Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Asset-Backed Securities 10.4% | ||||||||
Anchorage Capital CLO Ltd., (Cayman Islands), | ||||||||
Series 2014-3RA, Class A, (ICE LIBOR USD 3 Month + 1.05%), 1.18%, 01/28/2031 (e) (aa) | 1,250 | 1,250 | ||||||
Series 2015-7A, Class AR2, (ICE LIBOR USD 3 Month + 1.09%), 1.22%, 01/28/2031 (e) (aa) | 1,577 | 1,578 | ||||||
Series 2016-8A, Class AR, (ICE LIBOR USD 3 Month + 1.00%), 1.13%, 07/28/2028 (e) (aa) | 1,332 | 1,332 | ||||||
Apidos CLO XXI, (Cayman Islands), Series 2015-21A, Class A1R, (ICE LIBOR USD 3 Month + 0.93%), 1.06%, 07/18/2027 (e) (aa) | 530 | 529 | ||||||
Atlas Senior Loan Fund III Ltd., (Cayman Islands), Series 2013-1A, Class AR, (ICE LIBOR USD 3 Month + 0.83%), 0.95%, 11/17/2027 (e) (aa) | 325 | 325 | ||||||
Atrium XII, (Cayman Islands), Series 12A, Class AR, (ICE LIBOR USD 3 Month + 0.83%), 0.97%, 04/22/2027 (e) (aa) | 901 | 901 | ||||||
Autoflorence Srl, (Italy), | ||||||||
Series 2, Class A, Reg. S, (ICE LIBOR EUR 1 Month + 0.70%), 0.00%, 12/21/2044 (w) (aa) | EUR | 777 | 911 | |||||
Series 2, Class B, Reg. S, (ICE LIBOR EUR 1 Month + 0.75%), 0.00%, 12/21/2044 (w) (aa) | EUR | 161 | 187 | |||||
Avery Point VI CLO Ltd., (Cayman Islands), Series 2015-6A, Class AR2, (ICE LIBOR USD 3 Month + 0.90%), 1.02%, 08/05/2027 (e) (aa) | 1,358 | 1,356 | ||||||
BA Credit Card Trust, Series 2021-A1, Class A1, 0.44%, 09/15/2026 | 2,180 | 2,175 | ||||||
Battalion CLO Ltd., (Cayman Islands), Series 2020-18A, Class A1, (ICE LIBOR USD 3 Month + 1.80%), 1.93%, 10/15/2032 (e) (aa) | 1,000 | 1,000 | ||||||
Benefit Street Partners CLO Ltd., (Cayman Islands), Series 2015-VIBR, Class A, (ICE LIBOR USD 3 Month + 1.19%), 1.31%, 07/20/2034 (e) (aa) | 1,000 | 1,000 | ||||||
Benefit Street Partners CLO VIII Ltd., (Cayman Islands), Series 2015-8A, Class A1AR, (ICE LIBOR USD 3 Month + 1.10%), 1.23%, 01/20/2031 (e) (aa) | 1,000 | 999 | ||||||
Birch Grove CLO Ltd.,(Cayman Islands), Series 19A, Class AR, (ICE LIBOR USD 3 Month + 1.13%), 1.25%, 06/15/2031 (e) (aa) | 2,000 | 2,000 | ||||||
BlueMountain CLO Ltd., (Cayman Islands), Series 2012-2A, Class AR2, (ICE LIBOR USD 3 Month + 1.05%), 1.18%, 11/20/2028 (e) (aa) | 1,443 | 1,443 | ||||||
BMW Canada Auto Trust, (Canada), Series 2020-1A, Class A1, 1.96%, 09/20/2022 (e) | CAD | 113 | 89 | |||||
Burnham Park CLO Ltd., (Cayman Islands), Series 2016-1A, Class AR, (ICE LIBOR USD 3 Month + 1.15%), 1.28%, 10/20/2029 (e) (aa) | 500 | 500 | ||||||
CarMax Auto Owner Trust, Series 2021-2, Class A3, 0.52%, 02/17/2026 | 1,060 | 1,062 | ||||||
Chesapeake Funding II LLC, | ||||||||
Series 2018-2A, Class A1, 3.23%, 08/15/2030 (e) | 460 | 461 | ||||||
Series 2019-1A, Class A1, 2.94%, 04/15/2031 (e) | 514 | 521 | ||||||
Series 2020-1A, Class A2, (ICE LIBOR USD 1 Month + 0.65%), 0.73%, 08/16/2032 (e) (aa) | 767 | 770 | ||||||
CIFC Funding Ltd., (Cayman Islands), Series 2014-5A, Class A1R2, (ICE LIBOR USD 3 Month + 1.20%), 1.33%, 10/17/2031 (e) (aa) | 750 | 750 | ||||||
CIT Mortgage Loan Trust, Series 2007-1, Class 1A, (ICE LIBOR USD 1 Month + 1.35%), 1.44%, 10/25/2037 (e) (aa) | 334 | 337 | ||||||
CNH Equipment Trust, Series 2020-A, Class A2, 1.08%, 07/17/2023 | 128 | 128 | ||||||
Credit Acceptance Auto Loan Trust, Series 2021-3A, Class A, 1.00%, 05/15/2030 (e) | 350 | 350 | ||||||
Dryden 49 Senior Loan Fund, (Cayman Islands), Series 2017-49A, Class AR, (ICE LIBOR USD 3 Month + 0.95%), 1.08%, 07/18/2030 (e) (aa) | 1,500 | 1,499 | ||||||
DT Auto Owner Trust, Series 2020-3A, Class A, 0.54%, 04/15/2024 (e) | 782 | 782 | ||||||
Enterprise Fleet Financing LLC, Series 2019-3, Class A2, 2.06%, 05/20/2025 (e) | 750 | 759 | ||||||
FirstKey Homes Trust, Series 2020-SFR2, Class A, 1.27%, 10/19/2037 (e) | 798 | 795 | ||||||
Ford Auto Securitization Trust, (Canada), Series 2019-BA, Class A2, 2.32%, 10/15/2023 (e) | CAD | 414 | 329 | |||||
Ford Credit Auto Lease Trust, Series 2020-B, Class A2B, (ICE LIBOR USD 1 Month + 0.26%), 0.34%, 12/15/2022 (aa) | 280 | 280 | ||||||
Ford Credit Floorplan Master Owner Trust A, | ||||||||
Series 2019-1, Class A, 2.84%, 03/15/2024 | 1,400 | 1,416 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Asset-Backed Securities continued | ||||||||
Series 2019-3, Class A2, (ICE LIBOR USD 1 Month + 0.60%), 0.68%, 09/15/2024 (aa) | 2,480 | 2,493 | ||||||
Series 2020-1, Class A1, 0.70%, 09/15/2025 | 1,400 | 1,407 | ||||||
Gilbert Park CLO Ltd., (Cayman Islands), Series 2017-1A, Class A, (ICE LIBOR USD 3 Month + 1.19%), 1.32%, 10/15/2030 (e) (aa) | 1,650 | 1,650 | ||||||
Globaldrive Auto Receivables UK plc, (United Kingdom), Series 2019-UKA, Class B, Reg. S, (SONIA Deposit Rates Swap 1 Month + 1.50%), 1.55%, 09/20/2026 (aa) | GBP | 500 | 676 | |||||
GMF Canada Leasing Trust, (Canada), Series 2021-1A, Class A2, 0.64%, 03/20/2024 (e) | CAD | 800 | 631 | |||||
Home Equity Asset Trust, Series 2005-8, Class M1, (ICE LIBOR USD 1 Month + 0.65%), 0.73%, 02/25/2036 (aa) | 183 | 183 | ||||||
Honda Auto Receivables Owner Trust, Series 2018-4, Class A3, 3.16%, 01/17/2023 | 148 | 149 | ||||||
ICG US CLO Ltd., (Cayman Islands), Series 2015-1A, Class A1R, (ICE LIBOR USD 3 Month + 1.14%), 1.27%, 10/19/2028 (e) (aa) | 885 | 886 | ||||||
John Deere Owner Trust, Series 2020-B, Class A2, 0.41%, 03/15/2023 | 415 | 415 | ||||||
KVK CLO Ltd., (Cayman Islands), Series 2018-1A, Class A, (ICE LIBOR USD 3 Month + 0.93%), 1.06%, 05/20/2029 (e) (aa) | 257 | 257 | ||||||
Legacy Mortgage Asset Trust, Series 2019-GS3, Class A1, SUB, 3.75%, 04/25/2059 (e) | 213 | 214 | ||||||
Master Credit Card Trust, (Canada), Series 2021-1A, Class A, 0.53%, 11/21/2025 (e) | 1,500 | 1,496 | ||||||
Navient Private Education Loan Trust, Series 2017-A, Class A2B, (ICE LIBOR USD 1 Month + 0.90%), 0.98%, 12/16/2058 (e) (aa) | 477 | 477 | ||||||
Nelnet Student Loan Trust, Series 2019-2A, Class A, (ICE LIBOR USD 1 Month + 0.90%), 0.99%, 06/27/2067 (e) (aa) | 1,145 | 1,164 | ||||||
Neuberger Berman Loan Advisers CLO Ltd., (Cayman Islands), Series 2017-26A, Class A, (ICE LIBOR USD 3 Month + 1.17%), 1.30%, 10/18/2030 (e) (aa) | 1,900 | 1,901 | ||||||
Oscar US Funding XI LLC, (Japan), Series 2019-2A, Class A4, 2.68%, 09/10/2026 (e) | 300 | 310 | ||||||
Oscar US Funding XII LLC, (Japan), Series 2021-1A, Class A2, 0.40%, 03/11/2024 (e) | 1,326 | 1,323 | ||||||
Oscar US Funding XIII LLC, Series 2021-2A, Class A2, 0.39%, 08/12/2024 (e) | 800 | 799 | ||||||
OZLM XII Ltd., (Cayman Islands), Series 2015-12A, Class A1R, (ICE LIBOR USD 3 Month + 1.05%), 1.18%, 04/30/2027 (e) (aa) | 76 | 76 | ||||||
Palmer Square Loan Funding Ltd., (Cayman Islands), Series 2018-5A, Class A1, (ICE LIBOR USD 3 Month + 0.85%), 0.98%, 01/20/2027 (e) (aa) | 595 | 596 | ||||||
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-WCW2, Class M2, (ICE LIBOR USD 1 Month + 0.80%), 0.88%, 07/25/2035 (aa) | 1,199 | 1,200 | ||||||
PRET LLC, Series 2021-NPL3, Class A1, SUB, 1.87%, 07/25/2051 (e) | 788 | 788 | ||||||
Prodigy Finance CM2021-1 DAC, (Ireland), Series 2021-1A, Class A, (ICE LIBOR USD 1 Month + 1.25%), 1.34%, 07/25/2051 (e) (aa) | 223 | 224 | ||||||
Red & Black Auto Germany UG, (Germany), Series 8, Class B, Reg. S, (ICE LIBOR EUR 1 Month + 0.75%), 0.00%, 09/15/2030 (w) (aa) | EUR | 200 | 233 | |||||
RR 3 Ltd., (Cayman Islands), Series 2018-3A, Class A1R2, (ICE LIBOR USD 3 Month + 1.09%), 1.22%, 01/15/2030 (e) (aa) | 1,000 | 1,002 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
Series 2020-4, Class A3, 0.48%, 07/15/2024 | 500 | 500 | ||||||
Series 2021-2, Class A2, 0.28%, 04/15/2024 | 287 | 288 | ||||||
SC Germany SA Compartment Consumer, (Luxembourg), Series 2020-1, Class C, Reg. S, (ICE LIBOR EUR 1 Month + 1.75%), 1.19%, 11/14/2034 (aa) | EUR | 500 | 587 | |||||
SLM Student Loan Trust, | ||||||||
Series 2003-10A, Class A3, (ICE LIBOR USD 3 Month + 0.47%), 0.59%, 12/15/2027 (e) (aa) | 490 | 490 | ||||||
Series 2004-10, Class A7B, (ICE LIBOR USD 3 Month + 0.60%), 0.73%, 10/25/2029 (e) (aa) | 1,420 | 1,422 | ||||||
SMB Private Education Loan Trust, | ||||||||
Series 2015-B, Class A2A, 2.98%, 07/15/2027 (e) | 303 | 306 | ||||||
Series 2016-B, Class A2B, (ICE LIBOR USD 1 Month + 1.45%), 1.53%, 02/17/2032 (e) (aa) | 992 | 1,005 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Asset-Backed Securities continued | ||||||||
Series 2016-C, Class A2A, 2.34%, 09/15/2034 (e) | 699 | 711 | ||||||
Series 2017-A, Class A2B, (ICE LIBOR USD 1 Month + 0.90%), 0.98%, 09/15/2034 (e) (aa) | 1,377 | 1,385 | ||||||
Series 2020-PTA, Class A2A, 1.60%, 09/15/2054 (e) | 681 | 688 | ||||||
Series 2021-C, Class A1, (ICE LIBOR USD 1 Month + 0.40%), 0.48%, 01/15/2053 (e) (aa) | 453 | 453 | ||||||
SoFi Consumer Loan Program Trust, Series 2019-3, Class A, 2.90%, 05/25/2028 (e) | 24 | 24 | ||||||
SoFi Professional Loan Program LLC, Series 2016-C, Class A2B, 2.36%, 12/27/2032 (e) | 275 | 277 | ||||||
SoFi Professional Loan Program Trust, Series 2020-A, Class A1FX, 2.06%, 05/15/2046 (e) | 298 | 298 | ||||||
Springleaf Funding Trust, Series 2017-AA, Class A, 2.68%, 07/15/2030 (e) | 74 | 74 | ||||||
TCI-Symphony CLO Ltd., (Cayman Islands), Series 2016-1A, Class AR, (ICE LIBOR USD 3 Month + 1.16%), 1.29%, 10/13/2029 (e) (aa) | 265 | 265 | ||||||
Towd Point Asset Trust, Series 2021-SL1, Class A2, (ICE LIBOR USD 1 Month + 0.70%), 0.00%, 11/20/2061 (e) (aa) | 286 | 286 | ||||||
Towd Point Mortgage Trust, Series 2019-HY2, Class A1, (ICE LIBOR USD 1 Month + 1.00%), 1.09%, 05/25/2058 (e) (aa) | 488 | 492 | ||||||
Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.35%, 05/25/2033 (e) | 1,500 | 1,520 | ||||||
Venture XVIII CLO Ltd., (Cayman Islands), Series 2014-18A, Class AR, (ICE LIBOR USD 3 Month + 1.22%), 1.35%, 10/15/2029 (e) (aa) | 2,100 | 2,096 | ||||||
Verizon Owner Trust, Series 2020-A, Class A1B, (ICE LIBOR USD 1 Month + 0.27%), 0.36%, 07/22/2024 (aa) | 520 | 521 | ||||||
Voya CLO Ltd., (Cayman Islands), | ||||||||
Series 2015-2A, Class AR, (ICE LIBOR USD 3 Month + 0.97%), 1.11%, 07/23/2027 (e) (aa) | 583 | 583 | ||||||
Series 2018-3A, Class A1A, (ICE LIBOR USD 3 Month + 1.15%), 1.28%, 10/15/2031 (e) (aa) | 1,150 | 1,150 | ||||||
VOYA CLO, (Cayman Islands), Series 2017-2A, Class A1R, (ICE LIBOR USD 3 Month + 0.98%), 1.11%, 06/07/2030 (e) (aa) | 270 | 270 | ||||||
World Omni Select Auto Trust, Series 2020-A, Class A2, 0.47%, 06/17/2024 | 241 | 241 | ||||||
|
| |||||||
Total Asset-Backed Securities (Cost $64,151) | 64,296 | |||||||
|
| |||||||
Certificates of Deposit 2.1% | ||||||||
Financial 2.1% | ||||||||
Banks 2.1% | ||||||||
Barclays Bank plc, (United Kingdom), 0.33%, 02/01/2022 | 1,900 | 1,901 | ||||||
Credit Suisse AG, (Switzerland), | ||||||||
(United States SOFR + 0.43%), 0.48%, 10/28/2022 (aa) | 4,500 | 4,501 | ||||||
0.50%, 10/28/2022 | 1,400 | 1,399 | ||||||
Goldman Sachs Bank USA, 0.00%, 01/13/2023 | 2,000 | 2,001 | ||||||
Sumitomo Mitsui Banking Corp., (Japan), 0.70%, 07/15/2022 | 3,000 | 3,011 | ||||||
|
| |||||||
Total Financial | 12,813 | |||||||
|
| |||||||
Total Certificates of Deposit (Cost $12,800) | 12,813 | |||||||
|
| |||||||
Collateralized Mortgage Obligations 3.8% | ||||||||
Brass NO 8 plc, (United Kingdom), Series 8A, Class A1, (ICE LIBOR USD 3 Month + 0.70%), 0.82%, 11/16/2066 (e) (aa) | 114 | 115 | ||||||
Canterbury Finance NO 1 plc, (United Kingdom), Series 1, Class A2, Reg. S, (SONIA Deposit Rates Swap 3 Month + 1.35%), 1.40%, 05/16/2056 (aa) | GBP | 968 | 1,317 | |||||
Cheshire plc, (United Kingdom), Series 2020-1, Class A, Reg. S, (SONIA Deposit Rates Swap 3 Month + 0.90%), 0.95%, 08/20/2045 (aa) | GBP | 607 | 823 | |||||
COLT Mortgage Loan Trust, Series 2020-1R, Class A1, 1.26%, 09/25/2065 (e) (z) | 225 | 226 | ||||||
CSMC Trust, Series 2021-RPL4, Class A1, 1.80%, 12/27/2060 (e) (z) | 379 | 381 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Collateralized Mortgage Obligations continued | ||||||||
Finsbury Square plc, (United Kingdom), | ||||||||
Series 2018-2, Class A, Reg. S, (ICE LIBOR GBP 3 Month + 0.95%), 1.02%, 09/12/2068 (aa) | GBP | 224 | 303 | |||||
Series 2019-3, Class A, Reg. S, (SONIA Deposit Rates Swap 3 Month + 1.01%), 1.06%, 12/16/2069 (aa) | GBP | 231 | 314 | |||||
Series 2020-2A, Class A, (SONIA Deposit Rates Swap 3 Month + 1.30%), 1.35%, 06/16/2070 (e) (aa) | GBP | 417 | 568 | |||||
FNMA REMICS, Series 2020-29, Class FC, (ICE LIBOR USD 1 Month + 0.80%), 0.90%, 05/25/2050 (aa) | 2,206 | 2,224 | ||||||
GCAT LLC, Series 2020-3, Class A1, SUB, 2.98%, 09/25/2025 (e) | 846 | 854 | ||||||
GNMA, | ||||||||
Series 2015-H04, Class FA, (ICE LIBOR USD 1 Month + 0.65%), 0.74%, 12/20/2064 (aa) | 1,501 | 1,513 | ||||||
Series 2017-121, Class PE, 3.00%, 07/20/2046 | 429 | 438 | ||||||
Series 2018-H18, Class FC, (ICE LIBOR USD 1 Month + 0.35%), 0.44%, 08/20/2065 (aa) | 2,096 | 2,097 | ||||||
Series 2019-54, Class KF, (ICE LIBOR USD 1 Month + 0.42%), 0.51%, 05/20/2044 (aa) | 575 | 576 | ||||||
Series 2021-H09, Class FG, (United States 30 Day Average SOFR + 1.50%), 1.55%, 06/20/2071 (aa) | 1,601 | 1,729 | ||||||
GS Mortgage-Backed Securities Corp. Trust, Series 2021-RPL1, Class A1, 1.75%, 12/25/2060 (e) (z) | 438 | 443 | ||||||
GS Mortgage-Backed Securities Trust, Series 2021-GR2, Class A9, (United States 30 Day Average SOFR + 0.85%), 0.90%, 02/25/2052 (e) (aa) | 993 | 995 | ||||||
Legacy Mortgage Asset Trust, Series 2021-GS3, Class A1, SUB, 1.75%, 07/25/2061 (e) | 1,433 | 1,434 | ||||||
London Wall Mortgage Capital plc, (United Kingdom), Series 2017-FL1, Class A, Reg. S, (ICE LIBOR GBP 3 Month + 0.85%), 0.92%, 11/15/2049 (aa) | GBP | 47 | 63 | |||||
MFA Trust, Series 2021-RPL1, Class A1, 1.13%, 07/25/2060 (e) (z) | 536 | 533 | ||||||
New Residential Mortgage Loan Trust, | ||||||||
Series 2018-3A, Class A1, 4.50%, 05/25/2058 (e) (z) | 159 | 172 | ||||||
Series 2021-NQ2R, Class A1, 0.94%, 10/25/2058 (e) (z) | 1,169 | 1,170 | ||||||
Polaris RMBS, (United Kingdom), Series 2019-1, Class A, Reg. S, (SONIA Deposit Rates Swap 1 Month + 1.25%), 1.30%, 04/27/2057 (aa) | GBP | 446 | 604 | |||||
Pretium Mortgage Credit Partners LLC, Series 2021-RN1, Class A1, SUB, 1.99%, 02/25/2061 (e) | 379 | 378 | ||||||
Ripon Mortgages plc, (United Kingdom), Series 1X, Class A1, Reg. S, (ICE LIBOR GBP 3 Month + 0.80%), 0.87%, 08/20/2056 (aa) | GBP | 175 | 236 | |||||
Sage AR Funding No 1 plc, (United Kingdom), Series 1A, Class A, (SONIA Interest Rate Benchmark + 1.25%), 1.30%, 11/17/2030 (e) (aa) | GBP | 800 | 1,082 | |||||
Silverstone Master Issuer plc, (United Kingdom), Series 2019-1A, Class 1A, (ICE LIBOR USD 3 Month + 0.57%), 0.70%, 01/21/2070 (e) (aa) | 110 | 110 | ||||||
Starwood Mortgage Residential Trust, | ||||||||
Series 2020-3, Class A1, 1.49%, 04/25/2065 (e) (z) | 523 | 525 | ||||||
Series 2020-INV1, Class A1, 1.03%, 11/25/2055 (e) (z) | 283 | 283 | ||||||
Series 2021-2, Class A1, 0.94%, 05/25/2065 (e) (z) | 599 | 599 | ||||||
Stratton Mortgage Funding, (United Kingdom), Series 2021-2A, Class A, (SONIA Deposit Rates Swap 3 Month + 0.90%), 0.95%, 07/20/2060 (e) (aa) | GBP | 185 | 251 | |||||
Towd Point Mortgage Funding, (United Kingdom), Series 2019-A13A, Class A1, (SONIA Deposit Rates Swap 3 Month + 0.90%), 0.95%, 07/20/2045 (e) (aa) | GBP | 749 | 1,012 | |||||
|
| |||||||
Total Collateralized Mortgage Obligations (Cost $23,050) | 23,368 | |||||||
|
|
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Commercial Mortgage-Backed Securities 4.0% | ||||||||
AREIT Trust, | ||||||||
Series 2019-CRE3, Class A, (United States 30 Day Average SOFR + 1.13%), 1.18%, 09/14/2036 (e) (aa) | 432 | 432 | ||||||
Series 2021-CRE5, Class A, (ICE LIBOR USD 1 Month + 1.08%), 1.18%, 07/17/2026 (e) (w) (aa) (bb) | 700 | 700 | ||||||
BAMLL Commercial Mortgage Securities Trust, Series 2019-RLJ, Class A, (ICE LIBOR USD 1 Month + 1.05%), 1.13%, 04/15/2036 (e) (aa) | 400 | 399 | ||||||
BWAY Mortgage Trust, Series 2021-1450, Class A, (ICE LIBOR USD 1 Month + 1.25%), 1.33%, 09/15/2036 (e) (aa) | 500 | 500 | ||||||
BX Commercial Mortgage Trust, Series 2018-IND, Class A, (ICE LIBOR USD 1 Month + 0.75%), 0.83%, 11/15/2035 (e) (aa) | 660 | 660 | ||||||
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class ASB, 3.09%, 05/10/2058 | 1,117 | 1,171 | ||||||
Citigroup Commercial Mortgage Trust, | ||||||||
Series 2013-GC15, Class A4, 4.37%, 09/10/2046 (z) | 1,000 | 1,065 | ||||||
Series 2021-KEYS, Class A, (ICE LIBOR USD 1 Month + 1.18%), 1.28%, 10/15/2036 (e) (aa) | 900 | 900 | ||||||
COMM, Series 2013-GAM, Class A2, 3.37%, 02/10/2028 (e) | 1,299 | 1,294 | ||||||
COMM Mortgage Trust, | ||||||||
Series 2013-CR8, Class A5, 3.61%, 06/10/2046 (z) | 418 | 436 | ||||||
Series 2013-CR11, Class A4, 4.26%, 08/10/2050 | 750 | 797 | ||||||
Series 2013-CR12, Class A4, 4.05%, 10/10/2046 | 260 | 276 | ||||||
Series 2014-UBS2, Class ASB, 3.47%, 03/10/2047 | 960 | 992 | ||||||
Series 2014-UBS3, Class A4, 3.82%, 06/10/2047 | 1,600 | 1,714 | ||||||
Series 2015-CR23, Class A2, 2.85%, 05/10/2048 | 569 | 576 | ||||||
Series 2015-LC19, Class A2, 2.79%, 02/10/2048 | 430 | 431 | ||||||
Series 2015-LC19, Class ASB, 3.04%, 02/10/2048 | 399 | 413 | ||||||
GS Mortgage Securities Trust, | ||||||||
Series 2012-GCJ9, Class A3, 2.77%, 11/10/2045 | 971 | 987 | ||||||
Series 2013-GC16, Class A4, 4.27%, 11/10/2046 | 1,000 | 1,064 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2018-AON, Class A, 4.13%, 07/05/2031 (e) | 1,000 | 1,054 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
Series 2013-C10, Class ASB, 3.91%, 07/15/2046 (z) | 123 | 126 | ||||||
Series 2013-C11, Class AAB, 3.85%, 08/15/2046 | 407 | 419 | ||||||
Morgan Stanley Capital I Trust, | ||||||||
Series 2012-C4, Class AS, 3.77%, 03/15/2045 | 1,400 | 1,415 | ||||||
Series 2019-PLND, Class A, (ICE LIBOR USD 1 Month + 1.00%), 1.08%, 05/15/2036 (e) (aa) | 700 | 698 | ||||||
PFP Ltd., (Cayman Islands), Series 2019-5, Class A, (ICE LIBOR USD 1 Month + 0.97%), 1.05%, 04/14/2036 (e) (aa) | 382 | 382 | ||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||
Series 2012-LC5, Class ASB, 2.53%, 10/15/2045 | 356 | 358 | ||||||
Series 2013-LC12, Class A3FL, (ICE LIBOR USD 1 Month + 1.05%), 1.13%, 07/15/2046 (e) (aa) | 742 | 741 | ||||||
Series 2015-NXS2, Class A2, 3.02%, 07/15/2058 | 423 | 432 | ||||||
Series 2016-NXS5, Class A2, 2.71%, 01/15/2059 | 8 | 8 | ||||||
WFRBS Commercial Mortgage Trust, | ||||||||
Series 2012-C9, Class A3, 2.87%, 11/15/2045 | 1,617 | 1,642 | ||||||
Series 2013-C11, Class A5, 3.07%, 03/15/2045 | 891 | 910 | ||||||
Series 2013-C12, Class ASB, 2.84%, 03/15/2048 | 506 | 513 | ||||||
Series 2013-C18, Class A5, 4.16%, 12/15/2046 (z) | 1,250 | 1,337 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities (Cost $24,977) | 24,842 | |||||||
|
|
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds 54.0% | ||||||||
Basic Materials 1.4% | ||||||||
Chemicals 1.4% | ||||||||
DuPont de Nemours, Inc., | ||||||||
(ICE LIBOR USD 3 Month + 1.11%), 1.23%, 11/15/2023 (aa) | 1,500 | 1,529 | ||||||
4.21%, 11/15/2023 | 2,000 | 2,148 | ||||||
International Flavors & Fragrances, Inc., 0.70%, 09/15/2022 (e) | 2,400 | 2,407 | ||||||
LYB International Finance III LLC, (ICE LIBOR USD 3 Month + 1.00%), 1.13%, 10/01/2023 (aa) | 2,400 | 2,401 | ||||||
|
| |||||||
Total Basic Materials | 8,485 | |||||||
|
| |||||||
Communications 4.1% | ||||||||
Internet 0.1% | ||||||||
SK Broadband Co. Ltd., (South Korea), Reg. S, 3.88%, 08/13/2023 | 400 | 423 | ||||||
|
| |||||||
Media 1.5% | ||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital, | ||||||||
(ICE LIBOR USD 3 Month + 1.65%), 1.78%, 02/01/2024 (aa) | 3,800 | 3,908 | ||||||
4.46%, 07/23/2022 | 5,250 | 5,383 | ||||||
|
| |||||||
9,291 | ||||||||
|
| |||||||
Telecommunications 2.5% | ||||||||
AT&T, Inc., | ||||||||
(United States SOFR + 0.64%), 0.69%, 03/25/2024 (aa) | 3,750 | 3,757 | ||||||
Reg. S, (BBSW ASX Australian 3 Month + 1.25%), 1.26%, 09/19/2023 (aa) | AUD | 720 | 527 | |||||
(ICE LIBOR USD 3 Month + 1.18%), 1.29%, 06/12/2024 (aa) | 4,000 | 4,097 | ||||||
SK Telecom Co. Ltd., (South Korea), Reg. S, 3.75%, 04/16/2023 | 400 | 418 | ||||||
Verizon Communications, Inc., | ||||||||
(United States SOFR + 0.50%), 0.55%, 03/22/2024 (aa) | 5,000 | 5,044 | ||||||
(ICE LIBOR USD 3 Month + 1.10%), 1.22%, 05/15/2025 (aa) | 200 | 205 | ||||||
Reg. S, (BBSW ASX Australian 3 Month + 1.22%), 1.23%, 02/17/2023 (aa) | AUD | 1,800 | 1,313 | |||||
|
| |||||||
15,361 | ||||||||
|
| |||||||
Total Communications | 25,075 | |||||||
|
| |||||||
Consumer Cyclical 7.0% | ||||||||
Auto Manufacturers 6.7% | ||||||||
BMW Finance NV, (Netherlands), 2.25%, 08/12/2022 (e) | 1,100 | 1,119 | ||||||
BMW US Capital LLC, (United States SOFR + 0.38%), 0.43%, 08/12/2024 (e) (aa) | 2,130 | 2,141 | ||||||
Daimler Finance North America LLC, | ||||||||
Reg. S, (ICE LIBOR USD 3 Month + 0.67%), 0.79%, 11/05/2021 (aa) | 300 | 300 | ||||||
1.75%, 03/10/2023 (e) | 1,800 | 1,833 | ||||||
2.55%, 08/15/2022 (e) | 3,250 | 3,313 | ||||||
General Motors Financial Co., Inc., | ||||||||
(United States SOFR + 0.76%), 0.81%, 03/08/2024 (aa) | 1,000 | 1,009 | ||||||
1.05%, 03/08/2024 | 750 | 753 | ||||||
(ICE LIBOR USD 3 Month + 1.10%), 1.22%, 11/06/2021 (aa) | 730 | 731 | ||||||
3.45%, 04/10/2022 | 2,000 | 2,021 | ||||||
3.55%, 07/08/2022 | 4,750 | 4,863 | ||||||
4.15%, 06/19/2023 | 500 | 528 | ||||||
Hyundai Capital America, | ||||||||
0.80%, 04/03/2023 (e) | 2,790 | 2,791 | ||||||
1.00%, 09/17/2024 (e) | 725 | 723 | ||||||
Reg. S, 4.13%, 06/08/2023 | 300 | 316 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Auto Manufacturers continued | ||||||||
Nissan Motor Acceptance Co. LLC, | ||||||||
(ICE LIBOR USD 3 Month + 0.64%), 0.75%, 03/08/2024 (e) (aa) | 3,375 | 3,382 | ||||||
(ICE LIBOR USD 3 Month + 0.65%), 0.78%, 07/13/2022 (e) (aa) | 600 | 601 | ||||||
(ICE LIBOR USD 3 Month + 0.69%), 0.82%, 09/28/2022 (e) (aa) | 1,800 | 1,804 | ||||||
(ICE LIBOR USD 3 Month + 0.89%), 1.02%, 01/13/2022 (e) (aa) | 40 | 40 | ||||||
1.05%, 03/08/2024 (e) | 1,170 | 1,165 | ||||||
Stellantis NV, (Netherlands), 5.25%, 04/15/2023 | 2,000 | 2,133 | ||||||
Toyota Motor Credit Corp., 3.30%, 01/12/2022 | 1,100 | 1,110 | ||||||
Volkswagen Group of America Finance LLC, | ||||||||
0.75%, 11/23/2022 (e) | 6,000 | 6,017 | ||||||
2.70%, 09/26/2022 (e) | 200 | 205 | ||||||
2.90%, 05/13/2022 (e) | 1,250 | 1,270 | ||||||
4.25%, 11/13/2023 (e) | 1,000 | 1,072 | ||||||
|
| |||||||
41,240 | ||||||||
|
| |||||||
Retail 0.3% | ||||||||
7-Eleven, Inc., 0.63%, 02/10/2023 (e) | 1,700 | 1,700 | ||||||
|
| |||||||
Total Consumer Cyclical | 42,940 | |||||||
|
| |||||||
Consumer Non-cyclical 6.3% | ||||||||
Agriculture 1.3% | ||||||||
BAT Capital Corp., (ICE LIBOR USD 3 Month + 0.88%), 1.00%, 08/15/2022 (aa) | 3,200 | 3,217 | ||||||
Imperial Brands Finance plc, (United Kingdom), 3.75%, 07/21/2022 (e) | 2,800 | 2,855 | ||||||
JT International Financial Services BV, (Netherlands), Reg. S, 3.50%, 09/28/2023 | 1,700 | 1,800 | ||||||
|
| |||||||
7,872 | ||||||||
|
| |||||||
Biotechnology 0.3% | ||||||||
Gilead Sciences, Inc., 0.75%, 09/29/2023 | 2,000 | 2,000 | ||||||
|
| |||||||
Food 1.2% | ||||||||
General Mills, Inc., | ||||||||
(ICE LIBOR USD 3 Month + 1.01%), 1.14%, 10/17/2023 (aa) | 1,797 | 1,828 | ||||||
2.60%, 10/12/2022 | 915 | 935 | ||||||
6.41%, 10/15/2022 | 500 | 530 | ||||||
Kroger Co. (The), 2.80%, 08/01/2022 | 3,000 | 3,055 | ||||||
Tyson Foods, Inc., 4.50%, 06/15/2022 | 792 | 807 | ||||||
|
| |||||||
7,155 | ||||||||
|
| |||||||
Healthcare - Services 1.1% | ||||||||
Anthem, Inc., | ||||||||
2.95%, 12/01/2022 | 1,500 | 1,542 | ||||||
3.13%, 05/15/2022 | 4,149 | 4,220 | ||||||
Humana, Inc., 0.65%, 08/03/2023 | 1,200 | 1,201 | ||||||
|
| |||||||
6,963 | ||||||||
|
|
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Pharmaceuticals 2.4% | ||||||||
AbbVie, Inc., 2.90%, 11/06/2022 | 3,500 | 3,594 | ||||||
Bayer US Finance II LLC, | ||||||||
(ICE LIBOR USD 3 Month + 1.01%), 1.13%, 12/15/2023 (e) (aa) | 2,700 | 2,735 | ||||||
3.88%, 12/15/2023 (e) | 3,700 | 3,937 | ||||||
Becton Dickinson and Co., (ICE LIBOR USD 3 Month + 1.03%), 1.15%, 06/06/2022 (aa) | 945 | 951 | ||||||
CVS Health Corp., 3.50%, 07/20/2022 | 279 | 285 | ||||||
Shire Acquisitions Investments Ireland DAC, (Ireland), 2.88%, 09/23/2023 | 2,000 | 2,085 | ||||||
Takeda Pharmaceutical Co. Ltd., (Japan), 4.40%, 11/26/2023 | 1,000 | 1,078 | ||||||
|
| |||||||
14,665 | ||||||||
|
| |||||||
Total Consumer Non-cyclical | 38,655 | |||||||
|
| |||||||
Diversified 0.3% | ||||||||
Holding CompaniesDiversified 0.3% | ||||||||
Hutchison Whampoa International 12 II Ltd., (Cayman Islands), Reg. S, 3.25%, 11/08/2022 | 1,700 | 1,751 | ||||||
|
| |||||||
Energy 1.8% | ||||||||
Oil & Gas 1.2% | ||||||||
BG Energy Capital plc, (United Kingdom), 4.00%, 10/15/2021 (e) | 750 | 751 | ||||||
Diamondback Energy, Inc., 0.90%, 03/24/2023 | 900 | 900 | ||||||
Dolphin Energy Ltd. LLC, (United Arab Emirates), Reg. S, 5.50%, 12/15/2021 | 1,500 | 1,513 | ||||||
Phillips 66, 0.90%, 02/15/2024 | 1,800 | 1,800 | ||||||
Saudi Arabian Oil Co., (Saudi Arabia), Reg. S, 2.88%, 04/16/2024 | 1,500 | 1,563 | ||||||
Woodside Finance Ltd., (Australia), Reg. S, 3.70%, 09/15/2026 | 1,000 | 1,080 | ||||||
|
| |||||||
7,607 | ||||||||
|
| |||||||
Pipelines 0.6% | ||||||||
Enbridge, Inc., (Canada), | ||||||||
(United States SOFR + 0.40%), 0.45%, 02/17/2023 (aa) | 375 | 376 | ||||||
0.55%, 10/04/2023 (w) | 220 | 220 | ||||||
4.00%, 10/01/2023 | 1,750 | 1,853 | ||||||
Williams Cos., Inc. (The), 3.60%, 03/15/2022 | 1,500 | 1,514 | ||||||
|
| |||||||
3,963 | ||||||||
|
| |||||||
Total Energy | 11,570 | |||||||
|
| |||||||
Financial 25.9% | ||||||||
Banks 22.4% | ||||||||
Banco Santander Chile, (Chile), Reg. S, (ICE LIBOR USD 3 Month + 1.20%), 1.32%, 11/28/2021 (aa) | 3,000 | 3,003 | ||||||
Banco Santander SA, (Spain), | ||||||||
(CMT Index 1 Year + 0.45%), 0.70%, 06/30/2024 (aa) | 1,200 | 1,202 | ||||||
3.85%, 04/12/2023 | 3,400 | 3,571 | ||||||
Bank of America Corp., | ||||||||
(ICE LIBOR USD 3 Month + 0.96%), 1.10%, 07/23/2024 (aa) | 1,500 | 1,521 | ||||||
(Canada Bankers Acceptances 3 Month + 1.13%), 2.60%, 03/15/2023 (f) (aa) | CAD | 1,000 | 797 | |||||
(ICE LIBOR USD 3 Month + 0.79%), 3.00%, 12/20/2023 (aa) | 9,366 | 9,652 | ||||||
Barclays plc, (United Kingdom), | ||||||||
(ICE LIBOR USD 3 Month + 1.38%), 1.50%, 05/16/2024 (aa) | 4,400 | 4,476 | ||||||
Reg. S, (BBSW ASX Australian 3 Month + 1.80%), 1.81%, 06/15/2023 (aa) | AUD | 1,000 | 738 | |||||
(ICE LIBOR USD 3 Month + 1.40%), 4.61%, 02/15/2023 (aa) | 3,600 | 3,655 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Banks continued | ||||||||
BNP Paribas SA, (France), Reg. S, (BBSW ASX Australian 3 Month + 1.75%), 1.76%, 12/16/2022 (aa) | AUD | 500 | 368 | |||||
BPCE SA, (France), | ||||||||
(ICE LIBOR USD 3 Month + 1.22%), 1.35%, 05/22/2022 (e) (aa) | 1,000 | 1,007 | ||||||
(ICE LIBOR USD 3 Month + 1.24%), 1.35%, 09/12/2023 (e) (aa) | 1,000 | 1,019 | ||||||
3.00%, 05/22/2022 (e) | 1,000 | 1,017 | ||||||
Canadian Imperial Bank of Commerce, (Canada), 0.45%, 06/22/2023 | 2,200 | 2,200 | ||||||
CIT Group, Inc., 5.00%, 08/15/2022 | 200 | 207 | ||||||
Citigroup, Inc., | ||||||||
(ICE LIBOR USD 3 Month + 0.95%), 1.08%, 07/24/2023 (aa) | 700 | 704 | ||||||
(ICE LIBOR USD 3 Month + 1.07%), 1.18%, 12/08/2021 (aa) | 2,000 | 2,002 | ||||||
(United States SOFR + 1.67%), 1.68%, 05/15/2024 (aa) | 1,250 | 1,274 | ||||||
(BBSW ASX Australian 3 Month + 1.72%), 1.74%, 10/27/2023 (aa) | AUD | 1,000 | | 742 | ||||
(United States SOFR + 0.87%), 2.31%, 11/04/2022 (aa) | 700 | 701 | ||||||
(ICE LIBOR USD 3 Month + 0.72%), 3.14%, 01/24/2023 (aa) | 3,233 | 3,260 | ||||||
Citizens Bank NA, 3.25%, 02/14/2022 | 2,000 | 2,017 | ||||||
Credit Suisse AG, (Switzerland), 0.52%, 08/09/2023 | 4,200 | 4,204 | ||||||
Credit Suisse Group AG, (Switzerland), 3.57%, 01/09/2023 (e) | 1,700 | 1,714 | ||||||
3.80%, 06/09/2023 | 1,000 | 1,053 | ||||||
Credit Suisse Group Funding Guernsey Ltd., (Guernsey), 3.80%, 09/15/2022 | 2,340 | 2,417 | ||||||
Danske Bank A/S, (Denmark), Reg. S, (ICE LIBOR USD 3 Month + 1.06%), 1.17%, 09/12/2023 (aa) | 500 | 506 | ||||||
Deutsche Bank AG, (Germany), 3.95%, 02/27/2023 | 1,500 | 1,567 | ||||||
Federation des Caisses Desjardins du Quebec, (Canada), (United States SOFR + 0.43%), 0.48%, 05/21/2024 (e) (aa) | 1,900 | 1,904 | ||||||
First Abu Dhabi Bank PJSC, (United Arab Emirates), Reg. S, (ICE LIBOR USD 3 Month + 0.95%), 1.08%, 04/16/2022 (aa) | 1,700 | 1,704 | ||||||
Goldman Sachs Group, Inc. (The), | ||||||||
0.48%, 01/27/2023 | 800 | 800 | ||||||
0.52%, 03/08/2023 | 4,000 | 4,002 | ||||||
(United States SOFR + 0.50%), 0.55%, 09/10/2024 (aa) | 2,500 | 2,504 | ||||||
(ICE LIBOR USD 3 Month + 0.75%), 0.88%, 02/23/2023 (aa) | 1,000 | 1,008 | ||||||
3.20%, 02/23/2023 | 1,516 | 1,570 | ||||||
Hana Bank, (South Korea), (ICE LIBOR USD 3 Month + 0.70%), 0.83%, 10/02/2022 (e) (aa) | 400 | 401 | ||||||
HSBC Holdings plc, (United Kingdom), | ||||||||
(ICE LIBOR USD 3 Month + 1.00%), 1.12%, 05/18/2024 (aa) | 3,500 | 3,541 | ||||||
(ICE LIBOR USD 3 Month + 1.23%), 1.34%, 03/11/2025 (aa) | 1,000 | 1,020 | ||||||
3.60%, 05/25/2023 | 1,500 | 1,577 | ||||||
Lloyds Banking Group plc, (United Kingdom), (ICE LIBOR USD 3 Month + 1.25%), 2.86%, 03/17/2023 (aa) | 4,600 | 4,651 | ||||||
Mitsubishi UFJ Financial Group, Inc., (Japan), | ||||||||
(ICE LIBOR USD 3 Month + 0.86%), 0.99%, 07/26/2023 (aa) | 2,300 | 2,329 | ||||||
3.22%, 03/07/2022 | 3,000 | 3,038 | ||||||
Mizuho Financial Group, Inc., (Japan), | ||||||||
(ICE LIBOR USD 3 Month + 0.63%), 0.76%, 05/25/2024 (aa) | 5,000 | 5,032 | ||||||
(ICE LIBOR USD 3 Month + 0.94%), 1.06%, 02/28/2022 (aa) | 1,000 | 1,004 | ||||||
3.55%, 03/05/2023 | 2,500 | 2,610 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Banks continued | ||||||||
Morgan Stanley, | ||||||||
(United States SOFR + 0.46%), 0.53%, 01/25/2024 (aa) | 5,000 | 5,003 | ||||||
(Canada Bankers Acceptances 3 Month + 0.30%), 0.74%, 02/03/2023 (f) (aa) | CAD | 1,800 | 1,425 | |||||
(United States SOFR + 0.70%), 0.75%, 01/20/2023 (aa) | 900 | 902 | ||||||
3.75%, 02/25/2023 | 1,000 | 1,046 | ||||||
Natwest Group plc, (United Kingdom), | ||||||||
(ICE LIBOR USD 3 Month + 1.47%), 1.59%, 05/15/2023 (aa) | 400 | 403 | ||||||
(ICE LIBOR USD 3 Month + 1.55%), 1.68%, 06/25/2024 (aa) | 1,750 | 1,786 | ||||||
(ICE LIBOR USD 3 Month + 1.48%), 3.50%, 05/15/2023 (aa) | 1,000 | 1,018 | ||||||
3.88%, 09/12/2023 | 4,400 | 4,666 | ||||||
NatWest Markets plc, (United Kingdom), (United States SOFR + 1.66%), 1.71%, | 2,100 | 2,132 | ||||||
Nordea Bank Abp, (Finland), (ICE LIBOR USD 3 Month + 0.94%), 1.06%, 08/30/2023 (e) (aa) | 200 | 203 | ||||||
Oversea-Chinese Banking Corp. Ltd., (Singapore), (BBSW ASX Australian 3 Month + 0.26%), 0.27%, 08/12/2024 (aa) | AUD | 1,000 | 724 | |||||
QNB Finance Ltd., (Cayman Islands), Reg. S, (ICE LIBOR USD 3 Month + 1.00%), 1.13%, 05/02/2022 (aa) | 800 | 802 | ||||||
Royal Bank of Canada, (Canada), (United States SOFR + 0.30%), 0.35%, 01/19/2024 (aa) | 800 | 802 | ||||||
Santander UK Group Holdings plc, (United Kingdom), 3.57%, 01/10/2023 | 1,000 | 1,009 | ||||||
Shinhan Bank Co. Ltd., (South Korea), Reg. S, 2.88%, 03/28/2022 | 1,900 | 1,921 | ||||||
Standard Chartered plc, (United Kingdom), (ICE LIBOR USD 3 Month + 1.56%), 3.79%, 05/21/2025 (e) (aa) | 1,600 | 1,706 | ||||||
Sumitomo Mitsui Financial Group, Inc., (Japan), Reg. S, (BBSW ASX Australian 3 Month + 1.25%), 1.27%, 10/16/2024 (aa) | AUD | 2,300 | 1,700 | |||||
Synchrony Bank, 3.00%, 06/15/2022 | 300 | 305 | ||||||
UBS AG, (Switzerland), | ||||||||
(United States SOFR + 0.36%), 0.41%, 02/09/2024 (e) (aa) | 1,000 | 1,004 | ||||||
(United States SOFR + 0.45%), 0.50%, 08/09/2024 (e) (aa) | 1,615 | 1,625 | ||||||
Reg. S, (BBSW ASX Australian 3 Month + 0.87%), 0.89%, 07/30/2025 (aa) | AUD | 2,100 | 1,540 | |||||
UBS Group AG, (Switzerland), (ICE LIBOR USD 3 Month + 0.95%), 2.86%, | 3,500 | 3,574 | ||||||
UniCredit SpA, (Italy), 3.75%, 04/12/2022 (e) | 1,454 | 1,478 | ||||||
Wells Fargo & Co., | ||||||||
(United States SOFR + 1.60%), 1.65%, 06/02/2024 (aa) | 3,000 | 3,058 | ||||||
2.51%, 10/27/2023 (f) | CAD | 2,500 | 2,029 | |||||
Woori Bank, (South Korea), Reg. S, (ICE LIBOR USD 3 Month + 0.87%), 1.00%, | 300 | 302 | ||||||
|
| |||||||
137,452 | ||||||||
|
| |||||||
Diversified Financial Services 3.5% | ||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, (Ireland), | ||||||||
4.13%, 07/03/2023 | 2,600 | 2,735 | ||||||
4.45%, 12/16/2021 | 700 | 703 | ||||||
Air Lease Corp., (ICE LIBOR USD 3 Month + 0.35%), 0.47%, 12/15/2022 (aa) | 2,800 | 2,805 | ||||||
Ally Financial, Inc., 4.63%, 05/19/2022 | 500 | 513 |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Diversified Financial Services continued | ||||||||
Aviation Capital Group LLC, | ||||||||
2.88%, 01/20/2022 (e) | 1,400 | 1,407 | ||||||
3.88%, 05/01/2023 (e) | 2,500 | 2,609 | ||||||
Capital One Bank USA NA, (United States SOFR + 0.62%), 2.01%, 01/27/2023 (aa) | 1,500 | 1,507 | ||||||
Capital One Financial Corp., 2.60%, 05/11/2023 | 3,500 | 3,617 | ||||||
GE Capital Canada Funding Co., (Canada), 4.60%, 01/26/2022 | CAD | 600 | 480 | |||||
Mitsubishi HC Capital, Inc., (Japan), | ||||||||
2.65%, 09/19/2022 (e) | 800 | 814 | ||||||
3.96%, 09/19/2023 (e) | 550 | 583 | ||||||
Nomura Holdings, Inc., (Japan), 1.85%, 07/16/2025 | 1,900 | 1,928 | ||||||
Park Aerospace Holdings Ltd., (Cayman Islands), 5.25%, 08/15/2022 (e) | 1,300 | 1,347 | ||||||
Synchrony Financial, 2.85%, 07/25/2022 | 300 | 305 | ||||||
|
| |||||||
21,353 | ||||||||
|
| |||||||
Total Financial | 158,805 | |||||||
|
| |||||||
Government 0.1% | ||||||||
Sovereign 0.1% | ||||||||
KSA Sukuk Ltd., (Cayman Islands), Reg. S, 2.89%, 04/20/2022 | 800 | 810 | ||||||
|
| |||||||
Industrial 2.3% | ||||||||
Aerospace/Defense 0.4% | ||||||||
Boeing Co. (The), | ||||||||
1.43%, 02/04/2024 | 1,200 | 1,202 | ||||||
4.51%, 05/01/2023 | 1,000 | 1,057 | ||||||
|
| |||||||
2,259 | ||||||||
|
| |||||||
Building Materials 0.1% | ||||||||
Martin Marietta Materials, Inc., 0.65%, 07/15/2023 | 695 | 696 | ||||||
|
| |||||||
Machinery - Construction & Mining 0.2% | ||||||||
Komatsu Finance America, Inc., Reg. S, 0.85%, 09/09/2023 | 1,000 | 1,003 | ||||||
|
| |||||||
Machinery - Diversified 0.1% | ||||||||
Rockwell Automation, Inc., 0.35%, 08/15/2023 | 480 | 480 | ||||||
|
| |||||||
Packaging & Containers 0.3% | ||||||||
Berry Global, Inc., 0.95%, 02/15/2024 (e) | 1,800 | 1,802 | ||||||
|
| |||||||
Transportation 0.3% | ||||||||
Ryder System, Inc., 3.88%, 12/01/2023 | 2,000 | 2,135 | ||||||
|
| |||||||
Trucking & Leasing 0.9% | ||||||||
GATX Corp., (ICE LIBOR USD 3 Month + 0.72%), 0.84%, 11/05/2021 (aa) | 500 | 501 | ||||||
Penske Truck Leasing Co. Lp / PTL Finance Corp., | ||||||||
2.70%, 03/14/2023 (e) | 3,000 | 3,084 | ||||||
3.90%, 02/01/2024 (e) | 2,000 | 2,132 | ||||||
|
| |||||||
5,717 | ||||||||
|
| |||||||
Total Industrial | 14,092 | |||||||
|
|
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Technology 2.1% | ||||||||
Semiconductors 0.5% | ||||||||
NXP BV / NXP Funding LLC, (Multinational), | ||||||||
3.88%, 09/01/2022 (e) | 400 | 412 | ||||||
4.63%, 06/01/2023 (e) | 2,500 | 2,658 | ||||||
|
| |||||||
3,070 | ||||||||
|
| |||||||
Software 1.6% | ||||||||
Fidelity National Information Services, Inc., 0.38%, 03/01/2023 | 3,745 | 3,743 | ||||||
Fiserv, Inc., 3.80%, 10/01/2023 | 1,000 | 1,063 | ||||||
Oracle Corp., 2.40%, 09/15/2023 | 2,000 | 2,069 | ||||||
VMware, Inc., 0.60%, 08/15/2023 | 3,100 | 3,104 | ||||||
|
| |||||||
9,979 | ||||||||
|
| |||||||
Total Technology | 13,049 | |||||||
|
| |||||||
Utilities 2.7% | ||||||||
Electric 2.7% | ||||||||
Dominion Energy, Inc., Series D, (ICE LIBOR USD 3 Month + 0.53%), 0.65%, 09/15/2023 (aa) | 1,800 | 1,800 | ||||||
Duke Energy Corp., (ICE LIBOR USD 3 Month + 0.65%), 0.76%, 03/11/2022 (aa) | 2,000 | 2,005 | ||||||
Israel Electric Corp. Ltd., (Israel), Series 6, Reg. S, 5.00%, 11/12/2024 (e) | 300 | 333 | ||||||
Kansai Electric Power Co., Inc. (The), (Japan), Reg. S, 2.55%, 09/17/2024 | 440 | 458 | ||||||
NextEra Energy Capital Holdings, Inc., | ||||||||
(United States SOFR + 0.54%), 0.59%, 03/01/2023 (aa) | 710 | 713 | ||||||
0.65%, 03/01/2023 | 3,965 | 3,979 | ||||||
Pacific Gas and Electric Co., | ||||||||
(ICE LIBOR USD 3 Month + 1.48%), 1.60%, 06/16/2022 (aa) | 3,000 | 3,001 | ||||||
1.75%, 06/16/2022 | 600 | 599 | ||||||
3.25%, 06/15/2023 | 100 | 103 | ||||||
3.40%, 08/15/2024 | 100 | 104 | ||||||
3.75%, 02/15/2024 | 100 | 104 | ||||||
3.85%, 11/15/2023 | 100 | 104 | ||||||
4.25%, 08/01/2023 | 800 | 837 | ||||||
Southern California Edison Co., 0.70%, 04/03/2023 | 2,200 | 2,205 | ||||||
|
| |||||||
Total Utilities | 16,345 | |||||||
|
| |||||||
Total Corporate Bonds (Cost $331,027) | 331,577 | |||||||
|
| |||||||
Foreign Government Securities 2.1% | ||||||||
International Bank for Reconstruction & Development, (Supranational), 0.65%, | 3,100 | 3,053 | ||||||
Japan Treasury Discount Bill, (Japan), Series 952, Zero Coupon, 11/22/2021 | JPY | 800,000 | 7,189 | |||||
Korea Development Bank (The), (South Korea), Reg. S, (ICE LIBOR USD 3 Month + 0.80%), 0.93%, 10/30/2022 (aa) | 400 | 403 | ||||||
Korea National Oil Corp., (South Korea), Reg. S, (ICE LIBOR USD 3 Month + 0.88%), 1.00%, | 800 | 807 | ||||||
Saudi Government International Bond, (Saudi Arabia), Reg. S, 2.38%, 10/26/2021 | 1,200 | 1,201 | ||||||
|
| |||||||
Total Foreign Government Securities (Cost $12,857) | 12,653 | |||||||
|
|
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Municipal Bonds 0.6% (t) | ||||||||
Alaska 0.0% (g) | ||||||||
Alaska Municipal Bond Bank Authority, Taxable, Series 2, Rev., 0.34%, 12/01/2022 | 235 | 235 | ||||||
|
| |||||||
California 0.1% | ||||||||
Municipal Improvement Corp. of Los Angeles, Series A, Rev., 0.42%, 11/01/2023 | 590 | 589 | ||||||
|
| |||||||
Maryland 0.1% | ||||||||
State of Maryland Department of Transportation, Series A, Rev., 0.36%, 08/01/2023 | 450 | 450 | ||||||
|
| |||||||
North Carolina 0.1% | ||||||||
University of North Carolina at Charlotte (The), | ||||||||
Rev., 0.29%, 04/01/2022 | 175 | 175 | ||||||
Rev., 0.41%, 04/01/2023 | 350 | 351 | ||||||
|
| |||||||
526 | ||||||||
|
| |||||||
Pennsylvania 0.3% | ||||||||
Pennsylvania Economic Development Financing Authority, State System Higher | 315 | 315 | ||||||
Philadelphia Authority for Industrial Development, Rev., 0.94%, 04/15/2024 | 1,555 | 1,561 | ||||||
|
| |||||||
1,876 | ||||||||
|
| |||||||
Total Municipal Bonds (Cost $3,670) | 3,676 | |||||||
|
| |||||||
U.S. Government Agency Securities 1.1% | ||||||||
FHLBs, | ||||||||
0.96%, 03/05/2026 | 3,100 | 3,098 | ||||||
1.10%, 08/20/2026 | 1,800 | 1,797 | ||||||
1.11%, 07/27/2026 | 1,700 | 1,699 | ||||||
|
| |||||||
Total U.S. Government Agency Securities (Cost $6,600) | 6,594 | |||||||
|
| |||||||
U.S. Treasury Obligation 4.7% | ||||||||
U.S. Treasury Notes, 0.38%, 09/15/2024 (Cost $28,665) | 28,800 | 28,672 | ||||||
|
| |||||||
Short-Term Investments 18.1% | ||||||||
Certificates of Deposit 1.5% | ||||||||
Bank of Montreal, (Canada), (ICE LIBOR USD 3 Month + 0.04%), 0.18%, | 2,000 | 2,000 | ||||||
Bank of Nova Scotia (The), (Canada), 0.20%, 09/21/2022 (n) | 3,000 | 3,000 | ||||||
Barclays Bank plc, (United Kingdom), 0.24%, 04/08/2022 (n) | 2,000 | 2,001 | ||||||
0.27%, 03/03/2022 (n) | 2,000 | 2,001 | ||||||
|
| |||||||
Total Certificates of Deposit | 9,002 | |||||||
|
| |||||||
Corporate Bonds 0.4% | ||||||||
Pacific Gas and Electric Co., (ICE LIBOR USD 3 Month + 1.38%), 1.50%, 11/15/2021 (aa) | 900 | 900 | ||||||
Southern California Edison Co., Series F, (United States SOFR + 0.35%), | 1,500 | 1,501 | ||||||
|
| |||||||
Total Corporate Bonds | 2,401 | |||||||
|
|
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Short-Term Investments continued | ||||||||
Foreign Government Securities 6.0% | ||||||||
Alberta T-Bill, (Canada), Zero Coupon, 10/19/2021 | CAD | 5,000 | 3,947 | |||||
Japan Treasury Discount Bill, (Japan), | ||||||||
Series 1005, Zero Coupon, 10/04/2021 | JPY | 850,000 | 7,638 | |||||
Series 1010, Zero Coupon, 01/25/2022 | JPY | 1,500,000 | 13,483 | |||||
Reg. S, Series 1014, Zero Coupon, 11/08/2021 | JPY | 699,000 | 6,281 | |||||
Reg. S, Series 1026, Zero Coupon, 01/06/2022 | JPY | 170,000 | 1,528 | |||||
Ontario T-Bill, (Canada), Zero Coupon, 10/20/2021 | CAD | 5,000 | 3,947 | |||||
|
| |||||||
Total Foreign Government Securities | 36,824 | |||||||
|
| |||||||
Municipal Bonds 0.2% (t) | ||||||||
Alaska Municipal Bond Bank Authority, Taxable, Series 2, Rev., 0.24%, 12/01/2021 | 440 | 440 | ||||||
City of Philadelphia Water & Wastewater Revenue, Taxable, Series B, Rev., 0.25%, | 755 | 755 | ||||||
West Rankin Utility Authority, Taxable, Rev., AGM, 0.27%, 01/01/2022 | 135 | 135 | ||||||
|
| |||||||
Total Municipal Bonds | 1,330 | |||||||
|
| |||||||
Time Deposits 10.0% | ||||||||
BNP Paribas SA, (0.79%), 10/01/2021 | EUR | | (h) | | (h) | |||
Brown Brothers Harriman, | ||||||||
(0.23%), 10/01/2021 | AUD | 9 | 7 | |||||
0.01%, 10/01/2021 | CAD | 197 | 155 | |||||
Citibank NA, 0.01%, 10/01/2021 | GBP | 94 | 127 | |||||
Sumitomo Mitsui Banking Corp., 0.01%, 10/01/2021 | 61,206 | 61,206 | ||||||
|
| |||||||
Total Time Deposits | 61,495 | |||||||
|
| |||||||
Total Short-Term Investments (Cost $111,424) | 111,052 | |||||||
|
| |||||||
Total Investments 100.9% (Cost$619,221)* | 619,543 | |||||||
Liabilities in Excess of Other Assets (0.9)% | (5,779 | ) | ||||||
|
| |||||||
NET ASSETS 100.0% | $ | 613,764 | ||||||
|
|
Percentages indicated are based on net assets
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Futures contracts outstanding as of September 30, 2021:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
Canadian Bankers Acceptance | 108 | 12/2022 | CAD | 21,070 | (15 | ) | ||||||||||||||
Canadian Bankers Acceptance | 123 | 03/2023 | CAD | 24,114 | (186 | ) | ||||||||||||||
U.S. Treasury 10 Year Note | 5 | 12/2021 | USD | 658 | | (h) | ||||||||||||||
|
| |||||||||||||||||||
(201 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Short Contracts | ||||||||||||||||||||
U.S. Treasury 2 Year Note | (41 | ) | 12/2021 | USD | (9,021 | ) | (1 | ) | ||||||||||||
U.S. Treasury 5 Year Note | (204 | ) | 12/2021 | USD | (25,150 | ) | 111 | |||||||||||||
U.S. Ultra Treasury 10 Year Note | (24 | ) | 12/2021 | USD | (3,566 | ) | 79 | |||||||||||||
|
| |||||||||||||||||||
189 | ||||||||||||||||||||
|
| |||||||||||||||||||
Total unrealized appreciation (depreciation) | (12 | ) | ||||||||||||||||||
|
|
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Forward foreign currency exchange contracts outstanding as of September 30, 2021:
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||||||||||||||
USD | 6,331 | CAD | 7,981 | Bank of America, NA | 10/04/2021 | 30 | ||||||||||||
CAD | 4,697 | USD | 3,689 | Barclays Bank plc | 10/04/2021 | 19 | ||||||||||||
USD | 6,054 | GBP | 4,416 | Barclays Bank plc | 10/04/2021 | 103 | ||||||||||||
USD | 37 | GBP | 27 | Barclays Bank plc | 10/04/2021 | 1 | ||||||||||||
USD | 730 | GBP | 530 | Morgan Stanley & Co. | 10/04/2021 | 16 | ||||||||||||
USD | 7,744 | JPY | 850,000 | BNP Paribas | 10/04/2021 | 107 | ||||||||||||
USD | 2,923 | AUD | 4,028 | Bank of America, NA | 10/05/2021 | 11 | ||||||||||||
USD | 4,744 | AUD | 6,471 | Bank of America, NA | 10/05/2021 | 65 | ||||||||||||
USD | 3,974 | CAD | 4,998 | Citibank, NA | 10/20/2021 | 29 | ||||||||||||
USD | 2 | CAD | 2 | Citibank, NA | 10/20/2021 | | (h) | |||||||||||
USD | 3,950 | AUD | 5,446 | Bank of America, NA | 11/02/2021 | 12 | ||||||||||||
USD | 2,385 | CAD | 3,017 | Morgan Stanley & Co. | 11/02/2021 | 3 | ||||||||||||
USD | 6,725 | GBP | 4,973 | Bank of America, NA | 11/02/2021 | 24 | ||||||||||||
USD | 4,886 | JPY | 539,000 | Bank of America, NA | 11/08/2021 | 42 | ||||||||||||
USD | 1,457 | JPY | 160,000 | Bank of America, NA | 11/08/2021 | 19 | ||||||||||||
USD | 7,346 | JPY | 800,000 | Citibank NA | 11/22/2021 | 156 | ||||||||||||
USD | 598 | EUR | 507 | Citibank, NA | 12/15/2021 | 10 | ||||||||||||
USD | 694 | GBP | 501 | BNP Paribas | 12/15/2021 | 19 | ||||||||||||
USD | 1,542 | JPY | 170,000 | Morgan Stanley & Co. | 01/06/2022 | 13 | ||||||||||||
USD | 13,676 | JPY | 1,500,000 | Citibank, NA | 01/25/2022 | 181 | ||||||||||||
|
| |||||||||||||||||
Total unrealized appreciation | 860 | |||||||||||||||||
|
| |||||||||||||||||
CAD | 267 | USD | 212 | Morgan Stanley & Co. | 10/04/2021 | (1 | ) | |||||||||||
CAD | 3,017 | USD | 2,385 | Morgan Stanley & Co. | 10/04/2021 | (3 | ) | |||||||||||
GBP | 4,973 | USD | 6,724 | Bank of America, NA | 10/04/2021 | (24 | ) | |||||||||||
AUD | 5,446 | USD | 3,949 | Bank of America, NA | 10/05/2021 | (12 | ) | |||||||||||
USD | 3,942 | CAD | 5,000 | Citibank, NA | 10/19/2021 | (5 | ) | |||||||||||
USD | 3,689 | CAD | 4,697 | Barclays Bank plc | 11/02/2021 | (19 | ) | |||||||||||
|
| |||||||||||||||||
Total unrealized depreciation | (64 | ) | ||||||||||||||||
|
| |||||||||||||||||
Net unrealized appreciation (depreciation) | 796 | |||||||||||||||||
|
|
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Centrally Cleared Interest Rate Swap contracts outstanding as of September 30, 2021:
FLOATING RATE INDEX (a) | FIXED RATE | PAY/RECEIVE | MATURITY DATE | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) ($) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) | |||||||||||||||||
ICE LIBOR USD 1 Month | ICE LIBOR USD 3 Month | Pay | 01/13/2023 | USD | 9,600 | | (5 | ) | (5 | ) | ||||||||||||||
ICE LIBOR USD 1 Month | ICE LIBOR USD 3 Month | Pay | 01/13/2023 | USD | 12,500 | | (7 | ) | (7 | ) | ||||||||||||||
|
| |||||||||||||||||||||||
Total | | (12 | ) | (12 | ) | |||||||||||||||||||
|
| |||||||||||||||||||||||
(a) Value of floating rate index as of September 30, 2021 was as follows:
|
| |||||||||||||||||||||||
FLOATING RATE INDEX | ||||||||||||||||||||||||
ICE LIBOR USD 1 Month |
| 0.08 | % | |||||||||||||||||||||
ICE LIBOR USD 3 Month |
| 0.13 | % |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Centrally Cleared Credit Default Swaps contracts outstanding buy protection (1) as of September 30, 2021:
REFERENCE OBLIGATION/INDEX | FINANCING RATE PAID BY THE FUND(%) | PAYMENT FREQUENCY | MATURITY DATE | IMPLIED CREDIT SPREAD (%) (2) | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) ($) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) | ||||||||||||||||||||||||||||
CDX.NA.IG.35-V1 | 1.00 | % | Quarterly | 12/20/2025 | 0.42 | USD | 700 | (15 | ) | (2 | ) | (17 | ) | |||||||||||||||||||||||
CDX.NA.IG.36-V1 | 1.00 | % | Quarterly | 06/20/2026 | 0.48 | USD | 3,400 | (83 | ) | (h | ) | (83 | ) | |||||||||||||||||||||||
CDX.NA.IG.37-V1 | 1.00 | % | Quarterly | 12/20/2026 | 0.53 | USD | 8,600 | (215 | ) | 8 | (207 | ) | ||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||
Total | (313 | ) | 6 | (307 | ) | |||||||||||||||||||||||||||||||
|
|
(1) | The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay or receive an upfront premium to or from the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. |
(2) | Implied credit spreads are an indication of the sellers performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e. make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average spread across the underlying reference obligations included in a particular index. |
(3) | The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive, upon occurrence of a credit event. |
(4) | Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). |
Six Circles Ultra Short Duration Fund
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021
ASX | | Australian Stock Exchange | ||
AGM | | Insured by Assured Guaranty Municipal Corp. | ||
BBSW | | Bank Bill Swap Rate | ||
CDX | | Credit Default Swap Index | ||
CLO | | Collateralized Loan Obligations | ||
CMT | | Constant Maturity Treasury | ||
FHLB | | Federal Home Loan Bank | ||
FNMA | | Federal National Mortgage Association | ||
GNMA | | Government National Mortgage Association | ||
ICE | | Intercontinental Exchange | ||
LIBOR | | London Interbank Offered Rate | ||
Reg. S | | Security was purchased pursuant to Regulation S under the Securities Act of 1933, as amended (the Securities Act), which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act, or pursuant to an exemption from registration. | ||
REMICS | | Real Estate Mortgage Investment Conduit | ||
Rev. | | Revenue | ||
RMBS | | Residential Mortgage Backed Security | ||
SOFR | | Secured Overnight Financing Rate | ||
SONIA | | Sterling Overnight Interbank Average Rate | ||
SUB | | Step-Up Bond. The interest rate shown is the rate in effect as of September 30, 2021. | ||
(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. | ||
(f) | | Security is exempt from registration under Rule 144A or Section 4 (a) (2) of the Securities Act of 1933, as amended. | ||
(g) | | Amount rounds to less than 0.05%. | ||
(h) | | Amount rounds to less than 500 shares or principal/ $500. | ||
(n) | | The rate shown is the effective yield as of September 30, 2021. | ||
(t) | | The date shown represents the earliest of the next put date, next demand date or final maturity date. | ||
(w) | | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | ||
(z) | | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of September 30, 2021. | ||
(aa) | | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of September 30, 2021. | ||
(bb) | | Security has been valued using significant unobservable inputs. | ||
* | | The cost of securities is substantially the same for federal income tax purposes. | ||
AUD | | Australian Dollar | ||
CAD | | Canadian Dollar | ||
EUR | | Euro | ||
GBP | | British Pound | ||
JPY | | Japanese Yen | ||
USD | | United States Dollar |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Asset-Backed Securities 3.2% | ||||||||
BMW Canada Auto Trust, (Canada), Series 2020-1A, Class A1, 1.96%, 09/20/2022 (e) | CAD 122 | 97 | ||||||
Chesapeake Funding II LLC, Series 2019-1A, Class A1, 2.94%, 04/15/2031 (e) | 514 | 521 | ||||||
CIT Mortgage Loan Trust, Series 2007-1, Class 1A, (ICE LIBOR USD 1 Month + 1.35%), 1.44%, 10/25/2037 (e) (aa) | 334 | 337 | ||||||
DT Auto Owner Trust, Series 2020-3A, Class A, 0.54%, 04/15/2024 (e) | 899 | 900 | ||||||
FirstKey Homes Trust, Series 2020-SFR2, Class A, 1.27%, 10/19/2037 (e) | 897 | 894 | ||||||
Ford Auto Securitization Trust, (Canada), Series 2019-BA, Class A2, 2.32%, 10/15/2023 (e) | CAD 414 | 329 | ||||||
Ford Credit Floorplan Master Owner Trust A, | ||||||||
Series 2019-3, Class A2, (ICE LIBOR USD 1 Month + 0.60%), 0.68%, 09/15/2024 (aa) | 600 | 603 | ||||||
Series 2020-1, Class A1, 0.70%, 09/15/2025 | 1,700 | 1,708 | ||||||
GMF Canada Leasing Trust, (Canada), Series 2021-1A, Class A2, 0.64%, 03/20/2024 (e) | CAD 800 | 631 | ||||||
Home Equity Asset Trust, Series 2005-8, Class M1, (ICE LIBOR USD 1 Month + 0.65%), 0.73%, 02/25/2036 (aa) | 186 | 186 | ||||||
Legacy Mortgage Asset Trust, Series 2019-GS3, Class A1, SUB, 3.75%, 04/25/2059 (e) | 213 | 214 | ||||||
Master Credit Card Trust, (Canada), Series 2021-1A, Class A, 0.53%, 11/21/2025 (e) | 900 | 898 | ||||||
Nelnet Student Loan Trust, Series 2019-2A, Class A, (ICE LIBOR USD 1 Month + 0.90%), 0.99%, 06/27/2067 (e) (aa) | 1,298 | 1,319 | ||||||
Oscar US Funding XI LLC, (Japan), Series 2019-2A, Class A4, 2.68%, 09/10/2026 (e) | 350 | 362 | ||||||
Oscar US Funding XII LLC, (Japan), Series 2021-1A, Class A2, 0.40%, 03/11/2024 (e) | 1,503 | 1,500 | ||||||
Oscar US Funding XIII LLC, Series 2021-2A, Class A2, 0.39%, 08/12/2024 (e) | 900 | 899 | ||||||
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-WCW2, Class M2, (ICE LIBOR USD 1 Month + 0.80%), 0.88%, 07/25/2035 (aa) | 1,556 | 1,557 | ||||||
PRET LLC, Series 2021-NPL3, Class A1, SUB, 1.87%, 07/25/2051 (e) | 887 | 886 | ||||||
SLM Student Loan Trust, Series 2004-10, Class A7B, (ICE LIBOR USD 3 Month + 0.60%), 0.73%, 10/25/2029 (e) (aa) | 1,578 | 1,580 | ||||||
SMB Private Education Loan Trust, | ||||||||
Series 2015-B, Class A2A, 2.98%, 07/15/2027 (e) | 303 | 305 | ||||||
Series 2016-C, Class A2A, 2.34%, 09/15/2034 (e) | 743 | 756 | ||||||
Series 2020-PTA, Class A2A, 1.60%, 09/15/2054 (e) | 778 | 786 | ||||||
SoFi Consumer Loan Program Trust, Series 2019-3, Class A, 2.90%, 05/25/2028 (e) | 24 | 24 | ||||||
SoFi Professional Loan Program Trust, Series 2020-A, Class A1FX, 2.06%, 05/15/2046 (e) | 137 | 138 | ||||||
Towd Point Asset Trust, Series 2021-SL1, Class A2, (ICE LIBOR USD 1 Month + 0.70%), 0.00%, 11/20/2061 (e) (aa) | 286 | 286 | ||||||
Towd Point Mortgage Trust, Series 2019-HY2, Class A1, (ICE LIBOR USD 1 Month + 1.00%), 1.09%, 05/25/2058 (e) (aa) | 488 | 492 | ||||||
Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.35%, 05/25/2033 (e) | 1,800 | 1,824 | ||||||
World Omni Select Auto Trust, Series 2020-A, Class A2, 0.47%, 06/17/2024 | 241 | 241 | ||||||
|
| |||||||
Total Asset-Backed Securities (Cost $20,085) | 20,273 | |||||||
|
|
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Collateralized Mortgage Obligations 3.9% | ||||||||
Brass NO 8 plc, (United Kingdom), Series 8A, Class A1, (ICE LIBOR USD 3 Month + 0.70%), 0.82%, 11/16/2066 (e) (aa) | 114 | 115 | ||||||
Canterbury Finance NO 1 plc, (United Kingdom), Series 1, Class A2, Reg. S, (SONIA Deposit Rates Swap 3 Month + 1.35%), 1.40%, 05/16/2056 (aa) | GBP 968 | 1,318 | ||||||
Cheshire plc, (United Kingdom), Series 2020-1, Class A, Reg. S, (SONIA Deposit Rates Swap 3 Month + 0.90%), 0.95%, 08/20/2045 (aa) | GBP 607 | 823 | ||||||
COLT Mortgage Loan Trust, Series 2020-1R, Class A1, 1.26%, 09/25/2065 (e) (z) | 225 | 226 | ||||||
CSMC Trust, Series 2021-RPL4, Class A1, 1.80%, 12/27/2060 (e) (z) | 379 | 381 | ||||||
Finsbury Square plc, (United Kingdom), | ||||||||
Series 2018-2, Class A, Reg. S, (ICE LIBOR GBP 3 Month + 0.95%), 1.02%, 09/12/2068 (aa) | GBP 561 | 757 | ||||||
Series 2019-3, Class A, Reg. S, (SONIA Deposit Rates Swap 3 Month + 1.01%), 1.06%, 12/16/2069 (aa) | GBP 308 | 418 | ||||||
Series 2020-2A, Class A, (SONIA Deposit Rates Swap 3 Month + 1.30%), 1.35%, 06/16/2070 (e) (aa) | GBP 417 | 568 | ||||||
FNMA REMICS, Series 2020-29, Class FC, (ICE LIBOR USD 1 Month + 0.80%), 0.90%, 05/25/2050 (aa) | 2,458 | 2,479 | ||||||
GCAT LLC, Series 2020-3, Class A1, SUB, 2.98%, 09/25/2025 (e) | 958 | 967 | ||||||
GNMA, | ||||||||
Series 2015-H04, Class FA, (ICE LIBOR USD 1 Month + 0.65%), 0.74%, 12/20/2064 (aa) | 1,501 | 1,513 | ||||||
Series 2017-121, Class PE, 3.00%, 07/20/2046 | 510 | 520 | ||||||
Series 2018-H18, Class FC, (ICE LIBOR USD 1 Month + 0.35%), 0.44%, 08/20/2065 (aa) | 2,096 | 2,097 | ||||||
Series 2019-54, Class KF, (ICE LIBOR USD 1 Month + 0.42%), 0.51%, 05/20/2044 (aa) | 675 | 676 | ||||||
Series 2021-H09, Class FG, (United States 30 Day Average SOFR + 1.50%), 1.55%, 06/20/2071 (aa) | 1,701 | 1,837 | ||||||
GS Mortgage-Backed Securities Corp. Trust, Series 2021-RPL1, Class A1, 1.75%, 12/25/2060 (e) (z) | 350 | 355 | ||||||
GS Mortgage-Backed Securities Trust, Series 2021-GR2, Class A9, (United States 30 Day Average SOFR + 0.85%), 0.90%, 02/25/2052 (e) (aa) | 1,092 | 1,095 | ||||||
Legacy Mortgage Asset Trust, Series 2021-GS3, Class A1, SUB, 1.75%, 07/25/2061 (e) | 1,528 | 1,529 | ||||||
London Wall Mortgage Capital plc, (United Kingdom), Series 2017-FL1, Class A, Reg. S, (ICE LIBOR GBP 3 Month + 0.85%), 0.92%, 11/15/2049 (aa) | GBP 59 | 79 | ||||||
MFA Trust, Series 2021-RPL1, Class A1, 1.13%, 07/25/2060 (e) (z) | 625 | 622 | ||||||
New Residential Mortgage Loan Trust, | ||||||||
Series 2018-3A, Class A1, 4.50%, 05/25/2058 (e) (z) | 159 | 172 | ||||||
Series 2021-NQ2R, Class A1, 0.94%, 10/25/2058 (e) (z) | 1,242 | 1,243 | ||||||
Polaris RMBS, (United Kingdom), Series 2019-1, Class A, Reg. S, (SONIA Deposit Rates Swap 1 Month + 1.25%), 1.30%, 04/27/2057 (aa) | GBP 491 | 664 | ||||||
Pretium Mortgage Credit Partners LLC, Series 2021-RN1, Class A1, SUB, 1.99%, 02/25/2061 (e) | 379 | 378 | ||||||
Ripon Mortgages plc, (United Kingdom), Series 1X, Class A1, Reg. S, (ICE LIBOR GBP 3 Month + 0.80%), 0.87%, 08/20/2056 (aa) | GBP 233 | 315 | ||||||
Sage AR Funding No 1 plc, (United Kingdom), Series 1A, Class A, (SONIA Interest Rate Benchmark + 1.25%), 1.30%, 11/17/2030 (e) (aa) | GBP 800 | 1,082 | ||||||
Silverstone Master Issuer plc, (United Kingdom), Series 2019-1A, Class 1A, (ICE LIBOR USD 3 Month + 0.57%), 0.70%, 01/21/2070 (e) (aa) | 110 | 110 | ||||||
Starwood Mortgage Residential Trust, | ||||||||
Series 2020-3, Class A1, 1.49%, 04/25/2065 (e) (z) | 627 | 630 | ||||||
Series 2021-2, Class A1, 0.94%, 05/25/2065 (e) (z) | 674 | 674 | ||||||
Stratton Mortgage Funding, (United Kingdom), Series 2021-2A, Class A, (SONIA Deposit Rates Swap 3 Month + 0.90%), 0.95%, 07/20/2060 (e) (aa) | GBP 185 | 251 | ||||||
Towd Point Mortgage Funding, (United Kingdom), Series 2019-A13A, Class A1, (SONIA Deposit Rates Swap 3 Month + 0.90%), 0.95%, 07/20/2045 (e) (aa) | GBP 749 | 1,012 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations (Cost $24,541) | 24,906 | |||||||
|
|
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Commercial Mortgage-Backed Securities 1.3% | ||||||||
AREIT Trust, | ||||||||
Series 2019-CRE3, Class A, (United States 30 Day Average SOFR + 1.13%), 1.18%, 09/14/2036 (e) (aa) | 432 | 432 | ||||||
Series 2021-CRE5, Class A, (ICE LIBOR USD 1 Month + 1.08%), 1.18%, 07/17/2026 (e) (w) (aa) (bb) | 600 | 600 | ||||||
AREIT Trust, (Cayman Islands), Series 2020-CRE4, Class A, (United States 30 Day Average SOFR + 2.73%), 2.78%, 04/15/2037 (e) (aa) | 611 | 614 | ||||||
BAMLL Commercial Mortgage Securities Trust, Series 2019-RLJ, Class A, (ICE LIBOR USD 1 Month + 1.05%), 1.13%, 04/15/2036 (e) (aa) | 400 | 399 | ||||||
BWAY Mortgage Trust, Series 2021-1450, Class A, (ICE LIBOR USD 1 Month + 1.25%), 1.33%, 09/15/2036 (e) (aa) | 500 | 500 | ||||||
BX Commercial Mortgage Trust, Series 2018-IND, Class A, (ICE LIBOR USD 1 Month + 0.75%), 0.83%, 11/15/2035 (e) (aa) | 718 | 718 | ||||||
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class ASB, 3.09%, 05/10/2058 | 931 | 976 | ||||||
Citigroup Commercial Mortgage Trust, Series 2021-KEYS, Class A, (ICE LIBOR USD 1 Month + 1.18%), 1.28%, 10/15/2036 (e) (aa) | 900 | 900 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class AAB, 3.85%, 08/15/2046 | 407 | 419 | ||||||
Morgan Stanley Capital I Trust, Series 2019-PLND, Class A, (ICE LIBOR USD 1 Month + 1.00%), 1.08%, 05/15/2036 (e) (aa) | 700 | 698 | ||||||
PFP Ltd., (Cayman Islands), Series 2019-5, Class A, (ICE LIBOR USD 1 Month + 0.97%), 1.05%, 04/14/2036 (e) (aa) | 382 | 382 | ||||||
VMC Finance LLC, Series 2021-FL4, Class A, (ICE LIBOR USD 1 Month + 1.10%), 1.19%, 06/16/2036 (e) (aa) | 563 | 564 | ||||||
WFRBS Commercial Mortgage Trust, Series 2013-C11, Class A5, 3.07%, 03/15/2045 | 891 | 910 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities (Cost $8,121) | 8,112 | |||||||
|
| |||||||
Corporate Bonds 15.1% | ||||||||
Communications 0.6% | ||||||||
Internet 0.0% (g) | ||||||||
SK Broadband Co. Ltd., (South Korea), Reg. S, 3.88%, 08/13/2023 | 200 | 211 | ||||||
|
| |||||||
Media 0.3% | ||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital, (ICE LIBOR USD 3 Month + 1.65%), 1.78%, 02/01/2024 (aa) | 1,700 | 1,748 | ||||||
|
| |||||||
Telecommunications 0.3% | ||||||||
AT&T, Inc., Reg. S, (BBSW ASX Australian 3 Month + 1.25%), 1.26%, 09/19/2023 (aa) | AUD 800 | 585 | ||||||
Verizon Communications, Inc., | ||||||||
(ICE LIBOR USD 3 Month + 1.10%), 1.22%, 05/15/2025 (aa) | 200 | 206 | ||||||
Reg. S, (BBSW ASX Australian 3 Month + 1.22%), 1.23%, 02/17/2023 (aa) | AUD 1,400 | 1,021 | ||||||
|
| |||||||
1,812 | ||||||||
|
| |||||||
Total Communications | 3,771 | |||||||
|
| |||||||
Consumer Cyclical 1.2% | ||||||||
Auto Manufacturers 0.9% | ||||||||
General Motors Financial Co., Inc., 3.45%, 04/10/2022 | 1,500 | 1,516 | ||||||
Hyundai Capital America, | ||||||||
0.80%, 04/03/2023 (e) | 1,200 | 1,201 | ||||||
3.00%, 06/20/2022 (e) | 174 | 177 | ||||||
Reg. S, 4.13%, 06/08/2023 | 300 | 316 |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Auto Manufacturers continued | ||||||||
Nissan Motor Acceptance Co. LLC, | ||||||||
(ICE LIBOR USD 3 Month + 0.65%), 0.78%, 07/13/2022 (e) (aa) | 700 | 701 | ||||||
(ICE LIBOR USD 3 Month + 0.69%), 0.82%, 09/28/2022 (e) (aa) | 1,620 | 1,623 | ||||||
|
| |||||||
5,534 | ||||||||
|
| |||||||
Retail 0.3% | ||||||||
7-Eleven, Inc., 0.63%, 02/10/2023 (e) | 1,800 | 1,800 | ||||||
McDonalds Corp., Reg. S, (BBSW ASX Australian 3 Month + 1.13%), 1.14%, 03/08/2024 (aa) | AUD 600 | 439 | ||||||
|
| |||||||
2,239 | ||||||||
|
| |||||||
Total Consumer Cyclical | 7,773 | |||||||
|
| |||||||
Consumer Non-cyclical 1.7% | ||||||||
Agriculture 1.0% | ||||||||
BAT Capital Corp., (ICE LIBOR USD 3 Month + 0.88%), 1.00%, 08/15/2022 (aa) | 3,500 | 3,519 | ||||||
Imperial Brands Finance plc, (United Kingdom), 3.75%, 07/21/2022 (e) | 3,100 | 3,161 | ||||||
|
| |||||||
6,680 | ||||||||
|
| |||||||
Food 0.1% | ||||||||
General Mills, Inc., 6.41%, 10/15/2022 | 600 | 636 | ||||||
|
| |||||||
Pharmaceuticals 0.6% | ||||||||
Bayer US Finance II LLC, (ICE LIBOR USD 3 Month + 1.01%), 1.13%, 12/15/2023 (e) (aa) | 3,500 | 3,546 | ||||||
|
| |||||||
Total Consumer Non-cyclical | 10,862 | |||||||
|
| |||||||
Diversified 0.3% | ||||||||
Holding CompaniesDiversified 0.3% | ||||||||
Hutchison Whampoa International 12 II Ltd., (Cayman Islands), Reg. S, 3.25%, 11/08/2022 | 1,825 | 1,879 | ||||||
|
| |||||||
Energy 0.9% | ||||||||
Oil & Gas 0.9% | ||||||||
BG Energy Capital plc, (United Kingdom), 4.00%, 10/15/2021 (e) | 1,045 | 1,046 | ||||||
Dolphin Energy Ltd. LLC, (United Arab Emirates), Reg. S, 5.50%, 12/15/2021 | 1,600 | 1,614 | ||||||
Saudi Arabian Oil Co., (Saudi Arabia), Reg. S, 2.88%, 04/16/2024 | 1,600 | 1,667 | ||||||
Woodside Finance Ltd., (Australia), Reg. S, 3.70%, 09/15/2026 | 1,000 | 1,080 | ||||||
|
| |||||||
Total Energy | 5,407 | |||||||
|
| |||||||
Financial 8.3% | ||||||||
Banks 6.2% | ||||||||
Banco Santander Chile, (Chile), Reg. S, (ICE LIBOR USD 3 Month + 1.20%), 1.32%, 11/28/2021 (aa) | 3,200 | 3,203 | ||||||
Bank of America Corp., (Canada Bankers Acceptances 3 Month + 1.13%), 2.60%, 03/15/2023 (f) (aa) | CAD 1,200 | 956 | ||||||
Barclays plc, (United Kingdom), | ||||||||
(ICE LIBOR USD 3 Month + 1.38%), 1.50%, 05/16/2024 (aa) | 1,000 | 1,017 | ||||||
Reg. S, (BBSW ASX Australian 3 Month + 1.80%), 1.81%, 06/15/2023 (aa) | AUD 750 | 554 | ||||||
BNP Paribas SA, (France), Reg. S, (BBSW ASX Australian 3 Month + 1.75%), 1.76%, 12/16/2022 (aa) | AUD 700 | 514 | ||||||
CIT Group, Inc., 5.00%, 08/15/2022 | 500 | 517 | ||||||
Citigroup, Inc., | ||||||||
(ICE LIBOR USD 3 Month + 0.95%), 1.08%, 07/24/2023 (aa) | 850 | 855 | ||||||
(BBSW ASX Australian 3 Month + 1.72%), 1.74%, 10/27/2023 (aa) | AUD 1,000 | 742 |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Financial continued | ||||||||
Banks continued | ||||||||
Credit Suisse Group AG, (Switzerland), 3.57%, 01/09/2023 (e) | 1,800 | 1,815 | ||||||
Danske Bank A/S, (Denmark), Reg. S, (ICE LIBOR USD 3 Month + 1.06%), 1.17%, 09/12/2023 (aa) | 600 | 607 | ||||||
First Abu Dhabi Bank PJSC, (United Arab Emirates), Reg. S, (ICE LIBOR USD 3 Month + 0.95%), 1.08%, 04/16/2022 (aa) | 1,800 | 1,804 | ||||||
Goldman Sachs Group, Inc. (The), 0.48%, 01/27/2023 | 1,700 | 1,700 | ||||||
(ICE LIBOR USD 3 Month + 0.75%), 0.88%, 02/23/2023 (aa) | 200 | 202 | ||||||
Hana Bank, (South Korea), (ICE LIBOR USD 3 Month + 0.70%), 0.83%, 10/02/2022 (e) (aa) | 500 | 502 | ||||||
HSBC Holdings plc, (United Kingdom), | ||||||||
(ICE LIBOR USD 3 Month + 1.00%), 1.12%, 05/18/2024 (aa) | 800 | 809 | ||||||
(ICE LIBOR USD 3 Month + 1.23%), 1.34%, 03/11/2025 (aa) | 1,000 | 1,020 | ||||||
Mitsubishi UFJ Financial Group, Inc., (Japan), (ICE LIBOR USD 3 Month + 0.86%), 0.99%, 07/26/2023 (aa) | 2,500 | 2,531 | ||||||
Mizuho Financial Group, Inc., (Japan), (ICE LIBOR USD 3 Month + 0.63%), 0.76%, 05/25/2024 (aa) | 3,400 | 3,422 | ||||||
Morgan Stanley, | ||||||||
(Canada Bankers Acceptances 3 Month + 0.30%), 0.74%, 02/03/2023 (f) (aa) | CAD 2,000 | 1,584 | ||||||
(United States SOFR + 0.70%), 0.75%, 01/20/2023 (aa) | 1,594 | 1,597 | ||||||
Natwest Group plc, (United Kingdom), | ||||||||
(ICE LIBOR USD 3 Month + 1.47%), 1.59%, 05/15/2023 (aa) | 700 | 706 | ||||||
(ICE LIBOR USD 3 Month + 1.55%), 1.68%, 06/25/2024 (aa) | 700 | 714 | ||||||
NatWest Markets plc, (United Kingdom), (United States SOFR + 1.66%), 1.71%, 09/29/2022 (e) (aa) | 2,360 | 2,396 | ||||||
Nordea Bank Abp, (Finland), (ICE LIBOR USD 3 Month + 0.94%), 1.06%, 08/30/2023 (e) (aa) | 200 | 203 | ||||||
Oversea-Chinese Banking Corp. Ltd., (Singapore), (BBSW ASX Australian 3 Month + 0.26%), 0.27%, 08/12/2024 (aa) | AUD 1,000 | 724 | ||||||
QNB Finance Ltd., (Cayman Islands), Reg. S, (ICE LIBOR USD 3 Month + 1.00%), 1.13%, 05/02/2022 (aa) | 1,100 | 1,103 | ||||||
Royal Bank of Canada, (Canada), (United States SOFR + 0.30%), 0.35%, 01/19/2024 (aa) | 400 | 401 | ||||||
Shinhan Bank Co. Ltd., (South Korea), Reg. S, 2.88%, 03/28/2022 | 2,100 | 2,123 | ||||||
Standard Chartered plc, (United Kingdom), (ICE LIBOR USD 3 Month + 1.56%), 3.79%, 05/21/2025 (e) (aa) | 1,700 | 1,812 | ||||||
Sumitomo Mitsui Financial Group, Inc., (Japan), Reg. S, (BBSW ASX Australian 3 Month + 1.25%), 1.27%, 10/16/2024 (aa) | AUD 2,400 | 1,774 | ||||||
UBS AG, (Switzerland), Reg. S, (BBSW ASX Australian 3 Month + 0.87%), 0.89%, 07/30/2025 (aa) | AUD 2,200 | 1,613 | ||||||
|
| |||||||
39,520 | ||||||||
|
|
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Diversified Financial Services 2.1% | ||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, (Ireland), 4.45%, 12/16/2021 | 700 | 703 | ||||||
Ally Financial, Inc., 4.63%, 05/19/2022 | 200 | 205 | ||||||
American Express Co., 2.75%, 05/20/2022 | 3,700 | 3,751 | ||||||
Aviation Capital Group LLC, 2.88%, 01/20/2022 (e) | 1,600 | 1,608 | ||||||
GE Capital Canada Funding Co., (Canada), 4.60%, 01/26/2022 | CAD 800 | 640 | ||||||
Mitsubishi HC Capital, Inc., (Japan), 2.65%, 09/19/2022 (e) | 1,700 | 1,731 | ||||||
Nomura Holdings, Inc., (Japan), 1.85%, 07/16/2025 | 2,300 | 2,333 | ||||||
ORIX Corp., (Japan), 2.90%, 07/18/2022 | 688 | 702 | ||||||
Park Aerospace Holdings Ltd., (Cayman Islands), 5.25%, 08/15/2022 (e) | 1,100 | 1,140 | ||||||
Synchrony Financial, 2.85%, 07/25/2022 | 600 | 611 | ||||||
|
| |||||||
13,424 | ||||||||
|
| |||||||
Total Financial | 52,944 | |||||||
|
| |||||||
Government 0.1% | ||||||||
Sovereign 0.1% | ||||||||
KSA Sukuk Ltd., (Cayman Islands), Reg. S, 2.89%, 04/20/2022 | 800 | 810 | ||||||
|
| |||||||
Industrial 0.8% | ||||||||
Aerospace/Defense 0.4% | ||||||||
Boeing Co. (The), | ||||||||
1.43%, 02/04/2024 | 1,000 | 1,002 | ||||||
4.51%, 05/01/2023 | 1,400 | 1,479 | ||||||
|
| |||||||
2,481 | ||||||||
|
| |||||||
Machinery - Construction & Mining 0.1% | ||||||||
Komatsu Finance America, Inc., Reg. S, 0.85%, 09/09/2023 | 1,000 | 1,003 | ||||||
|
| |||||||
Packaging & Containers 0.2% | ||||||||
Berry Global, Inc., 0.95%, 02/15/2024 (e) | 1,200 | 1,201 | ||||||
|
| |||||||
Trucking & Leasing 0.1% | ||||||||
GATX Corp., (ICE LIBOR USD 3 Month + 0.72%), 0.84%, 11/05/2021 (aa) | 500 | 500 | ||||||
|
| |||||||
Total Industrial | 5,185 | |||||||
|
| |||||||
Technology 0.1% | ||||||||
Semiconductors 0.1% | ||||||||
NXP BV / NXP Funding LLC, (Multinational), 3.88%, 09/01/2022 (e) | 400 | 412 | ||||||
|
| |||||||
Utilities 1.1% | ||||||||
Electric 1.1% | ||||||||
American Electric Power Co., Inc., Series A, (ICE LIBOR USD 3 Month + 0.48%), 0.61%, 11/01/2023 (aa) | 1,300 | 1,301 | ||||||
Dominion Energy, Inc., Series D, (ICE LIBOR USD 3 Month + 0.53%), 0.65%, 09/15/2023 (aa) | 800 | 800 | ||||||
Israel Electric Corp. Ltd., (Israel), Series 6, Reg. S, 5.00%, 11/12/2024 (e) | 300 | 333 | ||||||
Kansai Electric Power Co., Inc. (The), (Japan), Reg. S, 2.55%, 09/17/2024 | 500 | 520 | ||||||
Pacific Gas and Electric Co., | ||||||||
1.75%, 06/16/2022 | 600 | 599 | ||||||
3.25%, 06/15/2023 | 200 | 206 |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Electric continued | ||||||||
3.75%, 02/15/2024 | 100 | 104 | ||||||
3.85%, 11/15/2023 | 400 | 417 | ||||||
4.25%, 08/01/2023 | 800 | 837 | ||||||
Southern California Edison Co., (United States SOFR + 0.64%), 0.69%, 04/03/2023 (aa) | 1,700 | 1,704 | ||||||
|
| |||||||
Total Utilities | 6,821 | |||||||
|
| |||||||
Total Corporate Bonds (Cost $95,619) | 95,864 | |||||||
|
| |||||||
Foreign Government Securities 1.0% | ||||||||
Export-Import Bank of Korea, (South Korea), (ICE LIBOR USD 3 Month + 0.53%), 0.66%, 06/25/2022 (aa) | 1,000 | 1,003 | ||||||
International Bank for Reconstruction & Development, (Supranational), 0.65%, 02/10/2026 | 3,400 | 3,348 | ||||||
Korea Development Bank (The), (South Korea), Reg. S, (ICE LIBOR USD 3 Month + 0.80%), 0.93%, 10/30/2022 (aa) | 500 | 503 | ||||||
Korea National Oil Corp., (South Korea), Reg. S, (ICE LIBOR USD 3 Month + 0.88%), 1.00%, 07/16/2023 (aa) | 500 | 505 | ||||||
Saudi Government International Bond, (Saudi Arabia), Reg. S, 2.38%, 10/26/2021 | 1,300 | 1,301 | ||||||
|
| |||||||
Total Foreign Government Securities (Cost $6,709) | 6,660 | |||||||
|
| |||||||
Municipal Bonds 69.0% (t) | ||||||||
Alabama 0.1% | ||||||||
Lower Alabama Gas District, Series A, Rev., 4.00%, 12/01/2022 | 550 | 573 | ||||||
|
| |||||||
Alaska 0.4% | ||||||||
Alaska Housing Finance Corp., Series B, Rev., VRDO, 0.05%, 10/07/2021 (z) | 2,400 | 2,400 | ||||||
|
| |||||||
Arizona 1.0% | ||||||||
Arizona State University, Series A, Rev., VRDO, 0.04%, 10/07/2021 (z) | 4,200 | 4,200 | ||||||
Maricopa County Unified School District, GO, 5.00%, 07/01/2022 | 1,310 | 1,357 | ||||||
Maricopa County, Union High School District No. 210, School Improvement Project 2011 and 2017, GO, 5.00%, 07/01/2022 | 1,000 | 1,036 | ||||||
|
| |||||||
6,593 | ||||||||
|
| |||||||
California 3.7% | ||||||||
Burbank-Glendale-Pasadena Airport Authority Brick Campaign, Series B, Rev., AMT, 5.00%, 07/01/2022 | 1,430 | 1,480 | ||||||
California Statewide Communities Development Authority, Washington Court Apartments, Rev., HUD, 0.22%, 08/01/2023 (z) | 2,250 | 2,248 | ||||||
City of Long Beach, Series B, Rev., AMT, 4.00%, 05/15/2022 | 3,000 | 3,069 | ||||||
Los Angeles Department of Water, Series B4, Rev., VRDO, 0.04%, 10/01/2021 (z) | 500 | 500 | ||||||
Los Angeles Department of Water & Power Power System Revenue, Subordinate, Series B8, Rev., VRDO, 0.03%, 10/07/2021 (z) | 5,500 | 5,500 | ||||||
Sacramento County Sanitation Districts Financing Authority, Rev., 5.00%, 12/01/2022 | 2,000 | 2,112 | ||||||
San Francisco City & County Airport Comm-San Francisco International Airport, Series B, Rev., VRDO, LOC: Barclays Bank plc, 0.03%, 10/07/2021 (z) | 4,850 | 4,850 | ||||||
State of California, | ||||||||
GO, 5.00%, 10/01/2022 | 1,000 | 1,048 | ||||||
GO, 5.00%, 11/01/2022 | 1,000 | 1,052 | ||||||
Series C3, GO, VRDO, LOC: U.S. Bank NA, 0.02%, 10/07/2021 (z) | 1,445 | 1,445 | ||||||
|
| |||||||
23,304 | ||||||||
|
|
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Colorado 2.3% | ||||||||
City & County of Denver, Airport System, Series A, Rev., AMT, 5.00%, 11/15/2021 | 2,000 | 2,011 | ||||||
Colorado Health Facilities Authority, Sisters of Charity of Leavenworth Health System, Inc. Obligated Group, Series A, Rev., 5.00%, 01/01/2022 | 2,500 | 2,529 | ||||||
Colorado Housing & Finance Authority, Multifamily Project, Series B2, Rev., 1.35%, 02/01/2022 | 5,000 | 5,002 | ||||||
Denver City & County School District No. 1, GO, 5.00%, 12/01/2022 | 3,000 | 3,169 | ||||||
Weld County School District No. 6 Greeley, GO, 5.00%, 12/01/2022 | 1,850 | 1,954 | ||||||
|
| |||||||
14,665 | ||||||||
|
| |||||||
Connecticut 2.8% | ||||||||
Connecticut Housing Finance Authority, | ||||||||
Series B3, Rev., VRDO, 0.05%, 10/07/2021 (z) | 680 | 680 | ||||||
Series F3, Rev., VRDO, 0.06%, 10/07/2021 (z) | 10,500 | 10,500 | ||||||
Connecticut State Health & Educational Facilities Authority, Stamford Hospital Issuer, | ||||||||
Rev., 4.00%, 07/01/2022 | 500 | 513 | ||||||
Rev., 4.00%, 07/01/2023 | 550 | 584 | ||||||
Connecticut State Health & Educational Facilities Authority, Yale University, Series V1, Rev., VRDO, 0.04%, 10/01/2021 (z) | 1,500 | 1,500 | ||||||
Connecticut State, Health & Educational Facilities Authority, Yale University, Series U2, Rev., 2.00%, 07/01/2033 (z) | 1,300 | 1,308 | ||||||
Hartford County, Metropolitan District (The), Series A, GO, 5.00%, 07/15/2022 | 1,200 | 1,246 | ||||||
State of Connecticut Special Tax Revenue, Series A, Rev., 4.00%, 05/01/2023 | 1,530 | 1,622 | ||||||
|
| |||||||
17,953 | ||||||||
|
| |||||||
District of Columbia 0.6% | ||||||||
District of Columbia, Carnegie, Rev., VRDO, LOC: Wells Fargo Bank NA, 0.06%, 10/07/2021 (z) | 1,600 | 1,600 | ||||||
District of Columbia, Georgetown University, Series B2, Rev., VRDO, LOC: Bank of America NA, 0.05%, 10/07/2021 (z) | 1,000 | 1,000 | ||||||
District of Columbia, Georgetown University (The), Series B1, Rev., VRDO, LOC: Bank of America NA, 0.05%, 10/07/2021 (z) | 1,555 | 1,555 | ||||||
|
| |||||||
4,155 | ||||||||
|
| |||||||
Florida 7.4% | ||||||||
Central Florida Expressway Authority, Senior Lien, | ||||||||
Rev., AGM, 5.00%, 07/01/2022 | 1,100 | 1,140 | ||||||
Rev., AGM, 5.00%, 07/01/2023 | 1,000 | 1,081 | ||||||
City of Fort Lauderdale, Police and Public Safety Project, Series B, GO, 5.00%, 07/01/2022 | 1,215 | 1,259 | ||||||
City of Gainesville, Utilities System, | ||||||||
Series A, Rev., 5.00%, 10/01/2021 | 1,400 | 1,400 | ||||||
Series B, Rev., VRDO, 0.04%, 10/07/2021 (z) | 6,040 | 6,040 | ||||||
City of Orlando, Series B, Rev., 5.00%, 10/01/2021 | 775 | 775 | ||||||
County of Miami-Dade Aviation, Series C, Rev., 5.00%, 10/01/2021 | 1,650 | 1,650 | ||||||
County of Miami-Dade, Building Better Communities Project, Series A, GO, 5.00%, 07/01/2022 | 6,000 | 6,215 | ||||||
Florida Gulf Coast University Financing Corp., Parking Project, Series A, Rev., VRDO, LOC: TD Bank NA, 0.06%, 10/07/2021 (z) | 3,455 | 3,455 | ||||||
Highlands County Health Facilities Authority, Adventist Health System/Sunbelt Obligated Group, Series A, Rev., VRDO, 0.05%, 10/07/2021 (z) | 4,000 | 4,000 | ||||||
JEA Water & Sewer System Revenue, Subordinate, Series A1, Rev., VRDO, 0.08%, 10/01/2021 (z) | 3,300 | 3,300 |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Municipal Bonds (continued) | ||||||||
Florida (continued) | ||||||||
JEA Water & Sewer System Revenue, Subordinate, Series B1, Rev., VRDO, 0.07%, 10/07/2021 (z) | 1,725 | 1,725 | ||||||
Lee Memorial Health System, Series A1, Rev., 5.00%, 04/01/2022 | 1,000 | 1,023 | ||||||
Orange County Health Facilities Authority, Nemours Foundation, Series B, Rev., VRDO, LOC: Northern Trust Co., 0.05%, 10/07/2021 (z) | 2,100 | 2,100 | ||||||
Orlando Utilities Commission, Series 1, Rev., VRDO, 0.04%, 10/07/2021 (z) | 6,785 | 6,785 | ||||||
Seacoast Utility Authority, Series B, Rev., 5.00%, 03/01/2023 | 2,215 | 2,364 | ||||||
State of Florida, Board Education, Capital Outlay, Series A, GO, 5.00%, 06/01/2022 | 2,500 | 2,580 | ||||||
|
| |||||||
46,892 | ||||||||
|
| |||||||
Georgia 0.3% | ||||||||
Brookhaven Development Authority, Childrens Healthcare of Atlanta Obligated Group, Series A, Rev., 5.00%, 07/01/2022 | 1,040 | 1,078 | ||||||
City of Atlanta Department of Aviation, Series C, Rev., AMT, 5.00%, 07/01/2024 (w) | 615 | 690 | ||||||
|
| |||||||
1,768 | ||||||||
|
| |||||||
Hawaii 0.2% | ||||||||
State of Hawaii, Series EA, GO, 5.00%, 12/01/2021 | 1,075 | 1,083 | ||||||
|
| |||||||
Idaho 0.7% | ||||||||
Idaho Health Facilities Authority, St. Lukes Health System Obligated Group, Rev., VRDO, LOC: U.S. Bank NA, 0.08%, 10/01/2021 (z) | 4,500 | 4,500 | ||||||
|
| |||||||
Illinois 2.4% | ||||||||
Chicago OHare International Airport, Senior Lien, | ||||||||
Series A, Rev., AMT, 5.00%, 01/01/2022 (p) | 2,000 | 2,023 | ||||||
Series C, Rev., 5.00%, 01/01/2022 | 3,670 | 3,713 | ||||||
County of Cook, Series A, GO, 5.00%, 11/15/2023 | 2,250 | 2,471 | ||||||
Illinois Finance Authority, The Catherine Cook School Project, Rev., VRDO, LOC: Northern Trust Co., 0.05%, 10/07/2021 (z) | 1,770 | 1,770 | ||||||
Illinois Housing Development Authority, Multifamily Housing, Century Woods IL TC LP, Rev., VRDO, GNMA COLL, 1.90%, 10/01/2021 (z) | 1,500 | 1,500 | ||||||
Illinois Housing Development Authority, Multifamily Housing, Heather Ridge IL TC LP, Rev., VRDO, 1.90%, 10/01/2021 (z) | 3,000 | 3,000 | ||||||
State of Illinois, Series A, GO, 5.00%, 03/01/2023 | 500 | 532 | ||||||
|
| |||||||
15,009 | ||||||||
|
| |||||||
Indiana 1.3% | ||||||||
Indiana Finance Authority, Green Bond, Series B, Rev., 5.00%, 02/01/2022 | 950 | 965 | ||||||
Indiana Finance Authority, Health Systems, Sisters of St. Francis, Series I, Rev., VRDO, LOC: Barclays Bank plc, 0.08%, 10/01/2021 (z) | 1,715 | 1,715 | ||||||
Indiana Finance Authority, Sisters of St Francis, Rev., VRDO, LOC: Barclays Bank plc, 0.08%, 10/01/2021 (z) | 1,000 | 1,000 | ||||||
Indiana Municipal Power Agency, Series B, Rev., VRDO, LOC: U.S. Bank NA, 0.08%, 10/01/2021 (z) | 1,300 | 1,300 | ||||||
Indianapolis Local Public Improvement Bond Bank, Series A, Rev., 5.00%, 06/01/2022 | 400 | 413 | ||||||
Indianapolis Local Public Improvement Bond Bank, Indianapolis Airport Authority, Rev., AMT, 5.00%, 01/01/2022 | 3,085 | 3,120 | ||||||
|
| |||||||
8,513 | ||||||||
|
| |||||||
Kansas 0.2% | ||||||||
Geary County Unified School District No. 475, Series B, GO, 5.00%, 09/01/2022 | 1,275 | 1,331 | ||||||
|
|
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Municipal Bonds (continued) | ||||||||
Louisiana 0.4% | ||||||||
Jefferson Sales Tax District, Series A, Rev., AGM, 5.00%, 12/01/2021 | 2,325 | 2,342 | ||||||
|
| |||||||
Maine 0.2% | ||||||||
Maine Health & Higher Educational Facilities Authority, | ||||||||
Series A, Rev., AGM, 5.00%, 07/01/2022 | 500 | 518 | ||||||
Series A, Rev., AGM, 5.00%, 07/01/2023 | 550 | 595 | ||||||
|
| |||||||
1,113 | ||||||||
|
| |||||||
Maryland 1.1% | ||||||||
City of Frederick, Public Improvement, GO, 3.00%, 12/01/2022 | 1,000 | 1,033 | ||||||
County of Anne Arundel, General Improvements, GO, 5.00%, 04/01/2022 | 1,165 | 1,193 | ||||||
Washington Suburban Sanitary Commission, Series A, Rev., VRDO, BAN, CNTY GTD, 0.04%, 10/07/2021 (z) | 5,000 | 5,000 | ||||||
|
| |||||||
7,226 | ||||||||
|
| |||||||
Massachusetts 3.7% | ||||||||
Commonwealth of Massachusetts, Series B, GO, 5.00%, 07/01/2023 | 4,650 | 5,038 | ||||||
Massachusetts Bay Transportation Authority, Series A2, Rev., VRDO, 0.03%, 10/07/2021 (z) | 4,130 | 4,130 | ||||||
Massachusetts Development Finance Agency, Dana-Farber Cancer Institute Obligated Group, Series O, Rev., 5.00%, 12/01/2021 | 1,000 | 1,008 | ||||||
Massachusetts Development Finance Agency, Northeastern University, Series A, Rev., 5.00%, 10/01/2022 | 2,350 | 2,462 | ||||||
Massachusetts Development Finance Agency, Partners Healthcare System, Inc., Series K1, Rev., VRDO, 0.05%, 10/07/2021 (z) | 5,700 | 5,700 | ||||||
Massachusetts Educational Financing Authority, Series B, Rev., AMT, 5.00%, 07/01/2022 | 2,000 | 2,070 | ||||||
Massachusetts School Building Authority, | ||||||||
Series A, Rev., 5.00%, 08/15/2022 (p) | 2,710 | 2,824 | ||||||
Town of Hingham, Water Bonds, GO, 5.00%, 02/15/2022 | 650 | 661 | ||||||
|
| |||||||
23,893 | ||||||||
|
| |||||||
Michigan 2.7% | ||||||||
University of Michigan, Series D1, Rev., VRDO, 0.03%, 10/01/2021 (z) | 3,675 | 3,675 | ||||||
Wayne County Airport Authority, Detroit Metropolitan Wayne County Airport, Rev., AMT, 4.00%, 12/01/2023 (e) | 12,715 | 13,701 | ||||||
|
| |||||||
17,376 | ||||||||
|
| |||||||
Minnesota 1.1% | ||||||||
City of Rochester, Mayo Clinic, | ||||||||
Series A, Rev., VRDO, 0.03%, 10/07/2021 (z) | 3,000 | 3,000 | ||||||
Series B, Rev., VRDO, 0.03%, 10/07/2021 (z) | 3,900 | 3,900 | ||||||
|
| |||||||
6,900 | ||||||||
|
| |||||||
Missouri 0.7% | ||||||||
State of Missouri, Health & Educational Facilities Authority, Series F, Rev., VRDO, 0.08%, 10/01/2021 (z) | 4,335 | 4,335 | ||||||
|
| |||||||
Nevada 0.5% | ||||||||
Las Vegas Valley Water District, Series B, GO, 5.00%, 06/01/2022 | 2,000 | 2,064 | ||||||
Washoe County School District, Series C, GO, 5.00%, 10/01/2021 | 1,250 | 1,250 | ||||||
|
| |||||||
3,314 | ||||||||
|
|
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Municipal Bonds (continued) | ||||||||
New Hampshire 1.4% | ||||||||
New Hampshire Health and Education Facilities Authority Act, Bishop Guertin High School, Rev., VRDO, LOC: TD Bank NA, 0.06%, 10/07/2021 (z) | 2,170 | 2,170 | ||||||
New Hampshire Health and Education Facilities Authority Act, University System of New Hampshire, Series B, Rev., VRDO, 0.08%, 10/01/2021 (z) | 3,375 | 3,375 | ||||||
New Hampshire Health and Education Facilities Authority, University System, Series B1, Rev., VRDO, 0.08%, 10/01/2021 (z) | 3,115 | 3,115 | ||||||
|
| |||||||
8,660 | ||||||||
|
| |||||||
New Jersey 1.4% | ||||||||
City of Newark, Series A, GO, 5.00%, 10/01/2022 | 700 | 728 | ||||||
New Jersey Health Care Facilities Financing Authority, RWJ Barnabas Health Obligated Group, Rev., 5.00%, 07/01/2024 | 6,930 | 7,819 | ||||||
New Jersey Higher Education Student Assistance Authority, Series B, Rev., AMT, 5.00%, 12/01/2023 | 300 | 329 | ||||||
|
| |||||||
8,876 | ||||||||
|
| |||||||
New Mexico 0.1% | ||||||||
New Mexico Municipal Energy Acquisition Authority, Series A, Rev., LIQ: Royal Bank of Canada, 4.00%, 11/01/2021 | 625 | 627 | ||||||
|
| |||||||
New York 11.0% | ||||||||
City of New York, | ||||||||
Series F, GO, 5.00%, 08/01/2022 | 1,125 | 1,143 | ||||||
Series G6, GO, VRDO, LOC: MIZUHO Bank Ltd., 0.08%, 10/01/2021 (z) | 5,315 | 5,315 | ||||||
Series I4, GO, VRDO, LOC: TD Bank NA, 0.08%, 10/01/2021 (z) | 2,000 | 2,000 | ||||||
City of New York, Fiscal 2018 Subordinate, Series B, GO, VRDO, 0.08%, 10/01/2021 (z) | 3,700 | 3,700 | ||||||
City of New York, Fiscal 2017, Series A4, GO, VRDO, LOC: Citibank NA, 0.06%, 10/07/2021 (z) | 390 | 390 | ||||||
Metropolitan Transportation Authority, | ||||||||
Series A, Rev., BAN, 4.00%, 02/01/2022 | 12,000 | 12,143 | ||||||
Series A, Rev., BAN, 5.00%, 03/01/2022 | 2,000 | 2,039 | ||||||
New York City Municipal Water Finance Authority, Water & Sewer System, Second General Resolution, Series BB, Rev., VRDO, 0.10%, 10/01/2021 (z) | 1,000 | 1,000 | ||||||
New York City Transitional Finance Authority, Future Tax Secured Revenue, | ||||||||
Rev., 5.00%, 11/01/2023 | 1,000 | 1,099 | ||||||
Series A4, Rev., VRDO, 0.08%, 10/01/2021 (z) | 3,500 | 3,500 | ||||||
Series B1, Rev., 4.00%, 11/01/2022 | 1,800 | 1,875 | ||||||
Series B5, Rev., VRDO, 0.08%, 10/01/2021 (z) | 1,000 | 1,000 | ||||||
Series E1, Rev., 5.00%, 02/01/2022 | 2,490 | 2,529 | ||||||
New York City Water & Sewer System, Series F2, Rev., VRDO, LOC: Citibank NA, 0.08%, 10/01/2021 (z) | 1,300 | 1,300 | ||||||
New York City Water & Sewer System, Second General Resolution, Rev., VRDO, 0.08%, 10/01/2021 (z) | 3,000 | 3,000 | ||||||
New York State Dormitory Authority, | ||||||||
Series A, Rev., AGM, 4.00%, 10/01/2023 | 1,150 | 1,234 | ||||||
Series B, Rev., 4.00%, 10/01/2023 | 2,805 | 3,008 | ||||||
New York State Dormitory Authority, School Districts Financing Program, Rev., 5.00%, 10/01/2023 | 1,245 | 1,361 | ||||||
New York State Dormitory Authority, St Johns University, Series A, Rev., 5.00%, 07/01/2023 | 500 | 542 |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Municipal Bonds (continued) | ||||||||
New York continued | ||||||||
New York State Thruway Authority, Series O, Rev., 5.00%, 01/01/2023 (w) | 8,905 | 9,427 | ||||||
New York State Urban Development Corp., Series A, Rev., 5.00%, 03/15/2022 | 8,575 | 8,762 | ||||||
Port Authority of New York & New Jersey, Consolidated, Series 195, Rev., AMT, 5.00%, 10/01/2021 | 1,600 | 1,600 | ||||||
Town of Oyster Bay, GO, 2.00%, 03/01/2022 | 900 | 906 | ||||||
Triborough Bridge & Tunnel Authority, Series B3, Rev., VRDO, LOC: State Street Bank & Trust Co., 0.10%, 10/01/2021 (z) | 1,430 | 1,430 | ||||||
|
| |||||||
70,303 | ||||||||
|
| |||||||
North Carolina 0.9% | ||||||||
City of Charlotte Water & Sewer System Revenue, Series B, Rev., VRDO, 0.04%, 10/07/2021 (z) | 1,110 | 1,110 | ||||||
County of Durham, GO, 5.00%, 04/01/2022 | 1,135 | 1,162 | ||||||
North Carolina Turnpike Authority, Rev., BAN, 5.00%, 02/01/2024 | 3,000 | 3,306 | ||||||
|
| |||||||
5,578 | ||||||||
|
| |||||||
Ohio 3.3% | ||||||||
City of Cincinnati, Series A, GO, 5.00%, 12/01/2032 (p) | 1,700 | 1,754 | ||||||
County of Franklin, Facilities, OhioHealth Corp., Series D, Rev., VRDO, LOC: Northern Trust Co., 0.05%, 10/07/2021 (z) | 2,500 | 2,500 | ||||||
Ohio Higher Educational Facility Commission, Cleveland Clinic Health System Obligated Group, Series B3, Rev., VRDO, 0.07%, 10/01/2021 (z) | 3,800 | 3,800 | ||||||
Ohio State University (The), Series B2, Rev., VRDO, 0.04%, 10/07/2021 (z) | 6,725 | 6,725 | ||||||
State of Ohio, Cleveland Clinic Health System, Rev., VRDO, 0.04%, 10/07/2021 (z) | 6,000 | 6,000 | ||||||
State of Ohio, Mental Health Facilities Improvement, Series A, Rev., 5.00%, 02/01/2024 | 500 | 555 | ||||||
|
| |||||||
21,334 | ||||||||
|
| |||||||
Oklahoma 0.3% | ||||||||
Tulsa County, Independent School District No. 1, Series A, GO, 2.00%, 03/01/2023 | 2,130 | 2,183 | ||||||
|
| |||||||
Oregon 0.2% | ||||||||
Oregon State Lottery, Series A, Rev., 5.00%, 04/01/2024 | 1,100 | 1,228 | ||||||
|
| |||||||
Pennsylvania 2.1% | ||||||||
Geisinger Authority, Health System, Series A, Rev., 5.00%, 04/01/2022 | 2,400 | 2,457 | ||||||
Lancaster Higher Education Authority, Harrisburg Area Community, Rev., BAM, 5.00%, 10/01/2023 | 600 | 656 | ||||||
Pennsylvania Economic Development Financing Authority, | ||||||||
Series A, Rev., 4.00%, 10/15/2022 | 600 | 624 | ||||||
Series A, Rev., 4.00%, 10/15/2023 | 700 | 753 | ||||||
Pennsylvania Economic Development Financing Authority, Waste Management PA Obligated Group, Series A, Rev., 2.15%, 11/01/2021 | 1,375 | 1,377 | ||||||
Philadelphia Authority for Industrial Development, Rev., 5.00%, 10/01/2021 | 4,000 | 4,000 | ||||||
Phoenixville Area School District, GO, 4.00%, 11/15/2022 | 1,000 | 1,041 | ||||||
Ringgold Pennsylvania School District, GO, BAM, 3.00%, 09/01/2022 | 2,325 | 2,383 | ||||||
|
| |||||||
13,291 | ||||||||
|
| |||||||
Rhode Island 0.2% | ||||||||
Rhode Island Commerce Corp., Rev., GAN, 5.00%, 06/15/2022 | 1,550 | 1,602 | ||||||
|
|
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Municipal Bonds (continued) | ||||||||
Tennessee 0.7% | ||||||||
Memphis-Shelby County Airport Authority, Series B, Rev., AMT, 5.00%, 07/01/2022 | 1,750 | 1,811 | ||||||
Shelby County Health Educational & Housing Facilities Board, Methodist Le Bonheur, Rev., VRDO, AGM, 0.08%, 10/01/2021 (z) | 2,775 | 2,775 | ||||||
|
| |||||||
4,586 | ||||||||
|
| |||||||
Texas 9.2% | ||||||||
Allen Independent School District, | ||||||||
GO, PSF-GTD, 5.00%, 02/15/2022 | 3,000 | 3,053 | ||||||
GO, PSF-GTD, 5.00%, 02/15/2023 | 1,205 | 1,284 | ||||||
City of Dallas, Refunding and Improvement, GO, 5.00%, 02/15/2022 | 3,000 | 3,053 | ||||||
City of Houston, Series A, GO, 5.00%, 03/01/2022 | 2,505 | 2,555 | ||||||
City of Houston Combined Utility System Revenue, Combined First Lien, Rev., VRDO, (SIFMA Municipal Swap Index + 0.01%), 0.06%, 10/07/2021 (aa) | 5,000 | 5,000 | ||||||
City of Houston Combined Utility System Revenue, First Lien, Rev., VRDO, LOC: Citibank NA, 0.05%, 10/07/2021 (z) | 1,650 | 1,650 | ||||||
City of Mesquite, GO, 3.00%, 02/15/2023 | 1,000 | 1,038 | ||||||
City of San Antonio, Municipal Drainage Utility, Rev., 5.00%, 02/01/2023 | 1,000 | 1,064 | ||||||
Collin County, Community College District, Series A, GO, 5.00%, 08/15/2022 | 1,310 | 1,365 | ||||||
County of Harris, Road Bonds, Series A, GO, 5.00%, 10/01/2022 | 1,660 | 1,740 | ||||||
County of Williamson, | ||||||||
GO, 4.00%, 02/15/2022 | 3,190 | 3,235 | ||||||
GO, 4.00%, 02/15/2023 | 2,315 | 2,435 | ||||||
GO, 5.00%, 02/15/2022 | 1,000 | 1,018 | ||||||
Dallas Fort Worth International Airport, Series B, Rev., 5.00%, 11/01/2022 | 3,000 | 3,155 | ||||||
Fort Bend Independent School District, GO, PSF-GTD, 5.00%, 08/15/2022 | 1,000 | 1,042 | ||||||
Frisco Independent School District, | ||||||||
GO, PSF-GTD, 5.00%, 02/15/2022 | 2,000 | 2,035 | ||||||
GO, PSF-GTD, 5.00%, 08/15/2022 | 1,240 | 1,292 | ||||||
Garland Independent School District, GO, PSF-GTD, 5.00%, 02/15/2023 | 1,160 | 1,236 | ||||||
Harris County Toll Road Authority, First Lien, | ||||||||
Rev., 5.00%, 08/15/2022 | 2,100 | 2,188 | ||||||
Rev., 5.00%, 08/15/2023 | 1,600 | 1,743 | ||||||
North Texas Tollway Authority, Rev., 5.00%, 01/01/2022 (p) | 880 | 890 | ||||||
North Texas Tollway Authority, Unrefunded, Rev., 5.00%, 01/01/2022 | 1,120 | 1,133 | ||||||
Round Rock Independent School District, Series A, GO, PSF-GTD, 5.00%, 08/01/2022 | 1,280 | 1,331 | ||||||
San Antonio Independent School District, GO, PSF-GTD, 5.00%, 02/15/2022 | 6,560 | 6,676 | ||||||
Texas State University System, Series A, Rev., 5.00%, 03/15/2022 | 2,200 | 2,248 | ||||||
Texas Water Development Board, Master Fund | ||||||||
Rev., 3.00%, 10/15/2021 | 1,750 | 1,752 | ||||||
Rev., 3.00%, 04/15/2022 | 1,000 | 1,015 | ||||||
Rev., 3.00%, 10/15/2022 | 2,000 | 2,058 | ||||||
|
| |||||||
58,284 | ||||||||
|
| |||||||
Utah 0.3% | ||||||||
Central Valley Water Reclamation Facility, Green Bond, Series C, Rev., 5.00%, 03/01/2024 | 500 | 557 | ||||||
County of Utah, IHC Health Services, Inc., Series B, Rev., VRDO, 0.04%, 10/07/2021 (z) | 1,250 | 1,250 | ||||||
|
| |||||||
1,807 | ||||||||
|
|
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Municipal Bonds (continued) | ||||||||
Virginia 2.0% | ||||||||
Albermarle County Economic Development Authority, Sentara Healthcare Obligated Group, Series B, Rev., VRDO, 0.08%, 10/02/2021 (z) | 1,350 | 1,350 | ||||||
Norfolk Economic Development Authority, Sentara Healthcare Obligated Group, | ||||||||
Series A, Rev., VRDO, 0.07%, 10/07/2021 (z) | 9,400 | 9,400 | ||||||
Rev., VRDO, 0.04%, 10/07/2021 (z) | 425 | 425 | ||||||
Virginia College Building Authority, 21st Century College, Series E1, Rev., 5.00%, 02/01/2024 | 1,285 | 1,427 | ||||||
|
| |||||||
12,602 | ||||||||
|
| |||||||
Washington 1.3% | ||||||||
Chelan County Public Utility District No. 1, Series B, Rev., VRDO, 0.05%, 10/07/2021 (z) | 4,000 | 4,000 | ||||||
Pierce County, School District No. 403 Bethel, GO, SCH BD GTY, 4.00%, 12/01/2021 | 850 | 855 | ||||||
Port of Seattle, Intermediate Lien, Rev., AMT, 5.00%, 04/01/2022 | 2,000 | 2,046 | ||||||
Snohomish County School District No. 6 Mukilteo, GO, SCH BD GTY, 5.00%, 12/01/2023 | 1,000 | 1,103 | ||||||
|
| |||||||
8,004 | ||||||||
|
| |||||||
Wisconsin 0.8% | ||||||||
State of Wisconsin, Series A, GO, 5.00%, 05/01/2022 | 4,815 | 4,950 | ||||||
|
| |||||||
Total Municipal Bonds (Cost $438,726) | 439,153 | |||||||
|
| |||||||
U.S. Government Agency Securities 1.1% | ||||||||
FHLBs, | ||||||||
0.96%, 03/05/2026 | 3,400 | 3,398 | ||||||
1.10%, 08/20/2026 | 1,900 | 1,897 | ||||||
1.11%, 07/27/2026 | 1,800 | 1,799 | ||||||
|
| |||||||
Total U.S. Government Agency Securities (Cost $7,100) | 7,094 | |||||||
|
| |||||||
U.S. Treasury Obligation 4.4% | ||||||||
U.S. Treasury Notes, 0.38%, 09/15/2024 (Cost $28,068) | 28,200 | 28,074 | ||||||
|
| |||||||
Short-Term Investments 3.1% | ||||||||
Foreign Government Securities 1.0% | ||||||||
Japan Treasury Discount Bill, (Japan), | ||||||||
Series 1014, Reg. S, Zero Coupon, 11/08/2021 | JPY 523,000 | 4,700 | ||||||
Series 1026, Reg. S, Zero Coupon, 01/06/2022 | JPY 170,000 | 1,528 | ||||||
|
| |||||||
Total Foreign Government Securities | 6,228 | |||||||
|
| |||||||
Municipal Bonds 0.2% (t) | ||||||||
County of Los Angeles, Rev., TRAN, 4.00%, 06/30/2022 | 1,000 | 1,029 | ||||||
State of Illinois, Series A, GO, 5.00%, 03/01/2022 | 500 | 510 | ||||||
|
| |||||||
Total Municipal Bonds | 1,539 | |||||||
|
|
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Short-Term Investments continued | ||||||||
Time Deposits 1.9% | ||||||||
Australia & New Zealand Banking Group Ltd., 0.01%, 10/01/2021 | 100 | 100 | ||||||
BNP Paribas SA, | ||||||||
(0.79%), 10/01/2021 | EUR | 2 | 2 | |||||
0.01%, 10/01/2021 | 119 | 119 | ||||||
Brown Brothers Harriman, | ||||||||
(0.23%), 10/01/2021 | AUD | 11 | 8 | |||||
0.01%, 10/01/2021 | CAD | 24 | 19 | |||||
Citibank NA, 0.01%, 10/01/2021 | GBP | | (h) | 1 | ||||
Sumitomo Mitsui Banking Corp., | ||||||||
(0.41%), 10/01/2021 | JPY | 34 | (h | ) | ||||
0.01%, 10/01/2021 | 11,946 | 11,946 | ||||||
|
| |||||||
Total Time Deposits | 12,195 | |||||||
|
| |||||||
Total Short-Term Investments (Cost $20,001) | 19,962 | |||||||
|
| |||||||
Total Investments 102.1% (Cost - $648,970)* | 650,098 | |||||||
Liabilities in Excess of Other Assets (2.1)% | (13,644 | ) | ||||||
|
| |||||||
NET ASSETS 100.0% | $ | 636,454 | ||||||
|
|
Percentages indicated are based on net assets
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Futures contracts outstanding as of September 30, 2021:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
Canadian Bankers Acceptance | 85 | 12/2022 | CAD | 16,586 | (15 | ) | ||||||||||||||
Canadian Bankers Acceptance | 157 | 03/2023 | CAD | 30,779 | (237 | ) | ||||||||||||||
U.S. Treasury 10 Year Note | 5 | 12/2021 | USD | 658 | | (h) | ||||||||||||||
|
| |||||||||||||||||||
(252 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Short Contracts | ||||||||||||||||||||
U.S. Treasury 2 Year Note | (24 | ) | 12/2021 | USD | (5,281 | ) | (1 | ) | ||||||||||||
U.S. Treasury 5 Year Note | (214 | ) | 12/2021 | USD | (26,369 | ) | 102 | |||||||||||||
U.S. Ultra Treasury 10 Year Note | (25 | ) | 12/2021 | USD | (3,714 | ) | 83 | |||||||||||||
|
| |||||||||||||||||||
184 | ||||||||||||||||||||
|
| |||||||||||||||||||
Total unrealized appreciation (depreciation) | (68 | ) | ||||||||||||||||||
|
|
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Forward foreign currency exchange contracts outstanding as of September 30, 2021:
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||||||||||||||||
USD | 4,892 | CAD | 6,167 | Bank of America, NA | 10/04/2021 | 23 | ||||||||||||||
CAD | 3,388 | USD | 2,661 | Barclays Bank plc | 10/04/2021 | 14 | ||||||||||||||
CAD | 322 | USD | 252 | Morgan Stanley & Co. | 10/04/2021 | 2 | ||||||||||||||
USD | 6,777 | GBP | 4,944 | Barclays Bank plc | 10/04/2021 | 116 | ||||||||||||||
USD | 33 | GBP | 24 | Barclays Bank plc | 10/04/2021 | 1 | ||||||||||||||
USD | 812 | GBP | 590 | Morgan Stanley & Co. | 10/04/2021 | 17 | ||||||||||||||
USD | 3,046 | AUD | 4,197 | Bank of America, NA | 10/05/2021 | 12 | ||||||||||||||
USD | 4,942 | AUD | 6,742 | Bank of America, NA | 10/05/2021 | 68 | ||||||||||||||
USD | 4,115 | AUD | 5,674 | Bank of America, NA | 11/02/2021 | 12 | ||||||||||||||
USD | 1,720 | CAD | 2,175 | Morgan Stanley & Co. | 11/02/2021 | 2 | ||||||||||||||
USD | 7,317 | GBP | 5,411 | Bank of America, NA | 11/02/2021 | 26 | ||||||||||||||
USD | 1,731 | JPY | 190,000 | Bank of America, NA | 11/08/2021 | 23 | ||||||||||||||
USD | 5,104 | JPY | 563,000 | Bank of America, NA | 11/08/2021 | 44 | ||||||||||||||
USD | 1,542 | JPY | 170,000 | Morgan Stanley & Co. | 01/06/2022 | 13 | ||||||||||||||
|
| |||||||||||||||||||
Total unrealized appreciation |
| 373 | ||||||||||||||||||
|
| |||||||||||||||||||
CAD | 282 | USD | 224 | Morgan Stanley & Co. | 10/04/2021 | (1 | ) | |||||||||||||
CAD | 2,175 | USD | 1,720 | Morgan Stanley & Co. | 10/04/2021 | (2 | ) | |||||||||||||
GBP | 5,411 | USD | 7,316 | Bank of America, NA | 10/04/2021 | (26 | ) | |||||||||||||
GBP | 147 | USD | 200 | Morgan Stanley & Co. | 10/04/2021 | (2 | ) | |||||||||||||
AUD | 5,674 | USD | 4,114 | Bank of America, NA | 10/05/2021 | (12 | ) | |||||||||||||
USD | 2,660 | CAD | 3,388 | Barclays Bank plc | 11/02/2021 | (14 | ) | |||||||||||||
JPY | 230,045 | USD | 2,093 | Bank of America, NA | 11/08/2021 | (26 | ) | |||||||||||||
|
| |||||||||||||||||||
Total unrealized depreciation |
| (83 | ) | |||||||||||||||||
|
| |||||||||||||||||||
Net unrealized appreciation (depreciation) |
| 290 | ||||||||||||||||||
|
|
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Centrally Cleared Interest Rate Swap contracts outstanding as of September 30, 2021:
FLOATING RATE INDEX (a) | FIXED RATE | PAY/RECEIVE FLOATING RATE | MATURITY DATE | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) ($) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) | |||||||||||||||||
ICE LIBOR USD 1 Month | ICE LIBOR USD 3 Month | Pay | 01/13/2023 | USD 10,800 | | (6 | ) | (6 | ) | |||||||||||||||
ICE LIBOR USD 1 Month | ICE LIBOR USD 3 Month | Pay | 01/13/2023 | USD 14,200 | | (7 | ) | (7 | ) | |||||||||||||||
|
| |||||||||||||||||||||||
Total | | (13 | ) | (13 | ) | |||||||||||||||||||
|
|
(a) | Value of floating rate index as of September 30, 2021 was as follows: |
FLOATING RATE INDEX | ||||
ICE LIBOR USD 1 Month | 0.08 | % | ||
ICE LIBOR USD 3 Month | 0.13 | % |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Centrally Cleared Credit Default Swaps contracts outstanding buy protection (1) as of September 30, 2021:
REFERENCE OBLIGATION/ INDEX | FINANCING RATE PAID BY THE FUND(%) | PAYMENT FREQUENCY | MATURITY DATE | IMPLIED CREDIT SPREAD (%) (2) | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) ($) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) | ||||||||||||||||||||||||
CDX.NA.IG.35-V1 | 1.00 | % | Quarterly | 12/20/2025 | 0.42 | USD 900 | (19 | ) | (3 | ) | (22 | ) | ||||||||||||||||||||
CDX.NA.IG.36-V1 | 1.00 | % | Quarterly | 06/20/2026 | 0.48 | USD 3,900 | (96 | ) | (h | ) | (96 | ) | ||||||||||||||||||||
CDX.NA.IG.37-V1 | 1.00 | % | Quarterly | 12/20/2026 | 0.53 | USD 9,400 | (234 | ) | 9 | (225 | ) | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||
Total | (349 | ) | 6 | (343 | ) | |||||||||||||||||||||||||||
|
|
(1) | The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay or receive an upfront premium to or from the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. |
(2) | Implied credit spreads are an indication of the sellers performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e. make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average spread across the underlying reference obligations included in a particular index. |
(3) | The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive, upon occurrence of a credit event. |
(4) | Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). |
Six Circles Tax Aware Ultra Short Duration Fund
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021
ASX | | Australian Stock Exchange | ||
AGM | | Insured by Assured Guaranty Municipal Corp. | ||
AMT | | Alternative Minimum Tax | ||
BAN | | Bond Anticipation Note | ||
BAM | | Insured by Build America Mutual | ||
BBSW | | Bank Bill Swap Rate | ||
CDX | | Credit Default Swap Index | ||
CNTY | | County | ||
COLL | | Collateral | ||
FHLB | | Federal Home Loan Bank | ||
FNMA | | Federal National Mortgage Association | ||
GNMA | | Government National Mortgage Association | ||
GO | | General Obligation | ||
GTD | | Guaranteed | ||
HUD | | U.S. Department of Housing and Urban Development | ||
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 | ||
RMBS | | Residential Mortgage-Backed Securities | ||
SCH BD GTY | | School Bond Guaranty | ||
SIFMA | | Securities Industry and Financial Markets Association | ||
SOFR | | Secured Overnight Financing Rate | ||
SONIA | | Sterling Overnight Interbank Average Rate | ||
SUB | | Step-Up Bond. The interest rate shown is the rate in effect as of September 30, 2021. | ||
TRAN | | Tax & Revenue Anticipation Note | ||
VRDO | | Variable Rate Demand Obligation. The interest rate shown is the rate in effect as of September 30, 2021. | ||
(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. | ||
(f) | | Security is exempt from registration under Rule 144A or Section 4 (a) (2) of the Securities Act of 1933, as amended. | ||
(g) | | Amount rounds to less than 0.05%. | ||
(h) | | Amount rounds to less than 500 shares or principal/ $500. | ||
(p) | | Security is prerefunded or escrowed to maturity. | ||
(t) | | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | ||
(w) | | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | ||
(z) | | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of September 30, 2021. | ||
(aa) | | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of September 30, 2021. | ||
(bb) | | Security has been valued using significant unobservable inputs. | ||
* | | The cost of securities is substantially the same for federal income tax purposes. | ||
AUD | | Australian Dollar | ||
CAD | | Canadian Dollar | ||
EUR | | Euro | ||
GBP | | British Pound | ||
JPY | | Japanese Yen | ||
USD | | United States Dollar |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks 99.4% | ||||||||
Basic Materials 0.5% | ||||||||
Chemicals 0.4% | ||||||||
Air Products & Chemicals, Inc. | 25 | 6,379 | ||||||
Albemarle Corp. | 13 | 2,889 | ||||||
Celanese Corp., Class A | 14 | 2,156 | ||||||
CF Industries Holdings, Inc. | 25 | 1,420 | ||||||
Dow, Inc. | 96 | 5,548 | ||||||
DuPont de Nemours, Inc. | 66 | 4,513 | ||||||
Eastman Chemical Co. | 27 | 2,672 | ||||||
Ecolab, Inc. | 30 | 6,179 | ||||||
FMC Corp. | 13 | 1,197 | ||||||
International Flavors & Fragrances, Inc. | 24 | 3,245 | ||||||
Linde plc, (United Kingdom) | 60 | 17,529 | ||||||
LyondellBasell Industries NV, Class A | 31 | 2,887 | ||||||
Mosaic Co. (The) | 46 | 1,645 | ||||||
PPG Industries, Inc. | 29 | 4,198 | ||||||
RPM International, Inc. | 6 | 468 | ||||||
Sherwin-Williams Co. (The) | 27 | 7,436 | ||||||
|
| |||||||
70,361 | ||||||||
|
| |||||||
Forest Products & Paper 0.0% (g) | ||||||||
International Paper Co. | 57 | 3,203 | ||||||
|
| |||||||
Iron/Steel 0.0% (g) | ||||||||
Nucor Corp. | 37 | 3,679 | ||||||
Steel Dynamics, Inc. | 31 | 1,818 | ||||||
|
| |||||||
5,497 | ||||||||
|
| |||||||
Mining 0.1% | ||||||||
Freeport-McMoRan, Inc. | 176 | 5,719 | ||||||
Newmont Corp. | 98 | 5,302 | ||||||
|
| |||||||
11,021 | ||||||||
|
| |||||||
Total Basic Materials | 90,082 | |||||||
|
| |||||||
Communications 23.6% | ||||||||
Advertising 0.2% | ||||||||
Interpublic Group of Cos., Inc. (The) | 42 | 1,550 | ||||||
Omnicom Group, Inc. | 26 | 1,906 | ||||||
Trade Desk, Inc. (The), Class A (a) | 322 | 22,663 | ||||||
|
| |||||||
26,119 | ||||||||
|
| |||||||
Internet 22.0% | ||||||||
Airbnb, Inc., Class A (a) | 14 | 2,347 | ||||||
Alphabet, Inc., Class A (a) | 264 | 705,970 | ||||||
Alphabet, Inc., Class C (a) | 256 | 681,147 | ||||||
Amazon.com, Inc. (a) | 402 | 1,322,140 | ||||||
Booking Holdings, Inc. (a) | 5 | 10,993 | ||||||
CDW Corp. | 46 | 8,404 | ||||||
Chewy, Inc., Class A (a) | 76 | 5,207 | ||||||
DoorDash, Inc., Class A (a) | 65 | 13,443 | ||||||
eBay, Inc. | 599 | 41,763 | ||||||
Etsy, Inc. (a) | 111 | 23,148 | ||||||
Expedia Group, Inc. (a) | 14 | 2,362 | ||||||
F5 Networks, Inc. (a) | 24 | 4,770 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks continued | ||||||||
Internet continued | ||||||||
Facebook, Inc., Class A (a) | 2,102 | 713,328 | ||||||
GoDaddy, Inc., Class A (a) | 15 | 1,070 | ||||||
IAC/InterActiveCorp. (a) | 69 | 9,042 | ||||||
Lyft, Inc., Class A (a) | 135 | 7,211 | ||||||
Match Group, Inc. (a) | 222 | 34,905 | ||||||
MercadoLibre, Inc., (Argentina) (a) | 40 | 66,644 | ||||||
Netflix, Inc. (a) | 50 | 30,363 | ||||||
NortonLifeLock, Inc. | 418 | 10,571 | ||||||
Okta, Inc., Class A (a) | 13 | 3,053 | ||||||
Palo Alto Networks, Inc. (a) | 73 | 34,964 | ||||||
Pinterest, Inc., Class A (a) | 479 | 24,388 | ||||||
Roku, Inc., Class A (a) | 13 | 3,984 | ||||||
Snap, Inc., Class A (a) | 834 | 61,626 | ||||||
Twitter, Inc. (a) | 698 | 42,176 | ||||||
Uber Technologies, Inc. (a) | 639 | 28,644 | ||||||
VeriSign, Inc. (a) | 8 | 1,657 | ||||||
Wayfair, Inc., Class A (a) | 65 | 16,626 | ||||||
Zendesk, Inc. (a) | 87 | 10,113 | ||||||
Zillow Group, Inc., Class A (a) | 52 | 4,582 | ||||||
Zillow Group, Inc., Class C (a) | 145 | 12,793 | ||||||
|
| |||||||
3,939,434 | ||||||||
|
| |||||||
Media 0.6% | ||||||||
Altice USA, Inc., Class A (a) | 16 | 339 | ||||||
Cable One, Inc. | | (h) | 437 | |||||
Charter Communications, Inc., Class A (a) | 14 | 10,465 | ||||||
Comcast Corp., Class A | 517 | 28,933 | ||||||
Discovery, Inc., Class A (a) | 17 | 443 | ||||||
Discovery, Inc., Class C (a) | 39 | 944 | ||||||
DISH Network Corp., Class A (a) | 32 | 1,373 | ||||||
FactSet Research Systems, Inc. | 33 | 13,091 | ||||||
Fox Corp., Class A | 20 | 795 | ||||||
Fox Corp., Class B | 42 | 1,564 | ||||||
Liberty Broadband Corp., Class A (a) | 1 | 122 | ||||||
Liberty Broadband Corp., Class C (a) | 16 | 2,718 | ||||||
Liberty Global plc, (United Kingdom), Class A (a) | 39 | 1,167 | ||||||
Liberty Global plc, (United Kingdom), Class C (a) | 17 | 504 | ||||||
Liberty Media Corp.-Liberty Formula One, Class C (a) | 18 | 905 | ||||||
Liberty Media Corp.-Liberty SiriusXM, Class A (a) | 4 | 191 | ||||||
Liberty Media Corp.-Liberty SiriusXM, Class C (a) | 14 | 679 | ||||||
News Corp., Class A | 43 | 1,019 | ||||||
Sirius XM Holdings, Inc. | 21 | 127 | ||||||
ViacomCBS, Inc., Class B | 69 | 2,725 | ||||||
Walt Disney Co. (The) (a) | 206 | 34,931 | ||||||
|
| |||||||
103,472 | ||||||||
|
|
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks continued | ||||||||
Telecommunications 0.8% | ||||||||
Arista Networks, Inc. (a) | 15 | 5,151 | ||||||
AT&T, Inc. | 829 | 22,388 | ||||||
Cisco Systems, Inc. | 1,092 | 59,457 | ||||||
Corning, Inc. | 210 | 7,652 | ||||||
Juniper Networks, Inc. | 80 | 2,199 | ||||||
Lumen Technologies, Inc. | 78 | 966 | ||||||
Motorola Solutions, Inc. | 55 | 12,760 | ||||||
T-Mobile US, Inc. (a) | 72 | 9,158 | ||||||
Verizon Communications, Inc. | 481 | 25,982 | ||||||
|
| |||||||
145,713 | ||||||||
|
| |||||||
Total Communications | 4,214,738 | |||||||
|
| |||||||
Consumer Cyclical 2.7% | ||||||||
Airlines 0.1% | ||||||||
Delta Air Lines, Inc. (a) | 78 | 3,310 | ||||||
Southwest Airlines Co. (a) | 99 | 5,100 | ||||||
|
| |||||||
8,410 | ||||||||
|
| |||||||
Apparel 0.1% | ||||||||
Hanesbrands, Inc. | 22 | 379 | ||||||
NIKE, Inc., Class B | 144 | 20,946 | ||||||
Ralph Lauren Corp., Class A | 4 | 481 | ||||||
VF Corp. | 33 | 2,178 | ||||||
|
| |||||||
23,984 | ||||||||
|
| |||||||
Auto Manufacturers 0.7% | ||||||||
Cummins, Inc. | 81 | 18,275 | ||||||
Ford Motor Co. (a) | 429 | 6,071 | ||||||
General Motors Co. (a) | 154 | 8,130 | ||||||
PACCAR, Inc. | 194 | 15,336 | ||||||
Tesla, Inc. (a) | 92 | 70,972 | ||||||
|
| |||||||
118,784 | ||||||||
|
| |||||||
Auto Parts & Equipment 0.0% (g) | ||||||||
Aptiv plc, (Ireland) (a) | 31 | 4,640 | ||||||
Autoliv, Inc., (Sweden) | 9 | 743 | ||||||
BorgWarner, Inc. | 26 | 1,141 | ||||||
Lear Corp. | 8 | 1,228 | ||||||
|
| |||||||
7,752 | ||||||||
|
| |||||||
Distribution/Wholesale 0.3% | ||||||||
Copart, Inc. (a) | 113 | 15,633 | ||||||
Fastenal Co. | 303 | 15,662 | ||||||
LKQ Corp. (a) | 39 | 1,970 | ||||||
Pool Corp. | 7 | 2,868 | ||||||
WW Grainger, Inc. | 23 | 8,936 | ||||||
|
| |||||||
45,069 | ||||||||
|
|
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks continued | ||||||||
Entertainment 0.1% | ||||||||
AMC Entertainment Holdings, Inc., Class A (a) | 56 | 2,123 | ||||||
Caesars Entertainment, Inc. (a) | 22 | 2,438 | ||||||
DraftKings, Inc., Class A (a) | 38 | 1,838 | ||||||
Live Nation Entertainment, Inc. (a) | 18 | 1,619 | ||||||
Vail Resorts, Inc. (a) | 5 | 1,549 | ||||||
|
| |||||||
9,567 | ||||||||
|
| |||||||
Food Service 0.0% (g) | ||||||||
Aramark | 24 | 805 | ||||||
|
| |||||||
Home Builders 0.1% | ||||||||
DR Horton, Inc. | 40 | 3,351 | ||||||
Lennar Corp., Class A | 33 | 3,088 | ||||||
NVR, Inc. (a) | | (h) | 1,194 | |||||
PulteGroup, Inc. | 58 | 2,660 | ||||||
|
| |||||||
10,293 | ||||||||
|
| |||||||
Home Furnishings 0.0% (g) | ||||||||
Leggett & Platt, Inc. | 70 | 3,117 | ||||||
Whirlpool Corp. | 9 | 1,901 | ||||||
|
| |||||||
5,018 | ||||||||
|
| |||||||
Housewares 0.0% (g) | ||||||||
Newell Brands, Inc. | 95 | 2,099 | ||||||
|
| |||||||
Leisure Time 0.0% (g) | ||||||||
Carnival Corp. (a) | 102 | 2,554 | ||||||
Peloton Interactive, Inc., Class A (a) | 28 | 2,451 | ||||||
Royal Caribbean Cruises Ltd. (a) | 27 | 2,437 | ||||||
|
| |||||||
7,442 | ||||||||
|
| |||||||
Lodging 0.1% | ||||||||
Hilton Worldwide Holdings, Inc. (a) | 30 | 4,009 | ||||||
Las Vegas Sands Corp. (a) | 40 | 1,463 | ||||||
Marriott International, Inc., Class A (a) | 34 | 5,035 | ||||||
MGM Resorts International | 66 | 2,858 | ||||||
Wynn Resorts Ltd. (a) | 10 | 844 | ||||||
|
| |||||||
14,209 | ||||||||
|
| |||||||
Retail 1.2% | ||||||||
Advance Auto Parts, Inc. | 9 | 1,918 | ||||||
AutoZone, Inc. (a) | 2 | 3,970 | ||||||
Bath & Body Works, Inc. | 28 | 1,790 | ||||||
Best Buy Co., Inc. | 29 | 3,091 | ||||||
Burlington Stores, Inc. (a) | 6 | 1,829 | ||||||
CarMax, Inc. (a) | 18 | 2,267 | ||||||
Carvana Co., Class A (a) | 7 | 2,228 | ||||||
Chipotle Mexican Grill, Inc., Class A (a) | 4 | 6,572 | ||||||
Costco Wholesale Corp. | 52 | 23,253 | ||||||
Darden Restaurants, Inc. | 20 | 3,044 | ||||||
Dollar General Corp. | 28 | 5,915 | ||||||
Dollar Tree, Inc. (a) | 29 | 2,811 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks continued | ||||||||
Retail continued | ||||||||
Dominos Pizza, Inc. | 3 | 1,413 | ||||||
Genuine Parts Co. | 20 | 2,474 | ||||||
Home Depot, Inc. (The) | 101 | 33,099 | ||||||
Lowes Cos., Inc. | 78 | 15,784 | ||||||
Lululemon Athletica, Inc., (Canada) (a) | 14 | 5,769 | ||||||
McDonalds Corp. | 84 | 20,287 | ||||||
OReilly Automotive, Inc. (a) | 7 | 4,089 | ||||||
Ross Stores, Inc. | 41 | 4,464 | ||||||
Starbucks Corp. | 133 | 14,714 | ||||||
Target Corp. | 57 | 12,934 | ||||||
TJX Cos., Inc. (The) | 139 | 9,151 | ||||||
Tractor Supply Co. | 13 | 2,662 | ||||||
Ulta Beauty, Inc. (a) | 7 | 2,381 | ||||||
Walgreens Boots Alliance, Inc. | 82 | 3,860 | ||||||
Walmart, Inc. | 180 | 25,115 | ||||||
Yum! Brands, Inc. | 28 | 3,399 | ||||||
|
| |||||||
220,283 | ||||||||
|
| |||||||
Textiles 0.0% (g) | ||||||||
Mohawk Industries, Inc. (a) | 14 | 2,554 | ||||||
|
| |||||||
Toys/Games/Hobbies 0.0% (g) | ||||||||
Hasbro, Inc. | 23 | 2,078 | ||||||
|
| |||||||
Total Consumer Cyclical | 478,347 | |||||||
|
| |||||||
Consumer Non-cyclical 18.9% | ||||||||
Agriculture 0.2% | ||||||||
Altria Group, Inc. | 192 | 8,760 | ||||||
Archer-Daniels-Midland Co. | 83 | 4,973 | ||||||
Bunge Ltd. | 23 | 1,872 | ||||||
Philip Morris International, Inc. | 167 | 15,818 | ||||||
|
| |||||||
31,423 | ||||||||
|
| |||||||
Beverages 4.2% | ||||||||
Boston Beer Co., Inc. (The), Class A (a) | 12 | 6,312 | ||||||
Brown-Forman Corp., Class B | 420 | 28,131 | ||||||
Coca-Cola Co. (The) | 5,609 | 294,308 | ||||||
Constellation Brands, Inc., Class A | 235 | 49,430 | ||||||
Keurig Dr Pepper, Inc. | 965 | 32,976 | ||||||
Molson Coors Beverage Co., Class B | 260 | 12,055 | ||||||
Monster Beverage Corp. (a) | 548 | 48,651 | ||||||
PepsiCo., Inc. | 1,878 | 282,404 | ||||||
|
| |||||||
754,267 | ||||||||
|
| |||||||
Biotechnology 2.7% | ||||||||
Alnylam Pharmaceuticals, Inc. (a) | 90 | 17,060 | ||||||
Amgen, Inc. | 444 | 94,472 | ||||||
Biogen, Inc. (a) | 117 | 33,050 | ||||||
BioMarin Pharmaceutical, Inc. (a) | 142 | 10,954 | ||||||
Bio-Rad Laboratories, Inc., Class A (a) | 3 | 2,515 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks continued | ||||||||
Biotechnology continued | ||||||||
Corteva, Inc. | 98 | 4,142 | ||||||
Exact Sciences Corp. (a) | 132 | 12,614 | ||||||
Gilead Sciences, Inc. | 972 | 67,886 | ||||||
Horizon Therapeutics Plc (a) | 165 | 18,056 | ||||||
Illumina, Inc. (a) | 16 | 6,683 | ||||||
Incyte Corp. (a) | 144 | 9,937 | ||||||
Moderna, Inc. (a) | 264 | 101,696 | ||||||
Novavax, Inc. (a) | 54 | 11,254 | ||||||
Regeneron Pharmaceuticals, Inc. (a) | 82 | 49,509 | ||||||
Royalty Pharma plc, Class A | 21 | 755 | ||||||
Seagen, Inc. (a) | 105 | 17,837 | ||||||
Vertex Pharmaceuticals, Inc. (a) | 202 | 36,650 | ||||||
|
| |||||||
495,070 | ||||||||
|
| |||||||
Commercial Services 1.8% | ||||||||
AMERCO | 5 | 3,344 | ||||||
Automatic Data Processing, Inc. | 49 | 9,849 | ||||||
Booz Allen Hamilton Holding Corp., Class A | 65 | 5,194 | ||||||
Cintas Corp. | 51 | 19,286 | ||||||
CoStar Group, Inc. (a) | 204 | 17,536 | ||||||
Equifax, Inc. | 64 | 16,274 | ||||||
FleetCor Technologies, Inc. (a) | 9 | 2,276 | ||||||
Gartner, Inc. (a) | 9 | 2,848 | ||||||
Global Payments, Inc. | 33 | 5,265 | ||||||
IHS Markit Ltd., (United Kingdom) | 202 | 23,584 | ||||||
MarketAxess Holdings, Inc. | 29 | 12,254 | ||||||
Moodys Corp. | 104 | 36,860 | ||||||
PayPal Holdings, Inc. (a) | 126 | 32,789 | ||||||
Quanta Services, Inc. | 11 | 1,202 | ||||||
Robert Half International, Inc. | 62 | 6,189 | ||||||
Rollins, Inc. | 190 | 6,715 | ||||||
S&P Global, Inc. | 156 | 66,297 | ||||||
Square, Inc., Class A (a) | 43 | 10,363 | ||||||
TransUnion | 97 | 10,885 | ||||||
United Rentals, Inc. (a) | 38 | 13,420 | ||||||
Verisk Analytics, Inc., Class A | 80 | 15,927 | ||||||
|
| |||||||
318,357 | ||||||||
|
| |||||||
Cosmetics/Personal Care 0.3% | ||||||||
Colgate-Palmolive Co. | 82 | 6,232 | ||||||
Estee Lauder Cos., Inc. (The), Class A | 26 | 7,876 | ||||||
Procter & Gamble Co. (The) | 244 | 34,091 | ||||||
|
| |||||||
48,199 | ||||||||
|
| |||||||
Food 0.2% | ||||||||
Campbell Soup Co. | 17 | 697 | ||||||
Conagra Brands, Inc. | 48 | 1,620 | ||||||
General Mills, Inc. | 78 | 4,688 | ||||||
Hershey Co. (The) | 12 | 2,097 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks continued | ||||||||
Food continued | ||||||||
Hormel Foods Corp. | 29 | 1,184 | ||||||
J M Smucker Co. (The) | 15 | 1,842 | ||||||
Kellogg Co. | 42 | 2,675 | ||||||
Kraft Heinz Co. (The) | 87 | 3,208 | ||||||
Kroger Co. (The) | 79 | 3,206 | ||||||
Lamb Weston Holdings, Inc. | 6 | 338 | ||||||
McCormick & Co., Inc. | 20 | 1,661 | ||||||
Mondelez International, Inc., Class A | 175 | 10,189 | ||||||
Sysco Corp. | 49 | 3,830 | ||||||
Tyson Foods, Inc., Class A | 44 | 3,490 | ||||||
|
| |||||||
40,725 | ||||||||
|
| |||||||
Healthcare - Products 1.0% | ||||||||
10X Genomics, Inc., Class A (a) | 8 | 1,111 | ||||||
Abbott Laboratories | 187 | 22,122 | ||||||
ABIOMED, Inc. (a) | 5 | 1,484 | ||||||
Align Technology, Inc. (a) | 8 | 5,564 | ||||||
Avantor, Inc. (a) | 43 | 1,777 | ||||||
Baxter International, Inc. | 64 | 5,184 | ||||||
Bio-Techne Corp. | 4 | 2,180 | ||||||
Boston Scientific Corp. (a) | 165 | 7,151 | ||||||
Cooper Cos., Inc. (The) | 5 | 2,039 | ||||||
Danaher Corp. | 73 | 22,278 | ||||||
DENTSPLY SIRONA, Inc. | 29 | 1,671 | ||||||
Edwards Lifesciences Corp. (a) | 71 | 8,094 | ||||||
Henry Schein, Inc. (a) | 38 | 2,903 | ||||||
Hologic, Inc. (a) | 28 | 2,099 | ||||||
IDEXX Laboratories, Inc. (a) | 8 | 5,280 | ||||||
Insulet Corp. (a) | 5 | 1,554 | ||||||
Intuitive Surgical, Inc. (a) | 14 | 13,500 | ||||||
Masimo Corp. (a) | 5 | 1,392 | ||||||
Medtronic plc, (Ireland) | 151 | 18,929 | ||||||
Novocure Ltd., (Jersey) (a) | 10 | 1,116 | ||||||
PerkinElmer, Inc. | 13 | 2,247 | ||||||
ResMed, Inc. | 16 | 4,269 | ||||||
STERIS plc | 15 | 3,007 | ||||||
Stryker Corp. | 38 | 9,939 | ||||||
Teleflex, Inc. | 5 | 1,792 | ||||||
Thermo Fisher Scientific, Inc. | 45 | 25,693 | ||||||
West Pharmaceutical Services, Inc. | 8 | 3,351 | ||||||
Zimmer Biomet Holdings, Inc. | 25 | 3,720 | ||||||
|
| |||||||
181,446 | ||||||||
|
| |||||||
Healthcare - Services 0.6% | ||||||||
Anthem, Inc. | 27 | 10,166 | ||||||
Catalent, Inc. (a) | 158 | 20,961 | ||||||
Centene Corp. (a) | 61 | 3,818 | ||||||
Charles River Laboratories International, Inc. (a) | 5 | 2,241 | ||||||
DaVita, Inc. (a) | 4 | 492 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks continued | ||||||||
Healthcare - Services continued | ||||||||
HCA Healthcare, Inc. | 29 | 7,048 | ||||||
Humana, Inc. | 15 | 5,656 | ||||||
IQVIA Holdings, Inc. (a) | 22 | 5,171 | ||||||
Laboratory Corp. of America Holdings (a) | 14 | 3,801 | ||||||
Molina Healthcare, Inc. (a) | 5 | 1,275 | ||||||
Oak Street Health, Inc. (a) | 8 | 327 | ||||||
PPD, Inc. (a) | 12 | 551 | ||||||
Quest Diagnostics, Inc. | 16 | 2,279 | ||||||
Teladoc Health, Inc. (a) | 14 | 1,813 | ||||||
UnitedHealth Group, Inc. | 95 | 36,949 | ||||||
Universal Health Services, Inc., Class B | 12 | 1,625 | ||||||
|
| |||||||
104,173 | ||||||||
|
| |||||||
Household Products/Wares 0.1% | ||||||||
Avery Dennison Corp. | 10 | 1,972 | ||||||
Church & Dwight Co., Inc. | 42 | 3,457 | ||||||
Clorox Co. (The) | 10 | 1,638 | ||||||
Kimberly-Clark Corp. | 37 | 4,929 | ||||||
|
| |||||||
11,996 | ||||||||
|
| |||||||
Pharmaceuticals 7.8% | ||||||||
AbbVie, Inc. | 1,361 | 146,794 | ||||||
AmerisourceBergen Corp., Class A | 15 | 1,744 | ||||||
Becton Dickinson and Co. | 33 | 8,212 | ||||||
Bristol-Myers Squibb Co. | 2,040 | 120,709 | ||||||
Cardinal Health, Inc. | 26 | 1,310 | ||||||
Cigna Corp. | 40 | 8,087 | ||||||
CVS Health Corp. | 157 | 13,282 | ||||||
Dexcom, Inc. (a) | 10 | 5,654 | ||||||
Elanco Animal Health, Inc. (a) | 45 | 1,426 | ||||||
Eli Lilly & Co. | 735 | 169,735 | ||||||
Jazz Pharmaceuticals plc, (Ireland) (a) | 6 | 754 | ||||||
Johnson & Johnson | 2,409 | 389,090 | ||||||
McKesson Corp. | 16 | 3,179 | ||||||
Merck & Co., Inc. | 2,349 | 176,465 | ||||||
Neurocrine Biosciences, Inc. (a) | 72 | 6,884 | ||||||
Organon & Co. | 268 | 8,782 | ||||||
Pfizer, Inc. | 5,187 | 223,101 | ||||||
Viatris, Inc. | 1,109 | 15,023 | ||||||
Zoetis, Inc., Class A | 436 | 84,609 | ||||||
|
| |||||||
1,384,840 | ||||||||
|
| |||||||
Total Consumer Non-cyclical | 3,370,496 | |||||||
|
| |||||||
Energy 0.8% | ||||||||
Energy - Alternate Sources 0.1% | ||||||||
Enphase Energy, Inc. (a) | 40 | 6,073 | ||||||
Plug Power, Inc. (a) | 267 | 6,821 | ||||||
SolarEdge Technologies, Inc., (Israel) (a) | 16 | 4,363 | ||||||
Sunrun, Inc. (a) | 90 | 3,956 | ||||||
|
| |||||||
21,213 | ||||||||
|
|
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks continued | ||||||||
Oil & Gas 0.5% | ||||||||
Cabot Oil & Gas Corp. | 85 | 1,845 | ||||||
Chevron Corp. | 226 | 22,919 | ||||||
ConocoPhillips | 162 | 10,986 | ||||||
Devon Energy Corp. | 70 | 2,471 | ||||||
EOG Resources, Inc. | 75 | 6,050 | ||||||
Exxon Mobil Corp. | 490 | 28,815 | ||||||
Hess Corp. | 26 | 2,048 | ||||||
Marathon Petroleum Corp. | 72 | 4,442 | ||||||
Occidental Petroleum Corp. | 93 | 2,763 | ||||||
Phillips 66 | 49 | 3,452 | ||||||
Pioneer Natural Resources Co. | 26 | 4,311 | ||||||
Valero Energy Corp. | 46 | 3,213 | ||||||
|
| |||||||
93,315 | ||||||||
|
| |||||||
Oil & Gas Services 0.1% | ||||||||
Baker Hughes Co., Class A | 89 | 2,193 | ||||||
Halliburton Co. | 107 | 2,316 | ||||||
Schlumberger NV | 173 | 5,127 | ||||||
|
| |||||||
9,636 | ||||||||
|
| |||||||
Pipelines 0.1% | ||||||||
Cheniere Energy, Inc. (a) | 21 | 2,071 | ||||||
Kinder Morgan, Inc. | 224 | 3,754 | ||||||
ONEOK, Inc. | 47 | 2,727 | ||||||
Williams Cos., Inc. (The) | 114 | 2,946 | ||||||
|
| |||||||
11,498 | ||||||||
|
| |||||||
Total Energy | 135,662 | |||||||
|
| |||||||
Financial 15.4% | ||||||||
Banks 6.0% | ||||||||
Bank of America Corp. | 5,018 | 213,010 | ||||||
Bank of New York Mellon Corp. (The) | 665 | 34,490 | ||||||
Citigroup, Inc. | 1,412 | 99,065 | ||||||
Citizens Financial Group, Inc. | 435 | 20,424 | ||||||
Fifth Third Bancorp | 633 | 26,858 | ||||||
First Republic Bank | 148 | 28,556 | ||||||
Goldman Sachs Group, Inc. (The) | 227 | 85,694 | ||||||
Huntington Bancshares, Inc. | 1,340 | 20,719 | ||||||
KeyCorp. | 930 | 20,109 | ||||||
M&T Bank Corp. | 137 | 20,402 | ||||||
Morgan Stanley | 934 | 90,857 | ||||||
Northern Trust Corp. | 185 | 19,949 | ||||||
PNC Financial Services Group, Inc. (The) | 301 | 58,803 | ||||||
Regions Financial Corp. | 913 | 19,450 | ||||||
State Street Corp. | 305 | 25,853 | ||||||
SVB Financial Group (a) | 46 | 29,443 | ||||||
Truist Financial Corp. | 967 | 56,696 | ||||||
US Bancorp | 1,032 | 61,344 | ||||||
Wells Fargo & Co. | 2,755 | 127,843 | ||||||
Zions Bancorp NA | 36 | 2,229 | ||||||
|
| |||||||
1,061,794 | ||||||||
|
|
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks continued | ||||||||
Diversified Financial Services 3.5% | ||||||||
Ally Financial, Inc. | 230 | 11,736 | ||||||
American Express Co. | 471 | 78,924 | ||||||
Ameriprise Financial, Inc. | 73 | 19,231 | ||||||
Apollo Global Management, Inc., Class A | 97 | 5,945 | ||||||
BlackRock, Inc., Class A | 67 | 56,298 | ||||||
Capital One Financial Corp. | 334 | 54,078 | ||||||
Cboe Global Markets, Inc. | 74 | 9,160 | ||||||
Charles Schwab Corp. (The) | 915 | 66,674 | ||||||
CME Group, Inc., Class A | 258 | 49,843 | ||||||
Discover Financial Services | 258 | 31,688 | ||||||
Franklin Resources, Inc. | 254 | 7,540 | ||||||
Intercontinental Exchange, Inc. | 403 | 46,279 | ||||||
Invesco Ltd. | 241 | 5,818 | ||||||
Mastercard, Inc., Class A | 99 | 34,299 | ||||||
Nasdaq, Inc. | 75 | 14,515 | ||||||
Raymond James Financial, Inc. | 127 | 11,704 | ||||||
SEI Investments Co. | 150 | 8,921 | ||||||
Synchrony Financial | 479 | 23,437 | ||||||
T Rowe Price Group, Inc. | 184 | 36,200 | ||||||
Tradeweb Markets, Inc., Class A | 84 | 6,767 | ||||||
Visa, Inc., Class A | 193 | 43,059 | ||||||
Western Union Co. (The) | 76 | 1,540 | ||||||
|
| |||||||
623,656 | ||||||||
|
| |||||||
Insurance 4.8% | ||||||||
Aflac, Inc. | 547 | 28,512 | ||||||
Alleghany Corp. (a) | 11 | 6,896 | ||||||
Allstate Corp. (The) | 234 | 29,744 | ||||||
American Financial Group, Inc. | 65 | 8,156 | ||||||
American International Group, Inc. | 606 | 33,246 | ||||||
Aon plc, Class A | 142 | 40,663 | ||||||
Arch Capital Group Ltd., (Bermuda) (a) | 262 | 10,004 | ||||||
Arthur J Gallagher & Co. | 129 | 19,230 | ||||||
Assurant, Inc. | 45 | 7,163 | ||||||
Athene Holding Ltd., (Bermuda), Class A (a) | 85 | 5,839 | ||||||
Berkshire Hathaway, Inc., Class B (a) | 857 | 233,979 | ||||||
Brown & Brown, Inc. | 138 | 7,648 | ||||||
Chubb Ltd., (Switzerland) | 310 | 53,775 | ||||||
Cincinnati Financial Corp. | 123 | 14,094 | ||||||
Equitable Holdings, Inc. | 273 | 8,103 | ||||||
Erie Indemnity Co., Class A | 15 | 2,588 | ||||||
Everest Re Group Ltd., (Bermuda) | 27 | 6,657 | ||||||
Fidelity National Financial, Inc. | 179 | 8,115 | ||||||
Globe Life, Inc. | 106 | 9,414 | ||||||
Hartford Financial Services Group, Inc. (The) | 293 | 20,555 | ||||||
Lincoln National Corp. | 161 | 11,043 | ||||||
Loews Corp. | 163 | 8,803 | ||||||
Markel Corp. (a) | 12 | 14,376 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks continued | ||||||||
Insurance continued | ||||||||
Marsh & McLennan Cos., Inc. | 369 | 55,905 | ||||||
MetLife, Inc. | 593 | 36,610 | ||||||
Principal Financial Group, Inc. | 268 | 17,241 | ||||||
Progressive Corp. (The) | 415 | 37,519 | ||||||
Prudential Financial, Inc. | 314 | 33,076 | ||||||
RenaissanceRe Holdings Ltd., (Bermuda) | 45 | 6,261 | ||||||
Travelers Cos., Inc. (The) | 209 | 31,784 | ||||||
Voya Financial, Inc. | 176 | 10,787 | ||||||
Willis Towers Watson plc, (United Kingdom) | 96 | 22,251 | ||||||
WR Berkley Corp. | 133 | 9,757 | ||||||
|
| |||||||
849,794 | ||||||||
|
| |||||||
Private Equity 0.4% | ||||||||
Blackstone Group, Inc. (The) | 473 | 55,077 | ||||||
Carlyle Group, Inc. (The) | 92 | 4,329 | ||||||
KKR & Co., Inc. | 316 | 19,264 | ||||||
|
| |||||||
78,670 | ||||||||
|
| |||||||
Real Estate 0.0% (g) | ||||||||
CBRE Group, Inc., Class A (a) | 44 | 4,314 | ||||||
|
| |||||||
REITS 0.7% | ||||||||
AGNC Investment Corp. | 380 | 5,990 | ||||||
Alexandria Real Estate Equities, Inc. | 16 | 3,096 | ||||||
American Tower Corp. | 48 | 12,800 | ||||||
Annaly Capital Management, Inc. | 861 | 7,252 | ||||||
AvalonBay Communities, Inc. | 18 | 4,065 | ||||||
Boston Properties, Inc. | 16 | 1,743 | ||||||
Camden Property Trust | 9 | 1,362 | ||||||
Crown Castle International Corp. | 47 | 8,101 | ||||||
Digital Realty Trust, Inc. | 32 | 4,563 | ||||||
Duke Realty Corp. | 35 | 1,670 | ||||||
Equinix, Inc. | 10 | 8,138 | ||||||
Equity LifeStyle Properties, Inc. | 11 | 852 | ||||||
Equity Residential | 46 | 3,716 | ||||||
Essex Property Trust, Inc. | 8 | 2,520 | ||||||
Extra Space Storage, Inc. | 12 | 2,099 | ||||||
Healthpeak Properties, Inc. | 72 | 2,415 | ||||||
Host Hotels & Resorts, Inc. (a) | 93 | 1,515 | ||||||
Invitation Homes, Inc. | 71 | 2,717 | ||||||
Iron Mountain, Inc. | 27 | 1,182 | ||||||
Medical Properties Trust, Inc. | 39 | 775 | ||||||
Mid-America Apartment Communities, Inc. | 16 | 2,938 | ||||||
Omega Healthcare Investors, Inc. | 18 | 553 | ||||||
Prologis, Inc. | 91 | 11,434 | ||||||
Public Storage | 18 | 5,235 | ||||||
Realty Income Corp. | 40 | 2,568 | ||||||
Regency Centers Corp. | 18 | 1,194 | ||||||
SBA Communications Corp., Class A | 10 | 3,368 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks continued | ||||||||
REITS continued | ||||||||
Simon Property Group, Inc. | 36 | 4,635 | ||||||
Sun Communities, Inc. | 11 | 1,958 | ||||||
UDR, Inc. | 24 | 1,297 | ||||||
Ventas, Inc. | 52 | 2,851 | ||||||
VEREIT, Inc. | 27 | 1,242 | ||||||
VICI Properties, Inc. | 73 | 2,077 | ||||||
Vornado Realty Trust | 56 | 2,359 | ||||||
Welltower, Inc. | 52 | 4,266 | ||||||
Weyerhaeuser Co. | 99 | 3,537 | ||||||
WP Carey, Inc. | 12 | 844 | ||||||
|
| |||||||
128,927 | ||||||||
|
| |||||||
Savings & Loans 0.0% (g) | ||||||||
Peoples United Financial, Inc. | 57 | 1,001 | ||||||
|
| |||||||
Total Financial | 2,748,156 | |||||||
|
| |||||||
Industrial 12.7% | ||||||||
Aerospace/Defense 1.6% | ||||||||
Boeing Co. (The) (a) | 293 | 64,462 | ||||||
General Dynamics Corp. | 130 | 25,416 | ||||||
HEICO Corp. | 24 | 3,189 | ||||||
HEICO Corp., Class A | 36 | 4,260 | ||||||
Howmet Aerospace, Inc. | 204 | 6,370 | ||||||
L3Harris Technologies, Inc. | 107 | 23,533 | ||||||
Lockheed Martin Corp. | 132 | 45,534 | ||||||
Northrop Grumman Corp. | 81 | 29,140 | ||||||
Raytheon Technologies Corp. | 807 | 69,405 | ||||||
Teledyne Technologies, Inc. (a) | 10 | 4,477 | ||||||
TransDigm Group, Inc. (a) | 27 | 16,552 | ||||||
|
| |||||||
292,338 | ||||||||
|
| |||||||
Building Materials 0.5% | ||||||||
Carrier Global Corp. | 434 | 22,455 | ||||||
Fortune Brands Home & Security, Inc. | 70 | 6,275 | ||||||
Johnson Controls International plc | 392 | 26,718 | ||||||
Lennox International, Inc. | 16 | 4,619 | ||||||
Martin Marietta Materials, Inc. | 8 | 2,741 | ||||||
Masco Corp. | 121 | 6,708 | ||||||
Owens Corning | 54 | 4,637 | ||||||
Vulcan Materials Co. | 17 | 2,820 | ||||||
|
| |||||||
76,973 | ||||||||
|
| |||||||
Electrical Components & Equipments 0.3% | ||||||||
AMETEK, Inc. | 127 | 15,801 | ||||||
Emerson Electric Co. | 320 | 30,134 | ||||||
Generac Holdings, Inc. (a) | 33 | 13,469 | ||||||
|
| |||||||
59,404 | ||||||||
|
|
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks continued | ||||||||
Electronics 0.9% | ||||||||
Agilent Technologies, Inc. | 35 | 5,559 | ||||||
Allegion plc, (Ireland) | 54 | 7,165 | ||||||
Amphenol Corp., Class A | 164 | 12,044 | ||||||
Arrow Electronics, Inc. (a) | 24 | 2,678 | ||||||
Fortive Corp. | 177 | 12,479 | ||||||
Garmin Ltd., (Switzerland) | 23 | 3,652 | ||||||
Honeywell International, Inc. | 370 | 78,553 | ||||||
Keysight Technologies, Inc. (a) | 55 | 9,094 | ||||||
Mettler-Toledo International, Inc. (a) | 3 | 4,424 | ||||||
Sensata Technologies Holding plc (a) | 79 | 4,308 | ||||||
TE Connectivity Ltd., (Switzerland) | 93 | 12,797 | ||||||
Trimble, Inc. (a) | 85 | 6,985 | ||||||
Waters Corp. (a) | 5 | 1,812 | ||||||
|
| |||||||
161,550 | ||||||||
|
| |||||||
Engineering & Construction 0.1% | ||||||||
Jacobs Engineering Group, Inc. | 70 | 9,275 | ||||||
|
| |||||||
Environmental Control 0.4% | ||||||||
Pentair plc, (United Kingdom) | 89 | 6,478 | ||||||
Republic Services, Inc., Class A | 123 | 14,717 | ||||||
Waste Connections, Inc. | 141 | 17,741 | ||||||
Waste Management, Inc. | 222 | 33,154 | ||||||
|
| |||||||
72,090 | ||||||||
|
| |||||||
Hand/Machine Tools 0.1% | ||||||||
Snap-on, Inc. | 29 | 5,966 | ||||||
Stanley Black & Decker, Inc. | 88 | 15,443 | ||||||
|
| |||||||
21,409 | ||||||||
|
| |||||||
Machinery - Construction & Mining 0.3% | ||||||||
Caterpillar, Inc. | 289 | 55,446 | ||||||
|
| |||||||
Machinery - Diversified 0.8% | ||||||||
Cognex Corp. | 44 | 3,561 | ||||||
Deere & Co. | 156 | 52,285 | ||||||
Dover Corp. | 74 | 11,533 | ||||||
IDEX Corp. | 38 | 7,764 | ||||||
Ingersoll Rand, Inc. (a) | 211 | 10,613 | ||||||
Nordson Corp. | 27 | 6,478 | ||||||
Otis Worldwide Corp. | 207 | 17,005 | ||||||
Rockwell Automation, Inc. | 60 | 17,709 | ||||||
Westinghouse Air Brake Technologies Corp. | 95 | 8,188 | ||||||
Xylem, Inc. | 102 | 12,563 | ||||||
|
| |||||||
147,699 | ||||||||
|
|
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks continued | ||||||||
Miscellaneous Manufacturers 1.3% | ||||||||
3M Co. | 305 | 53,529 | ||||||
AO Smith Corp. | 69 | 4,195 | ||||||
Eaton Corp. plc | 213 | 31,858 | ||||||
General Electric Co. | 581 | 59,851 | ||||||
Illinois Tool Works, Inc. | 163 | 33,678 | ||||||
Parker-Hannifin Corp. | 69 | 19,343 | ||||||
Textron, Inc. | 140 | 9,764 | ||||||
Trane Technologies plc, (Ireland) | 127 | 21,884 | ||||||
|
| |||||||
234,102 | ||||||||
|
| |||||||
Packaging & Containers 0.1% | ||||||||
Amcor plc, (United Kingdom) | 179 | 2,077 | ||||||
Ball Corp. | 36 | 3,213 | ||||||
Crown Holdings, Inc. | 12 | 1,212 | ||||||
Packaging Corp. of America | 16 | 2,138 | ||||||
Sealed Air Corp. | 51 | 2,780 | ||||||
Westrock Co. | 36 | 1,817 | ||||||
|
| |||||||
13,237 | ||||||||
|
| |||||||
Shipbuilding 0.0% (g) | ||||||||
Huntington Ingalls Industries, Inc. | 31 | 5,924 | ||||||
|
| |||||||
Transportation 6.3% | ||||||||
CH Robinson Worldwide, Inc. | 571 | 49,708 | ||||||
CSX Corp. | 1,195 | 35,544 | ||||||
Expeditors International of Washington, Inc. | 739 | 87,992 | ||||||
FedEx Corp. | 1,073 | 235,361 | ||||||
JB Hunt Transport Services, Inc. | 45 | 7,447 | ||||||
Kansas City Southern | 47 | 12,780 | ||||||
Knight-Swift Transportation Holdings, Inc., Class A | 86 | 4,423 | ||||||
Norfolk Southern Corp. | 133 | 31,796 | ||||||
Old Dominion Freight Line, Inc. | 53 | 15,063 | ||||||
Union Pacific Corp. | 350 | 68,581 | ||||||
United Parcel Service, Inc., Class B | 3,160 | 575,508 | ||||||
|
| |||||||
1,124,203 | ||||||||
|
| |||||||
Total Industrial | 2,273,650 | |||||||
|
| |||||||
Technology 24.2% | ||||||||
Computers 4.3% | ||||||||
Accenture plc, (Ireland), Class A | 74 | 23,735 | ||||||
Apple, Inc. | 4,255 | 602,059 | ||||||
Cognizant Technology Solutions Corp., Class A | 65 | 4,820 | ||||||
Crowdstrike Holdings, Inc., Class A (a) | 141 | 34,667 | ||||||
Dell Technologies, Inc., Class C (a) | 71 | 7,428 | ||||||
EPAM Systems, Inc. (a) | 6 | 3,664 | ||||||
Fortinet, Inc. (a) | 104 | 30,418 | ||||||
Hewlett Packard Enterprise Co. | 334 | 4,764 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks continued | ||||||||
Computers continued | ||||||||
HP, Inc. | 328 | 8,969 | ||||||
International Business Machines Corp. | 102 | 14,135 | ||||||
Leidos Holdings, Inc. | 70 | 6,688 | ||||||
NetApp, Inc. | 53 | 4,724 | ||||||
Seagate Technology Holdings plc | 48 | 3,956 | ||||||
Western Digital Corp. (a) | 81 | 4,544 | ||||||
Zscaler, Inc. (a) | 60 | 15,748 | ||||||
|
| |||||||
770,319 | ||||||||
|
| |||||||
Office/Business Equipment 0.1% (g) | ||||||||
Zebra Technologies Corp., Class A (a) | 14 | 7,104 | ||||||
|
| |||||||
Semiconductors 3.8% | ||||||||
Advanced Micro Devices, Inc. (a) | 393 | 40,475 | ||||||
Analog Devices, Inc. | 177 | 29,612 | ||||||
Applied Materials, Inc. | 299 | 38,447 | ||||||
Broadcom, Inc. | 131 | 63,622 | ||||||
Intel Corp. | 1,316 | 70,132 | ||||||
IPG Photonics Corp. (a) | 31 | 4,858 | ||||||
KLA Corp. | 49 | 16,439 | ||||||
Lam Research Corp. | 46 | 26,323 | ||||||
Marvell Technology, Inc. | 263 | 15,888 | ||||||
Microchip Technology, Inc. | 86 | 13,213 | ||||||
Micron Technology, Inc. | 374 | 26,524 | ||||||
Monolithic Power Systems, Inc. | 13 | 6,479 | ||||||
NVIDIA Corp. | 806 | 167,073 | ||||||
NXP Semiconductors NV, (Netherlands) | 90 | 17,608 | ||||||
ON Semiconductor Corp. (a) | 142 | 6,477 | ||||||
Qorvo, Inc. (a) | 36 | 6,037 | ||||||
QUALCOMM, Inc. | 364 | 46,939 | ||||||
Skyworks Solutions, Inc. | 54 | 8,829 | ||||||
Teradyne, Inc. | 53 | 5,790 | ||||||
Texas Instruments, Inc. | 299 | 57,522 | ||||||
Xilinx, Inc. | 78 | 11,731 | ||||||
|
| |||||||
680,018 | ||||||||
|
| |||||||
Software 16.0% | ||||||||
Activision Blizzard, Inc. | 90 | 6,928 | ||||||
Adobe, Inc. (a) | 359 | 206,711 | ||||||
Akamai Technologies, Inc. (a) | 18 | 1,897 | ||||||
ANSYS, Inc. (a) | 65 | 22,272 | ||||||
Autodesk, Inc. (a) | 164 | 46,766 | ||||||
Avalara, Inc. (a) | 65 | 11,330 | ||||||
Bentley Systems, Inc., Class B | 129 | 7,822 | ||||||
Black Knight, Inc. (a) | 110 | 7,922 | ||||||
Broadridge Financial Solutions, Inc. | 9 | 1,496 | ||||||
Cadence Design Systems, Inc. (a) | 209 | 31,674 | ||||||
Ceridian HCM Holding, Inc. (a) | 103 | 11,562 | ||||||
Cerner Corp. | 43 | 3,047 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks continued | ||||||||
Software continued | ||||||||
Citrix Systems, Inc. | 91 | 9,764 | ||||||
Clarivate plc, (United Kingdom) (a) | 181 | 3,962 | ||||||
Cloudflare, Inc., Class A (a) | 25 | 2,866 | ||||||
Coupa Software, Inc. (a) | 54 | 11,826 | ||||||
Datadog, Inc., Class A (a) | 139 | 19,714 | ||||||
DocuSign, Inc., Class A (a) | 145 | 37,331 | ||||||
Dropbox, Inc., Class A (a) | 235 | 6,880 | ||||||
Dynatrace, Inc. (a) | 139 | 9,868 | ||||||
Electronic Arts, Inc. | 34 | 4,793 | ||||||
Fair Isaac Corp. (a) | 20 | 8,106 | ||||||
Fidelity National Information Services, Inc. | 70 | 8,545 | ||||||
Fiserv, Inc. (a) | 67 | 7,305 | ||||||
Guidewire Software, Inc. (a) | 59 | 6,986 | ||||||
HubSpot, Inc. (a) | 33 | 22,452 | ||||||
Intuit, Inc. | 205 | 110,487 | ||||||
Jack Henry & Associates, Inc. | 11 | 1,741 | ||||||
Microsoft Corp. | 5,303 | 1,495,038 | ||||||
MongoDB, Inc., Class A (a) | 6 | 2,735 | ||||||
MSCI, Inc., Class A | 51 | 30,905 | ||||||
Oracle Corp. | 1,399 | 121,903 | ||||||
Palantir Technologies, Inc., Class A (a) | 1,150 | 27,641 | ||||||
Paychex, Inc. | 37 | 4,161 | ||||||
Paycom Software, Inc. (a) | 38 | 18,943 | ||||||
PTC, Inc. (a) | 81 | 9,754 | ||||||
RingCentral, Inc., Class A (a) | 55 | 11,993 | ||||||
Roper Technologies, Inc. | 56 | 25,019 | ||||||
salesforce.com, Inc. (a) | 728 | 197,406 | ||||||
ServiceNow, Inc. (a) | 148 | 92,069 | ||||||
Snowflake, Inc., Class A (a) | 22 | 6,602 | ||||||
Splunk, Inc. (a) | 122 | 17,673 | ||||||
SS&C Technologies Holdings, Inc. | 168 | 11,665 | ||||||
Synopsys, Inc. (a) | 116 | 34,684 | ||||||
Take-Two Interactive Software, Inc. (a) | 13 | 2,047 | ||||||
Twilio, Inc., Class A (a) | 18 | 5,816 | ||||||
Tyler Technologies, Inc. (a) | 30 | 13,672 | ||||||
Unity Software, Inc. (a) | 44 | 5,517 | ||||||
Veeva Systems, Inc., Class A (a) | 15 | 4,283 | ||||||
VMware, Inc., Class A (a) | 64 | 9,460 | ||||||
Workday, Inc., Class A (a) | 143 | 35,614 | ||||||
Zoom Video Communications, Inc., Class A (a) | 159 | 41,521 | ||||||
|
| |||||||
2,858,174 | ||||||||
|
| |||||||
Total Technology | 4,315,615 | |||||||
|
|
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks continued | ||||||||
Utilities 0.6% | ||||||||
Electric 0.6% | ||||||||
AES Corp. (The) | 58 | 1,320 | ||||||
Alliant Energy Corp. | 38 | 2,128 | ||||||
Ameren Corp. | 23 | 1,858 | ||||||
American Electric Power Co., Inc. | 60 | 4,875 | ||||||
CenterPoint Energy, Inc. | 43 | 1,061 | ||||||
CMS Energy Corp. | 21 | 1,255 | ||||||
Consolidated Edison, Inc. | 43 | 3,104 | ||||||
Dominion Energy, Inc. | 81 | 5,907 | ||||||
DTE Energy Co. | 20 | 2,258 | ||||||
Duke Energy Corp. | 92 | 8,956 | ||||||
Edison International | 41 | 2,301 | ||||||
Entergy Corp. | 23 | 2,303 | ||||||
Evergy, Inc. | 21 | 1,295 | ||||||
Eversource Energy | 37 | 3,032 | ||||||
Exelon Corp. | 131 | 6,314 | ||||||
FirstEnergy Corp. | 57 | 2,037 | ||||||
NextEra Energy, Inc. | 229 | 17,972 | ||||||
NRG Energy, Inc. | 26 | 1,062 | ||||||
PG&E Corp. (a) | 163 | 1,566 | ||||||
Pinnacle West Capital Corp. | 12 | 839 | ||||||
PPL Corp. | 103 | 2,866 | ||||||
Public Service Enterprise Group, Inc. | 74 | 4,537 | ||||||
Sempra Energy | 43 | 5,455 | ||||||
Southern Co. (The) | 136 | 8,408 | ||||||
Vistra Corp. | 40 | 681 | ||||||
WEC Energy Group, Inc. | 35 | 3,129 | ||||||
Xcel Energy, Inc. | 62 | 3,889 | ||||||
|
| |||||||
100,408 | ||||||||
|
| |||||||
Gas 0.0% (g) | ||||||||
Atmos Energy Corp. | 11 | 964 | ||||||
NiSource, Inc. | 16 | 387 | ||||||
UGI Corp. | 21 | 909 | ||||||
|
| |||||||
2,260 | ||||||||
|
| |||||||
Water 0.0% (g) | ||||||||
American Water Works Co., Inc. | 18 | 3,114 | ||||||
Essential Utilities, Inc. | 12 | 540 | ||||||
|
| |||||||
3,654 | ||||||||
|
| |||||||
Total Utilities | 106,322 | |||||||
|
| |||||||
Total Common Stocks (Cost $13,699,235) | 17,733,068 | |||||||
|
|
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Short-Term Investments 0.6% | ||||||||
Time Deposits 0.6% | ||||||||
Australia & New Zealand Banking Group Ltd., 0.01%, 10/01/2021 | 66,564 | 66,564 | ||||||
BNP Paribas SA, 0.01%, 10/01/2021 | 34,770 | 34,770 | ||||||
Brown Brothers Harriman, 0.01%, 10/01/2021 | | (h) | | (h) | ||||
Sumitomo Mitsui Banking Corp., 0.01%, 10/01/2021 | 12,696 | 12,696 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $114,030) | 114,030 | |||||||
|
| |||||||
Total Investments 100.0% (Cost - $13,813,265) * | 17,847,098 | |||||||
Liabilities in Excess of Other Assets 0.0% (g) | (1,942 | ) | ||||||
|
| |||||||
NET ASSETS 100.0% | $ | 17,845,156 | ||||||
|
|
Percentages indicated are based on net assets.
