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Six Circles Trust

Filed: 27 Feb 19, 4:48pm
Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

 

 

FORMN-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number:811-23325

 

 

SIX CIRCLES TRUST

On behalf of the following series:

Six Circles U.S. Unconstrained Equity Fund

Six Circles International Unconstrained Equity Fund

Six Circles Tax Aware Ultra Short Duration Fund

Six Circles Ultra Short Duration Fund

(Exact name of registrant as specified in charter)

 

 

270 Park Avenue, New York, NY 10017

(Address of principal executive offices) (Zip Code)

 

 

The Corporation Trust Company

1209 Orange Street

Wilmington, DE 19801

(Name and address of agent for service)

 

 

Registrant’s telephone number, including area code: (212)270-6000

Date of fiscal year end: December 31

Date of reporting period: December 31, 2018

 

 

FormN-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule30e-1 under the Investment Company Act of 1940 (17 CFR270.30e-1). The Commission may use the information provided on FormN-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by FormN-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in FormN-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 

 

 


Table of Contents

Item 1. Report to Stockholders.

 


Table of Contents
 

Annual Report

SIX CIRCLESSM FUNDS

December 31, 2018

Six Circles Ultra Short Duration Fund

Six Circles Tax Aware Ultra Short Duration Fund

Six Circles U.S. Unconstrained Equity Fund

Six Circles International Unconstrained Equity Fund

Beginning on February 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Six Circles Funds’ shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from a Fund. Instead, the reports will be made available on the Funds’ website (www.sixcirclesfunds.com/literature), and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a Fund by contacting your J.P. Morgan representative or by calling us collect at1-212-464-2070.

You may elect to receive all future reports in paper free of charge. You can inform the Funds that you wish to continue receiving paper copies of your shareholder reports by contacting your J.P. Morgan representative or by calling us collect at1-212-464-2070. Your election to receive reports in paper will apply to all Six Circles Funds.

 

   LOGO 


Table of Contents

CONTENTS

 

President’s Letter     1 
Market Overview     2 
Fund Commentaries     3 

Ultra Short Duration Fund

     3 

Tax Aware Ultra Short Duration Fund

     5 

U.S. Unconstrained Equity Fund

     7 

International Unconstrained Equity Fund

     9 
Schedules of Portfolio Investments     11 
Financial Statements     56 
Financial Highlights     68 
Notes to Financial Statements     76 
Report of Independent Registered Public Accounting Firm     92 
Schedule of Shareholder Expenses     93 
Tax information     94 
Trustees and Officers     95 
Board Approval of Investment Advisory Agreement     97 

Privacy Policy — Located at the back of this Annual Report

    

Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.

Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.

For more complete information about the Funds, including the Funds’ objectives, risks, charges and expenses, call your J.P. Morgan representative or call1-212-464-2070 or go to www.sixcirclesfunds.com for a prospectus. Read the prospectus carefully. An investment in these Funds and any other Fund is not designed to be a complete investment program. The Funds are NOT designed to be used as stand-alone investments.


Table of Contents

PRESIDENT’S LETTER

DECEMBER 31, 2018 (Unaudited)

 

Dear Shareholder,

We are pleased to present the Six Circles Funds inaugural annual report for the fiscal year ending December 31, 2018.

In pursuit of better outcomes when managing our clients’ wealth, we are continuously innovating our process to invest in our team and enhance our capabilities. In 2018, J.P. Morgan created Six Circles Funds for exclusive use in its discretionary portfolios.

As markets become more complex, specialization matters more. Each of the Six Circles Funds is designed to play a specific role and provide access to a broader range of strategies and more precise implementation of desired exposures. For example, Six Circles allows the investment team to more precisely implement its views by investing in sub-sectors, such as U.S. Internet & Direct Marketing Retail, where they have stronger conviction versus investing in broad sector indices such as Technology.

J.P. Morgan Private Investments Inc. (“JPMPI”), an affiliate of J.P. Morgan, acts as investment adviser to the Funds and engages third party investment managers assub-advisers to oversee the different exposures in these Funds. JPMPI has partnered with third party managers with demonstrated asset class expertise such as BlackRock Investment Management, LLC (“BlackRock”), Goldman Sachs Asset Management, L.P. (“Goldman”), Pacific Investment Management Company LLC

(“PIMCO”), Mellon Investments Corporation (“Mellon”) (formerly known as BNY Mellon) tosub-advise the Funds in accordance with our investment philosophy.

All of the Six Circles Funds are purposefully constructed as completion funds — designed to be part of your broader investment portfolio — and are not meant to be standalone investments. The Funds are designed to reflect specific regional, sector, and factor exposures and we believe they should be reviewed and evaluated within the broader portfolio context. On the following pages, you will find our Market Overview and Fund Commentaries.

We look forward to managing your investment needs for many years to come. Should you have any questions, please call your J.P. Morgan advisor, visit the Fund’s website at www.sixcirclesfunds.com or call212-464-2070.

Sincerely yours,

 

LOGO

Mary Savino

President, Six Circles Funds

 

 

 
DECEMBER 31, 2018 SIX CIRCLES TRUST    1 


Table of Contents

Market Overview

As Of December 31, 2018 (Unaudited)

 

Global equity markets provided negative returns for 2018. While U.S. equities were negative they largely outperformed developed market and emerging market equities. Bond and cash markets broadly outperformed equity markets; the Bloomberg Barclays Capital U.S. 1-3 Month Treasury Bills Index returned 1.83%, the Bloomberg Barclays Capital Global Aggregate Hedged Index returned 1.76%, while the MSCI World Index returned -8.7%.

After reaching all-time highs in September, U.S. equity markets sold off 14.4% through year end as U.S. and China trade tensions continued and the U.S. government shut down in

December. The global economy is moving from “above trend” to “trend” growth as the effects from fiscal stimulus begin to fade and higher interest rates weigh on economic activity. Corporate profits remain solid across most developed markets, but the rate of earnings growth will likely slow through 2019.

As markets expected, the U.S. Federal Reserve (the “Fed”) raised its benchmark policy rate range by 25 basis points for the fourth time this year to 2.25% - 2.5% at its December meeting. While inflation and unemployment near the Fed’s target rates, continued hiking by the Fed into 2019 will likely be data dependent.

 

 

 
2   SIX CIRCLES TRUST DECEMBER 31, 2018


Table of Contents

Six Circles Ultra Short Duration Fund

FUND COMMENTARY

For the Period July 9, 2018 (Fund Inception Date) Through December 31, 2018 (Unaudited)

 

REPORTING PERIOD RETURN 
Fund (Since Inception)*   0.62% 
Bloomberg Barclays 1-3 Month U.S. T-Bill Index (Since Inception)   1.00% 
Net Assets as of 12/31/2018 (In Thousands)  $1,082,850 
Duration   0.72 years 

 

INVESTMENT OBJECTIVES AND STRATEGY**

Six Circles Ultra Short Duration Fund (the “Fund”) seeks to generate current income consistent with capital preservation. Mainly invests in U.S. dollar and non-U.S. dollar denominated investment grade short-term fixed and floating rate debt securities. Allocates assets among securities with various maturities which, under normal market conditions, will not exceed an average effective portfolio duration of two years.

INVESTMENT APPROACH

The Fund was launched on July 9, 2018. J.P. Morgan Private Investments Inc., the Fund’s investment adviser (“JPMPI” or the “Adviser”) constructs the Fund’s portfolio by allocating the Fund’s assets among investment strategies managed by one or more sub-advisers retained by the Adviser (each a “Sub-Adviser”). The Adviser currently allocates Fund assets to the following Sub-Advisers:

 

 

Goldman Sachs Asset Management, L.P. (“Goldman”)

 

BlackRock Investment Management, LLC (“BlackRock”)

 

Pacific Investment Management Company LLC (“PIMCO”)

The Fund is specifically designed to serve as a completion portfolio and accomplish particular goals within discretionary portfolios managed by JPMPI or its affiliates (the “Portfolios”). The Adviser utilizes the Fund to express targeted investment views, while taking into consideration positions held at the aggregate level in the broader Portfolios. As such, the Fund’s allocations and performance should be evaluated in the context of the broader Portfolios and not on a standalone basis.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

Since its launch on July 9, 2018 through December 31, 2018, the Fund posted a positive return on an absolute basis, but underperformed relative to the Bloomberg Barclays 1-3 Month U.S.T-Bill Index (the “Index”). References to the Index are for informational purposes and are not an indication of how the Fund is managed. The use of the Index does not imply the Fund is being managed to the Index, but rather is disclosed to allow for comparison of the Fund’s performance to that of a well-known and widely recognized index.

By sector composition, Short Term Bonds, Corporate Bonds, and Government Bonds comprised approximately 99% of the

Fund’s exposure on average during the reporting period, and were the Fund’s largest sector overweights relative to the Index. During the reporting period, all three of these sectors contributed to the Fund’s performance on an absolute basis. That said, exposures to Short Term Bonds and Corporate Bonds were the leading detractors from the Fund’s performance relative to the Index. Exposure to Government Bonds did not have significant impact to the Fund’s performance relative to the Index.

HOW WAS THE FUND POSITIONED?

As the Fund was launched on July 9, 2018, changes to the Fund were limited given the brief reporting period. At the end of the reporting period, the Fund’s assets were allocated to three Sub-Advisers across various sectors, credit ratings, maturity buckets, and regional exposures.

The Adviser remains pro-cyclically positioned within the context of the broader Portfolios, while adopting a more cautious investment approach to seek to ensure the appropriate level of risk given the maturing business cycle. The majority of the Fund’s assets were invested into the more liquid segments of the fixed income market, with approximately 94% of the Fund’s assets invested into instruments with maturities of 3 years and under as of December 31, 2018. Within regional exposures, the Adviser currently has higher conviction in U.S. fixed income markets versus international, as domestic yields remain higher than international yields.

 

PORTFOLIO ALLOCATION*** 
Conservative Income (Goldman Sachs)   40
Core Ultra Short (BlackRock)   30 
Global Markets (PIMCO)   30 

 

* The return shown is based on the net asset value calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at December 31, 2018 for financial reporting purposes, and as a result, the net asset value for shareholder transactions and the total return based on that net asset value may differ from the adjusted net assets and the total return for financial reporting.
** The Adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
*** Percentages are based on total investments as of December 31, 2018. The portfolio allocation is subject to change.
 

 

 
DECEMBER 31, 2018 SIX CIRCLES TRUST    3 


Table of Contents

Six Circles Ultra Short Duration Fund

FUND COMMENTARY

For the Period July 9, 2018 (Fund Inception Date) Through December 31, 2018 (Unaudited) (continued)

 

 

GROWTH OF $10,000 REPORT(07/9/18 TO 12/31/18)

 

 

LOGO

The allocation of the various strategies employed by the Fund may shift and therefore, the performance shown may not be a true indication of how the Fund may perform going forward. Performance quoted is past performance and is no guarantee of future results. Investment returns and principal value will fluctuate, so shares, when sold, may be worth more or less than original cost. Current performance may be higher or lower than returns shown. As of the latest prospectus, the gross and net expense ratios for the Fund were 0.55% and 0.40% respectively. Contact your J.P. Morgan representative or call1-212-464-2070 for the most recentmonth-end performance.

The Fund commenced operations on July 9, 2018.

The graph illustrates comparative performance for $10,000 invested in the Six Circles Ultra Short Duration Fund and the Bloomberg Barclays1-3 Month U.S. Treasury Bill Index from July 9, 2018 to December 31, 2018. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg Barclays1-3 Month U.S. Treasury Bill Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The Bloomberg Barclays1-3 Month U.S. Treasury Bill Index measures the performance of Treasury securities and is selected by a Market Value process. Investors cannot invest directly in an index.

Fund performance may reflect the waiver of the Fund’s fees and/or reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or redemptions or sales of Fund shares.

 

 

LOGO

 

 
4   SIX CIRCLES TRUST DECEMBER 31, 2018


Table of Contents

Six Circles Tax Aware Ultra Short Duration Fund

FUND COMMENTARY

For the Period July 9, 2018 (Fund Inception Date) Through December 31, 2018 (Unaudited)

 

REPORTING PERIOD RETURN 
Fund (Since Inception)*   0.48% 
iMoneyNet Tax-Free National Institutional Money Market Fund Average Index (Since Inception)   0.62% 
Net Assets as of 12/31/2018 (In Thousands)  $1,098,004 
Duration   0.63 years 

 

INVESTMENT OBJECTIVES AND STRATEGY**

Six Circles Tax Aware Ultra Short Duration Fund (the “Fund”) seeks to generate current income consistent with capital preservation. Invests at least 50% of its net assets in municipal securities, the income from which is exempt from federal income tax. The Fund also may invest in taxable instruments. Allocates assets among securities with various maturities which, under normal market conditions, will not exceed an average effective portfolio duration of two years.

INVESTMENT APPROACH

The Fund was launched on July 9, 2018. J.P. Morgan Private Investments Inc., the Fund’s investment adviser (“JPMPI” or the “Adviser”) constructs the Fund’s portfolio by allocating the Fund’s assets among investment strategies managed by one or more sub-advisers retained by the Adviser (each a “Sub-Adviser”). The Adviser currently allocates Fund assets to the following Sub-Advisers:

 

 

Goldman Sachs Asset Management, L.P. (“Goldman”)

 

Mellon Investments Corporation (“Mellon”)

 

Pacific Investment Management Company LLC (“PIMCO”)

The Fund is specifically designed to serve as a completion portfolio and accomplish particular goals within discretionary portfolios managed by JPMPI or its affiliates (the “Portfolios”). The Adviser utilizes the Fund to express targeted investment views, while taking into consideration positions held at the aggregate level in the broader Portfolios. As such, the Fund’s allocations and performance should be evaluated in the context of the broader Portfolios and not on a standalone basis.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

Since its launch on July 9, 2018 through December 31, 2018, the Fund posted a positive return on an absolute basis, but underperformed relative to the iMoneyNet Tax-Free National Institutional Money Market Fund Average Index (the “Index”). References to the Index are for informational purposes and are not an indication of how the Fund is managed. The use of the Index does not imply the Fund is being managed to the Index, but rather is disclosed to allow for comparison of the Fund’s performance to that of a well-known and widely recognized index.

While bonds globally outperformed equities in 2018, it was still a challenging year for most segments of the U.S. fixed income market, with U.S. investment grade and high yield corporates

posting negative returns, and the Bloomberg Barclays U.S. Aggregate Index near flat for the year. That said, Municipal Bonds ended the year in the positive territory, rallying towards the end of 2018. By sector composition, Municipal Bonds were the largest sector exposure in the Fund and comprised approximately 67% of the Fund on average during the reporting period. Exposure to the Municipal Bonds sector contributed to the Fund’s performance on an absolute basis. Corporate Bonds comprised approximately 22% of the Fund’s sector exposure on average during the reporting period, and also contributed to the Fund’s performance on an absolute basis.

HOW WAS THE FUND POSITIONED?

As the Fund was launched on July 9, 2018, changes to the Fund were limited given the brief reporting period. At the end of the reporting period, the Fund’s assets were allocated to three Sub-Advisers across various sectors, credit ratings, maturity buckets, and regional exposures.

The Adviser remains pro-cyclically positioned within the context of the broader Portfolios, while adopting a more cautious investment approach to seek to ensure the appropriate level of risk given the maturing business cycle. The majority of the Fund’s assets were invested into the more liquid segments of the fixed income market, with approximately 97% of the Fund’s assets invested into instruments with maturities of 3 years and under as of December 31, 2018. Within regional exposures, the Adviser currently has higher conviction in U.S. fixed income markets versus international, as domestic yields remain higher than international yields.

 

PORTFOLIO ALLOCATION*** 
Municipal Conservative Income (Goldman Sachs)   40
Core Municipal Ultra Short (Mellon)   30 
Global Markets (PIMCO)   30 

 

* The return shown is based on the net asset value calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at December 31, 2018 for financial reporting purposes, and as a result, the net asset value for shareholder transactions and the total return based on that net asset value may differ from the adjusted net assets and the total return for financial reporting.
** The Adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
*** Percentages indicated are based on total investments as of December 31, 2018. The portfolio allocation is subject to change.
 

 

 
DECEMBER 31, 2018 SIX CIRCLES TRUST    5 


Table of Contents

Six Circles Tax Aware Ultra Short Duration Fund

FUND COMMENTARY

For the Period July 9, 2018 (Fund Inception Date) Through December 31, 2018 (Unaudited) (continued)

 

 

GROWTH OF $10,000 REPORT(07/9/18 TO 12/31/18)

 

 

LOGO

The allocation of the various strategies employed by the Fund may shift and therefore, the performance shown may not be a true indication of how the Fund may perform going forward. Performance quoted is past performance and is no guarantee of future results. Investment returns and principal value will fluctuate, so shares, when sold, may be worth more or less than original cost. Current performance may be higher or lower than returns shown. As of the latest prospectus, the gross and net expense ratios for the Fund were 0.56% and 0.40% respectively. Contact your J.P. Morgan representative or call1-212-464-2070 for the most recentmonth-end performance.

The Fund commenced operations on July 9, 2018.

The graph illustrates comparative performance for $10,000 invested in the Six Circles Tax Aware Ultra Short Duration Fund and the iMoneyNetTax-Free National Average Index from July 9, 2018 to December 31, 2018. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the iMoneyNetTax-Free National Average Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The iMoneyNetTax-Free National Average is an average of alltax-free and municipal, U.S.-domiciled institutional and retail money market funds. Investors cannot invest directly in an index.

Fund performance may reflect the waiver of the Fund’s fees and/or reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or redemptions or sales of Fund shares.

 

 

LOGO

 

 
6   SIX CIRCLES TRUST DECEMBER 31, 2018


Table of Contents

Six Circles U.S. Unconstrained Equity Fund

FUND COMMENTARY

For the Period July 9, 2018 (Fund Inception Date) Through December 31, 2018 (Unaudited)

 

REPORTING PERIOD RETURN 
Fund (Since Inception)*   (9.13)% 
MSCI USA Index (Since Inception)   (9.47)% 
Net Assets as of 12/31/2018 (In Thousands)  $4,979,458 

 

INVESTMENT OBJECTIVES AND STRATEGY**

Six Circles U.S. Unconstrained Equity Fund (the “Fund”) seeks to provide capital appreciation. Invests at least 80% of its net assets in equity securities issued by U.S. companies and other instruments with economic characteristics similar to equity securities issued by U.S. companies. The Fund is generally unconstrained by any particular capitalization, style or industry sector.

INVESTMENT APPROACH

The Fund was launched on July 9, 2018. J.P. Morgan Private Investments Inc., the Fund’s investment adviser (“JPMPI” or the “Adviser”), actively allocates the Fund’s investments among a range of indexed investment strategies that are managed by the current sub-adviser, BlackRock Investment Management, LLC (the “Sub-Adviser” or “BlackRock”). For each indexed investment strategy, the Sub-Adviser seeks to replicate the performance of an index or sub-index (“Index”) selected by the Adviser. The Fund is specifically designed to serve as a completion portfolio and accomplish particular goals within discretionary portfolios managed by JPMPI or its affiliates (the “Portfolios”). The Adviser utilizes the Fund to express targeted investment views, while taking into consideration positions held at the aggregate level in the broader Portfolios. As such, the Fund’s allocations and performance should be evaluated in the context of the broader Portfolios and not on a standalone basis.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

In Q4 2018, the U.S. equity market experienced a broad sell-off from its September 2018 highs. Since its launch on July 9, 2018 through December 31, 2018, the Fund posted a negative return on an absolute basis, but outperformed relative to the MSCI USA Index (the “Index”). References to the Index are for informational purposes and are not an indication of how the Fund is managed. The use of the Index does not imply the Fund is being managed to the Index, but rather is disclosed to allow for comparison of the Fund’s performance to that of a well-known and widely recognized index.

Energy, Information Technology, and Healthcare sectors comprised approximately 70% of the Fund’s sector exposure on average during the reporting period, and were the Fund’s largest sector overweights relative to the Index. During the reporting period, all three of these sectors detracted from the Fund’s performance on an absolute basis. That said, exposures

to Information Technology and Healthcare were the largest contributors to the Fund’s outperformance relative to the Index. The Fund’s exposure to the Energy sector detracted from the Fund’s performance relative to the Index.

Financials, Communications Services, and Industrials sectors were the Fund’s largest sector underweights relative to the Index, on average during the reporting period. All three of these sectors detracted from the Fund’s performance on an absolute basis. Relative to the Index, Industrials and Financials exposures contributed to the Fund’s performance. Exposure to Communications Services did not have significant impact to the Fund’s performance relative to the Index. The Fund received cash inflows in October 2018, which took some time to become fully invested. During that short period, equities markets performed well resulting in the Fund’s temporary cash position negatively affecting performance.

HOW WAS THE FUND POSITIONED?

As the Fund was launched on July 9, 2018, changes to the Fund were limited given the brief reporting period. At the end of the reporting period, the Fund was allocated to six strategies managed by one Sub-Adviser, and allocated across various sector and factor exposures as follows:

 

PORTFOLIO ALLOCATION*** 
U.S. Dividend Growth (BlackRock)   42
U.S. Healthcare (BlackRock)   25 
U.S. Information Technology (BlackRock)   13 
U.S. Small Cap (BlackRock)   8 
U.S. Energy (BlackRock)   8 
U.S. Internet & Direct Marketing Retail (BlackRock)   4 

 

* The return shown is based on the net asset value calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at December 31, 2018 for financial reporting purposes, and as a result, the net asset value for shareholder transactions and the total return based on that net asset value may differ from the adjusted net assets and the total return for financial reporting.
** The Adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
*** Percentages indicated are based on total investments as of December 31, 2018. The Fund’s portfolio allocation is subject to change. For a portfolio allocation by industry, please refer to page 49 of the Fund’s Schedule of Investments.
 

 

 
DECEMBER 31, 2018 SIX CIRCLES TRUST    7 


Table of Contents

Six Circles U.S. Unconstrained Equity Fund

FUND COMMENTARY

For the Period July 9, 2018 (Fund Inception Date) Through December 31, 2018 (Unaudited) (continued)

 

Within the context of the broader Portfolios, the Adviser currently believes that the long-term secular growth trends within Technology and Healthcare sectors are attractive positions, with Healthcare serving as a defensive allocation within the Portfolios. Within the Energy sector, the Adviser has conviction in the sustainability of a multi-year capital expenditure rationalization cycle, which the Adviser expects will lead to improving free cash flow generation and returns on capital employed.

The exposure to Dividend Growth acts as a defensive anchor within the broader Portfolios, and is one of the few defensive factors trading at what the Adviser currently believes is a reasonable valuation, while the Small Cap exposure is based on a constructive view on U.S. earnings. Small Cap also helps diversify the sources of growth in the broader Portfolios. The exposure to U.S. Internet & Direct Marketing Retail expresses the Adviser’s current conviction, within the context of the broader Portfolios, in long-term secular growth prospects in Cloud Computing.

GROWTH OF $10,000 REPORT(07/9/18 TO 12/31/18)

 

 

LOGO

The allocation of the various strategies employed by the Fund may shift and therefore, the performance shown may not be a true indication of how the

Fund may perform going forward. Performance quoted is past performance and is no guarantee of future results. Investment returns and principal value will fluctuate, so shares, when sold, may be worth more or less than original cost. Current performance may be higher or lower than returns shown. As of the latest prospectus, the gross and net expense ratios for the Fund were 0.40% and 0.18% respectively. Contact your J.P. Morgan representative or call1-212-464-2070 for the most recentmonth-end performance.

The Fund commenced operations on July 9, 2018.

The graph illustrates comparative performance for $10,000 invested in the Six Circles U.S. Unconstrained Equity Fund and the MSCI USA Index from July 9, 2018 to December 31, 2018. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the MSCI USA Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The MSCI USA Index is designed to measure the performance of the large andmid-cap segments of the U.S. market. With 627 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in the United States. Investors cannot invest directly in an index.

Fund performance may reflect the waiver of the Fund’s fees and/or reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or redemptions or sales of Fund shares.

The MSCI information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used as a basis for or a component of any financial instruments or products or indices. None of the MSCI information is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. Historical data and analysis should not be taken as an indication or guarantee of any future performance analysis, forecast or prediction. The MSCI information is provided on an “as is” basis and the user of this information assumes the entire risk of any use made of this information. MSCI, each of its affiliates and each other person involved in or related to compiling, computing or creating any MSCI information (collectively, the “MSCI Parties”) expressly disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness,non-infringement, merchantability and fitness for a particular purpose) with respect this information. Without limiting any of the foregoing, in no event shall any MSCI Party have any liability for any direct, indirect, special, incidental, punitive, consequential (including, without limitation, lost profits) or any other damages. (www.msci.com)

 

 

LOGO

 

 
8   SIX CIRCLES TRUST DECEMBER 31, 2018


Table of Contents

Six Circles International Unconstrained Equity Fund

FUND COMMENTARY

For the Period July 9, 2018 (Fund Inception Date) Through December 31, 2018 (Unaudited)

 

REPORTING PERIOD RETURN 
Fund (Since Inception)*   (16.83)% 
MSCI World ex USA Index (Since Inception)**   (12.80)% 
Net Assets as of 12/31/2018 (In Thousands)  $2,504,508 

 

INVESTMENT OBJECTIVES AND STRATEGY**

Six Circles International Unconstrained Equity Fund (the “Fund”) seeks to provide capital appreciation. Invests at least 80% of its net assets in equity securities and other instruments with economic characteristics similar to equity securities. Primarily invests in the equity securities of non-U.S. companies and is generally unconstrained by any particular capitalization, style or sector or non-U.S. country.

INVESTMENT APPROACH

The Fund was launched on July 9, 2018. J.P. Morgan Private Investments Inc., the Fund’s investment adviser (“JPMPI” or the “Adviser”), actively allocates the Fund’s investments among a range of indexed investment strategies that are managed by the current sub-adviser, BlackRock Investment Management, LLC (the “Sub-Adviser” or “BlackRock”). For each indexed investment strategy, the Sub-Adviser seeks to replicate the performance of an index or sub-index (“Index”) selected by the Adviser. The Fund is specifically designed to serve as a completion portfolio and accomplish particular goals within discretionary portfolios managed by JPMPI or its affiliates (the “Portfolios”). The Adviser utilizes the Fund to express targeted investment views, while taking into consideration positions held at the aggregate level in the Portfolios. As such, the Fund’s allocations and performance should be evaluated in the context of the broader Portfolios and not on a standalone basis.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

2018 was a challenging year for non-U.S. developed equity markets, with returns in the negative territory most months of the year. Since its launch on July 9, 2018 through December 31, 2018, the Fund posted a negative return on an absolute basis, and underperformed the MSCI World ex USA Index (the “Index”). References to the Index are for informational purposes and are not an indication of how the Fund is managed. The use of the Index does not imply the Fund is being managed to the Index, but rather is disclosed to allow for comparison of the Fund’s performance to that of a well-known and widely recognized index.

