N-CSRS 1 d279314dncsrs.htm SIX CIRCLES TRUST Six Circles Trust
Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-23325

SIX CIRCLES TRUST

On behalf of the following series:

 

 

Six Circles U.S. Unconstrained Equity Fund

Six Circles International Unconstrained Equity Fund

Six Circles Tax Aware Ultra Short Duration Fund

Six Circles Ultra Short Duration Fund

Six Circles Managed Equity Portfolio U.S. Unconstrained Fund

Six Circles Managed Equity Portfolio International Unconstrained Fund

Six Circles Global Bond Fund

Six Circles Tax Aware Bond Fund

Six Circles Credit Opportunities Fund

(Exact name of registrant as specified in charter)

 

 

383 Madison Avenue

New York, NY 10179

(Address of principal executive offices) (Zip Code)

 

 

The Corporation Trust Company

1209 Orange Street

Wilmington, DE 19801

(Name and address of agent for service)

 

 

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

Date of fiscal year end: December 31

Date of reporting period: June 30, 2022

 

 

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 

 

 

 


Table of Contents

Item 1. Report to Stockholders.

 


Table of Contents

Semi-Annual Report

SIX CIRCLES® FUNDS

June 30, 2022

Six Circles Ultra Short Duration Fund

Six Circles Tax Aware Ultra Short Duration Fund

Six Circles U.S. Unconstrained Equity Fund

Six Circles International Unconstrained Equity Fund

Six Circles Global Bond Fund

Six Circles Tax Aware Bond Fund

Six Circles Credit Opportunities Fund

 

 

 

     LOGO  


Table of Contents

CONTENTS

 

President’s Letter        1  
Market Overview        2  
Fund Commentaries        3  

Six Circles Ultra Short Duration Fund

       3  

Six Circles Tax Aware Ultra Short Duration Fund

       5  

Six Circles U.S. Unconstrained Equity Fund

       7  

Six Circles International Unconstrained Equity Fund

       10  

Six Circles Global Bond Fund

       13  

Six Circles Tax Aware Bond Fund

       16  

Six Circles Credit Opportunities Fund

       18  
Schedules of Portfolio Investments        20  
Financial Statements        232  
Financial Highlights        254  
Notes to Financial Statements        268  
Schedule of Shareholder Expenses        295  
Board Approval of Investment Advisory Agreements        296  
Liquidity Risk Management Program        301  
Trustees and Officers        302  

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

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

For additional information about the risks of investing in the Funds’ see section 5 starting on page 290.

For more complete information about the Funds, including the Funds’ objectives, risks, charges and expenses, call your J.P. Morgan representative or call 1-212-464-2070 or go to www.sixcirclesfunds.com for a prospectus. Read the prospectus carefully. An investment in these Funds and any other Fund is not designed to be a complete investment program. The Funds are NOT designed to be used as stand-alone investments.


Table of Contents

PRESIDENT’S LETTER

JUNE 30, 2022 (Unaudited)

 

Dear Shareholder,

We hope this letter finds you well.

The six months covered by this report were the most tumultuous we have seen in a while. Geopolitical turmoil and global supply chain issues took center stage, as the Federal Reserve engineered three successive rate hikes in an effort to rein in inflation.

The Six Circles Funds were designed in part to help our discretionary portfolios navigate through all types of markets. On the following pages, we provide detailed discussions on the strategies we implemented in each of the Six Circles Funds during the review period, and how they performed against this volatile market backdrop.

As a reminder, the Six Circles Funds are not meant to be standalone investments. They are purposefully constructed as completion funds and, as such, we believe they should be reviewed

and evaluated within the context of your broader portfolio for a complete picture of their performance.

I hope you find the information on these pages to be informative and helpful. If you should have any questions about the Funds, you can contact your J.P. Morgan team, visit the Fund’s website at www.sixcirclesfunds.com, or call us at 212-464-2070.

Sincerely,

 

LOGO

Mary Savino

President, Six Circles Funds

 

 

 
JUNE 30, 2022   SIX CIRCLES TRUST         1


Table of Contents

Market Overview

As Of June 30, 2022 (Unaudited)

 

We believe that we are moving into the later part of the economic cycle.

This year, so far, has proven to be challenging in the markets globally. The MSCI USA Index is down 21.11% through June 2022. Developed Non-U.S. and Emerging Markets Equities also had negative returns in the first half of the year, with the MSCI World ex-USA Index down 18.76%, MSCI Emerging Markets Index down 17.63% and the MSCI World Index down 20.51% during the period.

Global Bond and cash markets outperformed equities; the Bloomberg Barclays U.S. 1-3 Month Treasury Bills Index returned 0.16% and the Bloomberg Barclays Global Aggregate Hedged Index had a negative return of 9.06%.

The Fed raised the target federal funds rate to 1.75% in June to bring down inflation to more sustainable levels. Market expectation is currently pricing in a Fed funds rate of 3.5% by year end. The Committee seeks to achieve maximum employment and return inflation to its 2 percent objective.

 

 

 
2         SIX CIRCLES TRUST   JUNE 30, 2022


Table of Contents

Six Circles Ultra Short Duration Fund

FUND COMMENTARY

Period January 1, 2022 Through June 30, 2022 (Unaudited)

 

REPORTING PERIOD RETURN  
Fund*      (1.11)%  
Bloomberg Barclays 1-3 Month U.S. Treasury Bill Index      0.16%  
Net Assets as of 06/30/2022 (In Thousands)    $ 600,092  
Duration      0.59 years  

 

INVESTMENT OBJECTIVES AND STRATEGY**

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

INVESTMENT APPROACH

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

The Adviser currently engages the following Sub-Advisers:

 

  Goldman Sachs Asset Management, L.P. (“Goldman”)(a)
  BlackRock Investment Management, LLC (“BlackRock”)
  Pacific Investment Management Company LLC (“PIMCO”)

 

(a) 

During the reporting period, the Adviser did not allocate Fund assets to Goldman

The Adviser may adjust allocations to the Sub-Advisers at any time or make recommendations to the Board of Trustees of the Six Circles Trust (the “Board”) with respect to the hiring, termination or replacement of a Sub-Adviser. As such, the identity of the Fund’s Sub-Advisers, the investment strategies they pursue and the portion of the Fund allocated to them, may change over time.

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

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

During the period of January 1, 2022 through June 30, 2022 (the “reporting period”), the Fund posted a negative return on

an absolute basis, and underperformed relative to the Bloomberg Barclays 1-3 Month U.S. Treasury Bill Index (the “Index”). References to the Index are for informational purposes. The use of the Index does not imply the Fund is being managed to the Index, but rather is disclosed to allow for comparison of the Fund’s performance to that of a well-known and widely recognized index.

By sector composition, Investment Grade Credit and Securitized Credit comprised approximately 79% of the Fund’s exposure on a look-through basis at the end of the reporting period, and were the Fund’s largest sector overweights relative to the Index. During the reporting period, both sectors detracted from the Fund’s performance on an absolute basis as well as relative to the Index.

The Fund’s exposure to Government Bonds was the Fund’s largest sector underweight relative to the Index and comprised approximately 6% of the Fund’s exposure on a look-through basis at the end of the reporting period. During the reporting period, the sector detracted from the Fund’s performance on an absolute basis but contributed to performance relative to the Index.

On an allocation level, both Fund’s allocations to Global Markets and Core Ultra Short strategies detracted from the Fund’s return on an absolute basis during the reporting period.

HOW WAS THE FUND POSITIONED?

At the end of the reporting period the Fund was allocated to two Sub-Advisers as follows.

 

PORTFOLIO ALLOCATION***  

Core Ultra Short (BlackRock)

     70

Global Markets (PIMCO)

     30  

 

*   The return shown is based on the net asset value calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at June 30, 2022 for financial reporting purposes, and as a result, the net asset value for shareholder transactions and the total return based on that net asset value may differ from the adjusted net assets and the total return for financial reporting.
**   The Adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages are based on total investments as of June 30, 2022. The portfolio allocation is subject to change.
 

 

 
JUNE 30, 2022   SIX CIRCLES TRUST         3


Table of Contents

Six Circles Ultra Short Duration Fund

FUND COMMENTARY

Period January 1, 2022 Through June 30, 2022 (Unaudited) (continued)

 

Within the fixed income allocation on the broader Portfolio level, the Adviser prefers high-quality liquid investments combined with flexibility to implement opportunistic ideas across fixed income markets. The majority of the Fund’s assets were invested into the more liquid segments of the fixed income market, with approximately 96% of the Fund invested in instruments with maturities of three years and under as of June 30, 2022.

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

The Core Ultra Short allocation, which comprised approximately 70% of the Fund as of June 30, 2022, invests in a diversified fixed income portfolio on the shorter end of the U.S. fixed income market, balancing income against credit quality, within the context of the broader portfolios.

The Global Markets allocation, which comprised approximately 30% of the Fund as of June 30, 2022, has a broad investment universe, seeking total return opportunities within the global fixed income markets.

 

AVERAGE ANNUAL TOTAL RETURNS
AS OF JUNE 30, 2022

 
             6 Months*     1 Year     Since
Inception
(July 9, 2018)
 
Six Circles Ultra Short Duration Fund        (1.11 )%      (1.30 )%      1.16

 

*

Not Annualized

GROWTH OF $10,000 REPORT (07/09/2018 TO 06/30/2022)

 

 

LOGO

LOGO

 

1) 

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

2) 

0.23% of the amount shown in the Fund’s “Cash” line item reflects the mark-to-market value of the Fund’s derivative positions.

The allocation of the various strategies employed by the Fund may shift and therefore, the performance shown may not be a true indication of how the Fund may perform going forward. Performance quoted is past performance and is no guarantee of future results. Investment returns and principal value will fluctuate, so shares, when sold, may be worth more or less than original cost. Current performance may be higher or lower than returns shown. As of the latest prospectus, the gross and net expense ratios for the Fund were 0.31% and 0.18% respectively. Contact your J.P. Morgan representative or call 1-212-464-2070 for the most recent month-end performance.

The Fund commenced operations on July 9, 2018.

The graph illustrates comparative performance for $10,000 invested in the Six Circles Ultra Short Duration Fund and the Bloomberg Barclays 1-3 Month U.S. Treasury Bill Index from July 9, 2018 to June 30, 2022. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg Barclays 1-3 Month U.S. Treasury Bill Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable.

The Bloomberg Barclays 1-3 Month U.S. Treasury Bill Index measures the performance of public obligations of the U.S. Treasury that have a remaining maturity of greater than or equal to 1 month and less than 3 months. Investors cannot invest directly in an index.

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

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

 

 

 
4         SIX CIRCLES TRUST   JUNE 30, 2022


Table of Contents

Six Circles Tax Aware Ultra Short Duration Fund

FUND COMMENTARY

Period January 1, 2022 Through June 30, 2022 (Unaudited)

 

REPORTING PERIOD RETURN  
Fund*      (0.84)%  
iMoneyNet Tax-Free National Institutional Money Market Index      0.12%  
Net Assets as of 06/30/2022 (In Thousands)    $ 614,458  
Duration      0.50 years  

 

INVESTMENT OBJECTIVES AND STRATEGY**

Six Circles Tax Aware Ultra Short Duration Fund (the “Fund”) seeks to generate current income consistent with capital

preservation. The Fund invests at least 50% of its net assets in municipal securities, the income from which is exempt from federal income tax (1). The Fund also may invest in taxable instruments. The Fund allocates assets among securities with various maturities which, under normal market conditions, will not exceed an average effective portfolio duration of two years.

INVESTMENT APPROACH

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

The Adviser currently engages the following Sub-Advisers:

 

  Goldman Sachs Asset Management, L.P. (“Goldman”)(a)
  Insight North America LLC (“Insight”)
  Pacific Investment Management Company LLC (“PIMCO”)

 

(a) 

During the reporting period, the Adviser did not allocate Fund assets to Goldman

The Adviser may adjust allocations to the Sub-Advisers at any time or make recommendations to the Board of Trustees of the Six Circles Trust (the “Board”) with respect to the hiring, termination or replacement of a Sub-Adviser. As such, the identity of the Fund’s Sub-Advisers, the investment strategies they pursue and the portion of the Fund allocated to them, may change over time.

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

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

During the period of January 1, 2022 through June 30, 2022 (the “reporting period”), the Fund posted a negative return on

an absolute basis and underperformed relative to the iMoneyNet Tax-Free National Institutional Money Market Index (the “Index”). References to the Index are for informational purposes. The use of the Index does not imply the Fund is being managed to the Index, but rather is disclosed to allow for comparison of the Fund’s performance to that of a well-known and widely recognized index.

By sector composition, Municipal Bonds and Investment Grade Credit were the largest sector exposures in the Fund on a look-through basis and comprised approximately 69% and 11% of the Fund, respectively, at the end of the reporting period. Both exposures detracted from the Fund’s performance on an absolute basis.

On allocation level, both of the Fund’s allocations to Global Markets and Core Municipal Ultra Short strategies detracted from the Fund’s return on an absolute basis during the reporting period.

HOW WAS THE FUND POSITIONED?

At the end of the reporting period the Fund was allocated to two Sub-Advisers as follows.

 

PORTFOLIO ALLOCATION***  
Core Municipal Ultra Short (Insight)      70
Global Markets (PIMCO)      30  

 

*   The return shown is based on the net asset value calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at June 30, 2022 for financial reporting purposes, and as a result, the net asset value for shareholder transactions and the total return based on that net asset value may differ from the adjusted net assets and the total return for financial reporting.
**   The Adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages are based on total investments as of June 30, 2022. The portfolio allocation is subject to change.
1)    Interest on Municipal securities is exempt from federal income tax however interest on certain bonds may be subject to the federal alternative minimum tax for individuals.

Within the fixed income allocation on the broader Portfolio level, the Adviser prefers high-quality liquid investments combined with flexibility to implement opportunistic ideas across fixed income markets. The majority of the Fund’s assets were

 

 

 
JUNE 30, 2022   SIX CIRCLES TRUST         5


Table of Contents

Six Circles Tax Aware Ultra Short Duration Fund

FUND COMMENTARY

Period January 1, 2022 Through June 30, 2022 (Unaudited) (continued)

 

invested into the more liquid segments of the fixed income market, with approximately 98% of the Fund invested in instruments with maturities of three years and under as of June 30, 2022.

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

The Core Municipal Ultra Short allocation, which comprised approximately 70% of the Fund as of June 30, 2022, invests in a diversified fixed income portfolio on the shorter end of the U.S. municipal fixed income market, balancing income against credit quality, within the context of the broader portfolio.

The Global Markets allocation, which comprised approximately 30% of the Fund as of June 30, 2022, has a broad investment universe, seeking total return opportunities within the global taxable fixed income markets.

 

AVERAGE ANNUAL TOTAL RETURNS
AS OF JUNE 30, 2022

 
      6 Months*    1 Year     Since
Inception
(July 9, 2018)
 
Six Circles Tax Aware Ultra Short Duration Fund    (0.84)%      (0.90 )%      0.88

 

*

Not Annualized

GROWTH OF $10,000 REPORT (07/09/2018 TO 06/30/2022)

 

 

LOGO

LOGO

 

1) 

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

2) 

0.15% of the amount shown in the Fund’s “Cash” line item reflects the mark-to-market value of the Funds derivative positions.

The allocation of the various strategies employed by the Fund may shift and therefore, the performance shown may not be a true indication of how the Fund may perform going forward. Performance quoted is past performance and is no guarantee of future results. Investment returns and principal value will fluctuate, so shares, when sold, may be worth more or less than original cost. Current performance may be higher or lower than returns shown. As of the latest prospectus, the gross and net expense ratios for the Fund were 0.30% and 0.15% respectively. Contact your J.P. Morgan representative or call 1-212-464-2070 for the most recent month-end performance.

The Fund commenced operations on July 9, 2018.

The graph illustrates comparative performance for $10,000 invested in the Six Circles Tax Aware Ultra Short Duration Fund and the iMoneyNet Tax-Free National Institutional Money Market Index from July 9, 2018 to June 30, 2022. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. Although the performance of the iMoneyNet Tax-Free National Institutional Money Market Index reflects returns of constituent mutual funds net of expenses, the index itself is unmanaged and no expenses are deducted at the index level. The performance of the Index has also been adjusted to reflect reinvestment of all dividends and capital gain distributions of the mutual funds included in the Index, if applicable.

The iMoneyNet Tax-Free National Institutional Money Market Index is an average of all tax-free and municipal, U.S.-domiciled institutional and retail money market funds. Investors cannot invest directly in an index.

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

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

 

 

 
6         SIX CIRCLES TRUST   JUNE 30, 2022


Table of Contents

Six Circles U.S. Unconstrained Equity Fund

FUND COMMENTARY

Period January 1, 2022 Through June 30, 2022 (Unaudited)

 

REPORTING PERIOD RETURN  
Fund*      (20.12)%  
MSCI USA Index      (21.11)%  
Net Assets as of 06/30/2022 (In Thousands)    $ 15,082,429  

 

INVESTMENT OBJECTIVES AND STRATEGY**

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

INVESTMENT APPROACH

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

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

During the period of January 1, 2022 through June 30, 2022 (the “reporting period”), the Fund posted a negative return on an absolute basis, but outperformed relative to the MSCI USA Index (the “Index”). References to the Index are for informational purposes. The use of the Index does not imply the Fund is being managed to the Index, but rather is disclosed to allow for comparison of the Fund’s performance to that of a well-known and widely recognized index.

Health Care, Industrials and Communications Services sectors comprised approximately 52% of the Fund’s sector exposure on a look-through basis at the end of the reporting period and were the Fund’s largest sector overweights relative to the Index. During the reporting period, Health care contributed to the fund’s performance on an absolute basis while Industrials and Communication Services detracted. Relative to the Index Health Care and Industrials contributed while Communication Services detracted.

Consumer Staples, Energy and Information Technology sectors comprised approximately 27% of the Fund’s sector exposure on a look-through basis at the end of the reporting period and were the Fund’s largest sector underweights relative to the Index. Energy contributed to the Fund’s performance on an absolute basis while Consumer Staples and Information Technology detracted. Relative to the Index, Information Technology contributed to the Fund’s return while positioning in Energy and Consumer Staples detracted.

