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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.
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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.
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President’s Letter | 1 | |||
Market Overview | 2 | |||
Fund Commentaries | 3 | |||
3 | ||||
5 | ||||
7 | ||||
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.
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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,
Mary Savino
President, Six Circles Funds
DECEMBER 31, 2018 | SIX CIRCLES TRUST | 1 |
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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 |
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Six Circles Ultra Short Duration Fund
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 |
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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)
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.
4 | SIX CIRCLES TRUST | DECEMBER 31, 2018 |
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Six Circles Tax Aware Ultra Short Duration Fund
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 |
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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)
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.
6 | SIX CIRCLES TRUST | DECEMBER 31, 2018 |
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Six Circles U.S. Unconstrained Equity Fund
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 |
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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)
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)
8 | SIX CIRCLES TRUST | DECEMBER 31, 2018 |
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Six Circles International Unconstrained Equity Fund
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)
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)
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 | 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 | 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 | 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 | 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 | 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 | 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 | 342,526 | |||||||
|
| |||||||
Total Investments — 101.9% | 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 | 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 | 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, | 3,694 | 3,671 | ||||||
GPMT Ltd., (Cayman Islands), | 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 | 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 | 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 | 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 | 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 | 81,508 | |||||||
|
| |||||||
Total Investments — 102.7% | 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 |
SECURITY DESCRIPTION | SHARES | VALUE($) | ||||||
Aerospace/Defense — continued | ||||||||
Boeing Co. (The) | 82 | 26,334 | ||||||
General Dynamics Corp. | 43 | 6,711 | ||||||
Harris Corp. | 15 | 2,038 | ||||||
Kaman Corp. | 18 | 991 | ||||||
L3 Technologies, Inc. | 9 | 1,579 | ||||||
Lockheed Martin Corp. | 55 | 14,525 | ||||||
Moog, Inc., Class A | 21 | 1,633 | ||||||
MSA Safety, Inc. | 3 | 255 | ||||||
National Presto Industries, Inc. | 3 | 388 | ||||||
Northrop Grumman Corp. | 22 | 5,307 | ||||||
Raytheon Co. | 40 | 6,203 | ||||||
Triumph Group, Inc. | 30 | 349 | ||||||
United Technologies Corp. | 149 | 15,853 | ||||||
|
| |||||||
87,189 | ||||||||
|
| |||||||
Building Materials — 0.4% | ||||||||
AAON, Inc. | 25 | 892 | ||||||
American Woodmark Corp. (a) | 10 | 530 | ||||||
Apogee Enterprises, Inc. | 18 | 532 | ||||||
Boise Cascade Co. | 24 | 583 | ||||||
Fortune Brands Home & Security, Inc. | 17 | 665 | ||||||
Gibraltar Industries, Inc. (a) | 20 | 708 | ||||||
Griffon Corp. | 21 | 217 | ||||||
Johnson Controls International plc | 211 | 6,261 | ||||||
Lennox International, Inc. | 3 | 611 | ||||||
Masco Corp. | 33 | 967 | ||||||
Owens Corning | 13 | 576 | ||||||
Patrick Industries, Inc. (a) | 14 | 417 | ||||||
PGT Innovations, Inc. (a) | 36 | 564 | ||||||
Simpson Manufacturing Co., Inc. | 30 | 1,609 | ||||||
Trex Co., Inc. (a) | 37 | 2,174 | ||||||
Universal Forest Products, Inc. | 41 | 1,072 | ||||||
US Concrete, Inc. (a) | 10 | 353 | ||||||
Vulcan Materials Co. | 10 | 968 | ||||||
|
| |||||||
19,699 | ||||||||
|
| |||||||
Electrical Components & Equipments — 0.3% |
| |||||||
Emerson Electric Co. | 147 | 8,805 | ||||||
Encore Wire Corp. | 13 | 661 | ||||||
Hubbell, Inc., Class B | 12 | 1,158 | ||||||
Insteel Industries, Inc. | 11 | 272 | ||||||
Littelfuse, Inc. | 1 | 238 | ||||||
Powell Industries, Inc. | 5 | 135 | ||||||
SPX Corp. (a) | 28 | 783 | ||||||
Vicor Corp. (a) | 10 | 378 | ||||||
|
| |||||||
12,430 | ||||||||
|
| |||||||
Electronics — 1.7% | ||||||||
Advanced Energy Industries, Inc. (a) | 24 | 1,032 | ||||||
Agilent Technologies, Inc. | 121 | 8,171 | ||||||
Alarm.com Holdings, Inc. (a) | 22 | 1,129 | ||||||
Allegion plc, (Ireland) | 6 | 456 | ||||||
Amphenol Corp., Class A | 66 | 5,386 | ||||||
Applied Optoelectronics, Inc. (a) | 12 | 180 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | SIX CIRCLES TRUST | 45 |
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 |
| |||||||
Electronics — continued |
| |||||||
AVX Corp. | 3 | 47 | ||||||
Badger Meter, Inc. | 18 | 906 | ||||||
Bel Fuse, Inc., Class B | 7 | 121 | ||||||
Benchmark Electronics, Inc. | 28 | 596 | ||||||
Brady Corp., Class A | 36 | 1,584 | ||||||
Comtech Telecommunications Corp. | 15 | 364 | ||||||
Control4 Corp. (a) | 16 | 285 | ||||||
Corning, Inc. | 243 | 7,352 | ||||||
Electro Scientific Industries, Inc. (a) | 21 | 638 | ||||||
FARO Technologies, Inc. (a) | 11 | 433 | ||||||
FLIR Systems, Inc. | 33 | 1,431 | ||||||
Gentex Corp. | 36 | 724 | ||||||
Honeywell International, Inc. | 132 | 17,493 | ||||||
II-VI, Inc. (a) | 37 | 1,211 | ||||||
Itron, Inc. (a) | 21 | 1,004 | ||||||
KEMET Corp. | 36 | 630 | ||||||
Keysight Technologies, Inc. (a) | 27 | 1,706 | ||||||
Knowles Corp. (a) | 56 | 749 | ||||||
Mettler-Toledo International, Inc. (a) | 10 | 5,381 | ||||||
National Instruments Corp. | 14 | 649 | ||||||
nVent Electric plc, (United Kingdom) | 33 | 732 | ||||||
OSI Systems, Inc. (a) | 11 | 783 | ||||||
Park Electrochemical Corp. | 12 | 223 | ||||||
PerkinElmer, Inc. | 42 | 3,318 | ||||||
Plexus Corp. (a) | 20 | 1,045 | ||||||
Sanmina Corp. (a) | 43 | 1,040 | ||||||
SYNNEX Corp. | 4 | 341 | ||||||
TE Connectivity Ltd., (Switzerland) | 107 | 8,077 | ||||||
TTM Technologies, Inc. (a) | 58 | 562 | ||||||
Waters Corp. (a) | 29 | 5,462 | ||||||
Watts Water Technologies, Inc., Class A | 19 | 1,241 | ||||||
|
| |||||||
82,482 | ||||||||
|
| |||||||
Engineering & Construction — 0.1% | ||||||||
Aegion Corp., Class A (a) | 20 | 329 | ||||||
Arcosa, Inc. (a) | 31 | 852 | ||||||
Comfort Systems USA, Inc. | 23 | 1,011 | ||||||
Exponent, Inc. | 36 | 1,815 | ||||||
MYR Group, Inc. (a) | 10 | 296 | ||||||
Orion Group Holdings, Inc. (a) | 17 | 75 | ||||||
TopBuild Corp. (a) | 22 | 992 | ||||||
|
| |||||||
5,370 | ||||||||
|
| |||||||
Environmental Control — 0.3% | ||||||||
Pentair plc, (United Kingdom) | 18 | 698 | ||||||
Republic Services, Inc., Class A | 45 | 3,252 | ||||||
Tetra Tech, Inc. | 37 | 1,909 | ||||||
US Ecology, Inc. | 14 | 878 | ||||||
Waste Management, Inc. | 68 | 6,091 | ||||||
|
| |||||||
12,828 | ||||||||
|
| |||||||
Hand/Machine Tools — 0.1% | ||||||||
Franklin Electric Co., Inc. | 27 | 1,140 | ||||||
Lincoln Electric Holdings, Inc. | 8 | 593 | ||||||
Regal Beloit Corp. | 3 | 244 |
SECURITY DESCRIPTION | SHARES | VALUE($) | ||||||
Hand/Machine Tools — continued | ||||||||
Snap-on, Inc. | 10 | 1,408 | ||||||
Stanley Black & Decker, Inc. | 23 | 2,767 | ||||||
|
| |||||||
6,152 | ||||||||
|
| |||||||
Machinery — Construction & Mining — 0.3% |
| |||||||
Astec Industries, Inc. | 14 | 432 | ||||||
BWX Technologies, Inc. | 8 | 309 | ||||||
Caterpillar, Inc. | 115 | 14,606 | ||||||
Oshkosh Corp. | 7 | 441 | ||||||
Terex Corp. | 4 | 114 | ||||||
|
| |||||||
15,902 | ||||||||
|
| |||||||
Machinery — Diversified — 0.4% | ||||||||
AGCO Corp. | 4 | 220 | ||||||
Alamo Group, Inc. | 6 | 475 | ||||||
Albany International Corp., Class A | 18 | 1,136 | ||||||
Applied Industrial Technologies, Inc. | 29 | 1,559 | ||||||
Briggs & Stratton Corp. | 26 | 345 | ||||||
Chart Industries, Inc. (a) | 19 | 1,259 | ||||||
Cummins, Inc. | 35 | 4,638 | ||||||
Dover Corp. | 25 | 1,747 | ||||||
DXP Enterprises, Inc. (a) | 10 | 272 | ||||||
Graco, Inc. | 13 | 541 | ||||||
Ichor Holdings Ltd. (a) | 14 | 224 | ||||||
IDEX Corp. | 6 | 794 | ||||||
Lindsay Corp. | 7 | 655 | ||||||
Nordson Corp. | 4 | 491 | ||||||
Rockwell Automation, Inc. | 20 | 3,083 | ||||||
Roper Technologies, Inc. | 4 | 1,075 | ||||||
SPX FLOW, Inc. (a) | 26 | 803 | ||||||
Tennant Co. | 11 | 593 | ||||||
Wabtec Corp. | 2 | 161 | ||||||
Xylem, Inc. | 15 | 1,032 | ||||||
|
| |||||||
21,103 | ||||||||
|
| |||||||
Metal Fabricate/Hardware — 0.1% | ||||||||
AZZ, Inc. | 17 | 668 | ||||||
CIRCOR International, Inc. (a) | 12 | 255 | ||||||
Mueller Industries, Inc. | 37 | 852 | ||||||
Olympic Steel, Inc. | 6 | 79 | ||||||
Timken Co. (The) | 13 | 468 | ||||||
TimkenSteel Corp. (a) | 23 | 201 | ||||||
Worthington Industries, Inc. | 5 | 162 | ||||||
|
| |||||||
2,685 | ||||||||
|
| |||||||
Miscellaneous Manufacturers — 1.2% | ||||||||
3M Co. | 117 | 22,291 | ||||||
Actuant Corp., Class A | 38 | 800 | ||||||
AO Smith Corp. | 20 | 842 | ||||||
AptarGroup, Inc. | 5 | 471 | ||||||
Axon Enterprise, Inc. (a) | 36 | 1,595 | ||||||
Carlisle Cos., Inc. | 6 | 622 | ||||||
Donaldson Co., Inc. | 12 | 525 | ||||||
Eaton Corp. plc | 129 | 8,864 | ||||||
EnPro Industries, Inc. | 13 | 794 | ||||||
ESCO Technologies, Inc. | 17 | 1,093 |
SEE NOTES TO FINANCIAL STATEMENTS.
46 | SIX CIRCLES TRUST | DECEMBER 31, 2018 |
Table of Contents
SECURITY DESCRIPTION | SHARES | VALUE($) | ||||||
Common Stocks — continued |
| |||||||
Miscellaneous Manufacturers — continued |
| |||||||
Fabrinet, (Thailand) (a) | 23 | 1,177 | ||||||
Federal Signal Corp. | 37 | 745 | ||||||
Harsco Corp. (a) | 49 | 983 | ||||||
Haynes International, Inc. | 8 | 204 | ||||||
Hillenbrand, Inc. | 47 | 1,769 | ||||||
Illinois Tool Works, Inc. | 65 | 8,255 | ||||||
Ingersoll-Rand plc | 39 | 3,542 | ||||||
ITT, Inc. | 5 | 234 | ||||||
John Bean Technologies Corp. | 20 | 1,421 | ||||||
LSB Industries, Inc. (a) | 12 | 65 | ||||||
Lydall, Inc. (a) | 11 | 215 | ||||||
Myers Industries, Inc. | 22 | 336 | ||||||
Proto Labs, Inc. (a) | 17 | 1,898 | ||||||
Raven Industries, Inc. | 22 | 810 | ||||||
Standex International Corp. | 8 | 542 | ||||||
Sturm Ruger & Co., Inc. | 11 | 564 | ||||||
Tredegar Corp. | 17 | 262 | ||||||
Trinity Industries, Inc. | 21 | 441 | ||||||
|
| |||||||
61,360 | ||||||||
|
| |||||||
Packaging & Containers — 0.1% | ||||||||
Bemis Co., Inc. | 16 | 719 | ||||||
Multi-Color Corp. | 9 | 304 | ||||||
Packaging Corp. of America | 22 | 1,835 | ||||||
Silgan Holdings, Inc. | 4 | 105 | ||||||
Sonoco Products Co. | 20 | 1,041 | ||||||
WestRock Co. | 72 | 2,728 | ||||||
|
| |||||||
6,732 | ||||||||
|
| |||||||
Shipbuilding — 0.0%(g) | ||||||||
Huntington Ingalls Industries, Inc. | 5 | 924 | ||||||
|
| |||||||
Transportation — 1.1% | ||||||||
ArcBest Corp. | 16 | 553 | ||||||
Atlas Air Worldwide Holdings, Inc. (a) | 16 | 674 | ||||||
CH Robinson Worldwide, Inc. | 20 | 1,683 | ||||||
CSX Corp. | 88 | 5,448 | ||||||
Echo Global Logistics, Inc. (a) | 18 | 364 | ||||||
Expeditors International of Washington, Inc. | 14 | 978 | ||||||
FedEx Corp. | 24 | 3,949 | ||||||
Forward Air Corp. | 19 | 1,031 | ||||||
Heartland Express, Inc. | 31 | 571 | ||||||
Hub Group, Inc., Class A (a) | 21 | 787 | ||||||
JB Hunt Transport Services, Inc. | 5 | 503 | ||||||
Kansas City Southern | 10 | 955 | ||||||
Landstar System, Inc. | 1 | 128 | ||||||
Marten Transport Ltd. | 25 | 406 | ||||||
Matson, Inc. | 27 | 855 | ||||||
Ryder System, Inc. | 15 | 703 | ||||||
Saia, Inc. (a) | 16 | 900 | ||||||
Union Pacific Corp. | 121 | 16,742 | ||||||
United Parcel Service, Inc., Class B | 184 | 17,974 | ||||||
|
| |||||||
55,204 | ||||||||
|
|
SECURITY DESCRIPTION | SHARES | VALUE($) | ||||||
Trucking & Leasing — 0.0%(g) | ||||||||
GATX Corp. | 5 | 365 | ||||||
Greenbrier Cos., Inc. (The) | 24 | 954 | ||||||
|
| |||||||
1,319 | ||||||||
|
| |||||||
Total Industrials | 391,379 | |||||||
|
| |||||||
Technology — 14.9% | ||||||||
Computers — 4.8% | ||||||||
3D Systems Corp. (a) | 71 | 724 | ||||||
Accenture plc, (Ireland), Class A | 179 | 25,298 | ||||||
Agilysys, Inc. (a) | 11 | 152 | ||||||
Apple, Inc. | 1,046 | 165,071 | ||||||
Cognizant Technology Solutions Corp., Class A | 85 | 5,382 | ||||||
Cray, Inc. (a) | 25 | 545 | ||||||
Cubic Corp. | 18 | 982 | ||||||
Diebold Nixdorf, Inc. | 46 | 115 | ||||||
DXC Technology Co. | 41 | 2,176 | ||||||
Electronics For Imaging, Inc. (a) | 27 | 677 | ||||||
Engility Holdings, Inc. (a) | 11 | 316 | ||||||
ExlService Holdings, Inc. (a) | 22 | 1,154 | ||||||
Fortinet, Inc. (a) | 21 | 1,497 | ||||||
Hewlett Packard Enterprise Co. | 208 | 2,744 | ||||||
HP, Inc. | 232 | 4,737 | ||||||
Insight Enterprises, Inc. (a) | 22 | 911 | ||||||
International Business Machines Corp. | 133 | 15,120 | ||||||
Mercury Systems, Inc. (a) | 30 | 1,435 | ||||||
MTS Systems Corp. | 12 | 472 | ||||||
NetApp, Inc. | 80 | 4,773 | ||||||
OneSpan, Inc. (a) | 20 | 253 | ||||||
Qualys, Inc. (a) | 21 | 1,571 | ||||||
Seagate Technology plc | 38 | 1,475 | ||||||
Sykes Enterprises, Inc. (a) | 26 | 649 | ||||||
TTEC Holdings, Inc. | 9 | 250 | ||||||
Unisys Corp. (a) | 32 | 368 | ||||||
Virtusa Corp. (a) | 17 | 731 | ||||||
Western Digital Corp. | 42 | 1,567 | ||||||
|
| |||||||
241,145 | ||||||||
|
| |||||||
Office/Business Equipment — 0.0%(g) | ||||||||
Xerox Corp. | 85 | 1,689 | ||||||
|
| |||||||
Semiconductors — 3.9% | ||||||||
Advanced Micro Devices, Inc. (a) | 128 | 2,371 | ||||||
Analog Devices, Inc. | 110 | 9,451 | ||||||
Applied Materials, Inc. | 144 | 4,710 | ||||||
Axcelis Technologies, Inc. (a) | 20 | 356 | ||||||
Broadcom, Inc. | 142 | 36,056 | ||||||
Brooks Automation, Inc. | 45 | 1,165 | ||||||
Cabot Microelectronics Corp. | 18 | 1,712 | ||||||
CEVA, Inc. (a) | 13 | 294 | ||||||
Cohu, Inc. | 25 | 408 | ||||||
CTS Corp. | 21 | 540 | ||||||
Diodes, Inc. (a) | 25 | 796 | ||||||
DSP Group, Inc. (a) | 14 | 158 | ||||||
FormFactor, Inc. (a) | 46 | 645 | ||||||
Intel Corp. | 668 | 31,352 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | SIX CIRCLES TRUST | 47 |
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 |
| |||||||
Semiconductors — continued |
| |||||||
IPG Photonics Corp. (a) | 5 | 593 | ||||||
KLA-Tencor Corp. | 57 | 5,059 | ||||||
Kopin Corp. (a) | 38 | 38 | ||||||
Kulicke & Soffa Industries, Inc., (Singapore) | 42 | 852 | ||||||
Lam Research Corp. | 57 | 7,805 | ||||||
Maxim Integrated Products, Inc. | 106 | 5,394 | ||||||
MaxLinear, Inc., Class A (a) | 39 | 684 | ||||||
Microchip Technology, Inc. | 67 | 4,824 | ||||||
Micron Technology, Inc. (a) | 164 | 5,203 | ||||||
MKS Instruments, Inc. | 3 | 196 | ||||||
Nanometrics, Inc. (a) | 15 | 407 | ||||||
NVIDIA Corp. | 107 | 14,346 | ||||||
Photronics, Inc. (a) | 43 | 412 | ||||||
Power Integrations, Inc. | 19 | 1,168 | ||||||
Qorvo, Inc. (a) | 18 | 1,117 | ||||||
QUALCOMM, Inc. | 177 | 10,097 | ||||||
Rambus, Inc. (a) | 67 | 515 | ||||||
Rudolph Technologies, Inc. (a) | 20 | 403 | ||||||
Semtech Corp. (a) | 41 | 1,884 | ||||||
Skyworks Solutions, Inc. | 53 | 3,533 | ||||||
SMART Global Holdings, Inc. (a) | 7 | 221 | ||||||
Texas Instruments, Inc. | 328 | 30,999 | ||||||
Ultra Clean Holdings, Inc. (a) | 23 | 197 | ||||||
Veeco Instruments, Inc. (a) | 29 | 214 | ||||||
Xilinx, Inc. | 65 | 5,533 | ||||||
Xperi Corp. | 30 | 559 | ||||||
|
| |||||||
192,267 | ||||||||
|
| |||||||
Software — 6.2% | ||||||||
Activision Blizzard, Inc. | 37 | 1,712 | ||||||
Adobe, Inc. (a) | 71 | 16,165 | ||||||
Akamai Technologies, Inc. (a) | 24 | 1,460 | ||||||
ANSYS, Inc. (a) | 12 | 1,747 | ||||||
Autodesk, Inc. (a) | 32 | 4,127 | ||||||
Bottomline Technologies DE, Inc. (a) | 22 | 1,080 | ||||||
Broadridge Financial Solutions, Inc. | 34 | 3,266 | ||||||
Cadence Design Systems, Inc. (a) | 41 | 1,794 | ||||||
Cerner Corp. (a) | 125 | 6,563 | ||||||
Citrix Systems, Inc. | 19 | 1,918 | ||||||
Computer Programs & Systems, Inc. | 8 | 200 | ||||||
CSG Systems International, Inc. | 21 | 678 | ||||||
Digi International, Inc. (a) | 17 | 174 | ||||||
Donnelley Financial Solutions, Inc. (a) | 22 | 306 | ||||||
Dun & Bradstreet Corp. (The) | 3 | 487 | ||||||
Ebix, Inc. | 14 | 588 | ||||||
Fidelity National Information Services, Inc. | 75 | 7,714 | ||||||
Fiserv, Inc. (a) | 58 | 4,290 | ||||||
Intuit, Inc. | 54 | 10,675 | ||||||
j2 Global, Inc. | 7 | 499 | ||||||
Jack Henry & Associates, Inc. | 17 | 2,114 | ||||||
LivePerson, Inc. (a) | 36 | 677 | ||||||
ManTech International Corp., Class A | 17 | 879 | ||||||
Microsoft Corp. | 1,732 | 175,873 |
SECURITY DESCRIPTION | SHARES | VALUE($) | ||||||
Software — continued | ||||||||
MicroStrategy, Inc., Class A (a) | 6 | 767 | ||||||
Monotype Imaging Holdings, Inc. | 27 | 412 | ||||||
MSCI, Inc., Class A | 9 | 1,380 | ||||||
NextGen Healthcare, Inc. (a) | 30 | 448 | ||||||
Omnicell, Inc. (a) | 25 | 1,528 | ||||||
Oracle Corp. | 686 | 30,992 | ||||||
Paychex, Inc. | 47 | 3,049 | ||||||
PDF Solutions, Inc. (a) | 17 | 144 | ||||||
Progress Software Corp. | 28 | 997 | ||||||
Red Hat, Inc. (a) | 26 | 4,552 | ||||||
salesforce.com, Inc. (a) | 112 | 15,337 | ||||||
SPS Commerce, Inc. (a) | 11 | 904 | ||||||
Synopsys, Inc. (a) | 22 | 1,840 | ||||||
Tabula Rasa HealthCare, Inc. (a) | 10 | 665 | ||||||
TiVo Corp. | 78 | 738 | ||||||
|
| |||||||
308,739 | ||||||||
|
| |||||||
Total Technology | 743,840 | |||||||
|
| |||||||
Utilities — 2.2% | ||||||||
Electric — 1.8% | ||||||||
AES Corp. | 150 | 2,167 | ||||||
ALLETE, Inc. | 9 | 675 | ||||||
Alliant Energy Corp. | 48 | 2,011 | ||||||
American Electric Power Co., Inc. | 124 | 9,303 | ||||||
Avista Corp. | 55 | 2,355 | ||||||
Black Hills Corp. | 10 | 625 | ||||||
CenterPoint Energy, Inc. | 135 | 3,802 | ||||||
CMS Energy Corp. | 53 | 2,653 | ||||||
Consolidated Edison, Inc. | 76 | 5,811 | ||||||
DTE Energy Co. | 38 | 4,180 | ||||||
El Paso Electric Co. | 32 | 1,629 | ||||||
Evergy, Inc. | 58 | 3,315 | ||||||
Eversource Energy | 65 | 4,201 | ||||||
IDACORP, Inc. | 8 | 734 | ||||||
MDU Resources Group, Inc. | 38 | 904 | ||||||
MGE Energy, Inc. | 3 | 204 | ||||||
NextEra Energy, Inc. | 89 | 15,447 | ||||||
NorthWestern Corp. | 11 | 630 | ||||||
OGE Energy Corp. | 49 | 1,910 | ||||||
Ormat Technologies, Inc. | 1 | 41 | ||||||
Otter Tail Corp. | 5 | 263 | ||||||
Pinnacle West Capital Corp. | 25 | 2,140 | ||||||
PNM Resources, Inc. | 11 | 459 | ||||||
Portland General Electric Co. | 16 | 755 | ||||||
Public Service Enterprise Group, Inc. | 115 | 5,978 | ||||||
Sempra Energy | 59 | 6,397 | ||||||
WEC Energy Group, Inc. | 66 | 4,587 | ||||||
Xcel Energy, Inc. | 104 | 5,108 | ||||||
|
| |||||||
88,284 | ||||||||
|
| |||||||
Gas — 0.3% | ||||||||
Atmos Energy Corp. | 17 | 1,582 | ||||||
National Fuel Gas Co. | 17 | 859 | ||||||
New Jersey Resources Corp. | 12 | 566 |
SEE NOTES TO FINANCIAL STATEMENTS.
