0001752724-21-188192.txt : 20210827 0001752724-21-188192.hdr.sgml : 20210827 20210827091443 ACCESSION NUMBER: 0001752724-21-188192 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20210630 FILED AS OF DATE: 20210827 PERIOD START: 20211231 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Six Circles Trust CENTRAL INDEX KEY: 0001724826 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-23325 FILM NUMBER: 211214423 BUSINESS ADDRESS: STREET 1: C/O J.P. MORGAN PRIVATE INVESTMENTS INC. STREET 2: 383 MADISON AVENUE CITY: NEW YORK STATE: NY ZIP: 10179 BUSINESS PHONE: 212-270-6000 MAIL ADDRESS: STREET 1: C/O J.P. MORGAN PRIVATE INVESTMENTS INC. STREET 2: 277 PARK AVENUE CITY: NEW YORK STATE: NY ZIP: 10172 FORMER COMPANY: FORMER CONFORMED NAME: 23Wall Trust DATE OF NAME CHANGE: 20171208 0001724826 S000061648 Six Circles Tax Aware Ultra Short Duration Fund C000199640 Six Circles Tax Aware Ultra Short Duration Fund CUTAX NPORT-P 1 primary_doc.xml NPORT-P false 0001724826 XXXXXXXX S000061648 C000199640 SIX CIRCLES TRUST 811-23325 0001724826 549300NG19QZK8S0N704 383 Madison Ave NULL NY 10179 212-464-2070 Six Circles Tax Aware Ultra Short Duration Fund S000061648 549300JM9VEQKW8WTZ21 2021-12-31 2021-06-30 N 606678021.29 6146914.17 600531107.12 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 4833205.29000000 AUD CAD JPY USD N EXPORT-IMPORT BAN V/R 06/25/22 N/A EXPORT-IMPORT BANK KOREA REGD V/R 0.67225000 302154CX5 1000000.00000000 NS USD 1003373.74000000 0.167081060098 Long DBT USGA KR N 2 2022-06-25 Variable 0.67225000 N N N N N N GSMBS 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0.069488123937 Long DBT MUN US N 2 2022-06-01 Fixed 5.00000000 N N N N N N CIT GROUP INC 5% 08/15/22 N8O96ZZJQRFYQUJY7K79 CIT GROUP INC REGD 5.00000000 125581GQ5 500000.00000000 NS USD 522500.00000000 0.087006317209 Long DBT CORP US N 2 2022-08-15 Fixed 5.00000000 N N N N N N PRET 2021-RN1 A1 V/R 07/25/24 N/A PRETIUM MORTGAGE CREDIT PARTNERS LLC SER 2021-RN1 CL A1 V/R REGD 144A P/P 1.99170000 74140QAA6 400000.00000000 NS USD 399613.20000000 0.066543297301 Long ABS-CBDO CORP US Y 2 2061-02-25 Fixed 1.99170000 N N N N N N F/C US 2YR NOTE (CBT) SEP21 N/A FUTURE CONTRACT ON US 2YR NOTE (CBT) SEP21 0.00000000 N/A 213.00000000 NC USD 46928226.46000000 7.814453889833 N/A DIR CORP US N 1 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Long F/C US 2YR NOTE (CBT) SEP21 US 2YR NOTE (CBT) SEP21 2021-09-30 47012737.45000000 USD -84510.99000000 N N N MASSACHUSETTS ST D 5% 12/01/21 549300UZSVMFXJK08K70 MASSACHUSETTS ST DEV FIN AGY R REGD N/C B/E 5.00000000 57584YUN7 1000000.00000000 NS USD 