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Six Circles Trust

Filed: 26 Feb 20, 3:24pm
Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

 

 

FORMN-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number:811-23325

 

 

SIX CIRCLES TRUST

On behalf of the following series:

Six Circles U.S. Unconstrained Equity Fund

Six Circles International Unconstrained Equity Fund

Six Circles Tax Aware Ultra Short Duration Fund

Six Circles Ultra Short Duration Fund

Six Circles Managed Equity Portfolio U.S. Unconstrained Fund

Six Circles Managed Equity Portfolio International Unconstrained Fund

(Exact name of registrant as specified in charter)

 

 

383 Madison Avenue, New York, NY 10179

(Address of principal executive offices) (Zip Code)

 

 

The Corporation Trust Company

1209 Orange Street

Wilmington, DE 19801

(Name and address of agent for service)

 

 

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

Date of fiscal year end: December 31

Date of reporting period: December 31, 2019

 

 

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

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

 

 

 


Table of Contents
Item 1.

Report to Stockholders.

 


Table of Contents

Annual Report

SIX CIRCLESSM FUNDS

December 31, 2019

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 or your J.P. Morgan representative as applicable, will be notified by mail each time a report is posted and provided with a website link to access the report.

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

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

 

   LOGO 


Table of Contents

CONTENTS

 

President’s Letter     1 
Market Overview     2 
Fund Commentaries     3 

Ultra Short Duration Fund

     3 

Tax Aware Ultra Short Duration Fund

     5 

U.S. Unconstrained Equity Fund

     7 

International Unconstrained Equity Fund

     10 
Schedules of Portfolio Investments     13 
Financial Statements     58 
Financial Highlights     70 
Notes to Financial Statements     78 
Report of Independent Registered Public Accounting Firm     95 
Schedule of Shareholder Expenses     96 
Tax information     97 
Trustees and Officers     98 

Privacy Policy — Located at the back of this Annual Report

    

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

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

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


Table of Contents

PRESIDENT’S LETTER

DECEMBER 31, 2019 (Unaudited)

 

Dear Shareholder,

I am pleased to present the Six Circles Funds Annual Report for the fiscal year ending December 31, 2019.

In 2018, J.P. Morgan Private Bank introduced Six Circles Funds, a suite of mutual funds intended for exclusive use in its discretionary portfolios. The suite of funds continued to expand with the addition of Six Circles Managed Equity Portfolio U.S. Unconstrained Fund and Six Circles Managed Equity Portfolio International Unconstrained Fund, and plans are in place for additional funds to be added in 2020.

As markets become more complex, specialization matters even more. To that end, each of the Six Circles Funds is designed to provide access to a broader range of strategies and more precise implementation of our desired exposures. For example, Six Circles Funds allow us to implement our views more precisely by targeting sub sectors where we have stronger conviction, such as U.S. Software, versus investing in the broader Technology sector.

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 as sub-advisers to oversee the different exposures in these Funds. JPMPI partners

with third party managers with demonstrated asset class specialization to sub-advise the Funds in accordance with our investment philosophy.

The Six Circles Funds are purposefully constructed as completion funds, and are not meant to be standalone investments. As such, we believe they should be reviewed and evaluated within the context of your broader portfolio.

On the following pages, you will find our Market Outlook and Fund commentaries. Should you have any questions about the Funds, please contact your J.P. Morgan team, visit the Funds’ website at www.sixcirclesfunds.com, or call 212-464-2070.

Sincerely,

 

LOGO

Mary Savino

President, Six Circles Funds

 

 

 
DECEMBER 31, 2019 SIX CIRCLES TRUST    1 


Table of Contents

Market Overview

As Of December 31, 2019 (Unaudited)

 

Global equity markets provided positive returns in 2019, with U.S. equities rebounding from their 2018 lows and continuing to rise through the year with the MSCI USA Index up 31.6% in 2019. Developed non-U.S. and emerging markets equities also closed in positive territory, with the MSCI World ex-USA Index up 22.5% and the MSCI Emerging Markets Index up 18.4%.

Global Bond and cash markets broadly underperformed equities; the Bloomberg Barclays U.S. 1-3 Month Treasury Bill Index returned 2.2% and the Bloomberg Barclays Global Aggregate Hedged Index returned 8.2%, while the MSCI World Index returned 27.7% for the year.

The Fed cut rates three times in 2019 on the back of slowing growth data and inflation that is below target levels. Future cuts by the Fed are likely to be data dependent. The Fed cuts, coupled with fears around trade and geopolitics, caused10-year yields to decline throughout 2019, although yields are up from 2019 lows given the recent stabilization in economic data. The European Central Bank and Bank of Japan continue to maintain accommodative policies.

We continue to believe that the current economic cycle is in its later stage. While easing monetary policy may have helped extend the length of the cycle, ongoing trade tensions and other geopolitical risks may threaten economic growth.

 

 

 
2   SIX CIRCLES TRUST DECEMBER 31, 2019


Table of Contents

Six Circles Ultra Short Duration Fund

FUND COMMENTARY

Twelve Months Ended December 31, 2019 (Unaudited)

 

REPORTING PERIOD RETURN 
Fund*   2.95% 
Bloomberg Barclays 1-3 Month U.S. Treasury Bill Index   2.21% 
Net Assets as of 12/31/2019 (In Thousands)  $1,200,167 
Duration   0.87 years 

 

INVESTMENT OBJECTIVES AND STRATEGY**

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

INVESTMENT APPROACH

J.P. Morgan Private Investments Inc., the Fund’s investment adviser (“JPMPI” or the “Adviser”) constructs the Fund’s portfolios by allocating the Fund’s assets among investment strategies managed by one or more sub-advisers retained by the Adviser (each a “Sub-Adviser”). The Adviser currently 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?

During the period of January 1, 2019 through December 31, 2019, the Fund posted a positive return on an absolute basis, and outperformed relative to the Bloomberg Barclays1-3 Month U.S. T-Bill Index (the “Index”). References to the Index are for informational purposes. The use of the Index does not imply the Fund is being managed to the Index, but rather is disclosed to allow for comparison of the Fund’s performance to that of a well-known and widely-recognized index.

By sector composition, Investment Grade Credit and Securitized Credit comprised approximately 75% of the Fund’s exposure on a look-through basis at the end of the reporting period, and were the Fund’s largest sector overweights relative to the Index. During the reporting period, both sectors contributed to the Fund’s performance on an absolute basis, as well as relative to the Index.

The Fund’s exposure to U.S. Government Bonds was the Fund’s largest sector underweight relative to the Index and comprised approximately 7.4% of the Fund’s exposure on a look-through basis at the end of the reporting period. During the reporting period, this sector contributed to the Fund’s performance on an absolute basis, and detracted from performance relative to the Index.

On the sleeve level, all three of the Fund’s allocations — Conservative Income, Global Markets, and Core Ultra Short — contributed to the Fund’s return on an absolute basis during the reporting period.

HOW WAS THE FUND POSITIONED?

Within the fixed income allocation on the broader Portfolio level, the Adviser prefers high-quality liquid investments combined with flexibility to implement opportunistic ideas across fixed income markets. The majority of the Fund’s assets were invested into the more liquid segments of the fixed income market, with approximately 90% of the Fund invested into instruments with maturities of 3 years and under as of December 31, 2019.

The Adviser allocates to the three sleeves in a diversified manner, with the expectation that the Sub-Advisers will capitalize on the opportunities present in the segment of the fixed income market that their specific mandate is focused on.

The Conservative Income allocation, which comprised approximately 40% of the Fund as of December 31, 2019, is focused on the highest quality, shortest maturity and the most liquid part of the U.S. fixed income market, balancing safety against income within the context of the broader portfolio.

The Global Markets allocation, which comprised approximately 30% of the Fund as of December 31, 2019, has a broad investment universe, seeking total return opportunities within the global fixed income markets.

The Core Ultra Short allocation, which comprised approximately 30% of the Fund as of December 31, 2019, invests in a diversified fixed income portfolio on the shorter end of the U.S. fixed income market, balancing income against credit quality within the context of the broader portfolio.

At the end of the reporting period, the Fund was allocated to three Sub-Advisers across various sectors, credit ratings, maturity buckets, and regional exposures.

 

 

 
DECEMBER 31, 2019 SIX CIRCLES TRUST    3 


Table of Contents

Six Circles Ultra Short Duration Fund

FUND COMMENTARY

Twelve Months Ended December 31, 2019 (Unaudited) (continued)

 

PORTFOLIO ALLOCATION*** 
Conservative Income (Goldman)   40
Global Markets (PIMCO)   30 
Core Ultra Short (BlackRock)   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, 2019 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, 2019. The portfolio allocation is subject to change.

 

AVERAGE ANNUAL TOTAL RETURNS
AS OF DECEMBER 31, 2019

 
    1 Year  Since
Inception
(July 9, 2018)
 
Six Circles Ultra Short Duration Fund   2.95  3.60

GROWTH OF $10,000 REPORT(07/9/18 TO 12/31/19)

 

 

LOGO

LOGO

 

1)  

Presented percentages may not sum up to 100% due to rounding to the nearest percent. The above Sector allocation uses The Global Industry Classification Standard (GICS®) and may differ from categories listed within the Schedule of Investments.

The allocation of the various strategies employed by the Fund may shift and therefore, the performance shown may not be a true indication of how the Fund may perform going forward. Performance quoted is past performance and is no guarantee of future results. Investment returns and principal value will fluctuate, so shares, when sold, may be worth more or less than original cost. Current performance may be higher or lower than returns shown. As of the latest prospectus, the gross and net expense ratios for the Fund were 0.63% and 0.23% 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, 2019. 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.

The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by JP MORGAN CHASE BANK NA. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability and fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.

 

 

 
4   SIX CIRCLES TRUST DECEMBER 31, 2019


Table of Contents

Six Circles Tax Aware Ultra Short Duration Fund

FUND COMMENTARY

Twelve Months Ended December 31, 2019 (Unaudited)

 

REPORTING PERIOD RETURN 
Fund*   1.98% 
iMoneyNet Tax-Free National Institutional Money Market Index   1.28% 
Net Assets as of 12/31/2019 (In Thousands)  $1,355,740 
Duration   0.75 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

J.P. Morgan Private Investments Inc., the Fund’s investment adviser (“JPMPI” or the “Adviser”) constructs the Fund’s portfolios by allocating the Fund’s assets among investment strategies managed by one or more sub-advisers retained by the Adviser (each a “Sub-Adviser”). The Adviser currently 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?

During the period of January 1, 2019 through December 31, 2019, the Fund posted a positive return on an absolute basis, and outperformed relative to the iMoneyNet Tax-Free National Institutional Money Market Index (the “Index”). References to the Index are for informational purposes. The use of the Index does not imply the Fund is being managed to the Index, but rather is disclosed to allow for comparison of the Fund’s performance to that of a well-known and widely-recognized index.

By sector composition, Municipal Bonds were the largest sector exposure in the Fund on a look-through basis and comprised approximately 65% of the Fund at the end of the reporting

period, and contributed to the Fund’s performance on an absolute basis.

Investment Grade Credit comprised approximately 13% of the Fund’s sector exposure on a look-through basis at the end of the reporting period, and also contributed to the Fund’s performance on an absolute basis.

On the sleeve level, all three of the Fund’s allocations — Municipal Conservative Income, Global Markets, and Core Municipal Ultra Short — contributed to the Fund’s return on an absolute basis during the reporting period.

HOW WAS THE FUND POSITIONED?

Within the fixed income allocation on the broader Portfolio level, the Adviser prefers high-quality liquid investments combined with flexibility to implement opportunistic ideas across fixed income markets. The majority of the Fund’s assets were invested into the more liquid segments of the fixed income market, with approximately 88% of the Fund invested into instruments with maturities of three years and under as of December 31, 2019.

The Adviser allocates to the three sleeves in a diversified manner, with the expectation that the Sub-Advisers will capitalize on the opportunities present in the segment of the fixed income market that their specific mandate is focused on.

The Municipal Conservative Income allocation, which comprised approximately 40% of the Fund as of December 31, 2019, is focused on the highest quality, shortest maturity and the most liquid part of the U.S. municipal fixed income market, balancing safety against income within the context of the broader portfolio.

The Global Markets allocation, which comprised approximately 30% of the Fund as of December 31, 2019, has a broad investment universe, seeking total return opportunities within the global taxable fixed income markets.

The Core Municipal Ultra Short allocation, which comprised approximately 30% of the Fund as of December 31, 2019, invests in a diversified fixed income portfolio on the shorter end of the U.S. municipal fixed income market, balancing income against credit quality within the context of the broader portfolio.

 

 

 
DECEMBER 31, 2019 SIX CIRCLES TRUST    5 


Table of Contents

Six Circles Tax Aware Ultra Short Duration Fund

FUND COMMENTARY

Twelve Months Ended December 31, 2019 (Unaudited) (continued)

 

At the end of the reporting period, the Fund was allocated to three Sub-Advisers across various sectors, credit ratings, maturity buckets, and regional exposures.

 

PORTFOLIO ALLOCATION*** 
Municipal Conservative Income (Goldman)   40
Global Markets (PIMCO)   30 
Core Municipal Ultra Short (Mellon)   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, 2019 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, 2019. The portfolio allocation is subject to change.

 

AVERAGE ANNUAL TOTAL RETURNS
AS OF DECEMBER 31, 2019

 
    1 Year  Since
Inception
(July 9, 2018)
 
Six Circles Tax Aware Ultra Short Duration Fund   1.98  2.47

GROWTH OF $10,000 REPORT(07/9/18 TO 12/31/19)

 

 

LOGO

 

LOGO

 

1)  

Presented percentages may not sum up to 100% due to rounding to the nearest percent. The above Sector allocation uses The Global Industry Classification Standard (GICS®) and may differ from categories listed within the Schedule of Investments.

The allocation of the various strategies employed by the Fund may shift and therefore, the performance shown may not be a true indication of how the Fund may perform going forward. Performance quoted is past performance and is no guarantee of future results. Investment returns and principal value will fluctuate, so shares, when sold, may be worth more or less than original cost. Current performance may be higher or lower than returns shown. As of the latest prospectus, the gross and net expense ratios for the Fund were 0.64% and 0.22% 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 Institutional Money Market Index from July 9, 2018 to December 31, 2019. 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 Institutional Money Market 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 Institutional Money Market Index 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.

The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by JP MORGAN CHASE BANK NA. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability and fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.

 

 

 
6   SIX CIRCLES TRUST DECEMBER 31, 2019


Table of Contents

Six Circles U.S. Unconstrained Equity Fund

FUND COMMENTARY

Twelve Months Ended December 31, 2019 (Unaudited)

 

REPORTING PERIOD RETURN 
Fund*   24.94% 
MSCI USA Index   31.64% 
Net Assets as of 12/31/2019 (In Thousands)  $11,237,068 

 

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

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

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

During the period of January 1, 2019 through December 31, 2019, the Fund posted a positive return on an absolute basis, and underperformed relative to the MSCI USA Index (the “Index”). References to the Index are for informational purposes. The use of the Index does not imply the Fund is being managed to the Index, but rather is disclosed to allow for comparison of the Fund’s performance to that of a well-known and widely-recognized index.

Health Care, Consumer Staples and Communication Services sectors comprised approximately 44% of the Fund’s sector exposure on a look-through basis at the end of the reporting period, and were the Fund’s largest sector overweights relative to the Index. During the reporting period, all three sectors contributed to the Fund’s performance on an absolute basis, but detracted from the Fund’s performance relative to the Index.

Real Estate, Financials and Information Technology sectors comprised approximately 32% of the Fund’s sector exposure on a look-through basis at the end of the reporting period, and were the Fund’s largest sector underweights relative to the Index. All three sectors contributed to the Fund’s performance on an absolute basis, but detracted from the Fund’s performance relative to the Index.

The Fund’s allocation to U.S. Dividend Growth was the largest contributor, while the allocation to U.S. Managed Health Care was the only detractor from the Fund’s return on an absolute basis during the reporting period.

HOW WAS THE FUND POSITIONED?

Allocation to U.S. Dividend Growth comprised approximately 44% of the Fund as of December 31, 2019. Within the context of the broader Portfolios, the Adviser believes that exposure to U.S. Dividend Growth serves as a defensive anchor and is one of the few defensive factors trading at what the Adviser believes is a reasonable valuation.

Allocation to the USA sleeve, which was approximately 16% of the Fund as of December 31, 2019, provides what the Adviser believes to be broad U.S. large cap exposure within the context of the broader portfolio.

Allocation to U.S. Pharmaceuticals and U.S. Biotechnology comprised approximately 8% and 4% of the Fund respectively, as of December 31, 2019. The Adviser believes that the market is overestimating the risks potential policy changes would have, given the industry’s long-term growth tailwinds.

Allocation to U.S. Interactive Media & Services, which focuses on companies engaged in content and information creation or distribution through proprietary platforms, where revenues are derived primarily through pay-per-click advertisements, is trading at what the Adviser believes is a reasonable price-to-earnings ratio, and was approximately 9% of the Fund as of December 31, 2019.

Allocation to U.S. Software and U.S. Internet Retail provides what the Adviser believes is a multi-year opportunity for the leaders in this space to take advantage of businesses shifting workloads onto Cloud-based platforms. These exposures collectively comprised approximately 14% of the Fund as of December 31, 2019.

 

 

 
DECEMBER 31, 2019 SIX CIRCLES TRUST    7 


Table of Contents

Six Circles U.S. Unconstrained Equity Fund

FUND COMMENTARY

Twelve Months Ended December 31, 2019 (Unaudited) (continued)

 

Allocation to U.S. Beverages was approximately 5% of the Fund’s exposure as of December 31, 2019 and reflects the Adviser’s belief that major players in this sector are going through structural changes and are set to improve free cash flows conversion.

At the end of the reporting period, the Fund was allocated to eight strategies managed by one Sub-Adviser, across various sector, sub-industry, and factor exposures as follows.

 

PORTFOLIO ALLOCATION*** 
U.S. Dividend Growth (BlackRock)   44
USA (BlackRock)   16 
U.S. Interactive Media & Services (BlackRock)   9 
U.S. Software (BlackRock)   9 
U.S. Pharmaceuticals (BlackRock)   8 
U.S. Beverages (BlackRock)   5 
U.S. Internet Retail (BlackRock)   5 
U.S. Biotechnology (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, 2019 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, 2019. The portfolio allocation is subject to change.

 

AVERAGE ANNUAL TOTAL RETURNS
AS OF DECEMBER 31, 2019

 
    1 Year  Since
Inception
(July 9, 2018)
 
Six Circles U.S. Unconstrained Equity Fund   24.94  13.53

GROWTH OF $10,000 REPORT(07/9/18 TO 12/31/19)

 

 

LOGO

 

LOGO

 

1)  

Presented percentages may not sum up to 100% due to rounding to the nearest percent. The above Sector allocation uses The Global Industry Classification Standard (GICS®) and may differ from categories listed within the Schedule of Investments.

The allocation of the various strategies employed by the Fund may shift and therefore, the performance shown may not be a true indication of how the Fund may perform going forward. Performance quoted is past performance and is no guarantee of future results. Investment returns and principal value will fluctuate, so shares, when sold, may be worth more or less than original cost. Current performance may be higher or lower than returns shown. As of the latest prospectus, the gross and net expense ratios for the Fund were 0.43% and 0.15% 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, 2019. 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 640 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

 

 

 
8   SIX CIRCLES TRUST DECEMBER 31, 2019


Table of Contents

 

 

limiting any of the foregoing, in no event shall any MSCI Party have any liability for any direct, indirect, special, incidental, punitive, consequential (including, without limitation, lost profits) or any other damages. (www.msci.com)

The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by JP MORGAN CHASE BANK NA. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classifications makes any

express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability and fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.

 

 

 
DECEMBER 31, 2019 SIX CIRCLES TRUST    9 


Table of Contents

Six Circles International Unconstrained Equity Fund

FUND COMMENTARY

Twelve Months Ended December 31, 2019 (Unaudited)

 

REPORTING PERIOD RETURN 
Fund*   18.90% 
MSCI World ex USA Index   22.49% 
Net Assets as of 12/31/2019 (In Thousands)  $5,355,585 

 

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

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

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

During the period of January 1, 2019 through December 31, 2019, the Fund posted a positive return on an absolute basis, and underperformed the MSCI World ex USA Index (the “Index”). References to the Index are for informational purposes. The use of the Index does not imply the Fund is being managed to the Index, but rather is disclosed to allow for comparison of the Fund’s performance to that of a well-known and widely-recognized index.

Energy and Consumer Staples sectors comprised approximately 40% of the Fund’s sector exposure on a look-through basis at the end of the reporting period, and were the Fund’s largest sector overweights relative to the Index. Both sectors contributed to the Fund’s performance on an absolute basis, but detracted from the Fund’s performance relative to the Index.

Consumer Discretionary, Information Technology and Financials comprised approximately 10% of the Fund’s sector exposure on a look-through basis at the end of the reporting

period, and were the Fund’s largest sector underweights relative to the Index. All three of these sectors contributed to the Fund’s performance on an absolute basis, with Consumer Discretionary and Financials contributing to the Fund’s performance relative to the Index, while Information Technology detracted.

Europe comprised approximately 100% of the Fund’s regional exposure at the end of the reporting period, and was the Fund’s largest regional overweight relative to the Index. During the reporting period, Europe exposure contributed to the Fund’s performance on an absolute basis, but detracted from the Fund’s performance relative to the Index.

During the period Japan, Canada and Asia ex-Japan were the Fund’s largest regional underweights relative to the Index. The underweight to Asia ex-Japan detracted both on an absolute basis, and relative to the Index. The underweight to Canada detracted from, while the underweight to Japan contributed to, the Fund’s performance relative to the Index.

The Fund’s allocations to Europe Momentum, Europe Mid Cap, and broad Europe were the largest contributors to the Fund’s return during the reporting period, while the allocation to Asia ex-Japan and Europe Integrated Oil & Gas detracted from the Fund’s return on an absolute basis during the reporting period.

HOW WAS THE FUND POSITIONED?

The Adviser believes that Europe Mid Cap generally performs better than broad Europe and comes with marginally greater risk. The allocation was approximately 29% of the Fund as of December 31, 2019.

Allocation to Europe Integrated Oil & Gas provides what the Adviser believes are attractive valuations as companies have begun to rationalize their capital expenditures driving cash flow generation, leading to improved returns on capital. This allocation comprised approximately 19% of the Fund as of December 31, 2019.

Allocation to Europe Pharmaceuticals comprised approximately 12% of the Fund as of December 31, 2019 and provides what the Adviser believes to be a defensive exposure with attractive fundamentals, within the context of the broader portfolio.

The Adviser believes that allocation to Europe Food, Beverage & Tobacco serves as a defensive anchor in the broader Portfolios with better fundamentals and valuations than many other defensive anchors. This allocation was approximately 10% of the Fund as of December 31, 2019.

 

 

 
10   SIX CIRCLES TRUST DECEMBER 31, 2019


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Allocation to Europe Household & Personal Products provides what the Adviser believes is a defensive industry with potential to rebound after a period of underperformance. This allocation comprised approximately 10% of the Fund as of December 31, 2019.

The Adviser believes that allocation to Europe ex-UK Utilities serves as a defensive position with exposure to renewable energy, which helps diversify against European Energy positions and provides a growth dynamic to the sector. This allocation was approximately 10% of the Fund as of December 31, 2019.

The Adviser believes that European Capital Goods are diversified companies that could benefit from a rebound in economic data. This allocation was approximately 10% of the Fund as of December 31, 2019.

At the end of the reporting period, the Fund was allocated to seven strategies managed by one Sub-Adviser, across various sector and sub-industry exposures as follows.

 

PORTFOLIO ALLOCATION***

 

Europe Mid Cap (BlackRock)

   29

Europe Integrated Oil & Gas (BlackRock)

   19 

Europe Pharmaceuticals (BlackRock)

   12 

Europe ex-UK Utilities (BlackRock)

   10 

Europe Food, Beverage & Tobacco (BlackRock)

   10 
Europe Household & Personal Products (BlackRock)   10 
European Capital Goods (BlackRock)   10 

 

* 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, 2019 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, 2019. The portfolio allocation is subject to change.

 

AVERAGE ANNUAL TOTAL RETURNS
AS OF DECEMBER 31, 2019

 
    1 Year  Since
Inception
(July 9, 2018)
 
Six Circles International Unconstrained Equity Fund   18.90  -1.11

GROWTH OF $10,000 REPORT(07/9/18 TO 12/31/19)

 

 

LOGO

 

LOGO

 

1)  

Presented percentages may not sum up to 100% due to rounding to the nearest percent. The above Sector allocation uses The Global Industry Classification Standard (GICS®) and may differ from categories listed within the Schedule of Investments.

The allocation of the various strategies employed by the Fund may shift and therefore, the performance shown may not be a true indication of how the Fund may perform going forward. Performance quoted is past performance and is no guarantee of future results. Investment returns and principal value will fluctuate, so shares, when sold, may be worth more or less than original cost. Current performance may be higher or lower than returns shown. As of the latest prospectus, the gross and net expense ratios for the Fund were 0.56% and 0.22% 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, 2019. 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 1,008 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country. Investors cannot invest directly in an index.

 

 

 
DECEMBER 31, 2019 SIX CIRCLES TRUST    11 


Table of Contents

Six Circles International Unconstrained Equity Fund

FUND COMMENTARY

Twelve Months Ended December 31, 2019 (Unaudited) (continued)

 

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

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

The MSCI information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used as a basis for or a component of any financial instruments or products or indices. None of the MSCI information is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. Historical data and analysis should not be taken as an indication or guarantee of any future performance analysis, forecast or prediction. The MSCI information is provided on an “as is” basis and the user of this information assumes the entire risk of any use made of this information. MSCI, each of its affiliates and each other person involved in or related to compiling, computing or creating any MSCI information (collectively,

the “MSCI Parties”) expressly disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness,non-infringement, merchantability and fitness for a particular purpose) with respect this information. Without limiting any of the foregoing, in no event shall any MSCI Party have any liability for any direct, indirect, special, incidental, punitive, consequential (including, without limitation, lost profits) or any other damages. (www.msci.com)

The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by JP MORGAN CHASE BANK NA. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability and fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.

