Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 — 16.8% |
||||||||
| American Express Credit Account Master Trust, Series 2022-2, Class A, 3.39%, 05/15/2027 | 1,200 | 1,161 | ||||||
| Anchorage Capital CLO Ltd., (Cayman Islands), | ||||||||
| Series 2014-3RA, Class A, (ICE LIBOR USD 3 Month + 1.05%), 3.84%, 01/28/2031 (e) (aa) | 1,243 | 1,223 | ||||||
| Series 2015-7A, Class AR2, (ICE LIBOR USD 3 Month + 1.09%), 3.88%, 01/28/2031 (e) (aa) | 1,577 | 1,549 | ||||||
| Atlas Senior Loan Fund III Ltd., (Cayman Islands), Series 2013-1A, Class AR, (ICE LIBOR USD 3 Month + 0.83%), 3.77%, 11/17/2027 (e) (aa) | 214 | 211 | ||||||
| Autoflorence Srl, (Italy), | ||||||||
| Series 2, Class A, Reg. S, (ICE LIBOR EUR 1 Month + 0.70%), 1.38%, 12/24/2044 (aa) | EUR | 777 | 756 | |||||
| Series 2, Class B, Reg. S, (ICE LIBOR EUR 1 Month + 0.75%), 1.43%, 12/24/2044 (aa) | EUR | 161 | 153 | |||||
| Autonoria Spain 2022 FT, (Spain), | ||||||||
| Series 2022-SP, Class A, Reg. S, (ICE LIBOR EUR 1 Month + 0.84%), 1.54%, 01/25/2040 (aa) |
EUR | 800 | 784 | |||||
| Series 2022-SP, Class B, Reg. S, (ICE LIBOR EUR 1 Month + 2.00%), 2.70%, 01/26/2040 (aa) |
EUR | 100 | 98 | |||||
| BA Credit Card Trust, Series 2021-A1, Class A1, 0.44%, 09/15/2026 | 2,180 | 2,049 | ||||||
| Barings CLO Ltd., (Cayman Islands), Series 2019-3A, Class A1R, (ICE LIBOR USD 3 Month + 1.07%), 3.78%, 04/20/2031 (e) (aa) | 250 | 244 | ||||||
| Battalion 18 CLO Ltd., (Cayman Islands), Series 2020-18A, Class AR, (ICE LIBOR USD 3 Month + 1.20%), 3.71%, 10/15/2036 (e) (aa) | 1,000 | 972 | ||||||
| Benefit Street Partners CLO Ltd., (Cayman Islands), Series 2015-6BR, Class A, (ICE LIBOR USD 3 Month + 1.19%), 3.90%, 07/20/2034 (e) (aa) | 1,000 | 972 | ||||||
| Benefit Street Partners CLO VIII Ltd., (Cayman Islands), Series 2015-8A, Class A1AR, (ICE LIBOR USD 3 Month + 1.10%), 3.81%, 01/20/2031 (e) (aa) | 1,000 | 976 | ||||||
| BHG Securitization Trust, Series 2022-B, Class A, 3.75%, 06/18/2035 (e) | 122 | 121 | ||||||
| Birch Grove CLO Ltd., (Cayman Islands), Series 19A, Class AR, (ICE LIBOR USD 3 Month + 1.13%), 4.42%, 06/15/2031 (e) (aa) | 2,000 | 1,959 | ||||||
| BMW Canada Auto Trust, (Canada), Series 2022-1A, Class A1, 3.65%, 12/20/2024 (e) | CAD | 740 | 532 | |||||
| BSPRT Issuer Ltd., (Cayman Islands), Series 2021-FL7, Class A, (ICE LIBOR USD 1 Month + 1.32%), 4.14%, 12/15/2038 (e) (aa) | 360 | 350 | ||||||
| Burnham Park CLO Ltd., (Cayman Islands), Series 2016-1A, Class AR, (ICE LIBOR USD 3 Month + 1.15%), 3.86%, 10/20/2029 (e) (aa) | 464 | 458 | ||||||
| Capital One Multi-Asset Execution Trust, Series 2017-A5, Class A5, (ICE LIBOR USD 1 Month + 0.58%), 3.40%, 07/15/2027 (aa) | 900 | 900 | ||||||
| CarMax Auto Owner Trust, | ||||||||
| Series 2021-2, Class A3, 0.52%, 02/17/2026 | 1,060 | 1,025 | ||||||
| Series 2022-2, Class A2B, (United States 30 Day Average SOFR + 0.60%), 2.89%, 05/15/2025 (aa) | 1,046 | 1,045 | ||||||
| Chesapeake Funding II LLC, | ||||||||
| Series 2019-1A, Class A1, 2.94%, 04/15/2031 (e) | 33 | 33 | ||||||
| Series 2020-1A, Class A2, (ICE LIBOR USD 1 Month + 0.65%), 3.47%, 08/15/2032 (e) (aa) | 448 | 447 | ||||||
| CIFC Funding Ltd., (Cayman Islands), Series 2014-5A, Class A1R2, (ICE LIBOR USD 3 Month + 1.20%), 3.94%, 10/17/2031 (e) (aa) | 1,000 | 973 | ||||||
| CIT Mortgage Loan Trust, Series 2007-1, Class 1A, (ICE LIBOR USD 1 Month + 1.35%), 4.43%, 10/25/2037 (e) (aa) | 140 | 139 | ||||||
| Citibank Credit Card Issuance Trust, | ||||||||
| Series 2017-A5, Class A5, (ICE LIBOR USD 1 Month + 0.62%), 3.67%, 04/22/2026 (aa) | 900 | 900 | ||||||
| Series 2018-A5, Class A5, (ICE LIBOR USD 1 Month + 0.61%), 3.25%, 08/07/2027 (aa) | 900 | 899 | ||||||
| Credit Acceptance Auto Loan Trust, Series 2021-3A, Class A, 1.00%, 05/15/2030 (e) | 350 | 331 | ||||||
| Discover Card Execution Note Trust, Series 2017-A5, Class A5, (ICE LIBOR USD 1 Month + 0.60%), 3.42%, 12/15/2026 (aa) | 900 | 900 | ||||||
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| DLLST LLC, Series 2022-1A, Class A1, 1.56%, 05/22/2023 (e) | 400 | 399 | ||||||
| Dowson plc, (United Kingdom), | ||||||||
| Series 2021-2, Class A, Reg. S, (SONIA Interest Rate Benchmark + 0.68%), 2.72%, 10/20/2028 (aa) | GBP | 358 | 398 | |||||
| Series 2021-2, Class B, Reg. S, (SONIA Interest Rate Benchmark + 1.20%), 3.24%, 10/20/2028 (aa) | GBP | 200 | 220 | |||||
| Series 2022-1, Class A, Reg. S, (SONIA Interest Rate Benchmark + 0.92%), 2.96%, 01/20/2029 (aa) | GBP | 327 | 363 | |||||
| Series 2022-2, Class B, Reg. S, (SONIA Interest Rate Benchmark + 2.70%), 0.00%, 08/20/2029 (aa) | GBP | 159 | 178 | |||||
| Dryden 49 Senior Loan Fund, (Cayman Islands), Series 2017-49A, Class AR, (ICE LIBOR USD 3 Month + 0.95%), 3.69%, 07/18/2030 (e) (aa) | 1,500 | 1,479 | ||||||
| ELFI Graduate Loan Program LLC, Series 2021-A, Class A, 1.53%, 12/26/2046 (e) | 857 | 749 | ||||||
| Enterprise Fleet Financing LLC, Series 2019-3, Class A2, 2.06%, 05/20/2025 (e) | 125 | 125 | ||||||
| FirstKey Homes Trust, Series 2020-SFR2, Class A, 1.27%, 10/19/2037 (e) | 794 | 711 | ||||||
| Ford Auto Securitization Trust, (Canada), Series 2021-AA, Class A2, 1.16%, 10/15/2025 (e) | CAD | 1,271 | 894 | |||||
| Ford Credit Auto Lease Trust, Series 2022-A, Class A2B, (United States 30 Day Average SOFR + 0.60%), 2.89%, 10/15/2024 (aa) | 712 | 713 | ||||||
| Ford Credit Auto Owner Trust, | ||||||||
| Series 2019-B, Class A4, 2.24%, 10/15/2024 | 292 | 290 | ||||||
| Series 2022-B, Class A2A, 3.44%, 02/15/2025 | 2,633 | 2,613 | ||||||
| Ford Credit Floorplan Master Owner Trust A, Series 2020-1, Class A1, 0.70%, 09/15/2025 | 1,400 | 1,347 | ||||||
| FS Rialto Issuer LLC, | ||||||||
| Series 2022-FL4, Class A, (United States 30 Day Average SOFR + 1.90%), 4.18%, 01/19/2039 (e) (aa) |
583 | 569 | ||||||
| Series 2022-FL6, Class A, (CME Term SOFR 1 Month + 2.58%), 5.60%, 08/17/2037 (e) (aa) | 640 | 634 | ||||||
| Gilbert Park CLO Ltd., (Cayman Islands), Series 2017-1A, Class A, (ICE LIBOR USD 3 Month + 1.19%), 3.70%, 10/15/2030 (e) (aa) | 1,650 | 1,621 | ||||||
| GM Financial Automobile Leasing Trust, | ||||||||
| Series 2022-2, Class A2, 2.93%, 10/21/2024 | 2,170 | 2,148 | ||||||
| Series 2022-3, Class A2A, 4.01%, 10/21/2024 | 1,000 | 995 | ||||||
| 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 | 275 | 273 | ||||||
| Series 2022-3, Class A2A, 3.50%, 09/16/2025 | 4,255 | 4,214 | ||||||
| Series 2022-3, Class A2B, (United States 30 Day Average SOFR + 0.60%), 2.89%, 09/16/2025 (aa) |
900 | 900 | ||||||
| GMF Canada Leasing Trust, (Canada), Series 2021-1A, Class A2, 0.64%, 03/20/2024 (e) | CAD | 357 | 257 | |||||
| Hertz Vehicle Financing III LLC, Series 2022-3A, Class A, 3.37%, 03/25/2025 (e) | 100 | 97 | ||||||
| Honda Auto Receivables Owner Trust, | ||||||||
| Series 2019-3, Class A4, 1.85%, 08/15/2025 | 245 | 244 | ||||||
| Series 2022-2, Class A2, 3.81%, 03/18/2025 | 3,110 | 3,091 | ||||||
| Hyundai Auto Receivables Trust, | ||||||||
| Series 2022-A, Class A2B, (United States 30 Day Average SOFR + 0.63%), 2.92%, 02/18/2025 (e) (aa) | 3,537 | 3,538 | ||||||
| Series 2022-B, Class A2A, 3.64%, 05/15/2025 | 1,011 | 1,003 | ||||||
| ICG US CLO Ltd., (Cayman Islands), Series 2015-1A, Class A1R, (ICE LIBOR USD 3 Month + 1.14%), 3.88%, 10/19/2028 (e) (aa) | 679 | 673 | ||||||
| John Deere Owner Trust, Series 2022-B, Class A2, 3.73%, 06/16/2025 | 817 | 810 | ||||||
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| KREF Ltd., (Cayman Islands), Series 2022-FL3, Class A, (CME Term SOFR 1 Month + 1.45%), 4.47%, 02/17/2039 (e) (aa) | 1,310 | 1,259 | ||||||
| Madison Park Funding XLI Ltd., (Cayman Islands), Series 12A, Class AR, (ICE LIBOR USD 3 Month + 0.83%), 3.59%, 04/22/2027 (e) (aa) | 842 | 828 | ||||||
| Madison Park Funding XXXIII Ltd., (Cayman Islands), Series 2019-33A, Class AR, (CME Term SOFR 3 Month + 1.29%), 3.62%, 10/15/2032 (e) (aa) | 250 | 245 | ||||||
| Master Credit Card Trust, (Canada), Series 2021-1A, Class A, 0.53%, 11/21/2025 (e) | 1,500 | 1,398 | ||||||
| Navient Private Education Loan Trust, Series 2017-A, Class A2B, (ICE LIBOR USD 1 Month + 0.90%), 3.72%, 12/16/2058 (e) (aa) | 225 | 224 | ||||||
| Nelnet Student Loan Trust, | ||||||||
| Series 2019-2A, Class A, (ICE LIBOR USD 1 Month + 0.90%), 3.98%, 06/27/2067 (e) (aa) | 900 | 891 | ||||||
| Series 2021-CA, Class AFL, (ICE LIBOR USD 1 Month + 0.74%), 3.73%, 04/20/2062 (e) (aa) | 548 | 531 | ||||||
| Neuberger Berman Loan Advisers CLO 26 Ltd., (Cayman Islands), Series 2017-26A, Class AR, (ICE LIBOR USD 3 Month + 0.92%), 3.66%, 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 | 3,846 | ||||||
| OHA Credit Funding 6 Ltd., (Cayman Islands), Series 2020-6A, Class AR, (ICE LIBOR USD 3 Month + 1.14%), 3.85%, 07/20/2034 (e) (aa) | 1,000 | 971 | ||||||
| OneMain Direct Auto Receivables Trust, Series 2022-1A, Class A2, (United States 30 Day Average SOFR + 1.60%), 3.89%, 03/14/2029 (e) (aa) | 835 | 830 | ||||||
| Oscar US Funding XI LLC, (Japan), Series 2019-2A, Class A4, 2.68%, 09/10/2026 (e) | 273 | 268 | ||||||
| Oscar US Funding XII LLC, (Japan), Series 2021-1A, Class A2, 0.40%, 03/11/2024 (e) | 323 | 321 | ||||||
| Oscar US Funding XIII LLC, Series 2021-2A, Class A2, 0.39%, 08/12/2024 (e) | 386 | 380 | ||||||
| OZLM XII Ltd., (Cayman Islands), Series 2015-12A, Class A1R, (ICE LIBOR USD 3 Month + 1.05%), 3.83%, 04/30/2027 (e) (aa) | — | (h) | — | (h) | ||||
| Palmer Square CLO Ltd., (Cayman Islands), Series 2013-2A, Class A1A3, (ICE LIBOR USD 3 Month + 1.00%), 3.74%, 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%), 3.88%, 07/25/2035 (aa) | 660 | 651 | ||||||
| Pawneee Equipment Receivables Series LLC, | ||||||||
| Series 2021-1, Class A2, 1.10%, 07/15/2027 (e) | 902 | 863 | ||||||
| Series 2022-1, Class A1, 3.81%, 08/15/2023 (e) | 689 | 689 | ||||||
| Series 2022-1, Class A2, 4.84%, 02/15/2028 (e) | 900 | 896 | ||||||
| PCL Funding VI plc, (United Kingdom), Series 2022-1, Class A, Reg. S, (SONIA Interest Rate Benchmark + 1.40%), 3.37%, 07/15/2026 (aa) | GBP | 723 | 803 | |||||
| PRET LLC, | ||||||||
| Series 2021-NPL3, Class A1, SUB, 1.87%, 07/25/2051 (e) | 701 | 623 | ||||||
| Series 2021-NPL6, Class A1, SUB, 2.49%, 07/25/2051 (e) | 526 | 490 | ||||||
| Pretium Mortgage Credit Partners LLC, Series 2021-RN1, Class A1, SUB, 1.99%, 02/25/2061 (e) |
263 | 246 | ||||||
| Prodigy Finance DAC, (Ireland), Series 2021-1A, Class A, (ICE LIBOR USD 1 Month + 1.25%), 4.33%, 07/25/2051 (e) (aa) | 132 | 129 | ||||||
| Red & Black Auto Germany UG, (Germany), Series 8, Class B, Reg. S, (ICE LIBOR EUR 1 Month + 0.75%), 1.37%, 09/15/2030 (aa) | EUR | 200 | 192 | |||||
| Red & Black Auto Italy Srl, (Italy), Series 1, Class A, Reg. S, (ICE LIBOR EUR 1 Month + 0.70%), 1.40%, 12/28/2031 (aa) | EUR | 1,209 | 1,182 | |||||
| Rockford Tower CLO Ltd., (Cayman Islands), Series 2017-3A, Class A, (ICE LIBOR USD 3 Month + 1.19%), 3.90%, 10/20/2030 (e) (aa) | 250 | 244 | ||||||
| RR 3 Ltd., (Cayman Islands), Series 2018-3A, Class A1R2, (ICE LIBOR USD 3 Month + 1.09%), 3.60%, 01/15/2030 (e) (aa) | 1,000 | 979 | ||||||
| Santander Drive Auto Receivables Trust, | ||||||||
| Series 2022-2, Class A2, 2.12%, 10/15/2026 | 945 | 941 | ||||||
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 2022-4, Class A2, 4.05%, 07/15/2025 | 729 | 726 | ||||||
| SC Germany SA Compartment Consumer, (Luxembourg), Series 2020-1, Class C, Reg. S, (ICE LIBOR EUR 1 Month + 1.75%), 2.34%, 11/14/2034 (aa) | EUR | 312 | 303 | |||||
| SLM Student Loan Trust, Series 2004-10, Class A7B, (ICE LIBOR USD 3 Month + 0.60%), 3.38%, 10/25/2029 (e) (aa) | 972 | 963 | ||||||
| SMB Private Education Loan Trust, | ||||||||
| Series 2016-B, Class A2B, (ICE LIBOR USD 1 Month + 1.45%), 4.27%, 02/17/2032 (e) (aa) | 629 | 627 | ||||||
| Series 2016-C, Class A2A, 2.34%, 09/15/2034 (e) | 441 | 421 | ||||||
| Series 2017-A, Class A2B, (ICE LIBOR USD 1 Month + 0.90%), 3.72%, 09/15/2034 (e) (aa) | 944 | 933 | ||||||
| Series 2020-PTA, Class A2A, 1.60%, 09/15/2054 (e) | 482 | 431 | ||||||
| Series 2021-A, Class A2A1, (ICE LIBOR USD 1 Month + 0.73%), 3.55%, 01/15/2053 (e) (aa) | 2,181 | 2,094 | ||||||
| Series 2021-C, Class A1, (ICE LIBOR USD 1 Month + 0.40%), 3.22%, 01/15/2053 (e) (aa) | 56 | 56 | ||||||
| Series 2022-B, Class A1B, (United States 30 Day Average SOFR + 1.45%), 3.74%, 02/16/2055 (e) (aa) | 1,070 | 1,053 | ||||||
| SoFi Professional Loan Program LLC, Series 2016-C, Class A2B, 2.36%, 12/27/2032 (e) | 9 | 10 | ||||||
| Symphony CLO XXIV Ltd., (Cayman Islands), Series 2020-24A, Class A, (ICE LIBOR USD 3 Month + 1.20%), 3.98%, 01/23/2032 (e) (aa) | 700 | 685 | ||||||
| TCI-Symphony CLO Ltd., (Cayman Islands), Series 2016-1A, Class AR2, (ICE LIBOR USD 3 Month + 1.02%), 3.48%, 10/13/2032 (e) (aa) | 265 | 259 | ||||||
| Towd Point Asset Trust, Series 2021-SL1, Class A2, (ICE LIBOR USD 1 Month + 0.70%), 3.69%, 11/20/2061 (e) (aa) | 216 | 213 | ||||||
| Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.35%, 05/25/2033 (e) | 1,500 | 1,370 | ||||||
| Toyota Auto Receivables Owner Trust, | ||||||||
| Series 2022-C, Class A2A, 3.83%, 08/15/2025 | 1,500 | 1,491 | ||||||
| Series 2022-C, Class A2B, (United States 30 Day Average SOFR + 0.57%), 2.86%, 08/15/2025 (aa) | 2,000 | 1,999 | ||||||
| Venture XVIII CLO Ltd., (Cayman Islands), Series 2014-18A, Class AR, (ICE LIBOR USD 3 Month + 1.22%), 3.73%, 10/15/2029 (e) (aa) | 2,038 | 2,015 | ||||||
| Verizon Owner Trust, Series 2020-A, Class A1B, (ICE LIBOR USD 1 Month + 0.27%), 3.26%, 07/22/2024 (aa) | 175 | 175 | ||||||
| Volkswagen Auto Lease Trust, Series 2022-A, Class A2, 3.02%, 10/21/2024 | 3,014 | 2,975 | ||||||
| Voya CLO Ltd., (Cayman Islands), Series 2018-3A, Class A1A, (ICE LIBOR USD 3 Month + 1.15%), 3.66%, 10/15/2031 (e) (aa) | 1,150 | 1,116 | ||||||
| VOYA CLO, (Cayman Islands), Series 2017-2A, Class A1R, (ICE LIBOR USD 3 Month + 0.98%), 3.49%, 06/07/2030 (e) (aa) | 270 | 265 | ||||||
| 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%), 3.69%, 07/20/2030 (e) (aa) | 250 | 246 | ||||||
|
|
|
|||||||
| Total Asset-Backed Securities (Cost $101,714) |
98,751 | |||||||
|
|
|
|||||||
| Certificates of Deposit — 2.9% |
||||||||
| Financial — 2.9% |
||||||||
| Banks — 2.9% |
||||||||
| Canadian Imperial Bank of Commerce, (Canada), 1.35%, 02/13/2023 | 3,000 | 2,972 | ||||||
| Credit Suisse AG, (Switzerland), (SOFR Compounded Index + 0.43%), 3.39%, 10/28/2022 (aa) |
4,500 | 4,501 | ||||||
| Goldman Sachs Bank USA, (SOFR Compounded Index + 0.24%), 2.89%, 02/13/2023 (aa) | 2,000 | 2,000 | ||||||
| MUFG Bank Ltd., (Japan), | ||||||||
| (United States SOFR + 0.30%), 3.26%, 03/10/2023 (aa) | 3,000 | 2,999 | ||||||
| (United States SOFR + 0.30%), 3.26%, 03/13/2023 (aa) | 3,000 | 2,999 | ||||||
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL AMOUNT ($) |
VALUE ($) | ||||||
| Certificates of Deposit — continued |
||||||||
| Banks — continued |
||||||||
| Standard Chartered Bank, (United Kingdom), (United States SOFR + 0.42%), 3.38%, 07/28/2023 (aa) | 1,300 | 1,299 | ||||||
|
|
|
|||||||
| Total Financial | 16,770 | |||||||
|
|
|
|||||||
| Total Certificates of Deposit (Cost $16,800) |
16,770 | |||||||
|
|
|
|||||||
| Collateralized Mortgage Obligations — 3.6% |
||||||||
| Brass NO 8 plc, (United Kingdom), Series 8A, Class A1, (ICE LIBOR USD 3 Month + 0.70%), 3.62%, 11/16/2066 (e) (aa) | 56 | 56 | ||||||
| Canterbury Finance No. 1 plc, (United Kingdom), Series 1, Class A2, Reg. S, (SONIA Interest Rate Benchmark + 1.35%), 3.30%, 05/16/2056 (aa) | GBP | 624 | 697 | |||||
| Cheshire plc, (United Kingdom), Series 2020-1, Class A, Reg. S, (SONIA Interest Rate Benchmark + 0.90%), 2.89%, 08/20/2045 (aa) | GBP | 491 | 542 | |||||
| CSMC Trust, Series 2021-RPL4, Class A1, 1.80%, 12/27/2060 (e) (z) | 325 | 303 | ||||||
| Dutch Property Finance BV, (Netherlands), Series 2022-1, Class A, Reg. S, (ICE LIBOR EUR 3 Month + 0.75%), 0.96%, 10/28/2059 (aa) | EUR | 819 | 795 | |||||
| Finsbury Square plc, (United Kingdom), | ||||||||
| Series 2019-3, Class A, Reg. S, (SONIA Interest Rate Benchmark + 1.01%), 3.13%, 12/16/2069 (aa) | GBP | 100 | 112 | |||||
| Series 2020-2A, Class A, (SONIA Interest Rate Benchmark + 1.30%), 3.42%, 06/16/2070 (e) (aa) |
GBP | 240 | 269 | |||||
| FNMA REMICS, | ||||||||
| Series 2020-29, Class FC, (ICE LIBOR USD 1 Month + 0.80%), 2.97%, 05/25/2050 (aa) | 1,641 | 1,659 | ||||||
| Series 2022-8, Class D, 2.00%, 08/25/2038 | 1,559 | 1,427 | ||||||
| Friary No. 7 plc, (United Kingdom), Series 7, Class A, Reg.S, (SONIA Interest Rate Benchmark + 0.67%), 0.00%, 10/21/2070 (aa) | GBP | 260 | 290 | |||||
| GCAT LLC, Series 2020-3, Class A1, SUB, 2.98%, 09/25/2025 (e) | 599 | 578 | ||||||
| GNMA, | ||||||||
| Series 2015-H04, Class FA, (ICE LIBOR USD 1 Month + 0.65%), 3.01%, 12/20/2064 (aa) | 1,207 | 1,189 | ||||||
| Series 2017-121, Class PE, 3.00%, 07/20/2046 | 172 | 165 | ||||||
| Series 2018-H18, Class FC, (ICE LIBOR USD 1 Month + 0.35%), 2.71%, 08/20/2065 (aa) | 1,486 | 1,475 | ||||||
| Series 2019-54, Class KF, (ICE LIBOR USD 1 Month + 0.42%), 2.50%, 05/20/2044 (aa) | 396 | 388 | ||||||
| Series 2021-H09, Class FG, (United States 30 Day Average SOFR + 1.50%), 3.78%, 06/20/2071 (aa) | 1,422 | 1,447 | ||||||
| Series 2022-5, Class FA, (United States 30 Day Average SOFR + 0.30%), 2.58%, 01/20/2052 (aa) |
963 | 874 | ||||||
| Series 2022-H01, Class FA, (United States 30 Day Average SOFR + 0.35%), 2.63%, 01/20/2072 (aa) | 677 | 656 | ||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-RPL1, Class A1, 1.75%, 12/25/2060 (e) (z) |
342 | 318 | ||||||
| Legacy Mortgage Asset Trust, Series 2021-GS3, Class A1, SUB, 1.75%, 07/25/2061 (e) | 1,262 | 1,149 | ||||||
| MFA Trust, Series 2021-RPL1, Class A1, 1.13%, 07/25/2060 (e) (z) | 391 | 347 | ||||||
| New Residential Mortgage Loan Trust, | ||||||||
| Series 2018-3A, Class A1, 4.50%, 05/25/2058 (e) (z) | 122 | 118 | ||||||
| Series 2019-NQM5, Class A1, 2.71%, 11/25/2059 (e) (z) | 324 | 294 | ||||||
| Series 2021-NQ2R, Class A1, 0.94%, 10/25/2058 (e) (z) | 636 | 595 | ||||||
| Resimac Bastille Trust Series, (Australia), Series 2021-2NCA, Class A1A, (ICE LIBOR USD 1 Month + 0.65%), 3.28%, 02/03/2053 (e) (aa) | 360 | 356 | ||||||
| Sage AR Funding No 1 plc, (United Kingdom), Series 1A, Class A, (SONIA Interest Rate Benchmark + 1.25%), 3.21%, 11/17/2030 (e) (aa) | GBP | 800 | 876 | |||||
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Silverstone Master Issuer plc, (United Kingdom), | ||||||||
| Series 2022-1A, Class 1A, (United States SOFR + 0.38%), 2.72%, 01/21/2070 (e) (aa) | 700 | 697 | ||||||
| Series 2022-1X, Class 2A, Reg. S, (SONIA Interest Rate Benchmark + 0.29%), 1.99%, 01/21/2070 (aa) |
GBP | 550 | 604 | |||||
| Starwood Mortgage Residential Trust, | ||||||||
| Series 2020-3, Class A1, 1.49%, 04/25/2065 (e) (z) | 231 | 222 | ||||||
| Series 2020-INV1, Class A1, 1.03%, 11/25/2055 (e) (z) | 140 | 129 | ||||||
| Series 2021-2, Class A1, 0.94%, 05/25/2065 (e) (z) | 315 | 293 | ||||||
| Stratton Mortgage Funding, (United Kingdom), Series 2021-2A, Class A, (SONIA Interest Rate Benchmark + 0.90%), 2.59%, 07/20/2060 (e) (aa) | GBP | 154 | 171 | |||||
| Towd Point Mortgage Funding, (United Kingdom), Series 2019-A13A, Class A1, (SONIA Interest Rate Benchmark + 0.90%), 2.59%, 07/20/2045 (e) (aa) | GBP | 641 | 715 | |||||
| Towd Point Mortgage Trust, Series 2019-HY2, Class A1, (ICE LIBOR USD 1 Month + 1.00%), 4.08%, 05/25/2058 (e) (aa) | 333 | 327 | ||||||
| Vita Scientia DAC, (Ireland), Series 2022-1X, Class A, Reg. S, (ICE LIBOR EUR 3 Month + 1.30%), 1.82%, 02/27/2033 (aa) | EUR | 1,000 | 955 | |||||
|
|
|
|||||||
| Total Collateralized Mortgage Obligations (Cost $22,805) |
21,088 | |||||||
|
|
|
|||||||
| Commercial Mortgage-Backed Securities — 6.2% |
||||||||
| 280 Park Avenue Mortgage Trust, Series 2017-280P, Class A, (ICE LIBOR USD 1 Month + 0.88%), 3.59%, 09/15/2034 (e) (aa) | 500 | 487 | ||||||
| AREIT Trust, Series 2019-CRE3, Class A, (CME Term SOFR 1 Month + 1.38%), 4.31%, 09/14/2036 (e) (aa) | 68 | 67 | ||||||
| AREIT Trust, (Cayman Islands), | ||||||||
| Series 2021-CRE5, Class A, (ICE LIBOR USD 1 Month + 1.08%), 4.07%, 11/17/2038 (e) (aa) |
607 | 588 | ||||||
| Series 2022-CRE6, Class A, (United States 30 Day Average SOFR + 1.25%), 3.53%, 01/16/2037 (e) (aa) | 963 | 920 | ||||||
| Ashford Hospitality Trust, Series 2018-KEYS, Class A, (ICE LIBOR USD 1 Month + 1.00%), 3.82%, 06/15/2035 (e) (aa) | 500 | 484 | ||||||
| BAMLL Commercial Mortgage Securities Trust, Series 2019-RLJ, Class A, (ICE LIBOR USD 1 Month + 1.05%), 3.87%, 04/15/2036 (e) (aa) | 400 | 393 | ||||||
| BDS LLC, Series 2022-FL12, Class A, (CME Term SOFR 1 Month + 2.14%), 4.60%, 08/19/2038 (e) (aa) | 700 | 695 | ||||||
| BWAY Mortgage Trust, Series 2021-1450, Class A, (ICE LIBOR USD 1 Month + 1.25%), 4.07%, 09/15/2036 (e) (aa) | 500 | 484 | ||||||
| BX Commercial Mortgage Trust, | ||||||||
| Series 2021-XL2, Class A, (ICE LIBOR USD 1 Month + 0.69%), 3.51%, 10/15/2038 (e) (aa) | 723 | 694 | ||||||
| Series 2022-LP2, Class A, (CME Term SOFR 1 Month + 1.01%), 3.93%, 02/15/2039 (e) (aa) | 934 | 896 | ||||||
| BX Trust, Series 2022-IND, Class A, (CME Term SOFR 1 Month + 1.49%), 4.41%, 04/15/2037 (e) (aa) |
950 | 923 | ||||||
| CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class A, (ICE LIBOR USD 1 Month + 1.07%), 3.89%, 12/15/2037 (e) (aa) | 765 | 750 | ||||||
| CEDR Commercial Mortgage Trust, Series 2022-SNAI, Class A, (CME Term SOFR 1 Month + 0.99%), 3.83%, 02/15/2039 (e) (aa) | 530 | 501 | ||||||
| CFCRE Commercial Mortgage Trust, Series 2016-C4, Class ASB, 3.09%, 05/10/2058 | 858 | 827 | ||||||
| Citigroup Commercial Mortgage Trust, | ||||||||
| Series 2013-GC15, Class A4, 4.37%, 09/10/2046 (z) | 1,000 | 993 | ||||||
| Series 2021-KEYS, Class A, (ICE LIBOR USD 1 Month + 1.18%), 4.00%, 10/15/2036 (e) (aa) | 900 | 890 | ||||||
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Cold Storage Trust, Series 2020-ICE5, Class A, (ICE LIBOR USD 1 Month + 0.90%), 3.72%, 11/15/2037 (e) (aa) | 870 | 847 | ||||||
| COMM, Series 2013-GAM, Class A2, 3.37%, 02/10/2028 (e) | 1,213 | 1,197 | ||||||
| COMM Mortgage Trust, | ||||||||
| Series 2013-CR8, Class A5, 3.61%, 06/10/2046 (z) | 418 | 415 | ||||||
| Series 2013-CR11, Class A4, 4.26%, 08/10/2050 | 750 | 745 | ||||||
| Series 2014-UBS2, Class ASB, 3.47%, 03/10/2047 | 564 | 557 | ||||||
| Series 2014-UBS3, Class A4, 3.82%, 06/10/2047 | 1,600 | 1,565 | ||||||
| Series 2015-CR23, Class A2, 2.85%, 05/10/2048 | 361 | 361 | ||||||
| Series 2015-LC19, Class ASB, 3.04%, 02/10/2048 | 254 | 248 | ||||||
| Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class A, (ICE LIBOR USD 1 Month + 0.98%), 3.80%, 05/15/2036 (e) (aa) | 590 | 582 | ||||||
| CSMC, Series 2021-BHAR, Class A, (ICE LIBOR USD 1 Month + 1.15%), 3.97%, 11/15/2038 (e) (aa) |
974 | 930 | ||||||
| DBGS Mortgage Trust, Series 2018-BIOD, Class A, (ICE LIBOR USD 1 Month + 0.80%), 3.51%, 05/15/2035 (e) (aa) | 1,188 | 1,164 | ||||||
| GS Mortgage Securities Corp. Trust, | ||||||||
| Series 2021-STAR, Class A, (ICE LIBOR USD 1 Month + 0.95%), 3.77%, 12/15/2036 (e) (aa) | 690 | 662 | ||||||
| Series 2022-ECI, Class A, (CME Term SOFR 1 Month + 2.19%), 5.04%, 08/15/2039 (e) (aa) | 760 | 753 | ||||||
| Series 2022-SHIP, Class A, (CME Term SOFR 1 Month + 0.73%), 3.58%, 08/15/2036 (e) (aa) | 650 | 639 | ||||||
| GS Mortgage Securities Trust, | ||||||||
| Series 2012-GCJ9, Class A3, 2.77%, 11/10/2045 | 7 | 7 | ||||||
| Series 2013-GC16, Class A4, 4.27%, 11/10/2046 | 1,000 | 987 | ||||||
| ILPT Commercial Mortgage Trust, Series 2022-LPF2, Class A, (CME Term SOFR 1 Month + 2.25%), 4.50%, 10/15/2039 (e) (aa) | 480 | 478 | ||||||
| INTOWN Mortgage Trust, Series 2022-STAY, Class A, (CME Term SOFR 1 Month + 2.49%), 5.33%, 08/15/2037 (e) (aa) | 1,250 | 1,236 | ||||||
| J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2018-AON, Class A, 4.13%, 07/05/2031 (e) | 1,000 | 977 | ||||||
| Life Mortgage Trust, Series 2021-BMR, Class A, (ICE LIBOR USD 1 Month + 0.70%), 3.52%, 03/15/2038 (e) (aa) | 295 | 283 | ||||||
| MF1X, | ||||||||
| Series 2021-W10, Class A, (CME Term SOFR 1 Month + 1.07%), 3.92%, 12/15/2034 (e) (aa) | 1,130 | 1,115 | ||||||
| Series 2021-W10, Class B, (CME Term SOFR 1 Month + 1.37%), 4.22%, 12/15/2034 (e) (aa) | 120 | 117 | ||||||
| MHC Commercial Mortgage Trust, Series 2021-MHC, Class A, (ICE LIBOR USD 1 Month + 0.80%), 3.62%, 04/15/2038 (e) (aa) | 1,135 | 1,092 | ||||||
| Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
| Series 2013-C10, Class ASB, 3.91%, 07/15/2046 (z) | 33 | 33 | ||||||
| Series 2013-C11, Class AAB, 3.85%, 08/15/2046 | 205 | 204 | ||||||
| Morgan Stanley Capital I Trust, Series 2019-PLND, Class A, (ICE LIBOR USD 1 Month + 1.00%), 3.82%, 05/15/2036 (e) (aa) | 700 | 676 | ||||||
| MTN Commercial Mortgage Trust, Series 2022-LPFL, Class A, (CME Term SOFR 1 Month + 1.40%), 4.24%, 03/15/2039 (e) (aa) | 1,100 | 1,070 | ||||||
| Natixis Commercial Mortgage Securities Trust, Series 2022-RRI, Class A, (CME Term SOFR 1 Month + 1.82%), 4.67%, 03/15/2035 (e) (aa) | 900 | 884 | ||||||
| SREIT Trust, Series 2021-IND, Class A, (ICE LIBOR USD 1 Month + 0.70%), 3.52%, 10/15/2038 (e) (aa) | 900 | 859 | ||||||
| TPGI Trust, Series 2021-DGWD, Class A, (ICE LIBOR USD 1 Month + 0.70%), 3.52%, 06/15/2026 (e) (aa) | 1,360 | 1,302 | ||||||
| Wells Fargo Commercial Mortgage Trust, | ||||||||
| Series 2013-LC12, Class A3FL, (ICE LIBOR USD 1 Month + 1.05%), 3.99%, 07/15/2046 (e) (aa) | 718 | 718 | ||||||
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Series 2015-NXS2, Class A2, 3.02%, 07/15/2058 | 184 | 179 | ||||||
| Series 2017-HSDB, Class A, (ICE LIBOR USD 1 Month + 0.85%), 3.62%, 12/13/2031 (e) (aa) | 1,000 | 986 | ||||||
| WFRBS Commercial Mortgage Trust, | ||||||||
| Series 2013-C11, Class A5, 3.07%, 03/15/2045 | 705 | 702 | ||||||
| Series 2013-C12, Class ASB, 2.84%, 03/15/2048 | 148 | 148 | ||||||
| Series 2013-C18, Class A5, 4.16%, 12/15/2046 (z) | 1,250 | 1,232 | ||||||
|
|
|
|||||||
| Total Commercial Mortgage-Backed Securities (Cost $37,841) |
36,542 | |||||||
|
|
|
|||||||
| Corporate Bonds — 53.8% |
||||||||
| Basic Materials — 0.6% |
||||||||
| Chemicals — 0.6% |
||||||||
| DuPont de Nemours, Inc., | ||||||||
| (ICE LIBOR USD 3 Month + 1.11%), 4.02%, 11/15/2023 (aa) | 1,500 | 1,506 | ||||||
| 4.21%, 11/15/2023 | 2,000 | 1,988 | ||||||
|
|
|
|||||||
| Total Basic Materials | 3,494 | |||||||
|
|
|
|||||||
| Communications — 4.4% |
||||||||
| Internet — 0.1% |
||||||||
| SK Broadband Co. Ltd., (South Korea), Reg. S, 3.88%, 08/13/2023 | 400 | 397 | ||||||
|
|
|
|||||||
| Media — 0.9% |
||||||||
| Charter Communications Operating LLC / Charter Communications Operating Capital, (ICE LIBOR USD 3 Month + 1.65%), 4.43%, 02/01/2024 (aa) | 4,000 | 4,021 | ||||||
| Discovery Communications LLC, 2.95%, 03/20/2023 | 1,500 | 1,487 | ||||||
|
|
|
|||||||
| 5,508 | ||||||||
|
|
|
|||||||
| Telecommunications — 3.4% |
||||||||
| AT&T, Inc., | ||||||||
| (SOFR Compounded Index + 0.64%), 3.61%, 03/25/2024 (aa) | 3,750 | 3,727 | ||||||
| Reg. S, (BBSW ASX Australian 3 Month + 1.25%), 4.09%, 09/19/2023 (aa) | AUD | 720 | 462 | |||||
| (ICE LIBOR USD 3 Month + 1.18%), 4.42%, 06/12/2024 (aa) | 5,300 | 5,317 | ||||||
| NTT Finance Corp., (Japan), 4.14%, 07/26/2024 (e) | 370 | 365 | ||||||
| SES SA, (Luxembourg), 3.60%, 04/04/2023 (e) | 1,300 | 1,281 | ||||||
| SK Telecom Co. Ltd., (South Korea), Reg. S, 3.75%, 04/16/2023 | 400 | 397 | ||||||
| Verizon Communications, Inc., | ||||||||
| (SOFR Compounded Index + 0.50%), 3.46%, 03/22/2024 (aa) | 5,000 | 4,957 | ||||||
| Reg. S, (BBSW ASX Australian 3 Month + 1.22%), 3.51%, 02/17/2023 (aa) | AUD | 2,400 | 1,536 | |||||
| (ICE LIBOR USD 3 Month + 1.10%), 4.01%, 05/15/2025 (aa) | 200 | 201 | ||||||
| Vodafone Group plc, (United Kingdom), Reg. S, (BBSW ASX Australian 3 Month + 1.05%), 3.73%, 12/13/2022 (aa) | AUD | 2,580 | 1,650 | |||||
|
|
|
|||||||
| 19,893 | ||||||||
|
|
|
|||||||
| Total Communications | 25,798 | |||||||
|
|
|
|||||||
| Consumer Cyclical — 6.4% |
||||||||
| Auto Manufacturers — 5.7% |
||||||||
| BMW US Capital LLC, | ||||||||
| (SOFR Compounded Index + 0.38%), 3.03%, 08/12/2024 (e) (aa) | 2,130 | 2,109 | ||||||
| (SOFR Compounded Index + 0.84%), 3.81%, 04/01/2025 (e) (aa) | 1,100 | 1,099 | ||||||
| General Motors Financial Co., Inc., | ||||||||
| 1.05%, 03/08/2024 | 2,614 | 2,453 | ||||||
| 3.25%, 01/05/2023 | 700 | 696 | ||||||
| (United States SOFR + 0.76%), 3.61%, 03/08/2024 (aa) | 1,000 | 986 | ||||||
| 3.70%, 05/09/2023 | 1,200 | 1,194 | ||||||
| 4.15%, 06/19/2023 | 500 | 498 | ||||||
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Hyundai Capital America, | ||||||||
| 0.80%, 04/03/2023 (e) | 2,790 | 2,732 | ||||||
| 1.00%, 09/17/2024 (e) | 725 | 663 | ||||||
| Reg. S, 4.13%, 06/08/2023 | 300 | 298 | ||||||
| Mercedes-Benz Finance North America LLC, 1.75%, 03/10/2023 (e) | 1,800 | 1,777 | ||||||
| Nissan Motor Acceptance Co. LLC, | ||||||||
| 1.05%, 03/08/2024 (e) | 1,170 | 1,090 | ||||||
| (ICE LIBOR USD 3 Month + 0.64%), 3.81%, 03/08/2024 (e) (aa) | 3,375 | 3,333 | ||||||
| 3.88%, 09/21/2023 (e) | 1,000 | 982 | ||||||
| Stellantis NV, (Netherlands), 5.25%, 04/15/2023 | 2,000 | 1,997 | ||||||
| Toyota Motor Credit Corp., (SOFR Compounded Index + 0.65%), 3.62%, 12/29/2023 (aa) | 2,100 | 2,104 | ||||||
| Volkswagen Group of America Finance LLC, | ||||||||
| 0.75%, 11/23/2022 (e) | 6,000 | 5,972 | ||||||
| 0.88%, 11/22/2023 (e) | 1,800 | 1,714 | ||||||
| 4.25%, 11/13/2023 (e) | 2,090 | 2,068 | ||||||
|
|
|
|||||||
| 33,765 | ||||||||
|
|
|
|||||||
| Home Builders — 0.1% |
||||||||
| Lennar Corp., 4.50%, 04/30/2024 | 500 | 491 | ||||||
|
|
|
|||||||
| Retail — 0.6% |
||||||||
| 7-Eleven, Inc., | ||||||||
| 0.63%, 02/10/2023 (e) | 1,700 | 1,676 | ||||||
| 0.80%, 02/10/2024 (e) | 2,174 | 2,055 | ||||||
|
|
|
|||||||
| 3,731 | ||||||||
|
|
|
|||||||
| Total Consumer Cyclical | 37,987 | |||||||
|
|
|
|||||||
| Consumer Non-cyclical — 5.6% |
||||||||
| Beverages — 0.1% |
||||||||
| JDE Peet’s NV, (Netherlands), 0.80%, 09/24/2024 (e) | 400 | 366 | ||||||
|
|
|
|||||||
| Biotechnology — 0.4% |
||||||||
| Gilead Sciences, Inc., 0.75%, 09/29/2023 | 2,625 | 2,519 | ||||||
|
|
|
|||||||
| Commercial Services — 0.1% |
||||||||
| Transurban Queensland Finance Pty Ltd., (Australia), Reg. S, (BBSW ASX Australian 3 Month + 2.05%), 4.85%, 12/16/2024 (aa) |
AUD | 700 | 455 | |||||
|
|
|
|||||||
| Food — 0.9% |
||||||||
| General Mills, Inc., | ||||||||
| 2.60%, 10/12/2022 | 915 | 915 | ||||||
| (ICE LIBOR USD 3 Month + 1.01%), 3.75%, 10/17/2023 (aa) | 1,797 | 1,806 | ||||||
| 6.41%, 10/15/2022 | 500 | 500 | ||||||
| Nestle Holdings, Inc., 4.00%, 09/12/2025 (e) | 2,080 | 2,049 | ||||||
|
|
|
|||||||
| 5,270 | ||||||||
|
|
|
|||||||
| Healthcare —Products — 0.6% |
||||||||
| Stryker Corp., 0.60%, 12/01/2023 | 1,330 | 1,267 | ||||||
| Thermo Fisher Scientific, Inc., | ||||||||
| 0.80%, 10/18/2023 | 1,100 | 1,058 | ||||||
| (SOFR Compounded Index + 0.53%), 2.87%, 10/18/2024 (aa) | 1,285 | 1,271 | ||||||
|
|
|
|||||||
| 3,596 | ||||||||
|
|
|
|||||||
| Healthcare —Services — 0.9% |
||||||||
| Elevance Health, Inc., 2.95%, 12/01/2022 | 1,906 | 1,902 | ||||||
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Healthcare —Services — continued |
||||||||
| HCA, Inc., 5.00%, 03/15/2024 | 800 | 795 | ||||||
| Humana, Inc., 0.65%, 08/03/2023 | 3,040 | 2,935 | ||||||
|
|
|
|||||||
| 5,632 | ||||||||
|
|
|
|||||||
| Pharmaceuticals — 2.6% |
||||||||
| AbbVie, Inc., 2.60%, 11/21/2024 | 6,000 | 5,712 | ||||||
| Bayer US Finance II LLC, | ||||||||
| 3.88%, 12/15/2023 (e) | 5,195 | 5,097 | ||||||
| (ICE LIBOR USD 3 Month + 1.01%), 4.30%, 12/15/2023 (e) (aa) | 2,700 | 2,691 | ||||||
| Shire Acquisitions Investments Ireland DAC, (Ireland), 2.88%, 09/23/2023 | 796 | 778 | ||||||
| Takeda Pharmaceutical Co. Ltd., (Japan), 4.40%, 11/26/2023 | 1,000 | 994 | ||||||
|
|
|
|||||||
| 15,272 | ||||||||
|
|
|
|||||||
| Total Consumer Non-cyclical | 33,110 | |||||||
|
|
|
|||||||
| 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 | 1,698 | ||||||
|
|
|
|||||||
| Energy — 1.3% |
||||||||
| Oil & Gas — 0.7% |
||||||||
| Phillips 66, 0.90%, 02/15/2024 | 1,800 | 1,705 | ||||||
| Saudi Arabian Oil Co., (Saudi Arabia), Reg. S, 2.88%, 04/16/2024 | 1,500 | 1,449 | ||||||
| Woodside Finance Ltd., (Australia), Reg. S, 3.70%, 09/15/2026 | 1,000 | 926 | ||||||
|
|
|
|||||||
| 4,080 | ||||||||
|
|
|
|||||||
| Pipelines — 0.6% |
||||||||
| Enbridge, Inc., (Canada), | ||||||||
| 0.55%, 10/04/2023 | 220 | 210 | ||||||
| 2.15%, 02/16/2024 | 720 | 692 | ||||||
| (United States SOFR + 0.40%), 3.09%, 02/17/2023 (aa) | 375 | 374 | ||||||
| 4.00%, 10/01/2023 | 1,750 | 1,735 | ||||||
| Kinder Morgan, Inc., 3.15%, 01/15/2023 | 569 | 567 | ||||||
| Sabine Pass Liquefaction LLC, 5.63%, 04/15/2023 | 200 | 200 | ||||||
|
|
|
|||||||
| 3,778 | ||||||||
|
|
|
|||||||
| Total Energy | 7,858 | |||||||
|
|
|
|||||||
| Financial — 24.0% |
||||||||
| Banks — 19.9% |
||||||||
| ADCB Finance Cayman Ltd., (Cayman Islands), (BBSW ASX Australian 3 Month + 1.38%), 3.59%, 10/25/2022 (aa) | AUD | 2,400 | 1,535 | |||||
| Aozora Bank Ltd., (Japan), Reg. S, 1.05%, 09/09/2024 | 1,000 | 921 | ||||||
| Banco Bilbao Vizcaya Argentaria SA, (Spain), 0.88%, 09/18/2023 | 800 | 769 | ||||||
| Banco Santander SA, (Spain), | ||||||||
| (CMT Index 1 Year + 0.45%), 0.70%, 06/30/2024 (aa) | 1,200 | 1,153 | ||||||
| 3.85%, 04/12/2023 | 3,400 | 3,375 | ||||||
| Bank of America Corp., | ||||||||
| (United States SOFR + 0.67%), 1.84%, 02/04/2025 (aa) | 1,490 | 1,416 | ||||||
| (ICE LIBOR USD 3 Month + 0.79%), 3.00%, 12/20/2023 (aa) | 9,616 | 9,565 | ||||||
| (ICE LIBOR USD 3 Month + 0.78%), 3.55%, 03/05/2024 (aa) | 1,100 | 1,092 | ||||||
| (ICE LIBOR USD 3 Month + 0.94%), 3.86%, 07/23/2024 (aa) | 1,000 | 987 | ||||||
| Barclays plc, (United Kingdom), | ||||||||
| (ICE LIBOR USD 3 Month + 1.38%), 4.30%, 05/16/2024 (aa) | 4,400 | 4,397 | ||||||
| Reg. S, (BBSW ASX Australian 3 Month + 1.80%), 4.55%, 06/15/2023 (aa) | AUD | 1,000 | 641 | |||||
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Bank — continued |
||||||||
| BNP Paribas SA, (France), | ||||||||
| Reg. S, (BBSW ASX Australian 3 Month + 1.75%), 4.55%, 12/16/2022 (aa) | AUD | 500 | 320 | |||||
| (ICE LIBOR USD 3 Month + 2.24%), 4.71%, 01/10/2025 (e) (aa) | 600 | 591 | ||||||
| BPCE SA, (France), 4.00%, 04/15/2024 | 700 | 688 | ||||||
| Canadian Imperial Bank of Commerce, (Canada), 0.45%, 06/22/2023 | 2,200 | 2,136 | ||||||
| Citigroup, Inc., | ||||||||
| (United States SOFR + 1.67%), 1.68%, 05/15/2024 (aa) | 6,480 | 6,342 | ||||||
| (BBSW ASX Australian 3 Month + 1.72%), 4.01%, 10/27/2023 (aa) | AUD | 1,000 | 644 | |||||
| (United States SOFR + 1.37%), 4.13%, 05/24/2025 (aa) | 2,000 | 1,999 | ||||||
| Credit Suisse AG, (Switzerland), | ||||||||
| 0.52%, 08/09/2023 | 4,200 | 4,022 | ||||||
| (BBSW ASX Australian 3 Month + 1.15%), 3.56%, 05/26/2023 (aa) | AUD | 2,500 | 1,599 | |||||
| Credit Suisse Group AG, (Switzerland), 3.80%, 06/09/2023 | 1,000 | 984 | ||||||
| Danske Bank A/S, (Denmark), | ||||||||
| Reg. S, (ICE LIBOR USD 3 Month + 1.06%), 4.30%, 09/12/2023 (aa) | 500 | 497 | ||||||
| Reg. S, 5.38%, 01/12/2024 | 1,200 | 1,194 | ||||||
| Deutsche Bank AG, (Germany), 3.95%, 02/27/2023 | 1,500 | 1,493 | ||||||
| DNB Bank ASA, (Norway), (SOFR Compounded Index + 0.83%), 3.80%, 03/28/2025 (e) (aa) | 1,295 | 1,290 | ||||||
| Federation des Caisses Desjardins du Quebec, (Canada), | ||||||||
| 0.70%, 05/21/2024 (e) | 1,000 | 929 | ||||||
| 2.05%, 02/10/2025 (e) | 500 | 461 | ||||||
| (United States SOFR + 0.43%), 3.16%, 05/21/2024 (e) (aa) | 1,900 | 1,877 | ||||||
| First Abu Dhabi Bank PJSC, (United Arab Emirates), (BBSW ASX Australian 3 Month + 1.10%), 3.42%, 02/18/2025 (aa) | AUD | 700 | 445 | |||||
| Goldman Sachs Group, Inc. (The), | ||||||||
| 0.52%, 03/08/2023 | 4,000 | 3,932 | ||||||
| 3.20%, 02/23/2023 | 1,516 | 1,508 | ||||||
| (United States SOFR + 0.50%), 3.37%, 09/10/2024 (aa) | 2,500 | 2,464 | ||||||
| (United States SOFR + 1.39%), 4.29%, 03/15/2024 (aa) | 800 | 804 | ||||||
| Hana Bank, (South Korea), (ICE LIBOR USD 3 Month + 0.70%), 2.99%, 10/02/2022 (e) (aa) | 400 | 400 | ||||||
| HSBC Holdings plc, (United Kingdom), | ||||||||
| (United States SOFR + 0.58%), 3.28%, 11/22/2024 (aa) | 620 | 601 | ||||||
| 3.60%, 05/25/2023 | 1,500 | 1,487 | ||||||
| (ICE LIBOR USD 3 Month + 1.00%), 3.96%, 05/18/2024 (aa) | 3,500 | 3,457 | ||||||
| (ICE LIBOR USD 3 Month + 1.23%), 4.47%, 03/11/2025 (aa) | 1,000 | 989 | ||||||
| KeyBank NA, (United States SOFR + 0.32%), 0.43%, 06/14/2024 (aa) | 375 | 363 | ||||||
| Lloyds Banking Group plc, (United Kingdom), | ||||||||
| 4.05%, 08/16/2023 | 1,400 | 1,384 | ||||||
| (BBSW ASX Australian 3 Month + 1.30%), 4.17%, 03/20/2023 (aa) | AUD | 300 | 192 | |||||
| Mitsubishi UFJ Financial Group, Inc., (Japan), | ||||||||
| (ICE LIBOR USD 3 Month + 0.86%), 3.63%, 07/26/2023 (aa) | 2,300 | 2,306 | ||||||
| (United States SOFR + 1.65%), 4.02%, 07/18/2025 (aa) | 1,300 | 1,309 | ||||||
| Mizuho Financial Group, Inc., (Japan), | ||||||||
| 3.55%, 03/05/2023 | 2,500 | 2,490 | ||||||
| (ICE LIBOR USD 3 Month + 0.63%), 3.63%, 05/25/2024 (aa) | 5,000 | 4,951 | ||||||
| Morgan Stanley, | ||||||||
| (United States SOFR + 0.46%), 0.53%, 01/25/2024 (aa) | 7,200 | 7,083 | ||||||
| (United States SOFR + 0.56%), 1.16%, 10/21/2025 (aa) | 1,400 | 1,276 | ||||||
| (ICE LIBOR USD 3 Month + 0.85%), 3.74%, 04/24/2024 (aa) | 2,500 | 2,474 | ||||||
| 3.75%, 02/25/2023 | 1,000 | 997 | ||||||
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Bank — continued |
||||||||
| NatWest Group plc, (United Kingdom), (ICE LIBOR USD 3 Month + 1.55%), 5.19%, 06/25/2024 (aa) | 1,750 | 1,746 | ||||||
| Nordea Bank Abp, (Finland), (ICE LIBOR USD 3 Month + 0.94%), 3.98%, 08/30/2023 (e) (aa) | 200 | 201 | ||||||
| Oversea-Chinese Banking Corp. Ltd., (Singapore), | ||||||||
| (BBSW ASX Australian 3 Month + 0.26%), 2.56%, 08/12/2024 (aa) | AUD | 1,000 | 634 | |||||
| (BBSW ASX Australian 3 Month + 0.35%), 3.19%, 03/18/2024 (f)(aa) | AUD | 1,000 | 637 | |||||
| Santander Holdings USA, Inc., 3.40%, 01/18/2023 | 400 | 398 | ||||||
| Santander UK Group Holdings plc, (United Kingdom), (ICE LIBOR USD 3 Month + 1.08%), 3.37%, 01/05/2024 (aa) | 500 | 497 | ||||||
| Societe Generale SA, (France), | ||||||||
| 2.63%, 01/22/2025 (e) | 800 | 740 | ||||||
| 3.88%, 03/28/2024 (e) | 700 | 681 | ||||||
| 4.25%, 09/14/2023 (e) | 300 | 297 | ||||||
| Standard Chartered plc, (United Kingdom), (ICE LIBOR USD 3 Month + 1.56%), 3.79%, 05/21/2025 (e) (aa) | 1,600 | 1,534 | ||||||
| Sumitomo Mitsui Financial Group, Inc., (Japan), Reg. S, (BBSW ASX Australian 3 Month + 1.25%), 3.44%, 10/16/2024 (aa) | AUD | 2,300 | 1,468 | |||||
| Sumitomo Mitsui Trust Bank Ltd., (Japan), 0.80%, 09/16/2024 (e) | 200 | 183 | ||||||
| Truist Bank, (ICE LIBOR USD 3 Month + 0.74%), 3.69%, 08/02/2024 (aa) | 5,000 | 4,946 | ||||||
| UBS AG, (Switzerland), | ||||||||
| (United States SOFR + 0.36%), 2.98%, 02/09/2024 (e) (aa) | 1,000 | 995 | ||||||
| Reg. S, (BBSW ASX Australian 3 Month + 0.87%), 2.99%, 07/30/2025 (aa) | AUD | 2,100 | 1,338 | |||||
| (United States SOFR + 0.45%), 3.07%, 08/09/2024 (e) (aa) | 1,615 | 1,605 | ||||||
| Wells Fargo & Co., | ||||||||
| (United States SOFR + 1.60%), 1.65%, 06/02/2024 (aa) | 3,000 | 2,929 | ||||||
| 2.51%, 10/27/2023 (f) | CAD | 2,500 | 1,760 | |||||
| Woori Bank, (South Korea), Reg. S, (ICE LIBOR USD 3 Month + 0.87%), 3.65%, 02/01/2023 (aa) | 300 | 300 | ||||||
|
|
|
|||||||
| 116,718 | ||||||||
|
|
|
|||||||
| Diversified Financial Services — 3.8% |
||||||||
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust, (Ireland), | ||||||||
| 4.13%, 07/03/2023 | 2,600 | 2,580 | ||||||
| 4.50%, 09/15/2023 | 1,100 | 1,084 | ||||||
| Air Lease Corp., (ICE LIBOR USD 3 Month + 0.35%), 3.64%, 12/15/2022 (aa) | 2,800 | 2,798 | ||||||
| Aircastle Ltd., (Bermuda), 5.00%, 04/01/2023 | 500 | 497 | ||||||
| American Express Co., | ||||||||
| 3.38%, 05/03/2024 | 970 | 946 | ||||||
| 3.40%, 02/22/2024 | 2,000 | 1,964 | ||||||
| (United States SOFR + 0.93%), 3.74%, 03/04/2025 (aa) | 1,120 | 1,119 | ||||||
| Aviation Capital Group LLC, 3.88%, 05/01/2023 (e) | 2,500 | 2,455 | ||||||
| Capital One Financial Corp., 2.60%, 05/11/2023 | 3,500 | 3,459 | ||||||
| Mitsubishi HC Capital, Inc., (Japan), 3.96%, 09/19/2023 (e) | 550 | 544 | ||||||
| Nomura Holdings, Inc., (Japan), 1.85%, 07/16/2025 | 1,900 | 1,715 | ||||||
| ORIX Corp., (Japan), 3.25%, 12/04/2024 | 400 | 384 | ||||||
| Synchrony Financial, 4.38%, 03/19/2024 | 2,750 | 2,701 | ||||||
|
|
|
|||||||
| 22,246 | ||||||||
|
|
|
|||||||
| Savings & Loans — 0.3% |
||||||||
| Nationwide Building Society, (United Kingdom), | ||||||||
| 0.55%, 01/22/2024 (e) | 400 | 376 | ||||||
| (ICE LIBOR USD 3 Month + 1.06%), 3.77%, 03/08/2024 (e) (aa) | 1,300 | 1,285 | ||||||
|
|
|
|||||||
| 1,661 | ||||||||
|
|
|
|||||||
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Savings & Loans — continued |
||||||||
| Total Financial | 140,625 | |||||||
|
|
|
|||||||
| Industrial — 3.8% |
||||||||
| Aerospace/Defense — 0.4% |
||||||||
| Boeing Co. (The), | ||||||||
| 1.43%, 02/04/2024 | 1,200 | 1,140 | ||||||
| 4.51%, 05/01/2023 | 1,000 | 997 | ||||||
|
|
|
|||||||
| 2,137 | ||||||||
|
|
|
|||||||
| Building Materials — 0.1% |
||||||||
| Martin Marietta Materials, Inc., 0.65%, 07/15/2023 | 695 | 671 | ||||||
|
|
|
|||||||
| Engineering & Construction — 0.1% |
||||||||
| Sydney Airport Finance Co. Pty Ltd., (Australia), Reg. S, 3.90%, 03/22/2023 | 400 | 396 | ||||||
|
|
|
|||||||
| Machinery - Construction & Mining — 0.3% | ||||||||
| Caterpillar Financial Services Corp., (United States SOFR + 0.45%), 3.10%, 11/13/2023 (aa) |
835 | 837 | ||||||
| Komatsu Finance America, Inc., Reg. S, 0.85%, 09/09/2023 | 1,200 | 1,156 | ||||||
|
|
|
|||||||
| 1,993 | ||||||||
|
|
|
|||||||
| Machinery - Diversified — 0.4% |
||||||||
| CNH Industrial Capital LLC, 1.95%, 07/02/2023 | 700 | 685 | ||||||
| CNH Industrial NV, (Netherlands), 4.50%, 08/15/2023 | 1,000 | 994 | ||||||
| Rockwell Automation, Inc., 0.35%, 08/15/2023 | 480 | 463 | ||||||
|
|
|
|||||||
| 2,142 | ||||||||
|
|
|
|||||||
| Miscellaneous Manufacturers — 1.1% |
||||||||
| General Electric Co., 2.70%, 10/09/2022 | 1,185 | 1,184 | ||||||
| Parker-Hannifin Corp., 3.65%, 06/15/2024 | 5,100 | 4,988 | ||||||
|
|
|
|||||||
| 6,172 | ||||||||
|
|
|
|||||||
| Packaging & Containers — 0.3% |
||||||||
| Berry Global, Inc., 0.95%, 02/15/2024 | 1,800 | 1,692 | ||||||
|
|
|
|||||||
| Transportation — 0.3% |
||||||||
| Ryder System, Inc., 3.88%, 12/01/2023 | 2,000 | 1,974 | ||||||
|
|
|
|||||||
| Trucking & Leasing — 0.8% |
||||||||
| Penske Truck Leasing Co. LP / PTL Finance Corp., | ||||||||
| 2.70%, 03/14/2023 (e) | 3,000 | 2,968 | ||||||
| 3.90%, 02/01/2024 (e) | 2,000 | 1,957 | ||||||
|
|
|
|||||||
| 4,925 | ||||||||
|
|
|
|||||||
| Total Industrial | 22,102 | |||||||
|
|
|
|||||||
| Technology — 4.5% |
||||||||
| Computers — 0.4% |
||||||||
| Dell International LLC / EMC Corp., 5.45%, 06/15/2023 | 600 | 601 | ||||||
| Leidos, Inc., 2.95%, 05/15/2023 | 1,700 | 1,676 | ||||||
|
|
|
|||||||
| 2,277 | ||||||||
|
|
|
|||||||
| Semiconductors — 1.4% |
||||||||
| Broadcom Corp. / Broadcom Cayman Finance Ltd., (Multinational), 3.63%, 01/15/2024 |
7,000 | 6,862 | ||||||
| SK Hynix, Inc., (South Korea), | ||||||||
| 1.00%, 01/19/2024 (e) | 400 | 378 | ||||||
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Semiconductors — continued |
||||||||
| Reg. S, 1.00%, 01/19/2024 | 1,000 | 945 | ||||||
|
|
|
|||||||
| 8,185 | ||||||||
|
|
|
|||||||
| Software — 2.7% |
||||||||
| Fidelity National Information Services, Inc., | ||||||||
| 0.38%, 03/01/2023 | 3,745 | 3,682 | ||||||
| 0.60%, 03/01/2024 | 1,115 | 1,046 | ||||||
| Fiserv, Inc., 3.80%, 10/01/2023 | 3,415 | 3,382 | ||||||
| Oracle Corp., | ||||||||
| 2.40%, 09/15/2023 | 2,000 | 1,952 | ||||||
| 2.50%, 10/15/2022 | 1,180 | 1,179 | ||||||
| VMware, Inc., 0.60%, 08/15/2023 | 4,800 | 4,621 | ||||||
|
|
|
|||||||
| 15,862 | ||||||||
|
|
|
|||||||
| Total Technology | 26,324 | |||||||
|
|
|
|||||||
| Utilities — 2.9% |
||||||||
| Electric — 2.9% |
||||||||
| Ausgrid Finance Pty Ltd., (Australia), | ||||||||
| Reg.S, (BBSW ASX Australian 3 Month + 1.22%), 3.34%, 10/30/2024 (aa) | AUD | 1,500 | 958 | |||||
| 3.85%, 05/01/2023 (e) | 700 | 695 | ||||||
| Dominion Energy, Inc., Series D, (ICE LIBOR USD 3 Month + 0.53%), 3.82%, 09/15/2023 (aa) | 1,800 | 1,792 | ||||||
| Enel Finance International NV, (Netherlands), | ||||||||
| 2.65%, 09/10/2024 (e) | 1,500 | 1,422 | ||||||
| 4.25%, 06/15/2025 (e) | 300 | 288 | ||||||
| Israel Electric Corp. Ltd., (Israel), | ||||||||
| 6.88%, 06/21/2023 (e) | 500 | 504 | ||||||
| Series 6, Reg. S, 5.00%, 11/12/2024 (e) | 300 | 293 | ||||||
| Kansai Electric Power Co., Inc. (The), (Japan), Reg. S, 2.55%, 09/17/2024 | 1,740 | 1,655 | ||||||
| NextEra Energy Capital Holdings, Inc., | ||||||||
| 0.65%, 03/01/2023 | 3,965 | 3,904 | ||||||
| (SOFR Compounded Index + 0.54%), 3.34%, 03/01/2023 (aa) | 710 | 709 | ||||||
| Pacific Gas and Electric Co., | ||||||||
| 3.25%, 06/15/2023 | 100 | 99 | ||||||
| 3.40%, 08/15/2024 | 100 | 95 | ||||||
| 3.75%, 02/15/2024 | 100 | 97 | ||||||
| 3.85%, 11/15/2023 | 100 | 98 | ||||||
| 4.25%, 08/01/2023 | 800 | 794 | ||||||
| Southern California Edison Co., 0.70%, 04/03/2023 | 2,200 | 2,157 | ||||||
| Southern Co. (The), Series 2021, (United States SOFR + 0.37%), 3.01%, 05/10/2023 (aa) | 1,300 | 1,293 | ||||||
|
|
|
|||||||
| Total Utilities | 16,853 | |||||||
|
|
|
|||||||
| Total Corporate Bonds (Cost $325,020) |
315,849 | |||||||
|
|
|
|||||||
| Foreign Government Securities — 0.7% |
||||||||
| International Bank for Reconstruction & Development, (Supranational), 0.65%, 02/10/2026 | 3,100 | 2,678 | ||||||
| Korea Development Bank (The), (South Korea), Reg. S, (ICE LIBOR USD 3 Month + 0.80%), 3.61%, 10/30/2022 (aa) | 400 | 400 | ||||||
| Korea National Oil Corp., (South Korea), Reg. S, (ICE LIBOR USD 3 Month + 0.88%), 3.62%, 07/16/2023 (aa) | 800 | 802 | ||||||
|
|
|
|||||||
| Total Foreign Government Securities (Cost $4,303) |
3,880 | |||||||
|
|
|
|||||||
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL AMOUNT ($) |
VALUE ($) | ||||||
| Municipal Bonds — 0.5% (t) |
||||||||
| Alaska — 0.0% (g) |
||||||||
| Alaska Municipal Bond Bank Authority, Taxable, Series 2, Rev., 0.34%, 12/01/2022 | 235 | 234 | ||||||
|
|
|
|||||||
| California — 0.1% |
||||||||
| Municipal Improvement Corp. of Los Angeles, Series A, Rev., 0.42%, 11/01/2023 | 590 | 566 | ||||||
|
|
|
|||||||
| Maryland — 0.1% |
||||||||
| State of Maryland Department of Transportation, Series A, Rev., 0.36%, 08/01/2023 | 450 | 434 | ||||||
|
|
|
|||||||
| North Carolina — 0.1% |
||||||||
| University of North Carolina at Charlotte (The), Rev., 0.41%, 04/01/2023 | 350 | 344 | ||||||
|
|
|
|||||||
| Pennsylvania — 0.2% |
||||||||
| Philadelphia Authority for Industrial Development, Rev., 0.94%, 04/15/2024 | 1,555 | 1,457 | ||||||
|
|
|
|||||||
| Total Municipal Bonds (Cost $3,180) |
3,035 | |||||||
|
|
|
|||||||
| U.S. Government Agency Securities — 1.2% |
||||||||
| FHLBs, |
||||||||
| 0.96%, 03/05/2026 | 2,100 | 1,871 | ||||||
| 1.11%, 07/27/2026 | 567 | 500 | ||||||
| 3.63%, 02/28/2024 | 1,000 | 989 | ||||||
| FHLMC, 4.05%, 08/28/2025 | 2,500 | 2,461 | ||||||
| FNMA, 4.00%, 02/28/2025 | 1,000 | 990 | ||||||
|
|
|
|||||||
| Total U.S. Government Agency Securities (Cost $7,166) |
6,811 | |||||||
|
|
|
|||||||
| U.S. Treasury Obligation — 1.4% |
||||||||
| U.S. Treasury Note, 3.25%, 08/31/2024 (Cost $8,096) |
8,200 | 8,054 | ||||||
|
|
|
|||||||
| Short-Term Investments — 12.1% |
||||||||
| Certificates of Deposit — 4.4% |
||||||||
| Bank of Montreal, 1.17%, 02/09/2023 (n) | 3,000 | 2,970 | ||||||
| Barclays Bank plc, 1.67%, 03/03/2023 (n) | 2,000 | 1,980 | ||||||
| Barclays Bank plc, (United Kingdom), 4.06%, 07/13/2023 (n) | 2,000 | 1,990 | ||||||
| Citibank NA, | ||||||||
| 0.00%, 09/21/2023 (n) | 2,000 | 2,001 | ||||||
| 0.98%, 02/02/2023 (n) | 3,000 | 2,968 | ||||||
| Credit Suisse AG, | ||||||||
| 1.12%, 02/02/2023 (n) | 3,000 | 2,969 | ||||||
| 3.17%, 06/09/2023 (n) | 1,200 | 1,188 | ||||||
| Natixis Bank SA, | ||||||||
| 3.10%, 06/09/2023 (n) | 3,000 | 2,969 | ||||||
| 4.06%, 08/18/2023 (n) | 2,000 | 1,987 | ||||||
| Royal Bank of Canada, 0.38%, 11/10/2022 (n) | 500 | 498 | ||||||
| Svenska Handelsbanken, 4.06%, 08/16/2023 (n) | 1,000 | 995 | ||||||
| Svenska Handelsbanken, (Sweden), (United States SOFR + 0.25%), 3.21%, 02/24/2023 (aa) | 2,000 | 1,999 | ||||||
| Toronto-Dominion Bank (The), 1.17%, 02/10/2023 (n) | 1,500 | 1,485 | ||||||
|
|
|
|||||||
| Total Certificates of Deposit | 25,999 | |||||||
|
|
|
|||||||
| Commercial Papers — 1.0% |
||||||||
| Enel Finance America LLC, 5.53%, 09/01/2023 (e) (n) | 1,500 | 1,433 | ||||||
| HSBC USA, Inc., 4.50%, 08/23/2023 (e) (n) | 500 | 479 | ||||||
| Macquarie Bank Ltd., (Australia), 1.39%, 02/06/2023 (e) (n) | 3,000 | 2,957 | ||||||
| Raytheon Technologies Corp., 3.59%, 12/01/2022 (e) (n) | 1,000 | 993 | ||||||
|
|
|
|||||||
| Total Commercial Papers | 5,862 | |||||||
|
|
|
|||||||
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL AMOUNT ($) |
VALUE ($) | ||||||
| Short-Term Investments — continued |
||||||||
| Foreign Government Securities — 3.8% | ||||||||
| Bank of Israel Bill - Makam, (Israel), | ||||||||
| Series 313, Reg. S, Zero Coupon, 03/02/2023 | ILS | 670 | 186 | |||||
| Series 1112, Reg. S, Zero Coupon, 11/02/2022 | ILS | 5,700 | 1,596 | |||||
| Japan Treasury Discount Bill, (Japan), | ||||||||
| Series 1101, Zero Coupon, 11/14/2022 | JPY | 1,100,000 | 7,601 | |||||
| Series 1103, Zero Coupon, 11/21/2022 | JPY | 1,138,950 | 7,871 | |||||
| Series 1107, Reg. S, Zero Coupon, 12/12/2022 | JPY | 760,000 | 5,253 | |||||
|
|
|
|||||||
| Total Foreign Government Securities | 22,507 | |||||||
|
|
|
|||||||
| Municipal Bond — 0.1% (t) |
||||||||
| State of Connecticut, Taxable, Series A, GO, 4.25%, 06/15/2023 | 380 | 379 | ||||||
|
|
|
|||||||
| Repurchase Agreement — 1.5% |
||||||||
| BNP Paribas, 2.95%, dated 9/30/2022 due 10/03/2022, repurchase price $8,802 collateralized by U.S. Treasury Security, 1.13%, due 2/28/2025, with value of $8,974. | 8,800 | 8,800 | ||||||
|
|
|
|||||||
| Time Deposits — 1.2% |
||||||||
| Australia & New Zealand Banking Group Ltd., 1.14%, 10/03/2022 | AUD | 51 | 33 | |||||
| Barclays SA, 2.43%, 10/03/2022 | 5,929 | 5,929 | ||||||
| BNP Paribas SA, 1.17%, 10/03/2022 | GBP | 147 | 164 | |||||
| Brown Brothers Harriman, | ||||||||
| 1.00%, 10/03/2022 | NZD | (—)(h) | (—)(h) | |||||
| 2.07%, 10/03/2022 | CAD | 157 | 113 | |||||
| Citibank NA, 0.29%, 10/03/2022 | EUR | 52 | 51 | |||||
| Royal Bank of Canada, 2.43%, 10/03/2022 | 106 | 106 | ||||||
| Skandinaviska Enskilda Banken AB, 2.43%, 10/03/2022 | 474 | 474 | ||||||
|
|
|
|||||||
| Total Time Deposits | 6,870 | |||||||
|
|
|
|||||||
| U.S. Treasury Obligation — 0.1% | ||||||||
| U.S. Treasury Bill, 0.00%, 10/27/2022 (n) | 700 | 699 | ||||||
|
|
|
|||||||
| Total Short-Term Investments (Cost $72,701) |
71,116 | |||||||
|
|
|
|||||||
| Total Investments — 99.2% (Cost - $599,626)* |
581,896 | |||||||
| Other Assets in Excess of Liabilities — 0.8% |
4,587 | |||||||
|
|
|
|||||||
| NET ASSETS — 100.0% |
$ | 586,483 | ||||||
|
|
|
|||||||
Percentages indicated are based on net assets
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Futures contracts outstanding as of September 30, 2022:
Exchange Traded
| DESCRIPTION |
NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT ($) |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
|||||||||||||||
| Short Contracts |
||||||||||||||||||||
| U.S. Treasury 2 Year Note |
(25 | ) | 12/2022 | USD | (5,215 | ) | 80 | |||||||||||||
| U.S. Treasury 5 Year Note |
(140 | ) | 12/2022 | USD | (15,540 | ) | 489 | |||||||||||||
| U.S. Treasury Ultra Bond |
(18 | ) | 12/2022 | USD | (2,667 | ) | 201 | |||||||||||||
| U.S. Ultra Treasury 10 Year Note |
(39 | ) | 12/2022 | USD | (4,738 | ) | 117 | |||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized appreciation (depreciation) |
887 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
Forward foreign currency exchange contracts outstanding as of September 30, 2022:
| CURRENCY PURCHASED |
CURRENCY SOLD |
COUNTERPARTY |
SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) ($) |
||||||||||||||||
| USD |
3,948 | CAD | 5,177 | Morgan Stanley & Co. | 10/04/2022 | 200 | ||||||||||||||
| USD |
3,623 | GBP | 3,108 | Bank of America, NA | 10/04/2022 | 153 | ||||||||||||||
| GBP |
3,108 | USD | 3,364 | Morgan Stanley & Co. | 10/04/2022 | 106 | ||||||||||||||
| USD |
3,580 | CAD | 4,908 | Bank of America, NA | 11/02/2022 | 27 | ||||||||||||||
| USD |
1,785 | ILS | 5,699 | Barclays Bank plc | 11/02/2022 | 183 | ||||||||||||||
| USD |
8,299 | JPY | 1,100,000 | BNP Paribas | 11/14/2022 | 667 | ||||||||||||||
| USD |
5,440 | AUD | 7,791 | Bank of America, NA | 11/16/2022 | 453 | ||||||||||||||
| USD |
10,063 | AUD | 14,306 | Bank of America, NA | 11/16/2022 | 907 | ||||||||||||||
| USD |
466 | AUD | 671 | Morgan Stanley & Co. | 11/16/2022 | 37 | ||||||||||||||
| USD |
8,389 | JPY | 1,138,950 | Citibank, NA | 11/21/2022 | 481 | ||||||||||||||
| USD |
5,336 | JPY | 760,000 | Bank of America, NA | 12/12/2022 | 44 | ||||||||||||||
| USD |
4,477 | EUR | 4,456 | UBS AG LONDON | 12/21/2022 | 82 | ||||||||||||||
| USD |
183 | GBP | 159 | Citibank, NA | 12/21/2022 | 5 | ||||||||||||||
| USD |
2,519 | GBP | 2,191 | Citibank, NA | 12/21/2022 | 69 | ||||||||||||||
| USD |
294 | GBP | 258 | UBS AG LONDON | 12/21/2022 | 6 | ||||||||||||||
| USD |
196 | ILS | 664 | Bank of America, NA | 03/02/2023 | 7 | ||||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized appreciation |
3,427 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| CAD |
4,908 | USD | 3,580 | Bank of America, NA | 10/04/2022 | (27 | ) | |||||||||||||
| CAD |
275 | USD | 209 | Morgan Stanley & Co. | 10/04/2022 | (10 | ) | |||||||||||||
| USD |
3,366 | GBP | 3,108 | Morgan Stanley & Co. | 11/02/2022 | (106 | ) | |||||||||||||
| USD |
883 | EUR | 900 | UBS AG LONDON | 12/21/2022 | (5 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized depreciation |
(148 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized appreciation (depreciation) |
3,279 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Centrally Cleared Interest Rate Swap contracts outstanding as of September 30, 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 | — | 22 | 22 | |||||||||||||||||
| ICE LIBOR USD 1 Month |
ICE LIBOR USD 3 Month | Pay | 01/13/2023 | USD 12,500 | — | 32 | 32 | |||||||||||||||||
| United States SOFR |
3.55% annually | Pay | 09/02/2024 | USD 34,300 | 15 | (398 | ) | (383 | ) | |||||||||||||||
| United States SOFR |
4.25% annually | Pay | 09/26/2024 | USD 10,500 | (29 | ) | 44 | 15 | ||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Total |
(14 | ) | (300 | ) | (314 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| (a) | Value of floating rate index as of September 30, 2022 was as follows: |
| FLOATING RATE INDEX |
||||
| ICE LIBOR USD 1 Month |
3.14 | % | ||
| ICE LIBOR USD 3 Month |
3.75 | % | ||
| United States SOFR |
2.98 | % | ||
Centrally Cleared Credit Default Swaps contracts outstanding — buy protection (1) as of September 30, 2022:
| REFERENCE |
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 | 0.74 | USD | 700 | (15 | ) | 10 | (5 | ) | ||||||||||||||||||||||||
| CDX.NA.IG.36-V1 |
1.00 | % | Quarterly | 06/20/2026 | 0.83 | USD | 3,400 | (83 | ) | 63 | (20 | ) | ||||||||||||||||||||||||
| CDX.NA.IG.37-V1 |
1.00 | % | Quarterly | 12/20/2026 | 0.91 | USD | 9,800 | (242 | ) | 206 | (36 | ) | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||||
| Total |
(340 | ) | 279 | (61 | ) | |||||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||||
| (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). |
Six Circles Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
| 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 | ||
| FHLMC |
— | Federal Home Loan Mortgage Corp. | ||
| 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 September 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/ $500. | ||
| (n) |
— | The rate shown is the effective yield as of September 30, 2022. | ||
| (t) |
— | The date shown represents the earliest of the next put date, next demand date or final maturity date. | ||
| (z) |
— | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of September 30, 2022. | ||
| (aa) |
— | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of September 30, 2022. | ||
| * |
— | The cost of securities is substantially the same for federal income tax purposes. | ||
| AUD |
— | Australian Dollar | ||
| CAD |
— | Canadian Dollar | ||
| EUR |
— | Euro | ||
| GBP |
— | British Pound | ||
| ILS |
— | Israeli New Shekel | ||
| JPY |
— | Japanese Yen | ||
| NZD |
— | New Zealand Dollar | ||
| USD |
— | United States Dollar |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Asset-Backed Securities — 4.6% | ||||||||
| American Express Credit Account Master Trust, Series 2022-2, Class A, 3.39%, 05/15/2027 |
1,200 | 1,161 | ||||||
| BMW Canada Auto Trust, (Canada), Series 2022-1A, Class A1, 3.65%, 12/20/2024 (e) | CAD 814 | 585 | ||||||
| Capital One Multi-Asset Execution Trust, Series 2017-A5, Class A5, (ICE LIBOR USD 1 Month + 0.58%), 3.40%, 07/15/2027 (aa) | 1,000 | 1,000 | ||||||
| Chesapeake Funding II LLC, Series 2019-1A, Class A1, 2.94%, 04/15/2031 (e) | 33 | 33 | ||||||
| CIT Mortgage Loan Trust, Series 2007-1, Class 1A, (ICE LIBOR USD 1 Month + 1.35%), 4.43%, 10/25/2037 (e) (aa) | 140 | 139 | ||||||
| Citibank Credit Card Issuance Trust, | ||||||||
| Series 2017-A5, Class A5, (ICE LIBOR USD 1 Month + 0.62%), 3.67%, 04/22/2026 (aa) | 1,000 | 1,000 | ||||||
| Series 2018-A5, Class A5, (ICE LIBOR USD 1 Month + 0.61%), 3.25%, 08/07/2027 (aa) | 1,000 | 999 | ||||||
| Discover Card Execution Note Trust, Series 2017-A5, Class A5, (ICE LIBOR USD 1 Month + 0.60%), 3.42%, 12/15/2026 (aa) | 1,000 | 999 | ||||||
| DLLST LLC, Series 2022-1A, Class A1, 1.56%, 05/22/2023 (e) | 400 | 399 | ||||||
| ELFI Graduate Loan Program LLC, Series 2021-A, Class A, 1.53%, 12/26/2046 (e) | 935 | 817 | ||||||
| FirstKey Homes Trust, Series 2020-SFR2, Class A, 1.27%, 10/19/2037 (e) | 893 | 800 | ||||||
| Ford Auto Securitization Trust, (Canada), Series 2021-AA, Class A2, 1.16%, 10/15/2025 (e) | CAD 685 | 482 | ||||||
| Ford Credit Floorplan Master Owner Trust A, Series 2020-1, Class A1, 0.70%, 09/15/2025 | 1,700 | 1,636 | ||||||
| GM Financial Automobile Leasing Trust, | ||||||||
| Series 2022-2, Class A2, 2.93%, 10/21/2024 | 900 | 891 | ||||||
| Series 2022-3, Class A2A, 4.01%, 10/21/2024 | 1,000 | 995 | ||||||
| GM Financial Consumer Automobile Receivables Trust, Series 2022-3, Class A2B, (United States 30 Day Average SOFR + 0.60%), 2.89%, 09/16/2025 (aa) | 900 | 900 | ||||||
| GMF Canada Leasing Trust, (Canada), Series 2021-1A, Class A2, 0.64%, 03/20/2024 (e) | CAD 357 | 257 | ||||||
| Hertz Vehicle Financing III LLC, Series 2022-3A, Class A, 3.37%, 03/25/2025 (e) | 100 | 97 | ||||||
| Master Credit Card Trust, (Canada), Series 2021-1A, Class A, 0.53%, 11/21/2025 (e) | 900 | 839 | ||||||
| Nelnet Student Loan Trust, Series 2019-2A, Class A, (ICE LIBOR USD 1 Month + 0.90%), 3.98%, 06/27/2067 (e) (aa) | 1,021 | 1,010 | ||||||
| Oscar US Funding XI LLC, (Japan), Series 2019-2A, Class A4, 2.68%, 09/10/2026 (e) | 318 | 313 | ||||||
| Oscar US Funding XII LLC, (Japan), Series 2021-1A, Class A2, 0.40%, 03/11/2024 (e) | 366 | 363 | ||||||
| Oscar US Funding XIII LLC, Series 2021-2A, Class A2, 0.39%, 08/12/2024 (e) | 434 | 427 | ||||||