On an allocation level, the Fund’s allocation to U.S. Pharmaceuticals was the largest contributor on an absolute basis, whereas U.S. Interactive Media & Services was the largest detractor to the Fund’s return on an absolute basis during the reporting period.

HOW WAS THE FUND POSITIONED?

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

 

PORTFOLIO ALLOCATION***        
U.S. Software      15
U.S. Pharmaceuticals      12  
U.S. Interactive Media & Services      12  
U.S. Financials      11  
U.S. Managed Health Care      9  
US Internet Retail      9  
U.S. Air, Freight & Logistics      6  
U.S. Industrials      6  
USA      6  
U.S. Data Processing      5  
U.S. Life Sciences, Tools & Services      3  
U.S. Beverages      2  
U.S. Biotechnology      2  
U.S. Semiconductors & Semiconductor Equipment      2  

 

*   The return shown is based on the net asset value calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at June 30, 2022 for financial reporting purposes, and as a result, the net asset value for shareholder transactions and the total return based on that net asset value may differ from the adjusted net assets and the total return for financial reporting.
**   The Adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages are based on total investments as of June 30, 2022. The portfolio allocation is subject to change.
 

 

 
JUNE 30, 2022   SIX CIRCLES TRUST         7


Table of Contents

Six Circles U.S. Unconstrained Equity Fund

FUND COMMENTARY

Period January 1, 2022 Through June 30, 2022 (Unaudited) (continued)

 

Allocation to Broad USA comprised approximately 6% of the Fund as of June 30, 2022. Within the context of the broader Portfolios, the Adviser believes that an allocation to Broad USA provides the ability to tactically allocate to broad U.S. large cap exposure and use as a potential funding source for future targeted allocations.

Allocation to U.S. Software and U.S. Internet Retail provides what the Adviser believes is a multi-year opportunity for the leaders in this space to take advantage of businesses shifting workloads onto Cloud-based platforms. These exposures collectively comprised approximately 24% of the Fund as of June 30, 2022.

Allocation to U.S. Interactive Media & Services focuses on companies engaged in content and information creation or distribution through proprietary platforms, where revenues are derived primarily through pay-per-click advertisements. This allocation was approximately 12% of the Fund as of June 30, 2022. The Adviser believes in the opportunities available in the cloud market and views this exposure as potential for continued strength in earnings growth.

Allocation to U.S. Financials comprised approximately 11% of the Fund as of June 30, 2022. The Adviser believes in capital adequacy and dividend sustainability in the sector and has conviction in the position given compelling valuations and more realistic market expectations about potential credit costs and buybacks.

Allocation to U.S. Pharmaceuticals and U.S. Biotechnology comprised approximately 12% and 2% of the Fund respectively, as of June 30, 2022. The Adviser believes that Pharmaceutical companies have strong fundamentals with attractive valuations in the current market. Biotechnology sector focuses on the companies primarily engaged in the research, development, manufacturing and /or marketing of products based on genetic analysis and genetic engineering.

Allocation to U.S. Managed Health Care comprised approximately 9% of the Fund as of June 30, 2022. The Adviser believes that the allocation focuses on the intersection of health care and innovation. U.S. Managed Health Care provides exposure to the four paradigm shifts within Health care identified by our CIO team, including big data, advanced diagnostics, targeted therapies, and enhanced aging.

Allocation to U.S. Industrials was approximately 6% of the Fund as of June 30, 2022. The Adviser believes that the Industrials are cyclical companies that would continue to benefit from economic recovery and growth.

The Adviser believes that companies under U.S. Air, Freight & Logistics sector would continue to benefit from economic recovery and improve free cash flow generation after having underperformed. This allocation comprised approximately 6% of the Fund as of June 30, 2022.

Allocation to U.S. Beverages was approximately 2% of the Fund’s exposure as of June 30, 2022 and reflects the Adviser’s belief that this industry is relatively defensive vs. the market, and the major players of this sector are going through structural changes and thus are set to improve free cash flow conversion.

The Adviser believes that valuations for U.S. Semiconductors & Semiconductor Equipment industries are now more reasonable and provide an attractive entry point. This allocation comprised approximately 2% of the Fund as of June 30, 2022.

Allocation to Life Sciences Tools & Services was approximately 3% of the Fund as of June 30, 2022. The Adviser believes that the sector is comprised of high quality and large cap companies with double digit earnings growth.

Allocation to Data Processing was approximately 5% of the Fund as of June 30, 2022. The Adviser believes that the companies within the sector’s core business have been accelerating, as well as businesses have expanded into new payment flows.

 

AVERAGE ANNUAL TOTAL RETURNS
AS OF JUNE 30, 2022

 
      6 Months*      1 Year     Since
Inception
(July 9, 2018)
 
Six Circles U.S. Unconstrained Equity Fund      (20.12)%        (12.50 )%      10.93

 

*

Not Annualized

GROWTH OF $10,000 REPORT (07/09/2018 TO 06/30/2022)

 

 

LOGO

The allocation of the various strategies employed by the Fund may shift and therefore, the performance shown may not be a true indication of how the Fund may perform going forward. Performance quoted is past performance and is no guarantee of future results. Investment returns and principal value will fluctuate, so shares, when sold, may be worth more or less than original cost. Current performance may be higher or lower than returns shown. As of the latest prospectus, the gross and net expense ratios for the Fund were 0.26% and 0.05% respectively. Contact your J.P. Morgan representative or call 1-212-464-2070 for the most recent month-end performance.

 

 

 
8         SIX CIRCLES TRUST   JUNE 30, 2022


Table of Contents

 

 

LOGO

 

1) 

Presented percentages may not sum to 100% due to rounding to the nearest percent. Cash and mark-to-market value on derivatives contracts represent less than 0.5%. The above Sector allocation uses The Global Industry Classification Standard (GICS®) and may differ from categories listed within the Schedule of Investments.

The Fund commenced operations on July 9, 2018.

The graph illustrates comparative performance for $10,000 invested in the Six Circles U.S. Unconstrained Equity Fund and the MSCI USA Index from July 9, 2018 to June 30, 2022. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the MSCI USA Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the secu rities included in the Index, if applicable.

The MSCI USA Index is designed to measure the performance of the large and mid-cap segments of the U.S. market. With 626 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in the United States. Investors cannot invest directly in an index.

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

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

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

 

 

 
JUNE 30, 2022   SIX CIRCLES TRUST         9


Table of Contents

Six Circles International Unconstrained Equity Fund

FUND COMMENTARY

Period January 1, 2022 Through June 30, 2022 (Unaudited)

 

REPORTING PERIOD RETURN  
Fund*      (19.37)%  
MSCI World ex-USA Index      (18.76)%  
Net Assets as of 06/30/2022 (In Thousands)    $ 11,663,862  

 

INVESTMENT OBJECTIVES AND STRATEGY**

Six Circles International Unconstrained Equity Fund (the “Fund”) seeks to provide capital appreciation. The Fund invests

at least 80% of its net assets in equity securities and other instruments with economic characteristics similar to equity

securities. The Fund primarily invests in the equity securities of non-U.S. companies and is generally unconstrained by any particular capitalization, style or sector or non-U.S. country.

INVESTMENT APPROACH

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

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

During the period of January 1, 2022 through June 30, 2022 (the “reporting period”), the Fund posted a negative return on an absolute basis, and underperformed the MSCI World ex USA Index (the “Index”). References to the Index are for informational purposes. The use of the Index does not imply the Fund is being managed to the Index, but rather is disclosed to allow for comparison of the Fund’s performance to that of a well-known and widely recognized index.

Health Care, Consumer Discretionary and Information Technology sectors comprised approximately 48% of the Fund’s sector exposure on a look-through basis at the end of the reporting period, and were the Fund’s largest sector overweights relative to the Index. All three-sector detracted on an absolute basis, while relative to the Index, Health Care contributed and Consumer Discretionary and Information Technology detracted.

Industrials, Financials and Materials sectors comprised approximately 29% of the Fund’s sector exposure on a look-through

basis at the end of the reporting period, and were the Fund’s largest sector underweights relative to the Index. All three sectors detracted from the Fund’s performance on an absolute basis, as well as relative to index.

On an allocation level, there was no allocation that was a contributor to the Fund’s performance on an absolute basis, and the allocation to Europe ex-UK was the largest detractor from the Fund’s return on an absolute basis during the reporting period.

HOW WAS THE FUND POSITIONED?

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

 

PORTFOLIO ALLOCATION***        
Europe ex-UK      39
Europe Pharmaceuticals      14  
Broad UK      8  
Europe Financials      8  
Europe Autos      5  
Europe Semiconductor & Semiconductor Equipment      5  
Europe Food Products      5  
Europe Industrials      4  
Europe Integrated Oil & Gas      3  
Europe Textile Luxury Goods      3  
Japan Consumer Electronics      3  
Korea Technology, Hardware, Storage & Peripherals      2  
Europe ex-UK Utilities      1  

 

*   The return shown is based on the net asset value calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at June 30, 2022 for financial reporting purposes, and as a result, the net asset value for shareholder transactions and the total return based on that net asset value may differ from the adjusted net assets and the total return for financial reporting.
**   The Adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages are based on total investments as of June 30, 2022. The portfolio allocation is subject to change.

Allocation to Europe ex-UK comprised approximately 39% of the Fund as of June 30, 2022. Within the context of the broader Portfolios, the Adviser believes that this is a defensive position and the exposure to renewable energy helps diversify against European Energy positions and provides a growth dynamic to the sector, while trading at reasonable valuations.

 

 

 
10         SIX CIRCLES TRUST   JUNE 30, 2022


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Allocation to Europe Financials was approximately 8% of the Fund as of June 30, 2022. The Adviser has conviction in this sector due to improved capital levels. Financials can directly benefit from higher inflation and rates through higher lending costs and better net interest margin.

Allocation to Europe Pharmaceuticals comprised approximately 14% of the Fund as of June 30, 2022 and provides what the Adviser believes to be a defensive exposure with attractive fundamentals and valuations, within the context of the broader Portfolios.

The Adviser believes that allocation to Europe ex-UK Utilities serves as a defensive position with exposure to renewable energy, which helps diversify against European Energy positions and provides a growth dynamic to the sector. This allocation was approximately 1% of the Fund as of June 30, 2022.

Allocation to Broad UK comprised approximately 8% of the Fund as of June 30, 2022. Within the context of the broader Portfolios, the Adviser believes that the allocation adds to a more cyclical European market that has clarity as COVID-19 subsides.

The Adviser believes that allocation to Europe Automobiles is expected to perform well as the economy recovers. The focus on electric vehicles is likely to be a tailwind. This allocation comprised approximately 5% of the Fund as of June 30, 2022.

Allocation to European Food Products was approximately 5% of the fund as of June 30, 2022 and serves as a defensive position, allowing the Adviser access to a concentrated index of high-quality European companies.

Allocation to Europe Industrials was approximately 4% of the Fund as of June 30, 2022. The Adviser believes that the Industrials sector is built on cyclical exposures that would benefit from economic recovery and growth.

The Adviser believes that the allocation to Japan Consumer Electronics provides exposure to high quality Japanese Equity exposure with evolving business models. The allocation was approximately 3% of the Fund as of June 30, 2022.

The Adviser believes that the allocation to Korea Technology Hardware, Storage and Peripherals provides exposure to a strong player within the global technology supply chain. The allocation was approximately 2% of the Fund as of June 30, 2022.

Allocation to Textile Luxury Goods was approximately 3% of the Fund as of June 30, 2022. The Adviser believes that the sector provides cyclical exposures in Europe that would benefit from economic recovery and growth.

Allocation to Europe Integrated Oil & Gas was approximately 3% of the Fund as of June 30, 2022. The Adviser believes that the sector provides exposure to a cyclical industry that will take advantage of the early cycle environment.

AVERAGE ANNUAL TOTAL RETURNS
AS OF JUNE 30, 2022

 
      6 Months*      1 Year     Since
Inception
(July 9, 2018)
 
Six Circles International Unconstrained Equity Fund      (19.37)%        (16.72 )%      (0.88 )% 

 

*

Not Annualized

GROWTH OF $10,000 REPORT (07/09/2018 TO 06/30/2022)

 

 

LOGO

 

LOGO

 

1) 

Presented percentages may not sum to 100% due to rounding to the nearest percent. Cash and mark-to-market value on derivatives contracts represent less than 0.5%. The above Sector allocation uses The Global Industry Classification Standard (GICS®) and may differ from categories listed within the Schedule of Investments.

The allocation of the various strategies employed by the Fund may shift and therefore, the performance shown may not be a true indication of how the Fund may perform going forward. Performance quoted is past performance and is no guarantee of future results. Investment returns and principal value will fluctuate, so shares, when sold, may be worth more or less than original cost. Current performance may be higher or lower than returns shown. As of the latest prospectus, the gross and net expense ratios for the Fund were 0.30% and 0.10% respectively. Contact your J.P. Morgan representative or call 1-212-464-2070 for the most recent month-end performance.

 

 

 
JUNE 30, 2022   SIX CIRCLES TRUST         11


Table of Contents

Six Circles International Unconstrained Equity Fund

FUND COMMENTARY

Period January 1, 2022 Through June 30, 2022 (Unaudited) (continued)

 

The Fund commenced operations on July 9, 2018.

The graph illustrates comparative performance for $10,000 invested in the Six Circles International Unconstrained Equity Fund and the MSCI World ex-USA Index from July 9, 2018 to June 30, 2022. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the MSCI World ex-USA Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable.

The MSCI World ex USA Index captures large and mid-cap representation across 22 of 23 Developed Markets (DM) countries—excluding the United States. With 887 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country. Investors cannot invest directly in an index.

The MSCI Emerging Markets Index captures large and mid cap representation across 24 Emerging Markets (EM) countries. With 1,380 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.

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

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

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

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

 

 

 
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Six Circles Global Bond Fund

FUND COMMENTARY

Period January 1, 2022 Through June 30, 2022 (Unaudited)

 

REPORTING PERIOD RETURN        
Fund*      (7.38)%  
Bloomberg Barclays Global-Aggregate Index - Hedged USD      (9.06)%  
Net Assets as of 06/30/2022 (In Thousands)    $ 7,210,111  
Duration      6.31 years  

 

INVESTMENT OBJECTIVES AND STRATEGY**

Six Circles Global Bond Fund (the “Fund”) seeks to provide total return. The Fund invests mainly in a global portfolio of investment grade fixed income securities with varying maturities across government, corporate, and securitized fixed income sectors. The Fund will also allocate across a number of different countries around the world.

INVESTMENT APPROACH

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

 

  BlackRock Investment Management, LLC (“BlackRock”)
  Pacific Investment Management Company LLC (“PIMCO”)
  PGIM, Inc. (“PGIM”)

The Adviser may adjust allocations to the Sub-Advisers at any time or make recommendations to the Board of Trustees of the Six Circles Trust (the “Board”) with respect to the hiring, termination or replacement of a Sub-Adviser. As such, the identity of the Fund’s Sub-Advisers, the investment strategies they pursue and the portion of the Fund allocated to them, may change over time.

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

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

During the period January 1, 2022 through June 30, 2022, (the “reporting period”) the Fund posted a negative return on an absolute basis, but outperformed relative to the Bloomberg Barclays Global- Aggregate Index – Hedged USD (the “Hedged Index”). References to the Index are for informational purposes. The use of the Index does not imply the Fund is being managed to the Index, but rather is disclosed to allow for

comparison of the Fund’s performance to that of a well-known and widely recognized index.

By sector composition, Government Bonds was the largest sector exposure in the Fund on a look-through basis and comprised approximately 49% of the Fund at the end of the reporting period, with the Fund being underweight this sector relative to the Index. Government Bonds detracted from the Fund’s performance on an absolute basis during the reporting period, but contributed relative to the index.

Emerging Market Debt comprised approximately 7% of the Fund’s exposure on a look-through basis at the end of the reporting period, with the Fund being underweight this sector relative to the Index. During the reporting period, exposure to Extended Credit detracted from the Fund’s performance on an absolute basis, but contributed relative to the index.

On the allocation level, the Fund’s allocation to China Treasury & Policy Bank was the largest contributor to the Fund’s return on an absolute basis during the reporting period, while Global Credit was the largest detractor.

HOW WAS THE FUND POSITIONED?

At the end of the reporting period, the Fund was allocated to eleven strategies across various sectors, credit ratings, maturity buckets, and regional exposures.

 

PORTFOLIO ALLOCATION***        
Asia Pacific Government ex China (BlackRock)      29
China Treasury & Policy Bank (BlackRock)      12  
Global Credit (PGIM)      10  
Global Securitized (PIMCO)      10  
Pan-European Government (BlackRock)      9  
U.S. Securitized (BlackRock)      8  
Pan-European Credit (BlackRock)      8  
U.S. Government (BlackRock)      7  
Global Government (PGIM)      5  
Pan European Securitized (BlackRock)      1  
U.S. Credit (BlackRock)      1  

 

*  

The return shown is based on the net asset value calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at June 30, 2022 for financial reporting purposes, and as a result, the net asset value for shareholder transactions and the total return based on that net asset value

 

 

 
JUNE 30, 2022   SIX CIRCLES TRUST         13


Table of Contents

Six Circles Global Bond Fund

FUND COMMENTARY

Period January 1, 2022 Through June 30, 2022 (Unaudited) (continued)

 

  may differ from the adjusted net assets and the total return for financial reporting.
**   The Adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages are based on total investments as of June 30, 2022. The portfolio allocation is subject to change.

Allocations to Asia Pacific Government ex-China and Pan-European Government comprised approximately 38% of the Fund as of June 30, 2022 and provide what the Adviser believes is a low tracking error, tactical way to allocate to government bonds within these regions.

Allocation to Global Credit and Pan European Credit comprised approximately 18% of the Fund as of June 30, 2022 and provides what the Adviser believes to be a full tracking error, flexible access point to a broad range of global corporate bonds across different regions, sectors, and credit qualities.