48 | SIX CIRCLES TRUST | DECEMBER 31, 2018 |
Table of Contents
SECURITY DESCRIPTION | SHARES | VALUE($) | ||||||
Common Stocks — continued |
| |||||||
Gas — continued |
| |||||||
NiSource, Inc. | 72 | 1,820 | ||||||
Northwest Natural Holding Co. | 19 | 1,124 | ||||||
South Jersey Industries, Inc. | 73 | 2,034 | ||||||
Southwest Gas Holdings, Inc. | 8 | 627 | ||||||
Spire, Inc. | 43 | 3,166 | ||||||
UGI Corp. | 20 | 1,076 | ||||||
Vectren Corp. | 15 | 1,076 | ||||||
|
| |||||||
13,930 | ||||||||
|
| |||||||
Water — 0.1% |
| |||||||
American States Water Co. | 26 | 1,776 | ||||||
American Water Works Co., Inc. | 23 | 2,124 | ||||||
Aqua America, Inc. | 30 | 1,013 | ||||||
California Water Service Group | 34 | 1,618 | ||||||
|
| |||||||
6,531 | ||||||||
|
| |||||||
Total Utilities | 108,745 | |||||||
|
| |||||||
Total Common Stocks | 4,963,117 | |||||||
|
|
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE($) | ||||||
Short-Term Investments — 0.5% | ||||||||
Time Deposits — 0.5% | ||||||||
Australia & New Zealand Banking Group Ltd., 1.77%, 01/02/2019 | 800 | 800 | ||||||
BNP Paribas SA, 1.77%, 01/02/2019 | 11,023 | 11,023 | ||||||
Brown Brothers Harriman, 1.77%, 01/02/2019 | 9,249 | 9,249 | ||||||
Citibank NA, 1.77%, 01/02/2019 | 2,928 | 2,928 | ||||||
|
| |||||||
Total Short-Term Investments | 24,000 | |||||||
|
| |||||||
Total Investments — 100.2% | 4,987,117 | |||||||
Liabilities in Excess of Other Assets — (0.2%) |
| (7,659 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% | $ | 4,979,458 | ||||||
|
|
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 | ||||||||||||||||||||
S&P 500 E-mini Index | 7 | 03/2019 | USD | 846 | 31 | |||||||||||||||
|
| |||||||||||||||||||
Total unrealized appreciation (depreciation) | 31 | |||||||||||||||||||
|
|
Summary of Investments by Industry, December 31, 2018
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
INDUSTRY | PERCENTAGE | |||
Pharmaceuticals | 15.0 | % | ||
Oil & Gas | 8.7 | % | ||
Healthcare — Products | 7.5 | % | ||
Software | 6.2 | % | ||
Banks | 5.6 | % | ||
Healthcare — Services | 5.0 | % | ||
Computers | 4.8 | % | ||
Internet | 4.6 | % | ||
Biotechnology | 4.2 | % | ||
Semiconductors | 3.9 | % | ||
Retail | 3.7 | % | ||
Telecommunications | 3.0 | % | ||
Diversified Financial Services | 2.9 | % | ||
Insurance | 2.1 | % | ||
Electric | 1.8 | % |
INDUSTRY | PERCENTAGE | |||
Aerospace/Defense | 1.7 | % | ||
Electronics | 1.6 | % | ||
Commercial Services | 1.6 | % | ||
Beverages | 1.6 | % | ||
Cosmetics/Personal Care | 1.3 | % | ||
Miscellaneous Manufacturers | 1.2 | % | ||
Transportation | 1.1 | % | ||
Others (Each less than 1.0%) | 10.4 | % | ||
Short-Term Investments | 0.5 | % |
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
REIT | — Real Estate Investment Trust | |
(a) | — Non-income producing security. | |
(g) | — Amount rounds to less than 0.05%. | |
(h) | — Amount rounds to less than 500. |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | SIX CIRCLES TRUST | 49 |
Table of Contents
Six Circles International 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($) | ||||||
Common Stocks — 98.7% |
| |||||||
Australia — 0.5% | ||||||||
BHP Group plc | 642 | 13,565 | ||||||
|
| |||||||
Austria — 0.8% | ||||||||
ANDRITZ AG | 48 | 2,184 | ||||||
OMV AG | 204 | 8,895 | ||||||
Raiffeisen Bank International AG | 103 | 2,640 | ||||||
Verbund AG | 86 | 3,697 | ||||||
voestalpine AG | 84 | 2,514 | ||||||
|
| |||||||
19,930 | ||||||||
|
| |||||||
Belgium — 1.4% | ||||||||
Ageas | 173 | 7,772 | ||||||
Colruyt SA | 67 | 4,773 | ||||||
Proximus SADP | 103 | 2,784 | ||||||
Solvay SA | 52 | 5,185 | ||||||
Telenet Group Holding NV | 35 | 1,648 | ||||||
UCB SA | 58 | 4,767 | ||||||
Umicore SA | 178 | 7,108 | ||||||
|
| |||||||
34,037 | ||||||||
|
| |||||||
Chile — 0.1% | ||||||||
Antofagasta plc | 261 | 2,611 | ||||||
|
| |||||||
Denmark — 2.8% | ||||||||
AP Moller—Maersk A/S, Class A | — | (h) | 556 | |||||
AP Moller—Maersk A/S, Class B | 1 | 969 | ||||||
Carlsberg A/S, Class B | 14 | 1,528 | ||||||
Chr Hansen Holding A/S | 109 | 9,684 | ||||||
Coloplast A/S, Class B | 44 | 4,131 | ||||||
Danske Bank A/S | 28 | 549 | ||||||
DSV A/S | 184 | 12,141 | ||||||
Genmab A/S (a) | 40 | 6,654 | ||||||
H Lundbeck A/S | 46 | 2,022 | ||||||
ISS A/S | 111 | 3,106 | ||||||
Novozymes A/S, Class B | 145 | 6,497 | ||||||
Orsted A/S (e) | 58 | 3,903 | ||||||
Pandora A/S | 72 | 2,960 | ||||||
Tryg A/S | 121 | 3,055 | ||||||
Vestas Wind Systems A/S | 129 | 9,753 | ||||||
William Demant Holding A/S (a) | 91 | 2,579 | ||||||
|
| |||||||
70,087 | ||||||||
|
| |||||||
Finland — 2.6% | ||||||||
Elisa OYJ | 124 | 5,117 | ||||||
Fortum OYJ | 97 | 2,114 | ||||||
Metso OYJ | 70 | 1,836 | ||||||
Neste OYJ | 226 | 17,534 | ||||||
Nokia OYJ | 2,219 | 12,883 | ||||||
Nokian Renkaat OYJ | 77 | 2,378 | ||||||
Orion OYJ, Class B | 69 | 2,402 | ||||||
Stora Enso OYJ, Class R | 385 | 4,459 | ||||||
UPM-Kymmene OYJ | 502 | 12,719 | ||||||
Wartsila OYJ Abp | 295 | 4,701 | ||||||
|
| |||||||
66,143 | ||||||||
|
|
SECURITY DESCRIPTION | SHARES | VALUE($) | ||||||
France — 17.4% | ||||||||
Accor SA | 125 | 5,298 | ||||||
Aeroports de Paris | 31 | 5,925 | ||||||
Airbus SE | 159 | 15,190 | ||||||
Alstom SA | 147 | 5,937 | ||||||
Amundi SA (e) | 39 | 2,087 | ||||||
Arkema SA | 48 | 4,128 | ||||||
Atos SE | 77 | 6,314 | ||||||
AXA SA | 113 | 2,430 | ||||||
BioMerieux | 28 | 1,817 | ||||||
BNP Paribas SA | 76 | 3,445 | ||||||
Bouygues SA | 22 | 792 | ||||||
Bureau Veritas SA | 178 | 3,630 | ||||||
Capgemini SE | 154 | 15,312 | ||||||
Carrefour SA | 97 | 1,665 | ||||||
Casino Guichard Perrachon SA | 56 | 2,342 | ||||||
Cie de Saint-Gobain | 65 | 2,159 | ||||||
Cie Generale des Etablissements Michelin SCA | 9 | 866 | ||||||
CNP Assurances | 8 | 168 | ||||||
Covivio | 31 | 2,990 | ||||||
Credit Agricole SA | 79 | 850 | ||||||
Dassault Aviation SA | 2 | 3,043 | ||||||
Dassault Systemes SE | 48 | 5,698 | ||||||
Edenred | 259 | 9,533 | ||||||
Eiffage SA | 52 | 4,362 | ||||||
Electricite de France SA | 294 | 4,653 | ||||||
Engie SA | 167 | 2,401 | ||||||
EssilorLuxottica SA | 99 | 12,503 | ||||||
Eurazeo SE | 31 | 2,196 | ||||||
Eutelsat Communications SA | 116 | 2,282 | ||||||
Faurecia SA | 52 | 1,946 | ||||||
Gecina SA | 30 | 3,908 | ||||||
Getlink SE | 406 | 5,462 | ||||||
Hermes International | 8 | 4,501 | ||||||
ICADE | 23 | 1,729 | ||||||
Iliad SA | 18 | 2,486 | ||||||
Imerys SA | 24 | 1,163 | ||||||
Ingenico Group SA | 44 | 2,481 | ||||||
Ipsen SA | 34 | 4,440 | ||||||
JCDecaux SA | 48 | 1,361 | ||||||
Kering SA | 14 | 6,693 | ||||||
Klepierre SA | 156 | 4,834 | ||||||
Legrand SA | 176 | 9,940 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 55 | 16,242 | ||||||
Orange SA | 101 | 1,636 | ||||||
Pernod Ricard SA | 50 | 8,238 | ||||||
Peugeot SA | 444 | 9,475 | ||||||
Remy Cointreau SA | 15 | 1,720 | ||||||
Renault SA | 23 | 1,431 | ||||||
Rexel SA | 246 | 2,619 | ||||||
Safran SA | 155 | 18,614 | ||||||
Sanofi | 474 | 41,082 | ||||||
Sartorius Stedim Biotech | 35 | 3,497 | ||||||
Schneider Electric SE | 40 | 2,682 | ||||||
SCOR SE | 176 | 7,932 | ||||||
SEB SA | 15 | 1,919 |
SEE NOTES TO FINANCIAL STATEMENTS.
50 | SIX CIRCLES TRUST | DECEMBER 31, 2018 |
Table of Contents
SECURITY DESCRIPTION | SHARES | VALUE($) | ||||||
Common Stocks — continued |
| |||||||
France — continued | ||||||||
Societe BIC SA | 17 | 1,757 | ||||||
Societe Generale SA | 74 | 2,354 | ||||||
Sodexo SA | 60 | 6,124 | ||||||
Suez | 250 | 3,302 | ||||||
Teleperformance | 59 | 9,473 | ||||||
Thales SA | 47 | 5,529 | ||||||
TOTAL SA | 1,628 | 85,871 | ||||||
Ubisoft Entertainment SA (a) | 75 | 6,056 | ||||||
Valeo SA | 169 | 4,915 | ||||||
Veolia Environnement SA | 360 | 7,369 | ||||||
Vinci SA | 33 | 2,728 | ||||||
Wendel SA | 19 | 2,222 | ||||||
|
| |||||||
435,747 | ||||||||
|
| |||||||
Germany — 7.1% | ||||||||
1&1 Drillisch AG | 35 | 1,801 | ||||||
Axel Springer SE | 33 | 1,842 | ||||||
Bayer AG (Registered) | 75 | 5,247 | ||||||
Bayerische Motoren Werke AG | 24 | 1,910 | ||||||
Brenntag AG | 102 | 4,448 | ||||||
Commerzbank AG (a) | 744 | 4,941 | ||||||
Covestro AG (e) | 138 | 6,857 | ||||||
Daimler AG (Registered) | 71 | 3,722 | ||||||
Delivery Hero SE (a) (e) | 61 | 2,267 | ||||||
Deutsche Bank AG (Registered) | 230 | 1,834 | ||||||
Deutsche Boerse AG | 69 | 8,256 | ||||||
Deutsche Lufthansa AG (Registered) | 213 | 4,801 | ||||||
Deutsche Wohnen SE | 347 | 15,843 | ||||||
Evonik Industries AG | 7 | 172 | ||||||
Fraport AG Frankfurt Airport Services Worldwide | 28 | 1,999 | ||||||
Fresenius Medical Care AG & Co. KGaA | 10 | 669 | ||||||
Fresenius SE & Co. KGaA | 12 | 569 | ||||||
GEA Group AG | 107 | 2,768 | ||||||
Hannover Rueck SE | 58 | 7,853 | ||||||
HeidelbergCement AG | 11 | 678 | ||||||
HOCHTIEF AG | 14 | 1,925 | ||||||
HUGO BOSS AG | 42 | 2,563 | ||||||
KION Group AG | 46 | 2,357 | ||||||
LANXESS AG | 57 | 2,633 | ||||||
Merck KGaA | 52 | 5,314 | ||||||
METRO AG | 162 | 2,495 | ||||||
MTU Aero Engines AG | 66 | 12,000 | ||||||
OSRAM Licht AG | 66 | 2,860 | ||||||
ProSiebenSat.1 Media SE | 155 | 2,758 | ||||||
Puma SE | 8 | 4,084 | ||||||
RWE AG | 343 | 7,460 | ||||||
Siemens AG (Registered) | 61 | 6,790 | ||||||
Siemens Healthineers AG (a) (e) | 59 | 2,474 | ||||||
Symrise AG | 128 | 9,480 | ||||||
Telefonica Deutschland Holding AG | 505 | 1,986 | ||||||
TUI AG | 287 | 4,127 | ||||||
Uniper SE | 199 | 5,121 | ||||||
United Internet AG (Registered) | 82 | 3,594 | ||||||
Volkswagen AG | 3 | 505 |
SECURITY DESCRIPTION | SHARES | VALUE($) | ||||||
Germany — continued | ||||||||
Vonovia SE | 118 | 5,309 | ||||||
Wirecard AG | 72 | 10,881 | ||||||
Zalando SE (a) (e) | 73 | 1,888 | ||||||
|
| |||||||
177,081 | ||||||||
|
| |||||||
Ireland — 1.8% | ||||||||
AerCap Holdings NV (a) | 112 | 4,418 | ||||||
AIB Group plc | 525 | 2,215 | ||||||
Bank of Ireland Group plc | 660 | 3,673 | ||||||
DCC plc | 68 | 5,199 | ||||||
Kerry Group plc, Class A | 153 | 15,152 | ||||||
Kingspan Group plc | 101 | 4,314 | ||||||
Paddy Power Betfair plc | 54 | 4,413 | ||||||
Smurfit Kappa Group plc | 186 | 4,958 | ||||||
|
| |||||||
44,342 | ||||||||
|
| |||||||
Isle of Man — 0.1% | ||||||||
GVC Holdings plc | 359 | 3,084 | ||||||
|
| |||||||
Italy — 3.8% | ||||||||
Assicurazioni Generali SpA | 57 | 952 | ||||||
Atlantia SpA | 17 | 344 | ||||||
Davide Campari-Milano SpA | 554 | 4,691 | ||||||
Enel SpA | 498 | 2,885 | ||||||
ENI SpA | 2,379 | 37,580 | ||||||
Ferrari NV | 110 | 10,905 | ||||||
Intesa Sanpaolo SpA | 447 | 995 | ||||||
Leonardo SpA | 152 | 1,336 | ||||||
Mediobanca Banca di Credito Finanziario SpA | 446 | 3,774 | ||||||
Moncler SpA | 160 | 5,334 | ||||||
Pirelli & C SpA (a) (e) | 265 | 1,704 | ||||||
Poste Italiane SpA (e) | 350 | 2,806 | ||||||
Prysmian SpA | 178 | 3,459 | ||||||
Recordati SpA | 71 | 2,453 | ||||||
Snam SpA | 1,585 | 6,938 | ||||||
Telecom Italia SpA (a) | 1,335 | 739 | ||||||
Telecom Italia SpA | 821 | 394 | ||||||
Terna Rete Elettrica Nazionale SpA | 1,100 | 6,250 | ||||||
UniCredit SpA | 178 | 2,014 | ||||||
|
| |||||||
95,553 | ||||||||
|
| |||||||
Luxembourg — 1.2% | ||||||||
ArcelorMittal | 78 | 1,616 | ||||||
Aroundtown SA | 950 | 7,883 | ||||||
Eurofins Scientific SE | 8 | 2,809 | ||||||
Millicom International Cellular SA, ADR | 44 | 2,816 | ||||||
RTL Group SA | 26 | 1,385 | ||||||
SES SA, Class A | 432 | 8,271 | ||||||
Tenaris SA | 387 | 4,159 | ||||||
|
| |||||||
28,939 | ||||||||
|
| |||||||
Mexico — 0.1% | ||||||||
Fresnillo plc | 148 | 1,627 | ||||||
|
| |||||||
Netherlands — 12.3% | ||||||||
Aegon NV | 530 | 2,485 | ||||||
ASML Holding NV | 78 | 12,263 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | SIX CIRCLES TRUST | 51 |
Table of Contents
Six Circles International 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 |
| |||||||
Netherlands — continued | ||||||||
EXOR NV | 77 | 4,181 | ||||||
ING Groep NV | 184 | 1,983 | ||||||
Koninklijke Ahold Delhaize NV | 758 | 19,161 | ||||||
Koninklijke DSM NV | 33 | 2,659 | ||||||
Koninklijke KPN NV | 2,252 | 6,577 | ||||||
Koninklijke Philips NV | 38 | 1,349 | ||||||
Koninklijke Vopak NV | 110 | 5,006 | ||||||
NN Group NV | 292 | 11,616 | ||||||
NXP Semiconductors NV | 31 | 2,240 | ||||||
QIAGEN NV (a) | 232 | 7,942 | ||||||
Randstad NV | 89 | 4,084 | ||||||
Royal Dutch Shell plc, Class A | 3,877 | 114,125 | ||||||
Royal Dutch Shell plc, Class B | 3,129 | 93,539 | ||||||
Wolters Kluwer NV | 313 | 18,381 | ||||||
|
| |||||||
307,591 | ||||||||
|
| |||||||
Norway — 2.4% | ||||||||
Aker BP ASA | 181 | 4,571 | ||||||
Equinor ASA | 1,228 | 26,056 | ||||||
Gjensidige Forsikring ASA | 132 | 2,063 | ||||||
Marine Harvest ASA | 507 | 10,695 | ||||||
Norsk Hydro ASA | 960 | 4,351 | ||||||
Orkla ASA | 552 | 4,319 | ||||||
Schibsted ASA, Class B | 110 | 3,344 | ||||||
Yara International ASA | 124 | 4,770 | ||||||
|
| |||||||
60,169 | ||||||||
|
| |||||||
Portugal — 0.5% | ||||||||
EDP—Energias de Portugal SA | 132 | 462 | ||||||
Galp Energia SGPS SA | 708 | 11,150 | ||||||
Jeronimo Martins SGPS SA | 167 | 1,975 | ||||||
|
| |||||||
13,587 | ||||||||
|
| |||||||
South Africa — 0.1% | ||||||||
Investec plc | 445 | 2,499 | ||||||
|
| |||||||
Spain — 3.2% | ||||||||
ACS Actividades de Construccion y Servicios SA | 200 | 7,758 | ||||||
Amadeus IT Group SA | 212 | 14,750 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 329 | 1,747 | ||||||
Banco de Sabadell SA | 4,398 | 5,032 | ||||||
Banco Santander SA | 867 | 3,937 | ||||||
Bankia SA | 1,022 | 2,991 | ||||||
Bankinter SA | 511 | 4,100 | ||||||
Enagas SA | 17 | 463 | ||||||
Grifols SA | 208 | 5,450 | ||||||
Iberdrola SA | 315 | 2,531 | ||||||
Mapfre SA | 1,072 | 2,848 | ||||||
Naturgy Energy Group SA | 120 | 3,055 | ||||||
Red Electrica Corp. SA | 231 | 5,143 | ||||||
Repsol SA | 1,007 | 16,184 | ||||||
Siemens Gamesa Renewable Energy SA (a) | 203 | 2,471 | ||||||
Telefonica SA | 228 | 1,919 | ||||||
|
| |||||||
80,379 | ||||||||
|
|
SECURITY DESCRIPTION | SHARES | VALUE($) | ||||||
Sweden — 4.1% | ||||||||
Alfa Laval AB | 286 | 6,158 | ||||||
Boliden AB | 196 | 4,237 | ||||||
Electrolux AB, Class B | 158 | 3,328 | ||||||
Epiroc AB, Class A (a) | 435 | 4,138 | ||||||
Epiroc AB, Class B (a) | 256 | 2,282 | ||||||
Hexagon AB, Class B | 213 | 9,836 | ||||||
Husqvarna AB, Class B | 275 | 2,039 | ||||||
ICA Gruppen AB | 88 | 3,148 | ||||||
Industrivarden AB, Class C | 114 | 2,314 | ||||||
Kinnevik AB, Class B | 158 | 3,824 | ||||||
L E Lundbergforetagen AB, Class B | 50 | 1,470 | ||||||
Lundin Petroleum AB | 333 | 8,312 | ||||||
Securitas AB, Class B | 308 | 4,954 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 464 | 4,512 | ||||||
Skanska AB, Class B | 226 | 3,604 | ||||||
SKF AB, Class B | 263 | 3,999 | ||||||
Swedbank AB, Class A | 248 | 5,550 | ||||||
Swedish Match AB | 224 | 8,825 | ||||||
Tele2 AB, Class B | 331 | 4,221 | ||||||
Telefonaktiebolaget LM Ericsson, Class B | 1,420 | 12,572 | ||||||
Telia Co. AB | 751 | 3,570 | ||||||
Volvo AB, Class B | 55 | 720 | ||||||
|
| |||||||
103,613 | ||||||||
|
| |||||||
Switzerland — 13.3% | ||||||||
Adecco Group AG (Registered) | 114 | 5,354 | ||||||
Baloise Holding AG (Registered) | 31 | 4,325 | ||||||
Barry Callebaut AG (Registered) | 2 | 3,763 | ||||||
Chocoladefabriken Lindt & Spruengli AG | 1 | 7,071 | ||||||
Chocoladefabriken Lindt & Spruengli AG (Registered) | — | (h) | 8,284 | |||||
Clariant AG (Registered) (a) | 133 | 2,453 | ||||||
Coca-Cola HBC AG (a) | 134 | 4,195 | ||||||
Credit Suisse Group AG (Registered) (a) | 119 | 1,299 | ||||||
Dufry AG (Registered) (a) | 22 | 2,054 | ||||||
EMS-Chemie Holding AG (Registered) | 5 | 2,595 | ||||||
Ferguson plc | 153 | 9,797 | ||||||
Geberit AG (Registered) | 25 | 9,582 | ||||||
Givaudan SA (Registered) | 10 | 22,394 | ||||||
Glencore plc (a) | 722 | 2,685 | ||||||
Julius Baer Group Ltd. (a) | 146 | 5,210 | ||||||
LafargeHolcim Ltd. (Registered) (a) | 21 | 851 | ||||||
Lonza Group AG (Registered) (a) | 87 | 22,527 | ||||||
Nestle SA (Registered) | 520 | 42,237 | ||||||
Novartis AG (Registered) | 595 | 50,970 | ||||||
Pargesa Holding SA | 26 | 1,859 | ||||||
Partners Group Holding AG | 16 | 9,650 | ||||||
Roche Holding AG | 176 | 43,577 | ||||||
Sika AG (Registered) | 125 | 15,837 | ||||||
Sonova Holding AG (Registered) | 37 | 6,039 | ||||||
STMicroelectronics NV | 517 | 7,329 | ||||||
Straumann Holding AG (Registered) | 7 | 4,290 | ||||||
Swiss Life Holding AG (Registered) (a) | 36 | 13,944 | ||||||
Swiss Prime Site AG (Registered) (a) | 53 | 4,271 | ||||||
Swiss Re AG | 68 | 6,248 |
SEE NOTES TO FINANCIAL STATEMENTS.