Consumer Discretionary, Energy, and Materials sectors were the largest sector overweights in the Fund relative to the Index, on average during the reporting period. All three of these sectors detracted from the Fund’s performance on an absolute basis. Exposures to these sectors also detracted from the Fund’s performance relative to the Index.

The Fund’s exposure to Financials, Consumer Staples, and Healthcare were the largest sector underweights in the Fund relative to

the Index. All three of these sectors detracted from the Fund’s performance on an absolute basis. Relative to the Index, Healthcare and Consumer Staples exposures detracted from the Fund’s performance. Exposure to Financials did not have significant impact to the Fund’s performance relative to the Index.

The Fund’s exposure to the UK and France comprised approximately 41% of the Fund’s country exposure on average during the reporting period, and were the Fund’s largest country overweights relative to the Index. During the reporting period, both of these country exposures detracted from the Fund’s performance on an absolute basis, and also detracted from the Fund’s performance relative to the Index.

The Fund’s exposure to Japan was the largest country underweight in the Fund relative to the Index. While Japan exposure detracted from the Fund’s performance on an absolute basis, it was a contributor to the Fund’s performance relative to the Index. The Fund received cash inflows in October 2018, which took some time to become fully invested. During that short period, equities markets performed well resulting in the Fund’s temporary cash position negatively affecting performance.

HOW WAS THE FUND POSITIONED?

As the Fund was launched on July 9, 2018, changes to the Fund were limited given the brief reporting period. At the end of the reporting period, the Fund was allocated to four strategies managed by one Sub-Adviser, and allocated across sector and factor exposures as follows:

 

PORTFOLIO ALLOCATION*** 
Europe Mid Cap (BlackRock)   42
Europe Momentum (BlackRock)   33 
Europe Energy (BlackRock)   17 
Europe Enhanced Value (BlackRock)   8 

 

* The return shown is based on the net asset value calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at December 31, 2018 for financial reporting purposes, and as a result, the net asset value for shareholder transactions and the total return based on that net asset value may differ from the adjusted net assets and the total return for financial reporting.
** The Adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
*** Percentages indicated are based on total investments as of December 31, 2018. The Fund’s portfolio allocation is subject to change. For a portfolio allocation by industry, please refer to page 55 of the Fund’s Schedule of Investments.
 

 

 
DECEMBER 31, 2018 SIX CIRCLES TRUST    9 


Table of Contents

Six Circles International Unconstrained Equity Fund

FUND COMMENTARY

For the Period July 9, 2018 (Fund Inception Date) Through December 31, 2018 (Unaudited) (continued)

 

 

Within the broader context of the Portfolios, the Adviser currently believes that Europe Momentum is an attractive allocation that could outperform in the later part of business cycle and offers higher risk-adjusted returns among European style factors. The Adviser currently believes Europe Enhanced Value and Europe Mid Cap allocations have attractive relative valuations and complement other exposures within the broader Portfolios. Within the Energy sector, the Adviser currently has conviction in the sustainability of a multi-year capital expenditure rationalization cycle, which the Adviser expects will lead to improving free cash flow generation and returns on capital employed.

GROWTH OF $10,000 REPORT(07/9/18 TO 12/31/18)

 

 

LOGO

The allocation of the various strategies employed by the Fund may shift and therefore, the performance shown may not be a true indication of how the Fund may perform going forward. Performance quoted is past performance and is no guarantee of future results. Investment returns and principal value will fluctuate, so shares, when sold, may be worth more or less than original cost. Current performance may be higher or lower than returns shown. As of the latest prospectus, the gross and net expense ratios for the Fund were 0.41% and 0.20% respectively. Contact your J.P. Morgan representative or call1-212-464-2070 for the most recentmonth-end performance.

The Fund commenced operations on July 9, 2018.

The graph illustrates comparative performance for $10,000 invested in the Six Circles International Unconstrained Equity Fund and the MSCI Worldex-USA Index from July 9, 2018 to December 31, 2018. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the MSCI Worldex-USA Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The MSCI World ex USA Index captures large andmid-cap representation across 22 of 23 Developed Markets (DM) countries*—excluding the United States. With 1,016 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country. Investors cannot invest directly in an index.

Fund performance may reflect the waiver of the Fund’s fees and/or reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or redemptions or sales of Fund shares.

International investing has a greater degree of risk and increased volatility due to political and economic instability of some overseas markets. Changes in currency exchange rates and different accounting and taxation policies outside the U.S. can affect returns.

The MSCI information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used as a basis for or a component of any financial instruments or products or indices. None of the MSCI information is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. Historical data and analysis should not be taken as an indication or guarantee of any future performance analysis, forecast or prediction. The MSCI information is provided on an “as is” basis and the user of this information assumes the entire risk of any use made of this information. MSCI, each of its affiliates and each other person involved in or related to compiling, computing or creating any MSCI information (collectively, the “MSCI Parties”) expressly disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness,non-infringement, merchantability and fitness for a particular purpose) with respect this information. Without limiting any of the foregoing, in no event shall any MSCI Party have any liability for any direct, indirect, special, incidental, punitive, consequential (including, without limitation, lost profits) or any other damages. (www.msci.com)

 

 

LOGO

 

 
10   SIX CIRCLES TRUST DECEMBER 31, 2018


Table of Contents

Six Circles Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2018

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands, except number of Futures contracts)

 

SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 

Asset-Backed Securities — 9.6%

  

Ally Auto Receivables Trust, Series 2018-3, Class A2, 2.72%, 05/17/2021

  2,000   1,997 

American Express Credit Account Master Trust, Series 2017-4, Class A, 1.64%, 12/15/2021

  3,500   3,484 

Anchorage Capital CLO 7 Ltd., (Cayman Islands), Series 2015-7A, Class AR, (ICE LIBOR USD 3 Month + 0.96%), 3.40%, 10/15/2027 (e) (aa)

  577   573 

Anchorage Capital CLO 8 Ltd., (Cayman Islands), Series 2016-8A, Class AR, (ICE LIBOR USD 3 Month + 1.00%), 3.51%, 07/28/2028 (e) (aa)

  1,850   1,828 

Atlas Senior Loan Fund III Ltd., (Cayman Islands), Series 2013-1A, Class AR, (ICE LIBOR USD 3 Month + 0.83%), 3.47%, 11/17/2027 (e) (aa)

  595   586 

Atrium XII, (Cayman Islands), Series 12A, Class AR, (ICE LIBOR USD 3 Month + 0.83%), 3.30%, 04/22/2027 (e) (aa)

  1,000   987 

BA Credit Card Trust, Series 2017-A2, Class A2, 1.84%, 01/17/2023

  2,010   1,974 

Bank of The West Auto Trust, Series 2018-1, Class A2, 3.09%, 04/15/2021 (e)

  3,000   3,002 

BlueMountain CLO Ltd., (Cayman Islands), Series 2012-2A, Class AR2, (ICE LIBOR USD 3 Month + 1.05%), 3.69%, 11/20/2028 (e) (aa)

  2,100   2,087 

Capital One Multi-Asset Execution Trust,

  

Series 2016-A3, Class A3, 1.34%, 04/15/2022

  1,830   1,816 

Series 2016-A4, Class A4, 1.33%, 06/15/2022

  1,500   1,485 

Series 2016-A6, Class A6, 1.82%, 09/15/2022

  2,542   2,517 

CBAM Ltd., (Cayman Islands), Series 2017-3A, Class A, (ICE LIBOR USD 3 Month + 1.23%), 3.68%, 10/17/2029 (e) (aa)

  1,140   1,132 

Chesapeake Funding II LLC, Series 2016-2A, Class A1, 1.88%, 06/15/2028 (e)

  2,598   2,587 

Chrysler Capital Auto Receivables Trust, Series 2016-BA, Class A4, 1.87%, 02/15/2022 (e)

  1,800   1,781 

Citibank Credit Card Issuance Trust,

  

Series 2014-A6, Class A6, 2.15%, 07/15/2021

  2,000   1,992 

Series 2016-A1, Class A1, 1.75%, 11/19/2021

  2,000   1,979 

Series 2017-A2, Class A2, 1.74%, 01/19/2021

  2,000   1,998 

Series 2017-A8, Class A8, 1.86%, 08/08/2022

  1,185   1,166 

Discover Card Execution Note Trust,

  

Series 2014-A4, Class A4, 2.12%, 12/15/2021

  720   717 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 
  

Series 2016-A4, Class A4, 1.39%, 03/15/2022

  2,335   2,310 

Dryden 33 Senior Loan Fund, (Cayman Islands), Series 2014-33A, Class AR, (ICE LIBOR USD 3 Month + 1.43%), 3.87%, 10/15/2028 (e) (aa)

  250   249 

Ford Credit Auto Owner Trust, Series 2016-C, Class A3, 1.22%, 03/15/2021

  1,053   1,043 

Ford Credit Floorplan Master Owner Trust A,

  

Series 2015-2, Class A1, 1.98%, 01/15/2022

  2,206   2,182 

Series 2016-3, Class A1, 1.55%, 07/15/2021

  2,585   2,565 

Series 2018-3, Class A2, (ICE LIBOR USD 1 Month + 0.40%), 2.86%, 10/15/2023 (aa)

  3,000   2,993 

GMF Floorplan Owner Revolving Trust, Series 2016-1, Class A2, (ICE LIBOR USD 1 Month + 0.85%), 3.31%, 05/17/2021 (e) (aa)

  3,400   3,407 

Gracechurch Card Funding plc, (United Kingdom), Series 2018-1A, Class A, (ICE LIBOR USD 1 Month + 0.40%), 2.86%, 07/15/2022 (e) (aa)

  200   200 

GS Mortgage Securities Trust, Series 2010-C1, Class A2, 4.59%, 08/10/2043 (e)

  3,000   3,058 

Home Equity Asset Trust, Series 2005-8, Class M1, (ICE LIBOR USD 1 Month + 0.43%), 2.94%, 02/25/2036 (aa)

  2,420   2,419 

Marlette Funding Trust, Series 2018-4A, Class A, 3.71%, 12/15/2028 (e)

  1,170   1,173 

Mercedes-Benz Auto Receivables Trust, Series 2018-1, Class A1, 2.35%, 08/15/2019

  24   24 

MMAF Equipment Finance LLC, Series 2016-AA, Class A3, 1.48%, 06/15/2020 (e)

  2,510   2,495 

Navient Private Education Refi Loan Trust,

  

Series 2018-A, Class A1, 2.53%, 02/18/2042 (e)

  1,864   1,850 

Series 2018-CA, Class A1, 3.01%, 06/16/2042 (e)

  2,990   2,981 

Navient Student Loan Trust, Series 2018-EA, Class A1, 3.43%, 12/15/2059 (e)

  3,000   3,013 

Neuberger Berman Loan Advisers CLO 26 Ltd., (Cayman Islands), Series 2017-26A, Class A, (ICE LIBOR USD 3 Month + 1.17%), 3.61%, 10/18/2030 (e) (aa)

  1,900   1,880 

Octagon Investment Partners 24 Ltd., (Cayman Islands), Series 2015-1A, Class A1R, (ICE LIBOR USD 3 Month + 0.90%), 3.55%, 05/21/2027 (e) (aa)

  710   704 

OneMain Direct Auto Receivables Trust, Series 2017-2A, Class A, 2.31%, 12/14/2021 (e)

  2,080   2,067 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2018 SIX CIRCLES TRUST    11 


Table of Contents

Six Circles Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2018 (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

  

OZLM VIII Ltd., (Cayman Islands),Series 2014-8A, Class A1RR, (ICE LIBOR USD 3 Month + 1.17%), 3.63%, 10/17/2029 (e) (aa)

  1,180   1,174 

OZLM XII Ltd., (Cayman Islands),Series 2015-12A, Class A1R, (ICE LIBOR USD 3 Month + 1.05%), 3.57%, 04/30/2027 (e) (aa)

  250   248 

Palmer Square Loan Funding Ltd., (Cayman Islands), Series 2018-5A, Class A1, (ICE LIBOR USD 3 Month + 0.85%), 3.32%, 01/20/2027 (e) (aa)

  2,000   1,992 

PFS Financing Corp., Series 2018-C, Class A, (ICE LIBOR USD 1 Month + 0.48%), 2.94%, 04/15/2022 (e) (aa)

  1,430   1,426 

Santander Drive Auto Receivables Trust, Series 2018-5, Class A3, 3.19%, 03/15/2022

  430   429 

Securitized Term Auto Receivables Trust, (Canada), Series 2018-2A, Class A2A, 3.06%, 02/25/2021 (e)

  1,500   1,500 

SLC Student Loan Trust, Series 2005-1, Class A3, (ICE LIBOR USD 3 Month + 0.10%), 2.72%, 02/15/2025 (aa)

  2,858   2,856 

SLM Student Loan Trust, Series 2003-10A, Class A3, (ICE LIBOR USD 3 Month + 0.47%), 3.26%, 12/15/2027 (e) (aa)

  2,660   2,657 

SMB Private Education Loan Trust,

  

Series 2015-A, Class A2A, 2.49%, 06/15/2027 (e)

  3,057   3,014 

Series 2015-B, Class A2A, 2.98%, 07/15/2027 (e)

  1,995   1,992 

Series 2018-A, Class A1, (ICE LIBOR USD 1 Month + 0.35%), 2.81%, 03/16/2026 (e) (aa)

  1,951   1,950 

Series 2018-B, Class A1, (ICE LIBOR USD 1 Month + 0.32%), 2.78%, 12/16/2024 (e) (aa)

  1,447   1,446 

Series 2018-C, Class A1, (ICE LIBOR USD 1 Month + 0.30%), 2.76%, 09/15/2025 (e) (aa)

  2,497   2,492 

Sofi Professional Loan Program LLC, Series 2018-A, Class A2A, 2.39%, 02/25/2042 (e)

  2,082   2,064 

Venture XVIII CLO Ltd., (Cayman Islands), Series 2014-18A, Class AR, (ICE LIBOR USD 3 Month + 1.22%), 3.66%, 10/15/2029 (e) (aa)

  2,100   2,089 

Volkswagen Auto Loan Enhanced Trust, Series 2018-2, Class A2A, 3.05%, 08/20/2021

  3,000   3,004 

Wheels SPV 2 LLC, Series 2017-1A, Class A2, 1.88%, 04/20/2026 (e)

  1,321   1,311 
  

 

 

 

Total Asset-Backed Securities
(Cost $104,019)

   103,945 
  

 

 

 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 

Certificates of Deposit — 0.3%

  

Financial — 0.3%

  

Banks — 0.3%

  

Bank of Montreal, (Canada), (ICE LIBOR USD 3 Month + 0.25%), 3.05%, 03/18/2019 (aa)

  250   250 

Canadian Imperial Bank of Commerce, (Canada), (ICE LIBOR USD 3 Month + 0.33%), 3.04%, 05/29/2019 (aa)

  1,000   1,001 

Nordea Bank Abp, (Sweden), (ICE LIBOR USD 3 Month + 0.30%), 3.05%, 06/05/2020 (aa)

  2,000   2,002 
  

 

 

 

Total Financial

   3,253 
  

 

 

 

Total Certificates of Deposit
(Cost $3,251)

   3,253 
  

 

 

 

Collateralized Mortgage Obligations — 0.8%

  

FNMA REMICS, Series 2018-86, Class FN, (ICE LIBOR USD 1 Month + 0.35%), 2.66%, 12/25/2048 (aa)

  2,937   2,930 

GNMA,

  

Series 2015-H04, Class FA, (ICE LIBOR USD 1 Month + 0.65%), 2.96%, 12/20/2064 (aa)

  2,214   2,227 

Series 2018-H18, Class FC, (ICE LIBOR USD 1 Month + 0.35%), 2.66%, 08/20/2065 (aa)

  3,001   2,990 
  

 

 

 

Total Collateralized Mortgage Obligations
(Cost $8,150)

   8,147 
  

 

 

 

Commercial Mortgage-Backed Securities — 1.9%

 

AREIT Trust, Series 2018-CRE2, Class A, (ICE LIBOR USD 1 Month + 0.98%), 3.29%, 11/14/2035 (e) (aa)

  2,500   2,500 

BX Commercial Mortgage Trust,Series 2018-IND, Class A, (ICE LIBOR USD 1 Month + 0.75%), 3.21%, 11/15/2035 (e) (aa)

  3,395   3,374 

COMM Mortgage Trust, Series 2015-LC19, Class A2, 2.79%, 02/10/2048

  2,490   2,483 

GPMT Ltd., (Cayman Islands), Series 2018-FL1, Class A, (ICE LIBOR USD 1 Month + 0.90%), 3.38%, 11/21/2035 (e) (aa)

  1,500   1,500 

GS Mortgage Securities Trust,

  

Series 2011-GC5, Class A3, 3.82%, 08/10/2044

  2,058   2,064 

Series 2013-GC14, Class A3, 3.53%, 08/10/2046

  2,177   2,186 

Series 2014-GC24, Class A2, 3.10%, 09/10/2047

  1,000   1,000 

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class A2, 3.10%, 12/15/2047

  3,065   3,064 

VMC Finance LLC, Series 2018-FL2, Class A, 3.39%, 10/15/2035 (e) (aa)

  2,200   2,195 
  

 

 

 

Total Commercial Mortgage-Backed Securities
(Cost $20,390)

   20,366 
  

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
12   SIX CIRCLES TRUST DECEMBER 31, 2018


Table of Contents
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 

Corporate Bonds — 46.2%

  

Basic Materials — 0.4%

  

Chemicals — 0.4%

  

DowDuPont, Inc., (ICE LIBOR USD 3 Month + 0.71%), 3.42%, 11/15/2020 (aa)

  1,500   1,499 

Incitec Pivot Finance LLC, Reg. S, 6.00%, 12/10/2019

  200   204 

Sherwin-Williams Co. (The), 2.25%, 05/15/2020

  1,910   1,882 
  

 

 

 
   3,585 
  

 

 

 

Forest Products & Paper — 0.0%(g)

  

Georgia-Pacific LLC, 5.40%, 11/01/2020 (e)

  200   207 
  

 

 

 

Total Basic Materials

   3,792 
  

 

 

 

Communications — 3.2%

  

Advertising — 0.0%(g)

  

Interpublic Group of Cos., Inc. (The), 3.50%, 10/01/2020

  15   15 
  

 

 

 

Internet — 0.3%

  

eBay, Inc., (ICE LIBOR USD 3 Month + 0.48%), 3.02%, 08/01/2019 (aa)

  3,400   3,397 
  

 

 

 

Media — 1.1%

  

Charter Communications Operating LLC / Charter Communications Operating Capital, 3.58%, 07/23/2020

  1,000   999 

Comcast Corp., (ICE LIBOR USD 3 Month + 0.44%), 3.24%, 10/01/2021 (aa)

  4,100   4,061 

Discovery Communications LLC,

  

2.20%, 09/20/2019

  200   198 

(ICE LIBOR USD 3 Month + 0.71%), 3.50%, 09/20/2019 (aa)

  700   699 

NBCUniversal Enterprise, Inc.,

  

1.97%, 04/15/2019 (e)

  3,081   3,072 

(ICE LIBOR USD 3 Month + 0.40%), 3.20%, 04/01/2021 (e) (aa)

  1,000   990 

Time Warner Cable LLC, 8.25%, 04/01/2019

  2,000   2,022 
  

 

 

 
   12,041 
  

 

 

 

Telecommunications — 1.8%

  

America Movil SAB de CV, (Mexico), 5.00%, 03/30/2020

  2,500   2,543 

AT&T, Inc.,

  

2.45%, 06/30/2020

  1,060   1,046 

(ICE LIBOR USD 3 Month + 0.75%), 3.49%, 06/01/2021 (aa)

  1,810   1,799 

Cisco Systems, Inc., (ICE LIBOR USD 3 Month + 0.50%), 3.24%, 03/01/2019 (aa)

  652   652 

Deutsche Telekom International Finance BV, (Netherlands), 2.23%, 01/17/2020 (e)

  750   741 

Ooredoo International Finance Ltd., (Bermuda), Reg. S, 7.88%, 06/10/2019

  1,250   1,275 

Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC, 3.36%, 09/20/2021 (e)

  325   321 

Telefonica Emisiones SA, (Spain), 5.88%, 07/15/2019

  3,400   3,441 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 
  

Telecommunications — continued

  

Verizon Communications, Inc.,

  

(ICE LIBOR USD 3 Month + 0.37%), 2.99%, 08/15/2019 (aa)

  200   200 

(ICE LIBOR USD 3 Month + 0.55%), 3.20%, 05/22/2020 (aa)

  1,200   1,197 

3.45%, 03/15/2021

  2,000   2,013 

Vodafone Group plc, (United Kingdom), (ICE LIBOR USD 3 Month + 0.99%), 3.43%, 01/16/2024 (aa)

  3,800   3,708 
  

 

 

 
   18,936 
  

 

 

 

Total Communications

   34,389 
  

 

 

 

Consumer Cyclical — 5.2%

  

Airlines — 0.0%(g)

  

Delta Air Lines, Inc., 2.88%, 03/13/2020

  200   199 

Southwest Airlines Co., 2.75%, 11/06/2019

  150   149 
  

 

 

 
   348 
  

 

 

 

Auto Manufacturers — 4.7%

  

American Honda Finance Corp.,

  

2.45%, 09/24/2020

  550   543 

(ICE LIBOR USD 3 Month + 0.15%), 2.77%, 11/13/2019 (aa)

  2,750   2,746 

(ICE LIBOR USD 3 Month + 0.35%), 2.93%, 11/05/2021 (aa)

  300   296 

BMW US Capital LLC,

  

1.50%, 04/11/2019 (e)

  3,000   2,988 

(ICE LIBOR USD 3 Month + 0.41%), 2.84%, 04/12/2021 (e) (aa)

  100   99 

(ICE LIBOR USD 3 Month + 0.50%), 3.12%, 08/13/2021 (e) (aa)

  3,400   3,368 

3.25%, 08/14/2020 (e)

  200   200 

Daimler Finance North America LLC,

  

1.50%, 07/05/2019 (e)

  700   693 

(ICE LIBOR USD 3 Month + 0.39%), 2.97%, 05/04/2020 (e) (aa)

  3,400   3,381 

(ICE LIBOR USD 3 Month + 0.63%), 3.04%, 01/06/2020 (e) (aa)

  5,735   5,732 

Ford Motor Credit Co. LLC,

  

2.02%, 05/03/2019

  1,000   996 

2.34%, 11/02/2020

  600   577 

2.43%, 06/12/2020

  200   195 

2.60%, 11/04/2019

  2,800   2,769 

2.94%, 01/08/2019

  200   200 

(ICE LIBOR USD 3 Month + 0.43%), 2.99%, 11/02/2020 (aa)

  1,000   972 

(ICE LIBOR USD 3 Month + 1.00%), 3.41%, 01/09/2020 (aa)

  1,500   1,485 

General Motors Financial Co., Inc.,

  

2.40%, 05/09/2019

  1,200   1,195 

2.45%, 11/06/2020

  500   486 

(ICE LIBOR USD 3 Month + 0.54%), 3.13%, 11/06/2020 (aa)

  500   491 

(ICE LIBOR USD 3 Month + 0.85%), 3.26%, 04/09/2021 (aa)

  1,000   977 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2018 SIX CIRCLES TRUST    13 


Table of Contents

Six Circles Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2018 (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

  

(ICE LIBOR USD 3 Month + 0.93%), 3.37%, 04/13/2020 (aa)

  1,000   994 

3.50%, 07/10/2019

  2,900   2,899 

(ICE LIBOR USD 3 Month + 1.10%), 3.69%, 11/06/2021 (aa)

  730   711 

Harley-Davidson Financial Services, Inc., 2.15%, 02/26/2020 (e)

  1,500   1,477 

Hyundai Capital America,

  

2.60%, 03/19/2020 (e)

  800   789 

(ICE LIBOR USD 3 Month + 0.80%), 3.61%, 04/03/2020 (e) (aa)

  100   100 

(ICE LIBOR USD 3 Month + 1.00%), 3.80%, 09/18/2020 (e) (aa)

  100   100 

Hyundai Capital America, Reg. S, (ICE LIBOR USD 3 Month + 0.82%), 3.60%, 03/12/2021 (aa)

  2,200   2,183 

Nissan Motor Acceptance Corp.,

  

(ICE LIBOR USD 3 Month + 0.65%), 3.09%, 07/13/2022 (e) (aa)

  1,500   1,458 

(ICE LIBOR USD 3 Month + 0.52%), 3.31%, 03/15/2021 (e) (aa)

  200   197 

(ICE LIBOR USD 3 Month + 0.89%), 3.33%, 01/13/2022 (e) (aa)

  40   39 

(ICE LIBOR USD 3 Month + 0.69%), 3.50%, 09/28/2022 (e) (aa)

  1,800   1,744 

Nissan Motor Acceptance Corp., Reg. S, (ICE LIBOR USD 3 Month + 0.39%), 3.20%, 09/28/2020 (aa)

  800   791 

Toyota Motor Credit Corp.,

  

(ICE LIBOR USD 3 Month + 0.10%), 2.51%, 01/10/2020 (aa)

  1,200   1,198 

(ICE LIBOR USD 3 Month + 0.28%), 2.72%, 04/13/2021 (aa)

  500   496 

(ICE LIBOR USD 3 Month + 0.14%), 2.75%, 11/14/2019 (aa)

  3,000   2,995 

(ICE LIBOR USD 3 Month + 0.44%), 2.88%, 10/18/2019 (aa)

  1,450   1,451 

(ICE LIBOR USD 3 Month + 0.82%), 3.46%, 02/19/2019 (aa)

  645   645 

Volkswagen Group of America Finance LLC, 2.13%, 05/23/2019 (e)

  200   199 
  

 

 

 
   50,855 
  

 

 

 

Auto Parts & Equipment — 0.1%

  

ZF North America Capital, Inc., 4.00%, 04/29/2020 (e)

  650   647 
  

 

 

 

Retail — 0.4%

  

McDonald’s Corp., Series CO, (ICE LIBOR USD 3 Month + 0.43%), 2.94%, 10/28/2021 (aa)

  1,000   993 

Walgreens Boots Alliance, Inc., 2.70%, 11/18/2019

  3,950   3,928 
  

 

 

 
   4,921 
  

 

 

 

Total Consumer Cyclical

   56,771 
  

 

 

 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 
  

Consumer Non-cyclical — 8.6%

  

Agriculture — 0.8%

  

BAT Capital Corp.,

  

2.30%, 08/14/2020

  3,720   3,633 

(ICE LIBOR USD 3 Month + 0.88%), 3.50%, 08/15/2022 (aa)

  3,200   3,168 

Imperial Brands Finance plc, (United Kingdom), 2.95%, 07/21/2020 (e)

  1,000   985 

Reynolds American, Inc.,

  

4.00%, 06/12/2022

  300   297 

8.13%, 06/23/2019

  200   204 
  

 

 

 
   8,287 
  

 

 

 

Beverages — 0.1%

  

Anheuser-Busch InBev Finance, Inc., 2.65%, 02/01/2021

  528   519 
  

 