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Futures contracts outstanding as of September 30, 2021:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
E-mini Russell 2000 Index | 9 | 12/2021 | USD | 1,006 | (16 | ) | ||||||||||||||
Micro E-mini NASDAQ 100 Index | 87 | 12/2021 | USD | 2,681 | (126 | ) | ||||||||||||||
NASDAQ 100 E-mini Index | 99 | 12/2021 | USD | 30,639 | (1,568 | ) | ||||||||||||||
S&P 500 E-mini Index | 228 | 12/2021 | USD | 50,623 | (1,628 | ) | ||||||||||||||
S&P MidCap 400 E-mini Index | 19 | 12/2021 | USD | 5,021 | (18 | ) | ||||||||||||||
|
| |||||||||||||||||||
(3,356 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Short Contracts | ||||||||||||||||||||
S&P 500 E-mini Index | (55) | 12/2021 | USD | (11,815 | ) | (4 | ) | |||||||||||||
|
| |||||||||||||||||||
Total unrealized appreciation (depreciation) | (3,360 | ) | ||||||||||||||||||
|
|
Six Circles U.S. Unconstrained Equity Fund
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021
REIT | | Real Estate Investment Trust | ||
(a) | | Non-income producing security. | ||
(g) | | Amount rounds to less than 0.05%. | ||
(h) | | Amount rounds to less than 500 shares or principal/ $500. | ||
* | | The cost of securities is substantially the same for federal income tax purposes. | ||
USD | | United States Dollar |
Six Circles U.S. Unconstrained Equity Fund
Summary of Investments by Industry, September 30, 2021
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
INDUSTRY | PERCENTAGE | |||
Internet | 22.0 | % | ||
Software | 16.0 | % | ||
Pharmaceuticals | 7.8 | % | ||
Transportation | 6.3 | % | ||
Banks | 6.0 | % | ||
Insurance | 4.8 | % | ||
Computers | 4.3 | % | ||
Beverages | 4.2 | % | ||
Semiconductors | 3.8 | % | ||
Diversified Financial Services | 3.5 | % | ||
Biotechnology | 2.7 | % | ||
Commercial Services | 1.8 | % | ||
Aerospace/Defense | 1.6 | % | ||
Miscellaneous Manufacturers | 1.3 | % | ||
Retail | 1.2 | % | ||
Healthcare - Products | 1.0 | % | ||
Others (Each less than 1.0%) | 11.1 | % | ||
Short-Term Investments | 0.6 | % |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bond 0.0% (g) | ||||||||
Consumer Non-cyclical 0.0% (g) | ||||||||
Food 0.0% (g) | ||||||||
Britannia Industries Ltd., (India), 5.50%, 06/03/2024 (Cost $0) (g) | INR 140 | 2 | ||||||
|
| |||||||
SHARES | ||||||||
Common Stocks 97.3% | ||||||||
Australia 0.2% | ||||||||
BHP Group plc | 851 | 21,435 | ||||||
|
| |||||||
Austria 0.4% | ||||||||
Erste Group Bank AG | 355 | 15,577 | ||||||
OMV AG | 25 | 1,531 | ||||||
Raiffeisen Bank International AG | 190 | 4,960 | ||||||
Verbund AG | 191 | 19,348 | ||||||
voestalpine AG | 19 | 700 | ||||||
|
| |||||||
42,116 | ||||||||
|
| |||||||
Belgium 1.1% | ||||||||
Ageas SA | 220 | 10,912 | ||||||
Anheuser-Busch InBev SA | 478 | 27,089 | ||||||
Elia Group SA | 89 | 10,585 | ||||||
Etablissements Franz Colruyt NV | 9 | 472 | ||||||
Groupe Bruxelles Lambert SA | 143 | 15,770 | ||||||
KBC Group NV | 316 | 28,513 | ||||||
Proximus SADP | 26 | 515 | ||||||
Sofina SA | 20 | 7,756 | ||||||
Solvay SA | 12 | 1,522 | ||||||
UCB SA | 216 | 24,234 | ||||||
Umicore SA | 33 | 1,926 | ||||||
|
| |||||||
129,294 | ||||||||
|
| |||||||
Chile 0.0% (g) | ||||||||
Antofagasta plc | 158 | 2,867 | ||||||
|
| |||||||
China 0.0% (g) | ||||||||
China Huarong Asset Management Co. Ltd., Class H (a) (e) (bb) (cc) | 374 | 37 | ||||||
Wangfujing Group Co. Ltd., Class A | 6 | 29 | ||||||
|
| |||||||
66 | ||||||||
|
|
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks continued | ||||||||
Denmark 4.4% | ||||||||
Ambu A/S, Class B | 27 | 803 | ||||||
AP Moller - Maersk A/S, Class A | 3 | 6,860 | ||||||
AP Moller - Maersk A/S, Class B | 5 | 13,449 | ||||||
Carlsberg A/S, Class B | 63 | 10,226 | ||||||
Chr Hansen Holding A/S | 17 | 1,407 | ||||||
Coloplast A/S, Class B | 19 | 3,034 | ||||||
Danske Bank A/S | 872 | 14,692 | ||||||
Demant A/S (a) | 18 | 887 | ||||||
DSV A/S | 172 | 41,111 | ||||||
Genmab A/S (a) | 11 | 4,650 | ||||||
GN Store Nord AS | 20 | 1,399 | ||||||
Novo Nordisk A/S, Class B | 2,877 | 277,360 | ||||||
Novozymes A/S, Class B | 33 | 2,286 | ||||||
Orsted AS (e) | 529 | 69,740 | ||||||
Pandora A/S | 16 | 1,973 | ||||||
ROCKWOOL International A/S, Class B | 7 | 3,111 | ||||||
Tryg A/S | 453 | 10,268 | ||||||
Vestas Wind Systems A/S | 860 | 34,498 | ||||||
|
| |||||||
497,754 | ||||||||
|
| |||||||
Finland 1.7% | ||||||||
Elisa OYJ | 24 | 1,479 | ||||||
Fortum OYJ | 1,239 | 37,616 | ||||||
Kesko Oyj, Class B | 45 | 1,548 | ||||||
Kone OYJ, Class B | 291 | 20,425 | ||||||
Neste OYJ | 70 | 3,976 | ||||||
Nokia OYJ (a) | 4,879 | 26,911 | ||||||
Nordea Bank Abp, Class A | 4,102 | 52,857 | ||||||
Orion OYJ, Class B | 181 | 7,184 | ||||||
Sampo OYJ, Class A | 631 | 31,202 | ||||||
Stora Enso OYJ, Class R | 96 | 1,596 | ||||||
UPM-Kymmene OYJ | 89 | 3,143 | ||||||
Wartsila OYJ Abp | 404 | 4,806 | ||||||
|
| |||||||
192,743 | ||||||||
|
| |||||||
France 11.0% | ||||||||
Accor SA (a) | 28 | 994 | ||||||
Aeroports de Paris (a) | 25 | 3,243 | ||||||
Air Liquide SA | 79 | 12,579 | ||||||
Airbus SE (a) | 504 | 66,843 | ||||||
Alstom SA | 270 | 10,248 | ||||||
Amundi SA (e) | 77 | 6,473 | ||||||
Arkema SA | 10 | 1,340 | ||||||
Atos SE | 91 | 4,829 | ||||||
AXA SA | 2,451 | 67,911 | ||||||
BioMerieux | 7 | 782 | ||||||
BNP Paribas SA | 1,425 | 91,172 | ||||||
Bollore SA | 144 | 830 | ||||||
Bouygues SA | 195 | 8,081 |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks continued | ||||||||
France continued | ||||||||
Bureau Veritas SA | 252 | 7,790 | ||||||
Capgemini SE | 148 | 30,589 | ||||||
Carrefour SA | 104 | 1,866 | ||||||
Cie de Saint-Gobain | 433 | 29,136 | ||||||
Cie Generale des Etablissements Michelin SCA | 28 | 4,305 | ||||||
CNP Assurances | 213 | 3,363 | ||||||
Covivio | 8 | 677 | ||||||
Credit Agricole SA | 1,472 | 20,232 | ||||||
Danone SA | 410 | 27,930 | ||||||
Dassault Aviation SA | 21 | 2,384 | ||||||
Dassault Systemes SE | 610 | 32,117 | ||||||
Edenred | 227 | 12,213 | ||||||
Eiffage SA | 73 | 7,370 | ||||||
Electricite de France SA | 1,314 | 16,508 | ||||||
Engie SA | 5,154 | 67,425 | ||||||
EssilorLuxottica SA | 47 | 9,048 | ||||||
Eurazeo SE | 50 | 4,719 | ||||||
Faurecia SE | 19 | 901 | ||||||
Gecina SA | 8 | 1,034 | ||||||
Getlink SE | 375 | 5,856 | ||||||
Hermes International | 5 | 7,234 | ||||||
Ipsen SA | 64 | 6,138 | ||||||
Kering SA | 12 | 8,829 | ||||||
Klepierre SA | 34 | 762 | ||||||
La Francaise des Jeux SAEM (e) | 16 | 815 | ||||||
Legrand SA | 229 | 24,537 | ||||||
LOreal SA | 42 | 17,275 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 46 | 32,939 | ||||||
Orange SA | 330 | 3,567 | ||||||
Orpea SA | 9 | 1,002 | ||||||
Pernod Ricard SA | 131 | 28,967 | ||||||
Publicis Groupe SA | 37 | 2,475 | ||||||
Remy Cointreau SA | 14 | 2,770 | ||||||
Renault SA (a) | 358 | 12,717 | ||||||
Safran SA | 292 | 36,982 | ||||||
Sanofi | 1,943 | 187,037 | ||||||
Sartorius Stedim Biotech | 5 | 2,547 | ||||||
Schneider Electric SE | 461 | 76,741 | ||||||
SCOR SE | 201 | 5,792 | ||||||
SEB SA | 5 | 643 | ||||||
Societe Generale SA | 1,024 | 32,073 | ||||||
Sodexo SA (a) | 14 | 1,263 | ||||||
Suez SA | 1,002 | 22,841 | ||||||
Teleperformance | 50 | 19,768 | ||||||
Thales SA | 91 | 8,834 | ||||||
TotalEnergies SE | 415 | 19,856 | ||||||
Ubisoft Entertainment SA (a) | 15 | 910 |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks continued | ||||||||
France continued | ||||||||
Unibail-Rodamco-Westfield (a) | 21 | 1,520 | ||||||
Valeo SA | 37 | 1,032 | ||||||
Veolia Environnement SA | 1,845 | 56,378 | ||||||
Vinci SA | 455 | 47,359 | ||||||
Vivendi SE | 118 | 1,483 | ||||||
Wendel SE | 33 | 4,628 | ||||||
Worldline SA (a) (e) | 218 | 16,651 | ||||||
|
| |||||||
1,255,153 | ||||||||
|
| |||||||
Germany 11.1% | ||||||||
adidas AG | 32 | 9,924 | ||||||
Allianz SE (Registered) | 522 | 117,053 | ||||||
BASF SE | 152 | 11,560 | ||||||
Bayer AG (Registered) | 1,682 | 91,304 | ||||||
Bayerische Motoren Werke AG | 620 | 58,846 | ||||||
Bechtle AG | 75 | 5,134 | ||||||
Beiersdorf AG | 17 | 1,816 | ||||||
Brenntag SE | 132 | 12,253 | ||||||
Carl Zeiss Meditec AG | 7 | 1,281 | ||||||
Commerzbank AG (a) | 1,281 | 8,483 | ||||||
Continental AG (a) | 18 | 1,952 | ||||||
Covestro AG (e) | 32 | 2,173 | ||||||
Daimler AG (Registered) | 1,599 | 141,072 | ||||||
Delivery Hero SE (a) (e) | 27 | 3,414 | ||||||
Deutsche Bank AG (Registered) (a) | 2,612 | 33,196 | ||||||
Deutsche Boerse AG | 240 | 39,020 | ||||||
Deutsche Lufthansa AG (Registered) (a) | 510 | 3,480 | ||||||
Deutsche Post AG (Registered) | 848 | 53,175 | ||||||
Deutsche Telekom AG (Registered) | 553 | 11,083 | ||||||
Deutsche Wohnen SE | 57 | 3,491 | ||||||
E.ON SE | 6,335 | 77,320 | ||||||
Evonik Industries AG | 35 | 1,110 | ||||||
Fresenius Medical Care AG & Co. KGaA | 34 | 2,394 | ||||||
Fresenius SE & Co. KGaA | 70 | 3,341 | ||||||
GEA Group AG | 132 | 6,017 | ||||||
Hannover Rueck SE | 77 | 13,325 | ||||||
HeidelbergCement AG | 25 | 1,840 | ||||||
HelloFresh SE (a) | 27 | 2,514 | ||||||
Henkel AG & Co. KGaA | 15 | 1,329 | ||||||
Infineon Technologies AG | 1,201 | 49,132 | ||||||
KION Group AG | 61 | 5,715 | ||||||
Knorr-Bremse AG | 62 | 6,637 | ||||||
LANXESS AG | 14 | 931 | ||||||
LEG Immobilien SE | 12 | 1,719 | ||||||
Merck KGaA | 221 | 47,912 | ||||||
MTU Aero Engines AG | 46 | 10,294 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | 177 | 48,410 |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks continued | ||||||||
Germany continued | ||||||||
Nemetschek SE | 53 | 5,529 | ||||||
Puma SE | 18 | 1,954 | ||||||
Rational AG | 4 | 4,097 | ||||||
RWE AG | 1,808 | 63,749 | ||||||
SAP SE | 961 | 129,907 | ||||||
Scout24 AG (e) | 14 | 1,003 | ||||||
Siemens AG (Registered) | 654 | 107,039 | ||||||
Siemens Energy AG (a) | 341 | 9,116 | ||||||
Siemens Healthineers AG (e) | 47 | 3,037 | ||||||
Symrise AG, Class A | 21 | 2,805 | ||||||
TeamViewer AG (a) (e) | 148 | 4,320 | ||||||
Telefonica Deutschland Holding AG | 174 | 497 | ||||||
Uniper SE | 263 | 10,950 | ||||||
United Internet AG (Registered) | 16 | 621 | ||||||
Volkswagen AG | 61 | 18,678 | ||||||
Vonovia SE | 91 | 5,470 | ||||||
Zalando SE (a) (e) | 37 | 3,355 | ||||||
|
| |||||||
1,261,777 | ||||||||
|
| |||||||
Hong Kong 0.0% (g) | ||||||||
Brilliance China Automotive Holdings Ltd. (a) (bb) (cc) | 122 | 49 | ||||||
|
| |||||||
Indonesia 0.0% (g) | ||||||||
Bank Rakyat Indonesia Persero Tbk. PT | 654 | 174 | ||||||
|
| |||||||
Ireland 0.8% | ||||||||
CRH plc | 129 | 6,087 | ||||||
DCC plc | 107 | 8,954 | ||||||
Experian plc | 1,009 | 42,254 | ||||||
Flutter Entertainment plc (a) | 29 | 5,700 | ||||||
Kerry Group plc, Class A | 100 | 13,374 | ||||||
Kingspan Group plc | 132 | 13,122 | ||||||
Smurfit Kappa Group plc | 40 | 2,121 | ||||||
|
| |||||||
91,612 | ||||||||
|
| |||||||
Italy 4.3% | ||||||||
Amplifon SpA | 21 | 978 | ||||||
Assicurazioni Generali SpA | 1,405 | 29,757 | ||||||
Atlantia SpA (a) | 422 | 7,967 | ||||||
Davide Campari-Milano NV | 329 | 4,617 | ||||||
DiaSorin SpA | 4 | 879 | ||||||
Enel SpA | 22,826 | 175,195 | ||||||
Eni SpA | 423 | 5,643 | ||||||
Ferrari NV | 236 | 49,169 | ||||||
FinecoBank Banca Fineco SpA (a) | 771 | 13,922 | ||||||
Infrastrutture Wireless Italiane SpA (e) | 56 | 625 | ||||||
Intesa Sanpaolo SpA | 20,906 | 59,184 | ||||||
Mediobanca Banca di Credito Finanziario SpA (a) | 785 | 9,443 | ||||||
Moncler SpA | 34 | 2,066 |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks continued | ||||||||
Italy continued | ||||||||
Nexi SpA (a) (e) | 404 | 7,535 | ||||||
Poste Italiane SpA (e) | 668 | 9,175 | ||||||
Prysmian SpA | 217 | 7,582 | ||||||
Recordati Industria Chimica e Farmaceutica SpA | 179 | 10,403 | ||||||
Snam SpA | 5,994 | 33,157 | ||||||
Telecom Italia SpA | 2,634 | 1,041 | ||||||
Terna Rete Elettrica Nazionale | 4,022 | 28,546 | ||||||
UniCredit SpA | 2,705 | 35,792 | ||||||
|
| |||||||
492,676 | ||||||||
|
| |||||||
Jordan 0.1% | ||||||||
Hikma Pharmaceuticals plc | 337 | 11,078 | ||||||
|
| |||||||
Luxembourg 0.1% | ||||||||
ArcelorMittal SA | 118 | 3,623 | ||||||
Aroundtown SA | 168 | 1,155 | ||||||
Eurofins Scientific SE | 22 | 2,833 | ||||||
Tenaris SA | 79 | 829 | ||||||
|
| |||||||
8,440 | ||||||||
|
| |||||||
Netherlands 6.3% | ||||||||
ABN AMRO Bank NV, GDR, CVA (a) (e) | 537 | 7,745 | ||||||
Adyen NV (a) (e) | 18 | 50,800 | ||||||
Aegon NV | 2,278 | 11,761 | ||||||
Akzo Nobel NV | 32 | 3,454 | ||||||
Argenx SE (a) | 8 | 2,275 | ||||||
ASM International NV | 44 | 17,042 | ||||||
ASML Holding NV | 386 | 288,253 | ||||||
EXOR NV | 137 | 11,463 | ||||||
Heineken Holding NV | 72 | 6,290 | ||||||
Heineken NV | 163 | 16,985 | ||||||
ING Groep NV | 4,942 | 71,850 | ||||||
JDE Peets NV | 47 | 1,409 | ||||||
Just Eat Takeaway.com NV (a) (e) | 30 | 2,160 | ||||||
Koninklijke Ahold Delhaize NV | 174 | 5,805 | ||||||
Koninklijke DSM NV | 29 | 5,811 | ||||||
Koninklijke KPN NV | 564 | 1,775 | ||||||
Koninklijke Philips NV | 151 | 6,729 | ||||||
Koninklijke Vopak NV | 13 | 505 | ||||||
NN Group NV | 343 | 17,963 | ||||||
Prosus NV (a) | 154 | 12,360 | ||||||
QIAGEN NV (a) | 38 | 1,964 | ||||||
Randstad NV | 102 | 6,891 | ||||||
Royal Dutch Shell plc, Class A | 1,652 | 36,741 | ||||||
Royal Dutch Shell plc, Class B | 1,493 | 33,079 | ||||||
Stellantis NV | 3,793 | 72,179 | ||||||
Universal Music Group NV (a) | 120 | 3,203 | ||||||
Wolters Kluwer NV | 229 | 24,274 | ||||||
|
| |||||||
720,766 | ||||||||
|
|
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks continued | ||||||||
Norway 0.5% | ||||||||
Adevinta ASA, Class B (a) | 43 | 745 | ||||||
DNB Bank ASA | 1,172 | 26,641 | ||||||
Equinor ASA | 160 | 4,063 | ||||||
Gjensidige Forsikring ASA | 254 | 5,626 | ||||||
Mowi ASA | 274 | 6,956 | ||||||
Norsk Hydro ASA | 218 | 1,625 | ||||||
Orkla ASA | 470 | 4,313 | ||||||
Schibsted ASA, Class A | 13 | 634 | ||||||
Schibsted ASA, Class B | 14 | 586 | ||||||
Telenor ASA | 116 | 1,949 | ||||||
Yara International ASA | 28 | 1,401 | ||||||
|
| |||||||
54,539 | ||||||||
|
| |||||||
Poland 0.0% (g) | ||||||||
InPost SA (a) | 171 | 2,833 | ||||||
|
| |||||||
Portugal 0.4% | ||||||||
EDP - Energias de Portugal SA | 7,956 | 41,792 | ||||||
Galp Energia SGPS SA | 87 | 993 | ||||||
Jeronimo Martins SGPS SA | 42 | 834 | ||||||
|
| |||||||
43,619 | ||||||||
|
| |||||||
South Korea 3.3% | ||||||||
Samsung Electronics Co. Ltd. | 4,442 | 275,375 | ||||||
Samsung Electronics Co. Ltd. (Registered), GDR | 67 | 102,803 | ||||||
|
| |||||||
378,178 | ||||||||
|
| |||||||
Spain 4.3% | ||||||||
ACS Actividades de Construccion y Servicios SA | 210 | 5,702 | ||||||
Aena SME SA (a) (e) | 65 | 11,155 | ||||||
Amadeus IT Group SA (a) | 415 | 27,288 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 8,452 | 55,787 | ||||||
Banco Santander SA | 21,984 | 79,633 | ||||||
CaixaBank SA | 5,625 | 17,444 | ||||||
Cellnex Telecom SA (e) | 85 | 5,255 | ||||||
EDP Renovaveis SA | 806 | 20,011 | ||||||
Enagas SA | 404 | 8,973 | ||||||
Endesa SA | 956 | 19,273 | ||||||
Ferrovial SA | 414 | 12,080 | ||||||
Grifols SA | 51 | 1,250 | ||||||
Iberdrola SA | 16,728 | 168,286 | ||||||
Industria de Diseno Textil SA | 183 | 6,731 | ||||||
Naturgy Energy Group SA | 882 | 22,199 | ||||||
Red Electrica Corp. SA | 1,012 | 20,309 | ||||||
Repsol SA | 249 | 3,252 | ||||||
Siemens Gamesa Renewable Energy SA (a) | 205 | 5,211 | ||||||
Telefonica SA | 864 | 4,054 | ||||||
|
| |||||||
493,893 | ||||||||
|
|
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks continued | ||||||||
Sweden 4.0% | ||||||||
Alfa Laval AB | 270 | 10,063 | ||||||
Assa Abloy AB, Class B | 858 | 24,878 | ||||||
Atlas Copco AB, Class A | 574 | 34,649 | ||||||
Atlas Copco AB, Class B | 334 | 17,000 | ||||||
Boliden AB | 45 | 1,443 | ||||||
Electrolux AB, Class B | 37 | 866 | ||||||
Embracer Group AB, Class B (a) | 76 | 734 | ||||||
Epiroc AB, Class A | 567 | 11,784 | ||||||
Epiroc AB, Class B | 331 | 5,854 | ||||||
EQT AB | 374 | 15,533 | ||||||
Essity AB, Class B | 101 | 3,143 | ||||||
Evolution AB (e) | 28 | 4,270 | ||||||
Fastighets AB Balder, Class B (a) | 17 | 1,042 | ||||||
H & M Hennes & Mauritz AB, Class B (a) | 121 | 2,443 | ||||||
Hexagon AB, Class B | 1,813 | 28,037 | ||||||
Husqvarna AB, Class B | 69 | 825 | ||||||
ICA Gruppen AB | 17 | 779 | ||||||
Industrivarden AB, Class A | 136 | 4,337 | ||||||
Industrivarden AB, Class C | 205 | 6,339 | ||||||
Investment AB Latour, Class B | 126 | 3,902 | ||||||
Investor AB, Class B | 2,309 | 49,653 | ||||||
Kinnevik AB, Class B (a) | 307 | 10,785 | ||||||
L E Lundbergforetagen AB, Class B | 96 | 5,284 | ||||||
Lundin Energy AB | 34 | 1,254 | ||||||
Nibe Industrier AB, Class B | 1,220 | 15,328 | ||||||
Sandvik AB | 966 | 22,062 | ||||||
Securitas AB, Class B | 268 | 4,242 | ||||||
Sinch AB (a) (e) | 465 | 9,015 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 2,057 | 28,989 | ||||||
Skanska AB, Class B | 291 | 7,297 | ||||||
SKF AB, Class B | 326 | 7,678 | ||||||
Svenska Cellulosa AB SCA, Class B | 100 | 1,551 | ||||||
Svenska Handelsbanken AB, Class A | 1,842 | 20,632 | ||||||
Swedbank AB, Class A | 1,144 | 23,067 | ||||||
Swedish Match AB | 992 | 8,688 | ||||||
Tele2 AB, Class B | 84 | 1,244 | ||||||
Telefonaktiebolaget LM Ericsson, Class B | 2,685 | 30,307 | ||||||
Telia Co. AB | 443 | 1,821 | ||||||
Volvo AB, Class A | 163 | 3,690 | ||||||
Volvo AB, Class B | 1,230 | 27,458 | ||||||
|
| |||||||
457,966 | ||||||||
|
| |||||||
Switzerland 25.4% | ||||||||
ABB Ltd. (Registered) | 1,481 | 49,526 | ||||||
Adecco Group AG (Registered) | 132 | 6,614 | ||||||
Alcon, Inc. | 82 | 6,650 | ||||||
Baloise Holding AG (Registered) | 59 | 8,948 | ||||||
Banque Cantonale Vaudoise (Registered) | 38 | 2,861 |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks continued | ||||||||
Switzerland continued | ||||||||
Barry Callebaut AG (Registered) | 8 | 17,192 | ||||||
Chocoladefabriken Lindt & Spruengli AG | 2 | 24,833 | ||||||
Chocoladefabriken Lindt & Spruengli AG (Registered) | | (h) | 26,651 | |||||
Cie Financiere Richemont SA (Registered), Class A | 86 | 8,882 | ||||||
Clariant AG (Registered) (a) | 36 | 676 | ||||||
Coca-Cola HBC AG (a) | 173 | 5,577 | ||||||
Credit Suisse Group AG (Registered) | 3,225 | 31,854 | ||||||
EMS-Chemie Holding AG (Registered) | 1 | 1,095 | ||||||
Geberit AG (Registered) | 32 | 23,251 | ||||||
Givaudan SA (Registered) | 2 | 6,916 | ||||||
Glencore plc | 4,026 | 18,937 | ||||||
Julius Baer Group Ltd. | 282 | 18,711 | ||||||
Kuehne + Nagel International AG (Registered) | 46 | 15,832 | ||||||
Holcim Ltd. (a) | 86 | 4,142 | ||||||
Logitech International SA (Registered) | 159 | 14,135 | ||||||
Lonza Group AG (Registered) | 12 | 9,159 | ||||||
Nestle SA (Registered) | 6,110 | 736,199 | ||||||
Novartis AG (Registered) | 7,408 | 607,446 | ||||||
Partners Group Holding AG | 29 | 44,783 | ||||||
Roche Holding AG | 2,454 | 900,690 | ||||||
Schindler Holding AG | 35 | 9,423 | ||||||
Schindler Holding AG (Registered) | 17 | 4,279 | ||||||
SGS SA (Registered) | 5 | 15,119 | ||||||
Sika AG (Registered) | 23 | 7,360 | ||||||
Sonova Holding AG (Registered) | 9 | 3,387 | ||||||
STMicroelectronics NV | 628 | 27,423 | ||||||
Straumann Holding AG (Registered) | 2 | 3,035 | ||||||
Swatch Group AG (The) | 5 | 1,328 | ||||||
Swatch Group AG (The) (Registered) | 7 | 349 | ||||||
Swiss Life Holding AG (Registered) | 40 | 20,372 | ||||||
Swiss Prime Site AG (Registered) | 13 | 1,272 | ||||||
Swiss Re AG | 381 | 32,532 | ||||||
Swisscom AG (Registered) | 4 | 2,514 | ||||||
Temenos AG (Registered) | 61 | 8,320 | ||||||
UBS Group AG (Registered) | 4,617 | 73,687 | ||||||
Vifor Pharma AG | 162 | 20,983 | ||||||
Zurich Insurance Group AG | 190 | 77,870 | ||||||
|
| |||||||
2,900,813 | ||||||||
|
| |||||||
Taiwan 0.0% (g) | ||||||||
Chang Hwa Commercial Bank Ltd. | 3 | 2 | ||||||
E.Sun Financial Holding Co. Ltd. | 35 | 33 | ||||||
First Financial Holding Co. Ltd. | 5 | 4 | ||||||
Fubon Financial Holding Co. Ltd. | 34 | 93 | ||||||
Hiwin Technologies Corp. | | (h) | 5 | |||||
Hua Nan Financial Holdings Co. Ltd. | 11 | 8 | ||||||
Ruentex Development Co. Ltd. | 16 | 33 | ||||||
Taishin Financial Holding Co. Ltd. | 23 | 15 | ||||||
Taiwan Cooperative Financial Holding Co. Ltd. | 10 | 8 | ||||||
Wan Hai Lines Ltd. | 3 | 19 | ||||||
|
| |||||||
220 | ||||||||
|
|
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks continued | ||||||||
United Arab Emirates % | ||||||||
NMC Health plc (a) (bb) (cc) | 116 | | ||||||
|
| |||||||
United Kingdom 17.9% | ||||||||
3i Group plc | 1,460 | 25,077 | ||||||
Admiral Group plc | 291 | 12,148 | ||||||
Anglo American plc | 522 | 18,283 | ||||||
Ashtead Group plc | 490 | 37,024 | ||||||
Associated British Foods plc | 308 | 7,675 | ||||||
AstraZeneca plc | 3,020 | 363,925 | ||||||
Auto Trader Group plc (e) | 391 | 3,083 | ||||||
AVEVA Group plc | 139 | 6,732 | ||||||
Aviva plc | 5,898 | 31,261 | ||||||
BAE Systems plc | 3,527 | 26,710 | ||||||
Barclays plc | 25,561 | 64,951 | ||||||
Barratt Developments plc | 408 | 3,610 | ||||||
Berkeley Group Holdings plc | 45 | 2,617 | ||||||
BP plc | 8,154 | 37,142 | ||||||
British American Tobacco plc | 1,883 | 65,836 | ||||||
British Land Co. plc (The) | 351 | 2,330 | ||||||
BT Group plc (a) | 3,596 | 7,708 | ||||||
Bunzl plc | 368 | 12,143 | ||||||
Burberry Group plc | 163 | 3,958 | ||||||
CNH Industrial NV | 876 | 14,720 | ||||||
Coca-Cola Europacific Partners plc | 131 | 7,239 | ||||||
Compass Group plc (a) | 719 | 14,697 | ||||||
Croda International plc | 56 | 6,443 | ||||||
Diageo plc | 2,021 | 97,829 | ||||||
Direct Line Insurance Group plc | 2,030 | 7,922 | ||||||
Entain plc (a) | 236 | 6,736 | ||||||
Evraz plc | 203 | 1,610 | ||||||
Ferguson plc | 245 | 33,972 | ||||||
GlaxoSmithKline plc | 9,808 | 185,107 | ||||||
Halma plc | 440 | 16,767 | ||||||
Hargreaves Lansdown plc | 538 | 10,338 | ||||||
HSBC Holdings plc | 30,725 | 160,649 | ||||||
Imperial Brands plc | 818 | 17,104 | ||||||
Informa plc (a) | 601 | 4,423 | ||||||
InterContinental Hotels Group plc (a) | 74 | 4,712 | ||||||
Intertek Group plc | 176 | 11,739 | ||||||
J Sainsbury plc | 681 | 2,610 | ||||||
JD Sports Fashion plc | 208 | 2,921 | ||||||
Johnson Matthey plc | 79 | 2,816 |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Common Stocks continued | ||||||||
United Kingdom continued | ||||||||
Kingfisher plc | 851 | 3,842 | ||||||
Land Securities Group plc | 285 | 2,653 | ||||||
Legal & General Group plc | 8,958 | 33,658 | ||||||
Lloyds Banking Group plc | 106,886 | 66,528 | ||||||
London Stock Exchange Group plc | 495 | 49,582 | ||||||
M&G plc | 3,884 | 10,613 | ||||||
Melrose Industries plc | 4,762 | 11,057 | ||||||
Mondi plc | 196 | 4,808 | ||||||
National Grid plc | 1,432 | 17,065 | ||||||
Natwest Group plc | 8,711 | 26,262 | ||||||
Next plc | 53 | 5,868 | ||||||
Ocado Group plc (a) | 197 | 4,403 | ||||||
Pearson plc | 305 | 2,922 | ||||||
Persimmon plc | 129 | 4,613 | ||||||
Phoenix Group Holdings plc | 980 | 8,476 | ||||||
Prudential plc | 3,936 | 76,379 | ||||||
Reckitt Benckiser Group plc | 287 | 22,575 | ||||||
RELX plc | 2,112 | 60,799 | ||||||
Rentokil Initial plc | 2,033 | 15,961 | ||||||
Rio Tinto plc | 452 | 29,653 | ||||||
Rolls-Royce Holdings plc (a) | 9,132 | 17,057 | ||||||
Sage Group plc (The) | 1,241 | 11,815 | ||||||
Schroders plc | 188 | 9,037 | ||||||
Segro plc | 483 | 7,766 | ||||||
Severn Trent plc | 101 | 3,546 | ||||||
Smith & Nephew plc | 354 | 6,106 | ||||||
Smiths Group plc | 433 | 8,357 | ||||||
Spirax-Sarco Engineering plc | 81 | 16,241 | ||||||
SSE plc | 420 | 8,847 | ||||||
St Jamess Place plc | 814 | 16,425 | ||||||
Standard Chartered plc | 3,988 | 23,312 | ||||||
Abrdn Plc | 3,268 | 11,176 | ||||||
Taylor Wimpey plc | 1,476 | 3,078 | ||||||
Tesco plc | 3,115 | 10,607 | ||||||
Unilever plc | 1,055 | 57,137 | ||||||
United Utilities Group plc | 274 | 3,560 | ||||||
Vodafone Group plc | 11,264 | 17,140 | ||||||
Whitbread plc (a) | 81 | 3,616 | ||||||
Wm Morrison Supermarkets plc | 964 | 3,826 | ||||||
WPP plc | 486 | 6,516 | ||||||
|
| |||||||
2,045,449 | ||||||||
|
| |||||||
Total Common Stocks | 11,105,510 | |||||||
|
| |||||||
Preferred Stocks 1.4% | ||||||||
Brazil 0.0% (g) | ||||||||
Bradespar SA | 2 | 17 | ||||||
Cia Energetica de Minas Gerais | | (h) | | (h) | ||||
|
| |||||||
17 | ||||||||
|
|
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Preferred Stocks continued | ||||||||
Germany 1.0% | ||||||||
Bayerische Motoren Werke AG | 106 | 8,060 | ||||||
FUCHS PETROLUB SE | 12 | 547 | ||||||
Henkel AG & Co. KGaA | 31 | 2,879 | ||||||
Porsche Automobil Holding SE | 286 | 28,291 | ||||||
Sartorius AG | 4 | 2,759 | ||||||
Volkswagen AG | 347 | 77,311 | ||||||
|
| |||||||
119,847 | ||||||||
|
| |||||||
South Korea 0.4% | ||||||||
Samsung Electronics Co. Ltd. | 765 | 44,650 | ||||||
|
| |||||||
Total Preferred Stocks (Cost $130,725) | 164,514 | |||||||
|
| |||||||
NUMBER OF RIGHTS | ||||||||
Rights 0.0% (g) | ||||||||
India 0.0% (g) | ||||||||
Bharti Airtel Ltd., expiring 10/21/2021 (a) (bb) (cc) | 4 | 9 | ||||||
|
| |||||||
South Korea 0.0% (g) | ||||||||
Hyundai Engineering & Construction Co. Ltd., expiring 10/22/2021 (a) (bb) (cc) | | (h) | 4 | |||||
Samsung Heavy Industries, expiring 12/31/2049 (a) (bb) (cc) | 9 | 8 | ||||||
|
| |||||||
12 | ||||||||
|
| |||||||
Total Rights (Cost $0) | 21 | |||||||
|
| |||||||
NUMBER OF | ||||||||
Warrants 0.0% | ||||||||
Thailand 0.0% | ||||||||
BTS Group Holdings PCL, | ||||||||
expiring, 11/07/2024 (a) (w) (bb) (cc) | 49 | | ||||||
11/20/2026 (a) (w) (bb) (cc) | 99 | | ||||||
Total Warrants (Cost $) | | |||||||
|
|
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Short-Term Investments 0.8% | ||||||||
Time Deposits 0.8% | ||||||||
Australia & New Zealand Banking Group Ltd., 0.01%, 10/01/2021 | 2,337 | 2,337 | ||||||
BNP Paribas SA, | ||||||||
(1.42%), 10/01/2021 | CHF | 13,519 | 14,506 | |||||
(0.79%), 10/01/2021 | EUR | 18,571 | 21,511 | |||||
0.01%, 10/01/2021 | 12,620 | 12,621 | ||||||
Brown Brothers Harriman, | ||||||||
(1.42%), 10/01/2021 | CHF | 7,445 | 7,989 | |||||
(0.79%), 10/01/2021 | EUR | | (h) | | (h) | |||
(0.46%), 10/01/2021 | DKK | 14,208 | 2,213 | |||||
(0.27%), 10/01/2021 | SEK | 14,579 | 1,665 | |||||
0.00%, 10/04/2021 | HKD | 312 | 40 | |||||
0.01%, 10/01/2021 | CAD | | (h) | | (h) | |||
0.01%, 10/01/2021 | NOK | 2,953 | 338 | |||||
0.01%, 10/01/2021 | | (h) | | (h) | ||||
3.50%, 10/01/2021 | ZAR | | (h) | | (h) | |||
Citibank NA, | ||||||||
(0.79%), 10/01/2021 | EUR | 6,587 | 7,630 | |||||
0.01%, 10/01/2021 | GBP | 5,877 | 7,919 | |||||
0.01%, 10/01/2021 | 1,998 | 1,998 | ||||||
Sumitomo Mitsui Banking Corp., 0.01%, 10/01/2021 | 4,666 | 4,666 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $85,433) | 85,433 | |||||||
|
| |||||||
Total Investments 99.5% (Cost$10,251,636) * | 11,355,480 | |||||||
Other Assets in Excess of Liabilities 0.5% | 58,255 | |||||||
|
| |||||||
NET ASSETS 100.0% | $ | 11,413,735 | ||||||
|
|
Percentages indicated are based on net assets.
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Futures contracts outstanding as of September 30, 2021:
Exchange Traded
DESCRIPTION | NUMBER OF | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||
Long Contracts | ||||||||||||||||||
Euro STOXX 50 Index | 1,516 | 12/2021 | EUR | 72,423 | (1,338 | ) | ||||||||||||
FTSE 100 Index | 346 | 12/2021 | GBP | 32,819 | 158 | |||||||||||||
MSCI Emerging Markets Index | 57 | 12/2021 | USD | 3,632 | (82 | ) | ||||||||||||
|
| |||||||||||||||||
Total unrealized appreciation (depreciation) | (1,262 | ) | ||||||||||||||||
|
|
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Forward foreign currency exchange contracts outstanding as of September 30, 2021:
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||||||||||||||
CHF | 2,035 | USD | 2,178 | Deutsche Bank AG | 10/06/2021 | 6 | ||||||||||||
CHF | 1,000 | EUR | 925 | Deutsche Bank AG | 10/06/2021 | 1 | ||||||||||||
CHF | 42,154 | USD | 45,119 | Morgan Stanley & Co. | 10/06/2021 | 115 | ||||||||||||
|
| |||||||||||||||||
Total unrealized appreciation | 122 | |||||||||||||||||
|
| |||||||||||||||||
USD | 1,378 | CHF | 1,285 | UBS AG LONDON | 10/06/2021 | (1 | ) | |||||||||||
USD | 5,757 | DKK | 37,014 | Deutsche Bank AG | 10/06/2021 | (9 | ) | |||||||||||
DKK | 137,193 | USD | 21,385 | Goldman Sachs International | 10/06/2021 | (14 | ) | |||||||||||
USD | 15,011 | EUR | 12,979 | Bank of America, NA | 10/06/2021 | (24 | ) | |||||||||||
EUR | 254,909 | USD | 295,441 | UBS AG LONDON | 10/06/2021 | (155 | ) | |||||||||||
USD | 232 | NOK | 2,031 | Bank of America, NA | 10/06/2021 | (1 | ) | |||||||||||
NOK | 47,717 | USD | 5,466 | Goldman Sachs International | 10/06/2021 | (8 | ) | |||||||||||
SEK | 265,579 | USD | 30,358 | Bank of America, NA | 10/06/2021 | (21 | ) | |||||||||||
|
| |||||||||||||||||
Total unrealized depreciation | (233 | ) | ||||||||||||||||
|
| |||||||||||||||||
Net unrealized appreciation (depreciation) | (111 | ) | ||||||||||||||||
|
|
Six Circles International Unconstrained Equity Fund
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021
CVA | | Dutch Certification | ||
GDR | | Global Depositary Receipt | ||
(a) | | Non-income producing security. | ||
(e) | | Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. | ||
(g) | | Amount rounds to less than 0.05%. | ||
(h) | | Amount rounds to less than 500 shares or principal/ $500. | ||
(w) | | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | ||
(bb) | | Security has been valued using significant unobservable inputs. | ||
(cc) | | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. | ||
* | | The cost of securities is substantially the same for federal income tax purposes. | ||
CAD | | Canadian Dollar | ||
CHF | | Swiss Franc | ||
DKK | | Danish Krone | ||
EUR | | Euro | ||
GBP | | British Pound | ||
HKD | | Hong Kong dollar | ||
INR | | Indian Rupiach | ||
NOK | | Norwegian Krone | ||
SEK | | Swedish Krona | ||
USD | | United States Dollar | ||
ZAR | | South African Rand |
Six Circles International Unconstrained Equity Fund
Summary of Investments by Industry, September 30, 2021
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
INDUSTRY | PERCENTAGE | |||
Pharmaceuticals | 24.2 | % | ||
Banks | 10.6 | % | ||
Food | 7.9 | % | ||
Electric | 7.7 | % | ||
Semiconductors | 7.1 | % | ||
Insurance | 6.1 | % | ||
Auto Manufacturers | 4.4 | % | ||
Commercial Services | 2.9 | % | ||
Software | 1.8 | % | ||
Beverages | 1.8 | % | ||
Aerospace/Defense | 1.5 | % | ||
Diversified Financial Services | 1.4 | % | ||
Electrical Componenst & Equipment | 1.4 | % | ||
Oil & Gas | 1.4 | % | ||
Transportation | 1.3 | % | ||
Machinery - Diversified | 1.3 | % | ||
Miscellaneous Manufacturers | 1.2 | % | ||
Investment Companies | 1.1 | % | ||
Telecommunications | 1.0 | % | ||
Others (Each less than 1.0%) | 13.1 | % | ||
Short-Term Investments | 0.8 | % |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Long Positions 110.6% | ||||||||
Asset-Backed Securities 1.0% | ||||||||
Adams Mill CLO Ltd., (Cayman Islands), Series 2014-1A, Class A1R, (ICE LIBOR USD 3 Month + 1.10%), 1.23%, 07/15/2026 (e) (aa) | 64 | 64 | ||||||
American Express Credit Account Master Trust, Series 2019-3, Class A, 2.00%, 04/15/2025 | 615 | 626 | ||||||
Anchorage Capital CLO Ltd., (Cayman Islands), Series 2019-11A, Class AR, (ICE LIBOR USD 3 Month + 1.14%), 1.28%, 07/22/2032 (e) (aa) | 1,900 | 1,898 | ||||||
ARES L CLO Ltd., (Cayman Islands), Series 2018-50A, Class AR, (ICE LIBOR USD 3 Month + 1.05%), 1.18%, 01/15/2032 (e) (aa) | 3,300 | 3,294 | ||||||
Atlas Senior Loan Fund Ltd., (Cayman Islands), Series 2017-8A, Class A, (ICE LIBOR USD 3 Month + 1.15%), 1.28%, 01/16/2030 (e) (aa) | 5,200 | 5,200 | ||||||
Benefit Street Partners CLO XVII Ltd., (Cayman Islands), Series 2019-17A, Class AR, (ICE LIBOR USD 3 Month + 1.08%), 1.19%, 07/15/2032 (e) (aa) | 4,300 | 4,297 | ||||||
BlueMountain CLO Ltd., (Cayman Islands), Series 2015-2A, Class A1R, (ICE LIBOR USD 3 Month + 0.93%), 1.06%, 07/18/2027 (e) (aa) | 1,513 | 1,513 | ||||||
Capital One Multi-Asset Execution Trust, | ||||||||
Series 2017-A3, Class A3, 2.43%, 01/15/2025 | 360 | 364 | ||||||
Series 2019-A2, Class A2, 1.72%, 08/15/2024 | 500 | 506 | ||||||
Carlyle Global Market Strategies CLO Ltd., (Cayman Islands), Series 2015-3A, Class A1R, (ICE LIBOR USD 3 Month + 1.00%), 1.13%, 07/28/2028 (e) (aa) | 1,155 | 1,155 | ||||||
CARLYLE US CLO Ltd., (Cayman Islands), Series 2017-1A, Class A1R, (ICE LIBOR USD 3 Month + 1.00%), 1.13%, 04/20/2031 (e) (aa) | 1,900 | 1,898 | ||||||
Carmax Auto Owner Trust, | ||||||||
Series 2019-4, Class A3, 2.02%, 11/15/2024 | 136 | 138 | ||||||
Series 2020-1, Class A3, 1.89%, 12/16/2024 | 300 | 304 | ||||||
Catamaran CLO Ltd., (Cayman Islands), Series 2016-1A, Class A1R, (ICE LIBOR USD 3 Month + 1.09%), 1.22%, 01/18/2029 (e) (aa) | 521 | 521 | ||||||
CIFC Funding Ltd., (Cayman Islands), Series 2017-4A, Class A1R, (ICE LIBOR USD 3 Month + 0.95%), 1.08%, 10/24/2030 (e) (aa) | 3,200 | 3,200 | ||||||
Crestline Denali CLO XV Ltd., (Cayman Islands), Series 2017-1A, Class AR, (ICE LIBOR USD 3 Month + 1.03%), 1.16%, 04/20/2030 (e) (aa) | 5,900 | 5,893 | ||||||
Crown City CLO II, (Cayman Islands), Series 2020-2A, Class A1A, (ICE LIBOR USD 3 Month + 1.38%), 1.51%, 01/20/2032 (e) (aa) | 1,000 | 1,001 | ||||||
Dryden Senior Loan Fund, (Cayman Islands), Series 2014-36A, Class AR3, (ICE LIBOR USD 3 Month + 1.02%), 1.15%, 04/15/2029 (e) (aa) | 6,325 | 6,325 | ||||||
Dryden XXVII-R Euro CLO BV, (Netherlands), Series 2017-27A, Class AR, (ICE LIBOR EUR 3 Month + 0.66%), 0.66%, 04/15/2033 (e) (aa) | EUR | 7,600 | 8,753 | |||||
Ford Credit Auto Owner Trust, Series 2020-B, Class A4, 0.79%, 11/15/2025 | 850 | 856 | ||||||
GM Financial Consumer Automobile Receivables Trust, Series 2020-2, Class A4, 1.74%, 08/18/2025 | 500 | 512 | ||||||
Hyundai Auto Receivables Trust, Series 2020-A, Class A3, 1.41%, 11/15/2024 | 131 | 133 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Asset-Backed Securities continued | ||||||||
KKR CLO Ltd., (Cayman Islands), Series 18, Class A, (ICE LIBOR USD 3 Month + 1.27%), 1.40%, 07/18/2030 (e) (aa) | 3,200 | 3,201 | ||||||
Marathon CLO IX Ltd., (Cayman Islands), Series 2017-9A, Class A1AR, (ICE LIBOR USD 3 Month + 1.15%), 1.28%, 04/15/2029 (e) (aa) | 450 | 450 | ||||||
Marble Point CLO X Ltd., (Cayman Islands), Series 2017-1A, Class AR, (ICE LIBOR USD 3 Month + 1.04%), 1.17%, 10/15/2030 (e) (aa) | 1,800 | 1,800 | ||||||
Mercedes-Benz Auto Lease Trust, Series 2020-A, Class A4, 1.88%, 09/15/2025 | 1,000 | 1,012 | ||||||
Mercedes-Benz Auto Receivables Trust, Series 2019-1, Class A4, 2.04%, 01/15/2026 | 1,000 | 1,025 | ||||||
Mountain View CLO LLC, (Cayman Islands), | ||||||||
Series 2017-1A, Class AR, (ICE LIBOR USD 3 Month + 1.09%), 1.22%, 10/16/2029 (e) (aa) | 1,800 | 1,798 | ||||||
Series 2017-2A, Class AR, (ICE LIBOR USD 3 Month + 1.04%), 1.14%, 01/16/2031 (e) (aa) | 2,900 | 2,897 | ||||||
Nissan Auto Receivables Owner Trust, Series 2020-A, Class A3, 1.38%, 12/16/2024 | 131 | 132 | ||||||
OCP CLO Ltd., (Cayman Islands), Series 2017-14A, Class A1A, (ICE LIBOR USD 3 Month + 1.15%), 1.28%, 11/20/2030 (e) (aa) | 5,000 | 5,002 | ||||||
Palmer Square Loan Funding Ltd., (Cayman Islands), Series 2018-5A, Class A1, (ICE LIBOR USD 3 Month + 0.85%), 0.98%, 01/20/2027 (e) (aa) | 226 | 226 | ||||||
Sculptor CLO XXV Ltd., (Cayman Islands), Series 25A, Class A1, (ICE LIBOR USD 3 Month + 1.27%), 1.40%, 01/15/2031 (e) (aa) | 1,200 | 1,198 | ||||||
Sound Point CLO XII Ltd., (Cayman Islands), Series 2016-2A, Class AR2, (ICE LIBOR USD 3 Month + 1.05%), 1.18%, 10/20/2028 (e) (aa) | 89 | 89 | ||||||
Venture CLO Ltd., (Cayman Islands), Series 2018-33A, Class A1LR, (ICE LIBOR USD 3 Month + 1.06%), 1.19%, 07/15/2031 (e) (aa) | 700 | 699 | ||||||
Venture XXI CLO Ltd., (Cayman Islands), Series 2015-21A, Class AR, (ICE LIBOR USD 3 Month + 0.88%), 1.01%, 07/15/2027 (e) (aa) | 978 | 978 | ||||||
Vibrant Clo VI Ltd., (Cayman Islands), Series 2017-6A, Class AR, (ICE LIBOR USD 3 Month + 0.95%), 1.07%, 06/20/2029 (e) (aa) | 4,600 | 4,595 | ||||||
Voya CLO Ltd., (Cayman Islands), Series 2017-1A, Class A1R, (ICE LIBOR USD 3 Month + 0.95%), 1.08%, 04/17/2030 (e) (aa) | 5,200 | 5,194 | ||||||
World Omni Auto Receivables Trust, Series 2020-A, Class A3, 1.10%, 04/15/2025 | 175 | 176 | ||||||
|
| |||||||
Total Asset-Backed Securities (Cost $79,380) | 78,923 | |||||||
|
| |||||||
Collateralized Mortgage Obligations 1.8% | ||||||||
Citigroup Mortgage Loan Trust, | ||||||||
Series 2021-INV3, Class A11, (United States 30 Day Average SOFR + 0.85%), 0.90%, 05/25/2051 (e) (aa) (bb) | 520 | 520 | ||||||
Series 2021-INV1, Class A3A, 2.50%, 05/25/2051 (e) (z) | 6,761 | 6,854 | ||||||
FHLMC REMICS, | ||||||||
Series 3404, Class SA, IF, IO, (6.00% - ICE LIBOR USD 1 Month), 5.92%, 01/15/2038 (aa) | 1,613 | 301 | ||||||
Series 3680, Class SA, IF, IO, (5.00% - ICE LIBOR USD 1 Month), 4.92%, 06/15/2040 (aa) | 4,190 | 492 | ||||||
Series 4023, Class S, IF, IO, (6.25% - ICE LIBOR USD 1 Month), 6.17%, 03/15/2042 (aa) | 1,457 | 253 | ||||||
Series 4056, Class GS, IF, IO, (6.65% - ICE LIBOR USD 1 Month), 6.57%, 12/15/2041 (aa) | 939 | 141 | ||||||
Series 4134, Class PI, IO, 3.00%, 11/15/2042 | 594 | 54 | ||||||
Series 4165, Class TI, IO, 3.00%, 12/15/2042 | 716 | 51 | ||||||
Series 4479, Class AI, IO, 3.50%, 09/15/2025 | 9,029 | 425 | ||||||
Series 4598, Class IK, IO, 3.50%, 03/15/2046 | 841 | 141 | ||||||
Series 4710, Class EI, IO, 3.50%, 11/15/2031 | 5,576 | 499 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Collateralized Mortgage Obligations continued | ||||||||
Series 4825, Class SE, IF, IO, (6.20% - ICE LIBOR USD 1 Month), 6.12%, 09/15/2048 (aa) | 6,086 | 1,264 | ||||||
Series 4888, Class IB, IO, 4.00%, 03/15/2047 | 615 | 65 | ||||||
Series 4974, Class PO, PO, Zero Coupon, 08/25/2042 | 6 | 6 | ||||||
Series 4990, Class MI, IO, 4.00%, 07/25/2050 | 5,983 | 999 | ||||||
Series 5003, Class AS, IF, IO, (6.10% - ICE LIBOR USD 1 Month), 6.01%, 08/25/2050 (aa) | 7,420 | 1,965 | ||||||
Series 5016, Class PI, IO, 3.00%, 09/25/2050 | 14,391 | 1,977 | ||||||
Series 5034, Class YI, IO, 4.00%, 11/25/2050 | 4,143 | 585 | ||||||
Series 5045, Class DI, IO, 2.50%, 11/25/2050 | 3,422 | 269 | ||||||
Series 5047, Class CI, IO, 2.00%, 12/25/2050 | 2,059 | 201 | ||||||
Series 5056, Class PI, IO, 2.50%, 12/25/2050 | 10,417 | 900 | ||||||
Series 5062, Class EI, IO, 2.00%, 01/25/2051 | 4,394 | 435 | ||||||
Series 5065, Class IG, IO, 3.00%, 01/25/2051 | 4,329 | 582 | ||||||
Series 5069, Class DI, IO, 3.50%, 02/25/2041 | 1,847 | 233 | ||||||
Series 5069, Class LI, IO, 2.50%, 02/25/2051 | 18,593 | 2,661 | ||||||
Series 5071, Class IN, IO, 4.00%, 08/25/2050 | 7,813 | 1,313 | ||||||
Series 5087, Class IL, IO, 3.00%, 03/25/2051 | 2,935 | 471 | ||||||
Series 5124, Class LI, IO, 4.50%, 07/25/2051 | 17,225 | 3,566 | ||||||
FHLMC STRIPs, Series 365, Class C2, IO, 4.00%, 06/15/2049 | 6,125 | 971 | ||||||
FNMA Interest STRIP, | ||||||||
Series 379, Class S56, IF, IO, (7.90% - ICE LIBOR USD 1 Month), 7.81%, 05/25/2037 (aa) | 562 | 119 | ||||||
Series 405, Class 1, PO, Zero Coupon, 10/25/2040 | 435 | 409 | ||||||
Series 406, Class 23, IO, 6.00%, 11/25/2040 (z) | 208 | 50 | ||||||
FNMA REMICS, | ||||||||
Series 2007-30, Class JS, IF, IO, (6.44% - ICE LIBOR USD 1 Month), 6.35%, 04/25/2037 (aa) | 2,465 | 501 | ||||||
Series 2012-53, Class IO, IO, 3.50%, 05/25/2027 | 1,426 | 61 | ||||||
Series 2012-98, Class JI, IO, 3.00%, 04/25/2027 | 3,259 | 121 | ||||||
Series 2012-135, Class SB, IF, IO, (6.10% - ICE LIBOR USD 1 Month), 6.01%, 12/25/2042 (aa) | 1,370 | 239 | ||||||
Series 2013-109, Class BO, PO, Zero Coupon, 07/25/2043 | 558 | 509 | ||||||
Series 2014-34, Class US, IF, (8.60% - ICE LIBOR USD 1 Month), 8.43%, 06/25/2044 (aa) | 76 | 82 | ||||||
Series 2016-26, Class SY, IF, (7.03% - ICE LIBOR USD 1 Month), 6.83%, 11/25/2042 (aa) | 644 | 648 | ||||||
Series 2016-63, Class AS, IF, IO, (6.00% - ICE LIBOR USD 1 Month), 5.91%, 09/25/2046 (aa) | 1,347 | 298 | ||||||
Series 2018-67, Class SH, IF, IO, (6.20% - ICE LIBOR USD 1 Month), 6.11%, 09/25/2048 (aa) | 4,755 | 1,004 | ||||||
Series 2019-48, Class IB, IO, 0.68%, 06/25/2039 (z) | 29,184 | 784 | ||||||
Series 2019-68, Class US, IF, IO, (6.00% - ICE LIBOR USD 1 Month), 5.91%, 11/25/2049 (aa) | 8,672 | 1,645 | ||||||
Series 2019-78, Class DI, IO, 4.50%, 11/25/2049 | 991 | 106 | ||||||
Series 2020-42, Class CI, IO, 3.00%, 06/25/2050 | 15,529 | 2,361 | ||||||
Series 2020-60, Class BI, IO, 3.50%, 09/25/2050 | 14,812 | 2,078 | ||||||
Series 2020-68, Class CI, IO, 3.00%, 10/25/2050 | 11,129 | 1,396 | ||||||
Series 2020-86, Class PI, IO, 2.50%, 12/25/2050 | 3,865 | 379 | ||||||
Series 2020-89, Class IM, IO, 2.00%, 12/25/2050 | 11,521 | 1,230 | ||||||
Series 2020-89, Class LI, IO, 3.00%, 12/25/2050 | 14,758 | 2,345 | ||||||
Series 2020-93, Class JI, IO, 2.50%, 01/25/2051 | 4,092 | 538 | ||||||
Series 2020-99, Class IQ, IO, 3.00%, 01/25/2051 | 1,240 | 160 | ||||||
GNMA, | ||||||||
Series 2015-H03, Class FA, (ICE LIBOR USD 1 Month + 0.50%), 0.59%, 12/20/2064 (aa) | 107 | 107 | ||||||
Series 2015-H33, Class FA, (ICE LIBOR USD 1 Month + 0.66%), 0.75%, 12/20/2065 (aa) | 9,083 | 9,163 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Collateralized Mortgage Obligations continued | ||||||||
Series 2017-H03, Class HA, 3.00%, 01/20/2067 | 6,433 | 6,756 | ||||||
Series 2019-H08, Class FE, (ICE LIBOR USD 1 Month + 0.65%), 0.74%, 01/20/2069 (aa) | 5,724 | 5,810 | ||||||
Series 2019-H16, Class FD, (ICE LIBOR USD 1 Month + 0.80%), 0.89%, 10/20/2069 (aa) | 3,439 | 3,530 | ||||||
Series 2020-142, Class MT, IF, IO, (6.15% - ICE LIBOR USD 1 Month), 0.05%, 07/20/2047 (aa) | 19,177 | 33 | ||||||
Series 2020-142, Class TN, IF, IO, (6.20% - ICE LIBOR USD 1 Month), 0.10%, 09/20/2047 (aa) | 27,873 | 100 | ||||||
Series 2020-H14, Class FH, (ICE LIBOR USD 1 Month + 1.25%), 1.34%, 08/20/2070 (aa) | 9,790 | 10,335 | ||||||
Series 2020-H15, Class FH, (ICE LIBOR USD 1 Month + 1.05%), 1.14%, 07/20/2070 (aa) | 4,249 | 4,420 | ||||||
Series 2020-H15, Class FK, (ICE LIBOR USD 1 Month + 1.25%), 1.34%, 04/20/2070 (aa) | 7,378 | 7,734 | ||||||
Series 2020-H16, Class FN, (ICE LIBOR USD 1 Month + 1.25%), 1.34%, 09/20/2070 (aa) | 2,825 | 2,981 | ||||||
Series 2021-83, Class PU, 1.50%, 05/20/2051 | 6,190 | 6,126 | ||||||
Series 2021-H14, Class HF, (United States 30 Day Average SOFR + 1.50%), 1.60%, 09/20/2071 (aa) (bb) | 8,000 | 8,640 | ||||||
Series 2021-H547, 1.55% 10/01/2071 (bb) | 10,000 | 10,794 | ||||||
GS Mortgage-Backed Securities Trust, | ||||||||
Series 2021-GR2, Class A2, 2.50%, 02/25/2052 (e) (z) | 2,085 | 2,118 | ||||||
Series 2021-INV1, Class A2, 2.50%, 12/25/2051 (e) (z) | 991 | 1,002 | ||||||
IMS ECUADORIAN MORTGAGE TRUST, Series 2021-1, Class GA, 3.40%, 08/18/2043 (e) | 2,300 | 2,391 | ||||||
MFA Trust, Series 2020-NQM2, Class A1, 1.38%, 04/25/2065 (e) (z) | 8,334 | 8,355 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations (Cost $140,434) | 135,652 | |||||||
|
| |||||||
Commercial Mortgage-Backed Securities 0.7% | ||||||||
Banc of America Commercial Mortgage Trust, Series 2015-UBS7, Class ASB, 3.43%, 09/15/2048 | 507 | 535 | ||||||
BANK, | ||||||||
Series 2017-BNK7, Class AS, 3.75%, 09/15/2060 | 750 | 820 | ||||||
Series 2018-BN13, Class A5, 4.22%, 08/15/2061 (z) | 500 | 571 | ||||||
Series 2018-BN15, Class A4, 4.41%, 11/15/2061 (z) | 1,235 | 1,428 | ||||||
Barclays Commercial Mortgage Trust, | ||||||||
Series 2019-C5, Class A4, 3.06%, 11/15/2052 | 1,000 | 1,074 | ||||||
Series 2019-C5, Class ASB, 2.99%, 11/15/2052 | 500 | 537 | ||||||
BBCMS Mortgage Trust, | ||||||||
Series 2020-C6, Class ASB, 2.60%, 02/15/2053 | 600 | 632 | ||||||
Series 2020-C7, Class A5, 2.04%, 04/15/2053 | 210 | 209 | ||||||
BCP Trust, Series 2021-330N, Class A, (ICE LIBOR USD 1 Month + 0.80%), 0.88%, 06/15/2038 (e) (aa) | 2,800 | 2,780 | ||||||
Benchmark Mortgage Trust, | ||||||||
Series 2020-B16, Class AM, 2.94%, 02/15/2053 (z) | 350 | 367 | ||||||
Series 2020-B17, Class A5, 2.29%, 03/15/2053 | 500 | 508 | ||||||
Series 2020-B20, Class A5, 2.03%, 10/15/2053 | 750 | 745 | ||||||
BWAY Mortgage Trust, Series 2021-1450, Class A, (ICE LIBOR USD 1 Month + 1.25%), 1.33%, 09/15/2036 (e) (aa) | 4,600 | 4,600 | ||||||
CD Mortgage Trust, Series 2017-CD5, Class AAB, 3.22%, 08/15/2050 | 1,000 | 1,065 | ||||||
CGMS Commercial Mortgage Trust, Series 2017-B1, Class A4, 3.46%, 08/15/2050 | 1,100 | 1,201 | ||||||
Citigroup Commercial Mortgage Trust, | ||||||||
Series 2014-GC23, Class AS, 3.86%, 07/10/2047 | 250 | 268 | ||||||
Series 2014-GC25, Class A4, 3.64%, 10/10/2047 | 500 | 537 | ||||||
Series 2015-GC33, Class AS, 4.11%, 09/10/2058 | 500 | 542 | ||||||
Series 2019-GC41, Class AS, 3.02%, 08/10/2056 | 250 | 264 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Commercial Mortgage-Backed Securities continued | ||||||||
COMM Mortgage Trust, Series 2016-CR28, Class ASB, 3.53%, 02/10/2049 | 419 | 442 | ||||||
CSAIL Commercial Mortgage Trust, Series 2016-C7, Class ASB, 3.31%, 11/15/2049 | 357 | 377 | ||||||
CSMC, Series 2020-FACT, Class A, (ICE LIBOR USD 1 Month + 1.35%), 1.43%, 10/15/2037 (e) (aa) | 2,100 | 2,107 | ||||||
FHLMC Multifamily Structured Pass Through Certificates, | ||||||||
Series K027, Class A2, 2.64%, 01/25/2023 | 805 | 825 | ||||||
Series K047, Class A2, 3.33%, 05/25/2025 (z) | 1,000 | 1,083 | ||||||
Series K049, Class A2, 3.01%, 07/25/2025 | 250 | 268 | ||||||
Series K057, Class A2, 2.57%, 07/25/2026 | 850 | 905 | ||||||
Series K063, Class A2, 3.43%, 01/25/2027 (z) | 1,000 | 1,107 | ||||||
Series K071, Class A2, 3.29%, 11/25/2027 | 500 | 554 | ||||||
Series K073, Class A2, 3.35%, 01/25/2028 | 1,000 | 1,113 | ||||||
Series K075, Class A2, 3.65%, 02/25/2028 (z) | 500 | 566 | ||||||
Series K094, Class A2, 2.90%, 06/25/2029 | 112 | 123 | ||||||
Series K103, Class A2, 2.65%, 11/25/2029 | 500 | 539 | ||||||
Series K108, Class A2, 1.52%, 03/25/2030 | 304 | 302 | ||||||
Series K117, Class A2, 1.41%, 08/25/2030 | 1,500 | 1,474 | ||||||
Series K118, Class A2, 1.49%, 09/25/2030 | 500 | 495 | ||||||
Series K725, Class A2, 3.00%, 01/25/2024 | 225 | 236 | ||||||
Series K726, Class A2, 2.91%, 04/25/2024 | 869 | 911 | ||||||
Series K729, Class A2, 3.14%, 10/25/2024 | 200 | 212 | ||||||
Series K737, Class A2, 2.53%, 10/25/2026 | 650 | 690 | ||||||
FNMA-ACES, | ||||||||
Series 2015-M10, Class A2, 3.09%, 04/25/2027 (z) | 669 | 728 | ||||||
Series 2016-M5, Class A2, 2.47%, 04/25/2026 | 500 | 525 | ||||||
Series 2017-M11, Class A2, 2.98%, 08/25/2029 | 1,000 | 1,092 | ||||||
Series 2017-M12, Class A2, 3.17%, 06/25/2027 (z) | 129 | 140 | ||||||
Series 2017-M13, Class A2, 3.02%, 09/25/2027 (z) | 596 | 646 | ||||||
Series 2018-M8, Class A2, 3.44%, 06/25/2028 (z) | 1,000 | 1,110 | ||||||
Series 2020-M46, Class A2, 1.32%, 05/25/2030 | 1,000 | 979 | ||||||
GS Mortgage Securities Trust, | ||||||||
Series 2013-GC12, Class AS, 3.38%, 06/10/2046 | 400 | 414 | ||||||
Series 2019-GSA1, Class A4, 3.05%, 11/10/2052 | 250 | 267 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
Series 2012-C5, Class A4, 3.18%, 08/15/2045 | 1,000 | 1,011 | ||||||
Series 2016-C29, Class A4, 3.33%, 05/15/2049 | 500 | 539 | ||||||
Series 2016-C31, Class A5, 3.10%, 11/15/2049 | 500 | 535 | ||||||
Series 2016-C32, Class A4, 3.72%, 12/15/2049 | 1,000 | 1,101 | ||||||
UBS Commercial Mortgage Trust, | ||||||||
Series 2018-C11, Class ASB, 4.12%, 06/15/2051 | 687 | 759 | ||||||
Series 2018-C12, Class A5, 4.30%, 08/15/2051 | 1,380 | 1,567 | ||||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||
Series 2012-C2, Class A4, 3.53%, 05/10/2063 | 200 | 203 | ||||||
Series 2012-C4, Class A5, 2.85%, 12/10/2045 | 500 | 510 | ||||||
Series 2013-C5, Class A4, 3.18%, 03/10/2046 | 415 | 425 | ||||||
Series 2013-C6, Class A4, 3.24%, 04/10/2046 | 400 | 412 | ||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||
Series 2014-LC18, Class A5, 3.41%, 12/15/2047 | 420 | 450 | ||||||
Series 2015-C27, Class A5, 3.45%, 02/15/2048 | 918 | 985 | ||||||
Series 2015-LC20, Class A5, 3.18%, 04/15/2050 | 500 | 533 | ||||||
Series 2017-C39, Class A5, 3.42%, 09/15/2050 | 1,000 | 1,091 | ||||||
Series 2017-C40, Class A4, 3.58%, 10/15/2050 | 550 | 603 | ||||||
Series 2018-C44, Class A5, 4.21%, 05/15/2051 | 1,000 | 1,138 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Commercial Mortgage-Backed Securities continued | ||||||||
WFRBS Commercial Mortgage Trust, | ||||||||
Series 2013-C12, Class A4, 3.20%, 03/15/2048 | 387 | 397 | ||||||
Series 2014-C20, Class ASB, 3.64%, 05/15/2047 | 800 | 830 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities (Cost $52,614) | 52,002 | |||||||
|
| |||||||
Corporate Bonds 19.1% | ||||||||
Basic Materials 0.6% | ||||||||
Chemicals 0.4% | ||||||||
Air Liquide Finance SA, (France), | ||||||||
Reg. S, 0.63%, 06/20/2030 | EUR | 400 | 479 | |||||
Reg. S, 0.75%, 06/13/2024 | EUR | 600 | 713 | |||||
Air Products and Chemicals, Inc., | ||||||||
1.00%, 02/12/2025 | EUR | 1,550 | 1,866 | |||||
2.80%, 05/15/2050 | 15 | 15 | ||||||
Albemarle New Holding GmbH, (Germany), Reg. S, 1.63%, 11/25/2028 | EUR | 1,000 | 1,239 | |||||
Argentum Netherlands BV for Givaudan SA, (Netherlands), | ||||||||
Reg. S, 1.13%, 09/17/2025 | EUR | 800 | 968 | |||||
Reg. S, 2.00%, 09/17/2030 | EUR | 2,200 | 2,886 | |||||
Celanese US Holdings LLC, 3.50%, 05/08/2024 | 50 | 53 | ||||||
CF Industries, Inc., | ||||||||
4.50%, 12/01/2026 (e) | 1,800 | 2,051 | ||||||
5.38%, 03/15/2044 | 860 | 1,092 | ||||||
Covestro AG, (Germany), Reg. S, 0.88%, 02/03/2026 | EUR | 1,875 | 2,239 | |||||
Dow Chemical Co. (The), | ||||||||
4.55%, 11/30/2025 | 118 | 133 | ||||||
5.25%, 11/15/2041 | 600 | 776 | ||||||
Eastman Chemical Co., | ||||||||
1.50%, 05/26/2023 | EUR | 900 | 1,066 | |||||
3.60%, 08/15/2022 | 2,900 | 2,957 | ||||||
Ecolab, Inc., 1.00%, 01/15/2024 | EUR | 1,950 | 2,314 | |||||
FMC Corp., 3.20%, 10/01/2026 | 20 | 21 | ||||||
Givaudan Finance Europe BV, (Netherlands), Reg. S, 1.00%, 04/22/2027 | EUR | 100 | 121 | |||||
Huntsman International LLC, 4.50%, 05/01/2029 | 2 | 2 | ||||||
Linde Finance BV, (Netherlands), | ||||||||
Reg. S, 0.55%, 05/19/2032 | EUR | 400 | 468 | |||||
Reg. S, 1.88%, 05/22/2024 | EUR | 425 | 521 | |||||
Linde plc, (Ireland), Reg. S, 1.00%, 09/30/2051 | EUR | 1,900 | 2,112 | |||||
LYB International Finance BV, (Netherlands), 4.88%, 03/15/2044 | 550 | 675 | ||||||
LYB International Finance III LLC, 4.20%, 10/15/2049 | 1,000 | 1,136 | ||||||
Mosaic Co. (The), 4.25%, 11/15/2023 | 45 | 48 | ||||||
PPG Industries, Inc., | ||||||||
1.20%, 03/15/2026 | 145 | 145 | ||||||
2.55%, 06/15/2030 | 170 | 174 | ||||||
Sherwin-Williams Co. (The), | ||||||||
3.13%, 06/01/2024 | 100 | 106 | ||||||
3.30%, 05/15/2050 | 70 | 72 | ||||||
3.45%, 08/01/2025 | 90 | 98 | ||||||
3.80%, 08/15/2049 | 90 | 101 | ||||||
4.50%, 06/01/2047 | 50 | 60 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Chemicals continued | ||||||||
Westlake Chemical Corp., | ||||||||
1.63%, 07/17/2029 | EUR | 500 | 612 | |||||
3.13%, 08/15/2051 | 415 | 389 | ||||||
3.38%, 08/15/2061 | 320 | 300 | ||||||
Yara International ASA, (Norway), 3.15%, 06/04/2030 (e) | 1,000 | 1,054 | ||||||
|
| |||||||
29,062 | ||||||||
|
| |||||||
Iron/Steel 0.0% (g) | ||||||||
ArcelorMittal SA, (Luxembourg), | ||||||||
6.75%, 03/01/2041 | 20 | 28 | ||||||
7.00%, 10/15/2039 | 20 | 28 | ||||||
Reliance Steel & Aluminum Co., | ||||||||
1.30%, 08/15/2025 | 20 | 20 | ||||||
2.15%, 08/15/2030 | 235 | 229 | ||||||
Steel Dynamics, Inc., 3.25%, 01/15/2031 | 3,000 | 3,210 | ||||||
Vale Overseas Ltd., (Cayman Islands), | ||||||||
6.88%, 11/21/2036 | 15 | 20 | ||||||
6.88%, 11/10/2039 | 18 | 25 | ||||||
Vale SA, (Brazil), 5.63%, 09/11/2042 | 164 | 201 | ||||||
|
| |||||||
3,761 | ||||||||
|
| |||||||
Mining 0.2% | ||||||||
Anglo American Capital plc, (United Kingdom), | ||||||||
Reg. S, 1.63%, 03/11/2026 | EUR | 500 | 609 | |||||
Reg. S, 3.38%, 03/11/2029 | GBP | 1,350 | 1,960 | |||||
Barrick PD Australia Finance Pty Ltd., (Australia), 5.95%, 10/15/2039 | 920 | 1,262 | ||||||
BHP Billiton Finance Ltd., (Australia), Series 17, Reg. S, 1.50%, 04/29/2030 | EUR | 775 | 964 | |||||
Glencore Capital Finance DAC, (Ireland), Reg. S, 1.25%, 03/01/2033 | EUR | 1,125 | 1,265 | |||||
Kinross Gold Corp., (Canada), 4.50%, 07/15/2027 | 2,500 | 2,872 | ||||||
Newmont Corp., 4.88%, 03/15/2042 | 30 | 38 | ||||||
Norsk Hydro ASA, (Norway), Reg. S, 1.13%, 04/11/2025 | EUR | 900 | 1,076 | |||||
Southern Copper Corp., | ||||||||
3.88%, 04/23/2025 | 35 | 38 | ||||||
5.88%, 04/23/2045 | 29 | 39 | ||||||
6.75%, 04/16/2040 | 10 | 14 | ||||||
Teck Resources Ltd., (Canada), 5.40%, 02/01/2043 | 1,100 | 1,344 | ||||||
Yamana Gold, Inc., (Canada), 2.63%, 08/15/2031 (e) | 705 | 688 | ||||||
|
| |||||||
12,169 | ||||||||
|
| |||||||
Total Basic Materials | 44,992 | |||||||
|
| |||||||
Communications 1.1% | ||||||||
Advertising 0.0% (g) | ||||||||
Interpublic Group of Cos., Inc. (The), 3.38%, 03/01/2041 | 100 | 105 | ||||||
MMS USA Holdings, Inc., Reg. S, 1.75%, 06/13/2031 | EUR | 1,000 | 1,260 | |||||
Omnicom Group, Inc., 4.20%, 06/01/2030 | 25 | 29 | ||||||
WPP Finance 2013, (United Kingdom), Reg. S, 2.88%, 09/14/2046 | GBP | 425 | 558 | |||||
|
| |||||||
1,952 | ||||||||
|
|
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Internet 0.0% (g) | ||||||||
Alphabet, Inc., | ||||||||
1.90%, 08/15/2040 | 700 | 627 | ||||||
2.25%, 08/15/2060 | 65 | 56 | ||||||
Amazon.com, Inc., | ||||||||
2.10%, 05/12/2031 | 100 | 101 | ||||||
2.88%, 05/12/2041 | 20 | 21 | ||||||
3.10%, 05/12/2051 | 100 | 105 | ||||||
3.25%, 05/12/2061 | 25 | 26 | ||||||
3.88%, 08/22/2037 | 20 | 24 | ||||||
4.25%, 08/22/2057 | 30 | 38 | ||||||
Booking Holdings, Inc., | ||||||||
3.60%, 06/01/2026 | 50 | 55 | ||||||
4.63%, 04/13/2030 | 15 | 18 | ||||||
eBay, Inc., 1.90%, 03/11/2025 | 5 | 5 | ||||||
Expedia Group, Inc., | ||||||||
2.50%, 06/03/2022 | EUR | 500 | 585 | |||||
3.60%, 12/15/2023 | 10 | 11 | ||||||
4.63%, 08/01/2027 | 5 | 6 | ||||||
5.00%, 02/15/2026 | 20 | 22 | ||||||
VeriSign, Inc., | ||||||||
2.70%, 06/15/2031 | 50 | 51 | ||||||
4.75%, 07/15/2027 | 77 | 81 | ||||||
5.25%, 04/01/2025 | 132 | 150 | ||||||
|
| |||||||
1,982 | ||||||||
|
| |||||||
Media 0.5% | ||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital, | ||||||||
3.50%, 06/01/2041 | 55 | 54 | ||||||
3.90%, 06/01/2052 | 3,050 | 3,025 | ||||||
4.40%, 12/01/2061 | 65 | 68 | ||||||
4.46%, 07/23/2022 | 190 | 195 | ||||||
4.50%, 02/01/2024 | 115 | 124 | ||||||
4.80%, 03/01/2050 | 80 | 90 | ||||||
4.91%, 07/23/2025 | 1,545 | 1,737 | ||||||
6.38%, 10/23/2035 | 40 | 52 | ||||||
6.48%, 10/23/2045 | 30 | 41 | ||||||
Comcast Corp., | ||||||||
0.25%, 09/14/2029 | EUR | 3,100 | 3,533 | |||||
1.88%, 02/20/2036 | GBP | 1,075 | 1,399 | |||||
1.95%, 01/15/2031 | 2,875 | 2,827 | ||||||
2.35%, 01/15/2027 | 2,000 | 2,096 | ||||||
2.65%, 08/15/2062 | 25 | 22 | ||||||
3.97%, 11/01/2047 | 220 | 251 | ||||||
4.25%, 10/15/2030 | 120 | 140 | ||||||
4.60%, 10/15/2038 | 70 | 85 | ||||||
Cox Communications, Inc., 3.50%, 08/15/2027 (e) | 3,180 | 3,480 | ||||||
Discovery Communications LLC, | ||||||||
5.20%, 09/20/2047 | 1,100 | 1,369 | ||||||
5.30%, 05/15/2049 | 90 | 112 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Media continued | ||||||||
ITV plc, (United Kingdom), Reg. S, 1.38%, 09/26/2026 | EUR | 900 | 1,088 | |||||
Pearson Funding plc, (United Kingdom), Reg. S, 3.75%, 06/04/2030 | GBP | 475 | 704 | |||||
RELX Finance BV, (Netherlands), Reg. S, 0.00%, 03/18/2024 | EUR | 100 | 116 | |||||
Sky Ltd., (United Kingdom), | ||||||||
Reg. S, 2.25%, 11/17/2025 | EUR | 450 | 570 | |||||
Reg. S, 2.50%, 09/15/2026 | EUR | 850 | 1,103 | |||||
Thomson Reuters Corp., (Canada), 4.30%, 11/23/2023 | 120 | 128 | ||||||
Time Warner Cable LLC, | ||||||||
4.50%, 09/15/2042 | 100 | 108 | ||||||
5.50%, 09/01/2041 | 800 | 979 | ||||||
ViacomCBS, Inc., 5.85%, 09/01/2043 | 1,850 | 2,519 | ||||||
Vivendi SE, (France), | ||||||||
Reg. S, 0.63%, 06/11/2025 | EUR | 1,200 | 1,421 | |||||
Reg. S, 1.13%, 12/11/2028 | EUR | 1,200 | 1,458 | |||||
Wolters Kluwer NV, (Netherlands), | ||||||||
Reg. S, 0.75%, 07/03/2030 | EUR | 775 | 916 | |||||
Reg. S, 1.50%, 03/22/2027 | EUR | 2,275 | 2,822 | |||||
|
| |||||||
34,632 | ||||||||
|
| |||||||
Telecommunications 0.6% | ||||||||
America Movil SAB de CV, (Mexico), | ||||||||
4.38%, 07/16/2042 | 200 | 239 | ||||||
5.00%, 10/27/2026 | GBP | 100 | 158 | |||||
Series B, Reg. S, (EUR Swap Rate 5 Year + 4.55%), 6.38%, 09/06/2073 (aa) | EUR | 1,500 | 1,934 | |||||
AT&T, Inc., | ||||||||
0.90%, 03/25/2024 | 100 | 100 | ||||||
1.70%, 03/25/2026 | 405 | 411 | ||||||
1.80%, 09/05/2026 | EUR | 1,150 | 1,431 | |||||
1.80%, 09/14/2039 | EUR | 1,200 | 1,412 | |||||
2.05%, 05/19/2032 | EUR | 100 | 128 | |||||
2.45%, 03/15/2035 | EUR | 425 | 555 | |||||
3.30%, 02/01/2052 | 25 | 24 | ||||||
3.50%, 06/01/2041 | 1,700 | 1,742 | ||||||
3.50%, 02/01/2061 | 45 | 43 | ||||||
3.55%, 09/15/2055 | 5 | 5 | ||||||
3.65%, 06/01/2051 | 1,800 | 1,824 | ||||||
3.80%, 12/01/2057 | 82 | 84 | ||||||
3.85%, 06/01/2060 | 20 | 21 | ||||||
4.25%, 06/01/2043 | GBP | 200 | 327 | |||||
4.30%, 12/15/2042 | 100 | 112 | ||||||
4.45%, 04/01/2024 | 47 | 51 | ||||||
4.80%, 06/15/2044 | 20 | 24 | ||||||
4.85%, 03/01/2039 | 225 | 269 | ||||||
5.25%, 03/01/2037 | 60 | 74 | ||||||
Reg. S, 5.50%, 03/15/2027 | GBP | 450 | 728 | |||||
7.00%, 04/30/2040 | GBP | 400 | 857 | |||||
Bell Telephone Co. of Canada or Bell Canada (The), (Canada), Series US-3, 0.75%, 03/17/2024 | 100 | 100 | ||||||
CK Hutchison Group Telecom Finance SA, (Luxembourg), Reg. S, 0.38%, 10/17/2023 | EUR | 1,300 | 1,518 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Telecommunications continued | ||||||||
Deutsche Telekom International Finance BV, (Netherlands), | ||||||||
3.60%, 01/19/2027 (e) | 900 | 989 | ||||||
8.75%, 06/15/2030 | 256 | 379 | ||||||
Elisa OYJ, (Finland), Reg. S, 0.88%, 03/17/2024 | EUR | 100 | 119 | |||||
Global Switch Holdings Ltd., (British Virgin Islands), Reg. S, 1.50%, 01/31/2024 | EUR | 450 | 537 | |||||
Level 3 Financing, Inc., 3.40%, 03/01/2027 (e) | 1,780 | 1,875 | ||||||
Motorola Solutions, Inc., | ||||||||
2.30%, 11/15/2030 | 47 | 46 | ||||||
2.75%, 05/24/2031 | 340 | 347 | ||||||
4.00%, 09/01/2024 | 65 | 71 | ||||||
4.60%, 05/23/2029 | 40 | 46 | ||||||
5.50%, 09/01/2044 | 40 | 52 | ||||||
Orange SA, (France), Reg. S, 3.25%, 01/15/2032 | GBP | 1,100 | 1,646 | |||||
OTE plc, (United Kingdom), Reg. S, 0.88%, 09/24/2026 | EUR | 100 | 119 | |||||
Proximus SADP, (Belgium), Reg. S, 2.38%, 04/04/2024 | EUR | 100 | 123 | |||||
Sprint Corp., 7.63%, 02/15/2025 | 2,800 | 3,273 | ||||||
Tele2 AB, (Sweden), Reg. S, 2.13%, 05/15/2028 | EUR | 800 | 1,018 | |||||
Telefonaktiebolaget LM Ericsson, (Sweden), Reg. S, 1.88%, 03/01/2024 | EUR | 1,000 | 1,211 | |||||
Telenor ASA, (Norway), Reg. S, 0.25%, 02/14/2028 | EUR | 700 | 811 | |||||
Telstra Corp. Ltd., (Australia), | ||||||||
Reg. S, 1.00%, 04/23/2030 | EUR | 1,800 | 2,171 | |||||
3.13%, 04/07/2025 (e) | 2,600 | 2,764 | ||||||
T-Mobile USA, Inc., | ||||||||
1.50%, 02/15/2026 | 10 | 10 | ||||||
3.50%, 04/15/2025 | 2,525 | 2,719 | ||||||
3.88%, 04/15/2030 | 3,420 | 3,782 | ||||||
4.38%, 04/15/2040 | 50 | 58 | ||||||
Verizon Communications, Inc., | ||||||||
0.88%, 04/02/2025 | EUR | 750 | 897 | |||||
0.88%, 04/08/2027 | EUR | 475 | 569 | |||||
1.30%, 05/18/2033 | EUR | 1,225 | 1,468 | |||||
1.50%, 09/19/2039 | EUR | 700 | 825 | |||||
1.68%, 10/30/2030 | 78 | 74 | ||||||
1.88%, 11/03/2038 | GBP | 200 | 250 | |||||
2.10%, 03/22/2028 | 50 | 51 | ||||||
2.36%, 03/15/2032 (e) | 54 | 54 | ||||||
2.50%, 04/08/2031 | GBP | 1,000 | 1,399 | |||||
2.55%, 03/21/2031 | 650 | 658 | ||||||
2.65%, 11/20/2040 | 1,020 | 956 | ||||||
2.88%, 11/20/2050 | 20 | 19 | ||||||
2.99%, 10/30/2056 | 35 | 33 | ||||||
3.00%, 11/20/2060 | 60 | 55 | ||||||
3.25%, 02/17/2026 | EUR | 200 | 264 | |||||
3.70%, 03/22/2061 | 350 | 368 | ||||||
4.07%, 06/18/2024 | GBP | 100 | 146 | |||||
4.13%, 08/15/2046 | 80 | 92 | ||||||
4.40%, 11/01/2034 | 20 | 24 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Telecommunications continued | ||||||||
4.50%, 08/10/2033 | 1,900 | 2,259 | ||||||
4.86%, 08/21/2046 | 170 | 216 | ||||||
|
| |||||||
49,014 | ||||||||
|
| |||||||
Total Communications | 87,580 | |||||||
|
| |||||||
Consumer Cyclical 1.1% | ||||||||
Airlines 0.1% | ||||||||
easyJet FinCo. BV, (Netherlands), Reg. S, 1.88%, 03/03/2028 | EUR | 1,200 | 1,436 | |||||
Southwest Airlines Co., | ||||||||
5.13%, 06/15/2027 | 1,150 | 1,344 | ||||||
5.25%, 05/04/2025 | 1,600 | 1,806 | ||||||
United Airlines, Inc., | ||||||||
4.38%, 04/15/2026 (e) | 525 | 539 | ||||||
4.63%, 04/15/2029 (e) | 360 | 372 | ||||||
|
| |||||||
5,497 | ||||||||
|
| |||||||
Apparel 0.0% (g) | ||||||||
Burberry Group plc, (United Kingdom), Reg. S, 1.13%, 09/21/2025 | GBP | 425 | 567 | |||||
LVMH Moet Hennessy Louis Vuitton SE, (France), | ||||||||
Reg. S, 0.13%, 02/11/2028 | EUR | 800 | 933 | |||||
Reg. S, 0.75%, 04/07/2025 | EUR | 300 | 358 | |||||
NIKE, Inc., | ||||||||
3.25%, 03/27/2040 | 236 | 258 | ||||||
3.38%, 03/27/2050 | 50 | 55 | ||||||
Tapestry, Inc., 4.13%, 07/15/2027 | 52 | 57 | ||||||
VF Corp., 2.40%, 04/23/2025 | 25 | 26 | ||||||
|
| |||||||
2,254 | ||||||||
|
| |||||||
Auto Manufacturers 0.7% | ||||||||
American Honda Finance Corp., 0.75%, 11/25/2026 | GBP | 4,800 | 6,299 | |||||
BMW US Capital LLC, | ||||||||
3.80%, 04/06/2023 (e) | 54 | 57 | ||||||
3.90%, 04/09/2025 (e) | 1,100 | 1,201 | ||||||
Cummins, Inc., 2.60%, 09/01/2050 | 40 | 37 | ||||||
Daimler AG, (Germany), | ||||||||
Reg. S, 1.13%, 11/06/2031 | EUR | 15 | 18 | |||||
Reg. S, 1.63%, 08/22/2023 | EUR | 20 | 24 | |||||
Reg. S, 2.13%, 07/03/2037 | EUR | 775 | 1,030 | |||||
Daimler International Finance BV, (Netherlands), | ||||||||
Reg. S, 0.63%, 02/27/2023 | EUR | 425 | 499 | |||||
Reg. S, 2.63%, 04/07/2025 | EUR | 1,760 | 2,232 | |||||
Ford Motor Credit Co. LLC, | ||||||||
2.75%, 06/14/2024 | GBP | 1,600 | 2,177 | |||||
3.37%, 11/17/2023 | 2,000 | 2,050 | ||||||
4.00%, 11/13/2030 | 545 | 567 | ||||||
General Motors Co., | ||||||||
5.20%, 04/01/2045 | 425 | 517 | ||||||
5.40%, 04/01/2048 | 275 | 341 | ||||||
6.60%, 04/01/2036 | 520 | 697 | ||||||
6.75%, 04/01/2046 | 66 | 93 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Auto Manufacturers continued | ||||||||
General Motors Financial Co., Inc., | ||||||||
Reg. S, 1.69%, 03/26/2025 | EUR | 775 | 940 | |||||
1.70%, 08/18/2023 | 70 | 71 | ||||||
Reg. S, 2.25%, 09/06/2024 | GBP | 700 | 966 | |||||
Reg. S, 2.35%, 09/03/2025 | GBP | 1,225 | 1,701 | |||||
2.70%, 08/20/2027 | 1,450 | 1,504 | ||||||
2.70%, 06/10/2031 | 615 | 613 | ||||||
2.75%, 06/20/2025 | 180 | 188 | ||||||
2.90%, 02/26/2025 | 45 | 47 | ||||||
3.45%, 04/10/2022 | 60 | 61 | ||||||
4.20%, 11/06/2021 | 200 | 201 | ||||||
Harley-Davidson Financial Services, Inc., Reg. S, 3.88%, 05/19/2023 | EUR | 425 | 524 | |||||
Nissan Motor Co. Ltd., (Japan), 3.52%, 09/17/2025 (e) | 3,000 | 3,188 | ||||||
PACCAR Financial Europe BV, (Netherlands), | ||||||||
Reg. S, 0.00%, 03/03/2023 | EUR | 500 | 582 | |||||
Reg. S, 0.13%, 03/07/2022 | EUR | 100 | 116 | |||||
Stellantis Finance US, Inc., 2.69%, 09/15/2031 (e) | 460 | 455 | ||||||
Stellantis NV, (Netherlands), | ||||||||
Reg. S, 0.63%, 03/30/2027 | EUR | 2,600 | 3,030 | |||||
Reg. S, 1.25%, 06/20/2033 | EUR | 600 | 683 | |||||
Reg. S, 2.75%, 05/15/2026 | EUR | 800 | 1,025 | |||||
Toyota Motor Credit Corp., 0.80%, 01/09/2026 | 200 | 197 | ||||||
Volkswagen Bank GmbH, (Germany), | ||||||||
Reg. S, 0.75%, 06/15/2023 | EUR | 300 | 353 | |||||
Reg. S, 1.25%, 06/10/2024 | EUR | 1,500 | 1,794 | |||||
Volkswagen Financial Services AG, (Germany), | ||||||||
Reg. S, 1.38%, 10/16/2023 | EUR | 900 | 1,074 | |||||
Reg. S, 2.25%, 10/16/2026 | EUR | 10 | 13 | |||||
Reg. S, 2.50%, 04/06/2023 | EUR | 915 | 1,102 | |||||
Reg. S, 3.00%, 04/06/2025 | EUR | 20 | 25 | |||||
Reg. S, 3.38%, 04/06/2028 | EUR | 1,450 | 1,976 | |||||
Volkswagen Financial Services NV, (Netherlands), Reg. S, 1.13%, 07/05/2026 | GBP | 1,000 | 1,325 | |||||
Volkswagen International Finance NV, (Netherlands), | ||||||||
Reg. S, 0.05%, 06/10/2024 | EUR | 400 | 465 | |||||
Reg. S, 3.25%, 11/18/2030 | EUR | 1,000 | 1,405 | |||||
Reg. S, (EUR Swap Rate 5 Year + 3.75%), 3.50%, 06/17/2025 (x) (aa) | EUR | 1,000 | 1,243 | |||||
Reg. S, (EUR Swap Rate 9 Year + 3.96%), 3.88%, 06/17/2029 (x) (aa) | EUR | 2,000 | 2,567 | |||||
Reg. S, (EUR Swap Rate 12 Year + 2.97%), 4.63%, 03/24/2026 (x) (aa) | EUR | 1,210 | 1,580 | |||||
Volkswagen Leasing GmbH, (Germany), Reg. S, 0.63%, 07/19/2029 | EUR | 500 | 575 | |||||
Volvo Treasury AB, (Sweden), | ||||||||
Reg. S, 0.13%, 09/17/2024 | EUR | 425 | 496 | |||||
Reg. S, (EUR Swap Rate 5 Year + 4.10%), 4.85%, 03/10/2078 (aa) | EUR | 1,575 | 1,940 | |||||
|
| |||||||
51,864 | ||||||||
|
| |||||||
Auto Parts & Equipment 0.1% | ||||||||
Aptiv Corp., 4.15%, 03/15/2024 | 55 | 59 | ||||||
Aptiv plc, (Jersey), 1.50%, 03/10/2025 | EUR | 425 | 514 | |||||
Autoliv, Inc., Reg. S, 0.75%, 06/26/2023 | EUR | 700 | 822 | |||||
Cie Generale des Etablissements Michelin SCA, (France), Reg. S, 0.63%, 11/02/2040 | EUR | 300 | 332 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Auto Parts & Equipment continued | ||||||||
Magna International, Inc., (Canada), 1.90%, 11/24/2023 | EUR | 1,125 | 1,357 | |||||
2.45%, 06/15/2030 | 1,350 | 1,373 | ||||||
4.15%, 10/01/2025 | 2,000 | 2,216 | ||||||
|
| |||||||
6,673 | ||||||||
|
| |||||||
Distribution/Wholesale 0.0% (g) | ||||||||
Bunzl Finance plc, (United Kingdom), Reg. S, 1.50%, 10/30/2030 | GBP | 550 | 713 | |||||
|
| |||||||
Home Builders 0.0% (g) | ||||||||
Berkeley Group plc (The), (United Kingdom), Reg. S, 2.50%, 08/11/2031 | GBP | 300 | 392 | |||||
NVR, Inc., 3.00%, 05/15/2030 | 299 | 312 | ||||||
|
| |||||||
704 | ||||||||
|
| |||||||
Home Furnishings 0.0% (g) | ||||||||
Whirlpool Finance Luxembourg Sarl, (Luxembourg), | ||||||||
1.10%, 11/09/2027 | EUR | 225 | 272 | |||||
1.25%, 11/02/2026 | EUR | 200 | 244 | |||||
|
| |||||||
516 | ||||||||
|
| |||||||
Housewares 0.0% (g) | ||||||||
Newell Brands, Inc., 4.70%, 04/01/2026 | 650 | 716 | ||||||
|
| |||||||
Lodging 0.0% (g) | ||||||||
Choice Hotels International, Inc., 3.70%, 12/01/2029 | 40 | 42 | ||||||
InterContinental Hotels Group plc, (United Kingdom), | ||||||||
Reg. S, 3.38%, 10/08/2028 | GBP | 450 | 644 | |||||
Reg. S, 3.75%, 08/14/2025 | GBP | 100 | 145 | |||||
Marriott International, Inc., Series HH, 2.85%, 04/15/2031 | 1,125 | 1,138 | ||||||
Whitbread Group plc, (United Kingdom), Reg. S, 2.38%, 05/31/2027 | GBP | 1,500 | 2,020 | |||||
|
| |||||||
3,989 | ||||||||
|
| |||||||
Retail 0.2% | ||||||||
AutoNation, Inc., 4.75%, 06/01/2030 | 1,309 | 1,525 | ||||||
AutoZone, Inc., 1.65%, 01/15/2031 | 2,595 | 2,462 | ||||||
Costco Wholesale Corp., 1.75%, 04/20/2032 | 87 | 85 | ||||||
Dollar General Corp., 4.15%, 11/01/2025 | 10 | 11 | ||||||
Genuine Parts Co., 1.88%, 11/01/2030 | 330 | 315 | ||||||
Home Depot, Inc. (The), | ||||||||
2.50%, 04/15/2027 | 100 | 106 | ||||||
3.50%, 09/15/2056 | 75 | 83 | ||||||
4.20%, 04/01/2043 | 800 | 955 | ||||||
5.88%, 12/16/2036 | 90 | 127 | ||||||
Kohls Corp., 3.38%, 05/01/2031 | 15 | 15 | ||||||
Lowes Cos., Inc., 3.50%, 04/01/2051 | 95 | 102 | ||||||
McDonalds Corp., | ||||||||
Reg. S, 2.38%, 11/27/2024 | EUR | 800 | 999 | |||||
3.50%, 03/01/2027 | 100 | 110 | ||||||
Next Group plc, (United Kingdom), | ||||||||
Reg. S, 3.00%, 08/26/2025 | GBP | 225 | 322 | |||||
Reg. S, 3.63%, 05/18/2028 | GBP | 1,075 | 1,581 | |||||
Reg. S, 4.38%, 10/02/2026 | GBP | 300 | 454 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Retail continued | ||||||||
Walmart, Inc., | ||||||||
2.55%, 04/08/2026 | EUR | 2,550 | 3,289 | |||||
Reg. S, 5.25%, 09/28/2035 | GBP | 550 | 1,056 | |||||
|
| |||||||
13,597 | ||||||||
|
| |||||||
Textiles 0.0% (g) | ||||||||
Mohawk Industries, Inc., 2.00%, 01/14/2022 | EUR | 550 | 638 | |||||
|
| |||||||
Total Consumer Cyclical | 87,161 | |||||||
|
| |||||||
Consumer Non-cyclical 2.7% | ||||||||
Agriculture 0.3% | ||||||||
Altria Group, Inc., | ||||||||
2.20%, 06/15/2027 | EUR | 1,000 | 1,247 | |||||
3.40%, 02/04/2041 | 55 | 52 | ||||||
3.70%, 02/04/2051 | 120 | 113 | ||||||
3.88%, 09/16/2046 | 40 | 39 | ||||||
4.00%, 02/04/2061 | 120 | 115 | ||||||
5.38%, 01/31/2044 | 65 | 76 | ||||||
5.95%, 02/14/2049 | 10 | 13 | ||||||
6.20%, 02/14/2059 | 58 | 75 | ||||||
BAT Capital Corp., | ||||||||
Reg. S, 1.13%, 11/16/2023 | EUR | 100 | 118 | |||||
2.79%, 09/06/2024 | 2,285 | 2,403 | ||||||
3.22%, 08/15/2024 | 100 | 106 | ||||||
3.56%, 08/15/2027 | 520 | 560 | ||||||
3.73%, 09/25/2040 | 35 | 34 | ||||||
3.98%, 09/25/2050 | 45 | 43 | ||||||
4.76%, 09/06/2049 | 50 | 54 | ||||||
BAT International Finance plc, (United Kingdom), | ||||||||
Reg. S, 2.38%, 01/19/2023 | EUR | 3,800 | 4,541 | |||||
Reg. S, 7.25%, 03/12/2024 | GBP | 235 | 362 | |||||
Bunge Finance Europe BV, (Netherlands), 1.85%, 06/16/2023 | EUR | 300 | 357 | |||||
Bunge Ltd. Finance Corp., 3.75%, 09/25/2027 | 30 | 33 | ||||||
Cargill, Inc., 2.13%, 04/23/2030 (e) | 1,500 | 1,509 | ||||||
JT International Financial Services BV, (Netherlands), | ||||||||
Reg. S, 1.13%, 09/28/2025 | EUR | 100 | 120 | |||||
Reg. S, 2.75%, 09/28/2033 | GBP | 975 | 1,399 | |||||
Philip Morris International, Inc., | ||||||||
0.80%, 08/01/2031 | EUR | 1,125 | 1,283 | |||||
0.88%, 05/01/2026 | 1,715 | 1,683 | ||||||
2.88%, 03/03/2026 | EUR | 1,000 | 1,299 | |||||
2.88%, 05/14/2029 | EUR | 1,250 | 1,686 | |||||
4.25%, 11/10/2044 | 250 | 287 | ||||||
6.38%, 05/16/2038 | 155 | 217 | ||||||
STG Global Finance BV, (Netherlands), Reg. S, 1.38%, 09/24/2025 | EUR | 1,025 | 1,214 | |||||
Viterra Finance BV, (Netherlands), | ||||||||
Reg. S, 0.38%, 09/24/2025 | EUR | 1,000 | 1,158 | |||||
Reg. S, 1.00%, 09/24/2028 | EUR | 2,050 | 2,359 | |||||
|
| |||||||
24,555 | ||||||||
|
|
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Beverages 0.3% | ||||||||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc., | ||||||||
4.70%, 02/01/2036 | 1,700 | 2,052 | ||||||
4.90%, 02/01/2046 | 1,600 | 1,985 | ||||||
Anheuser-Busch InBev SA, (Belgium), | ||||||||
Reg. S, 2.75%, 03/17/2036 | EUR | 10 | 14 | |||||
Reg. S, 3.70%, 04/02/2040 | EUR | 800 | 1,240 | |||||
Anheuser-Busch InBev Worldwide, Inc., 5.55%, 01/23/2049 | 50 | 67 | ||||||
CCEP Finance Ireland DAC, (Ireland), Reg. S, 0.50%, 09/06/2029 | EUR | 1,000 | 1,154 | |||||
Coca-Cola Co. (The), | ||||||||
0.13%, 03/09/2029 | EUR | 3,500 | 3,993 | |||||
0.13%, 03/15/2029 | EUR | 1,700 | 1,939 | |||||
0.50%, 03/09/2033 | EUR | 500 | 564 | |||||
1.00%, 03/09/2041 | EUR | 400 | 445 | |||||
3.00%, 03/05/2051 | 230 | 238 | ||||||
Coca-Cola Europacific Partners plc, (United Kingdom), Reg. S, 2.38%, 05/07/2025 | EUR | 2,000 | 2,508 | |||||
Coca-Cola Femsa SAB de CV, (Mexico), 2.75%, 01/22/2030 | 150 | 155 | ||||||
Constellation Brands, Inc., 3.70%, 12/06/2026 | 25 | 28 | ||||||
Diageo Capital plc, (United Kingdom), 3.88%, 04/29/2043 | 10 | 12 | ||||||
Diageo Finance plc, (United Kingdom), Reg. S, 1.88%, 03/27/2027 | EUR | 1,000 | 1,268 | |||||
Diageo Investment Corp., 4.25%, 05/11/2042 | 20 | 24 | ||||||
Greene King Finance plc, (United Kingdom), Series A2, 5.32%, 09/15/2031 | GBP | 31 | 47 | |||||
Keurig Dr Pepper, Inc., 4.06%, 05/25/2023 | 26 | 28 | ||||||
PepsiCo., Inc., | ||||||||
0.40%, 10/09/2032 | EUR | 1,200 | 1,356 | |||||
1.05%, 10/09/2050 | EUR | 750 | 837 | |||||
3.45%, 10/06/2046 | 15 | 16 | ||||||
Pernod Ricard SA, (France), Reg. S, 1.13%, 04/07/2025 | EUR | 1,600 | 1,929 | |||||
|
| |||||||
21,899 | ||||||||
|
| |||||||
Biotechnology 0.0% (g) | ||||||||
Amgen, Inc., 1.90%, 02/21/2025 | 100 | 103 | ||||||
Regeneron Pharmaceuticals, Inc., 1.75%, 09/15/2030 | 1,000 | 950 | ||||||
|
| |||||||
1,053 | ||||||||
|
| |||||||
Commercial Services 0.5% | ||||||||
Abertis Infraestructuras SA, (Spain), Reg. S, 3.38%, 11/27/2026 | GBP | 400 | 578 | |||||
ALD SA, (France), Reg. S, 1.25%, 10/11/2022 | EUR | 2,500 | 2,944 | |||||
Amadeus IT Group SA, (Spain), Reg. S, 0.88%, 09/18/2023 | EUR | 2,000 | 2,355 | |||||
American University (The), Series 2019, 3.67%, 04/01/2049 | 30 | 34 | ||||||
Automatic Data Processing, Inc., | ||||||||
1.25%, 09/01/2030 | 1,500 | 1,424 | ||||||
1.70%, 05/15/2028 | 90 | 91 | ||||||
Block Financial LLC, | ||||||||
2.50%, 07/15/2028 | 45 | 46 | ||||||
3.88%, 08/15/2030 | 60 | 65 | ||||||
California Institute of Technology, 4.70%, 11/01/2111 | 25 | 35 | ||||||
Central Nippon Expressway Co. Ltd., (Japan), | ||||||||
Reg. S, 0.89%, 09/29/2025 | 600 | 591 | ||||||
Reg. S, 1.87%, 09/26/2024 | AUD | 1,000 | 734 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Commercial Services continued | ||||||||
Channel Link Enterprises Finance plc, (United Kingdom), Series A8, Reg. S, (ICE LIBOR EUR 6 Month + 5.90%), 2.71%, 06/30/2050 (aa) | EUR | 100 | 118 | |||||
Cintas Corp. No. 2, 3.70%, 04/01/2027 | 30 | 33 | ||||||
Cleveland Clinic Foundation (The), 4.86%, 01/01/2114 | 1,000 | 1,429 | ||||||
Duke University, Series 2020, 2.68%, 10/01/2044 | 20 | 20 | ||||||
East Nippon Expressway Co. Ltd., (Japan), Series 66, 0.10%, 12/18/2026 | JPY | 100,000 | 897 | |||||
Equifax, Inc., | ||||||||
2.60%, 12/15/2025 | 110 | 115 | ||||||
3.10%, 05/15/2030 | 1,830 | 1,933 | ||||||
ERAC USA Finance LLC, | ||||||||
2.70%, 11/01/2023 (e) | 3,200 | 3,325 | ||||||
3.85%, 11/15/2024 (e) | 160 | 173 | ||||||
4.50%, 02/15/2045 (e) | 400 | 483 | ||||||
7.00%, 10/15/2037 (e) | 800 | 1,187 | ||||||
Euronet Worldwide, Inc., 1.38%, 05/22/2026 | EUR | 925 | 1,093 | |||||
Experian Finance plc, (United Kingdom), | ||||||||
Reg. S, 0.74%, 10/29/2025 | GBP | 300 | 397 | |||||
Reg. S, 1.38%, 06/25/2026 | EUR | 1,125 | 1,376 | |||||
Reg. S, 3.25%, 04/07/2032 | GBP | 225 | 338 | |||||
George Washington University (The), Series 2014, 4.30%, 09/15/2044 | 30 | 37 | ||||||
Global Payments, Inc., 1.20%, 03/01/2026 | 80 | 79 | ||||||
Holding dInfrastructures de Transport SASU, (France), Reg. S, 2.50%, 05/04/2027 | EUR | 1,900 | 2,442 | |||||
Johns Hopkins University, Series A, 2.81%, 01/01/2060 | 600 | 609 | ||||||
Massachusetts Institute of Technology, | ||||||||
3.89%, 07/01/2116 | 663 | 799 | ||||||
4.68%, 07/01/2114 | 500 | 722 | ||||||
Series F, 2.99%, 07/01/2050 | 20 | 22 | ||||||
MMS USA Holdings, Inc., Reg. S, 0.63%, 06/13/2025 | EUR | 1,500 | 1,771 | |||||
Moodys Corp., | ||||||||
0.95%, 02/25/2030 | EUR | 1,425 | 1,704 | |||||
1.75%, 03/09/2027 | EUR | 1,125 | 1,411 | |||||
2.55%, 08/18/2060 | 20 | 17 | ||||||
Northwestern University, Series 2020, 2.64%, 12/01/2050 | 10 | 10 | ||||||
PayPal Holdings, Inc., | ||||||||
2.40%, 10/01/2024 | 50 | 52 | ||||||
2.65%, 10/01/2026 | 90 | 96 | ||||||
3.25%, 06/01/2050 | 35 | 38 | ||||||
President and Fellows of Harvard College, 2.52%, 10/15/2050 | 10 | 10 | ||||||
Quanta Services, Inc., | ||||||||
0.95%, 10/01/2024 | 80 | 80 | ||||||
2.35%, 01/15/2032 | 70 | 68 | ||||||
2.90%, 10/01/2030 | 200 | 207 | ||||||
3.05%, 10/01/2041 | 30 | 29 | ||||||
Rockefeller Foundation (The), Series 2020, 2.49%, 10/01/2050 | 5 | 5 | ||||||
S&P Global, Inc., | ||||||||
1.25%, 08/15/2030 | 2,100 | 1,974 | ||||||
2.30%, 08/15/2060 | 331 | 281 | ||||||
Transurban Finance Co. Pty Ltd., (Australia), Reg. S, 3.00%, 04/08/2030 | EUR | 100 | 136 | |||||
Trustees of Princeton University (The), Series 2020, 2.52%, 07/01/2050 | 20 | 20 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Commercial Services continued | ||||||||
United Rentals North America, Inc., 3.88%, 11/15/2027 | 84 | 88 | ||||||
University of Southern California, | ||||||||
2.81%, 10/01/2050 | 20 | 20 | ||||||
Series 21A, 2.95%, 10/01/2051 | 10 | 11 | ||||||
Verisk Analytics, Inc., 5.50%, 06/15/2045 | 43 | 57 | ||||||
Wellcome Trust Ltd. (The), (United Kingdom), | ||||||||
Reg. S, 1.50%, 07/14/2071 | GBP | 500 | 609 | |||||
Reg. S, 2.52%, 02/07/2118 | GBP | 200 | 312 | |||||
West Nippon Expressway Co. Ltd., (Japan), Series 29, 0.31%, 02/12/2026 | JPY | 200,000 | 1,815 | |||||
|
| |||||||
37,345 | ||||||||
|
| |||||||
Cosmetics/Personal Care 0.1% | ||||||||
Colgate-Palmolive Co., 0.50%, 03/06/2026 | EUR | 2,275 | 2,700 | |||||
Estee Lauder Cos., Inc. (The), | ||||||||
2.60%, 04/15/2030 | 60 | 63 | ||||||
3.13%, 12/01/2049 | 20 | 22 | ||||||
Procter & Gamble Co. (The), | ||||||||
0.63%, 10/30/2024 | EUR | 1,450 | 1,724 | |||||
1.20%, 10/30/2028 | EUR | 1,000 | 1,245 | |||||
1.20%, 10/29/2030 | 400 | 380 | ||||||
1.88%, 10/30/2038 | EUR | 1,125 | 1,533 | |||||
3.60%, 03/25/2050 | 80 | 97 | ||||||
4.88%, 05/11/2027 | EUR | 425 | 626 | |||||
Unilever Finance Netherlands BV, (Netherlands), | ||||||||
Reg. S, 0.50%, 08/12/2023 | EUR | 1,400 | 1,648 | |||||
Reg. S, 1.13%, 02/12/2027 | EUR | 425 | 522 | |||||
Unilever plc, (United Kingdom), Reg. S, 1.50%, 06/11/2039 | EUR | 625 | 794 | |||||
|
| |||||||
11,354 | ||||||||
|
| |||||||
Food 0.1% | ||||||||
Flowers Foods, Inc., 2.40%, 03/15/2031 | 5 | 5 | ||||||
General Mills, Inc., 3.00%, 02/01/2051 (e) | 20 | 20 | ||||||
Hershey Co. (The), 2.65%, 06/01/2050 | 10 | 10 | ||||||
Hormel Foods Corp., 1.80%, 06/11/2030 | 76 | 75 | ||||||
Kerry Group Financial Services Unltd Co., (Ireland), Reg. S, 2.38%, 09/10/2025 | EUR | 1,400 | 1,767 | |||||
Kroger Co. (The), 3.95%, 01/15/2050 | 5 | 6 | ||||||
Mars, Inc., 2.38%, 07/16/2040 (e) | 1,200 | 1,144 | ||||||
McCormick & Co., Inc., | ||||||||
0.90%, 02/15/2026 | 100 | 98 | ||||||
3.15%, 08/15/2024 | 150 | 160 | ||||||
4.20%, 08/15/2047 | 5 | 6 | ||||||
Mondelez International Holdings Netherlands BV, (Netherlands), Reg. S, 0.38%, 09/22/2029 | EUR | 100 | 114 | |||||
Mondelez International, Inc., | ||||||||
0.75%, 03/17/2033 | EUR | 1,800 | 2,024 | |||||
1.50%, 02/04/2031 | 1,000 | 940 | ||||||
1.88%, 10/15/2032 | 300 | 288 | ||||||
Tesco Corporate Treasury Services plc, (United Kingdom), | ||||||||
Reg. S, 0.88%, 05/29/2026 | EUR | 1,500 | 1,785 | |||||
Reg. S, 1.38%, 10/24/2023 | EUR | 100 | 119 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Food continued | ||||||||
Reg. S, 2.75%, 04/27/2030 | GBP | 425 | 599 | |||||
Wm Morrison Supermarkets plc, (United Kingdom), Reg. S, 2.50%, 10/01/2031 | GBP | 400 | 539 | |||||
|
| |||||||
9,699 | ||||||||
|
| |||||||
Healthcare - Products 0.4% | ||||||||
Abbott Ireland Financing DAC, (Ireland), | ||||||||
Reg. S, 0.10%, 11/19/2024 | EUR | 700 | 818 | |||||
Reg. S, 0.38%, 11/19/2027 | EUR | 1,950 | 2,282 | |||||
Abbott Laboratories, 4.90%, 11/30/2046 | 115 | 155 | ||||||
Becton Dickinson Euro Finance Sarl, (Luxembourg), | ||||||||
1.21%, 06/04/2026 | EUR | 425 | 513 | |||||
1.34%, 08/13/2041 | EUR | 2,000 | 2,223 | |||||
Boston Scientific Corp., | ||||||||
0.63%, 12/01/2027 | EUR | 800 | 937 | |||||
3.45%, 03/01/2024 | 100 | 106 | ||||||
Danaher Corp., 2.50%, 03/30/2030 | EUR | 525 | 703 | |||||
DH Europe Finance II Sarl, (Luxembourg), | ||||||||
0.20%, 03/18/2026 | EUR | 3,775 | 4,395 | |||||
0.75%, 09/18/2031 | EUR | 1,000 | 1,165 | |||||
1.35%, 09/18/2039 | EUR | 700 | 815 | |||||
1.80%, 09/18/2049 | EUR | 700 | 851 | |||||
3.40%, 11/15/2049 | 30 | 33 | ||||||
Edwards Lifesciences Corp., 4.30%, 06/15/2028 | 135 | 155 | ||||||
Koninklijke Philips NV, (Netherlands), Reg. S, 1.38%, 05/02/2028 | EUR | 500 | 621 | |||||
Medtronic Global Holdings SCA, (Luxembourg), | ||||||||
0.00%, 03/15/2023 | EUR | 325 | 378 | |||||
0.38%, 03/07/2023 | EUR | 100 | 117 | |||||
0.38%, 10/15/2028 | EUR | 500 | 582 | |||||
1.38%, 10/15/2040 | EUR | 825 | 967 | |||||
1.63%, 10/15/2050 | EUR | 900 | 1,066 | |||||
1.75%, 07/02/2049 | EUR | 900 | 1,093 | |||||
Molnlycke Holding AB, (Sweden), | ||||||||
Reg. S, 0.63%, 01/15/2031 | EUR | 1,625 | 1,829 | |||||
Reg. S, 1.88%, 02/28/2025 | EUR | 1,000 | 1,227 | |||||
PerkinElmer, Inc., | ||||||||
1.90%, 09/15/2028 | 135 | 134 | ||||||
2.25%, 09/15/2031 | 125 | 123 | ||||||
Stryker Corp., 1.00%, 12/03/2031 | EUR | 1,300 | 1,547 | |||||
Thermo Fisher Scientific, Inc., | ||||||||
1.88%, 10/01/2049 | EUR | 1,125 | 1,369 | |||||
0.13%, 03/01/2025 | EUR | 1,000 | 1,165 | |||||
1.75%, 04/15/2027 | EUR | 100 | 125 | |||||
2.88%, 07/24/2037 | EUR | 625 | 888 | |||||
4.10%, 08/15/2047 | 160 | 194 | ||||||
4.13%, 03/25/2025 | 70 | 77 | ||||||
Zimmer Biomet Holdings, Inc., 3.70%, 03/19/2023 | 100 | 104 | ||||||
|
| |||||||
28,757 | ||||||||
|
|
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Healthcare - Services 0.4% | ||||||||
Advocate Health & Hospitals Corp., 3.39%, 10/15/2049 | 35 | 39 | ||||||
Aetna, Inc., 2.80%, 06/15/2023 | 30 | 31 | ||||||
AHS Hospital Corp., Series 2021, 2.78%, 07/01/2051 | 755 | 736 | ||||||
Allina Health System, Series 2019, 3.89%, 04/15/2049 | 40 | 47 | ||||||
Anthem, Inc., | ||||||||
3.35%, 12/01/2024 | 100 | 107 | ||||||
4.10%, 03/01/2028 | 2,900 | 3,281 | ||||||
Ascension Health, 3.95%, 11/15/2046 | 70 | 85 | ||||||
City of Hope, Series 2013, 5.62%, 11/15/2043 | 35 | 49 | ||||||
CommonSpirit Health, 3.91%, 10/01/2050 | 18 | 20 | ||||||
Eurofins Scientific SE, (Luxembourg), | ||||||||
Reg. S, 0.88%, 05/19/2031 | EUR | 3,550 | 4,086 | |||||
Reg. S, 2.13%, 07/25/2024 | EUR | 396 | 483 | |||||
Hackensack Meridian Health, Inc., | ||||||||
Series 2020, 2.68%, 09/01/2041 | 1,335 | 1,318 | ||||||
Series 2020, 2.88%, 09/01/2050 | 35 | 35 | ||||||
HCA, Inc., | ||||||||
3.50%, 07/15/2051 | 55 | 55 | ||||||
5.00%, 03/15/2024 | 1,383 | 1,518 | ||||||
5.13%, 06/15/2039 | 700 | 867 | ||||||
5.25%, 06/15/2049 | 140 | 178 | ||||||
5.50%, 06/15/2047 | 277 | 358 | ||||||
Health Care Service Corp. A Mutual Legal Reserve Co., 2.20%, 06/01/2030 (e) | 1,400 | 1,397 | ||||||
Humana, Inc., | ||||||||
2.90%, 12/15/2022 | 50 | 52 | ||||||
3.85%, 10/01/2024 | 50 | 54 | ||||||
Kaiser Foundation Hospitals, 4.15%, 05/01/2047 | 1,200 | 1,466 | ||||||
Laboratory Corp. of America Holdings, | ||||||||
1.55%, 06/01/2026 | 200 | 200 | ||||||
4.70%, 02/01/2045 | 210 | 257 | ||||||
Mayo Clinic, | ||||||||
3.77%, 11/15/2043 | 30 | 35 | ||||||
Series 2013, 4.00%, 11/15/2047 | 25 | 30 | ||||||
Series 2021, 3.20%, 11/15/2061 | 440 | 468 | ||||||
Memorial Health Services, 3.45%, 11/01/2049 | 10 | 11 | ||||||
Memorial Sloan-Kettering Cancer Center, 4.13%, 07/01/2052 | 50 | 62 | ||||||
Methodist Hospital (The), Series 20A, 2.71%, 12/01/2050 | 1,500 | 1,444 | ||||||
MidMichigan Health, Series 2020, 3.41%, 06/01/2050 | 1,498 | 1,609 | ||||||
MultiCare Health System, 2.80%, 08/15/2050 | 1,000 | 991 | ||||||
New York and Presbyterian Hospital (The), | ||||||||
2.26%, 08/01/2040 | 1,090 | 1,016 | ||||||
4.02%, 08/01/2045 | 20 | 25 | ||||||
Northwell Healthcare, Inc., 4.26%, 11/01/2047 | 25 | 29 | ||||||
OhioHealth Corp., Series 2020, 3.04%, 11/15/2050 | 535 | 551 | ||||||
PeaceHealth Obligated Group, | ||||||||
Series 2020, 1.38%, 11/15/2025 | 700 | 706 | ||||||
Series 2020, 3.22%, 11/15/2050 | 849 | 876 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Healthcare - Services continued | ||||||||
Piedmont Healthcare, Inc., | ||||||||
2.86%, 01/01/2052 | 3 | 3 | ||||||
Series 2032, 2.04%, 01/01/2032 | 470 | 460 | ||||||
Series 2042, 2.72%, 01/01/2042 | 453 | 442 | ||||||
Providence St Joseph Health Obligated Group, Series 21A, 2.70%, 10/01/2051 (w) | 15 | 14 | ||||||
Texas Health Resources, 2.33%, 11/15/2050 | 750 | 662 | ||||||
Trinity Health Corp., Series 2021, 2.63%, 12/01/2040 | 233 | 228 | ||||||
UnitedHealth Group, Inc., | ||||||||
2.00%, 05/15/2030 | 160 | 160 | ||||||
3.13%, 05/15/2060 | 140 | 143 | ||||||
3.70%, 08/15/2049 | 1,100 | 1,246 | ||||||
3.75%, 07/15/2025 | 20 | 22 | ||||||
3.88%, 08/15/2059 | 50 | 59 | ||||||
4.25%, 03/15/2043 | 120 | 145 | ||||||
Universal Health Services, Inc., 2.65%, 10/15/2030 (e) | 194 | 195 | ||||||
|
| |||||||
28,351 | ||||||||
|
| |||||||
Household Products/Wares 0.1% | ||||||||
Avery Dennison Corp., | ||||||||
1.25%, 03/03/2025 | EUR | 2,026 | 2,441 | |||||
2.25%, 02/15/2032 | 100 | 98 | ||||||
2.65%, 04/30/2030 | 104 | 106 | ||||||
Clorox Co. (The), 1.80%, 05/15/2030 | 10 | 10 | ||||||
Kimberly-Clark Corp., 2.88%, 02/07/2050 | 45 | 45 | ||||||
Reckitt Benckiser Treasury Services plc, (United Kingdom), Reg. S, 1.75%, 05/19/2032 | GBP | 1,675 | 2,254 | |||||
|
| |||||||
4,954 | ||||||||
|
| |||||||
Pharmaceuticals 0.5% | ||||||||
AbbVie, Inc., | ||||||||
2.60%, 11/21/2024 | 490 | 515 | ||||||
3.20%, 11/21/2029 | 4,960 | 5,344 | ||||||
4.25%, 11/21/2049 | 1,400 | 1,661 | ||||||
AmerisourceBergen Corp., | ||||||||
3.25%, 03/01/2025 | 40 | 42 | ||||||
3.45%, 12/15/2027 | 300 | 328 | ||||||
AstraZeneca plc, (United Kingdom), 0.70%, 04/08/2026 | 1,620 | 1,585 | ||||||
Bristol-Myers Squibb Co., | ||||||||
2.35%, 11/13/2040 | 25 | 24 | ||||||
2.55%, 11/13/2050 | 110 | 103 | ||||||
3.40%, 07/26/2029 | 3,340 | 3,692 | ||||||
3.88%, 08/15/2025 | 24 | 26 | ||||||
4.55%, 02/20/2048 | 10 | 13 | ||||||
Cardinal Health, Inc., | ||||||||
3.08%, 06/15/2024 | 10 | 11 | ||||||
4.37%, 06/15/2047 | 2 | 2 | ||||||
Cigna Corp., | ||||||||
2.40%, 03/15/2030 | 75 | 76 | ||||||
3.40%, 03/01/2027 | 2,800 | 3,058 | ||||||
4.90%, 12/15/2048 | 800 | 1,020 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Pharmaceuticals continued | ||||||||
CVS Health Corp., | ||||||||
1.30%, 08/21/2027 | 40 | 39 | ||||||
2.63%, 08/15/2024 | 60 | 63 | ||||||
3.70%, 03/09/2023 | 32 | 33 | ||||||
4.13%, 04/01/2040 | 1,200 | 1,373 | ||||||
4.30%, 03/25/2028 | 329 | 374 | ||||||
4.78%, 03/25/2038 | 75 | 92 | ||||||
5.05%, 03/25/2048 | 1,200 | 1,546 | ||||||
Eli Lilly & Co., | ||||||||
0.63%, 11/01/2031 | EUR | 2,500 | 2,937 | |||||
1.38%, 09/14/2061 | EUR | 675 | 731 | |||||
GlaxoSmithKline Capital plc, (United Kingdom), | ||||||||
5.25%, 12/19/2033 | GBP | 640 | 1,184 | |||||
Reg. S, 5.25%, 04/10/2042 | GBP | 50 | 101 | |||||
Johnson & Johnson, | ||||||||
2.10%, 09/01/2040 | 10 | 10 | ||||||
2.25%, 09/01/2050 | 30 | 28 | ||||||
2.45%, 09/01/2060 | 40 | 37 | ||||||
3.40%, 01/15/2038 | 50 | 56 | ||||||
3.55%, 03/01/2036 | 15 | 17 | ||||||
McKesson Corp., | ||||||||
0.90%, 12/03/2025 | 70 | 69 | ||||||
3.13%, 02/17/2029 | GBP | 925 | 1,346 | |||||
Merck & Co., Inc., | ||||||||
1.88%, 10/15/2026 | EUR | 1,000 | 1,266 | |||||
2.35%, 06/24/2040 | 50 | 47 | ||||||
3.70%, 02/10/2045 | 60 | 69 | ||||||
4.00%, 03/07/2049 | 10 | 12 | ||||||
Merck Financial Services GmbH, (Germany), Reg. S, 0.01%, 12/15/2023 | EUR | 600 | 699 | |||||
Merck KGaA, (Germany), | ||||||||
Reg. S, (ICE EURIBOR Swap Rate 5 Year + 2.00%), 1.63%, 09/09/2080 (aa) | EUR | 800 | 953 | |||||
Reg. S, (ICE EURIBOR Swap Rate 5 Year + 2.94%), 2.88%, 06/25/2079 (aa) | EUR | 400 | 507 | |||||
Mylan, Inc., 5.20%, 04/15/2048 | 30 | 37 | ||||||
Novartis Capital Corp., 2.75%, 08/14/2050 | 61 | 61 | ||||||
Roche Finance Europe BV, (Netherlands), | ||||||||
Reg. S, 0.50%, 02/27/2023 | EUR | 200 | 234 | |||||
Reg. S, 0.88%, 02/25/2025 | EUR | 1,600 | 1,922 | |||||
Sanofi, (France), | ||||||||
Reg. S, 2.50%, 11/14/2023 | EUR | 600 | 733 | |||||
Series 20FX, Reg. S, 1.88%, 03/21/2038 | EUR | 400 | 552 | |||||
Takeda Pharmaceutical Co. Ltd., (Japan), Reg. S, 3.00%, 11/21/2030 | EUR | 1,000 | 1,383 | |||||
Upjohn Finance BV, (Netherlands), Reg. S, 1.91%, 06/23/2032 | EUR | 1,400 | 1,718 | |||||
Utah Acquisition Sub, Inc., 3.95%, 06/15/2026 | 30 | 33 | ||||||
Viatris, Inc., 3.85%, 06/22/2040 (e) | 2,200 | 2,355 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Pharmaceuticals continued | ||||||||
Zoetis, Inc., | ||||||||
3.90%, 08/20/2028 | 40 | 45 | ||||||
4.70%, 02/01/2043 | 190 | 241 | ||||||
|
| |||||||
40,403 | ||||||||
|
| |||||||
Total Consumer Non-cyclical | 208,370 | |||||||
|
| |||||||
Energy 1.1% | ||||||||
Energy - Alternate Sources 0.0% (g) | ||||||||
ERG SpA, (Italy), Reg. S, 0.88%, 09/15/2031 | EUR | 700 | 809 | |||||
|
| |||||||
Oil & Gas 0.6% | ||||||||
Aker BP ASA, (Norway), 2.88%, 01/15/2026 (e) | 1,400 | 1,479 | ||||||
BP Capital Markets plc, (United Kingdom), | ||||||||
Reg. S, 1.53%, 09/26/2022 | EUR | 175 | 206 | |||||
Reg. S, (EUR Swap Rate 5 Year + 4.12%), 3.63%, 03/22/2029 (x) (aa) | EUR | 1,300 | 1,630 | |||||
Reg. S, (UK Gilts 5 Year + 4.17%), 4.25%, 03/22/2027 (x) (aa) | GBP | 500 | 716 | |||||
Canadian Natural Resources Ltd., (Canada), | ||||||||
2.95%, 01/15/2023 | 10 | 10 | ||||||
3.85%, 06/01/2027 | 10 | 11 | ||||||
4.95%, 06/01/2047 | 55 | 68 | ||||||
6.25%, 03/15/2038 | 72 | 96 | ||||||
Cenovus Energy, Inc., (Canada), 4.40%, 04/15/2029 | 4,800 | 5,378 | ||||||
Cepsa Finance SA, (Spain), Reg. S, 2.25%, 02/13/2026 | EUR | 100 | 124 | |||||
Chevron Corp., 2.24%, 05/11/2030 | 80 | 82 | ||||||
Chevron USA, Inc., | ||||||||
1.02%, 08/12/2027 | 3,000 | 2,931 | ||||||
5.25%, 11/15/2043 | 75 | 101 | ||||||
CNOOC Petroleum North America ULC, (Canada), 6.40%, 05/15/2037 | 40 | 53 | ||||||
ConocoPhillips, | ||||||||
2.40%, 02/15/2031 (e) | 2,100 | 2,134 | ||||||
4.88%, 10/01/2047 (e) | 20 | 26 | ||||||
Devon Energy Corp., | ||||||||
5.25%, 09/15/2024 (e) | 8 | 9 | ||||||
5.88%, 06/15/2028 (e) | 1,750 | 1,928 | ||||||
Diamondback Energy, Inc., | ||||||||
2.88%, 12/01/2024 | 3,100 | 3,254 | ||||||
3.13%, 03/24/2031 | 2,540 | 2,635 | ||||||
3.50%, 12/01/2029 | 450 | 481 | ||||||
4.40%, 03/24/2051 | 35 | 40 | ||||||
Equinor ASA, (Norway), | ||||||||
Reg. S, 1.38%, 05/22/2032 | EUR | 425 | 529 | |||||
1.75%, 01/22/2026 | 200 | 205 | ||||||
2.38%, 05/22/2030 | 60 | 62 | ||||||
3.25%, 11/18/2049 | 30 | 32 | ||||||
3.63%, 04/06/2040 | 1,800 | 2,007 | ||||||
3.70%, 04/06/2050 | 15 | 17 | ||||||
Reg. S, 6.88%, 03/11/2031 | GBP | 50 | 97 | |||||
Exxon Mobil Corp., | ||||||||
0.14%, 06/26/2024 | EUR | 2,000 | 2,336 | |||||
0.84%, 06/26/2032 | EUR | 550 | 631 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Oil & Gas continued | ||||||||
1.41%, 06/26/2039 | EUR | 700 | 784 | |||||
3.45%, 04/15/2051 | 155 | 165 | ||||||
Helmerich & Payne, Inc., 2.90%, 09/29/2031 (e) | 785 | 787 | ||||||
Hess Corp., 3.50%, 07/15/2024 | 10 | 11 | ||||||
Lundin Energy Finance BV, (Netherlands), | ||||||||
2.00%, 07/15/2026 (e) | 1,360 | 1,368 | ||||||
3.10%, 07/15/2031 (e) | 1,585 | 1,605 | ||||||
Ovintiv Exploration, Inc., 5.63%, 07/01/2024 | 5,817 | 6,449 | ||||||
Petroleos Mexicanos, (Mexico), | ||||||||
(ICE LIBOR USD 3 Month + 0.43%), 0.55%, 02/15/2024 (aa) | 750 | 751 | ||||||
1.95%, 12/20/2022 | 1,200 | 1,212 | ||||||
Pioneer Natural Resources Co., | ||||||||
1.90%, 08/15/2030 | 1,050 | 1,004 | ||||||
4.45%, 01/15/2026 | 100 | 111 | ||||||
TotalEnergies SE, (France), | ||||||||
Reg. S, (EUR Swap Rate 5 Year + 2.75%), 2.71%, 05/05/2023 (x) (aa) | EUR | 650 | 777 | |||||
Reg. S, (EUR Swap Rate 5 Year + 3.35%), 3.37%, 10/06/2026 (x) (aa) | EUR | 2,000 | 2,559 | |||||
Series NC7, Reg. S, (EUR Swap Rate 5 Year + 1.99%), 1.63%, 10/25/2027 (x) (aa) | EUR | 1,000 | 1,160 | |||||
Series NC12, Reg. S, (EUR Swap Rate 5 Year + 2.51%), 2.13%, 07/25/2032 (x) (aa) | EUR | 1,350 | 1,529 | |||||
|
| |||||||
49,580 | ||||||||
|
| |||||||
Oil & Gas Services 0.0% (g) | ||||||||
Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor, Inc., 4.08%, 12/15/2047 | 110 | 124 | ||||||
Schlumberger Finance BV, (Netherlands), Reg. S, 0.25%, 10/15/2027 | EUR | 500 | 579 | |||||
Schlumberger Finance Canada Ltd., (Canada), 1.40%, 09/17/2025 | 30 | 30 | ||||||
|
| |||||||
733 | ||||||||
|
| |||||||
Pipelines 0.5% | ||||||||
Cheniere Corpus Christi Holdings LLC, | ||||||||
3.70%, 11/15/2029 | 528 | 573 | ||||||
5.88%, 03/31/2025 | 240 | 271 | ||||||
Colonial Enterprises, Inc., 3.25%, 05/15/2030 (e) | 1,330 | 1,431 | ||||||
Enbridge, Inc., (Canada), | ||||||||
2.50%, 08/01/2033 | 50 | 50 | ||||||
2.90%, 07/15/2022 | 20 | 21 | ||||||
3.40%, 08/01/2051 | 20 | 20 | ||||||
4.00%, 10/01/2023 | 100 | 106 | ||||||
Energy Transfer LP, | ||||||||
4.05%, 03/15/2025 | 125 | 135 | ||||||
4.20%, 04/15/2027 | 5,800 | 6,410 | ||||||
5.30%, 04/15/2047 | 35 | 41 | ||||||
5.35%, 05/15/2045 | 10 | 11 | ||||||
5.40%, 10/01/2047 | 52 | 62 | ||||||
Series H, (CMT Index 5 Year + 5.69%), 6.50%, 11/15/2026 (x) (aa) | 1,490 | 1,552 | ||||||
Enterprise Products Operating LLC, | ||||||||
3.30%, 02/15/2053 | 35 | 34 | ||||||
4.20%, 01/31/2050 | 40 | 45 | ||||||
5.10%, 02/15/2045 | 1,700 | 2,111 | ||||||
(ICE LIBOR USD 3 Month + 2.57%), 5.38%, 02/15/2078 (aa) | 600 | 624 | ||||||
Erdoel-Lagergesellschaft mbH, (Austria), Reg. S, 2.75%, 03/20/2028 | EUR | 200 | 270 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Pipelines continued | ||||||||
Kinder Morgan Energy Partners LP, | ||||||||
4.30%, 05/01/2024 | 3,200 | 3,451 | ||||||
4.70%, 11/01/2042 | 850 | 974 | ||||||
5.50%, 03/01/2044 | 49 | 61 | ||||||
Magellan Midstream Partners LP, | ||||||||
3.95%, 03/01/2050 | 940 | 999 | ||||||
5.00%, 03/01/2026 | 10 | 11 | ||||||
MPLX LP, | ||||||||
2.65%, 08/15/2030 | 1,745 | 1,749 | ||||||
4.50%, 04/15/2038 | 15 | 17 | ||||||
4.70%, 04/15/2048 | 1,293 | 1,492 | ||||||
4.88%, 06/01/2025 | 2,300 | 2,566 | ||||||
4.90%, 04/15/2058 | 40 | 46 | ||||||
5.20%, 03/01/2047 | 10 | 12 | ||||||
5.50%, 02/15/2049 | 130 | 164 | ||||||
ONEOK Partners LP, 4.90%, 03/15/2025 | 80 | 89 | ||||||
ONEOK, Inc., | ||||||||
2.20%, 09/15/2025 | 1,000 | 1,021 | ||||||
2.75%, 09/01/2024 | 110 | 115 | ||||||
3.40%, 09/01/2029 | 60 | 64 | ||||||
4.45%, 09/01/2049 | 2,422 | 2,701 | ||||||
5.20%, 07/15/2048 | 35 | 42 | ||||||
6.35%, 01/15/2031 | 70 | 90 | ||||||
7.15%, 01/15/2051 | 20 | 29 | ||||||
Plains All American Pipeline LP / PAA Finance Corp., | ||||||||
3.55%, 12/15/2029 | 65 | 68 | ||||||
5.15%, 06/01/2042 | 1,600 | 1,793 | ||||||
Sabine Pass Liquefaction LLC, 5.88%, 06/30/2026 | 70 | 82 | ||||||
TransCanada PipeLines Ltd., (Canada), 6.20%, 10/15/2037 | 10 | 14 | ||||||
Transcontinental Gas Pipe Line Co. LLC, | ||||||||
3.25%, 05/15/2030 | 80 | 86 | ||||||
4.00%, 03/15/2028 | 20 | 22 | ||||||
Valero Energy Partners LP, 4.38%, 12/15/2026 | 1,736 | 1,942 | ||||||
Vier Gas Transport GmbH, (Germany), Reg. S, 0.50%, 09/10/2034 | EUR | 400 | 449 | |||||
Williams Cos., Inc. (The), | ||||||||
3.50%, 11/15/2030 | 1,900 | 2,064 | ||||||
4.50%, 11/15/2023 | 80 | 86 | ||||||
5.10%, 09/15/2045 | 69 | 85 | ||||||
5.80%, 11/15/2043 | 15 | 20 | ||||||
|
| |||||||
36,171 | ||||||||
|
| |||||||
Total Energy | 87,293 | |||||||
|
| |||||||
Financial 7.6% | ||||||||
Banks 5.1% | ||||||||
Abanca Corp. Bancaria SA, (Spain), Reg. S, 0.75%, 05/28/2029 | EUR | 100 | 122 | |||||
ABN AMRO Bank NV, (Netherlands), | ||||||||
Reg. S, 0.60%, 01/15/2027 | EUR | 1,600 | 1,883 | |||||
Reg. S, 0.88%, 01/14/2026 | EUR | 100 | 121 | |||||
Reg. S, 1.00%, 06/02/2033 | EUR | 400 | 466 | |||||
Reg. S, 1.25%, 01/10/2033 | EUR | 100 | 129 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Banks continued | ||||||||
Reg. S, 1.38%, 01/12/2037 | EUR | 100 | 131 | |||||
Reg. S, 1.45%, 04/12/2038 | EUR | 100 | 134 | |||||
Reg. S, 1.50%, 09/30/2030 | EUR | 100 | 130 | |||||
Reg. S, 3.50%, 09/21/2022 | EUR | 200 | 241 | |||||
Aegon Bank NV, (Netherlands), Reg. S, 0.01%, 11/16/2025 | EUR | 100 | 117 | |||||
Aktia Bank OYJ, (Finland), Reg. S, 0.38%, 05/30/2023 | EUR | 100 | 118 | |||||
AMCO - Asset Management Co. SpA, (Italy), | ||||||||
Reg. S, 0.75%, 04/20/2028 | EUR | 163 | 188 | |||||
Reg. S, 1.38%, 01/27/2025 | EUR | 100 | 121 | |||||
ANZ New Zealand Intl Ltd., (New Zealand), Reg. S, 0.13%, 09/22/2023 | EUR | 100 | 117 | |||||
Argenta Spaarbank NV, (Belgium), Reg. S, 0.01%, 02/11/2031 | EUR | 100 | 114 | |||||
Arion Banki HF, (Iceland), | ||||||||
Reg. S, 0.05%, 10/05/2026 (w) | EUR | 100 | 116 | |||||
Reg. S, 0.38%, 07/14/2025 | EUR | 2,050 | 2,372 | |||||
Arkea Public Sector SCF SA, (France), Reg. S, 0.13%, 01/15/2030 | EUR | 100 | 116 | |||||
ASB Finance Ltd., (New Zealand), | ||||||||
Reg. S, 0.25%, 09/08/2028 | EUR | 1,050 | 1,202 | |||||
Reg. S, 0.25%, 05/21/2031 | EUR | 100 | 115 | |||||
Reg. S, 0.63%, 10/18/2024 | EUR | 100 | 119 | |||||
Australia & New Zealand Banking Group Ltd., (Australia), | ||||||||
Reg. S, 0.25%, 11/29/2022 | EUR | 100 | 117 | |||||
Reg. S, (EUR Swap Rate 5 Year + 1.12%), 0.67%, 05/05/2031 (aa) | EUR | 1,525 | 1,763 | |||||
Banca Monte dei Paschi di Siena SpA, (Italy), | ||||||||
Reg. S, 0.88%, 10/08/2026 | EUR | 3,504 | 4,225 | |||||
Reg. S, 2.00%, 01/29/2024 | EUR | 100 | 122 | |||||
Series 16, Reg. S, 2.88%, 07/16/2024 | EUR | 100 | 126 | |||||
Banco Bilbao Vizcaya Argentaria SA, (Spain), | ||||||||
0.88%, 09/18/2023 | 200 | 201 | ||||||
Reg. S, 0.88%, 11/22/2026 | EUR | 100 | 122 | |||||
Banco de Sabadell SA, (Spain), | ||||||||
Reg. S, (EUR Swap Rate 1 Year + 0.97%), 0.63%, 11/07/2025 (aa) | EUR | 1,000 | 1,170 | |||||
Reg. S, 0.88%, 03/05/2023 | EUR | 1,300 | 1,526 | |||||
Reg. S, (ICE EURIBOR Swap Rate 1 Year + 1.15%), 0.88%, 06/16/2028 (aa) | EUR | 900 | 1,025 | |||||
Reg. S, 1.00%, 04/26/2027 | EUR | 100 | 123 | |||||
Reg. S, 1.63%, 03/07/2024 | EUR | 1,200 | 1,444 | |||||
Banco di Desio e della Brianza SpA, (Italy), Reg. S, 0.88%, 09/12/2024 | EUR | 100 | 120 | |||||
Banco Santander SA, (Spain), | ||||||||
Reg. S, 0.10%, 02/27/2032 | EUR | 200 | 228 | |||||
Reg. S, 0.13%, 06/04/2030 | EUR | 100 | 116 | |||||
Reg. S, 0.20%, 02/11/2028 | EUR | 1,000 | 1,148 | |||||
Reg. S, 0.75%, 09/09/2022 | EUR | 100 | 117 | |||||
Reg. S, 1.00%, 04/07/2025 | EUR | 200 | 242 | |||||
Reg. S, 1.38%, 01/05/2026 | EUR | 100 | 122 | |||||
Reg. S, 1.63%, 10/22/2030 | EUR | 1,000 | 1,198 | |||||
(CMT Index 1 Year + 0.90%), 1.72%, 09/14/2027 (aa) | 200 | 199 | ||||||
Reg. S, 1.75%, 02/17/2027 | GBP | 500 | 676 | |||||
1.85%, 03/25/2026 | 200 | 202 | ||||||
2.96%, 03/25/2031 | 1,800 | 1,850 | ||||||
3.49%, 05/28/2030 | 2,000 | 2,149 | ||||||
3.80%, 02/23/2028 | 200 | 219 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Banks continued | ||||||||
Bank of America Corp., | ||||||||
Reg. S, (ICE LIBOR EUR 3 Month + 0.75%), 0.81%, 05/09/2026 (aa) | EUR | 2,300 | 2,735 | |||||
(United States SOFR + 0.74%), 0.81%, 10/24/2024 (aa) | 240 | 241 | ||||||
(United States SOFR + 0.91%), 0.98%, 09/25/2025 (aa) | 30 | 30 | ||||||
Reg. S, (ICE LIBOR EUR 3 Month + 0.95%), 1.10%, 05/24/2032 (aa) | EUR | 1,300 | 1,541 | |||||
Reg. S, (ICE LIBOR EUR 3 Month + 0.91%), 1.38%, 05/09/2030 (aa) | EUR | 1,150 | 1,411 | |||||
(United States SOFR + 0.96%), 1.73%, 07/22/2027 (aa) | 1,465 | 1,471 | ||||||
(United States SOFR + 1.06%), 2.09%, 06/14/2029 (aa) | 2,900 | 2,891 | ||||||
(United States SOFR + 1.22%), 2.30%, 07/21/2032 (aa) | 1,250 | 1,231 | ||||||
(ICE LIBOR USD 3 Month + 0.87%), 2.46%, 10/22/2025 (aa) | 20 | 21 | ||||||
(ICE LIBOR USD 3 Month + 0.99%), 2.50%, 02/13/2031 (aa) | 3,300 | 3,336 | ||||||
(United States SOFR + 1.93%), 2.68%, 06/19/2041 (aa) | 1,920 | 1,850 | ||||||
(United States SOFR + 1.32%), 2.69%, 04/22/2032 (aa) | 2,295 | 2,341 | ||||||
(ICE LIBOR USD 3 Month + 1.02%), 2.88%, 04/24/2023 (aa) | 250 | 254 | ||||||
(ICE LIBOR USD 3 Month + 0.79%), 3.00%, 12/20/2023 (aa) | 250 | 258 | ||||||
(ICE LIBOR USD 3 Month + 1.09%), 3.09%, 10/01/2025 (aa) | 10 | 11 | ||||||
(ICE LIBOR USD 3 Month + 1.16%), 3.12%, 01/20/2023 (aa) | 25 | 25 | ||||||
(United States SOFR + 1.58%), 3.31%, 04/22/2042 (aa) | 1,020 | 1,071 | ||||||
(ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (aa) | 350 | 379 | ||||||
(ICE LIBOR USD 3 Month + 0.97%), 3.46%, 03/15/2025 (aa) | 25 | 27 | ||||||
(ICE LIBOR USD 3 Month + 0.78%), 3.55%, 03/05/2024 (aa) | 25 | 26 | ||||||
(ICE LIBOR USD 3 Month + 0.94%), 3.86%, 07/23/2024 (aa) | 120 | 127 | ||||||
4.00%, 01/22/2025 | 4,200 | 4,563 | ||||||
(ICE LIBOR USD 3 Month + 1.32%), 4.08%, 04/23/2040 (aa) | 170 | 195 | ||||||
(ICE LIBOR USD 3 Month + 3.15%), 4.08%, 03/20/2051 (aa) | 185 | 218 | ||||||
(ICE LIBOR USD 3 Month + 1.52%), 4.33%, 03/15/2050 (aa) | 115 | 141 | ||||||
4.88%, 04/01/2044 | 50 | 64 | ||||||
Reg. S, 7.00%, 07/31/2028 | GBP | 350 | 634 | |||||
Series N, (United States SOFR + 1.22%), 2.65%, 03/11/2032 (aa) | 1,000 | 1,017 | ||||||
Series N, (United States SOFR + 1.65%), 3.48%, 03/13/2052 (aa) | 150 | 162 | ||||||
Bank of Montreal, (Canada), | ||||||||
Reg. S, 0.05%, 06/08/2029 | EUR | 100 | 116 | |||||
Reg. S, 0.10%, 10/20/2023 | EUR | 100 | 117 | |||||
1.85%, 05/01/2025 | 120 | 123 | ||||||
Bank of New Zealand, (New Zealand), Reg. S, 0.01%, 06/15/2028 | EUR | 100 | 115 | |||||
Bank of Nova Scotia (The), (Canada), | ||||||||
Reg. S, 0.01%, 01/14/2027 | EUR | 100 | 116 | |||||
Reg. S, 0.25%, 09/28/2022 | EUR | 100 | 117 | |||||
Reg. S, 0.38%, 10/23/2023 | EUR | 100 | 118 | |||||
0.65%, 07/31/2024 | 120 | 120 | ||||||
0.70%, 04/15/2024 | 140 | 140 | ||||||
1.05%, 03/02/2026 | 170 | 168 | ||||||
Bankinter SA, (Spain), Reg. S, 0.88%, 08/03/2022 | EUR | 100 | 117 | |||||
Banque Federative du Credit Mutuel SA, (France), | ||||||||
Reg. S, 0.50%, 11/16/2022 | EUR | 1,200 | 1,405 | |||||
0.65%, 02/27/2024 (e) | 1,300 | 1,298 | ||||||
Reg. S, 0.75%, 06/15/2023 | EUR | 100 | 118 | |||||
Reg. S, 1.88%, 11/04/2026 | EUR | 1,200 | 1,489 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Banks continued | ||||||||
Barclays Bank plc, (United Kingdom), 5.75%, 09/14/2026 | GBP | 90 | 145 | |||||
Barclays plc, (United Kingdom), | ||||||||
(CMT Index 1 Year + 0.80%), 1.01%, 12/10/2024 (aa) | 200 | 201 | ||||||
Reg. S, (EUR Swap Rate 5 Year + 1.90%), 2.00%, 02/07/2028 (aa) | EUR | 1,700 | 2,015 | |||||
(United States SOFR + 2.71%), 2.85%, 05/07/2026 (aa) | 1,400 | 1,470 | ||||||
Reg. S, 3.25%, 02/12/2027 | GBP | 600 | 865 | |||||
Reg. S, (UK Gilts 5 Year + 3.75%), 3.75%, 11/22/2030 (aa) | GBP | 425 | 613 | |||||
4.34%, 01/10/2028 | 1,800 | 2,012 | ||||||
(ICE LIBOR USD 3 Month + 1.40%), 4.61%, 02/15/2023 (aa) | 900 | 914 | ||||||
Basellandschaftliche Kantonalbank, (Switzerland), Reg. S, 0.38%, 05/13/2030 | CHF | 100 | 109 | |||||
BAWAG PSK Bank fuer Arbeit und Wirtschaft und Oesterreichische Postsparkasse AG, (Austria), | ||||||||
Reg. S, 0.01%, 01/21/2028 | EUR | 100 | 117 | |||||
Reg. S, 0.10%, 05/12/2031 | EUR | 100 | 115 | |||||
Bayerische Landesbank, (Germany), Reg. S, 0.25%, 01/14/2025 | EUR | 100 | 118 | |||||
Belfius Bank SA, (Belgium), Reg. S, 0.13%, 01/28/2030 | EUR | 100 | 116 | |||||
Berlin Hyp AG, (Germany), | ||||||||
Reg. S, 0.01%, 08/24/2026 | EUR | 50 | 59 | |||||
Reg. S, 0.01%, 07/07/2028 | EUR | 100 | 116 | |||||
Reg. S, 0.01%, 01/27/2031 | EUR | 100 | 115 | |||||
Series 200, Reg. S, 0.38%, 02/21/2025 | EUR | 100 | 119 | |||||
BNP Paribas SA, (France), | ||||||||
Reg. S, (ICE LIBOR EUR 3 Month + 0.95%), 0.50%, 09/01/2028 (aa) | EUR | 1,100 | 1,272 | |||||
Reg. S, 1.13%, 01/15/2023 | EUR | 2,430 | 2,870 | |||||
Reg. S, (EUR Swap Rate 5 Year + 1.20%), 1.13%, 01/15/2032 (aa) | EUR | 800 | 940 | |||||
(United States SOFR + 1.00%), 1.32%, 01/13/2027 (e) (aa) | 3,000 | 2,956 | ||||||
Reg. S, 1.38%, 05/28/2029 | EUR | 100 | 122 | |||||
Reg. S, 1.63%, 07/02/2031 | EUR | 1,600 | 1,949 | |||||
(United States SOFR + 0.91%), 1.68%, 06/30/2027 (e) (aa) | 1,250 | 1,245 | ||||||
(United States SOFR + 1.61%), 1.90%, 09/30/2028 (e) (aa) | 1,100 | 1,094 | ||||||
Reg. S, (EUR Swap Rate 5 Year + 1.85%), 2.38%, 11/20/2030 (aa) | EUR | 800 | 996 | |||||
(United States SOFR + 1.39%), 2.87%, 04/19/2032 (e) (aa) | 1,665 | 1,698 | ||||||
Reg. S, 2.88%, 10/01/2026 | EUR | 100 | 130 | |||||
Reg. S, 3.38%, 01/23/2026 | GBP | 600 | 872 | |||||
BNZ International Funding Ltd., (New Zealand), Reg. S, 0.38%, 09/14/2024 | EUR | 1,450 | 1,706 | |||||
BPCE SA, (France), | ||||||||
Reg. S, 0.25%, 01/15/2026 | EUR | 600 | 701 | |||||
Reg. S, 0.50%, 02/24/2027 | EUR | 1,300 | 1,517 | |||||
Reg. S, 0.88%, 01/31/2024 | EUR | 1,200 | 1,423 | |||||
(United States SOFR + 1.52%), 1.65%, 10/06/2026 (e) (aa) | 1,145 | 1,146 | ||||||
4.63%, 07/11/2024 (e) | 1,800 | 1,959 | ||||||
BPER Banca, (Italy), Reg. S, 0.88%, 01/22/2022 | EUR | 100 | 116 | |||||
Caisse Centrale du Credit Immobilier de France SA, (France), | ||||||||
Reg. S, 0.00%, 01/17/2024 | EUR | 200 | 234 | |||||
Reg. S, 0.13%, 10/26/2022 | EUR | 400 | 466 | |||||
Caixa Economica Montepio Geral Caixa Economica Bancaria SA, (Portugal), | ||||||||
Reg. S, 0.13%, 11/14/2024 | EUR | 100 | 117 | |||||
Reg. S, 0.88%, 10/17/2022 | EUR | 4,200 | 4,924 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Banks continued | ||||||||
CaixaBank SA, (Spain), | ||||||||
Reg. S, (ICE LIBOR EUR 3 Month + 1.00%), 0.75%, 05/26/2028 (aa) | EUR | 1,100 | 1,286 | |||||
Reg. S, 1.00%, 09/25/2025 | EUR | 300 | 364 | |||||
Reg. S, 1.25%, 01/11/2027 | EUR | 200 | 248 | |||||
Canadian Imperial Bank of Commerce, (Canada), | ||||||||
Reg. S, 0.01%, 04/30/2029 | EUR | 100 | 115 | |||||
Reg. S, 0.04%, 07/09/2027 | EUR | 100 | 117 | |||||
Reg. S, 0.10%, 10/24/2023 | CHF | 50 | 54 | |||||
0.45%, 06/22/2023 | 110 | 110 | ||||||
3.10%, 04/02/2024 | 25 | 27 | ||||||
Cie de Financement Foncier SA, (France), | ||||||||
Reg. S, 0.01%, 07/15/2026 | EUR | 200 | 234 | |||||
Reg. S, 0.23%, 09/14/2026 | EUR | 100 | 118 | |||||
Reg. S, 0.25%, 04/11/2023 | EUR | 100 | 117 | |||||
Reg. S, 0.50%, 09/04/2024 | EUR | 100 | 119 | |||||
Reg. S, 0.75%, 05/29/2026 | EUR | 100 | 121 | |||||