Allocation to Global Securitized and Pan European Securitized comprised approximately 11% of the Fund as of June 30, 2022 and provides what the Adviser believes to be full tracking error, flexible access to a broad range of securitized debt across different regions, sectors, and credit qualities.

The Adviser believes that the allocation to Global Government provides full tracking error access to a broad range of government bonds across different regions. The allocation was approximately 5% of the Fund as of June 30, 2022.

Allocations to U.S. Credit, U.S. Government and U.S. Securitized comprised approximately 16% of the Fund as of June 30, 2022. These allocations provide what the Adviser believes is a low tracking error, tactical way to allocate within these sectors.

Allocations to China Treasury & Policy Bank comprised approximately 12% of the Fund as of June 30, 2022. This exposure allows the portfolio to tactically allocate to Chinese government bonds.

 

AVERAGE ANNUAL TOTAL RETURNS
AS OF JUNE 30, 2022

 
      6 Months*      1 Year     Since
Inception
(May 19, 2020)
 
Six Circles Global Bond Fund      (7.38)%        (7.30 )%      (2.69)%  

 

*

Not Annualized

GROWTH OF $10,000 REPORT (05/19/2020 TO 06/30/2022)

 

 

LOGO

 

LOGO

 

1) 

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

2) 

1.95% of the amount shown in the Fund’s “Cash” line item reflects the mark-to-market value of the Funds derivative positions.

The allocation of the various strategies employed by the Fund may shift and therefore, the performance shown may not be a true indication of how the Fund may perform going forward. Performance quoted is past performance and is no guarantee of future results. Investment returns and principal value will fluctuate, so shares, when sold, may be worth more or less than original cost. Current performance may be higher or lower than returns shown. As of the latest prospectus, the gross and net expense ratios for the Fund were 0.30% and 0.11% respectively. Contact your J.P. Morgan representative or call 1-212-464-2070 for the most recent month-end performance.

The Fund commenced operations on May 19, 2020.

The graph illustrates comparative performance for $10,000 invested in the Six Circles Global Bond Fund and the Bloomberg Barclays Global-Aggregate Index - Hedged USD from May 19, 2020 to June 30, 2022. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg Barclays Global-Aggregate Index - Hedged USD does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable.

 

 

 
14         SIX CIRCLES TRUST   JUNE 30, 2022


Table of Contents

The Bloomberg Barclays Global Aggregate Index - Hedged USD provides a broad-based measure of the global investment grade fixed income markets. Investors cannot invest directly in an index.

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

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

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

 

 

 
JUNE 30, 2022   SIX CIRCLES TRUST         15


Table of Contents

Six Circles Tax Aware Bond Fund

FUND COMMENTARY

Period January 1, 2022 Through June 30, 2022 (Unaudited)

 

REPORTING PERIOD RETURN  
Fund*      (7.79)%  
Bloomberg Barclays 1-15 Year Municipal Bond Index      (6.80)%  
Net Assets as of 06/30/2022 (In Thousands)    $ 5,083,686  
Duration      5.41 years  

 

INVESTMENT OBJECTIVES AND STRATEGY**

Six Circles Tax Aware Bond Fund (the “Fund”) seeks to provide after-tax total return. The Fund invests at least 50% in municipal securities across varying maturity ranges, the income from which is exempt from federal income tax(a). The Fund also may invest in taxable instruments.

INVESTMENT APPROACH

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

 

  Allspring Global Investments, LLC (“Allspring”)
  BlackRock Investment Management, LLC (“BlackRock”)(b)
  Capital International Inc. (“Capital Group”)
  Nuveen Asset Management, LLC (“Nuveen”)

 

(b) 

During the reporting period, the Adviser did not allocate Fund assets to this Sub-Adviser.

The Adviser may adjust allocations to the Sub-Advisers at any time or make recommendations to the Board of Trustees of the Six Circles Trust (the “Board”) with respect to the hiring, termination or replacement of a Sub-Adviser. As such, the identity of the Fund’s Sub-Advisers, the investment strategies they pursue and the portion of the Fund allocated to them, may change over time.

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

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

During the period January 1, 2022 through June 30, 2022, (the “reporting period”), the Fund posted a negative return on an absolute basis, and underperformed relative to the Bloomberg Barclays 1-15 Year Municipal Bond Index (the “Index”). Refer-

ences to the Index are for informational purposes. The use of the Index does not imply the Fund is being managed to the Index, but rather is disclosed to allow for comparison of the Fund’s performance to that of a well-known and widely recognized index.

By sector composition, Municipal Bonds were the largest sector exposure in the Fund on a look-through basis and comprised approximately 93% of the Fund at the end of the reporting period. This sector detracted from the Fund’s performance on an absolute basis as well as relative to benchmark during the reporting period.

High Yield Municipal Bonds were approximately 1% of the Fund’s exposure on a look-through basis at the end of the reporting period, with the Fund being underweight this sector relative to the Index. During the reporting period, exposure to High Yield Municipal Bonds detracted from the Fund’s performance on an absolute basis, while contributing relative to the index.

On the allocation level, the full tracking error Municipal allocations managed by Nuveen was the largest detractor on an absolute basis during the reporting period.

HOW WAS THE FUND POSITIONED?

At the end of the reporting period, the Fund was allocated to five strategies across various sectors, credit ratings, maturity buckets, and regional exposures.

 

PORTFOLIO ALLOCATION***  
Municipals (Allspring)      38
Municipals (Nuveen)      38  
Short Duration Municipal (Capital Group)      11  
Intermediate Duration Municipal (Capital Group)      7  
Long Duration Municipal (Capital Group)      6  

 

*   The return shown is based on the net asset value calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at June 30, 2022 for financial reporting purposes, and as a result, the net asset value for shareholder transactions and the total return based on that net asset value may differ from the adjusted net assets and the total return for financial reporting.
**   The Adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
 

 

 
16         SIX CIRCLES TRUST   JUNE 30, 2022


Table of Contents
***   Percentages are based on total investments as of June 30, 2022. The portfolio allocation is subject to change.
(a)   Interest on Municipal securities is exempt from federal income tax however interest on certain bonds may be subject to the federal alternative minimum tax for individuals.

Allocations to Short Duration Municipal, Intermediate Duration Municipal and Long Duration Municipal comprised approximately 11%, 7% and 6% of the Fund, respectively, as of June 30, 2022. These allocations provide what the Adviser believes to be low tracking error, flexible access points to municipal debt within short and intermediate maturity ranges.

The Adviser believes that the allocations to Municipal strategies sub-advised by Nuveen and Allspring provide full tracking error, flexible access to a broad range of municipals across different sectors and credit qualities. Each of these allocations were approximately 38% of the Fund as of June 30, 2022.

 

AVERAGE ANNUAL TOTAL RETURNS
AS OF JUNE 30, 2022

 
      6 Months*     1 Year     Since
Inception
(May 19, 2020)
 
Six Circles Tax Aware Bond Fund      (7.79 )%      (7.56 )%      (1.01 )% 

 

*

Not Annualized

GROWTH OF $10,000 REPORT (05/19/2020 TO 06/30/2022)

 

 

LOGO

 

LOGO

 

1)

Presented percentages may not sum to 100% due to rounding to the nearest percent. The above Sector allocation uses The Global

  Industry Classification Standard (GICS®) and may differ from categories listed within the Schedule of Investments.

The allocation of the various strategies employed by the Fund may shift and therefore, the performance shown may not be a true indication of how the Fund may perform going forward. Performance quoted is past performance and is no guarantee of future results. Investment returns and principal value will fluctuate, so shares, when sold, may be worth more or less than original cost. Current performance may be higher or lower than returns shown. As of the latest prospectus, the gross and net expense ratios for the Fund were 0.28% and 0.13% respectively. Contact your J.P. Morgan representative or call 1-212-464-2070 for the most recent month-end performance.

The Fund commenced operations on May 19, 2020.

The graph illustrates comparative performance for $10,000 invested in the Six Circles Tax Aware Bond Fund and the Bloomberg Barclays 1-15 Year Municipal Bond Index from May 19, 2020 to June 30, 2022. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg Barclays 1-15 Year Municipal Bond Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable.

The Bloomberg Barclays 1-15 Year Municipal Bond Index consists of a broad selection of investment grade general obligation and revenue bonds of maturities ranging from one year to 17 years. Investors cannot invest directly in an index.

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

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

 

 

 
JUNE 30, 2022   SIX CIRCLES TRUST         17


Table of Contents

Six Circles Credit Opportunities Fund

FUND COMMENTARY

Period January 1, 2022 Through June 30, 2022 (Unaudited)

 

REPORTING PERIOD RETURN  
Fund*      (13.00)%  
Bloomberg Barclays U.S. Intermediate Corporate Bond Index      (8.97)%  
Net Assets as of 06/30/2022 (In Thousands)    $ 3,257,227  
Duration      3.52 years  

 

INVESTMENT OBJECTIVES AND STRATEGY**

Six Circles Credit Opportunities Fund (the “Fund”) seeks to provide total return. The Fund invests mainly in global fixed income opportunities, including below investment-grade debt, as well as other tactical credit opportunities.

INVESTMENT APPROACH

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

The Adviser currently engages the following Sub-Advisers:

 

  BlackRock Investment Management, LLC (“BlackRock”)
  BlueBay Asset Management LLP (“BlueBay”)(a)
  Federated Investment Management Company (“Federated”)(b)
  Lord Abbett & Co, LLC (“Lord Abbett”)
  Muzinich & Co., Inc. (“Muzinich”)(a)
  Pacific Investment Management Company LLC (“PIMCO”)
  PGIM, INC. (“PGIM”)

 

(a) 

During the reporting period, the Fund has not allocated assets to these Sub-Advisers

(b) 

During the reporting period, the he Adviser has reduced the portion of the Fund allocated to Federated to zero

The Adviser may adjust allocations to the Sub-Advisers at any time or make recommendations to the Board of Trustees of the Six Circles Trust (the “Board”) with respect to the hiring, termination or replacement of a Sub-Adviser. As such, the identity of the Fund’s Sub-Advisers, the investment strategies they pursue and the portion of the Fund allocated to them, may change over time.

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

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

During the period January 1, 2022 through June 30, 2022, (the “reporting period”) the Fund posted a negative return on an absolute basis, and underperformed relative to the Bloomberg Barclays U.S. Intermediate Corporate Bond Index (the “Index”). References to the Index are for informational purposes. The use of the Index does not imply the Fund is being managed to the Index, but rather is disclosed to allow for comparison of the Fund’s performance to that of a well-known and widely recognized index.

By sector composition, High Yield was the largest sector exposure in the Fund on a look-through basis and comprised approximately 65% of the Fund at the end of the reporting period. During the reporting period, this sector detracted from the Fund’s performance on an absolute basis and relative to the Index.

Investment Grade Corporate Bonds was the largest sector underweight, with approximately 4% of the Fund’s exposure on a look-through basis at the end of the reporting period. During the reporting period, exposure to Investment Grade Corporate Bonds detracted from the Fund’s performance on an absolute basis but contributed relative to the index.

On an allocation level, High Yield allocations managed by BlackRock and PGIM were the largest detractors on an absolute basis during the reporting period.

HOW WAS THE FUND POSITIONED?

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

 

PORTFOLIO ALLOCATION***  
High Yield (BlackRock)      34
High Yield (PGIM)      34  

Asia High Yield (PIMCO)

     25  

Short Duration (Lord Abbett)

     7  

 

*  

The return shown is based on the net asset value calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at June 30, 2022 for financial reporting purposes, and as a result, the net asset value for shareholder transactions and the total return based on that net asset value

 

 

 
18         SIX CIRCLES TRUST   JUNE 30, 2022


Table of Contents
  may differ from the adjusted net assets and the total return for financial reporting.
**   The Adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages are based on total investments as of June 30, 2022. The portfolio allocation is subject to change.

Allocations to High Yield managed by BlackRock comprised approximately 34% of the Fund as of June 30, 2022. The Adviser believes that the allocation provides flexibility in the portfolio construction process for adjusting credit quality and sector allocations in response to market movements.

Allocations to High Yield managed by PGIM comprised approximately 34% of the Fund as of June 30, 2022. This allocation provides what the Adviser believes to be a broader market exposure without large sector or credit rating bets.

Allocations to Short Duration managed by Lord Abbett comprised approximately 7% of the Fund as of June 30, 2022. The adviser believes that this allocation provides a higher quality, shorter duration exposure and consists of investment grade and securitized bonds.

The allocation to Asia High Yield managed by PIMCO comprised approximately 25% of the Fund as of June 30, 2022 and provides what the Adviser believes to be a more focused exposure to Asian Corporates issuing USD denominated bonds.

 

AVERAGE ANNUAL TOTAL RETURNS
AS OF JUNE 30, 2022

     6 Months*     1 Year     Since
Inception
(August 19, 2020)
 
Six Circles Credit Opportunities Fund     (13.00 )%      (11.96 )%      (3.44 )% 

 

*

Not Annualized

GROWTH OF $10,000 REPORT (08/19/2020 TO 06/30/2022)

 

 

LOGO

LOGO

 

1)

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

2) 

0.15% of the amount shown in the Fund’s “Cash” line item reflects the mark-to-market value of the Fund’s derivative positions.

The allocation of the various strategies employed by the Fund may shift and therefore, the performance shown may not be a true indication of how the Fund may perform going forward. Performance quoted is past performance and is no guarantee of future results. Investment returns and principal value will fluctuate, so shares, when sold, may be worth more or less than original cost. Current performance may be higher or lower than returns shown. As of the latest prospectus, the gross and net expense ratios for the Fund were 0.81% and 0.25% respectively. Contact your J.P. Morgan representative or call 1-212-464-2070 for the most recent month-end performance.

The Fund commenced operations on August 19, 2020.

The graph illustrates comparative performance for $10,000 invested in the Six Circles Credit Opportunities Fund and the Bloomberg Barclays U.S. Intermediate Corporate Bond Index from August 19, 2020 to June 30, 2022. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg Barclays U.S. Intermediate Corporate Bond Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable.

The Bloomberg Barclays U.S. Intermediate Corporate Total Return Bond Index measures the investment grade, fixed-rate, taxable corporate bond market whose maturity ranges between 1 to 9.9999 years. It includes USD denominated securities publicly issued by U.S. and non-U.S. industrial, utility and financial issuers. Investors cannot invest directly in an index.

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

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

 

 

 
JUNE 30, 2022   SIX CIRCLES TRUST         19


Table of Contents

Six Circles Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2022 (Unaudited)

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

(Amounts in thousands, except number of Futures contracts)

 

SECURITY DESCRIPTION   PRINCIPAL
AMOUNT($)
    VALUE($)  

Asset-Backed Securities — 14.1%

   

American Express Credit Account Master Trust, Series 2022-2, Class A, 3.39%, 05/15/2027

    1,200       1,199  

Anchorage Capital CLO Ltd., (Cayman Islands),

   

Series 2014-3RA, Class A, (ICE LIBOR USD 3 Month + 1.05%), 2.29%, 01/28/2031 (e) (aa)

    1,247       1,223  

Series 2015-7A, Class AR2, (ICE LIBOR USD 3 Month + 1.09%), 2.33%,
01/28/2031 (e) (aa)

    1,577       1,554  

Atlas Senior Loan Fund III Ltd., (Cayman Islands), Series 2013-1A, Class AR, (ICE LIBOR USD 3 Month + 0.83%), 2.27%,
11/17/2027 (e) (aa)

    226       224  

Atrium XII, (Cayman Islands), Series 12A, Class AR, (ICE LIBOR USD 3 Month + 0.83%), 1.97%, 04/22/2027 (e) (aa)

    847       833  

Autoflorence Srl, (Italy),

   

Series 2, Class A, Reg. S, (ICE LIBOR EUR 1 Month + 0.70%), 0.19%, 12/24/2044 (aa)

  EUR 777       810  

Series 2, Class B, Reg. S, (ICE LIBOR EUR 1 Month + 0.75%), 0.24%, 12/24/2044 (aa)

  EUR 161       167  

BA Credit Card Trust, Series 2021-A1, Class A1, 0.44%, 09/15/2026

    2,180       2,071  

Barings CLO Ltd., (Cayman Islands), Series 2019-3A, Class A1R, (ICE LIBOR USD 3 Month + 1.07%), 2.13%, 04/20/2031 (e) (aa)

    250       244  

Battalion CLO 18 Ltd., (Cayman Islands), Series 2020-18A, Class AR, (ICE LIBOR USD 3 Month + 1.20%), 2.24%, 10/15/2036 (e) (aa)

    1,000       969  

Benefit Street Partners CLO Ltd., (Cayman Islands), Series 2015-6BR, Class A, (ICE LIBOR USD 3 Month + 1.19%), 2.25%, 07/20/2034 (e) (aa)

    1,000       969  

Benefit Street Partners CLO VIII Ltd., (Cayman Islands), Series 2015-8A, Class A1AR, (ICE LIBOR USD 3 Month + 1.10%), 2.16%, 01/20/2031 (e) (aa)

    1,000       983  

BHG Securitization Trust, Series 2022-B, Class A, 3.75%, 06/18/2035 (e)

    142       141  

Birch Grove CLO Ltd., (Cayman Islands), Series 19A, Class AR, (ICE LIBOR USD 3 Month + 1.13%), 2.96%, 06/15/2031 (e) (aa)

    2,000       1,961  

BMW Canada Auto Trust, (Canada), Series 2022-1A, Class A1, 3.65%, 12/20/2024 (e)

  CAD  1,000       776  

BSPRT Issuer Ltd., (Cayman Islands), Series 2021-FL7, Class A, (ICE LIBOR USD 1 Month + 1.32%), 2.64%, 12/15/2038 (e) (aa)

    360       347  
SECURITY DESCRIPTION   PRINCIPAL
AMOUNT($)
    VALUE($)  
   

Burnham Park CLO Ltd., (Cayman Islands), Series 2016-1A, Class AR, (ICE LIBOR USD 3 Month + 1.15%), 2.21%, 10/20/2029 (e) (aa)

    491       487  

CarMax Auto Owner Trust,

   