 

 

Biotechnology — 1.3%

  

Amgen, Inc.,

  

1.90%, 05/10/2019

  1,500   1,493 

(ICE LIBOR USD 3 Month + 0.45%), 3.06%, 05/11/2020 (aa)

  950   949 

Gilead Sciences, Inc.,

  

1.85%, 09/20/2019

  4,000   3,964 

2.55%, 09/01/2020

  1,000   992 

(ICE LIBOR USD 3 Month + 0.22%), 3.01%, 03/20/2019 (aa)

  6,200   6,199 
  

 

 

 
   13,597 
  

 

 

 

Commercial Services — 1.5%

  

Central Nippon Expressway Co. Ltd., (Japan), Reg. S,

  

2.36%, 05/28/2021

  10,000   9,766 

2.38%, 09/17/2020

  500   491 

(ICE LIBOR USD 3 Month + 0.56%), 3.12%, 11/02/2021 (aa)

  3,600   3,572 

Equifax, Inc., (ICE LIBOR USD 3 Month + 0.87%), 3.49%, 08/15/2021 (aa)

  2,800   2,768 
  

 

 

 
   16,597 
  

 

 

 

Cosmetics/Personal Care — 0.3%

  

Unilever Capital Corp., 4.80%, 02/15/2019

  3,500   3,507 
  

 

 

 

Food — 0.5%

  

General Mills, Inc., (ICE LIBOR USD 3 Month + 0.54%), 2.98%, 04/16/2021 (aa)

  1,840   1,812 

Mondelez International Holdings Netherlands BV, (Netherlands), (ICE LIBOR USD 3 Month + 0.61%), 3.12%, 10/28/2019 (e) (aa)

  1,500   1,499 

Tyson Foods, Inc.,

  

(ICE LIBOR USD 3 Month + 0.45%), 3.10%, 08/21/2020 (aa)

  150   148 

(ICE LIBOR USD 3 Month + 0.55%), 3.29%, 06/02/2020 (aa)

  500   497 

Wm Wrigley Jr Co.,

  

2.90%, 10/21/2019 (e)

  1,000   999 

3.38%, 10/21/2020 (e)

  500   501 
  

 

 

 
   5,456 
  

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
14   SIX CIRCLES TRUST DECEMBER 31, 2018


Table of Contents
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 

Corporate Bonds — continued

  

Healthcare — Services — 0.5%

  

Cigna Corp.,

  

(ICE LIBOR USD 3 Month + 0.35%), 3.14%, 03/17/2020 (e) (aa)

  2,000   1,987 

3.20%, 09/17/2020 (e)

  555   553 

Dignity Health, 2.64%, 11/01/2019

  3,000   2,982 
  

 

 

 
   5,522 
  

 

 

 

Pharmaceuticals — 3.6%

  

AbbVie, Inc., 2.50%, 05/14/2020

  3,090   3,061 

Allergan Funding SCS, (Luxembourg), 3.00%, 03/12/2020

  5,480   5,460 

Bayer US Finance II LLC,

  

(ICE LIBOR USD 3 Month + 0.63%), 3.45%, 06/25/2021 (e) (aa)

  1,150   1,135 

(ICE LIBOR USD 3 Month + 1.01%), 3.80%, 12/15/2023 (e) (aa)

  3,400   3,254 

CVS Health Corp.,

  

2.80%, 07/20/2020

  1,000   991 

3.13%, 03/09/2020

  3,400   3,393 

(ICE LIBOR USD 3 Month + 0.63%), 3.40%, 03/09/2020 (aa)

  1,000   998 

(ICE LIBOR USD 3 Month + 0.72%), 3.49%, 03/09/2021 (aa)

  3,580   3,552 

GlaxoSmithKline Capital plc, (United Kingdom), (ICE LIBOR USD 3 Month + 0.35%), 2.96%, 05/14/2021 (aa)

  750   745 

Mylan NV, (Netherlands), 2.50%, 06/07/2019

  3,400   3,384 

Novartis Securities Investment Ltd., (Bermuda), 5.13%, 02/10/2019

  3,750   3,758 

Shire Acquisitions Investments Ireland DAC, (Ireland),

  

1.90%, 09/23/2019

  9,850   9,711 

2.40%, 09/23/2021

  40   39 
  

 

 

 
   39,481 
  

 

 

 

Total Consumer Non-cyclical

   92,966 
  

 

 

 

Diversified — 0.0%(g)

  

Holding Companies — 0.0%(g)

  

CK Hutchison International 17 II Ltd., (Cayman Islands), 2.25%, 09/29/2020 (e)

  200   197 
  

 

 

 

Energy — 2.7%

  

Coal — 0.0%(g)

  

China Shenhua Overseas Capital Co. Ltd., (British Virgin Islands), Reg. S, 3.13%, 01/20/2020

  510   507 
  

 

 

 

Oil & Gas — 1.8%

  

CNOOC Finance 2015 Australia Pty Ltd., (Australia), 2.63%, 05/05/2020

  1,250   1,238 

Encana Corp., (Canada), 6.50%, 05/15/2019

  2,500   2,526 

EQT Corp., 8.13%, 06/01/2019

  200   203 

ONGC Videsh Ltd., (India), Reg. S, 3.25%, 07/15/2019

  200   200 

Petroleos Mexicanos, (Mexico), 8.00%, 05/03/2019

  3,000   3,033 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 
  

Oil & Gas — continued

  

Petronas Capital Ltd., (Malaysia), 5.25%, 08/12/2019 (e)

  3,000   3,035 

Petronas Global Sukuk Ltd., (Malaysia), Reg. S, 2.71%, 03/18/2020

  200   199 

Shell International Finance BV, (Netherlands), (ICE LIBOR USD 3 Month + 0.35%), 3.13%, 09/12/2019 (aa)

  4,316   4,319 

Sinopec Group Overseas Development 2016 Ltd., (British Virgin Islands), 2.13%, 05/03/2019 (e)

  3,400   3,388 

Total Capital International SA, (France), (ICE LIBOR USD 3 Month + 0.35%), 3.15%, 06/19/2019 (aa)

  1,550   1,551 
  

 

 

 
   19,692 
  

 

 

 

Pipelines — 0.9%

  

Enbridge, Inc., (Canada),

  

(ICE LIBOR USD 3 Month + 0.40%), 2.81%, 01/10/2020 (aa)

  3,700   3,688 

(ICE LIBOR USD 3 Month + 0.70%), 3.49%, 06/15/2020 (aa)

  2,000   1,993 

Florida Gas Transmission Co. LLC,

  

5.45%, 07/15/2020 (e)

  400   412 

7.90%, 05/15/2019 (e)

  200   203 

TransCanada PipeLines Ltd., (Canada), 3.80%, 10/01/2020

  1,000   1,006 

Williams Cos., Inc. (The),

  

4.13%, 11/15/2020

  500   504 

5.25%, 03/15/2020

  1,500   1,530 
  

 

 

 
   9,336 
  

 

 

 

Total Energy

   29,535 
  

 

 

 

Financial — 18.2%

  

Banks — 14.8%

  

ABN AMRO Bank NV, (Netherlands),

  

2.10%, 01/18/2019 (e)

  2,700   2,700 

(ICE LIBOR USD 3 Month + 0.64%), 3.08%, 01/18/2019 (e) (aa)

  2,500   2,500 

Aozora Bank Ltd., (Japan), Reg. S, 2.75%, 03/09/2020

  200   198 

Australia & New Zealand Banking Group Ltd., (Australia),

  

2.25%, 06/13/2019

  250   249 

(ICE LIBOR USD 3 Month + 0.32%), 2.92%, 11/09/2020 (e) (aa)

  4,000   3,984 

Banco Santander Chile, (Chile), (ICE LIBOR USD 3 Month + 1.20%), 3.91%, 11/28/2021 (aa)

  3,000   3,025 

Bank of America Corp.,

  

2.63%, 10/19/2020

  1,645   1,628 

(ICE LIBOR USD 3 Month + 0.66%), 3.13%, 07/21/2021 (aa)

  100   100 

(ICE LIBOR USD 3 Month + 0.65%), 3.45%, 10/01/2021 (aa)

  1,250   1,241 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2018 SIX CIRCLES TRUST    15 


Table of Contents

Six Circles Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2018 (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

  

(ICE LIBOR USD 3 Month + 0.87%), 3.67%, 04/01/2019 (aa)

  1,617   1,619 

(ICE LIBOR USD 3 Month + 1.42%), 3.87%, 04/19/2021 (aa)

  3,000   3,041 

Bank of Montreal, (Canada),

  

1.50%, 07/18/2019

  750   744 

(ICE LIBOR USD 3 Month + 0.34%), 2.78%, 07/13/2020 (aa)

  2,350   2,340 

(ICE LIBOR USD 3 Month + 0.60%), 3.38%, 12/12/2019 (aa)

  785   787 

(ICE LIBOR USD 3 Month + 0.79%), 3.48%, 08/27/2021 (aa)

  100   100 

Bank of New York Mellon Corp. (The), 5.45%, 05/15/2019

  250   252 

Barclays plc, (United Kingdom), 2.75%, 11/08/2019

  5,600   5,559 

BB&T Corp.,

  

2.25%, 02/01/2019

  2,552   2,550 

(ICE LIBOR USD 3 Month + 0.57%), 3.36%, 06/15/2020 (aa)

  4,000   4,005 

Capital One NA, 1.85%, 09/13/2019

  2,000   1,978 

Citigroup, Inc.,

  

2.05%, 06/07/2019

  200   199 

2.65%, 10/26/2020

  100   99 

(ICE LIBOR USD 3 Month + 1.07%), 3.84%, 12/08/2021 (aa)

  2,000   1,998 

Citizens Bank NA, (ICE LIBOR USD 3 Month + 0.54%), 3.28%, 03/02/2020 (aa)

  5,000   4,993 

Commonwealth Bank of Australia, (Australia), 2.30%, 09/06/2019

  1,500   1,493 

Credit Suisse AG, (Switzerland), 2.30%, 05/28/2019

  2,750   2,742 

Credit Suisse Group Funding Guernsey Ltd., (Guernsey), 2.75%, 03/26/2020

  3,300   3,264 

Dexia Credit Local SA, (France),

  

2.25%, 02/18/2020 (e)

  250   249 

2.50%, 01/25/2021 (e)

  3,400   3,381 

Dexia Credit Local SA, (France), Reg. S, 1.88%, 03/28/2019

  10,000   9,979 

Fifth Third Bank,

  

1.63%, 09/27/2019

  1,000   989 

(ICE LIBOR USD 3 Month + 0.25%), 2.77%, 10/30/2020 (aa)

  1,000   993 

(ICE LIBOR USD 3 Month + 0.59%), 3.41%, 09/27/2019 (aa)

  1,550   1,552 

Goldman Sachs Group, Inc. (The),

  

2.60%, 04/23/2020

  100   99 

2.75%, 09/15/2020

  50   49 

(ICE LIBOR USD 3 Month + 0.73%), 3.55%, 12/27/2020 (aa)

  4,900   4,879 

(ICE LIBOR USD 3 Month + 1.16%), 3.64%, 04/23/2020 (aa)

  3,800   3,813 

(ICE LIBOR USD 3 Month + 1.17%), 3.79%, 11/15/2021 (aa)

  750   748 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 
  

Banks — continued

  

(ICE LIBOR USD 3 Month + 1.36%), 3.85%, 04/23/2021 (aa)

  100   101 

HSBC Holdings plc, (United Kingdom),

  

(ICE LIBOR USD 3 Month + 0.60%), 3.24%, 05/18/2021 (aa)

  1,100   1,084 

(ICE LIBOR USD 3 Month + 1.66%), 4.35%, 05/25/2021 (aa)

  1,450   1,465 

HSBC USA, Inc., 2.35%, 03/05/2020

  3,000   2,970 

Huntington National Bank (The),

  

2.38%, 03/10/2020

  1,500   1,486 

2.88%, 08/20/2020

  400   397 

ING Bank NV, (Netherlands), 2.30%, 03/22/2019 (e)

  2,340   2,337 

Lloyds Bank plc, (United Kingdom), 5.80%, 01/13/2020 (e)

  500   512 

Lloyds Banking Group plc, (United Kingdom), (ICE LIBOR USD 3 Month + 0.80%), 3.59%, 06/21/2021 (aa)

  1,000   990 

Macquarie Bank Ltd., (Australia), 2.35%, 01/15/2019 (e)

  1,000   1,000 

Mitsubishi UFJ Financial Group, Inc., (Japan), (ICE LIBOR USD 3 Month + 0.79%), 3.28%, 07/25/2022 (aa)

  3,400   3,361 

Mizuho Bank Ltd., (Japan), 2.65%, 09/25/2019 (e)

  2,000   1,993 

Mizuho Financial Group, Inc., (Japan), (ICE LIBOR USD 3 Month + 0.88%), 3.65%, 09/11/2022 (aa)

  3,400   3,377 

Morgan Stanley,

  

2.45%, 02/01/2019

  1,000   1,000 

2.50%, 04/21/2021

  50   49 

2.80%, 06/16/2020

  1,300   1,292 

(ICE LIBOR USD 3 Month + 0.55%), 3.17%, 02/10/2021 (aa)

  3,300   3,262 

(ICE LIBOR USD 3 Month + 0.93%), 3.40%, 07/22/2022 (aa)

  1,000   986 

(ICE LIBOR USD 3 Month + 0.80%), 3.41%, 02/14/2020 (aa)

  1,000   1,000 

(ICE LIBOR USD 3 Month + 1.14%), 3.65%, 01/27/2020 (aa)

  1,500   1,505 

7.30%, 05/13/2019

  100   102 

National Australia Bank Ltd., (Australia), (ICE LIBOR USD 3 Month + 1.00%), 3.43%, 07/12/2021 (e) (aa)

  1,150   1,159 

Nordea Bank Abp, (Finland),

  

(ICE LIBOR USD 3 Month + 0.47%), 3.18%, 05/29/2020 (e) (aa)

  1,500   1,498 

(ICE LIBOR USD 3 Month + 0.94%), 3.65%, 08/30/2023 (e) (aa)

  200   198 

QNB Finance Ltd., (Cayman Islands), Reg. S, (ICE LIBOR USD 3 Month + 1.35%), 4.06%, 05/31/2021 (aa)

  200   201 

Royal Bank of Scotland Group plc, (United Kingdom), 6.40%, 10/21/2019

  2,997   3,060 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
16   SIX CIRCLES TRUST DECEMBER 31, 2018


Table of Contents
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 

Corporate Bonds — continued

  

Banks — continued

  

Santander UK plc, (United Kingdom),

  

2.38%, 03/16/2020

  200   198 

2.50%, 03/14/2019

  1,500   1,498 

Skandinaviska Enskilda Banken AB, (Sweden),

  

2.38%, 03/25/2019 (e)

  3,500   3,494 

2.63%, 11/17/2020 (e)

  200   197 

(ICE LIBOR USD 3 Month + 0.43%), 3.07%, 05/17/2021 (e) (aa)

  1,500   1,490 

Standard Chartered plc, (United Kingdom),

  

2.10%, 08/19/2019 (e)

  200   198 

(ICE LIBOR USD 3 Month + 1.13%), 3.77%, 08/19/2019 (e) (aa)

  3,200   3,214 

State Bank of India, (India), Reg. S, (ICE LIBOR USD 3 Month + 0.95%), 3.36%, 04/06/2020 (aa)

  2,400   2,401 

Sumitomo Mitsui Banking Corp., (Japan),

  

2.45%, 01/10/2019

  1,000   1,000 

2.45%, 01/16/2020

  2,500   2,480 

Sumitomo Mitsui Financial Group, Inc., (Japan),

  

(ICE LIBOR USD 3 Month + 0.78%), 3.21%, 07/12/2022 (aa)

  3,400   3,380 

(ICE LIBOR USD 3 Month + 1.68%), 4.45%, 03/09/2021 (aa)

  100   102 

Sumitomo Mitsui Trust Bank Ltd., (Japan),

  

1.95%, 09/19/2019 (e)

  500   496 

2.05%, 03/06/2019 (e)

  3,400   3,394 

SunTrust Bank, (ICE LIBOR USD 3 Month + 0.50%), 3.01%, 10/26/2021 (aa)

  1,180   1,174 

Svenska Handelsbanken AB, (Sweden), (ICE LIBOR USD 3 Month + 0.36%), 3.13%, 09/08/2020 (aa)

  2,500   2,498 

UBS AG, (Switzerland),

  

2.38%, 08/14/2019

  2,600   2,589 

2.45%, 12/01/2020 (e)

  400   393 

(ICE LIBOR USD 3 Month + 0.58%), 3.35%, 06/08/2020 (e) (aa)

  2,100   2,099 

UBS Group Funding Switzerland AG, (Switzerland), (ICE LIBOR USD 3 Month + 1.78%), 4.22%, 04/14/2021 (e) (aa)

  3,400   3,455 

US Bank NA,

  

1.40%, 04/26/2019

  250   249 

(ICE LIBOR USD 3 Month + 0.25%), 2.74%, 07/24/2020 (aa)

  1,000   998 

(ICE LIBOR USD 3 Month + 0.48%), 2.99%, 10/28/2019 (aa)

  1,320   1,321 

Wells Fargo & Co.,

  

(ICE LIBOR USD 3 Month + 0.68%), 3.20%, 01/30/2020 (aa)

  1,500   1,503 

(ICE LIBOR USD 3 Month + 1.01%), 3.78%, 12/07/2020 (aa)

  100   101 

Wells Fargo Bank NA,

  

(United States SOFR + 0.48%), 2.94%, 03/25/2020 (aa)

  1,250   1,244 

1.75%, 05/24/2019

  1,000   995 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 
  

Banks — continued

  

Westpac Banking Corp., (Australia), 2.25%, 01/17/2019

  1,480   1,480 
  

 

 

 
   160,145 
  

 

 

 

Diversified Financial Services — 2.4%

  

AerCap Ireland Capital DAC / AerCap Global Aviation Trust, (Ireland),

  

3.75%, 05/15/2019

  4,900   4,901 

4.25%, 07/01/2020

  600   601 

4.63%, 10/30/2020

  700   705 

Air Lease Corp., 3.38%, 01/15/2019

  3,400   3,400 

Aircastle Ltd., (Bermuda), 5.50%, 02/15/2022

  1,350   1,381 

American Express Co.,

  

(ICE LIBOR USD 3 Month + 0.33%), 2.85%, 10/30/2020 (aa)

  2,000   1,991 

(ICE LIBOR USD 3 Month + 0.53%), 3.17%, 05/17/2021 (aa)

  1,000   995 

BOC Aviation Ltd., (Singapore), (ICE LIBOR USD 3 Month + 1.05%), 3.61%, 05/02/2021 (e) (aa)

  200   201 

BOC Aviation Ltd., (Singapore), Reg. S, 2.38%, 09/15/2021

  2,200   2,121 

Capital One Financial Corp., 2.50%, 05/12/2020

  1,000   987 

International Lease Finance Corp., 6.25%, 05/15/2019

  1,500   1,513 

Mitsubishi UFJ Lease & Finance Co. Ltd., (Japan), Reg. S, 2.75%, 10/21/2020

  2,500   2,452 

Nomura Holdings, Inc., (Japan),

  

2.75%, 03/19/2019

  600   599 

6.70%, 03/04/2020

  200   208 

OMX Timber Finance Investments I LLC, 5.42%, 10/31/2019 (e)

  200   203 

Synchrony Financial, 3.00%, 08/15/2019

  3,600   3,576 
  

 

 

 
   25,834 
  

 

 

 

Insurance — 0.5%

  

AIA Group Ltd., (Hong Kong), (ICE LIBOR USD 3 Month + 0.52%), 3.31%, 09/20/2021 (e) (aa)

  3,400   3,383 

American International Group, Inc., 3.38%, 08/15/2020

  7   7 

Metropolitan Life Global Funding I, (ICE LIBOR USD 3 Month + 0.23%), 2.64%, 01/08/2021 (e) (aa)

  2,000   1,976 
  

 

 

 
   5,366 
  

 

 

 

Real Estate — 0.5%

  

Qatari Diar Finance Co., (Qatar), Reg. S, 5.00%, 07/21/2020

  5,000   5,093 

Sinochem Overseas Capital Co. Ltd., (British Virgin Islands), Reg. S, 4.50%, 11/12/2020

  200   203 
  

 

 

 
   5,296 
  

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2018 SIX CIRCLES TRUST    17 


Table of Contents

Six Circles Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2018 (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

  

Savings & Loans — 0.0%(g)

  

Nationwide Building Society, (United Kingdom), Reg. S, 2.35%, 01/21/2020

  200   198 
  

 

 

 

Total Financial

   196,839 
  

 

 

 

Industrial — 3.1%

  

Aerospace/Defense — 0.6%

  

Harris Corp., (ICE LIBOR USD 3 Month + 0.48%), 3.00%, 04/30/2020 (aa)

  200   199 

Lockheed Martin Corp., 4.25%, 11/15/2019

  3,000   3,034 

Northrop Grumman Corp., 2.08%, 10/15/2020

  1,000   981 

United Technologies Corp.,

  

(ICE LIBOR USD 3 Month + 0.35%), 2.89%, 11/01/2019 (aa)

  1,000   998 

(ICE LIBOR USD 3 Month + 0.65%), 3.28%, 08/16/2021 (aa)

  600   598 

3.35%, 08/16/2021

  480   479 
  

 

 

 
   6,289 
  

 

 

 

Building Materials — 0.0%(g)

  

Holcim US Finance Sarl & Cie SCS, (Luxembourg), Reg. S, 6.00%, 12/30/2019

  250   256 
  

 

 

 

Electronics — 0.5%

  

Honeywell International, Inc., (ICE LIBOR USD 3 Month + 0.04%), 2.56%, 10/30/2019 (aa)

  4,150   4,140 

Tyco Electronics Group SA, (Luxembourg), (ICE LIBOR USD 3 Month + 0.45%), 3.20%, 06/05/2020 (aa)

  1,000   998 
  

 

 

 
   5,138 
  

 

 

 

Machinery — Construction & Mining — 0.4%

  

Caterpillar Financial Services Corp.,

  

1.85%, 09/04/2020

  470   461 

(ICE LIBOR USD 3 Month + 0.51%), 2.92%, 01/10/2020 (aa)

  500   501 

(ICE LIBOR USD 3 Month + 0.28%), 3.10%, 03/22/2019 (aa)

  3,300   3,299 

Doosan Infracore Co. Ltd., (South Korea), Reg. S, 2.38%, 11/21/2019

  200   199 
  

 

 

 
   4,460 
  

 

 

 

Machinery — Diversified — 0.4%

  

CNH Industrial Capital LLC, 3.38%, 07/15/2019

  200   199 

John Deere Capital Corp., (ICE LIBOR USD 3 Month + 0.18%), 2.59%, 01/07/2020 (aa)

  4,269   4,268 
  

 

 

 
   4,467 
  

 

 

 

Miscellaneous Manufacturers — 0.5%

  

General Electric Co., 6.00%, 08/07/2019

  975   986 

Siemens Financieringsmaatschappij NV, (Netherlands),

  

2.15%, 05/27/2020 (e)

  3,250   3,205 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 
  

Miscellaneous Manufacturers — continued

  

(ICE LIBOR USD 3 Month + 0.32%), 3.10%, 09/13/2019 (e) (aa)

  1,030   1,030 
  

 

 

 
   5,221 
  

 

 

 

Transportation — 0.5%

  

Burlington Northern Santa Fe LLC, 4.70%, 10/01/2019

  3,000   3,037 

Ryder System, Inc.,

  

2.50%, 05/11/2020

  1,843   1,821 

2.65%, 03/02/2020

  200   198 
  

 

 

 
   5,056 
  

 

 

 

Trucking & Leasing — 0.2%

  

Aviation Capital Group LLC, 2.88%, 01/20/2022 (e)

  1,000   967 

GATX Corp., (ICE LIBOR USD 3 Month + 0.72%), 3.30%, 11/05/2021 (aa)

  500   495 

Penske Truck Leasing Co. LP / PTL Finance Corp., 3.20%, 07/15/2020 (e)

  700   697 
  

 

 

 
   2,159 
  

 

 

 

Total Industrial

   33,046 
  

 

 

 

Technology — 2.7%

  

Computers — 1.1%

  

Apple, Inc., (ICE LIBOR USD 3 Month + 0.30%), 2.89%, 05/06/2019 (aa)

  3,115   3,117 

Dell International LLC / EMC Corp., 3.48%, 06/01/2019 (e)

  3,400   3,390 

DXC Technology Co., (ICE LIBOR USD 3 Month + 0.95%), 3.69%, 03/01/2021 (aa)

  2,000   1,998 

Hewlett Packard Enterprise Co.,

  

(ICE LIBOR USD 3 Month + 0.72%), 3.06%, 10/05/2021 (aa)

  1,050   1,041 

3.60%, 10/15/2020

  1,250   1,253 

IBM Credit LLC, (ICE LIBOR USD 3 Month + 0.47%), 3.18%, 11/30/2020 (aa)

  420   419 

NetApp, Inc., 2.00%, 09/27/2019

  900   890 
  

 

 

 
   12,108 
  

 

 

 

Semiconductors — 1.0%

  

Broadcom Corp. / Broadcom Cayman Finance Ltd.,

  

2.20%, 01/15/2021

  650   628 

2.38%, 01/15/2020

  4,745   4,686 

Intel Corp., (ICE LIBOR USD 3 Month + 0.08%), 2.70%, 05/11/2020 (aa)

  1,500   1,495 

KLA-Tencor Corp., 3.38%, 11/01/2019

  1,000   999 

QUALCOMM, Inc., 2.25%, 05/20/2020

  3,000   2,958 
  

 

 

 
   10,766 
  

 

 

 

Software — 0.6%

  

Fidelity National Information Services, Inc., 3.63%, 10/15/2020

  2,050   2,059 

Oracle Corp., 5.00%, 07/08/2019

  4,500   4,548 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
18   SIX CIRCLES TRUST DECEMBER 31, 2018


Table of Contents
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 

Corporate Bonds — continued

  

Software — continued

  

VMware, Inc., 2.30%, 08/21/2020

  200   196 
  

 

 

 
   6,803 
  

 

 

 

Total Technology

   29,677 
  

 

 

 

Utilities — 2.1%

  

Electric — 2.1%

  

Chugoku Electric Power Co., Inc. (The), (Japan), Reg. S, 2.70%, 03/16/2020

  3,300   3,274 

Electricite de France SA, (France), 6.50%, 01/26/2019 (e)

  5,200   5,211 

Exelon Generation Co. LLC, 5.20%, 10/01/2019

  2,000   2,026 

Iberdrola Finance Ireland DAC, (Ireland), 5.00%, 09/11/2019 (e)

  200   202 

MidAmerican Energy Co., 2.40%, 03/15/2019

  3,000   2,997 

NextEra Energy Capital Holdings, Inc.,

  

