ||||||
Chicago OHare International Airport, Senior Lien, | ||||||||
Series A, Rev., AMT, 5.00%, 01/01/2021 | 3,730 | 3,767 | ||||||
Series A, Rev., AMT, 5.00%, 01/01/2022 | 2,000 | 2,098 | ||||||
Series C, Rev., 5.00%, 01/01/2022 | 3,670 | 3,865 | ||||||
Fountaindale Public Library District, GO, 5.00%, 02/01/2021 | 1,050 | 1,066 | ||||||
Illinois Finance Authority, Northwestern Memorial Hospital, Series A2, Rev., VRDO, 0.10%, 10/01/2020 (z) | 2,675 | 2,675 | ||||||
Illinois Finance Authority, University of Chicago Medical Center Obligated Group, Series B, Rev., VRDO, LOC: Wells Fargo Bank NA, 0.12%, 10/01/2020 (z) | 200 | 200 | ||||||
Illinois Housing Development Authority, Multifamily Housing, Century Woods IL TC LP, Rev., GNMA COLL, 1.90%, 10/01/2022 (z) | 1,500 | 1,523 | ||||||
Illinois Housing Development Authority, Multifamily Housing, Heather Ridge IL TC LP, Rev., 1.90%, 10/01/2022 (z) | 3,000 | 3,047 | ||||||
|
| |||||||
21,856 | ||||||||
|
|
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 1.6% | ||||||||
Indiana Finance Authority, Educational Facilities, Marian University Project, Rev., 6.50%, 09/15/2030 (p) | 3,000 | 3,177 | ||||||
Indiana Finance Authority, Green Bond, Series B, Rev., 5.00%, 02/01/2022 | 950 | 1,012 | ||||||
Indiana Finance Authority, Health Systems, Sisters of St. Francis, Series I, Rev., VRDO, LOC: Barclays Bank plc, 0.12%, 10/01/2020 (z) | 900 | 900 | ||||||
Indiana Municipal Power Agency, Series B, Rev., VRDO, LOC: U.S. Bank NA, 0.10%, 10/01/2020 (z) | 1,300 | 1,300 | ||||||
Indianapolis Local Public Improvement Bond Bank, Indianapolis Airport Authority, | ||||||||
Rev., AMT, 5.00%, 01/01/2021 | 2,815 | 2,843 | ||||||
Rev., AMT, 5.00%, 01/01/2022 | 3,085 | 3,240 | ||||||
|
| |||||||
12,472 | ||||||||
|
| |||||||
Kansas 0.2% | ||||||||
Geary County Unified School District No. 475, Series B, GO, 5.00%, 09/01/2022 | 1,275 | 1,393 | ||||||
|
| |||||||
Kentucky 0.2% | ||||||||
City of Owensboro, Electric Light & Power System, Series B, Rev., 5.00%, 01/01/2021 | 1,250 | 1,264 | ||||||
|
| |||||||
Louisiana 0.3% | ||||||||
Jefferson Sales Tax District, Series A, Rev., AGM, 5.00%, 12/01/2021 | 2,325 | 2,451 | ||||||
|
| |||||||
Maryland 1.0% | ||||||||
City of Frederick, Public Improvement, GO, 3.00%, 12/01/2022 | 1,000 | 1,058 | ||||||
County of Anne Arundel, General Improvements, GO, 5.00%, 04/01/2022 | 1,165 | 1,250 | ||||||
State of Maryland, Series B, GO, 5.00%, 08/01/2022 | 5,000 | 5,444 | ||||||
|
| |||||||
7,752 | ||||||||
|
| |||||||
Massachusetts 4.0% | ||||||||
Massachusetts Bay Transportation Authority, Series A2, Rev., VRDO, 0.10%, 10/07/2020 (z) | 5,130 | 5,130 | ||||||
Massachusetts Development Finance Agency, Beth Israel Lahey Health Obligated Group, Series K, Rev., 4.00%, 07/01/2021 | 720 | 739 | ||||||
Massachusetts Development Finance Agency, Dana-Farber Cancer Institute Obligated Group, Series O, Rev., 5.00%, 12/01/2021 | 1,000 | 1,052 | ||||||
Massachusetts Development Finance Agency, Northeastern University, Series A, Rev., 5.00%, 10/01/2022 | 2,350 | 2,572 | ||||||
Massachusetts Development Finance Agency, Partners Healthcare System, Inc., | ||||||||
Series K1, Rev., VRDO, 0.12%, 10/07/2020 (z) | 5,700 | 5,700 | ||||||
Series K2, Rev., VRDO, 0.12%, 10/07/2020 (z) | 6,400 | 6,400 | ||||||
Massachusetts Educational Financing Authority, | ||||||||
Series A, Rev., AMT, 5.00%, 01/01/2021 | 3,150 | 3,181 | ||||||
Series B, Rev., AMT, 5.00%, 07/01/2021 | 900 | 927 | ||||||
Series B, Rev., AMT, 5.00%, 07/01/2022 | 2,000 | 2,133 | ||||||
Massachusetts School Building Authority, | ||||||||
Series A, Rev., 5.00%, 08/15/2022 (p) | 2,710 | 2,952 | ||||||
Town of Hingham, Water Bonds, GO, 5.00%, 02/15/2022 | 650 | 693 | ||||||
|
| |||||||
31,479 | ||||||||
|
|
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Michigan 1.1% | ||||||||
University of Michigan, Series D1, Rev., VRDO, 0.09%, 10/01/2020 (z) | 3,965 | 3,965 | ||||||
Wayne County Airport Authority, Series A, Rev., AMT, 5.00%, 12/01/2020 | 4,985 | 5,023 | ||||||
|
| |||||||
8,988 | ||||||||
|
| |||||||
Minnesota 0.5% | ||||||||
City of Minneapolis, Capital Improvement, Green Bond, GO, 5.00%, 12/01/2021 | 3,760 | 3,972 | ||||||
|
| |||||||
Missouri 0.3% | ||||||||
State of Missouri, Health & Educational Facilities Authority, Series F, Rev., VRDO, 0.13%, 10/01/2020 (z) | 2,635 | 2,635 | ||||||
|
| |||||||
Nevada 1.7% | ||||||||
County of Clark Department of Aviation, Series A1, Rev., AMT, 5.00%, 07/01/2021 | 5,000 | 5,165 | ||||||
Las Vegas Valley Water District, | ||||||||
Series B, GO, 5.00%, 06/01/2022 | 2,000 | 2,161 | ||||||
Series B, GO, 5.00%, 12/01/2020 | 4,805 | 4,843 | ||||||
Washoe County School District, Series C, GO, 5.00%, 10/01/2021 | 1,250 | 1,308 | ||||||
|
| |||||||
13,477 | ||||||||
|
| |||||||
New Hampshire 1.8% | ||||||||
New Hampshire Health and Education Facilities Authority Act, University System of New Hampshire, | ||||||||
Series A1, Rev., VRDO, 0.12%, 10/01/2020 (z) | 8,210 | 8,210 | ||||||
Series B, Rev., VRDO, 0.12%, 10/01/2020 (z) | 2,600 | 2,600 | ||||||
New Hampshire Health and Education Facilities Authority, University System, Series B1, Rev., VRDO, 0.12%, 10/01/2020 (z) | 3,420 | 3,420 | ||||||
|
| |||||||
14,230 | ||||||||
|
| |||||||
New Jersey 0.8% | ||||||||
City of Newark, Series A, GO, 5.00%, 10/01/2022 | 700 | 758 | ||||||
New Jersey Housing & Mortgage Finance Agency, Single Family Housing, Series D, Rev., AMT, 4.00%, 10/01/2020 | 1,290 | 1,290 | ||||||
New Jersey Sports & Exposition Authority, Series A, Rev., 5.00%, 09/01/2021 | 4,000 | 4,150 | ||||||
|
| |||||||
6,198 | ||||||||
|
| |||||||
New Mexico 0.4% | ||||||||
New Mexico Municipal Energy Acquisition Authority, | ||||||||
Series A, Rev., LIQ: Royal Bank of Canada, 4.00%, 11/01/2020 | 2,600 | 2,608 | ||||||
Series A, Rev., LIQ: Royal Bank of Canada, 4.00%, 11/01/2021 | 625 | 649 | ||||||
|
| |||||||
3,257 | ||||||||
|
| |||||||
New York 10.2% | ||||||||
City of New York, | ||||||||
Series F, GO, 5.00%, 08/01/2022 | 1,125 | 1,197 | ||||||
Series G4, GO, VRDO, LOC: Citibank NA, 0.13%, 10/07/2020 (z) | 1,000 | 1,000 | ||||||
Series G6, GO, VRDO, LOC: Mizuho Bank Ltd., 0.13%, 10/01/2020 (z) | 615 | 615 |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Series I3, GO, VRDO, LOC: Bank of America NA, 0.14%, 10/01/2020 (z) | 750 | 750 | ||||||
Series I4, GO, VRDO, LOC: TD Bank NA, 0.11%, 10/01/2020 (z) | 2,000 | 2,000 | ||||||
City of New York, Fiscal Year 2008, Series J6, GO, VRDO, LOC: Landesbank Hessen-Thueringen, 0.14%, 10/01/2020 (z) | 900 | 900 | ||||||
City of New York, Fiscal Year 2017, Series A4, GO, VRDO, LOC: Citibank NA, 0.13%, 10/07/2020 (z) | 7,000 | 7,000 | ||||||
City of New York, Fiscal Year 2018, Series B5, GO, VRDO, 0.12%, 10/01/2020 (z) | 4,900 | 4,900 | ||||||
Metropolitan Transportation Authority, | ||||||||
Series A, Rev., BAN, 4.00%, 02/01/2022 | 16,000 | 16,168 | ||||||
Series A, Rev., BAN, 5.00%, 03/01/2022 | 2,000 | 2,089 | ||||||
New York City Municipal Water Finance Authority, Water & Sewer System, | ||||||||
Series F1A, Rev., VRDO, 0.13%, 10/07/2020 (z) | 6,000 | 6,000 | ||||||
Series F1, Rev., VRDO, 0.12%, 10/01/2020 (z) | 5,700 | 5,700 | ||||||
New York City Municipal Water Finance Authority, Water & Sewer System, Second General Resolution, Series BB, Rev., VRDO, 0.14%, 10/01/2020 (z) | 1,000 | 1,000 | ||||||
New York City Transitional Finance Authority, Future Tax Secured Revenue, | ||||||||
Series A4, Rev., VRDO, 0.11%, 10/01/2020 (z) | 3,500 | 3,500 | ||||||
Series B1, Rev., 4.00%, 11/01/2022 | 1,800 | 1,939 | ||||||
Series B5, Rev., VRDO, 0.12%, 10/01/2020 (z) | 1,000 | 1,000 | ||||||
Series E1, Rev., 5.00%, 02/01/2022 | 2,490 | 2,648 | ||||||
New York State Dormitory Authority, School District, Financing Program, Series D, Rev., BAM, 5.00%, 10/01/2020 | 1,500 | 1,500 | ||||||
New York State Urban Development Corp., Series A, Rev., 5.00%, 03/15/2022 | 8,575 | 9,178 | ||||||
Onondaga County Resource Recovery Agency, Series A, Rev., AGM, AMT, 5.00%, 05/01/2021 | 1,915 | 1,967 | ||||||
Port Authority of New York & New Jersey, Series 195, Rev., AMT, 5.00%, 10/01/2021 | 1,600 | 1,673 | ||||||
Port Authority of New York & New Jersey, Consolidated One Hundred Eighty, Rev., AMT, 5.00%, 09/01/2021 | 3,060 | 3,187 | ||||||
Triborough Bridge & Tunnel Authority, | ||||||||
Series B2, Rev., VRDO, LOC: Citibank NA, 0.10%, 10/01/2020 (z) | 2,600 | 2,600 | ||||||
Series B3, Rev., VRDO, LOC: State Street Bank & Trust Co., 0.14%, 10/01/2020 (z) | 1,430 | 1,430 | ||||||
|
| |||||||
79,941 | ||||||||
|
| |||||||
North Carolina 0.9% | ||||||||
City of Charlotte, Water & Sewer System, Series B, Rev., VRDO, 0.11%, 10/07/2020 (z) | 5,600 | 5,600 | ||||||
County of Durham, GO, 5.00%, 04/01/2022 | 1,135 | 1,218 | ||||||
|
| |||||||
6,818 | ||||||||
|
| |||||||
Ohio 1.7% | ||||||||
City of Cincinnati, Series A, GO, 5.00%, 12/01/2032 (p) | 1,700 | 1,836 | ||||||
Ohio Higher Educational Facility Commission, Cleveland Clinic Health System Obligated Group, | ||||||||
Series B1, Rev., VRDO, 0.12%, 10/01/2020 (z) | 950 | 950 | ||||||
Series B3, Rev., VRDO, 0.10%, 10/01/2020 (z) | 3,800 | 3,800 | ||||||
Ohio State University (The), Series B2, Rev., VRDO, 0.09%, 10/07/2020 (z) | 6,725 | 6,725 | ||||||
|
| |||||||
13,311 | ||||||||
|
|
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Oklahoma 0.4% | ||||||||
Oklahoma County, Independent School District No. 12 Edmond, Combined Purpose, GO, 2.00%, 03/01/2021 | 1,270 | 1,280 | ||||||
Tulsa County, Independent School District No. 1, Series A, GO, 2.00%, 03/01/2023 | 2,130 | 2,214 | ||||||
|
| |||||||
3,494 | ||||||||
|
| |||||||
Pennsylvania 3.5% | ||||||||
Commonwealth of Pennsylvania, First Series, GO, 5.00%, 08/15/2021 | 7,210 | 7,509 | ||||||
Delaware River Port Authority, Series B, Rev., 5.00%, 01/01/2021 | 3,100 | 3,135 | ||||||
Geisinger Authority, Health System, Series A, Rev., 5.00%, 04/01/2022 | 2,400 | 2,565 | ||||||
Monroeville Finance Authority, UPMC Obligated Group, Rev., 5.00%, 02/15/2021 | 1,155 | 1,175 | ||||||
Pennsylvania Economic Development Financing Authority, Waste Management PA Obligated Group, Series A, Rev., 2.15%, 11/01/2021 | 1,375 | 1,397 | ||||||
Philadelphia Authority for Industrial Development, Rev., 5.00%, 10/01/2021 | 4,000 | 4,157 | ||||||
Philadelphia Authority for Industrial Development, City Service Agreement, Rebuild Project, Rev., 5.00%, 05/01/2021 | 750 | 767 | ||||||
Phoenixville Area School District, GO, 4.00%, 11/15/2022 | 1,000 | 1,075 | ||||||
Ringgold Pennsylvania School District, GO, BAM, 3.00%, 09/01/2022 | 2,325 | 2,447 | ||||||
School District of Philadelphia (The), | ||||||||
Series A, GO, 5.00%, 09/01/2021 | 1,600 | 1,663 | ||||||
Series F, GO, 5.00%, 09/01/2021 | 1,500 | 1,559 | ||||||
|
| |||||||
27,449 | ||||||||
|
| |||||||
Rhode Island 0.2% | ||||||||
Rhode Island Commerce Corp., Grant Anticipation Rhode Island, Rev., 5.00%, 06/15/2022 | 1,550 | 1,667 | ||||||
|
| |||||||
Tennessee 0.9% | ||||||||
Memphis-Shelby County Airport Authority, Series B, Rev., AMT, 5.00%, 07/01/2022 | 1,750 | 1,884 | ||||||
Shelby County Health Educational & Housing Facilities Board, Methodist Le Bonheur, Rev., AGM, VRDO, 0.10%, 10/01/2020 (z) | 2,875 | 2,875 | ||||||
Tennessee Energy Acquisition Corp., Series A, Rev., 5.25%, 09/01/2021 | 2,040 | 2,127 | ||||||
|
| |||||||
6,886 | ||||||||
|
| |||||||
Texas 8.4% | ||||||||
City of Arlington, Water & Wastewater System, 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 | 2,514 | ||||||
City of Corpus Christi, Utility System Revenue, Junior Lien, Rev., 5.00%, 07/15/2021 | 3,635 | 3,773 | ||||||
City of Dallas, Refunding and Improvement, GO, 5.00%, 02/15/2022 | 3,000 | 3,198 | ||||||
City of Houston, Series A, GO, 5.00%, 03/01/2022 | 2,505 | 2,677 | ||||||
City of Houston, Airport System, Series D, Rev., 5.00%, 07/01/2021 | 1,150 | 1,190 | ||||||
City of San Antonio, Municipal Drainage Utility, Rev., 5.00%, 02/01/2023 | 1,000 | 1,112 |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Texas continued | ||||||||
Collin County, Community College District, Series A, GO, 5.00%, 08/15/2022 | 1,310 | 1,429 | ||||||
County of Harris, Series A, GO, 5.00%, 10/01/2022 (w) | 1,950 | 2,136 | ||||||
County of Harris, Road Bonds, Series A, GO, 5.00%, 10/01/2022 | 1,660 | 1,821 | ||||||
County of Williamson, | ||||||||
GO, 4.00%, 02/15/2022 | 3,190 | 3,359 | ||||||
GO, 4.00%, 02/15/2023 | 2,315 | 2,523 | ||||||
GO, 5.00%, 02/15/2022 | 1,000 | 1,066 | ||||||
Cypress-Fairbanks Independent School District, GO, PSF-GTD, 5.00%, 02/15/2021 | 2,465 | 2,509 | ||||||
Dallas Fort Worth International Airport, Series B, Rev., 5.00%, 11/01/2022 | 3,000 | 3,282 | ||||||
Fort Bend Independent School District, | ||||||||
GO, PSF-GTD, 5.00%, 08/15/2021 | 1,000 | 1,042 | ||||||
GO, PSF-GTD, 5.00%, 08/15/2022 | 1,000 | 1,091 | ||||||
Frisco Independent School District, | ||||||||
GO, PSF-GTD, 5.00%, 02/15/2022 | 2,000 | 2,133 | ||||||
GO, PSF-GTD, 5.00%, 08/15/2022 | 1,240 | 1,352 | ||||||
Harris County, Flood Control District, Series A, Rev., 5.00%, 10/01/2022 | 4,000 | 4,384 | ||||||
Houston Independent School District, GO, PSF-GTD, 5.00%, 02/15/2022 | 1,600 | 1,707 | ||||||
North Texas Tollway Authority, North Texas Tollway System, First Tier, | ||||||||
Series A, Rev., 5.00%, 01/01/2021 | 1,000 | 1,012 | ||||||
Series A, Rev., 5.00%, 01/01/2022 | 2,000 | 2,117 | ||||||
Northwest Independent School District, Series B, GO, PSF-GTD, 5.00%, 02/15/2021 | 2,000 | 2,036 | ||||||
Round Rock Independent School District, Series A, GO, PSF-GTD, 5.00%, 08/01/2022 | 1,280 | 1,393 | ||||||
San Antonio Independent School District, GO, PSF-GTD, 5.00%, 02/15/2022 | 6,560 | 6,990 | ||||||
Texas State University System, Series A, Rev., 5.00%, 03/15/2022 | 2,200 | 2,353 | ||||||
Texas Water Development Board, Master Trust, | ||||||||
Rev., 3.00%, 10/15/2021 (w) | 1,750 | 1,802 | ||||||
Rev., 3.00%, 04/15/2022 (w) | 1,000 | 1,043 | ||||||
Rev., 3.00%, 10/15/2022 (w) | 2,000 | 2,115 | ||||||
|
| |||||||
65,564 | ||||||||
|
| |||||||
Virginia 2.3% | ||||||||
Albermarle County Economic Development Authority, Sentara Healthcare Obligated Group, Series B, Rev., VRDO, 0.12%, 10/01/2020 (z) | 1,350 | 1,350 | ||||||
Norfolk Economic Development Authority, Sentara Healthcare Obligated Group, Series A, Rev., VRDO, 0.13%, 10/07/2020 (z) | 9,700 | 9,700 | ||||||
Virginia Port Authority, Series B, Rev., AMT, 5.00%, 07/01/2021 | 1,405 | 1,454 | ||||||
Virginia Public School Authority, Series VIII, Rev., 5.00%, 04/15/2022 | 5,300 | 5,694 | ||||||
|
| |||||||
18,198 | ||||||||
|
|
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Washington 1.6% | ||||||||
Chelan County Public Utility District No. 1, Series B, Rev., VRDO, 0.13%, 10/07/2020 (z) | 4,000 | 4,000 | ||||||
King County Public Hospital District No. 1, Valley Medical Center, GO, 4.00%, 12/01/2020 | 475 | 477 | ||||||
Pierce County, School District No. 403 Bethel, GO, SCH BD GTY, 4.00%, 12/01/2021 | 850 | 888 | ||||||
Port of Seattle, First Lien, Series B, Rev., AMT, 5.00%, 10/01/2020 (p) | 2,935 | 2,935 | ||||||
Port of Seattle, Intermediate Lien, Rev., AMT, 5.00%, 04/01/2022 | 2,000 | 2,138 | ||||||
Spokane County School District No. 81 Spokane, GO, SCH BD GTY, 5.00%, 12/01/2020 | 1,940 | 1,956 | ||||||
|
| |||||||
12,394 | ||||||||
|
| |||||||
Wisconsin 1.0% | ||||||||
State of Wisconsin, | ||||||||
Series A, GO, 5.00%, 05/01/2022 | 4,815 | 5,184 | ||||||
Series B, GO, 5.00%, 05/01/2021 | 2,435 | 2,504 | ||||||
|
| |||||||
7,688 | ||||||||
|
| |||||||
Total Municipal Bonds (Cost $499,085) | 501,115 | |||||||
|
| |||||||
U.S. Government Agency Securities 1.6% | ||||||||
FHLMC, | ||||||||
0.25%, 08/24/2023 | 4,000 | 4,003 | ||||||
0.70%, 09/02/2025 | 6,000 | 6,002 | ||||||
0.80%, 07/30/2025 | 2,600 | 2,601 | ||||||
|
| |||||||
Total U.S. Government Agency Securities (Cost $12,596) | 12,606 | |||||||
|
| |||||||
U.S. Treasury Obligation 1.2% | ||||||||
U.S. Treasury Inflation Indexed Note, 0.63%, 04/15/2023 (Cost $8,773) | 8,867 | 9,277 | ||||||
|
| |||||||
Short-Term Investments 11.3% | ||||||||
Municipal Bonds 6.3% (t) | ||||||||
City of San Antonio, GO, 5.00%, 08/01/2021 | 1,550 | 1,612 | ||||||
County of Erie, GO, RAN, 3.00%, 06/24/2021 | 5,000 | 5,095 | ||||||
County of Harris, Series A, GO, 5.00%, 10/01/2021 (w) | 7,500 | 7,853 | ||||||
Memphis-Shelby County Airport Authority, Series B, Rev., AMT, 5.00%, 07/01/2021 | 1,100 | 1,137 | ||||||
San Diego Unified School District, Series A, Rev., TRAN, 5.00%, 06/30/2021 | 4,400 | 4,559 | ||||||
State of Colorado, Rev., TRAN, 4.00%, 06/25/2021 | 10,000 | 10,278 | ||||||
State of Texas, Rev., TRAN, 4.00%, 08/26/2021 | 11,900 | 12,308 | ||||||
Township of Washington, Gloucester County, Series A, GO, BAN, 1.75%, 06/22/2021 | 6,000 | 6,057 | ||||||
Troy University, Alabama Facilities, Series A, Rev., BAM, 4.00%, 11/01/2020 | 1,000 | 1,003 | ||||||
|
| |||||||
Total Municipal Bonds | 49,902 | |||||||
|
| |||||||
Repurchase Agreements 3.7% | ||||||||
BNP Paribas SA, 0.11%, dated 09/30/2020 due 10/01/2020, repurchase price $5,500, collateralized by U.S. Treasury Security, 2.88%, due 05/15/2043, with a value of $5,589. | 5,500 | 5,500 | ||||||
Goldman Sachs Co. LLC, 0.11%, dated 09/30/2020, due 10/01/2020, repurchase price $23,300, collateralized by Mortgage-Backed Security, 3.50%, due 08/01/2049, with a value of $24,346. | 23,300 | 23,300 | ||||||
|
| |||||||
Total Repurchase Agreements | 28,800 | |||||||
|
|
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Short-Term Investments continued | ||||||||
Time Deposits 1.3% | ||||||||
Australia & New Zealand Banking Group Ltd., 0.01%, 10/01/2020 | 130 | 130 | ||||||
BNP Paribas SA, 0.01%, 10/01/2020 | 9,735 | 9,735 | ||||||
Brown Brothers Harriman, | ||||||||
(0.69%), 10/01/2020 | EUR | 2 | 2 | |||||
(0.23%), 10/01/2020 | JPY | 26 | | (h) | ||||
0.00%, 10/01/2020 | AUD | 60 | 43 | |||||
0.03%, 10/01/2020 | CAD | 440 | 330 | |||||
Citibank NA, 0.01%, 10/01/2020 | GBP | 28 | 36 | |||||
|
| |||||||
Total Time Deposits | 10,276 | |||||||
|
| |||||||
Total Short-Term Investments (Cost $88,974) | 88,978 | |||||||
|
| |||||||
Total Investments 101.6% (Cost - $794,775)* | 798,460 | |||||||
Liabilities in Excess of Other Assets (1.6)% | (12,770 | ) | ||||||
|
| |||||||
NET ASSETS 100.0% | $ | 785,690 | ||||||
|
|
Percentages indicated are based on net assets.
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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, 2020:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
Canadian Bankers Acceptance | 364 | 06/2021 | CAD | 67,904 | 88 | |||||||||||||||
Canadian Bankers Acceptance | 52 | 12/2022 | CAD | 9,697 | 5 | |||||||||||||||
Canadian Bankers Acceptance | 9 | 03/2023 | CAD | 1,679 | | |||||||||||||||
U.S. Treasury 2 Year Note | 198 | 12/2020 | USD | 43,732 | 19 | |||||||||||||||
U.S. Treasury Ultra Bond | 1 | 12/2020 | USD | 225 | (3 | ) | ||||||||||||||
|
| |||||||||||||||||||
109 | ||||||||||||||||||||
|
| |||||||||||||||||||
Short Contracts | ||||||||||||||||||||
U.S. Treasury 5 Year Note | (160) | 12/2020 | USD | (20,140) | (25 | ) | ||||||||||||||
U.S. Ultra Treasury 10 Year Note | (33) | 12/2020 | USD | (5,285) | 8 | |||||||||||||||
|
| |||||||||||||||||||
(17 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Total unrealized appreciation (depreciation) | 92 | |||||||||||||||||||
|
|
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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, 2020:
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||||||||
USD 4,751 | CAD | 6,288 | Barclays Bank plc | 11/17/2020 | 28 | |||||||
USD 6,785 | GBP | 5,178 | Barclays Bank plc | 11/17/2020 | 102 | |||||||
|
| |||||||||||
Total unrealized appreciation | 130 | |||||||||||
|
| |||||||||||
USD 457 | AUD | 642 | Morgan Stanley & Co. | 11/17/2020 | (3 | ) | ||||||
CAD 385 | USD | 295 | Barclays Bank plc | 11/17/2020 | (5 | ) | ||||||
GBP 430 | USD | 557 | Bank of America, NA | 11/17/2020 | (2 | ) | ||||||
|
| |||||||||||
Total unrealized depreciation | (10 | ) | ||||||||||
|
| |||||||||||
Net unrealized appreciation (depreciation) | 120 | |||||||||||
|
|
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Centrally Cleared Interest Rate Swap contracts outstanding as of September 30, 2020:
FLOATING RATE INDEX (a) | FIXED RATE | PAY/ RECEIVE | MATURITY DATE | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) ($) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) | |||||||||||||||||
ICE LIBOR USD 1 Month | ICE LIBOR USD 3 Month | Pay | 01/13/2023 | USD | 10,800 | | 1 | 1 | ||||||||||||||||
ICE LIBOR USD 1 Month | ICE LIBOR USD 3 Month | Pay | 01/13/2023 | USD | 14,200 | | 2 | 2 | ||||||||||||||||
|
| |||||||||||||||||||||||
Total | | 3 | 3 | |||||||||||||||||||||
|
|
(a) | Value of floating rate index as of September 30, 2020 was as follows: |
FLOATING RATE INDEX | ||||
ICE LIBOR USD 1 Month | 0.15 | % | ||
ICE LIBOR USD 3 Month | 0.23 | % |
Six Circles Tax Aware Ultra Short Duration Fund
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020
AGM | | Insured by Assured Guaranty Municipal Corp. | ||
AMT | | Alternative Minimum Tax | ||
BAM | | Insured by Build America Mutual | ||
BAN | | Bond Anticipation Note | ||
BBSW | | Bank Bill Swap Rate | ||
COLL | | Collateral | ||
FHLMC | | Federal Home Loan Mortgage Corp. | ||
FNMA | | Federal National Mortgage Association | ||
GO | | General Obligation | ||
GNMA | | Government National Mortgage Association | ||
GTD | | Guaranteed | ||
ICE | | Intercontinental Exchange | ||
LIBOR | | London Interbank Offered Rate | ||
LIQ | | Liquidity Agreement | ||
LOC | | Letter of Credit | ||
PSF | | Permanent School Fund | ||
RAN | | Revenue Anticipation Note | ||
Reg. S | | Security was purchased pursuant to Regulation S under the Securities Act of 1933, as amended (the Securities Act), which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act, or pursuant to an exemption from registration. | ||
REMICS | | Real Estate Mortgage Investment Conduit | ||
Rev. | | Revenue | ||
SCH BD GTY | | School Bond Guaranty | ||
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, 2020. | ||
TRAN | | Tax & Revenue Anticipation Note | ||
VRDO | | Variable Rate Demand Obligation. The interest rate shown is the rate in effect as of September 30, 2020. | ||
(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. | ||
(p) | | Security is prerefunded or escrowed to maturity. | ||
(t) | | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | ||
(w) | | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
Six Circles Tax Aware Ultra Short Duration Fund
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (continued)
(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, 2020. | ||
(aa) | | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of September 30, 2020. | ||
(bb) | | Security has been valued using significant unobservable inputs. | ||
* | | The cost of securities is substantially the same for federal income tax purposes. | ||
AUD | | Australian Dollar | ||
CAD | | Canadian Dollar | ||
EUR | | Euro | ||
GBP | | British Pound | ||
JPY | | Japanese Yen | ||
USD | | United States Dollar |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks 99.0% | ||||||||
Basic Materials 0.6% | ||||||||
Chemicals 0.5% | ||||||||
Air Products & Chemicals, Inc. | 26 | 7,701 | ||||||
Albemarle Corp. | 12 | 1,040 | ||||||
Axalta Coating Systems Ltd. (a) | 13 | 289 | ||||||
Celanese Corp., Class A | 13 | 1,349 | ||||||
CF Industries Holdings, Inc. | 23 | 701 | ||||||
Dow, Inc. | 89 | 4,179 | ||||||
DuPont de Nemours, Inc. | 88 | 4,870 | ||||||
Eastman Chemical Co. | 16 | 1,212 | ||||||
Ecolab, Inc. | 30 | 5,976 | ||||||
FMC Corp. | 13 | 1,359 | ||||||
International Flavors & Fragrances, Inc. | 9 | 1,158 | ||||||
Linde plc, (United Kingdom) | 63 | 14,940 | ||||||
LyondellBasell Industries NV, Class A | 32 | 2,270 | ||||||
Mosaic Co. (The) | 42 | 766 | ||||||
PPG Industries, Inc. | 28 | 3,379 | ||||||
RPM International, Inc. | 11 | 938 | ||||||
Sherwin-Williams Co. (The) | 9 | 6,583 | ||||||
|
| |||||||
58,710 | ||||||||
|
| |||||||
Forest Products & Paper 0.0% (g) | ||||||||
International Paper Co. | 56 | 2,275 | ||||||
|
| |||||||
Iron/Steel 0.0% (g) | ||||||||
Nucor Corp. | 36 | 1,618 | ||||||
Steel Dynamics, Inc. | 20 | 583 | ||||||
|
| |||||||
2,201 | ||||||||
|
| |||||||
Mining 0.1% | ||||||||
Freeport-McMoRan, Inc. | 151 | 2,363 | ||||||
Newmont Corp. | 88 | 5,572 | ||||||
|
| |||||||
7,935 | ||||||||
|
| |||||||
Total Basic Materials | 71,121 | |||||||
|
| |||||||
Communications 20.0% | ||||||||
Advertising 0.1% | ||||||||
Interpublic Group of Cos., Inc. (The) | 45 | 756 | ||||||
Omnicom Group, Inc. | 27 | 1,329 | ||||||
Trade Desk, Inc. (The), Class A (a) | 8 | 4,238 | ||||||
|
| |||||||
6,323 | ||||||||
|
|
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks continued | ||||||||
Internet 18.5% | ||||||||
Alphabet, Inc., Class A (a) | 325 | 475,754 | ||||||
Alphabet, Inc., Class C (a) | 318 | 467,208 | ||||||
Amazon.com, Inc. (a) | 135 | 426,048 | ||||||
Booking Holdings, Inc. (a) | 13 | 22,244 | ||||||
CDW Corp. | 16 | 1,875 | ||||||
E*TRADE Financial Corp. | 205 | 10,252 | ||||||
eBay, Inc. | 213 | 11,095 | ||||||
Etsy, Inc. (a) | 24 | 2,923 | ||||||
Expedia Group, Inc. | 43 | 3,934 | ||||||
F5 Networks, Inc. (a) | 7 | 798 | ||||||
Facebook, Inc., Class A (a) | 2,594 | 679,444 | ||||||
GoDaddy, Inc., Class A (a) | 18 | 1,342 | ||||||
IAC/InterActiveCorp. (a) | 8 | 977 | ||||||
Match Group, Inc. (a) | 27 | 3,024 | ||||||
MercadoLibre, Inc., (Argentina) (a) | 5 | 5,601 | ||||||
Netflix, Inc. (a) | 51 | 25,611 | ||||||
NortonLifeLock, Inc. | 186 | 3,879 | ||||||
Okta, Inc., Class A (a) | 13 | 2,719 | ||||||
Palo Alto Networks, Inc. (a) | 33 | 8,013 | ||||||
Pinterest, Inc., Class A (a) | 46 | 1,916 | ||||||
Roku, Inc., Class A (a) | 12 | 2,219 | ||||||
Snap, Inc., Class A (a) | 102 | 2,672 | ||||||
TD Ameritrade Holding Corp. | 297 | 11,633 | ||||||
Twitter, Inc. (a) | 851 | 37,872 | ||||||
Uber Technologies, Inc. (a) | 283 | 10,335 | ||||||
VeriSign, Inc. (a) | 10 | 2,132 | ||||||
Wayfair, Inc., Class A (a) | 7 | 2,154 | ||||||
Zillow Group, Inc., Class C (a) | 16 | 1,640 | ||||||
|
| |||||||
2,225,314 | ||||||||
|
| |||||||
Media 0.7% | ||||||||
Altice USA, Inc., Class A (a) | 24 | 631 | ||||||
Cable One, Inc. | | (h) | 892 | |||||
Charter Communications, Inc., Class A (a) | 17 | 10,716 | ||||||
Comcast Corp., Class A | 540 | 25,000 | ||||||
Discovery, Inc., Class A (a) | 28 | 620 | ||||||
Discovery, Inc., Class C (a) | 27 | 536 | ||||||
DISH Network Corp., Class A (a) | 28 | 820 | ||||||
FactSet Research Systems, Inc. | 28 | 9,357 | ||||||
Fox Corp., Class A | 48 | 1,346 | ||||||
Fox Corp., Class B | 10 | 292 | ||||||
Liberty Broadband Corp., Class C (a) | 13 | 1,849 | ||||||
Liberty Global plc, (United Kingdom), Class A (a) | 9 | 198 | ||||||
Liberty Global plc, (United Kingdom), Class C (a) | 56 | 1,152 | ||||||
Liberty Media Corp.-Liberty Formula One, Class C (a) | 21 | 762 | ||||||
Liberty Media Corp.-Liberty SiriusXM, Class A (a) | 12 | 392 | ||||||
Liberty Media Corp.-Liberty SiriusXM, Class C (a) | 19 | 634 | ||||||
News Corp., Class A | 49 | 690 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Sirius XM Holdings, Inc. | 104 | 558 | ||||||
ViacomCBS, Inc., Class B | 67 | 1,879 | ||||||
Walt Disney Co. (The) | 214 | 26,502 | ||||||
|
| |||||||
84,826 | ||||||||
|
| |||||||
Telecommunications 0.7% | ||||||||
Arista Networks, Inc. (a) | 6 | 1,328 | ||||||
AT&T, Inc. | 845 | 24,095 | ||||||
CenturyLink, Inc. | 100 | 1,010 | ||||||
Cisco Systems, Inc. | 503 | 19,828 | ||||||
Corning, Inc. | 90 | 2,910 | ||||||
Juniper Networks, Inc. | 33 | 718 | ||||||
Motorola Solutions, Inc. | 20 | 3,071 | ||||||
T-Mobile US, Inc. (a) | 64 | 7,352 | ||||||
Verizon Communications, Inc. | 489 | 29,084 | ||||||
|
| |||||||
89,396 | ||||||||
|
| |||||||
Total Communications | 2,405,859 | |||||||
|
| |||||||
Consumer Cyclical 5.0% | ||||||||
Airlines 0.0% (g) | ||||||||
Delta Air Lines, Inc. | 33 | 1,006 | ||||||
Southwest Airlines Co. | 28 | 1,059 | ||||||
|
| |||||||
2,065 | ||||||||
|
| |||||||
Apparel 0.2% | ||||||||
NIKE, Inc., Class B | 146 | 18,380 | ||||||
Ralph Lauren Corp., Class A | 6 | 414 | ||||||
VF Corp. | 39 | 2,752 | ||||||
|
| |||||||
21,546 | ||||||||
|
| |||||||
Auto Manufacturers 2.8% | ||||||||
Cummins, Inc. | 409 | 86,462 | ||||||
Ford Motor Co. | 1,714 | 11,412 | ||||||
General Motors Co. | 567 | 16,776 | ||||||
PACCAR, Inc. | 960 | 81,885 | ||||||
Tesla, Inc. (a) | 326 | 139,896 | ||||||
|
| |||||||
336,431 | ||||||||
|
| |||||||
Auto Parts & Equipment 0.0% (g) | ||||||||
Aptiv plc, (Ireland) | 30 | 2,735 | ||||||
Autoliv, Inc., (Sweden) | 6 | 411 | ||||||
BorgWarner, Inc. | 20 | 764 | ||||||
Lear Corp. | 6 | 649 | ||||||
|
| |||||||
4,559 | ||||||||
|
| |||||||
Distribution/Wholesale 0.1% | ||||||||
Copart, Inc. (a) | 41 | 4,311 | ||||||
Fastenal Co. | 110 | 4,958 | ||||||
HD Supply Holdings, Inc. (a) | 29 | 1,208 | ||||||
LKQ Corp. (a) | 29 | 812 | ||||||
WW Grainger, Inc. | 8 | 2,911 | ||||||
|
| |||||||
14,200 | ||||||||
|
|
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Entertainment 0.0% (g) | ||||||||
Live Nation Entertainment, Inc. (a) | 18 | 981 | ||||||
Vail Resorts, Inc. | 5 | 1,040 | ||||||
|
| |||||||
2,021 | ||||||||
|
| |||||||
Food Service 0.0% (g) | ||||||||
Aramark | 27 | 727 | ||||||
|
| |||||||
Home Builders 0.1% | ||||||||
DR Horton, Inc. | 36 | 2,691 | ||||||
Lennar Corp., Class A | 28 | 2,254 | ||||||
NVR, Inc. (a) | | (h) | 1,356 | |||||
PulteGroup, Inc. | 23 | 1,068 | ||||||
|
| |||||||
7,369 | ||||||||
|
| |||||||
Home Furnishings 0.0% (g) | ||||||||
Whirlpool Corp. | 8 | 1,382 | ||||||
|
| |||||||
Housewares 0.0% (g) | ||||||||
Newell Brands, Inc. | 48 | 822 | ||||||
|
| |||||||
Leisure Time 0.1% (g) | ||||||||
Carnival Corp. | 68 | 1,027 | ||||||
Peloton Interactive, Inc., Class A (a) | 23 | 2,253 | ||||||
Royal Caribbean Cruises Ltd. | 22 | 1,418 | ||||||
|
| |||||||
4,698 | ||||||||
|
| |||||||
Lodging 0.1% | ||||||||
Hilton Worldwide Holdings, Inc. | 34 | 2,901 | ||||||
Las Vegas Sands Corp. | 39 | 1,802 | ||||||
Marriott International, Inc., Class A | 34 | 3,144 | ||||||
MGM Resorts International | 51 | 1,116 | ||||||
Wynn Resorts Ltd. | 10 | 720 | ||||||
|
| |||||||
9,683 | ||||||||
|
| |||||||
Retail 1.6% | ||||||||
Advance Auto Parts, Inc. | 7 | 1,112 | ||||||
AutoZone, Inc. (a) | 2 | 2,911 | ||||||
Best Buy Co., Inc. | 27 | 2,984 | ||||||
Burlington Stores, Inc. (a) | 7 | 1,428 | ||||||
CarMax, Inc. (a) | 20 | 1,849 | ||||||
Chipotle Mexican Grill, Inc., Class A (a) | 3 | 3,822 | ||||||
Costco Wholesale Corp. | 53 | 18,759 | ||||||
Darden Restaurants, Inc. | 15 | 1,525 | ||||||
Dollar General Corp. | 29 | 6,102 | ||||||
Dollar Tree, Inc. (a) | 27 | 2,497 | ||||||
Dominos Pizza, Inc. | 4 | 1,849 | ||||||
Genuine Parts Co. | 15 | 1,416 | ||||||
Home Depot, Inc. (The) | 125 | 34,851 | ||||||
Lowes Cos., Inc. | 87 | 14,416 | ||||||
Lululemon Athletica, Inc., (Canada) (a) | 14 | 4,752 | ||||||
McDonalds Corp. | 87 | 19,063 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
OReilly Automotive, Inc. (a) | 8 | 3,631 | ||||||
Ross Stores, Inc. | 40 | 3,744 | ||||||
Starbucks Corp. | 136 | 11,723 | ||||||
Target Corp. | 58 | 9,175 | ||||||
Tiffany & Co. | 12 | 1,397 | ||||||
TJX Cos., Inc. (The) | 139 | 7,738 | ||||||
Tractor Supply Co. | 12 | 1,774 | ||||||
Ulta Beauty, Inc. (a) | 6 | 1,326 | ||||||
Walgreens Boots Alliance, Inc. | 90 | 3,215 | ||||||
Walmart, Inc. | 170 | 23,779 | ||||||
Yum! Brands, Inc. | 31 | 2,853 | ||||||
|
| |||||||
189,691 | ||||||||
|
| |||||||
Textiles 0.0% (g) | ||||||||
Mohawk Industries, Inc. (a) | 8 | 765 | ||||||
|
| |||||||
Toys/Games/Hobbies 0.0% (g) | ||||||||
Hasbro, Inc. | 15 | 1,242 | ||||||
|
| |||||||
Total Consumer Cyclical | 597,201 | |||||||
|
| |||||||
Consumer Non-cyclical 22.5% | ||||||||
Agriculture 0.2% | ||||||||
Altria Group, Inc. | 213 | 8,222 | ||||||
Archer-Daniels-Midland Co. | 72 | 3,350 | ||||||
Bunge Ltd. | 20 | 894 | ||||||
Philip Morris International, Inc. | 178 | 13,376 | ||||||
|
| |||||||
25,842 | ||||||||
|
| |||||||
Beverages 5.1% | ||||||||
Brown-Forman Corp., Class B | 381 | 28,699 | ||||||
Coca-Cola Co. (The) | 5,083 | 250,940 | ||||||
Constellation Brands, Inc., Class A | 208 | 39,497 | ||||||
Keurig Dr Pepper, Inc. | 433 | 11,961 | ||||||
Molson Coors Beverage Co., Class B | 236 | 7,932 | ||||||
Monster Beverage Corp. (a) | 489 | 39,206 | ||||||
PepsiCo., Inc. | 1,730 | 239,737 | ||||||
|
| |||||||
617,972 | ||||||||
|
| |||||||
Biotechnology 3.2% | ||||||||
Alexion Pharmaceuticals, Inc. (a) | 156 | 17,805 | ||||||
Alnylam Pharmaceuticals, Inc. (a) | 80 | 11,630 | ||||||
Amgen, Inc. | 414 | 105,137 | ||||||
Biogen, Inc. (a) | 115 | 32,570 | ||||||
BioMarin Pharmaceutical, Inc. (a) | 127 | 9,638 | ||||||
Bio-Rad Laboratories, Inc., Class A (a) | 2 | 1,178 | ||||||
Corteva, Inc. | 89 | 2,558 | ||||||
Exact Sciences Corp. (a) | 105 | 10,662 | ||||||
Gilead Sciences, Inc. | 884 | 55,856 | ||||||
Illumina, Inc. (a) | 17 | 5,308 | ||||||
Incyte Corp. (a) | 130 | 11,632 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Biotechnology continued | ||||||||
Ionis Pharmaceuticals, Inc. (a) | 90 | 4,263 | ||||||
Moderna, Inc. (a) | 191 | 13,499 | ||||||
Regeneron Pharmaceuticals, Inc. (a) | 71 | 39,698 | ||||||
Seattle Genetics, Inc. (a) | 85 | 16,614 | ||||||
Vertex Pharmaceuticals, Inc. (a) | 183 | 49,680 | ||||||
|
| |||||||
387,728 | ||||||||
|
| |||||||
Commercial Services 1.8% | ||||||||
AMERCO | 2 | 752 | ||||||
Automatic Data Processing, Inc. | 51 | 7,069 | ||||||
Avalara, Inc. (a) | 12 | 1,557 | ||||||
Booz Allen Hamilton Holding Corp., Class A | 15 | 1,210 | ||||||
Cintas Corp. | 20 | 6,687 | ||||||
CoStar Group, Inc. (a) | 7 | 6,089 | ||||||
Equifax, Inc. | 51 | 8,020 | ||||||
FleetCor Technologies, Inc. (a) | 9 | 2,209 | ||||||
Gartner, Inc. (a) | 9 | 1,088 | ||||||
Global Payments, Inc. | 35 | 6,204 | ||||||
IHS Markit Ltd., (United Kingdom) | 75 | 5,866 | ||||||
MarketAxess Holdings, Inc. | 30 | 14,272 | ||||||
Moodys Corp. | 123 | 35,683 | ||||||
Nielsen Holdings plc | 63 | 889 | ||||||
PayPal Holdings, Inc. (a) | 130 | 25,660 | ||||||
Robert Half International, Inc. | 25 | 1,348 | ||||||
Rollins, Inc. | 29 | 1,565 | ||||||
S&P Global, Inc. | 186 | 67,013 | ||||||
Square, Inc., Class A (a) | 42 | 6,847 | ||||||
TransUnion | 36 | 3,068 | ||||||
United Rentals, Inc. (a) | 19 | 3,340 | ||||||
Verisk Analytics, Inc., Class A | 31 | 5,781 | ||||||
|
| |||||||
212,217 | ||||||||
|
| |||||||
Cosmetics/Personal Care 0.5% | ||||||||
Colgate-Palmolive Co. | 90 | 6,979 | ||||||
Estee Lauder Cos., Inc. (The), Class A | 26 | 5,710 | ||||||
Procter & Gamble Co. (The) | 294 | 40,926 | ||||||
|
| |||||||
53,615 | ||||||||
|
| |||||||
Food 0.3% | ||||||||
Campbell Soup Co. | 19 | 913 | ||||||
Conagra Brands, Inc. | 55 | 1,974 | ||||||
General Mills, Inc. | 70 | 4,334 | ||||||
Hershey Co. (The) | 16 | 2,292 | ||||||
Hormel Foods Corp. | 34 | 1,661 | ||||||
Ingredion, Inc. | 7 | 503 | ||||||
J M Smucker Co. (The) | 13 | 1,463 | ||||||
Kellogg Co. | 27 | 1,737 | ||||||
Kraft Heinz Co. (The) | 80 | 2,410 | ||||||
Kroger Co. (The) | 93 | 3,145 | ||||||
Lamb Weston Holdings, Inc. | 16 | 1,032 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Food continued | ||||||||
McCormick & Co., Inc. | 13 | 2,599 | ||||||
Mondelez International, Inc., Class A | 169 | 9,711 | ||||||
Sysco Corp. | 55 | 3,448 | ||||||
Tyson Foods, Inc., Class A | 36 | 2,168 | ||||||
|
| |||||||
39,390 | ||||||||
|
| |||||||
Healthcare - Products 1.2% | ||||||||
Abbott Laboratories | 209 | 22,728 | ||||||
ABIOMED, Inc. (a) | 5 | 1,390 | ||||||
Align Technology, Inc. (a) | 9 | 2,813 | ||||||
Avantor, Inc. (a) | 49 | 1,094 | ||||||
Baxter International, Inc. | 59 | 4,783 | ||||||
Boston Scientific Corp. (a) | 168 | 6,415 | ||||||
Cooper Cos., Inc. (The) | 6 | 2,012 | ||||||
Danaher Corp. | 75 | 16,255 | ||||||
DENTSPLY SIRONA, Inc. | 24 | 1,046 | ||||||
Edwards Lifesciences Corp. (a) | 71 | 5,699 | ||||||
Henry Schein, Inc. (a) | 16 | 933 | ||||||
Hologic, Inc. (a) | 29 | 1,917 | ||||||
IDEXX Laboratories, Inc. (a) | 9 | 3,535 | ||||||
Insulet Corp. (a) | 7 | 1,641 | ||||||
Intuitive Surgical, Inc. (a) | 14 | 9,647 | ||||||
Masimo Corp. (a) | 5 | 1,276 | ||||||
Medtronic plc, (Ireland) | 161 | 16,726 | ||||||
ResMed, Inc. | 16 | 2,814 | ||||||
STERIS plc | 10 | 1,677 | ||||||
Stryker Corp. | 40 | 8,264 | ||||||
Teleflex, Inc. | 5 | 1,705 | ||||||
Thermo Fisher Scientific, Inc. | 47 | 20,645 | ||||||
Varian Medical Systems, Inc. (a) | 10 | 1,786 | ||||||
West Pharmaceutical Services, Inc. | 8 | 2,170 | ||||||
Zimmer Biomet Holdings, Inc. | 24 | 3,272 | ||||||
|
| |||||||
142,243 | ||||||||
|
| |||||||
Healthcare - Services 0.7% | ||||||||
Anthem, Inc. | 29 | 7,717 | ||||||
Catalent, Inc. (a) | 134 | 11,517 | ||||||
Centene Corp. (a) | 66 | 3,862 | ||||||
DaVita, Inc. (a) | 9 | 799 | ||||||
HCA Healthcare, Inc. | 32 | 3,972 | ||||||
Humana, Inc. | 15 | 6,105 | ||||||
IQVIA Holdings, Inc. (a) | 22 | 3,508 | ||||||
Laboratory Corp. of America Holdings (a) | 11 | 2,150 | ||||||
Molina Healthcare, Inc. (a) | 6 | 1,025 | ||||||
Quest Diagnostics, Inc. | 15 | 1,763 | ||||||
Teladoc Health, Inc. (a) | 8 | 1,758 | ||||||
UnitedHealth Group, Inc. | 110 | 34,400 | ||||||
Universal Health Services, Inc., Class B | 10 | 1,040 | ||||||
|
| |||||||
79,616 | ||||||||
|
|
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Household Products/Wares 0.1% | ||||||||
Avery Dennison Corp. | 10 | 1,296 | ||||||
Church & Dwight Co., Inc. | 26 | 2,407 | ||||||
Clorox Co. (The) | 14 | 2,926 | ||||||
Kimberly-Clark Corp. | 37 | 5,502 | ||||||
|
| |||||||
12,131 | ||||||||
|
| |||||||
Pharmaceuticals 9.4% | ||||||||
AbbVie, Inc. | 1,240 | 108,590 | ||||||
AmerisourceBergen Corp., Class A | 20 | 1,892 | ||||||
Becton Dickinson and Co. | 34 | 7,939 | ||||||
Bristol-Myers Squibb Co. | 1,894 | 114,200 | ||||||
Cardinal Health, Inc. | 33 | 1,553 | ||||||
Cigna Corp. | 42 | 7,155 | ||||||
CVS Health Corp. | 157 | 9,153 | ||||||
DexCom, Inc. (a) | 11 | 4,359 | ||||||
Elanco Animal Health, Inc. (a) | 44 | 1,223 | ||||||
Eli Lilly & Co. | 674 | 99,699 | ||||||
Jazz Pharmaceuticals plc, (Ireland) (a) | 5 | 719 | ||||||
Johnson & Johnson | 2,216 | 329,948 | ||||||
McKesson Corp. | 20 | 2,927 | ||||||
Merck & Co., Inc. | 2,124 | 176,167 | ||||||
Mylan NV (a) | 436 | 6,459 | ||||||
Neurocrine Biosciences, Inc. (a) | 61 | 5,852 | ||||||
Perrigo Co. plc, (Ireland) | 113 | 5,200 | ||||||
Pfizer, Inc. | 4,667 | 171,266 | ||||||
Sarepta Therapeutics, Inc. (a) | 52 | 7,233 | ||||||
Zoetis, Inc., Class A | 397 | 65,690 | ||||||
|
| |||||||
1,127,224 | ||||||||
|
| |||||||
Total Consumer Non-cyclical | 2,697,978 | |||||||
|
| |||||||
Energy 0.5% | ||||||||
Oil & Gas 0.4% | ||||||||
Cabot Oil & Gas Corp. | 46 | 797 | ||||||
Chevron Corp. | 221 | 15,935 | ||||||
Concho Resources, Inc. | 22 | 975 | ||||||
ConocoPhillips | 126 | 4,127 | ||||||
Diamondback Energy, Inc. | 18 | 555 | ||||||
EOG Resources, Inc. | 68 | 2,444 | ||||||
Exxon Mobil Corp. | 509 | 17,475 | ||||||
Hess Corp. | 30 | 1,208 | ||||||
Marathon Petroleum Corp. | 77 | 2,248 | ||||||
Occidental Petroleum Corp. | 104 | 1,044 | ||||||
Phillips 66 | 52 | 2,676 | ||||||
Pioneer Natural Resources Co. | 19 | 1,596 | ||||||
Valero Energy Corp. | 49 | 2,112 | ||||||
|
| |||||||
53,192 | ||||||||
|
|
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Oil & Gas Services 0.0% (g) | ||||||||
Baker Hughes Co., Class A | 81 | 1,072 | ||||||
Halliburton Co. | 102 | 1,234 | ||||||
National Oilwell Varco, Inc. | 49 | 441 | ||||||
Schlumberger NV | 182 | 2,827 | ||||||
|
| |||||||
5,574 | ||||||||
|
| |||||||
Pipelines 0.1% | ||||||||
Cheniere Energy, Inc. (a) | 23 | 1,062 | ||||||
Kinder Morgan, Inc. | 225 | 2,778 | ||||||
ONEOK, Inc. | 49 | 1,280 | ||||||
Williams Cos., Inc. (The) | 141 | 2,767 | ||||||
|
| |||||||
7,887 | ||||||||
|
| |||||||
Total Energy | 66,653 | |||||||
|
| |||||||
Financial 17.7% | ||||||||
Banks 6.0% | ||||||||
Bank of America Corp. | 6,132 | 147,724 | ||||||
Bank of New York Mellon Corp. (The) | 702 | 24,108 | ||||||
Citigroup, Inc. | 1,682 | 72,494 | ||||||
Citizens Financial Group, Inc. | 486 | 12,283 | ||||||
Comerica, Inc. | 217 | 8,294 | ||||||
East West Bancorp, Inc. | 208 | 6,799 | ||||||
Fifth Third Bancorp | 729 | 15,542 | ||||||
First Republic Bank | 171 | 18,601 | ||||||
Goldman Sachs Group, Inc. (The) | 272 | 54,670 | ||||||
Huntington Bancshares, Inc. | 1,245 | 11,419 | ||||||
KeyCorp. | 1,051 | 12,537 | ||||||
M&T Bank Corp. | 144 | 13,263 | ||||||
Morgan Stanley | 999 | 48,308 | ||||||
Northern Trust Corp. | 199 | 15,515 | ||||||
PNC Financial Services Group, Inc. (The) | 366 | 40,276 | ||||||
Regions Financial Corp. | 1,071 | 12,350 | ||||||
Signature Bank | 90 | 7,478 | ||||||
State Street Corp. | 333 | 19,771 | ||||||
SVB Financial Group (a) | 57 | 13,831 | ||||||
Truist Financial Corp. | 1,137 | 43,247 | ||||||
US Bancorp | 1,133 | 40,621 | ||||||
Wells Fargo & Co. | 3,123 | 73,433 | ||||||
Zions Bancorp NA | 270 | 7,891 | ||||||
|
| |||||||
720,455 | ||||||||
|
| |||||||
Diversified Financial Services 4.0% | ||||||||
Ally Financial, Inc. | 277 | 6,953 | ||||||
American Express Co. | 571 | 57,200 | ||||||
Ameriprise Financial, Inc. | 118 | 18,143 | ||||||
BlackRock, Inc., Class A | 80 | 45,282 | ||||||
Capital One Financial Corp. | 406 | 29,173 | ||||||
Cboe Global Markets, Inc. | 118 | 10,310 | ||||||
Charles Schwab Corp. (The) | 991 | 35,893 | ||||||
CME Group, Inc., Class A | 291 | 48,697 | ||||||
Discover Financial Services | 266 | 15,363 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Franklin Resources, Inc. | 417 | 8,494 | ||||||
Intercontinental Exchange, Inc. | 447 | 44,752 | ||||||
Invesco Ltd. | 354 | 4,040 | ||||||
Mastercard, Inc., Class A | 105 | 35,525 | ||||||
Nasdaq, Inc. | 120 | 14,721 | ||||||
Raymond James Financial, Inc. | 147 | 10,665 | ||||||
SEI Investments Co. | 161 | 8,163 | ||||||
Synchrony Financial | 492 | 12,875 | ||||||
T Rowe Price Group, Inc. | 208 | 26,704 | ||||||
Tradeweb Markets, Inc., Class A | 68 | 3,964 | ||||||
Visa, Inc., Class A | 200 | 40,087 | ||||||
Western Union Co. (The) | 44 | 937 | ||||||
|
| |||||||
477,941 | ||||||||
|
| |||||||
Insurance 6.3% | ||||||||
Aflac, Inc. | 611 | 22,207 | ||||||
Alleghany Corp. | 18 | 9,260 | ||||||
Allstate Corp. (The) | 280 | 26,402 | ||||||
American Financial Group, Inc. | 77 | 5,175 | ||||||
American International Group, Inc. | 643 | 17,702 | ||||||
Aon plc, Class A | 191 | 39,400 | ||||||
Arch Capital Group Ltd., (Bermuda) (a) | 328 | 9,583 | ||||||
Arthur J Gallagher & Co. | 172 | 18,197 | ||||||
Assurant, Inc. | 69 | 8,419 | ||||||
Athene Holding Ltd., (Bermuda), Class A (a) | 112 | 3,811 | ||||||
Berkshire Hathaway, Inc., Class B (a) | 1,061 | 225,855 | ||||||
Brown & Brown, Inc. | 178 | 8,048 | ||||||
Chubb Ltd., (Switzerland) | 349 | 40,541 | ||||||
Cincinnati Financial Corp. | 159 | 12,411 | ||||||
Equitable Holdings, Inc. | 365 | 6,665 | ||||||
Erie Indemnity Co., Class A | 26 | 5,422 | ||||||
Everest Re Group Ltd., (Bermuda) | 48 | 9,509 | ||||||
Fidelity National Financial, Inc. | 135 | 4,232 | ||||||
Globe Life, Inc. | 125 | 10,007 | ||||||
Hartford Financial Services Group, Inc. (The) | 371 | 13,667 | ||||||
Lincoln National Corp. | 237 | 7,426 | ||||||
Loews Corp. | 260 | 9,038 | ||||||
Markel Corp. (a) | 13 | 12,288 | ||||||
Marsh & McLennan Cos., Inc. | 402 | 46,066 | ||||||
MetLife, Inc. | 691 | 25,678 | ||||||
Principal Financial Group, Inc. | 308 | 12,422 | ||||||
Progressive Corp. (The) | 486 | 45,984 | ||||||
Prudential Financial, Inc. | 371 | 23,552 | ||||||
Reinsurance Group of America, Inc. | 65 | 6,160 | ||||||
RenaissanceRe Holdings Ltd., (Bermuda) | 36 | 6,135 | ||||||
Travelers Cos., Inc. (The) | 219 | 23,694 | ||||||
Voya Financial, Inc. | 112 | 5,356 | ||||||
Willis Towers Watson plc, (United Kingdom) | 112 | 23,476 | ||||||
W R Berkley Corp. | 167 | 10,222 | ||||||
|
| |||||||
754,010 | ||||||||
|
|
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Private Equity 0.4% | ||||||||
Apollo Global Management, Inc., Class A | 133 | 5,953 | ||||||
Blackstone Group, Inc. (The), Class A | 586 | 30,564 | ||||||
Carlyle Group, Inc. (The) | 109 | 2,695 | ||||||
KKR & Co., Inc. | 365 | 12,532 | ||||||
|
| |||||||
51,744 | ||||||||
|
| |||||||
Real Estate 0.0% (g) | ||||||||
CBRE Group, Inc., Class A (a) | 43 | 2,036 | ||||||
Jones Lang LaSalle, Inc. | 7 | 678 | ||||||
|
| |||||||
2,714 | ||||||||
|
| |||||||
REITS 0.9% | ||||||||
AGNC Investment Corp. | 430 | 5,976 | ||||||
Alexandria Real Estate Equities, Inc. | 15 | 2,356 | ||||||
American Tower Corp. | 52 | 12,494 | ||||||
Annaly Capital Management, Inc. | 1,073 | 7,640 | ||||||
AvalonBay Communities, Inc. | 17 | 2,533 | ||||||
Boston Properties, Inc. | 17 | 1,380 | ||||||
Camden Property Trust | 10 | 860 | ||||||
Crown Castle International Corp. | 49 | 8,147 | ||||||
Digital Realty Trust, Inc. | 31 | 4,612 | ||||||
Duke Realty Corp. | 42 | 1,535 | ||||||
Equinix, Inc. | 10 | 7,889 | ||||||
Equity LifeStyle Properties, Inc. | 15 | 922 | ||||||
Equity Residential | 45 | 2,306 | ||||||
Essex Property Trust, Inc. | 8 | 1,531 | ||||||
Extra Space Storage, Inc. | 14 | 1,529 | ||||||
Federal Realty Investment Trust | 7 | 544 | ||||||
Healthpeak Properties, Inc. | 63 | 1,716 | ||||||
Host Hotels & Resorts, Inc. | 87 | 938 | ||||||
Invitation Homes, Inc. | 61 | 1,702 | ||||||
Iron Mountain, Inc. | 31 | 831 | ||||||
Medical Properties Trust, Inc. | 57 | 1,008 | ||||||
Mid-America Apartment Communities, Inc. | 12 | 1,408 | ||||||
National Retail Properties, Inc. | 19 | 642 | ||||||
Omega Healthcare Investors, Inc. | 26 | 769 | ||||||
Prologis, Inc. | 87 | 8,773 | ||||||
Public Storage | 19 | 4,180 | ||||||
Realty Income Corp. | 40 | 2,420 | ||||||
Regency Centers Corp. | 19 | 738 | ||||||
SBA Communications Corp., Class A | 13 | 4,040 | ||||||
Simon Property Group, Inc. | 35 | 2,290 | ||||||
Sun Communities, Inc. | 11 | 1,521 | ||||||
UDR, Inc. | 27 | 896 | ||||||
Ventas, Inc. | 44 | 1,827 | ||||||
VEREIT, Inc. | 117 | 759 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
VICI Properties, Inc. | 53 | 1,230 | ||||||
Vornado Realty Trust | 20 | 664 | ||||||
Welltower, Inc. | 49 | 2,710 | ||||||
Weyerhaeuser Co. | 88 | 2,505 | ||||||
WP Carey, Inc. | 19 | 1,243 | ||||||
|
| |||||||
107,064 | ||||||||
|
| |||||||
Savings & Loans 0.1% | ||||||||
Peoples United Financial, Inc. | 738 | 7,613 | ||||||
|
| |||||||
Total Financial | 2,121,541 | |||||||
|
| |||||||
Industrial 16.7% | ||||||||
Aerospace/Defense 1.1% | ||||||||
Boeing Co. (The) | 222 | 36,722 | ||||||
General Dynamics Corp. | 46 | 6,374 | ||||||
HEICO Corp. | 16 | 1,680 | ||||||
HEICO Corp., Class A | 13 | 1,174 | ||||||
Howmet Aerospace, Inc. | 162 | 2,701 | ||||||
L3Harris Technologies, Inc. | 42 | 7,178 | ||||||
Lockheed Martin Corp. | 86 | 32,803 | ||||||
Northrop Grumman Corp. | 62 | 19,497 | ||||||
Raytheon Technologies Corp. | 290 | 16,670 | ||||||
Teledyne Technologies, Inc. (a) | 6 | 1,890 | ||||||
TransDigm Group, Inc. | 10 | 4,628 | ||||||
|
| |||||||
131,317 | ||||||||
|
| |||||||
Building Materials 0.3% | ||||||||
Carrier Global Corp. | 340 | 10,376 | ||||||
Fortune Brands Home & Security, Inc. | 56 | 4,824 | ||||||
Johnson Controls International plc | 184 | 7,536 | ||||||
Lennox International, Inc. | 14 | 3,690 | ||||||
Martin Marietta Materials, Inc. | 8 | 1,784 | ||||||
Masco Corp. | 105 | 5,763 | ||||||
Owens Corning | 42 | 2,905 | ||||||
Vulcan Materials Co. | 16 | 2,146 | ||||||
|
| |||||||
39,024 | ||||||||
|
| |||||||
Electrical Components & Equipments 0.1% | ||||||||
AMETEK, Inc. | 48 | 4,729 | ||||||
Emerson Electric Co. | 121 | 7,948 | ||||||
|
| |||||||
12,677 | ||||||||
|
| |||||||
Electronics 1.0% | ||||||||
Agilent Technologies, Inc. | 36 | 3,683 | ||||||
Allegion plc, (Ireland) | 37 | 3,676 | ||||||
Amphenol Corp., Class A | 35 | 3,836 | ||||||
Arrow Electronics, Inc. (a) | 11 | 899 | ||||||
FLIR Systems, Inc. | 15 | 544 | ||||||
Fortive Corp. | 828 | 63,138 | ||||||
Garmin Ltd., (Switzerland) | 17 | 1,582 | ||||||
Honeywell International, Inc. | 135 | 22,268 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Electronics continued | ||||||||
Keysight Technologies, Inc. (a) | 22 | 2,151 | ||||||
Mettler-Toledo International, Inc. (a) | 3 | 2,558 | ||||||
PerkinElmer, Inc. | 13 | 1,595 | ||||||
Roper Technologies, Inc. | 20 | 7,720 | ||||||
Sensata Technologies Holding plc (a) | 50 | 2,165 | ||||||
TE Connectivity Ltd., (Switzerland) | 40 | 3,884 | ||||||
Trimble, Inc. (a) | 28 | 1,370 | ||||||
Waters Corp. (a) | 7 | 1,279 | ||||||
|
| |||||||
122,348 | ||||||||
|
| |||||||
Engineering & Construction 0.0% (g) | ||||||||
Jacobs Engineering Group, Inc. | 25 | 2,339 | ||||||
|
| |||||||
Environmental Control 0.3% | ||||||||
Pentair plc, (United Kingdom) | 456 | 20,849 | ||||||
Republic Services, Inc., Class A | 53 | 4,941 | ||||||
Waste Connections, Inc. | 65 | 6,763 | ||||||
Waste Management, Inc. | 87 | 9,855 | ||||||
|
| |||||||
42,408 | ||||||||
|
| |||||||
Hand/Machine Tools 0.8% | ||||||||
Snap-on, Inc. | 143 | 20,971 | ||||||
Stanley Black & Decker, Inc. | 428 | 69,398 | ||||||
|
| |||||||
90,369 | ||||||||
|
| |||||||
Machinery - Construction & Mining 1.9% | ||||||||
Caterpillar, Inc. | 1,503 | 224,230 | ||||||
|
| |||||||
Machinery - Diversified 3.9% | ||||||||
Cognex Corp. | 19 | 1,233 | ||||||
Deere & Co. | 828 | 183,608 | ||||||
Dover Corp. | 397 | 42,968 | ||||||
Flowserve Corp. | 80 | 2,171 | ||||||
IDEX Corp. | 208 | 37,892 | ||||||
Ingersoll Rand, Inc. (a) | 965 | 34,367 | ||||||
Nordson Corp. | 69 | 13,194 | ||||||
Otis Worldwide Corp. | 1,131 | 70,576 | ||||||
Rockwell Automation, Inc. | 22 | 4,846 | ||||||
Westinghouse Air Brake Technologies Corp. | 500 | 30,941 | ||||||
Xylem, Inc. | 497 | 41,838 | ||||||
|
| |||||||
463,634 | ||||||||
|
| |||||||
Miscellaneous Manufacturers 2.5% | ||||||||
3M Co. | 134 | 21,507 | ||||||
A O Smith Corp. | 24 | 1,253 | ||||||
Eaton Corp. plc | 84 | 8,576 | ||||||
General Electric Co. | 3,249 | 20,239 | ||||||
Illinois Tool Works, Inc. | 837 | 161,638 | ||||||
Parker-Hannifin Corp. | 356 | 72,008 | ||||||
Textron, Inc. | 93 | 3,347 | ||||||
Trane Technologies plc, (Ireland) | 80 | 9,706 | ||||||
|
| |||||||
298,274 | ||||||||
|
|
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Packaging & Containers 0.1% | ||||||||
Amcor plc, (United Kingdom) | 191 | 2,105 | ||||||
Ball Corp. | 39 | 3,271 | ||||||
Crown Holdings, Inc. (a) | 15 | 1,191 | ||||||
Packaging Corp. of America | 12 | 1,272 | ||||||
Sealed Air Corp. | 17 | 648 | ||||||
Westrock Co. | 35 | 1,209 | ||||||
|
| |||||||
9,696 | ||||||||
|
| |||||||
Shipbuilding 0.0% (g) | ||||||||
Huntington Ingalls Industries, Inc. | 16 | 2,284 | ||||||
|
| |||||||
Transportation 4.7% | ||||||||
CH Robinson Worldwide, Inc. | 27 | 2,801 | ||||||
CSX Corp. | 1,641 | 127,437 | ||||||
Expeditors International of Washington, Inc. | 33 | 3,011 | ||||||
FedEx Corp. | 48 | 12,112 | ||||||
JB Hunt Transport Services, Inc. | 17 | 2,154 | ||||||
Kansas City Southern | 194 | 35,074 | ||||||
Knight-Swift Transportation Holdings, Inc., Class A | 25 | 1,030 | ||||||
Norfolk Southern Corp. | 347 | 74,252 | ||||||
Old Dominion Freight Line, Inc. | 19 | 3,370 | ||||||
Union Pacific Corp. | 1,386 | 272,867 | ||||||
United Parcel Service, Inc., Class B | 192 | 31,993 | ||||||
XPO Logistics, Inc. (a) | 18 | 1,530 | ||||||
|
| |||||||
567,631 | ||||||||
|
| |||||||
Total Industrial | 2,006,231 | |||||||
|
| |||||||
Technology 15.2% | ||||||||
Computers 2.5% | ||||||||
Accenture plc, (Ireland), Class A | 76 | 17,284 | ||||||
Apple, Inc. | 2,020 | 233,982 | ||||||
Cognizant Technology Solutions Corp., Class A | 64 | 4,412 | ||||||
Crowdstrike Holdings, Inc., Class A (a) | 24 | 3,296 | ||||||
Dell Technologies, Inc., Class C (a) | 28 | 1,915 | ||||||
EPAM Systems, Inc. (a) | 6 | 1,894 | ||||||
Fortinet, Inc. (a) | 47 | 5,519 | ||||||
Hewlett Packard Enterprise Co. | 150 | 1,410 | ||||||
HP, Inc. | 166 | 3,145 | ||||||
International Business Machines Corp. | 106 | 12,884 | ||||||
Leidos Holdings, Inc. | 15 | 1,371 | ||||||
NetApp, Inc. | 22 | 981 | ||||||
Seagate Technology plc | 26 | 1,258 | ||||||
Western Digital Corp. | 34 | 1,257 | ||||||
Zscaler, Inc. (a) | 24 | 3,425 | ||||||
|
| |||||||
294,033 | ||||||||
|
| |||||||
Office/Business Equipment 0.0% (g) | ||||||||
Zebra Technologies Corp., Class A (a) | 6 | 1,536 | ||||||
|
|
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 4.3% | ||||||||
Advanced Micro Devices, Inc. (a) | 432 | 35,421 | ||||||
Analog Devices, Inc. | 134 | 15,657 | ||||||
Applied Materials, Inc. | 339 | 20,158 | ||||||
Broadcom, Inc. | 124 | 45,240 | ||||||
Intel Corp. | 1,526 | 79,027 | ||||||
IPG Photonics Corp. (a) | 4 | 726 | ||||||
KLA Corp. | 57 | 10,973 | ||||||
Lam Research Corp. | 54 | 17,754 | ||||||
Marvell Technology Group Ltd. | 209 | 8,297 | ||||||
Maxim Integrated Products, Inc. | 96 | 6,506 | ||||||
Microchip Technology, Inc. | 90 | 9,211 | ||||||
Micron Technology, Inc. (a) | 320 | 15,031 | ||||||
NVIDIA Corp. | 227 | 122,905 | ||||||
NXP Semiconductors NV, (Netherlands) | 103 | 12,844 | ||||||
ON Semiconductor Corp. (a) | 148 | 3,202 | ||||||
Qorvo, Inc. (a) | 42 | 5,399 | ||||||
QUALCOMM, Inc. | 415 | 48,845 | ||||||
Skyworks Solutions, Inc. | 61 | 8,905 | ||||||
Teradyne, Inc. | 60 | 4,778 | ||||||
Texas Instruments, Inc. | 278 | 39,749 | ||||||
Xilinx, Inc. | 89 | 9,289 | ||||||
|
| |||||||
519,917 | ||||||||
|
| |||||||
Software 8.4% | ||||||||
Activision Blizzard, Inc. | 91 | 7,330 | ||||||
Adobe, Inc. (a) | 166 | 81,623 | ||||||
Akamai Technologies, Inc. (a) | 18 | 2,034 | ||||||
ANSYS, Inc. (a) | 29 | 9,501 | ||||||
Autodesk, Inc. (a) | 75 | 17,355 | ||||||
Black Knight, Inc. (a) | 16 | 1,365 | ||||||
Broadridge Financial Solutions, Inc. | 15 | 1,948 | ||||||
Cadence Design Systems, Inc. (a) | 95 | 10,102 | ||||||
CDK Global, Inc. | 19 | 814 | ||||||
Cerner Corp. | 35 | 2,535 | ||||||
Citrix Systems, Inc. | 40 | 5,522 | ||||||
Coupa Software, Inc. (a) | 23 | 6,196 | ||||||
Datadog, Inc., Class A (a) | 31 | 3,141 | ||||||
DocuSign, Inc., Class A (a) | 60 | 12,827 | ||||||
Dropbox, Inc., Class A (a) | 50 | 972 | ||||||
Dynatrace, Inc. (a) | 61 | 2,495 | ||||||
Electronic Arts, Inc. (a) | 34 | 4,405 | ||||||
Fair Isaac Corp. (a) | 5 | 2,302 | ||||||
Fidelity National Information Services, Inc. | 73 | 10,793 | ||||||
Fiserv, Inc. (a) | 67 | 6,907 | ||||||
Guidewire Software, Inc. (a) | 16 | 1,646 | ||||||
Intuit, Inc. | 90 | 29,297 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Jack Henry & Associates, Inc. | 8 | 1,372 | ||||||
Microsoft Corp. | 2,482 | 521,938 | ||||||
MongoDB, Inc., Class A (a) | 5 | 1,123 | ||||||
MSCI, Inc., Class A | 64 | 22,798 | ||||||
Oracle Corp. | 706 | 42,165 | ||||||
Paychex, Inc. | 37 | 2,928 | ||||||
Paycom Software, Inc. (a) | 17 | 5,238 | ||||||
PTC, Inc. (a) | 21 | 1,716 | ||||||
RingCentral, Inc., Class A (a) | 22 | 5,936 | ||||||
salesforce.com, Inc. (a) | 310 | 77,822 | ||||||
ServiceNow, Inc. (a) | 66 | 31,805 | ||||||
Slack Technologies, Inc., Class A (a) | 77 | 2,079 | ||||||
Snowflake, Inc., Class A (a) | 3 | 728 | ||||||
Splunk, Inc. (a) | 54 | 10,220 | ||||||
SS&C Technologies Holdings, Inc. | 46 | 2,783 | ||||||
Synopsys, Inc. (a) | 52 | 11,074 | ||||||
Take-Two Interactive Software, Inc. (a) | 13 | 2,169 | ||||||
Twilio, Inc., Class A (a) | 14 | 3,497 | ||||||
Tyler Technologies, Inc. (a) | 13 | 4,665 | ||||||
Veeva Systems, Inc., Class A (a) | 15 | 4,301 | ||||||
VMware, Inc., Class A (a) | 17 | 2,502 | ||||||
Workday, Inc., Class A (a) | 36 | 7,725 | ||||||
Zoom Video Communications, Inc., Class A (a) | 48 | 22,337 | ||||||
|
| |||||||
1,010,031 | ||||||||
|
| |||||||
Total Technology | 1,825,517 | |||||||
|
| |||||||
Utilities 0.8% | ||||||||
Electric 0.8% | ||||||||
AES Corp. (The) | 73 | 1,318 | ||||||
Alliant Energy Corp. | 20 | 1,016 | ||||||
Ameren Corp. | 25 | 1,957 | ||||||
American Electric Power Co., Inc. | 60 | 4,941 | ||||||
CenterPoint Energy, Inc. | 57 | 1,099 | ||||||
CMS Energy Corp. | 27 | 1,680 | ||||||
Consolidated Edison, Inc. | 40 | 3,144 | ||||||
Dominion Energy, Inc. | 99 | 7,828 | ||||||
DTE Energy Co. | 23 | 2,651 | ||||||
Duke Energy Corp. | 88 | 7,785 | ||||||
Edison International | 45 | 2,275 | ||||||
Entergy Corp. | 24 | 2,332 | ||||||
Evergy, Inc. | 25 | 1,286 | ||||||
Eversource Energy | 38 | 3,204 | ||||||
Exelon Corp. | 130 | 4,636 | ||||||
FirstEnergy Corp. | 63 | 1,803 | ||||||
NextEra Energy, Inc. | 58 | 16,033 | ||||||
NRG Energy, Inc. | 24 | 729 | ||||||
OGE Energy Corp. | 17 | 509 | ||||||
PG&E Corp. (a) | 125 | 1,178 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Pinnacle West Capital Corp. | 12 | 895 | ||||||
PPL Corp. | 85 | 2,320 | ||||||
Public Service Enterprise Group, Inc. | 60 | 3,277 | ||||||
Sempra Energy | 35 | 4,093 | ||||||
Southern Co. (The) | 127 | 6,876 | ||||||
Vistra Corp. | 51 | 967 | ||||||
WEC Energy Group, Inc. | 36 | 3,532 | ||||||
Xcel Energy, Inc. | 62 | 4,262 | ||||||
|
| |||||||
93,626 | ||||||||
|
| |||||||
Gas 0.0% (g) | ||||||||
Atmos Energy Corp. | 12 | 1,169 | ||||||
NiSource, Inc. | 37 | 813 | ||||||
UGI Corp. | 22 | 714 | ||||||
|
| |||||||
2,696 | ||||||||
|
| |||||||
Water 0.0% (g) | ||||||||
American Water Works Co., Inc. | 19 | 2,757 | ||||||
Essential Utilities, Inc. | 21 | 847 | ||||||
|
| |||||||
3,604 | ||||||||
|
| |||||||
Total Utilities | 99,926 | |||||||
|
| |||||||
Total Common Stocks (Cost $9,863,583) | 11,892,027 | |||||||
|
| |||||||
PRINCIPAL AMOUNT ($) | ||||||||
Short-Term Investments 0.4% | ||||||||
Time Deposits 0.4% | ||||||||
Australia & New Zealand Banking Group Ltd., 0.01%, 10/01/2020 | 32,219 | 32,219 | ||||||
Barclays SA, 0.01%, 10/01/2020 | 2,888 | 2,888 | ||||||
BNP Paribas SA, 0.01%, 10/01/2020 | 4,604 | 4,604 | ||||||
Brown Brothers Harriman, 0.01%, 10/01/2020 | 1 | 1 | ||||||
Citibank NA, 0.01%, 10/01/2020 | 6,067 | 6,067 | ||||||
Skandinaviska Enskilda Banken AB, 0.01%, 10/01/2020 | 5,716 | 5,716 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $51,495) | 51,495 | |||||||
|
| |||||||
Total Investments 99.4% (Cost - $9,915,078) * | 11,943,522 | |||||||
Other Assets in Excess of Liabilities 0.6% | 71,776 | |||||||
|
| |||||||
NET ASSETS 100.0% | $ | 12,015,298 | ||||||
|
|
Percentages indicated are based on net assets.