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2TGYMUGI08PO8X8L6150 GENERAL MILLS INC REGD MTN 6.41000000 37033LGD2 600000.00000000 NS USD 642857.29000000 0.107048124964 Long DBT CORP US N 2 2022-10-15 Fixed 6.41000000 N N N N N N LANCASTER PA HGR E 5% 10/01/23 N/A LANCASTER PA HGR EDU AUTH REGD N/C B/E BAM 5.00000000 514328HK2 600000.00000000 NS USD 663342.90000000 0.110459373733 Long DBT MUN US N 2 2023-10-01 Fixed 5.00000000 N N N N N N BURBANK GLENDALE P 5% 07/01/22 N/A BURBANK GLENDALE PASADENA CA A REGD N/C B/E AMT 5.00000000 120827DK3 1430000.00000000 NS USD 1496735.67000000 0.249235327238 Long DBT MUN US N 2 2022-07-01 Fixed 5.00000000 N N N N N N PHILADELPHIA PA AU 5% 10/01/21 549300DIY68KQZEW7M79 PHILADELPHIA PA AUTH FOR INDL REGD N/C B/E 5.00000000 71781QEV6 4000000.00000000 NS USD 4045710.40000000 0.673688731863 Long DBT MUN US N 2 2021-10-01 Fixed 5.00000000 N N N N N N FLORIDA ST BRD OF 5% 06/01/22 5493004G5XFOOUT0LQ57 FLORIDA ST BRD OF EDU PUBLIC E REGD N/C B/E 5.00000000 34153P6T0 2500000.00000000 NS USD 2611653.50000000 0.434890627485 Long DBT MUN US N 2 2022-06-01 Fixed 5.00000000 N N N N N N MASSACHUSETTS ST D 5% 10/01/22 549300UZSVMFXJK08K70 MASSACHUSETTS ST DEV FIN AGY R REGD N/C B/E 5.00000000 57584YZQ5 2350000.00000000 NS USD 2490459.03000000 0.414709413129 Long DBT MUN US N 2 2022-10-01 Fixed 5.00000000 N N N N N N FHLB D/N 07/16/21 N/A FEDERAL HOME LOAN BANK DISCOUNT NOTES 0.00000000 313385JE7 900000.00000000 PA USD 899988.75000000 0.149865467305 Long STIV USGA US N 2 2021-07-16 Fixed 0.00000000 N N N N N N CHARTER COMM OPT V/R 02/01/24 N/A CHARTER COMM OPT LLC/CAP REGD V/R 1.82563000 161175BP8 1100000.00000000 NS USD 1130712.00000000 0.188285333864 Long DBT CORP US N 2 2024-02-01 Variable 1.82563000 N N N N N N GENERAL ELE 4.6% 01/26/22/CAD/ N/A GENERAL ELEC CAP CANADA /CAD/ REGD MTN 4.60000000 36158ZBV7 800000.00000000 NS 660040.01000000 0.109909378910 Long DBT CORP CA N 2 2022-01-26 Fixed 4.60000000 N N N N N N HYUNDAI CAPITAL 0.8% 04/03/23 N/A HYUNDAI CAPITAL AMERICA REGD 144A P/P MTN 0.80000000 44891ABU0 1200000.00000000 NS USD 1199763.55000000 0.199783747382 Long DBT CORP US Y 2 2023-04-03 Fixed 0.80000000 N N N N N N KOREA DEVELOPMENT V/R 10/30/22 N/A KOREA DEVELOPMENT BANK REGD V/R REG S EMTN SER GMTN 0.97713000 Y4S21XMA2 500000.00000000 NS USD 503725.00000000 0.083879917963 Long DBT USGA KR N 2 2022-10-30 Variable 0.97713000 N N N N N N ORLANDO FL UTILIT V/R 10/01/33 549300EJR7JVMRXL5D66 ORLANDO FL UTILITIES COMMISSIO REGD V/R B/E 0.03000000 686507DZ4 6785000.00000000 NS USD 6785000.00000000 1.129833229212 Long DBT MUN US N 2 2033-10-01 Variable 0.03000000 N N N N N N N TX TOLLWAY AUTH 5% 