Series 2021-2, Class A3, 0.52%, 02/17/2026

    1,060       1,029  

Series 2022-2, Class A2B, (United States 30 Day Average SOFR + 0.60%), 1.38%, 05/15/2025 (aa)

    1,046       1,044  

Chesapeake Funding II LLC,

   

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

    135       135  

Series 2020-1A, Class A2, (ICE LIBOR USD 1 Month + 0.65%), 1.97%, 08/15/2032 (e) (aa)

    515       513  

CIFC Funding Ltd., (Cayman Islands), Series 2014-5A, Class A1R2, (ICE LIBOR USD 3 Month + 1.20%), 2.24%, 10/17/2031 (e) (aa)

    1,000       981  

CIT Mortgage Loan Trust, Series 2007-1, Class 1A, (ICE LIBOR USD 1 Month + 1.35%), 2.97%, 10/25/2037 (e) (aa)

    185       184  

Credit Acceptance Auto Loan Trust, Series 2021-3A, Class A, 1.00%, 05/15/2030 (e)

    350       333  

DLLST LLC, Series 2022-1A, Class A1, 1.56%, 05/22/2023 (e)

    755       752  

Dowson plc, (United Kingdom),

   

Series 2021-2, Class A, Reg. S, (SONIA Interest Rate Benchmark + 0.68%), 1.62%, 10/20/2028 (aa)

  GBP 474       575  

Series 2021-2, Class B, Reg. S, (SONIA Interest Rate Benchmark + 1.20%), 2.14%, 10/20/2028 (aa)

  GBP 200       240  

Series 2022-1, Class A, Reg. S, (SONIA Interest Rate Benchmark + 0.92%), 1.86%, 01/20/2029 (aa)

  GBP 377       458  

Dryden 49 Senior Loan Fund, (Cayman Islands), Series 2017-49A, Class AR, (ICE LIBOR USD 3 Month + 0.95%), 1.99%, 07/18/2030 (e) (aa)

    1,500       1,475  

DT Auto Owner Trust, Series 2020-3A, Class A, 0.54%, 04/15/2024 (e)

    12       12  

ELFI Graduate Loan Program LLC, Series 2021-A, Class A, 1.53%, 12/26/2046 (e)

    891       809  

Enterprise Fleet Financing LLC, Series 2019-3, Class A2, 2.06%, 05/20/2025 (e)

    284       283  

FirstKey Homes Trust, Series 2020-SFR2, Class A, 1.27%, 10/19/2037 (e)

    794       733  

Ford Auto Securitization Trust, (Canada),

   

Series 2019-BA, Class A2, 2.32%, 10/15/2023 (e)

  CAD 23       18  

Series 2021-AA, Class A2, 1.16%, 10/15/2025 (e)

  CAD  1,300       981  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
20         SIX CIRCLES TRUST   JUNE 30, 2022


Table of Contents

 

 

SECURITY DESCRIPTION   PRINCIPAL
AMOUNT($)
    VALUE($)  

Asset-Backed Securities — continued

   

Ford Credit Auto Lease Trust, Series 2022-A, Class A2B, (United States 30 Day Average SOFR + 0.60%), 1.38%, 10/15/2024 (aa)

    714       713  

Ford Credit Auto Owner Trust,

   

Series 2019-B, Class A4, 2.24%, 10/15/2024

    320       319  

Series 2022-B, Class A2A, 3.44%, 02/15/2025

    2,633       2,633  

Ford Credit Floorplan Master Owner Trust A,

   

Series 2019-3, Class A2, (ICE LIBOR USD 1 Month + 0.60%), 1.92%, 09/15/2024 (aa)

    2,480       2,481  

Series 2020-1, Class A1, 0.70%, 09/15/2025

    1,400       1,351  

FS Rialto Issuer LLC, Series 2022-FL4, Class A, (United States 30 Day Average SOFR + 1.90%), 2.69%, 01/19/2039 (e) (aa)

    583       563  

Gilbert Park CLO Ltd., (Cayman Islands), Series 2017-1A, Class A, (ICE LIBOR USD 3 Month + 1.19%), 2.23%, 10/15/2030 (e) (aa)

    1,650       1,622  

GM Financial Automobile Leasing Trust, Series 2022-2, Class A2, 2.93%, 10/21/2024

    2,170       2,157  

GM Financial Consumer Automobile Receivables Trust,

   

Series 2019-3, Class A4, 2.21%, 11/18/2024

    175       174  

Series 2020-1, Class A3, 1.84%, 09/16/2024

    405       404  

GMF Canada Leasing Trust, (Canada), Series 2021-1A, Class A2, 0.64%, 03/20/2024 (e)

  CAD     570       440  

Hertz Vehicle Financing III LLC, Series 2022-3A, Class A, 3.37%, 03/25/2025 (e)

    100       98  

Honda Auto Receivables Owner Trust, Series 2019-3, Class A4, 1.85%, 08/15/2025

    245       244  

Hyundai Auto Receivables Trust, Series 2022-A, Class A2B, (United States 30 Day Average SOFR + 0.63%), 1.41%, 02/18/2025 (e) (aa)

    3,760       3,760  

ICG US CLO Ltd., (Cayman Islands), Series 2015-1A, Class A1R, (ICE LIBOR USD 3 Month + 1.14%), 2.18%, 10/19/2028 (e) (aa)

    776       765  

KREF Ltd., (Cayman Islands), Series 2022-FL3, Class A, (CME Term SOFR 1 Month + 1.45%), 2.96%, 02/17/2039 (e) (aa)

    1,310       1,266  

Madison Park Funding XXXIII Ltd., (Cayman Islands), Series 2019-33A, Class AR, (CME Term SOFR 3 Month + 1.29%), 2.14%, 10/15/2032 (e) (aa)

    250       244  

Master Credit Card Trust, (Canada), Series 2021-1A, Class A, 0.53%, 11/21/2025 (e)

    1,500       1,421  
SECURITY DESCRIPTION   PRINCIPAL
AMOUNT($)
    VALUE($)  
   

Navient Private Education Loan Trust, Series 2017-A, Class A2B, (ICE LIBOR USD 1 Month + 0.90%), 2.22%, 12/16/2058 (e) (aa)

    275       274  

Nelnet Student Loan Trust,

   

Series 2019-2A, Class A, (ICE LIBOR USD 1 Month + 0.90%), 2.52%, 06/27/2067 (e) (aa)

    959       949  

Series 2021-CA, Class AFL, (ICE LIBOR USD 1 Month + 0.74%), 2.34%, 04/20/2062 (e) (aa)

    585       571  

Neuberger Berman Loan Advisers CLO 26 Ltd., (Cayman Islands), Series 2017-26A, Class AR, (ICE LIBOR USD 3 Month + 0.92%), 1.96%, 10/18/2030 (e) (aa)

    1,900       1,866  

Nissan Auto Lease Trust, Series 2022-A, Class A2A, 3.45%, 08/15/2024

    3,880       3,878  

OHA Credit Funding 6 Ltd., (Cayman Islands), Series 2020-6A, Class AR, (ICE LIBOR USD 3 Month + 1.14%), 2.20%, 07/20/2034 (e) (aa)

    1,000       967  

OneMain Direct Auto Receivables Trust, Series 2022-1A, Class A2, (United States 30 Day Average SOFR + 1.60%), 0.00%, 03/14/2029 (e) (aa)

    835       831  

Oscar US Funding XI LLC, (Japan), Series 2019-2A, Class A4, 2.68%, 09/10/2026 (e)

    300       296  

Oscar US Funding XII LLC, (Japan), Series 2021-1A, Class A2, 0.40%, 03/11/2024 (e)

    566       563  

Oscar US Funding XIII LLC, Series 2021-2A, Class A2, 0.39%, 08/12/2024 (e)

    519       513  

OZLM XII Ltd., (Cayman Islands), Series 2015-12A, Class A1R, (ICE LIBOR USD 3 Month + 1.05%), 2.34%, 04/30/2027 (e) (aa)

    13       13  

Palmer Square CLO Ltd., (Cayman Islands), Series 2013-2A, Class A1A3, (ICE LIBOR USD 3 Month + 1.00%), 2.04%, 10/17/2031 (e) (aa)

    250       244  

Park Place Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-WCW2, Class M2, (ICE LIBOR USD 1 Month + 0.80%), 2.42%, 07/25/2035 (aa)

    745       737  

Pawneee Equipment Receivables Series LLC, Series 2021-1, Class A2, 1.10%, 07/15/2027 (e)

    1,000       959  

PCL Funding VI plc, (United Kingdom), Series 2022-1, Class A, Reg. S, (SONIA Interest Rate Benchmark + 1.40%), 0.00%, 07/15/2026 (w) (aa) (bb)

  GBP     723       880  

PRET LLC,

   

Series 2021-NPL3, Class A1, SUB, 1.87%, 07/25/2051 (e)

    734       660  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2022   SIX CIRCLES TRUST         21


Table of Contents

Six Circles Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2022 (Unaudited) (continued)

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

(Amounts in thousands, except number of Futures contracts)

 

SECURITY DESCRIPTION   PRINCIPAL
AMOUNT($)
    VALUE($)  

Asset-Backed Securities — continued

   

Series 2021-NPL6, Class A1, SUB, 2.49%, 07/25/2051 (e)

    574       537  

Pretium Mortgage Credit Partners LLC, Series 2021-RN1, Class A1, SUB, 1.99%, 02/25/2061 (e)

    274       257  

Prodigy Finance DAC, (Ireland), Series 2021-1A, Class A, (ICE LIBOR USD 1 Month + 1.25%), 2.87%, 07/25/2051 (e) (aa)

    150       148  

Red & Black Auto Germany, (Germany), Series 8, Class B, Reg. S, (ICE LIBOR EUR 1 Month + 0.75%), 0.21%, 09/15/2030 (aa)

  EUR 200       205  

Red & Black Auto Italy Srl, (Italy), Series 1, Class A, Reg. S, (ICE LIBOR EUR 1 Month + 0.70%), 0.15%, 12/28/2031 (aa)

  EUR  1,371       1,432  

Rockford Tower CLO Ltd., (Cayman Islands), Series 2017-3A, Class A, (ICE LIBOR USD 3 Month + 1.19%), 2.25%, 10/20/2030 (e) (aa)

    250       245  

RR 3 Ltd., (Cayman Islands), Series 2018-3A, Class A1R2, (ICE LIBOR USD 3 Month + 1.09%), 2.13%, 01/15/2030 (e) (aa)

    1,000       984  

Santander Drive Auto Receivables Trust, Series 2022-2, Class A2, 2.12%, 10/15/2026

    1,500       1,490  

SC Germany SA Compartment Consumer, (Luxembourg), Series 2020-1, Class C, Reg. S, (ICE LIBOR EUR 1 Month + 1.75%), 1.35%, 11/14/2034 (aa)

  EUR 358       372  

SLM Student Loan Trust, Series 2004-10, Class A7B, (ICE LIBOR USD 3 Month + 0.60%), 1.78%, 10/25/2029 (e) (aa)

    1,093       1,085  

SMB Private Education Loan Trust,

   

Series 2016-B, Class A2B, (ICE LIBOR USD 1 Month + 1.45%), 2.77%, 02/17/2032 (e) (aa)

    717       715  

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

    507       492  

Series 2017-A, Class A2B, (ICE LIBOR USD 1 Month + 0.90%), 2.22%, 09/15/2034 (e) (aa)

    1,060       1,055  

Series 2020-PTA, Class A2A, 1.60%, 09/15/2054 (e)

    514       468  

Series 2021-A, Class A2A1, (ICE LIBOR USD 1 Month + 0.73%), 2.05%, 01/15/2053 (e) (aa)

    2,345       2,279  

Series 2021-C, Class A1, (ICE LIBOR USD 1 Month + 0.40%), 1.72%, 01/15/2053 (e) (aa)

    142       142  

Series 2022-B, Class A1B, (United States 30 Day Average SOFR + 1.45%), 1.83%, 02/16/2055 (e) (aa)

    1,125       1,119  

SoFi Professional Loan Program LLC, Series 2016-C, Class A2B, 2.36%, 12/27/2032 (e)

    57       56  
SECURITY DESCRIPTION   PRINCIPAL
AMOUNT($)
    VALUE($)  
   

Symphony CLO XXIV Ltd., (Cayman Islands), Series 2020-24A, Class A, (ICE LIBOR USD 3 Month + 1.20%), 2.38%, 01/23/2032 (e) (aa)

    700       684  

TCI-Symphony CLO Ltd., (Cayman Islands), Series 2016-1A, Class AR2, (ICE LIBOR USD 3 Month + 1.02%), 2.04%, 10/13/2032 (e) (aa)

    265       259  

Towd Point Asset Trust, Series 2021-SL1, Class A2, (ICE LIBOR USD 1 Month + 0.70%), 2.31%, 11/20/2061 (e) (aa)

    231       227  

Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.35%, 05/25/2033 (e)

    1,500       1,396  

Venture XVIII CLO Ltd., (Cayman Islands), Series 2014-18A, Class AR, (ICE LIBOR USD 3 Month + 1.22%), 2.26%, 10/15/2029 (e) (aa)

    2,065       2,046  

Verizon Owner Trust, Series 2020-A, Class A1B, (ICE LIBOR USD 1 Month + 0.27%), 1.88%, 07/22/2024 (aa)

    283       283  

Volkswagen Auto Lease Trust, Series 2022-A, Class A2, 3.02%, 10/21/2024

    3,014       3,001  

Voya CLO Ltd., (Cayman Islands), Series 2018-3A, Class A1A, (ICE LIBOR USD 3 Month + 1.15%), 2.19%, 10/15/2031 (e) (aa)

    1,150       1,128  

VOYA CLO, (Cayman Islands), Series 2017-2A, Class A1R, (ICE LIBOR USD 3 Month + 0.98%), 2.02%, 06/07/2030 (e) (aa)

    270       266  

Westlake Automobile Receivables Trust, Series 2021-3A, Class A3, 0.95%, 06/16/2025 (e)

    1,460       1,415  

Wind River CLO Ltd., (Cayman Islands), Series 2013-1A, Class A1RR, (ICE LIBOR USD 3 Month + 0.98%), 2.04%, 07/20/2030 (e) (aa)

    250       246  
   

 

 

 

Total Asset-Backed Securities
(Cost $86,490)

      84,401  
   

 

 

 

Certificates of Deposit — 3.0%

 

Financial — 3.0%

 

Banks — 3.0%

 

Canadian Imperial Bank of Commerce, (Canada), 1.35%, 02/13/2023

    3,000       2,965  

Credit Suisse AG, (Switzerland),
0.50%, 10/28/2022

    1,400       1,391  

(SOFR Compounded Index + 0.43%), 1.94%, 10/28/2022 (aa)

    4,500       4,502  

Goldman Sachs Bank USA, (United States SOFR + 0.24%), 1.46%, 02/13/2023 (aa)

    2,000       1,997  

MUFG Bank Ltd., (Japan),

   

(United States SOFR + 0.30%), 1.81%, 03/10/2023 (aa)

    3,000       2,995  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
22         SIX CIRCLES TRUST   JUNE 30, 2022


Table of Contents

 

 

SECURITY DESCRIPTION   PRINCIPAL
AMOUNT($)
    VALUE($)  

Certificates of Deposit — continued

 

Banks — continued

 

(United States SOFR + 0.30%), 1.81%, 03/13/2023 (aa)

    3,000       2,995  

Standard Chartered Bank, (United Kingdom), (United States SOFR + 0.42%), 1.93%, 07/28/2023 (aa)

    1,300       1,297  
   

 

 

 

Total Financial

      18,142  
   

 

 

 

Total Certificates of Deposit
(Cost $18,200)

      18,142  
   

 

 

 

Collateralized Mortgage Obligations — 3.8%

 

Brass NO 8 plc, (United Kingdom), Series 8A, Class A1, (ICE LIBOR USD 3 Month + 0.70%), 2.11%, 11/16/2066 (e) (aa)

    71       71  

Canterbury Finance NO 1 plc, (United Kingdom), Series 1, Class A2, Reg. S, (SONIA Interest Rate Benchmark + 1.35%), 1.95%, 05/16/2056 (aa)

  GBP     746       908  

Cheshire plc, (United Kingdom), Series 2020-1, Class A, Reg. S, (SONIA Interest Rate Benchmark + 0.90%), 1.53%, 08/20/2045 (aa)

  GBP 522       631  

CSMC Trust, Series 2021-RPL4, Class A1, 1.80%, 12/27/2060 (e) (z)

    338       318  

Dutch Property Finance BV, (Netherlands), Series 2022-1, Class A, Reg. S, (ICE LIBOR EUR 3 Month + 0.75%), 0.32%, 10/28/2059 (aa)

  EUR 862       892  

Finsbury Square plc, (United Kingdom),

   

Series 2019-3, Class A, Reg. S, (SONIA Interest Rate Benchmark + 1.01%), 1.77%, 12/16/2069 (aa)

  GBP 115       139  

Series 2020-2A, Class A, (SONIA Interest Rate Benchmark + 1.30%), 2.06%, 06/16/2070 (e) (aa)

  GBP 281       342  

FNMA REMICS,

   

Series 2020-29, Class FC, (ICE LIBOR USD 1 Month + 0.80%), 1.60%, 05/25/2050 (aa)

    1,737       1,751  

Series 2022-8, Class D, 2.00%, 08/25/2038

    1,644       1,567  

GCAT LLC, Series 2020-3, Class A1, SUB, 2.98%, 09/25/2025 (e)

    677       665  

GNMA,

   

Series 2015-H04, Class FA, (ICE LIBOR USD 1 Month + 0.65%), 1.45%, 12/20/2064 (aa)

    1,264       1,252  

Series 2017-121, Class PE, 3.00%, 07/20/2046

    194       191  

Series 2018-H18, Class FC, (ICE LIBOR USD 1 Month + 0.35%), 1.15%, 08/20/2065 (aa)

    1,643       1,629  

Series 2019-54, Class KF, (ICE LIBOR USD 1 Month + 0.42%), 1.48%, 05/20/2044 (aa)

    414       411  
SECURITY DESCRIPTION   PRINCIPAL
AMOUNT($)
    VALUE($)  
   