 

 

 
12   SIX CIRCLES TRUST DECEMBER 31, 2019


Table of Contents

Six Circles Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019

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

(Amounts in thousands, except number of Futures contracts)

 

SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 

Asset-Backed Securities — 8.4%

  

Ally Auto Receivables Trust, Series2018-3, Class A2, 2.72%, 05/17/2021

  154   154 

American Express Credit Account Master Trust, Series2018-4, Class A, 2.99%, 12/15/2023

  3,375   3,425 

Anchorage Capital CLO Ltd., (Cayman Islands),

  

Series2015-7A, Class AR, (ICE LIBOR USD 3 Month + 0.96%), 2.96%, 10/15/2027 (e) (aa)

  577   577 

Series2016-8A, Class AR, (ICE LIBOR USD 3 Month + 1.00%), 2.94%, 07/28/2028 (e) (aa)

  1,850   1,848 

Apidos CLO XXI, (Cayman Islands), Series2015-21A, Class A1R, (ICE LIBOR USD 3 Month + 0.93%), 2.93%, 07/18/2027 (e) (aa)

  1,000   1,000 

ARI Fleet Lease Trust, Series2017-A, Class A2, 1.91%, 04/15/2026 (e)

  526   525 

Atlas Senior Loan Fund III Ltd., (Cayman Islands), Series2013-1A, Class AR, (ICE LIBOR USD 3 Month + 0.83%), 2.73%, 11/17/2027 (e) (aa)

  595   594 

Atrium XII, (Cayman Islands), Series 12A, Class AR, (ICE LIBOR USD 3 Month + 0.83%), 2.78%, 04/22/2027 (e) (aa)

  1,000   999 

B2R Mortgage Trust, Series2016-1, Class A, 2.57%, 06/15/2049 (e)

  1,167   1,167 

BA Credit Card Trust, Series2017-A2, Class A2, 1.84%, 01/17/2023

  2,010   2,010 

Bank of The West Auto Trust, Series2018-1, Class A2, 3.09%, 04/15/2021 (e)

  808   809 

Battalion CLO X Ltd., (Cayman Islands), Series2016-10A, Class A1R, (ICE LIBOR USD 3 Month + 1.25%), 3.19%, 01/24/2029 (e) (aa)

  1,500   1,500 

BlueMountain CLO Ltd., (Cayman Islands), Series2012-2A, Class AR2, (ICE LIBOR USD 3 Month + 1.05%), 2.95%, 11/20/2028 (e) (aa)

  2,100   2,095 

BMW Canada Auto Trust, (Canada), Series2019-1A, Class A1, 2.15%, 10/20/2021 (e)

 CAD 1,466   1,129 

BMW Vehicle Owner Trust, Series2016-A, Class A4, 1.37%, 12/27/2022

  436   435 

Burnham Park CLO Ltd., (Cayman Islands), Series2016-1A, Class AR, (ICE LIBOR USD 3 Month + 1.15%), 3.12%, 10/20/2029 (e) (aa)

  500   500 

Capital One Multi-Asset Execution Trust, Series2017-A4, Class A4, 1.99%, 07/17/2023

  1,615   1,617 

Carmax Auto Owner Trust, Series2019-1, Class A2A, 3.02%, 07/15/2022

  1,193   1,198 

CarMax Auto Owner Trust,

  

Series2017-1, Class A3, 1.98%, 11/15/2021

  199   200 

Series2017-2, Class A3, 1.93%, 03/15/2022

  375   375 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 
  

Series2017-3, Class A3, 1.97%, 04/15/2022

  883   883 

Series2018-3, Class A2A, 2.88%, 10/15/2021

  1,064   1,066 

CBAM Ltd., (Cayman Islands), Series2017-3A, Class A, (ICE LIBOR USD 3 Month + 1.23%), 3.23%, 10/17/2029 (e) (aa)

  1,140   1,137 

Chesapeake Funding II LLC,

  

Series2018-2A, Class A1, 3.23%, 08/15/2030 (e)

  1,525   1,547 

Series2019-1A, Class A1, 2.94%, 04/15/2031 (e)

  1,258   1,274 

Chrysler Capital Auto Receivables Trust, Series2016-BA, Class A4, 1.87%, 02/15/2022 (e)

  1,284   1,283 

CIFC Funding Ltd., (Cayman Islands), Series2014-5A, Class A1R2, (ICE LIBOR USD 3 Month + 1.20%), 3.20%, 10/17/2031 (e) (aa)

  750   749 

Citibank Credit Card Issuance Trust, Series2017-A8, Class A8, 1.86%, 08/08/2022

  1,185   1,185 

CNH Equipment Trust, Series2019-A, Class A2, 2.96%, 05/16/2022

  612   614 

Discover Card Execution Note Trust,Series 2019-A2, Class A, (ICE LIBOR USD 1 Month + 0.27%), 2.01%, 12/15/2023 (aa)

  4,500   4,504 

Drive Auto Receivables Trust,

  

Series2019-1, Class A2A, 3.08%, 09/15/2021

  35   35 

Series2019-4, Class A3, 2.16%, 05/15/2023

  810   809 

Enterprise Fleet Financing LLC, Series2018-2, Class A2, 3.14%, 02/20/2024 (e)

  1,225   1,234 

Ford Auto Securitization Trust, (Canada), Series2019-BA, Class A2, 2.32%, 10/15/2023 (e)

  CAD 1,000   770 

Ford Credit Auto Owner Trust,

  

Series2016-C, Class A3, 1.22%, 03/15/2021

  124   125 

Series2017-B, Class A3, 1.69%, 11/15/2021

  1,126   1,125 

Ford Credit Floorplan Master Owner Trust A,

  

Series2015-2, Class A1, 1.98%, 01/15/2022

  5,206   5,206 

Series2018-3, Class A2, (ICE LIBOR USD 1 Month + 0.40%), 2.14%, 10/15/2023 (aa)

  3,000   3,001 

Series2019-1, Class A, 2.84%, 03/15/2024

  1,400   1,420 

Series2019-3, Class A2, (ICE LIBOR USD 1 Month + 0.60%), 2.34%, 09/15/2024 (aa)

  2,480   2,489 

Galaxy XXIII CLO Ltd., (Cayman Islands),Series 2017-23A, Class A, (ICE LIBOR USD 3 Month + 1.28%), 3.22%, 04/24/2029 (e) (aa)

  720   720 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019 SIX CIRCLES TRUST    13 


Table of Contents

Six Circles Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (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

  

GM Financial Automobile Leasing Trust,Series 2019-1, Class A2A, 2.91%, 04/20/2021

  1,226   1,230 

Gracechurch Card Funding plc, (United Kingdom), Series2018-1A, Class A, (ICE LIBOR USD 1 Month + 0.40%), 2.14%, 07/15/2022 (e) (aa)

  200   200 

Home Equity Asset Trust, Series2005-8, Class M1, (ICE LIBOR USD 1 Month + 0.43%), 2.22%, 02/25/2036 (aa)

  1,652   1,655 

Honda Auto Receivables Owner Trust,

  

Series2018-4, Class A2, 2.98%, 05/17/2021

  781   783 

Series2018-4, Class A3, 3.16%, 01/17/2023

  700   712 

ICG US CLO Ltd., (Cayman Islands),Series 2015-1A, Class A1R, (ICE LIBOR USD 3 Month + 1.14%), 3.11%, 10/19/2028 (e) (aa)

  1,000   998 

Legacy Mortgage Asset Trust, Series2019-GS3, Class A1, SUB, 3.75%, 04/25/2059 (e)

  276   278 

Marlette Funding Trust, Series2018-4A, Class A, 3.71%, 12/15/2028 (e)

  550   554 

Mercedes-Benz Auto Lease Trust,Series 2019-A, Class A2, 3.01%, 02/16/2021

  881   883 

Navient Private Education Loan Trust,Series 2017-A, Class A2B, (ICE LIBOR USD 1 Month + 0.90%), 2.64%, 12/16/2058 (e) (aa)

  1,105   1,104 

Navient Private Education Refi Loan Trust,

  

Series2018-A, Class A1, 2.53%, 02/18/2042 (e)

  561   561 

Series2018-CA, Class A1, 3.01%, 06/16/2042 (e)

  1,085   1,088 

Navient Student Loan Trust, Series2018-EA, Class A1, 3.43%, 12/15/2059 (e)

  1,101   1,108 

Nelnet Student Loan Trust, Series2019-2A, Class A, (ICE LIBOR USD 1 Month + 0.90%), 2.69%, 06/27/2067 (e) (aa)

  1,464   1,460 

Neuberger Berman Loan Advisers CLO Ltd., (Cayman Islands), Series2017-26A, Class A, (ICE LIBOR USD 3 Month + 1.17%), 3.17%, 10/18/2030 (e) (aa)

  1,900   1,899 

Nissan Auto Receivables Owner Trust,

  

Series2017-B, Class A3, 1.75%, 10/15/2021

  1,021   1,021 

Series2019-A, Class A2A, 2.82%, 01/18/2022

  1,541   1,546 

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

  121   121 

Oscar US Funding X LLC, (Japan),Series 2019-1A, Class A2, 3.10%, 04/11/2022 (e)

  1,166   1,171 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 
  

OZLM VIII Ltd., (Cayman Islands),Series 2014-8A, Class A1RR, (ICE LIBOR USD 3 Month + 1.17%), 3.17%, 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%), 2.99%, 04/30/2027 (e) (aa)

  250   250 

OZLM XIV Ltd., (Cayman Islands),Series 2015-14A, Class A1AR, (ICE LIBOR USD 3 Month + 1.16%), 3.46%, 01/15/2029 (e) (aa)

  655   655 

Palmer Square Loan Funding Ltd., (Cayman Islands), Series2018-5A, Class A1, (ICE LIBOR USD 3 Month + 0.85%), 2.82%, 01/20/2027 (e) (aa)

  1,606   1,602 

PFS Financing Corp., Series2018-C, Class A, (ICE LIBOR USD 1 Month + 0.48%), 2.22%, 04/15/2022 (e) (aa)

  1,430   1,429 

Regatta Funding LP, (Cayman Islands),Series 2013-2A, Class A1R2, (ICE LIBOR USD 3 Month + 1.25%), 3.25%, 01/15/2029 (e) (aa)

  600   600 

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

  333   333 

Securitized Term Auto Receivables Trust, (Canada), Series2018-2A, Class A2A, 3.06%, 02/25/2021 (e)

  355   356 

SLC Student Loan Trust, Series2005-1, Class A3, (ICE LIBOR USD 3 Month + 0.10%), 2.01%, 02/15/2025 (aa)

  518   518 

SLM Private Education Loan Trust,Series 2011-C, Class A2A, (ICE LIBOR USD 1 Month + 3.25%), 4.99%, 10/17/2044 (e) (aa)

  165   165 

SLM Student Loan Trust, Series2003-10A, Class A3, (ICE LIBOR USD 3 Month + 0.47%), 2.36%, 12/15/2027 (e) (aa)

  1,798   1,796 

SMB Private Education Loan Trust,

  

Series2015-A, Class A2A, 2.49%, 06/15/2027 (e)

  1,954   1,958 

Series2015-B, Class A2A, 2.98%, 07/15/2027 (e)

  1,282   1,288 

Series2016-C, Class A2A, 2.34%, 09/15/2034 (e)

  1,126   1,123 

Series2018-A, Class A1, (ICE LIBOR USD 1 Month + 0.35%), 2.09%, 03/16/2026 (e) (aa)

  459   459 

Series2018-B, Class A1, (ICE LIBOR USD 1 Month + 0.32%), 2.06%, 12/16/2024 (e) (aa)

  274   274 

Series2018-C, Class A1, (ICE LIBOR USD 1 Month + 0.30%), 2.04%, 09/15/2025 (e) (aa)

  789   788 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
14   SIX CIRCLES TRUST DECEMBER 31, 2019


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

Asset-Backed Securities — continued

  

SoFi Consumer Loan Program Trust,

  

Series2019-1, Class A, 3.24%, 02/25/2028 (e)

  560   564 

Series2019-3, Class A, 2.90%, 05/25/2028 (e)

  726   730 

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

  896   898 

Sound Point CLO XV Ltd., (Cayman Islands),Series 2017-1A, Class AR, (ICE LIBOR USD 3 Month + 1.15%), 3.08%, 01/23/2029 (e) (aa)

  500   500 

TCI-Symphony CLO Ltd., (Cayman Islands),Series 2016-1A, Class AR, (ICE LIBOR USD 3 Month + 1.16%), 3.16%, 10/13/2029 (e) (aa)

  265   265 

Toyota Auto Receivables, Series2016-C, Class A4, 1.32%, 11/15/2021

  358   357 

Toyota Auto Receivables Owner Trust,

  

Series2018-B, Class A3, 2.96%, 09/15/2022

  3,500   3,534 

Series2019-A, Class A2A, 2.83%, 10/15/2021

  1,288   1,293 

Venture XVIII CLO Ltd., (Cayman Islands),Series 2014-18A, Class AR, (ICE LIBOR USD 3 Month + 1.22%), 3.22%, 10/15/2029 (e) (aa)

  2,100   2,098 

Venture XXIV CLO Ltd., (Cayman Islands),Series 2016-24A, Class AR, (ICE LIBOR USD 3 Month + 1.18%), 3.15%, 10/20/2028 (e) (aa)

  105   105 

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

  1,358   1,361 

Voya CLO Ltd., (Cayman Islands),

  

Series 2015-2A, Class AR, (ICE LIBOR USD 3 Month + 0.97%), 2.90%, 07/23/2027 (e) (aa)

  750   750 

Series 2018-3A, Class A1A, (ICE LIBOR USD 3 Month + 1.15%), 3.15%, 10/15/2031 (e) (aa)

  1,150   1,149 

VOYA CLO, (Cayman Islands),Series 2017-2A, Class A1, (ICE LIBOR USD 3 Month + 1.21%), 3.21%, 06/07/2030 (e) (aa)

  270   270 

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

  235   235 

WhiteHorse VIII Ltd., (Cayman Islands),Series 2014-1A, Class AR, (ICE LIBOR USD 3 Month + 0.90%), 2.81%, 05/01/2026 (e) (aa)

  489   488 
  

 

 

 

Total Asset-Backed Securities
(Cost $100,814)

   101,070 
  

 

 

 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 

Certificates of Deposit — 1.2%

 

 

Financial — 1.2%

  

Banks — 1.2%

  

Bank of Montreal, (Canada), (ICE LIBOR USD 3 Month + 0.29%), 2.20%, 08/28/2020 (aa)

  4,500   4,506 

Credit Suisse AG, (Switzerland), 2.85%, 03/09/2020 (n)

  4,000   4,007 

Nordea Bank Abp, (Sweden), (ICE LIBOR USD 3 Month + 0.30%), 2.19%, 06/05/2020 (aa)

  2,000   2,002 

Wells Fargo Bank NA, (United States FEDEF + 0.31%), 1.86%, 08/10/2020 (aa)

  3,500   3,500 
  

 

 

 

Total Financial

   14,015 
  

 

 

 

Total Certificates of Deposit
(Cost $14,006)

   14,015 
  

 

 

 

Collateralized Mortgage Obligations — 1.7%

  

Brass NO plc, (United Kingdom), Series 8A, Class A1, (ICE LIBOR USD 3 Month + 0.70%), 2.81%, 11/16/2066 (e) (aa)

  300   300 

Credit Suisse Mortgage Capital Certificates, Series 2019-RPL4, Class A1, 3.83%, 08/26/2058 (e)

  285   287 

Finsbury Square plc, (United Kingdom),Series 2017-2, Class A, (ICE LIBOR GBP 3 Month + 0.68%), 1.46%, 09/12/2065 (aa)

  GBP    346   458 

FNMA REMICS,

  

Series2018-86, Class FN, (ICE LIBOR USD 1 Month + 0.35%), 2.13%, 12/25/2048 (aa)

  1,929   1,921 

Series2019-47, Class FD, (ICE LIBOR USD 1 Month + 0.40%), 2.11%, 08/25/2049 (aa)

  897   897 

GNMA,

  

Series2015-H04, Class FA, (ICE LIBOR USD 1 Month + 0.65%), 2.42%, 12/20/2064 (aa)

  2,016   2,016 

Series2018-H18, Class FC, (ICE LIBOR USD 1 Month + 0.35%), 2.12%, 08/20/2065 (aa)

  2,746   2,733 

Series2019-54, Class KF, (ICE LIBOR USD 1 Month + 0.42%), 2.13%, 05/20/2044 (aa)

  1,517   1,516 

Hawksmoor Mortgages, (United Kingdom), Series2019-1A, Class A, (SONIA Deposit Rates Swap 3 Month + 1.05%), 1.76%, 05/25/2053 (e) (aa)

  GBP 2,588   3,435 

Lanark Master Issuer plc, (United Kingdom),Series 2019-1A, Class 1A1, (ICE LIBOR USD 3 Month + 0.77%), 2.67%, 12/22/2069 (e) (aa)

  1,300   1,302 

London Wall Mortgage Capital plc, (United Kingdom),Series 2017-FL1, Class A, Reg. S, (ICE LIBOR GBP 3 Month + 0.85%), 1.64%, 11/15/2049 (aa)

  GBP    101   135 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019 SIX CIRCLES TRUST    15 


Table of Contents

Six Circles Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (continued)

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

(Amounts in thousands, except number of Futures contracts)

 

SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 

Collateralized Mortgage Obligations — continued

 

New Residential Mortgage Loan Trust,Series 2018-3A, Class A1, 4.50%, 05/25/2058 (e) (z)

  235   248 

Ripon Mortgages plc, (United Kingdom),

  

Series 1X, Class A1, Reg. S, (ICE LIBOR GBP 3 Month + 0.80%), 1.60%, 08/20/2056 (aa)

  GBP    219   290 

Series 1X, Class A2, Reg. S, (ICE LIBOR GBP 3 Month + 0.80%), 1.60%, 08/20/2056 (aa)

  GBP 2,408   3,194 

Silverstone Master Issuer plc, (United Kingdom),Series 2019-1A, Class 1A, (ICE LIBOR USD 3 Month + 0.57%), 2.54%, 01/21/2070 (e) (aa)

  183   184 

Towd Point Mortgage Funding, (United Kingdom), Series 2019-A13A, Class A1, (SONIA Deposit Rate Swap 3 Month + 0.90%), 0.00%, 07/20/2045 (e) (aa)

  GBP    900   1,189 

Trinity Square plc, (United Kingdom),Series 2015-1X, Class A, Reg. S, (ICE LIBOR GBP 3 Month + 1.15%), 1.94%, 07/15/2051 (aa)

 GBP    146   194 
  

 

 

 

Total Collateralized Mortgage Obligations
(Cost $19,843)

   20,299 
  

 

 

 

Commercial Mortgage-Backed Securities — 3.5%

  

AREIT Trust,

  

Series 2018-CRE2, Class A, (ICE LIBOR USD 1 Month + 0.98%), 2.72%, 11/14/2035 (e) (aa)

  1,814   1,808 

Series 2019-CRE3, Class A, (ICE LIBOR USD 1 Month + 1.02%), 2.76%, 09/14/2036 (e) (aa)

  500   499 

Aventura Mall Trust, Series2013-AVM, Class A, 3.74%, 12/05/2032 (e) (z)

  1,500   1,510 

BAMLL Commercial Mortgage Securities Trust,

  

Series2019-AHT, Class A, (ICE LIBOR USD 1 Month + 1.20%), 2.94%, 03/15/2034 (e) (aa)

  300   301 

Series2019-RLJ, Class A, (ICE LIBOR USD 1 Month + 1.05%), 2.79%, 04/15/2036 (e) (aa)

  400   399 

Bancorp Commercial Mortgage Trust, Series 2019-CRE6, Class A, (ICE LIBOR USD 1 Month + 1.05%), 2.82%, 09/15/2036 (e) (aa)

  397   398 

BX Commercial Mortgage Trust,Series 2018-IND, Class A, (ICE LIBOR USD 1 Month + 0.75%), 2.49%, 11/15/2035 (e) (aa)

  1,940   1,939 

Citigroup Commercial Mortgage Trust, Series 2015-GC29, Class A2, 2.67%, 04/10/2048

  947   947 

COMM, Series2013-GAM, Class A2, 3.37%, 02/10/2028 (e)

  1,500   1,506 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 
 

COMM Mortgage Trust,

  

Series 2014-UBS2, Class ASB, 3.47%, 03/10/2047

  1,643   1,684 

Series 2015-CCRE23, Class A2, 2.85%, 05/10/2048

  2,327   2,326 

Series 2015-CCRE27, Class A2, 2.22%, 10/10/2048

  1,160   1,159 

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

  1,867   1,866 

Series 2015-LC19, Class ASB, 3.04%, 02/10/2048

  580   592 

GPMT Ltd., (Cayman Islands),Series 2018-FL1, Class A, (ICE LIBOR USD 1 Month + 0.90%), 2.66%, 11/21/2035 (e) (aa)

  597   596 

Grace Mortgage Trust, Series 2014-GRCE, Class A, 3.37%, 06/10/2028 (e)

  1,000   1,011 

GS Mortgage Securities Trust,

  

Series 2012-GCJ9, Class A3, 2.77%, 11/10/2045

  988   1,000 

Series 2013-GCJ14, Class A3, 3.53%, 08/10/2046

  147   148 

Madison Avenue Trust, Series 2013-650M, Class A, 3.84%, 10/12/2032 (e)

  2,000   2,014 

Morgan Stanley Bank of America Merrill Lynch Trust,

  

Series2013-C10, Class ASB, 3.91%, 07/15/2046 (z)

  281   288 

Series2013-C11, Class AAB, 3.85%, 08/15/2046

  739   761 

Series2014-C18, Class A2, 3.19%, 10/15/2047

  66   66 

Series2015-C23, Class A2, 2.98%, 07/15/2050

  1,691   1,691 

Morgan Stanley Capital I Trust,

  

Series2012-C4, Class A3, 2.99%, 03/15/2045

  421   422 

Series2012-C4, Class AS, 3.77%, 03/15/2045

  1,400   1,435 

Series2014-CPT, Class A, 3.35%, 07/13/2029 (e)

  1,500   1,522 

Series 2019-PLND, Class A, (ICE LIBOR USD 1 Month + 1.00%), 2.74%, 05/15/2036 (e) (aa)

  700   699 

PFP Ltd., (Cayman Islands),Series 2019-5, Class A, (ICE LIBOR USD 1 Month + 0.97%), 2.71%, 04/14/2036 (e) (aa)

  1,500   1,500 

Rosslyn Portfolio Trust, Series 2017-ROSS, Class B, (ICE LIBOR USD 1 Month + 1.25%), 2.99%, 06/15/2033 (e) (aa)

  455   455 

UBS-Citigroup Commercial Mortgage Trust,Series 2011-C1, Class AAB, 3.19%, 01/10/2045

  751   757 

VMC Finance LLC,Series 2018-FL2, Class A, (ICE LIBOR USD 1 Month + 0.92%), 2.66%, 10/15/2035 (e) (aa)

  2,095   2,087 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
16   SIX CIRCLES TRUST DECEMBER 31, 2019


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

Commercial Mortgage-Backed Securities — continued

 

Wells Fargo Commercial Mortgage Trust,

  

Series 2010-C1, Class A2, 4.39%, 11/15/2043 (e)

  1,819   1,830 

Series2012-LC5, Class ASB, 2.53%, 10/15/2045

  1,262   1,268 

Series 2015-NXS2, Class A2, 3.02%, 07/15/2058

  644   646 

Series 2016-NXS5, Class A2, 2.71%, 01/15/2059

  1,160   1,162 

WFRBS Commercial Mortgage Trust,

  

Series2012-C9, Class A3, 2.87%, 11/15/2045

  1,654   1,680 

Series2013-C12, Class ASB, 2.84%, 03/15/2048

  1,374   1,385 
  

 

 

 

Total Commercial Mortgage-Backed Securities
(Cost $41,360)

   41,357 
  

 

 

 

Corporate Bonds — 38.3%

  

Basic Materials — 0.3%

  

Chemicals — 0.3%

  

DuPont de Nemours, Inc.,

  

(ICE LIBOR USD 3 Month + 0.71%), 2.62%, 11/15/2020 (aa)

  1,500   1,507 

3.77%, 11/15/2020

  500   507 

Syngenta Finance NV, (Netherlands), 3.70%, 04/24/2020 (e)

  1,700   1,705 
  

 

 

 
   3,719 
  

 

 

 

Forest Products & Paper — 0.0%(g)

  

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

  200   205 
  

 

 

 

Total Basic Materials

   3,924 
  

 

 

 

Communications — 1.8%

  

Advertising — 0.0%(g)

  

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

  15   15 
  

 

 

 

Media — 0.6%

  

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

  3,100   3,120 

Comcast Corp., (ICE LIBOR USD 3 Month + 0.44%), 2.35%, 10/01/2021 (aa)

  4,100   4,120 
  

 

 

 
   7,240 
  

 

 

 

Telecommunications — 1.2%

  

AT&T, Inc.,

  

(ICE LIBOR USD 3 Month + 0.65%), 2.65%, 01/15/2020 (aa)

  4,000   4,001 

(ICE LIBOR USD 3 Month + 0.75%), 2.66%, 06/01/2021 (aa)

  1,810   1,821 

(ICE LIBOR USD 3 Month + 0.93%), 2.89%, 06/30/2020 (aa)

  1,733   1,739 

(ICE LIBOR USD 3 Month + 0.95%), 2.95%, 07/15/2021 (aa)

  500   505 

(ICE LIBOR USD 3 Month + 1.18%), 3.07%, 06/12/2024 (aa)

  2,000   2,034 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 
  

Telecommunications — continued

  

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

  207   209 

Verizon Communications, Inc., (ICE LIBOR USD 3 Month + 0.55%), 2.45%, 05/22/2020 (aa)

  2,790   2,795 

Vodafone Group plc, (United Kingdom), (ICE LIBOR USD 3 Month + 0.99%), 2.99%, 01/16/2024 (aa)

  1,100   1,114 
  

 

 

 
   14,218 
  

 

 

 

Total Communications

   21,473 
  

 

 

 

Consumer Cyclical — 3.7%

  

Airlines — 0.1%

  

WestJet Airlines Ltd., (Canada), 3.50%, 06/16/2021 (e)

  600   609 
  

 

 

 

Auto Manufacturers — 3.4%

  

American Honda Finance Corp.,
(ICE LIBOR USD 3 Month + 0.35%), 2.24%, 11/05/2021 (aa)