(ICE LIBOR USD 3 Month + 0.32%), 3.05%, 09/03/2019 (aa)

  1,500   1,498 

(ICE LIBOR USD 3 Month + 0.40%), 3.11%, 08/21/2020 (aa)

  3,400   3,396 

Sempra Energy,

  

(ICE LIBOR USD 3 Month + 0.25%), 2.69%, 07/15/2019 (aa)

  2,809   2,800 

(ICE LIBOR USD 3 Month + 0.50%), 2.94%, 01/15/2021 (aa)

  200   197 

Southern Co. (The), (ICE LIBOR USD 3 Month + 0.49%), 3.10%, 02/14/2020 (e) (aa)

  1,600   1,597 
  

 

 

 

Total Utilities

   23,198 
  

 

 

 

Total Corporate Bonds
(Cost $502,244)

   500,410 
  

 

 

 

Foreign Government Securities — 1.7%

  

Development Bank of Japan, Inc., (Japan), Reg. S, (ICE LIBOR USD 3 Month + 0.24%), 2.75%, 01/28/2020 (aa)

  2,800   2,802 

Export-Import Bank of India, (India), Reg. S,

  

2.75%, 08/12/2020

  200   197 

(ICE LIBOR USD 3 Month + 1.00%), 3.65%, 08/21/2022 (aa)

  3,400   3,398 

Export-Import Bank of Korea, (South Korea), (ICE LIBOR USD 3 Month + 0.58%), 3.31%, 06/01/2021 (aa)

  6,250   6,247 

Japan Bank for International Cooperation, (Japan),

  

(ICE LIBOR USD 3 Month + 0.39%), 2.86%, 07/21/2020 (aa)

  3,400   3,413 

(ICE LIBOR USD 3 Month + 0.48%), 3.22%, 06/01/2020 (aa)

  2,000   2,010 

Japan Finance Organization for Municipalities, (Japan), Reg. S, 2.13%, 03/06/2019

  500   499 
  

 

 

 

Total Foreign Government Securities (Cost $18,592)

   18,566 
  

 

 

 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 

Mortgage-Backed Securities — 2.8%

  

FNMA Pool, Single Family, 15 years,

  

3.50%, 04/01/2033

  949   961 

3.50%, 11/01/2033

  16,337   16,537 

3.50%, 01/01/2034

  12,900   13,058 
  

 

 

 

Total Mortgage-Backed Securities (Cost $30,268)

   30,556 
  

 

 

 

U.S. Government Agency Securities — 2.5%

  

U.S. Treasury Inflation Indexed Notes,

  

0.13%, 04/15/2022

  6,239   6,035 

0.38%, 07/15/2023

  13,420   13,122 

0.63%, 04/15/2023

  8,552   8,410 
  

 

 

 

Total U.S. Government Agency Securities (Cost $27,541)

   27,567 
  

 

 

 

U.S. Treasury Obligations — 4.5%

  

U.S. Treasury Floating Rate Notes,

  

(U.S. Treasury 3 Month Bill Market Yield + 0.05%), 2.47%, 10/31/2020 (aa)

  5,000   4,992 

(U.S. Treasury 3 Month Bill Market Yield + 0.05%), 2.48%, 10/31/2019 (aa)

  21,000   21,007 

U.S. Treasury Notes,

  

0.88%, 05/15/2019

  7,000   6,959 

1.25%, 01/31/2019

  1,000   999 

1.25%, 10/31/2019

  3,000   2,966 

1.38%, 02/28/2019

  6,000   5,990 

1.50%, 01/31/2019

  3,600   3,598 

3.38%, 11/15/2019

  1,900   1,911 
  

 

 

 

Total U.S. Treasury Obligations
(Cost $48,427)

   48,422 
  

 

 

 

Short-Term Investments — 31.6%

  

Certificates of Deposit — 3.6%

  

Banco Santander SA, (Spain), (ICE LIBOR USD 3 Month + 0.35%), 3.04%, 06/13/2019 (aa)

  1,000   1,000 

Bank of Montreal, (Canada), (United States SOFR + 0.44%), 2.90%, 05/09/2019 (aa)

  4,000   4,000 

Canadian Imperial Bank of Commerce, (Canada),

  

(ICE LIBOR USD 1 Month + 0.30%), 2.82%, 07/29/2019 (aa)

  2,500   2,500 

(ICE LIBOR USD 3 Month + 0.20%), 2.98%, 03/12/2019 (aa)

  250   250 

Cooperatieve Rabobank UA, (Netherlands),

  

(ICE LIBOR USD 1 Month + 0.19%), 2.65%, 04/18/2019 (aa)

  1,000   1,000 

(ICE LIBOR USD 1 Month + 0.28%), 2.80%, 05/29/2019 (aa)

  3,500   3,500 

Credit Suisse AG, (Switzerland), (United States SOFR + 0.43%), 2.89%, 05/02/2019 (aa)

  3,500   3,500 

Lloyds Bank Corporate Markets plc, 3.04%, 07/29/2019

  3,500   3,500 

Natixis SA, (France), (ICE LIBOR USD 3 Month + 0.18%), 2.85%, 06/06/2019 (aa)

  4,000   4,001 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2018 SIX CIRCLES TRUST    19 


Table of Contents

Six Circles Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2018 (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

  

Certificates of Deposit — continued

  

Societe Generale, (France), (ICE LIBOR USD 3 Month + 0.16%), 2.63%, 04/24/2019 (aa)

  1,500   1,500 

Standard Chartered Bank, (United Kingdom), (ICE LIBOR USD 3 Month + 0.21%), 2.88%, 06/10/2019 (aa)

  3,000   3,000 

State Street Bank & Trust Co., (ICE LIBOR USD 1 Month + 0.27%), 2.73%, 05/15/2019 (aa)

  3,600   3,600 

Sumitomo Mitsui Banking Corp., (Japan), (ICE LIBOR USD 3 Month + 0.15%), 2.59%, 04/18/2019 (aa)

  1,000   1,000 

Sumitomo Mitsui Trust Bank Ltd., (Japan), (ICE LIBOR USD 3 Month + 0.20%), 2.61%, 07/09/2019 (aa)

  250   250 

Svenska Handelsbanken, (Sweden), (ICE LIBOR USD 1 Month + 0.40%), 2.86%, 04/16/2019 (aa)

  250   250 

Swedbank AB, (Sweden), (ICE LIBOR USD 1 Month + 0.29%), 2.80%, 07/25/2019 (aa)

  3,000   3,000 

Toronto-Dominion Bank, (Canada), (ICE LIBOR USD 3 Month + 0.22%), 3.01%, 03/20/2019 (aa)

  250   250 

Wells Fargo Bank NA, (ICE LIBOR USD 1 Month + 0.30%), 2.80%, 07/23/2019 (aa)

  2,500   2,500 

Westpac Banking Corp., (Australia), (ICE LIBOR USD 3 Month + 0.20%), 2.98%, 03/12/2019 (aa)

  250   250 
  

 

 

 

Total Certificates of Deposit

   38,851 
  

 

 

 

Commercial Papers — 7.5%

  

AT&T, Inc.,

  

2.90%, 06/05/2019 (e) (n)

  1,000   986 

3.12%, 03/15/2019 (e) (n)

  3,000   2,981 

Atlantic Asset Securitization LLC, 2.67%, 05/02/2019 (e) (n)

  1,500   1,500 

Bedford Row Funding Corp., 3.09%, 10/18/2019 (e) (n)

  2,000   1,950 

BNZ International Funding Ltd., (United Kingdom), 2.62%, 04/16/2019 (e) (n)

  1,500   1,500 

Cancara Asset Securitisation LLC, (Jersey), 2.86%, 04/30/2019 (e) (n)

  1,750   1,733 

CNH Industrial Capital LLC, 3.56%, 05/09/2019 (e) (n)

  300   296 

Coca-Cola Co. (The),

  

2.40%, 02/08/2019 (e) (n)

  3,000   2,991 

2.45%, 03/13/2019 (e) (n)

  250   249 

CRC Funding LLC, 2.53%, 01/22/2019 (e) (n)

  2,500   2,496 

Erste Abwicklungsanstalt, (Germany),

  

2.54%, 01/23/2019 (e) (n)

  3,500   3,494 

2.64%, 02/11/2019 (e) (n)

  8,000   7,977 

2.72%, 02/27/2019 (e) (n)

  4,000   3,984 

Exxon Mobil Corp., 2.30%, 01/14/2019 (e) (n)

  5,000   4,995 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 
  

Commercial Papers — continued

  

General Electric Co., 3.19%, 03/01/2019 (e) (n)

  2,000   1,989 

HSBC Bank plc, (United Kingdom),

  

(ICE LIBOR USD 3 Month + 0.20%), 2.94%, 09/25/2019 (e) (aa)

  1,500   1,500 

(ICE LIBOR USD 3 Month + 0.18%), 2.80%, 02/13/2019 (e) (aa)

  250   250 

(ICE LIBOR USD 3 Month + 0.17%), 2.99%, 06/24/2019 (e) (aa)

  2,700   2,700 

Intel Corp., 2.31%, 01/18/2019 (e) (n)

  1,500   1,498 

John Deere Capital Corp., 2.41%, 01/16/2019 (e) (n)

  3,000   2,997 

Kells Funding LLC, 2.57%, 02/11/2019 (e) (n)

  2,000   1,994 

LMA SA, (France), Reg. S, 2.77%, 04/18/2019 (e) (n)

  1,000   991 

Macquarie Bank Ltd., (Australia), 2.67%, 02/08/2019 (e) (n)

  4,000   3,988 

Matchpoint Finance plc, (Ireland), Series A, 2.77%, 04/18/2019 (e) (n)

  1,000   991 

Mondelez International, Inc.,

  

2.73%, 01/30/2019 (e) (n)

  1,500   1,496 

2.73%, 01/07/2019 (e) (n)

  2,000   1,999 

NiSource, Inc., 2.80%, 01/07/2019 (e) (n)

  1,500   1,499 

Old Line Funding LLC, 2.73%, 04/22/2019 (e) (n)

  1,000   1,000 

Schlumberger Holdings Corp., 3.05%, 02/19/2019 (e) (n)

  2,000   1,992 

Societe Generale SA, (France), (ICE LIBOR USD 3 Month + 0.41%), 3.21%, 12/18/2019 (e) (aa)

  3,950   3,949 

Spire, Inc., 3.01%, 01/22/2019 (e) (n)

  3,000   2,995 

Suncor Energy, Inc., (Canada), 3.02%, 03/04/2019 (e) (n)

  4,000   3,979 

Toronto-Dominion Bank (The) , 3.09%, 10/18/2019 (e) (n)

  2,000   1,951 

Vodafone Group plc, (United Kingdom), 2.88%, 01/07/2019 (e) (n)

  2,000   1,999 

Waste Management, Inc., 2.71%, 01/07/2019 (e) (n)

  2,700   2,699 
  

 

 

 

Total Commercial Papers

   81,588 
  

 

 

 

Corporate Note — 0.1%

  

Bank of America NA, 2.22%, 05/01/2019 (n)

  1,300   1,300 
  

 

 

 

Foreign Government Security — 1.4%

  

France Treasury Bills BTF, (France), Reg. S, (0.81%), 01/30/2019 (n)

 EUR 13,500   15,476 
  

 

 

 

Repurchase Agreements — 15.9%

  

BNP Paribas SA, 2.95%, dated 12/31/2018, due 01/02/2019, repurchase price 57,509, collateralized by U.S. Treasury Securities, 0.00% - 8.75%, due 02/15/2019 - 08/15/2047, with a value of $58,532.

  57,500   57,500 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
20   SIX CIRCLES TRUST DECEMBER 31, 2018


Table of Contents
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 

Short-Term Investments — continued

  

Repurchase Agreements — continued

  

Citibank NA, 3.00%, dated 12/31/2018, due 01/02/2019, repurchase price 57,510, collateralized by U.S. Treasury Securities, 1.25% - 2.00%, due 06/30/2019 - 06/30/2024, with a value of $58,713.

  57,500   57,500 

Merrill Lynch, Pierce, Fenner & Smith, Inc., 2.95%, dated 12/31/2018, due 01/02/2019, repurchase price $57,509, collateralized by U.S. Treasury Securities, 0.88% - 1.50%, due 04/15/2019 - 10/31/2019, with a value of $58,662.

  57,500   57,500 
  

 

 

 

Total Repurchase Agreements

   172,500 
  

 

 

 

Time Deposits — 0.4%

  

BNP Paribas SA , 1.77%, 01/02/2019

  3,088   3,088 

Brown Brothers Harriman,

  

0.84%, 01/02/2019

 CAD 319   233 

1.77%, 01/02/2019

  465   465 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 
  

Time Deposits — continued

  

Citibank NA, 0.37%, 01/02/2019

 GBP 164   209 
  

 

 

 

Total Time Deposits

   3,995 
  

 

 

 

U.S. Treasury Obligations — 2.7%

  

U.S. Treasury Bills,

  

2.27%, 01/17/2019 (n)

  9,000   8,991 

2.46%, 05/02/2019 (n)

  10,000   9,920 

2.48%, 05/23/2019 (n)

  10,000   9,905 
  

 

 

 

Total U.S. Treasury Obligations

   28,816 
  

 

 

 

Total Short-Term Investments
(Cost $342,481)

   342,526 
  

 

 

 

Total Investments — 101.9%
(Cost — $1,105,363)

   1,103,758 

Liabilities in Excess of Other Assets — (1.9)%

   (20,908
  

 

 

 

NET ASSETS — 100.0%

  $1,082,850 
  

 

 

 

 

Percentages indicated are based on net assets.

 

 

Futures contracts outstanding as of December 31, 2018: 
Exchanged Traded 
DESCRIPTION NUMBER OF
CONTRACTS
   EXPIRATION
DATE
     TRADING
CURRENCY
     NOTIONAL
AMOUNT($)
  VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION)($)
 

Long Contracts

 

3 Month Eurodollar

  3    03/2019      USD      729   1 

3 Month Eurodollar

  195    09/2019      USD      47,436   17 

3 Month Eurodollar

  264    12/2019      USD      64,221   30 

3 Month Sterling

  1,020    03/2019      GBP      160,997   (13

3 Month Sterling

  206    09/2019      GBP      32,482   (7

Canadian Bankers’ Acceptance

  15    03/2020      CAD      2,668   18 

Canadian Bankers’ Acceptance

  247    06/2020      CAD      43,942   285 

U.S. Treasury 2 Year Note

  123    03/2019      USD      25,935   179 
            

 

 

 
             510 
            

 

 

 

Short Contracts

            

3 Month Eurodollar

  (264   12/2020      USD      (64,330  (40

3 Month Sterling

  (496   03/2020      GBP      (78,124  (4

3 Month Sterling

  (206   09/2020      GBP      (32,423  (2

3 Month Sterling

  (524   03/2022      GBP      (82,327  (11

U.S. Treasury 5 Year Note

  (251   03/2019      USD      (28,334  (453

U.S. Treasury Ultra Bond

  (29   03/2019      USD      (4,414  (245
            

 

 

 
             (755
            

 

 

 

Total unrealized appreciation (depreciation)

             (245
            

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2018 SIX CIRCLES TRUST    21 


Table of Contents

Six Circles Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2018 (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 December 31, 2018: 
CURRENCY PURCHASED     CURRENCY SOLD     COUNTERPARTY  SETTLEMENT
DATE
     UNREALIZED
APPRECIATION
(DEPRECIATION)($)
 

USD

  15,526     EUR     13,500     Nomura International plc   01/30/2019      22 

USD

  133     CAD     177     Morgan Stanley & Co.   02/15/2019      3 

USD

  519     GBP     404     Morgan Stanley & Co.   02/15/2019      3 
                   

 

 

 

Total unrealized appreciation (depreciation)

       28 
                   

 

 

 

 

Centrally Cleared Interest rate swaps contracts outstanding as of December 31, 2018 (amounts in thousands): 
FLOATING RATE INDEX(a) FIXED RATE   PAY/RECEIVE
FLOATING RATE
  MATURITY DATE   

NOTIONAL

AMOUNT

  UPFRONT
PAYMENTS
(RECEIPTS)($)
  UNREALIZED
APPRECIATION
(DEPRECIATION)($)
  VALUE($) 

3 Months ICE LIBOR USD Quarterly

  2.75% anually   Receive   12/19/2023    USD   32,800   125   (380  (255

FEDEF Intraday

  2.75% anually   Pay   11/15/2020    USD   208,300   (72  1,730   1,658 

FEDEF Intraday

  2.80% anually   Receive   11/15/2023    USD   85,000   (88  (2,035  (2,123
         

 

 

  

 

 

  

 

 

 

Total

 

  (35  (685  (720
         

 

 

  

 

 

  

 

 

 

 

(a)

Value of floating rate index as of December 31, 2018 was as follows:

 

FLOATING RATE INDEX    

ICE LIBOR USD 3 Month

  2.40% 

FEDEF

  2.81% 

NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS

 

CAD 

—  Canadian Dollar

CLO 

—  Collateralized Loan Obligations

EUR 

—  Euro

FEDEF 

—  US Federal Fund Effective Rate (Continuous Series)

FNMA 

—  Federal National Mortgage Association

GBP 

—  British Pound

GNMA 

—  Government National Mortgage Association

ICE 

—  Intercontinental Exchange

LIBOR 

—  London Interbank Offered Rate

REMICS 

—  Real Estate Mortgage Investment Conduit

Reg. S 

—  Security was purchased pursuant to Regulation S under the Securities Act of 1933, as amended (the “Securities Act”), which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act, or pursuant to an exemption from registration.

SOFR 

—  Secured Overnight Financing Rate

USD 

—  United States Dollar

(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 December 31, 2018.

(aa) 

—  Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of December 31, 2018.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
22   SIX CIRCLES TRUST DECEMBER 31, 2018


Table of Contents

Six Circles Tax Aware Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2018

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands, except number of Futures contracts)

 

SECURITY DESCRIPTION  PRINCIPAL
AMOUNT($)
   VALUE($) 

Asset-Backed Securities — 3.6%

 

Bank of The West Auto Trust, Series 2018-1, Class A2, 3.09%, 04/15/2021 (e)

   3,000    3,002 

Chesapeake Funding II LLC, Series 2016-2A, Class A1, 1.88%, 06/15/2028 (e)

   2,425    2,414 

Chrysler Capital Auto Receivables Trust, Series 2016-BA, Class A4, 1.87%, 02/15/2022 (e)

   1,800    1,781 

Ford Credit Floorplan Master Owner Trust A, Series 2018-3, Class A2, (ICE LIBOR USD 1 Month + 0.40%), 2.86%, 10/15/2023 (aa)

   2,900    2,893 

GMF Floorplan Owner Revolving Trust, Series 2016-1, Class A2, (ICE LIBOR USD 1 Month + 0.85%), 3.31%, 05/17/2021 (e) (aa)

   3,700    3,708 

Gracechurch Card Funding plc, (United Kingdom), Series 2018-1A, Class A, (ICE LIBOR USD 1 Month + 0.40%), 2.86%, 07/15/2022 (e) (aa)

   200    200 

Home Equity Asset Trust, Series 2005-8, Class M1, (ICE LIBOR USD 1 Month + 0.43%), 2.94%, 02/25/2036 (aa)

   2,458    2,458 

Marlette Funding Trust, Series 2018-4A, Class A, 3.71%, 12/15/2028 (e)

   1,170    1,173 

Mercedes-Benz Auto Receivables Trust, Series 2018-1, Class A1, 2.35%, 08/15/2019

   24    24 

MMAF Equipment Finance LLC,Series 2016-AA, Class A3, 1.48%, 06/15/2020 (e)

   2,270    2,257 

Navient Private Education Refi Loan Trust,

    

Series 2018-A, Class A1, 2.53%, 02/18/2042 (e)

   2,250    2,234 

Series 2018-CA, Class A1, 3.01%, 06/16/2042 (e)

   3,289    3,278 

Navient Student Loan Trust, Series 2018-EA, Class A1, 3.43%, 12/15/2059 (e)

   3,000    3,013 

Securitized Term Auto Receivables Trust, (Canada), Series 2018-2A, Class A2A, 3.06%, 02/25/2021 (e)

   1,500    1,500 

SLC Student Loan Trust, Series 2005-1, Class A3, (ICE LIBOR USD 3 Month + 0.10%), 2.72%, 02/15/2025 (aa)

   3,096    3,094 

SMB Private Education Loan Trust,

    

Series 2015-A, Class A2A, 2.49%, 06/15/2027 (e)

   3,199    3,154 

Series 2015-B, Class A2A, 2.98%, 07/15/2027 (e)

   1,995    1,992 

Sofi Professional Loan Program LLC, Series 2018-A, Class A2A, 2.39%, 02/25/2042 (e)

   1,735    1,720 
    

 

 

 

Total Asset-Backed Securities
(Cost $39,855)

     39,895 
    

 

 

 
SECURITY DESCRIPTION  PRINCIPAL
AMOUNT($)
   VALUE($) 

Collateralized Mortgage Obligations — 0.8%

 

FNMA REMICS, Series 2018-86, Class FN, (ICE LIBOR USD 1 Month + 0.35%), 2.66%, 12/25/2048 (aa)

   2,937    2,930 

GNMA,

    

Series 2015-H04, Class FA, (ICE LIBOR USD 1 Month + 0.65%), 2.96%, 12/20/2064 (aa)

   2,214    2,227 

Series 2018-H18, Class FC, (ICE LIBOR USD 1 Month + 0.35%), 2.66%, 08/20/2065 (aa)

   3,001    2,990 
    

 

 

 

Total Collateralized Mortgage Obligations
(Cost $8,150)

     8,147 
    

 

 

 

Commercial Mortgage-Backed Securities — 0.9%

 

AREIT Trust, Series 2018-CRE2, Class A, (ICE LIBOR USD 1 Month + 0.98%), 3.29%, 11/14/2035 (e) (aa)

   2,500    2,500 

BX Commercial Mortgage Trust,
Series 2018-IND, Class A, (ICE LIBOR USD 1 Month + 0.75%), 3.21%, 11/15/2035 (e) (aa)

   3,694    3,671 

GPMT Ltd., (Cayman Islands),
Series 2018-FL1, Class A, (ICE LIBOR USD 1 Month + 0.90%), 3.38%, 11/21/2035 (e) (aa)

   1,500    1,500 

VMC Finance LLC, Series 2018-FL2, Class A, (ICE LIBOR USD 1 Month + 0.92%), 3.39%, 10/15/2035 (e) (aa)

   2,500    2,494 
    

 

 

 

Total Commercial Mortgage-Backed Securities
(Cost $10,191)

     10,165 
    

 

 

 

Corporate Bonds — 19.5%

 

Basic Materials — 0.0%(g)

 

Chemicals — 0.0%(g)

 

Incitec Pivot Finance LLC, Reg. S, 6.00%, 12/10/2019

   200    204 
    

 

 

 

Forest Products & Paper — 0.0%(g)

 

Georgia-Pacific LLC, 5.40%, 11/01/2020 (e)

   200    208 
    

 

 

 

Total Basic Materials

     412 
    

 

 

 

Communications — 1.7%

 

Internet 0.3%

    

eBay, Inc., (ICE LIBOR USD 3 Month + 0.48%), 3.02%, 08/01/2019 (aa)

   3,700    3,697 
    

 

 

 

Media — 0.4%

 

Charter Communications Operating LLC / Charter Communications Operating Capital, 3.58%, 07/23/2020

   1,200    1,199 

Discovery Communications LLC, 2.20%, 09/20/2019

   200    198 

NBCUniversal Enterprise, Inc., (ICE LIBOR USD 3 Month + 0.40%), 3.20%, 04/01/2021 (e) (aa)

   1,000    990 

Time Warner Cable LLC, 8.25%, 04/01/2019

   1,810    1,830 
    

 

 

 
     4,217 
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2018 SIX CIRCLES TRUST    23 


Table of Contents

Six Circles Tax Aware Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2018 (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 1.0%

 

America Movil SAB de CV, (Mexico), 5.00%, 03/30/2020

   1,992    2,027 

Ooredoo International Finance Ltd., (Bermuda), Reg. S, 7.88%, 06/10/2019

   1,600    1,632 

Telefonica Emisiones SA, (Spain), 5.88%, 07/15/2019

   3,700    3,745 

Vodafone Group plc, (United Kingdom), (ICE LIBOR USD 3 Month + 0.99%), 3.43%, 01/16/2024 (aa)

   3,700    3,609 
    

 

 

 
     11,013 
    

 

 

 

Total Communications

     18,927 
    

 

 

 

Consumer Cyclical — 2.2%

 

Airlines — 0.0%(g)

 

Delta Air Lines, Inc., 2.88%, 03/13/2020

   200    199 

Southwest Airlines Co., 2.75%, 11/06/2019

   150    149 
    

 

 

 
     348 
    

 

 

 

Auto Manufacturers — 2.1%

 

BMW US Capital LLC, (ICE LIBOR USD 3 Month + 0.50%), 3.12%, 08/13/2021 (e) (aa)

   3,700    3,665 

Daimler Finance North America LLC, (ICE LIBOR USD 3 Month + 0.39%), 2.97%, 05/04/2020 (e) (aa)

   3,700    3,679 

Ford Motor Credit Co. LLC,

    

2.34%, 11/02/2020

   800    770 

2.43%, 06/12/2020

   200    195 

(ICE LIBOR USD 3 Month + 0.43%), 2.99%, 11/02/2020 (aa)

   1,200    1,166 

(ICE LIBOR USD 3 Month + 1.00%), 3.41%, 01/09/2020 (aa)

   1,000    990 

General Motors Financial Co., Inc.,

    

(ICE LIBOR USD 3 Month + 0.93%), 3.37%, 04/13/2020 (aa)

   1,000    994 

3.50%, 07/10/2019

   3,200    3,199 

Harley-Davidson Financial Services, Inc., 2.15%, 02/26/2020 (e)

   1,500    1,477 

Hyundai Capital America,

    

2.60%, 03/19/2020 (e)

   500    493 

(ICE LIBOR USD 3 Month + 0.80%), 3.61%, 04/03/2020 (e) (aa)

   100    100 

Reg. S, (ICE LIBOR USD 3 Month + 0.82%), 3.60%, 03/12/2021 (aa)

   2,645    2,624 

Nissan Motor Acceptance Corp.,

    

(ICE LIBOR USD 3 Month + 0.65%), 3.09%, 07/13/2022 (e) (aa)

   1,700    1,653 

(ICE LIBOR USD 3 Month + 0.52%), 3.31%, 03/15/2021 (e) (aa)

   200    197 

(ICE LIBOR USD 3 Month + 0.69%), 3.50%, 09/28/2022 (e) (aa)

   2,020    1,957 

Volkswagen Group of America Finance LLC, 2.13%, 05/23/2019 (e)

   200    199 
    

 

 

 
     23,358 
    

 

 

 
SECURITY DESCRIPTION  PRINCIPAL
AMOUNT($)
   VALUE($) 
    

Auto Parts & Equipment — 0.1%

 