52 | SIX CIRCLES TRUST | DECEMBER 31, 2018 |
Table of Contents
SECURITY DESCRIPTION | SHARES | VALUE($) | ||||||
Common Stocks — continued |
| |||||||
Switzerland — continued | ||||||||
Temenos AG (Registered) (a) | 61 | 7,335 | ||||||
Vifor Pharma AG | 41 | 4,450 | ||||||
|
| |||||||
332,475 | ||||||||
|
| |||||||
United Arab Emirates — 0.1% | ||||||||
NMC Health plc | 98 | 3,426 | ||||||
|
| |||||||
United Kingdom — 22.8% | ||||||||
3i Group plc | 686 | 6,773 | ||||||
Admiral Group plc | 133 | 3,471 | ||||||
Anglo American plc | 346 | 7,743 | ||||||
Ashtead Group plc | 410 | 8,544 | ||||||
AstraZeneca plc | 497 | 37,108 | ||||||
Auto Trader Group plc (e) | 990 | 5,745 | ||||||
Babcock International Group plc | 209 | 1,304 | ||||||
Barclays plc | 1,605 | 3,072 | ||||||
Barratt Developments plc | 733 | 4,323 | ||||||
Berkeley Group Holdings plc | 87 | 3,880 | ||||||
BP plc | 19,157 | 121,107 | ||||||
British American Tobacco plc | 194 | 6,188 | ||||||
British Land Co. plc (The) | 690 | 4,691 | ||||||
BT Group plc | 422 | 1,283 | ||||||
Bunzl plc | 318 | 9,592 | ||||||
Burberry Group plc | 273 | 5,993 | ||||||
Centrica plc | 3,753 | 6,475 | ||||||
CNH Industrial NV | 674 | 6,088 | ||||||
Coca-Cola European Partners plc | 92 | 4,233 | ||||||
ConvaTec Group plc (e) | 951 | 1,684 | ||||||
Croda International plc | 134 | 8,005 | ||||||
Diageo plc | 686 | 24,499 | ||||||
Direct Line Insurance Group plc | 914 | 3,716 | ||||||
easyJet plc | 120 | 1,695 | ||||||
Experian plc | 325 | 7,884 | ||||||
Fiat Chrysler Automobiles NV (a) | 131 | 1,890 | ||||||
G4S plc | 1,031 | 2,602 | ||||||
GlaxoSmithKline plc | 1,491 | 28,419 | ||||||
Hammerson plc | 564 | 2,372 | ||||||
Hargreaves Lansdown plc | 274 | 6,467 | ||||||
Imperial Brands plc | 146 | 4,430 | ||||||
Informa plc | 824 | 6,615 | ||||||
InterContinental Hotels Group plc | 120 | 6,472 | ||||||
International Consolidated Airlines Group SA | 145 | 1,152 | ||||||
Intertek Group plc | 107 | 6,529 | ||||||
ITV plc | 2,401 | 3,822 | ||||||
J Sainsbury plc | 2,357 | 7,966 | ||||||
John Wood Group plc | 1,115 | 7,175 | ||||||
Johnson Matthey plc | 127 | 4,517 | ||||||
Kingfisher plc | 1,532 | 4,029 | ||||||
Land Securities Group plc | 569 | 5,840 | ||||||
Lloyds Banking Group plc | 2,965 | 1,954 | ||||||
London Stock Exchange Group plc | 292 | 15,161 | ||||||
Marks & Spencer Group plc | 1,136 | 3,563 | ||||||
Meggitt plc | 847 | 5,085 | ||||||
Melrose Industries plc | 3,376 | 7,053 | ||||||
Merlin Entertainments plc (e) | 473 | 1,917 |
SECURITY DESCRIPTION | SHARES | VALUE($) | ||||||
United Kingdom — continued | ||||||||
Micro Focus International plc | 356 | 6,234 | ||||||
Mondi plc | 242 | 5,048 | ||||||
Next plc | 124 | 6,290 | ||||||
Pearson plc | 813 | 9,738 | ||||||
Persimmon plc | 218 | 5,380 | ||||||
Rio Tinto plc | 317 | 15,172 | ||||||
Royal Bank of Scotland Group plc | 293 | 814 | ||||||
Royal Mail plc | 743 | 2,577 | ||||||
RSA Insurance Group plc | 668 | 4,386 | ||||||
Sage Group plc (The) | 717 | 5,502 | ||||||
Schroders plc | 81 | 2,529 | ||||||
Segro plc | 915 | 6,868 | ||||||
Severn Trent plc | 164 | 3,811 | ||||||
Smith & Nephew plc | 579 | 10,842 | ||||||
Smiths Group plc | 262 | 4,555 | ||||||
St James’s Place plc | 346 | 4,165 | ||||||
Standard Chartered plc | 197 | 1,530 | ||||||
Standard Life Aberdeen plc | 1,542 | 5,048 | ||||||
Taylor Wimpey plc | 2,316 | 4,028 | ||||||
Tesco plc | 2,937 | 7,124 | ||||||
United Utilities Group plc | 468 | 4,398 | ||||||
Vodafone Group plc | 1,881 | 3,657 | ||||||
Weir Group plc (The) | 161 | 2,666 | ||||||
Whitbread plc | 180 | 10,502 | ||||||
Wm Morrison Supermarkets plc | 2,636 | 7,167 | ||||||
WPP plc | 54 | 588 | ||||||
|
| |||||||
570,745 | ||||||||
|
| |||||||
United States — 0.2% | ||||||||
Carnival plc | 114 | 5,467 | ||||||
|
| |||||||
Total Common Stocks | 2,472,697 | |||||||
|
| |||||||
Preferred Stocks — 0.5% | ||||||||
Germany — 0.5% | ||||||||
Bayerische Motoren Werke AG | 5 | 335 | ||||||
FUCHS PETROLUB SE | 46 | 1,903 | ||||||
Porsche Automobil Holding SE | 20 | 1,185 | ||||||
Sartorius AG | 38 | 4,749 | ||||||
Volkswagen AG | 18 | 2,858 | ||||||
|
| |||||||
Total Preferred Stocks | 11,030 | |||||||
|
| |||||||
NUMBER OF RIGHTS | ||||||||
Right — 0.0%(g) |
| |||||||
Spain — 0.0%(g) | ||||||||
Repsol SA, expiring 01/23/2019 (a) | 999 | 458 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | SIX CIRCLES TRUST | 53 |
Table of Contents
Six Circles International 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 | PRINCIPAL AMOUNT ($) | VALUE($) | ||||||
Short-Term Investments — 1.1% | ||||||||
Time Deposits — 1.1% | ||||||||
BNP Paribas SA, 1.77%, 01/02/2019 | 7,826 | 7,826 | ||||||
Brown Brothers Harriman, | ||||||||
(1.45%), 01/03/2019 | CHF | 1,951 | 1,985 | |||||
(0.65%), 01/02/2019 | DKK | 2,722 | 418 | |||||
(0.27%), 01/04/2019 | JPY | 1,023 | 9 | |||||
0.24%, 01/02/2019 | NOK | 602 | 70 | |||||
1.77%, 01/02/2019 | 1,574 | 1,574 | ||||||
Citibank NA, | ||||||||
(0.57%), 01/02/2019 | EUR | 6,329 | 7,251 | |||||
0.37%, 01/02/2019 | GBP | 5,148 | 6,561 | |||||
1.77%, 01/02/2019 | 852 | 852 | ||||||
Skandinaviska Enskilda Banken AB, (4.70%), 01/02/2019 | SEK | 7,307 | 824 | |||||
|
| |||||||
Total Short-Term Investments | 27,370 | |||||||
|
| |||||||
Total Investments — 100.3% | 2,511,555 | |||||||
Liabilities in Excess of Other Assets — (0.3)% |
| (7,047 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% | $ | 2,504,508 | ||||||
|
|
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 |
| |||||||||||||||||||
EURO STOXX 50 Index | 218 | 03/2019 | EUR | 7,391 | 37 | |||||||||||||||
FTSE 100 Index | 81 | 03/2019 | GBP | 6,850 | 25 | |||||||||||||||
|
| |||||||||||||||||||
Total unrealized appreciation (depreciation) |
| 62 | ||||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
54 | SIX CIRCLES TRUST | DECEMBER 31, 2018 |
Table of Contents
Summary of Investments by Industry, December 31, 2018
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
INDUSTRY | PERCENTAGE | |||
Oil & Gas | 21.9 | % | ||
Pharmaceuticals | 9.4 | % | ||
Food | 6.3 | % | ||
Chemicals | 3.8 | % | ||
Insurance | 3.5 | % | ||
Healthcare — Products | 3.2 | % | ||
Telecommunications | 3.0 | % | ||
Banks | 2.8 | % | ||
Commercial Services | 2.7 | % | ||
Aerospace/Defense | 2.4 | % | ||
Diversified Financial Services | 2.3 | % | ||
Mining | 2.1 | % | ||
Beverages | 2.0 | % | ||
Media | 2.0 | % | ||
Electric | 1.9 | % | ||
Software | 1.8 | % | ||
Apparel | 1.7 | % | ||
Auto Manufacturers | 1.4 | % | ||
Building Materials | 1.4 | % | ||
Computers | 1.3 | % | ||
Real Estate | 1.3 | % | ||
REITS | 1.3 | % | ||
Machinery — Diversified | 1.2 | % | ||
Engineering & Construction | 1.2 | % | ||
Miscellaneous Manufacturers | 1.1 | % | ||
Forest Products & Paper | 1.1 | % | ||
Others (Each less than 1.0%) | 14.8 | % | ||
Short-Term Investments | 1.1 | % |
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
ADR | — American Depositary Receipt | |
(a) | — Non-income producing security. | |
(e) | — Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |
(g) | — Amount rounds to less than 0.05%. | |
(h) | — Amount rounds to less than 500. | |
CHF | — Swiss Franc | |
DKK | — Danish Krone | |
EUR | — Euro | |
GBP | — British Pound | |
JPY | — Japanese Yen | |
NOK | — Norwegian Krone | |
SEK | — Swedish Krona |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | SIX CIRCLES TRUST | 55 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2018
(Amounts in thousands, except per share amounts)
Six Circles Ultra Short Duration Fund | ||||
ASSETS: | ||||
Investments innon-affiliates, at value | $ | 931,258 | ||
Repurchase agreements, at value | 172,500 | |||
Foreign currency, at value | — | (a) | ||
Deposits at broker for futures contracts | 641 | |||
Deposits at broker for centrally cleared swaps | 1,183 | |||
Deferred offering costs | 93 | |||
Prepaid expenses | 56 | |||
Receivables: | ||||
Fund shares sold | 1,284 | |||
Interest and dividends fromnon-affiliates | 4,346 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 28 | |||
Due from adviser | 256 | |||
|
| |||
Total Assets | 1,111,645 | |||
|
| |||
LIABILITIES: | ||||
Payables: | ||||
Due to custodian | 245 | |||
Investment securities purchased | 27,370 | |||
Fund shares redeemed | 635 | |||
Variation margin on futures contracts | 104 | |||
Variation margin on centrally cleared swaps (net upfront receipts of $35) | 40 | |||
Accrued liabilities: | ||||
Investment advisory fees | 89 | |||
Administration fees | 19 | |||
Custodian and accounting fees | 45 | |||
Trustees’ fees | — | (a) | ||
Registration and filing fees | 140 | |||
Other | 108 | |||
|
| |||
Total Liabilities | 28,795 | |||
|
| |||
Net Assets | $ | 1,082,850 | ||
|
| |||
NET ASSETS: | ||||
Paid-in capital | $ | 1,086,578 | ||
Total distributable earnings (loss) | (3,728 | ) | ||
|
| |||
Total Net Assets | $ | 1,082,850 | ||
|
| |||
Outstanding units of beneficial interest (shares) | 108,552 | |||
Net Asset Value, offering and redemption price per share (b): | $ | 9.98 | ||
Cost of investments innon-affiliates | $ | 932,863 | ||
Cost of repurchase agreements | 172,500 | |||
Cost of foreign currency | — | (a) |
(a) | Amount rounds to less than $500. |
(b) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
56 | SIX CIRCLES TRUST | DECEMBER 31, 2018 |
Table of Contents
Six Circles Tax Aware Ultra Short Duration Fund | ||||
ASSETS: | ||||
Investments innon-affiliates, at value | $ | 1,116,279 | ||
Repurchase agreements, at value | 11,000 | |||
Foreign currency, at value | — | (a) | ||
Deposits at broker for futures contracts | 626 | |||
Deposits at broker for centrally cleared swaps | 1,158 | |||
Deferred offering costs | 93 | |||
Prepaid expenses | 56 | |||
Receivables: | ||||
Fund shares sold | 791 | |||
Interest and dividends fromnon-affiliates | 5,540 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 6 | |||
Due from adviser | 261 | |||
|
| |||
Total Assets | 1,135,810 | |||
|
| |||
LIABILITIES: | ||||
Payables: | ||||
Due to custodian | 223 | |||
Investment securities purchased | 34,735 | |||
Fund shares redeemed | 2,315 | |||
Variation margin on futures contracts | 112 | |||
Variation margin on centrally cleared swaps (net upfront receipts of $25) | 11 | |||
Accrued liabilities: | ||||
Investment advisory fees | 81 | |||
Administration fees | 19 | |||
Custodian and accounting fees | 38 | |||
Trustees’ fees | — | (a) | ||
Registration and filing fees | 172 | |||
Other | 100 | |||
|
| |||
Total Liabilities | 37,806 | |||
|
| |||
Net Assets | $ | 1,098,004 | ||
|
| |||
NET ASSETS: | ||||
Paid-in capital | $ | 1,100,445 | ||
Total distributable earnings (loss) | (2,441 | ) | ||
|
| |||
Total Net Assets | $ | 1,098,004 | ||
|
| |||
Outstanding units of beneficial interest (shares) | 110,043 | |||
Net Asset Value, offering and redemption price per share (b): | $ | 9.98 | ||
Cost of investments innon-affiliates | $ | 1,116,486 | ||
Cost of repurchase agreements | 11,000 | |||
Cost of foreign currency | — | (a) |
(a) | Amount rounds to less than $500. |
(b) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | SIX CIRCLES TRUST | 57 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2018
(Amounts in thousands, except per share amounts)
Six Circles U.S. Unconstrained Equity Fund | ||||
ASSETS: | ||||
Investments innon-affiliates, at value | $ | 4,987,117 | ||
Cash | 75 | |||
Deposits at broker for futures contracts | 43 | |||
Deferred offering costs | 89 | |||
Prepaid expenses | 12 | |||
Receivables: | ||||
Investment securities sold | 1,730 | |||
Fund shares sold | 13,653 | |||
Interest and dividends fromnon-affiliates | 4,996 | |||
Tax reclaims | 99 | |||
Variation margin on futures contracts | 7 | |||
|
| |||
Total Assets | 5,007,821 | |||
|
| |||
LIABILITIES: | ||||
Payables: | ||||
Investment securities purchased | 22,398 | |||
Fund shares redeemed | 4,794 | |||
Accrued liabilities: | ||||
Investment advisory fees | 126 | |||
Administration fees | 17 | |||
Custodian and accounting fees | 65 | |||
Trustees’ fees | 1 | |||
Registration and filing fees | 762 | |||
Other | 200 | |||
|
| |||
Total Liabilities | 28,363 | |||
|
| |||
Net Assets | $ | 4,979,458 | ||
|
| |||
NET ASSETS: | ||||
Paid-in capital | $ | 5,400,898 | ||
Total distributable earnings (loss) | (421,440 | ) | ||
|
| |||
Total Net Assets | $ | 4,979,458 | ||
|
| |||
Outstanding units of beneficial interest (shares) | 550,310 | |||
Net Asset Value, offering and redemption price per share (b): | $ | 9.05 | ||
Cost of investments innon-affiliates | $ | 5,371,491 |
(b) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
58 | SIX CIRCLES TRUST | DECEMBER 31, 2018 |
Table of Contents
Six Circles International Unconstrained Equity Fund | ||||
ASSETS: | ||||
Investments innon-affiliates, at value | $ | 2,511,555 | ||
Cash | 35 | |||
Deposits at broker for futures contracts | 840 | |||
Deferred offering costs | 89 | |||
Prepaid expenses | 12 | |||
Receivables: | ||||
Investment securities sold | 5,185 | |||
Fund shares sold | 7,431 | |||
Interest and dividends fromnon-affiliates | 2,236 | |||
Tax reclaims | 179 | |||
|
| |||
Total Assets | 2,527,562 | |||
|
| |||
LIABILITIES: | ||||
Payables: | ||||
Due to custodian | 9 | |||
Investment securities purchased | 19,588 | |||
Fund shares redeemed | 2,694 | |||
Variation margin on futures contracts | 13 | |||
Accrued liabilities: | ||||
Investment advisory fees | 83 | |||
Administration fees | 19 | |||
Custodian and accounting fees | 135 | |||
Trustees’ fees | 1 | |||
Registration and filing fees | 382 | |||
Other | 130 | |||
|
| |||
Total Liabilities | 23,054 | |||
|
| |||
Net Assets | $ | 2,504,508 | ||
|
| |||
NET ASSETS: | ||||
Paid-in capital | $ | 2,720,802 | ||
Total distributable earnings (loss) | (216,294 | ) | ||
|
| |||
Total Net Assets | $ | 2,504,508 | ||
|
| |||
Outstanding units of beneficial interest (shares) | 301,894 | |||
Net Asset Value, offering and redemption price per share (b): | $ | 8.30 | ||
Cost of investments innon-affiliates | $ | 2,684,105 | ||
Cost of foreign currency | (9 | ) |
(b) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | SIX CIRCLES TRUST | 59 |
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED DECEMBER 31, 2018
(Amounts in thousands)
Six Circles Ultra Short Duration Fund* | ||||
INVESTMENT INCOME: |
| |||
Interest income from non-affiliates | $ | 5,858 | ||
|
| |||
Total investment income | 5,858 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees | 544 | |||
Administration fees | 19 | |||
Custodian and accounting fees | 45 | |||
Professional fees | 94 | |||
Organizational fees | 217 | |||
Trustees’ fees | 218 | |||
Printing and mailing costs | 23 | |||
Registration and filing fees | 190 | |||
Transfer agency fees | 37 | |||
Recoupment of expense reimbursement | 277 | |||
Offering costs | 69 | |||
Interest expense | 5 | |||
Other | 4 | |||
|
| |||
Total expenses | 1,742 | |||
|
| |||
Less advisory fees waived | (334 | ) | ||
Less expense reimbursements | (533 | ) | ||
|
| |||
Net expenses | 875 | |||
|
| |||
Net investment income (loss) | 4,983 | |||
|
| |||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on: | ||||
Investments in non-affiliates | 3 | |||
Futures contracts | (1,413 | ) | ||
Securities sold short | (7 | ) | ||
Foreign currency transactions | — | (a) | ||
Forward foreign currency exchange contracts | 2 | |||
Swaps | 243 | |||
|
| |||
Net realized gain (loss) | (1,172 | ) | ||
|
| |||
Change in net unrealized appreciation (depreciation) of: | ||||
Investments in non-affiliates | (1,605 | ) | ||
Futures contracts | (245 | ) | ||
Foreign currency translations | 3 | |||
Forward foreign currency exchange contracts | 28 | |||
Swaps | (685 | ) | ||
|
| |||
Change in net unrealized appreciation (depreciation) | (2,504 | ) | ||
|
| |||
Net realized/unrealized gains (losses) | (3,676 | ) | ||
|
| |||
Change in net assets resulting from operations | $ | 1,307 | ||
|
|
* | Six Circles Ultra Short Duration Fund was launched on July 9, 2018. |
(a) | Amount rounds to less than $500. |
SEE NOTES TO FINANCIAL STATEMENTS.