  300   301 

BMW US Capital LLC,

  

(ICE LIBOR USD 3 Month + 0.37%), 2.28%, 08/14/2020 (e) (aa)

  4,500   4,506 

(ICE LIBOR USD 3 Month + 0.50%), 2.40%, 08/13/2021 (e) (aa)

  3,400   3,408 

(ICE LIBOR USD 3 Month + 0.41%), 2.41%, 04/12/2021 (e) (aa)

  100   100 

3.25%, 08/14/2020 (e)

  200   202 

Daimler Finance North America LLC,

  

(ICE LIBOR USD 3 Month + 0.45%), 2.35%, 02/22/2021 (e) (aa)

  700   700 

(ICE LIBOR USD 3 Month + 0.63%), 2.67%, 01/06/2020 (e) (aa)

  5,735   5,735 

2.70%, 08/03/2020 (e)

  800   803 

3.10%, 05/04/2020 (e)

  1,105   1,109 

Ford Motor Credit Co. LLC,

  

(ICE LIBOR USD 3 Month + 0.43%), 2.33%, 11/02/2020 (aa)

  1,000   994 

2.34%, 11/02/2020

  600   599 

2.43%, 06/12/2020

  200   200 

(ICE LIBOR USD 3 Month + 1.00%), 3.01%, 01/09/2020 (aa)

  1,500   1,500 

(ICE LIBOR USD 3 Month + 1.27%), 3.23%, 03/28/2022 (aa)

  300   298 

General Motors Financial Co., Inc.,

  

(ICE LIBOR USD 3 Month + 0.54%), 2.45%, 11/06/2020 (aa)

  500   499 

2.45%, 11/06/2020

  1,922   1,927 

(ICE LIBOR USD 3 Month + 0.85%), 2.86%, 04/09/2021 (aa)

  1,000   1,002 

(ICE LIBOR USD 3 Month + 1.10%), 3.01%, 11/06/2021 (aa)

  730   732 

3.70%, 11/24/2020

  2,900   2,934 

4.20%, 03/01/2021

  1,500   1,533 

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

  1,500   1,500 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019 SIX CIRCLES TRUST    17 


Table of Contents

Six Circles Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (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

  

Hyundai Capital America, 2.60%, 03/19/2020 (e)

  800   801 

Reg. S, (ICE LIBOR USD 3 Month + 0.82%), 2.71%, 03/12/2021 (aa)

  2,200   2,205 

(ICE LIBOR USD 3 Month + 0.80%), 2.71%, 04/03/2020 (e) (aa)

  100   100 

(ICE LIBOR USD 3 Month + 1.00%), 2.90%, 09/18/2020 (e) (aa)

  100   100 

Nissan Motor Acceptance Corp., 2.15%, 07/13/2020 (e)

  200   200 

Reg. S, (ICE LIBOR USD 3 Month + 0.39%), 2.35%, 09/28/2020 (aa)

  800   800 

(ICE LIBOR USD 3 Month + 0.52%), 2.41%, 03/15/2021 (e) (aa)

  200   200 

(ICE LIBOR USD 3 Month + 0.69%), 2.65%, 09/28/2022 (e) (aa)

  1,800   1,796 

(ICE LIBOR USD 3 Month + 0.65%), 2.65%, 07/13/2022 (e) (aa)

  600   599 

(ICE LIBOR USD 3 Month + 0.89%), 2.89%, 01/13/2022 (e) (aa)

  40   40 

Toyota Motor Credit Corp.,

  

(ICE LIBOR USD 3 Month + 0.10%), 2.11%, 01/10/2020 (aa)

  1,200   1,200 

(ICE LIBOR USD 3 Month + 0.28%), 2.28%, 04/13/2021 (aa)

  500   501 

Volkswagen Group of America Finance LLC, 2.70%, 09/26/2022 (e)

  200   202 

(ICE LIBOR USD 3 Month + 0.86%), 2.79%, 09/24/2021 (e) (aa)

  1,000   1,007 

4.00%, 11/12/2021 (e)

  400   414 

Volkswagen International Finance NV, (Netherlands), 4.00%, 08/12/2020 (e)

  600   607 
  

 

 

 
   41,354 
  

 

 

 

Auto Parts & Equipment — 0.0%(g)

  

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

  650   653 
  

 

 

 

Lodging — 0.1%

  

Las Vegas Sands Corp., 3.20%, 08/08/2024

  700   721 
  

 

 

 

Retail — 0.1%

  

McDonald’s Corp., (ICE LIBOR USD 3 Month + 0.43%), 2.37%, 10/28/2021 (aa)

  1,000   1,003 
  

 

 

 

Total Consumer Cyclical

   44,340 
  

 

 

 

ConsumerNon-cyclical — 7.0%

  

Agriculture — 1.1%

  

BAT Capital Corp.,

  

(ICE LIBOR USD 3 Month + 0.59%), 2.50%, 08/14/2020 (aa)

  400   401 

2.76%, 08/15/2022

  2,200   2,232 

(ICE LIBOR USD 3 Month + 0.88%), 2.79%, 08/15/2022 (aa)

  3,200   3,216 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 
  

Agriculture — continued

  

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

  1,000   1,003 

3.75%, 07/21/2022 (e)

  2,800   2,883 

Reynolds American, Inc.,
4.00%, 06/12/2022

  300   312 

6.88%, 05/01/2020

  2,927   2,974 
  

 

 

 
   13,021 
  

 

 

 

Biotechnology — 0.6%

  

Amgen, Inc., (ICE LIBOR USD 3 Month + 0.45%), 2.35%, 05/11/2020 (aa)

  950   951 

Gilead Sciences, Inc., 2.55%, 09/01/2020

  6,440   6,468 
  

 

 

 
   7,419 
  

 

 

 

Commercial Services — 1.4%

  

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

  

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

  10,000   10,017 

Reg. S, 2.38%, 09/17/2020

  500   500 

Reg. S, (ICE LIBOR USD 3 Month + 0.56%), 2.45%, 11/02/2021 (aa)

  3,600   3,603 

Equifax, Inc., (ICE LIBOR USD 3 Month + 0.87%), 2.78%, 08/15/2021 (aa)

  2,800   2,810 
  

 

 

 
   16,930 
  

 

 

 

Food — 0.4%

  

Conagra Brands, Inc.,

  

(ICE LIBOR USD 3 Month + 0.50%), 2.51%, 10/09/2020 (aa)

  900   901 

3.80%, 10/22/2021

  300   310 

General Mills, Inc., (ICE LIBOR USD 3 Month + 0.54%), 2.54%, 04/16/2021 (aa)

  1,840   1,846 

Tyson Foods, Inc.,

  

(ICE LIBOR USD 3 Month + 0.45%), 2.34%, 08/21/2020 (aa)

  150   150 

(ICE LIBOR USD 3 Month + 0.55%), 2.46%, 06/02/2020 (aa)

  500   500 

Wm Wrigley Jr Co., 3.38%, 10/21/2020 (e)

  500   505 
  

 

 

 
   4,212 
  

 

 

 

Healthcare—Services — 0.1%

  

Fresenius Medical Care US Finance II, Inc., 4.13%, 10/15/2020 (e)

  1,600   1,616 
  

 

 

 

Pharmaceuticals — 3.4%

  

AbbVie, Inc., 2.15%, 11/19/2021 (e)

  1,300   1,302 

(ICE LIBOR USD 3 Month + 0.35%), 2.24%, 05/21/2021 (e) (aa)

  3,400   3,404 

2.50%, 05/14/2020

  10,090   10,105 

(ICE LIBOR USD 3 Month + 0.65%), 2.54%, 11/21/2022 (e) (aa)

  900   904 

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

  6,480   6,485 

Bayer US Finance II LLC,

  

(ICE LIBOR USD 3 Month + 0.63%), 2.58%, 06/25/2021 (e) (aa)

  1,150   1,154 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
18   SIX CIRCLES TRUST DECEMBER 31, 2019


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

Corporate Bonds — continued

  

Pharmaceuticals — continued

  

(ICE LIBOR USD 3 Month + 1.01%), 2.90%, 12/15/2023 (e) (aa)

  3,400   3,420 

Becton Dickinson and Co., (ICE LIBOR USD 3 Month + 1.03%), 2.92%, 06/06/2022 (aa)

  945   952 

Bristol-Myers Squibb Co.,

  

(ICE LIBOR USD 3 Month + 0.20%), 2.10%, 11/16/2020 (e)��(aa)

  3,550   3,552 

(ICE LIBOR USD 3 Month + 0.38%), 2.28%, 05/16/2022 (e) (aa)

  1,200   1,204 

Cigna Corp., 3.20%, 09/17/2020

  1,765   1,779 

CVS Health Corp.,

  

(ICE LIBOR USD 3 Month + 0.63%), 2.52%, 03/09/2020 (aa)

  100   100 

(ICE LIBOR USD 3 Month + 0.72%), 2.61%, 03/09/2021 (aa)

  3,580   3,602 

2.80%, 07/20/2020

  2,430   2,437 

GlaxoSmithKline Capital plc, (United Kingdom), (ICE LIBOR USD 3 Month + 0.35%), 2.26%, 05/14/2021 (aa)

  750   751 

Shire Acquisitions Investments Ireland DAC, (Ireland), 2.40%, 09/23/2021

  40   40 
  

 

 

 
   41,191 
  

 

 

 

Total ConsumerNon-cyclical

   84,389 
  

 

 

 

Diversified — 0.1%

  

Holding Companies—Diversified — 0.1%

  

CK Hutchison International 17 II Ltd., (Cayman Islands),

  

2.25%, 09/29/2020 (e)

  200   200 

Reg. S, 2.25%, 09/29/2020

  1,500   1,499 
  

 

 

 

Total Diversified

   1,699 
  

 

 

 

Energy — 2.2%

  

Coal — 0.0%(g)

  

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

  510   510 
  

 

 

 

Oil & Gas — 0.7%

  

BG Energy Capital plc, (United Kingdom), 4.00%, 10/15/2021 (e)

  750   775 

BP Capital Markets plc, (United Kingdom), 2.32%, 02/13/2020

  1,174   1,174 

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

  3,250   3,254 

EQT Corp., (ICE LIBOR USD 3 Month + 0.77%), 2.68%, 10/01/2020 (aa)

  800   798 

Occidental Petroleum Corp., (ICE LIBOR USD 3 Month + 1.45%), 3.36%, 08/15/2022 (aa)

  1,900   1,910 

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

  200   200 

Phillips 66, (ICE LIBOR USD 3 Month + 0.75%), 2.75%, 04/15/2020 (e) (aa)

  500   500 
  

 

 

 
   8,611 
  

 

 

 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 
  

Pipelines — 1.5%

  

Enbridge, Inc., (Canada), (ICE LIBOR USD 3 Month + 0.70%),
2.59%, 06/15/2020 (aa)

  6,000   6,010 

Enterprise Products Operating LLC, 5.20%, 09/01/2020

  3,500   3,573 

Florida Gas Transmission Co. LLC, 5.45%, 07/15/2020 (e)

  500   508 

Rockies Express Pipeline LLC, 5.63%, 04/15/2020 (e)

  1,200   1,213 

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

  3,350   3,393 

Williams Cos., Inc. (The),
4.13%, 11/15/2020

  500   506 

5.25%, 03/15/2020

  2,025   2,037 
  

 

 

 
   17,240 
  

 

 

 

Total Energy

   26,361 
  

 

 

 

Financial — 15.9%

  

Banks — 12.3%

  

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

  200   200 

Australia & New Zealand Banking Group Ltd., (Australia), (ICE LIBOR USD 3 Month + 0.32%), 2.22%, 11/09/2020 (e) (aa)

  4,000   4,005 

2.70%, 11/16/2020

  1,750   1,763 

Banco Santander Chile, (Chile), (ICE LIBOR USD 3 Month + 1.20%), 3.11%, 11/28/2021 (aa)

  3,000   3,036 

Bank of America Corp.,

  

(ICE LIBOR USD 3 Month + 0.63%), 2.33%, 10/01/2021 (aa)

  2,850   2,858 

(ICE LIBOR USD 3 Month + 0.65%), 2.60%, 06/25/2022 (aa)

  1,700   1,710 

(ICE LIBOR USD 3 Month + 0.66%), 2.37%, 07/21/2021 (aa)

  100   100 

(ICE LIBOR USD 3 Month + 1.18%), 3.15%, 10/21/2022 (aa)

  1,000   1,015 

(ICE LIBOR USD 3 Month + 1.42%), 3.39%, 04/19/2021 (aa)

  3,000   3,047 

Bank of Montreal, (Canada),

  

(ICE LIBOR USD 3 Month + 0.34%), 2.34%, 07/13/2020 (aa)

  2,350   2,353 

(ICE LIBOR USD 3 Month + 0.79%), 2.71%, 08/27/2021 (aa)

  100   101 

Barclays plc, (United Kingdom), 2.88%, 06/08/2020

  2,000   2,004 

BPCE SA, (France), (ICE LIBOR USD 3 Month + 1.22%), 3.12%, 05/22/2022 (e) (aa)

  1,000   1,014 

Citibank NA,

  

(ICE LIBOR USD 3 Month + 0.60%), 2.50%, 05/20/2022 (aa)

  1,600   1,606 

3.05%, 05/01/2020

  1,750   1,755 

Citigroup, Inc.,
2.65%, 10/26/2020

  100   100 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019 SIX CIRCLES TRUST    19 


Table of Contents

Six Circles Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (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 + 1.07%), 2.96%, 12/08/2021 (aa)

  2,000   2,027 

Citizens Bank NA, (ICE LIBOR USD 3 Month + 0.54%), 2.45%, 03/02/2020 (aa)

  5,000   5,002 

Commonwealth Bank of Australia, (Australia), 2.05%, 09/18/2020 (e)

  500   500 

2.40%, 11/02/2020

  1,750   1,758 

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

  5,800   5,807 

Danske Bank A/S, (Denmark), (ICE LIBOR USD 3 Month + 1.25%), 3.00%, 09/20/2022 (e) (aa)

  1,000   1,009 

DNB Bank ASA, (Norway), (ICE LIBOR USD 3 Month + 0.62%), 2.53%, 12/02/2022 (e) (aa)

  2,000   2,010 

Fifth Third Bank, (ICE LIBOR USD 3 Month + 0.25%), 2.19%, 10/30/2020 (aa)

  1,000   1,001 

First Abu Dhabi Bank PJSC, (United Arab Emirates), Reg. S, (ICE LIBOR USD 3 Month + 0.95%), 2.95%, 04/16/2022 (aa)

  1,700   1,706 

Goldman Sachs Group, Inc. (The), 2.35%, 11/15/2021

  55   55 

2.75%, 09/15/2020

  50   50 

(ICE LIBOR USD 3 Month + 1.17%), 3.08%, 11/15/2021 (aa)

  750   756 

(ICE LIBOR USD 3 Month + 1.16%), 3.09%, 04/23/2020 (aa)

  3,800   3,809 

(ICE LIBOR USD 3 Month + 1.36%), 3.30%, 04/23/2021 (aa)

  100   101 

HSBC Holdings plc, (United Kingdom),

  

(ICE LIBOR USD 3 Month + 0.60%), 2.50%, 05/18/2021 (aa)

  1,700   1,702 

(ICE LIBOR USD 3 Month + 1.00%), 2.90%, 05/18/2024 (aa)

  3,000   3,024 

(ICE LIBOR USD 3 Month + 1.66%), 3.57%, 05/25/2021 (aa)

  1,450   1,475 

Huntington National Bank (The),
2.38%, 03/10/2020

  1,500   1,501 

2.88%, 08/20/2020

  400   402 

ING Groep NV, (Netherlands), (ICE LIBOR USD 3 Month + 1.15%), 3.11%, 03/29/2022 (aa)

  1,700   1,723 

KEB Hana Bank, (South Korea), (ICE LIBOR USD 3 Month + 0.70%), 2.64%, 10/02/2022 (e) (aa)

  400   401 

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

  500   501 

Lloyds Banking Group plc, (United Kingdom), (ICE LIBOR USD 3 Month + 0.80%), 2.73%, 06/21/2021 (aa)

  1,000   1,006 

Mitsubishi UFJ Financial Group, Inc., (Japan),

  

(ICE LIBOR USD 3 Month + 0.79%), 2.73%, 07/25/2022 (aa)

  3,400   3,421 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 
  

Banks — continued

  

(ICE LIBOR USD 3 Month + 1.06%), 2.95%, 09/13/2021 (aa)

  1,400   1,415 

Mizuho Financial Group, Inc., (Japan),

  

(ICE LIBOR USD 3 Month + 0.88%), 2.77%, 09/11/2022 (aa)

  3,400   3,429 

(ICE LIBOR USD 3 Month + 0.94%), 2.85%, 02/28/2022 (aa)

  1,000   1,008 

(ICE LIBOR USD 3 Month + 1.48%), 3.48%, 04/12/2021 (e) (aa)

  1,000   1,014 

Morgan Stanley,

  

(ICE LIBOR USD 3 Month + 0.55%), 2.45%, 02/10/2021 (aa)

  3,300   3,302 

2.50%, 04/21/2021

  50   50 

2.80%, 06/16/2020

  5,300   5,322 

(ICE LIBOR USD 3 Month + 0.93%), 2.88%, 07/22/2022 (aa)

  2,700   2,726 

(ICE LIBOR USD 3 Month + 1.18%), 3.15%, 01/20/2022 (aa)

  1,000   1,009 

MUFG Bank Ltd., (Japan), 2.30%, 03/05/2020 (e)

  1,750   1,751 

MUFG Union Bank NA, (United States SOFR + 0.71%), 2.25%, 12/09/2022 (aa)

  700   700 

National Australia Bank Ltd., (Australia), (ICE LIBOR USD 3 Month + 1.00%), 3.00%, 07/12/2021 (e) (aa)

  1,150   1,164 

NatWest Markets plc, (United Kingdom), (ICE LIBOR USD 3 Month + 1.40%), 3.36%, 09/29/2022 (e) (aa)

  2,100   2,131 

Nordea Bank Abp, (Finland), 2.13%, 05/29/2020 (e)

  2,000   2,001 

(ICE LIBOR USD 3 Month + 0.47%), 2.38%, 05/29/2020 (e) (aa)

  1,500   1,502 

(ICE LIBOR USD 3 Month + 0.94%), 2.85%, 08/30/2023 (e) (aa)

  200   200 

QNB Finance Ltd., (Cayman Islands),

  

Reg. S, (ICE LIBOR USD 3 Month + 1.00%), 2.90%, 05/02/2022 (aa)

  3,100   3,100 

Reg. S, (ICE LIBOR USD 3 Month + 1.35%), 3.26%, 05/31/2021 (aa)

  1,200   1,208 

Royal Bank of Scotland Group plc, (United Kingdom),

  

(ICE LIBOR USD 3 Month + 1.47%), 3.38%, 05/15/2023 (aa)

  400   404 

(ICE LIBOR USD 3 Month + 1.55%), 3.50%, 06/25/2024 (aa)

  900   914 

Santander UK plc, (United Kingdom), 2.13%, 11/03/2020

  2,400   2,403 

2.38%, 03/16/2020

  200   200 

(ICE LIBOR USD 3 Month + 0.66%), 2.57%, 11/15/2021 (aa)

  200   201 

Skandinaviska Enskilda Banken AB, (Sweden),

  

(ICE LIBOR USD 3 Month + 0.43%), 2.33%, 05/17/2021 (e) (aa)

  1,500   1,503 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
20   SIX CIRCLES TRUST DECEMBER 31, 2019


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

Corporate Bonds — continued

  

Banks — continued

  

(ICE LIBOR USD 3 Month + 0.65%), 2.53%, 12/12/2022 (e) (aa)

  500   502 

2.63%, 11/17/2020 (e)

  200   201 

Standard Chartered plc, (United Kingdom), 3.05%, 01/15/2021 (e)

  1,000   1,006 

State Bank of India, (India), Reg. S, (ICE LIBOR USD 3 Month + 0.95%), 2.99%, 04/06/2020 (aa)

  2,800   2,802 

Sumitomo Mitsui Banking Corp., (Japan), 2.45%, 01/16/2020

  2,000   2,000 

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

  

(ICE LIBOR USD 3 Month + 0.78%), 2.78%, 07/12/2022 (aa)

  3,400   3,420 

(ICE LIBOR USD 3 Month + 1.68%), 3.57%, 03/09/2021 (aa)

  100   101 

Svenska Handelsbanken AB, (Sweden), (ICE LIBOR USD 3 Month + 0.36%), 2.25%, 09/08/2020 (aa)

  2,500   2,504 

Synchrony Bank, (ICE LIBOR USD 3 Month + 0.63%), 2.59%, 03/30/2020 (aa)

  2,200   2,202 

Truist Bank,

  

(ICE LIBOR USD 3 Month + 0.50%), 2.44%, 10/26/2021 (aa)

  1,180   1,181 

(ICE LIBOR USD 3 Month + 0.59%), 2.49%, 05/17/2022 (aa)

  1,000   1,005 

Truist Financial Corp., (ICE LIBOR USD 3 Month + 0.57%), 2.46%, 06/15/2020 (aa)

  4,000   4,007 

UBS AG, (Switzerland),
2.45%, 12/01/2020 (e)

  2,400   2,408 

(ICE LIBOR USD 3 Month + 0.58%), 2.47%, 06/08/2020 (e) (aa)

  2,100   2,104 

UBS Group AG, (Switzerland), (ICE LIBOR USD 3 Month + 1.78%), 3.77%, 04/14/2021 (e) (aa)

  3,400   3,464 

Wells Fargo & Co.,

  

(ICE LIBOR USD 3 Month + 0.68%), 2.62%, 01/30/2020 (aa)

  1,500   1,501 

(ICE LIBOR USD 3 Month + 0.93%), 2.83%, 02/11/2022 (aa)

  1,500   1,510 

(ICE LIBOR USD 3 Month + 0.88%), 2.83%, 07/22/2020 (aa)

  4,000   4,017 

(ICE LIBOR USD 3 Month + 1.01%), 2.90%, 12/07/2020 (aa)

  100   101 

Wells Fargo Bank NA,

  

(ICE LIBOR USD 3 Month + 0.62%), 2.54%, 05/27/2022 (aa)

  3,000   3,013 

(ICE LIBOR USD 3 Month + 0.49%), 3.33%, 07/23/2021 (aa)

  2,000   2,016 

Westpac Banking Corp., (Australia), 2.60%, 11/23/2020

  500   503 
  

 

 

 
   147,639 
  

 

 

 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 
  

Diversified Financial Services — 2.4%

  

AerCap Ireland Capital DAC / AerCap Global Aviation Trust, (Ireland),
4.25%, 07/01/2020

  600   606 

4.45%, 12/16/2021

  700   729 

4.50%, 05/15/2021

  300   310 

4.63%, 10/30/2020

  5,580   5,692 

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

  1,350   1,436 

American Express Co.,

  

(ICE LIBOR USD 3 Month + 0.33%), 2.27%, 10/30/2020 (aa)

  2,000   2,003 

(ICE LIBOR USD 3 Month + 0.53%), 2.43%, 05/17/2021 (aa)

  1,000   1,004 

2.75%, 05/20/2022

  3,300   3,360 

BOC Aviation Ltd., (Singapore),

  

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

  2,200   2,192 

(ICE LIBOR USD 3 Month + 1.05%), 2.95%, 05/02/2021 (e) (aa)

  200   201 

Capital One Financial Corp.,
2.40%, 10/30/2020

  3,000   3,009 

2.50%, 05/12/2020

  1,000   1,002 

GE Capital International Funding Co. Unlimited Co., (Ireland), 2.34%, 11/15/2020

  3,100   3,102 

Mitsubishi UFJ Lease & Finance Co. Ltd., (Japan), 2.65%, 09/19/2022 (e)

  800   805 

Reg. S, 2.75%, 10/21/2020

  2,500   2,512 

Nomura Holdings, Inc., (Japan), 6.70%, 03/04/2020

  200   201 
  

 

 

 
   28,164 
  

 

 

 

Insurance — 0.8%

  

AIA Group Ltd., (Hong Kong), (ICE LIBOR USD 3 Month + 0.52%), 2.43%, 09/20/2021 (e) (aa)

  3,400   3,400 

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

  7   7 

Metropolitan Life Global Funding I,

  

(United States SOFR + 0.50%), 2.04%, 05/28/2021 (e) (aa)

  3,900   3,908 

(ICE LIBOR USD 3 Month + 0.23%), 2.26%, 01/08/2021 (e) (aa)

  2,000   2,001 
  

 

 

 
   9,316 
  

 

 

 

Real Estate — 0.3%

  

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

  3,800   3,857 

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

  200   204 
  

 

 

 
   4,061 
  

 

 

 

Savings & Loans — 0.1%

  

Nationwide Building Society, (United Kingdom),

  

Reg. S, 2.35%, 01/21/2020

  200   200 

6.25%, 02/25/2020 (e)

  1,000   1,006 
  

 

 

 
   1,206 
  

 

 

 

Total Financial

   190,386 
  

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019 SIX CIRCLES TRUST    21 


Table of Contents

Six Circles Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (continued)

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

(Amounts in thousands, except number of Futures contracts)

 

SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 

Corporate Bonds — continued

  

Industrial — 3.6%

  

Aerospace/Defense — 0.7%

  

Boeing Co. (The), 4.88%, 02/15/2020

  4,250   4,263 

L3Harris Technologies, Inc., (ICE LIBOR USD 3 Month + 0.48%), 2.42%, 04/30/2020 (aa)

  200   200 

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

  2,000   2,002 

Rolls-Royce plc, (United Kingdom), 2.38%, 10/14/2020 (e)

  1,500   1,506 

United Technologies Corp., 3.35%, 08/16/2021

  480   492 
  

 

 

 
   8,463 
  

 

 

 

Electronics — 0.1%

  

Tyco Electronics Group SA, (Luxembourg), (ICE LIBOR USD 3 Month + 0.45%), 2.34%, 06/05/2020 (aa)

  1,000   1,001 
  

 

 

 

Machinery—Construction & Mining — 0.3%

  

Caterpillar Financial Services Corp., Series I, (ICE LIBOR USD 3 Month + 0.39%), 2.29%, 05/17/2021 (aa)

  3,000   3,009 
  

 

 

 

Machinery—Diversified — 0.3%

  

John Deere Capital Corp., (ICE LIBOR USD 3 Month + 0.18%), 2.22%, 01/07/2020 (aa)