| Park Place Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-WCW2, Class M2, (ICE LIBOR USD 1 Month + 0.80%), 3.88%, 07/25/2035 (aa) | 856 | 845 | ||||||
| Pawneee Equipment Receivables Series LLC, | ||||||||
| Series 2021-1, Class A2, 1.10%, 07/15/2027 (e) | 992 | 949 | ||||||
| Series 2022-1, Class A1, 3.81%, 08/15/2023 (e) | 603 | 603 | ||||||
| Series 2022-1, Class A2, 4.84%, 02/15/2028 (e) | 900 | 896 | ||||||
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Asset-Backed Securities — continued |
||||||||
| PRET LLC, | ||||||||
| Series 2021-NPL3, Class A1, SUB, 1.87%, 07/25/2051 (e) | 788 | 701 | ||||||
| Series 2021-NPL6, Class A1, SUB, 2.49%, 07/25/2051 (e) | 526 | 490 | ||||||
| Pretium Mortgage Credit Partners LLC, Series 2021-RN1, Class A1, SUB, 1.99%, 02/25/2061 (e) | 263 | 246 | ||||||
| Santander Drive Auto Receivables Trust, Series 2022-2, Class A2, 2.12%, 10/15/2026 | 945 | 941 | ||||||
| SLM Student Loan Trust, Series 2004-10, Class A7B, (ICE LIBOR USD 3 Month + 0.60%), 3.38%, 10/25/2029 (e) (aa) | 1,080 | 1,070 | ||||||
| SMB Private Education Loan Trust, | ||||||||
| Series 2016-C, Class A2A, 2.34%, 09/15/2034 (e) | 469 | 448 | ||||||
| Series 2020-PTA, Class A2A, 1.60%, 09/15/2054 (e) | 551 | 492 | ||||||
| Towd Point Asset Trust, Series 2021-SL1, Class A2, (ICE LIBOR USD 1 Month + 0.70%), 3.69%, 11/20/2061 (e) (aa) | 216 | 213 | ||||||
| Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.35%, 05/25/2033 (e) | 1,800 | 1,644 | ||||||
| Toyota Auto Receivables Owner Trust, Series 2022-C, Class A2A, 3.83%, 08/15/2025 | 1,500 | 1,491 | ||||||
|
|
|
|||||||
| Total Asset-Backed Securities (Cost $28,183) |
27,171 | |||||||
|
|
|
|||||||
| Collateralized Mortgage Obligations — 3.2% | ||||||||
| Avon Finance No 2 plc, (United Kingdom), Series 2X, Class A, Reg. S, (SONIA Interest Rate Benchmark + 0.90%), 3.04%, 09/20/2048 (aa) | GBP 141 | 156 | ||||||
| Brass NO 8 plc, (United Kingdom), Series 8A, Class A1, (ICE LIBOR USD 3 Month + 0.70%), 3.62%, 11/16/2066 (e) (aa) | 56 | 56 | ||||||
| Canterbury Finance No. 1 plc, (United Kingdom), Series 1, Class A2, Reg. S, (SONIA Interest Rate Benchmark + 1.35%), 3.30%, 05/16/2056 (aa) | GBP 624 | 697 | ||||||
| Cheshire plc, (United Kingdom), Series 2020-1, Class A, Reg. S, (SONIA Interest Rate Benchmark + 0.90%), 2.89%, 08/20/2045 (aa) | GBP 491 | 541 | ||||||
| CSMC Trust, Series 2021-RPL4, Class A1, 1.80%, 12/27/2060 (e) (z) | 325 | 303 | ||||||
| Finsbury Square plc, (United Kingdom), | ||||||||
| Series 2019-3, Class A, Reg. S, (SONIA Interest Rate Benchmark + 1.01%), 3.13%, 12/16/2069 (aa) | GBP 134 | 149 | ||||||
| Series 2020-2A, Class A, (SONIA Interest Rate Benchmark + 1.30%), 3.42%, 06/16/2070 (e) (aa) | GBP 240 | 269 | ||||||
| FNMA REMICS, | ||||||||
| Series 2020-29, Class FC, (ICE LIBOR USD 1 Month + 0.80%), 2.97%, 05/25/2050 (aa) | 1,829 | 1,849 | ||||||
| Series 2022-8, Class D, 2.00%, 08/25/2038 | 1,646 | 1,506 | ||||||
| GCAT LLC, Series 2020-3, Class A1, SUB, 2.98%, 09/25/2025 (e) | 679 | 656 | ||||||
| GNMA, | ||||||||
| Series 2015-H04, Class FA, (ICE LIBOR USD 1 Month + 0.65%), 3.01%, 12/20/2064 (aa) | 1,207 | 1,190 | ||||||
| Series 2017-121, Class PE, 3.00%, 07/20/2046 | 204 | 196 | ||||||
| Series 2018-H18, Class FC, (ICE LIBOR USD 1 Month + 0.35%), 2.71%, 08/20/2065 (aa) | 1,486 | 1,475 | ||||||
| Series 2019-54, Class KF, (ICE LIBOR USD 1 Month + 0.42%), 2.50%, 05/20/2044 (aa) | 465 | 455 | ||||||
| Series 2021-H09, Class FG, (United States 30 Day Average SOFR + 1.50%), 3.78%, 06/20/2071 (aa) | 1,510 | 1,537 | ||||||
| Series 2022-5, Class FA, (United States 30 Day Average SOFR + 0.30%), 2.58%, 01/20/2052 (aa) | 963 | 874 | ||||||
| Series 2022-H01, Class FA, (United States 30 Day Average SOFR + 0.35%), 2.63%, 01/20/2072 (aa) | 773 | 750 | ||||||
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Collateralized Mortgage Obligations — continued | ||||||||
| GS Mortgage-Backed Securities Corp. Trust, Series 2021-RPL1, Class A1, 1.75%, 12/25/2060 (e) (z) | 274 | 254 | ||||||
| Legacy Mortgage Asset Trust, Series 2021-GS3, Class A1, SUB, 1.75%, 07/25/2061 (e) | 1,346 | 1,226 | ||||||
| MFA Trust, Series 2021-RPL1, Class A1, 1.13%, 07/25/2060 (e) (z) | 456 | 405 | ||||||
| New Residential Mortgage Loan Trust, | ||||||||
| Series 2018-3A, Class A1, 4.50%, 05/25/2058 (e) (z) | 122 | 118 | ||||||
| Series 2019-NQM5, Class A1, 2.71%, 11/25/2059 (e) (z) | 290 | 263 | ||||||
| Series 2021-NQ2R, Class A1, 0.94%, 10/25/2058 (e) (z) | 676 | 633 | ||||||
| Sage AR Funding No 1 plc, (United Kingdom), Series 1A, Class A, (SONIA Interest Rate Benchmark + 1.25%), 3.21%, 11/17/2030 (e) (aa) | GBP 800 | 875 | ||||||
| Silverstone Master Issuer plc, (United Kingdom), Series 2022-1A, Class 1A, (United States SOFR + 0.38%), 2.72%, 01/21/2070 (e) (aa) | 700 | 697 | ||||||
| Starwood Mortgage Residential Trust, | ||||||||
| Series 2020-3, Class A1, 1.49%, 04/25/2065 (e) (z) | 277 | 266 | ||||||
| Series 2021-2, Class A1, 0.94%, 05/25/2065 (e) (z) | 354 | 330 | ||||||
| Stratton Mortgage Funding, (United Kingdom), Series 2021-2A, Class A, (SONIA Interest Rate Benchmark + 0.90%), 2.59%, 07/20/2060 (e) (aa) | GBP 154 | 171 | ||||||
| Towd Point Mortgage Funding, (United Kingdom), Series 2019-A13A, Class A1, (SONIA Interest Rate Benchmark + 0.90%), 2.59%, 07/20/2045 (e) (aa) | GBP 641 | 715 | ||||||
| Towd Point Mortgage Trust, Series 2019-HY2, Class A1, (ICE LIBOR USD 1 Month + 1.00%), 4.08%, 05/25/2058 (e) (aa) | 333 | 327 | ||||||
|
|
|
|||||||
| Total Collateralized Mortgage Obligations (Cost $20,333) |
18,939 | |||||||
|
|
|
|||||||
| Commercial Mortgage-Backed Securities — 1.7% | ||||||||
| 280 Park Avenue Mortgage Trust, Series 2017-280P, Class A, (ICE LIBOR USD 1 Month + 0.88%), 3.59%, 09/15/2034 (e) (aa) | 500 | 487 | ||||||
| AREIT Trust, Series 2019-CRE3, Class A, (CME Term SOFR 1 Month + 1.38%), 4.31%, 09/14/2036 (e) (aa) | 68 | 67 | ||||||
| AREIT Trust, (Cayman Islands), | ||||||||
| Series 2021-CRE5, Class A, (ICE LIBOR USD 1 Month + 1.08%), 4.07%, 11/17/2038 (e) (aa) | 520 | 504 | ||||||
| Series 2022-CRE6, Class A, (United States 30 Day Average SOFR + 1.25%), 3.53%, 01/16/2037 (e) (aa) | 867 | 828 | ||||||
| Ashford Hospitality Trust, Series 2018-KEYS, Class A, (ICE LIBOR USD 1 Month + 1.00%), 3.82%, 06/15/2035 (e) (aa) | 500 | 484 | ||||||
| BAMLL Commercial Mortgage Securities Trust, Series 2019-RLJ, Class A, (ICE LIBOR USD 1 Month + 1.05%), 3.87%, 04/15/2036 (e) (aa) | 400 | 393 | ||||||
| BDS LLC, Series 2022-FL12, Class A, (CME Term SOFR 1 Month + 2.14%), 4.60%, 08/19/2038 (e) (aa) | 900 | 893 | ||||||
| BWAY Mortgage Trust, Series 2021-1450, Class A, (ICE LIBOR USD 1 Month + 1.25%), 4.07%, 09/15/2036 (e) (aa) | 500 | 484 | ||||||
| CFCRE Commercial Mortgage Trust, Series 2016-C4, Class ASB, 3.09%, 05/10/2058 | 715 | 689 | ||||||
| Citigroup Commercial Mortgage Trust, Series 2021-KEYS, Class A, (ICE LIBOR USD 1 Month + 1.18%), 4.00%, 10/15/2036 (e) (aa) | 900 | 890 | ||||||
| LUXE Trust, Series 2021-MLBH, Class A, (ICE LIBOR USD 1 Month + 0.98%), 3.80%, 11/15/2038 (e) (aa) | 800 | 769 | ||||||
| MF1X, Series 2021-W10, Class A, (CME Term SOFR 1 Month + 1.07%), 3.92%, 12/15/2034 (e) (aa) | 900 | 888 | ||||||
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class AAB, 3.85%, 08/15/2046 | 205 | 204 | ||||||
| Morgan Stanley Capital I Trust, Series 2019-PLND, Class A, (ICE LIBOR USD 1 Month + 1.00%), 3.82%, 05/15/2036 (e) (aa) | 700 | 676 | ||||||
| Natixis Commercial Mortgage Securities Trust, Series 2022-RRI, Class A, (CME Term SOFR 1 Month + 1.82%), 4.67%, 03/15/2035 (e) (aa) | 900 | 885 | ||||||
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Commercial Mortgage-Backed Securities — continued | ||||||||
| SREIT Trust, Series 2021-IND, Class A, (ICE LIBOR USD 1 Month + 0.70%), 3.52%, 10/15/2038 (e) (aa) | 100 | 96 | ||||||
| VMC Finance LLC, Series 2021-FL4, Class A, (ICE LIBOR USD 1 Month + 1.10%), 4.09%, 06/16/2036 (e) (aa) | 300 | 295 | ||||||
| WFRBS Commercial Mortgage Trust, Series 2013-C11, Class A5, 3.07%, 03/15/2045 | 705 | 702 | ||||||
|
|
|
|||||||
| Total Commercial Mortgage-Backed Securities (Cost $10,529) |
10,234 | |||||||
|
|
|
|||||||
| Corporate Bonds — 14.8% | ||||||||
| Communications — 1.6% | ||||||||
| Internet — 0.0% (g) | ||||||||
| SK Broadband Co. Ltd., (South Korea), Reg. S, 3.88%, 08/13/2023 | 200 | 198 | ||||||
|
|
|
|||||||
| Media — 0.5% |
||||||||
| Charter Communications Operating LLC / Charter Communications Operating Capital, (ICE LIBOR USD 3 Month + 1.65%), 4.43%, 02/01/2024 (aa) |
1,700 | 1,709 | ||||||
| Discovery Communications LLC, 2.95%, 03/20/2023 | 1,500 | 1,487 | ||||||
|
|
|
|||||||
| 3,196 | ||||||||
|
|
|
|||||||
| Telecommunications — 1.1% |
||||||||
| AT&T, Inc., Reg. S, (BBSW ASX Australian 3 Month + 1.25%), 4.09%, 09/19/2023 (aa) | AUD 800 | 513 | ||||||
| (ICE LIBOR USD 3 Month + 1.18%), 4.42%, 06/12/2024 (aa) | 800 | 803 | ||||||
| SES SA, (Luxembourg), 3.60%, 04/04/2023 (e) | 1,400 | 1,380 | ||||||
| Verizon Communications, Inc., | ||||||||
| Reg. S, (BBSW ASX Australian 3 Month + 1.22%), 3.51%, 02/17/2023 (aa) | AUD 1,500 | 960 | ||||||
| (ICE LIBOR USD 3 Month + 1.10%), 4.01%, 05/15/2025 (aa) | 900 | 905 | ||||||
| Vodafone Group plc, (United Kingdom), Reg. S, (BBSW ASX Australian 3 Month + 1.05%), 3.73%, 12/13/2022 (aa) | AUD 2,600 | 1,663 | ||||||
|
|
|
|||||||
| 6,224 | ||||||||
|
|
|
|||||||
| Total Communications | 9,618 | |||||||
|
|
|
|||||||
| Consumer Cyclical — 1.0% | ||||||||
| Auto Manufacturers — 0.6% | ||||||||
| General Motors Financial Co., Inc., | ||||||||
| 3.25%, 01/05/2023 | 900 | 895 | ||||||
| 3.70%, 05/09/2023 | 1,200 | 1,194 | ||||||
| Hyundai Capital America, | ||||||||
| 0.80%, 04/03/2023 (e) | 1,200 | 1,175 | ||||||
| Reg. S, 1.25%, 09/18/2023 | 100 | 96 | ||||||
| Reg. S, 4.13%, 06/08/2023 | 400 | 398 | ||||||
|
|
|
|||||||
| 3,758 | ||||||||
|
|
|
|||||||
| Retail — 0.4% |
||||||||
| 7-Eleven, Inc., 0.63%, 02/10/2023 (e) | 1,800 | 1,774 | ||||||
| McDonald’s Corp., Reg. S, (BBSW ASX Australian 3 Month + 1.13%), 3.73%, 03/08/2024 (aa) | AUD 600 | 385 | ||||||
|
|
|
|||||||
| 2,159 | ||||||||
|
|
|
|||||||
| Total Consumer Cyclical | 5,917 | |||||||
|
|
|
|||||||
| Consumer Non-cyclical — 1.2% | ||||||||
| Beverages — 0.1% | ||||||||
| JDE Peet’s NV, (Netherlands), 0.80%, 09/24/2024 (e) | 400 | 366 | ||||||
|
|
|
|||||||
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Commercial Services — 0.1% | ||||||||
| Transurban Queensland Finance Pty Ltd., (Australia), Reg. S, (BBSW ASX Australian 3 Month + 2.05%), 4.85%, 12/16/2024 (aa) | AUD 1,000 | 650 | ||||||
|
|
|
|||||||
| Food — 0.1% | ||||||||
| General Mills, Inc., 6.41%, 10/15/2022 | 600 | 600 | ||||||
|
|
|
|||||||
| Healthcare - Products — 0.2% |
||||||||
| Thermo Fisher Scientific, Inc., 0.80%, 10/18/2023 | 1,300 | 1,250 | ||||||
|
|
|
|||||||
| Healthcare - Services — 0.1% | ||||||||
| HCA, Inc., 5.00%, 03/15/2024 | 500 | 497 | ||||||
|
|
|
|||||||
| Pharmaceuticals — 0.6% | ||||||||
| Bayer US Finance II LLC, (ICE LIBOR USD 3 Month + 1.01%), 4.30%, 12/15/2023 (e) (aa) | 3,500 | 3,488 | ||||||
|
|
|
|||||||
| Total Consumer Non-cyclical | 6,851 | |||||||
|
|
|
|||||||
| 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 | 1,823 | ||||||
|
|
|
|||||||
| Energy — 0.5% | ||||||||
| Oil & Gas — 0.4% | ||||||||
| Saudi Arabian Oil Co., (Saudi Arabia), Reg. S, 2.88%, 04/16/2024 | 1,600 | 1,546 | ||||||
| Woodside Finance Ltd., (Australia), Reg. S, 3.70%, 09/15/2026 | 1,000 | 926 | ||||||
|
|
|
|||||||
| 2,472 | ||||||||
|
|
|
|||||||
| Pipelines — 0.1% | ||||||||
| Sabine Pass Liquefaction LLC, 5.63%, 04/15/2023 | 400 | 400 | ||||||
|
|
|
|||||||
| Total Energy | 2,872 | |||||||
|
|
|
|||||||
| Financial — 6.8% | ||||||||
| Banks — 5.9% | ||||||||
| ADCB Finance Cayman Ltd., (Cayman Islands), (BBSW ASX Australian 3 Month + 1.38%), 3.59%, 10/25/2022 (aa) | AUD 2,500 | 1,599 | ||||||
| Aozora Bank Ltd., (Japan), Reg. S, 1.05%, 09/09/2024 | 1,100 | 1,014 | ||||||
| Banco Bilbao Vizcaya Argentaria SA, (Spain), 0.88%, 09/18/2023 | 1,800 | 1,730 | ||||||
| Bank of America Corp., (ICE LIBOR USD 3 Month + 0.79%), 3.00%, 12/20/2023 (aa) | 283 | 282 | ||||||
| Barclays plc, (United Kingdom), | ||||||||
| (ICE LIBOR USD 3 Month + 1.38%), 4.30%, 05/16/2024 (aa) | 1,300 | 1,299 | ||||||
| Reg. S, (BBSW ASX Australian 3 Month + 1.80%), 4.55%, 06/15/2023 (aa) | AUD 750 | 481 | ||||||
| BNP Paribas SA, (France), | ||||||||
| Reg. S, (BBSW ASX Australian 3 Month + 1.75%), 4.55%, 12/16/2022 (aa) | AUD 700 | 448 | ||||||
| (ICE LIBOR USD 3 Month + 2.24%), 4.71%, 01/10/2025 (e) (aa) | 1,100 | 1,083 | ||||||
| Citigroup, Inc., (BBSW ASX Australian 3 Month + 1.72%), 4.01%, 10/27/2023 (aa) | AUD 1,000 | 644 | ||||||
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Banks — continued | ||||||||
| Credit Suisse AG, (Switzerland), (BBSW ASX Australian 3 Month + 1.15%), 3.56%, 05/26/2023 (aa) | AUD 2,500 | 1,599 | ||||||
| Danske Bank A/S, (Denmark), | ||||||||
| Reg. S, (ICE LIBOR USD 3 Month + 1.06%), 4.30%, 09/12/2023 (aa) | 600 | 597 | ||||||
| Reg. S, 5.38%, 01/12/2024 | 1,100 | 1,094 | ||||||
| Federation des Caisses Desjardins du Quebec, (Canada), | ||||||||
| 0.70%, 05/21/2024 (e) | 1,100 | 1,022 | ||||||
| 2.05%, 02/10/2025 (e) | 500 | 461 | ||||||
| First Abu Dhabi Bank PJSC, (United Arab Emirates), (BBSW ASX Australian 3 Month + 1.10%), 3.42%, 02/18/2025 (aa) | AUD 700 | 445 | ||||||
| Goldman Sachs Group, Inc. (The), Reg. S, (BBSW ASX Australian 3 Month + 1.55%), 3.73%, 05/02/2024 (aa) | AUD 500 | 321 | ||||||
| Hana Bank, (South Korea), (ICE LIBOR USD 3 Month + 0.70%), 2.99%, 10/02/2022 (e) (aa) | 500 | 500 | ||||||
| HSBC Holdings plc, (United Kingdom), | ||||||||
| (ICE LIBOR USD 3 Month + 1.00%), 3.96%, 05/18/2024 (aa) | 800 | 790 | ||||||
| (ICE LIBOR USD 3 Month + 1.23%), 4.47%, 03/11/2025 (aa) | 1,000 | 989 | ||||||
| Lloyds Banking Group plc, (United Kingdom), | ||||||||
| 4.05%, 08/16/2023 | 1,390 | 1,374 | ||||||
| (BBSW ASX Australian 3 Month + 1.30%), 4.17%, 03/20/2023 (aa) | AUD 300 | 192 | ||||||
| Mitsubishi UFJ Financial Group, Inc., (Japan), (ICE LIBOR USD 3 Month + 0.86%), 3.63%, 07/26/2023 (aa) | 2,500 | 2,506 | ||||||
| Mizuho Financial Group, Inc., (Japan), (ICE LIBOR USD 3 Month + 0.63%), 3.63%, 05/25/2024 (aa) | 3,400 | 3,367 | ||||||
| NatWest Group plc, (United Kingdom), (ICE LIBOR USD 3 Month + 1.55%), 5.19%, 06/25/2024 (aa) | 700 | 698 | ||||||
| Nordea Bank Abp, (Finland), (ICE LIBOR USD 3 Month + 0.94%), 3.98%, 08/30/2023 (e) (aa) | 200 | 201 | ||||||
| Oversea-Chinese Banking Corp. Ltd., (Singapore), | ||||||||
| (BBSW ASX Australian 3 Month + 0.26%), 2.56%, 08/12/2024 (aa) | AUD 1,000 | 634 | ||||||
| (BBSW ASX Australian 3 Month + 0.35%), 3.19%, 03/18/2024 (f) (aa) | AUD 500 | 319 | ||||||
| Santander Holdings USA, Inc., 3.40%, 01/18/2023 | 1,300 | 1,295 | ||||||
| Societe Generale SA, (France), | ||||||||
| 2.63%, 01/22/2025 (e) | 800 | 740 | ||||||
| 3.88%, 03/28/2024 (e) | 500 | 486 | ||||||
| 4.25%, 09/14/2023 (e) | 500 | 495 | ||||||
| Standard Chartered plc, (United Kingdom), (ICE LIBOR USD 3 Month + 1.56%), 3.79%, 05/21/2025 (e) (aa) | 1,700 | 1,630 | ||||||
| Sumitomo Mitsui Financial Group, Inc., (Japan), Reg. S, (BBSW ASX Australian 3 Month + 1.25%), 3.44%, 10/16/2024 (aa) |
AUD 2,400 | 1,532 | ||||||
| Sumitomo Mitsui Trust Bank Ltd., (Japan), 0.80%, 09/16/2024 (e) | 400 | 367 | ||||||
| UBS AG, (Switzerland), Reg. S, (BBSW ASX Australian 3 Month + 0.87%), 2.99%, 07/30/2025 (aa) | AUD 2,200 | 1,402 | ||||||
| Wells Fargo & Co., (United States SOFR + 1.32%), 3.77%, 04/25/2026 (aa) | 1,200 | 1,194 | ||||||
|
|
|
|||||||
| 34,830 | ||||||||
|
|
|
|||||||
| Diversified Financial Services — 0.6% | ||||||||
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust, (Ireland), 4.50%, 09/15/2023 | 1,100 | 1,085 | ||||||
| Ally Financial, Inc., 3.05%, 06/05/2023 | 300 | 297 | ||||||
| Nomura Holdings, Inc., (Japan), 1.85%, 07/16/2025 | 2,300 | 2,075 | ||||||
| ORIX Corp., (Japan), 3.25%, 12/04/2024 | 400 | 384 | ||||||
|
|
|
|||||||
| 3,841 | ||||||||
|
|
|
|||||||
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Savings & Loans — 0.3% | ||||||||
| Nationwide Building Society, (United Kingdom), | ||||||||
| 0.55%, 01/22/2024 (e) | 400 | 376 | ||||||
| (ICE LIBOR USD 3 Month + 1.06%), 3.77%, 03/08/2024 (e) (aa) | 1,400 | 1,384 | ||||||
|
|
|
|||||||
| 1,760 | ||||||||
|
|
|
|||||||
| Total Financial |
40,431 | |||||||
|
|
|
|||||||
| Industrial — 1.0% | ||||||||
| Aerospace/Defense — 0.4% | ||||||||
| Boeing Co. (The), | ||||||||
| 1.43%, 02/04/2024 | 1,000 | 950 | ||||||
| 4.51%, 05/01/2023 | 1,400 | 1,395 | ||||||
|
|
|
|||||||
| 2,345 | ||||||||
|
|
|
|||||||
| Machinery - Construction & Mining — 0.1% | ||||||||
| Komatsu Finance America, Inc., Reg. S, 0.85%, 09/09/2023 | 1,000 | 964 | ||||||
|
|
|
|||||||
| Machinery - Diversified — 0.3% | ||||||||
| CNH Industrial NV, (Netherlands), 4.50%, 08/15/2023 | 1,700 | 1,690 | ||||||
|
|
|
|||||||
| Packaging & Containers — 0.2% | ||||||||
| Berry Global, Inc., 0.95%, 02/15/2024 | 1,200 | 1,128 | ||||||
|
|
|
|||||||
| Total Industrial | 6,127 | |||||||
|
|
|
|||||||
| Technology — 0.7% | ||||||||
| Computers — 0.3% | ||||||||
| Dell International LLC / EMC Corp., 5.45%, 06/15/2023 | 600 | 601 | ||||||
| Leidos, Inc., 2.95%, 05/15/2023 | 1,000 | 986 | ||||||
|
|
|
|||||||
| 1,587 | ||||||||
|
|
|
|||||||
| Semiconductors — 0.2% | ||||||||
| SK Hynix, Inc., (South Korea), | ||||||||
| 1.00%, 01/19/2024 (e) | 300 | 283 | ||||||
| Reg. S, 1.00%, 01/19/2024 | 1,000 | 945 | ||||||
|
|
|
|||||||
| 1,228 | ||||||||
|
|
|
|||||||
| Software — 0.2% | ||||||||
| VMware, Inc., 0.60%, 08/15/2023 | 1,300 | 1,252 | ||||||
|
|
|
|||||||
| Total Technology |
4,067 | |||||||
|
|
|
|||||||
| Utilities — 1.7% | ||||||||
| Electric — 1.7% | ||||||||
| American Electric Power Co., Inc., Series A, (ICE LIBOR USD 3 Month + 0.48%), 3.26%, 11/01/2023 (aa) | 1,300 | 1,293 | ||||||
| Ausgrid Finance Pty Ltd., (Australia), 3.85%, 05/01/2023 (e) | 700 | 695 | ||||||
| Dominion Energy, Inc., Series D, (ICE LIBOR USD 3 Month + 0.53%), 3.82%, 09/15/2023 (aa) | 800 | 796 | ||||||
| Enel Finance International NV, (Netherlands), 4.25%, 06/15/2025 (e) | 300 | 288 | ||||||
| Israel Electric Corp. Ltd., (Israel), | ||||||||
| 6.88%, 06/21/2023 (e) | 500 | 504 | ||||||
| Series 6, Reg. S, 5.00%, 11/12/2024 (e) | 300 | 292 | ||||||
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued |
||||||||
| Electric — continued | ||||||||
| Kansai Electric Power Co., Inc. (The), (Japan), Reg. S, 2.55%, 09/17/2024 | 1,800 | 1,713 | ||||||
| Pacific Gas and Electric Co., 1.70%, 11/15/2023 | 200 | 192 | ||||||
| 3.25%, 06/15/2023 | 200 | 197 | ||||||
| 3.75%, 02/15/2024 | 100 | 97 | ||||||
| 3.85%, 11/15/2023 | 400 | 393 | ||||||
| 4.25%, 08/01/2023 | 800 | 794 | ||||||
| Southern California Edison Co., (SOFR Compounded Index + 0.64%), 3.61%, 04/03/2023 (aa) | 1,700 | 1,697 | ||||||
| Southern Co. (The), Series 2021, (United States SOFR + 0.37%), 3.01%, 05/10/2023 (aa) | 1,400 | 1,393 | ||||||
|
|
|
|||||||
| Total Utilities | 10,344 | |||||||
|
|
|
|||||||
| Total Corporate Bonds (Cost $92,108) |
88,050 | |||||||
|
|
|
|||||||
| Foreign Government Securities — 0.7% |
||||||||
| International Bank for Reconstruction & Development, (Supranational), 0.65%, 02/10/2026 | 3,400 | 2,937 | ||||||
| Korea Development Bank (The), (South Korea), Reg. S, (ICE LIBOR USD 3 Month + 0.80%), 3.61%, 10/30/2022 (aa) | 500 | 500 | ||||||
| Korea National Oil Corp., (South Korea), Reg. S, (ICE LIBOR USD 3 Month + 0.88%), 3.62%, 07/16/2023 (aa) | 500 | 501 | ||||||
|
|
|
|||||||
| Total Foreign Government Securities (Cost $4,402) |
3,938 | |||||||
|
|
|
|||||||
| Municipal Bonds — 68.1% (t) | ||||||||
| Alabama — 0.1% | ||||||||
| Lower Alabama Gas District (The), Series A, Rev., 4.00%, 12/01/2022 |
550 | 550 | ||||||
|
|
|
|||||||
| Alaska — 0.6% | ||||||||
| Alaska Housing Finance Corp., Home Mortgage, Series B, Rev., VRDO, 2.45%, 10/07/2022 (z) | 2,400 | 2,400 | ||||||
| Alaska Municipal Bond Bank Authority, Series 4, Rev., AMT, 5.00%, 12/01/2024 | 1,215 | 1,247 | ||||||
|
|
|
|||||||
| 3,647 | ||||||||
|
|
|
|||||||
| Arizona — 2.2% |
||||||||
| Arizona State University, Series A, Rev., VRDO, 2.50%, 10/07/2022 (z) | 13,295 | 13,295 | ||||||
|
|
|
|||||||
| California — 6.3% |
||||||||
| California Public Finance Authority, Rev., VRDO, LOC: Barclays Bank plc, 2.45%, 10/03/2022 (z) | 2,000 | 2,000 | ||||||
| City of Los Angeles Department of Airports, Senior Bonds Green Bond Project, Rev., AMT, 5.00%, 05/15/2025 | 2,475 | 2,550 | ||||||
| Los Angeles Department of Water & Power, Power System Revenue, Series B8, Rev., VRDO, 2.12%, 10/07/2022 (z) | 5,500 | 5,500 | ||||||
| Los Angeles Department of Water & Power, Subordinate, Series B7, Rev., VRDO, 2.13%, 10/07/2022 (z) | 4,000 | 4,000 | ||||||
| Sacramento County Sanitation Districts Financing Authority, Rev., 5.00%, 12/01/2022 | 2,000 | 2,006 | ||||||
| San Francisco City & County Airport Comm-San Francisco International Airport, Series B, Rev., VRDO, LOC: Barclays Bank plc, 2.25%, 10/07/2022 (z) | 10,000 | 10,000 | ||||||
| State of California, | ||||||||
| GO, 5.00%, 10/01/2022 | 1,000 | 1,000 | ||||||
| GO, 5.00%, 11/01/2022 | 1,000 | 1,002 | ||||||
| Series C3, GO, VRDO, LOC: U.S. Bank NA, 2.10%, 10/07/2022 (z) | 1,445 | 1,445 | ||||||
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Municipal Bonds — continued | ||||||||
| California — continued | ||||||||
| University of California, Series AL1, Rev., VRDO, 2.37%, 10/03/2022 (z) | 4,800 | 4,800 | ||||||
| West Valley-Mission Community College District, GO, 5.00%, 08/01/2024 | 3,000 | 3,100 | ||||||
|
|
|
|||||||
| 37,403 | ||||||||
|
|
|
|||||||
| Colorado — 0.8% | ||||||||
| Denver City & County School District No. 1, GO, 5.00%, 12/01/2022 | 3,000 | 3,009 | ||||||
| Weld County School District No. 6 Greeley, GO, 5.00%, 12/01/2022 | 1,850 | 1,856 | ||||||
|
|
|
|||||||
| 4,865 | ||||||||
|
|
|
|||||||
| Connecticut — 3.5% | ||||||||
| Connecticut Housing Finance Authority, | ||||||||
| Series B3, Rev., VRDO, 2.48%, 10/07/2022 (z) | 5,680 | 5,680 | ||||||
| Series F3, Rev., VRDO, 2.57%, 10/07/2022 (z) | 10,500 | 10,500 | ||||||
| Connecticut State Health & Educational Facilities Authority, Stamford Hospital Issuer, Rev., 4.00%, 07/01/2023 | 550 | 550 | ||||||
| Connecticut State Health & Educational Facilities Authority, Yale University, Series V1, Rev., VRDO, 2.60%, 10/03/2022 (z) | 2,750 | 2,750 | ||||||
| State of Connecticut Special Tax Revenue, Series A, Rev., 4.00%, 05/01/2023 | 1,530 | 1,538 | ||||||
|
|
|
|||||||
| 21,018 | ||||||||
|
|
|
|||||||
| District of Columbia — 1.3% | ||||||||
| District of Columbia, Rev., VRDO, LOC: Wells Fargo Bank NA, 2.56%, 10/07/2022 (z) | 2,325 | 2,325 | ||||||
| District of Columbia, Georgetown University, Series B2, Rev., VRDO, LOC: Bank of America NA, 2.45%, 10/07/2022 (z) | 3,495 | 3,495 | ||||||
| District of Columbia, Georgetown University (The), Series B1, Rev., VRDO, LOC: Bank of America NA, 2.45%, 10/07/2022 (z) | 1,915 | 1,915 | ||||||
|
|
|
|||||||
| 7,735 | ||||||||
|
|
|
|||||||
| Florida — 5.0% | ||||||||
| Central Florida Expressway Authority, Senior Lien, Rev., AGM, 5.00%, 07/01/2023 | 1,000 | 1,014 | ||||||
| Florida Gulf Coast University Financing Corp., Parking Project, Series A3, Rev., VRDO, LOC: TD Bank NA, 2.50%, 10/07/2022 (z) | 3,340 | 3,340 | ||||||
| Highlands County Health Facilities Authority, Adventist Health System/Sunbelt Obligated Group, Series A, Rev., VRDO, 2.48%, 10/07/2022 (z) | 4,000 | 4,000 | ||||||
| JEA Water & Sewer System Revenue, | ||||||||
| Rev., 5.00%, 10/01/2024 | 3,750 | 3,844 | ||||||
| Series B1, Rev., VRDO, 2.54%, 10/07/2022 (z) | 8,385 | 8,385 | ||||||
| JEA Water & Sewer System Revenue, Subordinate, Series A1, Rev., VRDO, 2.75%, 10/03/2022 (z) | 3,000 | 3,000 | ||||||
| Orange County Health Facilities Authority, Nemours Foundation, Series B, Rev., VRDO, LOC: Northern Trust Co., 2.52%, 10/07/2022 (z) | 1,900 | 1,900 | ||||||
| Seacoast Utility Authority, Series B, Rev., 5.00%, 03/01/2023 | 2,215 | 2,233 | ||||||
| State of Florida Lottery Revenue, Lottery, Series A, Rev., 5.00%, 07/01/2025 | 2,000 | 2,092 | ||||||
|
|
|
|||||||
| 29,808 | ||||||||
|
|
|
|||||||
| Georgia — 0.1% | ||||||||
| City of Atlanta, Department of Aviation, Series C, Rev., AMT, 5.00%, 07/01/2024 | 615 | 630 | ||||||
|
|
|
|||||||
| Idaho — 0.8% | ||||||||
| Idaho Health Facilities Authority, St. Luke’s Health System Obligated Group, Rev., VRDO, LOC: U.S. Bank NA, 2.75%, 10/03/2022 (z) | 4,500 | 4,500 | ||||||
|
|
|
|||||||
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Municipal Bonds — continued | ||||||||
| Illinois — 2.1% | ||||||||
| County of Cook, | ||||||||
| Series A, GO, 5.00%, 11/15/2023 | 2,250 | 2,289 | ||||||
| Series A, GO, 5.00%, 11/15/2024 | 5,000 | 5,143 | ||||||
| Illinois Finance Authority, The Catherine Cook School Project, Rev., VRDO, LOC: Northern Trust Co., 2.42%, 10/07/2022 (z) | 1,770 | 1,770 | ||||||
| Sales Tax Securitization Corp., Second Lien, Series A, Rev., 5.00%, 01/01/2024 | 2,700 | 2,747 | ||||||
| State of Illinois, Series A, GO, 5.00%, 03/01/2023 | 500 | 503 | ||||||
|
|
|
|||||||
| 12,452 | ||||||||
|
|
|
|||||||
| Indiana — 0.2% | ||||||||
| Indiana Municipal Power Agency, Series B, Rev., VRDO, LOC: U.S. Bank NA, 2.75%, 10/03/2022 (z) | 1,300 | 1,300 | ||||||
|
|
|
|||||||
| Maine — 0.1% | ||||||||
| Maine Health & Higher Educational Facilities Authority, Series A, Rev., AGM, 5.00%, 07/01/2023 | 550 | 557 | ||||||
|
|
|
|||||||
| Maryland — 1.5% | ||||||||
| City of Frederick, Public Improvement, GO, 3.00%, 12/01/2022 | 1,000 | 1,000 | ||||||
| Washington Suburban Sanitary Commission, Series A, Rev., VRDO, BAN, CNTY GTD, 2.55%, 10/07/2022 (z) | 7,700 | 7,700 | ||||||
|
|
|
|||||||
| 8,700 | ||||||||
|
|
|
|||||||
| Massachusetts — 2.5% | ||||||||
| Commonwealth of Massachusetts, | ||||||||
| Series A, GO, 5.00%, 01/01/2025 | 2,000 | 2,079 | ||||||
| Series B, GO, 5.00%, 07/01/2023 | 4,650 | 4,717 | ||||||
| Massachusetts Development Finance Agency, Northeastern University, Series A, Rev., 5.00%, 10/01/2022 | 2,350 | 2,350 | ||||||
| Massachusetts Development Finance Agency, Partners Healthcare System, Inc., Series K1, Rev., VRDO, 2.50%, 10/07/2022 (z) | 5,700 | 5,700 | ||||||
|
|
|
|||||||
| 14,846 | ||||||||
|
|
|
|||||||
| Michigan — 2.7% | ||||||||
| University of Michigan, Series D1, Rev., VRDO, 2.65%, 10/03/2022 (z) | 3,375 | 3,375 | ||||||
| Wayne County Airport Authority, Rev., AMT, 4.00%, 12/01/2023 (e) | 12,715 | 12,773 | ||||||
|
|
|
|||||||
| 16,148 | ||||||||
|
|
|
|||||||
| Minnesota — 1.2% | ||||||||
| City of Rochester, Mayo Clinic, | ||||||||
| Series A, Rev., VRDO, 2.45%, 10/07/2022 (z) | 3,000 | 3,000 | ||||||
| Series B, Rev., VRDO, 2.45%, 10/07/2022 (z) | 3,900 | 3,900 | ||||||
|
|
|
|||||||
| 6,900 | ||||||||
|
|
|
|||||||
| Missouri — 1.5% | ||||||||
| City of St. Louis, Airport Revenue, Series A, Rev., AGM, 5.00%, 07/01/2024 | 2,000 | 2,051 | ||||||
| State of Missouri, Health & Educational Facilities Authority, | ||||||||
| Rev., 5.00%, 06/01/2024 | 2,380 | 2,437 | ||||||
| Series F, Rev., VRDO, 2.75%, 10/03/2022 (z) | 4,235 | 4,235 | ||||||
|
|
|
|||||||
| 8,723 | ||||||||
|
|
|
|||||||
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Municipal Bonds — continued | ||||||||
| New Hampshire — 2.3% | ||||||||
| New Hampshire Health and Education Facilities Authority Act, Bishop Guertin High School, Rev., VRDO, LOC: TD Bank NA, 2.55%, 10/07/2022 (z) | 1,965 | 1,965 | ||||||
| New Hampshire Health and Education Facilities Authority Act, University System of New Hampshire, Series B, Rev., VRDO, 2.75%, 10/03/2022 (z) | 7,800 | 7,800 | ||||||
| New Hampshire Health and Education Facilities Authority, University System, Series B1, Rev., VRDO, 2.75%, 10/03/2022 (z) | 4,000 | 4,000 | ||||||
|
|
|
|||||||
| 13,765 | ||||||||
|
|
|
|||||||
| New Jersey — 2.9% | ||||||||
| City of Newark, Series A, GO, 5.00%, 10/01/2022 | 700 | 700 | ||||||
| Jersey City Redevelopment Agency, Rev., 4.00%, 12/15/2024 | 5,350 | 5,404 | ||||||
| New Jersey Health Care Facilities Financing Authority, RWJ Barnabas Health Obligated Group, Rev., 5.00%, 07/01/2024 | 6,930 | 7,125 | ||||||
| New Jersey Health Care Facilities Financing Authority, Virtua Health, Series C, Rev., VRDO, LOC: JPMorgan Chase Bank NA, 2.21%, 10/03/2022 (z) | 3,475 | 3,475 | ||||||
| New Jersey Higher Education Student Assistance Authority, Series B, Rev., AMT, 5.00%, 12/01/2023 | 300 | 304 | ||||||
|
|
|
|||||||
| 17,008 | ||||||||
|
|
|
|||||||
| New Mexico — 2.9% |
||||||||
| New Mexico Educational Assistance Foundation, Series 1A, Rev., AMT, 5.00%, 09/01/2024 | 6,750 | 6,919 | ||||||
| New Mexico Finance Authority, Subordinate, Series A, Rev., 5.00%, 06/15/2025 | 2,795 | 2,922 | ||||||
| University of New Mexico (The), Rev., VRDO, 2.46%, 10/07/2022 (z) | 7,045 | 7,045 | ||||||
|
|
|
|||||||
| 16,886 | ||||||||
|
|
|
|||||||
| New York — 5.4% | ||||||||
| City of New York, |
||||||||
| Series B, GO, VRDO, 2.75%, 10/03/2022 (z) | 3,700 | 3,700 | ||||||
| Series I4, GO, VRDO, LOC: TD Bank NA, 2.55%, 10/03/2022 (z) | 2,000 | 2,000 | ||||||
| City of New York, Fiscal 2021, Series C, GO, 5.00%, 08/01/2024 | 1,015 | 1,047 | ||||||
| City of New York, Fiscal Year 2017, Series A4, GO, VRDO, LOC: Citibank NA, 2.60%, 10/07/2022 (z) | 1,090 | 1,090 | ||||||
| New York City Municipal Water Finance Authority, Series F2, Rev., VRDO, LOC: Citibank NA, 2.78%, 10/03/2022 (z) | 1,300 | 1,300 | ||||||
| New York City Transitional Finance Authority, Future Tax Secured Revenue, | ||||||||
| Rev., 5.00%, 11/01/2023 |
1,000 | 1,020 | ||||||
| Series B1, Rev., 4.00%, 11/01/2022 | 1,800 | 1,801 | ||||||
| New York City Water & Sewer System, Various Second General Resolution, Series BB4, Rev., VRDO, 2.75%, 10/03/2022 (z) | 2,500 | 2,500 | ||||||
| New York State Dormitory Authority, |
||||||||
| Series A, Rev., AGM, 4.00%, 10/01/2023 | 1,150 | 1,160 | ||||||
| Series B, Rev., 4.00%, 10/01/2023 | 2,805 | 2,829 | ||||||
| New York State Dormitory Authority, School Districts Financing Program, Rev., 5.00%, 10/01/2023 | 1,245 | 1,267 | ||||||
| New York State Dormitory Authority, St. John’s University, Series A, Rev., 5.00%, 07/01/2023 | 500 | 507 | ||||||
| New York State Thruway Authority, Series O, Rev., 5.00%, 01/01/2023 | 8,905 | 8,945 | ||||||
| New York State Urban Development Corp., Rev., 5.00%, 03/15/2024 | 1,630 | 1,672 | ||||||
| Triborough Bridge & Tunnel Authority, Series B3, Rev., VRDO, LOC: State Street Bank & Trust Co., 2.77%, 10/03/2022 (z) | 1,430 | 1,430 | ||||||
|
|
|
|||||||
| 32,268 | ||||||||
|
|
|
|||||||
| North Carolina — 0.5% | ||||||||
| North Carolina Turnpike Authority, Rev., BAN, 5.00%, 02/01/2024 | 3,000 | 3,058 | ||||||
|
|
|
|||||||
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Municipal Bonds — continued | ||||||||
| Ohio — 3.5% | ||||||||
| County of Franklin, Facilities, OhioHealth Corp., Series D, Rev., VRDO, LOC: Northern Trust Co., 2.55%, 10/07/2022 (z) | 2,300 | 2,300 | ||||||
| Ohio Higher Educational Facility Commission, Hospital, Cleveland Clinic Health System Obligated Group, Series B3, Rev., VRDO, 2.74%, 10/03/2022 (z) | 5,000 | 5,000 | ||||||
| Ohio State University (The), Series B2, Rev., VRDO, 2.50%, 10/07/2022 (z) | 6,725 | 6,725 | ||||||
| State of Ohio, Cleveland Clinic Health System, Rev., VRDO, 2.55%, 10/07/2022 (z) | 6,000 | 6,000 | ||||||
| State of Ohio, Mental Health Facilities Improvement, Series A, Rev., 5.00%, 02/01/2024 | 500 | 512 | ||||||
|
|
|
|||||||
| 20,537 | ||||||||
|
|
|
|||||||
| Oklahoma — 0.4% | ||||||||
| Tulsa County Independent School District No. 1, Series A, GO, 2.00%, 03/01/2023 | 2,130 | 2,115 | ||||||
|
|
|
|||||||
| Oregon — 0.5% | ||||||||
| Oregon State Lottery, Series A, Rev., 5.00%, 04/01/2024 | 1,100 | 1,130 | ||||||
| Washington & Multnomah Counties School District No. 48J Beaverton, Series B, GO, SCH BD GTY, 5.00%, 06/15/2024 | 2,000 | 2,061 | ||||||
|
|
|
|||||||
| 3,191 | ||||||||
|
|
|
|||||||
| Pennsylvania — 0.7% | ||||||||
| City of Philadelphia Water & Wastewater Revenue, Series C, Rev., 5.00%, 06/01/2025 | 1,355 | 1,412 | ||||||
| Lancaster Higher Education Authority, Harrisburg Area Community, Rev., BAM, 5.00%, 10/01/2023 | 600 | 611 | ||||||
| Pennsylvania Economic Development Financing Authority, |
||||||||
| Series A, Rev., 4.00%, 10/15/2022 | 600 | 600 | ||||||
| Series A, Rev., 4.00%, 10/15/2023 | 700 | 704 | ||||||
| Phoenixville Area School District, GO, 4.00%, 11/15/2022 | 1,000 | 1,001 | ||||||
|
|
|
|||||||
| 4,328 | ||||||||
|
|
|
|||||||
| South Carolina — 0.4% | ||||||||
| Piedmont Municipal Power Agency, Series E, Rev., 5.00%, 01/01/2023 | 2,250 | 2,258 | ||||||
|
|
|
|||||||
| Texas — 11.0% | ||||||||
| Allen Independent School District, GO, PSF-GTD, 5.00%, 02/15/2023 | 1,205 | 1,214 | ||||||
| Board of Regents of the University of Texas System, Financing System, Series B, Rev., VRDO, LIQ: University of Texas Investment Management Co. (The), 2.44%, 10/07/2022 (z) | 19,400 | 19,400 | ||||||
| City of Houston Combined Utility System Revenue, Combined First Lien, Rev., VRDO, 2.46%, 10/07/2022 (z) | 9,000 | 9,000 | ||||||
| City of Houston Combined Utility System Revenue, Rev., VRDO, (SIFMA Municipal Swap Index + 0.01%), 2.47%, 10/07/2022 (aa) | 5,000 | 5,000 | ||||||
| City of Mesquite, GO, 3.00%, 02/15/2023 | 1,000 | 999 | ||||||
| City of San Antonio, Municipal Drainage Utility, Rev., 5.00%, 02/01/2023 | 1,000 | 1,006 | ||||||
| City of Wichita Falls Water & Sewer System Revenue, Rev., 5.00%, 08/01/2024 | 1,540 | 1,590 | ||||||
| County of Harris, Road Bonds, Series A, GO, 5.00%, 10/01/2022 | 1,660 | 1,660 | ||||||
| County of Williamson, GO, 4.00%, 02/15/2023 | 2,315 | 2,323 | ||||||
| Cypress-Fairbanks Independent School District, Series A, GO, PSF-GTD, 5.00%, 02/15/2025 | 2,140 | 2,225 | ||||||
| Dallas Fort Worth International Airport, Series B, Rev., 5.00%, 11/01/2022 | 3,000 | 3,004 | ||||||
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Municipal Bonds — continued | ||||||||
| Texas — continued | ||||||||
| Fort Worth Independent School District, Series A, GO, PSF-GTD, 5.00%, 02/15/2025 | 1,150 | 1,197 | ||||||
| Garland Independent School District, GO, PSF-GTD, 5.00%, 02/15/2023 | 1,160 | 1,168 | ||||||
| Harris County Toll Road Authority, First Lien, Rev., 5.00%, 08/15/2023 | 1,600 | 1,627 | ||||||
| Lower Colorado River Authority, LCRA Transmission Services Corp., Rev., 5.00%, 05/15/2023 | 1,200 | 1,213 | ||||||
| San Antonio Independent School District, GO, PSF-GTD, 5.00%, 08/15/2024 | 1,375 | 1,420 | ||||||
| State of Texas, Transportation Commission Highway, GO, 5.00%, 04/01/2025 | 3,000 | 3,128 | ||||||
| Texas A&M University, Financing System, Series E, Rev., 5.00%, 05/15/2025 | 3,000 | 3,131 | ||||||
| Texas Public Finance Authority, Rev., 5.00%, 02/01/2025 | 2,980 | 3,100 | ||||||
| Texas Water Development Board, Rev., 3.00%, 10/15/2022 | 2,000 | 2,000 | ||||||
|
|
|
|||||||
| 65,405 | ||||||||
|
|
|
|||||||
| Utah — 0.4% | ||||||||
| Central Valley Water Reclamation Facility, Green Bond, Series C, Rev., 5.00%, 03/01/2024 | 500 | 513 | ||||||
| City of Salt Lake City Public Utilities Revenue, Rev., 5.00%, 02/01/2025 | 1,550 | 1,613 | ||||||
|
|
|
|||||||
| 2,126 | ||||||||
|
|
|
|||||||
| Virginia — 3.1% | ||||||||
| Norfolk Economic Development Authority, Sentara Healthcare Obligated Group, |
||||||||
| Series A, Rev., VRDO, 2.54%, 10/07/2022 (z) | 7,100 | 7,100 | ||||||
| Series B, Rev., VRDO, 2.55%, 10/07/2022 (z) | 10,030 | 10,030 | ||||||
| Virginia College Building Authority, 21st Century College, Series E1, Rev., 5.00%, 02/01/2024 | 1,285 | 1,316 | ||||||
|
|
|
|||||||
| 18,446 | ||||||||
|
|
|
|||||||
| Washington — 1.6% | ||||||||
| Chelan County Public Utility District No. 1, Series B, Rev., VRDO, 2.55%, 10/07/2022 (z) | 8,270 | 8,270 | ||||||
| Snohomish County School District No. 6 Mukilteo, GO, SCH BD GTY, 5.00%, 12/01/2023 | 1,000 | 1,022 | ||||||
|
|
|
|||||||
| 9,292 | ||||||||
|
|
|
|||||||
| Total Municipal Bonds (Cost $408,394) |
403,760 | |||||||
|
|
|
|||||||
| U.S. Government Agency Securities — 0.5% | ||||||||
| FHLBs, | ||||||||
| 0.96%, 03/05/2026 |
2,400 | 2,139 | ||||||
| 1.11%, 07/27/2026 | 600 | 529 | ||||||
|
|
|
|||||||
| Total U.S. Government Agency Securities (Cost $3,000) |
2,668 | |||||||
|
|
|
|||||||
| U.S. Treasury Obligation — 1.3% | ||||||||
| U.S. Treasury Note, 3.25%, 08/31/2024 (Cost $7,997) |
8,100 | 7,956 | ||||||
|
|
|
|||||||
| Short-Term Investments — 4.4% | ||||||||
| Commercial Paper — 0.2% | ||||||||
| Raytheon Technologies Corp., 3.59%, 12/01/2022 (e) (n) | 1,000 | 993 | ||||||
|
|
|
|||||||
| Foreign Government Securities — 1.2% | ||||||||
| Bank of Israel Bill - Makam, (Israel), |
||||||||
| Series 313, Reg. S, Zero Coupon, 03/02/2023 | ILS | 330 | 92 | |||||
| Series 1112, Reg. S, Zero Coupon, 11/02/2022 | ILS | 6,100 | 1,708 | |||||
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Short-Term Investments — continued | ||||||||
| Foreign Government Securities — continued | ||||||||
| Japan Treasury Discount Bill, (Japan), Reg. S, Zero Coupon, 12/12/2022 | JPY | 780,000 | 5,391 | |||||
|
|
|
|||||||
| Total Foreign Government Securities | 7,191 | |||||||
|
|
|
|||||||
| Municipal Bonds — 1.4% | ||||||||
| City of Los Angeles, Rev., TRAN, 4.00%, 06/29/2023 | 5,000 | 5,034 | ||||||
| County of Los Angeles, Rev., TRAN, 4.00%, 06/30/2023 | 3,000 | 3,020 | ||||||
|
|
|
|||||||
| Total Municipal Bonds | 8,054 | |||||||
|
|
|
|||||||
| Repurchase Agreement — 1.4% | ||||||||
| BNP Paribas, 2.95%, dated 9/30/2022 due 10/03/2022, repurchase price $8,402 collateralized by U.S. Treasury Security, 1.13%, due 2/28/2025, with value of $8,566. | 8,400 | 8,400 | ||||||
|
|
|
|||||||
| Time Deposits — 0.2% | ||||||||
| Australia & New Zealand Banking Group Ltd., | ||||||||
| 1.14%, 10/03/2022 |
AUD | 56 | 36 | |||||
| 2.43%, 10/03/2022 | 96 | 96 | ||||||
| BNP Paribas SA, 1.17%, 10/03/2022 | GBP | 106 | 119 | |||||
| Brown Brothers Harriman, 2.07%, 10/03/2022 | CAD | 145 | 105 | |||||
| Citibank NA, 0.29%, 10/03/2022 | EUR | 2 | 1 | |||||
| Skandinaviska Enskilda Banken AB, 2.43%, 10/03/2022 | 845 | 845 | ||||||
| Sumitomo Mitsui Banking Corp., 2.43%, 10/03/2022 | 157 | 157 | ||||||
|
|
|
|||||||
| Total Time Deposits | 1,359 | |||||||
|
|
|
|||||||
| Total Short-Term Investments (Cost $26,330) |
25,997 | |||||||
|
|
|
|||||||
| Total Investments — 99.3% (Cost - $601,276)* |
588,713 | |||||||
| Other Assets in Excess of Liabilities — 0.7% | 4,070 | |||||||
|
|
|
|||||||
| NET ASSETS — 100.0% | $ | 592,783 | ||||||
|
|
|
|||||||
Percentages indicated are based on net assets
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Futures contracts outstanding as of September 30, 2022:
Exchange Traded
| DESCRIPTION |
NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT ($) |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
|||||||||||||||
| Short Contracts |
||||||||||||||||||||
| U.S. Treasury 5 Year Note |
(147 | ) | 12/2022 | USD | (16,300 | ) | 497 | |||||||||||||
| U.S. Treasury Ultra Bond |
(18 | ) | 12/2022 | USD | (2,671 | ) | 205 | |||||||||||||
| U.S. Ultra Treasury 10 Year Note |
(40 | ) | 12/2022 | USD | (4,862 | ) | 122 | |||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized appreciation (depreciation) |
824 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
Forward foreign currency exchange contracts outstanding as of September 30, 2022:
| CURRENCY PURCHASED |
CURRENCY SOLD |
COUNTERPARTY |
SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) ($) |
||||||||||||||||
| USD |
1,490 | CAD | 1,965 | Morgan Stanley & Co. | 10/04/2022 | 67 | ||||||||||||||
| USD |
3,840 | GBP | 3,294 | Bank of America, NA | 10/04/2022 | 162 | ||||||||||||||
| GBP |
3,294 | USD | 3,566 | Morgan Stanley & Co. | 10/04/2022 | 112 | ||||||||||||||
| USD |
1,910 | ILS | 6,099 | Barclays Bank plc | 11/02/2022 | 196 | ||||||||||||||
| USD |
5,161 | AUD | 7,393 | Bank of America, NA | 11/16/2022 | 430 | ||||||||||||||
| USD |
9,545 | AUD | 13,570 | Bank of America, NA | 11/16/2022 | 860 | ||||||||||||||
| USD |
470 | AUD | 677 | Morgan Stanley & Co. | 11/16/2022 | 37 | ||||||||||||||
| USD |
5,477 | JPY | 780,000 | Bank of America, NA | 12/12/2022 | 46 | ||||||||||||||
| USD |
96 | ILS | 327 | Bank of America, NA | 03/02/2023 | 3 | ||||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized appreciation |
|
1,913 | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| USD |
3,568 | GBP | 3,294 | Morgan Stanley & Co. | 11/02/2022 | (112 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized appreciation (depreciation) |
|
1,801 | ||||||||||||||||||
|
|
|
|||||||||||||||||||
Centrally Cleared Interest Rate Swap contracts outstanding as of September 30, 2022:
| FLOATING RATE INDEX (a) |
FIXED RATE | PAY/RECEIVE FLOATING RATE |
MATURITY DATE |
NOTIONAL AMOUNT |
UPFRONT PAYMENTS (RECEIPTS) ($) |
UNREALIZED APPRECIATION (DEPRECIATION) ($) |
VALUE ($) | |||||||||||||||||
| ICE LIBOR USD 1 Month | ICE LIBOR USD 3 Month |
Pay | 01/13/2023 | USD 10,800 | — | 18 | 18 | |||||||||||||||||
| ICE LIBOR USD 1 Month | ICE LIBOR USD 3 Month |
Pay | 01/13/2023 | USD 14,200 | — | 19 | 19 | |||||||||||||||||
| United States SOFR | 3.55% annually | Pay | 09/02/2024 | USD 37,700 | 20 | (441 | ) | (421 | ) | |||||||||||||||
| United States SOFR | 4.25% annually | Pay | 09/26/2024 | USD 10,400 | (29 | ) | 44 | 15 | ||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Total |
|
(9 | ) | (360 | ) | (369 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||||||||
| (a) | Value of floating rate index as of September 30, 2022 was as follows: |
| FLOATING RATE INDEX |
||||
| ICE LIBOR USD 1 Month | 3.14 | % | ||
| ICE LIBOR USD 3 Month | 3.75 | % | ||
| United States SOFR | 2.98 | % | ||
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Centrally Cleared Credit Default Swaps contracts outstanding — buy protection (1) as of September 30, 2022:
| REFERENCE |
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 | 0.74 | USD 800 | (17 | ) | 11 | (6 | ) | |||||||||||||||||||||
| CDX.NA.IG.36-V1 |
1.00 | % | Quarterly | 06/20/2026 | 0.83 | USD 3,900 | (95 | ) | 72 | (23 | ) | |||||||||||||||||||||
| CDX.NA.IG.37-V1 |
1.00 | % | Quarterly | 12/20/2026 | 0.91 | USD 9,300 | (232 | ) | 198 | (34 | ) | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| Total |
|
(344 | ) | 281 | (63 | ) | ||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| (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). |
Six Circles Tax Aware Ultra Short Duration Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
| ASX |
— | Australian Stock Exchange | ||||
| AGM |
— | Insured by Assured Guaranty Municipal Corp. | ||||
| AMT |
— | Alternative Minimum Tax | ||||
| BAM |
— | Insured by Build America Mutual | ||||
| BAN |
— | Bond Anticipation Note | ||||
| BBSW |
— | Bank Bill Swap Rate | ||||
| CDX |
— | Credit Default Swap Index | ||||
| CNTY |
— | County | ||||
| FHLB |
— | Federal Home Loan Bank | ||||
| FNMA |
— | Federal National Mortgage Association | ||||
| GNMA |
— | Government National Mortgage Association | ||||
| GO |
— | General Obligation | ||||
| GTD |
— | Guaranteed | ||||
| ICE |
— | Intercontinental Exchange | ||||
| LIBOR |
— | London Interbank Offered Rate | ||||
| LIQ |
— | Liquidity Agreement | ||||
| LOC |
— | Letter of Credit | ||||
| PSF |
— | Permanent School Fund | ||||
| Reg. S |
— | Security was purchased pursuant to Regulation S under the Securities Act of 1933, as amended (the “Securities Act”), which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act, or pursuant to an exemption from registration. | ||||
| REMICS |
— | Real Estate Mortgage Investment Conduit | ||||
| Rev. |
— | Revenue | ||||
| SCH BD GTY |
— | School Bond Guaranty | ||||
| SIFMA |
— | Securities Industry and Financial Markets Association | ||||
| SOFR |
— | Secured Overnight Financing Rate | ||||
| SONIA |
— | Sterling Overnight Interbank Average Rate | ||||
| SUB |
— | Step-Up Bond. The interest rate shown is the rate in effect as of September 30, 2022. | ||||
| TRAN |
— | Tax & Revenue Anticipation Note | ||||
| VRDO |
— | Variable Rate Demand Obligation. The interest rate shown is the rate in effect as of September 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%. | ||||
| (n) |
— | The rate shown is the effective yield as of September 30, 2022. | ||||
| (t) |
— | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | ||||
| (z) |
— | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of September 30, 2022. | ||||
| (aa) |
— | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of September 30, 2022. | ||||
| * |
— | 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 |
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
SHARES |
VALUE ($) | ||||||
| Common Stocks — 99.3% |
||||||||
| Basic Materials — 0.5% |
||||||||
| Chemicals — 0.4% |
||||||||
| Air Products & Chemicals, Inc. |
11 | 2,480 | ||||||
| Albemarle Corp. |
5 | 1,434 | ||||||
| Celanese Corp., Class A |
6 | 524 | ||||||
| CF Industries Holdings, Inc. |
9 | 909 | ||||||
| Dow, Inc. |
42 | 1,833 | ||||||
| DuPont de Nemours, Inc. |
29 | 1,457 | ||||||
| Eastman Chemical Co. |
6 | 461 | ||||||
| Ecolab, Inc. |
13 | 1,806 | ||||||
| FMC Corp. |
5 | 551 | ||||||
| International Flavors & Fragrances, Inc. |
11 | 1,008 | ||||||
| Linde plc, (United Kingdom) |
24 | 6,498 | ||||||
| LyondellBasell Industries NV, Class A |
14 | 1,080 | ||||||
| Mosaic Co. (The) |
17 | 819 | ||||||
| PPG Industries, Inc. |
11 | 1,255 | ||||||
| RPM International, Inc. |
4 | 373 | ||||||
| Sherwin-Williams Co. (The) |
12 | 2,375 | ||||||
| Westlake Corp. |
2 | 162 | ||||||
|
|
|
|||||||
| 25,025 | ||||||||
|
|
|
|||||||
| Forest Products & Paper — 0.0% (g) |
||||||||
| International Paper Co. |
25 | 797 | ||||||
|
|
|
|||||||
| Iron/Steel — 0.1% |
||||||||
| Cleveland-Cliffs, Inc. (a) |
30 | 408 | ||||||
| Nucor Corp. |
14 | 1,448 | ||||||
| Steel Dynamics, Inc. |
10 | 726 | ||||||
|
|
|
|||||||
| 2,582 | ||||||||
|
|
|
|||||||
| Mining — 0.0% (g) |
||||||||
| Alcoa Corp. |
7 | 246 | ||||||
| Freeport-McMoRan, Inc. |
64 | 1,752 | ||||||
| Newmont Corp. |
36 | 1,517 | ||||||
|
|
|
|||||||
| 3,515 | ||||||||
|
|
|
|||||||
| Total Basic Materials |
31,919 | |||||||
|
|
|
|||||||
| Communications — 18.9% |
||||||||
| Advertising — 0.0% (g) |
||||||||
| Interpublic Group of Cos., Inc. (The) |
16 | 418 | ||||||
| Omnicom Group, Inc. |
10 | 604 | ||||||
| Trade Desk, Inc. (The), Class A (a) |
83 | 4,932 | ||||||
|
|
|
|||||||
| 5,954 | ||||||||
|
|
|
|||||||
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
SHARES |
VALUE ($) | ||||||
| Common Stocks — (continued) |
||||||||
| Internet — 18.5% |
||||||||
| Airbnb, Inc., Class A (a) |
17 | 1,834 | ||||||
| Alphabet, Inc., Class A (a) |
7,592 | 726,146 | ||||||
| Alphabet, Inc., Class C (a) |
7,116 | 684,202 | ||||||
| Amazon.com, Inc. (a) |
5,327 | 601,942 | ||||||
| Booking Holdings, Inc. (a) |
2 | 3,211 | ||||||
| CDW Corp. |
6 | 908 | ||||||
| Chewy, Inc., Class A (a) |
55 | 1,687 | ||||||
| DoorDash, Inc., Class A (a) |
111 | 5,512 | ||||||
| eBay, Inc. |
328 | 12,085 | ||||||
| Etsy, Inc. (a) |
73 | 7,355 | ||||||
| Expedia Group, Inc. (a) |
7 | 679 | ||||||
| F5, Inc. (a) |
3 | 482 | ||||||
| GoDaddy, Inc., Class A (a) |
6 | 445 | ||||||
| IAC, Inc. (a) |
101 | 5,604 | ||||||
| Lyft, Inc., Class A (a) |
120 | 1,579 | ||||||
| Marqeta, Inc., Class A (a) |
246 | 1,750 | ||||||
| Match Group, Inc. (a) |
359 | 17,135 | ||||||
| MercadoLibre, Inc., (Uruguay) (a) |
26 | 21,786 | ||||||
| Meta Platforms, Inc., Class A (a) |
2,894 | 392,698 | ||||||
| Netflix, Inc. (a) |
22 | 5,072 | ||||||
| NortonLifeLock, Inc. |
490 | 9,870 | ||||||
| Okta, Inc., Class A (a) |
7 | 414 | ||||||
| Palo Alto Networks, Inc. (a) |
248 | 40,545 | ||||||
| Pinterest, Inc., Class A (a) |
726 | 16,914 | ||||||
| Roku, Inc., Class A (a) |
6 | 323 | ||||||
| Snap, Inc., Class A (a) |
1,390 | 13,646 | ||||||
| Twitter, Inc. (a) |
826 | 36,198 | ||||||
| Uber Technologies, Inc. (a) |
558 | 14,785 | ||||||
| VeriSign, Inc. (a) |
4 | 721 | ||||||
| Wayfair, Inc., Class A (a) |
45 | 1,449 | ||||||
| Zendesk, Inc. (a) |
102 | 7,730 | ||||||
| Zillow Group, Inc., Class C (a) |
9 | 260 | ||||||
|
|
|
|||||||
| 2,634,967 | ||||||||
|
|
|
|||||||
| Media — 0.2% |
||||||||
| Cable One, Inc. |
— | (h) | 140 | |||||
| Charter Communications, Inc., Class A (a) |
6 | 1,757 | ||||||
| Comcast Corp., Class A |
223 | 6,533 | ||||||
| DISH Network Corp., Class A (a) |
16 | 225 | ||||||
| FactSet Research Systems, Inc. |
19 | 7,460 | ||||||
| Fox Corp., Class A |
12 | 373 | ||||||
| Fox Corp., Class B |
12 | 331 | ||||||
| Liberty Broadband Corp., Class C (a) |
6 | 444 | ||||||
| Liberty Global plc, (United Kingdom), Class A (a) |
9 | 138 | ||||||
| Liberty Global plc, (United Kingdom), Class C (a) |
21 | 352 | ||||||
| Liberty Media Corp.-Liberty Formula One, Class C (a) |
7 | 405 | ||||||
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
SHARES |
VALUE ($) | ||||||
| Common Stocks — (continued) |
||||||||
| Media — (continued) |
||||||||
| Liberty Media Corp.-Liberty SiriusXM, Class A |
6 | 226 | ||||||
| Liberty Media Corp.-Liberty SiriusXM, Class C (a) |
6 | 241 | ||||||
| News Corp., Class A |
23 | 352 | ||||||
| Paramount Global, Class B |
32 | 602 | ||||||
| Sirius XM Holdings, Inc. |
16 | 92 | ||||||
| Walt Disney Co. (The) (a) |
90 | 8,457 | ||||||
| Warner Bros Discovery, Inc. (a) |
112 | 1,285 | ||||||
|
|
|
|||||||
| 29,413 | ||||||||
|
|
|
|||||||
| Telecommunications — 0.2% |
||||||||
| Arista Networks, Inc. (a) |
11 | 1,266 | ||||||
| AT&T, Inc. |
352 | 5,405 | ||||||
| Cisco Systems, Inc. |
206 | 8,243 | ||||||
| Corning, Inc. |
41 | 1,184 | ||||||
| Juniper Networks, Inc. |
17 | 435 | ||||||
| Lumen Technologies, Inc. |
39 | 284 | ||||||
| Motorola Solutions, Inc. |
8 | 1,680 | ||||||
| T-Mobile US, Inc. (a) |
30 | 4,002 | ||||||
| Verizon Communications, Inc. |
205 | 7,772 | ||||||
|
|
|
|||||||
| 30,271 | ||||||||
|
|
|
|||||||
| Total Communications |
2,700,605 | |||||||
|
|
|
|||||||
| Consumer Cyclical — 1.4% |
||||||||
| Airlines — 0.0% (g) |
||||||||
| Delta Air Lines, Inc. (a) |
66 | 1,841 | ||||||
| Southwest Airlines Co. (a) |
61 | 1,869 | ||||||
|
|
|
|||||||
| 3,710 | ||||||||
|
|
|
|||||||
| Apparel — 0.0% (g) |
||||||||
| NIKE, Inc., Class B |
62 | 5,150 | ||||||
| VF Corp. |
17 | 517 | ||||||
|
|
|
|||||||
| 5,667 | ||||||||
|
|
|
|||||||
| Auto Manufacturers — 0.5% |
||||||||
| Cummins, Inc. |
54 | 11,029 | ||||||
| Ford Motor Co. |
194 | 2,177 | ||||||
| General Motors Co. |
74 | 2,385 | ||||||
| Lucid Group, Inc. (a) |
18 | 247 | ||||||
| PACCAR, Inc. |
131 | 10,988 | ||||||
| Rivian Automotive, Inc., Class A (a) |
14 | 466 | ||||||
| Tesla, Inc. (a) |
126 | 33,538 | ||||||
|
|
|
|||||||
| 60,830 | ||||||||
|
|
|
|||||||
| Auto Parts & Equipment — 0.0% (g) |
||||||||
| Aptiv plc, (Ireland) (a) |
13 | 1,021 | ||||||
| BorgWarner, Inc. |
13 | 397 | ||||||
| Lear Corp. |
3 | 338 | ||||||
|
|
|
|||||||
| 1,756 | ||||||||
|
|
|
|||||||
| Distribution/Wholesale — 0.3% |
||||||||
| Copart, Inc. (a) |
80 | 8,530 | ||||||
| Fastenal Co. |
216 | 9,943 | ||||||
| LKQ Corp. |
13 | 600 | ||||||
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
SHARES |
VALUE ($) | ||||||
| Common Stocks — (continued) |
||||||||
| Distribution/Wholesale — (continued) |
||||||||
| Pool Corp. |
1 | 467 | ||||||
| WW Grainger, Inc. |
17 | 8,352 | ||||||
|
|
|
|||||||
| 27,892 | ||||||||
|
|
|
|||||||
| Entertainment — 0.0% (g) |
||||||||
| AMC Entertainment Holdings, Inc., Class A (a) |
23 | 162 | ||||||
| Caesars Entertainment, Inc. (a) |
9 | 304 | ||||||
| Live Nation Entertainment, Inc. (a) |
7 | 537 | ||||||
| Vail Resorts, Inc. |
2 | 465 | ||||||
|
|
|
|||||||
| 1,468 | ||||||||
|
|
|
|||||||
| Food Service — 0.0% (g) |
||||||||
| Aramark |
11 | 349 | ||||||
|
|
|
|||||||
| Home Builders — 0.0% (g) |
||||||||
| DR Horton, Inc. |
14 | 929 | ||||||
| Lennar Corp., Class A |
12 | 884 | ||||||
| NVR, Inc. (a) |
— | (h) | 475 | |||||
| PulteGroup, Inc. |
9 | 327 | ||||||
|
|
|
|||||||
| 2,615 | ||||||||
|
|
|
|||||||
| Home Furnishings — 0.0% (g) |
||||||||
| Whirlpool Corp. |
4 | 508 | ||||||
|
|
|
|||||||
| Housewares — 0.0% (g) |
||||||||
| Newell Brands, Inc. |
17 | 243 | ||||||
|
|
|
|||||||
| Leisure Time — 0.0% (g) |
||||||||
| Carnival Corp. (a) |
65 | 455 | ||||||
| Royal Caribbean Cruises Ltd. (a) |
13 | 494 | ||||||
|
|
|
|||||||
| 949 | ||||||||
|
|
|
|||||||
| Lodging — 0.0% (g) |
||||||||
| Hilton Worldwide Holdings, Inc. |
13 | 1,581 | ||||||
| Las Vegas Sands Corp. (a) |
18 | 666 | ||||||
| Marriott International, Inc., Class A |
13 | 1,880 | ||||||
| MGM Resorts International |
25 | 751 | ||||||
| Wynn Resorts Ltd. (a) |
5 | 313 | ||||||
|
|
|
|||||||
| 5,191 | ||||||||
|
|
|
|||||||
| Retail — 0.6% |
||||||||
| Advance Auto Parts, Inc. |
3 | 463 | ||||||
| AutoZone, Inc. (a) |
1 | 1,943 | ||||||
| Bath & Body Works, Inc. |
13 | 436 | ||||||
| Best Buy Co., Inc. |
12 | 764 | ||||||
| Burlington Stores, Inc. (a) |
3 | 371 | ||||||
| CarMax, Inc. (a) |
8 | 528 | ||||||
| Chipotle Mexican Grill, Inc., Class A (a) |
1 | 2,021 | ||||||
| Costco Wholesale Corp. |
21 | 10,020 | ||||||
| Darden Restaurants, Inc. |
7 | 881 | ||||||
| Dollar General Corp. |
11 | 2,601 | ||||||
| Dollar Tree, Inc. (a) |
10 | 1,391 | ||||||
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
SHARES |
VALUE ($) | ||||||
| Common Stocks — (continued) |
||||||||
| Retail — (continued) |
||||||||
| Domino’s Pizza, Inc. |
1 | 459 | ||||||
| Genuine Parts Co. |
6 | 884 | ||||||
| Home Depot, Inc. (The) |
49 | 13,576 | ||||||
| Lowe’s Cos., Inc. |
31 | 5,909 | ||||||
| Lululemon Athletica, Inc., (Canada) (a) |
5 | 1,529 | ||||||
| McDonald’s Corp. |
35 | 8,132 | ||||||
| O’Reilly Automotive, Inc. (a) |
3 | 2,052 | ||||||
| Ross Stores, Inc. |
18 | 1,491 | ||||||
| Starbucks Corp. |
57 | 4,772 | ||||||
| Target Corp. |
23 | 3,410 | ||||||
| TJX Cos., Inc. (The) |
57 | 3,553 | ||||||
| Tractor Supply Co. |
5 | 909 | ||||||
| Ulta Beauty, Inc. (a) |
2 | 928 | ||||||
| Walgreens Boots Alliance, Inc. |
41 | 1,297 | ||||||
| Walmart, Inc. |
75 | 9,743 | ||||||
| Yum! Brands, Inc. |
12 | 1,319 | ||||||
|
|
|
|||||||
| 81,382 | ||||||||
|
|
|
|||||||
| Toys/Games/Hobbies — 0.0% (g) |
||||||||
| Hasbro, Inc. |
6 | 395 | ||||||
|
|
|
|||||||
| Total Consumer Cyclical |
192,955 | |||||||
|
|
|
|||||||
| Consumer Non-cyclical — 30.8% |
||||||||
| Agriculture — 0.1% |
||||||||
| Altria Group, Inc. |
85 | 3,428 | ||||||
| Archer-Daniels-Midland Co. |
27 | 2,196 | ||||||
| Bunge Ltd. |
8 | 642 | ||||||
| Philip Morris International, Inc. |
73 | 6,074 | ||||||
|
|
|
|||||||
| 12,340 | ||||||||
|
|
|
|||||||
| Beverages — 2.3% |
||||||||
| Brown-Forman Corp., Class B |
168 | 11,151 | ||||||
| Coca-Cola Co. (The) |
2,255 | 126,325 | ||||||
| Constellation Brands, Inc., Class A |
89 | 20,353 | ||||||
| Keurig Dr Pepper, Inc. |
423 | 15,165 | ||||||
| Molson Coors Beverage Co., Class B |
99 | 4,755 | ||||||
| Monster Beverage Corp. (a) |
216 | 18,797 | ||||||
| PepsiCo., Inc. |
758 | 123,704 | ||||||
|
|
|
|||||||
| 320,250 | ||||||||
|
|
|
|||||||
| Biotechnology — 1.8% |
||||||||
| Alnylam Pharmaceuticals, Inc. (a) |
54 | 10,892 | ||||||
| Amgen, Inc. |
241 | 54,326 | ||||||
| Biogen, Inc. (a) |
66 | 17,716 | ||||||
| BioMarin Pharmaceutical, Inc. (a) |
83 | 7,003 | ||||||
| Bio-Rad Laboratories, Inc., Class A (a) |
17 | 7,258 | ||||||
| Corteva, Inc. |
35 | 1,996 | ||||||
| Gilead Sciences, Inc. |
568 | 35,067 | ||||||
| Horizon Therapeutics Plc (a) |
97 | 6,026 | ||||||
| Illumina, Inc. (a) |
120 | 22,871 | ||||||
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
SHARES |
VALUE ($) | ||||||
| Common Stocks — (continued) |
||||||||
| Biotechnology — (continued) |
||||||||
| Incyte Corp. (a) |
84 | 5,600 | ||||||
| Moderna, Inc. (a) |
152 | 17,994 | ||||||
| Regeneron Pharmaceuticals, Inc. (a) |
49 | 33,558 | ||||||
| Royalty Pharma plc, Class A |
15 | 600 | ||||||
| Seagen, Inc. (a) |
62 | 8,473 | ||||||
| Vertex Pharmaceuticals, Inc. (a) |
115 | 33,322 | ||||||
|
|
|
|||||||
| 262,702 | ||||||||
|
|
|
|||||||
| Commercial Services — 2.5% |
||||||||
| Affirm Holdings, Inc., Class A (a) |
136 | 2,547 | ||||||
| AMERCO |
4 | 1,883 | ||||||
| Automatic Data Processing, Inc. |
298 | 67,373 | ||||||
| Block, Inc., Class A (a) |
368 | 20,259 | ||||||
| Booz Allen Hamilton Holding Corp., Class A |
49 | 4,490 | ||||||
| Cass Information Systems, Inc. |
9 | 317 | ||||||
| Cintas Corp. |
35 | 13,513 | ||||||
| Clarivate plc, (United Kingdom) (a) |
110 | 1,036 | ||||||
| CoStar Group, Inc. (a) |
148 | 10,339 | ||||||
| Equifax, Inc. |
47 | 7,973 | ||||||
| Euronet Worldwide, Inc. (a) |
33 | 2,518 | ||||||
| EVERTEC, Inc., (Puerto Rico) |
41 | 1,271 | ||||||
| Evo Payments, Inc., Class A (a) |
31 | 1,037 | ||||||
| FleetCor Technologies, Inc. (a) |
52 | 9,172 | ||||||
| Gartner, Inc. (a) |
4 | 1,008 | ||||||
| Global Payments, Inc. |
200 | 21,632 | ||||||
| I3 Verticals, Inc., Class A (a) |
14 | 290 | ||||||
| MarketAxess Holdings, Inc. |
25 | 5,493 | ||||||
| MoneyGram International, Inc. (a) |
56 | 586 | ||||||
| Moody’s Corp. |
83 | 20,168 | ||||||
| Paya Holdings, Inc. (a) |
57 | 345 | ||||||
| Paymentus Holdings, Inc., Class A (a) |
8 | 78 | ||||||
| Payoneer Global, Inc. (a) |
141 | 851 | ||||||
| PayPal Holdings, Inc. (a) |
781 | 67,230 | ||||||
| Quanta Services, Inc. |
53 | 6,786 | ||||||
| Remitly Global, Inc. (a) |
55 | 613 | ||||||
| Repay Holdings Corp., Class A (a) |
56 | 395 | ||||||
| Robert Half International, Inc. |
42 | 3,190 | ||||||
| Rollins, Inc. |
81 | 2,805 | ||||||
| S&P Global, Inc. |
174 | 53,001 | ||||||
| Sabre Corp. (a) |
203 | 1,045 | ||||||
| Shift4 Payments, Inc., Class A (a) |
33 | 1,482 | ||||||
| TransUnion |
74 | 4,382 | ||||||
| United Rentals, Inc. (a) |
27 | 7,362 | ||||||
| Verisk Analytics, Inc., Class A |
60 | 10,178 | ||||||
| WEX, Inc. (a) |
30 | 3,775 | ||||||
|
|
|
|||||||
| 356,423 | ||||||||
|
|
|
|||||||
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
SHARES |
VALUE ($) | ||||||
| Common Stocks — (continued) |
||||||||
| Cosmetics/Personal Care — 0.1% |
||||||||
| Colgate-Palmolive Co. |
40 | 2,804 | ||||||
| Estee Lauder Cos., Inc. (The), Class A |
11 | 2,420 | ||||||
| Procter & Gamble Co. (The) |
118 | 14,872 | ||||||
|
|
|
|||||||
| 20,096 | ||||||||
|
|
|
|||||||
| Food — 0.1% |
||||||||
| Campbell Soup Co. |
8 | 376 | ||||||
| Conagra Brands, Inc. |
21 | 696 | ||||||
| General Mills, Inc. |
28 | 2,169 | ||||||
| Hershey Co. (The) |
6 | 1,374 | ||||||
| Hormel Foods Corp. |
14 | 643 | ||||||
| J M Smucker Co. (The) |
6 | 767 | ||||||
| Kellogg Co. |
12 | 830 | ||||||
| Kraft Heinz Co. (The) |
35 | 1,169 | ||||||
| Kroger Co. (The) |
34 | 1,479 | ||||||
| McCormick & Co., Inc. |
12 | 833 | ||||||
| Mondelez International, Inc., Class A |
71 | 3,874 | ||||||
| Sysco Corp. |
23 | 1,601 | ||||||
| Tyson Foods, Inc., Class A |
16 | 1,060 | ||||||
|
|
|
|||||||
| 16,871 | ||||||||
|
|
|
|||||||
| Healthcare - Products — 2.7% |
||||||||
| Abbott Laboratories |
86 | 8,309 | ||||||
| ABIOMED, Inc. (a) |
2 | 405 | ||||||
| Align Technology, Inc. (a) |
4 | 759 | ||||||
| Avantor, Inc. (a) |
461 | 9,043 | ||||||
| Baxter International, Inc. |
24 | 1,317 | ||||||
| Bio-Techne Corp. |
30 | 8,442 | ||||||
| Boston Scientific Corp. (a) |
67 | 2,601 | ||||||
| Cooper Cos., Inc. (The) |
3 | 663 | ||||||
| Danaher Corp. |
526 | 135,917 | ||||||
| DENTSPLY SIRONA, Inc. |
13 | 382 | ||||||