ZF North America Capital, Inc., 4.00%, 04/29/2020 (e)

   600    597 
    

 

 

 

Total Consumer Cyclical

     24,303 
    

 

 

 

Consumer Non-cyclical — 3.4%

 

Agriculture 0.3%

 

BAT Capital Corp., (ICE LIBOR USD 3 Month + 0.88%), 3.50%, 08/15/2022 (aa)

   3,500    3,465 

Reynolds American, Inc., 8.13%, 06/23/2019

   200    204 
    

 

 

 
     3,669 
    

 

 

 

Commercial Services 1.5%

 

Central Nippon Expressway Co. Ltd., (Japan),

    

Reg. S, 2.36%, 05/28/2021

   10,000    9,766 

Reg. S, (ICE LIBOR USD 3 Month + 0.56%), 3.12%, 11/02/2021 (aa)

   3,900    3,869 

Equifax, Inc., (ICE LIBOR USD 3 Month + 0.87%), 3.49%, 08/15/2021 (aa)

   3,090    3,055 
    

 

 

 
     16,690 
    

 

 

 

Healthcare — Services 0.3%

 

Dignity Health, 2.64%, 11/01/2019

   3,100    3,082 
    

 

 

 

Pharmaceuticals — 1.3%

    

Bayer US Finance II LLC, (ICE LIBOR USD 3 Month + 1.01%), 3.80%, 12/15/2023 (e) (aa)

   3,700    3,542 

CVS Health Corp., 3.13%, 03/09/2020

   3,700    3,693 

Mylan NV, (Netherlands), 2.50%, 06/07/2019

   3,900    3,881 

Shire Acquisitions Investments Ireland DAC, (Ireland), 1.90%, 09/23/2019

   3,215    3,170 
    

 

 

 
     14,286 
    

 

 

 

Total Consumer Non-cyclical

     37,727 
    

 

 

 

Diversified — 0.0%(g)

 

Holding Companies — 0.0%(g)

 

CK Hutchison International 17 II Ltd., (Cayman Islands), 2.25%, 09/29/2020 (e)

   200    197 
    

 

 

 

Energy — 1.7%

 

Coal — 0.0% (g)

 

China Shenhua Overseas Capital Co. Ltd., (British Virgin Islands), Reg. S, 3.13%, 01/20/2020

   500    497 
    

 

 

 

Oil & Gas — 1.3%

 

CNOOC Finance 2015 Australia Pty Ltd., (Australia), 2.63%, 05/05/2020

   1,200    1,188 

Encana Corp., (Canada), 6.50%, 05/15/2019

   2,300    2,324 

EQT Corp., 8.13%, 06/01/2019

   200    203 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
24   SIX CIRCLES TRUST DECEMBER 31, 2018


Table of Contents
SECURITY DESCRIPTION  PRINCIPAL
AMOUNT($)
   VALUE($) 

Corporate Bonds — continued

 

Oil & Gas— continued

 

ONGC Videsh Ltd., (India), Reg. S, 3.25%, 07/15/2019

   200    200 

Petroleos Mexicanos, (Mexico), 8.00%, 05/03/2019

   3,100    3,134 

Petronas Capital Ltd., (Malaysia), 5.25%, 08/12/2019 (e)

   3,000    3,035 

Petronas Global Sukuk Ltd., (Malaysia), Reg. S, 2.71%, 03/18/2020

   200    199 

Sinopec Group Overseas Development 2016 Ltd., (British Virgin Islands), 2.13%, 05/03/2019 (e)

   3,700    3,687 
    

 

 

 
     13,970 
    

 

 

 

Pipelines — 0.4%

 

Enbridge, Inc., (Canada), (ICE LIBOR USD 3 Month + 0.40%), 2.81%, 01/10/2020 (aa)

   3,500    3,488 

Florida Gas Transmission Co. LLC,

    

5.45%, 07/15/2020 (e)

   500    515 

7.90%, 05/15/2019 (e)

   200    203 
    

 

 

 
     4,206 
    

 

 

 

Total Energy

     18,673 
    

 

 

 

Financial — 7.8%

 

Banks — 5.3%

 

Aozora Bank Ltd., (Japan), Reg. S, 2.75%, 03/09/2020

   200    198 

Banco Santander Chile, (Chile), (ICE LIBOR USD 3 Month + 1.20%), 3.91%, 11/28/2021 (aa)

   3,200    3,226 

Barclays plc, (United Kingdom), 2.75%, 11/08/2019

   3,900    3,872 

Dexia Credit Local SA, (France),

    

2.25%, 02/18/2020 (e)

   400    397 

2.50%, 01/25/2021 (e)

   3,700    3,679 

Reg. S, 1.88%, 03/28/2019

   10,700    10,678 

Goldman Sachs Group, Inc. (The), (ICE LIBOR USD 3 Month + 0.73%), 3.55%, 12/27/2020 (aa)

   3,700    3,685 

HSBC Holdings plc, (United Kingdom), (ICE LIBOR USD 3 Month + 0.60%), 3.24%, 05/18/2021 (aa)

   900    887 

Lloyds Bank plc, (United Kingdom), 5.80%, 01/13/2020 (e)

   500    512 

Mitsubishi UFJ Financial Group, Inc., (Japan), (ICE LIBOR USD 3 Month + 0.79%), 3.28%, 07/25/2022 (aa)

   3,700    3,658 

Mizuho Financial Group, Inc., (Japan), (ICE LIBOR USD 3 Month + 0.88%), 3.65%, 09/11/2022 (aa)

   3,700    3,675 

Morgan Stanley,

    

(ICE LIBOR USD 3 Month + 0.93%), 3.40%, 07/22/2022 (aa)

   1,000    986 

(ICE LIBOR USD 3 Month + 0.80%), 3.41%, 02/14/2020 (aa)

   1,000    1,000 
SECURITY DESCRIPTION  PRINCIPAL
AMOUNT($)
   VALUE($) 
    

Banks — continued

 

Nordea Bank Abp, (Finland), (ICE LIBOR USD 3 Month + 0.94%), 3.65%, 08/30/2023 (e) (aa)

   200    198 

QNB Finance Ltd., (Cayman Islands), Reg. S, (ICE LIBOR USD 3 Month + 1.35%), 4.06%, 05/31/2021 (aa)

   200    201 

Royal Bank of Scotland Group plc, (United Kingdom), 6.40%, 10/21/2019

   3,200    3,267 

Santander UK plc, (United Kingdom), 2.38%, 03/16/2020

   200    198 

Standard Chartered plc, (United Kingdom),

    

(ICE LIBOR USD 3 Month + 1.13%), 3.77%, 08/19/2019 (e) (aa)

   2,800    2,812 

2.10%, 08/19/2019 (e)

   900    892 

State Bank of India, (India), Reg. S, (ICE LIBOR USD 3 Month + 0.95%), 3.36%, 04/06/2020 (aa)

   2,400    2,401 

Sumitomo Mitsui Financial Group, Inc., (Japan), (ICE LIBOR USD 3 Month + 0.78%), 3.21%, 07/12/2022 (aa)

   3,700    3,679 

Sumitomo Mitsui Trust Bank Ltd., (Japan), 2.05%, 03/06/2019 (e)

   3,700    3,694 

UBS Group Funding Switzerland AG, (Switzerland), (ICE LIBOR USD 3 Month + 1.78%), 4.22%, 04/14/2021 (e) (aa)

   3,700    3,759 
    

 

 

 
     57,554 
    

 

 

 

Diversified Financial Services — 1.7%

 

AerCap Ireland Capital DAC / AerCap Global Aviation Trust, (Ireland),

    

3.75%, 05/15/2019

   3,200    3,200 

4.25%, 07/01/2020

   400    401 

Air Lease Corp., 3.38%, 01/15/2019

   3,700    3,700 

Aircastle Ltd., (Bermuda), 5.50%, 02/15/2022

   1,450    1,484 

BOC Aviation Ltd., (Singapore),

    

(ICE LIBOR USD 3 Month + 1.05%), 3.61%, 05/02/2021 (e) (aa)

   200    201 

Reg. S, 2.38%, 09/15/2021

   2,500    2,410 

Mitsubishi UFJ Lease & Finance Co. Ltd., (Japan), Reg. S, 2.75%, 10/21/2020

   2,500    2,452 

Nomura Holdings, Inc., (Japan),

    

2.75%, 03/19/2019

   600    599 

6.70%, 03/04/2020

   200    208 

OMX Timber Finance Investments I LLC, 5.42%, 10/31/2019 (e)

   200    203 

Synchrony Financial, 3.00%, 08/15/2019

   3,900    3,873 
    

 

 

 
     18,731 
    

 

 

 

Insurance — 0.3%

 

AIA Group Ltd., (Hong Kong), (ICE LIBOR USD 3 Month + 0.52%), 3.31%, 09/20/2021 (e) (aa)

   3,700    3,682 
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2018 SIX CIRCLES TRUST    25 


Table of Contents

Six Circles Tax Aware Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2018 (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

 

Real Estate — 0.5%

 

Qatari Diar Finance Co., (Qatar), Reg. S, 5.00%, 07/21/2020

   5,000    5,093 

Sinochem Overseas Capital Co. Ltd., (British Virgin Islands), Reg. S, 4.50%, 11/12/2020

   200    203 
    

 

 

 
     5,296 
    

 

 

 

Savings & Loans — 0.0%(g)

 

Nationwide Building Society, (United Kingdom), Reg. S, 2.35%, 01/21/2020

   200    198 
    

 

 

 

Total Financial

     85,461 
    

 

 

 

Industrial — 0.4%

 

Aerospace/Defense — 0.1%

 

Harris Corp., (ICE LIBOR USD 3 Month + 0.48%), 3.00%, 04/30/2020 (aa)

   200    199 

United Technologies Corp., (ICE LIBOR USD 3 Month + 0.65%), 3.28%, 08/16/2021 (aa)

   600    598 
    

 

 

 
     797 
    

 

 

 

Building Materials — 0.0%(g)

 

Holcim US Finance Sarl & Cie SCS, (Luxembourg), Reg. S, 6.00%, 12/30/2019

   250    256 
    

 

 

 

Machinery — Construction & Mining — 0.0%(g)

 

Doosan Infracore Co. Ltd., (South Korea), Reg. S, 2.38%, 11/21/2019

   200    199 
    

 

 

 

Machinery — Diversified — 0.0%(g)

 

CNH Industrial Capital LLC, 3.38%, 07/15/2019

   200    199 
    

 

 

 

Miscellaneous Manufactur — 0.1%

 

General Electric Co., 6.00%, 08/07/2019

   975    986 
    

 

 

 

Trucking & Leasing — 0.2%

 

Aviation Capital Group LLC, 2.88%, 01/20/2022 (e)

   1,000    967 

GATX Corp., (ICE LIBOR USD 3 Month + 0.72%), 3.30%, 11/05/2021 (aa)

   500    494 
    

 

 

 
     1,461 
    

 

 

 

Total Industrial

     3,898 
    

 

 

 

Technology — 1.2%

 

Computers — 0.7%

 

Dell International LLC / EMC Corp., 3.48%, 06/01/2019 (e)

   3,700    3,690 

DXC Technology Co., (ICE LIBOR USD 3 Month + 0.95%), 3.69%, 03/01/2021 (aa)

   2,300    2,297 

NetApp, Inc., 2.00%, 09/27/2019

   960    949 
    

 

 

 
     6,936 
    

 

 

 
SECURITY DESCRIPTION  PRINCIPAL
AMOUNT($)
   VALUE($) 

Semiconductors — 0.5%

 

Broadcom Corp. / Broadcom Cayman Finance Ltd., 2.38%, 01/15/2020

   4,500    4,443 

KLA-Tencor Corp., 3.38%, 11/01/2019

   1,000    999 
    

 

 

 
     5,442 
    

 

 

 

Software — 0.0%(g)

 

VMware, Inc., 2.30%, 08/21/2020

   200    196 
    

 

 

 

Total Technology

     12,574 
    

 

 

 

Utilities — 1.1%

 

Electric — 1.1%

 

Chugoku Electric Power Co., Inc. (The), (Japan), Reg. S, 2.70%, 03/16/2020

   3,150    3,126 

Exelon Generation Co. LLC, 5.20%, 10/01/2019

   2,000    2,026 

Iberdrola Finance Ireland DAC, (Ireland), 5.00%, 09/11/2019 (e)

   200    202 

NextEra Energy Capital Holdings, Inc., (ICE LIBOR USD 3 Month + 0.40%), 3.11%, 08/21/2020 (aa)

   3,700    3,694 

Sempra Energy, (ICE LIBOR USD 3 Month + 0.25%), 2.69%, 07/15/2019 (aa)

   700    698 

Southern Co. (The), (ICE LIBOR USD 3 Month + 0.49%), 3.10%, 02/14/2020 (e) (aa)

   1,900    1,897 
    

 

 

 

Total Utilities

     11,643 
    

 

 

 

Total Corporate Bonds
(Cost $214,795)

     213,815 
    

 

 

 

Foreign Government Securities — 1.6%

 

Development Bank of Japan, Inc., (Japan), Reg. S, (ICE LIBOR USD 3 Month + 0.24%), 2.75%, 01/28/2020 (aa)

   1,200    1,201 

Export-Import Bank of India, (India),

    

Reg. S, 2.75%, 08/12/2020

   200    197 

Reg. S, (ICE LIBOR USD 3 Month + 1.00%), 3.65%, 08/21/2022 (aa)

   3,700    3,698 

Export-Import Bank of Korea, (South Korea), (ICE LIBOR USD 3 Month + 0.58%), 3.31%, 06/01/2021 (aa)

   6,300    6,298 

Japan Bank for International Cooperation, (Japan),

    

(ICE LIBOR USD 3 Month + 0.39%), 2.86%, 07/21/2020 (aa)

   3,700    3,713 

(ICE LIBOR USD 3 Month + 0.48%), 3.22%, 06/01/2020 (aa)

   2,300    2,312 

Japan Finance Organization for Municipalities, (Japan), Reg. S, 2.13%, 03/06/2019

   500    499 
    

 

 

 

Total Foreign Government Securities (Cost $17,943)

     17,918 
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
26   SIX CIRCLES TRUST DECEMBER 31, 2018


Table of Contents
SECURITY DESCRIPTION  PRINCIPAL
AMOUNT($)
   VALUE($) 

Mortgage-Backed Securities — 2.8%

 

FNMA Pool, Single Family, 15 years,

    

3.50%, 04/01/2033

   949    961 

3.50%, 11/01/2033

   15,750    15,943 

3.50%, 01/01/2034

   13,700    13,867 
    

 

 

 

Total Mortgage-Backed Securities (Cost $30,485)

     30,771 
    

 

 

 

Municipal Bonds — 63.5%(t)

 

Alabama — 0.1%

 

Alabama 21st Century Authority, Tobacco, Series A, Rev., 5.00%, 06/01/2019

   500    506 

County of Jefferson, Series A, GO, 5.00%, 04/01/2020

   500    518 
    

 

 

 
     1,024 
    

 

 

 

Alaska — 1.2%

 

Alaska Housing Finance Corp., Series D, Rev., VRDO, 1.68%, 01/07/2019 (z)

   4,100    4,100 

Alaska Housing Finance Corp., Governmental Purpose, Series B, Rev., VRDO, 1.72%, 01/07/2019 (z)

   4,120    4,120 

Alaska Housing Finance Corp., Home Mortgage, Series B, Rev., VRDO, 1.65%, 01/07/2019 (z)

   2,400    2,400 

City of Valdez, Exxon Pipeline Co. Project, Rev., VRDO, 1.68%, 01/02/2019 (z)

   2,000    2,000 

City of Valdez, Marine Terminal, Exxon Mobil Project, Rev., VRDO, 1.68%, 01/02/2019 (z)

   220    220 
    

 

 

 
     12,840 
    

 

 

 

Arizona — 2.1%

 

Arizona Health Facilities Authority, Banner Health Obligated Group,

    

Series B, Rev., VRDO, LOC: Bank of Tokyo-Mitsubishi UFJ Ltd., 1.75%, 01/02/2019 (z)

   3,000    3,000 

Series G, Rev., VRDO, LOC: Wells Fargo Bank NA, 1.73%, 01/07/2019 (z)

   4,420    4,420 

Arizona Health Facilities Authority, Dignity Health Obligated Group, Series B, Rev., VRDO, LOC: Barclays Bank plc, 1.70%, 01/07/2019 (z)

   5,000    5,000 

Arizona Transportation Board, Maricopa County Regional Area, Rev., 5.00%, 07/01/2019

   2,385    2,423 

City of Phoenix, Civic Improvement Corp.,

    

Rev., AMT, 5.00%, 07/01/2020

   620    648 

Rev., 5.00%, 07/01/2020

   1,000    1,047 

Rev., AMT, 5.00%, 07/01/2021

   1,750    1,875 

Industrial Development Authority of the City of Phoenix (The), Mayo Clinic Arizona, Series A, Rev., VRDO, 1.65%, 01/02/2019 (z)

   4,150    4,150 
SECURITY DESCRIPTION  PRINCIPAL
AMOUNT($)
   VALUE($) 

Arizona — continued

 

Maricopa County Industrial Development Authority, Scottsdale Healthcare Hospitals Obligated Group, Series A, Rev., 5.00%, 09/01/2021 (w)

   725    780 
    

 

 

 
     23,343 
    

 

 

 

California — 1.5%

 

ABAG Finance Authority for Nonprofit Corps, Lakeside Village Apartments, Series A, Rev., VRDO, LOC: FHLMC, LIQ: FHLMC, 1.39%, 01/07/2019 (z)

   400    400 

Bay Area Toll Authority, Series B2, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 1.29%, 01/07/2019 (z)

   1,200    1,200 

Bay Area Toll Authority, Toll Bridge, San Francisco Bay Area, Series D2, Rev., VRDO, LOC: Bank of America NA, 1.26%, 01/07/2019 (z)

   500    500 

California Health Facilities Financing Authority, Kaiser Permanente, Series C, Rev., VRDO, 1.62%, 01/07/2019 (z)

   800    800 

City of Riverside, Electric Revenue, Series A, Rev., VRDO, LOC: Barclays Bank plc, 1.38%, 01/07/2019 (z)

   400    400 

Golden State Tobacco Securitization Corp., Series A1, Rev., 5.00%, 06/01/2021

   400    426 

Los Angeles Department of Water & Power, Power System Revenue,

    

Series B3, Rev., VRDO, 1.30%, 01/02/2019 (z)

   3,800    3,800 

Series B7, Rev., VRDO, 1.25%, 01/07/2019 (z)

   3,800    3,800 

Series B5, Rev., VRDO, 1.28%, 01/07/2019 (z)

   600    600 

Metropolitan Water District of Southern California, Series A2, Rev., VRDO, 1.27%, 01/07/2019 (z)

   450    450 

Santa Clara County Financing Authority, Multiple Facilities Projects, Series M, Rev., VRDO, LOC: Bank of America NA, 1.51%, 01/07/2019 (z)

   1,650    1,650 

Santa Clara Valley Transportation Authority, Sales Tax, Series B, Rev., VRDO, 1.40%, 01/07/2019 (z)

   1,750    1,750 

State of California, Series B3, GO, VRDO, LOC: Sumitomo Mitsui Banking Corp., 1.38%, 01/07/2019 (z)

   500    500 
    

 

 

 
     16,276 
    

 

 

 

Colorado — 2.0%

 

City & County of Denver, Airport System Revenue, Series A, Rev., AMT, 5.00%, 11/15/2021

   2,000    2,161 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2018 SIX CIRCLES TRUST    27 


Table of Contents

Six Circles Tax Aware Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2018 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands, except number of Futures contracts)

 

SECURITY DESCRIPTION  PRINCIPAL
AMOUNT($)
   VALUE($) 

Municipal Bonds — continued

 

Colorado — continued

 

Colorado Educational & Cultural Facilities Authority, Nature Conservancy (The), Rev., VRDO, 1.72%, 01/07/2019 (z)

   2,050    2,050 

Colorado Health Facilities Authority, Sisters of Charity of Leavenworth Health System, Inc.,

    

Series B, Rev., VRDO, LIQ: Wells Fargo Bank NA, 1.75%, 01/07/2019 (z)

   300    300 

Series C, Rev., VRDO, 1.71%, 01/07/2019 (z)

   7,755    7,755 

Colorado Housing & Finance Authority, Adjusted Single Family Mortgage, Series I, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 1.75%, 01/07/2019 (z)

   770    770 

University of Colorado Hospital Authority, Health Obligated Group,

    

Series B1, Rev., VRDO, 1.70%, 01/07/2019 (z)

   4,600    4,600 

Series B2, Rev., VRDO, 1.70%, 01/07/2019 (z)

   4,400    4,400 
    

 

 

 
     22,036 
    

 

 

 

Connecticut — 1.4%

 

Connecticut Housing Finance Authority,

    

Series B3, Rev., VRDO, 1.70%, 01/07/2019 (z)

   280    280 

Series B4, Rev., VRDO, 1.67%, 01/07/2019 (z)

   3,500    3,500 

Series F3, Rev., VRDO, 1.70%, 01/07/2019 (z)

   10,000    10,000 

Connecticut State Health & Educational Facilities Authority, Covenant Retirement Communities Obligated Group, Series B, Rev., 5.00%, 12/01/2020

   1,000    1,051 
    

 

 

 
     14,831 
    

 

 

 

District of Columbia — 0.6%

 

District of Columbia, Georgetown University, Series B1, Rev., VRDO, LOC: Bank of America NA, 1.70%, 01/07/2019 (z)

   400    400 

Metropolitan Washington Airports Authority,

    

Series A, Rev., AMT, 4.00%, 10/01/2020

   1,500    1,546 

Series C2, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 1.67%, 01/07/2019 (z)

   2,075    2,075 

Series D2, Rev., VRDO, LOC: TD Bank NA, 1.72%, 01/02/2019 (z)

   2,835    2,835 
    

 

 

 
     6,856 
    

 

 

 

Florida — 4.2%

 

City of Gainesville, Utilities System Revenue,

    

Series A, Rev., 5.00%, 10/01/2021

   1,400    1,516 

Series B, Rev., VRDO, 1.76%, 01/07/2019 (z)

   5,730    5,730 
SECURITY DESCRIPTION  PRINCIPAL
AMOUNT($)
   VALUE($) 

Florida — continued

 

City of Orlando, Capital Improvement,

    

Series B, Rev., 4.00%, 10/01/2020

   500    519 

Series B, Rev., 5.00%, 10/01/2021

   775    840 

County of Hillsborough, Community Investment Tax Revenue, Rev., 5.00%, 11/01/2019

   5,000    5,128 

Florida Atlantic University Finance Corp., Rev., 5.00%, 07/01/2021 (w)

   880    943 

Highlands County Health Facilities Authority, Adventist Health System/Sunbelt Obligated Group, Series A, Rev., VRDO, 1.71%, 01/07/2019 (z)

   4,000    4,000 

JEA, Water & Sewer System Revenue, Series A2, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 1.70%, 01/07/2019 (z)

   300    300 

Orlando Utilities Commission,

    

Series 1, Rev., VRDO, 1.71%, 01/07/2019 (z)

   6,000    6,000 

Series 2, Rev., VRDO, 1.72%, 01/07/2019 (z)

   7,400    7,400 

Sarasota County Public Hospital District, Memorial Hospital, Obligated Group, Series B, Rev., VRDO, LOC: Wells Fargo Bank NA, 1.68%, 01/07/2019 (z)

   3,000    3,000 

State of Florida, Board Education Lottery Revenue, Series A, Rev., 5.00%, 07/01/2019

   5,000    5,080 

State of Florida, Board Education Public Education Refunding Capital Outlay, Series A, GO, 5.00%, 06/01/2019

   5,000    5,067 
    

 

 

 
     45,523 
    

 

 

 

Georgia — 1.5%

 

Municipal Electric Authority of Georgia,

    

Series B, Rev., VRDO, LOC: Barclays Bank plc, 1.70%, 01/07/2019 (z)

   7,560    7,560 

Series B, Rev., VRDO, LOC: Bank of Tokyo-Mitsubishi UFJ Ltd., 1.83%, 01/07/2019 (z)

   200    200 

Private Colleges & Universities Authority, Emory University,

    

Series B1, Rev., VRDO, 1.65%, 01/07/2019 (z)

   2,295    2,295 

Series C1, Rev., VRDO, 1.73%, 01/07/2019 (z)

   5,400    5,400 

Series C4, Rev., VRDO, 1.70%, 01/07/2019 (z)

   600    600 
    

 

 

 
     16,055 
    

 

 

 

Idaho — 0.2%

 

Idaho Health Facilities Authority, Trinity Health Corp. Obligated Group, Series D, Rev., 5.00%, 12/01/2020

   2,500    2,646 
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
28   SIX CIRCLES TRUST DECEMBER 31, 2018


Table of Contents
SECURITY DESCRIPTION  PRINCIPAL
AMOUNT($)
   VALUE($) 

Municipal Bonds — continued

 

Illinois — 2.5%

 

Chicago Midway International Airport, Series A, Rev., AMT, 5.00%, 01/01/2021

   2,580    2,719 

Fountaindale Public Library District, GO, 5.00%, 02/01/2021

   1,050    1,108 

Illinois Finance Authority, Illinois St Clean Water Initiative, Rev., 5.00%, 07/01/2019

   3,340    3,393 

Illinois Finance Authority, Northwestern Memorial Healthcare Obligated Group, Series A2, Rev., VRDO, 1.63%, 01/02/2019 (z)

   2,200    2,200 

Illinois Finance Authority, Northwestern University, Series C, Rev., VRDO, 1.76%, 01/07/2019 (z)

   3,500    3,500 

Illinois Finance Authority, University of Chicago (The), Series C, Rev., VRDO, 1.67%, 01/07/2019 (z)

   1,955    1,955 

Illinois State Toll Highway Authority,

    

Series A-1B, Rev., VRDO, LOC: Bank of America NA, 1.74%, 01/07/2019 (z)

   7,000    7,000 

Series A-2B, Rev., LOC: PNC Bank NA, 1.64%, 07/01/2030 (z)

   3,000    3,000 

Series A-2C, Rev., VRDO, LOC: Landesbank Hessen-Thueringen, 1.78%, 01/07/2019 (z)

   3,100    3,100 
    

 

 

 
     27,975 
    

 

 

 

Indiana — 2.2%

 

Indiana Finance Authority, Ascension Health Credit Group, Rev., VRDO, 1.70%, 01/07/2019 (z)

   3,770    3,770 

Indiana Finance Authority, Indiana University Health, Inc., Obligated Group,

    

Series B, Rev., VRDO, LOC: TD Bank NA, 1.65%, 01/07/2019 (z)

   10,460    10,460 

Series C, Rev., VRDO, LOC: Northern Trust Co., 1.65%, 01/07/2019 (z)

   8,500    8,500 

Indiana Health Facility Financing Authority, Ascension Health Credit Group, Series A2, Rev., VRDO, 1.70%, 01/07/2019 (z)