01/01/22 PQGZGRE0F2WPMYQQ1B78 N TX TOLLWAY AUTH REVENUE REGD N/C B/E 5.00000000 66285WC53 1120000.00000000 NS USD 1146824.22000000 0.190968328934 Long DBT MUN US N 2 2022-01-01 Fixed 5.00000000 N N N N N N MITSUBISHI UFJ FI V/R 07/26/23 353800V2V8PUY9TK3E06 MITSUBISHI UFJ FIN GRP REGD V/R 1.03575000 606822AZ7 2500000.00000000 NS USD 2533496.40000000 0.421875964452 Long DBT CORP JP N 2 2023-07-26 Variable 1.03575000 N N N N N N MORGAN STANL V/R 02/03/23/CAD/ IGJSJL3JD5P30I6NJZ34 MORGAN STANLEY /CAD/ REGD V/R P/P MTN SER MPLE 0.73500000 6174468M4 2000000.00000000 NS 1615298.48000000 0.268978319498 Long DBT CORP US N 2 2023-02-03 Variable 0.73500000 N N N N N N MARICOPA CNTY AZ I 5% 09/01/21 N/A MARICOPA CNTY AZ INDL DEV AUTH REGD N/C B/E 5.00000000 56678PAC1 725000.00000000 NS USD 730735.62000000 0.121681560095 Long DBT MUN US N 2 2021-09-01 Fixed 5.00000000 N N N N N N BANK OF AMER V/R 03/15/23/CAD/ N/A BANK OF AMERICA CORP /CAD/ REGD V/R MTN SER MPLE 2.60400000 060505EZ3 1200000.00000000 NS 982117.13000000 0.163541424974 Long DBT CORP US N 2 2023-03-15 Variable 2.60400000 N N N N N N MCDONALD'S C V/R 03/08/24/AUD/ UE2136O97NLB5BYP9H04 MCDONALD'S CORP /AUD/ REGD V/R MTN 1.15490000 U58013CW8 600000.00000000 NS 455481.92000000 0.075846515625 Long DBT CORP US N 2 2024-03-08 Variable 1.15490000 N N N N N N OSCAR 2021-1A A 0.4% 02/10/23 N/A OSCAR US FUNDING XII LLC SER 2021-1A CL A2 REGD 144A P/P 0.40000000 68785AAB1 1700000.00000000 NS USD 1698722.28000000 0.282869989557 Long ABS-CBDO CORP JP Y 2 2024-03-11 Fixed 0.40000000 N N N N N N MIAMI-DADE CNTY FL 5% 10/01/21 N/A MIAMI-DADE CNTY FL AVIATION RE REGD N/C B/E 5.00000000 59333P4T2 1650000.00000000 NS USD 1669607.12000000 0.278021754444 Long DBT MUN US N 2 2021-10-01 Fixed 5.00000000 N N N N N N FORT LAUDERDALE FL 5% 07/01/22 N/A FORT LAUDERDALE FL REGD N/C B/E 5.00000000 347550NV3 1215000.00000000 NS USD 1274082.66000000 0.212159311132 Long DBT MUN US N 2 2022-07-01 Fixed 5.00000000 N N N N N N WASHOE CNTY NV SCH 5% 10/01/21 N/A WASHOE CNTY NV SCH DIST REGD N/C B/E 5.00000000 940859AV3 1250000.00000000 NS USD 1265107.13000000 0.210664712452 Long DBT MUN US N 2 2021-10-01 Fixed 5.00000000 N N N N N N MASSACHUSETTS ST E 5% 07/01/22 5493007K5OP7V6CL0Y88 MASSACHUSETTS ST EDUCTNL FING REGD N/C B/E AMT 5.00000000 57563RPS2 2000000.00000000 NS USD 2095191.60000000 0.348889770264 Long DBT MUN US N 2 2022-07-01 Fixed 5.00000000 N N N N N N SMI 2019-1A 1A V/R 01/21/70 N/A SILVERSTONE MASTER ISSUER PLC SER 2019-1A CL 1A V/R REGD 144A P/P 0.75600000 82846GAV2 127000.00000000 NS USD 127240.21000000 0.021187946551 Long ABS-CBDO CORP GB Y 2 2070-01-21 Variable 