| Edwards Lifesciences Corp. (a) |
29 | 2,411 | ||||||
| Exact Sciences Corp. (a) |
79 | 2,566 | ||||||
| Henry Schein, Inc. (a) |
7 | 457 | ||||||
| Hologic, Inc. (a) |
11 | 723 | ||||||
| IDEXX Laboratories, Inc. (a) |
4 | 1,250 | ||||||
| Insulet Corp. (a) |
3 | 679 | ||||||
| Intuitive Surgical, Inc. (a) |
17 | 3,244 | ||||||
| Masimo Corp. (a) |
2 | 342 | ||||||
| Medtronic plc, (Ireland) |
67 | 5,425 | ||||||
| Novocure Ltd., (Jersey) (a) |
4 | 332 | ||||||
| PerkinElmer, Inc. |
96 | 11,570 | ||||||
| ResMed, Inc. |
7 | 1,436 | ||||||
| STERIS plc |
4 | 671 | ||||||
| Stryker Corp. |
17 | 3,384 | ||||||
| Teleflex, Inc. |
2 | 492 | ||||||
| Thermo Fisher Scientific, Inc. |
298 | 151,271 | ||||||
| Waters Corp. (a) |
45 | 12,251 | ||||||
| West Pharmaceutical Services, Inc. |
56 | 13,801 | ||||||
| Zimmer Biomet Holdings, Inc. |
11 | 1,170 | ||||||
|
|
|
|||||||
| 381,313 | ||||||||
|
|
|
|||||||
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
SHARES |
VALUE ($) | ||||||
| Common Stocks — (continued) |
||||||||
| Healthcare - Services — 9.1% |
||||||||
| Catalent, Inc. (a) |
206 | 14,896 | ||||||
| Centene Corp. (a) |
1,004 | 78,147 | ||||||
| Charles River Laboratories International, Inc. (a) |
39 | 7,628 | ||||||
| DaVita, Inc. (a) |
2 | 169 | ||||||
| Elevance Health, Inc. |
422 | 191,707 | ||||||
| HCA Healthcare, Inc. |
11 | 2,073 | ||||||
| Humana, Inc. |
222 | 107,896 | ||||||
| IQVIA Holdings, Inc. (a) |
144 | 26,138 | ||||||
| Laboratory Corp. of America Holdings |
5 | 922 | ||||||
| Molina Healthcare, Inc. (a) |
102 | 33,561 | ||||||
| Quest Diagnostics, Inc. |
5 | 591 | ||||||
| Teladoc Health, Inc. (a) |
8 | 193 | ||||||
| UnitedHealth Group, Inc. |
1,646 | 831,336 | ||||||
| Universal Health Services, Inc., Class B |
3 | 299 | ||||||
|
|
|
|||||||
| 1,295,556 | ||||||||
|
|
|
|||||||
| Household Products/Wares — 0.0% (g) |
||||||||
| Avery Dennison Corp. |
4 | 587 | ||||||
| Church & Dwight Co., Inc. |
11 | 812 | ||||||
| Clorox Co. (The) |
6 | 769 | ||||||
| Kimberly-Clark Corp. |
17 | 1,863 | ||||||
|
|
|
|||||||
| 4,031 | ||||||||
|
|
|
|||||||
| Pharmaceuticals — 12.1% |
||||||||
| AbbVie, Inc. |
795 | 106,686 | ||||||
| AmerisourceBergen Corp., Class A |
7 | 938 | ||||||
| Becton Dickinson and Co. |
14 | 3,144 | ||||||
| Bristol-Myers Squibb Co. |
2,453 | 174,383 | ||||||
| Cardinal Health, Inc. |
13 | 871 | ||||||
| Cigna Corp. |
15 | 4,165 | ||||||
| CVS Health Corp. |
64 | 6,061 | ||||||
| Dexcom, Inc. (a) |
18 | 1,484 | ||||||
| Elanco Animal Health, Inc. (a) |
21 | 264 | ||||||
| Eli Lilly & Co. |
906 | 293,105 | ||||||
| Jazz Pharmaceuticals plc, (Ireland) (a) |
2 | 299 | ||||||
| Johnson & Johnson |
3,023 | 493,780 | ||||||
| McKesson Corp. |
7 | 2,285 | ||||||
| Merck & Co., Inc. |
2,911 | 250,682 | ||||||
| Neurocrine Biosciences, Inc. (a) |
43 | 4,551 | ||||||
| Organon & Co. |
281 | 6,565 | ||||||
| Pfizer, Inc. |
6,448 | 282,181 | ||||||
| Viatris, Inc. |
1,400 | 11,930 | ||||||
| Zoetis, Inc., Class A |
537 | 79,693 | ||||||
|
|
|
|||||||
| 1,723,067 | ||||||||
|
|
|
|||||||
| Total Consumer Non-cyclical |
4,392,649 | |||||||
|
|
|
|||||||
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
SHARES |
VALUE ($) | ||||||
| Common Stocks — (continued) |
||||||||
| Energy — 0.5% |
||||||||
| Energy - Alternate Sources — 0.1% |
||||||||
| Enphase Energy, Inc. (a) |
36 | 10,104 | ||||||
| Plug Power, Inc. (a) |
198 | 4,155 | ||||||
| SolarEdge Technologies, Inc., (Israel) (a) |
15 | 3,423 | ||||||
|
|
|
|||||||
| 17,682 | ||||||||
|
|
|
|||||||
| Oil & Gas — 0.4% |
||||||||
| APA Corp. |
15 | 517 | ||||||
| Chevron Corp. |
90 | 12,902 | ||||||
| ConocoPhillips |
65 | 6,654 | ||||||
| Coterra Energy, Inc. |
38 | 999 | ||||||
| Devon Energy Corp. |
29 | 1,717 | ||||||
| Diamondback Energy, Inc. |
8 | 944 | ||||||
| EOG Resources, Inc. |
29 | 3,285 | ||||||
| EQT Corp. |
15 | 604 | ||||||
| Exxon Mobil Corp. |
204 | 17,815 | ||||||
| Hess Corp. |
13 | 1,466 | ||||||
| Marathon Oil Corp. |
34 | 775 | ||||||
| Marathon Petroleum Corp. |
27 | 2,723 | ||||||
| Occidental Petroleum Corp. |
44 | 2,708 | ||||||
| Phillips 66 |
24 | 1,904 | ||||||
| Pioneer Natural Resources Co. |
11 | 2,433 | ||||||
| Texas Pacific Land Corp. |
— | (h) | 496 | |||||
| Valero Energy Corp. |
19 | 2,081 | ||||||
|
|
|
|||||||
| 60,023 | ||||||||
|
|
|
|||||||
| Oil & Gas Services — 0.0% (g) |
||||||||
| Baker Hughes Co., Class A |
47 | 984 | ||||||
| Halliburton Co. |
39 | 970 | ||||||
| Schlumberger NV |
69 | 2,466 | ||||||
|
|
|
|||||||
| 4,420 | ||||||||
|
|
|
|||||||
| Pipelines — 0.0% (g) |
||||||||
| Cheniere Energy, Inc. |
10 | 1,695 | ||||||
| Kinder Morgan, Inc. |
92 | 1,537 | ||||||
| ONEOK, Inc. |
19 | 959 | ||||||
| Targa Resources Corp. |
8 | 487 | ||||||
| Williams Cos., Inc. (The) |
53 | 1,528 | ||||||
|
|
|
|||||||
| 6,206 | ||||||||
|
|
|
|||||||
| Total Energy |
88,331 | |||||||
|
|
|
|||||||
| Financial — 14.2% |
||||||||
| Banks — 4.3% |
||||||||
| Bank of America Corp. |
3,711 | 112,065 | ||||||
| Bank of New York Mellon Corp. (The) |
465 | 17,924 | ||||||
| Citigroup, Inc. |
1,039 | 43,309 | ||||||
| Citizens Financial Group, Inc. |
343 | 11,778 | ||||||
| Fifth Third Bancorp |
445 | 14,211 | ||||||
| First Citizens BancShares, Inc., Class A |
10 | 8,206 | ||||||
| First Republic Bank |
113 | 14,691 | ||||||
| Goldman Sachs Group, Inc. (The) |
181 | 53,107 | ||||||
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
SHARES |
VALUE ($) | ||||||
| Common Stocks — (continued) |
||||||||
| Banks — (continued) |
||||||||
| Huntington Bancshares, Inc. |
979 | 12,901 | ||||||
| KeyCorp. |
663 | 10,623 | ||||||
| M&T Bank Corp. |
109 | 19,145 | ||||||
| Morgan Stanley |
694 | 54,838 | ||||||
| Northern Trust Corp. |
134 | 11,469 | ||||||
| PNC Financial Services Group, Inc. (The) |
228 | 34,041 | ||||||
| Regions Financial Corp. |
629 | 12,623 | ||||||
| Signature Bank |
52 | 7,783 | ||||||
| State Street Corp. |
232 | 14,126 | ||||||
| SVB Financial Group (a) |
38 | 12,608 | ||||||
| Truist Financial Corp. |
737 | 32,083 | ||||||
| US Bancorp |
781 | 31,495 | ||||||
| Webster Financial Corp. |
164 | 7,409 | ||||||
| Wells Fargo & Co. |
1,966 | 79,076 | ||||||
|
|
|
|||||||
| 615,511 | ||||||||
|
|
|
|||||||
| Diversified Financial Services — 5.1% |
||||||||
| Ally Financial, Inc. |
266 | 7,393 | ||||||
| American Express Co. |
340 | 45,928 | ||||||
| Ameriprise Financial, Inc. |
66 | 16,564 | ||||||
| Apollo Global Management, Inc. |
199 | 9,260 | ||||||
| BlackRock, Inc., Class A |
66 | 36,593 | ||||||
| Capital One Financial Corp. |
232 | 21,427 | ||||||
| Cboe Global Markets, Inc. |
53 | 6,221 | ||||||
| Charles Schwab Corp. (The) |
723 | 51,927 | ||||||
| CME Group, Inc., Class A |
178 | 31,595 | ||||||
| Coinbase Global, Inc., Class A (a) |
80 | 5,186 | ||||||
| Discover Financial Services |
176 | 15,993 | ||||||
| Flywire Corp. (a) |
20 | 462 | ||||||
| Franklin Resources, Inc. |
275 | 5,918 | ||||||
| Intercontinental Exchange, Inc. |
279 | 25,179 | ||||||
| International Money Express, Inc. (a) |
22 | 498 | ||||||
| Invesco Ltd. |
372 | 5,099 | ||||||
| LPL Financial Holdings, Inc. |
39 | 8,519 | ||||||
| Mastercard, Inc., Class A |
616 | 175,081 | ||||||
| Nasdaq, Inc. |
173 | 9,800 | ||||||
| Raymond James Financial, Inc. |
97 | 9,551 | ||||||
| SEI Investments Co. |
75 | 3,691 | ||||||
| Synchrony Financial |
354 | 9,990 | ||||||
| T Rowe Price Group, Inc. |
142 | 14,923 | ||||||
| Tradeweb Markets, Inc., Class A |
52 | 2,928 | ||||||
| Visa, Inc., Class A |
1,168 | 207,472 | ||||||
| Western Union Co. (The) |
270 | 3,650 | ||||||
|
|
|
|||||||
| 730,848 | ||||||||
|
|
|
|||||||
| Insurance — 4.2% |
||||||||
| Aflac, Inc. |
352 | 19,779 | ||||||
| Alleghany Corp. (a) |
7 | 5,735 | ||||||
| Allstate Corp. (The) |
165 | 20,545 | ||||||
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
SHARES |
VALUE ($) | ||||||
| Common Stocks — (continued) |
||||||||
| Insurance — (continued) |
||||||||
| American Financial Group, Inc. |
54 | 6,695 | ||||||
| American International Group, Inc. |
444 | 21,065 | ||||||
| Aon plc, Class A |
105 | 28,087 | ||||||
| Arch Capital Group Ltd., (Bermuda) (a) |
227 | 10,329 | ||||||
| Arthur J Gallagher & Co. |
103 | 17,644 | ||||||
| Assurant, Inc. |
43 | 6,234 | ||||||
| Berkshire Hathaway, Inc., Class B (a) |
651 | 173,710 | ||||||
| Brown & Brown, Inc. |
114 | 6,917 | ||||||
| Chubb Ltd., (Switzerland) |
218 | 39,670 | ||||||
| Cincinnati Financial Corp. |
75 | 6,721 | ||||||
| Equitable Holdings, Inc. |
278 | 7,326 | ||||||
| Erie Indemnity Co., Class A |
12 | 2,691 | ||||||
| Everest Re Group Ltd., (Bermuda) |
30 | 7,749 | ||||||
| Fidelity National Financial, Inc. |
209 | 7,580 | ||||||
| Globe Life, Inc. |
75 | 7,455 | ||||||
| Hartford Financial Services Group, Inc. (The) |
214 | 13,284 | ||||||
| Lincoln National Corp. |
152 | 6,664 | ||||||
| Loews Corp. |
157 | 7,822 | ||||||
| Markel Corp. (a) |
7 | 7,602 | ||||||
| Marsh & McLennan Cos., Inc. |
249 | 37,135 | ||||||
| MetLife, Inc. |
399 | 24,258 | ||||||
| Principal Financial Group, Inc. |
147 | 10,640 | ||||||
| Progressive Corp. (The) |
303 | 35,249 | ||||||
| Prudential Financial, Inc. |
212 | 18,150 | ||||||
| Travelers Cos., Inc. (The) |
134 | 20,573 | ||||||
| Willis Towers Watson plc, (United Kingdom) |
71 | 14,197 | ||||||
| WR Berkley Corp. |
101 | 6,495 | ||||||
|
|
|
|||||||
| 598,001 | ||||||||
|
|
|
|||||||
| Private Equity — 0.3% |
||||||||
| Blackstone, Inc. |
347 | 29,049 | ||||||
| Carlyle Group, Inc. (The) |
107 | 2,765 | ||||||
| KKR & Co., Inc. |
277 | 11,892 | ||||||
|
|
|
|||||||
| 43,706 | ||||||||
|
|
|
|||||||
| Real Estate — 0.0% (g) |
||||||||
| CBRE Group, Inc., Class A (a) |
19 | 1,251 | ||||||
|
|
|
|||||||
| REITS — 0.3% |
||||||||
| Alexandria Real Estate Equities, Inc. |
8 | 1,102 | ||||||
| American Homes 4 Rent, Class A |
13 | 418 | ||||||
| American Tower Corp. |
22 | 4,736 | ||||||
| Annaly Capital Management, Inc. |
242 | 4,158 | ||||||
| AvalonBay Communities, Inc. |
8 | 1,435 | ||||||
| Boston Properties, Inc. |
7 | 561 | ||||||
| Camden Property Trust |
4 | 438 | ||||||
| Crown Castle, Inc. |
21 | 3,029 | ||||||
| Digital Realty Trust, Inc. |
14 | 1,426 | ||||||
| Duke Realty Corp. |
16 | 789 | ||||||
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
SHARES |
VALUE ($) | ||||||
| Common Stocks — (continued) |
||||||||
| REITS — (continued) |
||||||||
| Equinix, Inc. |
4 | 2,527 | ||||||
| Equity LifeStyle Properties, Inc. |
6 | 402 | ||||||
| Equity Residential |
19 | 1,276 | ||||||
| Essex Property Trust, Inc. |
3 | 793 | ||||||
| Extra Space Storage, Inc. |
6 | 1,058 | ||||||
| Gaming and Leisure Properties, Inc. |
9 | 397 | ||||||
| Healthcare Realty Trust, Inc., Class A |
17 | 358 | ||||||
| Healthpeak Properties, Inc. |
30 | 686 | ||||||
| Host Hotels & Resorts, Inc. |
36 | 576 | ||||||
| Invitation Homes, Inc. |
28 | 934 | ||||||
| Iron Mountain, Inc. |
13 | 577 | ||||||
| Kimco Realty Corp. |
22 | 414 | ||||||
| Medical Properties Trust, Inc. |
25 | 292 | ||||||
| Mid-America Apartment Communities, Inc. |
5 | 836 | ||||||
| Prologis, Inc. |
36 | 3,626 | ||||||
| Public Storage |
7 | 2,152 | ||||||
| Realty Income Corp. |
27 | 1,569 | ||||||
| Regency Centers Corp. |
6 | 334 | ||||||
| SBA Communications Corp., Class A |
5 | 1,424 | ||||||
| Simon Property Group, Inc. |
16 | 1,414 | ||||||
| Sun Communities, Inc. |
6 | 755 | ||||||
| UDR, Inc. |
12 | 495 | ||||||
| Ventas, Inc. |
19 | 763 | ||||||
| VICI Properties, Inc. |
42 | 1,263 | ||||||
| Vornado Realty Trust |
11 | 261 | ||||||
| Welltower, Inc. |
21 | 1,346 | ||||||
| Weyerhaeuser Co. |
40 | 1,130 | ||||||
| WP Carey, Inc. |
7 | 516 | ||||||
|
|
|
|||||||
| 46,266 | ||||||||
|
|
|
|||||||
| Total Financial |
2,035,583 | |||||||
|
|
|
|||||||
| Industrial — 11.7% |
||||||||
| Aerospace/Defense — 1.3% |
||||||||
| Boeing Co. (The) (a) |
213 | 25,757 | ||||||
| General Dynamics Corp. |
90 | 19,043 | ||||||
| HEICO Corp. |
15 | 2,214 | ||||||
| HEICO Corp., Class A |
27 | 3,139 | ||||||
| Howmet Aerospace, Inc. |
139 | 4,303 | ||||||
| L3Harris Technologies, Inc. |
73 | 15,084 | ||||||
| Lockheed Martin Corp. |
91 | 35,061 | ||||||
| Northrop Grumman Corp. |
56 | 26,252 | ||||||
| Raytheon Technologies Corp. |
564 | 46,206 | ||||||
| Teledyne Technologies, Inc. (a) |
2 | 674 | ||||||
| TransDigm Group, Inc. |
19 | 10,176 | ||||||
|
|
|
|||||||
| 187,909 | ||||||||
|
|
|
|||||||
| Building Materials — 0.3% |
||||||||
| Carrier Global Corp. |
322 | 11,447 | ||||||
| Fortune Brands Home & Security, Inc. |
50 | 2,683 | ||||||
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
SHARES |
VALUE ($) | ||||||
| Common Stocks — (continued) |
||||||||
| Building Materials — (continued) |
||||||||
| Johnson Controls International plc |
266 | 13,092 | ||||||
| Lennox International, Inc. |
12 | 2,633 | ||||||
| Martin Marietta Materials, Inc. |
3 | 935 | ||||||
| Masco Corp. |
87 | 4,080 | ||||||
| Mohawk Industries, Inc. (a) |
3 | 292 | ||||||
| Owens Corning |
37 | 2,882 | ||||||
| Vulcan Materials Co. |
7 | 1,079 | ||||||
|
|
|
|||||||
| 39,123 | ||||||||
|
|
|
|||||||
| Electrical Components & Equipment — 0.3% |
||||||||
| AMETEK, Inc. |
89 | 10,069 | ||||||
| Emerson Electric Co. |
225 | 16,508 | ||||||
| Generac Holdings, Inc. (a) |
24 | 4,276 | ||||||
|
|
|
|||||||
| 30,853 | ||||||||
|
|
|
|||||||
| Electronics — 0.8% |
||||||||
| Agilent Technologies, Inc. |
228 | 27,698 | ||||||
| Allegion plc, (Ireland) |
32 | 2,878 | ||||||
| Amphenol Corp., Class A |
29 | 1,937 | ||||||
| Arrow Electronics, Inc. (a) |
4 | 403 | ||||||
| Fortive Corp. |
129 | 7,526 | ||||||
| Garmin Ltd., (Switzerland) |
8 | 610 | ||||||
| Honeywell International, Inc. |
259 | 43,247 | ||||||
| Keysight Technologies, Inc. (a) |
8 | 1,336 | ||||||
| Mettler-Toledo International, Inc. (a) |
17 | 18,706 | ||||||
| Sensata Technologies Holding plc |
59 | 2,191 | ||||||
| TE Connectivity Ltd. |
17 | 1,870 | ||||||
| Trimble, Inc. (a) |
13 | 696 | ||||||
|
|
|
|||||||
| 109,098 | ||||||||
|
|
|
|||||||
| Engineering & Construction — 0.0% (g) |
||||||||
| Jacobs Solutions, Inc. |
48 | 5,251 | ||||||
|
|
|
|||||||
| Environmental Control — 0.4% |
||||||||
| Pentair plc, (United Kingdom) |
64 | 2,611 | ||||||
| Republic Services, Inc., Class A |
84 | 11,457 | ||||||
| Waste Connections, Inc. |
98 | 13,219 | ||||||
| Waste Management, Inc. |
158 | 25,283 | ||||||
|
|
|
|||||||
| 52,570 | ||||||||
|
|
|
|||||||
| Hand/Machine Tools — 0.1% |
||||||||
| Snap-on, Inc. |
20 | 3,947 | ||||||
| Stanley Black & Decker, Inc. |
59 | 4,424 | ||||||
|
|
|
|||||||
| 8,371 | ||||||||
|
|
|
|||||||
| Machinery - Construction & Mining — 0.2% |
||||||||
| Caterpillar, Inc. |
202 | 33,128 | ||||||
|
|
|
|||||||
| Machinery - Diversified — 0.6% |
||||||||
| Cognex Corp. |
8 | 326 | ||||||
| Deere & Co. |
110 | 36,684 | ||||||
| Dover Corp. |
55 | 6,379 | ||||||
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
SHARES |
VALUE ($) | ||||||
| Common Stocks — (continued) |
||||||||
| Machinery - Diversified — (continued) |
||||||||
| IDEX Corp. |
28 | 5,543 | ||||||
| Ingersoll Rand, Inc. |
151 | 6,519 | ||||||
| Nordson Corp. |
19 | 4,001 | ||||||
| Otis Worldwide Corp. |
158 | 10,061 | ||||||
| Rockwell Automation, Inc. |
44 | 9,374 | ||||||
| Westinghouse Air Brake Technologies Corp. |
64 | 5,239 | ||||||
| Xylem, Inc. |
68 | 5,972 | ||||||
|
|
|
|||||||
| 90,098 | ||||||||
|
|
|
|||||||
| Miscellaneous Manufacturers — 0.9% |
||||||||
| 3M Co. |
212 | 23,392 | ||||||
| AO Smith Corp. |
46 | 2,258 | ||||||
| Carlisle Cos., Inc. |
19 | 5,325 | ||||||
| Eaton Corp. plc |
152 | 20,290 | ||||||
| General Electric Co. |
419 | 25,920 | ||||||
| Illinois Tool Works, Inc. |
117 | 21,178 | ||||||
| Parker-Hannifin Corp. |
48 | 11,665 | ||||||
| Textron, Inc. |
83 | 4,838 | ||||||
| Trane Technologies plc, (Ireland) |
89 | 12,863 | ||||||
|
|
|
|||||||
| 127,729 | ||||||||
|
|
|
|||||||
| Packaging & Containers — 0.0% (g) |
||||||||
| Amcor plc, (United Kingdom) |
61 | 658 | ||||||
| Ball Corp. |
15 | 744 | ||||||
| Crown Holdings, Inc. |
6 | 455 | ||||||
| Packaging Corp. of America |
5 | 506 | ||||||
| Sealed Air Corp. |
5 | 211 | ||||||
| Westrock Co. |
19 | 592 | ||||||
|
|
|
|||||||
| 3,166 | ||||||||
|
|
|
|||||||
| Shipbuilding — 0.0% (g) |
||||||||
| Huntington Ingalls Industries, Inc. |
15 | 3,287 | ||||||
|
|
|
|||||||
| Transportation — 6.8% |
||||||||
| CH Robinson Worldwide, Inc. |
593 | 57,116 | ||||||
| CSX Corp. |
825 | 21,990 | ||||||
| Expeditors International of Washington, Inc. |
784 | 69,233 | ||||||
| FedEx Corp. |
1,146 | 170,188 | ||||||
| JB Hunt Transport Services, Inc. |
31 | 4,855 | ||||||
| Knight-Swift Transportation Holdings, Inc., Class A |
58 | 2,861 | ||||||
| Norfolk Southern Corp. |
90 | 18,971 | ||||||
| Old Dominion Freight Line, Inc. |
36 | 8,957 | ||||||
| Union Pacific Corp. |
239 | 46,487 | ||||||
| United Parcel Service, Inc., Class B |
3,502 | 565,657 | ||||||
|
|
|
|||||||
| 966,315 | ||||||||
|
|
|
|||||||
| Total Industrial |
1,656,898 | |||||||
|
|
|
|||||||
| Technology — 21.0% |
||||||||
| Computers — 1.4% |
||||||||
| Accenture plc, (Ireland), Class A |
31 | 7,948 | ||||||
| Apple, Inc. |
777 | 107,436 | ||||||
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
SHARES |
VALUE ($) | ||||||
| Common Stocks — (continued) |
||||||||
| Computers — (continued) |
||||||||
| Cantaloupe, Inc. (a) |
35 | 122 | ||||||
| Cognizant Technology Solutions Corp., Class A |
28 | 1,615 | ||||||
| Conduent, Inc. (a) |
112 | 373 | ||||||
| Crowdstrike Holdings, Inc., Class A (a) |
168 | 27,639 | ||||||
| Dell Technologies, Inc., Class C |
15 | 513 | ||||||
| EPAM Systems, Inc. (a) |
3 | 997 | ||||||
| ExlService Holdings, Inc. (a) |
22 | 3,235 | ||||||
| Fortinet, Inc. (a) |
564 | 27,687 | ||||||
| Hewlett Packard Enterprise Co. |
83 | 992 | ||||||
| HP, Inc. |
50 | 1,240 | ||||||
| International Business Machines Corp. |
44 | 5,248 | ||||||
| Leidos Holdings, Inc. |
49 | 4,286 | ||||||
| Maximus, Inc. |
40 | 2,337 | ||||||
| NetApp, Inc. |
9 | 585 | ||||||
| Seagate Technology Holdings plc |
8 | 415 | ||||||
| TaskUS, Inc., Class A (a) |
15 | 250 | ||||||
| TTEC Holdings, Inc. |
13 | 559 | ||||||
| Western Digital Corp. (a) |
16 | 513 | ||||||
| Zscaler, Inc. (a) |
70 | 11,535 | ||||||
|
|
|
|||||||
| 205,525 | ||||||||
|
|
|
|||||||
| Office/Business Equipment — 0.0% (g) |
||||||||
| Zebra Technologies Corp., Class A (a) |
3 | 673 | ||||||
|
|
|
|||||||
| Semiconductors — 2.8% |
||||||||
| Advanced Micro Devices, Inc. (a) |
440 | 27,857 | ||||||
| Analog Devices, Inc. |
141 | 19,606 | ||||||
| Applied Materials, Inc. |
238 | 19,469 | ||||||
| Broadcom, Inc. |
110 | 48,733 | ||||||
| Entegris, Inc. |
39 | 3,232 | ||||||
| Intel Corp. |
1,120 | 28,851 | ||||||
| KLA Corp. |
40 | 12,135 | ||||||
| Lam Research Corp. |
38 | 13,788 | ||||||
| Marvell Technology, Inc. |
230 | 9,869 | ||||||
| Microchip Technology, Inc. |
150 | 9,165 | ||||||
| Micron Technology, Inc. |
306 | 15,312 | ||||||
| Monolithic Power Systems, Inc. |
12 | 4,320 | ||||||
| NVIDIA Corp. |
681 | 82,619 | ||||||
| NXP Semiconductors NV, (Netherlands) |
71 | 10,462 | ||||||
| ON Semiconductor Corp. (a) |
117 | 7,283 | ||||||
| Qorvo, Inc. (a) |
30 | 2,410 | ||||||
| QUALCOMM, Inc. |
305 | 34,410 | ||||||
| Skyworks Solutions, Inc. |
45 | 3,833 | ||||||
| Teradyne, Inc. |
43 | 3,263 | ||||||
| Texas Instruments, Inc. |
251 | 38,861 | ||||||
|
|
|
|||||||
| 395,478 | ||||||||
|
|
|
|||||||
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
SHARES |
VALUE ($) | ||||||
| Common Stocks — (continued) |
||||||||
| Software — 16.8% |
||||||||
| Activision Blizzard, Inc. |
38 | 2,789 | ||||||
| Adobe, Inc. (a) |
392 | 107,769 | ||||||
| Akamai Technologies, Inc. (a) |
8 | 673 | ||||||
| ANSYS, Inc. (a) |
72 | 16,061 | ||||||
| AppLovin Corp., Class A (a) |
96 | 1,873 | ||||||
| Autodesk, Inc. (a) |
180 | 33,649 | ||||||
| Avalara, Inc. (a) |
73 | 6,658 | ||||||
| AvidXchange Holdings, Inc. (a) |
33 | 275 | ||||||
| Bentley Systems, Inc., Class B |
156 | 4,785 | ||||||
| Bill.com Holdings, Inc. (a) |
78 | 10,323 | ||||||
| Black Knight, Inc. (a) |
129 | 8,337 | ||||||
| Broadridge Financial Solutions, Inc. |
84 | 12,191 | ||||||
| Cadence Design Systems, Inc. (a) |
228 | 37,199 | ||||||
| Ceridian HCM Holding, Inc. (a) |
115 | 6,400 | ||||||
| Citrix Systems, Inc. (bb) (cc) |
104 | 10,765 | ||||||
| Cloudflare, Inc., Class A (a) |
12 | 662 | ||||||
| Concentrix Corp. |
30 | 3,317 | ||||||
| Coupa Software, Inc. (a) |
61 | 3,590 | ||||||
| CSG Systems International, Inc. |
22 | 1,140 | ||||||
| Datadog, Inc., Class A (a) |
199 | 17,696 | ||||||
| DocuSign, Inc., Class A (a) |
166 | 8,873 | ||||||
| Dropbox, Inc., Class A (a) |
239 | 4,947 | ||||||
| Dynatrace, Inc. (a) |
164 | 5,726 | ||||||
| Electronic Arts, Inc. |
13 | 1,557 | ||||||
| Fair Isaac Corp. (a) |
21 | 8,715 | ||||||
| Fidelity National Information Services, Inc. |
434 | 32,806 | ||||||
| Fiserv, Inc. (a) |
435 | 40,748 | ||||||
| Guidewire Software, Inc. (a) |
66 | 4,083 | ||||||
| HubSpot, Inc. (a) |
38 | 10,227 | ||||||
| Intuit, Inc. |
222 | 85,959 | ||||||
| Jack Henry & Associates, Inc. |
51 | 9,264 | ||||||
| Microsoft Corp. |
5,888 | 1,371,250 | ||||||
| MongoDB, Inc., Class A (a) |
3 | 612 | ||||||
| MSCI, Inc., Class A |
40 | 16,957 | ||||||
| Oracle Corp. |
1,326 | 80,982 | ||||||
| Palantir Technologies, Inc., Class A (a) |
1,362 | 11,071 | ||||||
| Paychex, Inc. |
229 | 25,751 | ||||||
| Paycom Software, Inc. (a) |
42 | 13,919 | ||||||
| PTC, Inc. (a) |
91 | 9,570 | ||||||
| RingCentral, Inc., Class A (a) |
65 | 2,596 | ||||||
| ROBLOX Corp., Class A (a) |
17 | 598 | ||||||
| Roper Technologies, Inc. |
88 | 31,618 | ||||||
| Salesforce, Inc. (a) |
824 | 118,483 | ||||||
| ServiceNow, Inc. (a) |
166 | 62,682 | ||||||
| Snowflake, Inc., Class A (a) |
11 | 1,847 | ||||||
| Splunk, Inc. (a) |
133 | 10,020 | ||||||
| SS&C Technologies Holdings, Inc. |
163 | 7,766 | ||||||
| Synopsys, Inc. (a) |
126 | 38,626 | ||||||
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
SHARES |
VALUE ($) | ||||||
| Common Stocks — (continued) |
||||||||
| Software — (continued) |
||||||||
| Take-Two Interactive Software, Inc. (a) |
8 | 841 | ||||||
| Twilio, Inc., Class A (a) |
9 | 644 | ||||||
| Tyler Technologies, Inc. (a) |
34 | 11,897 | ||||||
| Unity Software, Inc. (a) |
158 | 5,025 | ||||||
| Veeva Systems, Inc., Class A (a) |
7 | 1,074 | ||||||
| Verra Mobility Corp., Class A (a) |
93 | 1,429 | ||||||
| VMware, Inc., Class A |
175 | 18,612 | ||||||
| Workday, Inc., Class A (a) |
165 | 25,144 | ||||||
| Zoom Video Communications, Inc., Class A (a) |
188 | 13,802 | ||||||
| ZoomInfo Technologies, Inc., Class A (a) |
329 | 13,709 | ||||||
|
|
|
|||||||
| 2,395,582 | ||||||||
|
|
|
|||||||
| Total Technology |
2,997,258 | |||||||
|
|
|
|||||||
| Utilities — 0.3% |
||||||||
| Electric — 0.3% |
||||||||
| AES Corp. (The) |
29 | 663 | ||||||
| Alliant Energy Corp. |
9 | 495 | ||||||
| Ameren Corp. |
11 | 860 | ||||||
| American Electric Power Co., Inc. |
26 | 2,208 | ||||||
| CenterPoint Energy, Inc. |
25 | 709 | ||||||
| CMS Energy Corp. |
12 | 673 | ||||||
| Consolidated Edison, Inc. |
16 | 1,412 | ||||||
| Constellation Energy Corp. |
18 | 1,507 | ||||||
| Dominion Energy, Inc. |
43 | 2,982 | ||||||
| DTE Energy Co. |
8 | 922 | ||||||
| Duke Energy Corp. |
41 | 3,816 | ||||||
| Edison International |
16 | 925 | ||||||
| Entergy Corp. |
10 | 998 | ||||||
| Evergy, Inc. |
9 | 509 | ||||||
| Eversource Energy |
18 | 1,364 | ||||||
| Exelon Corp. |
50 | 1,875 | ||||||
| FirstEnergy Corp. |
24 | 888 | ||||||
| NextEra Energy, Inc. |
96 | 7,493 | ||||||
| NRG Energy, Inc. |
13 | 496 | ||||||
| PG&E Corp. (a) |
71 | 885 | ||||||
| PPL Corp. |
34 | 863 | ||||||
| Public Service Enterprise Group, Inc. |
23 | 1,289 | ||||||
| Sempra Energy |
15 | 2,230 | ||||||
| Southern Co. (The) |
53 | 3,575 | ||||||
| Vistra Corp. |
17 | 347 | ||||||
| WEC Energy Group, Inc. |
16 | 1,390 | ||||||
| Xcel Energy, Inc. |
29 | 1,843 | ||||||
|
|
|
|||||||
| 43,217 | ||||||||
|
|
|
|||||||
| Gas — 0.0% (g) |
||||||||
| Atmos Energy Corp. |
5 | 544 | ||||||
| NiSource, Inc. |
14 | 362 | ||||||
| UGI Corp. |
11 | 342 | ||||||
|
|
|
|||||||
| 1,248 | ||||||||
|
|
|
|||||||
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
SHARES |
VALUE ($) | ||||||
| Common Stocks — (continued) |
||||||||
| Water — 0.0% (g) |
||||||||
| American Water Works Co., Inc. |
9 | 1,127 | ||||||
| Essential Utilities, Inc. |
9 | 362 | ||||||
|
|
|
|||||||
| 1,489 | ||||||||
|
|
|
|||||||
| Total Utilities |
45,954 | |||||||
|
|
|
|||||||
| Total Common Stocks |
||||||||
| (Cost $13,787,759) |
14,142,152 | |||||||
|
|
|
|||||||
| Preferred Stock — 0.0% (g) |
||||||||
| Consumer Cyclical — 0.0% (g) |
||||||||
| Entertainment — 0.0% (g) |
||||||||
| AMC Entertainment Holdings, Inc. (a) (Cost $149) |
23 | 63 | ||||||
|
|
|
|||||||
| PRINCIPAL |
||||||||
| Short-Term Investments — 0.7% |
||||||||
| Time Deposits — 0.7% |
||||||||
| Australia & New Zealand Banking Group Ltd., 2.43%, 10/03/2022 |
14,339 | 14,339 | ||||||
| Barclays SA, 2.43%, 10/03/2022 |
16,330 | 16,330 | ||||||
| Citibank NA, 2.43%, 10/03/2022 |
13,166 | 13,166 | ||||||
| Royal Bank of Canada, 2.43%, 10/03/2022 |
118 | 118 | ||||||
| Skandinaviska Enskilda Banken AB, 2.43%, 10/03/2022 |
12,679 | 12,679 | ||||||
| Sumitomo Mitsui Banking Corp., 2.43%, 10/03/2022 |
2,802 | 2,802 | ||||||
| Sumitomo Mitsui Trust Bank Ltd., 2.43%, 10/03/2022 |
33,776 | 33,776 | ||||||
|
|
|
|||||||
| Total Short-Term Investments (Cost $93,210) |
93,210 | |||||||
|
|
|
|||||||
| Total Investments — 100.0% (Cost - $13,881,118) * |
14,235,425 | |||||||
| Other Assets in Excess of Liabilities — 0.0% (g) |
1,522 | |||||||
|
|
|
|||||||
| NET ASSETS — 100.0% |
$ | 14,236,947 | ||||||
|
|
|
|||||||
Percentages indicated are based on net assets
Futures contracts outstanding as of September 30, 2022:
Exchange Traded
| DESCRIPTION |
NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT ($) |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
|||||||||||||||
| Long Contracts |
||||||||||||||||||||
| E-mini Russell 2000 Index |
4 | 12/2022 | USD | 374 | (40 | ) | ||||||||||||||
| Micro E-mini NASDAQ 100 Index |
282 | 12/2022 | USD | 7,069 | (845 | ) | ||||||||||||||
| Micro E-mini S&P 500 Index |
22 | 12/2022 | USD | 432 | (36 | ) | ||||||||||||||
| NASDAQ 100 E-mini Index |
157 | 12/2022 | USD | 37,978 | (3,326 | ) | ||||||||||||||
| S&P 500 E-mini Index |
333 | 12/2022 | USD | 66,561 | (6,597 | ) | ||||||||||||||
| S&P MidCap 400 E-mini Index |
18 | 12/2022 | USD | 4,441 | (466 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized appreciation (depreciation) |
(11,310 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
Six Circles U.S. Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
| REIT | — | Real Estate Investment Trust | ||
| (a) | — | Non-income producing security. | ||
| (g) | — | Amount rounds to less than 0.05%. | ||
| (h) | — | Amount rounds to less than 500 shares or principal/ $500. | ||
| (bb) | — | Security has been valued using significant unobservable inputs. | ||
| (cc) | — | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. | ||
| * | — | The cost of securities is substantially the same for federal income tax purposes. | ||
| USD | — | United States Dollar |
Summary of Investments by Industry, September 30, 2022
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
| INDUSTRY |
PERCENTAGE | |||
| Internet |
18.5 | % | ||
| Software |
16.8 | % | ||
| Pharmaceuticals |
12.1 | % | ||
| Healthcare - Services |
9.1 | % | ||
| Transportation |
6.8 | % | ||
| Diversified Financial Services |
5.1 | % | ||
| Banks |
4.3 | % | ||
| Insurance |
4.2 | % | ||
| Semiconductors |
2.8 | % | ||
| Healthcare - Products |
2.7 | % | ||
| Commercial Services |
2.5 | % | ||
| Beverages |
2.3 | % | ||
| Biotechnology |
1.8 | % | ||
| Computers |
1.4 | % | ||
| Aerospace/Defense |
1.3 | % | ||
| Others (Each less than 1.0%) |
7.6 | % | ||
| Short-Term Investments |
0.7 | % | ||
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
SHARES |
VALUE ($) | ||||||
| Common Stocks — 97.2% |
||||||||
| Austria — 0.3% |
||||||||
| Erste Group Bank AG |
372 | 8,151 | ||||||
| OMV AG |
221 | 8,000 | ||||||
| Verbund AG |
71 | 6,023 | ||||||
| voestalpine AG |
76 | 1,281 | ||||||
|
|
|
|||||||
| 23,455 | ||||||||
|
|
|
|||||||
| Belgium — 1.0% |
||||||||
| Ageas SA |
174 | 6,363 | ||||||
| Anheuser-Busch InBev SA |
545 | 24,698 | ||||||
| D’ieteren Group |
16 | 2,206 | ||||||
| Elia Group SA |
35 | 4,062 | ||||||
| Groupe Bruxelles Lambert NV |
109 | 7,590 | ||||||
| KBC Group NV |
271 | 12,867 | ||||||
| Proximus SADP |
96 | 998 | ||||||
| Sofina SA |
17 | 2,988 | ||||||
| Solvay SA |
46 | 3,555 | ||||||
| UCB SA |
247 | 17,167 | ||||||
| Umicore SA |
129 | 3,795 | ||||||
| Warehouses De Pauw CVA |
96 | 2,363 | ||||||
|
|
|
|||||||
| 88,652 | ||||||||
|
|
|
|||||||
| Chile — 0.0% (g) |
||||||||
| Antofagasta plc |
145 | 1,775 | ||||||
|
|
|
|||||||
| Denmark — 4.9% |
||||||||
| AP Moller - Maersk A/S, Class A |
3 | 5,055 | ||||||
| AP Moller - Maersk A/S, Class B |
5 | 8,761 | ||||||
| Carlsberg A/S, Class B |
62 | 7,215 | ||||||
| Chr Hansen Holding A/S |
69 | 3,393 | ||||||
| Coloplast A/S, Class B |
74 | 7,488 | ||||||
| Danske Bank A/S |
746 | 9,287 | ||||||
| Demant A/S (a) |
60 | 1,481 | ||||||
| DSV A/S |
177 | 20,776 | ||||||
| Genmab A/S (a) |
41 | 13,188 | ||||||
| GN Store Nord AS |
79 | 1,391 | ||||||
| Novo Nordisk A/S, Class B |
3,246 | 323,373 | ||||||
| Novozymes A/S, Class B |
129 | 6,459 | ||||||
| Orsted AS (e) |
197 | 15,685 | ||||||
| Pandora A/S |
136 | 6,375 | ||||||
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
SHARES |
VALUE ($) | ||||||
| Common Stocks — continued |
||||||||
| Denmark — continued |
||||||||
| ROCKWOOL A/S, Class B |
9 | 1,385 | ||||||
| Tryg A/S |
392 | 8,091 | ||||||
| Vestas Wind Systems A/S |
958 | 17,630 | ||||||
|
|
|
|||||||
| 457,033 | ||||||||
|
|
|
|||||||
| Finland — 1.4% |
||||||||
| Elisa OYJ |
90 | 4,078 | ||||||
| Fortum OYJ |
457 | 6,142 | ||||||
| Kesko Oyj, Class B |
175 | 3,267 | ||||||
| Kone OYJ, Class B |
325 | 12,538 | ||||||
| Neste OYJ |
266 | 11,600 | ||||||
| Nokia OYJ |
3,378 | 14,503 | ||||||
| Nordea Bank Abp |
3,687 | 31,552 | ||||||
| Orion OYJ, Class B |
210 | 8,847 | ||||||
| Sampo OYJ, Class A |
516 | 22,016 | ||||||
| Stora Enso OYJ, Class R |
344 | 4,367 | ||||||
| UPM-Kymmene OYJ |
331 | 10,516 | ||||||
| Wartsila OYJ Abp |
447 | 2,856 | ||||||
|
|
|
|||||||
| 132,282 | ||||||||
|
|
|
|||||||
| France — 15.7% |
||||||||
| Accor SA (a) |
106 | 2,224 | ||||||
| Aeroports de Paris (a) |
28 | 3,185 | ||||||
| Air Liquide SA |
331 | 37,794 | ||||||
| Airbus SE |
562 | 48,480 | ||||||
| Alstom SA |
306 | 4,945 | ||||||
| Amundi SA (e) |
70 | 2,899 | ||||||
| Arkema SA |
38 | 2,744 | ||||||
| AXA SA |
2,023 | 44,161 | ||||||
| BioMerieux |
26 | 2,041 | ||||||
| BNP Paribas SA |
1,202 | 50,774 | ||||||
| Bollore SE |
548 | 2,513 | ||||||
| Bouygues SA |
218 | 5,700 | ||||||
| Bureau Veritas SA |
284 | 6,353 | ||||||
| Capgemini SE |
102 | 16,387 | ||||||
| Carrefour SA |
379 | 5,258 | ||||||
| Cie de Saint-Gobain |
470 | 16,815 | ||||||
| Cie Generale des Etablissements Michelin SCA |
431 | 9,666 | ||||||
| Covivio |
34 | 1,614 | ||||||
| Credit Agricole SA |
1,310 | 10,634 | ||||||
| Danone SA |
1,149 | 54,326 | ||||||
| Dassault Aviation SA |
24 | 2,709 | ||||||
| Dassault Systemes SE |
417 | 14,391 | ||||||
| Edenred |
158 | 7,281 | ||||||
| Eiffage SA |
80 | 6,417 | ||||||
| Electricite de France SA |
587 | 6,803 | ||||||
| Engie SA |
1,904 | 21,918 | ||||||
| EssilorLuxottica SA |
181 | 24,597 | ||||||
| Eurazeo SE |
48 | 2,514 | ||||||
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
SHARES |
VALUE ($) | ||||||
| Common Stocks — continued |
||||||||
| France — continued |
||||||||
| Gecina SA |
31 | 2,441 | ||||||
| Getlink SE |
420 | 6,508 | ||||||
| Hermes International |
47 | 55,344 | ||||||
| Ipsen SA |
74 | 6,822 | ||||||
| Kering SA |
111 | 49,294 | ||||||
| Klepierre SA (a) |
137 | 2,380 | ||||||
| La Francaise des Jeux SAEM (e) |
69 | 2,046 | ||||||
| Legrand SA |
255 | 16,470 | ||||||
| L’Oreal SA |
152 | 48,670 | ||||||
| LVMH Moet Hennessy Louis Vuitton SE |
413 | 243,460 | ||||||
| Orange SA |
1,248 | 11,285 | ||||||
| Pernod Ricard SA |
132 | 24,213 | ||||||
| Publicis Groupe SA |
143 | 6,769 | ||||||
| Remy Cointreau SA |
15 | 2,463 | ||||||
| Renault SA (a) |
644 | 17,430 | ||||||
| Safran SA |
325 | 29,605 | ||||||
| Sanofi |
2,234 | 170,086 | ||||||
| Sartorius Stedim Biotech |
18 | 5,368 | ||||||
| Schneider Electric SE |
518 | 58,462 | ||||||
| SEB SA |
17 | 1,077 | ||||||
| Societe Generale SA |
854 | 16,898 | ||||||
| Sodexo SA |
54 | 4,087 | ||||||
| Teleperformance |
56 | 14,113 | ||||||
| Thales SA |
102 | 11,232 | ||||||
| TotalEnergies SE |
3,668 | 172,099 | ||||||
| Ubisoft Entertainment SA (a) |
58 | 1,588 | ||||||
| Unibail-Rodamco-Westfield (a) |
73 | 3,010 | ||||||
| Valeo |
127 | 1,923 | ||||||
| Veolia Environnement SA |
702 | 13,420 | ||||||
| Vinci SA |
508 | 41,100 | ||||||
| Vivendi SE |
444 | 3,441 | ||||||
| Wendel SE |
30 | 2,149 | ||||||
| Worldline SA (a) (e) |
147 | 5,829 | ||||||
|
|
|
|||||||
| 1,466,225 | ||||||||
|
|
|
|||||||
| Germany — 11.1% |
||||||||
| adidas AG |
256 | 29,444 | ||||||
| Allianz SE (Registered) |
442 | 69,647 | ||||||
| BASF SE |
577 | 22,152 | ||||||
| Bayer AG (Registered) |
1,926 | 88,756 | ||||||
| Bayerische Motoren Werke AG |
1,130 | 76,607 | ||||||
| Bechtle AG |
49 | 1,773 | ||||||
| Beiersdorf AG |
63 | 6,163 | ||||||
| Brenntag SE |
147 | 8,913 | ||||||
| Carl Zeiss Meditec AG |
26 | 2,670 | ||||||
| Commerzbank AG (a) |
1,154 | 8,214 | ||||||
| Continental AG |
68 | 3,038 | ||||||
| Covestro AG (e) |
119 | 3,396 | ||||||
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
SHARES |
VALUE ($) | ||||||
| Common Stocks — continued |
||||||||
| Germany — continued |
||||||||
| Daimler Truck Holding AG (a) |
429 | 9,702 | ||||||
| Delivery Hero SE (a) (e) |
101 | 3,707 | ||||||
| Deutsche Bank AG (Registered) |
2,218 | 16,422 | ||||||
| Deutsche Boerse AG |
205 | 33,582 | ||||||
| Deutsche Lufthansa AG (Registered) (a) |
564 | 3,243 | ||||||
| Deutsche Post AG (Registered) |
943 | 28,411 | ||||||
| Deutsche Telekom AG (Registered) |
2,037 | 34,671 | ||||||
| E.ON SE |
2,335 | 17,941 | ||||||
| Evonik Industries AG |
132 | 2,215 | ||||||
| Fresenius Medical Care AG & Co. KGaA |
129 | 3,627 | ||||||
| Fresenius SE & Co. KGaA |
263 | 5,599 | ||||||
| GEA Group AG |
146 | 4,717 | ||||||
| Hannover Rueck SE |
65 | 9,670 | ||||||
| HeidelbergCement AG |
90 | 3,547 | ||||||
| HelloFresh SE (a) |
102 | 2,138 | ||||||
| Henkel AG & Co. KGaA |
59 | 3,359 | ||||||
| Infineon Technologies AG |
3,685 | 80,633 | ||||||
| KION Group AG |
72 | 1,382 | ||||||
| Knorr-Bremse AG |
69 | 2,963 | ||||||
| LEG Immobilien SE |
47 | 2,815 | ||||||
| Mercedes-Benz Group AG |
2,709 | 136,978 | ||||||
| Merck KGaA |
253 | 40,941 | ||||||
| MTU Aero Engines AG |
51 | 7,659 | ||||||
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) |
151 | 36,423 | ||||||
| Nemetschek SE |
39 | 1,828 | ||||||
| Puma SE |
156 | 7,218 | ||||||
| Rational AG |
5 | 2,449 | ||||||
| Rheinmetall AG |
41 | 6,347 | ||||||
| RWE AG |
669 | 24,587 | ||||||
| SAP SE |
657 | 53,503 | ||||||
| Scout24 SE (e) |
52 | 2,582 | ||||||
| Siemens AG (Registered) |
729 | 71,266 | ||||||
| Siemens Energy AG |
421 | 4,632 | ||||||
| Siemens Healthineers AG (e) |
179 | 7,659 | ||||||
| Symrise AG, Class A |
83 | 8,060 | ||||||
| Telefonica Deutschland Holding AG |
692 | 1,398 | ||||||
| Uniper SE |
102 | 384 | ||||||
| United Internet AG (Registered) |
67 | 1,251 | ||||||
| Volkswagen AG |
101 | 16,431 | ||||||
| Vonovia SE |
446 | 9,621 | ||||||
| Zalando SE (a) (e) |
141 | 2,747 | ||||||
|
|
|
|||||||
| 1,035,081 | ||||||||
|
|
|
|||||||
| Ireland — 1.0% |
||||||||
| AerCap Holdings NV (a) |
130 | 5,484 | ||||||
| CRH plc |
485 | 15,587 | ||||||
| DCC plc |
68 | 3,546 | ||||||
| Experian plc |
636 | 18,622 | ||||||
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
SHARES |
VALUE ($) | ||||||
| Common Stocks — continued |
||||||||
| Ireland — continued |
||||||||
| Flutter Entertainment plc (a) |
104 | 11,482 | ||||||
| Kerry Group plc, Class A |
286 | 25,460 | ||||||
| Kingspan Group plc |
147 | 6,618 | ||||||
| Smurfit Kappa Group plc |
161 | 4,601 | ||||||
|
|
|
|||||||
| 91,400 | ||||||||
|
|
|
|||||||
| Italy — 3.3% |
||||||||
| Amplifon SpA |
76 | 1,986 | ||||||
| Assicurazioni Generali SpA |
1,190 | 16,255 | ||||||
| Atlantia SpA |
469 | 10,356 | ||||||
| Davide Campari-Milano NV |
335 | 2,961 | ||||||
| DiaSorin SpA |
16 | 1,731 | ||||||
| Enel SpA |
8,505 | 34,881 | ||||||
| Eni SpA |
3,753 | 39,892 | ||||||
| Ferrari NV |
425 | 78,719 | ||||||
| FinecoBank Banca Fineco SpA |
654 | 8,081 | ||||||
| Infrastrutture Wireless Italiane SpA (e) |
226 | 1,975 | ||||||
| Intesa Sanpaolo SpA |
17,788 | 29,404 | ||||||
| Mediobanca Banca di Credito Finanziario SpA |
642 | 5,027 | ||||||
| Moncler SpA |
304 | 12,411 | ||||||
| Nexi SpA (a) (e) |
321 | 2,590 | ||||||
| Poste Italiane SpA (e) |
562 | 4,243 | ||||||
| Prysmian SpA |
241 | 6,893 | ||||||
| Recordati Industria Chimica e Farmaceutica SpA |
205 | 7,506 | ||||||
| Snam SpA |
2,186 | 8,837 | ||||||
| Telecom Italia SpA (a) |
6,748 | 1,248 | ||||||
| Terna - Rete Elettrica Nazionale |
1,520 | 9,256 | ||||||
| UniCredit SpA |
2,235 | 22,623 | ||||||
|
|
|
|||||||
| 306,875 | ||||||||
|
|
|
|||||||
| Japan — 2.3% |
||||||||
| Casio Computer Co. Ltd. |
399 | 3,500 | ||||||
| Nikon Corp. |
646 | 6,125 | ||||||
| Panasonic Holdings Corp. |
4,716 | 33,116 | ||||||
| Sharp Corp. |
523 | 3,117 | ||||||
| Sony Group Corp. |
2,693 | 173,461 | ||||||
| Tamron Co. Ltd. |
35 | 700 | ||||||
|
|
|
|||||||
| 220,019 | ||||||||
|
|
|
|||||||
| Jordan — 0.1% |
||||||||
| Hikma Pharmaceuticals plc |
280 | 4,214 | ||||||
|
|
|
|||||||
| Luxembourg — 0.2% |
||||||||
| ArcelorMittal SA |
330 | 6,560 | ||||||
| Aroundtown SA |
602 | 1,318 | ||||||
| Eurofins Scientific SE |
85 | 5,030 | ||||||
| Tenaris SA |
311 | 4,030 | ||||||
|
|
|
|||||||
| 16,938 | ||||||||
|
|
|
|||||||
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
SHARES |
VALUE ($) | ||||||
| Common Stocks — continued |
||||||||
| Netherlands — 9.1% |
||||||||
| ABN AMRO Bank NV, CVA, GDR (e) |
461 | 4,134 | ||||||
| Adyen NV (a) (e) |
14 | 16,893 | ||||||
| Aegon NV |
1,942 | 7,718 | ||||||
| Akzo Nobel NV |
114 | 6,477 | ||||||
| Argenx SE (a) |
34 | 12,181 | ||||||
| ASM International NV |
132 | 29,628 | ||||||
| ASML Holding NV |
1,148 | 475,519 | ||||||
| Euronext NV (e) |
93 | 5,870 | ||||||
| EXOR NV |
116 | 7,435 | ||||||
| Heineken Holding NV |
64 | 4,389 | ||||||
| Heineken NV |
162 | 14,168 | ||||||
| IMCD NV |
54 | 6,438 | ||||||
| ING Groep NV |
4,221 | 36,169 | ||||||
| JDE Peet’s NV |
180 | 5,271 | ||||||
| Just Eat Takeaway.com NV (a) (e) |
108 | 1,680 | ||||||
| Koninklijke Ahold Delhaize NV |
655 | 16,686 | ||||||
| Koninklijke DSM NV |
109 | 12,454 | ||||||
| Koninklijke KPN NV |
2,060 | 5,575 | ||||||
| Koninklijke Philips NV |
548 | 8,441 | ||||||
| NN Group NV |
303 | 11,779 | ||||||
| OCI NV |
66 | 2,403 | ||||||
| Prosus NV (a) |
521 | 27,127 | ||||||
| QIAGEN NV (a) |
143 | 5,968 | ||||||
| Randstad NV |
112 | 4,850 | ||||||
| Stellantis NV |
7,419 | 87,637 | ||||||
| Universal Music Group NV |
448 | 8,398 | ||||||
| Wolters Kluwer NV |
250 | 24,302 | ||||||
|
|
|
|||||||
| 849,590 | ||||||||
|
|
|
|||||||
| Norway — 1.2% |
||||||||
| Adevinta ASA, Class B (a) |
172 | 1,022 | ||||||
| Aker BP ASA |
202 | 5,807 | ||||||
| DNB Bank ASA |
997 | 15,823 | ||||||
| Equinor ASA |
1,449 | 47,772 | ||||||
| Gjensidige Forsikring ASA |
223 | 3,834 | ||||||
| Kongsberg Gruppen ASA |
84 | 2,538 | ||||||
| Mowi ASA |
743 | 9,444 | ||||||
| Norsk Hydro ASA |
835 | 4,483 | ||||||
| Orkla ASA |
1,326 | 9,643 | ||||||
| Salmar ASA |
104 | 3,521 | ||||||
| Telenor ASA |
447 | 4,092 | ||||||
| Yara International ASA |
104 | 3,639 | ||||||
|
|
|
|||||||
| 111,618 | ||||||||
|
|
|
|||||||
| Portugal — 0.3% |
||||||||
| EDP - Energias de Portugal SA |
2,931 | 12,719 | ||||||
| Galp Energia SGPS SA |
763 | 7,341 | ||||||
| Jeronimo Martins SGPS SA |
176 | 3,280 | ||||||
|
|
|
|||||||
| 23,340 | ||||||||
|
|
|
|||||||
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
SHARES |
VALUE ($) | ||||||
| Common Stocks — continued |
||||||||
| South Korea — 2.1% |
||||||||
| Samsung Electronics Co. Ltd. |
4,554 | 167,221 | ||||||
| Samsung Electronics Co. Ltd. (Registered), GDR |
37 | 32,747 | ||||||
|
|
|
|||||||
| 199,968 | ||||||||
|
|
|
|||||||
| Spain — 3.0% |
||||||||
| Acciona SA |
26 | 4,610 | ||||||
| ACS Actividades de Construccion y Servicios SA |
228 | 5,125 | ||||||
| Aena SME SA (a) (e) |
74 | 7,628 | ||||||
| Amadeus IT Group SA (a) |
283 | 13,136 | ||||||
| Banco Bilbao Vizcaya Argentaria SA |
7,222 | 32,397 | ||||||
| Banco Santander SA |
18,523 | 43,100 | ||||||
| CaixaBank SA |
4,824 | 15,537 | ||||||
| Cellnex Telecom SA (e) |
342 | 10,542 | ||||||
| EDP Renovaveis SA |
300 | 6,167 | ||||||
| Enagas SA |
100 | 1,543 | ||||||
| Endesa SA |
361 | 5,418 | ||||||
| Ferrovial SA |
468 | 10,616 | ||||||
| Grifols SA (a) |
196 | 1,690 | ||||||
| Iberdrola SA |
6,259 | 58,361 | ||||||
| Industria de Diseno Textil SA |
687 | 14,169 | ||||||
| Naturgy Energy Group SA |
162 | 3,745 | ||||||
| Red Electrica Corp. SA |
312 | 4,784 | ||||||
| Repsol SA |
2,176 | 24,999 | ||||||
| Siemens Gamesa Renewable Energy SA (a) |
231 | 4,033 | ||||||
| Telefonica SA |
3,307 | 10,932 | ||||||
|
|
|
|||||||
| 278,532 | ||||||||
|
|
|
|||||||
| Sweden — 3.6% |
||||||||
| Alfa Laval AB |
279 | 6,915 | ||||||
| Assa Abloy AB, Class B |
946 | 17,716 | ||||||
| Atlas Copco AB, Class A |
2,584 | 24,019 | ||||||
| Atlas Copco AB, Class B |
1,459 | 12,092 | ||||||
| Boliden AB |
169 | 5,225 | ||||||
| Electrolux AB, Class B |
138 | 1,437 | ||||||
| Embracer Group AB, Class B (a) |
426 | 2,526 | ||||||
| Epiroc AB, Class A |
624 | 8,930 | ||||||
| Epiroc AB, Class B |
365 | 4,604 | ||||||
| EQT AB |
318 | 6,141 | ||||||
| Essity AB, Class B |
387 | 7,640 | ||||||
| Evolution AB (e) |
115 | 9,100 | ||||||
| Fastighets AB Balder, Class B (a) |
383 | 1,528 | ||||||
| Getinge AB, Class B |
144 | 2,463 | ||||||
| H & M Hennes & Mauritz AB, Class B |
457 | 4,225 | ||||||
| Hexagon AB, Class B |
1,213 | 11,325 | ||||||
| Holmen AB, Class B |
58 | 2,193 | ||||||
| Husqvarna AB, Class B |
387 | 2,147 | ||||||
| Industrivarden AB, Class A |
139 | 2,805 | ||||||
| Industrivarden AB, Class C |
171 | 3,402 | ||||||
| Indutrade AB |
262 | 4,249 | ||||||
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
SHARES |
VALUE ($) | ||||||
| Common Stocks — continued |
||||||||
| Sweden — continued |
||||||||
| Investment AB Latour, Class B |
148 | 2,442 | ||||||
| Investor AB, Class A |
524 | 8,033 | ||||||
| Investor AB, Class B |
1,985 | 28,959 | ||||||
| Kinnevik AB, Class B (a) |
258 | 3,386 | ||||||
| L E Lundbergforetagen AB, Class B |
83 | 3,008 | ||||||
| Lifco AB, Class B |
229 | 3,175 | ||||||
| Nibe Industrier AB, Class B |
1,449 | 12,927 | ||||||
| Sagax AB, Class B |
117 | 1,928 | ||||||
| Sandvik AB |
1,005 | 13,697 | ||||||
| Securitas AB, Class B |
290 | 2,015 | ||||||
| Skandinaviska Enskilda Banken AB, Class A |
1,748 | 16,658 | ||||||
| Skanska AB, Class B |
329 | 4,092 | ||||||
| SKF AB, Class B |
359 | 4,805 | ||||||
| Svenska Cellulosa AB SCA, Class B |
386 | 4,894 | ||||||
| Svenska Handelsbanken AB, Class A |
1,583 | 12,998 | ||||||
| Swedbank AB, Class A |
983 | 12,900 | ||||||
| Swedish Match AB |
964 | 9,541 | ||||||
| Swedish Orphan Biovitrum AB (a) |
104 | 2,019 | ||||||
| Tele2 AB, Class B |
362 | 3,121 | ||||||
| Telefonaktiebolaget LM Ericsson, Class B |
1,814 | 10,606 | ||||||
| Telia Co. AB |
1,678 | 4,832 | ||||||
| Volvo AB, Class A |
131 | 1,940 | ||||||
| Volvo AB, Class B |
1,492 | 21,113 | ||||||
| Volvo Car AB, Class B (a) |
2,001 | 8,683 | ||||||
|
|
|
|||||||
| 338,454 | ||||||||
|
|
|
|||||||
| Switzerland — 21.4% |
||||||||
| ABB Ltd. (Registered) |
1,561 | 40,312 | ||||||
| Adecco Group AG (Registered) |
156 | 4,298 | ||||||
| Alcon, Inc. |
314 | 18,235 | ||||||
| Bachem Holding AG, Class B |
21 | 1,299 | ||||||
| Baloise Holding AG (Registered) |
50 | 6,327 | ||||||
| Barry Callebaut AG (Registered) |
6 | 12,055 | ||||||
| Chocoladefabriken Lindt & Spruengli AG |
2 | 18,546 | ||||||
| Chocoladefabriken Lindt & Spruengli AG (Registered) |
— | (h) | 19,419 | |||||
| Cie Financiere Richemont SA (Registered), Class A |
776 | 73,234 | ||||||
| Clariant AG (Registered) (a) |
134 | 2,139 | ||||||
| Coca-Cola HBC AG |
74 | 1,547 | ||||||
| Credit Suisse Group AG, (Registered) |
2,868 | 11,344 | ||||||
| EMS-Chemie Holding AG (Registered) |
4 | 2,812 | ||||||
| Geberit AG (Registered) |
34 | 14,495 | ||||||
| Givaudan SA (Registered) |
6 | 17,561 | ||||||
| Glencore plc |
3,621 | 19,028 | ||||||
| Holcim AG (a) |
346 | 14,192 | ||||||
| Julius Baer Group Ltd. |
237 | 10,322 | ||||||
| Kuehne + Nagel International AG (Registered) |
52 | 10,566 | ||||||
| Logitech International SA (Registered) |
109 | 4,964 | ||||||
| Lonza Group AG (Registered) |
47 | 22,812 | ||||||
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
SHARES |
VALUE ($) | ||||||
| Common Stocks — continued |
||||||||
| Switzerland — continued |
||||||||
| Nestle SA (Registered) |
5,038 | 544,927 | ||||||
| Novartis AG (Registered) |
4,243 | 323,509 | ||||||
| Partners Group Holding AG |
24 | 19,667 | ||||||
| Roche Holding AG |
1,430 | 468,803 | ||||||
| Schindler Holding AG |
43 | 6,633 | ||||||
| Schindler Holding AG (Registered) |
18 | 2,712 | ||||||
| SGS SA (Registered) |
6 | 12,881 | ||||||
| SIG Group AG (a) |
193 | 3,917 | ||||||
| Sika AG (Registered) |
92 | 18,449 | ||||||
| Sonova Holding AG (Registered) |
34 | 7,425 | ||||||
| STMicroelectronics NV |
1,925 | 59,814 | ||||||
| Straumann Holding AG (Registered) |
70 | 6,418 | ||||||
| Swatch Group AG (The) |
46 | 10,253 | ||||||
| Swatch Group AG (The) (Registered) |
64 | 2,675 | ||||||
| Swiss Life Holding AG (Registered) |
34 | 14,923 | ||||||
| Swiss Prime Site AG (Registered) |
48 | 3,808 | ||||||
| Swiss Re AG |
325 | 23,977 | ||||||
| Swisscom AG (Registered) |
16 | 7,689 | ||||||
| Temenos AG (Registered) |
41 | 2,747 | ||||||
| UBS Group AG (Registered) |
3,803 | 55,177 | ||||||
| VAT Group AG (e) |
25 | 5,159 | ||||||
| Zurich Insurance Group AG |
163 | 64,918 | ||||||
|
|
|
|||||||
| 1,991,988 | ||||||||
|
|
|
|||||||
| United Arab Emirates — 0.0% |
||||||||
| NMC Health plc (a) (bb) (cc) |
116 | — | ||||||
|
|
|
|||||||
| United Kingdom — 15.2% |
||||||||
| 3i Group plc |
798 | 9,585 | ||||||
| abrdn plc |
1,789 | 2,736 | ||||||
| Admiral Group plc |
148 | 3,135 | ||||||
| Anglo American plc |
467 | 14,013 | ||||||
| Ashtead Group plc |
306 | 13,740 | ||||||
| Associated British Foods plc |
544 | 7,600 | ||||||
| AstraZeneca plc |
2,632 | 289,280 | ||||||
| Auto Trader Group plc (e) |
346 | 1,964 | ||||||
| AVEVA Group plc |
44 | 1,529 | ||||||
| Aviva plc |
2,320 | 9,952 | ||||||
| BAE Systems plc |
2,180 | 19,158 | ||||||
| Barclays plc |
13,733 | 21,850 | ||||||
| Barratt Developments plc |
376 | 1,419 | ||||||
| Berkeley Group Holdings plc |
41 | 1,494 | ||||||
| BP plc |
23,519 | 112,384 | ||||||
| British American Tobacco plc |
791 | 28,366 | ||||||
| British Land Co. plc (The) |
323 | 1,253 | ||||||
| BT Group plc |
2,552 | 3,431 | ||||||
| Bunzl plc |
233 | 7,118 | ||||||
| Burberry Group plc |
486 | 9,705 | ||||||
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
SHARES |
VALUE ($) | ||||||
| Common Stocks — continued |
||||||||
| United Kingdom — continued |
||||||||
| CNH Industrial NV |
974 | 10,903 | ||||||
| Coca-Cola Europacific Partners plc |
131 | 5,568 | ||||||
| Compass Group plc |
655 | 13,046 | ||||||
| Croda International plc |
51 | 3,660 | ||||||
| Diageo plc |
840 | 35,358 | ||||||
| Entain plc |
216 | 2,583 | ||||||
| Ferguson plc |
148 | 15,366 | ||||||
| GSK plc |
6,907 | 99,762 | ||||||
| Haleon plc (a) |
1,865 | 5,816 | ||||||
| Halma plc |
139 | 3,136 | ||||||
| Hargreaves Lansdown plc |
292 | 2,794 | ||||||
| HSBC Holdings plc |
16,485 | 85,358 | ||||||
| Imperial Brands plc |
332 | 6,819 | ||||||
| Informa plc |
538 | 3,076 | ||||||
| InterContinental Hotels Group plc |
68 | 3,255 | ||||||
| Intertek Group plc |
111 | 4,566 | ||||||
| J Sainsbury plc |
644 | 1,248 | ||||||
| JD Sports Fashion plc |
947 | 1,043 | ||||||
| Johnson Matthey plc |
67 | 1,362 | ||||||
| Kingfisher plc |
741 | 1,803 | ||||||
| Land Securities Group plc |
259 | 1,495 | ||||||
| Legal & General Group plc |
4,897 | 11,689 | ||||||
| Lloyds Banking Group plc |
57,117 | 25,816 | ||||||
| London Stock Exchange Group plc |
270 | 22,827 | ||||||
| M&G plc |
2,109 | 3,885 | ||||||
| Melrose Industries plc |
3,026 | 3,384 | ||||||
| Mondi plc |
178 | 2,740 | ||||||
| National Grid plc |
1,339 | 13,787 | ||||||
| NatWest Group plc |
4,390 | 10,934 | ||||||
| Next plc |
48 | 2,543 | ||||||
| Ocado Group plc (a) |
212 | 1,100 | ||||||
| Pearson plc |
246 | 2,350 | ||||||
| Persimmon plc |
117 | 1,604 | ||||||
| Phoenix Group Holdings plc |
615 | 3,581 | ||||||
| Prudential plc |
2,255 | 22,070 | ||||||
| Reckitt Benckiser Group plc |
263 | 17,407 | ||||||
| RELX plc |
1,330 | 32,497 | ||||||
| Rentokil Initial plc |
1,287 | 6,821 | ||||||
| Rio Tinto plc |
413 | 22,342 | ||||||
| Rolls-Royce Holdings plc (a) |
5,792 | 4,436 | ||||||
| Sage Group plc (The) |
374 | 2,883 | ||||||
| Schroders plc |
627 | 2,694 | ||||||
| Segro plc |
444 | 3,702 | ||||||
| Severn Trent plc |
92 | 2,403 | ||||||
| Shell plc |
9,055 | 224,625 | ||||||
| Smith & Nephew plc |
320 | 3,698 | ||||||
| Smiths Group plc |
259 | 4,306 | ||||||
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
SHARES |
VALUE ($) | ||||||
| Common Stocks — continued |
||||||||
| United Kingdom — continued |
||||||||
| Spirax-Sarco Engineering plc |
51 | 5,852 | ||||||
| SSE plc |
392 | 6,621 | ||||||
| St. James’s Place plc |
446 | 5,077 | ||||||
| Standard Chartered plc |
2,069 | 12,941 | ||||||
| Taylor Wimpey plc |
1,309 | 1,274 | ||||||
| Tesco plc |
2,772 | 6,363 | ||||||
| Unilever plc |
937 | 41,181 | ||||||
| United Utilities Group plc |
250 | 2,473 | ||||||
| Vodafone Group plc |
9,812 | 10,981 | ||||||
| Whitbread plc |
74 | 1,881 | ||||||
| WPP plc |
401 | 3,311 | ||||||
|
|
|
|||||||
| 1,421,808 | ||||||||
|
|
|
|||||||
| Total Common Stocks (Cost $11,009,152) |
9,059,247 | |||||||
|
|
|
|||||||
| Preferred Stocks — 1.7% |
||||||||
| Germany — 1.4% |
||||||||
| Bayerische Motoren Werke AG |
186 | 12,075 | ||||||
| Henkel AG & Co. KGaA |
115 | 6,842 | ||||||
| Porsche Automobil Holding SE |
517 | 29,127 | ||||||
| Sartorius AG |
15 | 5,202 | ||||||
| Volkswagen AG |
624 | 76,256 | ||||||
|
|
|
|||||||
| 129,502 | ||||||||
|
|
|
|||||||
| South Korea — 0.3% |
||||||||
| Samsung Electronics Co. Ltd. |
788 | 25,609 | ||||||
|
|
|
|||||||
| Total Preferred Stocks (Cost $223,426) |
155,111 | |||||||
|
|
|
|||||||
|
NUMBER OF |
||||||||
| Rights — 0.0% (g) |
||||||||
| Sweden — 0.0% (g) |
||||||||
| Securitas AB, expiring 11/10/2022 (a) (Cost $800) |
1,298 | 542 | ||||||
|
|
|
|||||||
|
PRINCIPAL |
||||||||
| Short-Term Investments — 0.5% |
||||||||
| Time Deposits — 0.5% |
||||||||
| Australia & New Zealand Banking Group Ltd., 2.43%, 10/03/2022 |
43 | 43 | ||||||
| Barclays SA, 2.43%, 10/03/2022 |
2,875 | 2,875 | ||||||
| BNP Paribas SA, 1.17%, 10/03/2022 |
GBP | 8,401 | 9,380 | |||||
| Brown Brothers Harriman, |
||||||||
| (0.29%), 10/03/2022 |
CHF | 10,000 | 10,135 | |||||
| 0.12%, 10/03/2022 |
DKK | 23,309 | 3,072 | |||||
| 0.29%, 10/03/2022 |
EUR | — | (h) | — | (h) | |||
| 0.82%, 10/03/2022 |
SEK | 22,407 | 2,019 | |||||
| 0.95%, 10/03/2022 |
HKD | — | (h) | — | (h) | |||
| 1.16%, 10/03/2022 |
NOK | 27,747 | 2,548 | |||||
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Short-Term Investments — continued |
||||||||
| Time Deposits — continued |
||||||||
| 2.07%, 10/03/2022 |
CAD | — | (h) | — | (h) | |||
| 2.43%, 10/03/2022 |
— | (h) | — | (h) | ||||
| 4.50%, 10/03/2022 |
ZAR | — | (h) | — | (h) | |||
| Citibank NA, |
||||||||
| 0.29%, 10/03/2022 |
EUR | 16,616 | 16,284 | |||||
| 2.43%, 10/03/2022 |
1,195 | 1,195 | ||||||
| Royal Bank of Canada, 2.43%, 10/03/2022 |
426 | 426 | ||||||
| Skandinaviska Enskilda Banken AB, 2.43%, 10/03/2022 |
399 | 399 | ||||||
| Sumitomo Mitsui Banking Corp., (0.40%), 10/03/2022 |
JPY | 261,169 | 1,804 | |||||
| Sumitomo Mitsui Trust Bank Ltd., 2.43%, 10/03/2022 |
323 | 323 | ||||||
|
|
|
|||||||
| Total Short-Term Investments (Cost $50,503) |
50,503 | |||||||
|
|
|
|||||||
| Total Investments — 99.4% (Cost - $11,283,881) * |
9,265,403 | |||||||
| Other Assets in Excess of Liabilities — 0.6% |
48,214 | |||||||
|
|
|
|||||||
| NET ASSETS — 100.0% |
$ | 9,313,617 | ||||||
|
|
|
|||||||
Percentages indicated are based on net assets
Futures contracts outstanding as of September 30, 2022:
Exchange Traded
| DESCRIPTION |
NUMBER OF |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT ($) |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
|||||||||||||||
| Long Contracts |
||||||||||||||||||||
| Amsterdam Index |
21 | 10/2022 | EUR | 2,642 | (5 | ) | ||||||||||||||
| Euro STOXX 50 Index |
1,149 | 12/2022 | EUR | 39,317 | (1,988 | ) | ||||||||||||||
| FTSE 100 Index |
198 | 12/2022 | GBP | 16,191 | (905 | ) | ||||||||||||||
| MSCI Emerging Markets Index |
39 | 12/2022 | USD | 1,757 | (57 | ) | ||||||||||||||
| TOPIX Index |
25 | 12/2022 | JPY | 3,237 | (65 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized appreciation (depreciation) |
(3,020 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
| CVA | — | Dutch Certification | ||
| GDR | — | Global Depositary Receipt | ||
| (a) | — | Non-income producing security. | ||
| (e) | — | Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. | ||
| (g) | — | Amount rounds to less than 0.05%. | ||
| (h) | — | Amount rounds to less than 500 shares or principal/ $500. | ||
| (bb) | — | Security has been valued using significant unobservable inputs. | ||
| (cc) | — | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. | ||
| * | — | The cost of securities is substantially the same for federal income tax purposes. | ||
| CAD | — | Canadian Dollar | ||
| CHF | — | Swiss Franc | ||
| DKK | — | Danish Krone | ||
| EUR | — | Euro | ||
| GBP | — | British Pound | ||
| HKD | — | Hong Kong Dollar | ||
| JPY | — | Japanese Yen | ||
| NOK | — | Norwegian Krone | ||
| SEK | — | Swedish Krona | ||
| USD | — | United States Dollar | ||
| ZAR | — | South African Rand |
Six Circles International Unconstrained Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Summary of Investments by Industry, September 30, 2022
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
| INDUSTRY |
PERCENTAGE | |||
| Pharmaceuticals |
20.0 | % | ||
| Semiconductors |
9.4 | % | ||
| Food |
8.0 | % | ||
| Oil & Gas |
7.1 | % | ||
| Banks |
6.9 | % | ||
| Auto Manufacturers |
6.2 | % | ||
| Insurance |
4.3 | % | ||
| Apparel |
4.3 | % | ||
| Electric |
2.8 | % | ||
| Home Furnishings |
2.3 | % | ||
| Commercial Services |
1.8 | % | ||
| Chemicals |
1.7 | % | ||
| Retail |
1.4 | % | ||
| Telecommunications |
1.4 | % | ||
| Aerospace/Defense |
1.4 | % | ||
| Beverages |
1.4 | % | ||
| Electrical Components & Equipments |
1.4 | % | ||
| Cosmetics/Personal Care |
1.2 | % | ||
| Healthcare - Products |
1.1 | % | ||
| Building Materials |
1.1 | % | ||
| Miscellaneous Manufacturers |
1.1 | % | ||
| Engineering & Construction |
1.1 | % | ||
| Diversified Financial Services |
1.0 | % | ||
| Others (Each less than 1.0%) |
11.1 | % | ||
| Short-Term Investments |
0.5 | % | ||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL AMOUNT ($) |
VALUE ($) | ||||||
| Long Positions — 105.3% |
||||||||
| Asset-Backed Securities — 1.0% | ||||||||
| Anchorage Capital CLO 11 Ltd., (Cayman Islands), Series 2019-11A, | ||||||||
| Class AR, (ICE LIBOR USD 3 Month + 1.14%), 3.90%, 07/22/2032 (e) (aa) | 1,900 | 1,848 | ||||||
| ARES L CLO Ltd., (Cayman Islands), Series 2018-50A, Class AR, (ICE LIBOR USD 3 Month + 1.05%), 3.56%, 01/15/2032 (e) (aa) | 3,300 | 3,210 | ||||||
| Atlas Senior Loan Fund Ltd., (Cayman Islands), Series 2017-8A, Class A, (ICE LIBOR USD 3 Month + 1.15%), 3.89%, 01/16/2030 (e) (aa) | 5,057 | 4,996 | ||||||
| Benefit Street Partners CLO XVII Ltd., (Cayman Islands), Series 2019-17A, Class AR, (ICE LIBOR USD 3 Month + 1.08%), 3.59%, 07/15/2032 (e) (aa) | 4,300 | 4,170 | ||||||
| CARLYLE US CLO Ltd., (Cayman Islands), Series 2017-1A, Class A1R, (ICE LIBOR USD 3 Month + 1.00%), 3.71%, 04/20/2031 (e) (aa) | 1,900 | 1,843 | ||||||
| Carmax Auto Owner Trust, Series 2020-1, Class A3, 1.89%, 12/16/2024 | 134 | 132 | ||||||
| CIFC Funding Ltd., (Cayman Islands), Series 2017-4A, Class A1R, (ICE LIBOR USD 3 Month + 0.95%), 3.73%, 10/24/2030 (e) (aa) | 3,200 | 3,141 | ||||||
| Crestline Denali CLO XV Ltd., (Cayman Islands), Series 2017-1A, Class AR, (ICE LIBOR USD 3 Month + 1.03%), 3.74%, 04/20/2030 (e) (aa) | 5,710 | 5,626 | ||||||
| Dryden 36 Senior Loan Fund, (Cayman Islands), Series 2014-36A, Class AR3, (ICE LIBOR USD 3 Month + 1.02%), 3.53%, 04/15/2029 (e) (aa) | 5,949 | 5,872 | ||||||
| Dryden 27 R Euro CLO 2017 DAC, (Ireland), Series 2017-27A, Class AR, (ICE LIBOR EUR 3 Month + 0.66%), 0.66%, 04/15/2033 (e) (aa) | EUR | 7,600 | 7,235 | |||||
| Ford Credit Auto Owner Trust, Series 2020-B, Class A4, 0.79%, 11/15/2025 | 850 | 816 | ||||||
| GM Financial Consumer Automobile Receivables Trust, Series 2020-2, Class A4, 1.74%, 08/18/2025 | 500 | 485 | ||||||
| Hyundai Auto Receivables Trust, Series 2020-A, Class A3, 1.41%, 11/15/2024 | 69 | 68 | ||||||
| Madison Park Funding XXVI Ltd., (Cayman Islands), Series 2017-26A, Class AR, (ICE LIBOR USD 3 Month + 1.20%), 4.01%, 07/29/2030 (e) (aa) | 2,360 | 2,326 | ||||||
| Magnetite XVIII Ltd., (Cayman Islands), Series 2016-18A, Class AR2, (ICE LIBOR USD 3 Month + 0.88%), 3.79%, 11/15/2028 (e) (aa) | 7,452 | 7,296 | ||||||
| Marathon CLO IX Ltd., (Cayman Islands), Series 2017-9A, Class A1AR, (ICE LIBOR USD 3 Month + 1.15%), 3.66%, 04/15/2029 (e) (aa) | 251 | 249 | ||||||
| Marble Point CLO X Ltd., (Cayman Islands), Series 2017-1A, Class AR, (ICE LIBOR USD 3 Month + 1.04%), 3.55%, 10/15/2030 (e) (aa) | 1,800 | 1,768 | ||||||
| Mountain View CLO LLC, (Cayman Islands), | ||||||||
| Series 2017-1A, Class AR, (ICE LIBOR USD 3 Month + 1.09%), 3.83%, 10/16/2029 (e) (aa) | 1,689 | 1,647 | ||||||
| Series 2017-2A, Class AR, (ICE LIBOR USD 3 Month + 1.04%), 3.78%, 01/16/2031 (e) (aa) | 2,900 | 2,842 | ||||||
| Nissan Auto Receivables Owner Trust, Series 2020-A, Class A3, 1.38%, 12/16/2024 | 60 | 59 | ||||||
| OCP CLO Ltd., (Cayman Islands), Series 2017-14A, Class A1A, (ICE LIBOR USD 3 Month + 1.15%), 4.13%, 11/20/2030 (e) (aa) | 5,000 | 4,921 | ||||||
| Sculptor CLO XXV Ltd., (Cayman Islands), Series 25A, Class A1, (ICE LIBOR USD 3 Month + 1.27%), 3.78%, 01/15/2031 (e) (aa) | 1,200 | 1,174 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Sound Point CLO XII Ltd., (Cayman Islands), Series 2016-2A, Class AR2, (ICE LIBOR USD 3 Month + 1.05%), 3.76%, 10/20/2028 (e) (aa) | 61 | 61 | ||||||
| Venture 33 CLO Ltd., (Cayman Islands), Series 2018-33A, Class A1LR, (ICE LIBOR USD 3 Month + 1.06%), 3.57%, 07/15/2031 (e) (aa) | 700 | 684 | ||||||
| Venture XXI CLO Ltd., (Cayman Islands), Series 2015-21A, Class AR, (ICE LIBOR USD 3 Month + 0.88%), 3.39%, 07/15/2027 (e) (aa) | 235 | 234 | ||||||