Reg. S, 3.88%, 04/25/2055 | EUR | 45 | 97 | |||||
Citigroup, Inc., | ||||||||
(United States SOFR + 0.69%), 0.78%, 10/30/2024 (aa) | 330 | 331 | ||||||
(United States SOFR + 0.67%), 0.98%, 05/01/2025 (aa) | 440 | 441 | ||||||
(United States SOFR + 0.77%), 1.12%, 01/28/2027 (aa) | 130 | 128 | ||||||
(United States SOFR + 0.77%), 1.46%, 06/09/2027 (aa) | 3,170 | 3,154 | ||||||
Reg. S, (ICE LIBOR EUR 3 Month + 1.07%), 1.50%, 07/24/2026 (aa) | EUR | 3,400 | 4,139 | |||||
Reg. S, 1.50%, 10/26/2028 | EUR | 2,050 | 2,551 | |||||
(United States SOFR + 1.17%), 2.56%, 05/01/2032 (aa) | 1,060 | 1,071 | ||||||
(United States SOFR + 2.11%), 2.57%, 06/03/2031 (aa) | 3,800 | 3,869 | ||||||
(United States SOFR + 2.84%), 3.11%, 04/08/2026 (aa) | 155 | 165 | ||||||
(ICE LIBOR USD 3 Month + 0.72%), 3.14%, 01/24/2023 (aa) | 150 | 151 | ||||||
(ICE LIBOR USD 3 Month + 0.90%), 3.35%, 04/24/2025 (aa) | 65 | 69 | ||||||
3.38%, 03/01/2023 | 100 | 104 | ||||||
(ICE LIBOR USD 3 Month + 1.39%), 3.67%, 07/24/2028 (aa) | 250 | 275 | ||||||
(ICE LIBOR USD 3 Month + 1.84%), 4.28%, 04/24/2048 (aa) | 60 | 73 | ||||||
4.40%, 06/10/2025 | 3,500 | 3,872 | ||||||
4.65%, 07/23/2048 | 70 | 91 | ||||||
4.75%, 05/18/2046 | 50 | 63 | ||||||
(United States SOFR + 4.55%), 5.32%, 03/26/2041 (aa) | 50 | 66 | ||||||
6.00%, 10/31/2033 | 100 | 131 | ||||||
Clydesdale Bank plc, (United Kingdom), Reg. S, 4.63%, 06/08/2026 | GBP | 100 | 157 | |||||
Commerzbank AG, (Germany), | ||||||||
Reg. S, 0.01%, 03/11/2030 | EUR | 100 | 115 | |||||
Reg. S, 0.50%, 06/09/2026 | EUR | 100 | 120 | |||||
Reg. S, 2.00%, 11/27/2023 | EUR | 100 | 122 | |||||
Commonwealth Bank of Australia, (Australia), | ||||||||
Reg. S, 0.88%, 02/19/2029 | EUR | 100 | 123 | |||||
Reg. S, (EUR Swap Rate 5 Year + 1.45%), 1.94%, 10/03/2029 (aa) | EUR | 1,425 | 1,728 | |||||
Reg. S, 3.00%, 05/03/2022 | EUR | 100 | 118 | |||||
Cooperatieve Rabobank UA, (Netherlands), | ||||||||
Reg. S, 0.01%, 07/02/2030 | EUR | 100 | 115 | |||||
Reg. S, 0.01%, 11/27/2040 | EUR | 100 | 105 | |||||
Reg. S, 0.63%, 04/26/2026 | EUR | 100 | 120 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Banks continued | ||||||||
Reg. S, 0.88%, 02/08/2028 | EUR | 100 | 123 | |||||
Reg. S, 1.25%, 03/23/2026 | EUR | 775 | 952 | |||||
Reg. S, 1.38%, 02/03/2027 | EUR | 25 | 31 | |||||
Reg. S, 2.38%, 05/22/2023 | EUR | 30 | 36 | |||||
Reg. S, 4.13%, 09/14/2022 | EUR | 1,950 | 2,351 | |||||
4.38%, 08/04/2025 | 250 | 277 | ||||||
Reg. S, 5.25%, 05/23/2041 | GBP | 50 | 104 | |||||
Credit Agricole Italia SpA, (Italy), | ||||||||
Reg. S, 0.13%, 03/15/2033 | EUR | 100 | 113 | |||||
Reg. S, 0.25%, 09/30/2024 | EUR | 100 | 118 | |||||
Reg. S, 0.25%, 01/17/2028 | EUR | 100 | 118 | |||||
Credit Agricole SA, (France), | ||||||||
Reg. S, (ICE LIBOR EUR 3 Month + 1.25%), 1.00%, 04/22/2026 (aa) | EUR | 3,000 | 3,581 | |||||
Reg. S, 1.75%, 03/05/2029 | EUR | 100 | 125 | |||||
Reg. S, (UK Gilts 5 Year + 1.50%), 1.87%, 12/09/2031 (aa) | GBP | 300 | 401 | |||||
Reg. S, 2.38%, 05/20/2024 | EUR | 100 | 124 | |||||
Credit Suisse AG, (Switzerland), 0.52%, 08/09/2023 | 250 | 250 | ||||||
Credit Suisse Group AG, (Switzerland), | ||||||||
Reg. S, (EUR Swap Rate 1 Year + 0.75%), 1.25%, 07/17/2025 (aa) | EUR | 1,400 | 1,668 | |||||
(United States SOFR + 1.56%), 2.59%, 09/11/2025 (e) (aa) | 3,850 | 3,990 | ||||||
(United States SOFR + 1.73%), 3.09%, 05/14/2032 (e) (aa) | 2,405 | 2,458 | ||||||
Credito Emiliano SpA, (Italy), Reg. S, 0.01%, 07/07/2028 | EUR | 100 | 116 | |||||
Danske Bank A/S, (Denmark), | ||||||||
Reg. S, 0.25%, 11/28/2022 | EUR | 425 | 496 | |||||
Reg. S, (ICE EURIBOR Swap Rate 1 Year + 1.15%), 0.50%, 08/27/2025 (aa) | EUR | 425 | 497 | |||||
(CMT Index 1 Year + 1.03%), 1.17%, 12/08/2023 (e) (aa) | 3,350 | 3,366 | ||||||
Reg. S, (UK Gilts 1 Year + 1.65%), 2.25%, 01/14/2028 (aa) | GBP | 2,000 | 2,740 | |||||
Reg. S, 3.75%, 06/23/2022 (e) | EUR | 50 | 60 | |||||
Danske Hypotek AB, (Sweden), | ||||||||
Series 2212, Reg. S, 1.00%, 12/21/2022 | SEK | 2,000 | 231 | |||||
Series 2512, Reg. S, 1.00%, 12/17/2025 | SEK | 2,000 | 234 | |||||
de Volksbank NV, (Netherlands), Reg. S, 1.00%, 03/08/2028 | EUR | 100 | 124 | |||||
Deutsche Apotheker-und Aerztebank eG, (Germany), Reg. S, 0.01%, 02/06/2029 | EUR | 100 | 116 | |||||
Deutsche Bank AG, (Germany), | ||||||||
Reg. S, 0.13%, 01/21/2030 | EUR | 75 | 87 | |||||
Reg. S, 0.25%, 03/08/2024 | EUR | 100 | 118 | |||||
Reg. S, (ICE LIBOR EUR 3 Month + 1.60%), 1.00%, 11/19/2025 (aa) | EUR | 400 | 473 | |||||
Reg. S, 1.13%, 08/30/2023 | EUR | 775 | 921 | |||||
Reg. S, 1.13%, 03/17/2025 | EUR | 400 | 478 | |||||
(United States SOFR + 1.87%), 2.13%, 11/24/2026 (aa) | 2,950 | 2,995 | ||||||
(United States SOFR + 2.16%), 2.22%, 09/18/2024 (aa) | 435 | 446 | ||||||
3.95%, 02/27/2023 | 2,700 | 2,822 | ||||||
Deutsche Hypothekenbank AG, (Germany), | ||||||||
Reg. S, 0.13%, 11/23/2023 | EUR | 100 | 117 | |||||
Reg. S, 0.50%, 06/29/2026 | EUR | 50 | 60 | |||||
Deutsche Kreditbank AG, (Germany), Reg. S, 0.01%, 11/07/2029 | EUR | 50 | 58 | |||||
Deutsche Pfandbriefbank AG, (Germany), Reg. S, 0.63%, 08/30/2027 | EUR | 100 | 121 | |||||
Dexia Credit Local SA, (France), | ||||||||
Reg. S, 0.00%, 05/29/2024 | EUR | 300 | 350 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Banks continued | ||||||||
Reg. S, 0.01%, 01/22/2027 | EUR | 200 | 233 | |||||
Reg. S, 0.63%, 01/17/2026 | EUR | 600 | 718 | |||||
Reg. S, 1.25%, 11/26/2024 | EUR | 700 | 850 | |||||
Discover Bank, 3.45%, 07/27/2026 | 1,200 | 1,300 | ||||||
DNB Boligkreditt A/S, (Norway), | ||||||||
Reg. S, 0.01%, 01/21/2031 | EUR | 100 | 114 | |||||
Reg. S, 0.25%, 01/23/2023 | EUR | 200 | 234 | |||||
Reg. S, 0.38%, 11/20/2024 | EUR | 100 | 119 | |||||
Reg. S, 1.88%, 11/21/2022 | EUR | 100 | 119 | |||||
DZ HYP AG, (Germany), | ||||||||
Reg. S, 0.01%, 06/23/2028 | EUR | 100 | 116 | |||||
Reg. S, 0.01%, 10/27/2028 | EUR | 25 | 29 | |||||
Reg. S, 0.01%, 11/15/2030 | EUR | 100 | 115 | |||||
Reg. S, 0.63%, 10/27/2023 | EUR | 200 | 237 | |||||
Reg. S, 0.88%, 04/17/2034 | EUR | 100 | 124 | |||||
Eika Boligkreditt A/S, (Norway), | ||||||||
Reg. S, 0.13%, 06/16/2031 | EUR | 100 | 115 | |||||
Reg. S, 0.38%, 02/26/2025 | EUR | 100 | 119 | |||||
Equitable Bank, (Canada), Reg. S, 0.01%, 09/16/2024 | EUR | 100 | 117 | |||||
Erste Group Bank AG, (Austria), | ||||||||
Reg. S, 0.25%, 06/26/2024 | EUR | 100 | 118 | |||||
Reg. S, 0.75%, 02/05/2025 | EUR | 100 | 120 | |||||
Eurocaja Rural SCC, (Spain), Reg. S, 0.13%, 09/22/2031 | EUR | 100 | 114 | |||||
Federation des Caisses Desjardins du Quebec, (Canada), Reg. S, 0.01%, 04/08/2026 | EUR | 100 | 117 | |||||
Goldman Sachs Group, Inc. (The), | ||||||||
(United States SOFR + 0.61%), 0.86%, 02/12/2026 (aa) | 55 | 54 | ||||||
Reg. S, 0.88%, 01/21/2030 | EUR | 350 | 413 | |||||
(United States SOFR + 0.79%), 1.09%, 12/09/2026 (aa) | 270 | 266 | ||||||
Reg. S, 1.38%, 05/15/2024 | EUR | 1,650 | 1,958 | |||||
(United States SOFR + 0.80%), 1.43%, 03/09/2027 (aa) | 1,310 | 1,306 | ||||||
Reg. S, 2.00%, 03/22/2028 | EUR | 1,000 | 1,269 | |||||
(United States SOFR + 1.25%), 2.38%, 07/21/2032 (aa) | 730 | 723 | ||||||
2.60%, 02/07/2030 | 130 | 133 | ||||||
(United States SOFR + 1.28%), 2.62%, 04/22/2032 (aa) | 4,150 | 4,192 | ||||||
(United States SOFR + 1.47%), 2.91%, 07/21/2042 (aa) | 105 | 103 | ||||||
Reg. S, 3.13%, 07/25/2029 | GBP | 800 | 1,175 | |||||
(ICE LIBOR USD 3 Month + 1.20%), 3.27%, 09/29/2025 (aa) | 2,500 | 2,669 | ||||||
3.50%, 04/01/2025 | 95 | 102 | ||||||
3.80%, 03/15/2030 | 3,200 | 3,553 | ||||||
(ICE LIBOR USD 3 Month + 1.37%), 4.02%, 10/31/2038 (aa) | 350 | 403 | ||||||
(ICE LIBOR USD 3 Month + 1.43%), 4.41%, 04/23/2039 (aa) | 110 | 132 | ||||||
4.75%, 10/21/2045 | 190 | 245 | ||||||
5.15%, 05/22/2045 | 116 | 152 | ||||||
6.25%, 02/01/2041 | 50 | 73 | ||||||
6.75%, 10/01/2037 | 50 | 71 | ||||||
6.88%, 01/18/2038 | GBP | 425 | 877 | |||||
Hamburg Commercial Bank AG, (Germany), Reg. S, 0.25%, 04/25/2022 | EUR | 100 | 116 | |||||
Heta Asset Resolution AG, (Austria), Reg. S, 2.38%, 12/13/2022 | EUR | 800 | 957 | |||||
HSBC Bank plc, (United Kingdom), Reg. S, 6.25%, 01/30/2041 | GBP | 175 | 352 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Banks continued | ||||||||
HSBC Holdings plc, (United Kingdom), | ||||||||
(United States SOFR + 1.29%), 1.59%, 05/24/2027 (aa) | 200 | 199 | ||||||
(United States SOFR + 1.54%), 1.65%, 04/18/2026 (aa) | 1,000 | 1,005 | ||||||
(SONIA Interest Rate Benchmark + 1.31%), 1.75%, 07/24/2027 (aa) | GBP | 800 | 1,075 | |||||
(GBP Swap Rate 1 Year + 0.94%), 2.18%, 06/27/2023 (aa) | GBP | 425 | 579 | |||||
(GBP Swap Rate 1 Year + 1.65%), 3.00%, 07/22/2028 (aa) | GBP | 1,000 | 1,422 | |||||
(GBP Swap Rate 1 Year + 1.77%), 3.00%, 05/29/2030 (aa) | GBP | 225 | 320 | |||||
(ICE LIBOR USD 3 Month + 0.99%), 3.95%, 05/18/2024 (aa) | 200 | 211 | ||||||
(ICE LIBOR USD 3 Month + 1.61%), 3.97%, 05/22/2030 (aa) | 900 | 993 | ||||||
Reg. S, 7.00%, 04/07/2038 | GBP | 300 | 597 | |||||
Iccrea Banca SpA, (Italy), Reg. S, 0.01%, 09/23/2028 | EUR | 100 | 116 | |||||
ING Bank NV, (Netherlands), | ||||||||
Reg. S, 0.75%, 02/18/2029 | EUR | 100 | 123 | |||||
Reg. S, 1.88%, 05/22/2023 | EUR | 100 | 120 | |||||
ING Belgium SA, (Belgium), Reg. S, 0.01%, 02/20/2030 | EUR | 100 | 115 | |||||
ING Groep NV, (Netherlands), | ||||||||
Reg. S, (ICE LIBOR EUR 3 Month + 0.60%), 0.10%, 09/03/2025 (aa) | EUR | 1,500 | 1,742 | |||||
Reg. S, 1.13%, 02/14/2025 | EUR | 1,200 | 1,442 | |||||
Reg. S, (SONIA Interest Rate Benchmark + 0.91%), 1.13%, 12/07/2028 (aa) | GBP | 900 | 1,176 | |||||
(United States SOFR + 1.01%), 1.73%, 04/01/2027 (aa) | 1,265 | 1,272 | ||||||
Reg. S, 2.00%, 09/20/2028 | EUR | 300 | 384 | |||||
Reg. S, (EUR Swap Rate 5 Year + 2.40%), 2.13%, 05/26/2031 (aa) | EUR | 300 | 368 | |||||
Reg. S, (EUR Swap Rate 5 Year + 2.85%), 3.00%, 04/11/2028 (aa) | EUR | 300 | 363 | |||||
4.10%, 10/02/2023 | 200 | 214 | ||||||
Intesa Sanpaolo SpA, (Italy), | ||||||||
Reg. S, 0.38%, 09/14/2026 | EUR | 100 | 119 | |||||
Reg. S, 0.63%, 03/23/2023 | EUR | 100 | 118 | |||||
Reg. S, 1.00%, 01/27/2023 | EUR | 100 | 118 | |||||
Reg. S, 1.50%, 04/10/2024 | EUR | 1,600 | 1,927 | |||||
Reg. S, 2.13%, 05/26/2025 | EUR | 2,275 | 2,824 | |||||
Reg. S, 3.38%, 01/24/2025 | EUR | 100 | 130 | |||||
Series XR, 3.25%, 09/23/2024 (e) | 2,900 | 3,062 | ||||||
Investitionsbank Berlin, (Germany), Series 208, 0.05%, 03/02/2035 | EUR | 100 | 111 | |||||
KBC Bank NV, (Belgium), Reg. S, 0.38%, 09/01/2022 | EUR | 100 | 117 | |||||
Kookmin Bank, (South Korea), Reg. S, 0.05%, 07/15/2025 | EUR | 100 | 117 | |||||
Kreditanstalt fuer Wiederaufbau, (Germany), | ||||||||
Reg. S, 0.00%, 06/30/2023 | EUR | 880 | 1,030 | |||||
Reg. S, 0.00%, 02/18/2025 | EUR | 120 | 141 | |||||
Reg. S, 0.00%, 03/31/2027 | EUR | 500 | 589 | |||||
Reg. S, 0.00%, 09/15/2028 | EUR | 585 | 687 | |||||
Reg. S, 0.00%, 06/15/2029 | EUR | 254 | 297 | |||||
Reg. S, 0.00%, 09/17/2030 | EUR | 150 | 174 | |||||
Reg. S, 0.00%, 01/10/2031 | EUR | 170 | 197 | |||||
Reg. S, 0.01%, 05/05/2027 | EUR | 520 | 612 | |||||
0.05%, 02/28/2024 | EUR | 500 | 587 | |||||
Reg. S, 0.05%, 09/29/2034 | EUR | 280 | 316 | |||||
0.13%, 06/07/2023 | EUR | 850 | 997 | |||||
0.13%, 10/04/2024 | EUR | 500 | 590 | |||||
0.25%, 09/15/2025 | EUR | 1,100 | 1,309 | |||||
0.38%, 07/18/2025 | 200 | 197 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Banks continued | ||||||||
Reg. S, 0.38%, 04/23/2030 | EUR | 360 | 433 | |||||
Reg. S, 0.38%, 05/20/2036 | EUR | 79 | 92 | |||||
Reg. S, 0.50%, 09/28/2026 | EUR | 520 | 628 | |||||
0.50%, 09/15/2027 | EUR | 500 | 606 | |||||
Reg. S, 0.88%, 07/04/2039 | EUR | 40 | 50 | |||||
Reg. S, 1.00%, 12/15/2022 | GBP | 1,650 | 2,242 | |||||
Reg. S, 1.13%, 06/15/2037 | EUR | 340 | 440 | |||||
Reg. S, 1.38%, 12/15/2025 | GBP | 225 | 311 | |||||
Reg. S, 1.38%, 07/31/2035 | EUR | 202 | 268 | |||||
2.00%, 05/02/2025 | 195 | 204 | ||||||
2.13%, 08/15/2023 | EUR | 1,100 | 1,339 | |||||
2.38%, 12/29/2022 | 275 | 282 | ||||||
4.70%, 06/02/2037 | CAD | 100 | 100 | |||||
Reg. S, 4.88%, 03/15/2037 | GBP | 425 | 846 | |||||
6.00%, 12/07/2028 | GBP | 500 | 907 | |||||
Kutxabank SA, (Spain), Reg. S, 1.25%, 09/22/2025 | EUR | 100 | 122 | |||||
La Banque Postale SA, (France), | ||||||||
Reg. S, 0.25%, 07/12/2026 | EUR | 200 | 234 | |||||
Reg. S, 0.75%, 06/23/2031 | EUR | 100 | 114 | |||||
Reg. S, (EUR Swap Rate 5 Year + 2.25%), 2.75%, 11/19/2027 (aa) | EUR | 2,000 | 2,388 | |||||
Landesbank Baden-Wuerttemberg, (Germany), | ||||||||
Reg. S, 0.38%, 02/18/2027 | EUR | 200 | 234 | |||||
Reg. S, 0.50%, 08/04/2022 | EUR | 100 | 117 | |||||
Reg. S, 0.88%, 09/15/2025 | EUR | 100 | 121 | |||||
Series 809, Reg. S, 0.38%, 07/29/2026 | EUR | 100 | 118 | |||||
Landesbank Hessen-Thueringen Girozentrale, (Germany), | ||||||||
Reg. S, 0.38%, 06/04/2029 | EUR | 100 | 115 | |||||
Reg. S, 0.63%, 01/12/2027 | EUR | 200 | 242 | |||||
Landwirtschaftliche Rentenbank, (Germany), | ||||||||
Reg. S, 0.00%, 11/27/2029 | EUR | 270 | 314 | |||||
Reg. S, 0.05%, 06/12/2023 | EUR | 270 | 316 | |||||
Reg. S, 0.05%, 12/18/2029 | EUR | 180 | 210 | |||||
Reg. S, 0.25%, 08/29/2025 | EUR | 300 | 356 | |||||
Reg. S, 0.38%, 02/14/2028 | EUR | 140 | 168 | |||||
Reg. S, 0.63%, 02/20/2030 | EUR | 140 | 171 | |||||
Reg. S, 0.63%, 10/31/2036 | EUR | 75 | 90 | |||||
Lansforsakringar Hypotek AB, (Sweden), | ||||||||
Series 515, Reg. S, 2.25%, 09/21/2022 | SEK | 700 | 82 | |||||
Series 516, Reg. S, 1.25%, 09/20/2023 | SEK | 1,000 | 117 | |||||
Series 517, Reg. S, 1.50%, 09/18/2024 | SEK | 600 | 71 | |||||
Series 518, Reg. S, 1.25%, 09/17/2025 | SEK | 500 | 59 | |||||
Series 519, Reg. S, 1.50%, 09/16/2026 | SEK | 400 | 48 | |||||
Series 520, Reg. S, 1.00%, 09/15/2027 | SEK | 500 | 58 | |||||
Liberbank SA, (Spain), Reg. S, 0.25%, 09/25/2029 | EUR | 100 | 117 | |||||
Lloyds Bank plc, (United Kingdom), | ||||||||
Reg. S, 0.13%, 06/18/2026 | EUR | 100 | 117 | |||||
Reg. S, 0.25%, 03/25/2024 | EUR | 100 | 117 | |||||
Reg. S, 6.00%, 02/08/2029 | GBP | 100 | 180 | |||||
Reg. S, 6.50%, 09/17/2040 | GBP | 300 | 674 | |||||
Reg. S, 7.63%, 04/22/2025 | GBP | 600 | 985 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Banks continued | ||||||||
Lloyds Banking Group plc, (United Kingdom), | ||||||||
Reg. S, (EUR Swap Rate 1 Year + 0.85%), 0.50%, 11/12/2025 (aa) | EUR | 2,400 | 2,819 | |||||
(CMT Index 1 Year + 0.55%), 0.70%, 05/11/2024 (aa) | 200 | 201 | ||||||
(UK Gilts 5 Year + 1.60%), 1.99%, 12/15/2031 (aa) | GBP | 4,400 | 5,920 | |||||
3.90%, 03/12/2024 | 2,500 | 2,687 | ||||||
Mediobanca Banca di Credito Finanziario SpA, (Italy), | ||||||||
Reg. S, 0.75%, 07/15/2027 | EUR | 425 | 495 | |||||
Reg. S, 1.13%, 07/15/2025 | EUR | 975 | 1,167 | |||||
Series 4, Reg. S, 1.38%, 11/10/2025 | EUR | 100 | 124 | |||||
Mitsubishi UFJ Financial Group, Inc., (Japan), | ||||||||
(CMT Index 1 Year + 0.75%), 1.54%, 07/20/2027 (aa) | 2,000 | 1,997 | ||||||
3.76%, 07/26/2023 | 3,150 | 3,338 | ||||||
Mizuho Financial Group, Inc., (Japan), | ||||||||
(ICE LIBOR USD 3 Month + 0.83%), 2.23%, 05/25/2026 (aa) | 3,000 | 3,092 | ||||||
(United States SOFR + 1.24%), 2.84%, 07/16/2025 (aa) | 200 | 210 | ||||||
Morgan Stanley, | ||||||||
(ICE LIBOR EUR 3 Month + 0.70%), 0.41%, 10/29/2027 (aa) | EUR | 5,625 | 6,548 | |||||
(ICE LIBOR EUR 3 Month + 0.72%), 0.50%, 02/07/2031 (aa) | EUR | 1,050 | 1,195 | |||||
(ICE LIBOR EUR 3 Month + 0.75%), 0.64%, 07/26/2024 (aa) | EUR | 1,675 | 1,969 | |||||
(United States SOFR + 0.62%), 0.73%, 04/05/2024 (aa) | 100 | 100 | ||||||
(United States SOFR + 0.86%), 1.51%, 07/20/2027 (aa) | 75 | 75 | ||||||
(United States SOFR + 0.88%), 1.59%, 05/04/2027 (aa) | 1,085 | 1,087 | ||||||
(United States SOFR + 1.03%), 1.79%, 02/13/2032 (aa) | 215 | 205 | ||||||
1.88%, 04/27/2027 | EUR | 1,300 | 1,638 | |||||
(United States SOFR + 1.02%), 1.93%, 04/28/2032 (aa) | 1,350 | 1,293 | ||||||
(United States SOFR + 1.18%), 2.24%, 07/21/2032 (aa) | 1,900 | 1,869 | ||||||
2.63%, 03/09/2027 | GBP | 725 | 1,033 | |||||
(United States SOFR + 1.14%), 2.70%, 01/22/2031 (aa) | 4,020 | 4,144 | ||||||
(United States SOFR + 1.43%), 2.80%, 01/25/2052 (aa) | 185 | 178 | ||||||
(United States SOFR + 1.49%), 3.22%, 04/22/2042 (aa) | 65 | 68 | ||||||
(ICE LIBOR USD 3 Month + 1.46%), 3.97%, 07/22/2038 (aa) | 320 | 366 | ||||||
4.10%, 05/22/2023 | 2,700 | 2,851 | ||||||
4.30%, 01/27/2045 | 170 | 207 | ||||||
(ICE LIBOR USD 3 Month + 1.43%), 4.46%, 04/22/2039 (aa) | 10 | 12 | ||||||
4.88%, 11/01/2022 | 90 | 94 | ||||||
5.00%, 11/24/2025 | 140 | 160 | ||||||
(United States SOFR + 4.84%), 5.60%, 03/24/2051 (aa) | 215 | 318 | ||||||
Muenchener Hypothekenbank eG, (Germany), | ||||||||
Reg. S, 0.01%, 11/02/2040 | EUR | 50 | 52 | |||||
Reg. S, 1.50%, 06/25/2024 | EUR | 100 | 122 | |||||
Reg. S, 2.50%, 07/04/2028 | EUR | 100 | 136 | |||||
National Australia Bank Ltd., (Australia), | ||||||||
Reg. S, 0.01%, 01/06/2029 | EUR | 100 | 115 | |||||
Reg. S, 0.75%, 01/30/2026 | EUR | 100 | 121 | |||||
Reg. S, (UK Gilts 5 Year + 1.40%), 1.70%, 09/15/2031 (aa) | GBP | 725 | 964 | |||||
National Bank of Canada, (Canada), Reg. S, 0.75%, 03/13/2025 | EUR | 100 | 120 | |||||
Nationale-Nederlanden Bank NV (The), (Netherlands), Reg. S, 0.01%, 07/08/2030 | EUR | 100 | 115 | |||||
Natwest Group plc, (United Kingdom), | ||||||||
Reg. S, (EUR Swap Rate 5 Year + 1.27%), 1.04%, 09/14/2032 (aa) | EUR | 875 | 1,010 | |||||
Reg. S, (ICE LIBOR EUR 3 Month + 1.08%), 1.75%, 03/02/2026 (aa) | EUR | 1,200 | 1,462 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Banks continued | ||||||||
Reg. S, (ICE LIBOR EUR 3 Month + 1.74%), 2.00%, 03/04/2025 (aa) | EUR | 100 | 121 | |||||
(CMT Index 1 Year + 2.15%), 2.36%, 05/22/2024 (aa) | 2,000 | 2,052 | ||||||
(CMT Index 1 Year + 2.55%), 3.07%, 05/22/2028 (aa) | 2,000 | 2,122 | ||||||
Reg. S, (UK Gilts 5 Year + 3.55%), 3.62%, 08/14/2030 (aa) | GBP | 600 | 855 | |||||
NIBC Bank NV, (Netherlands), | ||||||||
Reg. S, 0.13%, 04/21/2031 | EUR | 100 | 115 | |||||
Reg. S, 0.63%, 06/01/2026 | EUR | 100 | 120 | |||||
NORD / LB Luxembourg SA Covered Bond Bank, (Luxembourg), Reg. S, 0.01%, 06/10/2027 | EUR | 100 | 115 | |||||
Norddeutsche Landesbank-Girozentrale, (Germany), | ||||||||
Reg. S, 0.01%, 09/23/2026 | EUR | 100 | 117 | |||||
Reg. S, 0.25%, 10/28/2026 | EUR | 20 | 24 | |||||
Nordea Bank Abp, (Finland), | ||||||||
Reg. S, 0.88%, 06/26/2023 | EUR | 425 | 502 | |||||
3.75%, 08/30/2023 (e) | 1,900 | 2,017 | ||||||
Nordea Hypotek AB, (Sweden), | ||||||||
Series 5533, Reg. S, 1.25%, 09/20/2023 | SEK | 1,700 | 199 | |||||
Series 5534, Reg. S, 1.00%, 09/18/2024 | SEK | 1,500 | 176 | |||||
Series 5535, Reg. S, 1.00%, 09/17/2025 | SEK | 1,800 | 210 | |||||
Series 5536, Reg. S, 0.50%, 09/16/2026 | SEK | 500 | 57 | |||||
Nordea Kiinnitysluottopankki OYJ, (Finland), | ||||||||
Reg. S, 0.13%, 06/18/2027 | EUR | 100 | 118 | |||||
Reg. S, 0.63%, 10/19/2022 | EUR | 200 | 234 | |||||
NRW Bank, (Germany), | ||||||||
Reg. S, 0.10%, 07/09/2035 | EUR | 100 | 111 | |||||
Reg. S, 0.25%, 03/10/2025 | EUR | 120 | 142 | |||||
Reg. S, 0.50%, 05/26/2025 | EUR | 320 | 382 | |||||
Reg. S, 0.75%, 06/30/2028 | EUR | 260 | 318 | |||||
1.20%, 03/28/2039 | EUR | 100 | 128 | |||||
1.25%, 05/13/2049 | EUR | 87 | 116 | |||||
Nykredit Realkredit A/S, (Denmark), | ||||||||
Series 01E, Reg. S, 1.00%, 10/01/2053 | DKK | 41,472 | 5,991 | |||||
Series 13HH, Reg. S, 1.00%, 07/01/2024 | DKK | 700 | 113 | |||||
Series 13H, Reg. S, 1.00%, 07/01/2026 | DKK | 300 | 49 | |||||
Series 13H, Reg. S, 1.00%, 01/01/2027 | DKK | 100 | 16 | |||||
Series 13H, Reg. S, 1.00%, 01/01/2028 | DKK | 200 | 33 | |||||
Series 13H, Reg. S, 2.00%, 01/01/2025 | DKK | 100 | 17 | |||||
Series 13H, Reg. S, 2.00%, 01/01/2026 | DKK | 1,000 | 169 | |||||
Oesterreichische Kontrollbank AG, (Austria), | ||||||||
Reg. S, 0.00%, 10/08/2026 | EUR | 150 | 175 | |||||
Reg. S, 0.25%, 09/26/2024 | EUR | 300 | 354 | |||||
OP Mortgage Bank, (Finland), | ||||||||
Reg. S, 0.25%, 03/13/2024 | EUR | 100 | 118 | |||||
Reg. S, 0.63%, 02/15/2029 | EUR | 100 | 122 | |||||
Reg. S, 1.00%, 11/28/2024 | EUR | 150 | 181 | |||||
Pfandbriefbank schweizerischer Hypothekarinstitute AG, (Switzerland), | ||||||||
Reg. S, 0.00%, 02/26/2030 | CHF | 700 | 746 | |||||
Series 642, Reg. S, 0.00%, 02/14/2022 | CHF | 175 | 188 | |||||
Series 670, Reg. S, 0.00%, 07/29/2024 | CHF | 100 | 109 | |||||
Series 675, Reg. S, 0.00%, 06/15/2027 | CHF | 50 | 54 | |||||
Series 678, Reg. S, 0.00%, 08/26/2049 | CHF | 125 | 124 | |||||
Series 680, Reg. S, 0.00%, 03/30/2026 | CHF | 50 | 54 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Banks continued | ||||||||
Series 682, Reg. S, 0.00%, 04/06/2027 | CHF | 50 | 54 | |||||
Series 683, Reg. S, 0.00%, 02/25/2028 | CHF | 200 | 216 | |||||
Series 684, Reg. S, 0.00%, 05/10/2045 | CHF | 50 | 50 | |||||
Series 696, Reg. S, 0.13%, 11/19/2032 | CHF | 100 | 106 | |||||
Series 697, Reg. S, 0.00%, 05/20/2041 | CHF | 100 | 101 | |||||
Series 701, Reg. S, 0.13%, 06/20/2031 | CHF | 50 | 54 | |||||
Series 703, Reg. S, 0.38%, 01/24/2042 | CHF | 50 | 54 | |||||
Pfandbriefzentrale der schweizerischen Kantonalbanken AG, (Switzerland), | ||||||||
Series 472, Reg. S, 0.00%, 07/25/2023 | CHF | 150 | 162 | |||||
Series 483, Reg. S, 0.00%, 01/27/2027 | CHF | 900 | 976 | |||||
Series 485, Reg. S, 0.00%, 10/02/2026 | CHF | 300 | 326 | |||||
Series 524, Reg. S, 0.00%, 06/21/2028 | CHF | 50 | 54 | |||||
Series 526, Reg. S, 0.00%, 07/19/2030 | CHF | 75 | 80 | |||||
Series 528, Reg. S, 0.00%, 03/15/2030 | CHF | 50 | 53 | |||||
Series 531, Reg. S, 0.00%, 02/15/2036 | CHF | 255 | 261 | |||||
Series 536, Reg. S, 0.20%, 06/12/2035 | CHF | 50 | 53 | |||||
Prima Banka Slovensko A/S, (Slovakia), Reg. S, 0.01%, 09/14/2027 | EUR | 100 | 116 | |||||
Raiffeisenlandesbank Niederoesterreich-Wien AG, (Austria), Reg. S, 0.63%, 08/28/2026 | EUR | 100 | 120 | |||||
Raiffeisenlandesbank Oberoesterreich AG, (Austria), Reg. S, 0.88%, 07/12/2028 | EUR | 100 | 123 | |||||
Rheinland-Pfalz Bank, (Germany), SUB, 6.88%, 02/23/2028 (e) | 200 | 256 | ||||||
Royal Bank of Canada, (Canada), | ||||||||
Reg. S, 0.25%, 01/29/2024 | EUR | 100 | 117 | |||||
Reg. S, 0.25%, 05/02/2024 | EUR | 700 | 820 | |||||
Reg. S, 0.63%, 09/10/2025 | EUR | 100 | 120 | |||||
1.15%, 06/10/2025 | 100 | 100 | ||||||
2.25%, 11/01/2024 | 25 | 26 | ||||||
Santander Consumer Bank A/S, (Norway), | ||||||||
Reg. S, 0.13%, 02/25/2025 | EUR | 2,700 | 3,134 | |||||
Reg. S, 0.75%, 03/01/2023 | EUR | 2,000 | 2,350 | |||||
Santander Holdings USA, Inc., 3.45%, 06/02/2025 | 100 | 107 | ||||||
Santander UK Group Holdings plc, (United Kingdom), | ||||||||
Reg. S, (EUR Swap Rate 1 Year + 0.80%), 0.60%, 09/13/2029 (aa) | EUR | 1,050 | 1,202 | |||||
3.57%, 01/10/2023 | 200 | 202 | ||||||
Santander UK plc, (United Kingdom), | ||||||||
Reg. S, 1.25%, 09/18/2024 | EUR | 100 | 121 | |||||
Reg. S, 5.75%, 03/02/2026 | GBP | 100 | 163 | |||||
Series 61, Reg. S, 0.25%, 04/21/2022 | EUR | 100 | 116 | |||||
Skandinaviska Enskilda Banken AB, (Sweden), | ||||||||
Reg. S, 0.05%, 07/01/2024 | EUR | 775 | 906 | |||||
Reg. S, 0.25%, 05/19/2023 | EUR | 325 | 380 | |||||
Reg. S, 0.63%, 01/30/2023 | EUR | 100 | 118 | |||||
Reg. S, (EUR Swap Rate 5 Year + 1.35%), 1.38%, 10/31/2028 (aa) | EUR | 425 | 506 | |||||
Series 576, Reg. S, 1.00%, 12/20/2023 | SEK | 2,000 | 233 | |||||
Series 578, Reg. S, 4.25%, 12/01/2023 | SEK | 500 | 62 | |||||
Series 579, Reg. S, 1.00%, 12/18/2024 | SEK | 2,000 | 234 | |||||
Series 581, Reg. S, 0.50%, 12/16/2026 | SEK | 2,000 | 227 | |||||
Societe Generale SA, (France), | ||||||||
Reg. S, 0.25%, 07/08/2027 | EUR | 1,500 | 1,734 | |||||
Reg. S, 0.75%, 01/25/2027 | EUR | 3,700 | 4,343 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Banks continued | ||||||||
Reg. S, 1.13%, 01/23/2025 | EUR | 100 | 120 | |||||
Reg. S, (EUR Swap Rate 5 Year + 1.60%), 1.13%, 06/30/2031 (aa) | EUR | 3,300 | 3,851 | |||||
Reg. S, 1.25%, 12/07/2027 | GBP | 500 | 650 | |||||
(CMT Index 1 Year + 1.00%), 1.79%, 06/09/2027 (e) (aa) | 2,595 | 2,580 | ||||||
2.63%, 01/22/2025 (e) | 3,600 | 3,737 | ||||||
SpareBank 1 Boligkreditt A/S, (Norway), | ||||||||
Reg. S, 0.01%, 09/22/2027 | EUR | 100 | 117 | |||||
Reg. S, 0.38%, 06/26/2024 | EUR | 100 | 118 | |||||
Reg. S, 1.00%, 01/30/2029 | EUR | 100 | 124 | |||||
Sparebank 1 Oestlandet, (Norway), Reg. S, 0.25%, 09/30/2024 | EUR | 600 | 703 | |||||
SpareBank 1 SR-Bank ASA, (Norway), Reg. S, 0.63%, 03/25/2024 | EUR | 700 | 827 | |||||
SR-Boligkreditt A/S, (Norway), | ||||||||
Reg. S, 0.01%, 03/10/2031 | EUR | 100 | 114 | |||||
Reg. S, 0.75%, 10/17/2025 | EUR | 100 | 121 | |||||
Stadshypotek AB, (Sweden), | ||||||||
Reg. S, 0.13%, 10/05/2026 | EUR | 130 | 153 | |||||
Reg. S, 0.38%, 02/22/2023 | EUR | 100 | 117 | |||||
Series 1587, Reg. S, 1.50%, 06/01/2023 | SEK | 2,000 | 235 | |||||
Series 1588, Reg. S, 1.50%, 03/01/2024 | SEK | 2,000 | 236 | |||||
Series 1589, Reg. S, 1.50%, 12/03/2024 | SEK | 2,000 | 238 | |||||
Series 1590, Reg. S, 1.00%, 09/03/2025 | SEK | 2,000 | 234 | |||||
Series 1594, Reg. S, 2.00%, 09/01/2028 | SEK | 2,000 | 246 | |||||
Standard Chartered plc, (United Kingdom), | ||||||||
(CMT Index 1 Year + 1.00%), 1.46%, 01/14/2027 (e) (aa) | 2,000 | 1,966 | ||||||
(ICE LIBOR USD 3 Month + 1.21%), 2.82%, 01/30/2026 (e) (aa) | 1,800 | 1,874 | ||||||
Sumitomo Mitsui Banking Corp., (Japan), | ||||||||
Reg. S, 0.41%, 11/07/2029 | EUR | 4,100 | 4,818 | |||||
Reg. S, 0.55%, 11/06/2023 | EUR | 100 | 118 | |||||
Sumitomo Mitsui Financial Group, Inc., (Japan), 2.70%, 07/16/2024 | 3,700 | 3,886 | ||||||
SVB Financial Group, | ||||||||
1.80%, 02/02/2031 | 675 | 647 | ||||||
2.10%, 05/15/2028 | 120 | 121 | ||||||
Svenska Handelsbanken AB, (Sweden), | ||||||||
Reg. S, 0.50%, 02/18/2030 | EUR | 975 | 1,128 | |||||
Reg. S, (EUR Swap Rate 5 Year + 0.80%), 1.25%, 03/02/2028 (aa) | EUR | 1,675 | 1,975 | |||||
Sveriges Sakerstallda Obligationer AB, (Sweden), | ||||||||
Reg. S, 0.01%, 03/14/2030 | EUR | 100 | 115 | |||||
Reg. S, 0.63%, 10/30/2025 | EUR | 100 | 120 | |||||
Series 144, Reg. S, 1.00%, 06/21/2023 | SEK | 2,000 | 232 | |||||
Series 146, Reg. S, 0.50%, 06/11/2025 | SEK | 2,000 | 230 | |||||
Series 147, Reg. S, 2.00%, 06/17/2026 | SEK | 1,000 | 122 | |||||
Swedbank AB, (Sweden), | ||||||||
Reg. S, 0.75%, 05/05/2025 | EUR | 700 | 835 | |||||
Reg. S, 1.00%, 06/01/2022 | EUR | 425 | 497 | |||||
Reg. S, (EUR Swap Rate 5 Year + 1.28%), 1.50%, 09/18/2028 (aa) | EUR | 1,900 | 2,261 | |||||
Swedbank Hypotek AB, (Sweden), | ||||||||
Reg. S, 0.05%, 05/28/2025 | EUR | 100 | 117 | |||||
Series 192, Reg. S, 1.00%, 03/15/2023 | SEK | 1,000 | 116 | |||||
Series 193, Reg. S, 1.00%, 12/20/2023 | SEK | 500 | 58 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Banks continued | ||||||||
Series 194, Reg. S, 1.00%, 09/18/2024 | SEK | 1,100 | 129 | |||||
Series 195, Reg. S, 1.00%, 06/18/2025 | SEK | 1,500 | 176 | |||||
Tesco Personal Finance Group plc, (United Kingdom), Reg. S, 3.50%, 07/25/2025 | GBP | 100 | 140 | |||||
Toronto-Dominion Bank (The), (Canada), | ||||||||
Reg. S, 0.25%, 03/26/2024 | EUR | 100 | 118 | |||||
Reg. S, 0.38%, 04/27/2023 | EUR | 100 | 117 | |||||
1.25%, 09/10/2026 | 20 | 20 | ||||||
2.65%, 06/12/2024 | 50 | 53 | ||||||
3.25%, 03/11/2024 | 20 | 21 | ||||||
Truist Financial Corp., | ||||||||
1.20%, 08/05/2025 | 160 | 161 | ||||||
3.88%, 03/19/2029 | 1,400 | 1,579 | ||||||
UBS Group AG, (Switzerland), | ||||||||
Reg. S, (EUR Swap Rate 1 Year + 0.77%), 0.25%, 11/05/2028 (aa) | EUR | 1,200 | 1,376 | |||||
Reg. S, (EUR Swap Rate 1 Year + 0.75%), 1.25%, 04/17/2025 (aa) | EUR | 200 | 239 | |||||
Reg. S, 1.75%, 11/16/2022 | EUR | 1,450 | 1,719 | |||||
(CMT Index 1 Year + 1.00%), 2.10%, 02/11/2032 (e) (aa) | 1,000 | 972 | ||||||
(ICE LIBOR USD 3 Month + 0.95%), 2.86%, 08/15/2023 (e) (aa) | 3,900 | 3,982 | ||||||
UniCredit Bank AG, (Germany), | ||||||||
Reg. S, 0.01%, 09/15/2028 | EUR | 50 | 58 | |||||
Reg. S, 0.01%, 03/10/2031 | EUR | 125 | 143 | |||||
Reg. S, 0.25%, 01/15/2032 | EUR | 50 | 58 | |||||
Reg. S, 0.85%, 05/22/2034 | EUR | 50 | 62 | |||||
Reg. S, 0.88%, 01/11/2029 | EUR | 100 | 124 | |||||
UniCredit Bank Austria AG, (Austria), Reg. S, 0.05%, 09/21/2035 | EUR | 100 | 110 | |||||
UniCredit SpA, (Italy), | ||||||||
Reg. S, 0.38%, 10/31/2026 | EUR | 100 | 118 | |||||
Reg. S, (ICE LIBOR EUR 3 Month + 1.35%), 1.20%, 01/20/2026 (aa) | EUR | 1,175 | 1,393 | |||||
(CMT Index 1 Year + 2.30%), 2.57%, 09/22/2026 (e) (aa) | 3,000 | 3,049 | ||||||
6.57%, 01/14/2022 (e) | 700 | 712 | ||||||
United Overseas Bank Ltd., (Singapore), Reg. S, 0.01%, 12/01/2027 | EUR | 100 | 116 | |||||
US Bancorp, 0.85%, 06/07/2024 | EUR | 700 | 832 | |||||
Valiant Bank AG, (Switzerland), Reg. S, 0.00%, 07/31/2029 | CHF | 50 | 53 | |||||
Virgin Money UK plc, (United Kingdom), | ||||||||
Reg. S, (EUR Swap Rate 1 Year + 0.85%), 0.38%, 05/27/2024 (aa) | EUR | 225 | 263 | |||||
Reg. S, (UK Gilts 1 Year + 2.80%), 4.00%, 09/25/2026 (aa) | GBP | 100 | 146 | |||||
Reg. S, (UK Gilts 5 Year + 5.25%), 5.13%, 12/11/2030 (aa) | GBP | 500 | 744 | |||||
Vseobecna Uverova Banka A/S, (Slovakia), Reg. S, 0.25%, 03/26/2024 | EUR | 100 | 117 | |||||
Wells Fargo & Co., | ||||||||
Reg. S, (ICE LIBOR EUR 3 Month + 1.85%), 1.74%, 05/04/2030 (aa) | EUR | 1,200 | 1,491 | |||||
Reg. S, 2.13%, 09/24/2031 | GBP | 500 | 673 | |||||
(United States SOFR + 1.09%), 2.41%, 10/30/2025 (aa) | 400 | 417 | ||||||
(United States SOFR + 2.53%), 3.07%, 04/30/2041 (aa) | 1,975 | 2,025 | ||||||
(ICE LIBOR USD 3 Month + 1.17%), 3.20%, 06/17/2027 (aa) | 1,590 | 1,706 | ||||||
3.75%, 01/24/2024 | 265 | 283 | ||||||
4.75%, 12/07/2046 | 95 | 119 | ||||||
Reg. S, 4.88%, 11/29/2035 | GBP | 500 | 857 | |||||
(United States SOFR + 4.50%), 5.01%, 04/04/2051 (aa) | 70 | 94 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Banks continued | ||||||||
Westpac Banking Corp., (Australia), | ||||||||
Reg. S, 0.01%, 09/22/2028 | EUR | 100 | 115 | |||||
Reg. S, 0.38%, 04/02/2026 | EUR | 100 | 119 | |||||
Reg. S, (EUR Swap Rate 5 Year + 1.05%), 0.77%, 05/13/2031 (aa) | EUR | 875 | 1,013 | |||||
Westpac Securities NZ Ltd., (New Zealand), Reg. S, 0.25%, 04/06/2022 | EUR | 100 | 116 | |||||
Wirtschafts- und Infrastrukturbank Hessen, (Germany), 0.88%, 06/14/2028 | EUR | 100 | 123 | |||||
Zuercher Kantonalbank, (Switzerland), Series 150, Reg. S, 0.10%, 03/31/2031 | CHF | 240 | 256 | |||||
|
| |||||||
391,550 | ||||||||
|
| |||||||
Diversified Financial Services 0.4% | ||||||||
Aareal Bank AG, (Germany), | ||||||||
Series 225, Reg. S, 0.13%, 02/01/2023 | EUR | 100 | 117 | |||||
Series 236, Reg. S, 0.01%, 02/01/2028 | EUR | 100 | 116 | |||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, (Ireland), 4.50%, 09/15/2023 | 150 | 160 | ||||||
Affiliated Managers Group, Inc., | ||||||||
3.30%, 06/15/2030 | 154 | 164 | ||||||
3.50%, 08/01/2025 | 20 | 22 | ||||||
Affordable Housing Finance plc, (United Kingdom), Reg. S, 2.89%, 08/11/2043 | GBP | 100 | 166 | |||||
Air Lease Corp., | ||||||||
2.63%, 07/01/2022 | 95 | 97 | ||||||
3.50%, 01/15/2022 | 20 | 20 | ||||||
Ally Financial, Inc., | ||||||||
1.45%, 10/02/2023 | 40 | 41 | ||||||
3.05%, 06/05/2023 | 40 | 41 | ||||||
Arkea Home Loans SFH SA, (France), Reg. S, 0.38%, 03/04/2024 | EUR | 100 | 118 | |||||
Artesian Finance II plc, (United Kingdom), 6.00%, 09/30/2033 | GBP | 50 | 97 | |||||
AXA Bank Europe SCF, (France), | ||||||||
Reg. S, 0.01%, 01/22/2027 | EUR | 100 | 117 | |||||
Reg. S, 0.50%, 04/18/2025 | EUR | 100 | 119 | |||||
AXA Home Loan SFH SA, (France), Reg. S, 0.13%, 06/25/2035 | EUR | 100 | 111 | |||||
AYT Cedulas Cajas Global FTA, (Spain), Series 3, 3.75%, 12/14/2022 | EUR | 100 | 122 | |||||
AyT Cedulas Cajas X Fondo de Titulizacion de Activos, (Spain), Series X, 3.75%, 06/30/2025 | EUR | 100 | 133 | |||||
BPCE SFH SA, (France), | ||||||||
Reg. S, 0.01%, 10/16/2028 | EUR | 100 | 116 | |||||
Reg. S, 0.01%, 05/27/2030 | EUR | 100 | 115 | |||||
Reg. S, 0.01%, 01/29/2036 | EUR | 100 | 109 | |||||
Reg. S, 0.13%, 12/03/2030 | EUR | 100 | 116 | |||||
Reg. S, 0.63%, 09/22/2027 | EUR | 100 | 121 | |||||
Reg. S, 0.75%, 09/02/2025 | EUR | 100 | 120 | |||||
Reg. S, 2.38%, 11/29/2023 | EUR | 200 | 246 | |||||
Brookfield Finance I UK plc, (United Kingdom), 2.34%, 01/30/2032 | 40 | 39 | ||||||
Brookfield Finance, Inc., (Canada), | ||||||||
3.50%, 03/30/2051 | 85 | 88 | ||||||
4.00%, 04/01/2024 | 40 | 43 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Diversified Financial Services continued | ||||||||
Caisse de Refinancement de lHabitat SA, (France), | ||||||||
Reg. S, 0.01%, 10/08/2029 | EUR | 100 | 116 | |||||
Reg. S, 0.13%, 04/30/2027 | EUR | 100 | 118 | |||||
Reg. S, 2.38%, 03/05/2024 | CHF | 50 | 57 | |||||
3.30%, 09/23/2022 | EUR | 100 | 120 | |||||
3.90%, 10/20/2023 | EUR | 100 | 126 | |||||
Capital One Financial Corp., | ||||||||
0.80%, 06/12/2024 | EUR | 425 | 502 | |||||
1.65%, 06/12/2029 | EUR | 1,078 | 1,321 | |||||
Cedulas TDA 6 Fondo de Titulizacion de Activos, (Spain), Series A6, 3.88%, 05/23/2025 | EUR | 100 | 133 | |||||
Charles Schwab Corp. (The), 1.15%, 05/13/2026 | 105 | 105 | ||||||
CI Financial Corp., (Canada), 4.10%, 06/15/2051 | 10 | 11 | ||||||
Clifford Capital Pte Ltd., (Singapore), Reg. S, 3.11%, 08/18/2032 | 200 | 202 | ||||||
Credit Agricole Home Loan SFH SA, (France), | ||||||||
Reg. S, 0.01%, 04/12/2028 | EUR | 200 | 233 | |||||
Reg. S, 0.13%, 12/16/2024 | EUR | 100 | 118 | |||||
Reg. S, 0.38%, 09/30/2024 | EUR | 100 | 118 | |||||
Reg. S, 0.50%, 02/19/2026 | EUR | 100 | 120 | |||||
Reg. S, 0.63%, 11/28/2022 | EUR | 100 | 117 | |||||
Reg. S, 0.88%, 08/11/2028 | EUR | 200 | 246 | |||||
Reg. S, 0.88%, 05/06/2034 | EUR | 100 | 124 | |||||
Credit Agricole Public Sector SCF SA, (France), Reg. S, 0.88%, 08/02/2027 | EUR | 100 | 122 | |||||
Credit Mutuel Home Loan SFH SA, (France), | ||||||||
Reg. S, 0.01%, 07/20/2028 | EUR | 100 | 116 | |||||
Reg. S, 1.00%, 01/30/2029 | EUR | 100 | 125 | |||||
Reg. S, 4.13%, 01/19/2024 | EUR | 100 | 128 | |||||
Credit Suisse Schweiz AG, (Switzerland), Reg. S, 0.00%, 10/31/2030 | CHF | 25 | 26 | |||||
Danmarks Skibskredit A/S, (Denmark), Reg. S, 0.13%, 03/20/2025 | EUR | 100 | 116 | |||||
DLR Kredit A/S, (Denmark), Series B, Reg. S, 1.00%, 10/01/2022 | DKK | 300 | 47 | |||||
FCA Bank SpA, (Italy), | ||||||||
Reg. S, 0.00%, 04/16/2024 | EUR | 750 | 869 | |||||
Reg. S, 0.25%, 02/28/2023 | EUR | 3,000 | 3,494 | |||||
GE Capital International Funding Co. Unlimited Co., (Ireland), Reg. S,4.42%, 11/15/2035 | 200 | 240 | ||||||
GE Capital UK Funding Unlimited Co., (Ireland), Reg. S, 5.88%, 01/18/2033 | GBP | 950 | 1,720 | |||||
Harbour Funding plc, (United Kingdom), Reg. S, 5.28%, 03/31/2034 | GBP | 25 | 44 | |||||
Hypo Tirol Bank AG, (Austria), Reg. S, 0.01%, 03/11/2031 | EUR | 100 | 114 | |||||
Intercontinental Exchange, Inc., | ||||||||
3.75%, 12/01/2025 | 25 | 27 | ||||||
4.25%, 09/21/2048 | 50 | 59 | ||||||
Jefferies Group LLC, 2.75%, 10/15/2032 | 1,420 | 1,421 | ||||||
Jyske Realkredit A/S, (Denmark), | ||||||||
Series 32lE, Reg. S, 1.00%, 04/01/2023 | DKK | 200 | 32 | |||||
Series 32IE, Reg. S, 1.00%, 04/01/2025 | DKK | 400 | 65 | |||||
Series CCE, Reg. S, 0.01%, 10/01/2027 | EUR | 100 | 116 | |||||
Series CCE, Reg. S, 1.00%, 10/01/2024 | DKK | 100 | 16 | |||||
La Banque Postale Home Loan SFH SA, (France), | ||||||||
Reg. S, 0.50%, 01/30/2026 | EUR | 100 | 120 | |||||
Reg. S, 2.38%, 01/15/2024 | EUR | 100 | 123 | |||||
London Stock Exchange Group plc, (United Kingdom), Reg. S, 1.75%, 12/06/2027 | EUR | 800 | 1,011 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Diversified Financial Services continued | ||||||||
Mastercard, Inc., | ||||||||
2.10%, 12/01/2027 | EUR | 1,025 | 1,326 | |||||
3.85%, 03/26/2050 | 40 | 47 | ||||||
Nasdaq, Inc., | ||||||||
0.88%, 02/13/2030 | EUR | 2,950 | 3,465 | |||||
0.90%, 07/30/2033 | EUR | 500 | 568 | |||||
4.25%, 06/01/2024 | 60 | 65 | ||||||
Nomura Holdings, Inc., (Japan), | ||||||||
1.85%, 07/16/2025 | 200 | 203 | ||||||
2.61%, 07/14/2031 | 1,255 | 1,249 | ||||||
2.65%, 01/16/2025 | 2,000 | 2,083 | ||||||
Nordea Kredit Realkreditaktieselskab, (Denmark), | ||||||||
Reg. S, 1.00%, 10/01/2024 (e) | DKK | 500 | 81 | |||||
Reg. S, 1.00%, 04/01/2026 (e) | DKK | 500 | 82 | |||||
Series CC2, Reg. S, 1.00%, 04/01/2025 (e) | DKK | 200 | 32 | |||||
Series CT2, Reg. S, 1.00%, 10/01/2022 (e) | DKK | 400 | 63 | |||||
Private Export Funding Corp., | ||||||||
0.55%, 07/30/2024 (e) | 300 | 299 | ||||||
Series PP, 1.40%, 07/15/2028 | 775 | 771 | ||||||
Programa Cedulas TDA Fondo de Titulizacion de Activos, (Spain), | ||||||||
Series A6, 4.25%, 04/10/2031 | EUR | 100 | 160 | |||||
Prs Finance plc, (United Kingdom), | ||||||||
Reg. S, 1.75%, 11/24/2026 | GBP | 192 | 269 | |||||
Reg. S, 2.00%, 01/23/2029 | GBP | 700 | 993 | |||||
Realkredit Danmark A/S, (Denmark), | ||||||||
Series 10F, Reg. S, 1.00%, 01/01/2025 (e) | DKK | 700 | 113 | |||||
Series 10F, Reg. S, 1.00%, 01/01/2026 (e) | DKK | 1,000 | 163 | |||||
Series 22S, Reg. S, 0.00%, 10/01/2040 (e) | DKK | 47 | 7 | |||||
Societe Generale SFH SA, (France), | ||||||||
Reg. S, 0.50%, 01/20/2023 | EUR | 100 | 117 | |||||
Reg. S, 0.50%, 06/02/2025 | EUR | 100 | 119 | |||||
Reg. S, 0.50%, 01/28/2026 | EUR | 100 | 120 | |||||
Telereal Securitisation plc, (United Kingdom), Series B4, 6.16%, 12/10/2031 | GBP | 44 | 73 | |||||
THFC Funding No. 1 plc, (United Kingdom), Reg. S, 5.13%, 12/21/2035 | GBP | 50 | 91 | |||||
Visa, Inc., 2.70%, 04/15/2040 | 190 | 194 | ||||||
Wellcome Trust Finance plc, (United Kingdom), Reg. S, 4.63%, 07/25/2036 | GBP | 225 | 424 | |||||
Western Union Co. (The), 1.35%, 03/15/2026 | 1,900 | 1,872 | ||||||
|
| |||||||
31,961 | ||||||||
|
| |||||||
Insurance 0.8% | ||||||||
Aflac, Inc., 4.75%, 01/15/2049 | 145 | 189 | ||||||
Ageas SA, (Belgium), Reg. S, (ICE LIBOR EUR 3 Month + 3.10%), 1.88%, 11/24/2051 (aa) | EUR | 400 | 468 | |||||
Alleghany Corp., 3.25%, 08/15/2051 | 105 | 103 | ||||||
Allianz SE, (Germany), Reg. S, (ICE EURIBOR Swap Rate 10 Year + 3.20%), 3.38%, 09/18/2024 (x) (aa) | EUR | 2,400 | 3,010 | |||||
American International Group, Inc., 3.40%, 06/30/2030 | 3,880 | 4,230 | ||||||
Aon Corp., 2.80%, 05/15/2030 | 50 | 52 | ||||||
Aon plc, (Ireland), 4.60%, 06/14/2044 | 10 | 12 | ||||||
Aquarius & Investments plc for Zurich Insurance Co. Ltd., (Ireland), Reg. S, (ICE LIBOR EUR 3 Month + 3.45%), 4.25%, 10/02/2043 (aa) | EUR | 100 | 125 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Insurance continued | ||||||||
Assicurazioni Generali SpA, (Italy), | ||||||||
Reg. S, 3.88%, 01/29/2029 | EUR | 500 | 686 | |||||
Reg. S, 4.13%, 05/04/2026 | EUR | 100 | 135 | |||||
Athene Global Funding, 2.50%, 01/14/2025 (e) | 20 | 21 | ||||||
Athene Holding Ltd., (Bermuda), 3.95%, 05/25/2051 | 50 | 55 | ||||||
Aviva plc, (United Kingdom), | ||||||||
Reg. S, (UK Gilts 5 Year + 4.70%), 4.00%, 06/03/2055 (aa) | GBP | 425 | 622 | |||||
Reg. S, (UK Gilts 5 Year + 2.85%), 6.13%, 11/14/2036 (aa) | GBP | 230 | 371 | |||||
AXA SA, (France), | ||||||||
Reg. S, (ICE LIBOR EUR 3 Month + 2.40%), 1.38%, 10/07/2041 (aa) | EUR | 625 | 723 | |||||
(ICE LIBOR GBP 3 Month + 2.75%), Reg. S, 6.69%, 07/06/2026 (x) (aa) | GBP | 375 | 618 | |||||
Berkshire Hathaway Finance Corp., 2.38%, 06/19/2039 | GBP | 425 | 598 | |||||
Berkshire Hathaway, Inc., 0.00%, 03/12/2025 | EUR | 1,000 | 1,162 | |||||
BNP Paribas Cardif SA, (France), Reg. S, 1.00%, 11/29/2024 | EUR | 1,000 | 1,186 | |||||
Brown & Brown, Inc., 4.20%, 09/15/2024 | 65 | 71 | ||||||
Chubb INA Holdings, Inc., 1.55%, 03/15/2028 | EUR | 2,000 | 2,487 | |||||
CNA Financial Corp., 2.05%, 08/15/2030 | 2,500 | 2,447 | ||||||
CNP Assurances, (France), Reg. S, 0.38%, 03/08/2028 | EUR | 400 | 454 | |||||
Credit Agricole Assurances SA, (France), | ||||||||
Reg. S, 2.00%, 07/17/2030 | EUR | 1,200 | 1,455 | |||||
Reg. S, (EUR Swap Rate 5 Year + 4.35%), 4.50%, 10/14/2025 (x) (aa) | EUR | 100 | 132 | |||||
Enstar Group Ltd., (Bermuda), 4.95%, 06/01/2029 | 90 | 102 | ||||||
Everest Reinsurance Holdings, Inc., 3.50%, 10/15/2050 | 745 | 791 | ||||||
Fairfax Financial Holdings Ltd., (Canada), | ||||||||
3.38%, 03/03/2031 (e) | 2,000 | 2,072 | ||||||
4.63%, 04/29/2030 | 27 | 30 | ||||||
First American Financial Corp., 2.40%, 08/15/2031 | 100 | 97 | ||||||
Helvetia Europe SA, (Luxembourg), Reg. S, (EUR Swap Rate 5 Year + 3.95%), 2.75%, 09/30/2041 (aa) | EUR | 1,500 | 1,890 | |||||
Legal & General Finance plc, (United Kingdom), Reg. S, 5.88%, 04/05/2033 | GBP | 225 | 427 | |||||
Legal & General Group plc, (United Kingdom), | ||||||||
Reg. S, (UK Gilts 5 Year + 5.25%), 4.50%, 11/01/2050 (aa) | GBP | 425 | 643 | |||||
Reg. S, (UK Gilts 5 Year + 4.58%), 5.38%, 10/27/2045 (aa) | GBP | 300 | 460 | |||||
Liberty Mutual Finance Europe DAC, (Ireland), Reg. S, 1.75%, 03/27/2024 | EUR | 2,000 | 2,414 | |||||
Liberty Mutual Group, Inc., 3.95%, 10/15/2050 (e) | 830 | 919 | ||||||
Loews Corp., 3.20%, 05/15/2030 | 10 | 11 | ||||||
M&G plc, (United Kingdom), Reg. S, (UK Gilts 5 Year + 4.16%), 5.56%, 07/20/2055 (aa) | GBP | 425 | 674 | |||||
Markel Corp., | ||||||||
3.45%, 05/07/2052 | 1,000 | 1,035 | ||||||
3.50%, 11/01/2027 | 5 | 5 | ||||||
Marsh & McLennan Cos., Inc., | ||||||||
1.98%, 03/21/2030 | EUR | 3,150 | 4,044 | |||||
4.20%, 03/01/2048 | 190 | 232 | ||||||
4.75%, 03/15/2039 | 179 | 225 | ||||||
4.90%, 03/15/2049 | 65 | 87 | ||||||
MetLife, Inc., 4.05%, 03/01/2045 | 75 | 89 | ||||||
Metropolitan Life Global Funding I, | ||||||||
Reg. S, 0.38%, 04/09/2024 | EUR | 1,125 | 1,324 | |||||
Reg. S, 0.55%, 06/16/2027 | EUR | 775 | 921 | |||||
Reg. S, 1.63%, 09/21/2029 | GBP | 1,125 | 1,528 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Insurance continued | ||||||||
Mutuelle Assurance Des Commercants et Industriels de France et Des Cadres et Sal, (France), | ||||||||
Reg. S, 0.63%, 06/21/2027 | EUR | 1,000 | 1,151 | |||||
Reg. S, (ICE LIBOR EUR 3 Month + 3.45%), 2.13%, 06/21/2052 (aa) | EUR | 1,000 | 1,164 | |||||
NN Group NV, (Netherlands), Reg. S, (ICE LIBOR EUR 3 Month + 4.00%), 4.50%, 01/15/2026 (x) (aa) | EUR | 1,350 | 1,787 | |||||
Old Republic International Corp., 3.85%, 06/11/2051 | 105 | 113 | ||||||
Pension Insurance Corp. plc, (United Kingdom), Reg. S, 5.63%, 09/20/2030 | GBP | 1,121 | 1,821 | |||||
Phoenix Group Holdings plc, (United Kingdom), | ||||||||
Reg. S, 5.63%, 04/28/2031 | GBP | 1,400 | 2,257 | |||||
Reg. S, 6.63%, 12/18/2025 | GBP | 425 | 682 | |||||
Principal Financial Group, Inc., 3.10%, 11/15/2026 | 1,400 | 1,505 | ||||||
Progressive Corp. (The), 4.13%, 04/15/2047 | 170 | 204 | ||||||
Sampo OYJ, (Finland), | ||||||||
Reg. S, (ICE LIBOR EUR 3 Month + 3.60%), 2.50%, 09/03/2052 (aa) | EUR | 525 | 645 | |||||
Reg. S, (ICE LIBOR EUR 3 Month + 4.05%), 3.38%, 05/23/2049 (aa) | EUR | 675 | 891 | |||||
Storebrand Livsforsikring A/S, (Norway), Reg. S, (ICE LIBOR EUR 6 Month + 2.95%), 1.88%, 09/30/2051 (aa) | EUR | 600 | 682 | |||||
Unum Group, | ||||||||
4.00%, 06/15/2029 | 1,700 | 1,880 | ||||||
4.13%, 06/15/2051 | 900 | 909 | ||||||
W R Berkley Corp., | ||||||||
3.55%, 03/30/2052 | 20 | 21 | ||||||
4.00%, 05/12/2050 | 700 | 805 | ||||||
Willis North America, Inc., | ||||||||
2.95%, 09/15/2029 | 50 | 52 | ||||||
3.60%, 05/15/2024 | 100 | 107 | ||||||
XLIT Ltd., (Cayman Islands), (ICE LIBOR EUR 3 Month + 2.90%), 3.25%, 06/29/2047 (aa) | EUR | 1,300 | 1,689 | |||||
|
| |||||||
59,797 | ||||||||
|
| |||||||
Investment Companies 0.1% | ||||||||
Ares Capital Corp., | ||||||||
2.15%, 07/15/2026 | 230 | 230 | ||||||
3.25%, 07/15/2025 | 90 | 95 | ||||||
3.50%, 02/10/2023 | 92 | 95 | ||||||
3.88%, 01/15/2026 | 187 | 200 | ||||||
4.25%, 03/01/2025 | 165 | 177 | ||||||
Bain Capital Specialty Finance, Inc., 2.95%, 03/10/2026 | 140 | 143 | ||||||
EXOR NV, (Netherlands), | ||||||||
Reg. S, 0.88%, 01/19/2031 | EUR | 450 | 515 | |||||
Reg. S, 1.75%, 01/18/2028 | EUR | 500 | 621 | |||||
Reg. S, 2.13%, 12/02/2022 | EUR | 225 | 266 | |||||
FS KKR Capital Corp., | ||||||||
2.63%, 01/15/2027 | 225 | 225 | ||||||
3.40%, 01/15/2026 | 240 | 251 | ||||||
Goldman Sachs BDC, Inc., 2.88%, 01/15/2026 | 345 | 354 | ||||||
Investor AB, (Sweden), | ||||||||
Reg. S, 0.38%, 10/29/2035 | EUR | 425 | 465 | |||||
Reg. S, 1.50%, 09/12/2030 | EUR | 700 | 890 | |||||
Main Street Capital Corp., 3.00%, 07/14/2026 | 155 | 158 | ||||||
Owl Rock Capital Corp., | ||||||||
2.88%, 06/11/2028 | 10 | 10 | ||||||
3.40%, 07/15/2026 | 25 | 26 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Investment Companies continued | ||||||||
Prospect Capital Corp., | ||||||||
3.36%, 11/15/2026 | 75 | 76 | ||||||
3.44%, 10/15/2028 | 80 | 78 | ||||||
Wendel SE, (France), Reg. S, 1.00%, 06/01/2031 | EUR | 2,300 | 2,673 | |||||
|
| |||||||
7,548 | ||||||||
|
| |||||||
Private Equity 0.1% | ||||||||
3i Group plc, (United Kingdom), Reg. S, 5.75%, 12/03/2032 | GBP | 350 | 626 | |||||
Blackstone Property Partners Europe Holdings Sarl, (Luxembourg), | ||||||||
Reg. S, 0.50%, 09/12/2023 | EUR | 2,200 | 2,571 | |||||
Reg. S, 2.00%, 02/15/2024 | EUR | 500 | 602 | |||||
Hercules Capital, Inc., 2.63%, 09/16/2026 | 120 | 120 | ||||||
|
| |||||||
3,919 | ||||||||
|
| |||||||
Real Estate 0.4% | ||||||||
Acef Holding SCA, (Luxembourg), Reg. S, 0.75%, 06/14/2028 | EUR | 725 | 833 | |||||
Annington Funding plc, (United Kingdom), Reg. S, 1.65%, 07/12/2024 | EUR | 2,000 | 2,418 | |||||
Broadgate Financing plc, (United Kingdom), Series A4, Reg. S, 4.82%, 07/05/2033 | GBP | 50 | 86 | |||||
CBRE Global Investors Open-Ended Fund SCA SICAV-SIF Pan European Core Fund, (Luxembourg), Reg. S, 0.50%, 01/27/2028 | EUR | 775 | 888 | |||||
CBRE Services, Inc., 2.50%, 04/01/2031 | 425 | 428 | ||||||
Citycon Treasury BV, (Netherlands), Reg. S, 2.50%, 10/01/2024 | EUR | 1,575 | 1,943 | |||||
Clarion Funding plc, (United Kingdom), Reg. S, 2.63%, 01/18/2029 | GBP | 100 | 144 | |||||
CTP NV, (Netherlands), | ||||||||
Reg. S, 0.63%, 11/27/2023 | EUR | 750 | 879 | |||||
Reg. S, 0.63%, 09/27/2026 | EUR | 1,800 | 2,086 | |||||
Reg. S, 1.25%, 06/21/2029 | EUR | 300 | 349 | |||||
Reg. S, 1.50%, 09/27/2031 | EUR | 800 | 916 | |||||
Essential Properties LP, 2.95%, 07/15/2031 | 70 | 70 | ||||||
Fastighets AB Balder, (Sweden), Reg. S, 1.88%, 01/23/2026 | EUR | 1,000 | 1,223 | |||||
Heimstaden Bostad AB, (Sweden), Reg. S, 1.13%, 01/21/2026 | EUR | 1,200 | 1,429 | |||||
Logicor 2019-1 UK plc, (United Kingdom), Reg. S, 1.88%, 11/17/2026 | GBP | 425 | 590 | |||||
Logicor Financing Sarl, (Luxembourg), | ||||||||
Reg. S, 0.75%, 07/15/2024 | EUR | 1,500 | 1,767 | |||||
Reg. S, 1.50%, 07/13/2026 | EUR | 1,200 | 1,457 | |||||
London & Quadrant Housing Trust, (United Kingdom), | ||||||||
Reg. S, 2.00%, 10/20/2038 | GBP | 425 | 560 | |||||
Reg. S, 2.63%, 02/28/2028 | GBP | 625 | 898 | |||||
Reg. S, 2.75%, 07/20/2057 | GBP | 225 | 331 | |||||
Meadowhall Finance plc, (United Kingdom), Series A1, Reg. S, 4.99%, 01/12/2032 | GBP | 31 | 49 | |||||
Notting Hill Genesis, (United Kingdom), Reg. S, 2.00%, 06/03/2036 | GBP | 300 | 394 | |||||
Ontario Teachers Cadillac Fairview Properties Trust, (Canada), 4.13%, 02/01/2029 (e) | 2,100 | 2,358 | ||||||
Orbit Capital plc, (United Kingdom), Reg. S, 3.38%, 06/14/2048 | GBP | 425 | 682 | |||||
Sagax Euro Mtn NL BV, (Netherlands), Reg. S, 1.00%, 05/17/2029 | EUR | 3,300 | 3,806 | |||||
Samhallsbyggnadsbolaget i Norden AB, (Sweden), | ||||||||
Reg. S, 1.00%, 08/12/2027 | EUR | 1,575 | 1,856 | |||||
Reg. S, 1.75%, 01/14/2025 | EUR | 850 | 1,031 | |||||
Tesco Property Finance 1 plc, (United Kingdom), Reg. S, 7.62%, 07/13/2039 | GBP | 83 | 163 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Real Estate continued | ||||||||
Tesco Property Finance 3 plc, (United Kingdom), Reg. S, 5.74%, 04/13/2040 | GBP | 47 | 83 | |||||
Trafford Centre Finance Ltd. (The), (Cayman Islands), Series A2, Reg. S, 6.50%, 07/28/2033 | GBP | 37 | 60 | |||||
Vonovia Finance BV, (Netherlands), | ||||||||
Reg. S, 0.63%, 07/09/2026 | EUR | 300 | 354 | |||||
Reg. S, 0.88%, 07/03/2023 | EUR | 100 | 118 | |||||
Reg. S, 1.63%, 04/07/2024 | EUR | 500 | 602 | |||||
|
| |||||||
30,851 | ||||||||
|
| |||||||
REITS 0.7% | ||||||||
Aedifica SA, (Belgium), Reg. S, 0.75%, 09/09/2031 | EUR | 600 | 683 | |||||
Alexandria Real Estate Equities, Inc., 1.88%, 02/01/2033 | 40 | 38 | ||||||
Altarea SCA, (France), Reg. S, 1.75%, 01/16/2030 | EUR | 200 | 230 | |||||
American Campus Communities Operating Partnership LP, 3.30%, 07/15/2026 | 20 | 21 | ||||||
American Homes 4 Rent LP, 3.38%, 07/15/2051 | 15 | 15 | ||||||
American Tower Corp., | ||||||||
0.88%, 05/21/2029 | EUR | 1,500 | 1,747 | |||||
1.00%, 01/15/2032 | EUR | 3,000 | 3,447 | |||||
1.30%, 09/15/2025 | 60 | 60 | ||||||
1.38%, 04/04/2025 | EUR | 1,050 | 1,266 | |||||
2.70%, 04/15/2031 | 50 | 51 | ||||||
3.38%, 05/15/2024 | 25 | 27 | ||||||
Brixmor Operating Partnership LP, | ||||||||
2.50%, 08/16/2031 | 20 | 20 | ||||||
4.05%, 07/01/2030 | 1,175 | 1,311 | ||||||
4.13%, 06/15/2026 | 2,300 | 2,546 | ||||||
4.13%, 05/15/2029 | 875 | 985 | ||||||
Camden Property Trust, 3.35%, 11/01/2049 | 10 | 11 | ||||||
Crown Castle International Corp., | ||||||||
1.35%, 07/15/2025 | 200 | 201 | ||||||
2.50%, 07/15/2031 | 30 | 30 | ||||||
2.90%, 04/01/2041 | 50 | 48 | ||||||
Digital Realty Trust LP, 4.75%, 10/01/2025 | 50 | 56 | ||||||
Digital Stout Holding LLC, Reg. S, 3.75%, 10/17/2030 | GBP | 1,050 | 1,595 | |||||
Equinix, Inc., | ||||||||
1.00%, 03/15/2033 | EUR | 1,000 | 1,149 | |||||
2.63%, 11/18/2024 | 120 | 126 | ||||||
ERP Operating LP, 2.85%, 11/01/2026 | 50 | 53 | ||||||
GLP Capital LP / GLP Financing II, Inc., | ||||||||
3.35%, 09/01/2024 | 20 | 21 | ||||||
4.00%, 01/15/2030 | 5 | 5 | ||||||
4.00%, 01/15/2031 | 284 | 307 | ||||||
5.30%, 01/15/2029 | 135 | 158 | ||||||
5.38%, 11/01/2023 | 30 | 33 | ||||||
5.75%, 06/01/2028 | 60 | 70 | ||||||
Hammerson plc, (United Kingdom), Reg. S, 7.25%, 04/21/2028 | GBP | 400 | 673 | |||||
Healthpeak Properties, Inc., 3.00%, 01/15/2030 | 1,400 | 1,475 | ||||||
Invitation Homes Operating Partnership LP, 2.00%, 08/15/2031 | 50 | 48 | ||||||
Kimco Realty Corp., 2.70%, 10/01/2030 | 1,900 | 1,951 | ||||||
Life Storage LP, 3.88%, 12/15/2027 | 50 | 56 | ||||||
LifeStorage LP, 3.50%, 07/01/2026 | 205 | 223 | ||||||
MPT Operating Partnership LP / MPT Finance Corp., 0.99%, 10/15/2026 (w) | EUR | 1,650 | 1,913 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
REITS continued | ||||||||
Office Properties Income Trust, | ||||||||
2.65%, 06/15/2026 | 15 | 15 | ||||||
3.45%, 10/15/2031 | 230 | 225 | ||||||
Omega Healthcare Investors, Inc., 4.50%, 04/01/2027 | 36 | 40 | ||||||
Prologis Euro Finance LLC, 0.25%, 09/10/2027 | EUR | 1,425 | 1,652 | |||||
Prologis LP, | ||||||||
2.13%, 10/15/2050 | 20 | 17 | ||||||
2.25%, 06/30/2029 | GBP | 600 | 848 | |||||
3.25%, 10/01/2026 | 50 | 54 | ||||||
Public Storage, | ||||||||
0.88%, 02/15/2026 | 100 | 99 | ||||||
2.30%, 05/01/2031 | 230 | 233 | ||||||
3.09%, 09/15/2027 | 220 | 240 | ||||||
3.39%, 05/01/2029 | 145 | 159 | ||||||
Rayonier LP, 2.75%, 05/17/2031 | 145 | 144 | ||||||
Realty Income Corp., | ||||||||
1.63%, 12/15/2030 | GBP | 100 | 132 | |||||
3.00%, 01/15/2027 | 2,000 | 2,141 | ||||||
3.88%, 07/15/2024 | 100 | 108 | ||||||
3.88%, 04/15/2025 | 100 | 110 | ||||||
1.75%, 07/13/2033 | GBP | 1,100 | 1,448 | |||||
Segro Capital Sarl, (Luxembourg), Reg. S, 0.50%, 09/22/2031 | EUR | 1,700 | 1,925 | |||||
Simon International Finance SCA, (Luxembourg), | ||||||||
Reg. S, 1.13%, 03/19/2033 | EUR | 1,000 | 1,164 | |||||
Reg. S, 1.25%, 05/13/2025 | EUR | 425 | 515 | |||||
Simon Property Group LP, | ||||||||
1.38%, 01/15/2027 | 70 | 69 | ||||||
2.25%, 01/15/2032 | 2,170 | 2,113 | ||||||
3.50%, 09/01/2025 | 80 | 87 | ||||||
UDR, Inc., 3.00%, 08/15/2031 | 140 | 146 | ||||||
Unibail-Rodamco-Westfield SE, (France), Reg. S, 1.38%, 12/04/2031 | EUR | 800 | 960 | |||||
Ventas Realty LP, 4.13%, 01/15/2026 | 2,300 | 2,540 | ||||||
VEREIT Operating Partnership LP, | ||||||||
2.85%, 12/15/2032 | 800 | 830 | ||||||
3.10%, 12/15/2029 | 800 | 851 | ||||||
Welltower, Inc., | ||||||||
2.75%, 01/15/2031 | 50 | 51 | ||||||
3.10%, 01/15/2030 | 2,400 | 2,535 | ||||||
4.50%, 01/15/2024 | 3,500 | 3,758 | ||||||
4.50%, 12/01/2034 | GBP | 300 | 491 | |||||
4.80%, 11/20/2028 | GBP | 850 | 1,362 | |||||
Weyerhaeuser Co., | ||||||||
4.00%, 11/15/2029 | 35 | 39 | ||||||
4.00%, 04/15/2030 | 1,500 | 1,693 | ||||||
WP Carey, Inc., 2.25%, 04/01/2033 | 1,000 | 954 | ||||||
WPC Eurobond BV, (Netherlands), | ||||||||
0.95%, 06/01/2030 | EUR | 1,800 | 2,055 | |||||
1.35%, 04/15/2028 | EUR | 425 | 509 | |||||
|
| |||||||
54,961 | ||||||||
|
|
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Savings & Loans 0.0% (g) | ||||||||
Coventry Building Society, (United Kingdom), Reg. S, 0.01%, 07/07/2028 | EUR | 100 | 116 | |||||
Nationwide Building Society, (United Kingdom), | ||||||||
Reg. S, 0.63%, 03/25/2027 | EUR | 100 | 120 | |||||
Reg. S, 5.63%, 01/28/2026 | GBP | 100 | 162 | |||||
Yorkshire Building Society, (United Kingdom), Reg. S, 0.01%, 10/13/2027 | EUR | 100 | 116 | |||||
|
| |||||||
514 | ||||||||
|
| |||||||
Total Financial | 581,101 | |||||||
|
| |||||||
Government 1.8% | ||||||||
Multi-National 0.9% | ||||||||
African Development Bank, (Supranational), | ||||||||
0.25%, 11/21/2024 | EUR | 925 | 1,092 | |||||
0.88%, 05/24/2028 | EUR | 200 | 246 | |||||
1.63%, 09/16/2022 | 65 | 66 | ||||||
Asian Development Bank, (Supranational), | ||||||||
Reg. S, 0.03%, 01/31/2030 | EUR | 1,850 | 2,137 | |||||
1.63%, 01/24/2023 | 330 | 336 | ||||||
1.75%, 09/13/2022 | 270 | 274 | ||||||
2.63%, 01/30/2024 | 258 | 271 | ||||||
Council Of Europe Development Bank, (Supranational), | ||||||||
Reg. S, 0.38%, 10/27/2022 | EUR | 725 | 848 | |||||
Reg. S, 0.38%, 03/27/2025 | EUR | 175 | 208 | |||||
Reg. S, 0.63%, 01/30/2029 | EUR | 800 | 976 | |||||
Reg. S, 0.75%, 06/09/2025 | EUR | 50 | 61 | |||||
Erste Abwicklungsanstalt, (Germany), Reg. S, 0.01%, 11/03/2023 | EUR | 1,000 | 1,169 | |||||
EUROFIMA, (Supranational), | ||||||||
Reg. S, 0.25%, 04/25/2023 | EUR | 825 | 966 | |||||
4.55%, 03/30/2027 | CAD | 400 | 359 | |||||
5.50%, 06/07/2032 | GBP | 300 | 557 | |||||
European Bank for Reconstruction & Development, (Supranational), | ||||||||
0.25%, 07/10/2023 | 95 | 95 | ||||||
6.45%, 12/13/2022 | IDR | 10,000,000 | 714 | |||||
European Investment Bank, (Supranational), | ||||||||
0.00%, 10/16/2023 | EUR | 3,200 | 3,749 | |||||
0.00%, 03/15/2024 | EUR | 300 | 352 | |||||
0.00%, 03/25/2025 | EUR | 10,200 | 12,007 | |||||
Reg. S, 0.00%, 03/13/2026 | EUR | 700 | 825 | |||||
Reg. S, 0.00%, 06/17/2027 | EUR | 1,500 | 1,767 | |||||
Zero Coupon, 05/28/2037 (e) | CAD | 150 | 76 | |||||
Reg. S, 0.01%, 11/15/2035 | EUR | 200 | 221 | |||||
Reg. S, 0.05%, 05/24/2024 | EUR | 2,000 | 2,352 | |||||
0.05%, 01/16/2030 | EUR | 1,500 | 1,755 | |||||
Reg. S, 0.25%, 06/15/2040 | EUR | 50 | 56 | |||||
Reg. S, 0.38%, 04/14/2026 | EUR | 3,000 | 3,595 | |||||
0.63%, 07/25/2025 | 100 | 99 | ||||||
Reg. S, 0.88%, 12/15/2023 | GBP | 1,375 | 1,868 | |||||
0.88%, 09/13/2047 | EUR | 100 | 124 | |||||
Reg. S, 1.00%, 04/14/2032 | EUR | 1,675 | 2,127 | |||||
Reg. S, 1.00%, 11/14/2042 | EUR | 2,475 | 3,164 | |||||
Reg. S, 1.13%, 09/15/2036 | EUR | 2,050 | 2,631 | |||||
Reg. S, 1.38%, 03/07/2025 | GBP | 100 | 138 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Multi-National continued | ||||||||
1.50%, 10/16/2048 | EUR | 445 | 631 | |||||
1.63%, 03/14/2025 | 200 | 206 | ||||||
Reg. S, 2.25%, 10/14/2022 | EUR | 4,100 | 4,890 | |||||
Reg. S, 2.50%, 10/31/2022 | GBP | 1,000 | 1,379 | |||||
2.50%, 03/15/2023 | 180 | 186 | ||||||
2.75%, 09/13/2030 | EUR | 130 | 188 | |||||
Reg. S, 3.00%, 09/28/2022 | EUR | 4,600 | 5,519 | |||||
3.13%, 12/14/2023 | 250 | 265 | ||||||
3.25%, 01/29/2024 | 315 | 336 | ||||||
Reg. S, 3.63%, 03/14/2042 | EUR | 25 | 47 | |||||
Reg. S, 4.50%, 03/07/2044 | GBP | 1,100 | 2,317 | |||||
Reg. S, 6.27%, 08/28/2024 | IDR | 10,000,000 | 720 | |||||
Series 1981, 2.63%, 03/15/2035 | EUR | 40 | 60 | |||||
Series DIP, Reg. S, 4.63%, 10/12/2054 | GBP | 555 | 1,332 | |||||
FMS Wertmanagement, (Germany), Reg. S, 1.13%, 03/20/2023 | GBP | 1,200 | 1,634 | |||||
Inter-American Development Bank, (Supranational), 1.25%, 12/15/2023 | GBP | 1,650 | 2,259 | |||||
2.13%, 01/15/2025 | 290 | 304 | ||||||
2.50%, 01/18/2023 | 230 | 237 | ||||||
2.63%, 01/16/2024 | 130 | 136 | ||||||
3.00%, 02/21/2024 | 200 | 212 | ||||||
7.88%, 03/14/2023 | IDR | 10,000,000 | 731 | |||||
International Finance Corp., (Supranational), 2.88%, 07/31/2023 | 80 | 84 | ||||||
North American Development Bank, (Supranational), | ||||||||
Reg. S, 0.20%, 11/28/2028 | CHF | 200 | 217 | |||||
2.40%, 10/26/2022 | 303 | 309 | ||||||
|
| |||||||
71,480 | ||||||||
|
| |||||||
Municipal 0.0% (g) | ||||||||
Transport for London, (United Kingdom), | ||||||||
Reg. S, 4.00%, 09/12/2033 | GBP | 500 | 816 | |||||
5.00%, 03/31/2035 | GBP | 300 | 515 | |||||
|
| |||||||
1,331 | ||||||||
|
| |||||||
Regional (State/Province) 0.0% (g) | ||||||||
KAF Kaerntner Ausgleichszahlungs-Fonds, (Austria), Reg. S, Zero Coupon, 01/14/2032 | EUR | 560 | 620 | |||||
UK Municipal Bonds Agency Finance Co. Designated Activity Co., (Ireland), Reg. S, 1.63%, 08/26/2060 | GBP | 100 | 121 | |||||
|
| |||||||
741 | ||||||||
|
| |||||||
Sovereign 0.9% | ||||||||
European Financial Stability Facility, (Luxembourg), | ||||||||
Reg. S, 0.00%, 10/13/2027 | EUR | 1,325 | 1,556 | |||||
Reg. S, 0.05%, 01/18/2052 | EUR | 500 | 487 | |||||
Reg. S, 0.13%, 10/17/2023 | EUR | 3,500 | 4,109 | |||||
Reg. S, 0.40%, 02/17/2025 | EUR | 1,000 | 1,192 | |||||
Reg. S, 0.50%, 01/20/2023 | EUR | 3,425 | 4,024 | |||||
Reg. S, 0.50%, 07/11/2025 | EUR | 1,000 | 1,199 | |||||
Reg. S, 0.63%, 10/16/2026 | EUR | 100 | 121 | |||||
Reg. S, 0.70%, 01/20/2050 | EUR | 1,300 | 1,531 | |||||
Reg. S, 0.88%, 04/10/2035 | EUR | 1,500 | 1,862 | |||||
Reg. S, 1.20%, 02/17/2045 | EUR | 1,225 | 1,600 | |||||
Reg. S, 1.45%, 09/05/2040 | EUR | 170 | 230 | |||||
Reg. S, 1.75%, 07/17/2053 | EUR | 1,050 | 1,587 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Sovereign continued | ||||||||
Reg. S, 2.25%, 09/05/2022 | EUR | 3,700 | 4,400 | |||||
Reg. S, 2.75%, 12/03/2029 | EUR | 520 | 741 | |||||
European Stability Mechanism, (Supranational), | ||||||||
Reg. S, 0.00%, 10/18/2022 | EUR | 2,000 | 2,331 | |||||
Reg. S, 0.00%, 02/10/2023 | EUR | 100 | 117 | |||||
Reg. S, 0.10%, 07/31/2023 | EUR | 2,000 | 2,344 | |||||
Reg. S, 0.50%, 03/02/2026 | EUR | 1,400 | 1,683 | |||||
Reg. S, 0.75%, 09/05/2028 | EUR | 1,450 | 1,785 | |||||
Reg. S, 0.88%, 07/18/2042 | EUR | 20 | 24 | |||||
Reg. S, 1.75%, 10/20/2045 | EUR | 550 | 807 | |||||
Reg. S, 1.80%, 11/02/2046 | EUR | 920 | 1,371 | |||||
Reg. S, 1.85%, 12/01/2055 | EUR | 80 | 127 | |||||
Reg. S, 2.13%, 11/20/2023 | EUR | 700 | 857 | |||||
European Union, (Supranational), | ||||||||
Reg. S, 0.00%, 07/06/2026 | EUR | 1,000 | 1,181 | |||||
Reg. S, 0.00%, 04/22/2031 | EUR | 3,000 | 3,474 | |||||
Reg. S, 0.25%, 04/22/2036 | EUR | 1,500 | 1,711 | |||||
Reg. S, 0.50%, 04/04/2025 | EUR | 1,875 | 2,246 | |||||
Reg. S, 0.63%, 11/04/2023 | EUR | 925 | 1,098 | |||||
Reg. S, 0.70%, 07/06/2051 | EUR | 1,000 | 1,187 | |||||
Reg. S, 0.75%, 04/04/2031 | EUR | 2,025 | 2,512 | |||||
Reg. S, 1.13%, 04/04/2036 | EUR | 665 | 854 | |||||
Reg. S, 3.75%, 04/04/2042 | EUR | 15 | 28 | |||||
Series SURE, Reg. S, 0.00%, 11/04/2025 | EUR | 2,698 | 3,183 | |||||
Series SURE, Reg. S, 0.00%, 06/02/2028 | EUR | 2,000 | 2,351 | |||||
Series SURE, Reg. S, 0.00%, 07/04/2035 | EUR | 350 | 389 | |||||
Series SURE, Reg. S, 0.10%, 10/04/2040 | EUR | 3,975 | 4,291 | |||||
Series SURE, Reg. S, 0.20%, 06/04/2036 | EUR | 1,000 | 1,133 | |||||
Series SURE, Reg. S, 0.30%, 11/04/2050 | EUR | 1,220 | 1,304 | |||||
HM Treasury UK Sovereign Sukuk plc, (United Kingdom), Reg. S, 0.33%, 07/22/2026 | GBP | 400 | 531 | |||||
LCR Finance plc, (United Kingdom), | ||||||||
Reg. S, 4.50%, 12/07/2028 | GBP | 300 | 499 | |||||
Reg. S, 4.50%, 12/07/2038 | GBP | 110 | 215 | |||||
5.10%, 03/07/2051 | GBP | 50 | 122 | |||||
|
| |||||||
64,394 | ||||||||
|
| |||||||
Total Government | 137,946 | |||||||
|
| |||||||
Industrial 1.1% | ||||||||
Aerospace/Defense 0.1% | ||||||||
Airbus SE, (Netherlands), | ||||||||
Reg. S, 2.00%, 04/07/2028 | EUR | 100 | 127 | |||||
Reg. S, 2.38%, 06/09/2040 | EUR | 900 | 1,187 | |||||
BAE Systems plc, (United Kingdom), 1.90%, 02/15/2031 (e) | 1,350 | 1,293 | ||||||
Boeing Co. (The), 4.51%, 05/01/2023 | 250 | 264 | ||||||
4.88%, 05/01/2025 | 200 | 223 | ||||||
5.71%, 05/01/2040 | 2,300 | 2,930 | ||||||
5.81%, 05/01/2050 | 105 | 139 | ||||||
5.93%, 05/01/2060 | 30 | 41 | ||||||
General Dynamics Corp., 2.25%, 06/01/2031 | 100 | 102 | ||||||
Raytheon Technologies Corp., 3.20%, 03/15/2024 | 30 | 32 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Aerospace/Defense continued | ||||||||
3.95%, 08/16/2025 | 140 | 154 | ||||||
7.20%, 08/15/2027 | 20 | 26 | ||||||
Teledyne Technologies, Inc., 2.75%, 04/01/2031 | 795 | 813 | ||||||
|
| |||||||
7,331 | ||||||||
|
| |||||||
Building Materials 0.2% | ||||||||
Buzzi Unicem SpA, (Italy), Reg. S, 2.13%, 04/28/2023 | EUR | 1,225 | 1,461 | |||||
Carrier Global Corp., | ||||||||
2.24%, 02/15/2025 | 20 | 21 | ||||||
2.49%, 02/15/2027 | 10 | 10 | ||||||
2.72%, 02/15/2030 | 50 | 52 | ||||||
3.38%, 04/05/2040 | 60 | 63 | ||||||
3.58%, 04/05/2050 | 85 | 90 | ||||||
Danfoss Finance I BV, (Netherlands), Reg. S, 0.13%, 04/28/2026 | EUR | 1,850 | 2,140 | |||||
Eagle Materials, Inc., 2.50%, 07/01/2031 | 290 | 288 | ||||||
Fortune Brands Home & Security, Inc., 3.25%, 09/15/2029 | 31 | 33 | ||||||
HeidelbergCement Finance Luxembourg SA, (Luxembourg), | ||||||||
Reg. S, 1.13%, 12/01/2027 | EUR | 25 | 30 | |||||
Reg. S, 2.50%, 10/09/2024 | EUR | 30 | 38 | |||||
Lennox International, Inc., 1.35%, 08/01/2025 | 27 | 27 | ||||||
Martin Marietta Materials, Inc., | ||||||||
2.40%, 07/15/2031 | 145 | 146 | ||||||
3.20%, 07/15/2051 | 130 | 129 | ||||||
4.25%, 07/02/2024 | 4,540 | 4,925 | ||||||
Mohawk Capital Finance SA, (Luxembourg), 1.75%, 06/12/2027 | EUR | 400 | 497 | |||||
Owens Corning, | ||||||||
3.88%, 06/01/2030 | 100 | 110 | ||||||
3.95%, 08/15/2029 | 1,000 | 1,115 | ||||||
Vulcan Materials Co., | ||||||||
3.50%, 06/01/2030 | 60 | 66 | ||||||
4.50%, 04/01/2025 | 10 | 11 | ||||||
4.70%, 03/01/2048 | 900 | 1,105 | ||||||
|
| |||||||
12,357 | ||||||||
|
| |||||||
Electrical Components & Equipments 0.1% | ||||||||
Eaton Capital Unlimited Co., (Ireland), Reg. S, 0.70%, 05/14/2025 | EUR | 1,325 | 1,573 | |||||
Schneider Electric SE, (France), Reg. S, 1.50%, 09/08/2023 | EUR | 1,000 | 1,195 | |||||
Signify NV, (Netherlands), | ||||||||
Reg. S, 2.00%, 05/11/2024 | EUR | 550 | 668 | |||||
Reg. S, 2.38%, 05/11/2027 | EUR | 175 | 224 | |||||
|
| |||||||
3,660 | ||||||||
|
| |||||||
Electronics 0.0% (g) | ||||||||
Agilent Technologies, Inc., | ||||||||
2.10%, 06/04/2030 | 282 | 280 | ||||||
2.30%, 03/12/2031 | 120 | 120 | ||||||
2.75%, 09/15/2029 | 60 | 63 | ||||||
3.05%, 09/22/2026 | 100 | 107 | ||||||
Allegion US Holding Co., Inc., 3.20%, 10/01/2024 | 85 | 90 | ||||||
Amphenol Corp., 2.80%, 02/15/2030 | 147 | 154 | ||||||
Amphenol Technologies Holding GmbH, (Germany), Reg. S, 0.75%, 05/04/2026 | EUR | 1,325 | 1,580 | |||||
Arrow Electronics, Inc., 3.88%, 01/12/2028 | 20 | 21 | ||||||
Flex Ltd., (Singapore), 3.75%, 02/01/2026 | 25 | 27 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Electronics continued | ||||||||
Keysight Technologies, Inc., | ||||||||
4.55%, 10/30/2024 | 200 | 221 | ||||||
4.60%, 04/06/2027 | 55 | 63 | ||||||
SYNNEX Corp., | ||||||||
1.75%, 08/09/2026 (e) | 65 | 64 | ||||||
2.65%, 08/09/2031 (e) | 195 | 191 | ||||||
Trimble, Inc., | ||||||||
4.15%, 06/15/2023 | 100 | 105 | ||||||
4.90%, 06/15/2028 | 235 | 272 | ||||||
|
| |||||||
3,358 | ||||||||
|
| |||||||
Engineering & Construction 0.1% | ||||||||
Aeroporti di Roma SpA, (Italy), Series A4, 5.44%, 02/20/2023 | GBP | 50 | 71 | |||||
Aeroports de Paris, (France), | ||||||||
Reg. S, 1.00%, 01/05/2029 | EUR | 300 | 363 | |||||
Reg. S, 1.50%, 07/02/2032 | EUR | 100 | 124 | |||||
Reg. S, 2.75%, 04/02/2030 | EUR | 1,200 | 1,640 | |||||
Cellnex Finance Co. SA, (Spain), Reg. S, 2.00%, 02/15/2033 | EUR | 1,200 | 1,358 | |||||
Heathrow Funding Ltd., (Jersey), | ||||||||
Reg. S, 4.63%, 10/31/2046 | GBP | 325 | 562 | |||||
Reg. S, 6.45%, 12/10/2031 | GBP | 225 | 408 | |||||
Reg. S, 6.75%, 12/03/2026 | GBP | 50 | 83 | |||||
Reg. S, 7.13%, 02/14/2024 | GBP | 425 | 645 | |||||
Royal Schiphol Group NV, (Netherlands), Reg. S, 0.38%, 09/08/2027 | EUR | 300 | 351 | |||||
Vantage Towers AG, (Germany), Reg. S, 0.38%, 03/31/2027 | EUR | 600 | 695 | |||||
Worley US Finance Sub Ltd., Reg. S, 0.88%, 06/09/2026 | EUR | 575 | 673 | |||||
|
| |||||||
6,973 | ||||||||
|
| |||||||
Environmental Control 0.0% (g) | ||||||||
Republic Services, Inc., 2.50%, 08/15/2024 | 50 | 52 | ||||||
Waste Connections, Inc., (Canada), | ||||||||
2.60%, 02/01/2030 | 200 | 206 | ||||||
4.25%, 12/01/2028 | 30 | 34 | ||||||
|
| |||||||
292 | ||||||||
|
| |||||||
Hand/Machine Tools 0.0% (g) | ||||||||
Snap-on, Inc., 3.10%, 05/01/2050 | 30 | 31 | ||||||
|
| |||||||
Machinery - Construction & Mining 0.0% (g) | ||||||||
Caterpillar Financial Services Corp., 0.80%, 11/13/2025 | 150 | 149 | ||||||
Caterpillar, Inc., 3.25%, 04/09/2050 | 90 | 97 | ||||||
Metso Outotec OYJ, (Finland), Reg. S, 0.88%, 05/26/2028 | EUR | 500 | 587 | |||||
Oshkosh Corp., 3.10%, 03/01/2030 | 5 | 6 | ||||||
|
| |||||||
839 | ||||||||
|
| |||||||
Machinery - Diversified 0.1% | ||||||||
Atlas Copco AB, (Sweden), Reg. S, 0.63%, 08/30/2026 | EUR | 425 | 508 | |||||
CNH Industrial Finance Europe SA, (Luxembourg), Reg. S, 0.00%, 04/01/2024 | EUR | 1,000 | 1,159 | |||||
IDEX Corp., | ||||||||
2.63%, 06/15/2031 | 140 | 142 | ||||||
3.00%, 05/01/2030 | 332 | 350 | ||||||
John Deere Cash Management SARL, (Luxembourg), | ||||||||
Reg. S, 1.38%, 04/02/2024 | EUR | 1,600 | 1,930 | |||||
Reg. S, 1.65%, 06/13/2039 | EUR | 425 | 559 | |||||
Reg. S, 2.20%, 04/02/2032 | EUR | 603 | 820 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Machinery - Diversified continued | ||||||||
Otis Worldwide Corp., | ||||||||
2.06%, 04/05/2025 | 20 | 21 | ||||||
3.36%, 02/15/2050 | 10 | 10 | ||||||
Rockwell Automation, Inc., | ||||||||
1.75%, 08/15/2031 | 55 | 53 | ||||||
2.80%, 08/15/2061 | 40 | 38 | ||||||
Westinghouse Air Brake Technologies Corp., | ||||||||
3.20%, 06/15/2025 | 50 | 53 | ||||||
4.40%, 03/15/2024 | 1,800 | 1,935 | ||||||
|
| |||||||
7,578 | ||||||||
|
| |||||||
Miscellaneous Manufacturers 0.1% | ||||||||
Alfa Laval Treasury International AB, (Sweden), Reg. S, 1.38%, 09/12/2022 | EUR | 900 | 1,055 | |||||
Alstom SA, (France), Reg. S, 0.00%, 01/11/2029 | EUR | 200 | 224 | |||||
General Electric Co., | ||||||||
4.25%, 05/01/2040 | 30 | 35 | ||||||
4.35%, 05/01/2050 | 5 | 6 | ||||||
5.25%, 12/07/2028 | GBP | 500 | 825 | |||||
Reg. S, 5.38%, 12/18/2040 | GBP | 4 | 8 | |||||
6.75%, 03/15/2032 | 50 | 68 | ||||||
Illinois Tool Works, Inc., 1.25%, 05/22/2023 | EUR | 1,025 | 1,213 | |||||
Parker-Hannifin Corp., | ||||||||
1.13%, 03/01/2025 | EUR | 850 | 1,015 | |||||
4.00%, 06/14/2049 | 25 | 29 | ||||||
Pentair Finance Sarl, (Luxembourg), 4.50%, 07/01/2029 | 2,000 | 2,292 | ||||||
Siemens Financieringsmaatschappij NV, (Netherlands), Reg. S, 0.30%, 02/28/2024 | EUR | 20 | 24 | |||||
Textron, Inc., 2.45%, 03/15/2031 | 1,900 | 1,902 | ||||||
Trane Technologies Luxembourg Finance SA, (Luxembourg), 4.50%, 03/21/2049 | 105 | 129 | ||||||
|
| |||||||
8,825 | ||||||||
|
| |||||||
Packaging & Containers 0.1% | ||||||||
Ball Corp., 0.88%, 03/15/2024 | EUR | 2,000 | 2,336 | |||||
DS Smith plc, (United Kingdom), Reg. S, 0.88%, 09/12/2026 | EUR | 2,300 | 2,725 | |||||
Packaging Corp. of America, 3.05%, 10/01/2051 | 35 | 35 | ||||||
Sealed Air Corp., 5.50%, 09/15/2025 (e) | 1,460 | 1,624 | ||||||
SIG Combibloc PurchaseCo. Sarl, (Luxembourg), Reg. S, 1.88%, 06/18/2023 | EUR | 2,000 | 2,384 | |||||
Smurfit Kappa Treasury ULC, (Ireland), Reg. S, 1.00%, 09/22/2033 | EUR | 950 | 1,093 | |||||
|
| |||||||
10,197 | ||||||||
|
| |||||||
Transportation 0.3% | ||||||||
AP Moller - Maersk A/S, (Denmark), | ||||||||
Reg. S, 1.75%, 03/16/2026 | EUR | 850 | 1,053 | |||||
Reg. S, 4.00%, 04/04/2025 | GBP | 800 | 1,183 | |||||
Brambles Finance Ltd., (Australia), Reg. S, 2.38%, 06/12/2024 | EUR | 425 | 522 | |||||
Burlington Northern Santa Fe LLC, | ||||||||
3.30%, 09/15/2051 | 20 | 22 | ||||||
4.15%, 04/01/2045 | 50 | 60 | ||||||
4.55%, 09/01/2044 | 170 | 214 | ||||||
4.95%, 09/15/2041 | 700 | 906 | ||||||
5.40%, 06/01/2041 | 70 | 95 | ||||||
Deutsche Bahn Finance GMBH, (Germany), | ||||||||
Reg. S, 0.10%, 01/28/2036 | CHF | 150 | 156 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Transportation continued | ||||||||
Reg. S, 0.50%, 04/09/2027 | EUR | 140 | 167 | |||||
Reg. S, 1.13%, 05/29/2051 | EUR | 112 | 128 | |||||
Reg. S, 1.38%, 03/28/2031 | EUR | 2,000 | 2,531 | |||||
Reg. S, 1.38%, 04/16/2040 | EUR | 50 | 61 | |||||
Reg. S, 1.50%, 08/26/2024 | CHF | 500 | 567 | |||||
Reg. S, 1.50%, 12/08/2032 | EUR | 200 | 258 | |||||
Reg. S, 1.63%, 08/16/2033 | EUR | 189 | 243 | |||||
1.99%, 07/08/2030 | AUD | 200 | 140 | |||||
Reg. S, 2.75%, 06/20/2022 | GBP | 500 | 686 | |||||
Reg. S, 3.50%, 09/27/2024 | AUD | 300 | 233 | |||||
Series CB, Reg. S, (EUR Swap Rate 5 Year + 1.89%), 1.60%, 07/18/2029 (x) (aa) | EUR | 1,700 | 2,015 | |||||
FedEx Corp., 0.45%, 05/04/2029 | EUR | 330 | 379 | |||||
Ferrovie dello Stato Italiane SpA, (Italy), Reg. S, 1.50%, 06/27/2025 | EUR | 810 | 990 | |||||
Ile-de-France Mobilites, (France), | ||||||||
Reg. S, 0.40%, 05/28/2031 | EUR | 200 | 233 | |||||
Reg. S, 1.00%, 05/25/2034 | EUR | 300 | 364 | |||||
Kansas City Southern, 4.20%, 11/15/2069 | 10 | 12 | ||||||
La Poste SA, (France), | ||||||||
Reg. S, 0.38%, 09/17/2027 | EUR | 100 | 118 | |||||
Reg. S, 0.63%, 10/21/2026 | EUR | 1,300 | 1,549 | |||||
Reg. S, 0.63%, 01/18/2036 | EUR | 600 | 662 | |||||
Reg. S, 1.38%, 04/21/2032 | EUR | 1,000 | 1,245 | |||||
Network Rail Infrastructure Finance plc, (United Kingdom), Reg. S, 4.38%, 12/09/2030 | GBP | 190 | 326 | |||||
Norfolk Southern Corp., 4.10%, 05/15/2121 | 15 | 17 | ||||||
OeBB-Infrastruktur AG, (Austria), | ||||||||
2.25%, 05/28/2029 | EUR | 325 | 439 | |||||
3.00%, 10/24/2033 | EUR | 100 | 152 | |||||
Reg. S, 3.38%, 05/18/2032 | EUR | 4 | 6 | |||||
Reg. S, 3.88%, 06/30/2025 | EUR | 80 | 107 | |||||
Reg. S, 4.88%, 06/27/2022 | EUR | 500 | 602 | |||||
United Parcel Service, Inc., | ||||||||
1.50%, 11/15/2032 | EUR | 1,125 | 1,426 | |||||
5.30%, 04/01/2050 | 120 | 173 | ||||||
|
| |||||||
20,040 | ||||||||
|
| |||||||
Trucking & Leasing 0.0% (g) | ||||||||
Penske Truck Leasing Co. LP / PTL Finance Corp., 4.88%, 07/11/2022 (e) | 2,800 | 2,894 | ||||||
|
| |||||||
Total Industrial | 84,375 | |||||||
|
| |||||||
Technology 0.5% | ||||||||
Computers 0.2% | ||||||||
Amdocs Ltd., (Guernsey), 2.54%, 06/15/2030 | 177 | 176 | ||||||
Apple, Inc., | ||||||||
1.00%, 11/10/2022 | EUR | 700 | 824 | |||||
1.38%, 05/24/2029 | EUR | 100 | 126 | |||||
1.40%, 08/05/2028 | 240 | 236 | ||||||
1.63%, 11/10/2026 | EUR | 1,125 | 1,416 | |||||
2.05%, 09/11/2026 | 140 | 146 | ||||||
2.38%, 02/08/2041 | 35 | 34 | ||||||
2.65%, 02/08/2051 | 30 | 29 | ||||||
2.70%, 08/05/2051 | 110 | 107 | ||||||
2.80%, 02/08/2061 | 20 | 19 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Computers continued | ||||||||
2.85%, 08/05/2061 | 40 | 38 | ||||||
3.05%, 07/31/2029 | GBP | 425 | 647 | |||||
3.25%, 02/23/2026 | 50 | 54 | ||||||
3.35%, 02/09/2027 | 15 | 16 | ||||||
3.75%, 11/13/2047 | 1,000 | 1,155 | ||||||
Capgemini SE, (France), Reg. S, 0.63%, 06/23/2025 | EUR | 100 | 119 | |||||
CGI, Inc., (Canada), 2.30%, 09/14/2031 (e) | 150 | 145 | ||||||
Dell International LLC / EMC Corp., | ||||||||
5.45%, 06/15/2023 | 100 | 107 | ||||||
5.85%, 07/15/2025 | 10 | 12 | ||||||
6.02%, 06/15/2026 | 85 | 101 | ||||||
6.10%, 07/15/2027 | 5 | 6 | ||||||
6.20%, 07/15/2030 | 5 | 7 | ||||||
8.10%, 07/15/2036 | 143 | 216 | ||||||
8.35%, 07/15/2046 | 212 | 343 | ||||||
Fortinet, Inc., 2.20%, 03/15/2031 | 475 | 470 | ||||||
Genpact Luxembourg Sarl, (Luxembourg), | ||||||||
3.38%, 12/01/2024 | 1,400 | 1,494 | ||||||
3.70%, 04/01/2022 | 100 | 101 | ||||||
Hewlett Packard Enterprise Co., | ||||||||
4.45%, 10/02/2023 | 120 | 129 | ||||||
6.35%, 10/15/2045 | 15 | 20 | ||||||
HP, Inc., | ||||||||
2.20%, 06/17/2025 | 150 | 155 | ||||||
2.65%, 06/17/2031 (e) | 314 | 310 | ||||||
3.00%, 06/17/2027 | 100 | 107 | ||||||
6.00%, 09/15/2041 | 47 | 60 | ||||||
NetApp, Inc., 1.88%, 06/22/2025 | 1,760 | 1,802 | ||||||
Teledyne FLIR LLC, 2.50%, 08/01/2030 | 1,625 | 1,636 | ||||||
Teleperformance, (France), | ||||||||
Reg. S, 0.25%, 11/26/2027 | EUR | 500 | 572 | |||||
Reg. S, 1.50%, 04/03/2024 | EUR | 2,600 | 3,113 | |||||
Reg. S, 1.88%, 07/02/2025 | EUR | 200 | 246 | |||||
|
| |||||||
16,294 | ||||||||
|
| |||||||
Office/Business & Equipments 0.0% (g) | ||||||||
CDW LLC / CDW Finance Corp., | ||||||||
3.25%, 02/15/2029 | 77 | 79 | ||||||
4.25%, 04/01/2028 | 42 | 44 | ||||||
|
| |||||||
123 | ||||||||
|
| |||||||
Semiconductors 0.2% | ||||||||
ASML Holding NV, (Netherlands), | ||||||||
Reg. S, 0.63%, 05/07/2029 | EUR | 100 | 119 | |||||
Reg. S, 1.63%, 05/28/2027 | EUR | 1,450 | 1,825 | |||||
Broadcom Corp. / Broadcom Cayman Finance Ltd., (Multinational), 3.88%, 01/15/2027 | 50 | 55 | ||||||
Broadcom, Inc., | ||||||||
3.15%, 11/15/2025 | 7 | 8 | ||||||
3.19%, 11/15/2036 (e) | 2,980 | 2,971 | ||||||
3.42%, 04/15/2033 (e) | 93 | 96 | ||||||
3.46%, 09/15/2026 | 80 | 87 | ||||||
3.47%, 04/15/2034 (e) | 100 | 103 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Semiconductors continued | ||||||||
3.50%, 02/15/2041 (e) | 5 | 5 | ||||||
3.75%, 02/15/2051 (e) | 45 | 45 | ||||||
4.11%, 09/15/2028 | 20 | 22 | ||||||
Infineon Technologies AG, (Germany), | ||||||||
Reg. S, 0.75%, 06/24/2023 | EUR | 800 | 941 | |||||
Reg. S, 1.13%, 06/24/2026 | EUR | 200 | 242 | |||||
Micron Technology, Inc., | ||||||||
2.50%, 04/24/2023 | 110 | 113 | ||||||
4.66%, 02/15/2030 | 125 | 144 | ||||||
NVIDIA Corp., 3.70%, 04/01/2060 | 10 | 12 | ||||||
NXP BV / NXP Funding LLC / NXP USA, Inc., (Multinational), 3.40%, 05/01/2030 (e) | 1,000 | 1,084 | ||||||
NXP BV / NXP Funding LLC, (Multinational), | ||||||||
3.88%, 09/01/2022 (e) | 2,600 | 2,679 | ||||||
4.88%, 03/01/2024 (e) | 150 | 163 | ||||||
Texas Instruments, Inc., | ||||||||
1.75%, 05/04/2030 | 90 | 89 | ||||||
2.70%, 09/15/2051 | 60 | 59 | ||||||
4.15%, 05/15/2048 | 17 | 21 | ||||||
Xilinx, Inc., 2.38%, 06/01/2030 | 95 | 97 | ||||||
|
| |||||||
10,980 | ||||||||
|
| |||||||
Software 0.1% | ||||||||
Activision Blizzard, Inc., | ||||||||
1.35%, 09/15/2030 | 2,000 | 1,852 | ||||||
2.50%, 09/15/2050 | 100 | 86 | ||||||
Adobe, Inc., 2.30%, 02/01/2030 | 88 | 91 | ||||||
Autodesk, Inc., 2.85%, 01/15/2030 | 71 | 74 | ||||||
Broadridge Financial Solutions, Inc., 2.60%, 05/01/2031 | 500 | 507 | ||||||
Electronic Arts, Inc., | ||||||||
1.85%, 02/15/2031 | 25 | 24 | ||||||
2.95%, 02/15/2051 | 60 | 58 | ||||||
Fidelity National Information Services, Inc., | ||||||||
2.25%, 03/01/2031 | 730 | 724 | ||||||
3.10%, 03/01/2041 | 180 | 182 | ||||||
3.36%, 05/21/2031 | GBP | 100 | 149 | |||||
Fiserv, Inc., 2.65%, 06/01/2030 | 155 | 158 | ||||||
Intuit, Inc., 1.65%, 07/15/2030 | 355 | 346 | ||||||
Microsoft Corp., | ||||||||
2.53%, 06/01/2050 | 1,100 | 1,058 | ||||||
2.68%, 06/01/2060 | 110 | 106 | ||||||
3.04%, 03/17/2062 | 10 | 11 | ||||||
Oracle Corp., | ||||||||
1.65%, 03/25/2026 | 40 | 40 | ||||||
2.50%, 04/01/2025 | 350 | 366 | ||||||
3.65%, 03/25/2041 | 115 | 119 | ||||||
3.85%, 04/01/2060 | 60 | 61 | ||||||
3.95%, 03/25/2051 | 70 | 74 | ||||||
4.10%, 03/25/2061 | 60 | 64 | ||||||
Roper Technologies, Inc., | ||||||||
1.75%, 02/15/2031 | 2,000 | 1,905 | ||||||
2.35%, 09/15/2024 | 200 | 209 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Software continued | ||||||||
SAP SE, (Germany), Reg. S, 1.00%, 04/01/2025 | EUR | 50 | 60 | |||||
ServiceNow, Inc., 1.40%, 09/01/2030 | 2,025 | 1,897 | ||||||
VMware, Inc., 4.50%, 05/15/2025 | 35 | 39 | ||||||
|
| |||||||
10,260 | ||||||||
|
| |||||||
Total Technology | 37,657 | |||||||
|
| |||||||
Utilities 1.5% | ||||||||
Electric 1.1% | ||||||||
A2A SpA, (Italy), Reg. S, 1.00%, 07/16/2029 | EUR | 100 | 121 | |||||
ACEA SpA, (Italy), | ||||||||
Reg. S, 0.50%, 04/06/2029 | EUR | 100 | 115 | |||||
Reg. S, 2.63%, 07/15/2024 | EUR | 100 | 124 | |||||
AEP Texas, Inc., | ||||||||
3.45%, 05/15/2051 | 10 | 10 | ||||||
Series I, 2.10%, 07/01/2030 | 2,600 | 2,542 | ||||||
AES Corp. (The), 2.45%, 01/15/2031 | 25 | 25 | ||||||
Alliander NV, (Netherlands), 2.88%, 06/14/2024 | EUR | 100 | 126 | |||||
Ameren Corp., | ||||||||
2.50%, 09/15/2024 | 30 | 31 | ||||||
3.50%, 01/15/2031 | 10 | 11 | ||||||
Ameren Illinois Co., | ||||||||
1.55%, 11/15/2030 | 30 | 28 | ||||||
3.25%, 03/15/2050 | 1,200 | 1,272 | ||||||
American Electric Power Co., Inc., | ||||||||
2.30%, 03/01/2030 | 25 | 25 | ||||||
3.25%, 03/01/2050 | 20 | 20 | ||||||
Appalachian Power Co., | ||||||||
Series Y, 4.50%, 03/01/2049 | 20 | 24 | ||||||
Series Z, 3.70%, 05/01/2050 | 45 | 49 | ||||||
Arizona Public Service Co., | ||||||||
2.60%, 08/15/2029 | 84 | 87 | ||||||
3.35%, 05/15/2050 | 10 | 10 | ||||||
4.25%, 03/01/2049 | 10 | 12 | ||||||
Atlantic City Electric Co., 4.00%, 10/15/2028 | 50 | 57 | ||||||
Baltimore Gas and Electric Co., 2.90%, 06/15/2050 | 30 | 29 | ||||||
Berkshire Hathaway Energy Co., | ||||||||
2.85%, 05/15/2051 | 10 | 10 | ||||||
4.25%, 10/15/2050 | 15 | 18 | ||||||
5.15%, 11/15/2043 | 60 | 78 | ||||||
Black Hills Corp., | ||||||||
3.05%, 10/15/2029 | 20 | 21 | ||||||
3.88%, 10/15/2049 | 10 | 11 | ||||||
Cadent Finance plc, (United Kingdom), Reg. S, 2.63%, 09/22/2038 | GBP | 1,325 | 1,798 | |||||
CenterPoint Energy Houston Electric LLC, Series AD, 2.90%, 07/01/2050 | 45 | 45 | ||||||
CenterPoint Energy, Inc., | ||||||||
2.95%, 03/01/2030 | 45 | 47 | ||||||
4.25%, 11/01/2028 | 10 | 11 | ||||||
Coentreprise de Transport dElectricite SA, (France), | ||||||||
Reg. S, 0.88%, 09/29/2024 | EUR | 100 | 119 | |||||
Reg. S, 2.13%, 07/29/2032 | EUR | 100 | 132 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Electric continued | ||||||||
Commonwealth Edison Co., | ||||||||
3.00%, 03/01/2050 | 100 | 100 | ||||||
3.70%, 08/15/2028 | 10 | 11 | ||||||
4.00%, 03/01/2048 | 25 | 29 | ||||||
4.00%, 03/01/2049 | 10 | 12 | ||||||
4.70%, 01/15/2044 | 1,000 | 1,262 | ||||||
Connecticut Light and Power Co. (The), Series A, 2.05%, 07/01/2031 | 905 | 902 | ||||||
Consolidated Edison Co. of New York, Inc., | ||||||||
3.85%, 06/15/2046 | 10 | 11 | ||||||
Series 09-C, 5.50%, 12/01/2039 | 10 | 13 | ||||||
Series 20A, 3.35%, 04/01/2030 | 70 | 76 | ||||||
Series 20B, 3.95%, 04/01/2050 | 55 | 63 | ||||||
Series A, 4.13%, 05/15/2049 | 20 | 23 | ||||||
Series C, 3.00%, 12/01/2060 | 20 | 19 | ||||||
Series E, 4.65%, 12/01/2048 | 10 | 12 | ||||||
Consumers Energy Co., | ||||||||
2.50%, 05/01/2060 | 10 | 9 | ||||||
3.10%, 08/15/2050 | 30 | 31 | ||||||
3.25%, 08/15/2046 | 1,100 | 1,150 | ||||||
3.75%, 02/15/2050 | 25 | 29 | ||||||
Dominion Energy South Carolina, Inc., 4.60%, 06/15/2043 | 1,400 | 1,746 | ||||||
Dominion Energy, Inc., | ||||||||
3.90%, 10/01/2025 | 220 | 241 | ||||||
4.25%, 06/01/2028 | 20 | 23 | ||||||
Series A, 4.60%, 03/15/2049 | 10 | 12 | ||||||
Series C, 3.38%, 04/01/2030 | 20 | 21 | ||||||
DTE Electric Co., | ||||||||
2.95%, 03/01/2050 | 25 | 25 | ||||||
3.70%, 03/15/2045 | 1,100 | 1,241 | ||||||
3.95%, 03/01/2049 | 10 | 12 | ||||||
DTE Energy Co., | ||||||||
Series C, 3.40%, 06/15/2029 | 19 | 21 | ||||||
Series F, 1.05%, 06/01/2025 | 1,400 | 1,388 | ||||||
Duke Energy Carolinas LLC, 5.30%, 02/15/2040 | 10 | 13 | ||||||
Duke Energy Corp., | ||||||||
0.90%, 09/15/2025 | 40 | 40 | ||||||
2.45%, 06/01/2030 | 110 | 111 | ||||||
2.55%, 06/15/2031 | 10 | 10 | ||||||
2.65%, 09/01/2026 | 30 | 31 | ||||||
3.75%, 09/01/2046 | 10 | 11 | ||||||
4.20%, 06/15/2049 | 20 | 23 | ||||||
Duke Energy Florida LLC, 4.20%, 07/15/2048 | 10 | 12 | ||||||
Duke Energy Indiana LLC, | ||||||||
2.75%, 04/01/2050 | 20 | 19 | ||||||
Series YYY, 3.25%, 10/01/2049 | 40 | 42 | ||||||
Duke Energy Ohio, Inc., | ||||||||
2.13%, 06/01/2030 | 30 | 30 | ||||||
3.65%, 02/01/2029 | 10 | 11 | ||||||
3.70%, 06/15/2046 | 1,700 | 1,894 | ||||||
4.30%, 02/01/2049 | 80 | 98 | ||||||
E.ON International Finance BV, (Netherlands), Reg. S, 6.13%, 07/06/2039 | GBP | 350 | 706 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Electric continued | ||||||||
E.ON SE, (Germany), Reg. S, 1.00%, 10/07/2025 | EUR | 100 | 120 | |||||
EDP - Energias de Portugal SA, (Portugal), Reg. S, 1.63%, 04/15/2027 | EUR | 100 | 124 | |||||
EDP Finance BV, (Netherlands), Reg. S, 2.00%, 04/22/2025 | EUR | 700 | 869 | |||||
Electricite de France SA, (France), | ||||||||
Reg. S, 1.00%, 10/13/2026 | EUR | 600 | 725 | |||||
Reg. S, 1.88%, 10/13/2036 | EUR | 100 | 127 | |||||
Reg. S, 2.00%, 12/09/2049 | EUR | 600 | 735 | |||||
Reg. S, (EUR Swap Rate 5 Year + 4.00%), 3.38%, 06/15/2030 (x) (aa) | EUR | 200 | 244 | |||||
Reg. S, 5.13%, 09/22/2050 | GBP | 400 | 793 | |||||
Reg. S, (GBP Swap Rate 15 Year + 3.32%), 5.88%, 01/22/2029 (x) (aa) | GBP | 300 | 457 | |||||
5.88%, 07/18/2031 | GBP | 265 | 476 | |||||
Reg. S, (GBP Swap Rate 13 Year + 3.96%), 6.00%, 01/29/2026 (x) (aa) | GBP | 100 | 149 | |||||
Reg. S, 6.13%, 06/02/2034 | GBP | 300 | 569 | |||||
EnBW Energie Baden-Wuerttemberg AG, (Germany), Reg. S, (EUR Swap Rate 5 Year + 2.32%), 1.88%, 06/29/2080 (aa) | EUR | 100 | 120 | |||||
EnBW International Finance BV, (Netherlands), | ||||||||
Reg. S, 0.13%, 03/01/2028 | EUR | 182 | 210 | |||||
Reg. S, 0.50%, 03/01/2033 | EUR | 97 | 110 | |||||
Reg. S, 0.63%, 04/17/2025 | EUR | 200 | 237 | |||||
Enel Finance International NV, (Netherlands), | ||||||||
Reg. S, 0.00%, 06/17/2024 | EUR | 2,275 | 2,647 | |||||
2.65%, 09/10/2024 (e) | 3,500 | 3,667 | ||||||
3.50%, 04/06/2028 (e) | 1,700 | 1,859 | ||||||
Enel SpA, (Italy), Reg. S, (EUR Swap Rate 5 Year + 2.68%), 2.25%, 12/10/2026 (x) (aa) | EUR | 350 | 424 | |||||
e-netz Suedhessen AG, (Germany), 6.13%, 04/23/2041 | EUR | 20 | 37 | |||||
Enexis Holding NV, (Netherlands), | ||||||||
Reg. S, 0.88%, 04/28/2026 | EUR | 100 | 121 | |||||
Reg. S, 1.50%, 10/20/2023 | EUR | 100 | 119 | |||||
Engie SA, (France), Reg. S, (EUR Swap Rate 5 Year + 3.17%), 3.25%, 11/28/2024 (x) (aa) | EUR | 1,800 | 2,249 | |||||
Entergy Corp., | ||||||||
0.90%, 09/15/2025 | 30 | 30 | ||||||
3.75%, 06/15/2050 | 30 | 32 | ||||||
Entergy Louisiana LLC, | ||||||||
1.60%, 12/15/2030 | 2,300 | 2,192 | ||||||
2.90%, 03/15/2051 | 30 | 29 | ||||||
3.12%, 09/01/2027 | 2,500 | 2,689 | ||||||
3.25%, 04/01/2028 | 10 | 11 | ||||||
4.20%, 09/01/2048 | 10 | 12 | ||||||
Entergy Texas, Inc., 4.00%, 03/30/2029 | 15 | 17 | ||||||
ESB Finance DAC, (Ireland), | ||||||||
Reg. S, 1.75%, 02/07/2029 | EUR | 100 | 128 | |||||
Reg. S, 1.88%, 06/14/2031 | EUR | 224 | 292 | |||||
Reg. S, 2.13%, 06/08/2027 | EUR | 100 | 128 | |||||
Evergy Kansas Central, Inc., 3.45%, 04/15/2050 | 5 | 5 | ||||||
Evergy Metro, Inc., | ||||||||
4.20%, 03/15/2048 | 10 | 12 | ||||||
Series 2019, 4.13%, 04/01/2049 | 20 | 24 | ||||||
Series 2020, 2.25%, 06/01/2030 | 10 | 10 | ||||||
Evergy, Inc., 2.45%, 09/15/2024 | 3,000 | 3,134 | ||||||
Eversource Energy, | ||||||||
3.45%, 01/15/2050 | 30 | 31 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Electric continued | ||||||||
Series R, 1.65%, 08/15/2030 | 1,410 | 1,338 | ||||||
Exelon Corp., | ||||||||
3.50%, 06/01/2022 | 2,649 | 2,695 | ||||||
4.05%, 04/15/2030 | 10 | 11 | ||||||
4.45%, 04/15/2046 | 10 | 12 | ||||||
4.70%, 04/15/2050 | 10 | 13 | ||||||
FirstEnergy Transmission LLC, 4.35%, 01/15/2025 (e) | 1,100 | 1,196 | ||||||
Florida Power & Light Co., | ||||||||
3.15%, 10/01/2049 | 20 | 21 | ||||||
3.95%, 03/01/2048 | 500 | 595 | ||||||
4.13%, 06/01/2048 | 20 | 25 | ||||||
FLUVIUS System Operator CVBA, (Belgium), Reg. S, 2.88%, 10/09/2023 | EUR | 400 | 492 | |||||
Fortum OYJ, (Finland), | ||||||||
Reg. S, 0.88%, 02/27/2023 | EUR | 170 | 200 | |||||
Reg. S, 2.13%, 02/27/2029 | EUR | 100 | 129 | |||||
Georgia Power Co., | ||||||||
Series A, 3.25%, 03/15/2051 | 20 | 20 | ||||||
Series B, 3.70%, 01/30/2050 | 60 | 64 | ||||||
Hera SpA, (Italy), | ||||||||
Reg. S, 0.25%, 12/03/2030 | EUR | 160 | 179 | |||||
Reg. S, 2.38%, 07/04/2024 | EUR | 100 | 123 | |||||
Iberdrola International BV, (Netherlands), Reg. S, (EUR Swap Rate 5 Year + 1.59%), 1.88%, 02/22/2023 (x) (aa) | EUR | 1,200 | 1,418 | |||||
Interstate Power and Light Co., 3.50%, 09/30/2049 | 10 | 11 | ||||||
Iren SpA, (Italy), Reg. S, 1.00%, 07/01/2030 | EUR | 550 | 650 | |||||
Kentucky Utilities Co., 3.30%, 06/01/2050 | 25 | 26 | ||||||
MidAmerican Energy Co., | ||||||||
2.70%, 08/01/2052 | 15 | 14 | ||||||
3.10%, 05/01/2027 | 10 | 11 | ||||||
6.75%, 12/30/2031 | 10 | 14 | ||||||
Mississippi Power Co., Series B, 3.10%, 07/30/2051 | 10 | 10 | ||||||
Narragansett Electric Co. (The), 3.40%, 04/09/2030 (e) | 200 | 216 | ||||||
National Grid Electricity Transmission plc, (United Kingdom), Reg. S, 2.00%, 04/17/2040 | GBP | 425 | 544 | |||||
National Grid plc, (United Kingdom), Reg. S, 0.55%, 09/18/2029 | EUR | 1,575 | 1,819 | |||||
National Rural Utilities Cooperative Finance Corp., | ||||||||
1.35%, 03/15/2031 | 50 | 46 | ||||||
4.30%, 03/15/2049 | 20 | 25 | ||||||
Nevada Power Co., | ||||||||
Series DD, 2.40%, 05/01/2030 | 100 | 102 | ||||||
Series EE, 3.13%, 08/01/2050 | 30 | 30 | ||||||
NextEra Energy Capital Holdings, Inc., | ||||||||
2.25%, 06/01/2030 | 1,280 | 1,286 | ||||||
2.75%, 11/01/2029 | 35 | 36 | ||||||
Northern Powergrid Holdings Co., (United Kingdom), 7.25%, 12/15/2022 | GBP | 450 | 653 | |||||
Northern Powergrid Yorkshire plc, (United Kingdom), Reg. S, 5.13%, 05/04/2035 | GBP | 50 | 89 | |||||
Northern States Power Co., | ||||||||
2.25%, 04/01/2031 | 1,450 | 1,473 | ||||||
2.60%, 06/01/2051 | 35 | 33 | ||||||
3.20%, 04/01/2052 | 10 | 11 | ||||||
NRG Energy, Inc., | ||||||||
2.00%, 12/02/2025 (e) | 2,150 | 2,185 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Electric continued | ||||||||
2.45%, 12/02/2027 (e) | 2,275 | 2,307 | ||||||
NSTAR Electric Co., 3.10%, 06/01/2051 | 10 | 10 | ||||||
Oglethorpe Power Corp., 5.05%, 10/01/2048 | 20 | 25 | ||||||
Ohio Power Co., Series R, 2.90%, 10/01/2051 | 5 | 5 | ||||||
Oklahoma Gas and Electric Co., 4.15%, 04/01/2047 | 920 | 1,085 | ||||||
Oncor Electric Delivery Co. LLC, | ||||||||
3.10%, 09/15/2049 | 50 | 52 | ||||||
3.70%, 05/15/2050 | 5 | 6 | ||||||
Orsted A/S, (Denmark), | ||||||||
Reg. S, 5.75%, 04/09/2040 | GBP | 225 | 472 | |||||
Reg. S, (EUR Swap Rate 5 Year + 4.75%), 6.25%, 06/26/3013 (aa) | EUR | 119 | 152 | |||||
Pacific Gas and Electric Co., | ||||||||
1.75%, 06/16/2022 | 50 | 50 | ||||||
3.15%, 01/01/2026 | 35 | 36 | ||||||
3.50%, 08/01/2050 | 20 | 18 | ||||||
3.75%, 07/01/2028 | 10 | 11 | ||||||
3.95%, 12/01/2047 | 400 | 384 | ||||||
4.50%, 07/01/2040 | 100 | 102 | ||||||
4.55%, 07/01/2030 | 30 | 32 | ||||||
4.95%, 07/01/2050 | 20 | 21 | ||||||
PacifiCorp., | ||||||||
2.90%, 06/15/2052 | 720 | 694 | ||||||
3.30%, 03/15/2051 | 1,400 | 1,450 | ||||||
4.15%, 02/15/2050 | 15 | 18 | ||||||
PECO Energy Co., | ||||||||
2.80%, 06/15/2050 | 50 | 49 | ||||||
3.05%, 03/15/2051 | 435 | 441 | ||||||
PPL Capital Funding, Inc., 4.13%, 04/15/2030 | 120 | 137 | ||||||
Public Service Co. of Colorado, Series 36, 2.70%, 01/15/2051 | 10 | 10 | ||||||
Public Service Electric and Gas Co., | ||||||||
1.90%, 08/15/2031 | 35 | 34 | ||||||
2.05%, 08/01/2050 | 10 | 8 | ||||||
2.45%, 01/15/2030 | 20 | 21 | ||||||
3.65%, 09/01/2028 | 120 | 134 | ||||||
3.85%, 05/01/2049 | 10 | 12 | ||||||
Public Service Enterprise Group, Inc., 0.80%, 08/15/2025 | 3,000 | 2,948 | ||||||
Puget Energy, Inc., | ||||||||
2.38%, 06/15/2028 (e) | 1,040 | 1,039 | ||||||
4.10%, 06/15/2030 | 10 | 11 | ||||||
Puget Sound Energy, Inc., 3.25%, 09/15/2049 | 20 | 21 | ||||||
Red Electrica Financiaciones SAU, (Spain), Reg. S, 1.13%, 04/24/2025 | EUR | 100 | 121 | |||||
RTE Reseau de Transport dElectricite SADIR, (France), | ||||||||
Reg. S, 1.13%, 09/09/2049 | EUR | 100 | 112 | |||||
Reg. S, 1.50%, 09/27/2030 | EUR | 200 | 252 | |||||
Reg. S, 1.63%, 11/27/2025 | EUR | 300 | 371 | |||||
Reg. S, 2.00%, 04/18/2036 | EUR | 100 | 133 | |||||
San Diego Gas & Electric Co., | ||||||||
4.15%, 05/15/2048 | 820 | 982 | ||||||
Series WWW, 2.95%, 08/15/2051 | 25 | 25 | ||||||
Sempra Energy, 3.40%, 02/01/2028 | 10 | 11 | ||||||
4.00%, 02/01/2048 | 10 | 11 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Electric continued | ||||||||
Southern California Edison Co., | ||||||||
2.85%, 08/01/2029 | 10 | 10 | ||||||
3.65%, 02/01/2050 | 60 | 61 | ||||||
4.00%, 04/01/2047 | 20 | 22 | ||||||
4.05%, 03/15/2042 | 900 | 964 | ||||||
6.05%, 03/15/2039 | 10 | 13 | ||||||
Series 20A, 2.95%, 02/01/2051 | 6 | 6 | ||||||
Series B, 3.65%, 03/01/2028 | 25 | 27 | ||||||
Series D, 3.40%, 06/01/2023 | 1,400 | 1,461 | ||||||
Series E, 3.70%, 08/01/2025 | 10 | 11 | ||||||
Southern Co. (The), | ||||||||
Series 21-A, 0.60%, 02/26/2024 | 60 | 60 | ||||||
Series A, 3.70%, 04/30/2030 | 75 | 82 | ||||||
Southwestern Electric Power Co., Series N, 1.65%, 03/15/2026 | 50 | 50 | ||||||
Southwestern Public Service Co., | ||||||||
3.70%, 08/15/2047 | 1,000 | 1,110 | ||||||
Series 8, 3.15%, 05/01/2050 | 60 | 63 | ||||||
SP Transmission plc, (United Kingdom), Reg. S, 2.00%, 11/13/2031 | GBP | 100 | 136 | |||||
SSE plc, (United Kingdom), Reg. S, 1.75%, 04/16/2030 | EUR | 1,300 | 1,624 | |||||
Stedin Holding NV, (Netherlands), | ||||||||
Reg. S, 0.88%, 10/24/2025 | EUR | 100 | 120 | |||||
Reg. S, (EUR Swap Rate 5 Year + 2.75%), 3.25%, 12/01/2021 (x) (aa) | EUR | 100 | 116 | |||||
Tampa Electric Co., 4.30%, 06/15/2048 | 30 | 36 | ||||||
TenneT Holding BV, (Netherlands), | ||||||||
Reg. S, 0.88%, 06/03/2030 | EUR | 120 | 145 | |||||
Reg. S, 1.00%, 06/13/2026 | EUR | 200 | 242 | |||||
Reg. S, 1.13%, 06/09/2041 | EUR | 100 | 117 | |||||
Reg. S, 1.75%, 06/04/2027 | EUR | 300 | 380 | |||||
Reg. S, 2.00%, 06/05/2034 | EUR | 100 | 133 | |||||
Terna - Rete Elettrica Nazionale, (Italy), | ||||||||
Reg. S, 0.38%, 09/25/2030 | EUR | 425 | 483 | |||||
Reg. S, 0.75%, 07/24/2032 | EUR | 100 | 117 | |||||
Reg. S, 1.38%, 07/26/2027 | EUR | 1,125 | 1,386 | |||||
Tucson Electric Power Co., | ||||||||
1.50%, 08/01/2030 | 30 | 28 | ||||||
3.25%, 05/01/2051 | 10 | 10 | ||||||
4.00%, 06/15/2050 | 10 | 12 | ||||||
Union Electric Co., | ||||||||
2.63%, 03/15/2051 | 10 | 9 | ||||||
3.25%, 10/01/2049 | 40 | 42 | ||||||
Virginia Electric and Power Co., | ||||||||
3.30%, 12/01/2049 | 50 | 53 | ||||||
Series B, 3.80%, 09/15/2047 | 60 | 68 | ||||||
Vistra Operations Co. LLC, 3.55%, 07/15/2024 (e) | 1,400 | 1,472 | ||||||
WEC Energy Group, Inc., 3.55%, 06/15/2025 | 168 | 182 | ||||||
Western Power Distribution South West plc, (United Kingdom), Reg. S, 5.88%, 03/25/2027 | GBP | 20 | 33 | |||||
Wisconsin Electric Power Co., 1.70%, 06/15/2028 | 10 | 10 | ||||||
Wisconsin Power and Light Co., 3.00%, 07/01/2029 | 50 | 54 | ||||||
Wisconsin Public Service Corp., 3.30%, 09/01/2049 | 5 | 5 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Electric continued | ||||||||
Xcel Energy, Inc., | ||||||||
3.40%, 06/01/2030 | 20 | 22 | ||||||
3.50%, 12/01/2049 | 20 | 21 | ||||||
|
| |||||||
87,129 | ||||||||
|
| |||||||
Gas 0.3% | ||||||||
APT Pipelines Ltd., (Australia), Reg. S, 2.00%, 07/15/2030 | EUR | 1,000 | 1,248 | |||||
Atmos Energy Corp., | ||||||||
1.50%, 01/15/2031 | 1,630 | 1,532 | ||||||
2.63%, 09/15/2029 | 15 | 15 | ||||||
2.85%, 02/15/2052 (w) | 5 | 5 | ||||||
3.38%, 09/15/2049 | 210 | 220 | ||||||
4.15%, 01/15/2043 | 10 | 11 | ||||||
Italgas SpA, (Italy), | ||||||||
Reg. S, 1.00%, 12/11/2031 | EUR | 1,125 | 1,327 | |||||
Reg. S, 1.13%, 03/14/2024 | EUR | 850 | 1,014 | |||||
National Fuel Gas Co., | ||||||||
2.95%, 03/01/2031 | 25 | 25 | ||||||
5.50%, 01/15/2026 | 25 | 29 | ||||||
National Grid Gas plc, (United Kingdom), Reg. S, 1.38%, 02/07/2031 | GBP | 1,600 | 2,018 | |||||
NiSource, Inc., | ||||||||
0.95%, 08/15/2025 | 3,000 | 2,963 | ||||||
3.49%, 05/15/2027 | 130 | 142 | ||||||
3.60%, 05/01/2030 | 25 | 28 | ||||||
4.38%, 05/15/2047 | 15 | 18 | ||||||
4.80%, 02/15/2044 | 10 | 12 | ||||||
Piedmont Natural Gas Co., Inc., | ||||||||
2.50%, 03/15/2031 | 1,550 | 1,557 | ||||||
3.35%, 06/01/2050 | 15 | 15 | ||||||
Redexis Gas Finance BV, (Netherlands), Reg. S, 1.88%, 05/28/2025 | EUR | 1,300 | 1,592 | |||||
Snam SpA, (Italy), Reg. S, 0.88%, 10/25/2026 | EUR | 850 | 1,018 | |||||
Southern California Gas Co., | ||||||||
Series VV, 4.30%, 01/15/2049 | 20 | 25 | ||||||
Series XX, 2.55%, 02/01/2030 | 25 | 25 | ||||||
Southern Co. Gas Capital Corp., | ||||||||
3.95%, 10/01/2046 | 20 | 22 | ||||||
Series 20-A, 1.75%, 01/15/2031 | 3,700 | 3,519 | ||||||
Series 21A, 3.15%, 09/30/2051 | 15 | 15 | ||||||
Southern Gas Networks plc, (United Kingdom), | ||||||||
Reg. S, 2.50%, 02/03/2025 | GBP | 425 | 598 | |||||
6.38%, 05/15/2040 | GBP | 425 | 890 | |||||
Southwest Gas Corp., 4.15%, 06/01/2049 | 10 | 11 | ||||||
Wales & West Utilities Finance plc, (United Kingdom), Reg. S, 1.88%, 05/28/2041 | GBP | 425 | 526 | |||||
Washington Gas Light Co., 3.65%, 09/15/2049 | 10 | 11 | ||||||
|
| |||||||
20,431 | ||||||||
|
| |||||||
Water 0.1% | ||||||||
Affinity Water Finance 2004 plc, (United Kingdom), 5.88%, 07/13/2026 | GBP | 30 | 49 | |||||
American Water Capital Corp., | ||||||||
2.80%, 05/01/2030 | 25 | 26 | ||||||
4.15%, 06/01/2049 | 60 | 71 | ||||||
Essential Utilities, Inc., 2.70%, 04/15/2030 | 40 | 41 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Water continued | ||||||||
Northumbrian Water Finance plc, (United Kingdom), | ||||||||
Reg. S, 1.63%, 10/11/2026 | GBP | 425 | 582 | |||||
Reg. S, 5.63%, 04/29/2033 | GBP | 225 | 417 | |||||
Thames Water Utilities Finance plc, (United Kingdom), | ||||||||
Reg. S, 2.38%, 04/22/2040 | GBP | 300 | 397 | |||||
Reg. S, 5.50%, 02/11/2041 | GBP | 550 | 1,073 | |||||
6.75%, 11/16/2028 | GBP | 180 | 321 | |||||
United Utilities Water Finance plc, (United Kingdom), Reg. S, 2.00%, 07/03/2033 | GBP | 900 | 1,231 | |||||
Wessex Water Services Finance plc, (United Kingdom), | ||||||||
Reg. S, 1.50%, 09/17/2029 | GBP | 700 | 921 | |||||
Reg. S, 5.38%, 03/10/2028 | GBP | 225 | 371 | |||||
Reg. S, 5.75%, 10/14/2033 | GBP | 375 | 704 | |||||
|
| |||||||
6,204 | ||||||||
|
| |||||||
Total Utilities | 113,764 | |||||||
|
| |||||||
Total Corporate Bonds (Cost $1,492,278) | 1,470,239 | |||||||
|
| |||||||
Foreign Government Securities 49.0% | ||||||||
Action Logement Services, (France), Reg. S, 0.50%, 10/30/2034 | EUR | 100 | 114 | |||||
Adif Alta Velocidad, (Spain), | ||||||||
Reg. S, 0.55%, 04/30/2030 | EUR | 200 | 235 | |||||
Reg. S, 1.88%, 09/22/2022 | EUR | 600 | 711 | |||||
Reg. S, 1.88%, 01/28/2025 | EUR | 100 | 124 | |||||
Agence Francaise de Developpement EPIC, (France), | ||||||||
Reg. S, 0.00%, 03/25/2025 | EUR | 500 | 587 | |||||
Reg. S, 0.13%, 11/15/2023 | EUR | 500 | 586 | |||||
Reg. S, 0.25%, 07/21/2026 | EUR | 500 | 593 | |||||
Reg. S, 0.25%, 06/29/2029 | EUR | 400 | 470 | |||||
Reg. S, 0.38%, 04/30/2024 | EUR | 400 | 473 | |||||
Reg. S, 0.38%, 05/25/2036 | EUR | 100 | 112 | |||||
Reg. S, 0.50%, 05/25/2030 | EUR | 200 | 239 | |||||
Reg. S, 0.50%, 05/31/2035 | EUR | 500 | 577 | |||||
Reg. S, 1.38%, 09/17/2024 | EUR | 500 | 610 | |||||
Reg. S, 1.50%, 10/31/2034 | EUR | 100 | 130 | |||||
Agence France Locale, (France), | ||||||||
Reg. S, 0.00%, 09/20/2027 | EUR | 500 | 581 | |||||
Reg. S, 0.13%, 06/20/2026 | EUR | 100 | 117 | |||||
Reg. S, 1.13%, 06/20/2028 | EUR | 1,000 | 1,243 | |||||
Agricultural Development Bank of China, (China), | ||||||||
2.58%, 07/26/2023 | CNY | 10,000 | 1,544 | |||||
Reg. S, 3.18%, 11/06/2022 | CNH | 2,000 | 312 | |||||
Reg. S, 3.40%, 11/06/2024 | CNH | 56,000 | 8,817 | |||||
Reg. S, 3.80%, 10/27/2030 | CNH | 6,350 | 1,028 | |||||
Series 1605, 3.33%, 01/06/2026 | CNY | 37,000 | 5,783 | |||||
Series 1705, 3.85%, 01/06/2027 | CNY | 45,000 | 7,189 | |||||
Series 1801, 4.98%, 01/12/2025 | CNY | 12,000 | 1,975 | |||||
Series 1803, 4.99%, 01/24/2023 | CNY | 10,000 | 1,593 | |||||
Series 1806, 4.65%, 05/11/2028 | CNY | 8,100 | 1,353 | |||||
Series 1813, 3.55%, 11/21/2023 | CNY | 600 | 94 | |||||
Series 1901, 3.75%, 01/25/2029 | CNY | 37,000 | 5,886 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Series 1906, 3.74%, 07/12/2029 | CNY | 100,000 | 15,911 | |||||
Series 1908, 3.63%, 07/19/2026 | CNY | 105,300 | 16,669 | |||||
Series 1909, 3.24%, 08/14/2024 | CNY | 58,000 | 9,079 | |||||
Series 2002, 2.20%, 04/01/2023 | CNY | 141,200 | 21,692 | |||||
Series 2004, 2.96%, 04/17/2030 | CNY | 141,400 | 21,286 | |||||
Series 2005, 2.25%, 04/22/2025 | CNY | 150,700 | 22,801 | |||||
Series 2007, 3.06%, 08/05/2023 | CNY | 30,000 | 4,667 | |||||
Series 2008, 3.45%, 09/23/2025 | CNY | 15,000 | 2,357 | |||||
Series 2103, 3.35%, 03/24/2026 | CNY | 10,000 | 1,566 | |||||
Auckland Council, (New Zealand), | ||||||||
Reg. S, 1.00%, 01/19/2027 | EUR | 300 | 368 | |||||
Reg. S, 1.50%, 11/28/2025 | CHF | 300 | 346 | |||||
Australia Government Bond, (Australia), | ||||||||
Series 133, Reg. S, 5.50%, 04/21/2023 | AUD | 7,600 | 5,958 | |||||
Series 136, Reg. S, 4.75%, 04/21/2027 | AUD | 10,000 | 8,746 | |||||
Series 138, Reg. S, 3.25%, 04/21/2029 | AUD | 365 | 303 | |||||
Series 140, Reg. S, 4.50%, 04/21/2033 | AUD | 12,300 | 11,665 | |||||
Series 142, Reg. S, 4.25%, 04/21/2026 | AUD | 5,000 | 4,193 | |||||
Series 144, Reg. S, 3.75%, 04/21/2037 | AUD | 263 | 237 | |||||
Series 145, Reg. S, 2.75%, 06/21/2035 | AUD | 144 | 117 | |||||
Series 147, Reg. S, 3.25%, 06/21/2039 | AUD | 2,500 | 2,118 | |||||
Series 148, Reg. S, 2.75%, 11/21/2027 | AUD | 3,250 | 2,596 | |||||
Series 149, Reg. S, 2.25%, 05/21/2028 | AUD | 200 | 155 | |||||
Series 150, Reg. S, 3.00%, 03/21/2047 | AUD | 2,906 | 2,365 | |||||
Series 152, Reg. S, 2.75%, 11/21/2028 | AUD | 1,400 | 1,123 | |||||
Series 153, 2.25%, 11/21/2022 | AUD | 6,751 | 5,003 | |||||
Series 154, Reg. S, 2.75%, 11/21/2029 | AUD | 34,155 | 27,483 | |||||
Series 155, Reg. S, 2.50%, 05/21/2030 | AUD | 4,635 | 3,665 | |||||
Series 156, Reg. S, 2.75%, 05/21/2041 | AUD | 2,938 | 2,309 | |||||
Series 157, Reg. S, 1.50%, 06/21/2031 | AUD | 8,753 | 6,354 | |||||
Series 158, 1.25%, 05/21/2032 | AUD | 1,000 | 703 | |||||
Series 160, Reg. S, 1.00%, 12/21/2030 | AUD | 7,850 | 5,468 | |||||
Series 162, Reg. S, 1.75%, 06/21/2051 | AUD | 3,450 | 2,162 | |||||
Series 164, Reg. S, 0.50%, 09/21/2026 | AUD | 3,806 | 2,714 | |||||
Series 139, Reg. S, 3.25%, 04/21/2025 | AUD | 10,875 | 8,639 | |||||
Series 159, Reg. S, 0.25%, 11/21/2024 | AUD | 6,802 | 4,907 | |||||
Series 161, Reg. S, 0.25%, 11/21/2025 | AUD | 9,600 | 6,845 | |||||
Australian Capital Territory, (Australia), | ||||||||
Reg. S, 1.25%, 05/22/2025 | AUD | 200 | 148 | |||||
1.75%, 10/23/2031 | AUD | 970 | 692 | |||||
Autobahnen- und Schnell- strassen-Finanzierungs AG, (Austria), | ||||||||
Reg. S, 0.10%, 07/09/2029 | EUR | 500 | 584 | |||||
Reg. S, 2.75%, 06/20/2033 | EUR | 130 | 193 | |||||
Autonomous Community of Andalusia Spain, (Spain), | ||||||||
Reg. S, 0.50%, 04/30/2031 | EUR | 163 | 187 | |||||
Reg. S, 1.38%, 04/30/2029 | EUR | 30 | 38 | |||||
Autonomous Community of Madrid Spain, (Spain), | ||||||||
Reg. S, 0.42%, 04/30/2030 | EUR | 161 | 188 | |||||
Reg. S, 1.19%, 05/08/2022 | EUR | 600 | 702 | |||||
Reg. S, 1.83%, 04/30/2025 | EUR | 270 | 336 | |||||
4.30%, 09/15/2026 | EUR | 500 | 705 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Basque Government, (Spain), | ||||||||
Reg. S, 0.25%, 04/30/2031 | EUR | 100 | 114 | |||||
Reg. S, 0.85%, 04/30/2030 | EUR | 50 | 61 | |||||
Reg. S, 1.75%, 03/16/2026 | EUR | 170 | 214 | |||||
Bermuda Government International Bond, (Bermuda), 2.38%, 08/20/2030 (e) | 670 | 663 | ||||||
BNG Bank NV, (Netherlands), | ||||||||
Reg. S, 0.00%, 01/20/2031 | EUR | 200 | 229 | |||||
Reg. S, 0.10%, 01/15/2030 | EUR | 320 | 373 | |||||
Reg. S, 0.13%, 04/11/2026 | EUR | 530 | 625 | |||||
Reg. S, 0.13%, 07/09/2035 | EUR | 230 | 257 | |||||
Reg. S, 0.20%, 11/09/2024 | EUR | 550 | 649 | |||||
Reg. S, 0.88%, 10/17/2035 | EUR | 100 | 123 | |||||
Reg. S, 1.50%, 07/15/2039 | EUR | 170 | 230 | |||||
Reg. S, 3.88%, 05/26/2023 | EUR | 470 | 584 | |||||
Bonos de la Tesoreria de la Republica en pesos, (Chile), Reg. S, 4.70%, 09/01/2030 (e) | CLP | 300,000 | 351 | |||||
Bpifrance SACA, (France), | ||||||||
Reg. S, 0.13%, 11/25/2023 | EUR | 300 | 352 | |||||
Reg. S, 0.13%, 03/25/2025 | EUR | 400 | 472 | |||||
Reg. S, 0.25%, 03/29/2030 | EUR | 200 | 234 | |||||
Reg. S, 0.63%, 05/25/2026 | EUR | 500 | 604 | |||||
Reg. S, 0.75%, 07/22/2022 | GBP | 200 | 270 | |||||
Reg. S, 0.88%, 09/26/2028 | EUR | 200 | 247 | |||||
Reg. S, 1.00%, 05/25/2027 | EUR | 500 | 618 | |||||
Bulgaria Government International Bond, (Bulgaria), | ||||||||
Reg. S, 1.38%, 09/23/2050 | EUR | 200 | 223 | |||||
Reg. S, 2.95%, 09/03/2024 | EUR | 400 | 505 | |||||
Series 12YR, Reg. S, 3.00%, 03/21/2028 | EUR | 400 | 544 | |||||
Bundesobligation, (Germany), | ||||||||
Series 176, Reg. S, 0.00%, 10/07/2022 | EUR | 2,541 | 2,964 | |||||
Series 177, Reg. S, 0.00%, 04/14/2023 | EUR | 460 | 539 | |||||
Series 178, Reg. S, 0.00%, 10/13/2023 | EUR | 1,368 | 1,608 | |||||
Series 179, Reg. S, 0.00%, 04/05/2024 | EUR | 838 | 988 | |||||
Series 180, Reg. S, 0.00%, 10/18/2024 | EUR | 2,376 | 2,811 | |||||
Series 181, Reg. S, 0.00%, 04/11/2025 | EUR | 790 | 937 | |||||
Series 182, Reg. S, 0.00%, 10/10/2025 | EUR | 4,670 | 5,550 | |||||
Series 183, Reg. S, 0.00%, 04/10/2026 | EUR | 636 | 757 | |||||
Bundesrepublik Deutschland Bundesanleihe, (Germany), | ||||||||
Reg. S, 0.00%, 08/15/2026 | EUR | 1,900 | 2,264 | |||||
Reg. S, 0.00%, 11/15/2027 | EUR | 1,281 | 1,527 | |||||
Reg. S, 0.00%, 11/15/2028 | EUR | 624 | 743 | |||||
Reg. S, 0.00%, 08/15/2029 | EUR | 2,980 | 3,550 | |||||
Reg. S, 0.00%, 02/15/2030 | EUR | 890 | 1,059 | |||||
Reg. S, 0.00%, 08/15/2030 | EUR | 1,120 | 1,330 | |||||
Reg. S, 0.00%, 02/15/2031 | EUR | 1,589 | 1,882 | |||||
Reg. S, 0.00%, 08/15/2031 | EUR | 1,344 | 1,587 | |||||
Reg. S, 0.00%, 05/15/2035 | EUR | 2,465 | 2,854 | |||||
Reg. S, 0.00%, 05/15/2036 | EUR | 719 | 825 | |||||
Reg. S, 0.00%, 08/15/2050 | EUR | 1,494 | 1,595 | |||||
Reg. S, 0.00%, 08/15/2052 | EUR | 293 | 308 | |||||
Reg. S, 0.25%, 02/15/2027 | EUR | 2,557 | 3,090 | |||||
Reg. S, 0.25%, 08/15/2028 | EUR | 832 | 1,010 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Reg. S, 0.25%, 02/15/2029 | EUR | 210 | 255 | |||||
Reg. S, 0.50%, 02/15/2025 | EUR | 227 | 274 | |||||
Reg. S, 0.50%, 02/15/2026 | EUR | 1,967 | 2,391 | |||||
Reg. S, 0.50%, 08/15/2027 | EUR | 2,160 | 2,652 | |||||
Reg. S, 0.50%, 02/15/2028 | EUR | 230 | 283 | |||||
Reg. S, 1.00%, 08/15/2024 | EUR | 1,753 | 2,131 | |||||
Reg. S, 1.00%, 08/15/2025 | EUR | 1,130 | 1,394 | |||||
Reg. S, 1.25%, 08/15/2048 | EUR | 1,180 | 1,725 | |||||
Reg. S, 1.50%, 02/15/2023 | EUR | 833 | 994 | |||||
Reg. S, 1.50%, 05/15/2024 | EUR | 3,000 | 3,678 | |||||
Reg. S, 1.75%, 02/15/2024 | EUR | 1,701 | 2,088 | |||||
Reg. S, 2.00%, 08/15/2023 | EUR | 1,002 | 1,221 | |||||
Reg. S, 2.50%, 07/04/2044 | EUR | 1,595 | 2,830 | |||||
Reg. S, 2.50%, 08/15/2046 | EUR | 3,198 | 5,797 | |||||
Reg. S, 3.25%, 07/04/2042 | EUR | 808 | 1,545 | |||||
Reg. S, 5.50%, 01/04/2031 | EUR | 700 | 1,256 | |||||
Reg. S, 6.25%, 01/04/2030 | EUR | 775 | 1,399 | |||||
Series 3, Reg. S, 4.75%, 07/04/2034 | EUR | 1,506 | 2,847 | |||||
Series 5, Reg. S, 4.00%, 01/04/2037 | EUR | 1,064 | 1,993 | |||||
Series 8, Reg. S, 4.75%, 07/04/2040 | EUR | 875 | 1,906 | |||||
Series 97, Reg. S, 6.50%, 07/04/2027 | EUR | 1,410 | 2,306 | |||||
Series 98, Reg. S, 4.75%, 07/04/2028 | EUR | 1,661 | 2,613 | |||||
Series 98, Reg. S, 5.63%, 01/04/2028 | EUR | 780 | 1,256 | |||||
Series 2007, Reg. S, 4.25%, 07/04/2039 | EUR | 1,020 | 2,067 | |||||
Series G, Reg. S, 0.00%, 08/15/2030 | EUR | 770 | 919 | |||||
Series G, Reg. S, 0.00%, 08/15/2050 | EUR | 512 | 553 | |||||
Bundesschatzanweisungen, (Germany), | ||||||||
Reg. S, 0.00%, 12/15/2022 | EUR | 1,335 | 1,560 | |||||
Reg. S, 0.00%, 03/10/2023 | EUR | 1,207 | 1,412 | |||||
Caisse dAmortissement de la Dette Sociale, (France), | ||||||||
Reg. S, 0.00%, 02/25/2028 | EUR | 200 | 233 | |||||
Reg. S, 0.00%, 11/25/2030 | EUR | 300 | 342 | |||||
Reg. S, 0.00%, 05/25/2031 | EUR | 100 | 114 | |||||
Reg. S, 0.13%, 10/25/2023 | EUR | 1,800 | 2,113 | |||||
Reg. S, 0.13%, 09/15/2031 | EUR | 300 | 343 | |||||
Reg. S, 4.00%, 12/15/2025 | EUR | 1,383 | 1,899 | |||||
Series DIP, Reg. S, 0.13%, 11/25/2022 | EUR | 300 | 350 | |||||
Caisse Francaise de Financement Local, (France), | ||||||||
Reg. S, 0.01%, 05/07/2025 | EUR | 100 | 117 | |||||
Reg. S, 0.13%, 06/30/2031 | EUR | 100 | 115 | |||||
Reg. S, 0.50%, 10/01/2046 (w) | EUR | 100 | 113 | |||||
Reg. S, 1.00%, 04/25/2028 | EUR | 100 | 124 | |||||