  3,000   3,000 
  

 

 

 

Miscellaneous Manufacturers — 0.9%

  

General Electric Co.,
5.50%, 01/08/2020

  6,265   6,267 

5.55%, 05/04/2020

  1,500   1,516 

Siemens Financieringsmaatschappij NV, (Netherlands), 2.15%, 05/27/2020 (e)

  3,250   3,254 
  

 

 

 
   11,037 
  

 

 

 

Transportation — 0.7%

  

Ryder System, Inc.,
2.50%, 05/11/2020

  1,843   1,845 

2.65%, 03/02/2020

  3,800   3,801 

2.88%, 06/01/2022

  1,500   1,523 

United Parcel Service of America, Inc., 8.38%, 04/01/2020

  1,356   1,377 
  

 

 

 
   8,546 
  

 

 

 

Trucking & Leasing — 0.6%

  

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

  3,300   3,324 

GATX Corp., (ICE LIBOR USD 3 Month + 0.72%), 2.61%, 11/05/2021 (aa)

  500   502 

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

  3,700   3,716 
  

 

 

 
   7,542 
  

 

 

 

Total Industrial

   42,598 
  

 

 

 

Technology — 2.8%

  

Computers — 0.8%

  

Dell International LLC / EMC Corp., 4.42%, 06/15/2021 (e)

  2,150   2,213 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 
  

Computers — continued

  

Hewlett Packard Enterprise Co.,

  

(ICE LIBOR USD 3 Month + 0.72%), 2.76%, 10/05/2021 (aa)

  1,464   1,464 

3.60%, 10/15/2020

  1,250   1,264 

IBM Credit LLC, (ICE LIBOR USD 3 Month + 0.47%), 2.38%, 11/30/2020 (aa)

  420   421 

International Business Machines Corp., 1.90%, 01/27/2020

  4,500   4,500 
  

 

 

 
   9,862 
  

 

 

 

Semiconductors — 1.1%

  

Broadcom Corp. / Broadcom Cayman Finance Ltd.,

  

2.20%, 01/15/2021

  650   650 

2.38%, 01/15/2020

  100   100 

3.00%, 01/15/2022

  800   812 

Broadcom, Inc., 3.13%, 04/15/2021 (e)

  6,300   6,377 

Intel Corp., (ICE LIBOR USD 3 Month + 0.08%), 1.98%, 05/11/2020 (aa)

  1,500   1,500 

NXP BV / NXP Funding LLC, (Netherlands), 3.88%, 09/01/2022 (e)

  400   415 

4.13%, 06/01/2021 (e)

  2,800   2,871 
  

 

 

 
   12,725 
  

 

 

 

Software — 0.9%

  

Adobe, Inc., 4.75%, 02/01/2020

  5,200   5,211 

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

  3,850   3,893 

Fiserv, Inc., 2.70%, 06/01/2020

  470   471 

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

  1,700   1,703 
  

 

 

 
   11,278 
  

 

 

 

Total Technology

   33,865 
  

 

 

 

Utilities — 0.9%

  

Electric — 0.9%

  

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

  3,300   3,301 

Duke Energy Corp., (ICE LIBOR USD 3 Month + 0.65%), 2.54%, 03/11/2022 (aa)

  2,000   2,014 

Electricite de France SA, (France), 4.60%, 01/27/2020 (e)

  4,000   4,007 

Sempra Energy, (ICE LIBOR USD 3 Month + 0.50%), 2.50%, 01/15/2021 (aa)

  200   200 

Southern Co. (The), 2.75%, 06/15/2020

  1,181   1,184 
  

 

 

 

Total Utilities

   10,706 
  

 

 

 

Total Corporate Bonds
(Cost $458,104)

   459,741 
  

 

 

 

Foreign Government Securities — 1.5%

  

Export-Import Bank of India, (India),

  

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

  200   200 

Reg. S, (ICE LIBOR USD 3 Month + 1.00%), 2.89%, 08/21/2022 (aa)

  3,400   3,396 

Export-Import Bank of Korea, (South Korea), (ICE LIBOR USD 3 Month + 0.58%), 2.48%, 06/01/2021 (aa)

  6,250   6,275 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
22   SIX CIRCLES TRUST DECEMBER 31, 2019


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

Foreign Government Securities — continued

  

Korea Expressway Corp., (South Korea), 3.63%, 10/22/2021 (e)

  1,000   1,026 

Mexican Bonos, (Mexico), Series M, 7.25%, 12/09/2021

  MXN 136,910   7,301 
  

 

 

 

Total Foreign Government Securities
(Cost $18,033)

   18,198 
  

 

 

 

Mortgage-Backed Securities — 4.2%

  

FNMA or FHLMC, Single Family, 30 years,

  

TBA, 3.00%, 02/01/2049 (w)

  3,400   3,445 

TBA, 3.50%, 01/01/2049 (w)

  6,800   6,993 

TBA, 4.00%, 02/15/2049 (w)

  16,800   17,480 

FNMA Pool, Single Family, 15 years,
3.50%, 04/01/2033

  839   876 

3.50%, 11/01/2033

  12,056   12,500 

3.50%, 01/01/2034

  8,963   9,283 
  

 

 

 

Total Mortgage-Backed Securities
(Cost $49,791)

   50,577 
  

 

 

 

U.S. Treasury Obligations — 7.8%

  

U.S. Treasury Floating Rate Notes,

  

(U.S. Treasury 3 Month Bill Market Yield + 0.12%), 1.64%, 01/31/2021 (aa)

  10,000   9,996 

(U.S. Treasury 3 Month Bill Market Yield + 0.22%), 1.75%, 07/31/2021 (aa)

  4,500   4,502 

U.S. Treasury Inflation Indexed Notes,
0.13%, 04/15/2022 (dd)

  2,434   2,430 

0.13%, 01/15/2023

  10,369   10,368 

0.38%, 07/15/2023

  10,118   10,258 

0.63%, 04/15/2023

  26,523   26,933 

U.S. Treasury Notes,
1.38%, 02/29/2020

  1,000   1,000 

1.38%, 08/31/2020

  326   325 

1.38%, 10/31/2020

  2,172   2,167 

1.50%, 06/15/2020

  10,000   9,996 

1.50%, 08/15/2020

  1,086   1,085 

1.50%, 10/31/2024

  400   397 

2.00%, 07/31/2020

  7,000   7,014 

2.63%, 07/31/2020

  543   546 

2.75%, 09/30/2020

  1,629   1,642 

2.88%, 10/31/2020

  5,100   5,151 
  

 

 

 

Total U.S. Treasury Obligations
(Cost $92,902)

   93,810 
  

 

 

 

Short-Term Investments — 35.3%

  

Certificates of Deposit — 3.5%

  

Bank of Nova Scotia, (Canada), (ICE LIBOR USD 3 Month + 0.06%), 1.95%, 05/07/2020 (aa)

  4,000   4,001 

Barclays Bank plc, (United Kingdom),

  

(ICE LIBOR USD 3 Month + 0.28%), 2.17%, 05/07/2020 (aa)

  2,000   2,000 

(ICE LIBOR USD 3 Month + 0.45%), 2.48%, 10/08/2020 (aa)

  3,000   3,001 

Bayerische Landesbank, (Germany), 1.93%, 01/29/2020 (n)

  5,000   5,001 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 
  

Certificates of Deposit — continued

  

Canadian Imperial Bank of Commerce, (Canada), 2.03%, 01/16/2020 (n)

  2,500   2,500 

Credit Agricole Corporate and Investment Bank, (France), (United States FEDEF + 0.33%), 1.88%, 06/12/2020 (aa)

  4,000   4,001 

Emirates NBD PJSC, (United Arab Emirates), 2.85%, 05/04/2020

  1,100   1,102 

3.00%, 03/06/2020

  400   401 

MUFG Bank Ltd., (Japan), 2.97%, 01/28/2020 (n)

  1,000   1,001 

Natixis SA, (France), (ICE LIBOR USD 1 Month + 0.29%), 1.99%, 06/05/2020 (aa)

  4,500   4,502 

Societe Generale, (France), (ICE LIBOR USD 3 Month + 0.18%), 2.12%, 04/24/2020 (aa)

  4,000   4,001 

Standard Chartered Bank, (United Kingdom), 1.92%, 04/14/2020 (n)

  4,500   4,500 

Sumitomo Mitsui Banking Corp., (Japan), 1.94%, 04/13/2020 (n)

  4,500   4,501 

Toronto-Dominion Bank (The), (Canada), 2.05%, 04/23/2020 (n)

  850   850 
  

 

 

 

Total Certificates of Deposit

   41,362 
  

 

 

 

Commercial Papers — 6.5%

  

Australia & New Zealand Banking Group Ltd., (Australia), (ICE LIBOR USD 3 Month + 0.11%), 2.03%, 11/27/2020 (e) (aa)

  5,000   5,000 

BAT International Finance plc, (United Kingdom), 2.26%, 03/13/2020 (e) (n)

  1,170   1,165 

Commonwealth Bank of Australia, (Australia), (ICE LIBOR USD 1 Month + 0.17%), 1.88%, 04/02/2020 (e) (aa)

  3,000   2,999 

DNB Bank ASA, (Norway), (ICE LIBOR USD 3 Month + 0.04%), 1.93%, 03/09/2020 (e) (aa)

  4,500   4,500 

Electricite de France SA, (France), 2.01%, 01/21/2020 (e) (n)

  3,000   2,996 

Encana Corp., (Canada), Series USCP, 2.21%, 01/07/2020 (e) (n)

  3,400   3,399 

Entergy Corp., 2.01%, 01/14/2020 (e) (n)

  3,000   2,998 

Ford Motor Credit Co. LLC, 3.43%, 01/21/2020 (e) (n)

  1,400   1,398 

LVMH Moet Hennessy Louis Vuitton, Inc., 1.91%, 04/08/2020 (e) (n)

  5,000   4,976 

Macquarie Bank Ltd., (Australia), (ICE LIBOR USD 1 Month + 0.25%), 1.96%, 07/09/2020 (e) (aa)

  4,800   4,800 

National Australia Bank Ltd., (Australia), (ICE LIBOR USD 1 Month + 0.18%), 1.97%, 06/25/2020 (e) (aa)

  4,500   4,500 

National Securities Clearing Corp., 1.87%, 06/03/2020 (e) (n)

  5,000   4,961 

Nissan Motor Acceptance Corp., 2.22%, 06/12/2020 (e) (n)

  1,200   1,188 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019 SIX CIRCLES TRUST    23 


Table of Contents

Six Circles Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (continued)

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

(Amounts in thousands, except number of Futures contracts)

 

SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 

Short-Term Investments — continued

  

Commercial Papers — continued

  

Pfizer, Inc., 1.98%, 02/13/2020 (e) (n)

  4,500   4,491 

Royal Bank of Canada, (Canada), (United States FEDEF + 0.28%), 1.83%, 04/09/2020 (e) (aa)

  2,000   2,000 

Shell International Finance BV, (Netherlands), 1.99%, 09/28/2020 (e) (n)

  4,500   4,435 

Skandinaviska Enskilda Banken AB, (Sweden), Series GLOB, 1.97%, 04/03/2020 (e) (n)

  3,000   2,986 

Societe Generale SA, (France), (ICE LIBOR USD 3 Month + 0.18%), 2.08%, 05/11/2020 (e) (aa)

  4,500   4,502 

Toronto-Dominion Bank (The), (Canada), (ICE LIBOR USD 3 Month + 0.19%), 2.14%, 09/28/2020 (e) (aa)

  3,500   3,502 

VW Credit, Inc.,

  

2.34%, 02/05/2020 (e) (n)

  1,000   998 

2.48%, 02/03/2020 (e) (n)

  1,300   1,298 

2.60%, 03/30/2020 (e) (n)

  1,400   1,392 

Walgreens Boots Alliance, Inc.,

  

2.33%, 02/18/2020 (e) (n)

  2,000   1,994 

2.33%, 03/31/2020 (e) (n)

  1,000   995 

Walt Disney Co. (The), 1.99%, 01/31/2020 (e) (n)

 ��4,500   4,494 
  

 

 

 

Total Commercial Papers

   77,967 
  

 

 

 

Corporate Notes — 0.8%

  

BellSouth LLC, 4.27%, 04/26/2020 (e)

  2,000   2,014 

Bristol-Myers Squibb Co., 2.88%, 08/15/2020 (e)

  2,000   2,011 

Caterpillar Financial Services Corp., (ICE LIBOR USD 3 Month + 0.10%), 2.00%, 06/19/2020 (aa)

  3,993   3,993 

Cigna Corp., (ICE LIBOR USD 3 Month + 0.35%), 2.25%, 03/17/2020 (aa)

  2,000   2,001 
  

 

 

 

Total Corporate Notes

   10,019 
  

 

 

 

Foreign Government Securities — 1.3%

  

Japan Treasury Discount Bill, (Japan),

  

Series 863, Zero Coupon, 01/20/2020

 JPY   350,000   3,222 

Series 867, Zero Coupon, 02/10/2020

 JPY734,400   6,760 

Mexico Cetes, (Mexico), Series BI,

  

Zero Coupon, 04/02/2020

  MXN 241,500   1,254 

Zero Coupon, 02/27/2020

  MXN 814,500   4,258 
  

 

 

 

Total Foreign Government Securities

   15,494 
  

 

 

 

Repurchase Agreements — 21.4%

  

BNP Paribas SA, 1.63%, dated 12/31/2019, due 01/02/2020, repurchase price $13,601, collateralized by U.S. Treasury Security, 3.00%, due 05/15/2045, with a value of $13,823.

  13,600   13,600 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 
  

Repurchase Agreements — continued

  

BNP Paribas SA, 1.56%, dated 12/31/2019, due 01/02/2020, repurchase price $81,007, collateralized by U.S. Treasury Securities, 0.00% - 3.38%, due 08/31/2021 - 05/15/2049, with a value of $82,849.

  81,000   81,000 

BofA Securities, Inc., 1.55%, dated 12/31/2019, due 01/02/2020, repurchase price $81,007, collateralized by U.S. Treasury Security, 3.38%, due 11/15/2048, with a value of $82,134.

  81,000   81,000 

Citibank NA, 1.55%, dated 12/31/2019, due 01/02/2020, repurchase price $81,007, collateralized by U.S. Treasury Securities, 0.75% - 5.50%, due04/15/2028 - 11/15/2028, with a value of $82,601.

  81,000   81,000 
  

 

 

 

Total Repurchase Agreements

   256,600 
  

 

 

 

Time Deposits — 1.1%

  

Australia & New Zealand Banking Group Ltd., 1.56%, 01/02/2020

  12,424   12,424 

BNP Paribas SA, 1.56%, 01/02/2020

  498   498 

Brown Brothers Harriman,

  

(0.68%), 01/02/2020

 EUR(h)   (h) 

(0.24%), 01/06/2020

 JPY66   1 

0.32%, 01/02/2020

 AUD163   114 

0.82%, 01/02/2020

 CAD209   162 

Citibank NA, 0.36%, 01/02/2020

 GBP64   85 
  

 

 

 

Total Time Deposits

   13,284 
  

 

 

 

U.S. Treasury Obligation — 0.7%

  

U.S. Treasury Bill, 1.51%, 11/05/2020 (n)

  9,000   8,884 
  

 

 

 

Total Short-Term Investments
(Cost $423,405)

   423,610 
  

 

 

 

Total Investments — 101.9%
(Cost $1,218,258)

   1,222,677 

Liabilities in Excess of Other Assets — (1.9)%

   (22,510
  

 

 

 

NET ASSETS — 100.0%

  $1,200,167 
  

 

 

 

 

Percentages indicated are based on net assets.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
24   SIX CIRCLES TRUST DECEMBER 31, 2019


Table of Contents
Futures contracts outstanding as of December 31, 2019: 
Exchange Traded 
DESCRIPTION NUMBER OF
CONTRACTS
   EXPIRATION
DATE
     TRADING
CURRENCY
     NOTIONAL
AMOUNT($)
  VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION)($)
 

Long Contracts

 

Australian 10 Year Government Bond

  132    03/2020      AUD      13,509   (267

Canadian 10 Year Government Bond

  107    03/2020      CAD      11,556   (227

U.S. Treasury 2 Year Note

  996    03/2020      USD      214,751   (113
            

 

 

 
             (607
            

 

 

 

Short Contracts

            

3 Month Eurodollar

  (749   12/2020      USD      (184,245  28 

U.S. Treasury 5 Year Note

  (72   03/2020      USD      (8,579  39 

U.S. Treasury Ultra Bond

  (25   03/2020      USD      (4,670  129 

U.S. Ultra Treasury 10 Year Note

  (53   03/2020      USD      (7,532  75 
            

 

 

 
             271 
            

 

 

 

Total unrealized appreciation (depreciation)

             (336
            

 

 

 

 

Forward foreign currency exchange contracts outstanding as of December 31, 2019: 
CURRENCY PURCHASED     CURRENCY SOLD     COUNTERPARTY  SETTLEMENT
DATE
     UNREALIZED
APPRECIATION
(DEPRECIATION)($)
 

USD

  3,231      JPY       350,000     Morgan Stanley & Co.   01/21/2020      7 

USD

  6,796      JPY       734,400     Morgan Stanley & Co.   02/10/2020      22 

MXN

  4,995      USD      258     Deutsche Bank AG   02/12/2020      5 

EUR

  522      USD      577     Morgan Stanley & Co.   02/14/2020      10 
                   

 

 

 

Total unrealized appreciation

       44 
                   

 

 

 

USD

  1,541      MXN      29,826     Morgan Stanley & Co.   01/28/2020      (30

USD

  1,873      MXN      36,120     Deutsche Bank AG   01/28/2020      (30

USD

  237      AUD      344     Morgan Stanley & Co.   02/14/2020      (4

USD

  2,088      CAD      2,769     Morgan Stanley & Co.   02/14/2020      (45

USD

  579      EUR      523     Morgan Stanley & Co.   02/14/2020      (9

USD

  8,629      GBP      6,700     Morgan Stanley & Co.   02/14/2020      (257

USD

  3,876      MXN      76,592     Morgan Stanley & Co.   02/27/2020      (142

USD

  3,612      MXN      70,700     Goldman Sachs International   02/27/2020      (96

USD

  551      MXN      10,750     Bank of America, NA   02/27/2020      (13

USD

  1,231      MXN      24,150     UBS AG LONDON   04/02/2020      (30
                   

 

 

 

Total unrealized depreciation

       (656
                   

 

 

 

Net unrealized appreciation (depreciation)

       (612
                   

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019 SIX CIRCLES TRUST    25 


Table of Contents

Six Circles Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (continued)

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

(Amounts in thousands, except number of Futures contracts)

 

Centrally Cleared Interest Rate Swap contracts outstanding as of December 31, 2019: 
FLOATING RATE INDEX (a) FIXED RATE   PAY/RECEIVE
FLOATING RATE
  MATURITY DATE   NOTIONAL
AMOUNT
  UPFRONT
PAYMENTS
(RECEIPTS)($)
  UNREALIZED
APPRECIATION
(DEPRECIATION)($)
  VALUE($) 

Mexico Interbank TIIE 28 Day

  6.53 % 28-Day   Receive   12/09/2021    MXN   13,100      2   2 

Mexico Interbank TIIE 28 Day

  6.53 %28-Day   Receive   12/09/2021    MXN   14,900      3   3 

Mexico Interbank TIIE 28 Day

  6.48 %28-Day   Receive   12/09/2021    MXN   33,700      8   8 

Mexico Interbank TIIE 28 Day

  6.73 %28-Day   Receive   12/21/2021    MXN   9,700      (h)   (h) 

Mexico Interbank TIIE 28 Day

  6.81 %28-Day   Receive   12/22/2021    MXN   33,600      (5  (5

Mexico Interbank TIIE 28 Day

  6.79 %28-Day   Receive   12/23/2021    MXN   31,000      (2  (2

United States FEDEF Intraday

  2.30 % annually   Receive   03/01/2022    USD   34,000   (87  (566  (653
         

 

 

  

 

 

  

 

 

 

Total

 

  (87  (560  (647
         

 

 

  

 

 

  

 

 

 

 

(a)

Value of floating rate index as of December 31, 2019 was as follows:

 

FLOATING RATE INDEX     

Mexico Interbank TIIE 28 Day

   7.56% 

United States FEDEF Intraday

   1.55% 

NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS

 

BofA 

—  Bank of America

CLO 

—  Collateralized Loan Obligations

FEDEF 

—  Federal Fund Effective Rate (Continuous Series)

FHLMC 

—  Federal Home Loan Mortgage Corp.

FNMA 

—  Federal National Mortgage Association

GNMA 

—  Government National Mortgage Association

ICE 

—  Intercontinental Exchange

LIBOR 

—  London Interbank Offered Rate

REMICS 

—  Real Estate Mortgage Investment Conduit

Reg. S 

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

SOFR 

—  Secured Overnight Financing Rate

SONIA 

—  Sterling Overnight Interbank Average Rate

SUB 

—  Step-Up Bond. The interest rate shown is the rate in effect as of December 31, 2019.

TBA 

—  To Be Announced

TIIE 

—  The Interbank Equilibrium Interest Rate

(e) 

—  Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(g) 

—  Amount rounds to less than 0.05%.

(h) 

—  Amount rounds to less than 500.

(n) 

—  The rate shown is the effective yield as of December 31, 2019.

(w) 

—  All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment.

(z) 

—  Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of December 31, 2019.

(aa) 

—  Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of December 31, 2019.

(dd) 

—  Approximately $395,179 of this investment is restricted as collateral for forwards to Morgan Stanley & Co.

AUD 

—  Australian Dollar

CAD 

—  Canadian Dollar

EUR 

—  Euro

GBP 

—  British Pound

JPY 

—  Japanese Yen

MXN 

—  Mexican Peso

USD 

—  United States Dollar

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
26   SIX CIRCLES TRUST DECEMBER 31, 2019


Table of Contents

Six Circles Tax Aware Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019

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

(Amounts in thousands, except number of Futures contracts)

 

SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 

Asset-Backed Securities — 2.4%

  

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

  808   809 

BMW Canada Auto Trust, (Canada),Series 2019-1A, Class A1, 2.15%, 10/20/2021 (e)

  CAD 1,666   1,283 

Chesapeake Funding II LLC,Series 2019-1A, Class A1, 2.94%, 04/15/2031 (e)

  1,258   1,274 

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

  1,284   1,283 

Discover Card Execution Note Trust,Series 2019-A2, Class A, (ICE LIBOR USD 1 Month + 0.27%), 2.01%, 12/15/2023 (aa)

  3,500   3,504 

Ford Auto Securitization Trust, (Canada),Series 2019-BA, Class A2, 2.32%, 10/15/2023 (e)

  CAD 1,000   770 

Ford Credit Floorplan Master Owner Trust A,

  

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

  3,000   3,000 

Series 2018-3, Class A2, (ICE LIBOR USD 1 Month + 0.40%), 2.14%, 10/15/2023 (aa)

  2,900   2,901 

Series 2019-3, Class A2, (ICE LIBOR USD 1 Month + 0.60%), 2.34%, 09/15/2024 (aa)

  600   602 

Gracechurch Card Funding plc, (United Kingdom),Series 2018-1A, Class A, (ICE LIBOR USD 1 Month + 0.40%), 2.14%, 07/15/2022 (e) (aa)

  200   200 

Home Equity Asset Trust, Series2005-8, Class M1, (ICE LIBOR USD 1 Month + 0.43%), 2.22%, 02/25/2036 (aa)

  1,678   1,682 

Legacy Mortgage Asset Trust,Series 2019-GS3, Class A1, SUB, 3.75%, 04/25/2059 (e)

  276   278 

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

  550   554 

Mercedes-Benz Auto Lease Trust,Series 2019-A, Class A2, 3.01%, 02/16/2021

  881   883 

Navient Private Education Refi Loan Trust,

  

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

  677   677 

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

  1,194   1,197 

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

  1,101   1,108 

Nelnet Student Loan Trust,Series 2019-2A, Class A, (ICE LIBOR USD 1 Month + 0.90%), 2.69%, 06/27/2067 (e) (aa)

  1,659   1,655 

Oscar US Funding X LLC, (Japan),Series 2019-1A, Class A2, 3.10%, 04/11/2022 (e)

  1,166   1,171 

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

  355   356 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 
  

Asset-Backed Securities — continued

  

SLC Student Loan Trust, Series2005-1, Class A3, (ICE LIBOR USD 3 Month + 0.10%), 2.01%, 02/15/2025 (aa)

  561   561 

SMB Private Education Loan Trust,

  

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

  2,045   2,049 

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

  1,282   1,288 

Series 2016-C, Class A2A, 2.34%, 09/15/2034 (e)

  1,197   1,193 

SoFi Consumer Loan Program Trust,

  

Series 2019-1, Class A, 3.24%, 02/25/2028 (e)

  560   564 

Series 2019-3, Class A, 2.90%, 05/25/2028 (e)

  726   730 

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

  747   749 
  

 

 

 

Total Asset-Backed Securities
(Cost $32,155)

   32,321 
  

 

 

 

Collateralized Mortgage Obligations — 1.7%

 

Brass NO plc, (United Kingdom), Series 8A, Class A1, (ICE LIBOR USD 3 Month + 0.70%), 2.81%, 11/16/2066 (e) (aa)

  300   300 

Credit Suisse Mortgage Capital Certificates, Series 2019-RPL4, Class A1, 3.83%, 08/26/2058 (e)

  285   287 

Finsbury Square plc, (United Kingdom),Series 2017-2, Class A, (ICE LIBOR GBP 3 Month + 0.68%), 1.46%, 09/12/2065 (aa)

  GBP    346   458 

FNMA REMICS,

  

Series 2018-86, Class FN, (ICE LIBOR USD 1 Month + 0.35%), 2.13%, 12/25/2048 (aa)

  1,929   1,922 

Series 2019-31, Class FB, (ICE LIBOR USD 1 Month + 0.45%), 2.24%, 07/25/2049 (aa)

  1,892   1,890 

Series 2019-47, Class FD, (ICE LIBOR USD 1 Month + 0.40%), 2.11%, 08/25/2049 (aa)

  978   978 

GNMA,

  

Series 2015-H04, Class FA, (ICE LIBOR USD 1 Month + 0.65%), 2.42%, 12/20/2064 (aa)