| Vibrant CLO VI Ltd., (Cayman Islands), Series 2017-6A, Class AR, (ICE LIBOR USD 3 Month + 0.95%), 4.48%, 06/20/2029 (e) (aa) | 2,393 | 2,364 | ||||||
| Voya CLO Ltd., (Cayman Islands), Series 2017-1A, Class A1R, (ICE LIBOR USD 3 Month + 0.95%), 3.69%, 04/17/2030 (e) (aa) | 5,132 | 5,048 | ||||||
| Wellfleet CLO Ltd., (Cayman Islands), Series 2015-1A, Class AR4, (ICE LIBOR USD 3 Month + 0.89%), 3.60%, 07/20/2029 (e) (aa) | 1,179 | 1,160 | ||||||
| World Omni Auto Receivables Trust, Series 2020-A, Class A3, 1.10%, 04/15/2025 | 77 | 76 | ||||||
|
|
|
|||||||
| Total Asset-Backed Securities (Cost $74,553) |
71,351 | |||||||
|
|
|
|||||||
| Collateralized Mortgage Obligations — 2.0% | ||||||||
| Citigroup Mortgage Loan Trust, | ||||||||
| Series 2021-INV1, Class A3A, 2.50%, 05/25/2051 (e) (z) | 6,118 | 4,872 | ||||||
| Series 2021-INV3, Class A11, (United States 30 Day Average SOFR + 0.85%), 3.13%, 05/25/2051 (e) (aa) | 452 | 419 | ||||||
| FHLMC REMICS, | ||||||||
| Series 3404, Class SA, IF, IO, (6.00% - ICE LIBOR USD 1 Month), 3.18%, 01/15/2038 (aa) | 1,335 | 106 | ||||||
| Series 3680, Class SA, IF, IO, (5.00% - ICE LIBOR USD 1 Month), 2.18%, 06/15/2040 (aa) | 2,554 | 111 | ||||||
| Series 4023, Class S, IF, IO, (6.25% - ICE LIBOR USD 1 Month), 3.43%, 03/15/2042 (aa) | 1,097 | 101 | ||||||
| Series 4056, Class GS, IF, IO, (6.65% - ICE LIBOR USD 1 Month), 3.83%, 12/15/2041 (aa) | 609 | 60 | ||||||
| Series 4134, Class PI, IO, 3.00%, 11/15/2042 | 504 | 64 | ||||||
| Series 4165, Class TI, IO, 3.00%, 12/15/2042 | 543 | 40 | ||||||
| Series 4479, Class AI, IO, 3.50%, 09/15/2025 | 5,284 | 198 | ||||||
| Series 4598, Class IK, IO, 3.50%, 03/15/2046 | 642 | 121 | ||||||
| Series 4710, Class EI, IO, 3.50%, 11/15/2031 | 3,923 | 344 | ||||||
| Series 4825, Class SE, IF, IO, (6.20% - ICE LIBOR USD 1 Month), 3.38%, 09/15/2048 (aa) | 4,420 | 527 | ||||||
| Series 4888, Class IB, IO, 4.00%, 03/15/2047 | 390 | 61 | ||||||
| Series 4990, Class MI, IO, 4.00%, 07/25/2050 | 4,607 | 1,064 | ||||||
| Series 5003, Class AS, IF, IO, (6.10% - ICE LIBOR USD 1 Month), 3.02%, 08/25/2050 (aa) | 7,484 | 985 | ||||||
| Series 5016, Class PI, IO, 3.00%, 09/25/2050 | 12,260 | 1,934 | ||||||
| Series 5024, Class BI, IO, 2.00%, 10/25/2050 | 19,116 | 2,255 | ||||||
| Series 5034, Class YI, IO, 4.00%, 11/25/2050 | 3,073 | 602 | ||||||
| Series 5045, Class DI, IO, 2.50%, 11/25/2050 | 3,010 | 437 | ||||||
| Series 5047, Class CI, IO, 2.00%, 12/25/2050 | 1,807 | 260 | ||||||
| Series 5056, Class PI, IO, 2.50%, 12/25/2050 | 9,296 | 1,309 | ||||||
| Series 5062, Class EI, IO, 2.00%, 01/25/2051 | 3,875 | 559 | ||||||
| Series 5065, Class IG, IO, 3.00%, 01/25/2051 | 3,588 | 560 | ||||||
| Series 5069, Class DI, IO, 3.50%, 02/25/2041 | 1,468 | 194 | ||||||
| Series 5069, Class LI, IO, 2.50%, 02/25/2051 | 15,320 | 2,272 | ||||||
| Series 5071, Class IN, IO, 4.00%, 08/25/2050 | 5,915 | 1,374 | ||||||
| Series 5087, Class IL, IO, 3.00%, 03/25/2051 | 2,129 | 353 | ||||||
| Series 5124, Class LI, IO, 4.50%, 07/25/2051 | 13,283 | 2,956 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Series 5202, Class UI, IO, 3.50%, 01/25/2052 | 4,637 | 871 | ||||||
| Series 5210, Class AI, IO, 3.50%, 01/25/2042 | 4,782 | 690 | ||||||
| Series 5227, Class EI, IO, 4.00%, 04/25/2050 | 5,332 | 643 | ||||||
| FHLMC STRIPs, Series 365, Class C2, IO, 4.00%, 06/15/2049 | 4,387 | 832 | ||||||
| FNMA Interest STRIP, | ||||||||
| Series 379, Class S56, IF, IO, (7.90% - ICE LIBOR USD 1 Month), 4.82%, 05/25/2037 (aa) | 424 | 62 | ||||||
| Series 405, Class 1, PO, Zero Coupon, 10/25/2040 | 336 | 270 | ||||||
| Series 406, Class 23, IO, 6.00%, 11/25/2040 (z) | 161 | 39 | ||||||
| FNMA REMICS, | ||||||||
| Series 2007-30, Class JS, IF, IO, (6.44% - ICE LIBOR USD 1 Month), 3.36%, 04/25/2037 (aa) | 1,884 | 176 | ||||||
| Series 2012-53, Class IO, IO, 3.50%, 05/25/2027 | 583 | 30 | ||||||
| Series 2012-98, Class JI, IO, 3.00%, 04/25/2027 | 1,658 | 46 | ||||||
| Series 2012-135, Class SB, IF, IO, (6.10% - ICE LIBOR USD 1 Month), 3.02%, 12/25/2042 (aa) | 1,067 | 104 | ||||||
| Series 2013-109, Class BO, PO, Zero Coupon, 07/25/2043 | 411 | 242 | ||||||
| Series 2014-34, Class US, IF, (8.60% - ICE LIBOR USD 1 Month), 2.43%, 06/25/2044 (aa) | 67 | 52 | ||||||
| Series 2016-26, Class SY, IF, (7.03% - ICE LIBOR USD 1 Month), 0.00%, 11/25/2042 (aa) | 516 | 320 | ||||||
| Series 2016-63, Class AS, IF, IO, (6.00% - ICE LIBOR USD 1 Month), 2.92%, 09/25/2046 (aa) | 1,741 | 185 | ||||||
| Series 2018-67, Class SH, IF, IO, (6.20% - ICE LIBOR USD 1 Month), 3.12%, 09/25/2048 (aa) | 3,573 | 429 | ||||||
| Series 2019-48, Class IB, IO, 0.67%, 06/25/2039 (z) | 24,043 | 544 | ||||||
| Series 2019-68, Class US, IF, IO, (6.00% - ICE LIBOR USD 1 Month), 2.92%, 11/25/2049 (aa) | 6,645 | 793 | ||||||
| Series 2019-78, Class DI, IO, 4.50%, 11/25/2049 | 673 | 109 | ||||||
| Series 2020-42, Class CI, IO, 3.00%, 06/25/2050 | 13,567 | 2,327 | ||||||
| Series 2020-60, Class BI, IO, 3.50%, 09/25/2050 | 12,169 | 2,264 | ||||||
| Series 2020-68, Class CI, IO, 3.00%, 10/25/2050 | 9,234 | 1,459 | ||||||
| Series 2020-74, Class PI, IO, 2.00%, 12/25/2049 | 10,999 | 1,161 | ||||||
| Series 2020-86, Class PI, IO, 2.50%, 12/25/2050 | 3,509 | 544 | ||||||
| Series 2020-89, Class IM, IO, 2.00%, 12/25/2050 | 10,411 | 1,451 | ||||||
| Series 2020-89, Class LI, IO, 3.00%, 12/25/2050 | 12,010 | 2,051 | ||||||
| Series 2020-99, Class IQ, IO, 3.00%, 01/25/2051 | 1,017 | 168 | ||||||
| Series 2021-8, Class YF, (United States 30 Day Average SOFR + 0.20%), 1.73%, 03/25/2061 (aa) | 11,273 | 11,269 | ||||||
| GNMA, | ||||||||
| Series 2015-H03, Class FA, (ICE LIBOR USD 1 Month + 0.50%), 2.86%, 12/20/2064 (aa) | 75 | 75 | ||||||
| Series 2015-H33, Class FA, (ICE LIBOR USD 1 Month + 0.66%), 3.02%, 12/20/2065 (aa) | 7,175 | 7,087 | ||||||
| Series 2017-H03, Class HA, 3.00%, 01/20/2067 | 4,785 | 4,598 | ||||||
| Series 2019-H08, Class FE, (ICE LIBOR USD 1 Month + 0.65%), 1.89%, 01/20/2069 (aa) | 4,524 | 4,398 | ||||||
| Series 2019-H16, Class FD, (ICE LIBOR USD 1 Month + 0.80%), 1.98%, 10/20/2069 (aa) | 2,579 | 2,533 | ||||||
| Series 2020-142, Class LI, IO, 2.50%, 09/20/2050 | 11,899 | 1,845 | ||||||
| Series 2020-142, Class MT, IF, IO, (6.15% - ICE LIBOR USD 1 Month), 0.05%, 07/20/2047 (aa) | 14,815 | 27 | ||||||
| Series 2020-142, Class TN, IF, IO, (6.20% - ICE LIBOR USD 1 Month), 0.10%, 09/20/2047 (aa) | 19,966 | 82 | ||||||
| Series 2020-H12, Class F, (ICE LIBOR USD 1 Month + 0.50%), 2.86%, 07/20/2070 (aa) | 562 | 548 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Series 2020-H13, Class FA, (ICE LIBOR USD 1 Month + 0.45%), 2.81%, 07/20/2070 (aa) | 5,103 | 4,950 | ||||||
| Series 2020-H14, Class FH, (ICE LIBOR USD 1 Month + 1.25%), 3.61%, 08/20/2070 (aa) | 7,079 | 7,135 | ||||||
| Series 2020-H15, Class FH, (ICE LIBOR USD 1 Month + 1.05%), 3.41%, 07/20/2070 (aa) | 3,092 | 3,074 | ||||||
| Series 2020-H15, Class FK, (ICE LIBOR USD 1 Month + 1.25%), 2.70%, 04/20/2070 (aa) | 5,570 | 5,565 | ||||||
| Series 2020-H16, Class FN, (ICE LIBOR USD 1 Month + 1.25%), 3.61%, 09/20/2070 (aa) | 1,945 | 1,958 | ||||||
| Series 2021-23, Class GI, IO, 2.00%, 02/20/2051 | 12,589 | 1,507 | ||||||
| Series 2021-122, Class IT, IO, 2.50%, 07/20/2051 | 12,728 | 1,439 | ||||||
| Series 2021-206, Class IG, IO, 2.50%, 09/20/2051 | 11,246 | 1,114 | ||||||
| Series 2021-223, Class QI, IO, 2.50%, 10/20/2051 | 11,719 | 1,155 | ||||||
| Series 2021-H14, Class HF, (United States 30 Day Average SOFR + 1.50%), 3.78%, 09/20/2071 (aa) | 7,812 | 7,948 | ||||||
| Series 2021-H16, Class F, (United States 30 Day Average SOFR + 1.50%), 3.78%, 09/20/2071 (aa) | 9,706 | 9,886 | ||||||
| GS Mortgage-Backed Securities Trust, | ||||||||
| Series 2021-GR2, Class A2, 2.50%, 02/25/2052 (e) (z) | 1,862 | 1,483 | ||||||
| Series 2021-INV1, Class A2, 2.50%, 12/25/2051 (e) (z) | 899 | 715 | ||||||
| IMS Ecuadorian Mortgage Trust, Series 2021-1, Class GA, 3.40%, 08/18/2043 (e) | 2,300 | 2,114 | ||||||
| MFA Trust, Series 2020-NQM2, Class A1, 1.38%, 04/25/2065 (e) (z) | 4,439 | 4,229 | ||||||
| Morgan Stanley Residential Mortgage Loan Trust, Series 2021-6, Class A6, (United States 30 Day Average SOFR + 0.85%), 3.03%, 09/25/2051 (e) (aa) | 1,954 | 1,814 | ||||||
| OBX Trust, Series 2021-INV2, Class A11, (United States 30 Day Average SOFR + 0.90%), 3.18%, 10/25/2051 (e) (aa) | 454 | 422 | ||||||
| PMT Loan Trust, | ||||||||
| Series 2021-INV1, Class A11, (United States 30 Day Average SOFR + 0.90%), 3.08%, 07/25/2051 (e) (aa) | 9,045 | 8,423 | ||||||
| Series 2021-INV1, Class A3, 2.50%, 07/25/2051 (e) (z) | 4,299 | 3,423 | ||||||
|
|
|
|||||||
| Total Collateralized Mortgage Obligations (Cost $159,068) |
142,816 | |||||||
|
|
|
|||||||
| Commercial Mortgage-Backed Securities — 0.7% |
||||||||
| Banc of America Commercial Mortgage Trust, Series 2015-UBS7, Class ASB, 3.43%, 09/15/2048 | 393 | 381 | ||||||
| BANK, | ||||||||
| Series 2017-BNK7, Class AS, 3.75%, 09/15/2060 | 750 | 671 | ||||||
| Series 2018-BN13, Class A5, 4.22%, 08/15/2061 (z) | 500 | 472 | ||||||
| Series 2018-BN15, Class A4, 4.41%, 11/15/2061 (z) | 1,235 | 1,176 | ||||||
| Barclays Commercial Mortgage Trust, | ||||||||
| Series 2019-C5, Class A4, 3.06%, 11/15/2052 | 1,000 | 869 | ||||||
| Series 2019-C5, Class ASB, 2.99%, 11/15/2052 | 500 | 457 | ||||||
| BBCMS Mortgage Trust, | ||||||||
| Series 2020-C6, Class ASB, 2.60%, 02/15/2053 | 600 | 534 | ||||||
| Series 2020-C7, Class A5, 2.04%, 04/15/2053 | 210 | 169 | ||||||
| BCP Trust, Series 2021-330N, Class A, (ICE LIBOR USD 1 Month + 0.80%), 3.62%, 06/15/2038 (e) (aa) | 2,800 | 2,682 | ||||||
| Benchmark Mortgage Trust, | ||||||||
| Series 2020-B16, Class AM, 2.94%, 02/15/2053 (z) | 350 | 287 | ||||||
| Series 2020-B17, Class A5, 2.29%, 03/15/2053 | 500 | 408 | ||||||
| Series 2020-B20, Class A5, 2.03%, 10/15/2053 | 750 | 592 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL AMOUNT ($) |
VALUE ($) | ||||||
| Commercial Mortgage-Backed Securities — continued |
||||||||
| BWAY Mortgage Trust, Series 2021-1450, Class A, (ICE LIBOR USD 1 Month + 1.25%), 4.07%, 09/15/2036 (e) (aa) | 4,600 | 4,455 | ||||||
| BX Commercial Mortgage Trust, Series 2021-21M, Class A, (ICE LIBOR USD 1 Month + 0.73%), 3.55%, 10/15/2036 (e) (aa) | 3,000 | 2,865 | ||||||
| CD Mortgage Trust, Series 2017-CD5, Class AAB, 3.22%, 08/15/2050 | 969 | 924 | ||||||
| CGMS Commercial Mortgage Trust, Series 2017-B1, Class A4, 3.46%, 08/15/2050 | 1,100 | 1,012 | ||||||
| Citigroup Commercial Mortgage Trust, | ||||||||
| Series 2014-GC23, Class AS, 3.86%, 07/10/2047 | 250 | 240 | ||||||
| Series 2014-GC25, Class A4, 3.64%, 10/10/2047 | 500 | 484 | ||||||
| Series 2015-GC33, Class AS, 4.11%, 09/10/2058 | 500 | 474 | ||||||
| Series 2019-GC41, Class AS, 3.02%, 08/10/2056 | 250 | 209 | ||||||
| COMM Mortgage Trust, Series 2016-CR28, Class ASB, 3.53%, 02/10/2049 | 321 | 312 | ||||||
| CSAIL Commercial Mortgage Trust, Series 2016-C7, Class ASB, 3.31%, 11/15/2049 | 282 | 272 | ||||||
| CSMC, Series 2020-FACT, Class A, (ICE LIBOR USD 1 Month + 1.35%), 4.17%, 10/15/2037 (e) (aa) |
2,100 | 2,060 | ||||||
| FHLMC Multifamily Structured Pass Through Certificates, | ||||||||
| Series K027, Class A2, 2.64%, 01/25/2023 | 659 | 657 | ||||||
| Series K047, Class A2, 3.33%, 05/25/2025 (z) | 1,000 | 968 | ||||||
| Series K049, Class A2, 3.01%, 07/25/2025 | 250 | 240 | ||||||
| Series K057, Class A2, 2.57%, 07/25/2026 | 850 | 792 | ||||||
| Series K063, Class A2, 3.43%, 01/25/2027 (z) | 1,000 | 956 | ||||||
| Series K071, Class A2, 3.29%, 11/25/2027 | 500 | 472 | ||||||
| Series K073, Class A2, 3.35%, 01/25/2028 | 1,000 | 945 | ||||||
| Series K075, Class A2, 3.65%, 02/25/2028 (z) | 500 | 479 | ||||||
| Series K094, Class A2, 2.90%, 06/25/2029 | 112 | 102 | ||||||
| Series K103, Class A2, 2.65%, 11/25/2029 | 500 | 445 | ||||||
| Series K108, Class A2, 1.52%, 03/25/2030 | 304 | 248 | ||||||
| Series K117, Class A2, 1.41%, 08/25/2030 | 1,500 | 1,194 | ||||||
| Series K118, Class A2, 1.49%, 09/25/2030 | 500 | 400 | ||||||
| Series K725, Class A2, 3.00%, 01/25/2024 | 221 | 217 | ||||||
| Series K726, Class A2, 2.91%, 04/25/2024 | 692 | 676 | ||||||
| Series K729, Class A2, 3.14%, 10/25/2024 | 200 | 195 | ||||||
| Series K737, Class A2, 2.53%, 10/25/2026 | 650 | 600 | ||||||
| FNMA-ACES, | ||||||||
| Series 2015-M10, Class A2, 3.09%, 04/25/2027 (z) | 489 | 462 | ||||||
| Series 2016-M5, Class A2, 2.47%, 04/25/2026 | 500 | 465 | ||||||
| Series 2017-M11, Class A2, 2.98%, 08/25/2029 | 1,000 | 915 | ||||||
| Series 2017-M12, Class A2, 3.16%, 06/25/2027 (z) | 97 | 91 | ||||||
| Series 2017-M13, Class A2, 3.03%, 09/25/2027 (z) | 544 | 509 | ||||||
| Series 2018-M8, Class A2, 3.41%, 06/25/2028 (z) | 909 | 854 | ||||||
| Series 2020-M46, Class A2, 1.32%, 05/25/2030 | 1,000 | 815 | ||||||
| GS Mortgage Securities Trust, Series 2019-GSA1, Class A4, 3.05%, 11/10/2052 | 250 | 215 | ||||||
| LUXE Trust, | ||||||||
| Series 2021-MLBH, Class A, (ICE LIBOR USD 1 Month + 0.98%), 3.80%, 11/15/2038 (e) (aa) | 600 | 577 | ||||||
| Series 2021-TRIP, Class A, (ICE LIBOR USD 1 Month + 1.05%), 3.87%, 10/15/2038 (e) (aa) | 2,900 | 2,803 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
| Series 2016-C29, Class A4, 3.33%, 05/15/2049 | 500 | 467 | ||||||
| Series 2016-C31, Class A5, 3.10%, 11/15/2049 | 500 | 458 | ||||||
| Series 2016-C32, Class A4, 3.72%, 12/15/2049 | 1,000 | 937 | ||||||
| UBS Commercial Mortgage Trust, | ||||||||
| Series 2018-C11, Class ASB, 4.12%, 06/15/2051 | 687 | 659 | ||||||
| Series 2018-C12, Class A5, 4.30%, 08/15/2051 | 1,380 | 1,299 | ||||||
| UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class A4, 3.53%, 05/10/2063 | 6 | 6 | ||||||
| Wells Fargo Commercial Mortgage Trust, | ||||||||
| Series 2014-LC18, Class A5, 3.41%, 12/15/2047 | 420 | 403 | ||||||
| Series 2015-C27, Class A5, 3.45%, 02/15/2048 | 918 | 876 | ||||||
| Series 2015-LC20, Class A5, 3.18%, 04/15/2050 | 500 | 474 | ||||||
| Series 2017-C39, Class A5, 3.42%, 09/15/2050 | 1,000 | 919 | ||||||
| Series 2017-C40, Class A4, 3.58%, 10/15/2050 | 550 | 507 | ||||||
| Series 2018-C44, Class A5, 4.21%, 05/15/2051 | 1,000 | 945 | ||||||
| WFRBS Commercial Mortgage Trust, Series 2013-C12, Class A4, 3.20%, 03/15/2048 | 279 | 279 | ||||||
|
|
|
|||||||
| Total Commercial Mortgage-Backed Securities (Cost $53,608) |
47,526 | |||||||
|
|
|
|||||||
| Corporate Bonds — 18.6% |
||||||||
| Basic Materials — 0.6% |
||||||||
| Chemicals — 0.3% |
||||||||
| Air Liquide Finance SA, (France), | ||||||||
| Reg. S, 0.63%, 06/20/2030 | EUR | 400 | 316 | |||||
| Reg. S, 0.75%, 06/13/2024 | EUR | 600 | 569 | |||||
| Air Products and Chemicals, Inc., | ||||||||
| 1.00%, 02/12/2025 | EUR | 1,550 | 1,445 | |||||
| 2.80%, 05/15/2050 | 15 | 10 | ||||||
| Albemarle Corp., 5.65%, 06/01/2052 | 50 | 44 | ||||||
| Albemarle New Holding GmbH, (Germany), Reg. S, 1.63%, 11/25/2028 | EUR | 1,000 | 807 | |||||
| Argentum Netherlands BV for Givaudan SA, (Netherlands), | ||||||||
| Reg. S, 1.13%, 09/17/2025 | EUR | 800 | 739 | |||||
| Reg. S, 2.00%, 09/17/2030 | EUR | 1,000 | 864 | |||||
| Cabot Corp., 5.00%, 06/30/2032 | 305 | 274 | ||||||
| Celanese US Holdings LLC, | ||||||||
| 0.63%, 09/10/2028 | EUR | 1,500 | 1,020 | |||||
| 3.50%, 05/08/2024 | 50 | 48 | ||||||
| 4.78%, 07/19/2026 | EUR | 2,000 | 1,855 | |||||
| 5.90%, 07/05/2024 | 70 | 69 | ||||||
| 6.05%, 03/15/2025 | 70 | 68 | ||||||
| 6.17%, 07/15/2027 | 50 | 47 | ||||||
| 6.33%, 07/15/2029 | 95 | 89 | ||||||
| CF Industries, Inc., | ||||||||
| 4.50%, 12/01/2026 (e) | 1,800 | 1,726 | ||||||
| 4.95%, 06/01/2043 | 100 | 81 | ||||||
| 5.38%, 03/15/2044 | 30 | 25 | ||||||
| Covestro AG, (Germany), Reg. S, 0.88%, 02/03/2026 | EUR | 1,875 | 1,655 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL AMOUNT ($) |
VALUE ($) | ||||||
| Corporate Bonds — continued |
||||||||
| Chemicals — continued |
||||||||
| Dow Chemical Co. (The), |
| |||||||
| 4.55%, 11/30/2025 | 118 | 117 | ||||||
| 5.25%, 11/15/2041 | 600 | 533 | ||||||
| Eastman Chemical Co., 1.50%, 05/26/2023 | EUR | 900 | 870 | |||||
| Ecolab, Inc., 1.00%, 01/15/2024 | EUR | 1,950 | 1,861 | |||||
| EI du Pont de Nemours and Co., 2.30%, 07/15/2030 | 84 | 69 | ||||||
| FMC Corp., 3.20%, 10/01/2026 | 10 | 9 | ||||||
| Givaudan Finance Europe BV, (Netherlands), Reg. S, 1.00%, 04/22/2027 | EUR | 100 | 88 | |||||
| Huntsman International LLC, 4.50%, 05/01/2029 | 2 | 2 | ||||||
| Linde Finance BV, (Netherlands), | ||||||||
| Reg. S, 0.55%, 05/19/2032 | EUR | 400 | 291 | |||||
| Reg. S, 1.88%, 05/22/2024 | EUR | 425 | 410 | |||||
| LYB International Finance BV, (Netherlands), 4.88%, 03/15/2044 | 550 | 447 | ||||||
| LYB International Finance III LLC, | ||||||||
| 3.38%, 10/01/2040 | 290 | 199 | ||||||
| 4.20%, 10/15/2049 | 1,000 | 717 | ||||||
| Mosaic Co. (The), 4.25%, 11/15/2023 | 30 | 30 | ||||||
| PPG Industries, Inc., | ||||||||
| 1.20%, 03/15/2026 | 35 | 30 | ||||||
| 1.88%, 06/01/2025 | EUR | 1,500 | 1,403 | |||||
| 2.75%, 06/01/2029 | EUR | 3,200 | 2,845 | |||||
| RPM International, Inc., | ||||||||
| 2.95%, 01/15/2032 | 115 | 88 | ||||||
| 5.25%, 06/01/2045 | 31 | 26 | ||||||
| Sherwin-Williams Co. (The), 3.45%, 08/01/2025 | 65 | 62 | ||||||
| Westlake Corp., | ||||||||
| 1.63%, 07/17/2029 | EUR | 500 | 367 | |||||
| 3.13%, 08/15/2051 | 185 | 114 | ||||||
| 3.38%, 08/15/2061 | 100 | 58 | ||||||
| Yara International ASA, (Norway), 3.15%, 06/04/2030 (e) | 1,000 | 795 | ||||||
|
|
|
|||||||
| 23,182 | ||||||||
|
|
|
|||||||
| Iron/Steel — 0.1% |
||||||||
| Reliance Steel & Aluminum Co., 2.15%, 08/15/2030 | 310 | 236 | ||||||
| Steel Dynamics, Inc., | ||||||||
| 3.25%, 01/15/2031 | 3,215 | 2,621 | ||||||
| 3.45%, 04/15/2030 | 155 | 131 | ||||||
| Vale Overseas Ltd., (Cayman Islands), 6.88%, 11/21/2036 | 16 | 15 | ||||||
|
|
|
|||||||
| 3,003 | ||||||||
|
|
|
|||||||
| Mining — 0.2% |
||||||||
| Anglo American Capital plc, (United Kingdom), Reg. S, 3.38%, 03/11/2029 | GBP | 1,500 | 1,311 | |||||
| Barrick PD Australia Finance Pty Ltd., (Australia), 5.95%, 10/15/2039 | 920 | 895 | ||||||
| BHP Billiton Finance Ltd., (Australia), | ||||||||
| Series 17, Reg. S, 1.50%, 04/29/2030 | EUR | 775 | 625 | |||||
| Series 13, Reg. S, 3.13%, 04/29/2033 | EUR | 141 | 123 | |||||
| Series 10, Reg. S, 3.25%, 09/24/2027 | EUR | 698 | 668 | |||||
| Freeport-McMoRan, Inc., 4.13%, 03/01/2028 | 1,500 | 1,343 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Mining — continued |
||||||||
| Glencore Capital Finance DAC, (Ireland), | ||||||||
| Reg. S, 0.75%, 03/01/2029 | EUR | 1,000 | 734 | |||||
| Reg. S, 1.13%, 03/10/2028 | EUR | 2,000 | 1,588 | |||||
| Reg. S, 1.25%, 03/01/2033 | EUR | 2,225 | 1,431 | |||||
| Kinross Gold Corp., (Canada), 4.50%, 07/15/2027 | 2,500 | 2,329 | ||||||
| Norsk Hydro ASA, (Norway), | ||||||||
| Reg. S, 1.13%, 04/11/2025 | EUR | 900 | 823 | |||||
| Reg. S, 2.00%, 04/11/2029 | EUR | 400 | 319 | |||||
| Orano SA, (France), Reg. S, 2.75%, 03/08/2028 | EUR | 200 | 169 | |||||
| Rio Tinto Finance USA Ltd., (Australia), 2.75%, 11/02/2051 | 50 | 32 | ||||||
| Southern Copper Corp., | ||||||||
| 3.88%, 04/23/2025 | 35 | 34 | ||||||
| 5.88%, 04/23/2045 | 9 | 8 | ||||||
| 6.75%, 04/16/2040 | 10 | 10 | ||||||
| Teck Resources Ltd., (Canada), 5.40%, 02/01/2043 | 1,100 | 892 | ||||||
| Yamana Gold, Inc., (Canada), 2.63%, 08/15/2031 | 2,705 | 2,000 | ||||||
|
|
|
|||||||
| 15,334 | ||||||||
|
|
|
|||||||
| Total Basic Materials | 41,519 | |||||||
|
|
|
|||||||
| Communications — 1.0% |
||||||||
| Advertising — 0.0% (g) |
||||||||
| Interpublic Group of Cos., Inc. (The), 3.38%, 03/01/2041 | 44 | 29 | ||||||
| MMS USA Holdings, Inc., | ||||||||
| Reg. S, 0.63%, 06/13/2025 | EUR | 1,500 | 1,360 | |||||
| Reg. S, 1.25%, 06/13/2028 | EUR | 1,900 | 1,589 | |||||
|
|
|
|||||||
| 2,978 | ||||||||
|
|
|
|||||||
| Internet — 0.1% |
||||||||
| Alphabet, Inc., | ||||||||
| 1.90%, 08/15/2040 | 700 | 449 | ||||||
| 2.25%, 08/15/2060 | 65 | 37 | ||||||
| Amazon.com, Inc., | ||||||||
| 2.10%, 05/12/2031 | 30 | 24 | ||||||
| 2.88%, 05/12/2041 | 20 | 15 | ||||||
| 3.10%, 05/12/2051 | 100 | 70 | ||||||
| 3.25%, 05/12/2061 | 25 | 17 | ||||||
| 3.88%, 08/22/2037 | 20 | 17 | ||||||
| 4.25%, 08/22/2057 | 30 | 25 | ||||||
| Booking Holdings, Inc., | ||||||||
| 3.60%, 06/01/2026 | 50 | 47 | ||||||
| 4.63%, 04/13/2030 | 55 | 52 | ||||||
| Expedia Group, Inc., | ||||||||
| 3.25%, 02/15/2030 | 2,140 | 1,735 | ||||||
| 3.80%, 02/15/2028 | 700 | 622 | ||||||
| 4.63%, 08/01/2027 | 700 | 656 | ||||||
| Meta Platforms, Inc., | ||||||||
| 3.50%, 08/15/2027 (e) | 40 | 37 | ||||||
| 3.85%, 08/15/2032 (e) | 530 | 466 | ||||||
| 4.45%, 08/15/2052 (e) | 50 | 41 | ||||||
| 4.65%, 08/15/2062 (e) | 20 | 16 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Internet — continued |
||||||||
| VeriSign, Inc., | ||||||||
| 2.70%, 06/15/2031 | 80 | 62 | ||||||
| 4.75%, 07/15/2027 | 77 | 74 | ||||||
| 5.25%, 04/01/2025 | 132 | 131 | ||||||
|
|
|
|||||||
| 4,593 | ||||||||
|
|
|
|||||||
| Media — 0.4% | ||||||||
| Charter Communications Operating LLC / Charter Communications | ||||||||
| Operating Capital, | ||||||||
| 3.70%, 04/01/2051 | 3,140 | 1,903 | ||||||
| 4.50%, 02/01/2024 | 105 | 104 | ||||||
| 4.80%, 03/01/2050 | 80 | 58 | ||||||
| 4.91%, 07/23/2025 | 1,545 | 1,507 | ||||||
| 6.38%, 10/23/2035 | 30 | 27 | ||||||
| Comcast Corp., | ||||||||
| 0.25%, 09/14/2029 | EUR | 3,100 | 2,425 | |||||
| 1.88%, 02/20/2036 | GBP | 575 | 418 | |||||
| 1.95%, 01/15/2031 | 2,875 | 2,234 | ||||||
| 2.35%, 01/15/2027 | 57 | 51 | ||||||
| 2.65%, 08/15/2062 | 50 | 27 | ||||||
| 3.15%, 02/15/2028 | 98 | 89 | ||||||
| 3.20%, 07/15/2036 | 25 | 19 | ||||||
| 3.30%, 02/01/2027 | 1,940 | 1,804 | ||||||
| 3.97%, 11/01/2047 | 170 | 130 | ||||||
| 4.25%, 10/15/2030 | 120 | 111 | ||||||
| 4.60%, 10/15/2038 | 120 | 106 | ||||||
| Cox Communications, Inc., 3.50%, 08/15/2027 (e) | 3,180 | 2,913 | ||||||
| Discovery Communications LLC, 5.20%, 09/20/2047 | 1,100 | 812 | ||||||
| FactSet Research Systems, Inc., | ||||||||
| 2.90%, 03/01/2027 | 1,035 | 937 | ||||||
| 3.45%, 03/01/2032 | 280 | 228 | ||||||
| Informa plc, (United Kingdom), Reg. S, 1.25%, 04/22/2028 | EUR | 600 | 466 | |||||
| Paramount Global, 4.85%, 07/01/2042 | 2,080 | 1,520 | ||||||
| Pearson Funding plc, (United Kingdom), Reg. S, 3.75%, 06/04/2030 | GBP | 1,475 | 1,342 | |||||
| TDF Infrastructure SASU, (France), Reg. S, 1.75%, 12/01/2029 | EUR | 3,400 | 2,552 | |||||
| Time Warner Cable LLC, | ||||||||
| 4.50%, 09/15/2042 | 100 | 69 | ||||||
| 5.50%, 09/01/2041 | 800 | 628 | ||||||
| Vivendi SE, (France), Reg. S, 1.13%, 12/11/2028 | EUR | 600 | 496 | |||||
| Walt Disney Co. (The), 1.75%, 01/13/2026 | 45 | 41 | ||||||
| Wolters Kluwer NV, (Netherlands), | ||||||||
| Reg. S, 0.25%, 03/30/2028 | EUR | 1,300 | 1,055 | |||||
| Reg. S, 0.75%, 07/03/2030 | EUR | 775 | 598 | |||||
| Reg. S, 1.50%, 03/22/2027 | EUR | 2,275 | 2,048 | |||||
|
|
|
|||||||
| 26,718 | ||||||||
|
|
|
|||||||
| Telecommunications — 0.5% | ||||||||
| America Movil SAB de CV, (Mexico), | ||||||||
| 2.13%, 03/10/2028 | EUR | 700 | 629 | |||||
| 5.00%, 10/27/2026 | GBP | 100 | 105 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Telecommunications — continued |
||||||||
| AT&T, Inc., | ||||||||
| 1.65%, 02/01/2028 | 180 | 148 | ||||||
| 1.70%, 03/25/2026 | 230 | 204 | ||||||
| 1.80%, 09/05/2026 | EUR | 1,150 | 1,050 | |||||
| 1.80%, 09/14/2039 | EUR | 500 | 330 | |||||
| 2.05%, 05/19/2032 | EUR | 100 | 82 | |||||
| 2.45%, 03/15/2035 | EUR | 425 | 331 | |||||
| 3.50%, 06/01/2041 | 2,140 | 1,542 | ||||||
| 3.55%, 09/15/2055 | 10 | 6 | ||||||
| 3.65%, 06/01/2051 | 1,800 | 1,217 | ||||||
| 3.80%, 02/15/2027 | 40 | 37 | ||||||
| 3.80%, 12/01/2057 | 22 | 15 | ||||||
| 3.85%, 06/01/2060 | 70 | 47 | ||||||
| 4.25%, 06/01/2043 | GBP | 200 | 165 | |||||
| 4.30%, 12/15/2042 | 100 | 79 | ||||||
| 4.50%, 03/09/2048 | 15 | 12 | ||||||
| 4.75%, 05/15/2046 | 70 | 59 | ||||||
| 4.85%, 03/01/2039 | 195 | 169 | ||||||
| Reg. S, 5.50%, 03/15/2027 | GBP | 450 | 477 | |||||
| 7.00%, 04/30/2040 | GBP | 400 | 461 | |||||
| Bell Telephone Co. of Canada or Bell Canada (The), (Canada), | ||||||||
| Series US-3, 0.75%, 03/17/2024 | 45 | 42 | ||||||
| 3.65%, 08/15/2052 | 35 | 25 | ||||||
| Chorus Ltd., (New Zealand), Reg. S, 3.63%, 09/07/2029 | EUR | 1,350 | 1,283 | |||||
| CK Hutchison Group Telecom Finance SA, (Luxembourg), Reg. S, 0.38%, 10/17/2023 | EUR | 1,300 | 1,235 | |||||
| Corning, Inc., 5.45%, 11/15/2079 | 25 | 20 | ||||||
| Elisa OYJ, (Finland), Reg. S, 0.88%, 03/17/2024 | EUR | 100 | 95 | |||||
| Emirates Telecommunications Group Co. PJSC, (United Arab Emirates), | ||||||||
| Reg. S, 0.88%, 05/17/2033 | EUR | 300 | 225 | |||||
| Eutelsat SA, (France), Reg. S, 1.50%, 10/13/2028 | EUR | 1,000 | 779 | |||||
| Global Switch Holdings Ltd., (British Virgin Islands), Reg. S, 1.50%, 01/31/2024 | EUR | 450 | 427 | |||||
| Juniper Networks, Inc., 2.00%, 12/10/2030 | 141 | 104 | ||||||
| Level 3 Financing, Inc., 3.40%, 03/01/2027 (e) | 1,780 | 1,491 | ||||||
| Motorola Solutions, Inc., | ||||||||
| 2.30%, 11/15/2030 | 47 | 35 | ||||||
| 2.75%, 05/24/2031 | 410 | 313 | ||||||
| 4.60%, 05/23/2029 | 40 | 37 | ||||||
| 5.50%, 09/01/2044 | 120 | 102 | ||||||
| Orange SA, (France), | ||||||||
| Reg. S, 0.00%, 09/04/2026 | EUR | 2,000 | 1,727 | |||||
| Reg. S, 0.50%, 09/04/2032 | EUR | 2,000 | 1,434 | |||||
| Reg. S, 3.25%, 01/15/2032 | GBP | 1,100 | 984 | |||||
| OTE plc, (United Kingdom), Reg. S, 0.88%, 09/24/2026 | EUR | 100 | 89 | |||||
| Proximus SADP, (Belgium), | ||||||||
| Reg. S, 1.88%, 10/01/2025 | EUR | 100 | 95 | |||||
| Reg. S, 2.38%, 04/04/2024 | EUR | 100 | 97 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Telecommunications — continued |
||||||||
| Rogers Communications, Inc., (Canada), | ||||||||
| 3.20%, 03/15/2027 (e) | 57 | 52 | ||||||
| 3.80%, 03/15/2032 (e) | 68 | 59 | ||||||
| 4.50%, 03/15/2042 (e) | 51 | 41 | ||||||
| 4.55%, 03/15/2052 (e) | 32 | 25 | ||||||
| SES SA, (Luxembourg), Reg. S, 3.50%, 01/14/2029 | EUR | 1,200 | 1,058 | |||||
| SingTel Group Treasury Pte Ltd., (Singapore), Reg. S, (SGD Swap Rate 10 Year + 1.90%), 3.30%, 07/14/2031 (x) (aa) | SGD | 250 | 153 | |||||
| Sprint Corp., | ||||||||
| 7.63%, 02/15/2025 | 2,800 | 2,871 | ||||||
| 7.63%, 03/01/2026 | 2,500 | 2,587 | ||||||
| Telefonaktiebolaget LM Ericsson, (Sweden), | ||||||||
| Reg. S, 1.00%, 05/26/2029 | EUR | 1,415 | 993 | |||||
| Reg. S, 1.88%, 03/01/2024 | EUR | 1,000 | 944 | |||||
| Telenor ASA, (Norway), Reg. S, 0.25%, 02/14/2028 | EUR | 700 | 576 | |||||
| Telia Co. AB, (Sweden), Reg. S, 2.13%, 02/20/2034 | EUR | 700 | 566 | |||||
| Telstra Corp. Ltd., (Australia), Reg. S, 1.00%, 04/23/2030 | EUR | 1,800 | 1,464 | |||||
| T-Mobile USA, Inc., | ||||||||
| 1.50%, 02/15/2026 | 10 | 9 | ||||||
| 2.63%, 04/15/2026 | 110 | 100 | ||||||
| 3.00%, 02/15/2041 | 50 | 33 | ||||||
| 3.30%, 02/15/2051 | 70 | 46 | ||||||
| 3.60%, 11/15/2060 | 125 | 80 | ||||||
| 3.88%, 04/15/2030 | 3,420 | 3,032 | ||||||
| 4.50%, 04/15/2050 | 55 | 44 | ||||||
| 5.20%, 01/15/2033 | 165 | 158 | ||||||
| Verizon Communications, Inc., | ||||||||
| 0.88%, 04/02/2025 | EUR | 750 | 697 | |||||
| 0.88%, 04/08/2027 | EUR | 475 | 415 | |||||
| 1.50%, 09/19/2039 | EUR | 700 | 456 | |||||
| 1.68%, 10/30/2030 | 78 | 58 | ||||||
| 1.88%, 11/03/2038 | GBP | 200 | 124 | |||||
| 2.10%, 03/22/2028 | 50 | 42 | ||||||
| 2.50%, 04/08/2031 | GBP | 1,000 | 838 | |||||
| 2.55%, 03/21/2031 | 650 | 520 | ||||||
| 2.65%, 11/20/2040 | 1,070 | 697 | ||||||
| 3.00%, 11/20/2060 | 15 | 9 | ||||||
| 3.25%, 02/17/2026 | EUR | 200 | 195 | |||||
| 3.38%, 02/15/2025 | 90 | 87 | ||||||
| 3.55%, 03/22/2051 | 385 | 271 | ||||||
| 4.07%, 06/18/2024 | GBP | 100 | 108 | |||||
| 4.13%, 08/15/2046 | 80 | 63 | ||||||
| 4.27%, 01/15/2036 | 25 | 21 | ||||||
| 4.40%, 11/01/2034 | 20 | 18 | ||||||
| 4.86%, 08/21/2046 | 125 | 108 | ||||||
|
|
|
|||||||
| 37,422 | ||||||||
|
|
|
|||||||
| Total Communications | 71,711 | |||||||
|
|
|
|||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Consumer Cyclical — 1.1% | ||||||||
| Airlines — 0.0% (g) |
||||||||
| easyJet FinCo. BV, (Netherlands), Reg. S, 1.88%, 03/03/2028 | EUR | 1,200 | 910 | |||||
| Southwest Airlines Co., 5.13%, 06/15/2027 | 1,150 | 1,127 | ||||||
| United Airlines, Inc., | ||||||||
| 4.38%, 04/15/2026 (e) | 525 | 468 | ||||||
| 4.63%, 04/15/2029 (e) | 360 | 299 | ||||||
|
|
|
|||||||
| 2,804 | ||||||||
|
|
|
|||||||
| Apparel — 0.1% | ||||||||
| Burberry Group plc, (United Kingdom), Reg. S, 1.13%, 09/21/2025 | GBP | 425 | 404 | |||||
| LVMH Moet Hennessy Louis Vuitton SE, (France), | ||||||||
| Reg. S, 0.13%, 02/11/2028 | EUR | 800 | 672 | |||||
| Reg. S, 0.75%, 04/07/2025 | EUR | 300 | 281 | |||||
| Tapestry, Inc., 4.13%, 07/15/2027 | 2,020 | 1,869 | ||||||
| VF Corp., 2.40%, 04/23/2025 | 25 | 23 | ||||||
|
|
|
|||||||
| 3,249 | ||||||||
|
|
|
|||||||
| Auto Manufacturers — 0.6% | ||||||||
| American Honda Finance Corp., | ||||||||
| 0.75%, 11/25/2026 | GBP | 4,800 | 4,273 | |||||
| 1.50%, 10/19/2027 | GBP | 2,300 | 2,052 | |||||
| BMW US Capital LLC, 3.90%, 04/09/2025 (e) | 1,100 | 1,068 | ||||||
| Cummins, Inc., 2.60%, 09/01/2050 | 60 | 38 | ||||||
| Dongfeng Motor Hong Kong International Co. Ltd., (Hong Kong), Reg. S, 0.43%, 10/19/2024 | EUR | 300 | 274 | |||||
| Ford Motor Co., 3.25%, 02/12/2032 | 700 | 503 | ||||||
| Ford Motor Credit Co. LLC, | ||||||||
| 4.00%, 11/13/2030 | 545 | 425 | ||||||
| 4.95%, 05/28/2027 | 3,065 | 2,724 | ||||||
| General Motors Co., | ||||||||
| 5.20%, 04/01/2045 | 425 | 324 | ||||||
| 6.25%, 10/02/2043 | 295 | 256 | ||||||
| 6.60%, 04/01/2036 | 520 | 486 | ||||||
| General Motors Financial Co., Inc., | ||||||||
| Reg. S, 1.69%, 03/26/2025 | EUR | 775 | 709 | |||||
| 1.70%, 08/18/2023 | 70 | 68 | ||||||
| Reg. S, 2.25%, 09/06/2024 | GBP | 700 | 713 | |||||
| Reg. S, 2.35%, 09/03/2025 | GBP | 1,225 | 1,190 | |||||
| 2.35%, 02/26/2027 | 110 | 93 | ||||||
| 2.70%, 08/20/2027 | 1,450 | 1,228 | ||||||
| 2.70%, 06/10/2031 | 585 | 429 | ||||||
| 2.75%, 06/20/2025 | 180 | 166 | ||||||
| 2.90%, 02/26/2025 | 45 | 42 | ||||||
| 5.00%, 04/09/2027 | 1,120 | 1,062 | ||||||
| Harley-Davidson Financial Services, Inc., Reg. S, 3.88%, 05/19/2023 | EUR | 425 | 416 | |||||
| Mercedes-Benz Group AG, (Germany), | ||||||||
| Reg. S, 1.13%, 11/06/2031 | EUR | 15 | 11 | |||||
| Reg. S, 2.13%, 07/03/2037 | EUR | 775 | 606 | |||||
| Mercedes-Benz International Finance BV, (Netherlands), | ||||||||
| Reg. S, 1.63%, 08/22/2023 | EUR | 20 | 19 | |||||
| Reg. S, 2.63%, 04/07/2025 | EUR | 1,760 | 1,707 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Nissan Motor Acceptance Co. LLC, 1.13%, 09/16/2024 (e) | 1,600 | 1,454 | ||||||
| Nissan Motor Co. Ltd., (Japan), | ||||||||
| Reg. S, 2.65%, 03/17/2026 | EUR | 1,200 | 1,080 | |||||
| Reg. S, 3.20%, 09/17/2028 | EUR | 1,000 | 838 | |||||
| 3.52%, 09/17/2025 (e) | 3,000 | 2,760 | ||||||
| RCI Banque SA, (France), | ||||||||
| Reg. S, 4.75%, 07/06/2027 | EUR | 1,100 | 1,055 | |||||
| Reg. S, 4.88%, 09/21/2028 | EUR | 1,775 | 1,679 | |||||
| Stellantis Finance US, Inc., 2.69%, 09/15/2031 (e) | 460 | 328 | ||||||
| Toyota Motor Credit Corp., | ||||||||
| 0.80%, 01/09/2026 | 200 | 176 | ||||||
| 3.95%, 06/30/2025 | 175 | 171 | ||||||
| Volkswagen Bank GmbH, (Germany), | ||||||||
| Reg. S, 0.75%, 06/15/2023 | EUR | 300 | 289 | |||||
| Reg. S, 1.25%, 06/10/2024 | EUR | 1,500 | 1,416 | |||||
| Volkswagen Financial Services AG, (Germany), | ||||||||
| Reg. S, 1.38%, 10/16/2023 | EUR | 900 | 864 | |||||
| Reg. S, 2.25%, 10/16/2026 | EUR | 10 | 9 | |||||
| Reg. S, 2.50%, 04/06/2023 | EUR | 915 | 895 | |||||
| Reg. S, 3.00%, 04/06/2025 | EUR | 20 | 20 | |||||
| Reg. S, 3.38%, 04/06/2028 | EUR | 1,450 | 1,359 | |||||
| Volkswagen Financial Services NV, (Netherlands), Reg. S, 1.13%, 07/05/2026 | GBP | 1,000 | 892 | |||||
| Volkswagen Group of America Finance LLC, 4.35%, 06/08/2027 (e) | 1,540 | 1,447 | ||||||
| Volkswagen International Finance NV, (Netherlands), | ||||||||
| Reg. S, 0.05%, 06/10/2024 | EUR | 400 | 370 | |||||
| Reg. S, (EUR Swap Rate 5 Year + 3.75%), 3.50%, 06/17/2025 (x) (aa) | EUR | 1,000 | 889 | |||||
| Reg. S, (EUR Swap Rate 9 Year + 3.96%), 3.88%, 06/17/2029 (x) (aa) | EUR | 2,000 | 1,581 | |||||
| Reg. S, 4.13%, 11/16/2038 | EUR | 1,000 | 888 | |||||
| Reg. S, (EUR Swap Rate 12 Year + 2.97%), 4.63%, 03/24/2026 (x) (aa) | EUR | 210 | 193 | |||||
| Volkswagen Leasing GmbH, (Germany), Reg. S, 0.63%, 07/19/2029 | EUR | 500 | 379 | |||||
|
|
|
|||||||
| 41,914 | ||||||||
|
|
|
|||||||
| Auto Parts & Equipment — 0.1% | ||||||||
| Aptiv plc, (Jersey), 1.50%, 03/10/2025 | EUR | 425 | 390 | |||||
| Autoliv, Inc., Reg. S, 0.75%, 06/26/2023 | EUR | 700 | 671 | |||||
| Cie Generale des Etablissements Michelin SCA, (France), Reg. S, 0.63%, 11/02/2040 | EUR | 300 | 164 | |||||
| Magna International, Inc., (Canada), | ||||||||
| 1.90%, 11/24/2023 | EUR | 1,125 | 1,089 | |||||
| 2.45%, 06/15/2030 | 1,000 | 809 | ||||||
| 4.15%, 10/01/2025 | 2,000 | 1,951 | ||||||
|
|
|
|||||||
| 5,074 | ||||||||
|
|
|
|||||||
| Distribution/Wholesale — 0.0% (g) |
||||||||
| Bunzl Finance plc, (United Kingdom), Reg. S, 1.50%, 10/30/2030 | GBP | 550 | 420 | |||||
| IMCD NV, (Netherlands), Reg. S, 2.13%, 03/31/2027 | EUR | 1,100 | 953 | |||||
|
|
|
|||||||
| 1,373 | ||||||||
|
|
|
|||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Entertainment — 0.0% (g) |
||||||||
| Universal Music Group NV, (Netherlands), Reg. S, 3.00%, 06/30/2027 | EUR | 1,050 | 989 | |||||
| Warnermedia Holdings, Inc., | ||||||||
| 4.28%, 03/15/2032 (e) | 745 | 613 | ||||||
| 5.05%, 03/15/2042 (e) | 705 | 528 | ||||||
| 5.14%, 03/15/2052 (e) | 1,140 | 827 | ||||||
|
|
|
|||||||
| 2,957 | ||||||||
|
|
|
|||||||
| Home Builders — 0.0% (g) |
||||||||
| Berkeley Group plc (The), (United Kingdom), Reg. S, 2.50%, 08/11/2031 | GBP | 172 | 117 | |||||
| NVR, Inc., 3.00%, 05/15/2030 | 139 | 113 | ||||||
|
|
|
|||||||
| 230 | ||||||||
|
|
|
|||||||
| Home Furnishings — 0.0% (g) |
||||||||
| Whirlpool Finance Luxembourg Sarl, (Luxembourg), |
||||||||
| 1.10%, 11/09/2027 | EUR | 225 | 188 | |||||
| 1.25%, 11/02/2026 | EUR | 200 | 178 | |||||
|
|
|
|||||||
| 366 | ||||||||
|
|
|
|||||||
| Housewares — 0.1% |
||||||||
| Newell Brands, Inc., |
||||||||
| 4.45%, 04/01/2026 | 650 | 599 | ||||||
| 4.88%, 06/01/2025 | 2,710 | 2,625 | ||||||
|
|
|
|||||||
| 3,224 | ||||||||
|
|
|
|||||||
| Lodging — 0.1% |
||||||||
| Choice Hotels International, Inc., |
||||||||
| 3.70%, 12/01/2029 | 85 | 71 | ||||||
| 3.70%, 01/15/2031 | 190 | 158 | ||||||
| InterContinental Hotels Group plc, (United Kingdom), | ||||||||
| Reg. S, 2.13%, 08/24/2026 | GBP | 600 | 544 | |||||
| Reg. S, 2.13%, 05/15/2027 | EUR | 933 | 806 | |||||
| Reg. S, 3.38%, 10/08/2028 | GBP | 450 | 397 | |||||
| Reg. S, 3.75%, 08/14/2025 | GBP | 100 | 101 | |||||
| Marriott International, Inc., | ||||||||
| Series HH, 2.85%, 04/15/2031 | 550 | 432 | ||||||
| 5.00%, 10/15/2027 | 795 | 768 | ||||||
| Whitbread Group plc, (United Kingdom), Reg. S, 2.38%, 05/31/2027 | GBP | 1,500 | 1,326 | |||||
|
|
|
|||||||
| 4,603 | ||||||||
|
|
|
|||||||
| Retail — 0.1% |
||||||||
| AutoNation, Inc., 4.75%, 06/01/2030 | 1,300 | 1,145 | ||||||
| AutoZone, Inc., 1.65%, 01/15/2031 | 2,595 | 1,927 | ||||||
| Costco Wholesale Corp., 1.60%, 04/20/2030 | 40 | 32 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Retail — continued |
||||||||
| Dollar General Corp., 4.15%, 11/01/2025 |
10 | 10 | ||||||
| Genuine Parts Co., | ||||||||
| 1.88%, 11/01/2030 |
270 | 201 | ||||||
| 2.75%, 02/01/2032 |
165 | 127 | ||||||
| Home Depot, Inc. (The), | ||||||||
| 2.50%, 04/15/2027 |
100 | 91 | ||||||
| 3.50%, 09/15/2056 |
95 | 67 | ||||||
| 4.20%, 04/01/2043 |
800 | 672 | ||||||
| 5.88%, 12/16/2036 |
90 | 93 | ||||||
| Lowe’s Cos., Inc., | ||||||||
| 3.00%, 10/15/2050 |
50 | 31 | ||||||
| 3.35%, 04/01/2027 |
40 | 37 | ||||||
| McDonald’s Corp., | ||||||||
| Reg. S, 2.38%, 11/27/2024 |
EUR | 800 | 776 | |||||
| 3.38%, 05/26/2025 |
50 | 48 | ||||||
| 5.15%, 09/09/2052 |
45 | 42 | ||||||
| 6.30%, 03/01/2038 |
50 | 52 | ||||||
| Next Group plc, (United Kingdom), | ||||||||
| Reg. S, 3.00%, 08/26/2025 |
GBP | 225 | 223 | |||||
| Reg. S, 3.63%, 05/18/2028 |
GBP | 1,075 | 962 | |||||
| Reg. S, 4.38%, 10/02/2026 |
GBP | 300 | 296 | |||||
| Walmart, Inc., | ||||||||
| 2.55%, 04/08/2026 |
EUR | 2,550 | 2,461 | |||||
| 2.65%, 09/22/2051 |
20 | 13 | ||||||
|
|
|
|||||||
| 9,306 | ||||||||
|
|
|
|||||||
| Total Consumer Cyclical |
75,100 | |||||||
|
|
|
|||||||
| Consumer Non-cyclical — 2.8% | ||||||||
| Agriculture — 0.4% | ||||||||
| Altria Group, Inc., | ||||||||
| 2.20%, 06/15/2027 |
EUR | 1,800 | 1,555 | |||||
| 3.40%, 02/04/2041 |
75 | 47 | ||||||
| 3.70%, 02/04/2051 |
150 | 91 | ||||||
| 3.88%, 09/16/2046 |
40 | 25 | ||||||
| 4.00%, 02/04/2061 |
10 | 6 | ||||||
| 5.38%, 01/31/2044 |
65 | 53 | ||||||
| 5.95%, 02/14/2049 |
10 | 8 | ||||||
| 6.20%, 02/14/2059 |
58 | 50 | ||||||
| BAT Capital Corp., | ||||||||
| Reg. S, 1.13%, 11/16/2023 |
EUR | 100 | 95 | |||||
| 2.26%, 03/25/2028 |
100 | 80 | ||||||
| 2.73%, 03/25/2031 |
60 | 45 | ||||||
| 2.79%, 09/06/2024 |
85 | 81 | ||||||
| 3.22%, 08/15/2024 |
100 | 96 | ||||||
| 3.56%, 08/15/2027 |
2,450 | 2,151 | ||||||
| 3.73%, 09/25/2040 |
45 | 29 | ||||||
| 3.98%, 09/25/2050 |
45 | 27 | ||||||
| 4.54%, 08/15/2047 |
50 | 33 | ||||||
| 4.74%, 03/16/2032 |
180 | 150 | ||||||
| 4.76%, 09/06/2049 |
85 | 58 | ||||||
| 5.65%, 03/16/2052 |
60 | 46 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Agriculture — continued |
||||||||
| BAT International Finance plc, (United Kingdom), | ||||||||
| Reg. S, 2.25%, 01/16/2030 |
EUR | 4,300 | 3,255 | |||||
| Reg. S, 2.38%, 01/19/2023 |
EUR | 3,800 | 3,722 | |||||
| 3.95%, 06/15/2025 (e) |
70 | 67 | ||||||
| Reg. S, 6.00%, 11/24/2034 |
GBP | 600 | 538 | |||||
| Reg. S, 7.25%, 03/12/2024 | GBP | 235 | 261 | |||||
| Bunge Finance Europe BV, (Netherlands), 1.85%, 06/16/2023 | EUR | 300 | 290 | |||||
| Bunge Ltd. Finance Corp., |
||||||||
| 1.63%, 08/17/2025 | 70 | 63 | ||||||
| 3.75%, 09/25/2027 | 30 | 28 | ||||||
| Cargill, Inc., |
||||||||
| 1.70%, 02/02/2031 (e) | 750 | 573 | ||||||
| 2.13%, 04/23/2030 (e) | 1,500 | 1,215 | ||||||
| Imperial Brands Finance plc, (United Kingdom), | ||||||||
| Reg. S, 2.13%, 02/12/2027 | EUR | 1,500 | 1,288 | |||||
| Reg. S, 3.38%, 02/26/2026 | EUR | 2,661 | 2,463 | |||||
| JT International Financial Services BV, (Netherlands), | ||||||||
| Reg. S, 1.00%, 11/26/2029 | EUR | 2,600 | 1,956 | |||||
| Reg. S, 1.13%, 09/28/2025 | EUR | 1,100 | 998 | |||||
| Reg. S, 2.75%, 09/28/2033 | GBP | 975 | 765 | |||||
| Philip Morris International, Inc., |
||||||||
| 0.63%, 11/08/2024 | EUR | 1,400 | 1,297 | |||||
| 0.88%, 05/01/2026 | 100 | 86 | ||||||
| 1.50%, 05/01/2025 | 34 | 31 | ||||||
| 1.75%, 11/01/2030 | 70 | 51 | ||||||
| 2.88%, 03/03/2026 | EUR | 2,200 | 2,079 | |||||
| 2.88%, 05/14/2029 | EUR | 1,250 | 1,075 | |||||
| 4.25%, 11/10/2044 | 265 | 186 | ||||||
| 4.88%, 11/15/2043 | 105 | 80 | ||||||
| 6.38%, 05/16/2038 | 175 | 166 | ||||||
| STG Global Finance BV, (Netherlands), Reg. S, 1.38%, 09/24/2025 | EUR | 344 | 308 | |||||
| Viterra Finance BV, (Netherlands), | ||||||||
| Reg. S, 0.38%, 09/24/2025 | EUR | 1,000 | 849 | |||||
| Reg. S, 1.00%, 09/24/2028 | EUR | 2,050 | 1,500 | |||||
|
|
|
|||||||
| 29,916 | ||||||||
|
|
|
|||||||
| Beverages — 0.4% | ||||||||
| Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc., |
||||||||
| 3.65%, 02/01/2026 | 50 | 48 | ||||||
| 4.70%, 02/01/2036 | 1,700 | 1,534 | ||||||
| 4.90%, 02/01/2046 | 1,600 | 1,387 | ||||||
| Anheuser-Busch InBev SA, (Belgium), Reg. S, 2.75%, 03/17/2036 | EUR | 890 | 726 | |||||
| Anheuser-Busch InBev Worldwide, Inc., 5.55%, 01/23/2049 | 50 | 47 | ||||||
| CCEP Finance Ireland DAC, (Ireland), Reg. S, 0.50%, 09/06/2029 | EUR | 1,000 | 783 | |||||
| Coca-Cola Co. (The), |
||||||||
| 0.13%, 03/09/2029 | EUR | 3,500 | 2,770 | |||||
| 0.13%, 03/15/2029 | EUR | 1,700 | 1,348 | |||||
| 1.00%, 03/09/2041 | EUR | 400 | 245 | |||||
| 2.50%, 06/01/2040 | 90 | 63 | ||||||
| 2.75%, 06/01/2060 | 35 | 22 | ||||||
| 3.00%, 03/05/2051 | 245 | 171 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Beverages — continued |
||||||||
| Coca-Cola Europacific Partners plc, (United Kingdom), Reg. S, 2.38%, 05/07/2025 | EUR | 2,000 | 1,923 | |||||
| Coca-Cola Femsa SAB de CV, (Mexico), | ||||||||
| 1.85%, 09/01/2032 | 150 | 111 | ||||||
| 2.75%, 01/22/2030 | 450 | 388 | ||||||
| Coca-Cola HBC Finance BV, (Netherlands), Reg. S, 1.63%, 05/14/2031 | EUR | 1,000 | 790 | |||||
| Constellation Brands, Inc., |
||||||||
| 2.25%, 08/01/2031 | 50 | 38 | ||||||
| 3.50%, 05/09/2027 | 50 | 46 | ||||||
| 3.70%, 12/06/2026 | 25 | 24 | ||||||
| 3.75%, 05/01/2050 | 10 | 7 | ||||||
| 4.75%, 05/09/2032 | 120 | 112 | ||||||
| Diageo Capital BV, (Netherlands), Reg. S, 0.13%, 09/28/2028 | EUR | 4,000 | 3,228 | |||||
| Diageo Capital plc, (United Kingdom), |
||||||||
| 2.13%, 04/29/2032 | 280 | 217 | ||||||
| 3.88%, 04/29/2043 | 10 | 8 | ||||||
| Diageo Finance plc, (United Kingdom), | ||||||||
| Reg. S, 1.88%, 03/27/2027 | EUR | 1,000 | 920 | |||||
| Reg. S, 2.50%, 03/27/2032 | EUR | 600 | 529 | |||||
| Reg. S, 2.75%, 06/08/2038 | GBP | 625 | 482 | |||||
| Diageo Investment Corp., 4.25%, 05/11/2042 | 20 | 17 | ||||||
| Greene King Finance plc, (United Kingdom), Series A2, 5.32%, 09/15/2031 | GBP | 29 | 29 | |||||
| Heineken NV, (Netherlands), Reg. S, 2.88%, 08/04/2025 | EUR | 1,300 | 1,267 | |||||
| Keurig Dr Pepper, Inc., |
||||||||
| 3.95%, 04/15/2029 | 103 | 93 | ||||||
| 4.05%, 04/15/2032 | 290 | 254 | ||||||
| 4.50%, 04/15/2052 | 120 | 95 | ||||||
| PepsiCo., Inc., |
||||||||
| 0.40%, 10/09/2032 | EUR | 1,200 | 856 | |||||
| 0.75%, 10/14/2033 | EUR | 2,950 | 2,130 | |||||
| 3.20%, 07/22/2029 | GBP | 750 | 720 | |||||
| 3.45%, 10/06/2046 | 15 | 12 | ||||||
| 3.55%, 07/22/2034 | GBP | 1,400 | 1,288 | |||||
| 3.60%, 02/18/2028 | 55 | 52 | ||||||
| 3.90%, 07/18/2032 | 100 | 93 | ||||||
| Pernod Ricard SA, (France), Reg. S, 1.13%, 04/07/2025 | EUR | 1,600 | 1,496 | |||||
|
|
|
|||||||
| 26,369 | ||||||||
|
|
|
|||||||
| Biotechnology — 0.0% (g) |
||||||||
| Amgen, Inc., |
||||||||
| 1.90%, 02/21/2025 | 100 | 93 | ||||||
| 3.63%, 05/22/2024 | 10 | 10 | ||||||
| 4.05%, 08/18/2029 | 145 | 133 | ||||||
| 4.40%, 02/22/2062 | 50 | 39 | ||||||
| 4.88%, 03/01/2053 | 45 | 40 | ||||||
| Regeneron Pharmaceuticals, Inc., |
||||||||
| 1.75%, 09/15/2030 | 300 | 227 | ||||||
| 2.80%, 09/15/2050 | 55 | 33 | ||||||
| Royalty Pharma plc, (United Kingdom), 3.55%, 09/02/2050 | 35 | 22 | ||||||
|
|
|
|||||||
| 597 | ||||||||
|
|
|
|||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Commercial Services — 0.5% | ||||||||
| Abertis Infraestructuras SA, (Spain), Reg. S, 3.38%, 11/27/2026 | GBP | 400 | 377 | |||||
| ALD SA, (France), | ||||||||
| Reg. S, 1.25%, 10/11/2022 | EUR | 2,500 | 2,450 | |||||
| Reg. S, 1.25%, 03/02/2026 | EUR | 3,000 | 2,641 | |||||
| Amadeus IT Group SA, (Spain), Reg. S, 0.88%, 09/18/2023 | EUR | 2,000 | 1,919 | |||||
| American University (The), Series 2019, 3.67%, 04/01/2049 | 30 | 23 | ||||||
| Automatic Data Processing, Inc., |
||||||||
| 1.25%, 09/01/2030 | 1,590 | 1,222 | ||||||
| 1.70%, 05/15/2028 | 90 | 77 | ||||||
| Autoroutes du Sud de la France SA, (France), Reg. S, 1.25%, 01/18/2027 | EUR | 2,000 | 1,807 | |||||
| Block Financial LLC, 2.50%, 07/15/2028 | 39 | 32 | ||||||
| California Institute of Technology, 4.70%, 11/01/2111 | 25 | 21 | ||||||
| Central Nippon Expressway Co. Ltd., (Japan), | ||||||||
| Reg. S, 0.89%, 09/29/2025 | 600 | 530 | ||||||
| Reg. S, 0.89%, 12/10/2025 | 200 | 176 | ||||||
| Reg. S, 1.87%, 09/26/2024 | AUD | 1,000 | 600 | |||||
| Channel Link Enterprises Finance plc, (United Kingdom), Series A8, | ||||||||
| Reg. S, (ICE LIBOR EUR 6 Month + 5.90%), 2.71%, 06/30/2050 (aa) | EUR | 100 | 89 | |||||
| Cintas Corp. No. 2, 3.70%, 04/01/2027 | 30 | 28 | ||||||
| Duke University, Series 2020, 2.68%, 10/01/2044 | 20 | 14 | ||||||
| East Nippon Expressway Co. Ltd., (Japan), Series 66, 0.10%, 12/18/2026 | JPY | 100,000 | 687 | |||||
| Equifax, Inc., |
||||||||
| 2.35%, 09/15/2031 | 850 | 638 | ||||||
| 2.60%, 12/15/2025 | 110 | 101 | ||||||
| 3.10%, 05/15/2030 | 1,800 | 1,494 | ||||||
| 5.10%, 12/15/2027 | 1,280 | 1,239 | ||||||
| ERAC USA Finance LLC, |
||||||||
| 2.70%, 11/01/2023 (e) | 3,200 | 3,115 | ||||||
| 3.85%, 11/15/2024 (e) | 160 | 154 | ||||||
| 4.50%, 02/15/2045 (e) | 400 | 307 | ||||||
| 7.00%, 10/15/2037 (e) | 800 | 835 | ||||||
| Experian Finance plc, (United Kingdom), | ||||||||
| Reg. S, 0.74%, 10/29/2025 | GBP | 300 | 285 | |||||
| Reg. S, 1.38%, 06/25/2026 | EUR | 1,125 | 1,025 | |||||
| Reg. S, 3.25%, 04/07/2032 | GBP | 225 | 202 | |||||
| George Washington University (The), Series 2014, 4.30%, 09/15/2044 | 30 | 26 | ||||||
| Global Payments, Inc., |
||||||||
| 1.20%, 03/01/2026 | 50 | 43 | ||||||
| 2.65%, 02/15/2025 | 60 | 56 | ||||||
| 5.95%, 08/15/2052 | 40 | 35 | ||||||
| Holding d’Infrastructures de Transport SASU, (France), | ||||||||
| Reg. S, 0.63%, 09/14/2028 | EUR | 300 | 235 | |||||
| Reg. S, 2.50%, 05/04/2027 | EUR | 1,600 | 1,447 | |||||
| ISS Global A/S, (Denmark), Reg. S, 1.50%, 08/31/2027 | EUR | 900 | 761 | |||||
| Johns Hopkins University, Series A, 2.81%, 01/01/2060 | 600 | 372 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Commercial Services — continued |
||||||||
| Massachusetts Institute of Technology, | ||||||||
| Series F, 2.99%, 07/01/2050 | 20 | 15 | ||||||
| 3.89%, 07/01/2116 | 663 | 469 | ||||||
| 4.68%, 07/01/2114 | 500 | 426 | ||||||
| Moody’s Corp., 1.75%, 03/09/2027 | EUR | 1,125 | 1,015 | |||||
| Northwestern University, Series 2020, 2.64%, 12/01/2050 | 10 | 7 | ||||||
| President and Fellows of Harvard College, 2.52%, 10/15/2050 | 10 | 6 | ||||||
| Quanta Services, Inc., |
||||||||
| 0.95%, 10/01/2024 | 80 | 73 | ||||||
| 2.90%, 10/01/2030 | 116 | 93 | ||||||
| 3.05%, 10/01/2041 | 175 | 111 | ||||||
| RELX Capital, Inc., 4.75%, 05/20/2032 | 610 | 572 | ||||||
| RELX Finance BV, (Netherlands), | ||||||||
| Reg. S, 0.00%, 03/18/2024 | EUR | 100 | 94 | |||||
| Reg. S, 0.88%, 03/10/2032 | EUR | 2,000 | 1,482 | |||||
| Rentokil Initial Finance BV, (Netherlands), | ||||||||
| Reg. S, 3.88%, 06/27/2027 | EUR | 925 | 890 | |||||
| Reg. S, 4.38%, 06/27/2030 | EUR | 1,000 | 966 | |||||
| Rockefeller Foundation (The), Series 2020, 2.49%, 10/01/2050 | 5 | 3 | ||||||
| S&P Global, Inc., |
||||||||
| 2.30%, 08/15/2060 | 91 | 48 | ||||||
| 2.45%, 03/01/2027 (e) | 35 | 31 | ||||||
| Transurban Finance Co. Pty Ltd., (Australia), | ||||||||
| Reg. S, 1.75%, 03/29/2028 | EUR | 1,000 | 856 | |||||
| Reg. S, 3.00%, 04/08/2030 | EUR | 1,100 | 962 | |||||
| Triton Container International Ltd. / TAL International Container Corp., (Bermuda), 3.25%, 03/15/2032 | 40 | 30 | ||||||
| Trustees of Princeton University (The), | ||||||||
| Series 2020, 2.52%, 07/01/2050 | 20 | 13 | ||||||
| 4.20%, 03/01/2052 | 1,295 | 1,171 | ||||||
| United Rentals North America, Inc., 3.88%, 11/15/2027 | 29 | 26 | ||||||
| University of Southern California, |
||||||||
| 2.81%, 10/01/2050 | 20 | 14 | ||||||
| Series 21A, 2.95%, 10/01/2051 | 10 | 7 | ||||||
| Verisk Analytics, Inc., 5.50%, 06/15/2045 | 43 | 40 | ||||||
| Washington University (The), | ||||||||
| Series 2022, 3.52%, 04/15/2054 | 900 | 698 | ||||||
| 4.35%, 04/15/2122 | 255 | 194 | ||||||
| Wellcome Trust Ltd. (The), (United Kingdom), | ||||||||
| Reg. S, 1.50%, 07/14/2071 | GBP | 500 | 237 | |||||
| Reg. S, 2.52%, 02/07/2118 | GBP | 200 | 121 | |||||
| West Nippon Expressway Co. Ltd., (Japan), Series 29, 0.31%, 02/12/2026 | JPY | 200,000 | 1,387 | |||||
|
|
|
|||||||
| 37,120 | ||||||||
|
|
|
|||||||
| Cosmetics/Personal Care — 0.1% | ||||||||
| Colgate-Palmolive Co., 3.25%, 08/15/2032 | 120 | 107 | ||||||
| Estee Lauder Cos., Inc. (The), |
||||||||
| 2.60%, 04/15/2030 | 60 | 51 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Cosmetics/Personal Care — continued |
||||||||
| 3.13%, 12/01/2049 | 20 | 14 | ||||||
| Procter & Gamble Co. (The), |
||||||||
| 0.35%, 05/05/2030 | EUR | 2,800 | 2,208 | |||||
| 0.63%, 10/30/2024 | EUR | 1,450 | 1,366 | |||||
| 1.88%, 10/30/2038 | EUR | 1,125 | 882 | |||||
| 3.60%, 03/25/2050 | 35 | 29 | ||||||
| 4.88%, 05/11/2027 | EUR | 425 | 447 | |||||
| Reckitt Benckiser Treasury Services Nederland BV, (Netherlands), Reg. S, 0.75%, 05/19/2030 | EUR | 1,600 | 1,273 | |||||
| Unilever Finance Netherlands BV, (Netherlands), | ||||||||
| Reg. S, 0.50%, 08/12/2023 | EUR | 1,400 | 1,348 | |||||
| Reg. S, 0.75%, 02/28/2026 | EUR | 1,275 | 1,157 | |||||
| Reg. S, 1.13%, 02/12/2027 | EUR | 425 | 383 | |||||
|
|
|
|||||||
| 9,265 | ||||||||
|
|
|
|||||||
| Food — 0.3% | ||||||||
| Campbell Soup Co., 3.95%, 03/15/2025 | 110 | 107 | ||||||
| General Mills, Inc., |
||||||||
| 2.88%, 04/15/2030 | 210 | 178 | ||||||
| 3.00%, 02/01/2051 | 30 | 20 | ||||||
| Hershey Co. (The), |
||||||||
| 0.90%, 06/01/2025 | 55 | 50 | ||||||
| 2.65%, 06/01/2050 | 10 | 6 | ||||||
| Hormel Foods Corp., 1.70%, 06/03/2028 | 81 | 69 | ||||||
| JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., (Multinational), | ||||||||
| 3.00%, 05/15/2032 (e) | 575 | 425 | ||||||
| 5.75%, 04/01/2033 (e) | 1,020 | 923 | ||||||
| Kellogg Co., 3.25%, 04/01/2026 | 70 | 66 | ||||||
| Kerry Group Financial Services Unlimited Co., (Ireland), Reg. S, 2.38%, 09/10/2025 | EUR | 1,400 | 1,338 | |||||
| Kraft Heinz Foods Co., |
||||||||
| 3.88%, 05/15/2027 | 165 | 154 | ||||||
| 5.00%, 06/04/2042 | 15 | 13 | ||||||
| Kroger Co. (The), 3.95%, 01/15/2050 | 5 | 4 | ||||||
| Mars, Inc., 2.38%, 07/16/2040 (e) | 1,200 | 791 | ||||||
| McCormick & Co., Inc., |
||||||||
| 0.90%, 02/15/2026 | 100 | 87 | ||||||
| 3.15%, 08/15/2024 | 150 | 145 | ||||||
| 4.20%, 08/15/2047 | 5 | 4 | ||||||
| Mondelez International Holdings Netherlands BV, (Netherlands), Reg. S, 0.38%, 09/22/2029 | EUR | 100 | 77 | |||||
| Mondelez International, Inc., |
||||||||
| 1.50%, 02/04/2031 | 1,000 | 733 | ||||||
| 1.88%, 10/15/2032 | 300 | 218 | ||||||
| Nestle Finance International Ltd., (Luxembourg), | ||||||||
| Reg. S, 0.00%, 06/14/2026 | EUR | 1,500 | 1,317 | |||||
| Reg. S, 1.25%, 03/29/2031 | EUR | 1,200 | 995 | |||||
| Tesco Corporate Treasury Services plc, (United Kingdom), | ||||||||
| Reg. S, 0.88%, 05/29/2026 | EUR | 1,500 | 1,299 | |||||
| Reg. S, 1.38%, 10/24/2023 | EUR | 100 | 96 | |||||
| Reg. S, 1.88%, 11/02/2028 | GBP | 700 | 580 | |||||
| Reg. S, 2.75%, 04/27/2030 | GBP | 425 | 356 | |||||
|
|
|
|||||||
| 10,051 | ||||||||
|
|
|
|||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Healthcare - Products — 0.4% | ||||||||
| Abbott Ireland Financing DAC, (Ireland), | ||||||||
| Reg. S, 0.10%, 11/19/2024 | EUR | 700 | 648 | |||||
| Reg. S, 0.38%, 11/19/2027 | EUR | 1,950 | 1,660 | |||||
| Abbott Laboratories, 4.90%, 11/30/2046 | 200 | 192 | ||||||
| Alcon Finance BV, (Netherlands), Reg. S, 2.38%, 05/31/2028 | EUR | 1,500 | 1,342 | |||||
| American Medical Systems Europe BV, (Netherlands), | ||||||||
| 0.75%, 03/08/2025 | EUR | 700 | 645 | |||||
| 1.88%, 03/08/2034 | EUR | 2,800 | 2,172 | |||||
| Becton Dickinson Euro Finance Sarl, (Luxembourg), | ||||||||
| 1.21%, 06/04/2026 | EUR | 425 | 382 | |||||
| 1.34%, 08/13/2041 | EUR | 2,000 | 1,177 | |||||
| Boston Scientific Corp., | ||||||||
| 0.63%, 12/01/2027 | EUR | 800 | 672 | |||||
| 3.45%, 03/01/2024 | 44 | 43 | ||||||
| Danaher Corp., | ||||||||
| 2.50%, 03/30/2030 | EUR | 100 | 90 | |||||
| 2.80%, 12/10/2051 | 5 | 3 | ||||||
| DH Europe Finance II Sarl, (Luxembourg), | ||||||||
| 0.20%, 03/18/2026 | EUR | 3,775 | 3,319 | |||||
| 1.35%, 09/18/2039 | EUR | 700 | 452 | |||||
| 3.40%, 11/15/2049 | 30 | 22 | ||||||
| Edwards Lifesciences Corp., 4.30%, 06/15/2028 | 265 | 248 | ||||||
| Medtronic Global Holdings SCA, (Luxembourg), | ||||||||
| 0.38%, 10/15/2028 | EUR | 500 | 407 | |||||
| 1.38%, 10/15/2040 | EUR | 825 | 533 | |||||
| 1.63%, 10/15/2050 | EUR | 900 | 529 | |||||
| 1.75%, 07/02/2049 | EUR | 900 | 557 | |||||
| 3.00%, 10/15/2028 | EUR | 3,400 | 3,228 | |||||
| 3.38%, 10/15/2034 | EUR | 4,200 | 3,896 | |||||
| Molnlycke Holding AB, (Sweden), Reg. S, 1.88%, 02/28/2025 | EUR | 1,000 | 937 | |||||
| Stryker Corp., 1.00%, 12/03/2031 | EUR | 1,300 | 964 | |||||
| Thermo Fisher Scientific, Inc., | ||||||||
| 1.22%, 10/18/2024 | 80 | 74 | ||||||
| 1.88%, 10/01/2049 | EUR | 900 | 551 | |||||
| Werfenlife SA, (Spain), Reg. S, 0.50%, 10/28/2026 | EUR | 600 | 512 | |||||
|
|
|
|||||||
| 25,255 | ||||||||
|
|
|
|||||||
| Healthcare - Services — 0.3% | ||||||||
| Advocate Health & Hospitals Corp., 3.39%, 10/15/2049 | 35 | 26 | ||||||
| Aetna, Inc., | ||||||||
| 2.80%, 06/15/2023 | 30 | 30 | ||||||
| 3.50%, 11/15/2024 | 58 | 56 | ||||||
| AHS Hospital Corp., Series 2021, 2.78%, 07/01/2051 | 755 | 469 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Healthcare - Services — continued |
||||||||
| Allina Health System, Series 2019, 3.89%, 04/15/2049 | 40 | 32 | ||||||
| Ascension Health, 3.95%, 11/15/2046 | 70 | 58 | ||||||
| Beth Israel Lahey Health, Inc., Series L, 3.08%, 07/01/2051 | 7 | 4 | ||||||
| City of Hope, Series 2013, 5.62%, 11/15/2043 | 35 | 34 | ||||||
| Cleveland Clinic Foundation (The), 4.86%, 01/01/2114 | 1,000 | 845 | ||||||
| CommonSpirit Health, 3.91%, 10/01/2050 | 18 | 13 | ||||||
| Elevance Health, Inc., | ||||||||
| 3.35%, 12/01/2024 | 100 | 96 | ||||||
| 4.10%, 03/01/2028 | 2,900 | 2,743 | ||||||
| Eurofins Scientific SE, (Luxembourg), Reg. S, 2.13%, 07/25/2024 | EUR | 396 | 377 | |||||
| Hackensack Meridian Health, Inc., | ||||||||
| Series 2020, 2.68%, 09/01/2041 | 1,335 | 902 | ||||||
| Series 2020, 2.88%, 09/01/2050 | 35 | 23 | ||||||
| HCA, Inc., | ||||||||
| 3.13%, 03/15/2027 (e) | 2,560 | 2,267 | ||||||
| 5.00%, 03/15/2024 | 1,383 | 1,374 | ||||||
| 5.13%, 06/15/2039 | 700 | 588 | ||||||
| Health Care Service Corp. A Mutual Legal Reserve Co., 2.20%, 06/01/2030 (e) | 1,400 | 1,105 | ||||||
| Humana, Inc., | ||||||||
| 0.65%, 08/03/2023 | 175 | 169 | ||||||
| 2.90%, 12/15/2022 | 50 | 50 | ||||||
| 3.70%, 03/23/2029 | 80 | 72 | ||||||
| 3.85%, 10/01/2024 | 50 | 48 | ||||||
| Kaiser Foundation Hospitals, 4.15%, 05/01/2047 | 1,200 | 1,005 | ||||||
| Laboratory Corp. of America Holdings, 1.55%, 06/01/2026 | 112 | 98 | ||||||
| Lonza Finance International NV, (Belgium), Reg. S, 1.63%, 04/21/2027 | EUR | 1,000 | 898 | |||||
| Mayo Clinic, | ||||||||
| Series 2021, 3.20%, 11/15/2061 | 440 | 286 | ||||||
| 3.77%, 11/15/2043 | 30 | 24 | ||||||
| Series 2013, 4.00%, 11/15/2047 | 25 | 20 | ||||||
| Memorial Health Services, 3.45%, 11/01/2049 | 10 | 7 | ||||||
| Memorial Sloan-Kettering Cancer Center, 4.13%, 07/01/2052 | 50 | 42 | ||||||
| Methodist Hospital (The), Series 20A, 2.71%, 12/01/2050 | 1,500 | 940 | ||||||
| MidMichigan Health, Series 2020, 3.41%, 06/01/2050 | 1,498 | 1,042 | ||||||
| MultiCare Health System, 2.80%, 08/15/2050 | 1,000 | 623 | ||||||
| New York and Presbyterian Hospital (The), | ||||||||
| 2.26%, 08/01/2040 | 1,090 | 713 | ||||||
| 4.02%, 08/01/2045 | 20 | 17 | ||||||
| Northwell Healthcare, Inc., 4.26%, 11/01/2047 | 25 | 20 | ||||||
| OhioHealth Corp., | ||||||||
| 2.30%, 11/15/2031 | 830 | 654 | ||||||
| 2.83%, 11/15/2041 | 370 | 263 | ||||||
| Series 2020, 3.04%, 11/15/2050 | 535 | 373 | ||||||
| PeaceHealth Obligated Group, | ||||||||
| Series 2020, 1.38%, 11/15/2025 | 700 | 624 | ||||||
| Series 2020, 3.22%, 11/15/2050 | 849 | 568 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Healthcare - Services — continued |
||||||||
| Piedmont Healthcare, Inc., | ||||||||
| Series 2032, 2.04%, 01/01/2032 | 470 | 357 | ||||||
| Series 2042, 2.72%, 01/01/2042 | 453 | 305 | ||||||
| 2.86%, 01/01/2052 | 3 | 2 | ||||||
| Providence St Joseph Health Obligated Group, Series 21A, 2.70%, 10/01/2051 | 15 | 9 | ||||||
| Sentara Healthcare, Series 2021, 2.93%, 11/01/2051 | 2,365 | 1,560 | ||||||
| Texas Health Resources, 2.33%, 11/15/2050 | 750 | 429 | ||||||
| Trinity Health Corp., Series 2021, 2.63%, 12/01/2040 | 233 | 158 | ||||||
| UMass Memorial Health Care Obligated Group, 5.36%, 07/01/2052 | 5 | 5 | ||||||
| UnitedHealth Group, Inc., | ||||||||
| 2.00%, 05/15/2030 | 160 | 129 | ||||||
| 3.13%, 05/15/2060 | 160 | 102 | ||||||
| 3.70%, 05/15/2027 | 75 | 71 | ||||||
| 3.70%, 08/15/2049 | 1,100 | 832 | ||||||
| 3.75%, 07/15/2025 | 20 | 19 | ||||||
| 3.85%, 06/15/2028 | 70 | 66 | ||||||
| 3.88%, 08/15/2059 | 50 | 37 | ||||||
| 4.25%, 03/15/2043 | 120 | 101 | ||||||
|
|
|
|||||||
| 23,780 | ||||||||
|
|
|
|||||||
| Household Products/Wares — 0.0% (g) |
||||||||
| Avery Dennison Corp., 1.25%, 03/03/2025 | EUR | 1,226 | 1,115 | |||||
| Clorox Co. (The), 1.80%, 05/15/2030 | 10 | 8 | ||||||
| Kimberly-Clark Corp., 2.88%, 02/07/2050 | 45 | 30 | ||||||
| Reckitt Benckiser Treasury Services plc, (United Kingdom), Reg. S, 1.75%, 05/19/2032 | GBP | 2,175 | 1,727 | |||||
|
|
|
|||||||
| 2,880 | ||||||||
|
|
|
|||||||
| Pharmaceuticals — 0.4% | ||||||||
| AbbVie, Inc., | ||||||||
| 2.60%, 11/21/2024 | 345 | 329 | ||||||
| 3.20%, 11/21/2029 | 4,960 | 4,349 | ||||||
| 4.05%, 11/21/2039 | 50 | 40 | ||||||
| 4.25%, 11/21/2049 | 100 | 80 | ||||||
| 4.40%, 11/06/2042 | 25 | 21 | ||||||
| 4.50%, 05/14/2035 | 25 | 22 | ||||||
| 4.70%, 05/14/2045 | 25 | 21 | ||||||
| AmerisourceBergen Corp., | ||||||||
| 3.25%, 03/01/2025 | 40 | 38 | ||||||
| 3.45%, 12/15/2027 | 5 | 5 | ||||||
| 4.30%, 12/15/2047 | 25 | 20 | ||||||
| Astrazeneca Finance LLC, | ||||||||
| 0.70%, 05/28/2024 | 105 | 99 | ||||||
| 1.75%, 05/28/2028 | 80 | 67 | ||||||
| Bayer AG, (Germany), | ||||||||
| Reg. S, 0.38%, 01/12/2029 | EUR | 1,000 | 763 | |||||
| Reg. S, 0.63%, 07/12/2031 | EUR | 1,000 | 706 | |||||
| Bayer Capital Corp. BV, (Netherlands), Reg. S, 2.13%, 12/15/2029 | EUR | 300 | 252 | |||||
| Becton Dickinson and Co., 4.30%, 08/22/2032 | 35 | 32 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Pharmaceuticals — continued |
||||||||
| Bristol-Myers Squibb Co., | ||||||||
| 2.35%, 11/13/2040 | 75 | 50 | ||||||
| 2.55%, 11/13/2050 | 140 | 86 | ||||||
| 3.40%, 07/26/2029 | 1,033 | 939 | ||||||
| 3.90%, 03/15/2062 | 10 | 8 | ||||||
| 4.55%, 02/20/2048 | 8 | 7 | ||||||
| Cardinal Health, Inc., 3.08%, 06/15/2024 | 10 | 10 | ||||||
| Cigna Corp., | ||||||||
| 2.40%, 03/15/2030 | 75 | 61 | ||||||
| 3.40%, 03/01/2027 | 2,800 | 2,575 | ||||||
| 3.40%, 03/15/2051 | 50 | 34 | ||||||
| 4.90%, 12/15/2048 | 880 | 760 | ||||||
| CVS Health Corp., | ||||||||
| 1.30%, 08/21/2027 | 40 | 33 | ||||||
| 2.63%, 08/15/2024 | 60 | 57 | ||||||
| 4.78%, 03/25/2038 | 50 | 44 | ||||||
| 5.05%, 03/25/2048 | 1,305 | 1,145 | ||||||
| 5.13%, 07/20/2045 | 35 | 31 | ||||||
| Eli Lilly & Co., | ||||||||
| 0.63%, 11/01/2031 | EUR | 2,500 | 1,925 | |||||
| 1.13%, 09/14/2051 | EUR | 500 | 267 | |||||
| 1.38%, 09/14/2061 | EUR | 675 | 337 | |||||
| 2.13%, 06/03/2030 | EUR | 500 | 448 | |||||
| GlaxoSmithKline Capital plc, (United Kingdom), | ||||||||
| 5.25%, 12/19/2033 | GBP | 640 | 677 | |||||
| Reg. S, 5.25%, 04/10/2042 | GBP | 50 | 53 | |||||
| Johnson & Johnson, | ||||||||
| 0.95%, 09/01/2027 | 105 | 89 | ||||||
| 2.10%, 09/01/2040 | 10 | 7 | ||||||
| 2.45%, 09/01/2060 | 70 | 41 | ||||||
| 3.40%, 01/15/2038 | 50 | 41 | ||||||
| 3.55%, 03/01/2036 | 15 | 13 | ||||||
| McKesson Corp., | ||||||||
| 0.90%, 12/03/2025 | 70 | 61 | ||||||
| 1.63%, 10/30/2026 | EUR | 500 | 454 | |||||
| 3.13%, 02/17/2029 | GBP | 1,925 | 1,739 | |||||
| Merck & Co., Inc., | ||||||||
| 1.88%, 10/15/2026 | EUR | 1,000 | 940 | |||||
| 1.90%, 12/10/2028 | 122 | 102 | ||||||
| 2.35%, 06/24/2040 | 50 | 34 | ||||||
| 2.75%, 12/10/2051 | 20 | 13 | ||||||
| 2.90%, 12/10/2061 | 15 | 9 | ||||||
| 3.70%, 02/10/2045 | 60 | 47 | ||||||
| 4.00%, 03/07/2049 | 40 | 33 | ||||||