0.75600000 N N N N N N KOREA NATIONAL OI V/R 07/16/23 N/A KOREA NATIONAL OIL CORP REGD V/R REG S EMTN SER GMTN 1.05863000 Y48216AB4 500000.00000000 NS USD 505105.00000000 0.084109714552 Long DBT USGA KR N 2 2023-07-16 Variable 1.05863000 N N N N N N SMB 2020-PTA A2 1.6% 09/15/54 N/A SMB PRIVATE EDUCATION LOAN TRUST 2020-PT-A SER 2020-PTA CL A2A REGD 144A P/P 1.60000000 78449VAB2 800000.00000000 NS USD 808035.60000000 0.134553496133 Long ABS-CBDO CORP US Y 2 2054-09-15 Fixed 1.60000000 N N N N N N SAN ANTONIO TX MUN 5% 02/01/23 N/A SAN ANTONIO TX MUNI DRAIN UTIL REGD N/C B/E 5.00000000 796311CR7 1000000.00000000 NS USD 1076331.90000000 0.179229999451 Long DBT MUN US N 2 2023-02-01 Fixed 5.00000000 N N N N N N VERIZON 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INTERNA N/A -1818022.06000000 USD 2403500.00000000 AUD 2021-07-02 -15516.93000000 N N N SMB 2020-PTA A1 V/R 09/15/54 N/A SMB PRIVATE EDUCATION LOAN TRUST 2020-PT-A SER 2020-PTA CL A1 V/R REGD 144A P/P 0.39150000 78449VAA4 90320.96000000 NS USD 90312.66000000 0.015038797978 Long ABS-CBDO CORP US Y 2 2054-09-15 Variable 0.39150000 N N N N N N INDIANA ST FIN AUT 5% 02/01/22 N/A INDIANA ST FIN AUTH REVENUE REGD N/C B/E 5.00000000 45506DPS8 950000.00000000 NS USD 976902.20000000 0.162673038651 Long DBT MUN US N 2 2022-02-01 Fixed 5.00000000 N N N N N N HOUSTON TX ARPT SY 5% 07/01/21 N/A HOUSTON TX ARPT SYS REVENUE REGD N/C B/E 5.00000000 442349CL8 1150000.00000000 NS USD 1150000.00000000 0.191497157493 Long DBT MUN US N 2 2021-07-01 Fixed 5.00000000 N N N N N N GNR 2017-121 PE 3% 07/20/46 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2017-121 CL PE 3.00000000 38380TV37 667289.72000000 NS USD 682332.37000000 0.113621486366 Long ABS-CBDO CORP US N 2 2046-07-20 Fixed 3.00000000 N N N N N N MASSACHUSETTS ST D 4% 07/01/21 549300UZSVMFXJK08K70 MASSACHUSETTS ST DEV FIN AGY R REGD N/C B/E 4.00000000 57584YSQ3 720000.00000000 NS USD 720000.00000000 0.119893872517 Long DBT MUN US N 2 2021-07-01 Fixed 4.00000000 N N N N N N MAINE HLTH & HGR E 5% 07/01/23 N/A MAINE HLTH & HGR EDUCTNL FACS REGD N/C B/E AGM 5.00000000 56042RF49 550000.00000000 NS USD 602259.52000000 0.100287814046 Long DBT MUN US N 2 2023-07-01 Fixed 5.00000000 N N N N N N OYSTER BAY NY 2% 03/01/22 N/A OYSTER BAY NY REGD N/C B/E 2.00000000 692160SL9 900000.00000000 NS USD 908940.06000000 0.151356032888 Long DBT MUN US N 2 2022-03-01 Fixed 2.00000000 N N N N N N PENNSYLVANIA ST EC 4% 10/15/22 N/A PENNSYLVANIA ST ECON DEV FING REGD N/C B/E 4.00000000 70870JCM8 600000.00000000 NS USD 629741.94000000 0.104864166490 Long DBT MUN US N 2 2022-10-15 Fixed 4.00000000 N N N N N N GAINESVILLE