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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, 2020:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
E-mini Russell 2000 Index | 7 | 12/2020 | USD | 530 | (3 | ) | ||||||||||||||
NASDAQ 100 E-mini Index | 47 | 12/2020 | USD | 10,608 | 115 | |||||||||||||||
S&P 500 E-mini Index | 572 | 12/2020 | USD | 95,288 | 579 | |||||||||||||||
|
| |||||||||||||||||||
Total unrealized appreciation (depreciation) | 691 | |||||||||||||||||||
|
|
Six Circles U.S. Unconstrained Equity Fund
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020
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, 2020
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
INDUSTRY | PERCENTAGE | |||
Internet | 18.6 | % | ||
Pharmaceuticals | 9.4 | % | ||
Software | 8.5 | % | ||
Insurance | 6.3 | % | ||
Banks | 6.0 | % | ||
Beverages | 5.2 | % | ||
Transportation | 4.7 | % | ||
Semiconductors | 4.4 | % | ||
Diversified Financial Services | 4.0 | % | ||
Machinery - Diversified | 3.9 | % | ||
Biotechnology | 3.2 | % | ||
Auto Manufacturers | 2.8 | % | ||
Miscellaneous Manufacturers | 2.5 | % | ||
Computers | 2.5 | % | ||
Machinery - Construction & Mining | 1.9 | % | ||
Commercial Services | 1.8 | % | ||
Retail | 1.6 | % | ||
Healthcare - Products | 1.2 | % | ||
Aerospace/Defense | 1.1 | % | ||
Electronics | 1.0 | % | ||
Others (Each less than 1.0%) | 9.0 | % | ||
Short-Term Investments | 0.4 | % |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks 96.7% | ||||||||
Australia 0.1% | ||||||||
BHP Group plc | 419 | 8,930 | ||||||
|
| |||||||
Austria 0.2% | ||||||||
ANDRITZ AG | 108 | 3,324 | ||||||
Erste Group Bank AG (a) | 55 | 1,147 | ||||||
OMV AG (a) | 29 | 805 | ||||||
Raiffeisen Bank International AG (a) | 31 | 467 | ||||||
Verbund AG | 124 | 6,786 | ||||||
voestalpine AG | 22 | 592 | ||||||
|
| |||||||
13,121 | ||||||||
|
| |||||||
Belgium 1.1% | ||||||||
Ageas SA | 34 | 1,388 | ||||||
Anheuser-Busch InBev SA | 630 | 33,916 | ||||||
Colruyt SA (a) | 11 | 705 | ||||||
Elia Group SA | 51 | 5,079 | ||||||
Galapagos NV (a) | 8 | 1,159 | ||||||
Groupe Bruxelles Lambert SA | 23 | 2,066 | ||||||
KBC Group NV | 49 | 2,443 | ||||||
Proximus SADP | 30 | 545 | ||||||
Sofina SA | 3 | 875 | ||||||
Solvay SA | 15 | 1,282 | ||||||
Telenet Group Holding NV | 10 | 373 | ||||||
UCB SA | 164 | 18,606 | ||||||
Umicore SA | 39 | 1,614 | ||||||
|
| |||||||
70,051 | ||||||||
|
| |||||||
Chile 0.0% (g) | ||||||||
Antofagasta plc | 80 | 1,061 | ||||||
|
| |||||||
China 0.1% | ||||||||
Silergy Corp. | 61 | 3,616 | ||||||
|
| |||||||
Denmark 4.4% | ||||||||
Ambu A/S, Class B | 33 | 929 | ||||||
AP Moller - Maersk A/S, Class A | 1 | 973 | ||||||
AP Moller - Maersk A/S, Class B | 1 | 1,993 | ||||||
Carlsberg A/S, Class B | 86 | 11,553 | ||||||
Chr Hansen Holding A/S | 21 | 2,283 | ||||||
Coloplast A/S, Class B | 24 | 3,749 |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks continued | ||||||||
Denmark continued | ||||||||
Danske Bank A/S | 138 | 1,864 | ||||||
Demant A/S (a) | 21 | 659 | ||||||
DSV PANALPINA A/S | 41 | 6,674 | ||||||
Genmab A/S (a) | 13 | 4,690 | ||||||
GN Store Nord A/S | 25 | 1,887 | ||||||
H Lundbeck A/S | 90 | 2,976 | ||||||
Novo Nordisk A/S, Class B | 2,230 | 154,497 | ||||||
Novozymes A/S, Class B | 42 | 2,611 | ||||||
Orsted A/S (e) | 306 | 42,197 | ||||||
Pandora A/S | 20 | 1,449 | ||||||
Tryg A/S | 25 | 782 | ||||||
Vestas Wind Systems A/S | 297 | 47,973 | ||||||
|
| |||||||
289,739 | ||||||||
|
| |||||||
Finland 1.7% | ||||||||
Elisa OYJ | 27 | 1,601 | ||||||
Fortum OYJ | 722 | 14,607 | ||||||
Kone OYJ, Class B | 508 | 44,591 | ||||||
Neste OYJ | 84 | 4,412 | ||||||
Nokia OYJ | 5,459 | 21,364 | ||||||
Nordea Bank Abp | 642 | 4,875 | ||||||
Orion OYJ, Class B | 136 | 6,147 | ||||||
Sampo OYJ, Class A | 94 | 3,713 | ||||||
Stora Enso OYJ, Class R | 113 | 1,772 | ||||||
UPM-Kymmene OYJ | 107 | 3,253 | ||||||
Wartsila OYJ Abp | 673 | 5,286 | ||||||
|
| |||||||
111,621 | ||||||||
|
| |||||||
France 14.3% | ||||||||
Accor SA (a) | 38 | 1,054 | ||||||
Aeroports de Paris | 6 | 612 | ||||||
Air Liquide SA | 94 | 14,854 | ||||||
Airbus SE | 881 | 63,909 | ||||||
Alstom SA (a) | 287 | 14,348 | ||||||
Amundi SA (e) | 12 | 828 | ||||||
Arkema SA | 14 | 1,438 | ||||||
Atos SE (a) | 95 | 7,635 | ||||||
AXA SA | 385 | 7,123 | ||||||
BioMerieux | 8 | 1,256 | ||||||
BNP Paribas SA | 223 | 8,071 | ||||||
Bollore SA | 179 | 667 | ||||||
Bouygues SA | 345 | 11,905 | ||||||
Bureau Veritas SA | 57 | 1,274 | ||||||
Capgemini SE | 155 | 19,924 | ||||||
Carrefour SA | 121 | 1,926 | ||||||
Cie de Saint-Gobain | 777 | 32,566 | ||||||
Cie Generale des Etablissements Michelin SCA | 34 | 3,628 | ||||||
CNP Assurances | 31 | 391 | ||||||
Covivio | 10 | 718 |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Credit Agricole SA (a) | 225 | 1,959 | ||||||
Danone SA | 512 | 33,150 | ||||||
Dassault Aviation SA (a) | 4 | 3,430 | ||||||
Dassault Systemes SE | 127 | 23,765 | ||||||
Edenred | 234 | 10,504 | ||||||
Eiffage SA (a) | 125 | 10,227 | ||||||
Electricite de France SA | 1,010 | 10,664 | ||||||
Engie SA (a) | 2,964 | 39,607 | ||||||
EssilorLuxottica SA (a) | 57 | 7,712 | ||||||
Eurazeo SE (a) | 7 | 399 | ||||||
Faurecia SE (a) | 14 | 619 | ||||||
Gecina SA | 9 | 1,214 | ||||||
Getlink SE (a) | 87 | 1,182 | ||||||
Hermes International | 6 | 5,391 | ||||||
ICADE | 6 | 339 | ||||||
Iliad SA | 3 | 524 | ||||||
Ingenico Group SA | 58 | 9,047 | ||||||
Ipsen SA | 48 | 5,060 | ||||||
JCDecaux SA (a) | 17 | 302 | ||||||
Kering SA | 15 | 9,958 | ||||||
Klepierre SA | 38 | 539 | ||||||
La Francaise des Jeux SAEM (e) | 16 | 593 | ||||||
Legrand SA | 400 | 31,853 | ||||||
LOreal SA | 50 | 16,213 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 55 | 25,727 | ||||||
Natixis SA (a) | 179 | 401 | ||||||
Orange SA | 396 | 4,123 | ||||||
Orpea (a) | 10 | 1,180 | ||||||
Pernod Ricard SA | 176 | 28,003 | ||||||
Peugeot SA | 116 | 2,112 | ||||||
Publicis Groupe SA | 44 | 1,416 | ||||||
Remy Cointreau SA | 19 | 3,385 | ||||||
Renault SA | 40 | 1,029 | ||||||
Safran SA (a) | 481 | 47,359 | ||||||
Sanofi | 1,464 | 146,742 | ||||||
Sartorius Stedim Biotech | 5 | 1,857 | ||||||
Schneider Electric SE | 828 | 102,920 | ||||||
SCOR SE (a) | 32 | 890 | ||||||
SEB SA | 4 | 698 | ||||||
Societe Generale SA | 159 | 2,109 | ||||||
Sodexo SA | 18 | 1,257 | ||||||
Suez SA | 561 | 10,363 | ||||||
Teleperformance | 12 | 3,611 | ||||||
Thales SA | 163 | 12,203 | ||||||
TOTAL SE | 489 | 16,804 | ||||||
Ubisoft Entertainment SA (a) | 18 | 1,638 | ||||||
Unibail-Rodamco-Westfield | 26 | 977 |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Valeo SA | 45 | 1,393 | ||||||
Veolia Environnement SA | 877 | 18,924 | ||||||
Vinci SA | 772 | 64,500 | ||||||
Vivendi SA | 164 | 4,590 | ||||||
Wendel SE | 6 | 509 | ||||||
Worldline SA (a) (e) | 132 | 10,811 | ||||||
|
| |||||||
935,909 | ||||||||
|
| |||||||
Germany 11.6% | ||||||||
adidas AG (a) | 38 | 12,172 | ||||||
Allianz SE (Registered) | 83 | 15,850 | ||||||
BASF SE | 182 | 11,072 | ||||||
Bayer AG (Registered) | 1,273 | 78,518 | ||||||
Bayerische Motoren Werke AG | 66 | 4,760 | ||||||
Beiersdorf AG | 20 | 2,231 | ||||||
Brenntag AG | 232 | 14,721 | ||||||
Carl Zeiss Meditec AG | 8 | 981 | ||||||
Commerzbank AG | 205 | 1,007 | ||||||
Continental AG | 22 | 2,337 | ||||||
Covestro AG (e) | 34 | 1,689 | ||||||
Daimler AG (Registered) | 170 | 9,170 | ||||||
Delivery Hero SE (a) (e) | 26 | 2,972 | ||||||
Deutsche Bank AG (Registered) (a) | 392 | 3,308 | ||||||
Deutsche Boerse AG | 37 | 6,557 | ||||||
Deutsche Lufthansa AG (Registered) (a) | 62 | 535 | ||||||
Deutsche Post AG (Registered) | 196 | 8,911 | ||||||
Deutsche Telekom AG (Registered) | 660 | 10,986 | ||||||
Deutsche Wohnen SE | 68 | 3,406 | ||||||
E.ON SE | 3,651 | 40,244 | ||||||
Evonik Industries AG | 41 | 1,058 | ||||||
Fraport AG Frankfurt Airport Services Worldwide (a) | 8 | 327 | ||||||
Fresenius Medical Care AG & Co. KGaA | 42 | 3,589 | ||||||
Fresenius SE & Co. KGaA | 83 | 3,783 | ||||||
GEA Group AG | 231 | 8,087 | ||||||
Hannover Rueck SE | 12 | 1,830 | ||||||
HeidelbergCement AG | 30 | 1,829 | ||||||
Henkel AG & Co. KGaA | 21 | 1,951 | ||||||
HOCHTIEF AG | 38 | 2,950 | ||||||
Infineon Technologies AG | 1,206 | 33,989 | ||||||
KION Group AG | 98 | 8,372 | ||||||
Knorr-Bremse AG | 108 | 12,739 | ||||||
LANXESS AG | 16 | 906 | ||||||
LEG Immobilien AG | 14 | 1,961 | ||||||
Merck KGaA | 167 | 24,401 | ||||||
METRO AG | 33 | 331 | ||||||
MTU Aero Engines AG | 80 | 13,266 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | 28 | 7,053 | ||||||
Nemetschek SE | 55 | 4,048 |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Puma SE | 16 | 1,482 | ||||||
RWE AG | 1,045 | 39,124 | ||||||
SAP SE | 1,008 | 156,913 | ||||||
Scout24 AG (e) | 22 | 1,882 | ||||||
Siemens AG (Registered) | 1,146 | 144,756 | ||||||
Siemens Energy AG (a) | 594 | 16,031 | ||||||
Siemens Healthineers AG (e) | 53 | 2,359 | ||||||
Symrise AG, Class A | 26 | 3,540 | ||||||
TeamViewer AG (a) (e) | 125 | 6,176 | ||||||
Telefonica Deutschland Holding AG | 200 | 511 | ||||||
thyssenkrupp AG (a) | 85 | 427 | ||||||
Uniper SE | 351 | 11,331 | ||||||
United Internet AG (Registered) | 20 | 765 | ||||||
Volkswagen AG | 6 | 1,119 | ||||||
Vonovia SE | 101 | 6,955 | ||||||
Zalando SE (a) (e) | 30 | 2,764 | ||||||
|
| |||||||
760,032 | ||||||||
|
| |||||||
Ireland 1.1% | ||||||||
AerCap Holdings NV (a) | 199 | 5,012 | ||||||
CRH plc | 155 | 5,633 | ||||||
DCC plc | 147 | 11,366 | ||||||
Experian plc | 179 | 6,729 | ||||||
Flutter Entertainment plc | 32 | 5,035 | ||||||
Kerry Group plc, Class A | 132 | 16,872 | ||||||
Kingspan Group plc | 231 | 20,994 | ||||||
Smurfit Kappa Group plc | 44 | 1,738 | ||||||
|
| |||||||
73,379 | ||||||||
|
| |||||||
Isle of Man 0.0% (g) | ||||||||
GVC Holdings plc | 116 | 1,457 | ||||||
|
| |||||||
Italy 3.2% | ||||||||
Assicurazioni Generali SpA | 214 | 3,013 | ||||||
Atlantia SpA (a) | 96 | 1,500 | ||||||
Davide Campari-Milano NV | 478 | 5,220 | ||||||
DiaSorin SpA | 5 | 1,011 | ||||||
Enel SpA | 13,182 | 114,362 | ||||||
Eni SpA | 495 | 3,868 | ||||||
Ferrari NV | 25 | 4,594 | ||||||
FinecoBank Banca Fineco SpA | 119 | 1,633 | ||||||
Infrastrutture Wireless Italiane SpA (e) | 45 | 498 | ||||||
Intesa Sanpaolo SpA | 3,279 | 6,169 | ||||||
Leonardo SpA | 339 | 1,982 | ||||||
Mediobanca Banca di Credito Finanziario SpA | 126 | 991 | ||||||
Moncler SpA | 40 | 1,621 | ||||||
Nexi SpA (a) (e) | 363 | 7,283 | ||||||
Pirelli & C SpA (e) | 89 | 384 | ||||||
Poste Italiane SpA (e) | 108 | 956 |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Italy continued | ||||||||
Prysmian SpA | 367 | 10,663 | ||||||
Recordati Industria Chimica e Farmaceutica SpA | 136 | 6,989 | ||||||
Snam SpA | 3,454 | 17,764 | ||||||
Telecom Italia SpA | 3,061 | 1,231 | ||||||
Terna Rete Elettrica Nazionale SpA | 2,295 | 16,057 | ||||||
UniCredit SpA | 425 | 3,512 | ||||||
|
| |||||||
211,301 | ||||||||
|
| |||||||
Jordan 0.1% | ||||||||
Hikma Pharmaceuticals plc | 223 | 7,480 | ||||||
|
| |||||||
Luxembourg 0.1% | ||||||||
ArcelorMittal SA (a) | 145 | 1,930 | ||||||
Aroundtown SA | 196 | 986 | ||||||
Eurofins Scientific SE (a) | 3 | 2,104 | ||||||
SES SA, Class A | 80 | 563 | ||||||
Tenaris SA | 90 | 450 | ||||||
|
| |||||||
6,033 | ||||||||
|
| |||||||
Netherlands 4.4% | ||||||||
ABN AMRO Bank NV, GDR CVA (a) (e) | 82 | 685 | ||||||
Adyen NV (a) (e) | 17 | 32,234 | ||||||
Aegon NV | 345 | 893 | ||||||
Akzo Nobel NV | 39 | 3,925 | ||||||
Altice Europe NV (a) | 134 | 639 | ||||||
Argenx SE (a) | 9 | 2,308 | ||||||
ASML Holding NV | 411 | 151,723 | ||||||
EXOR NV | 22 | 1,172 | ||||||
Heineken Holding NV | 95 | 7,438 | ||||||
Heineken NV | 215 | 19,115 | ||||||
ING Groep NV | 770 | 5,497 | ||||||
Just Eat Takeaway.com NV (a) (e) | 25 | 2,783 | ||||||
Koninklijke Ahold Delhaize NV | 217 | 6,415 | ||||||
Koninklijke DSM NV | 34 | 5,614 | ||||||
Koninklijke KPN NV | 708 | 1,661 | ||||||
Koninklijke Philips NV | 181 | 8,570 | ||||||
Koninklijke Vopak NV | 14 | 784 | ||||||
NN Group NV | 57 | 2,148 | ||||||
Prosus NV (a) | 97 | 8,916 | ||||||
QIAGEN NV (a) | 45 | 2,360 | ||||||
Randstad NV | 23 | 1,204 | ||||||
Royal Dutch Shell plc, Class A | 812 | 10,143 | ||||||
Royal Dutch Shell plc, Class B | 737 | 8,934 | ||||||
Wolters Kluwer NV | 54 | 4,614 | ||||||
|
| |||||||
289,775 | ||||||||
|
| |||||||
Norway 0.4% | ||||||||
Adevinta ASA, Class B (a) | 47 | 806 | ||||||
DNB ASA | 187 | 2,601 | ||||||
Equinor ASA | 201 | 2,841 |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Norway continued | ||||||||
Gjensidige Forsikring ASA | 39 | 789 | ||||||
Mowi ASA | 362 | 6,449 | ||||||
Norsk Hydro ASA | 284 | 784 | ||||||
Orkla ASA | 618 | 6,237 | ||||||
Schibsted ASA, Class B | 20 | 814 | ||||||
Telenor ASA | 141 | 2,369 | ||||||
Yara International ASA | 35 | 1,359 | ||||||
|
| |||||||
25,049 | ||||||||
|
| |||||||
Portugal 0.4% | ||||||||
EDP - Energias de Portugal SA | 4,567 | 22,454 | ||||||
Galp Energia SGPS SA | 101 | 936 | ||||||
Jeronimo Martins SGPS SA | 47 | 762 | ||||||
|
| |||||||
24,152 | ||||||||
|
| |||||||
South Korea 7.5% | ||||||||
Samsung Electronics Co. Ltd. | 9,433 | 468,297 | ||||||
Samsung Electronics Co. Ltd. (Registered), GDR | 21 | 26,647 | ||||||
|
| |||||||
494,944 | ||||||||
|
| |||||||
Spain 3.9% | ||||||||
ACS Actividades de Construccion y Servicios SA | 422 | 9,533 | ||||||
Aena SME SA (e) | 14 | 1,937 | ||||||
Amadeus IT Group SA | 435 | 24,158 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 1,320 | 3,665 | ||||||
Banco Santander SA | 3,313 | 6,179 | ||||||
Bankinter SA | 137 | 591 | ||||||
CaixaBank SA | 709 | 1,505 | ||||||
Cellnex Telecom SA (e) | 63 | 3,818 | ||||||
Enagas SA | 236 | 5,443 | ||||||
Endesa SA | 529 | 14,159 | ||||||
Ferrovial SA | 727 | 17,649 | ||||||
Grifols SA | 61 | 1,741 | ||||||
Iberdrola SA | 9,658 | 118,872 | ||||||
Industria de Diseno Textil SA | 218 | 6,043 | ||||||
Mapfre SA | 245 | 385 | ||||||
Naturgy Energy Group SA | 528 | 10,579 | ||||||
Red Electrica Corp. SA | 630 | 11,818 | ||||||
Repsol SA | 307 | 2,072 | ||||||
Siemens Gamesa Renewable Energy SA | 361 | 9,776 | ||||||
Telefonica SA | 998 | 3,420 | ||||||
|
| |||||||
253,343 | ||||||||
|
| |||||||
Sweden 5.4% | ||||||||
Alfa Laval AB | 472 | 10,425 | ||||||
Assa Abloy AB, Class B | 1,500 | 35,077 | ||||||
Atlas Copco AB, Class A | 1,005 | 47,933 | ||||||
Atlas Copco AB, Class B | 582 | 24,299 | ||||||
Boliden AB | 52 | 1,552 | ||||||
Electrolux AB, Class B | 47 | 1,093 | ||||||
Epiroc AB, Class A | 994 | 14,399 |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Sweden continued | ||||||||
Epiroc AB, Class B | 572 | 7,942 | ||||||
EQT AB | 48 | 931 | ||||||
Essity AB, Class B | 120 | 4,067 | ||||||
Evolution Gaming Group AB (e) | 25 | 1,684 | ||||||
Hennes & Mauritz AB, Class B | 156 | 2,693 | ||||||
Hexagon AB, Class B | 272 | 20,521 | ||||||
Husqvarna AB, Class B | 80 | 881 | ||||||
ICA Gruppen AB | 21 | 1,055 | ||||||
Industrivarden AB, Class C | 33 | 881 | ||||||
Investment AB Latour, Class B | 215 | 5,056 | ||||||
Investor AB, Class B | 90 | 5,874 | ||||||
Kinnevik AB, Class B | 46 | 1,885 | ||||||
L E Lundbergforetagen AB, Class B | 15 | 732 | ||||||
Lundin Energy AB | 37 | 735 | ||||||
Nibe Industrier AB, Class B | 464 | 11,924 | ||||||
Sandvik AB | 1,692 | 33,094 | ||||||
Securitas AB, Class B | 62 | 947 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 326 | 2,899 | ||||||
Skanska AB, Class B | 505 | 10,662 | ||||||
SKF AB, Class B | 570 | 11,751 | ||||||
Svenska Cellulosa AB SCA, Class B (a) | 118 | 1,623 | ||||||
Svenska Handelsbanken AB, Class A | 303 | 2,532 | ||||||
Swedbank AB, Class A | 182 | 2,844 | ||||||
Swedish Match AB | 135 | 11,061 | ||||||
Tele2 AB, Class B | 98 | 1,388 | ||||||
Telefonaktiebolaget LM Ericsson, Class B | 2,814 | 30,793 | ||||||
Telia Co. AB | 501 | 2,050 | ||||||
Volvo AB, Class B | 2,232 | 42,885 | ||||||
|
| |||||||
356,168 | ||||||||
|
| |||||||
Switzerland 17.6% | ||||||||
ABB Ltd. (Registered) | 2,761 | 70,188 | ||||||
Adecco Group AG (Registered) | 30 | 1,593 | ||||||
Alcon, Inc. (a) | 97 | 5,506 | ||||||
Baloise Holding AG (Registered) | 9 | 1,340 | ||||||
Banque Cantonale Vaudoise (Registered) | 6 | 577 | ||||||
Barry Callebaut AG (Registered) | 2 | 5,517 | ||||||
Chocoladefabriken Lindt & Spruengli AG | 1 | 7,546 | ||||||
Chocoladefabriken Lindt & Spruengli AG (Registered) | | (h) | 7,662 | |||||
Cie Financiere Richemont SA (Registered), Class A | 103 | 6,902 | ||||||
Clariant AG (Registered) | 39 | 770 | ||||||
Coca-Cola HBC AG | 167 | 4,132 | ||||||
Credit Suisse Group AG (Registered) | 481 | 4,800 | ||||||
EMS-Chemie Holding AG (Registered) | 2 | 1,429 | ||||||
Geberit AG (Registered) | 55 | 32,757 | ||||||
Givaudan SA (Registered) | 2 | 7,932 | ||||||
Glencore plc (a) | 1,982 | 4,110 | ||||||
Julius Baer Group Ltd. | 44 | 1,886 |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 continued | ||||||||
Kuehne + Nagel International AG (Registered) | 11 | 2,095 | ||||||
LafargeHolcim Ltd. (Registered) (a) | 104 | 4,720 | ||||||
Logitech International SA (Registered) | 158 | 12,270 | ||||||
Lonza Group AG (Registered) | 15 | 9,110 | ||||||
Nestle SA (Registered) | 2,464 | 293,296 | ||||||
Novartis AG (Registered) | 2,875 | 249,649 | ||||||
Partners Group Holding AG | 4 | 3,428 | ||||||
Roche Holding AG | 910 | 311,647 | ||||||
Schindler Holding AG | 61 | 16,679 | ||||||
Schindler Holding AG (Registered) | 30 | 8,020 | ||||||
SGS SA (Registered) | 1 | 3,243 | ||||||
Sika AG (Registered) | 28 | 6,857 | ||||||
Sonova Holding AG (Registered) (a) | 11 | 2,733 | ||||||
STMicroelectronics NV | 616 | 18,887 | ||||||
Straumann Holding AG (Registered) | 2 | 2,063 | ||||||
Swatch Group AG (The) | 6 | 1,356 | ||||||
Swatch Group AG (The) (Registered) | 10 | 448 | ||||||
Swiss Life Holding AG (Registered) | 6 | 2,349 | ||||||
Swiss Prime Site AG (Registered) | 15 | 1,338 | ||||||
Swiss Re AG | 58 | 4,335 | ||||||
Swisscom AG (Registered) | 5 | 2,752 | ||||||
Temenos AG (Registered) | 64 | 8,643 | ||||||
UBS Group AG (Registered) | 728 | 8,134 | ||||||
Vifor Pharma AG | 59 | 8,036 | ||||||
Zurich Insurance Group AG | 30 | 10,405 | ||||||
|
| |||||||
1,157,140 | ||||||||
|
| |||||||
Taiwan 5.7% | ||||||||
ASE Technology Holding Co. Ltd. | 2,727 | 5,615 | ||||||
ASMedia Technology, Inc. | 23 | 1,166 | ||||||
Globalwafers Co. Ltd. | 182 | 2,435 | ||||||
MediaTek, Inc. | 1,261 | 26,719 | ||||||
Nanya Technology Corp. | 1,041 | 2,092 | ||||||
Novatek Microelectronics Corp. | 481 | 4,437 | ||||||
Phison Electronics Corp. | 125 | 1,153 | ||||||
Powertech Technology, Inc. | 614 | 1,847 | ||||||
Realtek Semiconductor Corp. | 406 | 5,204 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 20,579 | 309,592 | ||||||
United Microelectronics Corp. | 9,700 | 9,568 | ||||||
Vanguard International Semiconductor Corp. | 751 | 2,512 | ||||||
Win Semiconductors Corp. | 283 | 2,822 | ||||||
Winbond Electronics Corp. | 2,530 | 1,233 | ||||||
|
| |||||||
376,395 | ||||||||
|
| |||||||
United Arab Emirates 0.0% (g) | ||||||||
NMC Health plc (a) (bb) (cc) | 116 | | ||||||
|
|
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 13.4% | ||||||||
3i Group plc | 192 | 2,463 | ||||||
Admiral Group plc | 37 | 1,257 | ||||||
Anglo American plc | 243 | 5,867 | ||||||
Ashtead Group plc | 673 | 24,241 | ||||||
Associated British Foods plc | 296 | 7,132 | ||||||
AstraZeneca plc | 1,699 | 185,677 | ||||||
Auto Trader Group plc (e) | 190 | 1,376 | ||||||
AVEVA Group plc | 62 | 3,816 | ||||||
Aviva plc | 786 | 2,908 | ||||||
BAE Systems plc | 4,836 | 30,036 | ||||||
Barclays plc | 3,441 | 4,341 | ||||||
Barratt Developments plc | 201 | 1,230 | ||||||
Berkeley Group Holdings plc | 25 | 1,356 | ||||||
BP plc | 4,018 | 11,620 | ||||||
British American Tobacco plc | 1,900 | 68,149 | ||||||
British Land Co. plc (The) | 177 | 772 | ||||||
BT Group plc, Class A | 1,730 | 2,192 | ||||||
Bunzl plc | 503 | 16,256 | ||||||
Burberry Group plc | 78 | 1,562 | ||||||
CNH Industrial NV | 1,560 | 12,065 | ||||||
Coca-Cola European Partners plc | 168 | 6,530 | ||||||
Compass Group plc | 352 | 5,293 | ||||||
Croda International plc | 26 | 2,078 | ||||||
Diageo plc | 1,935 | 66,481 | ||||||
Direct Line Insurance Group plc | 267 | 931 | ||||||
Evraz plc | 98 | 437 | ||||||
Ferguson plc | 337 | 33,962 | ||||||
Fiat Chrysler Automobiles NV | 214 | 2,623 | ||||||
GlaxoSmithKline plc | 6,497 | 121,804 | ||||||
Halma plc | 366 | 11,054 | ||||||
Hargreaves Lansdown plc | 65 | 1,313 | ||||||
HSBC Holdings plc | 4,032 | 15,772 | ||||||
Imperial Brands plc | 780 | 13,786 | ||||||
Informa plc | 292 | 1,416 | ||||||
InterContinental Hotels Group plc | 33 | 1,753 | ||||||
Intertek Group plc | 32 | 2,575 | ||||||
J Sainsbury plc | 339 | 835 | ||||||
JD Sports Fashion plc | 82 | 859 | ||||||
Johnson Matthey plc | 40 | 1,200 | ||||||
Kingfisher plc | 423 | 1,622 | ||||||
Land Securities Group plc | 140 | 942 | ||||||
Legal & General Group plc | 1,197 | 2,920 | ||||||
Lloyds Banking Group plc | 13,939 | 4,732 | ||||||
London Stock Exchange Group plc | 63 | 7,223 | ||||||
M&G plc | 520 | 1,069 | ||||||
Melrose Industries plc (a) | 7,289 | 10,808 | ||||||
Mondi plc | 97 | 2,054 | ||||||
National Grid plc | 698 | 8,012 |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Natwest Group plc | 969 | 1,327 | ||||||
Next plc | 26 | 1,978 | ||||||
Ocado Group plc (a) | 90 | 3,180 | ||||||
Pearson plc | 147 | 1,040 | ||||||
Persimmon plc | 63 | 2,005 | ||||||
Prudential plc | 517 | 7,424 | ||||||
Reckitt Benckiser Group plc | 141 | 13,715 | ||||||
RELX plc | 384 | 8,540 | ||||||
Rentokil Initial plc | 372 | 2,569 | ||||||
Rio Tinto plc | 222 | 13,379 | ||||||
Rolls-Royce Holdings plc (a) | 2,910 | 4,831 | ||||||
RSA Insurance Group plc | 208 | 1,216 | ||||||
Sage Group plc (The) | 1,056 | 9,815 | ||||||
Schroders plc | 24 | 836 | ||||||
Segro plc | 237 | 2,851 | ||||||
Severn Trent plc | 47 | 1,466 | ||||||
Smith & Nephew plc | 175 | 3,421 | ||||||
Smiths Group plc | 598 | 10,578 | ||||||
Spirax-Sarco Engineering plc | 110 | 15,625 | ||||||
SSE plc | 206 | 3,204 | ||||||
St Jamess Place plc | 106 | 1,277 | ||||||
Standard Chartered plc | 529 | 2,432 | ||||||
Standard Life Aberdeen plc | 445 | 1,297 | ||||||
Taylor Wimpey plc | 732 | 1,024 | ||||||
Tesco plc | 1,934 | 5,307 | ||||||
Unilever NV | 289 | 17,560 | ||||||
Unilever plc | 232 | 14,279 | ||||||
United Utilities Group plc | 133 | 1,467 | ||||||
Vodafone Group plc | 5,322 | 7,054 | ||||||
Whitbread plc | 41 | 1,111 | ||||||
Wm Morrison Supermarkets plc | 488 | 1,071 | ||||||
WPP plc | 247 | 1,938 | ||||||
|
| |||||||
879,217 | ||||||||
|
| |||||||
Total Common Stocks (Cost $5,799,297) | 6,349,913 | |||||||
|
| |||||||
Preferred Stocks 1.3% | ||||||||
Germany 0.2% | ||||||||
Bayerische Motoren Werke AG | 11 | 582 | ||||||
FUCHS PETROLUB SE | 14 | 701 | ||||||
Henkel AG & Co. KGaA | 35 | 3,709 | ||||||
Porsche Automobil Holding SE (a) | 30 | 1,796 | ||||||
Sartorius AG | 7 | 2,922 | ||||||
Volkswagen AG | 37 | 5,894 | ||||||
|
| |||||||
15,604 | ||||||||
|
| |||||||
South Korea 1.1% | ||||||||
Samsung Electronics Co. Ltd. | 1,625 | 69,937 | ||||||
|
| |||||||
Total Preferred Stocks (Cost $69,268) | 85,541 | |||||||
|
|
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Short-Term Investments 1.6% | ||||||||
Time Deposits 1.6% | ||||||||
Australia & New Zealand Banking Group Ltd., 0.01%, 10/01/2020 | 247 | 247 | ||||||
BNP Paribas SA, | ||||||||
(1.49%), 10/01/2020 | CHF | 20,208 | 21,940 | |||||
0.01%, 10/01/2020 | 3,569 | 3,569 | ||||||
Brown Brothers Harriman, | ||||||||
(1.49%), 10/01/2020 | CHF | | (h) | | (h) | |||
(0.69%), 10/01/2020 | EUR | 12 | 14 | |||||
(0.55%), 10/01/2020 | DKK | 29,705 | 4,678 | |||||
(0.28%), 10/01/2020 | SEK | | (h) | | (h) | |||
(0.10%), 10/01/2020 | NOK | 3,345 | 359 | |||||
0.01%, 10/01/2020 | GBP | 24 | 24 | |||||
0.01%, 10/05/2020 | HKD | | (h) | | (h) | |||
Citibank NA, | ||||||||
(0.69%), 10/01/2020 | EUR | 42,899 | 50,297 | |||||
0.01%, 10/01/2020 | GBP | 10,189 | 13,148 | |||||
0.01%, 10/01/2020 | 1,887 | 1,887 | ||||||
Skandinaviska Enskilda Banken AB, | ||||||||
(0.28%), 10/01/2020 | SEK | 59,539 | 6,648 | |||||
0.01%, 10/01/2020 | 4,893 | 4,893 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $107,704) | 107,704 | |||||||
|
| |||||||
Total Investments 99.6% (Cost - $5,976,269) * | 6,543,158 | |||||||
Other Assets in Excess of Liabilities 0.4% | 23,710 | |||||||
|
| |||||||
NET ASSETS 100.0% | $ | 6,566,868 | ||||||
|
|
Percentages indicated are based on net assets.
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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, 2020:
Exchange Traded
DESCRIPTION | NUMBER OF | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||
Long Contracts | ||||||||||||||||
Euro STOXX 50 Index | 2,004 | 12/2020 | EUR | 77,180 | (2,134 | ) | ||||||||||
FTSE 100 Index | 430 | 12/2020 | GBP | 33,243 | (831 | ) | ||||||||||
MSCI Taiwan Index | 33 | 10/2020 | USD | 1,598 | 29 | |||||||||||
|
| |||||||||||||||
Total unrealized appreciation (depreciation) | (2,936 | ) | ||||||||||||||
|
|
Six Circles International Unconstrained Equity Fund
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020
CVA | | Dutch Certification | ||
GDR | | Global Depositary 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. | ||
(cc) | | Security is valued in good faith at fair value by or under the direction of the Board of Trustees . | ||
* | | The cost of securities is substantially the same for federal income tax purposes. | ||
CHF | | Swiss Franc | ||
DKK | | Danish Krone | ||
EUR | | Euro | ||
GBP | | British Pound | ||
HKD | | Hong Kong Dollar | ||
NOK | | Norwegian Krone | ||
SEK | | Swedish Krona | ||
USD | | United States Dollar |
Six Circles International Unconstrained Equity Fund
Summary of Investments by Industry, September 30, 2020
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
INDUSTRY | PERCENTAGE | |||
Pharmaceuticals | 20.3 | % | ||
Semiconductors | 17.5 | % | ||
Electric | 8.2 | % | ||
Food | 6.2 | % | ||
Software | 3.3 | % | ||
Miscellaneous Manufacturers | 2.9 | % | ||
Beverages | 2.8 | % | ||
Machinery - Diversified | 2.8 | % | ||
Aerospace/Defense | 2.7 | % | ||
Electrical Components & Equipments | 2.2 | % | ||
Commercial Services | 2.1 | % | ||
Engineering & Construction | 2.1 | % | ||
Electronics | 1.9 | % | ||
Building Materials | 1.9 | % | ||
Banks | 1.7 | % | ||
Telecommunications | 1.5 | % | ||
Agriculture | 1.4 | % | ||
Insurance | 1.3 | % | ||
Chemicals | 1.3 | % | ||
Auto Manufacturers | 1.2 | % | ||
Oil & Gas | 1.1 | % | ||
Others (Each less than 1.0%) | 12.0 | % | ||
Short-Term Investments | 1.6 | % |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Long Positions 111.1% |
| |||||||
Asset-Backed Securities 0.5% |
| |||||||
American Express Credit Account Master Trust, Series 2019-3, Class A, 2.00%, 04/15/2025 | 615 | 636 | ||||||
Atlas Senior Loan Fund Ltd., (Cayman Islands), Series 2017-8A, Class A, (ICE LIBOR USD 3 Month + 1.30%), 1.57%, 01/16/2030 (e) (aa) | 2,000 | 1,980 | ||||||
Capital One Multi-Asset Execution Trust, | ||||||||
Series 2017-A3, Class A3, 2.43%, 01/15/2025 | 360 | 371 | ||||||
Series 2019-A2, Class A2, 1.72%, 08/15/2024 | 500 | 514 | ||||||
Carmax Auto Owner Trust, | ||||||||
Series 2019-4, Class A3, 2.02%, 11/15/2024 | 141 | 145 | ||||||
Series 2020-1, Class A3, 1.89%, 12/16/2024 | 300 | 308 | ||||||
CBAM Ltd., (Cayman Islands), Series 2017-3A, Class A, (ICE LIBOR USD 3 Month + 1.23%), 1.50%, 10/17/2029 (e) (aa) | 2,000 | 1,993 | ||||||
Elmwood CLO I Ltd., (Cayman Islands), Series 2019-1A, Class A, (ICE LIBOR USD 3 Month + 1.35%), 1.62%, 04/20/2030 (e) (aa) | 2,000 | 1,997 | ||||||
GM Financial Consumer Automobile Receivables Trust, Series 2020-2, Class A4, 1.74%, 08/18/2025 | 500 | 518 | ||||||
Hyundai Auto Receivables Trust, Series 2020-A, Class A3, 1.41%, 11/15/2024 | 131 | 134 | ||||||
KKR CLO Ltd., (Cayman Islands), Series 18, Class A, (ICE LIBOR USD 3 Month + 1.27%), 1.54%, 07/18/2030 (e) (aa) | 2,000 | 1,984 | ||||||
MidOcean Credit CLO VI, (Cayman Islands), Series 2016-6A, Class AR, (ICE LIBOR USD 3 Month + 1.25%), 1.52%, 01/20/2029 (e) (aa) | 2,000 | 1,988 | ||||||
MP CLO VIII Ltd., (Cayman Islands), Series 2015-2A, Class AR, (ICE LIBOR USD 3 Month + 0.91%), 1.16%, 10/28/2027 (e) (aa) | 1,865 | 1,851 | ||||||
Nats En Route plc, (United Kingdom), Reg. S, 5.25%, 03/31/2026 | GBP | 23 | 33 | |||||
Nissan Auto Receivables Owner Trust, Series 2020-A, Class A3, 1.38%, 12/16/2024 | 131 | 134 | ||||||
World Omni Auto Receivables Trust, Series 2020-A, Class A3, 1.10%, 04/15/2025 | 175 | 177 | ||||||
|
| |||||||
Total Asset-Backed Securities (Cost $14,796) | 14,763 | |||||||
|
| |||||||
Certificate of Deposit 0.0% | ||||||||
Financial 0.0% (g) | ||||||||
Banks 0.0% (g) | ||||||||
China Development Bank Corp., (China), 3.20%, 09/23/2021 (Cost $146) | CNH | 1,000 | 148 | |||||
|
|
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Collateralized Mortgage Obligations 1.9% | ||||||||
FHLMC REMICS, | ||||||||
Series 4023, Class S, IF, IO, (6.25% - ICE LIBOR USD 1 Month), 6.10%, 03/15/2042 (aa) | 2,115 | 414 | ||||||
Series 4134, Class PI, IO, 3.00%, 11/15/2042 | 771 | 60 | ||||||
Series 4165, Class TI, IO, 3.00%, 12/15/2042 | 953 | 73 | ||||||
Series 4479, Class AI, IO, 3.50%, 09/15/2025 | 14,522 | 798 | ||||||
Series 4598, Class IK, IO, 3.50%, 03/15/2046 | 1,128 | 162 | ||||||
Series 4825, Class SE, IF, IO, (6.20% - ICE LIBOR USD 1 Month), 6.05%, 09/15/2048 (aa) | 8,927 | 1,728 | ||||||
Series 4888, Class IB, IO, 4.00%, 03/15/2047 | 1,298 | 82 | ||||||
Series 4974, Class PO, PO, Zero Coupon, 08/25/2042 | 152 | 147 | ||||||
Series 4990, Class MI, IO, 4.00%, 07/25/2050 | 8,799 | 1,262 | ||||||
Series 5003, Class AS, IF, IO, (6.10% - ICE LIBOR USD 1 Month), 5.95%, 08/25/2050 (aa) | 7,952 | 2,100 | ||||||
Series 5016, Class PI, IO, 3.00%, 09/25/2050 | 15,314 | 1,967 | ||||||
FHLMC Strips, Series 365, Class C2, IO, 4.00%, 06/15/2049 | 9,631 | 1,165 | ||||||
FNMA Interest Strip, | ||||||||
Series 379, Class S56, IF, IO, (7.90% - ICE LIBOR USD 1 Month), 7.75%, 05/25/2037 (aa) | 762 | 133 | ||||||
Series 406, Class 23, IO, 6.00%, 11/25/2040 (z) | 269 | 65 | ||||||
FNMA REMICS, | ||||||||
Series 2012-53, Class IO, IO, 3.50%, 05/25/2027 | 2,924 | 121 | ||||||
Series 2012-98, Class JI, IO, 3.00%, 04/25/2027 | 5,075 | 235 | ||||||
Series 2012-133, Class MO, PO, Zero Coupon, 12/25/2042 | 200 | 173 | ||||||
Series 2014-34, Class US, IF, (8.60% - ICE LIBOR USD 1 Month), 8.30%, 06/25/2044 (aa) | 76 | 90 | ||||||
Series 2016-26, Class SY, IF, (7.03% - ICE LIBOR USD 1 Month), 6.69%, 11/25/2042 (aa) | 1,099 | 1,237 | ||||||
Series 2018-67, Class SH, IF, IO, (6.20% - ICE LIBOR USD 1 Month), 6.05%, 09/25/2048 (aa) | 6,864 | 1,352 | ||||||
Series 2019-48, Class IB, IO, 0.68%, 06/25/2039 (z) | 35,842 | 999 | ||||||
Series 2019-68, Class US, IF, IO, (6.00% - ICE LIBOR USD 1 Month), 5.85%, 11/25/2049 (aa) | 12,203 | 2,110 | ||||||
Series 2019-78, Class DI, IO, 4.50%, 11/25/2049 | 2,081 | 134 | ||||||
Series 2020-42, Class CI, IO, 3.00%, 06/25/2050 | 17,019 | 2,480 | ||||||
Series 2020-60, Class BI, IO, 3.50%, 09/25/2050 | 22,336 | 3,099 | ||||||
Series 2020-68, Class CI, IO, 3.00%, 10/25/2050 (bb) | 15,224 | 1,813 | ||||||
GNMA, | ||||||||
Series 2015-H03, Class FA, (ICE LIBOR USD 1 Month + 0.50%), 0.65%, 12/20/2064 (aa) | 139 | 139 | ||||||
Series 2019-H08, Class FE, (ICE LIBOR USD 1 Month + 0.65%), 0.80%, 01/20/2069 (aa) | 7,752 | 7,839 | ||||||
Series 2019-H16, Class FD, (ICE LIBOR USD 1 Month + 0.80%), 0.95%, 10/20/2069 (aa) | 4,580 | 4,685 | ||||||
Series 2020-H14, Class FH, (ICE LIBOR USD 1 Month + 1.25%), 1.41%, 08/20/2070 (aa) | 10,001 | 10,576 | ||||||
Series 2020-H15, Class FH, (ICE LIBOR USD 1 Month + 1.05%), 1.21%, 07/20/2070 (aa) | 5,651 | 5,865 | ||||||
Series 2020-H15, Class FK, (ICE LIBOR USD 1 Month + 1.25%), 1.41%, 04/20/2070 (aa) | 9,770 | 10,241 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations (Cost $63,051) | 63,344 | |||||||
|
|
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Commercial Mortgage-Backed Securities 0.5% | ||||||||
Banc of America Commercial Mortgage Trust, Series 2015-UBS7, Class ASB, 3.43%, 09/15/2048 | 615 | 654 | ||||||
BANK, Series 2018-BNK13, Class A5, 4.22%, 08/15/2061 (z) | 500 | 593 | ||||||
Barclays Commercial Mortgage Trust, Series 2019-C5, Class ASB, 2.99%, 11/15/2052 | 500 | 557 | ||||||
BBCMS Mortgage Trust, Series 2020-C7, Class A5, 2.04%, 04/15/2053 | 210 | 219 | ||||||
Benchmark Mortgage Trust, | ||||||||
Series 2020-B16, Class AM, 2.94%, 02/15/2053 (z) | 350 | 382 | ||||||
Series 2020-B17, Class A5, 2.29%, 03/15/2053 | 500 | 531 | ||||||
Citigroup Commercial Mortgage Trust, | ||||||||
Series 2014-GC23, Class AS, 3.86%, 07/10/2047 | 250 | 271 | ||||||
Series 2014-GC25, Class A4, 3.64%, 10/10/2047 | 500 | 546 | ||||||
Series 2019-GC41, Class AS, 3.02%, 08/10/2056 | 250 | 275 | ||||||
COMM Mortgage Trust, Series 2016-CR28, Class ASB, 3.53%, 02/10/2049 | 500 | 534 | ||||||
FHLMC Multifamily Structured Pass Through Certificates, | ||||||||
Series K057, Class A2, 2.57%, 07/25/2026 | 850 | 933 | ||||||
Series K071, Class A2, 3.29%, 11/25/2027 | 500 | 577 | ||||||
Series K075, Class A2, 3.65%, 02/25/2028 (z) | 500 | 588 | ||||||
Series K094, Class A2, 2.90%, 06/25/2029 | 112 | 128 | ||||||
Series K103, Class A2, 2.65%, 11/25/2029 | 500 | 564 | ||||||
Series K108, Class A2, 1.52%, 03/25/2030 | 304 | 315 | ||||||
Series K725, Class A2, 3.00%, 01/25/2024 | 225 | 242 | ||||||
Series K729, Class A2, 3.14%, 10/25/2024 | 200 | 218 | ||||||
Series K737, Class A2, 2.53%, 10/25/2026 | 500 | 547 | ||||||
FNMA-ACES, | ||||||||
Series 2015-M10, Class A2, 3.09%, 04/25/2027 (z) | 677 | 757 | ||||||
Series 2017-M12, Class A2, 3.18%, 06/25/2027 (z) | 140 | 158 | ||||||
Series 2017-M13, Class A2, 3.04%, 09/25/2027 (z) | 674 | 762 | ||||||
GS Mortgage Securities Trust, | ||||||||
Series 2013-GCJ12, Class AS, 3.38%, 06/10/2046 | 400 | 419 | ||||||
Series 2019-GSA1, Class A4, 3.05%, 11/10/2052 | 250 | 280 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
Series 2016-C29, Class A4, 3.33%, 05/15/2049 | 500 | 553 | ||||||
Series 2016-C31, Class A5, 3.10%, 11/15/2049 | 500 | 549 | ||||||
UBS Commercial Mortgage Trust, Series 2018-C11, Class ASB, 4.12%, 06/15/2051 | 687 | 783 | ||||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||
Series 2012-C2, Class A4, 3.53%, 05/10/2063 | 200 | 206 | ||||||
Series 2012-C4, Class A5, 2.85%, 12/10/2045 | 500 | 518 | ||||||
Series 2013-C5, Class A4, 3.18%, 03/10/2046 | 415 | 433 | ||||||
Series 2013-C6, Class A4, 3.24%, 04/10/2046 | 400 | 419 | ||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||
Series 2014-LC18, Class A5, 3.41%, 12/15/2047 | 420 | 458 | ||||||
Series 2015-LC20, Class A5, 3.18%, 04/15/2050 | 500 | 541 | ||||||
Series 2017-C40, Class A4, 3.58%, 10/15/2050 | 550 | 627 | ||||||
WFRBS Commercial Mortgage Trust, Series 2013-C12, Class A4, 3.20%, 03/15/2048 | 400 | 419 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities (Cost $16,495) | 16,556 | |||||||
|
|
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds 23.3% | ||||||||
Basic Materials 0.7% | ||||||||
Chemicals 0.5% | ||||||||
Air Liquide Finance SA, (France), | ||||||||
Reg. S, 0.63%, 06/20/2030 | EUR | 100 | 123 | |||||
Reg. S, 0.75%, 06/13/2024 | EUR | 100 | 121 | |||||
Air Products and Chemicals, Inc., 2.80%, 05/15/2050 | 90 | 96 | ||||||
Albemarle New Holding GmbH, (Germany), Reg. S, 1.13%, 11/25/2025 | EUR | 100 | 119 | |||||
Cabot Corp., 4.00%, 07/01/2029 | 50 | 53 | ||||||
CF Industries, Inc., 4.50%, 12/01/2026 (e) | 1,800 | 2,089 | ||||||
Covestro AG, (Germany), Reg. S, 0.88%, 02/03/2026 | EUR | 100 | 118 | |||||
Dow Chemical Co. (The), | ||||||||
1.88%, 03/15/2040 | EUR | 600 | 693 | |||||
4.55%, 11/30/2025 | 1,800 | 2,094 | ||||||
5.25%, 11/15/2041 | 600 | 738 | ||||||
DuPont de Nemours, Inc., | ||||||||
2.17%, 05/01/2023 | 100 | 101 | ||||||
4.21%, 11/15/2023 | 900 | 988 | ||||||
Eastman Chemical Co., 3.60%, 08/15/2022 | 2,900 | 3,042 | ||||||
FMC Corp., | ||||||||
3.20%, 10/01/2026 | 140 | 154 | ||||||
3.45%, 10/01/2029 | 25 | 28 | ||||||
4.50%, 10/01/2049 | 25 | 31 | ||||||
Givaudan Finance Europe BV, (Netherlands), Reg. S, 1.00%, 04/22/2027 | EUR | 100 | 123 | |||||
Huntsman International LLC, | ||||||||
4.50%, 05/01/2029 | 145 | 163 | ||||||
5.13%, 11/15/2022 | 60 | 65 | ||||||
International Flavors & Fragrances, Inc., | ||||||||
1.75%, 03/14/2024 | EUR | 100 | 122 | |||||
5.00%, 09/26/2048 | 10 | 13 | ||||||
Linde Finance BV, (Netherlands), | ||||||||
Reg. S, 0.55%, 05/19/2032 | EUR | 100 | 120 | |||||
Reg. S, 1.88%, 05/22/2024 | EUR | 100 | 126 | |||||
LYB International Finance III LLC, | ||||||||
2.88%, 05/01/2025 | 85 | 91 | ||||||
4.20%, 10/15/2049 | 600 | 661 | ||||||
Mosaic Co. (The), 4.25%, 11/15/2023 | 190 | 206 | ||||||
Nutrien Ltd., (Canada), 3.00%, 04/01/2025 | 1,100 | 1,190 | ||||||
PPG Industries, Inc., 2.55%, 06/15/2030 | 140 | 149 | ||||||
RPM International, Inc., 4.55%, 03/01/2029 | 60 | 70 | ||||||
Sherwin-Williams Co. (The), | ||||||||
3.13%, 06/01/2024 | 100 | 108 | ||||||
3.30%, 05/15/2050 | 70 | 74 | ||||||
3.45%, 08/01/2025 | 90 | 100 | ||||||
3.80%, 08/15/2049 | 90 | 103 | ||||||
4.50%, 06/01/2047 | 40 | 50 | ||||||
Yara International ASA, (Norway), 3.15%, 06/04/2030 (e) | 1,000 | 1,070 | ||||||
|
| |||||||
15,192 | ||||||||
|
|
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Iron/Steel 0.1% | ||||||||
Reliance Steel & Aluminum Co., | ||||||||
1.30%, 08/15/2025 | 20 | 20 | ||||||
2.15%, 08/15/2030 | 290 | 284 | ||||||
Steel Dynamics, Inc., 3.25%, 01/15/2031 | 1,400 | 1,498 | ||||||
Vale Overseas Ltd., (Cayman Islands), 6.88%, 11/21/2036 | 171 | 222 | ||||||
Vale SA, (Brazil), 3.75%, 01/10/2023 | EUR | 100 | 123 | |||||
|
| |||||||
2,147 | ||||||||
|
| |||||||
Mining 0.1% | ||||||||
Anglo American Capital plc, (United Kingdom), Reg. S, 3.38%, 03/11/2029 | GBP | 100 | 140 | |||||
Barrick PD Australia Finance Pty Ltd., (Australia), 5.95%, 10/15/2039 | 920 | 1,312 | ||||||
Kinross Gold Corp., (Canada), | ||||||||
4.50%, 07/15/2027 | 2,095 | 2,376 | ||||||
5.95%, 03/15/2024 | 185 | 211 | ||||||
Newmont Corp., | ||||||||
2.25%, 10/01/2030 | 9 | 10 | ||||||
4.88%, 03/15/2042 | 60 | 81 | ||||||
Teck Resources Ltd., (Canada), 6.00%, 08/15/2040 | 25 | 28 | ||||||
|
| |||||||
4,158 | ||||||||
|
| |||||||
Total Basic Materials | 21,497 | |||||||
|
| |||||||
Communications 1.7% | ||||||||
Internet 0.1% | ||||||||
Alibaba Group Holding Ltd., (Cayman Islands), 4.00%, 12/06/2037 | 600 | 715 | ||||||
Alphabet, Inc., 1.90%, 08/15/2040 | 700 | 673 | ||||||
Amazon.com, Inc., | ||||||||
3.88%, 08/22/2037 | 20 | 25 | ||||||
4.25%, 08/22/2057 | 70 | 95 | ||||||
Baidu, Inc., (Cayman Islands), | ||||||||
3.43%, 04/07/2030 | 200 | 220 | ||||||
4.38%, 03/29/2028 | 480 | 549 | ||||||
eBay, Inc., | ||||||||
1.90%, 03/11/2025 | 5 | 5 | ||||||
4.00%, 07/15/2042 | 20 | 23 | ||||||
Expedia Group, Inc., | ||||||||
3.60%, 12/15/2023 (e) | 10 | 10 | ||||||
4.63%, 08/01/2027 (e) | 65 | 69 | ||||||
JD.com, Inc., (Cayman Islands), 3.38%, 01/14/2030 | 660 | 715 | ||||||
Prosus NV, (Netherlands), Reg. S, 1.54%, 08/03/2028 | EUR | 100 | 118 | |||||
|
| |||||||
3,217 | ||||||||
|
| |||||||
Media 0.6% | ||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital, | ||||||||
3.70%, 04/01/2051 | 2,100 | 2,075 | ||||||
4.46%, 07/23/2022 | 190 | 201 | ||||||
4.50%, 02/01/2024 | 115 | 128 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 continued | ||||||||
4.80%, 03/01/2050 | 80 | 91 | ||||||
4.91%, 07/23/2025 | 1,545 | 1,786 | ||||||
5.38%, 05/01/2047 | 165 | 196 | ||||||
5.75%, 04/01/2048 | 80 | 100 | ||||||
6.38%, 10/23/2035 | 90 | 123 | ||||||
6.48%, 10/23/2045 | 60 | 81 | ||||||
Comcast Corp., | ||||||||
1.50%, 02/15/2031 | 2,900 | 2,873 | ||||||
1.88%, 02/20/2036 | GBP | 100 | 133 | |||||
2.35%, 01/15/2027 | 2,000 | 2,146 | ||||||
2.65%, 08/15/2062 | 70 | 67 | ||||||
3.60%, 03/01/2024 | 200 | 220 | ||||||
3.97%, 11/01/2047 | 220 | 263 | ||||||
4.05%, 11/01/2052 | 40 | 49 | ||||||
4.25%, 10/15/2030 | 120 | 147 | ||||||
4.60%, 10/15/2038 | 20 | 25 | ||||||
Cox Communications, Inc., 3.50%, 08/15/2027 (e) | 3,180 | 3,562 | ||||||
Discovery Communications LLC, | ||||||||
5.20%, 09/20/2047 | 1,100 | 1,333 | ||||||
5.30%, 05/15/2049 | 90 | 110 | ||||||
Pearson Funding plc, (United Kingdom), Reg. S, 3.75%, 06/04/2030 | GBP | 100 | 138 | |||||
RELX Finance BV, (Netherlands), Reg. S, 0.00%, 03/18/2024 | EUR | 100 | 117 | |||||
Sky Ltd., (United Kingdom), Reg. S, 2.50%, 09/15/2026 | EUR | 100 | 134 | |||||
Thomson Reuters Corp., (Canada), 4.30%, 11/23/2023 | 120 | 131 | ||||||
Time Warner Cable LLC, | ||||||||
4.50%, 09/15/2042 | 80 | 87 | ||||||
5.50%, 09/01/2041 | 800 | 969 | ||||||
ViacomCBS, Inc., | ||||||||
3.70%, 08/15/2024 | 50 | 55 | ||||||
5.85%, 09/01/2043 | 1,100 | 1,395 | ||||||
Vivendi SA, (France), Reg. S, 1.13%, 12/11/2028 | EUR | 100 | 123 | |||||
Wolters Kluwer NV, (Netherlands), Reg. S, 0.75%, 07/03/2030 | EUR | 200 | 239 | |||||
|
| |||||||
19,097 | ||||||||
|
| |||||||
Telecommunications 1.0% | ||||||||
AT&T, Inc., | ||||||||
1.80%, 09/05/2026 | EUR | 100 | 126 | |||||
1.80%, 09/14/2039 | EUR | 1,200 | 1,393 | |||||
2.05%, 05/19/2032 | EUR | 1,200 | 1,526 | |||||
3.00%, 06/30/2022 | 25 | 26 | ||||||
3.30%, 02/01/2052 | 90 | 85 | ||||||
3.50%, 06/01/2041 | 1,700 | 1,786 | ||||||
3.50%, 02/01/2061 | 100 | 95 | ||||||
3.55%, 09/15/2055 (e) | 6 | 6 | ||||||
3.65%, 06/01/2051 | 1,800 | 1,816 | ||||||
3.80%, 03/01/2024 | 80 | 88 | ||||||
4.25%, 03/01/2027 | 20 | 23 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Telecommunications continued | ||||||||
4.25%, 06/01/2043 | GBP | 200 | 316 | |||||
4.30%, 12/15/2042 | 50 | 57 | ||||||
4.45%, 04/01/2024 | 50 | 56 | ||||||
4.80%, 06/15/2044 | 40 | 48 | ||||||
4.85%, 03/01/2039 | 175 | 211 | ||||||
5.25%, 03/01/2037 | 60 | 75 | ||||||
Reg. S, 5.50%, 03/15/2027 | GBP | 100 | 161 | |||||
CK Hutchison Group Telecom Finance SA, (Luxembourg), Reg. S, 0.38%, 10/17/2023 | EUR | 1,300 | 1,536 | |||||
Deutsche Telekom International Finance BV, (Netherlands), | ||||||||
3.60%, 01/19/2027 (e) | 900 | 1,008 | ||||||
8.75%, 06/15/2030 | 140 | 218 | ||||||
Elisa OYJ, (Finland), Reg. S, 0.88%, 03/17/2024 | EUR | 100 | 120 | |||||
Level 3 Financing, Inc., 3.40%, 03/01/2027 (e) | 2,000 | 2,154 | ||||||
Motorola Solutions, Inc., | ||||||||
2.30%, 11/15/2030 | 120 | 119 | ||||||
4.00%, 09/01/2024 | 15 | 17 | ||||||
4.60%, 02/23/2028 | 1,375 | 1,606 | ||||||
4.60%, 05/23/2029 | 40 | 47 | ||||||
Orange SA, (France), Reg. S, 3.25%, 01/15/2032 | GBP | 1,100 | 1,655 | |||||
OTE plc, (United Kingdom), Reg. S, 0.88%, 09/24/2026 | EUR | 100 | 119 | |||||
Proximus SADP, (Belgium), Reg. S, 2.38%, 04/04/2024 | EUR | 100 | 127 | |||||
Telstra Corp. Ltd., (Australia), 3.13%, 04/07/2025 (e) | 2,600 | 2,846 | ||||||
T-Mobile USA, Inc., | ||||||||
1.50%, 02/15/2026 (e) | 10 | 10 | ||||||
3.50%, 04/15/2025 (e) | 2,525 | 2,771 | ||||||
3.75%, 04/15/2027 (e) | 35 | 39 | ||||||
3.88%, 04/15/2030 (e) | 2,590 | 2,939 | ||||||
4.38%, 04/15/2040 (e) | 120 | 140 | ||||||
4.50%, 04/15/2050 (e) | 255 | 306 | ||||||
Verizon Communications, Inc., | ||||||||
0.88%, 04/02/2025 | EUR | 100 | 121 | |||||
0.88%, 03/19/2032 | EUR | 1,100 | 1,291 | |||||
1.50%, 09/18/2030 | 40 | 40 | ||||||
2.50%, 04/08/2031 | GBP | 1,000 | 1,420 | |||||
3.25%, 02/17/2026 | EUR | 200 | 273 | |||||
3.38%, 02/15/2025 | 50 | 56 | ||||||
3.50%, 11/01/2024 | 200 | 221 | ||||||
4.13%, 08/15/2046 | 80 | 99 | ||||||
4.40%, 11/01/2034 | 100 | 125 | ||||||
4.50%, 08/10/2033 | 1,900 | 2,410 | ||||||
4.86%, 08/21/2046 | 170 | 232 | ||||||
5.25%, 03/16/2037 | 30 | 41 | ||||||
|
| |||||||
32,000 | ||||||||
|
| |||||||
Total Communications | 54,314 | |||||||
|
|
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Consumer Cyclical 1.2% | ||||||||
Airlines 0.1% | ||||||||
Ryanair DAC, (Ireland), Reg. S, 2.88%, 09/15/2025 | EUR | 100 | 117 | |||||
Southwest Airlines Co., 5.25%, 05/04/2025 | 1,630 | 1,795 | ||||||
|
| |||||||
1,912 | ||||||||
|
| |||||||
Apparel 0.0% (g) | ||||||||
Burberry Group plc, (United Kingdom), Reg. S, 1.13%, 09/21/2025 | GBP | 100 | 128 | |||||
NIKE, Inc., | ||||||||
3.25%, 03/27/2040 | 166 | 190 | ||||||
3.38%, 03/27/2050 | 33 | 38 | ||||||
VF Corp., 2.40%, 04/23/2025 | 25 | 27 | ||||||
|
| |||||||
383 | ||||||||
|
| |||||||
Auto Manufacturers 0.8% | ||||||||
American Honda Finance Corp., 1.00%, 09/10/2025 | 6,900 | 6,900 | ||||||
BMW US Capital LLC, | ||||||||
3.80%, 04/06/2023 (e) | 169 | 182 | ||||||
3.90%, 04/09/2025 (e) | 1,100 | 1,229 | ||||||
Cummins, Inc., 2.60%, 09/01/2050 | 30 | 29 | ||||||
Daimler AG, (Germany), | ||||||||
Reg. S, 1.13%, 11/06/2031 | EUR | 15 | 18 | |||||
Reg. S, 1.63%, 08/22/2023 | EUR | 20 | 24 | |||||
Reg. S, 2.13%, 07/03/2037 | EUR | 25 | 34 | |||||
Reg. S, 2.38%, 05/22/2030 | EUR | 100 | 133 | |||||
Reg. S, 2.63%, 04/07/2025 | EUR | 35 | 45 | |||||
Daimler Finance North America LLC, 2.55%, 08/15/2022 (e) | 3,100 | 3,196 | ||||||
Daimler International Finance BV, (Netherlands), Reg. S, 0.63%, 02/27/2023 | EUR | 100 | 119 | |||||
Ford Motor Credit Co. LLC, 3.37%, 11/17/2023 | 2,000 | 1,970 | ||||||
General Motors Co., | ||||||||
5.20%, 04/01/2045 | 30 | 32 | ||||||
6.60%, 04/01/2036 | 520 | 633 | ||||||
General Motors Financial Co., Inc., | ||||||||
1.70%, 08/18/2023 | 70 | 70 | ||||||
Reg. S, 2.20%, 04/01/2024 | EUR | 100 | 120 | |||||
2.70%, 08/20/2027 | 1,450 | 1,440 | ||||||
2.75%, 06/20/2025 | 80 | 82 | ||||||
2.90%, 02/26/2025 | 45 | 46 | ||||||
3.45%, 04/10/2022 | 60 | 62 | ||||||
4.20%, 11/06/2021 | 200 | 206 | ||||||
5.20%, 03/20/2023 | 20 | 22 | ||||||
Harley-Davidson Financial Services, Inc., Reg. S, 3.88%, 05/19/2023 | EUR | 100 | 126 | |||||
Nissan Motor Co. Ltd., (Japan), 2.65%, 03/17/2026 (e) | EUR | 100 | 118 | |||||
PACCAR Financial Europe BV, (Netherlands), Reg. S, 0.13%, 03/07/2022 | EUR | 100 | 117 | |||||
RCI Banque SA, (France), | ||||||||
Reg. S, 0.25%, 03/08/2023 | EUR | 1,550 | 1,773 | |||||
Reg. S, 1.38%, 03/08/2024 | EUR | 2,000 | 2,343 | |||||
Volkswagen Bank GmbH, (Germany), Reg. S, 1.25%, 06/10/2024 | EUR | 1,500 | 1,792 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Volkswagen Financial Services AG, (Germany), | ||||||||
Reg. S, 2.25%, 10/16/2026 | EUR | 10 | 13 | |||||
Reg. S, 2.50%, 04/06/2023 | EUR | 15 | 18 | |||||
Reg. S, 3.00%, 04/06/2025 | EUR | 20 | 26 | |||||
Reg. S, 3.38%, 04/06/2028 | EUR | 1,450 | 1,972 | |||||
Volkswagen International Finance NV, (Netherlands), | ||||||||
Reg. S, (EUR Swap Rate 9 Year + 3.96%), 3.88%, 06/17/2029 (x) (aa) | EUR | 2,000 | 2,353 | |||||
Reg. S, (EUR Swap Rate 12 Year + 2.97%), 4.63%, 03/24/2026 (x) (aa) | EUR | 60 | 75 | |||||
Volvo Treasury AB, (Sweden), 1.63%, 05/26/2025 | EUR | 100 | 125 | |||||
|
| |||||||
27,443 | ||||||||
|
| |||||||
Auto Parts & Equipment 0.1% | ||||||||
Aptiv Corp., 4.15%, 03/15/2024 | 55 | 60 | ||||||
Aptiv plc, (Jersey), 1.50%, 03/10/2025 | EUR | 100 | 122 | |||||
BorgWarner, Inc., 1.80%, 11/07/2022 | EUR | 100 | 120 | |||||
Lear Corp., | ||||||||
4.25%, 05/15/2029 | 30 | 33 | ||||||
5.25%, 05/15/2049 | 12 | 13 | ||||||
Magna International, Inc., (Canada), | ||||||||
1.90%, 11/24/2023 | EUR | 100 | 124 | |||||
2.45%, 06/15/2030 | 1,000 | 1,053 | ||||||
4.15%, 10/01/2025 | 2,000 | 2,280 | ||||||
|
| |||||||
3,805 | ||||||||
|
| |||||||
Home Furnishings 0.0% (g) | ||||||||
Leggett & Platt, Inc., 4.40%, 03/15/2029 | 110 | 122 | ||||||
Whirlpool Finance Luxembourg Sarl, (Luxembourg), 1.10%, 11/09/2027 | EUR | 100 | 119 | |||||
|
| |||||||
241 | ||||||||
|
| |||||||
Lodging 0.0% (g) | ||||||||
Choice Hotels International, Inc., | ||||||||
3.70%, 12/01/2029 | 185 | 196 | ||||||
3.70%, 01/15/2031 | 60 | 63 | ||||||
Las Vegas Sands Corp., | ||||||||
2.90%, 06/25/2025 | 50 | 50 | ||||||
3.20%, 08/08/2024 | 20 | 20 | ||||||
3.50%, 08/18/2026 | 50 | 51 | ||||||
3.90%, 08/08/2029 | 130 | 130 | ||||||
Marriott International, Inc., Series GG, 3.50%, 10/15/2032 | 40 | 40 | ||||||
|
| |||||||
550 | ||||||||
|
| |||||||
Office Furnishings 0.0% (g) | ||||||||
Steelcase, Inc., 5.13%, 01/18/2029 | 120 | 134 | ||||||
|
| |||||||
Retail 0.2% | ||||||||
Advance Auto Parts, Inc., 1.75%, 10/01/2027 | 145 | 145 | ||||||
Alimentation Couche-Tard, Inc., (Canada), Reg. S, 1.88%, 05/06/2026 | EUR | 100 | 125 | |||||
AutoNation, Inc., 4.75%, 06/01/2030 | 1,300 | 1,532 | ||||||
AutoZone, Inc., 1.65%, 01/15/2031 | 2,595 | 2,540 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 continued | ||||||||
Best Buy Co., Inc., | ||||||||
1.95%, 10/01/2030 | 165 | 164 | ||||||
4.45%, 10/01/2028 | 275 | 326 | ||||||
Costco Wholesale Corp., 1.75%, 04/20/2032 | 137 | 141 | ||||||
Dollar General Corp., | ||||||||
4.13%, 04/03/2050 | 160 | 190 | ||||||
4.15%, 11/01/2025 | 10 | 11 | ||||||
Home Depot, Inc. (The), | ||||||||
3.50%, 09/15/2056 | 75 | 88 | ||||||
4.20%, 04/01/2043 | 800 | 1,002 | ||||||
5.88%, 12/16/2036 | 90 | 136 | ||||||
Kohls Corp., 9.50%, 05/15/2025 | 10 | 12 | ||||||
Lowes Cos., Inc., | ||||||||
4.55%, 04/05/2049 | 25 | 32 | ||||||
5.13%, 04/15/2050 | 45 | 62 | ||||||
Mitchells & Butlers Finance plc, (United Kingdom), Series A2, Reg. S, 5.57%, 12/15/2030 | GBP | 18 | 25 | |||||
Next Group plc, (United Kingdom), Reg. S, 3.00%, 08/26/2025 | GBP | 100 | 134 | |||||
Walgreens Boots Alliance, Inc., 3.30%, 11/18/2021 | 50 | 51 | ||||||
Walmart, Inc., 2.95%, 09/24/2049 | 25 | 28 | ||||||
|
| |||||||
6,744 | ||||||||
|
| |||||||
Textiles 0.0% (g) | ||||||||
Mohawk Industries, Inc., 2.00%, 01/14/2022 | EUR | 100 | 115 | |||||
|
| |||||||
Toys/Games/Hobbies 0.0% (g) | ||||||||
Hasbro, Inc., 3.90%, 11/19/2029 | 25 | 26 | ||||||
|
| |||||||
Total Consumer Cyclical | 41,353 | |||||||
|
| |||||||
Consumer Non-cyclical 3.5% | ||||||||
Agriculture 0.4% | ||||||||
Altria Group, Inc., | ||||||||
2.20%, 06/15/2027 | EUR | 100 | 127 | |||||
3.49%, 02/14/2022 | 30 | 31 | ||||||
3.88%, 09/16/2046 | 40 | 41 | ||||||
5.38%, 01/31/2044 | 65 | 81 | ||||||
5.95%, 02/14/2049 | 10 | 13 | ||||||
6.20%, 02/14/2059 | 25 | 34 | ||||||
BAT Capital Corp., | ||||||||
Reg. S, 1.13%, 11/16/2023 | EUR | 100 | 120 | |||||
2.79%, 09/06/2024 | 3,285 | 3,469 | ||||||
3.22%, 08/15/2024 | 100 | 107 | ||||||
3.73%, 09/25/2040 | 35 | 35 | ||||||
3.98%, 09/25/2050 | 40 | 40 | ||||||
4.76%, 09/06/2049 | 80 | 87 | ||||||
BAT International Finance plc, (United Kingdom), | ||||||||
Reg. S, 2.38%, 01/19/2023 | EUR | 3,800 | 4,683 | |||||
7.25%, 03/12/2024 | GBP | 60 | 93 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Agriculture continued | ||||||||
Bunge Ltd. Finance Corp., | ||||||||
3.75%, 09/25/2027 | 30 | 33 | ||||||
4.35%, 03/15/2024 | 200 | 220 | ||||||
Cargill, Inc., 2.13%, 04/23/2030 (e) | 1,500 | 1,571 | ||||||
JT International Financial Services BV, (Netherlands), Reg. S, 1.13%, 09/28/2025 | EUR | 100 | 123 | |||||
Philip Morris International, Inc., | ||||||||
0.80%, 08/01/2031 | EUR | 100 | 116 | |||||
4.25%, 11/10/2044 | 40 | 48 | ||||||
6.38%, 05/16/2038 | 155 | 230 | ||||||
STG Global Finance BV, (Netherlands), Reg. S, 1.38%, 09/24/2025 | EUR | 100 | 117 | |||||
Swedish Match AB, (Sweden), Reg. S, 0.88%, 02/26/2027 | EUR | 100 | 115 | |||||
|
| |||||||
11,534 | ||||||||
|
| |||||||
Beverages 0.2% | ||||||||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc., | ||||||||
4.70%, 02/01/2036 | 1,720 | 2,078 | ||||||
4.90%, 02/01/2046 | 1,100 | 1,356 | ||||||
Anheuser-Busch InBev SA, (Belgium), | ||||||||
Reg. S, 2.75%, 03/17/2036 | EUR | 10 | 14 | |||||
Reg. S, 3.70%, 04/02/2040 | EUR | 800 | 1,197 | |||||
Anheuser-Busch InBev Worldwide, Inc., | ||||||||
4.15%, 01/23/2025 | 50 | 57 | ||||||
5.55%, 01/23/2049 | 50 | 67 | ||||||
Coca-Cola Co. (The), 2.95%, 03/25/2025 | 120 | 132 | ||||||
Constellation Brands, Inc., 3.70%, 12/06/2026 | 25 | 29 | ||||||
Diageo Capital plc, (United Kingdom), 3.88%, 04/29/2043 | 10 | 12 | ||||||
Greene King Finance plc, (United Kingdom), Series A2, 5.32%, 09/15/2031 | GBP | 32 | 45 | |||||
Keurig Dr Pepper, Inc., | ||||||||
3.13%, 12/15/2023 | 90 | 97 | ||||||
4.06%, 05/25/2023 | 50 | 54 | ||||||
PepsiCo., Inc., 3.45%, 10/06/2046 | 115 | 133 | ||||||
Pernod Ricard SA, (France), Reg. S, 1.13%, 04/07/2025 | EUR | 100 | 123 | |||||
|
| |||||||
5,394 | ||||||||
|
| |||||||
Biotechnology 0.0% (g) | ||||||||
Amgen, Inc., | ||||||||
1.90%, 02/21/2025 | 100 | 105 | ||||||
3.15%, 02/21/2040 | 100 | 106 | ||||||
3.38%, 02/21/2050 | 10 | 11 | ||||||
Regeneron Pharmaceuticals, Inc., | ||||||||
1.75%, 09/15/2030 | 1,055 | 1,033 | ||||||
2.80%, 09/15/2050 | 135 | 127 | ||||||
|
| |||||||
1,382 | ||||||||
|
| |||||||
Commercial Services 0.9% | ||||||||
ALD SA, (France), Reg. S, 1.25%, 10/11/2022 | EUR | 2,500 | 2,986 | |||||
Amadeus IT Group SA, (Spain), | ||||||||
Reg. S, 0.88%, 09/18/2023 | EUR | 2,000 | 2,340 | |||||
Reg. S, 1.88%, 09/24/2028 | EUR | 100 | 115 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Commercial Services continued | ||||||||
American University (The), Series 2019, 3.67%, 04/01/2049 | 30 | 34 | ||||||
Automatic Data Processing, Inc., 1.25%, 09/01/2030 | 1,500 | 1,480 | ||||||
Brown University in Providence in the State of Rhode Island and Providence Plant, Series A, 2.92%, 09/01/2050 | 1,400 | 1,525 | ||||||
Central Nippon Expressway Co. Ltd., (Japan), Series 65, 0.03%, 07/14/2021 | JPY | 100,000 | 948 | |||||
Channel Link Enterprises Finance plc, (United Kingdom), Series A8, Reg. S, (ICE LIBOR EUR 6 Month + 5.90%), 2.71%, 06/30/2050 (aa) | EUR | 100 | 120 | |||||
Duke University, Series 2020, 2.68%, 10/01/2044 | 20 | 21 | ||||||
East Nippon Expressway Co. Ltd., (Japan), Series 66, 0.10%, 12/18/2026 | JPY | 100,000 | 945 | |||||
Edenred, (France), Reg. S, 1.88%, 03/06/2026 | EUR | 100 | 126 | |||||
Equifax, Inc., | ||||||||
2.60%, 12/15/2025 | 110 | 117 | ||||||
3.10%, 05/15/2030 | 1,830 | 1,994 | ||||||
ERAC USA Finance LLC, | ||||||||
2.70%, 11/01/2023 (e) | 3,200 | 3,363 | ||||||
3.85%, 11/15/2024 (e) | 160 | 176 | ||||||
4.50%, 02/15/2045 (e) | 400 | 474 | ||||||
7.00%, 10/15/2037 (e) | 800 | 1,156 | ||||||
Experian Finance plc, (United Kingdom), Reg. S, 1.38%, 06/25/2026 | EUR | 100 | 124 | |||||
George Washington University (The), Series 2014, 4.30%, 09/15/2044 | 30 | 37 | ||||||
Holding dInfrastructures de Transport SASU, (France), Reg. S, 2.50%, 05/04/2027 | EUR | 1,900 | 2,384 | |||||
IHS Markit Ltd., (Bermuda), | ||||||||
3.63%, 05/01/2024 | 60 | 65 | ||||||
4.13%, 08/01/2023 | 20 | 22 | ||||||
4.25%, 05/01/2029 | 40 | 46 | ||||||
4.75%, 08/01/2028 | 50 | 59 | ||||||
Johns Hopkins University, Series A, 2.81%, 01/01/2060 | 600 | 636 | ||||||
Massachusetts Institute of Technology, | ||||||||
3.89%, 07/01/2116 | 663 | 835 | ||||||
4.68%, 07/01/2114 | 500 | 722 | ||||||
Series F, 2.99%, 07/01/2050 | 20 | 23 | ||||||
Moodys Corp., | ||||||||
1.75%, 03/09/2027 | EUR | 100 | 129 | |||||
2.55%, 08/18/2060 | 20 | 18 | ||||||
Northwestern University, Series 2020, 2.64%, 12/01/2050 | 10 | 10 | ||||||
PayPal Holdings, Inc., | ||||||||
2.40%, 10/01/2024 | 50 | 53 | ||||||
2.65%, 10/01/2026 | 90 | 98 | ||||||
3.25%, 06/01/2050 | 35 | 39 | ||||||
President and Fellows of Harvard College, 2.52%, 10/15/2050 | 10 | 10 | ||||||
RELX Capital, Inc., 3.50%, 03/16/2023 | 1,300 | 1,383 | ||||||
Rentokil Initial plc, (United Kingdom), | ||||||||
Reg. S, 0.88%, 05/30/2026 | EUR | 100 | 120 | |||||
Reg. S, 0.95%, 11/22/2024 | EUR | 100 | 121 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Commercial Services continued | ||||||||
S&P Global, Inc., | ||||||||
1.25%, 08/15/2030 | 2,110 | 2,076 | ||||||
2.30%, 08/15/2060 | 95 | 86 | ||||||
3.25%, 12/01/2049 | 20 | 23 | ||||||
Transurban Finance Co. Pty Ltd., (Australia), Reg. S, 3.00%, 04/08/2030 | EUR | 100 | 134 | |||||
Trustees of Princeton University (The), Series 2020, 2.52%, 07/01/2050 | 20 | 21 | ||||||
University of Southern California, 2.81%, 10/01/2050 | 20 | 21 | ||||||
Verisk Analytics, Inc., | ||||||||
3.63%, 05/15/2050 | 40 | 45 | ||||||
5.50%, 06/15/2045 | 123 | 171 | ||||||
West Nippon Expressway Co. Ltd., (Japan), Series 29, 0.31%, 02/12/2026 | JPY | 200,000 | 1,915 | |||||
William Marsh Rice University, 3.57%, 05/15/2045 | 90 | 108 | ||||||
|
| |||||||
29,454 | ||||||||
|
| |||||||
Cosmetics/Personal Care 0.0% (g) | ||||||||
Colgate-Palmolive Co., 0.50%, 03/06/2026 | EUR | 100 | 121 | |||||
Estee Lauder Cos., Inc. (The), | ||||||||
2.60%, 04/15/2030 | 60 | 65 | ||||||
3.13%, 12/01/2049 | 20 | 22 | ||||||
Procter & Gamble Co. (The), | ||||||||
3.55%, 03/25/2040 | 10 | 12 | ||||||
3.60%, 03/25/2050 | 130 | 165 | ||||||
4.88%, 05/11/2027 | EUR | 100 | 156 | |||||
Unilever NV, (Netherlands), Reg. S, 1.13%, 02/12/2027 | EUR | 100 | 126 | |||||
Unilever plc, (United Kingdom), Reg. S, 1.50%, 06/11/2039 | EUR | 100 | 135 | |||||
|
| |||||||
802 | ||||||||
|
| |||||||
Food 0.3% | ||||||||
Campbell Soup Co., | ||||||||
3.13%, 04/24/2050 | 15 | 15 | ||||||
4.80%, 03/15/2048 | 50 | 64 | ||||||