| Merck Financial Services GmbH, (Germany), Reg. S, 0.01%, 12/15/2023 | EUR | 600 | 569 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Pharmaceuticals — continued |
||||||||
| Merck KGaA, (Germany), | ||||||||
| Reg. S, (ICE EURIBOR Swap Rate 5 Year + 2.00%), 1.63%, 09/09/2080 (aa) | EUR | 800 | 677 | |||||
| Reg. S, (ICE EURIBOR Swap Rate 5 Year + 2.94%), 2.88%, 06/25/2079 (aa) | EUR | 100 | 83 | |||||
| Mylan, Inc., 5.20%, 04/15/2048 | 30 | 21 | ||||||
| Novartis Capital Corp., | ||||||||
| 2.75%, 08/14/2050 | 56 | 38 | ||||||
| 3.10%, 05/17/2027 | 37 | 35 | ||||||
| Pfizer, Inc., 2.75%, 06/03/2026 | 145 | 136 | ||||||
| Roche Finance Europe BV, (Netherlands), Reg. S, 0.88%, 02/25/2025 | EUR | 1,600 | 1,508 | |||||
| Sanofi, (France), | ||||||||
| Series 20FX, Reg. S, 1.88%, 03/21/2038 | EUR | 400 | 308 | |||||
| Reg. S, 2.50%, 11/14/2023 | EUR | 600 | 587 | |||||
| Takeda Pharmaceutical Co. Ltd., (Japan), Reg. S, 3.00%, 11/21/2030 | EUR | 1,000 | 912 | |||||
| Upjohn Finance BV, (Netherlands), Reg. S, 1.91%, 06/23/2032 | EUR | 1,400 | 971 | |||||
| Utah Acquisition Sub, Inc., 3.95%, 06/15/2026 | 30 | 27 | ||||||
| Viatris, Inc., | ||||||||
| 3.85%, 06/22/2040 | 2,200 | 1,369 | ||||||
| 4.00%, 06/22/2050 | 50 | 30 | ||||||
| Zoetis, Inc., | ||||||||
| 3.90%, 08/20/2028 | 40 | 37 | ||||||
| 4.70%, 02/01/2043 | 65 | 57 | ||||||
|
|
|
|||||||
| 27,379 | ||||||||
|
|
|
|||||||
| Total Consumer Non-cyclical | 192,612 | |||||||
|
|
|
|||||||
| Energy — 1.0% |
||||||||
| Energy—Alternate Sources — 0.0% (g) |
||||||||
| ERG SpA, (Italy), Reg. S, 0.88%, 09/15/2031 | EUR | 700 | 491 | |||||
|
|
|
|||||||
| Oil & Gas — 0.6% |
||||||||
| Aker BP ASA, (Norway), | ||||||||
| 2.00%, 07/15/2026 (e) | 1,360 | 1,174 | ||||||
| 2.88%, 01/15/2026 (e) | 1,400 | 1,272 | ||||||
| 3.10%, 07/15/2031 (e) | 1,585 | 1,240 | ||||||
| BP Capital Markets BV, (Netherlands), Reg. S, 1.47%, 09/21/2041 | EUR | 500 | 304 | |||||
| BP Capital Markets plc, (United Kingdom), | ||||||||
| Reg. S, 1.23%, 05/08/2031 | EUR | 1,200 | 929 | |||||
| Reg. S, 1.59%, 07/03/2028 | EUR | 1,200 | 1,037 | |||||
| Reg. S, 1.64%, 06/26/2029 | EUR | 1,000 | 842 | |||||
| Reg. S, (EUR Swap Rate 5 Year + 4.12%), 3.63%, 03/22/2029 (x) (aa) | EUR | 1,300 | 1,027 | |||||
| Reg. S, (UK Gilts 5 Year + 4.17%), 4.25%, 03/22/2027 (x) (aa) | GBP | 1,500 | 1,402 | |||||
| Canadian Natural Resources Ltd., (Canada), | ||||||||
| 2.95%, 01/15/2023 | 10 | 10 | ||||||
| 6.50%, 02/15/2037 | 45 | 43 | ||||||
| Cepsa Finance SA, (Spain), Reg. S, 2.25%, 02/13/2026 | EUR | 100 | 92 | |||||
| Chevron Corp., | ||||||||
| 1.55%, 05/11/2025 | 75 | 69 | ||||||
| 2.24%, 05/11/2030 | 80 | 67 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Oil & Gas — continued |
||||||||
| Chevron USA, Inc., 1.02%, 08/12/2027 | 3,100 | 2,592 | ||||||
| CNOOC Petroleum North America ULC, (Canada), 6.40%, 05/15/2037 | 60 | 61 | ||||||
| ConocoPhillips, | ||||||||
| 4.88%, 10/01/2047 | 40 | 36 | ||||||
| 5.90%, 10/15/2032 | 223 | 231 | ||||||
| 5.90%, 05/15/2038 | 25 | 25 | ||||||
| 6.50%, 02/01/2039 | 75 | 81 | ||||||
| ConocoPhillips Co., | ||||||||
| 3.80%, 03/15/2052 | 40 | 31 | ||||||
| 4.03%, 03/15/2062 (e) | 10 | 7 | ||||||
| Continental Resources, Inc., | ||||||||
| 4.38%, 01/15/2028 | 30 | 27 | ||||||
| 4.90%, 06/01/2044 | 40 | 29 | ||||||
| Devon Energy Corp., | ||||||||
| 5.25%, 09/15/2024 | 8 | 8 | ||||||
| 5.60%, 07/15/2041 | 205 | 183 | ||||||
| 5.88%, 06/15/2028 | 1,750 | 1,748 | ||||||
| Diamondback Energy, Inc., 3.13%, 03/24/2031 | 2,400 | 1,946 | ||||||
| Eni SpA, (Italy), | ||||||||
| Reg. S, 1.00%, 10/11/2034 | EUR | 1,000 | 674 | |||||
| Reg. S, 1.25%, 05/18/2026 | EUR | 1,400 | 1,270 | |||||
| Reg. S, 1.50%, 01/17/2027 | EUR | 1,400 | 1,261 | |||||
| EQT Corp., | ||||||||
| 3.13%, 05/15/2026 (e) | 80 | 73 | ||||||
| 3.90%, 10/01/2027 | 90 | 82 | ||||||
| 6.13%, 02/01/2025 | 30 | 30 | ||||||
| 7.00%, 02/01/2030 | 170 | 175 | ||||||
| Equinor ASA, (Norway), | ||||||||
| Reg. S, 1.38%, 05/22/2032 | EUR | 425 | 341 | |||||
| 1.75%, 01/22/2026 | 200 | 180 | ||||||
| 2.38%, 05/22/2030 | 60 | 50 | ||||||
| 3.25%, 11/18/2049 | 30 | 22 | ||||||
| 3.63%, 04/06/2040 | 1,800 | 1,440 | ||||||
| 3.70%, 04/06/2050 | 15 | 12 | ||||||
| Reg. S, 6.88%, 03/11/2031 | GBP | 50 | 60 | |||||
| Exxon Mobil Corp., | ||||||||
| 0.14%, 06/26/2024 | EUR | 2,000 | 1,869 | |||||
| 0.84%, 06/26/2032 | EUR | 550 | 404 | |||||
| 1.41%, 06/26/2039 | EUR | 700 | 451 | |||||
| 3.45%, 04/15/2051 | 155 | 116 | ||||||
| Helmerich & Payne, Inc., 2.90%, 09/29/2031 | 700 | 547 | ||||||
| Hess Corp., | ||||||||
| 3.50%, 07/15/2024 | 10 | 10 | ||||||
| 5.80%, 04/01/2047 | 16 | 14 | ||||||
| Marathon Oil Corp., 6.60%, 10/01/2037 | 20 | 19 | ||||||
| Marathon Petroleum Corp., 5.00%, 09/15/2054 | 25 | 20 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Oil & Gas — continued |
||||||||
| MOL Hungarian Oil & Gas plc, (Hungary), Reg. S, 1.50%, 10/08/2027 | EUR | 2,700 | 2,159 | |||||
| Ovintiv Exploration, Inc., 5.38%, 01/01/2026 | 30 | 30 | ||||||
| Ovintiv, Inc., 7.38%, 11/01/2031 | 15 | 16 | ||||||
| Petroleos Mexicanos, (Mexico), 1.95%, 12/20/2022 | 400 | 398 | ||||||
| (ICE LIBOR USD 3 Month + 0.43%), 3.34%, 02/15/2024 (aa) | 450 | 449 | ||||||
| Pioneer Natural Resources Co., 1.90%, 08/15/2030 | 1,050 | 802 | ||||||
| Polski Koncern Naftowy ORLEN SA, (Poland), Reg. S, 1.13%, 05/27/2028 | EUR | 700 | 528 | |||||
| Shell International Finance BV, (Netherlands), | ||||||||
| Reg. S, 1.63%, 01/20/2027 | EUR | 2,000 | 1,834 | |||||
| 3.00%, 11/26/2051 | 60 | 40 | ||||||
| 3.25%, 04/06/2050 | 70 | 49 | ||||||
| 6.38%, 12/15/2038 | 15 | 16 | ||||||
| TotalEnergies Capital International SA, (France), Reg. S, 1.49%, 04/08/2027 | EUR | 1,000 | 907 | |||||
| TotalEnergies SE, (France), | ||||||||
| Series NC7, Reg. S, (EUR Swap Rate 5 Year + 1.99%), 1.63%, 10/25/2027 (x) (aa) | EUR | 500 | 381 | |||||
| Reg. S, (EUR Swap Rate 5 Year + 2.40%), 2.00%, 06/04/2030 (x) (aa) | EUR | 1,000 | 713 | |||||
| Series NC12, Reg. S, (EUR Swap Rate 5 Year + 2.51%), 2.13%, 07/25/2032 (x) (aa) | EUR | 1,850 | 1,225 | |||||
| Reg. S, (EUR Swap Rate 5 Year + 2.75%), 2.71%, 05/05/2023 (x) (aa) | EUR | 650 | 624 | |||||
| Reg. S, (EUR Swap Rate 5 Year + 3.35%), 3.37%, 10/06/2026 (x) (aa) | EUR | 2,000 | 1,796 | |||||
| Valero Energy Corp., 4.00%, 06/01/2052 | 40 | 29 | ||||||
| Var Energi ASA, (Norway), 5.00%, 05/18/2027 (e) | 1,600 | 1,525 | ||||||
|
|
|
|||||||
| 39,154 | ||||||||
|
|
|
|||||||
| Oil & Gas Services — 0.0% (g) |
||||||||
| Baker Hughes Holdings LLC / Baker Hughes Co-Obligor, Inc., 4.08%, 12/15/2047 | 110 | 82 | ||||||
| Schlumberger Finance BV, (Netherlands), Reg. S, 0.25%, 10/15/2027 | EUR | 500 | 418 | |||||
| Schlumberger Finance Canada Ltd., (Canada), 1.40%, 09/17/2025 | 30 | 27 | ||||||
|
|
|
|||||||
| 527 | ||||||||
|
|
|
|||||||
| Pipelines — 0.4% |
||||||||
| Cheniere Corpus Christi Holdings LLC, | ||||||||
| 3.70%, 11/15/2029 | 283 | 245 | ||||||
| 5.88%, 03/31/2025 | 240 | 241 | ||||||
| Colonial Enterprises, Inc., 3.25%, 05/15/2030 (e) | 1,330 | 1,154 | ||||||
| Columbia Pipeline Group, Inc., 4.50%, 06/01/2025 | 20 | 20 | ||||||
| DCP Midstream Operating LP, | ||||||||
| 3.25%, 02/15/2032 | 91 | 72 | ||||||
| 5.13%, 05/15/2029 | 1,500 | 1,406 | ||||||
| 5.38%, 07/15/2025 | 70 | 68 | ||||||
| Energy Transfer LP, | ||||||||
| 2.90%, 05/15/2025 | 80 | 74 | ||||||
| 4.20%, 04/15/2027 | 5,800 | 5,366 | ||||||
| 5.35%, 05/15/2045 | 10 | 8 | ||||||
| 5.40%, 10/01/2047 | 5 | 4 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Pipelines — continued |
||||||||
| 6.25%, 04/15/2049 | 120 | 108 | ||||||
| Series H, (CMT Index 5 Year + 5.69%), 6.50%, 11/15/2026 (x) (aa) | 1,490 | 1,300 | ||||||
| Enterprise Products Operating LLC, | ||||||||
| 3.30%, 02/15/2053 | 55 | 36 | ||||||
| 3.75%, 02/15/2025 | 50 | 48 | ||||||
| 3.90%, 02/15/2024 | 50 | 49 | ||||||
| 4.20%, 01/31/2050 | 40 | 31 | ||||||
| 5.10%, 02/15/2045 | 1,700 | 1,448 | ||||||
| (ICE LIBOR USD 3 Month + 2.57%), 5.38%, 02/15/2078 (aa) | 600 | 450 | ||||||
| Erdoel-Lagergesellschaft mbH, (Austria), Reg. S, 2.75%, 03/20/2028 | EUR | 200 | 193 | |||||
| Kinder Morgan Energy Partners LP, | ||||||||
| 4.30%, 05/01/2024 | 3,200 | 3,157 | ||||||
| 4.70%, 11/01/2042 | 850 | 664 | ||||||
| 6.95%, 01/15/2038 | 10 | 10 | ||||||
| Kinder Morgan, Inc., | ||||||||
| 1.75%, 11/15/2026 | 90 | 78 | ||||||
| 3.60%, 02/15/2051 | 35 | 23 | ||||||
| 5.45%, 08/01/2052 | 85 | 74 | ||||||
| 5.55%, 06/01/2045 | 20 | 17 | ||||||
| Magellan Midstream Partners LP, | ||||||||
| 3.95%, 03/01/2050 | 940 | 667 | ||||||
| 5.00%, 03/01/2026 | 10 | 10 | ||||||
| MPLX LP, | ||||||||
| 2.65%, 08/15/2030 | 1,775 | 1,390 | ||||||
| 4.50%, 04/15/2038 | 75 | 60 | ||||||
| 4.70%, 04/15/2048 | 1,293 | 985 | ||||||
| 4.88%, 06/01/2025 | 2,370 | 2,323 | ||||||
| 4.90%, 04/15/2058 | 40 | 30 | ||||||
| 4.95%, 03/14/2052 | 885 | 693 | ||||||
| 5.20%, 03/01/2047 | 10 | 8 | ||||||
| 5.50%, 02/15/2049 | 120 | 102 | ||||||
| ONEOK Partners LP, | ||||||||
| 4.90%, 03/15/2025 | 80 | 79 | ||||||
| 6.13%, 02/01/2041 | 24 | 21 | ||||||
| ONEOK, Inc., | ||||||||
| 2.20%, 09/15/2025 | 1,000 | 909 | ||||||
| 2.75%, 09/01/2024 | 110 | 105 | ||||||
| 3.40%, 09/01/2029 | 60 | 50 | ||||||
| 4.45%, 09/01/2049 | 2,422 | 1,735 | ||||||
| 5.20%, 07/15/2048 | 35 | 28 | ||||||
| 5.85%, 01/15/2026 | 70 | 70 | ||||||
| 6.35%, 01/15/2031 | 70 | 69 | ||||||
| 7.15%, 01/15/2051 | 20 | 19 | ||||||
| Plains All American Pipeline LP / PAA Finance Corp., | ||||||||
| 3.55%, 12/15/2029 | 65 | 54 | ||||||
| 5.15%, 06/01/2042 | 1,600 | 1,218 | ||||||
| Sabine Pass Liquefaction LLC, 5.88%, 06/30/2026 | 70 | 70 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Pipelines — continued |
||||||||
| Targa Resources Corp., | ||||||||
| 4.20%, 02/01/2033 | 25 | 21 | ||||||
| 4.95%, 04/15/2052 | 50 | 38 | ||||||
| 5.20%, 07/01/2027 | 965 | 929 | ||||||
| Targa Resources Partners LP / Targa Resources Partners Finance Corp., | ||||||||
| 4.00%, 01/15/2032 | 200 | 165 | ||||||
| 4.88%, 02/01/2031 | 323 | 278 | ||||||
| 5.00%, 01/15/2028 | 99 | 91 | ||||||
| TransCanada PipeLines Ltd., (Canada), 6.20%, 10/15/2037 | 30 | 30 | ||||||
| Transcontinental Gas Pipe Line Co. LLC, | ||||||||
| 3.25%, 05/15/2030 | 80 | 68 | ||||||
| 4.00%, 03/15/2028 | 20 | 18 | ||||||
| 7.85%, 02/01/2026 | 128 | 136 | ||||||
| Williams Cos., Inc. (The), | ||||||||
| 3.50%, 11/15/2030 | 1,900 | 1,612 | ||||||
| 3.50%, 10/15/2051 | 80 | 53 | ||||||
| 4.50%, 11/15/2023 | 80 | 80 | ||||||
| 5.10%, 09/15/2045 | 69 | 59 | ||||||
| 5.30%, 08/15/2052 | 20 | 17 | ||||||
| 5.80%, 11/15/2043 | 15 | 14 | ||||||
|
|
|
|||||||
| 30,648 | ||||||||
|
|
|
|||||||
| Total Energy | 70,820 | |||||||
|
|
|
|||||||
| Financial — 7.2% |
||||||||
| Banks — 4.9% |
||||||||
| Abanca Corp. Bancaria SA, (Spain), Reg. S, 0.75%, 05/28/2029 | EUR | 100 | 83 | |||||
| ABN AMRO Bank NV, (Netherlands), | ||||||||
| Reg. S, 0.40%, 09/17/2041 | EUR | 100 | 60 | |||||
| Reg. S, 0.88%, 01/14/2026 | EUR | 100 | 92 | |||||
| Reg. S, 1.25%, 01/10/2033 | EUR | 100 | 81 | |||||
| Reg. S, 1.38%, 01/12/2037 | EUR | 100 | 77 | |||||
| Reg. S, 1.45%, 04/12/2038 | EUR | 100 | 77 | |||||
| Reg. S, 1.50%, 09/30/2030 | EUR | 200 | 174 | |||||
| Aegon Bank NV, (Netherlands), Reg. S, 0.01%, 11/16/2025 | EUR | 100 | 89 | |||||
| AMCO - Asset Management Co. SpA, (Italy), | ||||||||
| Reg. S, 0.75%, 04/20/2028 | EUR | 163 | 127 | |||||
| Reg. S, 1.38%, 01/27/2025 | EUR | 100 | 92 | |||||
| ANZ New Zealand Int’l Ltd., (New Zealand), Reg. S, 0.13%, 09/22/2023 | EUR | 100 | 96 | |||||
| Argenta Spaarbank NV, (Belgium), Reg. S, 0.01%, 02/11/2031 | EUR | 100 | 75 | |||||
| Arion Banki HF, (Iceland), | ||||||||
| Reg. S, 0.05%, 10/05/2026 | EUR | 100 | 86 | |||||
| Reg. S, 0.38%, 07/14/2025 | EUR | 2,050 | 1,725 | |||||
| Arkea Public Sector SCF SA, (France), Reg. S, 0.13%, 01/15/2030 | EUR | 100 | 79 | |||||
| ASB Finance Ltd., (New Zealand), | ||||||||
| Reg. S, 0.25%, 09/08/2028 | EUR | 500 | 390 | |||||
| Reg. S, 0.63%, 10/18/2024 | EUR | 100 | 94 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Australia & New Zealand Banking Group Ltd., (Australia), | ||||||||
| Reg. S, 0.25%, 03/17/2025 | EUR | 100 | 92 | |||||
| Reg. S, (EUR Swap Rate 5 Year + 1.12%), 0.67%, 05/05/2031 (aa) | EUR | 1,525 | 1,256 | |||||
| Banca Carige SpA, (Italy), Reg. S, 0.63%, 10/28/2028 | EUR | 100 | 84 | |||||
| Banca Monte dei Paschi di Siena SpA, (Italy), | ||||||||
| Reg. S, 0.88%, 10/08/2026 | EUR | 3,504 | 3,080 | |||||
| Reg. S, 2.00%, 01/29/2024 | EUR | 100 | 97 | |||||
| Series 16, Reg. S, 2.88%, 07/16/2024 | EUR | 100 | 97 | |||||
| Banco Bilbao Vizcaya Argentaria SA, (Spain), | ||||||||
| 0.88%, 09/18/2023 | 200 | 192 | ||||||
| Reg. S, 0.88%, 11/22/2026 | EUR | 100 | 90 | |||||
| Reg. S, (ICE LIBOR EUR 3 Month + 0.82%), 0.88%, 01/14/2029 (aa) | EUR | 1,800 | 1,436 | |||||
| Reg. S, 3.38%, 09/20/2027 | EUR | 1,100 | 1,040 | |||||
| Banco BPM SpA, (Italy), Reg. S, 1.00%, 01/23/2025 | EUR | 100 | 94 | |||||
| Banco de Sabadell SA, (Spain), | ||||||||
| Reg. S, (EUR Swap Rate 1 Year + 0.97%), 0.63%, 11/07/2025 (aa) | EUR | 1,900 | 1,717 | |||||
| Reg. S, 1.00%, 04/26/2027 | EUR | 100 | 89 | |||||
| Reg. S, (EUR Swap Rate 1 Year + 1.55%), 1.13%, 03/11/2027 (aa) | EUR | 1,000 | 868 | |||||
| Reg. S, (EUR Swap Rate 1 Year + 2.20%), 2.63%, 03/24/2026 (aa) | EUR | 1,500 | 1,360 | |||||
| Banco di Desio e della Brianza SpA, (Italy), Reg. S, 0.88%, 09/12/2024 | EUR | 100 | 94 | |||||
| Banco Santander SA, (Spain), | ||||||||
| Reg. S, 0.10%, 02/27/2032 | EUR | 200 | 144 | |||||
| Reg. S, 0.20%, 02/11/2028 | EUR | 1,000 | 796 | |||||
| Reg. S, 1.00%, 04/07/2025 | EUR | 200 | 187 | |||||
| Reg. S, 1.13%, 10/25/2028 | EUR | 100 | 87 | |||||
| Reg. S, 1.38%, 01/05/2026 | EUR | 100 | 89 | |||||
| Reg. S, 1.63%, 10/22/2030 | EUR | 1,000 | 714 | |||||
| Reg. S, 1.75%, 02/17/2027 | GBP | 500 | 436 | |||||
| 1.85%, 03/25/2026 | 200 | 173 | ||||||
| Reg. S, 2.38%, 09/08/2027 | EUR | 100 | 94 | |||||
| 3.49%, 05/28/2030 | 2,000 | 1,604 | ||||||
| 3.50%, 03/24/2025 | 200 | 191 | ||||||
| 3.89%, 05/24/2024 | 3,800 | 3,700 | ||||||
| 5.29%, 08/18/2027 | 200 | 188 | ||||||
| Banco Santander Totta SA, (Portugal), Reg. S, 0.88%, 04/25/2024 | EUR | 100 | 95 | |||||
| Bank of America Corp., | ||||||||
| Reg. S, (ICE LIBOR EUR 3 Month + 0.75%), 0.81%, 05/09/2026 (aa) | EUR | 1,000 | 905 | |||||
| (United States SOFR + 0.74%), 0.81%, 10/24/2024 (aa) | 240 | 228 | ||||||
| (United States SOFR + 0.91%), 0.98%, 09/25/2025 (aa) | 177 | 161 | ||||||
| Reg. S, (ICE LIBOR EUR 3 Month + 0.95%), 1.10%, 05/24/2032 (aa) | EUR | 1,300 | 961 | |||||
| (United States SOFR + 0.65%), 1.53%, 12/06/2025 (aa) | 25 | 23 | ||||||
| (United States SOFR + 0.96%), 1.73%, 07/22/2027 (aa) | 1,465 | 1,256 | ||||||
| (United States SOFR + 1.06%), 2.09%, 06/14/2029 (aa) | 2,900 | 2,358 | ||||||
| (United States SOFR + 1.22%), 2.30%, 07/21/2032 (aa) | 1,000 | 746 | ||||||
| (ICE LIBOR USD 3 Month + 0.99%), 2.50%, 02/13/2031 (aa) | 3,300 | 2,603 | ||||||
| (United States SOFR + 1.21%), 2.57%, 10/20/2032 (aa) | 2,605 | 1,992 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Series N, (United States SOFR + 1.22%), 2.65%, 03/11/2032 (aa) | 1,000 | 778 | ||||||
| (United States SOFR + 1.93%), 2.68%, 06/19/2041 (aa) | 1,920 | 1,240 | ||||||
| (United States SOFR + 1.32%), 2.69%, 04/22/2032 (aa) | 2,150 | 1,675 | ||||||
| (ICE LIBOR USD 3 Month + 1.19%), 2.88%, 10/22/2030 (aa) | 65 | 53 | ||||||
| (ICE LIBOR USD 3 Month + 0.79%), 3.00%, 12/20/2023 (aa) | 250 | 249 | ||||||
| (ICE LIBOR USD 3 Month + 1.09%), 3.09%, 10/01/2025 (aa) | 10 | 10 | ||||||
| (United States SOFR + 1.58%), 3.31%, 04/22/2042 (aa) | 60 | 42 | ||||||
| (ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (aa) | 350 | 311 | ||||||
| (ICE LIBOR USD 3 Month + 0.97%), 3.46%, 03/15/2025 (aa) | 25 | 24 | ||||||
| Series N, (United States SOFR + 1.65%), 3.48%, 03/13/2052 (aa) | 40 | 27 | ||||||
| (ICE LIBOR USD 3 Month + 0.78%), 3.55%, 03/05/2024 (aa) | 25 | 25 | ||||||
| (United States SOFR + 1.11%), 3.84%, 04/25/2025 (aa) | 180 | 175 | ||||||
| (ICE LIBOR USD 3 Month + 0.94%), 3.86%, 07/23/2024 (aa) | 120 | 118 | ||||||
| 4.00%, 01/22/2025 | 4,200 | 4,066 | ||||||
| (ICE LIBOR USD 3 Month + 1.32%), 4.08%, 04/23/2040 (aa) | 100 | 79 | ||||||
| (ICE LIBOR USD 3 Month + 3.15%), 4.08%, 03/20/2051 (aa) | 135 | 101 | ||||||
| (ICE LIBOR USD 3 Month + 1.52%), 4.33%, 03/15/2050 (aa) | 115 | 91 | ||||||
| Series RR, (CMT Index 5 Year + 2.76%), 4.38%, 01/27/2027 (x) (aa) | 1,650 | 1,324 | ||||||
| (United States SOFR + 1.75%), 4.83%, 07/22/2026 (aa) | 115 | 112 | ||||||
| 4.88%, 04/01/2044 | 50 | 43 | ||||||
| (United States SOFR + 2.04%), 4.95%, 07/22/2028 (aa) | 1,720 | 1,653 | ||||||
| 5.00%, 01/21/2044 | 20 | 17 | ||||||
| Reg. S, 7.00%, 07/31/2028 | GBP | 350 | 395 | |||||
| Bank of Ireland Group plc, (Ireland), Reg. S, (ICE EURIBOR Swap Rate 1 Year + 1.10%), 1.88%, 06/05/2026 (aa) | EUR | 3,000 | 2,713 | |||||
| Bank of Montreal, (Canada), | ||||||||
| Reg. S, 0.05%, 06/08/2029 | EUR | 100 | 80 | |||||
| Reg. S, 0.10%, 10/20/2023 | EUR | 100 | 96 | |||||
| Reg. S, 1.00%, 04/05/2026 | EUR | 100 | 91 | |||||
| 1.85%, 05/01/2025 | 120 | 110 | ||||||
| Series H, 4.25%, 09/14/2024 | 110 | 108 | ||||||
| Bank of New York Mellon Corp. (The), (United States SOFR + 1.35%), 4.41%, 07/24/2026 (aa) | 35 | 34 | ||||||
| Bank of New Zealand, (New Zealand), Reg. S, 2.55%, 06/29/2027 | EUR | 100 | 95 | |||||
| Bank of Nova Scotia (The), (Canada), | ||||||||
| Reg. S, 0.01%, 01/14/2027 | EUR | 100 | 86 | |||||
| Reg. S, 0.01%, 12/15/2027 | EUR | 100 | 83 | |||||
| Reg. S, 0.38%, 10/23/2023 | EUR | 100 | 96 | |||||
| Reg. S, 0.38%, 03/26/2030 | EUR | 100 | 80 | |||||
| 0.70%, 04/15/2024 | 140 | 131 | ||||||
| 1.05%, 03/02/2026 | 170 | 148 | ||||||
| Bankinter SA, (Spain), Reg. S, (EUR Swap Rate 5 Year + 1.45%), 1.25%, 12/23/2032 (aa) | EUR | 600 | 448 | |||||
| Banque Federative du Credit Mutuel SA, (France), | ||||||||
| Reg. S, 0.50%, 11/16/2022 | EUR | 1,200 | 1,175 | |||||
| Reg. S, 0.75%, 06/15/2023 | EUR | 100 | 97 | |||||
| Reg. S, 1.88%, 11/04/2026 | EUR | 1,200 | 1,052 | |||||
| Reg. S, 3.13%, 09/14/2027 | EUR | 3,400 | 3,212 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Barclays Bank plc, (United Kingdom), Reg. S, 5.75%, 09/14/2026 | GBP | 90 | 94 | |||||
| Barclays plc, (United Kingdom), | ||||||||
| Reg. S, (ICE LIBOR EUR 1 Year + 0.85%), 0.88%, 01/28/2028 (aa) | EUR | 4,800 | 3,914 | |||||
| Reg. S, (EUR Swap Rate 5 Year + 1.90%), 2.00%, 02/07/2028 (aa) | EUR | 2,700 | 2,604 | |||||
| (CMT Index 1 Year + 1.05%), 2.28%, 11/24/2027 (aa) | 300 | 251 | ||||||
| Reg. S, (ICE EURIBOR Swap Rate 1 Year + 1.68%), 2.89%, 01/31/2027 (aa) | EUR | 1,650 | 1,507 | |||||
| Reg. S, 3.25%, 02/12/2027 | GBP | 600 | 561 | |||||
| Reg. S, (UK Gilts 5 Year + 3.75%), 3.75%, 11/22/2030 (aa) | GBP | 425 | 413 | |||||
| (CMT Index 1 Year + 2.65%), 5.50%, 08/09/2028 (aa) | 2,525 | 2,368 | ||||||
| Basellandschaftliche Kantonalbank, (Switzerland), Reg. S, 0.38%, 05/13/2030 | CHF | 100 | 89 | |||||
| Bausparkasse Schwaebisch Hall AG, (Germany), Reg. S, 2.00%, 05/17/2034 | EUR | 100 | 87 | |||||
| BAWAG PSK Bank fuer Arbeit und Wirtschaft und Oesterreichische | ||||||||
| Postsparkasse AG, (Austria), | ||||||||
| Reg. S, 0.01%, 01/21/2028 | EUR | 100 | 83 | |||||
| Reg. S, 0.10%, 05/12/2031 | EUR | 100 | 75 | |||||
| Reg. S, 1.13%, 07/31/2028 | EUR | 100 | 88 | |||||
| Bayerische Landesbank, (Germany), | ||||||||
| Reg. S, 0.13%, 11/02/2029 | EUR | 100 | 80 | |||||
| Reg. S, 0.25%, 01/14/2025 | EUR | 100 | 92 | |||||
| Reg. S, (EUR Swap Rate 5 Year + 1.40%), 1.38%, 11/22/2032 (aa) | EUR | 100 | 73 | |||||
| Reg. S, 2.13%, 09/01/2031 | EUR | 100 | 91 | |||||
| Belfius Bank SA, (Belgium), Reg. S, 0.13%, 01/28/2030 | EUR | 100 | 79 | |||||
| Berlin Hyp AG, (Germany), | ||||||||
| Reg. S, 0.01%, 08/24/2026 | EUR | 50 | 44 | |||||
| Reg. S, 0.01%, 07/07/2028 | EUR | 100 | 82 | |||||
| Series 200, Reg. S, 0.38%, 02/21/2025 | EUR | 100 | 93 | |||||
| Reg. S, 1.75%, 05/10/2032 | EUR | 100 | 87 | |||||
| BNP Paribas SA, (France), | ||||||||
| Reg. S, (ICE LIBOR EUR 3 Month + 0.95%), 0.50%, 09/01/2028 (aa) | EUR | 2,000 | 1,602 | |||||
| Reg. S, (EUR Swap Rate 5 Year + 1.20%), 1.13%, 01/15/2032 (aa) | EUR | 800 | 637 | |||||
| (United States SOFR + 1.00%), 1.32%, 01/13/2027 (e) (aa) | 1,200 | 1,023 | ||||||
| Reg. S, 1.38%, 05/28/2029 | EUR | 100 | 79 | |||||
| (United States SOFR + 0.91%), 1.68%, 06/30/2027 (e) (aa) | 1,250 | 1,058 | ||||||
| (United States SOFR + 1.22%), 2.16%, 09/15/2029 (e) (aa) | 975 | 763 | ||||||
| Reg. S, (EUR Swap Rate 1 Year + 1.60%), 2.50%, 03/31/2032 (aa) | EUR | 1,700 | 1,429 | |||||
| Reg. S, (ICE LIBOR EUR 3 Month + 1.37%), 2.75%, 07/25/2028 (aa) | EUR | 800 | 719 | |||||
| (United States SOFR + 1.51%), 3.05%, 01/13/2031 (e) (aa) | 1,800 | 1,431 | ||||||
| Reg. S, 3.38%, 01/23/2026 | GBP | 600 | 594 | |||||
| BNZ International Funding Ltd., (New Zealand), Reg. S, 0.38%, 09/14/2024 | EUR | 1,450 | 1,347 | |||||
| BPCE SA, (France), | ||||||||
| Reg. S, 0.25%, 01/15/2026 | EUR | 600 | 529 | |||||
| Reg. S, 0.25%, 01/14/2031 | EUR | 1,000 | 714 | |||||
| Reg. S, 0.50%, 02/24/2027 | EUR | 1,300 | 1,090 | |||||
| Reg. S, 0.88%, 01/31/2024 | EUR | 1,200 | 1,141 | |||||
| (United States SOFR + 1.52%), 1.65%, 10/06/2026 (e) (aa) | 1,145 | 995 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| 4.63%, 07/11/2024 (e) | 1,200 | 1,162 | ||||||
| 4.75%, 07/19/2027 (e) | 1,450 | 1,378 | ||||||
| (United States SOFR + 2.87%), 5.75%, 07/19/2033 (e) (aa) | 850 | 783 | ||||||
| Caisse Centrale du Credit Immobilier de France SA, (France), Reg. S, 0.00%, 01/17/2024 | EUR | 200 | 191 | |||||
| Caixa Economica Montepio Geral Caixa Economica Bancaria SA, (Portugal), Reg. S, 0.13%, 11/14/2024 | EUR | 100 | 92 | |||||
| CaixaBank SA, (Spain), | ||||||||
| Reg. S, (ICE LIBOR EUR 3 Month + 1.00%), 0.75%, 05/26/2028 (aa) | EUR | 1,100 | 885 | |||||
| Reg. S, 1.00%, 09/25/2025 | EUR | 300 | 277 | |||||
| Reg. S, 1.25%, 01/11/2027 | EUR | 200 | 181 | |||||
| Reg. S, 1.38%, 06/19/2026 | EUR | 1,200 | 1,038 | |||||
| Reg. S, 3.75%, 09/07/2029 | EUR | 1,300 | 1,217 | |||||
| Canadian Imperial Bank of Commerce, (Canada), | ||||||||
| Reg. S, 0.01%, 04/30/2029 | EUR | 100 | 80 | |||||
| Reg. S, 0.04%, 07/09/2027 | EUR | 100 | 85 | |||||
| Reg. S, 0.10%, 10/24/2023 | CHF | 50 | 50 | |||||
| 3.10%, 04/02/2024 | 25 | 24 | ||||||
| 3.30%, 04/07/2025 | 140 | 133 | ||||||
| Cie de Financement Foncier SA, (France), | ||||||||
| Reg. S, 0.01%, 07/15/2026 | EUR | 200 | 176 | |||||
| Reg. S, 0.23%, 09/14/2026 | EUR | 100 | 88 | |||||
| Reg. S, 0.50%, 09/04/2024 | EUR | 100 | 94 | |||||
| Reg. S, 0.50%, 03/16/2028 | EUR | 100 | 85 | |||||
| Reg. S, 0.60%, 10/25/2041 | EUR | 100 | 63 | |||||
| Reg. S, 0.75%, 01/21/2025 | EUR | 100 | 93 | |||||
| Reg. S, 0.75%, 05/29/2026 | EUR | 100 | 91 | |||||
| Reg. S, 2.38%, 03/15/2030 | EUR | 100 | 93 | |||||
| Reg. S, 3.88%, 04/25/2055 | EUR | 45 | 53 | |||||
| Citigroup, Inc., | ||||||||
| (United States SOFR + 0.69%), 0.78%, 10/30/2024 (aa) | 262 | 249 | ||||||
| (United States SOFR + 0.67%), 0.98%, 05/01/2025 (aa) | 440 | 408 | ||||||
| (United States SOFR + 0.77%), 1.12%, 01/28/2027 (aa) | 130 | 111 | ||||||
| (United States SOFR + 0.77%), 1.46%, 06/09/2027 (aa) | 3,250 | 2,768 | ||||||
| Reg. S, (ICE LIBOR EUR 3 Month + 1.07%), 1.50%, 07/24/2026 (aa) | EUR | 3,400 | 3,109 | |||||
| (United States SOFR + 0.69%), 2.01%, 01/25/2026 (aa) | 90 | 83 | ||||||
| (United States SOFR + 1.18%), 2.52%, 11/03/2032 (aa) | 465 | 352 | ||||||
| (United States SOFR + 1.17%), 2.56%, 05/01/2032 (aa) | 1,060 | 813 | ||||||
| (United States SOFR + 2.11%), 2.57%, 06/03/2031 (aa) | 3,600 | 2,830 | ||||||
| (United States SOFR + 1.38%), 2.90%, 11/03/2042 (aa) | 100 | 64 | ||||||
| (United States SOFR + 2.84%), 3.11%, 04/08/2026 (aa) | 155 | 145 | ||||||
| (ICE LIBOR USD 3 Month + 0.90%), 3.35%, 04/24/2025 (aa) | 65 | 63 | ||||||
| (ICE LIBOR USD 3 Month + 1.39%), 3.67%, 07/24/2028 (aa) | 250 | 225 | ||||||
| Reg. S, (ICE LIBOR EUR 3 Month + 1.25%), 3.71%, 09/22/2028 (aa) | EUR | 725 | 694 | |||||
| Reg. S, (ICE LIBOR EUR 3 Month + 1.60%), 4.11%, 09/22/2033 (aa) | EUR | 975 | 913 | |||||
| (United States SOFR + 1.37%), 4.14%, 05/24/2025 (aa) | 35 | 34 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| (ICE LIBOR USD 3 Month + 1.84%), 4.28%, 04/24/2048 (aa) | 60 | 47 | ||||||
| 4.40%, 06/10/2025 | 3,500 | 3,405 | ||||||
| 4.65%, 07/30/2045 | 10 | 8 | ||||||
| 4.65%, 07/23/2048 | 25 | 20 | ||||||
| (United States SOFR + 2.09%), 4.91%, 05/24/2033 (aa) | 1,790 | 1,648 | ||||||
| 6.00%, 10/31/2033 | 50 | 48 | ||||||
| Clydesdale Bank plc, (United Kingdom), Reg. S, 4.63%, 06/08/2026 | GBP | 100 | 108 | |||||
| Commerzbank AG, (Germany), | ||||||||
| Reg. S, 0.01%, 03/11/2030 | EUR | 100 | 78 | |||||
| Reg. S, 0.25%, 01/12/2032 | EUR | 100 | 75 | |||||
| Reg. S, 0.50%, 06/09/2026 | EUR | 100 | 90 | |||||
| Reg. S, 2.00%, 11/27/2023 | EUR | 100 | 98 | |||||
| Reg. S, (ICE LIBOR EUR 3 Month + 1.50%), 3.00%, 09/14/2027 (aa) | EUR | 1,000 | 905 | |||||
| Reg. S, (ICE LIBOR EUR 3 Month + 2.20%), 4.63%, 03/21/2028 (aa) | EUR | 1,800 | 1,709 | |||||
| Commonwealth Bank of Australia, (Australia), | ||||||||
| Reg. S, 0.75%, 02/28/2028 | EUR | 100 | 86 | |||||
| Reg. S, 0.88%, 02/19/2029 | EUR | 100 | 85 | |||||
| Reg. S, (EUR Swap Rate 5 Year + 1.45%), 1.94%, 10/03/2029 (aa) | EUR | 1,425 | 1,311 | |||||
| Cooperatieve Rabobank UA, (Netherlands), | ||||||||
| Reg. S, 0.01%, 07/02/2030 | EUR | 100 | 77 | |||||
| Reg. S, 0.01%, 11/27/2040 | EUR | 100 | 56 | |||||
| Reg. S, 0.63%, 04/26/2026 | EUR | 100 | 91 | |||||
| Reg. S, 0.75%, 03/02/2032 | EUR | 100 | 79 | |||||
| Reg. S, 0.88%, 02/08/2028 | EUR | 200 | 175 | |||||
| Reg. S, 1.25%, 03/23/2026 | EUR | 775 | 715 | |||||
| Reg. S, 1.38%, 02/03/2027 | EUR | 25 | 23 | |||||
| Reg. S, 2.38%, 05/22/2023 | EUR | 30 | 29 | |||||
| Reg. S, (EUR Swap Rate 5 Year + 1.95%), 3.88%, 11/30/2032 (aa) | EUR | 1,100 | 1,017 | |||||
| 4.38%, 08/04/2025 | 250 | 239 | ||||||
| Reg. S, 5.25%, 05/23/2041 | GBP | 50 | 54 | |||||
| Credit Agricole Italia SpA, (Italy), | ||||||||
| Reg. S, 0.13%, 03/15/2033 | EUR | 100 | 67 | |||||
| Reg. S, 0.25%, 09/30/2024 | EUR | 100 | 93 | |||||
| Reg. S, 0.38%, 01/20/2032 | EUR | 100 | 73 | |||||
| Credit Agricole SA, (France), | ||||||||
| Reg. S, (ICE LIBOR EUR 3 Month + 1.25%), 1.00%, 04/22/2026 (aa) | EUR | 3,000 | 2,736 | |||||
| Reg. S, (EUR Swap Rate 5 Year + 1.90%), 1.63%, 06/05/2030 (aa) | EUR | 2,100 | 1,859 | |||||
| Reg. S, 1.75%, 03/05/2029 | EUR | 100 | 83 | |||||
| Reg. S, (UK Gilts 5 Year + 1.50%), 1.87%, 12/09/2031 (aa) | GBP | 300 | 259 | |||||
| Reg. S, 2.38%, 05/20/2024 | EUR | 100 | 97 | |||||
| Reg. S, 2.50%, 08/29/2029 | EUR | 2,600 | 2,330 | |||||
| Credit Suisse AG, (Switzerland), Reg. S, 0.25%, 09/01/2028 | EUR | 800 | 594 | |||||
| Credit Suisse Group AG, (Switzerland), | ||||||||
| Reg. S, (EUR Swap Rate 1 Year + 0.75%), 1.25%, 07/17/2025 (aa) | EUR | 1,400 | 1,273 | |||||
| Reg. S, (EUR Swap Rate 1 Year + 1.60%), 2.13%, 10/13/2026 (aa) | EUR | 1,000 | 881 | |||||
| Reg. S, (EUR Swap Rate 1 Year + 1.95%), 2.88%, 04/02/2032 (aa) | EUR | 1,150 | 870 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| (United States SOFR + 1.73%), 3.09%, 05/14/2032 (e) (aa) | 755 | 529 | ||||||
| Credit Suisse Schweiz AG, (Switzerland), Reg. S, 0.00%, 10/31/2030 | CHF | 25 | 20 | |||||
| Credito Emiliano SpA, (Italy), Reg. S, 0.01%, 07/07/2028 | EUR | 100 | 81 | |||||
| Danske Bank A/S, (Denmark), | ||||||||
| Reg. S, 0.25%, 11/28/2022 | EUR | 425 | 416 | |||||
| Reg. S, IF, (1.15% - ICE EURIBOR Swap Rate 1 Year), 0.50%, 08/27/2025 (aa) | EUR | 425 | 388 | |||||
| (CMT Index 1 Year + 1.03%), 1.17%, 12/08/2023 (e) (aa) | 850 | 842 | ||||||
| Reg. S, (UK Gilts 1 Year + 1.65%), 2.25%, 01/14/2028 (aa) | GBP | 1,800 | 1,610 | |||||
| Danske Hypotek AB, (Sweden), Series 2512, Reg. S, 1.00%, 12/17/2025 | SEK | 2,000 | 166 | |||||
| Danske Mortgage Bank plc, (Finland), Reg. S, 0.01%, 11/24/2026 | EUR | 100 | 87 | |||||
| de Volksbank NV, (Netherlands), Reg. S, 1.00%, 03/08/2028 | EUR | 100 | 88 | |||||
| Deutsche Apotheker-und Aerztebank eG, (Germany), Reg. S, 0.01%, 02/06/2029 | EUR | 100 | 81 | |||||
| Deutsche Bank AG, (Germany), | ||||||||
| Reg. S, 0.13%, 01/21/2030 | EUR | 75 | 59 | |||||
| Reg. S, 0.25%, 03/08/2024 | EUR | 100 | 95 | |||||
| Reg. S, (ICE LIBOR EUR 3 Month + 1.60%), 1.00%, 11/19/2025 (aa) | EUR | 400 | 361 | |||||
| Reg. S, 1.13%, 08/30/2023 | EUR | 775 | 748 | |||||
| Reg. S, 1.13%, 03/17/2025 | EUR | 400 | 365 | |||||
| Reg. S, (ICE LIBOR EUR 3 Month + 1.38%), 1.88%, 02/23/2028 (aa) | EUR | 1,500 | 1,250 | |||||
| (United States SOFR + 1.87%), 2.13%, 11/24/2026 (aa) | 2,950 | 2,505 | ||||||
| Reg. S, 2.25%, 09/20/2027 | EUR | 100 | 95 | |||||
| (United States SOFR + 1.22%), 2.31%, 11/16/2027 (aa) | 150 | 122 | ||||||
| 3.70%, 05/30/2024 | 100 | 96 | ||||||
| 3.95%, 02/27/2023 | 2,700 | 2,688 | ||||||
| Deutsche Kreditbank AG, (Germany), | ||||||||
| Reg. S, 0.01%, 11/07/2029 | EUR | 50 | 40 | |||||
| Reg. S, 1.63%, 05/05/2032 | EUR | 100 | 86 | |||||
| Deutsche Pfandbriefbank AG, (Germany), | ||||||||
| Reg. S, 0.63%, 08/30/2027 | EUR | 100 | 87 | |||||
| Reg. S, 1.00%, 04/13/2026 | EUR | 100 | 92 | |||||
| Dexia Credit Local SA, (France), | ||||||||
| Reg. S, 0.00%, 05/29/2024 | EUR | 300 | 281 | |||||
| Reg. S, 0.01%, 01/22/2027 | EUR | 200 | 173 | |||||
| Reg. S, 0.63%, 01/17/2026 | EUR | 600 | 547 | |||||
| Reg. S, 1.25%, 11/26/2024 | EUR | 700 | 665 | |||||
| Reg. S, 2.13%, 02/12/2025 | GBP | 400 | 414 | |||||
| Discover Bank, 3.45%, 07/27/2026 | 1,200 | 1,093 | ||||||
| DNB Boligkreditt A/S, (Norway), | ||||||||
| Reg. S, 0.01%, 01/21/2031 | EUR | 100 | 76 | |||||
| Reg. S, 0.25%, 01/23/2023 | EUR | 200 | 195 | |||||
| Reg. S, 0.25%, 09/07/2026 | EUR | 100 | 88 | |||||
| Reg. S, 0.38%, 11/20/2024 | EUR | 100 | 93 | |||||
| DZ HYP AG, (Germany), | ||||||||
| Reg. S, 0.01%, 06/23/2028 | EUR | 100 | 83 | |||||
| Reg. S, 0.01%, 10/27/2028 | EUR | 25 | 20 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Reg. S, 0.01%, 11/15/2030 | EUR | 100 | 77 | |||||
| Reg. S, 0.38%, 03/31/2026 | EUR | 100 | 90 | |||||
| Reg. S, 0.63%, 10/27/2023 | EUR | 200 | 192 | |||||
| Reg. S, 0.88%, 04/17/2034 | EUR | 100 | 76 | |||||
| Series 1248, Reg. S, 1.63%, 05/30/2031 | EUR | 100 | 87 | |||||
| Eika Boligkreditt A/S, (Norway), Reg. S, 0.38%, 02/26/2025 | EUR | 100 | 93 | |||||
| Equitable Bank, (Canada), Reg. S, 0.01%, 09/16/2024 | EUR | 100 | 93 | |||||
| Erste Group Bank AG, (Austria), | ||||||||
| Reg. S, 0.25%, 06/26/2024 | EUR | 100 | 94 | |||||
| Reg. S, 0.50%, 01/12/2037 | EUR | 100 | 66 | |||||
| Reg. S, 0.75%, 02/05/2025 | EUR | 100 | 94 | |||||
| Eurocaja Rural SCC, (Spain), Reg. S, 0.13%, 09/22/2031 | EUR | 100 | 74 | |||||
| Federation des Caisses Desjardins du Quebec, (Canada), Reg. S, 0.01%, 04/08/2026 | EUR | 100 | 88 | |||||
| Fifth Third Bancorp, (United States SOFR + 0.69%), 1.71%, 11/01/2027 (aa) | 35 | 30 | ||||||
| First Republic Bank, (United States SOFR + 0.62%), 1.91%, 02/12/2024 (aa) | 250 | 247 | ||||||
| Goldman Sachs Group, Inc. (The), | ||||||||
| (United States SOFR + 0.61%), 0.86%, 02/12/2026 (aa) | 28 | 25 | ||||||
| Reg. S, 0.88%, 05/09/2029 | EUR | 2,000 | 1,543 | |||||
| (United States SOFR + 0.79%), 1.09%, 12/09/2026 (aa) | 135 | 116 | ||||||
| Reg. S, 1.38%, 05/15/2024 | EUR | 1,650 | 1,574 | |||||
| (United States SOFR + 0.80%), 1.43%, 03/09/2027 (aa) | 1,310 | 1,127 | ||||||
| (United States SOFR + 0.73%), 1.76%, 01/24/2025 (aa) | 120 | 114 | ||||||
| (United States SOFR + 0.91%), 1.95%, 10/21/2027 (aa) | 1,815 | 1,553 | ||||||
| (United States SOFR + 1.25%), 2.38%, 07/21/2032 (aa) | 695 | 524 | ||||||
| 2.60%, 02/07/2030 | 3,395 | 2,737 | ||||||
| (United States SOFR + 1.28%), 2.62%, 04/22/2032 (aa) | 4,115 | 3,194 | ||||||
| (United States SOFR + 1.26%), 2.65%, 10/21/2032 (aa) | 700 | 536 | ||||||
| (United States SOFR + 1.47%), 2.91%, 07/21/2042 (aa) | 315 | 202 | ||||||
| Reg. S, 3.13%, 07/25/2029 | GBP | 800 | 704 | |||||
| (ICE LIBOR USD 3 Month + 1.20%), 3.27%, 09/29/2025 (aa) | 2,500 | 2,382 | ||||||
| 3.50%, 04/01/2025 | 47 | 45 | ||||||
| (ICE LIBOR USD 3 Month + 1.37%), 4.02%, 10/31/2038 (aa) | 60 | 47 | ||||||
| (United States SOFR + 1.73%), 4.48%, 08/23/2028 (aa) | 395 | 371 | ||||||
| 5.15%, 05/22/2045 | 21 | 17 | ||||||
| 6.25%, 02/01/2041 | 50 | 50 | ||||||
| 6.75%, 10/01/2037 | 50 | 50 | ||||||
| 6.88%, 01/18/2038 | GBP | 425 | 450 | |||||
| Heta Asset Resolution AG, (Austria), Reg. S, 2.38%, 12/13/2022 | EUR | 800 | 786 | |||||
| HSBC Bank Canada, (Canada), Reg. S, 1.50%, 09/15/2027 | EUR | 100 | 91 | |||||
| HSBC Bank plc, (United Kingdom), Reg. S, 6.25%, 01/30/2041 | GBP | 175 | 174 | |||||
| HSBC Holdings plc, (United Kingdom), | ||||||||
| Reg. S, (ICE LIBOR EUR 3 Month + 1.03%), 0.77%, 11/13/2031 (aa) | EUR | 1,000 | 709 | |||||
| (United States SOFR + 0.58%), 1.16%, 11/22/2024 (aa) | 200 | 189 | ||||||
| (United States SOFR + 1.29%), 1.59%, 05/24/2027 (aa) | 200 | 167 | ||||||
| (United States SOFR + 1.54%), 1.65%, 04/18/2026 (aa) | 1,000 | 889 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| (SONIA Interest Rate Benchmark + 1.31%), 1.75%, 07/24/2027 (aa) | GBP | 800 | 718 | |||||
| (United States SOFR + 1.43%), 3.00%, 03/10/2026 (aa) | 200 | 185 | ||||||
| (GBP Swap Rate 1 Year + 1.65%), 3.00%, 07/22/2028 (aa) | GBP | 1,000 | 904 | |||||
| (GBP Swap Rate 1 Year + 1.77%), 3.00%, 05/29/2030 (aa) | GBP | 225 | 190 | |||||
| Reg. S, (ICE LIBOR EUR 3 Month + 1.45%), 3.02%, 06/15/2027 (aa) | EUR | 2,175 | 2,002 | |||||
| (ICE LIBOR USD 3 Month + 0.99%), 3.95%, 05/18/2024 (aa) | 200 | 197 | ||||||
| (ICE LIBOR USD 3 Month + 1.61%), 3.97%, 05/22/2030 (aa) | 900 | 761 | ||||||
| (United States SOFR + 2.53%), 4.76%, 03/29/2033 (aa) | 200 | 164 | ||||||
| (United States SOFR + 2.61%), 5.21%, 08/11/2028 (aa) | 1,280 | 1,197 | ||||||
| (United States SOFR + 2.87%), 5.40%, 08/11/2033 (aa) | 200 | 178 | ||||||
| Reg. S, 7.00%, 04/07/2038 | GBP | 300 | 300 | |||||
| Hypo Vorarlberg Bank AG, (Austria), Reg. S, 0.75%, 02/11/2025 | EUR | 100 | 93 | |||||
| ING Bank NV, (Netherlands), | ||||||||
| Reg. S, 0.13%, 12/08/2031 | EUR | 100 | 75 | |||||
| Reg. S, 0.75%, 02/18/2029 | EUR | 100 | 85 | |||||
| Reg. S, 1.88%, 05/22/2023 | EUR | 100 | 98 | |||||
| Reg. S, 2.50%, 02/21/2030 | EUR | 100 | 94 | |||||
| ING Belgium SA, (Belgium), Reg. S, 0.01%, 02/20/2030 | EUR | 100 | 78 | |||||
| ING Groep NV, (Netherlands), | ||||||||
| Reg. S, (ICE LIBOR EUR 3 Month + 0.60%), 0.10%, 09/03/2025 (aa) | EUR | 1,500 | 1,367 | |||||
| Reg. S, (EUR Swap Rate 5 Year + 1.15%), 1.00%, 11/16/2032 (aa) | EUR | 1,500 | 1,157 | |||||
| Reg. S, 1.13%, 02/14/2025 | EUR | 1,200 | 1,117 | |||||
| Reg. S, (SONIA Interest Rate Benchmark + 0.91%), 1.13%, 12/07/2028 (aa) | GBP | 900 | 737 | |||||
| (United States SOFR + 1.01%), 1.73%, 04/01/2027 (aa) | 1,265 | 1,085 | ||||||
| Reg. S, 2.00%, 09/20/2028 | EUR | 300 | 256 | |||||
| Reg. S, (EUR Swap Rate 5 Year + 2.40%), 2.13%, 05/26/2031 (aa) | EUR | 300 | 261 | |||||
| Reg. S, (EUR Swap Rate 5 Year + 2.85%), 3.00%, 04/11/2028 (aa) | EUR | 300 | 291 | |||||
| (United States SOFR + 1.83%), 4.02%, 03/28/2028 (aa) | 1,560 | 1,417 | ||||||
| 4.10%, 10/02/2023 | 200 | 198 | ||||||
| (United States SOFR + 2.07%), 4.25%, 03/28/2033 (aa) | 885 | 750 | ||||||
| ING-DiBa AG, (Germany), Reg. S, 0.01%, 10/07/2028 | EUR | 200 | 164 | |||||
| Intesa Sanpaolo SpA, (Italy), | ||||||||
| Reg. S, 0.38%, 09/14/2026 | EUR | 100 | 88 | |||||
| Reg. S, 0.63%, 03/23/2023 | EUR | 100 | 98 | |||||
| Reg. S, 1.50%, 04/10/2024 | EUR | 1,600 | 1,525 | |||||
| Reg. S, 2.13%, 05/26/2025 | EUR | 2,275 | 2,119 | |||||
| Series XR, 3.25%, 09/23/2024 (e) | 2,900 | 2,731 | ||||||
| Reg. S, 3.38%, 01/24/2025 | EUR | 100 | 99 | |||||
| Investitionsbank Berlin, (Germany), | ||||||||
| Series 208, 0.05%, 03/02/2035 | EUR | 100 | 67 | |||||
| Reg. S, 2.75%, 10/04/2027 (w) | EUR | 300 | 293 | |||||
| Jyske Bank A/S, (Denmark), Reg. S, (EUR Swap Rate 1 Year + 0.50%), 0.05%, 09/02/2026 (aa) | EUR | 1,750 | 1,516 | |||||
| Kookmin Bank, (South Korea), Reg. S, 2.38%, 01/27/2026 | EUR | 100 | 95 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Kreditanstalt fuer Wiederaufbau, (Germany), | ||||||||
| Reg. S, 0.00%, 02/18/2025 | EUR | 120 | 111 | |||||
| Reg. S, 0.00%, 06/15/2026 | EUR | 500 | 448 | |||||
| Reg. S, 0.00%, 03/31/2027 | EUR | 500 | 438 | |||||
| Reg. S, 0.00%, 04/30/2027 | EUR | 2,230 | 1,946 | |||||
| Reg. S, 0.00%, 12/15/2027 | EUR | 1,140 | 977 | |||||
| Reg. S, 0.00%, 09/15/2028 | EUR | 585 | 492 | |||||
| Reg. S, 0.00%, 06/15/2029 | EUR | 254 | 209 | |||||
| Reg. S, 0.00%, 09/17/2030 | EUR | 1,108 | 874 | |||||
| Reg. S, 0.00%, 01/10/2031 | EUR | 670 | 523 | |||||
| Reg. S, 0.01%, 05/05/2027 | EUR | 520 | 454 | |||||
| 0.05%, 02/28/2024 | EUR | 500 | 475 | |||||
| Reg. S, 0.05%, 09/29/2034 | EUR | 280 | 196 | |||||
| Reg. S, 0.13%, 01/09/2032 | EUR | 830 | 636 | |||||
| 0.25%, 09/15/2025 | EUR | 1,100 | 1,014 | |||||
| 0.38%, 07/18/2025 | 200 | 179 | ||||||
| Reg. S, 0.38%, 04/23/2030 | EUR | 360 | 297 | |||||
| Reg. S, 0.38%, 05/20/2036 | EUR | 548 | 382 | |||||
| Reg. S, 0.50%, 09/28/2026 | EUR | 520 | 472 | |||||
| 0.50%, 09/15/2027 | EUR | 500 | 443 | |||||
| Reg. S, 0.88%, 07/04/2039 | EUR | 40 | 28 | |||||
| Reg. S, 1.00%, 12/15/2022 | GBP | 1,650 | 1,835 | |||||
| Reg. S, 1.13%, 06/15/2037 | EUR | 340 | 258 | |||||
| Reg. S, 1.38%, 12/15/2025 | GBP | 225 | 224 | |||||
| Reg. S, 1.38%, 07/31/2035 | EUR | 202 | 164 | |||||
| 2.00%, 05/02/2025 | 195 | 184 | ||||||
| Reg. S, 2.00%, 11/15/2029 | EUR | 500 | 469 | |||||
| 2.38%, 12/29/2022 | 275 | 274 | ||||||
| 4.70%, 06/02/2037 | CAD | 100 | 76 | |||||
| Reg. S, 4.88%, 03/15/2037 | GBP | 425 | 484 | |||||
| 5.50%, 06/18/2025 | GBP | 1,000 | 1,127 | |||||
| 6.00%, 12/07/2028 | GBP | 2,500 | 2,943 | |||||
| Kutxabank SA, (Spain), Reg. S, 1.25%, 09/22/2025 | EUR | 100 | 93 | |||||
| La Banque Postale SA, (France), | ||||||||
| Reg. S, 0.25%, 07/12/2026 | EUR | 200 | 174 | |||||
| Reg. S, 0.75%, 06/23/2031 | EUR | 100 | 70 | |||||
| Reg. S, 1.38%, 04/24/2029 | EUR | 200 | 162 | |||||
| Landesbank Baden-Wuerttemberg, (Germany), | ||||||||
| Series 809, Reg. S, 0.38%, 07/29/2026 | EUR | 100 | 86 | |||||
| Reg. S, 0.38%, 02/18/2027 | EUR | 200 | 167 | |||||
| Reg. S, 0.38%, 05/07/2029 | EUR | 100 | 74 | |||||
| Reg. S, 0.88%, 09/15/2025 | EUR | 100 | 93 | |||||
| Series 829, Reg. S, 1.75%, 02/28/2028 | EUR | 100 | 92 | |||||
| Reg. S, 2.38%, 02/26/2027 | EUR | 100 | 96 | |||||
| Landesbank Hessen-Thueringen Girozentrale, (Germany), | ||||||||
| Reg. S, 0.38%, 06/04/2029 | EUR | 100 | 75 | |||||
| Reg. S, 0.50%, 01/19/2037 | EUR | 100 | 68 | |||||
| Reg. S, 0.63%, 01/12/2027 | EUR | 200 | 178 | |||||
| Reg. S, (ICE EURIBOR Swap Rate 5 Year + 2.75%), 4.50%, 09/15/2032 (aa) | EUR | 100 | 90 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Landeskreditbank Baden-Wuerttemberg Foerderbank, (Germany), Reg. S, 0.38%, 02/25/2027 | EUR | 400 | 352 | |||||
| Landwirtschaftliche Rentenbank, (Germany), | ||||||||
| Reg. S, 0.00%, 09/28/2026 | EUR | 535 | 472 | |||||
| Reg. S, 0.00%, 07/19/2028 | EUR | 1,500 | 1,256 | |||||
| Reg. S, 0.00%, 11/27/2029 | EUR | 770 | 618 | |||||
| Reg. S, 0.05%, 12/18/2029 | EUR | 180 | 145 | |||||
| Reg. S, 0.10%, 03/08/2027 | EUR | 200 | 175 | |||||
| Reg. S, 0.25%, 08/29/2025 | EUR | 300 | 275 | |||||
| Reg. S, 0.38%, 02/14/2028 | EUR | 1,140 | 986 | |||||
| Reg. S, 0.63%, 02/20/2030 | EUR | 140 | 117 | |||||
| Reg. S, 0.63%, 10/31/2036 | EUR | 75 | 53 | |||||
| Liberbank SA, (Spain), Reg. S, 0.25%, 09/25/2029 | EUR | 100 | 79 | |||||
| Lloyds Bank plc, (United Kingdom), | ||||||||
| Reg. S, 0.13%, 06/18/2026 | EUR | 100 | 88 | |||||
| Reg. S, 0.25%, 03/25/2024 | EUR | 100 | 95 | |||||
| Reg. S, 6.00%, 02/08/2029 | GBP | 100 | 115 | |||||
| Reg. S, 6.50%, 09/17/2040 | GBP | 300 | 356 | |||||
| Lloyds Banking Group plc, (United Kingdom), | ||||||||
| (UK Gilts 5 Year + 1.60%), 1.99%, 12/15/2031 (aa) | GBP | 1,000 | 866 | |||||
| 3.90%, 03/12/2024 | 2,500 | 2,447 | ||||||
| (CMT Index 1 Year + 2.30%), 4.98%, 08/11/2033 (aa) | 200 | 175 | ||||||
| Macquarie Bank Ltd., (Australia), Reg. S, 2.57%, 09/15/2027 | EUR | 100 | 95 | |||||
| Mediobanca Banca di Credito Finanziario SpA, (Italy), | ||||||||
| Reg. S, 0.75%, 07/15/2027 | EUR | 425 | 347 | |||||
| Reg. S, 1.13%, 07/15/2025 | EUR | 975 | 878 | |||||
| Series 4, Reg. S, 1.38%, 11/10/2025 | EUR | 100 | 93 | |||||
| Reg. S, 2.38%, 06/30/2027 | EUR | 100 | 94 | |||||
| Mitsubishi UFJ Financial Group, Inc., (Japan), | ||||||||
| (CMT Index 1 Year + 0.55%), 0.95%, 07/19/2025 (aa) | 400 | 368 | ||||||
| (CMT Index 1 Year + 0.75%), 1.54%, 07/20/2027 (aa) | 2,000 | 1,705 | ||||||
| Reg. S, (ICE LIBOR EUR 3 Month + 0.94%), 2.26%, 06/14/2025 (aa) | EUR | 1,175 | 1,121 | |||||
| (CMT Index 1 Year + 0.83%), 2.34%, 01/19/2028 (aa) | 200 | 173 | ||||||
| (CMT Index 1 Year + 1.90%), 5.35%, 09/13/2028 (aa) | 3,450 | 3,364 | ||||||
| Mizuho Financial Group, Inc., (Japan), | ||||||||
| (ICE LIBOR USD 3 Month + 0.83%), 2.23%, 05/25/2026 (aa) | 3,000 | 2,722 | ||||||
| (United States SOFR + 1.24%), 2.84%, 07/16/2025 (aa) | 200 | 189 | ||||||
| (CMT Index 1 Year + 2.05%), 5.41%, 09/13/2028 (aa) | 2,900 | 2,838 | ||||||
| Morgan Stanley, | ||||||||
| (ICE LIBOR EUR 3 Month + 0.70%), 0.41%, 10/29/2027 (aa) | EUR | 4,350 | 3,664 | |||||
| (ICE LIBOR EUR 3 Month + 0.75%), 0.64%, 07/26/2024 (aa) | EUR | 1,675 | 1,604 | |||||
| (United States SOFR + 0.62%), 0.73%, 04/05/2024 (aa) | 100 | 98 | ||||||
| (United States SOFR + 0.86%), 1.51%, 07/20/2027 (aa) | 225 | 192 | ||||||
| (United States SOFR + 0.88%), 1.59%, 05/04/2027 (aa) | 1,235 | 1,065 | ||||||
| 1.88%, 04/27/2027 | EUR | 1,300 | 1,157 | |||||
| (United States SOFR + 1.02%), 1.93%, 04/28/2032 (aa) | 1,350 | 985 | ||||||
| (ICE LIBOR EUR 3 Month + 0.90%), 2.10%, 05/08/2026 (aa) | EUR | 900 | 840 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| 2.63%, 03/09/2027 | GBP | 725 | 685 | |||||
| (United States SOFR + 1.14%), 2.70%, 01/22/2031 (aa) | 3,900 | 3,161 | ||||||
| (United States SOFR + 1.43%), 2.80%, 01/25/2052 (aa) | 45 | 27 | ||||||
| (ICE LIBOR EUR 3 Month + 1.25%), 2.95%, 05/07/2032 (aa) | EUR | 2,200 | 1,902 | |||||
| (United States SOFR + 1.16%), 3.62%, 04/17/2025 (aa) | 185 | 180 | ||||||
| 4.10%, 05/22/2023 | 2,700 | 2,691 | ||||||
| 4.30%, 01/27/2045 | 170 | 134 | ||||||
| 4.38%, 01/22/2047 | 23 | 18 | ||||||
| (ICE LIBOR USD 3 Month + 1.63%), 4.43%, 01/23/2030 (aa) | 75 | 69 | ||||||
| (ICE LIBOR USD 3 Month + 1.43%), 4.46%, 04/22/2039 (aa) | 10 | 9 | ||||||
| (United States SOFR + 1.67%), 4.68%, 07/17/2026 (aa) | 965 | 940 | ||||||
| (United States SOFR + 2.08%), 4.89%, 07/20/2033 (aa) | 175 | 162 | ||||||
| 5.00%, 11/24/2025 | 140 | 138 | ||||||
| (United States SOFR + 4.84%), 5.60%, 03/24/2051 (aa) | 40 | 38 | ||||||
| Muenchener Hypothekenbank eG, (Germany), | ||||||||
| Reg. S, 0.01%, 11/02/2040 | EUR | 50 | 28 | |||||
| Reg. S, 0.13%, 02/01/2029 | EUR | 50 | 41 | |||||
| Reg. S, 1.00%, 04/18/2039 | EUR | 50 | 36 | |||||
| Reg. S, 1.50%, 06/25/2024 | EUR | 100 | 96 | |||||
| Reg. S, 2.50%, 07/04/2028 | EUR | 100 | 95 | |||||
| National Australia Bank Ltd., (Australia), | ||||||||
| Reg. S, 0.75%, 01/30/2026 | EUR | 100 | 91 | |||||
| Reg. S, (UK Gilts 5 Year + 1.40%), 1.70%, 09/15/2031 (aa) | GBP | 725 | 630 | |||||
| Reg. S, 2.35%, 08/30/2029 | EUR | 100 | 92 | |||||
| National Bank of Canada, (Canada), Reg. S, 0.75%, 03/13/2025 | EUR | 100 | 93 | |||||
| Nationale-Nederlanden Bank NV (The), (Netherlands), Reg. S, 0.01%, 07/08/2030 | EUR | 100 | 77 | |||||
| NatWest Group plc, (United Kingdom), | ||||||||
| Reg. S, (ICE LIBOR EUR 3 Month + 0.89%), 0.67%, 09/14/2029 (aa) | EUR | 200 | 151 | |||||
| Reg. S, (EUR Swap Rate 5 Year + 1.27%), 1.04%, 09/14/2032 (aa) | EUR | 875 | 662 | |||||
| Reg. S, (ICE LIBOR EUR 3 Month + 1.08%), 1.75%, 03/02/2026 (aa) | EUR | 1,200 | 1,099 | |||||
| Reg. S, (ICE LIBOR EUR 3 Month + 1.74%), 2.00%, 03/04/2025 (aa) | EUR | 100 | 95 | |||||
| Reg. S, (UK Gilts 5 Year + 1.75%), 2.11%, 11/28/2031 (aa) | GBP | 600 | 520 | |||||
| (CMT Index 1 Year + 2.15%), 2.36%, 05/22/2024 (aa) | 2,000 | 1,953 | ||||||
| Reg. S, (ICE LIBOR EUR 3 Month + 1.91%), 4.07%, 09/06/2028 (aa) | EUR | 1,950 | 1,815 | |||||
| (ICE LIBOR USD 3 Month + 1.75%), 4.89%, 05/18/2029 (aa) | 1,670 | 1,521 | ||||||
| NatWest Markets plc, (United Kingdom), Reg. S, 2.00%, 08/27/2025 | EUR | 1,000 | 926 | |||||
| NIBC Bank NV, (Netherlands), | ||||||||
| Reg. S, 0.13%, 04/21/2031 | EUR | 100 | 75 | |||||
| Reg. S, 0.63%, 06/01/2026 | EUR | 100 | 90 | |||||
| NORD/LB Luxembourg SA Covered Bond Bank, (Luxembourg), Reg. S, 0.01%, 06/10/2027 | EUR | 100 | 85 | |||||
| Norddeutsche Landesbank-Girozentrale, (Germany), | ||||||||
| Reg. S, 0.01%, 09/23/2026 | EUR | 100 | 87 | |||||
| Reg. S, 0.13%, 11/23/2023 | EUR | 100 | 95 | |||||
| Reg. S, 0.25%, 10/28/2026 | EUR | 20 | 18 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Reg. S, 0.50%, 06/29/2026 | EUR | 50 | 45 | |||||
| Reg. S, 2.25%, 09/20/2027 | EUR | 100 | 95 | |||||
| Nordea Bank Abp, (Finland), | ||||||||
| Reg. S, 0.88%, 06/26/2023 | EUR | 425 | 411 | |||||
| 3.75%, 08/30/2023 (e) | 1,900 | 1,876 | ||||||
| 5.38%, 09/22/2027 (e) | 2,150 | 2,097 | ||||||
| Nordea Hypotek AB, (Sweden), | ||||||||
| Series 5536, Reg. S, 0.50%, 09/16/2026 | SEK | 1,200 | 95 | |||||
| Series 5534, Reg. S, 1.00%, 09/18/2024 | SEK | 2,500 | 215 | |||||
| Series 5535, Reg. S, 1.00%, 09/17/2025 | SEK | 2,200 | 184 | |||||
| Series 5537, Reg. S, 1.00%, 06/16/2027 | SEK | 2,000 | 158 | |||||
| Series 5533, Reg. S, 1.25%, 09/20/2023 | SEK | 1,700 | 151 | |||||
| Nordea Kiinnitysluottopankki OYJ, (Finland), | ||||||||
| Reg. S, 0.13%, 06/18/2027 | EUR | 100 | 86 | |||||
| Reg. S, 1.00%, 03/30/2029 | EUR | 100 | 86 | |||||
| Reg. S, 2.50%, 09/14/2032 | EUR | 100 | 92 | |||||
| NRW Bank, (Germany), | ||||||||
| Reg. S, 0.00%, 07/28/2031 | EUR | 138 | 104 | |||||
| Reg. S, 0.10%, 07/09/2035 | EUR | 100 | 67 | |||||
| Reg. S, 0.25%, 03/10/2025 | EUR | 120 | 111 | |||||
| Reg. S, 0.50%, 05/26/2025 | EUR | 320 | 296 | |||||
| Reg. S, 0.50%, 06/17/2041 | EUR | 300 | 188 | |||||
| Reg. S, 0.75%, 06/30/2028 | EUR | 260 | 226 | |||||
| 1.20%, 03/28/2039 | EUR | 100 | 74 | |||||
| 1.25%, 05/13/2049 | EUR | 87 | 62 | |||||
| Nykredit Realkredit A/S, (Denmark), | ||||||||
| Series 13HH, Reg. S, 1.00%, 07/01/2024 | DKK | 700 | 89 | |||||
| Series 13H, Reg. S, 1.00%, 07/01/2026 | DKK | 800 | 97 | |||||
| Series 13H, Reg. S, 1.00%, 01/01/2027 | DKK | 1,200 | 143 | |||||
| Series 13H, Reg. S, 1.00%, 01/01/2028 | DKK | 200 | 23 | |||||
| Series 01eE, Reg. S, 1.50%, 10/01/2053 | DKK | 22,755 | 2,246 | |||||
| Series 13H, Reg. S, 2.00%, 01/01/2025 | DKK | 300 | 39 | |||||
| Series 13H, Reg. S, 2.00%, 01/01/2026 | DKK | 1,000 | 126 | |||||
| Oesterreichische Kontrollbank AG, (Austria), | ||||||||
| Reg. S, 0.00%, 10/08/2026 | EUR | 150 | 131 | |||||
| Reg. S, 0.25%, 09/26/2024 | EUR | 300 | 280 | |||||
| OP Mortgage Bank, (Finland), | ||||||||
| Reg. S, 0.25%, 03/13/2024 | EUR | 100 | 95 | |||||
| Reg. S, 0.63%, 02/15/2029 | EUR | 100 | 84 | |||||
| Reg. S, 1.00%, 11/28/2024 | EUR | 150 | 142 | |||||
| Reg. S, 1.00%, 10/05/2027 | EUR | 100 | 89 | |||||
| Pfandbriefbank schweizerischer Hypothekarinstitute AG, (Switzerland), | ||||||||
| Series 670, Reg. S, 0.00%, 07/29/2024 | CHF | 350 | 345 | |||||
| Series 680, Reg. S, 0.00%, 03/30/2026 | CHF | 200 | 191 | |||||
| Series 682, Reg. S, 0.00%, 04/06/2027 | CHF | 100 | 93 | |||||
| Series 683, Reg. S, 0.00%, 02/25/2028 | CHF | 200 | 184 | |||||
| Series 695, Reg. S, 0.00%, 10/26/2029 | CHF | 200 | 177 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Reg. S, 0.00%, 02/26/2030 | CHF | 800 | 699 | |||||
| Series 697, Reg. S, 0.00%, 05/20/2041 | CHF | 200 | 138 | |||||
| Series 684, Reg. S, 0.00%, 05/10/2045 | CHF | 150 | 98 | |||||
| Series 678, Reg. S, 0.00%, 08/26/2049 | CHF | 75 | 46 | |||||
| Series 701, Reg. S, 0.13%, 06/20/2031 | CHF | 50 | 43 | |||||
| Series 696, Reg. S, 0.13%, 11/19/2032 | CHF | 100 | 83 | |||||
| Series 703, Reg. S, 0.38%, 01/24/2042 | CHF | 50 | 37 | |||||
| Pfandbriefzentrale der schweizerischen Kantonalbanken AG, (Switzerland), | ||||||||
| Series 485, Reg. S, 0.00%, 10/02/2026 | CHF | 400 | 379 | |||||
| Series 483, Reg. S, 0.00%, 01/27/2027 | CHF | 900 | 849 | |||||
| Series 524, Reg. S, 0.00%, 06/21/2028 | CHF | 50 | 46 | |||||
| Series 528, Reg. S, 0.00%, 03/15/2030 | CHF | 50 | 44 | |||||
| Series 526, Reg. S, 0.00%, 07/19/2030 | CHF | 75 | 65 | |||||
| Series 538, Reg. S, 0.00%, 07/25/2031 | CHF | 200 | 169 | |||||
| Series 530, Reg. S, 0.00%, 03/18/2033 | CHF | 120 | 97 | |||||
| Series 531, Reg. S, 0.00%, 02/15/2036 | CHF | 255 | 191 | |||||
| Series 536, Reg. S, 0.20%, 06/12/2035 | CHF | 50 | 39 | |||||
| Prima Banka Slovensko A/S, (Slovakia), Reg. S, 0.01%, 09/14/2027 | EUR | 100 | 84 | |||||
| Raiffeisen Bank International AG, (Austria), Reg. S, (ICE EURIBOR Swap Rate 5 Year + 5.20%), 7.38%, 12/20/2032 (aa) | EUR | 400 | 376 | |||||
| Raiffeisenlandesbank Niederoesterreich-Wien AG, (Austria), Reg. S, 0.63%, 08/28/2026 | EUR | 200 | 179 | |||||
| Raiffeisenlandesbank Oberoesterreich AG, (Austria), | ||||||||
| Reg. S, 0.88%, 07/12/2028 | EUR | 100 | 86 | |||||
| Reg. S, 1.25%, 04/26/2027 | EUR | 100 | 91 | |||||
| Rheinland-Pfalz Bank, (Germany), SUB, 6.88%, 02/23/2028 (e) | 200 | 220 | ||||||
| Royal Bank of Canada, (Canada), | ||||||||
| Reg. S, 0.01%, 10/05/2028 | EUR | 100 | 81 | |||||
| Reg. S, 0.13%, 04/26/2027 | EUR | 100 | 86 | |||||
| Reg. S, 0.25%, 01/29/2024 | EUR | 100 | 95 | |||||
| Reg. S, 0.25%, 05/02/2024 | EUR | 700 | 655 | |||||
| Reg. S, 0.63%, 09/10/2025 | EUR | 100 | 92 | |||||
| 1.15%, 06/10/2025 | 100 | 90 | ||||||
| Reg. S, 2.38%, 09/13/2027 | EUR | 150 | 142 | |||||
| 3.63%, 05/04/2027 | 90 | 83 | ||||||
| Santander Consumer Bank A/S, (Norway), | ||||||||
| Reg. S, 0.13%, 02/25/2025 | EUR | 2,700 | 2,432 | |||||
| Reg. S, 0.75%, 03/01/2023 | EUR | 2,000 | 1,950 | |||||
| Santander Holdings USA, Inc., 3.45%, 06/02/2025 | 45 | 42 | ||||||
| Santander UK Group Holdings plc, (United Kingdom), | ||||||||
| Reg. S, (EUR Swap Rate 1 Year + 0.80%), 0.60%, 09/13/2029 (aa) | EUR | 1,050 | 786 | |||||
| (United States SOFR + 0.79%), 1.09%, 03/15/2025 (aa) | 200 | 185 | ||||||
| Santander UK plc, (United Kingdom), | ||||||||
| Reg. S, 1.25%, 09/18/2024 | EUR | 100 | 95 | |||||
| Reg. S, 5.75%, 03/02/2026 | GBP | 100 | 112 | |||||
| Skandinaviska Enskilda Banken AB, (Sweden), | ||||||||
| Reg. S, 0.05%, 07/01/2024 | EUR | 775 | 722 | |||||
| Reg. S, 0.25%, 05/19/2023 | EUR | 325 | 314 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Series 581, Reg. S, 0.50%, 12/16/2026 | SEK | 2,000 | 157 | |||||
| Reg. S, 0.75%, 06/28/2027 | EUR | 100 | 88 | |||||
| Series 576, Reg. S, 1.00%, 12/20/2023 | SEK | 2,000 | 176 | |||||
| Series 579, Reg. S, 1.00%, 12/18/2024 | SEK | 2,000 | 171 | |||||
| Reg. S, (EUR Swap Rate 5 Year + 1.35%), 1.38%, 10/31/2028 (aa) | EUR | 425 | 403 | |||||
| Series 601, Reg. S, 3.00%, 12/06/2027 | SEK | 2,000 | 172 | |||||
| Series 578, Reg. S, 4.25%, 12/01/2023 | SEK | 500 | 46 | |||||
| Societe Generale SA, (France), | ||||||||
| Reg. S, 0.25%, 07/08/2027 | EUR | 1,500 | 1,247 | |||||
| Reg. S, 0.75%, 01/25/2027 | EUR | 1,700 | 1,419 | |||||
| Reg. S, 1.13%, 01/23/2025 | EUR | 100 | 92 | |||||
| Reg. S, (ICE LIBOR EUR 3 Month + 1.50%), 1.13%, 04/21/2026 (aa) | EUR | 1,500 | 1,362 | |||||
| Reg. S, 1.25%, 12/07/2027 | GBP | 500 | 414 | |||||
| Reg. S, 1.25%, 06/12/2030 | EUR | 500 | 377 | |||||
| (CMT Index 1 Year + 1.05%), 2.23%, 01/21/2026 (e) (aa) | 2,850 | 2,570 | ||||||
| 2.63%, 01/22/2025 (e) | 750 | 694 | ||||||
| (CMT Index 1 Year + 1.30%), 2.80%, 01/19/2028 (e) (aa) | 2,595 | 2,189 | ||||||
| SpareBank 1 Boligkreditt A/S, (Norway), | ||||||||
| Reg. S, 0.01%, 09/22/2027 | EUR | 100 | 85 | |||||
| Reg. S, 0.38%, 06/26/2024 | EUR | 100 | 94 | |||||
| Reg. S, 1.00%, 01/30/2029 | EUR | 100 | 86 | |||||
| Reg. S, 1.75%, 05/11/2032 | EUR | 100 | 86 | |||||
| Sparebank 1 Oestlandet, (Norway), Reg. S, 0.25%, 09/30/2024 | EUR | 600 | 553 | |||||
| SpareBank 1 SR-Bank ASA, (Norway), Reg. S, 0.63%, 03/25/2024 | EUR | 700 | 660 | |||||
| Sparebanken Soer Boligkreditt A/S, (Norway), Reg. S, 0.50%, 02/06/2026 | EUR | 100 | 90 | |||||
| SR-Boligkreditt A/S, (Norway), | ||||||||
| Reg. S, 0.01%, 03/10/2031 | EUR | 100 | 75 | |||||
| Reg. S, 0.75%, 10/17/2025 | EUR | 100 | 92 | |||||
| Stadshypotek AB, (Sweden), | ||||||||
| Reg. S, 0.01%, 11/24/2028 | EUR | 100 | 81 | |||||
| Series 1591, Reg. S, 0.50%, 06/01/2026 | SEK | 2,000 | 160 | |||||
| Series 1590, Reg. S, 1.00%, 09/03/2025 | SEK | 2,000 | 167 | |||||
| Series 1592, Reg. S, 1.00%, 03/01/2027 | SEK | 2,000 | 159 | |||||
| Series 1588, Reg. S, 1.50%, 03/01/2024 | SEK | 2,000 | 177 | |||||
| Series 1589, Reg. S, 1.50%, 12/03/2024 | SEK | 2,000 | 173 | |||||
| Series 1594, Reg. S, 2.00%, 09/01/2028 | SEK | 2,000 | 162 | |||||
| Reg. S, 2.63%, 09/27/2029 | EUR | 100 | 95 | |||||
| Standard Chartered plc, (United Kingdom), | ||||||||
| (CMT Index 1 Year + 1.00%), 1.46%, 01/14/2027 (e) (aa) | 1,200 | 1,016 | ||||||
| (CMT Index 1 Year + 1.18%), 2.61%, 01/12/2028 (e) (aa) | 2,600 | 2,202 | ||||||
| State Street Corp., (United States SOFR + 1.73%), 4.16%, 08/04/2033 (aa) | 275 | 248 | ||||||
| Sumitomo Mitsui Banking Corp., (Japan), Reg. S, 0.55%, 11/06/2023 | EUR | 100 | 96 | |||||
| Sumitomo Mitsui Financial Group, Inc., (Japan), | ||||||||
| 1.90%, 09/17/2028 | 200 | 160 | ||||||
| 2.70%, 07/16/2024 | 3,700 | 3,534 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Sumitomo Mitsui Trust Bank Ltd., (Japan), Reg. S, 0.01%, 10/15/2027 | EUR | 100 | 83 | |||||
| SVB Financial Group, 1.80%, 02/02/2031 | 28 | 20 | ||||||
| Svenska Handelsbanken AB, (Sweden), Reg. S, 0.50%, 02/18/2030 | EUR | 975 | 728 | |||||
| Sveriges Sakerstallda Obligationer AB, (Sweden), | ||||||||
| Reg. S, 0.01%, 03/14/2030 | EUR | 100 | 78 | |||||
| Series 148, Reg. S, 0.25%, 06/09/2027 | SEK | 2,000 | 152 | |||||
| Series 146, Reg. S, 0.50%, 06/11/2025 | SEK | 2,000 | 166 | |||||
| Reg. S, 0.63%, 10/30/2025 | EUR | 100 | 92 | |||||
| Series 147, Reg. S, 2.00%, 06/17/2026 | SEK | 2,000 | 169 | |||||
| Swedbank AB, (Sweden), | ||||||||
| Reg. S, 0.75%, 05/05/2025 | EUR | 700 | 643 | |||||
| Reg. S, (EUR Swap Rate 5 Year + 1.28%), 1.50%, 09/18/2028 (aa) | EUR | 1,900 | 1,801 | |||||
| Tesco Personal Finance Group plc, (United Kingdom), Reg. S, 3.50%, 07/25/2025 | GBP | 100 | 100 | |||||
| Toronto-Dominion Bank (The), (Canada), | ||||||||
| Reg. S, 0.25%, 03/26/2024 | EUR | 100 | 95 | |||||
| Reg. S, 0.38%, 04/27/2023 | EUR | 100 | 97 | |||||
| Reg. S, 0.86%, 03/24/2027 | EUR | 100 | 89 | |||||
| 1.25%, 09/10/2026 | 20 | 17 | ||||||
| Reg. S, 1.71%, 07/28/2025 | EUR | 100 | 95 | |||||
| Reg. S, 1.95%, 04/08/2030 | EUR | 700 | 582 | |||||
| 2.35%, 03/08/2024 | 180 | 174 | ||||||
| 4.29%, 09/13/2024 | 105 | 103 | ||||||
| 4.46%, 06/08/2032 | 100 | 91 | ||||||
| 4.69%, 09/15/2027 | 2,135 | 2,062 | ||||||
| Truist Financial Corp., | ||||||||
| 1.20%, 08/05/2025 | 160 | 144 | ||||||
| 3.88%, 03/19/2029 | 1,400 | 1,265 | ||||||
| UBS Group AG, (Switzerland), | ||||||||
| Reg. S, (EUR Swap Rate 1 Year + 0.77%), 0.25%, 11/05/2028 (aa) | EUR | 1,200 | 946 | |||||
| Reg. S, (EUR Swap Rate 1 Year + 0.75%), 1.25%, 04/17/2025 (aa) | EUR | 200 | 188 | |||||
| Reg. S, 1.75%, 11/16/2022 | EUR | 1,450 | 1,422 | |||||
| (CMT Index 1 Year + 1.10%), 2.75%, 02/11/2033 (e) (aa) | 2,000 | 1,485 | ||||||
| Reg. S, (ICE EURIBOR Swap Rate 1 Year + 1.15%), 2.75%, 06/15/2027 (aa) | EUR | 2,000 | 1,848 | |||||
| UniCredit Bank AG, (Germany), | ||||||||
| Reg. S, 0.01%, 09/15/2028 | EUR | 50 | 41 | |||||
| Reg. S, 0.01%, 03/10/2031 | EUR | 125 | 94 | |||||
| Reg. S, 0.25%, 01/15/2032 | EUR | 50 | 38 | |||||
| Reg. S, 0.85%, 05/22/2034 | EUR | 50 | 38 | |||||
| Reg. S, 0.88%, 01/11/2029 | EUR | 100 | 86 | |||||
| Reg. S, 1.88%, 04/09/2024 | EUR | 100 | 97 | |||||
| Reg. S, 2.63%, 04/27/2028 | EUR | 100 | 96 | |||||
| UniCredit Bank Austria AG, (Austria), Reg. S, 0.05%, 09/21/2035 | EUR | 100 | 65 | |||||
| UniCredit SpA, (Italy), | ||||||||
| Reg. S, 0.38%, 10/31/2026 | EUR | 100 | 88 | |||||
| Reg. S, (ICE LIBOR EUR 3 Month + 1.35%), 1.20%, 01/20/2026 (aa) | EUR | 1,175 | 1,047 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| (CMT Index 1 Year + 2.30%), 2.57%, 09/22/2026 (e) (aa) | 3,000 | 2,571 | ||||||
| United Overseas Bank Ltd., (Singapore), | ||||||||
| Reg. S, 0.01%, 12/01/2027 | EUR | 100 | 84 | |||||
| Reg. S, 0.39%, 03/17/2025 | EUR | 100 | 92 | |||||
| US Bancorp, | ||||||||
| 0.85%, 06/07/2024 | EUR | 700 | 658 | |||||
| (CMT Index 5 Year + 2.54%), 3.70%, 01/15/2027 (x) (aa) | 2,300 | 1,736 | ||||||
| (United States SOFR + 1.66%), 4.55%, 07/22/2028 (aa) | 100 | 97 | ||||||
| Valiant Bank AG, (Switzerland), Reg. S, 0.00%, 07/31/2029 | CHF | 50 | 43 | |||||
| Virgin Money UK plc, (United Kingdom), | ||||||||
| Reg. S, (EUR Swap Rate 1 Year + 0.85%), 0.38%, 05/27/2024 (aa) | EUR | 225 | 215 | |||||
| Reg. S, (UK Gilts 1 Year + 2.80%), 4.00%, 09/25/2026 (aa) | GBP | 100 | 99 | |||||
| Reg. S, (UK Gilts 5 Year + 5.25%), 5.13%, 12/11/2030 (aa) | GBP | 500 | 495 | |||||
| Vseobecna Uverova Banka A/S, (Slovakia), Reg. S, 0.25%, 03/26/2024 | EUR | 100 | 94 | |||||
| Wells Fargo & Co., | ||||||||
| Reg. S, 2.13%, 09/24/2031 | GBP | 500 | 389 | |||||
| (United States SOFR + 1.09%), 2.41%, 10/30/2025 (aa) | 92 | 86 | ||||||
| (United States SOFR + 2.53%), 3.07%, 04/30/2041 (aa) | 2,060 | 1,412 | ||||||
| (ICE LIBOR USD 3 Month + 1.17%), 3.20%, 06/17/2027 (aa) | 1,590 | 1,446 | ||||||
| 3.90%, 05/01/2045 | 20 | 15 | ||||||
| (United States SOFR + 1.32%), 3.91%, 04/25/2026 (aa) | 265 | 253 | ||||||
| (United States SOFR + 1.56%), 4.54%, 08/15/2026 (aa) | 65 | 63 | ||||||
| (United States SOFR + 2.13%), 4.61%, 04/25/2053 (aa) | 745 | 607 | ||||||
| 4.75%, 12/07/2046 | 95 | 76 | ||||||
| (United States SOFR + 1.98%), 4.81%, 07/25/2028 (aa) | 1,160 | 1,107 | ||||||
| Reg. S, 4.88%, 11/29/2035 | GBP | 500 | 437 | |||||
| (United States SOFR + 2.10%), 4.90%, 07/25/2033 (aa) | 255 | 234 | ||||||
| (United States SOFR + 4.50%), 5.01%, 04/04/2051 (aa) | 70 | 60 | ||||||
| 5.61%, 01/15/2044 | 24 | 22 | ||||||
| Westpac Banking Corp., (Australia), | ||||||||
| Reg. S, 0.01%, 09/22/2028 | EUR | 100 | 81 | |||||
| Reg. S, 0.38%, 04/02/2026 | EUR | 100 | 89 | |||||
| Reg. S, 1.08%, 04/05/2027 | EUR | 100 | 90 | |||||
| Wirtschafts- und Infrastrukturbank Hessen, (Germany), 0.88%, 06/14/2028 | EUR | 100 | 88 | |||||
| Zuercher Kantonalbank, (Switzerland), Series 150, Reg. S, 0.10%, 03/31/2031 | CHF | 240 | 205 | |||||
|
|
|
|||||||
| 341,017 | ||||||||
|
|
|
|||||||
| Diversified Financial Services — 0.6% | ||||||||
| Aareal Bank AG, (Germany), | ||||||||
| Series 236, Reg. S, 0.01%, 02/01/2028 | EUR | 100 | 84 | |||||
| Reg. S, 1.38%, 02/01/2029 | EUR | 100 | 88 | |||||
| Reg. S, 4.50%, 07/25/2025 | EUR | 2,300 | 2,215 | |||||
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust, (Ireland), 4.50%, 09/15/2023 | 150 | 148 | ||||||
| Affordable Housing Finance plc, (United Kingdom), Reg. S, 2.89%, 08/11/2043 | GBP | 100 | 82 | |||||
| American Express Co., | ||||||||
| 2.25%, 03/04/2025 | 125 | 117 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Diversified Financial Services — continued | ||||||||
| 3.38%, 05/03/2024 | 5,040 | 4,916 | ||||||
| 3.95%, 08/01/2025 | 70 | 68 | ||||||