FL UT V/R 10/01/38 N/A GAINESVILLE FL UTILITIES SYS R REGD V/R B/E 0.03000000 362848PV9 5415000.00000000 NS USD 5415000.00000000 0.901701832894 Long DBT MUN US N 2 2038-10-01 Variable 0.03000000 N N N N N N EQUIFAX INC V/R 08/15/21 5493004MCF8JDC86VS77 EQUIFAX INC REGD V/R SER FRN 1.02588000 294429AP0 3090000.00000000 NS USD 3092745.19000000 0.515001663249 Long DBT CORP US N 2 2021-08-15 Variable 1.02588000 N N N N N N TEXAS ST WTR DEV B 3% 10/15/22 N/A TEXAS ST WTR DEV BRD REGD N/C B/E 3.00000000 8828543R1 2000000.00000000 NS USD 2073714.40000000 0.345313402655 Long DBT MUN US N 2 2022-10-15 Fixed 3.00000000 N N N N N N AREIT 2020-CRE4 V/R 12/15/22 N/A AREIT 2020-CRE4 TRUST SER 2020-CRE4 CL A V/R REGD 2.74448000 04002RAA8 740902.19000000 NS USD 744899.51000000 0.124040120681 Long ABS-CBDO CORP KY Y 2 2037-04-15 Variable 2.74448000 N N N N N N TRIBOROUGH NY BRI V/R 01/01/32 54930020ZN4LQF7K3456 TRIBOROUGH NY BRIDGE & TUNNEL REGD V/R B/E 0.01000000 89602REB7 1430000.00000000 NS USD 1430000.00000000 0.238122552361 Long DBT MUN US N 2 2032-01-01 Variable 0.01000000 N N N N N N MASSACHUSETTS ST 5% 07/01/23 5493001N1YCXNI1O7K10 MASSACHUSETTS ST REGD N/C B/E 5.00000000 57582RJS6 4650000.00000000 NS USD 5096738.99000000 0.848705242671 Long DBT MUN US N 2 2023-07-01 Fixed 5.00000000 N N N N N N LMAT 2021-GS3 A1 V/R 07/25/61 N/A LEGACY MORTGAGE ASSET TRUST 2021-GS3 SER 2021-GS3 CL A1 V/R REGD 144A P/P 1.75000000 52474XAA3 1600000.00000000 NS USD 1596027.68000000 0.265769360001 Long ABS-CBDO CORP US Y 2 2061-07-25 Variable 1.75000000 N N N N N N NEW YORK ST DORM A 5% 07/01/23 549300C8XO7EXTX2XU71 NEW YORK ST DORM AUTH REVENUES REGD N/C B/E 5.00000000 65000BAB4 500000.00000000 NS USD 548036.45000000 0.091258628154 Long DBT MUN US N 2 2023-07-01 Fixed 5.00000000 N N N N N N N/A N/A CAD/USD FWD 20210702 000006038 USD N/A 1.00000000 NC N/A 134481.97000000 0.022393839120 N/A DFE N/A N 2 BANK OF AMERICA, N.A. 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ORLANDO FL CAPITAL IMPT SPL RE REGD N/C B/E 5.00000000 68641HMR2 775000.00000000 NS USD 784366.42000000 0.130612121620 Long DBT MUN US N 2 2021-10-01 Fixed 5.00000000 N N N N N N PORT AUTH OF NEW Y 5% 09/01/21 54930006MR4KZ4W74Z83 PORT AUTH OF NEW YORK & NEW JE REGD N/C B/E AMT 5.00000000 73358WTK0 3060000.00000000 NS USD 3083951.54000000 0.513537351094 Long DBT MUN US N 2 2021-09-01 Fixed 5.00000000 N N N N N N GCAT 2020-3 A1 V/R 09/25/23 N/A GCAT 2020-3 LLC SER 2020-3 CL A1 V/R REGD 144A P/P 2.98140000 36168CAA3 1016416.88000000 NS USD 1026010.53000000 0.170850521785 Long ABS-CBDO CORP US Y 2 2025-09-25 Variable 2.98140000 N N N N N N NISSAN MOTOR ACCE