  2,016   2,017 

Series 2018-H18, Class FC, (ICE LIBOR USD 1 Month + 0.35%), 2.12%, 08/20/2065 (aa)

  2,746   2,733 

Series 2019-54, Class KF, (ICE LIBOR USD 1 Month + 0.42%), 2.13%, 05/20/2044 (aa)

  1,781   1,779 

Hawksmoor Mortgages, (United Kingdom),Series 2019-1A, Class A, (SONIA Deposit Rates Swap 3 Month + 1.05%), 1.76%, 05/25/2053 (e) (aa)

  GBP 2,875   3,817 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019 SIX CIRCLES TRUST    27 


Table of Contents

Six Circles Tax Aware Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (continued)

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

(Amounts in thousands, except number of Futures contracts)

 

SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 

Collateralized Mortgage Obligations — continued

 

Lanark Master Issuer plc, (United Kingdom),Series 2019-1A, Class 1A1, (ICE LIBOR USD 3 Month + 0.77%), 2.67%, 12/22/2069 (e) (aa)

  1,300   1,302 

London Wall Mortgage Capital plc, (United Kingdom),Series 2017-FL1, Class A, Reg. S, (ICE LIBOR GBP 3 Month + 0.85%), 1.64%, 11/15/2049 (aa)

  GBP    127   168 

New Residential Mortgage Loan Trust,Series 2018-3A, Class A1, 4.50%, 05/25/2058 (e) (z)

  235   248 

Ripon Mortgages plc, (United Kingdom),

  

Series 1X, Class A1, Reg. S, (ICE LIBOR GBP 3 Month + 0.80%), 1.60%, 08/20/2056 (aa)

  GBP    292   387 

Series 1X, Class A2, Reg. S, (ICE LIBOR GBP 3 Month + 0.80%), 1.60%, 08/20/2056 (aa)

  GBP 2,773   3,678 

Silverstone Master Issuer plc, (United Kingdom),Series 2019-1A, Class 1A, (ICE LIBOR USD 3 Month + 0.57%), 2.54%, 01/21/2070 (e) (aa)

  183   184 

Towd Point Mortgage Funding, (United Kingdom), Series 2019-A13A, Class A1, (SONIA Deposit Rate Swap 3 Month + 0.90%), 0.00%, 07/20/2045 (e) (aa)

  GBP    900   1,189 

Trinity Square plc, (United Kingdom),Series 2015-1X, Class A, Reg. S, (ICE LIBOR GBP 3 Month + 1.15%), 1.94%, 07/15/2051 (aa)

  GBP    146   194 
  

 

 

 

Total Collateralized Mortgage Obligations
(Cost $23,025)

   23,531 
  

 

 

 

Commercial Mortgage-Backed Securities — 0.9%

 

AREIT Trust,

  

Series 2018-CRE2, Class A, (ICE LIBOR USD 1 Month + 0.98%), 2.72%, 11/14/2035 (e) (aa)

  1,814   1,809 

Series 2019-CRE3, Class A, (ICE LIBOR USD 1 Month + 1.02%), 2.76%, 09/14/2036 (e) (aa)

  500   499 

BAMLL Commercial Mortgage Securities Trust,

  

Series 2019-AHT, Class A, (ICE LIBOR USD 1 Month + 1.20%), 2.94%, 03/15/2034 (e) (aa)

  300   301 

Series 2019-RLJ, Class A, (ICE LIBOR USD 1 Month + 1.05%), 2.79%, 04/15/2036 (e) (aa)

  400   399 

Bancorp Commercial Mortgage Trust, Series 2019-CRE6, Class A, (ICE LIBOR USD 1 Month + 1.05%), 2.82%, 09/15/2036 (e) (aa)

  497   497 

BX Commercial Mortgage Trust,Series 2018-IND, Class A, (ICE LIBOR USD 1 Month + 0.75%), 2.49%, 11/15/2035 (e) (aa)

  2,111   2,110 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 
  

Commercial Mortgage-Backed Securities — continued

 

GPMT Ltd., (Cayman Islands),Series 2018-FL1, Class A, (ICE LIBOR USD 1 Month + 0.90%), 2.66%, 11/21/2035 (e) (aa)

  597   596 

Morgan Stanley Bank of America Merrill Lynch Trust,Series 2013-C11, Class AAB, 3.85%, 08/15/2046

  739   760 

Morgan Stanley Capital I Trust, Series 2019-PLND, Class A, (ICE LIBOR USD 1 Month + 1.00%), 2.74%, 05/15/2036 (e) (aa)

  700   699 

PFP Ltd., (Cayman Islands),Series 2019-5, Class A, (ICE LIBOR USD 1 Month + 0.97%), 2.71%, 04/14/2036 (e) (aa)

  1,500   1,500 

VMC Finance LLC,Series 2018-FL2, Class A, (ICE LIBOR USD 1 Month + 0.92%), 2.66%, 10/15/2035 (e) (aa)

  2,381   2,372 
  

 

 

 

Total Commercial Mortgage-Backed Securities
(Cost $11,549)

   11,542 
  

 

 

 

Corporate Bonds — 14.3%

 

Basic Materials — 0.1%

 

Chemicals — 0.1%

 

Syngenta Finance NV, (Netherlands), 3.70%, 04/24/2020 (e)

  1,800   1,806 
  

 

 

 

Forest Products & Paper — 0.0%(g)

 

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

  200   205 
  

 

 

 

Total Basic Materials

   2,011 
  

 

 

 

Communications — 0.5%

  

Media — 0.3%

 

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

  3,600   3,623 
  

 

 

 

Telecommunications — 0.2%

  

AT&T, Inc., (ICE LIBOR USD 3 Month + 1.18%), 3.07%, 06/12/2024 (aa)

  2,100   2,136 

Vodafone Group plc, (United Kingdom), (ICE LIBOR USD 3 Month + 0.99%), 2.99%, 01/16/2024 (aa)

  1,200   1,215 
  

 

 

 
   3,351 
  

 

 

 

Total Communications

   6,974 
  

 

 

 

Consumer Cyclical — 2.0%

  

Airlines — 0.1%

  

WestJet Airlines Ltd., (Canada), 3.50%, 06/16/2021 (e)

  749   761 
  

 

 

 

Auto Manufacturers — 1.7%

  

BMW US Capital LLC, (ICE LIBOR USD 3 Month + 0.50%), 2.40%, 08/13/2021 (e) (aa)

  3,700   3,710 

Daimler Finance North America LLC,

  

(ICE LIBOR USD 3 Month + 0.45%), 2.35%, 02/22/2021 (e) (aa)

  700   700 

2.70%, 08/03/2020 (e)

  800   803 

Ford Motor Credit Co. LLC,

  

(ICE LIBOR USD 3 Month + 0.43%), 2.33%, 11/02/2020 (aa)

  1,200   1,193 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
28   SIX CIRCLES TRUST DECEMBER 31, 2019


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

Corporate Bonds — continued

 

Auto Manufacturers — continued

  

2.34%, 11/02/2020

  800   799 

2.43%, 06/12/2020

  200   200 

(ICE LIBOR USD 3 Month + 0.88%), 2.88%, 10/12/2021 (aa)

  150   149 

(ICE LIBOR USD 3 Month + 1.00%), 3.01%, 01/09/2020 (aa)

  1,000   1,000 

(ICE LIBOR USD 3 Month + 1.27%), 3.23%, 03/28/2022 (aa)

  350   347 

General Motors Financial Co., Inc., 3.70%, 11/24/2020

  3,200   3,238 

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

  1,500   1,500 

Hyundai Capital America,
2.55%, 04/03/2020 (e)

  500   500 

2.60%, 03/19/2020 (e)

  500   500 

Reg. S, (ICE LIBOR USD 3 Month + 0.82%), 2.71%, 03/12/2021 (aa)

  2,645   2,651 

(ICE LIBOR USD 3 Month + 0.80%), 2.71%, 04/03/2020 (e) (aa)

  100   100 

Nissan Motor Acceptance Corp.,
2.15%, 07/13/2020 (e)

  500   500 

(ICE LIBOR USD 3 Month + 0.39%), 2.35%, 09/28/2020 (e) (aa)

  1,000   1,000 

(ICE LIBOR USD 3 Month + 0.52%), 2.41%, 03/15/2021 (e) (aa)

  200   200 

(ICE LIBOR USD 3 Month + 0.69%), 2.65%, 09/28/2022 (e) (aa)

  1,620   1,617 

(ICE LIBOR USD 3 Month + 0.65%), 2.65%, 07/13/2022 (e) (aa)

  700   698 

Volkswagen Group of America Finance LLC,

  

(ICE LIBOR USD 3 Month + 0.86%), 2.79%, 09/24/2021 (e) (aa)

  1,000   1,007 

4.00%, 11/12/2021 (e)

  400   414 

Volkswagen International Finance NV, (Netherlands), 4.00%, 08/12/2020 (e)

  800   809 
  

 

 

 
   23,635 
  

 

 

 

Auto Parts & Equipment — 0.1%

  

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

  600   603 
  

 

 

 

Lodging — 0.1%

  

Las Vegas Sands Corp., 3.20%, 08/08/2024

  700   721 
  

 

 

 

Total Consumer Cyclical

   25,720 
  

 

 

 

ConsumerNon-cyclical — 2.6%

  

Agriculture — 0.6%

  

BAT Capital Corp.,

  

(ICE LIBOR USD 3 Month + 0.59%), 2.50%, 08/14/2020 (aa)

  1,000   1,002 

(ICE LIBOR USD 3 Month + 0.88%), 2.79%, 08/15/2022 (aa)

  3,500   3,517 

Imperial Brands Finance plc, (United Kingdom), 3.75%, 07/21/2022 (e)

  3,100   3,192 
  

 

 

 
   7,711 
  

 

 

 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 
  

Commercial Services — 1.3%

  

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

  

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

  10,000   10,017 

Reg. S, (ICE LIBOR USD 3 Month + 0.56%), 2.45%, 11/02/2021 (aa)

  3,900   3,903 

Equifax, Inc., (ICE LIBOR USD 3 Month + 0.87%), 2.78%, 08/15/2021 (aa)

  3,090   3,102 
  

 

 

 
   17,022 
  

 

 

 

Food — 0.1%

  

Conagra Brands, Inc.,

  

(ICE LIBOR USD 3 Month + 0.50%), 2.51%, 10/09/2020 (aa)

  1,000   1,001 

3.80%, 10/22/2021

  400   413 
  

 

 

 
   1,414 
  

 

 

 

Healthcare—Services — 0.1%

  

Fresenius Medical Care US Finance II, Inc., 4.13%, 10/15/2020 (e)

  1,900   1,919 
  

 

 

 

Pharmaceuticals — 0.5%

  

AbbVie, Inc., 2.15%, 11/19/2021 (e)

  1,400   1,402 

(ICE LIBOR USD 3 Month + 0.65%), 2.54%, 11/21/2022 (e) (aa)

  1,000   1,005 

Bayer US Finance II LLC, (ICE LIBOR USD 3 Month + 1.01%), 2.90%, 12/15/2023 (e) (aa)

  3,700   3,722 

Bristol-Myers Squibb Co., (ICE LIBOR USD 3 Month + 0.38%), 2.28%, 05/16/2022 (e) (aa)

  1,200   1,204 
  

 

 

 
   7,333 
  

 

 

 

Total ConsumerNon-cyclical

   35,399 
  

 

 

 

Diversified — 0.1%

  

Holding Companies — 0.1%

  

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

  200   200 

Reg. S, 2.25%, 09/29/2020

  1,500   1,499 
  

 

 

 

Total Diversified

   1,699 
  

 

 

 

Energy — 0.6%

  

Coal — 0.1%

  

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

  500   500 
  

 

 

 

Oil & Gas — 0.4%

  

BG Energy Capital plc, (United Kingdom), 4.00%, 10/15/2021 (e)

  1,045   1,080 

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

  3,400   3,404 

EQT Corp., (ICE LIBOR USD 3 Month + 0.77%), 2.68%, 10/01/2020 (aa)

  900   897 

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

  200   200 
  

 

 

 
   5,581 
  

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019 SIX CIRCLES TRUST    29 


Table of Contents

Six Circles Tax Aware Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (continued)

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

(Amounts in thousands, except number of Futures contracts)

 

SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 

Corporate Bonds — continued

 

Pipelines — 0.1%

  

Florida Gas Transmission Co. LLC, 5.45%, 07/15/2020 (e)

  500   508 

Rockies Express Pipeline LLC, 5.63%, 04/15/2020 (e)

  1,200   1,213 
  

 

 

 
   1,721 
  

 

 

 

Total Energy

   7,802 
  

 

 

 

Financial — 6.6%

  

Banks — 4.2%

  

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

  200   200 

Axis Bank Ltd., (India), 3.25%, 05/21/2020 (e)

  500   501 

Banco Santander Chile, (Chile), (ICE LIBOR USD 3 Month + 1.20%), 3.11%, 11/28/2021 (aa)

  3,200   3,239 

Bank of America Corp., (ICE LIBOR USD 3 Month + 1.18%), 3.15%, 10/21/2022 (aa)

  1,200   1,218 

Citibank NA, (ICE LIBOR USD 3 Month + 0.60%), 2.50%, 05/20/2022 (aa)

  1,800   1,807 

Danske Bank A/S, (Denmark), (ICE LIBOR USD 3 Month + 1.25%), 3.00%, 09/20/2022 (e) (aa)

  1,200   1,211 

DNB Bank ASA, (Norway), (ICE LIBOR USD 3 Month + 0.62%), 2.53%, 12/02/2022 (e) (aa)

  2,300   2,311 

First Abu Dhabi Bank PJSC, (United Arab Emirates), Reg. S, (ICE LIBOR USD 3 Month + 0.95%), 2.95%, 04/16/2022 (aa)

  1,800   1,807 

Goldman Sachs Group, Inc. (The), (ICE LIBOR USD 3 Month + 1.17%), 3.08%, 11/15/2021 (aa)

  300   302 

HSBC Holdings plc, (United Kingdom),

  

(ICE LIBOR USD 3 Month + 0.60%), 2.50%, 05/18/2021 (aa)

  1,800   1,802 

(ICE LIBOR USD 3 Month + 1.00%), 2.90%, 05/18/2024 (aa)

  3,700   3,730 

ING Groep NV, (Netherlands), (ICE LIBOR USD 3 Month + 1.15%), 3.11%, 03/29/2022 (aa)

  1,900   1,926 

KEB Hana Bank, (South Korea), (ICE LIBOR USD 3 Month + 0.70%), 2.64%, 10/02/2022 (e) (aa)

  500   501 

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

  500   500 

Mitsubishi UFJ Financial Group, Inc., (Japan), (ICE LIBOR USD 3 Month + 0.79%), 2.73%, 07/25/2022 (aa)

  3,700   3,723 

Mizuho Financial Group, Inc., (Japan), (ICE LIBOR USD 3 Month + 0.88%), 2.77%, 09/11/2022 (aa)

  3,700   3,731 

Morgan Stanley,

  

(ICE LIBOR USD 3 Month + 0.93%), 2.88%, 07/22/2022 (aa)

  2,400   2,423 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 
  

Banks — continued

  

(ICE LIBOR USD 3 Month + 1.18%), 3.15%, 01/20/2022 (aa)

  1,000   1,009 

MUFG Union Bank NA, (United States SOFR + 0.71%), 2.25%, 12/09/2022 (aa)

  900   901 

NatWest Markets plc, (United Kingdom), (ICE LIBOR USD 3 Month + 1.40%), 3.36%, 09/29/2022 (e) (aa)

  2,360   2,394 

Nordea Bank Abp, (Finland), (ICE LIBOR USD 3 Month + 0.94%), 2.85%, 08/30/2023 (e) (aa)

  200   200 

QNB Finance Ltd., (Cayman Islands),

  

Reg. S, (ICE LIBOR USD 3 Month + 1.00%), 2.90%, 05/02/2022 (aa)

  3,600   3,600 

Reg. S, (ICE LIBOR USD 3 Month + 1.35%), 3.26%, 05/31/2021 (aa)

  1,200   1,208 

Royal Bank of Scotland Group plc, (United Kingdom),

  

(ICE LIBOR USD 3 Month + 1.47%), 3.38%, 05/15/2023 (aa)

  700   708 

(ICE LIBOR USD 3 Month + 1.55%), 3.50%, 06/25/2024 (aa)

  700   710 

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

  200   200 

(ICE LIBOR USD 3 Month + 0.66%), 2.57%, 11/15/2021 (aa)

  500   503 

State Bank of India, (India), Reg. S, (ICE LIBOR USD 3 Month + 0.95%), 2.99%, 04/06/2020 (aa)

  3,300   3,303 

Sumitomo Mitsui Financial Group, Inc., (Japan), (ICE LIBOR USD 3 Month + 0.78%), 2.78%, 07/12/2022 (aa)

  3,700   3,721 

UBS Group AG, (Switzerland), (ICE LIBOR USD 3 Month + 1.78%), 3.77%, 04/14/2021 (e) (aa)

  3,700   3,769 

Wells Fargo Bank NA, (ICE LIBOR USD 3 Month + 0.62%), 2.54%, 05/27/2022 (aa)

  3,500   3,515 
  

 

 

 
   56,673 
  

 

 

 

Diversified Financial Services — 1.4%

  

AerCap Ireland Capital DAC / AerCap Global Aviation Trust, (Ireland),
4.25%, 07/01/2020

  400   404 

4.45%, 12/16/2021

  700   729 

4.50%, 05/15/2021

  300   310 

4.63%, 10/30/2020

  2,600   2,652 

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

  1,450   1,543 

American Express Co., 2.75%, 05/20/2022

  3,700   3,768 

BOC Aviation Ltd., (Singapore),

  

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

  2,500   2,490 

(ICE LIBOR USD 3 Month + 1.05%), 2.95%, 05/02/2021 (e) (aa)

  200   201 

Credit Agricole CIB Financial Solutions SA, (France), Reg. S, (ICE LIBOR USD 3 Month + 0.00%), 2.00%, 01/27/2020 (aa)

  2,000   2,000 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
30   SIX CIRCLES TRUST DECEMBER 31, 2019


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

Corporate Bonds — continued

 

Diversified Financial Services — continued

 

GE Capital International Funding Co. Unlimited Co., (Ireland), 2.34%, 11/15/2020

  900   901 

Mitsubishi UFJ Lease & Finance Co. Ltd., (Japan), 2.65%, 09/19/2022 (e)

  1,700   1,711 

Reg. S, 2.75%, 10/21/2020

  2,500   2,512 

Nomura Holdings, Inc., (Japan), 6.70%, 03/04/2020

  200   201 
  

 

 

 
   19,422 
  

 

 

 

Insurance — 0.6%

  

AIA Group Ltd., (Hong Kong), (ICE LIBOR USD 3 Month + 0.52%), 2.43%, 09/20/2021 (e) (aa)

  3,700   3,700 

Metropolitan Life Global Funding I, (United States SOFR + 0.50%), 2.04%,
05/28/2021 (e) (aa)

  4,500   4,509 
  

 

 

 
   8,209 
  

 

 

 

Real Estate — 0.3%

  

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

  4,400   4,466 

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

  200   204 
  

 

 

 
   4,670 
  

 

 

 

Savings & Loans — 0.1%

  

Nationwide Building Society, (United Kingdom),

  

Reg. S, 2.35%, 01/21/2020

  200   200 

6.25%, 02/25/2020 (e)

  1,000   1,006 
  

 

 

 
   1,206 
  

 

 

 

Total Financial

   90,180 
  

 

 

 

Industrial — 0.6%

 

Aerospace/Defense — 0.0%(g)

 

L3Harris Technologies, Inc., (ICE LIBOR USD 3 Month + 0.48%), 2.42%, 04/30/2020 (aa)

  200   200 
  

 

 

 

Miscellaneous Manufacturers — 0.1%

 

General Electric Co., 5.55%, 05/04/2020

  1,500   1,516 
  

 

 

 

Transportation — 0.2%

 

Ryder System, Inc., 2.88%, 06/01/2022

  1,900   1,929 
  

 

 

 

Trucking & Leasing — 0.3%

 

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

  3,700   3,727 

GATX Corp., (ICE LIBOR USD 3 Month + 0.72%), 2.61%, 11/05/2021 (aa)

  500   502 
  

 

 

 
   4,229 
  

 

 

 

Total Industrial

   7,874 
  

 

 

 

Technology — 0.9%

  

Computers — 0.2%

  

Dell International LLC / EMC Corp., 4.42%, 06/15/2021 (e)

  2,500   2,573 
  

 

 

 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 
  

Semiconductors — 0.6%

  

Broadcom, Inc., 3.13%, 04/15/2021 (e)

  4,100   4,150 

3.13%, 10/15/2022 (e)

  200   203 

NXP BV / NXP Funding LLC, (Netherlands),

3.88%, 09/01/2022 (e)

  400   415 

4.13%, 06/01/2021 (e)

  3,400   3,486 
  

 

 

 
   8,254 
  

 

 

 

Software — 0.1%

  

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

  1,800   1,803 
  

 

 

 

Total Technology

   12,630 
  

 

 

 

Utilities — 0.3%

  

Electric — 0.3%

  

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

  3,150   3,152 
  

 

 

 

IPALCO Enterprises, Inc., 3.45%, 07/15/2020

  1,000   1,004 
  

 

 

 

Total Utilities

   4,156 
  

 

 

 

Total Corporate Bonds
(Cost $193,322)

   194,445 
  

 

 

 

Foreign Government Securities — 1.4%

  

Export-Import Bank of India, (India),

  

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

  200   200 

Reg. S, (ICE LIBOR USD 3 Month + 1.00%), 2.89%, 08/21/2022 (aa)

  3,700   3,696 

Export-Import Bank of Korea, (South Korea), (ICE LIBOR USD 3 Month + 0.58%), 2.48%, 06/01/2021 (aa)

  6,300   6,325 

Korea Expressway Corp., (South Korea), 3.63%, 10/22/2021 (e)

  1,200   1,231 

Mexican Bonos, (Mexico), Series M, 7.25%, 12/09/2021

  MXN 148,100   7,897 
  

 

 

 

Total Foreign Government Securities
(Cost $19,179)

   19,349 
  

 

 

 

Mortgage-Backed Securities — 4.2%

  

FNMA or FHLMC, Single Family, 30 years,

  

TBA, 3.00%, 02/01/2049 (w)

  2,800   2,837 

TBA, 3.50%, 01/01/2049 (w)

  7,800   8,021 

TBA, 4.00%, 02/15/2049 (w)

  22,100   22,995 

FNMA Pool, Single Family, 15 years,
3.50%, 04/01/2033

  839   877 

3.50%, 11/01/2033

  11,623   12,051 

3.50%, 01/01/2034

  9,518   9,858 
  

 

 

 

Total Mortgage-Backed Securities
(Cost $55,841)

   56,639 
  

 

 

 

Municipal Bonds — 61.0%(t)

 

Alabama — 0.0%(g)

 

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

  500   505 
  

 

 

 

Alaska — 0.3%

 

Alaska Housing Finance Corp., Series B, Rev., VRDO, 1.65%, 01/07/2020 (z)

  2,400   2,400 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019 SIX CIRCLES TRUST    31 


Table of Contents

Six Circles Tax Aware Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (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

 

Alaska — continued

 

City of Valdez, Exxon Pipeline Co. Project, Rev., VRDO, 1.60%, 01/02/2020 (z)

  2,000   2,000 
  

 

 

 
   4,400 
  

 

 

 

Arizona — 1.3%

 

Arizona Health Facilities Authority, Banner Health Obligated Group, Series G, Rev., VRDO, LOC: Wells Fargo Bank NA, 1.53%, 01/07/2020 (z)

  4,060   4,060 

Arizona Health Facilities Authority, Dignity Health, Series B, Rev., VRDO, LOC: Barclays Bank plc, 1.70%, 01/07/2020 (z)

  8,800   8,800 

City of Phoenix Civic Improvement Corp., Senior Lien,

  

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

  620   632 

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

  1,750   1,847 

City of Phoenix, Civic Improvement Corp., Light Rail Project, Rev., 5.00%, 07/01/2020

  1,000   1,019 

Maricopa County Industrial Development Authority, Honorhealth, Series A, Rev., 5.00%, 09/01/2021

  725   770 
  

 

 

 
   17,128 
  

 

 

 

California — 1.2%

 

ABAG Finance Authority for Nonprofit Corps, Lakeside Village Apartments, Series A, Rev., VRDO, LOC: FHLMC, LIQ: FHLMC, 1.29%, 01/07/2020 (z)

  400   400 

Burbank-Glendale-Pasadena Airport Authority Brick Campaign, Series B, Rev., AMT, 5.00%, 07/01/2022

  1,430   1,561 

City of Riverside, Electric Revenue, Series A, Rev., VRDO, LOC: Barclays Bank plc, 1.20%, 01/07/2020 (z)

  200   200 

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

  400   420 

Los Angeles Department of Water & Power, Power System,

  

Series B5, Rev., VRDO, 1.15%, 01/07/2020 (z)

  600   600 

Series B7, Rev., VRDO, 1.03%, 01/07/2020 (z)

  3,800   3,800 

Metropolitan Water District of Southern California, Series A2, Rev., VRDO, 1.05%, 01/07/2020 (z)

  450   450 

San Francisco City & County Airport Comm-San Francisco International Airport, Special Facilities Lease, SFO Fuel Co. LLC, Series A, Rev., AMT, 5.00%, 01/01/2021

  6,405   6,644 

Santa Clara County Financing Authority, Multiple Facilities Projects, Series M, Rev., VRDO, LOC: Bank of America NA, 1.17%, 01/07/2020 (z)

  1,550   1,550 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 
  

California — continued

 

State of California, Series B3, GO, VRDO, LOC: Sumitomo Mitsui Banking Corp., 1.16%, 01/07/2020 (z)

  500   500 
  

 

 

 
   16,125 
  

 

 

 

Colorado — 2.6%

  

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

  2,000   2,140 

Colorado Educational & Cultural Facilities Authority, Nature Conservancy (The), Rev., VRDO, 1.69%, 01/07/2020 (z)

  15,950   15,950 

Colorado Health Facilities Authority, Sisters of Charity of Leavenworth Health System, Inc. Obligated Group, Series A, Rev., 5.00%, 01/01/2022

  2,500   2,685 

Colorado Housing & Finance Authority, Multifamily Project, Series B2, Class I, Rev., 1.35%, 02/01/2022