Conagra Brands, Inc., | ||||||||
5.30%, 11/01/2038 | 10 | 13 | ||||||
5.40%, 11/01/2048 | 55 | 75 | ||||||
General Mills, Inc., 2.88%, 04/15/2030 | 100 | 110 | ||||||
Hershey Co. (The), 2.65%, 06/01/2050 | 10 | 10 | ||||||
Hormel Foods Corp., 1.80%, 06/11/2030 | 450 | 465 | ||||||
Kroger Co. (The), 3.95%, 01/15/2050 | 5 | 6 | ||||||
Mars, Inc., 2.38%, 07/16/2040 (e) | 1,200 | 1,200 | ||||||
McCormick & Co., Inc., | ||||||||
2.70%, 08/15/2022 | 120 | 125 | ||||||
3.15%, 08/15/2024 | 150 | 163 | ||||||
4.20%, 08/15/2047 | 5 | 6 | ||||||
Mondelez International Holdings Netherlands BV, (Netherlands), Reg. S, 0.38%, 09/22/2029 | EUR | 100 | 116 | |||||
Mondelez International, Inc., | ||||||||
1.88%, 10/15/2032 | 1,300 | 1,297 | ||||||
2.13%, 04/13/2023 | 90 | 93 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 continued | ||||||||
Nestle Holdings, Inc., 1.25%, 09/15/2030 (e) | 2,550 | 2,529 | ||||||
Tesco Corporate Treasury Services plc, (United Kingdom), | ||||||||
Reg. S, 0.88%, 05/29/2026 | EUR | 1,500 | 1,789 | |||||
Reg. S, 1.38%, 10/24/2023 | EUR | 100 | 121 | |||||
|
| |||||||
8,197 | ||||||||
|
| |||||||
Healthcare - Products 0.3% | ||||||||
Baxter International, Inc., 3.75%, 10/01/2025 (e) | 80 | 91 | ||||||
Becton Dickinson Euro Finance Sarl, (Luxembourg), 1.21%, 06/04/2026 | EUR | 100 | 120 | |||||
Boston Scientific Corp., 3.45%, 03/01/2024 | 100 | 108 | ||||||
Danaher Corp., 2.50%, 03/30/2030 | EUR | 200 | 272 | |||||
DH Europe Finance II Sarl, (Luxembourg), | ||||||||
0.20%, 03/18/2026 | EUR | 1,600 | 1,869 | |||||
1.80%, 09/18/2049 | EUR | 700 | 825 | |||||
Edwards Lifesciences Corp., 4.30%, 06/15/2028 | 135 | 162 | ||||||
Medtronic Global Holdings SCA, (Luxembourg), | ||||||||
0.00%, 03/15/2023 | EUR | 100 | 117 | |||||
1.63%, 10/15/2050 | EUR | 1,000 | 1,191 | |||||
1.75%, 07/02/2049 | EUR | 900 | 1,107 | |||||
Stryker Corp., 1.00%, 12/03/2031 | EUR | 1,400 | 1,665 | |||||
Thermo Fisher Scientific, Inc., | ||||||||
1.75%, 04/15/2027 | EUR | 100 | 127 | |||||
1.88%, 10/01/2049 | EUR | 900 | 1,062 | |||||
2.38%, 04/15/2032 | EUR | 100 | 136 | |||||
4.10%, 08/15/2047 | 140 | 179 | ||||||
4.13%, 03/25/2025 | 70 | 80 | ||||||
Zimmer Biomet Holdings, Inc., | ||||||||
1.16%, 11/15/2027 | EUR | 100 | 118 | |||||
3.55%, 03/20/2030 | 150 | 168 | ||||||
3.70%, 03/19/2023 | 100 | 107 | ||||||
4.45%, 08/15/2045 | 10 | 11 | ||||||
|
| |||||||
9,515 | ||||||||
|
| |||||||
Healthcare - Services 0.4% | ||||||||
Advocate Health & Hospitals Corp., 3.39%, 10/15/2049 | 35 | 39 | ||||||
Aetna, Inc., 2.80%, 06/15/2023 | 30 | 32 | ||||||
Allina Health System, Series 2019, 3.89%, 04/15/2049 | 40 | 48 | ||||||
Anthem, Inc., | ||||||||
3.35%, 12/01/2024 | 100 | 110 | ||||||
4.10%, 03/01/2028 | 2,900 | 3,372 | ||||||
Ascension Health, 3.95%, 11/15/2046 | 70 | 87 | ||||||
City of Hope, Series 2013, 5.62%, 11/15/2043 | 35 | 49 | ||||||
Fresenius Medical Care AG & Co. KGaA, (Germany), Reg. S, 1.50%, 07/11/2025 | EUR | 100 | 124 | |||||
Hackensack Meridian Health, Inc., | ||||||||
Series 2020, 2.68%, 09/01/2041 | 1,335 | 1,316 | ||||||
Series 2020, 2.88%, 09/01/2050 | 35 | 34 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Healthcare - Services continued | ||||||||
HCA, Inc., | ||||||||
5.00%, 03/15/2024 | 1,383 | 1,549 | ||||||
5.13%, 06/15/2039 | 700 | 850 | ||||||
5.25%, 06/15/2026 | 40 | 47 | ||||||
5.25%, 06/15/2049 | 80 | 98 | ||||||
5.50%, 06/15/2047 | 30 | 37 | ||||||
Health Care Service Corp. A Mutual Legal Reserve Co., 2.20%, 06/01/2030 (e) | 1,400 | 1,434 | ||||||
Humana, Inc., | ||||||||
2.90%, 12/15/2022 | 50 | 52 | ||||||
3.85%, 10/01/2024 | 50 | 55 | ||||||
3.95%, 08/15/2049 | 92 | 110 | ||||||
4.63%, 12/01/2042 | 30 | 38 | ||||||
4.80%, 03/15/2047 | 30 | 39 | ||||||
4.88%, 04/01/2030 | 6 | 8 | ||||||
4.95%, 10/01/2044 | 130 | 172 | ||||||
Lonza Finance International NV, (Belgium), Reg. S, 1.63%, 04/21/2027 | EUR | 100 | 126 | |||||
Mayo Clinic, | ||||||||
3.77%, 11/15/2043 | 30 | 36 | ||||||
Series 2013, 4.00%, 11/15/2047 | 25 | 31 | ||||||
Memorial Health Services, 3.45%, 11/01/2049 | 10 | 11 | ||||||
Memorial Sloan-Kettering Cancer Center, 4.13%, 07/01/2052 | 50 | 64 | ||||||
Methodist Hospital (The), Series 20A, 2.71%, 12/01/2050 | 1,500 | 1,501 | ||||||
New York and Presbyterian Hospital (The), | ||||||||
2.26%, 08/01/2040 | 1,090 | 1,039 | ||||||
4.02%, 08/01/2045 | 20 | 25 | ||||||
Northwell Healthcare, Inc., 4.26%, 11/01/2047 | 25 | 29 | ||||||
OhioHealth Corp., Series 2020, 3.04%, 11/15/2050 | 35 | 38 | ||||||
UnitedHealth Group, Inc., | ||||||||
2.00%, 05/15/2030 | 160 | 168 | ||||||
2.90%, 05/15/2050 | 140 | 147 | ||||||
3.13%, 05/15/2060 | 140 | 150 | ||||||
3.70%, 08/15/2049 | 1,100 | 1,316 | ||||||
3.75%, 07/15/2025 | 20 | 23 | ||||||
3.88%, 12/15/2028 | 30 | 36 | ||||||
3.88%, 08/15/2059 | 50 | 61 | ||||||
4.25%, 03/15/2043 | 120 | 152 | ||||||
|
| |||||||
14,653 | ||||||||
|
| |||||||
Household Products/Wares 0.0% (g) | ||||||||
Avery Dennison Corp., 1.25%, 03/03/2025 | EUR | 100 | 121 | |||||
Clorox Co. (The), 1.80%, 05/15/2030 | 190 | 196 | ||||||
Kimberly-Clark Corp., 2.88%, 02/07/2050 | 45 | 50 | ||||||
Reckitt Benckiser Treasury Services plc, (United Kingdom), Reg. S, 1.75%, 05/19/2032 | GBP | 100 | 134 | |||||
|
| |||||||
501 | ||||||||
|
|
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 1.0% | ||||||||
AbbVie, Inc., | ||||||||
2.60%, 11/21/2024 (e) | 190 | 201 | ||||||
3.20%, 11/21/2029 (e) | 4,960 | 5,465 | ||||||
4.05%, 11/21/2039 (e) | 105 | 121 | ||||||
4.25%, 11/21/2049 (e) | 1,475 | 1,751 | ||||||
4.70%, 05/14/2045 | 65 | 80 | ||||||
AmerisourceBergen Corp., | ||||||||
2.80%, 05/15/2030 | 100 | 107 | ||||||
3.25%, 03/01/2025 | 40 | 44 | ||||||
4.25%, 03/01/2045 | 10 | 11 | ||||||
4.30%, 12/15/2047 | 5 | 6 | ||||||
AstraZeneca plc, (United Kingdom), | ||||||||
0.70%, 04/08/2026 | 1,620 | 1,599 | ||||||
4.38%, 08/17/2048 | 20 | 26 | ||||||
Bayer AG, (Germany), Reg. S, (EUR Swap Rate 5 Year + 2.55%), 3.75%, 07/01/2074 (aa) | EUR | 25 | 30 | |||||
Becton Dickinson and Co., 2.89%, 06/06/2022 | 20 | 21 | ||||||
Bristol-Myers Squibb Co., | ||||||||
3.40%, 07/26/2029 | 3,340 | 3,890 | ||||||
3.88%, 08/15/2025 | 50 | 57 | ||||||
4.55%, 02/20/2048 | 10 | 14 | ||||||
Cardinal Health, Inc., | ||||||||
2.62%, 06/15/2022 | 40 | 41 | ||||||
3.08%, 06/15/2024 | 10 | 11 | ||||||
Cigna Corp., | ||||||||
2.40%, 03/15/2030 | 75 | 78 | ||||||
3.05%, 11/30/2022 | 160 | 168 | ||||||
3.40%, 03/01/2027 | 2,800 | 3,140 | ||||||
4.90%, 12/15/2048 | 800 | 1,038 | ||||||
CVS Health Corp., | ||||||||
1.30%, 08/21/2027 | 40 | 39 | ||||||
2.63%, 08/15/2024 | 60 | 64 | ||||||
3.70%, 03/09/2023 | 100 | 107 | ||||||
4.10%, 03/25/2025 | 13 | 15 | ||||||
4.13%, 04/01/2040 | 1,200 | 1,367 | ||||||
4.30%, 03/25/2028 | 1,500 | 1,756 | ||||||
4.78%, 03/25/2038 | 75 | 91 | ||||||
5.05%, 03/25/2048 | 1,200 | 1,532 | ||||||
Eli Lilly and Co., 4.15%, 03/15/2059 | 15 | 19 | ||||||
GlaxoSmithKline Capital plc, (United Kingdom), | ||||||||
5.25%, 12/19/2033 | GBP | 640 | 1,220 | |||||
Reg. S, 5.25%, 04/10/2042 | GBP | 50 | 106 | |||||
GlaxoSmithKline Capital, Inc., 6.38%, 05/15/2038 | 35 | 54 | ||||||
Johnson & Johnson, | ||||||||
2.10%, 09/01/2040 | 10 | 10 | ||||||
2.25%, 09/01/2050 | 30 | 30 | ||||||
2.45%, 09/01/2060 | 40 | 41 | ||||||
3.40%, 01/15/2038 | 110 | 129 | ||||||
3.55%, 03/01/2036 | 15 | 18 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 continued | ||||||||
Merck & Co., Inc., | ||||||||
1.88%, 10/15/2026 | EUR | 100 | 130 | |||||
2.35%, 06/24/2040 | 50 | 51 | ||||||
3.70%, 02/10/2045 | 60 | 72 | ||||||
4.00%, 03/07/2049 | 45 | 57 | ||||||
Merck Financial Services GmbH, (Germany), Reg. S, 0.01%, 12/15/2023 | EUR | 100 | 117 | |||||
Merck KGaA, (Germany), Reg. S, (ICE EURIBOR Swap Rate 5 Year + 2.00%), 1.63%, 09/09/2080 (aa) | EUR | 100 | 117 | |||||
Mylan NV, (Netherlands), 3.95%, 06/15/2026 | 30 | 34 | ||||||
Mylan, Inc., 5.20%, 04/15/2048 | 30 | 37 | ||||||
Novartis Capital Corp., 2.75%, 08/14/2050 | 86 | 92 | ||||||
Pfizer, Inc., | ||||||||
2.70%, 05/28/2050 | 10 | 10 | ||||||
4.30%, 06/15/2043 | 45 | 58 | ||||||
Sanofi, (France), | ||||||||
Reg. S, 1.50%, 04/01/2030 | EUR | 100 | 132 | |||||
Reg. S, 2.50%, 11/14/2023 | EUR | 100 | 127 | |||||
Takeda Pharmaceutical Co. Ltd., (Japan), Reg. S, 3.00%, 11/21/2030 | EUR | 1,000 | 1,405 | |||||
Upjohn Finance BV, (Netherlands), Reg. S, 1.91%, 06/23/2032 | EUR | 1,400 | 1,708 | |||||
Upjohn, Inc., | ||||||||
3.85%, 06/22/2040 (e) | 2,220 | 2,398 | ||||||
4.00%, 06/22/2050 (e) | 30 | 32 | ||||||
Zoetis, Inc., | ||||||||
3.90%, 08/20/2028 | 40 | 47 | ||||||
4.70%, 02/01/2043 | 100 | 132 | ||||||
|
| |||||||
31,253 | ||||||||
|
| |||||||
Total Consumer Non-cyclical | 112,685 | |||||||
|
| |||||||
Energy 1.7% | ||||||||
Oil & Gas 0.8% | ||||||||
BP Capital Markets plc, (United Kingdom), | ||||||||
Reg. S, 1.83%, 09/08/2025 | GBP | 100 | 136 | |||||
Reg. S, (EUR Swap Rate 5 Year + 4.12%), 3.63%, 03/22/2029 (x) (aa) | EUR | 1,300 | 1,569 | |||||
Canadian Natural Resources Ltd., (Canada), | ||||||||
2.95%, 01/15/2023 | 10 | 10 | ||||||
3.85%, 06/01/2027 | 10 | 11 | ||||||
4.95%, 06/01/2047 | 10 | 11 | ||||||
6.25%, 03/15/2038 | 10 | 12 | ||||||
Cepsa Finance SA, (Spain), Reg. S, 2.25%, 02/13/2026 | EUR | 100 | 120 | |||||
Chevron Corp., 2.24%, 05/11/2030 | 80 | 85 | ||||||
Chevron USA, Inc., 1.02%, 08/12/2027 | 3,000 | 3,002 | ||||||
CNOOC Petroleum North America ULC, (Canada), 6.40%, 05/15/2037 | 40 | 59 | ||||||
Concho Resources, Inc., 2.40%, 02/15/2031 | 2,100 | 1,989 | ||||||
Diamondback Energy, Inc., 2.88%, 12/01/2024 | 3,100 | 3,139 | ||||||
Equinor ASA, (Norway), | ||||||||
1.75%, 01/22/2026 | 200 | 208 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Oil & Gas continued | ||||||||
2.38%, 05/22/2030 | 60 | 64 | ||||||
3.25%, 11/18/2049 | 20 | 21 | ||||||
3.63%, 04/06/2040 | 1,800 | 2,050 | ||||||
3.70%, 04/06/2050 | 15 | 17 | ||||||
Reg. S, 6.88%, 03/11/2031 | GBP | 50 | 100 | |||||
Exxon Mobil Corp., | ||||||||
0.14%, 06/26/2024 | EUR | 2,000 | 2,353 | |||||
0.84%, 06/26/2032 | EUR | 100 | 116 | |||||
1.41%, 06/26/2039 | EUR | 700 | 809 | |||||
Hess Corp., | ||||||||
3.50%, 07/15/2024 | 10 | 10 | ||||||
5.60%, 02/15/2041 | 85 | 92 | ||||||
5.80%, 04/01/2047 | 30 | 33 | ||||||
Husky Energy, Inc., (Canada), 4.40%, 04/15/2029 | 3,700 | 3,860 | ||||||
Noble Energy, Inc., 5.25%, 11/15/2043 | 75 | 99 | ||||||
Petroleos Mexicanos, (Mexico), | ||||||||
(ICE LIBOR USD 3 Month + 0.43%), 0.71%, 02/15/2024 (aa) | 1,050 | 1,041 | ||||||
1.95%, 12/20/2022 | 2,000 | 2,021 | ||||||
Pioneer Natural Resources Co., 1.90%, 08/15/2030 | 1,500 | 1,407 | ||||||
TOTAL SE, (France), Reg. S, (EUR Swap Rate 5 Year + 3.35%), 3.37%, 10/06/2026 (x) (aa) | EUR | 2,000 | 2,556 | |||||
|
| |||||||
27,000 | ||||||||
|
| |||||||
Oil & Gas Services 0.0% (g) | ||||||||
Halliburton Co., | ||||||||
3.50%, 08/01/2023 | 60 | 63 | ||||||
5.00%, 11/15/2045 | 35 | 36 | ||||||
National Oilwell Varco, Inc., | ||||||||
3.60%, 12/01/2029 | 10 | 10 | ||||||
3.95%, 12/01/2042 | 30 | 27 | ||||||
Schlumberger Finance Canada Ltd., (Canada), 1.40%, 09/17/2025 | 80 | 81 | ||||||
|
| |||||||
217 | ||||||||
|
| |||||||
Pipelines 0.9% | ||||||||
Cheniere Corpus Christi Holdings LLC, | ||||||||
3.70%, 11/15/2029 (e) | 275 | 286 | ||||||
5.88%, 03/31/2025 | 115 | 131 | ||||||
Colonial Enterprises, Inc., 3.25%, 05/15/2030 (e) | 1,330 | 1,488 | ||||||
Enbridge, Inc., (Canada), | ||||||||
2.90%, 07/15/2022 | 20 | 21 | ||||||
4.00%, 10/01/2023 | 100 | 108 | ||||||
4.00%, 11/15/2049 | 65 | 69 | ||||||
Energy Transfer Operating LP, | ||||||||
4.05%, 03/15/2025 | 100 | 105 | ||||||
4.20%, 04/15/2027 | 5,800 | 6,001 | ||||||
Enterprise Products Operating LLC, | ||||||||
3.50%, 02/01/2022 | 125 | 130 | ||||||
4.20%, 01/31/2050 | 40 | 42 | ||||||
5.10%, 02/15/2045 | 1,700 | 1,979 | ||||||
(ICE LIBOR USD 3 Month + 2.57%), 5.38%, 02/15/2078 (aa) | 600 | 534 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Kinder Morgan Energy Partners LP, 4.30%, 05/01/2024 | 3,200 | 3,529 | ||||||
Magellan Midstream Partners LP, | ||||||||
3.95%, 03/01/2050 | 940 | 961 | ||||||
5.00%, 03/01/2026 | 10 | 12 | ||||||
MPLX LP, | ||||||||
2.65%, 08/15/2030 | 1,500 | 1,464 | ||||||
4.70%, 04/15/2048 | 1,200 | 1,218 | ||||||
4.88%, 06/01/2025 | 2,300 | 2,603 | ||||||
ONEOK Partners LP, 4.90%, 03/15/2025 | 80 | 88 | ||||||
ONEOK, Inc., | ||||||||
2.20%, 09/15/2025 | 1,000 | 986 | ||||||
2.75%, 09/01/2024 | 10 | 10 | ||||||
3.40%, 09/01/2029 | 60 | 59 | ||||||
4.45%, 09/01/2049 | 2,400 | 2,136 | ||||||
Plains All American Pipeline LP / PAA Finance Corp., | ||||||||
3.55%, 12/15/2029 | 65 | 63 | ||||||
5.15%, 06/01/2042 | 1,600 | 1,510 | ||||||
Sabine Pass Liquefaction LLC, | ||||||||
4.20%, 03/15/2028 | 130 | 141 | ||||||
4.50%, 05/15/2030 (e) | 60 | 68 | ||||||
5.88%, 06/30/2026 | 70 | 83 | ||||||
Sunoco Logistics Partners Operations LP, 5.40%, 10/01/2047 | 100 | 94 | ||||||
TransCanada PipeLines Ltd., (Canada), | ||||||||
4.25%, 05/15/2028 | 25 | 29 | ||||||
4.63%, 03/01/2034 | 10 | 12 | ||||||
4.88%, 05/15/2048 | 30 | 37 | ||||||
5.10%, 03/15/2049 | 60 | 76 | ||||||
6.20%, 10/15/2037 | 10 | 14 | ||||||
Transcontinental Gas Pipe Line Co. LLC, | ||||||||
3.25%, 05/15/2030 (e) | 80 | 87 | ||||||
4.00%, 03/15/2028 | 20 | 22 | ||||||
Valero Energy Partners LP, 4.38%, 12/15/2026 | 1,736 | 1,947 | ||||||
Williams Cos., Inc. (The), | ||||||||
3.50%, 11/15/2030 | 1,910 | 2,078 | ||||||
4.50%, 11/15/2023 | 80 | 87 | ||||||
5.10%, 09/15/2045 | 125 | 140 | ||||||
|
| |||||||
30,448 | ||||||||
|
| |||||||
Total Energy | 57,665 | |||||||
|
| |||||||
Financial 8.9% | ||||||||
Banks 6.0% | ||||||||
ABN AMRO Bank NV, (Netherlands), | ||||||||
Reg. S, 0.60%, 01/15/2027 | EUR | 1,600 | 1,899 | |||||
Reg. S, 0.88%, 01/14/2026 | EUR | 100 | 125 | |||||
Reg. S, 1.25%, 01/10/2033 | EUR | 100 | 137 | |||||
Reg. S, 1.45%, 04/12/2038 | EUR | 100 | 147 | |||||
Reg. S, 1.50%, 09/30/2030 | EUR | 100 | 138 | |||||
3.50%, 09/21/2022 | EUR | 200 | 253 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Aktia Bank OYJ, (Finland), Reg. S, 0.38%, 05/30/2023 | EUR | 100 | 120 | |||||
AMCO - Asset Management Co. SpA, (Italy), Reg. S, 1.38%, 01/27/2025 | EUR | 100 | 119 | |||||
ANZ New Zealand Intl Ltd., (New Zealand), Reg. S, 0.13%, 09/22/2023 | EUR | 100 | 119 | |||||
ASB Finance Ltd., (New Zealand), Reg. S, 0.63%, 10/18/2024 | EUR | 100 | 122 | |||||
Australia & New Zealand Banking Group Ltd., (Australia), 0.25%, 11/29/2022 | EUR | 100 | 119 | |||||
Banca Monte dei Paschi di Siena SpA, (Italy), | ||||||||
Reg. S, 2.00%, 01/29/2024 | EUR | 100 | 125 | |||||
Series 16, Reg. S, 2.88%, 07/16/2024 | EUR | 100 | 130 | |||||
Banco Bilbao Vizcaya Argentaria SA, (Spain), | ||||||||
Reg. S, 0.75%, 01/20/2022 | EUR | 100 | 119 | |||||
0.88%, 09/18/2023 | 200 | 200 | ||||||
Reg. S, 0.88%, 11/22/2026 | EUR | 100 | 126 | |||||
Banco BPM SpA, (Italy), Reg. S, 0.75%, 03/31/2022 | EUR | 200 | 238 | |||||
Banco Comercial Portugues SA, (Portugal), Reg. S, 0.75%, 05/31/2022 | EUR | 100 | 119 | |||||
Banco de Sabadell SA, (Spain), | ||||||||
Reg. S, 0.88%, 03/05/2023 | EUR | 1,300 | 1,536 | |||||
Reg. S, 1.00%, 04/26/2027 | EUR | 100 | 127 | |||||
Reg. S, 1.63%, 03/07/2024 | EUR | 1,200 | 1,446 | |||||
Banco di Desio e della Brianza SpA, (Italy), Reg. S, 0.88%, 09/12/2024 | EUR | 100 | 122 | |||||
Banco Santander SA, (Spain), | ||||||||
0.10%, 02/27/2032 | EUR | 200 | 240 | |||||
Reg. S, 0.75%, 09/09/2022 | EUR | 100 | 120 | |||||
Reg. S, 1.00%, 04/07/2025 | EUR | 200 | 248 | |||||
Reg. S, 1.38%, 01/05/2026 | EUR | 100 | 122 | |||||
3.49%, 05/28/2030 | 2,000 | 2,181 | ||||||
3.80%, 02/23/2028 | 200 | 220 | ||||||
3.85%, 04/12/2023 | 200 | 213 | ||||||
Bank of America Corp., | ||||||||
Reg. S, (ICE LIBOR EUR 3 Month + 0.75%), 0.81%, 05/09/2026 (aa) | EUR | 100 | 119 | |||||
(United States SOFR + 0.91%), 0.98%, 09/25/2025 (aa) | 30 | 30 | ||||||
Reg. S, (ICE LIBOR EUR 3 Month + 0.91%), 1.38%, 05/09/2030 (aa) | EUR | 100 | 124 | |||||
(ICE LIBOR USD 3 Month + 0.87%), 2.46%, 10/22/2025 (aa) | 20 | 21 | ||||||
(ICE LIBOR USD 3 Month + 0.99%), 2.50%, 02/13/2031 (aa) | 290 | 305 | ||||||
(United States SOFR + 1.93%), 2.68%, 06/19/2041 (aa) | 1,870 | 1,909 | ||||||
(ICE LIBOR USD 3 Month + 1.02%), 2.88%, 04/24/2023 (aa) | 250 | 259 | ||||||
(ICE LIBOR USD 3 Month + 1.19%), 2.88%, 10/22/2030 (aa) | 3,300 | 3,564 | ||||||
(ICE LIBOR USD 3 Month + 0.79%), 3.00%, 12/20/2023 (aa) | 250 | 262 | ||||||
(ICE LIBOR USD 3 Month + 1.09%), 3.09%, 10/01/2025 (aa) | 10 | 11 | ||||||
(ICE LIBOR USD 3 Month + 1.16%), 3.12%, 01/20/2023 (aa) | 25 | 26 | ||||||
(ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (aa) | 350 | 389 | ||||||
(ICE LIBOR USD 3 Month + 0.97%), 3.46%, 03/15/2025 (aa) | 25 | 27 | ||||||
(ICE LIBOR USD 3 Month + 0.78%), 3.55%, 03/05/2024 (aa) | 25 | 27 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Reg. S, (ICE LIBOR EUR 3 Month + 3.67%), 3.65%, 03/31/2029 (aa) | EUR | 900 | 1,286 | |||||
(ICE LIBOR USD 3 Month + 0.94%), 3.86%, 07/23/2024 (aa) | 120 | 130 | ||||||
4.00%, 01/22/2025 | 4,200 | 4,679 | ||||||
(ICE LIBOR USD 3 Month + 1.32%), 4.08%, 04/23/2040 (aa) | 170 | 202 | ||||||
(ICE LIBOR USD 3 Month + 1.52%), 4.33%, 03/15/2050 (aa) | 65 | 83 | ||||||
Reg. S, 7.00%, 07/31/2028 | GBP | 50 | 92 | |||||
Bank of Montreal, (Canada), | ||||||||
Reg. S, 0.10%, 10/20/2023 | EUR | 100 | 119 | |||||
1.85%, 05/01/2025 | 120 | 125 | ||||||
Bank of Nova Scotia (The), (Canada), | ||||||||
Reg. S, 0.01%, 01/14/2027 | EUR | 100 | 120 | |||||
Reg. S, 0.25%, 09/28/2022 | EUR | 100 | 119 | |||||
Reg. S, 0.38%, 10/23/2023 | EUR | 100 | 120 | |||||
Bankia SA, (Spain), Reg. S, 1.00%, 09/25/2025 | EUR | 300 | 374 | |||||
Bankinter SA, (Spain), Reg. S, 0.88%, 08/03/2022 | EUR | 100 | 120 | |||||
Banque Federative du Credit Mutuel SA, (France), | ||||||||
Reg. S, 0.75%, 06/15/2023 | EUR | 100 | 120 | |||||
Reg. S, 1.25%, 06/03/2030 | EUR | 100 | 123 | |||||
Barclays Bank plc, (United Kingdom), 5.75%, 09/14/2026 | GBP | 40 | 62 | |||||
Barclays plc, (United Kingdom), | ||||||||
Reg. S, (EUR Swap Rate 5 Year + 1.90%), 2.00%, 02/07/2028 (aa) | EUR | 1,700 | 1,978 | |||||
(ICE LIBOR USD 3 Month + 2.45%), 2.85%, 05/07/2026 (aa) | 1,200 | 1,248 | ||||||
4.34%, 01/10/2028 | 1,800 | 2,004 | ||||||
(ICE LIBOR USD 3 Month + 1.40%), 4.61%, 02/15/2023 (aa) | 900 | 942 | ||||||
Basellandschaftliche Kantonalbank, (Switzerland), Reg. S, 0.38%, 05/13/2030 | CHF | 100 | 112 | |||||
BAWAG PSK Bank fuer Arbeit und Wirtschaft und Oesterreichische Postsparkasse AG, (Austria), Reg. S, 0.01%, 01/21/2028 | EUR | 100 | 120 | |||||
Bayerische Landesbank, (Germany), Reg. S, 0.25%, 01/14/2025 | EUR | 100 | 121 | |||||
Belfius Bank SA, (Belgium), Reg. S, 0.13%, 01/28/2030 | EUR | 100 | 121 | |||||
Berlin Hyp AG, (Germany), | ||||||||
Reg. S, 0.01%, 07/07/2028 | EUR | 100 | 120 | |||||
Series 200, Reg. S, 0.38%, 02/21/2025 | EUR | 100 | 121 | |||||
BNP Paribas SA, (France), | ||||||||
Reg. S, 1.13%, 01/15/2023 | EUR | 130 | 157 | |||||
Reg. S, 1.38%, 05/28/2029 | EUR | 100 | 125 | |||||
(United States SOFR + 1.61%), 1.90%, 09/30/2028 (e) (aa) | 1,100 | 1,100 | ||||||
Reg. S, (EUR Swap Rate 5 Year + 1.85%), 2.38%, 11/20/2030 (aa) | EUR | 100 | 125 | |||||
(ICE LIBOR USD 3 Month + 1.11%), 2.82%, 11/19/2025 (e) (aa) | 3,000 | 3,161 | ||||||
Reg. S, 2.88%, 10/01/2026 | EUR | 100 | 131 | |||||
Reg. S, 3.38%, 01/23/2026 | GBP | 2,300 | 3,260 | |||||
BPCE SA, (France), | ||||||||
Reg. S, 0.25%, 01/15/2026 | EUR | 2,100 | 2,481 | |||||
Reg. S, 0.50%, 02/24/2027 | EUR | 1,300 | 1,522 | |||||
(United States SOFR + 1.52%), 1.65%, 10/06/2026 (e) (aa) | 1,145 | 1,147 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
4.63%, 07/11/2024 (e) | 1,800 | 1,976 | ||||||
BPER Banca, (Italy), Reg. S, 0.88%, 01/22/2022 | EUR | 100 | 119 | |||||
Caisse Centrale du Credit Immobilier de France SA, (France), | ||||||||
Reg. S, 0.00%, 01/17/2024 | EUR | 200 | 237 | |||||
Reg. S, 0.13%, 10/26/2022 | EUR | 400 | 474 | |||||
Caixa Economica Montepio Geral Caixa Economica Bancaria SA, (Portugal), Reg. S, 0.13%, 11/14/2024 | EUR | 100 | 118 | |||||
CaixaBank SA, (Spain), | ||||||||
Reg. S, 1.25%, 01/11/2027 | EUR | 200 | 257 | |||||
Reg. S, (EUR Swap Rate 5 Year + 1.68%), 2.25%, 04/17/2030 (aa) | EUR | 1,100 | 1,302 | |||||
Canadian Imperial Bank of Commerce, (Canada), | ||||||||
Reg. S, 0.04%, 07/09/2027 | EUR | 100 | 119 | |||||
Reg. S, 0.10%, 10/24/2023 | CHF | 50 | 55 | |||||
0.95%, 06/23/2023 | 80 | 81 | ||||||
3.10%, 04/02/2024 | 25 | 27 | ||||||
Cie de Financement Foncier SA, (France), | ||||||||
Reg. S, 0.23%, 09/14/2026 | EUR | 100 | 121 | |||||
Reg. S, 0.25%, 03/16/2022 | EUR | 200 | 237 | |||||
Reg. S, 0.25%, 04/11/2023 | EUR | 100 | 119 | |||||
Reg. S, 0.50%, 09/04/2024 | EUR | 100 | 122 | |||||
Reg. S, 0.75%, 05/29/2026 | EUR | 100 | 125 | |||||
Reg. S, 3.88%, 04/25/2055 | EUR | 45 | 110 | |||||
Citigroup, Inc., | ||||||||
Reg. S, (ICE LIBOR EUR 3 Month + 1.07%), 1.50%, 07/24/2026 (aa) | EUR | 3,500 | 4,306 | |||||
Reg. S, 1.63%, 03/21/2028 | EUR | 100 | 127 | |||||
(United States SOFR + 1.67%), 1.68%, 05/15/2024 (aa) | 25 | 26 | ||||||
(United States SOFR + 0.87%), 2.31%, 11/04/2022 (aa) | 150 | 153 | ||||||
(United States SOFR + 2.11%), 2.57%, 06/03/2031 (aa) | 3,600 | 3,773 | ||||||
2.75%, 04/25/2022 | 25 | 26 | ||||||
(United States SOFR + 2.75%), 3.11%, 04/08/2026 (aa) | 155 | 168 | ||||||
(ICE LIBOR USD 3 Month + 0.72%), 3.14%, 01/24/2023 (aa) | 190 | 196 | ||||||
(ICE LIBOR USD 3 Month + 0.90%), 3.35%, 04/24/2025 (aa) | 65 | 70 | ||||||
3.38%, 03/01/2023 | 150 | 160 | ||||||
(ICE LIBOR USD 3 Month + 1.84%), 4.28%, 04/24/2048 (aa) | 60 | 75 | ||||||
4.40%, 06/10/2025 | 3,500 | 3,949 | ||||||
(United States SOFR + 3.91%), 4.41%, 03/31/2031 (aa) | 75 | 90 | ||||||
4.65%, 07/23/2048 | 125 | 165 | ||||||
Clydesdale Bank plc, (United Kingdom), Reg. S, 4.63%, 06/08/2026 | GBP | 100 | 158 | |||||
Commerzbank AG, (Germany), | ||||||||
0.01%, 03/11/2030 | EUR | 100 | 120 | |||||
0.50%, 06/09/2026 | EUR | 100 | 123 | |||||
2.00%, 11/27/2023 | EUR | 100 | 126 | |||||
Commonwealth Bank of Australia, (Australia), | ||||||||
Reg. S, 0.88%, 02/19/2029 | EUR | 100 | 127 | |||||
Reg. S, (EUR Swap Rate 5 Year + 1.45%), 1.94%, 10/03/2029 (aa) | EUR | 1,000 | 1,208 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Reg. S, 3.00%, 05/03/2022 | EUR | 100 | 124 | |||||
Cooperatieve Rabobank UA, (Netherlands), | ||||||||
Reg. S, 0.01%, 07/02/2030 | EUR | 100 | 120 | |||||
Reg. S, 0.63%, 04/26/2026 | EUR | 100 | 124 | |||||
Reg. S, 0.88%, 02/08/2028 | EUR | 100 | 128 | |||||
Reg. S, 1.38%, 02/03/2027 | EUR | 25 | 32 | |||||
Reg. S, 2.38%, 05/22/2023 | EUR | 30 | 38 | |||||
4.38%, 08/04/2025 | 250 | 283 | ||||||
5.25%, 05/23/2041 | GBP | 50 | 107 | |||||
Credit Agricole Italia SpA, (Italy), | ||||||||
Reg. S, 0.25%, 09/30/2024 | EUR | 100 | 120 | |||||
Reg. S, 0.25%, 01/17/2028 | EUR | 100 | 121 | |||||
Reg. S, 0.88%, 01/31/2022 | EUR | 100 | 119 | |||||
Credit Agricole SA, (France), | ||||||||
Reg. S, 1.75%, 03/05/2029 | EUR | 100 | 129 | |||||
Reg. S, 2.38%, 05/20/2024 | EUR | 100 | 128 | |||||
3.75%, 04/24/2023 (e) | 2,200 | 2,357 | ||||||
Credit Suisse AG, (Switzerland), Reg. S, 1.00%, 06/07/2023 | EUR | 100 | 121 | |||||
Credit Suisse Group AG, (Switzerland), | ||||||||
Reg. S, (EUR Swap Rate 1 Year + 0.75%), 1.25%, 07/17/2025 (aa) | EUR | 100 | 121 | |||||
(United States SOFR + 1.56%), 2.59%, 09/11/2025 (e) (aa) | 3,850 | 4,020 | ||||||
(United States SOFR + 3.73%), 4.19%, 04/01/2031 (e) (aa) | 2,000 | 2,309 | ||||||
Danske Bank A/S, (Denmark), | ||||||||
Reg. S, (ICE EURIBOR Swap Rate 1 Year + 1.15%), 0.50%, 08/27/2025 (aa) | EUR | 100 | 117 | |||||
(CMT Index 1 Year + 1.03%), 1.17%, 12/08/2023 (e) (aa) | 3,350 | 3,353 | ||||||
Reg. S, (UK Gilts 1 Year + 1.65%), 2.25%, 01/14/2028 (aa) | GBP | 2,000 | 2,618 | |||||
Reg. S, 3.75%, 06/23/2022 | EUR | 50 | 63 | |||||
Danske Hypotek AB, (Sweden), Series 2212, Reg. S, 1.00%, 12/21/2022 | SEK | 2,000 | 228 | |||||
de Volksbank NV, (Netherlands), Reg. S, 1.00%, 03/08/2028 | EUR | 100 | 128 | |||||
Deutsche Apotheker-und Aerztebank eG, (Germany), Reg. S, 0.01%, 02/06/2029 | EUR | 100 | 120 | |||||
Deutsche Bank AG, (Germany), | ||||||||
Reg. S, 0.13%, 01/21/2030 | EUR | 75 | 91 | |||||
Reg. S, 0.25%, 03/08/2024 | EUR | 100 | 120 | |||||
Reg. S, 1.13%, 03/17/2025 | EUR | 100 | 117 | |||||
(United States SOFR + 2.16%), 2.22%, 09/18/2024 (aa) | 585 | 589 | ||||||
3.95%, 02/27/2023 | 2,700 | 2,831 | ||||||
Deutsche Hypothekenbank AG, (Germany), | ||||||||
Reg. S, 0.13%, 11/23/2023 | EUR | 100 | 119 | |||||
Reg. S, 0.50%, 06/29/2026 | EUR | 50 | 62 | |||||
Deutsche Kreditbank AG, (Germany), Reg. S, 0.01%, 11/07/2029 | EUR | 50 | 60 | |||||
Deutsche Pfandbriefbank AG, (Germany), 0.63%, 08/30/2027 | EUR | 100 | 125 | |||||
Dexia Credit Local SA, (France), | ||||||||
Reg. S, 0.00%, 05/29/2024 | EUR | 300 | 356 | |||||
Reg. S, 0.01%, 01/22/2027 | EUR | 200 | 237 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Reg. S, 0.63%, 01/17/2026 | EUR | 600 | 735 | |||||
Reg. S, 1.25%, 11/26/2024 | EUR | 700 | 873 | |||||
Discover Bank, 3.45%, 07/27/2026 | 1,200 | 1,314 | ||||||
DNB Boligkreditt A/S, (Norway), | ||||||||
Reg. S, 0.25%, 01/23/2023 | EUR | 200 | 239 | |||||
Reg. S, 0.38%, 11/20/2024 | EUR | 100 | 121 | |||||
Reg. S, 1.88%, 11/21/2022 | EUR | 100 | 123 | |||||
DZ HYP AG, (Germany), | ||||||||
Reg. S, 0.01%, 06/23/2028 | EUR | 100 | 120 | |||||
Reg. S, 0.63%, 10/27/2023 | EUR | 200 | 242 | |||||
Reg. S, 0.88%, 04/17/2034 | EUR | 100 | 132 | |||||
Eika Boligkreditt A/S, (Norway), Reg. S, 0.38%, 02/26/2025 | EUR | 100 | 121 | |||||
Erste Group Bank AG, (Austria), | ||||||||
Reg. S, 0.25%, 06/26/2024 | EUR | 100 | 121 | |||||
Reg. S, 0.63%, 01/19/2023 | EUR | 100 | 120 | |||||
Reg. S, 0.75%, 02/05/2025 | EUR | 100 | 123 | |||||
Goldman Sachs Group, Inc. (The), | ||||||||
Reg. S, 0.88%, 01/21/2030 | EUR | 150 | 178 | |||||
Reg. S, 1.38%, 05/15/2024 | EUR | 50 | 60 | |||||
2.60%, 02/07/2030 | 130 | 137 | ||||||
3.00%, 04/26/2022 | 160 | 162 | ||||||
Reg. S, 3.13%, 07/25/2029 | GBP | 50 | 73 | |||||
(ICE LIBOR USD 3 Month + 1.20%), 3.27%, 09/29/2025 (aa) | 2,500 | 2,706 | ||||||
Reg. S, 3.38%, 03/27/2025 | EUR | 100 | 133 | |||||
3.50%, 04/01/2025 | 115 | 127 | ||||||
3.80%, 03/15/2030 | 3,200 | 3,709 | ||||||
(ICE LIBOR USD 3 Month + 1.37%), 4.02%, 10/31/2038 (aa) | 280 | 325 | ||||||
(ICE LIBOR USD 3 Month + 1.43%), 4.41%, 04/23/2039 (aa) | 85 | 104 | ||||||
4.75%, 10/21/2045 | 190 | 250 | ||||||
6.75%, 10/01/2037 | 50 | 73 | ||||||
Hamburg Commercial Bank AG, (Germany), Reg. S, 0.25%, 04/25/2022 | EUR | 100 | 118 | |||||
Heta Asset Resolution AG, (Austria), Reg. S, 2.38%, 12/13/2022 | EUR | 800 | 991 | |||||
HSBC Bank plc, (United Kingdom), Reg. S, 6.25%, 01/30/2041 | GBP | 25 | 45 | |||||
HSBC Holdings plc, (United Kingdom), | ||||||||
(United States SOFR + 1.54%), 1.65%, 04/18/2026 (aa) | 1,000 | 996 | ||||||
(GBP Swap Rate 1 Year + 1.65%), 3.00%, 07/22/2028 (aa) | GBP | 1,000 | 1,378 | |||||
(ICE LIBOR USD 3 Month + 0.99%), 3.95%, 05/18/2024 (aa) | 200 | 214 | ||||||
(ICE LIBOR USD 3 Month + 1.61%), 3.97%, 05/22/2030 (aa) | 900 | 1,005 | ||||||
(ICE LIBOR USD 3 Month + 1.35%), 4.29%, 09/12/2026 (aa) | 200 | 223 | ||||||
ING Bank NV, (Netherlands), | ||||||||
Reg. S, 0.75%, 02/18/2029 | EUR | 100 | 127 | |||||
Reg. S, 1.88%, 05/22/2023 | EUR | 100 | 125 | |||||
ING Belgium SA, (Belgium), Reg. S, 0.01%, 02/20/2030 | EUR | 100 | 120 | |||||
ING Groep NV, (Netherlands), | ||||||||
Reg. S, (ICE LIBOR EUR 3 Month + 0.60%), 0.10%, 09/03/2025 (aa) | EUR | 1,500 | 1,744 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Reg. S, 2.00%, 09/20/2028 | EUR | 100 | 133 | |||||
(EUR Swap Rate 5 Year + 2.85%), 3.00%, 04/11/2028 (aa) | EUR | 100 | 124 | |||||
4.10%, 10/02/2023 | 200 | 219 | ||||||
Intesa Sanpaolo SpA, (Italy), | ||||||||
Reg. S, 0.63%, 03/23/2023 | EUR | 100 | 120 | |||||
Reg. S, 2.13%, 05/26/2025 | EUR | 200 | 249 | |||||
Reg. S, 3.38%, 01/24/2025 | EUR | 100 | 136 | |||||
Series XR, 3.25%, 09/23/2024 (e) | 2,900 | 3,062 | ||||||
Investitionsbank Berlin, (Germany), Series 208, 0.05%, 03/02/2035 | EUR | 100 | 118 | |||||
KBC Bank NV, (Belgium), Reg. S, 0.38%, 09/01/2022 | EUR | 100 | 119 | |||||
Kookmin Bank, (South Korea), Reg. S, 0.05%, 07/15/2025 | EUR | 100 | 118 | |||||
Kreditanstalt fuer Wiederaufbau, (Germany), | ||||||||
0.00%, 04/28/2022 | EUR | 390 | 462 | |||||
Reg. S, 0.00%, 06/30/2023 | EUR | 880 | 1,050 | |||||
Reg. S, 0.00%, 02/18/2025 | EUR | 120 | 144 | |||||
Reg. S, 0.00%, 03/31/2027 | EUR | 500 | 606 | |||||
Reg. S, 0.01%, 05/05/2027 | EUR | 520 | 631 | |||||
Reg. S, 0.05%, 09/29/2034 | EUR | 280 | 336 | |||||
0.13%, 06/07/2023 | EUR | 850 | 1,017 | |||||
0.25%, 09/15/2025 | EUR | 1,100 | 1,343 | |||||
0.38%, 07/18/2025 | 200 | 200 | ||||||
Reg. S, 0.38%, 04/23/2030 | EUR | 360 | 451 | |||||
Reg. S, 0.50%, 09/28/2026 | EUR | 520 | 648 | |||||
0.50%, 09/15/2027 | EUR | 500 | 627 | |||||
Reg. S, 0.88%, 07/04/2039 | EUR | 40 | 54 | |||||
Reg. S, 1.13%, 06/15/2037 | EUR | 340 | 472 | |||||
Reg. S, 1.38%, 12/15/2025 | GBP | 100 | 137 | |||||
Reg. S, 1.38%, 07/31/2035 | EUR | 202 | 287 | |||||
2.00%, 05/02/2025 | 195 | 209 | ||||||
2.13%, 08/15/2023 | EUR | 1,100 | 1,392 | |||||
2.38%, 12/29/2022 | 215 | 225 | ||||||
2.50%, 01/17/2022 | EUR | 150 | 183 | |||||
4.70%, 06/02/2037 | CAD | 100 | 105 | |||||
Reg. S, 4.88%, 03/15/2037 | GBP | 100 | 209 | |||||
Kutxabank SA, (Spain), Reg. S, 1.25%, 09/22/2025 | EUR | 100 | 126 | |||||
La Banque Postale SA, (France), Reg. S, 0.25%, 07/12/2026 | EUR | 200 | 237 | |||||
Landesbank Baden-Wuerttemberg, (Germany), | ||||||||
Series 809, Reg. S, 0.38%, 07/29/2026 | EUR | 100 | 118 | |||||
Reg. S, 0.38%, 02/18/2027 | EUR | 200 | 235 | |||||
Reg. S, 0.50%, 08/04/2022 | EUR | 100 | 119 | |||||
Reg. S, 0.88%, 09/15/2025 | EUR | 100 | 125 | |||||
Landesbank Hessen-Thueringen Girozentrale, (Germany), Reg. S, 0.63%, 01/12/2027 | EUR | 200 | 249 | |||||
Landwirtschaftliche Rentenbank, (Germany), | ||||||||
Reg. S, 0.00%, 11/27/2029 | EUR | 270 | 326 | |||||
Reg. S, 0.05%, 06/12/2023 | EUR | 270 | 322 | |||||
Reg. S, 0.25%, 08/29/2025 | EUR | 300 | 365 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Reg. S, 0.38%, 02/14/2028 | EUR | 140 | 174 | |||||
Reg. S, 0.63%, 02/20/2030 | EUR | 140 | 178 | |||||
Lansforsakringar Hypotek AB, (Sweden), | ||||||||
Series 516, Reg. S, 1.25%, 09/20/2023 | SEK | 1,000 | 116 | |||||
Series 517, Reg. S, 1.50%, 09/18/2024 | SEK | 600 | 71 | |||||
Series 519, Reg. S, 1.50%, 09/16/2026 | SEK | 400 | 48 | |||||
Series 515, Reg. S, 2.25%, 09/21/2022 | SEK | 700 | 81 | |||||
Lloyds Bank plc, (United Kingdom), | ||||||||
Reg. S, 0.13%, 06/18/2026 | EUR | 100 | 120 | |||||
Reg. S, 0.25%, 03/25/2024 | EUR | 100 | 119 | |||||
Reg. S, 4.88%, 03/30/2027 | GBP | 100 | 164 | |||||
Lloyds Banking Group plc, (United Kingdom), | ||||||||
Reg. S, (EUR Swap Rate 1 Year + 0.85%), 0.50%, 11/12/2025 (aa) | EUR | 2,400 | 2,800 | |||||
3.90%, 03/12/2024 | 2,500 | 2,716 | ||||||
Mediobanca Banca di Credito Finanziario SpA, (Italy), | ||||||||
Reg. S, 0.75%, 07/15/2027 | EUR | 100 | 116 | |||||
Series 4, Reg. S, 1.38%, 11/10/2025 | EUR | 100 | 126 | |||||
Mitsubishi UFJ Financial Group, Inc., (Japan), | ||||||||
2.05%, 07/17/2030 | 200 | 202 | ||||||
3.76%, 07/26/2023 | 2,950 | 3,194 | ||||||
Mizuho Financial Group, Inc., (Japan), | ||||||||
(ICE LIBOR USD 3 Month + 1.51%), 2.20%, 07/10/2031 (aa) | 620 | 628 | ||||||
(ICE LIBOR USD 3 Month + 0.83%), 2.23%, 05/25/2026 (aa) | 3,000 | 3,119 | ||||||
(ICE LIBOR USD 3 Month + 0.98%), 2.84%, 07/16/2025 (aa) | 200 | 212 | ||||||
Morgan Stanley, | ||||||||
(ICE LIBOR EUR 3 Month + 0.75%), 0.64%, 07/26/2024 (aa) | EUR | 100 | 119 | |||||
(ICE LIBOR EUR 3 Month + 0.83%), 1.34%, 10/23/2026 (aa) | EUR | 100 | 123 | |||||
1.88%, 04/27/2027 | EUR | 100 | 128 | |||||
2.63%, 03/09/2027 | GBP | 100 | 141 | |||||
(United States SOFR + 1.14%), 2.70%, 01/22/2031 (aa) | 4,180 | 4,452 | ||||||
(ICE LIBOR USD 3 Month + 0.85%), 3.74%, 04/24/2024 (aa) | 115 | 124 | ||||||
3.75%, 02/25/2023 | 120 | 129 | ||||||
(ICE LIBOR USD 3 Month + 1.46%), 3.97%, 07/22/2038 (aa) | 270 | 320 | ||||||
4.00%, 07/23/2025 | 15 | 17 | ||||||
4.10%, 05/22/2023 | 2,700 | 2,925 | ||||||
4.30%, 01/27/2045 | 120 | 152 | ||||||
(ICE LIBOR USD 3 Month + 1.43%), 4.46%, 04/22/2039 (aa) | 10 | 12 | ||||||
4.88%, 11/01/2022 | 90 | 97 | ||||||
5.00%, 11/24/2025 | 140 | 164 | ||||||
Muenchener Hypothekenbank eG, (Germany), | ||||||||
Reg. S, 0.13%, 09/05/2035 | EUR | 100 | 119 | |||||
Reg. S, 1.50%, 06/25/2024 | EUR | 100 | 126 | |||||
Reg. S, 2.50%, 07/04/2028 | EUR | 100 | 143 | |||||
National Australia Bank Ltd., (Australia), | ||||||||
Reg. S, 0.25%, 03/28/2022 | EUR | 100 | 118 | |||||
Reg. S, 0.75%, 01/30/2026 | EUR | 100 | 124 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
National Bank of Canada, (Canada), Reg. S, 0.75%, 03/13/2025 | EUR | 100 | 123 | |||||
Nationale-Nederlanden Bank NV (The), (Netherlands), Reg. S, 0.01%, 07/08/2030 | EUR | 100 | 119 | |||||
Natwest Group plc, (United Kingdom), | ||||||||
Reg. S, (ICE LIBOR EUR 3 Month + 1.08%), 1.75%, 03/02/2026 (aa) | EUR | 1,200 | 1,453 | |||||
Reg. S, (ICE LIBOR EUR 3 Month + 1.74%), 2.00%, 03/04/2025 (aa) | EUR | 100 | 122 | |||||
(CMT Index 1 Year + 2.15%), 2.36%, 05/22/2024 (aa) | 2,000 | 2,052 | ||||||
NIBC Bank NV, (Netherlands), Reg. S, 0.63%, 06/01/2026 | EUR | 100 | 123 | |||||
NORD / LB Luxembourg SA Covered Bond Bank, (Luxembourg), Reg. S, 0.01%, 06/10/2027 | EUR | 100 | 118 | |||||
Norddeutsche Landesbank-Girozentrale, (Germany), 0.25%, 10/28/2026 | EUR | 20 | 24 | |||||
Nordea Bank Abp, (Finland), | ||||||||
Reg. S, 0.88%, 06/26/2023 | EUR | 100 | 120 | |||||
3.75%, 08/30/2023 (e) | 1,900 | 2,049 | ||||||
Nordea Hypotek AB, (Sweden), | ||||||||
Series 5531, Reg. S, 1.00%, 04/08/2022 | SEK | 1,200 | 136 | |||||
Series 5534, Reg. S, 1.00%, 09/18/2024 | SEK | 1,500 | 173 | |||||
Series 5535, 1.00%, 09/17/2025 | SEK | 800 | 93 | |||||
Series 5533, Reg. S, 1.25%, 09/20/2023 | SEK | 1,700 | 197 | |||||
Nordea Kiinnitysluottopankki OYJ, (Finland), | ||||||||
Reg. S, 0.13%, 06/18/2027 | EUR | 100 | 121 | |||||
Reg. S, 0.63%, 10/19/2022 | EUR | 200 | 240 | |||||
NRW Bank, (Germany), | ||||||||
0.10%, 07/09/2035 | EUR | 100 | 118 | |||||
Reg. S, 0.25%, 03/10/2025 | EUR | 120 | 145 | |||||
Reg. S, 0.50%, 05/26/2025 | EUR | 320 | 392 | |||||
Reg. S, 0.75%, 06/30/2028 | EUR | 260 | 330 | |||||
1.20%, 03/28/2039 | EUR | 100 | 140 | |||||
Nykredit Realkredit A/S, (Denmark), | ||||||||
Series 13H, Reg. S, 1.00%, 01/01/2022 | DKK | 800 | 128 | |||||
Series 13HH, Reg. S, 1.00%, 07/01/2024 | DKK | 200 | 33 | |||||
Series 13H, 1.00%, 01/01/2027 | DKK | 100 | 17 | |||||
Series 13H, 2.00%, 01/01/2025 | DKK | 100 | 17 | |||||
Oesterreichische Kontrollbank AG, (Austria), | ||||||||
Reg. S, 0.00%, 10/08/2026 | EUR | 150 | 179 | |||||
Reg. S, 0.25%, 09/26/2024 | EUR | 300 | 362 | |||||
OP Mortgage Bank, (Finland), | ||||||||
Reg. S, 0.25%, 03/13/2024 | EUR | 100 | 120 | |||||
Reg. S, 0.63%, 02/15/2029 | EUR | 100 | 127 | |||||
Pfandbriefbank schweizerischer Hypothekarinstitute AG, (Switzerland), | ||||||||
Series 642, Reg. S, 0.00%, 02/14/2022 | CHF | 175 | 192 | |||||
Series 670, Reg. S, 0.00%, 07/29/2024 | CHF | 100 | 110 | |||||
Series 680, Reg. S, 0.00%, 03/30/2026 | CHF | 50 | 55 | |||||
Series 682, Reg. S, 0.00%, 04/06/2027 | CHF | 50 | 55 | |||||
Series 675, Reg. S, 0.00%, 06/15/2027 | CHF | 50 | 55 | |||||
Series 683, Reg. S, 0.00%, 02/25/2028 | CHF | 200 | 220 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Reg. S, 0.00%, 02/26/2030 | CHF | 700 | 767 | |||||
Series SEP, Reg. S, 0.00%, 05/10/2045 | CHF | 50 | 54 | |||||
Series 678, Reg. S, 0.00%, 08/26/2049 | CHF | 125 | 134 | |||||
Pfandbriefzentrale der schweizerischen Kantonalbanken AG, (Switzerland), | ||||||||
Series 472, Reg. S, 0.00%, 07/25/2023 | CHF | 300 | 330 | |||||
Series 485, Reg. S, 0.00%, 10/02/2026 | CHF | 300 | 331 | |||||
Series 483, Reg. S, 0.00%, 01/27/2027 | CHF | 900 | 992 | |||||
Series 524, Reg. S, 0.00%, 06/21/2028 | CHF | 50 | 55 | |||||
Prima Banka Slovensko A/S, (Slovakia), Reg. S, 0.01%, 10/01/2026 | EUR | 100 | 119 | |||||
Raiffeisenlandesbank Niederoesterreich-Wien AG, (Austria), 0.63%, 08/28/2026 | EUR | 100 | 124 | |||||
Raiffeisenlandesbank Oberoesterreich AG, (Austria), Reg. S, 0.88%, 07/12/2028 | EUR | 100 | 128 | |||||
Royal Bank of Canada, (Canada), | ||||||||
Reg. S, 0.25%, 01/29/2024 | EUR | 100 | 120 | |||||
Reg. S, 0.63%, 09/10/2025 | EUR | 100 | 123 | |||||
1.15%, 06/10/2025 | 260 | 264 | ||||||
2.25%, 11/01/2024 | 25 | 26 | ||||||
Santander Consumer Bank A/S, (Norway), Reg. S, 0.75%, 03/01/2023 | EUR | 2,000 | 2,379 | |||||
Santander Holdings USA, Inc., 3.45%, 06/02/2025 | 80 | 86 | ||||||
Santander UK Group Holdings plc, (United Kingdom), 3.57%, 01/10/2023 | 200 | 207 | ||||||
Santander UK plc, (United Kingdom), | ||||||||
Series 61, Reg. S, 0.25%, 04/21/2022 | EUR | 100 | 118 | |||||
Reg. S, 1.25%, 09/18/2024 | EUR | 100 | 125 | |||||
Skandinaviska Enskilda Banken AB, (Sweden), | ||||||||
Reg. S, 0.05%, 07/01/2024 | EUR | 200 | 236 | |||||
Reg. S, 0.63%, 01/30/2023 | EUR | 100 | 120 | |||||
Series 576, Reg. S, 1.00%, 12/20/2023 | SEK | 2,000 | 230 | |||||
Series 579, Reg. S, 1.00%, 12/18/2024 | SEK | 2,000 | 232 | |||||
Series 578, Reg. S, 4.25%, 12/01/2023 | SEK | 500 | 63 | |||||
Societe Generale SA, (France), | ||||||||
Reg. S, 0.75%, 01/25/2027 | EUR | 2,200 | 2,569 | |||||
Reg. S, 1.13%, 01/23/2025 | EUR | 100 | 120 | |||||
2.63%, 01/22/2025 (e) | 2,100 | 2,167 | ||||||
SpareBank 1 Boligkreditt A/S, (Norway), | ||||||||
Reg. S, 0.01%, 09/22/2027 | EUR | 100 | 120 | |||||
Reg. S, 0.38%, 06/26/2024 | EUR | 100 | 121 | |||||
Reg. S, 1.00%, 01/30/2029 | EUR | 100 | 129 | |||||
SR-Boligkreditt A/S, (Norway), Reg. S, 0.75%, 10/17/2025 | EUR | 100 | 124 | |||||
Stadshypotek AB, (Sweden), | ||||||||
Reg. S, 0.38%, 02/22/2023 | EUR | 200 | 240 | |||||
Series 1587, Reg. S, 1.50%, 06/01/2023 | SEK | 2,000 | 232 | |||||
Series 1588, Reg. S, 1.50%, 03/01/2024 | SEK | 2,000 | 234 | |||||
Series 1589, Reg. S, 1.50%, 12/03/2024 | SEK | 2,000 | 236 | |||||
Series 1594, Reg. S, 2.00%, 09/01/2028 | SEK | 1,000 | 126 | |||||
Standard Chartered plc, (United Kingdom), (ICE LIBOR USD 3 Month + 1.21%), 2.82%, 01/30/2026 (e) (aa) | 1,800 | 1,865 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Sumitomo Mitsui Banking Corp., (Japan), Reg. S, 0.55%, 11/06/2023 | EUR | 100 | 120 | |||||
Sumitomo Mitsui Financial Group, Inc., (Japan), | ||||||||
2.13%, 07/08/2030 | 200 | 203 | ||||||
2.45%, 09/27/2024 | 200 | 211 | ||||||
2.70%, 07/16/2024 | 3,700 | 3,937 | ||||||
2.78%, 07/12/2022 | 25 | 26 | ||||||
2.85%, 01/11/2022 | 60 | 62 | ||||||
3.75%, 07/19/2023 | 20 | 22 | ||||||
3.94%, 10/16/2023 | 120 | 131 | ||||||
Svenska Handelsbanken AB, (Sweden), | ||||||||
Reg. S, 0.50%, 03/21/2023 | EUR | 100 | 119 | |||||
Reg. S, 0.50%, 02/18/2030 | EUR | 100 | 118 | |||||
Sveriges Sakerstallda Obligationer AB, (Sweden), | ||||||||
Series 146, Reg. S, 0.50%, 06/11/2025 | SEK | 2,000 | 227 | |||||
Reg. S, 0.63%, 10/30/2025 | EUR | 100 | 123 | |||||
Series 144, Reg. S, 1.00%, 06/21/2023 | SEK | 2,000 | 230 | |||||
Swedbank AB, (Sweden), Reg. S, 1.00%, 06/01/2022 | EUR | 100 | 119 | |||||
Swedbank Hypotek AB, (Sweden), | ||||||||
Reg. S, 0.05%, 05/28/2025 | EUR | 100 | 120 | |||||
Series 191, Reg. S, 1.00%, 06/15/2022 | SEK | 2,700 | 307 | |||||
Series 192, Reg. S, 1.00%, 03/15/2023 | SEK | 1,000 | 114 | |||||
Series 193, Reg. S, 1.00%, 12/20/2023 | SEK | 500 | 58 | |||||
Series 194, Reg. S, 1.00%, 09/18/2024 | SEK | 1,100 | 127 | |||||
Series 195, Reg. S, 1.00%, 06/18/2025 | SEK | 500 | 58 | |||||
Toronto-Dominion Bank (The), (Canada), | ||||||||
Reg. S, 0.25%, 03/26/2024 | EUR | 100 | 120 | |||||
Reg. S, 0.38%, 04/27/2023 | EUR | 100 | 120 | |||||
2.65%, 06/12/2024 | 50 | 53 | ||||||
3.25%, 03/11/2024 | 20 | 22 | ||||||
Truist Financial Corp., | ||||||||
1.20%, 08/05/2025 | 160 | 163 | ||||||
3.05%, 06/20/2022 | 88 | 92 | ||||||
3.88%, 03/19/2029 | 1,400 | 1,606 | ||||||
UBS Group AG, (Switzerland), | ||||||||
Reg. S, (EUR Swap Rate 1 Year + 0.75%), 1.25%, 04/17/2025 (aa) | EUR | 200 | 243 | |||||
(ICE LIBOR USD 3 Month + 0.95%), 2.86%, 08/15/2023 (e) (aa) | 3,900 | 4,045 | ||||||
UniCredit Bank AG, (Germany), | ||||||||
Reg. S, 0.01%, 09/15/2028 | EUR | 50 | 60 | |||||
Reg. S, 0.25%, 01/15/2032 | EUR | 50 | 61 | |||||
Reg. S, 0.85%, 05/22/2034 | EUR | 50 | 66 | |||||
Reg. S, 0.88%, 01/11/2029 | EUR | 100 | 128 | |||||
UniCredit Bank Austria AG, (Austria), | ||||||||
Reg. S, 0.05%, 09/21/2035 | EUR | 100 | 118 | |||||
Reg. S, 0.75%, 09/08/2022 | EUR | 100 | 120 | |||||
UniCredit SpA, (Italy), | ||||||||
Reg. S, 0.38%, 10/31/2026 | EUR | 100 | 120 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Reg. S, (ICE LIBOR EUR 3 Month + 1.60%), 1.25%, 06/16/2026 (aa) | EUR | 200 | 237 | |||||
6.57%, 01/14/2022 (e) | 700 | 743 | ||||||
Unione di Banche Italiane SpA, (Italy), | ||||||||
Reg. S, 0.38%, 09/14/2026 | EUR | 100 | 121 | |||||
Reg. S, 1.00%, 01/27/2023 | EUR | 100 | 121 | |||||
Valiant Bank AG, (Switzerland), Reg. S, 0.00%, 07/31/2029 | CHF | 50 | 54 | |||||
Vseobecna Uverova Banka A/S, (Slovakia), Reg. S, 0.25%, 03/26/2024 | EUR | 100 | 119 | |||||
Wells Fargo & Co., | ||||||||
Reg. S, (ICE LIBOR EUR 3 Month + 1.85%), 1.74%, 05/04/2030 (aa) | EUR | 1,200 | 1,484 | |||||
(ICE LIBOR USD 3 Month + 0.83%), 2.41%, 10/30/2025 (aa) | 400 | 419 | ||||||
2.63%, 07/22/2022 | 25 | 26 | ||||||
(United States SOFR + 2.53%), 3.07%, 04/30/2041 (aa) | 1,975 | 2,066 | ||||||
(ICE LIBOR USD 3 Month + 1.17%), 3.20%, 06/17/2027 (aa) | 1,590 | 1,735 | ||||||
3.75%, 01/24/2024 | 65 | 71 | ||||||
4.75%, 12/07/2046 | 45 | 56 | ||||||
Westpac Banking Corp., (Australia), Reg. S, 0.38%, 04/02/2026 | EUR | 100 | 121 | |||||
Westpac Securities NZ Ltd., (New Zealand), Reg. S, 0.25%, 04/06/2022 | EUR | 100 | 118 | |||||
Wirtschafts- und Infrastrukturbank Hessen, (Germany), 0.88%, 06/14/2028 | EUR | 100 | 128 | |||||
|
| |||||||
196,077 | ||||||||
|
| |||||||
Diversified Financial Services 0.6% | ||||||||
Aareal Bank AG, (Germany), Series 225, Reg. S, 0.13%, 02/01/2023 | EUR | 100 | 119 | |||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, (Ireland), 4.50%, 09/15/2023 | 150 | 155 | ||||||
Affiliated Managers Group, Inc., 3.50%, 08/01/2025 | 20 | 22 | ||||||
Affordable Housing Finance plc, (United Kingdom), Reg. S, 2.89%, 08/11/2043 | GBP | 100 | 172 | |||||
Air Lease Corp., | ||||||||
2.63%, 07/01/2022 | 140 | 142 | ||||||
3.38%, 07/01/2025 | 20 | 20 | ||||||
3.50%, 01/15/2022 | 20 | 21 | ||||||
Ally Financial, Inc., 3.05%, 06/05/2023 | 40 | 42 | ||||||
American Express Co., 3.40%, 02/22/2024 | 20 | 22 | ||||||
Arkea Home Loans SFH SA, (France), Reg. S, 0.38%, 03/04/2024 | EUR | 200 | 241 | |||||
Artesian Finance II plc, (United Kingdom), 6.00%, 09/30/2033 | GBP | 50 | 100 | |||||
AXA Bank Europe SCF, (France), Reg. S, 0.50%, 04/18/2025 | EUR | 200 | 244 | |||||
AXA Home Loan SFH SA, (France), Reg. S, 0.13%, 06/25/2035 | EUR | 100 | 118 | |||||
Ayt Cedulas Cajas Global, (Spain), Series 3, 3.75%, 12/14/2022 | EUR | 100 | 128 | |||||
AyT Cedulas Cajas X Fondo de Titulizacion de Activos, (Spain), Series X, 3.75%, 06/30/2025 | EUR | 100 | 139 | |||||
BPCE SFH SA, (France), | ||||||||
Reg. S, 0.01%, 05/27/2030 | EUR | 100 | 119 | |||||
Reg. S, 0.63%, 09/22/2027 | EUR | 100 | 125 | |||||
Reg. S, 0.75%, 09/02/2025 | EUR | 100 | 124 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Reg. S, 2.38%, 11/29/2023 | EUR | 200 | 256 | |||||
Reg. S, 4.00%, 03/23/2022 | EUR | 100 | 125 | |||||
Brookfield Finance LLC, 3.45%, 04/15/2050 | 65 | 64 | ||||||
Brookfield Finance, Inc., (Canada), 4.00%, 04/01/2024 | 40 | 44 | ||||||
Caisse de Refinancement de lHabitat SA, (France), | ||||||||
Reg. S, 0.01%, 10/08/2029 | EUR | 100 | 120 | |||||
Reg. S, 0.13%, 04/30/2027 | EUR | 100 | 121 | |||||
Reg. S, 2.38%, 03/05/2024 | CHF | 50 | 59 | |||||
3.30%, 09/23/2022 | EUR | 100 | 126 | |||||
3.90%, 10/20/2023 | EUR | 100 | 133 | |||||
Capital One Financial Corp., 0.80%, 06/12/2024 | EUR | 100 | 117 | |||||
Cedulas TDA 6 Fondo de Titulizacion de Activos, (Spain), Series A6, 3.88%, 05/23/2025 | EUR | 100 | 140 | |||||
Credit Agricole Home Loan SFH SA, (France), | ||||||||
Reg. S, 0.13%, 12/16/2024 | EUR | 100 | 120 | |||||
Reg. S, 0.38%, 09/30/2024 | EUR | 100 | 121 | |||||
0.50%, 02/19/2026 | EUR | 100 | 123 | |||||
Reg. S, 0.63%, 11/28/2022 | EUR | 100 | 120 | |||||
0.88%, 08/11/2028 | EUR | 200 | 256 | |||||
0.88%, 05/06/2034 | EUR | 100 | 131 | |||||
Credit Agricole Public Sector SCF SA, (France), 0.88%, 08/02/2027 | EUR | 100 | 127 | |||||
Credit Mutuel Home Loan SFH SA, (France), | ||||||||
Reg. S, 0.50%, 01/21/2022 | EUR | 100 | 119 | |||||
Reg. S, 1.00%, 01/30/2029 | EUR | 100 | 129 | |||||
Reg. S, 4.13%, 01/19/2024 | EUR | 100 | 135 | |||||
Credit Suisse Schweiz AG, (Switzerland), Reg. S, 0.00%, 10/31/2030 | CHF | 25 | 27 | |||||
Danmarks Skibskredit A/S, (Denmark), Reg. S, 0.13%, 03/20/2025 | EUR | 100 | 118 | |||||
DLR Kredit A/S, (Denmark), Series B, Reg. S, 1.00%, 10/01/2022 | DKK | 300 | 48 | |||||
FCA Bank SpA, (Italy), Reg. S, 0.25%, 02/28/2023 | EUR | 3,000 | 3,499 | |||||
GE Capital Funding LLC, 3.45%, 05/15/2025 (e) | 200 | 215 | ||||||
GE Capital International Funding Co. Unlimited Co., (Ireland), 3.37%, 11/15/2025 | 200 | 214 | ||||||
Harbour Funding plc, (United Kingdom), 5.28%, 03/31/2034 | GBP | 25 | 45 | |||||
Intercontinental Exchange, Inc., | ||||||||
2.10%, 06/15/2030 | 60 | 62 | ||||||
3.00%, 06/15/2050 | 105 | 109 | ||||||
3.00%, 09/15/2060 | 70 | 71 | ||||||
3.75%, 12/01/2025 | 25 | 28 | ||||||
4.00%, 10/15/2023 | 100 | 110 | ||||||
4.25%, 09/21/2048 | 170 | 210 | ||||||
Jefferies Group LLC, 2.75%, 10/15/2032 | 1,420 | 1,405 | ||||||
Jyske Realkredit A/S, (Denmark), | ||||||||
Reg. S, 0.25%, 07/01/2023 | EUR | 100 | 119 | |||||
Series 32lE, 1.00%, 04/01/2023 | DKK | 200 | 33 | |||||
Series CCE., Reg. S, 1.00%, 10/01/2024 | DKK | 100 | 17 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
La Banque Postale Home Loan SFH SA, (France), | ||||||||
Reg. S, 0.50%, 01/30/2026 | EUR | 100 | 123 | |||||
Reg. S, 2.38%, 01/15/2024 | EUR | 100 | 128 | |||||
London Stock Exchange Group plc, (United Kingdom), Reg. S, 1.75%, 12/06/2027 | EUR | 1,000 | 1,271 | |||||
Mastercard, Inc., | ||||||||
2.10%, 12/01/2027 | EUR | 100 | 133 | |||||
3.65%, 06/01/2049 | 205 | 251 | ||||||
Nasdaq, Inc., | ||||||||
0.88%, 02/13/2030 | EUR | 100 | 118 | |||||
4.25%, 06/01/2024 | 60 | 67 | ||||||
Nomura Holdings, Inc., (Japan), 2.65%, 01/16/2025 | 2,200 | 2,317 | ||||||
Nordea Kredit Realkreditaktieselskab, (Denmark), | ||||||||
Series CT2, Reg. S, 1.00%, 10/01/2022 | DKK | 400 | 65 | |||||
Series CC2, 1.00%, 04/01/2025 | DKK | 200 | 33 | |||||
Programa Cedulas TDA Fondo de Titulizacion de Activos, (Spain), Series A6, 4.25%, 04/10/2031 | EUR | 100 | 170 | |||||
Prs Finance plc, (United Kingdom), Reg. S, 2.00%, 01/23/2029 | GBP | 500 | 707 | |||||
Realkredit Danmark A/S, (Denmark), Series 22S, Reg. S, 0.00%, 10/01/2040 | DKK | 50 | 8 | |||||
Santander Consumer Finance SA, (Spain), Reg. S, 1.13%, 10/09/2023 | EUR | 2,500 | 3,024 | |||||
Societe Generale SFH SA, (France), | ||||||||
Reg. S, 0.50%, 01/20/2023 | EUR | 100 | 120 | |||||
Reg. S, 0.50%, 06/02/2025 | EUR | 100 | 122 | |||||
Reg. S, 0.50%, 01/28/2026 | EUR | 100 | 123 | |||||
Telereal Securitisation plc, (United Kingdom), Series B4, 6.16%, 12/10/2031 | GBP | 45 | 72 | |||||
THFC Funding No 1 plc, (United Kingdom), 5.13%, 12/21/2035 | GBP | 25 | 47 | |||||
Visa, Inc., | ||||||||
1.90%, 04/15/2027 | 1,100 | 1,168 | ||||||
2.00%, 08/15/2050 | 30 | 28 | ||||||
2.70%, 04/15/2040 | 190 | 205 | ||||||
Wellcome Trust Finance plc, (United Kingdom), Reg. S, 4.63%, 07/25/2036 | GBP | 50 | 101 | |||||
|
| |||||||
21,470 | ||||||||
|
| |||||||
Insurance 1.1% | ||||||||
Allianz Finance II BV, (Netherlands), Reg. S, 0.50%, 01/14/2031 | EUR | 100 | 120 | |||||
Allianz SE, (Germany), Reg. S, (ICE EURIBOR Swap Rate 10 Year + 3.20%), 3.38%, 09/18/2024 (x) (aa) | EUR | 2,400 | 3,037 | |||||
American Equity Investment Life Holding Co., 5.00%, 06/15/2027 | 70 | 76 | ||||||
American International Group, Inc., 3.40%, 06/30/2030 | 3,080 | 3,411 | ||||||
Aon Corp., 2.80%, 05/15/2030 | 50 | 54 | ||||||
Aon plc, (Ireland), 4.60%, 06/14/2044 | 10 | 13 | ||||||
Aquarius & Investments plc for Zurich Insurance Co. Ltd., (Ireland), Reg. S, (ICE LIBOR EUR 3 Month + 3.45%), 4.25%, 10/02/2043 (aa) | EUR | 100 | 129 | |||||
Assicurazioni Generali SpA, (Italy), Reg. S, 4.13%, 05/04/2026 | EUR | 100 | 134 | |||||
Athene Global Funding, 2.50%, 01/14/2025 (e) | 20 | 21 | ||||||
Athene Holding Ltd., (Bermuda), 6.15%, 04/03/2030 | 35 | 42 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Insurance continued | ||||||||
Aviva plc, (United Kingdom), Reg. S, (UK Gilts 5 Year + 2.85%), 6.13%, 11/14/2036 (aa) | GBP | 50 | 78 | |||||
Berkshire Hathaway Finance Corp., | ||||||||
2.38%, 06/19/2039 | GBP | 100 | 145 | |||||
4.20%, 08/15/2048 | 130 | 167 | ||||||
4.25%, 01/15/2049 | 10 | 13 | ||||||
Berkshire Hathaway, Inc., 1.13%, 03/16/2027 | EUR | 100 | 124 | |||||
BNP Paribas Cardif SA, (France), Reg. S, 1.00%, 11/29/2024 | EUR | 1,000 | 1,182 | |||||
Chubb INA Holdings, Inc., 1.55%, 03/15/2028 | EUR | 2,000 | 2,512 | |||||
CNA Financial Corp., 2.05%, 08/15/2030 | 2,500 | 2,496 | ||||||
Credit Agricole Assurances SA, (France), | ||||||||
Reg. S, 2.00%, 07/17/2030 | EUR | 1,200 | 1,433 | |||||
Reg. S, (EUR Swap Rate 5 Year + 4.35%), 4.50%, 10/14/2025 (x) (aa) | EUR | 100 | 130 | |||||
Enstar Group Ltd., (Bermuda), 4.95%, 06/01/2029 | 90 | 101 | ||||||
Equitable Holdings, Inc., 3.90%, 04/20/2023 | 50 | 54 | ||||||
Helvetia Europe SA, (Luxembourg), Reg. S, (EUR Swap Rate 5 Year + 3.95%), 2.75%, 09/30/2041 (aa) | EUR | 1,500 | 1,836 | |||||
Legal & General Finance plc, (United Kingdom), Reg. S, 5.88%, 04/05/2033 | GBP | 20 | 38 | |||||
Liberty Mutual Finance Europe DAC, (Ireland), Reg. S, 1.75%, 03/27/2024 | EUR | 2,000 | 2,452 | |||||
Liberty Mutual Group, Inc., 3.95%, 10/15/2050 (e) | 830 | 927 | ||||||
Loews Corp., 3.20%, 05/15/2030 | 10 | 11 | ||||||
Markel Corp., | ||||||||
3.50%, 11/01/2027 | 5 | 5 | ||||||
4.15%, 09/17/2050 | 1,000 | 1,199 | ||||||
Marsh & McLennan Cos., Inc., | ||||||||
1.98%, 03/21/2030 | EUR | 1,200 | 1,590 | |||||
4.20%, 03/01/2048 | 190 | 240 | ||||||
4.75%, 03/15/2039 | 170 | 224 | ||||||
4.90%, 03/15/2049 | 45 | 63 | ||||||
Metropolitan Life Global Funding I, Reg. S, 1.63%, 09/21/2029 | GBP | 100 | 134 | |||||
NN Group NV, (Netherlands), Reg. S, (ICE LIBOR EUR 3 Month + 4.00%), 4.50%, 01/15/2026 (x) (aa) | EUR | 100 | 129 | |||||
Pension Insurance Corp. plc, (United Kingdom), Reg. S, 5.63%, 09/20/2030 | GBP | 1,121 | 1,692 | |||||
Phoenix Group Holdings plc, (United Kingdom), Reg. S, 5.63%, 04/28/2031 | GBP | 1,400 | 2,057 | |||||
Principal Financial Group, Inc., | ||||||||
3.10%, 11/15/2026 | 1,400 | 1,558 | ||||||
3.13%, 05/15/2023 | 1,400 | 1,492 | ||||||
Progressive Corp. (The), | ||||||||
4.13%, 04/15/2047 | 190 | 241 | ||||||
4.20%, 03/15/2048 | 70 | 91 | ||||||
RenaissanceRe Finance, Inc., 3.45%, 07/01/2027 | 250 | 273 | ||||||
RenaissanceRe Holdings Ltd., (Bermuda), 3.60%, 04/15/2029 | 210 | 237 | ||||||
Unum Group, 4.00%, 06/15/2029 | 1,700 | 1,862 | ||||||
W R Berkley Corp., 4.00%, 05/12/2050 | 700 | 828 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Insurance continued | ||||||||
Willis North America, Inc., | ||||||||
2.95%, 09/15/2029 | 50 | 54 | ||||||
3.60%, 05/15/2024 | 100 | 109 | ||||||
XLIT Ltd., (Cayman Islands), (ICE LIBOR EUR 3 Month + 2.90%), 3.25%, 06/29/2047 (aa) | EUR | 1,300 | 1,682 | |||||
|
| |||||||
36,496 | ||||||||
|
| |||||||
Investment Companies 0.0% (g) | ||||||||
Ares Capital Corp., | ||||||||
3.25%, 07/15/2025 | 90 | 89 | ||||||
3.50%, 02/10/2023 | 170 | 175 | ||||||
4.20%, 06/10/2024 | 70 | 73 | ||||||
4.25%, 03/01/2025 | 240 | 248 | ||||||
EXOR NV, (Netherlands), Reg. S, 2.13%, 12/02/2022 | EUR | 100 | 121 | |||||
Owl Rock Capital Corp., 4.25%, 01/15/2026 | 150 | 152 | ||||||
|
| |||||||
858 | ||||||||
|
| |||||||
Private Equity 0.1% | ||||||||
3i Group plc, (United Kingdom), Reg. S, 5.75%, 12/03/2032 | GBP | 25 | 43 | |||||
Blackstone Property Partners Europe Holdings Sarl, (Luxembourg), | ||||||||
Reg. S, 0.50%, 09/12/2023 | EUR | 2,200 | 2,564 | |||||
Reg. S, 2.00%, 02/15/2024 | EUR | 500 | 606 | |||||
|
| |||||||
3,213 | ||||||||
|
| |||||||
Real Estate 0.2% | ||||||||
Annington Funding plc, (United Kingdom), Reg. S, 1.65%, 07/12/2024 | EUR | 100 | 122 | |||||
Broadgate Financing plc, (United Kingdom), Series A4, Reg. S, 4.82%, 07/05/2033 | GBP | 50 | 86 | |||||
Clarion Funding plc, (United Kingdom), Reg. S, 2.63%, 01/18/2029 | GBP | 100 | 143 | |||||
Heimstaden Bostad AB, (Sweden), Reg. S, 1.13%, 01/21/2026 | EUR | 1,200 | 1,404 | |||||
Logicor 2019-1 UK plc, (United Kingdom), Reg. S, 1.88%, 11/17/2026 | GBP | 100 | 136 | |||||
Logicor Financing Sarl, (Luxembourg), | ||||||||
Reg. S, 0.75%, 07/15/2024 | EUR | 1,500 | 1,759 | |||||
Reg. S, 1.50%, 07/13/2026 | EUR | 1,200 | 1,432 | |||||
London & Quadrant Housing Trust, (United Kingdom), Reg. S, 2.63%, 02/28/2028 | GBP | 100 | 139 | |||||
Meadowhall Finance plc, (United Kingdom), Series A1, Reg. S, 4.99%, 01/12/2032 | GBP | 34 | 52 | |||||
Ontario Teachers Cadillac Fairview Properties Trust, (Canada), 4.13%, 02/01/2029 (e) | 900 | 1,017 | ||||||
Samhallsbyggnadsbolaget i Norden AB, (Sweden), Reg. S, 1.75%, 01/14/2025 | EUR | 100 | 120 | |||||
Tesco Property Finance 1 plc, (United Kingdom), Reg. S, 7.62%, 07/13/2039 | GBP | 85 | 163 | |||||
Trafford Centre Finance Ltd. (The), (Cayman Islands), Series A2, Reg. S, 6.50%, 07/28/2033 | GBP | 39 | 63 | |||||
Vonovia Finance BV, (Netherlands), | ||||||||
Reg. S, 0.63%, 07/09/2026 | EUR | 100 | 119 | |||||
Reg. S, 0.88%, 07/03/2023 | EUR | 100 | 120 | |||||
|
| |||||||
6,875 | ||||||||
|
|
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
REITS 0.9% | ||||||||
Agree LP, 2.90%, 10/01/2030 | 45 | 47 | ||||||
Alexandria Real Estate Equities, Inc., | ||||||||
1.88%, 02/01/2033 | 40 | 39 | ||||||
4.00%, 01/15/2024 | 120 | 132 | ||||||
American Campus Communities Operating Partnership LP, 3.30%, 07/15/2026 | 20 | 21 | ||||||
American Tower Corp., | ||||||||
1.00%, 01/15/2032 | EUR | 3,000 | 3,501 | |||||
1.30%, 09/15/2025 | 60 | 61 | ||||||
3.38%, 05/15/2024 | 25 | 27 | ||||||
3.55%, 07/15/2027 | 59 | 66 | ||||||
Brixmor Operating Partnership LP, 4.13%, 06/15/2026 | 2,300 | 2,504 | ||||||
Camden Property Trust, 3.35%, 11/01/2049 | 10 | 11 | ||||||
Crown Castle International Corp., | ||||||||
1.35%, 07/15/2025 | 100 | 101 | ||||||
4.00%, 11/15/2049 | 27 | 30 | ||||||
5.25%, 01/15/2023 | 25 | 28 | ||||||
CyrusOne LP / CyrusOne Finance Corp., 1.45%, 01/22/2027 | EUR | 200 | 233 | |||||
Digital Euro Finco LLC, Reg. S, 1.13%, 04/09/2028 | EUR | 100 | 120 | |||||
Digital Realty Trust LP, 4.75%, 10/01/2025 | 50 | 59 | ||||||
Equinix, Inc., | ||||||||
2.63%, 11/18/2024 | 120 | 127 | ||||||
3.00%, 07/15/2050 | 205 | 204 | ||||||
3.20%, 11/18/2029 | 20 | 22 | ||||||
ERP Operating LP, 2.85%, 11/01/2026 | 50 | 55 | ||||||
GLP Capital LP / GLP Financing II, Inc., | ||||||||
3.35%, 09/01/2024 | 20 | 20 | ||||||
4.00%, 01/15/2030 | 115 | 119 | ||||||
4.00%, 01/15/2031 | 188 | 196 | ||||||
5.30%, 01/15/2029 | 100 | 111 | ||||||
5.38%, 11/01/2023 | 30 | 32 | ||||||
5.75%, 06/01/2028 | 60 | 69 | ||||||
Healthpeak Properties, Inc., | ||||||||
3.00%, 01/15/2030 | 1,400 | 1,509 | ||||||
4.20%, 03/01/2024 | 2,100 | 2,312 | ||||||
Kimco Realty Corp., 2.70%, 10/01/2030 | 1,900 | 1,930 | ||||||
Life Storage LP, | ||||||||
2.20%, 10/15/2030 | 160 | 160 | ||||||
3.88%, 12/15/2027 | 50 | 56 | ||||||
LifeStorage LP, 3.50%, 07/01/2026 | 205 | 228 | ||||||
Omega Healthcare Investors, Inc., | ||||||||
3.63%, 10/01/2029 | 20 | 20 | ||||||
4.50%, 04/01/2027 | 170 | 183 | ||||||
Prologis Euro Finance LLC, 0.25%, 09/10/2027 | EUR | 100 | 117 | |||||
Prologis LP, | ||||||||
2.25%, 06/30/2029 | GBP | 100 | 140 | |||||
3.25%, 10/01/2026 | 50 | 57 | ||||||
3.75%, 11/01/2025 | 60 | 68 | ||||||
Public Storage, | ||||||||
3.09%, 09/15/2027 | 220 | 247 | ||||||
3.39%, 05/01/2029 | 145 | 167 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
REITS continued | ||||||||
Realty Income Corp., | ||||||||
1.63%, 12/15/2030 | GBP | 100 | 128 | |||||
3.00%, 01/15/2027 | 2,000 | 2,176 | ||||||
3.88%, 07/15/2024 | 100 | 110 | ||||||
3.88%, 04/15/2025 | 100 | 113 | ||||||
4.65%, 03/15/2047 | 50 | 66 | ||||||
Simon International Finance SCA, (Luxembourg), Reg. S, 1.25%, 05/13/2025 | EUR | 100 | 119 | |||||
Simon Property Group LP, 3.50%, 09/01/2025 | 80 | 88 | ||||||
Spirit Realty LP, | ||||||||
3.20%, 02/15/2031 | 60 | 58 | ||||||
4.00%, 07/15/2029 | 15 | 16 | ||||||
STORE Capital Corp., 4.63%, 03/15/2029 | 40 | 43 | ||||||