V/R 07/13/22 N/A NISSAN MOTOR ACCEPTANCE REGD V/R 144A P/P MTN 0.83750000 654740BA6 700000.00000000 NS USD 701302.20000000 0.116780328560 Long DBT CORP US Y 2 2022-07-13 Variable 0.83750000 N N N N N N PENNSYLVANIA ST 5% 08/15/21 N/A PENNSYLVANIA ST REGD N/C B/E 5.00000000 70914PYM8 7210000.00000000 NS USD 7251659.38000000 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09/01/22 N/A RINGGOLD PA SCH DIST REGD N/C B/E BAM ST 3.00000000 766809TH0 2325000.00000000 NS USD 2399923.36000000 0.399633479689 Long DBT MUN US N 2 2022-09-01 Fixed 3.00000000 N N N N N N FORDF 2018-3 A2 V/R 10/15/21 N/A FORD CREDIT FLOORPLAN MASTER OWNER TRUST A SER 2018-3 CL A2 V/R REGD 0.47288000 34528QGJ7 2900000.00000000 NS USD 2903016.00000000 0.483408097529 Long ABS-CBDO CORP US N 2 2023-10-15 Variable 0.47288000 N N N N N N PHILADELPHIA PA SC 5% 09/01/21 254900HSKDHZKBZCUL90 PHILADELPHIA PA SCH DIST REGD N/C B/E ST AID 5.00000000 717883VP4 1600000.00000000 NS USD 1612416.16000000 0.268498357684 Long DBT MUN US N 2 2021-09-01 Fixed 5.00000000 N N N N N N NATWEST GROUP PLC V/R 05/15/23 N/A NATWEST GROUP PLC REGD V/R 1.62588000 780097BF7 700000.00000000 NS USD 707399.00000000 0.117795563229 Long DBT CORP GB N 2 2023-05-15 Variable 1.62588000 N N N N N N TALNT 2020-1A 1.35% 05/27/25 N/A TOYOTA AUTO LOAN EXTENDED NOTE TRUST 2020-1 SER 2020-1A CL A REGD 144A P/P 1.35000000 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2 2021-10-01 Fixed 5.00000000 N N N N N N NORFOLK VA ECON D V/R 11/01/34 N/A NORFOLK VA ECON DEV AUTH HOSPF REGD V/R B/E 0.02000000 65588TAQ2 9400000.00000000 NS USD 9400000.00000000 1.565281113426 Long DBT MUN US N 2 2034-11-01 Variable 0.02000000 N N N N N N CASH COLLATERAL ISDA BRC N/A CASH COLLATERAL ISDA BRC 0.00000000 N/A -116000.00000000 NS USD -116000.00000000 -0.01931623501 Short STIV CORP US N 2 2049-12-31 Floating 0.00000000 N N N N N N RIPON 1X A1 V/R 02/20/22 /GBP/ N/A RIPON MORTGAGES PLC SER 1X CL A1 V/R REGD REG S /GBP/ 0.88138000 G7575SAP6 243981.85000000 NS 338056.96000000 0.056292997313 Long ABS-CBDO CORP GB N 2 2056-08-20 Variable 0.88138000 N N N N N N HOUSTON TX 5% 03/01/22 549300C64URYS0WQQY42 HOUSTON TX REGD N/C B/E 5.00000000 442331T61 2505000.00000000 NS USD 2585770.47000000 0.430580604292 Long DBT MUN US N 2 2022-03-01 Fixed 5.00000000 N N N N N N STHRN CA PUBLIC PW 5% 07/01/21 5493003B5TD5FWUKMD34 STHRN CA PUBLIC PWR AUTH REVEN REGD N/C B/E 5.00000000 84247PLG4 1250000.00000000 NS USD 1250000.00000000 0.208149084232 Long DBT MUN US N 2 2021-07-01 Fixed 5.00000000 N N N N N N US T BILL ZCP 07/27/21 N/A UNITED STATES TREASURY BILL ZCP 0.00000000 912796J34 1600000.00000000 PA