Series 2021-H09, Class FG, (United States 30 Day Average SOFR + 1.50%), 2.27%, 06/20/2071 (aa)

    1,506       1,560  

Series 2022-5, Class FA, (United States 30 Day Average SOFR + 0.30%), 1.07%, 01/20/2052 (aa)

    982       918  

Series 2022-H01, Class FA, (United States 30 Day Average SOFR + 0.35%), 1.12%, 01/20/2072 (aa)

    686       666  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-RPL1, Class A1, 1.75%, 12/25/2060 (e) (z)

    358       340  

Legacy Mortgage Asset Trust, Series 2021-GS3, Class A1, SUB, 1.75%, 07/25/2061 (e)

    1,311       1,206  

London Wall Mortgage Capital plc, (United Kingdom), Series 2017-FL1, Class A, Reg. S, (SONIA Interest Rate Benchmark + 0.97%), 1.57%, 11/15/2049 (aa)

  GBP 23       28  

MFA Trust, Series 2021-RPL1, Class A1, 1.13%, 07/25/2060 (e) (z)

    418       386  

New Residential Mortgage Loan Trust,

   

Series 2018-3A, Class A1, 4.50%, 05/25/2058 (e) (z)

    128       128  

Series 2019-NQM5, Class A1, 2.71%, 11/25/2059 (e) (z)

    342       324  

Series 2021-NQ2R, Class A1, 0.94%, 10/25/2058 (e) (z)

    706       680  

Resimac Bastille Trust Series, (Australia), Series 2021-2NCA, Class A1A, (ICE LIBOR USD 1 Month + 0.65%), 1.45%, 02/03/2053 (e) (aa)

    404       401  

Sage AR Funding No 1 plc, (United Kingdom), Series 1A, Class A, (SONIA Interest Rate Benchmark + 1.25%), 1.86%, 11/17/2030 (e) (aa)

  GBP     800       956  

Silverstone Master Issuer plc, (United Kingdom),

   

Series 2022-1A, Class 1A, (United States SOFR + 0.38%), 0.51%, 01/21/2070 (e) (aa)

    700       695  

Series 2022-1X, Class 2A, Reg. S, (SONIA Interest Rate Benchmark + 0.29%), 0.79%, 01/21/2070 (aa)

  GBP 550       659  

Starwood Mortgage Residential Trust,

   

Series 2020-3, Class A1, 1.49%, 04/25/2065 (e) (z)

    257       250  

Series 2020-INV1, Class A1, 1.03%, 11/25/2055 (e) (z)

    152       148  

Series 2021-2, Class A1, 0.94%, 05/25/2065 (e) (z)

    353       336  

Stratton Mortgage Funding, (United Kingdom), Series 2021-2A, Class A, (SONIA Interest Rate Benchmark + 0.90%), 1.36%, 07/20/2060 (e) (aa)

  GBP 161       195  

Towd Point Mortgage Funding, (United Kingdom), Series 2019-A13A, Class A1, (SONIA Interest Rate Benchmark + 0.90%), 1.36%, 07/20/2045 (e) (aa)

  GBP 674       820  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2022   SIX CIRCLES TRUST         23


Table of Contents

Six Circles Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2022 (Unaudited) (continued)

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

(Amounts in thousands, except number of Futures contracts)

 

SECURITY DESCRIPTION   PRINCIPAL
AMOUNT($)
    VALUE($)  

Collateralized Mortgage Obligations — continued

 

Towd Point Mortgage Trust, Series 2019-HY2, Class A1, (ICE LIBOR USD 1 Month + 1.00%), 2.62%, 05/25/2058 (e) (aa)

    369       364  

Vita Scientia DAC, (Ireland), Series 2022-1X, Class A, Reg. S, (ICE LIBOR EUR 3 Month + 1.30%), 1.30%, 02/27/2033 (aa)

  EUR  1,000       1,025  
   

 

 

 

Total Collateralized Mortgage Obligations
(Cost $23,910)

      22,852  
   

 

 

 

Commercial Mortgage-Backed Securities — 5.7%

 

280 Park Avenue Mortgage Trust, Series 2017-280P, Class A, (ICE LIBOR USD 1 Month + 0.88%), 2.07%, 09/15/2034 (e) (aa)

    500       490  

AREIT Trust, Series 2019-CRE3, Class A, (CME Term SOFR 1 Month + 1.38%), 2.72%, 09/14/2036 (e) (aa)

    106       105  

AREIT Trust, (Cayman Islands),

   

Series 2021-CRE5, Class A, (ICE LIBOR USD 1 Month + 1.08%), 2.60%, 11/17/2038 (e) (aa)

    662       639  

Series 2022-CRE6, Class A, (United States 30 Day Average SOFR + 1.25%), 2.02%, 01/16/2037 (e) (aa)

    1,000       960  

Ashford Hospitality Trust, Series 2018-KEYS, Class A, (ICE LIBOR USD 1 Month + 1.00%), 2.33%, 06/15/2035 (e) (aa)

    500       484  

BAMLL Commercial Mortgage Securities Trust, Series 2019-RLJ, Class A, (ICE LIBOR USD 1 Month + 1.05%), 2.37%, 04/15/2036 (e) (aa)

    400       392  

BWAY Mortgage Trust, Series 2021-1450, Class A, (ICE LIBOR USD 1 Month + 1.25%), 2.57%, 09/15/2036 (e) (aa)

    500       480  

BX Commercial Mortgage Trust,

   

Series 2021-XL2, Class A, (ICE LIBOR USD 1 Month + 0.69%), 2.01%, 10/15/2038 (e) (aa)

    723       689  

Series 2022-LP2, Class A, (CME Term SOFR 1 Month + 1.01%), 2.35%, 02/15/2039 (e) (aa)

    934       896  

BX Trust, Series 2022-IND, Class A, (CME Term SOFR 1 Month + 1.49%), 2.82%, 04/15/2037 (e) (aa)

    950       925  

CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class A, (ICE LIBOR USD 1 Month + 1.07%), 2.39%, 12/15/2037 (e) (aa)

    765       751  

CEDR Commercial Mortgage Trust, Series 2022-SNAI, Class A, (CME Term SOFR 1 Month + 0.99%), 2.27%, 02/15/2039 (e) (aa)

    530       505  

CFCRE Commercial Mortgage Trust, Series 2016-C4, Class ASB, 3.09%, 05/10/2058

    919       908  
SECURITY DESCRIPTION   PRINCIPAL
AMOUNT($)
    VALUE($)  
   

Citigroup Commercial Mortgage Trust,

   

Series 2013-GC15, Class A4, 4.37%, 09/10/2046 (z)

    1,000       999  

Series 2021-KEYS, Class A, (ICE LIBOR USD 1 Month + 1.18%), 2.50%, 10/15/2036 (e) (aa)

    900       889  

Cold Storage Trust, Series 2020-ICE5, Class A, (ICE LIBOR USD 1 Month + 0.90%), 2.22%, 11/15/2037 (e) (aa)

    870       848  

COMM, Series 2013-GAM, Class A2, 3.37%, 02/10/2028 (e)

    1,235       1,217  

COMM Mortgage Trust,

   

Series 2013-CR8, Class A5, 3.61%, 06/10/2046 (z)

    418       416  

Series 2013-CR11, Class A4, 4.26%, 08/10/2050

    750       752  

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

    657       654  

Series 2014-UBS3, Class A4, 3.82%, 06/10/2047

    1,600       1,589  

Series 2015-CR23, Class A2, 2.85%, 05/10/2048

    428       427  

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

    283       281  

Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class A, (ICE LIBOR USD 1 Month + 0.98%), 2.30%, 05/15/2036 (e) (aa)

    590       580  

CSMC, Series 2021-BHAR, Class A, (ICE LIBOR USD 1 Month + 1.15%), 2.48%, 11/15/2038 (e) (aa)

    974       942  

DBGS Mortgage Trust, Series 2018-BIOD, Class A, (ICE LIBOR USD 1 Month + 0.80%), 1.99%, 05/15/2035 (e) (aa)

    1,188       1,171  

GS Mortgage Securities Corp. Trust, Series 2021-STAR, Class A, (ICE LIBOR USD 1 Month + 0.95%), 2.27%, 12/15/2036 (e) (aa)

    690       663  

GS Mortgage Securities Trust,

   

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

    716       714  

Series 2013-GC16, Class A4, 4.27%, 11/10/2046

    1,000       998  

J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2018-AON, Class A, 4.13%, 07/05/2031 (e)

    1,000       984  

Life Mortgage Trust, Series 2021-BMR, Class A, (ICE LIBOR USD 1 Month + 0.70%), 2.02%, 03/15/2038 (e) (aa)

    295       285  

MF1X,

   

Series 2021-W10, Class A, (CME Term SOFR 1 Month + 1.07%), 2.35%, 12/15/2034 (e) (aa)

    1,130       1,129  

Series 2021-W10, Class B, (CME Term SOFR 1 Month + 1.37%), 2.65%, 12/15/2034 (e) (aa)

    120       120  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
24         SIX CIRCLES TRUST   JUNE 30, 2022


Table of Contents

 

 

SECURITY DESCRIPTION   PRINCIPAL
AMOUNT($)
    VALUE($)  

Commercial Mortgage-Backed Securities — continued

MHC Commercial Mortgage Trust, Series 2021-MHC, Class A, (ICE LIBOR USD 1 Month + 0.80%), 2.12%, 04/15/2038 (e) (aa)

    1,135       1,106  

Morgan Stanley Bank of America Merrill Lynch Trust,

   

Series 2013-C10, Class ASB, 3.91%, 07/15/2046 (z)

    60       60  

Series 2013-C11, Class AAB, 3.85%, 08/15/2046

    256       255  

Morgan Stanley Capital I Trust, Series 2019-PLND, Class A, (ICE LIBOR USD 1 Month + 1.00%), 2.32%, 05/15/2036 (e) (aa)

    700       673  

MTN Commercial Mortgage Trust, Series 2022-LPFL, Class A, (CME Term SOFR 1 Month + 1.40%), 2.68%, 03/15/2039 (e) (aa)

    1,100       1,080  

Natixis Commercial Mortgage Securities Trust, Series 2022-RRI, Class A, (CME Term SOFR 1 Month + 1.82%), 3.10%, 03/15/2035 (e) (aa)

    900       880  

SREIT Trust, Series 2021-IND, Class A, (ICE LIBOR USD 1 Month + 0.70%), 2.02%, 10/15/2038 (e) (aa)

    900       855  

TPGI Trust, Series 2021-DGWD, Class A, (ICE LIBOR USD 1 Month + 0.70%), 2.02%, 06/15/2026 (e) (aa)

    1,360       1,299  

Wells Fargo Commercial Mortgage Trust,

   

Series 2013-LC12, Class A3FL, (ICE LIBOR USD 1 Month + 1.05%), 2.57%, 07/15/2046 (e) (aa)

    728       728  

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

    347       341  

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

    7       7  

WFRBS Commercial Mortgage Trust,

   

Series 2012-C9, Class A3, 2.87%, 11/15/2045

    926       924  

Series 2013-C11, Class A5, 3.07%, 03/15/2045

    876       872  

Series 2013-C12, Class ASB, 2.84%, 03/15/2048

    265       264  

Series 2013-C18, Class A5, 4.16%, 12/15/2046 (z)

    1,250       1,246  
   

 

 

 

Total Commercial Mortgage-Backed Securities
(Cost $35,677)

 

    34,472  
   

 

 

 

Corporate Bonds — 55.1%

 

Basic Materials — 1.0%

 

Chemicals — 1.0%

 

DuPont de Nemours, Inc.,

   

(ICE LIBOR USD 3 Month + 1.11%), 2.52%, 11/15/2023 (aa)

    1,500       1,507  

4.21%, 11/15/2023

    2,000       2,013  
SECURITY DESCRIPTION   PRINCIPAL
AMOUNT($)
    VALUE($)  

Chemicals — continued

International Flavors & Fragrances, Inc., 0.70%, 09/15/2022 (e)

    2,400       2,389  
   

 

 

 

Total Basic Materials

      5,909  
   

 

 

 

Communications — 4.1%

   

Internet — 0.1%

 

SK Broadband Co. Ltd., (South Korea), Reg. S, 3.88%, 08/13/2023

    400       401  
   

 

 

 

Media — 0.9%

   

Charter Communications Operating LLC / Charter Communications Operating Capital, (ICE LIBOR USD 3 Month + 1.65%), 2.94%, 02/01/2024 (aa)

    4,000       4,031  

Discovery Communications LLC, 2.95%, 03/20/2023

    1,500       1,490  
   

 

 

 
      5,521  
   

 

 

 

Telecommunications — 3.1%

   

AT&T, Inc.,

   

(SOFR Compounded Index + 0.64%), 2.15%, 03/25/2024 (aa)

    3,750       3,715  

(ICE LIBOR USD 3 Month + 1.18%), 2.90%, 06/12/2024 (aa)

    4,000       4,012  

Reg. S, (BBSW ASX Australian 3 Month + 1.25%), 3.11%, 09/19/2023 (aa)

  AUD 720       499  

SES SA, (Luxembourg), 3.60%, 04/04/2023 (e)

    1,300       1,282  

SK Telecom Co. Ltd., (South Korea), Reg. S, 3.75%, 04/16/2023

    400       401  

Verizon Communications, Inc.,

   

(SOFR Compounded Index + 0.50%), 2.01%, 03/22/2024 (aa)

    5,000       4,939  

Reg. S, (BBSW ASX Australian 3 Month + 1.22%), 2.24%, 02/17/2023 (aa)

  AUD 2,400       1,659  

(ICE LIBOR USD 3 Month + 1.10%), 2.51%, 05/15/2025 (aa)

    200       199  

Vodafone Group plc, (United Kingdom), Reg. S, (BBSW ASX Australian 3 Month + 1.05%), 2.67%, 12/13/2022 (aa)

  AUD  2,580       1,783  
   

 

 

 
      18,489  
   

 

 

 

Total Communications

      24,411  
   

 

 

 

Consumer Cyclical — 8.0%

   

Auto Manufacturers — 7.4%

 

BMW Finance NV, (Netherlands), 2.25%, 08/12/2022 (e)

    1,100       1,100  

BMW US Capital LLC,

   

(SOFR Compounded Index + 0.38%), 1.59%, 08/12/2024 (e) (aa)

    2,130       2,101  

(SOFR Compounded Index + 0.84%), 2.35%, 04/01/2025 (e) (aa)

    1,100       1,090  

Daimler Finance North America LLC,

   

1.75%, 03/10/2023 (e)

    1,800       1,778  

2.55%, 08/15/2022 (e)

    3,250       3,251  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2022   SIX CIRCLES TRUST         25


Table of Contents

Six Circles Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2022 (Unaudited) (continued)

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

(Amounts in thousands, except number of Futures contracts)

 

SECURITY DESCRIPTION   PRINCIPAL
AMOUNT($)
    VALUE($)  

Corporate Bonds — continued

 

Auto Manufacturers — continued

 

General Motors Financial Co., Inc.,

   

1.05%, 03/08/2024

    1,350       1,281  

(United States SOFR + 0.76%), 2.18%, 03/08/2024 (aa)

    1,000       971  

3.25%, 01/05/2023

    700       699  

3.55%, 07/08/2022

    4,750       4,750  

3.70%, 05/09/2023

    1,200       1,200  

4.15%, 06/19/2023

    500       500  

Hyundai Capital America,

   

0.80%, 04/03/2023 (e)

    2,790       2,723  

1.00%, 09/17/2024 (e)

    725       673  

Reg. S, 4.13%, 06/08/2023

    300       300  

Nissan Motor Acceptance Co. LLC,

   

1.05%, 03/08/2024 (e)

    1,170       1,098  

(ICE LIBOR USD 3 Month + 0.65%), 1.67%, 07/13/2022 (e) (aa)

    600       600  

(ICE LIBOR USD 3 Month + 0.64%), 2.31%, 03/08/2024 (e) (aa)

    3,375       3,292  

(ICE LIBOR USD 3 Month + 0.69%), 2.92%, 09/28/2022 (e) (aa)

    1,800       1,794  

3.88%, 09/21/2023 (e)

    1,000       994  

Stellantis NV, (Netherlands), 5.25%, 04/15/2023

    2,000       2,014  

Toyota Motor Credit Corp., (SOFR Compounded Index + 0.65%), 2.16%, 12/29/2023 (aa)

    2,100       2,100  

Volkswagen Group of America Finance LLC,
0.75%, 11/23/2022 (e)

    6,000       5,952  

0.88%, 11/22/2023 (e)

    1,800       1,725  

2.70%, 09/26/2022 (e)

    200       200  

4.25%, 11/13/2023 (e)

    2,090       2,091  
   

 

 

 
      44,277  
   

 

 

 

Home Builders — 0.1%

   

Lennar Corp., 4.50%, 04/30/2024

    500       499  
   

 

 

 

Retail — 0.5%

 

7-Eleven, Inc.,

   

0.63%, 02/10/2023 (e)

    1,700       1,667  

0.80%, 02/10/2024 (e)

    1,400       1,328  
   

 

 

 
      2,995  
   

 

 

 

Total Consumer Cyclical

      47,771  
   

 

 

 

Consumer Non-cyclical — 6.9%

 

Agriculture — 0.6%

 

BAT Capital Corp.,

   

(ICE LIBOR USD 3 Month + 0.88%), 2.29%, 08/15/2022 (aa)

    3,200       3,198  

2.76%, 08/15/2022

    271       270  
   

 

 

 
      3,468  
   

 

 

 

Beverages — 0.1%

   

JDE Peet’s NV, (Netherlands), 0.80%, 09/24/2024 (e)

    400       372  
   

 

 

 

Biotechnology — 0.4%

   

Gilead Sciences, Inc., 0.75%, 09/29/2023

    2,625       2,541  
   

 

 

 
SECURITY DESCRIPTION   PRINCIPAL
AMOUNT($)
    VALUE($)  
   

Commercial Services — 0.1%

   

Transurban Queensland Finance Pty Ltd., (Australia), Reg. S, (BBSW ASX Australian 3 Month + 2.05%), 3.79%, 12/16/2024 (aa)