   1,200    1,200 

Purdue University, Student Facilities System, Series C, Rev., VRDO, 1.68%, 01/07/2019 (z)

   200    200 
    

 

 

 
     24,130 
    

 

 

 

Iowa — 0.0%(g)

 

Iowa Finance Authority, Trinity Health Corp. Obligated Group, Series D, Rev., VRDO, 1.73%, 01/07/2019 (z)

   100    100 
    

 

 

 

Louisiana — 0.2%

 

Consolidated Government of the City of Baton Rouge & Parish of East Baton Rouge, Exxon Mobil Corp. Project, Rev., VRDO, 1.68%, 01/02/2019 (z)

   2,600    2,600 
    

 

 

 
SECURITY DESCRIPTION  PRINCIPAL
AMOUNT($)
   VALUE($) 

Maryland — 1.3%

 

County of Montgomery, Consolidated Public Improvement, Series A, GO, 5.00%, 11/01/2020

   8,000    8,455 

County of Prince George’s, Consolidated Public Improvement, Series A, GO, 5.00%, 07/15/2019

   2,455    2,498 

Maryland State Transportation Authority, Baltimore Washington International Airport, Rev., AMT, 5.00%, 03/01/2019

   400    402 

State of Maryland,

    

Series A, GO, 5.00%, 03/01/2019

   875    880 

Series E, GO, 5.00%, 08/01/2019

   1,450    1,477 
    

 

 

 
     13,712 
    

 

 

 

Massachusetts — 6.0%

 

Commonwealth of Massachusetts,

    

Series B, GO, 5.00%, 08/01/2019

   4,440    4,523 

Series C, GO, VRDO, 1.67%, 01/07/2019 (z)

   7,000    7,000 

Commonwealth of Massachusetts, Central Artery, Series A, GO, VRDO, 1.71%, 01/07/2019 (z)

   1,625    1,625 

Massachusetts Bay Transportation Authority, Series A2, Rev., VRDO, 1.71%, 01/07/2019 (z)

   6,695    6,695 

Massachusetts Bay Transportation Authority, General Transportation System, Series A2, Rev., VRDO, 1.75%, 01/07/2019 (z)

   100    100 

Massachusetts Bay Transportation Authority,Series A1, Rev., VRDO, 1.75%, 01/07/2019 (z)

   2,000    2,000 

Massachusetts Development Finance Agency, Partners Healthcare System, Inc.,

    

Series K1, Rev., VRDO, 1.64%, 01/07/2019 (z)

   5,700    5,700 

Series K2, Rev., VRDO, 1.65%, 01/07/2019 (z)

   18,360    18,360 

Massachusetts Educational Financing Authority,

    

Series A, Rev., AMT, 5.00%, 01/01/2021

   3,150    3,312 

Series J, Rev., AMT, 5.00%, 07/01/2020

   400    416 

Massachusetts Health & Educational Facilities Authority, Museum of Fine Arts, Series A1, Rev., VRDO, 1.60%, 01/02/2019 (z)

   650    650 

Massachusetts Health & Educational Facilities Authority, Partners Healthcare System, Inc., Series F3, Rev., VRDO, LOC: TD Bank NA, 1.67%, 01/07/2019 (z)

   2,000    2,000 

Massachusetts Health & Educational Facilities Authority, Tufts University, Series N1, Rev., VRDO, 1.62%, 01/02/2019 (z)

   8,700    8,700 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2018 SIX CIRCLES TRUST    29 


Table of Contents

Six Circles Tax Aware Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2018 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands, except number of Futures contracts)

 

SECURITY DESCRIPTION  PRINCIPAL
AMOUNT($)
   VALUE($) 

Municipal Bonds — continued

 

Massachusetts — continued

 

Massachusetts Water Resources Authority,

    

Series A2, Rev., VRDO, 1.68%, 01/07/2019 (z)

   1,540    1,540 

Series A3, Rev., VRDO, 1.69%, 01/07/2019 (z)

   2,995    2,995 

University of Massachusetts Building Authority, Series 1, Rev., VRDO, 1.67%, 01/07/2019 (z)

   400    400 
    

 

 

 
     66,016 
    

 

 

 

Michigan — 2.7%

 

Michigan Finance Authority, Clean Water Revolving Fund, Series B, Rev., 4.00%, 10/01/2020

   7,515    7,803 

Michigan Finance Authority, Great Lakes Water Authority Water Supply System Revenue, Local Government Loan Program, Series D1, Rev., AGM, 5.00%, 07/01/2020

   2,700    2,816 

Michigan Finance Authority, Hospital Project, Ascension Health Credit Group, Rev., VRDO, 1.75%, 01/07/2019 (z)

   2,275    2,275 

University of Michigan,

    

Series A, Rev., VRDO, 1.60%, 01/02/2019 (z)

   7,480    7,480 

Series A, Rev., VRDO, 1.71%, 01/07/2019 (z)

   8,380    8,380 

Series B, Rev., VRDO, 1.64%, 01/02/2019 (z)

   300    300 

Series D2, Rev., VRDO, 1.61%, 01/07/2019 (z)

   970    970 
    

 

 

 
     30,024 
    

 

 

 

Minnesota — 0.2%

 

City of Rochester, Health Care Facilities, Mayo Clinic, Rev., VRDO, 1.73%, 01/07/2019 (z)

   500    500 

County of Hennepin, Series B, GO, VRDO, 1.70%, 01/07/2019 (z)

   1,340    1,340 
    

 

 

 
     1,840 
    

 

 

 

Mississippi — 1.4%

 

Mississippi Business Finance Corp., Chevron USA, Inc.,

    

Series A, Rev., VRDO, 1.69%, 01/07/2019 (z)

   510    510 

Series C, Rev., VRDO, 1.78%, 01/07/2019 (z)

   1,400    1,400 

Series D, Rev., VRDO, 1.78%, 01/07/2019 (z)

   300    300 

Series E, Rev., VRDO, 1.69%, 01/02/2019 (z)

   4,300    4,300 

Series F, Rev., VRDO, 1.70%, 01/07/2019 (z)

   275    275 
SECURITY DESCRIPTION  PRINCIPAL
AMOUNT($)
   VALUE($) 

Mississippi — continued

 

Mississippi Business Finance Corp., Chevron USA, Inc. Project,

    

Series A, Rev., VRDO, 1.61%, 01/02/2019 (z)

   2,400    2,400 

Series B, Rev., VRDO, 1.66%, 01/02/2019 (z)

   5,000    5,000 

Series E, Rev., VRDO, 1.66%, 01/02/2019 (z)

   1,000    1,000 
    

 

 

 
     15,185 
    

 

 

 

Missouri — 0.7%

 

City of St Louis, Airport Revenue, Rev., AGM, AMT, 4.00%, 07/01/2020

   1,500    1,539 

Health & Educational Facilities Authority of the State of Missouri, Washington University (The), Series C, Rev., VRDO, 1.58%, 01/02/2019 (z)

   1,100    1,100 

Missouri Development Finance Board, Nelson Gallery Foundation (The), Series A, Rev., VRDO, 1.71%, 01/02/2019 (z)

   5,000    5,000 
    

 

 

 
     7,639 
    

 

 

 

Nevada — 0.6%

 

Clark County School District, Series B, GO, 5.00%, 06/15/2019

   480    487 

County of Clark Department of Aviation, Series D, Rev., VRDO, LOC: Wells Fargo Bank NA, 1.68%, 01/07/2019 (z)

   6,000    6,000 
    

 

 

 
     6,487 
    

 

 

 

New Hampshire — 1.3%

 

New Hampshire Health and Education Facilities Authority Act, Trustees of Dartmouth College, Series B, Rev., VRDO, 1.66%, 01/02/2019 (z)

   6,000    6,000 

New Hampshire Health and Education Facilities Authority Act, University System of New Hampshire,

    

Series A1, Rev., VRDO, 1.70%, 01/02/2019 (z)

   3,000    3,000 

Series B, Rev., VRDO, 1.70%, 01/02/2019 (z)

   5,675    5,675 
    

 

 

 
     14,675 
    

 

 

 

New Jersey — 0.5%

 

New Jersey Sports & Exposition Authority,

    

Series A, Rev., 5.00%, 09/01/2020

   1,000    1,041 

Series A, Rev., 5.00%, 09/01/2021

   4,000    4,245 

New Jersey Transit Corp., Series A, Rev., GAN, 5.00%, 09/15/2019

   500    511 
    

 

 

 
     5,797 
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
30   SIX CIRCLES TRUST DECEMBER 31, 2018


Table of Contents
SECURITY DESCRIPTION  PRINCIPAL
AMOUNT($)
   VALUE($) 

Municipal Bonds — continued

 

New York — 11.3%

 

City of New York,

    

Series 1, GO, 5.00%, 08/01/2019

   5,000    5,094 

Series G4, GO, VRDO, LIQ: Barclays Bank plc, 1.70%, 01/07/2019 (z)

   425    425 

City of New York, Fiscal Year 2017, Series A4, GO, VRDO, LOC: Citibank NA, 1.72%, 01/07/2019 (z)

   2,000    2,000 

City of New York, Fiscal Year 2018,

    

Series B4, GO, VRDO, 1.72%, 01/02/2019 (z)

   100    100 

Series B5, GO, VRDO, 1.72%, 01/02/2019 (z)

   8,500    8,500 

Metropolitan Transportation Authority,

    

Series A1, Rev., VRDO, LOC: TD Bank NA, 1.73%, 01/02/2019 (z)

   5,220    5,220 

Series A2, Rev., BAN, 4.00%, 08/15/2019

   5,000    5,067 

Series D2, Rev., VRDO, LOC: Landesbank Hessen-Thueringen, 1.68%, 01/02/2019 (z)

   5,600    5,600 

Series G2, Rev., VRDO, LOC: TD Bank NA, 1.67%, 01/07/2019 (z)

   750    750 

Nassau County Interim Finance Authority, Sales Tax Secured, Series A, Rev., VRDO, 1.77%, 01/07/2019 (z)

   10,140    10,140 

New York City Housing Development Corp., Series C4, Rev., VRDO, 1.68%, 01/07/2019 (z)

   7,000    7,000 

New York City Housing Development Corp., Multi-Family Mortgage, New LLC, 245 East 124th Street, Rev., VRDO, LOC: FHLMC, LIQ: FHLMC, 1.74%, 01/07/2019 (z)

   8,200    8,200 

New York City Housing Development Corp., Multi-Family Rental Housing, 90 Washington Street, Series A, Rev., VRDO, LOC: FNMA, LIQ: FNMA, 1.74%, 01/07/2019 (z)

   600    600 

New York City Housing Development Corp., Multi-Family Mortgage, Bruckner by the Bridge LLC, Series A, Rev., VRDO, LIQ: FHLMC, 1.74%, 01/07/2019 (z)

   4,700    4,700 

New York City Municipal Water Finance Authority, Water & Sewer System, Series F-1A, Rev., VRDO, 1.67%, 01/07/2019 (z)

   6,000    6,000 

New York City Municipal Water Finance Authority, Water & Sewer System, Second General Resolution, Series B, Rev., VRDO, 1.69%, 01/02/2019 (z)

   4,000    4,000 

New York City Municipal Water Finance Authority, Water & Sewer System, Second General Resolution, Fiscal Year 2008, Series BB2, Rev., VRDO, 1.71%, 01/02/2019 (z)

   3,500    3,500 
SECURITY DESCRIPTION  PRINCIPAL
AMOUNT($)
   VALUE($) 

New York — continued

 

New York City Transitional Finance Authority, Future Tax Secured Revenue,

    

Series B5, Rev., VRDO, 1.72%, 01/02/2019 (z)

   2,000    2,000 

Series F5, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 1.75%, 01/07/2019 (z)

   7,285    7,285 

New York City Transitional Finance Authority, New York City Recovery, Series 1E, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 1.79%, 01/07/2019 (z)

   375    375 

New York City Trust for Cultural Resources, Metropolitan Museum of Art (The), Series A1, Rev., VRDO, 1.62%, 01/07/2019 (z)

   525    525 

New York State Dormitory Authority, City University of New York (The), Consolidated Fifth, Series C, Rev., VRDO, LOC: Bank of America NA, 1.72%, 01/07/2019 (z)

   1,300    1,300 

New York State Dormitory Authority, School District, Financing Program, Series D, Rev., BAM, 5.00%, 10/01/2020

   1,500    1,580 

New York State Housing Finance Agency, Series L, Rev., VRDO, LOC: Bank of America NA, 1.67%, 01/07/2019 (z)

   160    160 

New York State Housing Finance Agency, Clinton Park Housing, Series A, Rev., VRDO, LIQ: FHLMC, 1.78%, 01/07/2019 (z)

   200    200 

New York State Housing Finance Agency, Housing Related, Taconic, Rev., VRDO, LOC: FNMA, LIQ: FNMA, 1.70%, 01/07/2019 (z)

   1,220    1,220 

Onondaga County Resource Recovery Agency, Series A, Rev., AGM, AMT, 5.00%, 05/01/2021

   1,915    2,036 

Onondaga County Trust for Cultural Resources, Syracuse University Project, Series A, Rev., VRDO, LOC: Wells Fargo Bank NA, 1.62%, 01/07/2019 (z)

   1,000    1,000 

Port Authority of New York & New Jersey, Consolidated One Hundred Eighty, Rev., AMT, 5.00%, 09/01/2021

   3,060    3,293 

Triborough Bridge & Tunnel Authority,

    

Series B2, Rev., VRDO, LOC: Citibank NA, 1.70%, 01/02/2019 (z)

   5,100    5,100 

Series B3, Rev., VRDO, LOC: State Street Bank & Trust Co., 1.69%, 01/02/2019 (z)

   5,620    5,620 

Series C, Rev., VRDO, LOC: State Street Bank & Trust Co., 1.68%, 01/02/2019 (z)

   10,500    10,500 

Series F, Rev., VRDO, LOC: Citibank NA, 1.70%, 01/02/2019 (z)

   4,675    4,675 
    

 

 

 
     123,765 
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2018 SIX CIRCLES TRUST    31 


Table of Contents

Six Circles Tax Aware Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2018 (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

 

North Carolina — 2.1%

 

City of Charlotte, Water & Sewer System Revenue, Series B, Rev., VRDO, 1.66%, 01/07/2019 (z)

   12,800    12,800 

City of Raleigh, Combined Enterprise System Revenue, Series B, Rev., VRDO, 1.78%, 01/07/2019 (z)

   4,000    4,000 

North Carolina Medical Care Commission, WakeMed Obligated Group, Series B, Rev., VRDO, LOC: Wells Fargo Bank NA, 1.66%, 01/07/2019 (z)

   400    400 

University of North Carolina, University Hospital at Chapel Hill,

    

Series A, Rev., VRDO, 1.73%, 01/07/2019 (z)

   100    100 

Series A, Rev., VRDO, 1.60%, 01/02/2019 (z)

   2,200    2,200 

Series B, Rev., VRDO, 1.60%, 01/02/2019 (z)

   4,000    4,000 
    

 

 

 
     23,500 
    

 

 

 

Ohio — 5.3%

 

City of Cleveland, Airport System Revenue, Series D, Rev., VRDO, LOC: U.S. Bank NA, 1.70%, 01/07/2019 (z)

   6,980    6,980 

County of Lucas, Promedica Healthcare Obligated Group, Series A, Rev., 5.00%, 11/15/2019

   1,000    1,023 

Ohio Higher Educational Facility Commission, Hospital, Cleveland Clinic Health System Obligated Group,

    

Series B3, Rev., VRDO, 1.70%, 01/02/2019 (z)

   3,000    3,000 

Series B4, Rev., VRDO, 1.70%, 01/02/2019 (z)

   6,650    6,650 

Ohio State University (The),

    

Series B2, Rev., VRDO, 1.66%, 01/07/2019 (z)

   6,725    6,725 

Series B, Rev., VRDO, 1.66%, 01/07/2019 (z)

   5,800    5,800 

Series E, Rev., VRDO, 1.72%, 01/07/2019 (z)

   3,500    3,500 

Ohio Water Development Authority, Water Pollution Control Loan Fund, Series A, Rev., VRDO, LIQ: BMO Harris Bank NA, 1.68%, 01/07/2019 (z)

   10,400    10,400 

State of Ohio, Infrastructure Improvement,

    

Series A, GO, VRDO, 1.65%, 01/07/2019 (z)

   13,225    13,225 

Series B, GO, 5.00%, 09/01/2019

   530    541 
    

 

 

 
     57,844 
    

 

 

 

Pennsylvania — 1.6%

 

City of Philadelphia, Water & Wastewater Revenue, Series B, Rev., VRDO, LOC: TD Bank NA, 1.65%, 01/07/2019 (z)

   2,400    2,400 
SECURITY DESCRIPTION  PRINCIPAL
AMOUNT($)
   VALUE($) 

Pennsylvania — continued

 

Commonwealth of Pennsylvania, First Series, GO, 5.00%, 08/15/2021

   7,210    7,759 

Delaware River Port Authority, Series B, Rev., 5.00%, 01/01/2021

   3,100    3,283 

Monroeville Finance Authority, UPMC Obligated Group, Rev., 5.00%, 02/15/2021

   1,155    1,226 

Pennsylvania Economic Development Financing Authority, UPMC Obligated Group, Series A, Rev., 4.00%, 11/15/2020

   1,000    1,037 

Philadelphia Authority for Industrial Development, City Service Agreement, Rebuild Project,

    

Rev., 5.00%, 05/01/2020

   500    520 

Rev., 5.00%, 05/01/2021

   750    799 
    

 

 

 
     17,024 
    

 

 

 

Tennessee — 0.7%

 

Tennessee Energy Acquisition Corp.,

    

Series A, Rev., 5.25%, 09/01/2019

   5,875    5,980 

Series A, Rev., 5.25%, 09/01/2021

   2,040    2,180 
    

 

 

 
     8,160 
    

 

 

 

Texas — 3.5%

 

City of Arlington, Water & Wastewater System Revenue, Series A, Rev., 2.00%, 06/01/2021

   400    401 

City of Garland, Texas, GO, 5.00%, 02/15/2021

   1,700    1,811 

City of Lubbock, GO, 5.00%, 02/15/2019

   2,100    2,108 

Cypress-Fairbanks Texas Independent School District, GO, PSF-GTD, 5.00%, 02/15/2021

   2,465    2,621 

Lower Neches Valley Authority Industrial Development Corp., Exxon Capital Ventures, Inc., Rev., VRDO, 1.68%, 01/02/2019 (z)

   5,500    5,500 

North Texas Tollway Authority System, First Tier, Series A, Rev., 5.00%, 01/01/2021

   1,000    1,058 

Northwest Independent School District, Series B, GO, PSF-GTD, 5.00%, 02/15/2021

   2,000    2,128 

Permanent University Fund—University of Texas System, Series A, Rev., VRDO, 1.66%, 01/07/2019 (z)

   6,800    6,800 

Socorro Independent School District, GO, PSF-GTD, 4.00%, 08/15/2020

   3,220    3,331 

State of Texas, Public Finance Authority, GO, 5.00%, 10/01/2019

   5,300    5,426 

State of Texas, Veterans,

    

GO, VRDO, LIQ: FHLB, 1.72%, 01/07/2019 (z)

   2,500    2,500 

Series C, GO, VRDO, 1.69%, 01/07/2019 (z)

   275    275 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
32   SIX CIRCLES TRUST DECEMBER 31, 2018


Table of Contents
SECURITY DESCRIPTION  PRINCIPAL
AMOUNT($)
   VALUE($) 

Municipal Bonds — continued

 

Texas — continued

 

Texas Municipal Gas Acquisition & Supply Corp. I, Series A, Rev., 5.25%, 12/15/2019

   3,920    4,040 
    

 

 

 
     37,999 
    

 

 

 

Virginia — 2.3%

 

City of Richmond, Public Improvement, Series A, GO, 5.00%, 03/01/2019

   510    513 

County of Chesterfield, Series B, GO, 5.00%, 01/01/2021

   1,430    1,520 

Fairfax County Economic Development Authority, Smithsonian Institution, Series A, Rev., VRDO, 1.66%, 01/07/2019 (z)

   2,300    2,300 

Fairfax County Industrial Development Authority, Inova Health System Obligated Group Project, Series C, Rev., VRDO, 1.68%, 01/07/2019 (z)

   10,300    10,300 

Loudoun County Economic Development Authority, Howard Hughes Medical Institute,

    

Series B, Rev., VRDO, 1.76%, 01/07/2019 (z)

   2,630    2,630 

Series D, Rev., VRDO, 1.80%, 01/07/2019 (z)

   200    200 

Series F, Rev., VRDO, 1.72%, 01/07/2019 (z)

   4,100    4,100 

Norfolk Economic Development Authority, Sentara Healthcare Obligated Group, Rev., VRDO, 1.68%, 01/07/2019 (z)

   500    500 

Virginia Port Authority, Port Facility Refunding,

    

Series B, Rev., AMT, 5.00%, 07/01/2020

   1,730    1,801 

Series B, Rev., AMT, 5.00%, 07/01/2021

   1,405    1,498 
    

 

 

 
     25,362 
    

 

 

 

Washington — 1.5%

 

Chelan County Public Utility District No 1, Series B, Rev., VRDO, 1.70%, 01/07/2019 (z)

   6,000    6,000 

King County Public Hospital District No 1, Valley Medical Center, GO, 4.00%, 12/01/2020

   475    492 

King County School District No. 412 Shoreline, GO, 5.00%, 12/01/2020

   1,000    1,060 

State of Washington, Motor Vehicle Fuel Tax, Series B, GO, 5.00%, 08/01/2020

   4,730    4,964 

State of Washington, Various Purpose, Series A, GO, 5.00%, 08/01/2019

   3,870    3,942 

Washington Health Care Facilities Authority, Providence Health & Service, Rev., VRDO, 1.74%, 01/07/2019 (z)

   200    200 
    

 

 

 
     16,658 
    

 

 

 
SECURITY DESCRIPTION  PRINCIPAL
AMOUNT($)
   VALUE($) 

Wisconsin — 0.4%

 

County of Dane, Series A, GO, 3.00%, 06/01/2019

   1,445    1,452 

State of Wisconsin, Series B, GO, 5.00%, 05/01/2021

   2,435    2,615 
    

 

 

 
     4,067 
    

 

 

 

Wyoming — 0.4%

 

County of Lincoln, Exxon Capital Ventures, Inc., Rev., VRDO, 1.68%, 01/02/2019 (z)

   5,000    5,000 
    

 

 

 

Total Municipal Bonds
(Cost $696,543)

     696,989 
    

 

 

 

U.S. Government Agency Securities — 2.6%

 

U.S. Treasury Inflation Indexed Bonds,

    

0.13%, 04/15/2022

   6,551    6,337 

0.38%, 07/15/2023

   11,682    11,422 

0.63%, 04/15/2023

   10,486    10,312 
    

 

 

 

Total U.S. Government Agency Securities
(Cost $28,036)

     28,071 
    

 

 

 

Short-Term Investments — 7.4%

 

Commercial Papers — 2.9%

 

CNH Industrial Capital LLC, 3.56%, 05/09/2019 (e) (n)

   300    296 

District of Columbia,

    

1.85%, 01/10/2019 (n)

   5,000    5,000 

1.98%, 03/04/2019 (n)

   5,000    5,001 

El Paso Texas, Water & Sewer Revenue, Series A, 1.79%, 02/05/2019 (n)

   2,000    2,000 

Honolulu Hawaii City and County, Series B1, 1.80%, 01/31/2019 (n)

   5,000    5,000 

Huntsville Health Care Authority, 1.83%, 03/05/2019 (n)

   6,000    6,000 

Massachusetts Health & Educational Facilities Authority, 1.76%, 01/17/2019 (n)

   2,000    2,000 

Michigan State University Board of Trustees, Series F, 1.85%, 02/04/2019 (n)

   600    600 

NiSource, Inc., 2.80%, 01/07/2019 (e) (n)

   1,500    1,499 

University of Washington, Series A, 1.79%, 02/21/2019 (n)

   1,500    1,500 

University of Virginia, Rector & Visitors, Series A, 1.76%, 02/05/2019 (n)

   3,000    3,000 
    

 

 

 

Total Commercial Papers

     31,896 
    

 

 

 

Municipal Bonds — 3.3%

 

City of Phoenix, Civic Improvement Corp., Rev., AMT, 5.00%, 07/01/2019

   525    533 

County of Nassau, Series A, GO, TAN, 4.00%, 03/15/2019

   4,000    4,018 

County of Suffolk,

    

GO, TAN, 5.00%, 07/24/2019

   7,000    7,104 

Series I, GO, TAN, 5.00%, 09/26/2019

   6,300    6,428 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2018 SIX CIRCLES TRUST    33 


Table of Contents

Six Circles Tax Aware Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2018 (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

 

Municipal Bonds — continued

 

King County Public Hospital District No. 1, Valley Medical Center, GO, 4.00%, 12/01/2019

   450    458 

New Jersey Sports & Exposition Authority, Series A, Rev., 4.00%, 09/01/2019

   1,100    1,112 

New Jersey Transportation Trust Fund Authority, Federal Highway Reimbursement, Rev., 4.00%, 06/15/2019

   375    378 

New Jersey Transportation Trust Fund Authority, Transportation System, Series A, Rev., 5.00%, 06/15/2019

   400    405 

State of Colorado, Rev., TRAN, 4.00%, 06/26/2019

   1,000    1,010 

State of Idaho, GO, TAN, 4.00%, 06/28/2019

   4,425    4,473 

State of Texas, Rev., TRAN, 4.00%, 08/29/2019

   10,150    10,295 

Town of Davie, Nova Southeastern University, Inc., Rev., 4.00%, 04/01/2019

   300    302 
    

 

 

 

Total Municipal Bonds

     36,516 
    

 

 

 

Repurchase Agreements — 1.0%

 

BNP Paribas SA, 2.95%, dated 12/31/2018, due 01/02/2018, repurchase price $4,001, collateralized by U.S. Treasury Securities, 0.00% - 2.75%, due 02/15/2020 - 08/15/2047, with a value of $4,074.

   4,000    4,000 
SECURITY DESCRIPTION  PRINCIPAL
AMOUNT ($)
   VALUE ($) 

Repurchase Agreements — continued

 

Citibank NA, 3.00%, dated 12/31/2018, due 01/02/2018, repurchase price $4,001, collateralized by U.S. Treasury Securities, 2.75%, due 09/30/2020 - 8/31/2025, with a value of $4,091.

   4,000    4,000 

Merrill Lynch, Pierce, Fenner & Smith, Inc., 2.95%, dated 12/31/2018, due 01/02/2019, repurchase price $3,000, collateralized by U.S. Treasury Security, 2.00%, due 09/30/2020, with a value of $3,063.