60 | SIX CIRCLES TRUST | DECEMBER 31, 2018 |
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Six Circles Tax Aware Ultra Short Duration Fund* | ||||
INVESTMENT INCOME: |
| |||
Interest income from non-affiliates | $ | 4,548 | ||
|
| |||
Total investment income | 4,548 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees | 535 | |||
Administration fees | 19 | |||
Custodian and accounting fees | 38 | |||
Professional fees | 84 | |||
Organizational fees | 217 | |||
Trustees’ fees | 217 | |||
Printing and mailing costs | 23 | |||
Registration and filing fees | 222 | |||
Transfer agency fees | 37 | |||
Recoupment of expense reimbursement | 275 | |||
Offering costs | 69 | |||
Interest expense | 6 | |||
Other | 4 | |||
|
| |||
Total expenses | 1,746 | |||
|
| |||
Less advisory fees waived | (348 | ) | ||
Less expense reimbursements | (536 | ) | ||
|
| |||
Net expenses | 862 | |||
|
| |||
Net investment income (loss) | 3,686 | |||
|
| |||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on: | ||||
Investments in non-affiliates | 1 | |||
Futures contracts | (1,382 | ) | ||
Securities sold short | (6 | ) | ||
Foreign currency transactions | (6 | ) | ||
Forward foreign currency exchange contracts | 2 | |||
Swaps | 237 | |||
|
| |||
Net realized gain (loss) | (1,154 | ) | ||
|
| |||
Change in net unrealized appreciation (depreciation) of: | ||||
Investments in non-affiliates | (207 | ) | ||
Futures contracts | (290 | ) | ||
Foreign currency translations | 3 | |||
Forward foreign currency exchange contracts | 6 | |||
Swaps | (675 | ) | ||
|
| |||
Change in net unrealized appreciation (depreciation) | (1,163 | ) | ||
|
| |||
Net realized/unrealized gains (losses) | (2,317 | ) | ||
|
| |||
Change in net assets resulting from operations | $ | 1,369 | ||
|
|
* | Six Circles Tax Aware Ultra Short Duration Fund was launched on July 9, 2018. |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | SIX CIRCLES TRUST | 61 |
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED DECEMBER 31, 2018
(Amounts in thousands)
Six Circles U.S. Unconstrained Equity Fund* | ||||
INVESTMENT INCOME: |
| |||
Interest income from non-affiliates | $ | 434 | ||
Dividend income from non-affiliates | 20,716 | |||
Foreign taxes withheld | (10 | ) | ||
|
| |||
Total investment income | 21,140 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees | 2,189 | |||
Administration fees | 17 | |||
Custodian and accounting fees | 65 | |||
Professional fees | 183 | |||
Organizational fees | 217 | |||
Trustees’ fees | 150 | |||
Printing and mailing costs | 102 | |||
Registration and filing fees | 773 | |||
Transfer agency fees | 37 | |||
Recoupment of expense reimbursement | 527 | |||
Offering costs | 66 | |||
Interest expense | — | (a) | ||
Other | 7 | |||
|
| |||
Total expenses | 4,333 | |||
|
| |||
Less advisory fees waived | (1,927 | ) | ||
Less expense reimbursements | (527 | ) | ||
|
| |||
Net expenses | 1,879 | |||
|
| |||
Net investment income (loss) | 19,261 | |||
|
| |||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on: | ||||
Investments in non-affiliates | (36,716 | ) | ||
Futures contracts | 203 | |||
|
| |||
Net realized gain (loss) | (36,513 | ) | ||
|
| |||
Change in net unrealized appreciation (depreciation) of: | ||||
Investments in non-affiliates | (384,374 | ) | ||
Futures contracts | 31 | |||
|
| |||
Change in net unrealized appreciation (depreciation) | (384,343 | ) | ||
|
| |||
Net realized/unrealized gains (losses) | (420,856 | ) | ||
|
| |||
Change in net assets resulting from operations | $ | (401,595 | ) | |
|
|
* | Six Circles U.S. Unconstrained Equity Fund was launched on July 9, 2018. |
(a) | Amount rounds to less than $500. |
SEE NOTES TO FINANCIAL STATEMENTS.
62 | SIX CIRCLES TRUST | DECEMBER 31, 2018 |
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Six Circles International Unconstrained Equity Fund* | ||||
INVESTMENT INCOME: |
| |||
Interest income from non-affiliates | $ | 195 | ||
Dividend income from non-affiliates | 9,273 | |||
Foreign taxes withheld | (596 | ) | ||
|
| |||
Total investment income | 8,872 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees | 1,085 | |||
Administration fees | 19 | |||
Custodian and accounting fees | 135 | |||
Professional fees | 119 | |||
Organizational fees | 217 | |||
Trustees’ fees | 93 | |||
Printing and mailing costs | 49 | |||
Registration and filing fees | 393 | |||
Transfer agency fees | 37 | |||
Recoupment of expense reimbursement | 580 | |||
Offering costs | 65 | |||
Interest expense | 24 | |||
Other | 4 | |||
|
| |||
Total expenses | 2,820 | |||
|
| |||
Less advisory fees waived | (911 | ) | ||
Less expense reimbursements | (580 | ) | ||
|
| |||
Net expenses | 1,329 | |||
|
| |||
Net investment income (loss) | 7,543 | |||
|
| |||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on: | ||||
Investments in non-affiliates | (37,930 | ) | ||
Futures contracts | (5,742 | ) | ||
Foreign currency transactions | (2,763 | ) | ||
|
| |||
Net realized gain (loss) | (46,435 | ) | ||
|
| |||
Change in net unrealized appreciation (depreciation) of: | ||||
Investments in non-affiliates | (172,550 | ) | ||
Futures contracts | 62 | |||
Foreign currency translations | 52 | |||
|
| |||
Change in net unrealized appreciation (depreciation) | (172,436 | ) | ||
|
| |||
Net realized/unrealized gains (losses) | (218,871 | ) | ||
|
| |||
Change in net assets resulting from operations | $ | (211,328 | ) | |
|
|
* | Six Circles International Unconstrained Equity Fund was launched on July 9, 2018. |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | SIX CIRCLES TRUST | 63 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED DECEMBER 31, 2018
(Amounts in thousands)
Six Circles Ultra Short Duration Fund* | ||||
Period Ended December 31, 2018 | ||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||
Net investment income (loss) | $ | 4,983 | ||
Net realized gain (loss) | (1,172 | ) | ||
Change in net unrealized appreciation (depreciation) | (2,504 | ) | ||
|
| |||
Change in net assets resulting from operations | 1,307 | |||
|
| |||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Distributions to shareholders | (5,035 | ) | ||
CAPITAL TRANSACTIONS: | ||||
Change in net assets resulting from capital transactions | 1,086,578 | |||
|
| |||
NET ASSETS: | ||||
Change in net assets | 1,082,850 | |||
Beginning of period | — | |||
|
| |||
End of period | $ | 1,082,850 | ||
|
| |||
CAPITAL TRANSACTIONS: | ||||
Proceeds from shares issued | $ | 1,156,695 | ||
Distributions reinvested | 5,035 | |||
Cost of shares redeemed | (75,152 | ) | ||
|
| |||
Total change in net assets resulting from capital transactions | $ | 1,086,578 | ||
|
| |||
SHARE TRANSACTIONS: | ||||
Issued | 115,561 | |||
Reinvested | 504 | |||
Redeemed | (7,513 | ) | ||
|
| |||
Change in Shares | 108,552 | |||
|
|
* | Six Circles Ultra Short Duration Fund was launched on July 9, 2018. |
SEE NOTES TO FINANCIAL STATEMENTS.
64 | SIX CIRCLES TRUST | DECEMBER 31, 2018 |
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Six Circles Tax Aware Ultra Short Duration Fund* | ||||
Period Ended December 31, 2018 | ||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||
Net investment income (loss) | $ | 3,686 | ||
Net realized gain (loss) | (1,154 | ) | ||
Change in net unrealized appreciation (depreciation) | (1,163 | ) | ||
|
| |||
Change in net assets resulting from operations | 1,369 | |||
|
| |||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Distributions to shareholders | (3,810 | ) | ||
CAPITAL TRANSACTIONS: | ||||
Change in net assets resulting from capital transactions | 1,100,445 | |||
|
| |||
NET ASSETS: | ||||
Change in net assets | 1,098,004 | |||
Beginning of period | — | |||
|
| |||
End of period | $ | 1,098,004 | ||
|
| |||
CAPITAL TRANSACTIONS: | ||||
Proceeds from shares issued | $ | 1,164,544 | ||
Distributions reinvested | 3,810 | |||
Cost of shares redeemed | (67,909 | ) | ||
|
| |||
Total change in net assets resulting from capital transactions | $ | 1,100,445 | ||
|
| |||
SHARE TRANSACTIONS: | ||||
Issued | 116,455 | |||
Reinvested | 381 | |||
Redeemed | (6,793 | ) | ||
|
| |||
Change in Shares | 110,043 | |||
|
|
* | Six Circles Tax Aware Ultra Short Duration Fund was launched on July 9, 2018. |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | SIX CIRCLES TRUST | 65 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED DECEMBER 31, 2018
(Amounts in thousands)
Six Circles U.S. Unconstrained Equity Fund* | ||||
Period Ended December 31, 2018 | ||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||
Net investment income (loss) | $ | 19,261 | ||
Net realized gain (loss) | (36,513 | ) | ||
Change in net unrealized appreciation (depreciation) | (384,343 | ) | ||
|
| |||
Change in net assets resulting from operations | (401,595 | ) | ||
|
| |||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Distributions to shareholders | (19,845 | ) | ||
CAPITAL TRANSACTIONS: | ||||
Change in net assets resulting from capital transactions | 5,400,898 | |||
|
| |||
NET ASSETS: | ||||
Change in net assets | 4,979,458 | |||
Beginning of period | — | |||
|
| |||
End of period | $ | 4,979,458 | ||
|
| |||
CAPITAL TRANSACTIONS: | ||||
Proceeds from shares issued | $ | 5,520,423 | ||
Distributions reinvested | 19,845 | |||
Cost of shares redeemed | (139,370 | ) | ||
|
| |||
Total change in net assets resulting from capital transactions | $ | 5,400,898 | ||
|
| |||
SHARE TRANSACTIONS: | ||||
Issued | 562,971 | |||
Reinvested | 2,208 | |||
Redeemed | (14,869 | ) | ||
|
| |||
Change in Shares | 550,310 | |||
|
|
* | Six Circles U.S. Unconstrained Equity Fund was launched on July 9, 2018. |
SEE NOTES TO FINANCIAL STATEMENTS.
66 | SIX CIRCLES TRUST | DECEMBER 31, 2018 |
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Six Circles International Unconstrained Equity Fund* | ||||
Period Ended December 31, 2018 | ||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||
Net investment income (loss) | $ | 7,543 | ||
Net realized gain (loss) | (46,435 | ) | ||
Change in net unrealized appreciation (depreciation) | (172,436 | ) | ||
|
| |||
Change in net assets resulting from operations | (211,328 | ) | ||
|
| |||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Distributions to shareholders | (4,966 | ) | ||
CAPITAL TRANSACTIONS: | ||||
Change in net assets resulting from capital transactions | 2,720,802 | |||
|
| |||
NET ASSETS: | ||||
Change in net assets | 2,504,508 | |||
Beginning of period | — | |||
|
| |||
End of period | $ | 2,504,508 | ||
|
| |||
CAPITAL TRANSACTIONS: | ||||
Proceeds from shares issued | $ | 2,786,528 | ||
Distributions reinvested | 4,966 | |||
Cost of shares redeemed | (70,692 | ) | ||
|
| |||
Total change in net assets resulting from capital transactions | $ | 2,720,802 | ||
|
| |||
SHARE TRANSACTIONS: | ||||
Issued | 309,559 | |||
Reinvested | 602 | |||
Redeemed | (8,267 | ) | ||
|
| |||
Change in Shares | 301,894 | |||
|
|
* | Six Circles International Unconstrained Equity Fund was launched on July 9, 2018. |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | SIX CIRCLES TRUST | 67 |
Table of Contents
FOR THE PERIOD ENDED DECEMBER 31, 2018
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments and foreign currency transactions | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Six Circles Ultra Short Duration Fund* | ||||||||||||||||||||||||||||
Period Ended December 31, 2018 | $ | 10.00 | $ | 0.11 | $ | (0.04 | ) | $ | 0.07 | $ | (0.09 | ) | $ | — | $ | (0.09 | ) |
* | Six Circles Ultra Short Duration Fund was launched on July 9, 2018. |
(a) | Certain expenses incurred by the Fund were not annualized for the period. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
68 | SIX CIRCLES TRUST | DECEMBER 31, 2018 |
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| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets(a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 9.98 | 0.74 | % | $ | 1,082,850 | 0.23 | % | 2.46 | % | 0.63 | % | 24.56 | % |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | SIX CIRCLES TRUST | 69 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIOD ENDED DECEMBER 31, 2018
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments and foreign currency transactions | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Six Circles Tax Aware Ultra Short Duration Fund* |
| |||||||||||||||||||||||||||
Period Ended December 31, 2018 | $ | 10.00 | $ | 0.08 | $ | (0.03 | ) | $ | 0.05 | $ | (0.07 | ) | $ | — | $ | (0.07 | ) |
* | Six Circles Tax Aware Ultra Short Duration Fund was launched on July 9, 2018. |
(a) | Certain expenses incurred by the Fund were not annualized for the period. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
70 | SIX CIRCLES TRUST | DECEMBER 31, 2018 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets(a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 9.98 | 0.48 | % | $ | 1,098,004 | 0.22 | % | 1.90 | % | 0.64 | % | 33.02 | % |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | SIX CIRCLES TRUST | 71 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIOD ENDED DECEMBER 31, 2018
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments and foreign currency transactions | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Six Circles U.S. Unconstrained Equity Fund* |
| |||||||||||||||||||||||||||
Period Ended December 31, 2018 | $ | 10.00 | $ | 0.10 | $ | (1.01 | ) | $ | (0.91 | ) | $ | (0.04 | ) | $ | — | (f) | $ | (0.04 | ) |
* | Six Circles U.S. Unconstrained Equity Fund was launched on July 9, 2018. |
(a) | Certain expenses incurred by the Fund were not annualized for the period. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
(f) | Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
72 | SIX CIRCLES TRUST | DECEMBER 31, 2018 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets(a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 9.05 | (9.13 | )% | $ | 4,979,458 | 0.14 | % | 2.27 | % | 0.42 | % | 15.24 | % |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | SIX CIRCLES TRUST | 73 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIOD ENDED DECEMBER 31, 2018
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments and foreign currency transactions | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Six Circles International Unconstrained Equity Fund* |
| |||||||||||||||||||||||||||
Period Ended December 31, 2018 | $ | 10.00 | $ | 0.07 | $ | (1.75 | ) | $ | (1.68 | ) | $ | (0.02 | ) | $ | — | $ | (0.02 | ) |
* | Six Circles International Unconstrained Equity Fund was launched on July 9, 2018. |
(a) | Certain expenses incurred by the Fund were not annualized for the period. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes interest expense, which was 0.006% for the period ended December 31, 2018. |
SEE NOTES TO FINANCIAL STATEMENTS.
74 | SIX CIRCLES TRUST | DECEMBER 31, 2018 |
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| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets(a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 8.30 | (16.83 | )% | $ | 2,504,508 | 0.21 | % | 1.84 | % | 0.55 | % | 76.24 | % |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | SIX CIRCLES TRUST | 75 |
Table of Contents
AS OF DECEMBER 31, 2018
1. Organization
Six Circles Trust (the “Trust”) was formed on November 8, 2017, as a Delaware statutory trust, pursuant to a Declaration of Trust dated November 8, 2017, as amended and restated June 12, 2018, and further amended September 21, 2018 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
The Trust consists of the following series that were in operation as of December 31, 2018: Six Circles Ultra Short Duration Fund, Six Circles Tax Aware Ultra Short Duration Fund, Six Circles U.S. Unconstrained Equity Fund, and Six Circles International Unconstrained Equity Fund (each, a “Fund” and collectively, the “Funds”). The Funds are classified as “non-diversified” funds. Each Fund currently offers one class of shares. The Funds commenced operations on July 9, 2018.
The investment objective of each of the Six Circles Ultra Short Duration Fund and the Six Circles Tax Aware Ultra Short Duration Fund is to generate current income consistent with capital preservation.
The investment objective of each of the Six Circles U.S. Unconstrained Equity Fund and the Six Circles International Unconstrained Equity Fund is to provide capital appreciation.
The Six Circles Managed Equity Portfolio U.S. Unconstrained Fund and the Six Circles Managed Equity Portfolio International Unconstrained Fund were established as new series of the Trust September 21, 2018, but were not yet in operation as of December 31, 2018. The objective of both Funds is to provide capital appreciation.
J.P. Morgan Private Investments Inc. (“JPMPI”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as the Funds’ investment adviser (the “Adviser”). The Adviser has engaged certain Sub-Advisers to manage the assets of the Funds.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Funds’ valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
The Board has appointed the Six Circles Funds Valuation Committee (“VC”), comprised of officers of the Funds and other personnel of the Adviser, to assist the Board with the oversight and monitoring of the valuation of the Funds’ investments. The VC oversees and carries out policies and procedures for the valuation of investments held by the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events and pricing vendor due diligence. The VC, through the Adviser, is responsible for assessing the potential impacts to the fair values on an ongoing basis, and discussing this on at least a quarterly basis with the Board.
A market-based approach is primarily used to value the Funds’ investments for which market quotations are readily available and which are generally valued at their current market value. Other securities and assets, including securities for which market quotations are not readily available, market quotations are determined not to be reliable, or whose value has been materially affected by events occurring after the close of trading on the exchange or market on which the security is principally traded but before a Fund’s net asset value (“NAV”) is calculated, are valued by approved pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. The valuation may include related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment in order to determine the fair value of the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based on current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used, had a ready market for the investments existed, and such differences could be material.
Equity securities listed on a North American, Central American, South American or Caribbean (“Americas”) securities exchange are generally valued at the last sale price or official market closing price on the primary exchange on which the security is principally traded that is reported before the time when the net assets values of the Funds are calculated on a valuation date. The Funds calculate their NAV as of 4 p.m. Eastern time each day the New York Stock Exchange (NYSE) is open for trading.