  AUD     700       494  
   

 

 

 

Food — 1.0%

   

General Mills, Inc.,

   

(ICE LIBOR USD 3 Month + 1.01%), 2.05%, 10/17/2023 (aa)

    1,797       1,801  

2.60%, 10/12/2022

    915       915  

6.41%, 10/15/2022

    500       505  

Kroger Co. (The), 2.80%, 08/01/2022

    3,000       3,000  
   

 

 

 
      6,221  
   

 

 

 

Healthcare — Products — 0.6%

   

Stryker Corp., 0.60%, 12/01/2023

    1,330       1,276  

Thermo Fisher Scientific, Inc.,
0.80%, 10/18/2023

    1,100       1,067  

(SOFR Compounded Index + 0.53%), 1.40%, 10/18/2024 (aa)

    1,285       1,271  
   

 

 

 
      3,614  
   

 

 

 

Healthcare — Services — 0.9%

   

Elevance Health, Inc., 2.95%, 12/01/2022

    1,906       1,905  

HCA, Inc., 5.00%, 03/15/2024

    800       805  

Humana, Inc., 0.65%, 08/03/2023

    3,040       2,942  
   

 

 

 
      5,652  
   

 

 

 

Pharmaceuticals — 3.2%

   

AbbVie, Inc., 2.90%, 11/06/2022

    9,500       9,499  

Bayer US Finance II LLC,

   

(ICE LIBOR USD 3 Month + 1.01%), 2.84%, 12/15/2023 (e) (aa)

    2,700       2,685  

3.88%, 12/15/2023 (e)

    5,195       5,187  

Shire Acquisitions Investments Ireland DAC, (Ireland), 2.88%, 09/23/2023

    796       788  

Takeda Pharmaceutical Co. Ltd., (Japan), 4.40%, 11/26/2023

    1,000       1,008  
   

 

 

 
      19,167  
   

 

 

 

Total Consumer Non-cyclical

      41,529  
   

 

 

 

Diversified — 0.3%

   

Holding Companies—Diversified — 0.3%

   

Hutchison Whampoa International 12 II Ltd., (Cayman Islands), Reg. S, 3.25%, 11/08/2022

    1,700       1,702  
   

 

 

 

Energy — 1.3%

   

Oil & Gas — 0.7%

   

Phillips 66, 0.90%, 02/15/2024

    1,800       1,715  

Saudi Arabian Oil Co., (Saudi Arabia), Reg. S, 2.88%, 04/16/2024

    1,500       1,471  

Woodside Finance Ltd., (Australia), Reg. S, 3.70%, 09/15/2026

    1,000       965  
   

 

 

 
      4,151  
   

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
26         SIX CIRCLES TRUST   JUNE 30, 2022


Table of Contents

 

 

SECURITY DESCRIPTION   PRINCIPAL
AMOUNT($)
    VALUE($)  

Corporate Bonds — continued

 

Pipelines — 0.6%

   

Enbridge, Inc., (Canada),
0.55%, 10/04/2023

    220       212  

(United States SOFR + 0.40%), 1.64%, 02/17/2023 (aa)

    375       373  

2.15%, 02/16/2024

    720       699  

4.00%, 10/01/2023

    1,750       1,758  

Kinder Morgan, Inc., 3.15%, 01/15/2023

    569       568  

Sabine Pass Liquefaction LLC, 5.63%, 04/15/2023

    200       202  
   

 

 

 
      3,812  
   

 

 

 

Total Energy

      7,963  
   

 

 

 

Financial — 24.6%

   

Banks — 20.3%

   

ADCB Finance Cayman Ltd., (Cayman Islands), (BBSW ASX Australian 3 Month + 1.38%), 1.91%, 10/25/2022 (aa)

  AUD  2,400       1,659  

Aozora Bank Ltd., (Japan), Reg. S, 1.05%, 09/09/2024

    1,000       934  

Banco Bilbao Vizcaya Argentaria SA, (Spain), 0.88%, 09/18/2023

    800       772  

Banco Santander SA, (Spain),

   

(CMT Index 1 Year + 0.45%), 0.70%, 06/30/2024 (aa)

    1,200       1,157  

3.85%, 04/12/2023

    3,400       3,393  

Bank of America Corp.,

   

(United States SOFR + 0.67%), 1.84%, 02/04/2025 (aa)

    1,490       1,436  

(ICE LIBOR USD 3 Month + 0.79%), 3.00%, 12/20/2023 (aa)

    9,366       9,337  

(ICE LIBOR USD 3 Month + 0.78%), 3.55%, 03/05/2024 (aa)

    1,100       1,097  

(ICE LIBOR USD 3 Month + 0.94%), 3.86%, 07/23/2024 (aa)

    1,000       997  

Barclays plc, (United Kingdom),

   

(ICE LIBOR USD 3 Month + 1.38%), 2.79%, 05/16/2024 (aa)

    4,400       4,398  

Reg. S, (BBSW ASX Australian 3 Month + 1.80%), 3.51%, 06/15/2023 (aa)

  AUD 1,000       694  

BNP Paribas SA, (France), Reg. S, (BBSW ASX Australian 3 Month + 1.75%), 3.49%, 12/16/2022 (aa)

  AUD 500       347  

BPCE SA, (France), 4.00%, 04/15/2024

    700       699  

Canadian Imperial Bank of Commerce, (Canada), 0.45%, 06/22/2023

    2,200       2,132  

Citigroup, Inc.,

   

(United States SOFR + 1.67%), 1.68%, 05/15/2024 (aa)

    6,480       6,353  

(ICE LIBOR USD 3 Month + 0.95%), 2.13%, 07/24/2023 (aa)

    700       698  

(BBSW ASX Australian 3 Month + 1.72%), 2.25%, 10/27/2023 (aa)

  AUD 1,000       696  

(United States SOFR + 1.37%), 2.66%, 05/24/2025 (aa)

    2,000       1,984  
SECURITY DESCRIPTION   PRINCIPAL
AMOUNT($)
    VALUE($)  
   

Banks — continued

   

(ICE LIBOR USD 3 Month + 0.95%), 2.88%, 07/24/2023 (aa)

    295       295  

Credit Suisse AG, (Switzerland),
0.52%, 08/09/2023

    4,200       4,054  

(BBSW ASX Australian 3 Month + 1.15%), 2.24%, 05/26/2023 (aa)

  AUD 2,500       1,727  

Credit Suisse Group AG, (Switzerland), 3.80%, 06/09/2023

    1,000       992  

Credit Suisse Group Funding Guernsey Ltd., (Guernsey), 3.80%, 09/15/2022

    2,734       2,736  

Danske Bank A/S, (Denmark),

   

Reg. S, (ICE LIBOR USD 3 Month + 1.06%), 2.78%, 09/12/2023 (aa)

    500       500  

Reg. S, 5.38%, 01/12/2024

    1,200       1,212  

Deutsche Bank AG, (Germany), 3.95%, 02/27/2023

    1,500       1,497  

DNB Bank ASA, (Norway), (SOFR Compounded Index + 0.83%), 2.34%, 03/28/2025 (e) (aa)

    1,295       1,286  

Federation des Caisses Desjardins du Quebec, (Canada), (United States SOFR + 0.43%), 1.72%, 05/21/2024 (e) (aa)

    1,900       1,866  

Goldman Sachs Group, Inc. (The),
0.52%, 03/08/2023

    4,000       3,922  

1.22%, 12/06/2023

    600       578  

(United States SOFR + 0.50%), 1.94%, 09/10/2024 (aa)

    2,500       2,437  

(United States SOFR + 1.39%), 2.87%, 03/15/2024 (aa)

    800       801  

(ICE LIBOR USD 3 Month + 0.99%), 2.91%, 07/24/2023 (aa)

    300       300  

3.20%, 02/23/2023

    1,516       1,517  

Hana Bank, (South Korea), (ICE LIBOR USD 3 Month + 0.70%), 2.98%, 10/02/2022 (e) (aa)

    400       400  

HSBC Holdings plc, (United Kingdom),

   

(United States SOFR + 0.58%), 1.85%, 11/22/2024 (aa)

    620       601  

(ICE LIBOR USD 3 Month + 1.00%), 2.46%, 05/18/2024 (aa)

    3,500       3,471  

(ICE LIBOR USD 3 Month + 1.23%), 2.95%, 03/11/2025 (aa)

    1,000       992  

3.60%, 05/25/2023

    1,500       1,504  

KeyBank NA, (United States SOFR + 0.32%), 0.43%, 06/14/2024 (aa)

    375       364  

Lloyds Banking Group plc, (United Kingdom),

   

(BBSW ASX Australian 3 Month + 1.30%), 3.14%, 03/20/2023 (aa)

  AUD     300       207  

4.05%, 08/16/2023

    1,400       1,404  

Mitsubishi UFJ Financial Group, Inc., (Japan), (ICE LIBOR USD 3 Month + 0.86%), 2.07%, 07/26/2023 (aa)

    2,300       2,300  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2022   SIX CIRCLES TRUST         27


Table of Contents

Six Circles Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2022 (Unaudited) (continued)

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

(Amounts in thousands, except number of Futures contracts)

 

SECURITY DESCRIPTION   PRINCIPAL
AMOUNT($)
    VALUE($)  

Corporate Bonds — continued

 

Banks — continued

   

Mizuho Financial Group, Inc., (Japan),

   

(ICE LIBOR USD 3 Month + 0.63%), 2.15%, 05/25/2024 (aa)

    5,000       4,944  

3.55%, 03/05/2023

    2,500       2,508  

Morgan Stanley,

   

(United States SOFR + 0.46%), 0.53%, 01/25/2024 (aa)

    7,200       7,060  

(ICE LIBOR USD 3 Month + 0.85%), 3.74%, 04/24/2024 (aa)

    2,500       2,494  

3.75%, 02/25/2023

    1,000       1,003  

NatWest Group plc, (United Kingdom),

   

(ICE LIBOR USD 3 Month + 1.55%), 3.75%, 06/25/2024 (aa)

    1,750       1,751  

3.88%, 09/12/2023

    4,400       4,388  

NatWest Markets plc, (United Kingdom), (United States SOFR + 1.66%), 3.17%, 09/29/2022 (e) (aa)

    2,100       2,103  

Nordea Bank Abp, (Finland), (ICE LIBOR USD 3 Month + 0.94%), 2.54%, 08/30/2023 (e) (aa)

    200       200  

Oversea-Chinese Banking Corp. Ltd., (Singapore),

   

(BBSW ASX Australian 3 Month + 0.26%), 1.24%, 08/12/2024 (aa)

  AUD 1,000       682  

(BBSW ASX Australian 3 Month + 0.35%), 2.19%, 03/18/2024 (f) (aa)

  AUD 1,000       686  

Santander Holdings USA, Inc., 3.40%, 01/18/2023

    400       399  

Societe Generale SA, (France),
2.63%, 01/22/2025 (e)

    800       761  

3.88%, 03/28/2024 (e)

    700       693  

4.25%, 09/14/2023 (e)

    300       301  

Standard Chartered plc, (United Kingdom), (ICE LIBOR USD 3 Month + 1.56%), 3.79%, 05/21/2025 (e) (aa)

    1,600       1,571  

Sumitomo Mitsui Financial Group, Inc., (Japan), Reg. S, (BBSW ASX Australian 3 Month + 1.25%), 1.61%, 10/16/2024 (aa)

  AUD  2,300       1,589  

Sumitomo Mitsui Trust Bank Ltd., (Japan), 0.80%, 09/16/2024 (e)

    200       186  

UBS AG, (Switzerland),

   

(United States SOFR + 0.36%), 1.53%, 02/09/2024 (e) (aa)

    1,000       994  

Reg. S, (BBSW ASX Australian 3 Month + 0.87%), 1.58%, 07/30/2025 (aa)

  AUD 2,100       1,442  

(United States SOFR + 0.45%), 1.62%, 08/09/2024 (e) (aa)

    1,615       1,604  

UBS Group AG, (Switzerland), (ICE LIBOR USD 3 Month + 0.95%), 2.86%, 08/15/2023 (e) (aa)

    3,500       3,499  

Wells Fargo & Co.,

   

(United States SOFR + 1.60%), 1.65%, 06/02/2024 (aa)

    3,000       2,930  
SECURITY DESCRIPTION   PRINCIPAL
AMOUNT($)
    VALUE($)  

Banks — continued

   

2.51%, 10/27/2023 (f)

  CAD  2,500       1,898  

Woori Bank, (South Korea), Reg. S, (ICE LIBOR USD 3 Month + 0.87%), 2.16%, 02/01/2023 (aa)

    300       300  
   

 

 

 
      121,732  
   

 

 

 

Diversified Financial Services — 4.2%

   

AerCap Ireland Capital DAC / AerCap Global Aviation Trust, (Ireland),
4.13%, 07/03/2023

    2,600       2,575  

4.50%, 09/15/2023

    1,100       1,095  

Air Lease Corp.,

   

(ICE LIBOR USD 3 Month + 0.35%), 2.18%, 12/15/2022 (aa)

    2,800       2,797  

2.63%, 07/01/2022

    2,410       2,410  

Aircastle Ltd., (Bermuda), 5.00%, 04/01/2023

    500       499  

American Express Co.,

   

(United States SOFR + 0.93%), 2.32%, 03/04/2025 (aa)

    1,120       1,110  

3.38%, 05/03/2024

    970       963  

3.40%, 02/22/2024

    2,000       1,995  

Aviation Capital Group LLC, 3.88%, 05/01/2023 (e)

    2,500       2,479  

Capital One Financial Corp., 2.60%, 05/11/2023

    3,500       3,476  

International Lease Finance Corp., 5.88%, 08/15/2022

    300       301  

Mitsubishi HC Capital, Inc., (Japan),
2.65%, 09/19/2022 (e)

    800       799  

3.96%, 09/19/2023 (e)

    550       550  

Nomura Holdings, Inc., (Japan), 1.85%, 07/16/2025

    1,900       1,742  

ORIX Corp., (Japan), 3.25%, 12/04/2024

    400       394  

Park Aerospace Holdings Ltd., (Cayman Islands), 5.25%, 08/15/2022 (e)

    1,300       1,300  

Synchrony Financial, 4.38%, 03/19/2024

    750       746  
   

 

 

 
      25,231  
   

 

 

 

Savings & Loans — 0.1%

   

Nationwide Building Society, (United Kingdom), (ICE LIBOR USD 3 Month + 1.06%), 3.77%, 03/08/2024 (e) (aa)

    1,000       997  
   

 

 

 

Total Financial

      147,960  
   

 

 

 

Industrial — 3.1%

   

Aerospace/Defense — 0.4%

   

Boeing Co. (The),

   

1.43%, 02/04/2024

    1,200       1,147  

4.51%, 05/01/2023

    1,000       1,002  
   

 

 

 
      2,149  
   

 

 

 

Building Materials — 0.1%

   

Martin Marietta Materials, Inc., 0.65%, 07/15/2023

    695       672  
   

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
28         SIX CIRCLES TRUST   JUNE 30, 2022


Table of Contents

 

 

SECURITY DESCRIPTION   PRINCIPAL
AMOUNT($)
    VALUE($)  

Corporate Bonds — continued

 

Engineering & Construction — 0.1%

   

Sydney Airport Finance Co. Pty Ltd., (Australia), Reg. S, 3.90%, 03/22/2023

    400       400  
   

 

 

 

Machinery — Construction & Mining — 0.3%

   

Caterpillar Financial Services Corp., (United States SOFR + 0.45%), 1.67%, 11/13/2023 (aa)

    835       833  

Komatsu Finance America, Inc., Reg. S, 0.85%, 09/09/2023

    1,200       1,163  
   

 

 

 
      1,996  
   

 

 

 

Machinery — Diversified — 0.3%

   

CNH Industrial NV, (Netherlands), 4.50%, 08/15/2023

    1,000       1,009  

Rockwell Automation, Inc., 0.35%, 08/15/2023

    480       465  
   

 

 

 
      1,474  
   

 

 

 

Miscellaneous Manufacturers — 0.5%

   

General Electric Co., 2.70%, 10/09/2022

    1,185       1,185  

Parker-Hannifin Corp., 3.65%, 06/15/2024

    2,100       2,094  
   

 

 

 
      3,279  
   

 

 

 

Packaging & Containers — 0.3%

   

Berry Global, Inc., 0.95%, 02/15/2024

    1,800       1,706  
   

 

 

 

Transportation — 0.3%

   

Ryder System, Inc., 3.88%, 12/01/2023

    2,000       2,001  
   

 

 

 

Trucking & Leasing — 0.8%

   

Penske Truck Leasing Co. LP / PTL Finance Corp.,

   

2.70%, 03/14/2023 (e)

    3,000       2,991  

3.90%, 02/01/2024 (e)

    2,000       1,992  
   

 

 

 
      4,983  
   

 

 

 

Total Industrial

      18,660  
   

 

 

 

Technology — 3.1%

   

Computers — 0.3%

   

International Business Machines Corp., 2.88%, 11/09/2022

    304       304  

Leidos, Inc., 2.95%, 05/15/2023

    1,700       1,684  
   

 

 

 
      1,988  
   

 

 

 

Semiconductors — 0.4%

   

Broadcom Corp. / Broadcom Cayman Finance Ltd., (Multinational), 3.63%, 01/15/2024

    2,000       2,000  

SK Hynix, Inc., (South Korea), 1.00%, 01/19/2024 (e)

    400       382  
   

 

 

 
      2,382  
   

 

 

 

Software — 2.4%

   

Fidelity National Information Services, Inc.,

   

0.38%, 03/01/2023

    3,745       3,668  

0.60%, 03/01/2024

    1,115       1,056  

Fiserv, Inc., 3.80%, 10/01/2023

    3,415       3,418  

Oracle Corp.,

   

2.40%, 09/15/2023

    2,000       1,970  

2.50%, 10/15/2022

    1,180       1,177  
SECURITY DESCRIPTION   PRINCIPAL
AMOUNT($)
    VALUE($)  

Software — continued

   

VMware, Inc., 0.60%, 08/15/2023

    3,100       2,998  
   

 