Ventas Realty LP, 4.13%, 01/15/2026 | 2,300 | 2,584 | ||||||
VEREIT Operating Partnership LP, 4.63%, 11/01/2025 | 60 | 66 | ||||||
Welltower, Inc., | ||||||||
2.75%, 01/15/2031 | 50 | 51 | ||||||
3.10%, 01/15/2030 | 1,500 | 1,594 | ||||||
4.50%, 01/15/2024 | 3,500 | 3,850 | ||||||
4.80%, 11/20/2028 | GBP | 100 | 151 | |||||
Weyerhaeuser Co., 4.00%, 04/15/2030 | 1,500 | 1,774 | ||||||
WPC Eurobond BV, (Netherlands), 1.35%, 04/15/2028 | EUR | 100 | 119 | |||||
|
| |||||||
28,235 | ||||||||
|
| |||||||
Savings & Loans 0.0% (g) | ||||||||
Nationwide Building Society, (United Kingdom), | ||||||||
Reg. S, 0.63%, 03/25/2027 | EUR | 100 | 125 | |||||
Reg. S, 5.63%, 01/28/2026 | GBP | 100 | 163 | |||||
|
| |||||||
288 | ||||||||
|
| |||||||
Total Financial | 293,512 | |||||||
|
| |||||||
Government 0.8% | ||||||||
Multi - National 0.7% | ||||||||
African Development Bank, (Supranational), 1.63%, 09/16/2022 | 65 | 67 | ||||||
Asian Development Bank, (Supranational), | ||||||||
0.03%, 01/31/2030 | EUR | 50 | 60 | |||||
1.75%, 09/13/2022 | 200 | 206 | ||||||
2.63%, 01/30/2024 | 258 | 277 | ||||||
Council Of Europe Development Bank, (Supranational), Reg. S, 0.38%, 10/27/2022 | EUR | 100 | 119 | |||||
EUROFIMA, (Supranational), | ||||||||
Reg. S, 0.25%, 04/25/2023 | EUR | 400 | 477 | |||||
4.55%, 03/30/2027 | CAD | 120 | 110 | |||||
European Bank for Reconstruction & Development, (Supranational), | ||||||||
0.25%, 07/10/2023 | 60 | 60 | ||||||
6.45%, 12/13/2022 | IDR | 10,000,000 | 679 | |||||
European Investment Bank, (Supranational), | ||||||||
0.00%, 10/16/2023 | EUR | 200 | 239 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Multi - National continued | ||||||||
0.00%, 03/15/2024 | EUR | 300 | 359 | |||||
0.00%, 03/25/2025 | EUR | 10,200 | 12,274 | |||||
0.00%, 06/17/2027 | EUR | 200 | 242 | |||||
Zero Coupon, 05/28/2037 (e) | CAD | 150 | 82 | |||||
Reg. S, 0.01%, 11/15/2035 | EUR | 200 | 236 | |||||
0.63%, 07/25/2025 | 20 | 20 | ||||||
0.88%, 09/13/2047 | EUR | 100 | 139 | |||||
Reg. S, 1.13%, 09/15/2036 | EUR | 25 | 35 | |||||
Reg. S, 1.38%, 03/07/2025 | GBP | 100 | 136 | |||||
1.50%, 10/16/2048 | EUR | 20 | 32 | |||||
Reg. S, 2.50%, 10/31/2022 | GBP | 1,000 | 1,353 | |||||
Series 1981, 2.63%, 03/15/2035 | EUR | 40 | 65 | |||||
2.75%, 09/13/2030 | EUR | 130 | 199 | |||||
Reg. S, 3.00%, 09/28/2022 | EUR | 300 | 378 | |||||
3.13%, 12/14/2023 | 250 | 273 | ||||||
3.25%, 01/29/2024 | 315 | 346 | ||||||
Reg. S, 3.63%, 03/14/2042 | EUR | 25 | 52 | |||||
4.63%, 10/12/2054 | GBP | 30 | 79 | |||||
Inter-American Development Bank, (Supranational), | ||||||||
2.13%, 01/15/2025 | 250 | 268 | ||||||
2.50%, 01/18/2023 | 90 | 95 | ||||||
2.63%, 01/16/2024 | 130 | 140 | ||||||
7.88%, 03/14/2023 | IDR | 10,000,000 | 705 | |||||
North American Development Bank, (Supranational), Reg. S, 0.20%, 11/28/2028 | CHF | 200 | 220 | |||||
|
| |||||||
20,022 | ||||||||
|
| |||||||
Municipal 0.0% (g) | ||||||||
Prs Finance plc, (United Kingdom), Reg. S, 1.75%, 11/24/2026 | GBP | 192 | 267 | |||||
Transport for London, (United Kingdom), | ||||||||
Reg. S, 4.00%, 09/12/2033 | GBP | 500 | 858 | |||||
5.00%, 03/31/2035 | GBP | 200 | 354 | |||||
|
| |||||||
1,479 | ||||||||
|
| |||||||
Regional (State/Province) 0.0% (g) | ||||||||
KAF Kaerntner Ausgleichszahlungs-Fonds, (Austria), Reg. S, Zero Coupon, 01/14/2032 | EUR | 500 | 577 | |||||
|
| |||||||
Sovereign 0.1% | ||||||||
European Financial Stability Facility, (Luxembourg), | ||||||||
Reg. S, 0.13%, 10/17/2023 | EUR | 300 | 359 | |||||
Reg. S, 0.50%, 01/20/2023 | EUR | 200 | 241 | |||||
Reg. S, 0.63%, 10/16/2026 | EUR | 100 | 125 | |||||
Reg. S, 1.45%, 09/05/2040 | EUR | 170 | 250 | |||||
Reg. S, 1.75%, 07/17/2053 | EUR | 50 | 84 | |||||
Reg. S, 2.25%, 09/05/2022 | EUR | 200 | 248 | |||||
Reg. S, 2.75%, 12/03/2029 | EUR | 120 | 180 | |||||
European Stability Mechanism, (Supranational), | ||||||||
Reg. S, 0.00%, 02/10/2023 | EUR | 100 | 119 | |||||
Reg. S, 0.88%, 07/18/2042 | EUR | 20 | 27 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Sovereign continued | ||||||||
Reg. S, 1.75%, 10/20/2045 | EUR | 50 | 80 | |||||
Reg. S, 1.80%, 11/02/2046 | EUR | 70 | 115 | |||||
Reg. S, 1.85%, 12/01/2055 | EUR | 15 | 26 | |||||
Reg. S, 2.13%, 11/20/2023 | EUR | 300 | 381 | |||||
European Union, (Supranational), | ||||||||
Reg. S, 0.63%, 11/04/2023 | EUR | 200 | 243 | |||||
Reg. S, 0.75%, 04/04/2031 | EUR | 25 | 32 | |||||
Reg. S, 1.13%, 04/04/2036 | EUR | 65 | 90 | |||||
Reg. S, 3.75%, 04/04/2042 | EUR | 15 | 31 | |||||
LCR Finance plc, (United Kingdom), | ||||||||
Reg. S, 4.50%, 12/07/2028 | GBP | 300 | 510 | |||||
Reg. S, 4.50%, 12/07/2038 | GBP | 110 | 227 | |||||
5.10%, 03/07/2051 | GBP | 50 | 132 | |||||
|
| |||||||
3,500 | ||||||||
|
| |||||||
Total Government | 25,578 | |||||||
|
| |||||||
Industrial 1.6% | ||||||||
Aerospace/Defense 0.2% | ||||||||
Airbus SE, (Netherlands), | ||||||||
Reg. S, 2.00%, 04/07/2028 | EUR | 100 | 126 | |||||
Reg. S, 2.38%, 06/09/2040 | EUR | 900 | 1,070 | |||||
BAE Systems plc, (United Kingdom), 1.90%, 02/15/2031 (e) | 1,350 | 1,344 | ||||||
Boeing Co. (The), | ||||||||
4.51%, 05/01/2023 | 150 | 158 | ||||||
4.88%, 05/01/2025 | 125 | 136 | ||||||
5.71%, 05/01/2040 | 2,300 | 2,712 | ||||||
5.81%, 05/01/2050 | 50 | 60 | ||||||
Howmet Aerospace, Inc., 6.88%, 05/01/2025 | 114 | 126 | ||||||
Raytheon Technologies Corp., | ||||||||
3.20%, 03/15/2024 (e) | 30 | 32 | ||||||
3.95%, 08/16/2025 | 140 | 159 | ||||||
7.20%, 08/15/2027 (e) | 20 | 27 | ||||||
|
| |||||||
5,950 | ||||||||
|
| |||||||
Building Materials 0.2% | ||||||||
Carrier Global Corp., | ||||||||
1.92%, 02/15/2023 (e) | 25 | 26 | ||||||
2.24%, 02/15/2025 (e) | 20 | 21 | ||||||
2.49%, 02/15/2027 (e) | 10 | 10 | ||||||
2.72%, 02/15/2030 (e) | 10 | 10 | ||||||
3.38%, 04/05/2040 (e) | 180 | 189 | ||||||
3.58%, 04/05/2050 (e) | 80 | 85 | ||||||
Fortune Brands Home & Security, Inc., 3.25%, 09/15/2029 | 20 | 22 | ||||||
HeidelbergCement Finance Luxembourg SA, (Luxembourg), | ||||||||
Reg. S, 1.13%, 12/01/2027 | EUR | 25 | 30 | |||||
Reg. S, 2.50%, 10/09/2024 | EUR | 30 | 38 | |||||
Imerys SA, (France), Reg. S, 2.00%, 12/10/2024 | EUR | 100 | 120 | |||||
Johnson Controls International plc / Tyco Fire & Security Finance SCA, (Ireland), 0.38%, 09/15/2027 | EUR | 100 | 117 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Building Materials continued | ||||||||
LafargeHolcim Sterling Finance Netherlands BV, (Netherlands), Reg. S, 3.00%, 05/12/2032 | GBP | 100 | 142 | |||||
Martin Marietta Materials, Inc., 4.25%, 07/02/2024 | 4,540 | 5,024 | ||||||
Owens Corning, 3.88%, 06/01/2030 | 100 | 113 | ||||||
Vulcan Materials Co., | ||||||||
3.50%, 06/01/2030 | 60 | 67 | ||||||
4.50%, 04/01/2025 | 10 | 12 | ||||||
4.70%, 03/01/2048 | 900 | 1,088 | ||||||
|
| |||||||
7,114 | ||||||||
|
| |||||||
Electrical Components & Equipments 0.0% (g) | ||||||||
Eaton Capital Unlimited Co., (Ireland), Reg. S, 0.70%, 05/14/2025 | EUR | 100 | 120 | |||||
Signify NV, (Netherlands), Reg. S, 2.00%, 05/11/2024 | EUR | 100 | 122 | |||||
|
| |||||||
242 | ||||||||
|
| |||||||
Electronics 0.2% | ||||||||
Agilent Technologies, Inc., | ||||||||
2.10%, 06/04/2030 | 232 | 239 | ||||||
2.75%, 09/15/2029 | 40 | 43 | ||||||
Allegion US Holding Co., Inc., 3.20%, 10/01/2024 | 85 | 90 | ||||||
Amphenol Technologies Holding GmbH, (Germany), Reg. S, 0.75%, 05/04/2026 | EUR | 100 | 119 | |||||
Arrow Electronics, Inc., 3.88%, 01/12/2028 | 20 | 22 | ||||||
Flex Ltd., (Singapore), | ||||||||
3.75%, 02/01/2026 | 60 | 65 | ||||||
4.88%, 05/12/2030 | 170 | 194 | ||||||
FLIR Systems, Inc., 2.50%, 08/01/2030 | 1,400 | 1,433 | ||||||
Keysight Technologies, Inc., | ||||||||
3.00%, 10/30/2029 | 14 | 15 | ||||||
4.60%, 04/06/2027 | 120 | 140 | ||||||
PerkinElmer, Inc., 3.30%, 09/15/2029 | 60 | 67 | ||||||
Roper Technologies, Inc., | ||||||||
1.75%, 02/15/2031 | 2,000 | 2,001 | ||||||
2.35%, 09/15/2024 | 200 | 212 | ||||||
3.65%, 09/15/2023 | 185 | 201 | ||||||
Trimble, Inc., 4.90%, 06/15/2028 | 135 | 159 | ||||||
|
| |||||||
5,000 | ||||||||
|
| |||||||
Engineering & Construction 0.1% | ||||||||
Aeroporti di Roma SpA, (Italy), Series A4, 5.44%, 02/20/2023 | GBP | 50 | 69 | |||||
Aeroports de Paris, (France), | ||||||||
Reg. S, 1.00%, 01/05/2029 | EUR | 300 | 348 | |||||
Reg. S, 1.50%, 07/02/2032 | EUR | 100 | 118 | |||||
Reg. S, 2.75%, 04/02/2030 | EUR | 1,200 | 1,590 | |||||
Heathrow Funding Ltd., (Jersey), | ||||||||
Reg. S, 6.45%, 12/10/2031 | GBP | 50 | 87 | |||||
Reg. S, 6.75%, 12/03/2026 | GBP | 50 | 80 | |||||
|
| |||||||
2,292 | ||||||||
|
|
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Environmental Control 0.0% (g) | ||||||||
Republic Services, Inc., 2.50%, 08/15/2024 | 50 | 53 | ||||||
Waste Connections, Inc., (Canada), | ||||||||
2.60%, 02/01/2030 | 200 | 215 | ||||||
4.25%, 12/01/2028 | 30 | 36 | ||||||
|
| |||||||
304 | ||||||||
|
| |||||||
Machinery - Construction & Mining 0.0% (g) | ||||||||
Caterpillar Financial Services Corp., 0.45%, 09/14/2023 | 130 | 130 | ||||||
Oshkosh Corp., 3.10%, 03/01/2030 | 5 | 5 | ||||||
|
| |||||||
135 | ||||||||
|
| |||||||
Machinery - Diversified 0.1% | ||||||||
Atlas Copco AB, (Sweden), Reg. S, 0.63%, 08/30/2026 | EUR | 100 | 122 | |||||
IDEX Corp., 3.00%, 05/01/2030 | 165 | 181 | ||||||
John Deere Capital Corp., 2.60%, 03/07/2024 | 50 | 53 | ||||||
John Deere Cash Management SA, (Luxembourg), | ||||||||
Reg. S, 2.20%, 04/02/2032 | EUR | 1,200 | 1,661 | |||||
Otis Worldwide Corp., 2.06%, 04/05/2025 | 20 | 21 | ||||||
Westinghouse Air Brake Technologies Corp., | ||||||||
3.20%, 06/15/2025 | 50 | 53 | ||||||
4.40%, 03/15/2024 | 1,800 | 1,955 | ||||||
|
| |||||||
4,046 | ||||||||
|
| |||||||
Miscellaneous Manufacturers 0.1% | ||||||||
General Electric Co., | ||||||||
4.25%, 05/01/2040 | 30 | 30 | ||||||
4.35%, 05/01/2050 | 5 | 5 | ||||||
Reg. S, 5.38%, 12/18/2040 | GBP | 4 | 6 | |||||
6.75%, 03/15/2032 | 50 | 63 | ||||||
Parker-Hannifin Corp., 1.13%, 03/01/2025 | EUR | 100 | 120 | |||||
Pentair Finance Sarl, (Luxembourg), 4.50%, 07/01/2029 | 2,000 | 2,265 | ||||||
Siemens Financieringsmaatschappij NV, (Netherlands), Reg. S, 0.30%, 02/28/2024 | EUR | 20 | 24 | |||||
Textron, Inc., 2.45%, 03/15/2031 | 1,900 | 1,888 | ||||||
|
| |||||||
4,401 | ||||||||
|
| |||||||
Packaging & Containers 0.2% | ||||||||
Ball Corp., 0.88%, 03/15/2024 | EUR | 2,000 | 2,304 | |||||
DS Smith plc, (United Kingdom), Reg. S, 0.88%, 09/12/2026 | EUR | 2,300 | 2,688 | |||||
SIG Combibloc PurchaseCo Sarl, (Luxembourg), Reg. S, 1.88%, 06/18/2023 | EUR | 2,000 | 2,385 | |||||
|
| |||||||
7,377 | ||||||||
|
| |||||||
Transportation 0.4% | ||||||||
AP Moller - Maersk A/S, (Denmark), Reg. S, 1.75%, 03/16/2026 | EUR | 200 | 245 | |||||
Brambles Finance Ltd., (Australia), Reg. S, 2.38%, 06/12/2024 | EUR | 100 | 125 | |||||
Burlington Northern Santa Fe LLC, | ||||||||
4.15%, 04/01/2045 | 50 | 62 | ||||||
4.55%, 09/01/2044 | 170 | 222 | ||||||
4.95%, 09/15/2041 | 700 | 938 | ||||||
5.40%, 06/01/2041 | 70 | 98 | ||||||
CSX Corp., 4.25%, 11/01/2066 | 300 | 372 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Transportation continued | ||||||||
Deutsche Bahn Finance GmbH, (Germany), | ||||||||
Reg. S, 0.50%, 04/09/2027 | EUR | 140 | 170 | |||||
Reg. S, 1.38%, 03/28/2031 | EUR | 2,000 | 2,609 | |||||
Reg. S, 1.38%, 04/16/2040 | EUR | 50 | 64 | |||||
Reg. S, 1.50%, 08/26/2024 | CHF | 500 | 583 | |||||
Reg. S, 1.50%, 12/08/2032 | EUR | 200 | 267 | |||||
Reg. S, 1.63%, 08/16/2033 | EUR | 100 | 134 | |||||
Reg. S, 2.75%, 06/20/2022 | GBP | 500 | 671 | |||||
Reg. S, 3.50%, 09/27/2024 | AUD | 300 | 236 | |||||
Series CB, Reg. S, (EUR Swap Rate 5 Year + 1.89%), 1.60%, 07/18/2029 (x) (aa) | EUR | 1,700 | 1,986 | |||||
FedEx Corp., | ||||||||
0.70%, 05/13/2022 | EUR | 100 | 119 | |||||
3.80%, 05/15/2025 | 160 | 181 | ||||||
Ferrovie dello Stato Italiane SpA, (Italy), Reg. S, 1.50%, 06/27/2025 | EUR | 100 | 122 | |||||
Kansas City Southern, 4.20%, 11/15/2069 | 10 | 11 | ||||||
La Poste SA, (France), | ||||||||
Reg. S, 0.38%, 09/17/2027 | EUR | 100 | 119 | |||||
Reg. S, 0.63%, 10/21/2026 | EUR | 1,300 | 1,572 | |||||
Reg. S, 1.38%, 04/21/2032 | EUR | 1,000 | 1,273 | |||||
Network Rail Infrastructure Finance plc, (United Kingdom), Reg. S, 4.38%, 12/09/2030 | GBP | 190 | 338 | |||||
OeBB-Infrastruktur AG, (Austria), | ||||||||
2.25%, 05/28/2029 | EUR | 325 | 462 | |||||
3.00%, 10/24/2033 | EUR | 100 | 163 | |||||
Reg. S, 3.38%, 05/18/2032 | EUR | 4 | 6 | |||||
Reg. S, 3.88%, 06/30/2025 | EUR | 80 | 113 | |||||
4.88%, 06/27/2022 | EUR | 500 | 642 | |||||
Syndicat Transport Ile de France EPA, (France), Reg. S, 1.00%, 05/25/2034 | EUR | 200 | 259 | |||||
|
| |||||||
14,162 | ||||||||
|
| |||||||
Trucking & Leasing 0.1% | ||||||||
Penske Truck Leasing Co. Lp / PTL Finance Corp., 4.88%, 07/11/2022 (e) | 2,800 | 3,009 | ||||||
|
| |||||||
Total Industrial | 54,032 | |||||||
|
| |||||||
Technology 0.8% | ||||||||
Computers 0.2% | ||||||||
Apple, Inc., | ||||||||
1.38%, 05/24/2029 | EUR | 100 | 130 | |||||
2.05%, 09/11/2026 | 140 | 150 | ||||||
3.25%, 02/23/2026 | 50 | 56 | ||||||
3.35%, 02/09/2027 | 15 | 17 | ||||||
3.75%, 09/12/2047 | 1,000 | 1,235 | ||||||
Capgemini SE, (France), Reg. S, 0.63%, 06/23/2025 | EUR | 100 | 119 | |||||
Dell International LLC / EMC Corp., | ||||||||
5.45%, 06/15/2023 (e) | 100 | 109 | ||||||
5.85%, 07/15/2025 (e) | 10 | 12 | ||||||
6.10%, 07/15/2027 (e) | 5 | 6 | ||||||
6.20%, 07/15/2030 (e) | 5 | 6 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Computers continued | ||||||||
8.10%, 07/15/2036 (e) | 83 | 109 | ||||||
8.35%, 07/15/2046 (e) | 102 | 135 | ||||||
Genpact Luxembourg Sarl, (Luxembourg), | ||||||||
3.38%, 12/01/2024 | 1,400 | 1,466 | ||||||
3.70%, 04/01/2022 | 100 | 102 | ||||||
Hewlett Packard Enterprise Co., 4.45%, 10/02/2023 | 120 | 132 | ||||||
HP, Inc., | ||||||||
2.20%, 06/17/2025 | 1,900 | 1,990 | ||||||
3.00%, 06/17/2027 | 100 | 108 | ||||||
NetApp, Inc., 1.88%, 06/22/2025 | 1,760 | 1,823 | ||||||
Seagate HDD Cayman, (Cayman Islands), 4.13%, 01/15/2031 (e) | 60 | 65 | ||||||
Teleperformance, (France), Reg. S, 1.50%, 04/03/2024 | EUR | 200 | 243 | |||||
|
| |||||||
8,013 | ||||||||
|
| |||||||
Semiconductors 0.4% | ||||||||
ASML Holding NV, (Netherlands), Reg. S, 0.63%, 05/07/2029 | EUR | 100 | 121 | |||||
Broadcom Corp. / Broadcom Cayman Finance Ltd., (Multinational), 3.00%, 01/15/2022 | 60 | 62 | ||||||
Broadcom, Inc., | ||||||||
2.25%, 11/15/2023 | 60 | 62 | ||||||
3.15%, 11/15/2025 | 30 | 32 | ||||||
3.46%, 09/15/2026 | 80 | 88 | ||||||
4.11%, 09/15/2028 | 100 | 113 | ||||||
4.15%, 11/15/2030 | 150 | 169 | ||||||
4.30%, 11/15/2032 | 215 | 246 | ||||||
4.70%, 04/15/2025 | 140 | 159 | ||||||
5.00%, 04/15/2030 | 2,980 | 3,515 | ||||||
Infineon Technologies AG, (Germany), Reg. S, 1.13%, 06/24/2026 | EUR | 100 | 121 | |||||
Marvell Technology Group Ltd., (Bermuda), | ||||||||
4.20%, 06/22/2023 | 70 | 75 | ||||||
4.88%, 06/22/2028 | 250 | 302 | ||||||
Maxim Integrated Products, Inc., 3.45%, 06/15/2027 | 140 | 156 | ||||||
Microchip Technology, Inc., 3.92%, 06/01/2021 | 2,900 | 2,964 | ||||||
Micron Technology, Inc., | ||||||||
2.50%, 04/24/2023 | 110 | 114 | ||||||
4.66%, 02/15/2030 | 27 | 32 | ||||||
NVIDIA Corp., | ||||||||
3.50%, 04/01/2040 | 22 | 26 | ||||||
3.50%, 04/01/2050 | 30 | 35 | ||||||
3.70%, 04/01/2060 | 60 | 71 | ||||||
NXP BV / NXP Funding LLC / NXP USA, Inc., (Multinational), 3.40%, 05/01/2030 (e) | 1,000 | 1,095 | ||||||
NXP BV / NXP Funding LLC, (Netherlands), 3.88%, 09/01/2022 (e) | 2,600 | 2,748 | ||||||
Texas Instruments, Inc., 1.75%, 05/04/2030 | 90 | 93 | ||||||
Xilinx, Inc., 2.38%, 06/01/2030 | 50 | 52 | ||||||
|
| |||||||
12,451 | ||||||||
|
|
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 0.2% | ||||||||
Activision Blizzard, Inc., | ||||||||
1.35%, 09/15/2030 | 2,000 | 1,955 | ||||||
2.50%, 09/15/2050 | 100 | 93 | ||||||
Adobe, Inc., 2.30%, 02/01/2030 | 65 | 70 | ||||||
Broadridge Financial Solutions, Inc., | ||||||||
2.90%, 12/01/2029 | 80 | 87 | ||||||
3.40%, 06/27/2026 | 40 | 44 | ||||||
Citrix Systems, Inc., | ||||||||
3.30%, 03/01/2030 | 320 | 342 | ||||||
4.50%, 12/01/2027 | 150 | 172 | ||||||
Fidelity National Information Services, Inc., 3.36%, 05/21/2031 | GBP | 100 | 150 | |||||
Fiserv, Inc., 2.65%, 06/01/2030 | 155 | 167 | ||||||
Intuit, Inc., 1.65%, 07/15/2030 | 355 | 361 | ||||||
Microsoft Corp., | ||||||||
2.53%, 06/01/2050 | 1,100 | 1,150 | ||||||
2.68%, 06/01/2060 | 110 | 116 | ||||||
4.00%, 02/12/2055 | 10 | 14 | ||||||
Oracle Corp., 2.50%, 04/01/2025 | 100 | 107 | ||||||
SAP SE, (Germany), Reg. S, 1.00%, 04/01/2025 | EUR | 50 | 61 | |||||
ServiceNow, Inc., 1.40%, 09/01/2030 | 1,793 | 1,752 | ||||||
VMware, Inc., 4.50%, 05/15/2025 | 40 | 45 | ||||||
|
| |||||||
6,686 | ||||||||
|
| |||||||
Total Technology | 27,150 | |||||||
|
| |||||||
Utilities 2.4% | ||||||||
Electric 1.8% | ||||||||
A2A SpA, (Italy), | ||||||||
Reg. S, 1.00%, 07/16/2029 | EUR | 100 | 123 | |||||
Reg. S, 3.63%, 01/13/2022 | EUR | 100 | 123 | |||||
ACEA SpA, (Italy), | ||||||||
Reg. S, 0.50%, 04/06/2029 | EUR | 100 | 115 | |||||
Reg. S, 2.63%, 07/15/2024 | EUR | 100 | 127 | |||||
AEP Texas, Inc., Series I, 2.10%, 07/01/2030 | 2,600 | 2,671 | ||||||
Alliander NV, (Netherlands), 2.88%, 06/14/2024 | EUR | 100 | 130 | |||||
Ameren Corp., | ||||||||
2.50%, 09/15/2024 | 30 | 32 | ||||||
3.50%, 01/15/2031 | 10 | 11 | ||||||
Ameren Illinois Co., 3.25%, 03/15/2050 | 1,200 | 1,350 | ||||||
American Electric Power Co., Inc., | ||||||||
2.30%, 03/01/2030 | 25 | 26 | ||||||
3.25%, 03/01/2050 | 20 | 21 | ||||||
Appalachian Power Co., | ||||||||
Series Y, 4.50%, 03/01/2049 | 20 | 25 | ||||||
Series Z, 3.70%, 05/01/2050 | 45 | 51 | ||||||
Arizona Public Service Co., | ||||||||
2.60%, 08/15/2029 | 60 | 65 | ||||||
3.35%, 05/15/2050 | 10 | 11 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Electric continued | ||||||||
Atlantic City Electric Co., 4.00%, 10/15/2028 | 50 | 59 | ||||||
Baltimore Gas and Electric Co., 2.90%, 06/15/2050 | 10 | 10 | ||||||
Berkshire Hathaway Energy Co., | ||||||||
4.25%, 10/15/2050 (e) | 15 | 19 | ||||||
5.15%, 11/15/2043 | 60 | 82 | ||||||
Black Hills Corp., | ||||||||
3.05%, 10/15/2029 | 20 | 22 | ||||||
3.88%, 10/15/2049 | 10 | 11 | ||||||
Cadent Finance plc, (United Kingdom), Reg. S, 2.63%, 09/22/2038 | GBP | 900 | 1,264 | |||||
CenterPoint Energy Houston Electric LLC, Series AD, 2.90%, 07/01/2050 | 45 | 48 | ||||||
CenterPoint Energy, Inc., | ||||||||
2.95%, 03/01/2030 | 5 | 5 | ||||||
4.25%, 11/01/2028 | 10 | 12 | ||||||
Coentreprise de Transport dElectricite SA, (France), | ||||||||
Reg. S, 0.88%, 09/29/2024 | EUR | 100 | 121 | |||||
Reg. S, 2.13%, 07/29/2032 | EUR | 100 | 135 | |||||
Commonwealth Edison Co., | ||||||||
3.00%, 03/01/2050 | 100 | 107 | ||||||
3.70%, 08/15/2028 | 10 | 12 | ||||||
4.00%, 03/01/2048 | 25 | 31 | ||||||
4.00%, 03/01/2049 | 10 | 12 | ||||||
4.70%, 01/15/2044 | 1,000 | 1,320 | ||||||
Consolidated Edison Co. of New York, Inc., | ||||||||
Series 20A, 3.35%, 04/01/2030 | 70 | 81 | ||||||
3.85%, 06/15/2046 | 10 | 12 | ||||||
Series 20B, 3.95%, 04/01/2050 | 55 | 67 | ||||||
Series 09-C, 5.50%, 12/01/2039 | 10 | 14 | ||||||
Series A, 4.13%, 05/15/2049 | 20 | 24 | ||||||
Consumers Energy Co., | ||||||||
2.50%, 05/01/2060 | 10 | 9 | ||||||
3.10%, 08/15/2050 | 30 | 33 | ||||||
3.25%, 08/15/2046 | 1,100 | 1,226 | ||||||
3.75%, 02/15/2050 | 5 | 6 | ||||||
Dominion Energy South Carolina, Inc., 4.60%, 06/15/2043 | 1,400 | 1,824 | ||||||
Dominion Energy, Inc., | ||||||||
3.90%, 10/01/2025 | 220 | 250 | ||||||
4.25%, 06/01/2028 | 20 | 24 | ||||||
Series C, 3.38%, 04/01/2030 | 20 | 22 | ||||||
DTE Electric Co., | ||||||||
2.95%, 03/01/2050 | 25 | 26 | ||||||
3.70%, 03/15/2045 | 1,100 | 1,287 | ||||||
3.95%, 03/01/2049 | 10 | 13 | ||||||
DTE Energy Co., | ||||||||
Series B, 2.60%, 06/15/2022 | 40 | 42 | ||||||
Series C, 3.40%, 06/15/2029 | 20 | 22 | ||||||
Series F, 1.05%, 06/01/2025 | 1,400 | 1,399 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Electric continued | ||||||||
Series H, 0.55%, 11/01/2022 | 75 | 75 | ||||||
Duke Energy Carolinas LLC, 5.30%, 02/15/2040 | 10 | 14 | ||||||
Duke Energy Corp., | ||||||||
2.45%, 06/01/2030 | 10 | 11 | ||||||
2.65%, 09/01/2026 | 30 | 33 | ||||||
3.75%, 09/01/2046 | 10 | 11 | ||||||
4.20%, 06/15/2049 | 10 | 12 | ||||||
Duke Energy Florida LLC, 4.20%, 07/15/2048 | 10 | 13 | ||||||
Duke Energy Indiana LLC, | ||||||||
2.75%, 04/01/2050 | 20 | 20 | ||||||
Series YYY, 3.25%, 10/01/2049 | 40 | 45 | ||||||
Duke Energy Ohio, Inc., | ||||||||
3.65%, 02/01/2029 | 10 | 12 | ||||||
3.70%, 06/15/2046 | 1,700 | 1,965 | ||||||
4.30%, 02/01/2049 | 80 | 101 | ||||||
E.ON International Finance BV, (Netherlands), 6.38%, 06/07/2032 | GBP | 50 | 96 | |||||
E.ON SE, (Germany), Reg. S, 1.00%, 10/07/2025 | EUR | 100 | 123 | |||||
EDP - Energias de Portugal SA, (Portugal), Reg. S, 1.63%, 04/15/2027 | EUR | 100 | 127 | |||||
Electricite de France SA, (France), | ||||||||
Reg. S, 1.00%, 10/13/2026 | EUR | 600 | 740 | |||||
Reg. S, 1.88%, 10/13/2036 | EUR | 100 | 129 | |||||
Reg. S, 2.00%, 12/09/2049 | EUR | 600 | 721 | |||||
Reg. S, 5.13%, 09/22/2050 | GBP | 50 | 97 | |||||
5.88%, 07/18/2031 | GBP | 65 | 118 | |||||
EnBW Energie Baden-Wuerttemberg AG, (Germany), Reg. S, (EUR Swap Rate 5 Year + 2.32%), 1.88%, 06/29/2080 (aa) | EUR | 100 | 117 | |||||
EnBW International Finance BV, (Netherlands), Reg. S, 0.63%, 04/17/2025 | EUR | 200 | 242 | |||||
Enel Finance International NV, (Netherlands), | ||||||||
Reg. S, 1.13%, 10/17/2034 | EUR | 100 | 123 | |||||
2.65%, 09/10/2024 (e) | 3,500 | 3,711 | ||||||
3.50%, 04/06/2028 (e) | 1,700 | 1,894 | ||||||
Enel SpA, (Italy), Reg. S, (EUR Swap Rate 5 Year + 2.10%), 2.50%, 11/24/2078 (aa) | EUR | 100 | 120 | |||||
e-netz Suedhessen AG, (Germany), 6.13%, 04/23/2041 | EUR | 20 | 37 | |||||
Enexis Holding NV, (Netherlands), | ||||||||
Reg. S, 0.88%, 04/28/2026 | EUR | 100 | 123 | |||||
Reg. S, 1.50%, 10/20/2023 | EUR | 100 | 122 | |||||
Engie SA, (France), Reg. S, (EUR Swap Rate 5 Year + 3.17%), 3.25%, 11/28/2024 (x) (aa) | EUR | 1,800 | 2,258 | |||||
Entergy Corp., | ||||||||
0.90%, 09/15/2025 | 30 | 30 | ||||||
2.80%, 06/15/2030 | 1,400 | 1,513 | ||||||
3.75%, 06/15/2050 | 30 | 34 | ||||||
Entergy Louisiana LLC, | ||||||||
3.12%, 09/01/2027 | 2,500 | 2,793 | ||||||
3.25%, 04/01/2028 | 10 | 11 | ||||||
4.20%, 09/01/2048 | 10 | 13 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Electric continued | ||||||||
Entergy Texas, Inc., 4.00%, 03/30/2029 | 15 | 18 | ||||||
ESB Finance DAC, (Ireland), | ||||||||
Reg. S, 1.75%, 02/07/2029 | EUR | 100 | 132 | |||||
Reg. S, 2.13%, 06/08/2027 | EUR | 100 | 132 | |||||
Evergy Kansas Central, Inc., 3.45%, 04/15/2050 | 5 | 6 | ||||||
Evergy Metro, Inc., | ||||||||
Series 2020, 2.25%, 06/01/2030 | 10 | 10 | ||||||
Series 2019, 4.13%, 04/01/2049 | 20 | 25 | ||||||
4.20%, 03/15/2048 | 10 | 13 | ||||||
Evergy, Inc., 2.45%, 09/15/2024 | 3,000 | 3,176 | ||||||
Eversource Energy, | ||||||||
3.45%, 01/15/2050 | 30 | 34 | ||||||
Series R, 1.65%, 08/15/2030 | 10 | 10 | ||||||
Exelon Corp., | ||||||||
3.50%, 06/01/2022 | 2,649 | 2,769 | ||||||
4.05%, 04/15/2030 | 10 | 12 | ||||||
4.45%, 04/15/2046 | 10 | 12 | ||||||
FirstEnergy Corp., | ||||||||
Series A, 1.60%, 01/15/2026 | 100 | 99 | ||||||
Series B, 2.25%, 09/01/2030 | 10 | 10 | ||||||
Series C, 3.40%, 03/01/2050 | 40 | 39 | ||||||
FirstEnergy Transmission LLC, 4.35%, 01/15/2025 (e) | 1,100 | 1,226 | ||||||
Florida Power & Light Co., | ||||||||
3.15%, 10/01/2049 | 20 | 23 | ||||||
3.95%, 03/01/2048 | 500 | 632 | ||||||
4.13%, 06/01/2048 | 20 | 26 | ||||||
FLUVIUS System Operator CVBA, (Belgium), Reg. S, 2.88%, 10/09/2023 | EUR | 400 | 508 | |||||
Fortum OYJ, (Finland), | ||||||||
Reg. S, 0.88%, 02/27/2023 | EUR | 170 | 203 | |||||
Reg. S, 2.13%, 02/27/2029 | EUR | 100 | 131 | |||||
Georgia Power Co., Series B, 3.70%, 01/30/2050 | 60 | 67 | ||||||
Hera SpA, (Italy), Reg. S, 2.38%, 07/04/2024 | EUR | 100 | 127 | |||||
Iberdrola International BV, (Netherlands), Reg. S, 0.38%, 09/15/2025 | EUR | 100 | 119 | |||||
Interstate Power and Light Co., 3.50%, 09/30/2049 | 10 | 11 | ||||||
Iren SpA, (Italy), Reg. S, 1.00%, 07/01/2030 | EUR | 100 | 120 | |||||
Kentucky Utilities Co., 3.30%, 06/01/2050 | 15 | 16 | ||||||
MidAmerican Energy Co., | ||||||||
3.10%, 05/01/2027 | 10 | 11 | ||||||
6.75%, 12/30/2031 | 10 | 15 | ||||||
Narragansett Electric Co. (The), 3.40%, 04/09/2030 (e) | 200 | 228 | ||||||
National Rural Utilities Cooperative Finance Corp., | ||||||||
1.35%, 03/15/2031 | 50 | 50 | ||||||
4.30%, 03/15/2049 | 20 | 26 | ||||||
Nevada Power Co., | ||||||||
Series DD, 2.40%, 05/01/2030 | 100 | 107 | ||||||
Series EE, 3.13%, 08/01/2050 | 30 | 32 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Electric continued | ||||||||
NextEra Energy Capital Holdings, Inc., | ||||||||
2.25%, 06/01/2030 | 1,280 | 1,325 | ||||||
2.75%, 11/01/2029 | 35 | 38 | ||||||
Northern States Power Co., 2.60%, 06/01/2051 | 25 | 25 | ||||||
Oglethorpe Power Corp., 5.05%, 10/01/2048 | 20 | 24 | ||||||
Oklahoma Gas and Electric Co., 4.15%, 04/01/2047 | 900 | 1,061 | ||||||
Oncor Electric Delivery Co. LLC, | ||||||||
2.75%, 06/01/2024 | 20 | 21 | ||||||
3.10%, 09/15/2049 | 50 | 55 | ||||||
3.70%, 05/15/2050 | 5 | 6 | ||||||
Orsted A/S, (Denmark), | ||||||||
Reg. S, 5.75%, 04/09/2040 | GBP | 50 | 108 | |||||
Reg. S, (EUR Swap Rate 5 Year + 4.75%), 6.25%, 06/26/3013 (aa) | EUR | 25 | 33 | |||||
Pacific Gas and Electric Co., | ||||||||
1.75%, 06/16/2022 | 50 | 50 | ||||||
3.15%, 01/01/2026 | 20 | 20 | ||||||
3.50%, 08/01/2050 | 20 | 18 | ||||||
3.75%, 07/01/2028 | 10 | 10 | ||||||
4.50%, 07/01/2040 | 100 | 102 | ||||||
4.55%, 07/01/2030 | 10 | 11 | ||||||
4.95%, 07/01/2050 | 10 | 11 | ||||||
PacifiCorp., | ||||||||
3.30%, 03/15/2051 | 800 | 893 | ||||||
4.15%, 02/15/2050 | 15 | 19 | ||||||
PECO Energy Co., 2.80%, 06/15/2050 | 50 | 52 | ||||||
PPL Capital Funding, Inc., | ||||||||
4.13%, 04/15/2030 | 120 | 142 | ||||||
5.00%, 03/15/2044 | 1,000 | 1,247 | ||||||
Public Service Co. of Colorado, Series 36, 2.70%, 01/15/2051 | 10 | 10 | ||||||
Public Service Electric and Gas Co., | ||||||||
2.05%, 08/01/2050 | 10 | 9 | ||||||
2.45%, 01/15/2030 | 20 | 22 | ||||||
3.65%, 09/01/2028 | 120 | 140 | ||||||
3.85%, 05/01/2049 | 10 | 13 | ||||||
Public Service Enterprise Group, Inc., 0.80%, 08/15/2025 | 3,000 | 2,981 | ||||||
Puget Energy, Inc., 4.10%, 06/15/2030 (e) | 10 | 11 | ||||||
Puget Sound Energy, Inc., 3.25%, 09/15/2049 | 20 | 22 | ||||||
Red Electrica Financiaciones SAU, (Spain), Reg. S, 1.13%, 04/24/2025 | EUR | 100 | 124 | |||||
RTE Reseau de Transport dElectricite SADIR, (France), | ||||||||
Reg. S, 1.50%, 09/27/2030 | EUR | 200 | 263 | |||||
Reg. S, 1.63%, 11/27/2025 | EUR | 300 | 380 | |||||
Reg. S, 2.00%, 04/18/2036 | EUR | 100 | 142 | |||||
San Diego Gas & Electric Co., 4.15%, 05/15/2048 | 820 | 993 | ||||||
Sempra Energy, | ||||||||
3.40%, 02/01/2028 | 10 | 11 | ||||||
4.00%, 02/01/2048 | 10 | 11 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Electric continued | ||||||||
Southern California Edison Co., | ||||||||
2.85%, 08/01/2029 | 10 | 11 | ||||||
3.65%, 02/01/2050 | 60 | 62 | ||||||
4.00%, 04/01/2047 | 20 | 21 | ||||||
4.05%, 03/15/2042 | 900 | 971 | ||||||
6.05%, 03/15/2039 | 10 | 13 | ||||||
Series B, 3.65%, 03/01/2028 | 25 | 28 | ||||||
Series D, 3.40%, 06/01/2023 | 1,400 | 1,489 | ||||||
Series E, 3.70%, 08/01/2025 | 10 | 11 | ||||||
Southern Co. (The), Series A, 3.70%, 04/30/2030 | 75 | 86 | ||||||
Southwestern Public Service Co., | ||||||||
Series 8, 3.15%, 05/01/2050 | 60 | 65 | ||||||
3.70%, 08/15/2047 | 1,000 | 1,153 | ||||||
SP Transmission plc, (United Kingdom), Reg. S, 2.00%, 11/13/2031 | GBP | 100 | 138 | |||||
SSE plc, (United Kingdom), Reg. S, 1.75%, 04/16/2030 | EUR | 1,300 | 1,648 | |||||
Stedin Holding NV, (Netherlands), | ||||||||
Reg. S, 0.88%, 10/24/2025 | EUR | 100 | 122 | |||||
Reg. S, (EUR Swap Rate 5 Year + 2.75%), 3.25%, 12/01/2021 (x) (aa) | EUR | 100 | 119 | |||||
Tampa Electric Co., 4.30%, 06/15/2048 | 10 | 13 | ||||||
TenneT Holding BV, (Netherlands), | ||||||||
Reg. S, 0.88%, 06/03/2030 | EUR | 120 | 150 | |||||
Reg. S, 1.00%, 06/13/2026 | EUR | 200 | 247 | |||||
Terna Rete Elettrica Nazionale SpA, (Italy), | ||||||||
Reg. S, 0.38%, 09/25/2030 | EUR | 100 | 117 | |||||
Reg. S, 0.75%, 07/24/2032 | EUR | 100 | 119 | |||||
Tucson Electric Power Co., | ||||||||
1.50%, 08/01/2030 | 30 | 30 | ||||||
4.00%, 06/15/2050 | 10 | 12 | ||||||
Union Electric Co., 3.25%, 10/01/2049 | 40 | 45 | ||||||
Virginia Electric and Power Co., | ||||||||
3.30%, 12/01/2049 | 50 | 58 | ||||||
Series B, 3.80%, 09/15/2047 | 35 | 42 | ||||||
Vistra Operations Co. LLC, 3.55%, 07/15/2024 (e) | 1,400 | 1,491 | ||||||
WEC Energy Group, Inc., 3.55%, 06/15/2025 | 200 | 224 | ||||||
Western Power Distribution South West plc, (United Kingdom), Reg. S, 5.88%, 03/25/2027 | GBP | 20 | 33 | |||||
Wisconsin Power and Light Co., 3.00%, 07/01/2029 | 50 | 56 | ||||||
Wisconsin Public Service Corp., 3.30%, 09/01/2049 | 5 | 6 | ||||||
Xcel Energy, Inc., | ||||||||
3.40%, 06/01/2030 | 20 | 23 | ||||||
3.50%, 12/01/2049 | 20 | 22 | ||||||
|
| |||||||
61,339 | ||||||||
|
| |||||||
Gas 0.5% | ||||||||
APT Pipelines Ltd., (Australia), | ||||||||
Reg. S, 2.00%, 07/15/2030 | EUR | 1,000 | 1,269 | |||||
Reg. S, 3.50%, 03/22/2030 | GBP | 100 | 145 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Gas continued | ||||||||
Atmos Energy Corp., | ||||||||
1.50%, 01/15/2031 | 1,630 | 1,623 | ||||||
2.63%, 09/15/2029 | 15 | 17 | ||||||
3.38%, 09/15/2049 | 210 | 238 | ||||||
4.15%, 01/15/2043 | 10 | 13 | ||||||
CenterPoint Energy Resources Corp., 3.55%, 04/01/2023 | 1,300 | 1,393 | ||||||
Italgas SpA, (Italy), | ||||||||
Reg. S, 1.00%, 12/11/2031 | EUR | 100 | 124 | |||||
Reg. S, 1.13%, 03/14/2024 | EUR | 100 | 121 | |||||
National Grid Gas plc, (United Kingdom), Reg. S, 1.38%, 02/07/2031 | GBP | 1,600 | 2,099 | |||||
Nederlandse Gasunie NV, (Netherlands), Reg. S, 2.63%, 07/13/2022 | EUR | 100 | 123 | |||||
NiSource, Inc., | ||||||||
0.95%, 08/15/2025 | 3,000 | 2,997 | ||||||
3.49%, 05/15/2027 | 130 | 145 | ||||||
3.60%, 05/01/2030 | 25 | 28 | ||||||
4.80%, 02/15/2044 | 10 | 13 | ||||||
Piedmont Natural Gas Co., Inc., 3.35%, 06/01/2050 | 15 | 16 | ||||||
Redexis Gas Finance BV, (Netherlands), Reg. S, 1.88%, 05/28/2025 | EUR | 1,300 | 1,592 | |||||
Snam SpA, (Italy), Reg. S, 0.88%, 10/25/2026 | EUR | 100 | 122 | |||||
Southern California Gas Co., | ||||||||
Series VV, 4.30%, 01/15/2049 | 20 | 26 | ||||||
Series XX, 2.55%, 02/01/2030 | 25 | 27 | ||||||
Southern Co. Gas Capital Corp., | ||||||||
Series 20-A, 1.75%, 01/15/2031 | 3,700 | 3,654 | ||||||
3.95%, 10/01/2046 | 20 | 22 | ||||||
Southwest Gas Corp., | ||||||||
2.20%, 06/15/2030 | 45 | 47 | ||||||
4.15%, 06/01/2049 | 10 | 12 | ||||||
Washington Gas Light Co., 3.65%, 09/15/2049 | 10 | 11 | ||||||
|
| |||||||
15,877 | ||||||||
|
| |||||||
Water 0.1% | ||||||||
Affinity Water Finance plc, (United Kingdom), 5.88%, 07/13/2026 | GBP | 30 | 49 | |||||
American Water Capital Corp., | ||||||||
2.80%, 05/01/2030 | 25 | 27 | ||||||
4.15%, 06/01/2049 | 35 | 44 | ||||||
Essential Utilities, Inc., 2.70%, 04/15/2030 | 40 | 43 | ||||||
Northumbrian Water Finance plc, (United Kingdom), Reg. S, 5.63%, 04/29/2033 | GBP | 50 | 95 | |||||
Thames Water Utilities Finance plc, (United Kingdom), | ||||||||
Reg. S, 2.38%, 04/22/2040 | GBP | 300 | 399 | |||||
6.75%, 11/16/2028 | GBP | 30 | 54 | |||||
United Utilities Water Finance plc, (United Kingdom), Reg. S, 2.00%, 07/03/2033 | GBP | 900 | 1,260 | |||||
Wessex Water Services Finance plc, (United Kingdom), | ||||||||
Reg. S, 1.50%, 09/17/2029 | GBP | 700 | 917 | |||||
5.38%, 03/10/2028 | GBP | 50 | 83 | |||||
|
| |||||||
2,971 | ||||||||
|
| |||||||
Total Utilities | 80,187 | |||||||
|
| |||||||
Total Corporate Bonds (Cost $776,764) | 767,973 | |||||||
|
|
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities 39.5% | ||||||||
Action Logement Services, (France), Reg. S, 0.50%, 10/30/2034 | EUR | 100 | 121 | |||||
Adif Alta Velocidad, (Spain), | ||||||||
Reg. S, 0.55%, 04/30/2030 | EUR | 200 | 238 | |||||
Reg. S, 1.88%, 09/22/2022 | EUR | 600 | 733 | |||||
Reg. S, 1.88%, 01/28/2025 | EUR | 100 | 127 | |||||
Agence Francaise de Developpement EPIC, (France), | ||||||||
Reg. S, 0.00%, 03/25/2025 | EUR | 200 | 238 | |||||
Reg. S, 0.25%, 07/21/2026 | EUR | 500 | 604 | |||||
Reg. S, 0.25%, 06/29/2029 | EUR | 400 | 483 | |||||
Reg. S, 0.38%, 04/30/2024 | EUR | 400 | 481 | |||||
Reg. S, 0.50%, 05/25/2030 | EUR | 200 | 246 | |||||
Reg. S, 0.50%, 05/31/2035 | EUR | 300 | 365 | |||||
Reg. S, 1.38%, 09/17/2024 | EUR | 500 | 626 | |||||
Reg. S, 1.50%, 10/31/2034 | EUR | 100 | 137 | |||||
Agence France Locale, (France), | ||||||||
Reg. S, 0.00%, 09/20/2027 | EUR | 500 | 592 | |||||
Reg. S, 0.13%, 06/20/2026 | EUR | 100 | 119 | |||||
Agricultural Development Bank of China, (China), | ||||||||
Series 2002, 2.20%, 04/01/2023 | CNY | 11,200 | 1,602 | |||||
2.25%, 03/12/2022 | CNY | 12,000 | 1,740 | |||||
Series 2005, 2.25%, 04/22/2025 | CNY | 2,700 | 375 | |||||
Series 2004, 2.96%, 04/17/2030 | CNY | 19,000 | 2,598 | |||||
Series 2007, 3.06%, 08/05/2023 | CNY | 10,000 | 1,460 | |||||
Series 1907, 3.12%, 07/17/2022 | CNY | 10,000 | 1,466 | |||||
Series 1909, 3.24%, 08/14/2024 | CNY | 3,000 | 437 | |||||
Series 1605, 3.33%, 01/06/2026 | CNY | 17,000 | 2,461 | |||||
Reg. S, 3.40%, 11/06/2024 | CNH | 56,000 | 8,365 | |||||
Series 1813, 3.55%, 11/21/2023 | CNY | 600 | 89 | |||||
Series 1908, 3.63%, 07/19/2026 | CNY | 35,300 | 5,183 | |||||
Series 1512, 4.18%, 05/04/2022 | CNY | 8,000 | 1,192 | |||||
Series 1806, 4.65%, 05/11/2028 | CNY | 8,100 | 1,263 | |||||
Auckland Council, (New Zealand), | ||||||||
Reg. S, 1.00%, 01/19/2027 | EUR | 300 | 375 | |||||
Reg. S, 1.50%, 11/28/2025 | CHF | 300 | 357 | |||||
Australia Government Bond, (Australia), | ||||||||
Series 159, Reg. S, 0.25%, 11/21/2024 | AUD | 3,683 | 2,638 | |||||
Series 161, Reg. S, 0.25%, 11/21/2025 | AUD | 2,100 | 1,496 | |||||
Series 160, Reg. S, 1.00%, 12/21/2030 | AUD | 2,250 | 1,637 | |||||
Series 162, Reg. S, 1.75%, 06/21/2051 | AUD | 450 | 324 | |||||
Series 151, Reg. S, 2.00%, 12/21/2021 | AUD | 533 | 391 | |||||
Series 153, 2.25%, 11/21/2022 | AUD | 1,000 | 748 | |||||
Series 149, Reg. S, 2.25%, 05/21/2028 | AUD | 200 | 161 | |||||
Series 155, Reg. S, 2.50%, 05/21/2030 | AUD | 2,750 | 2,282 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Series 148, Reg. S, 2.75%, 11/21/2027 | AUD | 3,250 | 2,683 | |||||
Series 154, Reg. S, 2.75%, 11/21/2029 | AUD | 5,000 | 4,211 | |||||
Series 145, Reg. S, 2.75%, 06/21/2035 | AUD | 450 | 393 | |||||
Series 156, Reg. S, 2.75%, 05/21/2041 | AUD | 1,081 | 946 | |||||
Series 150, Reg. S, 3.00%, 03/21/2047 | AUD | 580 | 537 | |||||
Series 139, Reg. S, 3.25%, 04/21/2025 | AUD | 1,475 | 1,198 | |||||
Series 138, Reg. S, 3.25%, 04/21/2029 | AUD | 365 | 316 | |||||
Series 144, Reg. S, 3.75%, 04/21/2037 | AUD | 950 | 934 | |||||
Series 128, Reg. S, 5.75%, 07/15/2022 | AUD | 2,500 | 1,969 | |||||
Australian Capital Territory, (Australia), Reg. S, 1.25%, 05/22/2025 | AUD | 200 | 148 | |||||
Autobahnen- und Schnell- strassen-Finanzierungs AG, (Austria), | ||||||||
Reg. S, 0.10%, 07/09/2029 | EUR | 500 | 604 | |||||
Reg. S, 0.63%, 09/15/2022 | EUR | 160 | 192 | |||||
Reg. S, 2.75%, 06/20/2033 | EUR | 130 | 206 | |||||
Autonomous Community of Andalusia Spain, (Spain), Reg. S, 1.38%, 04/30/2029 | EUR | 30 | 38 | |||||
Autonomous Community of Madrid Spain, (Spain), | ||||||||
Reg. S, 1.19%, 05/08/2022 | EUR | 600 | 720 | |||||
Reg. S, 1.83%, 04/30/2025 | EUR | 270 | 344 | |||||
4.30%, 09/15/2026 | EUR | 500 | 736 | |||||
Basque Government, (Spain), | ||||||||
Reg. S, 0.85%, 04/30/2030 | EUR | 50 | 62 | |||||
Reg. S, 1.75%, 03/16/2026 | EUR | 170 | 219 | |||||
Bermuda Government International Bond, (Bermuda), 2.38%, 08/20/2030 (e) | 670 | 678 | ||||||
BNG Bank NV, (Netherlands), | ||||||||
Reg. S, 0.10%, 01/15/2030 | EUR | 320 | 386 | |||||
Reg. S, 0.13%, 04/11/2026 | EUR | 530 | 638 | |||||
Reg. S, 0.13%, 07/09/2035 | EUR | 130 | 155 | |||||
Reg. S, 0.20%, 11/09/2024 | EUR | 550 | 662 | |||||
Reg. S, 0.38%, 01/14/2022 | EUR | 200 | 237 | |||||
Reg. S, 0.88%, 10/17/2035 | EUR | 100 | 132 | |||||
Reg. S, 1.50%, 07/15/2039 | EUR | 170 | 247 | |||||
Reg. S, 3.88%, 05/26/2023 | EUR | 470 | 615 | |||||
Bonos de la Tesoreria de la Republica en pesos, (Chile), Reg. S, 4.70%, 09/01/2030 (e) | CLP | 70,000 | 105 | |||||
Bpifrance Financement SA, (France), | ||||||||
Reg. S, 0.13%, 11/25/2023 | EUR | 300 | 357 | |||||
Reg. S, 0.13%, 03/25/2025 | EUR | 400 | 478 | |||||
Reg. S, 0.25%, 03/29/2030 | EUR | 200 | 240 | |||||
Reg. S, 0.63%, 05/25/2026 | EUR | 500 | 616 | |||||
Reg. S, 0.75%, 07/22/2022 | GBP | 200 | 260 | |||||
Reg. S, 0.88%, 09/26/2028 | EUR | 200 | 254 | |||||
Reg. S, 1.00%, 05/25/2027 | EUR | 500 | 632 | |||||
Reg. S, 2.38%, 04/25/2022 | EUR | 300 | 367 | |||||
Bundesobligation, (Germany), | ||||||||
Series 176, Reg. S, 0.00%, 10/07/2022 | EUR | 1,550 | 1,843 | |||||
Series 178, Reg. S, 0.00%, 10/13/2023 | EUR | 1,780 | 2,135 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Series 179, Reg. S, 0.00%, 04/05/2024 | EUR | 79 | 95 | |||||
Series 180, Reg. S, 0.00%, 10/18/2024 | EUR | 680 | 821 | |||||
Series 181, Reg. S, 0.00%, 04/11/2025 | EUR | 930 | 1,127 | |||||
Series 182, Reg. S, 0.00%, 10/10/2025 | EUR | 5,860 | 7,121 | |||||
Bundesrepublik Deutschland Bundesanleihe, (Germany), | ||||||||
Reg. S, 0.00%, 08/15/2026 | EUR | 2,070 | 2,531 | |||||
Reg. S, 0.00%, 11/15/2027 | EUR | 940 | 1,155 | |||||
Reg. S, 0.00%, 08/15/2029 | EUR | 1,540 | 1,901 | |||||
Reg. S, 0.00%, 02/15/2030 | EUR | 890 | 1,099 | |||||
Reg. S, 0.00%, 08/15/2030 | EUR | 2,385 | 2,946 | |||||
Reg. S, 0.00%, 05/15/2035 | EUR | 2,165 | 2,660 | |||||
Reg. S, 0.00%, 08/15/2050 | EUR | 780 | 940 | |||||
Reg. S, 0.25%, 02/15/2027 | EUR | 2,400 | 2,988 | |||||
Reg. S, 0.25%, 08/15/2028 | EUR | 43 | 54 | |||||
Reg. S, 0.25%, 02/15/2029 | EUR | 210 | 265 | |||||
Reg. S, 0.50%, 02/15/2025 | EUR | 227 | 281 | |||||
Reg. S, 0.50%, 02/15/2026 | EUR | 140 | 175 | |||||
Reg. S, 0.50%, 08/15/2027 | EUR | 2,160 | 2,743 | |||||
Reg. S, 0.50%, 02/15/2028 | EUR | 230 | 293 | |||||
Reg. S, 1.00%, 08/15/2024 | EUR | 250 | 313 | |||||
Reg. S, 1.00%, 08/15/2025 | EUR | 1,130 | 1,439 | |||||
Reg. S, 1.25%, 08/15/2048 | EUR | 1,050 | 1,708 | |||||
Reg. S, 1.50%, 02/15/2023 | EUR | 2,750 | 3,397 | |||||
Reg. S, 1.50%, 05/15/2023 | EUR | 3,510 | 4,358 | |||||
Reg. S, 1.75%, 07/04/2022 | EUR | 330 | 404 | |||||
Reg. S, 2.00%, 01/04/2022 | EUR | 3,416 | 4,143 | |||||
Reg. S, 2.00%, 08/15/2023 | EUR | 3,450 | 4,367 | |||||
Reg. S, 2.50%, 07/04/2044 | EUR | 1,570 | 3,053 | |||||
Reg. S, 2.50%, 08/15/2046 | EUR | 2,165 | 4,318 | |||||
Reg. S, 3.25%, 07/04/2042 | EUR | 610 | 1,275 | |||||
Series 5, Reg. S, 4.00%, 01/04/2037 | EUR | 1,037 | 2,103 | |||||
Series 2007, Reg. S, 4.25%, 07/04/2039 | EUR | 1,070 | 2,360 | |||||
Series 98, Reg. S, 4.75%, 07/04/2028 | EUR | 1,060 | 1,778 | |||||
Series 3, Reg. S, 4.75%, 07/04/2034 | EUR | 1,050 | 2,136 | |||||
Series 8, Reg. S, 4.75%, 07/04/2040 | EUR | 900 | 2,140 | |||||
Reg. S, 5.50%, 01/04/2031 | EUR | 1,220 | 2,344 | |||||
Series 98, Reg. S, 5.63%, 01/04/2028 | EUR | 12 | 21 | |||||
Reg. S, 6.25%, 01/04/2030 | EUR | 775 | 1,502 | |||||
Series 97, Reg. S, 6.50%, 07/04/2027 | EUR | 1,410 | 2,478 | |||||
Bundesschatzanweisungen, (Germany), | ||||||||
Reg. S, 0.00%, 03/11/2022 | EUR | 400 | 474 | |||||
Reg. S, 0.00%, 06/10/2022 | EUR | 2,050 | 2,431 | |||||
Caisse dAmortissement de la Dette Sociale, (France), | ||||||||
Reg. S, 0.00%, 11/25/2030 | EUR | 300 | 355 | |||||
Reg. S, 0.13%, 11/25/2022 | EUR | 300 | 356 | |||||
Reg. S, 0.13%, 10/25/2023 | EUR | 1,800 | 2,149 | |||||
Reg. S, 4.00%, 12/15/2025 | EUR | 316 | 456 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Caisse des Depots et Consignations, (France), Reg. S, 0.00%, 06/19/2024 | EUR | 300 | 358 | |||||
Caisse Francaise de Financement Local, (France), | ||||||||
Reg. S, 0.01%, 05/07/2025 | EUR | 100 | 120 | |||||
Series 12, Reg. S, 0.63%, 01/26/2023 | EUR | 200 | 240 | |||||
Reg. S, 1.25%, 05/11/2032 | EUR | 100 | 136 | |||||
Reg. S, 1.50%, 06/28/2038 | EUR | 200 | 293 | |||||
Canada Housing Trust No. 1, (Canada), Series MAR, 0.95%, 06/15/2025 (e) | CAD | 1,000 | 765 | |||||
Canadian Government Bond, (Canada), | ||||||||
1.00%, 06/01/2027 | CAD | 200 | 156 | |||||
1.25%, 06/01/2030 | CAD | 600 | 480 | |||||
3.50%, 12/01/2045 | CAD | 1,500 | 1,735 | |||||
4.00%, 06/01/2041 | CAD | 150 | 177 | |||||
Canton of Geneva Switzerland, (Switzerland), Reg. S, 0.02%, 11/27/2024 | CHF | 240 | 264 | |||||
Canton of Zurich, (Switzerland), Reg. S, 0.10%, 06/23/2045 | CHF | 50 | 56 | |||||
Cassa Depositi e Prestiti SpA, (Italy), | ||||||||
Reg. S, 0.75%, 11/21/2022 | EUR | 600 | 713 | |||||
Reg. S, 2.00%, 04/20/2027 | EUR | 100 | 126 | |||||
Reg. S, 2.13%, 09/27/2023 | EUR | 200 | 248 | |||||
Chile Government International Bond, (Chile), 3.24%, 02/06/2028 | 200 | 222 | ||||||
China Development Bank, (China), | ||||||||
Reg. S, 0.88%, 01/24/2024 | EUR | 100 | 120 | |||||
Series 1914, 2.97%, 10/25/2022 | CNY | 27,000 | 3,946 | |||||
Series 1907, 3.18%, 05/17/2022 | CNY | 200 | 29 | |||||
Series 1610, 3.18%, 04/05/2026 | CNY | 24,000 | 3,441 | |||||
Series 1903, 3.30%, 02/01/2024 | CNY | 20,000 | 2,923 | |||||
Series 1908, 3.42%, 07/02/2024 | CNY | 21,000 | 3,077 | |||||
Series 1915, 3.45%, 09/20/2029 | CNY | 17,000 | 2,434 | |||||
Series 1905, 3.48%, 01/08/2029 | CNY | 51,000 | 7,331 | |||||
Series 1910, 3.65%, 05/21/2029 | CNY | 900 | 131 | |||||
Series 1518, 3.74%, 09/10/2025 | CNY | 18,000 | 2,662 | |||||
Series 1811, 3.76%, 08/14/2023 | CNY | 11,000 | 1,634 | |||||
Series 1706, 4.02%, 04/17/2022 | CNY | 22,000 | 3,272 | |||||
Series 1810, 4.04%, 07/06/2028 | CNY | 17,000 | 2,543 | |||||
Reg. S, 4.35%, 08/06/2024 | CNH | 5,000 | 771 | |||||
Reg. S, 4.35%, 09/19/2024 | CNH | 1,000 | 154 | |||||
Series 1806, 4.73%, 04/02/2025 | CNY | 10,230 | 1,574 | |||||
Series 1805, 4.88%, 02/09/2028 | CNY | 17,000 | 2,683 | |||||
China Government Bond, (China), | ||||||||
1.99%, 04/09/2025 | CNY | 55,000 | 7,730 | |||||
2.20%, 02/13/2022 | CNY | 15,700 | 2,289 | |||||
2.36%, 07/02/2023 | CNY | 57,500 | 8,324 | |||||
2.64%, 08/13/2022 | CNY | 20,000 | 2,928 | |||||
Series 1903, 2.69%, 03/07/2022 | CNY | 10,000 | 1,468 | |||||
Series 1911, 2.75%, 08/08/2022 | CNY | 18,000 | 2,641 | |||||
2.85%, 06/04/2027 | CNY | 46,000 | 6,606 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Series 1913, 2.94%, 10/17/2024 | CNY | 10,000 | 1,469 | |||||
Series 1916, 3.12%, 12/05/2026 | CNY | 15,000 | 2,205 | |||||
Series 1809, 3.17%, 04/19/2023 | CNY | 17,000 | 2,518 | |||||
Series 1907, 3.25%, 06/06/2026 | CNY | 15,700 | 2,329 | |||||
Series 1827, 3.25%, 11/22/2028 | CNY | 43,100 | 6,360 | |||||
Series 1906, 3.29%, 05/23/2029 | CNY | 10,000 | 1,478 | |||||
Reg. S, 3.30%, 07/04/2023 | CNH | 2,000 | 300 | |||||
Reg. S, 3.31%, 11/30/2025 | CNH | 1,500 | 228 | |||||
Reg. S, 3.38%, 11/21/2024 | CNH | 3,000 | 455 | |||||
Reg. S, 3.38%, 07/04/2026 | CNH | 23,500 | 3,589 | |||||
3.39%, 03/16/2050 | CNY | 41,000 | 5,515 | |||||
Series 1819, 3.54%, 08/16/2028 | CNY | 500 | 76 | |||||
Reg. S, 3.60%, 06/27/2028 | CNH | 8,500 | 1,322 | |||||
Reg. S, 3.60%, 05/21/2030 | CNH | 7,000 | 1,092 | |||||
3.73%, 05/25/2070 | CNY | 16,100 | 2,228 | |||||
Reg. S, 3.85%, 12/12/2026 | CNH | 9,000 | 1,413 | |||||
Series 1910, 3.86%, 07/22/2049 | CNY | 2,500 | 367 | |||||
Reg. S, 4.00%, 05/22/2024 | CNH | 8,500 | 1,311 | |||||
Reg. S, 4.00%, 11/30/2035 | CNH | 6,500 | 1,067 | |||||
Series 1908, 4.00%, 06/24/2069 | CNY | 5,000 | 734 | |||||
Series 1824, 4.08%, 10/22/2048 | CNY | 22,100 | 3,378 | |||||
Reg. S, 4.15%, 12/04/2027 | CNH | 15,000 | 2,411 | |||||
Reg. S, 4.40%, 12/12/2046 | CNH | 25,000 | 4,216 | |||||
China Government International Bond, (China), Reg. S, 0.50%, 11/12/2031 | EUR | 100 | 115 | |||||
City of Milan Italy, (Italy), 4.02%, 06/29/2035 | EUR | 40 | 62 | |||||
City of Montreal Canada, (Canada), 2.30%, 09/01/2029 | CAD | 600 | 490 | |||||
City of Paris France, (France), Reg. S, 1.75%, 05/25/2031 | EUR | 200 | 276 | |||||
City of Toronto Canada, (Canada), | ||||||||
2.95%, 04/28/2035 | CAD | 200 | 171 | |||||
3.50%, 06/02/2036 | CAD | 300 | 273 | |||||
Colombia Government International Bond, (Colombia), 3.00%, 01/30/2030 | 200 | 205 | ||||||
Corp. de Reservas Estrategicas de Productos Petroliferos Cores, (Spain), Reg. S, 1.50%, 11/27/2022 | EUR | 600 | 730 | |||||
CPPIB Capital, Inc., (Canada), | ||||||||
Reg. S, 0.25%, 04/06/2027 | EUR | 300 | 361 | |||||
Reg. S, 0.38%, 06/20/2024 | EUR | 300 | 361 | |||||
Cyprus Government International Bond, (Cyprus), | ||||||||
Reg. S, 0.63%, 01/21/2030 | EUR | 235 | 276 | |||||
Reg. S, 1.25%, 01/21/2040 | EUR | 720 | 860 | |||||
Reg. S, 2.25%, 04/16/2050 | EUR | 10 | 14 | |||||
Czech Republic Government Bond, (Czech Republic), | ||||||||
Series 100, 0.25%, 02/10/2027 | CZK | 10,380 | 438 | |||||
Series 97, Reg. S, 0.45%, 10/25/2023 | CZK | 12,000 | 523 | |||||
Series 95, Reg. S, 1.00%, 06/26/2026 | CZK | 500 | 22 | |||||
Series 121, 1.20%, 03/13/2031 | CZK | 4,970 | 221 | |||||
Series 103, 2.00%, 10/13/2033 | CZK | 60 | 3 | |||||
Series 89, Reg. S, 2.40%, 09/17/2025 | CZK | 16,910 | 801 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Series 78, Reg. S, 2.50%, 08/25/2028 | CZK | 7,890 | 387 | |||||
Series 105, 2.75%, 07/23/2029 | CZK | 11,450 | 579 | |||||
Series 49, Reg. S, 4.20%, 12/04/2036 | CZK | 5,390 | 343 | |||||
Series 58, Reg. S, 5.70%, 05/25/2024 | CZK | 140 | 7 | |||||
Denmark Government Bond, (Denmark), | ||||||||
Series 3Y, Reg. S, 0.25%, 11/15/2022 (e) | DKK | 5,100 | 818 | |||||
Series 30Y, Reg. S, 0.25%, 11/15/2052 (e) | DKK | 1,460 | 245 | |||||
Series 10Y, 0.50%, 11/15/2027 | DKK | 4,540 | 767 | |||||
Series 10YR, Reg. S, 0.50%, 11/15/2029 (e) | DKK | 6,935 | 1,184 | |||||
1.50%, 11/15/2023 | DKK | 3,960 | 665 | |||||
3.00%, 11/15/2021 | DKK | 87 | 14 | |||||
4.50%, 11/15/2039 | DKK | 5,610 | 1,680 | |||||
7.00%, 11/10/2024 | DKK | 1,470 | 305 | |||||
Development Bank of Japan, Inc., (Japan), | ||||||||
Series 86, 0.24%, 10/13/2027 | JPY | 100,000 | 955 | |||||
Reg. S, 1.13%, 04/28/2023 | GBP | 600 | 786 | |||||
Estonia Government International Bond, (Estonia), Reg. S, 0.13%, 06/10/2030 | EUR | 200 | 238 | |||||
Export-Import Bank of China (The), (China), | ||||||||
Series 2002, 2.05%, 04/07/2022 | CNY | 20,000 | 2,890 | |||||
Series 2003, 2.17%, 04/07/2023 | CNY | 1,500 | 214 | |||||
Series 2005, 2.93%, 03/02/2025 | CNY | 18,600 | 2,663 | |||||
Series 1908, 3.23%, 11/04/2022 | CNY | 8,000 | 1,174 | |||||
Series 2010, 3.23%, 03/23/2030 | CNY | 15,500 | 2,169 | |||||
Series 1905, 3.28%, 02/11/2024 | CNY | 13,000 | 1,898 | |||||
Series 1603, 3.33%, 02/22/2026 | CNY | 100 | 14 | |||||
Series 1910, 3.86%, 05/20/2029 | CNY | 3,000 | 441 | |||||
Series 1703, 4.11%, 03/20/2027 | CNY | 10,000 | 1,505 | |||||
Export-Import Bank of Korea, (South Korea), Reg. S, 8.00%, 05/15/2024 | IDR | 400,000 | 28 | |||||
Federal Judiciary Office Building Trust, Zero Coupon, 02/15/2024 | 100 | 97 | ||||||
Finland Government Bond, (Finland), | ||||||||
Series 5Y, Reg. S, 0.00%, 04/15/2022 (e) | EUR | 6 | 7 | |||||
Reg. S, 0.00%, 09/15/2023 (e) | EUR | 330 | 395 | |||||
Reg. S, 0.13%, 04/15/2036 (e) | EUR | 120 | 146 | |||||
Reg. S, 0.25%, 09/15/2040 (e) | EUR | 220 | 271 | |||||
Reg. S, 0.50%, 04/15/2026 (e) | EUR | 820 | 1,020 | |||||
Reg. S, 0.50%, 09/15/2027 (e) | EUR | 280 | 352 | |||||
Reg. S, 0.50%, 09/15/2029 (e) | EUR | 610 | 774 | |||||
Reg. S, 0.75%, 04/15/2031 (e) | EUR | 10 | 13 | |||||
Reg. S, 0.88%, 09/15/2025 (e) | EUR | 430 | 542 | |||||
Reg. S, 1.13%, 04/15/2034 (e) | EUR | 360 | 498 | |||||
Series 30Y, Reg. S, 1.38%, 04/15/2047 (e) | EUR | 270 | 427 | |||||
Reg. S, 1.50%, 04/15/2023 (e) | EUR | 830 | 1,027 | |||||
Reg. S, 2.00%, 04/15/2024 (e) | EUR | 250 | 321 | |||||
Reg. S, 2.63%, 07/04/2042 (e) | EUR | 170 | 314 | |||||
Finnvera OYJ, (Finland), | ||||||||
Reg. S, 0.38%, 04/09/2029 | EUR | 100 | 124 | |||||
Reg. S, 0.75%, 08/07/2028 | EUR | 100 | 127 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Fondo De Titulizacion Del Deficit Del Sistema Electrico FTA, (Spain), | ||||||||
Reg. S, 0.01%, 09/17/2025 | EUR | 100 | 118 | |||||
Reg. S, 0.85%, 12/17/2023 | EUR | 600 | 728 | |||||
Free and Hanseatic City of Hamburg, (Germany), | ||||||||
Reg. S, 0.00%, 04/07/2026 | EUR | 280 | 337 | |||||
Reg. S, 0.01%, 06/30/2028 | EUR | 180 | 217 | |||||
Reg. S, 0.20%, 09/03/2049 | EUR | 70 | 81 | |||||
French Republic Government Bond OAT, (France), | ||||||||
Reg. S, 0.00%, 11/25/2029 | EUR | 2,540 | 3,066 | |||||
Reg. S, 0.00%, 02/25/2022 | EUR | 2,460 | 2,911 | |||||
Reg. S, 0.00%, 05/25/2022 | EUR | 2,260 | 2,678 | |||||
Reg. S, 0.00%, 02/25/2023 | EUR | 1,600 | 1,905 | |||||
Reg. S, 0.00%, 03/25/2023 | EUR | 2,530 | 3,014 | |||||
Reg. S, 0.00%, 03/25/2024 | EUR | 1,300 | 1,558 | |||||
Reg. S, 0.00%, 03/25/2025 | EUR | 3,340 | 4,024 | |||||
Reg. S, 0.00%, 11/25/2030 | EUR | 1,530 | 1,839 | |||||
Reg. S, 0.25%, 11/25/2026 | EUR | 2,730 | 3,354 | |||||
Reg. S, 0.50%, 05/25/2025 | EUR | 3,140 | 3,873 | |||||
Reg. S, 0.50%, 05/25/2026 | EUR | 28 | 35 | |||||
Reg. S, 0.50%, 05/25/2029 | EUR | 1,920 | 2,421 | |||||
Reg. S, 0.50%, 05/25/2040 (e) | EUR | 1,990 | 2,478 | |||||
Reg. S, 0.75%, 05/25/2028 | EUR | 1,140 | 1,459 | |||||
Reg. S, 0.75%, 11/25/2028 | EUR | 1,140 | 1,464 | |||||
Reg. S, 0.75%, 05/25/2052 (e) | EUR | 2,230 | 2,856 | |||||
Reg. S, 1.00%, 11/25/2025 | EUR | 470 | 597 | |||||
Reg. S, 1.00%, 05/25/2027 | EUR | 2,430 | 3,136 | |||||
Reg. S, 1.25%, 05/25/2034 | EUR | 1,580 | 2,189 | |||||
Reg. S, 1.25%, 05/25/2036 (e) | EUR | 1,350 | 1,889 | |||||
Reg. S, 1.50%, 05/25/2031 | EUR | 810 | 1,127 | |||||
Reg. S, 1.50%, 05/25/2050 (e) | EUR | 1,110 | 1,706 | |||||
Reg. S, 1.75%, 05/25/2023 | EUR | 2,600 | 3,244 | |||||
Reg. S, 1.75%, 11/25/2024 | EUR | 2,930 | 3,778 | |||||
Reg. S, 1.75%, 06/25/2039 (e) | EUR | 1,060 | 1,623 | |||||
Reg. S, 1.75%, 05/25/2066 (e) | EUR | 810 | 1,429 | |||||
Reg. S, 2.00%, 05/25/2048 (e) | EUR | 1,060 | 1,787 | |||||
Reg. S, 2.25%, 10/25/2022 | EUR | 900 | 1,119 | |||||
Reg. S, 2.25%, 05/25/2024 | EUR | 300 | 389 | |||||
Reg. S, 2.50%, 05/25/2030 | EUR | 4,830 | 7,218 | |||||
Reg. S, 2.75%, 10/25/2027 | EUR | 2,310 | 3,339 | |||||
Reg. S, 3.00%, 04/25/2022 | EUR | 720 | 892 | |||||
Reg. S, 3.25%, 10/25/2021 | EUR | 2,545 | 3,108 | |||||
Reg. S, 3.25%, 05/25/2045 | EUR | 1,290 | 2,582 | |||||
Reg. S, 3.50%, 04/25/2026 | EUR | 36 | 52 | |||||
Reg. S, 4.00%, 10/25/2038 | EUR | 1,070 | 2,143 | |||||
Reg. S, 4.00%, 04/25/2055 (e) | EUR | 790 | 1,985 | |||||
Reg. S, 4.00%, 04/25/2060 | EUR | 590 | 1,568 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Reg. S, 4.25%, 10/25/2023 | EUR | 760 | 1,027 | |||||
Reg. S, 4.50%, 04/25/2041 | EUR | 1,460 | 3,217 | |||||
Reg. S, 4.75%, 04/25/2035 | EUR | 1,620 | 3,242 | |||||
Reg. S, 5.50%, 04/25/2029 | EUR | 1,830 | 3,247 | |||||
Reg. S, 5.75%, 10/25/2032 | EUR | 1,083 | 2,192 | |||||
Reg. S, 6.00%, 10/25/2025 | EUR | 2,400 | 3,773 | |||||
Reg. S, 8.50%, 04/25/2023 | EUR | 1,220 | 1,770 | |||||
Gemeinsame Deutsche Bundeslaender, (Germany), | ||||||||
Series 58, Reg. S, 0.00%, 02/19/2027 | EUR | 220 | 265 | |||||
Series 46, Reg. S, 1.13%, 09/30/2024 | EUR | 720 | 900 | |||||
Hong Kong Government Bond Programme, (Hong Kong), 1.97%, 01/17/2029 | HKD | 1,300 | 189 | |||||
Housing & Development Board, (Singapore), | ||||||||
Reg. S, 1.76%, 02/24/2027 | SGD | 250 | 193 | |||||
2.09%, 08/30/2022 | SGD | 500 | 378 | |||||
Hungary Government Bond, (Hungary), | ||||||||
Series 24/C, 2.50%, 10/24/2024 | HUF | 281,740 | 947 | |||||
Series 27/A, 3.00%, 10/27/2027 | HUF | 194,780 | 673 | |||||
Series 30/A, 3.00%, 08/21/2030 | HUF | 57,080 | 197 | |||||
Series 28/A, 6.75%, 10/22/2028 | HUF | 25,000 | 109 | |||||
Hydro-Quebec, (Canada), | ||||||||
6.00%, 02/15/2040 | CAD | 300 | 372 | |||||
SUB, 8.40%, 03/28/2025 | 200 | 267 | ||||||
9.40%, 02/01/2021 | 12 | 13 | ||||||
Indonesia Government International Bond, (Indonesia), | ||||||||
0.90%, 02/14/2027 | EUR | 1,600 | 1,833 | |||||
Reg. S, 2.15%, 07/18/2024 | EUR | 100 | 123 | |||||
4.45%, 02/11/2024 | 200 | 221 | ||||||
Indonesia Treasury Bond, (Indonesia), | ||||||||
Series FR81, 6.50%, 06/15/2025 | IDR | 36,400,000 | 2,523 | |||||
Series FR82, 7.00%, 09/15/2030 | IDR | 29,820,000 | 2,011 | |||||
Series FR74, 7.50%, 08/15/2032 | IDR | 10,000,000 | 682 | |||||
Series FR80, 7.50%, 06/15/2035 | IDR | 10,000,000 | 676 | |||||
Series FR83, 7.50%, 04/15/2040 | IDR | 9,000,000 | 609 | |||||
Infraestruturas de Portugal SA, (Portugal), Reg. S, 4.68%, 10/16/2024 | EUR | 150 | 209 | |||||
Instituto de Credito Oficial, (Spain), Reg. S, 0.25%, 04/30/2024 | EUR | 50 | 60 | |||||
International Bank for Reconstruction & Development, (Supranational), | ||||||||
Zero Coupon, 10/31/2030 | 1,000 | 870 | ||||||
0.38%, 07/28/2025 | 50 | 50 | ||||||
0.50%, 06/21/2035 | EUR | 50 | 63 | |||||
0.88%, 12/13/2024 | GBP | 50 | 66 | |||||
1.63%, 01/15/2025 | 215 | 226 | ||||||
2.50%, 03/19/2024 | 365 | 392 | ||||||
Investitionsbank Schleswig-Holstein, (Germany), Reg. S, 0.01%, 05/15/2026 | EUR | 100 | 120 | |||||
Ireland Government Bond, (Ireland), | ||||||||
Reg. S, 0.00%, 10/18/2022 | EUR | 330 | 391 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Reg. S, 0.20%, 05/15/2027 | EUR | 880 | 1,071 | |||||
Reg. S, 0.20%, 10/18/2030 | EUR | 620 | 753 | |||||
Reg. S, 0.40%, 05/15/2035 | EUR | 610 | 749 | |||||
Reg. S, 0.90%, 05/15/2028 | EUR | 12 | 15 | |||||
Reg. S, 1.10%, 05/15/2029 | EUR | 240 | 315 | |||||
Reg. S, 1.35%, 03/18/2031 | EUR | 365 | 495 | |||||
Reg. S, 1.50%, 05/15/2050 | EUR | 230 | 348 | |||||
Reg. S, 1.70%, 05/15/2037 | EUR | 290 | 426 | |||||
Reg. S, 2.00%, 02/18/2045 | EUR | 400 | 654 | |||||
Reg. S, 2.40%, 05/15/2030 | EUR | 590 | 867 | |||||
Reg. S, 3.40%, 03/18/2024 | EUR | 490 | 654 | |||||
Reg. S, 3.90%, 03/20/2023 | EUR | 270 | 352 | |||||
5.40%, 03/13/2025 | EUR | 790 | 1,174 | |||||
Israel Government AID Bond, (Israel), 5.50%, 09/18/2033 | 200 | 300 | ||||||
Israel Government Bond - Fixed, (Israel), | ||||||||
Series 327, 2.00%, 03/31/2027 | ILS | 800 | 259 | |||||
Series 142, 5.50%, 01/31/2042 | ILS | 290 | 151 | |||||
Israel Government International Bond, (Israel), | ||||||||
Reg. S, 2.50%, 01/16/2049 | EUR | 50 | 75 | |||||
2.75%, 07/03/2030 | 200 | 221 | ||||||
Italy Buoni Poliennali Del Tesoro, (Italy), | ||||||||
Reg. S, 0.85%, 01/15/2027 (e) | EUR | 6,435 | 7,724 | |||||
Reg. S, 0.30%, 08/15/2023 (e) | EUR | 1,640 | 1,941 | |||||
0.35%, 11/01/2021 | EUR | 1,421 | 1,677 | |||||
Reg. S, 0.60%, 06/15/2023 | EUR | 1,640 | 1,959 | |||||
Reg. S, 0.90%, 08/01/2022 | EUR | 950 | 1,137 | |||||
Reg. S, 0.95%, 09/15/2027 (e) | EUR | 290 | 349 | |||||
Reg. S, 0.95%, 08/01/2030 | EUR | 1,510 | 1,792 | |||||
Reg. S, 1.00%, 07/15/2022 | EUR | 1,600 | 1,917 | |||||
Reg. S, 1.25%, 12/01/2026 | EUR | 100 | 123 | |||||
1.35%, 04/15/2022 | EUR | 72 | 86 | |||||
Reg. S, 1.35%, 04/01/2030 | EUR | 1,390 | 1,714 | |||||
Reg. S, 1.45%, 11/15/2024 | EUR | 1,900 | 2,348 | |||||
Reg. S, 1.45%, 05/15/2025 | EUR | 770 | 953 | |||||
Reg. S, 1.45%, 03/01/2036 (e) | EUR | 880 | 1,063 | |||||
1.50%, 06/01/2025 | EUR | 1,620 | 2,012 | |||||
Reg. S, 1.65%, 12/01/2030 (e) | EUR | 1,310 | 1,652 | |||||
Reg. S, 1.65%, 03/01/2032 (e) | EUR | 513 | 647 | |||||
Reg. S, 1.75%, 07/01/2024 | EUR | 1,140 | 1,420 | |||||
Reg. S, 1.80%, 03/01/2041 (e) | EUR | 560 | 688 | |||||
Reg. S, 1.85%, 07/01/2025 (e) | EUR | 2,260 | 2,848 | |||||
2.00%, 12/01/2025 | EUR | 760 | 969 | |||||
2.05%, 08/01/2027 | EUR | 1,290 | 1,666 | |||||
Reg. S, 2.10%, 07/15/2026 | EUR | 1,480 | 1,903 | |||||
2.15%, 12/15/2021 | EUR | 320 | 386 | |||||
2.20%, 06/01/2027 | EUR | 1,790 | 2,331 | |||||
Reg. S, 2.25%, 09/01/2036 (e) | EUR | 800 | 1,073 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Series 5Y, Reg. S, 2.45%, 10/01/2023 | EUR | 1,062 | 1,338 | |||||
Reg. S, 2.45%, 09/01/2033 (e) | EUR | 460 | 628 | |||||
Reg. S, 2.45%, 09/01/2050 (e) | EUR | 810 | 1,104 | |||||
Reg. S, 2.50%, 11/15/2025 | EUR | 279 | 364 | |||||
Reg. S, 2.70%, 03/01/2047 (e) | EUR | 260 | 371 | |||||
Reg. S, 2.80%, 12/01/2028 | EUR | 590 | 809 | |||||
Reg. S, 2.80%, 03/01/2067 (e) | EUR | 530 | 771 | |||||
Reg. S, 2.95%, 09/01/2038 (e) | EUR | 280 | 409 | |||||
Reg. S, 3.00%, 08/01/2029 | EUR | 1,320 | 1,850 | |||||
Reg. S, 3.10%, 03/01/2040 (e) | EUR | 630 | 940 | |||||
Reg. S, 3.25%, 09/01/2046 (e) | EUR | 1,090 | 1,701 | |||||
Reg. S, 3.35%, 03/01/2035 (e) | EUR | 2,670 | 4,022 | |||||
Reg. S, 3.45%, 03/01/2048 (e) | EUR | 500 | 811 | |||||
Reg. S, 3.50%, 03/01/2030 (e) | EUR | 1,160 | 1,696 | |||||
3.75%, 09/01/2024 | EUR | 1,230 | 1,646 | |||||
Reg. S, 3.85%, 09/01/2049 (e) | EUR | 640 | 1,111 | |||||
Reg. S, 4.00%, 02/01/2037 (e) | EUR | 1,310 | 2,135 | |||||