| Arkea Home Loans SFH SA, (France), Reg. S, 0.38%, 03/04/2024 | EUR | 100 | 95 | |||||
| Artesian Finance II plc, (United Kingdom), 6.00%, 09/30/2033 | GBP | 50 | 57 | |||||
| Aspire Defence Finance plc, (United Kingdom), Series B, 4.67%, 03/31/2040 | GBP | 41 | 42 | |||||
| AXA Bank Europe SCF, (France), | ||||||||
| Reg. S, 0.01%, 01/22/2027 | EUR | 100 | 86 | |||||
| Reg. S, 0.50%, 04/18/2025 | EUR | 100 | 93 | |||||
| AXA Home Loan SFH SA, (France), Reg. S, 0.13%, 06/25/2035 | EUR | 100 | 66 | |||||
| AYT Cedulas Cajas Global FTA, (Spain), Series 3, 3.75%, 12/14/2022 | EUR | 100 | 98 | |||||
| AyT Cedulas Cajas X Fondo de Titulizacion de Activos, (Spain), Series X, 3.75%, 06/30/2025 | EUR | 100 | 99 | |||||
| BPCE SFH SA, (France), | ||||||||
| Reg. S, 0.01%, 10/16/2028 | EUR | 100 | 82 | |||||
| Reg. S, 0.01%, 05/27/2030 | EUR | 100 | 77 | |||||
| Reg. S, 0.01%, 01/29/2036 | EUR | 100 | 63 | |||||
| Reg. S, 0.13%, 12/03/2030 | EUR | 100 | 77 | |||||
| Reg. S, 0.63%, 09/22/2027 | EUR | 100 | 87 | |||||
| Reg. S, 0.75%, 09/02/2025 | EUR | 100 | 92 | |||||
| Reg. S, 1.13%, 04/12/2030 | EUR | 100 | 85 | |||||
| Reg. S, 1.75%, 05/27/2032 | EUR | 100 | 86 | |||||
| Reg. S, 2.38%, 11/29/2023 | EUR | 200 | 196 | |||||
| Brookfield Finance, Inc., (Canada), | ||||||||
| 3.50%, 03/30/2051 | 40 | 25 | ||||||
| 4.00%, 04/01/2024 | 40 | 40 | ||||||
| Caisse de Refinancement de l’Habitat SA, (France), | ||||||||
| Reg. S, 0.01%, 10/08/2029 | EUR | 100 | 79 | |||||
| Reg. S, 0.13%, 04/30/2027 | EUR | 100 | 86 | |||||
| Reg. S, 2.38%, 03/05/2024 | CHF | 50 | 51 | |||||
| 3.90%, 10/20/2023 | EUR | 100 | 100 | |||||
| Cantor Fitzgerald LP, 4.50%, 04/14/2027 (e) | 2,055 | 1,906 | ||||||
| Capital One Financial Corp., | ||||||||
| 0.80%, 06/12/2024 | EUR | 425 | 394 | |||||
| (United States SOFR + 2.16%), 4.99%, 07/24/2026 (aa) | 35 | 34 | ||||||
| Cedulas TDA 6 Fondo de Titulizacion de Activos, (Spain), Series A6, 3.88%, 05/23/2025 | EUR | 100 | 100 | |||||
| Charles Schwab Corp. (The), 1.15%, 05/13/2026 | 105 | 92 | ||||||
| CME Group, Inc., 2.65%, 03/15/2032 | 63 | 52 | ||||||
| Credit Agricole Home Loan SFH SA, (France), | ||||||||
| Reg. S, 0.01%, 04/12/2028 | EUR | 200 | 166 | |||||
| Reg. S, 0.01%, 11/03/2031 | EUR | 100 | 74 | |||||
| Reg. S, 0.13%, 12/16/2024 | EUR | 100 | 92 | |||||
| Reg. S, 0.38%, 09/30/2024 | EUR | 100 | 94 | |||||
| Reg. S, 0.50%, 02/19/2026 | EUR | 100 | 90 | |||||
| Reg. S, 0.88%, 08/11/2028 | EUR | 200 | 173 | |||||
| Reg. S, 0.88%, 05/06/2034 | EUR | 100 | 75 | |||||
| 2.13%, 01/07/2030 | EUR | 100 | 92 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Diversified Financial Services — continued | ||||||||
| Credit Agricole Public Sector SCF SA, (France), Reg. S, 0.88%, 08/02/2027 | EUR | 100 | 89 | |||||
| Credit Mutuel Home Loan SFH SA, (France), | ||||||||
| Reg. S, 0.75%, 09/15/2027 | EUR | 100 | 88 | |||||
| Reg. S, 0.88%, 03/04/2032 | EUR | 100 | 79 | |||||
| Reg. S, 1.00%, 01/30/2029 | EUR | 100 | 86 | |||||
| Reg. S, 2.38%, 02/08/2028 | EUR | 100 | 95 | |||||
| Reg. S, 4.13%, 01/19/2024 | EUR | 100 | 100 | |||||
| Danmarks Skibskredit A/S, (Denmark), Reg. S, 0.13%, 03/20/2025 | EUR | 100 | 91 | |||||
| DLR Kredit A/S, (Denmark), Series B, Reg. S, 1.00%, 10/01/2022 | DKK | 300 | 40 | |||||
| Harbour Funding plc, (United Kingdom), Reg. S, 5.28%, 03/31/2034 | GBP | 25 | 26 | |||||
| HSBC SFH France SA, (France), Reg. S, 0.75%, 03/22/2027 | EUR | 100 | 89 | |||||
| Hypo Tirol Bank AG, (Austria), Reg. S, 0.01%, 03/11/2031 | EUR | 100 | 75 | |||||
| Intercontinental Exchange, Inc., | ||||||||
| 3.65%, 05/23/2025 | 40 | 39 | ||||||
| 4.00%, 09/15/2027 | 2,100 | 1,990 | ||||||
| Jefferies Group LLC, 2.75%, 10/15/2032 | 1,420 | 1,011 | ||||||
| Jefferies Group LLC / Jefferies Group Capital Finance, Inc., 2.63%, 10/15/2031 | 1,250 | 906 | ||||||
| Jyske Realkredit A/S, (Denmark), | ||||||||
| Reg. S, 0.01%, 10/01/2027 | EUR | 100 | 84 | |||||
| Series 32lE, Reg. S, 1.00%, 04/01/2023 | DKK | 200 | 26 | |||||
| Reg. S, 1.00%, 10/01/2024 | DKK | 100 | 13 | |||||
| Series 32IE, Reg. S, 1.00%, 04/01/2025 | DKK | 400 | 50 | |||||
| Reg. S, 1.50%, 10/01/2053 | DKK | 1,179 | 113 | |||||
| La Banque Postale Home Loan SFH SA, (France), | ||||||||
| Reg. S, 0.50%, 01/30/2026 | EUR | 100 | 90 | |||||
| Reg. S, 1.00%, 10/04/2028 | EUR | 100 | 87 | |||||
| Reg. S, 2.38%, 01/15/2024 | EUR | 100 | 98 | |||||
| Lansforsakringar Hypotek AB, (Sweden), | ||||||||
| Reg. S, 1.38%, 05/31/2027 | EUR | 100 | 91 | |||||
| Series 516, Reg. S, 1.25%, 09/20/2023 | SEK | 1,000 | 89 | |||||
| Series 517, Reg. S, 1.50%, 09/18/2024 | SEK | 600 | 52 | |||||
| Series 518, Reg. S, 1.25%, 09/17/2025 | SEK | 1,000 | 84 | |||||
| Series 519, Reg. S, 1.50%, 09/16/2026 | SEK | 900 | 74 | |||||
| Series 520, Reg. S, 1.00%, 09/15/2027 | SEK | 1,000 | 78 | |||||
| Series 521, Reg. S, 0.50%, 09/20/2028 | SEK | 700 | 52 | |||||
| London Stock Exchange Group plc, (United Kingdom), Reg. S, 1.75%, 12/06/2027 | EUR | 800 | 712 | |||||
| Mastercard, Inc., | ||||||||
| 2.10%, 12/01/2027 | EUR | 1,025 | 951 | |||||
| 3.30%, 03/26/2027 | 80 | 75 | ||||||
| 3.85%, 03/26/2050 | 40 | 32 | ||||||
| MMB SCF SACA, (France), Reg. S, 0.01%, 09/20/2031 | EUR | 100 | 73 | |||||
| Nasdaq, Inc., | ||||||||
| 0.88%, 02/13/2030 | EUR | 1,150 | 865 | |||||
| 0.90%, 07/30/2033 | EUR | 500 | 329 | |||||
| 1.75%, 03/28/2029 | EUR | 700 | 578 | |||||
| Navient Solutions LLC, Zero Coupon, 10/03/2022 | 1,711 | 1,711 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Diversified Financial Services — continued | ||||||||
| Nomura Holdings, Inc., (Japan), | ||||||||
| 1.85%, 07/16/2025 | 1,955 | 1,764 | ||||||
| 2.61%, 07/14/2031 | 1,255 | 930 | ||||||
| 3.00%, 01/22/2032 | 1,320 | 993 | ||||||
| 5.10%, 07/03/2025 | 2,300 | 2,264 | ||||||
| Nordea Kredit Realkreditaktieselskab, (Denmark), | ||||||||
| Series CT2, Reg. S, 1.00%, 10/01/2022 (e) | DKK | 400 | 53 | |||||
| Reg. S, 1.00%, 10/01/2024 (e) | DKK | 500 | 63 | |||||
| Series CC2, Reg. S, 1.00%, 04/01/2025 (e) | DKK | 200 | 25 | |||||
| Reg. S, 1.00%, 04/01/2026 (e) | DKK | 500 | 61 | |||||
| 1.00%, 10/01/2026 | DKK | 500 | 60 | |||||
| Series CC2, Reg. S, 1.00%, 04/01/2027 (e) | DKK | 500 | 59 | |||||
| Series CC2, 1.50%, 10/01/2053 | DKK | 590 | 56 | |||||
| Private Export Funding Corp., | ||||||||
| 0.55%, 07/30/2024 (e) | 300 | 280 | ||||||
| Series PP, 1.40%, 07/15/2028 | 775 | 659 | ||||||
| Programa Cedulas TDA Fondo de Titulizacion de Activos, (Spain), | ||||||||
| Series A6, 4.25%, 04/10/2031 | EUR | 100 | 104 | |||||
| Prs Finance plc, (United Kingdom), | ||||||||
| Reg. S, 1.75%, 11/24/2026 | GBP | 189 | 183 | |||||
| Reg. S, 2.00%, 01/23/2029 | GBP | 700 | 648 | |||||
| Realkredit Danmark A/S, (Denmark), | ||||||||
| Series 22S, Reg. S, 0.00%, 10/01/2040 (e) | DKK | 45 | 4 | |||||
| Series 10f, Reg. S, 1.00%, 01/01/2025 (e) | DKK | 700 | 88 | |||||
| Series 10F, Reg. S, 1.00%, 01/01/2026 (e) | DKK | 1,300 | 159 | |||||
| Series 23S, Reg. S, 1.50%, 10/01/2053 | DKK | 2,553 | 244 | |||||
| Societe Generale SFH SA, (France), | ||||||||
| Reg. S, 0.01%, 10/29/2029 | EUR | 100 | 79 | |||||
| Reg. S, 0.50%, 06/02/2025 | EUR | 100 | 92 | |||||
| Reg. S, 0.50%, 01/28/2026 | EUR | 100 | 91 | |||||
| Reg. S, 1.38%, 05/05/2028 | EUR | 100 | 89 | |||||
| Reg. S, 1.75%, 05/05/2034 | EUR | 100 | 84 | |||||
| Sparebanken Vest Boligkreditt A/S, (Norway), | ||||||||
| Reg. S, 0.38%, 01/20/2032 | EUR | 100 | 76 | |||||
| Reg. S, 2.50%, 09/22/2027 | EUR | 100 | 95 | |||||
| Swedbank Hypotek AB, (Sweden), | ||||||||
| Reg. S, 0.05%, 05/28/2025 | EUR | 100 | 91 | |||||
| Series 193, Reg. S, 1.00%, 12/20/2023 | SEK | 500 | 44 | |||||
| Series 194, Reg. S, 1.00%, 09/18/2024 | SEK | 2,100 | 181 | |||||
| Series 195, Reg. S, 1.00%, 06/18/2025 | SEK | 2,000 | 168 | |||||
| Series 196, Reg. S, 1.00%, 03/18/2026 | SEK | 1,000 | 82 | |||||
| Series 197, Reg. S, 1.00%, 03/17/2027 | SEK | 700 | 56 | |||||
| THFC Funding No. 1 plc, (United Kingdom), Reg. S, 5.13%, 12/21/2035 | GBP | 50 | 52 | |||||
| Visa, Inc., | ||||||||
| 1.50%, 06/15/2026 | EUR | 4,800 | 4,435 | |||||
| 2.00%, 06/15/2029 | EUR | 4,100 | 3,677 | |||||
| 2.70%, 04/15/2040 | 130 | 94 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Diversified Financial Services — continued | ||||||||
| Wellcome Trust Finance plc, (United Kingdom), Reg. S, 4.63%, 07/25/2036 | GBP | 225 | 235 | |||||
| Western Union Co. (The), 1.35%, 03/15/2026 | 1,900 | 1,638 | ||||||
|
|
|
|||||||
| 44,281 | ||||||||
|
|
|
|||||||
| Insurance — 0.6% | ||||||||
| Aflac, Inc., 4.75%, 01/15/2049 | 100 | 88 | ||||||
| AIA Group Ltd., (Hong Kong), Reg. S, (EUR Swap Rate 5 Year + 1.10%), 0.88%, 09/09/2033 (aa) | EUR | 1,000 | 753 | |||||
| Alleghany Corp., | ||||||||
| 3.25%, 08/15/2051 | 135 | 91 | ||||||
| 3.63%, 05/15/2030 | 50 | 45 | ||||||
| Allianz SE, (Germany), Reg. S, (ICE EURIBOR Swap Rate 10 Year + 3.20%), 3.38%, 09/18/2024 (x) (aa) | EUR | 2,400 | 2,227 | |||||
| Aon Corp., 2.80%, 05/15/2030 | 50 | 41 | ||||||
| Aon Corp. / Aon Global Holdings PLC, 2.90%, 08/23/2051 | 20 | 12 | ||||||
| Aon Global Ltd., (United Kingdom), 4.60%, 06/14/2044 | 10 | 9 | ||||||
| Aquarius & Investments plc for Zurich Insurance Co. Ltd., (Ireland), Reg. S, (ICE LIBOR EUR 3 Month + 3.45%), 4.25%, 10/02/2043 (aa) | EUR | 100 | 98 | |||||
| Arthur J Gallagher & Co., 3.05%, 03/09/2052 | 70 | 43 | ||||||
| Assicurazioni Generali SpA, (Italy), | ||||||||
| Reg. S, 3.88%, 01/29/2029 | EUR | 500 | 433 | |||||
| Reg. S, 4.13%, 05/04/2026 | EUR | 100 | 95 | |||||
| Assurant, Inc., 2.65%, 01/15/2032 | 245 | 180 | ||||||
| Athene Global Funding, | ||||||||
| Reg. S, 1.24%, 04/08/2024 | EUR | 1,300 | 1,227 | |||||
| 2.50%, 01/14/2025 (e) | 20 | 19 | ||||||
| Athene Holding Ltd., (Bermuda), 3.95%, 05/25/2051 | 15 | 10 | ||||||
| Aviva plc, (United Kingdom), | ||||||||
| Reg. S, (UK Gilts 5 Year + 4.70%), 4.00%, 06/03/2055 (aa) | GBP | 425 | 315 | |||||
| Reg. S, (UK Gilts 5 Year + 2.85%), 6.13%, 11/14/2036 (aa) | GBP | 230 | 236 | |||||
| AXA SA, (France), | ||||||||
| Reg. S, (ICE LIBOR EUR 3 Month + 2.40%), 1.38%, 10/07/2041 (aa) | EUR | 625 | 434 | |||||
| Reg. S, (ICE LIBOR EUR 3 Month + 3.75%), 3.38%, 07/06/2047 (aa) | EUR | 1,000 | 898 | |||||
| Reg. S, (ICE LIBOR EUR 3 Month + 3.60%), 4.25%, 03/10/2043 (aa) | EUR | 600 | 510 | |||||
| Reg. S, (SONIA Interest Rate Benchmark + 2.87%), 6.69%, 07/06/2026 (x) (aa) | GBP | 375 | 400 | |||||
| Berkshire Hathaway Finance Corp., | ||||||||
| 1.50%, 03/18/2030 | EUR | 2,200 | 1,805 | |||||
| 2.38%, 06/19/2039 | GBP | 425 | 305 | |||||
| 2.85%, 10/15/2050 | 15 | 9 | ||||||
| 3.85%, 03/15/2052 | 85 | 65 | ||||||
| 4.20%, 08/15/2048 | 25 | 21 | ||||||
| Berkshire Hathaway, Inc., 0.00%, 03/12/2025 | EUR | 1,000 | 909 | |||||
| BNP Paribas Cardif SA, (France), Reg. S, 1.00%, 11/29/2024 | EUR | 1,000 | 917 | |||||
| Brown & Brown, Inc., | ||||||||
| 4.20%, 09/15/2024 | 10 | 10 | ||||||
| 4.95%, 03/17/2052 | 98 | 79 | ||||||
| Caisse Nationale de Reassurance Mutuelle Agricole Groupama, (France), Reg. S, 0.75%, 07/07/2028 | EUR | 1,500 | 1,133 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Insurance — continued | ||||||||
| Chubb INA Holdings, Inc., 1.55%, 03/15/2028 | EUR | 2,000 | 1,744 | |||||
| CNA Financial Corp., 2.05%, 08/15/2030 | 2,500 | 1,907 | ||||||
| Corebridge Financial, Inc., | ||||||||
| 3.50%, 04/04/2025 (e) | 100 | 95 | ||||||
| 4.35%, 04/05/2042 (e) | 155 | 119 | ||||||
| Credit Agricole Assurances SA, (France), Reg. S, (EUR Swap Rate 5 Year + 4.35%), 4.50%, 10/14/2025 (x) (aa) | EUR | 100 | 93 | |||||
| Enstar Group Ltd., (Bermuda), | ||||||||
| 3.10%, 09/01/2031 | 140 | 99 | ||||||
| 4.95%, 06/01/2029 | 10 | 9 | ||||||
| Everest Reinsurance Holdings, Inc., 3.50%, 10/15/2050 | 745 | 493 | ||||||
| Fairfax Financial Holdings Ltd., (Canada), | ||||||||
| 3.38%, 03/03/2031 | 2,000 | 1,614 | ||||||
| 5.63%, 08/16/2032 (e) | 1,100 | 1,014 | ||||||
| Groupe des Assurances du Credit Mutuel SADIR, (France), Reg. S, (ICE LIBOR EUR 3 Month + 2.65%), 1.85%, 04/21/2042 (aa) | EUR | 600 | 417 | |||||
| Jackson Financial, Inc., 4.00%, 11/23/2051 | 5 | 3 | ||||||
| Legal & General Finance plc, (United Kingdom), Reg. S, 5.88%, 04/05/2033 | GBP | 225 | 246 | |||||
| Legal & General Group plc, (United Kingdom), | ||||||||
| Reg. S, (UK Gilts 5 Year + 5.25%), 4.50%, 11/01/2050 (aa) | GBP | 425 | 364 | |||||
| Reg. S, (UK Gilts 5 Year + 4.65%), 5.13%, 11/14/2048 (aa) | GBP | 300 | 280 | |||||
| Liberty Mutual Finance Europe DAC, (Ireland), Reg. S, 1.75%, 03/27/2024 | EUR | 2,000 | 1,912 | |||||
| Liberty Mutual Group, Inc., | ||||||||
| 3.95%, 10/15/2050 (e) | 830 | 558 | ||||||
| 5.50%, 06/15/2052 (e) | 495 | 427 | ||||||
| Loews Corp., 3.20%, 05/15/2030 | 10 | 9 | ||||||
| M&G plc, (United Kingdom), Reg. S, (UK Gilts 5 Year + 4.16%), 5.56%, 07/20/2055 (aa) | GBP | 425 | 354 | |||||
| Markel Corp., | ||||||||
| 3.45%, 05/07/2052 | 1,000 | 661 | ||||||
| 3.50%, 11/01/2027 | 5 | 5 | ||||||
| Marsh & McLennan Cos., Inc., | ||||||||
| 1.98%, 03/21/2030 | EUR | 3,150 | 2,622 | |||||
| 2.90%, 12/15/2051 | 40 | 25 | ||||||
| 4.20%, 03/01/2048 | 150 | 119 | ||||||
| 4.75%, 03/15/2039 | 179 | 161 | ||||||
| 4.90%, 03/15/2049 | 105 | 93 | ||||||
| MetLife, Inc., 5.00%, 07/15/2052 | 75 | 68 | ||||||
| Metropolitan Life Global Funding I, | ||||||||
| Reg. S, 0.38%, 04/09/2024 | EUR | 1,125 | 1,060 | |||||
| Reg. S, 0.55%, 06/16/2027 | EUR | 775 | 660 | |||||
| Reg. S, 1.63%, 09/21/2029 | GBP | 1,125 | 944 | |||||
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, (Germany), | ||||||||
| Reg. S, (ICE LIBOR EUR 3 Month + 2.10%), 1.00%, 05/26/2042 (aa) | EUR | 300 | 196 | |||||
| Reg. S, (ICE LIBOR EUR 3 Month + 2.55%), 1.25%, 05/26/2041 (aa) | EUR | 500 | 350 | |||||
| Mutuelle Assurance Des Commercants et Industriels de France et Des Cadres et Sal, (France), Reg. S, 0.63%, 06/21/2027 | EUR | 1,000 | 793 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Insurance — continued | ||||||||
| NN Group NV, (Netherlands), Reg. S, (ICE LIBOR EUR 3 Month + 4.00%), 4.50%, 01/15/2026 (x) (aa) | EUR | 1,350 | 1,228 | |||||
| Pension Insurance Corp. plc, (United Kingdom), Reg. S, 5.63%, 09/20/2030 | GBP | 1,121 | 1,002 | |||||
| Phoenix Group Holdings plc, (United Kingdom), | ||||||||
| Reg. S, 5.63%, 04/28/2031 | GBP | 1,400 | 1,230 | |||||
| Reg. S, 6.63%, 12/18/2025 | GBP | 425 | 443 | |||||
| Principal Financial Group, Inc., 3.10%, 11/15/2026 | 1,400 | 1,283 | ||||||
| Progressive Corp. (The), | ||||||||
| 3.70%, 03/15/2052 | 30 | 22 | ||||||
| 4.13%, 04/15/2047 | 20 | 17 | ||||||
| Sampo OYJ, (Finland), | ||||||||
| Reg. S, (ICE LIBOR EUR 3 Month + 3.60%), 2.50%, 09/03/2052 (aa) | EUR | 525 | 375 | |||||
| Reg. S, (ICE LIBOR EUR 3 Month + 4.05%), 3.38%, 05/23/2049 (aa) | EUR | 675 | 564 | |||||
| Unum Group, | ||||||||
| 4.00%, 06/15/2029 | 1,700 | 1,507 | ||||||
| 4.13%, 06/15/2051 | 900 | 600 | ||||||
| W R Berkley Corp., | ||||||||
| 3.55%, 03/30/2052 | 20 | 14 | ||||||
| 4.00%, 05/12/2050 | 700 | 528 | ||||||
| Willis North America, Inc., |
||||||||
| 2.95%, 09/15/2029 | 50 | 41 | ||||||
| 3.60%, 05/15/2024 | 100 | 97 | ||||||
| Zurich Finance Ireland Designated Activity Co., (Ireland), Reg. S, (UK Gilts 5 Year + 4.10%), 5.13%, 11/23/2052 (aa) | GBP | 825 | 759 | |||||
|
|
|
|||||||
| 42,641 | ||||||||
|
|
|
|||||||
| Investment Companies — 0.1% | ||||||||
| Ares Capital Corp., | ||||||||
| 2.15%, 07/15/2026 | 330 | 277 | ||||||
| 3.25%, 07/15/2025 | 90 | 82 | ||||||
| 3.88%, 01/15/2026 | 37 | 34 | ||||||
| 4.25%, 03/01/2025 | 90 | 85 | ||||||
| Bain Capital Specialty Finance, Inc., 2.95%, 03/10/2026 | 85 | 73 | ||||||
| Barings BDC, Inc., 3.30%, 11/23/2026 (e) | 20 | 17 | ||||||
| Blackstone Private Credit Fund, 3.25%, 03/15/2027 | 45 | 37 | ||||||
| Blackstone Secured Lending Fund, 2.85%, 09/30/2028 | 23 | 17 | ||||||
| FS KKR Capital Corp., | ||||||||
| 2.63%, 01/15/2027 | 245 | 198 | ||||||
| 3.25%, 07/15/2027 | 80 | 66 | ||||||
| 3.40%, 01/15/2026 | 129 | 114 | ||||||
| Golub Capital BDC, Inc., 2.50%, 08/24/2026 | 42 | 35 | ||||||
| Investor AB, (Sweden), | ||||||||
| Reg. S, 0.38%, 10/29/2035 | EUR | 425 | 262 | |||||
| Reg. S, 1.50%, 09/12/2030 | EUR | 700 | 583 | |||||
| Main Street Capital Corp., 3.00%, 07/14/2026 | 155 | 130 | ||||||
| MDGH GMTN RSC Ltd., (United Arab Emirates), Reg. S, 1.00%, 03/10/2034 | EUR | 300 | 214 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Investment Companies — continued | ||||||||
| Prospect Capital Corp., | ||||||||
| 3.36%, 11/15/2026 | 75 | 62 | ||||||
| 3.44%, 10/15/2028 | 80 | 58 | ||||||
| Wendel SE, (France), Reg. S, 1.00%, 06/01/2031 | EUR | 2,300 | 1,571 | |||||
|
|
|
|||||||
| 3,915 | ||||||||
|
|
|
|||||||
| Private Equity — 0.0% (g) |
||||||||
| 3i Group plc, (United Kingdom), Reg. S, 5.75%, 12/03/2032 | GBP | 350 | 356 | |||||
|
|
|
|||||||
| Real Estate — 0.3% | ||||||||
| Blackstone Property Partners Europe Holdings Sarl, (Luxembourg), | ||||||||
| Reg. S, 0.50%, 09/12/2023 | EUR | 2,200 | 2,075 | |||||
| Reg. S, 1.75%, 03/12/2029 | EUR | 2,500 | 1,874 | |||||
| Reg. S, 2.00%, 02/15/2024 | EUR | 500 | 469 | |||||
| Reg. S, 2.63%, 10/20/2028 | GBP | 575 | 467 | |||||
| Broadgate Financing plc, (United Kingdom), Series A4, Reg. S, 4.82%, 07/05/2033 | GBP | 50 | 51 | |||||
| CBRE Services, Inc., | ||||||||
| 2.50%, 04/01/2031 | 475 | 361 | ||||||
| 4.88%, 03/01/2026 | 20 | 20 | ||||||
| Citycon Treasury BV, (Netherlands), Reg. S, 2.50%, 10/01/2024 | EUR | 1,575 | 1,457 | |||||
| Clarion Funding plc, (United Kingdom), Reg. S, 2.63%, 01/18/2029 | GBP | 100 | 92 | |||||
| CTP NV, (Netherlands), | ||||||||
| Reg. S, 0.63%, 11/27/2023 | EUR | 750 | 692 | |||||
| Reg. S, 0.63%, 09/27/2026 | EUR | 1,800 | 1,416 | |||||
| Reg. S, 1.25%, 06/21/2029 | EUR | 300 | 206 | |||||
| Fastighets AB Balder, (Sweden), Reg. S, 1.88%, 01/23/2026 | EUR | 1,000 | 822 | |||||
| Heimstaden Bostad AB, (Sweden), Reg. S, 1.13%, 01/21/2026 | EUR | 1,200 | 1,010 | |||||
| HOWOGE Wohnungs-baugesellschaft mbH, (Germany), Reg. S, 1.13%, 11/01/2033 | EUR | 100 | 70 | |||||
| Logicor 2019-1 UK plc, (United Kingdom), Reg. S, 1.88%, 11/17/2026 | GBP | 425 | 397 | |||||
| Logicor Financing Sarl, (Luxembourg), | ||||||||
| Reg. S, 0.75%, 07/15/2024 | EUR | 1,500 | 1,371 | |||||
| Reg. S, 1.50%, 07/13/2026 | EUR | 1,200 | 1,026 | |||||
| London & Quadrant Housing Trust, (United Kingdom), | ||||||||
| Reg. S, 2.00%, 10/20/2038 | GBP | 425 | 279 | |||||
| Reg. S, 2.63%, 02/28/2028 | GBP | 625 | 587 | |||||
| Reg. S, 2.75%, 07/20/2057 | GBP | 225 | 143 | |||||
| Meadowhall Finance plc, (United Kingdom), Series A1, Reg. S, 4.99%, 01/12/2032 | GBP | 29 | 29 | |||||
| Notting Hill Genesis, (United Kingdom), Reg. S, 2.00%, 06/03/2036 | GBP | 300 | 210 | |||||
| Ontario Teachers’ Cadillac Fairview Properties Trust, (Canada), | ||||||||
| 2.50%, 10/15/2031 (e) | 580 | 453 | ||||||
| 4.13%, 02/01/2029 (e) | 2,100 | 1,941 | ||||||
| Orbit Capital plc, (United Kingdom), Reg. S, 3.38%, 06/14/2048 | GBP | 425 | 319 | |||||
| P3 Group Sarl, (Luxembourg), Reg. S, 0.88%, 01/26/2026 | EUR | 490 | 401 | |||||
| Samhallsbyggnadsbolaget i Norden AB, (Sweden), | ||||||||
| Reg. S, 1.00%, 08/12/2027 | EUR | 775 | 518 | |||||
| Reg. S, 1.75%, 01/14/2025 | EUR | 850 | 690 | |||||
| Sinochem Offshore Capital Co. Ltd., (British Virgin Islands), Reg. S, 0.75%, 11/25/2025 | EUR | 500 | 438 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Real Estate — continued | ||||||||
| Telereal Securitisation plc, (United Kingdom), Series B4, 6.16%, 12/10/2031 | GBP | 44 | 47 | |||||
| Tesco Property Finance 1 plc, (United Kingdom), Reg. S, 7.62%, 07/13/2039 | GBP | 81 | 92 | |||||
| Tesco Property Finance 3 plc, (United Kingdom), Reg. S, 5.74%, 04/13/2040 | GBP | 46 | 45 | |||||
| Trafford Centre Finance Ltd. (The), (Cayman Islands), Series A2, Reg. S, 6.50%, 07/28/2033 | GBP | 35 | 38 | |||||
| VGP NV, (Belgium), Reg. S, 1.63%, 01/17/2027 | EUR | 700 | 549 | |||||
| Vonovia Finance BV, (Netherlands), | ||||||||
| Reg. S, 0.63%, 07/09/2026 | EUR | 300 | 254 | |||||
| Reg. S, 0.88%, 07/03/2023 | EUR | 100 | 96 | |||||
| Reg. S, 1.00%, 01/28/2041 | EUR | 1,100 | 523 | |||||
| Reg. S, 1.63%, 04/07/2024 | EUR | 500 | 475 | |||||
| Vonovia SE, (Germany), Reg. S, 0.75%, 09/01/2032 | EUR | 1,700 | 1,083 | |||||
|
|
|
|||||||
| 23,086 | ||||||||
|
|
|
|||||||
| REITS — 0.7% | ||||||||
| Aedifica SA, (Belgium), Reg. S, 0.75%, 09/09/2031 | EUR | 600 | 381 | |||||
| Altarea SCA, (France), Reg. S, 1.75%, 01/16/2030 | EUR | 200 | 124 | |||||
| American Tower Corp., | ||||||||
| 1.38%, 04/04/2025 | EUR | 1,050 | 972 | |||||
| 2.70%, 04/15/2031 | 50 | 39 | ||||||
| 2.95%, 01/15/2051 | 117 | 70 | ||||||
| 3.65%, 03/15/2027 | 270 | 247 | ||||||
| Brixmor Operating Partnership LP, | ||||||||
| 4.05%, 07/01/2030 | 1,175 | 990 | ||||||
| 4.13%, 06/15/2026 | 2,300 | 2,152 | ||||||
| 4.13%, 05/15/2029 | 875 | 760 | ||||||
| Camden Property Trust, 3.35%, 11/01/2049 | 10 | 7 | ||||||
| Crown Castle, Inc., | ||||||||
| 1.05%, 07/15/2026 | 120 | 101 | ||||||
| 1.35%, 07/15/2025 | 200 | 180 | ||||||
| 2.50%, 07/15/2031 | 10 | 8 | ||||||
| 2.90%, 04/01/2041 | 120 | 78 | ||||||
| 3.25%, 01/15/2051 | 45 | 28 | ||||||
| 5.20%, 02/15/2049 | 70 | 60 | ||||||
| EPR Properties, 3.60%, 11/15/2031 | 55 | 39 | ||||||
| Equinix, Inc., | ||||||||
| 1.00%, 03/15/2033 | EUR | 1,000 | 689 | |||||
| 2.63%, 11/18/2024 | 85 | 81 | ||||||
| ERP Operating LP, 2.85%, 11/01/2026 | 50 | 46 | ||||||
| Extra Space Storage LP, 2.35%, 03/15/2032 | 165 | 122 | ||||||
| GLP Capital LP / GLP Financing II, Inc., | ||||||||
| 3.25%, 01/15/2032 | 780 | 587 | ||||||
| 3.35%, 09/01/2024 | 20 | 19 | ||||||
| 5.30%, 01/15/2029 | 135 | 123 | ||||||
| 5.38%, 11/01/2023 | 30 | 30 | ||||||
| 5.38%, 04/15/2026 | 1,500 | 1,435 | ||||||
| 5.75%, 06/01/2028 | 60 | 56 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| REITS — continued | ||||||||
| Goodman Australia Finance Pty Ltd., (Australia), Reg. S, 1.38%, 09/27/2025 | EUR | 658 | 592 | |||||
| Hammerson plc, (United Kingdom), Reg. S, 7.25%, 04/21/2028 | GBP | 400 | 379 | |||||
| Healthpeak Properties, Inc., 3.00%, 01/15/2030 | 1,400 | 1,170 | ||||||
| Host Hotels & Resorts LP, | ||||||||
| Series J, 2.90%, 12/15/2031 | 415 | 304 | ||||||
| Series I, 3.50%, 09/15/2030 | 80 | 64 | ||||||
| Invitation Homes Operating Partnership LP, 2.00%, 08/15/2031 | 50 | 36 | ||||||
| Kimco Realty Corp., 2.70%, 10/01/2030 | 1,900 | 1,531 | ||||||
| Life Storage LP, | ||||||||
| 3.50%, 07/01/2026 | 255 | 240 | ||||||
| 3.88%, 12/15/2027 | 50 | 46 | ||||||
| MPT Operating Partnership LP / MPT Finance Corp., 0.99%, 10/15/2026 | EUR | 1,650 | 1,311 | |||||
| National Health Investors, Inc., 3.00%, 02/01/2031 | 120 | 84 | ||||||
| Office Properties Income Trust, 3.45%, 10/15/2031 | 38 | 23 | ||||||
| Omega Healthcare Investors, Inc., | ||||||||
| 3.25%, 04/15/2033 | 85 | 60 | ||||||
| 4.50%, 04/01/2027 | 16 | 15 | ||||||
| Prologis Euro Finance LLC, 0.25%, 09/10/2027 | EUR | 3,725 | 3,043 | |||||
| Prologis LP, | ||||||||
| 2.25%, 06/30/2029 | GBP | 1,600 | 1,398 | |||||
| 4.63%, 01/15/2033 | 1,850 | 1,758 | ||||||
| Public Storage, | ||||||||
| 0.88%, 02/15/2026 | 50 | 44 | ||||||
| 2.25%, 11/09/2031 | 130 | 102 | ||||||
| 2.30%, 05/01/2031 | 370 | 296 | ||||||
| 3.09%, 09/15/2027 | 110 | 101 | ||||||
| 3.39%, 05/01/2029 | 145 | 130 | ||||||
| Rayonier LP, 2.75%, 05/17/2031 | 165 | 129 | ||||||
| Realty Income Corp., | ||||||||
| 1.63%, 12/15/2030 | GBP | 100 | 78 | |||||
| 1.75%, 07/13/2033 | GBP | 1,100 | 789 | |||||
| 2.85%, 12/15/2032 | 800 | 640 | ||||||
| 3.00%, 01/15/2027 | 2,000 | 1,820 | ||||||
| 3.10%, 12/15/2029 | 800 | 686 | ||||||
| 3.88%, 04/15/2025 | 100 | 97 | ||||||
| Sabra Health Care LP, 3.20%, 12/01/2031 | 95 | 70 | ||||||
| Segro Capital Sarl, (Luxembourg), Reg. S, 1.88%, 03/23/2030 | EUR | 825 | 659 | |||||
| SELP Finance Sarl, (Luxembourg), Reg. S, 3.75%, 08/10/2027 | EUR | 425 | 384 | |||||
| Simon International Finance SCA, (Luxembourg), Reg. S, 1.25%, 05/13/2025 | EUR | 425 | 387 | |||||
| Simon Property Group LP, | ||||||||
| 1.38%, 01/15/2027 | 70 | 60 | ||||||
| 2.25%, 01/15/2032 | 2,170 | 1,636 | ||||||
| 3.50%, 09/01/2025 | 50 | 48 | ||||||
| Sun Communities Operating LP, 2.30%, 11/01/2028 | 160 | 128 | ||||||
| Unibail-Rodamco-Westfield SE, (France), Reg. S, 1.38%, 12/04/2031 | EUR | 800 | 547 | |||||
| Ventas Realty LP, 4.13%, 01/15/2026 | 2,300 | 2,202 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| REITS — continued | ||||||||
| VICI Properties LP, | ||||||||
| 4.95%, 02/15/2030 | 1,645 | 1,487 | ||||||
| 5.63%, 05/15/2052 | 95 | 78 | ||||||
| Welltower, Inc., | ||||||||
| 2.75%, 01/15/2031 | 50 | 39 | ||||||
| 3.10%, 01/15/2030 | 2,400 | 1,997 | ||||||
| 4.50%, 01/15/2024 | 3,500 | 3,469 | ||||||
| 4.50%, 12/01/2034 | GBP | 300 | 266 | |||||
| 4.80%, 11/20/2028 | GBP | 850 | 845 | |||||
| Weyerhaeuser Co., | ||||||||
| 4.00%, 11/15/2029 | 35 | 31 | ||||||
| 4.00%, 04/15/2030 | 1,500 | 1,326 | ||||||
| 4.00%, 03/09/2052 | 30 | 22 | ||||||
| WP Carey, Inc., 2.25%, 04/01/2033 | 1,000 | 710 | ||||||
| WPC Eurobond BV, (Netherlands), | ||||||||
| 0.95%, 06/01/2030 | EUR | 1,800 | 1,252 | |||||
| 1.35%, 04/15/2028 | EUR | 425 | 342 | |||||
| 2.13%, 04/15/2027 | EUR | 600 | 519 | |||||
|
|
|
|||||||
| 44,894 | ||||||||
|
|
|
|||||||
| Savings & Loans — 0.0% (g) |
||||||||
| Coventry Building Society, (United Kingdom), Reg. S, 0.01%, 07/07/2028 | EUR | 100 | 82 | |||||
| Nationwide Building Society, (United Kingdom), | ||||||||
| Reg. S, 0.63%, 03/25/2027 | EUR | 100 | 88 | |||||
| Reg. S, 5.63%, 01/28/2026 | GBP | 100 | 112 | |||||
| Yorkshire Building Society, (United Kingdom), Reg. S, 0.01%, 10/13/2027 | EUR | 100 | 84 | |||||
|
|
|
|||||||
| 366 | ||||||||
|
|
|
|||||||
| Total Financial | 500,556 | |||||||
|
|
|
|||||||
| Government — 1.9% | ||||||||
| Multi-National — 0.9% | ||||||||
| African Development Bank, (Supranational), | ||||||||
| 0.25%, 11/21/2024 | EUR | 925 | 860 | |||||
| 0.50%, 03/22/2027 | EUR | 1,000 | 886 | |||||
| 0.88%, 05/24/2028 | EUR | 200 | 176 | |||||
| Asian Development Bank, (Supranational), | ||||||||
| Reg. S, 0.03%, 01/31/2030 | EUR | 1,850 | 1,468 | |||||
| 0.35%, 07/16/2025 | EUR | 800 | 734 | |||||
| 1.13%, 06/10/2025 | GBP | 1,000 | 1,006 | |||||
| 1.63%, 01/24/2023 | 280 | 278 | ||||||
| 1.63%, 03/15/2024 | 100 | 96 | ||||||
| 2.63%, 01/30/2024 | 258 | 252 | ||||||
| 4.13%, 09/27/2024 | 25 | 25 | ||||||
| Asian Infrastructure Investment Bank (The), (Supranational), 0.50%, 10/30/2024 | 145 | 134 | ||||||
| Council Of Europe Development Bank, (Supranational), | ||||||||
| Reg. S, 0.00%, 04/09/2027 | EUR | 2,000 | 1,729 | |||||
| Reg. S, 0.38%, 10/27/2022 | EUR | 725 | 710 | |||||
| Reg. S, 0.38%, 03/27/2025 | EUR | 175 | 162 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Multi-National — continued | ||||||||
| Reg. S, 0.63%, 01/30/2029 | EUR | 800 | 682 | |||||
| Reg. S, 0.75%, 06/09/2025 | EUR | 50 | 47 | |||||
| Erste Abwicklungsanstalt, (Germany), Reg. S, 0.01%, 11/03/2023 | EUR | 1,000 | 954 | |||||
| Eurofima Europaeische Gesellschaft fuer die Finanzierung von Eisenbahnmaterial, (Supranational), | ||||||||
| Reg. S, 0.25%, 04/25/2023 | EUR | 825 | 801 | |||||
| 4.55%, 03/30/2027 | CAD | 300 | 222 | |||||
| 5.50%, 06/07/2032 | GBP | 300 | 351 | |||||
| European Bank for Reconstruction & Development, (Supranational), | ||||||||
| 0.00%, 01/10/2024 | EUR | 2,000 | 1,899 | |||||
| 0.25%, 07/10/2023 | 95 | 92 | ||||||
| 0.50%, 05/19/2025 | 135 | 122 | ||||||
| 6.45%, 12/13/2022 | IDR | 10,000,000 | 656 | |||||
| European Investment Bank, (Supranational), | ||||||||
| 0.00%, 10/16/2023 | EUR | 3,200 | 3,071 | |||||
| 0.00%, 03/15/2024 | EUR | 300 | 284 | |||||
| 0.00%, 03/25/2025 | EUR | 10,200 | 9,407 | |||||
| Reg. S, 0.00%, 03/13/2026 | EUR | 700 | 629 | |||||
| Reg. S, 0.00%, 06/17/2027 | EUR | 1,500 | 1,298 | |||||
| Zero Coupon, 05/28/2037 (e) | CAD | 150 | 58 | |||||
| Reg. S, 0.01%, 11/15/2035 | EUR | 2,200 | 1,441 | |||||
| Reg. S, 0.05%, 05/24/2024 | EUR | 2,000 | 1,888 | |||||
| 0.05%, 01/16/2030 | EUR | 1,500 | 1,205 | |||||
| Reg. S, 0.13%, 12/14/2026 | GBP | 975 | 884 | |||||
| Reg. S, 0.25%, 06/15/2040 | EUR | 2,050 | 1,244 | |||||
| Reg. S, 0.38%, 04/14/2026 | EUR | 3,000 | 2,724 | |||||
| 0.63%, 07/25/2025 | 100 | 90 | ||||||
| Reg. S, 0.88%, 12/15/2023 | GBP | 1,375 | 1,468 | |||||
| 0.88%, 09/13/2047 | EUR | 100 | 64 | |||||
| Reg. S, 1.00%, 04/14/2032 | EUR | 1,675 | 1,381 | |||||
| Reg. S, 1.00%, 11/14/2042 | EUR | 2,475 | 1,705 | |||||
| Reg. S, 1.13%, 09/15/2036 | EUR | 2,050 | 1,558 | |||||
| Reg. S, 1.38%, 03/07/2025 | GBP | 100 | 102 | |||||
| 1.50%, 10/16/2048 | EUR | 445 | 331 | |||||
| 1.63%, 03/14/2025 | 200 | 188 | ||||||
| Reg. S, 2.25%, 10/14/2022 | EUR | 4,100 | 4,020 | |||||
| Reg. S, 2.50%, 10/31/2022 | GBP | 1,000 | 1,116 | |||||
| 2.50%, 03/15/2023 | 180 | 179 | ||||||
| Series 1981, 2.63%, 03/15/2035 | EUR | 40 | 37 | |||||
| 2.75%, 09/13/2030 | EUR | 130 | 126 | |||||
| 3.13%, 12/14/2023 | 250 | 246 | ||||||
| 3.25%, 01/29/2024 | 165 | 163 | ||||||
| Reg. S, 3.63%, 03/14/2042 | EUR | 25 | 27 | |||||
| Reg. S, 4.50%, 03/07/2044 | GBP | 1,100 | 1,229 | |||||
| Series DIP, Reg. S, 4.63%, 10/12/2054 | GBP | 555 | 650 | |||||
| Reg. S, 6.27%, 08/28/2024 | IDR | 10,000,000 | 649 | |||||
| FMS Wertmanagement, (Germany), | ||||||||
| Reg. S, 0.38%, 04/29/2030 | EUR | 100 | 81 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Multi-National — continued | ||||||||
| Reg. S, 1.13%, 03/20/2023 | GBP | 1,200 | 1,323 | |||||
| Inter-American Development Bank, (Supranational), | ||||||||
| 0.50%, 09/23/2024 | 100 | 93 | ||||||
| 1.25%, 12/15/2023 | GBP | 1,650 | 1,769 | |||||
| 2.13%, 01/15/2025 | 290 | 276 | ||||||
| 2.50%, 01/18/2023 | 230 | 229 | ||||||
| 2.63%, 01/16/2024 | 230 | 225 | ||||||
| 3.00%, 02/21/2024 | 100 | 98 | ||||||
| 7.88%, 03/14/2023 | IDR | 10,000,000 | 660 | |||||
| International Development Association, (Supranational), | ||||||||
| Reg. S, 0.00%, 10/19/2026 | EUR | 1,000 | 874 | |||||
| Reg. S, 0.38%, 09/22/2027 | GBP | 2,000 | 1,779 | |||||
| International Finance Corp., (Supranational), | ||||||||
| 2.88%, 07/31/2023 | 80 | 79 | ||||||
| 3.63%, 09/15/2025 | 220 | 216 | ||||||
| North American Development Bank, (Supranational), | ||||||||
| Reg. S, 0.20%, 11/28/2028 | CHF | 200 | 181 | |||||
| 2.40%, 10/26/2022 | 303 | 303 | ||||||
|
|
|
|||||||
| 61,990 | ||||||||
|
|
|
|||||||
| Municipal — 0.0% (g) |
||||||||
| Transport for London, (United Kingdom), Reg. S, 4.00%, 09/12/2033 | GBP | 500 | 458 | |||||
|
|
|
|||||||
| Regional (State/Province) — 0.0% (g) |
||||||||
| KAF Kaerntner Ausgleichszahlungs-Fonds, (Austria), Reg. S, Zero Coupon, 01/14/2032 | EUR | 860 | 625 | |||||
| UK Municipal Bonds Agency Finance Co. Designated Activity Co., (Ireland), Reg. S, 1.63%, 08/26/2060 | GBP | 100 | 52 | |||||
|
|
|
|||||||
| 677 | ||||||||
|
|
|
|||||||
| Sovereign — 1.0% | ||||||||
| European Financial Stability Facility, (Luxembourg), | ||||||||
| Reg. S, 0.00%, 10/13/2027 | EUR | 1,325 | 1,133 | |||||
| Reg. S, 0.00%, 01/20/2031 | EUR | 5,000 | 3,868 | |||||
| Reg. S, 0.05%, 01/18/2052 | EUR | 500 | 220 | |||||
| Reg. S, 0.13%, 10/17/2023 | EUR | 3,500 | 3,362 | |||||
| Reg. S, 0.40%, 02/17/2025 | EUR | 1,000 | 934 | |||||
| Reg. S, 0.50%, 01/20/2023 | EUR | 2,425 | 2,372 | |||||
| Reg. S, 0.50%, 07/11/2025 | EUR | 1,000 | 929 | |||||
| Reg. S, 0.63%, 10/16/2026 | EUR | 100 | 91 | |||||
| Reg. S, 0.70%, 01/20/2050 | EUR | 1,300 | 759 | |||||
| Reg. S, 0.88%, 04/10/2035 | EUR | 1,500 | 1,130 | |||||
| Reg. S, 1.20%, 02/17/2045 | EUR | 1,225 | 862 | |||||
| Reg. S, 1.45%, 09/05/2040 | EUR | 170 | 129 | |||||
| Reg. S, 1.70%, 02/13/2043 | EUR | 1,000 | 788 | |||||
| Reg. S, 1.75%, 07/17/2053 | EUR | 1,050 | 808 | |||||
| Reg. S, 2.38%, 06/21/2032 | EUR | 2,000 | 1,864 | |||||
| Reg. S, 2.75%, 12/03/2029 | EUR | 520 | 506 | |||||
| European Stability Mechanism, (Supranational), | ||||||||
| Reg. S, 0.00%, 10/18/2022 | EUR | 2,000 | 1,960 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Sovereign — continued | ||||||||
| Reg. S, 0.00%, 02/10/2023 | EUR | 100 | 98 | |||||
| Reg. S, 0.00%, 12/15/2026 | EUR | 500 | 438 | |||||
| Reg. S, 0.01%, 03/04/2030 | EUR | 1,000 | 793 | |||||
| Reg. S, 0.01%, 10/15/2031 | EUR | 2,500 | 1,887 | |||||
| Reg. S, 0.10%, 07/31/2023 | EUR | 2,000 | 1,930 | |||||
| Reg. S, 0.50%, 03/02/2026 | EUR | 2,900 | 2,648 | |||||
| Reg. S, 0.75%, 09/05/2028 | EUR | 1,450 | 1,263 | |||||
| Reg. S, 0.88%, 07/18/2042 | EUR | 20 | 13 | |||||
| Reg. S, 1.75%, 10/20/2045 | EUR | 550 | 435 | |||||
| Reg. S, 1.80%, 11/02/2046 | EUR | 920 | 733 | |||||
| Reg. S, 1.85%, 12/01/2055 | EUR | 80 | 63 | |||||
| Reg. S, 2.13%, 11/20/2023 | EUR | 700 | 685 | |||||
| European Union, (Supranational), | ||||||||
| Series SURE, Reg. S, 0.00%, 11/04/2025 | EUR | 2,698 | 2,457 | |||||
| Reg. S, 0.00%, 07/06/2026 | EUR | 3,350 | 2,987 | |||||
| Series SURE, Reg. S, 0.00%, 06/02/2028 | EUR | 5,500 | 4,630 | |||||
| Reg. S, 0.00%, 10/04/2028 | EUR | 1,800 | 1,500 | |||||
| Reg. S, 0.00%, 04/22/2031 | EUR | 3,000 | 2,303 | |||||
| Series SURE, Reg. S, 0.00%, 07/04/2035 | EUR | 3,350 | 2,223 | |||||
| Series SURE, Reg. S, 0.10%, 10/04/2040 | EUR | 3,975 | 2,284 | |||||
| Series SURE, Reg. S, 0.20%, 06/04/2036 | EUR | 5,000 | 3,335 | |||||
| Reg. S, 0.25%, 04/22/2036 | EUR | 1,500 | 1,015 | |||||
| Series SURE, Reg. S, 0.30%, 11/04/2050 | EUR | 1,220 | 594 | |||||
| Reg. S, 0.45%, 07/04/2041 | EUR | 2,500 | 1,520 | |||||
| Reg. S, 0.50%, 04/04/2025 | EUR | 1,875 | 1,755 | |||||
| Reg. S, 0.63%, 11/04/2023 | EUR | 925 | 893 | |||||
| Reg. S, 0.70%, 07/06/2051 | EUR | 2,000 | 1,111 | |||||
| Reg. S, 0.75%, 04/04/2031 | EUR | 2,025 | 1,666 | |||||
| Reg. S, 0.80%, 07/04/2025 | EUR | 4,000 | 3,762 | |||||
| Reg. S, 1.00%, 07/06/2032 | EUR | 3,000 | 2,459 | |||||
| Reg. S, 1.13%, 04/04/2036 | EUR | 665 | 514 | |||||
| Reg. S, 3.75%, 04/04/2042 | EUR | 15 | 16 | |||||
| HM Treasury UK Sovereign Sukuk plc, (United Kingdom), Reg. S, 0.33%, 07/22/2026 | GBP | 900 | 856 | |||||
| LCR Finance plc, (United Kingdom), | ||||||||
| Reg. S, 4.50%, 12/07/2028 | GBP | 300 | 326 | |||||
| Reg. S, 4.50%, 12/07/2038 | GBP | 110 | 119 | |||||
| 5.10%, 03/07/2051 | GBP | 50 | 62 | |||||
|
|
|
|||||||
| 71,088 | ||||||||
|
|
|
|||||||
| Total Government | 134,213 | |||||||
|
|
|
|||||||
| Industrial — 0.9% | ||||||||
| Aerospace/Defense — 0.1% | ||||||||
| Airbus SE, (Netherlands), Reg. S, 2.00%, 04/07/2028 | EUR | 100 | 91 | |||||
| BAE Systems plc, (United Kingdom), 1.90%, 02/15/2031 (e) | 1,350 | 1,019 | ||||||
| Boeing Co. (The), | ||||||||
| 4.88%, 05/01/2025 | 200 | 195 | ||||||
| 5.71%, 05/01/2040 | 2,300 | 2,009 | ||||||
| 5.81%, 05/01/2050 | 50 | 44 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Aerospace/Defense — continued | ||||||||
| General Dynamics Corp., | ||||||||
| 2.25%, 06/01/2031 | 100 | 82 | ||||||
| 3.75%, 05/15/2028 | 85 | 80 | ||||||
| Lockheed Martin Corp., | ||||||||
| 4.09%, 09/15/2052 | 35 | 29 | ||||||
| 4.15%, 06/15/2053 | 100 | 83 | ||||||
| 4.30%, 06/15/2062 | 30 | 25 | ||||||
| 4.70%, 05/15/2046 | 15 | 14 | ||||||
| Raytheon Technologies Corp., | ||||||||
| 2.82%, 09/01/2051 | 100 | 63 | ||||||
| 3.20%, 03/15/2024 | 30 | 29 | ||||||
| 3.95%, 08/16/2025 | 140 | 137 | ||||||
| 7.20%, 08/15/2027 | 20 | 22 | ||||||
| Teledyne Technologies, Inc., | ||||||||
| 1.60%, 04/01/2026 | 80 | 70 | ||||||
| 2.75%, 04/01/2031 | 540 | 425 | ||||||
| Thales SA, (France), | ||||||||
| Reg. S, 0.00%, 03/26/2026 | EUR | 600 | 522 | |||||
| Reg. S, 1.00%, 05/15/2028 | EUR | 1,700 | 1,451 | |||||
|
|
|
|||||||
| 6,390 | ||||||||
|
|
|
|||||||
| Building Materials — 0.1% | ||||||||
| Aliaxis Finance SA, (Belgium), Reg. S, 0.88%, 11/08/2028 | EUR | 800 | 561 | |||||
| Buzzi Unicem SpA, (Italy), Reg. S, 2.13%, 04/28/2023 | EUR | 1,225 | 1,194 | |||||
| Carrier Global Corp., | ||||||||
| 2.24%, 02/15/2025 | 20 | 19 | ||||||
| 2.49%, 02/15/2027 | 10 | 9 | ||||||
| Eagle Materials, Inc., 2.50%, 07/01/2031 | 44 | 32 | ||||||
| Lennox International, Inc., 1.35%, 08/01/2025 | 12 | 11 | ||||||
| Martin Marietta Materials, Inc., 4.25%, 07/02/2024 | 4,540 | 4,474 | ||||||
| Owens Corning, 3.95%, 08/15/2029 | 1,000 | 895 | ||||||
| Vulcan Materials Co., | ||||||||
| 3.50%, 06/01/2030 | 60 | 51 | ||||||
| 4.70%, 03/01/2048 | 440 | 365 | ||||||
|
|
|
|||||||
| 7,611 | ||||||||
|
|
|
|||||||
| Electrical Components & Equipment — 0.0% (g) |
||||||||
| Emerson Electric Co., 2.00%, 12/21/2028 | 25 | 21 | ||||||
| Schneider Electric SE, (France), Reg. S, 1.50%, 09/08/2023 | EUR | 1,000 | 971 | |||||
| Signify NV, (Netherlands), | ||||||||
| Reg. S, 2.00%, 05/11/2024 | EUR | 550 | 524 | |||||
| Reg. S, 2.38%, 05/11/2027 | EUR | 175 | 156 | |||||
|
|
|
|||||||
| 1,672 | ||||||||
|
|
|
|||||||
| Electronics — 0.0% (g) |
||||||||
| Agilent Technologies, Inc., | ||||||||
| 2.30%, 03/12/2031 | 85 | 66 | ||||||
| 2.75%, 09/15/2029 | 60 | 51 | ||||||
| 3.05%, 09/22/2026 | 100 | 92 | ||||||
| Allegion US Holding Co., Inc., 3.20%, 10/01/2024 | 20 | 19 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Electronics — continued | ||||||||
| Amphenol Corp., 2.80%, 02/15/2030 | 62 | 52 | ||||||
| Amphenol Technologies Holding GmbH, (Germany), Reg. S, 0.75%, 05/04/2026 | EUR | 1,325 | 1,179 | |||||
| Arrow Electronics, Inc., 3.88%, 01/12/2028 | 20 | 18 | ||||||
| Avnet, Inc., 5.50%, 06/01/2032 | 150 | 136 | ||||||
| Flex Ltd., (Singapore), 3.75%, 02/01/2026 | 20 | 19 | ||||||
| Honeywell International, Inc., 2.50%, 11/01/2026 | 70 | 64 | ||||||
| Jabil, Inc., 1.70%, 04/15/2026 | 150 | 130 | ||||||
| Keysight Technologies, Inc., | ||||||||
| 4.55%, 10/30/2024 | 200 | 197 | ||||||
| 4.60%, 04/06/2027 | 55 | 54 | ||||||
|
|
|
|||||||
| 2,077 | ||||||||
|
|
|
|||||||
| Engineering & Construction — 0.1% | ||||||||
| Aeroports de Paris, (France), | ||||||||
| Reg. S, 1.00%, 01/05/2029 | EUR | 300 | 248 | |||||
| Reg. S, 1.50%, 07/02/2032 | EUR | 100 | 78 | |||||
| Reg. S, 2.75%, 06/05/2028 | EUR | 200 | 184 | |||||
| Reg. S, 2.75%, 04/02/2030 | EUR | 2,500 | 2,245 | |||||
| Cellnex Finance Co. SA, (Spain), Reg. S, 2.00%, 02/15/2033 | EUR | 1,200 | 764 | |||||
| CRCC Hean Ltd., (Hong Kong), Reg. S, 0.88%, 05/20/2026 | EUR | 300 | 269 | |||||
| DAA Finance plc, (Ireland), Reg. S, 1.60%, 11/05/2032 | EUR | 100 | 75 | |||||
| Heathrow Funding Ltd., (Jersey), | ||||||||
| Reg. S, 4.63%, 10/31/2046 | GBP | 325 | 266 | |||||
| Reg. S, 6.45%, 12/10/2031 | GBP | 225 | 240 | |||||
| Reg. S, 6.75%, 12/03/2026 | GBP | 50 | 54 | |||||
| Reg. S, 7.13%, 02/14/2024 | GBP | 425 | 468 | |||||
| Royal Schiphol Group NV, (Netherlands), Reg. S, 0.38%, 09/08/2027 | EUR | 300 | 250 | |||||
| Technip Energies NV, (Netherlands), Reg. S, 1.13%, 05/28/2028 | EUR | 1,100 | 834 | |||||
| Vantage Towers AG, (Germany), Reg. S, 0.38%, 03/31/2027 | EUR | 600 | 501 | |||||
| Worley US Finance Sub Ltd., Reg. S, 0.88%, 06/09/2026 | EUR | 575 | 494 | |||||
|
|
|
|||||||
| 6,970 | ||||||||
|
|
|
|||||||
| Environmental Control — 0.0% (g) |
||||||||
| Republic Services, Inc., | ||||||||
| 2.38%, 03/15/2033 | 300 | 230 | ||||||
| 2.50%, 08/15/2024 | 50 | 48 | ||||||
| Waste Connections, Inc., (Canada), | ||||||||
| 2.60%, 02/01/2030 | 200 | 167 | ||||||
| 3.20%, 06/01/2032 | 50 | 42 | ||||||
| 4.25%, 12/01/2028 | 30 | 28 | ||||||
|
|
|
|||||||
| 515 | ||||||||
|
|
|
|||||||
| Hand/Machine Tools — 0.0% (g) |
||||||||
| Snap-on, Inc., 3.10%, 05/01/2050 | 30 | 22 | ||||||
|
|
|
|||||||
| Machinery — Construction & Mining — 0.1% | ||||||||
| Caterpillar Financial Services Corp., | ||||||||
| 0.80%, 11/13/2025 | 150 | 133 | ||||||
| 3.40%, 05/13/2025 | 3,700 | 3,579 | ||||||
| Metso Outotec OYJ, (Finland), Reg. S, 0.88%, 05/26/2028 | EUR | 500 | 381 | |||||
|
|
|
|||||||
| 4,093 | ||||||||
|
|
|
|||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Machinery — Diversified — 0.1% |
||||||||
| AGCO International Holdings BV, (Netherlands), Reg. S, 0.80%, 10/06/2028 |
EUR | 1,400 | 1,053 | |||||
| Atlas Copco AB, (Sweden), Reg. S, 0.63%, 08/30/2026 | EUR | 425 | 376 | |||||
| CNH Industrial Capital LLC, 3.95%, 05/23/2025 | 1,065 | 1,027 | ||||||
| CNH Industrial Finance Europe SA, (Luxembourg), Reg. S, 0.00%, 04/01/2024 |
EUR | 1,000 | 935 | |||||
| Highland Holdings Sarl, (Luxembourg), 0.93%, 12/15/2031 | EUR | 1,050 | 759 | |||||
| IDEX Corp., | ||||||||
| 2.63%, 06/15/2031 |
180 | 143 | ||||||
| 3.00%, 05/01/2030 | 332 | 277 | ||||||
| John Deere Capital Corp., 3.40%, 06/06/2025 | 115 | 111 | ||||||
| John Deere Cash Management SARL, (Luxembourg), Reg. S, 1.65%, 06/13/2039 |
EUR | 425 | 304 | |||||
| Otis Worldwide Corp., |
||||||||
| 2.06%, 04/05/2025 |
20 | 18 | ||||||
| 3.36%, 02/15/2050 | 10 | 7 | ||||||
| Westinghouse Air Brake Technologies Corp., | ||||||||
| 3.20%, 06/15/2025 |
50 | 47 | ||||||
| 4.40%, 03/15/2024 | 1,800 | 1,766 | ||||||
|
|
|
|||||||
| 6,823 | ||||||||
|
|
|
|||||||
| Miscellaneous Manufacturers — 0.1% |
||||||||
| Carlisle Cos., Inc., | ||||||||
| 2.20%, 03/01/2032 |
255 | 190 | ||||||
| 2.75%, 03/01/2030 | 85 | 69 | ||||||
| Eaton Capital Unlimited Co., (Ireland), Reg. S, 0.70%, 05/14/2025 | EUR | 1,325 | 1,215 | |||||
| GE Capital International Funding Co. Unlimited Co., (Ireland), 4.42%, 11/15/2035 |
200 | 179 | ||||||
| GE Capital UK Funding Unlimited Co., (Ireland), Reg. S, 5.88%, 01/18/2033 |
GBP | 950 | 982 | |||||
| General Electric Co., |
||||||||
| Reg. S, 5.25%, 12/07/2028 | GBP | 500 | 515 | |||||
| Reg. S, 5.38%, 12/18/2040 | GBP | 4 | 4 | |||||
| Parker-Hannifin Corp., 1.13%, 03/01/2025 | EUR | 850 | 773 | |||||
| Pentair Finance Sarl, (Luxembourg), 4.50%, 07/01/2029 | 2,000 | 1,808 | ||||||
| Siemens Financieringsmaatschappij NV, (Netherlands), Reg. S, 0.30%, 02/28/2024 |
EUR | 20 | 19 | |||||
| Textron, Inc., 2.45%, 03/15/2031 | 1,900 | 1,458 | ||||||
| Trane Technologies Luxembourg Finance SA, (Luxembourg), 4.50%, 03/21/2049 |
15 | 12 | ||||||
|
|
|
|||||||
| 7,224 | ||||||||
|
|
|
|||||||
| Packaging & Containers — 0.1% |
||||||||
| Ball Corp., 0.88%, 03/15/2024 | EUR | 2,000 | 1,842 | |||||
| DS Smith plc, (United Kingdom), Reg. S, 0.88%, 09/12/2026 | EUR | 2,300 | 1,916 | |||||
| Packaging Corp. of America, 3.05%, 10/01/2051 | 35 | 22 | ||||||
| Sealed Air Corp., 5.50%, 09/15/2025 (e) | 1,460 | 1,394 | ||||||
|
|
|
|||||||
| 5,174 | ||||||||
|
|
|
|||||||
| Shipbuilding — 0.0% (g) | ||||||||
| Huntington Ingalls Industries, Inc., 4.20%, 05/01/2030 | 115 | 101 | ||||||
|
|
|
|||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Transportation — 0.2% |
||||||||
| AP Moller — Maersk A/S, (Denmark), Reg. S, 4.00%, 04/04/2025 | GBP | 800 | 835 | |||||
| Brambles Finance Ltd., (Australia), Reg. S, 2.38%, 06/12/2024 | EUR | 425 | 407 | |||||
| Burlington Northern Santa Fe LLC, | ||||||||
| 3.30%, 09/15/2051 |
20 | 14 | ||||||
| 4.15%, 04/01/2045 | 50 | 41 | ||||||
| 4.45%, 01/15/2053 | 25 | 22 | ||||||
| 4.55%, 09/01/2044 | 170 | 148 | ||||||
| 4.95%, 09/15/2041 | 700 | 648 | ||||||
| 5.40%, 06/01/2041 | 70 | 68 | ||||||
| Canadian National Railway Co., (Canada), | ||||||||
| 3.85%, 08/05/2032 |
80 | 73 | ||||||
| 4.40%, 08/05/2052 | 130 | 112 | ||||||
| Canadian Pacific Railway Co., (Canada), 3.10%, 12/02/2051 | 210 | 138 | ||||||
| Deutsche Bahn Finance GMBH, (Germany), |
||||||||
| Reg. S, 0.10%, 01/28/2036 | CHF | 150 | 113 | |||||
| Reg. S, 0.50%, 04/09/2027 | EUR | 140 | 124 | |||||
| Reg. S, 1.00%, 12/17/2027 | EUR | 300 | 267 | |||||
| Reg. S, 1.13%, 05/29/2051 | EUR | 112 | 61 | |||||
| Reg. S, 1.38%, 03/28/2031 | EUR | 2,000 | 1,649 | |||||
| Reg. S, 1.38%, 04/16/2040 | EUR | 50 | 33 | |||||
| Reg. S, 1.50%, 08/26/2024 | CHF | 500 | 506 | |||||
| Reg. S, 1.50%, 12/08/2032 | EUR | 200 | 161 | |||||
| Series CB, Reg. S, (EUR Swap Rate 5 Year + 1.89%), 1.60%, 07/18/2029 (x) (aa) | EUR | 1,700 | 1,229 | |||||
| Reg. S, 1.63%, 08/16/2033 | EUR | 189 | 152 | |||||
| Reg. S, 1.88%, 05/24/2030 | EUR | 300 | 265 | |||||
| 1.99%, 07/08/2030 | AUD | 200 | 99 | |||||
| Reg. S, 3.50%, 09/27/2024 | AUD | 300 | 188 | |||||
| Reg. S, 3.75%, 10/29/2025 | AUD | 1,000 | 625 | |||||
| Ferrovie dello Stato Italiane SpA, (Italy), |
||||||||
| Reg. S, 1.50%, 06/27/2025 | EUR | 810 | 752 | |||||
| Reg. S, 3.75%, 04/14/2027 | EUR | 2,175 | 2,062 | |||||
| Kansas City Southern, 4.20%, 11/15/2069 | 10 | 7 | ||||||
| La Poste SA, (France), |
||||||||
| Reg. S, 0.00%, 07/18/2029 | EUR | 200 | 153 | |||||
| Reg. S, 0.38%, 09/17/2027 | EUR | 100 | 85 | |||||
| Reg. S, 0.63%, 10/21/2026 | EUR | 1,300 | 1,146 | |||||
| Reg. S, 0.63%, 01/18/2036 | EUR | 600 | 380 | |||||
| Reg. S, 1.38%, 04/21/2032 | EUR | 1,000 | 799 | |||||
| Network Rail Infrastructure Finance plc, (United Kingdom), Reg. S, 4.38%, 12/09/2030 |
GBP | 190 | 207 | |||||
| Norfolk Southern Corp., 4.10%, 05/15/2121 | 15 | 10 | ||||||
| OeBB-Infrastruktur AG, (Austria), | ||||||||
| 2.25%, 05/28/2029 |
EUR | 325 | 305 | |||||
| 3.00%, 10/24/2033 | EUR | 100 | 97 | |||||
| Reg. S, 3.38%, 05/18/2032 | EUR | 4 | 4 | |||||
| Reg. S, 3.88%, 06/30/2025 | EUR | 80 | 80 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Transportation — continued | ||||||||
| Union Pacific Corp., | ||||||||
| 2.97%, 09/16/2062 |
50 | 30 | ||||||
| 3.60%, 09/15/2037 | 50 | 40 | ||||||
| 3.75%, 02/05/2070 | 5 | 4 | ||||||
| 3.80%, 04/06/2071 | 10 | 7 | ||||||
| United Parcel Service, Inc., 1.50%, 11/15/2032 | EUR | 1,125 | 892 | |||||
|
|
|
|||||||
| 15,038 | ||||||||
|
|
|
|||||||
| Trucking & Leasing — 0.0% (g) | ||||||||
| Penske Truck Leasing Co. LP / PTL Finance Corp., 4.40%, 07/01/2027 (e) |
730 | 685 | ||||||
|
|
|
|||||||
| Total Industrial | 64,395 | |||||||
|
|
|
|||||||
| Technology — 0.4% |
||||||||
| Computers — 0.1% |
||||||||
| Amdocs Ltd., (Guernsey), 2.54%, 06/15/2030 | 275 | 219 | ||||||
| Apple, Inc., | ||||||||
| 1.00%, 11/10/2022 |
EUR | 700 | 686 | |||||
| 1.20%, 02/08/2028 | 295 | 247 | ||||||
| 1.38%, 05/24/2029 | EUR | 100 | 88 | |||||
| 1.40%, 08/05/2028 | 30 | 25 | ||||||
| 1.63%, 11/10/2026 | EUR | 1,125 | 1,049 | |||||
| 2.38%, 02/08/2041 | 85 | 59 | ||||||
| 2.55%, 08/20/2060 | 15 | 9 | ||||||
| 2.65%, 05/11/2050 | 25 | 16 | ||||||
| 2.65%, 02/08/2051 | 30 | 20 | ||||||
| 2.80%, 02/08/2061 | 20 | 12 | ||||||
| 2.85%, 08/05/2061 | 40 | 25 | ||||||
| 3.05%, 07/31/2029 | GBP | 425 | 411 | |||||
| 3.25%, 02/23/2026 | 50 | 48 | ||||||
| 3.25%, 08/08/2029 | 170 | 155 | ||||||
| 3.35%, 02/09/2027 | 15 | 14 | ||||||
| 3.75%, 09/12/2047 | 1,000 | 809 | ||||||
| 3.95%, 08/08/2052 | 85 | 71 | ||||||
| 4.10%, 08/08/2062 | 25 | 20 | ||||||
| Capgemini SE, (France), Reg. S, 0.63%, 06/23/2025 | EUR | 100 | 91 | |||||
| CGI, Inc., (Canada), | ||||||||
| 1.45%, 09/14/2026 |
60 | 52 | ||||||
| 2.30%, 09/14/2031 | 150 | 111 | ||||||
| Fortinet, Inc., 2.20%, 03/15/2031 | 605 | 459 | ||||||
| Genpact Luxembourg Sarl, (Luxembourg), 3.38%, 12/01/2024 | 1,400 | 1,343 | ||||||
| HP, Inc., | ||||||||
| 2.20%, 06/17/2025 |
72 | 67 | ||||||
| 2.65%, 06/17/2031 | 180 | 132 | ||||||
| 3.00%, 06/17/2027 | 68 | 60 | ||||||
| 4.00%, 04/15/2029 | 64 | 56 | ||||||
| 6.00%, 09/15/2041 | 71 | 62 | ||||||
| International Business Machines Corp., | ||||||||
| 3.43%, 02/09/2052 |
100 | 68 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Computers — continued | ||||||||
| 4.00%, 07/27/2025 | 300 | 294 | ||||||
| 4.25%, 05/15/2049 | 100 | 79 | ||||||
| 4.90%, 07/27/2052 | 130 | 114 | ||||||
| Kyndryl Holdings, Inc., 2.05%, 10/15/2026 (e) | 20 | 16 | ||||||
| NetApp, Inc., 1.88%, 06/22/2025 | 1,725 | 1,575 | ||||||
| Teledyne FLIR LLC, 2.50%, 08/01/2030 | 1,530 | 1,195 | ||||||
| Teleperformance, (France), |
||||||||
| Reg. S, 0.25%, 11/26/2027 | EUR | 500 | 404 | |||||
| Reg. S, 1.88%, 07/02/2025 | EUR | 200 | 187 | |||||
| Western Digital Corp., 3.10%, 02/01/2032 | 13 | 9 | ||||||
|
|
|
|||||||
| 10,357 | ||||||||
|
|
|
|||||||
| Office/Business & Equipment — 0.0% (g) | ||||||||
| CDW LLC / CDW Finance Corp., | ||||||||
| 2.67%, 12/01/2026 |
985 | 854 | ||||||
| 3.28%, 12/01/2028 | 42 | 35 | ||||||
| 3.57%, 12/01/2031 | 62 | 48 | ||||||
| 4.13%, 05/01/2025 | 1,915 | 1,810 | ||||||
|
|
|
|||||||
| 2,747 | ||||||||
|
|
|
|||||||
| Semiconductors — 0.2% |
||||||||
| Analog Devices, Inc., 2.95%, 10/01/2051 | 50 | 33 | ||||||
| Applied Materials, Inc., 3.30%, 04/01/2027 | 55 | 52 | ||||||
| ASML Holding NV, (Netherlands), |
||||||||
| Reg. S, 0.63%, 05/07/2029 | EUR | 100 | 82 | |||||
| Reg. S, 1.63%, 05/28/2027 | EUR | 1,450 | 1,327 | |||||
| Broadcom Corp. / Broadcom Cayman Finance Ltd., (Multinational), 3.88%, 01/15/2027 |
90 | 83 | ||||||
| Broadcom, Inc., |
||||||||
| 3.14%, 11/15/2035 (e) |
3,335 | 2,335 | ||||||
| 3.15%, 11/15/2025 | 217 | 204 | ||||||
| 3.19%, 11/15/2036 (e) | 830 | 567 | ||||||
| 3.42%, 04/15/2033 (e) | 93 | 71 | ||||||
| 3.46%, 09/15/2026 | 130 | 121 | ||||||
| 3.47%, 04/15/2034 (e) | 100 | 75 | ||||||
| 3.50%, 02/15/2041 (e) | 85 | 57 | ||||||
| 3.75%, 02/15/2051 (e) | 65 | 43 | ||||||
| 4.00%, 04/15/2029 (e) | 135 | 119 | ||||||
| 4.11%, 09/15/2028 | 20 | 18 | ||||||
| 4.15%, 04/15/2032 (e) | 60 | 50 | ||||||
| Infineon Technologies AG, (Germany), |
||||||||
| Reg. S, 0.75%, 06/24/2023 | EUR | 800 | 772 | |||||
| Reg. S, 1.13%, 06/24/2026 | EUR | 200 | 180 | |||||
| Microchip Technology, Inc., 4.25%, 09/01/2025 | 3,680 | 3,555 | ||||||
| Micron Technology, Inc., 4.66%, 02/15/2030 | 47 | 42 | ||||||
| NVIDIA Corp., 3.70%, 04/01/2060 | 10 | 7 | ||||||
| NXP BV / NXP Funding LLC / NXP USA, Inc., (Multinational), | ||||||||
| 3.40%, 05/01/2030 |
1,000 | 833 | ||||||
| 4.40%, 06/01/2027 | 590 | 557 | ||||||
| 5.00%, 01/15/2033 | 1,450 | 1,301 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Semiconductors — continued | ||||||||
| NXP BV / NXP Funding LLC, (Multinational), 4.88%, 03/01/2024 | 95 | 94 | ||||||
| Texas Instruments, Inc., | ||||||||
| 1.75%, 05/04/2030 |
59 | 47 | ||||||
| 2.70%, 09/15/2051 | 60 | 40 | ||||||
| 4.15%, 05/15/2048 | 17 | 15 | ||||||
| Xilinx, Inc., 2.38%, 06/01/2030 | 95 | 78 | ||||||
|
|
|
|||||||
| 12,758 | ||||||||
|
|
|
|||||||
| Software — 0.1% |
||||||||
| Activision Blizzard, Inc., 2.50%, 09/15/2050 | 20 | 12 | ||||||
| Adobe, Inc., 2.30%, 02/01/2030 | 88 | 73 | ||||||
| Electronic Arts, Inc., 2.95%, 02/15/2051 | 45 | 30 | ||||||
| Fidelity National Information Services, Inc., | ||||||||
| 3.10%, 03/01/2041 |
180 | 119 | ||||||
| 3.36%, 05/21/2031 | GBP | 100 | 88 | |||||
| Fiserv, Inc., 3.50%, 07/01/2029 | 170 | 148 | ||||||
| Intuit, Inc., 1.65%, 07/15/2030 | 18 | 14 | ||||||
| Microsoft Corp., | ||||||||
| 2.53%, 06/01/2050 |
1,160 | 758 | ||||||
| 2.68%, 06/01/2060 | 135 | 85 | ||||||
| 3.04%, 03/17/2062 | 30 | 21 | ||||||
| Oracle Corp., | ||||||||
| 1.65%, 03/25/2026 |
155 | 136 | ||||||
| 2.50%, 04/01/2025 | 35 | 33 | ||||||
| 3.65%, 03/25/2041 | 70 | 47 | ||||||
| 3.85%, 04/01/2060 | 60 | 36 | ||||||
| 3.95%, 03/25/2051 | 20 | 13 | ||||||
| 4.10%, 03/25/2061 | 90 | 57 | ||||||
| Roper Technologies, Inc., 1.75%, 02/15/2031 | 2,000 | 1,473 | ||||||
| SAP SE, (Germany), Reg. S, 1.00%, 04/01/2025 | EUR | 50 | 47 | |||||
| ServiceNow, Inc., 1.40%, 09/01/2030 | 15 | 11 | ||||||
| Take-Two Interactive Software, Inc., 3.30%, 03/28/2024 | 70 | 68 | ||||||
| VMware, Inc., 4.50%, 05/15/2025 | 35 | 34 | ||||||
| Workday, Inc., 3.50%, 04/01/2027 | 450 | 416 | ||||||
|
|
|
|||||||
| 3,719 | ||||||||
|
|
|
|||||||
| Total Technology | 29,581 | |||||||
|
|
|
|||||||
| Utilities — 1.7% |
||||||||
| Electric — 1.3% |
||||||||
| A2A SpA, (Italy), |
||||||||
| Reg. S, 1.00%, 07/16/2029 | EUR | 100 | 77 | |||||
| Reg. S, 1.00%, 11/02/2033 | EUR | 100 | 63 | |||||
| ACEA SpA, (Italy), |
||||||||
| Reg. S, 0.50%, 04/06/2029 | EUR | 100 | 75 | |||||
| Reg. S, 2.63%, 07/15/2024 | EUR | 100 | 97 | |||||
| AEP Texas, Inc., |
||||||||
| Series I, 2.10%, 07/01/2030 | 2,600 | 2,027 | ||||||
| 3.45%, 05/15/2051 | 10 | 7 | ||||||
| 4.70%, 05/15/2032 | 885 | 811 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Electric — continued | ||||||||
| 5.25%, 05/15/2052 | 10 | 9 | ||||||
| AES Corp. (The), 2.45%, 01/15/2031 | 25 | 19 | ||||||
| Alabama Power Co., 3.00%, 03/15/2052 | 30 | 20 | ||||||
| Alliander NV, (Netherlands), 2.88%, 06/14/2024 | EUR | 100 | 98 | |||||
| Ameren Corp., | ||||||||
| 2.50%, 09/15/2024 |
30 | 28 | ||||||
| 3.50%, 01/15/2031 | 10 | 9 | ||||||
| Ameren Illinois Co., | ||||||||
| 1.55%, 11/15/2030 |
30 | 23 | ||||||
| 3.25%, 03/15/2050 | 1,200 | 832 | ||||||
| American Electric Power Co., Inc., | ||||||||
| 2.03%, 03/15/2024 |
90 | 86 | ||||||
| 2.30%, 03/01/2030 | 25 | 20 | ||||||
| 3.25%, 03/01/2050 | 20 | 13 | ||||||
| Amprion GmbH, (Germany), |
||||||||
| Reg. S, 0.63%, 09/23/2033 | EUR | 1,500 | 1,012 | |||||
| Reg. S, 3.97%, 09/22/2032 | EUR | 400 | 384 | |||||
| Appalachian Power Co., |
||||||||
| Series Z, 3.70%, 05/01/2050 | 45 | 32 | ||||||
| Series Y, 4.50%, 03/01/2049 | 20 | 16 | ||||||
| Arizona Public Service Co., | ||||||||
| 2.60%, 08/15/2029 |
84 | 69 | ||||||
| 3.35%, 05/15/2050 | 10 | 6 | ||||||
| 4.25%, 03/01/2049 | 10 | 8 | ||||||
| Atlantic City Electric Co., 4.00%, 10/15/2028 | 50 | 47 | ||||||
| Baltimore Gas and Electric Co., | ||||||||
| 2.90%, 06/15/2050 |
50 | 33 | ||||||
| 4.55%, 06/01/2052 | 365 | 313 | ||||||
| Berkshire Hathaway Energy Co., | ||||||||
| 2.85%, 05/15/2051 |
10 | 6 | ||||||
| 4.25%, 10/15/2050 | 15 | 12 | ||||||
| 4.60%, 05/01/2053 (e) | 25 | 21 | ||||||
| 5.15%, 11/15/2043 | 60 | 55 | ||||||
| Black Hills Corp., | ||||||||
| 3.05%, 10/15/2029 |
20 | 17 | ||||||
| 3.88%, 10/15/2049 | 10 | 7 | ||||||
| Cadent Finance plc, (United Kingdom), Reg. S, 2.63%, 09/22/2038 | GBP | 1,325 | 890 | |||||
| CenterPoint Energy Houston Electric LLC, |
||||||||
| Series AD, 2.90%, 07/01/2050 | 45 | 30 | ||||||
| Series AF, 3.35%, 04/01/2051 | 10 | 7 | ||||||
| Series AH, 3.60%, 03/01/2052 | 10 | 7 | ||||||
| CenterPoint Energy, Inc., | ||||||||
| 2.95%, 03/01/2030 |
45 | 38 | ||||||
| 4.25%, 11/01/2028 | 3 | 2 | ||||||
| CEZ A/S, (Czech Republic), Reg. S, 2.38%, 04/06/2027 | EUR | 725 | 640 | |||||
| Coentreprise de Transport d’Electricite SA, (France), |
||||||||
| Reg. S, 0.88%, 09/29/2024 | EUR | 100 | 93 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Electric — continued | ||||||||
| Reg. S, 2.13%, 07/29/2032 | EUR | 100 | 79 | |||||
| Commonwealth Edison Co., | ||||||||
| 3.00%, 03/01/2050 |
55 | 37 | ||||||
| 3.70%, 08/15/2028 | 10 | 9 | ||||||
| 4.00%, 03/01/2048 | 25 | 20 | ||||||
| 4.00%, 03/01/2049 | 10 | 8 | ||||||
| 4.35%, 11/15/2045 | 980 | 816 | ||||||
| Connecticut Light and Power Co. (The), Series A, 2.05%, 07/01/2031 | 905 | 714 | ||||||
| Consolidated Edison Co. of New York, Inc., |
||||||||
| Series C, 3.00%, 12/01/2060 | 20 | 12 | ||||||
| Series 20A, 3.35%, 04/01/2030 | 70 | 61 | ||||||
| 3.60%, 06/15/2061 | 10 | 7 | ||||||
| 3.85%, 06/15/2046 | 10 | 8 | ||||||
| Series 20B, 3.95%, 04/01/2050 | 55 | 42 | ||||||
| Series A, 4.13%, 05/15/2049 | 20 | 16 | ||||||
| Series E, 4.65%, 12/01/2048 | 10 | 9 | ||||||
| Series 9-C, 5.50%, 12/01/2039 | 10 | 9 | ||||||
| Constellation Energy Generation LLC, 5.60%, 06/15/2042 | 20 | 18 | ||||||
| Consumers Energy Co., | ||||||||
| 2.50%, 05/01/2060 |
10 | 6 | ||||||
| 3.10%, 08/15/2050 | 30 | 20 | ||||||
| 3.25%, 08/15/2046 | 1,100 | 798 | ||||||
| 3.75%, 02/15/2050 | 25 | 19 | ||||||
| Dominion Energy South Carolina, Inc., 4.60%, 06/15/2043 | 1,400 | 1,212 | ||||||
| Dominion Energy, Inc., |
||||||||
| Series C, 3.38%, 04/01/2030 | 20 | 17 | ||||||
| 3.90%, 10/01/2025 | 220 | 211 | ||||||
| 4.25%, 06/01/2028 | 20 | 19 | ||||||
| Series A, 4.60%, 03/15/2049 | 10 | 9 | ||||||
| Series B, 4.85%, 08/15/2052 | 25 | 21 | ||||||
| DTE Electric Co., | ||||||||
| 2.95%, 03/01/2050 |
25 | 17 | ||||||
| Series B, 3.25%, 04/01/2051 | 20 | 14 | ||||||
| 3.70%, 03/15/2045 | 1,100 | 848 | ||||||
| 3.95%, 03/01/2049 | 10 | 8 | ||||||
| DTE Energy Co., |
||||||||
| Series F, 1.05%, 06/01/2025 | 1,400 | 1,253 | ||||||
| 2.85%, 10/01/2026 | 50 | 45 | ||||||
| Series C, 3.40%, 06/15/2029 | 19 | 17 | ||||||
| Duke Energy Carolinas LLC, | ||||||||
| 3.55%, 03/15/2052 |
10 | 7 | ||||||
| 3.95%, 11/15/2028 | 40 | 37 | ||||||
| 5.30%, 02/15/2040 | 10 | 10 | ||||||
| Duke Energy Corp., | ||||||||
| 0.90%, 09/15/2025 |
40 | 35 | ||||||
| 2.45%, 06/01/2030 | 110 | 88 | ||||||
| 2.55%, 06/15/2031 | 10 | 8 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Electric — continued | ||||||||
| 2.65%, 09/01/2026 | 30 | 27 | ||||||
| 3.10%, 06/15/2028 | EUR | 2,150 | 1,973 | |||||
| 3.50%, 06/15/2051 | 10 | 7 | ||||||
| 3.75%, 09/01/2046 | 10 | 7 | ||||||
| 3.85%, 06/15/2034 | EUR | 2,200 | 1,887 | |||||
| 4.20%, 06/15/2049 | 20 | 15 | ||||||
| 5.00%, 08/15/2052 | 20 | 17 | ||||||
| Duke Energy Florida LLC, | ||||||||
| 3.00%, 12/15/2051 |
20 | 13 | ||||||
| 4.20%, 07/15/2048 | 10 | 8 | ||||||
| Duke Energy Indiana LLC, | ||||||||
| 2.75%, 04/01/2050 |
20 | 13 | ||||||
| Series YYY, 3.25%, 10/01/2049 | 40 | 27 | ||||||
| Duke Energy Ohio, Inc., | ||||||||
| 2.13%, 06/01/2030 |
30 | 24 | ||||||
| 3.65%, 02/01/2029 | 10 | 9 | ||||||
| 4.30%, 02/01/2049 | 80 | 65 | ||||||
| E.ON International Finance BV, (Netherlands), Reg. S, 6.13%, 07/06/2039 |
GBP | 350 | 354 | |||||
| E.ON SE, (Germany), Reg. S, 1.00%, 10/07/2025 | EUR | 100 | 92 | |||||
| EDP — Energias de Portugal SA, (Portugal), Reg. S, 1.63%, 04/15/2027 | EUR | 100 | 89 | |||||
| EDP Finance BV, (Netherlands), Reg. S, 2.00%, 04/22/2025 | EUR | 700 | 661 | |||||
| Electricite de France SA, (France), |
||||||||
| Reg. S, 1.00%, 10/13/2026 | EUR | 600 | 536 | |||||
| Reg. S, 1.00%, 11/29/2033 | EUR | 100 | 69 | |||||
| Reg. S, 1.88%, 10/13/2036 | EUR | 200 | 140 | |||||
| Reg. S, 2.00%, 12/09/2049 | EUR | 600 | 332 | |||||
| Reg. S, 5.13%, 09/22/2050 | GBP | 400 | 355 | |||||
| Reg. S, (ICE Swap Rate GBP SONIA + 3.32%), 5.88%, 01/22/2029 (x) (aa) | GBP | 300 | 249 | |||||
| 5.88%, 07/18/2031 | GBP | 265 | 275 | |||||
| Reg. S, (GBP Swap Rate 13 Year + 4.23%), 6.00%, 01/29/2026 (x) (aa) | GBP | 100 | 87 | |||||
| Reg. S, 6.13%, 06/02/2034 | GBP | 300 | 311 | |||||
| EnBW Energie Baden-Wuerttemberg AG, (Germany), |
||||||||
| Reg. S, (EUR Swap Rate 5 Year + 1.65%), 1.38%, 08/31/2081 (aa) | EUR | 100 | 67 | |||||
| Reg. S, (EUR Swap Rate 5 Year + 2.32%), 1.88%, 06/29/2080 (aa) | EUR | 100 | 79 | |||||
| EnBW International Finance BV, (Netherlands), |
||||||||
| Reg. S, 0.13%, 03/01/2028 | EUR | 182 | 146 | |||||
| Reg. S, 0.50%, 03/01/2033 | EUR | 97 | 62 | |||||
| Reg. S, 0.63%, 04/17/2025 | EUR | 200 | 184 | |||||
| Enel Finance International NV, (Netherlands), |
||||||||
| Reg. S, 0.00%, 06/17/2024 | EUR | 2,275 | 2,116 | |||||
| Reg. S, 0.88%, 09/28/2034 | EUR | 1,300 | 800 | |||||
| 2.25%, 07/12/2031 (e) | 300 | 208 | ||||||
| 2.65%, 09/10/2024 (e) | 3,500 | 3,317 | ||||||
| 3.50%, 04/06/2028 (e) | 1,700 | 1,466 | ||||||
| 5.00%, 06/15/2032 (e) | 940 | 802 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Electric — continued | ||||||||
| e-netz Suedhessen AG, (Germany), 6.13%, 04/23/2041 | EUR | 20 | 25 | |||||
| Enexis Holding NV, (Netherlands), |
||||||||
| Reg. S, 0.75%, 07/02/2031 | EUR | 134 | 101 | |||||
| Reg. S, 0.88%, 04/28/2026 | EUR | 100 | 91 | |||||
| Reg. S, 1.50%, 10/20/2023 | EUR | 100 | 97 | |||||
| Engie SA, (France), Reg. S, (EUR Swap Rate 5 Year + 3.17%), 3.25%, 11/28/2024 (x) (aa) |
EUR | 1,800 | 1,679 | |||||
| Entergy Arkansas LLC, 4.20%, 04/01/2049 | 10 | 8 | ||||||
| Entergy Corp., | ||||||||
| 0.90%, 09/15/2025 |
30 | 27 | ||||||
| 3.75%, 06/15/2050 | 30 | 21 | ||||||
| Entergy Louisiana LLC, | ||||||||
| 1.60%, 12/15/2030 |
2,300 | 1,727 | ||||||
| 2.90%, 03/15/2051 | 30 | 19 | ||||||
| 3.12%, 09/01/2027 | 2,500 | 2,270 | ||||||
| 3.25%, 04/01/2028 | 10 | 9 | ||||||