 

 
      14,287  
   

 

 

 

Total Technology

      18,657  
   

 

 

 

Utilities — 2.7%

   

Electric — 2.7%

   

Ausgrid Finance Pty Ltd., (Australia), Reg. S, (BBSW ASX Australian 3 Month + 1.22%), 1.93%, 10/30/2024 (aa)

    AUD 1,500       1,036  

Dominion Energy, Inc., Series D, (ICE LIBOR USD 3 Month + 0.53%), 2.36%, 09/15/2023 (aa)

    1,800       1,792  

Enel Finance International NV, (Netherlands), 2.65%, 09/10/2024 (e)

    1,500       1,454  

Israel Electric Corp. Ltd., (Israel),

   

6.88%, 06/21/2023 (e)

    500       512  

Series 6, Reg. S, 5.00%, 11/12/2024 (e)

    300       304  

Kansai Electric Power Co., Inc. (The), (Japan), Reg. S, 2.55%, 09/17/2024

    1,740       1,688  

NextEra Energy Capital Holdings, Inc.,

   

0.65%, 03/01/2023

    3,965       3,897  

(SOFR Compounded Index + 0.54%), 1.89%, 03/01/2023 (aa)

    710       706  

Pacific Gas and Electric Co.,

   

3.25%, 06/15/2023

    100       98  

3.40%, 08/15/2024

    100       96  

3.75%, 02/15/2024

    100       98  

3.85%, 11/15/2023

    100       99  

4.25%, 08/01/2023

    800       796  

Southern California Edison Co., 0.70%, 04/03/2023

    2,200       2,150  

Southern Co. (The), Series 2021, (United States SOFR + 0.37%), 1.55%, 05/10/2023 (aa)

    1,300       1,290  
   

 

 

 

Total Utilities

      16,016  
   

 

 

 

Total Corporate Bonds
(Cost $337,861)

      330,578  
   

 

 

 

Foreign Government Securities — 0.7%

   

International Bank for Reconstruction & Development, (Supranational), 0.65%, 02/10/2026

    3,100       2,793  

Korea Development Bank (The), (South Korea), Reg. S, (ICE LIBOR USD 3 Month + 0.80%), 2.04%, 10/30/2022 (aa)

    400       401  

Korea National Oil Corp., (South Korea), Reg. S, (ICE LIBOR USD 3 Month + 0.88%), 1.92%, 07/16/2023 (aa)

    800       803  
   

 

 

 

Total Foreign Government Securities
(Cost $4,305)

      3,997  
   

 

 

 

Municipal Bonds — 0.5% (t)

   

Alaska — 0.0% (g)

   

Alaska Municipal Bond Bank Authority, Taxable, Series 2, Rev., 0.34%, 12/01/2022

    235       233  
   

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2022   SIX CIRCLES TRUST         29


Table of Contents

Six Circles Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2022 (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 — 0.1%

   

Municipal Improvement Corp. of Los Angeles, Series A, Rev., 0.42%, 11/01/2023

    590       569  
   

 

 

 

Maryland — 0.1%

   

State of Maryland Department of Transportation, Series A, Rev., 0.36%, 08/01/2023

    450       436  
   

 

 

 

North Carolina — 0.1%

   

University of North Carolina at Charlotte (The), Rev., 0.41%, 04/01/2023

    350       342  
   

 

 

 

Pennsylvania — 0.2%

   

Philadelphia Authority for Industrial Development, Rev., 0.94%, 04/15/2024

    1,555       1,478  
   

 

 

 

Total Municipal Bonds
(Cost $3,180)

      3,058  
   

 

 

 

U.S. Government Agency Securities — 0.4%

   

FHLBs,

   

0.96%, 03/05/2026

    2,100       1,936  

1.11%, 07/27/2026

    567       519  
   

 

 

 

Total U.S. Government Agency Securities
(Cost $2,667)

      2,455  
   

 

 

 

U.S. Treasury Obligations — 1.9%

   

U.S. Treasury Notes,

   

0.75%, 12/31/2023

    10,400       10,068  

0.75%, 11/15/2024

    1,000       949  

1.00%, 12/15/2024

    300       286  
   

 

 

 

Total U.S. Treasury Obligations
(Cost $11,688)

      11,303  
   

 

 

 

Short-Term Investments — 14.4%

   

Certificates of Deposit — 7.1%

   

Bank of Montreal, 1.17%, 02/09/2023 (n)

    3,000       2,962  

Bank of Nova Scotia (The), 0.20%, 09/21/2022 (n)

    1,000       996  

Barclays Bank plc, 1.67%, 03/03/2023 (n)

    2,000       1,977  

Canadian Imperial Bank of Commerce, 0.35%, 11/02/2022 (n)

    3,000       2,979  

Citibank NA, 0.98%, 02/02/2023 (n)

    3,000       2,961  

Credit Suisse AG,

   

0.39%, 11/01/2022 (n)

    3,000       2,979  

1.12%, 02/02/2023 (n)

    3,000       2,962  

3.17%, 06/09/2023 (n)

    1,200       1,194  

MUFG Bank Ltd., 0.31%, 10/25/2022 (n)

    5,500       5,463  

Natixis Bank SA,

   

0.30%, 10/20/2022 (n)

    2,500       2,483  

3.10%, 06/09/2023 (n)

    3,000       2,984  

Royal Bank of Canada, 0.38%, 11/10/2022 (n)

    1,500       1,488  

Svenska Handelsbanken, (Sweden), (United States SOFR + 0.25%), 0.31%, 02/24/2023 (n) (aa)

    2,000       1,996  

Toronto-Dominion Bank (The),

   

0.27%, 10/20/2022 (n)

    2,000       1,987  

0.34%, 10/28/2022 (n)

    2,500       2,483  

0.74%, 12/30/2022 (n)

    2,000       1,977  
SECURITY DESCRIPTION   PRINCIPAL
AMOUNT($)
    VALUE($)  
   

Certificates of Deposit — continued

   

1.17%, 02/10/2023 (n)

    3,000       2,961  
   

 

 

 

Total Certificates of Deposit

      42,832  
   

 

 

 

Commercial Papers — 0.8%

   

Macquarie Bank Ltd., (Australia), 1.39%, 02/06/2023 (e) (n)

    3,000       2,940  

Royal Bank of Canada, (Canada), 0.00%, 10/20/2022 (e) (n)

    2,000       1,987  
   

 

 

 

Total Commercial Papers

      4,927  
   

 

 

 

Foreign Government Securities — 3.0%

   

Bank of Israel Bill — Makam, (Israel),

   

Series 313, Reg. S, Zero Coupon, 03/02/2023

  ILS 670       190  

Series 1112, Reg. S, Zero Coupon, 11/02/2022

  ILS 5,700       1,627  

Japan Treasury Discount Bill, (Japan),

   

Series 1057, Zero Coupon, 08/10/2022

  JPY 1,000,000       7,372  

Series 1090, Zero Coupon, 09/26/2022

  JPY 580,000       4,276  

Quebec T-Bill, (Canada), Zero Coupon, 08/12/2022

  CAD 5,500       4,263  
   

 

 

 

Total Foreign Government Securities

      17,728  
   

 

 

 

Municipal Bonds — 0.1% (t)

   

City of Norwich, Taxable, GO, 1.35%, 08/01/2022

    75       75  

State of Connecticut, Taxable, Series A, GO, 4.25%, 06/15/2023

    380       385  
   

 

 

 

Total Municipal Bonds

      460  
   

 

 

 

Repurchase Agreement — 2.2%

   

Toronto Dominion Securities LLC, 1.48%, dated 06/30/2022 due 07/01/2022, repurchase price $13,101 collateralized by U.S. Treasury Security, 2.63%, due 02/15/2029, with a value of $13,524.

    13,100       13,100  
   

 

 

 

Time Deposits — 0.4%

   

Australia & New Zealand Banking Group Ltd., 0.25%, 07/01/2022

  AUD 25       17  

BNP Paribas SA, 0.52%, 07/01/2022

  GBP 57       69  

Citibank NA,

   

(0.78%), 07/01/2022

  EUR 80       83  

0.91%, 07/01/2022

    693       693  

Royal Bank of Canada,

   

0.51%, 07/04/2022

  CAD 153       119  

0.91%, 07/01/2022

    1,365       1,365  

Sumitomo Mitsui Banking Corp., (0.36%), 07/01/2022

  JPY 128       1  
   

 

 

 

Total Time Deposits

      2,347  
   

 

 

 

U.S. Treasury Obligations — 0.8%

   

U.S. Treasury Bill,

   

Zero Coupon, 07/12/2022

    2,300       2,299  

Zero Coupon, 07/07/2022

    1,000       1,000  

Zero Coupon, 07/14/2022

    300       300  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
30         SIX CIRCLES TRUST   JUNE 30, 2022


Table of Contents

 

 

SECURITY DESCRIPTION   PRINCIPAL
AMOUNT($)
    VALUE($)  

Short-Term Investments — continued

   

U.S. Treasury Obligations — continued

   

Zero Coupon, 07/28/2022

    1,500       1,499  
   

 

 

 

Total U.S. Treasury Obligations

      5,098  
   

 

 

 

Total Short-Term Investments
(Cost $87,424)

      86,492  
   

 

 

 

Total Investments — 99.6%
(Cost — $611,402)*

      597,750  

Other Assets in Excess of Liabilities — 0.4%

      2,342  
   

 

 

 

NET ASSETS — 100.0%

    $ 600,092  
   

 

 

 

 

Percentages indicated are based on net assets

 

 

Futures contracts outstanding as of June 30, 2022:  
Exchange Traded  
DESCRIPTION   NUMBER OF
CONTRACTS
     EXPIRATION
DATE
       TRADING
CURRENCY
       NOTIONAL
AMOUNT($)
    VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION)($)
 

Long Contracts

 

3 Month Eurodollar

    51        12/2022          USD          12,624       (344

U.S. Treasury 2 Year Note

    328        09/2022          USD          69,076       (191
                

 

 

 
                   (535
                

 

 

 

Short Contracts

                

U.S. Treasury 2 Year Note

    (28      09/2022          USD          (5,898     18  

U.S. Treasury 5 Year Note

    (376      09/2022          USD          (42,305     99  

U.S. Treasury Ultra Bond

    (15      09/2022          USD          (2,357     42  

U.S. Ultra Treasury 10 Year Note

    (60      09/2022          USD          (7,684     42  
                

 

 

 
                   201  
                

 

 

 

Total unrealized appreciation (depreciation)

                   (334
                

 

 

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2022   SIX CIRCLES TRUST         31


Table of Contents

Six Circles Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2022 (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 June 30, 2022:  
CURRENCY PURCHASED        CURRENCY SOLD        COUNTERPARTY    SETTLEMENT
DATE
       UNREALIZED
APPRECIATION
(DEPRECIATION)($)
 

USD

    3,656        CAD        4,640        Bank of America, NA      07/05/2022          51  

USD

    627        CAD        805        Bank of America, NA      07/05/2022          1  

USD

    4,864        GBP        3,847        Bank of America, NA      07/05/2022          181  

USD

    7,834        JPY        1,000,000        BNP Paribas      08/10/2022          447  

CAD

    1,994        USD        1,541        UBS AG LONDON      08/12/2022          8  

USD

    13,926        AUD        19,763        Bank of America, NA      08/16/2022          280  

USD

    1,085        AUD        1,508        Bank of America, NA      08/16/2022          43  

USD

    634        AUD        895        Morgan Stanley & Co.      08/16/2022          16  

USD

    5,112        EUR        4,827        BNP Paribas      09/21/2022          25  

EUR

    83        USD        87        Citibank, NA      09/21/2022          1  

USD

    2,041        GBP        1,645        Citibank, NA      09/21/2022          35  

USD

    1,785        ILS        5,699        Barclays Bank plc      11/02/2022          139  

USD

    196        ILS        664        Bank of America, NA      03/02/2023          2  
                        

 

 

 

Total unrealized appreciation

          1,229  
                        

 

 

 

GBP

    354        USD        431        Bank of America, NA      07/05/2022          (h) 

GBP

    186        USD        228        Barclays Bank plc      07/05/2022          (1

USD

    4,219        CAD        5,448        Morgan Stanley & Co.      08/02/2022          (13

USD

    4,018        GBP        3,307        Bank of America, NA      08/02/2022          (10

USD

    8,429        CAD        11,000        Citibank, NA      08/12/2022          (117

CAD

    3,490        USD        2,717        UBS AG LONDON      08/12/2022          (6

USD

    4,284        JPY        580,000        BNP Paribas      09/26/2022          (17
                        

 

 

 

Total unrealized depreciation

          (164
                        

 

 

 

Net unrealized appreciation (depreciation)

          1,065  
                        

 

 

 

 

Centrally Cleared Interest Rate Swap contracts outstanding as of June 30, 2022:  
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       9,600              5       5  

ICE LIBOR USD 1 Month

    ICE LIBOR USD 3 Month      Pay      01/13/2023        USD       12,500              10       10  

United States SOFR

    2.71 % annually      Pay      03/31/2024        USD       53,100              (254     (254
              

 

 

    

 

 

   

 

 

 

Total

 

           (239     (239
              

 

 

    

 

 

   

 

 

 

 

(a)

Value of floating rate index as of June 30, 2022 was as follows:

 

FLOATING RATE INDEX       

ICE LIBOR USD 1 Month

    1.79%  

ICE LIBOR USD 3 Month

    2.29%  

United States SOFR

    1.50%  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
32         SIX CIRCLES TRUST   JUNE 30, 2022


Table of Contents

 

 

Centrally Cleared Credit Default Swaps contracts outstanding — buy protection (1) as of June 30, 2022:  
REFERENCE
OBLIGATION/INDEX
  FINANCING
RATE
PAID
BY THE
FUND(%)
   PAYMENT
FREQUENCY
   MATURITY DATE      IMPLIED CREDIT
SPREAD (%)
  (2)
     NOTIONAL
AMOUNT
 (3)
    UPFRONT
PAYMENTS
(RECEIPTS)($)
  (4)
    UNREALIZED
APPRECIATION
(DEPRECIATION)($)
     VALUE($)  

CDX.NA.IG.35-V1

  1.00%    Quarterly      12/20/2025        0.80        USD       700       (15     10        (5

CDX.NA.IG.36-V1

  1.00%    Quarterly      06/20/2026        0.88        USD       3,400       (83     67        (16

CDX.NA.IG.37-V1

  1.00%    Quarterly      12/20/2026        0.95        USD       9,800       (242     218        (24
                 

 

 

   

 

 

    

 

 

 

Total

 

    (340     295        (45
                 

 

 

   

 

 

    

 

 

 

 

(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 seller’s 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).

 

NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2022

 

ASX  

—  Australian Stock Exchange

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

GO  

—  General Obligation

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

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 June 30, 2022.

(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 June 30, 2022.

(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 June 30, 2022.

(aa)  

—  Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of June 30, 2022.

(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

ILS  

—  Israeli New Shekel

JPY  

—  Japanese Yen

USD  

—  United States Dollar

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2022   SIX CIRCLES TRUST         33


Table of Contents

Six Circles Tax Aware Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2022 (Unaudited)

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

(Amounts in thousands, except number of Futures contracts)

 

SECURITY DESCRIPTION   PRINCIPAL
AMOUNT($)
    VALUE($)  
Asset-Backed Securities — 3.5%    

American Express Credit Account Master Trust, Series 2022-2, Class A, 3.39%, 05/15/2027

    1,200       1,199  

BMW Canada Auto Trust, (Canada), Series 2022-1A, Class A1, 3.65%, 12/20/2024 (e)

  CAD  1,100       853  

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

    135       136  

CIT Mortgage Loan Trust, Series 2007-1, Class 1A, (ICE LIBOR USD 1 Month + 1.35%), 2.97%, 10/25/2037 (e) (aa)

    185       184  

DLLST LLC, Series 2022-1A, Class A1, 1.56%, 05/22/2023 (e)

    755       752  

DT Auto Owner Trust, Series 2020-3A, Class A, 0.54%, 04/15/2024 (e)

    14       14  

ELFI Graduate Loan Program LLC, Series 2021-A, Class A, 1.53%, 12/26/2046 (e)

    972       883  

FirstKey Homes Trust, Series 2020-SFR2, Class A, 1.27%, 10/19/2037 (e)

    894       824  

Ford Auto Securitization Trust, (Canada),

   

Series 2019-BA, Class A2, 2.32%, 10/15/2023 (e)

  CAD 23       18  

Series 2021-AA, Class A2, 1.16%, 10/15/2025 (e)

  CAD 700       528  

Ford Credit Floorplan Master Owner Trust A,

   

Series 2019-3, Class A2, (ICE LIBOR USD 1 Month + 0.60%), 1.92%, 09/15/2024 (aa)

    600       600  

Series 2020-1, Class A1, 0.70%, 09/15/2025

    1,700       1,640  

GM Financial Automobile Leasing Trust, Series 2022-2, Class A2, 2.93%, 10/21/2024

    900       895  

GMF Canada Leasing Trust, (Canada), Series 2021-1A, Class A2, 0.64%, 03/20/2024 (e)

  CAD 570       440  

Hertz Vehicle Financing III LLC, Series 2022-3A, Class A, 3.37%, 03/25/2025 (e)

    100       99  

Master Credit Card Trust, (Canada), Series 2021-1A, Class A, 0.53%, 11/21/2025 (e)

    900       853  

Nelnet Student Loan Trust, Series 2019-2A, Class A, (ICE LIBOR USD 1 Month + 0.90%), 2.52%, 06/27/2067 (e) (aa)

    1,087       1,076  

Oscar US Funding XI LLC, (Japan), Series 2019-2A, Class A4, 2.68%, 09/10/2026 (e)

    350       346  

Oscar US Funding XII LLC, (Japan), Series 2021-1A, Class A2, 0.40%, 03/11/2024 (e)

    642       638  

Oscar US Funding XIII LLC, Series 2021-2A, Class A2, 0.39%, 08/12/2024 (e)

    584       577  

Park Place Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-WCW2, Class M2, (ICE LIBOR USD 1 Month + 0.80%), 2.42%, 07/25/2035 (aa)