Reg. S, 1.25%, 05/11/2032 | EUR | 100 | 128 | |||||
Reg. S, 1.50%, 06/28/2038 | EUR | 100 | 135 | |||||
Series 12, Reg. S, 0.63%, 01/26/2023 | EUR | 200 | 235 | |||||
Canada Housing Trust No. 1, (Canada), 0.95%, 06/15/2025 (e) | CAD | 1,000 | 786 | |||||
Canadian Government Bond, (Canada), | ||||||||
1.00%, 06/01/2027 | CAD | 200 | 156 | |||||
1.50%, 06/01/2031 | CAD | 600 | 473 | |||||
2.00%, 09/01/2023 | CAD | 1,900 | 1,541 | |||||
3.50%, 12/01/2045 | CAD | 2,090 | 2,140 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
4.00%, 06/01/2041 | CAD | 150 | 160 | |||||
Canton of Geneva Switzerland, (Switzerland), Reg. S, 0.02%, 11/27/2024 | CHF | 240 | 261 | |||||
Canton of Zurich, (Switzerland), Reg. S, 0.10%, 06/23/2045 | CHF | 50 | 52 | |||||
Cassa Depositi e Prestiti SpA, (Italy), | ||||||||
Reg. S, 0.75%, 11/21/2022 | EUR | 600 | 704 | |||||
Reg. S, 1.00%, 09/21/2028 | EUR | 100 | 119 | |||||
Reg. S, 2.00%, 04/20/2027 | EUR | 100 | 126 | |||||
Reg. S, 2.13%, 09/27/2023 | EUR | 200 | 243 | |||||
CDP Financial, Inc., (Canada), Reg. S, 5.60%, 11/25/2039 | 250 | 352 | ||||||
Chile Government International Bond, (Chile), | ||||||||
0.83%, 07/02/2031 | EUR | 550 | 635 | |||||
1.25%, 01/22/2051 | EUR | 200 | 205 | |||||
2.55%, 01/27/2032 | 200 | 198 | ||||||
China Development Bank, (China), | ||||||||
Reg. S, 3.23%, 11/27/2025 | CNH | 10,000 | 1,568 | |||||
Reg. S, 4.20%, 01/19/2027 | CNH | 10,000 | 1,637 | |||||
Reg. S, 4.30%, 08/02/2032 | CNH | 3,000 | 507 | |||||
Reg. S, 4.35%, 08/06/2024 | CNH | 7,000 | 1,129 | |||||
Reg. S, 4.35%, 09/19/2024 | CNH | 1,000 | 162 | |||||
Series 1510, 4.21%, 04/13/2025 | CNY | 30,000 | 4,832 | |||||
Series 1518, 3.74%, 09/10/2025 | CNY | 28,000 | 4,450 | |||||
Series 1605, 3.80%, 01/25/2036 | CNY | 27,000 | 4,321 | |||||
Series 1610, 3.18%, 04/05/2026 | CNY | 30,000 | 4,661 | |||||
Series 1613, 3.05%, 08/25/2026 | CNY | 10,000 | 1,545 | |||||
Series 1706, 4.02%, 04/17/2022 | CNY | 12,000 | 1,873 | |||||
Series 1710, 4.04%, 04/10/2027 | CNY | 118,000 | 19,048 | |||||
Series 1804, 4.69%, 03/23/2023 | CNY | 143,000 | 22,773 | |||||
Series 1805, 4.88%, 02/09/2028 | CNY | 17,000 | 2,872 | |||||
Series 1806, 4.73%, 04/02/2025 | CNY | 20,230 | 3,313 | |||||
Series 1810, 4.04%, 07/06/2028 | CNY | 17,000 | 2,750 | |||||
Series 1811, 3.76%, 08/14/2023 | CNY | 16,000 | 2,523 | |||||
Series 1903, 3.30%, 02/01/2024 | CNY | 45,000 | 7,049 | |||||
Series 1905, 3.48%, 01/08/2029 | CNY | 226,500 | 35,425 | |||||
Series 1908, 3.42%, 07/02/2024 | CNY | 121,000 | 19,022 | |||||
Series 1909, 3.50%, 08/13/2026 | CNY | 64,600 | 10,184 | |||||
Series 1910, 3.65%, 05/21/2029 | CNY | 187,900 | 29,767 | |||||
Series 1915, 3.45%, 09/20/2029 | CNY | 147,000 | 22,950 | |||||
Series 2003, 3.23%, 01/10/2025 | CNY | 232,300 | 36,347 | |||||
Series 2004, 3.43%, 01/14/2027 | CNY | 85,000 | 13,354 | |||||
Series 2005, 3.07%, 03/10/2030 | CNY | 30,000 | 4,554 | |||||
Series 2008, 2.89%, 06/22/2025 | CNY | 15,000 | 2,316 | |||||
Series 2010, 3.09%, 06/18/2030 | CNY | 20,000 | 3,042 | |||||
Series 2015, 3.70%, 10/20/2030 | CNY | 28,000 | 4,463 | |||||
China Government Bond, (China), | ||||||||
1.99%, 04/09/2025 | CNY | 535,700 | 80,978 | |||||
2.36%, 07/02/2023 | CNY | 433,500 | 66,936 | |||||
2.57%, 05/20/2023 | CNY | 55,000 | 8,527 | |||||
2.68%, 05/21/2030 | CNY | 392,000 | 59,206 | |||||
2.85%, 06/04/2027 | CNY | 606,500 | 93,945 | |||||
Reg. S, 3.16%, 06/27/2023 | CNH | 500 | 78 | |||||
Reg. S, 3.30%, 07/04/2023 | CNH | 2,000 | 315 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Reg. S, 3.31%, 11/30/2025 | CNH | 2,000 | 320 | |||||
Reg. S, 3.38%, 11/21/2024 | CNH | 3,000 | 478 | |||||
Reg. S, 3.38%, 07/04/2026 | CNH | 24,000 | 3,860 | |||||
3.39%, 03/16/2050 | CNY | 307,100 | 46,585 | |||||
Reg. S, 3.60%, 06/27/2028 | CNH | 22,000 | 3,605 | |||||
Reg. S, 3.60%, 05/21/2030 | CNH | 7,000 | 1,162 | |||||
3.73%, 05/25/2070 | CNY | 20,670 | 3,316 | |||||
3.76%, 03/22/2071 | CNY | 75,130 | 12,221 | |||||
3.81%, 09/14/2050 | CNY | 145,100 | 23,826 | |||||
Reg. S, 3.85%, 12/12/2026 | CNH | 19,000 | 3,128 | |||||
Reg. S, 4.00%, 05/22/2024 | CNH | 8,500 | 1,368 | |||||
Reg. S, 4.00%, 11/30/2035 | CNH | 6,500 | 1,149 | |||||
Reg. S, 4.15%, 12/04/2027 | CNH | 20,000 | 3,366 | |||||
Reg. S, 4.29%, 05/22/2029 | CNH | 3,000 | 517 | |||||
Reg. S, 4.40%, 12/12/2046 | CNH | 25,000 | 4,679 | |||||
Series 1824, 4.08%, 10/22/2048 | CNY | 22,100 | 3,769 | |||||
Series 1906, 3.29%, 05/23/2029 | CNY | 52,000 | 8,268 | |||||
Series 1908, 4.00%, 06/24/2069 | CNY | 5,000 | 853 | |||||
Series 1910, 3.86%, 07/22/2049 | CNY | 32,500 | 5,354 | |||||
Series 1915, 3.13%, 11/21/2029 | CNY | 38,000 | 5,957 | |||||
China Government International Bond, (China), | ||||||||
Reg. S, 0.13%, 11/12/2026 | EUR | 200 | 234 | |||||
Reg. S, 0.50%, 11/12/2031 | EUR | 650 | 752 | |||||
City of Milan Italy, (Italy), 4.02%, 06/29/2035 | EUR | 40 | 60 | |||||
City of Montreal Canada, (Canada), 2.30%, 09/01/2029 | CAD | 600 | 483 | |||||
City of Quebec Canada, (Canada), | ||||||||
2.10%, 07/06/2031 | CAD | 300 | 232 | |||||
2.65%, 12/20/2027 | CAD | 565 | 468 | |||||
City of Toronto Canada, (Canada), | ||||||||
2.95%, 04/28/2035 | CAD | 200 | 165 | |||||
3.50%, 06/02/2036 | CAD | 300 | 262 | |||||
Corp. de Reservas Estrategicas de Productos Petroliferos Cores, (Spain), Reg. S, 1.50%, 11/27/2022 | EUR | 600 | 710 | |||||
CPPIB Capital, Inc., (Canada), | ||||||||
Reg. S, 0.25%, 04/06/2027 | EUR | 1,450 | 1,711 | |||||
Reg. S, 0.38%, 06/20/2024 | EUR | 300 | 355 | |||||
Reg. S, 0.75%, 07/15/2049 | EUR | 300 | 342 | |||||
Croatia Government International Bond, (Croatia), Reg. S, 1.13%, 03/04/2033 | EUR | 500 | 576 | |||||
Cyprus Government International Bond, (Cyprus), | ||||||||
Reg. S, 0.63%, 01/21/2030 | EUR | 235 | 279 | |||||
Reg. S, 1.25%, 01/21/2040 | EUR | 720 | 866 | |||||
Reg. S, 2.25%, 04/16/2050 | EUR | 10 | 14 | |||||
Czech Republic Government Bond, (Czech Republic), | ||||||||
Series 11Y, 1.75%, 06/23/2032 | CZK | 3,170 | 140 | |||||
Series 49, Reg. S, 4.20%, 12/04/2036 | CZK | 5,390 | 311 | |||||
Series 53, Reg. S, 4.85%, 11/26/2057 | CZK | 1,000 | 68 | |||||
Series 58, Reg. S, 5.70%, 05/25/2024 | CZK | 140 | 7 | |||||
Series 78, Reg. S, 2.50%, 08/25/2028 | CZK | 7,890 | 370 | |||||
Series 89, Reg. S, 2.40%, 09/17/2025 | CZK | 16,910 | 782 | |||||
Series 95, Reg. S, 1.00%, 06/26/2026 | CZK | 6,860 | 298 | |||||
Series 97, Reg. S, 0.45%, 10/25/2023 | CZK | 12,000 | 532 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Series 100, 0.25%, 02/10/2027 | CZK | 26,000 | 1,079 | |||||
Series 103, 2.00%, 10/13/2033 | CZK | 2,260 | 102 | |||||
Series 105, 2.75%, 07/23/2029 | CZK | 11,450 | 548 | |||||
Series 121, 1.20%, 03/13/2031 | CZK | 15,770 | 666 | |||||
Series 125, 1.50%, 04/24/2040 | CZK | 3,380 | 138 | |||||
Denmark Government Bond, (Denmark), | ||||||||
1.50%, 11/15/2023 | DKK | 5,945 | 967 | |||||
1.75%, 11/15/2025 | DKK | 1,380 | 234 | |||||
4.50%, 11/15/2039 | DKK | 5,674 | 1,541 | |||||
7.00%, 11/10/2024 | DKK | 1,470 | 283 | |||||
Series 10Y, Reg. S, 0.00%, 11/15/2031 (e) | DKK | 3,023 | 466 | |||||
Series 10Y, 0.50%, 11/15/2027 | DKK | 4,540 | 739 | |||||
Series 10YR, Reg. S, 0.50%, 11/15/2029 (e) | DKK | 9,644 | 1,573 | |||||
Series 30Y, Reg. S, 0.25%, 11/15/2052 (e) | DKK | 2,619 | 377 | |||||
Development Bank of Japan, Inc., (Japan), | ||||||||
Reg. S, 0.88%, 10/10/2025 | EUR | 1,000 | 1,204 | |||||
Reg. S, 1.13%, 04/28/2023 | GBP | 600 | 815 | |||||
4.75%, 11/26/2027 | EUR | 900 | 1,342 | |||||
Series 86, 0.24%, 10/13/2027 | JPY | 100,000 | 906 | |||||
Estonia Government International Bond, (Estonia), Reg. S, 0.13%, 06/10/2030 | EUR | 200 | 233 | |||||
European Union, (Supranational), Reg. S, 3.38%, 04/04/2032 | EUR | 600 | 931 | |||||
Export-Import Bank of China (The), (China), | ||||||||
Series 1514, 3.87%, 09/14/2025 | CNY | 31,000 | 4,951 | |||||
Series 1603, 3.33%, 02/22/2026 | CNY | 10,100 | 1,579 | |||||
Series 1610, 3.18%, 09/05/2026 | CNY | 10,000 | 1,554 | |||||
Series 1703, 4.11%, 03/20/2027 | CNY | 30,000 | 4,881 | |||||
Series 1905, 3.28%, 02/11/2024 | CNY | 63,000 | 9,857 | |||||
Series 1908, 3.23%, 11/04/2022 | CNY | 8,000 | 1,247 | |||||
Series 1910, 3.86%, 05/20/2029 | CNY | 81,800 | 13,113 | |||||
Series 2003, 2.17%, 04/07/2023 | CNY | 47,500 | 7,300 | |||||
Series 2005, 2.93%, 03/02/2025 | CNY | 114,600 | 17,727 | |||||
Series 2007, 3.26%, 02/24/2027 | CNY | 53,000 | 8,238 | |||||
Series 2010, 3.23%, 03/23/2030 | CNY | 67,500 | 10,321 | |||||
Series 2011, 3.74%, 11/16/2030 | CNY | 10,000 | 1,594 | |||||
Series 2013, 3.34%, 09/04/2023 | CNY | 46,000 | 7,204 | |||||
Export-Import Bank of Korea, (South Korea), | ||||||||
Reg. S, 2.60%, 11/08/2023 | AUD | 1,100 | 822 | |||||
Reg. S, 8.00%, 05/15/2024 | IDR | 400,000 | 30 | |||||
Finland Government Bond, (Finland), | ||||||||
Reg. S, 0.00%, 09/15/2023 (e) | EUR | 330 | 387 | |||||
Reg. S, 0.00%, 09/15/2030 (e) | EUR | 50 | 58 | |||||
Reg. S, 0.13%, 04/15/2036 (e) | EUR | 120 | 135 | |||||
Reg. S, 0.13%, 04/15/2052 (e) | EUR | 150 | 152 | |||||
Reg. S, 0.25%, 09/15/2040 (e) | EUR | 384 | 431 | |||||
Reg. S, 0.50%, 04/15/2026 (e) | EUR | 820 | 994 | |||||
Reg. S, 0.50%, 09/15/2027 (e) | EUR | 280 | 341 | |||||
Reg. S, 0.50%, 09/15/2029 (e) | EUR | 610 | 743 | |||||
Reg. S, 0.75%, 04/15/2031 (e) | EUR | 321 | 399 | |||||
Reg. S, 0.88%, 09/15/2025 (e) | EUR | 430 | 527 | |||||
Reg. S, 1.13%, 04/15/2034 (e) | EUR | 522 | 675 | |||||
Reg. S, 2.00%, 04/15/2024 (e) | EUR | 447 | 554 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Reg. S, 2.63%, 07/04/2042 (e) | EUR | 170 | 284 | |||||
Reg. S, 4.00%, 07/04/2025 (e) | EUR | 270 | 368 | |||||
Series 30Y, Reg. S, 1.38%, 04/15/2047 (e) | EUR | 310 | 437 | |||||
Finnvera OYJ, (Finland), | ||||||||
Reg. S, 0.38%, 04/09/2029 | EUR | 100 | 119 | |||||
Reg. S, 0.75%, 08/07/2028 | EUR | 100 | 122 | |||||
Fondo De Titulizacion Del Deficit Del Sistema Electrico FTA, (Spain), | ||||||||
Reg. S, 0.01%, 09/17/2025 | EUR | 100 | 117 | |||||
Reg. S, 0.85%, 12/17/2023 | EUR | 600 | 715 | |||||
Free and Hanseatic City of Hamburg, (Germany), | ||||||||
Reg. S, 0.00%, 04/07/2026 | EUR | 280 | 328 | |||||
Reg. S, 0.01%, 06/30/2028 | EUR | 180 | 210 | |||||
0.01%, 11/05/2035 | EUR | 70 | 77 | |||||
Reg. S, 0.20%, 09/03/2049 | EUR | 70 | 72 | |||||
Reg. S, 0.25%, 02/18/2041 | EUR | 94 | 103 | |||||
Free State of Bavaria, (Germany), Reg. S, 0.01%, 01/18/2035 | EUR | 352 | 391 | |||||
Free State of Saxony, (Germany), Reg. S, 0.01%, 11/05/2029 | EUR | 197 | 228 | |||||
French Republic Government Bond OAT, (France), | ||||||||
Reg. S, 0.00%, 11/25/2029 | EUR | 2,745 | 3,193 | |||||
Reg. S, 0.50%, 06/25/2044 (e) | EUR | 451 | 498 | |||||
Reg. S, 1.00%, 11/25/2025 | EUR | 1,150 | 1,416 | |||||
Reg. S, 0.00%, 02/25/2023 | EUR | 2,627 | 3,072 | |||||
Reg. S, 0.00%, 03/25/2023 | EUR | 3,301 | 3,862 | |||||
Reg. S, 0.00%, 02/25/2024 | EUR | 727 | 855 | |||||
Reg. S, 0.00%, 03/25/2024 | EUR | 1,300 | 1,529 | |||||
Reg. S, 0.00%, 03/25/2025 | EUR | 3,340 | 3,943 | |||||
Reg. S, 0.00%, 02/25/2026 | EUR | 85 | 100 | |||||
Reg. S, 0.00%, 02/25/2027 | EUR | 1,205 | 1,421 | |||||
Reg. S, 0.00%, 11/25/2030 | EUR | 2,750 | 3,168 | |||||
Reg. S, 0.00%, 11/25/2031 | EUR | 149 | 170 | |||||
Reg. S, 0.25%, 11/25/2026 | EUR | 2,730 | 3,267 | |||||
Reg. S, 0.50%, 05/25/2025 | EUR | 2,513 | 3,022 | |||||
Reg. S, 0.50%, 05/25/2026 | EUR | 1,637 | 1,980 | |||||
Reg. S, 0.50%, 05/25/2029 | EUR | 2,197 | 2,663 | |||||
Reg. S, 0.50%, 05/25/2040 (e) | EUR | 3,773 | 4,274 | |||||
Reg. S, 0.50%, 05/25/2072 (e) | EUR | 519 | 462 | |||||
Reg. S, 0.75%, 05/25/2028 | EUR | 1,893 | 2,336 | |||||
Reg. S, 0.75%, 11/25/2028 | EUR | 1,140 | 1,408 | |||||
Reg. S, 0.75%, 05/25/2052 (e) | EUR | 3,079 | 3,394 | |||||
Reg. S, 0.75%, 05/25/2053 (e) | EUR | 205 | 224 | |||||
Reg. S, 1.00%, 05/25/2027 | EUR | 2,841 | 3,541 | |||||
Reg. S, 1.25%, 05/25/2034 | EUR | 1,879 | 2,425 | |||||
Reg. S, 1.25%, 05/25/2036 (e) | EUR | 1,967 | 2,541 | |||||
Reg. S, 1.50%, 05/25/2031 | EUR | 3,819 | 5,025 | |||||
Reg. S, 1.50%, 05/25/2050 (e) | EUR | 1,826 | 2,448 | |||||
Reg. S, 1.75%, 05/25/2023 | EUR | 3,030 | 3,650 | |||||
Reg. S, 1.75%, 11/25/2024 | EUR | 2,526 | 3,143 | |||||
Reg. S, 1.75%, 06/25/2039 (e) | EUR | 1,494 | 2,094 | |||||
Reg. S, 1.75%, 05/25/2066 (e) | EUR | 712 | 1,034 | |||||
Reg. S, 2.00%, 05/25/2048 (e) | EUR | 1,548 | 2,301 | |||||
Reg. S, 2.25%, 05/25/2024 | EUR | 662 | 826 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Reg. S, 2.50%, 05/25/2030 | EUR | 6,088 | 8,598 | |||||
Reg. S, 2.75%, 10/25/2027 | EUR | 2,455 | 3,379 | |||||
Reg. S, 3.25%, 05/25/2045 | EUR | 1,261 | 2,267 | |||||
Reg. S, 3.50%, 04/25/2026 | EUR | 36 | 49 | |||||
Reg. S, 4.00%, 10/25/2038 | EUR | 825 | 1,506 | |||||
Reg. S, 4.00%, 04/25/2055 (e) | EUR | 966 | 2,105 | |||||
Reg. S, 4.00%, 04/25/2060 | EUR | 768 | 1,747 | |||||
Reg. S, 4.25%, 10/25/2023 | EUR | 1,910 | 2,438 | |||||
Reg. S, 4.50%, 04/25/2041 | EUR | 1,951 | 3,891 | |||||
Reg. S, 4.75%, 04/25/2035 | EUR | 2,007 | 3,695 | |||||
Reg. S, 5.50%, 04/25/2029 | EUR | 2,037 | 3,373 | |||||
Reg. S, 5.75%, 10/25/2032 | EUR | 1,159 | 2,167 | |||||
Reg. S, 6.00%, 10/25/2025 | EUR | 2,740 | 4,025 | |||||
Reg. S, 8.50%, 04/25/2023 | EUR | 1,220 | 1,616 | |||||
Gemeinsame Deutsche Bundeslaender, (Germany), | ||||||||
Series 46, Reg. S, 1.13%, 09/30/2024 | EUR | 720 | 872 | |||||
Series 58, Reg. S, 0.00%, 02/19/2027 | EUR | 220 | 258 | |||||
Gestion Securite de Stocks Securite SA, (France), Reg. S, 4.00%, 01/24/2024 | EUR | 100 | 127 | |||||
Hong Kong Government Bond Programme, (Hong Kong), | ||||||||
1.68%, 01/21/2026 | HKD | 11,350 | 1,516 | |||||
1.97%, 01/17/2029 | HKD | 1,300 | 177 | |||||
Housing & Development Board, (Singapore), | ||||||||
Reg. S, 1.76%, 02/24/2027 | SGD | 250 | 186 | |||||
1.87%, 07/21/2033 | SGD | 1,000 | 716 | |||||
Reg. S, 2.25%, 11/21/2024 | SGD | 750 | 571 | |||||
Reg. S, 2.32%, 01/24/2028 | SGD | 250 | 192 | |||||
Reg. S, 2.60%, 10/30/2029 | SGD | 1,500 | 1,167 | |||||
Hungary Government Bond, (Hungary), | ||||||||
Series 24/C, 2.50%, 10/24/2024 | HUF | 281,740 | 915 | |||||
Series 26/E, 1.50%, 04/22/2026 | HUF | 100,410 | 308 | |||||
Series 26/D, 2.75%, 12/22/2026 | HUF | 80,210 | 259 | |||||
Series 27/A, 3.00%, 10/27/2027 | HUF | 194,780 | 634 | |||||
Series 28/A, 6.75%, 10/22/2028 | HUF | 75,000 | 300 | |||||
Series 30/A, 3.00%, 08/21/2030 | HUF | 157,350 | 504 | |||||
Series 33/A, 2.25%, 04/20/2033 | HUF | 57,020 | 165 | |||||
Series 34/A, 2.25%, 06/22/2034 | HUF | 44,800 | 126 | |||||
Series 41/A, 3.00%, 04/25/2041 | HUF | 27,170 | 77 | |||||
Hungary Government International Bond, (Hungary), | ||||||||
Reg. S, 0.50%, 11/18/2030 | EUR | 500 | 567 | |||||
Reg. S, 1.63%, 04/28/2032 | EUR | 500 | 610 | |||||
Reg. S, 1.75%, 10/10/2027 | EUR | 425 | 539 | |||||
Hydro-Quebec, (Canada), | ||||||||
6.00%, 02/15/2040 | CAD | 300 | 353 | |||||
SUB, 8.40%, 03/28/2025 | 200 | 247 | ||||||
SUB, 8.91%, 11/18/2024 | 500 | 620 | ||||||
Indonesia Government International Bond, (Indonesia), | ||||||||
0.90%, 02/14/2027 | EUR | 1,600 | 1,867 | |||||
1.85%, 03/12/2031 | 234 | 224 | ||||||
Reg. S, 2.15%, 07/18/2024 | EUR | 550 | 670 | |||||
Reg. S, 3.75%, 06/14/2028 | EUR | 500 | 683 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Indonesia Treasury Bond, (Indonesia), | ||||||||
Series FR56, 8.38%, 09/15/2026 | IDR | 13,567,000 | 1,075 | |||||
Series FR63, 5.63%, 05/15/2023 | IDR | 55,000,000 | 3,945 | |||||
Series FR64, 6.13%, 05/15/2028 | IDR | 65,993,000 | 4,703 | |||||
Series FR74, 7.50%, 08/15/2032 | IDR | 54,368,000 | 4,061 | |||||
Series FR75, 7.50%, 05/15/2038 | IDR | 110,122,000 | 8,010 | |||||
Series FR76, 7.38%, 05/15/2048 | IDR | 33,695,000 | 2,420 | |||||
Series FR80, 7.50%, 06/15/2035 | IDR | 25,000,000 | 1,848 | |||||
Series FR81, 6.50%, 06/15/2025 | IDR | 119,400,000 | 8,760 | |||||
Series FR82, 7.00%, 09/15/2030 | IDR | 83,820,000 | 6,140 | |||||
Series FR83, 7.50%, 04/15/2040 | IDR | 39,000,000 | 2,850 | |||||
Series FR85, 7.75%, 04/15/2031 | IDR | 30,000,000 | 2,299 | |||||
Series FR86, 5.50%, 04/15/2026 | IDR | 52,000,000 | 3,673 | |||||
Series FR87, 6.50%, 02/15/2031 | IDR | 20,000,000 | 1,412 | |||||
Series FR90, 5.13%, 04/15/2027 | IDR | 3,155,000 | 217 | |||||
Industrial Bank of Korea, (South Korea), Reg. S, 0.02%, 07/16/2025 | CHF | 300 | 324 | |||||
Infraestruturas de Portugal SA, (Portugal), Reg. S, 4.68%, 10/16/2024 | EUR | 150 | 200 | |||||
Instituto de Credito Oficial, (Spain), Reg. S, 0.25%, 04/30/2024 | EUR | 50 | 59 | |||||
International Bank for Reconstruction & Development, (Supranational), | ||||||||
0.00%, 01/15/2027 | EUR | 1,125 | 1,319 | |||||
Zero Coupon, 10/31/2030 | 1,000 | 820 | ||||||
0.10%, 09/17/2035 | EUR | 775 | 865 | |||||
Reg. S, 0.20%, 01/21/2061 | EUR | 500 | 482 | |||||
0.25%, 09/23/2027 | GBP | 900 | 1,166 | |||||
0.38%, 07/28/2025 | 50 | 49 | ||||||
0.50%, 07/24/2023 | GBP | 1,450 | 1,956 | |||||
0.50%, 06/21/2035 | EUR | 50 | 59 | |||||
0.88%, 12/13/2024 | GBP | 50 | 68 | |||||
1.63%, 01/15/2025 | 475 | 490 | ||||||
2.00%, 01/26/2022 | 165 | 166 | ||||||
2.50%, 03/19/2024 | 365 | 383 | ||||||
3.00%, 09/27/2023 | 200 | 211 | ||||||
Investitionsbank Schleswig-Holstein, (Germany), Reg. S, 0.01%, 05/15/2026 | EUR | 100 | 117 | |||||
Ireland Government Bond, (Ireland), | ||||||||
Reg. S, 0.20%, 10/18/2030 | EUR | 881 | 1,031 | |||||
Reg. S, 0.40%, 05/15/2035 | EUR | 691 | 799 | |||||
Reg. S, 0.00%, 10/18/2022 | EUR | 330 | 385 | |||||
Reg. S, 0.00%, 10/18/2031 | EUR | 272 | 309 | |||||
Reg. S, 0.20%, 05/15/2027 | EUR | 880 | 1,049 | |||||
Reg. S, 0.55%, 04/22/2041 | EUR | 230 | 261 | |||||
Reg. S, 0.90%, 05/15/2028 | EUR | 12 | 15 | |||||
Reg. S, 1.10%, 05/15/2029 | EUR | 517 | 654 | |||||
Reg. S, 1.35%, 03/18/2031 | EUR | 365 | 473 | |||||
Reg. S, 1.50%, 05/15/2050 | EUR | 481 | 640 | |||||
Reg. S, 1.70%, 05/15/2037 | EUR | 290 | 396 | |||||
Reg. S, 2.00%, 02/18/2045 | EUR | 430 | 634 | |||||
Reg. S, 2.40%, 05/15/2030 | EUR | 590 | 826 | |||||
Reg. S, 3.40%, 03/18/2024 | EUR | 490 | 624 | |||||
Reg. S, 3.90%, 03/20/2023 | EUR | 270 | 333 | |||||
5.40%, 03/13/2025 | EUR | 790 | 1,104 | |||||
Israel Government AID Bond, (Israel), 5.50%, 09/18/2033 | 900 | 1,250 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Israel Government Bond - Fixed, (Israel), | ||||||||
Series 142, 5.50%, 01/31/2042 | ILS | 290 | 144 | |||||
Series 327, 2.00%, 03/31/2027 | ILS | 800 | 268 | |||||
Series 330, 1.00%, 03/31/2030 | ILS | 1,200 | 368 | |||||
Series 537, 1.50%, 05/31/2037 | ILS | 305 | 90 | |||||
Israel Government International Bond, (Israel), | ||||||||
Reg. S, 2.50%, 01/16/2049 | EUR | 425 | 627 | |||||
2.75%, 07/03/2030 | 200 | 212 | ||||||
Italy Buoni Poliennali Del Tesoro, (Italy), | ||||||||
Reg. S, 0.85%, 01/15/2027 (e) | EUR | 6,435 | 7,704 | |||||
Reg. S, 1.80%, 03/01/2041 (e) | EUR | 1,073 | 1,297 | |||||
Reg. S, 0.00%, 01/15/2024 | EUR | 1,045 | 1,219 | |||||
Reg. S, 0.00%, 04/15/2024 | EUR | 1,038 | 1,210 | |||||
Reg. S, 0.30%, 08/15/2023 (e) | EUR | 1,640 | 1,925 | |||||
Reg. S, 0.35%, 02/01/2025 | EUR | 380 | 447 | |||||
Reg. S, 0.50%, 07/15/2028 (e) | EUR | 154 | 179 | |||||
Reg. S, 0.60%, 06/15/2023 | EUR | 1,640 | 1,934 | |||||
Reg. S, 0.60%, 08/01/2031 (e) | EUR | 554 | 626 | |||||
Reg. S, 0.65%, 10/15/2023 | EUR | 1,000 | 1,183 | |||||
Reg. S, 0.90%, 04/01/2031 | EUR | 927 | 1,081 | |||||
Reg. S, 0.95%, 03/01/2023 | EUR | 1,646 | 1,944 | |||||
Reg. S, 0.95%, 09/15/2027 (e) | EUR | 880 | 1,057 | |||||
Reg. S, 0.95%, 08/01/2030 | EUR | 1,510 | 1,781 | |||||
Reg. S, 0.95%, 12/01/2031 (e) | EUR | 175 | 204 | |||||
Reg. S, 0.95%, 03/01/2037 (e) | EUR | 203 | 223 | |||||
Reg. S, 1.25%, 12/01/2026 | EUR | 1,242 | 1,519 | |||||
Reg. S, 1.35%, 04/01/2030 | EUR | 1,390 | 1,698 | |||||
Reg. S, 1.45%, 11/15/2024 | EUR | 1,900 | 2,313 | |||||
Reg. S, 1.45%, 05/15/2025 | EUR | 1,013 | 1,240 | |||||
Reg. S, 1.45%, 03/01/2036 (e) | EUR | 1,079 | 1,285 | |||||
Reg. S, 1.50%, 06/01/2025 | EUR | 1,620 | 1,986 | |||||
Reg. S, 1.50%, 04/30/2045 (e) | EUR | 687 | 774 | |||||
Reg. S, 1.65%, 12/01/2030 (e) | EUR | 2,329 | 2,905 | |||||
Reg. S, 1.65%, 03/01/2032 (e) | EUR | 676 | 840 | |||||
Reg. S, 1.70%, 09/01/2051 (e) | EUR | 709 | 801 | |||||
Reg. S, 1.75%, 07/01/2024 | EUR | 1,140 | 1,392 | |||||
Reg. S, 1.85%, 07/01/2025 (e) | EUR | 2,260 | 2,806 | |||||
Reg. S, 2.00%, 12/01/2025 | EUR | 760 | 954 | |||||
Reg. S, 2.00%, 02/01/2028 | EUR | 140 | 179 | |||||
Reg. S, 2.05%, 08/01/2027 | EUR | 1,290 | 1,646 | |||||
Reg. S, 2.10%, 07/15/2026 | EUR | 1,702 | 2,159 | |||||
Reg. S, 2.15%, 03/01/2072 (e) | EUR | 79 | 90 | |||||
Reg. S, 2.15%, 03/01/2072 (e) | EUR | 233 | 265 | |||||
Reg. S, 2.20%, 06/01/2027 | EUR | 2,407 | 3,094 | |||||
Reg. S, 2.25%, 09/01/2036 (e) | EUR | 740 | 973 | |||||
Reg. S, 2.45%, 09/01/2033 (e) | EUR | 1,194 | 1,597 | |||||
Reg. S, 2.50%, 12/01/2024 | EUR | 994 | 1,249 | |||||
Reg. S, 2.50%, 11/15/2025 | EUR | 902 | 1,153 | |||||
Reg. S, 2.70%, 03/01/2047 (e) | EUR | 440 | 612 | |||||
Reg. S, 2.80%, 12/01/2028 | EUR | 590 | 794 | |||||
Reg. S, 2.80%, 03/01/2067 (e) | EUR | 575 | 783 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Reg. S, 2.95%, 09/01/2038 (e) | EUR | 704 | 1,007 | |||||
Reg. S, 3.00%, 08/01/2029 | EUR | 1,426 | 1,958 | |||||
Reg. S, 3.10%, 03/01/2040 (e) | EUR | 912 | 1,331 | |||||
Reg. S, 3.25%, 09/01/2046 (e) | EUR | 1,090 | 1,659 | |||||
Reg. S, 3.35%, 03/01/2035 (e) | EUR | 2,940 | 4,321 | |||||
Reg. S, 3.45%, 03/01/2048 (e) | EUR | 712 | 1,123 | |||||
Reg. S, 3.50%, 03/01/2030 (e) | EUR | 1,306 | 1,866 | |||||
Reg. S, 3.75%, 09/01/2024 | EUR | 1,230 | 1,590 | |||||
Reg. S, 3.85%, 09/01/2049 (e) | EUR | 883 | 1,491 | |||||
Reg. S, 4.00%, 02/01/2037 (e) | EUR | 1,310 | 2,081 | |||||
Reg. S, 4.50%, 05/01/2023 | EUR | 1,891 | 2,362 | |||||
Reg. S, 4.50%, 03/01/2024 | EUR | 59 | 76 | |||||
Reg. S, 4.50%, 03/01/2026 (e) | EUR | 3 | 4 | |||||
Reg. S, 4.75%, 08/01/2023 (e) | EUR | 1,000 | 1,269 | |||||
Reg. S, 4.75%, 09/01/2028 (e) | EUR | 1,593 | 2,382 | |||||
Reg. S, 4.75%, 09/01/2044 (e) | EUR | 2,050 | 3,790 | |||||
Reg. S, 5.00%, 03/01/2025 (e) | EUR | 890 | 1,212 | |||||
Reg. S, 5.00%, 08/01/2034 (e) | EUR | 1,238 | 2,097 | |||||
Reg. S, 5.00%, 08/01/2039 (e) | EUR | 1,074 | 1,942 | |||||
Reg. S, 5.00%, 09/01/2040 (e) | EUR | 960 | 1,756 | |||||
Reg. S, 5.25%, 11/01/2029 | EUR | 1,777 | 2,819 | |||||
Reg. S, 5.50%, 11/01/2022 | EUR | 1,414 | 1,743 | |||||
Reg. S, 5.75%, 02/01/2033 | EUR | 1,100 | 1,926 | |||||
Reg. S, 6.00%, 05/01/2031 | EUR | 1,753 | 3,010 | |||||
Reg. S, 6.50%, 11/01/2027 | EUR | 890 | 1,413 | |||||
Reg. S, 7.25%, 11/01/2026 | EUR | 1,580 | 2,490 | |||||
Series 5Y, Reg. S, 2.45%, 10/01/2023 | EUR | 2,143 | 2,624 | |||||
Series CAC, Reg. S, 2.45%, 09/01/2050 (e) | EUR | 856 | 1,137 | |||||
Japan Bank for International Cooperation, (Japan), 2.38%, 07/21/2022 | 200 | 203 | ||||||
Japan Expressway Holding and Debt Repayment Agency, (Japan), | ||||||||
Series 37, 2.42%, 06/20/2028 | JPY | 100,000 | 1,037 | |||||
Series 75, 1.96%, 09/19/2031 | JPY | 100,000 | 1,053 | |||||
Series 347, 0.73%, 04/30/2048 | JPY | 200,000 | 1,829 | |||||
Japan Finance Corp., (Japan), | ||||||||
Series 57, 0.00%, 10/17/2025 | JPY | 400,000 | 3,592 | |||||
Series 62, 0.00%, 07/31/2024 | JPY | 1,870,000 | 16,804 | |||||
Japan Finance Organization for Municipalities, (Japan), | ||||||||
Reg. S, 0.05%, 02/12/2027 | EUR | 200 | 233 | |||||
Series 4, 0.31%, 07/28/2023 | JPY | 1,000,000 | 9,038 | |||||
Series 39, 0.82%, 08/26/2022 | JPY | 10,000 | 90 | |||||
Series 55, 0.78%, 12/28/2023 | JPY | 100,000 | 914 | |||||
Series 69, 0.48%, 02/28/2025 | JPY | 100,000 | 912 | |||||
Series 72, 0.51%, 05/23/2025 | JPY | 1,016,000 | 9,296 | |||||
Series 2022, 2.32%, 06/18/2027 | JPY | 1,400,000 | 14,186 | |||||
Japan Government Five Year Bond, (Japan), | ||||||||
Series 135, 0.10%, 03/20/2023 | JPY | 3,819,750 | 34,430 | |||||
Series 141, 0.10%, 09/20/2024 | JPY | 323,300 | 2,923 | |||||
Series 143, 0.10%, 03/20/2025 | JPY | 934,600 | 8,457 | |||||
Series 144, 0.10%, 06/20/2025 | JPY | 329,000 | 2,979 | |||||
Series 148, 0.01%, 06/20/2026 | JPY | 184,750 | 1,667 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Japan Government Forty Year Bond, (Japan), | ||||||||
Series 1, 2.40%, 03/20/2048 | JPY | 100,000 | 1,292 | |||||
Series 3, 2.20%, 03/20/2050 | JPY | 2,683,300 | 33,786 | |||||
Series 4, 2.20%, 03/20/2051 | JPY | 540,200 | 6,824 | |||||
Series 5, 2.00%, 03/20/2052 | JPY | 362,900 | 4,425 | |||||
Series 6, 1.90%, 03/20/2053 | JPY | 109,500 | 1,316 | |||||
Series 7, 1.70%, 03/20/2054 | JPY | 585,650 | 6,777 | |||||
Series 8, 1.40%, 03/20/2055 | JPY | 474,850 | 5,139 | |||||
Series 9, 0.40%, 03/20/2056 | JPY | 61,450 | 499 | |||||
Series 10, 0.90%, 03/20/2057 | JPY | 150,450 | 1,428 | |||||
Series 11, 0.80%, 03/20/2058 | JPY | 802,900 | 7,384 | |||||
Series 12, 0.50%, 03/20/2059 | JPY | 1,099,550 | 9,129 | |||||
Series 13, 0.50%, 03/20/2060 | JPY | 650,050 | 5,375 | |||||
Series 14, 0.70%, 03/20/2061 | JPY | 478,400 | 4,217 | |||||
Japan Government Ten Year Bond, (Japan), | ||||||||
Series 329, 0.80%, 06/20/2023 | JPY | 269,750 | 2,461 | |||||
Series 330, 0.80%, 09/20/2023 | JPY | 5,101,700 | 46,658 | |||||
Series 334, 0.60%, 06/20/2024 | JPY | 1,632,950 | 14,958 | |||||
Series 336, 0.50%, 12/20/2024 | JPY | 523,900 | 4,799 | |||||
Series 342, 0.10%, 03/20/2026 | JPY | 288,000 | 2,609 | |||||
Series 343, 0.10%, 06/20/2026 | JPY | 3,348,200 | 30,343 | |||||
Series 344, 0.10%, 09/20/2026 | JPY | 2,222,800 | 20,150 | |||||
Series 345, 0.10%, 12/20/2026 | JPY | 7,942,800 | 72,022 | |||||
Series 346, 0.10%, 03/20/2027 | JPY | 1,000,000 | 9,072 | |||||
Series 347, 0.10%, 06/20/2027 | JPY | 1,381,350 | 12,534 | |||||
Series 348, 0.10%, 09/20/2027 | JPY | 3,407,900 | 30,931 | |||||
Series 349, 0.10%, 12/20/2027 | JPY | 2,115,800 | 19,203 | |||||
Series 350, 0.10%, 03/20/2028 | JPY | 1,368,900 | 12,422 | |||||
Series 351, 0.10%, 06/20/2028 | JPY | 1,529,200 | 13,876 | |||||
Series 352, 0.10%, 09/20/2028 | JPY | 1,452,200 | 13,175 | |||||
Series 354, 0.10%, 03/20/2029 | JPY | 309,200 | 2,804 | |||||
Series 355, 0.10%, 06/20/2029 | JPY | 156,050 | 1,415 | |||||
Series 356, 0.10%, 09/20/2029 | JPY | 2,192,650 | 19,870 | |||||
Series 357, 0.10%, 12/20/2029 | JPY | 972,650 | 8,812 | |||||
Series 358, 0.10%, 03/20/2030 | JPY | 1,115,100 | 10,102 | |||||
Series 359, 0.10%, 06/20/2030 | JPY | 4,656,500 | 42,147 | |||||
Series 360, 0.10%, 09/20/2030 | JPY | 910,250 | 8,230 | |||||
Series 361, 0.10%, 12/20/2030 | JPY | 571,000 | 5,159 | |||||
Series 363, 0.10%, 06/20/2031 | JPY | 508,400 | 4,580 | |||||
Japan Government Thirty Year Bond, (Japan), | ||||||||
Series 4, 2.90%, 11/20/2030 | JPY | 411,050 | 4,656 | |||||
Series 5, 2.20%, 05/20/2031 | JPY | 143,400 | 1,552 | |||||
Series 11, 1.70%, 06/20/2033 | JPY | 100,000 | 1,061 | |||||
Series 12, 2.10%, 09/20/2033 | JPY | 152,100 | 1,681 | |||||
Series 17, 2.40%, 12/20/2034 | JPY | 112,150 | 1,296 | |||||
Series 18, 2.30%, 03/20/2035 | JPY | 973,400 | 11,164 | |||||
Series 19, 2.30%, 06/20/2035 | JPY | 3,067,700 | 35,275 | |||||
Series 20, 2.50%, 09/20/2035 | JPY | 156,800 | 1,848 | |||||
Series 21, 2.30%, 12/20/2035 | JPY | 749,850 | 8,675 | |||||
Series 22, 2.50%, 03/20/2036 | JPY | 132,250 | 1,567 | |||||
Series 23, 2.50%, 06/20/2036 | JPY | 469,200 | 5,574 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Series 24, 2.50%, 09/20/2036 | JPY | 754,250 | 8,994 | |||||
Series 29, 2.40%, 09/20/2038 | JPY | 110,100 | 1,324 | |||||
Series 32, 2.30%, 03/20/2040 | JPY | 271,450 | 3,259 | |||||
Series 33, 2.00%, 09/20/2040 | JPY | 3,575,400 | 41,348 | |||||
Series 34, 2.20%, 03/20/2041 | JPY | 622,350 | 7,419 | |||||
Series 35, 2.00%, 09/20/2041 | JPY | 844,000 | 9,816 | |||||
Series 37, 1.90%, 09/20/2042 | JPY | 1,558,300 | 17,950 | |||||
Series 38, 1.80%, 03/20/2043 | JPY | 103,400 | 1,176 | |||||
Series 39, 1.90%, 06/20/2043 | JPY | 316,950 | 3,669 | |||||
Series 40, 1.80%, 09/20/2043 | JPY | 56,950 | 650 | |||||
Series 41, 1.70%, 12/20/2043 | JPY | 385,100 | 4,323 | |||||
Series 42, 1.70%, 03/20/2044 | JPY | 688,300 | 7,733 | |||||
Series 44, 1.70%, 09/20/2044 | JPY | 283,000 | 3,185 | |||||
Series 45, 1.50%, 12/20/2044 | JPY | 449,400 | 4,890 | |||||
Series 46, 1.50%, 03/20/2045 | JPY | 761,350 | 8,292 | |||||
Series 47, 1.60%, 06/20/2045 | JPY | 627,000 | 6,966 | |||||
Series 48, 1.40%, 09/20/2045 | JPY | 2,214,250 | 23,719 | |||||
Series 49, 1.40%, 12/20/2045 | JPY | 438,550 | 4,701 | |||||
Series 50, 0.80%, 03/20/2046 | JPY | 131,550 | 1,248 | |||||
Series 51, 0.30%, 06/20/2046 | JPY | 327,200 | 2,764 | |||||
Series 52, 0.50%, 09/20/2046 | JPY | 355,000 | 3,139 | |||||
Series 53, 0.60%, 12/20/2046 | JPY | 9,550 | 86 | |||||
Series 56, 0.80%, 09/20/2047 | JPY | 2,286,950 | 21,585 | |||||
Series 57, 0.80%, 12/20/2047 | JPY | 414,950 | 3,914 | |||||
Series 58, 0.80%, 03/20/2048 | JPY | 305,200 | 2,875 | |||||
Series 61, 0.70%, 12/20/2048 | JPY | 231,950 | 2,125 | |||||
Series 62, 0.50%, 03/20/2049 | JPY | 2,351,650 | 20,436 | |||||
Series 63, 0.40%, 06/20/2049 | JPY | 156,850 | 1,325 | |||||
Series 64, 0.40%, 09/20/2049 | JPY | 135,300 | 1,140 | |||||
Series 65, 0.40%, 12/20/2049 | JPY | 517,250 | 4,352 | |||||
Series 66, 0.40%, 03/20/2050 | JPY | 455,350 | 3,825 | |||||
Series 67, 0.60%, 06/20/2050 | JPY | 477,500 | 4,222 | |||||
Series 68, 0.60%, 09/20/2050 | JPY | 131,500 | 1,162 | |||||
Series 69, 0.70%, 12/20/2050 | JPY | 373,300 | 3,381 | |||||
Series 70, 0.70%, 03/20/2051 | JPY | 493,700 | 4,464 | |||||
Series 71, 0.70%, 06/20/2051 | JPY | 729,500 | 6,588 | |||||
Japan Government Twenty Year Bond, (Japan), | ||||||||
Series 72, 2.10%, 09/20/2024 | JPY | 975,400 | 9,337 | |||||
Series 75, 2.10%, 03/20/2025 | JPY | 37,000 | 358 | |||||
Series 80, 2.10%, 06/20/2025 | JPY | 517,000 | 5,025 | |||||
Series 82, 2.10%, 09/20/2025 | JPY | 1,631,800 | 15,944 | |||||
Series 92, 2.10%, 12/20/2026 | JPY | 196,250 | 1,964 | |||||
Series 94, 2.10%, 03/20/2027 | JPY | 47,500 | 477 | |||||
Series 96, 2.10%, 06/20/2027 | JPY | 93,350 | 943 | |||||
Series 99, 2.10%, 12/20/2027 | JPY | 771,550 | 7,863 | |||||
Series 102, 2.40%, 06/20/2028 | JPY | 900,900 | 9,428 | |||||
Series 105, 2.10%, 09/20/2028 | JPY | 25,450 | 263 | |||||
Series 109, 1.90%, 03/20/2029 | JPY | 6,139,250 | 63,093 | |||||
Series 113, 2.10%, 09/20/2029 | JPY | 204,150 | 2,142 | |||||
Series 118, 2.00%, 06/20/2030 | JPY | 1,865,000 | 19,655 | |||||
Series 121, 1.90%, 09/20/2030 | JPY | 1,808,800 | 18,968 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Series 122, 1.80%, 09/20/2030 | JPY | 965,200 | 10,043 | |||||
Series 123, 2.10%, 12/20/2030 | JPY | 167,000 | 1,784 | |||||
Series 124, 2.00%, 12/20/2030 | JPY | 253,200 | 2,684 | |||||
Series 125, 2.20%, 03/20/2031 | JPY | 768,850 | 8,302 | |||||
Series 126, 2.00%, 03/20/2031 | JPY | 845,200 | 8,983 | |||||
Series 127, 1.90%, 03/20/2031 | JPY | 636,450 | 6,711 | |||||
Series 128, 1.90%, 06/20/2031 | JPY | 797,950 | 8,439 | |||||
Series 131, 1.70%, 09/20/2031 | JPY | 1,370,700 | 14,288 | |||||
Series 133, 1.80%, 12/20/2031 | JPY | 526,850 | 5,554 | |||||
Series 137, 1.70%, 06/20/2032 | JPY | 514,700 | 5,407 | |||||
Series 140, 1.70%, 09/20/2032 | JPY | 2,049,100 | 21,574 | |||||
Series 145, 1.70%, 06/20/2033 | JPY | 109,050 | 1,157 | |||||
Series 146, 1.70%, 09/20/2033 | JPY | 173,100 | 1,840 | |||||
Series 148, 1.50%, 03/20/2034 | JPY | 970,000 | 10,138 | |||||
Series 149, 1.50%, 06/20/2034 | JPY | 4,177,850 | 43,736 | |||||
Series 150, 1.40%, 09/20/2034 | JPY | 6,281,850 | 65,152 | |||||
Series 151, 1.20%, 12/20/2034 | JPY | 585,550 | 5,944 | |||||
Series 152, 1.20%, 03/20/2035 | JPY | 1,277,600 | 12,978 | |||||
Series 153, 1.30%, 06/20/2035 | JPY | 800,000 | 8,229 | |||||
Series 154, 1.20%, 09/20/2035 | JPY | 845,850 | 8,612 | |||||
Series 155, 1.00%, 12/20/2035 | JPY | 963,350 | 9,578 | |||||
Series 156, 0.40%, 03/20/2036 | JPY | 838,350 | 7,694 | |||||
Series 157, 0.20%, 06/20/2036 | JPY | 1,132,250 | 10,080 | |||||
Series 161, 0.60%, 06/20/2037 | JPY | 643,500 | 6,052 | |||||
Series 164, 0.50%, 03/20/2038 | JPY | 489,650 | 4,522 | |||||
Series 165, 0.50%, 06/20/2038 | JPY | 397,450 | 3,664 | |||||
Series 166, 0.70%, 09/20/2038 | JPY | 22,000 | 209 | |||||
Series 167, 0.50%, 12/20/2038 | JPY | 1,149,500 | 10,572 | |||||
Series 168, 0.40%, 03/20/2039 | JPY | 590,400 | 5,336 | |||||
Series 172, 0.40%, 03/20/2040 | JPY | 145,000 | 1,301 | |||||
Series 173, 0.40%, 06/20/2040 | JPY | 872,500 | 7,817 | |||||
Series 174, 0.40%, 09/20/2040 | JPY | 2,985,300 | 26,703 | |||||
Series 175, 0.50%, 12/20/2040 | JPY | 698,400 | 6,349 | |||||
Series 176, 0.50%, 03/20/2041 | JPY | 753,650 | 6,840 | |||||
Series 177, 0.40%, 06/20/2041 | JPY | 908,850 | 8,088 | |||||
Japan Government Two Year Bond, (Japan), Series 415, 0.10%, 08/01/2022 | JPY | 959,300 | 8,634 | |||||
Japan Housing Finance Agency, (Japan), | ||||||||
Series 71, 1.75%, 03/19/2026 | JPY | 200,000 | 1,934 | |||||
Series 108, 1.43%, 06/18/2027 | JPY | 100,000 | 967 | |||||
Japan International Cooperation Agency, (Japan), Series 35, 0.08%, 06/19/2026 | JPY | 200,000 | 1,799 | |||||
Japanese Government CPI Linked Bond, (Japan), Series 25, 0.20%, 03/10/2030 | JPY | 99,811 | 941 | |||||
Jersey International Bond, (Jersey), Reg. S, 3.75%, 06/09/2054 | GBP | 400 | 774 | |||||
Junta de Castilla y Leon, (Spain), Reg. S, 0.43%, 04/30/2030 | EUR | 62 | 72 | |||||
Kazakhstan Government International Bond, (Kazakhstan), Reg. S, 1.50%, 09/30/2034 | EUR | 200 | 234 | |||||
Kingdom of Belgium Government Bond, (Belgium), | ||||||||
Series 44, Reg. S, 5.00%, 03/28/2035 (e) | EUR | 580 | 1,090 | |||||
Series 60, Reg. S, 4.25%, 03/28/2041 (e) | EUR | 710 | 1,370 | |||||
Series 66, Reg. S, 4.00%, 03/28/2032 | EUR | 530 | 865 | |||||
Series 68, Reg. S, 2.25%, 06/22/2023 | EUR | 762 | 928 | |||||
Series 71, Reg. S, 3.75%, 06/22/2045 | EUR | 470 | 899 | |||||
Series 72, Reg. S, 2.60%, 06/22/2024 (e) | EUR | 250 | 316 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Series 73, Reg. S, 3.00%, 06/22/2034 (e) | EUR | 2,227 | 3,458 | |||||
Series 74, Reg. S, 0.80%, 06/22/2025 (e) | EUR | 1,289 | 1,570 | |||||
Series 75, Reg. S, 1.00%, 06/22/2031 (e) | EUR | 477 | 603 | |||||
Series 76, Reg. S, 1.90%, 06/22/2038 (e) | EUR | 493 | 698 | |||||
Series 77, Reg. S, 1.00%, 06/22/2026 (e) | EUR | 1,412 | 1,750 | |||||
Series 78, Reg. S, 1.60%, 06/22/2047 (e) | EUR | 1,027 | 1,398 | |||||
Series 79, Reg. S, 0.20%, 10/22/2023 (e) | EUR | 247 | 291 | |||||
Series 80, Reg. S, 2.15%, 06/22/2066 (e) | EUR | 314 | 507 | |||||
Series 81, Reg. S, 0.80%, 06/22/2027 (e) | EUR | 100 | 124 | |||||
Series 82, Reg. S, 0.50%, 10/22/2024 (e) | EUR | 1,210 | 1,450 | |||||
Series 83, Reg. S, 2.25%, 06/22/2057 (e) | EUR | 354 | 568 | |||||
Series 84, Reg. S, 1.45%, 06/22/2037 (e) | EUR | 190 | 253 | |||||
Series 85, Reg. S, 0.80%, 06/22/2028 (e) | EUR | 1,400 | 1,739 | |||||
Series 86, Reg. S, 1.25%, 04/22/2033 (e) | EUR | 792 | 1,031 | |||||
Series 87, Reg. S, 0.90%, 06/22/2029 (e) | EUR | 1,124 | 1,408 | |||||
Series 88, Reg. S, 1.70%, 06/22/2050 (e) | EUR | 657 | 915 | |||||
Series 89, Reg. S, 0.10%, 06/22/2030 (e) | EUR | 722 | 846 | |||||
Series 90, Reg. S, 0.40%, 06/22/2040 (e) | EUR | 480 | 533 | |||||
Series 91, Reg. S, 0.00%, 10/22/2027 (e) | EUR | 1,326 | 1,567 | |||||
Series 92, Reg. S, 0.00%, 10/22/2031 (e) | EUR | 547 | 626 | |||||
Series 93, Reg. S, 0.65%, 06/22/2071 (e) | EUR | 258 | 247 | |||||
Kommunalbanken A/S, (Norway), | ||||||||
Reg. S, 0.05%, 10/24/2029 | EUR | 100 | 115 | |||||
Reg. S, 0.63%, 04/20/2026 | EUR | 1,000 | 1,202 | |||||
Kommunekredit, (Denmark), | ||||||||
Reg. S, 0.01%, 05/04/2034 | EUR | 500 | 553 | |||||
Reg. S, 0.25%, 03/29/2023 | EUR | 175 | 205 | |||||
Reg. S, 0.50%, 01/24/2025 | EUR | 700 | 834 | |||||
Kommuninvest I Sverige AB, (Sweden), | ||||||||
Reg. S, 1.50%, 05/12/2025 | SEK | 3,000 | 357 | |||||
Series 2505, Reg. S, 1.00%, 05/12/2025 | SEK | 5,000 | 586 | |||||
Series 2602, Reg. S, 0.75%, 02/04/2026 | SEK | 2,880 | 333 | |||||
Series G23, Reg. S, 0.63%, 06/01/2023 | SEK | 100 | 11 | |||||
Series G24, Reg. S, 0.38%, 03/27/2024 | SEK | 4,880 | 560 | |||||
Korea Development Bank (The), (South Korea), | ||||||||
Reg. S, 1.83%, 08/10/2027 | SEK | 1,000 | 119 | |||||
6.00%, 01/22/2025 | IDR | 15,000,000 | 1,066 | |||||
Korea Expressway Corp., (South Korea), Reg. S, 3.10%, 06/08/2026 | 200 | 213 | ||||||
Korea Housing Finance Corp., (South Korea), | ||||||||
Reg. S, 0.01%, 06/29/2026 | EUR | 100 | 116 | |||||
Reg. S, 0.10%, 06/18/2024 | EUR | 100 | 117 | |||||
Korea Hydro & Nuclear Power Co. Ltd., (South Korea), Reg. S, 0.00%, 07/19/2024 | CHF | 300 | 325 | |||||
Korea National Oil Corp., (South Korea), | ||||||||
Reg. S, 0.00%, 10/04/2024 | CHF | 300 | 325 | |||||
Reg. S, 0.26%, 07/30/2027 | CHF | 300 | 327 | |||||
Korea Treasury Bond, (South Korea), | ||||||||
Series 2306, 1.00%, 06/10/2023 | KRW | 32,596,600 | 27,334 | |||||
Series 2312, 0.88%, 12/10/2023 | KRW | 1,000,000 | 833 | |||||
Series 2409, 1.38%, 09/10/2024 | KRW | 13,098,440 | 10,969 | |||||
Series 2509, 1.13%, 09/10/2025 | KRW | 23,030,000 | 18,919 | |||||
Series 2603, 5.75%, 03/10/2026 | KRW | 5,119,010 | 5,020 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Series 2612, 1.50%, 12/10/2026 | KRW | 9,600,000 | 7,890 | |||||
Series 2912, 1.38%, 12/10/2029 | KRW | 27,148,660 | 21,460 | |||||
Series 3006, 1.38%, 06/10/2030 | KRW | 7,900,000 | 6,204 | |||||
Series 3106, 2.00%, 06/10/2031 | KRW | 7,015,550 | 5,782 | |||||
Series 3909, 1.13%, 09/10/2039 | KRW | 29,677,510 | 20,817 | |||||
Series 4703, 2.13%, 03/10/2047 | KRW | 4,126,000 | 3,379 | |||||
Series 5003, 1.50%, 03/10/2050 | KRW | 17,807,000 | 12,585 | |||||
Series 5103, 1.88%, 03/10/2051 | KRW | 1,848,300 | 1,438 | |||||
Series 6609, 1.50%, 09/10/2066 | KRW | 2,340,000 | 1,574 | |||||
Series 7009, 1.63%, 09/10/2070 | KRW | 989,340 | 689 | |||||
Kuntarahoitus OYJ, (Finland), | ||||||||
Reg. S, 0.05%, 09/06/2029 | EUR | 400 | 466 | |||||
Reg. S, 0.13%, 03/07/2024 | EUR | 180 | 212 | |||||
Reg. S, 1.25%, 02/23/2033 | EUR | 200 | 258 | |||||
Land Baden-Wuerttemberg, (Germany), | ||||||||
Reg. S, 0.01%, 09/02/2030 | EUR | 118 | 136 | |||||
Reg. S, 0.63%, 01/27/2026 | EUR | 380 | 458 | |||||
Series 120, Reg. S, 2.00%, 11/13/2023 | EUR | 220 | 268 | |||||
Land Berlin, (Germany), | ||||||||
Reg. S, 0.01%, 07/02/2030 | EUR | 490 | 565 | |||||
Reg. S, 0.10%, 01/18/2030 | EUR | 135 | 158 | |||||
Series 493, Reg. S, 0.63%, 02/08/2027 | EUR | 570 | 690 | |||||
Series 495, Reg. S, 1.38%, 06/05/2037 | EUR | 260 | 342 | |||||
Series 506, Reg. S, 1.38%, 08/27/2038 | EUR | 115 | 152 | |||||
Series 530, Reg. S, 0.10%, 01/18/2041 | EUR | 80 | 85 | |||||
Land Thueringen, (Germany), | ||||||||
Reg. S, 0.05%, 05/06/2030 | EUR | 260 | 301 | |||||
Reg. S, 0.13%, 01/13/2051 | EUR | 44 | 45 | |||||
Latvia Government International Bond, (Latvia), | ||||||||
Reg. S, 0.00%, 03/17/2031 | EUR | 100 | 115 | |||||
Reg. S, 1.13%, 05/30/2028 | EUR | 390 | 490 | |||||
Reg. S, 1.38%, 05/16/2036 | EUR | 110 | 146 | |||||
Lithuania Government International Bond, (Lithuania), | ||||||||
Reg. S, 0.25%, 05/06/2025 | EUR | 70 | 82 | |||||
Reg. S, 0.50%, 07/28/2050 | EUR | 210 | 230 | |||||
Reg. S, 0.75%, 05/06/2030 | EUR | 440 | 542 | |||||
Luxembourg Government Bond, (Luxembourg), | ||||||||
Reg. S, 0.00%, 04/28/2025 | EUR | 240 | 282 | |||||
Reg. S, 0.00%, 11/13/2026 | EUR | 130 | 153 | |||||
Reg. S, 0.00%, 04/28/2030 | EUR | 150 | 175 | |||||
Malaysia Government Bond, (Malaysia), | ||||||||
Series 114, 4.18%, 07/15/2024 | MYR | 8,000 | 1,994 | |||||
Series 118, 3.88%, 03/14/2025 | MYR | 2,000 | 498 | |||||
Series 216, 4.74%, 03/15/2046 | MYR | 10,700 | 2,730 | |||||
Series 217, 4.06%, 09/30/2024 | MYR | 12,000 | 2,986 | |||||
Series 219, 3.89%, 08/15/2029 | MYR | 6,600 | 1,631 | |||||
Series 307, 3.50%, 05/31/2027 | MYR | 2,000 | 487 | |||||
Series 317, 4.76%, 04/07/2037 | MYR | 2,200 | 574 | |||||
Series 318, 4.64%, 11/07/2033 | MYR | 10,000 | 2,566 | |||||
Series 319, 3.48%, 06/14/2024 | MYR | 5,500 | 1,348 | |||||
Series 418, 4.89%, 06/08/2038 | MYR | 11,600 | 3,038 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Series 518, 4.92%, 07/06/2048 | MYR | 1,800 | 473 | |||||
Series 519, 3.76%, 05/22/2040 | MYR | 30 | 7 | |||||
Malaysia Government Investment Issue, (Malaysia), | ||||||||
Series 119, 4.13%, 07/09/2029 | MYR | 31,630 | 7,889 | |||||
Series 217, 4.05%, 08/15/2024 | MYR | 3,090 | 768 | |||||
Series 218, 4.37%, 10/31/2028 | MYR | 7,600 | 1,937 | |||||
Series 219, 4.47%, 09/15/2039 | MYR | 2,000 | 490 | |||||
Series 316, 4.07%, 09/30/2026 | MYR | 21,579 | 5,440 | |||||
Series 417, 4.90%, 05/08/2047 | MYR | 521 | 134 | |||||
Series 517, 4.76%, 08/04/2037 | MYR | 3,800 | 973 | |||||
Series 519, 4.64%, 11/15/2049 | MYR | 2,995 | 728 | |||||
Series 615, 4.79%, 10/31/2035 | MYR | 2,946 | 764 | |||||
Series 617, 4.72%, 06/15/2033 | MYR | 3,000 | 787 | |||||
Series 719, 3.15%, 05/15/2023 | MYR | 9,000 | 2,187 | |||||
Metropolitano de Lisboa EPE, (Portugal), 7.30%, 12/23/2025 | EUR | 500 | 760 | |||||
Mexican Bonos, (Mexico), | ||||||||
Series M, 7.75%, 05/29/2031 | MXN | 12,000 | 596 | |||||
Series M 20, 7.50%, 06/03/2027 | MXN | 17,000 | 837 | |||||
Series M 20, 8.50%, 05/31/2029 | MXN | 1,000 | 52 | |||||
Mexico Government International Bond, (Mexico), | ||||||||
1.13%, 01/17/2030 | EUR | 600 | 680 | |||||
1.35%, 09/18/2027 | EUR | 1,575 | 1,877 | |||||
1.63%, 04/08/2026 | EUR | 100 | 121 | |||||
2.13%, 10/25/2051 | EUR | 600 | 575 | |||||
3.00%, 03/06/2045 | EUR | 425 | 510 | |||||
4.13%, 01/21/2026 | 280 | 313 | ||||||
4.60%, 02/10/2048 | 250 | 257 | ||||||
5.75%, 10/12/2110 | 20 | 23 | ||||||
6.75%, 02/06/2024 | GBP | 100 | 152 | |||||
Ministeries Van de Vlaamse Gemeenschap, (Belgium), | ||||||||
Reg. S, 0.01%, 06/23/2027 | EUR | 500 | 585 | |||||
Reg. S, 1.00%, 01/23/2051 | EUR | 100 | 115 | |||||
Reg. S, 1.38%, 11/21/2033 | EUR | 300 | 388 | |||||
Reg. S, 1.50%, 07/12/2038 | EUR | 100 | 130 | |||||
Reg. S, 1.50%, 04/11/2044 | EUR | 100 | 130 | |||||
Municipal Finance Authority of British Columbia, (Canada), | ||||||||
1.10%, 06/01/2025 | CAD | 200 | 157 | |||||
2.55%, 10/09/2029 | CAD | 300 | 248 | |||||
2.80%, 12/03/2023 | CAD | 1,000 | 825 | |||||
Nederlandse Waterschapsbank NV, (Netherlands), | ||||||||
Reg. S, 0.05%, 01/28/2030 | EUR | 374 | 434 | |||||
0.13%, 09/25/2023 | EUR | 400 | 469 | |||||
Reg. S, 0.25%, 06/07/2024 | EUR | 683 | 806 | |||||
Reg. S, 0.75%, 10/04/2041 | EUR | 100 | 119 | |||||
Reg. S, 1.00%, 03/01/2028 | EUR | 300 | 372 | |||||
Reg. S, 1.25%, 05/27/2036 | EUR | 140 | 180 | |||||
Reg. S, 1.50%, 06/15/2039 | EUR | 160 | 216 | |||||
5.20%, 03/31/2025 | CAD | 1,000 | 902 | |||||
Netherlands Government Bond, (Netherlands), | ||||||||
Reg. S, 4.00%, 01/15/2037 (e) | EUR | 846 | 1,555 | |||||
Reg. S, 0.00%, 01/15/2024 (e) | EUR | 771 | 907 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Reg. S, 0.00%, 01/15/2027 (e) | EUR | 990 | 1,175 | |||||
Reg. S, 0.00%, 07/15/2030 (e) | EUR | 620 | 728 | |||||
Reg. S, 0.00%, 01/15/2038 (e) | EUR | 202 | 226 | |||||
Reg. S, 0.00%, 01/15/2052 (e) | EUR | 546 | 566 | |||||
Reg. S, 0.25%, 07/15/2029 (e) | EUR | 1,359 | 1,634 | |||||
Reg. S, 0.50%, 01/15/2040 (e) | EUR | 540 | 659 | |||||
Reg. S, 0.75%, 07/15/2027 (e) | EUR | 1,883 | 2,333 | |||||
Reg. S, 0.75%, 07/15/2028 (e) | EUR | 120 | 150 | |||||
Reg. S, 1.75%, 07/15/2023 (e) | EUR | 1,605 | 1,942 | |||||
Reg. S, 2.00%, 07/15/2024 (e) | EUR | 1,274 | 1,586 | |||||
Reg. S, 2.50%, 01/15/2033 (e) | EUR | 2,507 | 3,729 | |||||
Reg. S, 2.75%, 01/15/2047 (e) | EUR | 1,212 | 2,258 | |||||
Reg. S, 3.75%, 01/15/2042 (e) | EUR | 981 | 1,933 | |||||
Reg. S, 5.50%, 01/15/2028 (e) | EUR | 666 | 1,061 | |||||
New South Wales Treasury Corp., (Australia), | ||||||||
Reg. S, 1.00%, 02/08/2024 | AUD | 500 | 367 | |||||
Reg. S, 1.25%, 03/20/2025 | AUD | 3,000 | 2,221 | |||||
Reg. S, 2.00%, 03/20/2031 | AUD | 1,900 | 1,401 | |||||
Reg. S, 2.00%, 03/08/2033 | AUD | 3,500 | 2,528 | |||||
2.25%, 05/07/2041 | AUD | 700 | 481 | |||||
Reg. S, 3.00%, 03/20/2028 | AUD | 1,800 | 1,439 | |||||
Reg. S, 3.00%, 02/20/2030 | AUD | 200 | 160 | |||||
Series 27, Reg. S, 3.00%, 05/20/2027 | AUD | 4,100 | 3,271 | |||||
New Zealand Government Bond, (New Zealand), | ||||||||
Series 423, Reg. S, 5.50%, 04/15/2023 | NZD | 3,250 | 2,396 | |||||
Series 425, Reg. S, 2.75%, 04/15/2025 | NZD | 1,700 | 1,229 | |||||
Series 427, Reg. S, 4.50%, 04/15/2027 | NZD | 730 | 580 | |||||
Series 429, 3.00%, 04/20/2029 | NZD | 280 | 209 | |||||
Series 433, Reg. S, 3.50%, 04/14/2033 | NZD | 1,980 | 1,554 | |||||
Series 437, Reg. S, 2.75%, 04/15/2037 | NZD | 2,050 | 1,480 | |||||
Series 524, 0.50%, 05/15/2024 | NZD | 5,500 | 3,726 | |||||
Series 526, 0.50%, 05/15/2026 | NZD | 523 | 344 | |||||
Series 528, 0.25%, 05/15/2028 | NZD | 6,400 | 4,002 | |||||
Series 531, 1.50%, 05/15/2031 | NZD | 2,700 | 1,782 | |||||
Series 541, 1.75%, 05/15/2041 | NZD | 1,265 | 759 | |||||
Series 551, 2.75%, 05/15/2051 | NZD | 633 | 432 | |||||
New Zealand Local Government Funding Agency Bond, (New Zealand), | ||||||||
Reg. S, 2.00%, 04/15/2037 | NZD | 1,570 | 952 | |||||
3.50%, 04/14/2033 | NZD | 300 | 223 | |||||
Northern Territory Treasury Corp., (Australia), | ||||||||
Reg. S, 2.00%, 04/21/2031 | AUD | 600 | 435 | |||||
Reg. S, 2.75%, 04/21/2027 | AUD | 2,200 | 1,724 | |||||
Norway Government Bond, (Norway), | ||||||||
Series 475, Reg. S, 2.00%, 05/24/2023 (e) | NOK | 1,590 | 185 | |||||
Series 476, Reg. S, 3.00%, 03/14/2024 (e) | NOK | 6,073 | 726 | |||||
Series 477, Reg. S, 1.75%, 03/13/2025 (e) | NOK | 1,920 | 223 | |||||
Series 478, Reg. S, 1.50%, 02/19/2026 (e) | NOK | 2,520 | 290 | |||||
Series 479, Reg. S, 1.75%, 02/17/2027 (e) | NOK | 3,070 | 357 | |||||
Series 480, Reg. S, 2.00%, 04/26/2028 (e) | NOK | 1,450 | 171 | |||||
Series 481, Reg. S, 1.75%, 09/06/2029 (e) | NOK | 3,040 | 353 | |||||
Series 483, Reg. S, 1.25%, 09/17/2031 (e) | NOK | 2,794 | 309 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Series 482, Reg. S, 1.38%, 08/19/2030 (e) | NOK | 3,270 | 368 | |||||
OMERS Finance Trust, (Canada), | ||||||||
0.45%, 05/13/2025 (e) | EUR | 250 | 295 | |||||
Reg. S, 0.45%, 05/13/2025 | EUR | 2,700 | 3,191 | |||||
Ontario Electricity Financial Corp., (Canada), Series 40, Zero Coupon, 04/11/2031 | CAD | 1,000 | 631 | |||||
Ontario Teachers Finance Trust, (Canada), | ||||||||
Reg. S, 0.50%, 05/06/2025 | EUR | 2,100 | 2,494 | |||||
Reg. S, 0.90%, 05/20/2041 | EUR | 200 | 231 | |||||
Panama Government International Bond, (Panama), 4.50%, 04/16/2050 | 200 | 217 | ||||||
Peruvian Government International Bond, (Peru), | ||||||||
Reg. S, 2.75%, 01/30/2026 | EUR | 425 | 544 | |||||
2.78%, 01/23/2031 | 110 | 109 | ||||||
3.23%, 07/28/2121 | 25 | 20 | ||||||
3.55%, 03/10/2051 | 50 | 50 | ||||||
Reg. S, 6.90%, 08/12/2037 | PEN | 1,000 | 231 | |||||
Philippine Government International Bond, (Philippines), 1.65%, 06/10/2031 | 200 | 190 | ||||||
9.50%, 02/02/2030 | 100 | 155 | ||||||
Portugal Obrigacoes do Tesouro OT, (Portugal), | ||||||||
Reg. S, 0.30%, 10/17/2031 (e) | EUR | 107 | 123 | |||||
Reg. S, 0.48%, 10/18/2030 (e) | EUR | 997 | 1,183 | |||||
Reg. S, 0.70%, 10/15/2027 (e) | EUR | 1,455 | 1,777 | |||||
Reg. S, 0.90%, 10/12/2035 (e) | EUR | 451 | 538 | |||||
Reg. S, 1.00%, 04/12/2052 (e) | EUR | 140 | 150 | |||||
Reg. S, 1.95%, 06/15/2029 (e) | EUR | 233 | 310 | |||||
Reg. S, 2.13%, 10/17/2028 (e) | EUR | 699 | 936 | |||||
Reg. S, 2.20%, 10/17/2022 (e) | EUR | 740 | 883 | |||||
Reg. S, 2.88%, 10/15/2025 (e) | EUR | 610 | 804 | |||||
Reg. S, 2.88%, 07/21/2026 (e) | EUR | 580 | 778 | |||||
Reg. S, 3.88%, 02/15/2030 (e) | EUR | 50 | 76 | |||||
Reg. S, 4.10%, 04/15/2037 (e) | EUR | 667 | 1,160 | |||||
Reg. S, 4.10%, 02/15/2045 (e) | EUR | 500 | 951 | |||||
Reg. S, 4.13%, 04/14/2027 (e) | EUR | 480 | 694 | |||||
Reg. S, 5.65%, 02/15/2024 (e) | EUR | 920 | 1,226 | |||||
Series 15Y, Reg. S, 2.25%, 04/18/2034 (e) | EUR | 426 | 595 | |||||
Province of Alberta Canada, (Canada), | ||||||||
Reg. S, 1.50%, 12/15/2022 | GBP | 400 | 546 | |||||
2.20%, 06/01/2026 | CAD | 600 | 492 | |||||
Province of British Columbia Canada, (Canada), 2.80%, 06/18/2048 | CAD | 400 | 322 | |||||
7.25%, 09/01/2036 | 300 | 494 | ||||||
7.88%, 11/30/2023 | CAD | 120 | 108 | |||||
Province of Manitoba Canada, (Canada), 2.75%, 06/02/2029 | CAD | 500 | 420 | |||||
Province of Nova Scotia Canada, (Canada), 3.45%, 06/01/2045 | CAD | 200 | 176 | |||||
Province of Ontario Canada, (Canada), | ||||||||
Reg. S, 0.25%, 12/15/2026 | GBP | 1,000 | 1,295 | |||||
Reg. S, 0.50%, 12/15/2023 | GBP | 500 | 673 | |||||
Reg. S, 0.63%, 04/17/2025 | EUR | 400 | 478 | |||||
5.60%, 06/02/2035 | CAD | 300 | 326 | |||||
Province of Quebec Canada, (Canada), | ||||||||
Reg. S, 0.88%, 07/05/2028 | EUR | 1,025 | 1,252 | |||||
Reg. S, 2.38%, 01/22/2024 | EUR | 425 | 523 | |||||
3.50%, 12/01/2045 | CAD | 200 | 180 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Province of Saskatchewan Canada, (Canada), 3.30%, 06/02/2048 | CAD | 400 | 344 | |||||
Queensland Treasury Corp., (Australia), | ||||||||
Reg. S, 1.75%, 08/21/2031 (e) | AUD | 1,700 | 1,223 | |||||
Reg. S, 1.75%, 07/20/2034 (e) | AUD | 1,100 | 758 | |||||
Reg. S, 2.25%, 04/16/2040 (e) | AUD | 1,100 | 766 | |||||
Reg. S, 2.25%, 11/20/2041 (e) | AUD | 450 | 309 | |||||
Reg. S, 3.25%, 08/21/2029 (e) | AUD | 2,000 | 1,633 | |||||
Reg. S, 3.50%, 08/21/2030 (e) | AUD | 1,500 | 1,250 | |||||
Series 23, Reg. S, 4.25%, 07/21/2023 (e) | AUD | 3,500 | 2,713 | |||||
Series 24, Reg. S, 5.75%, 07/22/2024 | AUD | 1,100 | 913 | |||||
Series 25, Reg. S, 4.75%, 07/21/2025 (e) | AUD | 2,000 | 1,666 | |||||
Series 26, Reg. S, 3.25%, 07/21/2026 (e) | AUD | 1,000 | 802 | |||||
Series 27, Reg. S, 2.75%, 08/20/2027 (e) | AUD | 1,800 | 1,419 | |||||
Series 28, Reg. S, 3.25%, 07/21/2028 (e) | AUD | 3,100 | 2,521 | |||||
Regiao Autonoma Madeira, (Portugal), 0.94%, 05/29/2032 | EUR | 200 | 237 | |||||
Regie Autonome des Transports Parisiens, (France), | ||||||||
Reg. S, 0.38%, 06/15/2024 | EUR | 300 | 354 | |||||
Reg. S, 0.40%, 12/19/2036 | EUR | 700 | 766 | |||||
Reg. S, 0.88%, 05/25/2027 | EUR | 100 | 122 | |||||
Reg. S, 1.75%, 05/25/2031 | EUR | 500 | 656 | |||||
Region of Ile de France, (France), | ||||||||
Reg. S, 0.50%, 06/14/2025 | EUR | 200 | 239 | |||||
Reg. S, 3.63%, 03/27/2024 | EUR | 100 | 127 | |||||
Region Wallonne Belgium, (Belgium), | ||||||||
Reg. S, 0.05%, 06/22/2025 | EUR | 800 | 938 | |||||
Reg. S, 0.25%, 05/03/2026 | EUR | 300 | 354 | |||||
Reg. S, 0.38%, 10/22/2031 | EUR | 100 | 116 | |||||
Reg. S, 0.50%, 06/22/2037 | EUR | 100 | 111 | |||||
Reg. S, 1.05%, 06/22/2040 | EUR | 100 | 118 | |||||
Republic of Austria Government Bond, (Austria), | ||||||||
Reg. S, 0.00%, 04/20/2023 (e) | EUR | 850 | 995 | |||||
Reg. S, 0.00%, 07/15/2023 (e) | EUR | 700 | 822 | |||||
Reg. S, 0.00%, 07/15/2024 (e) | EUR | 280 | 330 | |||||
Reg. S, 0.00%, 02/20/2030 (e) | EUR | 347 | 404 | |||||
Reg. S, 0.00%, 02/20/2031 (e) | EUR | 627 | 724 | |||||
Reg. S, 0.00%, 10/20/2040 (e) | EUR | 150 | 158 | |||||
Reg. S, 0.25%, 10/20/2036 (e) | EUR | 327 | 371 | |||||
Reg. S, 0.50%, 04/20/2027 (e) | EUR | 600 | 730 | |||||
Reg. S, 0.50%, 02/20/2029 (e) | EUR | 739 | 898 | |||||
Reg. S, 0.75%, 10/20/2026 (e) | EUR | 1,000 | 1,230 | |||||
Reg. S, 0.75%, 02/20/2028 (e) | EUR | 440 | 544 | |||||
Reg. S, 0.75%, 03/20/2051 (e) | EUR | 452 | 538 | |||||
Reg. S, 0.85%, 06/30/2120 (e) | EUR | 200 | 205 | |||||
Reg. S, 1.50%, 02/20/2047 (e) | EUR | 377 | 532 | |||||
Reg. S, 1.50%, 11/02/2086 (e) | EUR | 190 | 281 | |||||
Reg. S, 1.75%, 10/20/2023 (e) | EUR | 595 | 724 | |||||
Reg. S, 2.10%, 09/20/2117 (e) | EUR | 376 | 696 | |||||
Reg. S, 2.40%, 05/23/2034 (e) | EUR | 752 | 1,111 | |||||
Reg. S, 3.15%, 06/20/2044 (e) | EUR | 425 | 777 | |||||
Reg. S, 3.80%, 01/26/2062 (e) | EUR | 160 | 382 | |||||
Reg. S, 4.15%, 03/15/2037 (e) | EUR | 615 | 1,130 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Reg. S, 4.85%, 03/15/2026 (e) | EUR | 911 | 1,314 | |||||
Reg. S, 6.25%, 07/15/2027 | EUR | 133 | 214 | |||||
Series 1, Reg. S, 1.65%, 10/21/2024 (e) | EUR | 1,468 | 1,821 | |||||
Republic of Italy Government International Bond, (Italy), | ||||||||
1.25%, 02/17/2026 | 2,000 | 1,969 | ||||||
2.88%, 10/17/2029 | 200 | 207 | ||||||
Reg. S, (ICE EURIBOR Swap Rate 30 Year + 0.00%), 4.25%, 06/28/2029 (aa) | EUR | 1,000 | 1,461 | |||||
Reg. S, 5.13%, 07/31/2024 | EUR | 520 | 689 | |||||
Reg. S, 6.00%, 08/04/2028 | GBP | 1,050 | 1,789 | |||||
Republic of Poland Government Bond, (Poland), | ||||||||
Series 424, 2.50%, 04/25/2024 | PLN | 1,639 | 429 | |||||
Series 428, 2.75%, 04/25/2028 | PLN | 500 | 134 | |||||
Series 429, 5.75%, 04/25/2029 | PLN | 530 | 170 | |||||
Series 447, 4.00%, 04/25/2047 | PLN | 373 | 120 | |||||
Series 726, 2.50%, 07/25/2026 | PLN | 1,890 | 500 | |||||
Series 727, 2.50%, 07/25/2027 | PLN | 6,920 | 1,828 | |||||
Series 1024, 2.25%, 10/25/2024 | PLN | 5,960 | 1,553 | |||||
Series 1026, 0.25%, 10/25/2026 | PLN | 1,390 | 328 | |||||
Series 1029, 2.75%, 10/25/2029 | PLN | 3,773 | 1,005 | |||||
Series 1030, 1.25%, 10/25/2030 | PLN | 1,213 | 285 | |||||
Republic of Poland Government International Bond, (Poland), | ||||||||
Reg. S, 0.00%, 07/07/2023 | EUR | 425 | 495 | |||||
Reg. S, 0.00%, 02/10/2025 | EUR | 60 | 70 | |||||
Reg. S, 0.88%, 05/10/2027 | EUR | 1,000 | 1,223 | |||||
Reg. S, 1.13%, 08/07/2026 | EUR | 925 | 1,140 | |||||
Reg. S, 2.00%, 03/08/2049 | EUR | 53 | 76 | |||||
Romania Government Bond, (Romania), | ||||||||
Series 3Y, 4.00%, 10/25/2023 | RON | 4,550 | 1,085 | |||||
Series 5Y, 3.25%, 06/24/2026 | RON | 2,215 | 511 | |||||
Series 5Y, 3.65%, 07/28/2025 | RON | 2,600 | 611 | |||||
Series 5Y, 4.25%, 04/28/2036 | RON | 555 | 124 | |||||
Series 10YR, 4.15%, 10/24/2030 | RON | 1,855 | 433 | |||||
Romanian Government International Bond, (Romania), | ||||||||
Reg. S, 1.75%, 07/13/2030 | EUR | 500 | 566 | |||||
Reg. S, 2.00%, 04/14/2033 | EUR | 800 | 883 | |||||
Reg. S, 2.75%, 02/26/2026 | EUR | 15 | 19 | |||||
Reg. S, 2.88%, 10/28/2024 | EUR | 775 | 969 | |||||
Reg. S, 3.38%, 02/08/2038 | EUR | 225 | 270 | |||||
Reg. S, 3.38%, 01/28/2050 | EUR | 665 | 757 | |||||
Reg. S, 3.62%, 05/26/2030 | EUR | 975 | 1,271 | |||||
Russian Federal Bond - OFZ, (Russia), | ||||||||
Series 6207, 8.15%, 02/03/2027 | RUB | 32,780 | 470 | |||||
Series 6212, 7.05%, 01/19/2028 | RUB | 53,210 | 727 | |||||
Series 6220, 7.40%, 12/07/2022 | RUB | 20,430 | 282 | |||||
Series 6221, 7.70%, 03/23/2033 | RUB | 27,810 | 395 | |||||
Series 6222, 7.10%, 10/16/2024 | RUB | 69,940 | 961 | |||||
Series 6223, 6.50%, 02/28/2024 | RUB | 70,390 | 954 | |||||
Series 6225, 7.25%, 05/10/2034 | RUB | 34,675 | 472 | |||||
Series 6226, 7.95%, 10/07/2026 | RUB | 50,622 | 719 | |||||
Series 6228, 7.65%, 04/10/2030 | RUB | 94,968 | 1,345 | |||||
Series 6233, 6.10%, 07/18/2035 | RUB | 17,890 | 219 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Series 6235, 5.90%, 03/12/2031 | RUB | 21,328 | 267 | |||||
Russian Foreign Bond - Eurobond, (Russia), Reg. S, 2.88%, 12/04/2025 | EUR | 300 | 381 | |||||
Saitama Prefecture, (Japan), Series 7, 2.29%, 06/22/2029 | JPY | 500,000 | 5,249 | |||||
Saudi Government International Bond, (Saudi Arabia), | ||||||||
Reg. S, 0.75%, 07/09/2027 | EUR | 100 | 119 | |||||
Reg. S, 2.00%, 07/09/2039 | EUR | 300 | 363 | |||||
SFIL SA, (France), | ||||||||
Reg. S, 0.00%, 05/24/2024 | EUR | 200 | 234 | |||||
Reg. S, 0.13%, 10/18/2024 | EUR | 500 | 588 | |||||
Reg. S, 0.75%, 02/06/2026 | EUR | 500 | 604 | |||||
Singapore Government Bond, (Singapore), | ||||||||
1.63%, 07/01/2031 | SGD | 1,608 | 1,187 | |||||
1.75%, 02/01/2023 | SGD | 1,972 | 1,478 | |||||
1.88%, 03/01/2050 | SGD | 2,293 | 1,647 | |||||
2.00%, 02/01/2024 | SGD | 7,700 | 5,855 | |||||
2.13%, 06/01/2026 | SGD | 3,044 | 2,362 | |||||
2.25%, 08/01/2036 | SGD | 1,100 | 848 | |||||
2.38%, 07/01/2039 | SGD | 1,320 | 1,037 | |||||
2.63%, 05/01/2028 | SGD | 1,926 | 1,537 | |||||
2.75%, 04/01/2042 | SGD | 783 | 650 | |||||
2.75%, 03/01/2046 | SGD | 1,658 | 1,391 | |||||
2.88%, 09/01/2030 | SGD | 1,215 | 994 | |||||
3.38%, 09/01/2033 | SGD | 1,650 | 1,421 | |||||
3.50%, 03/01/2027 | SGD | 1,800 | 1,490 | |||||
Slovakia Government Bond, (Slovakia), | ||||||||
Series 225, Reg. S, 3.00%, 02/28/2023 | EUR | 370 | 451 | |||||
Series 231, 0.63%, 05/22/2026 | EUR | 860 | 1,046 | |||||
Series 233, Reg. S, 2.00%, 10/17/2047 | EUR | 180 | 263 | |||||
Series 234, Reg. S, 1.00%, 06/12/2028 | EUR | 240 | 301 | |||||
Series 235, Reg. S, 2.25%, 06/12/2068 | EUR | 21 | 35 | |||||
Series 239, Reg. S, 1.00%, 05/14/2032 | EUR | 868 | 1,094 | |||||
Series 241, Reg. S, 0.13%, 06/17/2027 | EUR | 162 | 193 | |||||
Series 242, Reg. S, 0.38%, 04/21/2036 | EUR | 115 | 132 | |||||
Slovenia Government Bond, (Slovenia), | ||||||||
Series RS70, Reg. S, 5.13%, 03/30/2026 | EUR | 470 | 680 | |||||
Series RS74, Reg. S, 1.50%, 03/25/2035 | EUR | 120 | 157 | |||||
Series RS76, Reg. S, 3.13%, 08/07/2045 | EUR | 160 | 278 | |||||
Series RS77, Reg. S, 2.25%, 03/03/2032 | EUR | 130 | 181 | |||||
Series RS78, Reg. S, 1.75%, 11/03/2040 | EUR | 112 | 154 | |||||
Series RS82, Reg. S, 0.28%, 01/14/2030 | EUR | 316 | 371 | |||||
Series RS84, Reg. S, 0.88%, 07/15/2030 | EUR | 190 | 234 | |||||
Series RS87, Reg. S, 0.69%, 03/03/2081 | EUR | 40 | 39 | |||||
SNCF Reseau, (France), | ||||||||
Reg. S, 0.88%, 01/22/2029 | EUR | 200 | 245 | |||||
Reg. S, 1.13%, 05/19/2027 | EUR | 400 | 495 | |||||
Reg. S, 1.50%, 05/29/2037 | EUR | 300 | 387 | |||||
Reg. S, 2.00%, 11/12/2026 | CHF | 300 | 359 | |||||
Reg. S, 2.00%, 02/05/2048 | EUR | 100 | 137 | |||||
Reg. S, 5.00%, 10/10/2033 | EUR | 200 | 353 | |||||
Reg. S, 5.00%, 03/11/2052 | GBP | 145 | 326 | |||||
Reg. S, 5.25%, 12/07/2028 | GBP | 300 | 516 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Societe Du Grand Paris EPIC, (France), | ||||||||
Reg. S, 0.70%, 10/15/2060 | EUR | 300 | 295 | |||||
Reg. S, 1.13%, 10/22/2028 | EUR | 700 | 876 | |||||
Reg. S, 1.13%, 05/25/2034 | EUR | 300 | 373 | |||||
Reg. S, 1.70%, 05/25/2050 | EUR | 300 | 403 | |||||
Societe Nationale SNCF SA, (France), | ||||||||
Reg. S, 0.63%, 04/17/2030 | EUR | 300 | 358 | |||||
Reg. S, 1.00%, 05/25/2040 | EUR | 100 | 115 | |||||
Reg. S, 1.00%, 01/19/2061 | EUR | 100 | 98 | |||||
Reg. S, 1.50%, 02/02/2029 | EUR | 100 | 126 | |||||
Reg. S, 4.63%, 02/02/2024 | EUR | 300 | 388 | |||||
Reg. S, 5.38%, 03/18/2027 | GBP | 400 | 654 | |||||
South Australian Government Financing Authority, (Australia), | ||||||||
Reg. S, 2.00%, 05/23/2036 | AUD | 479 | 330 | |||||
2.75%, 05/24/2030 | AUD | 2,000 | 1,573 | |||||
Series 23, 4.25%, 11/20/2023 | AUD | 350 | 274 | |||||
Series 24, Reg. S, 2.25%, 08/15/2024 | AUD | 400 | 304 | |||||
Series 26, Reg. S, 3.00%, 07/20/2026 | AUD | 1,600 | 1,267 | |||||
Spain Government Bond, (Spain), | ||||||||
Reg. S, 1.25%, 10/31/2030 (e) | EUR | 2,170 | 2,724 | |||||
Reg. S, 2.15%, 10/31/2025 (e) | EUR | 3,525 | 4,504 | |||||
0.00%, 04/30/2023 | EUR | 2,390 | 2,794 | |||||
Reg. S, 0.00%, 05/31/2024 | EUR | 509 | 597 | |||||
0.00%, 01/31/2025 | EUR | 1,479 | 1,738 | |||||
Reg. S, 0.00%, 01/31/2028 (e) | EUR | 618 | 716 | |||||
Reg. S, 0.10%, 04/30/2031 (e) | EUR | 383 | 432 | |||||
0.35%, 07/30/2023 | EUR | 1,880 | 2,214 | |||||
0.45%, 10/31/2022 | EUR | 766 | 897 | |||||
Reg. S, 0.50%, 04/30/2030 (e) | EUR | 1,128 | 1,335 | |||||
Reg. S, 0.60%, 10/31/2029 (e) | EUR | 680 | 814 | |||||
Reg. S, 0.80%, 07/30/2027 (e) | EUR | 2,071 | 2,524 | |||||
Reg. S, 0.85%, 07/30/2037 (e) | EUR | 193 | 222 | |||||
Reg. S, 1.00%, 07/30/2042 (e) | EUR | 382 | 436 | |||||
Reg. S, 1.00%, 10/31/2050 (e) | EUR | 1,343 | 1,428 | |||||
Reg. S, 1.20%, 10/31/2040 (e) | EUR | 1,060 | 1,261 | |||||
Reg. S, 1.30%, 10/31/2026 (e) | EUR | 1,121 | 1,400 | |||||
Reg. S, 1.40%, 04/30/2028 (e) | EUR | 666 | 843 | |||||
Reg. S, 1.40%, 07/30/2028 (e) | EUR | 871 | 1,104 | |||||
Reg. S, 1.45%, 10/31/2027 (e) | EUR | 1,840 | 2,330 | |||||
Reg. S, 1.45%, 04/30/2029 (e) | EUR | 3,020 | 3,853 | |||||
Reg. S, 1.45%, 10/31/2071 (e) | EUR | 230 | 237 | |||||
Reg. S, 1.50%, 04/30/2027 (e) | EUR | 1,585 | 2,007 | |||||
Reg. S, 1.60%, 04/30/2025 (e) | EUR | 1,005 | 1,249 | |||||
Reg. S, 1.85%, 07/30/2035 (e) | EUR | 1,813 | 2,407 | |||||
Reg. S, 1.95%, 04/30/2026 (e) | EUR | 568 | 725 | |||||
Reg. S, 1.95%, 07/30/2030 (e) | EUR | 1,340 | 1,781 | |||||
Reg. S, 2.35%, 07/30/2033 (e) | EUR | 1,398 | 1,948 | |||||
Reg. S, 2.75%, 10/31/2024 (e) | EUR | 1,693 | 2,157 | |||||
Reg. S, 2.90%, 10/31/2046 (e) | EUR | 1,107 | 1,755 | |||||
Reg. S, 3.45%, 07/30/2066 (e) | EUR | 860 | 1,528 | |||||
Reg. S, 3.80%, 04/30/2024 (e) | EUR | 940 | 1,210 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Reg. S, 4.20%, 01/31/2037 (e) | EUR | 946 | 1,640 | |||||
Reg. S, 4.40%, 10/31/2023 (e) | EUR | 770 | 984 | |||||
Reg. S, 4.65%, 07/30/2025 (e) | EUR | 2,226 | 3,081 | |||||
Reg. S, 4.70%, 07/30/2041 (e) | EUR | 1,064 | 2,052 | |||||
Reg. S, 4.80%, 01/31/2024 (e) | EUR | 818 | 1,066 | |||||
Reg. S, 4.90%, 07/30/2040 (e) | EUR | 1,055 | 2,062 | |||||
Reg. S, 5.15%, 10/31/2028 (e) | EUR | 1,623 | 2,560 | |||||
Reg. S, 5.15%, 10/31/2044 (e) | EUR | 850 | 1,795 | |||||
5.75%, 07/30/2032 | EUR | 2,006 | 3,625 | |||||
Reg. S, 5.90%, 07/30/2026 (e) | EUR | 16 | 24 | |||||
6.00%, 01/31/2029 | EUR | 1,430 | 2,378 | |||||
Series 5YR, Reg. S, 0.25%, 07/30/2024 (e) | EUR | 313 | 370 | |||||
Series 30Y, Reg. S, 2.70%, 10/31/2048 (e) | EUR | 1,054 | 1,624 | |||||
State of Brandenburg, (Germany), | ||||||||
Reg. S, 0.13%, 01/26/2046 | EUR | 70 | 72 | |||||
Reg. S, 1.45%, 11/26/2038 | EUR | 180 | 241 | |||||
State of Bremen, (Germany), | ||||||||
Series 191, Reg. S, 1.88%, 03/18/2024 | EUR | 580 | 710 | |||||
Series 215, Reg. S, 1.20%, 01/30/2034 | EUR | 40 | 51 | |||||
Series 224, Reg. S, 0.40%, 08/20/2049 | EUR | 30 | 33 | |||||
Series 232, Reg. S, 0.55%, 02/04/2050 | EUR | 30 | 34 | |||||
Series 258, Reg. S, 0.50%, 05/06/2041 | EUR | 138 | 158 | |||||
State of Hesse, (Germany), | ||||||||
Reg. S, 0.88%, 12/10/2024 | EUR | 600 | 723 | |||||
Reg. S, 1.38%, 06/10/2024 | EUR | 490 | 596 | |||||
Series 1701, Reg. S, 0.13%, 01/25/2024 | EUR | 492 | 578 | |||||
Series 1801, Reg. S, 0.63%, 08/02/2028 | EUR | 230 | 280 | |||||
State of Lower Saxony, (Germany), | ||||||||
Reg. S, 0.01%, 01/10/2031 | EUR | 479 | 551 | |||||
Reg. S, 0.05%, 03/09/2035 | EUR | 277 | 307 | |||||
Reg. S, 0.25%, 02/06/2024 | EUR | 325 | 383 | |||||
Series 884, Reg. S, 0.88%, 10/25/2028 | EUR | 320 | 395 | |||||
State of North Rhine-Westphalia Germany, (Germany), | ||||||||
Reg. S, 0.00%, 01/15/2029 | EUR | 161 | 187 | |||||
Reg. S, 0.20%, 04/09/2030 | EUR | 294 | 345 | |||||
Reg. S, 0.20%, 01/27/2051 | EUR | 80 | 82 | |||||
Reg. S, 0.38%, 02/16/2023 | EUR | 400 | 469 | |||||
Reg. S, 0.38%, 09/02/2050 | EUR | 210 | 227 | |||||
Reg. S, 0.50%, 11/25/2039 | EUR | 110 | 127 | |||||
Reg. S, 0.75%, 08/16/2041 | EUR | 360 | 431 | |||||
Reg. S, 0.80%, 07/30/2049 | EUR | 100 | 122 | |||||
Reg. S, 0.95%, 03/13/2028 | EUR | 144 | 179 | |||||
Reg. S, 0.95%, 01/10/2121 | EUR | 156 | 157 | |||||
Reg. S, 1.38%, 01/15/2120 | EUR | 140 | 174 | |||||
Reg. S, 1.45%, 02/16/2043 | EUR | 100 | 136 | |||||
Reg. S, 1.65%, 02/22/2038 | EUR | 110 | 150 | |||||
Reg. S, 1.65%, 05/16/2047 | EUR | 80 | 115 | |||||
Reg. S, 1.75%, 10/26/2057 | EUR | 172 | 263 | |||||
Reg. S, 1.75%, 07/11/2068 | EUR | 70 | 106 | |||||
Reg. S, 1.88%, 03/15/2024 | EUR | 630 | 772 | |||||
Reg. S, 1.95%, 09/26/2078 | EUR | 30 | 49 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Reg. S, 2.15%, 03/21/2119 | EUR | 226 | 389 | |||||
Series 15YR, Reg. S, 0.00%, 10/12/2035 | EUR | 274 | 300 | |||||
Series 15YR, Reg. S, 1.10%, 03/13/2034 | EUR | 110 | 139 | |||||
Series 1250, Reg. S, 2.38%, 05/13/2033 | EUR | 350 | 503 | |||||
Series 1409, Reg. S, 0.50%, 04/16/2026 | EUR | 360 | 432 | |||||
State of Rhineland-Palatinate, (Germany), | ||||||||
Reg. S, 0.38%, 01/26/2027 | EUR | 220 | 263 | |||||
Reg. S, 0.75%, 01/19/2026 | EUR | 725 | 878 | |||||
State of Saarland, (Germany), Reg. S, 0.05%, 11/05/2040 | EUR | 68 | 72 | |||||
State of Saxony-Anhalt, (Germany), Reg. S, 1.88%, 04/10/2024 | EUR | 300 | 368 | |||||
State of Schleswig-Holstein Germany, (Germany), | ||||||||
Reg. S, 0.13%, 06/12/2029 | EUR | 160 | 188 | |||||
Reg. S, 0.50%, 03/22/2029 | EUR | 140 | 169 | |||||
Reg. S, 0.63%, 08/31/2028 | EUR | 140 | 170 | |||||
State of the Grand-Duchy of Luxembourg, (Luxembourg), Reg. S, 0.00%, 03/24/2031 | EUR | 103 | 119 | |||||
States of Guernsey Bond, (Guernsey), Reg. S, 3.38%, 12/12/2046 | GBP | 200 | 345 | |||||
Svensk Exportkredit AB, (Sweden), Zero Coupon, 05/11/2037 | 224 | 149 | ||||||
Sweden Government Bond, (Sweden), | ||||||||
Series 1053, 3.50%, 03/30/2039 | SEK | 2,210 | 369 | |||||
Series 1056, Reg. S, 2.25%, 06/01/2032 (e) | SEK | 1,925 | 261 | |||||
Series 1057, Reg. S, 1.50%, 11/13/2023 (e) | SEK | 7,010 | 831 | |||||
Series 1059, Reg. S, 1.00%, 11/12/2026 | SEK | 4,770 | 571 | |||||
Series 1060, Reg. S, 0.75%, 05/12/2028 (e) | SEK | 6,075 | 720 | |||||
Series 1061, Reg. S, 0.75%, 11/12/2029 (e) | SEK | 2,490 | 295 | |||||
Series 1062, Reg. S, 0.13%, 05/12/2031 (e) | SEK | 5,535 | 615 | |||||
Series 1063, Reg. S, 0.50%, 11/24/2045 | SEK | 640 | 67 | |||||
Series 1064, Reg. S, 1.38%, 06/23/2071 (e) | SEK | 570 | 67 | |||||
Sweden Government International Bond, (Sweden), Reg. S, 0.13%, 04/24/2023 | EUR | 700 | 819 | |||||
Swiss Confederation Government Bond, (Switzerland), | ||||||||
Reg. S, 0.00%, 06/22/2029 | CHF | 240 | 263 | |||||
Reg. S, 0.00%, 06/26/2034 | CHF | 520 | 561 | |||||
Reg. S, 0.00%, 07/24/2039 | CHF | 229 | 245 | |||||
Reg. S, 0.50%, 05/27/2030 | CHF | 330 | 377 | |||||
Reg. S, 0.50%, 06/28/2045 | CHF | 110 | 131 | |||||
Reg. S, 0.50%, 05/24/2055 | CHF | 32 | 40 | |||||
Reg. S, 0.50%, 05/30/2058 | CHF | 160 | 204 | |||||
Reg. S, 1.25%, 06/11/2024 | CHF | 410 | 463 | |||||
Reg. S, 1.25%, 06/27/2037 | CHF | 300 | 384 | |||||
Reg. S, 1.50%, 07/24/2025 | CHF | 190 | 220 | |||||
Reg. S, 1.50%, 04/30/2042 | CHF | 140 | 196 | |||||
Reg. S, 2.00%, 06/25/2064 | CHF | 111 | 222 | |||||
Reg. S, 2.25%, 06/22/2031 | CHF | 52 | 69 | |||||
Reg. S, 3.25%, 06/27/2027 | CHF | 510 | 664 | |||||
Reg. S, 4.00%, 04/08/2028 | CHF | 273 | 378 | |||||
Reg. S, 4.00%, 01/06/2049 | CHF | 130 | 289 | |||||
Tasmanian Public Finance Corp., (Australia), Reg. S, 2.25%, 01/22/2032 | AUD | 650 | 481 | |||||
Thailand Government Bond, (Thailand), 1.45%, 12/17/2024 | THB | 108,000 | 3,261 | |||||
1.60%, 12/17/2029 | THB | 54,000 | 1,581 | |||||
1.88%, 06/17/2049 | THB | 64,000 | 1,589 | |||||
2.00%, 12/17/2031 | THB | 48,253 | 1,436 | |||||
2.00%, 06/17/2042 | THB | 19,000 | 507 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
2.13%, 12/17/2026 | THB | 41,991 | 1,306 | |||||
2.40%, 12/17/2023 | THB | 220,000 | 6,760 | |||||
2.88%, 12/17/2028 | THB | 124,165 | 4,004 | |||||
2.88%, 06/17/2046 | THB | 15,000 | 461 | |||||
3.30%, 06/17/2038 | THB | 202,300 | 6,637 | |||||
3.40%, 06/17/2036 | THB | 25,000 | 831 | |||||
3.60%, 06/17/2067 | THB | 53,000 | 1,784 | |||||
3.65%, 06/20/2031 | THB | 110,000 | 3,763 | |||||
Tokyo Metropolitan Government, (Japan), | ||||||||
Reg. S, 0.75%, 07/16/2025 | 1,000 | 989 | ||||||
Series 716, 0.77%, 12/20/2022 | JPY | 100,000 | 907 | |||||
Series 726, 0.73%, 12/20/2023 | JPY | 1,800,000 | 16,432 | |||||
Series 727, 0.72%, 12/20/2023 | JPY | 1,200,000 | 10,953 | |||||
Series 747, 0.48%, 09/19/2025 | JPY | 200,000 | 1,829 | |||||
Treasury Corp. of Victoria, (Australia), | ||||||||
0.50%, 11/20/2025 | AUD | 2,500 | 1,788 | |||||
1.00%, 11/20/2023 | AUD | 3,650 | 2,681 | |||||
1.25%, 11/19/2027 | AUD | 1,600 | 1,158 | |||||
Reg. S, 1.50%, 09/10/2031 | AUD | 2,400 | 1,679 | |||||
Reg. S, 2.00%, 09/17/2035 | AUD | 1,100 | 765 | |||||
Reg. S, 2.25%, 11/20/2034 | AUD | 3,800 | 2,769 | |||||
2.25%, 11/20/2041 | AUD | 878 | 597 | |||||
Reg. S, 3.00%, 10/20/2028 | AUD | 1,200 | 961 | |||||
Tyollisyysrahasto, (Finland), 0.01%, 06/16/2027 | EUR | 200 | 233 | |||||
UNEDIC ASSEO, (France), | ||||||||
Reg. S, 0.00%, 03/05/2030 | EUR | 100 | 115 | |||||
Reg. S, 0.00%, 11/19/2030 | EUR | 200 | 228 | |||||
Reg. S, 0.10%, 11/25/2026 | EUR | 600 | 707 | |||||
Reg. S, 0.25%, 11/25/2029 | EUR | 1,000 | 1,177 | |||||
Reg. S, 0.25%, 07/16/2035 | EUR | 300 | 338 | |||||
Reg. S, 0.63%, 03/03/2026 | EUR | 100 | 120 | |||||
Reg. S, 0.88%, 10/25/2022 | EUR | 1,100 | 1,294 | |||||
Reg. S, 1.25%, 10/21/2027 | EUR | 200 | 252 | |||||
Reg. S, 1.25%, 05/25/2033 | EUR | 100 | 128 | |||||
United Kingdom Gilt, (United Kingdom), | ||||||||
Reg. S, 0.13%, 01/31/2023 | GBP | 2,044 | 2,749 | |||||
Reg. S, 0.13%, 01/31/2024 | GBP | 1,180 | 1,579 | |||||
Reg. S, 0.13%, 01/30/2026 | GBP | 1,079 | 1,426 | |||||
Reg. S, 0.13%, 01/31/2028 | GBP | 651 | 843 | |||||
Reg. S, 0.25%, 07/31/2031 | GBP | 1,668 | 2,082 | |||||
Reg. S, 0.38%, 10/22/2026 | GBP | 1,097 | 1,458 | |||||
Reg. S, 0.38%, 10/22/2030 | GBP | 2,271 | 2,903 | |||||
Reg. S, 0.50%, 10/22/2061 | GBP | 1,042 | 1,060 | |||||
Reg. S, 0.63%, 06/07/2025 | GBP | 3,048 | 4,128 | |||||
Reg. S, 0.63%, 07/31/2035 | GBP | 1,080 | 1,338 | |||||
Reg. S, 0.63%, 10/22/2050 | GBP | 1,816 | 2,002 | |||||
Reg. S, 0.75%, 07/22/2023 | GBP | 1,218 | 1,655 | |||||
Reg. S, 0.88%, 10/22/2029 | GBP | 2,580 | 3,477 | |||||
Reg. S, 0.88%, 01/31/2046 | GBP | 578 | 692 | |||||
Reg. S, 1.00%, 04/22/2024 | GBP | 1,510 | 2,065 | |||||
Reg. S, 1.25%, 07/22/2027 | GBP | 2,124 | 2,956 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Foreign Government Securities continued | ||||||||
Reg. S, 1.25%, 10/22/2041 | GBP | 1,115 | 1,469 | |||||
Reg. S, 1.25%, 07/31/2051 | GBP | 910 | 1,180 | |||||
Reg. S, 1.50%, 07/22/2026 | GBP | 2,600 | 3,657 | |||||
Reg. S, 1.50%, 07/22/2047 | GBP | 1,483 | 2,041 | |||||
Reg. S, 1.63%, 10/22/2028 | GBP | 1,285 | 1,834 | |||||
Reg. S, 1.63%, 10/22/2054 | GBP | 1,030 | 1,479 | |||||
Reg. S, 1.63%, 10/22/2071 | GBP | 1,062 | 1,664 | |||||
Reg. S, 1.75%, 09/07/2037 | GBP | 1,759 | 2,522 | |||||
Reg. S, 1.75%, 01/22/2049 | GBP | 1,486 | 2,164 | |||||
Reg. S, 1.75%, 07/22/2057 | GBP | 1,190 | 1,793 | |||||
Reg. S, 2.00%, 09/07/2025 | GBP | 2,463 | 3,512 | |||||
Reg. S, 2.25%, 09/07/2023 | GBP | 2,190 | 3,061 | |||||
Reg. S, 2.50%, 07/22/2065 | GBP | 977 | 1,858 | |||||
Reg. S, 2.75%, 09/07/2024 | GBP | 1,260 | 1,812 | |||||
Reg. S, 3.25%, 01/22/2044 | GBP | 2,450 | 4,474 | |||||
Reg. S, 3.50%, 01/22/2045 | GBP | 2,494 | 4,767 | |||||
Reg. S, 3.50%, 07/22/2068 | GBP | 1,076 | 2,601 | |||||
Reg. S, 3.75%, 07/22/2052 | GBP | 1,102 | 2,368 | |||||
Reg. S, 4.00%, 01/22/2060 | GBP | 1,264 | 3,089 | |||||
Reg. S, 4.25%, 12/07/2027 | GBP | 1,620 | 2,651 | |||||
Reg. S, 4.25%, 06/07/2032 | GBP | 1,800 | 3,204 | |||||
Reg. S, 4.25%, 03/07/2036 | GBP | 1,449 | 2,732 | |||||
Reg. S, 4.25%, 09/07/2039 | GBP | 1,611 | 3,188 | |||||
Reg. S, 4.25%, 12/07/2040 | GBP | 2,165 | 4,349 | |||||
Reg. S, 4.25%, 12/07/2046 | GBP | 3,395 | 7,337 | |||||
Reg. S, 4.25%, 12/07/2049 (ff) | GBP | 1,258 | 2,829 | |||||
Reg. S, 4.25%, 12/07/2055 | GBP | 1,274 | 3,079 | |||||
Reg. S, 4.50%, 09/07/2034 | GBP | 1,730 | 3,260 | |||||
Reg. S, 4.50%, 12/07/2042 | GBP | 1,279 | 2,717 | |||||
Reg. S, 4.75%, 12/07/2030 | GBP | 3,036 | 5,456 | |||||
Reg. S, 4.75%, 12/07/2038 | GBP | 1,679 | 3,472 | |||||
Reg. S, 5.00%, 03/07/2025 | GBP | 1,828 | 2,841 | |||||
Reg. S, 6.00%, 12/07/2028 | GBP | 1,115 | 2,049 | |||||
United States International Development Finance Corp., 3.37%, 10/05/2034 | 93 | 106 | ||||||
Uruguay Government International Bond, (Uruguay), | ||||||||
4.98%, 04/20/2055 | 50 | 63 | ||||||
5.10%, 06/18/2050 | 100 | 127 | ||||||
Ville de Paris, (France), | ||||||||
Reg. S, 1.38%, 11/20/2034 | EUR | 100 | 127 | |||||
Reg. S, 1.75%, 05/25/2031 | EUR | 200 | 262 | |||||
3.88%, 12/29/2025 | EUR | 500 | 676 | |||||
Western Australian Treasury Corp., (Australia), | ||||||||
Reg. S, 1.50%, 10/22/2030 | AUD | 692 | 493 | |||||
Reg. S, 1.75%, 10/22/2031 | AUD | 800 | 575 | |||||
Series 24, Reg. S, 2.50%, 07/23/2024 | AUD | 2,800 | 2,141 | |||||
Series 25, Reg. S, 5.00%, 07/23/2025 | AUD | 2,000 | 1,680 | |||||
Series 26, Reg. S, 3.00%, 10/21/2026 | AUD | 400 | 318 | |||||
Series 28, Reg. S, 3.25%, 07/20/2028 | AUD | 1,400 | 1,139 | |||||
|
| |||||||
Total Foreign Government Securities (Cost $3,865,276) | 3,765,204 | |||||||
|
|
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Mortgage-Backed Securities 21.4% | ||||||||
FHLMC Gold Pool, | ||||||||
3.00%, 10/01/2046 | 280 | 288 | ||||||
3.50%, 12/01/2044 | 430 | 450 | ||||||
3.50%, 06/01/2045 | 857 | 898 | ||||||
3.50%, 05/01/2046 | 236 | 247 | ||||||
3.50%, 10/01/2046 | 272 | 284 | ||||||
FHLMC Gold Pool, Single Family, 15 years, 3.00%, 05/01/2029 | 8,815 | 9,303 | ||||||
FHLMC Gold Pool, Single Family, 30 years, | ||||||||
3.00%, 03/01/2046 | 25 | 27 | ||||||
3.00%, 12/01/2046 | 40 | 42 | ||||||
4.00%, 08/01/2040 | 400 | 439 | ||||||
4.00%, 10/01/2040 | 3,219 | 3,561 | ||||||
4.00%, 11/01/2040 | 790 | 875 | ||||||
4.00%, 11/01/2047 | 2,821 | 3,045 | ||||||
4.00%, 01/01/2048 | 60 | 65 | ||||||
FHLMC Non Gold Pool, ARM, (ICE LIBOR USD 1 Year + 1.64%), 3.61%, 01/01/2050 (aa) | 94 | 97 | ||||||
FHLMC Pool, | ||||||||
3.50%, 02/01/2043 | 104 | 112 | ||||||
3.50%, 02/01/2044 | 121 | 130 | ||||||
6.00%, 08/01/2035 | 58 | 62 | ||||||
FHLMC Pool, 10 years, 3.00%, 09/01/2029 | 1,608 | 1,690 | ||||||
FHLMC Pool, Single Family, 15 years, | ||||||||
2.00%, 02/01/2036 | 6,606 | 6,828 | ||||||
1.50%, 12/01/2035 | 480 | 485 | ||||||
2.00%, 12/01/2035 | 989 | 1,019 | ||||||
2.00%, 03/01/2036 | 535 | 554 | ||||||
2.00%, 08/01/2036 | 1,471 | 1,524 | ||||||
2.50%, 07/01/2032 | 3,348 | 3,517 | ||||||
2.50%, 10/01/2035 | 10,821 | 11,347 | ||||||
2.50%, 07/01/2036 | 1,816 | 1,892 | ||||||
3.00%, 10/01/2028 | 2,176 | 2,293 | ||||||
3.00%, 04/01/2029 | 90 | 96 | ||||||
3.00%, 05/01/2030 | 8 | 9 | ||||||
3.00%, 11/01/2030 | 174 | 184 | ||||||
3.00%, 11/01/2031 | 68 | 72 | ||||||
3.00%, 11/01/2032 | 175 | 185 | ||||||
3.00%, 01/01/2033 | 82 | 87 | ||||||
3.50%, 02/01/2034 | 1,122 | 1,200 | ||||||
3.50%, 12/01/2035 | 179 | 191 | ||||||
3.50%, 02/01/2036 | 821 | 876 | ||||||
FHLMC Pool, Single Family, 20 years, | ||||||||
3.50%, 06/01/2039 | 438 | 465 | ||||||
3.50%, 07/01/2039 | 260 | 275 | ||||||
3.50%, 08/01/2039 | 921 | 975 | ||||||
3.50%, 09/01/2039 | 554 | 589 | ||||||
FHLMC Pool, Single Family, 30 years, | ||||||||
2.00%, 03/01/2051 | 3,457 | 3,473 | ||||||
2.50%, 11/01/2050 (hh) | 35,314 | 36,635 | ||||||
2.00%, 10/01/2050 | 3,863 | 3,879 | ||||||
2.00%, 02/01/2051 | 4,739 | 4,752 | ||||||
2.00%, 05/01/2051 | 13,276 | 13,315 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Mortgage-Backed Securities continued | ||||||||
2.00%, 06/01/2051 | 1,556 | 1,562 | ||||||
2.00%, 10/01/2051 | 1,497 | 1,510 | ||||||
3.00%, 07/01/2050 | 2,381 | 2,518 | ||||||
3.00%, 08/01/2050 | 5,300 | 5,625 | ||||||
1.50%, 02/01/2051 | 32 | 32 | ||||||
1.50%, 04/01/2051 | 56 | 55 | ||||||
2.00%, 07/01/2051 | 1,583 | 1,596 | ||||||
2.50%, 07/01/2050 | 2,883 | 2,989 | ||||||
2.50%, 12/01/2050 | 986 | 1,022 | ||||||
2.50%, 08/01/2051 | 16,938 | 17,579 | ||||||
2.50%, 09/01/2051 | 436 | 449 | ||||||
3.00%, 11/01/2049 | 2,634 | 2,774 | ||||||
3.00%, 05/01/2050 | 4,767 | 5,112 | ||||||
3.00%, 06/01/2051 | 3,940 | 4,222 | ||||||
3.00%, 07/01/2051 | 6,886 | 7,401 | ||||||
3.50%, 11/01/2047 | 489 | 519 | ||||||
3.50%, 02/01/2048 | 2,753 | 2,923 | ||||||
3.50%, 03/01/2048 | 415 | 453 | ||||||
3.50%, 05/01/2048 | 5,627 | 6,019 | ||||||
3.50%, 01/01/2049 | 92 | 99 | ||||||
3.50%, 02/01/2049 | 747 | 808 | ||||||
3.50%, 09/01/2049 | 1,570 | 1,690 | ||||||
3.50%, 10/01/2049 | 771 | 834 | ||||||
3.50%, 04/01/2050 | 4,265 | 4,620 | ||||||
3.50%, 05/01/2050 | 343 | 363 | ||||||
3.50%, 06/01/2050 | 934 | 987 | ||||||
4.00%, 10/01/2048 | 4,399 | 4,753 | ||||||
4.00%, 04/01/2049 | 4,132 | 4,452 | ||||||
4.00%, 09/01/2049 | 2,159 | 2,367 | ||||||
4.00%, 05/01/2050 | 1,675 | 1,795 | ||||||
4.00%, 08/01/2050 | 2,239 | 2,400 | ||||||
4.00%, 09/01/2050 | 13,423 | 14,642 | ||||||
4.00%, 12/01/2050 | 373 | 399 | ||||||
4.50%, 05/01/2048 | 7,496 | 8,129 | ||||||
4.50%, 08/01/2048 | 38 | 41 | ||||||
4.50%, 06/01/2049 | 13 | 14 | ||||||
4.50%, 08/01/2049 | 2,109 | 2,347 | ||||||
4.50%, 09/01/2049 | 752 | 813 | ||||||
4.50%, 10/01/2050 | 5,819 | 6,343 | ||||||
5.00%, 12/01/2049 | 611 | 686 | ||||||
FNMA or FHLMC, Single Family, 15 years, | ||||||||
TBA, 1.50%, 10/01/2036 (w) | 16,375 | 16,531 | ||||||
TBA, 1.50%, 11/01/2036 (w) | 42,550 | 42,904 | ||||||
TBA, 2.00%, 10/01/2036 (w) | 50,257 | 51,741 | ||||||
TBA, 2.00%, 11/01/2036 (w) | 17,700 | 18,199 | ||||||
TBA, 2.50%, 11/01/2036 (w) | 24,200 | 25,194 | ||||||
TBA, 3.00%, 10/01/2036 (w) | 3,675 | 3,864 | ||||||
TBA, 3.50%, 10/01/2036 (w) | 7,500 | 8,000 | ||||||
TBA, 3.50%, 11/01/2036 (w) | 750 | 800 | ||||||
TBA, 4.00%, 10/01/2036 (w) | 7,250 | 7,684 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Mortgage-Backed Securities continued | ||||||||
FNMA or FHLMC, Single Family, 30 years, | ||||||||
TBA, 1.50%, 10/01/2051 (w) | 15,825 | 15,365 | ||||||
TBA, 1.50%, 11/01/2051 (w) | 3,800 | 3,684 | ||||||
TBA, 2.00%, 10/01/2051 (w) | 35,696 | 35,769 | ||||||
TBA, 2.00%, 11/01/2051 (w) | 22,700 | 22,705 | ||||||
TBA, 2.00%, 12/01/2051 (w) | 49,900 | 49,832 | ||||||
TBA, 2.50%, 10/01/2051 (w) | 67,593 | 69,652 | ||||||
TBA, 2.50%, 11/01/2051 (w) | 4,100 | 4,217 | ||||||
TBA, 2.50%, 12/01/2051 (w) | 85,300 | 87,526 | ||||||
TBA, 3.00%, 10/01/2051 (w) | 46,635 | 48,777 | ||||||
TBA, 3.00%, 11/01/2051 (w) | 1,575 | 1,646 | ||||||
TBA, 3.00%, 12/01/2051 (w) | 56,500 | 58,949 | ||||||
TBA, 3.50%, 10/01/2051 (w) | 15,141 | 16,020 | ||||||
TBA, 4.00%, 10/01/2051 (w) | 3,625 | 3,884 | ||||||
TBA, 4.00%, 11/01/2051 (w) | 23,400 | 25,097 | ||||||
TBA, 4.50%, 10/01/2051 (w) | 5,650 | 6,110 | ||||||
TBA, 5.00%, 10/01/2051 (w) | 150 | 165 | ||||||
FNMA Pool, | ||||||||
3.50%, 02/01/2045 | 372 | 401 | ||||||
3.00%, 05/01/2045 | 485 | 501 | ||||||
3.00%, 03/01/2060 | 25,712 | 27,779 | ||||||
3.50%, 08/01/2032 | 98 | 105 | ||||||
3.50%, 12/01/2042 | 211 | 227 | ||||||
3.50%, 04/01/2043 | 314 | 339 | ||||||
3.50%, 11/01/2043 | 152 | 164 | ||||||
3.50%, 09/01/2048 | 150 | 156 | ||||||
3.50%, 07/01/2049 | 452 | 473 | ||||||
4.00%, 04/01/2041 | 182 | 199 | ||||||
4.00%, 08/01/2046 | 153 | 170 | ||||||
5.39%, 07/01/2024 | 607 | 648 | ||||||
FNMA Pool, 10 years, | ||||||||
2.00%, 11/01/2027 | 720 | 741 | ||||||
3.00%, 09/01/2023 | 89 | 93 | ||||||
3.00%, 03/01/2024 | 407 | 427 | ||||||
3.00%, 04/01/2025 | 110 | 116 | ||||||
3.00%, 05/01/2025 | 239 | 251 | ||||||
3.00%, 09/01/2025 | 799 | 840 | ||||||
3.00%, 12/01/2025 | 363 | 382 | ||||||
3.00%, 03/01/2026 | 243 | 256 | ||||||
3.00%, 04/01/2026 | 417 | 438 | ||||||
3.00%, 11/01/2026 | 106 | 112 | ||||||
3.00%, 12/01/2026 | 29 | 31 | ||||||
3.00%, 04/01/2027 | 261 | 274 | ||||||
3.00%, 06/01/2027 | 20 | 21 | ||||||
3.00%, 10/01/2027 | 178 | 187 | ||||||
FNMA Pool, 30 years, FHA/VA, 3.00%, 01/01/2047 | 1,188 | 1,226 | ||||||
FNMA Pool, Single Family, 15 years, | ||||||||
2.00%, 12/01/2035 | 3,361 | 3,467 | ||||||
2.00%, 02/01/2036 | 8,234 | 8,505 | ||||||
2.00%, 03/01/2036 | 627 | 646 | ||||||
2.00%, 09/01/2028 | 186 | 192 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Mortgage-Backed Securities continued | ||||||||
3.00%, 02/01/2028 | 423 | 446 | ||||||
3.00%, 09/01/2030 | 1,027 | 1,087 | ||||||
3.50%, 06/01/2035 | 430 | 461 | ||||||
2.00%, 02/01/2028 | 22 | 23 | ||||||
2.00%, 11/01/2028 | 171 | 177 | ||||||
2.00%, 07/01/2032 | 14 | 14 | ||||||
2.00%, 08/01/2036 | 1,453 | 1,505 | ||||||
2.50%, 08/01/2035 | 343 | 357 | ||||||
2.50%, 03/01/2036 | 2,848 | 3,013 | ||||||
2.50%, 07/01/2036 | 1,133 | 1,194 | ||||||
3.00%, 04/01/2027 | 951 | 1,003 | ||||||
3.00%, 11/01/2027 | 69 | 73 | ||||||
3.00%, 10/01/2029 | 102 | 108 | ||||||
3.00%, 05/01/2030 | 41 | 43 | ||||||
3.00%, 07/01/2030 | 35 | 37 | ||||||
3.00%, 12/01/2030 | 47 | 50 | ||||||
3.00%, 04/01/2031 | 167 | 176 | ||||||
3.00%, 12/01/2031 | 395 | 418 | ||||||
3.00%, 07/01/2032 | 158 | 167 | ||||||
3.00%, 01/01/2033 | 105 | 111 | ||||||
3.00%, 07/01/2033 | 178 | 188 | ||||||
3.00%, 02/01/2034 | 2,127 | 2,241 | ||||||
3.50%, 03/01/2035 | 2,166 | 2,327 | ||||||
3.50%, 04/01/2035 | 1,575 | 1,681 | ||||||
3.50%, 05/01/2035 | 48 | 51 | ||||||
FNMA Pool, Single Family, 20 years, | ||||||||
3.50%, 03/01/2037 | 639 | 696 | ||||||
3.50%, 08/01/2038 | 168 | 177 | ||||||
3.50%, 04/01/2039 | 23 | 24 | ||||||
3.50%, 08/01/2039 | 273 | 289 | ||||||
4.50%, 06/01/2039 | 42 | 45 | ||||||
FNMA Pool, Single Family, 30 years, | ||||||||
2.50%, 07/01/2051 | 2,033 | 2,104 | ||||||
2.00%, 04/01/2051 | 4,379 | 4,406 | ||||||
2.00%, 06/01/2051 | 6,845 | 6,887 | ||||||
3.00%, 07/01/2050 | 15,372 | 16,300 | ||||||
3.50%, 05/01/2050 | 10,462 | 11,134 | ||||||
3.50%, 07/01/2050 | 15,473 | 16,520 | ||||||
2.00%, 09/01/2050 | 1,505 | 1,510 | ||||||
2.00%, 02/01/2051 | 1,609 | 1,615 | ||||||
2.00%, 07/01/2051 | 3,550 | 3,560 | ||||||
2.00%, 10/01/2051 | 20,224 | 20,292 | ||||||
2.50%, 10/01/2050 | 3,003 | 3,124 | ||||||
2.50%, 12/01/2050 | 15,728 | 16,384 | ||||||
2.50%, 03/01/2051 | 6,630 | 6,856 | ||||||
3.00%, 01/01/2050 | 4,470 | 4,707 | ||||||
3.50%, 02/01/2048 | 3,292 | 3,503 | ||||||
3.50%, 06/01/2049 | 4,288 | 4,552 | ||||||
4.00%, 12/01/2048 | 430 | 461 | ||||||
1.50%, 06/01/2051 | 2,330 | 2,264 | ||||||
2.00%, 07/01/2050 | 1,792 | 1,797 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Mortgage-Backed Securities continued | ||||||||
2.00%, 12/01/2050 | 9,609 | 9,636 | ||||||
2.00%, 01/01/2051 | 4,775 | 4,788 | ||||||
2.00%, 03/01/2051 | 2,402 | 2,417 | ||||||
2.50%, 08/01/2046 | 6,971 | 7,219 | ||||||
2.50%, 08/01/2050 | 23 | 24 | ||||||
2.50%, 05/01/2051 | 10,420 | 10,747 | ||||||
2.50%, 06/01/2051 | 9,434 | 9,731 | ||||||
2.50%, 08/01/2051 | 2,741 | 2,849 | ||||||
3.00%, 08/01/2046 | 1,675 | 1,765 | ||||||
3.00%, 04/01/2048 | 8,125 | 8,665 | ||||||
3.00%, 03/01/2050 | 2,117 | 2,251 | ||||||
3.00%, 08/01/2050 | 4,209 | 4,490 | ||||||
3.00%, 12/01/2050 | 5,099 | 5,474 | ||||||
3.00%, 01/01/2051 | 2,051 | 2,185 | ||||||
3.00%, 05/01/2051 | 13,667 | 14,564 | ||||||
3.00%, 06/01/2051 | 9,657 | 10,146 | ||||||
3.00%, 07/01/2051 | 1,980 | 2,093 | ||||||
3.00%, 08/01/2051 | 1,514 | 1,631 | ||||||
3.50%, 12/01/2045 | 2,950 | 3,158 | ||||||
3.50%, 07/01/2046 | 5,640 | 6,117 | ||||||
3.50%, 07/01/2047 | 668 | 712 | ||||||
3.50%, 09/01/2047 | 97 | 103 | ||||||
3.50%, 10/01/2047 | 1,952 | 2,077 | ||||||
3.50%, 03/01/2048 | 270 | 293 | ||||||
3.50%, 04/01/2050 | 258 | 274 | ||||||
3.50%, 01/01/2051 | 95,676 | 101,223 | ||||||
3.50%, 04/01/2051 | 425 | 450 | ||||||
4.00%, 04/01/2039 | 1,952 | 2,158 | ||||||
4.00%, 03/01/2042 | 789 | 881 | ||||||
4.00%, 04/01/2043 | 323 | 355 | ||||||
4.00%, 02/01/2045 | 346 | 381 | ||||||
4.00%, 09/01/2046 | 198 | 219 | ||||||
4.00%, 09/01/2047 | 62 | 67 | ||||||
4.00%, 10/01/2047 | 799 | 862 | ||||||
4.00%, 03/01/2048 | 123 | 133 | ||||||
4.00%, 04/01/2048 | 711 | 766 | ||||||
4.00%, 06/01/2048 | 53 | 56 | ||||||
4.00%, 08/01/2048 | 202 | 216 | ||||||
4.00%, 10/01/2048 | 390 | 418 | ||||||
4.00%, 03/01/2049 | 1,892 | 2,026 | ||||||
4.00%, 06/01/2049 | 1,787 | 1,949 | ||||||
4.00%, 07/01/2049 | 39 | 42 | ||||||
4.00%, 10/01/2049 | 45 | 48 | ||||||
4.00%, 11/01/2049 | 331 | 363 | ||||||
4.00%, 05/01/2050 | 1,619 | 1,736 | ||||||
4.00%, 06/01/2050 | 3,573 | 3,829 | ||||||
4.50%, 01/01/2048 | 39 | 43 | ||||||
4.50%, 08/01/2048 | 29 | 31 | ||||||
4.50%, 09/01/2048 | 940 | 1,021 | ||||||
4.50%, 02/01/2049 | 8,373 | 9,062 | ||||||
4.50%, 05/01/2049 | 948 | 1,022 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Mortgage-Backed Securities continued | ||||||||
4.50%, 08/01/2049 | 26 | 28 | ||||||
4.50%, 09/01/2049 | 756 | 818 | ||||||
4.50%, 11/01/2049 | 567 | 613 | ||||||
4.50%, 10/01/2050 | 626 | 678 | ||||||
5.00%, 09/01/2049 | 1,830 | 2,044 | ||||||
GNMA I Pool, Single Family, 30 years, 3.00%, 03/15/2050 | 30 | 31 | ||||||
GNMA II Pool, | ||||||||
ARM, (ICE LIBOR USD 1 Month + 2.21%), 2.30%, 02/20/2071 (aa) | 4,633 | 5,024 | ||||||
2.50%, 12/20/2049 | 425 | 434 | ||||||
3.00%, 01/20/2047 | 190 | 196 | ||||||
3.00%, 08/20/2050 | 1,042 | 1,065 | ||||||
3.50%, 06/20/2048 | 106 | 109 | ||||||
3.50%, 07/20/2048 | 84 | 87 | ||||||
3.50%, 08/20/2049 | 197 | 202 | ||||||
3.50%, 11/20/2049 | 327 | 339 | ||||||
3.50%, 07/20/2050 | 339 | 351 | ||||||
4.00%, 11/20/2041 | 33 | 35 | ||||||
4.00%, 10/20/2050 | 834 | 869 | ||||||
4.50%, 08/20/2040 | 32 | 34 | ||||||
4.50%, 10/20/2040 | 51 | 55 | ||||||
GNMA II Pool, Single Family, 15 years, 2.00%, 12/20/2035 | 4,510 | 4,646 | ||||||
GNMA II Pool, Single Family, 30 years, | ||||||||
4.50%, 05/20/2048 | 12,647 | 13,704 | ||||||
4.50%, 09/20/2048 | 950 | 1,000 | ||||||
4.50%, 11/20/2048 | 1,182 | 1,299 | ||||||
2.00%, 04/20/2051 | 6,426 | 6,520 | ||||||
2.50%, 01/20/2051 | 464 | 478 | ||||||
2.50%, 02/20/2051 | 3,455 | 3,565 | ||||||
2.50%, 05/20/2051 | 8,516 | 8,783 | ||||||
2.50%, 07/20/2051 | 6,344 | 6,544 | ||||||
2.50%, 08/20/2051 | 1,893 | 1,953 | ||||||
3.00%, 03/20/2045 | 150 | 158 | ||||||
3.00%, 09/20/2046 | 3,358 | 3,534 | ||||||
3.00%, 04/20/2049 | 51 | 54 | ||||||
3.00%, 07/20/2050 | 6,253 | 6,538 | ||||||
3.00%, 08/20/2050 | 9,886 | 10,337 | ||||||
3.00%, 01/20/2051 | 2,987 | 3,124 | ||||||
3.50%, 09/20/2045 | 4,089 | 4,358 | ||||||
3.50%, 09/20/2047 | 5,710 | 6,053 | ||||||
3.50%, 08/20/2048 | 292 | 308 | ||||||
3.50%, 11/20/2048 | 342 | 360 | ||||||
3.50%, 12/20/2048 | 9 | 10 | ||||||
3.50%, 07/20/2049 | 1,761 | 1,853 | ||||||
3.50%, 01/20/2050 | 1,175 | 1,234 | ||||||
3.50%, 04/20/2050 | 216 | 227 | ||||||
3.50%, 05/20/2051 | 2,159 | 2,275 | ||||||
4.00%, 07/20/2048 | 1,767 | 1,887 | ||||||
4.00%, 09/20/2048 | 2,944 | 3,140 | ||||||
4.00%, 11/20/2048 | 52 | 55 | ||||||
4.00%, 05/20/2049 | 998 | 1,064 | ||||||
4.00%, 12/20/2050 | 4,435 | 4,713 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Mortgage-Backed Securities continued | ||||||||
4.50%, 03/20/2047 | 583 | 637 | ||||||
4.50%, 06/20/2047 | 1,201 | 1,308 | ||||||
4.50%, 07/20/2047 | 2,656 | 2,877 | ||||||
4.50%, 10/20/2047 | 460 | 506 | ||||||
4.50%, 11/20/2047 | 1,517 | 1,646 | ||||||
4.50%, 01/20/2049 | 3,545 | 3,796 | ||||||
4.50%, 05/20/2049 | 755 | 783 | ||||||
4.50%, 10/20/2049 | 1,315 | 1,404 | ||||||
5.00%, 12/20/2048 | 356 | 389 | ||||||
5.00%, 06/20/2049 | 732 | 790 | ||||||
GNMA, Single Family, 30 years, | ||||||||
TBA, 1.50%, 10/15/2051 (w) | 400 | 393 | ||||||
TBA, 2.00%, 10/01/2051 (w) | 37,675 | 38,193 | ||||||
TBA, 2.00%, 12/01/2051 (w) | 6,000 | 6,058 | ||||||
TBA, 2.50%, 10/01/2051 (w) | 13,606 | 14,038 | ||||||
TBA, 2.50%, 11/01/2051 (w) | 46,000 | 47,376 | ||||||
TBA, 2.50%, 12/01/2051 (w) | 200 | 206 | ||||||
TBA, 3.00%, 10/01/2051 (w) | 4,150 | 4,334 | ||||||
TBA, 3.00%, 12/01/2052 (w) | 32,700 | 34,032 | ||||||
TBA, 3.50%, 10/01/2051 (w) | 1,055 | 1,109 | ||||||
TBA, 3.50%, 11/01/2051 (w) | 7,100 | 7,466 | ||||||
TBA, 3.50%, 12/01/2051 (w) | 5,000 | 5,257 | ||||||
TBA, 4.00%, 10/01/2051 (w) | 33,975 | 36,044 | ||||||
TBA, 4.00%, 11/01/2051 (w) | 13,600 | 14,437 | ||||||
TBA, 4.50%, 10/01/2051 (w) | 3,600 | 3,838 | ||||||
TBA, 5.00%, 10/01/2051 (w) | 675 | 727 | ||||||
|
| |||||||
Total Mortgage-Backed Securities (Cost $1,649,282) | 1,644,310 | |||||||
|
| |||||||
Municipal Bonds 0.0% (g) (t) | ||||||||
Arizona 0.0% (g) | ||||||||
Salt River Project, Agricultural Improvement & Power District, Build America Bonds, Series A, Rev., 4.84%, 01/01/2041 | 150 | 195 | ||||||
|
| |||||||
California 0.0% (g) | ||||||||
Bay Area Toll Authority, San Francisco Bay Area, Rev., 2.57%, 04/01/2031 | 100 | 105 | ||||||
California State University, Taxable Systemwide, Series E, Rev., 2.90%, 11/01/2051 | 15 | 15 | ||||||
Los Angeles County Metropolitan Transportation Authority, Build America Bonds, Rev., 5.74%, 06/01/2039 | 50 | 66 | ||||||
Los Angeles Department of Water & Power System Revenue, Build America Bonds, Rev., 6.60%, 07/01/2050 | 30 | 51 | ||||||
Los Angeles Unified School District, Build America Bonds, GO, 5.75%, 07/01/2034 | 25 | 33 | ||||||
State of California, Build America Bonds, | ||||||||
GO, 7.50%, 04/01/2034 | 50 | 77 | ||||||
GO, 7.55%, 04/01/2039 | 50 | 84 | ||||||
GO, 7.60%, 11/01/2040 | 50 | 86 | ||||||
University of California, Build America Bonds, Rev., 5.95%, 05/15/2045 | 35 | 49 | ||||||
University of California, Taxable, | ||||||||
Series AQ, Rev., 4.77%, 05/15/2115 | 20 | 28 | ||||||
Series BJ, Rev., 3.07%, 05/15/2051 | 5 | 5 | ||||||
|
| |||||||
599 | ||||||||
|
|
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
District of Columbia 0.0% (g) | ||||||||
District of Columbia, Water & Sewer Authority, Senior Lien, Green Bonds, Series A, Rev., 4.81%, 10/01/2114 | 895 | 1,276 | ||||||
|
| |||||||
Florida 0.0% (g) | ||||||||
State Board of Administration Finance Corp., Rev., 1.26%, 07/01/2025 | 100 | 101 | ||||||
|
| |||||||
Illinois 0.0% (g) | ||||||||
State of Illinois, Taxable Pension, GO, 5.10%, 06/01/2033 | 100 | 117 | ||||||
|
| |||||||
Massachusetts 0.0% (g) | ||||||||
Commonwealth of Massachusetts, GO, 4.91%, 05/01/2029 | 100 | 122 | ||||||
Commonwealth of Massachusetts, Taxable Consolidated Loan, Series H, GO, 2.90%, 09/01/2049 | 15 | 16 | ||||||
|
| |||||||
138 | ||||||||
|
| |||||||
Michigan 0.0% (g) | ||||||||
University of Michigan, Taxable, Series B, Rev., 2.56%, 04/01/2050 | 25 | 24 | ||||||
|
| |||||||
Missouri 0.0% (g) | ||||||||
Health & Educational Facilities Authority of the State of Missouri, Washington University, Series A, Rev., 3.23%, 05/15/2050 | 35 | 38 | ||||||
|
| |||||||
New Jersey 0.0% (g) | ||||||||
New Jersey Transportation Trust Fund Authority, Build America Bonds, Series B, Rev., 6.56%, 12/15/2040 | 25 | 37 | ||||||
New Jersey Turnpike Authority, Build America Bonds, Series F, Rev., 7.41%, 01/01/2040 | 30 | 49 | ||||||
|
| |||||||
86 | ||||||||
|
| |||||||
New York 0.0% (g) | ||||||||
City of New York, Build America Bonds, GO, 5.52%, 10/01/2037 | 25 | 34 | ||||||
New York City Water & Sewer System, Build America Bonds, Second General Resolution, Rev., 5.44%, 06/15/2043 | 30 | 43 | ||||||
Port Authority of New York & New Jersey, Consolidated, | ||||||||
Series 21, Rev., 3.29%, 08/01/2069 | 40 | 44 | ||||||
Series 174 Rev., 4.46%, 10/01/2062 | 50 | 67 | ||||||
|
| |||||||
188 | ||||||||
|
| |||||||
Oregon 0.0% (g) | ||||||||
Oregon State University, Taxable, Rev., BAM, 3.42%, 03/01/2060 | 10 | 10 | ||||||
State of Oregon Department of Transportation, Taxable Subordinated, Build America Bonds, Series A, Rev., 5.83%, 11/15/2034 | 50 | 69 | ||||||
|
| |||||||
79 | ||||||||
|
| |||||||
Pennsylvania 0.0% (g) | ||||||||
City of Philadelphia Water & Wastewater Revenue, Rev., 2.93%, 07/01/2045 | 10 | 10 | ||||||
|
| |||||||
Texas 0.0% (g) | ||||||||
City of San Antonio, Electric & Gas Systems Revenue, Build America Bonds, Rev., 5.99%, 02/01/2039 | 20 | 29 | ||||||
Dallas Area Rapid Transit, Build America Bonds, Rev., 5.02%, 12/01/2048 | 30 | 41 | ||||||
Dallas Fort Worth International Airport, Rev., 3.09%, 11/01/2040 | 100 | 103 | ||||||
North Texas Tollway Authority, Build America Bonds, Series B, Rev., 6.72%, 01/01/2049 | 15 | 25 | ||||||
Texas Transportation Commission, Taxable Mobility Fund, GO, 2.47%, 10/01/2044 | 10 | 10 | ||||||
University of Texas System, Build America Bonds, Series C, Rev., 4.79%, 08/15/2046 | 10 | 13 | ||||||
|
| |||||||
221 | ||||||||
|
| |||||||
Virginia 0.0% (g) | ||||||||
University of Virginia, Taxable, Series C, Rev., 4.18%, 09/01/2117 | 40 | 53 | ||||||
|
| |||||||
Total Municipal Bonds (Cost $3,166) | 3,125 | |||||||
|
|
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
U.S. Government Agency Securities 0.2% | ||||||||
FHLBs, | ||||||||
0.50%, 04/14/2025 | 2,000 | 1,988 | ||||||
3.25%, 11/16/2028 | 650 | 732 | ||||||
5.50%, 07/15/2036 | 200 | 291 | ||||||
FHLMC, | ||||||||
Zero Coupon, 12/14/2029 | 925 | 810 | ||||||
Zero Coupon, 12/17/2029 | 32 | 28 | ||||||
Zero Coupon, 01/02/2034 | 550 | 429 | ||||||
0.13%, 07/25/2022 | 5 | 5 | ||||||
0.25%, 08/24/2023 | 2,650 | 2,649 | ||||||
0.38%, 07/21/2025 | 1,000 | 986 | ||||||
1.50%, 02/12/2025 | 107 | 110 | ||||||
6.25%, 07/15/2032 | 207 | 300 | ||||||
6.75%, 03/15/2031 | 400 | 580 | ||||||
FHLMC Coupon STRIPs, Zero Coupon, 03/15/2030 | 235 | 203 | ||||||
FHLMC STRIPs, Zero Coupon, 03/15/2031 | 700 | 591 | ||||||
FNMA, | ||||||||
0.25%, 05/22/2023 | 3,000 | 3,001 | ||||||
0.30%, 08/03/2023 | 100 | 100 | ||||||
0.35%, 08/18/2023 | 1,500 | 1,502 | ||||||
0.88%, 08/05/2030 | 1,310 | 1,232 | ||||||
5.38%, 12/07/2028 | GBP | 260 | 448 | |||||
6.25%, 05/15/2029 | 1,000 | 1,343 | ||||||
FNMA Interest STRIP, | ||||||||
Zero Coupon, 09/23/2027 | 117 | 109 | ||||||
Zero Coupon, 11/15/2030 | 13 | 11 | ||||||
Zero Coupon, 07/15/2030 | 177 | 152 | ||||||
Resolution Funding Corp. Interest STRIP, | ||||||||
Zero Coupon, 10/15/2028 | 50 | 45 | ||||||
Zero Coupon, 07/15/2029 | 355 | 315 | ||||||
Zero Coupon, 01/15/2030 | 285 | 248 | ||||||
Resolution Funding Corp. Principal STRIP, Zero Coupon, 01/15/2030 | 50 | 44 | ||||||
Tennessee Valley Authority, | ||||||||
4.63%, 06/07/2043 | GBP | 200 | 396 | |||||
5.88%, 04/01/2036 | 400 | 585 | ||||||
|
| |||||||
Total U.S. Government Agency Securities (Cost $19,565) | 19,233 | |||||||
|
| |||||||
U.S. Treasury Obligations 8.3% | ||||||||
U.S. Treasury Bonds, | ||||||||
1.13%, 05/15/2040 | 6,482 | 5,591 | ||||||
1.13%, 08/15/2040 | 3,225 | 2,769 | ||||||
1.25%, 05/15/2050 (jj) | 9,680 | 7,895 | ||||||
1.38%, 11/15/2040 | 770 | 690 | ||||||
1.38%, 08/15/2050 | 3,626 | 3,051 | ||||||
1.63%, 11/15/2050 | 2,200 | 1,971 | ||||||
1.88%, 02/15/2041 | 400 | 390 | ||||||
1.88%, 02/15/2051 | 2,700 | 2,567 | ||||||
2.00%, 02/15/2050 | 2,609 | 2,556 | ||||||
2.00%, 08/15/2051 | 1,900 | 1,862 | ||||||
2.25%, 05/15/2041 | 3,600 | 3,735 | ||||||
2.25%, 08/15/2046 | 3,440 | 3,544 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
U.S. Treasury Obligations continued | ||||||||
2.25%, 08/15/2049 | 3,300 | 3,411 | ||||||
2.38%, 11/15/2049 | 2,200 | 2,335 | ||||||
2.38%, 05/15/2051 | 4,750 | 5,054 | ||||||
2.50%, 02/15/2045 | 6,420 | 6,918 | ||||||
2.50%, 02/15/2046 | 1,000 | 1,079 | ||||||
2.50%, 05/15/2046 | 2,370 | 2,558 | ||||||
2.75%, 11/15/2042 | 2,000 | 2,244 | ||||||
2.75%, 08/15/2047 | 900 | 1,019 | ||||||
2.75%, 11/15/2047 | 900 | 1,020 | ||||||
2.88%, 05/15/2043 | 2,000 | 2,290 | ||||||
2.88%, 11/15/2046 | 1,500 | 1,733 | ||||||
2.88%, 05/15/2049 | 3,000 | 3,500 | ||||||
3.00%, 05/15/2042 | 800 | 933 | ||||||
3.00%, 11/15/2044 | 900 | 1,054 | ||||||
3.00%, 05/15/2045 | 1,730 | 2,031 | ||||||
3.00%, 11/15/2045 | 4,229 | 4,973 | ||||||
3.00%, 02/15/2047 | 4,588 | 5,423 | ||||||
3.00%, 08/15/2048 | 2,020 | 2,401 | ||||||
3.00%, 02/15/2049 | 2,400 | 2,862 | ||||||
3.13%, 11/15/2041 | 800 | 951 | ||||||
3.13%, 02/15/2043 | 860 | 1,022 | ||||||
3.13%, 08/15/2044 | 350 | 418 | ||||||
3.38%, 11/15/2048 | 3,700 | 4,702 | ||||||
3.63%, 08/15/2043 | 4,090 | 5,239 | ||||||
3.63%, 02/15/2044 | 3,000 | 3,854 | ||||||
3.75%, 11/15/2043 | 3,115 | 4,066 | ||||||
3.88%, 08/15/2040 | 900 | 1,178 | ||||||
4.25%, 11/15/2040 | 1,769 | 2,427 | ||||||
4.38%, 05/15/2041 | 410 | 573 | ||||||
4.50%, 02/15/2036 | 1,805 | 2,463 | ||||||
4.63%, 02/15/2040 | 1,000 | 1,427 | ||||||
4.75%, 02/15/2037 | 300 | 423 | ||||||
4.75%, 02/15/2041 | 800 | 1,167 | ||||||
5.00%, 05/15/2037 | 300 | 434 | ||||||
5.25%, 02/15/2029 | 365 | 466 | ||||||
U.S. Treasury Inflation Indexed Notes, 0.13%, 04/15/2025 | 42 | 45 | ||||||
U.S. Treasury Notes, | ||||||||
0.13%, 04/30/2022 | 512 | 512 | ||||||
0.13%, 07/31/2022 | 4,200 | 4,201 | ||||||
0.13%, 09/30/2022 | 2,500 | 2,500 | ||||||
0.13%, 10/31/2022 | 18,000 | 18,001 | ||||||
0.13%, 05/15/2023 | 300 | 300 | ||||||
0.13%, 05/31/2023 | 500 | 499 | ||||||
0.13%, 06/30/2023 | 16,355 | 16,326 | ||||||
0.13%, 07/15/2023 | 13,000 | 12,973 | ||||||
0.13%, 08/15/2023 | 45 | 45 | ||||||
0.13%, 09/15/2023 | 10,000 | 9,969 | ||||||
0.13%, 01/15/2024 | 100 | 99 | ||||||
0.25%, 04/15/2023 | 1,203 | 1,204 | ||||||
0.25%, 06/15/2023 | 11,000 | 11,003 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
U.S. Treasury Obligations continued | ||||||||
0.25%, 03/15/2024 | 2,000 | 1,993 | ||||||
0.25%, 05/15/2024 | 2,000 | 1,990 | ||||||
0.25%, 06/15/2024 | 3,000 | 2,983 | ||||||
0.25%, 05/31/2025 | 10,000 | 9,828 | ||||||
0.25%, 06/30/2025 | 10,000 | 9,819 | ||||||
0.25%, 07/31/2025 | 19,920 | 19,532 | ||||||
0.25%, 09/30/2025 | 2,500 | 2,446 | ||||||
0.25%, 10/31/2025 | 600 | 586 | ||||||
0.38%, 04/15/2024 | 1,000 | 999 | ||||||
0.38%, 08/15/2024 | 2,000 | 1,993 | ||||||
0.38%, 04/30/2025 | 1,085 | 1,073 | ||||||
0.38%, 11/30/2025 | 3,500 | 3,432 | ||||||
0.38%, 12/31/2025 | 4,990 | 4,888 | ||||||
0.38%, 01/31/2026 | 600 | 587 | ||||||
0.38%, 07/31/2027 | 6,215 | 5,944 | ||||||
0.38%, 09/30/2027 | 5,500 | 5,245 | ||||||
0.50%, 03/15/2023 | 8,000 | 8,037 | ||||||
0.50%, 04/30/2027 | 532 | 514 | ||||||
0.50%, 05/31/2027 | 4,500 | 4,344 | ||||||
0.50%, 06/30/2027 | 5,000 | 4,824 | ||||||
0.50%, 08/31/2027 | 2,400 | 2,308 | ||||||
0.63%, 07/31/2026 | 2,350 | 2,311 | ||||||
0.63%, 11/30/2027 | 2,200 | 2,123 | ||||||
0.63%, 12/31/2027 | 3,600 | 3,470 | ||||||
0.63%, 05/15/2030 | 13,078 | 12,194 | ||||||
0.63%, 08/15/2030 | 4,555 | 4,233 | ||||||
0.75%, 03/31/2026 | 1,500 | 1,489 | ||||||
0.75%, 04/30/2026 | 2,500 | 2,480 | ||||||
0.75%, 05/31/2026 | 2,400 | 2,379 | ||||||
0.75%, 08/31/2026 | 2,000 | 1,978 | ||||||
0.75%, 01/31/2028 | 3,000 | 2,911 | ||||||
0.88%, 06/30/2026 | 6,000 | 5,976 | ||||||
0.88%, 09/30/2026 | 1,300 | 1,292 | ||||||
0.88%, 11/15/2030 | 4,700 | 4,455 | ||||||
1.00%, 07/31/2028 | 4,095 | 4,012 | ||||||
1.13%, 02/28/2027 | 4,000 | 4,012 | ||||||
1.13%, 02/29/2028 | 1,500 | 1,490 | ||||||
1.13%, 08/31/2028 | 3,500 | 3,455 | ||||||
1.13%, 02/15/2031 | 5,000 | 4,838 | ||||||
1.25%, 07/31/2023 | 8,100 | 8,248 | ||||||
1.25%, 03/31/2028 | 2,500 | 2,498 | ||||||
1.25%, 04/30/2028 | 2,300 | 2,297 | ||||||
1.25%, 05/31/2028 (ee) (gg) | 9,700 | 9,678 | ||||||
1.25%, 06/30/2028 | 26,690 | 26,612 | ||||||
1.25%, 09/30/2028 | 1,000 | 995 | ||||||
1.25%, 08/15/2031 | 3,300 | 3,216 | ||||||
1.50%, 08/15/2026 | 1,000 | 1,025 | ||||||
1.50%, 02/15/2030 | 3,399 | 3,417 | ||||||
1.63%, 02/15/2026 | 5,500 | 5,673 | ||||||
1.63%, 05/15/2026 | 2,500 | 2,577 | ||||||
1.63%, 08/15/2029 | 2,000 | 2,035 | ||||||
1.63%, 05/15/2031 | 6,570 | 6,639 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
U.S. Treasury Obligations continued | ||||||||
1.75%, 09/30/2022 | 1,400 | 1,423 | ||||||
1.75%, 01/31/2023 | 2,830 | 2,890 | ||||||
1.75%, 05/15/2023 | 140 | 143 | ||||||
1.75%, 06/30/2024 | 3,800 | 3,933 | ||||||
1.75%, 12/31/2026 | 840 | 871 | ||||||
1.75%, 11/15/2029 | 2,000 | 2,053 | ||||||
1.88%, 08/31/2022 | 675 | 686 | ||||||
2.00%, 07/31/2022 | 1,600 | 1,625 | ||||||
2.00%, 11/30/2022 | 1,560 | 1,594 | ||||||
2.00%, 02/15/2023 | 500 | 513 | ||||||
2.00%, 05/31/2024 | 4,000 | 4,164 | ||||||
2.00%, 08/15/2025 | 3,000 | 3,140 | ||||||
2.00%, 11/15/2026 | 6,700 | 7,026 | ||||||
2.13%, 02/29/2024 | 55 | 57 | ||||||
2.13%, 03/31/2024 | 12,000 | 12,509 | ||||||
2.13%, 07/31/2024 | 3,000 | 3,138 | ||||||
2.13%, 09/30/2024 | 10,400 | 10,893 | ||||||
2.13%, 05/15/2025 | 11,000 | 11,558 | ||||||
2.25%, 11/15/2024 | 10,700 | 11,261 | ||||||
2.25%, 11/15/2025 | 2,575 | 2,723 | ||||||
2.25%, 03/31/2026 | 400 | 424 | ||||||
2.25%, 02/15/2027 | 5,000 | 5,308 | ||||||
2.25%, 08/15/2027 | 4,200 | 4,461 | ||||||
2.38%, 01/31/2023 | 1,600 | 1,647 | ||||||
2.38%, 08/15/2024 | 3,800 | 4,004 | ||||||
2.38%, 05/15/2027 | 8,000 | 8,552 | ||||||
2.38%, 05/15/2029 | 3,500 | 3,754 | ||||||
2.63%, 02/15/2029 | 1,600 | 1,743 | ||||||
2.75%, 07/31/2023 | 7,000 | 7,319 | ||||||
2.75%, 11/15/2023 | 4,300 | 4,521 | ||||||
2.75%, 02/15/2024 | 3,000 | 3,169 | ||||||
2.75%, 02/28/2025 | 13,800 | 14,787 | ||||||
2.75%, 02/15/2028 | 4,660 | 5,095 | ||||||
2.88%, 11/15/2021 | 1 | 1 | ||||||
2.88%, 09/30/2023 | 3,000 | 3,154 | ||||||
2.88%, 10/31/2023 | 1,524 | 1,605 | ||||||
2.88%, 04/30/2025 | 10,900 | 11,742 | ||||||
2.88%, 11/30/2025 | 1,300 | 1,408 | ||||||
2.88%, 05/15/2028 | 4,500 | 4,960 | ||||||
2.88%, 08/15/2028 | 1,800 | 1,987 | ||||||
3.00%, 09/30/2025 | 120 | 130 | ||||||
3.13%, 11/15/2028 | 6,390 | 7,174 | ||||||
U.S. Treasury STRIP Coupon Bonds, | ||||||||
Zero Coupon, 05/15/2024 | 800 | 791 | ||||||
Zero Coupon, 05/15/2026 | 5,000 | 4,775 | ||||||
Zero Coupon, 11/15/2026 | 5,000 | 4,721 | ||||||
Zero Coupon, 11/15/2028 (ee) (ff) | 12,000 | 10,841 | ||||||
Zero Coupon, 11/15/2038 | 6,250 | 4,386 | ||||||
Zero Coupon, 11/15/2041 (ee) | 200 | 129 | ||||||
Zero Coupon, 08/15/2045 | 600 | 353 | ||||||
|
| |||||||
Total U.S. Treasury Obligations (Cost $660,492) | 636,460 | |||||||
|
|
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Short-Term Investments 9.1% | ||||||||
Repurchase Agreement 0.8% | ||||||||
HSBC Bank plc, 0.04%, dated 09/30/2021 due 10/01/2021, repurchase price $64,200, collateralized by U.S. Treasury Securities, Zero Coupon, due 05/19/2022 - 07/14/2022, with a value of $67,711. | 64,200 | 64,200 | ||||||
|
| |||||||
Time Deposits 7.9% | ||||||||
Australia & New Zealand Banking Group Ltd., 0.01%, 10/01/2021 | 4,948 | 4,948 | ||||||
BNP Paribas SA, | ||||||||
(1.42%), 10/01/2021 | CHF | 26 | 27 | |||||
(0.79%), 10/01/2021 | EUR | 14,794 | 17,137 | |||||
0.01%, 10/01/2021 | 189,604 | 189,604 | ||||||
Brown Brothers Harriman, | ||||||||
(1.42%), 10/01/2021 | CHF | 21 | 22 | |||||
(0.46%), 10/01/2021 | DKK | 233 | 36 | |||||
(0.27%), 10/01/2021 | SEK | 1,337 | 153 | |||||
(0.23%), 10/01/2021 | AUD | 739 | 534 | |||||
0.00%, 10/04/2021 | HKD | 1,932 | 248 | |||||
0.01%, 10/01/2021 | CAD | 35 | 27 | |||||
0.01%, 10/01/2021 | GBP | | (h) | | (h) | |||
0.01%, 10/01/2021 | NOK | 1,422 | 163 | |||||
0.01%, 10/01/2021 | NZD | 159 | 110 | |||||
0.01%, 10/01/2021 | SGD | 318 | 234 | |||||
0.01%, 10/01/2021 | | (h) | | (h) | ||||
Citibank NA, | ||||||||
(0.79%), 10/01/2021 | EUR | 16 | 19 | |||||
0.01%, 10/01/2021 | GBP | 1,596 | 2,151 | |||||
Sumitomo Mitsui Banking Corp., | ||||||||
(0.41%), 10/01/2021 | JPY | 228,512 | 2,053 | |||||
0.01%, 10/01/2021 | 174,043 | 174,043 | ||||||
Sumitomo Mitsui Trust Bank Ltd., 0.01%, 10/01/2021 | 214,506 | 214,506 | ||||||
|
| |||||||
Total Time Deposits | 606,015 | |||||||
|
| |||||||
U.S. Treasury Obligations 0.4% | ||||||||
U.S. Cash Management Bill, | ||||||||
Zero Coupon, 01/11/2022 | 5,300 | 5,299 | ||||||
Zero Coupon, 02/01/2022 (w) | 6,700 | 6,699 | ||||||
U.S. Treasury Bills, | ||||||||
Zero Coupon, 10/07/2021 (ee) (gg) | 8,700 | 8,700 | ||||||
Zero Coupon, 02/17/2022 (gg) (hh) | 4,200 | 4,199 | ||||||
Zero Coupon, 03/24/2022 | 6,200 | 6,199 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 31,096 | |||||||
|
| |||||||
Total Short-Term Investments (Cost $701,311) | 701,311 | |||||||
|
| |||||||
Total Investments, Before Short Positions 110.6% (Cost - $8,663,798)* | 8,506,459 | |||||||
Liabilities in Excess of Other Assets (10.6)% | (815,349 | ) | ||||||
|
| |||||||
NET ASSETS 100.0% | $ | 7,691,110 | ||||||
|
|
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Short Positions 3.9% | ||||||||
Foreign Government Security 0.0% (g) | ||||||||
China Development Bank, (China), Series 1706, 4.02%, 04/17/2022 (Proceeds $1,814) | CNY | 12,000 | 1,873 | |||||
|
| |||||||
Mortgage-Backed Securities 3.9% | ||||||||
FHLMC Pool, Single Family, 15 years, | ||||||||
3.50%, 12/01/2035 | 179 | 191 | ||||||
3.50%, 02/01/2036 | 821 | 876 | ||||||
FNMA or FHLMC, Single Family, 15 years, | ||||||||
TBA, 2.00%, 10/01/2036 (w) | 39,700 | 40,872 | ||||||
TBA, 3.00%, 10/01/2036 (w) | 11,400 | 11,987 | ||||||
FNMA or FHLMC, Single Family, 30 years, | ||||||||
TBA, 2.00%, 10/01/2051 (w) | 1,400 | 1,403 | ||||||
TBA, 2.50%, 10/01/2051 (w) | 54,700 | 56,367 | ||||||
TBA, 3.00%, 10/01/2051 (w) | 40,400 | 42,256 | ||||||
TBA, 3.50%, 10/01/2051 (w) | 76,000 | 80,410 | ||||||
TBA, 4.00%, 10/01/2051 (w) | 2,300 | 2,464 | ||||||
TBA, 4.00%, 11/01/2051 (w) | 8,100 | 8,687 | ||||||
TBA, 4.50%, 10/01/2051 (w) | 18,700 | 20,222 | ||||||
FNMA Pool, Single Family, 15 years, | ||||||||
3.50%, 06/01/2035 | 430 | 461 | ||||||
3.50%, 04/01/2035 | 1,575 | 1,681 | ||||||
GNMA II Pool, Single Family, 30 years, 4.00%, 12/20/2050 | 4,435 | 4,712 | ||||||
GNMA, Single Family, 30 years, TBA, 4.00%, 10/01/2051 (w) | 27,700 | 29,387 | ||||||
|
| |||||||
Total Mortgage-Backed Securities (Proceeds $302,380) | 301,976 | |||||||
|
| |||||||
Total Securities Sold Short 3.9% (Proceeds $304,194)* | 303,849 | |||||||
|
|
Percentages indicated are based on net assets.