4.50%, 05/01/2023 | EUR | 3,000 | 3,936 | |||||
4.50%, 03/01/2024 | EUR | 59 | 80 | |||||
Reg. S, 4.50%, 03/01/2026 (e) | EUR | 3 | 4 | |||||
Reg. S, 4.75%, 08/01/2023 (e) | EUR | 1,000 | 1,332 | |||||
Reg. S, 4.75%, 09/01/2028 (e) | EUR | 1,470 | 2,266 | |||||
Reg. S, 4.75%, 09/01/2044 (e) | EUR | 2,170 | 4,113 | |||||
5.00%, 03/01/2022 | EUR | 2,250 | 2,835 | |||||
Reg. S, 5.00%, 03/01/2025 (e) | EUR | 890 | 1,264 | |||||
Reg. S, 5.00%, 08/01/2034 (e) | EUR | 1,020 | 1,780 | |||||
Reg. S, 5.00%, 08/01/2039 (e) | EUR | 970 | 1,808 | |||||
Reg. S, 5.00%, 09/01/2040 (e) | EUR | 960 | 1,802 | |||||
5.25%, 11/01/2029 | EUR | 1,000 | 1,636 | |||||
5.50%, 09/01/2022 | EUR | 760 | 988 | |||||
Reg. S, 5.50%, 11/01/2022 | EUR | 1,390 | 1,821 | |||||
5.75%, 02/01/2033 | EUR | 490 | 886 | |||||
Reg. S, 6.00%, 05/01/2031 | EUR | 1,150 | 2,040 | |||||
6.50%, 11/01/2027 | EUR | 710 | 1,172 | |||||
7.25%, 11/01/2026 | EUR | 1,580 | 2,609 | |||||
Italy Certificati di Credito del Tesoro, (Italy), Zero Coupon, 11/29/2021 | EUR | 1,380 | 1,623 | |||||
Japan Bank for International Cooperation, (Japan), 2.38%, 07/21/2022 | 200 | 207 | ||||||
Japan Expressway Holding and Debt Repayment Agency, (Japan), | ||||||||
Series 75, 1.96%, 09/19/2031 | JPY | 100,000 | 1,125 | |||||
Series 37, 2.42%, 06/20/2028 | JPY | 100,000 | 1,115 | |||||
Japan Finance Organization for Municipalities, (Japan), | ||||||||
Reg. S, 0.05%, 02/12/2027 | EUR | 200 | 236 | |||||
Series 69, 0.48%, 02/28/2025 | JPY | 100,000 | 966 | |||||
Series 55, 0.78%, 12/28/2023 | JPY | 100,000 | 971 | |||||
Series 39, 0.82%, 08/26/2022 | JPY | 10,000 | 96 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Japan Government Five Year Bond, (Japan), | ||||||||
Series 134, 0.10%, 12/20/2022 | JPY | 1,000,000 | 9,532 | |||||
Series 135, 0.10%, 03/20/2023 | JPY | 1,735,200 | 16,547 | |||||
Series 136, 0.10%, 06/20/2023 | JPY | 2,000,000 | 19,084 | |||||
Series 137, 0.10%, 09/20/2023 | JPY | 1,053,500 | 10,057 | |||||
Series 140, 0.10%, 06/20/2024 | JPY | 48,000 | 459 | |||||
Series 142, 0.10%, 12/20/2024 | JPY | 1,023,500 | 9,800 | |||||
Series 143, 0.10%, 03/20/2025 | JPY | 586,400 | 5,616 | |||||
Series 144, 0.10%, 06/20/2025 | JPY | 816,300 | 7,818 | |||||
Japan Government Forty Year Bond, (Japan), | ||||||||
Series 9, 0.40%, 03/20/2056 | JPY | 6,900 | 61 | |||||
Series 12, 0.50%, 03/20/2059 | JPY | 32,600 | 297 | |||||
Series 11, 0.80%, 03/20/2058 | JPY | 199,000 | 2,000 | |||||
Series 10, 0.90%, 03/20/2057 | JPY | 264,050 | 2,734 | |||||
Series 8, 1.40%, 03/20/2055 | JPY | 223,000 | 2,629 | |||||
Series 7, 1.70%, 03/20/2054 | JPY | 5,600 | 70 | |||||
Series 3, 2.20%, 03/20/2050 | JPY | 497,000 | 6,755 | |||||
Series 4, 2.20%, 03/20/2051 | JPY | 10,850 | 149 | |||||
Series 1, 2.40%, 03/20/2048 | JPY | 100,000 | 1,394 | |||||
Japan Government Ten Year Bond, (Japan), | ||||||||
Series 342, 0.10%, 03/20/2026 | JPY | 1,410,000 | 13,522 | |||||
Series 343, 0.10%, 06/20/2026 | JPY | 988,200 | 9,481 | |||||
Series 345, 0.10%, 12/20/2026 | JPY | 690,000 | 6,629 | |||||
Series 346, 0.10%, 03/20/2027 | JPY | 1,000,000 | 9,610 | |||||
Series 347, 0.10%, 06/20/2027 | JPY | 1,381,350 | 13,279 | |||||
Series 348, 0.10%, 09/20/2027 | JPY | 9,000 | 87 | |||||
Series 349, 0.10%, 12/20/2027 | JPY | 8,250 | 79 | |||||
Series 350, 0.10%, 03/20/2028 | JPY | 62,300 | 599 | |||||
Series 352, 0.10%, 09/20/2028 | JPY | 21,050 | 202 | |||||
Series 354, 0.10%, 03/20/2029 | JPY | 142,650 | 1,369 | |||||
Series 355, 0.10%, 06/20/2029 | JPY | 59,350 | 569 | |||||
Series 356, 0.10%, 09/20/2029 | JPY | 1,430,000 | 13,700 | |||||
Series 357, 0.10%, 12/20/2029 | JPY | 700,000 | 6,703 | |||||
Series 358, 0.10%, 03/20/2030 | JPY | 1,115,100 | 10,667 | |||||
Series 359, 0.10%, 06/20/2030 | JPY | 94,300 | 901 | |||||
Series 340, 0.40%, 09/20/2025 | JPY | 33,600 | 327 | |||||
Series 328, 0.60%, 03/20/2023 | JPY | 61,850 | 597 | |||||
Series 332, 0.60%, 12/20/2023 | JPY | 39,150 | 380 | |||||
Series 326, 0.70%, 12/20/2022 | JPY | 568,700 | 5,492 | |||||
Series 329, 0.80%, 06/20/2023 | JPY | 12,800 | 124 | |||||
Series 330, 0.80%, 09/20/2023 | JPY | 293,800 | 2,863 | |||||
Japan Government Thirty Year Bond, (Japan), | ||||||||
Series 51, 0.30%, 06/20/2046 | JPY | 5,750 | 52 | |||||
Series 63, 0.40%, 06/20/2049 | JPY | 2,150 | 19 | |||||
Series 64, 0.40%, 09/20/2049 | JPY | 16,000 | 144 | |||||
Series 65, 0.40%, 12/20/2049 | JPY | 530,000 | 4,775 | |||||
Series 66, 0.40%, 03/20/2050 | JPY | 194,600 | 1,750 | |||||
Series 53, 0.60%, 12/20/2046 | JPY | 9,550 | 92 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Series 67, 0.60%, 06/20/2050 | JPY | 477,500 | 4,527 | |||||
Series 61, 0.70%, 12/20/2048 | JPY | 8,450 | 83 | |||||
Series 50, 0.80%, 03/20/2046 | JPY | 8,200 | 83 | |||||
Series 57, 0.80%, 12/20/2047 | JPY | 326,000 | 3,286 | |||||
Series 58, 0.80%, 03/20/2048 | JPY | 38,050 | 383 | |||||
Series 48, 1.40%, 09/20/2045 | JPY | 172,150 | 1,975 | |||||
Series 49, 1.40%, 12/20/2045 | JPY | 14,950 | 172 | |||||
Series 45, 1.50%, 12/20/2044 | JPY | 2,900 | 34 | |||||
Series 46, 1.50%, 03/20/2045 | JPY | 711,600 | 8,305 | |||||
Series 47, 1.60%, 06/20/2045 | JPY | 627,000 | 7,459 | |||||
Series 11, 1.70%, 06/20/2033 | JPY | 100,000 | 1,132 | |||||
Series 39, 1.90%, 06/20/2043 | JPY | 50,550 | 627 | |||||
Series 33, 2.00%, 09/20/2040 | JPY | 373,950 | 4,625 | |||||
Series 35, 2.00%, 09/20/2041 | JPY | 3,350 | 42 | |||||
Series 21, 2.30%, 12/20/2035 | JPY | 588,000 | 7,270 | |||||
Series 32, 2.30%, 03/20/2040 | JPY | 3,200 | 41 | |||||
Japan Government Twenty Year Bond, (Japan), | ||||||||
Series 157, 0.20%, 06/20/2036 | JPY | 4,350 | 41 | |||||
Series 168, 0.40%, 03/20/2039 | JPY | 689,000 | 6,567 | |||||
Series 172, 0.40%, 03/20/2040 | JPY | 145,000 | 1,376 | |||||
Series 173, 0.40%, 06/20/2040 | JPY | 872,500 | 8,267 | |||||
Series 164, 0.50%, 03/20/2038 | JPY | 109,150 | 1,063 | |||||
Series 167, 0.50%, 12/20/2038 | JPY | 1,293,700 | 12,556 | |||||
Series 161, 0.60%, 06/20/2037 | JPY | 10,600 | 105 | |||||
Series 166, 0.70%, 09/20/2038 | JPY | 22,000 | 221 | |||||
Series 155, 1.00%, 12/20/2035 | JPY | 869,450 | 9,151 | |||||
Series 151, 1.20%, 12/20/2034 | JPY | 27,000 | 291 | |||||
Series 152, 1.20%, 03/20/2035 | JPY | 557,100 | 6,009 | |||||
Series 154, 1.20%, 09/20/2035 | JPY | 570,000 | 6,155 | |||||
Series 153, 1.30%, 06/20/2035 | JPY | 800,000 | 8,741 | |||||
Series 60, 1.40%, 12/20/2022 | JPY | 91,000 | 892 | |||||
Series 150, 1.40%, 09/20/2034 | JPY | 19,550 | 216 | |||||
Series 59, 1.70%, 12/20/2022 | JPY | 39,600 | 391 | |||||
Series 145, 1.70%, 06/20/2033 | JPY | 23,000 | 260 | |||||
Series 122, 1.80%, 09/20/2030 | JPY | 924,000 | 10,302 | |||||
Series 121, 1.90%, 09/20/2030 | JPY | 35,550 | 400 | |||||
Series 118, 2.00%, 06/20/2030 | JPY | 1,865,000 | 21,075 | |||||
Series 75, 2.10%, 03/20/2025 | JPY | 37,000 | 386 | |||||
Series 80, 2.10%, 06/20/2025 | JPY | 517,000 | 5,416 | |||||
Series 94, 2.10%, 03/20/2027 | JPY | 47,500 | 515 | |||||
Series 105, 2.10%, 09/20/2028 | JPY | 25,450 | 283 | |||||
Japan Government Two Year Bond, (Japan), | ||||||||
Series 410, 0.10%, 03/01/2022 | JPY | 900,000 | 8,566 | |||||
Series 412, 0.10%, 05/01/2022 | JPY | 510,000 | 4,858 | |||||
Series 415, 0.10%, 08/01/2022 | JPY | 959,300 | 9,138 | |||||
Japan Housing Finance Agency, (Japan), | ||||||||
Series 108, 1.43%, 06/18/2027 | JPY | 100,000 | 1,031 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Series 71, 1.75%, 03/19/2026 | JPY | 200,000 | 2,068 | |||||
Japan International Cooperation Agency, (Japan), Series 35, 0.08%, 06/19/2026 | JPY | 200,000 | 1,895 | |||||
Japanese Government CPI Linked Bond, (Japan), Series 25, 0.20%, 03/10/2030 | JPY | 99,413 | 953 | |||||
Jersey International Bond, (Jersey), Reg. S, 3.75%, 06/09/2054 | GBP | 400 | 816 | |||||
Kingdom of Belgium Government Bond, (Belgium), | ||||||||
Series 91, Reg. S, 0.00%, 10/22/2027 (e) | EUR | 1,040 | 1,260 | |||||
Series 89, Reg. S, 0.10%, 06/22/2030 | EUR | 700 | 852 | |||||
Series 79, Reg. S, 0.20%, 10/22/2023 (e) | EUR | 980 | 1,179 | |||||
Series 90, Reg. S, 0.40%, 06/22/2040 (e) | EUR | 360 | 439 | |||||
Series 82, Reg. S, 0.50%, 10/22/2024 (e) | EUR | 780 | 957 | |||||
Series 74, Reg. S, 0.80%, 06/22/2025 (e) | EUR | 870 | 1,089 | |||||
Series 81, Reg. S, 0.80%, 06/22/2027 (e) | EUR | 100 | 128 | |||||
Series 85, Reg. S, 0.80%, 06/22/2028 (e) | EUR | 1,400 | 1,801 | |||||
Series 87, Reg. S, 0.90%, 06/22/2029 (e) | EUR | 610 | 795 | |||||
Series 77, Reg. S, 1.00%, 06/22/2026 (e) | EUR | 1,200 | 1,534 | |||||
Series 75, Reg. S, 1.00%, 06/22/2031 (e) | EUR | 260 | 345 | |||||
Series 86, Reg. S, 1.25%, 04/22/2033 | EUR | 700 | 967 | |||||
Series 84, Reg. S, 1.45%, 06/22/2037 (e) | EUR | 50 | 72 | |||||
Series 78, Reg. S, 1.60%, 06/22/2047 (e) | EUR | 920 | 1,420 | |||||
Series 88, Reg. S, 1.70%, 06/22/2050 (e) | EUR | 390 | 625 | |||||
Series 76, Reg. S, 1.90%, 06/22/2038 (e) | EUR | 410 | 633 | |||||
Series 80, Reg. S, 2.15%, 06/22/2066 (e) | EUR | 280 | 551 | |||||
Series 68, Reg. S, 2.25%, 06/22/2023 | EUR | 320 | 405 | |||||
Series 83, Reg. S, 2.25%, 06/22/2057 (e) | EUR | 310 | 585 | |||||
Series 72, Reg. S, 2.60%, 06/22/2024 (e) | EUR | 80 | 105 | |||||
Series 73, Reg. S, 3.00%, 06/22/2034 (e) | EUR | 2,090 | 3,497 | |||||
Series 71, Reg. S, 3.75%, 06/22/2045 | EUR | 460 | 981 | |||||
Series 48, 4.00%, 03/28/2022 | EUR | 880 | 1,104 | |||||
Series 66, Reg. S, 4.00%, 03/28/2032 | EUR | 530 | 925 | |||||
Series 65, Reg. S, 4.25%, 09/28/2022 (e) | EUR | 460 | 593 | |||||
Series 60, Reg. S, 4.25%, 03/28/2041 (e) | EUR | 620 | 1,316 | |||||
Series 44, Reg. S, 5.00%, 03/28/2035 (e) | EUR | 450 | 917 | |||||
Kommunalbanken A/S, (Norway), | ||||||||
Reg. S, 0.05%, 10/24/2029 | EUR | 100 | 119 | |||||
Reg. S, 0.63%, 04/20/2026 | EUR | 500 | 617 | |||||
Kommunekredit, (Denmark), Reg. S, 0.50%, 01/24/2025 | EUR | 700 | 853 | |||||
Kommuninvest I Sverige AB, (Sweden), | ||||||||
Series G24, Reg. S, 0.38%, 03/27/2024 | SEK | 4,880 | 551 | |||||
Series G23, Reg. S, 0.63%, 06/01/2023 | SEK | 100 | 11 | |||||
Series 2602, Reg. S, 0.75%, 02/04/2026 | SEK | 2,880 | 331 | |||||
Series 2505, Reg. S, 1.00%, 05/12/2025 | SEK | 5,000 | 581 | |||||
Reg. S, 1.50%, 05/12/2025 | SEK | 3,000 | 356 | |||||
Korea Development Bank (The), (South Korea), | ||||||||
Reg. S, 4.50%, 11/10/2020 | CNH | 10,000 | 1,476 | |||||
6.00%, 01/22/2025 | IDR | 15,000,000 | 986 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Korea Expressway Corp., (South Korea), Reg. S, 4.73%, 03/28/2021 | CNH | 5,000 | 743 | |||||
Korea Housing Finance Corp., (South Korea), Reg. S, 0.10%, 06/18/2024 | EUR | 100 | 118 | |||||
Korea Hydro & Nuclear Power Co. Ltd., (South Korea), Reg. S, 0.00%, 07/19/2024 | CHF | 300 | 326 | |||||
Korea National Oil Corp., (South Korea), Reg. S, 0.00%, 10/04/2024 | CHF | 300 | 326 | |||||
Korea Treasury Bond, (South Korea), | ||||||||
Series 2306, 1.00%, 06/10/2023 | KRW | 3,245,000 | 2,786 | |||||
Series 2509, 1.13%, 09/10/2025 | KRW | 2,830,000 | 2,419 | |||||
Series 3909, 1.13%, 09/10/2039 | KRW | 5,843,630 | 4,627 | |||||
Series 2212, 1.25%, 12/10/2022 | KRW | 6,850,000 | 5,912 | |||||
Series 2912, 1.38%, 12/10/2029 | KRW | 3,441,000 | 2,923 | |||||
Series 3006, 1.38%, 06/10/2030 | KRW | 1,200,000 | 1,020 | |||||
Series 2612, 1.50%, 12/10/2026 | KRW | 2,600,000 | 2,257 | |||||
Series 3609, 1.50%, 09/10/2036 | KRW | 900,000 | 767 | |||||
Series 5003, 1.50%, 03/10/2050 | KRW | 2,097,000 | 1,749 | |||||
Series 6609, 1.50%, 09/10/2066 | KRW | 340,000 | 277 | |||||
Kuntarahoitus OYJ, (Finland), | ||||||||
Reg. S, 0.05%, 09/06/2029 | EUR | 100 | 120 | |||||
Reg. S, 0.13%, 03/07/2024 | EUR | 180 | 216 | |||||
Reg. S, 1.25%, 02/23/2033 | EUR | 200 | 272 | |||||
Land Baden-Wuerttemberg, (Germany), | ||||||||
Reg. S, 0.63%, 01/27/2026 | EUR | 380 | 472 | |||||
Series 120, Reg. S, 2.00%, 11/13/2023 | EUR | 220 | 278 | |||||
Land Berlin, (Germany), | ||||||||
Reg. S, 0.01%, 07/02/2030 | EUR | 490 | 589 | |||||
Series 493, Reg. S, 0.63%, 02/08/2027 | EUR | 570 | 713 | |||||
Series 495, Reg. S, 1.38%, 06/05/2037 | EUR | 260 | 371 | |||||
Land Thueringen, (Germany), Reg. S, 0.05%, 05/06/2030 | EUR | 260 | 314 | |||||
Latvia Government International Bond, (Latvia), | ||||||||
Reg. S, 1.13%, 05/30/2028 | EUR | 390 | 503 | |||||
Reg. S, 1.38%, 05/16/2036 | EUR | 110 | 153 | |||||
Lithuania Government International Bond, (Lithuania), | ||||||||
Reg. S, 0.25%, 05/06/2025 | EUR | 70 | 84 | |||||
Reg. S, 0.50%, 07/28/2050 | EUR | 140 | 159 | |||||
Reg. S, 0.75%, 05/06/2030 | EUR | 440 | 555 | |||||
Luxembourg Government Bond, (Luxembourg), | ||||||||
Reg. S, 0.00%, 04/28/2025 | EUR | 240 | 289 | |||||
Reg. S, 0.00%, 11/13/2026 | EUR | 130 | 158 | |||||
Reg. S, 0.00%, 04/28/2030 | EUR | 150 | 182 | |||||
Malaysia Government Bond, (Malaysia), | ||||||||
Series 319, 3.48%, 06/14/2024 | MYR | 5,500 | 1,384 | |||||
Series 519, 3.76%, 05/22/2040 | MYR | 30 | 8 | |||||
Series 215, 3.80%, 09/30/2022 | MYR | 1,000 | 250 | |||||
Series 219, 3.89%, 08/15/2029 | MYR | 3,800 | 1,001 | |||||
Series 318, 4.64%, 11/07/2033 | MYR | 3,000 | 832 | |||||
Series 216, 4.74%, 03/15/2046 | MYR | 1,000 | 274 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Series 418, 4.89%, 06/08/2038 | MYR | 1,600 | 455 | |||||
Series 518, 4.92%, 07/06/2048 | MYR | 600 | 167 | |||||
Malaysia Government Investment Issue, (Malaysia), | ||||||||
Series 418, 3.73%, 03/31/2022 | MYR | 1,800 | 445 | |||||
Series 217, 4.05%, 08/15/2024 | MYR | 3,090 | 795 | |||||
Series 119, 4.13%, 07/09/2029 | MYR | 1,630 | 433 | |||||
Series 218, 4.37%, 10/31/2028 | MYR | 4,200 | 1,135 | |||||
Series 517, 4.76%, 08/04/2037 | MYR | 1,600 | 448 | |||||
Mexican Bonos, (Mexico), | ||||||||
Series M 20, 7.50%, 06/03/2027 | MXN | 7,000 | 352 | |||||
Series M, 7.75%, 05/29/2031 | MXN | 12,000 | 612 | |||||
Series M 20, 8.50%, 05/31/2029 | MXN | 1,000 | 53 | |||||
Mexico Government International Bond, (Mexico), | ||||||||
1.13%, 01/17/2030 | EUR | 100 | 108 | |||||
1.63%, 04/08/2026 | EUR | 100 | 118 | |||||
3.25%, 04/16/2030 | 200 | 205 | ||||||
4.75%, 03/08/2044 | 170 | 185 | ||||||
5.75%, 10/12/2110 | 20 | 23 | ||||||
6.75%, 02/06/2024 | GBP | 100 | 150 | |||||
Ministeries Van de Vlaamse Gemeenschap, (Belgium), | ||||||||
Reg. S, 0.01%, 06/23/2027 | EUR | 500 | 596 | |||||
Reg. S, 0.38%, 10/13/2026 | EUR | 100 | 122 | |||||
Reg. S, 1.38%, 11/21/2033 | EUR | 300 | 411 | |||||
Reg. S, 1.50%, 07/12/2038 | EUR | 100 | 141 | |||||
Municipal Finance Authority of British Columbia, (Canada), | ||||||||
1.10%, 06/01/2025 | CAD | 200 | 152 | |||||
2.55%, 10/09/2029 | CAD | 300 | 251 | |||||
2.80%, 12/03/2023 | CAD | 1,000 | 802 | |||||
Nederlandse Waterschapsbank NV, (Netherlands), | ||||||||
Reg. S, 0.05%, 01/28/2030 | EUR | 250 | 300 | |||||
0.13%, 09/25/2023 | EUR | 400 | 478 | |||||
Reg. S, 0.25%, 06/07/2024 | EUR | 683 | 823 | |||||
Reg. S, 0.50%, 01/19/2023 | EUR | 260 | 312 | |||||
Reg. S, 0.75%, 10/04/2041 | EUR | 100 | 130 | |||||
Reg. S, 1.00%, 03/01/2028 | EUR | 300 | 386 | |||||
Reg. S, 1.25%, 05/27/2036 | EUR | 140 | 193 | |||||
Reg. S, 1.50%, 06/15/2039 | EUR | 160 | 234 | |||||
5.20%, 03/31/2025 | CAD | 1,000 | 875 | |||||
Netherlands Government Bond, (Netherlands), | ||||||||
Reg. S, 0.00%, 01/15/2022 (e) | EUR | 480 | 567 | |||||
Reg. S, 0.00%, 01/15/2027 (e) | EUR | 990 | 1,203 | |||||
Reg. S, 0.00%, 07/15/2030 (e) | EUR | 919 | 1,121 | |||||
Reg. S, 0.00%, 01/15/2052 (e) | EUR | 280 | 329 | |||||
Reg. S, 0.25%, 07/15/2025 (e) | EUR | 21 | 26 | |||||
Reg. S, 0.50%, 07/15/2026 (e) | EUR | 1,050 | 1,313 | |||||
Reg. S, 0.50%, 01/15/2040 (e) | EUR | 484 | 639 | |||||
Reg. S, 0.75%, 07/15/2027 (e) | EUR | 1,520 | 1,944 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Reg. S, 1.75%, 07/15/2023 (e) | EUR | 1,605 | 2,010 | |||||
Reg. S, 2.00%, 07/15/2024 (e) | EUR | 560 | 724 | |||||
Reg. S, 2.25%, 07/15/2022 (e) | EUR | 1,280 | 1,579 | |||||
Reg. S, 2.50%, 01/15/2033 (e) | EUR | 2,080 | 3,304 | |||||
Reg. S, 2.75%, 01/15/2047 (e) | EUR | 1,040 | 2,139 | |||||
Reg. S, 3.75%, 01/15/2042 (e) | EUR | 658 | 1,423 | |||||
Reg. S, 4.00%, 01/15/2037 (e) | EUR | 520 | 1,037 | |||||
5.50%, 01/15/2028 | EUR | 210 | 357 | |||||
New South Wales Treasury Corp., (Australia), | ||||||||
1.00%, 02/08/2024 | AUD | 500 | 367 | |||||
2.00%, 03/20/2031 | AUD | 600 | 460 | |||||
2.25%, 05/07/2041 | AUD | 100 | 74 | |||||
Series 27, Reg. S, 3.00%, 05/20/2027 | AUD | 800 | 658 | |||||
Reg. S, 3.00%, 02/20/2030 | AUD | 200 | 167 | |||||
Series 22, 6.00%, 03/01/2022 | AUD | 600 | 465 | |||||
New Zealand Government Bond, (New Zealand), | ||||||||
0.50%, 05/15/2024 | NZD | 1,000 | 673 | |||||
1.50%, 05/15/2031 | NZD | 200 | 146 | |||||
1.75%, 05/15/2041 | NZD | 130 | 95 | |||||
Series 437, Reg. S, 2.75%, 04/15/2037 | NZD | 450 | 382 | |||||
Series 429, 3.00%, 04/20/2029 | NZD | 280 | 226 | |||||
Series 433, Reg. S, 3.50%, 04/14/2033 | NZD | 200 | 177 | |||||
Series 427, Reg. S, 4.50%, 04/15/2027 | NZD | 730 | 618 | |||||
Series 423, Reg. S, 5.50%, 04/15/2023 | NZD | 450 | 339 | |||||
New Zealand Local Government Funding Agency Bond, (New Zealand), | ||||||||
2.00%, 04/15/2037 | NZD | 100 | 70 | |||||
3.50%, 04/14/2033 | NZD | 400 | 336 | |||||
Norway Government Bond, (Norway), | ||||||||
Series 482, Reg. S, 1.38%, 08/19/2030 (e) | NOK | 3,270 | 376 | |||||
Series 477, Reg. S, 1.75%, 03/13/2025 (e) | NOK | 1,920 | 219 | |||||
Series 479, Reg. S, 1.75%, 02/17/2027 (e) | NOK | 3,070 | 357 | |||||
Series 481, Reg. S, 1.75%, 09/06/2029 (e) | NOK | 3,040 | 359 | |||||
Series 475, Reg. S, 2.00%, 05/24/2023 (e) | NOK | 1,590 | 179 | |||||
Series 480, Reg. S, 2.00%, 04/26/2028 (e) | NOK | 1,450 | 173 | |||||
Series 476, Reg. S, 3.00%, 03/14/2024 (e) | NOK | 3,240 | 380 | |||||
OMERS Finance Trust, (Canada), | ||||||||
0.45%, 05/13/2025 (e) | EUR | 250 | 300 | |||||
Reg. S, 0.45%, 05/13/2025 | EUR | 2,700 | 3,244 | |||||
Ontario Teachers Finance Trust, (Canada), Reg. S, 0.50%, 05/06/2025 | EUR | 3,400 | 4,095 | |||||
Panama Government International Bond, (Panama), 6.70%, 01/26/2036 | 60 | 87 | ||||||
Peruvian Government International Bond, (Peru), | ||||||||
2.39%, 01/23/2026 | 105 | 110 | ||||||
2.75%, 01/30/2026 | EUR | 100 | 130 | |||||
2.78%, 01/23/2031 | 110 | 119 | ||||||
Reg. S, 6.90%, 08/12/2037 | PEN | 1,000 | 331 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Philippine Government International Bond, (Philippines), 9.50%, 02/02/2030 | 100 | 165 | ||||||
Portugal Obrigacoes do Tesouro OT, (Portugal), | ||||||||
Reg. S, 0.48%, 10/18/2030 (e) | EUR | 770 | 921 | |||||
Reg. S, 0.70%, 10/15/2027 (e) | EUR | 1,305 | 1,607 | |||||
Reg. S, 0.90%, 10/12/2035 (e) | EUR | 337 | 411 | |||||
Reg. S, 1.95%, 06/15/2029 (e) | EUR | 250 | 339 | |||||
Reg. S, 2.13%, 10/17/2028 (e) | EUR | 290 | 396 | |||||
Reg. S, 2.20%, 10/17/2022 (e) | EUR | 740 | 917 | |||||
Series 15Y, Reg. S, 2.25%, 04/18/2034 (e) | EUR | 300 | 432 | |||||
Reg. S, 2.88%, 10/15/2025 (e) | EUR | 610 | 827 | |||||
Reg. S, 2.88%, 07/21/2026 (e) | EUR | 580 | 800 | |||||
Reg. S, 3.88%, 02/15/2030 (e) | EUR | 50 | 79 | |||||
Reg. S, 4.10%, 04/15/2037 (e) | EUR | 510 | 921 | |||||
Reg. S, 4.10%, 02/15/2045 (e) | EUR | 470 | 923 | |||||
Reg. S, 4.13%, 04/14/2027 (e) | EUR | 480 | 718 | |||||
Reg. S, 5.65%, 02/15/2024 (e) | EUR | 670 | 946 | |||||
Province of Alberta Canada, (Canada), | ||||||||
Reg. S, 1.50%, 12/15/2022 | GBP | 400 | 529 | |||||
2.20%, 06/01/2026 | CAD | 600 | 483 | |||||
Province of British Columbia Canada, (Canada), | ||||||||
2.80%, 06/18/2048 | CAD | 200 | 176 | |||||
7.88%, 11/30/2023 | CAD | 120 | 110 | |||||
Province of Manitoba Canada, (Canada), 2.75%, 06/02/2029 | CAD | 500 | 422 | |||||
Province of Nova Scotia Canada, (Canada), 3.45%, 06/01/2045 | CAD | 200 | 188 | |||||
Province of Ontario Canada, (Canada), | ||||||||
Reg. S, 0.50%, 12/15/2023 | GBP | 500 | 647 | |||||
5.60%, 06/02/2035 | CAD | 300 | 340 | |||||
Province of Quebec Canada, (Canada), | ||||||||
Reg. S, 2.38%, 01/22/2024 | EUR | 100 | 128 | |||||
3.50%, 12/01/2045 | CAD | 200 | 195 | |||||
Province of Saskatchewan Canada, (Canada), 3.30%, 06/02/2048 | CAD | 300 | 277 | |||||
Queensland Treasury Corp., (Australia), | ||||||||
Reg. S, 1.75%, 08/21/2031 (e) | AUD | 1,400 | 1,044 | |||||
Series 27, Reg. S, 2.75%, 08/20/2027 (e) | AUD | 800 | 650 | |||||
Series 26, Reg. S, 3.25%, 07/21/2026 (e) | AUD | 1,000 | 825 | |||||
Regie Autonome des Transports Parisiens, (France), | ||||||||
Reg. S, 0.38%, 06/15/2024 | EUR | 300 | 361 | |||||
Reg. S, 0.88%, 05/25/2027 | EUR | 100 | 125 | |||||
Reg. S, 1.75%, 05/25/2031 | EUR | 500 | 688 | |||||
Region of Ile de France, (France), | ||||||||
Reg. S, 0.50%, 06/14/2025 | EUR | 200 | 244 | |||||
Reg. S, 3.63%, 03/27/2024 | EUR | 100 | 133 | |||||
Region Wallonne Belgium, (Belgium), | ||||||||
Reg. S, 0.05%, 06/22/2025 | EUR | 800 | 953 | |||||
Reg. S, 0.25%, 05/03/2026 | EUR | 300 | 361 | |||||
Reg. S, 1.05%, 06/22/2040 | EUR | 100 | 127 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Republic of Austria Government Bond, (Austria), | ||||||||
Reg. S, 0.00%, 04/20/2023 (e) | EUR | 850 | 1,013 | |||||
Reg. S, 0.00%, 07/15/2023 (e) | EUR | 700 | 836 | |||||
Reg. S, 0.00%, 07/15/2024 (e) | EUR | 280 | 336 | |||||
Reg. S, 0.00%, 02/20/2030 (e) | EUR | 240 | 291 | |||||
Reg. S, 0.50%, 04/20/2027 (e) | EUR | 600 | 752 | |||||
Reg. S, 0.50%, 02/20/2029 (e) | EUR | 610 | 772 | |||||
Reg. S, 0.75%, 10/20/2026 (e) | EUR | 1,000 | 1,268 | |||||
Reg. S, 0.75%, 02/20/2028 (e) | EUR | 320 | 410 | |||||
Reg. S, 0.75%, 03/20/2051 (e) | EUR | 365 | 501 | |||||
Reg. S, 0.85%, 06/30/2120 (e) | EUR | 50 | 72 | |||||
Reg. S, 1.50%, 02/20/2047 (e) | EUR | 290 | 462 | |||||
Reg. S, 1.50%, 11/02/2086 (e) | EUR | 190 | 361 | |||||
Series 1, Reg. S, 1.65%, 10/21/2024 (e) | EUR | 920 | 1,181 | |||||
Reg. S, 2.10%, 09/20/2117 (e) | EUR | 310 | 770 | |||||
Reg. S, 2.40%, 05/23/2034 (e) | EUR | 615 | 977 | |||||
Reg. S, 3.15%, 06/20/2044 (e) | EUR | 350 | 712 | |||||
Reg. S, 3.65%, 04/20/2022 (e) | EUR | 1,110 | 1,388 | |||||
Reg. S, 3.80%, 01/26/2062 (e) | EUR | 150 | 420 | |||||
Reg. S, 4.15%, 03/15/2037 (e) | EUR | 530 | 1,059 | |||||
Reg. S, 4.85%, 03/15/2026 (e) | EUR | 570 | 872 | |||||
Republic of Italy Government International Bond, (Italy), | ||||||||
Reg. S, (ICE EURIBOR Swap Rate 30 Year + 0.00%), 4.25%, 06/28/2029 (aa) | EUR | 1,000 | 1,483 | |||||
Reg. S, 5.13%, 07/31/2024 | EUR | 520 | 719 | |||||
Reg. S, 6.00%, 08/04/2028 | GBP | 1,050 | 1,711 | |||||
Republic of Poland Government Bond, (Poland), | ||||||||
Series 722, Zero Coupon, 07/25/2022 | PLN | 4,450 | 1,150 | |||||
Series 1030, 1.25%, 10/25/2030 | PLN | 23 | 6 | |||||
Series 1024, 2.25%, 10/25/2024 | PLN | 5,960 | 1,654 | |||||
Series 726, 2.50%, 07/25/2026 | PLN | 770 | 218 | |||||
Series 727, 2.50%, 07/25/2027 | PLN | 5,420 | 1,540 | |||||
Series 428, 2.75%, 04/25/2028 | PLN | 500 | 145 | |||||
Series 1029, 2.75%, 10/25/2029 | PLN | 2,290 | 668 | |||||
Series 922, 5.75%, 09/23/2022 | PLN | 1,690 | 486 | |||||
Republic of Poland Government International Bond, (Poland), | ||||||||
Reg. S, 0.00%, 07/07/2023 | EUR | 100 | 118 | |||||
Reg. S, 0.00%, 02/10/2025 | EUR | 60 | 71 | |||||
Reg. S, 2.00%, 03/08/2049 | EUR | 3 | 4 | |||||
Romania Government Bond, (Romania), Series 5Y, 3.65%, 07/28/2025 | RON | 1,000 | 244 | |||||
Romanian Government International Bond, (Romania), | ||||||||
Reg. S, 2.75%, 02/26/2026 | EUR | 15 | 19 | |||||
Reg. S, 3.38%, 02/08/2038 | EUR | 50 | 62 | |||||
Reg. S, 3.38%, 01/28/2050 | EUR | 15 | 18 | |||||
Reg. S, 3.62%, 05/26/2030 | EUR | 25 | 33 | |||||
Russian Federal Bond - OFZ, (Russia), | ||||||||
Series 6233, 6.10%, 07/18/2035 | RUB | 17,890 | 224 | |||||
Series 6223, 6.50%, 02/28/2024 | RUB | 70,390 | 944 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Series 6212, 7.05%, 01/19/2028 | RUB | 53,210 | 729 | |||||
Series 6222, 7.10%, 10/16/2024 | RUB | 69,940 | 964 | |||||
Series 6225, 7.25%, 05/10/2034 | RUB | 364 | 5 | |||||
Series 6220, 7.40%, 12/07/2022 | RUB | 20,430 | 278 | |||||
Series 6228, 7.65%, 04/10/2030 | RUB | 58,968 | 839 | |||||
Series 6221, 7.70%, 03/23/2033 | RUB | 27,810 | 400 | |||||
Series 6226, 7.95%, 10/07/2026 | RUB | 951 | 14 | |||||
Series 6207, 8.15%, 02/03/2027 | RUB | 32,780 | 476 | |||||
SA de Gestion de Stocks de Securite, (France), Reg. S, 4.00%, 01/24/2024 | EUR | 100 | 134 | |||||
Saudi Government International Bond, (Saudi Arabia), Reg. S, 0.75%, 07/09/2027 | EUR | 100 | 117 | |||||
SFIL SA, (France), | ||||||||
Reg. S, 0.00%, 05/24/2024 | EUR | 200 | 237 | |||||
Reg. S, 0.13%, 10/18/2024 | EUR | 500 | 597 | |||||
Singapore Government Bond, (Singapore), | ||||||||
2.00%, 02/01/2024 | SGD | 1,000 | 773 | |||||
2.13%, 06/01/2026 | SGD | 600 | 478 | |||||
2.38%, 07/01/2039 | SGD | 120 | 104 | |||||
2.63%, 05/01/2028 | SGD | 750 | 625 | |||||
2.75%, 04/01/2042 | SGD | 410 | 382 | |||||
2.75%, 03/01/2046 | SGD | 260 | 251 | |||||
2.88%, 09/01/2030 | SGD | 715 | 623 | |||||
3.13%, 09/01/2022 | SGD | 500 | 386 | |||||
3.38%, 09/01/2033 | SGD | 650 | 612 | |||||
Slovakia Government Bond, (Slovakia), | ||||||||
Series 231, 0.63%, 05/22/2026 | EUR | 860 | 1,070 | |||||
Series 239, Reg. S, 1.00%, 05/14/2032 | EUR | 740 | 985 | |||||
Series 233, Reg. S, 2.00%, 10/17/2047 | EUR | 180 | 293 | |||||
Series 225, Reg. S, 3.00%, 02/28/2023 | EUR | 90 | 115 | |||||
Slovenia Government Bond, (Slovenia), | ||||||||
Series RS82, Reg. S, 0.28%, 01/14/2030 | EUR | 200 | 240 | |||||
Reg. S, 0.88%, 07/15/2030 | EUR | 190 | 241 | |||||
Series RS74, Reg. S, 1.50%, 03/25/2035 | EUR | 120 | 166 | |||||
Series RS77, Reg. S, 2.25%, 03/03/2032 | EUR | 130 | 190 | |||||
Series RS76, Reg. S, 3.13%, 08/07/2045 | EUR | 160 | 305 | |||||
Series RS70, Reg. S, 5.13%, 03/30/2026 | EUR | 470 | 718 | |||||
SNCF Reseau, (France), | ||||||||
Reg. S, 0.88%, 01/22/2029 | EUR | 200 | 253 | |||||
Reg. S, 1.13%, 05/19/2027 | EUR | 400 | 510 | |||||
Reg. S, 1.50%, 05/29/2037 | EUR | 300 | 417 | |||||
2.00%, 11/12/2026 | CHF | 300 | 370 | |||||
Reg. S, 2.00%, 02/05/2048 | EUR | 100 | 153 | |||||
5.00%, 10/10/2033 | EUR | 200 | 378 | |||||
Reg. S, 5.00%, 03/11/2052 | GBP | 120 | 284 | |||||
Reg. S, 5.25%, 12/07/2028 | GBP | 300 | 521 | |||||
Societe Du Grand Paris EPIC, (France), | ||||||||
Reg. S, 1.13%, 10/22/2028 | EUR | 700 | 908 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Reg. S, 1.13%, 05/25/2034 | EUR | 200 | 266 | |||||
Reg. S, 1.70%, 05/25/2050 | EUR | 200 | 304 | |||||
Societe Nationale SNCF SA, (France), | ||||||||
Reg. S, 1.50%, 02/02/2029 | EUR | 100 | 131 | |||||
Reg. S, 4.63%, 02/02/2024 | EUR | 300 | 409 | |||||
Reg. S, 5.38%, 03/18/2027 | GBP | 400 | 660 | |||||
South Australian Government Financing Authority, (Australia), | ||||||||
Series 24, Reg. S, 2.25%, 08/15/2024 | AUD | 400 | 307 | |||||
Series 23, 4.25%, 11/20/2023 | AUD | 350 | 282 | |||||
Spain Government Bond, (Spain), | ||||||||
0.00%, 04/30/2023 | EUR | 3,598 | 4,264 | |||||
0.00%, 01/31/2025 | EUR | 1,479 | 1,756 | |||||
Series 5YR, Reg. S, 0.25%, 07/30/2024 (e) | EUR | 3 | 4 | |||||
0.35%, 07/30/2023 | EUR | 1,880 | 2,252 | |||||
0.40%, 04/30/2022 | EUR | 1,345 | 1,599 | |||||
0.45%, 10/31/2022 | EUR | 1,170 | 1,398 | |||||
Reg. S, 0.50%, 04/30/2030 (e) | EUR | 920 | 1,111 | |||||
Reg. S, 0.60%, 10/31/2029 (e) | EUR | 890 | 1,087 | |||||
Reg. S, 0.80%, 07/30/2027 (e) | EUR | 1,640 | 2,034 | |||||
Reg. S, 1.00%, 10/31/2050 (e) | EUR | 1,120 | 1,292 | |||||
Reg. S, 1.20%, 10/31/2040 (e) | EUR | 1,020 | 1,280 | |||||
Reg. S, 1.25%, 10/31/2030 (e) | EUR | 2,510 | 3,235 | |||||
Reg. S, 1.30%, 10/31/2026 (e) | EUR | 770 | 983 | |||||
Reg. S, 1.40%, 04/30/2028 (e) | EUR | 16 | 21 | |||||
Reg. S, 1.45%, 10/31/2027 (e) | EUR | 2,040 | 2,642 | |||||
Reg. S, 1.45%, 04/30/2029 (e) | EUR | 3,020 | 3,947 | |||||
Reg. S, 1.50%, 04/30/2027 (e) | EUR | 1,520 | 1,972 | |||||
Reg. S, 1.60%, 04/30/2025 (e) | EUR | 850 | 1,083 | |||||
Reg. S, 1.85%, 07/30/2035 (e) | EUR | 1,650 | 2,288 | |||||
Reg. S, 1.95%, 07/30/2030 (e) | EUR | 1,340 | 1,838 | |||||
Reg. S, 2.15%, 10/31/2025 (e) | EUR | 3,813 | 5,018 | |||||
Reg. S, 2.35%, 07/30/2033 (e) | EUR | 670 | 973 | |||||
Series 30Y, Reg. S, 2.70%, 10/31/2048 (e) | EUR | 550 | 910 | |||||
Reg. S, 2.75%, 10/31/2024 (e) | EUR | 930 | 1,229 | |||||
Reg. S, 2.90%, 10/31/2046 (e) | EUR | 600 | 1,017 | |||||
Reg. S, 3.45%, 07/30/2066 (e) | EUR | 720 | 1,463 | |||||
Reg. S, 3.80%, 04/30/2024 (e) | EUR | 940 | 1,268 | |||||
Reg. S, 4.20%, 01/31/2037 (e) | EUR | 710 | 1,299 | |||||
Reg. S, 4.65%, 07/30/2025 (e) | EUR | 1,763 | 2,561 | |||||
Reg. S, 4.70%, 07/30/2041 (e) | EUR | 910 | 1,863 | |||||
Reg. S, 4.90%, 07/30/2040 (e) | EUR | 860 | 1,780 | |||||
Reg. S, 5.15%, 10/31/2028 (e) | EUR | 1,230 | 2,034 | |||||
Reg. S, 5.15%, 10/31/2044 (e) | EUR | 850 | 1,913 | |||||
5.75%, 07/30/2032 | EUR | 800 | 1,527 | |||||
Reg. S, 5.85%, 01/31/2022 (e) | EUR | 1,270 | 1,615 | |||||
Reg. S, 5.90%, 07/30/2026 (e) | EUR | 16 | 26 | |||||
6.00%, 01/31/2029 | EUR | 1,430 | 2,501 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
State of Brandenburg, (Germany), Reg. S, 1.45%, 11/26/2038 | EUR | 180 | 262 | |||||
State of Bremen, (Germany), | ||||||||
Series 224, Reg. S, 0.40%, 08/20/2049 | EUR | 30 | 37 | |||||
Series 232, Reg. S, 0.55%, 02/04/2050 | EUR | 30 | 39 | |||||
Series 215, Reg. S, 1.20%, 01/30/2034 | EUR | 40 | 54 | |||||
Series 191, Reg. S, 1.88%, 03/18/2024 | EUR | 580 | 736 | |||||
State of Hesse, (Germany), | ||||||||
Series 1801, Reg. S, 0.63%, 08/02/2028 | EUR | 230 | 291 | |||||
Reg. S, 0.88%, 12/10/2024 | EUR | 600 | 744 | |||||
Reg. S, 1.38%, 06/10/2024 | EUR | 490 | 615 | |||||
State of Lower Saxony, (Germany), | ||||||||
0.05%, 03/09/2035 | EUR | 130 | 154 | |||||
Series 878, Reg. S, 0.38%, 01/09/2026 | EUR | 690 | 845 | |||||
Series 884, Reg. S, 0.88%, 10/25/2028 | EUR | 320 | 413 | |||||
State of North Rhine-Westphalia Germany, (Germany), | ||||||||
Reg. S, 0.20%, 04/09/2030 | EUR | 100 | 123 | |||||
Reg. S, 0.38%, 02/16/2023 | EUR | 400 | 479 | |||||
Reg. S, 0.38%, 09/02/2050 | EUR | 130 | 159 | |||||
Series 1409, Reg. S, 0.50%, 04/16/2026 | EUR | 360 | 445 | |||||
Reg. S, 0.75%, 08/16/2041 | EUR | 360 | 472 | |||||
Reg. S, 0.80%, 07/30/2049 | EUR | 100 | 135 | |||||
Series 15YR, Reg. S, 1.10%, 03/13/2034 | EUR | 110 | 149 | |||||
Reg. S, 1.38%, 01/15/2120 | EUR | 120 | 178 | |||||
Reg. S, 1.45%, 02/16/2043 | EUR | 100 | 150 | |||||
Reg. S, 1.65%, 02/22/2038 | EUR | 110 | 164 | |||||
Reg. S, 1.65%, 05/16/2047 | EUR | 80 | 128 | |||||
Reg. S, 1.75%, 10/26/2057 | EUR | 100 | 175 | |||||
Reg. S, 1.75%, 07/11/2068 | EUR | 20 | 36 | |||||
Reg. S, 1.88%, 09/15/2022 | EUR | 600 | 737 | |||||
Reg. S, 1.88%, 03/15/2024 | EUR | 630 | 800 | |||||
Reg. S, 2.15%, 03/21/2119 | EUR | 180 | 368 | |||||
Series 1250, Reg. S, 2.38%, 05/13/2033 | EUR | 350 | 538 | |||||
State of Rhineland-Palatinate, (Germany), | ||||||||
Reg. S, 0.38%, 01/26/2027 | EUR | 220 | 271 | |||||
Reg. S, 0.75%, 01/19/2026 | EUR | 350 | 437 | |||||
State of Saxony-Anhalt, (Germany), Reg. S, 1.88%, 04/10/2024 | EUR | 300 | 382 | |||||
State of Schleswig-Holstein Germany, (Germany), | ||||||||
Reg. S, 0.13%, 06/12/2029 | EUR | 160 | 195 | |||||
Reg. S, 0.50%, 03/22/2029 | EUR | 140 | 176 | |||||
Reg. S, 0.63%, 08/31/2028 | EUR | 140 | 177 | |||||
States of Guernsey Bond, (Guernsey), Reg. S, 3.38%, 12/12/2046 | GBP | 200 | 358 | |||||
Sweden Government Bond, (Sweden), | ||||||||
Series 1062, Reg. S, 0.13%, 05/12/2031 (e) | SEK | 3,640 | 412 | |||||
Series 1061, Reg. S, 0.75%, 11/12/2029 (e) | SEK | 2,490 | 300 | |||||
Series 1059, Reg. S, 1.00%, 11/12/2026 | SEK | 4,770 | 574 | |||||
Series 1057, Reg. S, 1.50%, 11/13/2023 (e) | SEK | 7,010 | 828 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Series 1054, 3.50%, 06/01/2022 | SEK | 6,250 | 743 | |||||
Series 1053, 3.50%, 03/30/2039 | SEK | 2,210 | 388 | |||||
Swiss Confederation Government Bond, (Switzerland), | ||||||||
Reg. S, 0.00%, 06/22/2029 | CHF | 240 | 273 | |||||
Reg. S, 0.00%, 06/26/2034 | CHF | 440 | 503 | |||||
Reg. S, 0.00%, 07/24/2039 | CHF | 130 | 149 | |||||
Reg. S, 0.50%, 05/27/2030 | CHF | 430 | 513 | |||||
Reg. S, 0.50%, 06/28/2045 | CHF | 60 | 79 | |||||
Reg. S, 0.50%, 05/30/2058 | CHF | 160 | 234 | |||||
Reg. S, 1.25%, 06/11/2024 | CHF | 410 | 479 | |||||
Reg. S, 1.25%, 06/27/2037 | CHF | 230 | 317 | |||||
Reg. S, 1.50%, 07/24/2025 | CHF | 190 | 229 | |||||
Reg. S, 1.50%, 04/30/2042 | CHF | 90 | 137 | |||||
Reg. S, 2.00%, 05/25/2022 | CHF | 200 | 227 | |||||
Reg. S, 2.00%, 06/25/2064 | CHF | 80 | 184 | |||||
Reg. S, 3.25%, 06/27/2027 | CHF | 510 | 702 | |||||
Reg. S, 4.00%, 01/06/2049 | CHF | 130 | 321 | |||||
Thailand Government Bond, (Thailand), | ||||||||
1.45%, 12/17/2024 | THB | 13,000 | 421 | |||||
1.60%, 12/17/2029 | THB | 37,000 | 1,193 | |||||
1.88%, 06/17/2049 | THB | 11,000 | 325 | |||||
2.00%, 12/17/2022 | THB | 18,000 | 585 | |||||
2.13%, 12/17/2026 | THB | 1,570 | 53 | |||||
2.40%, 12/17/2023 | THB | 50,000 | 1,662 | |||||
2.88%, 12/17/2028 | THB | 52,000 | 1,849 | |||||
3.30%, 06/17/2038 | THB | 41,300 | 1,578 | |||||
3.60%, 06/17/2067 | THB | 12,000 | 497 | |||||
Tokyo Metropolitan Government, (Japan), Series 716, 0.77%, 12/20/2022 | JPY | 100,000 | 964 | |||||
Treasury Corp. of Victoria, (Australia), | ||||||||
1.00%, 11/20/2023 | AUD | 850 | 623 | |||||
2.25%, 11/20/2034 | AUD | 900 | 692 | |||||
2.25%, 11/20/2041 | AUD | 400 | 294 | |||||
Reg. S, 3.00%, 10/20/2028 | AUD | 600 | 499 | |||||
UNEDIC ASSEO, (France), | ||||||||
Reg. S, 0.00%, 03/05/2030 | EUR | 100 | 118 | |||||
Reg. S, 0.10%, 11/25/2026 | EUR | 600 | 719 | |||||
Reg. S, 0.25%, 11/25/2029 | EUR | 500 | 606 | |||||
Reg. S, 0.25%, 07/16/2035 | EUR | 200 | 238 | |||||
Reg. S, 0.63%, 03/03/2026 | EUR | 100 | 123 | |||||
Reg. S, 0.88%, 10/25/2022 | EUR | 1,100 | 1,323 | |||||
United Kingdom Gilt, (United Kingdom), | ||||||||
Reg. S, 0.13%, 01/31/2023 | GBP | 1,840 | 2,383 | |||||
Reg. S, 0.13%, 01/30/2026 | GBP | 160 | 208 | |||||
Reg. S, 0.13%, 01/31/2028 | GBP | 140 | 181 | |||||
Reg. S, 0.38%, 10/22/2030 | GBP | 1,050 | 1,370 | |||||
Reg. S, 0.50%, 07/22/2022 | GBP | 1,970 | 2,566 | |||||
Reg. S, 0.50%, 10/22/2061 | GBP | 700 | 838 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Reg. S, 0.63%, 06/07/2025 | GBP | 2,690 | 3,583 | |||||
Reg. S, 0.63%, 10/22/2050 | GBP | 980 | 1,213 | |||||
Reg. S, 0.75%, 07/22/2023 | GBP | 2,380 | 3,143 | |||||
Reg. S, 0.88%, 10/22/2029 | GBP | 2,290 | 3,139 | |||||
Reg. S, 1.00%, 04/22/2024 | GBP | 990 | 1,327 | |||||
Reg. S, 1.25%, 07/22/2027 | GBP | 2,480 | 3,464 | |||||
Reg. S, 1.25%, 10/22/2041 | GBP | 310 | 440 | |||||
Reg. S, 1.50%, 07/22/2026 | GBP | 2,420 | 3,402 | |||||
Reg. S, 1.50%, 07/22/2047 | GBP | 1,360 | 2,066 | |||||
Reg. S, 1.63%, 10/22/2028 | GBP | 1,300 | 1,884 | |||||
Reg. S, 1.63%, 10/22/2054 | GBP | 610 | 994 | |||||
Reg. S, 1.63%, 10/22/2071 | GBP | 540 | 1,002 | |||||
Reg. S, 1.75%, 09/07/2037 | GBP | 1,420 | 2,162 | |||||
Reg. S, 1.75%, 01/22/2049 | GBP | 1,160 | 1,873 | |||||
Reg. S, 1.75%, 07/22/2057 | GBP | 1,010 | 1,730 | |||||
Reg. S, 2.00%, 09/07/2025 | GBP | 2,160 | 3,074 | |||||
Reg. S, 2.25%, 09/07/2023 | GBP | 2,190 | 3,018 | |||||
Reg. S, 2.50%, 07/22/2065 | GBP | 980 | 2,135 | |||||
Reg. S, 2.75%, 09/07/2024 | GBP | 520 | 746 | |||||
Reg. S, 3.25%, 01/22/2044 | GBP | 1,570 | 3,106 | |||||
Reg. S, 3.50%, 01/22/2045 | GBP | 2,375 | 4,929 | |||||
Reg. S, 3.50%, 07/22/2068 | GBP | 930 | 2,569 | |||||
Reg. S, 3.75%, 07/22/2052 | GBP | 830 | 1,983 | |||||
Reg. S, 4.00%, 03/07/2022 | GBP | 1,796 | 2,451 | |||||
Reg. S, 4.00%, 01/22/2060 | GBP | 1,080 | 2,964 | |||||
Reg. S, 4.25%, 12/07/2027 | GBP | 1,210 | 2,033 | |||||
Reg. S, 4.25%, 06/07/2032 | GBP | 2,210 | 4,126 | |||||
Reg. S, 4.25%, 03/07/2036 | GBP | 1,130 | 2,258 | |||||
Reg. S, 4.25%, 09/07/2039 | GBP | 1,450 | 3,070 | |||||
Reg. S, 4.25%, 12/07/2040 | GBP | 1,780 | 3,835 | |||||
Reg. S, 4.25%, 12/07/2046 | GBP | 3,115 | 7,346 | |||||
Reg. S, 4.25%, 12/07/2049 | GBP | 1,335 | 3,297 | |||||
Reg. S, 4.25%, 12/07/2055 | GBP | 1,230 | 3,311 | |||||
Reg. S, 4.50%, 09/07/2034 | GBP | 1,770 | 3,528 | |||||
Reg. S, 4.50%, 12/07/2042 | GBP | 1,050 | 2,403 | |||||
Reg. S, 4.75%, 12/07/2030 | GBP | 1,700 | 3,192 | |||||
Reg. S, 4.75%, 12/07/2038 | GBP | 1,410 | 3,116 | |||||
Reg. S, 5.00%, 03/07/2025 | GBP | 730 | 1,155 | |||||
Reg. S, 6.00%, 12/07/2028 | GBP | 800 | 1,526 | |||||
United States International Development Finance Corp., 3.37%, 10/05/2034 | 97 | 115 | ||||||
Uruguay Government International Bond, (Uruguay), | ||||||||
4.98%, 04/20/2055 | 50 | 67 | ||||||
5.10%, 06/18/2050 | 90 | 121 | ||||||
Western Australian Treasury Corp., (Australia), | ||||||||
Series 24, Reg. S, 2.50%, 07/23/2024 | AUD | 800 | 620 | |||||
Series 26, Reg. S, 3.00%, 10/21/2026 | AUD | 400 | 328 | |||||
Series 28, Reg. S, 3.25%, 07/20/2028 | AUD | 300 | 254 | |||||
|
| |||||||
Total Foreign Government Securities (Cost $1,302,352) | 1,300,612 | |||||||
|
|
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Mortgage-Backed Securities 22.9% | ||||||||
FHLMC Gold Pool, | ||||||||
3.50%, 12/01/2044 | 2,783 | 2,900 | ||||||
3.50%, 06/01/2045 | 878 | 914 | ||||||
3.50%, 05/01/2046 | 605 | 630 | ||||||
3.50%, 10/01/2046 | 524 | 546 | ||||||
FHLMC Gold Pool, Single Family, 30 years, | ||||||||
3.00%, 03/01/2046 | 48 | 50 | ||||||
3.00%, 12/01/2046 | 72 | 75 | ||||||
4.00%, 08/01/2040 | 702 | 774 | ||||||
4.00%, 11/01/2047 | 5,746 | 6,166 | ||||||
FHLMC Non Gold Pool, ARM, (ICE LIBOR USD 12 Month + 1.64%), 3.46%, 01/01/2050 (aa) | 199 | 208 | ||||||
FHLMC Pool, 6.00%, 08/01/2035 | 61 | 65 | ||||||
FHLMC Pool, Single Family, 20 years, | ||||||||
3.50%, 06/01/2039 | 934 | 986 | ||||||
3.50%, 07/01/2039 | 565 | 595 | ||||||
3.50%, 08/01/2039 | 2,000 | 2,111 | ||||||
3.50%, 09/01/2039 | 1,071 | 1,134 | ||||||
FHLMC Pool, Single Family, 30 years, | ||||||||
2.50%, 09/01/2050 | 17,606 | 18,482 | ||||||
3.00%, 11/01/2049 | 4,303 | 4,560 | ||||||
3.00%, 05/01/2050 | 5,957 | 6,431 | ||||||
3.00%, 07/01/2050 | 349 | 366 | ||||||
3.00%, 08/01/2050 | 12,669 | 13,304 | ||||||
3.00%, 09/01/2050 | 9,977 | 10,457 | ||||||
3.50%, 03/01/2048 | 601 | 657 | ||||||
3.50%, 05/01/2048 | 10,858 | 11,558 | ||||||
3.50%, 01/01/2049 | 251 | 266 | ||||||
3.50%, 05/01/2049 | 11,894 | 12,548 | ||||||
3.50%, 07/01/2049 | 1,066 | 1,124 | ||||||
3.50%, 09/01/2049 | 2,504 | 2,701 | ||||||
3.50%, 10/01/2049 | 1,275 | 1,376 | ||||||
3.50%, 11/01/2049 | 215 | 226 | ||||||
3.50%, 12/01/2049 | 612 | 645 | ||||||
3.50%, 01/01/2050 | 1,422 | 1,502 | ||||||
3.50%, 03/01/2050 | 478 | 504 | ||||||
3.50%, 04/01/2050 | 13,377 | 14,337 | ||||||
4.00%, 10/01/2048 | 9,993 | 10,721 | ||||||
4.00%, 04/01/2049 | 9,995 | 10,717 | ||||||
4.00%, 09/01/2049 | 3,290 | 3,630 | ||||||
4.00%, 08/01/2050 | 3,957 | 4,223 | ||||||
4.50%, 08/01/2049 | 3,294 | 3,682 | ||||||
FNMA or FHLMC, Single Family, 15 years, | ||||||||
TBA, 1.50%, 10/01/2035 (w) | 575 | 588 | ||||||
TBA, 2.00%, 10/01/2035 (w) | 10,575 | 10,995 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Mortgage-Backed Securities continued | ||||||||
TBA, 2.00%, 11/01/2035 (w) | 43,000 | 44,688 | ||||||
TBA, 2.50%, 10/01/2035 (w) | 19,025 | 19,866 | ||||||
TBA, 3.00%, 10/01/2035 (w) | 5,000 | 5,247 | ||||||
TBA, 3.50%, 10/01/2035 (w) | 950 | 1,006 | ||||||
FNMA or FHLMC, Single Family, 30 years, | ||||||||
TBA, 2.00%, 10/01/2050 (w) | 32,400 | 33,499 | ||||||
TBA, 2.00%, 12/01/2050 (w) | 93,700 | 96,539 | ||||||
TBA, 2.50%, 10/01/2050 (w) | 17,598 | 18,459 | ||||||
TBA, 2.50%, 11/01/2050 (w) | 2,500 | 2,619 | ||||||
TBA, 3.00%, 10/01/2050 (w) | 20,769 | 21,757 | ||||||
TBA, 3.00%, 11/01/2050 (w) | 4,900 | 5,134 | ||||||
TBA, 3.50%, 10/01/2050 (w) | 3,150 | 3,321 | ||||||
TBA, 4.00%, 10/01/2050 (w) | 550 | 587 | ||||||
TBA, 4.00%, 11/01/2050 (w) | 9,500 | 10,143 | ||||||
TBA, 4.50%, 10/01/2050 (w) | 1,375 | 1,487 | ||||||
TBA, 5.00%, 10/01/2050 (w) | 2,000 | 2,191 | ||||||
FNMA Pool, | ||||||||
3.50%, 08/01/2032 | 139 | 149 | ||||||
4.00%, 04/01/2041 | 253 | 276 | ||||||
4.00%, 08/01/2046 | 219 | 241 | ||||||
FNMA Pool, Single Family, 15 years, | ||||||||
2.50%, 03/01/2035 | 4,177 | 4,362 | ||||||
2.50%, 08/01/2035 | 491 | 514 | ||||||
3.00%, 02/01/2034 | 3,436 | 3,610 | ||||||
3.00%, 10/01/2034 | 10,000 | 10,488 | ||||||
3.00%, 01/01/2035 | 21,000 | 22,032 | ||||||
3.00%, 06/01/2035 | 4,722 | 4,954 | ||||||
3.50%, 03/01/2035 | 3,704 | 3,978 | ||||||
3.50%, 05/01/2035 | 89 | 94 | ||||||
FNMA Pool, Single Family, 20 years, | ||||||||
3.50%, 03/01/2037 | 788 | 872 | ||||||
3.50%, 08/01/2038 | 366 | 386 | ||||||
3.50%, 04/01/2039 | 52 | 55 | ||||||
3.50%, 08/01/2039 | 603 | 635 | ||||||
FNMA Pool, Single Family, 30 years, | ||||||||
2.50%, 08/01/2050 | 1,512 | 1,587 | ||||||
2.50%, 10/01/2050 | 6,002 | 6,315 | ||||||
2.50%, 09/01/2050 | 26,102 | 27,401 | ||||||
3.00%, 08/01/2046 | 3,055 | 3,212 | ||||||
3.00%, 03/01/2050 | 2,843 | 3,041 | ||||||
3.00%, 07/01/2050 | 5,475 | 5,812 | ||||||
3.00%, 09/01/2050 | 19,487 | 20,425 | ||||||
3.50%, 08/01/2044 | 35 | 37 | ||||||
3.50%, 12/01/2045 | 5,579 | 5,944 | ||||||
3.50%, 02/01/2048 | 4,699 | 4,973 | ||||||
3.50%, 03/01/2048 | 408 | 448 | ||||||
3.50%, 05/01/2049 | 3,983 | 4,213 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Mortgage-Backed Securities continued | ||||||||
3.50%, 07/01/2049 | 1,751 | 1,845 | ||||||
3.50%, 08/01/2048 | 500 | 527 | ||||||
3.50%, 09/01/2048 | 85 | 90 | ||||||
3.50%, 10/01/2048 | 2,123 | 2,243 | ||||||
3.50%, 06/01/2049 | 94 | 99 | ||||||
3.50%, 08/01/2049 | 463 | 488 | ||||||
3.50%, 01/01/2050 | 672 | 708 | ||||||
3.50%, 02/01/2050 | 1,374 | 1,447 | ||||||
3.50%, 03/01/2050 | 27,424 | 28,888 | ||||||
3.50%, 05/01/2050 | 6,714 | 7,136 | ||||||
3.50%, 07/01/2050 | 458 | 485 | ||||||
4.00%, 04/01/2039 | 2,699 | 2,936 | ||||||
4.00%, 03/01/2042 | 1,101 | 1,240 | ||||||
4.00%, 04/01/2043 | 540 | 595 | ||||||
4.00%, 02/01/2045 | 534 | 588 | ||||||
4.00%, 09/01/2046 | 293 | 328 | ||||||
4.00%, 03/01/2048 | 255 | 273 | ||||||
4.00%, 06/01/2049 | 2,795 | 3,064 | ||||||
4.00%, 11/01/2049 | 465 | 512 | ||||||
4.00%, 05/01/2050 | 3,333 | 3,556 | ||||||
4.50%, 09/01/2048 | 2,057 | 2,227 | ||||||
4.50%, 05/01/2049 | 1,950 | 2,108 | ||||||
5.00%, 09/01/2049 | 3,013 | 3,367 | ||||||
GNMA II Pool, | ||||||||
3.50%, 08/20/2049 | 727 | 754 | ||||||
3.50%, 11/20/2049 | 738 | 765 | ||||||
4.00%, 11/20/2041 | 48 | 51 | ||||||
4.50%, 08/20/2040 | 76 | 81 | ||||||
4.50%, 10/20/2040 | 79 | 85 | ||||||
GNMA II Pool, Single Family, 30 years, | ||||||||
3.00%, 04/20/2049 | 95 | 100 | ||||||
3.00%, 05/20/2050 | 197 | 207 | ||||||
3.00%, 07/20/2050 | 10,320 | 10,887 | ||||||
3.00%, 08/20/2050 | 2,843 | 3,005 | ||||||
3.50%, 09/20/2047 | 4,680 | 4,995 | ||||||
3.50%, 07/20/2049 | 3,935 | 4,139 | ||||||
3.50%, 01/20/2050 | 3,152 | 3,313 | ||||||
3.50%, 04/20/2050 | 434 | 459 | ||||||
4.00%, 07/20/2048 | 3,791 | 4,042 | ||||||
4.00%, 11/20/2048 | 109 | 117 | ||||||
4.00%, 05/20/2049 | 2,330 | 2,477 | ||||||
4.50%, 10/20/2049 | 2,994 | 3,207 | ||||||
5.00%, 12/20/2048 | 560 | 619 | ||||||
GNMA, Single Family, 30 years, | ||||||||
TBA, 2.00%, 10/01/2050 (w) | 125 | 130 | ||||||
TBA, 2.00%, 11/01/2050 (w) | 15,000 | 15,553 | ||||||
TBA, 2.00%, 12/01/2050 (w) | 10,000 | 10,350 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Mortgage-Backed Securities continued | ||||||||
TBA, 2.50%, 10/01/2050 (w) | 5,175 | 5,435 | ||||||
TBA, 2.50%, 11/01/2050 (w) | 12,600 | 13,209 | ||||||
TBA, 2.50%, 12/01/2050 (w) | 2,100 | 2,198 | ||||||
TBA, 3.00%, 10/01/2050 (w) | 150 | 157 | ||||||
TBA, 3.00%, 11/01/2050 (w) | 20,325 | 21,272 | ||||||
TBA, 3.50%, 10/01/2050 (w) | 2,875 | 3,027 | ||||||
TBA, 3.50%, 11/01/2050 (w) | 100 | 105 | ||||||
TBA, 4.00%, 10/01/2050 (w) | 1,175 | 1,248 | ||||||
TBA, 4.00%, 11/01/2050 (w) | 8,500 | 9,038 | ||||||
TBA, 4.50%, 10/01/2050 (w) | 400 | 429 | ||||||
TBA, 5.00%, 10/01/2050 (w) | 675 | 735 | ||||||
|
| |||||||
Total Mortgage-Backed Securities (Cost $752,377) | 752,290 | |||||||
|
| |||||||
Municipal Bonds 0.1% (t) | ||||||||
Arizona 0.0% (g) | ||||||||
Salt River Project, Agricultural Improvement & Power District, Build America Bonds, Series A, Rev., 4.84%, 01/01/2041 | 100 | 141 | ||||||
|
| |||||||
California 0.0% (g) | ||||||||
Bay Area Toll Authority, San Francisco Bay Area, Rev., 2.57%, 04/01/2031 | 100 | 108 | ||||||
California State University, Taxable Systemwide, Series E, Rev., 2.90%, 11/01/2051 | 15 | 15 | ||||||
Los Angeles County Metropolitan Transportation Authority, Build America Bonds, Rev., 5.74%, 06/01/2039 | 50 | 72 | ||||||
Los Angeles Department of Water & Power Power System Revenue, Build America Bonds, Rev., 6.60%, 07/01/2050 | 30 | 54 | ||||||
Los Angeles Unified School District, Build America Bonds, GO, 5.75%, 07/01/2034 | 25 | 35 | ||||||
State of California, Build America Bonds, | ||||||||
GO, 7.50%, 04/01/2034 | 50 | 83 | ||||||
GO, 7.55%, 04/01/2039 | 50 | 88 | ||||||
GO, 7.60%, 11/01/2040 | 50 | 90 | ||||||
University of California, Build America Bonds, Rev., 5.95%, 05/15/2045 | 35 | 52 | ||||||
University of California, Taxable, Series AQ, Rev., 4.77%, 05/15/2115 | 20 | 28 | ||||||
|
| |||||||
625 | ||||||||
|
| |||||||
District of Columbia 0.1% | ||||||||
District of Columbia, Water & Sewer Authority, Senior Lien, Green Bonds, Series A, Rev., 4.81%, 10/01/2114 | 655 | 981 | ||||||
|
| |||||||
Illinois 0.0% (g) | ||||||||
State of Illinois, Taxable Pension, GO, 5.10%, 06/01/2033 | 100 | 101 | ||||||
|
| |||||||
Massachusetts 0.0% (g) | ||||||||
Commonwealth of Massachusetts, Taxable Consolidated Loan, Series H, GO, 2.90%, 09/01/2049 | 15 | 16 | ||||||
|
| |||||||
Michigan 0.0% (g) | ||||||||
University of Michigan, Taxable, Series B, Rev., 2.56%, 04/01/2050 | 25 | 26 | ||||||
|
|
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 0.0% (g) | ||||||||
Health & Educational Facilities Authority of the State of Missouri, Washington University, Series A, Rev., 3.23%, 05/15/2050 | 35 | 40 | ||||||
|
| |||||||
New Jersey 0.0% (g) | ||||||||
New Jersey Transportation Trust Fund Authority, Build America Bonds, Series B, Rev., 6.56%, 12/15/2040 | 25 | 32 | ||||||
New Jersey Turnpike Authority, Build America Bonds, Series F, Rev., 7.41%, 01/01/2040 | 30 | 51 | ||||||
|
| |||||||
83 | ||||||||
|
| |||||||
New York 0.0% (g) | ||||||||
City of New York, Build America Bonds, GO, 5.52%, 10/01/2037 | 25 | 35 | ||||||
New York City Water & Sewer System, Build America Bonds, Second General Resolution, Rev., 5.44%, 06/15/2043 | 30 | 46 | ||||||
Port Authority of New York & New Jersey, Consolidated, Series 174, Rev., 4.46%, 10/01/2062 | 20 | 26 | ||||||
|
| |||||||
107 | ||||||||
|
| |||||||
Oregon 0.0% (g) | ||||||||
State of Oregon Department of Transportation, Taxable Subordinated, Build America Bonds, Series A, Rev., 5.83%, 11/15/2034 | 50 | 72 | ||||||
|
| |||||||
Texas 0.0% (g) | ||||||||
City of San Antonio, Electric & Gas Systems Revenue, Build America Bonds, Rev., 5.99%, 02/01/2039 | 20 | 30 | ||||||
Dallas Area Rapid Transit, Build America Bonds, Rev., 5.02%, 12/01/2048 | 30 | 43 | ||||||
North Texas Tollway Authority, Build America Bonds, Series B, Rev., 6.72%, 01/01/2049 | 15 | 26 | ||||||
Texas Transportation Commission, Taxable Mobility Fund, GO, 2.47%, 10/01/2044 | 10 | 10 | ||||||
University of Texas System, Build America Bonds, Series C, Rev., 4.79%, 08/15/2046 | 10 | 14 | ||||||
|
| |||||||
123 | ||||||||
|
| |||||||
Virginia 0.0% (g) | ||||||||
University of Virginia, Taxable, Series C, Rev., 4.18%, 09/01/2117 | 40 | 56 | ||||||
|
| |||||||
Total Municipal Bonds (Cost $2,347) | 2,371 | |||||||
|
| |||||||
U.S. Government Agency Securities 4.1% | ||||||||
FHLB, | ||||||||
0.50%, 04/14/2025 | 2,000 | 2,015 | ||||||
3.25%, 11/16/2028 | 650 | 780 | ||||||
5.50%, 07/15/2036 | 200 | 312 | ||||||
FHLMC, | ||||||||
0.13%, 07/25/2022 | 5 | 5 | ||||||
0.25%, 08/24/2023 | 2,650 | 2,652 | ||||||
0.38%, 07/21/2025 | 800 | 800 | ||||||
1.50%, 02/12/2025 | 215 | 226 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
U.S. Government Agency Securities continued | ||||||||
6.25%, 07/15/2032 | 207 | 324 | ||||||
6.75%, 03/15/2031 | 400 | 625 | ||||||
FHLMC Coupon Strips, Zero Coupon, 03/15/2030 | 235 | 209 | ||||||
FNMA, | ||||||||
0.25%, 05/22/2023 | 3,000 | 3,002 | ||||||
0.30%, 08/03/2023 | 100 | 100 | ||||||
0.35%, 08/18/2023 | 1,500 | 1,499 | ||||||
0.88%, 08/05/2030 | 910 | 898 | ||||||
5.38%, 06/07/2021 | GBP | 362 | 483 | |||||
6.25%, 05/15/2029 | 1,000 | 1,447 | ||||||
FNMA Interest Strip, | ||||||||
Zero Coupon, 09/23/2027 | 117 | 109 | ||||||
Zero Coupon, 10/08/2027 | 129 | 120 | ||||||
Resolution Funding Corp. Interest Strip, Zero Coupon, 01/15/2030 | 285 | 256 | ||||||
Resolution Funding Corp. Principal Strip, Zero Coupon, 01/15/2030 | 50 | 45 | ||||||
Tennessee Valley Authority, | ||||||||
4.63%, 06/07/2043 | GBP | 200 | 412 | |||||
5.88%, 04/01/2036 | 400 | 626 | ||||||
U.S. Treasury Bonds, | ||||||||
1.13%, 05/15/2040 | 6,482 | 6,392 | ||||||
1.13%, 08/15/2040 | 1,475 | 1,450 | ||||||
1.25%, 05/15/2050 (dd) | 9,480 | 9,012 | ||||||
1.38%, 08/15/2050 | 1,511 | 1,483 | ||||||
2.00%, 02/15/2050 | 3,259 | 3,697 | ||||||
2.25%, 08/15/2046 | 3,000 | 3,551 | ||||||
2.25%, 08/15/2049 | 3,300 | 3,936 | ||||||
2.38%, 11/15/2049 | 2,200 | 2,694 | ||||||
2.50%, 02/15/2045 | 5,500 | 6,784 | ||||||
2.50%, 02/15/2046 | 1,000 | 1,238 | ||||||
2.50%, 05/15/2046 | 1,975 | 2,445 | ||||||
2.75%, 11/15/2042 | 2,000 | 2,566 | ||||||
2.75%, 08/15/2047 | 900 | 1,171 | ||||||
2.75%, 11/15/2047 | 900 | 1,172 | ||||||
2.88%, 05/15/2043 | 2,000 | 2,616 | ||||||
2.88%, 11/15/2046 | 1,500 | 1,987 | ||||||
2.88%, 05/15/2049 | 3,000 | 4,028 | ||||||
3.00%, 05/15/2042 | 800 | 1,065 | ||||||
3.00%, 11/15/2044 | 900 | 1,205 | ||||||
3.00%, 05/15/2045 | 1,730 | 2,321 | ||||||
3.00%, 11/15/2045 | 4,229 | 5,693 | ||||||
3.00%, 02/15/2047 | 4,588 | 6,221 | ||||||
3.00%, 08/15/2048 | 2,020 | 2,760 | ||||||
3.00%, 02/15/2049 | 2,400 | 3,289 | ||||||
3.13%, 11/15/2041 | 800 | 1,083 | ||||||
3.13%, 02/15/2043 | 860 | 1,167 | ||||||
3.38%, 11/15/2048 | 3,700 | 5,397 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
U.S. Government Agency Securities continued | ||||||||
3.63%, 08/15/2043 | 3,780 | 5,521 | ||||||
3.63%, 02/15/2044 | 3,000 | 4,392 | ||||||
3.75%, 11/15/2043 | 3,115 | 4,636 | ||||||
3.88%, 08/15/2040 | 900 | 1,334 | ||||||
4.25%, 11/15/2040 | 1,769 | 2,751 | ||||||
4.38%, 05/15/2041 | 410 | 650 | ||||||
4.50%, 02/15/2036 | 1,805 | 2,734 | ||||||
4.63%, 02/15/2040 | 1,000 | 1,613 | ||||||
4.75%, 02/15/2037 | 300 | 473 | ||||||
4.75%, 02/15/2041 | 800 | 1,322 | ||||||
5.00%, 05/15/2037 | 300 | 487 | ||||||
U.S. Treasury Strip Coupon Bonds, | ||||||||
Zero Coupon, 05/15/2024 | 800 | 792 | ||||||
Zero Coupon, 11/15/2028 (ee) (ff) | 2,000 | 1,894 | ||||||
Zero Coupon, 11/15/2038 | 2,250 | 1,777 | ||||||
Zero Coupon, 11/15/2041 (ff) | 200 | 148 | ||||||
Zero Coupon, 08/15/2045 | 600 | 410 | ||||||
|
| |||||||
Total U.S. Government Agency Securities (Cost $135,181) | 134,302 | |||||||
|
| |||||||
U.S. Treasury Obligations 13.0% | ||||||||
U.S. Treasury Inflation Indexed Notes, 0.13%, 04/15/2025 | 40 | 43 | ||||||
U.S. Treasury Notes, | ||||||||
0.13%, 04/30/2022 | 1,265 | 1,265 | ||||||
0.13%, 05/31/2022 | 20,200 | 20,198 | ||||||
0.13%, 06/30/2022 | 30,000 | 30,000 | ||||||
0.13%, 07/31/2022 | 13,200 | 13,200 | ||||||
0.13%, 07/15/2023 | 13,000 | 12,991 | ||||||
0.13%, 08/15/2023 | 455 | 455 | ||||||
0.25%, 04/15/2023 | 1,028 | 1,031 | ||||||
0.25%, 06/15/2023 | 11,000 | 11,029 | ||||||
0.25%, 05/31/2025 | 10,000 | 10,001 | ||||||
0.25%, 06/30/2025 | 10,000 | 9,997 | ||||||
0.25%, 07/31/2025 | 20,320 | 20,306 | ||||||
0.25%, 09/30/2025 | 2,500 | 2,497 | ||||||
0.38%, 04/30/2025 | 1,085 | 1,091 | ||||||
0.38%, 07/31/2027 | 6,215 | 6,184 | ||||||
0.38%, 09/30/2027 | 1,400 | 1,392 | ||||||
0.50%, 03/15/2023 | 8,000 | 8,069 | ||||||
0.50%, 04/30/2027 | 3,807 | 3,825 | ||||||
0.50%, 05/31/2027 | 4,500 | 4,519 | ||||||
0.50%, 06/30/2027 | 5,000 | 5,019 | ||||||
0.50%, 08/31/2027 | 2,400 | 2,407 | ||||||
0.63%, 05/15/2030 | 13,640 | 13,600 | ||||||
0.63%, 08/15/2030 | 3,345 | 3,328 | ||||||
1.13%, 09/30/2021 | 267 | 270 | ||||||
1.25%, 07/31/2023 | 8,100 | 8,351 | ||||||
1.50%, 11/30/2021 | 655 | 665 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
U.S. Treasury Obligations continued | ||||||||
1.50%, 02/15/2030 | 3,399 | 3,669 | ||||||
1.63%, 02/15/2026 | 3,000 | 3,209 | ||||||
1.63%, 05/15/2026 | 2,500 | 2,679 | ||||||
1.63%, 08/15/2029 | 2,000 | 2,178 | ||||||
1.75%, 05/15/2022 | 8,000 | 8,210 | ||||||
1.75%, 09/30/2022 | 1,400 | 1,445 | ||||||
1.75%, 05/15/2023 | 140 | 146 | ||||||
1.75%, 12/31/2026 | 40 | 43 | ||||||
1.75%, 11/15/2029 | 2,000 | 2,203 | ||||||
1.88%, 11/30/2021 | 27,000 | 27,546 | ||||||
1.88%, 07/31/2022 | 4,000 | 4,128 | ||||||
1.88%, 08/31/2022 | 350 | 362 | ||||||
2.00%, 11/15/2021 | 12,000 | 12,251 | ||||||
2.00%, 02/15/2022 | 2,000 | 2,051 | ||||||
2.00%, 07/31/2022 | 1,600 | 1,655 | ||||||
2.00%, 11/30/2022 | 1,560 | 1,623 | ||||||
2.00%, 02/15/2023 | 500 | 522 | ||||||
2.00%, 08/15/2025 | 3,000 | 3,251 | ||||||
2.00%, 11/15/2026 | 6,700 | 7,356 | ||||||
2.13%, 02/29/2024 | 55 | 59 | ||||||
2.13%, 03/31/2024 | 12,000 | 12,813 | ||||||
2.13%, 07/31/2024 | 3,000 | 3,220 | ||||||
2.13%, 09/30/2024 | 10,400 | 11,194 | ||||||
2.13%, 05/15/2025 | 11,000 | 11,945 | ||||||
2.25%, 11/15/2024 | 10,700 | 11,589 | ||||||
2.25%, 11/15/2025 | 2,575 | 2,831 | ||||||
2.25%, 02/15/2027 | 5,000 | 5,583 | ||||||
2.25%, 08/15/2027 | 4,200 | 4,712 | ||||||
2.38%, 01/31/2023 | 1,600 | 1,683 | ||||||
2.38%, 08/15/2024 | 3,800 | 4,118 | ||||||
2.38%, 05/15/2027 | 8,000 | 9,020 | ||||||
2.38%, 05/15/2029 | 3,500 | 4,029 | ||||||
2.63%, 02/15/2029 | 1,600 | 1,870 | ||||||
2.75%, 07/31/2023 | 7,000 | 7,514 | ||||||
2.75%, 11/15/2023 | 4,300 | 4,646 | ||||||
2.75%, 02/15/2024 | 3,000 | 3,260 | ||||||
2.75%, 02/28/2025 | 13,800 | 15,325 | ||||||
2.75%, 02/15/2028 | 3,000 | 3,491 | ||||||
2.88%, 11/15/2021 | 1 | 1 | ||||||
2.88%, 09/30/2023 | 3,000 | 3,243 | ||||||
2.88%, 10/31/2023 | 1,524 | 1,651 | ||||||
2.88%, 04/30/2025 | 10,900 | 12,205 | ||||||
2.88%, 11/30/2025 | 1,300 | 1,472 | ||||||
2.88%, 05/15/2028 | 4,500 | 5,297 | ||||||
2.88%, 08/15/2028 | 1,800 | 2,126 | ||||||
3.00%, 09/30/2025 | 120 | 136 | ||||||
3.13%, 11/15/2028 | 5,450 | 6,568 | ||||||
|
| |||||||
Total U.S. Treasury Obligations (Cost $427,502) | 427,861 | |||||||
|
|
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Short-Term Investments 5.3% |
| |||||||
Time Deposits 5.3% | ||||||||
Australia & New Zealand Banking Group Ltd., 0.01%, 10/01/2020 | 69,813 | 69,813 | ||||||
Barclays SA, 0.01%, 10/01/2020 | 1,815 | 1,815 | ||||||
BNP Paribas SA, | ||||||||
(1.49%), 10/01/2020 | CHF | 112 | 122 | |||||
0.01%, 10/01/2020 | 4,051 | 4,051 | ||||||
Brown Brothers Harriman, | ||||||||
(1.49%), 10/01/2020 | CHF | 16 | 17 | |||||
(0.69%), 10/01/2020 | EUR | 14 | 16 | |||||
(0.55%), 10/01/2020 | DKK | 747 | 118 | |||||
(0.28%), 10/01/2020 | SEK | | (h) | | (h) | |||
(0.23%), 10/01/2020 | JPY | 7,927 | 75 | |||||
(0.10%), 10/01/2020 | NOK | 625 | 67 | |||||
0.00%, 10/01/2020 | AUD | 204 | 146 | |||||
0.01%, 10/01/2020 | GBP | | (h) | | (h) | |||
0.01%, 10/01/2020 | NZD | 185 | 123 | |||||
0.01%, 10/01/2020 | SGD | 205 | 150 | |||||
0.01%, 10/05/2020 | HKD | 139 | 18 | |||||
0.03%, 10/01/2020 | CAD | 29 | 21 | |||||
Citibank NA, | ||||||||
(0.69%), 10/01/2020 | EUR | 1,066 | 1,250 | |||||
0.01%, 10/01/2020 | GBP | 590 | 762 | |||||
0.01%, 10/01/2020 | 8,146 | 8,146 | ||||||
Skandinaviska Enskilda Banken AB, | ||||||||
(0.28%), 10/01/2020 | SEK | 775 | 86 | |||||
0.01%, 10/01/2020 | 86,152 | 86,152 | ||||||
|
| |||||||
Total Time Deposits | 172,948 | |||||||
|
| |||||||
U.S. Government Agency Security 0.0% (g) | ||||||||
FHLB DN, Zero Coupon, 10/14/2020 | 900 | 900 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $173,848) | 173,848 | |||||||
|
| |||||||
Total Investments, Before Short Positions 111.1% (Cost $3,664,859)* | 3,654,068 | |||||||
Liabilities in Excess of Other Assets (11.1)% | (366,214 | ) | ||||||
|
| |||||||
NET ASSETS 100.0% | $ | 3,287,854 | ||||||
|
| |||||||
Short Positions 4.8% | ||||||||
Mortgage-Backed Securities 4.8% | ||||||||
FNMA or FHLMC, Single Family, 15 years, | ||||||||
TBA, 2.00%, 10/01/2035 (w) | 4,000 | 4,159 | ||||||
TBA, 3.00%, 10/01/2035 (w) | 31,800 | 33,370 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Mortgage-Backed Securities continued | ||||||||
FNMA or FHLMC, Single Family, 30 years, | ||||||||
TBA, 2.00%, 10/01/2050 (w) | 25,000 | 25,848 | ||||||
TBA, 2.50%, 10/01/2050 (w) | 36,623 | 38,415 | ||||||
TBA, 3.00%, 10/01/2050 (w) | 15,700 | 16,447 | ||||||
TBA, 3.50%, 10/01/2050 (w) | 38,300 | 40,381 | ||||||
|
| |||||||
Total Mortgage-Backed Securities (Proceeds $158,650) | 158,620 | |||||||
|
| |||||||
Total Securities Sold Short 4.8% (Proceeds $158,650) | 158,620 | |||||||
|
|
Percentages indicated are based on net assets.