    966       957  
SECURITY DESCRIPTION   PRINCIPAL
AMOUNT($)
    VALUE($)  
   

Pawneee Equipment Receivables Series LLC, Series 2021-1, Class A2, 1.10%, 07/15/2027 (e)

    1,100       1,055  

PRET LLC,

   

Series 2021-NPL3, Class A1, SUB, 1.87%, 07/25/2051 (e)

    826       742  

Series 2021-NPL6, Class A1, SUB, 2.49%, 07/25/2051 (e)

    574       537  

Pretium Mortgage Credit Partners LLC, Series 2021-RN1, Class A1, SUB, 1.99%, 02/25/2061 (e)

    274       257  

Santander Drive Auto Receivables Trust, Series 2022-2, Class A2, 2.12%, 10/15/2026

    1,500       1,490  

SLM Student Loan Trust, Series 2004-10, Class A7B, (ICE LIBOR USD 3 Month + 0.60%), 1.78%, 10/25/2029 (e) (aa)

    1,214       1,205  

SMB Private Education Loan Trust,

   

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

    539       523  

Series 2020-PTA, Class A2A, 1.60%, 09/15/2054 (e)

    587       535  

Towd Point Asset Trust, Series 2021-SL1, Class A2, (ICE LIBOR USD 1 Month + 0.70%), 2.31%, 11/20/2061 (e) (aa)

    231       227  

Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.35%, 05/25/2033 (e)

    1,800       1,676  
   

 

 

 

Total Asset-Backed Securities
(Cost $22,493)

      21,759  
   

 

 

 

Collateralized Mortgage Obligations — 3.4%

   

Avon Finance NO 2 plc, (United Kingdom), Series 2X, Class A, Reg. S, (SONIA Interest Rate Benchmark + 0.90%), 1.69%, 09/20/2048 (aa)

  GBP 149       181  

Brass NO 8 plc, (United Kingdom), Series 8A, Class A1, (ICE LIBOR USD 3 Month + 0.70%), 2.11%, 11/16/2066 (e) (aa)

    71       71  

Canterbury Finance NO 1 plc, (United Kingdom), Series 1, Class A2, Reg. S, (SONIA Interest Rate Benchmark + 1.35%), 1.95%, 05/16/2056 (aa)

  GBP 746       908  

Cheshire plc, (United Kingdom), Series 2020-1, Class A, Reg. S, (SONIA Interest Rate Benchmark + 0.90%), 1.53%, 08/20/2045 (aa)

  GBP 522       631  

CSMC Trust, Series 2021-RPL4, Class A1, 1.80%, 12/27/2060 (e) (z)

    338       318  

Finsbury Square plc, (United Kingdom),

   

Series 2019-3, Class A, Reg. S, (SONIA Interest Rate Benchmark + 1.01%), 1.77%, 12/16/2069 (aa)

  GBP 153       185  

Series 2020-2A, Class A, (SONIA Interest Rate Benchmark + 1.30%), 2.06%, 06/16/2070 (e) (aa)

  GBP 281       342  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
34         SIX CIRCLES TRUST   JUNE 30, 2022


Table of Contents

 

 

SECURITY DESCRIPTION   PRINCIPAL
AMOUNT($)
    VALUE($)  

Collateralized Mortgage Obligations — continued

 

FNMA REMICS,

   

Series 2020-29, Class FC, (ICE LIBOR USD 1 Month + 0.80%), 1.60%, 05/25/2050 (aa)

    1,935       1,951  

Series 2022-8, Class D, 2.00%, 08/25/2038

    1,736       1,654  

GCAT LLC, Series 2020-3, Class A1, SUB, 2.98%, 09/25/2025 (e)

    767       754  

GNMA,

   

Series 2015-H04, Class FA, (ICE LIBOR USD 1 Month + 0.65%), 1.45%, 12/20/2064 (aa)

    1,264       1,252  

Series 2017-121, Class PE, 3.00%, 07/20/2046

    230       227  

Series 2018-H18, Class FC, (ICE LIBOR USD 1 Month + 0.35%), 1.15%, 08/20/2065 (aa)

    1,643       1,629  

Series 2019-54, Class KF, (ICE LIBOR USD 1 Month + 0.42%), 1.48%, 05/20/2044 (aa)

    486       483  

Series 2021-H09, Class FG, (United States 30 Day Average SOFR + 1.50%), 2.27%, 06/20/2071 (aa)

    1,600       1,657  

Series 2022-5, Class FA, (United States 30 Day Average SOFR + 0.30%), 1.07%, 01/20/2052 (aa)

    982       918  

Series 2022-H01, Class FA, (United States 30 Day Average SOFR + 0.35%), 1.12%, 01/20/2072 (aa)

    784       761  

GS Mortgage-Backed Securities Corp. Trust, Series 2021-RPL1, Class A1, 1.75%, 12/25/2060 (e) (z)

    287       272  

Legacy Mortgage Asset Trust, Series 2021-GS3, Class A1, SUB, 1.75%, 07/25/2061 (e)

    1,398       1,287  

London Wall Mortgage Capital plc, (United Kingdom), Series 2017-FL1, Class A, Reg. S, (SONIA Interest Rate Benchmark + 0.97%), 1.57%, 11/15/2049 (aa)

  GBP 29       35  

MFA Trust, Series 2021-RPL1, Class A1, 1.13%, 07/25/2060 (e) (z)

    488       450  

New Residential Mortgage Loan Trust,

   

Series 2018-3A, Class A1, 4.50%, 05/25/2058 (e) (z)

    128       127  

Series 2019-NQM5, Class A1, 2.71%, 11/25/2059 (e) (z)

    306       290  

Series 2021-NQ2R, Class A1, 0.94%, 10/25/2058 (e) (z)

    750       723  

Sage AR Funding No 1 plc, (United Kingdom), Series 1A, Class A, (SONIA Interest Rate Benchmark + 1.25%), 1.86%, 11/17/2030 (e) (aa)

  GBP 800       956  

Silverstone Master Issuer plc, (United Kingdom), Series 2022-1A, Class 1A, (United States SOFR + 0.38%), 0.51%, 01/21/2070 (e) (aa)

    700       695  
SECURITY DESCRIPTION   PRINCIPAL
AMOUNT($)
    VALUE($)  
   

Starwood Mortgage Residential Trust,

   

Series 2020-3, Class A1, 1.49%, 04/25/2065 (e) (z)

    308       300  

Series 2021-2, Class A1, 0.94%, 05/25/2065 (e) (z)

    397       378  

Stratton Mortgage Funding, (United Kingdom), Series 2021-2A, Class A, (SONIA Interest Rate Benchmark + 0.90%), 1.36%, 07/20/2060 (e) (aa)

  GBP 161       195  

Towd Point Mortgage Funding, (United Kingdom), Series 2019-A13A, Class A1, (SONIA Interest Rate Benchmark + 0.90%), 1.36%, 07/20/2045 (e) (aa)

  GBP  674       820  

Towd Point Mortgage Trust, Series 2019-HY2, Class A1, (ICE LIBOR USD 1 Month + 1.00%), 2.62%, 05/25/2058 (e) (aa)

    369       364  
   

 

 

 

Total Collateralized Mortgage Obligations
(Cost $21,717)

      20,814  
   

 

 

 

Commercial Mortgage-Backed Securities — 1.6%

 

280 Park Avenue Mortgage Trust, Series 2017-280P, Class A, (ICE LIBOR USD 1 Month + 0.88%), 2.07%, 09/15/2034 (e) (aa)

    500       490  

AREIT Trust, Series 2019-CRE3, Class A, (CME Term SOFR 1 Month + 1.38%), 2.72%, 09/14/2036 (e) (aa)

    106       105  

AREIT Trust, (Cayman Islands),

   

Series 2020-CRE4, Class A, (United States 30 Day Average SOFR + 2.73%), 3.51%, 04/15/2037 (e) (aa)

    82       82  

Series 2021-CRE5, Class A, (ICE LIBOR USD 1 Month + 1.08%), 2.60%, 11/17/2038 (e) (aa)

    567       548  

Series 2022-CRE6, Class A, (United States 30 Day Average SOFR + 1.25%), 2.02%, 01/16/2037 (e) (aa)

    900       864  

Ashford Hospitality Trust, Series 2018-KEYS, Class A, (ICE LIBOR USD 1 Month + 1.00%), 2.33%, 06/15/2035 (e) (aa)

    500       484  

BAMLL Commercial Mortgage Securities Trust, Series 2019-RLJ, Class A, (ICE LIBOR USD 1 Month + 1.05%), 2.37%, 04/15/2036 (e) (aa)

    400       392  

BWAY Mortgage Trust, Series 2021-1450, Class A, (ICE LIBOR USD 1 Month + 1.25%), 2.57%, 09/15/2036 (e) (aa)

    500       480  

CFCRE Commercial Mortgage Trust, Series 2016-C4, Class ASB, 3.09%, 05/10/2058

    766       757  

Citigroup Commercial Mortgage Trust, Series 2021-KEYS, Class A, (ICE LIBOR USD 1 Month + 1.18%), 2.50%, 10/15/2036 (e) (aa)

    900       889  

LUXE Trust, Series 2021-MLBH, Class A, (ICE LIBOR USD 1 Month + 0.98%), 2.31%, 11/15/2038 (e) (aa)

    800       769  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2022   SIX CIRCLES TRUST         35


Table of Contents

Six Circles Tax Aware Ultra Short Duration Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2022 (Unaudited) (continued)

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

(Amounts in thousands, except number of Futures contracts)

 

SECURITY DESCRIPTION   PRINCIPAL
AMOUNT($)
    VALUE($)  

Commercial Mortgage-Backed Securities — continued

 

MF1X, Series 2021-W10, Class A, (CME Term SOFR 1 Month + 1.07%), 2.35%, 12/15/2034 (e) (aa)

    900       899  

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

    256       255  

Morgan Stanley Capital I Trust, Series 2019-PLND, Class A, (ICE LIBOR USD 1 Month + 1.00%), 2.32%, 05/15/2036 (e) (aa)

    700       673  

Natixis Commercial Mortgage Securities Trust, Series 2022-RRI, Class A, (CME Term SOFR 1 Month + 1.82%), 3.10%, 03/15/2035 (e) (aa)

    900       880  

SREIT Trust, Series 2021-IND, Class A, (ICE LIBOR USD 1 Month + 0.70%), 2.02%, 10/15/2038 (e) (aa)

    100       95  

VMC Finance LLC, Series 2021-FL4, Class A, (ICE LIBOR USD 1 Month + 1.10%), 2.71%, 06/16/2036 (e) (aa)

    367       358  

WFRBS Commercial Mortgage Trust, Series 2013-C11, Class A5, 3.07%, 03/15/2045

    876       872  
   

 

 

 

Total Commercial Mortgage-Backed Securities
(Cost $10,180)

      9,892  
   

 

 

 

Corporate Bonds — 15.4%

   

Communications — 1.4%

   

Internet — 0.0% (g)

   

SK Broadband Co. Ltd., (South Korea), Reg. S, 3.88%, 08/13/2023

    200       201  
   

 

 

 

Media — 0.5%

   

Charter Communications Operating LLC / Charter Communications Operating Capital, (ICE LIBOR USD 3 Month + 1.65%), 2.94%, 02/01/2024 (aa)

    1,700       1,713  

Discovery Communications LLC, 2.95%, 03/20/2023

    1,500       1,490  
   

 

 

 
      3,203  
   

 

 

 

Telecommunications — 0.9%

   

AT&T, Inc., Reg. S, (BBSW ASX Australian 3 Month + 1.25%), 3.11%, 09/19/2023 (aa)

  AUD  800       555  

SES SA, (Luxembourg), 3.60%, 04/04/2023 (e)

    1,400       1,381  

Verizon Communications, Inc.,

   

Reg. S, (BBSW ASX Australian 3 Month + 1.22%), 2.24%, 02/17/2023 (aa)

  AUD 1,500       1,037  

(ICE LIBOR USD 3 Month + 1.10%), 2.51%, 05/15/2025 (aa)

    900       894  

Vodafone Group plc, (United Kingdom), Reg. S, (BBSW ASX Australian 3 Month + 1.05%), 2.67%, 12/13/2022 (aa)

  AUD  2,600       1,797  
   

 

 

 
      5,664  
   

 

 

 

Total Communications

      9,068  
   

 

 

 
SECURITY DESCRIPTION   PRINCIPAL
AMOUNT($)
    VALUE($)  
   

Consumer Cyclical — 1.3%

   

Auto Manufacturers — 1.0%

   

General Motors Financial Co., Inc., 3.25%, 01/05/2023

    900       898  

3.70%, 05/09/2023

    1,200       1,200  

Hyundai Capital America,

   

0.80%, 04/03/2023 (e)

    1,200       1,171  

Reg. S, 1.25%, 09/18/2023

    100       97  

Reg. S, 4.13%, 06/08/2023

    400       400  

Nissan Motor Acceptance Co. LLC,

   

(ICE LIBOR USD 3 Month + 0.65%), 1.67%, 07/13/2022 (e) (aa)

    700       700  

(ICE LIBOR USD 3 Month + 0.69%), 2.92%, 09/28/2022 (e) (aa)

    1,620       1,614  
   

 

 

 
      6,080  
   

 

 

 

Retail — 0.3%

   

7-Eleven, Inc., 0.63%, 02/10/2023 (e)

    1,800       1,765  

McDonald’s Corp., Reg. S, (BBSW ASX Australian 3 Month + 1.13%), 2.59%, 03/08/2024 (aa)

  AUD 600       415  
   

 

 

 
      2,180  
   

 

 

 

Total Consumer Cyclical

      8,260  
   

 

 

 

Consumer Non-cyclical — 1.7%

   

Agriculture — 0.6%

   

BAT Capital Corp., (ICE LIBOR USD 3 Month + 0.88%), 2.29%, 08/15/2022 (aa)

    3,500       3,498  
   

 

 

 

Beverages — 0.0% (g)

   

JDE Peet’s NV, (Netherlands), 0.80%, 09/24/2024 (e)

    400       372  
   

 

 

 

Commercial Services — 0.1%

   

Transurban Queensland Finance Pty Ltd., (Australia), Reg. S, (BBSW ASX Australian 3 Month + 2.05%), 3.79%, 12/16/2024 (aa)

  AUD 1,000       706  
   

 

 

 

Food — 0.1%

   

General Mills, Inc., 6.41%, 10/15/2022

    600       605  
   

 

 

 

Healthcare — Products — 0.2%

   

Thermo Fisher Scientific, Inc., 0.80%, 10/18/2023

    1,300       1,260  
   

 

 

 

Healthcare — Services — 0.1%

   

HCA, Inc., 5.00%, 03/15/2024

    500       503  
   

 

 

 

Pharmaceuticals — 0.6%

   

Bayer US Finance II LLC, (ICE LIBOR USD 3 Month + 1.01%), 2.84%, 12/15/2023 (e) (aa)

    3,500       3,481  
   

 

 

 

Total Consumer Non-cyclical

      10,425  
   

 

 

 

Diversified — 0.3%

   

Holding Companies — Diversified — 0.3%

   

Hutchison Whampoa International 12 II Ltd., (Cayman Islands), Reg. S, 3.25%, 11/08/2022

    1,825       1,827  
   

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
36         SIX CIRCLES TRUST   JUNE 30, 2022


Table of Contents

 

 

SECURITY DESCRIPTION   PRINCIPAL
AMOUNT($)
    VALUE($)  

Corporate Bonds — continued

   

Energy — 0.5%

   

Oil & Gas — 0.4%

   

Saudi Arabian Oil Co., (Saudi Arabia), Reg. S, 2.88%, 04/16/2024

    1,600       1,569  

Woodside Finance Ltd., (Australia), Reg. S, 3.70%, 09/15/2026

    1,000       965  
   

 

 

 
      2,534  
   

 

 

 

Pipelines — 0.1%

   

Sabine Pass Liquefaction LLC, 5.63%, 04/15/2023

    400       404  
   

 

 

 

Total Energy

      2,938  
   

 

 

 

Financial — 7.5%

   

Banks — 6.0%

   

ADCB Finance Cayman Ltd., (Cayman Islands), (BBSW ASX Australian 3 Month + 1.38%), 1.91%, 10/25/2022 (aa)

  AUD  2,500       1,728  

Aozora Bank Ltd., (Japan), Reg. S, 1.05%, 09/09/2024

    1,100       1,028  

Banco Bilbao Vizcaya Argentaria SA, (Spain), 0.88%, 09/18/2023

    1,800       1,737  

Barclays plc, (United Kingdom),

   

(ICE LIBOR USD 3 Month + 1.38%), 2.79%, 05/16/2024 (aa)

    1,300       1,299  

Reg. S, (BBSW ASX Australian 3 Month + 1.80%), 3.51%, 06/15/2023 (aa)

  AUD 750       521  

BNP Paribas SA, (France), Reg. S, (BBSW ASX Australian 3 Month + 1.75%), 3.49%, 12/16/2022 (aa)

  AUD 700       485  

Citigroup, Inc.,

   

(ICE LIBOR USD 3 Month + 0.95%), 2.13%, 07/24/2023 (aa)

    850       848  

(BBSW ASX Australian 3 Month + 1.72%), 2.25%, 10/27/2023 (aa)

  AUD 1,000       696  

Credit Suisse AG, (Switzerland), (BBSW ASX Australian 3 Month + 1.15%), 2.24%, 05/26/2023 (aa)

  AUD 2,500       1,727  

Danske Bank A/S, (Denmark),

   

Reg. S, (ICE LIBOR USD 3 Month + 1.06%), 2.78%, 09/12/2023 (aa)

    600       600  

Reg. S, 5.38%, 01/12/2024

    1,100       1,111  

Goldman Sachs Group, Inc. (The),
1.22%, 12/06/2023

    1,100       1,061  

Reg. S, (BBSW ASX Australian 3 Month + 1.55%), 2.25%, 05/02/2024 (aa)

  AUD 500       347  

(ICE LIBOR USD 3 Month + 0.99%), 2.91%, 07/24/2023 (aa)

  &nbs