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Futures contracts outstanding as of September 30, 2021: | ||||||||||||||||||||
Exchange Traded | ||||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
3 Month Eurodollar | 20 | 12/2021 | USD | 4,989 | 3 | |||||||||||||||
Euro BOBL | 98 | 12/2021 | EUR | 15,392 | (75 | ) | ||||||||||||||
Euro Bund | 134 | 12/2021 | EUR | 26,705 | (346 | ) | ||||||||||||||
Euro Buxl | 12 | 12/2021 | EUR | 2,901 | (75 | ) | ||||||||||||||
Euro Schatz | 62 | 12/2021 | EUR | 8,064 | (6 | ) | ||||||||||||||
Swiss Confederation Bond | 20 | 12/2021 | CHF | 3,592 | (56 | ) | ||||||||||||||
U.S. Treasury 10 Year Note | 373 | 12/2021 | USD | 49,756 | (666 | ) | ||||||||||||||
U.S. Treasury 2 Year Note | 141 | 12/2021 | USD | 31,045 | (17 | ) | ||||||||||||||
U.S. Treasury 5 Year Note | 17 | 12/2021 | USD | 2,101 | (14 | ) | ||||||||||||||
U.S. Treasury Long Bond | 136 | 12/2021 | USD | 22,165 | (511 | ) | ||||||||||||||
U.S. Treasury Ultra Bond | 109 | 12/2021 | USD | 21,356 | (531 | ) | ||||||||||||||
|
| |||||||||||||||||||
(2,294 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Short Contracts | ||||||||||||||||||||
Euro BOBL | (5) | 12/2021 | EUR | (786 | ) | 5 | ||||||||||||||
Euro Buxl | (1) | 12/2021 | EUR | (241 | ) | 6 | ||||||||||||||
Long Gilt | (12) | 12/2021 | GBP | (2,070 | ) | 46 | ||||||||||||||
U.S. Treasury 10 Year Note | (323) | 12/2021 | USD | (43,090 | ) | 580 | ||||||||||||||
U.S. Treasury 5 Year Note | (170) | 12/2021 | USD | (20,999 | ) | 133 | ||||||||||||||
U.S. Treasury Long Bond | (33) | 12/2021 | USD | (5,396 | ) | 142 | ||||||||||||||
U.S. Treasury Ultra Bond | (2) | 12/2021 | USD | (393 | ) | 11 | ||||||||||||||
U.S. Ultra Treasury 10 Year Note | (351) | 12/2021 | USD | (51,985 | ) | 1,002 | ||||||||||||||
|
| |||||||||||||||||||
1,925 | ||||||||||||||||||||
|
| |||||||||||||||||||
Total unrealized appreciation (depreciation) | (369 | ) | ||||||||||||||||||
|
|
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Forward foreign currency exchange contracts outstanding as of September 30, 2021:
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||||||||||||||
USD | 2,243 | DKK | 13,942 | Morgan Stanley & Co. | 10/01/2021 | 71 | ||||||||||||
USD | 4,376 | DKK | 27,315 | Morgan Stanley & Co. | 10/01/2021 | 122 | ||||||||||||
CAD | 16,443 | USD | 12,922 | Bank of America, NA | 10/04/2021 | 60 | ||||||||||||
USD | 13,020 | CAD | 16,443 | Morgan Stanley & Co. | 10/04/2021 | 38 | ||||||||||||
USD | 4,242 | CHF | 3,875 | Bank of America, NA | 10/04/2021 | 84 | ||||||||||||
USD | 2,894 | CHF | 2,641 | HSBC Bank plc | 10/04/2021 | 60 | ||||||||||||
CHF | 5,249 | USD | 5,605 | Morgan Stanley & Co. | 10/04/2021 | 27 | ||||||||||||
CHF | 3,875 | USD | 4,138 | Morgan Stanley & Co. | 10/04/2021 | 20 | ||||||||||||
USD | 5,747 | CHF | 5,249 | Westpac Banking Corp. | 10/04/2021 | 116 | ||||||||||||
CZK | 87,176 | USD | 3,962 | UBS AG LONDON | 10/04/2021 | 23 | ||||||||||||
USD | 4,036 | CZK | 87,176 | UBS AG LONDON | 10/04/2021 | 51 | ||||||||||||
USD | 5,099 | DKK | 32,038 | Citibank, NA | 10/04/2021 | 109 | ||||||||||||
USD | 428 | DKK | 2,690 | Citibank, NA | 10/04/2021 | 9 | ||||||||||||
USD | 902 | EUR | 770 | Bank of America, NA | 10/04/2021 | 10 | ||||||||||||
USD | 27,116 | EUR | 22,911 | Bank of America, NA | 10/04/2021 | 577 | ||||||||||||
USD | 522 | EUR | 441 | Bank of America, NA | 10/04/2021 | 11 | ||||||||||||
USD | 175,553 | EUR | 148,205 | Bank of America, NA | 10/04/2021 | 3,880 | ||||||||||||
USD | 2,020 | EUR | 1,704 | Bank of America, NA | 10/04/2021 | 46 | ||||||||||||
USD | 3,634 | EUR | 3,073 | Barclays Bank plc | 10/04/2021 | 74 | ||||||||||||
USD | 23,437 | EUR | 19,842 | BNP Paribas | 10/04/2021 | 453 | ||||||||||||
USD | 42,580 | EUR | 36,178 | Citibank, NA | 10/04/2021 | 674 | ||||||||||||
USD | 175,493 | EUR | 148,205 | Citibank, NA | 10/04/2021 | 3,820 | ||||||||||||
USD | 347 | EUR | 293 | Citibank, NA | 10/04/2021 | 8 | ||||||||||||
USD | 768 | EUR | 650 | Citibank, NA | 10/04/2021 | 15 | ||||||||||||
USD | 12 | EUR | 10 | Citibank, NA | 10/04/2021 | | (h) | |||||||||||
USD | 89,000 | EUR | 75,617 | Citibank, NA | 10/04/2021 | 1,409 | ||||||||||||
EUR | 150,230 | USD | 174,016 | Citibank, NA | 10/04/2021 | 3 | ||||||||||||
USD | 511,474 | EUR | 432,155 | Goldman Sachs International | 10/04/2021 | 10,888 | ||||||||||||
EUR | 434,860 | USD | 503,568 | Goldman Sachs International | 10/04/2021 | 152 | ||||||||||||
EUR | 23,421 | USD | 27,122 | Goldman Sachs International | 10/04/2021 | 8 | ||||||||||||
EUR | 150,683 | USD | 174,514 | Morgan Stanley & Co. | 10/04/2021 | 30 | ||||||||||||
USD | 42,619 | EUR | 36,178 | Morgan Stanley & Co. | 10/04/2021 | 712 | ||||||||||||
USD | 176,046 | EUR | 148,657 | Morgan Stanley & Co. | 10/04/2021 | 3,849 | ||||||||||||
USD | 234 | EUR | 200 | Morgan Stanley & Co. | 10/04/2021 | 3 | ||||||||||||
USD | 89,080 | EUR | 75,617 | Morgan Stanley & Co. | 10/04/2021 | 1,488 | ||||||||||||
USD | 158 | EUR | 134 | Morgan Stanley & Co. | 10/04/2021 | 3 | ||||||||||||
USD | 417 | EUR | 352 | UBS AG LONDON | 10/04/2021 | 10 | ||||||||||||
USD | 390 | EUR | 330 | UBS AG LONDON | 10/04/2021 | 8 | ||||||||||||
USD | 4,028 | EUR | 3,410 | UBS AG LONDON | 10/04/2021 | 78 | ||||||||||||
USD | 4,429 | EUR | 3,750 | UBS AG LONDON | 10/04/2021 | 86 | ||||||||||||
USD | 1,456 | EUR | 1,240 | Westpac Banking Corp. | 10/04/2021 | 19 | ||||||||||||
USD | 765 | GBP | 555 | Bank of America, NA | 10/04/2021 | 18 | ||||||||||||
GBP | 30,060 | USD | 40,480 | Bank of America, NA | 10/04/2021 | 23 | ||||||||||||
USD | 41,131 | GBP | 29,840 | Bank of America, NA | 10/04/2021 | 925 | ||||||||||||
USD | 205 | GBP | 150 | Bank of America, NA | 10/04/2021 | 3 | ||||||||||||
GBP | 30,060 | USD | 40,475 | Citibank, NA | 10/04/2021 | 28 | ||||||||||||
USD | 41,114 | GBP | 29,840 | Citibank, NA | 10/04/2021 | 908 | ||||||||||||
USD | 206 | GBP | 150 | Citibank, NA | 10/04/2021 | 4 | ||||||||||||
USD | 38,202 | GBP | 27,874 | Citibank, NA | 10/04/2021 | 644 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Forward foreign currency exchange contracts outstanding as of September 30, 2021 (continued):
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||||||||||||||
USD | 25,285 | GBP | 18,449 | Citibank, NA | 10/04/2021 | 427 | ||||||||||||
USD | 41,229 | GBP | 29,929 | Morgan Stanley & Co. | 10/04/2021 | 903 | ||||||||||||
GBP | 30,145 | USD | 40,597 | Morgan Stanley & Co. | 10/04/2021 | 21 | ||||||||||||
GBP | 1,206 | USD | 1,621 | UBS AG LONDON | 10/04/2021 | 4 | ||||||||||||
USD | 1,376 | GBP | 1,000 | UBS AG LONDON | 10/04/2021 | 29 | ||||||||||||
USD | 1,111 | GBP | 807 | UBS AG LONDON | 10/04/2021 | 23 | ||||||||||||
GBP | 74,052 | USD | 99,545 | UBS AG LONDON | 10/04/2021 | 233 | ||||||||||||
USD | 100,677 | GBP | 73,052 | Westpac Banking Corp. | 10/04/2021 | 2,247 | ||||||||||||
USD | 1,662 | GBP | 1,206 | Westpac Banking Corp. | 10/04/2021 | 37 | ||||||||||||
USD | 277 | GBP | 200 | Westpac Banking Corp. | 10/04/2021 | 7 | ||||||||||||
HKD | 15,302 | USD | 1,965 | UBS AG LONDON | 10/04/2021 | 1 | ||||||||||||
USD | 1,967 | HKD | 15,302 | UBS AG LONDON | 10/04/2021 | 1 | ||||||||||||
HUF | 866,359 | USD | 2,787 | Bank of America, NA | 10/04/2021 | 5 | ||||||||||||
USD | 2,939 | HUF | 866,359 | Goldman Sachs International | 10/04/2021 | 146 | ||||||||||||
JPY | 31,367,155 | USD | 280,204 | Bank of America, NA | 10/04/2021 | 1,634 | ||||||||||||
USD | 284,718 | JPY | 31,225,395 | Bank of America, NA | 10/04/2021 | 4,154 | ||||||||||||
USD | 73,488 | JPY | 8,087,335 | Citibank, NA | 10/04/2021 | 823 | ||||||||||||
JPY | 31,367,150 | USD | 280,164 | Deutsche Bank AG | 10/04/2021 | 1,674 | ||||||||||||
USD | 6,454 | JPY | 708,792 | Deutsche Bank AG | 10/04/2021 | 85 | ||||||||||||
USD | 284,695 | JPY | 31,225,395 | Goldman Sachs International | 10/04/2021 | 4,131 | ||||||||||||
JPY | 31,367,155 | USD | 280,389 | Goldman Sachs International | 10/04/2021 | 1,449 | ||||||||||||
JPY | 31,367,155 | USD | 280,404 | Morgan Stanley & Co. | 10/04/2021 | 1,434 | ||||||||||||
USD | 284,746 | JPY | 31,225,395 | Morgan Stanley & Co. | 10/04/2021 | 4,181 | ||||||||||||
USD | 284,682 | JPY | 31,225,395 | Standard Chartered Bank | 10/04/2021 | 4,118 | ||||||||||||
USD | 284,720 | JPY | 31,225,398 | Toronto-Dominion Bank (The) | 10/04/2021 | 4,156 | ||||||||||||
JPY | 31,367,155 | USD | 280,377 | UBS AG LONDON | 10/04/2021 | 1,461 | ||||||||||||
USD | 2,396 | NOK | 20,726 | Citibank, NA | 10/04/2021 | 25 | ||||||||||||
NOK | 24,327 | USD | 2,764 | Goldman Sachs International | 10/04/2021 | 19 | ||||||||||||
USD | 414 | NOK | 3,601 | UBS AG LONDON | 10/04/2021 | 2 | ||||||||||||
USD | 19,723 | NZD | 27,950 | Goldman Sachs International | 10/04/2021 | 428 | ||||||||||||
USD | 789 | NZD | 1,136 | Goldman Sachs International | 10/04/2021 | 5 | ||||||||||||
NZD | 27,950 | USD | 19,187 | Morgan Stanley & Co. | 10/04/2021 | 109 | ||||||||||||
USD | 6,269 | PLN | 24,042 | Morgan Stanley & Co. | 10/04/2021 | 224 | ||||||||||||
PLN | 24,042 | USD | 6,012 | UBS AG LONDON | 10/04/2021 | 33 | ||||||||||||
USD | 2,265 | RON | 9,460 | Goldman Sachs International | 10/04/2021 | 50 | ||||||||||||
USD | 972 | SEK | 8,460 | Morgan Stanley & Co. | 10/04/2021 | 5 | ||||||||||||
SEK | 40,680 | USD | 4,628 | Morgan Stanley & Co. | 10/04/2021 | 19 | ||||||||||||
SEK | 41,969 | USD | 4,775 | Morgan Stanley & Co. | 10/04/2021 | 19 | ||||||||||||
USD | 4,882 | SEK | 41,969 | UBS AG LONDON | 10/04/2021 | 88 | ||||||||||||
USD | 4,734 | SEK | 40,680 | UBS AG LONDON | 10/04/2021 | 87 | ||||||||||||
SGD | 33,602 | USD | 24,701 | Goldman Sachs International | 10/04/2021 | 47 | ||||||||||||
USD | 25,008 | SGD | 33,602 | Goldman Sachs International | 10/04/2021 | 261 | ||||||||||||
AUD | 44,940 | USD | 32,367 | Bank of America, NA | 10/05/2021 | 122 | ||||||||||||
USD | 32,836 | AUD | 44,820 | Bank of America, NA | 10/05/2021 | 433 | ||||||||||||
USD | 445 | AUD | 609 | Deutsche Bank AG | 10/05/2021 | 5 | ||||||||||||
AUD | 44,949 | USD | 32,377 | Deutsche Bank AG | 10/05/2021 | 119 | ||||||||||||
USD | 32,819 | AUD | 44,820 | Goldman Sachs International | 10/05/2021 | 416 | ||||||||||||
AUD | 44,940 | USD | 32,379 | Goldman Sachs International | 10/05/2021 | 110 | ||||||||||||
USD | 7,333 | AUD | 10,113 | HSBC Bank plc | 10/05/2021 | 22 | ||||||||||||
AUD | 44,940 | USD | 32,380 | Morgan Stanley & Co. | 10/05/2021 | 110 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Forward foreign currency exchange contracts outstanding as of September 30, 2021 (continued):
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||||||||||||||
USD | 32,814 | AUD | 44,820 | Morgan Stanley & Co. | 10/05/2021 | 411 | ||||||||||||
USD | 32,833 | AUD | 44,820 | Standard Chartered Bank | 10/05/2021 | 430 | ||||||||||||
USD | 32,836 | AUD | 44,820 | Toronto-Dominion Bank (The) | 10/05/2021 | 433 | ||||||||||||
AUD | 44,940 | USD | 32,413 | UBS AG LONDON | 10/05/2021 | 76 | ||||||||||||
USD | 2,634 | CNY | 17,000 | Brown Brothers Harriman & Co. | 10/12/2021 | 4 | ||||||||||||
CNY | 2,985,100 | USD | 461,533 | Brown Brothers Harriman & Co. | 10/12/2021 | 170 | ||||||||||||
CNY | 20,800 | USD | 3,205 | Brown Brothers Harriman & Co. | 10/12/2021 | 12 | ||||||||||||
CNY | 2,985,100 | USD | 461,483 | Brown Brothers Harriman & Co. | 10/12/2021 | 220 | ||||||||||||
USD | 292 | AUD | 397 | Morgan Stanley & Co. | 10/19/2021 | 5 | ||||||||||||
USD | 326 | CAD | 407 | Morgan Stanley & Co. | 10/19/2021 | 5 | ||||||||||||
CAD | 298 | USD | 235 | Morgan Stanley & Co. | 10/19/2021 | | (h) | |||||||||||
USD | 453 | CZK | 9,845 | Barclays Bank plc | 10/19/2021 | 3 | ||||||||||||
USD | 696 | CZK | 15,125 | Barclays Bank plc | 10/19/2021 | 5 | ||||||||||||
USD | 946 | DKK | 5,921 | Morgan Stanley & Co. | 10/19/2021 | 24 | ||||||||||||
USD | 775 | EUR | 655 | Barclays Bank plc | 10/19/2021 | 16 | ||||||||||||
USD | 1,910 | EUR | 1,609 | Morgan Stanley & Co. | 10/19/2021 | 46 | ||||||||||||
USD | 928 | GBP | 669 | Morgan Stanley & Co. | 10/19/2021 | 27 | ||||||||||||
USD | 653 | GBP | 470 | Morgan Stanley & Co. | 10/19/2021 | 20 | ||||||||||||
USD | 444 | HUF | 133,297 | Citibank, NA | 10/19/2021 | 14 | ||||||||||||
USD | 217 | HUF | 66,128 | Goldman Sachs International | 10/19/2021 | 4 | ||||||||||||
USD | 340 | JPY | 37,357 | Bank of America, NA | 10/19/2021 | 4 | ||||||||||||
JPY | 35,067 | USD | 314 | HSBC Bank plc | 10/19/2021 | 1 | ||||||||||||
USD | 1,185 | JPY | 130,308 | Morgan Stanley & Co. | 10/19/2021 | 14 | ||||||||||||
USD | 492 | JPY | 54,018 | Morgan Stanley & Co. | 10/19/2021 | 7 | ||||||||||||
USD | 1,089 | PLN | 4,187 | Citibank, NA | 10/19/2021 | 37 | ||||||||||||
USD | 398 | RON | 1,660 | Goldman Sachs International | 10/19/2021 | 10 | ||||||||||||
USD | 254 | RON | 1,064 | Goldman Sachs International | 10/19/2021 | 6 | ||||||||||||
CAD | 919 | USD | 722 | Morgan Stanley & Co. | 11/02/2021 | 3 | ||||||||||||
USD | 2,857 | CHF | 2,641 | Bank of America, NA | 11/02/2021 | 21 | ||||||||||||
CHF | 80 | USD | 86 | Morgan Stanley & Co. | 11/02/2021 | | (h) | |||||||||||
USD | 896 | CNY | 5,800 | Brown Brothers Harriman & Co. | 11/02/2021 | | (h) | |||||||||||
USD | 5,000 | DKK | 32,038 | Bank of America, NA | 11/02/2021 | 7 | ||||||||||||
USD | 420 | DKK | 2,690 | Bank of America, NA | 11/02/2021 | 1 | ||||||||||||
USD | 727 | DKK | 4,660 | Citibank, NA | 11/02/2021 | | (h) | |||||||||||
USD | 414 | DKK | 2,654 | UBS AG LONDON | 11/02/2021 | | (h) | |||||||||||
USD | 174,121 | EUR | 150,230 | Bank of America, NA | 11/02/2021 | 4 | ||||||||||||
USD | 23,008 | EUR | 19,842 | BNP Paribas | 11/02/2021 | 12 | ||||||||||||
USD | 42,375 | EUR | 36,245 | Citibank, NA | 11/02/2021 | 367 | ||||||||||||
USD | 90,192 | EUR | 77,144 | Citibank, NA | 11/02/2021 | 782 | ||||||||||||
USD | 8,291 | EUR | 7,150 | Citibank, NA | 11/02/2021 | 4 | ||||||||||||
USD | 90,264 | EUR | 77,144 | Morgan Stanley & Co. | 11/02/2021 | 854 | ||||||||||||
EUR | 604 | USD | 700 | Morgan Stanley & Co. | 11/02/2021 | | (h) | |||||||||||
USD | 42,409 | EUR | 36,245 | Morgan Stanley & Co. | 11/02/2021 | 401 | ||||||||||||
USD | 6,001 | EUR | 5,175 | UBS AG LONDON | 11/02/2021 | 3 | ||||||||||||
USD | 25,212 | GBP | 18,449 | Barclays Bank plc | 11/02/2021 | 352 | ||||||||||||
USD | 38,092 | GBP | 27,874 | Barclays Bank plc | 11/02/2021 | 533 | ||||||||||||
USD | 72,926 | JPY | 8,087,335 | Citibank, NA | 11/02/2021 | 246 | ||||||||||||
USD | 425 | NOK | 3,663 | Morgan Stanley & Co. | 11/02/2021 | 6 | ||||||||||||
USD | 796 | NZD | 1,136 | Barclays Bank plc | 11/02/2021 | 12 | ||||||||||||
USD | 2,215 | RON | 9,460 | UBS AG LONDON | 11/02/2021 | 4 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Forward foreign currency exchange contracts outstanding as of September 30, 2021 (continued):
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||||||||||||||
USD | 977 | SEK | 8,460 | Bank of America, NA | 11/02/2021 | 11 | ||||||||||||
CNH | 1,000 | USD | 154 | HSBC Bank plc | 11/18/2021 | 1 | ||||||||||||
USD | 408 | CLP | 319,372 | Goldman Sachs International | 12/15/2021 | 17 | ||||||||||||
USD | 1,118 | IDR | 16,064,630 | Bank of America, NA | 12/15/2021 | 3 | ||||||||||||
USD | 50,390 | IDR | 724,839,220 | Goldman Sachs International | 12/15/2021 | 115 | ||||||||||||
USD | 904 | ILS | 2,907 | Goldman Sachs International | 12/15/2021 | 1 | ||||||||||||
USD | 147,714 | KRW | 172,802,217 | Morgan Stanley & Co. | 12/15/2021 | 1,924 | ||||||||||||
USD | 1,615 | MXN | 32,633 | HSBC Bank plc | 12/15/2021 | 51 | ||||||||||||
USD | 1,713 | MYR | 7,155 | Barclays Bank plc | 12/15/2021 | 10 | ||||||||||||
USD | 38,500 | MYR | 160,430 | Morgan Stanley & Co. | 12/15/2021 | 304 | ||||||||||||
USD | 293 | PEN | 1,205 | Citibank, NA | 12/15/2021 | 3 | ||||||||||||
USD | 1,049 | SGD | 1,410 | Citibank, NA | 12/15/2021 | 11 | ||||||||||||
USD | 1,702 | THB | 55,285 | HSBC Bank plc | 12/15/2021 | 68 | ||||||||||||
USD | 39,588 | THB | 1,297,243 | Standard Chartered Bank | 12/15/2021 | 1,264 | ||||||||||||
USD | 1,666 | DKK | 10,547 | Bank of America, NA | 04/01/2022 | 17 | ||||||||||||
USD | 2,393 | DKK | 15,144 | Morgan Stanley & Co. | 04/01/2022 | 25 | ||||||||||||
USD | 2,579 | DKK | 16,357 | Morgan Stanley & Co. | 04/01/2022 | 21 | ||||||||||||
|
| |||||||||||||||||
Total unrealized appreciation | 77,261 | |||||||||||||||||
|
| |||||||||||||||||
DKK | 10,587 | USD | 1,666 | Bank of America, NA | 10/01/2021 | (17 | ) | |||||||||||
DKK | 16,419 | USD | 2,579 | Morgan Stanley & Co. | 10/01/2021 | (21 | ) | |||||||||||
DKK | 15,202 | USD | 2,393 | Morgan Stanley & Co. | 10/01/2021 | (25 | ) | |||||||||||
CAD | 919 | USD | 728 | Bank of America, NA | 10/04/2021 | (3 | ) | |||||||||||
USD | 722 | CAD | 919 | Morgan Stanley & Co. | 10/04/2021 | (3 | ) | |||||||||||
CHF | 2,641 | USD | 2,855 | Bank of America, NA | 10/04/2021 | (21 | ) | |||||||||||
DKK | 2,690 | USD | 420 | Bank of America, NA | 10/04/2021 | (1 | ) | |||||||||||
DKK | 32,038 | USD | 4,997 | Bank of America, NA | 10/04/2021 | (7 | ) | |||||||||||
EUR | 150,230 | USD | 174,026 | Bank of America, NA | 10/04/2021 | (8 | ) | |||||||||||
EUR | 591 | USD | 700 | Citibank, NA | 10/04/2021 | (15 | ) | |||||||||||
EUR | 77,144 | USD | 90,143 | Citibank, NA | 10/04/2021 | (783 | ) | |||||||||||
EUR | 36,245 | USD | 42,352 | Citibank, NA | 10/04/2021 | (368 | ) | |||||||||||
EUR | 461 | USD | 545 | Goldman Sachs International | 10/04/2021 | (11 | ) | |||||||||||
USD | 700 | EUR | 604 | Morgan Stanley & Co. | 10/04/2021 | ( | )(h) | |||||||||||
EUR | 77,144 | USD | 90,214 | Morgan Stanley & Co. | 10/04/2021 | (854 | ) | |||||||||||
EUR | 36,245 | USD | 42,385 | Morgan Stanley & Co. | 10/04/2021 | (401 | ) | |||||||||||
EUR | 1,045 | USD | 1,236 | Morgan Stanley & Co. | 10/04/2021 | (26 | ) | |||||||||||
EUR | 30 | USD | 36 | Morgan Stanley & Co. | 10/04/2021 | (1 | ) | |||||||||||
EUR | 1,055 | USD | 1,248 | Morgan Stanley & Co. | 10/04/2021 | (26 | ) | |||||||||||
EUR | 1,288 | USD | 1,523 | Morgan Stanley & Co. | 10/04/2021 | (31 | ) | |||||||||||
GBP | 18,449 | USD | 25,211 | Barclays Bank plc | 10/04/2021 | (352 | ) | |||||||||||
GBP | 27,874 | USD | 38,090 | Barclays Bank plc | 10/04/2021 | (532 | ) | |||||||||||
GBP | 553 | USD | 761 | Citibank, NA | 10/04/2021 | (16 | ) | |||||||||||
GBP | 653 | USD | 898 | UBS AG LONDON | 10/04/2021 | (19 | ) | |||||||||||
JPY | 8,087,335 | USD | 72,912 | Citibank, NA | 10/04/2021 | (246 | ) | |||||||||||
USD | 414 | NOK | 3,663 | Citibank, NA | 10/04/2021 | (5 | ) | |||||||||||
NOK | 3,663 | USD | 425 | Morgan Stanley & Co. | 10/04/2021 | (6 | ) | |||||||||||
NZD | 1,136 | USD | 796 | Barclays Bank plc | 10/04/2021 | (12 | ) | |||||||||||
RON | 9,460 | USD | 2,218 | UBS AG LONDON | 10/04/2021 | (4 | ) | |||||||||||
SEK | 8,460 | USD | 977 | Bank of America, NA | 10/04/2021 | (11 | ) | |||||||||||
USD | 1,235 | CNY | 8,000 | Brown Brothers Harriman & Co. | 10/12/2021 | (2 | ) |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Forward foreign currency exchange contracts outstanding as of September 30, 2021 (continued):
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||||||||||||||
USD | 461,157 | CNY | 2,990,000 | Brown Brothers Harriman & Co. | 10/12/2021 | (1,303 | ) | |||||||||||
USD | 460,687 | CNY | 2,990,000 | Brown Brothers Harriman & Co. | 10/12/2021 | (1,773 | ) | |||||||||||
EUR | 1,137 | USD | 1,318 | Morgan Stanley & Co. | 10/19/2021 | (1 | ) | |||||||||||
GBP | 695 | USD | 937 | Morgan Stanley & Co. | 10/19/2021 | (1 | ) | |||||||||||
JPY | 21,321 | USD | 193 | Barclays Bank plc | 10/19/2021 | (1 | ) | |||||||||||
USD | 32,371 | AUD | 44,940 | Bank of America, NA | 11/02/2021 | (122 | ) | |||||||||||
USD | 3,575 | AUD | 4,948 | Deutsche Bank AG | 11/02/2021 | (3 | ) | |||||||||||
USD | 32,380 | AUD | 44,949 | Deutsche Bank AG | 11/02/2021 | (120 | ) | |||||||||||
USD | 32,383 | AUD | 44,940 | Goldman Sachs International | 11/02/2021 | (110 | ) | |||||||||||
USD | 32,384 | AUD | 44,940 | Morgan Stanley & Co. | 11/02/2021 | (110 | ) | |||||||||||
USD | 32,418 | AUD | 44,940 | UBS AG LONDON | 11/02/2021 | (76 | ) | |||||||||||
USD | 12,922 | CAD | 16,443 | Bank of America, NA | 11/02/2021 | (60 | ) | |||||||||||
USD | 5,609 | CHF | 5,249 | Morgan Stanley & Co. | 11/02/2021 | (27 | ) | |||||||||||
USD | 4,141 | CHF | 3,875 | Morgan Stanley & Co. | 11/02/2021 | (20 | ) | |||||||||||
USD | 460,767 | CNY | 2,985,100 | Brown Brothers Harriman & Co. | 11/02/2021 | (171 | ) | |||||||||||
USD | 460,713 | CNY | 2,985,100 | Brown Brothers Harriman & Co. | 11/02/2021 | (225 | ) | |||||||||||
USD | 3,959 | CZK | 87,176 | UBS AG LONDON | 11/02/2021 | (22 | ) | |||||||||||
EUR | 160 | USD | 186 | Citibank, NA | 11/02/2021 | ( | )(h) | |||||||||||
EUR | 1,498 | USD | 1,737 | Citibank, NA | 11/02/2021 | (1 | ) | |||||||||||
USD | 174,111 | EUR | 150,230 | Citibank, NA | 11/02/2021 | (5 | ) | |||||||||||
USD | 27,136 | EUR | 23,421 | Goldman Sachs International | 11/02/2021 | (9 | ) | |||||||||||
USD | 503,843 | EUR | 434,860 | Goldman Sachs International | 11/02/2021 | (160 | ) | |||||||||||
EUR | 190 | USD | 220 | Morgan Stanley & Co. | 11/02/2021 | ( | )(h) | |||||||||||
USD | 174,609 | EUR | 150,683 | Morgan Stanley & Co. | 11/02/2021 | (33 | ) | |||||||||||
USD | 40,481 | GBP | 30,060 | Bank of America, NA | 11/02/2021 | (23 | ) | |||||||||||
GBP | 130 | USD | 175 | Citibank, NA | 11/02/2021 | ( | )(h) | |||||||||||
GBP | 519 | USD | 700 | Citibank, NA | 11/02/2021 | (1 | ) | |||||||||||
USD | 40,477 | GBP | 30,060 | Citibank, NA | 11/02/2021 | (28 | ) | |||||||||||
GBP | 927 | USD | 1,250 | Goldman Sachs International | 11/02/2021 | (1 | ) | |||||||||||
GBP | 10 | USD | 13 | Morgan Stanley & Co. | 11/02/2021 | ( | )(h) | |||||||||||
USD | 40,599 | GBP | 30,145 | Morgan Stanley & Co. | 11/02/2021 | (20 | ) | |||||||||||
USD | 1,621 | GBP | 1,206 | UBS AG LONDON | 11/02/2021 | (4 | ) | |||||||||||
USD | 99,549 | GBP | 74,052 | UBS AG LONDON | 11/02/2021 | (233 | ) | |||||||||||
USD | 1,965 | HKD | 15,302 | UBS AG LONDON | 11/02/2021 | (1 | ) | |||||||||||
USD | 2,784 | HUF | 866,359 | Bank of America, NA | 11/02/2021 | (5 | ) | |||||||||||
USD | 280,258 | JPY | 31,367,155 | Bank of America, NA | 11/02/2021 | (1,636 | ) | |||||||||||
USD | 280,218 | JPY | 31,367,150 | Deutsche Bank AG | 11/02/2021 | (1,676 | ) | |||||||||||
USD | 22,302 | JPY | 2,487,831 | Deutsche Bank AG | 11/02/2021 | (56 | ) | |||||||||||
USD | 280,444 | JPY | 31,367,155 | Goldman Sachs International | 11/02/2021 | (1,450 | ) | |||||||||||
USD | 280,458 | JPY | 31,367,155 | Morgan Stanley & Co. | 11/02/2021 | (1,436 | ) | |||||||||||
USD | 280,429 | JPY | 31,367,155 | UBS AG LONDON | 11/02/2021 | (1,465 | ) | |||||||||||
USD | 2,764 | NOK | 24,327 | Goldman Sachs International | 11/02/2021 | (18 | ) | |||||||||||
USD | 19,184 | NZD | 27,950 | Morgan Stanley & Co. | 11/02/2021 | (109 | ) | |||||||||||
PLN | 551 | USD | 139 | Goldman Sachs International | 11/02/2021 | ( | )(h) | |||||||||||
PLN | 1,380 | USD | 348 | UBS AG LONDON | 11/02/2021 | (1 | ) | |||||||||||
USD | 6,012 | PLN | 24,042 | UBS AG LONDON | 11/02/2021 | (32 | ) | |||||||||||
USD | 4,629 | SEK | 40,680 | Morgan Stanley & Co. | 11/02/2021 | (19 | ) | |||||||||||
USD | 4,776 | SEK | 41,969 | Morgan Stanley & Co. | 11/02/2021 | (19 | ) | |||||||||||
USD | 24,699 | SGD | 33,602 | Goldman Sachs International | 11/02/2021 | (47 | ) | |||||||||||
USD | 637 | CNH | 4,138 | Barclays Bank plc | 11/18/2021 | (2 | ) |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Forward foreign currency exchange contracts outstanding as of September 30, 2021 (continued):
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||||||||||||||
USD | 39,033 | CNH | 254,848 | HSBC Bank plc | 11/18/2021 | (347 | ) | |||||||||||
USD | 977 | CNH | 6,342 | HSBC Bank plc | 11/18/2021 | (3 | ) | |||||||||||
USD | 619 | CNY | 4,045 | Citibank, NA | 11/18/2021 | (5 | ) | |||||||||||
USD | 3,386 | IDR | 49,417,649 | Citibank, NA | 12/15/2021 | (42 | ) | |||||||||||
USD | 1,777 | IDR | 25,651,702 | Morgan Stanley & Co. | 12/15/2021 | (2 | ) | |||||||||||
KRW | 308,689 | USD | 261 | Barclays Bank plc | 12/15/2021 | ( | )(h) | |||||||||||
KRW | 346,425 | USD | 296 | Morgan Stanley & Co. | 12/15/2021 | (4 | ) | |||||||||||
USD | 1,337 | MYR | 5,622 | Goldman Sachs International | 12/15/2021 | (2 | ) | |||||||||||
USD | 6,244 | RUB | 463,895 | Citibank, NA | 12/15/2021 | (40 | ) | |||||||||||
USD | 983 | RUB | 73,087 | Goldman Sachs International | 12/15/2021 | (7 | ) | |||||||||||
|
| |||||||||||||||||
Total unrealized depreciation | (16,914 | ) | ||||||||||||||||
|
| |||||||||||||||||
Net unrealized appreciation (depreciation) | 60,347 | |||||||||||||||||
|
|
OTC Interest Rate Swaps contracts outstanding as of September 30, 2021:
FLOATING RATE INDEX (a) | FIXED RATE | PAY/ RECEIVE FLOATING RATE | COUNTERPARTY | MATURITY DATE | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) ($) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) | ||||||||||||||||||||||
Bank Negara Malaysia Klibor Interbank Offerred rate Fixing 3 Month | 2.44% quarterly | Pay | | Morgan Stanley & Co. | | 11/17/2030 | MYR 5,000 | ( | )(h) | (70 | ) | (70 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total |
| ( | )(h) | (70 | ) | (70 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
Centrally Cleared Interest Rate Swap contracts outstanding as of September 30, 2021:
FLOATING RATE INDEX (a) | FIXED RATE | PAY/RECEIVE FLOATING RATE | MATURITY DATE | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) ($) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) | |||||||||||||||||
Bank of Japan Final Result: Unsecured Overnight Call Rate TONAR | (0.05%) annually | Pay | 07/08/2023 | JPY | 360,000 | 3 | (4 | ) | (1 | ) | ||||||||||||||
Bank of Japan Final Result: Unsecured Overnight Call Rate TONAR | 0.00% annually | Pay | 07/08/2031 | JPY | 95,000 | (1 | ) | (4 | ) | (5 | ) | |||||||||||||
Bank of Japan Final Result: Unsecured Overnight Call Rate TONAR | 0.25% annually | Pay | 07/08/2041 | JPY | 40,000 | | (h) | (3 | ) | (3 | ) | |||||||||||||
Bank of Thailand BIBOR Fixings 6 Month | 1.15% semi-annually | Pay | 11/19/2030 | THB | 31,000 | | (h) | (39 | ) | (39 | ) | |||||||||||||
BBSW ASX Australian 6 Month | 2.50% semi-annually | Pay | 12/03/2025 | AUD | 3,390 | 269 | (82 | ) | 187 | |||||||||||||||
BBSW ASX Australian 6 Month | 2.75% semi-annually | Pay | 12/03/2030 | AUD | 1,035 | 144 | (61 | ) | 83 | |||||||||||||||
Canada Bankers Acceptances 3 Month | 2.45% semi-annually | Pay | 12/03/2022 | CAD | 4,125 | 136 | (45 | ) | 91 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Centrally Cleared Interest Rate Swap contracts outstanding as of September 30, 2021 (continued):
FLOATING RATE INDEX (a) | FIXED RATE | PAY/RECEIVE FLOATING RATE | MATURITY DATE | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) ($) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) | |||||||||||||||||
Canada Bankers Acceptances 3 Month | 2.50% semi-annually | Pay | 12/03/2025 | CAD | 8,915 | 563 | (212 | ) | 351 | |||||||||||||||
Canada Bankers Acceptances 3 Month | 2.65% semi-annually | Pay | 12/03/2030 | CAD | 4,555 | 434 | (178 | ) | 256 | |||||||||||||||
Canada Bankers Acceptances 3 Month | 2.80% semi-annually | Pay | 12/03/2040 | CAD | 1,585 | 308 | (199 | ) | 109 | |||||||||||||||
Canada Bankers Acceptances 3 Month | 2.80% semi-annually | Pay | 12/03/2049 | CAD | 1,245 | 321 | (223 | ) | 98 | |||||||||||||||
CFETS China Fixing Repo Rates 7 Day | 2.81% quarterly | Pay | 04/12/2026 | CNY | 3,590 | | | (h) | 9 | 9 | ||||||||||||||
Colombia IBR Overnight Nominal Interbank Reference Rate | 4.44% quarterly | Pay | 09/10/2030 | COP | 2,257,000 | | | (h) | (83 | ) | (83 | ) | ||||||||||||
ICE LIBOR JPY 6 Month | (0.05%) semi-annually | Pay | 11/12/2022 | JPY | 9,220,978 | 1 | (43 | ) | (42 | ) | ||||||||||||||
ICE LIBOR JPY 6 Month | (0.06%) semi-annually | Pay | 02/16/2023 | JPY | 1,438,763 | | | (h) | (9 | ) | (9 | ) | ||||||||||||
ICE LIBOR JPY 6 Month | (0.04%) semi-annually | Pay | 03/17/2024 | JPY | 14,868,300 | 4 | (182 | ) | (178 | ) | ||||||||||||||
ICE LIBOR JPY 6 Month | (0.04%) semi-annually | Pay | 04/26/2024 | JPY | 886,010 | | | (h) | (9 | ) | (9 | ) | ||||||||||||
ICE LIBOR JPY 6 Month | (0.02%) semi-annually | Pay | 05/20/2024 | JPY | 1,452,100 | | | (h) | (11 | ) | (11 | ) | ||||||||||||
ICE LIBOR JPY 6 Month | (0.03%) semi-annually | Pay | 11/12/2025 | JPY | 2,490,466 | (1 | ) | (48 | ) | (49 | ) | |||||||||||||
ICE LIBOR JPY 6 Month | (0.05%) semi-annually | Pay | 11/17/2025 | JPY | 873,680 | | | (h) | (22 | ) | (22 | ) | ||||||||||||
ICE LIBOR JPY 6 Month | (0.04%) semi-annually | Pay | 12/02/2025 | JPY | 1,479,353 | | | (h) | (31 | ) | (31 | ) | ||||||||||||
ICE LIBOR JPY 6 Month | 0.10% semi-annually | Pay | 12/03/2025 | JPY | 140,000 | 9 | (4 | ) | 5 | |||||||||||||||
ICE LIBOR JPY 6 Month | (0.03%) semi-annually | Pay | 03/17/2026 | JPY | 1,900,000 | (1 | ) | (34 | ) | (35 | ) | |||||||||||||
ICE LIBOR JPY 6 Month | 0.30% semi-annually | Pay | 12/03/2030 | JPY | 143,500 | 35 | (9 | ) | 26 | |||||||||||||||
ICE LIBOR USD 3 Month | 0.25% semi-annually | Receive | 06/16/2023 | USD | 76,100 | 64 | (52 | ) | 12 | |||||||||||||||
ICE LIBOR USD 3 Month | 0.25% semi-annually | Receive | 06/16/2024 | USD | 41,220 | 311 | 31 | 342 | ||||||||||||||||
ICE LIBOR USD 3 Month | 0.50% semi-annually | Pay | 06/16/2028 | USD | 2,300 | (118 | ) | 2 | (116 | ) | ||||||||||||||
ICE LIBOR USD 3 Month | 1.50% semi-annually | Pay | 12/15/2028 | USD | 21,900 | 150 | 22 | 172 | ||||||||||||||||
ICE LIBOR USD 3 Month | 1.00% semi-annually | Receive | 12/16/2030 | USD | 2,020 | (10 | ) | (72 | ) | (82 | ) |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Centrally Cleared Interest Rate Swap contracts outstanding as of September 30, 2021 (continued):
FLOATING RATE INDEX (a) | FIXED RATE | PAY/RECEIVE FLOATING RATE | MATURITY DATE | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) ($) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) | |||||||||||||||||
ICE LIBOR USD 3 Month | 0.75% semi-annually | Pay | 03/17/2031 | USD | 400 | (9 | ) | (18 | ) | (27 | ) | |||||||||||||
ICE LIBOR USD 3 Month | 0.75% semi-annually | Pay | 06/16/2031 | USD | 34,300 | (2,792 | ) | 402 | (2,390 | ) | ||||||||||||||
ICE LIBOR USD 3 Month | 0.75% semi-annually | Pay | 06/16/2031 | USD | 23,400 | (1,371 | ) | (259 | ) | (1,630 | ) | |||||||||||||
KRW Certificate of Deposit 3 Month | 1.00% maturity | Pay | 09/01/2025 | KRW | 2,400,000 | | (h) | (59 | ) | (59 | ) | |||||||||||||
KRW Certificate of Deposit 3 Month | 1.07% maturity | Pay | 04/27/2030 | KRW | 200,000 | (8 | ) | (3 | ) | (11 | ) | |||||||||||||
KRW Certificate of Deposit 3 Month | 0.97% maturity | Pay | 08/14/2030 | KRW | 2,100,000 | | (h) | (138 | ) | (138 | ) | |||||||||||||
KRW Certificate of Deposit 3 Month | 0.94% maturity | Pay | 08/19/2030 | KRW | 5,075,000 | (83 | ) | (255 | ) | (338 | ) | |||||||||||||
SONIA Interest Rate Benchmark | 0.45% annually | Pay | 03/31/2026 | GBP | 1,250 | | (h) | (17 | ) | (17 | ) | |||||||||||||
SONIA Interest Rate Benchmark | 0.11% annually | Receive | 09/30/2030 | GBP | 500 | | (h) | 45 | 45 | |||||||||||||||
SONIA Interest Rate Benchmark | 0.26% annually | Receive | 09/30/2040 | GBP | 275 | | (h) | 48 | 48 | |||||||||||||||
SONIA Interest Rate Benchmark | 1.25% annually | Pay | 05/08/2046 | GBP | 2,080 | 332 | (174 | ) | 158 | |||||||||||||||
SONIA Interest Rate Benchmark | 0.26% annually | Receive | 09/30/2050 | GBP | 200 | | (h) | 49 | 49 | |||||||||||||||
United States FEDEF | 0.03% annually | Receive | 06/12/2022 | USD | 450 | | (h) | | (h) | | (h) | |||||||||||||
United States FEDEF | 0.10% maturity | Receive | 01/13/2023 | USD | 442,600 | 37 | 181 | 218 | ||||||||||||||||
United States FEDEF | 0.20% maturity | Receive | 04/29/2023 | USD | 22,600 | 1 | 9 | 10 | ||||||||||||||||
|
| |||||||||||||||||||||||
Total |
| (1,272 | ) | (1,784 | ) | (3,056 | ) | |||||||||||||||||
|
|
(a) | Value of floating rate index as of September 30, 2021 was as follows: |
FLOATING RATE INDEX | ||||
Bank of Japan Final Result: Unsecured Overnight Call Rate TONAR | (0.05 | )% | ||
Bank of Thailand BIBOR Fixings 6 Month | 0.73 | % | ||
Bank Negara Malaysia Klibor Interbank Offerred rate Fixing 3 Month | 1.93 | % | ||
BBSW ASX Australian 6 Month | 0.05 | % | ||
Canada Bankers Acceptances 3 Month | 0.45 | % | ||
CFETS China Fixing Repo Rates 7 Day | 2.37 | % | ||
Colombia IBR Overnight Nominal Interbank Reference Rate | 1.75 | % | ||
ICE LIBOR JPY 6 Month | (0.04 | )% | ||
ICE LIBOR USD 3 Month | 0.13 | % | ||
KRW Certificate of Deposit 3 Month | 1.04 | % | ||
SONIA Interest Rate Benchmark | 0.05 | % | ||
United States FEDEF | 0.06 | % |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Written Call Option Contracts on securities as of September 30, 2021:
DESCRIPTION | COUNTERPARTY | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | EXERCISE PRICE | EXPIRATION DATE | VALUE | ||||||||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 10/14/2051 | Citigroup Global Markets, Inc. | (3,000 | ) | USD | | (h) | USD | 101.73 | 10/07/2021 | ( | )(h) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 10/14/2051 | Citigroup Global Markets, Inc. | (100 | ) | USD | | USD | 102.75 | 10/07/2021 | | |||||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 10/14/2051 | Citigroup Global Markets, Inc. | (900 | ) | USD | | USD | 102.81 | 10/07/2021 | | |||||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 11/10/2051 | Citigroup Global Markets, Inc. | (5,500 | ) | USD | (1,833 | ) | USD | 100.41 | 11/03/2021 | (18 | ) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 11/10/2051 | Citigroup Global Markets, Inc. | (2,000 | ) | USD | (196 | ) | USD | 101.16 | 11/03/2021 | (2 | ) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 11/10/2051 | Citigroup Global Markets, Inc. | (1,500 | ) | USD | (93 | ) | USD | 101.37 | 11/03/2021 | (1 | ) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 11/10/2051 | Citigroup Global Markets, Inc. | (2,500 | ) | USD | (147 | ) | USD | 101.39 | 11/03/2021 | (2 | ) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 11/10/2051 | Citigroup Global Markets, Inc. | (2,000 | ) | USD | (105 | ) | USD | 101.44 | 11/03/2021 | (1 | ) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 11/10/2051 | Citigroup Global Markets, Inc. | (1,500 | ) | USD | (70 | ) | USD | 101.48 | 11/03/2021 | (1 | ) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 11/10/2051 | Citigroup Global Markets, Inc. | (2,500 | ) | USD | (111 | ) | USD | 101.51 | 11/03/2021 | (1 | ) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 11/10/2051 | Citigroup Global Markets, Inc. | (1,500 | ) | USD | (58 | ) | USD | 101.56 | 11/03/2021 | (1 | ) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 11/10/2051 | BofA Securities, Inc. | (3,000 | ) | USD | (111 | ) | USD | 101.58 | 11/03/2021 | (1 | ) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 11/10/2051 | Citigroup Global Markets, Inc. | (2,500 | ) | USD | (95 | ) | USD | 101.57 | 11/03/2021 | (1 | ) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 11/10/2051 | Citigroup Global Markets, Inc. | (3,000 | ) | USD | (90 | ) | USD | 101.66 | 11/03/2021 | (1 | ) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 11/10/2051 | Citigroup Global Markets, Inc. | (6,000 | ) | USD | (99 | ) | USD | 101.86 | 11/03/2021 | (1 | ) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 11/10/2051 | Citigroup Global Markets, Inc. | (5,500 | ) | USD | (731 | ) | USD | 101.00 | 11/03/2021 | (7 | ) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 12/13/2051 | Citigroup Global Markets, Inc. | (20,000 | ) | USD | (12,830 | ) | USD | 100.06 | 12/06/2021 | (128 | ) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 12/13/2051 | Citigroup Global Markets, Inc. | (26,500 | ) | USD | (8,101 | ) | USD | 100.83 | 12/06/2021 | (80 | ) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 12/13/2051 | Citigroup Global Markets, Inc. | (2,500 | ) | USD | (712 | ) | USD | 100.89 | 12/06/2021 | (7 | ) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 12/13/2051 | Citigroup Global Markets, Inc. | (2,000 | ) | USD | (388 | ) | USD | 101.20 | 12/06/2021 | (4 | ) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.50%, 10/14/2051 | Citigroup Global Markets, Inc. | (3,000 | ) | USD | (4 | ) | USD | 103.98 | 10/07/2021 | ( | )(h) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.50%, 12/13/2051 | Citigroup Global Markets, Inc. | (1,000 | ) | USD | (320 | ) | USD | 103.08 | 12/06/2021 | (3 | ) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 10/21/2051 | Citigroup Global Markets, Inc. | (2,000 | ) | USD | (240 | ) | USD | 100.78 | 10/14/2021 | (2 | ) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 12/13/2051 | Citigroup Global Markets, Inc. | (5,500 | ) | USD | (1,510 | ) | USD | 100.92 | 12/06/2021 | (15 | ) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 12/13/2051 | Citigroup Global Markets, Inc. | (2,500 | ) | USD | (515 | ) | USD | 101.16 | 12/06/2021 | (5 | ) | |||||||||||
|
| |||||||||||||||||||||
(282 | ) | |||||||||||||||||||||
|
|
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Written Put Option Contracts on securities as of September 30, 2021:
DESCRIPTION | COUNTERPARTY | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | EXERCISE PRICE | EXPIRATION DATE | VALUE | ||||||||||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 12/13/2051 | | Citigroup Global Markets, Inc. | | (2,500 | ) | USD | (1,245 | ) | USD | 99.16 | 12/06/2021 | (13 | ) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 10/14/2051 | | Citigroup Global Markets, Inc. | | (1,100 | ) | USD | (640 | ) | USD | 100.81 | 10/07/2021 | (6 | ) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 11/10/2051 | | Citigroup Global Markets, Inc. | | (2,000 | ) | USD | (656 | ) | USD | 99.66 | 11/03/2021 | (7 | ) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 11/10/2051 | | Citigroup Global Markets, Inc. | | (6,000 | ) | USD | (2,394 | ) | USD | 99.86 | 11/03/2021 | (24 | ) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 12/13/2051 | | Citigroup Global Markets, Inc. | | (2,500 | ) | USD | (1,071 | ) | USD | 98.89 | 12/06/2021 | (11 | ) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 12/13/2051 | | Citigroup Global Markets, Inc. | | (5,500 | ) | USD | (2,398 | ) | USD | 98.92 | 12/06/2021 | (24 | ) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 12/13/2051 | | Citigroup Global Markets, Inc. | | (2,000 | ) | USD | (1,360 | ) | USD | 99.70 | 12/06/2021 | (14 | ) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 3.00%, 10/14/2051 | | Citigroup Global Markets, Inc. | | (2,000 | ) | USD | (5 | ) | USD | 104.02 | 10/07/2021 | ( | )(h) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 10/21/2051 | | Citigroup Global Markets, Inc. | | (500 | ) | USD | (48 | ) | USD | 100.65 | 10/14/2021 | ( | )(h) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 11/18/2051 | | Citigroup Global Markets, Inc. | | (500 | ) | USD | (147 | ) | USD | 100.47 | 11/12/2021 | (1 | ) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 11/18/2051 | | Citigroup Global Markets, Inc. | | (3,000 | ) | USD | (1,356 | ) | USD | 100.95 | 11/12/2021 | (13 | ) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.50%, 10/21/2051 | | Citigroup Global Markets, Inc. | | (2,000 | ) | USD | (68 | ) | USD | 102.28 | 10/14/2021 | (1 | ) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.50%, 11/18/2051 | | Citigroup Global Markets, Inc. | | (3,000 | ) | USD | (1,256 | ) | USD | 103.07 | 11/12/2021 | (12 | ) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 3.00%, 10/21/2051 | | Citigroup Global Markets, Inc. | | (5,000 | ) | USD | (74 | ) | USD | 103.72 | 10/14/2021 | ( | )(h) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 10/21/2051 | | Citigroup Global Markets, Inc. | | (1,000 | ) | USD | (155 | ) | USD | 100.94 | 10/14/2021 | (2 | ) | |||||||||||
FNMA or FHLMC, Single Family, 30 years, TBA, 2.00%, 10/14/2051 | | Citigroup Global Markets, Inc. | | (20,000 | ) | USD | (16,945 | ) | USD | 101.10 | 10/07/2021 | (168 | ) | |||||||||||
|
| |||||||||||||||||||||||
(296 | ) | |||||||||||||||||||||||
|
| |||||||||||||||||||||||
Total Written Options Contracts (Premiums Paid $(535)) |
| (578 | ) | |||||||||||||||||||||
|
|
Six Circles Global Bond Fund
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021
ACES | | Alternative Credit Enhancement Securities | ||||
ARM | | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of September 30, 2021. | ||||
ASX | | Australian Stock Exchange | ||||
BAM | | Insured by Build America Mutual | ||||
BBSW | | Bank Bill Swap Rate | ||||
BIBOR | | Bangkok Interbank Offered Rate | ||||
BofA | | Bank of America | ||||
CFETS | | China Foreign Exchange Trade System | ||||
CLO | | Collateralized Loan Obligations | ||||
CMT | | Constant Maturity Treasury | ||||
CPI | | Consumer Price Index | ||||
EURIBOR | | Euro Interbank Offered Rate | ||||
FEDEF | | Federal Fund Effective Rate (Continuous Series) | ||||
FHA | | Federal Housing Administration | ||||
FHLB | | Federal Home Loan Bank | ||||
FHLMC | | Federal Home Loan Mortgage Corp. | ||||
FNMA | | Federal National Mortgage Association | ||||
GNMA | | Government National Mortgage Association | ||||
GO | | General Obligation | ||||
IBR | | Indicador Bancario de Referencia | ||||
ICE | | Intercontinental Exchange | ||||
IF | | Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index. The interest rate shown is the rate in effect as of September 30, 2021. The rate may be subject to a cap and floor. | ||||
IO | | Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. | ||||
KLIBOR | | Kuala Lumpur Interbank Offered Rate | ||||
LIBOR | | London Interbank Offered Rate | ||||
OYJ | | Public Limited Company | ||||
PO | | Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. |
Six Circles Global Bond Fund
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (continued)
Reg. S | | Security was purchased pursuant to Regulation S under the Securities Act of 1933, as amended (the Securities Act), which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act, or pursuant to an exemption from registration. | ||
REIT | | Real Estate Investment Trust | ||
REMICS | | Real Estate Mortgage Investment Conduit | ||
Rev. | | Revenue | ||
SOFR | | Secured Overnight Financing Rate | ||
SONIA | | Sterling Overnight Interbank Average Rate | ||
STRIPS | | Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. | ||
SUB | | Step-Up Bond. The interest rate shown is the rate in effect as of September 30, 2021. | ||
TBA | | To Be Announced | ||
TONAR | | Tokyo Overnight Average Rate | ||
VA | | Veterans Administration | ||
(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 shares or principal/ $500. | ||
(t) | | The date shown represents the earliest of the next put date or final maturity date. | ||
(w) | | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | ||
(x) | | Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of September 30, 2021. | ||
(z) | | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of September 30, 2021. | ||
(aa) | | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of September 30, 2021. | ||
(bb) | | Security has been valued using significant unobservable inputs. | ||
(ee) | | Approximately $5,161,218 of these investments is restricted as collateral for swaps to various brokers. | ||
(ff) | | Approximately $606,403 of this investment is restricted as collateral for futures to Citigroup Global Markets, Inc. | ||
(gg) | | Approximately $428,721 of these investments is restricted as collateral for options to Citigroup Global Markets, Inc. | ||
(hh) | | Approximately $3,118,220 of these investments is restricted as collateral for TBAs to various brokers. |
Six Circles Global Bond Fund
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (continued)
(jj) | | Approximately $119,081 of this investment is restricted as collateral for bi-llateral derivatives to HSBC Bank PLC. | ||
* | | The cost of securities is substantially the same for federal income tax purposes. | ||
AUD | | Australian Dollar | ||
CAD | | Canadian Dollar | ||
CHF | | Swiss Franc | ||
CLP | | Chilean Peso | ||
CNH | | Chinese Yuan | ||
CNY | | Chinese Yuan | ||
COP | | Colombian Peso | ||
CZK | | Czech Koruna | ||
DKK | | Danish Krone | ||
EUR | | Euro | ||
GBP | | British Pound | ||
HKD | | Hong Kong Dollar | ||
HUF | | Hungarian Forint | ||
IDR | | Indonesian Rupiah | ||
ILS | | Israeli New Shekel | ||
JPY | | Japanese Yen | ||
KRW | | Korean Won | ||
MXN | | Mexican Peso | ||
MYR | | Malaysian Ringgit | ||
NOK | | Norwegian Krone | ||
NZD | | New Zealand Dollar | ||
PEN | | Peruvian Nuevo Sol | ||
PLN | | Polish Zloty | ||
RON | | Romanian Leu | ||
RUB | | Russian Ruble | ||
SEK | | Swedish Krona | ||
SGD | | Singapore Dollar | ||
THB | | Thai Baht | ||
USD | | United States Dollar |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Commercial Mortgage-Backed Security 0.0% (g) | ||||||||
FHLMC Multifamily ML Certificates, Series 2021-ML10, Class AUS, Rev., 2.03%, 01/25/2038 (Cost $358) | 344 | 352 | ||||||
|
| |||||||
Corporate Bond 0.0% (g) | ||||||||
Consumer Non-cyclical 0.0% (g) | ||||||||
Healthcare - Services 0.0% (g) | ||||||||
Tower Health, Series 2020, 4.45%, 02/01/2050 (Cost $861) | 1,000 | 895 | ||||||
|
| |||||||
Municipal Bonds 93.5% (t) | ||||||||
Alabama 2.3% | ||||||||
Alabama Federal Aid Highway Finance Authority, Series A, Rev., 5.00%, 09/01/2035 | 2,000 | 2,390 | ||||||
Alabama Housing Finance Authority, Capstone At Kinsey Cove Project, Rev., 0.35%, 12/01/2023 (z) | 1,005 | 1,006 | ||||||
Alabama Public School and College Authority, Social Bonds, | ||||||||
Series A, Rev., 5.00%, 11/01/2035 | 5,000 | 6,488 | ||||||
Series A, Rev., 5.00%, 11/01/2039 | 10,000 | 12,836 | ||||||
Alabama Special Care Facilities Financing Authority, Ascension Senior Credit Group, Series C, Rev., 5.00%, 11/15/2046 | 5,000 | 5,878 | ||||||
Baldwin County Board of Education, School Warrants, | ||||||||
Rev., 5.00%, 06/01/2024 (p) | 2,605 | 2,688 | ||||||
Rev., 5.00%, 06/01/2026 (p) | 2,870 | 2,962 | ||||||
Black Belt Energy Gas District, | ||||||||
Rev., LIQ: Royal Bank of Canada, 4.00%, 06/01/2051 (z) | 17,035 | 20,787 | ||||||
Series A, Rev., LIQ: Royal Bank of Canada, 4.00%, 08/01/2047 (z) | 1,200 | 1,228 | ||||||
Black Belt Energy Gas District, Project No. 4, Series A1, Rev., 4.00%, 12/01/2049 (z) | 1,175 | 1,326 | ||||||
Black Belt Energy Gas District, Project No. 5, Series A1, Rev., 4.00%, 10/01/2049 (z) | 5,000 | 5,743 | ||||||
Black Belt Energy Gas District, Project No. 6, Series B, Rev., 4.00%, 10/01/2052 (z) | 8,000 | 9,155 | ||||||
City of Birmingham, Series A, GO, 5.00%, 03/01/2043 (p) | 1,935 | 2,066 | ||||||
City of Birmingham, Warrants, Series A, GO, 4.00%, 06/01/2032 | 4,075 | 4,935 | ||||||
City of Oxford, Warrants, Series C, GO, 5.00%, 10/01/2029 (p) | 1,435 | 1,504 | ||||||
County of Jefferson, Sewer Revenue, Senior Lien, Warrants, Series A, Rev., AGM, 5.50%, 10/01/2053 | 500 | 555 | ||||||
County of Jefferson, Sewer Revenue, Subordinated Lien, Series D, Rev., 6.50%, 10/01/2053 | 220 | 254 | ||||||
Health Care Authority of the City of Huntsville, Health System, | ||||||||
Series B1, Rev., 4.00%, 06/01/2045 | 1,750 | 2,012 | ||||||
Series B1, Rev., 5.00%, 06/01/2038 | 1,000 | 1,260 | ||||||
Hoover Industrial Development Board, Green Bonds, Rev., AMT, 6.38%, 11/01/2050 (z) | 3,020 | 3,821 | ||||||
Industrial Development Board of the City of Mobile Alabama, Power Co., Barry Plant, Rev., 2.90%, 07/15/2034 (z) | 2,000 | 2,104 | ||||||
Morgan County Board of Education, Rev., 5.00%, 03/01/2035 (p) | 2,720 | 2,829 | ||||||
Selma Industrial Development Board, International Paper Co. Project, Rev., 1.38%, 05/01/2034 (z) | 1,000 | 1,026 | ||||||
Southeast Alabama Gas Supply District (The), Project No. 2, Series A, Rev., 4.00%, 06/01/2049 (z) | 100 | 109 | ||||||
Southeast Energy Authority A Cooperative District, Project 1, Series A, Rev., 4.00%, 11/01/2051 (z) | 11,625 | 13,671 | ||||||
Southeast Energy Authority A Cooperative District, Project 2, Series B, Rev., 4.00%, 12/01/2051 (z) | 12,000 | 14,536 | ||||||
State of Alabama Docks Department, Docks, | ||||||||
Series A, Rev., AGM, AMT, 5.00%, 10/01/2025 | 1,750 | 2,039 | ||||||
Series A, Rev., AGM, AMT, 5.00%, 10/01/2026 | 1,890 | 2,264 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Alabama continued | ||||||||
Tuscaloosa City Board of Education, Warrants, Rev., 5.00%, 08/01/2041 (p) | 2,525 | 3,058 | ||||||
UAB Medicine Finance Authority, | ||||||||
Rev., 5.00%, 09/01/2032 | 1,800 | 2,302 | ||||||
Series B, Rev., 5.00%, 09/01/2041 | 1,450 | 1,713 | ||||||
Water Works Board of the City of Birmingham, Series B, Rev., 5.00%, 01/01/2038 (p) | 3,000 | 3,179 | ||||||
|
| |||||||
137,724 | ||||||||
|
| |||||||
Alaska 0.2% | ||||||||
Alaska Housing Finance Corp., | ||||||||
Series A, Rev., 5.00%, 12/01/2032 (p) | 1,425 | 1,571 | ||||||
Series A, Rev., 5.00%, 12/01/2033 (p) | 685 | 755 | ||||||
Alaska Housing Finance Corp., General Mortgage, Series B, Rev., 3.25%, 12/01/2044 | 6,745 | 7,379 | ||||||
Alaska Housing Finance Corp., State Capital Project, Rev., 5.00%, 12/01/2031 (p) | 1,690 | 1,744 | ||||||
State of Alaska International Airports System, Series C, Rev., AMT, 5.00%, 10/01/2026 | 1,500 | 1,805 | ||||||
|
| |||||||
13,254 | ||||||||
|
| |||||||
Arizona 1.8% | ||||||||
Arizona Board of Regents, Arizona State University, Series C, Rev., 5.00%, 07/01/2031 | 1,000 | 1,342 | ||||||
Arizona Health Facilities Authority, Banner Health, Series A, Rev., 5.00%, 01/01/2044 | 1,055 | 1,147 | ||||||
Arizona Health Facilities Authority, Scottsdale Lincoln Hospital Project, Rev., 5.00%, 12/01/2029 | 2,705 | 3,074 | ||||||
Arizona Industrial Development Authority, | ||||||||
Series 2019-2, Rev., 3.63%, 05/20/2033 | 1,209 | 1,350 | ||||||
Series A, Rev., 4.00%, 09/01/2035 | 225 | 267 | ||||||
Series A, Rev., 4.00%, 09/01/2036 | 250 | 296 | ||||||
Arizona Industrial Development Authority, Greathearts Arizona Project, | ||||||||
Series A, Rev., 5.00%, 07/01/2024 | 125 | 140 | ||||||
Series A, Rev., 5.00%, 07/01/2026 | 125 | 148 | ||||||
Arizona Industrial Development Authority, Jerome Facilities Project, Series B, Rev., 4.00%, 07/01/2051 | 2,000 | 2,116 | ||||||
Arizona Industrial Development Authority, Lincoln South Beltway Project, Rev., 5.00%, 08/01/2025 | 1,000 | 1,166 | ||||||
Arizona Industrial Development Authority, Macombs Facilities Project, Series A, Rev., 4.00%, 07/01/2061 | 1,000 | 1,090 | ||||||
Arizona Industrial Development Authority, Phoenix Childrens Hospital, | ||||||||
Rev., 5.00%, 02/01/2025 (w) | 1,200 | 1,372 | ||||||
Rev., 5.00%, 02/01/2032 (w) | 1,375 | 1,826 | ||||||
Rev., 5.00%, 02/01/2033 (w) | 2,000 | 2,635 | ||||||
Arizona Industrial Development Authority, Somerset Acacdemy of Las Vegas, Aliante, | ||||||||
Rev., 3.00%, 12/15/2031 (e) | 525 | 548 | ||||||
Rev., 4.00%, 12/15/2041 (e) | 500 | 544 | ||||||
Rev., 4.00%, 12/15/2051 (e) | 700 | 751 | ||||||
Arizona State University, | ||||||||
Series B, Rev., VRDO, 0.05%, 10/07/2021 (z) | 1,910 | 1,910 | ||||||
Series C, Rev., 5.00%, 07/01/2042 | 2,000 | 2,361 | ||||||
Arizona State University, Board of Regents, | ||||||||
Series A, Rev., 5.00%, 07/01/2043 (p) | 1,500 | 1,554 | ||||||
Series B, Rev., 5.00%, 07/01/2026 | 100 | 120 | ||||||
Series B, Rev., 5.00%, 07/01/2042 | 2,000 | 2,394 | ||||||
Arizona Water Infrastructure Finance Authority, Unrefunded, Water Quality, Rev., 5.00%, 10/01/2023 (p) | 1,665 | 1,745 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Arizona continued | ||||||||
Chandler Industrial Development Authority, Intel Corp. Project, Rev., 2.40%, 12/01/2035 (z) | 775 | 803 | ||||||
City of Bullhead Excise Taxes Revenue, Second Series, Rev., 0.60%, 07/01/2024 | 250 | 249 | ||||||
City of Mesa Excise Tax Revenue, Rev., 5.00%, 07/01/2028 | 600 | 760 | ||||||
City of Phoenix Civic Improvement Corp., | ||||||||
Series A, Rev., 5.00%, 07/01/2029 | 1,000 | 1,257 | ||||||
Series A, Rev., 5.00%, 07/01/2031 | 2,000 | 2,493 | ||||||
Series A, Rev., 5.00%, 07/01/2032 | 1,000 | 1,243 | ||||||
Series A, Rev., 5.00%, 07/01/2034 | 1,600 | 2,132 | ||||||
City of Phoenix Civic Improvement Corp., Junior Lien, | ||||||||
Series A, Rev., 5.00%, 07/01/2029 | 1,515 | 1,965 | ||||||
Series B, Rev., 5.00%, 07/01/2026 | 1,750 | 2,111 | ||||||
City of Phoenix, Civic Improvement Corp., | ||||||||
Series A, Rev., 5.00%, 07/01/2034 | 2,185 | 2,699 | ||||||
Series B, Rev., 5.00%, 07/01/2024 | 130 | 147 | ||||||
City of Phoenix, Civic Improvement Corp., Airport Revenue, Junior Lien, | ||||||||
Series A, Rev., 5.00%, 07/01/2044 | 1,000 | 1,236 | ||||||
Series B, Rev., AMT, 5.00%, 07/01/2027 | 1,500 | 1,838 | ||||||
Series B, Rev., AMT, 5.00%, 07/01/2033 | 2,000 | 2,511 | ||||||
Industrial Development Authority of the City of Phoenix, Republic Services, Inc. Project, Rev., AMT, 0.18%, 12/01/2035 (z) | 2,325 | 2,325 | ||||||
Industrial Development Authority of the County of Pima (The), Tucson Medical Center, Rev., 4.00%, 04/01/2035 | 825 | 988 | ||||||
Industrial Development Authority of the County of Yavapai, Waste Management, Inc. Project, Rev., AMT, 1.30%, 06/01/2027 | 3,260 | 3,264 | ||||||
Kyrene Elementary School District No. 28, School Improvement Project 2010, | ||||||||
Series B, GO, 4.50%, 07/01/2024 | 315 | 339 | ||||||
Series B, GO, 4.50%, 07/01/2025 | 255 | 274 | ||||||
Maricopa County Industrial Development Authority, Banner Health, Series B, Rev., 5.00%, 01/01/2048 (z) | 2,000 | 2,098 | ||||||
Maricopa County Industrial Development Authority, Banner Health Obligated Group, Rev., 5.00%, 01/01/2026 | 2,500 | 2,960 | ||||||
Maricopa County Pollution Control Corp., Public Service Company of New Mexico, Rev., 1.05%, 01/01/2038 (z) | 695 | 697 | ||||||
Maricopa County Special Health Care District, Series C, GO, 4.00%, 07/01/2037 | 21,910 | 25,169 | ||||||
Northern Arizona University, Speed Stimulas Plan Economic Education, Rev., 5.00%, 08/01/2032 (p) | 3,145 | 3,417 | ||||||
Salt River Project Agricultural Improvement & Power, Series A, Rev., 5.00%, 12/01/2045 | 7,300 | 8,349 | ||||||
Salt River Project Agricultural Improvement & Power District, | ||||||||
Series A, Rev., 5.00%, 01/01/2022 | 1,000 | 1,012 | ||||||
Series A, Rev., 5.00%, 12/01/2024 | 1,305 | 1,315 | ||||||
Salt Verde Financial Corp., Rev., 5.00%, 12/01/2032 | 420 | 551 | ||||||
Salt Verde Financial Corp., Senior, | ||||||||
Rev., 5.25%, 12/01/2021 | 600 | 604 | ||||||
Rev., 5.50%, 12/01/2029 | 1,475 | 1,917 | ||||||
State of Arizona, Series A, COP, 5.00%, 10/01/2021 (p) | 80 | 80 | ||||||
Tempe Industrial Development Authority, Friendship Village Of Tempe, Rev., 1.13%, 12/01/2026 (w) | 3,350 | 3,324 | ||||||
|
| |||||||
110,023 | ||||||||
|
|
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Arkansas 0.0% (g) | ||||||||
Arkansas Development Finance Authority Public Safety Charges Revenue, Division of Emergency Management Project, Rev., 5.00%, 06/01/2024 | 1,000 | 1,120 | ||||||
Arkansas Development Finance Authority, Big River Steel Project, Rev., AMT, 4.50%, 09/01/2049 (e) | 630 | 691 | ||||||
|
| |||||||
1,811 | ||||||||
|
| |||||||
California 9.3% | ||||||||
Alameda County, Oakland Unified School District, | ||||||||
GO, 5.00%, 08/01/2027 | 65 | 78 | ||||||
Series A, GO, 5.00%, 08/01/2040 | 300 | 347 | ||||||
Anaheim Housing & Public Improvements Authority, | ||||||||
Series A, Rev., 5.00%, 10/01/2035 | 250 | 291 | ||||||
Series A, Rev., 5.00%, 10/01/2050 | 1,780 | 2,063 | ||||||
Anaheim Public Financing Authority, Senior Public Improvement Project, Series A, Rev., BAM, 5.00%, 09/01/2036 | 2,250 | 2,687 | ||||||
Bay Area Toll Authority, San Francisco Bay, Series A, Rev., 2.00%, 04/01/2056 (z) | 1,565 | 1,658 | ||||||
Bay Area Toll Authority, San Francisco Bay Area, | ||||||||
Rev., 2.00%, 04/01/2053 (z) | 2,200 | 2,268 | ||||||
Series C, Rev., (SIFMA Municipal Swap Index + 0.45%), 0.50%, 04/01/2056 (aa) | 2,675 | 2,705 | ||||||
Bay Area Toll Authority, Subordinated, Series S4, Rev., 5.00%, 04/01/2031 (p) | 4,000 | 4,288 | ||||||
Beverly Hills Unified School District, 2008 Election, GO, 2.00%, 08/01/2022 | 1,400 | 1,421 | ||||||
Cabrillo Unified School District, Election 2018, Series B, GO, 5.00%, 08/01/2050 | 5,000 | 6,137 | ||||||
California Community Choice Financing Authority, Series B1, Rev., 4.00%, 02/01/2052 (z) | 7,235 | 8,768 | ||||||
California County, Tobacco Securitization Agency, Series A, Rev., 5.00%, 06/01/2027 | 10 | 12 | ||||||
California County, Tobacco Securitization Agency, Senior Bonds, Merced County Tobacco Funding Corporation, | ||||||||
Rev., 5.00%, 06/01/2032 | 340 | 443 | ||||||
Rev., 5.00%, 06/01/2033 | 170 | 221 | ||||||
California County, Tobacco Securitization Agency, Sonoma County Securitization, | ||||||||
Rev., 5.00%, 06/01/2031 | 255 | 334 | ||||||
Rev., 5.00%, 06/01/2032 | 250 | 326 | ||||||
Rev., 5.00%, 06/01/2033 | 300 | 389 | ||||||
Rev., 5.00%, 06/01/2049 | 405 | 493 | ||||||
California Educational Facilities Authority, Loyola Marymount University, Series A, Rev., NATL, Zero Coupon, 10/01/2037 | 340 | 242 | ||||||
California Educational Facilities Authority, University Southern California, Series C, Rev., 5.25%, 10/01/2024 (p) | 210 | 241 | ||||||
California Health Facilities Financing Authority, Adventist Health System, Rev., 3.00%, 03/01/2041 (z) | 1,905 | 1,989 | ||||||
California Health Facilities Financing Authority, City of Hope, Rev., 5.00%, 11/15/2049 | 3,000 | 3,567 | ||||||
California Health Facilities Financing Authority, Commonspirit Health, | ||||||||
Series A, Rev., 4.00%, 04/01/2038 | 3,500 | 4,103 | ||||||
Series A, Rev., 5.00%, 04/01/2033 | 3,000 | 3,862 | ||||||
California Health Facilities Financing Authority, Kaiser Permanente, | ||||||||
Series B, Rev., 5.00%, 11/01/2029 (z) | 2,705 | 2,844 | ||||||
Series C, Rev., 5.00%, 06/01/2041 (z) | 1,000 | 1,298 | ||||||
California Health Facilities Financing Authority, Lucile Salter Packard Chil, Rev., 5.00%, 05/15/2025 (w) | 960 | 1,077 | ||||||
California Health Facilities Financing Authority, Pih Health, Series A, Rev., 5.00%, 06/01/2035 | 3,010 | 3,870 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
California continued | ||||||||
California Health Facilities Financing Authority, Providence St. Josephs, Rev., 5.00%, 10/01/2039 (z) | 2,000 | 2,357 | ||||||
California Health Facilities Financing Authority, Stanford Health Care, Rev., 3.00%, 08/15/2054 (z) | 3,335 | 3,660 | ||||||
California Health Facilities Financing Authority, Sutter Health, Series A, Rev., 5.00%, 08/15/2043 (p) | 465 | 546 | ||||||
California Housing Finance, Series A, Rev., 3.50%, 11/20/2035 | 3,788 | 4,393 | ||||||
California Infrastructure & Economic Development Bank, Brightline West Passenger Rail, Rev., AMT, 0.20%, 01/01/2050 (e) (z) | 15,440 | 15,438 | ||||||
California Infrastructure & Economic Development Bank, Los Angeles County, Series B, Rev., (SIFMA Municipal Swap Index + 0.70%), 0.75%, 12/01/2050 (aa) | 1,370 | 1,392 | ||||||
California Infrastructure & Economic Development Bank, Sanford Consortium Project, Series A, Rev., 5.00%, 05/15/2031 | 1,230 | 1,462 | ||||||
California Infrastructure & Economic Development Bank, The Broad-Sustainability, Rev., 5.00%, 06/01/2026 | 1,300 | 1,567 | ||||||
California Municipal Finance Authority, Anaheim Electric Utility District System, Rev., 5.00%, 10/01/2022 | 1,175 | 1,231 | ||||||
California Municipal Finance Authority, Open Door Community Health Center, | ||||||||
Rev., 4.00%, 09/15/2034 | 920 | 1,118 | ||||||
Rev., 4.00%, 09/15/2035 | 960 | 1,164 | ||||||
Rev., 4.00%, 09/15/2036 | 1,000 | 1,209 | ||||||
California Municipal Finance Authority, Palomar Health, COP, 5.00%, 11/01/2027 (e) | 445 | 525 | ||||||
California Municipal Finance Authority, Republic Services, Inc. Project, | ||||||||
Series A, Rev., AMT, 0.22%, 07/01/2041 (w) (z) | 3,085 | 3,085 | ||||||
Series B, Rev., AMT, 0.30%, 07/01/2051 (z) | 930 | 930 | ||||||
California Municipal Finance Authority, Simpson University, Series A, Rev., 6.00%, 10/01/2050 (e) | 2,000 | 2,249 | ||||||
California Municipal Finance Authority, Southern California Insitute, Rev., 5.00%, 12/01/2037 | 745 | 846 | ||||||
California Municipal Finance Authority, Taxable Virginia Oceanside Health Care Center, Rev., 3.64%, 07/01/2030 (e) | 3,000 | 3,181 | ||||||
California Municipal Finance Authority, Waste Management, Inc. Project, | ||||||||
Rev., AMT, 0.70%, 12/01/2044 (z) | 1,670 | 1,679 | ||||||
Series A, Rev., AMT, 2.40%, 10/01/2044 (z) | 2,960 | 3,179 | ||||||
California Pollution Control Financing Authority, Republic Services, Inc., Rev., AMT, 0.20%, 11/01/2042 (e) (z) | 2,000 | 2,000 | ||||||
California Pollution Control Financing Authority, Republic Services, Inc. Project, Rev., AMT, 0.20%, 11/01/2042 (e) (z) | 1,570 | 1,570 | ||||||
California Public Finance Authority, Enso Village Project, Rev., 2.13%, 11/15/2027 (e) | 1,000 | 1,009 | ||||||
California Public Finance Authority, Enso Village Project, Green Bond, Rev., 5.00%, 11/15/2036 (e) | 325 | 381 | ||||||
California Public Finance Authority, Henry Mayo Newhall Hospital, | ||||||||
Rev., 5.00%, 10/15/2030 | 1,165 | 1,381 | ||||||
Rev., 5.00%, 10/15/2032 | 1,000 | 1,181 | ||||||
Series A, Rev., 4.00%, 10/15/2022 | 110 | 114 | ||||||
Series A, Rev., 4.00%, 10/15/2023 | 130 | 139 | ||||||
California School Finance Authority, Rocketship Education Obligated, Series A, Rev., 5.00%, 06/01/2034 (e) | 1,230 | 1,371 | ||||||
California State Public Works Board, Corrections Facilities, Series A, Rev., 5.00%, 09/01/2039 | 7,560 | 8,484 | ||||||
California State Public Works Board, Davidson Library, Series C, Rev., 5.00%, 03/01/2031 (p) | 1,250 | 1,335 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
California continued | ||||||||
California State Public Works Board, Forward Delivery, Series A, Rev., 5.00%, 02/01/2030 (w) | 2,500 | 3,241 | ||||||
California State Public Works Board, Various Capital Project, | ||||||||
Series B, Rev., 5.00%, 05/01/2026 | 400 | 480 | ||||||
Series B, Rev., 5.00%, 05/01/2033 | 1,000 | 1,320 | ||||||
California State Public Works Board, Various Purpose, | ||||||||
Series A, Rev., 5.00%, 08/01/2025 (w) | 1,275 | 1,458 | ||||||
Series A, Rev., 5.00%, 08/01/2028 (w) | 375 | 464 | ||||||
California State University, Series A, Rev., 5.00%, 11/01/2044 | 2,640 | 3,350 | ||||||
California State University, Systemwide, | ||||||||
Rev., 5.00%, 11/01/2039 (p) | 335 | 382 | ||||||
Series A, Rev., 5.00%, 11/01/2037 (p) | 9,200 | 9,234 | ||||||
Series A, Rev., 5.00%, 11/01/2042 (p) | 3,980 | 4,189 | ||||||
Series C, Rev., 5.00%, 11/01/2026 | 1,685 | 2,060 | ||||||
California State University, Unrefunded Systemwide, Rev., 5.00%, 11/01/2039 (p) | 4,700 | 5,380 | ||||||
California State, Public Works Board, | ||||||||
Series B, Rev., 5.00%, 10/01/2028 | 110 | 137 | ||||||
Series E, Rev., 5.00%, 09/01/2024 (p) | 1,865 | 1,948 | ||||||
California State, Public Works Board Projects, Series D, Rev., 5.00%, 09/01/2024 (p) | 1,700 | 1,775 | ||||||
California Statewide Communities Development Authority, Series B, Special Assessment, 4.00%, 09/02/2040 | 1,120 | 1,272 | ||||||
California Statewide Communities Development Authority, Health Facility, Dignity Health, Rev., AGM, 0.18%, 07/01/2041 (z) | 2,000 | 2,000 | ||||||
California Statewide Communities Development Authority, Kaiser Permanente, Series 2004L, Rev., 5.00%, 04/01/2038 (z) | 5,000 | 6,492 | ||||||
California Statewide Communities Development Authority, Loma Linda University Medical Center, | ||||||||
Rev., 5.25%, 12/01/2044 | 6,065 | 6,851 | ||||||
Rev., 5.50%, 12/01/2054 | 1,100 | 1,246 | ||||||
Series A, Rev., 5.00%, 12/01/2026 (e) | 300 | 355 | ||||||
California Statewide Communities Development Authority, South California Edison Co., Rev., 2.63%, 11/01/2033 (z) | 275 | 287 | ||||||
California Statewide Communities Development Authority, Villa Del Sol Apartments, Rev., 0.39%, 10/01/2023 (z) | 560 | 560 | ||||||
California Statewide Communities Development Authority, Washington Court Apartments, Rev., HUD, 0.22%, 08/01/2023 (z) | 260 | 260 | ||||||
Chino Basin Regional Financing Authority, Series B, Rev., 4.00%, 11/01/2025 | 3,000 | 3,399 | ||||||
City & County of San Francisco, | ||||||||
Series D1, GO, 4.00%, 06/15/2041 | 1,215 | 1,421 | ||||||
Series R2, GO, 5.00%, 06/15/2023 | 980 | 1,060 | ||||||
Series R2, GO, 5.00%, 06/15/2024 | 3,715 | 4,191 | ||||||
City & County of San Francisco, 49 South Van Ness Project, Green Bond, Series A, COP, 4.00%, 04/01/2035 | 810 | 938 | ||||||
City & County of San Francisco, Special Tax District No. 2020-1, Mission Rock Facilities and Services, Special Tax, 4.00%, 09/01/2031 (e) | 300 | 348 | ||||||
City of Dixon, Community Facilities District Improvement, Special Tax, 4.00%, 09/01/2036 | 200 | 230 | ||||||
City of Los Angeles Department of Airports, Los Angeles International Airport, | ||||||||
Rev., AMT, 5.00%, 05/15/2032 | 2,000 | 2,512 | ||||||
Series A, Rev., 5.00%, 05/15/2040 | 500 | 635 | ||||||
City of Los Angeles Department of Airports, Senior, |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
California continued | ||||||||
Series A, Rev., AMT, 4.75%, 05/15/2040 | 2,415 | 2,714 | ||||||
Series B, Rev., 5.00%, 05/15/2027 | 2,570 | 3,176 | ||||||
Series C, Rev., AMT, 5.00%, 05/15/2036 | 4,090 | 5,164 | ||||||
City of Los Angeles Department of Airports, Subordinated, | ||||||||
Series C, Rev., AMT, 5.00%, 05/15/2033 | 1,330 | 1,628 | ||||||
Series E, Rev., 5.00%, 05/15/2039 | 1,510 | 1,885 | ||||||
Series E, Rev., 5.00%, 05/15/2044 | 1,000 | 1,239 | ||||||
City of Los Angeles, Department of Airports, Los Angeles International Airport, Rev., AMT, 5.00%, 05/15/2023 | 150 | 161 | ||||||
City of Los Angeles, Department of Airports, Senior, | ||||||||
Series B, Rev., 5.00%, 05/15/2026 | 2,000 | 2,403 | ||||||
Series B, Rev., 5.00%, 05/15/2034 | 1,600 | 2,072 | ||||||
City of Los Angeles, Wastewater System Revenue, Subordinated, Series A, Rev., 5.00%, 06/01/2025 | 1,040 | 1,123 | ||||||
City of Roseville, Special Tax, 5.00%, 09/01/2035 | 1,160 | 1,375 | ||||||
City of Roseville, Special Tax, Special Tax, 4.00%, 09/01/2040 | 1,000 | 1,115 | ||||||
City of San Francisco CA Public Utilities Commission Water Revenue, Regional Water, Series B, Rev., 5.00%, 11/01/2050 | 4,235 | 5,157 | ||||||
City of Santa Rosa Wastewater Revenue, Series A, Rev., 5.00%, 09/01/2033 | 1,770 | 2,314 | ||||||
Coast Community College District, Series F, GO, 4.00%, 08/01/2022 | 100 | 103 | ||||||
Compton Unified School District, Series B, GO, BAM, Zero Coupon, 06/01/2036 | 1,400 | 950 | ||||||
County of Sacramento, Airport System Revenue, Senior, Rev., 4.00%, 07/01/2037 | 2,000 | 2,362 | ||||||
County of Sacramento, Airport System Revenue, Subordinated, Series E, Rev., 5.00%, 07/01/2029 | 1,025 | 1,286 | ||||||
CSCDA Community Improvement Authority, Series A, Rev., 5.00%, 01/01/2054 (e) | 3,295 | 3,763 | ||||||
CSCDA Community Improvement Authority, Renaissance at City Center, Series A, Rev., 5.00%, 07/01/2051 (e) | 215 | 245 | ||||||
CSCDA Community Improvement Authority, Social Bonds, Rev., 4.00%, 08/01/2056 (e) | 410 | 434 | ||||||
Department of Veterans Affairs, Veterans Farm & Home Purchase Program, Series A, Rev., 3.00%, 12/01/2050 | 990 | 1,072 | ||||||
Deutsche Bank Spears/Lifers Trust, Series DBE8061, Rev., LOC: Deutsche Bank AG, LIQ: Deutsche Bank AG, 0.46%, 01/01/2060 (e) (z) | 2,555 | 2,555 | ||||||
East Bay Municipal Utility District Water System Revenue, Green Bond, Series A, Rev., 5.00%, 06/01/2035 | 1,200 | 1,473 | ||||||
East Side Union High School District, 2008 Election, Series D, GO, 5.00%, 08/01/2037 (p) | 10,000 | 10,403 | ||||||
Eastern Municipal Water District, | ||||||||
Series A, Rev., 3.00%, 07/01/2024 | 340 | 366 | ||||||
Series A, Rev., 3.00%, 07/01/2025 | 6,455 | 7,079 | ||||||
Elk Grove Finance Authority, Special Tax, 4.00%, 09/01/2040 | 1,280 | 1,424 | ||||||
Fontana Public Financing Authority, | ||||||||
Series A, Special Tax, 4.00%, 09/01/2022 | 95 | 98 | ||||||
Series A, Special Tax, 4.00%, 09/01/2023 | 145 | 155 | ||||||
Series A, Special Tax, 4.00%, 09/01/2025 | 1,200 | 1,349 | ||||||
Fresno Unified School District, | ||||||||
Series D, GO, 2.00%, 08/01/2023 | 220 | 227 | ||||||
Series D, GO, 2.00%, 08/01/2024 | 100 | 105 | ||||||
Gilroy School Facilities Financing Authority, General Obligations, Series A, Rev., 5.00%, 08/01/2046 (p) | 5,000 | 5,440 | ||||||
Golden State Tobacco Securitization Corp., Series A2, Rev., 5.00%, 06/01/2047 | 1,000 | 1,028 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
California continued | ||||||||
Golden State Tobacco Securitization Corp., Taxable Tobacco Settlement Asset Backed Bonds, Series C, Rev., 2.75%, 06/01/2034 | 1,900 | 1,924 | ||||||
Los Angeles County Development Authority, Sunny Garden Apartments, Rev., HUD, 0.20%, 07/01/2024 (z) | 155 | 155 | ||||||
Los Angeles County Metropolitan Transportation Authority, Series A, Rev., 5.00%, 06/01/2023 | 305 | 329 | ||||||
Los Angeles County Metropolitan Transportation Authority, Measure R Junior Subordinated, Green Bonds, | ||||||||
Series A, Rev., 5.00%, 06/01/2024 | 3,365 | 3,791 | ||||||
Series A, Rev., 5.00%, 06/01/2034 | 7,000 | 8,579 | ||||||
Los Angeles County Metropolitan Transportation Authority, Measure R Junior, Green Bond, Subordinated, | ||||||||
Series A, Rev., 5.00%, 06/01/2026 | 500 | 604 | ||||||
Series A, Rev., 5.00%, 06/01/2033 | 2,000 | 2,641 | ||||||
Los Angeles County, Metropolitan Transportation Authority, Green Bond, Measure R Junior Subordinated, Series A, Rev., 5.00%, 06/01/2030 | 3,000 | 4,000 | ||||||
Los Angeles Department of Water, | ||||||||
Series B, Rev., 4.00%, 07/01/2027 | 1,500 | 1,783 | ||||||
Series B, Rev., 4.00%, 07/01/2029 | 1,000 | 1,234 | ||||||
Series B, Rev., 5.00%, 07/01/2037 | 740 | 922 | ||||||
Series C, Rev., 5.00%, 07/01/2033 | 2,765 | 3,651 | ||||||
Los Angeles Department of Water & Power Power System Revenue, | ||||||||
Series A, Rev., 5.25%, 07/01/2049 | 9,500 | 11,918 | ||||||
Series B, Rev., 4.00%, 01/01/2022 | 120 | 121 | ||||||
Series B, Rev., 5.00%, 07/01/2038 | 1,000 | 1,207 | ||||||
Los Angeles Department of Water & Power, Power System Revenue, Series B, Rev., 5.00%, 07/01/2023 | 155 | 168 | ||||||
Los Angeles Unified School District, | ||||||||
Series C, GO, 4.00%, 07/01/2040 | 1,000 | 1,171 | ||||||
Series C, GO, 5.00%, 07/01/2026 | 2,285 | 2,757 | ||||||
Series C, GO, 5.00%, 07/01/2027 | 5,000 | 6,203 | ||||||
Series C, GO, 5.00%, 07/01/2028 | 1,000 | 1,270 | ||||||
Los Angeles Unified School District, Election 2008, Series B1, GO, BAM, 5.00%, 07/01/2029 | 100 | 125 | ||||||
Metropolitan Water District of Southern California, | ||||||||
Rev., 5.00%, 01/01/2038 | 3,015 | 3,772 | ||||||
Series A1, Rev., VRDO, 0.04%, 10/01/2021 (z) | 2,050 | 2,050 | ||||||
Municipal Improvement Corp. of Los Angeles, Real Property, Series B, Rev., 5.00%, 11/01/2039 | 2,535 | 3,242 | ||||||
Natomas Unified School District, | ||||||||
Series A, GO, AGM, 4.00%, 08/01/2045 | 7,740 | 8,691 | ||||||
Series A, GO, AGM, 4.00%, 08/01/2049 | 2,655 | 2,974 | ||||||
Norman Y Mineta San Jose International Airport SJC, | ||||||||
Series A, Rev., AMT, 5.00%, 03/01/2023 (p) | 100 | 107 | ||||||
Series A, Rev., AMT, 5.00%, 03/01/2024 | 1,435 | 1,592 | ||||||
Series A, Rev., AMT, 5.00%, 03/01/2031 | 1,000 | 1,305 | ||||||
Series A, Rev., AMT, 5.00%, 03/01/2032 | 2,000 | 2,589 | ||||||
Northern California Power Agency, Hydroelectric Project, Series A, Rev., 5.00%, 07/01/2023 | 145 | 157 | ||||||
Orange County Sanitation District, Series A, Rev., 5.00%, 02/01/2036 | 1,230 | 1,629 | ||||||
Orange County Transportation Authority, 405 Improvement Project, Rev., BAN, 5.00%, 10/15/2024 | 2,880 | 3,285 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
California continued | ||||||||
Orange County Water District, Interim Obligations, Series A, COP, 2.00%, 08/15/2023 | 1,540 | 1,578 | ||||||
Oxnard Union High School District, Series B, GO, 5.00%, 08/01/2045 | 3,000 | 3,685 | ||||||
Palm Springs Unified School District, Series A, GO, 2.00%, 08/01/2026 | 2,000 | 2,132 | ||||||
Palomar Health, Rev., 5.00%, 11/01/2039 | 4,000 | 4,632 | ||||||
Palomar Health, Capital Appreciation Electric Of 2004, Series A, GO, AGC, Zero Coupon, 08/01/2031 | 330 | 275 | ||||||
Palomar Health, Capital Appreciation, Electric Of 2004, Series A, GO, AGC, Zero Coupon, 08/01/2028 | 500 | 453 | ||||||
Pomona Unified School District, 2016 Election, Series D, GO, 4.00%, 08/01/2038 | 1,745 | 2,087 | ||||||
Port of Oakland, Intermediate Lien, | ||||||||
Series H, Rev., AMT, 5.00%, 05/01/2022 | 1,700 | 1,747 | ||||||
Series H, Rev., AMT, 5.00%, 05/01/2027 | 2,500 | 3,039 | ||||||
Series H, Rev., AMT, 5.00%, 05/01/2028 | 1,875 | 2,329 | ||||||
Series H, Rev., AMT, 5.00%, 05/01/2029 | 405 | 513 | ||||||
Port of Oakland, Senior Lien, Series P, Rev., AMT, 5.00%, 05/01/2026 (p) | 1,110 | 1,141 | ||||||
Sacramento County Sanitation Districts Financing Authority, Rev., 5.00%, 12/01/2032 | 5,000 | 6,982 | ||||||
Sacramento Municipal Utility District, Electric, Series H, Rev., 4.00%, 08/15/2040 | 2,000 | 2,394 | ||||||
San Bernardino City Unified School District, Series A, GO, AGM, 5.00%, 08/01/2022 | 1,500 | 1,559 | ||||||
San Diego Community College District, | ||||||||
GO, 4.00%, 08/01/2032 | 2,910 | 3,346 | ||||||
GO, 5.00%, 08/01/2025 (p) | 10,000 | 10,403 | ||||||
San Diego County Regional Airport Authority, Subordinate Airport Revenue Bonds, | ||||||||
Rev., 5.00%, 07/01/2026 | 2,120 | 2,550 | ||||||
Rev., 5.00%, 07/01/2027 | 2,000 | 2,471 | ||||||
San Diego County Regional Airport Authority, Subordinated, | ||||||||
Rev., 5.00%, 07/01/2034 | 2,000 | 2,574 | ||||||
Series B, Rev., AMT, 5.00%, 07/01/2031 | 775 | 935 | ||||||
San Diego County Regional Transportation Commission, Series A, Rev., 5.00%, 10/01/2022 | 6,455 | 6,764 | ||||||
San Diego Public Facilities Financing Authority, Series A, Rev., 5.00%, 05/15/2039 | 1,565 | 1,859 | ||||||
San Diego Unified School District, | ||||||||
Series L2, GO, 4.00%, 07/01/2022 | 1,350 | 1,389 | ||||||
Series R4, GO, 5.00%, 07/01/2026 | 2,500 | 2,923 | ||||||
San Diego Unified School District, Measure YY Bonds, Series D2, GO, 5.00%, 07/01/2022 | 2,000 | 2,072 | ||||||
San Dieguito School Facilities Financing Authority, Special Tax, 5.00%, 03/01/2031 | 1,030 | 1,279 | ||||||
San Francisco Bay Area Rapid Transit District, Election 2004, Green Bond, GO, 5.00%, 08/01/2036 | 1,875 | 2,296 | ||||||
San Francisco City & County Airport Comm-San Francisco International Airport, | ||||||||
Series A, Rev., 5.00%, 05/01/2031 | 205 | 243 | ||||||
Series A, Rev., AMT, 5.00%, 05/01/2032 | 2,000 | 2,610 | ||||||
Series C, Rev., 5.00%, 05/01/2046 | 1,920 | 2,251 | ||||||
San Francisco Unified School District, | ||||||||
Series B, GO, 4.00%, 06/15/2022 | 2,000 | 2,054 | ||||||
Series B, GO, 4.00%, 06/15/2027 | 1,000 | 1,181 | ||||||
San Jose Financing Authority, Civic Center Project, Series A, Rev., 5.00%, 06/01/2028 (p) | 1,010 | 1,090 | ||||||
San Jose Unified School District, Taxable, GO, 1.01%, 08/01/2027 | 1,700 | 1,673 | ||||||
San Mateo Foster City Public Financing Authority, Series B, Rev., 5.00%, 08/01/2025 | 2,780 | 3,268 | ||||||
Santa Clara Unified School District, GO, 5.00%, 07/01/2024 | 100 | 113 | ||||||
Santa Clara Valley Water District, Water System Utility Improvement, COP, 5.00%, 06/01/2038 | 2,495 | 3,232 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
California continued | ||||||||
Santaluz Community Facilities District No. 2, | ||||||||
Special Tax, 3.00%, 09/01/2022 | 245 | 251 | ||||||
Special Tax, 3.00%, 09/01/2023 | 250 | 263 | ||||||
Special Tax, 3.00%, 09/01/2024 | 95 | 102 | ||||||
Saugus Union School District School Facilities Improvement District No. 2014-1, Series C, GO, 3.00%, 08/01/2022 | 1,000 | 1,024 | ||||||
Sierra View Local Health Care District, Tulare Co., | ||||||||
Rev., 4.00%, 07/01/2022 | 460 | 472 | ||||||
Rev., 4.00%, 07/01/2024 | 475 | 517 | ||||||
Southern California Public Power Authority, Canyon Power Project, Series A, Rev., 5.00%, 07/01/2034 | 1,000 | 1,158 | ||||||
Southern California Public Power Authority, Green Bond Milford Wind Co., | ||||||||
Rev., 5.00%, 07/01/2023 | 135 | 146 | ||||||
Rev., 5.00%, 07/01/2024 | 40 | 45 | ||||||
Rev., 5.00%, 07/01/2025 | 250 | 293 | ||||||
Southern California Public Power Authority, Subordinated, Series A, Rev., 5.00%, 07/01/2023 | 2,195 | 2,376 | ||||||
State of California, | ||||||||
GO, 4.00%, 03/01/2036 | 8,850 | 10,562 | ||||||
GO, 4.00%, 11/01/2041 | 2,750 | 3,077 | ||||||
GO, 4.00%, 11/01/2045 | 2,000 | 2,229 | ||||||
GO, 5.00%, 11/01/2022 | 120 | 126 | ||||||
GO, 5.00%, 09/01/2023 | 2,525 | 2,756 | ||||||
GO, 5.00%, 12/01/2026 | 9,915 | 12,109 | ||||||
GO, 5.00%, 09/01/2029 | 1,000 | 1,300 | ||||||
GO, 5.00%, 12/01/2029 | 700 | 915 | ||||||
GO, 5.00%, 11/01/2030 | 10,910 | 14,456 | ||||||
GO, 5.00%, 12/01/2030 | 55 | 73 | ||||||
GO, 5.00%, 10/01/2047 | 1,500 | 1,761 | ||||||
GO, AGM, 5.25%, 08/01/2032 | 1,000 | 1,379 | ||||||
State of California Department of Water Resources, Water System, Series AT, Rev., (SIFMA Municipal Swap Index + 0.37%), 0.42%, 12/01/2035 (aa) | 1,250 | 1,252 | ||||||
State of California, Bid Group, GO, 5.00%, 08/01/2027 | 3,065 | 3,703 | ||||||
State of California, Department of Water Resources, Series BB, Rev., 5.00%, 12/01/2027 | 1,855 | 2,339 | ||||||
State of California, Various Purpose, GO, 4.00%, 10/01/2036 | 4,000 | 4,835 | ||||||
State of California, Veterans Bonds, GO, 5.00%, 12/01/2031 | 5,500 | 6,219 | ||||||
Tobacco Securitization Authority of Northern California, Senior Bonds, Sacramento County, Series B1, Rev., 0.45%, 06/01/2030 | 15 | 15 | ||||||
Tuolumne Wind Project Authority, Series A, Rev., 5.00%, 01/01/2023 | 4,425 | 4,691 | ||||||
Turlock Public Financing Authority Water Revenue, Rev., BAN, 4.00%, 03/01/2027 | 18,500 | 18,532 | ||||||
University of California, | ||||||||
Series AR, Rev., 5.00%, 05/15/2041 | 2,000 | 2,367 | ||||||
Series BH, Rev., 5.00%, 05/15/2026 | 90 | 109 | ||||||
Series S, Rev., 5.00%, 05/15/2026 (w) | 1,190 | 1,399 | ||||||
Series S, Rev., 5.00%, 05/15/2031 (w) | 3,000 | 3,958 | ||||||
University of California, Limited Proj, | ||||||||
Series K, Rev., 5.00%, 05/15/2035 | 1,980 | 2,353 | ||||||
Series M, Rev., 4.00%, 05/15/2047 | 1,300 | 1,467 | ||||||
University of California, Limited Project, Series K, Rev., 4.00%, 05/15/2046 | 300 | 333 | ||||||
University of California, Limited Project Revenue Bonds, Series Q, Rev., 5.00%, 05/15/2032 | 350 | 469 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
California continued | ||||||||
Upper Santa Clara Valley Joint Powers Authority, | ||||||||
Series A, Rev., 4.00%, 08/01/2045 | 1,500 | 1,657 | ||||||
Series A, Rev., 4.00%, 08/01/2050 | 2,000 | 2,205 | ||||||
Ventura County Public Financing Authority, | ||||||||
Series A, Rev., 5.00%, 11/01/2024 (p) | 1,000 | 1,053 | ||||||
Series A, Rev., 5.00%, 11/01/2025 (p) | 1,000 | 1,052 | ||||||
Series A, Rev., 5.00%, 11/01/2026 (p) | 1,000 | 1,052 | ||||||
|
| |||||||
568,634 | ||||||||
|
| |||||||
Colorado 1.6% | ||||||||
Adams & Weld Counties School District No. 27J Brighton, GO, 5.00%, 12/01/2042 | 1,000 | 1,210 | ||||||
Alpine Mountain Ranch Metropolitan District Special Improvement District No. 1, Special Assessment, 4.00%, 12/01/2040 | 500 | 488 | ||||||
Arapahoe County School District No. 6 Littleton, GO, 5.00%, 12/01/2023 | 670 | 738 | ||||||
Brighton Crossing Metropolitan District No. 6, Series A, GO, 5.00%, 12/01/2035 | 525 | 585 | ||||||
Castle Oaks Metropolitan District No. 3, GO, AGM, 4.00%, 12/01/2026 | 220 | 253 | ||||||
City & County of Denver, Airport System Revenue, | ||||||||
Series A, Rev., AMT, 5.00%, 11/15/2027 | 2,000 | 2,472 | ||||||
Series A, Rev., AMT, 5.00%, 11/15/2028 | 2,500 | 3,065 | ||||||
Series A, Rev., AMT, 5.00%, 12/01/2030 | 3,000 | 3,889 | ||||||
Series B2, Rev., AMT, 5.00%, 11/15/2031 (z) | 1,000 | 1,177 | ||||||
City & County of Denver, Airport System Revenue, Subordinated, Series A, Rev., AMT, 5.00%, 12/01/2027 | 2,000 | 2,464 | ||||||
City & County of Denver, Airport System Revenue, Subordinated System, Series A, Rev., AMT, 5.00%, 12/01/2043 | 3,000 | 3,629 | ||||||
City of Aurora, Water Revenue, Green Bond, Rev., 5.00%, 08/01/2041 (p) | 1,800 | 2,180 | ||||||
City of Colorado Springs, Utilities System Revenue, | ||||||||
Series A, Rev., 5.00%, 11/15/2021 | 2,500 | 2,514 | ||||||
Series A, Rev., 5.00%, 11/15/2022 | 1,195 | 1,259 | ||||||
Series B, Rev., 5.00%, 11/15/2021 | 135 | 136 | ||||||
Colorado Bridge Enterprise, Central 70 Project, | ||||||||
Rev., AMT, 4.00%, 12/31/2025 | 1,000 | 1,132 | ||||||
Rev., AMT, 4.00%, 12/31/2030 | 1,505 | 1,721 | ||||||
Colorado Educational & Cultural Facilities Authority, Aspen View Academy Project, | ||||||||
Rev., 4.00%, 05/01/2036 | 175 | 195 | ||||||
Rev., 4.00%, 05/01/2041 | 175 | 193 | ||||||
Colorado Health Facilities Authority, Adventhealth Obligated, Rev., 4.00%, 11/15/2038 | 2,000 | 2,355 | ||||||
Colorado Health Facilities Authority, Adventhealth Obligated Group, Rev., 5.00%, 11/15/2038 | 1,000 | 1,311 | ||||||
Colorado Health Facilities Authority, Childrens Hospital, Series C, Rev., 5.00%, 12/01/2030 | 1,000 | 1,188 | ||||||
Colorado Health Facilities Authority, Commonspirit Health, | ||||||||
Series A1, Rev., 5.00%, 08/01/2027 | 1,025 | 1,260 | ||||||
Series A1, Rev., 5.00%, 08/01/2034 | 1,240 | 1,551 | ||||||
Series A2, Rev., 5.00%, 08/01/2028 | 2,215 | 2,781 | ||||||
Series A2, Rev., 5.00%, 08/01/2044 | 4,010 | 4,881 | ||||||
Colorado Health Facilities Authority, Covenant Retirement Communities, Series A, Rev., 5.00%, 12/01/2033 (p) | 500 | 528 | ||||||
Colorado Health Facilities Authority, Improvement Bonds Christian Living Communities, Rev., 4.00%, 01/01/2042 (w) | 500 | 548 | ||||||
Colorado Health Facilities Authority, Sanford Health, Series A, Rev., 5.00%, 11/01/2029 | 1,000 | 1,294 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Colorado continued | ||||||||
Colorado Health Facilities Authority, SCL Health System, Series A, Rev., 5.00%, 01/01/2030 | 1,175 | 1,528 | ||||||
Colorado Housing and Finance Authority, Series H, Rev., GNMA COLL, 3.00%, 05/01/2050 | 2,440 | 2,619 | ||||||
Colorado Housing and Finance Authority, Social Bond, Series B, Rev., GNMA, 3.00%, 05/01/2051 | 6,725 | 7,280 | ||||||
Colorado Housing and Finance Authority, Social Bonds, Series E, Rev., GNMA, 3.00%, 11/01/2051 | 2,150 | 2,333 | ||||||
Colorado Housing and Finance Authority, Social Bonds Class I, Series H, Rev., GNMA, 3.00%, 11/01/2051 | 1,420 | 1,548 | ||||||
Copperleaf Metropolitan District No. 2, | ||||||||
GO, BAM, 4.00%, 12/01/2023 | 305 | 329 | ||||||
GO, BAM, 4.00%, 12/01/2025 | 470 | 534 | ||||||
Crystal Valley, Metropolitan District No. 2, | ||||||||
Series A, GO, AGM, 5.00%, 12/01/2028 | 500 | 630 | ||||||
Series A, GO, AGM, 5.00%, 12/01/2029 | 405 | 520 | ||||||
Series A, GO, AGM, 5.00%, 12/01/2030 | 360 | 468 | ||||||
Denver City & County, School District No. 1, GO, 5.00%, 12/01/2029 | 1,000 | 1,212 | ||||||
Denver Urban Renewal Authority, Senior Subordinated Stapleton, Series B, Tax Allocation, 5.00%, 12/01/2025 | 500 | 588 | ||||||
E-470 Public Highway Authority, Series B, Rev., (United States SOFR * 0.67 + 0.35%), 0.38%, 09/01/2039 (aa) | 1,485 | 1,487 | ||||||
E-470 Public Highway Authority, Capital Appreciation School Reform, Series B, Rev., NATL, Zero Coupon, 09/01/2030 | 290 | 250 | ||||||
E-470 Public Highway Authority, Senior, | ||||||||
Series A, Rev., 5.00%, 09/01/2027 | 1,000 | 1,235 | ||||||
Series A, Rev., 5.00%, 09/01/2028 | 1,000 | 1,260 | ||||||
Series A, Rev., 5.00%, 09/01/2040 | 2,775 | 3,096 | ||||||
Great Western Metropolitan District, GO, 4.75%, 12/01/2050 | 500 | 541 | ||||||
Jefferson Center Metropolitan District No. 1, | ||||||||
Series A2, Rev., 4.13%, 12/01/2040 | 575 | 609 | ||||||
Series A2, Rev., 4.38%, 12/01/2047 | 795 | 843 | ||||||
Jefferson County School District, Series R1, GO, 5.00%, 12/15/2031 | 2,000 | 2,541 | ||||||
Poudre Tech Metropolitan District, GO, AGM, 3.00%, 12/01/2022 | 420 | 432 | ||||||
Public Authority for Colorado Energy, Rev., 6.50%, 11/15/2038 | 3,000 | 4,569 | ||||||
Pueblo County School District No. 70, Series A, GO, 4.00%, 12/01/2026 | 1,355 | 1,586 | ||||||
Pueblo Urban Renewal Authority, Everaz Project Tax, Increment, Tax Allocation, 4.75%, 12/01/2045 (e) | 635 | 718 | ||||||
Regional Transportation District, Denver Transit Partners Eagle, | ||||||||
Series A, Rev., 5.00%, 07/15/2026 | 575 | 682 | ||||||
Series A, Rev., 5.00%, 01/15/2027 | 1,000 | 1,201 | ||||||
Series A, Rev., 5.00%, 01/15/2032 | 1,470 | 1,898 | ||||||
Siena Lake Metropolitan District, GO, 3.75%, 12/01/2041 | 500 | 491 | ||||||
State of Colorado, Series A, COP, 5.00%, 09/01/2026 | 1,500 | 1,813 | ||||||
Sterling Ranch Metropolitan District No. 1, GO, 5.00%, 12/01/2040 | 500 | 550 | ||||||
Verve Metropolitan District No. 1, GO, 5.00%, 12/01/2036 | 1,500 | 1,661 | ||||||
Village Metropolitan District (The), GO, 4.15%, 12/01/2030 | 500 | 552 | ||||||
Villages at Johnstown Metropolitan District No. 3, Senior Bond, Series A, GO, 5.00%, 12/01/2040 | 585 | 635 | ||||||
Windler Public Improvement Authority, Series A1, Rev., 4.00%, 12/01/2036 | 2,565 | 2,580 | ||||||
|
| |||||||
97,816 | ||||||||
|
|
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Connecticut 1.3% | ||||||||
City of Bridgeport, Series A, GO, 4.00%, 06/01/2039 | 250 | 289 | ||||||
Connecticut Housing Finance Authority, Series E1, Rev., 3.00%, 11/15/2050 | 1,845 | 1,986 | ||||||
Connecticut Housing Finance Authority, Mortgage Finance Program, Series A1, Rev., 3.50%, 11/15/2045 | 3,680 | 4,062 | ||||||
Connecticut Housing Finance Authority, Social Bonds, Series B1, Rev., GNMA/FNMA/FHLMC, 3.00%, 11/15/2049 | 1,595 | 1,734 | ||||||
Connecticut State Health & Educational Facilities Authority, Yale University, | ||||||||
Series U2, Rev., 2.00%, 07/01/2033 (z) | 250 | 251 | ||||||
Series A, Rev., 0.38%, 07/01/2035 (z) | 6,415 | 6,407 | ||||||
Connecticut State Health & Educational Facilities Authority, Hartford Healthcare Project, | ||||||||
Series A, Rev., 5.00%, 07/01/2026 | 555 | 668 | ||||||
Series A, Rev., 5.00%, 07/01/2033 | 565 | 741 | ||||||
Connecticut State Health & Educational Facilities Authority, Stamford Hospital Issue, | ||||||||
Rev., 4.00%, 07/01/2038 (w) | 3,500 | 4,002 | ||||||
Rev., 4.00%, 07/01/2041 (w) | 2,250 | 2,553 | ||||||
Rev., 5.00%, 07/01/2024 (w) | 175 | 191 | ||||||
Rev., 5.00%, 07/01/2030 (w) | 865 | 1,079 | ||||||
Connecticut State Health & Educational Facilities Authority, Yale New Haven, Series B, Rev., 1.80%, 07/01/2049 (z) | 4,000 | 4,126 | ||||||
Connecticut State Higher Education Supplement Loan Authority, Chesla Loan Program, Series B, Rev., AMT, 5.00%, 11/15/2030 | 500 | 636 | ||||||
Connecticut State, Health & Educational Facilities Authority, Series J, Rev., 5.00%, 11/01/2025 (p) | 1,000 | 1,004 | ||||||
Connecticut State, Health & Educational Facilities Authority, Bridgeport Hospital, Series D, Rev., 5.00%, 07/01/2025 | 3,565 | 3,688 | ||||||
Connecticut State, Health & Educational Facilities Authority, Sacred Heart University, | ||||||||
Series K, Rev., 4.00%, 07/01/2045 | 750 | 851 | ||||||
Series K, Rev., 5.00%, 07/01/2037 | 950 | 1,198 | ||||||
Connecticut State, Health & Educational Facilities Authority, Yale University, | ||||||||
Series A2, Rev., 2.00%, 07/01/2042 (z) | 3,575 | 3,795 | ||||||
Series A, Rev., 1.10%, 07/01/2048 (z) | 1,755 | 1,775 | ||||||
Series C1, Rev., 5.00%, 07/01/2040 (z) | 2,515 | 3,142 | ||||||
East Hartford Housing Authority, Veterans Terrace Project, Rev., HUD, 0.25%, 06/01/2023 (z) | 285 | 285 | ||||||
State of Connecticut, | ||||||||
Series 2021A, GO, 3.00%, 01/15/2022 | 1,655 | 1,668 | ||||||
Series 2021A, GO, 3.00%, 01/15/2026 | 5,000 | 5,531 | ||||||
Series 2021A, GO, 4.00%, 01/15/2027 | 7,000 | 8,207 | ||||||
Series 2021A, GO, 4.00%, 01/15/2028 | 3,500 | 4,180 | ||||||
Series A, GO, 4.00%, 03/15/2032 | 850 | 938 | ||||||
Series B, GO, 5.00%, 06/15/2026 | 1,000 | 1,163 | ||||||
Series E, GO, 5.00%, 10/15/2026 | 1,500 | 1,827 | ||||||
State of Connecticut, Special Tax Obligation Bonds, | ||||||||
Rev., 5.00%, 05/01/2025 | 1,150 | 1,335 | ||||||
Rev., 5.00%, 05/01/2040 | 300 | 380 | ||||||
State of Connecticut, Special Tax Revenue, Transportation Infrastructure, Series A, Rev., 5.00%, 09/01/2031 | 1,220 | 1,376 | ||||||
Steel Point Infrastructure Improvement District, Steelpointe Harbor Project, Tax Allocation, 4.00%, 04/01/2036 (w) | 195 | 204 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Connecticut continued | ||||||||
Town of Hamden, | ||||||||
GO, BAM, 4.00%, 08/15/2027 | 535 | 623 | ||||||
GO, BAM, 5.00%, 08/15/2029 | 575 | 730 | ||||||
GO, BAM, 5.00%, 08/15/2031 | 500 | 654 | ||||||
Series A, GO, BAM, 5.00%, 08/01/2032 | 500 | 637 | ||||||
University of Connecticut, | ||||||||
Series A, Rev., 5.00%, 02/15/2025 | 2,590 | 2,986 | ||||||
Series A, Rev., 5.00%, 08/15/2026 | 1,400 | 1,513 | ||||||
Series A, Rev., 5.00%, 01/15/2037 | 3,000 | 3,560 | ||||||
|
| |||||||
81,975 | ||||||||
|
| |||||||
Delaware 0.5% | ||||||||
Delaware State Economic Development Authority, Nrg Energy Project, Rev., 1.25%, 10/01/2045 (z) | 4,065 | 4,092 | ||||||
Delaware State Health Facilities Authority, Christiana Health Care System, Rev., 5.00%, 10/01/2039 | 5,345 | 6,737 | ||||||
Delaware Transportation Authority, | ||||||||
Rev., 5.00%, 07/01/2027 | 1,000 | 1,240 | ||||||
Rev., 5.00%, 07/01/2033 | 2,265 | 2,951 | ||||||
State of Delaware, | ||||||||
GO, 5.00%, 02/01/2028 | 6,520 | 8,204 | ||||||
GO, 4.00%, 02/01/2031 | 3,000 | 3,612 | ||||||
Series B, GO, 4.00%, 07/01/2024 | 1,750 | 1,929 | ||||||
|
| |||||||
28,765 | ||||||||
|
| |||||||
District of Columbia 1.7% | ||||||||
District of Columbia, | ||||||||
Rev., 5.00%, 06/01/2040 | 1,725 | 1,996 | ||||||
Series A, Rev., 4.00%, 03/01/2037 | 2,000 | 2,368 | ||||||
Series A, Rev., 4.00%, 03/01/2040 | 10,000 | 11,732 | ||||||
Series A, GO, 5.00%, 06/01/2022 | 2,175 | 2,245 | ||||||
Series A, Rev., 5.00%, 12/01/2022 | 2,000 | 2,112 | ||||||
Series A, Rev., 5.00%, 03/01/2031 | 1,500 | 1,938 | ||||||
Series C, Rev., 4.00%, 05/01/2039 | 2,500 | 2,969 | ||||||
Series C, Rev., 5.00%, 10/01/2030 | 4,500 | 5,834 | ||||||
District of Columbia Housing Finance Agency, 218 Vine St Project, Rev., 0.30%, 01/01/2040 (z) | 2,500 | 2,504 | ||||||
District of Columbia, Association American Medical Colleges, | ||||||||
Series B, Rev., 5.00%, 10/01/2041 (p) | 1,850 | 1,850 | ||||||
Series B, Rev., 5.25%, 10/01/2036 (p) | 12,425 | 12,425 | ||||||
District of Columbia, Income Tax, Series B, Rev., 5.00%, 12/01/2026 | 3,440 | 3,628 | ||||||
District of Columbia, Latin American Montessori, Rev., 4.00%, 06/01/2030 | 745 | 837 | ||||||
District of Columbia, National Public Radio, Rev., 4.00%, 04/01/2032 (p) | 1,500 | 1,729 | ||||||
District of Columbia, Water & Sewer Authority, Subordinated Lien, Series A, Rev., 5.00%, 10/01/2027 | 615 | 644 | ||||||
Metropolitan Washington Airports Authority, | ||||||||
Rev., AMT, 5.00%, 10/01/2026 | 1,335 | 1,607 | ||||||
Rev., AMT, 5.00%, 10/01/2029 | 2,000 | 2,454 | ||||||
Series A, Rev., AMT, 5.00%, 10/01/2027 | 4,000 | 4,933 | ||||||
Series A, Rev., AMT, 5.00%, 10/01/2031 | 5,000 | 6,346 | ||||||
Series A, Rev., AMT, 5.00%, 10/01/2032 | 2,000 | 2,564 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
District of Columbia continued | ||||||||
Metropolitan Washington Airports Authority Aviation Revenue, | ||||||||
Series A, Rev., AMT, 5.00%, 10/01/2022 | 850 | 890 | ||||||
Series A, Rev., AMT, 5.00%, 10/01/2023 | 1,000 | 1,092 | ||||||
Series A, Rev., AMT, 5.00%, 10/01/2025 | 2,000 | 2,339 | ||||||
Series A, Rev., AMT, 5.00%, 10/01/2026 | 1,500 | 1,805 | ||||||
Metropolitan Washington Airports Authority, Airport System Revenue, | ||||||||
Series A, Rev., AMT, 5.00%, 10/01/2028 | 1,000 | 1,258 | ||||||
Series A, Rev., AMT, 5.00%, 10/01/2034 | 395 | 498 | ||||||
Metropolitan Washington Airports Authority, Dulles Toll Road Revenue, Series B, Rev., 4.00%, 10/01/2049 | 1,000 | 1,121 | ||||||
Metropolitan Washington Airports Authority, Dulles Toll Road Revenue, Second Lien, Series C, Rev., AGC, 6.50%, 10/01/2041 | 350 | 443 | ||||||
Washington Convention & Sports Authority, | ||||||||
Series A, Rev., 4.00%, 10/01/2034 | 1,015 | 1,211 | ||||||
Series A, Rev., 4.00%, 10/01/2036 | 330 | 392 | ||||||
Series A, Rev., 5.00%, 10/01/2033 | 1,000 | 1,286 | ||||||
Washington Convention & Sports Authority, Senior Lien, | ||||||||
Series B, Tax Allocation, 5.00%, 10/01/2029 | 1,000 | 1,284 | ||||||
Series B, Tax Allocation, 5.00%, 10/01/2030 | 1,500 | 1,958 | ||||||
Washington Metropolitan Area Transit Authority, | ||||||||
Series A, Rev., 5.00%, 07/15/2026 | 1,650 | 1,993 | ||||||
Series A, Rev., 5.00%, 07/15/2031 | 4,240 | 5,566 | ||||||
Series A, Rev., 5.00%, 07/15/2037 | 2,000 | 2,569 | ||||||
Washington Metropolitan Area Transit Authority, Green Bond, | ||||||||
Series A, Rev., 5.00%, 07/15/2028 | 2,280 | 2,895 | ||||||
Series A, Rev., 5.00%, 07/15/2029 | 1,540 | 1,997 | ||||||
|
| |||||||
103,312 | ||||||||
|
| |||||||
Florida 3.9% | ||||||||
Alachua County, Health Facilities Authority, Shands Teaching Hospital and Clinic, Rev., 5.00%, 12/01/2032 | 1,000 | 1,275 | ||||||
Ave Maria Stewardship Community District, Phase 3 Master Improvements Project, | ||||||||
Special Assessment, 2.75%, 05/01/2031 | 420 | 415 | ||||||
Special Assessment, 3.13%, 05/01/2041 | 1,775 | 1,744 | ||||||
Ave Maria Stewardship Community District, Phase 4 Master Improvement, Special Assessment, BAN, 3.50%, 05/01/2026 (e) | 1,000 | 993 | ||||||
Belmond Reserve Community Development District, 202 Project, Special Assessment, 4.00%, 05/01/2040 | 345 | 366 | ||||||
Belmont II Community Development District, 2020 Assessment Area, | ||||||||
Special Assessment, 2.50%, 12/15/2025 | 25 | 25 | ||||||
Special Assessment, 3.13%, 12/15/2030 | 125 | 129 | ||||||
Boggy Branch Community Development District, Special Assessment, 2.50%, 05/01/2026 | 395 | 397 | ||||||
Brevard County Health Facilities Authority, Health First, Inc., Rev., 5.00%, 04/01/2025 | 1,600 | 1,783 | ||||||
Brevard County Housing Finance Authority, Tropical Manor Apartaments, Rev., 0.25%, 12/01/2023 (z) | 270 | 270 | ||||||
Capital Projects Finance Authority, Florida University Project, Series A1, Rev., 5.00%, 10/01/2032 | 1,350 | 1,661 | ||||||
Capital Trust Agency, Inc., Imagine School at North Manate, Rev., 5.00%, 06/01/2041 (e) | 325 | 370 | ||||||
Capital Trust Agency, Inc., Liza Jackson Preparatory School, Rev., 5.00%, 08/01/2040 | 150 | 180 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Florida continued | ||||||||
Capital Trust Agency, Inc., Lutz Perparatory School, Inc. Project, Series A, Rev., 4.00%, 06/01/2041 | 300 | 335 | ||||||
Central Florida Expressway Authority, | ||||||||
Series D, Rev., 5.00%, 07/01/2029 | 565 | 728 | ||||||
Series D, Rev., 5.00%, 07/01/2032 | 1,000 | 1,332 | ||||||
Series D, Rev., AGM, 5.00%, 07/01/2034 | 3,000 | 3,959 | ||||||
Series D, Rev., AGM, 5.00%, 07/01/2035 | 10,000 | 13,145 | ||||||
Chapel Creek Community Development District, Special Assessment, 3.00%, 05/01/2031 (e) | 260 | 259 | ||||||
Citizens Property Insurance, Inc., Senior Secured, Series A1, Rev., 5.00%, 06/01/2022 | 320 | 330 | ||||||
City of Cape Coral, Water & Sewer Revenue, Rev., 5.00%, 10/01/2029 | 250 | 310 | ||||||
City of Jacksonville, Series A, Rev., 5.00%, 10/01/2034 | 1,250 | 1,607 | ||||||
City of Jacksonville, Brooks Rehabilitation Project, | ||||||||
Rev., 4.00%, 11/01/2034 | 500 | 580 | ||||||
Rev., 4.00%, 11/01/2045 | 1,500 | 1,696 | ||||||
City of Lake Worth Beach Consolidated Utility Revenue, | ||||||||
Rev., BAM, 5.00%, 10/01/2029 | 1,930 | 2,493 | ||||||
Rev., BAM, 5.00%, 10/01/2030 | 2,135 | 2,809 | ||||||
City of Port St Lucie Stormwater Utility Revenue, Rev., 4.00%, 05/01/2039 | 1,075 | 1,262 | ||||||
City Of South Miami, Health Facilities Authority, Inc., Baptist Health South Florida, Rev., 5.00%, 08/15/2023 | 100 | 109 | ||||||
City of Tallahassee, Energy System Revenue, Rev., 5.00%, 10/01/2028 | 3,000 | 3,808 | ||||||
County of Broward Airport System Revenue, Series P1, Rev., AMT, 5.00%, 10/01/2026 (p) | 1,120 | 1,173 | ||||||
County of Broward, Airport System Revenue, | ||||||||
Rev., AMT, 5.00%, 10/01/2033 | 655 | 794 | ||||||
Series A, Rev., AMT, 5.00%, 10/01/2028 | 800 | 1,005 | ||||||
Series A, Rev., AMT, 5.00%, 10/01/2036 | 2,000 | 2,507 | ||||||
County of Broward, Port Facilities Revenue, Senior Bond, Series B, Rev., AMT, 4.00%, 09/01/2044 | 3,000 | 3,388 | ||||||
County of Hillsborough, Rev., 4.00%, 08/01/2034 | 4,370 | 5,209 | ||||||
County of Miami-Dade Aviation Revenue, | ||||||||
Series A, Rev., 5.00%, 10/01/2025 | 1,250 | 1,465 | ||||||
Series A, Rev., AMT, 5.00%, 10/01/2025 (p) | 2,250 | 2,356 | ||||||
Series A, Rev., 5.00%, 10/01/2031 | 2,000 | 2,596 | ||||||
Series A, Rev., AMT, 5.00%, 10/01/2031 (p) | 1,000 | 1,047 | ||||||
Series A, Rev., AMT, 5.00%, 10/01/2032 (p) | 1,000 | 1,047 | ||||||
County of Miami-Dade Seaport Department, Subordinate, Series A1, Rev., AGM, AMT, 4.00%, 10/01/2040 | 2,675 | 3,130 | ||||||
County of Miami-Dade, Aviation Revenue, | ||||||||
Rev., AMT, 5.00%, 10/01/2028 | 7,000 | 7,892 | ||||||
Series A, Rev., AMT, 5.00%, 10/01/2030 | 2,000 | 2,309 | ||||||
Series A, Rev., AMT, 5.00%, 10/01/2027 (p) | 1,455 | 1,630 | ||||||
County of Miami-Dade, Building Better Communities Project, Series A, GO, 4.00%, 07/01/2044 | 350 | 411 | ||||||
County of Miami-Dade, Transit System, Sales Tax, | ||||||||
Rev., 5.00%, 07/01/2025 (p) | 35 | 36 | ||||||
Rev., 5.00%, 07/01/2042 (p) | 5,000 | 5,181 | ||||||
County of Miami-Dade, Water & Sewer System Revenue, | ||||||||
Rev., 5.00%, 10/01/2031 | 1,500 | 2,001 | ||||||
Series B, Rev., 5.00%, 10/01/2031 | 500 | 586 | ||||||
Series B, Rev., 5.00%, 10/01/2033 | 1,000 | 1,167 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Florida continued | ||||||||
Series B, Rev., AGM, 5.25%, 10/01/2022 | 1,125 | 1,182 | ||||||
Cypress Bluff Community, Development District, Delaware Webb Project, Series A, Special Assessment, 2.70%, 05/01/2025 (e) | 190 | 193 | ||||||
DG Farms Community Development District, Special Assessment, 3.75%, 05/01/2040 | 400 | 408 | ||||||
Eden Hills Community Development District, Special Assessment, 4.00%, 05/01/2040 | 300 | 317 | ||||||
Epperson North Community Development District, Assessment Area, Special Assessment, 2.50%, 05/01/2026 | 300 | 301 | ||||||
Florida Development Finance Corp., Series A, Rev., 4.00%, 06/01/2030 | 500 | 530 | ||||||
Florida Development Finance Corp., Brightline Florida Passenger Rail, Series B, Rev., AMT, 7.38%, 01/01/2049 (e) | 9,500 | 10,338 | ||||||
Florida Development Finance Corp., Discovery High School Project, Series A, Rev., 4.00%, 06/01/2030 (e) | 1,500 | 1,612 | ||||||
Florida Development Finance Corp., Mater Academy Project, Series A, Rev., 5.00%, 06/15/2040 (e) | 400 | 460 | ||||||
Florida Development Finance Corp., Mayflower Retirement, Rev., 1.75%, 06/01/2026 (e) | 510 | 508 | ||||||
Florida Development Finance Corp., Virgin Trains Usa Passenger, Series A, Rev., AMT, 6.50%, 01/01/2049 (e) (z) | 2,000 | 2,037 | ||||||
Florida Development Finance Corp., Virgin Trains USA Passenger, Series A, Rev., AMT, 6.38%, 01/01/2049 (e) (z) | 3,225 | 3,292 | ||||||
Florida Housing Finance Corp., Series 2, Rev., GNMA/FNMA/FHLMC, 3.00%, 07/01/2052 | 1,295 | 1,413 | ||||||
Florida Housing Finance Corp., Social Bond, Social Bond, Series 1, Rev., GNMA/FNMA/FHLMC, 3.00%, 01/01/2052 | 2,650 | 2,875 | ||||||
Florida Housing Finance Corp., Social Bonds, Series 2, Rev., GNMA/FNMA/FHLMC, 3.00%, 07/01/2051 | 12,000 | 12,978 | ||||||
Florida Housing Finance Corp., Valencia Park Apartments, Series A, Rev., 0.25%, 12/01/2023 (z) | 2,450 | 2,448 | ||||||
Florida Keys Aqueduct Authority, Series B, Rev., 5.00%, 09/01/2025 | 1,070 | 1,255 | ||||||
Florida State Board of Governors Florida International University Dormitory Rev, Series A, Rev., BAM, 5.00%, 07/01/2029 | 1,900 | 2,426 | ||||||
Greater Orlando Aviation Authority, Series A, Rev., AMT, 5.00%, 10/01/2032 | 1,500 | 1,900 | ||||||
Greater Orlando Aviation Authority, Priority Subordinated, | ||||||||
Series A, Rev., AMT, 5.00%, 10/01/2033 | 1,500 | 1,818 | ||||||
Series A, Rev., AMT, 5.00%, 10/01/2036 | 2,230 | 2,687 | ||||||
Hammock Reserve Community Development District, Assesment Area One Project, Special Assessment, 4.00%, 05/01/2040 | 545 | 576 | ||||||
Highlands County Health Facilities Authority, Adventhealth Obligated, Rev., VRDO, 0.05%, 10/07/2021 (z) | 15,000 | 15,000 | ||||||
Highlands County Health Facilities Authority, Adventist Health System/Sunbelt Obligated Group, Series A, Rev., VRDO, 0.05%, 10/07/2021 (z) | 6,000 | 6,000 | ||||||
Hillsborough County Industrial Development Authority, Tampa General Hospital Project, Series A, Rev., 4.00%, 08/01/2045 | 3,275 | 3,787 | ||||||
Hillsborough County, School Board, Master Lease Program, Series A, COP, 5.00%, 07/01/2029 (p) | 200 | 207 | ||||||
JEA Electric System, Series 3A, Rev., 5.00%, 10/01/2022 | 370 | 388 | ||||||
JEA Electric System Revenue, | ||||||||
Series 3A, Rev., 5.00%, 10/01/2021 | 500 | 500 | ||||||
Series 3A, Rev., 5.00%, 10/01/2035 | 5,000 | 6,385 | ||||||
Series IIIB, Rev., 5.00%, 10/01/2032 | 1,295 | 1,581 | ||||||
JEA Electric System Revenue, Subordinate, Series A, Rev., 5.00%, 10/01/2031 | 2,795 | 3,751 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Florida continued | ||||||||
JEA Water & Sewer System Revenue, | ||||||||
Series A, Rev., 4.00%, 10/01/2037 | 750 | 916 | ||||||
Series A, Rev., 5.00%, 10/01/2025 | 1,000 | 1,179 | ||||||
JEA Water & Sewer System Revenue, Subordinated, Series A, Rev., 5.00%, 10/01/2031 | 885 | 1,087 | ||||||
Lakewood Ranch Stewardship District, Lorraine Lakes Project, Special Assessment, 3.13%, 05/01/2030 (e) | 315 | 325 | ||||||
Lakewood Ranch Stewardship District, Northeast Sector Project, | ||||||||
Special Assessment, 2.50%, 05/01/2025 (e) | 1,165 | 1,176 | ||||||
Special Assessment, 3.20%, 05/01/2030 (e) | 545 | 564 | ||||||
Special Assessment, 3.50%, 05/01/2040 | 925 | 946 | ||||||
Lakewood Ranch Stewardship District, Zario Project, Special Assessment, 2.63%, 05/01/2025 | 560 | 568 | ||||||
Miami-Dade County Housing Finance Authority, Platform 3750 LLC, Rev., 0.25%, 08/01/2024 (z) | 2,810 | 2,811 | ||||||
Miami-Dade County Housing Finance Authority, Sunset Bay Apartments, Rev., 0.25%, 12/01/2023 (z) | 945 | 945 | ||||||
Midtown Miami Community Development District, Series A, Special Assessment, 5.00%, 05/01/2037 | 350 | 362 | ||||||
North Powerline Road Community Development District, Special Assessment, 3.63%, 05/01/2040 | 1,345 | 1,377 | ||||||
Old Hickory Community Development District, Special Assessment, 2.50%, 06/15/2025 | 220 | 223 | ||||||
Orange County Housing Finance Authority, Dunwoodie Place Apartments, Rev., 0.20%, 09/01/2024 (z) | 1,920 | 1,917 | ||||||
Orlando Utilities Commission, | ||||||||
Series 2018A, Rev., 5.00%, 10/01/2035 | 2,480 | 3,033 | ||||||
Series C, Rev., 5.00%, 10/01/2022 | 1,500 | 1,572 | ||||||
Palm Beach County Health Facilities Authority, Retirement Life Communities, Rev., 5.00%, 11/15/2032 | 2,270 | 2,689 | ||||||
Parkview at Long Lake Ranch Community Development District, Special Assessment, 4.00%, 05/01/2051 | 800 | 834 | ||||||
Pasco County School Board, Series A, COP, BAM, 5.00%, 08/01/2036 | 1,720 | 2,111 | ||||||
Pine Ridge Plantation Community Development District, Senior Lien, | ||||||||
Series A1, Special Assessment, AGM, 3.00%, 05/01/2022 | 470 | 476 | ||||||
Series A1, Special Assessment, AGM, 3.00%, 05/01/2023 | 480 | 497 | ||||||
Pinellas County Housing Finance Authority, Lexington Club Renaissance, Rev., 0.30%, 04/01/2023 (z) | 2,000 | 2,000 | ||||||
Reunion East Community Development District, | ||||||||
Special Assessment, 2.40%, 05/01/2026 | 125 | 124 | ||||||
Special Assessment, 2.85%, 05/01/2031 | 25 | 25 | ||||||
Saddle Creek Preserve of Polk County Community Development District, Special Assessment, 4.00%, 06/15/2040 | 500 | 532 | ||||||
Sarasota County Health Facilities Authority, Sunnyside Village Project, Rev., 5.00%, 05/15/2048 | 425 | 477 | ||||||
Sarasota County Public Hospital District, Series B, Rev., VRDO, LOC: Wells Fargo Bank NA, 0.05%, 10/07/2021 (z) | 5,730 | 5,730 | ||||||
Sarasota National Community Development District, Special Assessment, 4.00%, 05/01/2039 | 615 | 661 | ||||||
Sawyers Landing Community Development District, Special Assessment, 3.75%, 05/01/2031 | 400 | 414 | ||||||
School District of Broward County, Series A, COP, 5.00%, 07/01/2025 (p) | 2,830 | 2,931 | ||||||
State of Florida Department of Transportation, Rev., 5.00%, 07/01/2024 | 430 | 485 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Florida continued | ||||||||
State of Florida Department of Transportation Turnpike System Revenue, Series B, Rev., 5.00%, 07/01/2033 | 1,000 | 1,329 | ||||||
State of Florida Department of Transportation, Indirect Garvee, Series A, Rev., 5.00%, 07/01/2023 | 5,000 | 5,413 | ||||||
State of Florida, Department of Transportation, Turnpike System Revenue, | ||||||||
Series A, Rev., 5.00%, 07/01/2022 | 1,310 | 1,357 | ||||||
Series A, Rev., 5.00%, 07/01/2029 | 2,000 | 2,590 | ||||||
Series B, Rev., 5.00%, 07/01/2023 | 125 | 135 | ||||||
Stillwater Community Development District, Project 2021, Special Assessment, 3.00%, 06/15/2031 (e) | 225 | 227 | ||||||
Stoneybrook South Community Development District, Fox South Assessment Area, | ||||||||
Special Assessment, 2.50%, 12/15/2025 (e) | 675 | 680 | ||||||
Special Assessment, 3.00%, 12/15/2030 (e) | 475 | 483 | ||||||
Special Assessment, 3.50%, 12/15/2040 (e) | 1,030 | 1,055 | ||||||
Storey Park Community Development District, Assessment Area Four Project, | ||||||||
Special Assessment, 2.38%, 06/15/2026 (e) | 40 | 40 | ||||||
Special Assessment, 2.88%, 06/15/2031 (e) | 60 | 60 | ||||||
Towne Park Community Development District, Assessment Area 3D Project, Special Assessment, 2.63%, 05/01/2025 (e) | 500 | 504 | ||||||
Tradition Community Development District No. 9, Special Assessment, 3.00%, 05/01/2041 | 130 | 126 | ||||||
Village Community Development District No. 13, | ||||||||
Special Assessment, 1.88%, 05/01/2025 (e) | 1,000 | 1,015 | ||||||
Special Assessment, 2.63%, 05/01/2030 (e) | 1,500 | 1,561 | ||||||
Villamar Community Development District, Special Assessment, 3.75%, 05/01/2040 | 655 | 681 | ||||||
|
| |||||||
236,696 | ||||||||
|
| |||||||
Georgia 2.3% | ||||||||
Savannah Economic Development Authority, Series A, Rev., Zero Coupon, 12/01/2021 (p) | 4,000 | 3,999 | ||||||
Atlanta Urban Residential Finance Authority, Sylvan Senior Apartments, Rev., FHA, 0.41%, 12/01/2025 (z) | 575 | 575 | ||||||
Board of Water Light & Sinking Fund Commissioners of The City of Dalton, Combined Utilities Revenue Bonds, | ||||||||
Rev., 4.00%, 03/01/2035 | 1,100 | 1,301 | ||||||
Rev., 4.00%, 03/01/2036 | 1,000 | 1,178 | ||||||
Rev., 4.00%, 03/01/2037 | 1,135 | 1,328 | ||||||
Rev., 4.00%, 03/01/2038 | 1,000 | 1,167 | ||||||
Brookhaven Development Authority, Childrens Healthcare of Atlanta Obligated Group, | ||||||||
Series A, Rev., 4.00%, 07/01/2044 | 3,000 | 3,462 | ||||||
Series A, Rev., 4.00%, 07/01/2049 | 4,150 | 4,757 | ||||||
Carroll County, School District, GO, 5.00%, 04/01/2024 | 1,000 | 1,118 | ||||||
City of Atlanta Department of Aviation, | ||||||||
Series C, Rev., AMT, 5.00%, 07/01/2026 (w) | 960 | 1,147 | ||||||
Series C, Rev., AMT, 5.00%, 07/01/2034 (w) | 540 | 701 | ||||||
City of Atlanta, Airport Passenger Facility, Subordinated Lien, Series C, Rev., 5.00%, 07/01/2040 | 3,000 | 3,761 | ||||||
City of Atlanta, Department of Aviation, Series B, Rev., AMT, 5.00%, 07/01/2028 | 3,300 | 4,131 | ||||||
City of Atlanta, Department of Aviation, Airport Revenue, Series B, Rev., AMT, 5.00%, 07/01/2031 | 1,155 | 1,458 | ||||||
City of Atlanta, Water & Wastewater Revenue, Rev., 5.00%, 11/01/2024 | 3,110 | 3,556 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Georgia continued | ||||||||
Cobb County, Kennestone Hospital Authority, Wellstar Health System, Inc., Rev., 4.00%, 04/01/2033 | 500 | 595 | ||||||
Dawson County Development Authority, Peaks Of Dawsonville Project, Rev., 0.28%, 10/01/2023 | 1,500 | 1,498 | ||||||
DeKalb County Housing Authority, Columbia Village Project, Series A, Rev., HUD, 0.34%, 08/01/2024 (z) | 285 | 285 | ||||||
Development Authority of Burke County (The), Oglethorpe Power Corp. Scherer Project, Series A, Rev., 1.50%, 01/01/2040 (z) | 250 | 257 | ||||||
Development Authority of Monroe County (The), Oglethorpe Power Corporation Scherer Project, Series A, Rev., 1.50%, 01/01/2039 (z) | 125 | 128 | ||||||
George L Smith II Congress Center Authority, Convention Center Hotel, Series 2, Rev., 5.00%, 01/01/2054 (e) | 1,000 | 1,172 | ||||||
Georgia Housing & Finance Authority, Series A, Rev., 4.00%, 06/01/2050 | 3,680 | 4,099 | ||||||
Georgia State Road & Tollway Authority, | ||||||||
Rev., 5.00%, 06/01/2026 | 3,200 | 3,847 | ||||||
Rev., 5.00%, 06/01/2027 | 5,250 | 6,484 | ||||||
Rev., 5.00%, 06/01/2028 | 5,500 | 6,949 | ||||||
Rev., 5.00%, 06/01/2030 | 6,205 | 8,140 | ||||||
Henry County School District, GO, 4.00%, 08/01/2026 | 1,175 | 1,364 | ||||||
Main Street Natural Gas, Inc., | ||||||||
Series A, Rev., LIQ: Royal Bank of Canada, 4.00%, 04/01/2048 (z) | 5,000 | 5,314 | ||||||
Series B, Rev., 4.00%, 08/01/2049 (z) | 2,675 | 2,948 | ||||||
Series C, Rev., LIQ: Royal Bank of Canada, 4.00%, 08/01/2048 (z) | 105 | 113 | ||||||
Series C, Rev., 4.00%, 03/01/2050 (z) | 7,350 | 8,388 | ||||||
Series C, Rev., 4.00%, 05/01/2052 (z) | 5,810 | 6,860 | ||||||
Metropolitan Atlanta Rapid Transit Authority, Series B, Rev., 5.00%, 07/01/2045 | 10,000 | 11,878 | ||||||
Milledgeville & Baldwin County Development Authority, Georgia College & State University Projects, | ||||||||
Rev., 5.00%, 06/15/2024 | 470 | 528 | ||||||
Rev., 5.00%, 06/15/2025 | 360 | 418 | ||||||
Municipal Electric Authority of Georgia, Combined Cycle Project, | ||||||||
Series A, Rev., 4.00%, 11/01/2023 | 2,750 | 2,957 | ||||||
Series A, Rev., 5.00%, 11/01/2027 | 250 | 310 | ||||||
Series A, Rev., 5.00%, 11/01/2029 | 250 | 323 | ||||||
Municipal Electric Authority of Georgia, General Resolution Project, Series A, Rev., 4.00%, 01/01/2037 | 1,125 | 1,320 | ||||||
Municipal Electric Authority of Georgia, Plant Vogtle Units 3&4 Project, | ||||||||
Rev., AGM, 4.00%, 01/01/2036 | 330 | 385 | ||||||
Rev., AGM, 4.00%, 01/01/2041 | 1,000 | 1,152 | ||||||
Rev., 5.00%, 01/01/2023 | 200 | 211 | ||||||
Rev., AGM, 5.00%, 01/01/2025 | 200 | 229 | ||||||
Rev., AGM, 5.00%, 01/01/2027 | 125 | 152 | ||||||
Municipal Electric Authority of Georgia, Project One, Subordinated, | ||||||||
Series B, Rev., 4.00%, 01/01/2039 | 1,400 | 1,634 | ||||||
Series B, Rev., 5.00%, 01/01/2023 | 1,000 | 1,058 | ||||||
Northwest Georgia Housing Authority, Charles Hight Apartments Project, Rev., FHA, 0.25%, 08/01/2022 (z) | 335 | 335 | ||||||
Northwest Georgia Housing Authority, Dallas Manor Apartments Projects, Rev., HUD, 0.25%, 10/01/2024 (z) | 260 | 259 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Georgia continued | ||||||||
Northwest Georgia Housing Authority, Park Homes Apartments Project, Rev., FHA, 0.25%, 08/01/2022 (z) | 365 | 365 | ||||||
Private Colleges & Universities Authority, Various Emory University, Series B, Rev., (SIFMA Municipal Swap Index + 0.42%), 0.47%, 10/01/2039 (aa) | 1,000 | 1,000 | ||||||
Richmond County Development Authority, Subordinated, Series C, Rev., Zero Coupon, 12/01/2021 (p) | 3,645 | 3,644 | ||||||
Savannah Economic Development Authority, International Paper Company Project, Rev., 1.90%, 08/01/2024 | 150 | 156 | ||||||
State of Georgia, | ||||||||
Series A1, GO, 5.00%, 02/01/2024 | 100 | 111 | ||||||
Series A, GO, 5.00%, 08/01/2023 | 1,010 | 1,099 | ||||||
Series C, GO, 4.00%, 10/01/2022 | 2,015 | 2,092 | ||||||
Series E, GO, 5.00%, 12/01/2021 | 1,865 | 1,879 | ||||||
State of Georgia, Group 2, Series A, GO, 4.00%, 08/01/2034 | 2,000 | 2,443 | ||||||
State of Georgia, Tranche 2, Series A, GO, 5.00%, 07/01/2030 | 2,000 | 2,588 | ||||||
Tender Option Bond Trust Receipts/Certificates, Series 2017-ZF0589, Rev., LIQ: Bank of America NA, 0.00%, 06/01/2049 (e) (z) | 3,750 | 3,750 | ||||||
Thomaston Housing Authority, Fairview Apartments Project, Series A, Rev., FNMA HUD, 0.34%, 12/01/2023 (z) | 4,250 | 4,254 | ||||||
Valdosta & Lowndes County Hospital Authority, South Medical Center Project, Series B, Rev., CNTY GTD, 5.00%, 10/01/2041 (p) | 4,100 | 4,100 | ||||||
|
| |||||||
142,710 | ||||||||
|
| |||||||
Guam 0.0% (g) | ||||||||
Territory of Guam, Series F, Rev., 4.00%, 01/01/2042 (w) | 1,000 | 1,117 | ||||||
|
| |||||||
Hawaii 0.4% | ||||||||
City & County of Honolulu, | ||||||||
Series A, GO, 5.00%, 10/01/2025 | 15 | 18 | ||||||
Series A, GO, 5.00%, 09/01/2027 | 30 | 37 | ||||||
County of Maui, GO, 5.00%, 03/01/2028 | 1,175 | 1,477 | ||||||
State of Hawaii, | ||||||||
Series EA, GO, 5.00%, 12/01/2023 | 2,000 | 2,015 | ||||||
Series FE, GO, 5.00%, 10/01/2021 | 2,500 | 2,500 | ||||||
Series FG, GO, 4.00%, 10/01/2032 | 2,000 | 2,301 | ||||||
State of Hawaii Airports System Revenue, | ||||||||
Series A, Rev., AMT, 5.00%, 07/01/2032 | 1,500 | 1,853 | ||||||
Series A, Rev., AMT, 5.00%, 07/01/2033 | 1,630 | 2,009 | ||||||
Series B, Rev., 5.00%, 07/01/2026 | 1,250 | 1,504 | ||||||
State of Hawaii Harbor System Revenue, | ||||||||
Series A, Rev., AMT, 4.00%, 07/01/2031 | 250 | 298 | ||||||
Series A, Rev., AMT, 4.00%, 07/01/2032 | 500 | 594 | ||||||
Series A, Rev., AMT, 4.00%, 07/01/2033 | 750 | 889 | ||||||
Series A, Rev., AMT, 4.00%, 07/01/2034 | 3,555 | 4,196 | ||||||
Series A, Rev., AMT, 5.00%, 07/01/2027 | 250 | 305 | ||||||
Series A, Rev., AMT, 5.00%, 07/01/2028 | 500 | 624 | ||||||
Series A, Rev., AMT, 5.00%, 07/01/2029 | 250 | 318 | ||||||
Series C, Rev., 4.00%, 07/01/2032 | 200 | 243 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Hawaii continued | ||||||||
State of Hawaii State Highway Fund, Rev., 5.00%, 01/01/2029 | 1,000 | 1,280 | ||||||
State of Hawaii, Airports System Revenue, Series D, Rev., 5.00%, 07/01/2030 | 1,000 | 1,314 | ||||||
|
| |||||||
23,775 | ||||||||
|
| |||||||
Idaho 0.1% | ||||||||
Idaho Health Facilities Authority, Trinity Health Credit Group, Series A, Rev., 5.00%, 12/01/2047 | 1,715 | 2,089 | ||||||
Idaho Housing & Finance Association, Garvee, | ||||||||
Series A, Rev., 5.00%, 07/15/2029 | 280 | 361 | ||||||
Series A, Rev., 5.00%, 07/15/2030 | 1,250 | 1,636 | ||||||
Series A, Rev., 5.00%, 07/15/2031 | 750 | 997 | ||||||
|
| |||||||
5,083 | ||||||||
|
| |||||||
Illinois 5.5% | ||||||||
Champaign County Community Unit School District No. 4 Champaign, GO, 5.00%, 01/01/2029 | 1,765 | 2,086 | ||||||
Chicago Board of Education, | ||||||||
Series A, GO, AGM, 5.00%, 12/01/2026 | 10 | 12 | ||||||
Series A, GO, 5.00%, 12/01/2041 | 1,000 | 1,231 | ||||||
Chicago Board of Education, Capital Appreciation, School Reform, | ||||||||
Series A, GO, NATL, Zero Coupon, 12/01/2024 | 480 | 467 | ||||||
Series A, GO, NATL, Zero Coupon, 12/01/2029 | 1,130 | 977 | ||||||
Series B1, GO, NATL, Zero Coupon, 12/01/2022 | 1,105 | 1,098 | ||||||
Series B1, GO, NATL, Zero Coupon, 12/01/2028 | 200 | 178 | ||||||
Series B1, GO, NATL, Zero Coupon, 12/01/2029 | 1,105 | 956 | ||||||
Chicago Board of Education, Dedicated, Series C, GO, 5.00%, 12/01/2034 | 2,000 | 2,388 | ||||||
Chicago OHare International Airport, Rev., AMT, 5.00%, 01/01/2027 | 1,520 | 1,730 | ||||||
Chicago OHare International Airport, General Senior Lien, Series B, Rev., AMT, 5.00%, 01/01/2025 (p) | 1,200 | 1,214 | ||||||
Chicago OHare International Airport, Senior Lien, | ||||||||
Series A, Rev., 4.00%, 01/01/2035 | 3,500 | 4,122 | ||||||
Series A, Rev., BAM, 4.00%, 01/01/2036 | 1,500 | 1,773 | ||||||
Series A, Rev., 5.00%, 01/01/2035 | 6,000 | 7,605 | ||||||
Chicago Transit Authority Capital Grant Receipts Revenue, Section 5307, Rev., 5.00%, 06/01/2023 | 700 | 753 | ||||||
Chicago Transit Authority Capital Grant Receipts Revenue, Section 5357, Rev., 5.00%, 06/01/2028 | 1,000 | 1,253 | ||||||
Chicago Transit Authority, Sales Tax Receipts Fund, | ||||||||
Rev., AGM, 5.00%, 12/01/2044 | 1,000 | 1,132 | ||||||
Rev., 5.25%, 12/01/2036 (p) | 10,600 | 10,686 | ||||||
Rev., 5.25%, 12/01/2049 | 3,000 | 3,430 | ||||||
Series A, Rev., 5.00%, 12/01/2045 | 6,750 | 8,284 | ||||||
City of Berwyn, Series A, GO, 5.00%, 12/01/2029 | 1,000 | 1,132 | ||||||
City of Chicago, | ||||||||
Series 20023B, GO, 5.00%, 01/01/2024 | 30 | 33 | ||||||
Series A, GO, 5.00%, 01/01/2027 | 2,180 | 2,376 | ||||||
Series A, GO, 5.50%, 01/01/2033 | 1,815 | 2,049 | ||||||
Series A, GO, 6.00%, 01/01/2038 | 9,260 | 11,348 | ||||||
Series C, GO, Zero Coupon, 01/01/2027 | 500 | 446 | ||||||
Series C, GO, 5.00%, 01/01/2025 | 45 | 51 | ||||||
Series C, GO, 5.00%, 01/01/2028 | 1,450 | 1,674 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Illinois continued | ||||||||
City of Chicago Waterworks Revenue, Second Lien Project, Rev., 5.00%, 11/01/2023 | 100 | 109 | ||||||
City of Chicago, Capital Appreciation City Colleges, GO, NATL, Zero Coupon, 01/01/2031 | 75 | 62 | ||||||
City of Chicago, Waterworks Revenue, Second Lien, Rev., 4.00%, 11/01/2021 | 200 | 201 | ||||||
City of Granite City, Waste Management, Inc., Rev., AMT, 1.25%, 05/01/2027 | 5,000 | 4,992 | ||||||
Cook County Community Consolidated School District No. 34 Glenview, GO, 4.00%, 12/01/2029 | 2,000 | 2,435 | ||||||
Cook County High School District No. 214 Arlington Heights, GO, 4.00%, 12/01/2026 | 1,910 | 2,214 | ||||||
Cook County, Community School District No. 97, Oak Park, GO, 4.00%, 01/01/2034 | 2,000 | 2,313 | ||||||
Cook County, Community Unit School District No. 401, Elmwood Park, | ||||||||
GO, 3.00%, 12/01/2021 | 715 | 718 | ||||||
GO, 3.00%, 12/01/2022 | 500 | 516 | ||||||
County of Cook, | ||||||||
Series A, GO, AGM, 5.00%, 11/15/2026 | 1,000 | 1,221 | ||||||
Series A, GO, 5.00%, 11/15/2026 | 3,900 | 4,731 | ||||||
Series A, GO, 5.00%, 11/15/2028 | 2,300 | 2,902 | ||||||
County of Cook, Sales Tax Revenue, Series A, Rev., 5.00%, 11/15/2038 | 1,240 | 1,567 | ||||||
Illinois Finance Authority, | ||||||||
Series A, Rev., 4.00%, 07/15/2036 | 710 | 859 | ||||||
Series A, Rev., 4.00%, 07/15/2039 | 3,000 | 3,596 | ||||||
Series B2, Rev., 5.00%, 05/15/2050 (z) | 2,550 | 3,032 | ||||||
Illinois Finance Authority, Acero Charter Schools, Inc., Rev., 4.00%, 10/01/2042 (e) | 500 | 549 | ||||||
Illinois Finance Authority, Advocate Health Care, Rev., 5.00%, 06/01/2042 (p) | 1,000 | 1,032 | ||||||
Illinois Finance Authority, Advocate Health Care Network Project, | ||||||||
Rev., 4.00%, 11/01/2030 | 2,600 | 2,923 | ||||||
Rev., 4.00%, 06/01/2047 (p) | 2,550 | 2,613 | ||||||
Rev., 5.00%, 05/01/2022 | 1,000 | 1,027 | ||||||
Illinois Finance Authority, American Water Capital Corp. Project, Rev., 0.70%, 05/01/2040 (z) | 895 | 895 | ||||||
Illinois Finance Authority, Ann & Robert H. Lurie Childrens Hospital of Chicago, Rev., 5.00%, 08/15/2035 | 500 | 603 | ||||||
Illinois Finance Authority, Ascension Health, Series A, Rev., 5.00%, 11/15/2037 (p) | 1,530 | 1,539 | ||||||
Illinois Finance Authority, Ascension Health Credit, Series C, Rev., 5.00%, 02/15/2036 | 1,355 | 1,621 | ||||||
Illinois Finance Authority, Bradley University, Series B, Rev., VRDO, LOC: PNC Bank NA, 0.05%, 10/07/2021 (z) | 6,000 | 6,000 | ||||||
Illinois Finance Authority, Centegra Health System, | ||||||||
Series A, Rev., 5.00%, 09/01/2025 (p) | 1,495 | 1,696 | ||||||
Series A, Rev., 5.00%, 09/01/2027 (p) | 1,200 | 1,361 | ||||||
Illinois Finance Authority, Green Bond, Rev., 4.00%, 07/01/2038 | 4,160 | 4,998 | ||||||
Illinois Finance Authority, Green Bonds, | ||||||||
Rev., 4.00%, 01/01/2033 | 8,190 | 10,023 | ||||||
Rev., 4.00%, 07/01/2040 | 1,500 | 1,793 | ||||||
Rev., 5.00%, 01/01/2022 | 1,500 | 1,518 | ||||||
Illinois Finance Authority, Health Services Facility Lease Revenue, Provident Group UIC Surgery, | ||||||||
Rev., 4.00%, 10/01/2040 | 1,750 | 2,005 | ||||||
Rev., 5.00%, 10/01/2032 | 750 | 957 | ||||||
Rev., 5.00%, 10/01/2034 | 125 | 159 | ||||||
Illinois Finance Authority, Illinois State Clean Water Initiative, Green Bond, | ||||||||
Rev., 5.00%, 01/01/2022 | 220 | 223 | ||||||
Rev., 5.00%, 07/01/2023 | 1,650 | 1,788 | ||||||
Rev., 5.00%, 01/01/2028 | 100 | 125 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Illinois continued | ||||||||
Illinois Finance Authority, Mercy Health Corp., Rev., 5.00%, 12/01/2040 | 1,080 | 1,266 | ||||||
Illinois Finance Authority, Northshore University Health System, | ||||||||
Rev., 5.00%, 08/15/2031 | 1,000 | 1,308 | ||||||
Rev., 5.00%, 08/15/2035 | 1,500 | 1,933 | ||||||
Illinois Finance Authority, Northwest Community Hospital, Series A, Rev., 5.00%, 07/01/2027 | 1,000 | 1,200 | ||||||
Illinois Finance Authority, OSF Healthcare System, Series B1, Rev., 5.00%, 05/15/2050 (z) | 2,250 | 2,514 | ||||||
Illinois Finance Authority, Plymouth Place, Inc., Rev., 5.00%, 05/15/2041 | 400 | 472 | ||||||
Illinois Finance Authority, Presbyterian Homes, Series B, Rev., (SIFMA Municipal Swap Index + 0.70%), 0.75%, 05/01/2042 (aa) | 180 | 180 | ||||||
Illinois Finance Authority, Southern Illinois Healthcare, Rev., 5.00%, 03/01/2031 | 2,135 | 2,532 | ||||||
Illinois Finance Authority, Swedish Covenant Hospital, Series A, Rev., 5.00%, 08/15/2026 (p) | 1,690 | 2,041 | ||||||
Illinois Finance Authority, The Carle Foundation, | ||||||||
Series A, Rev., 5.00%, 08/15/2031 | 2,530 | 3,367 | ||||||
Series B, Rev., 5.00%, 08/15/2053 (z) | 285 | 379 | ||||||
Illinois Finance Authority, University of Chicago, | ||||||||
Series A, Rev., 5.00%, 10/01/2025 | 545 | 642 | ||||||
Series A, Rev., 5.00%, 10/01/2028 | 3,000 | 3,819 | ||||||
Series A, Rev., 5.00%, 10/01/2034 | 1,750 | 2,481 | ||||||
Series A, Rev., 5.00%, 10/01/2035 | 1,400 | 2,023 | ||||||
Illinois Housing Development Authority, | ||||||||
Series C, Rev., FHA, 0.80%, 07/01/2026 | 270 | 268 | ||||||
Series D, Rev., GNMA/FNMA/FHLMC COLL, 3.75%, 04/01/2050 | 1,355 | 1,498 | ||||||
Illinois Housing Development Authority, Concord Commons, Rev., 0.25%, 02/01/2024 (z) | 1,745 | 1,744 | ||||||
Illinois Housing Development Authority, Social Bonds, | ||||||||
Series A, Rev., GNMA FNMA FHLMC COLL, 3.00%, 04/01/2051 | 4,420 | 4,796 | ||||||
Series B, Rev., GNMA FNMA FHLMC COLL, 3.00%, 04/01/2051 | 460 | 501 | ||||||
Illinois Sports Facilities Authority (The), State Tax Supported, | ||||||||
Rev., 5.00%, 06/15/2030 | 500 | 620 | ||||||
Rev., AGM, 5.25%, 06/15/2031 | 225 | 248 | ||||||
Illinois State Toll Highway Authority, | ||||||||
Series A, Rev., 5.00%, 01/01/2044 | 1,000 | 1,229 | ||||||
Series B, Rev., 5.00%, 01/01/2029 | 100 | 118 | ||||||
Series C, Rev., 5.00%, 01/01/2023 | 60 | 63 | ||||||
Series D, Rev., 5.00%, 01/01/2024 | 1,000 | 1,103 | ||||||
Series A, Rev., 5.00%, 01/01/2028 | 185 | 215 | ||||||
Illinois State Toll Highway Authority, Senior, | ||||||||
Series A, Rev., 5.00%, 12/01/2031 | 5,115 | 6,001 | ||||||
Series B, Rev., 5.00%, 01/01/2028 | 7,020 | 8,757 | ||||||
Series B, Rev., 5.00%, 01/01/2041 | 2,000 | 2,356 | ||||||
Illinois State Toll Highway Authority, Toll Highway Revenue, | ||||||||
Series A, Rev., 5.00%, 01/01/2036 | 1,000 | 1,296 | ||||||
Series A, Rev., 5.00%, 01/01/2037 | 1,555 | 2,006 | ||||||
Illinois State Toll Highway Authority, Toll Highway Revenue, Senior, Rev., 5.00%, 01/01/2031 | 1,000 | 1,288 | ||||||
Macon County, School District No. 61 Decatur, | ||||||||
GO, AGM, 4.00%, 01/01/2040 | 1,420 | 1,581 | ||||||
GO, AGM, 4.00%, 01/01/2045 | 3,000 | 3,307 | ||||||
Metropolitan Pier & Exposition Authority, Rev., NATL, Zero Coupon, 12/15/2034 | 1,500 | 1,110 | ||||||
Metropolitan Pier & Exposition Authority Revenue, Mccormick Place Expansion, Rev., 5.00%, 06/15/2042 | 2,500 | 3,091 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Illinois continued | ||||||||
Metropolitan Pier & Exposition Authority, Capital Appreciation,Mccormick, Series B, Rev., AGM, Zero Coupon, 06/15/2027 | 660 | 614 | ||||||
Metropolitan Pier & Exposition Authority, Mccormick Place Expansion, | ||||||||
Rev., 3.00%, 06/15/2025 (w) | 150 | 159 | ||||||
Rev., 4.00%, 12/15/2042 (w) | 3,990 | 4,531 | ||||||
Rev., 4.00%, 12/15/2047 (w) | 1,000 | 1,123 | ||||||
Metropolitan Water Reclamation District of Greater Chicago, Green Bonds, Series E, GO, 5.00%, 12/01/2036 | 2,065 | 2,485 | ||||||
Northern Illinois University, Board of Trustees Auxiliary Facilities, Rev., BAM, 4.00%, 10/01/2033 | 1,000 | 1,190 | ||||||
Railsplitter Tobacco Settlement Authority, | ||||||||
Rev., 5.00%, 06/01/2022 | 1,250 | 1,289 | ||||||
Rev., 5.00%, 06/01/2023 | 130 | 140 | ||||||
Regional Transportation Authority, Series A, Rev., NATL, 6.00%, 07/01/2025 | 25 | 30 | ||||||
Sales Tax Securitization Corp., Second Lien, Series A, Rev., BAM, 5.00%, 01/01/2037 | 750 | 943 | ||||||
Southern Illinois University, Housing, Rev., BAM, 5.00%, 04/01/2032 | 650 | 831 | ||||||
Southwestern Illinois Development Authority, Southwestern Il Flood Prevention, Rev., 4.00%, 10/15/2035 | 1,215 | 1,428 | ||||||
State of Illinois, | ||||||||
GO, 4.00%, 06/01/2036 | 485 | 532 | ||||||
GO, 5.00%, 07/01/2023 | 1,000 | 1,079 | ||||||
GO, 5.00%, 08/01/2024 | 850 | 882 | ||||||
GO, 5.00%, 02/01/2026 | 1,000 | 1,175 | ||||||
GO, 5.00%, 01/01/2028 | 6,810 | 7,889 | ||||||
GO, 5.00%, 02/01/2028 | 3,000 | 3,575 | ||||||
GO, 5.00%, 01/01/2029 | 2,085 | 2,407 | ||||||
GO, 5.00%, 02/01/2029 | 2,000 | 2,362 | ||||||
GO, 5.25%, 02/01/2030 | 2,000 | 2,198 | ||||||
GO, 5.50%, 05/01/2030 | 2,000 | 2,607 | ||||||
Series A, GO, 4.00%, 01/01/2026 | 1,050 | 1,059 | ||||||
Series A, GO, 5.00%, 10/01/2021 | 80 | 80 | ||||||
Series A, GO, 5.00%, 10/01/2023 | 300 | 327 | ||||||
Series A, GO, 5.00%, 11/01/2026 | 2,500 | 2,988 | ||||||
Series A, GO, 5.00%, 03/01/2027 | 2,355 | 2,834 | ||||||
Series A, GO, 5.00%, 03/01/2028 | 2,500 | 3,064 | ||||||
Series B, GO, 5.00%, 10/01/2026 | 1,000 | 1,193 | ||||||
Series B, GO, 5.00%, 10/01/2029 | 1,000 | 1,253 | ||||||
Series B, GO, 5.00%, 10/01/2031 | 5,000 | 6,323 | ||||||
Series B, GO, 5.50%, 05/01/2039 | 250 | 316 | ||||||
Series C, GO, 5.00%, 11/01/2029 | 2,900 | 3,476 | ||||||
Series D, GO, 5.00%, 11/01/2021 | 4,515 | 4,531 | ||||||
Series D, GO, 5.00%, 11/01/2026 | 4,480 | 5,355 | ||||||
Series D, GO, 5.00%, 11/01/2027 | 6,130 | 7,468 | ||||||
Series D, GO, 5.00%, 11/01/2028 | 2,750 | 3,325 | ||||||
State of Illinois, Build America Bonds, | ||||||||
GO, 6.90%, 03/01/2035 | 1,000 | 1,329 | ||||||