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Futures contracts outstanding as of September 30, 2020:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
Euro Bund | 34 | 12/2020 | EUR | 6,935 | 22 | |||||||||||||||
Euro Buxl 30 Year Bond | 2 | 12/2020 | EUR | 506 | 17 | |||||||||||||||
Euro Schatz | 142 | 12/2020 | EUR | 18,685 | 10 | |||||||||||||||
Eurodollar 3 Month | 20 | 12/2021 | USD | 4,989 | | (h) | ||||||||||||||
Long Gilt | 45 | 12/2020 | GBP | 7,914 | (10 | ) | ||||||||||||||
Swiss Confederation Bond | 1 | 12/2020 | CHF | 186 | 1 | |||||||||||||||
U.S. Treasury 10 Year Note | 15 | 12/2020 | USD | 2,091 | 1 | |||||||||||||||
U.S. Treasury 2 Year Note | 152 | 12/2020 | USD | 33,571 | 15 | |||||||||||||||
U.S. Treasury 5 Year Note | 46 | 12/2020 | USD | 5,797 | 1 | |||||||||||||||
U.S. Treasury Long Bond | 97 | 12/2020 | USD | 17,192 | (93 | ) | ||||||||||||||
U.S. Treasury Ultra Bond | 87 | 12/2020 | USD | 19,391 | (94 | ) | ||||||||||||||
|
| |||||||||||||||||||
(130 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Short Contracts | ||||||||||||||||||||
Euro BOBL | (95) | 12/2020 | EUR | (15,038 | ) | (18 | ) | |||||||||||||
Euro Buxl 30 Year Bond | (2) | 12/2020 | EUR | (523 | ) | 1 | ||||||||||||||
Long Gilt | (3) | 12/2020 | GBP | (523 | ) | (4 | ) | |||||||||||||
U.S. Treasury 10 Year Note | (580) | 12/2020 | USD | (80,746 | ) | (182 | ) | |||||||||||||
U.S. Treasury 5 Year Note | (172) | 12/2020 | USD | (21,654 | ) | (23 | ) | |||||||||||||
U.S. Treasury Ultra Bond | (3) | 12/2020 | USD | (671 | ) | 5 | ||||||||||||||
U.S. Ultra Treasury 10 Year Note | (23) | 12/2020 | USD | (3,664 | ) | (14 | ) | |||||||||||||
|
| |||||||||||||||||||
(235 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Total unrealized appreciation (depreciation) | (365 | ) | ||||||||||||||||||
|
|
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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, 2020:
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||||||||
USD 146 | AUD | 200 | Bank of America, NA | 10/02/2020 | 3 | |||||||
USD 640 | AUD | 870 | Bank of America, NA | 10/02/2020 | 17 | |||||||
AUD 36,320 | USD | 25,839 | BNP Paribas SA | 10/02/2020 | 175 | |||||||
USD 36 | AUD | 50 | BNP Paribas SA | 10/02/2020 | 1 | |||||||
USD 25,913 | AUD | 35,200 | BNP Paribas SA | 10/02/2020 | 701 | |||||||
USD 5,480 | AUD | 7,633 | Citibank, NA | 10/02/2020 | 12 | |||||||
AUD 7,491 | USD | 5,271 | Morgan Stanley & Co. | 10/02/2020 | 95 | |||||||
CAD 12,269 | USD | 9,161 | Citibank, NA | 10/02/2020 | 54 | |||||||
USD 163 | CAD | 213 | HSBC Bank USA, NA | 10/02/2020 | 3 | |||||||
USD 9,031 | CAD | 11,921 | Morgan Stanley & Co. | 10/02/2020 | 78 | |||||||
CHF 2,027 | USD | 2,190 | Barclays Bank plc | 10/02/2020 | 11 | |||||||
USD 2,231 | CHF | 2,027 | Citibank, NA | 10/02/2020 | 30 | |||||||
USD 3,562 | CHF | 3,210 | UBS AG LONDON | 10/02/2020 | 77 | |||||||
USD 1,667 | CHF | 1,502 | UBS AG LONDON | 10/02/2020 | 36 | |||||||
USD 3,381 | CHF | 3,047 | UBS AG LONDON | 10/02/2020 | 73 | |||||||
CHF 3,160 | USD | 3,427 | UBS AG LONDON | 10/02/2020 | 4 | |||||||
CHF 4,549 | USD | 4,933 | UBS AG LONDON | 10/02/2020 | 6 | |||||||
CZK 68,810 | USD | 2,960 | Morgan Stanley & Co. | 10/02/2020 | 21 | |||||||
USD 2,044 | CZK | 44,993 | UBS AG LONDON | 10/02/2020 | 95 | |||||||
USD 1,082 | CZK | 23,817 | UBS AG LONDON | 10/02/2020 | 50 | |||||||
USD 3,444 | DKK | 21,489 | Morgan Stanley & Co. | 10/02/2020 | 59 | |||||||
USD 417 | DKK | 2,600 | Morgan Stanley & Co. | 10/02/2020 | 7 | |||||||
USD 1,813 | DKK | 11,314 | Morgan Stanley & Co. | 10/02/2020 | 31 | |||||||
DKK 32,803 | USD | 5,157 | UBS AG LONDON | 10/02/2020 | 9 | |||||||
DKK 2,600 | USD | 409 | UBS AG LONDON | 10/02/2020 | 1 | |||||||
EUR 22,450 | USD | 26,282 | Bank of America, NA | 10/02/2020 | 40 | |||||||
USD 413 | EUR | 347 | Bank of America, NA | 10/02/2020 | 6 | |||||||
EUR 124,770 | USD | 146,081 | Bank of America, NA | 10/02/2020 | 206 | |||||||
EUR 19,310 | USD | 22,606 | Bank of America, NA | 10/02/2020 | 34 | |||||||
USD 22,726 | EUR | 19,035 | Bank of America, NA | 10/02/2020 | 408 | |||||||
USD 32,496 | EUR | 27,484 | Barclays Bank plc | 10/02/2020 | 273 | |||||||
EUR 30,569 | USD | 35,649 | Barclays Bank plc | 10/02/2020 | 192 | |||||||
USD 73,484 | EUR | 62,149 | Barclays Bank plc | 10/02/2020 | 617 | |||||||
EUR 68,792 | USD | 80,223 | Barclays Bank plc | 10/02/2020 | 432 | |||||||
EUR 30,569 | USD | 35,561 | Citibank, NA | 10/02/2020 | 280 | |||||||
USD 3,522 | EUR | 2,986 | Citibank, NA | 10/02/2020 | 21 | |||||||
USD 78,996 | EUR | 66,150 | Citibank, NA | 10/02/2020 | 1,439 | |||||||
USD 148,009 | EUR | 123,940 | Citibank, NA | 10/02/2020 | 2,695 | |||||||
USD 73,307 | EUR | 62,149 | Citibank, NA | 10/02/2020 | 440 | |||||||
EUR 124,770 | USD | 146,154 | Citibank, NA | 10/02/2020 | 132 | |||||||
EUR 68,792 | USD | 80,025 | Citibank, NA | 10/02/2020 | 629 | |||||||
USD 3,122 | EUR | 2,639 | Citibank, NA | 10/02/2020 | 27 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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, 2020 (continued):
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||||||||||
USD 32,418 | EUR | 27,484 | Citibank, NA | 10/02/2020 | 194 | |||||||||
USD 78,989 | EUR | 66,149 | Goldman Sachs International | 10/02/2020 | 1,433 | |||||||||
USD 148,001 | EUR | 123,943 | Goldman Sachs International | 10/02/2020 | 2,684 | |||||||||
USD 1,107 | EUR | 931 | HSBC Bank USA, NA | 10/02/2020 | 16 | |||||||||
USD 2,373 | EUR | 2,006 | HSBC Bank USA, NA | 10/02/2020 | 21 | |||||||||
USD 1,662 | EUR | 1,402 | Morgan Stanley & Co. | 10/02/2020 | 18 | |||||||||
USD 3,545 | EUR | 2,989 | Morgan Stanley & Co. | 10/02/2020 | 41 | |||||||||
USD 753 | EUR | 636 | Morgan Stanley & Co. | 10/02/2020 | 7 | |||||||||
USD 928 | EUR | 783 | Morgan Stanley & Co. | 10/02/2020 | 10 | |||||||||
USD 712 | EUR | 600 | Morgan Stanley & Co. | 10/02/2020 | 9 | |||||||||
USD 119 | EUR | 101 | Morgan Stanley & Co. | 10/02/2020 | | (h) | ||||||||
USD 1,066 | EUR | 901 | Morgan Stanley & Co. | 10/02/2020 | 10 | |||||||||
USD 2,571 | EUR | 2,173 | Morgan Stanley & Co. | 10/02/2020 | 24 | |||||||||
USD 1,466 | EUR | 1,237 | Morgan Stanley & Co. | 10/02/2020 | 15 | |||||||||
USD 1,419 | EUR | 1,198 | Morgan Stanley & Co. | 10/02/2020 | 14 | |||||||||
EUR 125,146 | USD | 146,392 | UBS AG LONDON | 10/02/2020 | 335 | |||||||||
USD 329 | EUR | 275 | UBS AG LONDON | 10/02/2020 | 7 | |||||||||
USD 26,594 | EUR | 22,275 | UBS AG LONDON | 10/02/2020 | 478 | |||||||||
USD 209 | EUR | 175 | UBS AG LONDON | 10/02/2020 | 4 | |||||||||
GBP 25,090 | USD | 32,235 | Bank of America, NA | 10/02/2020 | 140 | |||||||||
USD 22,823 | GBP | 17,376 | Citibank, NA | 10/02/2020 | 402 | |||||||||
GBP 14,426 | USD | 18,410 | Citibank, NA | 10/02/2020 | 204 | |||||||||
USD 18,304 | GBP | 13,936 | Citibank, NA | 10/02/2020 | 322 | |||||||||
GBP 990 | USD | 1,271 | Citibank, NA | 10/02/2020 | 7 | |||||||||
GBP 17,376 | USD | 22,179 | Citibank, NA | 10/02/2020 | 242 | |||||||||
GBP 4,092 | USD | 5,253 | Citibank, NA | 10/02/2020 | 27 | |||||||||
GBP 25,090 | USD | 32,232 | Citibank, NA | 10/02/2020 | 143 | |||||||||
USD 51,629 | GBP | 38,760 | Citibank, NA | 10/02/2020 | 1,615 | |||||||||
USD 281 | GBP | 210 | HSBC Bank USA, NA | 10/02/2020 | 10 | |||||||||
GBP 25,172 | USD | 32,364 | UBS AG LONDON | 10/02/2020 | 117 | |||||||||
USD 124 | GBP | 93 | UBS AG LONDON | 10/02/2020 | 4 | |||||||||
USD 51,632 | GBP | 38,760 | UBS AG LONDON | 10/02/2020 | 1,618 | |||||||||
USD 1,285 | GBP | 965 | UBS AG LONDON | 10/02/2020 | 39 | |||||||||
USD 33 | GBP | 25 | UBS AG LONDON | 10/02/2020 | 1 | |||||||||
USD 5,501 | GBP | 4,132 | UBS AG LONDON | 10/02/2020 | 169 | |||||||||
USD 1,198 | HUF | 355,853 | Goldman Sachs International | 10/02/2020 | 50 | |||||||||
HUF 593,764 | USD | 1,903 | Goldman Sachs International | 10/02/2020 | 12 | |||||||||
USD 801 | HUF | 237,911 | Goldman Sachs International | 10/02/2020 | 33 | |||||||||
USD 6,023 | IDR | 87,909,800 | Brown Brothers Harriman & Co. | 10/02/2020 | 115 | |||||||||
USD 384 | JPY | 40,000 | Bank of America, NA | 10/02/2020 | 4 | |||||||||
JPY 7,365,715 | USD | 69,832 | Barclays Bank plc | 10/02/2020 | 9 | |||||||||
JPY 500,000 | USD | 4,740 | BNP Paribas SA | 10/02/2020 | 1 | |||||||||
JPY 33,168,200 | USD | 314,280 | Citibank, NA | 10/02/2020 | 215 | |||||||||
JPY 151,700 | USD | 1,431 | Morgan Stanley & Co. | 10/02/2020 | 7 | |||||||||
JPY 60,000 | USD | 566 | Morgan Stanley & Co. | 10/02/2020 | 3 | |||||||||
USD 286 | JPY | 30,000 | Morgan Stanley & Co. | 10/02/2020 | 2 | |||||||||
USD 183 | JPY | 19,229 | Morgan Stanley & Co. | 10/02/2020 | 1 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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, 2020 (continued):
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||||||||||
MYR 25,000 | USD | 6,013 | BNP Paribas SA | 10/02/2020 | 4 | |||||||||
USD 6,023 | MYR | 25,000 | Deutsche Bank AG | 10/02/2020 | 7 | |||||||||
NOK 17,581 | USD | 1,860 | Bank of America, NA | 10/02/2020 | 25 | |||||||||
NOK 2,131 | USD | 223 | Citibank, NA | 10/02/2020 | 5 | |||||||||
USD 238 | NOK | 2,131 | HSBC Bank USA, NA | 10/02/2020 | 10 | |||||||||
USD 729 | NOK | 6,382 | UBS AG LONDON | 10/02/2020 | 45 | |||||||||
USD 1,279 | NOK | 11,199 | UBS AG LONDON | 10/02/2020 | 78 | |||||||||
USD 2,425 | NZD | 3,600 | Bank of America, NA | 10/02/2020 | 43 | |||||||||
NZD 4,200 | USD | 2,767 | Morgan Stanley & Co. | 10/02/2020 | 12 | |||||||||
NZD 498 | USD | 325 | Morgan Stanley & Co. | 10/02/2020 | 5 | |||||||||
USD 406 | NZD | 600 | UBS AG LONDON | 10/02/2020 | 9 | |||||||||
USD 5,569 | PLN | 20,548 | UBS AG LONDON | 10/02/2020 | 254 | |||||||||
PLN 20,518 | USD | 5,295 | UBS AG LONDON | 10/02/2020 | 13 | |||||||||
SEK 39,297 | USD | 4,365 | Bank of America, NA | 10/02/2020 | 23 | |||||||||
SEK 31,740 | USD | 3,526 | Bank of America, NA | 10/02/2020 | 18 | |||||||||
USD 2,891 | SEK | 24,956 | Morgan Stanley & Co. | 10/02/2020 | 105 | |||||||||
USD 1,661 | SEK | 14,341 | Morgan Stanley & Co. | 10/02/2020 | 60 | |||||||||
USD 3,677 | SEK | 31,740 | Morgan Stanley & Co. | 10/02/2020 | 133 | |||||||||
USD 639 | SEK | 5,597 | Morgan Stanley & Co. | 10/02/2020 | 14 | |||||||||
SEK 5,597 | USD | 616 | Morgan Stanley & Co. | 10/02/2020 | 9 | |||||||||
USD 4,271 | SGD | 5,800 | BNP Paribas SA | 10/02/2020 | 22 | |||||||||
SGD 5,800 | USD | 4,237 | UBS AG LONDON | 10/02/2020 | 12 | |||||||||
USD 7,322 | THB | 227,600 | Goldman Sachs International | 10/02/2020 | 139 | |||||||||
HKD 1,600 | USD | 206 | BNP Paribas SA | 10/06/2020 | | (h) | ||||||||
CNH 856,570 | USD | 125,652 | Bank of America, NA | 10/13/2020 | 513 | |||||||||
USD 74 | CNH | 500 | BNP Paribas SA | 10/13/2020 | | (h) | ||||||||
USD 310 | CNH | 2,100 | Citibank, NA | 10/13/2020 | 1 | |||||||||
USD 365 | IDR | 5,438,500 | Bank of America, NA | 10/16/2020 | | (h) | ||||||||
USD 94 | IDR | 1,392,500 | Bank of America, NA | 10/16/2020 | | (h) | ||||||||
USD 94 | IDR | 1,392,500 | Goldman Sachs International | 10/16/2020 | | (h) | ||||||||
USD 366 | IDR | 5,438,500 | Goldman Sachs International | 10/16/2020 | 1 | |||||||||
USD 723 | MYR | 3,000 | Morgan Stanley & Co. | 10/16/2020 | 2 | |||||||||
USD 248 | MYR | 1,030 | Morgan Stanley & Co. | 10/16/2020 | 1 | |||||||||
USD 436 | CZK | 9,653 | Citibank, NA | 10/19/2020 | 18 | |||||||||
USD 236 | CZK | 5,177 | Citibank, NA | 10/19/2020 | 12 | |||||||||
USD 6 | DKK | 38 | Citibank, NA | 10/19/2020 | | (h) | ||||||||
USD 308 | DKK | 1,923 | HSBC Bank USA, NA | 10/19/2020 | 6 | |||||||||
USD 224 | DKK | 1,408 | HSBC Bank USA, NA | 10/19/2020 | 2 | |||||||||
USD 597 | EUR | 503 | HSBC Bank USA, NA | 10/19/2020 | 7 | |||||||||
GBP 24 | USD | 30 | Citibank, NA | 10/19/2020 | 1 | |||||||||
USD 1,060 | GBP | 818 | Morgan Stanley & Co. | 10/19/2020 | 4 | |||||||||
USD 1,009 | GBP | 779 | Morgan Stanley & Co. | 10/19/2020 | 3 | |||||||||
GBP 14 | USD | 18 | Morgan Stanley & Co. | 10/19/2020 | | (h) | ||||||||
USD 121 | HUF | 35,485 | HSBC Bank USA, NA | 10/19/2020 | 7 | |||||||||
USD 310 | PLN | 1,155 | Citibank, NA | 10/19/2020 | 11 | |||||||||
USD 122 | PLN | 450 | Citibank, NA | 10/19/2020 | 6 | |||||||||
USD 236 | PLN | 864 | HSBC Bank USA, NA | 10/19/2020 | 12 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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, 2020 (continued):
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||||||||||
USD 250 | RON | 1,017 | Citibank, NA | 10/19/2020 | 5 | |||||||||
USD 337 | AUD | 470 | BNP Paribas SA | 11/03/2020 | | (h) | ||||||||
USD 717 | AUD | 1,000 | Deutsche Bank AG | 11/03/2020 | 1 | |||||||||
USD 38 | CHF | 35 | Citibank, NA | 11/03/2020 | | (h) | ||||||||
USD 87 | CHF | 80 | UBS AG LONDON | 11/03/2020 | | (h) | ||||||||
USD 94 | EUR | 80 | Citibank, NA | 11/03/2020 | | (h) | ||||||||
USD 153 | EUR | 130 | Citibank, NA | 11/03/2020 | | (h) | ||||||||
USD 117 | EUR | 100 | Citibank, NA | 11/03/2020 | | (h) | ||||||||
USD 141 | EUR | 120 | Citibank, NA | 11/03/2020 | | (h) | ||||||||
USD 1,204 | EUR | 1,026 | Morgan Stanley & Co. | 11/03/2020 | | (h) | ||||||||
USD 821 | EUR | 700 | UBS AG LONDON | 11/03/2020 | | (h) | ||||||||
USD 821 | EUR | 700 | UBS AG LONDON | 11/03/2020 | | (h) | ||||||||
USD 39 | GBP | 30 | Citibank, NA | 11/03/2020 | | (h) | ||||||||
USD 129 | GBP | 100 | Citibank, NA | 11/03/2020 | | (h) | ||||||||
USD 32 | GBP | 25 | Citibank, NA | 11/03/2020 | | (h) | ||||||||
USD 506 | GBP | 392 | Morgan Stanley & Co. | 11/03/2020 | 1 | |||||||||
USD 206 | HKD | 1,600 | BNP Paribas SA | 11/03/2020 | | (h) | ||||||||
USD 99 | SEK | 885 | UBS AG LONDON | 11/03/2020 | | (h) | ||||||||
USD 6,217 | EUR | 5,298 | Morgan Stanley & Co. | 11/04/2020 | 1 | |||||||||
USD 12,995 | EUR | 11,074 | UBS AG LONDON | 11/04/2020 | 2 | |||||||||
USD 2,688 | GBP | 2,079 | Citibank, NA | 11/04/2020 | 5 | |||||||||
USD 2,149 | GBP | 1,662 | Morgan Stanley & Co. | 11/04/2020 | 4 | |||||||||
CNH 33 | USD | 5 | Barclays Bank plc | 11/06/2020 | | (h) | ||||||||
USD 65 | CLP | 50,223 | HSBC Bank USA, NA | 12/16/2020 | 1 | |||||||||
USD 415 | ILS | 1,410 | HSBC Bank USA, NA | 12/16/2020 | 3 | |||||||||
USD 1,040 | MXN | 22,914 | Morgan Stanley & Co. | 12/16/2020 | 13 | |||||||||
USD 340 | PEN | 1,205 | Citibank, NA | 12/16/2020 | 6 | |||||||||
USD 482 | RUB | 36,948 | Citibank, NA | 12/16/2020 | 10 | |||||||||
USD 1,537 | RUB | 118,724 | Goldman Sachs International | 12/16/2020 | 22 | |||||||||
USD 3,054 | RUB | 235,900 | Goldman Sachs International | 12/16/2020 | 44 | |||||||||
USD 666 | THB | 21,000 | Citibank, NA | 12/16/2020 | 3 | |||||||||
USD 311 | THB | 9,747 | HSBC Bank USA, NA | 12/16/2020 | 3 | |||||||||
USD 233 | THB | 7,330 | HSBC Bank USA, NA | 12/16/2020 | 2 | |||||||||
|
| |||||||||||||
Total unrealized appreciation | 22,130 | |||||||||||||
|
| |||||||||||||
AUD 142 | CAD | 136 | HSBC Bank USA, NA | 10/02/2020 | ( | )(h) | ||||||||
CHF 50 | USD | 56 | UBS AG LONDON | 10/02/2020 | (1 | ) | ||||||||
EUR 2,778 | USD | 3,325 | Bank of America, NA | 10/02/2020 | (68 | ) | ||||||||
EUR 291 | USD | 349 | Citibank, NA | 10/02/2020 | (7 | ) | ||||||||
EUR 2,774 | USD | 3,320 | Goldman Sachs International | 10/02/2020 | (67 | ) | ||||||||
EUR 706 | USD | 845 | Morgan Stanley & Co. | 10/02/2020 | (17 | ) | ||||||||
EUR 420 | USD | 502 | Morgan Stanley & Co. | 10/02/2020 | (10 | ) | ||||||||
GBP 2,261 | USD | 3,028 | Goldman Sachs International | 10/02/2020 | (111 | ) | ||||||||
USD 359 | GBP | 280 | HSBC Bank USA, NA | 10/02/2020 | (2 | ) | ||||||||
GBP 40 | USD | 54 | UBS AG LONDON | 10/02/2020 | (2 | ) | ||||||||
USD 159,640 | JPY | 16,847,450 | Bank of America, NA | 10/02/2020 | (104 | ) | ||||||||
USD 69,040 | JPY | 7,346,486 | Barclays Bank plc | 10/02/2020 | (619 | ) | ||||||||
USD 159,570 | JPY | 16,847,450 | Goldman Sachs International | 10/02/2020 | (175 | ) |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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, 2020 (continued):
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||||||||
USD 800 | JPY | 85,000 | Morgan Stanley & Co. | 10/02/2020 | (6 | ) | ||||||
USD 284 | JPY | 30,000 | Morgan Stanley & Co. | 10/02/2020 | ( | )(h) | ||||||
USD 326 | NZD | 498 | Citibank, NA | 10/02/2020 | (4 | ) | ||||||
PLN 30 | USD | 8 | UBS AG LONDON | 10/02/2020 | ( | )(h) | ||||||
THB 227,600 | USD | 7,187 | Citibank, NA | 10/02/2020 | (4 | ) | ||||||
USD 206 | HKD | 1,600 | Bank of America, NA | 10/06/2020 | ( | )(h) | ||||||
USD 1,022 | CNH | 7,000 | Citibank, NA | 10/13/2020 | (9 | ) | ||||||
USD 259 | CNH | 1,770 | Citibank, NA | 10/13/2020 | (2 | ) | ||||||
USD 146 | CNH | 1,000 | Citibank, NA | 10/13/2020 | (1 | ) | ||||||
USD 73 | CNH | 500 | Citibank, NA | 10/13/2020 | (1 | ) | ||||||
USD 117,888 | CNH | 809,700 | Morgan Stanley & Co. | 10/13/2020 | (1,374 | ) | ||||||
USD 4,950 | CNH | 34,000 | Morgan Stanley & Co. | 10/13/2020 | (58 | ) | ||||||
USD 18,613 | KRW | 22,120,500 | Citibank, NA | 10/16/2020 | (301 | ) | ||||||
USD 6,056 | KRW | 7,197,200 | Citibank, NA | 10/16/2020 | (98 | ) | ||||||
USD 262 | KRW | 307,100 | Goldman Sachs International | 10/16/2020 | ( | )(h) | ||||||
CZK 4,827 | USD | 219 | Citibank, NA | 10/19/2020 | (9 | ) | ||||||
USD 21 | CZK | 506 | Morgan Stanley & Co. | 10/19/2020 | (1 | ) | ||||||
USD 60 | DKK | 393 | Barclays Bank plc | 10/19/2020 | (2 | ) | ||||||
USD 750 | GBP | 583 | HSBC Bank USA, NA | 10/19/2020 | (1 | ) | ||||||
GBP 252 | USD | 337 | Morgan Stanley & Co. | 10/19/2020 | (12 | ) | ||||||
USD 28 | PLN | 111 | Citibank, NA | 10/19/2020 | (1 | ) | ||||||
USD 25,840 | AUD | 36,320 | BNP Paribas SA | 11/03/2020 | (176 | ) | ||||||
USD 5,271 | AUD | 7,491 | Morgan Stanley & Co. | 11/03/2020 | (95 | ) | ||||||
USD 9,162 | CAD | 12,269 | Citibank, NA | 11/03/2020 | (54 | ) | ||||||
USD 109 | CAD | 145 | Citibank, NA | 11/03/2020 | ( | )(h) | ||||||
USD 2,192 | CHF | 2,027 | Barclays Bank plc | 11/03/2020 | (11 | ) | ||||||
USD 3,430 | CHF | 3,160 | UBS AG LONDON | 11/03/2020 | (4 | ) | ||||||
USD 125,457 | CNH | 856,570 | Bank of America, NA | 11/03/2020 | (509 | ) | ||||||
USD 7,739 | CNH | 52,830 | Citibank, NA | 11/03/2020 | (30 | ) | ||||||
USD 409 | DKK | 2,600 | UBS AG LONDON | 11/03/2020 | (1 | ) | ||||||
USD 22,621 | EUR | 19,310 | Bank of America, NA | 11/03/2020 | (35 | ) | ||||||
USD 26,299 | EUR | 22,450 | Bank of America, NA | 11/03/2020 | (40 | ) | ||||||
USD 35,673 | EUR | 30,569 | Barclays Bank plc | 11/03/2020 | (192 | ) | ||||||
USD 80,276 | EUR | 68,792 | Barclays Bank plc | 11/03/2020 | (433 | ) | ||||||
USD 80,079 | EUR | 68,792 | Citibank, NA | 11/03/2020 | (630 | ) | ||||||
USD 35,585 | EUR | 30,569 | Citibank, NA | 11/03/2020 | (280 | ) | ||||||
USD 1,077 | EUR | 919 | HSBC Bank USA, NA | 11/03/2020 | (1 | ) | ||||||
USD 1,598 | EUR | 1,363 | HSBC Bank USA, NA | 11/03/2020 | (1 | ) | ||||||
USD 22,182 | GBP | 17,376 | Citibank, NA | 11/03/2020 | (242 | ) | ||||||
USD 5,254 | GBP | 4,092 | Citibank, NA | 11/03/2020 | (27 | ) | ||||||
USD 1,271 | GBP | 990 | Citibank, NA | 11/03/2020 | (7 | ) | ||||||
GBP 20 | USD | 26 | Citibank, NA | 11/03/2020 | ( | )(h) | ||||||
USD 18,413 | GBP | 14,426 | Citibank, NA | 11/03/2020 | (205 | ) | ||||||
USD 1,384 | GBP | 1,072 | HSBC Bank USA, NA | 11/03/2020 | ( | )(h) | ||||||
USD 5,863 | IDR | 87,909,800 | Brown Brothers Harriman & Co. | 11/03/2020 | (28 | ) | ||||||
USD 6,005 | MYR | 25,000 | BNP Paribas SA | 11/03/2020 | (3 | ) | ||||||
USD 223 | NOK | 2,131 | Citibank, NA | 11/03/2020 | (5 | ) |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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, 2020 (continued):
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||||||||
USD 2,767 | NZD | 4,200 | Morgan Stanley & Co. | 11/03/2020 | (12 | ) | ||||||
USD 325 | NZD | 498 | Morgan Stanley & Co. | 11/03/2020 | (5 | ) | ||||||
USD 3,527 | SEK | 31,740 | Bank of America, NA | 11/03/2020 | (18 | ) | ||||||
USD 616 | SEK | 5,597 | Morgan Stanley & Co. | 11/03/2020 | (9 | ) | ||||||
USD 4,237 | SGD | 5,800 | UBS AG LONDON | 11/03/2020 | (12 | ) | ||||||
USD 7,176 | THB | 227,600 | Citibank, NA | 11/03/2020 | (6 | ) | ||||||
USD 4,938 | CHF | 4,549 | UBS AG LONDON | 11/04/2020 | (6 | ) | ||||||
USD 2,961 | CZK | 68,810 | Morgan Stanley & Co. | 11/04/2020 | (21 | ) | ||||||
USD 5,160 | DKK | 32,803 | UBS AG LONDON | 11/04/2020 | (9 | ) | ||||||
USD 146,179 | EUR | 124,770 | Bank of America, NA | 11/04/2020 | (210 | ) | ||||||
USD 146,253 | EUR | 124,770 | Citibank, NA | 11/04/2020 | (136 | ) | ||||||
USD 146,492 | EUR | 125,146 | UBS AG LONDON | 11/04/2020 | (338 | ) | ||||||
USD 32,240 | GBP | 25,090 | Bank of America, NA | 11/04/2020 | (140 | ) | ||||||
USD 32,237 | GBP | 25,090 | Citibank, NA | 11/04/2020 | (144 | ) | ||||||
USD 32,369 | GBP | 25,172 | UBS AG LONDON | 11/04/2020 | (117 | ) | ||||||
USD 1,902 | HUF | 593,764 | Goldman Sachs International | 11/04/2020 | (12 | ) | ||||||
USD 69,858 | JPY | 7,365,715 | Barclays Bank plc | 11/04/2020 | (8 | ) | ||||||
USD 842 | JPY | 88,830 | BNP Paribas SA | 11/04/2020 | (1 | ) | ||||||
USD 314,394 | JPY | 33,168,200 | Citibank, NA | 11/04/2020 | (219 | ) | ||||||
JPY 20,659 | USD | 196 | Citibank, NA | 11/04/2020 | ( | )(h) | ||||||
USD 444 | JPY | 46,792 | Citibank, NA | 11/04/2020 | ( | )(h) | ||||||
USD 1,860 | NOK | 17,581 | Bank of America, NA | 11/04/2020 | (25 | ) | ||||||
USD 5,296 | PLN | 20,518 | UBS AG LONDON | 11/04/2020 | (13 | ) | ||||||
USD 4,367 | SEK | 39,297 | Bank of America, NA | 11/04/2020 | (23 | ) | ||||||
USD 597 | CNH | 4,198 | Barclays Bank plc | 11/06/2020 | (20 | ) | ||||||
USD 5,176 | CNH | 35,947 | Citibank, NA | 11/06/2020 | (109 | ) | ||||||
USD 929 | CNH | 6,370 | Citibank, NA | 11/06/2020 | (8 | ) | ||||||
USD 6,179 | CNH | 43,107 | Citibank, NA | 11/06/2020 | (159 | ) | ||||||
USD 1,444 | CNH | 10,081 | HSBC Bank USA, NA | 11/06/2020 | (38 | ) | ||||||
USD 1,481 | CNH | 10,348 | HSBC Bank USA, NA | 11/06/2020 | (40 | ) | ||||||
USD 807 | CNH | 5,541 | HSBC Bank USA, NA | 11/06/2020 | (8 | ) | ||||||
USD 7,027 | CNH | 48,787 | HSBC Bank USA, NA | 11/06/2020 | (146 | ) | ||||||
USD 1,309 | CNH | 9,089 | HSBC Bank USA, NA | 11/06/2020 | (27 | ) | ||||||
USD 3,933 | CNH | 27,351 | HSBC Bank USA, NA | 11/06/2020 | (88 | ) | ||||||
USD 408 | EUR | 350 | Morgan Stanley & Co. | 12/16/2020 | (3 | ) | ||||||
USD 2,491 | IDR | 37,401,199 | HSBC Bank USA, NA | 12/16/2020 | (5 | ) | ||||||
USD 494 | MYR | 2,059 | Barclays Bank plc | 12/16/2020 | ( | )(h) | ||||||
USD 512 | MYR | 2,137 | Morgan Stanley & Co. | 12/16/2020 | (1 | ) | ||||||
USD 608 | SGD | 830 | HSBC Bank USA, NA | 12/16/2020 | ( | )(h) | ||||||
|
| |||||||||||
Total unrealized depreciation | (8,212 | ) | ||||||||||
|
| |||||||||||
Net unrealized appreciation (depreciation) | 13,918 | |||||||||||
|
|
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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, 2020:
FLOATING RATE INDEX (a) | FIXED RATE | PAY/ RECEIVE | MATURITY DATE | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) ($) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) | |||||||||||||||||
BBSW Interbank Volume 6 Month | 2.50% semi-annually | Pay | 12/03/2025 | AUD | 3,390 | 269 | 22 | 291 | ||||||||||||||||
BBSW Interbank Volume 6 Month | 2.75% semi-annually | Pay | 12/03/2030 | AUD | 1,035 | 144 | 6 | 150 | ||||||||||||||||
Canada Bankers Acceptances 3 Month | 2.45% semi-annually | Pay | 12/03/2022 | CAD | 4,125 | 135 | 14 | 149 | ||||||||||||||||
Canada Bankers Acceptances 3 Month | 2.50% semi-annually | Pay | 12/03/2025 | CAD | 6,915 | 475 | 21 | 496 | ||||||||||||||||
Canada Bankers Acceptances 3 Month | 2.65% semi-annually | Pay | 12/03/2030 | CAD | 2,725 | 329 | 6 | 335 | ||||||||||||||||
Canada Bankers Acceptances 3 Month | 2.80% semi-annually | Pay | 12/03/2040 | CAD | 1,585 | 308 | | (h) | 308 | |||||||||||||||
Canada Bankers Acceptances 3 Month | 2.80% semi-annually | Pay | 12/03/2049 | CAD | 1,245 | 322 | | (h) | 322 | |||||||||||||||
Colombia IBR Overnight Nominal Interbank Reference Rate | 4.44% quarterly | Pay | 09/10/2030 | COP | 2,257,000 | | (h) | 8 | 8 | |||||||||||||||
ICE LIBOR USD 3 Month | 1.25% semi-annually | Receive | 06/17/2030 | USD | 500 | (27 | ) | (1 | ) | (28 | ) | |||||||||||||
ICE LIBOR USD 3 Month | 0.69% semi-annually | Receive | 12/16/2030 | USD | 200 | | (h) | 1 | 1 | |||||||||||||||
ICE LIBOR USD 3 Month | 1.00% semi-annually | Pay | 12/16/2030 | USD | 6,900 | 164 | 20 | 184 | ||||||||||||||||
ICE LIBOR USD 3 Month | 0.69% semi-annually | Receive | 12/16/2030 | USD | 100 | | (h) | | (h) | | (h) | |||||||||||||
ICE LIBOR JPY 6 Month | 0.10% semi-annually | Pay | 12/03/2025 | JPY | 140,000 | 9 | 2 | 11 | ||||||||||||||||
ICE LIBOR JPY 6 Month | 0.30% semi-annually | Pay | 12/03/2030 | JPY | 143,500 | 36 | 3 | 39 | ||||||||||||||||
KRW Certificate of Deposit 3 Month | 0.99% quarterly | Pay | 09/01/2025 | KRW | 2,400,000 | | (h) | 11 | 11 | |||||||||||||||
KRW Certificate of Deposit 3 Month | 0.96% quarterly | Pay | 08/14/2030 | KRW | 2,100,000 | | (h) | (3 | ) | (3 | ) | |||||||||||||
KRW Certificate of Deposit 3 Month | 0.94% quarterly | Pay | 08/19/2030 | KRW | 3,575,000 | | (h) | (13 | ) | (13 | ) | |||||||||||||
SONIA Interest Rate | 0.11% annually | Receive | 09/30/2030 | GBP | 500 | | (h) | 2 | 2 | |||||||||||||||
SONIA Interest Rate | 0.26% annually | Receive | 09/30/2040 | GBP | 275 | | (h) | 3 | 3 | |||||||||||||||
SONIA Interest Rate | 0.26% annually | Receive | 09/30/2050 | GBP | 200 | | (h) | 3 | 3 | |||||||||||||||
United States FEDEF Intraday | 0.03% annually | Receive | 06/12/2022 | USD | 450 | | (h) | | (h) | | (h) | |||||||||||||
|
| |||||||||||||||||||||||
Total |
| 2,164 | 105 | 2,269 | ||||||||||||||||||||
|
|
(a) | Value of floating rate index as of September 30, 2020 was as follows: |
FLOATING RATE INDEX | ||||
BBSW Interbank Volume 6 Month | 0.12 | % | ||
Canada Bankers Acceptances 3 Month | 0.51 | % | ||
Colombia IBR Overnight Nominal Interbank Reference Rate | 1.72 | % | ||
ICE LIBOR USD 3 Month | 0.23 | % | ||
ICE LIBOR JPY 6 Month | (0.53 | )% | ||
KRW Certificate of Deposit 3 Month | 0.63 | % | ||
SONIA Interest Rate | 0.05 | % | ||
United States FEDEF Intraday | 0.09 | % |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Centrally Cleared Credit default swap contracts outstanding sell protection (1) as of September 30, 2020:
REFERENCE | FINANCING RATE RECEIVED BY THE FUND (%) | PAYMENT FREQUENCY | MATURITY DATE | IMPLIED CREDIT SPREAD (%) (2) | NOTIONAL AMOUNT (3) | UPFRONT PAYMENTS (RECEIPTS) ($) (4) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) | ||||||||||||||||||||||||||||
CDX.NA.IG.34-V1 | 1.000 | quarterly | 06/20/2025 | 0.85 | USD | 1,000 | 17 | (7 | ) | 10 | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
Total |
| 17 | (7 | ) | 10 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
(1) | The Fund, as a seller of credit protection, receives periodic payments and may also receive or pay an upfront premium from or to the protection buyer, and is obligated to make a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. |
(2) | Implied credit spreads are an indication of the sellers performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e. make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average spread across the underlying reference obligations included in a particular index. |
(3) | The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive, upon occurrence of a credit event. |
(4) | Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). |
Six Circles Global Bond Fund
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020
ACES | | Alternative Credit Enhancement Securities | ||
ARM | | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of September 30, 2020. | ||
BBSW | | Bank Bill Swap Rate | ||
CDX | | Credit Default Swap Index | ||
CLO | | Collateralized Loan Obligations | ||
CMT | | Constant Maturity Treasury | ||
CPI | | Consumer Price Index | ||
EURIBOR | | Euro Interbank Offered Rate | ||
DN | | Discount Notes | ||
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 | ||
IBR | | Indicador Bancario de Referencia | ||
ICE | | Intercontinental Exchange | ||
IF | | Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the rate in effect as of September 30, 2020. The rate may be subject to a cap and floor. | ||
IO | | Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. | ||
LIBOR | | London Interbank Offered Rate | ||
OYJ | | Public Limited Company | ||
PO | | Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. | ||
Reg. S | | Security was purchased pursuant to Regulation S under the Securities Act of 1933, as amended (the Securities Act), which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act, or pursuant to an exemption from registration. | ||
REIT | | Real Estate Investment Trust | ||
REMICS | | Real Estate Mortgage Investment Conduit | ||
Rev. | | Revenue |
Six Circles Global Bond Fund
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (continued)
SOFR | | Secured Overnight Financing Rate | ||
SONIA | | Sterling Overnight Interbank Average Rate | ||
STRIPS | | Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. | ||
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. | ||
(g) | | Amount rounds to less than 0.05%. | ||
(h) | | Amount rounds to less than 500. | ||
(t) | | The date shown represents the earliest of the next put date or final maturity date. | ||
(w) | | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | ||
(x) | | Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of September 30, 2020. | ||
(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, 2020. | ||
(aa) | | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of September 30, 2020 | ||
(bb) | | Security has been valued using significant unobservable inputs. | ||
(dd) | | Approximately $449,646 of this investment is restricted as collateral for forwards to various brokers. | ||
(ee) | | Approximately $289,721 of this investment is restricted as collateral for futures to Citibank NA. | ||
(ff) | | Approximately $290,428 of these investments is restricted as collateral for swaps to Citibank NA. | ||
* | | The cost of securities is substantially the same for federal income tax purposes. | ||
AUD | | Australian Dollar | ||
CAD | | Canadian Dollar | ||
CHF | | Swiss Franc | ||
CLP | | Chilean Peso | ||
CNH | | Chinese Yuan | ||
COP | | Colombian Peso | ||
CZK | | Czech Koruna | ||
DKK | | Danish Krone | ||
EUR | | Euro | ||
GBP | | British Pound | ||
HKD | | Hong Kong Dollar | ||
HUF | | Hungarian Forint | ||
IDR | | Indonesian Rupiah | ||
ILS | | Israeli New Shekel | ||
Six Circles Global Bond Fund
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (continued)
JPY | | Japanese Yen | ||
KRW | | Korean Won | ||
MXN | | Mexican Peso | ||
MYR | | Malaysian Ringgit | ||
NOK | | Norwegian Krone | ||
NZD | | New Zealand Dollar | ||
PEN | | Peruvian Nuevo Sol | ||
PLN | | Polish Zloty | ||
RON | | Romanian Leu | ||
RUB | | Russian Ruble | ||
SEK | | Swedish Krona | ||
SGD | | Singapore Dollar | ||
THB | | Thai Baht | ||
USD | | United States Dollar |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds 92.7% (t) | ||||||||
Alabama 0.9% | ||||||||
Alabama Federal Aid Highway Finance Authority, Series A, Rev., 5.00%, 09/01/2035 | 2,000 | 2,453 | ||||||
Black Belt Energy Gas District, Project No. 4, Series A1, Rev., 4.00%, 12/01/2049 (z) | 1,175 | 1,347 | ||||||
Black Belt Energy Gas District, Project No. 5, Series A1, Rev., 4.00%, 10/01/2049 (z) | 750 | 872 | ||||||
County of Jefferson, Sewer Revenue, Subordinated Lien, Series D, Rev., 6.50%, 10/01/2053 | 220 | 259 | ||||||
Industrial Development Board of the City of Mobile Alabama, Power Co., Barry Plant, Rev., 2.90%, 07/15/2034 (z) | 2,000 | 2,134 | ||||||
Mobile Downtown Redevelopment Authority, Austal USA LLC, Series B, Rev., VRDO, LOC: Citibank NA, 0.13%, 10/07/2020 (e) (z) | 1,795 | 1,795 | ||||||
Selma Industrial Development Board, International Paper Co. Project, Rev., 1.38%, 05/01/2034 (z) | 1,000 | 1,019 | ||||||
Southeast Alabama Gas Supply District (The), Project No. 2, Series A, Rev., 4.00%, 06/01/2049 (z) | 100 | 111 | ||||||
Tuscaloosa City Board of Education, Warrants, | ||||||||
Rev., 5.00%, 08/01/2041 (p) | 2,525 | 3,200 | ||||||
Rev., 5.00%, 08/01/2046 (p) | 4,170 | 5,286 | ||||||
UAB Medicine Finance Authority, Series B, Rev., 5.00%, 09/01/2041 | 1,450 | 1,699 | ||||||
|
| |||||||
20,175 | ||||||||
|
| |||||||
Alaska 0.5% | ||||||||
Alaska Housing Finance Corp., General Mortgage, Series B, Rev., 3.25%, 12/01/2044 | 245 | 272 | ||||||
Alaska Housing Finance Corp., State Capital Project, Rev., 5.00%, 12/01/2031 | 1,690 | 1,824 | ||||||
City of Valdez, Exxon Pipeline Co. Project, Rev., VRDO, 0.13%, 10/01/2020 (z) | 10,000 | 10,000 | ||||||
|
| |||||||
12,096 | ||||||||
|
| |||||||
Arizona 2.3% | ||||||||
Arizona Health Facilities Authority, Banner Health, Series E, Rev., VRDO, LOC: Bank of America NA, 0.11%, 10/07/2020 (z) | 8,125 | 8,125 | ||||||
Arizona Industrial Development Authority, | ||||||||
Series A, Rev., 4.00%, 09/01/2035 | 225 | 259 | ||||||
Series A, Rev., 4.00%, 09/01/2036 | 250 | 286 | ||||||
Arizona State University, Board of Regents, | ||||||||
Series B, Rev., 5.00%, 07/01/2026 | 100 | 125 | ||||||
Series B, Rev., 5.00%, 07/01/2042 | 2,000 | 2,422 | ||||||
Chandler Industrial Development Authority, Intel Corp. Project, Rev., 2.40%, 12/01/2035 (z) | 300 | 315 | ||||||
City of Phoenix, Civic Improvement Corp., Series A, Rev., 5.00%, 07/01/2034 | 2,000 | 2,276 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Arizona continued | ||||||||
City of Phoenix, Civic Improvement Corp., Airport Revenue, Junior Lien, | ||||||||
Series A, Rev., 5.00%, 07/01/2044 | 1,000 | 1,196 | ||||||
Series B, Rev., AMT, 5.00%, 07/01/2027 | 1,500 | 1,856 | ||||||
Series B, Rev., AMT, 5.00%, 07/01/2033 | 2,000 | 2,448 | ||||||
City of Phoenix, Civic Improvement Corp., Senior Lien, Series B, Rev., 5.00%, 07/01/2021 | 1,500 | 1,554 | ||||||
County of Pima, Sewer System Revenue, Series A, Rev., 5.00%, 07/01/2021 | 2,000 | 2,072 | ||||||
Industrial Development Authority of the City of Phoenix, Mayo Clinic, Series A, Rev., VRDO, 0.11%, 10/01/2020 (z) | 12,000 | 12,000 | ||||||
Maricopa County Industrial Development Authority, Banner Health Obligated Group, Rev., 5.00%, 01/01/2026 | 2,500 | 3,040 | ||||||
Maricopa County Pollution Control Corp., Public Service Company of New Mexico, Rev., 1.05%, 01/01/2038 (z) | 695 | 697 | ||||||
Salt River Project Agricultural Improvement & Power, Series A, Rev., 5.00%, 12/01/2045 | 7,100 | 8,411 | ||||||
Salt River Project Agricultural Improvement & Power District, Series A, Rev., 5.00%, 01/01/2022 | 1,000 | 1,061 | ||||||
Salt Verde Financial Corp., Rev., 5.00%, 12/01/2032 | 420 | 548 | ||||||
Salt Verde Financial Corp., Senior, | ||||||||
Rev., 5.00%, 12/01/2037 | 2,345 | 3,164 | ||||||
Rev., 5.25%, 12/01/2021 | 600 | 630 | ||||||
Rev., 5.50%, 12/01/2029 | 1,475 | 1,942 | ||||||
|
| |||||||
54,427 | ||||||||
|
| |||||||
California 11.2% | ||||||||
Alameda County, Oakland Unified School District, | ||||||||
GO, 5.00%, 08/01/2027 | 65 | 80 | ||||||
Series A, GO, 5.00%, 08/01/2040 | 300 | 346 | ||||||
Anaheim Housing & Public Improvements Authority, | ||||||||
Series A, Rev., 5.00%, 10/01/2035 | 250 | 299 | ||||||
Series A, Rev., 5.00%, 10/01/2050 | 1,780 | 2,076 | ||||||
Anaheim Public Financing Authority, Senior Public Improvement Project, Series A, Rev., BAM, 5.00%, 09/01/2036 | 2,250 | 2,660 | ||||||
California County, Tobacco Securitization Agency, Series A, Rev., 5.00%, 06/01/2027 | 10 | 13 | ||||||
California County, Tobacco Securitization Agency, Senior Bonds, Merced County Tobacco Funding Corporation, | ||||||||
Rev., 5.00%, 06/01/2032 | 340 | 443 | ||||||
Rev., 5.00%, 06/01/2033 | 170 | 219 | ||||||
California County, Tobacco Securitization Agency, Sonoma County Securitization, | ||||||||
Rev., 5.00%, 06/01/2031 | 255 | 334 | ||||||
Rev., 5.00%, 06/01/2032 | 250 | 326 | ||||||
Rev., 5.00%, 06/01/2033 | 300 | 387 | ||||||
Rev., 5.00%, 06/01/2049 | 405 | 461 | ||||||
California Educational Facilities Authority, Standford University, Series V1, Rev., 5.00%, 05/01/2049 | 2,000 | 3,224 | ||||||
California Health Facilities Financing Authority, Kaiser Permanente, Series C, Rev., 5.00%, 06/01/2041 (z) | 1,000 | 1,324 | ||||||
California Health Facilities Financing Authority, Pih Health, | ||||||||
Series A, Rev., 4.00%, 06/01/2050 (w) | 1,545 | 1,742 | ||||||
Series A, Rev., 5.00%, 06/01/2035 (w) | 3,010 | 3,829 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
California continued | ||||||||
California Health Facilities Financing Authority, Providence St. Josephs, Rev., 5.00%, 10/01/2039 (z) | 2,000 | 2,431 | ||||||
California Health Facilities Financing Authority, Sutter Health, Series A, Rev., 5.00%, 08/15/2043 | 250 | 290 | ||||||
California Infrastructure & Economic Development Bank, Brightline West Passenger, Rev., AMT, 0.45%, 01/01/2050 (e) (z) | 16,510 | 16,510 | ||||||
California Municipal Finance Authority, Anaheim Electric Utility District System, Rev., 5.00%, 10/01/2022 | 1,175 | 1,289 | ||||||
California Municipal Finance Authority, Southern California Insitute, Rev., 5.00%, 12/01/2037 | 745 | 851 | ||||||
California Municipal Finance Authority, Waste Management, Inc. Project, | ||||||||
Rev., AMT, 0.23%, 10/01/2045 (n) (w) (z) | 5,000 | 5,000 | ||||||
Rev., AMT, 2.00%, 12/01/2044 (z) | 5,000 | 5,014 | ||||||
California School Finance Authority, Rocketship Education Obligated, Series A, Rev., 5.00%, 06/01/2034 (e) | 1,230 | 1,325 | ||||||
California State University, Systemwide, | ||||||||
Series A, Rev., 5.00%, 11/01/2037 (p) | 5,000 | 5,261 | ||||||
Series A, Rev., 5.00%, 11/01/2039 | 5,035 | 5,897 | ||||||
Series C, Rev., 5.00%, 11/01/2026 | 1,685 | 2,148 | ||||||
California State, Public Works Board, | ||||||||
Series B, Rev., 5.00%, 10/01/2028 | 110 | 141 | ||||||
Series E, Rev., 5.00%, 09/01/2024 (p) | 1,865 | 2,037 | ||||||
California State, Public Works Board Projects, Series D, Rev., 5.00%, 09/01/2024 (p) | 1,700 | 1,856 | ||||||
California Statewide Communities Development Authority, Series B, Special Tax, 4.00%, 09/02/2040 (w) | 1,120 | 1,177 | ||||||
California Statewide Communities Development Authority, Health Facility, Dignity Health, Rev., AGM, 0.39%, 07/01/2041 (z) | 2,000 | 2,000 | ||||||
California Statewide Communities Development Authority, Loma Linda University Medical Center, | ||||||||
Rev., 5.50%, 12/01/2054 | 1,000 | 1,082 | ||||||
Series A, Rev., 5.00%, 12/01/2026 (e) | 300 | 346 | ||||||
California Statewide Communities Development Authority, Rady Childrens Hospital, Series A, Rev., LOC: U.S. Bank NA, 0.06%, 08/15/2047 (z) | 6,450 | 6,450 | ||||||
Chino Basin Regional Financing Authority, Series B, Rev., 4.00%, 11/01/2025 | 3,000 | 3,524 | ||||||
City & County of San Francisco, 49 South Van Ness Project, Green Bond, Series A, COP, 4.00%, 04/01/2035 | 810 | 946 | ||||||
City of Irvine, Adjustable Limited Obligation Reassessment, VRDO, LOC: Bank of Tokyo-Mitsubishi UFJ Ltd., 0.09%, 10/01/2020 (z) | 4,500 | 4,500 | ||||||
City of Los Angeles Department of Airports, Senior, | ||||||||
Series A, Rev., AMT, 4.75%, 05/15/2040 | 2,415 | 2,720 | ||||||
Series C, Rev., AMT, 5.00%, 05/15/2036 | 4,090 | 5,137 | ||||||
City of Los Angeles, Department of Airports, Los Angeles International Airport, Rev., AMT, 5.00%, 05/15/2023 | 150 | 167 | ||||||
City of Los Angeles, Department of Airports, Senior, | ||||||||
Series B, Rev., 5.00%, 05/15/2026 | 2,000 | 2,479 | ||||||
Series B, Rev., 5.00%, 05/15/2034 | 1,500 | 1,952 | ||||||
City of Los Angeles, Wastewater System Revenue, Subordinated, Series A, Rev., 5.00%, 06/01/2025 | 1,040 | 1,172 | ||||||
City of Roseville, Special Tax, | ||||||||
4.00%, 09/01/2040 | 1,000 | 1,067 | ||||||
5.00%, 09/01/2035 | 1,160 | 1,325 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
California continued | ||||||||
City of San Francisco CA Public Utilities Commission Water Revenue, Regional Water, Series B, Rev., 5.00%, 11/01/2050 | 4,235 | 5,208 | ||||||
City of San Francisco, Public Utilities Commission Water Revenue, Green Bond, Series A, Rev., 5.00%, 11/01/2045 | 1,940 | 2,520 | ||||||
Coast Community College District, Series F, GO, 4.00%, 08/01/2022 | 100 | 107 | ||||||
Compton Unified School District, Series B, GO, BAM, Zero Coupon, 06/01/2036 | 1,400 | 924 | ||||||
County of Sacramento, Airport System Revenue, Senior, Rev., 4.00%, 07/01/2037 | 2,000 | 2,320 | ||||||
County of Sacramento, Airport System Revenue, Subordinated, Series E, Rev., 5.00%, 07/01/2029 | 1,025 | 1,292 | ||||||
Department of Veterans Affairs, Veterans Farm & Home Purchase Program, Series A, Rev., 3.00%, 12/01/2050 | 1,000 | 1,098 | ||||||
Elk Grove Finance Authority, Rev., 4.00%, 09/01/2040 (w) | 1,280 | 1,395 | ||||||
Golden State Tobacco Securitization Corp., Series A2, Rev., 5.00%, 06/01/2047 | 1,000 | 1,031 | ||||||
Los Angeles Community College District, Series C, GO, 5.00%, 08/01/2021 | 2,300 | 2,392 | ||||||
Los Angeles County Metropolitan Transportation Authority, Measure R Junior, Green Bond, Subordinated, | ||||||||
Series A, Rev., 5.00%, 06/01/2026 | 500 | 628 | ||||||
Series A, Rev., 5.00%, 06/01/2033 | 3,000 | 3,995 | ||||||
Los Angeles County Metropolitan Transportation Authority, Prop A, First Tier, Senior, Series A, Rev., 5.00%, 07/01/2021 | 1,260 | 1,305 | ||||||
Los Angeles County, Metropolitan Transportation Authority, Green Bond, Measure R Junior Subordinated, Series A, Rev., 5.00%, 06/01/2030 | 3,000 | 4,096 | ||||||
Los Angeles Department of Water, | ||||||||
Series B, Rev., 4.00%, 07/01/2027 | 1,500 | 1,849 | ||||||
Series B, Rev., 4.00%, 07/01/2029 | 1,000 | 1,278 | ||||||
Series B, Rev., 5.00%, 07/01/2037 | 740 | 946 | ||||||
Los Angeles Department of Water & Power, Series A, Rev., 5.00%, 07/01/2026 | 4,000 | 5,037 | ||||||
Los Angeles Department of Water & Power Power System Revenue, | ||||||||
Series A, Rev., 5.00%, 07/01/2021 | 4,530 | 4,693 | ||||||
Series B, Rev., 5.00%, 01/01/2022 | 2,275 | 2,403 | ||||||
Series B, Rev., 5.00%, 07/01/2038 | 1,000 | 1,224 | ||||||
Los Angeles Department of Water & Power, Power System Revenue, Series B, Rev., 5.00%, 07/01/2023 | 155 | 175 | ||||||
Los Angeles Unified School District, Election 2008, Series B1, GO, BAM, 5.00%, 07/01/2029 | 100 | 128 | ||||||
Manhattan Beach Unified School District, Measure C, Series B, GO, 4.00%, 09/01/2045 | 2,210 | 2,650 | ||||||
Metropolitan Water District of Southern California, Subordinated, Series B, Rev., 4.00%, 08/01/2021 | 1,620 | 1,666 | ||||||
Miracosta Community College District, Series B, GO, 4.00%, 08/01/2024 | 1,000 | 1,146 | ||||||
Municipal Improvement Corp. of Los Angeles, Real Property, Series B, Rev., 5.00%, 11/01/2039 | 2,535 | 3,311 | ||||||
Natomas Unified School District, | ||||||||
Series A, GO, AGM, 4.00%, 08/01/2045 (w) | 7,740 | 8,671 | ||||||
Series A, GO, AGM, 4.00%, 08/01/2049 | 2,655 | 2,964 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
California continued | ||||||||
Norman Y Mineta San Jose International Airport SJC, | ||||||||
Series A, Rev., AMT, 5.00%, 03/01/2023 | 100 | 110 | ||||||
Series A, Rev., AMT, 5.00%, 03/01/2024 | 1,290 | 1,471 | ||||||
Northern California Power Agency, Hydroelectric Project, Series A, Rev., 5.00%, 07/01/2023 | 145 | 164 | ||||||
Orange County Water District, Interim Obligations, Series A, COP, 2.00%, 08/15/2023 | 1,540 | 1,604 | ||||||
Palomar Health, Capital Appreciation, Electric Of 2004, Series A, GO, AGC, Zero Coupon, 08/01/2028 | 500 | 449 | ||||||
Pomona Unified School District, 2016 Election, Series D, GO, 4.00%, 08/01/2038 (w) | 2,745 | 3,338 | ||||||
Port of Oakland, Senior Lien, Series P, Rev., AMT, 5.00%, 05/01/2026 | 360 | 386 | ||||||
Sacramento Municipal Utility District, Electric, Series H, Rev., 4.00%, 08/15/2040 | 2,000 | 2,431 | ||||||
San Bernardino Community College District, Election 2018, Series A, GO, 4.00%, 08/01/2049 | 1,440 | 1,638 | ||||||
San Diego Community College District, | ||||||||
GO, 4.00%, 08/01/2032 | 2,910 | 3,420 | ||||||
GO, 5.00%, 08/01/2025 | 10,000 | 10,890 | ||||||
San Diego County Regional Airport Authority, Subordinated, | ||||||||
Rev., 5.00%, 07/01/2034 | 2,000 | 2,582 | ||||||
Series B, Rev., AMT, 5.00%, 07/01/2031 | 775 | 935 | ||||||
San Diego Public Facilities Financing Authority, Series A, Rev., 5.00%, 05/15/2039 | 1,565 | 1,912 | ||||||
San Diego Unified School District, Series R4, GO, 5.00%, 07/01/2026 | 2,500 | 3,053 | ||||||
San Diego Unified School District, Measure YY Bonds, Series D2, GO, 5.00%, 07/01/2022 | 2,000 | 2,169 | ||||||
San Francisco Bay Area Rapid Transit District, Green Bonds, Series C1, GO, 5.00%, 08/01/2026 | 1,000 | 1,272 | ||||||
San Francisco City & County Airport Comm-San Francisco International Airport, | ||||||||
Series A, Rev., 5.00%, 05/01/2031 | 205 | 245 | ||||||
Series C, Rev., 5.00%, 05/01/2046 | 1,640 | 1,896 | ||||||
San Francisco Unified School District, Series B, GO, 4.00%, 06/15/2022 | 2,000 | 2,132 | ||||||
Santa Clara Unified School District, GO, 5.00%, 07/01/2024 | 100 | 118 | ||||||
Saugus Union School District School Facilities Improvement District No. 2014-1, Series C, GO, 3.00%, 08/01/2022 | 1,000 | 1,052 | ||||||
Sierra View Local Health Care District, Tulare Co., | ||||||||
Rev., 4.00%, 07/01/2022 | 460 | 485 | ||||||
Rev., 4.00%, 07/01/2024 | 475 | 525 | ||||||
Southern California Public Power Authority, Canyon Power Project, Series A, Rev., 5.00%, 07/01/2034 | 1,000 | 1,191 | ||||||
Southern California Public Power Authority, Subordinated, Series A, Rev., 5.00%, 07/01/2023 | 1,165 | 1,318 | ||||||
State of California, | ||||||||
GO, 3.00%, 11/01/2034 | 1,000 | 1,120 | ||||||
GO, 4.00%, 11/01/2041 | 2,750 | 3,112 | ||||||
GO, 4.00%, 11/01/2045 | 2,000 | 2,251 | ||||||
GO, 5.00%, 11/01/2022 | 120 | 132 | ||||||
GO, 5.00%, 04/01/2028 | 100 | 131 | ||||||
GO, 5.00%, 11/01/2028 | 2,425 | 3,216 | ||||||
GO, 5.00%, 11/01/2029 | 1,000 | 1,345 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
California continued | ||||||||
GO, 5.00%, 11/01/2030 | 5,335 | 7,275 | ||||||
GO, 5.00%, 03/01/2031 | 2,000 | 2,746 | ||||||
GO, 5.00%, 10/01/2047 | 1,500 | 1,794 | ||||||
Series A2, GO, VRDO, LOC: Bank of Montreal, 0.10%, 10/01/2020 (z) | 6,500 | 6,500 | ||||||
State of California, Department of Water Resources, Series BB, Rev., 5.00%, 12/01/2027 | 1,855 | 2,450 | ||||||
Tuolumne Wind Project Authority, Series A, Rev., 5.00%, 01/01/2023 | 4,425 | 4,909 | ||||||
University of California, Series AR, Rev., 5.00%, 05/15/2041 | 2,000 | 2,408 | ||||||
University of California, Limited Project, Series K, Rev., 4.00%, 05/15/2046 | 300 | 337 | ||||||
Upper Santa Clara Valley Joint Powers Authority, Series A, Rev., 4.00%, 08/01/2050 | 2,000 | 2,218 | ||||||
Ventura County Public Financing Authority, | ||||||||
Series A, Rev., 5.00%, 11/01/2024 (p) | 1,000 | 1,101 | ||||||
Series A, Rev., 5.00%, 11/01/2025 (p) | 1,000 | 1,101 | ||||||
Series A, Rev., 5.00%, 11/01/2026 (p) | 1,000 | 1,101 | ||||||
|
| |||||||
262,342 | ||||||||
|
| |||||||
Colorado 2.2% | ||||||||
Adams & Weld Counties School District No. 27J Brighton, GO, 5.00%, 12/01/2042 | 1,000 | 1,244 | ||||||
Castle Oaks Metropolitan District No. 3, GO, AGM, 4.00%, 12/01/2026 | 220 | 258 | ||||||
City & County of Denver, Airport System Revenue, Subordinated System, Series A, Rev., AMT, 5.00%, 12/01/2043 | 3,000 | 3,544 | ||||||
City of Aurora, Water Revenue, Green Bond, Rev., 5.00%, 08/01/2041 | 1,800 | 2,180 | ||||||
City of Colorado Springs, Utilities System Revenue, | ||||||||
Series A, Rev., 5.00%, 11/15/2021 | 2,500 | 2,636 | ||||||
Series A, Rev., 5.00%, 11/15/2022 | 1,195 | 1,317 | ||||||
Colorado Bridge Enterprise, Central 70 Project, | ||||||||
Rev., AMT, 4.00%, 12/31/2025 | 1,000 | 1,146 | ||||||
Rev., AMT, 4.00%, 12/31/2030 | 1,505 | 1,711 | ||||||
Colorado Educational & Cultural Facilities Authority, Nature Conservancy Project, Rev., VRDO, 0.13%, 10/07/2020 (z) | 8,815 | 8,815 | ||||||
Colorado Health Facilities Authority, Adventhealth Obligated, Rev., 4.00%, 11/15/2038 | 2,000 | 2,321 | ||||||
Colorado Health Facilities Authority, Childrens Hospital, Series C, Rev., 5.00%, 12/01/2030 | 1,000 | 1,195 | ||||||
Colorado Health Facilities Authority, Commonspirit Health, | ||||||||
Series A1, Rev., 5.00%, 08/01/2027 | 1,025 | 1,264 | ||||||
Series A1, Rev., 5.00%, 08/01/2034 | 1,240 | 1,534 | ||||||
Series A2, Rev., 5.00%, 08/01/2028 | 2,215 | 2,780 | ||||||
Series A2, Rev., 5.00%, 08/01/2044 | 2,000 | 2,392 | ||||||
Colorado Health Facilities Authority, SCL Health System, Series A, Rev., 5.00%, 01/01/2030 | 1,175 | 1,545 | ||||||
Crystal Valley, Metropolitan District No. 2, | ||||||||
Series A, GO, AGM, 5.00%, 12/01/2028 | 500 | 639 | ||||||
Series A, GO, AGM, 5.00%, 12/01/2029 | 405 | 524 | ||||||
Series A, GO, AGM, 5.00%, 12/01/2030 | 360 | 472 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Colorado continued | ||||||||
Denver City & County, School District No. 1, GO, 5.00%, 12/01/2029 | 1,000 | 1,259 | ||||||
Denver Urban Renewal Authority, Senior Subordinated Stapleton, Series B, Tax Allocation, 5.00%, 12/01/2025 | 500 | 610 | ||||||
E-470 Public Highway Authority, Senior, | ||||||||
Series A, Rev., 5.00%, 09/01/2027 | 1,000 | 1,280 | ||||||
Series A, Rev., 5.00%, 09/01/2028 | 1,000 | 1,306 | ||||||
Series A, Rev., 5.00%, 09/01/2040 | 2,775 | 3,160 | ||||||
Jefferson Center Metropolitan District No. 1, | ||||||||
Series A2, Rev., 4.13%, 12/01/2040 | 575 | 584 | ||||||
Series A2, Rev., 4.38%, 12/01/2047 | 795 | 809 | ||||||
Jefferson County School District, Series R1, GO, 5.00%, 12/15/2031 | 2,000 | 2,613 | ||||||
Poudre Tech Metropolitan District, GO, AGM, 3.00%, 12/01/2022 | 420 | 441 | ||||||
Village Metropolitan District (The), GO, 4.15%, 12/01/2030 | 500 | 508 | ||||||
Westminster Public Schools, COP, AGM, 4.00%, 12/01/2048 | 1,000 | 1,124 | ||||||
|
| |||||||
51,211 | ||||||||
|
| |||||||
Connecticut 1.2% | ||||||||
City of Bridgeport, Series A, GO, 4.00%, 06/01/2039 | 250 | 272 | ||||||
Connecticut Housing Finance Authority, Mortgage Finance Program, Series A1, Rev., 3.50%, 11/15/2045 | 4,000 | 4,467 | ||||||
Connecticut State, Health & Educational Facilities Authority, Yale University, | ||||||||
Series A, Rev., 2.05%, 07/01/2035 (z) | 3,000 | 3,044 | ||||||
Series U2, Rev., 2.00%, 07/01/2033 (z) | 250 | 256 | ||||||
Connecticut State, Health & Educational Facilities Authority, Series J, Rev., 5.00%, 11/01/2025 | 1,000 | 1,049 | ||||||
Connecticut State, Health & Educational Facilities Authority, Bridgeport Hospital, Series D, Rev., 5.00%, 07/01/2025 | 3,565 | 3,840 | ||||||
Connecticut State, Health & Educational Facilities Authority, Sacred Heart University, | ||||||||
Series K, Rev., 4.00%, 07/01/2045 | 750 | 836 | ||||||
Series K, Rev., 5.00%, 07/01/2037 | 950 | 1,190 | ||||||
Connecticut State, Health & Educational Facilities Authority, Yale University, | ||||||||
Series A2, Rev., 2.00%, 07/01/2042 (z) | 3,575 | 3,852 | ||||||
Series A, Rev., 1.10%, 07/01/2048 (z) | 1,750 | 1,782 | ||||||
Series C1, Rev., 5.00%, 07/01/2040 (z) | 2,315 | 3,016 | ||||||
State of Connecticut, Series A, GO, 4.00%, 03/15/2032 | 850 | 937 | ||||||
State of Connecticut, Special Tax Obligation Bonds, | ||||||||
Rev., 5.00%, 05/01/2025 | 300 | 361 | ||||||
Rev., 5.00%, 05/01/2040 | 300 | 377 | ||||||
State of Connecticut, Special Tax Revenue, Transportation Infrastructure, Series A, Rev., 5.00%, 09/01/2031 | 1,220 | 1,417 | ||||||
State of Connecticut, Transportation Infrastructure, Series B, Rev., 5.00%, 08/01/2021 | 1,250 | 1,300 | ||||||
Town of Hamden, Series A, GO, BAM, 5.00%, 08/01/2032 | 500 | 623 | ||||||
|
| |||||||
28,619 | ||||||||
|
| |||||||
Delaware 0.3% | ||||||||
Delaware Transportation Authority, Rev., 5.00%, 07/01/2027 | 1,000 | 1,295 | ||||||
State of Delaware, | ||||||||
GO, 4.00%, 02/01/2031 | 3,000 | 3,714 | ||||||
Series B, GO, 4.00%, 07/01/2024 | 1,750 | 1,998 | ||||||
|
| |||||||
7,007 | ||||||||
|
|
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
District of Columbia 2.1% | ||||||||
District of Columbia, | ||||||||
Series A, GO, 5.00%, 06/01/2022 | 2,175 | 2,351 | ||||||
Series A, Rev., 5.00%, 12/01/2022 | 2,000 | 2,209 | ||||||
Series A, Rev., 5.00%, 03/01/2031 | 1,500 | 2,006 | ||||||
Series C, Rev., 5.00%, 05/01/2023 | 100 | 112 | ||||||
Series C, Rev., 5.00%, 10/01/2030 | 4,500 | 6,064 | ||||||
Series D, GO, 5.00%, 06/01/2026 | 5,475 | 6,879 | ||||||
Series E, GO, 5.00%, 06/01/2021 | 1,250 | 1,290 | ||||||
District of Columbia, National Public Radio, | ||||||||
Rev., 4.00%, 04/01/2032 (p) | 1,500 | 1,785 | ||||||
Rev., 4.00%, 04/01/2035 (p) | 2,100 | 2,500 | ||||||
District of Columbia, Water & Sewer Authority, Subordinated Lien, Series A, Rev., 5.00%, 10/01/2027 | 615 | 671 | ||||||
District of Columbia, Income Tax, Series B, Rev., 5.00%, 12/01/2026 | 3,440 | 3,790 | ||||||
Metropolitan Washington Airports Authority, | ||||||||
Rev., AMT, 5.00%, 10/01/2026 | 1,335 | 1,647 | ||||||
Series A, Rev., AMT, 5.00%, 10/01/2027 | 5,000 | 6,297 | ||||||
Metropolitan Washington Airports Authority Dulles Toll Road Revenue, Capital Appreciation, Second Senior Lien, Series B, Rev., AGC, Zero Coupon, 10/01/2036 | 5,000 | 3,202 | ||||||
Metropolitan Washington Airports Authority, Airport System Revenue, Series A, Rev., AMT, 5.00%, 10/01/2034 | 395 | 493 | ||||||
Metropolitan Washington Airports Authority, Dulles Toll Road Revenue, Series B, Rev., 4.00%, 10/01/2049 | 1,000 | 1,094 | ||||||
Metropolitan Washington Airports Authority, Dulles Toll Road Revenue, Second Lien, Series C, Rev., AGC, 6.50%, 10/01/2041 | 350 | 440 | ||||||
Washington Metropolitan Area Transit Authority, | ||||||||
Series A, Rev., 5.00%, 07/15/2026 | 1,650 | 2,070 | ||||||
Series A, Rev., 5.00%, 07/15/2037 | 3,000 | 3,892 | ||||||
|
| |||||||
48,792 | ||||||||
|
| |||||||
Florida 3.5% | ||||||||
Alachua County, Health Facilities Authority, Shands Teaching Hospital and Clinic, Rev., 5.00%, 12/01/2032 | 1,000 | 1,273 | ||||||
Belmond Reserve Community Development District, 202 Project, Special Assessment, 4.00%, 05/01/2040 (w) | 345 | 350 | ||||||
Capital Trust Agency, Inc., Liza Jackson Preparatory School, Rev., 5.00%, 08/01/2040 | 150 | 174 | ||||||
City of Cape Coral, Water & Sewer Revenue, Rev., 5.00%, 10/01/2029 | 250 | 319 | ||||||
City of Jacksonville, Series A, Rev., 5.00%, 10/01/2034 | 1,250 | 1,644 | ||||||
City of Jacksonville, Brooks Rehabilitation Project, | ||||||||
Rev., 4.00%, 11/01/2034 | 500 | 572 | ||||||
Rev., 4.00%, 11/01/2045 | 1,500 | 1,648 | ||||||
City of South Miami, Health Facilities Authority, Inc., Baptist Health South Florida, Rev., 5.00%, 08/15/2023 | 100 | 113 | ||||||
City of Tallahassee, Energy System Revenue, Rev., 5.00%, 10/01/2028 | 3,000 | 3,965 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Florida continued | ||||||||
County of Broward, Airport System Revenue, | ||||||||
Rev., AMT, 5.00%, 10/01/2033 | 655 | 784 | ||||||
Series A, Rev., AMT, 5.00%, 10/01/2028 | 800 | 1,011 | ||||||
County of Miami-Dade, Aviation Revenue, | ||||||||
Rev., AMT, 5.00%, 10/01/2028 | 7,000 | 7,981 | ||||||
Series A, Rev., AMT, 5.00%, 10/01/2027 | 1,325 | 1,516 | ||||||
Series A, Rev., AMT, 5.00%, 10/01/2030 | 2,000 | 2,314 | ||||||
County of Miami-Dade, Building Better Communities Project, Series A, GO, 4.00%, 07/01/2044 | 350 | 415 | ||||||
Cypress Bluff Community, Development District, Delaware Webb Project, Series A, Special Assessment, 2.70%, 05/01/2025 (e) | 265 | 265 | ||||||
Florida Development Finance Corp., Series A, Rev., 4.00%, 06/01/2030 (e) | 500 | 502 | ||||||
Florida Development Finance Corp., Discovery High School Project, Series A, Rev., 4.00%, 06/01/2030 (e) | 1,500 | 1,504 | ||||||
Florida Development Finance Corp., Virgin Trains USA Passenger, Series A, Rev., AMT, 6.38%, 01/01/2049 (e) (z) | 2,000 | 1,730 | ||||||
Florida Housing Finance Corp., Social Bonds, Series 2, Rev., GNMA/FNMA/FHLMC COLL, 3.00%, 07/01/2051 (w) | 12,000 | 13,194 | ||||||
Greater Orlando Aviation Authority, Priority Subordinated, Series A, Rev., AMT, 5.00%, 10/01/2033 | 1,500 | 1,782 | ||||||
Hammock Reserve Community Development District, Special Assessment Area One Project, 4.00%, 05/01/2040 (w) | 545 | 554 | ||||||
Highlands County Health Facilities Authority, Adventist Health System/Sunbelt Obligated Group, Series A, Rev., VRDO, 0.12%, 10/07/2020 (z) | 8,500 | 8,500 | ||||||
Highlands County, Health Facilities Authority, Hospital Adventist Health, Rev., VRDO, 0.12%, 10/07/2020 (z) | 3,000 | 3,000 | ||||||
Hillsborough County, Industrial Development Authority, Baycare Health System, Series C, Rev., VRDO, LOC: TD Bank NA, 0.10%, 10/07/2020 (z) | 5,200 | 5,200 | ||||||
Hillsborough County, School Board, Master Lease Program, Series A, COP, 5.00%, 07/01/2029 (p) | 200 | 217 | ||||||
Jacksonville Housing Finance Authority, Housing Desert Silver Project, Rev., 2.25%, 12/01/2021 (z) | 1,500 | 1,505 | ||||||
JEA Electric System, Series 3A, Rev., 5.00%, 10/01/2022 | 100 | 109 | ||||||
JEA Water & Sewer System Revenue, Series A, Rev., 5.00%, 10/01/2025 | 1,000 | 1,227 | ||||||
JEA Water & Sewer System Revenue, Subordinated, Series A, Rev., 5.00%, 10/01/2031 | 885 | 1,106 | ||||||
Lakewood Ranch Stewardship District, Lorraine Lakes Project, Special Assessment, 3.13%, 05/01/2030 (e) | 315 | 316 | ||||||
Lakewood Ranch Stewardship District, Zario Project, Special Assessment, 2.63%, 05/01/2025 (w) | 690 | 691 | ||||||
Midtown Miami Community Development District, Series A, Special Assessment, 5.00%, 05/01/2037 | 350 | 362 | ||||||
Old Hickory Community Development District, Special Assessment, 2.50%, 06/15/2025 (w) | 270 | 270 | ||||||
Orlando Utilities Commission, Series C, Rev., 5.00%, 10/01/2022 | 3,010 | 3,302 | ||||||
Palm Beach County Health Facilities Authority, Retirement Life Communities, Rev., 5.00%, 11/15/2032 | 2,170 | 2,536 | ||||||
Pine Ridge Plantation Community Development District, Senior Lien, Special Assessment, | ||||||||
Series A1, AGM, 3.00%, 05/01/2022 (w) | 470 | 486 | ||||||
Series A1, AGM, 3.00%, 05/01/2023 (w) | 480 | 504 | ||||||
Pinellas County Housing Finance Authority, Lexington Club Renaissance, Rev., 0.30%, 02/01/2023 (z) | 2,000 | 2,000 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Florida continued | ||||||||
Saddle Creek Preserve of Polk County Community Development District, Special Assessment, 4.00%, 06/15/2040 (w) | 500 | 517 | ||||||
Sarasota National Community Development District, Special Assessment, 4.00%, 05/01/2039 (w) | 615 | 640 | ||||||
State of Florida, Board Education, Capital Outlay, Series A, GO, 4.00%, 06/01/2021 | 75 | 77 | ||||||
State of Florida, Department of Transportation, Turnpike System Revenue, | ||||||||
Series A, Rev., 5.00%, 07/01/2022 | 1,310 | 1,420 | ||||||
Series A, Rev., 5.00%, 07/01/2029 | 2,000 | 2,692 | ||||||
Series B, Rev., 5.00%, 07/01/2023 | 125 | 141 | ||||||
Village Community Development District No. 13, Special Assessment, | ||||||||
1.88%, 05/01/2025 (e) (w) | 1,000 | 1,002 | ||||||
2.63%, 05/01/2030 (e) (w) | 1,500 | 1,510 | ||||||
|
| |||||||
82,940 | ||||||||
|
| |||||||
Georgia 1.8% | ||||||||
Carroll County, School District, GO, 5.00%, 04/01/2024 (w) | 1,000 | 1,162 | ||||||
City of Atlanta, Airport Passenger Facility, Subordinated Lien, Series C, Rev., 5.00%, 07/01/2040 | 3,000 | 3,751 | ||||||
City of Atlanta, Department of Aviation, Airport Revenue, Series B, Rev., AMT, 5.00%, 07/01/2031 | 1,155 | 1,465 | ||||||
Cobb County, Kennestone Hospital Authority, Wellstar Health System, Inc., Rev., 4.00%, 04/01/2033 | 500 | 590 | ||||||
Development Authority of Monroe County (The), Georgia Power Company Plant, Rev., 2.35%, 10/01/2048 (z) | 500 | 502 | ||||||
Development Authority of Monroe County (The), Oglethorpe Power Corporation Scherer Project, Series A, Rev., 1.50%, 01/01/2039 (z) | 125 | 126 | ||||||
Georgia Housing & Finance Authority, Series A, Rev., 4.00%, 06/01/2050 | 4,000 | 4,542 | ||||||
Main Street Natural Gas, Inc., | ||||||||
Series B, Rev., 4.00%, 08/01/2049 (z) | 2,190 | 2,484 | ||||||
Series C, Rev., LIQ: Royal Bank of Canada, 4.00%, 08/01/2048 (z) | 105 | 116 | ||||||
Series C, Rev., 4.00%, 03/01/2050 (z) | 7,350 | 8,536 | ||||||
Private Colleges & Universities Authority, Various Emory University, Series B, Rev., (SIFMA Municipal Swap Index + 0.42%), 0.54%, 10/01/2039 (aa) | 1,000 | 999 | ||||||
Savannah Economic Development Authority, International Paper Company Project, Rev., 1.90%, 08/01/2024 | 150 | 156 | ||||||
State of Georgia, | ||||||||
Series A1, GO, 5.00%, 02/01/2024 | 100 | 116 | ||||||
Series C, GO, 4.00%, 09/01/2021 | 95 | 98 | ||||||
Series C, GO, 4.00%, 10/01/2022 | 2,015 | 2,171 | ||||||
State of Georgia, Group 1, | ||||||||
Series A, GO, 5.00%, 08/01/2026 | 5,000 | 6,325 | ||||||
Series A, GO, 5.00%, 08/01/2027 | 2,000 | 2,599 | ||||||
State of Georgia, Group 2, | ||||||||
Series A, GO, 4.00%, 08/01/2034 | 2,000 | 2,502 | ||||||
Series A, GO, 5.00%, 08/01/2030 | 1,500 | 2,082 | ||||||
State of Georgia, Tranche 2, Series A, GO, 5.00%, 07/01/2030 | 2,000 | 2,694 | ||||||
|
| |||||||
43,016 | ||||||||
|
|
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Hawaii 0.5% | ||||||||
City & County of Honolulu, | ||||||||
Series A, GO, 5.00%, 10/01/2025 | 15 | 18 | ||||||
Series A, GO, 5.00%, 09/01/2027 | 30 | 39 | ||||||
City & County of Honolulu, Wastewater System, Senior, Series A, Rev., 4.50%, 07/01/2028 (p) | 1,000 | 1,033 | ||||||
County of Maui, GO, 5.00%, 03/01/2028 | 1,175 | 1,539 | ||||||
State of Hawaii, | ||||||||
Series EA, GO, 5.00%, 12/01/2023 | 2,000 | 2,112 | ||||||
Series FE, GO, 5.00%, 10/01/2021 | 2,500 | 2,620 | ||||||
Series FG, GO, 4.00%, 10/01/2032 | 2,000 | 2,315 | ||||||
State of Hawaii, Airports System Revenue, Series D, Rev., 5.00%, 07/01/2030 | 1,000 | 1,328 | ||||||
|
| |||||||
11,004 | ||||||||
|
| |||||||
Idaho 0.5% | ||||||||
Idaho Health Facilities Authority, St. Lukes Health System Obligated Group, Rev., VRDO, LOC: U.S. Bank NA, 0.10%, 10/01/2020 (z) | 12,000 | 12,000 | ||||||
|
| |||||||
Illinois 5.9% | ||||||||
Chicago Board of Education, Capital Appreciation School Reform, Series B1, GO, NATL, Zero Coupon, 12/01/2022 | 1,000 | 956 | ||||||
Chicago OHare International Airport, Senior Lien, | ||||||||
Series A, Rev., BAM, 4.00%, 01/01/2036 (w) | 3,000 | 3,465 | ||||||
Series A, Rev., 5.00%, 01/01/2035 (w) | 3,000 | 3,714 | ||||||
Chicago OHare International Airport, Third Lien Series, | ||||||||
Rev., 5.63%, 01/01/2035 (p) | 5,000 | 5,067 | ||||||
Rev., 5.75%, 01/01/2039 (p) | 425 | 431 | ||||||
Chicago Transit Authority, Sales Tax Receipts Fund, | ||||||||
Rev., 5.25%, 12/01/2036 (p) | 10,600 | 11,227 | ||||||
Rev., 5.25%, 12/01/2049 | 3,000 | 3,380 | ||||||
Series A, Rev., 5.00%, 12/01/2045 | 6,750 | 8,031 | ||||||
City of Chicago, | ||||||||
Series A, GO, 5.00%, 01/01/2027 | 715 | 745 | ||||||
Series A, GO, 5.50%, 01/01/2033 | 1,815 | 1,912 | ||||||
City of Chicago, Waterworks Revenue, Second Lien, Rev., 4.00%, 11/01/2021 | 200 | 207 | ||||||
Cook County, Community School District No. 97, Oak Park, GO, 4.00%, 01/01/2034 | 2,000 | 2,345 | ||||||
Cook County, Community Unit School District No. 401, Elmwood Park, | ||||||||
GO, 3.00%, 12/01/2021 (w) | 715 | 735 | ||||||
GO, 3.00%, 12/01/2022 (w) | 500 | 525 | ||||||
Illinois Development Finance Authority, American College Surgeons, Rev., VRDO, LOC: Northern Trust Co., 0.12%, 10/07/2020 (z) | 500 | 500 | ||||||
Illinois Development Finance Authority, Various North Park University Project, Rev., VRDO, LOC: U.S. Bank NA, 0.10%, 10/07/2020 (z) | 6,000 | 6,000 | ||||||
Illinois Finance Authority, Series B2, Rev., 5.00%, 05/15/2050 (w) (z) | 2,550 | 3,100 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Illinois continued | ||||||||
Illinois Finance Authority, Advocate Health Care Network Project, | ||||||||
Rev., 4.00%, 11/01/2030 | 2,000 | 2,281 | ||||||
Rev., 4.00%, 06/01/2047 (p) | 2,535 | 2,692 | ||||||
Rev., 5.00%, 05/01/2022 | 965 | 1,038 | ||||||
Illinois Finance Authority, American Water Capital Corp. Project, Rev., 0.70%, 05/01/2040 (z) | 895 | 894 | ||||||
Illinois Finance Authority, Bradley University, Series B, Rev., VRDO, LOC: PNC Bank NA, 0.14%, 10/07/2020 (z) | 6,000 | 6,000 | ||||||
Illinois Finance Authority, Health Services Facility Lease Revenue, Provident Group UIC Surgery, | ||||||||
Rev., 4.00%, 10/01/2040 | 1,750 | 1,917 | ||||||
Rev., 4.00%, 10/01/2055 | 500 | 535 | ||||||
Rev., 5.00%, 10/01/2032 | 750 | 945 | ||||||
Rev., 5.00%, 10/01/2034 | 125 | 156 | ||||||
Illinois Finance Authority, Illinois State Clean Water Initiative, Green Bond, | ||||||||
Rev., 5.00%, 01/01/2022 | 220 | 233 | ||||||
Rev., 5.00%, 07/01/2023 | 1,650 | 1,864 | ||||||
Rev., 5.00%, 01/01/2028 | 100 | 131 | ||||||
Illinois Finance Authority, Mercy Health Corp., Rev., 5.00%, 12/01/2040 | 1,000 | 1,144 | ||||||
Illinois Finance Authority, Navistar International Recovery Zone, Rev., 6.75%, 10/15/2040 | 2,000 | 2,005 | ||||||
Illinois Finance Authority, Northshore University Health System, | ||||||||
Rev., 5.00%, 08/15/2031 | 1,000 | 1,329 | ||||||
Rev., 5.00%, 08/15/2035 | 1,500 | 1,948 | ||||||
Illinois Finance Authority, OSF Healthcare System, Series B1, Rev., 5.00%, 05/15/2050 (w) (z) | 2,250 | 2,591 | ||||||
Illinois Finance Authority, Swedish Covenant Hospital, Series A, Rev., 5.00%, 08/15/2026 (p) | 3,180 | 4,015 | ||||||
Illinois State Toll Highway Authority, | ||||||||
Series A, Rev., 5.00%, 01/01/2028 | 100 | 127 | ||||||
Series A, Rev., 5.00%, 01/01/2044 | 1,000 | 1,237 | ||||||
Series B, Rev., 5.00%, 01/01/2029 | 100 | 121 | ||||||
Series C, Rev., 5.00%, 01/01/2023 | 60 | 66 | ||||||
Illinois State Toll Highway Authority, Senior, | ||||||||
Series B, Rev., 5.00%, 01/01/2028 | 7,020 | 8,941 | ||||||
Series B, Rev., 5.00%, 01/01/2041 | 2,000 | 2,369 | ||||||
Macon County, School District No. 61 Decatur, | ||||||||
GO, AGM, 4.00%, 01/01/2040 (w) | 1,420 | 1,572 | ||||||
GO, AGM, 4.00%, 01/01/2045 (w) | 3,000 | 3,289 | ||||||
Metropolitan Pier & Exposition Authority Revenue, Mccormick Place Expansion, Rev., 5.00%, 06/15/2042 | 2,500 | 2,833 | ||||||
Metropolitan Pier & Exposition Authority, Capital Appreciation,Mccormick, Series B, Rev., AGM, Zero Coupon, 06/15/2027 | 660 | 574 | ||||||
Railsplitter Tobacco Settlement Authority, | ||||||||
Rev., 5.00%, 06/01/2023 | 130 | 145 | ||||||
Rev., 5.25%, 06/01/2021 | 5 | 5 | ||||||
Sales Tax Securitization Corp., Second Lien, Series A, Rev., BAM, 5.00%, 01/01/2037 | 750 | 904 | ||||||
State of Illinois, | ||||||||
GO, 4.00%, 06/01/2036 | 485 | 471 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Illinois continued | ||||||||
GO, 5.00%, 07/01/2023 | 1,000 | 1,055 | ||||||
GO, 5.00%, 02/01/2026 | 2,000 | 2,181 | ||||||
GO, 5.00%, 02/01/2028 | 3,000 | 3,273 | ||||||
GO, 5.00%, 02/01/2029 | 2,000 | 2,163 | ||||||
GO, 5.25%, 02/01/2030 | 2,000 | 2,098 | ||||||
Series A, GO, 5.00%, 10/01/2023 | 300 | 318 | ||||||
Series A, GO, 5.00%, 11/01/2026 | 1,500 | 1,645 | ||||||
Series B, GO, 5.50%, 05/01/2039 | 250 | 274 | ||||||
Series D, GO, 5.00%, 11/01/2026 | 1,980 | 2,138 | ||||||
Series D, GO, 5.00%, 11/01/2027 | 1,050 | 1,139 | ||||||
Tender Option Bond Trust Receipts/Certificates, Floaters, Series 2019-XF0779, Rev., BAM, VRDO, LIQ: Toronto-Dominion Bank, 0.17%, 10/07/2020 (e) (z) | 10,000 | 10,000 | ||||||
University of Illinois, Auxiliary Facilities System, | ||||||||
Series A, Rev., 5.00%, 04/01/2022 | 300 | 319 | ||||||
Series A, Rev., 5.00%, 04/01/2025 | 140 | 159 | ||||||
Will Grundy Etc Counties Community College District No. 525, Alternative Revenue Source, Series B, GO, 5.50%, 06/01/2031 | 3,375 | 3,876 | ||||||
|
| |||||||
137,350 | ||||||||
|
| |||||||
Indiana 2.8% | ||||||||
City of Mount Vernon, Southern Industry Gas And Electric Company, Rev., AMT, 0.88%, 09/01/2055 (z) | 250 | 250 | ||||||
City of Rockport, Rockport Pollution Control, Aep Generating Company Project, Series A, Rev., 1.35%, 07/01/2025 (z) | 20 | 20 | ||||||