| 4.20%, 09/01/2048 | 10 | 8 | ||||||
| Entergy Texas, Inc., 4.00%, 03/30/2029 | 15 | 14 | ||||||
| ESB Finance DAC, (Ireland), |
||||||||
| Reg. S, 1.75%, 02/07/2029 | EUR | 100 | 87 | |||||
| Reg. S, 1.88%, 06/14/2031 | EUR | 224 | 187 | |||||
| Reg. S, 2.13%, 06/08/2027 | EUR | 100 | 92 | |||||
| Evergy Kansas Central, Inc., 3.45%, 04/15/2050 | 5 | 4 | ||||||
| Evergy Metro, Inc., |
||||||||
| Series 2020, 2.25%, 06/01/2030 | 10 | 8 | ||||||
| Series 2019, 4.13%, 04/01/2049 | 20 | 16 | ||||||
| 4.20%, 03/15/2048 | 10 | 8 | ||||||
| Evergy, Inc., 2.45%, 09/15/2024 | 3,000 | 2,838 | ||||||
| Eversource Energy, |
||||||||
| Series R, 1.65%, 08/15/2030 | 1,410 | 1,062 | ||||||
| 3.45%, 01/15/2050 | 30 | 21 | ||||||
| 4.20%, 06/27/2024 | 85 | 84 | ||||||
| EWE AG, (Germany), Reg. S, 0.38%, 10/22/2032 | EUR | 90 | 58 | |||||
| Exelon Corp., | ||||||||
| 4.05%, 04/15/2030 |
10 | 9 | ||||||
| 4.10%, 03/15/2052 (e) | 20 | 16 | ||||||
| 4.45%, 04/15/2046 | 10 | 8 | ||||||
| 4.70%, 04/15/2050 | 10 | 8 | ||||||
| FirstEnergy Transmission LLC, 4.35%, 01/15/2025 (e) | 1,100 | 1,061 | ||||||
| Florida Power & Light Co., | ||||||||
| 2.88%, 12/04/2051 |
35 | 23 | ||||||
| 3.15%, 10/01/2049 | 20 | 14 | ||||||
| 3.95%, 03/01/2048 | 500 | 402 | ||||||
| 4.13%, 06/01/2048 | 20 | 17 | ||||||
| FLUVIUS System Operator CVBA, (Belgium), |
||||||||
| Reg. S, 0.63%, 11/24/2031 | EUR | 100 | 73 | |||||
| Reg. S, 2.88%, 10/09/2023 | EUR | 400 | 392 | |||||
| Reg. S, 4.00%, 07/06/2032 | EUR | 200 | 196 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Electric — continued | ||||||||
| Fortum OYJ, (Finland), Reg. S, 2.13%, 02/27/2029 | EUR | 100 | 82 | |||||
| Georgia Power Co., |
||||||||
| Series A, 3.25%, 03/15/2051 | 20 | 13 | ||||||
| Series B, 3.70%, 01/30/2050 | 60 | 43 | ||||||
| 4.70%, 05/15/2032 | 2,350 | 2,200 | ||||||
| Hera SpA, (Italy), Reg. S, 0.25%, 12/03/2030 | EUR | 160 | 108 | |||||
| Iberdrola International BV, (Netherlands), Series NC8, Reg. S, (EUR |
||||||||
| Swap Rate 5 Year + 2.57%), 2.25%, 01/28/2029 (x) (aa) | EUR | 2,000 | 1,473 | |||||
| Interstate Power and Light Co., 3.50%, 09/30/2049 | 10 | 7 | ||||||
| Iren SpA, (Italy), Reg. S, 1.00%, 07/01/2030 | EUR | 550 | 399 | |||||
| ITC Holdings Corp., 4.95%, 09/22/2027 (e) | 1,170 | 1,142 | ||||||
| Kentucky Utilities Co., 3.30%, 06/01/2050 | 25 | 17 | ||||||
| MidAmerican Energy Co., | ||||||||
| 2.70%, 08/01/2052 |
15 | 10 | ||||||
| 3.10%, 05/01/2027 | 10 | 9 | ||||||
| 6.75%, 12/30/2031 | 10 | 11 | ||||||
| Mississippi Power Co., Series B, 3.10%, 07/30/2051 | 40 | 26 | ||||||
| Narragansett Electric Co. (The), 3.40%, 04/09/2030 (e) | 200 | 177 | ||||||
| National Grid Electricity Transmission plc, (United Kingdom), Reg. S, 2.00%, 04/17/2040 |
GBP | 425 | 262 | |||||
| National Grid plc, (United Kingdom), |
||||||||
| Reg. S, 0.55%, 09/18/2029 | EUR | 1,575 | 1,189 | |||||
| Reg. S, 2.18%, 06/30/2026 | EUR | 2,025 | 1,874 | |||||
| National Rural Utilities Cooperative Finance Corp., | ||||||||
| 1.35%, 03/15/2031 |
50 | 37 | ||||||
| 3.45%, 06/15/2025 | 110 | 106 | ||||||
| 4.30%, 03/15/2049 | 20 | 16 | ||||||
| Naturgy Finance BV, (Netherlands), |
||||||||
| Reg. S, 1.25%, 01/15/2026 | EUR | 1,000 | 898 | |||||
| Reg. S, 1.38%, 01/19/2027 | EUR | 600 | 527 | |||||
| Reg. S, 1.50%, 01/29/2028 | EUR | 600 | 516 | |||||
| Nevada Power Co., |
||||||||
| Series DD, 2.40%, 05/01/2030 | 100 | 82 | ||||||
| Series EE, 3.13%, 08/01/2050 | 30 | 20 | ||||||
| NextEra Energy Capital Holdings, Inc., | ||||||||
| 2.25%, 06/01/2030 |
1,280 | 1,021 | ||||||
| 2.75%, 11/01/2029 | 35 | 29 | ||||||
| 4.26%, 09/01/2024 | 1,865 | 1,839 | ||||||
| Northern Powergrid Holdings Co., (United Kingdom), 7.25%, 12/15/2022 |
GBP | 450 | 505 | |||||
| Northern Powergrid Yorkshire plc, (United Kingdom), Reg. S, 5.13%, 05/04/2035 |
GBP | 50 | 51 | |||||
| Northern States Power Co., |
||||||||
| 2.25%, 04/01/2031 |
1,450 | 1,183 | ||||||
| 2.60%, 06/01/2051 | 35 | 22 | ||||||
| 3.20%, 04/01/2052 | 30 | 21 | ||||||
| 4.50%, 06/01/2052 | 10 | 9 | ||||||
| NRG Energy, Inc., | ||||||||
| 2.00%, 12/02/2025 (e) |
2,150 | 1,899 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Electric — continued | ||||||||
| 2.45%, 12/02/2027 (e) | 2,275 | 1,864 | ||||||
| NSTAR Electric Co., | ||||||||
| 3.10%, 06/01/2051 |
30 | 20 | ||||||
| 4.55%, 06/01/2052 | 470 | 408 | ||||||
| Oglethorpe Power Corp., 5.05%, 10/01/2048 | 20 | 17 | ||||||
| Ohio Power Co., Series R, 2.90%, 10/01/2051 | 15 | 9 | ||||||
| Oklahoma Gas and Electric Co., 4.15%, 04/01/2047 | 920 | 730 | ||||||
| Oncor Electric Delivery Co. LLC, | ||||||||
| 3.10%, 09/15/2049 |
50 | 35 | ||||||
| 3.70%, 05/15/2050 | 5 | 4 | ||||||
| 4.60%, 06/01/2052 (e) | 15 | 13 | ||||||
| 4.95%, 09/15/2052 (e) | 10 | 9 | ||||||
| Origin Energy Finance Ltd., (Australia), Reg. S, 1.00%, 09/17/2029 | EUR | 1,500 | 1,077 | |||||
| Orsted A/S, (Denmark), |
||||||||
| Reg. S, 5.75%, 04/09/2040 | GBP | 225 | 238 | |||||
| Reg. S, (EUR Swap Rate 5 Year + 4.75%), 6.25%, 06/26/3013 (aa) | EUR | 119 | 117 | |||||
| Pacific Gas and Electric Co., | ||||||||
| 3.15%, 01/01/2026 |
35 | 31 | ||||||
| 3.25%, 06/01/2031 | 40 | 31 | ||||||
| 3.50%, 08/01/2050 | 40 | 24 | ||||||
| 3.75%, 07/01/2028 | 10 | 8 | ||||||
| 3.95%, 12/01/2047 | 900 | 572 | ||||||
| 4.50%, 07/01/2040 | 100 | 73 | ||||||
| 4.55%, 07/01/2030 | 30 | 26 | ||||||
| 4.95%, 07/01/2050 | 30 | 22 | ||||||
| PacifiCorp., | ||||||||
| 2.90%, 06/15/2052 |
740 | 474 | ||||||
| 3.30%, 03/15/2051 | 1,400 | 974 | ||||||
| 4.15%, 02/15/2050 | 15 | 12 | ||||||
| PECO Energy Co., | ||||||||
| 2.80%, 06/15/2050 |
50 | 32 | ||||||
| 3.05%, 03/15/2051 | 435 | 293 | ||||||
| 4.60%, 05/15/2052 | 285 | 251 | ||||||
| Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, (Indonesia), Reg. S, 1.88%, 11/05/2031 |
EUR | 500 | 353 | |||||
| PPL Capital Funding, Inc., 4.13%, 04/15/2030 | 120 | 108 | ||||||
| Public Service Co. of Colorado, Series 36, 2.70%, 01/15/2051 | 10 | 6 | ||||||
| Public Service Electric and Gas Co., | ||||||||
| 1.90%, 08/15/2031 |
35 | 27 | ||||||
| 2.05%, 08/01/2050 | 10 | 5 | ||||||
| 2.45%, 01/15/2030 | 20 | 17 | ||||||
| 3.65%, 09/01/2028 | 120 | 111 | ||||||
| 3.85%, 05/01/2049 | 10 | 8 | ||||||
| Public Service Enterprise Group, Inc., 0.80%, 08/15/2025 | 3,000 | 2,639 | ||||||
| Puget Energy, Inc., | ||||||||
| 2.38%, 06/15/2028 |
1,040 | 866 | ||||||
| 4.10%, 06/15/2030 | 10 | 9 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Electric — continued | ||||||||
| Puget Sound Energy, Inc., |
||||||||
| 2.89%, 09/15/2051 | 10 | 6 | ||||||
| 3.25%, 09/15/2049 | 20 | 14 | ||||||
| Red Electrica Financiaciones SAU, (Spain), Reg. S, 1.13%, 04/24/2025 | EUR | 100 | 93 | |||||
| RTE Reseau de Transport d’Electricite SADIR, (France), |
||||||||
| Reg. S, 1.13%, 09/09/2049 | EUR | 100 | 50 | |||||
| Reg. S, 1.50%, 09/27/2030 | EUR | 200 | 164 | |||||
| Reg. S, 1.63%, 11/27/2025 | EUR | 300 | 279 | |||||
| Reg. S, 2.00%, 04/18/2036 | EUR | 100 | 76 | |||||
| RWE AG, (Germany), |
||||||||
| Reg. S, 2.13%, 05/24/2026 | EUR | 2,000 | 1,848 | |||||
| Reg. S, 2.75%, 05/24/2030 | EUR | 2,425 | 2,144 | |||||
| San Diego Gas & Electric Co., |
||||||||
| Series WWW, 2.95%, 08/15/2051 |
25 | 16 | ||||||
| 4.15%, 05/15/2048 | 820 | 650 | ||||||
| Scottish Hydro Electric Transmission plc, (United Kingdom), Reg. S, 2.13%, 03/24/2036 |
GBP | 1,500 | 1,044 | |||||
| Sempra Energy, |
||||||||
| 3.40%, 02/01/2028 |
10 | 9 | ||||||
| 4.00%, 02/01/2048 | 10 | 8 | ||||||
| Southern California Edison Co., | ||||||||
| 2.85%, 08/01/2029 |
10 | 8 | ||||||
| Series 20A, 2.95%, 02/01/2051 | 6 | 4 | ||||||
| Series D, 3.40%, 06/01/2023 | 1,400 | 1,383 | ||||||
| 3.45%, 02/01/2052 | 10 | 7 | ||||||
| Series B, 3.65%, 03/01/2028 | 25 | 23 | ||||||
| 3.65%, 02/01/2050 | 80 | 55 | ||||||
| Series H, 3.65%, 06/01/2051 | 10 | 7 | ||||||
| Series E, 3.70%, 08/01/2025 | 10 | 9 | ||||||
| 4.00%, 04/01/2047 | 20 | 14 | ||||||
| 4.05%, 03/15/2042 | 900 | 671 | ||||||
| 6.05%, 03/15/2039 | 10 | 10 | ||||||
| Southern Co. (The), |
||||||||
| Series 21-A, 0.60%, 02/26/2024 | 60 | 56 | ||||||
| Series A, 3.70%, 04/30/2030 | 75 | 66 | ||||||
| Southwestern Electric Power Co., |
||||||||
| Series N, 1.65%, 03/15/2026 | 50 | 44 | ||||||
| 3.25%, 11/01/2051 | 25 | 16 | ||||||
| Southwestern Public Service Co., |
||||||||
| Series 8, 3.15%, 05/01/2050 | 60 | 41 | ||||||
| 3.70%, 08/15/2047 | 1,000 | 745 | ||||||
| SP Transmission plc, (United Kingdom), Reg. S, 2.00%, 11/13/2031 | GBP | 100 | 81 | |||||
| SSE plc, (United Kingdom), |
||||||||
| Reg. S, 1.75%, 04/16/2030 | EUR | 1,300 | 1,061 | |||||
| Reg. S, 2.88%, 08/01/2029 | EUR | 425 | 382 | |||||
| Reg. S, (EUR Swap Rate 5 Year + 2.70%), 4.00%, 01/21/2028 (x) (aa) | EUR | 1,800 | 1,539 | |||||
| State Grid Overseas Investment BVI Ltd., (British Virgin Islands), Reg. S, 1.30%, 08/05/2032 |
EUR | 500 | 358 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Electric — continued | ||||||||
| Stedin Holding NV, (Netherlands), |
||||||||
| Reg. S, 0.88%, 10/24/2025 | EUR | 100 | 90 | |||||
| Reg. S, 2.38%, 06/03/2030 | EUR | 100 | 88 | |||||
| Tampa Electric Co., 4.30%, 06/15/2048 | 30 | 25 | ||||||
| TenneT Holding BV, (Netherlands), |
||||||||
| Reg. S, 0.88%, 06/03/2030 | EUR | 120 | 96 | |||||
| Reg. S, 1.00%, 06/13/2026 | EUR | 200 | 182 | |||||
| Reg. S, 1.13%, 06/09/2041 | EUR | 100 | 61 | |||||
| Reg. S, 1.38%, 06/26/2029 | EUR | 100 | 85 | |||||
| Reg. S, 1.75%, 06/04/2027 | EUR | 300 | 274 | |||||
| Reg. S, 2.00%, 06/05/2034 | EUR | 2,600 | 2,079 | |||||
| Reg. S, 2.75%, 05/17/2042 | EUR | 100 | 81 | |||||
| Terna — Rete Elettrica Nazionale, (Italy), |
||||||||
| Reg. S, 0.13%, 07/25/2025 | EUR | 1,000 | 894 | |||||
| Reg. S, 0.38%, 09/25/2030 | EUR | 425 | 305 | |||||
| Reg. S, 0.75%, 07/24/2032 | EUR | 100 | 70 | |||||
| Reg. S, 1.38%, 07/26/2027 | EUR | 1,125 | 986 | |||||
| Tucson Electric Power Co., | ||||||||
| 1.50%, 08/01/2030 |
30 | 23 | ||||||
| 3.25%, 05/01/2051 | 10 | 6 | ||||||
| 4.00%, 06/15/2050 | 10 | 8 | ||||||
| Union Electric Co., | ||||||||
| 2.15%, 03/15/2032 |
50 | 39 | ||||||
| 2.63%, 03/15/2051 | 10 | 6 | ||||||
| 3.25%, 10/01/2049 | 40 | 28 | ||||||
| Verbund AG, (Austria), Reg. S, 0.90%, 04/01/2041 | EUR | 100 | 61 | |||||
| Virginia Electric and Power Co., | ||||||||
| 2.95%, 11/15/2051 |
25 | 16 | ||||||
| 3.30%, 12/01/2049 | 50 | 35 | ||||||
| Series B, 3.80%, 09/15/2047 | 60 | 46 | ||||||
| Vistra Operations Co. LLC, 3.55%, 07/15/2024 (e) | 1,400 | 1,334 | ||||||
| WEC Energy Group, Inc., 3.55%, 06/15/2025 | 47 | 45 | ||||||
| Western Power Distribution South West plc, (United Kingdom), Reg. S, 5.88%, 03/25/2027 |
GBP | 20 | 22 | |||||
| Wisconsin Electric Power Co., 1.70%, 06/15/2028 | 10 | 8 | ||||||
| Wisconsin Power and Light Co., 3.00%, 07/01/2029 | 50 | 44 | ||||||
| Wisconsin Public Service Corp., | ||||||||
| 2.85%, 12/01/2051 |
20 | 13 | ||||||
| 3.30%, 09/01/2049 | 5 | 3 | ||||||
| Xcel Energy, Inc., | ||||||||
| 3.40%, 06/01/2030 |
20 | 17 | ||||||
| 3.50%, 12/01/2049 | 20 | 14 | ||||||
| 4.60%, 06/01/2032 | 165 | 153 | ||||||
|
|
|
|||||||
| 93,866 | ||||||||
|
|
|
|||||||
| Gas — 0.3% |
||||||||
| APA Infrastructure Ltd., (Australia), |
||||||||
| Reg. S, 0.75%, 03/15/2029 | EUR | 2,500 | 1,910 | |||||
| Reg. S, 1.25%, 03/15/2033 | EUR | 2,000 | 1,355 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Gas — continued | ||||||||
| Reg. S, 2.00%, 07/15/2030 | EUR | 2,300 | 1,830 | |||||
| Atmos Energy Corp., | ||||||||
| 1.50%, 01/15/2031 |
1,630 | 1,225 | ||||||
| 2.63%, 09/15/2029 | 15 | 13 | ||||||
| 2.85%, 02/15/2052 | 5 | 3 | ||||||
| 3.38%, 09/15/2049 | 210 | 149 | ||||||
| 4.15%, 01/15/2043 | 10 | 8 | ||||||
| CenterPoint Energy Resources Corp., 4.40%, 07/01/2032 | 30 | 28 | ||||||
| Italgas SpA, (Italy), |
||||||||
| Reg. S, 1.00%, 12/11/2031 | EUR | 1,125 | 784 | |||||
| Reg. S, 1.13%, 03/14/2024 | EUR | 850 | 808 | |||||
| National Fuel Gas Co., | ||||||||
| 2.95%, 03/01/2031 |
85 | 66 | ||||||
| 5.50%, 01/15/2026 | 85 | 84 | ||||||
| National Grid Gas plc, (United Kingdom), Reg. S, 1.38%, 02/07/2031 | GBP | 1,600 | 1,204 | |||||
| National Grid North America, Inc., Reg. S, 0.41%, 01/20/2026 | EUR | 2,500 | 2,199 | |||||
| Nederlandse Gasunie NV, (Netherlands), Reg. S, 0.75%, 10/13/2036 | EUR | 100 | 63 | |||||
| NiSource, Inc., | ||||||||
| 0.95%, 08/15/2025 |
3,000 | 2,663 | ||||||
| 3.49%, 05/15/2027 | 130 | 119 | ||||||
| 3.60%, 05/01/2030 | 25 | 22 | ||||||
| 4.38%, 05/15/2047 | 15 | 12 | ||||||
| 4.80%, 02/15/2044 | 10 | 8 | ||||||
| 5.00%, 06/15/2052 | 10 | 9 | ||||||
| Piedmont Natural Gas Co., Inc., | ||||||||
| 2.50%, 03/15/2031 |
1,550 | 1,221 | ||||||
| 3.35%, 06/01/2050 | 15 | 10 | ||||||
| 5.05%, 05/15/2052 | 570 | 500 | ||||||
| Redexis Gas Finance BV, (Netherlands), Reg. S, 1.88%, 05/28/2025 | EUR | 1,300 | 1,197 | |||||
| Snam SpA, (Italy), |
||||||||
| Reg. S, 0.75%, 06/20/2029 | EUR | 1,375 | 1,048 | |||||
| Reg. S, 0.88%, 10/25/2026 | EUR | 850 | 738 | |||||
| Southern California Gas Co., |
||||||||
| Series XX, 2.55%, 02/01/2030 | 105 | 88 | ||||||
| Series VV, 4.30%, 01/15/2049 | 20 | 16 | ||||||
| Southern Co. Gas Capital Corp., |
||||||||
| Series 20-A, 1.75%, 01/15/2031 (jj) | 3,700 | 2,742 | ||||||
| Series 21A, 3.15%, 09/30/2051 | 15 | 9 | ||||||
| 3.95%, 10/01/2046 | 20 | 15 | ||||||
| Southern Gas Networks plc, (United Kingdom), |
||||||||
| Reg. S, 2.50%, 02/03/2025 | GBP | 425 | 436 | |||||
| 6.38%, 05/15/2040 | GBP | 425 | 458 | |||||
| Southwest Gas Corp., | ||||||||
| 4.05%, 03/15/2032 |
25 | 21 | ||||||
| 4.15%, 06/01/2049 | 10 | 7 | ||||||
| Vier Gas Transport GmbH, (Germany), Reg. S, 0.50%, 09/10/2034 | EUR | 400 | 235 | |||||
| Wales & West Utilities Finance plc, (United Kingdom), Reg. S, 1.88%, 05/28/2041 |
GBP | 425 | 258 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Gas — continued | ||||||||
| Washington Gas Light Co., 3.65%, 09/15/2049 | 10 | 7 | ||||||
|
|
|
|||||||
| 23,568 | ||||||||
|
|
|
|||||||
| Water — 0.1% |
||||||||
| Affinity Water Finance 2004 plc, (United Kingdom), 5.88%, 07/13/2026 |
GBP | 30 | 33 | |||||
| American Water Capital Corp., 4.15%, 06/01/2049 | 60 | 48 | ||||||
| Essential Utilities, Inc., | ||||||||
| 2.70%, 04/15/2030 |
40 | 33 | ||||||
| 5.30%, 05/01/2052 | 10 | 9 | ||||||
| Northumbrian Water Finance plc, (United Kingdom), |
||||||||
| Reg. S, 1.63%, 10/11/2026 | GBP | 425 | 395 | |||||
| Reg. S, 5.63%, 04/29/2033 | GBP | 225 | 238 | |||||
| Suez SA, (France), Reg. S, 1.50%, 04/03/2029 | EUR | 1,200 | 1,023 | |||||
| Thames Water Utilities Finance plc, (United Kingdom), |
||||||||
| Reg. S, 2.38%, 04/22/2040 | GBP | 300 | 192 | |||||
| Reg. S, 5.50%, 02/11/2041 | GBP | 550 | 531 | |||||
| 6.75%, 11/16/2028 | GBP | 180 | 199 | |||||
| United Utilities Water Finance plc, (United Kingdom), Reg. S, 2.00%, 07/03/2033 |
GBP | 900 | 688 | |||||
| Wessex Water Services Finance plc, (United Kingdom), |
||||||||
| Reg. S, 1.50%, 09/17/2029 | GBP | 700 | 567 | |||||
| Reg. S, 5.38%, 03/10/2028 | GBP | 225 | 237 | |||||
| Reg. S, 5.75%, 10/14/2033 | GBP | 375 | 396 | |||||
|
|
|
|||||||
| 4,589 | ||||||||
|
|
|
|||||||
| Total Utilities | 122,023 | |||||||
|
|
|
|||||||
| Total Corporate Bonds (Cost $1,690,141) |
1,302,530 | |||||||
|
|
|
|||||||
| Foreign Government Securities — 50.8% | ||||||||
| Action Logement Services, (France), |
||||||||
| Reg. S, 0.38%, 10/05/2031 | EUR | 200 | 157 | |||||
| Reg. S, 0.50%, 10/30/2034 | EUR | 100 | 71 | |||||
| Reg. S, 3.13%, 09/28/2037 | EUR | 200 | 188 | |||||
| Adif Alta Velocidad, (Spain), |
||||||||
| Reg. S, 0.55%, 04/30/2030 | EUR | 200 | 161 | |||||
| Reg. S, 1.88%, 01/28/2025 | EUR | 100 | 97 | |||||
| Agence Francaise de Developpement EPIC, (France), |
||||||||
| Reg. S, 0.00%, 03/25/2025 | EUR | 500 | 463 | |||||
| Reg. S, 0.13%, 11/15/2023 | EUR | 500 | 479 | |||||
| Reg. S, 0.13%, 09/29/2031 | EUR | 300 | 231 | |||||
| Reg. S, 0.25%, 07/21/2026 | EUR | 500 | 451 | |||||
| Reg. S, 0.25%, 06/29/2029 | EUR | 400 | 333 | |||||
| Reg. S, 0.38%, 04/30/2024 | EUR | 400 | 381 | |||||
| Reg. S, 0.38%, 05/25/2036 | EUR | 100 | 67 | |||||
| Reg. S, 0.50%, 05/25/2030 | EUR | 200 | 166 | |||||
| Reg. S, 0.50%, 05/31/2035 | EUR | 500 | 353 | |||||
| Reg. S, 1.38%, 09/17/2024 | EUR | 500 | 482 | |||||
| Reg. S, 1.50%, 10/31/2034 | EUR | 200 | 163 | |||||
| Reg. S, 1.63%, 05/25/2032 | EUR | 200 | 174 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL AMOUNT ($) |
VALUE ($) | ||||||
| Foreign Government Securities — continued | ||||||||
| Agence France Locale, (France), |
||||||||
| Reg. S, 0.00%, 09/20/2027 | EUR | 500 | 430 | |||||
| Reg. S, 0.13%, 06/20/2026 | EUR | 400 | 359 | |||||
| Reg. S, 1.13%, 06/20/2028 | EUR | 1,000 | 898 | |||||
| Agricultural Development Bank of China, (China), |
||||||||
| Series 2005, 2.25%, 04/22/2025 | CNY | 99,700 | 14,014 | |||||
| 2.37%, 06/23/2024 | CNY | 15,000 | 2,121 | |||||
| Series 2004, 2.96%, 04/17/2030 | CNY | 125,800 | 17,754 | |||||
| Series 2108, 2.99%, 08/11/2026 | CNY | 66,000 | 9,437 | |||||
| Series 2205, 3.06%, 06/06/2032 | CNY | 38,700 | 5,462 | |||||
| Reg. S, 3.18%, 11/06/2022 | CNH | 2,000 | 280 | |||||
| Series 1909, 3.24%, 08/14/2024 | CNY | 58,000 | 8,329 | |||||
| Series 2110, 3.30%, 11/05/2031 | CNY | 14,000 | 2,011 | |||||
| Series 1605, 3.33%, 01/06/2026 | CNY | 37,000 | 5,352 | |||||
| Series 2103, 3.35%, 03/24/2026 | CNY | 5,900 | 855 | |||||
| Reg. S, 3.40%, 11/06/2024 | CNH | 56,000 | 7,938 | |||||
| Series 2008, 3.45%, 09/23/2025 | CNY | 24,000 | 3,481 | |||||
| Series 2105, 3.52%, 05/24/2031 | CNY | 17,000 | 2,489 | |||||
| Series 1618, 3.58%, 04/22/2026 | CNY | 49,000 | 7,150 | |||||
| Series 1908, 3.63%, 07/19/2026 | CNY | 170,800 | 24,918 | |||||
| Series 1906, 3.74%, 07/12/2029 | CNY | 84,000 | 12,448 | |||||
| Series 1901, 3.75%, 01/25/2029 | CNY | 33,000 | 4,880 | |||||
| Reg. S, 3.80%, 10/27/2030 | CNH | 14,350 | 2,095 | |||||
| Series 1705, 3.85%, 01/06/2027 | CNY | 14,000 | 2,068 | |||||
| Series 1806, 4.65%, 05/11/2028 | CNY | 8,100 | 1,250 | |||||
| Series 1801, 4.98%, 01/12/2025 | CNY | 12,000 | 1,791 | |||||
| Andorra International Bond, (Andorra), Reg. S, 1.25%, 05/06/2031 | EUR | 500 | 395 | |||||
| Auckland Council, (New Zealand), |
||||||||
| Reg. S, 0.13%, 09/26/2029 | EUR | 200 | 158 | |||||
| Reg. S, 1.00%, 01/19/2027 | EUR | 300 | 271 | |||||
| Reg. S, 1.50%, 11/28/2025 | CHF | 300 | 304 | |||||
| Australia Government Bond, (Australia), |
||||||||
| Series 159, Reg. S, 0.25%, 11/21/2024 | AUD | 13,572 | 8,111 | |||||
| Series 161, Reg. S, 0.25%, 11/21/2025 | AUD | 6,270 | 3,616 | |||||
| Series 164, Reg. S, 0.50%, 09/21/2026 | AUD | 15,586 | 8,817 | |||||
| Series 160, Reg. S, 1.00%, 12/21/2030 | AUD | 7,850 | 4,015 | |||||
| Series 163, Reg. S, 1.00%, 11/21/2031 | AUD | 6,149 | 3,065 | |||||
| Series 158, 1.25%, 05/21/2032 | AUD | 5,200 | 2,626 | |||||
| Series 157, Reg. S, 1.50%, 06/21/2031 | AUD | 6,613 | 3,489 | |||||
| Series 165, Reg. S, 1.75%, 11/21/2032 | AUD | 4,820 | 2,531 | |||||
| Series 162, Reg. S, 1.75%, 06/21/2051 | AUD | 4,400 | 1,709 | |||||
| Series 149, Reg. S, 2.25%, 05/21/2028 | AUD | 5,490 | 3,251 | |||||
| Series 155, Reg. S, 2.50%, 05/21/2030 | AUD | 6,115 | 3,568 | |||||
| Series 148, Reg. S, 2.75%, 11/21/2027 | AUD | 6,550 | 4,004 | |||||
| Series 152, Reg. S, 2.75%, 11/21/2028 | AUD | 418 | 253 | |||||
| Series 154, Reg. S, 2.75%, 11/21/2029 | AUD | 26,505 | 15,842 | |||||
| Series 145, Reg. S, 2.75%, 06/21/2035 | AUD | 2,854 | 1,597 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Foreign Government Securities — continued | ||||||||
| Series 156, Reg. S, 2.75%, 05/21/2041 | AUD | 4,028 | 2,115 | |||||
| Series 166, Reg. S, 3.00%, 11/21/2033 | AUD | 8,070 | 4,731 | |||||
| Series 150, Reg. S, 3.00%, 03/21/2047 | AUD | 3,116 | 1,648 | |||||
| Series 139, Reg. S, 3.25%, 04/21/2025 | AUD | 10,875 | 6,908 | |||||
| Series 138, Reg. S, 3.25%, 04/21/2029 | AUD | 3,925 | 2,435 | |||||
| Series 147, Reg. S, 3.25%, 06/21/2039 | AUD | 1,949 | 1,117 | |||||
| Series 144, Reg. S, 3.75%, 04/21/2037 | AUD | 533 | 329 | |||||
| Series 142, Reg. S, 4.25%, 04/21/2026 | AUD | 5,000 | 3,264 | |||||
| Series 140, Reg. S, 4.50%, 04/21/2033 | AUD | 12,351 | 8,304 | |||||
| Series 136, Reg. S, 4.75%, 04/21/2027 | AUD | 13,320 | 8,902 | |||||
| Australian Capital Territory, (Australia), |
||||||||
| Reg. S, 1.25%, 05/22/2025 | AUD | 200 | 120 | |||||
| 1.75%, 10/23/2031 | AUD | 970 | 493 | |||||
| Autobahnen- und Schnell- strassen-Finanzierungs AG, (Austria), |
||||||||
| Reg. S, 0.10%, 07/09/2029 | EUR | 500 | 406 | |||||
| Reg. S, 2.75%, 06/11/2032 | EUR | 100 | 96 | |||||
| Reg. S, 2.75%, 06/20/2033 | EUR | 130 | 123 | |||||
| Autonomous Community of Andalusia Spain, (Spain), |
||||||||
| Reg. S, 0.50%, 04/30/2031 | EUR | 163 | 126 | |||||
| Reg. S, 1.38%, 04/30/2029 | EUR | 30 | 26 | |||||
| Autonomous Community of Madrid Spain, (Spain), |
||||||||
| Reg. S, 0.42%, 04/30/2030 | EUR | 161 | 129 | |||||
| Reg. S, 1.77%, 04/30/2028 | EUR | 200 | 184 | |||||
| Reg. S, 1.83%, 04/30/2025 | EUR | 270 | 261 | |||||
| 4.30%, 09/15/2026 | EUR | 500 | 520 | |||||
| Basque Government, (Spain), |
||||||||
| Reg. S, 0.25%, 04/30/2031 | EUR | 100 | 77 | |||||
| Reg. S, 0.85%, 04/30/2030 | EUR | 50 | 41 | |||||
| Reg. S, 1.75%, 03/16/2026 | EUR | 170 | 162 | |||||
| Bermuda Government International Bond, (Bermuda), 2.38%, 08/20/2030 (e) |
670 | 533 | ||||||
| BNG Bank NV, (Netherlands), |
||||||||
| Reg. S, 0.00%, 01/20/2031 | EUR | 200 | 153 | |||||
| Reg. S, 0.10%, 01/15/2030 | EUR | 320 | 255 | |||||
| Reg. S, 0.13%, 04/11/2026 | EUR | 530 | 474 | |||||
| Reg. S, 0.13%, 07/09/2035 | EUR | 230 | 154 | |||||
| Reg. S, 0.20%, 11/09/2024 | EUR | 550 | 512 | |||||
| Reg. S, 0.25%, 11/22/2036 | EUR | 260 | 170 | |||||
| Reg. S, 0.38%, 12/15/2025 | GBP | 1,000 | 963 | |||||
| Reg. S, 0.81%, 06/28/2049 | EUR | 200 | 122 | |||||
| Reg. S, 0.88%, 10/17/2035 | EUR | 100 | 74 | |||||
| Reg. S, 1.13%, 09/04/2024 | EUR | 702 | 670 | |||||
| Reg. S, 1.25%, 03/30/2037 | EUR | 100 | 76 | |||||
| Reg. S, 1.50%, 07/15/2039 | EUR | 170 | 131 | |||||
| Reg. S, 1.88%, 07/13/2032 | EUR | 320 | 282 | |||||
| Reg. S, 2.75%, 10/04/2027 (w) | EUR | 410 | 400 | |||||
| Bonos de la Tesoreria de la Republica en pesos, (Chile), Reg. S, 4.70%, 09/01/2030 (e) |
CLP | 300,000 | 272 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Foreign Government Securities — continued | ||||||||
| Bpifrance SACA, (France), |
||||||||
| Reg. S, 0.13%, 03/25/2025 | EUR | 400 | 371 | |||||
| Reg. S, 0.25%, 03/29/2030 | EUR | 200 | 163 | |||||
| Reg. S, 0.25%, 06/04/2031 | EUR | 200 | 158 | |||||
| Reg. S, 0.63%, 05/25/2026 | EUR | 500 | 460 | |||||
| Reg. S, 0.88%, 09/26/2028 | EUR | 200 | 176 | |||||
| Reg. S, 1.00%, 05/25/2027 | EUR | 500 | 456 | |||||
| Bulgaria Government International Bond, (Bulgaria), |
||||||||
| Reg. S, 1.38%, 09/23/2050 | EUR | 700 | 342 | |||||
| Reg. S, 2.95%, 09/03/2024 | EUR | 400 | 391 | |||||
| Series 12YR, Reg. S, 3.00%, 03/21/2028 | EUR | 400 | 361 | |||||
| Bundesobligation, (Germany), |
||||||||
| Series 178, Reg. S, 0.00%, 10/13/2023 | EUR | 1,368 | 1,318 | |||||
| Series 179, Reg. S, 0.00%, 04/05/2024 | EUR | 2,838 | 2,716 | |||||
| Series 180, Reg. S, 0.00%, 10/18/2024 | EUR | 3,006 | 2,846 | |||||
| Series 181, Reg. S, 0.00%, 04/11/2025 | EUR | 3,850 | 3,613 | |||||
| Series 182, Reg. S, 0.00%, 10/10/2025 | EUR | 3,170 | 2,947 | |||||
| Series 183, Reg. S, 0.00%, 04/10/2026 | EUR | 2,416 | 2,225 | |||||
| Series 184, Reg. S, 0.00%, 10/09/2026 | EUR | 500 | 454 | |||||
| Series 185, Reg. S, 0.00%, 04/16/2027 | EUR | 2,083 | 1,872 | |||||
| Series 186, Reg. S, 1.30%, 10/15/2027 | EUR | 250 | 237 | |||||
| Bundesrepublik Deutschland Bundesanleihe, (Germany), |
||||||||
| Reg. S, 0.00%, 08/15/2026 | EUR | 1,900 | 1,738 | |||||
| Reg. S, 0.00%, 11/15/2027 | EUR | 1,281 | 1,138 | |||||
| Reg. S, 0.00%, 11/15/2028 | EUR | 735 | 639 | |||||
| Reg. S, 0.00%, 08/15/2029 | EUR | 2,432 | 2,081 | |||||
| Reg. S, 0.00%, 02/15/2030 | EUR | 1,783 | 1,511 | |||||
| Reg. S, 0.00%, 08/15/2030 | EUR | 1,120 | 939 | |||||
| Series G, Reg. S, 0.00%, 08/15/2030 | EUR | 1,140 | 955 | |||||
| Reg. S, 0.00%, 02/15/2031 | EUR | 1,589 | 1,316 | |||||
| Reg. S, 0.00%, 08/15/2031 | EUR | 2,260 | 1,851 | |||||
| Series G, Reg. S, 0.00%, 08/15/2031 | EUR | 720 | 590 | |||||
| Reg. S, 0.00%, 02/15/2032 | EUR | 4,389 | 3,545 | |||||
| Reg. S, 0.00%, 05/15/2035 | EUR | 2,559 | 1,899 | |||||
| Reg. S, 0.00%, 05/15/2036 | EUR | 2,180 | 1,583 | |||||
| Reg. S, 0.00%, 08/15/2050 | EUR | 2,991 | 1,644 | |||||
| Series G, Reg. S, 0.00%, 08/15/2050 | EUR | 1,122 | 618 | |||||
| Reg. S, 0.00%, 08/15/2052 | EUR | 2,165 | 1,141 | |||||
| Reg. S, 0.25%, 02/15/2027 | EUR | 3,310 | 3,028 | |||||
| Reg. S, 0.25%, 08/15/2028 | EUR | 2,892 | 2,567 | |||||
| Reg. S, 0.25%, 02/15/2029 | EUR | 1,270 | 1,117 | |||||
| Reg. S, 0.50%, 02/15/2025 | EUR | 3,239 | 3,085 | |||||
| Reg. S, 0.50%, 02/15/2026 | EUR | 1,967 | 1,847 | |||||
| Reg. S, 0.50%, 08/15/2027 | EUR | 2,810 | 2,578 | |||||
| Reg. S, 0.50%, 02/15/2028 | EUR | 230 | 209 | |||||
| Reg. S, 1.00%, 08/15/2024 | EUR | 1,729 | 1,674 | |||||
| Reg. S, 1.00%, 08/15/2025 | EUR | 2,701 | 2,591 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Foreign Government Securities — continued | ||||||||
| Reg. S, 1.00%, 05/15/2038 | EUR | 710 | 582 | |||||
| Reg. S, 1.25%, 08/15/2048 | EUR | 2,258 | 1,845 | |||||
| Reg. S, 1.50%, 05/15/2024 | EUR | 3,807 | 3,725 | |||||
| Reg. S, 1.70%, 08/15/2032 | EUR | 1,880 | 1,774 | |||||
| Reg. S, 2.50%, 07/04/2044 | EUR | 1,651 | 1,718 | |||||
| Reg. S, 2.50%, 08/15/2046 | EUR | 3,386 | 3,566 | |||||
| Reg. S, 3.25%, 07/04/2042 | EUR | 988 | 1,132 | |||||
| Reg. S, 4.00%, 01/04/2037 | EUR | 1,493 | 1,780 | |||||
| Reg. S, 4.25%, 07/04/2039 | EUR | 1,174 | 1,474 | |||||
| Reg. S, 4.75%, 07/04/2028 | EUR | 1,661 | 1,866 | |||||
| Reg. S, 4.75%, 07/04/2034 | EUR | 1,771 | 2,203 | |||||
| Reg. S, 4.75%, 07/04/2040 | EUR | 1,464 | 1,964 | |||||
| Reg. S, 5.50%, 01/04/2031 | EUR | 700 | 865 | |||||
| Reg. S, 5.63%, 01/04/2028 | EUR | 780 | 902 | |||||
| Reg. S, 6.25%, 01/04/2030 | EUR | 775 | 975 | |||||
| Reg. S, 6.50%, 07/04/2027 | EUR | 1,410 | 1,661 | |||||
| Bundesschatzanweisungen, (Germany), |
||||||||
| Reg. S, 0.00%, 09/15/2023 | EUR | 2,272 | 2,193 | |||||
| Reg. S, 0.20%, 06/14/2024 | EUR | 930 | 889 | |||||
| Caisse d’Amortissement de la Dette Sociale, (France), |
||||||||
| Reg. S, 0.00%, 02/25/2028 | EUR | 200 | 170 | |||||
| Reg. S, 0.00%, 11/25/2030 | EUR | 300 | 234 | |||||
| Reg. S, 0.00%, 05/25/2031 | EUR | 100 | 77 | |||||
| Reg. S, 0.13%, 10/25/2023 | EUR | 1,800 | 1,727 | |||||
| Reg. S, 0.13%, 09/15/2031 | EUR | 500 | 384 | |||||
| Reg. S, 0.45%, 01/19/2032 | EUR | 400 | 313 | |||||
| Reg. S, 0.60%, 11/25/2029 | EUR | 100 | 84 | |||||
| Reg. S, 1.50%, 05/25/2032 | EUR | 400 | 344 | |||||
| Reg. S, 1.75%, 11/25/2027 | EUR | 600 | 561 | |||||
| Reg. S, 2.75%, 11/25/2032 | EUR | 400 | 380 | |||||
| Reg. S, 4.00%, 12/15/2025 | EUR | 1,383 | 1,420 | |||||
| Caisse Francaise de Financement Local, (France), |
||||||||
| Reg. S, 0.01%, 05/07/2025 | EUR | 200 | 182 | |||||
| Reg. S, 0.01%, 10/19/2035 | EUR | 100 | 64 | |||||
| Reg. S, 0.13%, 06/30/2031 | EUR | 100 | 75 | |||||
| Reg. S, 0.38%, 06/23/2025 | EUR | 100 | 92 | |||||
| Reg. S, 0.50%, 01/16/2025 | EUR | 100 | 93 | |||||
| Reg. S, 0.50%, 01/19/2026 | EUR | 100 | 91 | |||||
| Reg. S, 0.50%, 10/01/2046 | EUR | 100 | 56 | |||||
| Reg. S, 1.00%, 04/25/2028 | EUR | 100 | 88 | |||||
| Reg. S, 1.25%, 05/11/2032 | EUR | 100 | 82 | |||||
| Reg. S, 1.50%, 06/28/2038 | EUR | 100 | 77 | |||||
| Canada Housing Trust No. 1, (Canada), 0.95%, 06/15/2025 (e) | CAD | 1,000 | 671 | |||||
| Canadian Government Bond, (Canada), | ||||||||
| 1.00%, 06/01/2027 |
CAD | 200 | 131 | |||||
| 1.50%, 06/01/2031 | CAD | 600 | 379 | |||||
| 1.75%, 12/01/2053 | CAD | 400 | 212 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Foreign Government Securities — continued | ||||||||
| 2.00%, 09/01/2023 | CAD | 1,900 | 1,351 | |||||
| 2.00%, 06/01/2032 | CAD | 600 | 393 | |||||
| 2.00%, 12/01/2051 | CAD | 530 | 303 | |||||
| 3.50%, 12/01/2045 | CAD | 2,090 | 1,592 | |||||
| 4.00%, 06/01/2041 | CAD | 150 | 120 | |||||
| Canton of Geneva Switzerland, (Switzerland), Reg. S, 0.02%, 11/27/2024 |
CHF | 240 | 236 | |||||
| Canton of Zurich, (Switzerland), Reg. S, 0.10%, 06/23/2045 | CHF | 50 | 34 | |||||
| Cassa Depositi e Prestiti SpA, (Italy), |
||||||||
| Reg. S, 0.75%, 11/21/2022 | EUR | 600 | 587 | |||||
| Reg. S, 1.00%, 09/21/2028 | EUR | 300 | 246 | |||||
| Reg. S, 2.00%, 04/20/2027 | EUR | 100 | 91 | |||||
| CDP Financial, Inc., (Canada), | ||||||||
| 5.60%, 11/25/2039 (e) |
250 | 268 | ||||||
| Reg. S, 5.60%, 11/25/2039 | 250 | 269 | ||||||
| Chile Government International Bond, (Chile), | ||||||||
| 0.83%, 07/02/2031 |
EUR | 550 | 397 | |||||
| 1.25%, 01/22/2051 | EUR | 200 | 97 | |||||
| 1.30%, 07/26/2036 | EUR | 500 | 325 | |||||
| 2.55%, 01/27/2032 | 200 | 157 | ||||||
| China Development Bank, (China), |
||||||||
| Reg. S, 2.95%, 07/19/2027 | CNH | 15,000 | 2,092 | |||||
| Series 2205, 3.00%, 01/17/2032 | CNY | 40,300 | 5,665 | |||||
| Series 1613, 3.05%, 08/25/2026 | CNY | 20,000 | 2,869 | |||||
| Series 2005, 3.07%, 03/10/2030 | CNY | 47,200 | 6,692 | |||||
| Series 2010, 3.09%, 06/18/2030 | CNY | 11,600 | 1,648 | |||||
| Series 2115, 3.12%, 09/13/2031 | CNY | 22,500 | 3,194 | |||||
| Series 1610, 3.18%, 04/05/2026 | CNY | 30,000 | 4,322 | |||||
| Series 2003, 3.23%, 01/10/2025 | CNY | 172,300 | 24,782 | |||||
| Reg. S, 3.23%, 11/27/2025 | CNH | 10,000 | 1,415 | |||||
| Series 2110, 3.41%, 06/07/2031 | CNY | 50,000 | 7,250 | |||||
| Series 1908, 3.42%, 07/02/2024 | CNY | 56,000 | 8,058 | |||||
| Series 1915, 3.45%, 09/20/2029 | CNY | 111,000 | 16,170 | |||||
| Series 1905, 3.48%, 01/08/2029 | CNY | 239,500 | 34,896 | |||||
| Series 1909, 3.50%, 08/13/2026 | CNY | 139,100 | 20,261 | |||||
| Series 1910, 3.65%, 05/21/2029 | CNY | 181,900 | 26,760 | |||||
| Series 2105, 3.66%, 03/01/2031 | CNY | 96,000 | 14,174 | |||||
| Series 1904, 3.68%, 02/26/2026 | CNY | 88,000 | 12,870 | |||||
| Series 2015, 3.70%, 10/20/2030 | CNY | 18,000 | 2,665 | |||||
| Series 1518, 3.74%, 09/10/2025 | CNY | 21,700 | 3,175 | |||||
| Series 1605, 3.80%, 01/25/2036 | CNY | 32,000 | 4,832 | |||||
| Series 1710, 4.04%, 04/10/2027 | CNY | 110,000 | 16,360 | |||||
| Series 1810, 4.04%, 07/06/2028 | CNY | 6,600 | 990 | |||||
| Reg. S, 4.20%, 01/19/2027 | CNH | 13,000 | 1,912 | |||||
| Series 1510, 4.21%, 04/13/2025 | CNY | 30,000 | 4,417 | |||||
| Reg. S, 4.30%, 08/02/2032 | CNH | 7,000 | 1,058 | |||||
| Reg. S, 4.35%, 08/06/2024 | CNH | 7,000 | 1,008 | |||||
| Reg. S, 4.35%, 09/19/2024 | CNH | 1,000 | 144 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Foreign Government Securities — continued | ||||||||
| Reg. S, 4.50%, 11/13/2028 | CNH | 2,500 | 377 | |||||
| Series 1806, 4.73%, 04/02/2025 | CNY | 20,230 | 3,014 | |||||
| Series 1805, 4.88%, 02/09/2028 | CNY | 28,400 | 4,414 | |||||
| China Government Bond, (China), |
||||||||
| 1.99%, 04/09/2025 |
CNY | 520,700 | 72,856 | |||||
| 2.18%, 06/25/2024 | CNY | 88,000 | 12,422 | |||||
| 2.28%, 03/17/2024 | CNY | 52,000 | 7,355 | |||||
| 2.37%, 01/20/2027 | CNY | 135,000 | 18,905 | |||||
| 2.47%, 09/02/2024 | CNY | 100,000 | 14,193 | |||||
| 2.68%, 05/21/2030 | CNY | 562,700 | 78,915 | |||||
| 2.69%, 08/12/2026 | CNY | 52,500 | 7,458 | |||||
| Series 1617, 2.74%, 08/04/2026 | CNY | 67,000 | 9,565 | |||||
| 2.75%, 02/17/2032 | CNY | 80,600 | 11,279 | |||||
| 2.85%, 06/04/2027 | CNY | 354,000 | 50,582 | |||||
| 2.91%, 10/14/2028 | CNY | 56,000 | 8,009 | |||||
| 3.02%, 05/27/2031 | CNY | 55,700 | 7,965 | |||||
| 3.03%, 03/11/2026 | CNY | 99,500 | 14,342 | |||||
| Series 1915, 3.13%, 11/21/2029 | CNY | 4,200 | 609 | |||||
| Reg. S, 3.16%, 06/27/2023 | CNH | 500 | 70 | |||||
| Reg. S, 3.30%, 07/04/2023 | CNH | 2,000 | 282 | |||||
| Reg. S, 3.31%, 11/30/2025 | CNH | 2,000 | 286 | |||||
| Reg. S, 3.38%, 11/21/2024 | CNH | 3,000 | 429 | |||||
| Reg. S, 3.38%, 07/04/2026 | CNH | 24,000 | 3,446 | |||||
| 3.39%, 03/16/2050 | CNY | 238,100 | 34,483 | |||||
| 3.40%, 07/15/2072 | CNY | 35,460 | 5,223 | |||||
| Reg. S, 3.60%, 06/27/2028 | CNH | 26,500 | 3,867 | |||||
| Reg. S, 3.60%, 05/21/2030 | CNH | 8,500 | 1,255 | |||||
| 3.72%, 04/12/2051 | CNY | 88,900 | 13,639 | |||||
| 3.73%, 05/25/2070 | CNY | 20,670 | 3,266 | |||||
| 3.76%, 03/22/2071 | CNY | 49,860 | 7,956 | |||||
| 3.81%, 09/14/2050 | CNY | 139,800 | 21,731 | |||||
| Reg. S, 3.85%, 12/12/2026 | CNH | 19,000 | 2,784 | |||||
| Series 1910, 3.86%, 07/22/2049 | CNY | 24,800 | 3,889 | |||||
| Reg. S, 3.90%, 07/04/2036 | CNH | 13,500 | 2,037 | |||||
| Reg. S, 4.00%, 05/22/2024 | CNH | 8,500 | 1,220 | |||||
| Reg. S, 4.00%, 11/30/2035 | CNH | 30,500 | 4,684 | |||||
| Series 1908, 4.00%, 06/24/2069 | CNY | 5,000 | 830 | |||||
| Reg. S, 4.15%, 12/04/2027 | CNH | 20,000 | 2,989 | |||||
| Reg. S, 4.15%, 12/12/2031 | CNH | 3,000 | 464 | |||||
| Reg. S, 4.29%, 05/22/2029 | CNH | 3,000 | 458 | |||||
| Reg. S, 4.40%, 12/12/2046 | CNH | 26,000 | 4,185 | |||||
| China Government International Bond, (China), |
||||||||
| Reg. S, 0.13%, 11/12/2026 | EUR | 200 | 172 | |||||
| Reg. S, 0.50%, 11/12/2031 | EUR | 650 | 491 | |||||
| City of Milan Italy, (Italy), 4.02%, 06/29/2035 | EUR | 40 | 35 | |||||
| City of Montreal Canada, (Canada), 2.30%, 09/01/2029 | CAD | 600 | 390 | |||||
| City of Quebec Canada, (Canada), |
||||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Foreign Government Securities — continued | ||||||||
| 2.10%, 07/06/2031 | CAD | 300 | 184 | |||||
| 2.65%, 12/20/2027 | CAD | 565 | 383 | |||||
| City of Toronto Canada, (Canada), | ||||||||
| 2.95%, 04/28/2035 |
CAD | 200 | 125 | |||||
| 3.50%, 06/02/2036 | CAD | 300 | 197 | |||||
| Colombia Government International Bond, (Colombia), 9.85%, 06/28/2027 |
COP | 500,000 | 96 | |||||
| Communaute Francaise de Belgique, (Belgium), Reg. S, 1.63%, 05/03/2032 |
EUR | 200 | 173 | |||||
| Corp. de Reservas Estrategicas de Productos Petroliferos Cores, (Spain), Reg. S, 1.50%, 11/27/2022 |
EUR | 600 | 589 | |||||
| CPPIB Capital, Inc., (Canada), |
||||||||
| Reg. S, 0.25%, 04/06/2027 | EUR | 1,450 | 1,259 | |||||
| Reg. S, 0.38%, 06/20/2024 | EUR | 300 | 283 | |||||
| Reg. S, 0.75%, 07/15/2049 | EUR | 300 | 174 | |||||
| Croatia Government International Bond, (Croatia), |
||||||||
| Reg. S, 1.13%, 06/19/2029 | EUR | 500 | 406 | |||||
| Reg. S, 1.13%, 03/04/2033 | EUR | 500 | 352 | |||||
| Cyprus Government International Bond, (Cyprus), |
||||||||
| Reg. S, 0.63%, 12/03/2024 | EUR | 347 | 325 | |||||
| Reg. S, 0.63%, 01/21/2030 | EUR | 235 | 181 | |||||
| Reg. S, 0.95%, 01/20/2032 | EUR | 300 | 223 | |||||
| Reg. S, 1.25%, 01/21/2040 | EUR | 720 | 457 | |||||
| Reg. S, 2.25%, 04/16/2050 | EUR | 10 | 7 | |||||
| Czech Republic Government Bond, (Czech Republic), |
||||||||
| Series 130, 0.05%, 11/29/2029 | CZK | 4,980 | 137 | |||||
| Series 100, 0.25%, 02/10/2027 | CZK | 34,990 | 1,111 | |||||
| Series 97, Reg. S, 0.45%, 10/25/2023 | CZK | 12,000 | 447 | |||||
| Series 95, Reg. S, 1.00%, 06/26/2026 | CZK | 6,860 | 232 | |||||
| Series 121, 1.20%, 03/13/2031 | CZK | 27,250 | 779 | |||||
| Series 125, 1.50%, 04/24/2040 | CZK | 3,380 | 75 | |||||
| Series 138, 1.75%, 06/23/2032 | CZK | 3,170 | 92 | |||||
| Series 142, 1.95%, 07/30/2037 | CZK | 3,710 | 97 | |||||
| Series 103, 2.00%, 10/13/2033 | CZK | 7,260 | 209 | |||||
| Series 89, Reg. S, 2.40%, 09/17/2025 | CZK | 16,910 | 613 | |||||
| Series 78, Reg. S, 2.50%, 08/25/2028 | CZK | 16,760 | 570 | |||||
| Series 105, 2.75%, 07/23/2029 | CZK | 5,810 | 197 | |||||
| Series 49, Reg. S, 4.20%, 12/04/2036 | CZK | 5,390 | 190 | |||||
| Series 53, Reg. S, 4.85%, 11/26/2057 | CZK | 2,340 | 84 | |||||
| Series 58, Reg. S, 5.70%, 05/25/2024 | CZK | 140 | 6 | |||||
| Denmark Government Bond, (Denmark), 0.00%, 11/15/2031 |
DKK | 8,027 | 838 | |||||
| 0.25%, 11/15/2052 | DKK | 3,801 | 261 | |||||
| 0.50%, 11/15/2027 | DKK | 5,748 | 689 | |||||
| 0.50%, 11/15/2029 | DKK | 8,494 | 976 | |||||
| 1.50%, 11/15/2023 | DKK | 3,720 | 488 | |||||
| 1.75%, 11/15/2025 | DKK | 1,380 | 179 | |||||
| 4.50%, 11/15/2039 | DKK | 6,730 | 1,115 | |||||
| 7.00%, 11/10/2024 | DKK | 1,470 | 213 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Foreign Government Securities — continued | ||||||||
| Development Bank of Japan, Inc., (Japan), |
||||||||
| Series 86, 0.24%, 10/13/2027 | JPY | 100,000 | 691 | |||||
| Reg. S, 0.88%, 10/10/2025 | EUR | 1,000 | 921 | |||||
| Reg. S, 1.13%, 04/28/2023 | GBP | 600 | 659 | |||||
| 4.75%, 11/26/2027 | EUR | 900 | 948 | |||||
| Estonia Government International Bond, (Estonia), Reg. S, 0.13%, 06/10/2030 |
EUR | 200 | 154 | |||||
| European Union, (Supranational), Reg. S, 3.38%, 04/04/2032 | EUR | 600 | 608 | |||||
| Export-Import Bank of China (The), (China), |
||||||||
| Series 2113, 2.76%, 11/05/2024 | CNY | 20,000 | 2,848 | |||||
| Series 2005, 2.93%, 03/02/2025 | CNY | 82,600 | 11,799 | |||||
| Series 1610, 3.18%, 09/05/2026 | CNY | 10,000 | 1,441 | |||||
| Series 2210, 3.18%, 03/11/2032 | CNY | 80,400 | 11,458 | |||||
| Series 2105, 3.22%, 05/14/2026 | CNY | 20,500 | 2,956 | |||||
| Series 2010, 3.23%, 03/23/2030 | CNY | 58,500 | 8,390 | |||||
| Series 2007, 3.26%, 02/24/2027 | CNY | 52,400 | 7,563 | |||||
| Series 1905, 3.28%, 02/11/2024 | CNY | 117,000 | 16,737 | |||||
| Series 2011, 3.74%, 11/16/2030 | CNY | 10,000 | 1,485 | |||||
| Series 1910, 3.86%, 05/20/2029 | CNY | 106,500 | 15,866 | |||||
| Series 1514, 3.87%, 09/14/2025 | CNY | 25,000 | 3,672 | |||||
| Series 1703, 4.11%, 03/20/2027 | CNY | 22,000 | 3,273 | |||||
| Export-Import Bank of Korea, (South Korea), |
||||||||
| Reg. S, 2.60%, 11/08/2023 | AUD | 1,100 | 688 | |||||
| Reg. S, 8.00%, 05/15/2024 | IDR | 400,000 | 27 | |||||
| Finland Government Bond, (Finland), |
||||||||
| Reg. S, 0.00%, 09/15/2030 (e) | EUR | 460 | 367 | |||||
| Reg. S, 0.13%, 09/15/2031 (e) | EUR | 385 | 301 | |||||
| Reg. S, 0.13%, 04/15/2036 (e) | EUR | 280 | 191 | |||||
| Reg. S, 0.13%, 04/15/2052 (e) | EUR | 340 | 161 | |||||
| Reg. S, 0.25%, 09/15/2040 (e) | EUR | 384 | 239 | |||||
| Reg. S, 0.50%, 04/15/2026 (e) | EUR | 820 | 759 | |||||
| Reg. S, 0.50%, 09/15/2027 (e) | EUR | 280 | 251 | |||||
| Reg. S, 0.50%, 09/15/2029 (e) | EUR | 290 | 247 | |||||
| Reg. S, 0.50%, 04/15/2043 (e) | EUR | 90 | 56 | |||||
| Reg. S, 0.75%, 04/15/2031 (e) | EUR | 321 | 270 | |||||
| Reg. S, 0.88%, 09/15/2025 (e) | EUR | 430 | 406 | |||||
| Reg. S, 1.13%, 04/15/2034 (e) | EUR | 421 | 343 | |||||
| Reg. S, 1.38%, 04/15/2027 (e) | EUR | 870 | 816 | |||||
| Series 30Y, Reg. S, 1.38%, 04/15/2047 (e) | EUR | 357 | 268 | |||||
| Reg. S, 1.50%, 09/15/2032 (e) | EUR | 470 | 410 | |||||
| Reg. S, 2.00%, 04/15/2024 (e) | EUR | 447 | 440 | |||||
| Reg. S, 2.63%, 07/04/2042 (e) | EUR | 275 | 259 | |||||
| Reg. S, 2.75%, 07/04/2028 (e) | EUR | 120 | 119 | |||||
| Reg. S, 4.00%, 07/04/2025 (e) | EUR | 270 | 278 | |||||
| Finnvera OYJ, (Finland), |
||||||||
| Reg. S, 0.38%, 04/09/2029 | EUR | 300 | 249 | |||||
| Reg. S, 0.75%, 08/07/2028 | EUR | 1,500 | 1,299 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Foreign Government Securities — continued | ||||||||
| Fondo De Titulizacion Del Deficit Del Sistema Electrico FTA, (Spain), |
||||||||
| Reg. S, 0.01%, 09/17/2025 | EUR | 100 | 92 | |||||
| Reg. S, 0.85%, 12/17/2023 | EUR | 1,100 | 1,061 | |||||
| Free and Hanseatic City of Hamburg, (Germany), |
||||||||
| Reg. S, 0.00%, 04/07/2026 | EUR | 280 | 250 | |||||
| Reg. S, 0.01%, 06/30/2028 | EUR | 180 | 150 | |||||
| 0.01%, 11/05/2035 | EUR | 70 | 46 | |||||
| Reg. S, 0.20%, 09/03/2049 | EUR | 70 | 35 | |||||
| Reg. S, 0.25%, 02/18/2041 | EUR | 94 | 56 | |||||
| Free State of Bavaria, (Germany), Reg. S, 0.01%, 01/18/2035 | EUR | 352 | 237 | |||||
| Free State of Saxony, (Germany), Reg. S, 0.01%, 11/05/2029 | EUR | 197 | 157 | |||||
| French Republic Government Bond OAT, (France), |
||||||||
| Reg. S, 0.00%, 11/25/2029 | EUR | 3,675 | 3,034 | |||||
| Reg. S, 0.00%, 02/25/2024 | EUR | 2,793 | 2,670 | |||||
| Reg. S, 0.00%, 03/25/2024 | EUR | 4,470 | 4,264 | |||||
| Reg. S, 0.00%, 02/25/2025 | EUR | 2,460 | 2,298 | |||||
| Reg. S, 0.00%, 03/25/2025 | EUR | 3,340 | 3,116 | |||||
| Reg. S, 0.00%, 02/25/2026 | EUR | 844 | 771 | |||||
| Reg. S, 0.00%, 02/25/2027 | EUR | 4,215 | 3,750 | |||||
| Reg. S, 0.00%, 11/25/2030 | EUR | 2,647 | 2,125 | |||||
| Reg. S, 0.00%, 11/25/2031 | EUR | 4,604 | 3,579 | |||||
| Reg. S, 0.00%, 05/25/2032 | EUR | 3,760 | 2,858 | |||||
| Reg. S, 0.25%, 11/25/2026 | EUR | 3,576 | 3,242 | |||||
| Reg. S, 0.50%, 05/25/2025 | EUR | 5,793 | 5,457 | |||||
| Reg. S, 0.50%, 05/25/2026 | EUR | 1,209 | 1,119 | |||||
| Reg. S, 0.50%, 05/25/2029 | EUR | 3,547 | 3,079 | |||||
| Reg. S, 0.50%, 05/25/2040 (e) | EUR | 5,014 | 3,223 | |||||
| Reg. S, 0.50%, 06/25/2044 (e) | EUR | 972 | 580 | |||||
| Reg. S, 0.50%, 05/25/2072 (e) | EUR | 753 | 290 | |||||
| Reg. S, 0.75%, 02/25/2028 | EUR | 1,180 | 1,064 | |||||
| Reg. S, 0.75%, 05/25/2028 | EUR | 3,803 | 3,414 | |||||
| Reg. S, 0.75%, 11/25/2028 | EUR | 2,215 | 1,973 | |||||
| Reg. S, 0.75%, 05/25/2052 (e) | EUR | 3,627 | 2,015 | |||||
| Reg. S, 0.75%, 05/25/2053 (e) | EUR | 1,748 | 950 | |||||
| Reg. S, 1.00%, 11/25/2025 | EUR | 2,810 | 2,666 | |||||
| Reg. S, 1.00%, 05/25/2027 | EUR | 3,898 | 3,613 | |||||
| Reg. S, 1.25%, 05/25/2034 | EUR | 2,842 | 2,345 | |||||
| Reg. S, 1.25%, 05/25/2036 (e) | EUR | 2,854 | 2,268 | |||||
| Reg. S, 1.25%, 05/25/2038 | EUR | 1,090 | 834 | |||||
| Reg. S, 1.50%, 05/25/2031 | EUR | 3,873 | 3,514 | |||||
| Reg. S, 1.50%, 05/25/2050 (e) | EUR | 2,391 | 1,689 | |||||
| Reg. S, 1.75%, 11/25/2024 | EUR | 2,526 | 2,465 | |||||
| Reg. S, 1.75%, 06/25/2039 (e) | EUR | 1,597 | 1,317 | |||||
| Reg. S, 1.75%, 05/25/2066 (e) | EUR | 786 | 554 | |||||
| Reg. S, 2.00%, 11/25/2032 | EUR | 910 | 835 | |||||
| Reg. S, 2.00%, 05/25/2048 (e) | EUR | 2,027 | 1,633 | |||||
| Reg. S, 2.25%, 05/25/2024 | EUR | 883 | 870 | |||||
| Reg. S, 2.50%, 05/25/2030 | EUR | 6,291 | 6,214 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Foreign Government Securities — continued | ||||||||
| Reg. S, 2.50%, 05/25/2043 (e) | EUR | 870 | 780 | |||||
| Reg. S, 2.75%, 10/25/2027 | EUR | 3,699 | 3,702 | |||||
| Reg. S, 3.25%, 05/25/2045 | EUR | 2,665 | 2,712 | |||||
| Reg. S, 3.50%, 04/25/2026 | EUR | 36 | 37 | |||||
| Reg. S, 4.00%, 10/25/2038 | EUR | 1,008 | 1,103 | |||||
| Reg. S, 4.00%, 04/25/2055 (e) | EUR | 1,031 | 1,209 | |||||
| Reg. S, 4.00%, 04/25/2060 | EUR | 1,338 | 1,584 | |||||
| Reg. S, 4.25%, 10/25/2023 | EUR | 1,910 | 1,920 | |||||
| Reg. S, 4.50%, 04/25/2041 | EUR | 2,502 | 2,931 | |||||
| Reg. S, 4.75%, 04/25/2035 | EUR | 1,867 | 2,169 | |||||
| Reg. S, 5.50%, 04/25/2029 | EUR | 2,037 | 2,362 | |||||
| Reg. S, 5.75%, 10/25/2032 | EUR | 1,329 | 1,645 | |||||
| Reg. S, 6.00%, 10/25/2025 | EUR | 2,740 | 2,994 | |||||
| Gemeinsame Deutsche Bundeslaender, (Germany), |
||||||||
| Series 58, Reg. S, 0.00%, 02/19/2027 | EUR | 220 | 191 | |||||
| Series 60, Reg. S, 0.01%, 02/04/2031 | EUR | 146 | 113 | |||||
| Series 46, Reg. S, 1.13%, 09/30/2024 | EUR | 720 | 686 | |||||
| Gestion Securite de Stocks Securite SA, (France), Reg. S, 4.00%, 01/24/2024 |
EUR | 100 | 100 | |||||
| Hong Kong Government Bond Programme, (Hong Kong), |
||||||||
| 1.68%, 01/21/2026 |
HKD | 11,350 | 1,352 | |||||
| 1.89%, 03/02/2032 | HKD | 2,100 | 232 | |||||
| 1.97%, 01/17/2029 | HKD | 1,300 | 150 | |||||
| Hong Kong Government International Bond, (Hong Kong), |
||||||||
| Reg. S, 2.80%, 11/30/2024 | CNH | 5,000 | 699 | |||||
| Reg. S, 3.00%, 11/30/2026 | CNH | 10,000 | 1,403 | |||||
| Housing & Development Board, (Singapore), |
||||||||
| Reg. S, 1.76%, 02/24/2027 | SGD | 250 | 158 | |||||
| 1.87%, 07/21/2033 | SGD | 1,000 | 572 | |||||
| Reg. S, 1.97%, 01/25/2029 | SGD | 1,000 | 617 | |||||
| Reg. S, 2.25%, 11/21/2024 | SGD | 750 | 504 | |||||
| Reg. S, 2.32%, 01/24/2028 | SGD | 250 | 160 | |||||
| Reg. S, 2.60%, 10/30/2029 | SGD | 1,500 | 954 | |||||
| Hungary Government Bond, (Hungary), |
||||||||
| Series 26/E, 1.50%, 04/22/2026 | HUF | 100,410 | 167 | |||||
| Series 33/A, 2.25%, 04/20/2033 | HUF | 57,020 | 69 | |||||
| Series 34/A, 2.25%, 06/22/2034 | HUF | 100,520 | 117 | |||||
| Series 24/C, 2.50%, 10/24/2024 | HUF | 281,740 | 536 | |||||
| Series 26/D, 2.75%, 12/22/2026 | HUF | 80,210 | 136 | |||||
| Series 27/A, 3.00%, 10/27/2027 | HUF | 194,780 | 326 | |||||
| Series 30/A, 3.00%, 08/21/2030 | HUF | 297,350 | 441 | |||||
| Series 41/A, 3.00%, 04/25/2041 | HUF | 27,170 | 28 | |||||
| Series 28/A, 6.75%, 10/22/2028 | HUF | 75,000 | 148 | |||||
| Hungary Government International Bond, (Hungary), |
||||||||
| Reg. S, 0.50%, 11/18/2030 | EUR | 500 | 309 | |||||
| Reg. S, 1.63%, 04/28/2032 | EUR | 500 | 327 | |||||
| Reg. S, 1.75%, 10/10/2027 | EUR | 425 | 356 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Foreign Government Securities — continued | ||||||||
| Hydro-Quebec, (Canada), |
||||||||
| 6.00%, 02/15/2040 | CAD | 300 | 263 | |||||
| SUB, 8.40%, 03/28/2025 | 600 | 649 | ||||||
| SUB, 8.91%, 11/18/2024 | 800 | 867 | ||||||
| Series HK, 9.38%, 04/15/2030 | 500 | 644 | ||||||
| Ile-de-France Mobilites, (France), |
||||||||
| Reg. S, 0.40%, 05/28/2031 | EUR | 300 | 241 | |||||
| Reg. S, 1.00%, 05/25/2034 | EUR | 300 | 232 | |||||
| Reg. S, 1.28%, 02/14/2042 | EUR | 100 | 68 | |||||
| Indonesia Government International Bond, (Indonesia), | ||||||||
| 0.90%, 02/14/2027 |
EUR | 1,600 | 1,335 | |||||
| 1.85%, 03/12/2031 | 234 | 179 | ||||||
| Reg. S, 2.15%, 07/18/2024 | EUR | 550 | 522 | |||||
| Reg. S, 3.75%, 06/14/2028 | EUR | 500 | 466 | |||||
| Indonesia Treasury Bond, (Indonesia), |
||||||||
| Series FR90, 5.13%, 04/15/2027 | IDR | 88,518,000 | 5,450 | |||||
| Series FR64, 6.13%, 05/15/2028 | IDR | 65,993,000 | 4,129 | |||||
| Series FR91, 6.38%, 04/15/2032 | IDR | 26,330,000 | 1,607 | |||||
| Series FR81, 6.50%, 06/15/2025 | IDR | 119,400,000 | 7,766 | |||||
| Series FR87, 6.50%, 02/15/2031 | IDR | 34,800,000 | 2,160 | |||||
| Series FR59, 7.00%, 05/15/2027 | IDR | 15,000,000 | 985 | |||||
| Series FR82, 7.00%, 09/15/2030 | IDR | 83,820,000 | 5,394 | |||||
| Series FR96, 7.00%, 02/15/2033 | IDR | 53,000,000 | 3,379 | |||||
| Series FR92, 7.13%, 06/15/2042 | IDR | 21,399,000 | 1,367 | |||||
| Series FR76, 7.38%, 05/15/2048 | IDR | 33,695,000 | 2,196 | |||||
| Series FR74, 7.50%, 08/15/2032 | IDR | 71,870,000 | 4,733 | |||||
| Series FR80, 7.50%, 06/15/2035 | IDR | 25,000,000 | 1,642 | |||||
| Series FR75, 7.50%, 05/15/2038 | IDR | 110,122,000 | 7,254 | |||||
| Series FR83, 7.50%, 04/15/2040 | IDR | 39,000,000 | 2,570 | |||||
| Series FR85, 7.75%, 04/15/2031 | IDR | 71,000,000 | 4,831 | |||||
| Series FR77, 8.13%, 05/15/2024 | IDR | 33,300,000 | 2,247 | |||||
| Series FR56, 8.38%, 09/15/2026 | IDR | 13,567,000 | 935 | |||||
| Series FR67, 8.75%, 02/15/2044 | IDR | 7,300,000 | 542 | |||||
| Industrial Bank of Korea, (South Korea), Reg. S, 0.02%, 07/16/2025 | CHF | 300 | 287 | |||||
| Infraestruturas de Portugal SA, (Portugal), Reg. S, 4.68%, 10/16/2024 | EUR | 150 | 153 | |||||
| Instituto de Credito Oficial, (Spain), |
||||||||
| Reg. S, 0.25%, 04/30/2024 | EUR | 50 | 47 | |||||
| Reg. S, 2.65%, 01/31/2028 | EUR | 100 | 97 | |||||
| International Bank for Reconstruction & Development, (Supranational), | ||||||||
| 0.00%, 01/15/2027 |
EUR | 2,125 | 1,851 | |||||
| Zero Coupon, 10/31/2030 | 1,000 | 696 | ||||||
| 0.10%, 09/17/2035 | EUR | 775 | 517 | |||||
| Reg. S, 0.20%, 01/21/2061 | EUR | 500 | 203 | |||||
| 0.25%, 09/23/2027 | GBP | 900 | 799 | |||||
| 0.38%, 07/28/2025 | 50 | 45 | ||||||
| 0.50%, 07/24/2023 | GBP | 1,450 | 1,570 | |||||
| 0.50%, 06/21/2035 | EUR | 50 | 36 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Foreign Government Securities — continued | ||||||||
| 0.65%, 02/10/2026 | 750 | 648 | ||||||
| 0.88%, 12/13/2024 | GBP | 50 | 51 | |||||
| 1.63%, 01/15/2025 | 475 | 447 | ||||||
| 2.50%, 03/19/2024 | 465 | 453 | ||||||
| 3.00%, 09/27/2023 | 200 | 197 | ||||||
| Investitionsbank Schleswig-Holstein, (Germany), Reg. S, 0.01%, 05/15/2026 |
EUR | 100 | 89 | |||||
| Ireland Government Bond, (Ireland), |
||||||||
| Reg. S, 0.00%, 10/18/2031 | EUR | 1,127 | 874 | |||||
| Reg. S, 0.20%, 05/15/2027 | EUR | 880 | 786 | |||||
| Reg. S, 0.20%, 10/18/2030 | EUR | 611 | 499 | |||||
| Reg. S, 0.35%, 10/18/2032 | EUR | 440 | 342 | |||||
| Reg. S, 0.40%, 05/15/2035 | EUR | 691 | 504 | |||||
| Reg. S, 0.55%, 04/22/2041 | EUR | 385 | 245 | |||||
| Reg. S, 0.90%, 05/15/2028 | EUR | 862 | 779 | |||||
| Reg. S, 1.10%, 05/15/2029 | EUR | 957 | 863 | |||||
| Reg. S, 1.30%, 05/15/2033 | EUR | 330 | 281 | |||||
| Reg. S, 1.35%, 03/18/2031 | EUR | 365 | 328 | |||||
| Reg. S, 1.50%, 05/15/2050 | EUR | 593 | 416 | |||||
| Reg. S, 1.70%, 05/15/2037 | EUR | 290 | 243 | |||||
| Reg. S, 2.00%, 02/18/2045 | EUR | 655 | 536 | |||||
| Reg. S, 2.40%, 05/15/2030 | EUR | 590 | 577 | |||||
| Reg. S, 3.40%, 03/18/2024 | EUR | 490 | 491 | |||||
| 5.40%, 03/13/2025 | EUR | 790 | 837 | |||||
| Israel Government AID Bond, (Israel), |
||||||||
| Series 2, Zero Coupon, 11/01/2024 | 24 | 22 | ||||||
| 5.50%, 09/18/2033 | 900 | 992 | ||||||
| Israel Government Bond — Fixed, (Israel), |
||||||||
| Series 330, 1.00%, 03/31/2030 | ILS | 1,200 | 286 | |||||
| Series 537, 1.50%, 05/31/2037 | ILS | 305 | 66 | |||||
| Series 327, 2.00%, 03/31/2027 | ILS | 800 | 215 | |||||
| Series 142, 5.50%, 01/31/2042 | ILS | 290 | 105 | |||||
| Israel Government International Bond, (Israel), |
||||||||
| Reg. S, 2.50%, 01/16/2049 | EUR | 425 | 344 | |||||
| 2.75%, 07/03/2030 | 200 | 177 | ||||||
| Italy Buoni Poliennali Del Tesoro, (Italy), |
||||||||
| Reg. S, 0.00%, 01/15/2024 | EUR | 1,045 | 990 | |||||
| Reg. S, 0.00%, 01/30/2024 | EUR | 1,430 | 1,353 | |||||
| Reg. S, 0.00%, 04/15/2024 | EUR | 1,278 | 1,201 | |||||
| Reg. S, 0.00%, 12/15/2024 | EUR | 1,000 | 919 | |||||
| Reg. S, 0.00%, 04/01/2026 | EUR | 2,810 | 2,441 | |||||
| Reg. S, 0.00%, 08/01/2026 | EUR | 1,267 | 1,087 | |||||
| Reg. S, 0.25%, 03/15/2028 | EUR | 1,590 | 1,285 | |||||
| Reg. S, 0.30%, 08/15/2023 | EUR | 1,640 | 1,580 | |||||
| Reg. S, 0.35%, 02/01/2025 | EUR | 2,130 | 1,961 | |||||
| Reg. S, 0.50%, 02/01/2026 | EUR | 750 | 668 | |||||
| Reg. S, 0.50%, 07/15/2028 | EUR | 1,694 | 1,371 | |||||
| Reg. S, 0.60%, 08/01/2031 (e) | EUR | 2,294 | 1,640 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Foreign Government Securities — continued | ||||||||
| Reg. S, 0.65%, 10/15/2023 | EUR | 1,000 | 964 | |||||
| Reg. S, 0.85%, 01/15/2027 (e) | EUR | 1,460 | 1,278 | |||||
| Reg. S, 0.85%, 01/15/2027 | EUR | 4,975 | 4,355 | |||||
| Reg. S, 0.90%, 04/01/2031 | EUR | 1,957 | 1,462 | |||||
| Reg. S, 0.95%, 09/15/2027 | EUR | 1,310 | 1,125 | |||||
| Reg. S, 0.95%, 08/01/2030 | EUR | 1,510 | 1,164 | |||||
| Reg. S, 0.95%, 12/01/2031 (e) | EUR | 2,105 | 1,536 | |||||
| Reg. S, 0.95%, 06/01/2032 | EUR | 1,885 | 1,352 | |||||
| Reg. S, 0.95%, 03/01/2037 (e) | EUR | 1,134 | 705 | |||||
| Reg. S, 1.10%, 04/01/2027 | EUR | 1,430 | 1,254 | |||||
| Reg. S, 1.20%, 08/15/2025 | EUR | 500 | 461 | |||||
| Reg. S, 1.25%, 12/01/2026 | EUR | 2,107 | 1,886 | |||||
| Reg. S, 1.35%, 04/01/2030 | EUR | 1,390 | 1,123 | |||||
| Reg. S, 1.45%, 11/15/2024 | EUR | 1,900 | 1,807 | |||||
| Reg. S, 1.45%, 05/15/2025 | EUR | 1,013 | 948 | |||||
| Reg. S, 1.45%, 03/01/2036 (e) | EUR | 1,079 | 745 | |||||
| Reg. S, 1.50%, 06/01/2025 | EUR | 1,620 | 1,518 | |||||
| Reg. S, 1.50%, 04/30/2045 (e) | EUR | 1,291 | 745 | |||||
| Reg. S, 1.65%, 12/01/2030 (e) | EUR | 2,253 | 1,821 | |||||
| Reg. S, 1.65%, 03/01/2032 (e) | EUR | 676 | 527 | |||||
| Reg. S, 1.70%, 09/01/2051 (e) | EUR | 1,667 | 951 | |||||
| Reg. S, 1.75%, 07/01/2024 | EUR | 2,050 | 1,972 | |||||
| Reg. S, 1.80%, 03/01/2041 (e) | EUR | 1,634 | 1,068 | |||||
| Reg. S, 1.85%, 05/15/2024 | EUR | 1,340 | 1,293 | |||||
| Reg. S, 1.85%, 07/01/2025 (e) | EUR | 980 | 924 | |||||
| Reg. S, 2.00%, 12/01/2025 | EUR | 760 | 716 | |||||
| Reg. S, 2.00%, 02/01/2028 | EUR | 342 | 307 | |||||
| Reg. S, 2.05%, 08/01/2027 | EUR | 2,080 | 1,892 | |||||
| Reg. S, 2.10%, 07/15/2026 | EUR | 1,844 | 1,721 | |||||
| Reg. S, 2.15%, 09/01/2052 (e) | EUR | 901 | 561 | |||||
| Reg. S, 2.15%, 03/01/2072 (e) | EUR | 447 | 261 | |||||
| Reg. S, 2.20%, 06/01/2027 | EUR | 1,977 | 1,819 | |||||
| Reg. S, 2.25%, 09/01/2036 (e) | EUR | 1,014 | 772 | |||||
| Series 5Y, Reg. S, 2.45%, 10/01/2023 | EUR | 2,143 | 2,102 | |||||
| Reg. S, 2.45%, 09/01/2033 (e) | EUR | 1,611 | 1,302 | |||||
| Series CAC, Reg. S, 2.45%, 09/01/2050 (e) | EUR | 862 | 585 | |||||
| Reg. S, 2.50%, 12/01/2024 | EUR | 994 | 965 | |||||
| Reg. S, 2.50%, 11/15/2025 | EUR | 1,185 | 1,133 | |||||
| Reg. S, 2.50%, 12/01/2032 | EUR | 750 | 616 | |||||
| Reg. S, 2.70%, 03/01/2047 (e) | EUR | 1,120 | 827 | |||||
| Reg. S, 2.80%, 12/01/2028 | EUR | 2,648 | 2,444 | |||||
| Reg. S, 2.80%, 03/01/2067 (e) | EUR | 665 | 461 | |||||
| Reg. S, 2.95%, 09/01/2038 (e) | EUR | 852 | 690 | |||||
| Reg. S, 3.00%, 08/01/2029 | EUR | 2,376 | 2,191 | |||||
| Reg. S, 3.10%, 03/01/2040 (e) | EUR | 1,712 | 1,395 | |||||
| Reg. S, 3.25%, 03/01/2038 (e) | EUR | 650 | 546 | |||||
| Reg. S, 3.25%, 09/01/2046 (e) | EUR | 1,090 | 890 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Foreign Government Securities — continued |
||||||||
| Reg. S, 3.35%, 03/01/2035 (e) |
EUR | 2,660 | 2,325 | |||||
| Reg. S, 3.45%, 03/01/2048 (e) |
EUR | 1,285 | 1,080 | |||||
| Reg. S, 3.50%, 03/01/2030 (e) |
EUR | 1,126 | 1,067 | |||||
| Reg. S, 3.75%, 09/01/2024 |
EUR | 1,230 | 1,224 | |||||
| Reg. S, 3.85%, 09/01/2049 (e) |
EUR | 930 | 830 | |||||
| Reg. S, 4.00%, 04/30/2035 (e) |
EUR | 1,300 | 1,215 | |||||
| Reg. S, 4.00%, 02/01/2037 (e) |
EUR | 1,310 | 1,226 | |||||
| Reg. S, 4.50%, 03/01/2024 |
EUR | 59 | 59 | |||||
| Reg. S, 4.50%, 03/01/2026 (e) |
EUR | 3 | 3 | |||||
| Reg. S, 4.75%, 09/01/2028 (e) |
EUR | 1,270 | 1,301 | |||||
| Reg. S, 4.75%, 09/01/2044 (e) |
EUR | 2,105 | 2,144 | |||||
| Reg. S, 5.00%, 03/01/2025 (e) |
EUR | 890 | 910 | |||||
| Reg. S, 5.00%, 08/01/2034 (e) |
EUR | 966 | 992 | |||||
| Reg. S, 5.00%, 08/01/2039 (e) |
EUR | 1,341 | 1,395 | |||||
| Reg. S, 5.00%, 09/01/2040 (e) |
EUR | 960 | 997 | |||||
| Reg. S, 5.25%, 11/01/2029 |
EUR | 1,777 | 1,884 | |||||
| Reg. S, 5.75%, 02/01/2033 |
EUR | 1,100 | 1,193 | |||||
| Reg. S, 6.00%, 05/01/2031 |
EUR | 1,753 | 1,943 | |||||
| Reg. S, 6.50%, 11/01/2027 |
EUR | 890 | 987 | |||||
| Reg. S, 7.25%, 11/01/2026 |
EUR | 2,200 | 2,472 | |||||
| Reg. S, 9.00%, 11/01/2023 |
EUR | 1,440 | 1,509 | |||||
| Japan Expressway Holding and Debt Repayment Agency, (Japan), |
||||||||
| Series 271, 0.02%, 03/31/2026 |
JPY | 200,000 | 1,381 | |||||
| Series 347, 0.73%, 04/30/2048 |
JPY | 200,000 | 1,206 | |||||
| Series 75, 1.96%, 09/19/2031 |
JPY | 100,000 | 781 | |||||
| Series 37, 2.42%, 06/20/2028 |
JPY | 100,000 | 774 | |||||
| Japan Finance Corp., (Japan), |
||||||||
| Series 62, 0.00%, 07/31/2024 |
JPY | 1,870,000 | 12,916 | |||||
| Series 57, 0.00%, 10/17/2025 |
JPY | 400,000 | 2,761 | |||||
| Japan Finance Organization for Municipalities, (Japan), |
||||||||
| Reg. S, 0.05%, 02/12/2027 |
EUR | 500 | 431 | |||||
| Series 69, 0.48%, 02/28/2025 |
JPY | 100,000 | 698 | |||||
| Series 72, 0.51%, 05/23/2025 |
JPY | 1,016,000 | 7,107 | |||||
| Series 55, 0.78%, 12/28/2023 |
JPY | 100,000 | 697 | |||||
| Series 2022, 2.32%, 06/18/2027 |
JPY | 1,400,000 | 10,630 | |||||
| Japan Government Five Year Bond, (Japan), |
||||||||
| Series 148, 0.01%, 06/20/2026 |
JPY | 4,834,500 | 33,419 | |||||
| Series 150, 0.01%, 12/20/2026 |
JPY | 1,874,550 | 12,940 | |||||
| Series 151, 0.01%, 03/20/2027 |
JPY | 1,554,850 | 10,727 | |||||
| Series 153, 0.01%, 06/20/2027 |
JPY | 459,600 | 3,166 | |||||
| Series 142, 0.10%, 12/20/2024 |
JPY | 798,450 | 5,535 | |||||
| Series 143, 0.10%, 03/20/2025 |
JPY | 1,344,200 | 9,320 | |||||
| Series 144, 0.10%, 06/20/2025 |
JPY | 5,075,850 | 35,205 | |||||
| Japan Government Forty Year Bond, (Japan), |
||||||||
| Series 9, 0.40%, 03/20/2056 |
JPY | 595,900 | 3,010 | |||||
| Series 12, 0.50%, 03/20/2059 |
JPY | 867,100 | 4,437 | |||||
| Series 13, 0.50%, 03/20/2060 |
JPY | 785,500 | 3,984 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Foreign Government Securities — continued |
||||||||
| Series 14, 0.70%, 03/20/2061 |
JPY | 876,500 | 4,751 | |||||
| Series 11, 0.80%, 03/20/2058 |
JPY | 973,000 | 5,574 | |||||
| Series 10, 0.90%, 03/20/2057 |
JPY | 400,450 | 2,383 | |||||
| Series 15, 1.00%, 03/20/2062 |
JPY | 697,400 | 4,135 | |||||
| Series 8, 1.40%, 03/20/2055 |
JPY | 484,800 | 3,344 | |||||
| Series 7, 1.70%, 03/20/2054 |
JPY | 511,700 | 3,805 | |||||
| Series 6, 1.90%, 03/20/2053 |
JPY | 246,950 | 1,919 | |||||
| Series 5, 2.00%, 03/20/2052 |
JPY | 362,900 | 2,889 | |||||
| Series 3, 2.20%, 03/20/2050 |
JPY | 2,126,550 | 17,660 | |||||
| Series 4, 2.20%, 03/20/2051 |
JPY | 540,200 | 4,477 | |||||
| Series 1, 2.40%, 03/20/2048 |
JPY | 100,000 | 862 | |||||
| Japan Government Ten Year Bond, (Japan), |
||||||||
| Series 342, 0.10%, 03/20/2026 |
JPY | 288,000 | 1,998 | |||||
| Series 343, 0.10%, 06/20/2026 |
JPY | 3,348,200 | 23,227 | |||||
| Series 344, 0.10%, 09/20/2026 |
JPY | 2,222,800 | 15,413 | |||||
| Series 345, 0.10%, 12/20/2026 |
JPY | 5,827,200 | 40,385 | |||||
| Series 346, 0.10%, 03/20/2027 |
JPY | 1,000,000 | 6,928 | |||||
| Series 347, 0.10%, 06/20/2027 |
JPY | 4,476,850 | 30,982 | |||||
| Series 348, 0.10%, 09/20/2027 |
JPY | 3,241,900 | 22,423 | |||||
| Series 349, 0.10%, 12/20/2027 |
JPY | 2,115,800 | 14,625 | |||||
| Series 350, 0.10%, 03/20/2028 |
JPY | 1,729,600 | 11,945 | |||||
| Series 351, 0.10%, 06/20/2028 |
JPY | 1,529,200 | 10,552 | |||||
| Series 352, 0.10%, 09/20/2028 |
JPY | 1,452,200 | 10,011 | |||||
| Series 353, 0.10%, 12/20/2028 |
JPY | 1,683,600 | 11,594 | |||||
| Series 354, 0.10%, 03/20/2029 |
JPY | 1,582,450 | 10,885 | |||||
| Series 355, 0.10%, 06/20/2029 |
JPY | 2,586,900 | 17,775 | |||||
| Series 356, 0.10%, 09/20/2029 |
JPY | 2,073,450 | 14,228 | |||||
| Series 357, 0.10%, 12/20/2029 |
JPY | 1,777,000 | 12,175 | |||||
| Series 358, 0.10%, 03/20/2030 |
JPY | 1,466,550 | 10,025 | |||||
| Series 359, 0.10%, 06/20/2030 |
JPY | 4,212,450 | 28,751 | |||||
| Series 360, 0.10%, 09/20/2030 |
JPY | 910,250 | 6,208 | |||||
| Series 361, 0.10%, 12/20/2030 |
JPY | 971,000 | 6,612 | |||||
| Series 363, 0.10%, 06/20/2031 |
JPY | 1,765,250 | 11,997 | |||||
| Series 364, 0.10%, 09/20/2031 |
JPY | 469,200 | 3,187 | |||||
| Series 365, 0.10%, 12/20/2031 |
JPY | 2,411,600 | 16,440 | |||||
| Series 366, 0.20%, 03/20/2032 |
JPY | 1,980,000 | 13,679 | |||||
| Series 367, 0.20%, 06/20/2032 |
JPY | 4,192,800 | 28,827 | |||||
| Series 341, 0.30%, 12/20/2025 |
JPY | 1,248,950 | 8,720 | |||||
| Series 336, 0.50%, 12/20/2024 |
JPY | 523,900 | 3,664 | |||||
| Series 333, 0.60%, 03/20/2024 |
JPY | 374,600 | 2,614 | |||||
| Series 334, 0.60%, 06/20/2024 |
JPY | 3,632,950 | 25,383 | |||||
| Japan Government Thirty Year Bond, (Japan), |
||||||||
| Series 51, 0.30%, 06/20/2046 |
JPY | 327,200 | 1,851 | |||||
| Series 63, 0.40%, 06/20/2049 |
JPY | 209,600 | 1,150 | |||||
| Series 64, 0.40%, 09/20/2049 |
JPY | 387,050 | 2,113 | |||||
| Series 65, 0.40%, 12/20/2049 |
JPY | 517,250 | 2,824 | |||||
| Series 66, 0.40%, 03/20/2050 |
JPY | 639,850 | 3,491 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Foreign Government Securities — continued |
||||||||
| Series 52, 0.50%, 09/20/2046 |
JPY | 145,450 | 860 | |||||
| Series 62, 0.50%, 03/20/2049 |
JPY | 2,172,650 | 12,307 | |||||
| Series 53, 0.60%, 12/20/2046 |
JPY | 119,050 | 719 | |||||