GO, 7.35%, 07/01/2035 | 4,000 | 5,078 | ||||||
Tender Option Bond Trust Receipts/Certificates, Series 2018-XL0082, Rev., VRDO, LIQ: Barclays Bank plc, 0.10%, 10/07/2021 (e) (z) | 15,370 | 15,370 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Illinois continued | ||||||||
University of Illinois, Auxiliary Facilities System, | ||||||||
Series A, Rev., 5.00%, 04/01/2022 | 300 | 307 | ||||||
Series A, Rev., 5.00%, 04/01/2025 | 140 | 156 | ||||||
Village of Rosemont, Series A, GO, BAM, 5.00%, 12/01/2042 | 10,000 | 12,367 | ||||||
Will Grundy Etc Counties Community College District No. 525, Alternative Revenue Source, Series B, GO, 5.50%, 06/01/2031 (p) | 3,375 | 3,754 | ||||||
|
| |||||||
338,175 | ||||||||
|
| |||||||
Indiana 2.3% | ||||||||
City of Franklin, Otterbeit Homes, Series B, Rev., 5.00%, 07/01/2023 | 115 | 124 | ||||||
City of Hobart, A Safe Haven For Veterans, Rev., 0.25%, 09/01/2022 (z) | 1,750 | 1,748 | ||||||
City of Mount Vernon, Southern Industry Gas And Electric Company, Rev., AMT, 0.88%, 09/01/2055 (z) | 250 | 250 | ||||||
City of Rockport, Industry Pollution Control, Michigan Power Company Project, Rev., 2.75%, 06/01/2025 | 100 | 108 | ||||||
City of Rockport, Rockport Pollution Control, Aep Generating Company Project, Series A, Rev., 1.35%, 07/01/2025 (z) | 20 | 20 | ||||||
City of Whiting, BP Products North America, Inc. Project, Rev., AMT, 5.00%, 11/01/2047 (z) | 5,000 | 5,689 | ||||||
City of Whiting, Whiting Industry Environmental Facilities, Bp Products North America, Inc., Series A, Rev., AMT, 5.00%, 03/01/2046 (z) | 1,585 | 1,687 | ||||||
County of Knox, Good Samaritan Hospital, Series A, Rev., 5.00%, 04/01/2037 | 1,200 | 1,222 | ||||||
Indiana Development Finance Authority, Waste Management, Inc. Project, Rev., AMT, 0.40%, 10/01/2031 (z) | 660 | 660 | ||||||
Indiana Finance Authority, Citizens Water Westfield Project, Series A, Rev., 4.00%, 10/01/2048 | 1,500 | 1,719 | ||||||
Indiana Finance Authority, Community Foundation Northwest Industry, Rev., 4.00%, 03/01/2034 (p) | 150 | 152 | ||||||
Indiana Finance Authority, Community Health Network, Series A, Rev., 5.00%, 05/01/2042 (p) | 665 | 715 | ||||||
Indiana Finance Authority, Cwa Authority Project, Green Bonds, Rev., 5.00%, 10/01/2031 | 500 | 659 | ||||||
Indiana Finance Authority, Cwa Authority, First Lien, Series A, Rev., 5.25%, 10/01/2025 | 1,325 | 1,325 | ||||||
Indiana Finance Authority, Duke Energy Industry Project, Series A4, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 0.08%, 10/01/2021 (z) | 2,500 | 2,500 | ||||||
Indiana Finance Authority, First Lien, CWA Authority Project, | ||||||||
Rev., 5.00%, 10/01/2023 | 550 | 602 | ||||||
Rev., 5.00%, 10/01/2025 | 1,095 | 1,289 | ||||||
Rev., 5.00%, 10/01/2034 | 5,000 | 6,647 | ||||||
Indiana Finance Authority, Green Bond, State Revolving Fund, Rev., 5.00%, 02/01/2047 (p) | 7,000 | 9,024 | ||||||
Indiana Finance Authority, Indiana University Health, Series C, Rev., 5.00%, 12/01/2022 | 250 | 264 | ||||||
Indiana Finance Authority, Indianapolis Power, | ||||||||
Series A, Rev., 0.75%, 12/01/2038 (z) | 4,875 | 4,827 | ||||||
Series B, Rev., AMT, 0.95%, 12/01/2038 (z) | 7,025 | 6,921 | ||||||
Indiana Finance Authority, Marion General Hospital, Series A, Rev., 4.00%, 07/01/2045 | 5,000 | 5,699 | ||||||
Indiana Finance Authority, Ohio Valley Electric Corp. Project, Series B, Rev., 2.50%, 11/01/2030 | 1,000 | 1,007 | ||||||
Indiana Finance Authority, Parkview Health, Series A, Rev., 5.00%, 11/01/2025 | 1,105 | 1,301 | ||||||
Indiana Finance Authority, Second Lien, CWA Authority Project, | ||||||||
Rev., 5.00%, 10/01/2022 | 450 | 471 | ||||||
Rev., 5.00%, 10/01/2023 | 190 | 208 | ||||||
Rev., 5.00%, 10/01/2034 | 2,000 | 2,641 | ||||||
Rev., 5.00%, 10/01/2035 | 3,000 | 3,955 | ||||||
Indiana Finance Authority, United States Steel Corp., Series A, Rev., 4.13%, 12/01/2026 | 145 | 160 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Indiana continued | ||||||||
Indiana Finance Authority, Valley Electric Corporation Project, Series B, Rev., 3.00%, 11/01/2030 | 1,000 | 1,051 | ||||||
Indiana Finance Authority, Valparaiso University Project, Rev., 4.00%, 10/01/2034 | 1,315 | 1,540 | ||||||
Indiana Health Facility Financing Authority, Ascension Health Substitute Credit Group, Series A, Rev., 4.00%, 11/01/2023 | 85 | 92 | ||||||
Indiana Housing & Community Development Authority, Series A, Rev., GNMA/FNMA/FHLMC, 3.00%, 07/01/2051 | 650 | 704 | ||||||
Indiana Housing & Community Development Authority , RD Moving Forward Justus Project, Rev., 0.33%, 06/01/2024 (z) | 1,545 | 1,544 | ||||||
Indiana University, Series X, Rev., 3.00%, 08/01/2029 | 1,000 | 1,083 | ||||||
Indianapolis Local Public Improvement Bond Bank, | ||||||||
Series A, Rev., AGM, 4.00%, 06/01/2036 | 5,000 | 5,957 | ||||||
Series A, Rev., AGM, 4.00%, 06/01/2041 | 9,000 | 10,573 | ||||||
Series A, Rev., 5.00%, 06/01/2022 | 1,000 | 1,031 | ||||||
Series A, Rev., 5.00%, 06/01/2024 | 165 | 185 | ||||||
Series A, Rev., 5.00%, 06/01/2025 | 500 | 580 | ||||||
Series B, Rev., 5.00%, 02/01/2024 | 175 | 193 | ||||||
Series B, Rev., 5.00%, 02/01/2025 | 205 | 226 | ||||||
Indianapolis Local Public Improvement Bond Bank, Airport Authority, Series A1, Rev., AMT, 5.00%, 01/01/2028 | 200 | 237 | ||||||
Indianapolis Local Public Improvement Bond Bank, Indianapolis Airport, | ||||||||
Rev., AMT, 5.00%, 01/01/2026 | 1,050 | 1,237 | ||||||
Rev., AMT, 5.00%, 01/01/2029 | 2,855 | 3,589 | ||||||
Indianapolis Local Public Improvement Bond Bank, Indianapolis Airport Authority, | ||||||||
Series D, Rev., AMT, 5.00%, 01/01/2028 | 3,715 | 4,076 | ||||||
Series D, Rev., AMT, 5.00%, 01/01/2029 | 3,000 | 3,292 | ||||||
Series D, Rev., AMT, 5.00%, 01/01/2030 | 2,000 | 2,194 | ||||||
Series D, Rev., AMT, 5.00%, 01/01/2031 | 4,000 | 4,385 | ||||||
Series D, Rev., AMT, 5.00%, 01/01/2032 | 4,500 | 4,928 | ||||||
Series D, Rev., AMT, 5.00%, 01/01/2033 | 3,500 | 3,832 | ||||||
Series I, Rev., AMT, 5.00%, 01/01/2032 | 4,885 | 5,524 | ||||||
Series I, Rev., AMT, 5.00%, 01/01/2033 | 5,000 | 5,652 | ||||||
Indianapolis Local Public Improvement Bond Bank, Metropolitan Thoroughfare District, Series D, Rev., 4.00%, 01/01/2041 | 10,000 | 11,827 | ||||||
Purdue University, Series EE, Rev., 5.00%, 07/01/2034 | 1,500 | 1,955 | ||||||
Southwest Allen Multi School Building Corp., 1st Mortgage, Rev., 5.00%, 01/15/2030 | 1,200 | 1,504 | ||||||
Tippecanoe School Corp., GO, 4.00%, 07/15/2023 | 1,080 | 1,148 | ||||||
|
| |||||||
143,733 | ||||||||
|
| |||||||
Iowa 0.6% | ||||||||
Clinton Community School District, | ||||||||
GO, AGM, 5.00%, 06/01/2024 | 1,425 | 1,594 | ||||||
GO, AGM, 5.00%, 06/01/2026 | 1,290 | 1,534 | ||||||
Iowa Finance Authority, | ||||||||
Series A, Rev., 5.00%, 08/01/2034 | 1,030 | 1,377 | ||||||
Series D, Rev., GNMA/FNMA/FHLMC, 3.50%, 01/01/2049 | 385 | 425 | ||||||
Iowa Finance Authority, Cj Bio America, Incorporate Project, Rev., VRDO, LOC: Korea Development Bank, 0.09%, 10/07/2021 (z) | 12,000 | 12,000 | ||||||
Iowa Finance Authority, Fertilizer Co. Project, Rev., 5.25%, 12/01/2025 | 3,550 | 3,840 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Iowa continued | ||||||||
Iowa Finance Authority, Green Bond, Gevo NW Iowa Renewable Natural Gas Project, Rev., AMT, LOC: Citibank NA, 1.50%, 01/01/2042 (z) | 790 | 795 | ||||||
Iowa Finance Authority, Social Bonds, Series A, Rev., GNMA/FNMA/FHLMC, 3.00%, 01/01/2047 | 2,230 | 2,418 | ||||||
PEFA, Inc., Rev., 5.00%, 09/01/2049 (z) | 1,000 | 1,184 | ||||||
Sioux City Community School District, Rev., BAM, 3.00%, 10/01/2025 | 3,625 | 3,929 | ||||||
Southeast Polk Community School District, Series A, GO, 5.00%, 05/01/2028 | 5,185 | 6,523 | ||||||
|
| |||||||
35,619 | ||||||||
|
| |||||||
Kansas 0.4% | ||||||||
City of Manhattan, Meadowlark Hills, Series A, Rev., 4.00%, 06/01/2036 | 1,000 | 1,110 | ||||||
City of Olathe , Temporary Notes, Series A, GO, 4.00%, 08/01/2022 | 5,000 | 5,161 | ||||||
State of Kansas, Department of Transportation, Series C3, Rev., (ICE LIBOR USD 1 Month * 0.70 + 0.40%), 0.46%, 09/01/2023 (aa) | 2,000 | 2,004 | ||||||
University of Kansas Hospital Authority, Rev., 5.00%, 03/01/2031 | 1,230 | 1,594 | ||||||
University of Kansas Hospital Authority, University Kansas Health System, Series A, Rev., 5.00%, 03/01/2047 | 10,000 | 11,892 | ||||||
Wyandotte County-Kansas City Unified Government Utility System Revenue, Improvement, Series B, Rev., 5.00%, 09/01/2026 (p) | 210 | 219 | ||||||
|
| |||||||
21,980 | ||||||||
|
| |||||||
Kentucky 1.1% | ||||||||
County of Carroll, Utilities Company Project, Rev., AMT, 2.00%, 02/01/2032 | 7,620 | 7,797 | ||||||
County of Trimble, Louisville Gas & Electric, Rev., 0.63%, 09/01/2026 | 605 | 600 | ||||||
County of Trimble, Louisville Gas & Electricity, Rev., AMT, 1.35%, 11/01/2027 | 8,100 | 8,161 | ||||||
County of Trimble, Louisville Gas And Electric Company, Rev., AMT, 1.30%, 09/01/2044 (z) | 1,000 | 998 | ||||||
Kentucky Asset Liability Commission, Project Notes, Series A, Rev., 5.00%, 09/01/2022 | 2,000 | 2,087 | ||||||
Kentucky Bond Development Corp., Centre College, Rev., 4.00%, 06/01/2040 | 420 | 493 | ||||||
Kentucky Economic Development Finance Authority, Norton Healthcare, Inc., | ||||||||
Series B, Rev., NATL, Zero Coupon, 10/01/2026 | 3,930 | 3,620 | ||||||
Series B, Rev., NATL, Zero Coupon, 10/01/2027 | 1,995 | 1,788 | ||||||
Kentucky Housing Corp., Cambridge Square Project, Rev., 0.30%, 08/01/2024 (z) | 1,100 | 1,099 | ||||||
Kentucky Housing Corp., City View Park Project, Rev., 1.16%, 02/01/2023 (z) | 3,500 | 3,511 | ||||||
Kentucky Housing Corp., New Hope Properties Portfolio, Rev., HUD, 0.41%, 04/01/2024 (z) | 3,170 | 3,174 | ||||||
Kentucky Housing Corp., Winterwood II Rural Housing, Rev., 0.37%, 10/01/2024 (z) | 1,295 | 1,296 | ||||||
Kentucky Public Energy Authority, Series A2, Rev., (ICE LIBOR USD 1 Month * 0.67 + 1.12%), 1.18%, 12/01/2049 (aa) | 1,000 | 1,019 | ||||||
Kentucky Public Energy Authority, Gas Supply, Series B, Rev., 4.00%, 01/01/2049 (z) | 3,475 | 3,827 | ||||||
Kentucky State Property & Building Commission, Project 125, Series A, Rev., 5.00%, 09/01/2022 | 345 | 360 | ||||||
Kentucky State University, Kentucky State University Project, | ||||||||
COP, BAM, 4.00%, 11/01/2033 | 145 | 174 | ||||||
COP, BAM, 4.00%, 11/01/2035 | 135 | 161 | ||||||
COP, BAM, 4.00%, 11/01/2036 | 155 | 184 | ||||||
COP, BAM, 4.00%, 11/01/2038 | 650 | 767 | ||||||
Louisville and Jefferson County Metropolitan Government, Louisville Gas And Electric Co. Project, Series A, Rev., 0.90%, 09/01/2026 | 2,750 | 2,726 | ||||||
Louisville and Jefferson County Metropolitan Government, Norton Healthcare, Inc., Rev., 5.00%, 10/01/2031 | 670 | 799 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Kentucky continued | ||||||||
Louisville/Jefferson County Metropolitan Government, Louisville Gas & Electric, | ||||||||
Rev., VRDO, 0.04%, 10/07/2021 (z) | 10,000 | 10,000 | ||||||
Rev., 2.00%, 10/01/2033 | 2,000 | 2,003 | ||||||
Louisville/Jefferson County Metropolitan Government, Louisville Gas & Electric Co. Project, Rev., AMT, 1.35%, 11/01/2027 | 2,000 | 2,007 | ||||||
Louisville/Jefferson County Metropolitan Government, Norton Healthcare, Inc., | ||||||||
Rev., 4.00%, 10/01/2034 | 125 | 141 | ||||||
Rev., 4.00%, 10/01/2035 | 500 | 565 | ||||||
Tender Option Bond Trust Receipts/Certificates, Series 2018-XG0161, Rev., AGM, LOC: Bank of America NA, LIQ: Bank of America NA, 0.00%, 12/01/2041 (e) (z) | 5,460 | 5,460 | ||||||
|
| |||||||
64,817 | ||||||||
|
| |||||||
Louisiana 1.4% | ||||||||
City of Alexandria, Utilities Revenue, Series A, Rev., 5.00%, 05/01/2038 (p) | 4,000 | 4,302 | ||||||
Consolidated Government of the City of Baton Rouge & Parish of East Baton Rouge, Sales Tax, | ||||||||
Rev., AGM, 5.00%, 08/01/2022 | 80 | 83 | ||||||
Rev., AGM, 5.00%, 08/01/2027 | 1,400 | 1,724 | ||||||
East Baton Rouge Parish, Sewerage Commission, Series B, Rev., 5.00%, 02/01/2039 (p) | 1,200 | 1,383 | ||||||
East Baton Rouge Sewerage Commission, Series A, Rev., 1.30%, 02/01/2041 (z) | 4,500 | 4,563 | ||||||
Ernest N. Morial New Orleans Exhibition Hall Authority, Special Tax, 5.00%, 07/15/2027 | 900 | 932 | ||||||
Lakeshore Villages Master Community Development District, Parish of St Tammany, Special Assessment, 3.20%, 06/01/2041 (e) | 630 | 618 | ||||||
Louisiana Housing Corp., Arbours at Lafayette Project, Rev., 0.35%, 04/01/2024 (z) | 2,320 | 2,321 | ||||||
Louisiana Housing Corp., Mabry Place Townhouse Project, Rev., 0.31%, 08/01/2024 (z) | 1,955 | 1,952 | ||||||
Louisiana Housing Corp., Stone Vista Apartments Project, Rev., 0.32%, 12/01/2023 (z) | 1,250 | 1,250 | ||||||
Louisiana Local Government Environmental Facilities & Community Development Authority, East Baton Rouge Sewage Commission, Subordinated Lien, | ||||||||
Rev., 5.00%, 02/01/2028 (p) | 1,655 | 1,836 | ||||||
Series A, Rev., 4.00%, 02/01/2048 (p) | 1,660 | 1,743 | ||||||
Louisiana Local Government Environmental Facilities & Community Development Authority, Entergy Louisiana LLC Project, | ||||||||
Rev., 2.00%, 06/01/2030 | 2,755 | 2,780 | ||||||
Rev., 2.50%, 04/01/2036 | 1,000 | 1,015 | ||||||
Louisiana Public Facilities Authority, Lafayette General Health, Series A, Rev., 5.00%, 11/01/2041 (p) | 800 | 947 | ||||||
Louisiana Public Facilities Authority, Loyola University Project, Rev., 4.00%, 10/01/2037 | 2,020 | 2,351 | ||||||
Louisiana Public Facilities Authority, Ochsner Clinic Foundation, Series B, Rev., 5.00%, 05/15/2050 (z) | 2,935 | 3,381 | ||||||
Louisiana Public Facilities Authority, Ochsner Clinic Foundation Project, Rev., 5.00%, 05/15/2042 | 1,480 | 1,744 | ||||||
New Orleans Aviation Board, | ||||||||
Series B, Rev., AMT, 5.00%, 01/01/2027 | 1,600 | 1,824 | ||||||
Series B, Rev., AMT, 5.00%, 01/01/2040 | 3,000 | 3,389 | ||||||
New Orleans Aviation Board, General Airport, Series D2, Rev., AMT, 5.00%, 01/01/2033 | 1,100 | 1,307 | ||||||
New Orleans Aviation Board, General Airport North Terminal, | ||||||||
Series B, Rev., AMT, 5.00%, 01/01/2038 | 1,000 | 1,181 | ||||||
Series B, Rev., AMT, 5.00%, 01/01/2048 | 5,000 | 5,873 | ||||||
Parish of St. James, Various Nucor Steel Louisiana, Series A1, Rev., VRDO, 0.09%, 10/07/2021 (z) | 5,000 | 5,000 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Louisiana continued | ||||||||
Parish of St. John the Baptist, Marathon Oil Corp. Project, Series B1, Rev., 2.13%, 06/01/2037 (z) | 875 | 903 | ||||||
Port New Orleans Board of Commissioners, Series E, Rev., AMT, 5.00%, 04/01/2039 | 1,170 | 1,431 | ||||||
Regional Transit Authority Sales Tax Revenue, Series A, Rev., AGM, 5.00%, 01/01/2029 | 3,000 | 3,824 | ||||||
St Tammany Parish Hospital Service District No. 1, | ||||||||
Series A, Rev., 5.00%, 07/01/2032 | 1,615 | 1,980 | ||||||
Series A, Rev., 5.00%, 07/01/2034 | 1,655 | 2,016 | ||||||
State of Louisiana, Series A, GO, 5.00%, 03/01/2037 | 9,555 | 11,984 | ||||||
State of Louisiana Gasoline & Fuels Tax Revenue, Second Lien, | ||||||||
Series A, Rev., 0.60%, 05/01/2043 (z) | 4,135 | 4,137 | ||||||
Series D, Rev., 0.55%, 05/01/2043 (z) | 2,295 | 2,296 | ||||||
Series D, Rev., 0.60%, 05/01/2043 (z) | 1,605 | 1,606 | ||||||
Tobacco Settlement Financing Corp., Asset Backed, Series A, Rev., 5.00%, 05/15/2023 | 125 | 134 | ||||||
|
| |||||||
83,810 | ||||||||
|
| |||||||
Maine 0.2% | ||||||||
Finance Authority of Maine, Supplemental Educational Loan Program, | ||||||||
Series A1, Rev., AGM, AMT, 2.38%, 12/01/2033 | 705 | 699 | ||||||
Series A1, Rev., AGM, AMT, 5.00%, 12/01/2023 | 165 | 180 | ||||||
Series A1, Rev., AGM, AMT, 5.00%, 12/01/2024 | 75 | 85 | ||||||
Series A1, Rev., AGM, AMT, 5.00%, 12/01/2025 | 85 | 99 | ||||||
Maine Health & Higher Educational Facilities Authority, | ||||||||
Series A, Rev., AGM, 5.00%, 07/01/2030 | 50 | 65 | ||||||
Series A, Rev., AGM, 5.00%, 07/01/2031 | 295 | 392 | ||||||
Series A, Rev., AGM, 5.00%, 07/01/2032 | 315 | 417 | ||||||
Maine Turnpike Authority, | ||||||||
Rev., 4.00%, 07/01/2045 | 9,000 | 10,452 | ||||||
Rev., 5.00%, 07/01/2031 | 400 | 523 | ||||||
Rev., 5.00%, 07/01/2033 | 1,155 | 1,499 | ||||||
|
| |||||||
14,411 | ||||||||
|
| |||||||
Maryland 2.3% | ||||||||
City of Baltimore, Water Project, Series A, Rev., 5.00%, 07/01/2050 | 3,200 | 4,015 | ||||||
City of Brunswick, Brunswick Crossing Special Tax, Special Tax, 4.00%, 07/01/2029 | 500 | 573 | ||||||
County of Baltimore, Series 83, GO, 5.00%, 03/01/2024 | 555 | 618 | ||||||
County of Frederick, Public Facilities Project, Series A, GO, 5.00%, 10/01/2022 | 4,995 | 5,235 | ||||||
County of Howard, Metropolitan District, Series E, GO, 5.00%, 02/15/2027 | 1,850 | 2,269 | ||||||
County of Montgomery, | ||||||||
Series A, GO, 4.00%, 08/01/2031 | 5,000 | 6,172 | ||||||
Series B, GO, 4.00%, 11/01/2028 | 7,985 | 9,664 | ||||||
Series C, GO, 5.00%, 10/01/2026 | 1,000 | 1,215 | ||||||
County of Prince Georges, Behavioral Health Facility, | ||||||||
COP, 5.00%, 10/01/2022 | 830 | 870 | ||||||
COP, 5.00%, 10/01/2023 | 650 | 711 | ||||||
County of Prince Georges, Chesapeake Lighthouse Obligations, Series A, Rev., 6.50%, 08/01/2035 (e) | 750 | 848 | ||||||
County of Prince Georges, Public Improvement, Series A, GO, 4.00%, 07/15/2032 | 5,000 | 6,038 | ||||||
Maryland Community Development Administration, | ||||||||
Series B, Rev., 3.00%, 09/01/2051 | 3,645 | 3,975 | ||||||
Series B, Rev., 4.00%, 09/01/2049 | 2,035 | 2,244 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Maryland continued | ||||||||
Series D, Rev., 3.25%, 09/01/2050 | 490 | 534 | ||||||
Maryland Community Development Administration, Residential, | ||||||||
Series A, Rev., 3.75%, 03/01/2050 | 1,315 | 1,452 | ||||||
Series A, Rev., 4.50%, 09/01/2048 | 5,965 | 6,703 | ||||||
Series B, Rev., AMT, 4.50%, 09/01/2048 | 5,300 | 5,921 | ||||||
Maryland Economic Development Corp., Morgan State University Project, Rev., 4.00%, 07/01/2040 | 665 | 757 | ||||||
Maryland Economic Development Corp., Port Covington Project, | ||||||||
Tax Allocation, 3.25%, 09/01/2030 | 1,405 | 1,557 | ||||||
Tax Allocation, 4.00%, 09/01/2040 | 1,280 | 1,460 | ||||||
Maryland Health & Higher Educational Facilities Authority, Series A, Rev., 5.00%, 07/01/2043 (p) | 2,000 | 2,072 | ||||||
Maryland Health & Higher Educational Facilities Authority, Adventist Healthcare, | ||||||||
Rev., 4.00%, 01/01/2038 | 2,020 | 2,308 | ||||||
Rev., 5.00%, 01/01/2025 (w) | 470 | 536 | ||||||
Rev., 5.00%, 01/01/2036 (w) | 2,290 | 2,918 | ||||||
Maryland Health & Higher Educational Facilities Authority, Ascension Health, Series B, Rev., 5.00%, 11/15/2051 (p) | 1,150 | 1,156 | ||||||
Maryland Health & Higher Educational Facilities Authority, Carroll Hospital, Series A, Rev., 5.00%, 07/01/2023 (p) | 1,415 | 1,466 | ||||||
Maryland Health & Higher Educational Facilities Authority, Loyola University Maryland, Series A, Rev., 5.00%, 10/01/2039 (p) | 5,275 | 5,530 | ||||||
Maryland Health & Higher Educational Facilities Authority, Meritus Medical Center, Rev., 5.00%, 07/01/2028 | 1,300 | 1,493 | ||||||
Maryland Health & Higher Educational Facilities Authority, Western Maryland Health System, Rev., 5.00%, 07/01/2024 (p) | 2,500 | 2,815 | ||||||
State of Maryland, | ||||||||
Series B, GO, 5.00%, 08/01/2022 | 430 | 447 | ||||||
Series A, GO, 2.75%, 08/01/2025 | 1,735 | 1,811 | ||||||
State of Maryland Department of Transportation, Baltimore Washington International, | ||||||||
Rev., AMT, 4.00%, 08/01/2037 | 865 | 1,024 | ||||||
Rev., AMT, 4.00%, 08/01/2038 | 965 | 1,139 | ||||||
Rev., AMT, 4.00%, 08/01/2039 | 1,160 | 1,365 | ||||||
State of Maryland, First, Series A, GO, 5.00%, 03/01/2024 (p) | 1,000 | 1,020 | ||||||
State of Maryland, Group 1, Series A, GO, 5.00%, 08/01/2028 | 1,500 | 1,907 | ||||||
State of Maryland, Group 2, State and Local Facilities Loan, GO, 5.00%, 08/01/2033 | 2,000 | 2,618 | ||||||
State of Maryland, Local Facilities Loan, | ||||||||
Series A, GO, 4.00%, 03/15/2034 | 13,070 | 15,846 | ||||||
Series A, GO, 5.00%, 08/01/2028 | 7,000 | 8,899 | ||||||
State of Maryland, Second, Series B, GO, 5.00%, 08/01/2025 (p) | 505 | 525 | ||||||
Tender Option Bond Trust Receipts/Certificates, Series 2018-XF0605, Rev., LIQ: Bank of America NA, 0.00%, 05/01/2047 (e) (z) | 3,300 | 3,300 | ||||||
Washington Suburban Sanitary Commission, | ||||||||
Rev., CNTY GTD, 5.00%, 06/01/2029 | 4,000 | 5,174 | ||||||
Series A, Rev., VRDO, BAN, CNTY GTD, 0.04%, 10/07/2021 (z) | 3,400 | 3,400 | ||||||
Washington Suburban Sanitary Commission, Consolidated Public Improvement, | ||||||||
Rev., CNTY GTD, 4.00%, 06/01/2022 | 75 | 77 | ||||||
Rev., CNTY GTD, 5.00%, 06/01/2029 | 1,500 | 1,893 | ||||||
Series 2, Rev., CNTY GTD, 5.00%, 06/01/2022 | 1,200 | 1,238 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Maryland continued | ||||||||
Washington Suburban Sanitary Commission, Consolidated Public Improvement Bonds, Rev., CNTY GTD, 5.00%, 06/01/2033 | 3,000 | 3,763 | ||||||
Washington Suburban Sanitary Commission, Green Bond, Series 2, Rev., CNTY GTD, 5.00%, 12/01/2026 | 1,180 | 1,441 | ||||||
|
| |||||||
140,012 | ||||||||
|
| |||||||
Massachusetts 1.4% | ||||||||
Commonwealth of Massachusetts, | ||||||||
Series A, GO, 5.00%, 06/01/2044 (z) | 1,500 | 1,619 | ||||||
Series D, GO, 4.00%, 11/01/2036 | 2,500 | 3,036 | ||||||
Series D, GO, 4.00%, 11/01/2041 | 4,000 | 4,766 | ||||||
Commonwealth of Massachusetts Transportation Fund Revenue, Rail Enhancement Project, Series B, Rev., 5.00%, 06/01/2025 | 375 | 437 | ||||||
Commonwealth of Massachusetts, Consolidated Loan, Series D2, GO, 1.70%, 08/01/2043 (z) | 1,000 | 1,013 | ||||||
Massachusetts Bay Transportation Authority Sales Tax Revenue, Subordinate Sustainability, Rev., BAN, 4.00%, 05/01/2025 | 5,000 | 5,629 | ||||||
Massachusetts Development Finance Agency, | ||||||||
Series A1, Rev., 5.00%, 07/01/2050 (z) | 5,000 | 6,482 | ||||||
Series B, Rev., 0.25%, 07/01/2024 (z) | 370 | 369 | ||||||
Massachusetts Development Finance Agency, Milford Regional Medical Center, Rev., 5.00%, 07/15/2046 (e) | 1,000 | 1,201 | ||||||
Massachusetts Development Finance Agency, Suffolk University Project, Rev., 4.00%, 07/01/2051 | 1,250 | 1,411 | ||||||
Massachusetts Development Finance Agency, Williams College Project, Rev., 0.45%, 07/01/2041 (z) | 310 | 309 | ||||||
Massachusetts Educational Financing Authority, | ||||||||
Series B, Rev., AMT, 2.63%, 07/01/2036 | 5,460 | 5,608 | ||||||
Series B, Rev., AMT, 5.00%, 07/01/2023 | 250 | 270 | ||||||
Series B, Rev., AMT, 5.00%, 07/01/2024 | 615 | 689 | ||||||
Series I, Rev., AMT, 5.00%, 01/01/2025 | 3,000 | 3,415 | ||||||
Massachusetts Educational Financing Authority, Educational Loan Revenue Bonds, Rev., AMT, 2.00%, 07/01/2037 | 180 | 178 | ||||||
Massachusetts Health & Educational Facilities Authority, Massachusetts Institute Technology, Series J2, Rev., VRDO, 0.04%, 10/07/2021 (z) | 4,015 | 4,015 | ||||||
Massachusetts Health & Educational Facilities Authority, University of Massachusetts, Series A, Rev., 1.85%, 11/01/2030 (z) | 1,250 | 1,260 | ||||||
Massachusetts Housing Finance Agency, Social Bond, | ||||||||
Series 220, Rev., GNMA/FNMA/FHLMC, 3.00%, 12/01/2050 | 3,710 | 4,021 | ||||||
Series 220, Rev., GNMA/FNMA/FHLMC, 5.00%, 12/01/2023 | 500 | 550 | ||||||
Massachusetts Housing Finance Agency, Substainability Bonds, | ||||||||
Series A2, Rev., HUD, 0.30%, 12/01/2023 | 105 | 105 | ||||||
Series A2, Rev., HUD, 0.40%, 06/01/2024 | 140 | 140 | ||||||
Massachusetts Port Authority, | ||||||||
Series A, Rev., 5.00%, 07/01/2037 | 1,000 | 1,315 | ||||||
Series B, Rev., AMT, 5.00%, 07/01/2033 | 465 | 607 | ||||||
Series B, Rev., AMT, 5.00%, 07/01/2034 | 415 | 539 | ||||||
Series B, Rev., AMT, 5.00%, 07/01/2035 | 495 | 641 | ||||||
Series E, Rev., AMT, 5.00%, 07/01/2031 | 1,495 | 1,965 | ||||||
Series E, Rev., AMT, 5.00%, 07/01/2032 | 2,000 | 2,618 | ||||||
Series E, Rev., AMT, 5.00%, 07/01/2046 | 6,500 | 8,161 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Massachusetts continued | ||||||||
Massachusetts School Building Authority, Senior, | ||||||||
Series B, Rev., 5.00%, 08/15/2028 (p) | 5,000 | 5,210 | ||||||
Series B, Rev., 5.00%, 10/15/2041 (p) | 1,355 | 1,357 | ||||||
Massachusetts School Building Authority, Subordinated, Series A, Rev., 5.00%, 02/15/2036 (p) | 7,190 | 7,989 | ||||||
Massachusetts Water Resources Authority, Series C, Rev., 4.00%, 08/01/2022 (p) | 3,180 | 3,280 | ||||||
Massachusetts Water Resources Authority, Green Bonds, | ||||||||
Series C, Rev., 4.00%, 08/01/2022 (p) | 700 | 722 | ||||||
University of Massachusetts Building Authority, Series 2021, Rev., 5.00%, 11/01/2026 | 5,000 | 6,097 | ||||||
|
| |||||||
87,024 | ||||||||
|
| |||||||
Michigan 1.4% | ||||||||
City of Detroit, Sewage Disposal System Revenue, Senior Lien, Series A, Rev., 5.00%, 07/01/2023 | 5,000 | 5,177 | ||||||
City of Detroit, Social Bonds, | ||||||||
Series A, GO, 4.00%, 04/01/2041 | 500 | 557 | ||||||
Series A, GO, 5.00%, 04/01/2039 | 115 | 140 | ||||||
Series A, GO, 5.00%, 04/01/2046 | 35 | 42 | ||||||
Series A, GO, 5.00%, 04/01/2050 | 30 | 36 | ||||||
City of Lansing, GO, AGM, 5.00%, 05/01/2028 | 515 | 642 | ||||||
Great Lakes Water Authority, Sewage Disposal System, Second Lien, Series C, Rev., 5.00%, 07/01/2032 | 75 | 89 | ||||||
Great Lakes Water Authority, Sewage Disposal System, Senior Lien, Series B, Rev., 5.00%, 07/01/2030 | 3,200 | 3,830 | ||||||
LAnse Creuse Public Schools, GO, Q-SBLF, 5.00%, 05/01/2029 (p) | 2,405 | 2,792 | ||||||
Michigan Finance Authority, | ||||||||
Rev., 5.00%, 11/15/2022 | 125 | 131 | ||||||
Rev., 5.00%, 11/15/2023 | 1,375 | 1,510 | ||||||
Rev., 5.00%, 11/15/2025 | 435 | 503 | ||||||
Series A, Rev., 5.00%, 06/01/2039 (p) | 5,085 | 5,246 | ||||||
Michigan Finance Authority, Aquinas College Project, Rev., 5.00%, 05/01/2036 | 300 | 336 | ||||||
Michigan Finance Authority, Che Trinity Health, Rev., 4.00%, 12/01/2040 (p) | 95 | 116 | ||||||
Michigan Finance Authority, Higher Educational Facilities Authority, | ||||||||
Rev., 5.00%, 09/01/2032 | 690 | 887 | ||||||
Rev., 5.00%, 09/01/2033 | 800 | 1,025 | ||||||
Rev., 5.00%, 09/01/2034 | 570 | 728 | ||||||
Rev., 5.00%, 09/01/2035 | 1,200 | 1,528 | ||||||
Michigan Finance Authority, Holland Community Hospital, Series A, Rev., 5.00%, 01/01/2040 | 1,980 | 2,083 | ||||||
Michigan Finance Authority, Senior, | ||||||||
Series A, Rev., 4.00%, 06/01/2022 | 1,500 | 1,536 | ||||||
Series A, Rev., 5.00%, 06/01/2024 | 2,000 | 2,231 | ||||||
Michigan Finance Authority, Trinity Health Co., Rev., 5.00%, 12/01/2034 (p) | 2,560 | 2,642 | ||||||
Michigan Finance Authority, Unrefunded Che Trinity Health, Rev., 4.00%, 12/01/2040 | 1,405 | 1,632 | ||||||
Michigan Finance Authority,Refunded, Hospital Trinity Health, Rev., 5.00%, 12/01/2039 (p) | 1,000 | 1,008 | ||||||
Michigan State Building Authority, | ||||||||
Series I, Rev., 5.00%, 10/15/2027 | 2,500 | 3,116 | ||||||
Series I, Rev., 5.00%, 10/15/2029 | 1,750 | 2,282 | ||||||
Michigan State Building Authority, Facilities Program, | ||||||||
Series IA, Rev., 5.00%, 10/15/2023 (p) | 1,140 | 1,142 | ||||||
Series IA, Rev., 5.50%, 10/15/2045 (p) | 2,770 | 2,774 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Michigan continued | ||||||||
Michigan State Building Authority, Multi Modal Facilities Program, Rev., VRDO, 0.09%, 10/07/2021 (z) | 3,500 | 3,500 | ||||||
Michigan State Hospital Finance Authority, Hospital Trinity Health Credit, Series C, Rev., 5.00%, 12/01/2027 | 100 | 125 | ||||||
Michigan State Hospital Finance Authority, Trinity Health, Rev., 5.00%, 12/01/2034 (p) | 1,000 | 1,032 | ||||||
Michigan State Hospital Finance Authority, Trinity Health Credit, Series C, Rev., 5.00%, 12/01/2029 | 1,010 | 1,254 | ||||||
Michigan State Hospital Finance Authority, Trinity Health Credit Group, | ||||||||
Rev., 5.00%, 12/01/2026 (p) | 810 | 836 | ||||||
Series B, Rev., 5.00%, 12/01/2048 (p) | 755 | 779 | ||||||
Michigan State Housing Development Authority, | ||||||||
Rev., 0.32%, 12/01/2023 (z) | 4,150 | 4,155 | ||||||
Series A, Rev., 0.55%, 04/01/2025 | 375 | 375 | ||||||
Series C, Rev., 3.00%, 06/01/2051 | 2,750 | 2,976 | ||||||
Michigan State Housing Development Authority, Social Bond, Series A, Rev., 3.00%, 06/01/2052 | 1,690 | 1,842 | ||||||
Michigan State University, | ||||||||
Series A, Rev., 5.00%, 08/15/2022 | 705 | 734 | ||||||
Series A, Rev., 5.00%, 08/15/2029 | 2,000 | 2,589 | ||||||
Series A, Rev., 5.00%, 08/15/2038 | 250 | 270 | ||||||
Michigan State University, Board of Trustees, Series B, Rev., 4.00%, 02/15/2024 | 300 | 326 | ||||||
Michigan Strategic Fund, Consumers Energy Co. Project, Rev., AMT, 0.88%, 04/01/2035 (w) (z) | 1,620 | 1,607 | ||||||
Michigan Strategic Fund, Detroit Edison Co. Exempt, Rev., 1.35%, 08/01/2029 | 3,450 | 3,450 | ||||||
Michigan Strategic Fund, Detroit Edison Company, Rev., 1.45%, 09/01/2030 | 810 | 798 | ||||||
Michigan Strategic Fund, Green Bond Recycling, Rev., AMT, 4.00%, 10/01/2061 (z) | 1,685 | 1,871 | ||||||
Monroe County Economic Development Corp., Collateral Detroit Edison Co., Series AA, Rev., NATL, 6.95%, 09/01/2022 | 2,500 | 2,650 | ||||||
State of Michigan Trunk Line Revenue, State Trunk Line Fund Bonds, | ||||||||
Rev., 5.00%, 11/15/2022 | 1,195 | 1,259 | ||||||
Rev., 5.00%, 11/15/2032 | 1,150 | 1,548 | ||||||
State of Michigan, Environmental Program Bonds, Series A, GO, 5.00%, 05/15/2030 | 400 | 527 | ||||||
State of Michigan, Garvee, Rev., GAN, 5.00%, 03/15/2024 | 1,435 | 1,599 | ||||||
Wayne County Airport Authority, Series F, Rev., AMT, 5.00%, 12/01/2034 | 1,470 | 1,711 | ||||||
|
| |||||||
83,574 | ||||||||
|
| |||||||
Minnesota 1.0% | ||||||||
Burnsville-Eagan-Savage Independent School District No. 191, GO, 4.00%, 02/01/2026 | 1,210 | 1,387 | ||||||
City of Hopkins, Raspberry Ridge Project, Rev., HUD, 0.26%, 02/01/2024 (z) | 1,105 | 1,104 | ||||||
City of Mahtomedi, Lincoln Place, Rev., HUD, 0.25%, 08/01/2023 (z) | 620 | 620 | ||||||
City of Shakopee, Shakopee Housing, Rev., 0.25%, 08/01/2024 (z) | 290 | 290 | ||||||
County of Hennepin, | ||||||||
Series A, GO, 5.00%, 12/01/2022 | 2,300 | 2,428 | ||||||
Series C, GO, 5.00%, 12/15/2032 | 3,000 | 3,897 | ||||||
Dakota County Community Development Agency, Aster House Apartments Project, Rev., 0.35%, 06/01/2024 (z) | 4,815 | 4,820 | ||||||
Farmington Independent School District No. 192, Series A, GO, 5.00%, 02/01/2025 | 2,680 | 2,973 | ||||||
Housing & Redevelopment Authority of The City of St Paul Minnesota, Fairview Health Services, Series A, Rev., 5.00%, 11/15/2047 | 9,000 | 10,757 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Minnesota continued | ||||||||
Housing & Redevelopment Authority of The City of St. Paul Minnesota, Hope Community Academy Project, Series A, Rev., 5.00%, 12/01/2043 | 1,000 | 1,033 | ||||||
Minnesota Housing Finance Agency, | ||||||||
Series B, Rev., GNMA/FNMA/FHLMC, 3.00%, 07/01/2051 | 895 | 972 | ||||||
Series D, Rev., GNMA/FNMA/FHLMC COLL, 3.00%, 01/01/2052 | 1,145 | 1,246 | ||||||
Series G, Rev., GNMA/FNMA/FHLMC, 3.00%, 01/01/2051 | 3,795 | 4,103 | ||||||
Series I, Rev., GNMA/FNMA/FHLMC, 2.80%, 12/01/2047 | 476 | 487 | ||||||
Series I, Rev., 3.00%, 01/01/2051 | 3,880 | 4,205 | ||||||
Minnesota Housing Finance Agency, Non Ace Residential Housing, Series B, Rev., GNMA/FNMA/FHLMC, 4.00%, 07/01/2048 | 2,675 | 2,888 | ||||||
Minnesota Housing Finance Agency, Social Bonds, Series F, Rev., 3.00%, 07/01/2052 | 2,955 | 3,225 | ||||||
Minnesota Office of Higher Education, Supplemental Studnet Loan, Rev., AMT, 4.00%, 11/01/2037 | 3,315 | 3,486 | ||||||
Shakopee Independent School District No. 720, Series D, GO, 5.00%, 02/01/2024 | 3,685 | 4,076 | ||||||
St. Paul Port Authority, Solid Gerdau St. Paul Steel Mill Project, Rev., AMT, 4.50%, 10/01/2037 (e) | 1,500 | 1,524 | ||||||
State of Minnesota, | ||||||||
Series A, GO, 5.00%, 08/01/2026 | 250 | 303 | ||||||
Series A, GO, 5.00%, 10/01/2029 | 45 | 56 | ||||||
Series A, GO, 5.00%, 08/01/2031 | 840 | 1,082 | ||||||
Series A, GO, 5.00%, 08/01/2034 | 2,000 | 2,524 | ||||||
Series B, GO, 4.00%, 08/01/2028 | 2,000 | 2,416 | ||||||
Series B, GO, 5.00%, 08/01/2022 | 100 | 104 | ||||||
Series E, GO, 3.00%, 08/01/2026 | 710 | 792 | ||||||
State of Minnesota, Various Purpose, Series F, GO, 5.00%, 10/01/2021 | 1,000 | 1,000 | ||||||
|
| |||||||
63,798 | ||||||||
|
| |||||||
Mississippi 0.0% (g) | ||||||||
Mississippi Business Finance Corp., System Energy Resources, Inc. Project, Rev., 2.38%, 06/01/2044 | 175 | 173 | ||||||
Mississippi Home Corp., J&A Development Portfolio Project, Series 1, Rev., 0.30%, 02/01/2024 (z) | 470 | 469 | ||||||
Mississippi Hospital Equipment & Facilities Authority, Baptist Memorial Health Care, Rev., 5.00%, 09/01/2044 (z) | 250 | 283 | ||||||
State of Mississippi, Series F, GO, 5.00%, 11/01/2030 (p) | 1,000 | 1,184 | ||||||
|
| |||||||
2,109 | ||||||||
|
| |||||||
Missouri 1.2% | ||||||||
Cape Girardeau County Industrial Development Authority, Southeasthealth, Rev., 4.00%, 03/01/2041 | 870 | 979 | ||||||
City of St Louis Airport Revenue, Series A, Rev., AGM, 5.00%, 07/01/2024 | 2,000 | 2,253 | ||||||
City of St. Charles, Series B, COP, 4.00%, 02/01/2029 | 515 | 612 | ||||||
Curators of the University of Missouri (The), | ||||||||
Series A, Rev., 4.00%, 11/01/2034 | 2,500 | 2,742 | ||||||
Series A, Rev., 4.00%, 11/01/2035 | 1,000 | 1,095 | ||||||
Hanley Road Corridor Transportation Development District, Rev., 1.00%, 10/01/2027 | 320 | 320 | ||||||
Health & Educational Facilities Authority of the State of Missouri, Series C, Rev., 5.00%, 05/01/2052 (z) | 2,695 | 3,355 | ||||||
Health & Educational Facilities Authority of the State of Missouri, BJC Health System, Series B, Rev., 4.00%, 05/01/2051 (z) | 6,750 | 7,757 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Missouri continued | ||||||||
Health & Educational Facilities Authority of the State of Missouri, Capital Region Medical Center, Rev., 5.00%, 11/01/2035 | 1,700 | 2,130 | ||||||
Health & Educational Facilities Authority of the State of Missouri, Lukes Health System, Rev., 4.00%, 11/15/2038 | 2,000 | 2,341 | ||||||
Health & Educational Facilities Authority of the State of Missouri, Lutheran Senior Service Projects, Series A, Rev., 5.00%, 02/01/2029 | 1,410 | 1,584 | ||||||
Health & Educational Facilities Authority of the State of Missouri, Lutheran Senior Services, Rev., 4.00%, 02/01/2034 | 500 | 572 | ||||||
Kansas City Industrial Development Authority, Rev., AMT, 5.00%, 03/01/2032 | 900 | 1,139 | ||||||
Kansas City Industrial Development Authority, Cathedral Towers, Rev., 0.35%, 12/01/2024 (z) | 6,000 | 6,003 | ||||||
Kansas City Industrial Development Authority, Kansas City International Airport, | ||||||||
Rev., AMT, 4.00%, 03/01/2036 | 1,250 | 1,448 | ||||||
Rev., AMT, 4.00%, 03/01/2040 | 2,500 | 2,857 | ||||||
Rev., AMT, 5.00%, 03/01/2029 | 3,050 | 3,847 | ||||||
Missouri Development Finance Board, Procter & Gamble Paper Products, Rev., AMT, 5.20%, 03/15/2029 | 370 | 466 | ||||||
Missouri Housing Development Commission, First Place Homeownership Loan, | ||||||||
Rev., GNMA/FNMA/FHLMC COLL, 3.00%, 05/01/2052 | 560 | 608 | ||||||
Rev., GNMA/FNMA/FHLMC, 3.00%, 05/01/2052 | 6,065 | 6,614 | ||||||
Series D, Rev., GNMA/FNMA/FHLMC, 3.25%, 05/01/2051 | 3,845 | 4,205 | ||||||
Missouri State Environmental Improvement & Energy Resources Authority, Revolving Funds Program, Series A, Rev., 5.00%, 01/01/2023 (p) | 1,100 | 1,113 | ||||||
Missouri State Environmental Improvement & Energy Resources Authority, Union Electric Company Project, Series AR, Rev., 2.90%, 09/01/2033 | 2,000 | 2,145 | ||||||
Orchard Farm R-V School District, | ||||||||
COP, 4.00%, 04/01/2027 | 400 | 458 | ||||||
COP, 4.00%, 04/01/2028 | 410 | 476 | ||||||
Plaza at Noahs Ark Community Improvement District, Rev., 3.00%, 05/01/2030 | 575 | 580 | ||||||
RBC Municipal Products, Inc. Trust, Floater Certificates, Series C16, Rev., VRDO, LOC: Royal Bank of Canada, LIQ: Royal Bank of Canada, 0.11%, 10/07/2021 (e) (z) | 11,000 | 11,000 | ||||||
St Charles County Industrial Development Authority, Hidden Valley Estates, Rev., HUD, 0.27%, 08/01/2025 (z) | 1,290 | 1,288 | ||||||
St Louis Municipal Finance Corp., Convention Center Expansion, Rev., AGM, 5.00%, 10/01/2045 | 3,215 | 3,957 | ||||||
State of Missouri, Health & Educational Facilities, Saint Lukes Health System, Inc., Rev., 5.00%, 11/15/2023 | 290 | 318 | ||||||
|
| |||||||
74,262 | ||||||||
|
| |||||||
Montana 0.2% | ||||||||
Montana Board of Housing, | ||||||||
Rev., 3.00%, 12/01/2050 | 3,510 | 3,795 | ||||||
Series A1, Rev., 3.00%, 06/01/2051 | 4,800 | 5,205 | ||||||
Series B2, Rev., AMT, 3.50%, 12/01/2042 | 650 | 680 | ||||||
Series B, Rev., 3.00%, 12/01/2051 | 1,270 | 1,385 | ||||||
Montana Facility Finance Authority, Rev., 5.00%, 02/15/2033 | 1,000 | 1,179 | ||||||
Montana State Board of Regents, | ||||||||
Series G, Rev., 5.00%, 11/15/2031 (w) | 250 | 335 | ||||||
Series G, Rev., 5.00%, 11/15/2032 (w) | 630 | 836 | ||||||
|
| |||||||
13,415 | ||||||||
|
|
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Nebraska 0.4% | ||||||||
Central Plains Energy Project, | ||||||||
Rev., LIQ: Royal Bank of Canada, 4.00%, 12/01/2049 (z) | 4,000 | 4,486 | ||||||
Rev., 5.00%, 09/01/2042 | 625 | 651 | ||||||
City of Omaha, Various Purpose, | ||||||||
Series A, GO, 4.00%, 04/15/2022 | 1,125 | 1,148 | ||||||
Series A, GO, 4.00%, 04/15/2023 | 1,675 | 1,771 | ||||||
County of Washington, Cargill, Inc. Project, Rev., AMT, 0.90%, 09/01/2030 (z) | 350 | 353 | ||||||
Douglas County Hospital Authority No. 2, Health Facilities Childrens Hospital, Rev., 5.00%, 11/15/2047 | 3,000 | 3,535 | ||||||
Douglas County Hospital Authority No. 2, Madonna Rehabilitation Hospital, Rev., 4.00%, 05/15/2033 | 2,100 | 2,220 | ||||||
Douglas County, Hospital Authority No. 2, Childrens Hospital Obligated Group, Rev., 5.00%, 11/15/2053 (z) | 2,190 | 2,549 | ||||||
Nebraska Educational Health Cultural & Social Services Finance Authority, Immanuel Obligated Group, Rev., 4.00%, 01/01/2037 | 1,000 | 1,123 | ||||||
Nebraska Public Power District, Series A, Rev., 0.60%, 01/01/2051 (z) | 9,000 | 9,029 | ||||||
|
| |||||||
26,865 | ||||||||
|
| |||||||
Nevada 1.2% | ||||||||
City of Carson City, Carson Tahoe Regional Medical Center, Rev., 5.00%, 09/01/2047 | 1,000 | 1,184 | ||||||
City of Las Vegas Special Improvement District No. 612 Skye Hills, Special Assessment, 3.50%, 06/01/2035 | 210 | 224 | ||||||
City of North Las Vegas, GO, BAM, 5.00%, 06/01/2027 | 2,000 | 2,455 | ||||||
Clark County School District, Building, | ||||||||
Series A, GO, 5.00%, 06/15/2029 | 500 | 624 | ||||||
Series B, GO, AGM-CR, 5.00%, 06/15/2033 | 3,000 | 3,760 | ||||||
County of Clark Department of Aviation, Airport Systems, Subordinate, Rev., 5.00%, 07/01/2033 | 1,010 | 1,337 | ||||||
County of Clark Department of Aviation, Subordinate, | ||||||||
Rev., 5.00%, 07/01/2026 | 2,000 | 2,406 | ||||||
Series B, Rev., AMT, 5.00%, 07/01/2025 | 1,235 | 1,433 | ||||||
Series B, Rev., AMT, 5.00%, 07/01/2027 | 6,000 | 7,349 | ||||||
County of Clark Passenger Facility Charge Revenue, Mccarran International, | ||||||||
Rev., 5.00%, 07/01/2029 | 5,000 | 6,474 | ||||||
Rev., 5.00%, 07/01/2031 | 1,950 | 2,486 | ||||||
Rev., 5.00%, 07/01/2032 | 2,385 | 3,032 | ||||||
County of Clark, Detention Center, GO, 4.00%, 06/01/2034 | 3,335 | 3,938 | ||||||
County of Clark, Limited Tax, Flood Control, GO, 5.00%, 11/01/2038 (p) | 2,000 | 2,198 | ||||||
County of Clark, Passenger Facility Charge Revenue, Las Vegas McCarran International Airport, Rev., 5.00%, 07/01/2030 | 1,425 | 1,826 | ||||||
County of Washoe, Sierra Pacific Power Company, | ||||||||
Rev., AMT, 0.63%, 03/01/2036 (z) | 900 | 901 | ||||||
Series B, Rev., 3.00%, 03/01/2036 (z) | 10 | 10 | ||||||
Las Vegas Convention & Visitors Authority, Series B, Rev., 5.00%, 07/01/2043 | 4,900 | 5,872 | ||||||
Las Vegas Valley Water District, | ||||||||
Series B, GO, 5.00%, 06/01/2022 | 1,000 | 1,032 | ||||||
Series A, GO, 5.00%, 06/01/2022 | 3,000 | 3,096 | ||||||
Series B, GO, 5.00%, 12/01/2021 | 1,500 | 1,511 | ||||||
Series B, GO, 5.00%, 06/01/2023 | 5,065 | 5,466 | ||||||
Series D, GO, 5.00%, 06/01/2023 | 1,180 | 1,273 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Nevada continued | ||||||||
Las Vegas Valley Water District, Water Improvement, Series A, GO, 5.00%, 06/01/2046 | 5,000 | 5,850 | ||||||
Las Vegas Valley, Water District, Series B, GO, 5.00%, 12/01/2023 | 70 | 77 | ||||||
Nevada Housing Division, Pinewood Terrace Apartments, Rev., 0.26%, 04/01/2024 (z) | 500 | 500 | ||||||
Nevada Housing Division, Whittell Pointe, Rev., 0.30%, 10/01/2023 (z) | 3,665 | 3,667 | ||||||
State of Nevada Department of Business & Industry, Brightline West Passenger Rail, Rev., AMT, 0.25%, 01/01/2050 (e) (z) | 3,080 | 3,080 | ||||||
State of Nevada, Department of Business & Industry, Republic Services, Inc. Project, Rev., AMT, 0.25%, 12/01/2026 (e) (z) | 665 | 665 | ||||||
|
| |||||||
73,726 | ||||||||
|
| |||||||
New Hampshire 0.3% | ||||||||
New Hampshire Business Finance Authority, Rev., 4.13%, 01/20/2034 | 979 | 1,164 | ||||||
New Hampshire Business Finance Authority, Caritas Oregon Project, Series A, Rev., 4.13%, 08/15/2040 (e) | 2,000 | 2,088 | ||||||
New Hampshire Business Finance Authority, Springpoint Senior Living, | ||||||||
Rev., 4.00%, 01/01/2026 | 270 | 299 | ||||||
Rev., 4.00%, 01/01/2027 | 250 | 281 | ||||||
Rev., 4.00%, 01/01/2028 | 290 | 325 | ||||||
Rev., 4.00%, 01/01/2029 | 300 | 335 | ||||||
Rev., 4.00%, 01/01/2030 | 280 | 311 | ||||||
Rev., 4.00%, 01/01/2031 | 290 | 321 | ||||||
New Hampshire Business Finance Authority, Taxable Virginia Birmingham Care Center, Rev., 3.78%, 01/01/2036 | 2,000 | 2,140 | ||||||
New Hampshire Business Finance Authority, Waste Management, Inc. Project, | ||||||||
Rev., AMT, 0.15%, 04/01/2024 (z) | 6,600 | 6,599 | ||||||
Rev., AMT, (SIFMA Municipal Swap Index + 0.38%), 0.43%, 10/01/2033 (aa) | 4,170 | 4,184 | ||||||
New Hampshire Health and Education Facilities Authority Act, Southern New Hampshire University, Rev., 5.00%, 01/01/2034 (p) | 2,300 | 2,327 | ||||||
|
| |||||||
20,374 | ||||||||
|
| |||||||
New Jersey 3.5% | ||||||||
City of Newark, | ||||||||
Series A, GO, AGM, 5.00%, 10/01/2027 | 100 | 122 | ||||||
Series A, GO, AGM, 5.00%, 10/01/2028 | 750 | 931 | ||||||
Garden State Preservation Trust, Capital Appreciation, Series B, Rev., AGM, Zero Coupon, 11/01/2026 | 1,000 | 935 | ||||||
Gloucester County Improvement Authority, The Rowan University Fossil Park, | ||||||||
Rev., BAM, 4.00%, 07/01/2046 | 725 | 841 | ||||||
Rev., BAM, 4.00%, 07/01/2051 | 1,000 | 1,156 | ||||||
Hudson County Improvement Authority, Hudson County Courthouse Project, Rev., 5.00%, 10/01/2028 | 150 | 190 | ||||||
New Brunswick Parking Authority, City Guaranteed Parking, Series A, Rev., BAM, 5.00%, 09/01/2026 | 1,000 | 1,197 | ||||||
New Jersey Economic Development Authority, | ||||||||
Series A, Rev., 5.00%, 11/01/2027 | 2,500 | 3,085 | ||||||
Series AAA, Rev., 5.50%, 06/15/2028 | 5,000 | 6,142 | ||||||
Series B, Rev., 5.00%, 11/01/2023 | 75 | 82 | ||||||
Series DDD, Rev., 5.00%, 06/15/2033 | 1,500 | 1,798 | ||||||
New Jersey Economic Development Authority, American Water Company, | ||||||||
Series B, Rev., AMT, 1.20%, 11/01/2034 (z) | 1,265 | 1,277 | ||||||
Series C, Rev., AMT, 1.15%, 06/01/2023 | 1,550 | 1,568 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
New Jersey continued | ||||||||
New Jersey Economic Development Authority, Continental Airlines, Inc. Project, Rev., AMT, 5.13%, 09/15/2023 | 1,375 | 1,435 | ||||||
New Jersey Economic Development Authority, Higher Education Capital Improvement Fund, Series A, Rev., 5.00%, 09/01/2025 | 245 | 276 | ||||||
New Jersey Economic Development Authority, Municipal Rehabilitation, Series A, Rev., 5.25%, 04/01/2027 (z) | 5,000 | 6,142 | ||||||
New Jersey Economic Development Authority, New Jersey American Water Company, Inc., | ||||||||
Rev., AMT, 1.10%, 11/01/2029 (z) | 2,610 | 2,597 | ||||||
Series E, Rev., AMT, 0.85%, 12/01/2025 | 2,205 | 2,197 | ||||||
New Jersey Economic Development Authority, School Facilities Construction, | ||||||||
Rev., 5.00%, 03/01/2031 | 1,190 | 1,263 | ||||||
Series GGG, Rev., 5.25%, 09/01/2026 (e) | 3,000 | 3,606 | ||||||
New Jersey Economic Development Authority, School Facilities Construction Sifma, Series I, Rev., (SIFMA Municipal Swap Index + 1.60%), 1.65%, 03/01/2028 (aa) | 10,000 | 10,135 | ||||||
New Jersey Economic Development Authority, Self Designated Social Bonds, | ||||||||
Series QQQ, Rev., 4.00%, 06/15/2034 | 500 | 591 | ||||||
Series QQQ, Rev., 4.00%, 06/15/2035 | 500 | 590 | ||||||
Series QQQ, Rev., 5.00%, 06/15/2026 | 555 | 663 | ||||||
Series QQQ, Rev., 5.00%, 06/15/2027 | 410 | 501 | ||||||
Series QQQ, Rev., 5.00%, 06/15/2028 | 400 | 499 | ||||||
New Jersey Economic Development Authority, State House Project, | ||||||||
Series B, Rev., 5.00%, 06/15/2027 | 10,690 | 13,069 | ||||||
Series B, Rev., 5.00%, 06/15/2028 | 8,635 | 10,762 | ||||||
New Jersey Educational Facilities Authority, Montclair State University, Series D, Rev., 5.00%, 07/01/2028 | 2,000 | 2,299 | ||||||
New Jersey Educational Facilities Authority, Princeton University, | ||||||||
Series A, Rev., 5.00%, 07/01/2022 | 1,710 | 1,772 | ||||||
Series B, Rev., 5.00%, 07/01/2024 | 3,505 | 3,959 | ||||||
Series I, Rev., 5.00%, 07/01/2024 | 1,290 | 1,457 | ||||||
Series I, Rev., 5.00%, 07/01/2036 | 1,015 | 1,239 | ||||||
New Jersey Health Care Facilities Financing Authority, Atlanticare Health System Obligated, Rev., 5.00%, 07/01/2032 | 2,070 | 2,745 | ||||||
New Jersey Health Care Facilities Financing Authority, Inspira Health Obligated Group, Rev., 5.00%, 07/01/2037 | 1,600 | 1,924 | ||||||
New Jersey Higher Education Student Assistance Authority, | ||||||||
Series B, Rev., AMT, 5.00%, 12/01/2024 | 570 | 647 | ||||||
Series B, Rev., AMT, 5.00%, 12/01/2027 | 1,340 | 1,632 | ||||||
Series B, Rev., AMT, 5.00%, 12/01/2028 | 1,480 | 1,835 | ||||||
Series B, Rev., AMT, 5.00%, 12/01/2029 | 1,440 | 1,810 | ||||||
New Jersey Higher Education Student Assistance Authority, Senior Bonds, Series B, Rev., AMT, 5.00%, 12/01/2024 | 300 | 341 | ||||||
New Jersey Higher Education Student Assistance Authority, Senior Student Loan, Rev., AMT, 5.00%, 12/01/2023 | 215 | 236 | ||||||
New Jersey Higher Education Student Assistance Authority, Subordinated, Series C, Rev., AMT, 4.00%, 12/01/2048 | 1,195 | 1,279 | ||||||
New Jersey Housing & Mortgage Finance Agency, Series E, Rev., 3.50%, 04/01/2051 | 3,045 | 3,364 | ||||||
New Jersey Housing & Mortgage Finance Agency, Social Bonds, Series H, Rev., 3.00%, 10/01/2052 | 840 | 924 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
New Jersey continued | ||||||||
New Jersey Transportation Trust Fund Authority, | ||||||||
Series A, Rev., 4.00%, 06/15/2035 | 2,000 | 2,371 | ||||||
Series A, Rev., 5.00%, 12/15/2028 | 300 | 378 | ||||||
Series A, Rev., 5.00%, 06/15/2030 | 3,000 | 3,853 | ||||||
Series AA, Rev., 4.00%, 06/15/2040 | 3,750 | 4,361 | ||||||
Series AA, Rev., 5.00%, 06/15/2035 | 3,000 | 3,842 | ||||||
Series AA, Rev., 5.00%, 06/15/2045 | 660 | 822 | ||||||
New Jersey Transportation Trust Fund Authority, Capital Appreciation, Series A, Rev., BAM, Zero Coupon, 12/15/2038 | 2,000 | 1,343 | ||||||
New Jersey Transportation Trust Fund Authority, Transportation System Bond, Rev., 4.00%, 12/15/2039 | 2,000 | 2,298 | ||||||
New Jersey Transportation Trust Fund Authority,Transportation System Bond, | ||||||||
Rev., 5.00%, 12/15/2028 | 1,000 | 1,259 | ||||||
Rev., 5.00%, 12/15/2031 | 1,560 | 1,972 | ||||||
New Jersey Turnpike Authority, | ||||||||
Series A, Rev., 4.00%, 01/01/2042 | 1,000 | 1,175 | ||||||
Series A, Rev., 5.00%, 01/01/2030 (p) | 1,000 | 1,036 | ||||||
Series E, Rev., 5.00%, 01/01/2027 | 1,000 | 1,216 | ||||||
Newark Board of Education, Sustainability Bonds, | ||||||||
GO, BAM, 4.00%, 07/15/2034 | 400 | 483 | ||||||
GO, BAM, 4.00%, 07/15/2035 | 410 | 493 | ||||||
GO, BAM, 4.00%, 07/15/2036 | 425 | 509 | ||||||
GO, BAM, 4.00%, 07/15/2037 | 430 | 513 | ||||||
North Hudson Sewerage Authority, Senior Lien Lease Certific, | ||||||||
Rev., AGM, 5.00%, 06/01/2039 (w) | 1,100 | 1,563 | ||||||
Rev., AGM, 5.00%, 06/01/2040 (w) | 1,100 | 1,566 | ||||||
Rev., AGM, 5.00%, 06/01/2041 (w) | 1,000 | 1,432 | ||||||
Rev., AGM, 5.00%, 06/01/2042 (w) | 1,000 | 1,440 | ||||||
Princeton, GO, 2.00%, 12/15/2023 | 1,735 | 1,800 | ||||||
Rutgers The State University of New Jersey, Series L, Rev., 5.00%, 05/01/2043 (p) | 1,805 | 1,941 | ||||||
South Jersey Port Corp., Marine Terminal, | ||||||||
Series B, Rev., AMT, 5.00%, 01/01/2025 | 500 | 565 | ||||||
Series B, Rev., AMT, 5.00%, 01/01/2026 | 1,015 | 1,183 | ||||||
South Jersey Port Corp., Marine Terminal, Subordinated, Series B, Rev., AMT, 5.00%, 01/01/2037 | 1,000 | 1,191 | ||||||
South Jersey Transportation Authority, | ||||||||
Series A, Rev., AGM, 5.00%, 11/01/2030 | 500 | 639 | ||||||
Series A, Rev., AGM, 5.00%, 11/01/2033 | 1,215 | 1,537 | ||||||
Series A, Rev., BAM, 5.00%, 11/01/2041 | 2,925 | 3,669 | ||||||
State of New Jersey, Covid-19 Emergency Bonds, General Obligations, | ||||||||
Series A, GO, 4.00%, 06/01/2030 | 2,000 | 2,438 | ||||||
Series A, GO, 4.00%, 06/01/2031 | 8,340 | 10,247 | ||||||
Series A, GO, 5.00%, 06/01/2028 | 4,245 | 5,326 | ||||||
Series A, GO, 5.00%, 06/01/2029 | 15,000 | 19,198 | ||||||
Tender Option Bond Trust Receipts/Certificates, Series 2019-XG0258, Rev., VRDO, LOC: Barclays Bank plc, LIQ: Barclays Bank plc, 0.08%, 10/07/2021 (e) (z) | 13,300 | 13,300 | ||||||
Tender Option Bond Trust Receipts/Certificates, Floaters, | ||||||||
Series 2016-XM0226, Rev., BHAC-CR, NATL-RE, LIQ: Bank of America NA, 0.00%, 07/01/2026 (e) (z) | 4,720 | 4,720 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
New Jersey continued | ||||||||
Series 2018-XX1093, Rev., VRDO, LOC: Barclays Bank plc, LIQ: Barclays Bank plc, 0.08%, 10/07/2021 (e) (z) | 9,500 | 9,500 | ||||||
Tobacco Settlement Financing Corp., Series A, Rev., 5.00%, 06/01/2022 | 2,055 | 2,116 | ||||||
|
| |||||||
214,408 | ||||||||
|
| |||||||
New Mexico 0.5% | ||||||||
Albuquerque Municipal School District No. 12, | ||||||||
Series A, GO, 5.00%, 08/01/2024 | 250 | 283 | ||||||
Series B, GO, 5.00%, 08/01/2024 | 330 | 373 | ||||||
City of Farmington, Pollution Control Revenue, Public Service Company, New Mexico Sanitary, Series E, Rev., 1.15%, 06/01/2040 (z) | 4,635 | 4,686 | ||||||
City of Farmington, San Juan And Four Corners, | ||||||||
Rev., 2.15%, 04/01/2033 (w) | 4,890 | 4,787 | ||||||
New Mexico Finance Authority,Subordinated Lien, Public Project Revolving Fund, Rev., 5.00%, 06/15/2024 | 1,000 | 1,126 | ||||||
New Mexico Hospital Equipment Loan Council, | ||||||||
Rev., 5.00%, 06/01/2030 | 1,050 | 1,340 | ||||||
Rev., 5.00%, 06/01/2032 | 1,000 | 1,263 | ||||||
New Mexico Hospital Equipment Loan Council, Presbyterian Healthcare, Rev., 4.00%, 08/01/2037 | 305 | 344 | ||||||
New Mexico Mortgage Finance Authority, | ||||||||
Series A, Rev., GNMA/FNMA/FHLMC, 3.00%, 01/01/2052 | 2,240 | 2,436 | ||||||
Series B, Rev., GNMA/FNMA/FHLMC, 3.00%, 01/01/2051 | 3,290 | 3,563 | ||||||
New Mexico Mortgage Finance Authority, Single Family Mortgage Program, | ||||||||
Rev., GNMA/FNMA/FHLMC, 3.00%, 01/01/2052 | 850 | 927 | ||||||
Series C, Rev., GNMA/FNMA/FHLMC, 4.00%, 01/01/2049 | 5,945 | 6,521 | ||||||
New Mexico Municipal Energy Acquisition Authority, | ||||||||
Series A, Rev., LIQ: Royal Bank of Canada, 4.00%, 05/01/2022 | 95 | 97 | ||||||
Series A, Rev., LIQ: Royal Bank of Canada, 5.00%, 11/01/2039 (z) | 3,925 | 4,512 | ||||||
Santa Fe Public School District, GO, 5.00%, 08/01/2029 | 1,375 | 1,733 | ||||||
|
| |||||||
33,991 | ||||||||
|
| |||||||
New York 11.0% | ||||||||
Albany County, Airport Authority, Series B, Rev., AMT, 5.00%, 12/15/2023 | 1,225 | 1,348 | ||||||
Broome County, Local Development Corp., United Health Services Hospital, | ||||||||
Rev., AGM, 4.00%, 04/01/2039 | 2,750 | 3,185 | ||||||
Rev., AGM, 5.00%, 04/01/2026 | 500 | 594 | ||||||
Build NYC Resource Corp., Rev., 5.00%, 07/01/2026 | 325 | 374 | ||||||
Build NYC Resource Corp., Academic Leadership Charter School, | ||||||||
Rev., 4.00%, 06/15/2023 | 100 | 106 | ||||||
Rev., 4.00%, 06/15/2024 | 70 | 76 | ||||||
Build NYC Resource Corp., Family Life Academy Charter, Series A1, Rev., 5.25%, 06/01/2040 (e) | 1,220 | 1,253 | ||||||
Build NYC Resource Corp., Friends of Hellenic Classical, Series A, Rev., 4.00%, 12/01/2031 (e) | 700 | 771 | ||||||
City of Long Beach, | ||||||||
Series A, GO, 5.00%, 09/01/2025 | 1,990 | 2,282 | ||||||
Series A, GO, 5.00%, 09/01/2027 | 1,500 | 1,797 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
New York continued | ||||||||
City of New York, | ||||||||
Series 1I, GO, 5.00%, 03/01/2026 | 360 | 400 | ||||||
Series A1, GO, 4.00%, 08/01/2034 | 3,000 | 3,588 | ||||||
Series A1, GO, 4.00%, 08/01/2036 | 1,000 | 1,191 | ||||||
Series A1, GO, 5.00%, 08/01/2029 | 2,900 | 3,744 | ||||||
Series A1, GO, 5.00%, 08/01/2041 | 3,000 | 3,735 | ||||||
Series A, GO, 5.00%, 08/01/2028 | 100 | 123 | ||||||
Series C1, GO, 4.00%, 08/01/2022 | 1,800 | 1,857 | ||||||
Series C, GO, 5.00%, 08/01/2022 | 60 | 62 | ||||||
Series C, GO, 5.00%, 08/01/2027 | 1,870 | 2,315 | ||||||
Series D1, GO, 5.00%, 12/01/2024 | 150 | 172 | ||||||
Series D1, GO, 5.00%, 12/01/2031 | 1,380 | 1,745 | ||||||
Series D1, GO, 5.00%, 12/01/2036 | 11,955 | 14,952 | ||||||
Series D1, GO, 5.00%, 12/01/2044 | 2,560 | 3,134 | ||||||
Series D, GO, 5.00%, 08/01/2023 | 1,000 | 1,087 | ||||||
Series E, GO, 5.00%, 08/01/2028 | 1,625 | 2,060 | ||||||
Series F1, GO, 5.00%, 04/01/2037 | 2,730 | 3,342 | ||||||
Series F1, GO, 5.00%, 04/01/2039 | 5,000 | 6,077 | ||||||
Series F1, GO, 5.00%, 03/01/2043 | 1,000 | 1,259 | ||||||
Series J3, GO, AGM, 0.18%, 06/01/2036 (z) | 2,000 | 2,000 | ||||||
Series J, GO, 5.00%, 08/01/2025 | 2,320 | 2,518 | ||||||
City of New York NY, Series C4, GO, AGC, 0.18%, 10/01/2027 (z) | 2,000 | 2,000 | ||||||
City of New York Prerefunded, Series F1, GO, 5.00%, 03/01/2037 (p) | 745 | 795 | ||||||
City of New York, Fiscal 2001, | ||||||||
Series 2, GO, VRDO, 0.13%, 10/01/2021 (z) | 1,400 | 1,400 | ||||||
Series 3, GO, VRDO, 0.13%, 10/07/2021 (z) | 1,065 | 1,065 | ||||||
City of New York, Fiscal 2008, Series J10, GO, 5.00%, 08/01/2026 | 1,755 | 2,120 | ||||||
City of New York, Fiscal 2015, Series F4, GO, 5.00%, 06/01/2044 (z) | 1,455 | 1,685 | ||||||
City of New York, Fiscal 2020, | ||||||||
Series B1, GO, 4.00%, 10/01/2023 | 990 | 1,065 | ||||||
Series B1, GO, 5.00%, 10/01/2038 | 5,000 | 6,291 | ||||||
City of New York, Fiscal 2021, | ||||||||
Series C, GO, 4.00%, 08/01/2037 | 450 | 533 | ||||||
Series C, GO, 5.00%, 08/01/2033 | 2,000 | 2,585 | ||||||
Series C, GO, 5.00%, 08/01/2035 | 4,740 | 6,085 | ||||||
City of New York, Unrefunded, Series F1, GO, 5.00%, 03/01/2037 | 5 | 5 | ||||||
County of Dutchess, Local Development Corp., Marist College Project, Series A, Rev., 5.00%, 07/01/2045 | 485 | 553 | ||||||
County of Nassau, | ||||||||
Series B, GO, BAM, 5.00%, 10/01/2027 | 1,450 | 1,754 | ||||||
Series C, GO, 5.00%, 10/01/2025 | 1,005 | 1,176 | ||||||
Dutchess County, Local Development Corp., Health Quest System, Inc. Project, Series B, Rev., 5.00%, 07/01/2046 | 1,250 | 1,458 | ||||||
Geneva Development Corp., Hobart & William Smith College, Rev., 5.00%, 09/01/2032 (p) | 530 | 553 | ||||||
Hudson Yards Infrastructure Corp., | ||||||||
Rev., 4.00%, 02/15/2044 | 9,335 | 10,484 | ||||||
Series A, Rev., 5.00%, 02/15/2026 | 1,050 | 1,247 | ||||||
Series A, Rev., 5.00%, 02/15/2045 | 2,210 | 2,600 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
New York continued | ||||||||
Long Island Power Authority, | ||||||||
Rev., 5.00%, 09/01/2042 | 2,070 | 2,497 | ||||||
Series A, Rev., 5.00%, 09/01/2037 | 1,250 | 1,613 | ||||||
Series B, Rev., 1.50%, 09/01/2051 (z) | 5,700 | 5,875 | ||||||
Series C, Rev., (ICE LIBOR USD 1 Month * 0.70 + 0.75%), 0.81%, 05/01/2033 (aa) | 5,000 | 5,016 | ||||||
Long Island Power Authority, Notes, Rev., 1.00%, 09/01/2025 | 2,680 | 2,703 | ||||||
Long Island Power Authority, Unrefunded, Series A, Rev., 5.00%, 09/01/2042 (p) | 500 | 521 | ||||||
Metropolitan Transportation Authority, | ||||||||
Rev., AGM, (United States SOFR * 0.67 + 0.55%), 0.58%, 11/01/2032 (aa) | 1,770 | 1,775 | ||||||
Rev., AGM, (United States SOFR * 0.67 + 0.80%), 0.83%, 11/01/2032 (aa) | 430 | 435 | ||||||
Series A, Rev., BAN, 4.00%, 02/01/2022 | 4,645 | 4,701 | ||||||
Series B1, Rev., BAN, 5.00%, 05/15/2022 | 4,000 | 4,115 | ||||||
Series B, Rev., 5.00%, 11/15/2024 | 1,095 | 1,237 | ||||||
Series B, Rev., 5.00%, 11/15/2025 | 540 | 626 | ||||||
Series C, Rev., 5.00%, 11/15/2022 | 1,000 | 1,051 | ||||||
Series C, Rev., 5.00%, 11/15/2047 (p) | 4,375 | 4,612 | ||||||
Series D1, Rev., BAN, 5.00%, 09/01/2022 | 3,000 | 3,126 | ||||||
Series D1, Rev., 5.00%, 11/01/2028 | 2,000 | 2,094 | ||||||
Series D, Rev., 5.00%, 11/15/2027 | 1,200 | 1,442 | ||||||
Series D, Rev., 5.00%, 11/15/2038 | 600 | 648 | ||||||
Series F, Rev., 5.00%, 11/15/2022 | 160 | 168 | ||||||
Series F, Rev., BAN, 5.00%, 11/15/2022 | 3,375 | 3,549 | ||||||
Metropolitan Transportation Authority, Build America Bonds, Rev., 6.67%, 11/15/2039 | 2,500 | 3,585 | ||||||
Metropolitan Transportation Authority, Green Bond, | ||||||||
Series A1, Rev., BAN, 5.00%, 02/01/2023 | 1,575 | 1,671 | ||||||
Series A2, Rev., 5.00%, 11/15/2024 | 1,815 | 2,050 | ||||||
Series A2, Rev., 5.00%, 11/15/2027 | 1,085 | 1,304 | ||||||
Series B, Rev., 5.00%, 11/15/2021 | 125 | 126 | ||||||
Series B, Rev., 5.00%, 11/15/2023 | 100 | 109 | ||||||
Series E, Rev., 4.00%, 11/15/2045 | 60 | 67 | ||||||
Series E, Rev., 5.00%, 11/15/2029 | 250 | 314 | ||||||
Metropolitan Transportation Authority, Green Bonds, | ||||||||
Series A2, Rev., 5.00%, 11/15/2025 | 1,000 | 1,160 | ||||||
Series B1, Rev., 5.00%, 11/15/2046 | 2,000 | 2,360 | ||||||
Series C1, Rev., 5.00%, 11/15/2024 | 340 | 384 | ||||||
Series C1, Rev., 5.00%, 11/15/2027 | 1,115 | 1,353 | ||||||
Series D1, Rev., 5.00%, 11/15/2043 | 2,000 | 2,435 | ||||||
Series D3, Rev., 4.00%, 11/15/2049 | 2,000 | 2,218 | ||||||
Metropolitan Transportation Authority, Green Bonds, Subordinated, Series B1, Rev., 5.00%, 11/15/2036 | 10,000 | 11,930 | ||||||
Metropolitan Transportation Authority, Refunding, Transportation Subordinated, Series C1, Rev., 5.00%, 11/15/2025 | 1,055 | 1,223 | ||||||
Metropolitan Transportation Authority, Transportation, | ||||||||
Series A1, Rev., 5.00%, 11/15/2044 | 4,500 | 4,839 | ||||||
Series A1, Rev., 5.25%, 11/15/2039 | 1,000 | 1,086 | ||||||
Series C1, Rev., 5.00%, 11/15/2026 | 305 | 357 | ||||||
Metropolitan Transportation Authority, Transportation Green Bonds, Series B, Rev., 5.00%, 11/15/2026 | 1,720 | 2,050 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
New York continued | ||||||||
Metropolitan Transportation Authority, Transportation, Green Bonds, Series B, Rev., 5.00%, 11/15/2022 | 605 | 636 | ||||||
Metropolitan Transportation Authority, Unrefunded Balance, Transportation, Series A, Rev., 5.00%, 11/15/2041 (p) | 4,000 | 4,022 | ||||||
Monroe County Industrial Development Corp., Rochester Regional Health Project, | ||||||||
Rev., 5.00%, 12/01/2022 | 600 | 631 | ||||||
Rev., 5.00%, 12/01/2027 | 1,000 | 1,232 | ||||||
Rev., 5.00%, 12/01/2028 | 1,700 | 2,136 | ||||||
Rev., 5.00%, 12/01/2029 | 1,900 | 2,437 | ||||||
Nassau County Interim Finance Authority, Taxable, Series B, Rev., 1.28%, 11/15/2028 | 3,000 | 2,959 | ||||||
New York City Health and Hospitals Corp., | ||||||||
Series A, Rev., 4.00%, 02/15/2025 | 1,250 | 1,394 | ||||||
Series A, Rev., 5.00%, 02/15/2024 | 270 | 299 | ||||||
Series A, Rev., 5.00%, 02/15/2025 | 1,125 | 1,292 | ||||||
Series A, Rev., 5.00%, 02/15/2026 | 6,055 | 7,174 | ||||||
Series A, Rev., 5.00%, 02/15/2027 | 5,360 | 6,523 | ||||||
Series A, Rev., 5.00%, 02/15/2028 | 3,760 | 4,683 | ||||||
Series A, Rev., 5.00%, 02/15/2029 | 2,485 | 3,159 | ||||||
New York City Housing Development Corp., Sustainability Bonds, | ||||||||
Rev., FHA, 0.70%, 11/01/2060 (z) | 9,490 | 9,508 | ||||||
Series C2, Rev., 0.23%, 05/01/2050 (z) | 385 | 385 | ||||||
Series C2, Rev., 0.70%, 11/01/2060 (z) | 1,790 | 1,795 | ||||||
Series C3-A, Rev., 0.20%, 05/01/2022 | 325 | 325 | ||||||
New York City Housing Development Corp., Sustainable Development Bonds, Series D2, Rev., FHA, 0.70%, 05/01/2060 (z) | 1,000 | 1,003 | ||||||
New York City Housing Development Corp., Sustainable Neighborhood Bonds, Rev., 1.75%, 05/01/2059 (z) | 1,000 | 1,003 | ||||||
New York City Industrial Development Agency, Queens Baseball Stadium Project, | ||||||||
Series A, Rev., AGM, 4.00%, 01/01/2032 | 1,000 | 1,219 | ||||||
Series A, Rev., AGM, 5.00%, 01/01/2025 | 250 | 286 | ||||||
Series A, Rev., AGM, 5.00%, 01/01/2027 | 625 | 758 | ||||||
Series A, Rev., AGM, 5.00%, 01/01/2029 | 1,000 | 1,269 | ||||||
Series A, Rev., AGM, 5.00%, 01/01/2030 | 1,500 | 1,940 | ||||||
New York City Industrial Development Agency, Yankee Stadium Project Pilot, | ||||||||
Rev., AGM, 4.00%, 03/01/2045 | 8,825 | 10,134 | ||||||
Rev., AGM, 5.00%, 03/01/2028 | 1,250 | 1,535 | ||||||
Rev., AGM, 5.00%, 03/01/2029 | 1,500 | 1,878 | ||||||
Rev., AGM, 5.00%, 03/01/2030 | 3,900 | 4,971 | ||||||
New York City Transitional Finance Authority Building Aid Revenue, Fiscal 2015, Subordinate, Series S, Rev., 5.00%, 07/15/2040 | 17,800 | 20,586 | ||||||
New York City Transitional Finance Authority Building Aid Revenue, Fiscal Year 2015, Series S1, Rev., 5.00%, 07/15/2035 | 585 | 669 | ||||||
New York City Transitional Finance Authority Building Aid Revenue, Subordinate, | ||||||||
Series S1, Rev., 4.00%, 07/15/2034 | 1,000 | 1,207 | ||||||
Series S1, Rev., 5.00%, 07/15/2031 | 1,590 | 2,127 | ||||||
Series S1, Rev., 5.00%, 07/15/2043 | 1,505 | 1,761 | ||||||
New York City Transitional Finance Authority Future Tax Secured, | ||||||||
Rev., 5.00%, 11/01/2028 | 1,000 | 1,277 | ||||||
Rev., 5.00%, 08/01/2029 | 5,000 | 6,485 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
New York continued | ||||||||
New York City Transitional Finance Authority Future Tax Secured Revenue, | ||||||||
Series A1, Rev., 5.00%, 05/01/2022 | 65 | 67 | ||||||
Series D, Rev., 5.00%, 11/01/2024 | 1,985 | 2,269 | ||||||
Series E1, Rev., 3.00%, 02/01/2028 | 730 | 826 | ||||||
Series E1, Rev., 5.00%, 02/01/2023 | 135 | 144 | ||||||
New York City Transitional Finance Authority Future Tax Secured Revenue, Future Tax Secured, | ||||||||
Rev., 4.00%, 11/01/2035 | 7,000 | 8,327 | ||||||
Rev., 5.00%, 11/01/2021 | 920 | 923 | ||||||
New York City Transitional Finance Authority Future Tax Secured Revenue, Subordinate, | ||||||||
Rev., 4.00%, 05/01/2038 | 2,000 | 2,352 | ||||||
Series A1, Rev., 5.00%, 08/01/2042 | 2,000 | 2,462 | ||||||
Series A3, Rev., 4.00%, 05/01/2041 | 11,000 | 12,731 | ||||||
Series B1, Rev., 4.00%, 08/01/2042 | 815 | 955 | ||||||
Series B1, Rev., 5.00%, 08/01/2034 | 795 | 1,042 | ||||||
Series C1, Rev., 5.00%, 11/01/2021 | 1,970 | 1,977 | ||||||
Series DS, Rev., 4.00%, 11/01/2038 | 4,000 | 4,704 | ||||||
New York City Transitional Finance Authority Future Tax Secured Revenue, Subordinate, Future Tax Secured, Rev., 3.75%, 11/01/2025 | 8,000 | 8,459 | ||||||
New York City Transitional Finance Authority Future Tax Secured Revenue, Subordinated, | ||||||||
Rev., 5.00%, 05/01/2031 | 1,000 | 1,316 | ||||||
Series A3, Rev., 4.00%, 05/01/2042 | 2,000 | 2,311 | ||||||
Series A3, Rev., 5.00%, 08/01/2040 | 1,720 | 2,090 | ||||||
Series C1, Rev., 5.00%, 05/01/2024 | 1,000 | 1,121 | ||||||
New York City Transitional Finance Authority Future Tax Secured, Future Tax Secured Subordinated Fiscal, Series 1, Rev., 5.00%, 11/01/2026 | 2,600 | 3,166 | ||||||
New York City Transitional Finance Authority, Future Tax Secured, Rev., 5.00%, 11/01/2026 | 375 | 457 | ||||||
New York City Transitional Finance Authority, Future Tax Secured Revenue, | ||||||||
Rev., 5.00%, 11/01/2024 | 2,755 | 3,149 | ||||||
Series I, Rev., 5.00%, 05/01/2027 | 345 | 370 | ||||||
New York City Trust for Cultural Resources, Refunding Lincoln Center, Series A, Rev., 5.00%, 12/01/2032 | 500 | 650 | ||||||
New York City Water & Sewer System, | ||||||||
Series AA2, Rev., 5.00%, 06/15/2029 | 2,850 | 3,704 | ||||||
Series BB2, Rev., 5.00%, 06/15/2027 | 1,500 | 1,776 | ||||||
Series FF, Rev., 5.00%, 06/15/2041 | 2,000 | 2,539 | ||||||
Series GG1, Rev., 5.00%, 06/15/2030 | 1,000 | 1,323 | ||||||
Series GG, Rev., 5.00%, 06/15/2039 | 2,660 | 3,065 | ||||||
New York City Water & Sewer System, Second General Resolution, | ||||||||
Rev., 5.00%, 06/15/2026 | 880 | 1,062 | ||||||
Rev., 5.00%, 06/15/2029 | 870 | 1,131 | ||||||
Rev., 5.00%, 06/15/2047 | 14,655 | 15,727 | ||||||
Series CC1, Rev., 5.00%, 06/15/2048 | 2,730 | 3,273 | ||||||
Series CC1, Rev., 5.25%, 06/15/2037 | 2,345 | 2,870 | ||||||
Series DD1, Rev., 5.00%, 06/15/2048 | 3,115 | 3,786 | ||||||
Series DD2, Rev., 5.00%, 06/15/2040 | 2,000 | 2,446 | ||||||
Series DD, Rev., 5.00%, 06/15/2047 | 6,550 | 7,844 | ||||||
Series FF, Rev., 5.00%, 06/15/2045 | 500 | 517 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
New York continued | ||||||||
New York City Water & Sewer System, Various Second General Resolution, Series BB4, Rev., VRDO, 0.08%, 10/01/2021 (z) | 2,000 | 2,000 | ||||||
New York City Water & Sewer System, Water And Sewer System Revenue Second General Resolution, Series BB2, Rev., 4.00%, 06/15/2042 | 1,180 | 1,386 | ||||||
New York City, Water & Sewer System, Series BB1, Rev., 5.00%, 06/15/2049 | 500 | 628 | ||||||
New York Liberty Development Corp., World Trade Center Project, | ||||||||
Rev., 5.75%, 11/15/2051 | 10,165 | 10,230 | ||||||
Series 1, Rev., 5.00%, 11/15/2044 (e) | 1,700 | 1,862 | ||||||
New York State Dormitory Authority, | ||||||||
Series A, Rev., 4.00%, 03/15/2039 | 1,000 | 1,180 | ||||||
Series A, Rev., 5.00%, 03/15/2024 (p) | 100 | 112 | ||||||
Series A, Rev., 5.00%, 03/15/2029 | 3,000 | 3,866 | ||||||
Series A, Rev., 5.00%, 03/15/2034 | 2,000 | 2,397 | ||||||
Series A, Rev., 5.00%, 03/15/2040 | 1,000 | 1,247 | ||||||
Series D, Rev., 4.00%, 02/15/2037 | 2,000 | 2,349 | ||||||
New York State Dormitory Authority, Conrell University, Series A, Rev., 5.00%, 07/01/2031 | 1,000 | 1,357 | ||||||
New York State Dormitory Authority, General Purpose, Series D, Rev., 5.00%, 02/15/2026 | 100 | 119 | ||||||
New York State Dormitory Authority, General Purpose, Unrefunded, Series A, Rev., 5.00%, 02/15/2022 | 250 | 254 | ||||||
New York State Dormitory Authority, Group 1, Series A, Rev., 5.00%, 03/15/2024 (p) | 2,000 | 2,231 | ||||||
New York State Dormitory Authority, Group 2, | ||||||||
Series A, Rev., 5.00%, 03/15/2033 | 2,000 | 2,593 | ||||||
Series A, Rev., 5.00%, 03/15/2036 | 2,015 | 2,528 | ||||||
New York State Dormitory Authority, Group 3, Series A, Rev., 5.00%, 03/15/2037 | 5,000 | 6,261 | ||||||
New York State Dormitory Authority, Montefiore Obligated Group, | ||||||||
Series A, Rev., 5.00%, 08/01/2025 | 2,035 | 2,353 | ||||||
Series A, Rev., 5.00%, 08/01/2026 | 900 | 1,069 | ||||||
Series A, Rev., 5.00%, 08/01/2031 | 1,010 | 1,235 | ||||||
New York State Dormitory Authority, Municipal Health Facilities, Rev., 4.00%, 01/15/2023 | 50 | 50 | ||||||
New York State Dormitory Authority, New York University, Series A, Rev., 4.00%, 07/01/2035 | 620 | 706 | ||||||
New York State Dormitory Authority, Rockefeller University, Series A, Rev., 5.00%, 07/01/2038 | 1,000 | 1,034 | ||||||
New York State Dormitory Authority, School Districts Financing Program, Series A, Rev., AGM, 5.00%, 10/01/2025 | 1,460 | 1,717 | ||||||
New York State Dormitory Authority, St Johns University, Series A, Rev., 4.00%, 07/01/2048 | 1,000 | 1,173 | ||||||
New York State Dormitory Authority, State University Dormitory Facilities, Series A, Rev., 5.00%, 07/01/2023 (p) | 150 | 155 | ||||||
New York State Dormitory Authority, State University New York Dormitory Facilities, Series B, Rev., 5.00%, 07/01/2031 | 1,365 | 1,579 | ||||||
New York State Environmental Facilities Corp., Series B, Rev., 5.00%, 06/15/2023 | 1,000 | 1,082 | ||||||
New York State Environmental Facilities Corp., Municipal Water, Subordinated, Rev., 5.00%, 06/15/2042 | 2,655 | 3,213 | ||||||
New York State Environmental Facilities Corp., Solid Waste Disposal Revenue, Casella Waste System, Inc. Project, Rev., AMT, 2.75%, 09/01/2050 (e) (z) | 250 | 262 | ||||||
New York State Housing Finance Agency, Sustainability Bonds, | ||||||||
SONYMA, Rev., 0.65%, 11/01/2056 (z) | 1,380 | 1,378 | ||||||
Series K, SONYMA, Rev., 0.70%, 11/01/2024 | 1,085 | 1,088 | ||||||
Series P, Rev., 1.55%, 11/01/2023 | 300 | 301 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
New York continued | ||||||||
New York State Thruway Authority, | ||||||||
Series A1, Rev., 5.00%, 03/15/2033 | 2,000 | 2,619 | ||||||
Series K, Rev., 5.00%, 01/01/2022 | 105 | 106 | ||||||
Series L, Rev., 5.00%, 01/01/2024 | 75 | 83 | ||||||
New York State Thruway Authority, General Revenue, Series I, Rev., 5.00%, 01/01/2032 (p) | 2,050 | 2,074 | ||||||
New York State Thruway Authority, Group 2, Series N, Rev., 4.00%, 01/01/2041 | 4,120 | 4,780 | ||||||
New York State Urban Development Corp., Series A, Rev., 4.00%, 03/15/2049 | 1,300 | 1,488 | ||||||
New York State Urban Development Corp., Personal Income Tax, | ||||||||
Rev., 4.00%, 03/15/2037 | 2,000 | 2,350 | ||||||
Rev., 4.00%, 03/15/2041 | 5,000 | 5,811 | ||||||
Rev., 5.00%, 03/15/2030 | 500 | 657 | ||||||
Series C3, Rev., 5.00%, 03/15/2038 | 1,685 | 2,052 | ||||||
New York State Urban Development Corp., State Personal Income Tax, | ||||||||
Rev., 5.00%, 03/15/2028 | 1,250 | 1,574 | ||||||
Rev., 5.00%, 03/15/2034 | 3,000 | 3,327 | ||||||
Series A, Rev., 5.00%, 03/15/2024 | 8,000 | 8,924 | ||||||
New York State Urban Development Corp., State Personal Income Tax, General Purpose, | ||||||||
Series A, Rev., 5.00%, 03/15/2042 | 5,000 | 6,140 | ||||||
Series B, Rev., 3.54%, 03/15/2028 | 7,000 | 7,795 | ||||||
New York State Urban Development Corp., State Personal Income Taxes Facilities, Rev., NATL, 5.50%, 03/15/2024 | 6,000 | 6,767 | ||||||
New York Transportation Development Corp., American Airlines, Inc., Rev., AMT, 2.25%, 08/01/2026 | 945 | 967 | ||||||
New York Transportation Development Corp., Delta Air Lines, Inc., Laguardia, Rev., AMT, 5.00%, 10/01/2035 | 10,000 | 12,480 | ||||||
New York Transportation Development Corp., Laguardia Airport Terminal B, Rev., AMT, 5.25%, 01/01/2050 | 2,000 | 2,229 | ||||||
New York Transportation Development Corp., New York State Thruway, Rev., AMT, 4.00%, 10/31/2034 | 600 | 704 | ||||||
New York Transportation Development Corp., Terminal 4 John F Kennedy International, | ||||||||
Rev., AMT, 4.00%, 12/01/2038 | 300 | 341 | ||||||
Rev., AMT, 4.00%, 12/01/2039 | 300 | 340 | ||||||
Rev., AMT, 4.00%, 12/01/2040 | 1,475 | 1,669 | ||||||
Rev., AMT, 4.00%, 12/01/2041 | 300 | 338 | ||||||
Rev., AMT, 4.00%, 12/01/2042 | 300 | 336 | ||||||
Rev., 5.00%, 12/01/2024 | 200 | 226 | ||||||
Rev., 5.00%, 12/01/2025 | 200 | 233 | ||||||
Rev., 5.00%, 12/01/2026 | 200 | 239 | ||||||
Rev., 5.00%, 12/01/2027 | 200 | 243 | ||||||
Rev., 5.00%, 12/01/2028 | 200 | 248 | ||||||
Rev., 5.00%, 12/01/2037 | 250 | 313 | ||||||
Rev., 5.00%, 12/01/2038 | 250 | 312 | ||||||
Port Authority of New York & New Jersey, | ||||||||
Series 207, Rev., AMT, 5.00%, 09/15/2031 | 5,000 | 6,140 | ||||||
Series 223, Rev., AMT, 5.00%, 07/15/2023 | 1,220 | 1,321 | ||||||
Series 226, Rev., AMT, 5.00%, 10/15/2031 | 4,500 | 5,959 | ||||||
Series 226, Rev., AMT, 5.00%, 10/15/2032 | 1,250 | 1,638 | ||||||
Port Authority of New York & New Jersey, Consolidated, | ||||||||
Series 197, Rev., AMT, 5.00%, 11/15/2032 | 3,000 | 3,587 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
New York continued | ||||||||
Series 221, Rev., AMT, 5.00%, 07/15/2031 | 1,620 | 2,086 | ||||||
Series 221, Rev., AMT, 5.00%, 07/15/2032 | 1,500 | 1,924 | ||||||
Port Authority of New York & New Jersey, Consolidated One Hundred Eighty, | ||||||||
Rev., AMT, 5.00%, 09/01/2026 | 3,000 | 3,369 | ||||||
Series 222, Rev., 4.00%, 07/15/2036 | 10,250 | 12,194 | ||||||
Series 222, Rev., 5.00%, 07/15/2034 | 5,000 | 6,464 | ||||||
State of New York Mortgage Agency, Social Bonds, | ||||||||
Series 233, Rev., 3.00%, 10/01/2045 | 5,405 | 5,875 | ||||||
Series 235, Rev., AMT, 0.30%, 10/01/2022 | 200 | 200 | ||||||
Series 235, Rev., AMT, 0.40%, 04/01/2023 | 215 | 215 | ||||||
Series 235, Rev., AMT, 0.55%, 10/01/2023 | 190 | 190 | ||||||
Tender Option Bond Trust Receipts/Certificates, Series 2020-ZF0950, Rev., VRDO, LIQ: Toronto Dominion Bank, 0.08%, 10/07/2021 (e) (z) | 7,020 | 7,020 | ||||||
Triborough Bridge & Tunnel Authority, | ||||||||
Series A1, Rev., 5.00%, 05/15/2051 | 7,175 | 9,004 | ||||||
Series A, Rev., BAN, 5.00%, 11/01/2025 | 3,165 | 3,739 | ||||||
Series A, Rev., 5.00%, 11/15/2038 | 1,000 | 1,050 | ||||||
Series A, Rev., 5.00%, 11/15/2041 | 1,975 | 2,310 | ||||||
Series A, Rev., 5.00%, 11/15/2049 | 3,040 | 3,847 | ||||||
Series A2, Rev., 2.00%, 05/15/2045 (z) | 8,250 | 8,745 | ||||||
Triborough Bridge & Tunnel Authority, MTA Bridges & Tunnels, Series C1, Rev., 5.00%, 11/15/2025 | 2,960 | 3,501 | ||||||
Triborough Bridge & Tunnel Authority, Senior Lien, | ||||||||
Rev., 5.00%, 05/15/2050 (z) | 3,000 | 3,587 | ||||||
Series C1-A, Rev., 5.00%, 05/15/2038 | 2,000 | 2,604 | ||||||
Triborough Bridge & Tunnel Authority, Subordinated, Series A, Rev., 5.00%, 11/15/2025 | 50 | 54 | ||||||
Troy Capital Resource Corp., Rensselaer Polytechnic Institute, Rev., 4.00%, 09/01/2036 | 750 | 885 | ||||||
TSASC, Inc., Series B, Rev., 5.00%, 06/01/2048 | 6,780 | 7,409 | ||||||
Utility Debt Securitization Authority, Restructuring, | ||||||||
Rev., 5.00%, 12/15/2025 | 175 | 193 | ||||||
Series TE, Rev., 5.00%, 12/15/2033 | 3,150 | 3,474 | ||||||
Westchester County Industrial Development Agency, Eg Mount Vernon Preservation, Rev., FNMA COLL, 0.30%, 12/01/2023 (z) | 1,525 | 1,525 | ||||||
Westchester County Industrial Development Agency, Marble Hall Tuckahoe Limited, Rev., FHA, 0.28%, 04/01/2024 (z) | 3,135 | 3,132 | ||||||
Western Regional Off-Track Betting Corp., Rev., 3.00%, 12/01/2026 (e) | 640 | 637 | ||||||
|
| |||||||
677,293 | ||||||||
|
| |||||||
North Carolina 1.9% | ||||||||
Burlington Housing Authority, Thetford Portfolio, Rev., 0.30%, 11/01/2024 (z) | 2,280 | 2,279 | ||||||
Charlotte-Mecklenburg Hospital Authority, Atrium Health, | ||||||||
Series B, Rev., 5.00%, 01/15/2048 (z) | 1,000 | 1,019 | ||||||
Series B, Rev., 5.00%, 01/15/2050 (z) | 8,620 | 9,854 | ||||||
Charlotte-Mecklenburg Hospital Authority, Atrium Health Obligated Group, Rev., 5.00%, 01/15/2050 (z) | 880 | 1,125 | ||||||
City of Charlotte Airport Special Facilities Revenue, Charlotte Douglas International, | ||||||||
Rev., 5.00%, 07/01/2049 | 5,000 | 6,178 | ||||||
Rev., AMT, 5.00%, 07/01/2049 | 5,000 | 6,106 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
North Carolina continued | ||||||||
City of Charlotte, 2003 Governmental Facilities Project, VRDO, COP, LIQ: Wells Fargo Bank NA, 0.04%, 10/07/2021 (z) | 2,800 | 2,800 | ||||||
City of Charlotte, Airport Special Facilities Revenue, Series B, Rev., AMT, 5.00%, 07/01/2027 | 1,315 | 1,611 | ||||||
City of Charlotte, Water & Sewer System Revenue, | ||||||||
Rev., 5.00%, 07/01/2026 | 1,340 | 1,620 | ||||||
Rev., 5.00%, 07/01/2027 | 1,000 | 1,243 | ||||||
City of Goldsboro, Grand At Day Point Project, Rev., HUD, GNMA COLL, 0.28%, 05/01/2024 (z) | 3,460 | 3,455 | ||||||
County of Wake, Rev., 5.00%, 03/01/2023 | 1,390 | 1,484 | ||||||
Durham Housing Authority, Jj Henderson, Rev., HUD, 0.30%, 06/01/2024 (z) | 1,920 | 1,917 | ||||||
Durham Housing Authority, Oakley Square Apartments Project, Series A, Rev., 0.30%, 05/01/2024 (z) | 2,000 | 2,000 | ||||||
North Carolina Capital Facilities Finance Agency, Republic Services Project A, Rev., 0.15%, 07/01/2034 (z) | 6,195 | 6,195 | ||||||
North Carolina Capital Facilities Finance Agency, Republic Services, Inc. Project, Rev., AMT, 0.18%, 06/01/2038 (z) | 6,500 | 6,499 | ||||||
North Carolina Eastern Municipal Power Agency, Prerefunded, Series A, Rev., 6.00%, 01/01/2026 (p) | 1,000 | 1,014 | ||||||
North Carolina Housing Finance Agency, | ||||||||
Series 37A, Rev., AMT, 3.50%, 07/01/2039 | 75 | 79 | ||||||
Series 44, Rev., 4.00%, 07/01/2050 | 390 | 434 | ||||||
Series 45, Rev., GNMA/FNMA/FHLMC COLL, 1.90%, 01/01/2032 | 1,650 | 1,658 | ||||||
Series 45, Rev., GNMA/FNMA/FHLMC COLL, 3.00%, 07/01/2051 | 3,710 | 4,019 | ||||||
North Carolina Housing Finance Agency, Home Ownership, Series 47, Rev., GNMA/FNMA/FHLMC COLL, 3.00%, 07/01/2051 | 4,330 | 4,725 | ||||||
North Carolina Housing Finance Agency, Wind Crest Senior Living, Rev., 0.36%, 06/01/2024 (z) | 825 | 824 | ||||||
North Carolina Medical Care Commission, Caromont Health, | ||||||||
Series A, Rev., 4.00%, 02/01/2036 | 500 | 601 | ||||||
Series B, Rev., 5.00%, 02/01/2051 (z) | 790 | 937 | ||||||
North Carolina Medical Care Commission, Lutheran Services for the Aging, Rev., 4.00%, 03/01/2041 | 1,050 | 1,149 | ||||||
North Carolina Medical Care Commission, Presbyterian Homes Obligations, | ||||||||
Series A, Rev., 4.00%, 10/01/2027 | 600 | 705 | ||||||
Series A, Rev., 4.00%, 10/01/2040 | 1,200 | 1,359 | ||||||
Series A, Rev., 4.00%, 10/01/2045 | 1,750 | 1,972 | ||||||
North Carolina Medical Care Commission, Rex Healthcare, Series A, Rev., 5.00%, 07/01/2031 | 1,760 | 2,253 | ||||||
North Carolina Medical Care Commission, The Forest at Duke Project, Rev., 4.00%, 09/01/2041 | 830 | 957 | ||||||
North Carolina Municipal Power Agency No. 1, Series B, Rev., 5.00%, 01/01/2027 (p) | 1,000 | 1,012 | ||||||
North Carolina Turnpike Authority, Rev., BAN, 5.00%, 02/01/2024 | 4,130 | 4,551 | ||||||
North Carolina Turnpike Authority, Senior Lien, Rev., AGM, 5.00%, 01/01/2038 | 2,375 | 2,932 | ||||||
North Carolina Turnpike Authority, Triangle Expressway System, Senior Lien, Rev., AGM, 5.00%, 01/01/2049 | 1,000 | 1,238 | ||||||
Raleigh Durham Airport Authority, Series A, Rev., AMT, 5.00%, 05/01/2032 | 1,200 | 1,493 | ||||||
Sanford Housing Authority, Matthews Garden Gilmore, Rev., HUD, 0.30%, 10/01/2023 (z) | 3,750 | 3,752 | ||||||
State of North Carolina, | ||||||||
Series A, GO, 5.00%, 06/01/2022 | 1,440 | 1,486 | ||||||
Series C, Rev., 5.00%, 05/01/2023 | 1,050 | 1,130 | ||||||
State of North Carolina, Build Nc Programs, Series B, Rev., 5.00%, 05/01/2027 | 2,750 | 3,398 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
North Carolina continued | ||||||||
State of North Carolina, Public Improvement, Series A, GO, 5.00%, 06/01/2024 | 1,005 | 1,131 | ||||||
University of North Carolina at Chapel Hill, Series B, Rev., (ICE LIBOR USD 1 Month * 0.67 + 0.40%), 0.46%, 12/01/2041 (aa) | 3,000 | 3,006 | ||||||
University of North Carolina at Chapel Hill Hospital, Rev., 5.00%, 02/01/2045 | 5,140 | 7,527 | ||||||
Western Carolina University, Series B, Rev., 5.00%, 04/01/2031 | 2,120 | 2,738 | ||||||
|
| |||||||
113,465 | ||||||||
|
| |||||||
North Dakota 0.3% | ||||||||
Cass County Joint Water Resource District, Series A, GO, 0.48%, 05/01/2024 | 3,635 | 3,640 | ||||||
City of Grand Forks, Altru Health System, | ||||||||
Rev., 5.00%, 12/01/2027 | 595 | 730 | ||||||
Rev., 5.00%, 12/01/2031 | 1,900 | 2,474 | ||||||
City of West Fargo, | ||||||||
Series A, GO, 2.00%, 05/01/2022 | 500 | 505 | ||||||
Series A, GO, 2.00%, 05/01/2023 | 525 | 539 | ||||||
North Dakota Housing Finance Agency, | ||||||||
Series B, Rev., 3.00%, 07/01/2051 | 2,355 | 2,550 | ||||||
Series C, Rev., 4.00%, 01/01/2050 | 945 | 1,062 | ||||||
North Dakota Housing Finance Agency, Home Mortgage Financing Program, Series A, Rev., 3.00%, 01/01/2052 | 560 | 609 | ||||||
North Dakota Housing Finance Agency, Housing Finance Program, Home Mortgage Finance, Series D, Rev., 4.25%, 01/01/2049 | 5,955 | 6,521 | ||||||
University of North Dakota, Series A, COP, AGM, 4.00%, 06/01/2046 | 1,480 | 1,693 | ||||||
West Fargo Public School District No. 6, Series C, GO, 4.00%, 08/01/2026 | 300 | 348 | ||||||
|
| |||||||
20,671 | ||||||||
|
| |||||||
Ohio 2.6% | ||||||||
Akron Bath Copley Joint Township Hospital District, Rev., 5.25%, 11/15/2046 | 1,605 | 1,890 | ||||||
Akron Bath Copley Joint Township Hospital District, Summa Health Obligations, | ||||||||
Rev., 4.00%, 11/15/2034 | 500 | 584 | ||||||
Rev., 4.00%, 11/15/2035 | 1,000 | 1,167 | ||||||
Rev., 4.00%, 11/15/2038 | 750 | 870 | ||||||
American Municipal Power, Inc., Series A, Rev., 5.25%, 02/15/2033 (p) | 2,430 | 2,475 | ||||||
Buckeye Tobacco Settlement Financing Authority, Series B2, Rev., 5.00%, 06/01/2055 | 5,000 | 5,660 | ||||||
Buckeye Tobacco Settlement Financing Authority, Capital Appreciation, Series A3, Rev., 6.25%, 06/01/2037 (p) | 2,820 | 2,933 | ||||||
Buckeye Tobacco Settlement Financing Authority, Senior, Series A2, Rev., 4.00%, 06/01/2048 | 2,210 | 2,458 | ||||||
City of Cincinnati, Water System Revenue, Series A, Rev., 5.00%, 12/01/2036 (p) | 2,500 | 2,519 | ||||||
City of Cleveland, Airport System Revenue, Series A, Rev., AGM, 5.00%, 01/01/2031 (p) | 1,000 | 1,012 | ||||||
City of Columbus, | ||||||||
Series 1, GO, 5.00%, 07/01/2026 (p) | 1,000 | 1,083 | ||||||
Series A, GO, 5.00%, 04/01/2032 | 2,200 | 2,912 | ||||||
Cleveland Department of Public Utilities, Division of Water, Series FF, Rev., 5.00%, 01/01/2026 | 300 | 356 | ||||||
Columbus-Franklin County Finance Authority, Bridge Park D Block Project, Series A, Rev., 5.00%, 12/01/2051 | 1,000 | 1,097 | ||||||
County of Allen Hospital Facilities Revenue, Catholic Health Partners, Series A, Rev., 5.00%, 05/01/2042 (p) | 1,465 | 1,506 | ||||||
County of Allen, Hospital Facilities Revenue, Series A, Rev., 5.00%, 08/01/2027 | 50 | 62 | ||||||
County of Cuyahoga, Series D, Rev., 5.00%, 12/01/2026 | 3,500 | 4,250 | ||||||
County of Franklin, Che Trinity Health Credit Group, Rev., 0.08%, 12/01/2046 (z) | 1,165 | 1,165 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Ohio continued | ||||||||
County of Geauga, South Franklin Circle Project, Series A, Rev., 8.00%, 12/31/2047 (p) (z) | 6,035 | 6,724 | ||||||
County of Hamilton, Trihealth, Inc. Obligated Group, Rev., 5.00%, 08/15/2040 | 1,510 | 1,899 | ||||||
County of Montgomery, Kettering Health Network Obligations, | ||||||||
Rev., 4.00%, 08/01/2037 | 525 | 629 | ||||||
Rev., 4.00%, 08/01/2041 | 1,200 | 1,422 | ||||||
Dayton Metro Library, Library Improvement, Series A, GO, 5.00%, 12/01/2038 (p) | 145 | 146 | ||||||
Dayton Metropolitan Housing Authority, Southern Montgomery Apartments, Rev., HUD, 0.32%, 09/01/2024 (z) | 1,505 | 1,504 | ||||||
Hamilton City School District, Various Purpose, | ||||||||
GO, 3.50%, 12/01/2031 (p) | 1,000 | 1,099 | ||||||
GO, 5.00%, 12/01/2034 (p) | 1,500 | 1,721 | ||||||
Lancaster Port Authority, Series A, Rev., LIQ: Royal Bank of Canada, 5.00%, 08/01/2049 (z) | 5,000 | 5,699 | ||||||
Miami University, Series A, Rev., 5.00%, 09/01/2031 | 600 | 806 | ||||||
Northeast Ohio Medical University, Series A, Rev., 4.00%, 12/01/2035 | 250 | 287 | ||||||
Ohio Air Quality Development Authority, American Electric Power Company, Series A, Rev., AMT, 2.10%, 01/01/2029 (z) | 1,250 | 1,295 | ||||||
Ohio Air Quality Development Authority, Ohio Valley Electric Corp., Rev., AMT, 2.50%, 11/01/2042 (z) | 1,000 | 1,084 | ||||||
Ohio Air Quality Development Authority, Ohio Vly Electric Corp. Project, | ||||||||
Rev., 1.38%, 02/01/2026 (z) | 1,875 | 1,874 | ||||||
Rev., 1.50%, 02/01/2026 (z) | 120 | 120 | ||||||
Ohio Higher Educational Facility Commission, Senior University Circle, Inc. Project, Rev., 5.00%, 01/15/2037 | 265 | 324 | ||||||
Ohio Higher Educational Facility Commission, University Of Dayton, Rev., 5.00%, 02/01/2034 | 1,125 | 1,423 | ||||||
Ohio Housing Finance Agency, Series A, Rev., GNMA/FNMA/FHLMC, 4.50%, 09/01/2048 | 1,255 | 1,395 | ||||||
Ohio Housing Finance Agency, Chevybrook Estates Apartments Project, Rev., 0.35%, 03/01/2024 (z) | 410 | 410 | ||||||
Ohio Housing Finance Agency, Franklin Manor North Project, Rev., HUD, 0.00%, 09/01/2024 (z) | 1,875 | 1,872 | ||||||
Ohio Housing Finance Agency, Glen Meadows Apartments, Rev., HUD, 0.40%, 11/01/2024 (z) | 620 | 620 | ||||||
Ohio Housing Finance Agency, Pendleton Apartments Project, Rev., HUD, 0.26%, 03/01/2025 (z) | 1,750 | 1,748 | ||||||
Ohio Housing Finance Agency, Pinzone Tower Apartments Project, Rev., HUD, 0.28%, 12/01/2023 (z) | 1,330 | 1,329 | ||||||
Ohio Housing Finance Agency, The Arts Apartments Project, Series A, Rev., HUD, 0.35%, 12/01/2023 (z) | 2,750 | 2,752 | ||||||
Ohio State University (The), Green Bonds Multiyear Debt Issue, Rev., 5.00%, 12/01/2022 | 2,000 | 2,113 | ||||||
Ohio Turnpike & Infrastructure Commission, Junior Lien, Infrastructure Project, Rev., 5.00%, 02/15/2025 | 455 | 484 | ||||||
Ohio Water Development Authority, | ||||||||
Series A, Rev., 5.00%, 06/01/2029 | 500 | 641 | ||||||
Series A, Rev., 5.00%, 12/01/2035 | 1,000 | 1,330 | ||||||
Ohio Water Development Authority Water Pollution Control Loan Fund, | ||||||||
Series B, Rev., 5.00%, 06/01/2024 | 1,000 | 1,126 | ||||||
Series B, Rev., 5.00%, 06/01/2025 | 1,300 | 1,517 | ||||||
Ohio Water Development Authority, Fresh Water, Series A, Rev., 5.00%, 06/01/2023 | 155 | 167 | ||||||
Ohio Water Development Authority, Water Pollution Control Loan Fund, Series A, Rev., VRDO, 0.04%, 10/07/2021 (z) | 3,500 | 3,500 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Ohio continued | ||||||||
State of Ohio, | ||||||||
Series A, GO, 5.00%, 09/15/2022 | 95 | 99 | ||||||
Series A, GO, 5.00%, 12/15/2022 | 75 | 79 | ||||||
Series A, GO, 5.00%, 02/01/2024 | 2,000 | 2,221 | ||||||
Series A, GO, 5.00%, 09/01/2024 | 1,500 | 1,704 | ||||||
Series A, GO, 5.00%, 02/01/2038 (p) | 3,000 | 3,576 | ||||||
State of Ohio, Cleveland Clinic Health System, | ||||||||
Rev., 5.00%, 01/01/2023 (w) | 935 | 991 | ||||||
Rev., 5.00%, 01/01/2024 (w) | 1,155 | 1,274 | ||||||
Rev., 5.00%, 01/01/2025 (w) | 1,670 | 1,911 | ||||||
Rev., 5.00%, 01/01/2026 (w) | 5,500 | 6,487 | ||||||
Rev., 5.00%, 01/01/2033 (w) | 2,410 | 3,230 | ||||||
Rev., 5.00%, 01/01/2034 (w) | 2,425 | 3,238 | ||||||
Series A, Rev., 5.00%, 01/01/2027 | 940 | 1,149 | ||||||
State of Ohio, Common School, Series A, GO, 5.00%, 06/15/2022 | 825 | 853 | ||||||
State of Ohio, Common Shares, Series C, GO, 4.00%, 09/15/2022 | 5,000 | 5,183 | ||||||
State of Ohio, Conservation Project, | ||||||||
Series B, GO, 4.00%, 03/01/2022 | 1,145 | 1,163 | ||||||
Series B, GO, 4.00%, 03/01/2023 | 1,000 | 1,054 | ||||||
State of Ohio, Conservation Projects, Series A, GO, 2.00%, 03/01/2022 | 135 | 136 | ||||||
State of Ohio, Garvee, | ||||||||
Series 1A, Rev., 5.00%, 12/15/2025 | 800 | 949 | ||||||
Series 1A, Rev., 5.00%, 12/15/2028 | 1,000 | 1,280 | ||||||
State of Ohio, Higher Education, | ||||||||
Series A, GO, 5.00%, 05/01/2025 | 320 | 372 | ||||||
Series A, GO, 5.00%, 05/01/2032 | 10,000 | 12,244 | ||||||
Series C, GO, 5.00%, 08/01/2028 | 4,000 | 5,083 | ||||||
State of Ohio, Mental Health Facilities Improvement, | ||||||||
Series A, Rev., 5.00%, 02/01/2024 | 1,045 | 1,159 | ||||||
Series A, Rev., 5.00%, 02/01/2025 | 1,000 | 1,152 | ||||||
State of Ohio, Natural Resources, Series S, GO, 5.00%, 04/01/2024 (p) | 180 | 193 | ||||||
State of Ohio, Portsmouth Bypass Project P3, Rev., AMT, 5.00%, 06/30/2022 | 160 | 165 | ||||||
State of Ohio, Premier Health Partners, | ||||||||
Rev., 4.00%, 11/15/2039 | 1,320 | 1,491 | ||||||
Rev., 4.00%, 11/15/2041 | 1,450 | 1,630 | ||||||
Rev., 5.00%, 11/15/2028 | 680 | 849 | ||||||
State of Ohio, University Hospitals Health System, Series A, Rev., 5.00%, 01/15/2041 | 1,000 | 1,156 | ||||||
Tender Option Bond Trust Receipts/Certificates, Series 2020, Rev., LIQ: Bank of America NA, 0.00%, 08/01/2037 (e) (z) | 9,560 | 9,560 | ||||||
Toledo City School District, School Facilities Improvement, | ||||||||
GO, 5.00%, 12/01/2030 (p) | 1,125 | 1,240 | ||||||
Series B, GO, 5.00%, 12/01/2024 (p) | 2,920 | 3,084 | ||||||
|
| |||||||
159,014 | ||||||||
|
| |||||||
Oklahoma 0.5% | ||||||||
Oklahoma City Economic Development Trust, Increment District #8 Project, | ||||||||
Rev., 4.00%, 03/01/2032 | 1,640 | 2,018 | ||||||
Rev., 4.00%, 03/01/2033 | 5,000 | 6,115 | ||||||
Rev., 4.00%, 03/01/2034 | 4,440 | 5,401 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Oklahoma continued | ||||||||
Oklahoma Development Finance Authority, Gilcrease Expressway West, Rev., AMT, 1.63%, 07/06/2023 | 1,100 | 1,109 | ||||||
Oklahoma Housing Finance Agency, Homeownership Loan Program, Series B, Rev., GNMA/FNMA/FHLMC, 3.25%, 09/01/2050 | 2,770 | 3,029 | ||||||
Oklahoma Turnpike Authority, Second, Series C, Rev., 5.00%, 01/01/2031 (p) | 3,000 | 3,036 | ||||||
Tulsa County Independent School District No. 1 Tulsa, Series B, GO, 2.00%, 09/01/2026 | 8,000 | 8,465 | ||||||
|
| |||||||
29,173 | ||||||||
|
| |||||||
Oregon 0.9% | ||||||||
City of Portland Sewer System Revenue, Second Lien, Series A, Rev., 4.00%, 03/01/2033 | 3,850 | 4,709 | ||||||
City of Portland Water System Revenue, Second Lien, Series A, Rev., 5.00%, 05/01/2033 | 1,825 | 2,350 | ||||||
Hospital Facilities Authority of Multnomah County Oregon, Green Bond Terwil, Rev., 0.95%, 06/01/2027 | 1,200 | 1,188 | ||||||
Jackson County School District No. 5 Ashland, GO, SCH BD GTY, 5.00%, 06/15/2030 | 1,000 | 1,289 | ||||||
Medford Hospital Facilities Authority, Asante Project, Series A, Rev., AGM, 4.00%, 08/15/2045 | 1,330 | 1,545 | ||||||
Multnomah County School District No. 1 Portland, | ||||||||
GO, SCH BD GTY, 5.00%, 06/15/2028 | 1,850 | 2,345 | ||||||
Series B, GO, SCH BD GTY, 5.00%, 06/15/2022 | 10,000 | 10,339 | ||||||
Oregon State Business Development Commission, Intel Corp. Project, Series 232, Rev., 2.40%, 12/01/2040 (z) | 200 | 207 | ||||||
Oregon State Facilities Authority, Providence Health and Services, Series A, Rev., 5.00%, 10/01/2022 | 80 | 84 | ||||||
Port of Portland Airport Revenue, | ||||||||
Series 27A, Rev., AMT, 5.00%, 07/01/2028 | 1,595 | 1,991 | ||||||
Series 27A, Rev., AMT, 5.00%, 07/01/2036 | 2,000 | 2,512 | ||||||
Port of Portland Airport Revenue, Portland International Airport, Series 25B, Rev., AMT, 5.00%, 07/01/2039 | 1,020 | 1,261 | ||||||
Salem Hospital Facility Authority, Multi Model, Salem Health Projects, Series A, Rev., 5.00%, 05/15/2023 | 100 | 107 | ||||||
State of Oregon, Series N, GO, 5.00%, 12/01/2023 | 2,070 | 2,086 | ||||||
State of Oregon Department of Transportation, Series A, Rev., 5.00%, 11/15/2025 (p) | 2,000 | 2,108 | ||||||
State of Oregon Department of Transportation, Subordinate, Series A, Rev., 5.00%, 11/15/2036 | 9,095 | 11,623 | ||||||
State of Oregon Housing & Community Services Department, Single Family Mortgage Program, Series A, Rev., 3.00%, 07/01/2052 | 650 | 709 | ||||||
State of Oregon Housing & Community Services Department, The Sunsan Emmons Apartment, Rev., HUD, 0.38%, 06/01/2024 (z) | 3,695 | 3,694 | ||||||
State of Oregon Housing & Community Services Department, Westwind Apartments Project, Rev., HUD, 0.25%, 03/01/2024 (z) | 360 | 360 | ||||||
State of Oregon, Article XI M & XI N Seismic Projects, GO, 5.00%, 06/01/2029 | 1,000 | 1,295 | ||||||
State of Oregon, Article XI Q, Series F, GO, 5.00%, 05/01/2030 | 100 | 119 | ||||||
State of Oregon, Article Xi-M & Xi-N Seismic, GO, 5.00%, 06/01/2030 | 1,995 | 2,631 | ||||||
University of Oregon, Series A, Rev., 5.00%, 04/01/2048 | 1,000 | 1,205 | ||||||
Yamhill County Hospital Authority, Friendsview, Series B3, Rev., 1.75%, 11/15/2026 | 2,000 | 2,002 | ||||||
|
| |||||||
57,759 | ||||||||
|
| |||||||
Pennsylvania 5.0% | ||||||||
Allegheny County Airport Authority, Series A, Rev., AGM, AMT, 4.00%, 01/01/2046 | 12,000 | 13,671 | ||||||
Allegheny County Airport Authority, Pittsburgh International Airport, Series B, Rev., 4.00%, 01/01/2030 (p) | 670 | 676 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Pennsylvania continued | ||||||||
Allegheny County Hospital Development Authority, Health Network Obligations, | ||||||||
Rev., 5.00%, 04/01/2033 | 1,000 | 1,221 | ||||||
Series A, Rev., 5.00%, 04/01/2047 | 3,000 | 3,568 | ||||||
Allegheny County Hospital Development Authority, University Pittsburgh Medical Center, Rev., 4.00%, 07/15/2038 | 1,375 | 1,598 | ||||||
Allegheny County, Hospital Development Authority, Health Network Obligations, Series A, Rev., 5.00%, 04/01/2023 | 1,000 | 1,069 | ||||||
Allegheny County, Hospital Development Authority, Pittsburg University Medical Center, | ||||||||
Series A, Rev., 4.00%, 07/15/2036 | 2,200 | 2,571 | ||||||
Series A, Rev., 5.00%, 07/15/2027 | 765 | 943 | ||||||
Allegheny County, Sanitary Authority, | ||||||||
Series B, Rev., 4.00%, 06/01/2035 | 400 | 484 | ||||||
Series B, Rev., 4.00%, 06/01/2036 | 675 | 814 | ||||||
Series B, Rev., 5.00%, 06/01/2030 | 500 | 643 | ||||||
Series B, Rev., 5.00%, 06/01/2032 | 550 | 727 | ||||||
Series B, Rev., 5.00%, 06/01/2033 | 600 | 787 | ||||||
Allentown Neighborhood Improvement Zone Development Authority, Forward Delivery, Rev., 5.00%, 05/01/2042 (w) | 1,000 | 1,236 | ||||||
Allentown Neighborhood Improvement Zone Development Authority, Senior Tax Revenue, Rev., 6.00%, 05/01/2042 (e) | 280 | 348 | ||||||
Bentworth School District, Series A, GO, BAM, 4.00%, 03/15/2025 | 1,380 | 1,537 | ||||||
Berks County Industrial Development Authority, Tower Health Project, | ||||||||
Rev., 4.00%, 11/01/2050 | 1,500 | 1,544 | ||||||
Rev., 5.00%, 11/01/2047 | 3,155 | 3,471 | ||||||
Bucks County, Industrial Development Authority, Waste Management, Inc. Project, Rev., AMT, 2.75%, 12/01/2022 | 100 | 103 | ||||||
Capital Region Water Water Revenue, Rev., 5.00%, 07/15/2032 | 1,000 | 1,251 | ||||||
Chester County Health and Education Facilities Authority, Main Line Health System, Series B, Rev., 5.00%, 06/01/2024 | 1,000 | 1,125 | ||||||
City of Philadelphia, | ||||||||
GO, AGM, 5.00%, 08/01/2031 | 1,795 | 2,191 | ||||||
Series A, GO, 5.00%, 08/01/2030 | 4,000 | 4,649 | ||||||
City of Philadelphia Airport Revenue, | ||||||||
Series A, Rev., 5.00%, 07/01/2047 | 5,000 | 6,051 | ||||||
Series C, Rev., AMT, 4.00%, 07/01/2050 | 1,500 | 1,693 | ||||||
Series C, Rev., AMT, 5.00%, 07/01/2028 | 10,000 | 12,473 | ||||||
City of Philadelphia, Airport Revenue, Series B, Rev., AMT, 5.00%, 07/01/2035 | 2,235 | 2,681 | ||||||
City of Philadelphia, Airport Revenue, Private Activity, Rev., AGM, AMT, 4.00%, 07/01/2046 | 1,000 | 1,146 | ||||||
City of Philadelphia, Water & Wastewater Revenue, Series A, Rev., 5.00%, 11/01/2040 | 2,790 | 3,576 | ||||||
City of Pittsburgh, | ||||||||
GO, 5.00%, 09/01/2030 | 500 | 615 | ||||||
Series B, GO, 5.00%, 09/01/2025 (p) | 3,000 | 3,133 | ||||||
Series B, GO, 5.00%, 09/01/2026 (p) | 1,000 | 1,044 | ||||||
Commonwealth Financing Authority, Series B, Rev., 5.00%, 06/01/2027 (p) | 500 | 516 | ||||||
Commonwealth of Pennsylvania, | ||||||||
Series 1, GO, 4.00%, 03/15/2034 | 5,000 | 5,537 | ||||||
Series 1, GO, 4.00%, 03/01/2035 | 3,650 | 4,213 | ||||||
Series 1, GO, 4.00%, 03/15/2035 | 2,000 | 2,212 | ||||||
Series 1, GO, 5.00%, 11/15/2026 (p) | 1,000 | 1,006 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Pennsylvania continued | ||||||||
County of Allegheny, Series C75, GO, 5.00%, 11/01/2028 | 2,305 | 2,793 | ||||||
County of Berks, GO, 4.00%, 11/15/2027 (p) | 225 | 243 | ||||||
County of Lehigh, St Lukes Hospital Project, Rev., (SIFMA Municipal Swap Index + 1.10%), 1.15%, 08/15/2038 (aa) | 355 | 364 | ||||||
Cumberland County Municipal Authority, Rev., 5.00%, 05/01/2030 | 1,000 | 1,175 | ||||||
Cumberland Valley School District, | ||||||||
GO, 5.00%, 11/15/2032 (p) | 150 | 165 | ||||||
GO, 5.00%, 11/15/2034 (p) | 140 | 154 | ||||||
Delaware River Joint Toll Bridge Commission, Series A, Rev., 5.00%, 07/01/2025 (p) | 1,020 | 1,056 | ||||||
Delaware River Port Authority, | ||||||||
Rev., 5.00%, 01/01/2030 | 2,500 | 2,760 | ||||||
Rev., 5.00%, 01/01/2037 | 3,000 | 3,294 | ||||||
Delaware Valley Regional Finance Authority, | ||||||||
Series A, Rev., AMBAC, 5.50%, 08/01/2028 | 5,000 | 6,419 | ||||||
Series C, Rev., (ICE LIBOR USD 3 Month * 0.67 + 0.75%), 0.83%, 06/01/2037 (aa) | 500 | 481 | ||||||
DuBois Hospital Authority, Penn Highlands Healthcare, | ||||||||
Rev., 4.00%, 07/15/2045 | 1,400 | 1,548 | ||||||
Rev., 5.00%, 07/15/2043 | 3,410 | 4,063 | ||||||
Emmaus General Authority, Rev., VRDO, AGM, 0.04%, 10/07/2021 (z) | 4,015 | 4,015 | ||||||
Geisinger Authority, Geisinger Health System, Series C, Rev., 5.00%, 04/01/2043 (z) | 2,630 | 3,356 | ||||||
Geisinger Authority, Geisinger Health System Obligation Group, Rev., 4.00%, 04/01/2039 | 1,000 | 1,156 | ||||||
Health Care Facilities Authority of Sayre, Guthrie Health, Rev., (ICE LIBOR USD 3 Month * 0.67 + 0.78%), 0.86%, 12/01/2024 (aa) | 1,665 | 1,669 | ||||||
Lancaster County Hospital Authority, Health Facilities St Annes, Rev., 5.00%, 04/01/2033 | 1,830 | 1,853 | ||||||
Lehigh County General Purpose Authority, Good Shepherd Group, Series A, Rev., 4.00%, 11/01/2022 | 315 | 327 | ||||||
Lehigh County Industrial Development Authority, Electricity Utilities Corp., Rev., 1.80%, 09/01/2029 (z) | 2,000 | 2,025 | ||||||
Lycoming County Authority, Pennsylvania College Technology, Rev., 5.00%, 05/01/2026 (p) | 2,000 | 2,055 | ||||||
Montgomery County Higher Education and Health Authority, Thomas Jefferson University Project, Rev., 4.00%, 09/01/2044 | 1,610 | 1,830 | ||||||
Montgomery County Industrial Development Authority, Retirement, | ||||||||
Rev., 5.00%, 11/15/2025 (p) | 1,500 | 1,545 | ||||||
Rev., 5.00%, 11/15/2028 (p) | 1,600 | 1,648 | ||||||
Montgomery County Industrial Development Authority, Retirement Life Cmntys, | ||||||||
Rev., 5.00%, 11/15/2033 | 1,500 | 1,772 | ||||||
Series C, Rev., 5.00%, 11/15/2045 | 2,585 | 3,120 | ||||||
New Castle Sanitation Authority, | ||||||||
Series A, Rev., AGM, 3.00%, 06/01/2029 | 500 | 550 | ||||||
Series A, Rev., AGM, 3.00%, 06/01/2030 | 500 | 546 | ||||||
Norristown Area School District, GO, 5.00%, 09/01/2026 | 1,500 | 1,777 | ||||||
Pennsylvania Economic Development Financing Authority, | ||||||||
Rev., AMT, 5.00%, 06/30/2022 | 1,000 | 1,034 | ||||||
Series A, Rev., 5.00%, 11/15/2023 | 1,665 | 1,829 | ||||||
Pennsylvania Economic Development Financing Authority, Bridges Finco Project, Rev., AMT, 5.00%, 06/30/2023 | 495 | 534 | ||||||
Pennsylvania Economic Development Financing Authority, Philadelphia Bioslides Facility, | ||||||||
Rev., 4.00%, 01/01/2028 | 1,590 | 1,819 | ||||||
Rev., 4.00%, 01/01/2029 | 450 | 520 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Pennsylvania continued | ||||||||
Rev., 4.00%, 01/01/2031 | 800 | 934 | ||||||
Pennsylvania Economic Development Financing Authority, PPL Energy Supply LLC, Series B, Rev., VRDO, LOC: MUFG Bank Ltd., 0.18%, 10/07/2021 (z) | 7,000 | 7,000 | ||||||
Pennsylvania Economic Development Financing Authority, Republic Services, Series B, Rev., 0.20%, 12/01/2030 (z) | 590 | 590 | ||||||
Pennsylvania Economic Development Financing Authority, Republic Services, Inc. Project, Rev., AMT, 0.23%, 06/01/2044 (z) | 11,990 | 11,990 | ||||||
Pennsylvania Economic Development Financing Authority, Upmc, Series A1, Rev., 4.00%, 04/15/2045 | 5,440 | 6,257 | ||||||
Pennsylvania Economic Development Financing Authority, Waste Management, Inc. Project, | ||||||||
Rev., AMT, (SIFMA Municipal Swap Index + 0.40%), 0.45%, 06/01/2041 (aa) | 805 | 808 | ||||||
Rev., AMT, 1.75%, 08/01/2038 (z) | 5,000 | 5,153 | ||||||
Series A, Rev., AMT, 0.58%, 08/01/2037 (z) | 2,610 | 2,598 | ||||||
Pennsylvania Higher Education Assistance Agency, | ||||||||
Series A, Rev., AMT, 2.63%, 06/01/2042 | 895 | 892 | ||||||
Series A, Rev., AMT, 5.00%, 06/01/2026 | 95 | 111 | ||||||
Pennsylvania Higher Educational Facilities Authority, Temple University, | ||||||||
Rev., 5.00%, 04/01/2035 (p) | 5,000 | 5,120 | ||||||
Rev., 5.00%, 04/01/2042 (p) | 3,025 | 3,097 | ||||||
Pennsylvania Higher Educational Facilities Authority, University Of Pennsylvania, Rev., 5.00%, 08/15/2036 | 1,935 | 2,540 | ||||||
Pennsylvania Higher Educational Facilities Authority, University Pennsylvania Health System, Series A, Rev., 4.00%, 08/15/2035 | 1,170 | 1,336 | ||||||
Pennsylvania Housing Finance Agency, Series 133, Rev., 3.00%, 10/01/2050 | 3,555 | 3,843 | ||||||
Pennsylvania Housing Finance Agency, Harrison Senior Tower, Rev., 0.25%, 06/01/2024 (z) | 2,125 | 2,120 | ||||||
Pennsylvania Housing Finance Agency, School Of Nursing, Rev., HUD, 0.27%, 08/01/2024 (z) | 3,200 | 3,194 | ||||||
Pennsylvania Housing Finance Agency, Social Bond, Series 136, Rev., 3.00%, 10/01/2051 | 1,155 | 1,248 | ||||||
Pennsylvania Housing Finance Agency, Social Bonds, Series 135A, Rev., 3.00%, 10/01/2051 | 1,145 | 1,233 | ||||||
Pennsylvania Housing Finance Agencyl, Social Bonds, | ||||||||
Series 134B, Rev., AMT, 5.00%, 04/01/2022 | 1,000 | 1,023 | ||||||
Series 134B, Rev., AMT, 5.00%, 10/01/2022 | 1,000 | 1,046 | ||||||
Pennsylvania Turnpike Commission, | ||||||||
Series A1, Rev., 5.00%, 12/01/2027 | 1,000 | 1,242 | ||||||
Series A1, Rev., 5.00%, 12/01/2031 | 250 | 308 | ||||||
Series A1, Rev., 5.00%, 12/01/2034 | 1,000 | 1,222 | ||||||
Series A1, Rev., 5.00%, 12/01/2046 | 1,000 | 1,168 | ||||||
Series A2, Rev., 5.00%, 12/01/2024 | 100 | 114 | ||||||
Series A2, Rev., 5.00%, 12/01/2025 | 1,300 | 1,534 | ||||||
Series A, Rev., 5.00%, 12/01/2044 | 2,000 | 2,491 | ||||||
Series A, Rev., AGM, 5.25%, 07/15/2028 | 300 | 384 | ||||||
Series A, Rev., 5.25%, 12/01/2044 | 2,500 | 3,166 | ||||||
Series B, Rev., 4.00%, 12/01/2036 | 1,810 | 2,158 | ||||||
Series B, Rev., 4.00%, 12/01/2037 | 2,150 | 2,552 | ||||||
Series B, Rev., 5.00%, 12/01/2022 | 400 | 422 | ||||||
Series B, Rev., 5.00%, 12/01/2026 | 400 | 486 | ||||||
Series B, Rev., 5.00%, 12/01/2027 | 900 | 1,118 | ||||||
Series B, Rev., 5.00%, 12/01/2028 | 700 | 889 | ||||||
Pennsylvania Turnpike Commission, Motor License, Rev., 5.00%, 12/01/2040 | 1,000 | 1,198 | ||||||
Pennsylvania Turnpike Commission, Senior Lien, Series A, Rev., 5.00%, 12/01/2042 (p) | 2,000 | 2,112 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Pennsylvania continued | ||||||||
Pennsylvania Turnpike Commission, Subordinate, Series A, Rev., 4.00%, 12/01/2043 | 2,135 | 2,497 | ||||||
Pennsylvania Turnpike Commission, Subordinated, | ||||||||
Series A, Rev., 5.00%, 12/01/2036 | 2,775 | 3,310 | ||||||
Series B, Rev., 5.25%, 12/01/2031 (p) | 1,000 | 1,008 | ||||||
Philadelphia Authority for Industrial Development, Rev., 5.00%, 05/01/2033 | 1,250 | 1,544 | ||||||
Philadelphia Authority for Industrial Development, String Theory Charter School, Rev., 5.00%, 06/15/2040 (e) | 900 | 1,048 | ||||||
Philadelphia Authority for Industrial Development, Thomas Jefferson, Rev., VRDO, 0.14%, 10/07/2021 (z) | 15,000 | 15,000 | ||||||
Philadelphia Authority for Industrial Development, Thomas Jefferson University, | ||||||||
Series A, Rev., 5.00%, 09/01/2032 | 1,110 | 1,327 | ||||||
Series A, Rev., 5.00%, 09/01/2035 | 1,105 | 1,320 | ||||||
Series A, Rev., 5.00%, 09/01/2047 | 1,000 | 1,181 | ||||||
Philadelphia Gas Works Co., Series A, Rev., AGM, 4.00%, 08/01/2045 | 5,000 | 5,774 | ||||||
Pittsburgh Water & Sewer Authority, | ||||||||
Series B, Rev., AGM, 4.00%, 09/01/2036 | 500 | 600 | ||||||
Series B, Rev., AGM, 4.00%, 09/01/2038 | 500 | 597 | ||||||
Series B, Rev., AGM, 4.00%, 09/01/2045 | 2,250 | 2,637 | ||||||
Series C, Rev., AGM, (SIFMA Municipal Swap Index + 0.65%), 0.70%, 09/01/2040 (aa) | 4,275 | 4,309 | ||||||
Pittsburgh Water & Sewer Authority, Subordinated, Series B, Rev., AGM, 5.00%, 09/01/2031 | 1,750 | 2,322 | ||||||
Scranton School District, Series E, GO, BAM, 4.00%, 12/01/2037 | 1,025 | 1,174 | ||||||
Sports & Exhibition Authority of Pittsburgh and Allegheny County, | ||||||||
Rev., AGM, 5.00%, 02/01/2027 | 2,250 | 2,742 | ||||||
Rev., AGM, 5.00%, 02/01/2028 | 2,590 | 3,234 | ||||||
State Public School Building Authority, Montgomery County Community College, Rev., 5.50%, 05/01/2033 (p) | 1,000 | 1,082 | ||||||
State Public School Building Authority, Northampton County Area Community, | ||||||||
Rev., BAM, 4.00%, 03/01/2029 | 1,000 | 1,179 | ||||||
Rev., BAM, 4.00%, 03/01/2030 | 640 | 748 | ||||||
Rev., BAM, 4.00%, 03/01/2031 | 500 | 583 | ||||||
Rev., BAM, 5.00%, 03/01/2027 | 715 | 860 | ||||||
Rev., BAM, 5.00%, 03/01/2028 | 755 | 929 | ||||||
State Public School Building Authority, Philadelphia Community College Project, Rev., 5.00%, 06/15/2022 | 250 | 258 | ||||||
State Public School Building Authority, Philadelphia School District, Rev., AGM, 5.00%, 06/01/2030 | 3,480 | 4,191 | ||||||
State Public School Building Authority, School District of Philadelphia, | ||||||||
Rev., 5.00%, 04/01/2024 (p) | 2,000 | 2,047 | ||||||
Rev., 5.00%, 04/01/2030 (p) | 3,000 | 3,070 | ||||||
Westmoreland County Industrial Development Authority, Excela Health Project, | ||||||||
Series A, Rev., 4.00%, 07/01/2025 | 575 | 644 | ||||||
Series A, Rev., 4.00%, 07/01/2026 | 1,250 | 1,428 | ||||||
Series A, Rev., 5.00%, 07/01/2028 | 1,400 | 1,741 | ||||||
|
| |||||||
306,699 | ||||||||
|
| |||||||
Puerto Rico 0.3% | ||||||||
Puerto Rico Electric Power Authority, | ||||||||
Series DDD, Rev., 5.00%, 07/01/2020 (d) | 570 | 556 | ||||||
Series TT, Rev., 5.00%, 07/01/2020 (d) | 270 | 263 | ||||||
Series TT, Rev., 5.00%, 07/01/2037 (d) | 1,200 | 1,173 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Puerto Rico continued | ||||||||
Series ZZ, Rev., 4.25%, 07/01/2020 (d) | 470 | 453 | ||||||
Series ZZ, Rev., 5.25%, 07/01/2019 (d) | 520 | 505 | ||||||
Series ZZ, Rev., 5.25%, 07/01/2023 (d) | 500 | 490 | ||||||
Puerto Rico Electric Power Authority, Libor, Series UU, Rev., AGM, (ICE LIBOR USD 3 Month * 0.67 + 0.52%), 0.62%, 07/01/2029 (aa) | 325 | 322 | ||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, Restructured, Series A1, Rev., Zero Coupon, 07/01/2031 | 2,825 | 2,251 | ||||||
Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue, Restructured, | ||||||||
Series A1, Rev., 4.55%, 07/01/2040 | 1,120 | 1,259 | ||||||
Series A2, Rev., 4.33%, 07/01/2040 | 9,100 | 10,091 | ||||||
|
| |||||||
17,363 | ||||||||
|
| |||||||
Rhode Island 0.1% | ||||||||
Rhode Island Housing and Mortgage Finance Corp., Homeownership Opportunity, | ||||||||
Series 73A, Rev., 0.95%, 04/01/2026 | 500 | 499 | ||||||
Series 73A, Rev., 1.10%, 04/01/2027 | 300 | 298 | ||||||
Series 73A, Rev., 1.65%, 10/01/2029 | 715 | 720 | ||||||
Series 73A, Rev., 3.00%, 10/01/2050 | 1,490 | 1,614 | ||||||
Rhode Island Housing and Mortgage Finance Corp., Social Bonds, Series 75A, Rev., 3.00%, 10/01/2051 | 4,420 | 4,822 | ||||||
Rhode Island Student Loan Authority, Senior Bond, Series A, Rev., AMT, 5.00%, 12/01/2029 | 370 | 465 | ||||||
|
| |||||||
8,418 | ||||||||
|
| |||||||
South Carolina 1.2% | ||||||||
City of Rock Hill, Combined Utility System, Rev., 5.00%, 01/01/2027 | 250 | 294 | ||||||
Columbia Housing Authority, Palmetto Terrace Apartment, Rev., 0.31%, 06/01/2024 (z) | 935 | 934 | ||||||
Lexington County Health Services District, Inc., Lexmed Obligated Group, | ||||||||
Rev., 4.00%, 11/01/2030 | 1,000 | 1,149 | ||||||
Rev., 4.00%, 11/01/2031 | 1,000 | 1,145 | ||||||
Patriots Energy Group Financing Agency, Series A, Rev., LIQ: Royal Bank of Canada, 4.00%, 10/01/2048 (z) | 40 | 43 | ||||||
South Carolina Jobs-Economic Development Authority, Bon Secours Mercy Health, Series S, Rev., 5.00%, 12/01/2048 (z) | 1,000 | 1,172 | ||||||
South Carolina Jobs-Economic Development Authority, McLeod Health Projects, Rev., 5.00%, 11/01/2048 | 1,000 | 1,193 | ||||||
South Carolina Jobs-Economic Development Authority, Prisma Health Obligated Group, Series A, Rev., 5.00%, 05/01/2030 | 1,500 | 1,851 | ||||||
South Carolina Ports Authority, Rev., AMT, 5.00%, 07/01/2043 | 5,680 | 6,887 | ||||||
South Carolina Public Service Authority, | ||||||||
Series A, Rev., 4.00%, 12/01/2033 | 1,000 | 1,195 | ||||||
Series A, Rev., 4.00%, 12/01/2034 | 2,000 | 2,383 | ||||||
Series A, Rev., 5.00%, 12/01/2024 | 500 | 572 | ||||||
Series A, Rev., 5.00%, 12/01/2025 | 1,000 | 1,181 | ||||||
Series A, Rev., 5.00%, 12/01/2027 | 1,525 | 1,893 | ||||||
Series A, Rev., 5.00%, 12/01/2028 | 1,700 | 1,953 | ||||||
Series A, Rev., 5.00%, 12/01/2031 | 4,500 | 5,865 | ||||||
Series A, Rev., 5.00%, 12/01/2032 | 1,000 | 1,297 | ||||||
Series A, Rev., 5.00%, 12/01/2050 | 5,000 | 5,677 | ||||||
Series B, Rev., 5.00%, 12/01/2041 | 1,000 | 1,186 | ||||||
Series C, Rev., 5.00%, 12/01/2021 | 500 | 504 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
South Carolina continued | ||||||||
South Carolina Public Service Authority, Santee Cooper, Series A, Rev., 5.75%, 12/01/2043 (p) | 4,445 | 4,968 | ||||||
South Carolina Public Service Authority, Santee Cooper Project, | ||||||||
Series C, Rev., 5.00%, 12/01/2036 | 715 | 720 | ||||||
Series D, Rev., 5.00%, 12/01/2043 (p) | 3,125 | 3,225 | ||||||
South Carolina State Housing Finance & Development Authority, | ||||||||
Series A, Rev., 3.00%, 01/01/2052 | 1,590 | 1,738 | ||||||
Series A, Rev., 4.00%, 07/01/2050 | 3,215 | 3,598 | ||||||
Series B, Rev., 3.25%, 01/01/2052 | 8,065 | 8,802 | ||||||
South Carolina State Housing Finance & Development Authority, James Lewis Jr. Eastside, Rev., FNMA COLL, 0.30%, 09/01/2024 (z) | 2,190 | 2,183 | ||||||
South Carolina Transportation Infrastructure Bank, Series 2, Rev., (ICE LIBOR USD 1 Month * 0.67 + 0.45%), 0.51%, 10/01/2031 (aa) | 6,885 | 6,885 | ||||||
South Carolina Transportation Infrastructure Bank, Unrefunded, Series 20, Rev., (ICE LIBOR USD 1 Month * 0.67 + 0.45%), 0.51%, 10/01/2031 (aa) | 115 | 115 | ||||||
Spartanburg Housing Authority, Hickory Heights And Oakland, Rev., HUD, 0.29%, 10/01/2024 (z) | 3,790 | 3,785 | ||||||
|
| |||||||
74,393 | ||||||||
|
| |||||||
South Dakota 0.1% | ||||||||
County of Lincoln, Augustana College Associat, Rev., 4.00%, 08/01/2041 | 250 | 279 | ||||||
Harrisburg School District No. 41-2, GO, 4.50%, 07/15/2036 (p) | 1,000 | 1,012 | ||||||
South Dakota Housing Development Authority, Homeownership Mortgage, Series B, Rev., 3.00%, 11/01/2051 | 3,080 | 3,356 | ||||||
|
| |||||||
4,647 | ||||||||
|
| |||||||
Tennessee 1.3% | ||||||||
Chattanooga Health Educational & Housing Facility Board, Battery Heights Apartments, Rev., 0.20%, 08/01/2024 (z) | 1,020 | 1,018 | ||||||
Chattanooga Health Educational & Housing Facility Board, Commonspirit Health, Series A1, Rev., 5.00%, 08/01/2028 | 305 | 383 | ||||||
City of Clarksville Water Sewer & Gas Revenue, Series A, Rev., 5.00%, 02/01/2028 | 1,000 | 1,254 | ||||||
City of Knoxville, Wastewater System Revenue, | ||||||||
Series A, Rev., 5.00%, 04/01/2028 | 2,000 | 2,527 | ||||||
Series A, Rev., 5.00%, 04/01/2032 | 2,000 | 2,737 | ||||||
City of Memphis, Gas System Revenue, Rev., 4.00%, 12/01/2045 | 2,175 | 2,573 | ||||||
City of Memphis, Sanitary Sewerage System Revenue, | ||||||||
Series B, Rev., 5.00%, 10/01/2022 | 1,430 | 1,499 | ||||||
Series B, Rev., 5.00%, 10/01/2023 | 1,000 | 1,095 | ||||||
Series B, Rev., 5.00%, 10/01/2027 | 1,000 | 1,246 | ||||||
County of Coffee, GO, 5.00%, 06/01/2026 | 250 | 300 | ||||||
Greeneville Health & Educational Facilities Board, People Road Portfolio Project, Rev., 1.45%, 12/01/2022 (z) | 1,115 | 1,117 | ||||||
Health Educational and Housing Facility Board of the City of Memphis, Memphis Towers Apartments, Rev., 0.25%, 12/01/2023 (z) | 3,875 | 3,879 | ||||||
Knoxvilles Community Development Corp., Austin 1B Apartments Project, Rev., 0.22%, 10/01/2024 (z) | 320 | 319 | ||||||
Memphis-Shelby County Airport Authority, | ||||||||
Rev., AMT, 5.00%, 07/01/2032 | 270 | 331 | ||||||
Rev., AMT, 5.00%, 07/01/2043 | 2,055 | 2,458 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Tennessee continued | ||||||||
Metropolitan Government Nashville & Davidson County Health & Educational Facs Bd, Vanderbilt University Medical Center, Series A, Rev., 5.00%, 07/01/2040 | 2,685 | 3,164 | ||||||
Metropolitan Government Nashville & Davidson County Industrial Development Board, Waste Management, Inc. Tenn Project, Rev., AMT, 0.58%, 08/01/2031 (z) | 600 | 597 | ||||||
Metropolitan Government of Nashville & Davidson County, Electric Revenue, Series A, Rev., 5.00%, 05/15/2030 | 1,000 | 1,318 | ||||||
Metropolitan Government of Nashville & Davidson County, Improvement, Series A, GO, 5.00%, 01/01/2025 (p) | 1,400 | 1,484 | ||||||
Metropolitan Government of Nashville & Davidson County, Water & Sewer Revenue, Rev., 5.00%, 07/01/2025 | 560 | 606 | ||||||
Metropolitan Nashville Airport Authority, Subordinated, Series A, Rev., 5.00%, 07/01/2054 | 1,000 | 1,231 | ||||||
State of Tennessee, Series A, GO, 5.00%, 08/01/2035 (p) | 2,250 | 2,640 | ||||||
Tennergy Corp., Series A, Rev., 4.00%, 12/01/2051 (z) | 12,500 | 14,738 | ||||||
Tennessee Energy Acquisition Corp., | ||||||||
Rev., 4.00%, 11/01/2049 (z) | 3,250 | 3,642 | ||||||
Rev., 5.00%, 05/01/2052 (z) | 14,595 | 19,033 | ||||||
Tennessee Energy Acquisition Corp., Junior, Series B, Rev., 5.63%, 09/01/2026 | 1,410 | 1,708 | ||||||
Tennessee Housing Development Agency, Residental Financial Program, Rev., 3.00%, 07/01/2051 | 460 | 500 | ||||||
Tennessee Housing Development Agency, Residential Finance Program Bonds, Rev., 4.00%, 01/01/2048 | 2,700 | 3,003 | ||||||
|
| |||||||
76,400 | ||||||||
|
| |||||||
Texas 11.1% | ||||||||
Abilene Independent School District, School Building, GO, PSF-GTD, 5.00%, 02/15/2024 (p) | 2,800 | 2,983 | ||||||
Alamito Public Facility Corp., Hacep Rad Convertible Program Cramer, Rev., 0.25%, 11/01/2021 | 10,000 | 10,000 | ||||||
Angleton Independent School District, GO, PSF-GTD, 4.00%, 02/15/2022 | 2,880 | 2,919 | ||||||
Argyle Independent School District, Series A, GO, PSF-GTD, 5.00%, 08/15/2027 | 1,000 | 1,237 | ||||||
Arlington Higher Education Finance Corp., | ||||||||
Series A, Rev., PSF-GTD, 4.00%, 08/15/2024 | 200 | 220 | ||||||
Series A, Rev., PSF-GTD, 4.00%, 08/15/2025 | 445 | 502 | ||||||
Series A, Rev., PSF-GTD, 4.00%, 08/15/2026 | 265 | 305 | ||||||
Series A, Rev., PSF-GTD, 4.00%, 08/15/2030 | 425 | 517 | ||||||
Series A, Rev., PSF-GTD, 5.00%, 08/15/2031 | 555 | 736 | ||||||
Austin Affordable Public Facility Corp., Inc., Bridge at Turtle Creek, Rev., 0.42%, 12/01/2040 (z) | 6,000 | 6,005 | ||||||
Austin Community College District, Maintenance Tax Notes, GO, 5.00%, 08/01/2022 | 250 | 260 | ||||||
Austin Independent School District, | ||||||||
GO, PSF-GTD, 5.00%, 08/01/2026 | 1,250 | 1,509 | ||||||
GO, PSF-GTD, 5.00%, 08/01/2027 | 2,000 | 2,477 | ||||||
GO, PSF-GTD, 5.00%, 08/01/2028 | 1,000 | 1,269 | ||||||
Azle Independent School District, GO, PSF-GTD, 5.00%, 02/15/2025 | 1,000 | 1,151 | ||||||
Balmorhea Independent School District, Series A, GO, PSF-GTD, 4.00%, 02/15/2050 | 2,500 | 2,647 | ||||||
Barbers Hill Independent School District, GO, PSF-GTD, 5.00%, 02/15/2029 | 4,370 | 5,609 | ||||||
Bastrop Independent School District, GO, PSF-GTD, 5.00%, 02/15/2025 | 1,565 | 1,806 | ||||||
Bexar County Hospital District, Certificates Obligation, GO, 5.00%, 02/15/2031 | 1,000 | 1,272 | ||||||
Board of Regents of the University of Texas System, | ||||||||
Series A, Rev., 5.00%, 08/15/2030 | 2,000 | 2,636 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Texas continued | ||||||||
Series E, Rev., 5.00%, 08/15/2027 | 1,000 | 1,239 | ||||||
Boerne Public Facilities Corp., Liv At Boerne Senior Apartments, Rev., 2.75%, 11/01/2022 (z) | 100 | 100 | ||||||
Boerne School District, School Building, GO, PSF-GTD, 5.00%, 02/01/2043 (p) | 1,800 | 1,829 | ||||||
Brazoria County Toll Road Authority, Subordinated Lien, Series A, Rev., CNTY GTD, 5.00%, 03/01/2033 | 1,670 | 2,016 | ||||||
Brazosport Independent School District, | ||||||||
GO, PSF-GTD, 5.00%, 02/15/2022 | 6,000 | 6,106 | ||||||
GO, PSF-GTD, 5.00%, 02/15/2027 | 2,500 | 3,064 | ||||||
GO, PSF-GTD, 5.00%, 02/15/2028 | 2,500 | 3,142 | ||||||
GO, PSF-GTD, 5.00%, 02/15/2029 | 3,000 | 3,856 | ||||||
GO, PSF-GTD, 5.00%, 02/15/2030 | 3,000 | 3,831 | ||||||
Cameron County Housing Finance Corp., Sunfield Country Apartments, Rev., 0.28%, 02/01/2024 (z) | 415 | 414 | ||||||
Capital Area Housing Finance Corp., Grand Avenue Flats, Rev., 0.29%, 08/01/2039 (z) | 2,015 | 2,007 | ||||||
Capital Area Housing Finance Corp., Redwood Apartments, Rev., 0.41%, 01/01/2041 (z) | 9,205 | 9,215 | ||||||
Carrollton-Farmers Branch Independent School District, GO, PSF-GTD, 5.00%, 02/15/2023 | 935 | 996 | ||||||
Central Texas Regional Mobility Authority, | ||||||||
Series B, Rev., 4.00%, 01/01/2040 | 800 | 926 | ||||||
Series B, Rev., 4.00%, 01/01/2051 | 1,250 | 1,415 | ||||||
Series B, Rev., 5.00%, 01/01/2046 | 1,500 | 1,870 | ||||||
Central Texas Regional Mobility Authority, Senior Lien, | ||||||||
Series B, Rev., 4.00%, 01/01/2039 | 600 | 688 | ||||||
Series B, Rev., 4.00%, 01/01/2040 | 500 | 573 | ||||||
Series B, Rev., 5.00%, 01/01/2024 | 230 | 253 | ||||||
Series B, Rev., 5.00%, 01/01/2045 | 3,595 | 4,401 | ||||||
Series E, Rev., 5.00%, 01/01/2045 | 2,665 | 3,263 | ||||||
Central Texas Regional Mobility Authority, Subordinated, Series F, Rev., BAN, 5.00%, 01/01/2025 | 4,770 | 5,330 | ||||||
Central Texas Regional Mobility Authority, Subordinated Lien, Rev., 5.00%, 01/01/2042 (p) | 3,000 | 3,179 | ||||||
Central Texas Turnpike System, First Tier, Series A, Rev., 5.00%, 08/15/2041 (p) | 7,045 | 7,341 | ||||||
City Austin, Certificates Obligation, | ||||||||
GO, 5.00%, 09/01/2032 | 1,750 | 2,304 | ||||||
GO, 5.00%, 09/01/2033 | 1,100 | 1,444 | ||||||
GO, 5.00%, 09/01/2034 | 1,750 | 2,289 | ||||||
City of Arlington, Water & Wastewater System Revenue, Rev., 5.00%, 06/01/2023 | 1,020 | 1,101 | ||||||
City of Austin, GO, 5.00%, 11/01/2021 | 1,520 | 1,526 | ||||||
City of Austin Water & Wastewater System Revenue, Series C, Rev., 5.00%, 11/15/2032 | 1,000 | 1,312 | ||||||
City of Austin, Airport System Revenue, | ||||||||
Rev., AMT, 5.00%, 11/15/2025 | 3,000 | 3,521 | ||||||
Series B, Rev., AMT, 5.00%, 11/15/2030 | 1,000 | 1,274 | ||||||
Series B, Rev., AMT, 5.00%, 11/15/2033 | 1,130 | 1,344 | ||||||
Series B, Rev., AMT, 5.00%, 11/15/2036 | 3,335 | 4,050 | ||||||
City of Austin, Electric Utility Revenue, | ||||||||
Series B, Rev., 5.00%, 11/15/2037 | 1,505 | 1,918 | ||||||
Series B, Rev., 5.00%, 11/15/2038 | 1,340 | 1,705 | ||||||
Series B, Rev., 5.00%, 11/15/2044 | 2,000 | 2,516 | ||||||
City of Austin, Refunding & Public Improvement, GO, 5.00%, 09/01/2033 | 620 | 814 | ||||||
City of Austin, Water & Wastewater System Revenue, Rev., 5.00%, 11/15/2041 | 7,000 | 8,389 | ||||||
City of Dallas Housing Finance Corp., Midpark Towers, Rev., 0.35%, 01/01/2024 (z) | 1,380 | 1,380 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Texas continued | ||||||||
City of Dallas, Waterworks & Sewer System Revenue, | ||||||||
Series C, Rev., 4.00%, 10/01/2039 | 7,470 | 8,962 | ||||||
Series C, Rev., 4.00%, 10/01/2040 | 1,000 | 1,196 | ||||||
Series C, Rev., 5.00%, 10/01/2029 | 1,125 | 1,464 | ||||||
Series C, Rev., 5.00%, 10/01/2032 | 3,450 | 4,545 | ||||||
City of Denton Utility System Revenue, Rev., 5.00%, 12/01/2022 | 1,000 | 1,054 | ||||||
City of Eagle Pass, Certificates Obligation, | ||||||||
GO, AGM, 4.00%, 03/01/2039 | 500 | 595 | ||||||
GO, AGM, 4.00%, 03/01/2041 | 680 | 806 | ||||||
City of Garland, Certificates Obligation, GO, 5.00%, 02/15/2024 | 275 | 305 | ||||||
City of Houston Airport System Revenue, Subordinated Lien, | ||||||||
Series A, Rev., AMT, 4.00%, 07/01/2040 | 3,570 | 4,114 | ||||||
Series A, Rev., AMT, 5.00%, 07/01/2023 (p) | 10,000 | 10,353 | ||||||
Series A, Rev., AMT, 5.00%, 07/01/2024 | 1,000 | 1,123 | ||||||
Series A, Rev., AMT, 5.00%, 07/01/2028 | 1,000 | 1,250 | ||||||
Series A, Rev., AMT, 5.00%, 07/01/2034 | 2,500 | 3,168 | ||||||
Series B, Rev., 5.00%, 07/01/2027 | 1,995 | 2,464 | ||||||
City of Houston Airport System Revenue, United Airlines, Inc. Termin, Rev., AMT, 4.00%, 07/01/2041 | 2,615 | 2,781 | ||||||
City of Houston Combined Utility System Revenue, First Lien, Series A, Rev., 4.00%, 11/15/2033 | 1,200 | 1,481 | ||||||
City of Houston Hotel Occupancy Tax & Special Revenue, Convention & Entertainment, | ||||||||
Rev., 4.00%, 09/01/2022 | 50 | 52 | ||||||
Rev., 4.00%, 09/01/2023 | 50 | 53 | ||||||
Rev., 4.00%, 09/01/2024 | 150 | 165 | ||||||
Rev., 4.00%, 09/01/2025 | 45 | 50 | ||||||
Rev., 4.00%, 09/01/2029 | 280 | 334 | ||||||
City of Houston, Airport System Revenue, Series C, Rev., AMT, 5.00%, 07/01/2028 | 470 | 588 | ||||||
City of Houston, Airport System Revenue, Special Facilities, United Airlines, Inc., Rev., AMT, 5.00%, 07/15/2028 | 600 | 711 | ||||||
City of Houston, Airport System Revenue, Subordinated Lien, | ||||||||
Series A, Rev., AMT, 5.00%, 07/01/2028 | 890 | 1,113 | ||||||
Series B, Rev., 5.00%, 07/01/2026 | 1,000 | 1,203 | ||||||
Series B, Rev., 5.00%, 07/01/2030 | 1,000 | 1,311 | ||||||
City of Houston, Combined Utility System Revenue, First Lien, | ||||||||
Series A, Rev., 5.00%, 11/15/2029 | 1,100 | 1,434 | ||||||
Series A, Rev., 5.00%, 11/15/2030 | 1,000 | 1,329 | ||||||
Series C, Rev., 5.00%, 11/15/2029 | 2,850 | 3,716 | ||||||
Series D, Rev., 5.00%, 11/15/2026 (p) | 460 | 463 | ||||||
City of Justin, Timberbrook Public Improvement, Special Assessment, 3.00%, 09/01/2031 (e) | 315 | 310 | ||||||
City of Kyle, 6 Creeks Public Improvement, Special Assessment, 2.63%, 09/01/2025 (e) | 500 | 502 | ||||||
City of Laredo, Certificates Obligation, GO, 5.00%, 02/15/2033 | 1,070 | 1,287 | ||||||
City of Lubbock Electric Light & Power System Revenue, | ||||||||
Rev., 5.00%, 04/15/2026 | 800 | 955 | ||||||
Rev., 5.00%, 04/15/2027 | 785 | 962 | ||||||
Rev., 5.00%, 04/15/2028 | 900 | 1,128 | ||||||
City of Lubbock Water & Wastewater System, | ||||||||
Series B, Rev., 5.00%, 02/15/2023 | 400 | 426 | ||||||
Series B, Rev., 5.00%, 02/15/2024 | 490 | 544 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Texas continued | ||||||||
City of Mesquite, Waterworks & Sewer System Revenue, Rev., 4.00%, 03/01/2023 | 1,130 | 1,190 | ||||||
City of Palestine, Certificates Obligation, GO, AGM, 4.00%, 02/15/2046 (w) | 5,000 | 5,639 | ||||||
City of San Antonio, GO, 5.00%, 02/01/2022 | 550 | 559 | ||||||
City of San Antonio Electric & Gas Systems Revenue, Rev., 4.00%, 02/01/2030 | 1,660 | 2,036 | ||||||
City of San Antonio Electric & Gas Systems Revenue, Junior Lien, | ||||||||
Rev., 5.00%, 02/01/2048 (p) | 3,660 | 3,890 | ||||||
Series D, Rev., 1.13%, 12/01/2045 (z) | 6,510 | 6,595 | ||||||
City of San Antonio, Electric & Gas Systems Revenue, | ||||||||
Rev., 4.00%, 02/01/2027 | 3,000 | 3,514 | ||||||
Series B, Rev., 2.00%, 02/01/2033 (z) | 1,370 | 1,372 | ||||||
City of San Antonio, Electric & Gas Systems Revenue, Junior Lien, | ||||||||
Rev., 5.00%, 02/01/2043 (p) | 4,350 | 4,623 | ||||||
Series A, Rev., 5.00%, 02/01/2038 | 1,750 | 2,262 | ||||||
City of San Antonio, General Improvement, GO, 5.00%, 02/01/2023 (p) | 1,240 | 1,260 | ||||||
Clear Creek Independent School District, GO, PSF-GTD, 0.28%, 02/15/2038 (z) | 610 | 608 | ||||||
Cleburne Independent School District, School Building, GO, PSF-GTD, 5.00%, 02/15/2036 | 1,065 | 1,248 | ||||||
Clifton Higher Education Finance Corp., Idea Public Schools, Rev., PSF-GTD, 5.00%, 08/15/2026 | 1,840 | 2,217 | ||||||
Clifton Higher Education Finance Corp., International Leadership of Texas, | ||||||||
Rev., PSF-GTD, 4.00%, 08/15/2023 | 75 | 80 | ||||||
Rev., PSF-GTD, 4.00%, 08/15/2024 | 115 | 127 | ||||||
Rev., PSF-GTD, 4.00%, 08/15/2025 | 145 | 163 | ||||||
College Station Independent School District, GO, PSF-GTD, 5.00%, 08/15/2024 | 2,285 | 2,590 | ||||||
Conroe Independent School District, | ||||||||
Series A, GO, PSF-GTD, 5.00%, 02/15/2024 | 750 | 834 | ||||||
Series A, GO, PSF-GTD, 5.00%, 02/15/2026 | 2,450 | 2,919 | ||||||
County of Bexar, | ||||||||
GO, 4.00%, 06/15/2040 | 11,085 | 12,243 | ||||||
GO, 5.00%, 06/15/2031 | 1,500 | 1,794 | ||||||
County of Bexar, Certificates Obligation, | ||||||||
Series A, GO, 4.00%, 06/15/2036 (p) | 1,145 | 1,219 | ||||||
Series B, GO, 5.00%, 06/15/2043 (p) | 1,000 | 1,081 | ||||||
County of El Paso, Series A, GO, 5.00%, 02/15/2027 | 1,430 | 1,699 | ||||||
County of Harris, | ||||||||
Series A, GO, 5.00%, 10/01/2022 | 4,615 | 4,834 | ||||||
Series A, GO, 5.00%, 10/01/2024 | 3,500 | 3,986 | ||||||
Series A, GO, 5.00%, 10/01/2029 | 1,150 | 1,493 | ||||||
County of Harris, Road Bonds, Series A, GO, 5.00%, 10/01/2022 | 1,185 | 1,242 | ||||||
County of Harris, Cultural Education Facilities Finance Corp., Teco Project, Rev., 5.00%, 11/15/2022 | 1,000 | 1,052 | ||||||
County of Harris, Flood Control District, Series A, GO, 4.00%, 10/01/2036 | 2,800 | 3,347 | ||||||
County of Harris, Refunding Road, Series A, GO, 5.00%, 10/01/2029 | 1,090 | 1,281 | ||||||
County of Harris, Senior Lien Toll Road, Rev., 5.00%, 08/15/2024 | 1,035 | 1,174 | ||||||
County of Nueces, GO, 5.00%, 02/15/2029 | 460 | 589 | ||||||
County of Williams, GO, 5.00%, 02/15/2027 | 1,000 | 1,226 | ||||||
Crowley Independent School District, School Building, GO, PSF-GTD, 5.00%, 08/01/2045 (p) | 2,000 | 2,342 | ||||||
Cypress-Fairbanks Independent School District, School Building, Series B2, GO, PSF-GTD, 0.28%, 02/15/2040 (z) | 3,555 | 3,540 | ||||||
Dallas Area Rapid Transit, Series A, Rev., 5.00%, 12/01/2046 | 5,000 | 5,816 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Texas continued | ||||||||
Dallas Area Rapid Transit, Senior Lien, Rev., 5.00%, 12/01/2032 | 1,000 | 1,292 | ||||||
Dallas Fort Worth International Airport, | ||||||||
Series B, Rev., 4.00%, 11/01/2034 | 1,395 | 1,666 | ||||||
Series B, Rev., AMT, 4.50%, 11/01/2045 | 1,000 | 1,042 | ||||||
Series E, Rev., 5.00%, 11/01/2023 | 1,000 | 1,051 | ||||||
Dallas Fort Worth International Airport, Joint Improvement, | ||||||||
Series D, Rev., AMT, 5.00%, 11/01/2038 (p) | 210 | 211 | ||||||
Series D, Rev., AMT, 5.00%, 11/01/2042 (p) | 11,550 | 11,591 | ||||||
Dallas Independent School District, | ||||||||
GO, PSF-GTD, 4.00%, 02/15/2022 | 1,510 | 1,531 | ||||||
Series A, GO, PSF-GTD, 5.00%, 08/15/2023 | 130 | 142 | ||||||
Series A, GO, PSF-GTD, 5.00%, 08/15/2034 (p) | 1,000 | 1,134 | ||||||
Dallas/Fort Worth, International Airport, Series C, Rev., AMT, 5.13%, 11/01/2043 | 350 | 368 | ||||||
Deer Park Independent School District, GO, PSF-GTD, 0.16%, 10/01/2042 (w) (z) | 2,005 | 2,004 | ||||||
Del Valle Independent School District, | ||||||||
GO, PSF-GTD, 4.00%, 06/15/2031 | 3,085 | 3,772 | ||||||
GO, PSF-GTD, 4.00%, 06/15/2032 | 3,405 | 4,139 | ||||||
GO, PSF-GTD, 4.00%, 06/15/2033 | 5,740 | 6,938 | ||||||
GO, PSF-GTD, 4.00%, 06/15/2034 | 3,280 | 3,948 | ||||||
GO, PSF-GTD, 5.00%, 06/15/2026 | 1,750 | 2,103 | ||||||
Denton Independent School District, GO, PSF-GTD, 5.00%, 08/15/2027 | 1,000 | 1,240 | ||||||
Eagle Mountain & Saginaw Independent School District, GO, PSF-GTD, 5.00%, 08/15/2026 | 1,000 | 1,209 | ||||||
El Paso Independent School District, Maintenance Tax Notes, GO, 2.00%, 02/01/2040 (z) | 1,040 | 1,071 | ||||||
Farmersville Independent School District, GO, PSF-GTD, 5.00%, 02/15/2023 | 465 | 495 | ||||||
Fort Bend Independent School District, | ||||||||
GO, PSF-GTD, 5.00%, 08/15/2023 | 1,190 | 1,296 | ||||||