   3,000    3,000 
    

 

 

 

Total Repurchase Agreements

     11,000 
    

 

 

 

Time Deposits — 0.2%

 

Australia & New Zealand Banking Group Ltd., 1.77%, 01/02/2019

   696    696 

BNP Paribas SA, 1.77%, 01/02/2019

   958    958 

Brown Brothers Harriman, 0.84%, 01/02/2019

  CAD 317    232 

Citibank NA, 0.37%, 01/02/2019

  GBP 165    210 
    

 

 

 

Total Time Deposits

     2,096 
    

 

 

 

Total Short-Term Investments
(Cost $81,488)

     81,508 
    

 

 

 

Total Investments — 102.7%
(Cost — $1,127,486)

     1,127,279 

Liabilities in Excess of Other Assets — (2.7)%

 

   (29,275
    

 

 

 

NET ASSETS — 100.0%

    $1,098,004 
    

 

 

 

 

Percentages indicated are based on net assets.

 

 

Futures contracts outstanding as of December 31, 2018: 
Exchange Traded 
DESCRIPTION    NUMBER OF
CONTRACTS
     EXPIRATION
DATE
     TRADING
CURRENCY
     NOTIONAL
AMOUNT($)
     VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION)($)
 

Long Contracts

 

    

3 Month Eurodollar

     34      03/2019      USD      8,261      9 

3 Month Eurodollar

     198      09/2019      USD      48,166      17 

3 Month Eurodollar

     262      12/2019      USD      63,735      30 

3 Month Sterling

     1,021      03/2019      GBP      161,145      (4

3 Month Sterling

     209      09/2019      GBP      32,955      (7

Canadian Bankers’ Acceptance

     12      03/2020      CAD      2,134      14 

Canadian Bankers’ Acceptance

     250 ��    06/2020      CAD      44,475      290 

U.S. Treasury 2 Year Note

     144      03/2019      USD      30,363      210 
                    

 

 

 
         559 
                    

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
34   SIX CIRCLES TRUST DECEMBER 31, 2018


Table of Contents
DESCRIPTION    NUMBER OF
CONTRACTS
     EXPIRATION
DATE
     TRADING
CURRENCY
     NOTIONAL
AMOUNT ($)
     VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION)($)
 

Short Contracts

 

    

3 Month Eurodollar

     (262     12/2020      USD      (63,842     (39

3 Month Sterling

     (498     03/2020      GBP      (78,425     (18

3 Month Sterling

     (209     09/2020      GBP      (32,895     (2

3 Month Sterling

     (523     03/2022      GBP      (82,170     (11

U.S. Treasury 5 Year Note

     (295     03/2019      USD      (33,299     (534

U.S. Treasury Ultra Bond

     (29     03/2019      USD      (4,414     (245
                    

 

 

 
                     (849
                    

 

 

 

Total unrealized appreciation (depreciation)

                     (290
                    

 

 

 

 

Forward foreign currency exchange contracts outstanding as of December 31, 2018: 
CURRENCY PURCHASED     CURRENCY SOLD     COUNTERPARTY  SETTLEMENT
DATE
     UNREALIZED
APPRECIATION
(DEPRECIATION)($)
 
USD     131     CAD     175     Morgan Stanley & Co.   02/15/2019      3 
USD     525     GBP     409     Morgan Stanley & Co.   02/15/2019      3 
                      

 

 

 
Total unrealized appreciation (depreciation)      6 
                      

 

 

 

 

Centrally Cleared Interest rate swap contracts outstanding as of December 31, 2018 (amounts in thousands):     
FLOATING RATE INDEX (a)  FIXED RATE  PAY/RECEIVE
FLOATING RATE
   MATURITY
DATE
   NOTIONAL
AMOUNT
   UPFRONT
PAYMENTS
(RECEIPTS)($)
  UNREALIZED
APPRECIATION
(DEPRECIATION)($)
  VALUE($) 

3 Month ICE LIBOR USD Quarterly

  2.75% anually   Receive    12/19/2023    USD    32,200    122   (374  (252

FEDEF Intraday

  2.75% anually   Pay    11/15/2020    USD    206,100    (83  1,724   1,641 

FEDEF Intraday

  2.80% anually   Receive    11/15/2023    USD    83,700    (64  (2,025  (2,089
            

 

 

  

 

 

  

 

 

 

Total

             (25  (675  (700
            

 

 

  

 

 

  

 

 

 

 

(a)

Value of floating rate index as of December 31, 2018 was as follows:

 

FLOATING RATE INDEX     

ICE LIBOR USD 3 Month

   2.40% 

FEDEF

   2.81% 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2018 SIX CIRCLES TRUST    35 


Table of Contents

Six Circles Tax Aware Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2018 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands, except number of Futures contracts)

 

NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS

 

ABAG 

—  The Association of Bay Area Governments

AGM 

—  Insured by Assured Guaranty Municipal Corp.

AMT 

—  Alternative Minimum Tax

BAM 

—  Insured by Build America Mutual Company

BAN 

—  Bond Anticipation Note

CAD 

—  Canadian Dollar

FEDEF 

—  US Federal Fund Effective Rate (Continuous Series)

FHLB 

—  Federal Home Loan Bank

FHLMC 

—  Federal Home Loan Mortgage Corp.

FNMA 

—  Federal National Mortgage Association

GAN 

—  Grant Anticipation Note

GBP 

—  British Pound

GNMA 

—  Government National Mortgage Association

GO 

—  General Obligation

GTD 

—  Guaranteed

ICE 

—  Intercontinental Exchange

LIBOR 

—  London Interbank Offered Rate

LIQ 

—  Liquidity Agreement

LOC 

—  Letter of Credit

PSF 

—  Permanent School Fund

REMICS

 

—  Real Estate Mortgage Investment Conduit

Reg. S 

—  Security was purchased pursuant to Regulation S under the Securities Act of 1933, as amended (the “Securities Act”), which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act, or pursuant to an exemption from registration.

USD 

—  United States Dollar

Rev. 

—  Revenue

TAN 

—  Tax Anticipation Note

TRAN 

—  Tax & Revenue Anticipation Note

VRDO 

—  Variable Rate Demand Obligation. The interest rate shown is the rate in effect as of December 31, 2018.

(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 December 31, 2018.

(t) 

—  The date shown represents the earliest of the next put date or final maturity date.

(w) 

—  All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment.

(z) 

—  Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of December 31, 2018.

(aa) 

—  Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of December 31, 2018.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
36   SIX CIRCLES TRUST DECEMBER 31, 2018


Table of Contents

Six Circles U.S. Unconstrained Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2018

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands, except number of Futures contracts)

 

SECURITY DESCRIPTION    

SHARES

     VALUE($) 

Common Stocks — 99.7%

 

Basic Materials — 1.2%

 

Chemicals — 1.0%

 

AdvanSix, Inc. (a)

     19      458 

Air Products & Chemicals, Inc.

     44      7,107 

Albemarle Corp.

     11      816 

American Vanguard Corp.

     16      251 

Ashland Global Holdings, Inc.

     5      328 

Balchem Corp.

     20      1,604 

Cabot Corp.

     11      463 

Celanese Corp., Class A

     22      2,019 

Eastman Chemical Co.

     30      2,181 

Hawkins, Inc.

     6      247 

HB Fuller Co.

     36      1,542 

Ingevity Corp. (a)

     26      2,199 

Innophos Holdings, Inc.

     13      312 

Innospec, Inc.

     16      1,010 

International Flavors & Fragrances, Inc.

     15      1,999 

Koppers Holdings, Inc. (a)

     13      217 

Kraton Corp. (a)

     20      434 

Linde plc, (United Kingdom)

     85      13,220 

NewMarket Corp.

     1      391 

PolyOne Corp.

     11      314 

PPG Industries, Inc.

     31      3,167 

Quaker Chemical Corp.

     9      1,525 

Rayonier Advanced Materials, Inc.

     32      340 

Rogers Corp. (a)

     11      1,130 

RPM International, Inc.

     21      1,216 

Sensient Technologies Corp.

     6      318 

Sherwin-Williams Co. (The)

     5      1,959 

Stepan Co.

     14      1,025 

Valvoline, Inc.

     25      480 

Westlake Chemical Corp.

     3      175 
        

 

 

 
         48,447 
        

 

 

 

Forest Products & Paper — 0.0%(g)

        

Clearwater Paper Corp. (a)

     10      250 

Domtar Corp.

     18      626 

Neenah, Inc.

     11      634 

PH Glatfelter Co.

     27      263 

Schweitzer-Mauduit International, Inc.

     20      493 
        

 

 

 
         2,266 
        

 

 

 

Iron/Steel — 0.1%

        

AK Steel Holding Corp. (a)

     193      433 

Nucor Corp.

     76      3,924 

Reliance Steel & Aluminum Co.

     13      899 

Steel Dynamics, Inc.

     36      1,088 
        

 

 

 
         6,344 
        

 

 

 

Mining — 0.1%

        

Century Aluminum Co. (a)

     29      214 

Kaiser Aluminum Corp.

     12      1,078 

Materion Corp.

     12      559 

Royal Gold, Inc.

     5      439 
        

 

 

 
         2,290 
        

 

 

 

Total Basic Materials

         59,347 
        

 

 

 
SECURITY DESCRIPTION    

SHARES

     VALUE($) 
        

Communications — 8.5%

        

Advertising — 0.1%

        

Interpublic Group of Cos., Inc. (The)

     93      1,919 

Omnicom Group, Inc.

     48      3,545 
        

 

 

 
         5,464 
        

 

 

 

Internet — 4.5%

        

Amazon.com, Inc. (a)

     119      178,347 

Booking Holdings, Inc. (a)

     13      23,070 

CDW Corp.

     13      1,053 

Cogent Communications Holdings, Inc.

     27      1,202 

eBay, Inc. (a)

     262      7,345 

ePlus, Inc. (a)

     9      622 

Expedia Group, Inc.

     43      4,801 

F5 Networks, Inc. (a)

     9      1,439 

HealthStream, Inc.

     16      389 

Liquidity Services, Inc. (a)

     17      104 

New Media Investment Group, Inc.

     35      400 

NIC, Inc.

     42      519 

Perficient, Inc. (a)

     21      473 

QuinStreet, Inc. (a)

     24      384 

Shutterfly, Inc. (a)

     21      837 

Shutterstock, Inc.

     11      409 

Stamps.com, Inc. (a)

     11      1,650 

Symantec Corp.

     93      1,766 

TechTarget, Inc. (a)

     14      167 

VeriSign, Inc. (a)

     16      2,304 
        

 

 

 
         227,281 
        

 

 

 

Media — 0.9%

        

Comcast Corp., Class A

     672      22,866 

EW Scripps Co. (The), Class A

     35      556 

FactSet Research Systems, Inc.

     3      548 

Gannett Co., Inc.

     73      621 

John Wiley & Sons, Inc., Class A

     6      284 

Meredith Corp.

     10      510 

Nexstar Media Group, Inc., Class A

     4      333 

Scholastic Corp.

     18      736 

Sinclair Broadcast Group, Inc., Class A

     11      299 

Walt Disney Co. (The)

     163      17,882 
        

 

 

 
         44,635 
        

 

 

 

Telecommunications — 3.0%

        

8x8, Inc. (a)

     59      1,069 

ADTRAN, Inc.

     31      335 

Arista Networks, Inc. (a)

     8      1,609 

ATN International, Inc.

     7      490 

CalAmp Corp. (a)

     22      289 

Cincinnati Bell, Inc. (a)

     31      239 

Cisco Systems, Inc.

     1,567      67,905 

Consolidated Communications Holdings, Inc.

     44      437 

Extreme Networks, Inc. (a)

     72      440 

Finisar Corp. (a)

     74      1,591 

Frontier Communications Corp. (a)

     66      158 

Harmonic, Inc. (a)

     53      252 

Iridium Communications, Inc. (a)

     60      1,110 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2018 SIX CIRCLES TRUST    37 


Table of Contents

Six Circles U.S. Unconstrained Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2018 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands, except number of Futures contracts)

 

SECURITY DESCRIPTION    

SHARES

     VALUE($) 

Common Stocks — continued

 

Telecommunications — continued

 

Juniper Networks, Inc.

     51      1,364 

Motorola Solutions, Inc.

     42      4,824 

NETGEAR, Inc. (a)

     20      1,037 

Spok Holdings, Inc.

     13      178 

Telephone & Data Systems, Inc.

     10      328 

Verizon Communications, Inc.

     1,089      61,241 

Viavi Solutions, Inc. (a)

     144      1,444 

Vonage Holdings Corp. (a)

     139      1,211 
        

 

 

 
         147,551 
        

 

 

 

Total Communications

         424,931 
        

 

 

 

Consumer Cyclical — 5.6%

        

Airlines — 0.3%

        

Alaska Air Group, Inc.

     17      1,039 

Allegiant Travel Co., Class A

     8      815 

Delta Air Lines, Inc.

     123      6,134 

Hawaiian Holdings, Inc.

     32      840 

SkyWest, Inc.

     33      1,463 

Southwest Airlines Co.

     44      2,041 
        

 

 

 
         12,332 
        

 

 

 

Apparel — 0.4%

        

Carter’s, Inc.

     6      494 

Columbia Sportswear Co.

     2      133 

Crocs, Inc. (a)

     42      1,080 

Hanesbrands, Inc.

     99      1,240 

NIKE, Inc., Class B

     109      8,059 

Oxford Industries, Inc.

     12      853 

Steven Madden Ltd.

     50      1,520 

Unifi, Inc. (a)

     9      211 

VF Corp.

     55      3,896 

Wolverine World Wide, Inc.

     61      1,946 
        

 

 

 
         19,432 
        

 

 

 

Auto Manufacturers — 0.1%

        

PACCAR, Inc.

     46      2,656 

Wabash National Corp.

     35      463 
        

 

 

 
         3,119 
        

 

 

 

Auto Parts & Equipment — 0.2%

        

Altra Industrial Motion Corp.

     9      225 

American Axle & Manufacturing Holdings, Inc. (a)

     70      773 

Autoliv, Inc., (Sweden)

     19      1,324 

BorgWarner, Inc.

     27      932 

Cooper Tire & Rubber Co.

     31      1,014 

Cooper-Standard Holdings, Inc. (a)

     10      644 

Garrett Motion, Inc., (Switzerland) (a)

     46      570 

Gentherm, Inc. (a)

     22      882 

Goodyear Tire & Rubber Co. (The)

     44      893 

Lear Corp.

     10      1,189 

Methode Electronics, Inc.

     24      548 

Motorcar Parts of America, Inc. (a)

     11      187 

Standard Motor Products, Inc.

     13      606 

Superior Industries International, Inc.

     14      66 
SECURITY DESCRIPTION    

SHARES

     VALUE($) 
        

Auto Parts & Equipment — continued

 

Titan International, Inc.

     30      138 
        

 

 

 
         9,991 
        

 

 

 
        

Distribution/Wholesale — 0.2%

        

Anixter International, Inc. (a)

     18      990 

Core-Mark Holding Co., Inc.

     30      697 

Dorman Products, Inc. (a)

     18      1,635 

Essendant, Inc.

     20      255 

Fastenal Co.

     58      3,051 

Fossil Group, Inc. (a)

     28      447 

G-III Apparel Group Ltd. (a)

     26      734 

KAR Auction Services, Inc.

     25      1,201 

Pool Corp.

     3      448 

ScanSource, Inc. (a)

     16      563 

Veritiv Corp. (a)

     8      197 

WW Grainger, Inc.

     6      1,667 
        

 

 

 
         11,885 
        

 

 

 

Entertainment — 0.0%(g)

        

Marriott Vacations Worldwide Corp.

     5      380 

Monarch Casino & Resort, Inc. (a)

     8      291 
        

 

 

 
         671 
        

 

 

 

Food Service — 0.0%(g)

        

Aramark

     22      636 
        

 

 

 

Home Builders — 0.2%

 

    

Cavco Industries, Inc. (a)

     5      689 

DR Horton, Inc.

     39      1,348 

Installed Building Products, Inc. (a)

     13      454 

LCI Industries

     16      1,069 

LGI Homes, Inc. (a)

     11      518 

M/I Homes, Inc. (a)

     17      368 

MDC Holdings, Inc.

     29      822 

Meritage Homes Corp. (a)

     24      873 

Thor Industries, Inc.

     8      416 

William Lyon Homes, Class A (a)

     19      202 

Winnebago Industries, Inc.

     18      441 
        

 

 

 
         7,200 
        

 

 

 

Home Furnishings — 0.1%

        

Daktronics, Inc.

     26      192 

Dolby Laboratories, Inc., Class A

     3      212 

Ethan Allen Interiors, Inc.

     17      298 

iRobot Corp. (a)

     17      1,444 

Leggett & Platt, Inc.

     36      1,285 

Sleep Number Corp. (a)

     21      678 

Universal Electronics, Inc. (a)

     9      215 

Whirlpool Corp.

     17      1,841 
        

 

 

 
         6,165 
        

 

 

 

Housewares — 0.0%(g)

        

Scotts Miracle-Gro Co. (The)

     8      517 

Toro Co. (The)

     9      510 
        

 

 

 
         1,027 
        

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
38   SIX CIRCLES TRUST DECEMBER 31, 2018


Table of Contents
SECURITY DESCRIPTION    

SHARES

     VALUE($) 

Common Stocks — continued

 

Leisure Time — 0.2%

        

Brunswick Corp.

     9      420 

Callaway Golf Co.

     56      851 

Fox Factory Holding Corp. (a)

     24      1,387 

Harley-Davidson, Inc.

     46      1,558 

Nautilus, Inc. (a)

     19      205 

Polaris Industries, Inc.

     11      843 

Royal Caribbean Cruises Ltd.

     32      3,095 

Vista Outdoor, Inc. (a)

     36      406 
        

 

 

 
         8,765 
        

 

 

 

Lodging — 0.2%

        

Belmond Ltd., (United Kingdom), Class A (a)

     56      1,406 

Marcus Corp. (The)

     13      515 

Marriott International, Inc., Class A

     29      3,175 

Wyndham Destinations, Inc.

     28      1,010 

Wyndham Hotels & Resorts, Inc.

     13      596 
        

 

 

 
         6,702 
        

 

 

 

Office Furnishings — 0.0%(g)

        

Herman Miller, Inc.

     8      231 

HNI Corp.

     8      271 

Interface, Inc., Class A

     38      538 
        

 

 

 
         1,040 
        

 

 

 

Retail — 3.7%

        

Abercrombie & Fitch Co., Class A

     41      822 

Asbury Automotive Group, Inc. (a)

     13      843 

Ascena Retail Group, Inc. (a)

     107      270 

Barnes & Noble Education, Inc. (a)

     21      85 

Barnes & Noble, Inc.

     35      247 

Best Buy Co., Inc.

     50      2,623 

Big Lots, Inc.

     9      267 

BJ’s Restaurants, Inc.

     14      684 

Brinker International, Inc.

     6      280 

Buckle, Inc. (The)

     18      347 

Caleres, Inc.

     27      758 

Casey’s General Stores, Inc.

     2      224 

Cato Corp. (The), Class A

     14      205 

Cheesecake Factory, Inc. (The)

     6      270 

Chico’s FAS, Inc.

     79      443 

Children’s Place, Inc. (The)

     12      1,060 

Chuy’s Holdings, Inc. (a)

     11      201 

Costco Wholesale Corp.

     31      6,282 

Cracker Barrel Old Country Store, Inc.

     5      720 

Darden Restaurants, Inc.

     24      2,436 

Dave & Buster’s Entertainment, Inc.

     24      1,091 

Dick’s Sporting Goods, Inc.

     11      355 

Dine Brands Global, Inc.

     11      753 

Domino’s Pizza, Inc.

     2      575 

DSW, Inc., Class A

     43      1,053 

Dunkin’ Brands Group, Inc.

     11      681 

El Pollo Loco Holdings, Inc. (a)

     15      225 

Express, Inc. (a)

     46      234 

EZCORP, Inc., Class A (a)

     39      300 
SECURITY DESCRIPTION    

SHARES

     VALUE($) 
        

Retail — continued

 

Fiesta Restaurant Group, Inc. (a)

     15      231 

FirstCash, Inc.

     29      2,091 

Foot Locker, Inc.

     20      1,070 

Francesca’s Holdings Corp. (a)

     23      22 

GameStop Corp., Class A

     64      813 

Genesco, Inc. (a)

     13      556 

Genuine Parts Co.

     29      2,817 

Group 1 Automotive, Inc.

     11      606 

Guess?, Inc.

     35      737 

Haverty Furniture Cos., Inc.

     12      234 

Hibbett Sports, Inc. (a)

     12      171 

Home Depot, Inc. (The)

     194      33,261 

JC Penney Co., Inc. (a)

     191      198 

Kirkland’s, Inc. (a)

     9      89 

Kohl’s Corp.

     44      2,896 

La-Z-Boy, Inc.

     30      833 

Lithia Motors, Inc., Class A

     16      1,209 

Lowe’s Cos., Inc.

     119      10,948 

Lumber Liquidators Holdings, Inc. (a)

     17      163 

MarineMax, Inc. (a)

     14      256 

McDonald’s Corp.

     126      22,435 

Movado Group, Inc.

     10      322 

MSC Industrial Direct Co., Inc., Class A

     9      675 

Nu Skin Enterprises, Inc., Class A

     8      481 

Office Depot, Inc.

     343      886 

Papa John’s International, Inc.

     1      32 

Penske Automotive Group, Inc.

     7      301 

PetMed Express, Inc.

     13      304 

Red Robin Gourmet Burgers, Inc. (a)

     9      230 

Regis Corp. (a)

     22      371 

RH (a)

     12      1,434 

Ross Stores, Inc.

     29      2,387 

Ruth’s Hospitality Group, Inc.

     19      437 

Shake Shack, Inc., Class A (a)

     16      740 

Shoe Carnival, Inc.

     7      219 

Signet Jewelers Ltd.

     14      441 

Sonic Automotive, Inc., Class A

     16      222 

Starbucks Corp.

     193      12,452 

Tailored Brands, Inc.

     31      420 

Target Corp.

     140      9,224 

Texas Roadhouse, Inc., Class A

     6      364 

Tiffany & Co.

     19      1,526 

Tile Shop Holdings, Inc.

     25      135 

TJX Cos., Inc. (The)

     150      6,709 

Tractor Supply Co.

     11      917 

Vera Bradley, Inc. (a)

     14      116 

Vitamin Shoppe, Inc. (a)

     10      48 

Walgreens Boots Alliance, Inc.

     122      8,311 

Walmart, Inc.

     235      21,893 

Wendy’s Co. (The)

     20      315 

Williams-Sonoma, Inc.

     17      864 

Wingstop, Inc.

     18      1,170 

Yum! Brands, Inc.

     35      3,180 

Zumiez, Inc. (a)

     12      225 
        

 

 

 
         183,321 
        

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2018 SIX CIRCLES TRUST    39 


Table of Contents

Six Circles U.S. Unconstrained Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2018 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands, except number of Futures contracts)

 

SECURITY DESCRIPTION    

SHARES

     VALUE($) 

Common Stocks — continued

 

Storage/Warehousing — 0.0%(g)

        

Mobile Mini, Inc.

     35      1,119 
        

 

 

 

Textiles — 0.0%(g)

 

    

UniFirst Corp.

     10      1,493 
        

 

 

 

Toys/Games/Hobbies — 0.0%(g)

 

    

Hasbro, Inc.

     24      1,932 
        

 

 

 

Total Consumer Cyclical

         276,830 
        

 

 

 

Consumer Non-cyclical — 37.6%

        

Agriculture — 0.2%

        

Andersons, Inc. (The)

     16      492 

Archer-Daniels-Midland Co.

     117      4,778 

Bunge Ltd.

     33      1,737 

Universal Corp.

     16      856 
        

 

 

 
         7,863 
        

 

 

 

Beverages — 1.6%

        

Brown-Forman Corp., Class A

     4      211 

Brown-Forman Corp., Class B

     15      700 

Coca-Cola Bottling Co. Consolidated

     3      519 

Coca-Cola Co. (The)

     868      41,119 

MGP Ingredients, Inc.

     8      449 

PepsiCo, Inc.

     321      35,419 
        

 

 

 
         78,417 
        

 

 

 

Biotechnology — 4.1%

        

Acorda Therapeutics, Inc. (a)

     25      390 

Alexion Pharmaceuticals, Inc. (a)

     85      8,282 

AMAG Pharmaceuticals, Inc. (a)

     22      331 

Amgen, Inc.

     368      71,728 

ANI Pharmaceuticals, Inc. (a)

     6      254 

Biogen, Inc. (a)

     77      23,100 

Cambrex Corp. (a)

     21      801 

Celgene Corp. (a)

     266      17,079 

Emergent BioSolutions, Inc. (a)

     29      1,695 

Gilead Sciences, Inc.

     493      30,823 

Illumina, Inc. (a)

     56      16,804 

Incyte Corp. (a)

     67      4,266 

Innoviva, Inc. (a)

     43      748 

Medicines Co. (The) (a)

     41      792 

Myriad Genetics, Inc. (a)

     47      1,369 

Regeneron Pharmaceuticals, Inc. (a)

     30      11,047 

REGENXBIO, Inc. (a)

     19      788 

Spectrum Pharmaceuticals, Inc. (a)

     64      562 

Vertex Pharmaceuticals, Inc. (a)

     97      16,139 
        

 

 

 
         206,998 
        

 

 

 

Commercial Services — 1.6%

        

ABM Industries, Inc.

     52      1,655 

American Public Education, Inc. (a)

     10      298 

AMN Healthcare Services, Inc. (a)

     30      1,672 

Automatic Data Processing, Inc.

     125      16,413 

Booz Allen Hamilton Holding Corp., Class A

     13      588 

Cardtronics plc, (United Kingdom), Class A (a)

     23      603 
SECURITY DESCRIPTION    

SHARES

     VALUE($) 
        

Commercial Services — continued

        

Career Education Corp. (a)

     45      519 

Cintas Corp.

     7      1,158 

CorVel Corp. (a)

     6      369 

Cross Country Healthcare, Inc. (a)

     23      168 

Ecolab, Inc.

     26      3,792 

EVERTEC, Inc., (Puerto Rico)

     37      1,075 

FleetCor Technologies, Inc. (a)

     13      2,405 

Forrester Research, Inc.

     7      292 

FTI Consulting, Inc. (a)

     24      1,609 

Gartner, Inc. (a)

     13      1,700 

Global Payments, Inc.

     23      2,385 

Green Dot Corp., Class A (a)

     30      2,355 

Healthcare Services Group, Inc.

     7      286 

Heidrick & Struggles International, Inc.

     12      369 

HMS Holdings Corp. (a)

     52      1,474 

Insperity, Inc.

     2      145 

Kelly Services, Inc., Class A

     21      422 

Korn/Ferry International

     36      1,408 

LSC Communications, Inc.

     21      145 

ManpowerGroup, Inc.

     11      740 

MarketAxess Holdings, Inc.

     2      321 

Matthews International Corp., Class A

     23      914 

Medifast, Inc.

     7      926 

Monro, Inc.

     22      1,482 

Moody’s Corp.

     18      2,586 

Navigant Consulting, Inc.

     27      654 

Nutrisystem, Inc.