USD 1599953.78000000 0.266423131296 Long STIV UST US N 2 2021-07-27 Fixed 0.00000000 N N N N N N HARRIS CNTY TX TOL 5% 08/15/23 N/A HARRIS CNTY TX TOLL ROAD REVEN REGD N/C B/E 5.00000000 41423PBG1 1600000.00000000 NS USD 1761584.32000000 0.293337730404 Long DBT MUN US N 2 2023-08-15 Fixed 5.00000000 N N N N N N N/A N/A JPY/USD FWD 20210810 000000973 USD N/A 1.00000000 NC N/A 124626.16000000 0.020752656860 N/A DFE N/A N 2 BARCLAYS BANK PLC N/A -753000000.00000000 JPY 6904848.80000000 USD 2021-08-10 124626.16000000 N N N MIZUHO FINANCIAL V/R 05/25/24 353800CI5L6DDAN5XZ33 MIZUHO FINANCIAL GROUP REGD V/R 0.77700000 60687YBC2 3400000.00000000 NS USD 3419901.12000000 0.569479429034 Long DBT CORP JP N 2 2024-05-25 Variable 0.77700000 N N N N N N TPMF 2019-A V/R 07/20/45 /GBP/ N/A TOWD POINT MORTGAGE FUNDING SER 2019-A13A CL A1 V/R REGD 144A P/P /GBP/ 0.94810000 N/A 776421.00000000 NS 1076965.97000000 0.179335584323 Long ABS-CBDO CORP GB Y 2 2045-07-20 Variable 0.94810000 N N N N N N HARTFORD CNTY CT M 5% 07/15/22 549300CEZQKAR15IFS62 HARTFORD CNTY CT MET DIST REGD N/C B/E 5.00000000 416489VG4 1200000.00000000 NS USD 1260606.48000000 0.209915267511 Long DBT MUN US N 2 2022-07-15 Fixed 5.00000000 N N N N N N TEXAS ST UNIV SYS 5% 03/15/22 N/A TEXAS ST UNIV SYS FING REVENUE REGD N/C B/E 5.00000000 88278PZQ0 2200000.00000000 NS USD 2275407.42000000 0.378899176582 Long DBT MUN US N 2 2022-03-15 Fixed 5.00000000 N N N N N N PLRS 2019-1 V/R 04/27/57 /GBP/ N/A POLARIS RMBS SER 2019-1 CL A V/R REGD REG S /GBP/ 1.30000000 G7152LAA5 559167.87000000 NS 776555.31000000 0.129311421305 Long ABS-CBDO CORP GB N 2 2057-04-27 Variable 1.30000000 N N N N N N NEW YORK ST DORM A 4% 10/01/23 549300C8XO7EXTX2XU71 NEW YORK ST DORM AUTH REVENUES REGD N/C B/E AGM 4.00000000 64990G5P3 1150000.00000000 NS USD 1248104.66000000 0.207833473603 Long DBT MUN US N 2 2023-10-01 Fixed 4.00000000 N N N N N N BOC AVIATION L 2.375% 09/15/21 N/A BOC AVIATION LTD REGD REG S EMTN 2.37500000 09681MAC2 2500000.00000000 NS USD 2503650.00000000 0.416905963790 Long DBT CORP SG N 2 2021-09-15 Fixed 2.37500000 N N N N N N DOLPHIN ENERGY L 5.5% 12/15/21 N/A DOLPHIN ENERGY LTD REGD 5.50000000 M28368AB0 1600000.00000000 NS USD 1634016.00000000 0.272095147216 Long DBT CORP AE N 2 2021-12-15 Fixed 5.50000000 N N N N N N US T BILL ZCP 08/26/21 N/A UNITED STATES TREASURY BILL ZCP 0.00000000 912796D55 2400000.00000000 PA USD 2399841.34000000 0.399619821778 Long STIV UST US N 2 2021-08-26 Fixed 0.00000000 N N N N N N SOUTHERN CAL EDIS V/R 04/03/23 N/A SOUTHERN CAL EDISON REGD V/R 0.65000000 842400HA4 1700000.00000000 NS USD 1704119.02000000 0.283768650748 Long DBT