Foreign equity securities are valued as of the close of trading on the stock exchange on which the security is primarily traded, or as of 4 p.m. Eastern time. The value is then converted into its U.S. dollar equivalent at the foreign exchange rate in effect at 4 p.m. Eastern time on the day that the value of the security is determined. Generally foreign equity securities, as well as certain derivatives with equity reference obligations, are valued by applying international fair value factors provided by approved Pricing Services.
76 | SIX CIRCLES TRUST | DECEMBER 31, 2018 |
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The factors seek to adjust the local closing price for movements of local markets post-closing, but prior to the time the NAVs are calculated. The fair valued securities are converted at the exchange rates available at 4 p.m. Eastern time.
Fixed income securities are valued based on prices received from Pricing Services. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, Pricing Services may consider a variety of inputs and factors, including, but not limited to proprietary models that may take into account market transactions in securities with comparable characteristics, yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, underlying collateral and estimated cash flows.
Futures are generally valued on the basis of available market quotations. Swaps and forward foreign currency exchange contracts are valued utilizing market quotations from approved Pricing Services.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Funds’ investments are summarized into the three broad levels listed below.
• | Level 1 —Unadjusted inputs using quoted prices in active markets for identical investments. |
• | Level 2 —Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
• | Level 3 —Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds’ assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):
Six Circles Ultra Short Duration Fund
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 103,945 | $ | — | $ | 103,945 | ||||||||
Certificates of Deposit | — | 3,253 | — | 3,253 | ||||||||||||
Collateralized Mortgage Obligations | — | 8,147 | — | 8,147 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 20,366 | — | 20,366 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Basic Materials | — | 3,792 | — | 3,792 | ||||||||||||
Communications | — | 34,389 | — | 34,389 | ||||||||||||
Consumer Cyclical | — | 56,771 | — | 56,771 | ||||||||||||
Consumer Non-cyclical | — | 92,966 | — | 92,966 | ||||||||||||
Diversified | — | 197 | — | 197 | ||||||||||||
Energy | — | 29,535 | — | 29,535 | ||||||||||||
Financial | — | 196,839 | — | 196,839 | ||||||||||||
Industrial | — | 33,046 | — | 33,046 | ||||||||||||
Technology | — | 29,677 | — | 29,677 | ||||||||||||
Utilities | — | 23,198 | — | 23,198 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Corporate Bonds | — | 500,410 | — | 500,410 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Government Securities | — | 18,566 | — | 18,566 | ||||||||||||
Mortgage-Backed Securities | — | 30,556 | — | 30,556 | ||||||||||||
U.S. Government Agency Securities | — | 27,567 | — | 27,567 | ||||||||||||
U.S. Treasury Obligations | — | 48,422 | — | 48,422 |
DECEMBER 31, 2018 | SIX CIRCLES TRUST | 77 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2018 (continued)
Six Circles Ultra Short Duration Fund (Continued)
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Short-Term Investments | ||||||||||||||||
Certificates of Deposit | $ | — | $ | 38,851 | $ | — | $ | 38,851 | ||||||||
Commercial Papers | — | 81,588 | — | 81,588 | ||||||||||||
Corporate Note | — | 1,300 | — | 1,300 | ||||||||||||
Foreign Government Security | — | 15,476 | — | 15,476 | ||||||||||||
Repurchase Agreements | — | 172,500 | — | 172,500 | ||||||||||||
Time Deposits | — | 3,995 | — | 3,995 | ||||||||||||
U.S. Treasury Obligations | — | 28,816 | — | 28,816 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 342,526 | — | 342,526 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | — | $ | 1,103,758 | $ | — | $ | 1,103,758 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 530 | $ | — | $ | — | $ | 530 | ||||||||
Forward Foreign Currency Exchange Contracts | — | 28 | — | 28 | ||||||||||||
Swaps | 1,730 | 1,730 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Appreciation in Other Financial Instruments | $ | 530 | $ | 1,758 | $ | — | $ | 2,288 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | (775 | ) | $ | — | $ | — | $ | (775 | ) | ||||||
Swaps | — | (2,415 | ) | — | (2,415 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Depreciation in Other Financial Instruments | $ | (775 | ) | $ | (2,415 | ) | $ | — | $ | (3,190 | ) | |||||
|
|
|
|
|
|
|
|
Six Circles Tax Aware Ultra Short Duration Fund
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (“SOIs”) (amounts in thousands):
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 39,895 | $ | — | $ | 39,895 | ||||||||
Collateralized Mortgage Obligations | — | 8,147 | — | 8,147 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 10,165 | — | 10,165 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Basic Materials | — | 412 | — | 412 | ||||||||||||
Communications | — | 18,927 | — | 18,927 | ||||||||||||
Consumer Cyclical | — | 24,303 | — | 24,303 | ||||||||||||
Consumer Non-cyclical | — | 37,727 | — | 37,727 | ||||||||||||
Diversified | — | 197 | — | 197 | ||||||||||||
Energy | — | 18,673 | — | 18,673 | ||||||||||||
Financial | — | 85,461 | — | 85,461 | ||||||||||||
Industrial | — | 3,898 | — | 3,898 | ||||||||||||
Technology | — | 12,574 | — | 12,574 | ||||||||||||
Utilities | — | 11,643 | — | 11,643 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Corporate Bonds | — | 213,815 | — | 213,815 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Government Securities | — | 17,918 | — | 17,918 | ||||||||||||
Mortgage-Backed Securities | — | 30,771 | — | 30,771 | ||||||||||||
Municipal Bonds | — | 696,989 | — | 696,989 | ||||||||||||
U.S. Government Agency Securities | — | 28,071 | — | 28,071 |
78 | SIX CIRCLES TRUST | DECEMBER 31, 2018 |
Table of Contents
Six Circles Tax Aware Ultra Short Duration Fund (Continued)
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Short-Term Investments | ||||||||||||||||
Commercial Papers | $ | — | $ | 31,896 | $ | — | $ | 31,896 | ||||||||
Municipal Bonds | — | 36,516 | — | 36,516 | ||||||||||||
Repurchase Agreements | — | 11,000 | — | 11,000 | ||||||||||||
Time Deposits | — | 2,096 | — | 2,096 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 81,508 | — | 81,508 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | — | $ | 1,127,279 | $ | — | $ | 1,127,279 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 570 | $ | — | $ | — | $ | 570 | ||||||||
Forward Foreign Currency Exchange Contracts | — | 6 | — | 6 | ||||||||||||
Centrally Cleared Interest Rate Swaps | 1,724 | 1,724 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Appreciation in Other Financial Instruments | $ | 570 | $ | 1,730 | $ | — | $ | 2,300 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | (860 | ) | $ | — | $ | — | $ | (860 | ) | ||||||
Centrally Cleared Interest Rate Swaps | — | (2,399 | ) | — | (2,399 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Depreciation in Other Financial Instruments | $ | (860 | ) | $ | (2,399 | ) | $ | — | $ | (3,259 | ) | |||||
|
|
|
|
|
|
|
|
Six Circles U.S. Unconstrained Equity Fund
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (“SOIs”) (amounts in thousands):
Level 1 Quoted prices | Level 2 Other significant | Level 3 Significant | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Basic Materials | $ | 59,347 | $ | — | $ | — | $ | 59,347 | ||||||||
Communications | 424,931 | — | — | 424,931 | ||||||||||||
Consumer Cyclical | 276,830 | — | — | 276,830 | ||||||||||||
Consumer Non-cyclical | 1,873,388 | — | — | 1,873,388 | ||||||||||||
Energy | 511,405 | — | — | 511,405 | ||||||||||||
Financials | 573,252 | — | — | 573,252 | ||||||||||||
Industrials | 391,379 | — | — | 391,379 | ||||||||||||
Technology | 743,840 | — | — | 743,840 | ||||||||||||
Utilities | 108,745 | — | — | 108,745 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 4,963,117 | — | — | 4,963,117 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Time Deposits | — | 24,000 | — | 24,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 24,000 | — | 24,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 4,963,117 | $ | 24,000 | $ | — | $ | 4,987,117 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 31 | $ | — | $ | — | $ | 31 | ||||||||
|
|
|
|
|
|
|
|
DECEMBER 31, 2018 | SIX CIRCLES TRUST | 79 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2018 (continued)
Six Circles International Unconstrained Equity Fund
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (“SOIs”) (amounts in thousands):
Level 1 Quoted prices | Level 2 Other significant | Level 3 Significant | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 13,565 | $ | — | $ | 13,565 | ||||||||
Austria | — | 19,930 | — | 19,930 | ||||||||||||
Belgium | — | 34,037 | — | 34,037 | ||||||||||||
Chile | — | 2,611 | — | 2,611 | ||||||||||||
Denmark | — | 70,087 | — | 70,087 | ||||||||||||
Finland | — | 66,143 | — | 66,143 | ||||||||||||
France | — | 435,747 | — | 435,747 | ||||||||||||
Germany | — | 177,081 | — | 177,081 | ||||||||||||
Ireland | 4,418 | 39,924 | — | 44,342 | ||||||||||||
Isle of Man | — | 3,084 | — | 3,084 | ||||||||||||
Italy | — | 95,553 | — | 95,553 | ||||||||||||
Luxembourg | — | 28,939 | — | 28,939 | ||||||||||||
Mexico | — | 1,627 | — | 1,627 | ||||||||||||
Netherlands | 2,240 | 305,351 | — | 307,591 | ||||||||||||
Norway | — | 60,169 | — | 60,169 | ||||||||||||
Portugal | — | 13,587 | — | 13,587 | ||||||||||||
South Africa | — | 2,499 | — | 2,499 | ||||||||||||
Spain | — | 80,379 | — | 80,379 | ||||||||||||
Sweden | — | 103,613 | — | 103,613 | ||||||||||||
Switzerland | — | 332,475 | — | 332,475 | ||||||||||||
United Arab Emirates | — | 3,426 | — | 3,426 | ||||||||||||
United Kingdom | 4,233 | 566,512 | — | 570,745 | ||||||||||||
United States | — | 5,467 | — | 5,467 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 10,891 | 2,461,806 | — | 2,472,697 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stock | ||||||||||||||||
Germany | — | 11,030 | — | 11,030 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | — | 11,030 | — | 11,030 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Right | ||||||||||||||||
Rights | — | 458 | — | 458 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Time Deposits | — | 27,370 | — | 27,370 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 27,370 | — | 27,370 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 10,891 | $ | 2,500,664 | $ | — | $ | 2,511,555 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 62 | $ | — | $ | — | $ | 62 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Appreciation in Other Financial Instruments | $ | 62 | $ | — | $ | — | $ | 62 | ||||||||
|
|
|
|
|
|
|
|
B. Restricted Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933 (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net asset value of the Funds.
As of December 31, 2018, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A or Regulation S under the Securities Act.
C. When-Issued Securities, Delayed Delivery Securities and Forward Commitments — The Funds may purchase when-issued securities, including To Be Announced (“TBA”) securities, and enter into contracts to purchase or sell securities for a fixed price that may be settled a month or more after the trade date, or purchase delayed delivery securities which generally settle seven days after the trade date. When-issued securities are securities that have been authorized, but not issued in the market. A forward commitment involves entering into a contract to purchase or sell securities
80 | SIX CIRCLES TRUST | DECEMBER 31, 2018 |
Table of Contents
for a fixed price at a future date that may be settled a month or more after the trade date. A delayed delivery security is agreed upon in advance between the buyer and the seller of the security and is generally delivered beyond seven days of the agreed upon date. The purchase of securities on a when-issued, delayed delivery or forward commitment basis involves the risk that the value of the security to be purchased declines before the settlement date. The sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. The Funds may be exposed to credit risk if the counterparty fails to perform under the terms of the transaction. Interest income for securities purchased on a when-issued, delayed delivery or forward commitment basis is not accrued until the settlement date.
D. Derivatives — The Funds used derivative instruments including futures, forward foreign currency exchange contracts and swaps, in connection with their respective investment strategies. Derivative instruments may be used as substitutes for securities in which the Funds can invest, to hedge portfolio investments or to generate income or gain to the Funds. Derivatives may also be used to manage duration, sector and yield curve exposures as well as credit and spread volatility.
The Funds may be subject to various risks from the use of derivatives including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing a Fund to close out its position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Funds’ risk of loss associated with these instruments may exceed their value, as recorded on the Statements of Assets and Liabilities.
The Funds are party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Funds’ ISDA agreements, which are separately negotiated by the Sub-Advisers, with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Funds in the event the Funds’ net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Funds to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Funds often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Funds. The ISDA agreements give the Funds and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable with collateral posted to a segregated account by one party to the other.
Counterparty credit risk may be mitigated to the extent a counterparty posts collateral for mark to market gains to the Fund.
Notes D(1) — D(3) below describe the various derivatives used by the Funds.
(1) Futures Contracts — The Funds used interest rate futures and index futures to manage interest rate risks associated with portfolio investments and/or to gain or reduce exposure to fluctuations of a particular country or region as well as to lengthen or shorten the duration of the overall investment portfolio.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOIs and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities. Futures contracts outstanding at year end, if any, are listed after each Fund’s SOIs.
The use of futures contracts may expose the Funds to interest rate risk. The Funds may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Funds credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent the liquidation of positions.
The Funds’ futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
(2) Forward Foreign Currency Exchange Contracts — Six Circles Ultra Short Duration Fund and Six Circles Tax Aware Ultra Short Duration Fund may be exposed to foreign currency risks associated with some or all of the portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Funds also bought forward foreign currency exchange contracts to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on
DECEMBER 31, 2018 | SIX CIRCLES TRUST | 81 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2018 (continued)
a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Forward contracts outstanding at year end, if any, are listed after each Fund’s SOIs.
The values of the forward foreign currency exchange contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation/depreciation until the contract settlement date. When the forward foreign currency exchange contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed. The Fund also records a realized gain or loss when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty upon settlement.
The Funds’ forward foreign currency exchange contracts may be subject to master netting arrangements (the right to close out all transactions with a counterparty and net amounts owed or due across transactions). The Funds may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.
(3) Swaps — Six Circles Ultra Short Duration Fund and Six Circles Tax Aware Ultra Short Duration Fund engaged in various swap transactions, including interest swaps, to manage interest rate (e.g., duration, yield curve) risks within their respective portfolios. The Funds also used swaps as alternatives to direct investments. Swap transactions are negotiated contracts over the counter (“OTC swaps”) between a fund and a counterparty or centrally cleared (“centrally cleared swaps”) with a central clearinghouse through a Futures Commission Merchant (“FCM”), to exchange investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. Swap contracts outstanding at year end, if any, are listed after each Fund’s SOIs.
Upfront payments made and/or received are recorded as assets or liabilities, respectively on the Statements of Assets and Liabilities and amortized over the term of the swap. The value of an OTC swap agreement is recorded as either an asset or a liability on the Statements of Assets and Liabilities at the beginning of the measurement period.
Upon entering into a centrally cleared swap, the Funds are required to deposit with the FCM cash or securities, which is referred to as initial margin deposit. Securities deposited as initial margin are designated on the SOIs and cash deposited is recorded on the Statements of Assets and Liabilities. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a variation margin receivable or payable on the Statements of Assets and Liabilities. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as Change in net unrealized appreciation/depreciation on the Statements of Operations. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.
The central clearing house acts as the counterparty to each centrally cleared swap transaction, therefore credit risk is limited to the failure of the clearing house.
The Funds may be required to post or receive collateral in the form of cash or securities based on the net value of the Fund’s outstanding OTC swap contracts with the counterparty in the form of cash or securities. Daily movement of collateral is subject to minimum threshold amounts. Collateral posted by the Funds is held in a segregated account at the Funds’ custodian bank. Collateral received by the Funds is held in escrow in segregated accounts maintained by Brown Brothers Harriman & Co.
Interest Rate Swaps
Six Circles Ultra Short Duration Fund and Six Circles Tax Aware Ultra Short Duration Fund entered into interest rate swap contracts to manage fund exposure to interest rates and/or to preserve or generate a return on a particular investment or portion of its portfolio. These are agreements between counterparties to exchange periodic payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified interest rate while the other is typically a fixed interest rate.
82 | SIX CIRCLES TRUST | DECEMBER 31, 2018 |
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(4) Summary of Derivatives Information
The following tables present the value of derivatives held as of December 31, 2018, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities (amounts in thousands):
Six Circles Ultra Short Duration Fund
Derivative Contracts | Statements of Assets and Liabilities Location | |||||||||||||||||
Gross Assets: | Futures Contracts (a) | Forward Foreign Exchange Contracts | Centrally Cleared Swaps (b) | Total | ||||||||||||||
Interest rate contracts | Receivables, Net Assets — Unrealized Appreciation | $ | 530 | $ | — | $ | 1,658 | $ | 2,188 | |||||||||
Foreign exchange contracts | Receivables | — | 28 | — | 28 | |||||||||||||
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Total | $ | 530 | $ | 28 | $ | 1,658 | $ | 2,216 | ||||||||||
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Gross Liabilities: | ||||||||||||||||||
Interest rate contracts | Payables, Net Assets — Unrealized Depreciation | $ | (775 | ) | $ | — | $ | (2,378 | ) | $ | (3,153 | ) | ||||||
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(a) | This amount represents the cumulative appreciation (depreciation) of futures contracts as reported on the SOIs. The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers. |
(b) | This amount represents the value of centrally cleared swaps as reported on the SOIs. The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers. |
Six Circles Tax Aware Ultra Short Duration Fund
Derivative Contracts | Statements of Assets and Liabilities Location | |||||||||||||||||
Gross Assets: | Futures Contracts (a) | Forward Foreign Exchange Contracts | Centrally Cleared Swaps (b) | Total | ||||||||||||||
Interest rate contracts | Receivables, Net Assets — Unrealized Appreciation | $ | 570 | $ | — | $ | 1,641 | $ | 2,211 | |||||||||
Foreign exchange contracts | Receivables | — | 6 | — | 6 | |||||||||||||
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Total | $ | 570 | $ | 6 | $ | 1,641 | $ | 2,217 | ||||||||||
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Gross Liabilities: | ||||||||||||||||||
Interest rate contracts | Payables, Net Assets — Unrealized Depreciation | $ | (860 | ) | $ | — | $ | (2,341 | ) | $ | (3,201 | ) | ||||||
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(a) | This amount represents the cumulative appreciation (depreciation) of futures contracts as reported on the SOIs. The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers. |
(b) | This amount represents the value of centrally cleared swaps as reported on the SOIs. The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers. |
Six Circles U.S. Unconstrained Equity Fund
Derivative Contracts | Statements of Assets and Liabilities Location | |||||
Gross Assets: | Futures Contracts (a) | |||||
Equity contracts | Receivables, Net Assets — Unrealized Appreciation | $ | 31 | |||
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(a) | This amount represents the cumulative appreciation (depreciation) of futures contracts as reported on the SOIs. |
The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers. |
Six Circles International Unconstrained Equity Fund
Derivative Contracts | Statements of Assets and Liabilities Location | |||||
Gross Assets: | Futures Contracts (a) | |||||
Equity contracts | Receivables, Net Assets — Unrealized Appreciation | $ | 62 | |||
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(a) | This amount represents the cumulative appreciation (depreciation) of futures contracts as reported on the SOIs. |
The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable from/to brokers. |
DECEMBER 31, 2018 | SIX CIRCLES TRUST | 83 |
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2018 (continued)
The following tables present the Funds’ gross derivative assets and liabilities by counterparty net of amounts available for offset under netting arrangements and any related collateral received or posted by the Fund as of December 31, 2018 (amounts in thousands):
Six Circles Ultra Short Duration Fund
Counterparty | Gross Amount of Derivative Assets Subject to Netting Arrangements Presented on the Statements of Assets and Liabilities(a) | Derivatives Available for offset | Collateral Received | Net Amount Due From Counterparty (Not less than zero) | ||||||||||||
Nomura International plc | $ | 22 | $ | — | $ | — | $ | 22 | ||||||||
Morgan Stanley & Co. | 6 | — | — | 6 | ||||||||||||
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$ | 28 | $ | — | $ | — | $ | 28 | |||||||||
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(a) | For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities subject to master netting arrangements on the Statements of Assets and Liabilities. |
Six Circles Tax Aware Ultra Short Duration Fund
Counterparty | Gross Amount of Derivative Assets Subject to Netting Arrangements Presented on the Statements of Assets and Liabilities(a) | Derivatives Available for offset | Collateral Received | Net Amount Due From Counterparty (Not less than zero) | ||||||||||||
Morgan Stanley & Co. | $ | 6 | $ | — | $ | — | $ | 6 | ||||||||
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(a) | For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities subject to master netting arrangements on the Statements of Assets and Liabilities. |
The following tables present the effect of derivatives on the Statements of Operations for the period ended December 31, 2018, by primary underlying risk exposure (amounts in thousands):
Six Circles Ultra Short Duration Fund
Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations | ||||||||||||||||
Derivative Contracts | Futures Contracts | Forward Foreign Currency Exchange Contracts | Swaps | Total | ||||||||||||
Interest rate contracts | $ | (1,413 | ) | $ | — | $ | 243 | $ | (1,170 | ) | ||||||
Foreign exchange contracts | — | 2 | — | 2 | ||||||||||||
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Total | $ | (1,413 | ) | $ | 2 | $ | 243 | $ | (1,168 | ) | ||||||
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Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations | ||||||||||||||||
Derivative Contracts | Futures Contracts | Forward Foreign Currency Exchange Contracts | Swaps | Total | ||||||||||||
Interest rate contracts | $ | (245 | ) | $ | — | $ | (685 | ) | $ | (930 | ) | |||||
Foreign exchange contracts | — | 28 | — | 28 | ||||||||||||
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Total | $ | (245 | ) | $ | 28 | $ | (685 | ) | $ | (902 | ) | |||||
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84 | SIX CIRCLES TRUST | DECEMBER 31, 2018 |
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Six Circles Tax Aware Ultra Short Duration Fund
Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations | ||||||||||||||||
Derivative Contracts | Futures Contracts | Forward Foreign Currency Exchange Contracts | Swaps | Total | ||||||||||||
Interest rate contracts | $ | (1,382 | ) | $ | — | $ | 237 | $ | (1,145 | ) | ||||||
Foreign exchange contracts | — | 2 | — | 2 | ||||||||||||
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Total | $ | (1,382 | ) | $ | 2 | $ | 237 | $ | (1,143 | ) | ||||||
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Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations | ||||||||||||||||
Derivative Contracts | Futures Contracts | Forward Foreign Currency Exchange Contracts | Swaps | Total | ||||||||||||
Interest rate contracts | $ | (290 | ) | $ | — | $ | (675 | ) | $ | (965 | ) | |||||
Foreign exchange contracts | — | 6 | — | 6 | ||||||||||||
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Total | $ | (290 | ) | $ | 6 | $ | (675 | ) | $ | (959 | ) | |||||
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Six Circles U.S. Unconstrained Equity Fund
Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations | ||||
Derivative Contracts | Futures Contracts | |||
Equity contracts | $ | 203 | ||
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Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations | ||||
Derivative Contracts | Futures Contracts | |||
Equity contracts | $ | 31 | ||
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Six Circles International Unconstrained Equity Fund
Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations | ||||
Derivative Contracts | Futures Contracts | |||
Equity contracts | $ | (5,742 | ) | |
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Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations | ||||
Derivative Contracts | Futures Contracts | |||
Equity contracts | $ | 62 | ||
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Derivatives Volume
The tables below disclose the volume of the Funds’ futures contracts, forward foreign currency exchange contracts and swaps activity during the period ended December 31, 2018 (amounts in thousands, except number of contracts). Please refer to the tables in the Summary of Derivative Information for derivative-related gains and losses associated with volume activity (amounts in thousands).