  5,000   4,994 

Colorado Housing & Finance Authority, Single Family Mortgage, Series I, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 1.65%, 01/07/2020 (z)

  670   670 

University of Colorado Hospital Authority, Health Obligated Group, Series B2, Rev., VRDO, 1.69%, 01/07/2020 (z)

  3,800   3,800 

University of Colorado Hospital Authority, University of Colorado Health Obligated Group, Series B1, Rev., VRDO, 1.69%, 01/07/2020 (z)

  4,600   4,600 
  

 

 

 
   34,839 
  

 

 

 

Connecticut — 2.1%

  

Connecticut Housing Finance Authority,

  

Series A3, Rev., VRDO, 1.45%, 01/07/2020 (z)

  5,000   5,000 

Series B3, Rev., VRDO, 1.58%, 01/07/2020 (z)

  280   280 

Series B4, Rev., VRDO, 1.62%, 01/07/2020 (z)

  3,500   3,500 

Series C3, Rev., VRDO, 1.58%, 01/07/2020 (z)

  4,000   4,000 

Series E3, Rev., VRDO, 1.49%, 01/07/2020 (z)

  4,000   4,000 

Series F3, Rev., VRDO, 1.68%, 01/07/2020 (z)

  10,000   10,000 

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

  1,000   1,032 

Hartford County, Metropolitan District (The), Series A, GO, 5.00%, 07/15/2022

  1,200   1,315 
  

 

 

 
   29,127 
  

 

 

 

District of Columbia — 1.0%

  

District of Columbia, Georgetown University (The), Series B1, Rev., VRDO, LOC: Bank of America NA, 1.65%, 01/07/2020 (z)

  500   500 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
32   SIX CIRCLES TRUST DECEMBER 31, 2019


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

Municipal Bonds — continued

 

District of Columbia — continued

 

Metropolitan Washington Airports Authority,

  

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

  1,500   1,530 

Series C2, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 1.68%, 01/07/2020 (z)

  12,075   12,075 
  

 

 

 
   14,105 
  

 

 

 

Florida — 2.4%

  

City of Gainesville, Utilities System,

  

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

  1,400   1,494 

Series B, Rev., VRDO, 1.70%, 01/07/2020 (z)

  4,830   4,830 

City of Orlando,

  

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

  500   511 

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

  775   827 

County of Miami-Dade Aviation, Series C, Rev., 5.00%, 10/01/2021

  1,650   1,763 

Florida Atlantic University Finance Corp., Series A, Rev., 5.00%, 07/01/2021

  880   928 

Florida Gulf Coast University Financing Corp., Parking Project, Series A, Rev., VRDO, LOC: TD Bank NA, 1.62%, 01/07/2020 (z)

  3,770   3,770 

Highlands County Health Facilities Authority, Adventist Health System/Sunbelt Obligated Group, Series A, Rev., VRDO, 1.62%, 01/07/2020 (z)

  4,000   4,000 

JEA Water & Sewer System, Series A2, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 1.48%, 01/07/2020 (z)

  300   300 

Lee Memorial Health System, Series A1, Rev., 5.00%, 04/01/2022

  1,000   1,082 

Orlando Utilities Commission,

  

Series 1, Rev., VRDO, 1.67%, 01/07/2020 (z)

  6,200   6,200 

Series 2, Rev., VRDO, 1.65%, 01/07/2020 (z)

  7,400   7,400 
  

 

 

 
   33,105 
  

 

 

 

Georgia — 1.7%

  

Athens-Clarke County Unified Government Development Authority, University of Georgia Athletic Association, Inc., Series B, Rev., VRDO, LOC: Wells Fargo Bank NA, 1.58%, 01/02/2020 (z)

  305   305 

Brookhaven Development Authority, Children’s Healthcare of Atlanta Obligated Group, Series A, Rev., 5.00%, 07/01/2022

  1,040   1,139 

Municipal Electric Authority of Georgia, Series B, Rev., VRDO, LOC: Barclays Bank plc, 1.70%, 01/07/2020 (z)

  6,760   6,760 

Private Colleges & Universities Authority, Emory University,

  

Series B1, Rev., VRDO, 1.50%, 01/07/2020 (z)

  6,295   6,295 

Series C1, Rev., VRDO, 1.68%, 01/07/2020 (z)

  5,400   5,400 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 
  

Georgia— continued

 

Series C4, Rev., VRDO, 1.65%, 01/07/2020 (z)

  600   600 

Series C5, Rev., VRDO, 1.68%, 01/07/2020 (z)

  2,485   2,485 
  

 

 

 
   22,984 
  

 

 

 

Idaho — 0.6%

  

Idaho Health Facilities Authority, St Luke’s Health System Obligated Group, Rev., VRDO, LOC: U.S. Bank NA, 1.62%, 01/02/2020 (z)

  5,000   5,000 

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

  2,500   2,586 
  

 

 

 
   7,586 
  

 

 

 

Illinois — 2.5%

  

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

  3,580   3,709 

Chicago O’Hare International Airport, Senior Lien,

  

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

  3,730   3,865 

Series A, Rev., AMT, 5.00%, 01/01/2022

  2,000   2,146 

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

  1,050   1,091 

Illinois Finance Authority, Northwestern University, Series C, Rev., VRDO, 1.55%, 01/07/2020 (z)

  3,500   3,500 

Illinois Finance Authority, University of Chicago (The), Series C, Rev., VRDO, 1.50%, 01/07/2020 (z)

  1,955   1,955 

Illinois Finance Authority, University of Chicago Medical Center Obligated Group, Series B, Rev., VRDO, LOC: Wells Fargo Bank NA, 1.60%, 01/02/2020 (z)

  200   200 

Illinois Housing Development Authority, Series B, Rev., VRDO, 1.67%, 01/07/2020 (z) (w)

  3,000   3,000 

Illinois Housing Development Authority, Multifamily Housing, Century Woods IL TC LP, Rev., GNMA COLL, 1.90%, 10/01/2022 (z)

  1,500   1,513 

Illinois Housing Development Authority, Multifamily Housing, Heather Ridge IL TC LP, Rev., 1.90%, 10/01/2022 (z)

  3,000   3,027 

Illinois State Toll Highway Authority, Senior Priority, Series A1B, Rev., VRDO, LOC: Bank of America NA, 1.77%, 01/07/2020 (z)

  10,300   10,300 
  

 

 

 
   34,306 
  

 

 

 

Indiana — 2.1%

  

Indiana Finance Authority, Ascension Health Credit Group, Series E4, Rev., VRDO, 1.51%, 01/07/2020 (z)

  3,770   3,770 

Indiana Finance Authority, Health Systems, Sisters of St. Francis, Series I, Rev., VRDO, LOC: Barclays Bank plc, 1.65%, 01/02/2020 (z)

  900   900 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019 SIX CIRCLES TRUST    33 


Table of Contents

Six Circles Tax Aware Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (continued)

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

(Amounts in thousands, except number of Futures contracts)

 

SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 

Municipal Bonds — continued

 

Indiana — continued

 

Indiana Finance Authority, Indiana University Health, Inc. Obligated Group, Series E, Rev., VRDO, LOC: Bank of America NA, 1.63%, 01/07/2020 (z)

  4,600   4,600 

Indiana Health Facility Financing Authority, Ascension Health Credit Group, Series A2, Rev., VRDO, 1.51%, 01/07/2020 (z)

  6,600   6,600 

Indianapolis Local Public Improvement Bond Bank, Indianapolis Airport Authority,

  

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

  2,815   2,920 

Rev., AMT, 5.00%, 01/01/2022

  3,085   3,305 

Purdue University, Series A, VRDO, COP, 1.53%, 01/07/2020 (z)

  6,400   6,400 

Purdue University, Student Facilities System, Series C, Rev., VRDO, 1.56%, 01/07/2020 (z)

  200   200 
  

 

 

 
   28,695 
  

 

 

 

Kentucky — 0.1%

  

City of Owensboro, Electric Light & Power System, Series B, Rev., 5.00%, 01/01/2021

  1,250   1,296 
  

 

 

 

Louisiana — 0.2%

  

Jefferson Sales Tax District, Series A, Rev., AGM, 5.00%, 12/01/2021

  2,325   2,494 
  

 

 

 

Maryland — 0.6%

  

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

  8,000   8,260 
  

 

 

 

Massachusetts — 7.1%

  

Commonwealth of Massachusetts, Series C, GO, VRDO, 1.47%, 01/07/2020 (z)

  5,985   5,985 

Commonwealth of Massachusetts, Central Artery, Series A, GO, VRDO, 1.66%, 01/07/2020 (z)

  1,625   1,625 

Massachusetts Bay Transportation Authority,

  

Series A1, Rev., VRDO, 1.68%, 01/07/2020 (z)

  1,800   1,800 

Series A2, Rev., VRDO, 1.65%, 01/07/2020 (z)

  5,895   5,895 

Massachusetts Bay Transportation Authority, General Transportation System, Series A2, Rev., VRDO, 1.69%, 01/07/2020 (z)

  15,400   15,400 

Massachusetts Development Finance Agency, Beth Israel Lahey Health Obligated Group, Series K, Rev., 4.00%, 07/01/2021

  720   750 

Massachusetts Development Finance Agency, Dana-Farber Cancer Institute Obligated Group, Series O, Rev., 5.00%, 12/01/2021

  1,000   1,073 

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

  

Series K1, Rev., VRDO, 1.65%, 01/07/2020 (z)

  5,700   5,700 

Series K2, Rev., VRDO, 1.67%, 01/07/2020 (z)

  22,360   22,360 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 
  

Massachusetts — continued

 

Massachusetts Development Finance Agency, Tufts University, Series R, Rev., VRDO, 1.51%, 01/02/2020 (z)

  10,000   10,000 

Massachusetts Educational Financing Authority,

  

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

  3,150   3,262 

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

  900   948 

Series B, Rev., AMT, 5.00%, 07/01/2022

  2,000   2,172 

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

  400   407 

Massachusetts Health & Educational Facilities Authority, Tufts University, Series N1, Rev., VRDO, 1.55%, 01/02/2020 (z)

  6,600   6,600 

Massachusetts Water Resources Authority,

  

Series A2, Rev., VRDO, 1.57%, 01/07/2020 (z)

  1,140   1,140 

Series A3, Rev., VRDO, 1.63%, 01/07/2020 (z)

  4,495   4,495 

University of Massachusetts Building Authority, Series 1, Rev., VRDO, 1.67%, 01/07/2020 (z)

  7,000   7,000 
  

 

 

 
   96,612 
  

 

 

 

Michigan — 1.8%

  

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

  7,515   7,682 

Michigan Finance Authority, Hospital Project, Ascension Health Credit Group, Series E, Rev., VRDO, 1.68%, 01/07/2020 (z)

  2,275   2,275 

Michigan Finance Authority, Local Government Loan Program, Series D1, Rev., AGM, 5.00%, 07/01/2020

  2,700   2,751 

University of Michigan,

  

Series A, Rev., VRDO, 1.65%, 01/07/2020 (z)

  5,325   5,325 

Series D1, Rev., VRDO, 1.55%, 01/02/2020 (z)

  130   130 

Series D2, Rev., VRDO, 1.55%, 01/07/2020 (z)

  870   870 

Wayne County Airport Authority, Series A, Rev., AMT, 5.00%, 12/01/2020

  4,985   5,153 
  

 

 

 
   24,186 
  

 

 

 

Minnesota — 0.2%

  

City of Rochester, Health Care, Mayo Clinic, Rev., VRDO, 1.65%, 01/07/2020 (z)

  500   500 

County of Hennepin, Series B, GO, VRDO, 1.64%, 01/07/2020 (z)

  2,640   2,640 
  

 

 

 
   3,140 
  

 

 

 

Mississippi — 0.9%

  

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

  

Series A, Rev., VRDO, 1.60%, 01/02/2020 (z)

  2,300   2,300 

Series A, Rev., VRDO, 1.62%, 01/07/2020 (z)

  510   510 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
34   SIX CIRCLES TRUST DECEMBER 31, 2019


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

Municipal Bonds — continued

 

Mississippi — continued

 

Series B, Rev., VRDO, 1.60%, 01/02/2020 (z)

  1,000   1,000 

Series C, Rev., VRDO, 1.65%, 01/07/2020 (z)

  1,400   1,400 

Series D, Rev., VRDO, 1.65%, 01/07/2020 (z)

  300   300 

Series E, Rev., VRDO, 1.60%, 01/02/2020 (z)

  6,300   6,300 

Series F, Rev., VRDO, 1.62%, 01/07/2020 (z)

  275   275 

Series K, Rev., VRDO, 1.60%, 01/02/2020 (z)

  500   500 
  

 

 

 
   12,585 
  

 

 

 

Missouri — 0.5%

  

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

  1,500   1,521 

Missouri Development Finance Board, Nelson Gallery Foundation (The), Series A, Rev., VRDO, 1.62%, 01/02/2020 (z)

  5,000   5,000 
  

 

 

 
   6,521 
  

 

 

 

Nevada — 0.5%

  

County of Clark Department of Aviation, Series A1, Rev., AMT, 5.00%, 07/01/2021

  5,000   5,276 

Washoe County School District, Series C, GO, 5.00%, 10/01/2021

  1,250   1,334 
  

 

 

 
   6,610 
  

 

 

 

New Hampshire — 1.1%

  

New Hampshire Business Finance Authority, Emerald Renewable Diesel LLC, Rev., AMT, 2.00%, 06/01/2049 (e) (z)

  3,000   3,008 

New Hampshire Health and Education Facilities Authority Act, Trustees of Dartmouth College, Series B, Rev., VRDO, 1.57%,
01/02/2020 (z)

  8,000   8,000 

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

  

Series A1, Rev., VRDO, 1.65%, 01/02/2020 (z)

  800   800 

Series B, Rev., VRDO, 1.65%, 01/02/2020 (z)

  2,800   2,800 
  

 

 

 
   14,608 
  

 

 

 

New Jersey — 0.6%

  

New Jersey Housing & Mortgage Finance Agency, Single Family Housing,

  

Series D, Rev., AMT, 4.00%, 04/01/2020

  1,125   1,132 

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

  1,290   1,313 

New Jersey Sports & Exposition Authority,

  

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

  1,000   1,021 

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

  4,000   4,235 
  

 

 

 
   7,701 
  

 

 

 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 
  

New Mexico — 0.6%

 

New Mexico Municipal Energy Acquisition Authority,

  

Series A, Rev., LIQ: Royal Bank of Canada, 4.00%, 05/01/2020

  5,045   5,090 

Series A, Rev., LIQ: Royal Bank of Canada, 4.00%, 11/01/2020

  2,600   2,659 

Series A, Rev., LIQ: Royal Bank of Canada, 4.00%, 11/01/2021

  625   655 
  

 

 

 
   8,404 
  

 

 

 

New York — 11.2%

 

City of New York,

  

Series G4, GO, VRDO, LOC: Citibank NA, 1.68%, 01/07/2020 (z)

  1,000   1,000 

Series G4, GO, VRDO, 1.70%, 01/07/2020 (z)

  425   425 

Series I3, GO, VRDO, LOC: Bank of America NA, 1.68%, 01/02/2020 (z)

  750   750 

Series I4, GO, VRDO, LOC: TD Bank NA, 1.70%, 01/02/2020 (z)

  1,700   1,700 

City of New York, Fiscal Year 2008, Series J6, GO, VRDO, LOC: Landesbank Hessen-Thueringen, 1.68%, 01/02/2020 (z)

  2,200   2,200 

City of New York, Fiscal Year 2017, Series A4, GO, VRDO, LOC: Citibank NA, 1.68%, 01/07/2020 (z)

  7,000   7,000 

City of New York, Fiscal Year 2018, Series B5, GO, VRDO, 1.65%, 01/02/2020 (z)

  7,400   7,400 

Metropolitan Transportation Authority,

  

Series A1, Rev., VRDO, LOC: TD Bank NA, 1.70%, 01/02/2020 (z)

  4,820   4,820 

Series A, Rev., BAN, 5.00%, 03/01/2022

  2,000   2,161 

Series D2, Rev., VRDO, LOC: Landesbank Hessen-Thueringen, 1.68%, 01/02/2020 (z)

  5,300   5,300 

Series G2, Rev., VRDO, LOC: TD Bank NA, 1.60%, 01/07/2020 (z)

  6,750   6,750 

Nassau County Interim Finance Authority, Sales Tax, Series A, Rev., VRDO, 1.56%, 01/07/2020 (z)

  13,640   13,640 

New York City Housing Development Corp., Bruckner by the Bridge LLC, Series A, Rev., VRDO, LIQ: FHLMC, 1.62%, 01/07/2020 (z)

  4,700   4,700 

New York City Housing Development Corp., Multi-Family Rental Housing, 90 Washington Street, Series A, Rev., VRDO, LOC: FNMA, LIQ: FNMA, 1.63%, 01/07/2020 (z)

  600   600 

New York City Housing Development Corp., Sustainable Neighborhood, Series C4, Rev., VRDO, 1.63%, 01/07/2020 (z)

  7,000   7,000 

New York City Municipal Water Finance Authority, Water & Sewer System, Series F1A, Rev., VRDO, 1.62%, 01/07/2020 (z)

  6,000   6,000 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019 SIX CIRCLES TRUST    35 


Table of Contents

Six Circles Tax Aware Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (continued)

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

(Amounts in thousands, except number of Futures contracts)

 

SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 

Municipal Bonds — continued

 

New York — continued

 

New York City Municipal Water Finance Authority, Water & Sewer System, Second General Resolution,

  

Series B, Rev., VRDO, 1.65%, 01/02/2020 (z)

  17,440   17,440 

Series BB, Rev., VRDO, 1.68%, 01/02/2020 (z)

  1,000   1,000 

New York City Municipal Water Finance Authority, Water & Sewer System, Second General Resolution, Fiscal Year 2008, Series BB2, Rev., VRDO, 1.60%, 01/02/2020 (z)

  3,500   3,500 

New York City Transitional Finance Authority Future Tax Secured Revenue, New York City Recovery, Series 1E, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 1.68%, 01/07/2020 (z)

  275   275 

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

  

Series A4, Rev., VRDO, 1.70%, 01/02/2020 (z)

  3,500   3,500 

Series B5, Rev., VRDO, 1.66%, 01/02/2020 (z)

  800   800 

Series F5, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 1.67%, 01/07/2020 (z)

  7,285   7,285 

New York City Trust for Cultural Resources, Metropolitan Museum of Art (The), Series A1, Rev., VRDO, 1.49%, 01/07/2020 (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, 1.66%, 01/07/2020 (z)

  1,200   1,200 

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

  1,500   1,544 

New York State Housing Finance Agency, Series L, Rev., VRDO, LOC: Bank of America NA, 1.62%, 01/07/2020 (z)

  100   100 

New York State Housing Finance Agency, Clinton Park Housing, Series A, Rev., VRDO, LIQ: FHLMC, 1.64%, 01/07/2020 (z)

  200   200 

New York State Housing Finance Agency, Housing Related, Taconic, Rev., VRDO, LOC: FNMA, LIQ: FNMA, 1.70%, 01/07/2020 (z)

  1,220   1,220 

New York State Urban Development Corp., State Personal Income Tax, Series A, Rev., 5.00%, 03/15/2021

  2,930   3,069 

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

  1,915   2,011 

Onondaga County Trust for Cultural Resources, Syracuse University, Series A, Rev., VRDO, LOC: Wells Fargo Bank NA, 1.58%, 01/07/2020 (z)

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

New York — continued

 

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

  3,060   3,249 

Triborough Bridge & Tunnel Authority,

  

Series B2, Rev., VRDO, LOC: Citibank NA, 1.59%, 01/02/2020 (z)

  3,700   3,700 

Series B3, Rev., VRDO, LOC: State Street Bank & Trust Co., 1.63%, 01/02/2020 (z)

  21,550   21,550 

Series F, Rev., VRDO, LOC: Citibank NA, 1.59%, 01/02/2020 (z)

  7,775   7,775 
  

 

 

 
   152,389 
  

 

 

 

North Carolina — 1.7%

 

City of Charlotte, Water & Sewer System, Series B, Rev., VRDO, 1.62%, 01/07/2020 (z)

  12,300   12,300 

City of Raleigh, Combined Enterprise System Revenue, Series B, Rev., VRDO, 1.66%, 01/07/2020 (z)

  3,800   3,800 

University of North Carolina at Chapel Hill, Series C, Rev., VRDO, 1.54%, 01/07/2020 (z)

  3,400   3,400 

University of North Carolina, Hospitals at Chapel Hill,

  

Series A, Rev., VRDO, 1.66%, 01/07/2020 (z)

  100   100 

Series B, Rev., VRDO, 1.60%, 01/02/2020 (z)

  2,900   2,900 
  

 

 

 
   22,500 
  

 

 

 

Ohio — 4.1%

 

American Municipal Power, Inc., Hydroelectric Project, Series C, Rev., 5.00%, 02/15/2020

  1,000   1,004 

County of Franklin, Hospital Facilities, OhioHealth Obligated Group, Series C, Rev., VRDO, 1.67%, 01/07/2020 (z)

  5,975   5,975 

Ohio Higher Educational Facility Commission, Cleveland Clinic Health System Obligated Group,

  

Series B1, Rev., VRDO, 1.55%, 01/02/2020 (z)

  950   950 

Series B3, Rev., VRDO, 1.60%, 01/02/2020 (z)

  3,200   3,200 

Series B4, Rev., VRDO, 1.62%, 01/02/2020 (z)

  6,650   6,650 

Ohio State University (The),

  

Series B2, Rev., VRDO, 1.55%, 01/07/2020 (z)

  6,725   6,725 

Series B, Rev., VRDO, 1.55%, 01/07/2020 (z)

  5,300   5,300 

Series E, Rev., VRDO, 1.54%, 01/07/2020 (z)

  3,500   3,500 

Ohio Water Development Authority Water Pollution Control Loan Fund, Series A, Rev., VRDO, 1.49%, 01/07/2020 (z)

  4,000   4,000 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
36   SIX CIRCLES TRUST DECEMBER 31, 2019


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

Municipal Bonds — continued

 

Ohio — continued

 

State of Ohio, Series C, GO, VRDO, 1.55%, 01/07/2020 (z)

  5,000   5,000 

State of Ohio, Infrastructure Improvement, Series A, GO, VRDO, LOC: TD Bank NA, 1.46%, 01/07/2020 (z)

  12,775   12,775 
  

 

 

 
   55,079 
  

 

 

 

Pennsylvania — 1.8%

 

Commonwealth of Pennsylvania, First Series, GO, 5.00%, 08/15/2021

  7,210   7,662 

Delaware River Port Authority, Series B, Rev., 5.00%, 01/01/2021

  3,100   3,220 

Monroeville Finance Authority, UPMC Obligated Group, Rev., 5.00%, 02/15/2021

  1,155   1,204 

Pennsylvania Economic Development Financing Authority, UPMC Obligated Group, Series A, Rev., 4.00%, 11/15/2020

  1,000   1,024 

Pennsylvania Economic Development Financing Authority, Waste Management PA Obligated Group, Series A, Rev., 2.15%, 11/01/2021

  1,375   1,390 

Pennsylvania Higher Educational Facilities Authority, Drexel University, Series B, Rev., VRDO, LOC: TD Bank NA, 1.57%, 01/02/2020 (z)

  350   350 

Philadelphia Authority for Industrial Development, Rev., 5.00%, 10/01/2021

  4,000   4,262 

Philadelphia Authority for Industrial Development, City Service Agreement, Rebuild Project,

  

Rev., 5.00%, 05/01/2020

  500   506 

Rev., 5.00%, 05/01/2021

  750   788 

School District of Philadelphia (The),

  

Series A, GO, 5.00%, 09/01/2021

  1,600   1,698 

Series F, GO, 5.00%, 09/01/2020

  1,100   1,127 

Series F, GO, 5.00%, 09/01/2021

  1,500   1,591 
  

 

 

 
   24,822 
  

 

 

 

South Carolina — 0.1%

 

South Carolina Educational Facilities Authority, Furman University, Series B, Rev., VRDO, 1.63%, 01/02/2020 (z)

  1,100   1,100 
  

 

 

 

Tennessee — 0.2%

 

Tennessee Energy Acquisition Corp., Series A, Rev., 5.25%, 09/01/2021

  2,040   2,163 
  

 

 

 

Texas — 2.9%

 

City of Arlington, Water & Wastewater System, Series A, Rev., 2.00%, 06/01/2021

  400   405 

City of Austin, Airport System Revenue, Rev., AMT, 5.00%, 11/15/2020

  2,500   2,582 

City of Garland, GO, 5.00%, 02/15/2021

  1,700   1,774 

City of Houston, Airport System, Series D, Rev., 5.00%, 07/01/2021

  1,150   1,216 

Cypress-Fairbanks Independent School District, GO,PSF-GTD, 5.00%, 02/15/2021

  2,465   2,572 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 
  

Texas — continued

 

Gulf Coast Waste Disposal Authority, Pollution Control, Exxon Project, Rev., VRDO, 1.60%, 01/02/2020 (z)

  4,000   4,000 

Houston Independent School District, GO,PSF-GTD, 5.00%, 02/15/2022

  1,600   1,730 

Lower Neches Valley Authority Industrial Development Corp., Exxonmobil, Rev., VRDO, 1.59%, 01/02/2020 (z)

  5,500   5,500 

North Texas Tollway Authority, North Texas Tollway System, First Tier,

  

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

  1,000   1,038 

Series A, Rev., 5.00%, 01/01/2022

  2,000   2,152 

Northwest Independent School District, Series B, GO,PSF-GTD, 5.00%, 02/15/2021

  2,000   2,087 

Permanent University Fund—University of Texas System, Series A, Rev., VRDO, 1.60%, 01/07/2020 (z)

  800   800 

Socorro Independent School District, GO,PSF-GTD, 4.00%, 08/15/2020

  3,220   3,278 

State of Texas, College Student Loan, Series B, GO, AMT, 5.00%, 08/01/2020

  4,010   4,096 

State of Texas, Veterans, GO, VRDO, LIQ: FHLB, 1.70%, 01/07/2020 (z)

  2,500   2,500 

Tarrant County Cultural Education Facilities Finance Corp., Texas Health Resources Obligated Group, Series B, Rev., VRDO, 1.52%, 01/07/2020 (z)

  3,000   3,000 
  

 

 

 
   38,730 
  

 

 

 