City of Rockport, Industry Pollution Control, Michigan Power Company Project, Rev., 2.75%, 06/01/2025 | 100 | 108 | ||||||
City of Whiting, Whiting Industry Environmental Facilities, Bp Products North America, Inc., Series A, Rev., AMT, 5.00%, 03/01/2046 (z) | 1,250 | 1,380 | ||||||
Indiana Finance Authority, Community Foundation Northwest Industry, Rev., 4.00%, 03/01/2034 (p) | 150 | 158 | ||||||
Indiana Finance Authority, Citizens Water Westfield Project, Series A, Rev., 4.00%, 10/01/2048 | 1,500 | 1,717 | ||||||
Indiana Finance Authority, Community Health Network, Series A, Rev., 5.00%, 05/01/2042 (p) | 485 | 544 | ||||||
Indiana Finance Authority, Cwa Authority Project, Green Bonds, Rev., 5.00%, 10/01/2031 | 500 | 677 | ||||||
Indiana Finance Authority, Duke Energy Industry Project, Series A4, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.13%, 10/01/2020 (z) | 6,500 | 6,500 | ||||||
Indiana Finance Authority, Various Lease Appropriation Stadium Project, Series A5, Rev., VRDO, 0.10%, 10/01/2020 (z) | 5,875 | 5,875 | ||||||
Indiana University, Series X, Rev., 3.00%, 08/01/2029 | 1,000 | 1,110 | ||||||
Indianapolis Local Public Improvement Bond Bank, Airport Authority, Series A1, Rev., AMT, 5.00%, 01/01/2028 | 200 | 238 | ||||||
Indianapolis Local Public Improvement Bond Bank, Indianapolis Airport Authority, | ||||||||
Series D, Rev., AMT, 5.00%, 01/01/2028 | 3,715 | 4,122 | ||||||
Series D, Rev., AMT, 5.00%, 01/01/2029 | 3,000 | 3,315 | ||||||
Series D, Rev., AMT, 5.00%, 01/01/2030 | 2,000 | 2,205 | ||||||
Series D, Rev., AMT, 5.00%, 01/01/2031 | 4,000 | 4,405 | ||||||
Series D, Rev., AMT, 5.00%, 01/01/2032 | 4,500 | 4,943 | ||||||
Series D, Rev., AMT, 5.00%, 01/01/2033 | 3,500 | 3,834 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Indiana continued | ||||||||
Series I, Rev., AMT, 5.00%, 01/01/2032 | 4,885 | 5,497 | ||||||
Series I, Rev., AMT, 5.00%, 01/01/2033 | 5,000 | 5,607 | ||||||
Indianapolis Local Public Improvement Bond Bank, Metropolitan Thoroughfare District, Series D, Rev., 4.00%, 01/01/2041 (w) | 10,000 | 11,979 | ||||||
Southwest Allen Multi School Building Corp., 1st Mortgage, Rev., 5.00%, 01/15/2030 (w) | 1,200 | 1,541 | ||||||
|
| |||||||
66,025 | ||||||||
|
| |||||||
Iowa 0.4% | ||||||||
Clinton Community School District, | ||||||||
GO, AGM, 5.00%, 06/01/2024 (w) | 1,425 | 1,661 | ||||||
GO, AGM, 5.00%, 06/01/2026 (w) | 1,290 | 1,597 | ||||||
Iowa Finance Authority, Fertilizer Co. Project, Rev., 5.25%, 12/01/2025 | 2,000 | 2,109 | ||||||
PEFA, Inc., Rev., 5.00%, 09/01/2049 (z) | 700 | 849 | ||||||
West Des Moines Community School District, Capital Loan Notes, Series A, GO, 5.00%, 05/01/2028 (w) | 3,000 | 3,921 | ||||||
|
| |||||||
10,137 | ||||||||
|
| |||||||
Kansas 0.1% | ||||||||
State of Kansas, Department of Transportation, Series C3, Rev., (ICE LIBOR USD 1 Month + 0.40%), 0.51%, 09/01/2023 (aa) | 2,000 | 1,998 | ||||||
|
| |||||||
Kentucky 0.3% | ||||||||
County of Trimble, Louisville Gas And Electric Company, Rev., AMT, 1.30%, 09/01/2044 (z) | 1,000 | 997 | ||||||
Kentucky Housing Corp., City View Park Project, Rev., 1.16%, 02/01/2023 (z) | 1,000 | 1,013 | ||||||
Kentucky Public Energy Authority, Gas Supply, Series B, Rev., 4.00%, 01/01/2049 (z) | 1,475 | 1,653 | ||||||
Louisville and Jefferson County Metropolitan Government, Louisville Gas And Electric Co. Project, Series A, Rev., 0.90%, 09/01/2026 | 2,750 | 2,745 | ||||||
Louisville and Jefferson County Metropolitan Government, Norton Healthcare, Inc., Rev., 5.00%, 10/01/2031 | 670 | 797 | ||||||
|
| |||||||
7,205 | ||||||||
|
| |||||||
Louisiana 1.4% | ||||||||
City of Lafayette, Sales & Use Tax Revenue, Series D, Rev., 4.00%, 05/01/2038 | 650 | 774 | ||||||
Consolidated Government of the City of Baton Rouge & Parish of East Baton Rouge, Pollution Control Revenue, Exxon Project, Rev., VRDO, 0.13%, 10/01/2020 (z) | 6,100 | 6,100 | ||||||
Consolidated Government of the City of Baton Rouge & Parish of East Baton Rouge, Sales Tax, | ||||||||
Rev., AGM, 5.00%, 08/01/2022 | 80 | 87 | ||||||
Rev., AGM, 5.00%, 08/01/2027 | 1,400 | 1,775 | ||||||
East Baton Rouge Parish, Sewerage Commission, Series B, Rev., 5.00%, 02/01/2039 (p) | 1,200 | 1,445 | ||||||
Ernest N. Morial New Orleans Exhibition Hall Authority, Special Tax, 5.00%, 07/15/2027 | 900 | 959 | ||||||
Louisiana Local Government Environmental Facilities & Community Development Authority, East Baton Rouge Sewage Commission, Subordinated Lien, | ||||||||
Rev., 5.00%, 02/01/2028 (p) | 1,655 | 1,916 | ||||||
Series A, Rev., 4.00%, 02/01/2048 (p) | 1,610 | 1,753 | ||||||
Louisiana Public Facilities Authority, Ochsner Clinic Foundation Project, Rev., 5.00%, 05/15/2042 | 1,480 | 1,731 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Louisiana continued | ||||||||
Louisiana State University & Agricultural & Mechanical College, Auxiliary, Series A, Rev., 5.00%, 07/01/2021 | 1,285 | 1,329 | ||||||
New Orleans Aviation Board, General Airport North Terminal, Series B, Rev., AMT, 5.00%, 01/01/2048 | 2,000 | 2,244 | ||||||
Parish of St. James, Various Nucor Steel Louisiana, Series A1, Rev., VRDO, 0.20%, 10/07/2020 (z) | 7,350 | 7,350 | ||||||
Parish of St. John the Baptist, Marathon Oil Corp. Project, Series B1, Rev., 2.13%, 06/01/2037 (z) | 875 | 880 | ||||||
Port New Orleans Board of Commissioners, Series E, Rev., AMT, 5.00%, 04/01/2039 | 1,170 | 1,416 | ||||||
Regional Transit Authority Sales Tax Revenue, Series A, Rev., AGM, 5.00%, 01/01/2029 | 3,000 | 3,875 | ||||||
Tobacco Settlement Financing Corp., Asset Backed, Series A, Rev., 5.00%, 05/15/2023 | 125 | 139 | ||||||
|
| |||||||
33,773 | ||||||||
|
| |||||||
Maryland 3.0% | ||||||||
County of Howard, Metropolitan District, Series E, GO, 5.00%, 02/15/2027 | 1,850 | 2,373 | ||||||
County of Montgomery, | ||||||||
Series A, GO, 4.00%, 08/01/2031 | 5,000 | 6,372 | ||||||
Series B, GO, 4.00%, 11/01/2028 | 2,500 | 3,142 | ||||||
Series C, GO, 5.00%, 10/01/2026 | 1,000 | 1,272 | ||||||
County of Prince Georges, Public Improvement, Series A, GO, 4.00%, 07/15/2032 | 5,000 | 6,177 | ||||||
Maryland Community Development Administration, Series D, Rev., 3.25%, 09/01/2050 | 500 | 554 | ||||||
Maryland Community Development Administration, Residential, | ||||||||
Series A, Rev., 3.75%, 03/01/2050 | 1,500 | 1,681 | ||||||
Series A, Rev., 4.50%, 09/01/2048 | 7,000 | 7,951 | ||||||
Series B, Rev., AMT, 4.50%, 09/01/2048 | 6,225 | 7,003 | ||||||
Maryland Health & Higher Educational Facilities Authority, Western Maryland Health System, Rev., 5.00%, 07/01/2024 (p) | 2,500 | 2,931 | ||||||
State of Maryland, Series B, GO, 5.00%, 08/01/2022 | 80 | 87 | ||||||
State of Maryland, First, | ||||||||
Series A, GO, 5.00%, 03/01/2024 (p) | 1,000 | 1,069 | ||||||
Series B, GO, 4.50%, 08/01/2021 | 1,305 | 1,352 | ||||||
State of Maryland, Group 1, | ||||||||
Series A, GO, 5.00%, 08/01/2028 | 1,500 | 1,991 | ||||||
Series A, GO, 5.00%, 03/15/2029 | 100 | 135 | ||||||
State of Maryland, Group 2, Series A, GO, 5.00%, 08/01/2031 | 1,000 | 1,340 | ||||||
State of Maryland, Group 2, State and Local Facilities Loan, GO, 5.00%, 08/01/2033 | 3,000 | 4,074 | ||||||
Washington Suburban Sanitary Commission, | ||||||||
Rev., 5.00%, 06/01/2021 | 4,245 | 4,382 | ||||||
Rev., 5.00%, 06/01/2028 | 1,000 | 1,325 | ||||||
Rev., 5.00%, 12/01/2028 | 2,290 | 3,068 | ||||||
Rev., 5.00%, 06/01/2029 | 4,000 | 5,414 | ||||||
Series A3, Rev., BAN, VRDO, 0.12%, 10/07/2020 (z) | 2,000 | 2,000 | ||||||
Washington Suburban Sanitary Commission, Consolidated Public Improvement, | ||||||||
Rev., 4.00%, 06/01/2022 | 75 | 80 | ||||||
Rev., 5.00%, 06/01/2029 | 1,500 | 1,972 | ||||||
Washington Suburban Sanitary Commission, Green Bond, Series 2, Rev., 5.00%, 12/01/2028 | 1,305 | 1,748 | ||||||
|
| |||||||
69,493 | ||||||||
|
|
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Massachusetts 0.6% | ||||||||
Commonwealth of Massachusetts, Series A, GO, 5.00%, 06/01/2044 (z) | 1,500 | 1,688 | ||||||
Commonwealth of Massachusetts, Consolidated Loan, Series D2, GO, 1.70%, 08/01/2043 (z) | 1,000 | 1,025 | ||||||
Massachusetts Development Finance Agency, Milford Regional Medical Center, Rev., 5.00%, 07/15/2046 (e) | 1,000 | 1,139 | ||||||
Massachusetts School Building Authority, Subordinated, Series A, Rev., 5.00%, 02/15/2036 | 7,190 | 8,179 | ||||||
Massachusetts Water Resources Authority, Green Bonds, | ||||||||
Series C, Rev., 4.00%, 08/01/2022 (p) | 100 | 107 | ||||||
University of Massachusetts Building Authority, Various Senior, Series 1, Rev., VRDO, 0.11%, 10/07/2020 (z) | 2,000 | 2,000 | ||||||
|
| |||||||
14,138 | ||||||||
|
| |||||||
Michigan 1.6% | ||||||||
City of Detroit, Sewage Disposal System Revenue, Senior Lien, Series A, Rev., 5.00%, 07/01/2023 | 5,000 | 5,409 | ||||||
City of Lansing, GO, AGM, 5.00%, 05/01/2028 | 515 | 669 | ||||||
Great Lakes Water Authority, Sewage Disposal System, Second Lien, Series C, Rev., 5.00%, 07/01/2032 | 75 | 91 | ||||||
Great Lakes Water Authority, Sewage Disposal System, Senior Lien, Series B, Rev., 5.00%, 07/01/2030 | 3,200 | 3,946 | ||||||
LAnse Creuse Public Schools, GO, Q-SBLF, 5.00%, 05/01/2029 | 2,405 | 2,860 | ||||||
Michigan Finance Authority, | ||||||||
Rev., 5.00%, 11/15/2022 | 125 | 137 | ||||||
Rev., 5.00%, 11/15/2023 | 1,375 | 1,558 | ||||||
Rev., 5.00%, 11/15/2025 | 435 | 515 | ||||||
Michigan Finance Authority, Holland Community Hospital, Series A, Rev., 5.00%, 01/01/2040 | 1,980 | 2,119 | ||||||
Michigan Finance Authority, Hospital Trinity Health Credit, Rev., 5.00%, 12/01/2027 | 100 | 129 | ||||||
Michigan State Building Authority, | ||||||||
Series I, Rev., 5.00%, 10/15/2027 | 2,500 | 3,241 | ||||||
Series I, Rev., 5.00%, 10/15/2029 | 1,750 | 2,352 | ||||||
Michigan State Building Authority, Multi Modal Facilities Program, Rev., VRDO, 0.25%, 10/07/2020 (z) | 3,500 | 3,500 | ||||||
Michigan State Hospital Finance Authority, Hospital Trinity Health Credit, Series C, Rev., 5.00%, 12/01/2027 | 100 | 129 | ||||||
Michigan State Hospital Finance Authority, Trinity Health, Rev., 5.00%, 12/01/2034 (p) | 1,000 | 1,078 | ||||||
Michigan State University, | ||||||||
Series A, Rev., 5.00%, 08/15/2022 (w) | 705 | 768 | ||||||
Series A, Rev., 5.00%, 08/15/2029 (w) | 2,000 | 2,666 | ||||||
Series A, Rev., 5.00%, 08/15/2038 | 250 | 278 | ||||||
Michigan State University, Board of Trustees, Series B, Rev., 4.00%, 02/15/2024 | 300 | 337 | ||||||
Monroe County Economic Development Corp., Collateral Detroit Edison Co., Series AA, Rev., NATL, 6.95%, 09/01/2022 | 2,500 | 2,816 | ||||||
State of Michigan, Environmental Program Bonds, Series A, GO, 5.00%, 05/15/2030 | 400 | 548 | ||||||
State of Michigan, Garvee, Rev., GAN, 5.00%, 03/15/2024 | 1,435 | 1,657 | ||||||
Wayne County Airport Authority, Series F, Rev., AMT, 5.00%, 12/01/2034 | 1,470 | 1,703 | ||||||
|
| |||||||
38,506 | ||||||||
|
|
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Minnesota 1.1% | ||||||||
County of Hennepin, | ||||||||
Series B, GO, 5.00%, 12/01/2027 | 2,850 | 3,731 | ||||||
Series C, GO, 5.00%, 12/15/2032 (w) | 3,000 | 4,016 | ||||||
Housing & Redevelopment Authority of The City of St. Paul Minnesota, Hope Community Academy Project, Series A, Rev., 5.00%, 12/01/2043 | 1,000 | 1,022 | ||||||
Minneapolis Saint Paul Metropolitan Airports Commission, Series A, Rev., 5.00%, 01/01/2025 | 425 | 502 | ||||||
Minnesota Housing Finance Agency, Series G, Rev., GNMA/FNMA/FHLMC COLL, 3.00%, 01/01/2051 | 3,875 | 4,252 | ||||||
St. Paul Port Authority, Solid Gerdau St. Paul Steel Mill Project, Rev., AMT, 4.50%, 10/01/2037 (e) | 1,000 | 1,008 | ||||||
State of Minnesota, | ||||||||
Series A, GO, 5.00%, 08/01/2026 | 250 | 316 | ||||||
Series A, GO, 5.00%, 10/01/2029 | 45 | 58 | ||||||
Series A, GO, 5.00%, 08/01/2031 | 2,340 | 3,135 | ||||||
Series B, GO, 4.00%, 08/01/2028 | 2,000 | 2,509 | ||||||
Series B, GO, 5.00%, 08/01/2022 | 100 | 109 | ||||||
Series E, GO, 3.00%, 08/01/2026 | 710 | 812 | ||||||
Series A, GO, 5.00%, 08/01/2034 | 3,500 | 4,599 | ||||||
|
| |||||||
26,069 | ||||||||
|
| |||||||
Mississippi 0.4% | ||||||||
Mississippi Business Finance Corp., Chevron USA, Inc. Project, | ||||||||
Series D, Rev., VRDO, 0.13%, 10/01/2020 (z) | 3,000 | 3,000 | ||||||
Series E, Rev., VRDO, 0.13%, 10/01/2020 (z) | 5,000 | 5,000 | ||||||
Mississippi Hospital Equipment & Facilities Authority, Baptist Memorial Health Care, Rev., 5.00%, 09/01/2044 (z) | 250 | 289 | ||||||
State of Mississippi, Series F, GO, 5.00%, 11/01/2030 (p) | 1,000 | 1,238 | ||||||
|
| |||||||
9,527 | ||||||||
|
| |||||||
Missouri 1.1% | ||||||||
City of St. Charles, Series B, COP, 4.00%, 02/01/2029 | 515 | 628 | ||||||
Curators of the University of Missouri (The), | ||||||||
Series A, Rev., 4.00%, 11/01/2034 | 2,500 | 2,813 | ||||||
Series A, Rev., 4.00%, 11/01/2035 | 1,000 | 1,124 | ||||||
Health & Educational Facilities Authority of the State of Missouri, Lutheran Senior Service Projects, Series A, Rev., 5.00%, 02/01/2029 | 1,410 | 1,584 | ||||||
Jackson County Reorganized School District No. 7, GO, 4.00%, 03/01/2029 | 310 | 387 | ||||||
Missouri Development Finance Board, Kauffman Center Performing, Series A, Rev., VRDO, 0.12%, 10/01/2020 (z) | 6,000 | 6,000 | ||||||
Missouri Development Finance Board, Procter & Gamble Paper Products, Rev., AMT, 5.20%, 03/15/2029 | 370 | 484 | ||||||
Orchard Farm R-V School District, | ||||||||
COP, 4.00%, 04/01/2027 (w) | 400 | 473 | ||||||
COP, 4.00%, 04/01/2028 (w) | 410 | 491 | ||||||
RBC Municipal Products, Inc. Trust, Floater Certificates, Series C16, Rev., VRDO, LOC: Royal Bank of Canada, LIQ: Royal Bank of Canada, 0.19%, 10/07/2020 (e) (z) | 11,000 | 11,000 | ||||||
State of Missouri, Health & Educational Facilities, Saint Lukes Health System, Inc., Rev., 5.00%, 11/15/2023 | 250 | 284 | ||||||
|
| |||||||
25,268 | ||||||||
|
|
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Montana 0.2% | ||||||||
Montana Board of Housing, Rev., 3.00%, 12/01/2050 (w) | 2,580 | 2,830 | ||||||
Montana Facility Finance Authority, Rev., 5.00%, 02/15/2033 | 1,000 | 1,200 | ||||||
|
| |||||||
4,030 | ||||||||
|
| |||||||
Nebraska 0.3% | ||||||||
Central Plains Energy, Project No. 3, Series A, Rev., 5.00%, 09/01/2042 | 2,500 | 3,445 | ||||||
County of Washington, Cargill, Inc. Project, Rev., AMT, 0.90%, 09/01/2030 (z) | 350 | 350 | ||||||
Douglas County, Hospital Authority No. 2, Childrens Hospital Obligated Group, Rev., 5.00%, 11/15/2053 (z) | 2,190 | 2,627 | ||||||
Nebraska Educational Health Cultural & Social Services Finance Authority, Immanuel Obligated Group, Rev., 4.00%, 01/01/2037 | 1,000 | 1,117 | ||||||
|
| |||||||
7,539 | ||||||||
|
| |||||||
Nevada 0.5% | ||||||||
County of Clark, Passenger Facility Charge Revenue, Las Vegas McCarran International Airport, Rev., 5.00%, 07/01/2030 | 1,425 | 1,813 | ||||||
County of Washoe, Sierra Pacific Power Company, Rev., AMT, 0.63%, 03/01/2036 (z) | 900 | 900 | ||||||
Las Vegas Valley, Water District, | ||||||||
Series A, GO, 5.00%, 06/01/2022 | 2,000 | 2,161 | ||||||
Series B, GO, 5.00%, 12/01/2023 | 70 | 80 | ||||||
Series D, GO, 5.00%, 06/01/2023 | 1,180 | 1,330 | ||||||
Las Vegas Valley Water District, Water Improvement, Series A, GO, 5.00%, 06/01/2046 | 5,000 | 5,996 | ||||||
State of Nevada, Department of Business & Industry, Republic Services, Inc. Project, Rev., AMT, 0.88%, 12/01/2026 (e) (z) | 100 | 100 | ||||||
|
| |||||||
12,380 | ||||||||
|
| |||||||
New Hampshire 0.1% | ||||||||
New Hampshire Business Finance Authority, Rev., 4.13%, 01/20/2034 | 991 | 1,070 | ||||||
|
| |||||||
New Jersey 2.2% | ||||||||
City of Newark, | ||||||||
Series A, GO, AGM, 5.00%, 10/01/2027 | 100 | 126 | ||||||
Series A, GO, AGM, 5.00%, 10/01/2028 | 750 | 953 | ||||||
Essex County, Improvement Authority, Newark Project, Series A, Rev., 6.00%, 11/01/2025 (p) | 5,000 | 5,023 | ||||||
Garden State Preservation Trust, Capital Appreciation, Series B, Rev., AGM, Zero Coupon, 11/01/2026 | 1,000 | 918 | ||||||
New Brunswick Parking Authority, City Guaranteed Parking, Series A, Rev., BAM, 5.00%, 09/01/2026 (w) | 1,000 | 1,236 | ||||||
New Jersey Economic Development Authority, | ||||||||
Series A, Rev., 5.00%, 11/01/2027 | 1,000 | 1,190 | ||||||
Series B, Rev., 5.00%, 11/01/2023 | 75 | 83 | ||||||
New Jersey Economic Development Authority, Higher Education Capital Improvement Fund, Series A, Rev., 5.00%, 09/01/2025 | 245 | 275 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
New Jersey continued | ||||||||
New Jersey Economic Development Authority, School Facilities, Series GG, Rev., 5.00%, 09/01/2021 | 3,000 | 3,050 | ||||||
New Jersey Economic Development Authority, School Facilities Construction, | ||||||||
Rev., 5.00%, 03/01/2021 | 35 | 35 | ||||||
Rev., 5.00%, 03/01/2031 | 1,190 | 1,266 | ||||||
New Jersey Educational Facilities Authority, Princeton University, | ||||||||
Series A, Rev., 5.00%, 07/01/2022 | 1,710 | 1,855 | ||||||
Series I, Rev., 5.00%, 07/01/2024 | 1,290 | 1,521 | ||||||
Series I, Rev., 5.00%, 07/01/2036 | 1,015 | 1,278 | ||||||
New Jersey Health Care Facilities Financing Authority, Princeton Health Care, Rev., 5.00%, 07/01/2025 | 1,320 | 1,595 | ||||||
New Jersey Higher Education Student Assistance Authority, Series A, Rev., AMT, 5.00%, 12/01/2023 | 35 | 39 | ||||||
New Jersey Higher Education Student Assistance Authority, Senior Bonds, Series B, Rev., AMT, 5.00%, 12/01/2024 | 300 | 342 | ||||||
New Jersey Transportation Trust Fund Authority, | ||||||||
Series A, Rev., 5.00%, 12/15/2028 | 300 | 361 | ||||||
Series B, Rev., 5.25%, 06/15/2036 | 1,500 | 1,531 | ||||||
New Jersey Transportation Trust Fund Authority, Capital Appreciation, Series A, Rev., BAM, Zero Coupon, 12/15/2038 | 4,430 | 2,503 | ||||||
New Jersey Transportation Trust Fund Authority,Transportation System Bond, | ||||||||
Rev., 5.00%, 12/15/2028 | 1,000 | 1,204 | ||||||
Rev., 5.00%, 12/15/2031 | 1,560 | 1,854 | ||||||
New Jersey Turnpike Authority, | ||||||||
Series A, Rev., 5.00%, 01/01/2030 (p) | 1,000 | 1,084 | ||||||
Series E, Rev., 5.00%, 01/01/2027 | 1,000 | 1,247 | ||||||
South Jersey Transportation Authority, | ||||||||
Series A, Rev., AGM, 5.00%, 11/01/2030 | 500 | 644 | ||||||
Series A, Rev., AGM, 5.00%, 11/01/2033 | 1,215 | 1,534 | ||||||
Tender Option Bond Trust Receipts/Certificates, Floaters, | ||||||||
Series 2016-XM0226, Rev., BHAC-CR, NATL-RE, LIQ: Bank of America NA, 0.12%, 07/01/2026 (e) (n) (z) | 10,220 | 10,220 | ||||||
Series 2018-XX1093, Rev., VRDO, LOC: Barclays Bank plc, LIQ: Barclays Bank plc, 0.15%, 10/07/2020 (e) (z) | 9,500 | 9,500 | ||||||
Tobacco Settlement Financing Corp., Series A, Rev., 5.00%, 06/01/2021 | 15 | 15 | ||||||
|
| |||||||
52,482 | ||||||||
|
| |||||||
New Mexico 0.8% | ||||||||
City of Farmington, Pollution Control Revenue, Public Service Company, New Mexico Sanitary, Series E, Rev., 1.15%, 06/01/2040 (z) | 3,355 | 3,374 | ||||||
New Mexico Finance Authority,Subordinated Lien, Public Project Revolving Fund, Rev., 5.00%, 06/15/2024 | 1,000 | 1,174 | ||||||
New Mexico Hospital Equipment Loan Council, | ||||||||
Rev., 5.00%, 06/01/2030 | 1,050 | 1,296 | ||||||
Rev., 5.00%, 06/01/2032 | 1,000 | 1,217 | ||||||
New Mexico Mortgage Finance Authority, Series B, Rev., GNMA/FNMA/FHLMC COLL, 3.00%, 01/01/2051 (w) | 3,400 | 3,737 | ||||||
New Mexico Mortgage Finance Authority, Single Family Mortgage Program, Series C, Rev., GNMA/FNMA/FHLMC COLL, 4.00%, 01/01/2049 | 5,000 | 5,535 | ||||||
New Mexico Municipal Energy Acquisition Authority, Series A, Rev., LIQ: Royal Bank of Canada, 5.00%, 11/01/2039 (z) | 1,315 | 1,565 | ||||||
|
| |||||||
17,898 | ||||||||
|
|
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
New York 10.3% | ||||||||
Albany County, Airport Authority, Series B, Rev., AMT, 5.00%, 12/15/2023 | 1,225 | 1,376 | ||||||
Broome County, Local Development Corp., United Health Services Hospital, | ||||||||
Rev., AGM, 4.00%, 04/01/2039 | 2,750 | 3,192 | ||||||
Rev., AGM, 5.00%, 04/01/2026 | 500 | 613 | ||||||
Build NYC Resource Corp., Rev., 5.00%, 07/01/2026 | 325 | 377 | ||||||
City of Long Beach, | ||||||||
Series A, GO, 5.00%, 09/01/2025 | 1,990 | 2,311 | ||||||
Series A, GO, 5.00%, 09/01/2027 | 1,500 | 1,794 | ||||||
City of New York, | ||||||||
Series A1, GO, 4.00%, 08/01/2034 | 3,000 | 3,556 | ||||||
Series A1, GO, 5.00%, 08/01/2026 | 2,000 | 2,487 | ||||||
Series A1, GO, 5.00%, 08/01/2028 | 3,595 | 4,609 | ||||||
Series A1, GO, 5.00%, 08/01/2029 | 2,900 | 3,776 | ||||||
Series A, GO, 5.00%, 08/01/2028 | 100 | 126 | ||||||
Series C, GO, 5.00%, 08/01/2022 | 60 | 65 | ||||||
Series C, GO, 5.00%, 08/01/2027 | 330 | 417 | ||||||
Series D1, GO, 5.00%, 12/01/2024 | 150 | 178 | ||||||
Series D1, GO, 5.00%, 12/01/2031 | 1,380 | 1,734 | ||||||
Series E, GO, 5.00%, 08/01/2028 | 1,625 | 2,083 | ||||||
Series F1, GO, 5.00%, 04/01/2037 | 2,730 | 3,294 | ||||||
Series J3, GO, AGM, 0.40%, 06/01/2036 (z) | 2,000 | 2,000 | ||||||
City of New York NY, Series C4, GO, AGC, 0.40%, 10/01/2027 (z) | 2,000 | 2,000 | ||||||
City of New York, Fiscal 2019 Subordinated, Series D4, GO, VRDO, 0.12%, 10/01/2020 (z) | 5,050 | 5,050 | ||||||
City of New York, Fiscal 2020, Series B1, GO, 4.00%, 10/01/2023 | 990 | 1,096 | ||||||
County of Dutchess, Local Development Corp., Marist College Project, Series A, Rev., 5.00%, 07/01/2045 | 360 | 403 | ||||||
County of Nassau, Series B, GO, BAM, 5.00%, 10/01/2027 | 1,450 | 1,783 | ||||||
Dutchess County, Local Development Corp., Health Quest System, Inc. Project, Series B, Rev., 5.00%, 07/01/2046 | 1,250 | 1,401 | ||||||
Hudson Yards Infrastructure Corp., Rev., 4.00%, 02/15/2044 | 2,690 | 2,924 | ||||||
Long Island Power Authority, | ||||||||
Rev., 5.00%, 09/01/2042 | 1,900 | 2,304 | ||||||
Series A, Rev., 5.00%, 09/01/2037 | 1,250 | 1,635 | ||||||
Metropolitan Transportation Authority, | ||||||||
Series B1, Rev., BAN, 5.00%, 05/15/2022 | 4,000 | 4,114 | ||||||
Series B, Rev., 5.00%, 11/15/2025 | 540 | 576 | ||||||
Series D, Rev., 5.00%, 11/15/2027 | 1,200 | 1,273 | ||||||
Series D, Rev., 5.00%, 11/15/2038 | 600 | 615 | ||||||
Metropolitan Transportation Authority, Green Bond, | ||||||||
Series A1, Rev., BAN, 5.00%, 02/01/2023 | 1,425 | 1,469 | ||||||
Series A2, Rev., 5.00%, 11/15/2024 | 1,815 | 1,921 | ||||||
Series A2, Rev., 5.00%, 11/15/2027 | 1,085 | 1,151 | ||||||
Series B, Rev., 5.00%, 11/15/2021 | 125 | 128 | ||||||
Series B, Rev., 5.00%, 11/15/2023 | 100 | 105 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Metropolitan Transportation Authority, Green Bonds, | ||||||||
Series A2, Rev., 5.00%, 11/15/2025 | 1,000 | 1,066 | ||||||
Series C1, Rev., 5.00%, 11/15/2027 | 1,115 | 1,192 | ||||||
Series D1, Rev., 5.00%, 11/15/2043 | 2,000 | 2,132 | ||||||
Series D3, Rev., 4.00%, 11/15/2049 | 2,000 | 1,933 | ||||||
Metropolitan Transportation Authority, Green Bonds, Subordinated, Series B1, Rev., 5.00%, 11/15/2036 | 3,000 | 3,488 | ||||||
Metropolitan Transportation Authority, Refunding, Transportation Subordinated, Series C1, Rev., 5.00%, 11/15/2025 | 1,055 | 1,124 | ||||||
Metropolitan Transportation Authority, Transportation, Series A1, Rev., 5.25%, 11/15/2039 | 1,000 | 1,033 | ||||||
Metropolitan Transportation Authority, Transportation Green Bonds, Series B, Rev., 5.00%, 11/15/2026 | 1,720 | 1,838 | ||||||
Metropolitan Transportation Authority, Transportation, Subordinated, Series E3, Rev., VRDO, LOC: Bank of America NA, 0.14%, 10/01/2020 (z) | 2,500 | 2,500 | ||||||
Metropolitan Transportation Authority, Unrefunded Balance, Transportation, Series A, Rev., 5.00%, 11/15/2041 (p) | 4,000 | 4,218 | ||||||
New York City Housing Development Corp., Sustainable Development Bonds, Series D2, Rev., FHA, 0.70%, 05/01/2060 (z) | 1,000 | 999 | ||||||
New York City Industrial Development Agency, Yankee Stadium Project Pilot, | ||||||||
Rev., AGM, 4.00%, 03/01/2045 (w) | 7,930 | 9,001 | ||||||
Rev., AGM, 5.00%, 03/01/2028 (w) | 1,250 | 1,569 | ||||||
Rev., AGM, 5.00%, 03/01/2029 (w) | 1,500 | 1,917 | ||||||
Rev., AGM, 5.00%, 03/01/2030 (w) | 3,500 | 4,528 | ||||||
New York City Transitional Finance Authority Building Aid Revenue, Fiscal Year 2015, Series S1, Rev., 5.00%, 07/15/2035 | 585 | 679 | ||||||
New York City Transitional Finance Authority, Future Tax Secured, | ||||||||
Rev., 5.00%, 11/01/2028 | 1,000 | 1,306 | ||||||
Rev., 5.00%, 08/01/2029 | 5,000 | 6,603 | ||||||
Rev., 4.00%, 11/01/2035 | 7,000 | 8,334 | ||||||
Rev., 5.00%, 11/01/2021 | 750 | 789 | ||||||
Rev., 5.00%, 11/01/2026 | 1,375 | 1,726 | ||||||
New York City Transitional Finance Authority, Future Tax Secured, Subordinated, | ||||||||
Rev., 5.00%, 05/01/2031 | 1,000 | 1,340 | ||||||
Series A3, Rev., 4.00%, 05/01/2042 | 2,000 | 2,267 | ||||||
Series A3, Rev., 5.00%, 08/01/2040 | 1,220 | 1,489 | ||||||
Series C1, Rev., 5.00%, 05/01/2024 | 1,000 | 1,164 | ||||||
New York City Transitional Finance Authority Future Tax Secured, Future Tax Secured Subordinated Fiscal, | ||||||||
Series 1, Rev., 5.00%, 11/01/2026 | 2,600 | 3,265 | ||||||
Series 1, Rev., 5.00%, 11/01/2028 | 4,955 | 6,471 | ||||||
New York City Trust for Cultural Resources, Refunding Lincoln Center, Series A, Rev., 5.00%, 12/01/2032 | 500 | 645 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
New York City Water & Sewer System, | ||||||||
Series AA2, Rev., 5.00%, 06/15/2029 | 2,850 | 3,821 | ||||||
Series FF, Rev., 5.00%, 06/15/2041 | 2,000 | 2,577 | ||||||
Series GG1, Rev., 5.00%, 06/15/2030 | 1,000 | 1,365 | ||||||
Series GG, Rev., 5.00%, 06/15/2039 | 2,635 | 3,125 | ||||||
New York City Water & Sewer System, Second General Resolution, | ||||||||
Rev., 5.00%, 06/15/2047 | 14,655 | 16,302 | ||||||
Series CC1, Rev., 5.25%, 06/15/2037 | 2,345 | 2,912 | ||||||
New York City Water & Sewer System, Various Second General Resolution, Series BB4, Rev., VRDO, 0.12%, 10/01/2020 (z) | 2,000 | 2,000 | ||||||
New York City, Water & Sewer System, Series BB1, Rev., 5.00%, 06/15/2049 | 500 | 629 | ||||||
New York Liberty Development Corp., World Trade Center Project, Series 1, Rev., 5.00%, 11/15/2044 (e) | 1,700 | 1,743 | ||||||
New York State Dormitory Authority, | ||||||||
Series A, Rev., 5.00%, 03/15/2024 | 100 | 116 | ||||||
Series A, Rev., 5.00%, 03/15/2034 | 2,000 | 2,432 | ||||||
New York State Dormitory Authority, General Purpose, Series D, Rev., 5.00%, 02/15/2026 | 100 | 124 | ||||||
New York State Dormitory Authority, Group 2, Series A, Rev., 5.00%, 03/15/2036 | 2,015 | 2,514 | ||||||
New York State Dormitory Authority, Group 3, Series A, Rev., 5.00%, 03/15/2037 | 5,000 | 6,211 | ||||||
New York State Dormitory Authority, Montefiore Obligated Group, | ||||||||
Series A, Rev., 5.00%, 08/01/2025 | 2,035 | 2,373 | ||||||
Series A, Rev., 5.00%, 08/01/2026 | 750 | 894 | ||||||
New York State Dormitory Authority, Municipal Health Facilities, Rev., 4.00%, 01/15/2023 | 50 | 50 | ||||||
New York State Dormitory Authority, New York University, Series A, Rev., 4.00%, 07/01/2035 | 620 | 711 | ||||||
New York State Dormitory Authority, State University Dormitory Facilities, Series A, Rev., 5.00%, 07/01/2023 (p) | 150 | 163 | ||||||
New York State Dormitory Authority, State University New York Dormitory Facilities, Series B, Rev., 5.00%, 07/01/2031 | 1,365 | 1,585 | ||||||
New York State Environmental Facilities Corp., Solid Waste Disposal Revenue, Casella Waste System, Inc. Project, Rev., 2.75%, 09/01/2050 (e) (z) | 250 | 252 | ||||||
New York State Housing Finance Agency, Sustainability Bonds, Series P, Rev., 1.55%, 11/01/2023 | 300 | 302 | ||||||
New York State Thruway Authority, | ||||||||
Series K, Rev., 4.00%, 01/01/2021 | 500 | 505 | ||||||
Series K, Rev., 5.00%, 01/01/2022 | 105 | 111 | ||||||
Series L, Rev., 5.00%, 01/01/2024 | 75 | 85 | ||||||
New York State Thruway Authority, Group 2, Series N, Rev., 4.00%, 01/01/2041 | 4,120 | 4,728 | ||||||
New York State Thruway Authority, Transportation, Series A, Rev., 5.00%, 03/15/2024 | 100 | 105 | ||||||
New York State Urban Development Corp., Series A, Rev., 4.00%, 03/15/2049 | 1,300 | 1,482 | ||||||
New York State Urban Development Corp., Personal Income Tax, | ||||||||
Rev., 4.00%, 03/15/2037 | 2,000 | 2,358 | ||||||
Rev., 4.00%, 03/15/2041 | 5,000 | 5,794 | ||||||
Rev., 5.00%, 03/15/2030 | 500 | 669 | ||||||
Series C3, Rev., 5.00%, 03/15/2038 | 1,500 | 1,842 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
New York Transportation Development Corp., Delta Air Lines, Inc., Laguardia, Rev., AMT, 5.00%, 10/01/2035 | 8,000 | 8,631 | ||||||
Port Authority of New York & New Jersey, Consolidated, | ||||||||
Series 166, Rev., 5.25%, 07/15/2036 | 5,000 | 5,062 | ||||||
Series 197, Rev., AMT, 5.00%, 11/15/2032 | 3,000 | 3,557 | ||||||
Series 221, Rev., AMT, 5.00%, 07/15/2031 | 1,620 | 2,090 | ||||||
Series 221, Rev., AMT, 5.00%, 07/15/2032 | 1,500 | 1,921 | ||||||
Triborough Bridge & Tunnel Authority, | ||||||||
Series A, Rev., 5.00%, 11/15/2038 | 1,000 | 1,087 | ||||||
Series A, Rev., 5.00%, 11/15/2041 | 1,975 | 2,329 | ||||||
Series A, Rev., 5.00%, 11/15/2049 | 3,040 | 3,830 | ||||||
Triborough Bridge & Tunnel Authority, Subordinated, Series A, Rev., 5.00%, 11/15/2025 | 50 | 56 | ||||||
Utility Debt Securitization Authority, Restructuring, Series TE, Rev., 5.00%, 12/15/2033 | 3,150 | 3,603 | ||||||
|
| |||||||
240,598 | ||||||||
|
| |||||||
North Carolina 1.4% | ||||||||
City of Charlotte, Water & Sewer System Revenue, | ||||||||
Rev., 5.00%, 07/01/2026 | 1,850 | 2,335 | ||||||
Rev., 5.00%, 07/01/2027 | 1,000 | 1,298 | ||||||
County of Wake, Series A, Rev., 5.00%, 08/01/2021 | 50 | 52 | ||||||
North Carolina Housing Finance Agency, | ||||||||
Series 37A, Rev., AMT, 3.50%, 07/01/2039 | 120 | 126 | ||||||
Series 45, Rev., GNMA/FNMA/FHLMC COLL, 1.90%, 01/01/2032 (w) | 1,705 | 1,698 | ||||||
Series 45, Rev., GNMA/FNMA/FHLMC COLL, 3.00%, 07/01/2051 (w) | 3,995 | 4,383 | ||||||
North Carolina Medical Care Commission, Presbyterian Homes Obligations, | ||||||||
Series A, Rev., 4.00%, 10/01/2027 (w) | 710 | 827 | ||||||
Series A, Rev., 4.00%, 10/01/2040 (w) | 600 | 655 | ||||||
Series A, Rev., 4.00%, 10/01/2045 (w) | 1,000 | 1,074 | ||||||
North Carolina Medical Care Commission, Rex Healthcare, Series A, Rev., 5.00%, 07/01/2031 | 1,000 | 1,281 | ||||||
North Carolina Turnpike Authority, Senior Lien, Rev., AGM, 5.00%, 01/01/2038 | 2,375 | 2,934 | ||||||
North Carolina Turnpike Authority, Triangle Expressway System, Senior Lien, Rev., AGM, 5.00%, 01/01/2049 | 1,000 | 1,228 | ||||||
Raleigh Durham Airport Authority, | ||||||||
Series A, Rev., AMT, 5.00%, 05/01/2032 | 1,200 | 1,500 | ||||||
Sanford Housing Authority, Matthews Garden Gilmore, Rev., 0.30%, 10/01/2023 (n) (w) (z) | 3,750 | 3,749 | ||||||
State of North Carolina, Public Improvement, Series B, GO, 5.00%, 06/01/2026 | 3,500 | 4,406 | ||||||
University of North Carolina at Chapel Hill, Series B, Rev., (ICE LIBOR USD 1 Month + 0.40%), 0.50%, 12/01/2041 (aa) | 3,000 | 3,001 | ||||||
Western Carolina University, Series B, Rev., 5.00%, 04/01/2031 | 2,120 | 2,808 | ||||||
|
| |||||||
33,355 | ||||||||
|
| |||||||
North Dakota 0.7% | ||||||||
North Dakota Housing Finance Agency, Housing Finance Program, Home Mortgage Finance, Series D, Rev., 4.25%, 01/01/2049 | 7,000 | 7,758 | ||||||
North Dakota Housing Finance Agency, Various Housing Finance Program, Home Mortgage Finance, Rev., VRDO, 0.12%, 10/07/2020 (z) | 7,850 | 7,850 | ||||||
West Fargo Public School District No. 6, Series C, GO, 4.00%, 08/01/2026 | 300 | 358 | ||||||
|
| |||||||
15,966 | ||||||||
|
|
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Ohio 2.9% | ||||||||
Akron Bath Copley Joint Township Hospital District, Rev., 5.25%, 11/15/2046 | 1,605 | 1,871 | ||||||
Akron Bath Copley Joint Township Hospital District, Summa Health Obligations, | ||||||||
Rev., 4.00%, 11/15/2034 (w) | 500 | 570 | ||||||
Rev., 4.00%, 11/15/2035 (w) | 1,000 | 1,133 | ||||||
Rev., 4.00%, 11/15/2038 (w) | 750 | 844 | ||||||
Rev., 5.00%, 11/15/2026 (w) | 200 | 243 | ||||||
American Municipal Power, Inc., Series A, Rev., 5.25%, 02/15/2033 (p) | 2,325 | 2,487 | ||||||
Buckeye Tobacco Settlement Financing Authority, Series B2, Rev., 5.00%, 06/01/2055 | 2,000 | 2,127 | ||||||
Buckeye Tobacco Settlement Financing Authority, Capital Appreciation, Series A3, Rev., 6.25%, 06/01/2037 (p) | 2,160 | 2,375 | ||||||
City of Cincinnati, Water System Revenue, Series A, Rev., 5.00%, 12/01/2036 (p) | 2,500 | 2,641 | ||||||
City of Cleveland, Airport System Revenue, Series A, Rev., AGM, 5.00%, 01/01/2031 (p) | 1,000 | 1,060 | ||||||
City of Columbus, Series 1, GO, 5.00%, 07/01/2026 | 1,000 | 1,132 | ||||||
Cleveland Department of Public Utilities, Division of Water, Series FF, Rev., 5.00%, 01/01/2026 | 300 | 371 | ||||||
County of Allen, Hospital Facilities Revenue, Series A, Rev., 5.00%, 08/01/2027 | 50 | 64 | ||||||
County of Cuyahoga, Series D, Rev., 5.00%, 12/01/2026 | 1,500 | 1,899 | ||||||
County of Hamilton, Trihealth, Inc., Obligated Group, Rev., 5.00%, 08/15/2040 | 1,510 | 1,907 | ||||||
Ohio Air Quality Development Authority, Ohio Valley Electric Corp., Rev., AMT, 2.50%, 11/01/2042 (z) | 1,000 | 1,061 | ||||||
Ohio Air Quality Development Authority, American Electric Power Company, Series A, Rev., AMT, 2.10%, 01/01/2029 (z) | 1,250 | 1,295 | ||||||
Ohio Higher Educational Facility Commission, Western Reserve University, Rev., (ICE LIBOR USD 1 Month + 0.42%), 0.53%, 10/01/2044 (aa) | 3,000 | 2,997 | ||||||
Ohio Water Development Authority, Series A, Rev., 5.00%, 06/01/2029 | 500 | 670 | ||||||
State of Ohio, | ||||||||
Series A, GO, 5.00%, 09/15/2022 | 95 | 104 | ||||||
Series A, GO, 5.00%, 12/15/2022 | 75 | 83 | ||||||
Series A, GO, 5.00%, 02/01/2024 | 2,000 | 2,318 | ||||||
Series A, GO, 5.00%, 02/01/2038 | 3,000 | 3,628 | ||||||
State of Ohio, Cleveland Clinic Health, Rev., VRDO, 0.10%, 10/01/2020 (z) | 5,875 | 5,875 | ||||||
State of Ohio, Common Shares, Series C, GO, 4.00%, 09/15/2022 | 5,000 | 5,376 | ||||||
State of Ohio, Higher Education, Series C, GO, 5.00%, 08/01/2028 | 7,000 | 9,301 | ||||||
State of Ohio, Natural Resources, Series S, GO, 5.00%, 04/01/2024 (p) | 125 | 140 | ||||||
State of Ohio, Parks and Recreation Improvement, Series B, Rev., VRDO, 0.09%, 10/07/2020 (z) | 5,000 | 5,000 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Ohio continued | ||||||||
State of Ohio, Premier Health Partners, | ||||||||
Rev., 4.00%, 11/15/2039 | 1,320 | 1,433 | ||||||
Rev., 4.00%, 11/15/2041 | 1,450 | 1,565 | ||||||
Rev., 5.00%, 11/15/2028 | 680 | 829 | ||||||
Toledo City School District, School Facilities Improvement, | ||||||||
GO, 5.00%, 12/01/2030 (p) | 1,125 | 1,293 | ||||||
Series B, GO, 5.00%, 12/01/2024 (p) | 2,920 | 3,224 | ||||||
|
| |||||||
66,916 | ||||||||
|
| |||||||
Oregon 0.6% | ||||||||
Jackson County School District No. 5 Ashland, GO, SCH BD GTY, 5.00%, 06/15/2030 | 1,000 | 1,336 | ||||||
Medford Hospital Facilities Authority, Asante Project, Series A, Rev., AGM, 4.00%, 08/15/2045 | 1,330 | 1,525 | ||||||
Multnomah County School District No. 1 Portland, GO, SCH BD GTY, 5.00%, 06/15/2028 | 1,750 | 2,302 | ||||||
Oregon State Facilities Authority, Providence Health and Services, Series A, Rev., 5.00%, 10/01/2022 | 80 | 87 | ||||||
Port of Portland Airport Revenue, Portland International Airport, Series 25B, Rev., AMT, 5.00%, 07/01/2039 | 1,020 | 1,232 | ||||||
Salem Hospital Facility Authority, Multi Model, Salem Health Projects, Series A, Rev., 5.00%, 05/15/2023 | 100 | 112 | ||||||
State of Oregon, Series N, GO, 5.00%, 12/01/2023 | 1,970 | 2,081 | ||||||
State of Oregon Housing & Community Services Department, Series B, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.14%, 10/07/2020 (z) | 4,000 | 4,000 | ||||||
State of Oregon, Article XI Q, Series F, GO, 5.00%, 05/01/2030 | 100 | 124 | ||||||
|
| |||||||
12,799 | ||||||||
|
| |||||||
Pennsylvania 5.1% | ||||||||
Allegheny County Airport Authority, Pittsburgh International Airport, Series B, Rev., 4.00%, 01/01/2030 (p) | 100 | 105 | ||||||
Allegheny County, Hospital Development Authority, Health Network Obligations, Series A, Rev., 5.00%, 04/01/2023 | 1,000 | 1,104 | ||||||
Allegheny County, Hospital Development Authority, Pittsburg University Medical Center, | ||||||||
Series A, Rev., 4.00%, 07/15/2036 | 2,200 | 2,524 | ||||||
Series A, Rev., 5.00%, 07/15/2027 | 765 | 968 | ||||||
Allegheny County, Sanitary Authority, | ||||||||
Series B, Rev., 4.00%, 06/01/2035 (w) | 400 | 487 | ||||||
Series B, Rev., 4.00%, 06/01/2036 (w) | 675 | 817 | ||||||
Series B, Rev., 5.00%, 06/01/2030 (w) | 500 | 670 | ||||||
Series B, Rev., 5.00%, 06/01/2032 (w) | 550 | 735 | ||||||
Series B, Rev., 5.00%, 06/01/2033 (w) | 600 | 797 | ||||||
Bentworth School District, Series A, GO, BAM, 4.00%, 03/15/2025 | 1,380 | 1,570 | ||||||
Berks County Municipal Authority (The), Tower Health Project, Series A, Rev., 5.00%, 02/01/2029 | 500 | 573 | ||||||
Bucks County, Industrial Development Authority, Waste Management, Inc. Project, Rev., AMT, 2.75%, 12/01/2022 | 100 | 104 | ||||||
City of Philadelphia, | ||||||||
GO, AGM, 5.00%, 08/01/2031 | 1,795 | 2,237 | ||||||
Series A, GO, 5.00%, 08/01/2030 | 4,000 | 4,766 | ||||||
City of Philadelphia, Airport Revenue, Series A, Rev., 5.00%, 06/15/2024 | 4,500 | 4,523 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
City of Philadelphia, Water & Wastewater Revenue, Series A, Rev., 5.00%, 11/01/2040 | 2,790 | 3,575 | ||||||
City of Pittsburgh, | ||||||||
Series B, GO, 5.00%, 09/01/2025 (p) | 3,000 | 3,277 | ||||||
Series B, GO, 5.00%, 09/01/2026 (p) | 1,000 | 1,092 | ||||||
Commonwealth of Pennsylvania, | ||||||||
Series 1, GO, 4.00%, 03/15/2034 | 5,000 | 5,603 | ||||||
Series 1, GO, 4.00%, 03/01/2035 | 3,650 | 4,262 | ||||||
Series 1, GO, 4.00%, 03/15/2035 | 2,000 | 2,237 | ||||||
County of Lehigh, Lehigh Valley Health Network, Rev., 4.00%, 07/01/2049 | 1,000 | 1,106 | ||||||
Delaware River Joint Toll Bridge Commission, Series A, Rev., 5.00%, 07/01/2025 (p) | 1,020 | 1,105 | ||||||
Delaware River Port Authority, | ||||||||
Rev., 5.00%, 01/01/2030 | 2,500 | 2,829 | ||||||
Rev., 5.00%, 01/01/2037 | 3,000 | 3,335 | ||||||
Geisinger Authority, Geisinger Health System, Series C, Rev., 5.00%, 04/01/2043 (z) | 1,630 | 2,121 | ||||||
Lycoming County Authority, Pennsylvania College Technology, Rev., 5.00%, 05/01/2026 | 2,000 | 2,119 | ||||||
Montgomery County Higher Education and Health Authority, Thomas Jefferson University Project, Rev., 4.00%, 09/01/2044 | 1,000 | 1,082 | ||||||
Montgomery County Industrial Development Authority, Retirement, | ||||||||
Rev., 5.00%, 11/15/2025 (p) | 1,500 | 1,618 | ||||||
Rev., 5.00%, 11/15/2028 (p) | 1,600 | 1,725 | ||||||
Pennsylvania Economic Development Financing Authority, Series A, Rev., 5.00%, 11/15/2023 | 1,665 | 1,895 | ||||||
Pennsylvania Economic Development Financing Authority, Philadelphia Bioslides Facility, | ||||||||
Rev., 4.00%, 01/01/2028 | 1,590 | 1,822 | ||||||
Rev., 4.00%, 01/01/2029 | 450 | 517 | ||||||
Rev., 4.00%, 01/01/2031 | 800 | 925 | ||||||
Pennsylvania Economic Development Financing Authority, Republic Services, Inc. Project, Rev., 0.28%, 06/01/2044 (z) | 2,500 | 2,500 | ||||||
Pennsylvania Economic Development Financing Authority, Upmc, Series A1, Rev., 4.00%, 04/15/2045 | 5,440 | 6,110 | ||||||
Pennsylvania Higher Educational Facilities Authority, Temple University, | ||||||||
Rev., 5.00%, 04/01/2035 (p) | 5,000 | 5,362 | ||||||
Rev., 5.00%, 04/01/2042 (p) | 3,000 | 3,217 | ||||||
Pennsylvania Housing Finance Agency, Series 133, Rev., 3.00%, 10/01/2050 | 3,600 | 3,950 | ||||||
Pennsylvania Turnpike Commission, | ||||||||
Series A1, Rev., 5.00%, 12/01/2027 | 1,000 | 1,295 | ||||||
Series A1, Rev., 5.00%, 12/01/2031 | 250 | 313 | ||||||
Series A1, Rev., 5.00%, 12/01/2034 | 1,000 | 1,230 | ||||||
Series A2, Rev., 5.00%, 12/01/2024 | 100 | 119 | ||||||
Series A2, Rev., 5.00%, 12/01/2025 | 1,300 | 1,602 | ||||||
Series A, Rev., 5.00%, 12/01/2044 | 2,000 | 2,485 | ||||||
Series A, Rev., AGM, 5.25%, 07/15/2028 | 300 | 402 | ||||||
Series A, Rev., 5.25%, 12/01/2044 | 2,500 | 3,157 | ||||||
Series B, Rev., 5.00%, 12/01/2026 (w) | 400 | 507 | ||||||
Series B, Rev., 5.00%, 12/01/2027 (w) | 900 | 1,165 | ||||||
Series B, Rev., 5.00%, 12/01/2028 (w) | 700 | 921 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Pennsylvania Turnpike Commission, Motor License, Rev., 5.00%, 12/01/2040 | 1,000 | 1,202 | ||||||
Pennsylvania Turnpike Commission, Senior Lien, Series A, Rev., 5.00%, 12/01/2042 (p) | 2,000 | 2,208 | ||||||
Philadelphia Authority for Industrial Development, Thomas Jefferson University, Series A, Rev., 5.00%, 09/01/2047 | 1,000 | 1,131 | ||||||
Pittsburgh Water & Sewer Authority, Subordinated, Series B, Rev., AGM, 5.00%, 09/01/2031 | 1,750 | 2,383 | ||||||
Sports & Exhibition Authority of Pittsburgh and Allegheny County, | ||||||||
Rev., AGM, 5.00%, 02/01/2027 | 2,250 | 2,819 | ||||||
Rev., AGM, 5.00%, 02/01/2028 | 2,590 | 3,311 | ||||||
St. Mary Hospital Authority, Catholic Health, Series A, Rev., 5.00%, 11/15/2040 (p) | 1,115 | 1,121 | ||||||
State Public School Building Authority, Philadelphia Community College Project, Rev., 5.00%, 06/15/2022 | 250 | 267 | ||||||
State Public School Building Authority, School District of Philadelphia, Rev., 5.00%, 04/01/2030 (p) | 3,000 | 3,215 | ||||||
University of Pittsburgh-of the Commonwealth System of Higher Education, Rev., (SIFMA Municipal Swap Index + 0.24%), 0.36%, 09/15/2021 (aa) | 3,000 | 3,000 | ||||||
|
| |||||||
119,217 | ||||||||
|
| |||||||
Puerto Rico 0.1% | ||||||||
Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue, Restructured, | ||||||||
Series A1, Rev., 4.55%, 07/01/2040 | 610 | 631 | ||||||
Series A2, Rev., 4.33%, 07/01/2040 | 2,245 | 2,288 | ||||||
|
| |||||||
2,919 | ||||||||
|
| |||||||
Rhode Island 0.1% | ||||||||
Rhode Island Housing and Mortgage Finance Corp., Homeownership Opportunity, | ||||||||
Series 73A, Rev., 0.95%, 04/01/2026 (w) | 500 | 499 | ||||||
Series 73A, Rev., 1.10%, 04/01/2027 (w) | 300 | 299 | ||||||
Series 73A, Rev., 1.65%, 10/01/2029 (w) | 715 | 713 | ||||||
Series 73A, Rev., 3.00%, 10/01/2050 (w) | 1,500 | 1,646 | ||||||
|
| |||||||
3,157 | ||||||||
|
| |||||||
South Carolina 1.0% | ||||||||
City of Rock Hill, Combined Utility System, Rev., 5.00%, 01/01/2027 | 250 | 301 | ||||||
Patriots Energy Group Financing Agency, Series A, Rev., LIQ: Royal Bank of Canada, 4.00%, 10/01/2048 (z) | 40 | 44 | ||||||
South Carolina Jobs-Economic Development Authority, Bon Secours Mercy Health, Series S, Rev., 5.00%, 12/01/2048 (z) | 1,000 | 1,194 | ||||||
South Carolina Jobs-Economic Development Authority, McLeod Health Projects, Rev., 5.00%, 11/01/2048 | 1,000 | 1,185 | ||||||
South Carolina Jobs-Economic Development Authority, Prisma Health Obligated Group, Series A, Rev., 5.00%, 05/01/2030 | 1,500 | 1,838 | ||||||
South Carolina Public Service Authority, | ||||||||
Series A, Rev., 5.00%, 12/01/2024 | 500 | 589 | ||||||
Series C, Rev., 5.00%, 12/01/2021 | 500 | 526 | ||||||
South Carolina Public Service Authority, Santee Cooper, Series A, Rev., 5.75%, 12/01/2043 (p) | 4,445 | 5,215 | ||||||
South Carolina State Housing Finance & Development Authority, Series B, Rev., 3.25%, 01/01/2052 (w) | 8,140 | 9,032 | ||||||
South Carolina Transportation Infrastructure Bank, Series 2003B, Rev., (ICE LIBOR USD 1 Month + 0.45%), 0.55%, 10/01/2031 (aa) | 4,000 | 3,980 | ||||||
|
| |||||||
23,904 | ||||||||
|
|
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Tennessee 1.8% | ||||||||
Blount County, Public Building Authority, Public Building Authority, Series D3A, Rev., VRDO, 0.11%, 10/01/2020 (z) | 12,000 | 12,000 | ||||||
Chattanooga Health Educational & Housing Facility Board, Commonspirit Health, Series A1, Rev., 5.00%, 08/01/2028 | 305 | 383 | ||||||
City of Memphis, Gas System Revenue, Rev., 4.00%, 12/01/2045 | 2,175 | 2,586 | ||||||
City of Memphis, Sanitary Sewerage System Revenue, | ||||||||
Series B, Rev., 5.00%, 10/01/2022 (w) | 1,430 | 1,566 | ||||||
Series B, Rev., 5.00%, 10/01/2023 (w) | 1,000 | 1,142 | ||||||
Series B, Rev., 5.00%, 10/01/2027 (w) | 1,000 | 1,296 | ||||||
County of Coffee, GO, 5.00%, 06/01/2026 | 250 | 311 | ||||||
Memphis-Shelby County Airport Authority, | ||||||||
Rev., AMT, 5.00%, 07/01/2032 | 270 | 330 | ||||||
Rev., AMT, 5.00%, 07/01/2043 | 2,055 | 2,430 | ||||||
Metropolitan Nashville Airport Authority, Subordinated, Series A, Rev., 5.00%, 07/01/2054 | 1,000 | 1,199 | ||||||
Shelby County Health Educational & Housing Facilities Board, Methodist Le Bonheur, Rev., AGM, VRDO, 0.10%, 10/01/2020 (z) | 12,000 | 12,000 | ||||||
Tennessee Energy Acquisition Corp., Rev., 4.00%, 11/01/2049 (z) | 1,000 | 1,140 | ||||||
Tennessee Energy Acquisition Corp., Junior, Series B, Rev., 5.63%, 09/01/2026 | 1,410 | 1,719 | ||||||
Tennessee Housing Development Agency, Residential Finance Program Bonds, Rev., 4.00%, 01/01/2048 | 3,000 | 3,388 | ||||||
|
| |||||||
41,490 | ||||||||
|
| |||||||
Texas 11.9% | ||||||||
Abilene Independent School District, School Building, GO, PSF-GTD, 5.00%, 02/15/2024 (p) | 2,800 | 3,119 | ||||||
Argyle Independent School District, Series A, GO, PSF-GTD, 5.00%, 08/15/2027 (w) | 1,000 | 1,292 | ||||||
Austin Independent School District, GO, PSF-GTD, 5.00%, 08/01/2028 | 3,000 | 3,957 | ||||||
Balmorhea Independent School District, Series A, GO, PSF-GTD, 4.00%, 02/15/2050 (w) | 2,500 | 2,712 | ||||||
Barbers Hill Independent School District, GO, PSF-GTD, 5.00%, 02/15/2029 | 4,370 | 5,812 | ||||||
Bexar County Hospital District, Certificates Obligation, GO, 5.00%, 02/15/2031 | 1,000 | 1,305 | ||||||
Board of Regents of the University of Texas System, | ||||||||
Series A, Rev., 5.00%, 08/15/2030 | 2,000 | 2,748 | ||||||
Series E, Rev., 5.00%, 08/15/2027 | 1,000 | 1,294 | ||||||
Board of Regents of the University of Texas System, Green Bond, Series B, Rev., 2.50%, 08/15/2036 (z) | 5,000 | 5,064 | ||||||
Boerne Public Facilities Corp., Liv At Boerne Senior Apartments, Rev., 2.75%, 11/01/2022 (z) | 100 | 103 | ||||||
Brazosport Independent School District, | ||||||||
GO, PSF-GTD, 5.00%, 02/15/2022 (w) | 6,000 | 6,399 | ||||||
GO, PSF-GTD, 5.00%, 02/15/2023 (w) | 2,000 | 2,224 | ||||||
GO, PSF-GTD, 5.00%, 02/15/2027 (w) | 2,500 | 3,188 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Texas continued | ||||||||
GO, PSF-GTD, 5.00%, 02/15/2028 (w) | 5,000 | 6,528 | ||||||
GO, PSF-GTD, 5.00%, 02/15/2029 | 3,000 | 3,999 | ||||||
GO, PSF-GTD, 5.00%, 02/15/2030 (w) | 3,000 | 3,948 | ||||||
Bryan Independent School District, GO, PSF-GTD, 5.00%, 02/15/2021 | 1,095 | 1,115 | ||||||
Central Texas Regional Mobility Authority, Senior Lien, | ||||||||
Series B, Rev., 4.00%, 01/01/2039 | 600 | 686 | ||||||
Series B, Rev., 4.00%, 01/01/2040 | 500 | 569 | ||||||
Series B, Rev., 5.00%, 01/01/2024 | 230 | 263 | ||||||
Series B, Rev., 5.00%, 01/01/2045 (z) | 6,750 | 7,368 | ||||||
Central Texas Turnpike System, First Tier, Series A, Rev., 5.00%, 08/15/2041 (p) | 6,220 | 6,781 | ||||||
City Austin, Certificates Obligation, | ||||||||
GO, 5.00%, 09/01/2032 (w) | 1,750 | 2,388 | ||||||
GO, 5.00%, 09/01/2033 (w) | 1,100 | 1,492 | ||||||
GO, 5.00%, 09/01/2034 (w) | 1,750 | 2,366 | ||||||
City of Austin, GO, 5.00%, 11/01/2021 (w) | 1,520 | 1,599 | ||||||
City of Austin, Airport System Revenue, | ||||||||
Rev., AMT, 5.00%, 11/15/2025 | 3,000 | 3,603 | ||||||
Series B, Rev., AMT, 5.00%, 11/15/2030 | 1,000 | 1,274 | ||||||
City of Austin, Electric Utility Revenue, Series B, Rev., 5.00%, 11/15/2044 | 2,000 | 2,565 | ||||||
City of Austin, Refunding & Public Improvement, GO, 5.00%, 09/01/2033 (w) | 620 | 841 | ||||||
City of Dallas, Waterworks & Sewer System Revenue, | ||||||||
Series C, Rev., 4.00%, 10/01/2039 | 7,470 | 9,110 | ||||||
Series C, Rev., 4.00%, 10/01/2040 | 1,000 | 1,216 | ||||||
Series C, Rev., 5.00%, 10/01/2029 | 1,125 | 1,521 | ||||||
City of Houston Airport System Revenue, Subordinated Lien, | ||||||||
Series A, Rev., AMT, 4.00%, 07/01/2040 (w) | 3,570 | 3,992 | ||||||
Series A, Rev., AMT, 5.00%, 07/01/2024 (w) | 1,000 | 1,154 | ||||||
Series A, Rev., AMT, 5.00%, 07/01/2028 (w) | 1,000 | 1,263 | ||||||
Series A, Rev., AMT, 5.00%, 07/01/2034 (w) | 1,000 | 1,254 | ||||||
Series B, Rev., 5.00%, 07/01/2027 | 1,995 | 2,524 | ||||||
City of Houston, Airport System Revenue, Series C, Rev., AMT, 5.00%, 07/01/2028 | 155 | 196 | ||||||
City of Houston, Airport System Revenue, Special Facilities, United Airlines, Inc., Rev., AMT, 5.00%, 07/15/2028 | 500 | 516 | ||||||
City of Houston, Airport System Revenue, Subordinated Lien, | ||||||||
Series A, Rev., AMT, 5.00%, 07/01/2028 | 890 | 1,126 | ||||||
Series B, Rev., 5.00%, 07/01/2026 (w) | 1,000 | 1,237 | ||||||
Series B, Rev., 5.00%, 07/01/2030 (w) | 1,000 | 1,320 | ||||||
City of Houston, Combined Utility System Revenue, Capital Appreciation, Junior, Series A, Rev., AGM, Zero Coupon, 12/01/2020 (p) | 1,000 | 1,000 | ||||||
City of Houston, Combined Utility System Revenue, First Lien, Series C, Rev., 5.00%, 11/15/2029 | 2,850 | 3,867 | ||||||
City of San Antonio, Electric & Gas Systems Revenue, Rev., 4.00%, 02/01/2027 | 3,000 | 3,638 | ||||||
City of San Antonio, Electric & Gas Systems Revenue, Junior Lien, Rev., 5.00%, 02/01/2043 | 4,350 | 4,775 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Texas continued | ||||||||
Clifton Higher Education Finance Corp., Idea Public Schools, Rev., PSF-GTD, 5.00%, 08/15/2026 | 1,840 | 2,305 | ||||||
Collin County, Community College District, GO, 4.00%, 08/15/2021 | 85 | 88 | ||||||
County of Bexar, GO, 5.00%, 06/15/2031 | 1,500 | 1,852 | ||||||
County of El Paso, Series A, GO, 5.00%, 02/15/2027 | 1,430 | 1,761 | ||||||
County of Harris, | ||||||||
Series A, GO, 5.00%, 10/01/2024 (w) | 3,500 | 4,155 | ||||||
Series A, GO, 5.00%, 10/01/2026 (w) | 2,390 | 3,017 | ||||||
Series A, GO, 5.00%, 10/01/2029 (w) | 1,150 | 1,551 | ||||||
County of Harris, Road Bonds, Series A, GO, 5.00%, 10/01/2022 | 1,185 | 1,300 | ||||||
County of Harris, Cultural Education Facilities Finance Corp., Teco Project, Rev., 5.00%, 11/15/2022 | 1,000 | 1,099 | ||||||
County of Harris, Flood Control District, | ||||||||
Series A, GO, 4.00%, 10/01/2036 | 2,800 | 3,381 | ||||||
Series A, GO, 5.00%, 10/01/2027 | 1,275 | 1,655 | ||||||
Series A, GO, 5.00%, 10/01/2028 | 1,500 | 1,991 | ||||||
Series A, GO, 5.00%, 10/01/2029 | 2,500 | 3,388 | ||||||
County of Harris, Refunding Road, Series A, GO, 5.00%, 10/01/2029 | 1,090 | 1,328 | ||||||
County of Williamson, Road, GO, 5.00%, 02/15/2021 | 65 | 66 | ||||||
Cypress-Fairbanks Independent School District, School Building, GO, PSF-GTD, 5.00%, 02/15/2021 | 650 | 662 | ||||||
Dallas Area Rapid Transit, Series A, Rev., 5.00%, 12/01/2046 | 5,000 | 5,968 | ||||||
Dallas Fort Worth International Airport, Series B, Rev., 4.00%, 11/01/2034 | 2,395 | 2,841 | ||||||
Dallas Fort Worth International Airport, Joint Improvement, Series D, Rev., AMT, 5.00%, 11/01/2042 (p) | 4,465 | 4,691 | ||||||
Dallas Independent School District, Series A, GO, PSF-GTD, 5.00%, 08/15/2034 | 1,000 | 1,164 | ||||||
Dallas/Fort Worth, International Airport, Series C, Rev., AMT, 5.13%, 11/01/2043 | 350 | 375 | ||||||
Denton Independent School District, GO, PSF-GTD, 5.00%, 08/15/2027 | 1,000 | 1,293 | ||||||
Fort Bend Independent School District, Series B, GO, PSF-GTD, 0.88%, 08/01/2050 (z) | 1,000 | 1,008 | ||||||
Goose Creek Consolidated Independent School District, GO, PSF-GTD, 5.00%, 02/15/2022 | 1,000 | 1,066 | ||||||
Grand Parkway Transportation Corp., Subordinated Tier Toll, Series B, Rev., 5.00%, 04/01/2053 (p) | 100 | 114 | ||||||
Harlandale Independent School District, GO, PSF-GTD, 0.75%, 08/15/2045 (z) | 465 | 465 | ||||||
Harlingen Consolidated Independent School District, | ||||||||
GO, PSF-GTD, 5.00%, 08/15/2024 | 80 | 94 | ||||||
GO, PSF-GTD, 5.00%, 08/15/2026 | 105 | 132 | ||||||
Harris County, Cultural Education Facilities Finance Corp., Memorial Hermann, Rev., 5.00%, 06/01/2032 (z) | 1,000 | 1,179 | ||||||
Harris County, Metropolitan Transit Authority, Sales & Use Tax Revenue, Series A, Rev., 5.00%, 11/01/2021 | 100 | 105 | ||||||
Harris County, Toll Road Authority, Senior Lien, Series A, Rev., 5.00%, 08/15/2024 | 100 | 118 | ||||||
Houston Independent School District, GO, PSF-GTD, 5.00%, 02/15/2021 | 4,500 | 4,581 | ||||||
Houston Independent School District, Maintenance Tax Notes, | ||||||||
GO, 5.00%, 07/15/2021 | 1,500 | 1,557 | ||||||
GO, 5.00%, 07/15/2022 | 80 | 87 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Texas continued | ||||||||
Houston Independent School District, Schoolhouse, Series B, GO, PSF-GTD, 2.40%, 06/01/2036 (z) | 1,500 | 1,521 | ||||||
Katy Independent School District, Series B, GO, PSF-GTD, 5.00%, 02/15/2036 | 2,475 | 3,002 | ||||||
Lewisville Independent School District, Series A, GO, PSF-GTD, 5.00%, 08/15/2024 | 1,000 | 1,182 | ||||||
Lewisville Independent School District, School Building, Series E, GO, PSF-GTD, 5.00%, 08/15/2029 | 4,000 | 4,360 | ||||||
Longview Independent School District, GO, PSF-GTD, 5.00%, 02/15/2023 | 575 | 640 | ||||||
Lower Colorado River Authority, Lcra Transmission Services, Series A, Rev., 5.00%, 05/15/2022 | 1,000 | 1,077 | ||||||
Lower Colorado, River Authority, Transmission Services Contract, Rev., 5.00%, 05/15/2029 | 100 | 132 | ||||||
Matagorda County Navigation District No. 1, Central Power and Light Co., Rev., AMT, 0.90%, 05/01/2030 (z) | 4,945 | 4,925 | ||||||
Metropolitan Transit Authority of Harris County, Sales & Use Tax Revenue, Series A, Rev., 5.00%, 11/01/2036 (p) | 1,560 | 1,641 | ||||||
Midlothian Independent School District, GO, PSF-GTD, 5.00%, 02/15/2023 | 1,410 | 1,568 | ||||||
Mission Economic Development Corp., Waste Management, Series B, Rev., AMT, 0.40%, 07/01/2040 (z) | 5,100 | 5,100 | ||||||
New Hope Cultural Education Facilities Finance Corp., Childrens Health System, Series A, Rev., 5.00%, 08/15/2047 | 1,000 | 1,191 | ||||||
North Texas Tollway Authority, Series A, Rev., 5.00%, 01/01/2028 | 1,750 | 2,119 | ||||||
North Texas Tollway Authority, Capital Appreciation, First Tier, Rev., AGC, Zero Coupon, 01/01/2030 | 1,500 | 1,290 | ||||||
North Texas Tollway Authority, First Tier, Series A, Rev., 5.00%, 01/01/2025 | 390 | 429 | ||||||
North Texas Tollway Authority, Second Tier, Series B, Rev., 5.00%, 01/01/2033 | 1,000 | 1,203 | ||||||
Northside Independent School District, GO, PSF-GTD, 0.70%, 06/01/2050 (w) (z) | 16,850 | 16,829 | ||||||
Pasadena Independent School District, School Building, | ||||||||
GO, PSF-GTD, 5.00%, 02/15/2038 | 7,500 | 8,290 | ||||||
Series A, GO, PSF-GTD, 5.00%, 02/15/2035 (p) | 1,000 | 1,066 | ||||||
Plano Independent School District, Series A, GO, PSF-GTD, 4.00%, 02/15/2023 | 100 | 105 | ||||||
Round Rock Independent School District, | ||||||||
Series A, GO, PSF-GTD, 5.00%, 08/01/2021 | 1,700 | 1,769 | ||||||
Series A, GO, PSF-GTD, 5.00%, 08/01/2031 | 2,000 | 2,650 | ||||||
San Antonio Housing Trust Finance Corp., Alsbury Park Apartments, Rev., FHA, 1.38%, 09/01/2022 (z) | 10 | 10 | ||||||
Schertz-Cibolo-Universal City Independent School District, Series A, GO, PSF-GTD, 5.00%, 08/01/2022 | 1,000 | 1,089 | ||||||
Spring Branch Independent School District, GO, PSF-GTD, 5.00%, 02/01/2023 | 65 | 72 | ||||||
State of Texas, Transportation Commission Highway Improvement, GO, 5.00%, 04/01/2022 | 3,000 | 3,218 | ||||||
State of Texas, Transportation Commission Mobility Fund, Series A, GO, 5.00%, 10/01/2044 (p) | 1,470 | 1,750 | ||||||
State of Texas, Water Financial Assistance, GO, 5.00%, 08/01/2024 | 125 | 148 | ||||||
Texas Municipal Gas Acquisition & Supply Corp. III, | ||||||||
Rev., 5.00%, 12/15/2027 | 1,000 | 1,081 | ||||||
Rev., 5.00%, 12/15/2032 | 1,000 | 1,068 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Texas continued | ||||||||
Texas Private Activity Bond Surface Transportation Corp., Rev., AMT, 5.00%, 06/30/2058 | 3,000 | 3,438 | ||||||
Texas Private Activity Bond Surface Transportation Corp., Lbj Infrastructure Group, | ||||||||
Rev., 4.00%, 12/31/2030 | 3,970 | 4,719 | ||||||
Rev., 4.00%, 06/30/2033 | 1,000 | 1,151 | ||||||
Texas Transportation Commission State Highway Fund, First Tier, | ||||||||
Rev., 5.00%, 10/01/2022 | 2,065 | 2,264 | ||||||
Series A, Rev., 5.00%, 04/01/2022 | 1,000 | 1,072 | ||||||
Texas Water Development Board, Master Trust, | ||||||||
Rev., 4.00%, 10/15/2033 (w) | 1,000 | 1,245 | ||||||
Rev., 5.00%, 10/15/2026 (w) | 2,000 | 2,535 | ||||||
Texas Water Development Board, Revolving Fund, | ||||||||
Rev., 4.00%, 08/01/2038 | 500 | 609 | ||||||
Rev., 5.00%, 08/01/2024 | 250 | 295 | ||||||
Rev., 5.00%, 08/01/2028 | 125 | 165 | ||||||
Series A, Rev., 5.00%, 10/15/2028 | 100 | 131 | ||||||
Texas Water Development Board, State Water Implementation Fund, Series A, Rev., 5.00%, 04/15/2026 | 100 | 125 | ||||||
Texas Water Development Board, Water Implementation Fund, Series A, Rev., 4.00%, 10/15/2049 | 1,000 | 1,175 | ||||||
Trinity River Authority Central Regional Wastewater System Revenue, Rev., 5.00%, 08/01/2029 (w) | 1,500 | 2,011 | ||||||
University of Houston, Series A, Rev., 5.00%, 02/15/2026 | 2,050 | 2,525 | ||||||
University of Texas, Series C, Rev., 5.00%, 08/15/2028 | 100 | 132 | ||||||
Upper Trinity Regional Water District, Rev., 4.00%, 08/01/2024 | 900 | 1,020 | ||||||
Waco Educational Finance Corp., Baylor University Issue, Series A, Rev., 4.00%, 03/01/2036 | 750 | 884 | ||||||
|
| |||||||
278,769 | ||||||||
|
| |||||||
Utah 0.6% | ||||||||
County of Utah, Ihc Health Services, Inc., Series B, Rev., 5.00%, 05/15/2060 (z) | 2,000 | 2,498 | ||||||
State of Utah, | ||||||||
GO, 5.00%, 07/01/2024 | 100 | 118 | ||||||
GO, 5.00%, 07/01/2026 | 3,005 | 3,794 | ||||||
GO, 5.00%, 07/01/2030 | 4,500 | 5,981 | ||||||
Series B, GO, 5.00%, 07/01/2029 | 100 | 134 | ||||||
University of Utah (The), Series A, Rev., 5.00%, 08/01/2039 | 1,505 | 1,847 | ||||||
|
| |||||||
14,372 | ||||||||
|
| |||||||
Vermont 0.0% (g) | ||||||||
Vermont Housing Finance Agency, Series A, Rev., GNMA/FNMA/FHLMC COLL, 4.00%, 11/01/2049 | 400 | 456 | ||||||
Vermont Municipal Bond Bank, Vermont State Colleges System, Series A, Rev., 4.00%, 10/01/2034 | 250 | 302 | ||||||
|
| |||||||
758 | ||||||||
|
| |||||||
Virginia 1.4% | ||||||||
Chesapeake Hospital Authority, Chesapeake Regional Medical Center, Rev., 5.00%, 07/01/2030 | 300 | 382 | ||||||
Chesapeake Hospital Authority, Regional Medical Center, Rev., 5.00%, 07/01/2028 | 550 | 699 | ||||||
County of Fairfax, | ||||||||
Series A, GO, 5.00%, 10/01/2029 | 2,500 | 3,422 | ||||||
Series A, GO, 5.00%, 10/01/2031 | 2,500 | 3,402 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Virginia continued | ||||||||
County of Fairfax, Public Improvement, Series A, GO, 5.00%, 10/01/2031 | 945 | 1,188 | ||||||
Hampton Roads Transportation Accountability Commission, Senior Lien, Series A, Rev., 5.00%, 07/01/2038 | 1,000 | 1,243 | ||||||
Louisa Industrial Development Authority, Virginia Electric And Power Co. Project, Series B, Rev., 0.75%, 11/01/2035 (z) | 2,125 | 2,124 | ||||||
Norfolk Airport Authority, Rev., 5.00%, 07/01/2038 | 1,000 | 1,199 | ||||||
Virginia College Building Authority, Series A, Rev., 5.00%, 02/01/2023 | 1,505 | 1,675 | ||||||
Virginia College Building Authority, 21st Century Century College And Equipment, | ||||||||
Rev., 5.00%, 02/01/2026 | 40 | 50 | ||||||
Rev., 5.00%, 02/01/2033 | 3,750 | 5,009 | ||||||
Virginia Public Building Authority, Series A, Rev., 5.00%, 08/01/2021 | 1,175 | 1,222 | ||||||
Virginia Resources Authority, Revolving Fund, Series A, Rev., 5.00%, 08/01/2023 | 700 | 728 | ||||||
Virginia Small Business Financing Authority, 95 Express Lanes LLC Project, Rev., AMT, 5.00%, 01/01/2044 | 1,500 | 1,545 | ||||||
Virginia Small Business Financing Authority, Senior Lien, Express Lanes LLC Project, Rev., AMT, 5.00%, 01/01/2040 | 1,450 | 1,496 | ||||||
Virginia Small Business Financing Authority, Transform 66 P3 Project, | ||||||||
Rev., AMT, 5.00%, 12/31/2049 | 1,500 | 1,680 | ||||||
Rev., AMT, 5.00%, 12/31/2056 | 1,000 | 1,119 | ||||||
Wise County Industrial Development Authority, Electric and Power Company Project, Series A, Rev., 0.75%, 10/01/2040 (z) | 5,075 | 5,067 | ||||||
Wise County Industrial Development Authority, Virginia Electric & Power Company Project, Series A, Rev., 1.20%, 11/01/2040 (z) | 15 | 15 | ||||||
|
| |||||||
33,265 | ||||||||
|
| |||||||
Washington 3.3% | ||||||||
City of Seattle, Municipal Light & Power Revenue, Rev., 4.00%, 09/01/2040 | 1,000 | 1,099 | ||||||
County of King, Sewer Revenue, Rev., AGM, 5.00%, 01/01/2047 | 5,000 | 5,752 | ||||||
County of King, Sewer Revenue, 2017 Refunding, Series B, Rev., 5.00%, 01/01/2034 (p) | 1,050 | 1,063 | ||||||
Energy Northwest Washington, Project 3 Electric Revenue, Series C, Rev., 5.00%, 07/01/2027 | 100 | 129 | ||||||
Energy Northwest, Columbia Generating, Series A, Rev., 5.00%, 07/01/2022 | 1,125 | 1,165 | ||||||
Grant County, Public Utility District No. 2, Electric Revenue, | ||||||||
Series 2017-O, Rev., 5.00%, 01/01/2047 | 4,950 | 6,060 | ||||||
Series R, Rev., 2.00%, 01/01/2044 (z) | 1,500 | 1,585 | ||||||
King County Housing Authority, Rev., 5.00%, 11/01/2029 | 1,325 | 1,724 | ||||||
King County, School District No. 401 Highline, GO, SCH BD GTY, 5.00%, 12/01/2027 | 1,520 | 1,921 | ||||||
Port of Seattle, Series C, Rev., AMT, 5.00%, 04/01/2028 | 500 | 570 | ||||||
Port of Seattle, Intermediate Lien, | ||||||||
Rev., AMT, 5.00%, 04/01/2028 | 2,250 | 2,816 | ||||||
Rev., AMT, 5.00%, 04/01/2030 | 1,000 | 1,251 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Washington continued | ||||||||
Snohomish County School District No. 201 Snohomish, GO, SCH BD GTY, 5.00%, 12/01/2028 | 4,500 | 5,966 | ||||||
State of Washington, | ||||||||
Series 2020A, GO, 5.00%, 08/01/2038 | 1,500 | 1,936 | ||||||
Series A1, GO, 5.00%, 08/01/2040 | 13,645 | 16,273 | ||||||
Series A, GO, 5.00%, 08/01/2022 | 85 | 92 | ||||||
Series B, GO, 5.00%, 07/01/2025 | 75 | 92 | ||||||
Series E, GO, 5.00%, 02/01/2023 | 1,250 | 1,390 | ||||||
Series RC, GO, 5.00%, 08/01/2029 | 100 | 128 | ||||||
Series R-2017A, GO, 5.00%, 08/01/2022 | 800 | 871 | ||||||
Series R-2017A, GO, 5.00%, 08/01/2034 | 1,840 | 2,280 | ||||||
Series R-2020B, GO, 5.00%, 01/01/2026 | 2,500 | 3,104 | ||||||
State of Washington, Motor Vehicle, Series R-2012D, GO, 5.00%, 07/01/2023 | 1,000 | 1,084 | ||||||
State of Washington, Various Purpose, | ||||||||
Series 2015-A1, GO, 5.00%, 08/01/2025 | 1,000 | 1,181 | ||||||
Series A, GO, 5.00%, 08/01/2024 (p) | 4,750 | 4,942 | ||||||
Series B, GO, 5.25%, 02/01/2036 (p) | 2,500 | 2,542 | ||||||
Thurston County School District No. 111 Olympia, GO, SCH BD GTY, 5.00%, 12/01/2026 (w) | 1,275 | 1,625 | ||||||
Washington Health Care Facilities Authority, Fred Hutchinson Cancer, Series C, Rev., (SIFMA Municipal Swap Index + 1.05%), 1.17%, 01/01/2042 (aa) | 3,000 | 3,029 | ||||||
Washington Health Care Facilities Authority, Providence Health & Services, Series B, Rev., 5.00%, 10/01/2042 (z) | 345 | 361 | ||||||
Washington State Housing Finance Commission, College Glen Apartments Project, Series A, Rev., FHA, 1.55%, 07/01/2022 (z) | 1,000 | 1,015 | ||||||
Washington State Housing Finance Commission, Downtowner Apartments Project, Rev., LIQ: FHLMC, 3.70%, 07/01/2030 | 2,000 | 2,292 | ||||||
Washington State Housing Finance Commission, Rockwood Retirement Communities, Rev., 3.00%, 07/01/2027 (w) | 1,000 | 1,000 | ||||||
|
| |||||||
76,338 | ||||||||
|
| |||||||
West Virginia 0.2% | ||||||||
Marshall University, Series A, Rev., AGM, 5.00%, 05/01/2030 | 300 | 391 | ||||||
Monongalia County Commission Special District, Refunding and Improvement, University Town Center, Series A, Rev., 5.50%, 06/01/2037 (e) | 1,050 | 1,081 | ||||||
West Virginia Economic Development Authority, Appalachian Power Company Amos Project, Rev., AMT, 1.00%, 01/01/2041 (z) | 615 | 612 | ||||||
West Virginia University, Series A, Rev., 5.00%, 10/01/2029 (p) | 1,500 | 1,644 | ||||||
|
| |||||||
3,728 | ||||||||
|
| |||||||
Wisconsin 1.5% | ||||||||
City of Milwaukee, Corporate Purpose Bonds, Series B4, GO, 5.00%, 04/01/2030 | 1,800 | 2,219 | ||||||
City of Milwaukee, Sewerage System Revenue, Series S7, Rev., 5.00%, 06/01/2026 | 2,665 | 3,331 | ||||||
County of Milwaukee, Airport Revenue, Series A, Rev., 5.00%, 12/01/2028 | 250 | 319 | ||||||
Public Finance Authority, Point College Prep Project, | ||||||||
Rev., 4.00%, 06/15/2030 (e) | 200 | 200 | ||||||
Rev., 5.00%, 06/15/2041 (e) | 250 | 254 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 | ||||||||
Wisconsin continued | ||||||||
Public Finance Authority, Renown Regional Medical Center Project, | ||||||||
Rev., 5.00%, 06/01/2026 (w) | 275 | 337 | ||||||
Rev., 5.00%, 06/01/2027 (w) | 425 | 530 | ||||||
Rev., 5.00%, 06/01/2028 (w) | 600 | 762 | ||||||
Rev., 5.00%, 06/01/2034 (w) | 1,000 | 1,265 | ||||||
State of Wisconsin, | ||||||||
Series 1, GO, 5.00%, 05/01/2027 (w) | 2,400 | 3,030 | ||||||
Series 1, GO, 5.00%, 05/01/2030 (w) | 2,500 | 3,359 | ||||||
Series A, GO, 5.00%, 05/01/2021 | 4,010 | 4,123 | ||||||
Wisconsin Department of Transportation, Series 1, Rev., 5.00%, 07/01/2024 (p) | 1,940 | 2,103 | ||||||
Wisconsin Health & Educational Facilities Authority Revenue, Ascension Senior Credit Group, Rev., 5.00%, 11/15/2027 | 500 | 644 | ||||||
Wisconsin Health & Educational Facilities Authority Revenue, Marshfield Clinic Health System, Series B1, Rev., 5.00%, 02/15/2052 (z) | 2,000 | 2,298 | ||||||
Wisconsin Health & Educational Facilities Authority, Ascension Senior Credit Group, Rev., 5.00%, 11/15/2036 | 1,500 | 1,787 | ||||||
Wisconsin Health & Educational Facilities Authority, Marshfield Clinic Health System, Rev., 5.00%, 02/15/2051 (z) | 2,600 | 3,140 | ||||||
Wisconsin Housing & Economic Development Authority, Series D, Rev., 4.00%, 03/01/2047 | 4,000 | 4,423 | ||||||
|
| |||||||
34,124 | ||||||||
|
| |||||||
Total Municipal Bonds (Cost $2,173,990) | 2,170,192 | |||||||
|
| |||||||
Short-Term Investments 24.3% | ||||||||
Municipal Bonds 1.9% (t) | ||||||||
City & County of San Francisco, Series B, GO, 2.00%, 06/15/2021 | 5,000 | 5,064 | ||||||
City of Austin, GO, 5.00%, 05/01/2021 (w) | 1,650 | 1,696 | ||||||
City of Philadelphia, Series A, Rev., TRAN, 4.00%, 06/30/2021 | 680 | 699 | ||||||
City of San Antonio, Certificates Obligation, GO, 5.00%, 08/01/2021 | 1,620 | 1,685 | ||||||
City of San Antonio, Tax Notes, GO, 5.00%, 08/01/2021 | 2,245 | 2,335 | ||||||
City of Wichita, Temporary Notes, Series 302, GO, 3.50%, 10/15/2021 (w) | 2,000 | 2,066 | ||||||
Commonwealth of Pennsylvania, Series 1, GO, 3.00%, 05/01/2021 | 3,000 | 3,048 | ||||||
Consolidated Government of the City of Baton Rouge & Parish of East Baton Rouge, Sales Tax, Rev., 5.00%, 08/01/2021 | 440 | 457 | ||||||
County of Los Angeles, Series A, Rev., TRAN, 4.00%, 06/30/2021 | 5,000 | 5,142 | ||||||
Indianapolis Local Public Improvement Bond Bank, Fieldhouse Project, Series C, Rev., 1.40%, 06/01/2021 | 500 | 500 | ||||||
McKinney Independent School District, School Building, GO, 5.00%, 02/15/2021 | 10 | 10 | ||||||
Michigan State University, Series A, Rev., 5.00%, 08/15/2021 (w) | 720 | 750 | ||||||
New York State Dormitory Authority, Series B, Rev., RAN, 5.00%, 03/31/2021 | 100 | 102 | ||||||
School District of Philadelphia, Series A, Rev., TRAN, 4.00%, 06/30/2021 | 3,500 | 3,598 | ||||||
State of Texas, Rev., TRAN, 4.00%, 08/26/2021 | 16,000 | 16,548 | ||||||
|
| |||||||
Total Municipal Bonds | 43,700 | |||||||
|
|
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Short-Term Investments continued | ||||||||
Time Deposits 22.4% | ||||||||
Australia & New Zealand Banking Group Ltd., 0.01%, 10/01/2020 | 95,445 | 95,445 | ||||||
Barclays SA, 0.01%, 10/01/2020 | 195,297 | 195,297 | ||||||
BNP Paribas SA, 0.01%, 10/01/2020 | 70,275 | 70,275 | ||||||
Citibank NA, 0.01%, 10/01/2020 | 72,678 | 72,678 | ||||||
Skandinaviska Enskilda Banken AB, 0.01%, 10/01/2020 | 89,749 | 89,749 | ||||||
|
| |||||||
Total Time Deposits | 523,444 | |||||||
|
| |||||||
Total Short-Term Investments (Cost $567,140) | 567,144 | |||||||
|
| |||||||
Total Investments 117.0% (Cost - $2,741,130)* | 2,737,336 | |||||||
Liabilities in Excess of Other Assets (17.0)% | (396,954 | ) | ||||||
|
| |||||||
NET ASSETS 100.0% | $ | 2,340,382 | ||||||
|
|
Percentages indicated are based on net assets.