Six Circles Ultra Short Duration Fund | Six Circles Tax Aware Ultra Short Duration Fund | Six Circles U.S. Unconstrained Equity Fund | Six Circles International Unconstrained Equity Fund | |||||||||||||
Futures Contracts — Interest: | ||||||||||||||||
Average Notional Amount Long | $ | 146,056 | $ | 144,864 | $ | 5,077 | (a) | $ | 21,889 | (b) | ||||||
Average Notional Amount Short | 111,461 | 109,584 | — | 2,554 | (a) | |||||||||||
Forward Foreign Currency Exchange: | ||||||||||||||||
Average Principal Amount Sold | 5,414 | 234 | — | — | ||||||||||||
Interest rate swaps: | ||||||||||||||||
Average Notional Amount | 330,800 | (b) | 307,633 | (b) | — | — |
(a) | Positions were open for less than one month during the period. |
(b) | Positions were held for three months during the period. |
DECEMBER 31, 2018 | SIX CIRCLES TRUST | 85 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2018 (continued)
E. Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.
The Funds do not isolate the effect of changes in foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within the Change in net unrealized appreciation/depreciation on investments on the Statements of Operations.
Reported realized foreign currency gains and losses arise from the disposition of foreign currency. Currency gains or losses may be realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statements of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statements of Operations.
F. Short Sales — The Funds may engage in short sales as part of their normal investment activities. In a short sale, the Funds sell securities they do not own in anticipation of a decline in the market value of those securities. In order to deliver securities to the purchaser, the Funds borrow securities from a broker. To close out a short position, the Funds deliver the same securities to the broker.
The Funds are required to pledge cash or securities to the broker as collateral for the securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Cash collateral deposited with the custodian is recorded as Restricted cash on the Statements of Assets and Liabilities. Securities segregated as collateral are denoted on the SOIs. The Funds may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities (calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on availability of the security); and (iii) a financing charge for the difference between the market value of the short position and cash collateral deposited with the broker. The net income or fee is reported as Interest income or Interest expense, respectively, on securities sold short on the Statements of Operations. The Funds are obligated to pay the broker dividends declared on short positions when a position is open on the record date. Dividends on short positions are reported on ex-dividend date on the Statements of Operations as Dividend expense on securities sold short.
Liabilities for securities sold short are reported at market value on the Statements of Assets and Liabilities and the change in market value is recorded as Change in net unrealized appreciation (depreciation) on the Statements of Operations. Short sale transactions may result in unlimited losses as the security’s price increases and the short position loses value. There is no upward limit on the price a borrowed security could attain. The Funds are also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms. The Funds will record a realized loss if the price of the borrowed security increases between the date of the short sale and the date on which the Funds replace the borrowed security. The Funds will record a realized gain if the price of the borrowed security declines between those dates.
G. Security Transactions, Investment Income and Expense Allocation — Securities transactions are recorded on a trade date basis. Realized gain and loss from securities transactions are recorded on an identified cost basis for financial reporting and federal income tax purposes. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when the Fund first learns of the dividend. Tax Aware Ultra Short Duration Fund and Ultra Short Duration Fund invests in treasury inflation protected securities (TIPS). The principal amount of TIPS is adjusted periodically and is increased for inflation or decreased for deflation based on a monthly published index. These adjustments are recorded as increases or decreases to interest income on the Statements of Operations. Coupon payments are based on the adjusted principal at the time the interest is paid. Distributions received from certain investments held by the Funds may be comprised of dividends, realized gains and returns of capital. The Funds originally estimate the expected classification of such payments. The amounts may subsequently be reclassified upon receipt of information from the issuer.
The Funds are charged for those expenses of the Trust that are directly attributable to each Fund. Expenses that are not directly attributable to a Fund are typically allocated among the Funds in proportion to their respective net assets.
H. Repurchase Agreements — The Funds may invest in repurchase agreements, which are short term investments whereby the Funds acquire ownership of a debt security and the seller agrees to repurchase the security at a future date at a specified price. When entering into repurchase agreements, it is the Funds’ policy that their custodian take possession of the underlying collateral securities, the market value of which, at all times, shall equal at least 100% of the principal amount of the repurchase transaction. The repurchase agreements further authorize the Funds to demand additional collateral in the event that the dollar value of the collateral falls below 100%. The Funds will make payments for such securities only upon physical delivery or upon evidence of book entry transfer to the account of the custodian.
I. Federal Income Tax — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”) applicable to regulated investment companies. Each Fund intends to distribute to shareholders, substantially all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary.
86 | SIX CIRCLES TRUST | DECEMBER 31, 2018 |
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The Funds follow the provisions of FASB Codification Section 740 (“ASC Section 740”) “Accounting for Uncertainty in Income Taxes” which clarifies the accounting for uncertainty in tax positions taken or expected to be taken on a tax return. ASC Section 740 sets forth a threshold for financial statement recognition, measurement and disclosure of tax positions taken or expected to be taken on a tax return. The Funds are required to recognize the tax effects of certain tax positions under a “more likely than not” standard, that based on their technical merits, have more than 50 percent likelihood of being sustained upon examination. Management has analyzed the tax positions taken on the Funds’ federal income tax returns for all open years, and has concluded that no provision for federal income tax is required in the Funds’ financial statements. At December 31, 2018, the Funds did not have any uncertain tax benefits that require recognition, de-recognition or disclosure. The Funds’ federal, state and local income and federal excise tax returns for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
J. Foreign Tax — The Funds may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.
K. Distributions to Shareholders — Distributions to shareholders are recorded on the ex-dividend date. Distributions from net investment income and net realized capital gains are generally declared and paid according to the following schedule:
Fund Name | Net Investment Income | Net Realized Capital Gains | ||||||
Six Circles Ultra Short Duration Fund | Monthly | Annual | ||||||
Six Circles Tax Aware Ultra Short Duration Fund | Monthly | Annual | ||||||
Six Circles U.S. Unconstrained Equity Fund | Annual | Annual | ||||||
Six Circles International Unconstrained Equity Fund | Annual | Annual |
Income and capital gain distributions will be determined in accordance with federal income tax regulations which may differ from GAAP. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character.
Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short- term gains as ordinary income for tax purposes. As a result, income dividends and capital gain distributions declared during a fiscal period may differ significantly from the net investment income (loss) and realized gain (loss) reported on the Fund financial statements presented under GAAP.
Distributions classified as a tax basis return of capital, if any, are reflected on the Statement of Changes in Net Assets and have been recorded to paid-in capital.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fees —The Adviser serves as the Funds’ investment adviser pursuant to an investment advisory agreement (the “Investment Advisory Agreement”). Under the terms of the Investment Advisory Agreement, the Adviser generally manages the Funds’ investments in accordance with the stated policies of each Fund, subject to the supervision of the Funds’ Board of Trustees. For the services provided to the Funds, the Adviser receives a fee, accrued daily and paid monthly, at the annual rate of 0.25% of the average daily net assets of each Fund.
The Adviser selects and oversees professional money managers (the “Sub-Advisers”) who are responsible for investing the assets of the Funds under sub-advisory agreements (the “Sub-Advisory Agreements”). Pursuant to each respective Sub-Advisory Agreement, the Adviser agrees to pay each Sub-Adviser a sub-advisory fee from its investment advisory fees. BlackRock Investment Management, LLC (“BlackRock”), BNY Mellon Asset Management North America Corporation, (now known as Mellon Investments Corporation) (“Mellon”), Goldman Sachs Asset Management, L.P. (“Goldman”) and Pacific Investment Management Company LLC (“PIMCO”) currently serve as the Sub-Advisers to the Funds. The Sub-Advisers are paid a management fee by the Adviser pursuant to their individually negotiated Sub-Advisory Agreements.
As of December 31, 2018, the allocation of assets to each Sub-Adviser for the Funds was as follows:
Sub—Adviser | 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 % | ||||||||||||
BlackRock | 30 | — | 100 | 100 | ||||||||||||
PIMCO | 30 | 30 | — | — | ||||||||||||
Goldman Sachs | 40 | 40 | — | — | ||||||||||||
Mellon | — | 30 | — | — |
On October 5, 2018, the Adviser engaged Russell Investments Implementation Services, LLC (“Russell”) to provide stand-by interim sub-advisory services, as well as transition management services, for each Fund, to be utilized as needed in certain transitional circumstances involving a Fund Sub-Adviser. As of December 31, 2018, the Funds have not allocated assets to Russell.
DECEMBER 31, 2018 | SIX CIRCLES TRUST | 87 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2018 (continued)
The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3G.
B. Administration and Accounting Fees — Pursuant to an Administrative Agency Agreement, Brown Brothers Harriman & Co. (the “Administrator”) provides certain administration and fund accounting services to the Funds.
C. Distribution Fees — Pursuant to a Distribution Agreement, Foreside Fund Services, LLC (the “Distributor”), will serve as the Funds’ principal underwriter and acts as the agent of the Funds’ in connection with the continuous offering of shares of each Fund. The Distributor and its officers have no role in determining the investment policies or which securities are to be purchased or sold by the Funds. The Distributor does not receive compensation from the Funds, but instead is compensated by the Adviser for certain distribution-related expenses.
D. Custodian — Pursuant to a Custodian Agreement, Brown Brothers Harriman & Co. serves as the custodian (the “Custodian”) for each of the Funds and is responsible for holding portfolio securities and cash and maintaining the books of account and records of portfolio transactions.
E. Transfer Agent — Pursuant to a Transfer Agency and Service Agreement, DST Asset Manager Solutions, Inc. (the “Transfer Agent”) serves as each Fund’s transfer and dividend disbursing agent. The Transfer Agent is responsible for maintaining account records, detailing the ownership of Fund shares and for crediting income, capital gains and other changes in share ownership to shareholder accounts.
F. Organization and Offering Costs — Offering costs, including professional fees, printing fees and initial registration costs, are amortized over a period not longer than twelve months from the date the Fund commenced operations. Organization costs paid in connection with the organization of the Trust were recorded as an expense at the time the Funds commenced operations.
G. Waivers and Reimbursements — The Adviser has contractually agreed through at least April 30, 2020, to waive any management fees that exceed the aggregate management fees the Adviser is contractually required to pay the Fund’s Sub-Advisers. Thereafter, this waiver will continue for subsequent one year terms unless terminated in accordance with its terms. Such waivers are not subject to reimbursement by the Fund. The Adviser has also contractually agreed through at least April 30, 2020, to reimburse expenses to the extent Total Annual Fund Operating Expenses (excluding acquired fund fees and expenses, if any, dividend and interest expenses related to short sales, brokerage fees, interest on borrowings, taxes, expenses related to litigation and potential litigation, and extraordinary expenses) exceed the following percentages of the average daily net assets of each Fund (the “Expense Cap”):
Fund | Expense Cap | |||
Six Circles Ultra Short Duration Fund | 0.40 | % | ||
Six Circles Tax Aware Ultra Short Duration Fund | 0.40 | % | ||
Six Circles U.S. Unconstrained Equity Fund | 0.45 | % | ||
Six Circles International Unconstrained Equity Fund | 0.50 | % |
An expense reimbursement by the Fund’s Adviser is subject to repayment by the Fund only to the extent it can be made within thirty-six months following the date of such reimbursement by the Adviser. Repayment must be limited to amounts that would not cause the Fund’s operating expenses (taking into account any reimbursements by the Adviser and repayments by the Fund) to exceed the Expense Cap in effect at the time of the reimbursement by the Adviser or at the time of repayment by the Fund. This expense reimbursement is in effect through April 30, 2020, at which time the Adviser and/or its affiliates will determine whether to renew or revise it.
For the period ended December 31, 2018, the amounts waived and reimbursed by the Adviser, as well as the amounts available for potential future recoupment by the Adviser and the expiration schedule at December 31, 2018 are as follows (amounts in thousands):
Fund | Fees reimbursed for the period ended December 31, 2018 | Total potential recoupment amount December 31, 2018 | Potential recoupment amount expiring December 31, 2021 | |||||||||
Six Circles Ultra Short Duration Fund | $ | 533 | $ | 256 | $ | 256 | ||||||
Six Circles Tax Aware Ultra Short Duration Fund | 536 | 261 | 261 | |||||||||
Six Circles U.S. Unconstrained Equity Fund* | 527 | — | — | |||||||||
Six Circles International Unconstrained Equity Fund* | 580 | — | — | |||||||||
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Totals | $ | 2,176 | $ | 517 | $ | 517 | ||||||
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* | Fund has recouped all eligible expenses during the period. |
H. Cross Trades— The Funds may participate in purchase and sale transactions with the Funds or other funds or accounts that have a common investment adviser (or Sub-Adviser), commonly referred to as “cross trades.” These cross trades are executed in accordance with procedures adopted by the Trust’s Board and comply with Rule 17a-7 of the 1940 Act, which require, among other things, that such cross trades be effected at
88 | SIX CIRCLES TRUST | DECEMBER 31, 2018 |
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the independent current market price of the security. During the year ended December 31, 2018, the aggregate value of purchases and sale cross trades with other funds or accounts, including those entered by Sub-Advisers, were as follows (amounts in thousands):
Fund Name | Purchases | Sales | ||||||
Six Circles Ultra Short Duration Fund | $ | 108,869 | $ | — | ||||
Six Circles Tax Aware Ultra Short Duration Fund | 113,220 | — | ||||||
Six Circles U.S. Unconstrained Equity Fund | 63,119 | 607 | ||||||
Six Circles International Unconstrained Equity Fund | 177,180 | 150,524 |
There were no cross trades between the Funds during the period.
4. Investment Transactions
During the period ended December 31, 2018, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | Purchases of U.S. Government | Sales of U.S. Government | |||||||||||||
Six Circles Ultra Short Duration Fund | $ | 477,090 | $ | 6,609 | $ | 118,439 | $ | 50,863 | ||||||||
Six Circles Tax Aware Ultra Short Duration Fund | 963,447 | 94,393 | 107,133 | 48,233 | ||||||||||||
Six Circles U.S. Unconstrained Equity Fund | 5,755,811 | 340,907 | — | — | ||||||||||||
Six Circles International Unconstrained Equity Fund | 3,532,149 | 837,929 | — | — |
5. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
Since the Funds are non-diversified, they may invest a greater percentage of their assets in a particular issuer or group of issuers than a diversified fund would. This increased investment in fewer issuers may result in the Funds` shares being more sensitive to economic results among those issuing the securities.
The Six Circles International Unconstrained Equity Fund may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of countries or regions, which may vary throughout the year depending on the Funds. Such concentrations may subject the Funds to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices to be more volatile than those of comparable U.S. securities.
As of December 31, 2018, the Six Circles International Unconstrained Equity Fund hadnon-U.S. country allocations representing greater than 10% of Net Assets as follows:
France | Netherlands | Switzerland | United Kingdom | |||
17.4% | 12.3% | 13.3% | 22.8% |
As of December 31, 2018, a significant portion of the Six Circles International Unconstrained Equity Fund’s net assets consisted of securities that were denominated in foreign currencies. Changes in currency exchange rates will affect the value of, and investment income from, such securities.
Six Circles Ultra Short Duration Fund and Six Circles Tax Aware Ultra Short Duration Fund are subject to risks associated with securities with contractual cash flows including asset-backed and mortgage related securities such as collateralized mortgage obligations, mortgage pass-through securities and commercial mortgage-backed securities, including securities backed by sub-prime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate value, pre-payments, delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates.
Six Circles Ultra Short Duration Fund and Six Circles Tax Aware Ultra Short Duration Fund may invest in high yield securities that are not rated or rated below investment grade (commonly known as “junk bonds”). These securities are considered to be high risk investments. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities. Junk bonds involve a greater risk of default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims. The market price of these securities can change suddenly and unexpectedly. As a result, the Funds are intended for investors who are able and willing to assume a high degree of risk.
The Funds are subject to the risk that, should the Funds decide to sell an illiquid investment when a ready buyer is not available at a price the Funds deem to be representative of its value, the value of the Funds’ net assets could be adversely affected.
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NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2018 (continued)
Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic or market conditions than other types of investments and could result in losses that significantly exceed each Fund’s original investment. Many derivatives create leverage thereby causing the Funds to be more volatile than they would have been if they had not used derivatives. Derivatives also expose the Funds to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty.
The Funds are also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Funds such as swap contracts and forward foreign currency exchange contracts.
The Funds are subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Funds could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. The Fund may invest in variable and floating rate securities. Although these instruments are generally less sensitive to interest rate changes than fixed rate instruments, the value of variable and floating rate securities may decline if their interest rates do not rise as quickly, or as much, as general interest rates. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. The ability of the issuers of debt to meet their obligations may be affected by the economic and political developments in a specific industry or region.
The Six Circles Tax Aware Ultra Short Duration Fund invests primarily in a portfolio of debt obligations issued by states, territories and possessions of the United States and by the District of Columbia, and by their political subdivisions and duly constituted authorities. These debt obligations may be insured by private insurers who guarantee the payment of principal and interest in the event of issuer default. The value of these investments may be impacted by changes to bond insurers’ ratings and the Fund’s ability to collect principal and interest in the event of an issuer’s default may be limited if the private insurer does not have the wherewithal to satisfy its obligation.
6. Income Taxes and Distributions to Shareholders
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at December 31, 2018 were as follows (amounts in thousands):
Aggregate Tax Cost* | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Six Circles Ultra Short Duration Fund | $ | 1,104,891 | $ | 3,524 | $ | (5,594 | ) | $ | (2,070 | ) | ||||||
Six Circles Tax Aware Ultra Short Duration Fund | 1,126,954 | 3,908 | (4,567 | ) | (659 | ) | ||||||||||
Six Circles U.S. Unconstrained Equity Fund | 5,390,854 | 46,774 | (450,480 | ) | (403,706 | ) | ||||||||||
Six Circles International Unconstrained Equity Fund | 2,713,906 | 32,119 | (234,408 | ) | (202,289 | ) |
* | The tax cost includes the proceeds from short sales which may result in a net negative cost. |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to investments in swap contracts, mark-to market of forward foreign currency contracts, mark to market of futures contracts, straddle loss deferrals, wash sale loss deferrals and mark-to market investments in passive foreign investment companies (“PFICs”).
The tax character of distributions paid during the period ended December 31, 2018 was as follows (amounts in thousands):
Ordinary Income* | Net Long-Term Capital Gains | Tax Exempt Income | Total Distributions Paid | |||||||||||||
Six Circles Ultra Short Duration Fund | $ | 5,035 | $ | — | $ | — | $ | 5,035 | ||||||||
Six Circles Tax Aware Ultra Short Duration Fund | 2,452 | — | 1,358 | 3,810 | ||||||||||||
Six Circles U.S. Unconstrained Equity Fund | 19,801 | 44 | — | 19,845 | ||||||||||||
Six Circles International Unconstrained Equity Fund | 4,966 | — | — | 4,966 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
As of December 31, 2018, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows (amounts in thousands):
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain or (Tax Basis Capital Loss Carryover) | Other Book/Tax Temporary Differences | Unrealized Appreciation (Depreciation) | |||||||||||||
Six Circles Ultra Short Duration Fund | $ | 354 | $ | (2,015 | ) | $ | 437 | $ | (2,504 | ) | ||||||
Six Circles Tax Aware Ultra Short Duration Fund | 244 | (2,029 | ) | 507 | (1,163 | ) | ||||||||||
Six Circles U.S. Unconstrained Equity Fund | — | 131 | (37,228 | ) | (384,343 | ) | ||||||||||
Six Circles International Unconstrained Equity Fund | — | (13,956 | ) | (29,902 | ) | (172,436 | ) |
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For the Funds, the cumulative timing differences primarily consist of capital loss carryforwards, post-October capital loss deferrals, investments in swap contracts, mark to market of forward foreign currency contracts, mark to market futures contracts, straddle loss deferrals, wash sale loss deferrals and mark-to market investments in passive foreign investment companies (“PFICs”).