Utah — 0.1%

 

County of Utah, IHC Health Services, Inc. Obligated Group, Series B, Rev., VRDO, 1.50%, 01/07/2020 (z)

  1,150   1,150 
  

 

 

 

Virginia — 3.9%

 

Albermarle County Economic Development Authority, Sentara Healthcare Obligated Group, Series B, Rev., VRDO, 1.63%, 01/02/2020 (z)

  1,350   1,350 

County of Chesterfield, Series B, GO, 5.00%, 01/01/2021

  1,430   1,486 

Fairfax County Economic Development Authority, Smithsonian Institution, Series A, Rev., VRDO, 1.45%, 01/07/2020 (z)

  4,325   4,325 

Fairfax County Industrial Development Authority, Inova Health System Obligated Group, Series C, Rev., VRDO, 1.55%, 01/07/2020 (z)

  13,300   13,300 

Loudoun County Economic Development Authority, Howard Hughes Medical Institute,

  

Series B, Rev., VRDO, 1.69%, 01/07/2020 (z)

  2,630   2,630 

Series C, Rev., VRDO, 1.71%, 01/07/2020 (z)

  4,500   4,500 

Series D, Rev., VRDO, 1.68%, 01/07/2020 (z)

  200   200 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019 SIX CIRCLES TRUST    37 


Table of Contents

Six Circles Tax Aware Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (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

 

Virginia — continued

 

Series F, Rev., VRDO, 1.70%, 01/07/2020 (z)

  5,815   5,815 

Norfolk Economic Development Authority, Sentara Healthcare Obligated Group,

  

Series A, Rev., VRDO, 1.70%, 01/07/2020 (z)

  10,200   10,200 

Series B, Rev., VRDO, 1.67%, 01/07/2020 (z)

  6,300   6,300 

Virginia Port Authority,

  

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

  1,730   1,762 

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

  1,405   1,483 
  

 

 

 
   53,351 
  

 

 

 

Washington — 1.8%

 

Chelan County Public Utility District No. 1, Series B, Rev., VRDO, 1.70%, 01/07/2020 (z)

  6,000   6,000 

King County Public Hospital District No. 1, Valley Medical Center, GO, 4.00%, 12/01/2020

  475   486 

King County School District No. 412 Shoreline, GO, SCH BD GTY, 5.00%, 12/01/2020

  1,000   1,036 

Port of Seattle, First Lien, Series B, Rev., AMT, 5.00%, 10/01/2020

  2,935   3,017 

Port of Seattle, Intermediate Lien, Rev., AMT, 5.00%, 04/01/2022

  2,000   2,161 

State of Washington, Motor Vehicle Fuel Tax, Series B, GO, 5.00%, 08/01/2020

  4,730   4,837 

Washington Health Care Facilities Authority, Providence St Joseph Health Obligated Group, Series C, Rev., VRDO, 1.67%, 01/07/2020 (z)

  5,100   5,100 

Washington State Housing Finance Commission, Interurban Senior Living Associates LP, Rev., VRDO, LOC: FHLMC, LIQ: FHLMC, 1.65%, 01/07/2020 (z)

  2,245   2,245 
  

 

 

 
   24,882 
  

 

 

 

Wisconsin — 0.8%

 

State of Wisconsin,

  

Series A, GO, 5.00%, 05/01/2022

  4,815   5,250 

Series B, GO, 5.00%, 05/01/2021

  2,435   2,561 

Wisconsin Health & Educational Facilities Authority, Ascension Health Credit Group, Rev., 4.00%, 11/15/2020

  1,530   1,568 

Wisconsin Housing & Economic Development Authority, Series B, Rev., FNMA COLL, VRDO, 1.58%, 01/07/2020 (z)

  1,000   1,000 
  

 

 

 
   10,379 
  

 

 

 

Wyoming — 0.4%

  

County of Lincoln, Exxon Capital Ventures, Inc., Rev., VRDO, 1.57%, 01/02/2020 (z)

  5,000   5,000 
  

 

 

 

Total Municipal Bonds
(Cost $825,483)

   826,867 
  

 

 

 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 
  

U.S. Treasury Obligations — 4.4%

 

U.S. Treasury Inflation Indexed Notes,
0.13%, 04/15/2022 (dd)

  2,540   2,536 

0.13%, 01/15/2023

  10,592   10,591 

0.38%, 07/15/2023

  10,892   11,043 

0.63%, 04/15/2023

  32,014   32,509 

U.S. Treasury Notes, 1.75%, 07/31/2021 (dd)

  3,000   3,007 
  

 

 

 

Total U.S. Treasury Obligations
(Cost $58,801)

   59,686 
  

 

 

 

Short-Term Investments — 12.2%

 

Certificates of Deposit — 0.1%

 

Emirates NBD PJSC, (United Arab Emirates), 2.80%, 05/04/2020 (n)

  1,200   1,203 

3.00%, 03/06/2020

  600   601 
  

 

 

 

Total Certificates of Deposit

   1,804 
  

 

 

 

Commercial Papers — 3.8%

 

City of Dallas, Series D1, 1.22%, 02/06/2020 (n)

  15,000   14,999 

County of Montgomery, Series 10B, 1.16%, 01/16/2020 (n)

  3,000   3,000 

Encana Corp., (Canada), Series USCP, 2.21%, 01/07/2020 (e) (n)

  3,200   3,199 

Ford Motor Credit Co. LLC, 3.43%, 01/21/2020 (e) (n)

  1,900   1,897 

Health Care Authority of the City of Huntsville (The), 1.38%, 01/06/2020 (n)

  2,000   2,000 

1.19%, 03/05/2020 (n)

  6,000   5,999 

Massachusetts Health & Educational Facilities Authority, 1.32%, 01/16/2020 (n)

  3,000   3,000 

Board Of Trustees Michigan State University, Series F, 1.21%, 02/05/2020 (n)

  600   600 

New York Power Authority, Series 1, 1.12%, 02/06/2020 (n)

  12,000   11,998 

1.14%, 01/16/2020 (n)

  800   800 

University of Michigan, Series B, 1.20%, 02/05/2020 (n)

  2,000   2,000 

WGL Holdings, Inc., 2.06%, 01/06/2020 (e) (n)

  2,100   2,099 
  

 

 

 

Total Commercial Papers

   51,591 
  

 

 

 

Foreign Government Security — 0.6%

 

Japan Treasury Discount Bill, (Japan), Series 867, Zero Coupon, 02/10/2020

 JPY 820,800   7,556 
  

 

 

 

Municipal Bonds — 4.5%

 

Brookhaven Development Authority, Children’s Healthcare of Atlanta Obligated Group, Series A, Rev., 5.00%, 07/01/2020

  2,250   2,293 

City of New Haven, Series A, GO, 5.00%, 08/01/2020

  1,000   1,020 

County of Los Angeles, Rev., TRAN, 5.00%, 06/30/2020

  6,500   6,629 

County of Suffolk, Series II, GO, TAN, 2.50%, 08/20/2020 (w)

  5,000   5,036 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
38   SIX CIRCLES TRUST DECEMBER 31, 2019


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

Short-Term Investments — continued

 

Municipal Bonds — continued

 

Metropolitan Transportation Authority, Series A, Rev., BAN, 4.00%, 02/03/2020

  6,000   6,014 

Nassau County, Series A, GO, 2.00%, 12/09/2020

  5,000   5,038 

San Francisco City & County Airport Comm-San Francisco International Airport, Special Facilities Lease, SFO Fuel Co. LLC, Series A, Rev., AMT, 5.00%, 01/01/2020

  1,010   1,010 

School District of Philadelphia (The), Series C, Rev., TRAN, 4.00%, 03/31/2020

  3,500   3,525 

State of Idaho, GO, TAN, 3.00%, 06/30/2020

  7,000   7,067 

State of Texas, Rev., TRAN, 4.00%, 08/27/2020

  22,500   22,920 

Troy University, Alabama Facilities, Series A, Rev., BAM, 4.00%, 11/01/2020

  1,000   1,023 
  

 

 

 

Total Municipal Bonds

   61,575 
  

 

 

 

Repurchase Agreement — 1.7%

 

Goldman Sachs Co. LLC, 1.55%, dated 12/31/2019, due 01/02/2020, repurchase price $22,502, collateralized by Mortgage-Backed Security, 4.50%, due 10/01/2048, with a value of $23,202.

  22,500   22,500 
  

 

 

 
SECURITY DESCRIPTION PRINCIPAL
AMOUNT($)
  VALUE($) 

Time Deposits — 1.5%

 

Australia & New Zealand Banking Group Ltd., 1.56%, 01/02/2020

  18,016   18,016 

BNP Paribas SA, 1.56%, 01/02/2020

  2,240   2,240 

Brown Brothers Harriman,

  

(0.68%), 01/02/2020

 EUR        1   1 

(0.24%), 01/06/2020

 JPY27   (h) 

0.32%, 01/02/2020

 AUD184   130 

0.82%, 01/02/2020

 CAD235   181 

Citibank NA, 0.36%, 01/02/2020

 GBP65   85 
  

 

 

 

Total Time Deposits

   20,653 
  

 

 

 

Total Short-Term Investments
(Cost $165,592)

   165,679 
  

 

 

 

Total Investments — 102.5%
(Cost $1,384,947)

   1,390,059 

Liabilities in Excess of Other Assets — (2.5)%

 

  (34,319
  

 

 

 

NET ASSETS — 100.0%

  $1,355,740 
  

 

 

 
 

 

Percentages indicated are based on net assets.

 

Futures contracts outstanding as of December 31, 2019: 
Exchange Traded 
DESCRIPTION    NUMBER OF
CONTRACTS
     EXPIRATION
DATE
     TRADING
CURRENCY
     NOTIONAL
AMOUNT($)
     VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION)($)
 

Long Contracts

 

    

Australian 10 Year Government Bond

     149      03/2020      AUD      15,249      (301

Canadian 10 Year Government Bond

     119      03/2020      CAD      12,851      (253

U.S. Treasury 2 Year Note

     1,093      03/2020      USD      235,665      (123
                    

 

 

 
                     (677
                    

 

 

 

Short Contracts

 

    

3 Month Eurodollar

     (860     12/2020      USD      (211,649     132 

U.S. Treasury 5 Year Note

     (84     03/2020      USD      (10,001     38 

U.S. Treasury Ultra Bond

     (28     03/2020      USD      (5,230     143 

U.S. Ultra Treasury 10 Year Note

     (60     03/2020      USD      (8,533     91 
                    

 

 

 
                     404 
                    

 

 

 

Total unrealized appreciation (depreciation)

                     (273
                    

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019 SIX CIRCLES TRUST    39 


Table of Contents

Six Circles Tax Aware Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (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, 2019: 
CURRENCY PURCHASED     CURRENCY SOLD     COUNTERPARTY  SETTLEMENT
DATE
     UNREALIZED
APPRECIATION
(DEPRECIATION)($)
 
USD     7,595     JPY     820,800     Morgan Stanley & Co.   02/10/2020      25 
MXN     4,597     USD     237     Deutsche Bank AG   02/12/2020      5 
EUR     582     USD     643     Morgan Stanley & Co.   02/14/2020      11 
                      

 

 

 
Total unrealized appreciation      41 
                      

 

 

 
USD     1,745     MXN     33,775     Morgan Stanley & Co.   01/28/2020      (34
USD     2,189     MXN     42,221     Deutsche Bank AG   01/28/2020      (35
USD     266     AUD     385     Morgan Stanley & Co.   02/14/2020      (5
USD     2,267     CAD     3,006     Morgan Stanley & Co.   02/14/2020      (48
USD     643     EUR     581     Morgan Stanley & Co.   02/14/2020      (10
USD     9,589     GBP     7,446     Morgan Stanley & Co.   02/14/2020      (286
USD     3,964     MXN     78,338     Morgan Stanley & Co.   02/27/2020      (146
                      

 

 

 
Total unrealized depreciation      (564
                      

 

 

 
Net unrealized appreciation (depreciation)      (523
                      

 

 

 

 

Centrally Cleared Interest Rate Swap contracts outstanding as of December 31, 2019:     
FLOATING RATE INDEX (a)  FIXED RATE  PAY/ RECEIVE
FLOATING RATE
   MATURITY
DATE
   

NOTIONAL

AMOUNT

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

Mexico Interbank TIIE 28 Day

  6.53 %28-day   Receive    12/09/2021    MXN    14,900       3   3 

Mexico Interbank TIIE 28 Day

  6.53 %28-day   Receive    12/09/2021    MXN    16,800       3   3 

Mexico Interbank TIIE 28 Day

  6.48 %28-day   Receive    12/09/2021    MXN    39,300       9   9 

Mexico Interbank TIIE 28 Day

  6.73 %28-day   Receive    12/21/2021    MXN    7,800       (h)   (h) 

Mexico Interbank TIIE 28 Day

  6.81 %28-day   Receive    12/22/2021    MXN    36,900       (5  (5

Mexico Interbank TIIE 28 Day

  6.79 %28-day   Receive    12/23/2021    MXN    31,200       (3  (3

United States FEDEF Intraday

  2.30 % annually   Receive    03/01/2022    USD    30,100    (136  (442  (578
            

 

 

  

 

 

  

 

 

 

Total

             (136  (435  (571
            

 

 

  

 

 

  

 

 

 

 

(a)

Value of floating rate index as of December 31, 2019 was as follows:

 

FLOATING RATE INDEX     

Mexico Interbank TIIE 28 Day

   7.56% 

United States FEDEF Intraday

   1.55% 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
40   SIX CIRCLES TRUST DECEMBER 31, 2019


Table of Contents

NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS

 

AGM 

—  Insured by Assured Guaranty Municipal Corp.

AMT 

—  Alternative Minimum Tax

BAM 

—  Insured by Build America Mutual

BAN 

—  Bond Anticipation Note

COLL 

—  Collateral

COP 

—  Certificate of Participation

FEDEF 

—  Federal Fund Effective Rate (Continuous Series)

FHLB 

—  Federal Home Loan Bank

FHLMC 

—  Federal Home Loan Mortgage Corp.

FNMA 

—  Federal National Mortgage Association

GO 

—  General Obligation

GNMA 

—  Government National Mortgage Association

GTD 

—  Guaranteed

GTY 

—  Guaranty

ICE 

—  Intercontinental Exchange

LIBOR 

—  London Interbank Offered Rate

LIQ 

—  Liquidity Agreement

LOC 

—  Letter of Credit

PSF 

—  Permanent School Fund

Reg. S 

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

REMICS 

—  Real Estate Mortgage Investment Conduit

Rev. 

—  Revenue

SCH BD 

—  School Bond

SOFR 

—  Secured Overnight Financing Rate

SONIA 

—  Sterling Overnight Interbank Average Rate

SUB 

—  Step-Up Bond. The interest rate shown is the rate in effect as of December 31, 2019.

TAN 

—  Tax Anticipation Note

TBA 

—  To Be Announced

TIIE 

—  The Interbank Equilibrium Interest Rate

TRAN 

—  Tax & Revenue Anticipation Note

VRDO 

—  Variable Rate Demand Obligation. The interest rate shown is the rate in effect as of December 31, 2019.

(e) 

—  Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(g) 

—  Amount rounds to less than 0.05%.

(h) 

—  Amount rounds to less than 500.

(n) 

—  The rate shown is the effective yield as of December 31, 2019.

(t) 

—  The date shown represents the earliest of the next put date or final maturity date.

(w) 

—  All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment.

(z) 

—  Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of December 31, 2019.

(aa) 

—  Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of December 31, 2019.

(dd) 

—  Approximately $340,689 of these investments are restricted as collateral for forwards to Morgan Stanley & Co.

AUD 

—  Australian Dollar

CAD 

—  Canadian Dollar

EUR 

—  Euro

GBP 

—  British Pound

JPY 

—  Japanese Yen

MXN 

—  Mexican Peso

USD 

—  United States Dollar

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019 SIX CIRCLES TRUST    41 


Table of Contents

Six Circles U.S. Unconstrained Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019

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

(Amounts in thousands, except number of Futures contracts)

 

SECURITY DESCRIPTION  SHARES   VALUE($) 

Common Stocks — 99.8%

 

Basic Materials — 1.3%

    

Chemicals — 1.1%

    

Air Products & Chemicals, Inc.

   84    19,802 

Albemarle Corp.

   31    2,263 

Ashland Global Holdings, Inc.

   6    472 

Axalta Coating Systems Ltd. (a)

   8    248 

Cabot Corp.

   16    741 

Celanese Corp., Class A

   43    5,292 

CF Industries Holdings, Inc.

   13    605 

Dow, Inc.

   50    2,734 

DuPont de Nemours, Inc.

   50    3,199 

Eastman Chemical Co.

��  69    5,466 

Ecolab, Inc.

   58    11,151 

FMC Corp.

   7    737 

HB Fuller Co.

   1    60 

International Flavors & Fragrances, Inc.

   36    4,583 

Linde plc, (United Kingdom)

   174    37,129 

LyondellBasell Industries NV, Class A

   19    1,770 

Mosaic Co. (The)

   23    488 

NewMarket Corp.

   1    293 

PolyOne Corp.

   13    492 

PPG Industries, Inc.

   77    10,304 

RPM International, Inc.

   35    2,665 

Sensient Technologies Corp.

   7    450 

Sherwin-Williams Co. (The)

   16    9,588 

Valvoline, Inc.

   35    748 

Westlake Chemical Corp.

   3    213 
    

 

 

 
     121,493 
    

 

 

 

Forest Products & Paper — 0.0%(g)

    

International Paper Co.

   28    1,290 
    

 

 

 

Iron/Steel — 0.1%

    

Nucor Corp.

   166    9,342 

Reliance Steel & Aluminum Co.

   20    2,444 

Steel Dynamics, Inc.

   81    2,749 
    

 

 

 
     14,535 
    

 

 

 

Mining — 0.1%

    

Freeport-McMoRan, Inc.

   80    1,049 

Kaiser Aluminum Corp.

   1    97 

Newmont Goldcorp Corp.

   62    2,688 

Royal Gold, Inc.

   5    578 
    

 

 

 
     4,412 
    

 

 

 

Total Basic Materials

     141,730 
    

 

 

 

Communications — 19.9%

    

Advertising — 0.1%

    

Interpublic Group of Cos., Inc. (The)

   227    5,234 

Omnicom Group, Inc.

   110    8,911 
    

 

 

 
     14,145 
    

 

 

 

Internet — 15.8%

    

Alphabet, Inc., Class A (a)

   256    343,050 

Alphabet, Inc., Class C (a)

   256    342,772 

Amazon.com, Inc. (a)

   282    520,941 

Booking Holdings, Inc. (a)

   28    58,135 

CDW Corp.

   29    4,100 
SECURITY DESCRIPTION  SHARES  VALUE($) 
   

Internet — continued

   

eBay, Inc.

   519   18,737 

Expedia Group, Inc.

   115   12,481 

F5 Networks, Inc. (a)

   3   380 

Facebook, Inc., Class A (a)

   2,056   422,058 

GoDaddy, Inc., Class A (a)

   9   614 

IAC/InterActiveCorp. (a)

   5   1,206 

Match Group, Inc. (a)

   3   245 

MercadoLibre, Inc., (Argentina) (a)

   3   1,743 

Netflix, Inc. (a)

   28   9,138 

NortonLifeLock, Inc.

   360   9,189 

Okta, Inc., Class A (a)

   7   778 

Palo Alto Networks, Inc. (a)

   6   1,392 

Pinterest, Inc., Class A (a)

   9   166 

RingCentral, Inc., Class A (a)

   5   775 

Roku, Inc., Class A (a)

   6   746 

Snap, Inc., Class A (a)

   46   755 

TripAdvisor, Inc.

   4   136 

Twitter, Inc. (a)

   660   21,139 

Uber Technologies, Inc. (a)

   12   363 

VeriSign, Inc. (a)

   6   1,164 

Wayfair, Inc., Class A (a)

   4   342 

Zillow Group, Inc., Class C (a)

   8   376 
   

 

 

 
    1,772,921 
   

 

 

 

Media — 1.3%

   

Altice USA, Inc., Class A (a)

   4   119 

Cable One, Inc.

   (h)   124 

Charter Communications, Inc., Class A (a)

   10   5,050 

Comcast Corp., Class A

   1,615   72,605 

Discovery, Inc., Class A (a)

   15   490 

Discovery, Inc., Class C (a)

   19   568 

DISH Network Corp., Class A (a)

   16   574 

FactSet Research Systems, Inc.

   8   2,074 

Fox Corp., Class A

   20   758 

Fox Corp., Class B

   12   452 

John Wiley & Sons, Inc., Class A

   7   340 

Liberty Broadband Corp., Class C (a)

   6   742 

Liberty Global plc, (United Kingdom), Class A (a)

   14   325 

Liberty Global plc, (United Kingdom), Class C (a)

   21   458 

Liberty Media Corp.-Liberty Formula One, Class C (a)

   12   569 

Liberty Media Corp.-Liberty SiriusXM, Class A (a)

   4   198 

Liberty Media Corp.-Liberty SiriusXM, Class C (a)

   9   416 

News Corp., Class A

   24   345 

Nexstar Media Group, Inc., Class A

   7   801 

Sinclair Broadcast Group, Inc., Class A

   12   391 

Sirius XM Holdings, Inc.

   79   565 

ViacomCBS, Inc., Class B

   33   1,387 

Walt Disney Co. (The)

   433   62,610 
   

 

 

 
    151,961 
   

 

 

 

Telecommunications — 2.7%

   

Arista Networks, Inc. (a)

   3   680 

AT&T, Inc.

   480   18,750 

CenturyLink, Inc.

   57   753 

Cisco Systems, Inc.

   2,166   103,864 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
42   SIX CIRCLES TRUST DECEMBER 31, 2019


Table of Contents
SECURITY DESCRIPTION  SHARES   VALUE($) 

Common Stocks — continued

    

Telecommunications — continued

    

Corning, Inc.

   347    10,105 

Juniper Networks, Inc.

   18    447 

Motorola Solutions, Inc.

   40    6,488 

Sprint Corp. (a)

   42    219 

T-Mobile US, Inc. (a)

   20    1,605 

Verizon Communications, Inc.

   2,603    159,822 

Zayo Group Holdings, Inc. (a)

   10    352 
    

 

 

 
     303,085 
    

 

 

 

Total Communications

     2,242,112 
    

 

 

 

Consumer Cyclical — 5.9%

    

Airlines — 0.2%

    

Alaska Air Group, Inc.

   30    2,053 

American Airlines Group, Inc.

   7    190 

Delta Air Lines, Inc.

   262    15,313 

Southwest Airlines Co.

   102    5,482 

United Airlines Holdings, Inc. (a)

   6    521 
    

 

 

 
     23,559 
    

 

 

 

Apparel — 0.4%

    

Capri Holdings Ltd., (United Kingdom) (a)

   9    340 

Carter’s, Inc.

   9    957 

Hanesbrands, Inc.

   19    289 

NIKE, Inc., Class B

   281    28,423 

PVH Corp.

   5    533 

Ralph Lauren Corp., Class A

   3    368 

Tapestry, Inc.

   18    496 

Under Armour, Inc., Class A (a)

   18    384 

Under Armour, Inc., Class C (a)

   6    110 

VF Corp.

   119    11,874 
    

 

 

 
     43,774 
    

 

 

 

Auto Manufacturers — 0.3%

    

Cummins, Inc.

   85    15,264 

Ford Motor Co.

   260    2,416 

General Motors Co.

   89    3,254 

PACCAR, Inc.

   127    10,054 

Tesla, Inc. (a)

   9    3,607 
    

 

 

 
     34,595 
    

 

 

 

Auto Parts & Equipment — 0.1%

    

Aptiv plc, (Ireland)

   16    1,483 

Autoliv, Inc., (Sweden)

   31    2,633 

BorgWarner, Inc.

   58    2,516 

Goodyear Tire & Rubber Co. (The)

   127    1,982 

Lear Corp.

   27    3,692 

WABCO Holdings, Inc. (a)

   2    337 
    

 

 

 
     12,643 
    

 

 

 

Distribution/Wholesale — 0.2%

    

Copart, Inc. (a)

   14    1,305 

Fastenal Co.

   240    8,875 

HD Supply Holdings, Inc. (a)

   15    602 

KAR Auction Services, Inc.

   79    1,732 

LKQ Corp. (a)

   18    648 

Pool Corp.

   4    768 

WW Grainger, Inc.

   14    4,666 
    

 

 

 
     18,596 
    

 

 

 
SECURITY DESCRIPTION  SHARES  VALUE($) 
   

Entertainment — 0.0%(g)

   

Live Nation Entertainment, Inc. (a)

   9   617 

Marriott Vacations Worldwide Corp.

   6   749 

Vail Resorts, Inc.

   2   583 
   

 

 

 
    1,949 
   

 

 

 

Food Service — 0.0%(g)

   

Aramark

   51   2,226 

Grubhub, Inc. (a)

   6   269 
   

 

 

 
    2,495 
   

 

 

 

Home Builders — 0.1%

   

DR Horton, Inc.

   73   3,852 

Lennar Corp., Class A

   21   1,175 

NVR, Inc. (a)

   (h)   690 

PulteGroup, Inc.

   17   665 

Thor Industries, Inc.

   15   1,144 
   

 

 

 
    7,526 
   

 

 

 

Home Furnishings — 0.1%

   

Dolby Laboratories, Inc., Class A

   5   315 

Leggett & Platt, Inc.

   66   3,346 

Whirlpool Corp.

   36   5,355 
   

 

 

 
    9,016 
   

 

 

 

Housewares — 0.0%(g)

   

Newell Brands, Inc.

   27   516 

Scotts Miracle-Gro Co. (The)

   8   832 

Toro Co. (The)

   10   826 
   

 

 

 
    2,174 
   

 

 

 

Leisure Time — 0.1%

   

Brunswick Corp.

   13   775 

Carnival Corp.

   30   1,532 

Harley-Davidson, Inc.

   82   3,043 

Norwegian Cruise Line Holdings Ltd. (a)

   15   860 

Polaris, Inc.

   21   2,152 

Royal Caribbean Cruises Ltd.

   74   9,897 
   

 

 

 
    18,259 
   

 

 

 

Lodging — 0.2%

   

Hilton Worldwide Holdings, Inc.

   16   1,827 

Las Vegas Sands Corp.

   21   1,459 

Marriott International, Inc., Class A

   74   11,179 

MGM Resorts International

   27   906 

Wyndham Destinations, Inc.