Series B, GO, PSF-GTD, 0.72%, 08/01/2051 (z) | 2,745 | 2,743 | ||||||
Series B, GO, PSF-GTD, 0.88%, 08/01/2050 (z) | 875 | 884 | ||||||
Frisco Independent School District, GO, PSF-GTD, 3.00%, 02/15/2022 | 1,625 | 1,642 | ||||||
Frisco Independent School District, school Building, Series A, GO, PSF-GTD, 4.00%, 08/15/2032 | 2,140 | 2,418 | ||||||
Galveston Public Facility Corp., The Oleanders At Broadway, Rev., HUD, 0.47%, 08/01/2025 (z) | 1,110 | 1,108 | ||||||
Garland Independent School District, GO, PSF-GTD, 5.00%, 02/15/2023 | 4,000 | 4,263 | ||||||
Goose Creek Consolidated Independent School District, | ||||||||
GO, PSF-GTD, 5.00%, 02/15/2022 | 1,000 | 1,018 | ||||||
GO, PSF-GTD, 5.00%, 02/15/2026 | 900 | 1,071 | ||||||
Series A, GO, PSF-GTD, 5.00%, 02/15/2028 | 2,000 | 2,372 | ||||||
Series B, GO, PSF-GTD, 0.00%, 10/01/2049 (w) (z) | 1,115 | 1,114 | ||||||
Series B, GO, PSF-GTD, 0.60%, 02/15/2035 (z) | 715 | 710 | ||||||
Grand Parkway Transportation Corp., Grand Parkway System, Rev., 4.00%, 10/01/2045 | 10,125 | 11,648 | ||||||
Grand Parkway Transportation Corp., Subordinated Tier Toll, Series B, Rev., 5.00%, 04/01/2053 (p) | 100 | 110 | ||||||
Gregory-Portland Independent School District, Series A, GO, PSF-GTD, 5.00%, 02/15/2023 | 3,220 | 3,430 | ||||||
Harlandale Independent School District, GO, PSF-GTD, 0.75%, 08/15/2045 (z) | 465 | 465 | ||||||
Harlandale Independent School District, Variable Maintenance Tax Notes, GO, BAM, 2.00%, 08/15/2040 (z) | 375 | 380 | ||||||
Harlingen Consolidated Independent School District, | ||||||||
GO, PSF-GTD, 5.00%, 08/15/2024 | 80 | 90 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Texas continued | ||||||||
GO, PSF-GTD, 5.00%, 08/15/2026 | 105 | 127 | ||||||
Harris County Cultural Education Facilities Finance Corp., Baylor College, Rev., 5.00%, 11/15/2037 (p) | 1,515 | 1,597 | ||||||
Harris County Cultural Education Facilities Finance Corp., Medical Facilities Mortgage Revenue, Rev., (ICE LIBOR USD 1 Month * 0.70 + 0.65%), 0.71%, 11/15/2046 (aa) | 1,130 | 1,134 | ||||||
Harris County Cultural Education Facilities Finance Corp., Texas ChildrenS Hospital, | ||||||||
Rev., 4.00%, 10/01/2041 | 3,205 | 3,828 | ||||||
Rev., 5.00%, 10/01/2051 (z) | 3,000 | 4,026 | ||||||
Harris County Cultural Education Facilities Finance Corp., Texas Medical Center, Series A, Rev., 0.90%, 05/15/2050 (z) | 6,315 | 6,318 | ||||||
Harris County Toll Road Authority, First Lien, Rev., 5.00%, 08/15/2030 | 2,200 | 2,910 | ||||||
Harris County, Cultural Education Facilities Finance Corp., Memorial Hermann, Rev., 5.00%, 06/01/2032 (z) | 1,000 | 1,142 | ||||||
Harris County, Metropolitan Transit Authority, Sales & Use Tax Revenue, Series A, Rev., 5.00%, 11/01/2021 | 100 | 100 | ||||||
Harris County, Toll Road Authority, Senior Lien, Series A, Rev., 5.00%, 08/15/2024 | 100 | 113 | ||||||
Harris County-Houston Sports Authority, Prefunded, Senior Lien, Series A, Rev., AGM, 5.00%, 11/15/2022 (p) | 650 | 685 | ||||||
Housing Options, Inc., The Oaks Project, Rev., 0.50%, 08/01/2041 (z) | 590 | 587 | ||||||
Houston Community College System, | ||||||||
Series A, GO, 3.00%, 02/15/2022 | 300 | 303 | ||||||
Series A, GO, 4.00%, 02/15/2023 | 725 | 762 | ||||||
Houston Higher Education Finance Corp., Houston Baptist University, Rev., 4.00%, 10/01/2051 | 1,100 | 1,194 | ||||||
Houston Housing Finance Corp., Temenos Place Apartments, Rev., 0.29%, 08/01/2024 (z) | 670 | 669 | ||||||
Houston Independent School District, GO, PSF-GTD, 5.00%, 02/15/2022 | 1,725 | 1,756 | ||||||
Houston Independent School District, Maintenance Tax Notes, GO, 5.00%, 07/15/2022 | 80 | 83 | ||||||
Humble Independent School District, School Building, Series A, GO, PSF-GTD, 5.00%, 02/15/2022 | 1,200 | 1,221 | ||||||
Katy Independent School District, Series B, GO, PSF-GTD, 5.00%, 02/15/2036 | 2,475 | 2,943 | ||||||
Katy Independent School District, School Building, Series A, GO, PSF-GTD, 5.00%, 02/15/2031 (p) | 1,000 | 1,018 | ||||||
Lake Houston Redevelopment Authority, Rev., 4.00%, 09/01/2035 | 250 | 293 | ||||||
Lamar Consolidated Independent School District, GO, PSF-GTD, 5.00%, 02/15/2027 | 1,315 | 1,613 | ||||||
Lewisville Independent School District, Series A, GO, PSF-GTD, 5.00%, 08/15/2024 | 1,000 | 1,133 | ||||||
Lewisville Independent School District, School Building, Series E, GO, PSF-GTD, 5.00%, 08/15/2029 (p) | 4,000 | 4,168 | ||||||
Longview Independent School District, GO, PSF-GTD, 5.00%, 02/15/2023 | 575 | 612 | ||||||
Lower Colorado River Authority, Lcra Transmission Services, | ||||||||
Rev., 5.00%, 05/15/2027 | 700 | 861 | ||||||
Series A, Rev., 5.00%, 05/15/2022 | 1,000 | 1,030 | ||||||
Lower Colorado River Authority, Transmission Services Co., Rev., 5.00%, 05/15/2022 | 5,000 | 5,148 | ||||||
Lower Colorado, River Authority, Transmission Services Contract, Rev., 5.00%, 05/15/2029 | 100 | 128 | ||||||
Lumberton Independent School District, GO, PSF-GTD, 4.00%, 02/15/2023 | 1,125 | 1,181 | ||||||
Matagorda County Navigation District No. 1, Central Power and Light Co., Rev., AMT, 0.90%, 05/01/2030 (z) | 4,945 | 4,958 | ||||||
Medina Valley Independent School District, GO, PSF-GTD, 0.82%, 02/15/2051 (z) | 655 | 650 | ||||||
Metropolitan Transit Authority of Harris County Sales & Use Tax Revenue, Series A, Rev., 5.00%, 11/01/2028 (p) | 1,000 | 1,004 | ||||||
Metropolitan Transit Authority of Harris County, Sales & Use Tax Revenue, Series A, Rev., 5.00%, 11/01/2036 (p) | 1,785 | 1,792 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Texas continued | ||||||||
Midland County Public Facility Corp., Palladium West Francis, Rev., 0.35%, 06/01/2024 (z) | 10,000 | 9,985 | ||||||
Midlothian Independent School District, GO, PSF-GTD, 5.00%, 02/15/2023 | 1,410 | 1,501 | ||||||
Mission Economic Development Corp., Republic Services, Rev., AMT, 0.20%, 01/01/2026 (z) | 5,550 | 5,550 | ||||||
Mission Economic Development Corp., Waste Management, Rev., AMT, 0.15%, 05/01/2046 (z) | 5,095 | 5,095 | ||||||
New Caney Independent School District, School Building, GO, PSF-GTD, 1.25%, 02/15/2050 (z) | 535 | 547 | ||||||
New Hope Cultural Education Facilities Finance Corp., Childrens Health System, Series A, Rev., 5.00%, 08/15/2047 | 1,000 | 1,196 | ||||||
New Hope Cultural Education Facilities Finance Corp., Westminster Project, Rev., 4.00%, 11/01/2049 | 50 | 56 | ||||||
North Central Texas Housing Finance Corp., Bluebonnet Ridge Apartment, Rev., 0.38%, 08/01/2040 (z) | 505 | 504 | ||||||
North East Independent School District, Series B, GO, PSF-GTD, 0.25%, 08/01/2032 (z) | 265 | 265 | ||||||
North Fort Bend Water Authority, | ||||||||
Rev., BAM, 5.00%, 12/15/2026 | 1,520 | 1,849 | ||||||
Series B, Rev., 5.00%, 12/15/2029 | 1,130 | 1,460 | ||||||
North Texas Municipal Water District Water System Revenue, | ||||||||
Rev., 3.00%, 09/01/2041 | 575 | 620 | ||||||
Rev., 5.00%, 09/01/2022 | 345 | 360 | ||||||
North Texas Tollway Authority, Capital Appreciation, First Tier, Rev., AGC, Zero Coupon, 01/01/2030 | 1,500 | 1,325 | ||||||
North Texas Tollway Authority, First Tier, | ||||||||
Series A, Rev., 5.00%, 01/01/2025 | 390 | 413 | ||||||
Series A, Rev., 5.00%, 01/01/2029 (p) | 1,000 | 1,011 | ||||||
Series D, Rev., 5.00%, 01/01/2038 (p) | 2,120 | 2,145 | ||||||
North Texas Tollway Authority, First Tier Bonds, Series A, Rev., 4.00%, 01/01/2035 | 2,000 | 2,350 | ||||||
North Texas Tollway Authority, Second Tier, | ||||||||
Series B, Rev., 4.00%, 01/01/2035 | 1,000 | 1,198 | ||||||
Series B, Rev., 5.00%, 01/01/2033 | 1,000 | 1,192 | ||||||
Northside Independent School District, GO, PSF-GTD, 0.70%, 06/01/2050 (z) | 16,850 | 16,892 | ||||||
Odessa Housing Finance Corp., Rev., 0.37%, 02/01/2024 (z) | 1,540 | 1,541 | ||||||
Odessa Junior College District, Consolidated Fund, | ||||||||
Rev., AGM, 4.00%, 07/01/2024 | 1,000 | 1,098 | ||||||
Rev., AGM, 4.00%, 07/01/2026 | 1,015 | 1,166 | ||||||
Pasadena Independent School District, School Building, | ||||||||
GO, PSF-GTD, 5.00%, 02/15/2038 | 7,500 | 7,970 | ||||||
Series A, GO, PSF-GTD, 5.00%, 02/15/2035 (p) | 1,000 | 1,018 | ||||||
Pearland Independent School District, | ||||||||
GO, PSF-GTD, 5.00%, 02/15/2026 | 5,505 | 6,541 | ||||||
GO, PSF-GTD, 5.00%, 02/15/2027 | 3,490 | 4,263 | ||||||
Plano Independent School District, | ||||||||
GO, PSF-GTD, 5.00%, 02/15/2023 | 2,665 | 2,840 | ||||||
Series A, GO, PSF-GTD, 4.00%, 02/15/2023 | 100 | 101 | ||||||
Port Beaumont Navigation District, Jefferson Gulf Coast Energy, | ||||||||
Rev., AMT, 2.00%, 01/01/2027 (e) | 550 | 548 | ||||||
Rev., AMT, 2.25%, 01/01/2029 (e) | 800 | 795 | ||||||
Rev., AMT, 2.88%, 01/01/2041 (e) | 120 | 118 | ||||||
Rev., AMT, 3.00%, 01/01/2050 (e) | 1,300 | 1,217 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Texas continued | ||||||||
Port of Beaumont Industrial Development Authority, Taxable Jefferson Gulf Coast Energy, Rev., 4.10%, 01/01/2028 (e) | 3,000 | 2,948 | ||||||
Round Rock Independent School District, Series A, GO, PSF-GTD, 5.00%, 08/01/2031 | 2,000 | 2,581 | ||||||
San Antonio Education Facilities Corp., University Of The Incarnate Word, | ||||||||
Rev., 4.00%, 04/01/2038 | 1,065 | 1,221 | ||||||
Rev., 4.00%, 04/01/2039 | 1,200 | 1,372 | ||||||
Rev., 4.00%, 04/01/2040 | 1,000 | 1,141 | ||||||
San Antonio Independent School District, Series B, GO, PSF-GTD, 5.00%, 08/15/2027 | 1,255 | 1,557 | ||||||
Schertz-Cibolo-Universal City Independent School District, Series A, GO, PSF-GTD, 5.00%, 08/01/2022 | 1,000 | 1,040 | ||||||
Spring Branch Independent School District, GO, PSF-GTD, 5.00%, 02/01/2023 | 65 | 69 | ||||||
State of Texas, Series B, GO, 4.00%, 08/01/2030 | 690 | 776 | ||||||
State of Texas, Transportation Commission Highway Improvement, GO, 5.00%, 04/01/2022 | 3,000 | 3,072 | ||||||
State of Texas, Veterans, GO, VRDO, 0.05%, 10/07/2021 (z) | 10,000 | 10,000 | ||||||
State of Texas, Water Financial Assistance, GO, 5.00%, 08/01/2024 | 125 | 141 | ||||||
Strategic Housing Finance Corp. of Travis County, Ecg Yager Lp Yager, Rev., 0.46%, 09/01/2041 (z) | 10,000 | 9,944 | ||||||
Tarrant County Cultural Education Facilities Finance Corp., Baylor Scott & White Health, Series A, Rev., 5.00%, 11/15/2045 | 2,195 | 2,571 | ||||||
Tarrant County Cultural Education Facilities Finance Corp., Christus Health, Series B, Rev., 5.00%, 07/01/2035 | 1,110 | 1,365 | ||||||
Tarrant County Cultural Education Facilities Finance Corp., Hendrick Medical Center, Taxable, | ||||||||
Rev., AGM, 1.36%, 09/01/2024 | 800 | 807 | ||||||
Rev., AGM, 1.39%, 09/01/2025 | 600 | 602 | ||||||
Tarrant Regional Water District, City of Dallas Project, Series A, Rev., 4.00%, 09/01/2024 | 3,000 | 3,322 | ||||||
Texas Department of Housing & Community Affairs, Series A, Rev., GNMA COLL, 4.00%, 03/01/2050 | 485 | 545 | ||||||
Texas Department of Housing & Community Affairs, Corona Del Valle, Rev., HUD, 0.37%, 08/01/2025 (z) | 380 | 380 | ||||||
Texas Department of Housing & Community Affairs, OSO Bay Apartments Mandatory, Rev., 0.27%, 09/01/2024 (z) | 700 | 700 | ||||||
Texas Department of Housing & Community Affairs, Palladium Simpson Stuart Apartments, Rev., 0.35%, 01/01/2025 (z) | 1,290 | 1,289 | ||||||
Texas Department of Housing & Community Affairs, Social Bonds, | ||||||||
Series A, Rev., GNMA, 3.00%, 01/01/2052 | 2,340 | 2,555 | ||||||
Series A, Rev., GNMA COLL, 3.00%, 03/01/2052 | 1,290 | 1,419 | ||||||
Texas Municipal Gas Acquisition & Supply Corp. III, | ||||||||
Rev., 5.00%, 12/15/2022 | 200 | 211 | ||||||
Rev., 5.00%, 12/15/2023 | 1,215 | 1,335 | ||||||
Rev., 5.00%, 12/15/2024 | 835 | 952 | ||||||
Rev., 5.00%, 12/15/2025 | 2,400 | 2,821 | ||||||
Rev., 5.00%, 12/15/2026 | 2,435 | 2,937 | ||||||
Rev., 5.00%, 12/15/2030 | 4,905 | 6,396 | ||||||
Rev., 5.00%, 12/15/2032 | 3,300 | 4,415 | ||||||
Texas Municipal Gas Acquisition and Supply Corp. I, Series D, Rev., 6.25%, 12/15/2026 | 7,535 | 8,759 | ||||||
Texas Municipal Power Agency, Rev., AGM, 3.00%, 09/01/2038 | 500 | 531 | ||||||
Texas Private Activity Bond Surface Transportation Corp., Rev., AMT, 5.00%, 06/30/2058 | 4,420 | 5,282 | ||||||
Texas Private Activity Bond Surface Transportation Corp., Lbj Infrastructure Group, | ||||||||
Rev., 4.00%, 12/31/2030 | 3,970 | 4,783 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Texas continued | ||||||||
Rev., 4.00%, 06/30/2033 | 1,000 | 1,187 | ||||||
Texas State Affordable Housing Corp., Las Palmas Villa, Rev., HUD, 0.25%, 12/01/2024 (z) | 1,140 | 1,139 | ||||||
Texas Transportation Commission State Highway Fund, Series A, Rev., 5.00%, 10/01/2021 | 1,000 | 1,000 | ||||||
Texas Transportation Commission State Highway Fund, First Tier, | ||||||||
Rev., 5.00%, 10/01/2022 | 2,195 | 2,300 | ||||||
Series A, Rev., 5.00%, 04/01/2022 | 1,000 | 1,024 | ||||||
Texas Transportation Commission, Transportation Commission Mobility, GO, 0.65%, 10/01/2041 (w) (z) | 2,190 | 2,176 | ||||||
Texas Water Development Board, Master Trust, | ||||||||
Rev., 4.00%, 10/15/2033 | 1,000 | 1,228 | ||||||
Rev., 5.00%, 10/15/2026 | 3,310 | 4,022 | ||||||
Texas Water Development Board, Revolving Fund, | ||||||||
Rev., 4.00%, 08/01/2038 | 500 | 601 | ||||||
Rev., 5.00%, 08/01/2024 | 250 | 283 | ||||||
Rev., 5.00%, 08/01/2028 | 125 | 159 | ||||||
Series A, Rev., 5.00%, 10/15/2028 | 100 | 126 | ||||||
Texas Water Development Board, St Revolving Fund, Rev., 5.00%, 08/01/2022 | 1,000 | 1,040 | ||||||
Texas Water Development Board, St Wtrust Implementation Fund, | ||||||||
Series A, Rev., 4.00%, 10/15/2033 | 1,900 | 2,224 | ||||||
Series A, Rev., 5.00%, 10/15/2047 | 2,480 | 3,028 | ||||||
Series B, Rev., 5.00%, 04/15/2049 | 11,535 | 14,260 | ||||||
Texas Water Development Board, St Wtrust Implementation Revenue, Rev., 5.25%, 10/15/2046 | 2,000 | 2,433 | ||||||
Texas Water Development Board, State Water Implementation Fund, | ||||||||
Series A, Rev., 5.00%, 04/15/2026 | 100 | 120 | ||||||
Series A, Rev., 5.00%, 10/15/2030 | 500 | 588 | ||||||
Texas Water Development Board, Water Implementation Fund, Series A, Rev., 4.00%, 10/15/2049 | 1,000 | 1,167 | ||||||
Tomball Independent School District, Series A, GO, PSF-GTD, 5.00%, 02/15/2023 | 1,870 | 1,989 | ||||||
Tomball Independent School District, School Building, Series B2, GO, PSF-GTD, 0.26%, 02/15/2039 (z) | 3,055 | 3,041 | ||||||
Travis County Housing Finance Corp., Montopolis Apartments, Rev., 0.40%, 07/01/2041 (z) | 1,930 | 1,926 | ||||||
Trinity River Authority Central Regional Wastewater System Revenue, Rev., 5.00%, 08/01/2029 | 1,500 | 1,938 | ||||||
Trinity River Public Facility Corp., Cowan Place Apartments, Rev., HUD, 0.28%, 10/01/2024 (z) | 2,500 | 2,495 | ||||||
University of Houston, Series A, Rev., 5.00%, 02/15/2026 | 2,050 | 2,438 | ||||||
University of Texas, Series C, Rev., 5.00%, 08/15/2028 | 100 | 127 | ||||||
Upper Trinity Regional Water District, Rev., 4.00%, 08/01/2024 | 900 | 987 | ||||||
Upper Trinity Regional Water District, Reglional Treated Water Supply, Rev., BAM, 3.00%, 08/01/2023 | 715 | 750 | ||||||
Uptown Development Authority, | ||||||||
Tax Allocation, 4.00%, 09/01/2033 | 400 | 473 | ||||||
Tax Allocation, 4.00%, 09/01/2035 | 995 | 1,168 | ||||||
Waco Educational Finance Corp., Baylor University Issue, Series A, Rev., 4.00%, 03/01/2036 | 750 | 884 | ||||||
|
| |||||||
681,668 | ||||||||
|
| |||||||
Utah 0.6% | ||||||||
City of Salt Lake City Airport Revenue, | ||||||||
Series A, Rev., AMT, 4.00%, 07/01/2041 | 3,000 | 3,480 | ||||||
Series A, Rev., AMT, 5.00%, 07/01/2027 | 2,500 | 3,060 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Utah continued | ||||||||
County of Utah, Ihc Health Services, Inc., Series B, Rev., 5.00%, 05/15/2060 (z) | 2,125 | 2,552 | ||||||
Emery County School District, GO, SCH BD GTY, 5.00%, 06/15/2025 | 1,740 | 2,034 | ||||||
Granite School District Board of Education, GO, SCH BD GTY, 5.00%, 06/01/2024 | 1,755 | 1,975 | ||||||
Metropolitan Water District of Salt Lake & Sandy, Series A, Rev., 5.00%, 07/01/2023 (p) | 1,000 | 1,036 | ||||||
Provo School District, GO, SCH BD GTY, 5.00%, 06/15/2028 | 2,000 | 2,530 | ||||||
Red Bridge Public Infrastructure District No. 1, Senior Infrastructure District, Series 1A, GO, 3.63%, 02/01/2035 (e) | 600 | 620 | ||||||
State of Utah, | ||||||||
GO, 5.00%, 07/01/2024 | 100 | 113 | ||||||
GO, 5.00%, 07/01/2025 | 3,000 | 3,514 | ||||||
GO, 5.00%, 07/01/2030 | 4,500 | 5,759 | ||||||
Series B, GO, 5.00%, 07/01/2022 | 1,000 | 1,036 | ||||||
Series B, GO, 5.00%, 07/01/2029 | 100 | 129 | ||||||
University of Utah (The), Series A, Rev., 5.00%, 08/01/2039 | 1,505 | 1,833 | ||||||
University of Utah, Board of Regents, Series A, Rev., 4.00%, 08/01/2040 | 1,750 | 2,078 | ||||||
Utah Transit Authority, Series A, Rev., 5.25%, 06/15/2023 | 85 | 92 | ||||||
Vineyard Redevelopment Agency, | ||||||||
Tax Allocation, AGM, 5.00%, 05/01/2023 | 725 | 778 | ||||||
Tax Allocation, AGM, 5.00%, 05/01/2024 | 190 | 212 | ||||||
Tax Allocation, AGM, 5.00%, 05/01/2025 | 615 | 710 | ||||||
|
| |||||||
33,541 | ||||||||
|
| |||||||
Vermont 0.0% (g) | ||||||||
Vermont Housing Finance Agency, Series A, Rev., GNMA/FNMA/FHLMC COLL, 4.00%, 11/01/2049 | 375 | 420 | ||||||
Vermont Municipal Bond Bank, Vermont State Colleges System, Series A, Rev., 4.00%, 10/01/2034 | 250 | 295 | ||||||
Vermont Student Assistance Corp., Series A, Rev., AMT, 2.38%, 06/15/2039 | 955 | 936 | ||||||
|
| |||||||
1,651 | ||||||||
|
| |||||||
Virginia 1.5% | ||||||||
Chesapeake Hospital Authority, Chesapeake Regional Medical Center, Rev., 5.00%, 07/01/2030 | 300 | 379 | ||||||
Chesapeake Hospital Authority, Regional Medical Center, Rev., 5.00%, 07/01/2028 | 550 | 683 | ||||||
City of Richmond Public Utility Revenue, Taxable, Series B, Rev., 2.35%, 01/15/2027 | 3,000 | 3,169 | ||||||
County of Fairfax, Series A, GO, 5.00%, 10/01/2031 | 1,000 | 1,314 | ||||||
County of Fairfax, Public Improvement, | ||||||||
Series A, GO, 5.00%, 10/01/2031 (p) | 945 | 1,131 | ||||||
Series B, GO, 5.00%, 10/01/2022 | 2,795 | 2,929 | ||||||
County of Fairfax, Sewer Revenue, Series B, Rev., 4.00%, 07/15/2038 | 1,500 | 1,817 | ||||||
County of Loudoun, Series A, GO, 4.00%, 12/01/2030 | 3,000 | 3,590 | ||||||
Fairfax County Redevelopment & Housing Authority, Arrowbrook Apartments Project, Rev., 0.41%, 01/01/2041 (z) | 5,250 | 5,258 | ||||||
Halifax County Industrial Development Authority, Electric & Power Co. Project, Rev., 0.45%, 12/01/2041 (z) | 1,000 | 1,001 | ||||||
Hampton Roads Transportation Accountability Commission, Senior Lien, | ||||||||
Series A, Rev., BAN, 5.00%, 07/01/2026 | 2,660 | 3,207 | ||||||
Series A, Rev., 5.00%, 07/01/2031 | 1,500 | 1,975 | ||||||
Series A, Rev., 5.00%, 07/01/2032 | 4,495 | 5,897 | ||||||
Series A, Rev., 5.00%, 07/01/2038 | 1,000 | 1,210 | ||||||
Series A, Rev., 5.00%, 07/01/2039 | 2,100 | 2,683 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Virginia continued | ||||||||
James City County Economic Development Authority, Williamsburg Landing, Series A, Rev., 4.00%, 12/01/2035 (w) | 150 | 167 | ||||||
Loudoun County Economic Development Authority, | ||||||||
Series A, Rev., 5.00%, 12/01/2024 | 2,520 | 2,887 | ||||||
Series A, Rev., 5.00%, 12/01/2025 | 2,665 | 3,154 | ||||||
Louisa Industrial Development Authority, Virginia Electric And Power Co. Project, Series B, Rev., 0.75%, 11/01/2035 (z) | 2,125 | 2,121 | ||||||
Norfolk Airport Authority, Rev., 5.00%, 07/01/2038 | 1,175 | 1,470 | ||||||
Roanoke Economic Development Authority, Carilion Clinic, Rev., 5.00%, 07/01/2053 (z) | 4,000 | 5,148 | ||||||
Virginia Beach Development Authority, Westminster Canterbury, Rev., 5.00%, 09/01/2044 | 2,215 | 2,524 | ||||||
Virginia College Building Authority, Series A, Rev., 5.00%, 02/01/2023 | 1,505 | 1,601 | ||||||
Virginia College Building Authority, 21st Century Century College And Equipment, Rev., 5.00%, 02/01/2033 | 3,750 | 4,848 | ||||||
Virginia College Building Authority, 21st Century College, Rev., 5.00%, 02/01/2025 | 1,300 | 1,498 | ||||||
Virginia College Building Authority, 21st Century College and Equipment, Rev., 5.00%, 02/01/2029 | 1,000 | 1,286 | ||||||
Virginia College Building Authority, Regent University Project, Rev., 5.00%, 06/01/2023 | 165 | 177 | ||||||
Virginia Commonwealth Transportation Board I-81 Regional Fuels Tax, Interstate 81 Corridor Program, | ||||||||
Rev., 5.00%, 05/15/2032 | 500 | 671 | ||||||
Rev., 5.00%, 05/15/2033 | 525 | 701 | ||||||
Virginia Resources Authority, Series A, Rev., 5.00%, 11/01/2024 (p) | 1,190 | 1,306 | ||||||
Virginia Small Business Financing Authority, 95 Express Lanes LLC Project, Rev., AMT, 5.00%, 01/01/2044 | 1,500 | 1,516 | ||||||
Virginia Small Business Financing Authority, Lifespire Of Virginia, | ||||||||
Rev., 3.00%, 12/01/2022 | 50 | 51 | ||||||
Rev., 3.00%, 12/01/2023 | 35 | 37 | ||||||
Virginia Small Business Financing Authority, National Senior Campuses, | ||||||||
Series A, Rev., 5.00%, 01/01/2024 | 755 | 831 | ||||||
Series A, Rev., 5.00%, 01/01/2025 | 700 | 799 | ||||||
Series A, Rev., 5.00%, 01/01/2026 | 1,100 | 1,293 | ||||||
Series A, Rev., 5.00%, 01/01/2031 | 1,500 | 1,835 | ||||||
Series A, Rev., 5.00%, 01/01/2032 | 1,500 | 1,828 | ||||||
Virginia Small Business Financing Authority, Senior Lien, Express Lanes LLC Project, Rev., AMT, 5.00%, 01/01/2040 | 1,450 | 1,466 | ||||||
Virginia Small Business Financing Authority, Transform 66 P3 Project, | ||||||||
Rev., AMT, 5.00%, 12/31/2049 | 1,500 | 1,782 | ||||||
Rev., AMT, 5.00%, 12/31/2052 | 4,000 | 4,731 | ||||||
Rev., AMT, 5.00%, 12/31/2056 | 1,000 | 1,182 | ||||||
Wise County Industrial Development Authority, Electric and Power Company Project, Series A, Rev., 0.75%, 10/01/2040 (z) | 5,575 | 5,587 | ||||||
Wise County Industrial Development Authority, Virginia Electric & Power Company Project, Series A, Rev., 1.20%, 11/01/2040 (z) | 15 | 15 | ||||||
|
| |||||||
88,755 | ||||||||
|
| |||||||
Washington 2.6% | ||||||||
Central Puget Sound Regional Transit Authority, Green Bond, Series S1, Rev., 5.00%, 11/01/2035 | 1,085 | 1,270 | ||||||
Chelan County Public Utility District No. 1, Series C, Rev., AMT, 5.00%, 07/01/2026 | 1,285 | 1,516 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Washington continued | ||||||||
City of Seattle Municipal Light & Power Revenue, Series B, Rev., (SIFMA Municipal Swap Index + 0.25%), 0.30%, 05/01/2045 (aa) | 2,960 | 2,960 | ||||||
City of Seattle Municipal Light & Power Revenue, Green Bond, Series A, Rev., 4.00%, 07/01/2040 | 1,300 | 1,537 | ||||||
City of Seattle, Drainage & Wastewater Revenue, Rev., 4.00%, 05/01/2044 | 945 | 1,005 | ||||||
City of Seattle, Municipal Light & Power Revenue, Rev., 4.00%, 09/01/2040 | 1,000 | 1,083 | ||||||
Clark County Public Utility District No. 1, Rev., 4.00%, 01/01/2034 | 665 | 802 | ||||||
County of King, Series A, GO, 5.00%, 12/01/2034 | 1,335 | 1,752 | ||||||
County of King, Sewer Revenue, | ||||||||
Rev., 5.00%, 01/01/2024 (p) | 1,570 | 1,588 | ||||||
Rev., AGM, 5.00%, 01/01/2047 | 5,000 | 5,543 | ||||||
Energy Northwest Washington, Project 3 Electric Revenue, Series C, Rev., 5.00%, 07/01/2027 | 100 | 124 | ||||||
Everett Housing Authority, Baker Heights Legacy, Rev., 0.30%, 09/01/2024 (z) | 575 | 574 | ||||||
Grant County Public Utility District No. 2 Priest Rapids Hydroelectric Project, Series B, Rev., AMT, 5.00%, 01/01/2022 (p) | 1,330 | 1,345 | ||||||
Grant County, Public Utility District No. 2, Electric Revenue, | ||||||||
Series 2017-O, Rev., 5.00%, 01/01/2047 | 4,950 | 5,929 | ||||||
Series R, Rev., 2.00%, 01/01/2044 (z) | 1,500 | 1,579 | ||||||
King & Snohomish Counties School District No. 417 Northshore, GO, SCH BD GTY, 4.00%, 12/01/2032 | 1,000 | 1,087 | ||||||
King County Housing Authority, Rev., 5.00%, 11/01/2029 | 1,325 | 1,680 | ||||||
King County School District No. 210 Federal Way, GO, SCH BD GTY, 4.00%, 12/01/2025 | 2,000 | 2,287 | ||||||
Pierce County School District No. 10 Tacoma, Social Bonds, Series B, GO, SCH BD GTY, 4.00%, 12/01/2042 | 10,000 | 11,935 | ||||||
Port of Seattle, Series C, Rev., AMT, 5.00%, 04/01/2028 | 500 | 565 | ||||||
Port of Seattle, Intermediate Lien, | ||||||||
Rev., AMT, 5.00%, 04/01/2028 | 2,250 | 2,785 | ||||||
Rev., AMT, 5.00%, 04/01/2030 | 4,000 | 5,018 | ||||||
Rev., AMT, 5.00%, 04/01/2044 | 2,000 | 2,402 | ||||||
Series C, Rev., AMT, 5.00%, 08/01/2034 | 5,000 | 6,487 | ||||||
Seattle Housing Authority, Lam Bow Apartments Project, Rev., 1.25%, 06/01/2024 | 120 | 121 | ||||||
Seattle Housing Authority, Northgate Plaza Project, Rev., 1.00%, 06/01/2026 | 2,045 | 2,042 | ||||||
Skagit County Public Hospital District No. 1, Improvement Skagit Regional Health, Rev., 5.00%, 12/01/2031 | 2,145 | 2,511 | ||||||
Skagit County Public Hospital District No. 2, GO, 5.00%, 12/01/2025 (p) | 1,020 | 1,077 | ||||||
Snohomish County School District No. 201 Snohomish, GO, SCH BD GTY, 5.00%, 12/01/2028 | 1,500 | 1,918 | ||||||
Spokane County School District No. 81 Spokane, Series C, GO, SCH BD GTY, 5.00%, 12/01/2034 | 2,000 | 2,462 | ||||||
State of Washington, | ||||||||
GO, 5.00%, 06/01/2040 | 4,250 | 5,400 | ||||||
Series 2020A, GO, 5.00%, 08/01/2038 | 1,500 | 1,894 | ||||||
Series 2021A, GO, 5.00%, 06/01/2034 | 1,000 | 1,290 | ||||||
Series A1, GO, 5.00%, 08/01/2040 | 13,645 | 15,780 | ||||||
Series A, GO, 5.00%, 08/01/2022 | 85 | 88 | ||||||
Series A, GO, 5.00%, 08/01/2040 | 3,890 | 4,962 | ||||||
Series B, GO, 5.00%, 07/01/2025 | 75 | 88 | ||||||
Series B, GO, 5.00%, 06/01/2035 | 4,760 | 6,129 | ||||||
Series E, GO, 5.00%, 02/01/2023 | 1,250 | 1,330 | ||||||
Series RC, GO, 5.00%, 08/01/2029 | 100 | 123 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Washington continued | ||||||||
Series RD, GO, 5.00%, 08/01/2024 | 1,025 | 1,161 | ||||||
Series R-2017A, GO, 5.00%, 08/01/2022 | 975 | 1,014 | ||||||
Series R-2017A, GO, 5.00%, 08/01/2034 | 1,840 | 2,206 | ||||||
Series R-2020B, GO, 5.00%, 01/01/2026 | 2,500 | 2,969 | ||||||
State of Washington, Bid Group, Series C, GO, 5.00%, 02/01/2024 | 4,650 | 5,163 | ||||||
State of Washington, Motor Vehicle, Series R-2012D, GO, 5.00%, 07/01/2023 | 1,000 | 1,036 | ||||||
State of Washington, Various Purpose, Series 2015A1, GO, 5.00%, 08/01/2036 | 11,200 | 12,590 | ||||||
Thurston County School District No. 111 Olympia, GO, SCH BD GTY, 5.00%, 12/01/2026 | 1,275 | 1,558 | ||||||
University of Washington, Forward Delivery, | ||||||||
Series C, Rev., 5.00%, 04/01/2022 | 1,250 | 1,280 | ||||||
Series C, Rev., 5.00%, 04/01/2025 | 1,750 | 2,029 | ||||||
Series C, Rev., 5.00%, 04/01/2026 | 1,750 | 2,096 | ||||||
Washington Health Care Facilities Authority, Fred Hutchinson Cancer, | ||||||||
Rev., (ICE LIBOR USD 1 Month * 0.67 + 1.10%), 1.16%, 01/01/2042 (aa) | 550 | 551 | ||||||
Series C, Rev., (SIFMA Municipal Swap Index + 1.05%), 1.10%, 01/01/2042 (aa) | 3,000 | 3,018 | ||||||
Washington Health Care Facilities Authority, Multicare Health System, Series B, Rev., 5.00%, 08/15/2037 | 1,200 | 1,452 | ||||||
Washington Health Care Facilities Authority, Providence Health & Services, Series B, Rev., 5.00%, 10/01/2042 (z) | 345 | 345 | ||||||
Washington Health Care Facilities Authority, Providence St Joseph Health, Rev., 4.00%, 10/01/2042 (w) (z) | 1,750 | 2,132 | ||||||
Washington Health Care Facilities Authority, Seattle Cancer Care Alliance, | ||||||||
Rev., 4.00%, 12/01/2040 (e) | 860 | 1,011 | ||||||
Rev., 5.00%, 09/01/2045 | 1,000 | 1,255 | ||||||
Washington State Housing Finance Commission, | ||||||||
Series A1, Rev., 3.50%, 12/20/2035 | 960 | 1,108 | ||||||
Series 2N, Rev., GNMA/FNMA/FHLMC COLL, 3.00%, 12/01/2050 | 825 | 893 | ||||||
Washington State Housing Finance Commission, College Glen Apartments Project, Series A, Rev., FHA, 1.55%, 07/01/2022 (z) | 1,000 | 1,003 | ||||||
Washington State Housing Finance Commission, Downtowner Apartments Project, Rev., LIQ: FHLMC, 3.70%, 07/01/2030 | 2,000 | 2,249 | ||||||
Washington State Housing Finance Commission, Garden Haus Apartaments Project, Rev., 0.37%, 07/01/2024 (z) | 350 | 350 | ||||||
Washington State Housing Finance Commission, Horizon House Project, Rev., 5.00%, 01/01/2023 (e) | 275 | 289 | ||||||
Washington State Housing Finance Commission, Rockwood Retirement Communities, Rev., 3.00%, 07/01/2027 (e) | 1,000 | 1,005 | ||||||
|
| |||||||
159,831 | ||||||||
|
| |||||||
West Virginia 0.2% | ||||||||
Marshall University, Series A, Rev., AGM, 5.00%, 05/01/2030 | 300 | 387 | ||||||
Monongalia County Commission Excise Tax District, Series A, Rev., 4.13%, 06/01/2043 (e) | 500 | 555 | ||||||
Monongalia County Commission Special District, Refunding and Improvement, University Town Center, Series A, Rev., 5.50%, 06/01/2037 (e) | 1,050 | 1,200 | ||||||
Monongalia County Commission Special District, University Town Center, Series A, Rev., 5.75%, 06/01/2043 (e) | 500 | 572 | ||||||
West Virginia Economic Development Authority, Appalachian Power Company Amos Project, Rev., AMT, 1.00%, 01/01/2041 (z) | 2,765 | 2,766 | ||||||
West Virginia Housing Development Fund, Charles Towers, Rev., FHA, 0.21%, 09/01/2023 (z) | 480 | 480 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
West Virginia continued | ||||||||
West Virginia Parkways Authority, Senior Lien, Rev., 5.00%, 06/01/2038 | 1,000 | 1,299 | ||||||
West Virginia University, Series A, Rev., 5.00%, 10/01/2029 (p) | 1,500 | 1,572 | ||||||
West Virginia University Project, Series A, Rev., 5.00%, 10/01/2032 (p) | 1,000 | 1,048 | ||||||
|
| |||||||
9,879 | ||||||||
|
| |||||||
Wisconsin 1.8% | ||||||||
City of Milwaukee, Corporate Purpose Bonds, Series B4, GO, 5.00%, 04/01/2030 | 1,800 | 2,180 | ||||||
City of Milwaukee, Promissory Notes, Series N4, GO, 5.00%, 04/01/2030 | 10,150 | 13,151 | ||||||
City of Milwaukee, Sewerage System Revenue, Series S7, Rev., 5.00%, 06/01/2026 | 2,665 | 3,198 | ||||||
County of Milwaukee, Airport Revenue, Series A, Rev., 5.00%, 12/01/2028 | 250 | 319 | ||||||
Fox Valley Technical College District, School Facilities, Series C, GO, 3.00%, 12/01/2027 (p) | 5,000 | 5,163 | ||||||
Public Finance Authority, Appalachian Healthcare System, | ||||||||
Rev., 5.00%, 07/01/2036 | 350 | 444 | ||||||
Rev., 5.00%, 07/01/2037 | 300 | 379 | ||||||
Rev., 5.00%, 07/01/2039 | 350 | 440 | ||||||
Public Finance Authority, Carmelite System, Social Bonds, Rev., 5.00%, 01/01/2045 | 1,105 | 1,306 | ||||||
Public Finance Authority, Point College Prep Project, | ||||||||
Rev., 4.00%, 06/15/2030 (e) | 200 | 211 | ||||||
Rev., 5.00%, 06/15/2041 (e) | 250 | 268 | ||||||
Public Finance Authority, Renown Regional Medical Center Project, | ||||||||
Rev., 5.00%, 06/01/2026 | 500 | 598 | ||||||
Rev., 5.00%, 06/01/2027 | 425 | 521 | ||||||
Rev., 5.00%, 06/01/2028 | 600 | 752 | ||||||
Rev., 5.00%, 06/01/2034 | 1,000 | 1,277 | ||||||
Public Finance Authority, Sky Harbour Capital LLC, Rev., AMT, 4.00%, 07/01/2036 | 815 | 834 | ||||||
Public Finance Authority, Variable Ref Providence St Joseph Health, Series C, Rev., 4.00%, 10/01/2041 (z) | 6,205 | 7,481 | ||||||
Public Finance Authority, Waste Management, Inc. Project, | ||||||||
Rev., AMT, 1.10%, 07/01/2029 (z) | 1,445 | 1,445 | ||||||
Rev., AMT, 2.63%, 11/01/2025 | 5,000 | 5,388 | ||||||
State of Wisconsin, | ||||||||
Series 1, GO, 5.00%, 05/01/2027 | 2,400 | 2,960 | ||||||
Series 1, GO, 5.00%, 05/01/2030 | 2,500 | 3,294 | ||||||
Series 20212, GO, 5.00%, 05/01/2026 | 5,850 | 7,021 | ||||||
Series B, GO, 5.00%, 05/01/2026 | 4,000 | 4,801 | ||||||
Series B, GO, 5.00%, 05/01/2035 | 10,580 | 13,429 | ||||||
Wisconsin Center District, Capital Appreciation Senior Dedicated, | ||||||||
Series C, Rev., AGM, Zero Coupon, 12/15/2036 | 1,550 | 1,038 | ||||||
Series C, Rev., AGM, Zero Coupon, 12/15/2039 | 1,750 | 1,022 | ||||||
Series C, Rev., AGM, Zero Coupon, 12/15/2040 | 1,650 | 922 | ||||||
Series D, Rev., AGM, Zero Coupon, 12/15/2028 | 545 | 491 | ||||||
Series D, Rev., AGM, Zero Coupon, 12/15/2029 | 395 | 347 | ||||||
Wisconsin Department of Transportation, | ||||||||
Series 1, Rev., 5.00%, 07/01/2024 (p) | 1,940 | 2,010 | ||||||
Series A, Rev., 5.00%, 07/01/2027 | 1,675 | 2,081 | ||||||
Wisconsin Health & Educational Facilities Authority, Ascension Health Credit Group, Series A, Rev., 5.00%, 11/15/2021 | 180 | 181 | ||||||
Wisconsin Health & Educational Facilities Authority, Revenue, Ascension Senior Credit Group, | ||||||||
Rev., 5.00%, 11/15/2027 | 500 | 624 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Municipal Bonds continued | ||||||||
Wisconsin continued | ||||||||
Rev., 5.00%, 11/15/2029 | 1,000 | 1,301 | ||||||
Rev., 5.00%, 11/15/2036 | 1,500 | 1,778 | ||||||
Wisconsin Health & Educational Facilities Authority, Gundersen Health System, | ||||||||
Rev., 4.00%, 10/15/2035 | 545 | 654 | ||||||
Rev., 4.00%, 10/15/2036 | 3,525 | 4,220 | ||||||
Wisconsin Health & Educational Facilities Authority, Marshfield Clinic Health System, | ||||||||
Rev., 5.00%, 02/15/2051 (z) | 2,600 | 3,098 | ||||||
Series B1, Rev., 5.00%, 02/15/2052 (z) | 2,000 | 2,251 | ||||||
Series B, Rev., 5.00%, 02/15/2042 | 1,000 | 1,146 | ||||||
Series B, Rev., 5.00%, 02/15/2046 | 4,550 | 5,210 | ||||||
Wisconsin Housing & Economic Development Authority, | ||||||||
Series B, Rev., HUD, 0.40%, 05/01/2045 (z) | 195 | 195 | ||||||
Series B, Rev., HUD, 0.50%, 11/01/2050 (z) | 245 | 245 | ||||||
Series D, Rev., 4.00%, 03/01/2047 | 3,300 | 3,620 | ||||||
Wisconsin Housing & Economic Development Authority, Social Bond, Series A, Rev., 3.00%, 03/01/2052 | 955 | 1,040 | ||||||
Wisconsin Rapids School District, GO, 5.00%, 04/01/2026 | 1,110 | 1,319 | ||||||
|
| |||||||
111,653 | ||||||||
|
| |||||||
Wyoming 0.2% | ||||||||
County of Laramie, Cheyenne Regional Medical Center, | ||||||||
Rev., 4.00%, 05/01/2026 | 615 | 703 | ||||||
Rev., 4.00%, 05/01/2028 | 460 | 541 | ||||||
County of Sweetwater, Idaho Power Company Project, Rev., 1.70%, 07/15/2026 | 1,045 | 1,073 | ||||||
Wyoming Community Development Authority, | ||||||||
Series 1, Rev., 3.00%, 06/01/2050 | 2,120 | 2,304 | ||||||
Series 2, Rev., VRDO, LIQ: Royal Bank of Canada, 0.05%, 10/07/2021 (z) | 3,000 | 3,000 | ||||||
Series 2, Rev., 3.00%, 06/01/2049 | 1,500 | 1,622 | ||||||
Series 3, Rev., GNMA/FHLMC/FNMA COLL, 3.00%, 06/01/2050 (w) | 1,665 | 1,799 | ||||||
|
| |||||||
11,042 | ||||||||
|
| |||||||
Total Municipal Bonds (Cost $5,699,425) | 5,732,113 | |||||||
|
| |||||||
Short-Term Investments 7.4% | ||||||||
Municipal Bonds 0.8% (t) | ||||||||
California Public Finance Authority, Henry Mayo Newhall Hospital, Series A, Rev., 4.00%, 10/15/2021 | 95 | 95 | ||||||
City of Boston, Series A, GO, 5.00%, 11/01/2021 | 2,850 | 2,861 | ||||||
City of Garland, Certificates Obligation, GO, 5.00%, 02/15/2022 | 790 | 804 | ||||||
City of Los Angeles, Rev., TRAN, 4.00%, 06/23/2022 | 3,000 | 3,085 | ||||||
City of Wichita, Temporary Notes, Series 302, GO, 3.50%, 10/15/2021 | 2,000 | 2,002 | ||||||
County of Los Angeles, Rev., TRAN, 4.00%, 06/30/2022 | 6,565 | 6,755 | ||||||
County of Nassau, Series B, GO, TAN, 2.00%, 12/10/2021 | 5,000 | 5,018 | ||||||
District of Columbia Housing Finance Agency, Liberty Place Apartments Project, Rev., 0.25%, 12/01/2021 (e) | 1,430 | 1,430 | ||||||
Frenship Independent School District, GO, PSF-GTD, 5.00%, 02/15/2022 | 745 | 758 | ||||||
Indiana Finance Authority, First Lien, CWA Authority Project, Rev., 5.00%, 10/01/2021 | 460 | 460 | ||||||
Indiana Finance Authority, Second Lien, CWA Authority Project, Rev., 5.00%, 10/01/2021 | 105 | 105 | ||||||
Kentucky Rural Water Finance Corp., Public Projects Construction, Rev., 0.43%, 12/01/2021 | 4,460 | 4,460 |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Short-Term Investments continued | ||||||||
Municipal Bonds continued | ||||||||
Lehigh County General Purpose Authority, Good Shepherd Group, Series A, Rev., 4.00%, 11/01/2021 | 320 | 321 | ||||||
Lexington County School District No. 3, GO, BAN, SCSDE, 4.00%, 08/24/2022 | 5,000 | 5,175 | ||||||
Lone Star College System, | ||||||||
Series A, GO, 5.00%, 02/15/2022 | 145 | 147 | ||||||
Series B, GO, 5.00%, 02/15/2022 | 275 | 280 | ||||||
Piedmont Municipal Power Agency, Series A, Rev., 3.00%, 01/01/2022 | 2,000 | 2,014 | ||||||
Richardson Independent School District, GO, PSF-GTD, 5.00%, 02/15/2022 | 725 | 738 | ||||||
State of Illinois, Series C, GO, 4.00%, 03/01/2022 | 820 | 832 | ||||||
State of New York Mortgage Agency, Social Bonds, Series 235, Rev., AMT, 0.25%, 04/01/2022 | 285 | 285 | ||||||
State of Washington, Bid Group, Series C, GO, 5.00%, 02/01/2022 | 6,165 | 6,263 | ||||||
Texas Municipal Gas Acquisition & Supply Corp. III, Rev., 5.00%, 12/15/2021 | 245 | 247 | ||||||
Town of Stratford, Series B, GO, BAN, 2.00%, 12/16/2021 | 2,500 | 2,510 | ||||||
Vineyard Redevelopment Agency, Tax Allocation, AGM, 5.00%, 05/01/2022 | 800 | 822 | ||||||
Weld County School District No. Re-5J, GO, 5.00%, 12/01/2021 | 565 | 569 | ||||||
|
| |||||||
Total Municipal Bonds | 48,036 | |||||||
|
| |||||||
Time Deposits 6.6% | ||||||||
Australia & New Zealand Banking Group Ltd., 0.01%, 10/01/2021 | 317 | 317 | ||||||
BNP Paribas SA, 0.01%, 10/01/2021 | 58,793 | 58,793 | ||||||
Citibank NA, 0.01%, 10/01/2021 | 328,689 | 328,689 | ||||||
Sumitomo Mitsui Banking Corp., 0.01%, 10/01/2021 | 17,512 | 17,512 | ||||||
|
| |||||||
Total Time Deposits | 405,311 | |||||||
|
| |||||||
Total Short-Term Investments (Cost $453,355) | 453,347 | |||||||
|
| |||||||
Total Investments 100.9% (Cost$6,153,999)* |
| 6,186,707 |
| |||||
Liabilities in Excess of Other Assets (0.9)% | (57,437 | ) | ||||||
|
| |||||||
NET ASSETS 100.0% | $ | 6,129,270 | ||||||
|
|
Percentages indicated are based on net assets
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Futures contracts outstanding as of September 30, 2021:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||
Long Contracts | ||||||||||||
U.S. Treasury 2 Year Note | 50 | 12/2021 | USD | 11,016 | (13 | ) | ||||||
U.S. Treasury 5 Year Note | 219 | 12/2021 | USD | 27,012 | (132 | ) | ||||||
U.S. Ultra Treasury 10 Year Note | 35 | 12/2021 | USD | 5,170 | (86 | ) | ||||||
|
| |||||||||||
(231 | ) | |||||||||||
|
| |||||||||||
Short Contracts | ||||||||||||
U.S. Treasury 10 Year Note | (40) | 12/2021 | USD | (5,307) | 43 | |||||||
|
| |||||||||||
Total unrealized appreciation (depreciation) | (188 | ) | ||||||||||
|
|
Six Circles Tax Aware Bond Fund
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021
AGC | | Insured by Assured Guaranty Corp. | ||
AGM | | Insured by Assured Guaranty Municipal Corp. | ||
AMBAC | | Insured by American Municipal Bond Assurance Corp. | ||
AMT | | Alternative Minimum Tax | ||
BAM | | Insured by Build America Mutual | ||
BAN | | Bond Anticipation Note | ||
BHAC | | Insured by Berkshire Hathaway Assurance Corp. | ||
CNTY | | County | ||
COLL | | Collateral | ||
COP | | Certificate of Participation | ||
CR | | Custodial Receipts | ||
FHA | | Federal Housing Administration | ||
FHLMC | | Federal Home Loan Mortgage Corp. | ||
FNMA | | Federal National Mortgage Association | ||
GAN | | Grant Anticipation Notes | ||
GNMA | | Government National Mortgage Association | ||
GO | | General Obligation | ||
GTD | | Guaranteed | ||
HUD | | U.S. Department of Housing and Urban Development | ||
ICE | | Intercontinental Exchange | ||
LIBOR | | London Interbank Offered Rate | ||
LIQ | | Liquidity Agreement | ||
LOC | | Letter of Credit | ||
NATL | | Insured by National Public Finance Guarantee Corp. | ||
PSF | | Permanent School Fund | ||
Q-SBLF | | Qualified School Bond Loan Fund | ||
RE | | Reinsured | ||
Rev. | | Revenue | ||
SCH BD GTY | | School Bond Guaranty | ||
SCSDE | | South Carolina School District Enhancement | ||
SIFMA | | Securities Industry and Financial Markets Association | ||
SOFR | | Secured Overnight Financing Rate | ||
SONYMA | | State of New York Mortgage Agency | ||
TAN | | Tax Anticipation Note | ||
TRAN | | Tax & Revenue Anticipation Note | ||
VRDO | | Variable Rate Demand Obligation. The interest rate shown is the rate in effect as of September 30, 2021. | ||
(d) | | Defaulted Security. Security has not paid its last interest payment and/or interest is not being accrued. | ||
(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%. | ||
(p) | | Security is prerefunded or escrowed to maturity. | ||
(t) | | The date shown represents the earliest of the next put date or final maturity date. | ||
(w) | | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | ||
(z) | | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of September 30, 2021. | ||
(aa) | | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of September 30, 2021. | ||
* | | The cost of securities is substantially the same for federal income tax purposes. | ||
USD | | United States Dollar |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Asset-Backed Securities 5.1% | ||||||||
Ally Auto Receivables Trust, Series 2019-3, Class A3, 1.93%, 05/15/2024 | 491 | 495 | ||||||
American Credit Acceptance Receivables Trust, Series 2020-3, Class A, 0.62%, 10/13/2023 (e) | 1,193 | 1,193 | ||||||
Apidos CLO XXXI, (Cayman Islands), Series 2019-31A, Class A1R, (ICE LIBOR USD 3 Month + 1.10%), 1.23%, 04/15/2031 (e) (aa) | 1,750 | 1,751 | ||||||
Aqua Finance Trust, Series 2021-A, Class A, 1.54%, 07/17/2046 (e) (w) | 1,692 | 1,689 | ||||||
ARES L CLO Ltd., (Cayman Islands), Series 2018-50A, Class AR, (ICE LIBOR USD 3 Month + 1.05%), 1.18%, 01/15/2032 (e) (aa) | 1,710 | 1,707 | ||||||
Avis Budget Rental Car Funding AESOP LLC, | ||||||||
Series 2018-2A, Class A, 4.00%, 03/20/2025 (e) | 4,000 | 4,286 | ||||||
Series 2019-3A, Class A, 2.36%, 03/20/2026 (e) | 1,320 | 1,373 | ||||||
Series 2020-2A, Class A, 2.02%, 02/20/2027 (e) | 1,150 | 1,178 | ||||||
Bain Capital Credit CLO Ltd., (Cayman Islands), Series 2017-1A, Class A1R, (ICE LIBOR USD 3 Month + 0.97%), 1.10%, 07/20/2030 (e) (aa) | 1,700 | 1,698 | ||||||
Bain Capital Credit CLO, (Cayman Islands), Series 2019-2A, Class AR, (ICE LIBOR USD 3 Month + 1.10%), 0.00%, 10/17/2032 (e) (w) (aa) | 2,000 | 2,000 | ||||||
Barings CLO Ltd., (Cayman Islands), Series 2019-3A, Class A1R, (ICE LIBOR USD 3 Month + 1.07%), 1.20%, 04/20/2031 (e) (aa) | 1,640 | 1,638 | ||||||
Benefit Street Partners CLO III Ltd., (Cayman Islands), Series 2013-IIIA, Class A1R2, (ICE LIBOR USD 3 Month + 1.00%), 1.13%, 07/20/2029 (e) (aa) | 2,500 | 2,499 | ||||||
BlueMountain CLO Ltd., (Cayman Islands), Series 2013-1A, Class A2R2, (ICE LIBOR USD 3 Month + 1.75%), 1.88%, 01/20/2029 (e) (aa) | 760 | 760 | ||||||
BMW Vehicle Lease Trust, Series 2021-1, Class A3, 0.29%, 01/25/2024 | 6,100 | 6,104 | ||||||
Carlyle Global Market Strategies CLO Ltd., (Cayman Islands), Series 2015-1A, Class AR3, (ICE LIBOR USD 3 Month + 0.98%), 0.00%, 07/20/2031 (e) (aa) | 1,130 | 1,130 | ||||||
Carlyle US CLO Ltd., (Cayman Islands), Series 2017-2A, Class A1R, (ICE LIBOR USD 3 Month + 1.05%), 1.18%, 07/20/2031 (e) (aa) | 1,240 | 1,240 | ||||||
CarMax Auto Owner Trust, Series 2020-2, Class D, 5.75%, 05/17/2027 | 2,065 | 2,261 | ||||||
Carvana Auto Receivables Trust, | ||||||||
Series 2019-2A, Class C, 3.00%, 06/17/2024 (e) | 330 | 334 | ||||||
Series 2021-N1, Class A, 0.70%, 01/10/2028 | 435 | 436 | ||||||
Cedar Funding X CLO Ltd., (Cayman Islands), Series 2019-10A, Class AR, (ICE LIBOR USD 3 Month + 1.05%), 0.00%, 10/20/2032 (e) (w) (aa) | 2,500 | 2,500 | ||||||
Cedar Funding XI CLO Ltd., (Cayman Islands), Series 2019-11A, Class A1R, (ICE LIBOR USD 3 Month + 1.05%), 1.17%, 05/29/2032 (e) (aa) | 1,600 | 1,597 | ||||||
Credit Acceptance Auto Loan Trust, Series 2021-3A, Class A, 1.00%, 05/15/2030 (e) | 675 | 675 | ||||||
Dell Equipment Finance Trust, Series 2021-2, Class A2, 0.33%, 12/22/2026 (e) | 890 | 890 | ||||||
Drive Auto Receivables Trust, | ||||||||
Series 2019-4, Class C, 2.51%, 11/17/2025 | 2,000 | 2,018 | ||||||
Series 2020-2, Class B, 1.42%, 03/17/2025 | 3,155 | 3,172 | ||||||
Series 2021-2, Class A2, 0.36%, 05/15/2024 | 1,485 | 1,486 | ||||||
Series 2021-2, Class D, 1.39%, 03/15/2029 | 1,265 | 1,261 | ||||||
Elmwood CLO X Ltd., (Cayman Islands), Series 2021-3A, Class A, (ICE LIBOR USD 3 Month + 1.04%), 1.13%, 10/20/2034 (e) (aa) | 1,820 | 1,818 | ||||||
Exeter Automobile Receivables Trust, | ||||||||
Series 2019-4A, Class B, 2.30%, 12/15/2023 (e) | 275 | 275 | ||||||
Series 2021-2A, Class A2, 0.27%, 01/16/2024 | 498 | 498 | ||||||
Series 2021-2A, Class C, 0.98%, 06/15/2026 | 420 | 421 | ||||||
Series 2021-2A, Class D, 1.40%, 04/15/2027 | 735 | 733 | ||||||
Series 2021-3A, Class A2, 0.34%, 01/16/2024 | 1,095 | 1,095 | ||||||
Series 2021-3A, Class D, 1.55%, 06/15/2027 | 855 | 853 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Asset-Backed Securities continued | ||||||||
Ford Credit Auto Owner Trust, | ||||||||
Series 2017-2, Class A, 2.36%, 03/15/2029 (e) | 4,000 | 4,080 | ||||||
Series 2018-1, Class A, 3.19%, 07/15/2031 (e) | 3,600 | 3,854 | ||||||
Series 2021-1, Class A, 1.37%, 10/17/2033 (e) | 1,075 | 1,079 | ||||||
Galaxy XIX CLO Ltd., (Cayman Islands), Series 2015-19A, Class A1RR, (ICE LIBOR USD 3 Month + 0.95%), 1.08%, 07/24/2030 (e) (aa) | 4,000 | 3,997 | ||||||
GM Financial Automobile Leasing Trust, Series 2020-2, Class A3, 0.80%, 07/20/2023 | 1,200 | 1,205 | ||||||
Grand Avenue CRE, (Cayman Islands), | ||||||||
Series 2019-FL1, Class A, (ICE LIBOR USD 1 Month + 1.12%), 1.20%, 06/15/2037 (e) (aa) | 1,099 | 1,099 | ||||||
Series 2019-FL1, Class AS, (ICE LIBOR USD 1 Month + 1.50%), 1.58%, 06/15/2037 (e) (aa) | 1,500 | 1,499 | ||||||
GREYWOLF CLO VI Ltd., (Cayman Islands), Series 2018-1A, Class A1, (ICE LIBOR USD 3 Month + 1.03%), 1.16%, 04/26/2031 (e) (aa) | 3,460 | 3,462 | ||||||
Hertz Vehicle Financing III LP, Series 2021-2A, Class A, 1.68%, 12/27/2027 (e) | 1,900 | 1,901 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
Series 2021-1, Class A2, 0.16%, 07/21/2023 | 2,274 | 2,274 | ||||||
Series 2021-2, Class A2, 0.17%, 11/15/2023 | 2,020 | 2,020 | ||||||
HPEFS Equipment Trust, Series 2020-2A, Class A2, 0.65%, 07/22/2030 (e) | 2,079 | 2,080 | ||||||
KKR CLO Ltd., (Cayman Islands), | ||||||||
Series 18, Class A, (ICE LIBOR USD 3 Month + 1.27%), 1.40%, 07/18/2030 (e) (aa) | 4,000 | 4,001 | ||||||
Series 24, Class A1R, (ICE LIBOR USD 3 Month + 1.08%), 1.21%, 04/20/2032 (e) (aa) | 1,860 | 1,860 | ||||||
Lendmark Funding Trust, Series 2021-1A, Class A, 1.90%, 11/20/2031 (e) | 2,795 | 2,807 | ||||||
Madison Park Funding XXXV Ltd., (Cayman Islands), Series 2019-35A, Class A1R, (ICE LIBOR USD 3 Month + 0.99%), 1.12%, 04/20/2032 (e) (aa) | 1,920 | 1,923 | ||||||
Magnetite XXII Ltd., (Cayman Islands), Series 2019-22A, Class AR, (ICE LIBOR USD 3 Month + 1.06%), 1.19%, 04/15/2031 (e) (aa) | 2,500 | 2,497 | ||||||
Magnetite Xxix Ltd., (Cayman Islands), Series 2021-29A, Class A, (ICE LIBOR USD 3 Month + 0.99%), 1.12%, 01/15/2034 (e) (aa) | 250 | 250 | ||||||
MRA Issuance Trust, Series 2021-8, Class A1Y, (ICE LIBOR USD 1 Month + 1.15%), 1.24%, 10/15/2021 (e) (aa) | 7,800 | 7,800 | ||||||
Nelnet Student Loan Trust, Series 2021-A, Class APT1, 1.36%, 04/20/2062 (e) | 874 | 873 | ||||||
NextGear Floorplan Master Owner Trust, | ||||||||
Series 2018-2A, Class A2, 3.69%, 10/15/2023 (e) | 1,623 | 1,625 | ||||||
Series 2019-2A, Class A2, 2.07%, 10/15/2024 (e) | 6,000 | 6,107 | ||||||
OCP CLO Ltd., (Cayman Islands), Series 2019-17A, Class A1R, (ICE LIBOR USD 3 Month + 1.04%), 1.17%, 07/20/2032 (e) (aa) | 2,210 | 2,201 | ||||||
Octagon Investment Partners 32 Ltd., (Cayman Islands), Series 2017-1A, Class A1R, (ICE LIBOR USD 3 Month + 0.95%), 1.08%, 07/15/2029 (e) (aa) | 4,000 | 3,996 | ||||||
Octagon Investment Partners 48 Ltd., (Cayman Islands), Series 2020-3A, Class B, (ICE LIBOR USD 3 Month + 1.85%), 1.98%, 10/20/2031 (e) (aa) | 3,530 | 3,531 | ||||||
Octagon Loan Funding Ltd., (Cayman Islands), Series 2014-1A, Class ARR, (ICE LIBOR USD 3 Month + 1.18%), 1.30%, 11/18/2031 (e) (aa) | 5,022 | 5,023 | ||||||
OneMain Financial Issuance Trust, | ||||||||
Series 2019-2A, Class A, 3.14%, 10/14/2036 (e) | 3,800 | 4,063 | ||||||
Series 2020-2A, Class A, 1.75%, 09/14/2035 (e) | 4,000 | 4,051 | ||||||
PFS Financing Corp., Series 2018-F, Class A, 3.52%, 10/15/2023 (e) | 4,800 | 4,793 | ||||||
Santander Consumer Auto Receivables Trust, Series 2020-BA, Class C, 1.29%, 04/15/2026 (e) | 1,066 | 1,075 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
Series 2021-2, Class A2, 0.28%, 04/15/2024 | 1,374 | 1,374 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Asset-Backed Securities continued | ||||||||
Series 2021-2, Class D, 1.35%, 07/15/2027 | 1,815 | 1,821 | ||||||
Series 2021-3, Class A2, 0.29%, 05/15/2024 | 2,950 | 2,951 | ||||||
Santander Retail Auto Lease Trust, Series 2021-A, Class A3, 0.51%, 07/22/2024 (e) | 2,175 | 2,176 | ||||||
SCF Equipment Leasing LLC, | ||||||||
Series 2019-2A, Class B, 2.76%, 08/20/2026 (e) | 1,905 | 1,967 | ||||||
Series 2021-1A, Class A2, 0.42%, 08/20/2026 (e) | 481 | 481 | ||||||
Series 2021-1A, Class A3, 0.83%, 08/21/2028 (e) | 500 | 498 | ||||||
Series 2021-1A, Class B, 1.37%, 08/20/2029 (e) | 1,000 | 995 | ||||||
Summer BidCo BV, (Netherlands), Reg. S, 9.00% (cash), 11/15/2025 (v) | EUR | 105 | 124 | |||||
Synchrony Card Funding LLC, Series 2019-A1, Class A, 2.95%, 03/15/2025 | 1,594 | 1,614 | ||||||
TCI-Flatiron CLO Ltd., (Cayman Islands), Series 2017-1A, Class AR, (ICE LIBOR USD 3 Month + 0.96%), 1.08%, 11/18/2030 (e) (aa) | 4,000 | 4,000 | ||||||
Tesla Auto Lease Trust, Series 2020-A, Class A2, 0.55%, 05/22/2023 (e) | 2,607 | 2,609 | ||||||
Toyota Auto Loan Extended Note Trust, Series 2021-1A, Class A, 1.07%, 02/27/2034 (e) | 3,500 | 3,491 | ||||||
Westlake Automobile Receivables Trust, Series 2020-1A, Class B, 1.94%, 04/15/2025 (e) | 4,200 | 4,236 | ||||||
World Financial Network Credit Card Master Trust, | ||||||||
Series 2018-C, Class A, 3.55%, 08/15/2025 | 4,000 | 4,006 | ||||||
Series 2019-B, Class A, 2.49%, 04/15/2026 | 1,970 | 2,002 | ||||||
York CLO-2 Ltd., (Cayman Islands), Series 2015-1A, Class AR, (ICE LIBOR USD 3 Month + 1.15%), 1.29%, 01/22/2031 (e) (aa) | 4,170 | 4,172 | ||||||
|
| |||||||
Total Asset-Backed Securities (Cost $179,030) | 178,607 | |||||||
|
| |||||||
Collateralized Mortgage Obligations 0.5% | ||||||||
Angel Oak Mortgage Trust, Series 2021-4, Class A1, 1.04%, 01/20/2065 (e) (z) | 1,083 | 1,081 | ||||||
CSMC, | ||||||||
Series 2021-NQM1, Class A1, 0.81%, 05/25/2065 (e) (z) | 1,233 | 1,231 | ||||||
Series 2021-NQM3, Class A1, 1.02%, 04/25/2066 (e) (z) | 601 | 600 | ||||||
Series 2021-NQM6, Class A1, 1.17%, 07/25/2066 (e) (z) | 2,210 | 2,211 | ||||||
Series 2021-NQM6, Class A2, 1.38%, 07/25/2066 (e) (z) | 1,440 | 1,441 | ||||||
CSMC Trust, Series 2021-AFC1, Class A1, 0.83%, 03/25/2056 (e) (z) | 1,778 | 1,770 | ||||||
Ellington Financial Mortgage Trust 2017-1, Series 2021-1, Class A1, 0.80%, 02/25/2066 (e) (z) | 1,997 | 1,994 | ||||||
FHLMC STACR REMIC Trust, Series 2021-HQA3, Class M1, (United States 30 Day Average SOFR + 0.85%), 0.90%, 09/25/2041 (e) (aa) | 920 | 920 | ||||||
Mortgage Repurchase Agreement Financing Trust, Series 2021-S1, Class A1, (ICE LIBOR USD 1 Month + 0.50%), 0.00%, 09/10/2022 (e) (aa) | 2,600 | 2,600 | ||||||
Verus Securitization Trust, | ||||||||
Series 2021-1, Class A1, 0.82%, 01/25/2066 (e) (z) | 389 | 388 | ||||||
Series 2021-3, Class A1, 1.05%, 06/25/2066 (e) (z) | 900 | 902 | ||||||
Series 2021-5, Class A1, 1.01%, 09/25/2066 (e) (z) | 750 | 749 | ||||||
Series 2021-R2, Class A1, 0.92%, 02/25/2064 (e) (z) | 1,343 | 1,339 | ||||||
Series 2021-R3, Class A1, 1.02%, 04/25/2064 (e) (z) | 818 | 820 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations (Cost $18,058) | 18,046 | |||||||
|
|
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Commercial Mortgage-Backed Securities 2.9% | ||||||||
BBCMS Mortgage Trust, Series 2018-TALL, Class C, (ICE LIBOR USD 1 Month + 1.12%), 1.20%, 03/15/2037 (e) (aa) | 1,600 | 1,566 | ||||||
BFLD, Series 2019-DPLO, Class E, (ICE LIBOR USD 1 Month + 2.24%), 2.32%, 10/15/2034 (e) (aa) | 2,502 | 2,483 | ||||||
BHMS, Series 2018-ATLS, Class A, (ICE LIBOR USD 1 Month + 1.25%), 1.33%, 07/15/2035 (e) (aa) | 2,622 | 2,629 | ||||||
BWAY Mortgage Trust, Series 2015-1740, Class C, 3.34%, 01/10/2035 (e) | 2,750 | 2,744 | ||||||
BX Commercial Mortgage Trust, | ||||||||
Series 2019-IMC, Class A, (ICE LIBOR USD 1 Month + 1.00%), 1.08%, 04/15/2034 (e) (aa) | 3,690 | 3,690 | ||||||
Series 2019-XL, Class D, (ICE LIBOR USD 1 Month + 1.45%), 1.53%, 10/15/2036 (e) (aa) | 3,817 | 3,821 | ||||||
BX Trust, Series 2017-SLCT, Class F, (ICE LIBOR USD 1 Month + 4.25%), 4.33%, 07/15/2034 (e) (aa) | 1,700 | 1,707 | ||||||
BXHPP Trust, | ||||||||
Series 2021-FILM, Class A, (ICE LIBOR USD 1 Month + 0.65%), 0.73%, 08/15/2036 (e) (aa) | 4,300 | 4,303 | ||||||
Series 2021-FILM, Class B, (ICE LIBOR USD 1 Month + 0.90%), 0.98%, 08/15/2036 (e) (aa) | 600 | 600 | ||||||
CHT Mortgage Trust, | ||||||||
Series 2017-CSMO, Class B, (ICE LIBOR USD 1 Month + 1.40%), 1.48%, 11/15/2036 (e) (aa) | 1,494 | 1,494 | ||||||
Series 2017-CSMO, Class E, (ICE LIBOR USD 1 Month + 3.00%), 3.08%, 11/15/2036 (e) (aa) | 5,310 | 5,311 | ||||||
Citigroup Commercial Mortgage Trust, Series 2020-GC46, Class XA, IO, 1.11%, 02/15/2053 (z) | 45,263 | 3,103 | ||||||
Credit Suisse Commercial Mortgage Securities Corp., Series 2019-SKLZ, Class A, (ICE LIBOR USD 1 Month + 1.25%), 1.33%, 01/15/2034 (e) (aa) | 1,226 | 1,232 | ||||||
CSMC, Series 2021-ADV, Class A, (ICE LIBOR USD 1 Month + 1.40%), 1.48%, 07/15/2038 (e) (aa) | 4,270 | 4,270 | ||||||
DBWF Mortgage Trust, Series 2018-GLKS, Class A, (ICE LIBOR USD 1 Month + 1.03%), 1.12%, 12/19/2030 (e) (aa) | 452 | 452 | ||||||
Eleven Madison Trust Mortgage Trust, Series 2015-11MD, Class A, 3.67%, 09/10/2035 (e) (z) | 3,845 | 4,150 | ||||||
Great Wolf Trust, | ||||||||
Series 2019-WOLF, Class D, (ICE LIBOR USD 1 Month + 1.93%), 2.02%, 12/15/2036 (e) (aa) | 3,000 | 2,981 | ||||||
Series 2019-WOLF, Class E, (ICE LIBOR USD 1 Month + 2.73%), 2.82%, 12/15/2036 (e) (aa) | 2,000 | 1,963 | ||||||
GS Mortgage Securities Corp. Trust, | ||||||||
Series 2018-RIVR, Class A, (ICE LIBOR USD 1 Month + 0.95%), 1.03%, 07/15/2035 (e) (aa) | 2,036 | 2,034 | ||||||
Series 2019-70P, Class A, (ICE LIBOR USD 1 Month + 1.00%), 1.08%, 10/15/2036 (e) (aa) | 1,252 | 1,250 | ||||||
Series 2021-ROSS, Class A, (ICE LIBOR USD 1 Month + 1.15%), 1.23%, 05/15/2026 (e) (aa) | 720 | 721 | ||||||
Series 2021-ROSS, Class H, (ICE LIBOR USD 1 Month + 5.90%), 5.98%, 05/15/2026 (e) (aa) | 270 | 270 | ||||||
GS Mortgage Securities Trust, Series 2015-GC34, Class A4, 3.51%, 10/10/2048 | 3,129 | 3,388 | ||||||
HONO Mortgage Trust, Series 2021-LULU, Class A, (ICE LIBOR USD 1 Month + 1.15%), 1.25%, 10/15/2036 (e) (w) (aa) | 4,410 | 4,410 | ||||||
Life Mortgage Trust, Series 2021-BMR, Class A, (ICE LIBOR USD 1 Month + 0.70%), 0.78%, 03/15/2038 (e) (aa) | 4,000 | 4,004 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
Series 2013-C7, Class A4, 2.92%, 02/15/2046 | 1,860 | 1,902 | ||||||
Series 2016-C29, Class A4, 3.33%, 05/15/2049 | 900 | 970 | ||||||
One Bryant Park Trust, Series 2019-OBP, Class A, 2.52%, 09/15/2054 (e) | 3,520 | 3,619 | ||||||
ONE Mortgage Trust, Series 2021-PARK, Class A, (ICE LIBOR USD 1 Month + 0.70%), 0.78%, 03/15/2036 (e) (aa) | 3,800 | 3,800 | ||||||
One New York Plaza Trust, | ||||||||
Series 2020-1NYP, Class AJ, (ICE LIBOR USD 1 Month + 1.25%), 1.33%, 01/15/2026 (e) (aa) | 1,970 | 1,976 | ||||||
Series 2020-1NYP, Class B, (ICE LIBOR USD 1 Month + 1.50%), 1.58%, 01/15/2026 (e) (aa) | 1,200 | 1,205 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Commercial Mortgage-Backed Securities continued | ||||||||
PFP Ltd., (Cayman Islands), | ||||||||
Series 2019-5, Class A, (ICE LIBOR USD 1 Month + 0.97%), 1.05%, 04/14/2036 (e) (aa) | 464 | 463 | ||||||
Series 2019-6, Class C, (ICE LIBOR USD 1 Month + 2.10%), 2.18%, 04/14/2037 (e) (aa) | 1,297 | 1,297 | ||||||
Series 2021-7, Class A, (ICE LIBOR USD 1 Month + 0.85%), 0.93%, 04/14/2038 (e) (aa) | 10,000 | 9,971 | ||||||
VASA Trust, Series 2021-VASA, Class B, (ICE LIBOR USD 1 Month + 1.25%), 1.33%, 07/15/2039 (e) (aa) | 7,960 | 7,962 | ||||||
VNDO Mortgage Trust, Series 2012-6AVE, Class A, 3.00%, 11/15/2030 (e) | 700 | 715 | ||||||
Waikiki Beach Hotel Trust, Series 2019-WBM, Class D, (ICE LIBOR USD 1 Month + 2.03%), 2.11%, 12/15/2033 (e) (aa) | 600 | 596 | ||||||
WFRBS Commercial Mortgage Trust, | ||||||||
Series 2013-C15, Class AS, 4.36%, 08/15/2046 (z) | 1,000 | 1,047 | ||||||
Series 2014-C19, Class A5, 4.10%, 03/15/2047 | 2,745 | 2,949 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities (Cost $103,230) | 103,048 | |||||||
|
| |||||||
Convertible Bonds 1.5% | ||||||||
Basic Materials 0.0% (g) | ||||||||
Mining 0.0% (g) | ||||||||
Glencore Funding LLC, Reg. S, Zero Coupon, 03/27/2025 | 200 | 199 | ||||||
|
| |||||||
Communications 0.7% | ||||||||
Internet 0.3% | ||||||||
Airbnb, Inc., Zero Coupon, 03/15/2026 (e) | 2,020 | 1,985 | ||||||
Booking Holdings, Inc., 0.75%, 05/01/2025 | 1,374 | 2,018 | ||||||
Uber Technologies, Inc., Zero Coupon, 12/15/2025 (e) | 5,875 | 5,714 | ||||||
Zillow Group, Inc., 1.38%, 09/01/2026 | 194 | 408 | ||||||
|
| |||||||
10,125 | ||||||||
|
| |||||||
Media 0.4% | ||||||||
Cable One, Inc., 1.13%, 03/15/2028 (e) | 3,716 | 3,770 | ||||||
DISH Network Corp., | ||||||||
2.38%, 03/15/2024 | 1,042 | 1,016 | ||||||
3.38%, 08/15/2026 | 3,522 | 3,661 | ||||||
Liberty Broadband Corp., | ||||||||
1.25%, 09/30/2050 (e) | 1,496 | 1,519 | ||||||
2.75%, 09/30/2050 (e) | 3,103 | 3,276 | ||||||
|
| |||||||
13,242 | ||||||||
|
| |||||||
Total Communications | 23,367 | |||||||
|
| |||||||
Consumer Cyclical 0.0% (g) | ||||||||
Airlines 0.0% (g) | ||||||||
International Consolidated Airlines Group SA, (Spain), | ||||||||
Series IAG, Reg. S, 0.63%, 11/17/2022 | EUR | 100 | 114 | |||||
Series IAG, Reg. S, 1.13%, 05/18/2028 | EUR | 200 | 228 | |||||
|
| |||||||
342 | ||||||||
|
| |||||||
Auto Manufacturers 0.0% (g) | ||||||||
Ford Motor Co., Zero Coupon, 03/15/2026 (e) | 814 | 878 | ||||||
|
|
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Convertible Bonds continued | ||||||||
Retail 0.0% (g) | ||||||||
National Vision Holdings, Inc., 2.50%, 05/15/2025 | 869 | 1,682 | ||||||
|
| |||||||
Total Consumer Cyclical | 2,902 | |||||||
|
| |||||||
Consumer Non-cyclical 0.1% | ||||||||
Commercial Services 0.0% (g) | ||||||||
Nexi SpA, (Italy), Reg. S, Zero Coupon, 02/24/2028 | EUR | 100 | 112 | |||||
Shift4 Payments, Inc., Zero Coupon, 12/15/2025 (e) | 1,244 | 1,494 | ||||||
|
| |||||||
1,606 | ||||||||
|
| |||||||
Healthcare - Services 0.1% | ||||||||
Anthem, Inc., 2.75%, 10/15/2042 | 440 | 2,322 | ||||||
|
| |||||||
Total Consumer Non-cyclical | 3,928 | |||||||
|
| |||||||
Energy 0.3% | ||||||||
Oil & Gas 0.3% | ||||||||
BP Capital Markets plc, (United Kingdom), Reg. S, 1.00%, 04/28/2023 | GBP | 200 | 281 | |||||
Centennial Resource Production LLC, 3.25%, 04/01/2028 | 1,727 | 2,264 | ||||||
CNX Resources Corp., 2.25%, 05/01/2026 | 1,965 | 2,446 | ||||||
EQT Corp., 1.75%, 05/01/2026 | 1,472 | 2,321 | ||||||
Pioneer Natural Resources Co., 0.25%, 05/15/2025 | 1,022 | 1,661 | ||||||
|
| |||||||
Total Energy | 8,973 | |||||||
|
| |||||||
Financial 0.3% | ||||||||
Banks 0.3% | ||||||||
Barclays Bank plc, (United Kingdom), | ||||||||
Zero Coupon, 02/04/2025 | 2,318 | 3,445 | ||||||
Series VUN, Zero Coupon, 02/18/2025 | 3,818 | 4,225 | ||||||
BofA Finance LLC, 0.13%, 09/01/2022 | 2,521 | 3,045 | ||||||
Cembra Money Bank AG, (Switzerland), Reg. S, Zero Coupon, 07/09/2026 | CHF | 200 | 211 | |||||
|
| |||||||
Total Financial | 10,926 | |||||||
|
| |||||||
Industrial 0.0% (g) | ||||||||
Engineering & Construction 0.0% (g) | ||||||||
Cellnex Telecom SA, (Spain), Reg. S, 0.75%, 11/20/2031 | EUR | 700 | 797 | |||||
|
| |||||||
Technology 0.1% | ||||||||
Semiconductors 0.1% | ||||||||
ams AG, (Austria), Reg. S, Zero Coupon, 03/05/2025 | EUR | 200 | 205 | |||||
Microchip Technology, Inc., | ||||||||
0.13%, 11/15/2024 | 847 | 957 | ||||||
1.63%, 02/15/2025 | 91 | 309 | ||||||
1.63%, 02/15/2027 | 591 | 1,349 | ||||||
|
| |||||||
Total Technology | 2,820 | |||||||
|
| |||||||
Total Convertible Bonds (Cost $51,781) | 53,912 | |||||||
|
|
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds 77.2% | ||||||||
Basic Materials 3.7% | ||||||||
Chemicals 1.6% | ||||||||
Ashland LLC, 3.38%, 09/01/2031 (e) | 1,589 | 1,604 | ||||||
Axalta Coating Systems LLC, 3.38%, 02/15/2029 (e) | 1,518 | 1,480 | ||||||
Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding B BV, (Multinational), 4.75%, 06/15/2027 (e) | 932 | 972 | ||||||
Braskem Finance Ltd., (Cayman Islands), 6.45%, 02/03/2024 | 200 | 221 | ||||||
CeramTec BondCo GmbH, (Germany), Reg. S, 5.25%, 12/15/2025 | EUR | 200 | 236 | |||||
Chemours Co. (The), | ||||||||
4.00%, 05/15/2026 | EUR | 200 | 236 | |||||
4.63%, 11/15/2029 (e) | 1,925 | 1,880 | ||||||
5.75%, 11/15/2028 (e) | 1,627 | 1,706 | ||||||
Diamond BC BV, (Netherlands), 4.63%, 10/01/2029 (e) | 1,753 | 1,779 | ||||||
Element Solutions, Inc., 3.88%, 09/01/2028 (e) | 5,887 | 5,946 | ||||||
GCP Applied Technologies, Inc., 5.50%, 04/15/2026 (e) | 344 | 352 | ||||||
HB Fuller Co., 4.25%, 10/15/2028 | 600 | 610 | ||||||
Herens Holdco Sarl, (Luxembourg), 4.75%, 05/15/2028 (e) | 2,131 | 2,142 | ||||||
Herens Midco Sarl, (Luxembourg), Reg. S, 5.25%, 05/15/2029 | EUR | 135 | 152 | |||||
Hexion, Inc., 7.88%, 07/15/2027 (e) | 2,815 | 3,005 | ||||||
Illuminate Buyer LLC / Illuminate Holdings IV, Inc., 9.00%, 07/01/2028 (e) | 2,407 | 2,654 | ||||||
INEOS Finance plc, (United Kingdom), Reg. S, 3.38%, 03/31/2026 | EUR | 200 | 237 | |||||
INEOS Quattro Finance 2 Plc, (United Kingdom), 3.38%, 01/15/2026 (e) | 200 | 202 | ||||||
LSF11 A5 HoldCo LLC, 6.63%, 10/15/2029 (e) (w) (bb) | 842 | 842 | ||||||
LYB International Finance III LLC, (ICE LIBOR USD 3 Month + 1.00%), 1.13%, 10/01/2023 (aa) | 1,104 | 1,105 | ||||||
Minerals Technologies, Inc., 5.00%, 07/01/2028 (e) | 310 | 322 | ||||||
Monitchem HoldCo 3 SA, (Luxembourg), Reg. S, 5.25%, 03/15/2025 | EUR | 200 | 237 | |||||
Mosaic Co. (The), 3.25%, 11/15/2022 | 493 | 507 | ||||||
Olympus Water US Holding Corp., | ||||||||
4.25%, 10/01/2028 (e) (w) | 1,300 | 1,280 | ||||||
6.25%, 10/01/2029 (e) (w) | 900 | 892 | ||||||
Orbia Advance Corp. SAB de CV, (Mexico), 1.88%, 05/11/2026 (e) | 374 | 375 | ||||||
Polar US Borrower LLC / Schenectady International Group, Inc., 6.75%, 05/15/2026 (e) | 725 | 729 | ||||||
Rain CII Carbon LLC / CII Carbon Corp., 7.25%, 04/01/2025 (e) | 1,925 | 1,973 | ||||||
SCIH Salt Holdings, Inc., | ||||||||
4.88%, 05/01/2028 (e) | 1,247 | 1,253 | ||||||
6.63%, 05/01/2029 (e) | 1,391 | 1,336 | ||||||
SPCM SA, (France), | ||||||||
3.13%, 03/15/2027 (e) | 343 | 344 | ||||||
3.38%, 03/15/2030 (e) | 600 | 599 | ||||||
TPC Group, Inc., | ||||||||
10.50%, 08/01/2024 (e) | 1,150 | 1,064 | ||||||
10.88%, 08/01/2024 (e) | 783 | 834 | ||||||
Tronox, Inc., | ||||||||
4.63%, 03/15/2029 (e) | 1,740 | 1,731 | ||||||
6.50%, 05/01/2025 (e) | 3,305 | 3,469 | ||||||
Valvoline, Inc., | ||||||||
3.63%, 06/15/2031 (e) | 550 | 543 | ||||||
4.25%, 02/15/2030 (e) | 1,150 | 1,192 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Chemicals continued | ||||||||
Venator Finance Sarl / Venator Materials LLC, (Multinational), | ||||||||
5.75%, 07/15/2025 (e) | 2,285 | 2,160 | ||||||
9.50%, 07/01/2025 (e) | 1,000 | 1,106 | ||||||
WR Grace Holdings LLC, | ||||||||
4.88%, 06/15/2027 (e) | 990 | 1,016 | ||||||
5.63%, 10/01/2024 (e) | 830 | 909 | ||||||
5.63%, 08/15/2029 (e) | 3,893 | 4,010 | ||||||
|
| |||||||
55,242 | ||||||||
|
| |||||||
Forest Products & Paper 0.0% (g) | ||||||||
Clearwater Paper Corp., 4.75%, 08/15/2028 (e) | 1,086 | 1,116 | ||||||
Suzano Austria GmbH, (Austria), 5.75%, 07/14/2026 (e) | 200 | 231 | ||||||
|
| |||||||
1,347 | ||||||||
|
| |||||||
Iron/Steel 0.4% | ||||||||
Allegheny Technologies, Inc., | ||||||||
4.88%, 10/01/2029 | 390 | 391 | ||||||
5.13%, 10/01/2031 | 387 | 390 | ||||||
7.88%, 08/15/2023 | 46 | 52 | ||||||
Baffinland Iron Mines Corp. / Baffinland Iron Mines LP, (Canada), 8.75%, 07/15/2026 (e) | 776 | 822 | ||||||
Big River Steel LLC / BRS Finance Corp., 6.63%, 01/31/2029 (e) | 4,849 | 5,243 | ||||||
Cleveland-Cliffs, Inc., | ||||||||
4.63%, 03/01/2029 (e) | 650 | 665 | ||||||
4.88%, 03/01/2031 (e) | 825 | 852 | ||||||
CSN Resources SA, (Luxembourg), 7.63%, 04/17/2026 (e) | 970 | 1,028 | ||||||
POSCO, (South Korea), 2.38%, 11/12/2022 (e) | 2,095 | 2,134 | ||||||
thyssenkrupp AG, (Germany), Reg. S, 2.88%, 02/22/2024 | EUR | 100 | 119 | |||||
TMS International Corp., 6.25%, 04/15/2029 (e) | 425 | 444 | ||||||
United States Steel Corp., | ||||||||
6.25%, 03/15/2026 | 18 | 19 | ||||||
6.88%, 03/01/2029 | 2,750 | 2,932 | ||||||
|
| |||||||
15,091 | ||||||||
|
| |||||||
Mining 1.7% | ||||||||
Alcoa Nederland Holding BV, (Netherlands), | ||||||||
5.50%, 12/15/2027 (e) | 846 | 908 | ||||||
6.13%, 05/15/2028 (e) | 331 | 359 | ||||||
Anglo American Capital plc, (United Kingdom), 4.88%, 05/14/2025 (e) | 544 | 608 | ||||||
Arconic Corp., | ||||||||
6.00%, 05/15/2025 (e) | 570 | 599 | ||||||
6.13%, 02/15/2028 (e) | 988 | 1,047 | ||||||
Coeur Mining, Inc., 5.13%, 02/15/2029 (e) | 625 | 600 | ||||||
Compass Minerals International, Inc., 4.88%, 07/15/2024 (e) | 750 | 781 | ||||||
Constellium SE, (France), | ||||||||
3.75%, 04/15/2029 (e) | 4,202 | 4,092 | ||||||
5.63%, 06/15/2028 (e) | 1,283 | 1,348 | ||||||
Eldorado Gold Corp., (Canada), 6.25%, 09/01/2029 (e) | 2,175 | 2,150 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Mining continued | ||||||||
First Quantum Minerals Ltd., (Canada), | ||||||||
6.50%, 03/01/2024 (e) | 785 | 795 | ||||||
6.88%, 03/01/2026 (e) | 2,575 | 2,678 | ||||||
6.88%, 10/15/2027 (e) | 375 | 397 | ||||||
7.25%, 04/01/2023 (e) | 4,725 | 4,807 | ||||||
FMG Resources August 2006 Pty Ltd., (Australia), 5.13%, 05/15/2024 (e) | 534 | 570 | ||||||
Freeport-McMoRan, Inc., | ||||||||
4.25%, 03/01/2030 | 50 | 53 | ||||||
4.38%, 08/01/2028 | 100 | 105 | ||||||
4.55%, 11/14/2024 | 2,380 | 2,573 | ||||||
5.00%, 09/01/2027 | 925 | 964 | ||||||
5.25%, 09/01/2029 | 900 | 978 | ||||||
5.40%, 11/14/2034 | 347 | 417 | ||||||
5.45%, 03/15/2043 | 4,187 | 5,155 | ||||||
Glencore Finance Canada Ltd., (Canada), | ||||||||
4.25%, 10/25/2022 (e) | 465 | 483 | ||||||
4.95%, 11/15/2021 (e) | 896 | 899 | ||||||
Glencore Funding LLC, | ||||||||
1.63%, 04/27/2026 (e) | 396 | 394 | ||||||
4.13%, 05/30/2023 (e) | 2,804 | 2,963 | ||||||
4.13%, 03/12/2024 (e) | 2,000 | 2,142 | ||||||
4.63%, 04/29/2024 (e) | 558 | 608 | ||||||
Hecla Mining Co., 7.25%, 02/15/2028 | 1,000 | 1,077 | ||||||
Hudbay Minerals, Inc., (Canada), | ||||||||
4.50%, 04/01/2026 (e) | 375 | 372 | ||||||
6.13%, 04/01/2029 (e) | 2,075 | 2,173 | ||||||
IAMGOLD Corp., (Canada), 5.75%, 10/15/2028 (e) | 1,195 | 1,177 | ||||||
Joseph T Ryerson & Son, Inc., 8.50%, 08/01/2028 (e) | 434 | 481 | ||||||
Kaiser Aluminum Corp., 4.50%, 06/01/2031 (e) | 494 | 506 | ||||||
Kinross Gold Corp., (Canada), 5.95%, 03/15/2024 | 206 | 228 | ||||||
KME SE, (Germany), Reg. S, 6.75%, 02/01/2023 | EUR | 100 | 110 | |||||
New Gold, Inc., (Canada), | ||||||||
6.38%, 05/15/2025 (e) | 350 | 361 | ||||||
7.50%, 07/15/2027 (e) | 4,890 | 5,031 | ||||||
Novelis Corp., | ||||||||
3.25%, 11/15/2026 (e) | 1,909 | 1,936 | ||||||
3.88%, 08/15/2031 (e) | 2,832 | 2,801 | ||||||
4.75%, 01/30/2030 (e) | 2,330 | 2,453 | ||||||
Vedanta Resources Finance II plc, (United Kingdom), 8.95%, 03/11/2025 (e) | 957 | 956 | ||||||
|
| |||||||
59,135 | ||||||||
|
| |||||||
Total Basic Materials | 130,815 | |||||||
|
|
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Communications 12.1% | ||||||||
Advertising 0.6% | ||||||||
Clear Channel International BV, (Netherlands), 6.63%, 08/01/2025 (e) | 2,318 | 2,414 | ||||||
Clear Channel Outdoor Holdings, Inc., | ||||||||
7.50%, 06/01/2029 (e) | 2,825 | 2,938 | ||||||
7.75%, 04/15/2028 (e) | 2,304 | 2,425 | ||||||
Lamar Media Corp., | ||||||||
3.63%, 01/15/2031 | 350 | 350 | ||||||
4.88%, 01/15/2029 | 100 | 106 | ||||||
Midas OpCo. Holdings LLC, 5.63%, 08/15/2029 (e) | 1,583 | 1,638 | ||||||
Outfront Media Capital LLC / Outfront Media Capital Corp., | ||||||||
4.25%, 01/15/2029 (e) | 741 | 735 | ||||||
4.63%, 03/15/2030 (e) | 200 | 200 | ||||||
5.00%, 08/15/2027 (e) | 263 | 270 | ||||||
6.25%, 06/15/2025 (e) | 500 | 528 | ||||||
Summer BC Holdco A Sarl, (Luxembourg), Reg. S, 9.25%, 10/31/2027 | EUR | 90 | 113 | |||||
Summer BC Holdco B Sarl, (Luxembourg), Reg. S, 5.75%, 10/31/2026 | EUR | 300 | 364 | |||||
Terrier Media Buyer, Inc., 8.88%, 12/15/2027 (e) | 8,868 | 9,377 | ||||||
|
| |||||||
21,458 | ||||||||
|
| |||||||
Internet 1.1% | ||||||||
Acuris Finance US, Inc. / Acuris Finance Sarl, 5.00%, 05/01/2028 (e) | 1,437 | 1,430 | ||||||
ANGI Group LLC, 3.88%, 08/15/2028 (e) | 1,003 | 998 | ||||||
Arches Buyer, Inc., 4.25%, 06/01/2028 (e) | 115 | 117 | ||||||
Baidu, Inc., (Cayman Islands), 3.08%, 04/07/2025 | 3,000 | 3,147 | ||||||
Cablevision Lightpath LLC, | ||||||||
3.88%, 09/15/2027 (e) | 2,258 | 2,216 | ||||||
5.63%, 09/15/2028 (e) | 2,412 | 2,421 | ||||||
Cars.com, Inc., 6.38%, 11/01/2028 (e) | 900 | 949 | ||||||
Expedia Group, Inc., 3.60%, 12/15/2023 | 1,086 | 1,149 | ||||||
Go Daddy Operating Co. LLC / GD Finance Co., Inc., | ||||||||
3.50%, 03/01/2029 (e) | 974 | 965 | ||||||
5.25%, 12/01/2027 (e) | 1,000 | 1,043 | ||||||
HSE Finance Sarl, (Luxembourg), Reg. S, 5.63%, 10/15/2026 | EUR | 100 | 120 | |||||
ION Trading Technologies Sarl, (Luxembourg), 5.75%, 05/15/2028 (e) | 687 | 700 | ||||||
Match Group Holdings II LLC, | ||||||||
3.63%, 10/01/2031 (e) (w) | 398 | 393 | ||||||
4.13%, 08/01/2030 (e) | 631 | 657 | ||||||
4.63%, 06/01/2028 (e) | 769 | 801 | ||||||
5.00%, 12/15/2027 (e) | 1,000 | 1,044 | ||||||
Meituan, (Cayman Islands), 2.13%, 10/28/2025 (e) | 800 | 777 | ||||||
Millennium Escrow Corp., 6.63%, 08/01/2026 (e) | 425 | 438 | ||||||
Netflix, Inc., | ||||||||
4.88%, 06/15/2030 (e) | 1,031 | 1,214 | ||||||
5.38%, 11/15/2029 (e) | 1,022 | 1,238 | ||||||
5.88%, 11/15/2028 | 876 | 1,072 | ||||||
Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc., | ||||||||
4.75%, 04/30/2027 (e) (w) (bb) | 864 | 864 | ||||||
6.00%, 02/15/2028 (e) | 1,588 | 1,580 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Internet continued | ||||||||
NortonLifeLock, Inc., 5.00%, 04/15/2025 (e) | 1,160 | 1,178 | ||||||
Rakuten Group, Inc., (Japan), Reg. S, (EUR Swap Rate 5 Year + 4.74%), 4.25%, 04/22/2027 (x) (aa) | EUR | 200 | 234 | |||||
Twitter, Inc., 3.88%, 12/15/2027 (e) | 1,373 | 1,466 | ||||||
Uber Technologies, Inc., | ||||||||
4.50%, 08/15/2029 (e) | 1,692 | 1,701 | ||||||
6.25%, 01/15/2028 (e) | 5 | 5 | ||||||
7.50%, 05/15/2025 (e) | 1,769 | 1,886 | ||||||
7.50%, 09/15/2027 (e) | 2,645 | 2,888 | ||||||
8.00%, 11/01/2026 (e) | 2,143 | 2,265 | ||||||
United Group BV, (Netherlands), Reg. S, 4.00%, 11/15/2027 | EUR | 100 | 114 | |||||
VeriSign, Inc., 5.25%, 04/01/2025 | 1,045 | 1,188 | ||||||
|
| |||||||
38,258 | ||||||||
|
| |||||||
Media 5.4% | ||||||||
Altice Financing SA, (Luxembourg), | ||||||||
Reg. S, 3.00%, 01/15/2028 | EUR | 100 | 109 | |||||
Reg. S, 4.25%, 08/15/2029 (w) | EUR | 107 | 122 | |||||
5.00%, 01/15/2028 (e) | 891 | 849 | ||||||
5.75%, 08/15/2029 (e) | 3,471 | 3,374 | ||||||
AMC Networks, Inc., 4.25%, 02/15/2029 | 1,444 | 1,436 | ||||||
Audacy Capital Corp., | ||||||||
6.50%, 05/01/2027 (e) | 925 | 946 | ||||||
6.75%, 03/31/2029 (e) | 575 | 579 | ||||||
Cable One, Inc., 4.00%, 11/15/2030 (e) | 353 | 352 | ||||||
CCO Holdings LLC / CCO Holdings Capital Corp., | ||||||||
4.25%, 02/01/2031 (e) | 9,598 | 9,742 | ||||||
4.25%, 01/15/2034 (e) | 4,281 | 4,260 | ||||||
4.50%, 08/15/2030 (e) | 2,100 | 2,167 | ||||||
4.50%, 05/01/2032 | 12,568 | 12,929 | ||||||
4.50%, 06/01/2033 (e) | 3,515 | 3,577 | ||||||
4.75%, 03/01/2030 (e) | 7,346 | 7,675 | ||||||
5.00%, 02/01/2028 (e) | 525 | 547 | ||||||
5.13%, 05/01/2027 (e) | 3,499 | 3,644 | ||||||
5.50%, 05/01/2026 (e) | 750 | 773 | ||||||
Clear Channel Worldwide Holdings, Inc., 5.13%, 08/15/2027 (e) | 4,344 | 4,495 | ||||||
CSC Holdings LLC, | ||||||||
3.38%, 02/15/2031 (e) | 1,065 | 990 | ||||||
4.13%, 12/01/2030 (e) | 2,500 | 2,453 | ||||||
4.50%, 11/15/2031 (e) | 2,072 | 2,046 | ||||||
4.63%, 12/01/2030 (e) | 9,763 | 9,250 | ||||||
5.00%, 11/15/2031 (e) | 1,800 | 1,728 | ||||||
5.25%, 06/01/2024 | 1,484 | 1,590 | ||||||
5.38%, 02/01/2028 (e) | 1,500 | 1,568 | ||||||
5.75%, 01/15/2030 (e) | 4,269 | 4,332 | ||||||
6.50%, 02/01/2029 (e) | 1,025 | 1,110 | ||||||
6.75%, 11/15/2021 | 4,445 | 4,456 | ||||||
Cumulus Media New Holdings, Inc., 6.75%, 07/01/2026 (e) | 723 | 748 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Media continued | ||||||||
Diamond Sports Group LLC / Diamond Sports Finance Co., | ||||||||
5.38%, 08/15/2026 (e) | 2,442 | 1,612 | ||||||
6.63%, 08/15/2027 (e) | 10,050 | 4,397 | ||||||
DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 5.88%, 08/15/2027 (e) | 2,004 | 2,092 | ||||||
DISH DBS Corp., | ||||||||
5.13%, 06/01/2029 | 5,294 | 5,187 | ||||||
5.88%, 07/15/2022 | 3,559 | 3,664 | ||||||
5.88%, 11/15/2024 | 2,115 | 2,274 | ||||||
7.38%, 07/01/2028 | 1,625 | 1,730 | ||||||
7.75%, 07/01/2026 | 6,002 | 6,775 | ||||||
Gray Television, Inc., | ||||||||
4.75%, 10/15/2030 (e) | 3,080 | 3,027 | ||||||
5.88%, 07/15/2026 (e) | 855 | 883 | ||||||
7.00%, 05/15/2027 (e) | 350 | 375 | ||||||
iHeartCommunications, Inc., | ||||||||
4.75%, 01/15/2028 (e) | 525 | 541 | ||||||
5.25%, 08/15/2027 (e) | 775 | 806 | ||||||
6.38%, 05/01/2026 | 730 | 771 | ||||||
8.38%, 05/01/2027 | 2,123 | 2,268 | ||||||
LCPR Senior Secured Financing DAC, (Ireland), | ||||||||
5.13%, 07/15/2029 (e) | 1,551 | 1,602 | ||||||
6.75%, 10/15/2027 (e) | 1,039 | 1,101 | ||||||
Midcontinent Communications / Midcontinent Finance Corp., 5.38%, 08/15/2027 (e) | 350 | 364 | ||||||
News Corp., 3.88%, 05/15/2029 (e) | 1,159 | 1,191 | ||||||
Nexstar Media, Inc., | ||||||||
4.75%, 11/01/2028 (e) | 2,650 | 2,749 | ||||||
5.63%, 07/15/2027 (e) | 1,801 | 1,907 | ||||||
Radiate Holdco LLC / Radiate Finance, Inc., | ||||||||
4.50%, 09/15/2026 (e) | 3,911 | 4,038 | ||||||
6.50%, 09/15/2028 (e) | 5,500 | 5,608 | ||||||
Scripps Escrow II, Inc., | ||||||||
3.88%, 01/15/2029 (e) | 750 | 753 | ||||||
5.38%, 01/15/2031 (e) | 1,550 | 1,524 | ||||||
Scripps Escrow, Inc., 5.88%, 07/15/2027 (e) | 875 | 898 | ||||||
Sinclair Television Group, Inc., | ||||||||
4.13%, 12/01/2030 (e) | 1,606 | 1,570 | ||||||
5.13%, 02/15/2027 (e) | 61 | 61 | ||||||
5.50%, 03/01/2030 (e) | 875 | 868 | ||||||
5.88%, 03/15/2026 (e) | 1,100 | 1,123 | ||||||
Sirius XM Radio, Inc., | ||||||||
3.13%, 09/01/2026 (e) | 2,782 | 2,820 | ||||||
3.88%, 09/01/2031 (e) | 4,690 | 4,582 | ||||||
4.00%, 07/15/2028 (e) | 1,798 | 1,828 | ||||||
4.13%, 07/01/2030 (e) | 325 | 327 | ||||||
5.50%, 07/01/2029 (e) | 238 | 257 | ||||||
TEGNA, Inc., 5.00%, 09/15/2029 | 1,050 | 1,082 | ||||||
Telenet Finance Luxembourg Notes Sarl, (Luxembourg), 5.50%, 03/01/2028 (e) | 2,000 | 2,101 | ||||||
Townsquare Media, Inc., 6.88%, 02/01/2026 (e) | 200 | 211 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Media continued | ||||||||
Univision Communications, Inc., | ||||||||
4.50%, 05/01/2029 (e) | 1,175 | 1,194 | ||||||
5.13%, 02/15/2025 (e) | 3,326 | 3,376 | ||||||
6.63%, 06/01/2027 (e) | 3,069 | 3,334 | ||||||
9.50%, 05/01/2025 (e) | 2,184 | 2,369 | ||||||
UPC Broadband Finco BV, (Netherlands), 4.88%, 07/15/2031 (e) | 2,877 | 2,946 | ||||||
UPC Holding BV, (Netherlands), Reg. S, 3.88%, 06/15/2029 | EUR | 200 | 238 | |||||
UPCB Finance VII Ltd., (Cayman Islands), Reg. S, 3.63%, 06/15/2029 | EUR | 244 | 290 | |||||
Urban One, Inc., 7.38%, 02/01/2028 (e) | 1,060 | 1,136 | ||||||
Videotron Ltd., (Canada), 3.63%, 06/15/2029 (e) | 1,465 | 1,485 | ||||||
Virgin Media Finance plc, (United Kingdom), | ||||||||
Reg. S, 3.75%, 07/15/2030 | EUR | 200 | 235 | |||||
5.00%, 07/15/2030 (e) | 1,650 | 1,685 | ||||||
Virgin Media Secured Finance plc, (United Kingdom), 5.50%, 05/15/2029 (e) | 375 | 397 | ||||||
Virgin Media Vendor Financing Notes IV DAC, (Ireland), 5.00%, 07/15/2028 (e) | 3,116 | 3,218 | ||||||
Ziggo Bond Co. BV, (Netherlands), | ||||||||
5.13%, 02/28/2030 (e) | 955 | 979 | ||||||
6.00%, 01/15/2027 (e) | 1,875 | 1,938 | ||||||
Ziggo BV, (Netherlands), 4.88%, 01/15/2030 (e) | 1,047 | 1,076 | ||||||
|
| |||||||
188,710 | ||||||||
|
| |||||||
Telecommunications 5.0% | ||||||||
Altice France Holding SA, (Luxembourg), | ||||||||
6.00%, 02/15/2028 (e) | 2,565 | 2,446 | ||||||
10.50%, 05/15/2027 (e) | 9,661 | 10,531 | ||||||
Altice France SA, (France), | ||||||||
Reg. S, 4.13%, 01/15/2029 | EUR | 400 | 458 | |||||
5.13%, 07/15/2029 (e) | 4,422 | 4,342 | ||||||
5.50%, 01/15/2028 (e) | 1,338 | 1,350 | ||||||
5.50%, 10/15/2029 (e) (w) | 1,718 | 1,701 | ||||||
7.38%, 05/01/2026 (e) | 5,668 | 5,882 | ||||||
8.13%, 02/01/2027 (e) | 1,667 | 1,794 | ||||||
Avaya, Inc., 6.13%, 09/15/2028 (e) | 2,078 | 2,185 | ||||||
CommScope Technologies LLC, 6.00%, 06/15/2025 (e) | 1,414 | 1,434 | ||||||
CommScope, Inc., | ||||||||
4.75%, 09/01/2029 (e) | 1,789 | 1,791 | ||||||
6.00%, 03/01/2026 (e) | 3,055 | 3,185 | ||||||
7.13%, 07/01/2028 (e) | 1,244 | 1,272 | ||||||
Connect Finco Sarl / Connect US Finco LLC, (Multinational), 6.75%, 10/01/2026 (e) | 7,845 | 8,208 | ||||||
Consolidated Communications, Inc., 6.50%, 10/01/2028 (e) | 1,715 | 1,863 | ||||||
Digicel Group Holdings Ltd., (Bermuda), 10.00% (Blend (cash 8.00% + PIK 2.00%)), 04/01/2024 (v) | 1,313 | 1,312 | ||||||
Digicel International Finance Ltd. / Digicel international Holdings Ltd., (Multinational), | ||||||||
8.75%, 05/25/2024 (e) | 1,545 | 1,599 | ||||||
8.00%, 12/31/2026 (e) | 5,725 | 5,539 | ||||||
13.00% (Blend (cash 6.00% + PIK 7.00%)), 12/31/2025 (e) (v) | 2,070 | 2,086 | ||||||
Digicel Ltd., (Bermuda), 6.75%, 03/01/2023 (e) | 6,500 | 6,126 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Telecommunications continued | ||||||||
Frontier Communications Holdings LLC, | ||||||||
5.00%, 05/01/2028 (e) | 3,660 | 3,843 | ||||||
5.88%, 10/15/2027 (e) | 1,301 | 1,382 | ||||||
6.75%, 05/01/2029 (e) | 1,012 | 1,067 | ||||||
Intelsat Jackson Holdings SA, (Luxembourg), | ||||||||
5.50%, 08/01/2023 (d) | 3,425 | 1,910 | ||||||
8.50%, 10/15/2024 (d) (e) | 3,800 | 2,166 | ||||||
9.75%, 07/15/2025 (d) (e) | 1,875 | 1,017 | ||||||
Intrado Corp., 8.50%, 10/15/2025 (e) | 4,084 | 4,058 | ||||||
Level 3 Financing, Inc., | ||||||||
3.75%, 07/15/2029 (e) | 1,595 | 1,542 | ||||||
4.25%, 07/01/2028 (e) | 1,139 | 1,148 | ||||||
5.25%, 03/15/2026 | 1,200 | 1,238 | ||||||
Ligado Networks LLC, 15.50% (PIK), 11/01/2023 (e) (v) | 547 | 530 | ||||||
LogMeIn, Inc., 5.50%, 09/01/2027 (e) | 1,075 | 1,095 | ||||||
Lorca Telecom Bondco SA, (Spain), Reg. S, 4.00%, 09/18/2027 | EUR | 100 | 116 | |||||
Lumen Technologies, Inc., | ||||||||
4.00%, 02/15/2027 (e) | 804 | 822 | ||||||
4.50%, 01/15/2029 (e) | 2,605 | 2,524 | ||||||
5.13%, 12/15/2026 (e) | 1,702 | 1,766 | ||||||
5.38%, 06/15/2029 (e) | 1,813 | 1,840 | ||||||
Series P, 7.60%, 09/15/2039 | 2,551 | 2,857 | ||||||
Series T, 5.80%, 03/15/2022 | 3,000 | 3,057 | ||||||
Series U, 7.65%, 03/15/2042 | 2,141 | 2,398 | ||||||
Matterhorn Telecom SA, (Luxembourg), Reg. S, 4.00%, 11/15/2027 | EUR | 300 | 356 | |||||
Nokia OYJ, (Finland), 6.63%, 05/15/2039 | 275 | 375 | ||||||
Oi Movel SA, (Brazil), Reg. S, 8.75%, 07/30/2026 | 200 | 204 | ||||||
Oi SA, (Brazil), Reg. S, 10.00% (cash), 07/27/2025 (v) | 100 | 94 | ||||||
Qwest Corp., 6.75%, 12/01/2021 | 1,000 | 1,009 | ||||||
SoftBank Group Corp., (Japan), | ||||||||
Reg. S, 5.00%, 04/15/2028 | EUR | 100 | 121 | |||||
Reg. S, (USD ICE Swap Rate 5 Year + 4.23%), 6.00%, 07/19/2023 (x) (aa) | 200 | 200 | ||||||
Sprint Capital Corp., | ||||||||
6.88%, 11/15/2028 | 4,366 | 5,588 | ||||||
8.75%, 03/15/2032 | 4,224 | 6,310 | ||||||
Sprint Communications, Inc., | ||||||||
6.00%, 11/15/2022 | 100 | 105 | ||||||
11.50%, 11/15/2021 | 1,959 | 1,981 | ||||||
Sprint Corp., | ||||||||
7.13%, 06/15/2024 | 400 | 455 | ||||||
7.63%, 02/15/2025 | 4,000 | 4,676 | ||||||
7.63%, 03/01/2026 | 6,671 | 8,072 | ||||||
7.88%, 09/15/2023 | 2,885 | 3,224 | ||||||
Switch Ltd., | ||||||||
3.75%, 09/15/2028 (e) | 1,438 | 1,460 | ||||||
4.13%, 06/15/2029 (e) | 2,105 | 2,160 | ||||||
Telecom Italia Capital SA, (Luxembourg), 6.00%, 09/30/2034 | 2,294 | 2,575 | ||||||
Telecom Italia Finance SA, (Luxembourg), Reg. S, 7.75%, 01/24/2033 | EUR | 400 | 676 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Telecommunications continued | ||||||||
Telecom Italia SpA, (Italy), | ||||||||
Reg. S, 1.63%, 01/18/2029 | EUR | 200 | 227 | |||||
5.30%, 05/30/2024 (e) | 1,172 | 1,262 | ||||||
Telefonica Europe BV, (Netherlands), Reg. S, (EUR Swap Rate 6 Year + 4.11%), 4.38%, 12/14/2024 (x) (aa) | EUR | 300 | 377 | |||||
Telesat Canada / Telesat LLC, (Canada), 4.88%, 06/01/2027 (e) | 430 | 396 | ||||||
T-Mobile USA, Inc., | ||||||||
2.63%, 02/15/2029 | 2,680 | 2,713 | ||||||
2.88%, 02/15/2031 | 844 | 851 | ||||||
3.50%, 04/15/2031 | 1,488 | 1,570 | ||||||
3.50%, 04/15/2031 (e) | 1,102 | 1,162 | ||||||
3.38%, 04/15/2029 (e) | 1,075 | 1,121 | ||||||
4.75%, 02/01/2028 | 1,600 | 1,700 | ||||||
Viasat, Inc., | ||||||||
5.63%, 09/15/2025 (e) | 765 | 775 | ||||||
5.63%, 04/15/2027 (e) | 1,185 | 1,235 | ||||||
6.50%, 07/15/2028 (e) | 2,849 | 3,001 | ||||||
Viavi Solutions, Inc., 3.75%, 10/01/2029 (e) | 1,507 | 1,510 | ||||||
Vmed O2 UK Financing I plc, (United Kingdom), | ||||||||
Reg. S, 4.00%, 01/31/2029 | GBP | 200 | 271 | |||||
4.75%, 07/15/2031 (e) | 3,080 | 3,147 | ||||||
Vodafone Group plc, (United Kingdom), | ||||||||
Reg. S, (USD Semi-annual Swap Rate 5 Year + 3.05%), 6.25%, 10/03/2078 (aa) | 200 | 220 | ||||||
Reg. S, (EUR Swap Rate 5 Year + 3.23%), 3.00%, 08/27/2080 (aa) | EUR | 100 | 119 | |||||
Zayo Group Holdings, Inc., | ||||||||
4.00%, 03/01/2027 (e) | 3,962 | 3,943 | ||||||
6.13%, 03/01/2028 (e) | 9,631 | 9,764 | ||||||
|
| |||||||
176,485 | ||||||||
|
| |||||||
Total Communications | 424,911 | |||||||
|
| |||||||
Consumer Cyclical 14.3% | ||||||||
Airlines 1.0% | ||||||||
Air Canada, (Canada), 3.88%, 08/15/2026 (e) | 1,536 | 1,549 | ||||||
Air France-KLM, (France), Reg. S, 3.88%, 07/01/2026 | EUR | 100 | 115 | |||||
American Airlines Group, Inc., 3.75%, 03/01/2025 (e) | 1,030 | 927 | ||||||
American Airlines, Inc., 11.75%, 07/15/2025 (e) | 4,863 | 6,018 | ||||||
American Airlines, Inc. / AAdvantage Loyalty IP Ltd., (Multinational), | ||||||||
5.50%, 04/20/2026 (e) | 1,775 | 1,865 | ||||||
5.75%, 04/20/2029 (e) | 5,000 | 5,388 | ||||||
Delta Air Lines, Inc., 7.00%, 05/01/2025 (e) | 949 | 1,107 | ||||||
Delta Air Lines, Inc. / SkyMiles IP Ltd., (Multinational), 4.75%, 10/20/2028 (e) | 2,560 | 2,854 | ||||||
Deutsche Lufthansa AG, (Germany), | ||||||||
Reg. S, 2.00%, 07/14/2024 | EUR | 200 | 236 | |||||
Reg. S, 2.88%, 02/11/2025 | EUR | 100 | 120 | |||||
Reg. S, 3.50%, 07/14/2029 | EUR | 200 | 239 | |||||
Finnair OYJ, (Finland), Reg. S, 4.25%, 05/19/2025 | EUR | 125 | 150 | |||||
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd., (Cayman Islands), 5.75%, 01/20/2026 (e) | 1,908 | 1,996 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Airlines continued | ||||||||
International Consolidated Airlines Group SA, (Spain), | ||||||||
Reg. S, 1.50%, 07/04/2027 | EUR | 100 | 107 | |||||
Reg. S, 2.75%, 03/25/2025 | EUR | 100 | 117 | |||||
Reg. S, 3.75%, 03/25/2029 | EUR | 100 | 117 | |||||
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/2027 (e) | 2,470 | 2,685 | ||||||
Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd., (Cayman Islands), 8.00%, 09/20/2025 (e) | 374 | 420 | ||||||
United Airlines 2020-1 Class A Pass Through Trust, Series 20-1, 5.88%, 10/15/2027 | 2,935 | 3,283 | ||||||
United Airlines 2020-1 Class B Pass Through Trust, 4.88%, 01/15/2026 | 56 | 59 | ||||||
United Airlines, Inc., | ||||||||
4.38%, 04/15/2026 (e) | 3,987 | 4,092 | ||||||
4.63%, 04/15/2029 (e) | 2,600 | 2,687 | ||||||
|
| |||||||
36,131 | ||||||||
|
| |||||||
Apparel 0.2% | ||||||||
Crocs, Inc., | ||||||||
4.13%, 08/15/2031 (e) | 713 | 718 | ||||||
4.25%, 03/15/2029 (e) | 535 | 551 | ||||||
Hanesbrands, Inc., 4.63%, 05/15/2024 (e) | 500 | 527 | ||||||
Levi Strauss & Co., 3.50%, 03/01/2031 (e) | 205 | 207 | ||||||
PVH Corp., 4.63%, 07/10/2025 | 1,590 | 1,751 | ||||||
Tapestry, Inc., 4.25%, 04/01/2025 | 1,000 | 1,080 | ||||||
William Carter Co. (The), | ||||||||
5.50%, 05/15/2025 (e) | 686 | 721 | ||||||
5.63%, 03/15/2027 (e) | 1,875 | 1,948 | ||||||
Wolverine World Wide, Inc., 4.00%, 08/15/2029 (e) | 832 | 840 | ||||||
|
| |||||||
8,343 | ||||||||
|
| |||||||
Auto Manufacturers 2.4% | ||||||||
Allison Transmission, Inc., | ||||||||
3.75%, 01/30/2031 (e) | 2,492 | 2,423 | ||||||
5.88%, 06/01/2029 (e) | 1,474 | 1,604 | ||||||
Daimler Finance North America LLC, 3.65%, 02/22/2024 (e) | 2,800 | 2,986 | ||||||
Ford Motor Co., | ||||||||
4.75%, 01/15/2043 | 7,125 | 7,468 | ||||||
5.29%, 12/08/2046 | 5,875 | 6,543 | ||||||
7.40%, 11/01/2046 | 275 | 370 | ||||||
7.45%, 07/16/2031 | 500 | 650 | ||||||
8.50%, 04/21/2023 | 250 | 275 | ||||||
9.00%, 04/22/2025 | 8,670 | 10,419 | ||||||
9.63%, 04/22/2030 | 750 | 1,063 | ||||||
Ford Motor Credit Co. LLC, | ||||||||
2.70%, 08/10/2026 | 1,024 | 1,026 | ||||||
2.90%, 02/16/2028 | 623 | 622 | ||||||
2.98%, 08/03/2022 | 4,385 | 4,433 | ||||||
3.38%, 11/13/2025 | 2,250 | 2,312 | ||||||
3.82%, 11/02/2027 | 200 | 207 | ||||||
4.00%, 11/13/2030 | 2,468 | 2,567 | ||||||
4.13%, 08/17/2027 | 315 | 334 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Auto Manufacturers continued | ||||||||
4.13%, 08/04/2025 | 1,577 | 1,668 | ||||||
4.39%, 01/08/2026 | 2,500 | 2,666 | ||||||
5.11%, 05/03/2029 | 1,176 | 1,314 | ||||||
5.13%, 06/16/2025 | 2,570 | 2,792 | ||||||
5.58%, 03/18/2024 | 4,429 | 4,760 | ||||||
General Motors Co., | ||||||||
5.40%, 10/02/2023 | 1,016 | 1,108 | ||||||
6.13%, 10/01/2025 | 50 | 59 | ||||||
General Motors Financial Co., Inc., | ||||||||
2.75%, 06/20/2025 | 2,724 | 2,847 | ||||||
3.15%, 06/30/2022 | 988 | 1,006 | ||||||
3.95%, 04/13/2024 | 681 | 728 | ||||||
5.10%, 01/17/2024 | 1,658 | 1,810 | ||||||
5.25%, 03/01/2026 | 451 | 515 | ||||||
Series C, (CMT Index 5 Year + 5.00%), 5.70%, 09/30/2030 (x) (aa) | 5 | 6 | ||||||
Hyundai Capital America, 0.80%, 01/08/2024 (e) | 1,257 | 1,251 | ||||||
0.88%, 06/14/2024 (e) | 852 | 847 | ||||||
1.00%, 09/17/2024 (e) | 351 | 350 | ||||||
1.25%, 09/18/2023 (e) | 1,000 | 1,009 | ||||||
1.50%, 06/15/2026 (e) | 674 | 667 | ||||||
2.85%, 11/01/2022 (e) | 1,214 | 1,243 | ||||||
Jaguar Land Rover Automotive plc, (United Kingdom), Reg. S, 6.88%, 11/15/2026 | EUR | 100 | 129 | |||||
JB Poindexter & Co., Inc., 7.13%, 04/15/2026 (e) | 950 | 1,000 | ||||||
PM General Purchaser LLC, 9.50%, 10/01/2028 (e) | 2,175 | 2,296 | ||||||
RCI Banque SA, (France), Reg. S, (EUR Swap Rate 5 Year + 2.85%), 2.63%, 02/18/2030 (aa) | EUR | 200 | 235 | |||||
Stellantis NV, (Netherlands), 5.25%, 04/15/2023 | 3,969 | 4,233 | ||||||
Volkswagen Group of America Finance LLC, | ||||||||
2.90%, 05/13/2022 (e) | 222 | 226 | ||||||
3.35%, 05/13/2025 (e) | 1,110 | 1,186 | ||||||
4.25%, 11/13/2023 (e) | 278 | 298 | ||||||
Wabash National Corp., 4.50%, | ||||||||
10/15/2028 (e) (w) | 1,420 | 1,418 | ||||||
5.50%, 10/01/2025 (e) | 349 | 354 | ||||||
|
| |||||||
83,323 | ||||||||
|
| |||||||
Auto Parts & Equipment 1.4% | ||||||||
Adient Global Holdings Ltd., (Jersey), 4.88%, 08/15/2026 (e) | 5,325 | 5,454 | ||||||
Adient US LLC, 9.00%, 04/15/2025 (e) | 427 | 461 | ||||||
American Axle & Manufacturing, Inc., | ||||||||
5.00%, 10/01/2029 | 2,100 | 2,049 | ||||||
6.25%, 03/15/2026 | 1,375 | 1,413 | ||||||
6.50%, 04/01/2027 | 950 | 990 | ||||||
6.88%, 07/01/2028 | 2,000 | 2,133 | ||||||
Clarios Global LP / Clarios US Finance Co., (Multinational), | ||||||||
Reg. S, 4.38%, 05/15/2026 | EUR | 300 | 359 | |||||
6.25%, 05/15/2026 (e) | 1,783 | 1,874 | ||||||
8.50%, 05/15/2027 (e) | 9,760 | 10,382 | ||||||
Clarios Global LP, (Canada), 6.75%, 05/15/2025 (e) | 3,150 | 3,323 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Auto Parts & Equipment continued | ||||||||
Cooper-Standard Automotive, Inc., 5.63%, 11/15/2026 (e) | 1,375 | 1,122 | ||||||
Dana Financing Luxembourg Sarl, (Luxembourg), 5.75%, 04/15/2025 (e) | 500 | 516 | ||||||
Dana, Inc., | ||||||||
4.25%, 09/01/2030 | 425 | 437 | ||||||
5.38%, 11/15/2027 | 775 | 817 | ||||||
5.63%, 06/15/2028 | 2,541 | 2,736 | ||||||
Dealer Tire LLC / DT Issuer LLC, 8.00%, 02/01/2028 (e) | 1,095 | 1,146 | ||||||
Dornoch Debt Merger Sub, Inc., 6.63%, 10/15/2029 (e) (w) | 1,185 | 1,185 | ||||||
Faurecia SE, (France), Reg. S, 3.75%, 06/15/2028 | EUR | 100 | 120 | |||||
Goodyear Tire & Rubber Co. (The), | ||||||||
5.00%, 07/15/2029 (e) | 491 | 523 | ||||||
5.25%, 07/15/2031 (e) | 1,427 | 1,520 | ||||||
5.63%, 04/30/2033 | 1,105 | 1,204 | ||||||
9.50%, 05/31/2025 | 199 | 218 | ||||||
Grupo Antolin-Irausa SA, (Spain), Reg. S, 3.50%, 04/30/2028 | EUR | 100 | 110 | |||||
IHO Verwaltungs GmbH, (Germany), | ||||||||
4.75% (cash), 09/15/2026 (e) (v) | 1,265 | 1,297 | ||||||
6.00% (cash), 05/15/2027 (e) (v) | 325 | 339 | ||||||
6.38% (cash), 05/15/2029 (e) (v) | 1,000 | 1,091 | ||||||
Leather 2 SpA, (Italy), Reg. S, (ICE LIBOR EUR 3 Month + 4.50%), 4.50%, 09/30/2028 (aa) | EUR | 100 | 116 | |||||
Meritor, Inc., 4.50%, 12/15/2028 (e) | 71 | 71 | ||||||
Real Hero Merger Sub 2, Inc., 6.25%, 02/01/2029 (e) | 1,500 | 1,557 | ||||||
Tenneco, Inc., | ||||||||
5.13%, 04/15/2029 (e) | 2,575 | 2,633 | ||||||
7.88%, 01/15/2029 (e) | 164 | 183 | ||||||
Titan International, Inc., 7.00%, 04/30/2028 (e) | 1,138 | 1,199 | ||||||
ZF Finance GmbH, (Germany), | ||||||||
Reg. S, 2.00%, 05/06/2027 | EUR | 100 | 117 | |||||
Reg. S, 3.75%, 09/21/2028 | EUR | 100 | 126 | |||||
ZF North America Capital, Inc., 4.75%, 04/29/2025 (e) | 1,465 | 1,582 | ||||||
|
| |||||||
50,403 | ||||||||
|
| |||||||
Distribution/Wholesale 0.3% | ||||||||
American Builders & Contractors Supply Co., Inc., 3.88%, 11/15/2029 (e) | 558 | 557 | ||||||
BCPE Empire Holdings, Inc., 7.63%, 05/01/2027 (e) | 1,719 | 1,710 | ||||||
H&E Equipment Services, Inc., 3.88%, 12/15/2028 (e) | 5,429 | 5,416 | ||||||
IAA, Inc., 5.50%, 06/15/2027 (e) | 28 | 29 | ||||||
KAR Auction Services, Inc., 5.13%, 06/01/2025 (e) | 975 | 986 | ||||||
|
| |||||||
8,698 | ||||||||
|
| |||||||
Entertainment 2.6% | ||||||||
Affinity Gaming, 6.88%, 12/15/2027 (e) | 1,323 | 1,389 | ||||||
Ballys Corp., 6.75%, 06/01/2027 (e) | 405 | 441 | ||||||
Banijay Group SAS, (France), Reg. S, 6.50%, 03/01/2026 | EUR | 200 | 242 | |||||
Boyne USA, Inc., 4.75%, 05/15/2029 (e) | 870 | 898 | ||||||
Caesars Entertainment, Inc., | ||||||||
4.63%, 10/15/2029 (e) | 2,550 | 2,585 | ||||||
6.25%, 07/01/2025 (e) | 8,299 | 8,737 | ||||||
8.13%, 07/01/2027 (e) | 6,142 | 6,902 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Entertainment continued | ||||||||
Caesars Resort Collection LLC / CRC Finco, Inc., | ||||||||
5.25%, 10/15/2025 (e) | 2,040 | 2,068 | ||||||
5.75%, 07/01/2025 (e) | 2,059 | 2,164 | ||||||
CCM Merger, Inc., 6.38%, 05/01/2026 (e) | 875 | 921 | ||||||
Cedar Fair LP, 5.25%, 07/15/2029 | 1,125 | 1,154 | ||||||
Cedar Fair LP / Canadas Wonderland Co. / Magnum Management Corp. / Millennium Op, 5.50%, 05/01/2025 (e) | 2,876 | 2,988 | ||||||
6.50%, 10/01/2028 | 3 | 3 | ||||||
Churchill Downs, Inc., | ||||||||
4.75%, 01/15/2028 (e) | 1,612 | 1,687 | ||||||
5.50%, 04/01/2027 (e) | 911 | 945 | ||||||
Cirsa Finance International Sarl, (Luxembourg), Reg. S, 4.75%, 05/22/2025 | EUR | 200 | 232 | |||||
CPUK Finance Ltd., (Jersey), | ||||||||
Reg. S, 4.50%, 08/28/2027 | GBP | 100 | 137 | |||||
Reg. S, 4.88%, 08/28/2025 | GBP | 200 | 272 | |||||
Everi Holdings, Inc., 5.00%, 07/15/2029 (e) | 438 | 449 | ||||||
Gamma Bidco SpA, (Italy), | ||||||||
Reg. S, 5.13%, 07/15/2025 | EUR | 100 | 118 | |||||
Reg. S, 6.25%, 07/15/2025 | EUR | 100 | 121 | |||||
Golden Entertainment, Inc., 7.63%, 04/15/2026 (e) | 2,750 | 2,901 | ||||||
International Game Technology plc, (United Kingdom), | ||||||||
Reg. S, 3.50%, 06/15/2026 | EUR | 200 | 238 | |||||
4.13%, 04/15/2026 (e) | 200 | 208 | ||||||
5.25%, 01/15/2029 (e) | 1,050 | 1,122 | ||||||
6.25%, 01/15/2027 (e) | 1,055 | 1,192 | ||||||
6.50%, 02/15/2025 (e) | 1,250 | 1,395 | ||||||
Jacobs Entertainment, Inc., 7.88%, 02/01/2024 (e) | 622 | 642 | ||||||
Lions Gate Capital Holdings LLC, 5.50%, 04/15/2029 (e) | 506 | 523 | ||||||
Live Nation Entertainment, Inc., | ||||||||
3.75%, 01/15/2028 (e) | 200 | 199 | ||||||
4.75%, 10/15/2027 (e) | 292 | 297 | ||||||
4.88%, 11/01/2024 (e) | 33 | 33 | ||||||
6.50%, 05/15/2027 (e) | 2,885 | 3,173 | ||||||
Merlin Entertainments Ltd., (United Kingdom), 5.75%, 06/15/2026 (e) | 420 | 434 | ||||||
Midwest Gaming Borrower LLC / Midwest Gaming Finance Corp., 4.88%, 05/01/2029 (e) | 2,234 | 2,276 | ||||||
Mohegan Gaming & Entertainment, 8.00%, 02/01/2026 (e) | 1,600 | 1,667 | ||||||
Motion Bondco DAC, (Ireland), 6.63%, 11/15/2027 (e) | 2,725 | 2,739 | ||||||
Peninsula Pacific Entertainment LLC / Peninsula Pacific Entertainment Finance In, 8.50%, 11/15/2027 (e) | 2,961 | 3,210 | ||||||
Penn National Gaming, Inc., | ||||||||
4.13%, 07/01/2029 (e) | 955 | 944 | ||||||
5.63%, 01/15/2027 (e) | 3,225 | 3,322 | ||||||
Powdr Corp., 6.00%, 08/01/2025 (e) | 186 | 195 | ||||||
Premier Entertainment Sub LLC / Premier Entertainment Finance Corp., | ||||||||
5.63%, 09/01/2029 (e) | 1,845 | 1,863 | ||||||
5.88%, 09/01/2031 (e) | 1,845 | 1,864 | ||||||
Raptor Acquisition Corp. / Raptor Co-Issuer LLC, 4.88%, 11/01/2026 (e) | 818 | 835 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Entertainment continued | ||||||||
Scientific Games International, Inc., | ||||||||
5.00%, 10/15/2025 (e) | 396 | 407 | ||||||
7.00%, 05/15/2028 (e) | 818 | 882 | ||||||
7.25%, 11/15/2029 (e) | 575 | 646 | ||||||
8.25%, 03/15/2026 (e) | 5,483 | 5,819 | ||||||
8.63%, 07/01/2025 (e) | 5,383 | 5,830 | ||||||
SeaWorld Parks & Entertainment, Inc., 5.25%, 08/15/2029 (e) | 950 | 971 | ||||||
Six Flags Entertainment Corp., 4.88%, 07/31/2024 (e) | 850 | 858 | ||||||
Six Flags Theme Parks, Inc., 7.00%, 07/01/2025 (e) | 2,994 | 3,189 | ||||||
Vail Resorts, Inc., 6.25%, 05/15/2025 (e) | 921 | 974 | ||||||
WMG Acquisition Corp., | ||||||||
3.00%, 02/15/2031 (e) | 500 | 488 | ||||||
3.88%, 07/15/2030 (e) | 25 | 26 | ||||||
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp., | ||||||||
5.13%, 10/01/2029 (e) | 5,226 | 5,291 | ||||||
7.75%, 04/15/2025 (e) | 1,220 | 1,287 | ||||||
|
| |||||||
92,393 | ||||||||
|
| |||||||
Food Service 0.1% | ||||||||
Aramark Services, Inc., | ||||||||
5.00%, 04/01/2025 (e) | 600 | 614 | ||||||
5.00%, 02/01/2028 (e) | 41 | 42 | ||||||
6.38%, 05/01/2025 (e) | 1,501 | 1,578 | ||||||
|
| |||||||
2,234 | ||||||||
|
| |||||||
Home Builders 1.8% | ||||||||
Ashton Woods USA LLC / Ashton Woods Finance Co., | ||||||||
4.63%, 08/01/2029 (e) | 1,883 | 1,901 | ||||||
4.63%, 04/01/2030 (e) | 767 | 772 | ||||||
6.63%, 01/15/2028 (e) | 700 | 744 | ||||||
Beazer Homes USA, Inc., | ||||||||
5.88%, 10/15/2027 | 2,925 | 3,064 | ||||||
6.75%, 03/15/2025 | 2,150 | 2,212 | ||||||
7.25%, 10/15/2029 | 1,950 | 2,147 | ||||||
Brookfield Residential Properties, Inc. / Brookfield Residential US LLC, (Canada), | ||||||||
4.88%, 02/15/2030 (e) | 2,563 | 2,614 | ||||||
5.00%, 06/15/2029 (e) | 1,271 | 1,300 | ||||||
6.25%, 09/15/2027 (e) | 5,575 | 5,861 | ||||||
Century Communities, Inc., | ||||||||
3.88%, 08/15/2029 (e) | 275 | 278 | ||||||
6.75%, 06/01/2027 | 1,850 | 1,975 | ||||||
Forestar Group, Inc., | ||||||||
3.85%, 05/15/2026 (e) | 1,540 | 1,538 | ||||||
5.00%, 03/01/2028 (e) | 1,100 | 1,136 | ||||||
KB Home, | ||||||||
4.00%, 06/15/2031 | 1,003 | 1,029 | ||||||
4.80%, 11/15/2029 | 2,250 | 2,453 | ||||||
6.88%, 06/15/2027 | 725 | 866 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Home Builders continued | ||||||||
Lennar Corp., | ||||||||
4.50%, 04/30/2024 | 1,818 | 1,966 | ||||||
4.75%, 11/15/2022 | 1,434 | 1,481 | ||||||
4.75%, 05/30/2025 | 915 | 1,019 | ||||||
5.38%, 10/01/2022 | 1,000 | 1,047 | ||||||
M/I Homes, Inc., 4.95%, 02/01/2028 | 1,880 | 1,967 | ||||||
Mattamy Group Corp., (Canada), | ||||||||
4.63%, 03/01/2030 (e) | 3,784 | 3,867 | ||||||
5.25%, 12/15/2027 (e) | 250 | 261 | ||||||
Meritage Homes Corp., | ||||||||
5.13%, 06/06/2027 | 1,375 | 1,531 | ||||||
6.00%, 06/01/2025 | 2,575 | 2,910 | ||||||
Picasso Finance Sub, Inc., 6.13%, 06/15/2025 (e) | 1,614 | 1,707 | ||||||
Shea Homes LP / Shea Homes Funding Corp., | ||||||||
4.75%, 02/15/2028 (e) | 1,300 | 1,337 | ||||||
4.75%, 04/01/2029 (e) | 1,150 | 1,182 | ||||||
STL Holding Co. LLC, 7.50%, 02/15/2026 (e) | 1,100 | 1,160 | ||||||
Taylor Morrison Communities, Inc., | ||||||||
5.13%, 08/01/2030 (e) | 3,277 | 3,527 | ||||||
5.75%, 01/15/2028 (e) | 900 | 1,003 | ||||||
5.88%, 06/15/2027 (e) | 2,922 | 3,331 | ||||||
6.63%, 07/15/2027 (e) | 2,800 | 2,954 | ||||||
Toll Brothers Finance Corp., | ||||||||
4.38%, 04/15/2023 | 230 | 238 | ||||||
4.88%, 11/15/2025 | 146 | 164 | ||||||
Tri Pointe Homes, Inc., | ||||||||
5.25%, 06/01/2027 | 175 | 189 | ||||||
5.70%, 06/15/2028 | 975 | 1,060 | ||||||
Williams Scotsman International, Inc., 4.63%, 08/15/2028 (e) | 771 | 803 | ||||||
|
| |||||||
64,594 | ||||||||
|
| |||||||
Home Furnishings 0.1% | ||||||||
Tempur Sealy International, Inc., | ||||||||
3.88%, 10/15/2031 (e) | 1,027 | 1,028 | ||||||
4.00%, 04/15/2029 (e) | 1,730 | 1,784 | ||||||
|
| |||||||
2,812 | ||||||||
|
| |||||||
Housewares 0.3% | ||||||||
CD&R Smokey Buyer, Inc., 6.75%, 07/15/2025 (e) | 641 | 677 | ||||||
Newell Brands, Inc., | ||||||||
4.88%, 06/01/2025 | 1,150 | 1,269 | ||||||
6.00%, 04/01/2046 | 411 | 531 | ||||||
Scotts Miracle-Gro Co. (The), | ||||||||
4.00%, 04/01/2031 (e) | 2,073 | 2,069 | ||||||
4.50%, 10/15/2029 | 1,927 | 2,014 | ||||||
SWF Escrow Issuer Corp., 6.50%, 10/01/2029 (e) (w) | 2,195 | 2,139 | ||||||
|
| |||||||
8,699 | ||||||||
|
|
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Leisure Time 0.7% | ||||||||
Carnival Corp., (Panama), | ||||||||
4.00%, 08/01/2028 (e) | 3,560 | 3,595 | ||||||
5.75%, 03/01/2027 (e) | 3,069 | 3,169 | ||||||
9.88%, 08/01/2027 (e) | 1,123 | 1,296 | ||||||
Reg. S, 10.13%, 02/01/2026 | EUR | 200 | 266 | |||||
11.50%, 04/01/2023 (e) | 4,488 | 5,010 | ||||||
Life Time, Inc., | ||||||||
5.75%, 01/15/2026 (e) | 993 | 1,033 | ||||||
8.00%, 04/15/2026 (e) | 668 | 713 | ||||||
MajorDrive Holdings IV LLC, 6.38%, 06/01/2029 (e) | 370 | 361 | ||||||
NCL Corp. Ltd., (Bermuda), | ||||||||
5.88%, 03/15/2026 (e) | 860 | 881 | ||||||
10.25%, 02/01/2026 (e) | 540 | 620 | ||||||
NCL Finance Ltd., (Bermuda), 6.13%, 03/15/2028 (e) | 1,084 | 1,125 | ||||||
Royal Caribbean Cruises Ltd., (Liberia), | ||||||||
5.50%, 08/31/2026 (e) | 257 | 264 | ||||||
5.50%, 04/01/2028 (e) | 1,443 | 1,476 | ||||||
9.13%, 06/15/2023 (e) | 772 | 839 | ||||||
11.50%, 06/01/2025 (e) | 1,292 | 1,474 | ||||||
Viking Cruises Ltd., (Bermuda), 5.88%, 09/15/2027 (e) | 200 | 194 | ||||||
6.25%, 05/15/2025 (e) | 500 | 501 | ||||||
Viking Ocean Cruises Ship VII Ltd., (Bermuda), 5.63%, 02/15/2029 (e) | 762 | 759 | ||||||
Vista Outdoor, Inc., 4.50%, 03/15/2029 (e) | 575 | 583 | ||||||
|
| |||||||
24,159 | ||||||||
|
| |||||||
Lodging 1.1% | ||||||||
Accor SA, (France), Reg. S, (EUR Swap Rate 5 Year + 4.56%), 4.38%, 01/30/2024 (x) (aa) | EUR | 200 | 239 | |||||
Boyd Gaming Corp., | ||||||||
4.75%, 12/01/2027 | 3,816 | 3,944 | ||||||
4.75%, 06/15/2031 (e) | 2,765 | 2,851 | ||||||
8.63%, 06/01/2025 (e) | 721 | 781 | ||||||
Full House Resorts, Inc., 8.25%, 02/15/2028 (e) | 113 | 121 | ||||||
Hilton Domestic Operating Co., Inc., | ||||||||
3.63%, 02/15/2032 (e) | 2,850 | 2,807 | ||||||
3.75%, 05/01/2029 (e) | 1,600 | 1,616 | ||||||
4.00%, 05/01/2031 (e) | 915 | 929 | ||||||
4.88%, 01/15/2030 | 1,958 | 2,101 | ||||||
5.38%, 05/01/2025 (e) | 425 | 444 | ||||||
5.75%, 05/01/2028 (e) | 315 | 339 | ||||||
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp., 4.88%, 04/01/2027 | 1,567 | 1,620 | ||||||
Hyatt Hotels Corp., | ||||||||
1.30%, 10/01/2023 (w) | 495 | 496 | ||||||
1.80%, 10/01/2024 (w) | 220 | 220 | ||||||
Marriott International, Inc., Series EE, 5.75%, 05/01/2025 | 68 | 78 | ||||||
MGM Resorts International, | ||||||||
4.63%, 09/01/2026 | 500 | 524 | ||||||
4.75%, 10/15/2028 | 4,780 | 5,037 | ||||||
5.50%, 04/15/2027 | 1,900 | 2,062 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Lodging continued | ||||||||
5.75%, 06/15/2025 | 398 | 434 | ||||||
6.00%, 03/15/2023 | 465 | 492 | ||||||
6.75%, 05/01/2025 | 3,190 | 3,361 | ||||||
Station Casinos LLC, | ||||||||
4.50%, 02/15/2028 (e) | 900 | 914 | ||||||
5.00%, 10/01/2025 (e) | 876 | 889 | ||||||
Sugarhouse HSP Gaming Prop Mezz LP / Sugarhouse HSP Gaming Finance Corp., 5.88%, 05/15/2025 (e) | 1,650 | 1,650 | ||||||
Travel + Leisure Co., | ||||||||
6.60%, 10/01/2025 | 1,090 | 1,224 | ||||||
6.63%, 07/31/2026 (e) | 581 | 662 | ||||||
Wyndham Hotels & Resorts, Inc., 4.38%, 08/15/2028 (e) | 294 | 307 | ||||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 4.25%, 05/30/2023 (e) | 840 | 846 | ||||||
Wynn Macau Ltd., (Cayman Islands), | ||||||||
4.88%, 10/01/2024 (e) | 500 | 486 | ||||||
5.13%, 12/15/2029 (e) | 525 | 493 | ||||||
5.50%, 10/01/2027 (e) | 1,330 | 1,270 | ||||||
|
| |||||||
39,237 | ||||||||
|
| |||||||
Office Furnishings 0.0% (g) | ||||||||
Interface, Inc., 5.50%, 12/01/2028 (e) | 475 | 499 | ||||||
|
| |||||||
Retail 2.2% | ||||||||
1011778 BC ULC / New Red Finance, Inc., (Canada), | ||||||||
3.50%, 02/15/2029 (e) | 1,475 | 1,463 | ||||||
3.88%, 01/15/2028 (e) | 1,432 | 1,444 | ||||||
4.00%, 10/15/2030 (e) | 6,650 | 6,583 | ||||||
4.38%, 01/15/2028 (e) | 1,943 | 1,973 | ||||||
5.75%, 04/15/2025 (e) | 77 | 81 | ||||||
Academy Ltd., 6.00%, 11/15/2027 (e) | 350 | 378 | ||||||
Ambience Merger Sub, Inc., | ||||||||
4.88%, 07/15/2028 (e) | 175 | 175 | ||||||
7.13%, 07/15/2029 (e) | 475 | 474 | ||||||
Arcos Dorados Holdings, Inc., (British Virgin Islands), | ||||||||
5.88%, 04/04/2027 (e) | 200 | 208 | ||||||
6.63%, 09/27/2023 (e) | 500 | 541 | ||||||
Asbury Automotive Group, Inc., | ||||||||
4.50%, 03/01/2028 | 388 | 399 | ||||||
4.75%, 03/01/2030 | 3 | 3 | ||||||
Bath & Body Works, Inc., | ||||||||
6.63%, 10/01/2030 (e) | 3 | 3 | ||||||
6.88%, 11/01/2035 | 1,441 | 1,809 | ||||||
9.38%, 07/01/2025 (e) | 349 | 443 | ||||||
BCPE Ulysses Intermediate, Inc., 7.75% (cash), 04/01/2027 (e) (v) | 297 | 295 | ||||||
Beacon Roofing Supply, Inc., 4.13%, 05/15/2029 (e) | 356 | 354 | ||||||
Brinker International, Inc., | ||||||||
3.88%, 05/15/2023 | 675 | 696 | ||||||
5.00%, 10/01/2024 (e) | 1,781 | 1,886 | ||||||
Burger King France SAS, (France), Reg. S, 6.00%, 05/01/2024 | EUR | 100 | 118 | |||||
Caleres, Inc., 6.25%, 08/15/2023 | 250 | 250 | ||||||
Carrols Restaurant Group, Inc., 5.88%, 07/01/2029 (e) | 1,113 | 1,048 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Retail continued | ||||||||
Carvana Co., | ||||||||
4.88%, 09/01/2029 (e) | 811 | 804 | ||||||
5.50%, 04/15/2027 (e) | 999 | 1,019 | ||||||
Constellation Automotive Financing plc, (United Kingdom), Reg. S, 4.88%, 07/15/2027 | GBP | 100 | 134 | |||||
Douglas GmbH, (Germany), Reg. S, 6.00%, 04/08/2026 | EUR | 100 | 117 | |||||
Dufry One BV, (Netherlands), Reg. S, 2.50%, 10/15/2024 | EUR | 200 | 229 | |||||
eG Global Finance plc, (United Kingdom), | ||||||||
Reg. S, 6.25%, 10/30/2025 | EUR | 200 | 237 | |||||
Reg. S, 6.25%, 03/30/2026 | GBP | 119 | 165 | |||||
6.75%, 02/07/2025 (e) | 1,018 | 1,041 | ||||||
8.50%, 10/30/2025 (e) | 1,193 | 1,242 | ||||||
Foot Locker, Inc., 4.00%, 10/01/2029 (e) (w) | 425 | 426 | ||||||
Foundation Building Materials, Inc., 6.00%, 03/01/2029 (e) | 2,502 | 2,452 | ||||||
Gap, Inc. (The), | ||||||||
3.63%, 10/01/2029 (e) | 125 | 125 | ||||||
3.88%, 10/01/2031 (e) | 175 | 175 | ||||||
Golden Nugget, Inc., 6.75%, 10/15/2024 (e) | 2,205 | 2,208 | ||||||
Goldstory SASU, (France), Reg. S, 5.38%, 03/01/2026 | EUR | 100 | 120 | |||||
GYP Holdings III Corp., 4.63%, 05/01/2029 (e) | 1,352 | 1,367 | ||||||
IRB Holding Corp., | ||||||||
6.75%, 02/15/2026 (e) | 1,269 | 1,304 | ||||||
7.00%, 06/15/2025 (e) | 263 | 279 | ||||||
Ken Garff Automotive LLC, 4.88%, 09/15/2028 (e) | 3 | 3 | ||||||
LBM Acquisition LLC, 6.25%, 01/15/2029 (e) | 3,462 | 3,460 | ||||||
LCM Investments Holdings II LLC, | ||||||||
4.88%, 05/01/2029 (e) | 1,351 | 1,386 | ||||||
Series SEP, 4.88%, 05/01/2029 (e) | 266 | 273 | ||||||
Lithia Motors, Inc., 3.88%, 06/01/2029 (e) | 492 | 511 | ||||||
Marks & Spencer plc, (United Kingdom), Reg. S, 4.50%, 07/10/2027 | GBP | 100 | 144 | |||||
NMG Holding Co., Inc. / Neiman Marcus Group LLC, 7.13%, 04/01/2026 (e) | 1,844 | 1,957 | ||||||
Park River Holdings, Inc., 5.63%, 02/01/2029 (e) | 2,850 | 2,761 | ||||||
Penske Automotive Group, Inc., | ||||||||
3.50%, 09/01/2025 | 438 | 451 | ||||||
3.75%, 06/15/2029 (e) | 252 | 253 | ||||||
PetSmart, Inc. / PetSmart Finance Corp., | ||||||||
4.75%, 02/15/2028 (e) | 1,481 | 1,526 | ||||||
7.75%, 02/15/2029 (e) | 4,357 | 4,755 | ||||||
Sally Holdings LLC / Sally Capital, Inc., | ||||||||
5.63%, 12/01/2025 | 1,250 | 1,281 | ||||||
8.75%, 04/30/2025 (e) | 3,000 | 3,232 | ||||||
Specialty Building Products Holdings LLC / SBP Finance Corp., 6.38%, 09/30/2026 (e) | 1,319 | 1,388 | ||||||
SRS Distribution, Inc., | ||||||||
4.63%, 07/01/2028 (e) | 2,211 | 2,256 | ||||||
6.13%, 07/01/2029 (e) | 1,966 | 2,025 | ||||||
Staples, Inc., | ||||||||
7.50%, 04/15/2026 (e) | 2,561 | 2,599 | ||||||
10.75%, 04/15/2027 (e) | 700 | 682 | ||||||
Stonegate Pub Co. Financing 2019 plc, (United Kingdom), Reg. S, 8.25%, 07/31/2025 | GBP | 200 | 283 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Retail continued | ||||||||
Suburban Propane Partners LP / Suburban Energy Finance Corp., | ||||||||
5.00%, 06/01/2031 (e) | 1,843 | 1,912 | ||||||
5.88%, 03/01/2027 | 1,675 | 1,746 | ||||||
Superior Plus LP / Superior General Partner, Inc., (Canada), 4.50%, 03/15/2029 (e) | 975 | 1,007 | ||||||
Tendam Brands SAU, (Spain), Reg. S, (ICE LIBOR EUR 3 Month + 5.25%), 5.25%, 09/15/2024 (aa) | EUR | 100 | 115 | |||||
White Cap Buyer LLC, 6.88%, 10/15/2028 (e) | 2,721 | 2,871 | ||||||
White Cap Parent LLC, 8.25% (cash), 03/15/2026 (e) (v) | 1,510 | 1,559 | ||||||
Yum! Brands, Inc., | ||||||||
3.63%, 03/15/2031 | 1,300 | 1,307 | ||||||
4.63%, 01/31/2032 | 100 | 107 | ||||||
4.75%, 01/15/2030 (e) | 527 | 571 | ||||||
|
| |||||||
76,489 | ||||||||
|
| |||||||
Toys/Games/Hobbies 0.1% | ||||||||
Mattel, Inc., | ||||||||
3.38%, 04/01/2026 (e) | 630 | 649 | ||||||
3.75%, 04/01/2029 (e) | 776 | 809 | ||||||
5.45%, 11/01/2041 | 633 | 750 | ||||||
6.20%, 10/01/2040 | 722 | 928 | ||||||
|
| |||||||
3,136 | ||||||||
|
| |||||||
Total Consumer Cyclical | 501,150 | |||||||
|
| |||||||
Consumer Non-cyclical 13.1% | ||||||||
Agriculture 0.2% | ||||||||
BAT Capital Corp., 3.22%, 08/15/2024 | 86 | 91 | ||||||
BAT International Finance plc, (United Kingdom), 3.95%, 06/15/2025 (e) | 1,108 | 1,203 | ||||||
Imperial Brands Finance plc, (United Kingdom), | ||||||||
3.13%, 07/26/2024 (e) | 1,223 | 1,286 | ||||||
3.75%, 07/21/2022 (e) | 342 | 349 | ||||||
Reynolds American, Inc., 4.45%, 06/12/2025 | 332 | 366 | ||||||
Tereos Finance Groupe I SA, (France), Reg. S, 7.50%, 10/30/2025 | EUR | 100 | 124 | |||||
Vector Group Ltd., 5.75%, 02/01/2029 (e) | 3,200 | 3,199 | ||||||
Viterra Finance BV, (Netherlands), 2.00%, 04/21/2026 (e) | 1,342 | 1,351 | ||||||
|
| |||||||
7,969 | ||||||||
|
| |||||||
Beverages 0.1% | ||||||||
Bacardi Ltd., (Bermuda), 4.45%, 05/15/2025 (e) | 223 | 246 | ||||||
Central American Bottling Corp., (British Virgin Islands), 5.75%, 01/31/2027 (e) | 1,100 | 1,133 | ||||||
|
| |||||||
1,379 | ||||||||
|
| |||||||
Biotechnology 0.0% (g) | ||||||||
Grifols Escrow Issuer SA, (Spain), | ||||||||
Reg. S, 3.88%, 10/15/2028 (w) | EUR | 100 | 117 | |||||
4.75%, 10/15/2028 (e) (w) | 200 | 204 | ||||||
HCRX Investments Holdco LP, 4.50%, 08/01/2029 (e) | 1,011 | 1,016 | ||||||
|
| |||||||
1,337 | ||||||||
|
|
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Commercial Services 3.2% | ||||||||
Adani Ports & Special Economic Zone Ltd., (India), 3.38%, 07/24/2024 (e) | 800 | 833 | ||||||
ADT Security Corp. (The), 4.88%, 07/15/2032 (e) | 847 | 854 | ||||||
Adtalem Global Education, Inc., 5.50%, 03/01/2028 (e) | 775 | 786 | ||||||
Allied Universal Holdco LLC / Allied Universal Finance Corp., | ||||||||
6.00%, 06/01/2029 (e) | 4,913 | 4,848 | ||||||
6.63%, 07/15/2026 (e) | 6,273 | 6,632 | ||||||
9.75%, 07/15/2027 (e) | 5,927 | 6,431 | ||||||
Allied Universal Holdco LLC / Allied Universal Finance Corp. / Atlas Luxco 4 Sarl, (Multinational), | ||||||||
4.63%, 06/01/2028 (e) | 8,669 | 8,657 | ||||||
Reg. S, 3.63%, 06/01/2028 | EUR | 117 | 133 | |||||
Reg. S, 4.88%, 06/01/2028 | GBP | 100 | 132 | |||||
AMN Healthcare, Inc., | ||||||||
4.00%, 04/15/2029 (e) | 1,875 | 1,927 | ||||||
4.63%, 10/01/2027 (e) | 303 | 314 | ||||||
APX Group, Inc., | ||||||||
5.75%, 07/15/2029 (e) | 1,029 | 1,015 | ||||||
6.75%, 02/15/2027 (e) | 1,804 | 1,918 | ||||||
Ashtead Capital, Inc., 4.38%, 08/15/2027 (e) | 1,027 | 1,076 | ||||||
Autostrade per lItalia SpA, (Italy), Reg. S, 1.88%, 11/04/2025 | EUR | 100 | 120 | |||||
Avis Budget Car Rental LLC / Avis Budget Finance, Inc., | ||||||||
4.75%, 04/01/2028 (e) | 1,000 | 1,031 | ||||||
5.38%, 03/01/2029 (e) | 305 | 323 | ||||||
5.75%, 07/15/2027 (e) | 500 | 521 | ||||||
Avis Budget Finance Plc, (Jersey), Reg. S, 4.75%, 01/30/2026 | EUR | 300 | 355 | |||||
Brinks Co. (The), 5.50%, 07/15/2025 (e) | 1,000 | 1,045 | ||||||
Carriage Services, Inc., 4.25%, 05/15/2029 (e) | 450 | 454 | ||||||
CoreLogic, Inc., 4.50%, 05/01/2028 (e) | 2,222 | 2,208 | ||||||
EC Finance plc, (United Kingdom), | ||||||||
Reg. S, 2.38%, 11/15/2022 | EUR | 126 | 146 | |||||
Reg. S, 3.00%, 10/15/2026 (w) | EUR | 282 | 329 | |||||
Garda World Security Corp., (Canada), | ||||||||
4.63%, 02/15/2027 (e) | 1,801 | 1,801 | ||||||
6.00%, 06/01/2029 (e) | 600 | 584 | ||||||
9.50%, 11/01/2027 (e) | 2,587 | 2,790 | ||||||
Gartner, Inc., | ||||||||
3.63%, 06/15/2029 (e) | 1,539 | 1,558 | ||||||
3.75%, 10/01/2030 (e) | 2,181 | 2,245 | ||||||
4.50%, 07/01/2028 (e) | 928 | 974 | ||||||
HealthEquity, Inc., 4.50%, 10/01/2029 (e) (w) | 1,201 | 1,222 | ||||||
Herc Holdings, Inc., 5.50%, 07/15/2027 (e) | 899 | 943 | ||||||
House of Finance NV (The), (Belgium), Reg. S, 4.38%, 07/15/2026 | EUR | 100 | 119 | |||||
IHS Markit Ltd., (Bermuda), 4.13%, 08/01/2023 | 731 | 775 | ||||||
Intertrust Group BV, (Netherlands), Reg. S, 3.38%, 11/15/2025 | EUR | 100 | 118 | |||||
IPD 3 BV, (Netherlands), Reg. S, 5.50%, 12/01/2025 | EUR | 200 | 242 | |||||
Jaguar Holding Co. II / PPD Development LP, | ||||||||
4.63%, 06/15/2025 (e) | 1,406 | 1,461 | ||||||
5.00%, 06/15/2028 (e) | 1,787 | 1,923 | ||||||
La Financiere Atalian SASU, (France), Reg. S, 6.63%, 05/15/2025 | GBP | 100 | 134 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Commercial Services continued | ||||||||
Legends Hospitality Holding Co. LLC / Legends Hospitality Co-Issuer, Inc., 5.00%, 02/01/2026 (e) | 41 | 42 | ||||||
Loxam SAS, (France), | ||||||||
Reg. S, 3.75%, 07/15/2026 | EUR | 100 | 118 | |||||
Reg. S, 5.75%, 07/15/2027 | EUR | 100 | 121 | |||||
Metis Merger Sub LLC, 6.50%, 05/15/2029 (e) | 3,298 | 3,207 | ||||||
MoneyGram International, Inc., 5.38%, 08/01/2026 (e) | 391 | 397 | ||||||
MPH Acquisition Holdings LLC, | ||||||||
5.50%, 09/01/2028 (e) | 2,308 | 2,325 | ||||||
5.75%, 11/01/2028 (e) | 1,625 | 1,531 | ||||||
NESCO Holdings II, Inc., 5.50%, 04/15/2029 (e) | 1,940 | 2,012 | ||||||
Nielsen Co. Luxembourg Sarl (The), (Luxembourg), 5.00%, 02/01/2025 (e) | 825 | 845 | ||||||
Nielsen Finance LLC / Nielsen Finance Co., | ||||||||
4.50%, 07/15/2029 (e) | 775 | 758 | ||||||
4.75%, 07/15/2031 (e) | 1,359 | 1,322 | ||||||
5.63%, 10/01/2028 (e) | 3,101 | 3,213 | ||||||
5.88%, 10/01/2030 (e) | 624 | 657 | ||||||
Prime Security Services Borrower LLC / Prime Finance, Inc., | ||||||||
3.38%, 08/31/2027 (e) | 646 | 621 | ||||||
5.75%, 04/15/2026 (e) | 266 | 288 | ||||||
6.25%, 01/15/2028 (e) | 893 | 923 | ||||||
Quanta Services, Inc., 0.95%, 10/01/2024 | 216 | 216 | ||||||
Rekeep SpA, (Italy), Reg. S, 7.25%, 02/01/2026 | EUR | 200 | 250 | |||||
Sabre GLBL, Inc., | ||||||||
7.38%, 09/01/2025 (e) | 2,237 | 2,388 | ||||||
9.25%, 04/15/2025 (e) | 1,315 | 1,520 | ||||||
Service Corp. International, | ||||||||
3.38%, 08/15/2030 | 2,072 | 2,070 | ||||||
4.00%, 05/15/2031 | 2,910 | 3,008 | ||||||
Shift4 Payments LLC / Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/2026 (e) | 1,341 | 1,400 | ||||||
Signal Parent, Inc., 6.13%, 04/01/2029 (e) | 750 | 716 | ||||||
Sothebys, 7.38%, 10/15/2027 (e) | 2,403 | 2,541 | ||||||
Sothebys/Bidfair Holdings, Inc., 5.88%, 06/01/2029 (e) | 1,542 | 1,586 | ||||||
Square, Inc., 3.50%, 06/01/2031 (e) | 2,483 | 2,554 | ||||||
Techem Verwaltungsgesellschaft 674 mbH, (Germany), Reg. S, 6.00%, 07/30/2026 | EUR | 88 | 105 | |||||
Triton Container International Ltd., (Bermuda), | ||||||||
0.80%, 08/01/2023 (e) | 992 | 991 | ||||||
1.15%, 06/07/2024 (e) | 223 | 223 | ||||||
United Rentals North America, Inc., | ||||||||
3.75%, 01/15/2032 | 1,450 | 1,466 | ||||||
3.88%, 02/15/2031 | 2,050 | 2,101 | ||||||
4.00%, 07/15/2030 | 375 | 389 | ||||||
4.88%, 01/15/2028 | 4,000 | 4,229 | ||||||
5.25%, 01/15/2030 | 1,930 | 2,114 | ||||||
Verisure Holding AB, (Sweden), Reg. S, 3.25%, 02/15/2027 | EUR | 100 | 116 | |||||
Verscend Escrow Corp., 9.75%, 08/15/2026 (e) | 5,913 | 6,231 | ||||||
WASH Multifamily Acquisition, Inc., 5.75%, 04/15/2026 (e) | 333 | 347 | ||||||
|
| |||||||
113,918 | ||||||||
|
|
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Cosmetics/Personal Care 0.0% (g) | ||||||||
Coty, Inc., Reg. S, 4.00%, 04/15/2023 | EUR | 300 | 349 | |||||
Edgewell Personal Care Co., 4.13%, 04/01/2029 (e) | 625 | 625 | ||||||
|
| |||||||
974 | ||||||||
|
| |||||||
Food 2.6% | ||||||||
Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, | ||||||||
3.25%, 03/15/2026 (e) | 230 | 233 | ||||||
3.50%, 02/15/2023 (e) | 25 | 26 | ||||||
3.50%, 03/15/2029 (e) | 1,891 | 1,884 | ||||||
4.63%, 01/15/2027 (e) | 2,756 | 2,891 | ||||||
4.88%, 02/15/2030 (e) | 943 | 1,016 | ||||||
5.88%, 02/15/2028 (e) | 2,087 | 2,223 | ||||||
7.50%, 03/15/2026 (e) | 1,500 | 1,620 | ||||||
B&G Foods, Inc., 5.25%, 09/15/2027 | 3,036 | 3,167 | ||||||
Bellis Acquisition Co. plc, (United Kingdom), Reg. S, 3.25%, 02/16/2026 | GBP | 100 | 132 | |||||
C&S Group Enterprises LLC, 5.00%, 12/15/2028 (e) | 1,425 | 1,347 | ||||||
Casino Guichard Perrachon SA, (France), Reg. S, (ICE EURIBOR Swap Rate 5 Year + 3.82%), 3.99%, 01/31/2024 (x) (aa) | EUR | 100 | 82 | |||||
Chobani LLC / Chobani Finance Corp., Inc., | ||||||||
4.63%, 11/15/2028 (e) | 1,351 | 1,395 | ||||||
7.50%, 04/15/2025 (e) | 3,616 | 3,762 | ||||||
Fresh Market, Inc. (The), 9.75%, 05/01/2023 (e) | 102 | 105 | ||||||
Iceland Bondco plc, (United Kingdom), | ||||||||
Reg. S, 4.38%, 05/15/2028 | GBP | 200 | 239 | |||||
Reg. S, 4.63%, 03/15/2025 | GBP | 100 | 125 | |||||
JBS USA LUX SA / JBS USA Finance, Inc., (Multinational), 6.75%, 02/15/2028 (e) | 732 | 794 | ||||||
JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., (Multinational), | ||||||||
3.75%, 12/01/2031 (e) | 1,985 | 2,065 | ||||||
5.50%, 01/15/2030 (e) | 762 | 848 | ||||||
6.50%, 04/15/2029 (e) | 5,470 | 6,113 | ||||||
Kraft Heinz Foods Co., | ||||||||
3.00%, 06/01/2026 | 758 | 798 | ||||||
4.25%, 03/01/2031 | 4,612 | 5,208 | ||||||
4.38%, 06/01/2046 | 5,342 | 6,078 | ||||||
4.88%, 10/01/2049 | 7,616 | 9,268 | ||||||
5.00%, 07/15/2035 | 400 | 492 | ||||||
5.00%, 06/04/2042 | 525 | 644 | ||||||
5.20%, 07/15/2045 | 4,585 | 5,742 | ||||||
5.50%, 06/01/2050 | 5,696 | 7,499 | ||||||
6.88%, 01/26/2039 | 1,250 | 1,845 | ||||||
NBM US Holdings, Inc., 7.00%, 05/14/2026 (e) | 1,000 | 1,064 | ||||||
Performance Food Group, Inc., 4.25%, 08/01/2029 (e) | 1,994 | 1,999 | ||||||
Pilgrims Pride Corp., | ||||||||
3.50%, 03/01/2032 (e) | 2,403 | 2,444 | ||||||
4.25%, 04/15/2031 (e) | 2,475 | 2,659 | ||||||
5.88%, 09/30/2027 (e) | 1,650 | 1,754 | ||||||
Post Holdings, Inc., | ||||||||
4.50%, 09/15/2031 (e) | 3,215 | 3,177 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Food continued | ||||||||
4.63%, 04/15/2030 (e) | 2,504 | 2,523 | ||||||
5.50%, 12/15/2029 (e) | 450 | 477 | ||||||
5.63%, 01/15/2028 (e) | 1,216 | 1,278 | ||||||
5.75%, 03/01/2027 (e) | 1,325 | 1,376 | ||||||
Premier Foods Finance plc, (United Kingdom), Reg. S, 3.50%, 10/15/2026 | GBP | 100 | 136 | |||||
Quatrim SASU, (France), Reg. S, 5.88%, 01/15/2024 | EUR | 200 | 239 | |||||
Simmons Foods, Inc. / Simmons Prepared Foods, Inc. / Simmons Pet Food, Inc. / Simmons Feed, 4.63%, 03/01/2029 (e) | 881 | 888 | ||||||
US Foods, Inc., | ||||||||
4.75%, 02/15/2029 (e) | 2,963 | 3,041 | ||||||
6.25%, 04/15/2025 (e) | 270 | 283 | ||||||
|
| |||||||
90,979 | ||||||||
|
| |||||||
Healthcare - Products 0.5% | ||||||||
Avantor Funding, Inc., 4.63%, 07/15/2028 (e) | 3,337 | 3,512 | ||||||
Hologic, Inc., 3.25%, 02/15/2029 (e) | 177 | 178 | ||||||
Mozart Debt Merger Sub, Inc., | ||||||||
3.88%, 04/01/2029 (e) (w) (bb) | 2,025 | 2,020 | ||||||
5.25%, 10/01/2029 (e) (w) (bb) | 6,285 | 6,411 | ||||||
Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA, | ||||||||
7.25%, 02/01/2028 (e) | 3,326 | 3,559 | ||||||
7.38%, 06/01/2025 (e) | 1,480 | 1,562 | ||||||
PerkinElmer, Inc., 0.85%, 09/15/2024 | 648 | 648 | ||||||
|
| |||||||
17,890 | ||||||||
|
| |||||||
Healthcare - Services 4.0% | ||||||||
Acadia Healthcare Co., Inc., 5.00%, 04/15/2029 (e) | 469 | 488 | ||||||
AHP Health Partners, Inc., 5.75%, 07/15/2029 (e) | 1,913 | 1,932 | ||||||
Akumin, Inc., (Canada), 7.00%, 11/01/2025 (e) | 100 | 97 | ||||||
BUPA Finance plc, (United Kingdom), Reg. S, (UK Gilts 5 Year + 3.17%), 4.00%, 09/24/2031 (x) (aa) | GBP | 200 | 265 | |||||
CAB SELAS, (France), Reg. S, 3.38%, 02/01/2028 | EUR | 200 | 234 | |||||
Cano Health LLC, 6.25%, 10/01/2028 (e) | 330 | 333 | ||||||
Catalent Pharma Solutions, Inc., | ||||||||
Reg. S, 2.38%, 03/01/2028 | EUR | 300 | 352 | |||||
3.13%, 02/15/2029 (e) | 647 | 635 | ||||||
3.50%, 04/01/2030 (e) | 2,773 | 2,773 | ||||||
5.00%, 07/15/2027 (e) | 768 | 798 | ||||||
Centene Corp., | ||||||||
2.45%, 07/15/2028 | 3,388 | 3,405 | ||||||
2.50%, 03/01/2031 | 3,928 | 3,874 | ||||||
2.63%, 08/01/2031 | 2,969 | 2,949 | ||||||
3.00%, 10/15/2030 | 5,845 | 5,991 | ||||||
4.25%, 12/15/2027 | 1,228 | 1,285 | ||||||
4.63%, 12/15/2029 | 1,950 | 2,126 | ||||||
Charles River Laboratories International, Inc., | ||||||||
3.75%, 03/15/2029 (e) | 621 | 634 | ||||||
4.00%, 03/15/2031 (e) | 942 | 987 | ||||||
4.25%, 05/01/2028 (e) | 405 | 421 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Healthcare - Services continued | ||||||||
CHS / Community Health Systems, Inc., | ||||||||
5.63%, 03/15/2027 (e) | 747 | 782 | ||||||
6.00%, 01/15/2029 (e) | 601 | 637 | ||||||
6.63%, 02/15/2025 (e) | 5,779 | 6,046 | ||||||
8.00%, 03/15/2026 (e) | 6,501 | 6,890 | ||||||
6.13%, 04/01/2030 (e) | 1,311 | 1,273 | ||||||
6.88%, 04/15/2029 (e) | 1,835 | 1,837 | ||||||
DaVita, Inc., | ||||||||
3.75%, 02/15/2031 (e) | 4,675 | 4,552 | ||||||
4.63%, 06/01/2030 (e) | 2,621 | 2,696 | ||||||
Encompass Health Corp., | ||||||||
4.50%, 02/01/2028 | 170 | 177 | ||||||
4.63%, 04/01/2031 | 667 | 702 | ||||||
4.75%, 02/01/2030 | 1,369 | 1,441 | ||||||
Fresenius Medical Care US Finance II, Inc., 5.88%, 01/31/2022 (e) | 276 | 281 | ||||||
Fresenius Medical Care US Finance III, Inc., 1.88%, 12/01/2026 (e) | 736 | 739 | ||||||
Global Medical Response, Inc., 6.50%, 10/01/2025 (e) | 1,450 | 1,499 | ||||||
HCA, Inc., | ||||||||
3.50%, 09/01/2030 | 4,627 | 4,902 | ||||||
5.25%, 04/15/2025 | 1,686 | 1,910 | ||||||
5.25%, 06/15/2026 | 1,516 | 1,739 | ||||||
5.38%, 02/01/2025 | 6,645 | 7,426 | ||||||
5.38%, 09/01/2026 | 1,089 | 1,246 | ||||||
5.63%, 09/01/2028 | 2,654 | 3,157 | ||||||
5.88%, 05/01/2023 | 50 | 54 | ||||||
5.88%, 02/15/2026 | 750 | 860 | ||||||
5.88%, 02/01/2029 | 725 | 871 | ||||||
Humana, Inc., 0.65%, 08/03/2023 | 558 | 558 | ||||||
IQVIA, Inc., | ||||||||
5.00%, 10/15/2026 (e) | 897 | 919 | ||||||
5.00%, 05/15/2027 (e) | 480 | 499 | ||||||
Korian SA, (France), Reg. S, (UK Gilts 5 Year + 9.08%), 4.13%, 03/15/2024 (x) (aa) | GBP | 100 | 135 | |||||
Legacy LifePoint Health LLC, | ||||||||
4.38%, 02/15/2027 (e) | 790 | 786 | ||||||
6.75%, 04/15/2025 (e) | 1,253 | 1,318 | ||||||
LifePoint Health, Inc., 5.38%, 01/15/2029 (e) | 2,688 | 2,614 | ||||||
MEDNAX, Inc., 6.25%, 01/15/2027 (e) | 3,162 | 3,324 | ||||||
ModivCare Escrow Issuer, Inc., 5.00%, 10/01/2029 (e) | 602 | 624 | ||||||
Molina Healthcare, Inc., | ||||||||
3.88%, 11/15/2030 (e) | 1,509 | 1,577 | ||||||
4.38%, 06/15/2028 (e) | 1,256 | 1,303 | ||||||
5.38%, 11/15/2022 | 935 | 964 | ||||||
Prime Healthcare Services, Inc., 7.25%, 11/01/2025 (e) | 3,049 | 3,270 | ||||||
RegionalCare Hospital Partners Holdings, Inc. / LifePoint Health, Inc., 9.75%, 12/01/2026 (e) | 6,473 | 6,837 | ||||||
RP Escrow Issuer LLC, 5.25%, 12/15/2025 (e) | 165 | 170 | ||||||
Select Medical Corp., 6.25%, 08/15/2026 (e) | 1,627 | 1,711 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Healthcare - Services continued | ||||||||
Surgery Center Holdings, Inc., | ||||||||
6.75%, 07/01/2025 (e) | 2,091 | 2,127 | ||||||
10.00%, 04/15/2027 (e) | 2,048 | 2,212 | ||||||
Syneos Health, Inc., 3.63%, 01/15/2029 (e) | 1,978 | 1,973 | ||||||
Tenet Healthcare Corp., | ||||||||
4.25%, 06/01/2029 (e) | 5,181 | 5,259 | ||||||
4.63%, 07/15/2024 | 217 | 220 | ||||||
4.63%, 09/01/2024 (e) | 769 | 786 | ||||||
4.88%, 01/01/2026 (e) | 1,795 | 1,858 | ||||||
5.13%, 11/01/2027 (e) | 1,188 | 1,239 | ||||||
6.13%, 10/01/2028 (e) | 11,189 | 11,747 | ||||||
6.25%, 02/01/2027 (e) | 3,175 | 3,294 | ||||||
7.50%, 04/01/2025 (e) | 98 | 104 | ||||||
US Acute Care Solutions LLC, 6.38%, 03/01/2026 (e) | 396 | 419 | ||||||
|
| |||||||
139,143 | ||||||||
|
| |||||||
Household Products/Wares 0.2% | ||||||||
ACCO Brands Corp., 4.25%, 03/15/2029 (e) | 1,775 | 1,782 | ||||||
Central Garden & Pet Co., | ||||||||
4.13%, 10/15/2030 | 834 | 853 | ||||||
4.13%, 04/30/2031 (e) | 300 | 305 | ||||||
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc., | ||||||||
5.00%, 12/31/2026 (e) | 100 | 100 | ||||||
7.00%, 12/31/2027 (e) | 1,525 | 1,460 | ||||||
Spectrum Brands, Inc., | ||||||||
3.88%, 03/15/2031 (e) | 349 | 353 | ||||||
5.50%, 07/15/2030 (e) | 1,871 | 2,072 | ||||||
|
| |||||||
6,925 | ||||||||
|
| |||||||
Pharmaceuticals 2.3% | ||||||||
180 Medical, Inc., 3.88%, 10/15/2029 (e) (w) (bb) | 300 | 306 | ||||||
AdaptHealth LLC, | ||||||||
4.63%, 08/01/2029 (e) | 1,686 | 1,684 | ||||||
5.13%, 03/01/2030 (e) | 1,458 | 1,459 | ||||||
6.13%, 08/01/2028 (e) | 2,225 | 2,367 | ||||||
Bausch Health Americas, Inc., 8.50%, 01/31/2027 (e) | 2,200 | 2,360 | ||||||
Bausch Health Cos., Inc., (Canada), | ||||||||
4.88%, 06/01/2028 (e) | 1,707 | 1,769 | ||||||
5.00%, 01/30/2028 (e) | 2,075 | 1,969 | ||||||
5.00%, 02/15/2029 (e) | 2,701 | 2,515 | ||||||
5.25%, 01/30/2030 (e) | 4,847 | 4,520 | ||||||
5.25%, 02/15/2031 (e) | 6,200 | 5,702 | ||||||
6.13%, 04/15/2025 (e) | 3,607 | 3,679 | ||||||
6.25%, 02/15/2029 (e) | 10,826 | 10,712 | ||||||
7.00%, 01/15/2028 (e) | 2,398 | 2,457 | ||||||
7.25%, 05/30/2029 (e) | 2,500 | 2,553 | ||||||
9.00%, 12/15/2025 (e) | 1,172 | 1,241 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Pharmaceuticals continued | ||||||||
Bayer US Finance II LLC, | ||||||||
3.88%, 12/15/2023 (e) | 554 | 589 | ||||||
4.25%, 12/15/2025 (e) | 2,940 | 3,249 | ||||||
Cheplapharm Arzneimittel GmbH, (Germany), | ||||||||
Reg. S, 4.38%, 01/15/2028 | EUR | 200 | 241 | |||||
5.50%, 01/15/2028 (e) | 1,019 | 1,056 | ||||||
Diocle Spa, (Italy), Reg. S, (ICE LIBOR EUR 3 Month + 3.88%), 3.88%, 06/30/2026 (aa) | EUR | 79 | 92 | |||||
Endo Dac / Endo Finance LLC / Endo Finco, Inc., (Multinational), | ||||||||
6.00%, 06/30/2028 (e) | 725 | 527 | ||||||
9.50%, 07/31/2027 (e) | 2,135 | 2,140 | ||||||
Endo Luxembourg Finance Co. I Sarl / Endo US, Inc., (Luxembourg), 6.13%, 04/01/2029 (e) | 2,761 | 2,761 | ||||||
Gruenenthal GmbH, (Germany), | ||||||||
Reg. S, 3.63%, 11/15/2026 | EUR | 100 | 120 | |||||
Reg. S, 4.13%, 05/15/2028 | EUR | 117 | 142 | |||||
Jazz Securities DAC, (Ireland), 4.38%, 01/15/2029 (e) | 2,634 | 2,730 | ||||||
Mylan, Inc., 3.13%, 01/15/2023 (e) | 1,950 | 2,014 | ||||||
Nidda BondCo GmbH, (Germany), Reg. S, 5.00%, 09/30/2025 | EUR | 100 | 115 | |||||
Nidda Healthcare Holding GmbH, (Germany), Reg. S, 3.50%, 09/30/2024 | EUR | 400 | 460 | |||||
Organon & Co. / Organon Foreign Debt Co-Issuer BV, | ||||||||
4.13%, 04/30/2028 (e) | 2,328 | 2,375 | ||||||
5.13%, 04/30/2031 (e) | 4,079 | 4,284 | ||||||
P&L Development LLC / PLD Finance Corp., 7.75%, 11/15/2025 (e) | 2,586 | 2,686 | ||||||
Par Pharmaceutical, Inc., 7.50%, 04/01/2027 (e) | 4,038 | 4,114 | ||||||
PRA Health Sciences, Inc., 2.88%, 07/15/2026 (e) | 1,397 | 1,411 | ||||||
Prestige Brands, Inc., 3.75%, 04/01/2031 (e) | 1,690 | 1,631 | ||||||
5.13%, 01/15/2028 (e) | 50 | 52 | ||||||
Rossini Sarl, (Luxembourg), Reg. S, 6.75%, 10/30/2025 | EUR | 200 | 240 | |||||
Teva Pharmaceutical Finance Netherlands II BV, (Netherlands), | ||||||||
4.50%, 03/01/2025 | EUR | 200 | 241 | |||||
6.00%, 01/31/2025 | EUR | 200 | 250 | |||||
Vizient, Inc., 6.25%, 05/15/2027 (e) | 935 | 977 | ||||||
|
| |||||||
79,790 | ||||||||
|
| |||||||
Total Consumer Non-cyclical | 460,304 | |||||||
|
| |||||||
Diversified 0.0% (g) | ||||||||
Holding Companies Diversified 0.0% (g) | ||||||||
Stena International SA, (Luxembourg), 6.13%, 02/01/2025 (e) | 550 | 569 | ||||||
|
| |||||||
Energy 10.5% | ||||||||
Coal 0.0% (g) | ||||||||
Coronado Finance Pty Ltd., (Australia), 10.75%, 05/15/2026 (e) | 902 | 983 | ||||||
|
| |||||||
Energy - Alternate Sources 0.1% | ||||||||
Enviva Partners LP / Enviva Partners Finance Corp., 6.50%, 01/15/2026 (e) | 1,298 | 1,343 | ||||||
TerraForm Power Operating LLC, 4.25%, 01/31/2023 (e) | 1,550 | 1,593 | ||||||
4.75%, 01/15/2030 (e) | 471 | 493 | ||||||
|
| |||||||
3,429 | ||||||||
|
|
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Oil & Gas 6.2% | ||||||||
Aethon United BR LP / Aethon United Finance Corp., 8.25%, 02/15/2026 (e) | 3,601 | 3,889 | ||||||
Antero Resources Corp., | ||||||||
5.00%, 03/01/2025 | 2,400 | 2,458 | ||||||
5.38%, 03/01/2030 (e) | 1,604 | 1,689 | ||||||
7.63%, 02/01/2029 (e) | 2,952 | 3,301 | ||||||
8.38%, 07/15/2026 (e) | 1,477 | 1,673 | ||||||
Apache Corp., | ||||||||
4.25%, 01/15/2030 | 604 | 651 | ||||||
4.38%, 10/15/2028 | 112 | 121 | ||||||
4.75%, 04/15/2043 | 2,451 | 2,654 | ||||||
4.88%, 11/15/2027 | 1,477 | 1,611 | ||||||
5.10%, 09/01/2040 | 1,605 | 1,797 | ||||||
5.25%, 02/01/2042 | 78 | 86 | ||||||
5.35%, 07/01/2049 | 25 | 28 | ||||||
7.75%, 12/15/2029 | 1,450 | 1,823 | ||||||
Ascent Resources Utica Holdings LLC / ARU Finance Corp., | ||||||||
5.88%, 06/30/2029 (e) | 1,785 | 1,821 | ||||||
7.00%, 11/01/2026 (e) | 3,975 | 4,109 | ||||||
8.25%, 12/31/2028 (e) | 1,924 | 2,097 | ||||||
9.00%, 11/01/2027 (e) | 1,942 | 2,660 | ||||||
BP Capital Markets plc, (United Kingdom), Reg. S, (UK Gilts 5 Year + 4.17%), 4.25%, 03/22/2027 (x) (aa) | GBP | 100 | 143 | |||||
Callon Petroleum Co., | ||||||||