As of December 31, 2018, the following Funds had the following post-enactment net capital loss carryforwards (amounts in thousands):
Capital Loss Carryforward Character | ||||||||
Short-Term | Long-Term | |||||||
Six Circles Ultra Short Duration Fund | $ | 693 | $ | 1,322 | ||||
Six Circles Tax Aware Ultra Short Duration Fund | 693 | 1,336 | ||||||
Six Circles International Unconstrained Equity Fund | 10,548 | 3,408 |
Net capital losses incurred after October 31 within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the year ended December 31, 2018 the Funds deferred to January 1, 2019 the following specified ordinary losses and net capital losses of (amounts in thousands):
Net Capital Loss | Specified Ordinary Loss | |||||||||||
Short-Term | Long-Term | |||||||||||
Six Circles U.S. Unconstrained Equity Fund | $ | 17,866 | — | $ | — | |||||||
Six Circles International Unconstrained Equity Fund | — | — | 100 |
7. Ownership Concentration
As of December 31, 2018, each of the Funds had one affiliated omnibus account for the benefit of its clients which owned 100% of its outstanding shares.
8. Recent Accounting Pronouncements
In March 2017, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2017-08 (“ASU 2017-08”) Premium Amortization on Purchased Callable Debt Securities, which shortens the premium amortization period for purchased non-contingently callable debt securities. ASU 2017-08 requires that the premium be amortized to the earliest call date, for purchased non-contingently callable debt securities. ASU 2017-08 is effective for the fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the implications of these changes on the financial statements, if any.
In August 2018, FASB issued Accounting Standards Update No. 2018-13, “Fair Value Measurement (Topic 820: Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement” (“ASU 2018-13”). ASU 2018-13 eliminates the requirement to disclose the amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, the timing of transfers between levels of the fair value hierarchy and the valuation processes for Level 3 fair value measurements. ASU 2018-13 does not eliminate the requirement to disclose the range and weighted average used to develop significant unobservable inputs for Level 3 fair value measurements, and the changes in unrealized gains and losses for recurring Level 3 fair value measurements. ASU 2018-13 requires that information is provided about the measurement uncertainty of Level 3 fair value measurements as of the reporting date. The guidance is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Management has early adopted the above guidance and determined there to be no impact on the current year financial statements.
9. Subsequent Events
The Funds have evaluated subsequent events through the date of issuance of this report and have determined that there are no material events that need disclosure.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of Six Circles Trust and Shareholders of Six Circles Ultra Short Duration Fund, Six Circles Tax Aware Ultra Short Duration Fund, Six Circles U.S. Unconstrained Equity Fund and Six Circles International Unconstrained Equity Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of Six Circles Ultra Short Duration Fund, Six Circles Tax Aware Ultra Short Duration Fund, Six Circles U.S. Unconstrained Equity Fund and Six Circles International Unconstrained Equity Fund (constituting Six Circles Trust, hereafter collectively referred to as the “Funds”) as of December 31, 2018, the related statements of operations and changes in net assets, including the related notes, and the financial highlights for the period July 9, 2018 (commencement of operations) through December 31, 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2018, and the results of each of their operations, changes in each of their net assets, and each of the financial highlights for the period July 9, 2018 (commencement of operations) through December 31, 2018 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2018 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
New York, New York
February 22, 2019
We have served as the auditor of one or more investment companies in the Six Circles Trust complex since 2018.
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each fund at the beginning of the reporting period, July 9, 2018, and continued to hold your shares at the end of the reporting period, December 31, 2018.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
Beginning Account Value July 9, 2018 | Ending Account Value December 31, 2018 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Six Circles Ultra Short Duration Fund | ||||||||||||||||
Actual* | $ | 1,000.00 | $ | 1,007.40 | $ | 1.92 | 0.40 | % | ||||||||
Hypothetical** | 1,000.00 | 1,022.94 | 2.02 | 0.40 | ||||||||||||
Six Circles Tax Aware Ultra Short Duration Fund | ||||||||||||||||
Actual* | 1,000.00 | 1,004.80 | 1.92 | 0.40 | ||||||||||||
Hypothetical** | 1,000.00 | 1,022.94 | 2.02 | 0.40 | ||||||||||||
Six Circles U.S. Unconstrained Equity Fund | ||||||||||||||||
Actual* | 1,000.00 | 908.70 | 0.96 | 0.21 | ||||||||||||
Hypothetical** | 1,000.00 | 1,023.88 | 1.06 | 0.21 | ||||||||||||
Six Circles International Unconstrained Equity Fund | ||||||||||||||||
Actual* | 1,000.00 | 831.70 | 1.36 | 0.31 | ||||||||||||
Hypothetical** | 1,000.00 | 1,023.39 | 1.56 | 0.31 |
* | Expenses are equal to each Fund’s respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 175/365 (to reflect the one-half year period). |
** | Expenses are equal to the Fund’s respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the actual period). Commencement of operations was July 9, 2018. |
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The following information is provided with respect to the distributions paid during the taxable year ended December 31, 2018:
Six Circles U.S. Unconstrained Equity Fund | Six Circles International Unconstrained Equity Fund | Six Circles Ultra Short Duration Fund | Six Circles Tax Aware Ultra Short Duration Fund | |||||
Record Date | 12/18/2018 | 12/18/2018 | Monthly | Monthly | ||||
Payable Date | 12/20/2018 | 12/20/2018 | Monthly | Monthly | ||||
Ordinary Income: | ||||||||
Qualified Dividend Income for Individuals | 80.18% | 100% | — | — | ||||
Dividends Qualifying for the Dividends Received | ||||||||
Deduction for Corporations | 88.70% | — | — | |||||
Foreign Source Income | — | 100%* | — | — | ||||
Foreign Tax Paid Per Share | — | 0.001251 | — | — | ||||
Interest from Tax-Exempt Obligations | — | — | — | 35.64% | ||||
Interest from Federal Obligations | — | — | 12.79% | 8.80% | ||||
Long-Term Capital Gain Dividend | — | — | — | — |
* | Expressed as a percentage of the cash distribution grossed-up for foreign taxes. |
The law varies in each state as to whether and what percentage of dividend income attributable to Federal obligations is exempt from state income tax. We recommend that you consult with your tax adviser to determine if any portion of the dividends you received is exempt from state income taxes.
The foreign taxes paid represent taxes incurred by the Fund on income received by the Fund from foreign sources. Foreign taxes paid may be included in taxable income with an offsetting deduction from gross income or may be taken as a credit for taxes paid to foreign governments. You should consult your tax adviser regarding the appropriate treatment of foreign taxes paid.
Please retain this information for your records.
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The names of the Trustees of the Trust, together with information regarding their year of birth, the year each Trustee first became a Board member of the Trust, principal occupations and other board memberships, including those in any company with a class of securities registered pursuant to Section 12 of the Securities Exchange Act of 1934, as amended (the “Securities Exchange Act”) or subject to the requirements of Section 15(d) of the Securities Exchange Act or any company registered as an investment company under the 1940 Act, are shown below. The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017. The Funds’ Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request by calling collect at 1-212-464-2070, or on the Funds’ website at www.sixcirclesfunds.com/literature.
Name (Year of Birth; Positions with the Funds since) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (1) | Other Directorships Held During the Past 5 Years | |||||
Independent Trustees | ||||||||
Lisa M. Borders (1957); Trustee since inception | President and Chief Executive Officer, TIME’S UP (October 2018–Present); President, Women’s National Basketball Association (2016–October 2018); Vice President, The Coca-Cola Company (2013–2016). | 6 | Trustee, Duke University; Chairman, The Coca-Cola Foundation | |||||
James P. Donovan (1950); Lead Independent Trustee since inception | Chairman, Cross Culture Coach LLC (2012–present) | 6 | Chairman, Cross Culture Coach LLC | |||||
Kevin Klingert (1962); Trustee since inception | Retired; Senior Advisor, Morgan Stanley Investment Management Inc. (2016–2017); Managing Director, Morgan Stanley Investment Management Inc. (2007–2016). | 6 | N/A | |||||
Neil Medugno (1957); Trustee since inception | Retired; Partner, Wellington Management Company LLP, Chief Financial Officer, Wellington Funds Group (1994–2017). | 6 | Director, Easterly Acquisition Corp LLC (July 2018–Nov 2018) | |||||
Lauren K. Stack (1963); Trustee since inception | Principal, b2G Capital, Inc. (2016–present); Chief Operating Officer, Corcoran Gallery of Art (2011–2015). | 6 | Director, ACT for Alexandria; Director, Inova Alexandria Hospital Foundation; Director, Capitol Post | |||||
Interested Trustees | ||||||||
Mary E. Savino (1962); Chairman since inception | Managing Director, JPMorgan Securities LLC, Asset & Wealth Management division, Head of JPMorgan Private Investments Inc. Investment Advisory Business (2016–present); Global Head of Portfolio Management Group (2013–2016); Global Head of Client Portfolio Management for Global Access Funds (2009–2013); various other positions including Head of US Mutual Funds since joining the firm in 1988. | 6 | Director, J.P. Morgan Private Investments Inc. |
(1) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The Six Circles Funds Complex for which the Board of Trustees serves currently includes 1 registered investment company (6 funds). |
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OFFICERS
The Trust’s executive officers (listed below) generally are employees of the Adviser or one of its affiliates. The officers conduct and supervise the business operations of the Trust. The officers hold office until a successor has been elected and duly qualified. The Trust has no employees. The names of the officers of the Funds, together with their year of birth, information regarding their positions held with the Trust and principal occupations are shown below. The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years | |
Mary E. Savino (1962), President and Principal Executive Officer since inception | Managing Director, JPMorgan Securities LLC, Asset & Wealth Management division, Head of JPMorgan Private Investments Inc. Investment Advisory Business (2016-present); Global Head of Portfolio Management Group (2013-2016); Global Head of Client Portfolio Management for Global Access Funds (2009-2013); various other positions including Head of US Mutual Funds since joining the firm in 1988. | |
Abby L. Ingber (1962), Chief Legal Officer and Secretary since inception | Executive Director and Assistant General Counsel, JPMorgan Chase Bank, N.A. (2017-present); Deputy General Counsel, Schroder Investment Management North America Inc. and Chief Legal Officer and Secretary, Schroder Funds (2006-2017). | |
Michael Choi (1971), Chief Compliance Officer since inception | Chief Compliance Officer, J.P. Morgan Private Investments Inc. (2016-present); Managing Director, JPMorgan Chase Bank, N.A. (2018-present); Executive Director; Assistant General Counsel, JPMorgan Chase Bank, N.A. (2008-2016). | |
Gregory R. McNeil (1975), Principal Financial Officer and Treasurer since inception | Executive Director, JPMorgan Securities LLC (2018-present); Vice President, AQR Capital Management, LLC; Treasurer, AQR Funds (2015-2018); Assistant Treasurer, Franklin Templeton Investments (2010-2015). | |
Gina M. Andes (1976), Assistant Treasurer since inception | Vice President, JP Morgan Securities LLC (2017-present); Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2013-2017). |
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BOARD REVIEW AND APPROVAL OF INVESTMENT ADVISORY AGREEMENT WITH JPMPI
(Unaudited)
The Board of Trustees (the “Board”) of the Six Circles Trust (the “Trust”), including the Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended, the “1940 Act”) of J.P. Morgan Private Investments Inc. (“JPMPI” or the “Adviser”), theSub-Advisers (as defined below) or their affiliates (the “Independent Trustees”), as part of the Board’s initial organizational meeting for the Trust, met in person on June12-13, 2018 (the “Meeting”) to consider and approve (i) the proposed Investment Advisory Agreement (the “Advisory Agreement”) between the Trust, on behalf of the Six Circles U.S. Unconstrained Equity Fund, the Six Circles International Unconstrained Equity Fund, the Six Circles Tax Aware Ultra Short Duration Fund and the Six Circles Ultra Short Duration Fund (each a “Fund” and together, the “Funds”), each a series of the Trust, and JPMPI; and (ii) the proposedSub-Advisory Agreements (each a“Sub-Advisory Agreement” and, together, the“Sub-Advisory Agreements” and, theSub-Advisory Agreements together with the Advisory Agreement, the “Agreements”) between JPMPI and each of BlackRock Investment Management, LLC (“BlackRock”), Goldman Sachs Asset Management, L.P. (“Goldman”), Pacific Investment Management Company LLC (“PIMCO”) and BNY Mellon Asset Management North America Corporation (“Mellon” and, together with BlackRock, Goldman and PIMCO, each a“Sub-Adviser” and, together, the“Sub-Advisers”), each for an initial term of two years. At the Meeting, the Board, including the Independent Trustees, unanimously approved the Advisory Agreement and eachSub-Advisory Agreement.
Materials Requested Prior to Meeting. Prior to the Meeting, Ropes & Gray LLP (“Ropes & Gray”), counsel to the Independent Trustees, had prepared letters on behalf of the Independent Trustees requesting detailed information from JPMPI and eachSub-Adviser in connection with the proposed Advisory Agreement andSub-Advisory Agreements in an effort to observe the requirement under Section 15(c) of the 1940 Act that the Trustees request and evaluate, and that the investment adviser andsub-advisers furnish, such information as may be necessary to evaluate the terms of the proposed agreements. JPMPI and eachSub-Adviser responded to the information requests and provided memoranda and related materials and information for consideration by the Trustees, which were included in the materials for the Meeting (together, the “15(c) Materials”). Following receipt and review, the Independent Trustees and their counsel, Ropes & Gray, held separate conference calls on June 1, 2018 and on June 7, 2018 to consider the 15(c) Materials and related proposed advisory andsub-advisory arrangements, during which the Independent Trustees raised various questions and requests for additional information to be responded to by JPMPI. Subsequent calls were held with representatives from JPMPI to communicate the Independent Trustees’ additional questions and requests for information, each of which was responded to by JPMPI either in writing or orally at the Meeting.
Set forth below is a summary of the material factors evaluated by the Trustees that formed the basis for the Board’s approval of the Advisory Agreement and theSub-Advisory Agreements. The Trustees’ conclusions as to the approval of the Agreements were based on a comprehensive consideration of all information provided to the Trustees. In deciding to approve the Advisory Agreement andSub-Advisory Agreements, the Board did not identify any single factor or particular information that, in isolation, was controlling. Some of the factors that figured particularly in the Trustees’ deliberations are described below, although individual Trustees may have evaluated the information presented differently from one another, attributing different weights to various factors.
Materials Reviewed.In considering the approval of the Advisory Agreement andSub-Advisory Agreements, the Board took into account the wide variety of materials relating to the services to be provided by JPMPI, BlackRock, Goldman, PIMCO and Mellon provided prior to and during the Meeting, the presentations made during the Meeting, and the extensive discussions during the Meeting. The Board reviewed information relating to, among other things, proposed Fund operations, including the compliance programs of the Adviser andSub-Advisers, valuation, and other information related to personnel of the Adviser andSub-Advisers that would be providing investment management services to the Funds. They also reviewed comparative fee information prepared by Broadridge Financial Solutions (“Broadridge”), an independent provider of investment company performance and fee and expense data, a memorandum provided by Ropes & Gray regarding the responsibilities of the Board in considering the approval of advisory andsub-advisory agreements for the Funds, and information regarding personnel who would be providing investment management services to the Funds.
Representatives of theSub-Advisers also participated in the Meeting, at which the Board discussed the proposed arrangements with eachSub-Adviser. The Independent Trustees also discussed the proposed Advisory Agreement andSub-Advisory Agreement in an executive session of the Meeting with Ropes & Gray at which no representatives of JPMPI or theSub-Advisers were present.
Review Process.In connection with the approval of the Advisory Agreement andSub-Advisory Agreements, the Board reviewed written materials provided by JPMPI, which included, among other things, comparative fee data prepared by Broadridge, an independent provider of investment company performance and fee and expense data. The Board also requested and received assistance and advice regarding applicable legal standards from counsel to the Independent Trustees. The Board additionally considered the written information provided by the Adviser andSub-Advisers in response to the Board’s requests for information. The Board also heard oral presentations on matters related to the Advisory Agreement andSub-Advisory Agreements.
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BOARD REVIEW AND APPROVAL OF INVESTMENT ADVISORY AGREEMENT WITH JPMPI
(Unaudited) (continued)
Nature, Extent and Quality of Services.The Board considered the depth and quality of the investment management processes of JPMPI, BlackRock, Goldman, PIMCO and Mellon, including for each entity, the experience and capabilities of its senior management, investment and other personnel, and the overall financial strength and stability of the organizations. The Board also considered the nature, extent and quality of the various services that JPMPI would provide under the Advisory Agreement. The Board also noted JPMPI’s commitment to investing in information technology supporting compliance, as well as JPMPI’s continuing efforts to attract and retain qualified personnel and to maintain and enhance its resources and systems. The Board considered its review of JPMPI’s policies, procedures and systems to assure compliance with applicable laws and regulations and to conduct effective oversight of eachSub-Adviser; and its processes to keep the Board informed about matters relevant to the Funds and their shareholders.
Similarly, the Board considered thesub-advisory services proposed to be provided by eachSub-Adviser to the Funds. The Board also considered information about eachSub-Advisers’ investment personnel responsible for providing services under theSub-Advisory Agreements. The Board reviewed the nature and quality of eachSub-Advisers’ investment management, trading, risk management, compliance capabilities and resources, research capabilities, and the experience and capabilities of its portfolio management personnel, and the overall financial strength of each organization. The Board noted the certificates received from JPMPI and theSub-Advisers regarding both their compliance programs and codes of ethics, which noted that JPMPI and theSub-Advisers each had compliance policies and procedures in place that were reasonably designed to prevent violations of the federal securities laws with respect to the services provided by JPMPI and eachSub-Adviser and that JPMPI and eachSub-Adviser had adopted a code of ethics that included provisions reasonably necessary to prevent access persons from (i) engaging in certain specified conduct and (ii) violating the code of ethics.
Ultimately, the Board concluded that the nature, extent and quality of services proposed to be provided by JPMPI, BlackRock, Goldman, PIMCO and Mellon under the Advisory Agreement andSub-Advisory Agreements were likely to benefit the Funds and their shareholders.
Investment Performance.Since the Funds had not yet commenced operations, the Board did not receive or consider investment performance information related to the Funds. The Board considered the manner in which the Adviser and theSub-Advisers proposed to manage the Funds, as well as theSub-Adviser performance records in managing accounts similar to the strategies they will use to manage their respective sleeves of the Funds, as applicable, as described in the 15(c) Materials. The Board also discussed the background and experience of the Funds’ proposedSub-Advisers. The Board
concluded that based on the experience of the Adviser and the Funds’ proposedSub-Advisers, the Adviser had a reasonable expectation of delivering acceptable performance to shareholders of the Funds.
Advisory Fees and Total Expenses.JPMPI reported to the Board that, in proposing fees and expenses for each Fund, JPMPI considered a number of factors, including the type and complexity of the services to be provided, the estimated cost of providing services, the risk assumed by JPMPI in the provision of services, the impact on potential returns from different levels of fees, the competitive marketplace for financial products, and the attractiveness of potential returns to prospective investors in the Funds. The Board noted JPMPI’s explanation that the proposed advisory fee is consistent across all four Funds because each Fund is expected to receive similar investment management services from JPMPI, including asset allocation, investment oversight and other management services.
The Board next reviewed the proposed advisory fee schedule for the Funds. The Board noted that the Adviser had: (1) agreed to contractually reimburse expenses for the Funds to the extent the total expense ratio for each Fund exceeded a certain specified limit; and (2) agreed to contractually waive any advisory fees that exceeded the aggregate advisory fees JPMPI is contractually required to pay to theSub-Advisers. The Board considered how these agreements would affect the expenses borne by Fund shareholders.
The Board reviewed the proposed advisory fee and estimated total expenses of each Fund (each as a percentage of average net assets) and compared such amounts with the average and median fees and expense levels of other similar funds. With respect to advisory fees, the Board reviewed data from Broadridge that compared the average and median advisory fees of other funds in a peer group of comparable funds, as well as the universe of other similar funds. The Board compared each Fund’s estimated total expenses to other funds in the applicable peer group provided by Broadridge and found the total expenses of each Fund to be reasonable. The Board noted that the Broadridge information showed that the proposed advisory fee for each Fund was in the low to middle range of the applicable Broadridge peer group and universe. They further noted that the estimated total expense ratio for each Fund was also within the middle range of total expenses, when taking into account the proposed expense reimbursement arrangement. The Board also found the proposed fees to be paid by JPMPI to theSub-Advisers to be reasonable, noting that the Funds will not pay the fees to theSub-Advisers directly, but that JPMPI will compensate theSub-Advisers out of the advisory fee it receives from the Funds. The Board noted that neither JPMPI nor theSub-Advisers identified any funds or accounts with similar investment objectives and strategies as the Funds. The Board further noted the Adviser’s views regarding the limitations of fee comparisons to separately managed accounts in
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light of the differences in services provided to the Funds as compared to those provided to separately managed accounts. Additionally, the Board noted the most-favored nation provisions agreed to by each of theSub-Advisers, which should help ensure the fee rates charged by theSub-Advisers are at least equal to the range of fees theSub-Advisers charge to similar clients.
Based on the information presented by JPMPI, theSub-Advisers and Broadridge, members of the Board then determined that the level of the advisory fees to be charged by JPMPI, the level of thesub-advisory fees to be paid by JPMPI to eachSub-Adviser, as well as the estimated total expenses of each Fund, are reasonable, fair and equitable and that approval of the Advisory Agreement andSub-Advisory Agreements would likely benefit each Fund and its shareholders.
Adviser Costs, Level of Profits and Economies of Scale.As the Funds are newly organized, information regarding JPMPI’s and theSub-Advisers’ actual costs in providing services to the Funds was not available.
The Board considered the estimated profits to be realized by the Adviser in connection with the operation of the Funds as well as the estimated profits to be realized by theSub-Advisers in connection with the operation of the Funds based on profitability estimates included with the 15(c) Materials, and whether the amount of estimated profit represented a fair entrepreneurial profit for the management of the Funds. In doing so, the Board also took into account the entrepreneurial and business risk JPMPI will undertake as investment manager and sponsor of the Funds. The Board also considered the Funds’ estimated operating expenses and the expected impact of the proposed expense limitation agreement and fee waiver agreement to be observed by JPMPI on the Adviser’s estimated profits. The Board noted that JPMPI did not expect to be profitable with respect to the Funds during their first year of operations.