   47   2,434 

Wyndham Hotels & Resorts, Inc.

   19   1,184 

Wynn Resorts Ltd.

   5   735 
   

 

 

 
    19,724 
   

 

 

 

Office Furnishings — 0.0%(g)

   

Herman Miller, Inc.

   6   248 

HNI Corp.

   5   199 
   

 

 

 
    447 
   

 

 

 

Retail — 4.1%

   

Advance Auto Parts, Inc.

   4   666 

AutoZone, Inc. (a)

   2   1,798 

Best Buy Co., Inc.

   100   8,751 

Bloomin’ Brands, Inc.

   4   97 

Brinker International, Inc.

   8   338 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019 SIX CIRCLES TRUST    43 


Table of Contents

Six Circles U.S. Unconstrained Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (continued)

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

(Amounts in thousands, except number of Futures contracts)

 

SECURITY DESCRIPTION  SHARES   VALUE($) 

Common Stocks — continued

    

Retail — continued

    

Burlington Stores, Inc. (a)

   4    872 

CarMax, Inc. (a)

   10    875 

Casey’s General Stores, Inc.

   1    175 

Cheesecake Factory, Inc. (The)

   9    352 

Chipotle Mexican Grill, Inc., Class A (a)

   2    1,399 

Costco Wholesale Corp.

   86    25,367 

Cracker Barrel Old Country Store, Inc.

   8    1,268 

Darden Restaurants, Inc.

   54    5,899 

Dick’s Sporting Goods, Inc.

   17    864 

Dollar General Corp.

   44    6,803 

Dollar Tree, Inc. (a)

   15    1,435 

Domino’s Pizza, Inc.

   5    1,583 

Dunkin’ Brands Group, Inc.

   17    1,290 

Foot Locker, Inc.

   51    2,007 

Gap, Inc. (The)

   13    233 

Genuine Parts Co.

   64    6,796 

Group 1 Automotive, Inc.

   2    192 

Home Depot, Inc. (The)

   472    103,019 

Kohl’s Corp.

   11    551 

Lithia Motors, Inc., Class A

   3    409 

Lowe’s Cos., Inc.

   260    31,107 

Lululemon Athletica, Inc., (Canada) (a)

   8    1,751 

McDonald’s Corp.

   324    64,005 

MSC Industrial Direct Co., Inc., Class A

   21    1,629 

Nordstrom, Inc.

   6    228 

Nu Skin Enterprises, Inc., Class A

   18    747 

O’Reilly Automotive, Inc. (a)

   5    1,996 

Penske Automotive Group, Inc.

   9    438 

Ross Stores, Inc.

   69    7,981 

Starbucks Corp.

   405    35,597 

Target Corp.

   188    24,059 

Texas Roadhouse, Inc., Class A

   10    584 

Tiffany & Co.

   32    4,313 

TJX Cos., Inc. (The)

   356    21,727 

Tractor Supply Co.

   26    2,419 

Ulta Beauty, Inc. (a)

   3    883 

Walgreens Boots Alliance, Inc.

   378    22,259 

Walmart, Inc.

   466    55,438 

Wendy’s Co. (The)

   37    820 

Williams-Sonoma, Inc.

   25    1,804 

Yum! Brands, Inc.

   85    8,580 
    

 

 

 
     461,404 
    

 

 

 

Storage/Warehousing — 0.0%(g)

    

Mobile Mini, Inc.

   5    198 
    

 

 

 

Textiles — 0.0%(g)

    

Mohawk Industries, Inc. (a)

   4    557 
    

 

 

 

Toys/Games/Hobbies — 0.1%

    

Hasbro, Inc.

   53    5,621 
    

 

 

 

Total Consumer Cyclical

     662,537 
    

 

 

 

ConsumerNon-cyclical — 30.6%

    

Agriculture 0.3%

    

Altria Group, Inc.

   119    5,953 

Archer-Daniels-Midland Co.

   275    12,746 

Bunge Ltd.

   71    4,067 

Philip Morris International, Inc.

   100    8,513 
    

 

 

 
     31,279 
    

 

 

 
SECURITY DESCRIPTION  SHARES   VALUE($) 
    

Beverages — 6.7%

    

Brown-Forman Corp., Class A

   21    1,335 

Brown-Forman Corp., Class B

   368    24,862 

Coca-Cola Co. (The)

   6,212    343,852 

Constellation Brands, Inc., Class A

   227    43,109 

Molson Coors Brewing Co., Class B

   213    11,501 

Monster Beverage Corp. (a)

   462    29,382 

PepsiCo., Inc.

   2,149    293,667 
    

 

 

 
     747,708 
    

 

 

 

Biotechnology 4.0%

    

Alexion Pharmaceuticals, Inc. (a)

   166    17,906 

Alnylam Pharmaceuticals, Inc. (a)

   82    9,430 

Amgen, Inc.

   659    158,976 

Biogen, Inc. (a)

   136    40,419 

BioMarin Pharmaceutical, Inc. (a)

   131    11,112 

Bio-Rad Laboratories, Inc., Class A (a)

   1    401 

Corteva, Inc.

   46    1,369 

Exact Sciences Corp. (a)

   108    9,970 

Gilead Sciences, Inc.

   1,591    103,411 

Illumina, Inc. (a)

   10    3,167 

Incyte Corp. (a)

   135    11,795 

Ionis Pharmaceuticals, Inc. (a)

   98    5,907 

Regeneron Pharmaceuticals, Inc. (a)

   60    22,505 

Seattle Genetics, Inc. (a)

   88    10,007 

Vertex Pharmaceuticals, Inc. (a)

   190    41,553 
    

 

 

 
     447,928 
    

 

 

 

Commercial Services — 0.8%

    

ABM Industries, Inc.

   11    408 

AMERCO

   1    242 

Automatic Data Processing, Inc.

   147    25,117 

Booz Allen Hamilton Holding Corp., Class A

   30    2,139 

Cintas Corp.

   20    5,267 

CoStar Group, Inc. (a)

   2    1,300 

Equifax, Inc.

   10    1,452 

FleetCor Technologies, Inc. (a)

   5    1,491 

Gartner, Inc. (a)

   5    808 

Global Payments, Inc.

   19    3,550 

Healthcare Services Group, Inc.

   14    344 

IHS Markit Ltd., (United Kingdom) (a)

   29    2,221 

Insperity, Inc.

   6    521 

ManpowerGroup, Inc.

   27    2,575 

MarketAxess Holdings, Inc.

   7    2,520 

Moody’s Corp.

   40    9,570 

Nielsen Holdings plc

   18    359 

PayPal Holdings, Inc. (a)

   74    7,957 

Robert Half International, Inc.

   35    2,215 

Rollins, Inc.

   22    738 

S&P Global, Inc.

   53    14,557 

Sabre Corp.

   11    250 

Service Corp. International

   31    1,449 

Square, Inc., Class A (a)

   22    1,354 

TransUnion

   12    1,050 

United Rentals, Inc. (a)

   6    918 

Verisk Analytics, Inc., Class A

   11    1,579 
    

 

 

 
     91,951 
    

 

 

 

Cosmetics/Personal Care — 1.4%

    

Colgate-Palmolive Co.

   350    24,065 

Coty, Inc., Class A

   18    201 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
44   SIX CIRCLES TRUST DECEMBER 31, 2019


Table of Contents
SECURITY DESCRIPTION  SHARES   VALUE($) 

Common Stocks — continued

    

Cosmetics/Personal Care — continued

    

Estee Lauder Cos., Inc. (The), Class A

   42    8,597 

Procter & Gamble Co. (The)

   1,019    127,313 
    

 

 

 
     160,176 
    

 

 

 

Food — 0.9%

    

Campbell Soup Co.

   7    344 

Conagra Brands, Inc.

   28    967 

Flowers Foods, Inc.

   73    1,576 

General Mills, Inc.

   36    1,910 

Hershey Co. (The)

   48    7,095 

Hormel Foods Corp.

   89    4,029 

Ingredion, Inc.

   24    2,217 

JM Smucker Co. (The)

   55    5,723 

Kellogg Co.

   127    8,771 

Kraft Heinz Co. (The)

   42    1,364 

Kroger Co. (The)

   307    8,911 

Lamb Weston Holdings, Inc.

   14    1,171 

Lancaster Colony Corp.

   2    339 

McCormick & Co., Inc.

   27    4,599 

Mondelez International, Inc., Class A

   508    27,999 

Sysco Corp.

   165    14,139 

Tyson Foods, Inc., Class A

   95    8,673 
    

 

 

 
     99,827 
    

 

 

 

Healthcare — Products — 1.5%

    

Abbott Laboratories

   513    44,570 

ABIOMED, Inc. (a)

   3    449 

Align Technology, Inc. (a)

   5    1,362 

Baxter International, Inc.

   102    8,497 

Boston Scientific Corp. (a)

   89    4,030 

Cooper Cos., Inc. (The)

   3    857 

Danaher Corp.

   87    13,377 

DENTSPLY SIRONA, Inc.

   29    1,620 

Edwards Lifesciences Corp. (a)

   13    3,132 

Henry Schein, Inc. (a)

   8    555 

Hill-Rom Holdings, Inc.

   3    385 

Hologic, Inc. (a)

   14    736 

IDEXX Laboratories, Inc. (a)

   5    1,288 

Insulet Corp. (a)

   4    628 

Intuitive Surgical, Inc. (a)

   7    4,345 

Medtronic plc, (Ireland)

   469    53,265 

ResMed, Inc.

   28    4,304 

STERIS plc

   13    1,952 

Stryker Corp.

   67    13,996 

Teleflex, Inc.

   3    948 

Thermo Fisher Scientific, Inc.

   26    8,560 

Varian Medical Systems, Inc. (a)

   5    730 

West Pharmaceutical Services, Inc.

   5    739 

Zimmer Biomet Holdings, Inc.

   13    1,926 
    

 

 

 
     172,251 
    

 

 

 

Healthcare—Services — 1.1%

    

Anthem, Inc.

   57    17,146 

Centene Corp. (a)

   25    1,574 

DaVita, Inc. (a)

   7    528 

Encompass Health Corp.

   15    1,033 

HCA Healthcare, Inc.

   19    2,755 

Humana, Inc.

   19    7,082 
SECURITY DESCRIPTION  SHARES  VALUE($) 
   

Healthcare — Services — continued

   

IQVIA Holdings, Inc. (a)

   11   1,720 

Laboratory Corp. of America Holdings (a)

   6   1,066 

Quest Diagnostics, Inc.

   42   4,502 

UnitedHealth Group, Inc.

   274   80,455 

Universal Health Services, Inc., Class B

   5   788 

WellCare Health Plans, Inc. (a)

   3   978 
   

 

 

 
    119,627 
   

 

 

 

Household Products/Wares — 0.3%

   

Avery Dennison Corp.

   27   3,544 

Church & Dwight Co., Inc.

   53   3,696 

Clorox Co. (The)

   53   8,123 

Kimberly-Clark Corp.

   163   22,352 

WD-40 Co.

   (h)   16 
   

 

 

 
    37,731 
   

 

 

 

Pharmaceuticals — 13.6%

   

AbbVie, Inc.

   1,091   96,616 

Allergan plc

   246   47,071 

AmerisourceBergen Corp., Class A

   46   3,942 

Becton Dickinson and Co.

   62   16,799 

Bristol-Myers Squibb Co.

   2,614   167,789 

Cardinal Health, Inc.

   157   7,951 

Cigna Corp.

   24   4,969 

CVS Health Corp.

   88   6,566 

DexCom, Inc. (a)

   6   1,269 

Elanco Animal Health, Inc. (a)

   19   554 

Eli Lilly & Co.

   886   116,427 

Jazz Pharmaceuticals plc, (Ireland) (a)

   3   386 

Johnson & Johnson

   2,982   434,928 

McKesson Corp.

   39   5,436 

Merck & Co., Inc.

   2,823   256,708 

Mylan NV (a)

   386   7,756 

Neurocrine Biosciences, Inc. (a)

   63   6,824 

Perrigo Co. plc, (Ireland)

   121   6,269 

Pfizer, Inc.

   7,095   277,969 

Sarepta Therapeutics, Inc. (a)

   55   7,050 

Zoetis, Inc., Class A

   389   51,478 
   

 

 

 
    1,524,757 
   

 

 

 

Total ConsumerNon-cyclical

    3,433,235 
   

 

 

 

Energy — 2.5%

   

Oil & Gas — 2.3%

   

Apache Corp.

   21   550 

Cabot Oil & Gas Corp.

   26   444 

Chevron Corp.

   1,224   147,514 

Concho Resources, Inc.

   12   1,094 

ConocoPhillips

   73   4,770 

Continental Resources, Inc.

   2   79 

Devon Energy Corp.

   26   665 

Diamondback Energy, Inc.

   9   820 

EOG Resources, Inc.

   37   3,111 

Exxon Mobil Corp.

   279   19,439 

Hess Corp.

   17   1,150 

HollyFrontier Corp.

   12   605 

Marathon Oil Corp.

   47   638 

Marathon Petroleum Corp.

   390   23,508 

Noble Energy, Inc.

   27   659 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019 SIX CIRCLES TRUST    45 


Table of Contents

Six Circles U.S. Unconstrained Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (continued)

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

(Amounts in thousands, except number of Futures contracts)

 

SECURITY DESCRIPTION  SHARES   VALUE($) 

Common Stocks — continued

    

Oil & Gas — continued

    

Occidental Petroleum Corp.

   58    2,393 

Phillips 66

   241    26,898 

Pioneer Natural Resources Co.

   11    1,592 

Valero Energy Corp.

   261    24,458 
    

 

 

 
     260,387 
    

 

 

 

Oil & Gas Services — 0.1%

    

Baker Hughes Co., Class A

   43    1,100 

Halliburton Co.

   63    1,539 

National Oilwell Varco, Inc.

   25    634 

Schlumberger Ltd.

   94    3,794 

TechnipFMC plc, (United Kingdom)

   27    582 
    

 

 

 
     7,649 
    

 

 

 

Pipelines — 0.1%

    

Cheniere Energy, Inc. (a)

   12    746 

Kinder Morgan, Inc.

   125    2,647 

ONEOK, Inc.

   24    1,853 

Targa Resources Corp.

   13    529 

Williams Cos., Inc. (The)

   71    1,681 
    

 

 

 
     7,456 
    

 

 

 

Total Energy

     275,492 
    

 

 

 

Financial — 11.7%

    

Banks — 6.4%

    

Associated Banc-Corp.

   164    3,619 

Atlantic Union Bankshares Corp.

   81    3,055 

BancFirst Corp.

   36    2,277 

BancorpSouth Bank

   91    2,861 

Bank of America Corp.

   3,151    110,964 

Bank of New York Mellon Corp. (The)

   399    20,101 

Bank OZK

   118    3,611 

Banner Corp.

   11    650 

BOK Financial Corp.

   33    2,907 

Cathay General Bancorp

   86    3,277 

CenterState Bank Corp.

   108    2,695 

Citigroup, Inc.

   1,030    82,326 

Citizens Financial Group, Inc.

   317    12,881 

Columbia Banking System, Inc.

   28    1,136 

Comerica, Inc.

   122    8,787 

Commerce Bancshares, Inc.

   50    3,392��

Community Bank System, Inc.

   17    1,179 

Cullen/Frost Bankers, Inc.

   44    4,275 

CVB Financial Corp.

   152    3,271 

East West Bancorp, Inc.

   17    841 

Fifth Third Bancorp

   59    1,804 

First Financial Bankshares, Inc.

   81    2,829 

First Horizon National Corp.

   268    4,445 

First Interstate BancSystem, Inc., Class A

   61    2,540 

First Merchants Corp.

   67    2,773 

First Midwest Bancorp, Inc.

   34    791 

First Republic Bank

   47    5,481 

Fulton Financial Corp.

   181    3,151 

Glacier Bancorp, Inc.

   32    1,469 

Goldman Sachs Group, Inc. (The)

   134    30,705 

Home BancShares, Inc.

   158    3,113 

Hope Bancorp, Inc.

   69    1,027 

Huntington Bancshares, Inc.

   794    11,967 
SECURITY DESCRIPTION  SHARES   VALUE($) 
    

Banks — continued

    

Independent Bank Corp.

   12    959 

Independent Bank Group, Inc.

   42    2,346 

KeyCorp.

   709    14,358 

M&T Bank Corp.

   10    1,760 

Morgan Stanley

   624    31,904 

NBT Bancorp, Inc.

   17    687 

Northern Trust Corp.

   108    11,449 

PNC Financial Services Group, Inc. (The)

   227    36,175 

Popular, Inc., (Puerto Rico)

   62    3,617 

Prosperity Bancshares, Inc.

   58    4,204 

Regions Financial Corp.

   714    12,245 

ServisFirst Bancshares, Inc.

   62    2,319 

Signature Bank

   6    864 

Simmons First National Corp., Class A

   34    924 

South State Corp.

   33    2,860 

State Street Corp.

   192    15,216 

SVB Financial Group (a)

   5    1,207 

Synovus Financial Corp.

   115    4,513 

TCF Financial Corp.

   111    5,195 

Towne Bank

   91    2,532 

Truist Financial Corp.

   488    27,487 

UMB Financial Corp.

   39    2,682 

United Community Banks, Inc.

   3    99 

US Bancorp

   705    41,800 

Webster Financial Corp.

   78    4,154 

Wells Fargo & Co.

   2,470    132,861 

WesBanco, Inc.

   83    3,133 

Westamerica Bancorporation

   10    703 

Wintrust Financial Corp.

   39    2,793 

Zions Bancorp NA

   124    6,446 
    

 

 

 
     723,692 
    

 

 

 

Diversified Financial Services — 2.4%

    

Air Lease Corp., Class A

   7    318 

Aircastle Ltd.

   27    854 

Alliance Data Systems Corp.

   2��   270 

Ally Financial, Inc.

   36    1,107 

American Express Co.

   200    24,916 

Ameriprise Financial, Inc.

   61    10,091 

BlackRock, Inc., Class A

   51    25,877 

Capital One Financial Corp.

   34    3,501 

Cboe Global Markets, Inc.

   10    1,143 

Charles Schwab Corp. (The)

   83    3,965 

CME Group, Inc., Class A

   106    21,369 

Cohen & Steers, Inc.

   18    1,135 

Discover Financial Services

   141    11,932 

E*TRADE Financial Corp.

   24    1,068 

Eaton Vance Corp.

   60    2,795 

Evercore, Inc., Class A

   12    921 

Franklin Resources, Inc.

   201    5,219 

Intercontinental Exchange, Inc.

   155    14,318 

Invesco Ltd.

   46    833 

Jefferies Financial Group, Inc.

   20    420 

Legg Mason, Inc.

   69    2,479 

Mastercard, Inc., Class A

   123    36,759 

Nasdaq, Inc.

   54    5,782 

Raymond James Financial, Inc.

   55    4,897 

SEI Investments Co.

   28    1,816 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
46   SIX CIRCLES TRUST DECEMBER 31, 2019


Table of Contents
SECURITY DESCRIPTION  SHARES   VALUE($) 

Common Stocks — continued

    

Diversified Financial Services — continued

    

Synchrony Financial

   48    1,734 

T Rowe Price Group, Inc.

   115    14,041 

TD Ameritrade Holding Corp.

   116    5,780 

Visa, Inc., Class A

   284    53,293 

Western Union Co. (The)

   185    4,955 
    

 

 

 
     263,588 
    

 

 

 

Insurance — 2.3%

    

Aflac, Inc.

   303    16,023 

Alleghany Corp. (a)

   1    947 

Allstate Corp. (The)

   126    14,198 

American Financial Group, Inc.

   23    2,560 

American International Group, Inc.

   63    3,249 

Aon plc, (United Kingdom)

   52    10,788 

Arch Capital Group Ltd., (Bermuda) (a)

   32    1,371 

Argo Group International Holdings Ltd., (Bermuda)

   2    126 

Arthur J Gallagher & Co.

   62    5,861 

Assurant, Inc.

   35    4,608 

Assured Guaranty Ltd., (Bermuda)

   13    657 

Athene Holding Ltd., (Bermuda), Class A (a)

   18    842 

AXA Equitable Holdings, Inc.

   41    1,025 

Axis Capital Holdings Ltd., (Bermuda)

   28    1,667 

Berkshire Hathaway, Inc., Class B (a)

   87    19,672 

Brown & Brown, Inc.

   30    1,175 

Chubb Ltd., (Switzerland)

   170    26,537 

Cincinnati Financial Corp.

   63    6,648 

CNO Financial Group, Inc.

   48    875 

Erie Indemnity Co., Class A

   5    861 

Everest Re Group Ltd., (Bermuda)

   17    4,731 

Fidelity National Financial, Inc.

   168    7,608 

First American Financial Corp.

   38    2,210 

Globe Life, Inc.

   38    3,989 

Hanover Insurance Group, Inc. (The)

   7    973 

Hartford Financial Services Group, Inc. (The)

   161    9,790 

Lincoln National Corp.

   93    5,462 

Loews Corp.

   24    1,281 

Markel Corp. (a)

   1    1,142 

Marsh & McLennan Cos., Inc.

   172    19,120 

MetLife, Inc.

   497    25,334 

Old Republic International Corp.

   161    3,602 

Primerica, Inc.

   3    441 

Principal Financial Group, Inc.

   209    11,508 

Progressive Corp. (The)

   40    2,928 

Prudential Financial, Inc.

   30    2,788 

Reinsurance Group of America, Inc., Class A

   33    5,400 

RenaissanceRe Holdings Ltd., (Bermuda)

   8    1,507 

RLI Corp.

   1    97 

Selective Insurance Group, Inc.

   4    271 

Travelers Cos., Inc. (The)

   121    16,614 

Unum Group

   131    3,825 

Voya Financial, Inc.

   15    928 

Willis Towers Watson plc, (United Kingdom)

   8    1,688 

WR Berkley Corp.

   44    3,038 
    

 

 

 
     255,965 
    

 

 

 
SECURITY DESCRIPTION  SHARES   VALUE($) 
    

Private Equity — 0.0%(g)

    

Blackstone Group, Inc. (The), Class A

   49    2,761 

KKR & Co., Inc., Class A

   33    959 
    

 

 

 
     3,720 
    

 

 

 

Real Estate — 0.0%(g)

    

CBRE Group, Inc., Class A (a)

   24    1,459 

Jones Lang LaSalle, Inc.

   7    1,134 

McGrath RentCorp.

   1    97 
    

 

 

 
     2,690 
    

 

 

 

REITS — 0.5%

    

AGNC Investment Corp.

   56    983 

Alexandria Real Estate Equities, Inc.

   7    1,154 

American Tower Corp.

   30    6,811 

Annaly Capital Management, Inc.

   119    1,126 

AvalonBay Communities, Inc.

   9    1,944 

Boston Properties, Inc.

   10    1,384 

Camden Property Trust

   5    510 

Crown Castle International Corp.

   28    3,972 

Digital Realty Trust, Inc.

   14    1,635 

Duke Realty Corp.

   19    674 

Equinix, Inc.

   6    3,324 

Equity LifeStyle Properties, Inc.

   9    624 

Equity Residential

   28    2,274 

Essex Property Trust, Inc.

   4    1,209 

Extra Space Storage, Inc.

   7    707 

Federal Realty Investment Trust

   3    450 

Healthpeak Properties, Inc.

   31    1,078 

Host Hotels & Resorts, Inc.

   48    894 

Invitation Homes, Inc.

   29    874 

Iron Mountain, Inc.

   17    539 

Kimco Realty Corp.

   24    503 

Liberty Property Trust

   9    570 

Medical Properties Trust, Inc.

   26    556 

Mid-America Apartment Communities, Inc.

   7    920 

National Retail Properties, Inc.

   7    397 

Omega Healthcare Investors, Inc.

   11    465 

Prologis, Inc.

   44    3,921 

Public Storage

   10    2,206 

Realty Income Corp.

   21    1,578 

Regency Centers Corp.

   8    528 

SBA Communications Corp., Class A

   7    1,716 

Simon Property Group, Inc.

   19    2,901 

SL Green Realty Corp.

   4    374 

Sun Communities, Inc.

   5    798 

UDR, Inc.

   15    713 

Ventas, Inc.

   25    1,424 

VEREIT, Inc.

   56    515 

VICI Properties, Inc.

   23    577 

Vornado Realty Trust

   9    605 

Welltower, Inc.

   28    2,291 

Weyerhaeuser Co.

   51    1,534 

WP Carey, Inc.

   11    860 
    

 

 

 
     58,118 
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019 SIX CIRCLES TRUST    47 


Table of Contents

Six Circles U.S. Unconstrained Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (continued)

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

(Amounts in thousands, except number of Futures contracts)

 

SECURITY DESCRIPTION  SHARES   VALUE($) 

Common Stocks — continued

    

Savings & Loans — 0.1%

    

Investors Bancorp, Inc.

   278    3,316 

People’s United Financial, Inc.

   49    836 

Provident Financial Services, Inc.

   78    1,933 

Washington Federal, Inc.

   77    2,835 

WSFS Financial Corp.

   53    2,314 
    

 

 

 
     11,234 
    

 

 

 

Total Financial

     1,319,007 
    

 

 

 

Industrial — 6.6%

    

Aerospace/Defense — 1.9%

    

Arconic, Inc.

   25    778 

Boeing Co. (The)

   209    68,159 

General Dynamics Corp.

   88    15,469 

HEICO Corp.

   3    326 

HEICO Corp., Class A

   4    318 

L3Harris Technologies, Inc.

   59    11,725 

Lockheed Martin Corp.

   102    39,878 

Northrop Grumman Corp.

   45    15,396 

Raytheon Co.

   88    19,428 

Spirit AeroSystems Holdings, Inc., Class A

   5    354 

Teledyne Technologies, Inc. (a)

   2    639 

TransDigm Group, Inc.

   3    1,571 

United Technologies Corp.

   294    43,993 
    

 

 

 
     218,034 
    

 

 

 

Building Materials — 0.2%

    

Fortune Brands Home & Security, Inc.

   34    2,202 

Johnson Controls International plc

   54    2,194 

Lennox International, Inc.

   6    1,361 

Martin Marietta Materials, Inc.

   4    1,125 

Masco Corp.

   64    3,083 

MDU Resources Group, Inc.

   62    1,828 

Owens Corning

   29    1,885 

Simpson Manufacturing Co., Inc.