     18      811 

PayPal Holdings, Inc. (a)

     172      14,504 

Rent-A-Center, Inc. (a)

     27      445 

Resources Connection, Inc.

     20      284 

Robert Half International, Inc.

     15      864 

Rollins, Inc.

     14      490 

RR Donnelley & Sons Co.

     44      173 

S&P Global, Inc.

     27      4,613 

Sabre Corp.

     41      889 

Service Corp. International

     18      727 

Strategic Education, Inc.

     14      1,577 

Team, Inc. (a)

     18      268 

Total System Services, Inc.

     25      1,995 

Travelport Worldwide Ltd., (United Kingdom)

     82      1,288 

TrueBlue, Inc. (a)

     26      584 

Viad Corp.

     13      662 

Western Union Co. (The)

     64      1,097 
        

 

 

 
         82,199 
        

 

 

 

Cosmetics/Personal Care — 1.3%

        

Avon Products, Inc., (United Kingdom) (a)

     276      420 

Colgate-Palmolive Co.

     158      9,389 

Estee Lauder Cos., Inc. (The), Class A

     19      2,456 

Inter Parfums, Inc.

     11      750 

Procter & Gamble Co. (The)

     552      50,696 
        

 

 

 
         63,711 
        

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
40   SIX CIRCLES TRUST DECEMBER 31, 2018


Table of Contents
SECURITY DESCRIPTION    

SHARES

     VALUE($) 

Common Stocks — continued

 

Food — 0.8%

        

B&G Foods, Inc.

     41      1,197 

Calavo Growers, Inc.

     10      712 

Cal-Maine Foods, Inc.

     19      818 

Chefs’ Warehouse, Inc. (The) (a)

     14      457 

Darling Ingredients, Inc. (a)

     105      2,015 

Dean Foods Co.

     57      218 

Hershey Co. (The)

     26      2,767 

Hormel Foods Corp.

     31      1,313 

Ingredion, Inc.

     13      1,145 

J&J Snack Foods Corp.

     10      1,507 

JM Smucker Co. (The)

     26      2,467 

John B Sanfilippo & Son, Inc.

     6      312 

Kellogg Co.

     65      3,706 

Kroger Co. (The)

     105      2,875 

Lancaster Colony Corp.

     1      225 

McCormick & Co., Inc.

     11      1,557 

Mondelez International, Inc., Class A

     243      9,736 

Seneca Foods Corp., Class A (a)

     5      128 

SpartanNash Co.

     23      393 

Sysco Corp.

     74      4,605 

Tyson Foods, Inc., Class A

     55      2,955 

United Natural Foods, Inc. (a)

     32      336 
        

 

 

 
         41,444 
        

 

 

 

Healthcare — Products — 7.6%

        

Abbott Laboratories

     870      62,943 

ABIOMED, Inc. (a)

     17      5,561 

Align Technology, Inc. (a)

     28      5,791 

AngioDynamics, Inc. (a)

     24      489 

Baxter International, Inc.

     227      14,954 

Becton Dickinson & Co.

     126      28,440 

BioTelemetry, Inc. (a)

     21      1,229 

Boston Scientific Corp. (a)

     527      18,637 

CONMED Corp.

     17      1,086 

Cooper Cos., Inc. (The)

     19      4,752 

CryoLife, Inc. (a)

     21      598 

Cutera, Inc. (a)

     9      150 

Danaher Corp.

     262      27,006 

DENTSPLY SIRONA, Inc.

     97      3,620 

Edwards Lifesciences Corp. (a)

     80      12,202 

Henry Schein, Inc. (a)

     58      4,547 

Hill-Rom Holdings, Inc.

     3      289 

Hologic, Inc. (a)

     102      4,206 

IDEXX Laboratories, Inc. (a)

     33      6,093 

Integer Holdings Corp. (a)

     19      1,425 

Intuitive Surgical, Inc. (a)

     44      20,853 

Invacare Corp.

     20      87 

Lantheus Holdings, Inc. (a)

     24      374 

LeMaitre Vascular, Inc.

     10      235 

Luminex Corp.

     26      602 

Medtronic plc, (Ireland)

     719      65,383 

Meridian Bioscience, Inc.

     28      480 

Merit Medical Systems, Inc. (a)

     35      1,926 

Natus Medical, Inc. (a)

     21      725 

OraSure Technologies, Inc. (a)

     39      454 
SECURITY DESCRIPTION    

SHARES

   VALUE($) 
      

Healthcare — Products — continued

      

Orthofix Medical, Inc. (a)

     12    640 

Patterson Cos., Inc.

     23    457 

Repligen Corp. (a)

     25    1,295 

ResMed, Inc.

     67    7,582 

STERIS plc, (United Kingdom)

     6    685 

Stryker Corp.

     142    22,256 

Surmodics, Inc. (a)

     8    396 

Tactile Systems Technology, Inc. (a)

     10    468 

Thermo Fisher Scientific, Inc.

     153    34,326 

Varex Imaging Corp. (a)

     24    576 

Varian Medical Systems, Inc. (a)

     35    3,922 

West Pharmaceutical Services, Inc.

     2    196 

Zimmer Biomet Holdings, Inc.

     78    8,072 
      

 

 

 
       376,008 
      

 

 

 

Healthcare — Services — 5.0%

      

Addus HomeCare Corp. (a)

     6    415 

Amedisys, Inc. (a)

     18    2,131 

Anthem, Inc.

     118    31,003 

Centene Corp. (a)

     78    8,994 

Chemed Corp.

     (h)    61 

Cigna Corp.

     145    27,552 

Community Health Systems, Inc. (a)

     71    202 

DaVita, Inc. (a)

     48    2,467 

Encompass Health Corp.

     9    545 

Ensign Group, Inc. (The)

     31    1,191 

HCA Healthcare, Inc.

     102    12,742 

Humana, Inc.

     58    16,726 

IQVIA Holdings, Inc. (a)

     60    6,992 

Laboratory Corp. of America Holdings (a)

     38    4,843 

LHC Group, Inc. (a)

     18    1,726 

Medpace Holdings, Inc. (a)

     16    856 

Providence Service Corp. (The) (a)

     7    434 

Quest Diagnostics, Inc.

     73    6,066 

Quorum Health Corp. (a)

     14    42 

Select Medical Holdings Corp. (a)

     68    1,049 

Tivity Health, Inc. (a)

     26    642 

UnitedHealth Group, Inc.

     461    114,913 

Universal Health Services, Inc., Class B

     32    3,775 

US Physical Therapy, Inc.

     8    814 

WellCare Health Plans, Inc. (a)

     19    4,484 
      

 

 

 
       250,665 
      

 

 

 

Household Products/Wares — 0.4%

      

Avery Dennison Corp.

     13    1,202 

Central Garden & Pet Co., Class A (a)

     32    1,023 

Church & Dwight Co., Inc.

     21    1,413 

Clorox Co. (The)

     21    3,215 

Kimberly-Clark Corp.

     86    9,795 

Quanex Building Products Corp.

     22    305 

WD-40 Co.

     10    1,751 
      

 

 

 
       18,704 
      

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2018 SIX CIRCLES TRUST    41 


Table of Contents

Six Circles U.S. Unconstrained Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2018 (continued)

(Amounts in U.S. Dollars, unless otherwise noted)

(Amounts in thousands, except number of Futures contracts)

 

SECURITY DESCRIPTION    

SHARES

     VALUE($) 

Common Stocks — continued

 

Pharmaceuticals — 15.0%

        

AbbVie, Inc.

     1,038      95,651 

Akorn, Inc. (a)

     59      201 

Allergan plc

     121      16,151 

AmerisourceBergen Corp., Class A

     80      5,965 

Amphastar Pharmaceuticals, Inc. (a)

     22      447 

Anika Therapeutics, Inc. (a)

     9      318 

Assertio Therapeutics, Inc. (a)

     41      146 

Bristol-Myers Squibb Co.

     969      50,358 

Cardinal Health, Inc.

     187      8,335 

Corcept Therapeutics, Inc. (a)

     66      879 

CVS Health Corp.

     493      32,288 

Cytokinetics, Inc. (a)

     35      223 

Diplomat Pharmacy, Inc. (a)

     35      478 

Eagle Pharmaceuticals, Inc. (a)

     7      288 

Eli Lilly & Co.

     359      41,557 

Enanta Pharmaceuticals, Inc. (a)

     10      701 

Endo International plc, (Ireland) (a)

     125      910 

Heska Corp. (a)

     4      365 

Johnson & Johnson

     1,445      186,485 

Lannett Co., Inc. (a)

     21      105 

McKesson Corp.

     92      10,116 

Merck & Co., Inc.

     1,448      110,623 

Momenta Pharmaceuticals, Inc. (a)

     61      669 

Mylan NV (a)

     196      5,366 

Nektar Therapeutics, Class A (a)

     66      2,168 

Neogen Corp. (a)

     33      1,863 

Owens & Minor, Inc.

     40      251 

Perrigo Co. plc, (Ireland)

     57      2,214 

Pfizer, Inc.

     3,492      152,435 

Phibro Animal Health Corp., Class A

     13      424 

Progenics Pharmaceuticals, Inc. (a)

     54      228 

Supernus Pharmaceuticals, Inc. (a)

     33      1,091 

Vanda Pharmaceuticals, Inc. (a)

     33      859 

Zoetis, Inc., Class A

     201      17,221 
        

 

 

 
         747,379 
        

 

 

 

Total Consumer Non-cyclical

         1,873,388 
        

 

 

 

Energy — 10.3%

        

Coal — 0.0%(g)

        

Cloud Peak Energy, Inc. (a)

     41      15 

CONSOL Energy, Inc. (a)

     17      554 

SunCoke Energy, Inc. (a)

     39      336 
        

 

 

 
         905 
        

 

 

 

Energy—Alternate Sources — 0.0%(g)

        

FutureFuel Corp.

     16      257 

Green Plains, Inc.

     24      315 

Renewable Energy Group, Inc. (a)

     23      594 

REX American Resources Corp. (a)

     4      252 

SolarEdge Technologies, Inc., (Israel) (a)

     27      939 
        

 

 

 
         2,357 
        

 

 

 

Oil & Gas — 8.8%

        

Anadarko Petroleum Corp.

     185      8,104 

Apache Corp.

     139      3,652 
SECURITY DESCRIPTION    

SHARES

     VALUE($) 
        

Oil & Gas — continued

        

Bonanza Creek Energy, Inc. (a)

     12      247 

Cabot Oil & Gas Corp.

     158      3,532 

Carrizo Oil & Gas, Inc. (a)

     53      597 

Chevron Corp.

     1,236      134,441 

Cimarex Energy Co.

     35      2,161 

Concho Resources, Inc. (a)

     73      7,545 

ConocoPhillips

     422      26,311 

Denbury Resources, Inc. (a)

     286      490 

Devon Energy Corp.

     172      3,868 

Diamondback Energy, Inc.

     57      5,241 

EOG Resources, Inc.

     213      18,538 

Exxon Mobil Corp.

     1,552      105,824 

Gulfport Energy Corp. (a)

     99      649 

Helmerich & Payne, Inc.

     40      1,916 

Hess Corp.

     91      3,694 

HighPoint Resources Corp. (a)

     67      167 

HollyFrontier Corp.

     58      2,987 

Laredo Petroleum, Inc. (a)

     96      348 

Marathon Oil Corp.

     305      4,369 

Marathon Petroleum Corp.

     398      23,508 

Nabors Industries Ltd.

     205      410 

Newfield Exploration Co. (a)

     73      1,076 

Noble Corp. plc, (United Kingdom) (a)

     154      402 

Noble Energy, Inc.

     176      3,299 

Occidental Petroleum Corp.

     277      16,987 

Par Pacific Holdings, Inc. (a)

     19      273 

PDC Energy, Inc. (a)

     41      1,229 

Penn Virginia Corp. (a)

     8      450 

Phillips 66

     265      22,818 

Pioneer Natural Resources Co.

     62      8,218 

Ring Energy, Inc. (a)

     35      177 

SRC Energy, Inc. (a)

     151      712 

Unit Corp. (a)

     34      485 

Valero Energy Corp.

     286      21,453 
        

 

 

 
         436,178 
        

 

 

 

Oil & Gas Services — 0.9%

        

Archrock, Inc.

     80      601 

Baker Hughes a GE Co., Class A

     188      4,046 

Bristow Group, Inc. (a)

     21      51 

C&J Energy Services, Inc. (a)

     39      521 

CARBO Ceramics, Inc. (a)

     12      43 

Era Group, Inc. (a)

     13      112 

Exterran Corp. (a)

     20      351 

Geospace Technologies Corp. (a)

     8      83 

Gulf Island Fabrication, Inc. (a)

     9      65 

Halliburton Co.

     321      8,535 

Helix Energy Solutions Group, Inc. (a)

     86      466 

KLX Energy Services Holdings, Inc. (a)

     14      323 

Matrix Service Co. (a)

     17      299 

National Oilwell Varco, Inc.

     141      3,611 

Newpark Resources, Inc. (a)

     57      391 

Oil States International, Inc. (a)

     37      533 

Pioneer Energy Services Corp. (a)

     45      56 

ProPetro Holding Corp. (a)

     46      561 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
42   SIX CIRCLES TRUST DECEMBER 31, 2018


Table of Contents
SECURITY DESCRIPTION    

SHARES

     VALUE($) 

Common Stocks — continued

 

Oil & Gas Services — continued

        

Schlumberger Ltd.

     508      18,314 

SEACOR Holdings, Inc. (a)

     11      400 

Superior Energy Services, Inc. (a)

     97      326 

TechnipFMC plc, (United Kingdom)

     156      3,053 

TETRA Technologies, Inc. (a)

     76      127 

US Silica Holdings, Inc.

     47      479 
        

 

 

 
         43,347 
        

 

 

 

Pipelines — 0.6%

        

Kinder Morgan, Inc.

     696      10,699 

ONEOK, Inc.

     151      8,135 

Williams Cos., Inc. (The)

     444      9,784 
        

 

 

 
         28,618 
        

 

 

 

Total Energy

         511,405 
        

 

 

 

Financials — 11.5%

        

Banks — 5.6%

        

Ameris Bancorp

     30      956 

Associated Banc-Corp.

     90      1,772 

BancFirst Corp.

     23      1,126 

BancorpSouth Bank

     54      1,423 

Bank of America Corp.

     1,628      40,110 

Bank of New York Mellon Corp. (The)

     173      8,139 

Bank OZK

     57      1,292 

BB&T Corp.

     213      9,213 

BOK Financial Corp.

     19      1,427 

Cathay General Bancorp

     49      1,654 

Chemical Financial Corp.

     43      1,573 

Citizens Financial Group, Inc.

     148      4,410 

City Holding Co.

     10      702 

Columbia Banking System, Inc.

     60      2,160 

Comerica, Inc.

     53      3,650 

Commerce Bancshares, Inc.

     29      1,629 

Community Bank System, Inc.

     40      2,355 

Cullen/Frost Bankers, Inc.

     24      2,143 

Customers Bancorp, Inc. (a)

     23      425 

CVB Financial Corp.

     142      2,873 

Eagle Bancorp, Inc. (a)

     21      1,046 

Fidelity Southern Corp.

     20      525 

First BanCorp, (Puerto Rico)

     136      1,167 

First Busey Corp.

     24      590 

First Commonwealth Financial Corp.

     47      567 

First Financial Bancorp

     60      1,423 

First Financial Bankshares, Inc.

     50      2,871 

First Horizon National Corp.

     155      2,034 

First Interstate BancSystem, Inc., Class A

     29      1,070 

First Merchants Corp.

     37      1,284 

First Midwest Bancorp, Inc.

     77      1,519 

First Republic Bank

     22      1,871 

Flagstar Bancorp, Inc. (a)

     19      504 

Franklin Financial Network, Inc. (a)

     8      221 

Glacier Bancorp, Inc.

     58      2,282 

Goldman Sachs Group, Inc. (The)

     49      8,206 

Great Western Bancorp, Inc.

     31      971 

Green Bancorp, Inc.

     22      372 
SECURITY DESCRIPTION    

SHARES

     VALUE($) 
        

Banks — continued

        

Hanmi Financial Corp.

     10      197 

Heritage Financial Corp.

     21      616 

Home BancShares, Inc.

     92      1,503 

HomeStreet, Inc. (a)

     17      351 

Hope Bancorp, Inc.

     113      1,340 

Huntington Bancshares, Inc.

     419      4,991 

Independent Bank Corp.

     21      1,490 

Independent Bank Group, Inc.

     23      1,074 

KeyCorp

     382      5,649 

LegacyTexas Financial Group, Inc.

     59      1,904 

MB Financial, Inc.

     40      1,587 

Meta Financial Group, Inc.

     22      431 

Morgan Stanley

     299      11,850 

National Bank Holdings Corp., Class A

     22      664 

NBT Bancorp, Inc.

     35      1,222 

Northern Trust Corp.

     46      3,860 

OFG Bancorp, (Puerto Rico)

     31      505 

Old National Bancorp

     94      1,448 

Opus Bank

     17      335 

PNC Financial Services Group, Inc. (The)

     102      11,931 

Preferred Bank

     9      397 

Prosperity Bancshares, Inc.

     27      1,699 

Regions Financial Corp.

     366      4,901 

S&T Bancorp, Inc.

     29      1,079 

Seacoast Banking Corp. of Florida (a)

     31      817 

ServisFirst Bancshares, Inc.

     64      2,039 

Simmons First National Corp., Class A

     73      1,752 

South State Corp.

     23      1,359 

Southside Bancshares, Inc.

     24      766 

State Street Corp.

     80      5,064 

SunTrust Banks, Inc.

     137      6,934 

Tompkins Financial Corp.

     10      748 

Towne Bank

     54      1,284 

Triumph Bancorp, Inc. (a)

     20      590 

TrustCo Bank Corp.

     59      406 

UMB Financial Corp.

     23      1,382 

Union Bankshares Corp.

     48      1,358 

US Bancorp

     340      15,561 

Veritex Holdings, Inc. (a)

     15      317 

Walker & Dunlop, Inc.

     20      886 

Webster Financial Corp.

     37      1,841 

Wells Fargo & Co.

     1,108      51,072 

WesBanco, Inc.

     39      1,427 

Westamerica Bancorporation

     22      1,216 

Wintrust Financial Corp.

     20      1,303 

Zions Bancorp NA

     63      2,558 
        

 

 

 
         279,259 
        

 

 

 

Diversified Financial Services — 2.9%

        

Air Lease Corp., Class A

     5      156 

Alliance Data Systems Corp.

     7      1,038 

American Express Co.

     83      7,884 

Ameriprise Financial, Inc.

     31      3,240 

BlackRock, Inc., Class A

     28      10,855 

Blucora, Inc. (a)

     29      785 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2018 SIX CIRCLES TRUST    43 


Table of Contents

Six Circles U.S. Unconstrained Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2018 (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

 

  

CME Group, Inc., Class A

     43    8,121 

Cohen & Steers, Inc.

     4    128 

Discover Financial Services

     77    4,533 

Eaton Vance Corp.

     30    1,045 

Encore Capital Group, Inc. (a)

     18    422 

Enova International, Inc. (a)

     22    428 

Evercore, Inc., Class A

     7    473 

Franklin Resources, Inc.

     75    2,213 

Granite Point Mortgage Trust, Inc.

     27    483 

Greenhill & Co., Inc.

     12    285 

Intercontinental Exchange, Inc.

     63    4,781 

INTL. FCStone, Inc. (a)

     12    428 

Investment Technology Group, Inc.

     21    649 

Mastercard, Inc., Class A

     166    31,346 

Nasdaq, Inc.

     28    2,308 

Piper Jaffray Cos

     11    699 

PRA Group, Inc. (a)

     28    694 

Raymond James Financial, Inc.

     14    1,073 

SEI Investments Co.

     9    422 

T Rowe Price Group, Inc.

     58    5,382 

TD Ameritrade Holding Corp.

     59    2,868 

Virtus Investment Partners, Inc.

     6    458 

Visa, Inc., Class A

     356    46,918 

Waddell & Reed Financial, Inc., Class A

     56    1,006 

WageWorks, Inc. (a)

     25    670 

WisdomTree Investments, Inc.

     78    516 

World Acceptance Corp. (a)

     5    469 
      

 

 

 
       142,776 
      

 

 

 

Insurance — 2.2%

      

Aflac, Inc.

     154    7,028 

Allstate Corp. (The)

     67    5,555 

Ambac Financial Group, Inc. (a)

     33    576 

American Equity Investment Life Holding Co.

     59    1,643 

American Financial Group, Inc.

     13    1,197 

Aon plc, (United Kingdom)

     25    3,564 

Argo Group International Holdings Ltd., (Bermuda)

     2    153 

Arthur J Gallagher & Co.

     30    2,206 

Assurant, Inc.

     11    990 

Assured Guaranty Ltd., (Bermuda)

     11    406 

Axis Capital Holdings Ltd., (Bermuda)

     17    873 

Brown & Brown, Inc.

     16    434 

Chubb Ltd., (Switzerland)

     82    10,642 

Cincinnati Financial Corp.

     34    2,653 

CNO Financial Group, Inc.

     25    374 

eHealth, Inc. (a)

     11    435 

Erie Indemnity Co., Class A

     3    420 

Everest Re Group Ltd., (Bermuda)

     8    1,681 

FBL Financial Group, Inc., Class A

     (h)    24 

Fidelity National Financial, Inc.

     71    2,233 

First American Financial Corp.

     16    731 

Hanover Insurance Group, Inc. (The)

     5    619 
SECURITY DESCRIPTION    

SHARES

     VALUE($) 
        

Insurance — continued

        

Hartford Financial Services Group, Inc. (The)

     98      4,336 

HCI Group, Inc.

     6      309 

Horace Mann Educators Corp.

     31      1,160 

James River Group Holdings Ltd., (Bermuda)

     18      670 

Lincoln National Corp.

     37      1,881 

Marsh & McLennan Cos., Inc.

     83      6,653 

MetLife, Inc.

     322      13,237 

Navigators Group, Inc. (The)

     15      1,008 

NMI Holdings, Inc., Class A (a)

     45      800 

Old Republic International Corp.

     79      1,622 

ProAssurance Corp.

     33      1,333 

Prudential Financial, Inc.

     140      11,413 

Reinsurance Group of America, Inc., Class A

     8      1,189 

RenaissanceRe Holdings Ltd., (Bermuda)

     2      309 

RLI Corp.

     27      1,857 

Safety Insurance Group, Inc.

     10      778 

Selective Insurance Group, Inc.

     7      432 

Stewart Information Services Corp.

     15      614 

Third Point Reinsurance Ltd., (Bermuda) (a)

     64      616 

Torchmark Corp.

     17      1,278 

Travelers Cos., Inc. (The)

     56      6,714 

United Fire Group, Inc.

     12      650 

United Insurance Holdings Corp.

     23      381 

Universal Insurance Holdings, Inc.

     23      872 

Unum Group

     51      1,505 

WR Berkley Corp.

     9      670 
        

 

 

 
         106,724 
        

 

 

 

Private Equity — 0.0%(g)

        

Kennedy-Wilson Holdings, Inc.

     31      562 
        

 

 

 

Real Estate — 0.0%(g)

        

HFF, Inc., Class A

     24      808 

Jones Lang LaSalle, Inc.

     1      164 

Marcus & Millichap, Inc. (a)

     13      445 

RE/MAX Holdings, Inc., Class A

     11      340 
        

 

 

 
         1,757 
        

 

 

 

REITS — 0.6%

        

Acadia Realty Trust

     52      1,243 

Agree Realty Corp.

     21      1,269 

American Assets Trust, Inc.

     24      973 

Apollo Commercial Real Estate Finance, Inc.

     79      1,320 

Armada Hoffler Properties, Inc.

     30      421 

ARMOUR Residential REIT, Inc.

     27      561 

Capstead Mortgage Corp.

     59      396 

CareTrust REIT, Inc.

     49      904 

CBL & Associates Properties, Inc.

     111      213 

Cedar Realty Trust, Inc.

     54      170 

Chatham Lodging Trust

     30      536 

Chesapeake Lodging Trust

     39      953 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
44   SIX CIRCLES TRUST DECEMBER 31, 2018


Table of Contents
SECURITY DESCRIPTION    

SHARES

   VALUE($) 

Common Stocks — continued

 

REITS — continued

 

  

Community Healthcare Trust, Inc.

     11    305 

DiamondRock Hospitality Co.

     133    1,211 

Easterly Government Properties, Inc.

     39    605 

EastGroup Properties, Inc.

     23    2,065 

Four Corners Property Trust, Inc.

     42    1,098 

Franklin Street Properties Corp.

     68    424 

Getty Realty Corp.

     21    628 

Global Net Lease, Inc.

     48    837 

Government Properties Income Trust

     (h)    1 

Hersha Hospitality Trust, Class A

     23    400 

Independence Realty Trust, Inc.

     54    495 

Invesco Mortgage Capital, Inc.

     76    1,106 

iStar, Inc.

     43    397 

Kite Realty Group Trust

     53    752 

Lexington Realty Trust

     137    1,127 

LTC Properties, Inc.

     26    1,065 

National Storage Affiliates Trust

     35    923 

New York Mortgage Trust, Inc.

     96    567 

Pennsylvania Real Estate Investment Trust

     39    232 

PennyMac Mortgage Investment Trust

     38    709 

PS Business Parks, Inc.

     14    1,795 

Redwood Trust, Inc.

     51    766 

Retail Opportunity Investments Corp.

     73    1,165 

RPT Realty

     51    608 

Saul Centers, Inc.

     7    349 

Summit Hotel Properties, Inc.

     65    636 

Universal Health Realty Income Trust

     8    483 

Urstadt Biddle Properties, Inc., Class A

     19    365 

Washington Prime Group, Inc.

     116    563 

Whitestone REIT, Class B

     24    291 
      

 

 

 
       30,927 
      

 

 

 

Savings & Loans — 0.2%

      

Axos Financial, Inc. (a)

     37    936 

Banc of California, Inc.

     39    517 

Berkshire Hills Bancorp, Inc.

     31    828 

Brookline Bancorp, Inc.

     50    695 

Dime Community Bancshares, Inc.

     28    481 

Investors Bancorp, Inc.

     163    1,690 

Northfield Bancorp, Inc.

     38    516 

Northwest Bancshares, Inc.

     63    1,071 

Oritani Financial Corp.

     35    522 

Pacific Premier Bancorp, Inc. (a)

     35    888 

Provident Financial Services, Inc.

     104    2,511 

Washington Federal, Inc.

     15    410 

WSFS Financial Corp.

     5    182 
      

 

 

 
       11,247 
      

 

 

 

Total Financials

       573,252 
      

 

 

 

Industrials — 7.9%

      

Aerospace/Defense — 1.8%

      

AAR Corp.

     21    786 

Aerojet Rocketdyne Holdings, Inc. (a)

     45    1,596 

Aerovironment, Inc. (a)

     13    905 

Barnes Group, Inc.

     32    1,736 
</