CORP US N 2 2023-04-03 Variable 0.65000000 N N N N N N MSC 2019-PLND A V/R 05/15/21 N/A MORGAN STANLEY CAPITAL I TRUST 2019-PLND SER 2019-PLND CL A V/R REGD 144A P/P 1.07300000 61691XAA1 700000.00000000 NS USD 696512.39000000 0.115982732907 Long ABS-CBDO CORP US Y 2 2036-05-15 Variable 1.07300000 N N N N N N BAMLL 2019-RLJ A V/R 04/15/36 N/A BAMLL COMMERCIAL MORTGAGE SECURITIES TRUS SER 2019-RLJ CL A V/R REGD 144A P/P 1.12300000 05492HAA4 400000.00000000 NS USD 399087.56000000 0.066455768113 Long ABS-CBDO CORP US Y 2 2036-04-15 Variable 1.12300000 N N N N N N IDAHO ST HLTH FAC V/R 03/01/48 549300X43KY1C2WW0J97 IDAHO ST HLTH FACS AUTH REVENU REGD V/R B/E 0.02000000 451295ZZ5 4500000.00000000 NS USD 4500000.00000000 0.749336703236 Long DBT MUN US N 2 2048-03-01 Variable 0.02000000 N N N N N N GARLAND TX INDEP S 5% 02/15/23 N/A GARLAND TX INDEP SCH DIST REGD N/C B/E PSF-GTD 5.00000000 366155H36 1160000.00000000 NS USD 1249896.75000000 0.208131891117 Long DBT MUN US N 2 2023-02-15 Fixed 5.00000000 N N N N N N F/C US 10YR ULTRA FUT SEP21 N/A FUTURE CONTRACT ON US 10YR ULTRA FUT SEP21 0.00000000 N/A -55.00000000 NC USD -8096171.88000000 -1.34816861008 N/A DIR CORP US N 1 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Short F/C US 10YR ULTRA FUT SEP21 US 10YR ULTRA FUT SEP21 2021-09-21 7954375.00000000 USD -141796.88000000 N N N SMB 2016-C A2A 2.34% 08/15/25 N/A SMB PRIVATE EDUCATION LOAN TRUST 2016-C SER 2016-C CL A2A REGD 144A P/P 2.34000000 78449KAB6 800246.33000000 NS USD 817904.41000000 0.136196843144 Long ABS-CBDO CORP US Y 2 2034-09-15 Fixed 2.34000000 N N N N N N NEWARK NJ 5% 10/01/22 5493008RBPM01QHRYX34 NEWARK NJ REGD N/C B/E ST AID 5.00000000 650367PJ8 700000.00000000 NS USD 735333.69000000 0.122447227342 Long DBT MUN US N 2 2022-10-01 Fixed 5.00000000 N N N N N N NRZT 2021-NQ2R A V/R 09/25/58 N/A NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021- SER 2021-NQ2R CL A1 V/R REGD 144A P/P 0.94054000 64831EAA8 1566830.77000000 NS USD 1566678.63000000 0.260882177696 Long ABS-CBDO CORP US Y 2 2058-09-25 Variable 0.94054000 N N N N N N ROYAL BANK OF CAN V/R 01/19/24 ES7IP3U3RHIGC71XBU11 ROYAL BANK OF CANADA REGD V/R MTN SER GMTN 0.32956000 78015K7M0 400000.00000000 NS USD 400412.00000000 0.066676312892 Long DBT CORP CA N 2 2024-01-19 Variable 0.32956000 N N N N N N NEW YORK ST URBAN 5% 03/15/22 54930039Y2EMGXN6LM88 NEW YORK ST URBAN DEV CORP SAL REGD N/C B/E 5.00000000 64985TAC5 8575000.00000000 NS USD 8868917.56000000 1.476845654596 Long DBT MUN US N 2 2022-03-15 Fixed 5.00000000 N N N N N N 2021-07-30 Six Circles Trust Gregory McNeil Gregory McNeil Treasurer/Principal Financial Officer