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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, 2020:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||
Long Contracts | ||||||||||||
U.S. Treasury 5 Year Note | 63 | 12/2020 | USD | 7,934 | 6 | |||||||
U.S. Treasury 10 Year Note | 72 | 12/2020 | USD | 10,041 | 5 | |||||||
|
| |||||||||||
Total unrealized appreciation (depreciation) | 11 | |||||||||||
|
|
Six Circles Tax Aware Bond Fund
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020
AGC | | Insured by Assured Guaranty Corp. | ||
AGM | | Insured by Assured Guaranty Municipal Corp. | ||
AMT | | Alternative Minimum Tax | ||
BAN | | Bond Anticipation Note | ||
BAM | | Insured by Build America Mutual | ||
BHAC | | Insured by Berkshire Hathaway Assurance Corp. | ||
COLL | | Collateral | ||
COP | | Certificate of Participation | ||
CR | | Custodial Receipts | ||
FHA | | Insured by Federal Housing Administration | ||
FHLMC | | Federal Home Loan Mortgage Corp. | ||
FNMA | | Federal National Mortgage Association | ||
GAN | | Grant Anticipation Notes | ||
GNMA | | Government National Mortgage Association | ||
GO | | General Obligation | ||
GTD | | Guaranteed | ||
ICE | | Intercontinental Exchange | ||
LIBOR | | London Interbank Offered Rate | ||
LIQ | | Liquidity Agreement | ||
LOC | | Letter of Credit | ||
NATL | | Insured by National Public Finance Guarantee Corp. | ||
PSF | | Permanent School Fund | ||
RAN | | Revenue Anticipation Note | ||
RE | | Reinsured | ||
Rev. | | Revenue | ||
SCH BD GTY | | School Bond Guaranty | ||
SIFMA | | Securities Industry and Financial Markets Association | ||
Q-SBLF | | Qualified School Bond Loan Fund | ||
TRAN | | Tax & Revenue Anticipation Note | ||
VRDO | | Variable Rate Demand Obligation. The interest rate shown is the rate in effect as of September 30, 2020. | ||
(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%. | ||
(n) | | The rate shown is the effective yield as of September 30, 2020. | ||
(p) | | Security is prerefunded or escrowed to maturity. | ||
(t) | | The date shown represents the earliest of the next put date or final maturity date. | ||
(w) | | All or a portion of the security is a when-issued security, delayed delivery security or forward commitment. |
Six Circles Tax Aware Bond Fund
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (continued)
(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, 2020. | ||
(aa) | | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of September 30, 2020. | ||
* | | The cost of securities is substantially the same for federal income tax purposes. | ||
USD | | United States Dollar |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Convertible Bond 0.1% | ||||||||
Communications 0.1% | ||||||||
Media 0.1% | ||||||||
Liberty Broadband Corp., 2.75%, 09/30/2050 (e) (Cost $16) | 16 | 17 | ||||||
|
| |||||||
Corporate Bonds 97.2% | ||||||||
Basic Materials 2.6% | ||||||||
Chemicals 0.6% | ||||||||
Element Solutions, Inc., 3.88%, 09/01/2028 (e) | 50 | 49 | ||||||
Hexion, Inc., 7.88%, 07/15/2027 (e) | 25 | 25 | ||||||
Illuminate Buyer LLC / Illuminate Holdings IV, Inc., 9.00%, 07/01/2028 (e) | 25 | 27 | ||||||
PQ Corp., 5.75%, 12/15/2025 (e) | 50 | 51 | ||||||
|
| |||||||
152 | ||||||||
|
| |||||||
Forest Products & Paper 0.1% | ||||||||
Clearwater Paper Corp., 4.75%, 08/15/2028 (e) | 25 | 25 | ||||||
|
| |||||||
Iron/Steel 0.2% | ||||||||
Big River Steel LLC / BRS Finance Corp., 6.63%, 01/31/2029 (e) | 18 | 18 | ||||||
United States Steel Corp., 12.00%, 06/01/2025 (e) | 20 | 22 | ||||||
|
| |||||||
40 | ||||||||
|
| |||||||
Mining 1.7% | ||||||||
Coeur Mining, Inc., 5.88%, 06/01/2024 | 25 | 25 | ||||||
Freeport-McMoRan, Inc., | ||||||||
4.25%, 03/01/2030 | 50 | 51 | ||||||
4.63%, 08/01/2030 | 42 | 44 | ||||||
5.45%, 03/15/2043 | 60 | 67 | ||||||
New Gold, Inc., (Canada), 6.38%, 05/15/2025 (e) | 50 | 51 | ||||||
Novelis Corp., 4.75%, 01/30/2030 (e) | 171 | 168 | ||||||
|
| |||||||
406 | ||||||||
|
| |||||||
Total Basic Materials | 623 | |||||||
|
| |||||||
Communications 16.3% | ||||||||
Advertising 0.3% | ||||||||
Lamar Media Corp., 4.88%, 01/15/2029 (e) | 25 | 26 | ||||||
Terrier Media Buyer, Inc., 8.88%, 12/15/2027 (e) | 50 | 50 | ||||||
|
| |||||||
76 | ||||||||
|
| |||||||
Internet 0.4% | ||||||||
Match Group Holdings II LLC, 4.63%, 06/01/2028 (e) | 26 | 27 | ||||||
Uber Technologies, Inc., | ||||||||
6.25%, 01/15/2028 (e) | 5 | 5 | ||||||
7.50%, 05/15/2025 (e) | 57 | 61 | ||||||
|
| |||||||
93 | ||||||||
|
| |||||||
Media 9.7% | ||||||||
AMC Networks, Inc., 4.75%, 12/15/2022 | 50 | 50 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Media continued | ||||||||
CCO Holdings LLC / CCO Holdings Capital Corp., | ||||||||
4.50%, 08/15/2030 (e) | 275 | 289 | ||||||
4.50%, 05/01/2032 (e) | 75 | 78 | ||||||
5.75%, 02/15/2026 (e) | 100 | 104 | ||||||
Clear Channel Worldwide Holdings, Inc., 5.13%, 08/15/2027 (e) | 116 | 111 | ||||||
CSC Holdings LLC, | ||||||||
4.63%, 12/01/2030 (e) | 200 | 201 | ||||||
7.50%, 04/01/2028 (e) | 200 | 221 | ||||||
Diamond Sports Group LLC / Diamond Sports Finance Co., 5.38%, 08/15/2026 (e) | 100 | 71 | ||||||
DISH DBS Corp., | ||||||||
5.88%, 07/15/2022 | 42 | 44 | ||||||
5.88%, 11/15/2024 | 75 | 77 | ||||||
7.38%, 07/01/2028 (e) | 50 | 51 | ||||||
7.75%, 07/01/2026 | 19 | 21 | ||||||
Entercom Media Corp., 6.50%, 05/01/2027 (e) | 25 | 22 | ||||||
Gray Television, Inc., 7.00%, 05/15/2027 (e) | 25 | 27 | ||||||
iHeartCommunications, Inc., | ||||||||
4.75%, 01/15/2028 (e) | 25 | 24 | ||||||
8.38%, 05/01/2027 | 50 | 49 | ||||||
Nexstar Broadcasting, Inc., 5.63%, 07/15/2027 (e) | 50 | 53 | ||||||
Radiate Holdco LLC / Radiate Finance, Inc., | ||||||||
4.50%, 09/15/2026 (e) | 16 | 16 | ||||||
6.50%, 09/15/2028 (e) | 22 | 23 | ||||||
Scripps Escrow, Inc., 5.88%, 07/15/2027 (e) | 25 | 24 | ||||||
Sinclair Television Group, Inc., | ||||||||
5.13%, 02/15/2027 (e) | 25 | 24 | ||||||
5.88%, 03/15/2026 (e) | 50 | 49 | ||||||
Sirius XM Radio, Inc., | ||||||||
4.13%, 07/01/2030 (e) | 117 | 119 | ||||||
5.38%, 07/15/2026 (e) | 75 | 78 | ||||||
TEGNA, Inc., 5.00%, 09/15/2029 (e) | 50 | 49 | ||||||
Univision Communications, Inc., 6.63%, 06/01/2027 (e) | 88 | 86 | ||||||
Virgin Media Finance plc, (United Kingdom), 5.00%, 07/15/2030 (e) | 200 | 199 | ||||||
Ziggo BV, (Netherlands), 5.50%, 01/15/2027 (e) | 150 | 157 | ||||||
|
| |||||||
2,317 | ||||||||
|
| |||||||
Telecommunications 5.9% | ||||||||
Avaya, Inc., 6.13%, 09/15/2028 (e) | 14 | 14 | ||||||
CenturyLink, Inc., | ||||||||
4.00%, 02/15/2027 (e) | 20 | 20 | ||||||
5.13%, 12/15/2026 (e) | 60 | 61 | ||||||
Series W, 6.75%, 12/01/2023 | 225 | 247 | ||||||
Series U, 7.65%, 03/15/2042 | 15 | 17 | ||||||
CommScope, Inc., | ||||||||
6.00%, 03/01/2026 (e) | 25 | 26 | ||||||
7.13%, 07/01/2028 (e) | 58 | 60 | ||||||
8.25%, 03/01/2027 (e) | 50 | 52 | ||||||
Consolidated Communications, Inc., 6.50%, 10/01/2028 (e) | 4 | 4 | ||||||
Level 3 Financing, Inc., | ||||||||
3.63%, 01/15/2029 (e) | 90 | 89 | ||||||
4.63%, 09/15/2027 (e) | 25 | 25 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Telecommunications continued | ||||||||
Sprint Capital Corp., | ||||||||
6.88%, 11/15/2028 | 18 | 23 | ||||||
8.75%, 03/15/2032 | 29 | 42 | ||||||
Sprint Communications, Inc., 6.00%, 11/15/2022 | 100 | 108 | ||||||
Sprint Corp., 7.88%, 09/15/2023 | 200 | 230 | ||||||
Switch Ltd., 3.75%, 09/15/2028 (e) | 8 | 8 | ||||||
Telecom Italia Capital SA, (Luxembourg), 6.00%, 09/30/2034 | 29 | 34 | ||||||
T-Mobile USA, Inc., 6.50%, 01/15/2026 | 75 | 78 | ||||||
ViaSat, Inc., 6.50%, 07/15/2028 (e) | 67 | 67 | ||||||
Zayo Group Holdings, Inc., 4.00%, 03/01/2027 (e) | 203 | 200 | ||||||
|
| |||||||
1,405 | ||||||||
|
| |||||||
Total Communications | 3,891 | |||||||
|
| |||||||
Consumer Cyclical 17.9% | ||||||||
Airlines 0.2% | ||||||||
Delta Air Lines, Inc. / SkyMiles IP Ltd., (Multinational), | ||||||||
4.50%, 10/20/2025 (e) | 5 | 5 | ||||||
4.75%, 10/20/2028 (e) | 13 | 14 | ||||||
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/2027 (e) | 35 | 36 | ||||||
Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd., (Cayman Islands), 8.00%, 09/20/2025 (e) | 2 | 2 | ||||||
|
| |||||||
57 | ||||||||
|
| |||||||
Apparel 0.2% | ||||||||
William Carter Co. (The), 5.50%, 05/15/2025 (e) | 25 | 26 | ||||||
Wolverine World Wide, Inc., 5.00%, 09/01/2026 (e) | 25 | 25 | ||||||
|
| |||||||
51 | ||||||||
|
| |||||||
Auto Manufacturers 2.3% | ||||||||
Allison Transmission, Inc., 5.88%, 06/01/2029 (e) | 50 | 54 | ||||||
Ford Motor Co., 9.00%, 04/22/2025 | 175 | 201 | ||||||
Ford Motor Credit Co. LLC, 5.13%, 06/16/2025 | 200 | 206 | ||||||
General Motors Co., 6.80%, 10/01/2027 | 36 | 44 | ||||||
General Motors Financial Co., Inc., (CMT Index 5 Year + 5.00%), 5.70%, 09/30/2030 (x) (aa) | 5 | 5 | ||||||
Navistar International Corp., 6.63%, 11/01/2025 (e) | 50 | 51 | ||||||
|
| |||||||
561 | ||||||||
|
| |||||||
Auto Parts & Equipment 1.6% | ||||||||
Adient US LLC, 9.00%, 04/15/2025 (e) | 75 | 83 | ||||||
American Axle & Manufacturing, Inc., 6.25%, 04/01/2025 | 50 | 49 | ||||||
Clarios Global LP / Clarios US Finance Co., (Multinational), 8.50%, 05/15/2027 (e) | 116 | 120 | ||||||
Clarios Global LP, (Canada), 6.75%, 05/15/2025 (e) | 29 | 30 | ||||||
Dana, Inc., 5.50%, 12/15/2024 | 100 | 102 | ||||||
|
| |||||||
384 | ||||||||
|
| |||||||
Distribution/Wholesale 1.0% | ||||||||
Core & Main LP, 6.13%, 08/15/2025 (e) | 107 | 108 | ||||||
HD Supply, Inc., 5.38%, 10/15/2026 (e) | 84 | 88 | ||||||
KAR Auction Services, Inc., 5.13%, 06/01/2025 (e) | 50 | 50 | ||||||
|
| |||||||
246 | ||||||||
|
| |||||||
Entertainment 3.8% | ||||||||
Caesars Entertainment, Inc., | ||||||||
6.25%, 07/01/2025 (e) | 101 | 105 | ||||||
8.13%, 07/01/2027 (e) | 60 | 64 | ||||||
Caesars Resort Collection LLC / CRC Finco, Inc., 5.75%, 07/01/2025 (e) | 36 | 37 | ||||||
Cedar Fair LP, 5.25%, 07/15/2029 | 50 | 48 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Entertainment continued | ||||||||
Churchill Downs, Inc., 5.50%, 04/01/2027 (e) | 73 | 76 | ||||||
Jacobs Entertainment, Inc., 7.88%, 02/01/2024 (e) | 50 | 49 | ||||||
Live Nation Entertainment, Inc., 6.50%, 05/15/2027 (e) | 83 | 90 | ||||||
Mohegan Gaming & Entertainment, 7.88%, 10/15/2024 (e) | 25 | 23 | ||||||
Scientific Games International, Inc., | ||||||||
8.25%, 03/15/2026 (e) | 125 | 130 | ||||||
8.63%, 07/01/2025 (e) | 58 | 61 | ||||||
Six Flags Entertainment Corp., 4.88%, 07/31/2024 (e) | 50 | 47 | ||||||
Six Flags Theme Parks, Inc., 7.00%, 07/01/2025 (e) | 55 | 58 | ||||||
Stars Group Holdings BV / Stars Group US Co-Borrower LLC, (Netherlands), 7.00%, 07/15/2026 (e) | 50 | 53 | ||||||
Twin River Worldwide Holdings, Inc., 6.75%, 06/01/2027 (e) | 25 | 25 | ||||||
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp., 7.75%, 04/15/2025 (e) | 30 | 32 | ||||||
|
| |||||||
898 | ||||||||
|
| |||||||
Food Service 0.2% | ||||||||
Aramark Services, Inc., 5.00%, 02/01/2028 (e) | 41 | 41 | ||||||
|
| |||||||
Home Builders 2.6% | ||||||||
Ashton Woods USA LLC / Ashton Woods Finance Co., 6.63%, 01/15/2028 (e) | 200 | 201 | ||||||
Beazer Homes USA, Inc., 7.25%, 10/15/2029 | 100 | 107 | ||||||
Brookfield Residential Properties, Inc. / Brookfield Residential US Corp., (Canada), 6.25%, 09/15/2027 (e) | 75 | 76 | ||||||
Mattamy Group Corp., (Canada), 4.63%, 03/01/2030 (e) | 50 | 51 | ||||||
Taylor Morrison Communities, Inc., 5.75%, 01/15/2028 (e) | 100 | 109 | ||||||
Williams Scotsman International, Inc., 4.63%, 08/15/2028 (e) | 71 | 71 | ||||||
|
| |||||||
615 | ||||||||
|
| |||||||
Lodging 2.1% | ||||||||
Boyd Gaming Corp., 6.38%, 04/01/2026 | 50 | 52 | ||||||
Hilton Domestic Operating Co., Inc., | ||||||||
4.88%, 01/15/2030 | 65 | 67 | ||||||
5.13%, 05/01/2026 | 150 | 155 | ||||||
5.75%, 05/01/2028 (e) | 75 | 79 | ||||||
MGM Resorts International, 6.75%, 05/01/2025 | 75 | 79 | ||||||
Station Casinos LLC, 5.00%, 10/01/2025 (e) | 50 | 49 | ||||||
Wyndham Hotels & Resorts, Inc., 4.38%, 08/15/2028 (e) | 25 | 24 | ||||||
|
| |||||||
505 | ||||||||
|
| |||||||
Retail 3.5% | ||||||||
1011778 BC ULC / New Red Finance, Inc., (Canada), | ||||||||
4.00%, 10/15/2030 (e) | 2 | 2 | ||||||
4.38%, 01/15/2028 (e) | 50 | 51 | ||||||
5.00%, 10/15/2025 (e) | 75 | 77 | ||||||
5.75%, 04/15/2025 (e) | 116 | 124 | ||||||
Asbury Automotive Group, Inc., | ||||||||
4.50%, 03/01/2028 (e) | 2 | 2 | ||||||
4.75%, 03/01/2030 (e) | 3 | 3 | ||||||
Brinker International, Inc., 5.00%, 10/01/2024 (e) | 6 | 6 | ||||||
Ken Garff Automotive LLC, 4.88%, 09/15/2028 (e) | 3 | 3 | ||||||
KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC, 5.25%, 06/01/2026 (e) | 25 | 26 | ||||||
L Brands, Inc., 6.63%, 10/01/2030 (e) | 3 | 3 | ||||||
Macys, Inc., 8.38%, 06/15/2025 (e) | 30 | 31 | ||||||
Michaels Stores, Inc., 8.00%, 07/15/2027 (e) | 25 | 26 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Retail continued | ||||||||
PetSmart, Inc., | ||||||||
5.88%, 06/01/2025 (e) | 115 | 118 | ||||||
7.13%, 03/15/2023 (e) | 75 | 75 | ||||||
Sally Holdings LLC / Sally Capital, Inc., 5.63%, 12/01/2025 | 25 | 25 | ||||||
Specialty Building Products Holdings LLC / SBP Finance Corp., 6.38%, 09/30/2026 (e) | 9 | 9 | ||||||
SRS Distribution, Inc., 8.25%, 07/01/2026 (e) | 21 | 23 | ||||||
Suburban Propane Partners LP / Suburban Energy Finance Corp., 5.88%, 03/01/2027 | 100 | 103 | ||||||
Yum! Brands, Inc., 7.75%, 04/01/2025 (e) | 108 | 120 | ||||||
|
| |||||||
827 | ||||||||
|
| |||||||
Toys/Games/Hobbies 0.4% | ||||||||
Mattel, Inc., 6.75%, 12/31/2025 (e) | 83 | 88 | ||||||
|
| |||||||
Total Consumer Cyclical | 4,273 | |||||||
|
| |||||||
Consumer Non-cyclical 17.7% | ||||||||
Commercial Services 4.6% | ||||||||
Allied Universal Holdco LLC / Allied Universal Finance Corp., | ||||||||
6.63%, 07/15/2026 (e) | 197 | 210 | ||||||
9.75%, 07/15/2027 (e) | 75 | 81 | ||||||
Garda World Security Corp., (Canada), 9.50%, 11/01/2027 (e) | 75 | 79 | ||||||
Gartner, Inc., | ||||||||
3.75%, 10/01/2030 (e) | 10 | 10 | ||||||
4.50%, 07/01/2028 (e) | 50 | 53 | ||||||
Jaguar Holding Co. II / PPD Development LP, | ||||||||
4.63%, 06/15/2025 (e) | 50 | 51 | ||||||
5.00%, 06/15/2028 (e) | 68 | 71 | ||||||
MPH Acquisition Holdings LLC, 7.13%, 06/01/2024 (e) | 62 | 64 | ||||||
Nielsen Finance LLC / Nielsen Finance Co., | ||||||||
5.00%, 04/15/2022 (e) | 50 | 50 | ||||||
5.63%, 10/01/2028 (e) | 8 | 9 | ||||||
5.88%, 10/01/2030 (e) | 6 | 6 | ||||||
Refinitiv US Holdings, Inc., 8.25%, 11/15/2026 (e) | 90 | 99 | ||||||
Sabre GLBL, Inc., 7.38%, 09/01/2025 (e) | 7 | 7 | ||||||
United Rentals North America, Inc., 3.88%, 02/15/2031 | 225 | 228 | ||||||
Verscend Escrow Corp., 9.75%, 08/15/2026 (e) | 84 | 91 | ||||||
|
| |||||||
1,109 | ||||||||
|
| |||||||
Food 3.4% | ||||||||
Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, | ||||||||
3.25%, 03/15/2026 (e) | 80 | 79 | ||||||
3.50%, 02/15/2023 (e) | 25 | 26 | ||||||
4.88%, 02/15/2030 (e) | 75 | 78 | ||||||
5.88%, 02/15/2028 (e) | 50 | 53 | ||||||
Chobani LLC / Chobani Finance Corp., Inc., 7.50%, 04/15/2025 (e) | 21 | 22 | ||||||
JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., (Multinational), 6.50%, 04/15/2029 (e) | 87 | 97 | ||||||
Kraft Heinz Foods Co., | ||||||||
4.25%, 03/01/2031 (e) | 43 | 47 | ||||||
4.38%, 06/01/2046 | 50 | 51 | ||||||
4.88%, 10/01/2049 (e) | 32 | 34 | ||||||
5.50%, 06/01/2050 (e) | 48 | 55 | ||||||
Pilgrims Pride Corp., 5.75%, 03/15/2025 (e) | 100 | 102 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Food continued | ||||||||
Post Holdings, Inc., | ||||||||
5.00%, 08/15/2026 (e) | 99 | 101 | ||||||
5.75%, 03/01/2027 (e) | 75 | 79 | ||||||
|
| |||||||
824 | ||||||||
|
| |||||||
Healthcare - Products 0.6% | ||||||||
Avantor Funding, Inc., 4.63%, 07/15/2028 (e) | 42 | 44 | ||||||
Hologic, Inc., 3.25%, 02/15/2029 (e) | 2 | 2 | ||||||
Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA, | ||||||||
7.25%, 02/01/2028 (e) | 65 | 68 | ||||||
7.38%, 06/01/2025 (e) | 21 | 21 | ||||||
|
| |||||||
135 | ||||||||
|
| |||||||
Healthcare - Services 6.1% | ||||||||
Acadia Healthcare Co., Inc., 6.50%, 03/01/2024 | 50 | 51 | ||||||
Centene Corp., | ||||||||
3.00%, 10/15/2030 | 2 | 2 | ||||||
4.63%, 12/15/2029 | 69 | 74 | ||||||
5.25%, 04/01/2025 (e) | 125 | 130 | ||||||
CHS / Community Health Systems, Inc., | ||||||||
6.25%, 03/31/2023 | 50 | 49 | ||||||
8.00%, 03/15/2026 (e) | 116 | 114 | ||||||
HCA, Inc., | ||||||||
3.50%, 09/01/2030 | 170 | 173 | ||||||
5.38%, 09/01/2026 | 25 | 28 | ||||||
5.88%, 05/01/2023 | 50 | 54 | ||||||
5.88%, 02/15/2026 | 125 | 140 | ||||||
LifePoint Health, Inc., 6.75%, 04/15/2025 (e) | 75 | 79 | ||||||
MEDNAX, Inc., 6.25%, 01/15/2027 (e) | 25 | 26 | ||||||
Polaris Intermediate Corp., 8.50% (cash), 12/01/2022 (e) (v) | 50 | 51 | ||||||
Surgery Center Holdings, Inc., 6.75%, 07/01/2025 (e) | 32 | 32 | ||||||
Tenet Healthcare Corp., | ||||||||
5.13%, 11/01/2027 (e) | 57 | 59 | ||||||
6.25%, 02/01/2027 (e) | 100 | 103 | ||||||
6.75%, 06/15/2023 | 220 | 231 | ||||||
West Street Merger Sub, Inc., 6.38%, 09/01/2025 (e) | 50 | 51 | ||||||
|
| |||||||
1,447 | ||||||||
|
| |||||||
Household Products/Wares 0.2% | ||||||||
Prestige Brands, Inc., 5.13%, 01/15/2028 (e) | 50 | 52 | ||||||
|
| |||||||
Pharmaceuticals 2.8% | ||||||||
Bausch Health Americas, Inc., 8.50%, 01/31/2027 (e) | 250 | 275 | ||||||
Bausch Health Cos., Inc., (Canada), | ||||||||
5.00%, 01/30/2028 (e) | 75 | 73 | ||||||
6.13%, 04/15/2025 (e) | 100 | 102 | ||||||
6.25%, 02/15/2029 (e) | 78 | 80 | ||||||
Par Pharmaceutical, Inc., 7.50%, 04/01/2027 (e) | 83 | 87 | ||||||
Vizient, Inc., 6.25%, 05/15/2027 (e) | 50 | 52 | ||||||
|
| |||||||
669 | ||||||||
|
| |||||||
Total Consumer Non-cyclical | 4,236 | |||||||
|
| |||||||
Energy 12.2% | ||||||||
Energy Alternate Sources 0.9% | ||||||||
Enviva Partners LP / Enviva Partners Finance Corp., 6.50%, 01/15/2026 (e) | 150 | 158 | ||||||
TerraForm Power Operating LLC, 4.25%, 01/31/2023 (e) | 50 | 51 | ||||||
|
| |||||||
209 | ||||||||
|
|
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Oil & Gas 6.3% | ||||||||
Antero Resources Corp., 5.63%, 06/01/2023 | 25 | 18 | ||||||
Citgo Holding, Inc., 9.25%, 08/01/2024 (e) | 100 | 95 | ||||||
CNX Resources Corp., 7.25%, 03/14/2027 (e) | 80 | 82 | ||||||
Comstock Resources, Inc., 7.50%, 05/15/2025 (e) | 49 | 46 | ||||||
CrownRock LP / CrownRock Finance, Inc., 5.63%, 10/15/2025 (e) | 101 | 95 | ||||||
Endeavor Energy Resources LP / EER Finance, Inc., | ||||||||
5.50%, 01/30/2026 (e) | 134 | 133 | ||||||
6.63%, 07/15/2025 (e) | 25 | 26 | ||||||
EQT Corp., | ||||||||
3.90%, 10/01/2027 | 25 | 23 | ||||||
8.75%, 02/01/2030 | 25 | 30 | ||||||
Hilcorp Energy I LP / Hilcorp Finance Co., 5.75%, 10/01/2025 (e) | 250 | 226 | ||||||
MEG Energy Corp., (Canada), 6.50%, 01/15/2025 (e) | 57 | 56 | ||||||
Nabors Industries Ltd., (Bermuda), | ||||||||
7.25%, 01/15/2026 (e) | 50 | 25 | ||||||
7.50%, 01/15/2028 (e) | 25 | 12 | ||||||
Occidental Petroleum Corp., | ||||||||
3.40%, 04/15/2026 | 50 | 40 | ||||||
3.50%, 08/15/2029 | 112 | 86 | ||||||
6.63%, 09/01/2030 | 100 | 92 | ||||||
PBF Holding Co. LLC / PBF Finance Corp., 9.25%, 05/15/2025 (e) | 78 | 80 | ||||||
PDC Energy, Inc., | ||||||||
5.75%, 05/15/2026 | 6 | 5 | ||||||
6.13%, 09/15/2024 | 25 | 24 | ||||||
QEP Resources, Inc., | ||||||||
5.25%, 05/01/2023 | 12 | 9 | ||||||
5.63%, 03/01/2026 | 25 | 14 | ||||||
Range Resources Corp., | ||||||||
4.88%, 05/15/2025 | 125 | 113 | ||||||
9.25%, 02/01/2026 (e) | 25 | 25 | ||||||
Viper Energy Partners LP, 5.38%, 11/01/2027 (e) | 2 | 2 | ||||||
WPX Energy, Inc., | ||||||||
4.50%, 01/15/2030 | 51 | 50 | ||||||
5.25%, 10/15/2027 | 50 | 51 | ||||||
5.88%, 06/15/2028 | 50 | 52 | ||||||
|
| |||||||
1,510 | ||||||||
|
| |||||||
Oil & Gas Services 0.4% | ||||||||
Archrock Partners LP / Archrock Partners Finance Corp., 6.25%, 04/01/2028 (e) | 50 | 47 | ||||||
USA Compression Partners LP / USA Compression Finance Corp., 6.88%, 09/01/2027 | 50 | 50 | ||||||
|
| |||||||
97 | ||||||||
|
| |||||||
Pipelines 4.6% | ||||||||
Antero Midstream Partners LP / Antero Midstream Finance Corp., 5.75%, 01/15/2028 (e) | 75 | 62 | ||||||
Cheniere Energy Partners LP, | ||||||||
4.50%, 10/01/2029 | 22 | 23 | ||||||
5.25%, 10/01/2025 | 50 | 51 | ||||||
Cheniere Energy, Inc., 4.63%, 10/15/2028 (e) | 30 | 31 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Pipelines continued | ||||||||
CNX Midstream Partners LP / CNX Midstream Finance Corp., 6.50%, 03/15/2026 (e) | 25 | 25 | ||||||
DCP Midstream Operating LP, 5.63%, 07/15/2027 | 45 | 46 | ||||||
EQM Midstream Partners LP, | ||||||||
5.50%, 07/15/2028 | 125 | 126 | ||||||
6.50%, 07/01/2027 (e) | 60 | 64 | ||||||
Hess Midstream Operations LP, 5.13%, 06/15/2028 (e) | 75 | 75 | ||||||
New Fortress Energy, Inc., 6.75%, 09/15/2025 (e) | 4 | 4 | ||||||
NuStar Logistics LP, 5.63%, 04/28/2027 | 50 | 49 | ||||||
Rockies Express Pipeline LLC, 3.60%, 05/15/2025 (e) | 50 | 49 | ||||||
Summit Midstream Holdings LLC / Summit Midstream Finance Corp., | ||||||||
5.50%, 08/15/2022 | 25 | 18 | ||||||
5.75%, 04/15/2025 | 25 | 14 | ||||||
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., | ||||||||
5.50%, 01/15/2028 (e) | 50 | 45 | ||||||
7.50%, 10/01/2025 (e) | 3 | 3 | ||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., | ||||||||
4.88%, 02/01/2031 (e) | 50 | 48 | ||||||
5.13%, 02/01/2025 | 50 | 50 | ||||||
5.88%, 04/15/2026 | 25 | 26 | ||||||
6.50%, 07/15/2027 | 25 | 26 | ||||||
6.88%, 01/15/2029 | 105 | 112 | ||||||
Western Midstream Operating LP, | ||||||||
3.95%, 06/01/2025 | 25 | 24 | ||||||
4.10%, 02/01/2025 | 50 | 48 | ||||||
5.05%, 02/01/2030 | 25 | 24 | ||||||
5.30%, 03/01/2048 | 75 | 60 | ||||||
|
| |||||||
1,103 | ||||||||
|
| |||||||
Total Energy | 2,919 | |||||||
|
| |||||||
Financial 9.2% | ||||||||
Diversified Financial Services 3.4% | ||||||||
Ally Financial, Inc., 8.00%, 11/01/2031 | 73 | 100 | ||||||
LPL Holdings, Inc., 5.75%, 09/15/2025 (e) | 85 | 88 | ||||||
Nationstar Mortgage Holdings, Inc., 5.50%, 08/15/2028 (e) | 150 | 150 | ||||||
Navient Corp., 7.25%, 09/25/2023 | 50 | 52 | ||||||
NFP Corp., 6.88%, 08/15/2028 (e) | 50 | 51 | ||||||
OneMain Finance Corp., | ||||||||
7.13%, 03/15/2026 | 61 | 68 | ||||||
8.88%, 06/01/2025 | 150 | 166 | ||||||
Quicken Loans LLC, 5.75%, 05/01/2025 (e) | 75 | 77 | ||||||
Quicken Loans LLC / Quicken Loans Co-Issuer, Inc., 3.88%, 03/01/2031 (e) | 50 | 49 | ||||||
|
| |||||||
801 | ||||||||
|
| |||||||
Insurance 1.7% | ||||||||
Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer, 6.75%, 10/15/2027 (e) | 105 | 110 | ||||||
AmWINS Group, Inc., 7.75%, 07/01/2026 (e) | 50 | 53 | ||||||
GTCR AP Finance, Inc., 8.00%, 05/15/2027 (e) | 50 | 53 | ||||||
HUB International Ltd., 7.00%, 05/01/2026 (e) | 145 | 150 | ||||||
USI, Inc., 6.88%, 05/01/2025 (e) | 50 | 51 | ||||||
|
| |||||||
417 | ||||||||
|
|
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Investment Companies 0.3% | ||||||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp., 5.25%, 05/15/2027 | 69 | 72 | ||||||
|
| |||||||
Real Estate 0.4% | ||||||||
Cushman & Wakefield US Borrower LLC, 6.75%, 05/15/2028 (e) | 50 | 52 | ||||||
Greystar Real Estate Partners LLC, 5.75%, 12/01/2025 (e) | 50 | 50 | ||||||
|
| |||||||
102 | ||||||||
|
| |||||||
REITS 3.4% | ||||||||
ESH Hospitality, Inc., 4.63%, 10/01/2027 (e) | 75 | 74 | ||||||
GLP Capital LP / GLP Financing II, Inc., 4.00%, 01/15/2031 | 77 | 80 | ||||||
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc., | ||||||||
4.50%, 01/15/2028 | 25 | 26 | ||||||
5.63%, 05/01/2024 | 116 | 123 | ||||||
MPT Operating Partnership LP / MPT Finance Corp., 5.00%, 10/15/2027 | 95 | 99 | ||||||
Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer, 5.88%, 10/01/2028 (e) | 3 | 3 | ||||||
Sabra Health Care LP, 5.13%, 08/15/2026 | 75 | 81 | ||||||
SBA Communications Corp., 3.88%, 02/15/2027 (e) | 142 | 144 | ||||||
VICI Properties LP / VICI Note Co., Inc., | ||||||||
4.13%, 08/15/2030 (e) | 83 | 81 | ||||||
4.63%, 12/01/2029 (e) | 100 | 102 | ||||||
|
| |||||||
813 | ||||||||
|
| |||||||
Total Financial | 2,205 | |||||||
|
| |||||||
Industrial 10.4% | ||||||||
Aerospace/Defense 2.8% | ||||||||
Boeing Co. (The), 5.81%, 05/01/2050 | 150 | 181 | ||||||
Bombardier, Inc., (Canada), 8.75%, 12/01/2021 (e) | 200 | 203 | ||||||
Spirit AeroSystems, Inc., 5.50%, 01/15/2025 (e) | 5 | 5 | ||||||
TransDigm, Inc., | ||||||||
6.25%, 03/15/2026 (e) | 196 | 205 | ||||||
7.50%, 03/15/2027 | 50 | 52 | ||||||
Triumph Group, Inc., 8.88%, 06/01/2024 (e) | 31 | 33 | ||||||
|
| |||||||
679 | ||||||||
|
| |||||||
Building Materials 1.5% | ||||||||
Cornerstone Building Brands, Inc., | ||||||||
6.13%, 01/15/2029 (e) | 6 | 6 | ||||||
8.00%, 04/15/2026 (e) | 50 | 53 | ||||||
Standard Industries, Inc., | ||||||||
3.38%, 01/15/2031 (e) | 138 | 136 | ||||||
5.00%, 02/15/2027 (e) | 100 | 104 | ||||||
US Concrete, Inc., 5.13%, 03/01/2029 (e) | 52 | 52 | ||||||
|
| |||||||
351 | ||||||||
|
| |||||||
Electrical Components & Equipments 0.8% | ||||||||
Energizer Holdings, Inc., 6.38%, 07/15/2026 (e) | 50 | 54 | ||||||
WESCO Distribution, Inc., | ||||||||
7.13%, 06/15/2025 (e) | 82 | 89 | ||||||
7.25%, 06/15/2028 (e) | 50 | 55 | ||||||
|
| |||||||
198 | ||||||||
|
| |||||||
Electronics 0.3% | ||||||||
Sensata Technologies BV, (Netherlands), 5.63%, 11/01/2024 (e) | 25 | 27 | ||||||
Sensata Technologies, Inc., 3.75%, 02/15/2031 (e) | 45 | 45 | ||||||
|
| |||||||
72 | ||||||||
|
|
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Engineering & Construction 0.3% | ||||||||
AECOM, 5.88%, 10/15/2024 | 50 | 54 | ||||||
KBR, Inc., 4.75%, 09/30/2028 (e) | 6 | 6 | ||||||
|
| |||||||
60 | ||||||||
|
| |||||||
Environmental Control 0.3% | ||||||||
GFL Environmental, Inc., (Canada), | ||||||||
5.13%, 12/15/2026 (e) | 34 | 35 | ||||||
7.00%, 06/01/2026 (e) | 34 | 36 | ||||||
|
| |||||||
71 | ||||||||
|
| |||||||
Miscellaneous Manufacturers 0.4% | ||||||||
Gates Global LLC / Gates Corp., 6.25%, 01/15/2026 (e) | 50 | 51 | ||||||
Koppers, Inc., 6.00%, 02/15/2025 (e) | 50 | 51 | ||||||
|
| |||||||
102 | ||||||||
|
| |||||||
Packaging & Containers 3.6% | ||||||||
ARD Finance SA, (Luxembourg), 6.50% (cash), 06/30/2027 (e) (v) | 200 | 199 | ||||||
Ball Corp., 2.88%, 08/15/2030 | 25 | 25 | ||||||
Berry Global, Inc., 4.88%, 07/15/2026 (e) | 75 | 79 | ||||||
Crown Americas LLC / Crown Americas Capital Corp. VI, 4.75%, 02/01/2026 | 50 | 52 | ||||||
Flex Acquisition Co., Inc., 7.88%, 07/15/2026 (e) | 100 | 102 | ||||||
Graphic Packaging International LLC, 3.50%, 03/01/2029 (e) | 25 | 25 | ||||||
Mauser Packaging Solutions Holding Co., | ||||||||
5.50%, 04/15/2024 (e) | 25 | 25 | ||||||
7.25%, 04/15/2025 (e) | 50 | 47 | ||||||
Owens-Brockway Glass Container, Inc., 5.38%, 01/15/2025 (e) | 50 | 53 | ||||||
Trident TPI Holdings, Inc., 6.63%, 11/01/2025 (e) | 25 | 24 | ||||||
Trivium Packaging Finance BV, (Netherlands), 8.50%, 08/15/2027 (e) | 200 | 215 | ||||||
|
| |||||||
846 | ||||||||
|
| |||||||
Transportation 0.4% | ||||||||
Watco Cos. LLC / Watco Finance Corp., 6.50%, 06/15/2027 (e) | 25 | 26 | ||||||
XPO Logistics, Inc., 6.75%, 08/15/2024 (e) | 75 | 79 | ||||||
|
| |||||||
105 | ||||||||
|
| |||||||
Total Industrial | 2,484 | |||||||
|
| |||||||
Technology 5.9% | ||||||||
Computers 1.1% | ||||||||
Booz Allen Hamilton, Inc., 3.88%, 09/01/2028 (e) | 44 | 45 | ||||||
NCR Corp., 5.25%, 10/01/2030 (e) | 100 | 100 | ||||||
Tempo Acquisition LLC / Tempo Acquisition Finance Corp., 6.75%, 06/01/2025 (e) | 119 | 122 | ||||||
|
| |||||||
267 | ||||||||
|
| |||||||
Office/Business Equip 0.5% | ||||||||
CDW LLC / CDW Finance Corp., 4.13%, 05/01/2025 | 105 | 108 | ||||||
|
| |||||||
Semiconductors 0.8% | ||||||||
Microchip Technology, Inc., 4.25%, 09/01/2025 (e) | 134 | 139 | ||||||
ON Semiconductor Corp., 3.88%, 09/01/2028 (e) | 47 | 48 | ||||||
Qorvo, Inc., 3.38%, 04/01/2031 (e) | 11 | 11 | ||||||
|
| |||||||
198 | ||||||||
|
| |||||||
Software 3.5% | ||||||||
Black Knight InfoServ LLC, 3.63%, 09/01/2028 (e) | 22 | 22 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Software continued | ||||||||
Boxer Parent Co., Inc., 9.13%, 03/01/2026 (e) | 90 | 95 | ||||||
BY Crown Parent LLC / BY Bond Finance, Inc., 4.25%, 01/31/2026 (e) | 100 | 102 | ||||||
Change Healthcare Holdings LLC / Change Healthcare Finance, Inc., 5.75%, 03/01/2025 (e) | 56 | 57 | ||||||
Dun & Bradstreet Corp. (The), 6.88%, 08/15/2026 (e) | 68 | 73 | ||||||
Logan Merger Sub, Inc., 5.50%, 09/01/2027 (e) | 25 | 25 | ||||||
MSCI, Inc., 3.88%, 02/15/2031 (e) | 52 | 54 | ||||||
Open Text Holdings, Inc., 4.13%, 02/15/2030 (e) | 58 | 60 | ||||||
Solera LLC / Solera Finance, Inc., 10.50%, 03/01/2024 (e) | 71 | 74 | ||||||
SS&C Technologies, Inc., 5.50%, 09/30/2027 (e) | 201 | 214 | ||||||
Veritas US, Inc. / Veritas Bermuda Ltd., 7.50%, 09/01/2025 (e) | 69 | 71 | ||||||
|
| |||||||
847 | ||||||||
|
| |||||||
Total Technology | 1,420 | |||||||
|
| |||||||
Utilities 5.0% | ||||||||
Electric 5.0% | ||||||||
Calpine Corp., | ||||||||
4.50%, 02/15/2028 (e) | 64 | 66 | ||||||
4.63%, 02/01/2029 (e) | 250 | 250 | ||||||
5.00%, 02/01/2031 (e) | 76 | 77 | ||||||
NRG Energy, Inc., | ||||||||
5.25%, 06/15/2029 (e) | 150 | 163 | ||||||
7.25%, 05/15/2026 | 75 | 80 | ||||||
Pattern Energy Operations LP / Pattern Energy Operations, Inc., 4.50%, 08/15/2028 (e) | 92 | 95 | ||||||
PG&E Corp., 5.25%, 07/01/2030 | 200 | 194 | ||||||
Pike Corp., 5.50%, 09/01/2028 (e) | 5 | 5 | ||||||
Vistra Operations Co. LLC, 5.50%, 09/01/2026 (e) | 250 | 261 | ||||||
|
| |||||||
Total Utilities | 1,191 | |||||||
|
| |||||||
Total Corporate Bonds (Cost $23,494) | 23,242 | |||||||
|
| |||||||
Loan Assignment 0.0% (g) (o) | ||||||||
Spirit Aerosystems, Inc., Initial Term Loan, (1 Month USD LIBOR + 5.25%), 0.00%, 1/15/2025 (aa) (Cost $4) | 4 | 4 | ||||||
|
| |||||||
Short-Term Investments 0.4% | ||||||||
Time Deposit 0.4% | ||||||||
Skandinaviska Enskilda Banken AB, 0.01%, 10/01/2020 (Cost $83) | 83 | 83 | ||||||
|
| |||||||
Total Investments 97.7% (Cost $23,597) * | 23,346 | |||||||
Other Assets in Excess of Liabilities 2.3% | 552 | |||||||
|
| |||||||
NET ASSETS 100.0% | $ | 23,898 | ||||||
|
|
Percentages indicated are based on net assets.
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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, 2020:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||
Long Contracts | ||||||||||||
Euro Schatz | 3 | 12/2020 | EUR | 395 | | |||||||
U.S. Treasury 2 Year Note | 3 | 12/2020 | USD | 663 | | (h) | ||||||
U.S. Treasury Long Bond | 2 | 12/2020 | USD | 351 | 1 | |||||||
|
| |||||||||||
1 | ||||||||||||
|
| |||||||||||
Short Contracts | ||||||||||||
Euro BOBL | (2) | 12/2020 | EUR | (317) | ( | )(h) | ||||||
Euro Schatz | (1) | 12/2020 | EUR | (132) | | |||||||
U.S. Treasury 10 Year Note | (4) | 12/2020 | USD | (558) | ( | )(h) | ||||||
U.S. Treasury 2 Year Note | (1) | 12/2020 | USD | (221) | | (h) | ||||||
U.S. Treasury 5 Year Note | (1) | 12/2020 | USD | (126) | ( | )(h) | ||||||
U.S. Treasury Ultra Bond | (1) | 12/2020 | USD | (225) | 3 | |||||||
|
| |||||||||||
3 | ||||||||||||
|
| |||||||||||
Total unrealized appreciation (depreciation) | 4 | |||||||||||
|
|
Six Circles Credit Opportunities Fund
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020
(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. | ||
(o) | | Loan assignments are presented by obligor. Each Series or loan tranche underlying each obligor may have varying terms. | ||
(v) | | Security has the ability to pay in kind (PIK) or pay income in cash. When applicable, separate rates of such payments are disclosed. | ||
(x) | | Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of September 30, 2020. | ||
(aa) | | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of September 30, 2020. | ||
* | | The cost of securities is substantially the same for federal income tax purposes. | ||
EUR | | Euro | ||
USD | | United States Dollar |
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 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 Funds 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.
Shares of exchange-traded funds (ETFs) are generally valued at the last sale price on the exchange on which the ETF is principally traded. Shares of open-end investment companies are valued at their respective NAVs.
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.
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Funds investments are summarized into the three broad levels listed below.
| Level 1 Unadjusted inputs using quoted prices in active markets for identical investments. |
| Level 2 Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| Level 3 Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds assumptions in determining the fair value of investments). |
A financial instruments 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
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (SOIs) (amounts in thousands):
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | $ | | $ | 104,852 | $ | | $ | 104,852 | ||||||||
Certificates of Deposit | ||||||||||||||||
Financial | | 7,503 | | 7,503 | ||||||||||||
Collateralized Mortgage Obligations | | 21,673 | 2,000 | 23,673 | ||||||||||||
Commercial Mortgage-Backed Securities | | 24,887 | | 24,887 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Basic Materials | | 6,616 | | 6,616 | ||||||||||||
Communications | | 4,598 | | 4,598 | ||||||||||||
Consumer Cyclical | | 40,747 | | 40,747 | ||||||||||||
Consumer Non-cyclical | | 75,583 | | 75,583 | ||||||||||||
Energy | | 7,283 | | 7,283 | ||||||||||||
Financial | | 151,538 | | 151,538 | ||||||||||||
Industrial | | 15,145 | | 15,145 | ||||||||||||
Technology | | 5,358 | | 5,358 | ||||||||||||
Utilities | | 6,225 | | 6,225 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Corporate Bonds | | 313,093 | | 313,093 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Government Securities | | 8,398 | | 8,398 | ||||||||||||
U.S. Government Agency Securities | | 30,414 | | 30,414 | ||||||||||||
U.S. Treasury Obligations | | 25,844 | | 25,844 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Corporate Bond | | 2,123 | | 2,123 | ||||||||||||
Certificates of Deposit | | 21,764 | | 21,764 | ||||||||||||
Commercial Papers | | 25,043 | | 25,043 | ||||||||||||
Foreign Government Securities | | 62,949 | | 62,949 | ||||||||||||
Repurchase Agreement | | 19,400 | | 19,400 | ||||||||||||
Time Deposits | | 7,670 | | 7,670 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | | 138,949 | | 138,949 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | | $ | 675,613 | $ | 2,000 | $ | 677,613 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Centrally Cleared Interest Rate Swap contracts | $ | | $ | 2 | $ | | $ | 2 | ||||||||
Futures contracts | 104 | | | 104 | ||||||||||||
Forward Foreign Currency Exchange contracts | | 278 | | 278 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Appreciation in Other Financial Instruments | $ | 104 | $ | 280 | $ | | $ | 384 | ||||||||
|
|
|
|
|
|
|
|
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures contracts | $ | (25 | ) | $ | | $ | | $ | (25 | ) | ||||||
Forward Foreign Currency Exchange contracts | | (189 | ) | | (189 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Depreciation in Other Financial Instruments | $ | (25 | ) | $ | (189 | ) | $ | | $ | (214 | ) | |||||
|
|
|
|
|
|
|
|
Six Circles Tax Aware Ultra Short Duration Fund
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (SOIs) (amounts in thousands):
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | $ | | $ | 26,478 | $ | | $ | 26,478 | ||||||||
Certificate of Deposit | ||||||||||||||||
Financial | | 1,801 | | 1,801 | ||||||||||||
Collateralized Mortgage Obligations | | 24,256 | 2,200 | 26,456 | ||||||||||||
Commercial Mortgage-Backed Securities | | 8,196 | | 8,196 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Basic Materials | | 201 | | 201 | ||||||||||||
Communications | | 1,125 | | 1,125 | ||||||||||||
Consumer Cyclical | | 18,375 | | 18,375 | ||||||||||||
Consumer Non-cyclical | | 24,112 | | 24,112 | ||||||||||||
Energy | | 1,081 | | 1,081 | ||||||||||||
Financial | | 64,283 | | 64,283 | ||||||||||||
Industrial | | 4,862 | | 4,862 | ||||||||||||
Technology | | 1,271 | | 1,271 | ||||||||||||
Utilities | | 3,328 | | 3,328 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Corporate Bonds | | 118,638 | | 118,638 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Government Securities | | 4,915 | | 4,915 | ||||||||||||
Municipal Bonds | | 501,115 | | 501,115 | ||||||||||||
U.S. Government Agency Securities | | 12,606 | | 12,606 | ||||||||||||
U.S. Treasury Obligation | | 9,277 | | 9,277 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Municipal Bonds | | 49,902 | | 49,902 | ||||||||||||
Repurchase Agreements | | 28,800 | | 28,800 | ||||||||||||
Time Deposits | | 10,276 | | 10,276 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | | 88,978 | | 88,978 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | | $ | 796,260 | $ | 2,200 | $ | 798,460 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures contracts | $ | 120 | $ | | $ | | $ | 120 | ||||||||
Forward Foreign Currency Exchange contracts | | 130 | | 130 | ||||||||||||
Centrally Cleared Interest Rate Swap contracts | | 3 | | 3 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Appreciation in Other Financial Instruments | $ | 120 | $ | 133 | $ | | $ | 253 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures contracts | $ | (28 | ) | $ | | $ | | $ | (28 | ) | ||||||
Forward Foreign Currency Exchange contracts | | (10 | ) | | (10 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Depreciation in Other Financial Instruments | $ | (28 | ) | $ | (10 | ) | $ | | $ | (38 | ) | |||||
|
|
|
|
|
|
|
|
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Six Circles U.S. Unconstrained Equity Fund
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (SOIs) (amounts in thousands):
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Basic Materials | $ | 71,121 | $ | | $ | | $ | 71,121 | ||||||||
Communications | 2,405,859 | | | 2,405,859 | ||||||||||||
Consumer Cyclical | 597,201 | | | 597,201 | ||||||||||||
Consumer Non-cyclical | 2,697,978 | | | 2,697,978 | ||||||||||||
Energy | 66,653 | | | 66,653 | ||||||||||||
Financial | 2,121,541 | | | 2,121,541 | ||||||||||||
Industrial | 2,006,231 | | | 2,006,231 | ||||||||||||
Technology | 1,825,517 | | | 1,825,517 | ||||||||||||
Utilities | 99,926 | | | 99,926 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 11,892,027 | | | 11,892,027 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Time Deposits | | 51,495 | | 51,495 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 11,892,027 | $ | 51,495 | $ | | $ | 11,943,522 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures contracts | $ | 694 | $ | | $ | | $ | 694 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures contracts | $ | (3 | ) | $ | | $ | | $ | (3 | ) | ||||||
|
|
|
|
|
|
|
|
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Six Circles International Unconstrained Equity Fund
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (SOIs) (amounts in thousands):
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | | $ | 8,930 | $ | | $ | 8,930 | ||||||||
Austria | | 13,121 | | 13,121 | ||||||||||||
Belgium | | 70,051 | | 70,051 | ||||||||||||
Chile | | 1,061 | | 1,061 | ||||||||||||
China | | 3,616 | | 3,616 | ||||||||||||
Denmark | 42,197 | 247,542 | | 289,739 | ||||||||||||
Finland | | 111,621 | | 111,621 | ||||||||||||
France | | 935,909 | | 935,909 | ||||||||||||
Germany | 16,031 | 744,001 | | 760,032 | ||||||||||||
Ireland | 5,012 | 68,367 | | 73,379 | ||||||||||||
Isle of Man | | 1,457 | | 1,457 | ||||||||||||
Italy | 384 | 210,917 | | 211,301 | ||||||||||||
Jordan | | 7,480 | | 7,480 | ||||||||||||
Luxembourg | | 6,033 | | 6,033 | ||||||||||||
Netherlands | 3,144 | 286,631 | | 289,775 | ||||||||||||
Norway | 806 | 24,243 | | 25,049 | ||||||||||||
Portugal | | 24,152 | | 24,152 | ||||||||||||
South Korea | | 494,944 | | 494,944 | ||||||||||||
Spain | | 253,343 | | 253,343 | ||||||||||||
Sweden | | 356,168 | | 356,168 | ||||||||||||
Switzerland | | 1,157,140 | | 1,157,140 | ||||||||||||
Taiwan | | 376,395 | | 376,395 | ||||||||||||
United Arab Emirates | | | | | ||||||||||||
United Kingdom | 6,530 | 872,687 | | 879,217 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 74,104 | 6,275,809 | | 6,349,913 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Germany | | 15,604 | | 15,604 | ||||||||||||
South Korea | | 69,937 | | 69,937 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | | 85,541 | | 85,541 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Time Deposits | | 107,704 | | 107,704 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 74,104 | $ | 6,469,054 | $ | | $ | 6,543,158 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Future contract | $ | 29 | $ | | $ | | $ | 29 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures contracts | $ | (2,965 | ) | $ | | $ | | $ | (2,965 | ) | ||||||
|
|
|
|
|
|
|
|
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Six Circles Global Bond Fund
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (SOIs) (amounts in thousands):
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | $ | | $ | 14,763 | $ | | $ | 14,763 | ||||||||
Certificate of Deposit | ||||||||||||||||
Financial | | 148 | | 148 | ||||||||||||
Collateralized Mortgage Obligations | | 61,531 | 1,813 | 63,344 | ||||||||||||
Commercial Mortgage-Backed Securities | | 16,556 | | 16,556 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Basic Materials | | 21,497 | | 21,497 | ||||||||||||
Communications | | 54,314 | | 54,314 | ||||||||||||
Consumer Cyclical | | 41,353 | | 41,353 | ||||||||||||
Consumer Non-cyclical | | 112,685 | | 112,685 | ||||||||||||
Energy | | 57,665 | | 57,665 | ||||||||||||
Financial | | 293,512 | | 293,512 | ||||||||||||
Government | | 25,578 | | 25,578 | ||||||||||||
Industrial | | 54,032 | | 54,032 | ||||||||||||
Technology | | 27,150 | | 27,150 | ||||||||||||
Utilities | | 80,187 | | 80,187 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Corporate Bonds | | 767,973 | | 767,973 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Government Securities | | 1,300,612 | | 1,300,612 | ||||||||||||
Mortgage-Backed Securities | | 752,290 | | 752,290 | ||||||||||||
Municipal Bonds | | 2,371 | | 2,371 | ||||||||||||
U.S. Government Agency Securities | | 134,302 | | 134,302 | ||||||||||||
U.S. Treasury Obligations | | 427,861 | | 427,861 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Time Deposits | | 172,948 | | 172,948 | ||||||||||||
U.S. Government Agency Security | | 900 | | 900 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | | 173,848 | | 173,848 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | | $ | 3,652,255 | $ | 1,813 | $ | 3,654,068 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Mortgage-Backed Securities | $ | | $ | (158,620 | ) | $ | | $ | (158,620 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Centrally Cleared Interest Rate Swap contracts | $ | | $ | 122 | $ | | $ | 122 | ||||||||
Futures contracts | 73 | | | 73 | ||||||||||||
Forward Foreign Currency Exchange contracts | | 22,130 | | 22,130 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Appreciation in Other Financial Instruments | $ | 73 | $ | 22,252 | $ | | $ | 22,325 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Centrally Cleared Interest Rate Swap contracts | $ | | $ | (17 | ) | $ | | $ | (17 | ) | ||||||
Centrally Cleared Credit default swap contracts | | (7 | ) | | (7 | ) | ||||||||||
Futures contracts | (438 | ) | | | (438 | ) | ||||||||||
Forward Foreign Currency Exchange contracts | | (8,212 | ) | | (8,212 | ) | ||||||||||
|
|
|
|
|
|
|
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Total Depreciation in Other Financial Instruments | $ | (438 | ) | $ | (8,236 | ) | $ | | $ | (8,674 | ) | |||||
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SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
Six Circles Tax Aware Bond Fund
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (SOIs) (amounts in thousands):
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Municipal Bonds | $ | | $ | 2,170,192 | $ | | $ | 2,170,192 | ||||||||
Short-Term Investments | ||||||||||||||||
Municipal Bonds | | 43,700 | | 43,700 | ||||||||||||
Time Deposits | | 523,444 | | 523,444 | ||||||||||||
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Total Short-Term Investments | | 567,144 | | 567,144 | ||||||||||||
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Total Investments in Securities | $ | | $ | 2,737,336 | $ | | $ | 2,737,336 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures contracts | $ | 11 | $ | | $ | | $ | 11 | ||||||||
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Six Circles Credit Opportunities Fund
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (SOIs) (amounts in thousands):
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Convertible Bond | ||||||||||||||||
Communications | $ | | $ | 17 | $ | | $ | 17 | ||||||||
Corporate Bonds | ||||||||||||||||
Basic Materials | | 623 | | 623 | ||||||||||||
Communications | | 3,891 | | 3,891 | ||||||||||||
Consumer Cyclical | | 4,273 | | 4,273 | ||||||||||||
Consumer Non-cyclical | | 4,236 | | 4,236 | ||||||||||||
Energy | | 2,919 | | 2,919 | ||||||||||||
Financial | | 2,205 | | 2,205 | ||||||||||||
Industrial | | 2,484 | | 2,484 | ||||||||||||
Technology | | 1,420 | | 1,420 | ||||||||||||
Utilities | | 1,191 | | 1,191 | ||||||||||||
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Total Corporate Bonds | | 23,242 | | 23,242 | ||||||||||||
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Loan Assignment | | 4 | | 4 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Time Deposit | | 83 | | 83 | ||||||||||||
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Total Investments in Securities | $ | | $ | 23,346 | $ | | $ | 23,346 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures contracts | $ | 4 | $ | | $ | | $ | 4 | ||||||||
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Depreciation in Other Financial Instruments | ||||||||||||||||
Futures contracts | $ | ( | )(a) | $ | | $ | | $ | ( | )(a) | ||||||
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(a) Amount rounds to less than $500.
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (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 the Sub-Advisers, with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Funds in the event the Funds net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Funds to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterpartys 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.
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
(1) Futures Contracts The Ultra Short Duration Fund, Tax Aware Ultra Short Duration Fund and Global Bond Fund used interest rate futures to manage interest rate risks associated with portfolio investments. The Ultra Short Duration Fund, Tax Aware Ultra Short Duration Fund, Global Bond Fund, Tax Aware Bond Fund and Credit Opportunities Fund used fixed income index futures to gain or reduce exposure to certain countries or regions, to maintain liquidity or minimize transaction costs. The U.S. Unconstrained Equity Fund and International Unconstrained Equity Fund used index futures to gain or reduce exposure to certain countries or regions, to maintain liquidity or minimize transaction costs.
Futures contracts may provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as changes in net unrealized appreciation/depreciation. Futures contracts outstanding at period end, if any, are listed after each Funds SOI.
The use of futures contracts may expose the Funds to interest rate risk 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 days settlement price, which could effectively prevent the liquidation of positions.
The Funds futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
(2) Forward Foreign Currency Exchange Contracts The Funds may be exposed to foreign currency risks associated with some or all of the portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Funds also bought forward foreign currency exchange contracts to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Forward contracts outstanding at period end, if any, are listed after each Funds SOI.
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
The values of the forward foreign currency exchange contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation/depreciation until the contract settlement date. When the forward foreign currency exchange contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed. The Fund also records a realized gain or loss when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty upon settlement.
The Funds forward foreign currency exchange contracts may be subject to master netting arrangements (the right to close out all transactions with a counterparty and net amounts owed or due across transactions). The Funds may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.
(3) Swaps The Ultra Short Duration Fund, Tax Aware Ultra Short Duration Fund and Global Bond Fund engaged in various swap transactions, including interest swaps and credit default 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 Funds 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 Funds outstanding OTC swap contracts with the counterparty. Daily movement of collateral is subject to minimum threshold amounts. Collateral posted by the Funds is held in a segregated account at the Funds custodian bank. Collateral received by the Funds is held in escrow in segregated accounts maintained by Brown Brothers Harriman & Co.
The Funds swap contracts (excluding centrally cleared swaps) are subject to master netting arrangements.
Credit Default Swaps
The Global Bond Fund entered into credit default swaps to simulate long and short bond positions or to take an active long or short position with respect to the likelihood of a default or credit event by the issuer of the underlying reference obligation.
The underlying reference obligation may be a single issuer of corporate or sovereign debt, a basket of issuers or a credit index. A credit index is a list of credit instruments or exposures that reference a fixed number of obligors with shared characteristics that represents some part of the credit market as a whole. Index credit default swaps have standardized terms including a fixed spread and standard maturity dates. The composition of the obligations within a particular index changes periodically.
Credit default swaps involve one party, the protection buyer, making a stream of payments to another party, the protection seller, in exchange for the right to receive a contingent payment if there is a credit event related to the underlying reference obligation. In the event that the reference obligation matures prior to the termination date of the contract, a similar security will be substituted for the duration of the contract term. Credit events are defined under individual swap agreements and generally include bankruptcy, failure to pay, restructuring, repudiation/moratorium, obligation acceleration and obligation default.
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)
If a credit event occurs, the Funds, as protection sellers, would be obligated to make a payment, which may be either: (i) a net cash settlement equal to the notional amount of the swap less the auction value of the reference obligation or (ii) the notional amount of the swap in exchange for the delivery of the reference obligation. Selling protection effectively adds leverage to a Funds portfolio up to the notional amount of swap agreements.
The notional amount represents the maximum potential liability under a contract. Potential liabilities under these contracts may be reduced by: the auction rates of the underlying reference obligations; upfront payments received at the inception of a swap; and net amounts received from credit default swaps purchased with the identical reference obligation.
Interest Rate Swaps
The Ultra Short Duration Fund, Tax Aware Ultra Short Duration Fund and Global Bond 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.
For more complete information about the Fund, including the Funds objectives, risks, charges and expenses, call your J.P. Morgan team or call 1-212-464-2070 or go to www.sixcirclesfunds.com for a prospectus. Read the prospectus carefully. An investment in this Fund and any other Fund is not designed to be a complete investment program. The Fund is NOT designed to be used as a stand-alone investment. J.P. Morgan is committed to making our products and services accessible to meet the financial services needs of all our clients. If you are a person with a disability and need additional support accessing this material, please contact your J.P. Morgan team or email us at accessibility.support@jpmorgan.com for assistance.