The Board further noted that the proposed advisory fee rates to be paid to JPMPI do not have break points, but due to the proposed fee waiver arrangements, JPMPI will not retain any portion of the advisory fees paid by the Funds. Additionally, the Board noted that Six Circles Tax Aware Ultra Short Duration Fund and Six Circles Ultra Short Duration Fundsub-advisory fees contain breakpoints, which may help to reflect economies of scale.
Ultimately, the Board concluded that each Fund’s proposed fee and expense structure is reasonable, fair and equitable.
Ancillary Benefits.The Board next considered whether the Adviser,Sub-Advisers or any of their affiliates may receive other benefits as a result of the Adviser’s orSub-Adviser’s proposed relationship with the Trust or the Funds. The Board considered that the Adviser was not affiliated with any of the Funds’ proposed service providers, and therefore would not
benefit from those contractual relationships. The Board additionally considered that theSub-Advisers were not affiliated with any of the Funds’ proposed service providers, and therefore would not benefit from those contractual relationships. The Board also considered the proprietary nature of the Funds and whether any benefit would result to the Adviser by placing assets of JPMPI private bank clients into the Funds. The Board also considered portfolio trading practices, noting that while the Adviser was affiliated with a broker-dealer, the broker-dealer affiliate would not execute portfolio transactions on behalf of the Funds and would not receive the benefit of research provided by any such broker-dealer. Additionally, the Board considered that JPMorgan Chase Bank, N.A. and its affiliates (“J.P. Morgan”) will receive the ancillary benefit of collecting fees from J.P. Morgan accounts that invest in the Funds. Taking these considerations into account, the Board concluded that the Adviser, theSub-Advisers and their affiliates would not receive collateral benefits that would materially affect the reasonableness of the proposed advisory fees under the Advisory Agreement orSub-Advisory Agreements.
Conclusions.Having requested and received such information from the Adviser andSub-Advisers as the Board believed to be reasonably necessary to evaluate the terms of the proposed Advisory Agreement andSub-Advisory Agreements, the Board, including the Independent Trustees, unanimously concluded that the advisory fee structures were reasonable, fair and equitable and, in light of the matters that the Trustees had considered to be relevant in the exercise of their reasonable judgment, approved the Advisory Agreement and theSub-Advisory Agreements for an initial term of two years.
Board Review and Approval of theSub-Advisory Agreement with Russell Investments Implementation Services, Inc. (the “New Sub-advisory Agreement”)
The Board of Trustees (the “Board”) of the Six Circles Trust (the “Trust”), including the Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended, the “1940 Act”) of J.P. Morgan Private Investments Inc. (“JPMPI” or the “Adviser”) and theSub-Adviser (as defined below) or their affiliates (the “Independent Trustees”), met in person on September 21, 2018 (the “Meeting”) to consider and approve a proposedSub-Advisory Agreement (the “NewSub-Advisory Agreement”) between JPMPI and Russell Investments Implementation Services, Inc. (“RIIS” or the“Sub-Adviser”) for an initial term of two years. At the Meeting, the Board, including the Independent Trustees, unanimously approved the NewSub-Advisory Agreement.
Pursuant to the NewSub-Advisory Agreement, RIIS was proposed to be engaged to serve as an “interim”sub-adviser to the Funds as needed to manage the portfolio of a Fund or sleeve thereof for an interim period (i) in the event that it would be prudent to allocate Fund flows away from an existingsub-adviser for a period of time, or (ii) to facilitate a transition
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(Unaudited) (continued)
in the event the Adviser determines to terminate an existingsub-adviser, pending identification, approval and implementation of a newsub-adviser. Separate from the proposed NewSub-Advisory Agreement, RIIS was also proposed to be engaged by JPMPI as a transition manager available as needed, to provide transition management execution services, to efficiently transition portfolios managed by an existingsub-adviser over to a newsub-adviser or to another existingsub-adviser, pursuant to a proposed Implementation Services Agreement between JPMPI and RIIS.
Materials Requested Prior to Meeting. Prior to the Meeting, Ropes & Gray LLP (“Ropes & Gray”), counsel to the Independent Trustees, had prepared a letter on behalf of the Independent Trustees requesting detailed information from RIIS in connection with the proposed NewSub-Advisory Agreement in an effort to observe the requirement under Section 15(c) of the 1940 Act that the Trustees request and evaluate, and that the investment adviser andsub-adviser furnish, such information as may be necessary to evaluate the terms of the proposed agreement. RIIS responded to the information request and provided written materials and information for consideration by the Trustees, which were included in the materials for the Meeting. JPMPI also provided information regarding the proposed arrangements with RIIS, and also referred to information that had been previously provided to the Board in connection with a June12-13, 2018 meeting to consider matters relating to the organization of the Trust and initial approval of investment advisory and other arrangements between JPMPI and the Trust (the materials provided by JPMPI and RIIS for the Meeting, together with the materials previously provided by JPMPI for the June12-13, 2018 Board meeting, together, the “15(c) Materials”). Following receipt and review, the Independent Trustees and Ropes & Gray, held a conference call on September 17, 2018 to consider the 15(c) Materials and proposed NewSub-Advisory Agreement, during which the Independent Trustees raised various questions and requests for additional information to be responded to, each of which was responded to by JPMPI or RIIS either in writing or orally at the Meeting.
Set forth below is a summary of the material factors evaluated by the Trustees that formed the basis for the Board’s approval of the NewSub-Advisory Agreement. The Trustees’ conclusions as to the approval of the NewSub-Advisory Agreement were based on a comprehensive consideration of all information provided to the Trustees. In deciding to approve the NewSub-Advisory Agreement, the Board did not identify any single factor or particular information that, in isolation, was controlling. Some of the factors that figured particularly in the Trustees’ deliberations are described below, although individual Trustees may have evaluated the information presented differently from one another, attributing different weights to various factors.
MaterialsReviewed. In considering the approval of the NewSub-Advisory Agreement, the Board took into account the wide variety of materials relating to the interimsub-advisory services to be provided by RIIS prior to and during the Meeting, the presentations by JPMPI and RIIS made during the Meeting, and the extensive discussions during the Meeting. The Board reviewed information relating to, among other things, the proposed interimsub-advisory services to be provided by RIIS, including information related to the capabilities of RIIS to manage the various asset categories represented in the Funds on an interim basis and the personnel of RIIS that would be providing investment management services to the Funds as and when called for, and the circumstances under which RIIS may be utilized by JPMPI as an interimsub-adviser in connection with JPMPI’s selection and oversight of the Funds’sub-advisers. The Board also considered information relating to the compliance program of RIIS. The Board also considered a memorandum prepared by Ropes & Gray regarding the responsibilities of the Trustees in considering the approval of advisory andsub-advisory agreements for the Funds.
Representatives of RIIS also participated in the Meeting, at which the Board discussed the proposed arrangements with RIIS. The Independent Trustees also discussed the proposed NewSub-Advisory Agreement in an executive session of the Meeting with Ropes & Gray at which no representatives of JPMPI or RIIS were present.
Review Process. In connection with the approval of the NewSub-Advisory Agreement, the Board reviewed written materials provided by JPMPI and RIIS. The Board also requested and received assistance and advice regarding applicable legal standards from Ropes & Gray. The Board additionally considered the written information provided by RIIS in response to the Board’s request for information, and other information provided by JPMPI. The Board also heard oral presentations on matters related to the NewSub-Advisory Agreement and related arrangements from representatives of JPMPI and RIIS.
Nature,Extent and QualityofServices. The Board considered the depth and quality of the investment management process of RIIS, including the experience and capabilities of its senior management, investment and other personnel, and the overall financial strength and stability of the organization. The Board also considered thesub-advisory services proposed to be provided by RIIS to the Funds if and when called upon to serve as an interimsub-adviser. The Board further considered information about RIIS’s investment personnel responsible for providing services under the NewSub-Advisory Agreement. The Board reviewed the nature and quality of RIIS’s investment management, trading, risk management, compliance capabilities and resources, research capabilities, and the experience and capabilities of its portfolio management personnel, including the availability of RIIS personnel with significant experience in municipal securities, and the firm’s overall financial strength.
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The Board noted the certificates received from RIIS regarding both its compliance program and code of ethics, which noted that RIIS had compliance policies and procedures in place that were reasonably designed to prevent violations of the federal securities laws with respect to the services provided by RIIS and that RIIS had adopted a code of ethics that included provisions reasonably necessary to prevent access persons from (i) engaging in certain specified conduct and (ii) violating its code of ethics.
Ultimately, the Board concluded that the nature, extent and quality of services proposed to be provided by RIIS under the NewSub-Advisory Agreement if and when called upon to serve as an interimsub-adviser were likely to benefit the Funds and their shareholders.
InvestmentPerformance. Since the Funds had not yet utilized RIIS’ssub-advisory services, the Board did not receive or consider investment performance information related to the Funds’ performance with RIIS serving as aSub-Adviser. The Board considered the manner in which RIIS proposed to manage the Funds or particular sleeves of the Funds as an interimsub-adviser. The Board also discussed the background and experience of RIIS and its personnel. The Board concluded that based on the experience of RIIS, RIIS had a reasonable expectation of delivering acceptable performance to shareholders of the Funds if called upon to serve as an interimsub-adviser.
Advisory Fees and TotalExpenses. JPMPI reported to the Board that, in proposing thesub-advisory fees to be paid to RIIS by JPMPI for each Fund, JPMPI considered a number of factors, including the type and complexity of the services to be provided, the cost of providing services, the impact on potential returns from different levels of fees, the competitive marketplace for financial products, and the attractiveness of potential returns to prospective investors in the Funds.
The Board next reviewed the proposedsub-advisory fee schedule under the NewSub-Advisory Agreement. The Board noted RIIS’s explanation that the proposedsub-advisory fee is consistent across all four Funds and each applicable investment sleeve because each Fund and sleeve would receive similar investment management services from RIIS if it serves as an interimsub-adviser. The Board found the proposed fees to be paid by JPMPI to RIIS to be reasonable. Among other factors, they noted that the Funds will not pay the fees to RIIS directly, but that JPMPI will compensate RIIS out of the advisory fee it receives from the Funds, the rates of which were previously approved by the Board and are not proposed to change in connection with the retention of RIIS as an interimsub-adviser. In this regard, the Board noted that JPMPI had previously: (1) agreed to contractually reimburse expenses of the Funds to the extent the total expense ratio for each Fund exceeds a certain specified limit; and (2) agreed to contractually waive any advisory fees that exceeded the aggregate advisory fees
JPMPI is contractually required to pay to the Fund’ssub-advisers, and that these arrangements would remain in place and apply to any fees paid to RIIS under the NewSub-Advisory Agreement. Additionally, the Board noted the most-favored nation provisions agreed to by RIIS, which should help ensure thesub-advisory fee rates charged by RIIS are at least equal to the range of fees it charges to similar clients.
Based on the information presented, members of the Board determined that the level ofsub-advisory fees to be paid by JPMPI to RIIS under the NewSub-Advisory Agreement are reasonable, fair and equitable and would likely benefit each Fund and its shareholders.
Adviser Costs,Level of Profits andEconomies of Scale. The Board noted that, as the Funds have not yet utilized RIIS’s interimsub-advisory services, information regarding RIIS’s costs in providing services to the Funds was not available. The Board also noted that JPMPI had no current plans to utilize RIIS for any particular Fund strategy as of the date thereof, or what level of assets might be managed by RIIS over any particular time period. Accordingly, it was noted that RIIS’s profitability with respect to its interimsub-advisory services on behalf of the Funds could not reasonably be estimated at this time.
The Board noted that JPMPI’s estimated profitability from its relationship with the Funds remained the same as had been considered by the Board in connection with the organization of the Trust and initial approval of the Funds’ advisory andsub-advisory arrangements at the June12-13, 2018 Board meeting, and is not currently expected to be impacted by the proposed NewSub-Advisory Agreement and related arrangements with RIIS.
The Board further noted that thesub-advisory fee rates to be paid by JPMPI to RIIS include breakpoints, which may help to reflect economies of scale.
Ultimately, the Board concluded that each Fund’s proposed fee and expense structure with respect to the NewSub-Advisory Agreement is reasonable, fair and equitable.
AncillaryBenefits. The Board next considered whether RIIS or any of its affiliates may receive other benefits as a result of RIIS’s proposed relationship with the Trust or the Funds. The Board considered that RIIS was not affiliated with any of the Funds’ service providers, and therefore would not benefit from those contractual relationships. The Board also considered portfolio trading practices of RIIS, noting the relatively low trading costs that RIIS expects to incur in completing portfolio transactions for the Funds. Additionally, the Board considered that RIIS may receive ancillary benefits of potentially receiving fees from serving as transition manager to the Funds under the Implementation Services Agreement between the JPMPI and RIIS, but noted that those possible fees are not contingent on RIIS serving as an interimSub-Adviser and would be for serv-
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(Unaudited) (continued)
ices that are distinct from RIIS’ssub-advisory services. As such, the Board concluded that RIIS and its affiliates would not receive collateral benefits that would materially affect the reasonableness of the proposedsub-advisory fees under the NewSub-Advisory Agreement.
Conclusions. Having requested and received such information from JPMPI and RIIS as the Board believed to be reasonably necessary to evaluate the terms of the proposed NewSub-Advisory Agreement, the Board, including the Independent
Trustees, unanimously concluded that the proposedsub-advisory fee structure was reasonable, fair and equitable and, in light of the matters that the Trustees had considered to be relevant in the exercise of their reasonable judgment, approved the NewSub-Advisory Agreement for an initial term of two years. The Board also unanimously approved the Implementation Services Agreement, finding it to be fair to, and in the best interest of, each Fund and its shareholders.
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Rev. Feb 2019
FACTS | WHAT DOES SIX CIRCLES TRUST* DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we may collect and share depend on the product or service you have with us. This information can include:
◾ Social Security number
◾ account balances and transaction history
◾ investment experience and risk tolerance
When you areno longerour customer, we continue to share your information as described in this notice. |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Six Circles Trust, chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Six Circles Trust share? | Can you limit this sharing? | ||
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No | ||
For our marketing purposes — to offer our products and services to you | No | We don’t share | ||
For joint marketing with other financial companies | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No | ||
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share | ||
For nonaffiliates to market to you | No | We don’t share |
* | Six Circles Trust and its fund series do not currently, nor are they expected to, collect personal non-public information from individuals, since holdings are held on the books of each fund on an omnibus basis by financial intermediaries. To the extent Six Circles Trust does get access to personsal information through its affiliates or otherwise, this statement would apply. |
Questions? | Call 212-464-2070 to speak with a J.P. Morgan representative. For operator relay assistance, first dial 711. |
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Who we are | ||
Who is providing this notice? | Six Circles Trust |
What we do | ||
How does Six Circles Trust protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We only authorize our personnel to access information about you when they need it to do their work for us. We require companies working for us to protect your information. | |
How does Six Circles Trust collect my personal information? | We may collect your personal information, for example, when you
◾ open an account or make a wire transfer
◾ direct us to buy securities or direct us to sell your securities
◾ provide your account information
| |
Why can’t I limit all sharing? | Federal law gives you the right to limit only
◾ sharing for affiliates’ everyday business purposes – information about your creditworthiness
◾ affiliates from using your information to market to you
◾ sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. |
Definitions | ||
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
◾ Our affiliates include companies with the Chase or J.P. Morgan name including J.P. Morgan Private Investments Inc., our investment adviser. | |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
◾ We do not share with nonaffiliates so they can market to you | |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
◾ We don’t jointly market |
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The Six Circles Funds are distributed by Foreside Fund Services, LLC a member of FINRA.
Contact Six Circles Funds collect at 1-212-464-2070 for a fund prospectus. You can also visit us at www.sixcirclesfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the Six Circles Funds before investing. The prospectus contains this and other information about the Six Circles Funds. Read the prospectus carefully before investing.
The Six Circles Funds file complete schedules of their fund holdings for the first and third quarters of their fiscal year with the SEC on Form N-Q. The Six Circles Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov. Shareholders may request a Form N-Q without charge by calling collect at 1-212-464-2070 or by visiting the Six Circles Funds’ website at www.sixcirclesfunds.com/literature.
A description of the Six Circles Funds’ policies and procedures with respect to the disclosure of the Six Circles Funds’ holdings is available in the prospectuses and Statements of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling collect 1-212-464-2070 and on the Six Circles Funds’ website at www.sixcirclesfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Fund to the Adviser, and the Adviser in turn has delegated such authority to the Sub-Advisers. A copy of the Six Circles Funds’ voting record for the most recent 12-month period ended June 30 will be available on the SEC’s website at www.sec.gov or at the Six Circles Funds’ website at www.sixcirclesfunds.com no later than August 31 of each year. The Six Circles Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
©JPMorgan Chase & Co. 2019. All rights reserved. December 31, 2018.
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Item 2. Code of Ethics.
As of the period ended December 31, 2018 (the “Reporting Period”), the Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer and principal financial officer, principal accounting officer or controller or persons performing similar functions. During the Reporting Period, there have been no changes to, amendments to or waivers from, any provision of the code of ethics.
Item 3. Audit Committee Financial Expert.
The Board of Trustees of the Registrant has determined that Registrant has an audit committee financial expert as defined in Item 3(b) and (c) to Form N-CSR and has designated Mr. Neil Medugno as the Registrant’s audit committee financial expert. Mr. Neil Medugno is an “independent” Trustee pursuant to paragraph (a)(2) of Item 3 to Form N-CSR. The Securities and Exchange Commission has stated that the designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations or liabilities that are greater than the duties, obligations and liabilities imposed on such person as a member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.
Item 4. Principal Accountant Fees and Services.
The following fees paid to PricewaterhouseCoopers, LLP, the Registrant’s principal accounting firm, are for services rendered for the fiscal year ended December 31, 2018, the Funds first year of operations.
(a) | Audit Fees |
The aggregate fees billed for the fiscal year ended December 31, 2018 for professional services rendered by the principal accountant for the audit of the Registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements was $185,000.
(b) | Audit Related Fees |
The aggregate fees billed for the fiscal year ended December 31, 2018 for assurance and related services rendered to the Registrant by the principal accountant that are reasonably related to the performance of the audit of the Registrant’s financial statements and are not reported under paragraph (a) of this Item was $0.
(c) | Tax Fees |
The aggregate fees billed for the fiscal year ended December 31, 2018 for professional services rendered to the Registrant by the principal accountant for tax compliance, tax advice and tax planning was $42,500. These services consisted of (i) review or preparation of U.S. federal, state, local and excise tax returns; (ii) U.S. federal, state and local entity tax planning, advice and assistance regarding statutory, regulatory or administrative developments, and (iii) tax advice regarding tax qualification.
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(d) | All Other Fees |
The aggregate fees billed for the fiscal year ended December 31, 2018 for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item was $16,000.
The other services provided to the Registrant consisted of examinations pursuant to Rule17f-2 of the Investment Company Act of 1940, as amended and filings of FormN-17f-2 “Certificate of Accounting of Securities and Similar Investments in the Custody of Management Investment Companies” with the U.S. Securities and Exchange Commission(“17f-2 Services”) in addition to audit services, tax services and17f-2 Services provided to other series of the Registrant.
(e) | (1) | Pursuant to the Registrant’s Audit Committee Charter that has been adopted by the audit committee, the audit committee shall approve all audit and permissiblenon-audit services to be provided to the Registrant and all permissiblenon-audit services to be provided to its investment adviser or any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant if the engagement relates directly to the operations and financial reporting of the Registrant. The audit committee has delegated to its Chairman the approval of such services subject to reports to the full audit committee at its next subsequent meeting. |
(e) | (2) | The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) ofRule 2-01 of RegulationS-X, with respect to: Audit-Related Fees were 100%; Tax Fees were 100%; and Other Fees were 0%. |
(f) | Not applicable. |
(g) | The aggregatenon-audit fees billed by the Registrant’s accountant for services rendered to the Registrant, and rendered to the Registrant’s investment adviser(not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Registrant were $0. |
(h) | The Registrant’s audit committee has considered whether the provision ofnon-audit services that were rendered to the Registrant’s investment adviser (not including anysub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Registrant that were notpre-approved pursuant to paragraph (c)(7)(ii) of Rule2-01 of RegulationS-X is compatible with maintaining the principal accountant’s independence. |
Item 5. Audit Committee of Listed Registrants.
Not Applicable
Item 6. Investments.
(a) | A Schedule of Investments in securities of unaffiliated issuers as of the close of the Reporting Period is included as part of the report to shareholders filed under Item 1 of this FormN-CSR. |
(b) | Not applicable. |
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Item 7. Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers ofClosed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities byClosed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
(a) | The Registrant’s principal executive and financial officers have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective, as of a date within 90 days of the filing date of this FormN-CSR, based on their evaluation of these controls and procedures required by Rule30a-3(b) under the 1940 Act and Rules13a-15(b) or15d-15(b) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”). |
(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the 1940 Act) that occurred during the Registrant’s second fiscal quarter of the period covered by this FormN-CSR, that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities forClosed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | Code of Ethics applicable to Principal Executive and Principal Financial Officers of Registrant pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 are filed as Exhibit 13(a)(1) to this Form N-CSR. |
(a)(2) | Certifications required by Rule30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are filed as Exhibit 13(a)(2) to this FormN-CSR. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Certifications required by Rule30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are furnished as Exhibit 13(b) to this FormN-CSR. |
Table of Contents
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Six Circles Trust |
By: |
/s/ Mary Savino |
Mary Savino |
Title: President - Principal Executive Officer |
Date: February 27, 2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: |
/s/ Mary Savino |
Mary Savino |
Title: President - Principal Executive Officer |
Date: February 27, 2019 |
By: |
/s/ Gregory McNeil |
Gregory McNeil |
Title: Treasurer - Principal Financial Officer |
Date: February 27, 2019 |