6.13%, 10/01/2024 | 1,012 | 994 | ||||||
8.00%, 08/01/2028 (e) | 4,040 | 4,000 | ||||||
9.00%, 04/01/2025 (e) | 4,106 | 4,440 | ||||||
Cenovus Energy, Inc., (Canada), 5.38%, 07/15/2025 | 1,150 | 1,310 | ||||||
Centennial Resource Production LLC, | ||||||||
5.38%, 01/15/2026 (e) | 75 | 74 | ||||||
6.88%, 04/01/2027 (e) | 963 | 981 | ||||||
Chesapeake Energy Corp., | ||||||||
5.50%, 02/01/2026 (e) | 688 | 719 | ||||||
5.88%, 02/01/2029 (e) | 375 | 400 | ||||||
Cimarex Energy Co., 4.38%, 06/01/2024 | 1,255 | 1,353 | ||||||
Citgo Holding, Inc., 9.25%, 08/01/2024 (d) (e) | 1,345 | 1,355 | ||||||
CITGO Petroleum Corp., 7.00%, 06/15/2025 (e) | 699 | 715 | ||||||
CNX Resources Corp., | ||||||||
6.00%, 01/15/2029 (e) | 1,461 | 1,545 | ||||||
7.25%, 03/14/2027 (e) | 1,275 | 1,358 | ||||||
Colgate Energy Partners III LLC, | ||||||||
5.88%, 07/01/2029 (e) | 2,166 | 2,182 | ||||||
7.75%, 02/15/2026 (e) | 422 | 444 | ||||||
Comstock Resources, Inc., | ||||||||
5.88%, 01/15/2030 (e) | 2,881 | 2,996 | ||||||
6.75%, 03/01/2029 (e) | 5,119 | 5,528 | ||||||
7.50%, 05/15/2025 (e) | 1,155 | 1,201 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Oil & Gas continued | ||||||||
Continental Resources, Inc., | ||||||||
3.80%, 06/01/2024 | 2,430 | 2,553 | ||||||
4.90%, 06/01/2044 | 364 | 408 | ||||||
5.75%, 01/15/2031 (e) | 1,300 | 1,569 | ||||||
CrownRock LP / CrownRock Finance, Inc., | ||||||||
5.00%, 05/01/2029 (e) | 450 | 470 | ||||||
5.63%, 10/15/2025 (e) | 6,082 | 6,224 | ||||||
Devon Energy Corp., | ||||||||
5.25%, 09/15/2024 (e) | 2,188 | 2,423 | ||||||
5.25%, 10/15/2027 (e) | 1,765 | 1,876 | ||||||
5.88%, 06/15/2028 (e) | 32 | 35 | ||||||
8.25%, 08/01/2023 (e) | 569 | 637 | ||||||
Diamondback Energy, Inc., | ||||||||
0.90%, 03/24/2023 | 2,813 | 2,812 | ||||||
4.75%, 05/31/2025 | 342 | 382 | ||||||
Endeavor Energy Resources LP / EER Finance, Inc., | ||||||||
5.50%, 01/30/2026 (e) | 5,184 | 5,404 | ||||||
5.75%, 01/30/2028 (e) | 950 | 1,000 | ||||||
6.63%, 07/15/2025 (e) | 2,384 | 2,512 | ||||||
EQT Corp., | ||||||||
3.13%, 05/15/2026 (e) | 762 | 781 | ||||||
3.63%, 05/15/2031 (e) | 312 | 325 | ||||||
3.90%, 10/01/2027 | 3,613 | 3,910 | ||||||
5.00%, 01/15/2029 | 969 | 1,091 | ||||||
6.63%, 02/01/2025 | 367 | 420 | ||||||
7.50%, 02/01/2030 | 2,435 | 3,135 | ||||||
Great Western Petroleum LLC / Great Western Finance Corp., 12.00%, 09/01/2025 (e) | 68 | 69 | ||||||
Harvest Operations Corp., (Canada), 1 .00%, 04/26/2024 (e) | 330 | 330 | ||||||
Hilcorp Energy I LP / Hilcorp Finance Co., | ||||||||
5.75%, 10/01/2025 (e) | 250 | 253 | ||||||
5.75%, 02/01/2029 (e) | 1,150 | 1,182 | ||||||
6.00%, 02/01/2031 (e) | 1,863 | 1,914 | ||||||
6.25%, 11/01/2028 (e) | 1,000 | 1,036 | ||||||
Independence Energy Finance LLC, 7.25%, 05/01/2026 (e) | 2,789 | 2,872 | ||||||
Laredo Petroleum, Inc., 9.50%, 01/15/2025 | 1,226 | 1,270 | ||||||
Lundin Energy Finance BV, (Netherlands), 2.00%, 07/15/2026 (e) | 1,734 | 1,744 | ||||||
Matador Resources Co., 5.88%, 09/15/2026 | 4,041 | 4,172 | ||||||
MEG Energy Corp., (Canada), | ||||||||
5.88%, 02/01/2029 (e) | 800 | 818 | ||||||
6.50%, 01/15/2025 (e) | 2,387 | 2,456 | ||||||
7.13%, 02/01/2027 (e) | 2,200 | 2,310 | ||||||
Murphy Oil Corp., 6.88%, 08/15/2024 | 614 | 627 | ||||||
Nabors Industries Ltd., (Bermuda), | ||||||||
7.25%, 01/15/2026 (e) | 2,300 | 2,237 | ||||||
7.50%, 01/15/2028 (e) | 2,225 | 2,108 | ||||||
Nabors Industries, Inc., 5.75%, 02/01/2025 | 2,350 | 2,171 | ||||||
Neptune Energy Bondco plc, (United Kingdom), 6.63%, 05/15/2025 (e) | 400 | 412 | ||||||
Northern Oil and Gas, Inc., 8.13%, 03/01/2028 (e) | 2,780 | 2,970 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Oil & Gas continued | ||||||||
Occidental Petroleum Corp., | ||||||||
2.70%, 02/15/2023 | 72 | 73 | ||||||
2.90%, 08/15/2024 | 2,619 | 2,666 | ||||||
3.00%, 02/15/2027 | 844 | 843 | ||||||
3.40%, 04/15/2026 | 50 | 51 | ||||||
3.50%, 06/15/2025 | 450 | 468 | ||||||
4.10%, 02/15/2047 | 1,033 | 982 | ||||||
4.20%, 03/15/2048 | 668 | 640 | ||||||
4.40%, 04/15/2046 | 2,660 | 2,649 | ||||||
4.50%, 07/15/2044 | 2,441 | 2,453 | ||||||
4.63%, 06/15/2045 | 1,762 | 1,802 | ||||||
5.50%, 12/01/2025 | 1,975 | 2,187 | ||||||
5.55%, 03/15/2026 | 61 | 68 | ||||||
5.88%, 09/01/2025 | 2,675 | 2,998 | ||||||
6.13%, 01/01/2031 | 2,754 | 3,305 | ||||||
6.20%, 03/15/2040 | 2,495 | 2,938 | ||||||
6.38%, 09/01/2028 | 608 | 711 | ||||||
6.45%, 09/15/2036 | 1,625 | 2,044 | ||||||
6.63%, 09/01/2030 | 1,725 | 2,128 | ||||||
6.95%, 07/01/2024 | 421 | 476 | ||||||
7.15%, 05/15/2028 | 675 | 790 | ||||||
7.50%, 05/01/2031 | 1,050 | 1,365 | ||||||
7.88%, 09/15/2031 | 500 | 667 | ||||||
8.50%, 07/15/2027 | 950 | 1,190 | ||||||
8.88%, 07/15/2030 | 1,100 | 1,494 | ||||||
Ovintiv, Inc., | ||||||||
6.50%, 08/15/2034 | 782 | 1,054 | ||||||
6.50%, 02/01/2038 | 150 | 206 | ||||||
6.63%, 08/15/2037 | 75 | 103 | ||||||
7.38%, 11/01/2031 | 219 | 297 | ||||||
Parkland Corp., (Canada), 4.50%, 10/01/2029 (e) | 875 | 887 | ||||||
Parsley Energy LLC / Parsley Finance Corp., 5.63%, 10/15/2027 (e) | 1,178 | 1,259 | ||||||
PDC Energy, Inc., | ||||||||
5.75%, 05/15/2026 | 1,448 | 1,508 | ||||||
6.13%, 09/15/2024 | 505 | 512 | ||||||
Petroleos Mexicanos, (Mexico), | ||||||||
(ICE LIBOR USD 3 Month + 3.65%), 3.76%, 03/11/2022 (aa) | 1,000 | 1,004 | ||||||
4.25%, 01/15/2025 | 1,200 | 1,223 | ||||||
6.88%, 10/16/2025 (e) | 191 | 209 | ||||||
6.88%, 08/04/2026 | 525 | 571 | ||||||
Precision Drilling Corp., (Canada), 6.88%, 01/15/2029 (e) | 900 | 940 | ||||||
Range Resources Corp., | ||||||||
4.88%, 05/15/2025 | 2,775 | 2,930 | ||||||
8.25%, 01/15/2029 (e) | 125 | 140 | ||||||
9.25%, 02/01/2026 | 2,940 | 3,205 | ||||||
Repsol International Finance BV, (Netherlands), Reg. S, (EUR Swap Rate 5 Year + 4.41%), 4.25%, 09/11/2028 (x) (aa) | EUR | 300 | 381 | |||||
Rockcliff Energy II LLC, 5.50%, 10/15/2029 (e) (w) | 575 | 584 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Oil & Gas continued | ||||||||
Saudi Arabian Oil Co., (Saudi Arabia), | ||||||||
1.63%, 11/24/2025 (e) | 400 | 400 | ||||||
2.88%, 04/16/2024 (e) | 450 | 469 | ||||||
SM Energy Co., | ||||||||
5.63%, 06/01/2025 | 1,075 | 1,081 | ||||||
6.50%, 07/15/2028 | 917 | 949 | ||||||
6.75%, 09/15/2026 | 738 | 754 | ||||||
10.00%, 01/15/2025 (e) | 4,981 | 5,556 | ||||||
Southwestern Energy Co., | ||||||||
5.38%, 02/01/2029 (e) | 2,079 | 2,224 | ||||||
5.38%, 03/15/2030 | 2,900 | 3,131 | ||||||
6.45%, 01/23/2025 | 11 | 12 | ||||||
8.38%, 09/15/2028 | 1,286 | 1,457 | ||||||
Suncor Energy, Inc., (Canada), 7.88%, 06/15/2026 | 650 | 816 | ||||||
Sunoco LP / Sunoco Finance Corp., | ||||||||
4.50%, 05/15/2029 | 1,419 | 1,439 | ||||||
5.50%, 02/15/2026 | 1,475 | 1,505 | ||||||
Tap Rock Resources LLC, 7.00%, 10/01/2026 (e) | 2,527 | 2,596 | ||||||
Tengizchevroil Finance Co. International Ltd., (Bermuda), 2.63%, 08/15/2025 (e) | 1,400 | 1,427 | ||||||
Transocean, Inc., (Cayman Islands), 11.50%, 01/30/2027 (e) | 1,200 | 1,236 | ||||||
Valero Energy Corp., | ||||||||
1.20%, 03/15/2024 | 129 | 130 | ||||||
2.70%, 04/15/2023 | 556 | 574 | ||||||
2.85%, 04/15/2025 | 696 | 733 | ||||||
3.65%, 03/15/2025 | 593 | 641 | ||||||
Vine Energy Holdings LLC, 6.75%, 04/15/2029 (e) | 3,773 | 4,075 | ||||||
Viper Energy Partners LP, 5.38%, 11/01/2027 (e) | 835 | 870 | ||||||
|
| |||||||
217,200 | ||||||||
|
| |||||||
Oil & Gas Services 0.3% | ||||||||
Archrock Partners LP / Archrock Partners Finance Corp., | ||||||||
6.25%, 04/01/2028 (e) | 4,362 | 4,504 | ||||||
6.88%, 04/01/2027 (e) | 1,577 | 1,656 | ||||||
CGG SA, (France), Reg. S, 7.75%, 04/01/2027 | EUR | 100 | 118 | |||||
USA Compression Partners LP / USA Compression Finance Corp., | ||||||||
6.88%, 04/01/2026 | 1,614 | 1,680 | ||||||
6.88%, 09/01/2027 | 2,904 | 3,071 | ||||||
|
| |||||||
11,029 | ||||||||
|
| |||||||
Pipelines 3.9% | ||||||||
Antero Midstream Partners LP / Antero Midstream Finance Corp., | ||||||||
5.38%, 06/15/2029 (e) | 2,118 | 2,188 | ||||||
5.75%, 03/01/2027 (e) | 2,472 | 2,554 | ||||||
5.75%, 01/15/2028 (e) | 3,476 | 3,610 | ||||||
7.88%, 05/15/2026 (e) | 2,756 | 3,017 | ||||||
Buckeye Partners LP, | ||||||||
5.60%, 10/15/2044 | 1,033 | 1,005 | ||||||
5.85%, 11/15/2043 | 17 | 17 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Pipelines continued | ||||||||
Cheniere Corpus Christi Holdings LLC, | ||||||||
5.88%, 03/31/2025 | 2,787 | 3,148 | ||||||
7.00%, 06/30/2024 | 1,866 | 2,110 | ||||||
Cheniere Energy Partners LP, | ||||||||
3.25%, 01/31/2032 (e) | 1,948 | 1,955 | ||||||
4.00%, 03/01/2031 (e) | 3,907 | 4,091 | ||||||
4.50%, 10/01/2029 | 3,487 | 3,731 | ||||||
Cheniere Energy, Inc., 4.63%, 10/15/2028 | 9,718 | 10,234 | ||||||
CNX Midstream Partners LP, 4.75%, 04/15/2030 (e) | 1,217 | 1,234 | ||||||
CNX Midstream Partners LP / CNX Midstream Finance Corp., 6.50%, 03/15/2026 (e) | 1,150 | 1,208 | ||||||
CQP Holdco LP / BIP-V Chinook Holdco LLC, 5.50%, 06/15/2031 (e) | 1,334 | 1,419 | ||||||
DCP Midstream Operating LP, | ||||||||
5.60%, 04/01/2044 | 258 | 300 | ||||||
5.63%, 07/15/2027 | 1,000 | 1,139 | ||||||
6.75%, 09/15/2037 (e) | 658 | 849 | ||||||
DT Midstream, Inc., | ||||||||
4.13%, 06/15/2029 (e) | 584 | 592 | ||||||
4.38%, 06/15/2031 (e) | 3,322 | 3,422 | ||||||
Energy Transfer LP, 4.25%, 03/15/2023 | 776 | 809 | ||||||
Series H, (CMT Index 5 Year + 5.69%), 6.50%, 11/15/2026 (x) (aa) | 2,157 | 2,246 | ||||||
EnLink Midstream LLC, 5.63%, 01/15/2028 (e) | 692 | 737 | ||||||
EnLink Midstream Partners LP, | ||||||||
4.15%, 06/01/2025 | 241 | 248 | ||||||
4.40%, 04/01/2024 | 879 | 914 | ||||||
4.85%, 07/15/2026 | 20 | 21 | ||||||
5.05%, 04/01/2045 | 14 | 13 | ||||||
5.60%, 04/01/2044 | 1,390 | 1,327 | ||||||
EQM Midstream Partners LP, | ||||||||
4.50%, 01/15/2029 (e) | 1,735 | 1,800 | ||||||
4.75%, 01/15/2031 (e) | 789 | 821 | ||||||
5.50%, 07/15/2028 | 1,625 | 1,785 | ||||||
6.00%, 07/01/2025 (e) | 2,270 | 2,488 | ||||||
6.50%, 07/01/2027 (e) | 1,816 | 2,043 | ||||||
6.50%, 07/15/2048 | 700 | 801 | ||||||
Genesis Energy LP / Genesis Energy Finance Corp., 8.00%, 01/15/2027 | 242 | 246 | ||||||
Global Partners LP / GLP Finance Corp., | ||||||||
6.88%, 01/15/2029 | 825 | 856 | ||||||
7.00%, 08/01/2027 | 600 | 626 | ||||||
Harvest Midstream I LP, 7.50%, 09/01/2028 (e) | 233 | 248 | ||||||
Hess Midstream Operations LP, | ||||||||
4.25%, 02/15/2030 (e) | 992 | 1,005 | ||||||
5.13%, 06/15/2028 (e) | 775 | 809 | ||||||
Holly Energy Partners LP / Holly Energy Finance Corp., 5.00%, 02/01/2028 (e) | 650 | 659 | ||||||
ITT Holdings LLC, 6.50%, 08/01/2029 (e) | 1,255 | 1,266 | ||||||
New Fortress Energy, Inc., | ||||||||
6.50%, 09/30/2026 (e) | 4,871 | 4,658 | ||||||
6.75%, 09/15/2025 (e) | 4,592 | 4,420 | ||||||
NGL Energy Operating LLC / NGL Energy Finance Corp., 7.50%, 02/01/2026 (e) | 1,477 | 1,505 | ||||||
NGPL PipeCo. LLC, 7.77%, 12/15/2037 (e) | 1,166 | 1,668 | ||||||
NOVA Gas Transmission Ltd., (Canada), 7.88%, 04/01/2023 | 564 | 621 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Pipelines continued | ||||||||
NuStar Logistics LP, | ||||||||
5.75%, 10/01/2025 | 728 | 787 | ||||||
6.00%, 06/01/2026 | 1,825 | 1,971 | ||||||
6.38%, 10/01/2030 | 13 | 14 | ||||||
Oasis Midstream Partners LP / OMP Finance Corp., 8.00%, 04/01/2029 (e) | 400 | 416 | ||||||
Plains All American Pipeline LP / PAA Finance Corp., 2.85%, 01/31/2023 | 1,351 | 1,381 | ||||||
Rattler Midstream LP, 5.63%, 07/15/2025 (e) | 350 | 364 | ||||||
Rockies Express Pipeline LLC, | ||||||||
3.60%, 05/15/2025 (e) | 50 | 52 | ||||||
6.88%, 04/15/2040 (e) | 1,500 | 1,665 | ||||||
7.50%, 07/15/2038 (e) | 1,000 | 1,135 | ||||||
Rubis Terminal Infra SAS, (France), Reg. S, 5.63%, 05/15/2025 | EUR | 100 | 122 | |||||
Sabine Pass Liquefaction LLC, | ||||||||
5.63%, 04/15/2023 | 1,354 | 1,439 | ||||||
5.75%, 05/15/2024 | 3,792 | 4,222 | ||||||
5.88%, 06/30/2026 | 1,500 | 1,765 | ||||||
Summit Midstream Holdings LLC / Summit Midstream Finance Corp., | ||||||||
5.50%, 08/15/2022 | 275 | 273 | ||||||
5.75%, 04/15/2025 | 675 | 614 | ||||||
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., | ||||||||
5.50%, 01/15/2028 (e) | 850 | 870 | ||||||
6.00%, 03/01/2027 (e) | 1,438 | 1,505 | ||||||
6.00%, 12/31/2030 (e) | 1,625 | 1,668 | ||||||
7.50%, 10/01/2025 (e) | 25 | 27 | ||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., | ||||||||
4.00%, 01/15/2032 (e) | 286 | 296 | ||||||
4.88%, 02/01/2031 | 1,453 | 1,567 | ||||||
5.38%, 02/01/2027 | 2,000 | 2,072 | ||||||
5.50%, 03/01/2030 | 3,754 | 4,105 | ||||||
5.88%, 04/15/2026 | 2,400 | 2,507 | ||||||
6.50%, 07/15/2027 | 1,665 | 1,795 | ||||||
6.88%, 01/15/2029 | 8 | 9 | ||||||
Venture Global Calcasieu Pass LLC, | ||||||||
3.88%, 08/15/2029 (e) | 3,322 | 3,422 | ||||||
4.13%, 08/15/2031 (e) | 2,695 | 2,809 | ||||||
Western Midstream Operating LP, | ||||||||
(ICE LIBOR USD 3 Month + 2.10%), 2.23%, 01/13/2023 (aa) | 835 | 835 | ||||||
3.95%, 06/01/2025 | 1,704 | 1,801 | ||||||
4.35%, 02/01/2025 | 1,250 | 1,319 | ||||||
4.75%, 08/15/2028 | 700 | 763 | ||||||
5.30%, 02/01/2030 | 1,250 | 1,381 | ||||||
5.30%, 03/01/2048 | 2,263 | 2,608 | ||||||
5.45%, 04/01/2044 | 2,018 | 2,318 | ||||||
5.50%, 08/15/2048 | 251 | 294 | ||||||
6.50%, 02/01/2050 | 3,374 | 3,970 | ||||||
|
| |||||||
136,624 | ||||||||
|
| |||||||
Total Energy | 369,265 | |||||||
|
|
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Financial 9.9% | ||||||||
Banks 3.2% | ||||||||
ABN AMRO Bank NV, (Netherlands), | ||||||||
4.75%, 07/28/2025 (e) | 1,879 | 2,083 | ||||||
4.80%, 04/18/2026 (e) | 200 | 225 | ||||||
AIB Group plc, (Ireland), | ||||||||
(ICE LIBOR USD 3 Month + 1.87%), 4.26%, 04/10/2025 (e) (aa) | 2,983 | 3,198 | ||||||
4.75%, 10/12/2023 (e) | 3,203 | 3,445 | ||||||
Reg. S, (EUR Swap Rate 5 Year + 6.63%), 6.25%, 06/23/2025 (x) (aa) | EUR | 200 | 258 | |||||
Australia & New Zealand Banking Group Ltd., (Australia), | ||||||||
4.40%, 05/19/2026 (e) | 2,114 | 2,366 | ||||||
4.50%, 03/19/2024 (e) | 280 | 304 | ||||||
Banco BPM SpA, (Italy), Reg. S, (EUR Swap Rate 5 Year + 5.42%), 5.00%, 09/14/2030 (aa) | EUR | 100 | 126 | |||||
Banco de Sabadell SA, (Spain), Reg. S, (EUR Swap Rate 5 Year + 2.95%), 2.50%, 04/15/2031 (aa) | EUR | 100 | 118 | |||||
Bank of America Corp., | ||||||||
(United States SOFR + 0.41%), 0.52%, 06/14/2024 (aa) | 1,114 | 1,113 | ||||||
(United States SOFR + 1.01%), 1.20%, 10/24/2026 (aa) | 1,014 | 1,006 | ||||||
(United States SOFR + 1.15%), 1.32%, 06/19/2026 (aa) | 408 | 408 | ||||||
(ICE LIBOR USD 3 Month + 1.09%), 3.09%, 10/01/2025 (aa) | 85 | 90 | ||||||
Series DD, (ICE LIBOR USD 3 Month + 4.55%), 6.30%, 03/10/2026 (x) (aa) | 732 | 849 | ||||||
Series L, 3.95%, 04/21/2025 | 279 | 304 | ||||||
Bank of Cyprus PCL, (Cyprus), Reg. S, (EUR Swap Rate 5 Year + 2.79%), 2.50%, 06/24/2027 (aa) | EUR | 100 | 114 | |||||
Bank of Ireland Group plc, (Ireland), | ||||||||
(CMT Index 1 Year + 1.10%), 2.03%, 09/30/2027 (e) (aa) | 799 | 798 | ||||||
4.50%, 11/25/2023 (e) | 1,589 | 1,703 | ||||||
BankUnited, Inc., 4.88%, 11/17/2025 | 864 | 975 | ||||||
Barclays plc, (United Kingdom), | ||||||||
4.38%, 09/11/2024 | 960 | 1,045 | ||||||
(CMT Index 5 Year + 3.41%), 4.38%, 03/15/2028 (x) (aa) | 1,645 | 1,644 | ||||||
(ICE LIBOR USD 3 Month + 1.40%), 4.61%, 02/15/2023 (aa) | 2,741 | 2,783 | ||||||
5.20%, 05/12/2026 | 990 | 1,132 | ||||||
Reg. S, (UK Gilts 5 Year + 6.02%), 6.38%, 12/15/2025 (x) (aa) | GBP | 200 | 297 | |||||
(UK Gilts 5 Year + 6.58%), 7.13%, 06/15/2025 (x) (aa) | GBP | 200 | 302 | |||||
BBVA Bancomer SA, (Mexico), 4.38%, 04/10/2024 (e) | 1,400 | 1,510 | ||||||
BNP Paribas SA, (France), | ||||||||
(United States SOFR + 1.00%), 1.32%, 01/13/2027 (e) (aa) | 221 | 218 | ||||||
(ICE LIBOR USD 3 Month + 2.24%), 4.71%, 01/10/2025 (e) (aa) | 208 | 225 | ||||||
Citigroup, Inc., | ||||||||
3.70%, 01/12/2026 | 608 | 667 | ||||||
3.88%, 03/26/2025 | 67 | 73 | ||||||
(CMT Index 5 Year + 3.42%), 3.88%, 02/18/2026 (x) (aa) | 625 | 639 | ||||||
4.40%, 06/10/2025 | 1,273 | 1,409 | ||||||
Series W, (CMT Index 5 Year + 3.60%), 4.00%, 12/10/2025 (x) (aa) | 888 | 920 | ||||||
Commerzbank AG, (Germany), Reg. S, (EUR Swap Rate 5 Year + 6.36%), 6.13%, 10/09/2025 (x) (aa) | EUR | 200 | 254 | |||||
Credit Suisse AG, (Switzerland), 3.63%, 09/09/2024 | 748 | 806 | ||||||
Credit Suisse Group AG, (Switzerland), | ||||||||
(United States SOFR + 0.98%), 1.31%, 02/02/2027 (e) (aa) | 276 | 270 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Banks continued | ||||||||
(United States SOFR + 1.56%), 2.59%, 09/11/2025 (e) (aa) | 388 | 402 | ||||||
(ICE LIBOR USD 3 Month + 1.20%), 3.00%, 12/14/2023 (e) (aa) | 4,689 | 4,815 | ||||||
(ICE LIBOR USD 3 Month + 1.24%), 4.21%, 06/12/2024 (e) (aa) | 1,818 | 1,920 | ||||||
Reg. S, (USD Semi-annual Swap Rate 5 Year + 3.46%), 6.25%, 12/18/2024 (x) (aa) | 200 | 215 | ||||||
(CMT Index 5 Year + 4.82%), 6.38%, 08/21/2026 (e) (x) (aa) | 1,660 | 1,822 | ||||||
Reg. S, (USD ICE Swap Rate 5 Year + 4.33%), 7.25%, 09/12/2025 (x) (aa) | 400 | 443 | ||||||
Danske Bank A/S, (Denmark), | ||||||||
(CMT Index 1 Year + 1.03%), 1.17%, 12/08/2023 (e) (aa) | 1,172 | 1,178 | ||||||
1.23%, 06/22/2024 (e) | 2,125 | 2,146 | ||||||
(CMT Index 1 Year + 1.35%), 1.62%, 09/11/2026 (e) (aa) | 2,585 | 2,584 | ||||||
(ICE LIBOR USD 3 Month + 1.59%), 3.24%, 12/20/2025 (e) (aa) | 1,943 | 2,064 | ||||||
(CMT Index 1 Year + 1.73%), 5.00%, 01/12/2023 (e) (aa) | 221 | 224 | ||||||
5.38%, 01/12/2024 (e) | 3,312 | 3,634 | ||||||
Freedom Mortgage Corp., 7.63%, 05/01/2026 (e) | 508 | 518 | ||||||
Goldman Sachs Group, Inc. (The), | ||||||||
(United States SOFR + 0.51%), 0.66%, 09/10/2024 (aa) | 1,114 | 1,114 | ||||||
(ICE LIBOR USD 3 Month + 1.20%), 3.27%, 09/29/2025 (aa) | 316 | 338 | ||||||
3.50%, 01/23/2025 | 79 | 85 | ||||||
3.50%, 04/01/2025 | 500 | 537 | ||||||
Series R, (CMT Index 5 Year + 3.22%), 4.95%, 02/10/2025 (x) (aa) | 2,036 | 2,158 | ||||||
HSBC Bank plc, (United Kingdom), Series 1M, (ICE LIBOR USD 6 Month + 0.25%), 0.42%, 12/31/2021 (x) (aa) | 90 | 85 | ||||||
HSBC Holdings plc, (United Kingdom), | ||||||||
(United States SOFR + 0.53%), 0.73%, 08/17/2024 (aa) | 416 | 416 | ||||||
(United States SOFR + 0.71%), 0.98%, 05/24/2025 (aa) | 318 | 317 | ||||||
4.25%, 03/14/2024 | 672 | 722 | ||||||
(CMT Index 5 Year + 3.65%), 4.60%, 12/17/2030 (x) (aa) | 1,568 | 1,572 | ||||||
Intesa Sanpaolo SpA, (Italy), | ||||||||
3.38%, 01/12/2023 (e) | 1,457 | 1,507 | ||||||
5.02%, 06/26/2024 (e) | 1,972 | 2,129 | ||||||
Series XR, 3.25%, 09/23/2024 (e) | 4,141 | 4,372 | ||||||
Itau Unibanco Holding SA, (Brazil), 2.90%, 01/24/2023 (e) | 800 | 812 | ||||||
Lloyds Banking Group plc, (United Kingdom), 4.58%, 12/10/2025 | 888 | 991 | ||||||
Macquarie Bank Ltd., (Australia), 4.88%, 06/10/2025 (e) | 3,034 | 3,360 | ||||||
Macquarie Group Ltd., (Australia), | ||||||||
(ICE LIBOR USD 3 Month + 1.02%), 1.14%, 11/28/2023 (e) (aa) | 1,574 | 1,586 | ||||||
(ICE LIBOR USD 3 Month + 1.02%), 3.19%, 11/28/2023 (e) (aa) | 277 | 285 | ||||||
Morgan Stanley, | ||||||||
(United States SOFR + 0.53%), 0.79%, 05/30/2025 (aa) | 1,279 | 1,275 | ||||||
(United States SOFR + 0.51%), 0.79%, 01/22/2025 (aa) | 1,125 | 1,125 | ||||||
Natwest Group plc, (United Kingdom), | ||||||||
(ICE LIBOR USD 3 Month + 1.48%), 3.50%, 05/15/2023 (aa) | 539 | 549 | ||||||
3.88%, 09/12/2023 | 607 | 644 | ||||||
5.13%, 05/28/2024 | 2,636 | 2,904 | ||||||
Popular, Inc., (Puerto Rico), 6.13%, 09/14/2023 | 1,785 | 1,917 | ||||||
Santander Holdings USA, Inc., | ||||||||
3.40%, 01/18/2023 | 621 | 642 | ||||||
3.45%, 06/02/2025 | 555 | 594 | ||||||
3.50%, 06/07/2024 | 798 | 848 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Banks continued | ||||||||
Standard Chartered plc, (United Kingdom), | ||||||||
(CMT Index 1 Year + 0.78%), 0.99%, 01/12/2025 (e) (aa) | 1,034 | 1,030 | ||||||
(CMT Index 1 Year + 0.88%), 1.21%, 03/23/2025 (e) (aa) | 200 | 200 | ||||||
(CMT Index 1 Year + 1.17%), 1.32%, 10/14/2023 (e) (aa) | 421 | 424 | ||||||
(ICE LIBOR USD 3 Month + 1.21%), 2.82%, 01/30/2026 (e) (aa) | 2,207 | 2,298 | ||||||
3.20%, 04/17/2025 (e) | 682 | 720 | ||||||
(ICE LIBOR USD 3 Month + 1.08%), 3.89%, 03/15/2024 (e) (aa) | 799 | 834 | ||||||
(ICE LIBOR USD 3 Month + 1.15%), 4.25%, 01/20/2023 (e) (aa) | 1,936 | 1,957 | ||||||
5.20%, 01/26/2024 (e) | 585 | 635 | ||||||
Turkiye Vakiflar Bankasi TAO, (Turkey), 5.75%, 01/30/2023 (e) | 1,300 | 1,332 | ||||||
UBS AG, (Switzerland), | ||||||||
Reg. S, 5.13%, 05/15/2024 | 2,637 | 2,881 | ||||||
7.63%, 08/17/2022 | 4,228 | 4,480 | ||||||
UBS Group AG, (Switzerland), (CMT Index 5 Year + 3.31%), 4.38%, 02/10/2031 (e) (x) (aa) | 817 | 825 | ||||||
UniCredit SpA, (Italy), | ||||||||
Reg. S, (ICE EURIBOR Swap Rate 5 Year + 4.08%), 3.88%, 06/03/2027 (x) (aa) | EUR | 200 | 226 | |||||
6.57%, 01/14/2022 (e) | 3,000 | 3,049 | ||||||
Reg. S, (ICE EURIBOR Swap Rate 5 Year + 7.33%), 7.50%, 06/03/2026 (x) (aa) | EUR | 200 | 273 | |||||
7.83%, 12/04/2023 (e) | 700 | 797 | ||||||
Wells Fargo & Co., Series BB, (CMT Index 5 Year + 3.45%), 3.90%, 03/15/2026 (x) (aa) | 2,300 | 2,372 | ||||||
|
| |||||||
112,859 | ||||||||
|
| |||||||
Diversified Financial Services 2.7% | ||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, (Ireland), | ||||||||
2.88%, 08/14/2024 | 336 | 350 | ||||||
3.15%, 02/15/2024 | 524 | 546 | ||||||
3.50%, 01/15/2025 | 662 | 697 | ||||||
Air Lease Corp., 3.00%, 09/15/2023 | 2,500 | 2,598 | ||||||
Aircastle Ltd., (Bermuda), | ||||||||
4.40%, 09/25/2023 | 448 | 477 | ||||||
5.00%, 04/01/2023 | 636 | 676 | ||||||
5.25%, 08/11/2025 (e) | 1,033 | 1,154 | ||||||
Alliance Data Systems Corp., | ||||||||
4.75%, 12/15/2024 (e) | 2,183 | 2,236 | ||||||
7.00%, 01/15/2026 (e) | 1,146 | 1,226 | ||||||
Ally Financial, Inc., | ||||||||
1.45%, 10/02/2023 | 80 | 81 | ||||||
3.88%, 05/21/2024 | 858 | 923 | ||||||
4.63%, 03/30/2025 | 208 | 231 | ||||||
5.13%, 09/30/2024 | 2,352 | 2,633 | ||||||
5.75%, 11/20/2025 | 1,827 | 2,088 | ||||||
American Express Co., (CMT Index 5 Year + 2.85%), 3.55%, 09/15/2026 (x) (aa) | 2,655 | 2,713 | ||||||
Aretec Escrow Issuer, Inc., 7.50%, 04/01/2029 (e) | 385 | 396 | ||||||
Arrow Global Finance plc, (United Kingdom), Reg. S, 5.13%, 09/15/2024 | GBP | 200 | 269 | |||||
Aviation Capital Group LLC, | ||||||||
1.95%, 01/30/2026 (e) | 354 | 353 | ||||||
5.50%, 12/15/2024 (e) | 1,476 | 1,654 | ||||||
Avolon Holdings Funding Ltd., (Cayman Islands), | ||||||||
2.13%, 02/21/2026 (e) | 298 | 295 | ||||||
3.63%, 05/01/2022 (e) | 1,848 | 1,875 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Diversified Financial Services continued | ||||||||
4.25%, 04/15/2026 (e) | 439 | 472 | ||||||
5.13%, 10/01/2023 (e) | 580 | 623 | ||||||
Charles Schwab Corp. (The), Series H, (CMT Index 10 Year + 3.08%), 4.00%, 12/01/2030 (x) (aa) | 3,136 | 3,225 | ||||||
Citigroup Global Markets Holdings, Inc., 0.75%, 06/07/2024 | 874 | 871 | ||||||
Coinbase Global, Inc., | ||||||||
3.38%, 10/01/2028 (e) | 1,118 | 1,076 | ||||||
3.63%, 10/01/2031 (e) | 1,081 | 1,035 | ||||||
doValue SpA, (Italy), Reg. S, 3.38%, 07/31/2026 | EUR | 100 | 118 | |||||
Drawbridge Special Opportunities Fund LP / Drawbridge Special Opportunities Fin, 3.88%, 02/15/2026 (e) | 250 | 257 | ||||||
Enact Holdings, Inc., 6.50%, 08/15/2025 (e) | 1,838 | 2,007 | ||||||
Encore Capital Group, Inc., | ||||||||
Reg. S, 4.25%, 06/01/2028 | GBP | 159 | 214 | |||||
Reg. S, 5.38%, 02/15/2026 | GBP | 300 | 424 | |||||
Garfunkelux Holdco 3 SA, (Luxembourg), | ||||||||
Reg. S, 6.75%, 11/01/2025 | EUR | 200 | 242 | |||||
Reg. S, 7.75%, 11/01/2025 | GBP | 100 | 141 | |||||
Global Aircraft Leasing Co. Ltd., (Cayman Islands), 6.50% (cash), 09/15/2024 (e) (v) | 1,670 | 1,641 | ||||||
goeasy Ltd., (Canada), | ||||||||
4.38%, 05/01/2026 (e) | 675 | 693 | ||||||
5.38%, 12/01/2024 (e) | 700 | 721 | ||||||
Home Point Capital, Inc., 5.00%, 02/01/2026 (e) | 2,261 | 2,050 | ||||||
Intrum AB, (Sweden), Reg. S, 4.88%, 08/15/2025 | EUR | 300 | 364 | |||||
Jefferies Finance LLC / JFIN Co-Issuer Corp., 5.00%, 08/15/2028 (e) | 2,650 | 2,690 | ||||||
Jerrold Finco plc, (United Kingdom), Reg. S, 5.25%, 01/15/2027 | GBP | 100 | 140 | |||||
LD Holdings Group LLC, 6.13%, 04/01/2028 (e) | 2,643 | 2,491 | ||||||
LFS Topco LLC, 5.88%, 10/15/2026 (e) | 400 | 412 | ||||||
LPL Holdings, Inc., 4.00%, 03/15/2029 (e) | 2,150 | 2,208 | ||||||
Nationstar Mortgage Holdings, Inc., | ||||||||
5.13%, 12/15/2030 (e) | 1,785 | 1,810 | ||||||
5.50%, 08/15/2028 (e) | 4,372 | 4,503 | ||||||
Navient Corp., | ||||||||
5.88%, 10/25/2024 | 740 | 790 | ||||||
6.13%, 03/25/2024 | 653 | 699 | ||||||
6.50%, 06/15/2022 | 1,255 | 1,296 | ||||||
6.75%, 06/25/2025 | 426 | 465 | ||||||
6.75%, 06/15/2026 | 1,200 | 1,329 | ||||||
7.25%, 09/25/2023 | 851 | 928 | ||||||
NFP Corp., | ||||||||
4.88%, 08/15/2028 (e) | 1,712 | 1,734 | ||||||
6.88%, 08/15/2028 (e) | 6,619 | 6,758 | ||||||
OneMain Finance Corp., | ||||||||
3.50%, 01/15/2027 | 1,109 | 1,106 | ||||||
3.88%, 09/15/2028 | 550 | 547 | ||||||
4.00%, 09/15/2030 | 829 | 825 | ||||||
5.38%, 11/15/2029 | 3,000 | 3,252 | ||||||
5.63%, 03/15/2023 | 994 | 1,046 | ||||||
6.13%, 05/15/2022 | 350 | 358 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Diversified Financial Services continued | ||||||||
6.13%, 03/15/2024 | 1,596 | 1,705 | ||||||
6.63%, 01/15/2028 | 2,496 | 2,870 | ||||||
6.88%, 03/15/2025 | 1,800 | 2,023 | ||||||
7.13%, 03/15/2026 | 1,795 | 2,080 | ||||||
8.25%, 10/01/2023 | 305 | 341 | ||||||
8.88%, 06/01/2025 | 357 | 387 | ||||||
Park Aerospace Holdings Ltd., (Cayman Islands), | ||||||||
4.50%, 03/15/2023 (e) | 1,614 | 1,687 | ||||||
5.50%, 02/15/2024 (e) | 1,590 | 1,735 | ||||||
PennyMac Financial Services, Inc., | ||||||||
4.25%, 02/15/2029 (e) | 925 | 881 | ||||||
5.38%, 10/15/2025 (e) | 890 | 915 | ||||||
Rocket Mortgage LLC, 5.25%, 01/15/2028 (e) | 1,525 | 1,643 | ||||||
Rocket Mortgage LLC / Rocket Mortgage Co-Issuer, Inc., | ||||||||
2.88%, 10/15/2026 (e) (w) | 1,488 | 1,477 | ||||||
3.88%, 03/01/2031 (e) | 275 | 277 | ||||||
4.00%, 10/15/2033 (e) (w) | 1,307 | 1,297 | ||||||
United Wholesale Mortgage LLC, | ||||||||
5.50%, 11/15/2025 (e) | 1,250 | 1,260 | ||||||
5.50%, 04/15/2029 (e) | 400 | 388 | ||||||
|
| |||||||
95,998 | ||||||||
|
| |||||||
Insurance 1.1% | ||||||||
Acrisure LLC / Acrisure Finance, Inc., 6.00%, 08/01/2029 (e) | 2,249 | 2,220 | ||||||
Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer, | ||||||||
4.25%, 10/15/2027 (e) | 3,644 | 3,680 | ||||||
6.75%, 10/15/2027 (e) | 8,449 | 8,745 | ||||||
AmWINS Group, Inc., 4.88%, 06/30/2029 (e) | 2,374 | 2,410 | ||||||
Ardonagh Midco 2 plc, (United Kingdom), 11.50% (cash), 01/15/2027 (e) (v) | 804 | 878 | ||||||
AssuredPartners, Inc., 5.63%, 01/15/2029 (e) | 1,920 | 1,932 | ||||||
BroadStreet Partners, Inc., 5.88%, 04/15/2029 (e) | 2,198 | 2,190 | ||||||
CNO Financial Group, Inc., 5.25%, 05/30/2025 | 2,028 | 2,282 | ||||||
CNO Global Funding, 1.75%, 10/07/2026 (e) (w) (bb) | 406 | 406 | ||||||
F&G Global Funding, | ||||||||
0.90%, 09/20/2024 (e) | 441 | 440 | ||||||
1.75%, 06/30/2026 (e) | 416 | 418 | ||||||
Fidelity & Guaranty Life Holdings, Inc., 5.50%, 05/01/2025 (e) | 804 | 913 | ||||||
GA Global Funding Trust, 0.80%, 09/13/2024 (e) | 336 | 334 | ||||||
Galaxy Bidco Ltd., (Jersey), Reg. S, 6.50%, 07/31/2026 | GBP | 300 | 423 | |||||
GTCR AP Finance, Inc., 8.00%, 05/15/2027 (e) | 2,067 | 2,181 | ||||||
HUB International Ltd., 7.00%, 05/01/2026 (e) | 4,833 | 4,996 | ||||||
Liberty Mutual Group, Inc., Reg. S, (EUR Swap Rate 5 Year + 3.70%), 3.63%, 05/23/2059 (aa) | EUR | 200 | 242 | |||||
MGIC Investment Corp., 5.25%, 08/15/2028 | 300 | 320 | ||||||
Unipol Gruppo SpA, (Italy), Reg. S, 3.25%, 09/23/2030 | EUR | 100 | 135 | |||||
USI, Inc., 6.88%, 05/01/2025 (e) | 2,430 | 2,473 | ||||||
|
| |||||||
37,618 | ||||||||
|
|
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Investment Companies 0.1% | ||||||||
Compass Group Diversified Holdings LLC, 5.25%, 04/15/2029 (e) | 1,059 | 1,108 | ||||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp., | ||||||||
4.38%, 02/01/2029 | 677 | 676 | ||||||
5.25%, 05/15/2027 | 1,786 | 1,857 | ||||||
6.25%, 05/15/2026 | 837 | 874 | ||||||
Owl Rock Technology Finance Corp., 3.75%, 06/17/2026 (e) | 145 | 153 | ||||||
|
| |||||||
4,668 | ||||||||
|
| |||||||
Real Estate 0.5% | ||||||||
ADLER Group SA, (Luxembourg), | ||||||||
Reg. S, 2.75%, 11/13/2026 | EUR | 200 | 198 | |||||
Reg. S, 3.25%, 08/05/2025 | EUR | 100 | 102 | |||||
Aroundtown SA, (Luxembourg), Reg. S, (EUR Swap Rate 5 Year + 3.98%), 3.38%, 09/23/2024 (x) (aa) | EUR | 100 | 121 | |||||
Canary Wharf Group Investment Holdings plc, (United Kingdom), | ||||||||
Reg. S, 1.75%, 04/07/2026 | EUR | 100 | 118 | |||||
Reg. S, 3.38%, 04/23/2028 | GBP | 100 | 137 | |||||
Citycon OYJ, (Finland), Reg. S, (EUR Swap Rate 5 Year + 4.71%), 4.50%, 11/24/2024 (x) (aa) | EUR | 100 | 120 | |||||
Cushman & Wakefield US Borrower LLC, 6.75%, 05/15/2028 (e) | 1,061 | 1,151 | ||||||
DEMIRE Deutsche Mittelstand Real Estate AG, (Germany), Reg. S, 1.88%, 10/15/2024 | EUR | 100 | 110 | |||||
DIC Asset AG, (Germany), Reg. S, 2.25%, 09/22/2026 | EUR | 200 | 228 | |||||
Fastighets AB Balder, (Sweden), Reg. S, (EUR Swap Rate 5 Year + 3.19%), 2.87%, 06/02/2081 (aa) | EUR | 100 | 114 | |||||
Five Point Operating Co. LP / Five Point Capital Corp., 7.88%, 11/15/2025 (e) | 3,450 | 3,605 | ||||||
Greystar Real Estate Partners LLC, 5.75%, 12/01/2025 (e) | 1,900 | 1,929 | ||||||
Heimstaden Bostad AB, (Sweden), | ||||||||
Reg. S, (EUR Swap Rate 5 Year + 3.15%), 2.63%, 02/01/2027 (x) (aa) | EUR | 100 | 113 | |||||
Reg. S, (EUR Swap Rate 5 Year + 3.91%), 3.38%, 01/15/2026 (x) (aa) | EUR | 100 | 119 | |||||
Howard Hughes Corp. (The), | ||||||||
4.13%, 02/01/2029 (e) | 706 | 708 | ||||||
4.38%, 02/01/2031 (e) | 1,874 | 1,885 | ||||||
5.38%, 08/01/2028 (e) | 2,607 | 2,747 | ||||||
Hunt Cos., Inc., 5.25%, 04/15/2029 (e) (e) | 2,900 | 2,842 | ||||||
Kennedy-Wilson, Inc., 4.75%, 02/01/2030 | 511 | 520 | ||||||
Realogy Group LLC / Realogy Co-Issuer Corp., 5.75%, 01/15/2029 (e) | 522 | 541 | ||||||
|
| |||||||
17,408 | ||||||||
|
| |||||||
REITS 2.3% | ||||||||
American Finance Trust, Inc. / American Finance Operating Partner LP, 4.50%, 09/30/2028 (e) (w) (bb) | 242 | 242 | ||||||
Brookfield Property REIT, Inc. / BPR Cumulus LLC / BPR Nimbus LLC / GGSI Sellco LL, 4.50%, 04/01/2027 (e) | 656 | 649 | ||||||
CTR Partnership LP / CareTrust Capital Corp., 3.88%, 06/30/2028 (e) | 592 | 616 | ||||||
Diversified Healthcare Trust, | ||||||||
4.38%, 03/01/2031 | 425 | 411 | ||||||
4.75%, 02/15/2028 | 5,225 | 5,251 | ||||||
9.75%, 06/15/2025 | 1,958 | 2,134 | ||||||
EPR Properties, 4.75%, 12/15/2026 | 1,055 | 1,150 | ||||||
Global Net Lease, Inc. / Global Net Lease Operating Partnership LP, 3.75%, 12/15/2027 (e) | 590 | 586 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
REITS continued | ||||||||
GLP Capital LP / GLP Financing II, Inc., | ||||||||
4.00%, 01/15/2031 | 57 | 61 | ||||||
5.25%, 06/01/2025 | 834 | 930 | ||||||
HAT Holdings I LLC / HAT Holdings II LLC, | ||||||||
3.38%, 06/15/2026 (e) | 1,594 | 1,618 | ||||||
6.00%, 04/15/2025 (e) | 820 | 857 | ||||||
Iron Mountain UK plc, (United Kingdom), Reg. S, 3.88%, 11/15/2025 | GBP | 100 | 136 | |||||
Iron Mountain, Inc., | ||||||||
5.25%, 07/15/2030 (e) | 1,346 | 1,428 | ||||||
5.63%, 07/15/2032 (e) | 937 | 1,005 | ||||||
iStar, Inc., 5.50%, 02/15/2026 | 1,089 | 1,138 | ||||||
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., | ||||||||
4.25%, 02/01/2027 (e) | 1,180 | 1,168 | ||||||
4.75%, 06/15/2029 (e) | 498 | 496 | ||||||
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc., | ||||||||
3.88%, 02/15/2029 (e) | 1,838 | 1,957 | ||||||
4.50%, 09/01/2026 | 1,210 | 1,316 | ||||||
4.50%, 01/15/2028 | 1,843 | 2,014 | ||||||
4.63%, 06/15/2025 (e) | 506 | 545 | ||||||
5.63%, 05/01/2024 | 543 | 591 | ||||||
5.75%, 02/01/2027 | 569 | 654 | ||||||
MPT Operating Partnership LP / MPT Finance Corp., | ||||||||
3.50%, 03/15/2031 | 4,633 | 4,726 | ||||||
4.63%, 08/01/2029 | 2,085 | 2,237 | ||||||
5.00%, 10/15/2027 | 2,892 | 3,047 | ||||||
5.25%, 08/01/2026 | 250 | 257 | ||||||
Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer, | ||||||||
5.88%, 10/01/2028 (e) | 1,475 | 1,556 | ||||||
7.50%, 06/01/2025 (e) | 3,550 | 3,772 | ||||||
RHP Hotel Properties LP / RHP Finance Corp., | ||||||||
4.50%, 02/15/2029 (e) | 793 | 795 | ||||||
4.75%, 10/15/2027 | 1,690 | 1,749 | ||||||
RLJ Lodging Trust LP, | ||||||||
3.75%, 07/01/2026 (e) | 492 | 494 | ||||||
4.00%, 09/15/2029 (e) | 354 | 354 | ||||||
Sabra Health Care LP, 5.13%, 08/15/2026 | 75 | 84 | ||||||
SBA Communications Corp., | ||||||||
3.13%, 02/01/2029 (e) | 275 | 266 | ||||||
3.88%, 02/15/2027 | 2,568 | 2,661 | ||||||
4.88%, 09/01/2024 | 1,605 | 1,633 | ||||||
Service Properties Trust, | ||||||||
5.50%, 12/15/2027 | 150 | 160 | ||||||
7.50%, 09/15/2025 | 1,158 | 1,301 | ||||||
SL Green Operating Partnership LP, 3.25%, 10/15/2022 | 1,060 | 1,087 | ||||||
Starwood Property Trust, Inc., 5.50%, 11/01/2023 (e) | 2 | 2 | ||||||
Uniti Group LP / Uniti Fiber Holdings, Inc. / CSL Capital LLC, | ||||||||
6.00%, 01/15/2030 (e) (w) | 525 | 521 | ||||||
7.13%, 12/15/2024 (e) | 535 | 546 | ||||||
7.88%, 02/15/2025 (e) | 6,190 | 6,540 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
REITS continued | ||||||||
Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC, | ||||||||
4.75%, 04/15/2028 (e) | 700 | 715 | ||||||
6.50%, 02/15/2029 (e) | 1,667 | 1,715 | ||||||
VICI Properties LP / VICI Note Co., Inc., | ||||||||
3.75%, 02/15/2027 (e) | 5,843 | 6,048 | ||||||
4.13%, 08/15/2030 (e) | 4,162 | 4,412 | ||||||
4.25%, 12/01/2026 (e) | 2,376 | 2,481 | ||||||
4.63%, 12/01/2029 (e) | 1,200 | 1,290 | ||||||
Vornado Realty LP, | ||||||||
2.15%, 06/01/2026 | 135 | 137 | ||||||
3.50%, 01/15/2025 | 719 | 764 | ||||||
WEA Finance LLC / Westfield UK & Europe Finance plc, 3.75%, 09/17/2024 (e) | 961 | 1,022 | ||||||
|
| |||||||
79,325 | ||||||||
|
| |||||||
Total Financial | 347,876 | |||||||
|
| |||||||
Industrial 7.4% | ||||||||
Aerospace/Defense 2.4% | ||||||||
BAE Systems plc, (United Kingdom), 4.75%, 10/11/2021 (e) | 1,120 | 1,121 | ||||||
Boeing Co. (The), | ||||||||
2.80%, 03/01/2023 | 988 | 1,015 | ||||||
4.51%, 05/01/2023 | 1,752 | 1,851 | ||||||
4.88%, 05/01/2025 | 2,274 | 2,530 | ||||||
5.15%, 05/01/2030 | 458 | 536 | ||||||
5.81%, 05/01/2050 | 3,485 | 4,629 | ||||||
5.93%, 05/01/2060 | 6,620 | 9,017 | ||||||
Bombardier, Inc., (Canada), | ||||||||
6.00%, 02/15/2028 (e) | 3,062 | 3,096 | ||||||
7.13%, 06/15/2026 (e) | 3,484 | 3,667 | ||||||
7.45%, 05/01/2034 (e) | 151 | 177 | ||||||
7.50%, 12/01/2024 (e) | 3,455 | 3,593 | ||||||
7.50%, 03/15/2025 (e) | 1,500 | 1,532 | ||||||
7.88%, 04/15/2027 (e) | 9,241 | 9,564 | ||||||
F-Brasile SpA / F-Brasile US LLC, (Italy), Series XR, 7.38%, 08/15/2026 (e) | 1,396 | 1,438 | ||||||
Rolls-Royce plc, (United Kingdom), | ||||||||
5.75%, 10/15/2027 (e) | 2,811 | 3,106 | ||||||
Reg. S, 5.75%, 10/15/2027 | GBP | 300 | 449 | |||||
Spirit AeroSystems, Inc., | ||||||||
5.50%, 01/15/2025 (e) | 803 | 849 | ||||||
7.50%, 04/15/2025 (e) | 550 | 582 | ||||||
SSL Robotics LLC, 9.75%, 12/31/2023 (e) | 1,238 | 1,342 | ||||||
TransDigm UK Holdings plc, (United Kingdom), 6.88%, 05/15/2026 | 2,700 | 2,838 | ||||||
TransDigm, Inc., | ||||||||
4.88%, 05/01/2029 (e) | 1,859 | 1,863 | ||||||
4.63%, 01/15/2029 | 2,085 | 2,075 | ||||||
5.50%, 11/15/2027 | 2,450 | 2,533 | ||||||
6.25%, 03/15/2026 (e) | 12,053 | 12,612 | ||||||
6.38%, 06/15/2026 | 416 | 429 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Aerospace/Defense continued | ||||||||
7.50%, 03/15/2027 | 427 | 449 | ||||||
8.00%, 12/15/2025 (e) | 6,792 | 7,242 | ||||||
Triumph Group, Inc., 8.88%, 06/01/2024 (e) | 2,880 | 3,168 | ||||||
|
| |||||||
83,303 | ||||||||
|
| |||||||
Building Materials 1.0% | ||||||||
APi Group DE, Inc., 4.13%, 07/15/2029 (e) | 480 | 470 | ||||||
Cemex SAB de CV, (Mexico), Reg. S, 3.13%, 03/19/2026 | EUR | 100 | 118 | |||||
Cornerstone Building Brands, Inc., 6.13%, 01/15/2029 (e) | 3,460 | 3,676 | ||||||
CP Atlas Buyer, Inc., 7.00%, 12/01/2028 (e) | 2,412 | 2,418 | ||||||
Forterra Finance LLC / FRTA Finance Corp., 6.50%, 07/15/2025 (e) | 765 | 819 | ||||||
Griffon Corp., 5.75%, 03/01/2028 | 2,600 | 2,730 | ||||||
HT Troplast GmbH, (Germany), Reg. S, 9.25%, 07/15/2025 | EUR | 100 | 127 | |||||
JELD-WEN, Inc., 4.63%, 12/15/2025 (e) | 1,000 | 1,015 | ||||||
Koppers, Inc., 6.00%, 02/15/2025 (e) | 1,600 | 1,636 | ||||||
Masonite International Corp., (Canada), | ||||||||
3.50%, 02/15/2030 (e) | 1,308 | 1,298 | ||||||
5.38%, 02/01/2028 (e) | 854 | 899 | ||||||
New Enterprise Stone & Lime Co., Inc., | ||||||||
5.25%, 07/15/2028 (e) (w) | 297 | 300 | ||||||
9.75%, 07/15/2028 (e) | 138 | 150 | ||||||
Patrick Industries, Inc., | ||||||||
4.75%, 05/01/2029 (e) | 899 | 917 | ||||||
7.50%, 10/15/2027 (e) | 1,000 | 1,078 | ||||||
SRM Escrow Issuer LLC, 6.00%, 11/01/2028 (e) | 4,621 | 4,893 | ||||||
Standard Industries, Inc., | ||||||||
Reg. S, 2.25%, 11/21/2026 | EUR | 100 | 114 | |||||
3.38%, 01/15/2031 (e) | 4,568 | 4,347 | ||||||
4.38%, 07/15/2030 (e) | 3,711 | 3,785 | ||||||
4.75%, 01/15/2028 (e) | 1,425 | 1,479 | ||||||
5.00%, 02/15/2027 (e) | 175 | 181 | ||||||
Summit Materials LLC / Summit Materials Finance Corp., | ||||||||
5.25%, 01/15/2029 (e) | 1,129 | 1,186 | ||||||
6.50%, 03/15/2027 (e) | 850 | 891 | ||||||
Victors Merger Corp., 6.38%, 05/15/2029 (e) | 562 | 538 | ||||||
|
| |||||||
35,065 | ||||||||
|
| |||||||
Electrical Components & Equipments 0.3% | ||||||||
Belden, Inc., Reg. S, 3.88%, 03/15/2028 | EUR | 100 | 120 | |||||
Energizer Holdings, Inc., | ||||||||
4.38%, 03/31/2029 (e) | 500 | 496 | ||||||
4.75%, 06/15/2028 (e) | 1,558 | 1,585 | ||||||
WESCO Distribution, Inc., | ||||||||
7.13%, 06/15/2025 (e) | 4,856 | 5,195 | ||||||
7.25%, 06/15/2028 (e) | 1,707 | 1,891 | ||||||
|
| |||||||
9,287 | ||||||||
|
| |||||||
Electronics 0.3% | ||||||||
Atkore, Inc., 4.25%, 06/01/2031 (e) | 484 | 499 | ||||||
Brightstar Escrow Corp., 9.75%, 10/15/2025 (e) | 1,250 | 1,341 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Electronics continued | ||||||||
Imola Merger Corp., 4.75%, 05/15/2029 (e) | 1,894 | 1,959 | ||||||
Sensata Technologies BV, (Netherlands), 4.00%, 04/15/2029 (e) | 2,130 | 2,168 | ||||||
Sensata Technologies, Inc., | ||||||||
3.75%, 02/15/2031 (e) | 815 | 820 | ||||||
4.38%, 02/15/2030 (e) | 2,645 | 2,846 | ||||||
SYNNEX Corp., 1.25%, 08/09/2024 (e) | 379 | 379 | ||||||
|
| |||||||
10,012 | ||||||||
|
| |||||||
Engineering & Construction 0.3% | ||||||||
Abertis Infraestructuras Finance BV, (Netherlands), Reg. S, (EUR Swap Rate 5 Year + 3.69%), 3.25%, 11/24/2025 (x) (aa) | EUR | 300 | 357 | |||||
AECOM, 5.13%, 03/15/2027 | 2,325 | 2,575 | ||||||
Arcosa, Inc., 4.38%, 04/15/2029 (e) | 374 | 379 | ||||||
Artera Services LLC, 9.03%, 12/04/2025 (e) | 1,000 | 1,085 | ||||||
Brand Industrial Services, Inc., 8.50%, 07/15/2025 (e) | 1,169 | 1,173 | ||||||
Dycom Industries, Inc., 4.50%, 04/15/2029 (e) | 353 | 355 | ||||||
Fluor Corp., 3.50%, 12/15/2024 | 27 | 28 | ||||||
Heathrow Finance plc, (United Kingdom), Reg. S, SUB, 4.63%, 09/01/2029 | GBP | 300 | 411 | |||||
MasTec, Inc., 4.50%, 08/15/2028 (e) | 342 | 357 | ||||||
TopBuild Corp., | ||||||||
3.63%, 03/15/2029 (e) | 1,425 | 1,434 | ||||||
4.13%, 02/15/2032 (e) (w) | 600 | 606 | ||||||
|
| |||||||
8,760 | ||||||||
|
| |||||||
Environmental Control 0.4% | ||||||||
Clean Harbors, Inc., 5.13%, 07/15/2029 (e) | 517 | 566 | ||||||
Covanta Holding Corp., 5.00%, 09/01/2030 | 71 | 72 | ||||||
GFL Environmental, Inc., (Canada), | ||||||||
3.50%, 09/01/2028 (e) | 356 | 358 | ||||||
3.75%, 08/01/2025 (e) | 547 | 563 | ||||||
4.00%, 08/01/2028 (e) | 1,519 | 1,508 | ||||||
4.38%, 08/15/2029 (e) | 1,441 | 1,455 | ||||||
4.75%, 06/15/2029 (e) | 1,269 | 1,299 | ||||||
5.13%, 12/15/2026 (e) | 1,705 | 1,791 | ||||||
Madison IAQ LLC, | ||||||||
4.13%, 06/30/2028 (e) | 528 | 528 | ||||||
5.88%, 06/30/2029 (e) | 2,896 | 2,918 | ||||||
Paprec Holding SA, (France), Reg. S, 3.50%, 07/01/2028 | EUR | 100 | 117 | |||||
Stericycle, Inc., 3.88%, 01/15/2029 (e) | 176 | 177 | ||||||
Tervita Corp., (Canada), 11.00%, 12/01/2025 (e) | 853 | 968 | ||||||
Waste Pro USA, Inc., 5.50%, 02/15/2026 (e) | 1,938 | 1,958 | ||||||
|
| |||||||
14,278 | ||||||||
|
| |||||||
Hand/Machine Tools 0.0% (g) | ||||||||
IMA Industria Macchine Automatiche SpA, (Italy), Reg. S, 3.75%, 01/15/2028 | EUR | 100 | 117 | |||||
|
| |||||||
Machinery - Construction & Mining 0.1% | ||||||||
BWX Technologies, Inc., | ||||||||
4.13%, 06/30/2028 (e) | 1,426 | 1,463 | ||||||
4.13%, 04/15/2029 (e) | 399 | 409 | ||||||
Terex Corp., 5.00%, 05/15/2029 (e) | 2,704 | 2,802 | ||||||
|
| |||||||
4,674 | ||||||||
|
|
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Machinery - Diversified 0.6% | ||||||||
ATS Automation Tooling Systems, Inc., (Canada), 4.13%, 12/15/2028 (e) | 114 | 117 | ||||||
CNH Industrial NV, (Netherlands), 4.50%, 08/15/2023 | 562 | 601 | ||||||
Colfax Corp., 6.38%, 02/15/2026 (e) | 682 | 714 | ||||||
Flowserve Corp., 4.00%, 11/15/2023 | 110 | 117 | ||||||
GrafTech Finance, Inc., 4.63%, 12/15/2028 (e) | 1,394 | 1,431 | ||||||
Granite US Holdings Corp., 11.00%, 10/01/2027 (e) | 215 | 235 | ||||||
Husky III Holding Ltd., (Canada), 13.00% (cash), 02/15/2025 (e) (v) | 1,401 | 1,489 | ||||||
Maxim Crane Works Holdings Capital LLC, 10.13%, 08/01/2024 (e) | 4,281 | 4,383 | ||||||
Mueller Water Products, Inc., 4.00%, 06/15/2029 (e) | 523 | 541 | ||||||
Novafives SAS, (France), Reg. S, 5.00%, 06/15/2025 | EUR | 100 | 108 | |||||
Renk AG/Frankfurt am Main, (Germany), Reg. S, 5.75%, 07/15/2025 | EUR | 100 | 120 | |||||
Titan Acquisition Ltd. / Titan Co-Borrower LLC, (Multinational), 7.75%, 04/15/2026 (e) | 1,902 | 1,943 | ||||||
TK Elevator Holdco GmbH, (Germany), | ||||||||
Reg. S, 6.63%, 07/15/2028 | EUR | 90 | 111 | |||||
7.63%, 07/15/2028 (e) | 3,640 | 3,876 | ||||||
TK Elevator Midco GmbH, (Germany), Reg. S, 4.38%, 07/15/2027 | EUR | 200 | 242 | |||||
TK Elevator US Newco, Inc., 5.25%, 07/15/2027 (e) | 3,754 | 3,944 | ||||||
Westinghouse Air Brake Technologies Corp., | ||||||||
3.20%, 06/15/2025 | 58 | 61 | ||||||
4.38%, 08/15/2023 | 1,117 | 1,174 | ||||||
|
| |||||||
21,207 | ||||||||
|
| |||||||
Metal Fabricate/Hardware 0.0% (g) | ||||||||
Roller Bearing Co. of America, Inc., 4.38%, 10/15/2029 (e) (w) | 1,350 | 1,384 | ||||||
Vallourec SA, (France), Reg. S, 8.50%, 06/30/2026 | EUR | 92 | 109 | |||||
|
| |||||||
1,493 | ||||||||
|
| |||||||
Miscellaneous Manufacturers 0.2% | ||||||||
Amsted Industries, Inc., | ||||||||
4.63%, 05/15/2030 (e) | 1,908 | 1,961 | ||||||
5.63%, 07/01/2027 (e) | 122 | 127 | ||||||
Gates Global LLC / Gates Corp., 6.25%, 01/15/2026 (e) | 3,378 | 3,504 | ||||||
LSB Industries, Inc., 6.25%, 10/15/2028 (e) (w) | 425 | 430 | ||||||
|
| |||||||
6,022 | ||||||||
|
| |||||||
Packaging & Containers 1.5% | ||||||||
ARD Finance SA, (Luxembourg), 6.50% (cash), 06/30/2027 (e) (v) | 6,578 | 6,981 | ||||||
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc, (Multinational), | ||||||||
Reg. S, 2.00%, 09/01/2028 | EUR | 100 | 117 | |||||
Reg. S, 3.00%, 09/01/2029 | EUR | 100 | 116 | |||||
4.00%, 09/01/2029 (e) | 4,448 | 4,498 | ||||||
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc., (Multinational), | ||||||||
4.13%, 08/15/2026 (e) | 910 | 944 | ||||||
5.25%, 08/15/2027 (e) | 5,188 | 5,281 | ||||||
Ball Corp., 2.88%, 08/15/2030 | 725 | 704 | ||||||
3.13%, 09/15/2031 | 1,609 | 1,589 | ||||||
Berry Global, Inc., 4.88%, 07/15/2026 (e) | 75 | 79 | ||||||
Crown Americas LLC / Crown Americas Capital Corp. IV, 4.50%, 01/15/2023 | 625 | 656 | ||||||
Crown Americas LLC / Crown Americas Capital Corp. V, 4.25%, 09/30/2026 | 146 | 157 | ||||||
Crown Americas LLC / Crown Americas Capital Corp. VI, 4.75%, 02/01/2026 | 350 | 361 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Packaging & Containers continued | ||||||||
Flex Acquisition Co., Inc., | ||||||||
6.88%, 01/15/2025 (e) | 400 | 405 | ||||||
7.88%, 07/15/2026 (e) | 2,700 | 2,822 | ||||||
Graham Packaging Co., Inc., 7.13%, 08/15/2028 (e) | 400 | 421 | ||||||
Graphic Packaging International LLC, 3.50%, 03/01/2029 (e) | 625 | 622 | ||||||
Intelligent Packaging Holdco Issuer LP, (Canada), 9.00% (cash), 01/15/2026 (e) (v) | 425 | 446 | ||||||
Intelligent Packaging Ltd. Finco, Inc. / Intelligent Packaging Ltd. Co-Issuer LLC, (Canada), 6.00%, 09/15/2028 (e) | 1,214 | 1,272 | ||||||
Intertape Polymer Group, Inc., (Canada), 4.38%, 06/15/2029 (e) | 502 | 510 | ||||||
Kleopatra Finco Sarl, (Luxembourg), Reg. S, 4.25%, 03/01/2026 | EUR | 100 | 113 | |||||
LABL, Inc., 10.50%, 07/15/2027 (e) | 428 | 461 | ||||||
Mauser Packaging Solutions Holding Co., | ||||||||
5.50%, 04/15/2024 (e) | 1,787 | 1,802 | ||||||
7.25%, 04/15/2025 (e) | 1,025 | 1,019 | ||||||
OI European Group BV, (Netherlands), Reg. S, 2.88%, 02/15/2025 | EUR | 100 | 117 | |||||
Owens-Brockway Glass Container, Inc., | ||||||||
5.38%, 01/15/2025 (e) | 50 | 53 | ||||||
6.63%, 05/13/2027 (e) | 3,275 | 3,517 | ||||||
Pactiv Evergreen Group Issuer LLC / Pactiv Evergreen Group Issuer, Inc., 4.38%, 10/15/2028 (e) | 875 | 878 | ||||||
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer LLC/Reynolds Gro, 4.00%, 10/15/2027 (e) | 100 | 99 | ||||||
Sealed Air Corp., | ||||||||
4.00%, 12/01/2027 (e) | 89 | 95 | ||||||
5.25%, 04/01/2023 (e) | 750 | 784 | ||||||
Trident TPI Holdings, Inc., | ||||||||
6.63%, 11/01/2025 (e) | 25 | 25 | ||||||
9.25%, 08/01/2024 (e) | 1,175 | 1,235 | ||||||
TriMas Corp., 4.13%, 04/15/2029 (e) | 4,900 | 5,010 | ||||||
Trivium Packaging Finance BV, (Netherlands), | ||||||||
5.50%, 08/15/2026 (e) | 2,207 | 2,311 | ||||||
8.50%, 08/15/2027 (e) | 6,699 | 7,193 | ||||||
|
| |||||||
52,693 | ||||||||
|
| |||||||
Shipbuilding 0.0% (g) | ||||||||
Huntington Ingalls Industries, Inc., | ||||||||
0.67%, 08/16/2023 (e) | 564 | 564 | ||||||
3.84%, 05/01/2025 | 743 | 804 | ||||||
|
| |||||||
1,368 | ||||||||
|
| |||||||
Transportation 0.2% | ||||||||
CMA CGM SA, (France), Reg. S, 7.50%, 01/15/2026 | EUR | 100 | 128 | |||||
Danaos Corp., (Marshall Island), 8.50%, 03/01/2028 (e) | 100 | 111 | ||||||
Getlink SE, (France), Reg. S, 3.50%, 10/30/2025 | EUR | 100 | 120 | |||||
National Express Group plc, (United Kingdom), Reg. S, (UK Gilts 5 Year + 4.14%), 4.25%, 11/26/2025 (x) (aa) | GBP | 100 | 139 | |||||
Rumo Luxembourg Sarl, (Luxembourg), 5.88%, 01/18/2025 (e) | 400 | 414 | ||||||
Seaspan Corp., (Marshall Island), 5.50%, 08/01/2029 (e) | 1,306 | 1,332 | ||||||
Watco Cos. LLC / Watco Finance Corp., 6.50%, 06/15/2027 (e) | 725 | 776 | ||||||
XPO Logistics, Inc., 6.25%, 05/01/2025 (e) | 4,820 | 5,082 | ||||||
|
| |||||||
8,102 | ||||||||
|
|
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Trucking & Leasing 0.1% | ||||||||
Fortress Transportation and Infrastructure Investors LLC, | ||||||||
5.50%, 05/01/2028 (e) | 2,441 | 2,465 | ||||||
6.50%, 10/01/2025 (e) | 81 | 84 | ||||||
|
| |||||||
2,549 | ||||||||
|
| |||||||
Total Industrial | 258,930 | |||||||
|
| |||||||
Technology 2.9% | ||||||||
Computers 0.8% | ||||||||
Ahead DB Holdings LLC, 6.63%, 05/01/2028 (e) | 388 | 391 | ||||||
Austin BidCo., Inc., 7.13%, 12/15/2028 (e) | 83 | 84 | ||||||
Booz Allen Hamilton, Inc., | ||||||||
3.88%, 09/01/2028 (e) | 1,389 | 1,424 | ||||||
4.00%, 07/01/2029 (e) | 1,637 | 1,680 | ||||||
Centurion Bidco SpA, (Italy), Reg. S, 5.88%, 09/30/2026 | EUR | 200 | 243 | |||||
Crowdstrike Holdings, Inc., 3.00%, 02/15/2029 | 1,101 | 1,097 | ||||||
Dell International LLC / EMC Corp., | ||||||||
4.00%, 07/15/2024 | 674 | 729 | ||||||
5.45%, 06/15/2023 | 4,750 | 5,099 | ||||||
7.13%, 06/15/2024 (e) | 4,810 | 4,919 | ||||||
Diebold Nixdorf, Inc., 9.38%, 07/15/2025 (e) | 175 | 192 | ||||||
KBR, Inc., 4.75%, 09/30/2028 (e) | 6 | 6 | ||||||
NCR Corp., | ||||||||
5.00%, 10/01/2028 (e) | 1,066 | 1,089 | ||||||
5.13%, 04/15/2029 (e) | 2,622 | 2,704 | ||||||
5.25%, 10/01/2030 (e) | 3,175 | 3,329 | ||||||
6.13%, 09/01/2029 (e) | 1,213 | 1,316 | ||||||
Science Applications International Corp., 4.88%, 04/01/2028 (e) | 817 | 844 | ||||||
Seagate HDD Cayman, (Cayman Islands), | ||||||||
3.13%, 07/15/2029 (e) | 600 | 580 | ||||||
3.38%, 07/15/2031 (e) | 375 | 365 | ||||||
Tempo Acquisition LLC / Tempo Acquisition Finance Corp., 5.75%, 06/01/2025 (e) | 2,130 | 2,236 | ||||||
|
| |||||||
28,327 | ||||||||
|
| |||||||
Office/Business & Equipments 0.1% | ||||||||
CDW LLC / CDW Finance Corp., | ||||||||
3.25%, 02/15/2029 | 2,161 | 2,215 | ||||||
4.13%, 05/01/2025 | 23 | 24 | ||||||
|
| |||||||
2,239 | ||||||||
|
| |||||||
Semiconductors 0.5% | ||||||||
Entegris, Inc., | ||||||||
3.63%, 05/01/2029 (e) | 666 | 679 | ||||||
4.38%, 04/15/2028 (e) | 858 | 899 | ||||||
Microchip Technology, Inc., | ||||||||
0.97%, 02/15/2024 (e) | 889 | 889 | ||||||
2.67%, 09/01/2023 | 1,446 | 1,499 | ||||||
4.25%, 09/01/2025 | 4,943 | 5,169 | ||||||
4.33%, 06/01/2023 | 438 | 463 | ||||||
NXP BV / NXP Funding LLC, (Multinational), 3.88%, 09/01/2022 (e) | 1,008 | 1,038 | ||||||
ON Semiconductor Corp., 3.88%, 09/01/2028 (e) | 1,018 | 1,052 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Semiconductors continued | ||||||||
Qorvo, Inc., 3.38%, 04/01/2031 (e) | 550 | 580 | ||||||
SK Hynix, Inc., (South Korea), 1.50%, 01/19/2026 (e) | 1,200 | 1,184 | ||||||
Skyworks Solutions, Inc., 0.90%, 06/01/2023 | 3,725 | 3,732 | ||||||
Synaptics, Inc., 4.00%, 06/15/2029 (e) | 657 | 672 | ||||||
|
| |||||||
17,856 | ||||||||
|
| |||||||
Software 1.5% | ||||||||
Black Knight InfoServ LLC, 3.63%, 09/01/2028 (e) | 4,451 | 4,473 | ||||||
Boxer Parent Co., Inc., | ||||||||
Reg. S, 6.50%, 10/02/2025 | EUR | 300 | 365 | |||||
7.13%, 10/02/2025 (e) | 1,551 | 1,656 | ||||||
9.13%, 03/01/2026 (e) | 3,344 | 3,506 | ||||||
Brunello Bidco SpA, (Italy), Reg. S, (ICE LIBOR EUR 3 Month + 3.75%), 3.75%, 02/15/2028 (aa) | EUR | 100 | 116 | |||||
Camelot Finance SA, (Luxembourg), 4.50%, 11/01/2026 (e) | 1,348 | 1,400 | ||||||
Change Healthcare Holdings LLC / Change Healthcare Finance, Inc., 5.75%, 03/01/2025 (e) | 1,262 | 1,271 | ||||||
Clarivate Science Holdings Corp., | ||||||||
3.88%, 07/01/2028 (e) | 1,554 | 1,554 | ||||||
4.88%, 07/01/2029 (e) | 3,222 | 3,231 | ||||||
Consensus Cloud Solutions, Inc., | ||||||||
6.00%, 10/15/2026 (e) (w) | 463 | 476 | ||||||
6.50%, 10/15/2028 (e) (w) | 714 | 741 | ||||||
Dun & Bradstreet Corp. (The), | ||||||||
6.88%, 08/15/2026 (e) | 1,502 | 1,575 | ||||||
10.25%, 02/15/2027 (e) | 2,976 | 3,199 | ||||||
Elastic NV, (Netherlands), 4.13%, 07/15/2029 (e) | 1,717 | 1,726 | ||||||
Helios Software Holdings, Inc. / ION Corporate Solutions Finance Sarl, 4.63%, 05/01/2028 (e) | 1,374 | 1,353 | ||||||
MicroStrategy, Inc., 6.13%, 06/15/2028 (e) | 1,163 | 1,175 | ||||||
MSCI, Inc., | ||||||||
3.25%, 08/15/2033 (e) | 596 | 603 | ||||||
3.63%, 09/01/2030 (e) | 1,031 | 1,066 | ||||||
3.63%, 11/01/2031 (e) | 454 | 472 | ||||||
3.88%, 02/15/2031 (e) | 783 | 821 | ||||||
Open Text Corp., (Canada), 3.88%, 02/15/2028 (e) | 692 | 706 | ||||||
Open Text Holdings, Inc., 4.13%, 02/15/2030 (e) | 574 | 590 | ||||||
Playtika Holding Corp., 4.25%, 03/15/2029 (e) | 1,437 | 1,442 | ||||||
PTC, Inc., | ||||||||
3.63%, 02/15/2025 (e) | 350 | 355 | ||||||
4.00%, 02/15/2028 (e) | 400 | 411 | ||||||
Rackspace Technology Global, Inc., | ||||||||
3.50%, 02/15/2028 (e) | 975 | 941 | ||||||
5.38%, 12/01/2028 (e) | 1,582 | 1,554 | ||||||
Rocket Software, Inc., 6.50%, 02/15/2029 (e) | 2,489 | 2,464 | ||||||
SS&C Technologies, Inc., 5.50%, 09/30/2027 (e) | 5,357 | 5,660 | ||||||
Twilio, Inc., 3.88%, 03/15/2031 | 1,286 | 1,317 | ||||||
Veritas US, Inc. / Veritas Bermuda Ltd., 7.50%, 09/01/2025 (e) | 6,231 | 6,480 | ||||||
ZoomInfo Technologies LLC / ZoomInfo Finance Corp., 3.88%, 02/01/2029 (e) | 1,561 | 1,561 | ||||||
|
| |||||||
54,260 | ||||||||
|
| |||||||
Total Technology | 102,682 | |||||||
|
|
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Utilities 3.3% | ||||||||
Electric 2.6% | ||||||||
AES Corp. (The), 3.30%, 07/15/2025 (e) | 997 | 1,059 | ||||||
Alexander Funding Trust, 1.84%, 11/15/2023 (e) | 1,472 | 1,500 | ||||||
American Transmission Systems, Inc., 5.25%, 01/15/2022 (e) | 2,700 | 2,734 | ||||||
Calpine Corp., | ||||||||
3.75%, 03/01/2031 (e) | 1,673 | 1,610 | ||||||
4.50%, 02/15/2028 (e) | 2,019 | 2,059 | ||||||
4.63%, 02/01/2029 (e) | 6,768 | 6,667 | ||||||
5.00%, 02/01/2031 (e) | 3,125 | 3,125 | ||||||
5.13%, 03/15/2028 (e) | 8,762 | 8,874 | ||||||
5.25%, 06/01/2026 (e) | 1,044 | 1,074 | ||||||
Clearway Energy Operating LLC, | ||||||||
3.75%, 01/15/2032 (e) (w) | 557 | 556 | ||||||
4.75%, 03/15/2028 (e) | 254 | 268 | ||||||
Comision Federal de Electricidad, (Mexico), 4.88%, 01/15/2024 (e) | 1,200 | 1,294 | ||||||
Dominion Energy, Inc., Series D, (ICE LIBOR USD 3 Month + 0.53%), 0.65%, 09/15/2023 (aa) | 1,463 | 1,463 | ||||||
Edison International, | ||||||||
3.13%, 11/15/2022 | 1,500 | 1,537 | ||||||
Series A, (CMT Index 5 Year + 4.70%), 5.38%, 03/15/2026 (x) (aa) | 1,500 | 1,551 | ||||||
Electricite de France SA, (France), Reg. S, (EUR Swap Rate 5 Year + 4.00%), 3.38%, 06/15/2030 (x) (aa) | EUR | 600 | 731 | |||||
Entergy Louisiana LLC, 0.95%, 10/01/2024 (w) | 527 | 527 | ||||||
FirstEnergy Corp., | ||||||||
2.05%, 03/01/2025 | 2,380 | 2,404 | ||||||
2.65%, 03/01/2030 | 146 | 145 | ||||||
Series B, 2.25%, 09/01/2030 | 24 | 23 | ||||||
Series B, 4.40%, 07/15/2027 | 621 | 681 | ||||||
Series B, 4.75%, 03/15/2023 | 720 | 749 | ||||||
Series C, 3.40%, 03/01/2050 | 1,674 | 1,609 | ||||||
Series C, 5.35%, 07/15/2047 | 2,203 | 2,686 | ||||||
Series C, 7.38%, 11/15/2031 | 613 | 838 | ||||||
FirstEnergy Transmission LLC, 4.55%, 04/01/2049 (e) | 36 | 42 | ||||||
5.45%, 07/15/2044 (e) | 1,734 | 2,206 | ||||||
NextEra Energy Capital Holdings, Inc., (ICE LIBOR USD 3 Month + 0.27%), 0.40%, 02/22/2023 (aa) | 1,473 | 1,473 | ||||||
NRG Energy, Inc., | ||||||||
3.38%, 02/15/2029 (e) | 1,325 | 1,308 | ||||||
3.63%, 02/15/2031 (e) | 2,224 | 2,185 | ||||||
3.75%, 06/15/2024 (e) | 1,793 | 1,912 | ||||||
3.88%, 02/15/2032 (e) | 3,082 | 3,036 | ||||||
5.25%, 06/15/2029 (e) | 1,225 | 1,303 | ||||||
5.75%, 01/15/2028 | 775 | 824 | ||||||
6.63%, 01/15/2027 | 2,529 | 2,620 | ||||||
Pacific Gas and Electric Co., | ||||||||
1.37%, 03/10/2023 | 900 | 897 | ||||||
3.15%, 01/01/2026 | 2,350 | 2,428 | ||||||
3.25%, 06/15/2023 | 776 | 797 | ||||||
3.75%, 02/15/2024 | 1,250 | 1,304 | ||||||
Pattern Energy Operations LP / Pattern Energy Operations, Inc., 4.50%, 08/15/2028 (e) | 1,367 | 1,425 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Corporate Bonds continued | ||||||||
Electric continued | ||||||||
PG&E Corp., | ||||||||
5.00%, 07/01/2028 | 3,100 | 3,149 | ||||||
5.25%, 07/01/2030 | 3,293 | 3,367 | ||||||
TransAlta Corp., (Canada), 4.50%, 11/15/2022 | 800 | 821 | ||||||
Vistra Operations Co. LLC, | ||||||||
3.55%, 07/15/2024 (e) | 2,188 | 2,301 | ||||||
4.38%, 05/01/2029 (e) | 3,095 | 3,103 | ||||||
5.00%, 07/31/2027 (e) | 3,525 | 3,639 | ||||||
5.50%, 09/01/2026 (e) | 4,600 | 4,726 | ||||||
5.63%, 02/15/2027 (e) | 2,413 | 2,498 | ||||||
|
| |||||||
93,128 | ||||||||
|
| |||||||
Gas 0.6% | ||||||||
AmeriGas Partners LP / AmeriGas Finance Corp., | ||||||||
5.50%, 05/20/2025 | 1,505 | 1,663 | ||||||
5.63%, 05/20/2024 | 2,000 | 2,172 | ||||||
5.75%, 05/20/2027 | 600 | 678 | ||||||
5.88%, 08/20/2026 | 4,170 | 4,712 | ||||||
Atmos Energy Corp., | ||||||||
(ICE LIBOR USD 3 Month + 0.38%), 0.50%, 03/09/2023 (aa) | 1,138 | 1,138 | ||||||
0.63%, 03/09/2023 | 5,254 | 5,254 | ||||||
Centrica plc, (United Kingdom), 4.00%, 10/16/2023 (e) | 800 | 840 | ||||||
ONE Gas, Inc., | ||||||||
(ICE LIBOR USD 3 Month + 0.61%), 0.72%, 03/11/2023 (aa) | 583 | 583 | ||||||
0.85%, 03/11/2023 | 2,387 | 2,388 | ||||||
1.10%, 03/11/2024 | 2,731 | 2,731 | ||||||
|
| |||||||
22,159 | ||||||||
|
| |||||||
Water 0.1% | ||||||||
Aquarion Co., 4.00%, 08/15/2024 (e) | 927 | 996 | ||||||
Solaris Midstream Holdings LLC, 7.63%, 04/01/2026 (e) | 499 | 535 | ||||||
Thames Water Kemble Finance plc, (United Kingdom), Reg. S, 4.63%, 05/19/2026 | GBP | 268 | 376 | |||||
|
| |||||||
1,907 | ||||||||
|
| |||||||
Total Utilities | 117,194 | |||||||
|
| |||||||
Total Corporate Bonds (Cost $2,697,010) | 2,713,696 | |||||||
|
| |||||||
Foreign Government Securities 0.1% | ||||||||
Egypt Government International Bond, (Egypt), 6.13%, 01/31/2022 (e) | 1,422 | 1,432 | ||||||
Kenya Government International Bond, (Kenya), 6.88%, 06/24/2024 (e) | 1,000 | 1,094 | ||||||
Morocco Government International Bond, (Morocco), 4.25%, 12/11/2022 (e) | 800 | 827 | ||||||
|
| |||||||
Total Foreign Government Securities (Cost $3,361) | 3,353 | |||||||
|
| |||||||
U.S. Treasury Obligations 2.6% | ||||||||
U.S. Treasury Notes, | ||||||||
0.13%, 06/30/2023 | 18,929 | 18,895 | ||||||
0.13%, 08/31/2023 | 71,802 | 71,606 | ||||||
|
| |||||||
Total U.S. Treasury Obligations (Cost $90,529) | 90,501 | |||||||
|
| |||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | SHARES | VALUE ($) | ||||||
Preferred Stock 0.1% | ||||||||
Consumer Cyclical 0.1% | ||||||||
Retail 0.1% | ||||||||
Ferrellgas Escrow LLC, expiring, 03/30/2031 (a) (bb) (cc) (Cost $5,117) | 5 | 5,275 | ||||||
|
| |||||||
PRINCIPAL AMOUNT ($) | ||||||||
Loan Assignments 5.7% (o) | ||||||||
Basic Materials 0.2% | ||||||||
Chemicals 0.2% | ||||||||
Alpha 3 BV, Initial Dollar Term Loan, (Netherlands), (ICE LIBOR USD 3 Month + 2.50%), 3.00%, 03/18/2028 (aa) | 1,584 | 1,582 | ||||||
Arc Falcon I Inc., Delayed Draw Term Loan, (ICE LIBOR USD 1 Month + 3.75%), 4.25%, 09/22/2028 (u) (aa) | 89 | 89 | ||||||
Arc Falcon I Inc., Term Loan, (ICE LIBOR USD 1 Month + 3.75%), 4.25%, 09/22/2028 (u) (aa) | 607 | 606 | ||||||
Ascend Performance Materials Operations LLC, 2021 Refinancing Term Loan, (ICE LIBOR USD 3 Month + 4.75%), 5.50%, 08/27/2026 (aa) | 442 | 446 | ||||||
Lummus Technology Holdings V LLC, 2021 Refinancing Term B Loan, (ICE LIBOR USD 1 Month + 3.50%), 3.58%, 06/30/2027 (aa) | 1,411 | 1,408 | ||||||
Nutrition & Biosciences, Inc., 3-Year Delayed Draw Term Loan, (ICE LIBOR USD 6 Month + 1.25%), 1.41%, 01/17/2023 (aa) | 64 | 64 | ||||||
Nutrition & Biosciences, Inc., 5-year Delayed Draw Term Loan, (ICE LIBOR USD 3 Month + 1.63%), 1.78%, 01/17/2025 (aa) | 113 | 113 | ||||||
Solenis Holdings LLC, Initial Dollar Term Loan (First Lien), (ICE LIBOR USD 1 Month + 4.00%), 4.08%, 06/26/2025 (aa) | 1,230 | 1,229 | ||||||
Solenis Holdings LLC, Initial Term Loan (Second Lien), (ICE LIBOR USD 1 Month + 8.50%), 8.58%, 06/26/2026 (aa) | 2,256 | 2,252 | ||||||
|
| |||||||
Total Basic Materials | 7,789 | |||||||
|
| |||||||
Communications 1.2% | ||||||||
Advertising 0.1% | ||||||||
ABG Intermediate Holdings 2 LLC, 2021 Refinancing Term Loan (First Lien), (ICE LIBOR USD 3 Month + 3.25%), 4.00%, 09/27/2024 (aa) | 863 | 861 | ||||||
Clear Channel Outdoor Holdings, Inc., Term B Loan, (ICE LIBOR USD 3 Month + 3.50%), 3.63%, 08/21/2026 (aa) | 2,820 | 2,759 | ||||||
|
| |||||||
3,620 | ||||||||
|
| |||||||
Internet 0.2% | ||||||||
Acuris Finance US, Inc., Initial Dollar Term Loan, (ICE LIBOR USD 3 Month + 4.00%), 4.50%, 02/16/2028 (aa) | 178 | 179 | ||||||
Barracuda Networks, Inc., Term Loan (Second Lien), (ICE LIBOR USD 3 Month + 6.75%), 7.50%, 10/30/2028 (aa) | 827 | 836 | ||||||
CNT Holdings I Corp., Initial Term Loan (First Lien), (ICE LIBOR USD 3 Month + 3.75%), 4.50%, 11/08/2027 (aa) | 447 | 447 | ||||||
Comcast Hulu Holdings LLC, Term Loan A, (ICE LIBOR USD 1 Month + 0.88%), 0.96%, 03/15/2024 (aa) | 1,750 | 1,732 | ||||||
MH Sub I LLC, 2021 Replacement Term Loan (Second Lien), (ICE LIBOR USD 1 Month + 6.25%), 6.34%, 02/23/2029 (aa) | 109 | 110 | ||||||
Northwest Fiber LLC, Term B-2 Loan (First Lien), (ICE LIBOR USD 1 Month + 3.75%), 3.83%, 04/30/2027 (u) (aa) | 311 | 311 | ||||||
Proofpoint, Inc., Initial Term Loan (First Lien), (ICE LIBOR USD 3 Month + 3.25%), 3.75%, 08/31/2028 (aa) | 877 | 872 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Loan Assignments continued | ||||||||
Internet continued | ||||||||
ProQuest LLC, Initial Term Loan, (ICE LIBOR USD 1 Month + 3.25%), 3.33%, 10/23/2026 (aa) | 603 | 602 | ||||||
Uber Technologies, Inc., 2021 Incremental Term Loan, (ICE LIBOR USD 1 Month + 3.50%), 3.58%, 04/04/2025 (aa) | 245 | 245 | ||||||
|
| |||||||
5,334 | ||||||||
|
| |||||||
Media 0.3% | ||||||||
Charter Communications Operating LLC, Term B-1 Loan, (ICE LIBOR USD 1 Month + 1.75%), 1.84%, 04/30/2025 (u) (aa) | 3,342 | 3,337 | ||||||
Diamond Sports Group LLC, Term Loan, (ICE LIBOR USD 1 Month + 3.25%), 3.34%, 08/24/2026 (aa) | 497 | 309 | ||||||
DIRECTV Financing LLC, Closing Date Term Loan, (ICE LIBOR USD 3 Month + 5.00%), 5.75%, 08/02/2027 (u) (aa) | 1,878 | 1,879 | ||||||
Nexstar Media Inc., Term A-5 Loan, (ICE LIBOR USD 1 Month + 1.50%), 1.59%, 09/19/2024 (aa) | 877 | 874 | ||||||
Nexstar Media Inc., Term B-3 Loan, (ICE LIBOR USD 3 Month + 2.33%), 2.38%, 01/17/2024 (u) (aa) | 1,257 | 1,255 | ||||||
Nielsen Finance LLC, Class B-4 Term Loan, (ICE LIBOR USD 1 Month + 2.00%), 2.08%, 10/04/2023 (aa) | 3,024 | 3,018 | ||||||
Radiate Holdco LLC, Term B Loan, (ICE LIBOR USD 1 Month + 3.50%), 4.25%, 09/25/2026 (aa) | 462 | 461 | ||||||
|
| |||||||
11,133 | ||||||||
|
| |||||||
Telecommunications 0.6% | ||||||||
AT&T Inc., Advance, (ICE LIBOR USD 1 Month + 1.00%), 1.08%, 03/23/2022 (aa) (bb) (cc) | 1,275 | 1,273 | ||||||
Connect Finco Sarl, Amendment No. 1 Refinancing Term Loan, (Luxembourg), (ICE LIBOR USD 1 Month + 3.50%), 4.50%, 12/11/2026 (aa) | 736 | 737 | ||||||
Crown Subsea Communications Holding, Inc., Initial Term Loan, (ICE LIBOR USD 1 Month + 5.00%), 5.75%, 04/27/2027 (aa) | 865 | 870 | ||||||
Delta Topco, Inc., Initial Term Loan (First Lien), (ICE LIBOR USD 3 Month + 3.75%), 4.50%, 12/01/2027 (aa) | 600 | 600 | ||||||
Digicel International Finance Limited, Initial Term B Loan (First Lien), (Saint Lucia), (ICE LIBOR USD 3 Month + 3.25%), 3.43%, 05/27/2024 (aa) | 686 | 661 | ||||||
Intelsat Jackson Holdings S.A., Tranche B-3 Term Loan, (Luxembourg), (ICE LIBOR USD 3 Month + 5.75%), 6.75%, 11/27/2023 (u) (aa) | 212 | 215 | ||||||
Intelsat Jackson Holdings S.A., Tranche B-5 Term Loan, (Luxembourg), 8.63%, 01/02/2024 | 2,006 | 2,034 | ||||||
Intrado Corp., Initial Term B Loan, (ICE LIBOR USD 3 Month + 4.00%), 5.00%, 10/10/2024 (aa) | 5,314 | 5,230 | ||||||
Intrado Corp., Incremental Term B-1 Loan, (ICE LIBOR USD 3 Month + 3.50%), 4.50%, 10/10/2024 (aa) | 1,348 | 1,317 | ||||||
Lumen Technologies Inc., Term A Loan, (ICE LIBOR USD 1 Month + 2.25%), 2.09%, 01/31/2025 (u) (aa) | 1,100 | 1,091 | ||||||
Xplornet Communications Inc., 2nd Lien Term Loan, (Canada), (ICE LIBOR USD 3 Month + 0.50%), 7.00%, 09/30/2029 (u) (aa) (bb) | 475 | 470 | ||||||
Xplornet Communications Inc., Initial Term Loan Retired 10/01/2021, (Canada), (ICE LIBOR USD 1 Month + 4.75%), 4.84%, 06/10/2027 (aa) | 2,138 | 2,136 | ||||||
Xplornet Communications Inc., Term Loan, (Canada), (ICE LIBOR USD 3 Month + 0.50%), 4.00%, 09/30/2028 (u) (aa) | 2,590 | 2,584 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Loan Assignments continued | ||||||||
Telecommunications continued | ||||||||
Zayo Group Holdings, Inc., Initial Dollar Term Loan, (ICE LIBOR USD 1 Month + 3.00%), 3.08%, 03/09/2027 (aa) | 1,055 | 1,045 | ||||||
|
| |||||||
20,263 | ||||||||
|
| |||||||
Total Communications | 40,350 | |||||||
|
| |||||||
Consumer Cyclical 0.8% | ||||||||
Airlines 0.3% | ||||||||
AAdvantage Loyality IP Ltd., Initial Term Loan, (Cayman Islands), (ICE LIBOR USD 3 Month + 4.75%), 5.50%, 04/20/2028 (u) (aa) | 3,845 | 3,973 | ||||||
SkyMiles IP Ltd., Initial Term Loan, (Cayman Islands), (ICE LIBOR USD 3 Month + 3.75%), 4.75%, 10/20/2027 (aa) | 490 | 521 | ||||||
United AirLines, Inc., Class B Term Loan, (ICE LIBOR USD 3 Month + 3.75%), 4.50%, 04/21/2028 (aa) | 5,075 | 5,107 | ||||||
|
| |||||||
9,601 | ||||||||
|
| |||||||
Auto Manufacturers 0.0% (g) | ||||||||
Ford Motor Co., Term Loan, (ICE LIBOR USD 1 Month + 1.75%), 1.84%, 12/31/2022 (aa) | 850 | 839 | ||||||
|
| |||||||
Entertainment 0.1% | ||||||||
Penn National Gaming, Inc., Term A Facility Refinancing Loan, (ICE LIBOR USD 1 Month + 2.41%), 3.75%, 10/19/2023 (u) (aa) | 832 | 827 | ||||||
Raptor Acquisition Corp., Term B Loan (First Lien), (Canada), (ICE LIBOR USD 3 Month + 4.00%), 4.75%, 11/01/2026 (u) (aa) | 201 | 202 | ||||||
Scientific Games International, Inc., Initial Term B-5 Loan, (ICE LIBOR USD 1 Month + 2.93%), 2.84%, 08/14/2024 (u) (aa) | 1,761 | 1,753 | ||||||
|
| |||||||
2,782 | ||||||||
|
| |||||||
Leisure Time 0.0% (g) | ||||||||
Life Time, Inc., 2021 Refinancing Term Loan, (ICE LIBOR USD 3 Month + 4.75%), 5.75%, 12/16/2024 (u) (aa) | 1,042 | 1,049 | ||||||
(ICE LIBOR USD 3 Month + 5.36%), 5.75%, 12/16/2024 (u) (aa) | 878 | 884 | ||||||
|
| |||||||
1,933 | ||||||||
|
| |||||||
Lodging 0.1% | ||||||||
Caesars Resort Collection LLC, Term B-1 Loan, (ICE LIBOR USD 1 Month + 3.50%), 3.58%, 07/21/2025 (aa) | 1,259 | 1,259 | ||||||
Casablanca US Holdings Inc., Amendment No. 2 Initial Term Loan (First Lien), (ICE LIBOR USD 3 Month + 4.09%), 4.12%, 03/29/2024 (u) (aa) | 1,342 | 1,338 | ||||||
Golden Nugget, Inc., Initial B Term Loan, (ICE LIBOR USD 2 Month + 2.50%), 3.25%, 10/04/2023 (aa) | 907 | 903 | ||||||
Hilton Worldwide Finance LLC, Refinanced Series B-2 Term Loan, (ICE LIBOR USD 1 Month + 1.75%), 1.84%, 06/22/2026 (aa) | 2,036 | 2,018 | ||||||
|
| |||||||
5,518 | ||||||||
|
| |||||||
Retail 0.3% | ||||||||
BJs Wholesale Club, Inc., Tranche B Term Loan (First Lien), (ICE LIBOR USD 1 Month + 2.00%), 2.08%, 02/03/2024 (aa) | 1,041 | 1,041 | ||||||
Foundation Building Materials, Inc., Initial Term Loan (First Lien), (ICE LIBOR USD 3 Month + 3.25%), 3.75%, 01/31/2028 (aa) | 186 | 184 | ||||||
IRB Holding Corp., Fourth Amendment Incremental Term Loan, (ICE LIBOR USD 3 Month + 3.25%), 4.25%, 12/15/2027 (aa) | 1,856 | 1,858 | ||||||
LBM Acquisition LLC, Initial Term Loan (First Lien), (ICE LIBOR USD 1 Month + 3.75%), 4.50%, 12/17/2027 (aa) | 55 | 54 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Loan Assignments continued | ||||||||
Retail continued | ||||||||
PetSmart LLC, Initial Term Loan, (ICE LIBOR USD 3 Month + 3.75%), 4.50%, 02/11/2028 (aa) | 3,192 | 3,197 | ||||||
Staples, Inc., 2019 Refinancing New Term B-1 Loan, (ICE LIBOR USD 3 Month + 5.00%), 5.13%, 04/16/2026 (aa) | 504 | 480 | ||||||
White Cap Buyer LLC, Initial Closing Date Term Loan, (ICE LIBOR USD 1 Month + 4.00%), 4.50%, 10/19/2027 (aa) | 2,898 | 2,904 | ||||||
|
| |||||||
9,718 | ||||||||
|
| |||||||
Total Consumer Cyclical | 30,391 | |||||||
|
| |||||||
Consumer Non-cyclical 0.7% | ||||||||
Commercial Services 0.3% | ||||||||
Medical Solutions L.L.C., Term Loan (Second Lien), (ICE LIBOR USD 3 Month + 7.00%), 7.00%, 09/24/2028 (u) (aa) (bb) (cc) | 503 | 498 | ||||||
Parexel International Corp., Initial Term Loan, (ICE LIBOR USD 1 Month + 2.75%), 2.83%, 09/27/2024 (aa) | 1,320 | 1,318 | ||||||
Sabre GLBL Inc., 2021 Other Term B-1 Loan, (ICE LIBOR USD 1 Month + 3.50%), 4.00%, 12/17/2027 (aa) | 588 | 584 | ||||||
Sabre GLBL Inc., 2021 Other Term B-2 Loan, (ICE LIBOR USD 1 Month + 3.50%), 4.00%, 12/17/2027 (aa) | 937 | 931 | ||||||
Sothebys, 2021 Second Refinancing Term Loan, (ICE LIBOR USD 2 Month + 4.50%), 5.00%, 01/15/2027 (aa) | 106 | 106 | ||||||
Syniverse Holdings, Inc., Tranche C Term Loan , (ICE LIBOR USD 3 Month + 5.89%), 6.00%, 03/09/2023 (u) (aa) | 930 | 929 | ||||||
Verscend Holding Corp., Term B-1 Loan, (ICE LIBOR USD 1 Month + 4.00%), 4.08%, 08/27/2025 (aa) | 4,988 | 4,992 | ||||||
|
| |||||||
9,358 | ||||||||
|
| |||||||
Food 0.1% | ||||||||
US Foods, Inc., Initial Term Loan, (ICE LIBOR USD 1 Month + 1.75%), 1.83%, 06/27/2023 (aa) | 1,308 | 1,300 | ||||||
|
| |||||||
Healthcare - Products 0.0% (g) | ||||||||
Ortho-Clinical Diagnostics, Inc., Second Amendment New Term Loan, (ICE LIBOR USD 1 Month + 3.00%), 3.08%, 06/30/2025 (aa) | 845 | 844 | ||||||
|
| |||||||
Healthcare - Services 0.2% | ||||||||
DaVita Inc., Tranche B-1 Term Loan, (ICE LIBOR USD 1 Month + 1.75%), 1.83%, 08/12/2026 (u) (aa) | 2,141 | 2,128 | ||||||
Envision Healthcare Corp., Initial Term Loan, (ICE LIBOR USD 1 Month + 3.75%), 3.83%, 10/10/2025 (aa) | 2,119 | 1,880 | ||||||
Gentiva Health Services, Inc., Term B-1 Loan (First Lien), (ICE LIBOR USD 1 Month + 2.75%), 2.88%, 07/02/2025 (aa) | 962 | 961 | ||||||
Icon Public Limited Co., Lux Term Loan, (Ireland), (ICE LIBOR USD 3 Month + 2.50%), 3.00%, 07/03/2028 (aa) | 1,430 | 1,435 | ||||||
LifePoint Health, Inc., Term B Loan (First Lien), (ICE LIBOR USD 1 Month + 3.75%), 3.83%, 11/16/2025 (aa) | 592 | 591 | ||||||
Quorum Health Corp., Term Loan (Exit), (ICE LIBOR USD 3 Month + 7.00%), 8.00%, 04/29/2025 (aa) | 611 | 612 | ||||||
WCG Purchaser Corp., Initial Term Loan (First Lien), (ICE LIBOR USD 1 Month + 4.00%), 5.00%, 01/08/2027 (aa) | 291 | 292 | ||||||
|
| |||||||
7,899 | ||||||||
|
|
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Loan Assignments continued | ||||||||
Pharmaceuticals 0.1% | ||||||||
Change Healthcare Holdings LLC, Closing Date Term Loan, (ICE LIBOR USD 3 Month + 2.50%), 3.50%, 03/01/2024 (aa) | 1,053 | 1,052 | ||||||
Endo Luxembourg Finance Co. I S.a r.l., 2021 Term Loan, (Luxembourg), (ICE LIBOR USD 3 Month + 5.00%), 5.75%, 03/27/2028 (aa) | 2,389 | 2,332 | ||||||
Icon Public Limited Co., U.S. Term Loan, (Ireland), (ICE LIBOR USD 3 Month + 2.50%), 3.00%, 07/03/2028 (aa) | 356 | 357 | ||||||
NVA Holdings, Inc., Term A-5 Loan, (ICE LIBOR USD 1 Month + 2.00%), 2.13%, 02/19/2025 (aa) | 721 | 707 | ||||||
|
| |||||||
4,448 | ||||||||
|
| |||||||
Total Consumer Non-cyclical | 23,849 | |||||||
|
| |||||||
Energy 0.3% | ||||||||
Gas & Oil 0.2% | ||||||||
Ascent Resources Utica Holdings Llc / Aru Finance Corp., Term Loan (Second Lien), (ICE LIBOR USD 3 Month + 9.00%), 10.00%, 11/01/2025 (u) (aa) | 5,803 | 6,345 | ||||||
Hess Corp., Term Loan, (ICE LIBOR USD 1 Month + 2.50%), 2.59%, 03/16/2023 (aa) | 381 | 377 | ||||||
|
| |||||||
6,722 | ||||||||
|
| |||||||
Pipelines 0.1% | ||||||||
Cheniere Corpus Christi Holdings LLC, Tranche 2, (ICE LIBOR USD 3 Month + 1.65%), 1.88%, 06/30/2024 (u) (aa) | 1,001 | 999 | ||||||
Lower Cadence, (ICE LIBOR USD 3 Month + 4.02%), 4.13%, 05/22/2026 (u) (aa) | 997 | 996 | ||||||
|
| |||||||
1,995 | ||||||||
|
| |||||||
Total Energy | 8,717 | |||||||
|
| |||||||
Financial 0.5% | ||||||||
Diversified Financial Services 0.1% | ||||||||
Avolon TLB Borrower 1, Term B-3 Loan, (ICE LIBOR USD 1 Month + 1.75%), 2.50%, 01/15/2025 (aa) | 852 | 848 | ||||||
Deerfield Dakota Holding LLC, 2021 Replacement Term Loan (Second Lien), (ICE LIBOR USD 1 Month + 6.75%), 7.50%, 04/07/2028 (aa) | 763 | 786 | ||||||
Delos Finance S.a r.l., New Loan (2018), (Luxembourg), (ICE LIBOR USD 3 Month + 1.75%), 1.88%, 10/06/2023 (aa) | 1,080 | 1,079 | ||||||
|
| |||||||
2,713 | ||||||||
|
| |||||||
Insurance 0.3% | ||||||||
Alliant Holdings Intermediate LLC, 2020 New Term Loan, (ICE LIBOR USD 1 Month + 3.75%), 4.25%, 11/05/2027 (aa) | 494 | 494 | ||||||
Alliant Holdings Intermediate LLC, Initial Term Loan (2018), (ICE LIBOR USD 1 Month + 3.25%), 3.33%, 05/09/2025 (aa) | 594 | 590 | ||||||
Asurion LLC, New B-3 Term Loan (Second Lien), (ICE LIBOR USD 1 Month + 5.25%), 5.33%, 01/31/2028 (aa) | 1,794 | 1,788 | ||||||
Asurion LLC, New B-4 Term Loan (Second Lien), (ICE LIBOR USD 1 Month + 5.25%), 5.33%, 01/20/2029 (aa) | 2,785 | 2,770 | ||||||
Asurion LLC, Replacement B-6 Term Loan, (ICE LIBOR USD 1 Month + 3.13%), 3.21%, 11/03/2023 (aa) | 1,243 | 1,235 | ||||||
Hub International Limited, B-3 Incremental Term Loan, (ICE LIBOR USD 3 Month + 3.25%), 4.00%, 04/25/2025 (aa) | 738 | 738 | ||||||
Sedgwick Claims Management Services, Inc., 2020 Term Loan, (ICE LIBOR USD 1 Month + 4.25%), 5.25%, 09/03/2026 (aa) | 292 | 292 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Loan Assignments continued | ||||||||
Insurance continued | ||||||||
Sedgwick Claims Management Services, Inc., Initial Term Loan, (ICE LIBOR USD 1 Month + 3.25%), 3.33%, 12/31/2025 (aa) | 1,825 | 1,810 | ||||||
|
| |||||||
9,717 | ||||||||
|
| |||||||
REITS 0.1% | ||||||||
GLP Capital LP, Term Loan A2, (ICE LIBOR USD 1 Month + 1.33%), 1.84%, 05/21/2023 (u) (aa) (bb) (cc) | 795 | 793 | ||||||
Invitation Homes Operating Partnership LP, Term Loan A, (ICE LIBOR USD 1 Month + 1.00%), 1.08%, 01/31/2025 (aa) | 3,302 | 3,286 | ||||||
|
| |||||||
4,079 | ||||||||
|
| |||||||
Total Financial | 16,509 | |||||||
|
| |||||||
Industrial 0.6% | ||||||||
Aerospace/Defense 0.1% | ||||||||
Boeing Co., The, Delayed Draw Term Loan, (ICE LIBOR USD 3 Month + 1.25%), 1.37%, 02/07/2022 (aa) | 3,929 | 3,924 | ||||||
Sequa Mezzanine Holdings L.L.C., Extended Term Loan (First Lien), (ICE LIBOR USD 3 Month + 6.75%), 7.75%, 11/28/2023 (aa) | 291 | 295 | ||||||
Spirit Aerosystems, Inc., Initial Term Loan, (ICE LIBOR USD 1 Month + 5.25%), 6.00%, 01/15/2025 (aa) | 310 | 310 | ||||||
|
| |||||||
4,529 | ||||||||
|
| |||||||
Building Materials 0.1% | ||||||||
CP Atlas Buyer, Inc., Term B Loan, (ICE LIBOR USD 3 Month + 3.75%), 4.25%, 11/23/2027 (aa) | 627 | 624 | ||||||
CPG International LLC, New Term Loan, (ICE LIBOR USD 3 Month + 2.50%), 3.25%, 05/05/2024 (aa) | 725 | 725 | ||||||
Standard Industries Inc., Initial Term Loan, (ICE LIBOR USD 3 Month + 2.50%), 3.00%, 09/22/2028 (u) (aa) | 1,793 | 1,794 | ||||||
|
| |||||||
3,143 | ||||||||
|
| |||||||
Engineering & Construction 0.2% | ||||||||
Brand Energy & Infrastructure Services, Inc., Initial Term Loan, (ICE LIBOR USD 3 Month + 4.25%), 5.25%, 06/21/2024 (u) (aa) | 6,300 | 6,240 | ||||||
KKR Apple Bidco LLC, Initial Term Loan (First Lien), (ICE LIBOR USD 3 Month + 3.00%), 3.50%, 09/22/2028 (u) (aa) | 390 | 390 | ||||||
KKR Apple Bidco LLC, Initial Term Loan (Second Lien), (ICE LIBOR USD 3 Month + 5.75%), 6.25%, 09/21/2029 (u) (aa) | 96 | 97 | ||||||
|
| |||||||
6,727 | ||||||||
|
| |||||||
Environmental Control 0.0% (g) | ||||||||
Clean Harbors, Inc., Initial Term Loan, (ICE LIBOR USD 3 Month + 1.78%), 1.88%, 06/28/2024 (u) (aa) | 250 | 250 | ||||||
Madison IAQ LLC, Initial Term Loan, (ICE LIBOR USD 3 Month + 3.25%), 3.75%, 06/21/2028 (aa) | 370 | 369 | ||||||
|
| |||||||
619 | ||||||||
|
| |||||||
Machinery - Construction & Mining 0.0% (g) | ||||||||
Vertiv Group Corp., Term B Loan, (ICE LIBOR USD 1 Month + 2.75%), 2.83%, 03/02/2027 (aa) | 447 | 445 | ||||||
|
|
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Loan Assignments continued | ||||||||
Machinery - Diversified 0.1% | ||||||||
Titan Acquisition Limited, Initial Term Loan, (Canada), (ICE LIBOR USD 3 Month + 3.00%), 3.17%, 03/28/2025 (aa) | 2,856 | 2,803 | ||||||
|
| |||||||
Miscellaneous Manufactur 0.0% (g) | ||||||||
Momentive Performance Materials Inc., Initial Dollar Term Loan (First Lien), (ICE LIBOR USD 1 Month + 3.25%), 3.34%, 05/15/2024 (aa) | 506 | 505 | ||||||
|
| |||||||
Packaging & Containers 0.1% | ||||||||
Mauser Packaging Solutions Holding Co., Initial Term Loan, (ICE LIBOR USD 1 Month + 3.25%), 3.33%, 04/03/2024 (aa) | 1,594 | 1,560 | ||||||
Owens-Illinois Group, Inc., Tranche A TLA, (ICE LIBOR USD 3 Month + 1.50%), 1.57%, 06/25/2024 (aa) | 995 | 987 | ||||||
|
| |||||||
2,547 | ||||||||
|
| |||||||
Shipbuilding 0.0% (g) | ||||||||
MHI Holdings LLC, Initial Term Loan, (ICE LIBOR USD 1 Month + 5.00%), 5.08%, 09/21/2026 (aa) | 540 | 542 | ||||||
|
| |||||||
Transportation 0.0% (g) | ||||||||
AIT Worldwide Logistics Holdings, Inc., Initial Term Loan (First Lien), (ICE LIBOR USD 3 Month + 4.75%), 5.50%, 04/06/2028 (aa) | 244 | 245 | ||||||
|
| |||||||
Total Industrial | 22,105 | |||||||
|
| |||||||
Technology 1.4% | ||||||||
Computers 0.4% | ||||||||
Dell International L.L.C., Refinancing Term B-2 Loan, (ICE LIBOR USD 1 Month + 1.75%), 2.00%, 09/19/2025 (u) (aa) | 3,496 | 3,495 | ||||||
Magenta Buyer LLC, Initial Term Loan (First Lien), (ICE LIBOR USD 3 Month + 5.00%), 5.75%, 07/27/2028 (u) (aa) | 2,836 | 2,835 | ||||||
Magenta Buyer LLC, Initial Term Loan (Second Lien), (ICE LIBOR USD 3 Month + 8.25%), 9.00%, 07/27/2029 (u) (aa) | 1,481 | 1,479 | ||||||
McAfee LLC, Term B USD Loan, (ICE LIBOR USD 1 Month + 3.75%), 3.84%, 09/30/2024 (aa) | 2,393 | 2,393 | ||||||
Neustar, Inc., TLB4 (First Lien), (ICE LIBOR USD 1 Month + 3.49%), 4.50%, 08/08/2024 (u) (aa) | 249 | 249 | ||||||
Peraton Corp., Term B Loan (First Lien), (ICE LIBOR USD 1 Month + 3.75%), 4.50%, 02/01/2028 (u) (aa) | 2,985 | 2,986 | ||||||
|
| |||||||
13,437 | ||||||||
|
| |||||||
Software 1.0% | ||||||||
Azalea TopCo, Inc., Initial Term Loan (First Lien), (ICE LIBOR USD 3 Month + 3.50%), 3.63%, 07/24/2026 (u) (aa) | 718 | 713 | ||||||
BMC Software, Inc., 2nd Lien Term Loan, (ICE LIBOR USD 3 Month + 3.75%), 3.88%, 03/23/2026 (u) (aa) | 2,005 | 2,027 | ||||||
Boxer Parent Co. Inc., 2021 Replacement Dollar Term Loan, (ICE LIBOR USD 3 Month + 3.75%), 3.88%, 10/02/2025 (u) (aa) | 2,171 | 2,157 | ||||||
Camelot U.S. Acquisition 1 Co., Amendment No. 2 Incremental Term Loan, (ICE LIBOR USD 1 Month + 3.00%), 4.00%, 10/30/2026 (aa) | 2,501 | 2,507 | ||||||
Castle US Holding Corp., Initial Dollar Term Loan, (ICE LIBOR USD 3 Month + 3.75%), 3.88%, 01/29/2027 (aa) | 1,092 | 1,083 | ||||||
Cornerstone OnDemand, Inc., 2021 Refinancing Term Loan, (ICE LIBOR USD 1 Month + 3.25%), 3.33%, 04/22/2027 (u) (aa) | 623 | 622 |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Loan Assignments continued | ||||||||
Software continued | ||||||||
Dun & Bradstreet Corp., The, Initial Term Borrowing, (ICE LIBOR USD 1 Month + 3.25%), 3.34%, 02/06/2026 (aa) | 1,688 | 1,686 | ||||||
Epicor Software Corp., Term C Loan, (ICE LIBOR USD 1 Month + 3.25%), 4.00%, 07/30/2027 (aa) | 1,424 | 1,423 | ||||||
Greeneden U.S. Holdings I LLC, Initial Dollar Term Loan (2020), (ICE LIBOR USD 1 Month + 4.00%), 4.75%, 12/01/2027 (aa) | 1,863 | 1,869 | ||||||
Helios Software Holdings, Inc., Initial Dollar Term Loan (2021), (ICE LIBOR USD 3 Month + 3.75%), 3.92%, 03/11/2028 (aa) | 407 | 406 | ||||||
Informatica LLC, Dollar 2020 Term Loan, (ICE LIBOR USD 1 Month + 3.25%), 3.33%, 02/25/2027 (aa) | 1,661 | 1,655 | ||||||
Informatica LLC, Initial Loan (Second Lien), 7.13%, 02/25/2025 | 558 | 565 | ||||||
Misys Limited, Dollar Term Loan (First Lien), (United Kingdom), (ICE LIBOR USD 3 Month + 3.50%), 4.50%, 06/13/2024 (aa) | 1,992 | 1,975 | ||||||
Misys Limited, Dollar Term Loan (Second Lien), (United Kingdom), (ICE LIBOR USD 3 Month + 7.25%), 8.25%, 06/13/2025 (aa) | 1,000 | 1,005 | ||||||
Mitchell International, Inc., Initial Term Loan (First Lien), (ICE LIBOR USD 1 Month + 3.25%), 3.33%, 11/29/2024 (aa) | 888 | 886 | ||||||
Planview Parent, Inc., Closing Date Loan (Second Lien), (ICE LIBOR USD 3 Month + 7.25%), 8.00%, 12/18/2028 (aa) | 180 | 179 | ||||||
Polaris Newco LLC, Dollar Term Loan (First Lien), (ICE LIBOR USD 3 Month + 4.00%), 4.50%, 06/02/2028 (aa) | 1,394 | 1,397 | ||||||
Project Alpha Intermediate Holding, Inc., 2021 Refinancing Term Loan, (ICE LIBOR USD 1 Month + 4.00%), 4.09%, 04/26/2024 (aa) | 276 | 276 | ||||||
Rackspace Technology Global, Inc., 2021 Term B Loan (First Lien), (ICE LIBOR USD 3 Month + 2.75%), 3.50%, 02/15/2028 (aa) | 792 | 786 | ||||||
RealPage, Inc., Initial Term Loan (First Lien), (ICE LIBOR USD 1 Month + 3.25%), 3.75%, 04/24/2028 (aa) | 1,707 | 1,701 | ||||||
Renaissance Holding Corp., Initial Term Loan (First Lien), (ICE LIBOR USD 1 Month + 3.25%), 3.33%, 05/30/2025 (aa) | 419 | 415 | ||||||
Skillsoft Finance II, Inc., Initial Term Loan, (ICE LIBOR USD 3 Month + 4.75%), 5.50%, 07/14/2028 (aa) | 1,450 | 1,455 | ||||||
Sophia, L.P., Closing Date Term Loan, (ICE LIBOR USD 3 Month + 3.75%), 4.50%, 10/07/2027 (aa) | 3,880 | 3,893 | ||||||
Sovos Compliance LLC, Initial Term Loan (First Lien), (ICE LIBOR USD 3 Month + 4.50%), 5.00%, 08/11/2028 (aa) | 543 | 545 | ||||||
TIBCO Software Inc., Term Loan (Second Lien), (ICE LIBOR USD 1 Month + 7.25%), 7.34%, 03/03/2028 (aa) | 455 | 459 | ||||||
UKG Inc., 2021 Incremental Term Loan (First Lien), (ICE LIBOR USD 3 Month + 3.25%), 4.00%, 05/04/2026 (aa) | 442 | 442 | ||||||
UKG Inc., Initial Term Loan (First Lien), (ICE LIBOR USD 1 Month + 3.75%), 3.83%, 05/04/2026 (aa) | 790 | 791 | ||||||
Veritas US Inc., Dollar Term B-2021 Loan, (ICE LIBOR USD 3 Month + 5.00%), 6.00%, 09/01/2025 (aa) | 3,399 | 3,411 | ||||||
|
| |||||||
36,329 | ||||||||
|
| |||||||
Total Technology | 49,766 | |||||||
|
|
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
SECURITY DESCRIPTION | PRINCIPAL AMOUNT ($) | VALUE ($) | ||||||
Loan Assignments continued | ||||||||
Utilities 0.0% (g) | ||||||||
Electric 0.0% (g) | ||||||||
Heritage Power LLC, Term Loan, (ICE LIBOR USD 3 Month + 6.00%), 7.00%, 07/30/2026 (aa) | 1,468 | 1,293 | ||||||
|
| |||||||
Total Loan Assignments (Cost $200,879) | 200,769 | |||||||
|
| |||||||
Short-Term Investments 5.2% | ||||||||
Commercial Papers 0.3% | ||||||||
Enel Finance America LLC, 0.45%, 02/04/2022 (e) (n) | 1,000 | 999 | ||||||
Jabil, Inc., | ||||||||
0.41%, 10/01/2021 (e) (n) | 7,742 | 7,742 | ||||||
0.45%, 10/28/2021 (e) (n) | 353 | 353 | ||||||
Welltower, Inc., 0.14%, 10/05/2021 (e) (n) | 328 | 328 | ||||||
|
| |||||||
Total Commercial Papers | 9,422 | |||||||
|
| |||||||
Time Deposits 4.1% | ||||||||
Australia & New Zealand Banking Group Ltd., 0.01%, 10/01/2021 | 57,997 | 57,997 | ||||||
BNP Paribas SA, | ||||||||
(1.42%), 10/01/2021 | CHF | | (h) | 1 | ||||
(0.79%), 10/01/2021 | EUR | 116 | 134 | |||||
0.01%, 10/01/2021 | 62,054 | 62,054 | ||||||
Citibank NA, | ||||||||
0.01%, 10/01/2021 | GBP | 4 | 6 | |||||
0.01%, 10/01/2021 | 351 | 351 | ||||||
Sumitomo Mitsui Banking Corp., 0.01%, 10/01/2021 | 24,652 | 24,652 | ||||||
|
| |||||||
Total Time Deposits | 145,195 | |||||||
|
| |||||||
U.S. Treasury Obligation 0.8% | ||||||||
U.S. Treasury Bill, Zero Coupon, 01/27/2022 | 29,404 | 29,400 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $184,017) | 184,017 | |||||||
|
| |||||||
Total Investments 100.9% | 3,551,224 | |||||||
Liabilities in Excess of Other Assets (0.9)% | (33,125 | ) | ||||||
|
| |||||||
NET ASSETS 100.0% | $ | 3,518,099 | ||||||
|
|
Percentages indicated are based on net assets
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Futures contracts outstanding as of September 30, 2021:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
Euro Schatz | 2 | 12/2021 | EUR | 260 | | (h) | ||||||||||||||
U.S. Treasury 10 Year Note | 122 | 12/2021 | USD | 16,180 | (124 | ) | ||||||||||||||
U.S. Treasury 2 Year Note | 711 | 12/2021 | USD | 156,542 | (83 | ) | ||||||||||||||
U.S. Treasury 5 Year Note | 387 | 12/2021 | USD | 47,731 | (230 | ) | ||||||||||||||
U.S. Treasury Long Bond | 52 | 12/2021 | USD | 8,450 | (171 | ) | ||||||||||||||
|
| |||||||||||||||||||
(608 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Short Contracts | ||||||||||||||||||||
Euro BOBL | (1) | 12/2021 | EUR | (157 | ) | 1 | ||||||||||||||
Euro Bund | (3) | 12/2021 | EUR | (600 | ) | 10 | ||||||||||||||
Long Gilt | (2) | 12/2021 | GBP | (348 | ) | 11 | ||||||||||||||
U.S. Treasury 10 Year Note | (4) | 12/2021 | USD | (532 | ) | 6 | ||||||||||||||
U.S. Treasury 5 Year Note | (431) | 12/2021 | USD | (53,294 | ) | 392 | ||||||||||||||
U.S. Treasury Ultra Bond | (70) | 12/2021 | USD | (13,831 | ) | 456 | ||||||||||||||
|
| |||||||||||||||||||
876 | ||||||||||||||||||||
|
| |||||||||||||||||||
Total unrealized appreciation (depreciation) | 268 | |||||||||||||||||||
|
|
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Forward foreign currency exchange contracts outstanding as of September 30, 2021:
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||||||||||||||||
USD | 359 | EUR | 304 | Morgan Stanley & Co. | 10/04/2021 | 7 | ||||||||||||||
USD | 356 | EUR | 304 | HSBC Bank Plc | 11/02/2021 | 4 | ||||||||||||||
USD | 221 | CHF | 202 | Morgan Stanley & Co. | 12/15/2021 | 4 | ||||||||||||||
USD | 12,520 | EUR | 10,556 | Bank of America, NA | 12/15/2021 | 274 | ||||||||||||||
USD | 12,504 | EUR | 10,556 | BNP Paribas | 12/15/2021 | 257 | ||||||||||||||
USD | 126 | EUR | 108 | BNP Paribas | 12/15/2021 | 1 | ||||||||||||||
USD | 108 | EUR | 92 | Citibank, NA | 12/15/2021 | 1 | ||||||||||||||
USD | 9 | EUR | 8 | Citibank, NA | 12/15/2021 | | (h) | |||||||||||||
USD | 110 | EUR | 94 | Goldman Sachs International | 12/15/2021 | 1 | ||||||||||||||
USD | 109 | EUR | 93 | Morgan Stanley & Co. | 12/15/2021 | 1 | ||||||||||||||
USD | 7 | EUR | 6 | Morgan Stanley & Co. | 12/15/2021 | | (h) | |||||||||||||
USD | 6,887 | GBP | 4,973 | Bank of America, NA | 12/15/2021 | 186 | ||||||||||||||
USD | 105 | GBP | 77 | UBS AG LONDON | 12/15/2021 | 1 | ||||||||||||||
|
| |||||||||||||||||||
Total unrealized appreciation | 737 | |||||||||||||||||||
|
| |||||||||||||||||||
EUR | 108 | USD | 126 | BNP Paribas | 10/01/2021 | (1) | ||||||||||||||
EUR | 304 | USD | 356 | HSBC Bank Plc | 10/04/2021 | (4) | ||||||||||||||
|
| |||||||||||||||||||
Total unrealized depreciation | (5) | |||||||||||||||||||
|
| |||||||||||||||||||
Net unrealized appreciation (depreciation) | 732 | |||||||||||||||||||
|
|
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
OTC Credit Default Swaps contracts outstanding sell protection (1) as of September 30, 2021:
REFERENCE OBLIGATION/ INDEX | FINANCING RATE RECEIVED BY THE FUND (%) | PAYMENT FREQUENCY | COUNTERPARTY | MATURITY DATE | IMPLIED CREDIT SPREAD (%) (2) | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) ($) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) | |||||||||||||||||||||||||||
Adler Real Estate AG, 1.50%, 12/06/2021 | 5.00 | % | Quarterly | | Morgan Stanley | | 12/20/2025 | 6.96 | EUR | 30 | 5 | (7 | ) | (2 | ) | |||||||||||||||||||||
CMA CGM SA, 7.50%, 15/01/2026 | 5.00 | % | Quarterly | | Goldman Sachs | | 06/20/2026 | 2.73 | EUR | 10 | 1 | | (h) | 1 | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
Total | 6 | (7 | ) | (1 | ) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
Centrally Cleared Credit Default Swaps contracts outstanding sell protection (1) as of September 30, 2021:
REFERENCE OBLIGATION/INDEX | FINANCING RATE RECEIVED BY THE FUND (%) | PAYMENT FREQUENCY | MATURITY DATE | IMPLIED CREDIT SPREAD (%) (2) | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) ($) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) | ||||||||||||||||||||||||
CDX.NA.HY.36-V1 | 5.00 | % | Quarterly | 06/20/2026 | 2.85 | USD 22,325 | 2,180 | 195 | 2,374 | |||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
Total | 2,180 | 195 | 2,374 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
(1) | The Fund, as a seller of credit protection, receives periodic payments and may also receive or pay an upfront premium from or to the protection buyer, and is obligated to make a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. |
(2) | Implied credit spreads are an indication of the sellers performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e. make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average spread across the underlying reference obligations included in a particular index. |
(3) | The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive, upon occurrence of a credit event. |
(4) | Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). |
Six Circles Credit Opportunities Fund
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021
BofA | | Bank of America | ||
CDX | | Credit Default Swap Index | ||
CLO | | Collateralized Loan Obligations | ||
CMT | | Constant Maturity Treasury | ||
EURIBOR | | Euro Interbank Offered Rate | ||
FHLMC | | Federal Home Loan Mortgage Corp. | ||
ICE | | Intercontinental Exchange | ||
IO | | Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. | ||
LIBOR | | London Interbank Offered Rate | ||
Reg. S | | Security was purchased pursuant to Regulation S under the Securities Act of 1933, as amended (the Securities Act), which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act, or pursuant to an exemption from registration. | ||
REIT | | Real Estate Investment Trust | ||
REMICS | | Real Estate Mortgage Investment Conduit | ||
SOFR | | Secured Overnight Financing Rate | ||
SUB | | Step-Up Bond. The interest rate shown is the rate in effect as of September 30, 2021. | ||
(a) | | Non-income producing security. | ||
(d) | | Defaulted Security. Security has not paid its last interest payment and/or interest is not being accrued. | ||
(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 shares or principal/ $500. | ||
(n) | | The rate shown is the effective yield as of September 30, 2021. | ||
(o) | | Loan assignments are presented by obligor. Each Series or loan tranche underlying each obligor may have varying terms. | ||
(u) | | All or a portion of the security is unsettled as of September 30, 2021. Unless otherwise indicated, the coupon rate is undetermined. | ||
(w) | | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | ||
(v) | | Security has the ability to pay in kind (PIK) or pay income in cash. When applicable, separate rates of such payments are disclosed. | ||
(x) | | Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of September 30, 2021. | ||
(z) | | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of September 30, 2021. | ||
(aa) | | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of September 30, 2021. | ||
(bb) | | Security has been valued using significant unobservable inputs. | ||
(cc) | | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. | ||
* | | The cost of securities is substantially the same for federal income tax purposes. | ||
CHF | | Swiss Franc | ||
EUR | | Euro | ||
GBP | | British Pound | ||
USD | | United States Dollar |
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited)
A. Valuation of Investments The valuation of investments is in accordance with U.S. generally accepted accounting principles (GAAP) and the Funds valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the Board), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
The Board has appointed the Six Circles Funds Valuation Committee (VC), comprised of officers of the Funds and other personnel of the J.P. Morgan Private Investments Inc. (the Adviser), to assist the Board with the oversight and monitoring of the valuation of the Funds investments. The VC oversees and carries out policies and procedures for the valuation of investments held by the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events and pricing vendor due diligence. The VC, through the Adviser, is responsible for assessing the potential impacts to the fair values on an ongoing basis, and discussing this on at least a quarterly basis with the Board.
A market-based approach is primarily used to value the Funds investments for which market quotations are readily available and which are generally valued at their current market value. Other securities and assets, including securities for which market quotations are not readily available, market quotations are determined not to be reliable, or whose value has been materially affected by events occurring after the close of trading on the exchange or market on which the security is principally traded but before a Funds net asset value (NAV) is calculated, are valued by approved pricing vendors or third party broker-dealers (collectively referred to as Pricing Services) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. The valuation may include related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment in order to determine the fair value of the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based on current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used, had a ready market for the investments existed, and such differences could be material.
Equity securities listed on a North American, Central American, South American or Caribbean (Americas) securities exchange are generally valued at the last sale price or official market closing price on the primary exchange on which the security is principally traded that is reported before the time when the net assets values of the Funds are calculated on a valuation date. The Funds calculate their NAV as of 4 p.m. Eastern time each day the New York Stock Exchange (NYSE) is open for trading.
Foreign equity securities are valued as of the close of trading on the stock exchange on which the security is primarily traded, or as of 4 p.m. Eastern time. The value is then converted into its U.S. dollar equivalent at the foreign exchange rate in effect at 4 p.m. Eastern time on the day that the value of the security is determined. Generally foreign equity securities, as well as certain derivatives with equity reference obligations, are valued by applying international fair value factors provided by approved Pricing Services.
The factors seek to adjust the local closing price for movements of local markets post-closing, but prior to the time the NAVs are calculated. The fair valued securities are converted at the exchange rates available at 4 p.m. Eastern time.
Fixed income securities are valued based on prices received from Pricing Services. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, Pricing Services may consider a variety of inputs and factors, including, but not limited to proprietary models that may take into account market transactions in securities with comparable characteristics, yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, underlying collateral and estimated cash flows.
Shares of exchange-traded funds (ETFs) are generally valued at the last sale price on the exchange on which the ETF is principally traded. Shares of open-end investment companies are valued at their respective NAVs.
Futures and options are generally valued on the basis of available market quotations. Swaps and forward foreign currency exchange contracts are valued utilizing market quotations from approved Pricing Services.
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Funds investments are summarized into the three broad levels listed below.
| Level 1 Unadjusted inputs using quoted prices in active markets for identical investments. |
| Level 2 Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| Level 3 Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds assumptions in determining the fair value of investments). |
A financial instruments level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (SOIs) (amounts in thousands):
Six Circles Ultra Short Duration Fund
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | $ | | $ | 64,296 | $ | | $ | 64,296 | ||||||||
Certificates of Deposit | ||||||||||||||||
Financial | | 12,813 | | 12,813 | ||||||||||||
Collateralized Mortgage Obligations | | 23,368 | | 23,368 | ||||||||||||
Commercial Mortgage-Backed Securities | | 24,142 | 700 | 24,842 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Basic Materials | | 8,485 | | 8,485 | ||||||||||||
Communications | | 25,075 | | 25,075 | ||||||||||||
Consumer Cyclical | | 42,940 | | 42,940 | ||||||||||||
Consumer Non-cyclical | | 38,655 | | 38,655 | ||||||||||||
Diversified | | 1,751 | | 1,751 | ||||||||||||
Energy | | 11,570 | | 11,570 | ||||||||||||
Financial | | 158,805 | | 158,805 | ||||||||||||
Government | | 810 | | 810 | ||||||||||||
Industrial | | 14,092 | | 14,092 | ||||||||||||
Technology | | 13,049 | | 13,049 | ||||||||||||
Utilities | | 16,345 | | 16,345 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Corporate Bonds | | 331,577 | | 331,577 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Government Securities | | 12,653 | | 12,653 | ||||||||||||
Municipal Bonds | | 3,676 | | 3,676 | ||||||||||||
U.S. Government Agency Securities | | 6,594 | | 6,594 | ||||||||||||
U.S. Treasury Obligation | | 28,672 | | 28,672 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Certificates of Deposit | | 9,002 | | 9,002 | ||||||||||||
Corporate Bonds | | 2,401 | | 2,401 | ||||||||||||
Foreign Government Securities | | 36,824 | | 36,824 | ||||||||||||
Municipal Bonds | | 1,330 | | 1,330 | ||||||||||||
Time Deposits | | 61,495 | | 61,495 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | | 111,052 | | 111,052 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | | $ | 618,843 | $ | 700 | $ | 619,543 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures contracts | $ | 190 | $ | | $ | | $ | 190 | ||||||||
Forward Foreign Currency Exchange contracts | | 860 | | 860 | ||||||||||||
Centrally Cleared Credit Default Swaps contracts | | 8 | | 8 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Appreciation in Other Financial Instruments | $ | 190 | $ | 868 | $ | | $ | 1,058 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures contracts | $ | (202 | ) | $ | | $ | | $ | (202 | ) | ||||||
Forward Foreign Currency Exchange contracts | | (64 | ) | | (64 | ) | ||||||||||
Centrally Cleared Interest Rate Swap contracts | | (12 | ) | | (12 | ) | ||||||||||
Centrally Cleared Credit Default Swaps contracts | | (2 | ) | | (2 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Depreciation in Other Financial Instruments | $ | (202 | ) | $ | (78 | ) | $ | | $ | (280 | ) | |||||
|
|
|
|
|
|
|
|
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
Six Circles Tax Aware Ultra Short Duration Fund
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | $ | | $ | 20,273 | $ | | $ | 20,273 | ||||||||
Collateralized Mortgage Obligations | | 24,906 | | 24,906 | ||||||||||||
Commercial Mortgage-Backed Securities | | 7,512 | 600 | 8,112 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Communications | | 3,771 | | 3,771 | ||||||||||||
Consumer Cyclical | | 7,773 | | 7,773 | ||||||||||||
Consumer Non-cyclical | | 10,862 | | 10,862 | ||||||||||||
Diversified | | 1,879 | | 1,879 | ||||||||||||
Energy | | 5,407 | | 5,407 | ||||||||||||
Financial | | 52,944 | | 52,944 | ||||||||||||
Government | | 810 | | 810 | ||||||||||||
Industrial | | 5,185 | | 5,185 | ||||||||||||
Technology | | 412 | | 412 | ||||||||||||
Utilities | | 6,821 | | 6,821 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Corporate Bonds | | 95,864 | | 95,864 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Government Securities | | 6,660 | | 6,660 | ||||||||||||
Municipal Bonds | | 439,153 | | 439,153 | ||||||||||||
U.S. Government Agency Securities | | 7,094 | | 7,094 | ||||||||||||
U.S. Treasury Obligation | | 28,074 | | 28,074 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Foreign Government Securities | | 6,228 | | 6,228 | ||||||||||||
Municipal Bonds | | 1,539 | | 1,539 | ||||||||||||
Time Deposits | | 12,195 | | 12,195 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | | 19,962 | | 19,962 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | | $ | 649,498 | $ | 600 | $ | 650,098 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures contracts | $ | 185 | $ | | $ | | $ | 185 | ||||||||
Forward Foreign Currency Exchange contracts | | 373 | | 373 | ||||||||||||
Centrally Cleared Credit Default Swaps contracts | | 9 | | 9 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Appreciation in Other Financial Instruments | $ | 185 | $ | 382 | $ | | $ | 567 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures contracts | $ | (253 | ) | $ | | $ | | $ | (253 | ) | ||||||
Forward Foreign Currency Exchange contracts | | (83 | ) | | (83 | ) | ||||||||||
Centrally Cleared Interest Rate Swap contracts | | (13 | ) | | (13 | ) | ||||||||||
Centrally Cleared Credit Default Swaps contracts | | (3 | ) | | (3 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Depreciation in Other Financial Instruments | $ | (253 | ) | $ | (99 | ) | $ | | $ | (352 | ) | |||||
|
|
|
|
|
|
|
|
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
Six Circles U.S. Unconstrained Equity Fund
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Basic Materials | $ | 90,082 | $ | | $ | | $ | 90,082 | ||||||||
Communications | 4,214,738 | | | 4,214,738 | ||||||||||||
Consumer Cyclical | 478,347 | | | 478,347 | ||||||||||||
Consumer Non-cyclical | 3,370,496 | | | 3,370,496 | ||||||||||||
Energy | 135,662 | | | 135,662 | ||||||||||||
Financial | 2,748,156 | | | 2,748,156 | ||||||||||||
Industrial | 2,273,650 | | | 2,273,650 | ||||||||||||
Technology | 4,315,615 | | | 4,315,615 | ||||||||||||
Utilities | 106,322 | | | 106,322 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 17,733,068 | | | 17,733,068 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Time Deposits | | 114,030 | | 114,030 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 17,733,068 | $ | 114,030 | $ | | $ | 17,847,098 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures contracts | $ | (3,360 | ) | $ | | $ | | $ | (3,360 | ) | ||||||
|
|
|
|
|
|
|
|
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
Six Circles International Unconstrained Equity Fund
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Corporate Bond | ||||||||||||||||
Consumer Non-cyclical | $ | | $ | 2 | $ | | $ | 2 | ||||||||
Common Stocks | ||||||||||||||||
Australia | | 21,435 | | 21,435 | ||||||||||||
Austria | | 42,116 | | 42,116 | ||||||||||||
Belgium | | 129,294 | | 129,294 | ||||||||||||
Chile | | 2,867 | | 2,867 | ||||||||||||
China | | 29 | 37 | 66 | ||||||||||||
Denmark | 36,708 | 461,046 | | 497,754 | ||||||||||||
Finland | 1,479 | 191,264 | | 192,743 | ||||||||||||
France | 25,611 | 1,229,542 | | 1,255,153 | ||||||||||||
Germany | 6,970 | 1,254,807 | | 1,261,777 | ||||||||||||
Hong Kong | | | 49 | 49 | ||||||||||||
Indonesia | | 174 | | 174 | ||||||||||||
Ireland | 13,374 | 78,238 | | 91,612 | ||||||||||||
Italy | | 492,676 | | 492,676 | ||||||||||||
Jordan | | 11,078 | | 11,078 | ||||||||||||
Luxembourg | 2,833 | 5,607 | | 8,440 | ||||||||||||
Netherlands | 6,576 | 714,190 | | 720,766 | ||||||||||||
Norway | 7,542 | 46,997 | | 54,539 | ||||||||||||
Poland | | 2,833 | | 2,833 | ||||||||||||
Portugal | 42,626 | 993 | | 43,619 | ||||||||||||
South Korea | | 378,178 | | 378,178 | ||||||||||||
Spain | 37,671 | 456,222 | | 493,893 | ||||||||||||
Sweden | 21,206 | 436,760 | | 457,966 | ||||||||||||
Switzerland | 51,484 | 2,849,329 | | 2,900,813 | ||||||||||||
Taiwan | | 220 | | 220 | ||||||||||||
United Arab Emirates | | | | | ||||||||||||
United Kingdom | 18,987 | 2,026,462 | | 2,045,449 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 273,067 | 10,832,357 | 86 | 11,105,510 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | 17 | | | 17 | ||||||||||||
Germany | 547 | 119,300 | | 119,847 | ||||||||||||
South Korea | | 44,650 | | 44,650 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 564 | 163,950 | | 164,514 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights | ||||||||||||||||
India | | | 9 | 9 | ||||||||||||
South Korea | | | 12 | 12 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Rights | | | 21 | 21 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Warrants | ||||||||||||||||
Thailand | | | | | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Warrants | | | | | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Time Deposits | | 85,433 | | 85,433 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 273,631 | $ | 11,081,742 | $ | 107 | $ | 11,355,480 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures contracts | $ | 158 | $ | | $ | | $ | 158 | ||||||||
Forward Foreign Currency Exchange contracts | | 122 | | 122 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Appreciation in Other Financial Instruments | $ | 158 | $ | 122 | $ | | $ | 280 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures contracts | $ | (1,420 | ) | $ | | $ | | $ | (1,420 | ) | ||||||
Forward Foreign Currency Exchange contracts | | (233 | ) | | (233 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Depreciation in Other Financial Instruments | $ | (1,420 | ) | $ | (233 | ) | $ | | $ | (1,653 | ) | |||||
|
|
|
|
|
|
|
|
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
Six Circles Global Bond Fund
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | $ | | $ | 78,923 | $ | | $ | 78,923 | ||||||||
Collateralized Mortgage Obligations | | 115,698 | 19,954 | 135,652 | ||||||||||||
Commercial Mortgage-Backed Securities | | 52,002 | | 52,002 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Basic Materials | | 44,992 | | 44,992 | ||||||||||||
Communications | | 87,580 | | 87,580 | ||||||||||||
Consumer Cyclical | | 87,161 | | 87,161 | ||||||||||||
Consumer Non-cyclical | | 208,370 | | 208,370 | ||||||||||||
Energy | | 87,293 | | 87,293 | ||||||||||||
Financial | | 581,101 | | 581,101 | ||||||||||||
Government | | 137,946 | | 137,946 | ||||||||||||
Industrial | | 84,375 | | 84,375 | ||||||||||||
Technology | | 37,657 | | 37,657 | ||||||||||||
Utilities | | 113,764 | | 113,764 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Corporate Bonds | | 1,470,239 | | 1,470,239 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Government Securities | | 3,765,204 | | 3,765,204 | ||||||||||||
Mortgage-Backed Securities | | 1,644,310 | | 1,644,310 | ||||||||||||
Municipal Bonds | | 3,125 | | 3,125 | ||||||||||||
U.S. Government Agency Securities | | 19,233 | | 19,233 | ||||||||||||
U.S. Treasury Obligations | | 636,460 | | 636,460 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreement | | 64,200 | | 64,200 | ||||||||||||
Time Deposits | | 606,015 | | 606,015 | ||||||||||||
U.S. Treasury Obligations | | 31,096 | | 31,096 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | | 701,311 | | 701,311 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | | $ | 8,486,505 | $ | 19,954 | $ | 8,506,459 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Foreign Government Security | $ | | $ | 1,873 | $ | | $ | 1,873 | ||||||||
Mortgage-Backed Securities | | 301,976 | | 301,976 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Securities Sold Short | $ | | $ | 303,849 | $ | | $ | 303,849 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures contracts | $ | 1,928 | $ | | $ | | $ | 1,928 | ||||||||
Forward Foreign Currency Exchange contracts | | 77,261 | | 77,261 | ||||||||||||
Centrally Cleared Interest Rate Swap contracts | | 798 | | 798 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Appreciation in Other Financial Instruments | $ | 1,928 | $ | 78,059 | $ | | $ | 79,987 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures contracts | $ | (2,297 | ) | $ | | $ | | $ | (2,297 | ) | ||||||
Forward Foreign Currency Exchange contracts | | (16,914 | ) | | (16,914 | ) | ||||||||||
OTC Interest Rate Swaps contracts | | (70 | ) | | (70 | ) | ||||||||||
Centrally Cleared Interest Rate Swap contracts | | (2,582 | ) | | (2,582 | ) | ||||||||||
Options Written | ||||||||||||||||
Call Options Written | | (282 | ) | | (282 | ) | ||||||||||
Put Options Written | | (296 | ) | | (296 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Options Written | | (578 | ) | | (578 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Depreciation in Other Financial Instruments | $ | (2,297 | ) | $ | (20,144 | ) | $ | | $ | (22,441 | ) | |||||
|
|
|
|
|
|
|
|
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
Six Circles Tax Aware Bond Fund
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Commercial Mortgage-Backed Security | $ | | $ | 352 | $ | | $ | 352 | ||||||||
Corporate Bond | ||||||||||||||||
Consumer Non-cyclical | | 895 | | 895 | ||||||||||||
Municipal Bonds | | 5,732,113 | | 5,732,113 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Municipal Bonds | | 48,036 | | 48,036 | ||||||||||||
Time Deposits | | 405,311 | | 405,311 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | | 453,347 | | 453,347 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | | $ | 6,186,707 | $ | | $ | 6,186,707 | ||||||||
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|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Future contract | $ | 43 | $ | | $ | | $ | 43 | ||||||||
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|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures contracts | $ | (231 | ) | $ | | $ | | $ | (231 | ) | ||||||
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|
|
|
|
|
|
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
Six Circles Credit Opportunities Fund
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | $ | | $ | 178,607 | $ | | $ | 178,607 | ||||||||
Collateralized Mortgage Obligations | | 18,046 | | 18,046 | ||||||||||||
Commercial Mortgage-Backed Securities | | 103,048 | | 103,048 | ||||||||||||
Convertible Bonds | ||||||||||||||||
Basic Materials | | 199 | | 199 | ||||||||||||
Communications | | 23,367 | | 23,367 | ||||||||||||
Consumer Cyclical | | 2,902 | | 2,902 | ||||||||||||
Consumer Non-cyclical | | 3,928 | | 3,928 | ||||||||||||
Energy | | 8,973 | | 8,973 | ||||||||||||
Financial | | 10,926 | | 10,926 | ||||||||||||
Industrial | | 797 | | 797 | ||||||||||||
Technology | | 2,820 | | 2,820 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Convertible Bonds | | 53,912 | | 53,912 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Corporate Bonds | ||||||||||||||||
Basic Materials | | 129,973 | 842 | 130,815 | ||||||||||||
Communications | | 424,047 | 864 | 424,911 | ||||||||||||
Consumer Cyclical | | 501,150 | | 501,150 | ||||||||||||
Consumer Non-cyclical | | 451,567 | 8,737 | 460,304 | ||||||||||||
Diversified | | 569 | | 569 | ||||||||||||
Energy | | 369,265 | | 369,265 | ||||||||||||
Financial | | 347,228 | 648 | 347,876 | ||||||||||||
Industrial | | 258,930 | | 258,930 | ||||||||||||
Technology | | 102,682 | | 102,682 | ||||||||||||
Utilities | | 117,194 | | 117,194 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Corporate Bonds | | 2,702,605 | 11,091 | 2,713,696 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Government Securities | | 3,353 | | 3,353 | ||||||||||||
U.S. Treasury Obligations | | 90,501 | | 90,501 | ||||||||||||
Preferred Stock | ||||||||||||||||
Consumer Cyclical | | | 5,275 | 5,275 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Loan Assignments | ||||||||||||||||
Basic Materials | | 7,789 | | 7,789 | ||||||||||||
Communications | | 38,607 | 1,743 | 40,350 | ||||||||||||
Consumer Cyclical | | 30,391 | | 30,391 | ||||||||||||
Consumer Non-cyclical | | 23,351 | 498 | 23,849 | ||||||||||||
Energy | | 8,717 | | 8,717 | ||||||||||||
Financial | | 15,716 | 793 | 16,509 | ||||||||||||
Industrial | | 22,105 | | 22,105 | ||||||||||||
Technology | | 49,766 | | 49,766 | ||||||||||||
Utilities | | 1,293 | | 1,293 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Loan Assignments | | 197,735 | 3,034 | 200,769 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Commercial Papers | | 9,422 | | 9,422 | ||||||||||||
Time Deposits | | 145,195 | | 145,195 | ||||||||||||
U.S. Treasury Obligation | | 29,400 | | 29,400 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | | 184,017 | | 184,017 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | | $ | 3,531,824 | $ | 19,400 | $ | 3,551,224 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures contracts | $ | 876 | $ | | $ | | $ | 876 | ||||||||
Forward Foreign Currency Exchange contracts | | 737 | | 737 | ||||||||||||
OTC Credit Default Swap contract | | (h | ) | | (h | ) | ||||||||||
Centrally Cleared Credit Default Swap contract | | 195 | | 195 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Appreciation in Other Financial Instruments | $ | 876 | $ | 932 | $ | | $ | 1,808 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures contracts | $ | (608 | ) | $ | | $ | | $ | (608 | ) | ||||||
Forward Foreign Currency Exchange contracts | | (5 | ) | | (5 | ) | ||||||||||
OTC Credit Default Swaps contracts | | (7 | ) | | (7 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Depreciation in Other Financial Instruments | $ | (608 | ) | $ | (12 | ) | $ | | $ | (620 | ) | |||||
|
|
|
|
|
|
|
|
The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value (amounts in thousands):
Six Circles Credit Opportunities Fund | Balance as of December 31, 2020 | Realized gain (loss) | Net accretion (amortization) | Change in net unrealized appreciation (depreciation) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of September 30, 2021 | |||||||||||||||||||||||||||
Investments in Securities: |
| |||||||||||||||||||||||||||||||||||
Corporate Bonds | $ | | $ | | $ | | $ | 55 | $ | 11,036 | $ | | $ | | $ | | $ | 11,091 | ||||||||||||||||||
Preferred Stock | | | | 158 | 5,117 | | | | 5,275 | |||||||||||||||||||||||||||
Loan Assignments | | | | (1 | ) | 3,035 | | | | 3,034 | ||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||
Total | $ | | $ | | $ | | $ | 212 | $ | 19,188 | $ | | $ | | $ | | $ | 19,400 | ||||||||||||||||||
|
|
1 | Purchases include all purchases of securities and securities received in corporate actions. |
2 | Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at September 30, 2021, which were valued using significant unobservable inputs (level 3), amounted to $212,689.
There were no significant transfers out of or into level 3 for the period ended September 30, 2021.
The significant unobservable inputs used in the fair value measurement of the Funds investments are listed above. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement.
Quantitative Information about Level 3 Fair Value Measurements (amounts in thousands)
Security Type | Fair Value as September 30, 2021 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) | ||||||
Corporate Bond | 11,091 | Market/Last Traded | Discount for lack of liquidity | 0.00% | ||||||
Preferred Stocks | 5,275 | Market/Last Traded | Discount for lack of liquidity | 0.00% | ||||||
Loans | 3,034 | Market/Last Traded/Vendor Pricing | Discount for lack of liquidity | 0.00% |
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
B. Loan Assignments The Six Circles Credit Opportunities Fund invests in debt instruments that are interests in amounts owed to lenders or lending syndicates (a Lender) by corporate, governmental or other borrowers (a Borrower). A loan is typically originated, negotiated and structured by a U.S. or foreign bank, insurance company or other financial institution (the Agent) for a group of loan investors (Loan Investors). The Agent administers the terms of the loan, as specified in the loan agreement. When a Fund purchases a loan assignment, the Fund has direct rights against the Borrower on a loan, provided, however, the Funds rights may be more limited than the lender from which it acquired the assignment and the Fund may be able to enforce its rights only through the Agent. As a result, the Fund assumes the credit risk of the Borrower, the selling participant and any other persons interpositioned between each Fund and the Borrower (Intermediate Participants). In the event that the Borrower, selling participant or Intermediate Participants become insolvent or enter into bankruptcy, the Fund may incur certain costs and delays in realizing payment or may suffer a loss of principal and/or interest. The Adviser or Sub-Advisers may have access to material non-public information regarding the Borrower.
Certain loan assignments are also subject to the risks associated with high yield securities.
Unfunded commitments represent the remaining obligation of each Fund to the Borrower. At any point in time, up to the maturity date of the issue, the Borrower may demand the unfunded portion. The unrealized appreciation/depreciation from unfunded commitments is reported on the Statements of Assets and Liabilities, if any. As of September 30, 2021, The Six Circles Credit Opportunities Fund had the following loan commitments outstanding in which all of the commitment was unfunded (amounts in thousands):
Unfunded Commitment | ||||||||||||||||||||||||
Security Description | Term | Maturity Date | Commitment Fee Rate | Rate if Funded | Par | Value | ||||||||||||||||||
Sovos Compliance, LLC | | First Lien Delayed Draw Term Loan | | 08/11/2028 | 2.25 | % | 5.00 | % | 94 | 94 |
C. Derivatives The Funds used derivative instruments including options, futures contracts, forward foreign currency exchange contracts and swaps, in connection with their respective investment strategies. Derivative instruments may be used as substitutes for securities in which the Funds can invest, to hedge portfolio investments or to generate income or gain to the Funds. Derivatives may also be used to manage duration, sector and yield curve exposures as well as credit and spread volatility.
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
The Funds may be subject to various risks from the use of derivatives including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing a Fund to close out its position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Funds risk of loss associated with these instruments may exceed their value.
The Funds are party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (ISDA agreements). The Funds ISDA agreements, which are separately negotiated by the Sub-Advisers, with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Funds in the event the Funds net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Funds to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterpartys credit rating below a specified level). Such rights for both a counterparty and the Funds often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Funds. The ISDA agreements give the Funds and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable with collateral posted to a segregated account by one party to the other.
Counterparty credit risk may be mitigated to the extent a counterparty posts collateral for mark to market gains to the Fund.
Notes C(1) - C(4) below describe the various derivatives used by the Funds.
(1) Options The Six Circles Global Bond Fund sold (wrote) put and call options on securities to manage and hedge interest rate risks within their portfolios and also to gain long or short exposure to the underlying instrument. A purchaser of a put option has the right, but not the obligation, to sell the underlying instrument at an agreed upon price (strike price) to the option seller. A purchaser of a call option has the right, but not the obligation, to purchase the underlying instrument at the strike price from the option seller.
Options Written Premiums received by the Funds for options written are included on the Statements of Assets and Liabilities as a liability. The amount of the liability is adjusted daily to reflect the current market value of the option written and the change in market value is recorded as Change in net unrealized appreciation/depreciation on options written on the Statements of Operations. Premiums received from options written that expire are treated as realized gains. If a written option is closed, the Funds record a realized gain or loss on options written based on whether the cost of the closing transaction exceeds the premium received. If a call option is exercised by the option buyer, the premium received by the Funds is added to the proceeds from the sale of the underlying security to the option buyer and compared to the cost of the closing transaction to determine whether there has been a realized gain or loss. If a put option is exercised by an option buyer, the premium received by the option seller reduces the cost basis of the purchased security.
Written uncovered call options subject the Funds to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Written put options subject the Funds to risk of loss if the value of the security declines below the exercise price minus the put premium.
The Funds are not subject to credit risk on options written as the counterparty has already performed its obligation by paying the premium at the inception of the contract.
The Funds option contracts are subject to master netting arrangements.
(2) Futures Contracts The Six Circles Ultra Short Duration Fund, Six Circles Tax Aware Ultra Short Duration Fund, Six Circles Global Bond Fund, and Six Circles Credit Opportunities Fund used interest rate futures to manage interest rate risks associated with portfolio investments. The Six Circles U.S. Unconstrained Equity Fund and Six Circles International Unconstrained Equity Fund used index futures to gain or reduce exposure to certain countries or regions, to maintain liquidity or minimize transaction costs.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as changes in net unrealized appreciation/depreciation. Futures contracts outstanding at period end, if any, are listed after each Funds SOI.
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
The use of futures contracts may expose the Funds to interest rate and equity price risks. The Funds may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Funds credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous days settlement price, which could effectively prevent the liquidation of positions.
The Funds futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
(3) Forward Foreign Currency Exchange Contracts The Six Circles International Unconstrained Equity Fund, Six Circles Ultra Short Duration Fund, Six Circles Tax Aware Ultra Short Duration Fund, Six Circles Global Bond Fund and Six Circles Credit Opportunities Fund may be exposed to foreign currency risks associated with some or all of the portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Funds also bought forward foreign currency exchange contracts to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Forward contracts outstanding at period end, if any, are listed after each Funds SOI.
The values of the forward foreign currency exchange contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation/depreciation until the contract settlement date. When the forward foreign currency exchange contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed. The Fund also records a realized gain or loss when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty upon settlement.
The Funds forward foreign currency exchange contracts may be subject to master netting arrangements (the right to close out all transactions with a counterparty and net amounts owed or due across transactions). The Funds may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.
(4) Swaps The Six Circles Ultra Short Duration Fund, Six Circles Tax Aware Ultra Short Duration Fund, Six Circles Global Bond Fund, and the Six Circles Credit Opportunities Fund engaged in various swap transactions, including interest swaps, to manage interest rate (e.g., duration, yield curve) risks within their respective portfolios. The Funds also used swaps as alternatives to direct investments. Swap transactions are negotiated contracts over the counter (OTC swaps) between a fund and a counterparty or centrally cleared (centrally cleared swaps) with a central clearinghouse through a Futures Commission Merchant (FCM), to exchange investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. Swap contracts outstanding at period end, if any, are listed after each Funds SOI.
Upfront payments made and/or received are recorded as assets or liabilities and amortized over the term of the swap. The value of an OTC swap agreement is recorded as either an asset or a liability at the beginning of the measurement period.
Upon entering into a centrally cleared swap, the Funds are required to deposit with the FCM cash or securities, which is referred to as initial margin deposit. Securities deposited as initial margin are designated on the SOIs. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a variation margin receivable or payable. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as change in net unrealized appreciation/depreciation. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.
The central clearing house acts as the counterparty to each centrally cleared swap transaction, therefore credit risk is limited to the failure of the clearing house.
The Funds may be required to post or receive collateral in the form of cash or securities based on the net value of the Funds outstanding OTC swap contracts with the counterparty. Daily movement of collateral is subject to minimum threshold amounts. Collateral posted by the Funds is held in a segregated account at the Funds custodian bank. Collateral received by the Funds is held in escrow in segregated accounts maintained by Brown Brothers Harriman & Co.
The Funds swap contracts (excluding centrally cleared swaps) are subject to master netting arrangements.
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
Credit Default Swaps
Six Circles Ultra Short Duration Fund, Six Circles Tax Aware Ultra Short Duration Fund and Six Circles Credit Opportunities Fund entered into credit default swaps to simulate long and short bond positions or to take an active long or short position with respect to the likelihood of a default or credit event by the issuer of the underlying reference obligation.
The underlying reference obligation may be a single issuer of corporate or sovereign debt, a basket of issuers or a credit index. A credit index is a list of credit instruments or exposures that reference a fixed number of obligors with shared characteristics that represents some part of the credit market as a whole. Index credit default swaps have standardized terms including a fixed spread and standard maturity dates. The composition of the obligations within a particular index changes periodically.
Credit default swaps involve one party, the protection buyer, making a stream of payments to another party, the protection seller, in exchange for the right to receive a contingent payment if there is a credit event related to the underlying reference obligation. In the event that the reference obligation matures prior to the termination date of the contract, a similar security will be substituted for the duration of the contract term. Credit events are defined under individual swap agreements and generally include bankruptcy, failure to pay, restructuring, repudiation/moratorium, obligation acceleration and obligation default.
If a credit event occurs, the Funds, as protection sellers, would be obligated to make a payment, which may be either: (i) a net cash settlement equal to the notional amount of the swap less the auction value of the reference obligation or (ii) the notional amount of the swap in exchange for the delivery of the reference obligation. Selling protection effectively adds leverage to a Funds portfolio up to the notional amount of swap agreements.
The notional amount represents the maximum potential liability under a contract. Potential liabilities under these contracts may be reduced by: the auction rates of the underlying reference obligations; upfront payments received at the inception of a swap; and net amounts received from credit default swaps purchased with the identical reference obligation.
Interest Rate Swaps
The Six Circles Ultra Short Duration Fund, Six Circles Tax Aware Ultra Short Duration Fund and Six Circles Global Bond Fund entered into interest rate swap contracts to manage fund exposure to interest rates and/or to preserve or generate a return on a particular investment or portion of its portfolio. These are agreements between counterparties to exchange periodic payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified interest rate while the other is typically a fixed interest rate.