| Series 67, 0.60%, 06/20/2050 |
JPY | 571,100 | 3,270 | |||||
| Series 68, 0.60%, 09/20/2050 |
JPY | 131,500 | 751 | |||||
| Series 61, 0.70%, 12/20/2048 |
JPY | 231,950 | 1,391 | |||||
| Series 69, 0.70%, 12/20/2050 |
JPY | 658,150 | 3,857 | |||||
| Series 70, 0.70%, 03/20/2051 |
JPY | 493,700 | 2,886 | |||||
| Series 71, 0.70%, 06/20/2051 |
JPY | 769,500 | 4,492 | |||||
| Series 72, 0.70%, 09/20/2051 |
JPY | 1,142,600 | 6,660 | |||||
| Series 73, 0.70%, 12/20/2051 |
JPY | 856,700 | 4,989 | |||||
| Series 50, 0.80%, 03/20/2046 |
JPY | 131,550 | 840 | |||||
| Series 54, 0.80%, 03/20/2047 |
JPY | 650,000 | 4,099 | |||||
| Series 55, 0.80%, 06/20/2047 |
JPY | 1,184,050 | 7,439 | |||||
| Series 56, 0.80%, 09/20/2047 |
JPY | 1,554,250 | 9,733 | |||||
| Series 57, 0.80%, 12/20/2047 |
JPY | 487,150 | 3,038 | |||||
| Series 58, 0.80%, 03/20/2048 |
JPY | 805,200 | 5,007 | |||||
| Series 74, 1.00%, 03/20/2052 |
JPY | 1,180,650 | 7,431 | |||||
| Series 75, 1.30%, 06/20/2052 |
JPY | 690,000 | 4,669 | |||||
| Series 48, 1.40%, 09/20/2045 |
JPY | 1,503,600 | 10,917 | |||||
| Series 49, 1.40%, 12/20/2045 |
JPY | 888,550 | 6,443 | |||||
| Series 45, 1.50%, 12/20/2044 |
JPY | 449,400 | 3,338 | |||||
| Series 46, 1.50%, 03/20/2045 |
JPY | 707,550 | 5,250 | |||||
| Series 47, 1.60%, 06/20/2045 |
JPY | 627,000 | 4,734 | |||||
| Series 11, 1.70%, 06/20/2033 |
JPY | 100,000 | 786 | |||||
| Series 41, 1.70%, 12/20/2043 |
JPY | 385,100 | 2,977 | |||||
| Series 42, 1.70%, 03/20/2044 |
JPY | 580,800 | 4,487 | |||||
| Series 43, 1.70%, 06/20/2044 |
JPY | 200,000 | 1,543 | |||||
| Series 44, 1.70%, 09/20/2044 |
JPY | 627,600 | 4,840 | |||||
| Series 38, 1.80%, 03/20/2043 |
JPY | 103,400 | 815 | |||||
| Series 40, 1.80%, 09/20/2043 |
JPY | 56,950 | 448 | |||||
| Series 37, 1.90%, 09/20/2042 |
JPY | 1,360,800 | 10,905 | |||||
| Series 39, 1.90%, 06/20/2043 |
JPY | 1,664,050 | 13,317 | |||||
| Series 33, 2.00%, 09/20/2040 |
JPY | 3,135,250 | 25,506 | |||||
| Series 35, 2.00%, 09/20/2041 |
JPY | 844,000 | 6,870 | |||||
| Series 36, 2.00%, 03/20/2042 |
JPY | 124,900 | 1,017 | |||||
| Series 12, 2.10%, 09/20/2033 |
JPY | 152,100 | 1,241 | |||||
| Series 5, 2.20%, 05/20/2031 |
JPY | 143,400 | 1,152 | |||||
| Series 34, 2.20%, 03/20/2041 |
JPY | 622,350 | 5,207 | |||||
| Series 18, 2.30%, 03/20/2035 |
JPY | 973,400 | 8,150 | |||||
| Series 19, 2.30%, 06/20/2035 |
JPY | 2,867,700 | 24,048 | |||||
| Series 21, 2.30%, 12/20/2035 |
JPY | 749,850 | 6,305 | |||||
| Series 32, 2.30%, 03/20/2040 |
JPY | 271,450 | 2,300 | |||||
| Series 17, 2.40%, 12/20/2034 |
JPY | 112,150 | 947 | |||||
| Series 29, 2.40%, 09/20/2038 |
JPY | 110,100 | 943 | |||||
| Series 20, 2.50%, 09/20/2035 |
JPY | 156,800 | 1,344 | |||||
| Series 22, 2.50%, 03/20/2036 |
JPY | 132,250 | 1,136 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Foreign Government Securities — continued |
||||||||
| Series 23, 2.50%, 06/20/2036 |
JPY | 469,200 | 4,036 | |||||
| Series 24, 2.50%, 09/20/2036 |
JPY | 675,100 | 5,818 | |||||
| Series 4, 2.90%, 11/20/2030 |
JPY | 411,050 | 3,440 | |||||
| Japan Government Twenty Year Bond, (Japan), |
||||||||
| Series 157, 0.20%, 06/20/2036 |
JPY | 1,132,250 | 7,379 | |||||
| Series 171, 0.30%, 12/20/2039 |
JPY | 1,500,000 | 9,404 | |||||
| Series 156, 0.40%, 03/20/2036 |
JPY | 745,350 | 5,009 | |||||
| Series 168, 0.40%, 03/20/2039 |
JPY | 590,400 | 3,810 | |||||
| Series 172, 0.40%, 03/20/2040 |
JPY | 145,000 | 921 | |||||
| Series 173, 0.40%, 06/20/2040 |
JPY | 872,500 | 5,523 | |||||
| Series 174, 0.40%, 09/20/2040 |
JPY | 2,414,850 | 15,231 | |||||
| Series 177, 0.40%, 06/20/2041 |
JPY | 908,850 | 5,674 | |||||
| Series 158, 0.50%, 09/20/2036 |
JPY | 1,132,700 | 7,674 | |||||
| Series 164, 0.50%, 03/20/2038 |
JPY | 649,700 | 4,318 | |||||
| Series 165, 0.50%, 06/20/2038 |
JPY | 131,700 | 872 | |||||
| Series 167, 0.50%, 12/20/2038 |
JPY | 1,258,550 | 8,285 | |||||
| Series 175, 0.50%, 12/20/2040 |
JPY | 698,400 | 4,469 | |||||
| Series 176, 0.50%, 03/20/2041 |
JPY | 753,650 | 4,806 | |||||
| Series 178, 0.50%, 09/20/2041 |
JPY | 1,024,900 | 6,504 | |||||
| Series 179, 0.50%, 12/20/2041 |
JPY | 1,121,000 | 7,095 | |||||
| Series 159, 0.60%, 12/20/2036 |
JPY | 1,889,100 | 12,940 | |||||
| Series 161, 0.60%, 06/20/2037 |
JPY | 2,381,450 | 16,220 | |||||
| Series 162, 0.60%, 09/20/2037 |
JPY | 1,350,000 | 9,160 | |||||
| Series 160, 0.70%, 03/20/2037 |
JPY | 245,700 | 1,702 | |||||
| Series 166, 0.70%, 09/20/2038 |
JPY | 308,900 | 2,103 | |||||
| Series 180, 0.80%, 03/20/2042 |
JPY | 1,046,250 | 6,985 | |||||
| Series 181, 0.90%, 06/20/2042 |
JPY | 1,171,100 | 7,946 | |||||
| Series 155, 1.00%, 12/20/2035 |
JPY | 963,350 | 6,998 | |||||
| Series 151, 1.20%, 12/20/2034 |
JPY | 585,550 | 4,372 | |||||
| Series 152, 1.20%, 03/20/2035 |
JPY | 1,277,600 | 9,530 | |||||
| Series 154, 1.20%, 09/20/2035 |
JPY | 845,850 | 6,300 | |||||
| Series 153, 1.30%, 06/20/2035 |
JPY | 800,000 | 6,031 | |||||
| Series 150, 1.40%, 09/20/2034 |
JPY | 4,908,050 | 37,464 | |||||
| Series 148, 1.50%, 03/20/2034 |
JPY | 970,000 | 7,484 | |||||
| Series 149, 1.50%, 06/20/2034 |
JPY | 4,019,950 | 31,003 | |||||
| Series 147, 1.60%, 12/20/2033 |
JPY | 105,350 | 820 | |||||
| Series 131, 1.70%, 09/20/2031 |
JPY | 1,095,000 | 8,508 | |||||
| Series 137, 1.70%, 06/20/2032 |
JPY | 295,450 | 2,315 | |||||
| Series 140, 1.70%, 09/20/2032 |
JPY | 722,800 | 5,669 | |||||
| Series 145, 1.70%, 06/20/2033 |
JPY | 2,110,700 | 16,591 | |||||
| Series 146, 1.70%, 09/20/2033 |
JPY | 173,100 | 1,361 | |||||
| Series 122, 1.80%, 09/20/2030 |
JPY | 965,200 | 7,477 | |||||
| Series 133, 1.80%, 12/20/2031 |
JPY | 818,050 | 6,433 | |||||
| Series 134, 1.80%, 03/20/2032 |
JPY | 447,550 | 3,529 | |||||
| Series 109, 1.90%, 03/20/2029 |
JPY | 5,043,100 | 38,721 | |||||
| Series 121, 1.90%, 09/20/2030 |
JPY | 1,308,800 | 10,210 | |||||
| Series 127, 1.90%, 03/20/2031 |
JPY | 636,450 | 4,994 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Foreign Government Securities — continued |
||||||||
| Series 128, 1.90%, 06/20/2031 |
JPY | 797,950 | 6,277 | |||||
| Series 118, 2.00%, 06/20/2030 |
JPY | 1,865,000 | 14,601 | |||||
| Series 124, 2.00%, 12/20/2030 |
JPY | 253,200 | 1,994 | |||||
| Series 126, 2.00%, 03/20/2031 |
JPY | 845,200 | 6,679 | |||||
| Series 75, 2.10%, 03/20/2025 |
JPY | 37,000 | 269 | |||||
| Series 80, 2.10%, 06/20/2025 |
JPY | 517,000 | 3,779 | |||||
| Series 82, 2.10%, 09/20/2025 |
JPY | 1,151,150 | 8,456 | |||||
| Series 92, 2.10%, 12/20/2026 |
JPY | 196,250 | 1,474 | |||||
| Series 94, 2.10%, 03/20/2027 |
JPY | 1,047,500 | 7,902 | |||||
| Series 96, 2.10%, 06/20/2027 |
JPY | 93,350 | 707 | |||||
| Series 99, 2.10%, 12/20/2027 |
JPY | 771,550 | 5,887 | |||||
| Series 105, 2.10%, 09/20/2028 |
JPY | 263,700 | 2,035 | |||||
| Series 113, 2.10%, 09/20/2029 |
JPY | 2,267,750 | 17,723 | |||||
| Series 123, 2.10%, 12/20/2030 |
JPY | 167,000 | 1,325 | |||||
| Series 125, 2.20%, 03/20/2031 |
JPY | 768,850 | 6,164 | |||||
| Series 102, 2.40%, 06/20/2028 |
JPY | 900,900 | 7,030 | |||||
| Japan Government Two Year Bond, (Japan), |
||||||||
| Series 430, 0.01%, 11/01/2023 |
JPY | 300,000 | 2,075 | |||||
| Series 432, 0.01%, 01/01/2024 |
JPY | 4,069,750 | 28,154 | |||||
| Japan Housing Finance Agency, (Japan), |
||||||||
| Series 108, 1.43%, 06/18/2027 |
JPY | 100,000 | 731 | |||||
| Series 71, 1.75%, 03/19/2026 |
JPY | 200,000 | 1,460 | |||||
| Japan International Cooperation Agency, (Japan), Series 35, 0.08%, 06/19/2026 |
JPY | 200,000 | 1,379 | |||||
| Japanese Government CPI Linked Bond, (Japan), Series 25, 0.20%, 03/10/2030 |
JPY | 102,211 | 772 | |||||
| Jersey International Bond, (Jersey), Reg. S, 3.75%, 06/09/2054 |
GBP | 400 | 373 | |||||
| Junta de Castilla y Leon, (Spain), Reg. S, 0.43%, 04/30/2030 |
EUR | 62 | 50 | |||||
| Kazakhstan Government International Bond, (Kazakhstan), Reg. S, 1.50%, 09/30/2034 |
EUR | 200 | 127 | |||||
| Kingdom of Belgium Government Bond, (Belgium), |
||||||||
| Series 91, Reg. S, 0.00%, 10/22/2027 (e) |
EUR | 1,816 | 1,584 | |||||
| Series 92, Reg. S, 0.00%, 10/22/2031 (e) |
EUR | 1,087 | 841 | |||||
| Series 89, Reg. S, 0.10%, 06/22/2030 (e) |
EUR | 722 | 591 | |||||
| Series 79, Reg. S, 0.20%, 10/22/2023 (e) |
EUR | 247 | 238 | |||||
| Series 94, Reg. S, 0.35%, 06/22/2032 (e) |
EUR | 1,390 | 1,084 | |||||
| Series 90, Reg. S, 0.40%, 06/22/2040 (e) |
EUR | 885 | 550 | |||||
| Series 82, Reg. S, 0.50%, 10/22/2024 (e) |
EUR | 1,000 | 954 | |||||
| Series 93, Reg. S, 0.65%, 06/22/2071 (e) |
EUR | 508 | 214 | |||||
| Series 74, Reg. S, 0.80%, 06/22/2025 (e) |
EUR | 1,289 | 1,225 | |||||
| Series 85, Reg. S, 0.80%, 06/22/2028 (e) |
EUR | 1,912 | 1,721 | |||||
| Series 87, Reg. S, 0.90%, 06/22/2029 (e) |
EUR | 1,834 | 1,629 | |||||
| Series 77, Reg. S, 1.00%, 06/22/2026 (e) |
EUR | 1,412 | 1,330 | |||||
| Series 75, Reg. S, 1.00%, 06/22/2031 (e) |
EUR | 997 | 859 | |||||
| Series 86, Reg. S, 1.25%, 04/22/2033 (e) |
EUR | 1,094 | 928 | |||||
| Series 95, Reg. S, 1.40%, 06/22/2053 (e) |
EUR | 565 | 369 | |||||
| Series 84, Reg. S, 1.45%, 06/22/2037 (e) |
EUR | 300 | 237 | |||||
| Series 78, Reg. S, 1.60%, 06/22/2047 (e) |
EUR | 1,137 | 831 | |||||
| Series 88, Reg. S, 1.70%, 06/22/2050 (e) |
EUR | 1,036 | 755 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Foreign Government Securities — continued |
||||||||
| Series 76, Reg. S, 1.90%, 06/22/2038 (e) |
EUR | 743 | 620 | |||||
| Series 80, Reg. S, 2.15%, 06/22/2066 (e) |
EUR | 411 | 330 | |||||
| Series 83, Reg. S, 2.25%, 06/22/2057 (e) |
EUR | 467 | 386 | |||||
| Series 72, Reg. S, 2.60%, 06/22/2024 (e) |
EUR | 850 | 844 | |||||
| Series 96, Reg. S, 2.75%, 04/22/2039 (e) |
EUR | 400 | 373 | |||||
| Series 73, Reg. S, 3.00%, 06/22/2034 (e) |
EUR | 2,138 | 2,113 | |||||
| Series 71, Reg. S, 3.75%, 06/22/2045 |
EUR | 563 | 605 | |||||
| Series 66, Reg. S, 4.00%, 03/28/2032 |
EUR | 342 | 372 | |||||
| Series 60, Reg. S, 4.25%, 03/28/2041 (e) |
EUR | 1,020 | 1,140 | |||||
| Series 64, Reg. S, 4.50%, 03/28/2026 (e) |
EUR | 705 | 746 | |||||
| Series 44, Reg. S, 5.00%, 03/28/2035 (e) |
EUR | 880 | 1,037 | |||||
| Kommunalbanken A/S, (Norway), |
||||||||
| Reg. S, 0.05%, 10/24/2029 |
EUR | 100 | 79 | |||||
| Reg. S, 0.63%, 04/20/2026 |
EUR | 1,200 | 1,087 | |||||
| Kommunekredit, (Denmark), |
||||||||
| Reg. S, 0.01%, 05/04/2034 |
EUR | 500 | 341 | |||||
| Reg. S, 0.25%, 03/29/2023 |
EUR | 175 | 171 | |||||
| Reg. S, 0.50%, 01/24/2025 |
EUR | 700 | 652 | |||||
| Kommuninvest I Sverige AB, (Sweden), |
||||||||
| Series G24, Reg. S, 0.38%, 03/27/2024 |
SEK | 4,880 | 422 | |||||
| Series 2602, Reg. S, 0.75%, 02/04/2026 |
SEK | 2,880 | 236 | |||||
| Series 2505, Reg. S, 1.00%, 05/12/2025 |
SEK | 5,000 | 423 | |||||
| Series 2611, Reg. S, 1.00%, 11/12/2026 |
SEK | 4,000 | 326 | |||||
| Reg. S, 1.50%, 05/12/2025 |
SEK | 3,000 | 257 | |||||
| Korea Development Bank (The), (South Korea), |
||||||||
| Reg. S, 1.83%, 08/10/2027 |
SEK | 2,000 | 160 | |||||
| 6.00%, 01/22/2025 |
IDR | 15,000,000 | 960 | |||||
| Korea Expressway Corp., (South Korea), Reg. S, 3.10%, 06/08/2026 |
800 | 755 | ||||||
| Korea Housing Finance Corp., (South Korea), |
||||||||
| Reg. S, 0.10%, 06/18/2024 |
EUR | 100 | 94 | |||||
| Reg. S, 1.96%, 07/19/2026 |
EUR | 100 | 93 | |||||
| Korea Hydro & Nuclear Power Co. Ltd., (South Korea), Reg. S, 0.00%, 07/19/2024 |
CHF | 300 | 293 | |||||
| Korea National Oil Corp., (South Korea), |
||||||||
| Reg. S, 0.00%, 10/04/2024 |
CHF | 300 | 292 | |||||
| Reg. S, 0.26%, 07/30/2027 |
CHF | 300 | 274 | |||||
| Korea Treasury Bond, (South Korea), |
||||||||
| Series 2312, 0.88%, 12/10/2023 |
KRW | 4,806,750 | 3,249 | |||||
| Series 2306, 1.00%, 06/10/2023 |
KRW | 14,596,600 | 10,045 | |||||
| Series 2509, 1.13%, 09/10/2025 |
KRW | 23,030,000 | 14,723 | |||||
| Series 3909, 1.13%, 09/10/2039 |
KRW | 19,009,410 | 8,544 | |||||
| Series 2409, 1.38%, 09/10/2024 |
KRW | 18,317,140 | 12,175 | |||||
| Series 2912, 1.38%, 12/10/2029 |
KRW | 14,774,980 | 8,603 | |||||
| Series 3006, 1.38%, 06/10/2030 |
KRW | 7,900,000 | 4,547 | |||||
| Series 2612, 1.50%, 12/10/2026 |
KRW | 12,039,290 | 7,526 | |||||
| Series 4009, 1.50%, 09/10/2040 |
KRW | 2,000,000 | 945 | |||||
| Series 5003, 1.50%, 03/10/2050 |
KRW | 17,807,000 | 7,354 | |||||
| Series 6609, 1.50%, 09/10/2066 |
KRW | 2,340,000 | 835 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Foreign Government Securities — continued |
||||||||
| Series 7009, 1.63%, 09/10/2070 |
KRW | 989,340 | 362 | |||||
| Series 4109, 1.88%, 09/10/2041 |
KRW | 2,287,610 | 1,140 | |||||
| Series 5103, 1.88%, 03/10/2051 |
KRW | 10,331,900 | 4,670 | |||||
| Series 3106, 2.00%, 06/10/2031 |
KRW | 7,015,550 | 4,170 | |||||
| Series 4603, 2.00%, 03/10/2046 |
KRW | 1,444,000 | 703 | |||||
| Series 4903, 2.00%, 03/10/2049 |
KRW | 2,252,320 | 1,069 | |||||
| Series 4703, 2.13%, 03/10/2047 |
KRW | 4,548,060 | 2,257 | |||||
| Series 2703, 2.38%, 03/10/2027 |
KRW | 10,000,000 | 6,454 | |||||
| Series 2712, 2.38%, 12/10/2027 |
KRW | 2,000,000 | 1,277 | |||||
| Series 3112, 2.38%, 12/10/2031 |
KRW | 10,752,080 | 6,555 | |||||
| Series 5203, 2.50%, 03/10/2052 |
KRW | 5,000,000 | 2,616 | |||||
| Series 2806, 2.63%, 06/10/2028 |
KRW | 2,900,000 | 1,862 | |||||
| Series 4803, 2.63%, 03/10/2048 |
KRW | 7,412,190 | 4,063 | |||||
| Series 2709, 3.13%, 09/10/2027 |
KRW | 7,000,000 | 4,672 | |||||
| Series 3206, 3.38%, 06/10/2032 |
KRW | 9,944,190 | 6,508 | |||||
| Series 2603, 5.75%, 03/10/2026 |
KRW | 5,119,010 | 3,748 | |||||
| Kuntarahoitus OYJ, (Finland), |
||||||||
| Reg. S, 0.00%, 10/14/2030 |
EUR | 500 | 387 | |||||
| Reg. S, 0.05%, 09/06/2029 |
EUR | 400 | 321 | |||||
| Reg. S, 0.13%, 03/07/2024 |
EUR | 180 | 171 | |||||
| Reg. S, 1.25%, 02/23/2033 |
EUR | 200 | 164 | |||||
| Land Baden-Wuerttemberg, (Germany), |
||||||||
| Reg. S, 0.01%, 09/02/2030 |
EUR | 118 | 93 | |||||
| Reg. S, 0.63%, 01/27/2026 |
EUR | 380 | 348 | |||||
| Series 120, Reg. S, 2.00%, 11/13/2023 |
EUR | 220 | 215 | |||||
| Land Berlin, (Germany), |
||||||||
| Reg. S, 0.01%, 07/02/2030 |
EUR | 490 | 384 | |||||
| Reg. S, 0.10%, 01/18/2030 |
EUR | 135 | 108 | |||||
| Series 530, Reg. S, 0.10%, 01/18/2041 |
EUR | 80 | 46 | |||||
| Reg. S, 0.13%, 11/24/2045 |
EUR | 90 | 48 | |||||
| Series 493, Reg. S, 0.63%, 02/08/2027 |
EUR | 570 | 510 | |||||
| Reg. S, 0.63%, 01/26/2052 |
EUR | 100 | 57 | |||||
| Series 495, Reg. S, 1.38%, 06/05/2037 |
EUR | 260 | 203 | |||||
| Series 506, Reg. S, 1.38%, 08/27/2038 |
EUR | 115 | 88 | |||||
| Reg. S, 1.63%, 08/02/2032 |
EUR | 180 | 157 | |||||
| Land Thueringen, (Germany), |
||||||||
| Reg. S, 0.05%, 05/06/2030 |
EUR | 260 | 206 | |||||
| Reg. S, 0.13%, 01/13/2051 |
EUR | 100 | 48 | |||||
| Latvia Government International Bond, (Latvia), |
||||||||
| Reg. S, 0.00%, 03/17/2031 |
EUR | 100 | 72 | |||||
| Reg. S, 1.13%, 05/30/2028 |
EUR | 390 | 342 | |||||
| Reg. S, 1.38%, 05/16/2036 |
EUR | 110 | 84 | |||||
| Reg. S, 1.88%, 02/19/2049 |
EUR | 100 | 73 | |||||
| Lithuania Government International Bond, (Lithuania), |
||||||||
| Reg. S, 0.25%, 05/06/2025 |
EUR | 70 | 63 | |||||
| Reg. S, 0.50%, 07/28/2050 |
EUR | 210 | 96 | |||||
| Reg. S, 0.75%, 05/06/2030 |
EUR | 440 | 346 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Foreign Government Securities — continued |
||||||||
| Reg. S, 2.13%, 06/01/2032 |
EUR | 210 | 180 | |||||
| Luxembourg Government Bond, (Luxembourg), |
||||||||
| Reg. S, 0.00%, 04/28/2025 |
EUR | 240 | 220 | |||||
| Reg. S, 0.00%, 11/13/2026 |
EUR | 130 | 114 | |||||
| Reg. S, 0.00%, 04/28/2030 |
EUR | 150 | 119 | |||||
| Malaysia Government Bond, (Malaysia), |
||||||||
| Series 220, 2.63%, 04/15/2031 |
MYR | 5,636 | 1,053 | |||||
| Series 307, 3.50%, 05/31/2027 |
MYR | 2,000 | 421 | |||||
| Series 122, 3.58%, 07/15/2032 |
MYR | 19,150 | 3,843 | |||||
| Series 519, 3.76%, 05/22/2040 |
MYR | 10,790 | 2,013 | |||||
| Series 419, 3.83%, 07/05/2034 |
MYR | 3,300 | 654 | |||||
| Series 118, 3.88%, 03/14/2025 |
MYR | 2,000 | 432 | |||||
| Series 219, 3.89%, 08/15/2029 |
MYR | 6,600 | 1,382 | |||||
| Series 417, 3.90%, 11/16/2027 |
MYR | 20,000 | 4,272 | |||||
| Series 217, 4.06%, 09/30/2024 |
MYR | 12,000 | 2,610 | |||||
| Series 120, 4.07%, 06/15/2050 |
MYR | 2,070 | 382 | |||||
| Series 114, 4.18%, 07/15/2024 |
MYR | 3,000 | 653 | |||||
| Series 318, 4.64%, 11/07/2033 |
MYR | 10,000 | 2,148 | |||||
| Series 216, 4.74%, 03/15/2046 |
MYR | 10,700 | 2,227 | |||||
| Series 317, 4.76%, 04/07/2037 |
MYR | 2,200 | 478 | |||||
| Series 418, 4.89%, 06/08/2038 |
MYR | 11,600 | 2,514 | |||||
| Series 518, 4.92%, 07/06/2048 |
MYR | 1,800 | 380 | |||||
| Malaysia Government Investment Issue, (Malaysia), |
||||||||
| Series 319, 3.73%, 03/31/2026 |
MYR | 2,640 | 568 | |||||
| Series 217, 4.05%, 08/15/2024 |
MYR | 3,090 | 675 | |||||
| Series 316, 4.07%, 09/30/2026 |
MYR | 21,579 | 4,667 | |||||
| Series 119, 4.13%, 07/09/2029 |
MYR | 31,630 | 6,722 | |||||
| Series 218, 4.37%, 10/31/2028 |
MYR | 7,600 | 1,638 | |||||
| Series 219, 4.47%, 09/15/2039 |
MYR | 2,000 | 408 | |||||
| Series 519, 4.64%, 11/15/2049 |
MYR | 2,995 | 616 | |||||
| Series 617, 4.72%, 06/15/2033 |
MYR | 3,000 | 658 | |||||
| Series 517, 4.76%, 08/04/2037 |
MYR | 3,800 | 819 | |||||
| Series 615, 4.79%, 10/31/2035 |
MYR | 2,946 | 645 | |||||
| Series 417, 4.90%, 05/08/2047 |
MYR | 521 | 109 | |||||
| Series 222, 5.36%, 05/15/2052 |
MYR | 1,780 | 396 | |||||
| Metropolitano de Lisboa EPE, (Portugal), 7.30%, 12/23/2025 |
EUR | 500 | 564 | |||||
| Mexican Bonos, (Mexico), |
||||||||
| Series M 20, 7.50%, 06/03/2027 |
MXN | 17,000 | 773 | |||||
| Series M, 7.75%, 05/29/2031 |
MXN | 12,000 | 529 | |||||
| Series M 20, 8.50%, 05/31/2029 |
MXN | 1,000 | 47 | |||||
| Series M 30, 8.50%, 11/18/2038 |
MXN | 2,000 | 89 | |||||
| Mexico Government International Bond, (Mexico), |
||||||||
| 1.13%, 01/17/2030 |
EUR | 600 | 444 | |||||
| 1.35%, 09/18/2027 |
EUR | 1,575 | 1,340 | |||||
| 1.63%, 04/08/2026 |
EUR | 100 | 91 | |||||
| 2.13%, 10/25/2051 |
EUR | 600 | 301 | |||||
| 2.66%, 05/24/2031 |
200 | 153 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Foreign Government Securities — continued |
||||||||
| 3.00%, 03/06/2045 |
EUR | 425 | 279 | |||||
| 4.60%, 02/10/2048 |
250 | 182 | ||||||
| 5.75%, 10/12/2110 |
50 | 39 | ||||||
| 6.75%, 02/06/2024 |
GBP | 100 | 112 | |||||
| Ministeries Van de Vlaamse Gemeenschap, (Belgium), |
||||||||
| Reg. S, 0.01%, 06/23/2027 |
EUR | 500 | 436 | |||||
| Reg. S, 1.00%, 01/23/2051 |
EUR | 100 | 58 | |||||
| Reg. S, 1.38%, 11/21/2033 |
EUR | 500 | 414 | |||||
| Reg. S, 1.50%, 07/12/2038 |
EUR | 100 | 76 | |||||
| Reg. S, 1.50%, 04/11/2044 |
EUR | 100 | 71 | |||||
| Municipal Finance Authority of British Columbia, (Canada), |
||||||||
| 1.10%, 06/01/2025 |
CAD | 200 | 134 | |||||
| 2.55%, 10/09/2029 |
CAD | 300 | 199 | |||||
| 2.80%, 12/03/2023 |
CAD | 500 | 357 | |||||
| Nederlandse Waterschapsbank NV, (Netherlands), |
||||||||
| Reg. S, 0.00%, 02/16/2037 |
EUR | 200 | 125 | |||||
| Reg. S, 0.05%, 01/28/2030 |
EUR | 374 | 297 | |||||
| 0.13%, 09/25/2023 |
EUR | 400 | 384 | |||||
| Reg. S, 0.25%, 06/07/2024 |
EUR | 683 | 643 | |||||
| Reg. S, 0.38%, 09/28/2046 |
EUR | 169 | 95 | |||||
| Reg. S, 0.75%, 10/04/2041 |
EUR | 200 | 131 | |||||
| Reg. S, 1.00%, 03/01/2028 |
EUR | 300 | 266 | |||||
| Reg. S, 1.25%, 05/27/2036 |
EUR | 140 | 108 | |||||
| Reg. S, 1.50%, 06/15/2039 |
EUR | 160 | 123 | |||||
| 5.20%, 03/31/2025 |
CAD | 1,000 | 747 | |||||
| Netherlands Government Bond, (Netherlands), |
||||||||
| Reg. S, 0.00%, 01/15/2024 (e) |
EUR | 446 | 428 | |||||
| 0.00%, 01/15/2026 |
EUR | 2,280 | 2,094 | |||||
| Reg. S, 0.00%, 01/15/2027 (e) |
EUR | 990 | 888 | |||||
| 0.00%, 01/15/2029 |
EUR | 890 | 756 | |||||
| Reg. S, 0.00%, 07/15/2030 (e) |
EUR | 764 | 628 | |||||
| Reg. S, 0.00%, 07/15/2031 (e) |
EUR | 1,167 | 935 | |||||
| Reg. S, 0.00%, 01/15/2038 (e) |
EUR | 752 | 496 | |||||
| Reg. S, 0.00%, 01/15/2052 (e) |
EUR | 814 | 400 | |||||
| Reg. S, 0.25%, 07/15/2025 (e) |
EUR | 354 | 332 | |||||
| Reg. S, 0.25%, 07/15/2029 (e) |
EUR | 799 | 686 | |||||
| Reg. S, 0.50%, 07/15/2032 (e) |
EUR | 860 | 702 | |||||
| Reg. S, 0.50%, 01/15/2040 (e) |
EUR | 980 | 680 | |||||
| Reg. S, 0.75%, 07/15/2027 (e) |
EUR | 1,763 | 1,622 | |||||
| Reg. S, 0.75%, 07/15/2028 (e) |
EUR | 1,090 | 987 | |||||
| Reg. S, 2.00%, 07/15/2024 (e) |
EUR | 644 | 634 | |||||
| Reg. S, 2.00%, 01/15/2054 (e) |
EUR | 370 | 328 | |||||
| Reg. S, 2.50%, 01/15/2033 (e) |
EUR | 2,148 | 2,114 | |||||
| Reg. S, 2.75%, 01/15/2047 (e) |
EUR | 1,548 | 1,600 | |||||
| Reg. S, 3.75%, 01/15/2042 (e) |
EUR | 1,261 | 1,461 | |||||
| Reg. S, 4.00%, 01/15/2037 (e) |
EUR | 974 | 1,108 | |||||
| Reg. S, 5.50%, 01/15/2028 (e) |
EUR | 666 | 760 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Foreign Government Securities — continued |
||||||||
| New South Wales Treasury Corp., (Australia), |
||||||||
| Reg. S, 1.00%, 02/08/2024 |
AUD | 500 | 308 | |||||
| Reg. S, 1.25%, 03/20/2025 |
AUD | 3,000 | 1,802 | |||||
| 1.25%, 11/20/2030 |
AUD | 1,800 | 906 | |||||
| Reg. S, 1.50%, 02/20/2032 |
AUD | 1,000 | 493 | |||||
| Reg. S, 2.00%, 03/20/2031 |
AUD | 1,900 | 1,008 | |||||
| Reg. S, 2.00%, 03/08/2033 |
AUD | 3,500 | 1,759 | |||||
| 2.25%, 05/07/2041 |
AUD | 1,710 | 741 | |||||
| Reg. S, 2.50%, 11/22/2032 |
AUD | 800 | 428 | |||||
| Series 27, Reg. S, 3.00%, 05/20/2027 |
AUD | 4,100 | 2,501 | |||||
| Reg. S, 3.00%, 03/20/2028 |
AUD | 1,800 | 1,087 | |||||
| Reg. S, 3.00%, 02/20/2030 |
AUD | 3,680 | 2,157 | |||||
| New Zealand Government Bond, (New Zealand), |
||||||||
| Series 528, 0.25%, 05/15/2028 |
NZD | 6,400 | 2,876 | |||||
| Series 524, 0.50%, 05/15/2024 |
NZD | 5,500 | 2,900 | |||||
| Series 526, 0.50%, 05/15/2026 |
NZD | 2,033 | 995 | |||||
| Series 531, 1.50%, 05/15/2031 |
NZD | 2,700 | 1,212 | |||||
| Series 541, 1.75%, 05/15/2041 |
NZD | 1,265 | 451 | |||||
| Series 532, 2.00%, 05/15/2032 |
NZD | 1,090 | 500 | |||||
| Series 425, Reg. S, 2.75%, 04/15/2025 |
NZD | 1,700 | 918 | |||||
| Series 437, Reg. S, 2.75%, 04/15/2037 |
NZD | 1,920 | 869 | |||||
| Series 551, 2.75%, 05/15/2051 |
NZD | 633 | 249 | |||||
| Series 429, 3.00%, 04/20/2029 |
NZD | 4,860 | 2,527 | |||||
| Series 433, Reg. S, 3.50%, 04/14/2033 |
NZD | 1,980 | 1,028 | |||||
| Series 427, Reg. S, 4.50%, 04/15/2027 |
NZD | 730 | 413 | |||||
| New Zealand Local Government Funding Agency Bond, (New Zealand), |
||||||||
| 1.50%, 04/20/2029 |
NZD | 2,500 | 1,125 | |||||
| Reg. S, 2.00%, 04/15/2037 |
NZD | 1,570 | 573 | |||||
| 3.50%, 04/14/2033 |
NZD | 300 | 145 | |||||
| Northern Territory Treasury Corp., (Australia), |
||||||||
| Reg. S, 2.00%, 04/21/2031 |
AUD | 600 | 314 | |||||
| Reg. S, 2.75%, 04/21/2027 |
AUD | 2,200 | 1,326 | |||||
| Norway Government Bond, (Norway), |
||||||||
| Series 482, Reg. S, 1.38%, 08/19/2030 (e) |
NOK | 5,080 | 406 | |||||
| Series 483, Reg. S, 1.25%, 09/17/2031 (e) |
NOK | 2,794 | 216 | |||||
| Series 478, Reg. S, 1.50%, 02/19/2026 (e) |
NOK | 4,500 | 391 | |||||
| Series 477, Reg. S, 1.75%, 03/13/2025 (e) |
NOK | 1,920 | 171 | |||||
| Series 479, Reg. S, 1.75%, 02/17/2027 (e) |
NOK | 3,070 | 265 | |||||
| Series 481, Reg. S, 1.75%, 09/06/2029 (e) |
NOK | 3,040 | 253 | |||||
| Series 480, Reg. S, 2.00%, 04/26/2028 (e) |
NOK | 3,320 | 286 | |||||
| Series 484, Reg. S, 2.13%, 05/18/2032 (e) |
NOK | 4,567 | 379 | |||||
| Series 476, Reg. S, 3.00%, 03/14/2024 (e) |
NOK | 6,073 | 558 | |||||
| OMERS Finance Trust, (Canada), |
||||||||
| 0.45%, 05/13/2025 (e) |
EUR | 250 | 230 | |||||
| Reg. S, 0.45%, 05/13/2025 |
EUR | 2,700 | 2,482 | |||||
| Ontario Electricity Financial Corp., (Canada), Series 40, Zero Coupon, 04/11/2031 |
CAD | 1,500 | 764 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Foreign Government Securities — continued |
||||||||
| Ontario Teachers’ Finance Trust, (Canada), |
||||||||
| Reg. S, 0.50%, 05/06/2025 |
EUR | 1,800 | 1,659 | |||||
| Reg. S, 0.90%, 05/20/2041 |
EUR | 1,050 | 673 | |||||
| Panama Government International Bond, (Panama), 3.30%, 01/19/2033 |
200 | 155 | ||||||
| Peruvian Government International Bond, (Peru), |
||||||||
| Reg. S, 1.95%, 11/17/2036 |
EUR | 500 | 313 | |||||
| Reg. S, 2.75%, 01/30/2026 |
EUR | 425 | 399 | |||||
| 2.78%, 01/23/2031 |
110 | 87 | ||||||
| 3.23%, 07/28/2121 |
25 | 14 | ||||||
| 3.55%, 03/10/2051 |
75 | 50 | ||||||
| Reg. S, 6.90%, 08/12/2037 |
PEN | 1,000 | 208 | |||||
| Philippine Government International Bond, (Philippines), |
||||||||
| 1.65%, 06/10/2031 |
200 | 150 | ||||||
| 1.75%, 04/28/2041 |
EUR | 500 | 294 | |||||
| 9.50%, 02/02/2030 |
100 | 124 | ||||||
| Portugal Obrigacoes do Tesouro OT, (Portugal), |
||||||||
| Reg. S, 0.30%, 10/17/2031 (e) |
EUR | 472 | 362 | |||||
| Reg. S, 0.48%, 10/18/2030 (e) |
EUR | 997 | 805 | |||||
| Reg. S, 0.70%, 10/15/2027 (e) |
EUR | 1,585 | 1,416 | |||||
| Reg. S, 0.90%, 10/12/2035 (e) |
EUR | 861 | 630 | |||||
| Reg. S, 1.00%, 04/12/2052 (e) |
EUR | 140 | 72 | |||||
| Reg. S, 1.15%, 04/11/2042 (e) |
EUR | 245 | 160 | |||||
| Reg. S, 1.65%, 07/16/2032 (e) |
EUR | 390 | 333 | |||||
| Reg. S, 1.95%, 06/15/2029 (e) |
EUR | 613 | 571 | |||||
| Reg. S, 2.13%, 10/17/2028 (e) |
EUR | 1,047 | 994 | |||||
| Series 15Y, Reg. S, 2.25%, 04/18/2034 (e) |
EUR | 426 | 380 | |||||
| Reg. S, 2.88%, 10/15/2025 (e) |
EUR | 1,170 | 1,171 | |||||
| Reg. S, 2.88%, 07/21/2026 (e) |
EUR | 580 | 580 | |||||
| Reg. S, 3.88%, 02/15/2030 (e) |
EUR | 510 | 534 | |||||
| Reg. S, 4.10%, 04/15/2037 (e) |
EUR | 527 | 558 | |||||
| Reg. S, 4.10%, 02/15/2045 (e) |
EUR | 570 | 610 | |||||
| Reg. S, 4.13%, 04/14/2027 (e) |
EUR | 480 | 504 | |||||
| Reg. S, 5.65%, 02/15/2024 (e) |
EUR | 1,139 | 1,169 | |||||
| Province of Alberta Canada, (Canada), |
||||||||
| Reg. S, 1.40%, 02/20/2029 |
SEK | 2,000 | 153 | |||||
| 2.20%, 06/01/2026 |
CAD | 600 | 410 | |||||
| Province of British Columbia Canada, (Canada), |
||||||||
| 2.80%, 06/18/2048 |
CAD | 400 | 229 | |||||
| 7.25%, 09/01/2036 |
300 | 369 | ||||||
| 7.88%, 11/30/2023 |
CAD | 620 | 464 | |||||
| Province of Manitoba Canada, (Canada), 2.75%, 06/02/2029 |
CAD | 500 | 338 | |||||
| Province of Nova Scotia Canada, (Canada), 3.45%, 06/01/2045 |
CAD | 200 | 127 | |||||
| Province of Ontario Canada, (Canada), |
||||||||
| Reg. S, 0.25%, 12/15/2026 |
GBP | 1,000 | 904 | |||||
| Reg. S, 0.50%, 12/15/2023 |
GBP | 500 | 531 | |||||
| Reg. S, 0.63%, 04/17/2025 |
EUR | 400 | 371 | |||||
| 5.60%, 06/02/2035 |
CAD | 300 | 248 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Foreign Government Securities — continued |
||||||||
| Province of Quebec Canada, (Canada), |
||||||||
| Reg. S, 0.88%, 05/04/2027 |
EUR | 1,600 | 1,428 | |||||
| Reg. S, 0.88%, 07/05/2028 |
EUR | 1,025 | 890 | |||||
| Reg. S, 2.38%, 01/22/2024 |
EUR | 425 | 415 | |||||
| 3.50%, 12/01/2045 |
CAD | 200 | 130 | |||||
| Series PD, 7.50%, 09/15/2029 |
100 | 118 | ||||||
| Province of Saskatchewan Canada, (Canada), 3.30%, 06/02/2048 |
CAD | 400 | 249 | |||||
| Queensland Treasury Corp., (Australia), |
||||||||
| Reg. S, 1.50%, 03/02/2032 (e) |
AUD | 1,000 | 495 | |||||
| Reg. S, 1.50%, 08/20/2032 (e) |
AUD | 3,360 | 1,640 | |||||
| Reg. S, 1.75%, 08/21/2031 (e) |
AUD | 1,700 | 875 | |||||
| Reg. S, 1.75%, 07/20/2034 (e) |
AUD | 1,100 | 517 | |||||
| Reg. S, 2.25%, 04/16/2040 (e) |
AUD | 1,100 | 486 | |||||
| Reg. S, 2.25%, 11/20/2041 (e) |
AUD | 450 | 194 | |||||
| Series 27, Reg. S, 2.75%, 08/20/2027 (e) |
AUD | 1,800 | 1,083 | |||||
| Series 26, Reg. S, 3.25%, 07/21/2026 (e) |
AUD | 1,000 | 622 | |||||
| Series 28, Reg. S, 3.25%, 07/21/2028 (e) |
AUD | 3,100 | 1,890 | |||||
| Reg. S, 3.25%, 08/21/2029 (e) |
AUD | 2,000 | 1,204 | |||||
| Reg. S, 3.50%, 08/21/2030 (e) |
AUD | 1,500 | 906 | |||||
| Series 25, Reg. S, 4.75%, 07/21/2025 (e) |
AUD | 2,000 | 1,306 | |||||
| Series 24, Reg. S, 5.75%, 07/22/2024 |
AUD | 1,100 | 727 | |||||
| Regiao Autonoma Madeira, (Portugal), 0.94%, 05/29/2032 |
EUR | 200 | 155 | |||||
| Regie Autonome des Transports Parisiens, (France), |
||||||||
| Reg. S, 0.38%, 06/15/2024 |
EUR | 300 | 285 | |||||
| Reg. S, 0.40%, 12/19/2036 |
EUR | 817 | 715 | |||||
| Reg. S, 0.88%, 05/25/2027 |
EUR | 100 | 91 | |||||
| Reg. S, 1.75%, 05/25/2031 |
EUR | 500 | 450 | |||||
| Reg. S, 1.88%, 05/25/2032 |
EUR | 100 | 89 | |||||
| Region of Ile de France, (France), |
||||||||
| Reg. S, 0.00%, 04/20/2028 |
EUR | 200 | 169 | |||||
| Reg. S, 0.50%, 06/14/2025 |
EUR | 200 | 187 | |||||
| Reg. S, 3.63%, 03/27/2024 |
EUR | 100 | 100 | |||||
| Region Wallonne Belgium, (Belgium), |
||||||||
| Reg. S, 0.05%, 06/22/2025 |
EUR | 800 | 738 | |||||
| Reg. S, 0.25%, 05/03/2026 |
EUR | 300 | 272 | |||||
| Reg. S, 0.38%, 10/22/2031 |
EUR | 100 | 78 | |||||
| Reg. S, 0.50%, 06/22/2037 |
EUR | 100 | 65 | |||||
| Reg. S, 1.05%, 06/22/2040 |
EUR | 100 | 68 | |||||
| Reg. S, 1.38%, 04/06/2032 |
EUR | 200 | 168 | |||||
| Republic of Austria Government Bond, (Austria), |
||||||||
| Reg. S, 0.00%, 07/15/2024 (e) |
EUR | 280 | 265 | |||||
| Reg. S, 0.00%, 10/20/2028 (e) |
EUR | 490 | 411 | |||||
| Reg. S, 0.00%, 02/20/2030 (e) |
EUR | 868 | 701 | |||||
| Reg. S, 0.00%, 02/20/2031 (e) |
EUR | 1,344 | 1,050 | |||||
| Reg. S, 0.00%, 10/20/2040 (e) |
EUR | 350 | 202 | |||||
| Reg. S, 0.25%, 10/20/2036 (e) |
EUR | 500 | 338 | |||||
| Reg. S, 0.50%, 04/20/2027 (e) |
EUR | 1,100 | 993 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Foreign Government Securities — continued |
||||||||
| Reg. S, 0.50%, 02/20/2029 (e) |
EUR | 739 | 635 | |||||
| Reg. S, 0.70%, 04/20/2071 (e) |
EUR | 261 | 116 | |||||
| Reg. S, 0.75%, 10/20/2026 (e) |
EUR | 1,000 | 923 | |||||
| Reg. S, 0.75%, 02/20/2028 (e) |
EUR | 740 | 662 | |||||
| Reg. S, 0.75%, 03/20/2051 (e) |
EUR | 1,052 | 609 | |||||
| Reg. S, 0.85%, 06/30/2120 (e) |
EUR | 380 | 158 | |||||
| Reg. S, 0.90%, 02/20/2032 (e) |
EUR | 480 | 396 | |||||
| Reg. S, 1.20%, 10/20/2025 (e) |
EUR | 860 | 819 | |||||
| Reg. S, 1.50%, 02/20/2047 (e) |
EUR | 495 | 366 | |||||
| Reg. S, 1.50%, 11/02/2086 (e) |
EUR | 190 | 116 | |||||
| Series 1, Reg. S, 1.65%, 10/21/2024 (e) |
EUR | 1,468 | 1,432 | |||||
| Reg. S, 1.75%, 10/20/2023 (e) |
EUR | 595 | 584 | |||||
| Reg. S, 1.85%, 05/23/2049 (e) |
EUR | 280 | 222 | |||||
| Reg. S, 2.10%, 09/20/2117 (e) |
EUR | 376 | 282 | |||||
| Reg. S, 2.40%, 05/23/2034 (e) |
EUR | 673 | 625 | |||||
| Reg. S, 3.15%, 06/20/2044 (e) |
EUR | 468 | 480 | |||||
| Reg. S, 3.80%, 01/26/2062 (e) |
EUR | 210 | 247 | |||||
| Reg. S, 4.15%, 03/15/2037 (e) |
EUR | 1,025 | 1,140 | |||||
| Reg. S, 4.85%, 03/15/2026 (e) |
EUR | 911 | 974 | |||||
| Reg. S, 6.25%, 07/15/2027 |
EUR | 133 | 153 | |||||
| Republic of Austria Government International Bond, (Austria), Reg. S, 5.38%, 12/01/2034 (e) |
CAD | 100 | 80 | |||||
| Republic of Italy Government International Bond, (Italy), |
||||||||
| 1.25%, 02/17/2026 |
2,000 | 1,711 | ||||||
| 2.88%, 10/17/2029 |
200 | 163 | ||||||
| Reg. S, (ICE EURIBOR Swap Rate 30 Year + 0.00%), 4.25%, 06/28/2029 (aa) |
EUR | 1,000 | 992 | |||||
| Reg. S, 5.13%, 07/31/2024 |
EUR | 520 | 527 | |||||
| 5.20%, 07/31/2034 |
EUR | 200 | 200 | |||||
| Reg. S, 6.00%, 08/04/2028 |
GBP | 1,050 | 1,137 | |||||
| Republic of Poland Government Bond, (Poland), |
||||||||
| Series 423, Zero Coupon, 04/25/2023 |
PLN | 2,781 | 535 | |||||
| Series 1026, 0.25%, 10/25/2026 |
PLN | 6,040 | 912 | |||||
| Series 1030, 1.25%, 10/25/2030 |
PLN | 1,213 | 156 | |||||
| Series 432, 1.75%, 04/25/2032 |
PLN | 2,723 | 348 | |||||
| Series 1024, 2.25%, 10/25/2024 |
PLN | 5,960 | 1,087 | |||||
| Series 424, 2.50%, 04/25/2024 |
PLN | 1,639 | 308 | |||||
| Series 726, 2.50%, 07/25/2026 |
PLN | 1,890 | 318 | |||||
| Series 727, 2.50%, 07/25/2027 |
PLN | 9,250 | 1,507 | |||||
| Series 428, 2.75%, 04/25/2028 |
PLN | 500 | 80 | |||||
| Series 1029, 2.75%, 10/25/2029 |
PLN | 3,773 | 569 | |||||
| Series 447, 4.00%, 04/25/2047 |
PLN | 373 | 51 | |||||
| Series 429, 5.75%, 04/25/2029 |
PLN | 530 | 98 | |||||
| Republic of Poland Government International Bond, (Poland), |
||||||||
| Reg. S, 0.00%, 07/07/2023 |
EUR | 425 | 408 | |||||
| Reg. S, 0.00%, 02/10/2025 |
EUR | 60 | 54 | |||||
| Reg. S, 0.88%, 05/10/2027 |
EUR | 1,000 | 878 | |||||
| Reg. S, 1.13%, 08/07/2026 |
EUR | 925 | 833 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Foreign Government Securities — continued |
||||||||
| Reg. S, 2.00%, 03/08/2049 |
EUR | 53 | 35 | |||||
| Reg. S, 2.38%, 01/18/2036 |
EUR | 500 | 390 | |||||
| Romania Government Bond, (Romania), |
||||||||
| Series 7Y, 2.50%, 10/25/2027 |
RON | 1,350 | 201 | |||||
| Series 5Y, 3.25%, 06/24/2026 |
RON | 2,215 | 365 | |||||
| Series 5Y, 3.65%, 07/28/2025 |
RON | 2,600 | 453 | |||||
| Series 3Y, 4.00%, 10/25/2023 |
RON | 4,550 | 865 | |||||
| Series 10YR, 4.15%, 10/24/2030 |
RON | 3,055 | 449 | |||||
| Series 5Y, 4.25%, 04/28/2036 |
RON | 555 | 71 | |||||
| Series 10Y, 6.70%, 02/25/2032 |
RON | 1,440 | 249 | |||||
| Romanian Government International Bond, (Romania), |
||||||||
| Reg. S, 1.75%, 07/13/2030 |
EUR | 500 | 317 | |||||
| Reg. S, 2.00%, 04/14/2033 |
EUR | 800 | 463 | |||||
| Reg. S, 2.75%, 02/26/2026 |
EUR | 15 | 13 | |||||
| Reg. S, 2.75%, 04/14/2041 |
EUR | 400 | 201 | |||||
| Reg. S, 2.88%, 10/28/2024 |
EUR | 775 | 734 | |||||
| Reg. S, 3.38%, 02/08/2038 |
EUR | 725 | 438 | |||||
| Reg. S, 3.38%, 01/28/2050 |
EUR | 665 | 335 | |||||
| Reg. S, 3.62%, 05/26/2030 |
EUR | 975 | 717 | |||||
| Saitama Prefecture, (Japan), Series 7, 2.29%, 06/22/2029 |
JPY | 500,000 | 3,915 | |||||
| Saudi Government International Bond, (Saudi Arabia), |
||||||||
| Reg. S, 0.75%, 07/09/2027 |
EUR | 100 | 86 | |||||
| Reg. S, 2.00%, 07/09/2039 |
EUR | 600 | 425 | |||||
| SFIL SA, (France), |
||||||||
| Reg. S, 0.00%, 05/24/2024 |
EUR | 200 | 189 | |||||
| Reg. S, 0.05%, 06/04/2029 |
EUR | 300 | 247 | |||||
| Reg. S, 0.13%, 10/18/2024 |
EUR | 500 | 469 | |||||
| Singapore Government Bond, (Singapore), |
||||||||
| 1.25%, 11/01/2026 |
SGD | 5,000 | 3,177 | |||||
| 1.63%, 07/01/2031 |
SGD | 1,608 | 961 | |||||
| 1.88%, 03/01/2050 |
SGD | 2,293 | 1,181 | |||||
| 2.00%, 02/01/2024 |
SGD | 4,700 | 3,213 | |||||
| 2.13%, 06/01/2026 |
SGD | 3,044 | 2,016 | |||||
| 2.25%, 08/01/2036 |
SGD | 2,160 | 1,307 | |||||
| 2.38%, 07/01/2039 |
SGD | 1,140 | 693 | |||||
| 2.63%, 05/01/2028 |
SGD | 1,926 | 1,279 | |||||
| 2.63%, 08/01/2032 |
SGD | 3,130 | 2,023 | |||||
| 2.75%, 04/01/2042 |
SGD | 2,093 | 1,325 | |||||
| 2.75%, 03/01/2046 |
SGD | 1,718 | 1,083 | |||||
| 2.88%, 07/01/2029 |
SGD | 800 | 535 | |||||
| 2.88%, 09/01/2030 |
SGD | 2,295 | 1,525 | |||||
| 3.38%, 09/01/2033 |
SGD | 1,650 | 1,139 | |||||
| 3.50%, 03/01/2027 |
SGD | 1,800 | 1,250 | |||||
| Slovakia Government Bond, (Slovakia), |
||||||||
| Series 241, Reg. S, 0.13%, 06/17/2027 |
EUR | 162 | 141 | |||||
| Series 242, Reg. S, 0.38%, 04/21/2036 |
EUR | 379 | 236 | |||||
| Series 231, 0.63%, 05/22/2026 |
EUR | 860 | 787 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Foreign Government Securities — continued |
||||||||
| Series 236, Reg. S, 0.75%, 04/09/2030 |
EUR | 420 | 345 | |||||
| Series 234, Reg. S, 1.00%, 06/12/2028 |
EUR | 240 | 212 | |||||
| Series 239, Reg. S, 1.00%, 05/14/2032 |
EUR | 718 | 572 | |||||
| Series 243, Reg. S, 1.00%, 10/13/2051 |
EUR | 130 | 68 | |||||
| Series 233, Reg. S, 2.00%, 10/17/2047 |
EUR | 180 | 131 | |||||
| Series 235, Reg. S, 2.25%, 06/12/2068 |
EUR | 119 | 87 | |||||
| Slovenia Government Bond, (Slovenia), |
||||||||
| Series RS82, Reg. S, 0.28%, 01/14/2030 |
EUR | 586 | 467 | |||||
| Series RS87, Reg. S, 0.69%, 03/03/2081 |
EUR | 121 | 41 | |||||
| Series RS84, Reg. S, 0.88%, 07/15/2030 |
EUR | 190 | 156 | |||||
| Series RS74, Reg. S, 1.50%, 03/25/2035 |
EUR | 120 | 93 | |||||
| Series RS78, Reg. S, 1.75%, 11/03/2040 |
EUR | 212 | 154 | |||||
| Series RS77, Reg. S, 2.25%, 03/03/2032 |
EUR | 130 | 116 | |||||
| Series RS76, Reg. S, 3.13%, 08/07/2045 |
EUR | 160 | 145 | |||||
| Series RS66, Reg. S, 4.63%, 09/09/2024 |
EUR | 319 | 332 | |||||
| Series RS70, Reg. S, 5.13%, 03/30/2026 |
EUR | 470 | 507 | |||||
| SNCF Reseau, (France), |
||||||||
| Reg. S, 0.88%, 01/22/2029 |
EUR | 200 | 175 | |||||
| Reg. S, 1.00%, 11/09/2031 |
EUR | 300 | 251 | |||||
| Reg. S, 1.13%, 05/19/2027 |
EUR | 400 | 368 | |||||
| Reg. S, 1.50%, 05/29/2037 |
EUR | 300 | 234 | |||||
| Reg. S, 2.00%, 11/12/2026 |
CHF | 300 | 308 | |||||
| Reg. S, 2.00%, 02/05/2048 |
EUR | 100 | 74 | |||||
| 4.70%, 06/01/2035 |
CAD | 100 | 75 | |||||
| Reg. S, 5.00%, 10/10/2033 |
EUR | 200 | 229 | |||||
| Reg. S, 5.00%, 03/11/2052 |
GBP | 145 | 163 | |||||
| Reg. S, 5.25%, 12/07/2028 |
GBP | 300 | 335 | |||||
| Societe Du Grand Paris EPIC, (France), |
||||||||
| Reg. S, 0.70%, 10/15/2060 |
EUR | 300 | 127 | |||||
| Reg. S, 0.88%, 05/10/2046 |
EUR | 100 | 60 | |||||
| Reg. S, 1.00%, 11/26/2051 |
EUR | 200 | 111 | |||||
| Reg. S, 1.13%, 10/22/2028 |
EUR | 700 | 628 | |||||
| Reg. S, 1.13%, 05/25/2034 |
EUR | 300 | 235 | |||||
| Reg. S, 1.70%, 05/25/2050 |
EUR | 300 | 210 | |||||
| Societe Nationale SNCF SA, (France), |
||||||||
| Reg. S, 0.63%, 04/17/2030 |
EUR | 300 | 250 | |||||
| Reg. S, 1.00%, 05/25/2040 |
EUR | 100 | 65 | |||||
| Reg. S, 1.00%, 01/19/2061 |
EUR | 100 | 45 | |||||
| Reg. S, 1.50%, 02/02/2029 |
EUR | 300 | 271 | |||||
| Reg. S, 4.63%, 02/02/2024 |
EUR | 300 | 303 | |||||
| Reg. S, 5.38%, 03/18/2027 |
GBP | 400 | 445 | |||||
| South Australian Government Financing Authority, (Australia), |
||||||||
| Reg. S, 2.00%, 05/23/2036 |
AUD | 1,479 | 672 | |||||
| Series 24, Reg. S, 2.25%, 08/15/2024 |
AUD | 400 | 248 | |||||
| 2.75%, 05/24/2030 |
AUD | 2,500 | 1,429 | |||||
| Series 26, Reg. S, 3.00%, 07/20/2026 |
AUD | 1,600 | 986 | |||||
| Series 23, 4.25%, 11/20/2023 |
AUD | 350 | 226 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Foreign Government Securities — continued |
||||||||
| Spain Government Bond, (Spain), |
||||||||
| Reg. S, 0.00%, 05/31/2024 |
EUR | 509 | 482 | |||||
| 0.00%, 01/31/2025 |
EUR | 1,909 | 1,775 | |||||
| 0.00%, 05/31/2025 |
EUR | 1,920 | 1,768 | |||||
| 0.00%, 01/31/2026 |
EUR | 311 | 281 | |||||
| 0.00%, 01/31/2027 |
EUR | 1,730 | 1,513 | |||||
| Reg. S, 0.00%, 01/31/2028 (e) |
EUR | 618 | 524 | |||||
| Reg. S, 0.10%, 04/30/2031 (e) |
EUR | 1,740 | 1,324 | |||||
| Series 5YR, Reg. S, 0.25%, 07/30/2024 (e) |
EUR | 1,223 | 1,158 | |||||
| Reg. S, 0.50%, 04/30/2030 (e) |
EUR | 2,173 | 1,777 | |||||
| Reg. S, 0.50%, 10/31/2031 (e) |
EUR | 1,458 | 1,132 | |||||
| Reg. S, 0.60%, 10/31/2029 (e) |
EUR | 1,410 | 1,179 | |||||
| Reg. S, 0.70%, 04/30/2032 (e) |
EUR | 2,380 | 1,853 | |||||
| Reg. S, 0.80%, 07/30/2027 (e) |
EUR | 2,861 | 2,569 | |||||
| 0.80%, 07/30/2029 |
EUR | 1,100 | 936 | |||||
| Reg. S, 0.85%, 07/30/2037 (e) |
EUR | 2,393 | 1,615 | |||||
| Reg. S, 1.00%, 07/30/2042 (e) |
EUR | 963 | 607 | |||||
| Reg. S, 1.00%, 10/31/2050 (e) |
EUR | 1,930 | 1,028 | |||||
| Reg. S, 1.20%, 10/31/2040 (e) |
EUR | 1,721 | 1,155 | |||||
| Reg. S, 1.25%, 10/31/2030 (e) |
EUR | 2,458 | 2,106 | |||||
| Reg. S, 1.30%, 10/31/2026 (e) |
EUR | 2,201 | 2,061 | |||||
| Reg. S, 1.40%, 04/30/2028 (e) |
EUR | 666 | 607 | |||||
| Reg. S, 1.40%, 07/30/2028 (e) |
EUR | 1,421 | 1,289 | |||||
| Reg. S, 1.45%, 10/31/2027 (e) |
EUR | 1,840 | 1,700 | |||||
| Reg. S, 1.45%, 04/30/2029 (e) |
EUR | 4,130 | 3,712 | |||||
| Reg. S, 1.45%, 10/31/2071 (e) |
EUR | 389 | 187 | |||||
| Reg. S, 1.50%, 04/30/2027 (e) |
EUR | 1,325 | 1,238 | |||||
| Reg. S, 1.60%, 04/30/2025 (e) |
EUR | 1,005 | 969 | |||||
| Reg. S, 1.85%, 07/30/2035 (e) |
EUR | 2,233 | 1,835 | |||||
| Reg. S, 1.90%, 10/31/2052 (e) |
EUR | 682 | 447 | |||||
| Reg. S, 1.95%, 04/30/2026 (e) |
EUR | 2,578 | 2,485 | |||||
| Reg. S, 1.95%, 07/30/2030 (e) |
EUR | 1,340 | 1,219 | |||||
| Reg. S, 2.15%, 10/31/2025 (e) |
EUR | 3,525 | 3,436 | |||||
| Reg. S, 2.35%, 07/30/2033 (e) |
EUR | 1,491 | 1,337 | |||||
| Reg. S, 2.55%, 10/31/2032 (e) |
EUR | 270 | 248 | |||||
| Series 30Y, Reg. S, 2.70%, 10/31/2048 (e) |
EUR | 1,014 | 842 | |||||
| Reg. S, 2.75%, 10/31/2024 (e) |
EUR | 1,693 | 1,679 | |||||
| Reg. S, 2.90%, 10/31/2046 (e) |
EUR | 1,593 | 1,394 | |||||
| Reg. S, 3.45%, 07/30/2043 (e) |
EUR | 580 | 551 | |||||
| Reg. S, 3.45%, 07/30/2066 (e) |
EUR | 970 | 891 | |||||
| Reg. S, 3.80%, 04/30/2024 (e) |
EUR | 1,457 | 1,464 | |||||
| Reg. S, 4.20%, 01/31/2037 (e) |
EUR | 923 | 982 | |||||
| Reg. S, 4.40%, 10/31/2023 (e) |
EUR | 1,070 | 1,075 | |||||
| Reg. S, 4.65%, 07/30/2025 (e) |
EUR | 1,956 | 2,042 | |||||
| Reg. S, 4.70%, 07/30/2041 (e) |
EUR | 1,064 | 1,215 | |||||
| Reg. S, 4.80%, 01/31/2024 (e) |
EUR | 818 | 830 | |||||
| Reg. S, 4.90%, 07/30/2040 (e) |
EUR | 999 | 1,164 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Foreign Government Securities — continued |
||||||||
| Reg. S, 5.15%, 10/31/2028 (e) |
EUR | 1,476 | 1,631 | |||||
| Reg. S, 5.15%, 10/31/2044 (e) |
EUR | 971 | 1,185 | |||||
| 5.75%, 07/30/2032 |
EUR | 1,706 | 2,039 | |||||
| Reg. S, 5.90%, 07/30/2026 (e) |
EUR | 420 | 464 | |||||
| 6.00%, 01/31/2029 |
EUR | 1,430 | 1,658 | |||||
| State of Brandenburg, (Germany), |
||||||||
| Reg. S, 0.13%, 01/26/2046 |
EUR | 159 | 84 | |||||
| Reg. S, 1.45%, 11/26/2038 |
EUR | 180 | 139 | |||||
| State of Bremen, (Germany), |
||||||||
| Series 247, Reg. S, 0.15%, 09/14/2040 |
EUR | 110 | 65 | |||||
| Series 224, Reg. S, 0.40%, 08/20/2049 |
EUR | 30 | 16 | |||||
| Series 258, Reg. S, 0.50%, 05/06/2041 |
EUR | 138 | 86 | |||||
| Series 232, Reg. S, 0.55%, 02/04/2050 |
EUR | 30 | 17 | |||||
| Series 215, Reg. S, 1.20%, 01/30/2034 |
EUR | 40 | 32 | |||||
| Series 191, Reg. S, 1.88%, 03/18/2024 |
EUR | 580 | 564 | |||||
| State of Hesse, (Germany), |
||||||||
| Series 2006, Reg. S, 0.01%, 03/11/2030 |
EUR | 100 | 79 | |||||
| Reg. S, 0.13%, 10/10/2031 |
EUR | 203 | 155 | |||||
| Series 1801, Reg. S, 0.63%, 08/02/2028 |
EUR | 230 | 199 | |||||
| Reg. S, 0.88%, 12/10/2024 |
EUR | 600 | 567 | |||||
| Reg. S, 1.38%, 06/10/2024 |
EUR | 490 | 471 | |||||
| State of Lower Saxony, (Germany), |
||||||||
| Series 901, Reg. S, 0.01%, 11/25/2027 |
EUR | 500 | 426 | |||||
| Series 898, Reg. S, 0.01%, 08/13/2030 |
EUR | 149 | 116 | |||||
| Reg. S, 0.01%, 01/10/2031 |
EUR | 479 | 369 | |||||
| Reg. S, 0.05%, 03/09/2035 |
EUR | 277 | 187 | |||||
| Reg. S, 0.25%, 02/06/2024 |
EUR | 325 | 310 | |||||
| Series 884, Reg. S, 0.88%, 10/25/2028 |
EUR | 320 | 280 | |||||
| Reg. S, 1.50%, 10/17/2029 |
EUR | 200 | 179 | |||||
| State of North Rhine-Westphalia Germany, (Germany), |
||||||||
| Reg. S, 0.00%, 01/15/2029 |
EUR | 161 | 132 | |||||
| Series 15YR, Reg. S, 0.00%, 10/12/2035 |
EUR | 654 | 429 | |||||
| Reg. S, 0.20%, 04/09/2030 |
EUR | 294 | 236 | |||||
| Reg. S, 0.20%, 01/27/2051 |
EUR | 270 | 133 | |||||
| Reg. S, 0.38%, 09/02/2050 |
EUR | 373 | 196 | |||||
| Series 1409, Reg. S, 0.50%, 04/16/2026 |
EUR | 360 | 327 | |||||
| Reg. S, 0.50%, 11/25/2039 |
EUR | 110 | 71 | |||||
| Reg. S, 0.75%, 08/16/2041 |
EUR | 360 | 239 | |||||
| Reg. S, 0.80%, 07/30/2049 |
EUR | 100 | 61 | |||||
| Reg. S, 0.95%, 03/13/2028 |
EUR | 144 | 128 | |||||
| Reg. S, 0.95%, 01/10/2121 |
EUR | 195 | 76 | |||||
| Series 15YR, Reg. S, 1.10%, 03/13/2034 |
EUR | 110 | 88 | |||||
| Reg. S, 1.38%, 01/15/2120 |
EUR | 334 | 169 | |||||
| Reg. S, 1.45%, 02/16/2043 |
EUR | 100 | 75 | |||||
| Reg. S, 1.45%, 01/19/2122 |
EUR | 150 | 80 | |||||
| Reg. S, 1.65%, 02/22/2038 |
EUR | 110 | 89 | |||||
| Reg. S, 1.65%, 05/16/2047 |
EUR | 420 | 326 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Foreign Government Securities — continued |
||||||||
| Reg. S, 1.75%, 10/26/2057 |
EUR | 172 | 131 | |||||
| Reg. S, 1.75%, 07/11/2068 |
EUR | 104 | 76 | |||||
| Reg. S, 1.88%, 03/15/2024 |
EUR | 630 | 613 | |||||
| Reg. S, 1.95%, 09/26/2078 |
EUR | 154 | 119 | |||||
| Reg. S, 2.15%, 03/21/2119 |
EUR | 226 | 166 | |||||
| Series 1250, Reg. S, 2.38%, 05/13/2033 |
EUR | 350 | 323 | |||||
| State of Rhineland-Palatinate, (Germany), |
||||||||
| Reg. S, 0.38%, 01/26/2027 |
EUR | 220 | 195 | |||||
| Reg. S, 0.38%, 03/10/2051 |
EUR | 200 | 105 | |||||
| Reg. S, 0.75%, 01/19/2026 |
EUR | 725 | 667 | |||||
| State of Saarland, (Germany), Reg. S, 0.05%, 11/05/2040 |
EUR | 68 | 39 | |||||
| State of Saxony-Anhalt, (Germany), |
||||||||
| Reg. S, 0.50%, 03/24/2051 |
EUR | 123 | 68 | |||||
| Series 10Y, Reg. S, 0.75%, 01/29/2029 |
EUR | 200 | 172 | |||||
| Reg. S, 1.88%, 04/10/2024 |
EUR | 300 | 292 | |||||
| State of Schleswig-Holstein Germany, (Germany), |
||||||||
| Reg. S, 0.13%, 06/12/2029 |
EUR | 331 | 271 | |||||
| Reg. S, 0.50%, 03/22/2029 |
EUR | 140 | 118 | |||||
| Reg. S, 0.63%, 08/31/2028 |
EUR | 140 | 121 | |||||
| State of the Grand-Duchy of Luxembourg, (Luxembourg), |
||||||||
| Reg. S, 0.00%, 03/24/2031 |
EUR | 103 | 79 | |||||
| Reg. S, 1.38%, 05/25/2029 |
EUR | 380 | 340 | |||||
| States of Guernsey Bond, (Guernsey), Reg. S, 3.38%, 12/12/2046 |
GBP | 200 | 179 | |||||
| Svensk Exportkredit AB, (Sweden), |
||||||||
| Zero Coupon, 05/11/2037 |
224 | 112 | ||||||
| Reg. S, 2.00%, 06/30/2027 |
EUR | 1,000 | 937 | |||||
| Sweden Government Bond, (Sweden), |
||||||||
| Series 1062, Reg. S, 0.13%, 05/12/2031 (e) |
SEK | 5,705 | 431 | |||||
| Series 1063, Reg. S, 0.50%, 11/24/2045 |
SEK | 1,640 | 106 | |||||
| Series 1060, Reg. S, 0.75%, 05/12/2028 (e) |
SEK | 6,075 | 501 | |||||
| Series 1061, Reg. S, 0.75%, 11/12/2029 (e) |
SEK | 4,450 | 360 | |||||
| Series 1059, Reg. S, 1.00%, 11/12/2026 |
SEK | 4,770 | 406 | |||||
| Series 1064, Reg. S, 1.38%, 06/23/2071 (e) |
SEK | 570 | 33 | |||||
| Series 1057, Reg. S, 1.50%, 11/13/2023 (e) |
SEK | 4,040 | 361 | |||||
| Series 1056, Reg. S, 2.25%, 06/01/2032 |
SEK | 5,000 | 455 | |||||
| Series 1058, Reg. S, 2.50%, 05/12/2025 (e) |
SEK | 5,100 | 460 | |||||
| Series 1053, 3.50%, 03/30/2039 |
SEK | 3,010 | 324 | |||||
| Sweden Government International Bond, (Sweden), Reg. S, 0.13%, 04/24/2023 |
EUR | 700 | 679 | |||||
| Swiss Confederation Government Bond, (Switzerland), |
||||||||
| Reg. S, 0.00%, 06/22/2029 |
CHF | 620 | 586 | |||||
| Reg. S, 0.00%, 06/26/2034 |
CHF | 679 | 599 | |||||
| Reg. S, 0.00%, 07/24/2039 |
CHF | 629 | 524 | |||||
| Reg. S, 0.50%, 05/27/2030 |
CHF | 330 | 320 | |||||
| Reg. S, 0.50%, 06/27/2032 |
CHF | 260 | 246 | |||||
| Reg. S, 0.50%, 06/28/2045 |
CHF | 110 | 99 | |||||
| Reg. S, 0.50%, 05/24/2055 |
CHF | 222 | 197 | |||||
| Reg. S, 0.50%, 05/30/2058 |
CHF | 160 | 141 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Foreign Government Securities — continued |
||||||||
| Reg. S, 1.25%, 06/11/2024 |
CHF | 410 | 419 | |||||
| Reg. S, 1.25%, 06/27/2037 |
CHF | 300 | 306 | |||||
| Reg. S, 1.50%, 07/24/2025 |
CHF | 190 | 197 | |||||
| Reg. S, 1.50%, 04/30/2042 |
CHF | 140 | 152 | |||||
| Reg. S, 2.00%, 06/25/2064 |
CHF | 111 | 156 | |||||
| Reg. S, 2.25%, 06/22/2031 |
CHF | 52 | 57 | |||||
| Reg. S, 3.25%, 06/27/2027 |
CHF | 510 | 572 | |||||
| Reg. S, 4.00%, 04/08/2028 |
CHF | 273 | 321 | |||||
| Reg. S, 4.00%, 01/06/2049 |
CHF | 180 | 306 | |||||
| Tasmanian Public Finance Corp., (Australia), Reg. S, 2.25%, 01/22/2032 |
AUD | 650 | 344 | |||||
| Thailand Government Bond, (Thailand), |
||||||||
| 1.45%, 12/17/2024 |
THB | 108,000 | 2,829 | |||||
| 1.60%, 12/17/2029 |
THB | 177,000 | 4,248 | |||||
| 1.88%, 06/17/2049 |
THB | 107,164 | 1,816 | |||||
| 2.00%, 12/17/2031 |
THB | 151,412 | 3,670 | |||||
| 2.00%, 06/17/2042 |
THB | 19,000 | 366 | |||||
| 2.13%, 12/17/2026 |
THB | 157,364 | 4,104 | |||||
| 2.40%, 12/17/2023 |
THB | 220,000 | 5,881 | |||||
| 2.88%, 12/17/2028 |
THB | 124,165 | 3,282 | |||||
| 2.88%, 06/17/2046 |
THB | 15,000 | 323 | |||||
| 3.30%, 06/17/2038 |
THB | 232,300 | 5,723 | |||||
| 3.40%, 06/17/2036 |
THB | 25,000 | 635 | |||||
| 3.45%, 06/17/2043 |
THB | 40,000 | 993 | |||||
| 3.60%, 06/17/2067 |
THB | 53,000 | 1,110 | |||||
| 3.65%, 06/20/2031 |
THB | 110,000 | 3,024 | |||||
| 4.00%, 06/17/2066 |
THB | 25,620 | 591 | |||||
| Tokyo Metropolitan Government, (Japan), |
||||||||
| Series 747, 0.48%, 09/19/2025 |
JPY | 200,000 | 1,399 | |||||
| Series 727, 0.72%, 12/20/2023 |
JPY | 1,200,000 | 8,361 | |||||
| Series 726, 0.73%, 12/20/2023 |
JPY | 1,800,000 | 12,545 | |||||
| Reg. S, 0.75%, 07/16/2025 |
1,000 | 897 | ||||||
| Series 716, 0.77%, 12/20/2022 |
JPY | 100,000 | 692 | |||||
| Treasury Corp. of Victoria, (Australia), |
||||||||
| 0.50%, 11/20/2025 |
AUD | 2,500 | 1,438 | |||||
| 1.00%, 11/20/2023 |
AUD | 3,650 | 2,267 | |||||
| 1.25%, 11/19/2027 |
AUD | 4,600 | 2,552 | |||||
| Reg. S, 1.50%, 11/20/2030 |
AUD | 2,230 | 1,146 | |||||
| Reg. S, 1.50%, 09/10/2031 |
AUD | 2,400 | 1,199 | |||||
| Reg. S, 2.00%, 09/17/2035 |
AUD | 1,100 | 513 | |||||
| Reg. S, 2.25%, 09/15/2033 |
AUD | 900 | 458 | |||||
| Reg. S, 2.25%, 11/20/2034 |
AUD | 3,800 | 1,873 | |||||
| 2.25%, 11/20/2041 |
AUD | 878 | 374 | |||||
| Reg. S, 2.50%, 10/22/2029 |
AUD | 3,690 | 2,104 | |||||
| Reg. S, 3.00%, 10/20/2028 |
AUD | 1,200 | 719 | |||||
| Tyollisyysrahasto, (Finland), 0.01%, 06/16/2027 |
EUR | 200 | 171 | |||||
| U.S. Treasury Notes, |
||||||||
| 2.63%, 04/15/2025 |
3,000 | 2,882 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Foreign Government Securities — continued |
||||||||
| 4.13%, 09/30/2027 |
1,000 | 1,004 | ||||||
| 4.25%, 09/30/2024 |
15,495 | 15,507 | ||||||
| UNEDIC ASSEO, (France), |
||||||||
| Reg. S, 0.00%, 03/05/2030 |
EUR | 100 | 80 | |||||
| Reg. S, 0.00%, 11/19/2030 |
EUR | 200 | 157 | |||||
| Reg. S, 0.10%, 11/25/2026 |
EUR | 600 | 533 | |||||
| Reg. S, 0.25%, 11/25/2029 |
EUR | 1,000 | 825 | |||||
| Reg. S, 0.25%, 07/16/2035 |
EUR | 300 | 204 | |||||
| Reg. S, 0.50%, 03/20/2029 |
EUR | 500 | 428 | |||||
| Reg. S, 0.63%, 03/03/2026 |
EUR | 100 | 92 | |||||
| Reg. S, 0.88%, 10/25/2022 |
EUR | 800 | 784 | |||||
| Reg. S, 1.25%, 10/21/2027 |
EUR | 200 | 183 | |||||
| Reg. S, 1.25%, 05/25/2033 |
EUR | 200 | 164 | |||||
| Reg. S, 1.75%, 11/25/2032 |
EUR | 300 | 263 | |||||
| United Kingdom Gilt, (United Kingdom), |
||||||||
| Reg. S, 0.13%, 01/31/2024 |
GBP | 2,308 | 2,441 | |||||
| Reg. S, 0.13%, 01/30/2026 |
GBP | 1,730 | 1,677 | |||||
| Reg. S, 0.13%, 01/31/2028 |
GBP | 1,847 | 1,653 | |||||
| Reg. S, 0.25%, 01/31/2025 |
GBP | 950 | 959 | |||||
| Reg. S, 0.25%, 07/31/2031 |
GBP | 4,196 | 3,342 | |||||
| Reg. S, 0.38%, 10/22/2026 |
GBP | 2,697 | 2,554 | |||||
| Reg. S, 0.38%, 10/22/2030 |
GBP | 2,152 | 1,787 | |||||
| Reg. S, 0.50%, 01/31/2029 |
GBP | 1,210 | 1,067 | |||||
| Reg. S, 0.50%, 10/22/2061 |
GBP | 1,322 | 578 | |||||
| Reg. S, 0.63%, 06/07/2025 |
GBP | 3,618 | 3,661 | |||||
| Reg. S, 0.63%, 07/31/2035 |
GBP | 2,984 | 2,151 | |||||
| Reg. S, 0.63%, 10/22/2050 |
GBP | 2,811 | 1,444 | |||||
| Reg. S, 0.88%, 10/22/2029 |
GBP | 2,580 | 2,297 | |||||
| Reg. S, 0.88%, 07/31/2033 |
GBP | 1,701 | 1,350 | |||||
| Reg. S, 0.88%, 01/31/2046 |
GBP | 2,409 | 1,450 | |||||
| Reg. S, 1.00%, 04/22/2024 |
GBP | 1,510 | 1,604 | |||||
| Reg. S, 1.00%, 01/31/2032 |
GBP | 1,462 | 1,230 | |||||
| Reg. S, 1.13%, 01/31/2039 |
GBP | 2,046 | 1,470 | |||||
| Reg. S, 1.13%, 10/22/2073 |
GBP | 617 | 340 | |||||
| Reg. S, 1.25%, 07/22/2027 |
GBP | 3,531 | 3,410 | |||||
| Reg. S, 1.25%, 10/22/2041 |
GBP | 2,561 | 1,801 | |||||
| Reg. S, 1.25%, 07/31/2051 |
GBP | 1,886 | 1,175 | |||||
| Reg. S, 1.50%, 07/22/2026 |
GBP | 2,950 | 2,958 | |||||
| Reg. S, 1.50%, 07/22/2047 |
GBP | 1,783 | 1,247 | |||||
| Reg. S, 1.50%, 07/31/2053 |
GBP | 590 | 391 | |||||
| Reg. S, 1.63%, 10/22/2028 |
GBP | 2,625 | 2,518 | |||||
| Reg. S, 1.63%, 10/22/2054 |
GBP | 1,731 | 1,185 | |||||
| Reg. S, 1.63%, 10/22/2071 |
GBP | 1,680 | 1,157 | |||||
| Reg. S, 1.75%, 09/07/2037 |
GBP | 1,869 | 1,530 | |||||
| Reg. S, 1.75%, 01/22/2049 |
GBP | 1,690 | 1,243 | |||||
| Reg. S, 1.75%, 07/22/2057 |
GBP | 1,744 | 1,258 | |||||
| Reg. S, 2.00%, 09/07/2025 |
GBP | 2,763 | 2,889 | |||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Foreign Government Securities — continued |
||||||||
| Reg. S, 2.25%, 09/07/2023 |
GBP | 1,820 | 1,996 | |||||
| Reg. S, 2.50%, 07/22/2065 |
GBP | 1,332 | 1,210 | |||||
| Reg. S, 2.75%, 09/07/2024 |
GBP | 2,780 | 3,018 | |||||
| Reg. S, 3.25%, 01/22/2044 |
GBP | 2,850 | 2,865 | |||||
| Reg. S, 3.50%, 01/22/2045 |
GBP | 3,037 | 3,166 | |||||
| Reg. S, 3.50%, 07/22/2068 |
GBP | 1,379 | 1,603 | |||||
| Reg. S, 3.75%, 07/22/2052 |
GBP | 2,007 | 2,237 | |||||
| Reg. S, 4.00%, 01/22/2060 |
GBP | 1,508 | 1,858 | |||||
| Reg. S, 4.25%, 12/07/2027 |
GBP | 1,620 | 1,795 | |||||
| Reg. S, 4.25%, 06/07/2032 |
GBP | 2,020 | 2,285 | |||||
| Reg. S, 4.25%, 03/07/2036 |
GBP | 1,449 | 1,636 | |||||
| Reg. S, 4.25%, 09/07/2039 |
GBP | 894 | 1,012 | |||||
| Reg. S, 4.25%, 12/07/2040 |
GBP | 2,445 | 2,792 | |||||
| Reg. S, 4.25%, 12/07/2046 |
GBP | 3,998 | 4,688 | |||||
| Reg. S, 4.25%, 12/07/2049 (ff) |
GBP | 1,387 | 1,647 | |||||
| Reg. S, 4.25%, 12/07/2055 |
GBP | 1,379 | 1,704 | |||||
| Reg. S, 4.50%, 09/07/2034 |
GBP | 1,799 | 2,068 | |||||
| Reg. S, 4.50%, 12/07/2042 |
GBP | 1,407 | 1,674 | |||||
| Reg. S, 4.75%, 12/07/2030 |
GBP | 2,676 | 3,121 | |||||
| Reg. S, 4.75%, 12/07/2038 |
GBP | 1,679 | 2,005 | |||||
| Reg. S, 5.00%, 03/07/2025 |
GBP | 1,348 | 1,523 | |||||
| Reg. S, 6.00%, 12/07/2028 |
GBP | 912 | 1,106 | |||||
| United States International Development Finance Corp., 3.37%, 10/05/2034 |
90 | 83 | ||||||
| Uruguay Government International Bond, (Uruguay), |
||||||||
| 4.98%, 04/20/2055 |
50 | 45 | ||||||
| 5.10%, 06/18/2050 |
100 | 91 | ||||||
| Ville de Paris, (France), |
||||||||
| Reg. S, 1.38%, 11/20/2034 |
EUR | 100 | 80 | |||||
| Reg. S, 1.75%, 05/25/2031 |
EUR | 200 | 180 | |||||
| 3.88%, 12/29/2025 |
EUR | 500 | 512 | |||||
| Western Australian Treasury Corp., (Australia), |
||||||||
| Reg. S, 1.50%, 10/22/2030 |
AUD | 692 | 358 | |||||
| Reg. S, 1.75%, 10/22/2031 |
AUD | 800 | 410 | |||||
| Reg. S, 2.25%, 07/23/2041 |
AUD | 590 | 259 | |||||
| Series 24, Reg. S, 2.50%, 07/23/2024 |
AUD | 2,800 | 1,750 | |||||
| Series 26, Reg. S, 3.00%, 10/21/2026 |
AUD | 400 | 246 | |||||
| Series 28, Reg. S, 3.25%, 07/20/2028 |
AUD | 1,400 | 853 | |||||
| Series 25, Reg. S, 5.00%, 07/23/2025 |
AUD | 2,000 | 1,315 | |||||
|
|
|
|||||||
| Total Foreign Government Securities (Cost $4,488,891) |
3,550,277 | |||||||
|
|
|
|||||||
| Mortgage-Backed Securities — 18.3% |
||||||||
| FHLMC Gold Pool, |
||||||||
| 3.00%, 10/01/2046 |
191 | 166 | ||||||
| 3.50%, 12/01/2044 |
418 | 375 | ||||||
| 3.50%, 06/01/2045 |
835 | 749 | ||||||
| 3.50%, 05/01/2046 |
134 | 120 | ||||||
| 3.50%, 10/01/2046 |
200 | 179 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL AMOUNT ($) |
VALUE ($) | ||||||
| Mortgage-Backed Securities — continued |
||||||||
| FHLMC Gold Pool, Single Family, 15 years, 3.00%, 05/01/2029 |
6,286 | 6,071 | ||||||
| FHLMC Gold Pool, Single Family, 30 years, |
||||||||
| 3.00%, 03/01/2046 |
19 | 17 | ||||||
| 3.00%, 12/01/2046 |
31 | 27 | ||||||
| 4.00%, 08/01/2040 |
281 | 268 | ||||||
| 4.00%, 10/01/2040 |
2,599 | 2,480 | ||||||
| 4.00%, 11/01/2040 |
602 | 575 | ||||||
| 4.00%, 11/01/2047 |
1,885 | 1,790 | ||||||
| 4.00%, 01/01/2048 |
40 | 39 | ||||||
| FHLMC Non Gold Pool, ARM, (ICE LIBOR USD 1 Year + 1.64%), 3.56%, 01/01/2050 (aa) |
61 | 58 | ||||||
| FHLMC Pool, |
||||||||
| 3.50%, 02/01/2043 |
67 | 61 | ||||||
| 3.50%, 02/01/2044 |
90 | 83 | ||||||
| 6.00%, 08/01/2035 |
56 | 56 | ||||||
| FHLMC Pool, Single Family, 15 years, |
||||||||
| 1.50%, 12/01/2035 |
405 | 348 | ||||||
| 1.50%, 03/01/2036 |
612 | 526 | ||||||
| 1.50%, 02/01/2037 |
872 | 749 | ||||||
| 1.50%, 03/01/2037 |
895 | 769 | ||||||
| 2.00%, 12/01/2035 |
802 | 708 | ||||||
| 2.00%, 02/01/2036 |
5,535 | 4,886 | ||||||
| 2.00%, 03/01/2036 |
457 | 403 | ||||||
| 2.00%, 05/01/2036 |
2,790 | 2,462 | ||||||
| 2.00%, 08/01/2036 |
1,323 | 1,167 | ||||||
| 2.00%, 10/01/2036 |
710 | 627 | ||||||
| 2.00%, 11/01/2036 |
3,954 | 3,490 | ||||||
| 2.00%, 12/01/2036 |
397 | 351 | ||||||
| 2.00%, 01/01/2037 |
4,773 | 4,212 | ||||||
| 2.00%, 04/01/2037 |
1,765 | 1,557 | ||||||
| 2.00%, 05/01/2037 |
1,094 | 965 | ||||||
| 2.00%, 06/01/2037 |
2,067 | 1,823 | ||||||
| 2.50%, 07/01/2032 |
2,571 | 2,388 | ||||||
| 2.50%, 10/01/2035 |
8,873 | 8,092 | ||||||
| 2.50%, 07/01/2036 |
1,431 | 1,302 | ||||||
| 2.50%, 04/01/2037 |
168 | 153 | ||||||
| 3.00%, 04/01/2028 |
49 | 47 | ||||||
| 3.00%, 10/01/2028 |
1,475 | 1,419 | ||||||
| 3.00%, 04/01/2029 |
55 | 53 | ||||||
| 3.00%, 05/01/2030 |
6 | 6 | ||||||
| 3.00%, 06/01/2030 |
720 | 681 | ||||||
| 3.00%, 11/01/2030 |
128 | 121 | ||||||
| 3.00%, 11/01/2031 |
46 | 44 | ||||||
| 3.00%, 11/01/2032 |
126 | 117 | ||||||
| 3.00%, 01/01/2033 |
60 | 56 | ||||||
| 3.50%, 11/01/2025 |
424 | 403 | ||||||
| 3.50%, 09/01/2033 |
343 | 325 | ||||||
| 3.50%, 02/01/2034 |
840 | 798 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Mortgage-Backed Securities — continued |
||||||||
| 3.50%, 05/01/2035 |
665 | 636 | ||||||
| 3.50%, 12/01/2035 |
170 | 161 | ||||||
| 3.50%, 02/01/2036 |
272 | 258 | ||||||
| 4.00%, 07/01/2025 |
25 | 24 | ||||||
| 4.00%, 05/01/2026 |
18 | 18 | ||||||
| 4.00%, 07/01/2029 |
440 | 427 | ||||||
| 4.00%, 11/01/2033 |
482 | 467 | ||||||
| 4.00%, 01/01/2034 |
18 | 17 | ||||||
| FHLMC Pool, Single Family, 20 years, |
||||||||
| 3.00%, 07/01/2042 |
376 | 333 | ||||||
| 3.00%, 08/01/2042 |
134 | 119 | ||||||
| 3.50%, 06/01/2039 |
295 | 273 | ||||||
| 3.50%, 07/01/2039 |
171 | 158 | ||||||
| 3.50%, 08/01/2039 |
650 | 601 | ||||||
| 3.50%, 09/01/2039 |
391 | 362 | ||||||
| FHLMC Pool, Single Family, 30 years, |
||||||||
| 1.50%, 02/01/2051 |
29 | 23 | ||||||
| 1.50%, 04/01/2051 |
54 | 41 | ||||||
| 1.50%, 05/01/2051 |
5,752 | 4,421 | ||||||
| 1.50%, 07/01/2051 |
963 | 740 | ||||||
| 2.00%, 09/01/2050 |
770 | 628 | ||||||
| 2.00%, 10/01/2050 |
4,688 | 3,821 | ||||||
| 2.00%, 02/01/2051 |
4,247 | 3,459 | ||||||
| 2.00%, 03/01/2051 |
3,096 | 2,522 | ||||||
| 2.00%, 05/01/2051 |
11,993 | 9,764 | ||||||
| 2.00%, 06/01/2051 |
1,433 | 1,166 | ||||||
| 2.00%, 07/01/2051 |
1,460 | 1,188 | ||||||
| 2.00%, 10/01/2051 |
1,873 | 1,524 | ||||||
| 2.00%, 11/01/2051 |
6,065 | 4,930 | ||||||
| 2.00%, 12/01/2051 |
4,715 | 3,833 | ||||||
| 2.00%, 02/01/2052 |
2,277 | 1,850 | ||||||
| 2.00%, 03/01/2052 |
845 | 687 | ||||||
| 2.50%, 11/01/2050 |
23,816 | 20,185 | ||||||
| 2.50%, 12/01/2050 |
838 | 710 | ||||||
| 2.50%, 02/01/2051 |
12,870 | 10,901 | ||||||
| 2.50%, 04/01/2051 |
431 | 365 | ||||||
| 2.50%, 08/01/2051 |
15,353 | 13,025 | ||||||
| 2.50%, 11/01/2051 |
901 | 761 | ||||||
| 2.50%, 03/01/2052 |
2,562 | 2,161 | ||||||
| 2.50%, 04/01/2052 |
1,315 | 1,109 | ||||||
| 2.50%, 07/01/2052 |
991 | 836 | ||||||
| 3.00%, 02/01/2049 |
2,376 | 2,118 | ||||||
| 3.00%, 11/01/2049 |
1,817 | 1,603 | ||||||
| 3.00%, 05/01/2050 |
3,892 | 3,448 | ||||||
| 3.00%, 07/01/2050 |
1,790 | 1,572 | ||||||
| 3.00%, 08/01/2050 |
4,236 | 3,728 | ||||||
| 3.00%, 06/01/2051 |
3,464 | 3,035 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Mortgage-Backed Securities — continued |
||||||||
| 3.00%, 07/01/2051 |
6,021 | 5,321 | ||||||
| 3.00%, 11/01/2051 |
2,165 | 1,896 | ||||||
| 3.00%, 12/01/2051 |
5,035 | 4,401 | ||||||
| 3.00%, 02/01/2052 |
1,688 | 1,475 | ||||||
| 3.00%, 03/01/2052 |
3,243 | 2,835 | ||||||
| 3.00%, 04/01/2052 |
6,902 | 6,035 | ||||||
| 3.50%, 03/01/2042 |
3 | 2 | ||||||
| 3.50%, 07/01/2043 |
2 | 2 | ||||||
| 3.50%, 11/01/2047 |
361 | 329 | ||||||
| 3.50%, 02/01/2048 |
1,892 | 1,728 | ||||||
| 3.50%, 03/01/2048 |
323 | 297 | ||||||
| 3.50%, 05/01/2048 |
4,142 | 3,784 | ||||||
| 3.50%, 06/01/2048 |
4 | 4 | ||||||
| 3.50%, 01/01/2049 |
51 | 47 | ||||||
| 3.50%, 02/01/2049 |
596 | 547 | ||||||
| 3.50%, 09/01/2049 |
2,429 | 2,209 | ||||||
| 3.50%, 10/01/2049 |
2,258 | 2,053 | ||||||
| 3.50%, 04/01/2050 |
3,276 | 2,982 | ||||||
| 3.50%, 11/01/2051 |
509 | 459 | ||||||
| 3.50%, 01/01/2052 |
445 | 402 | ||||||
| 4.00%, 10/01/2048 |
2,988 | 2,823 | ||||||
| 4.00%, 04/01/2049 |
2,562 | 2,420 | ||||||
| 4.00%, 09/01/2049 |
1,593 | 1,505 | ||||||
| 4.00%, 05/01/2050 |
1,116 | 1,052 | ||||||
| 4.00%, 08/01/2050 |
1,359 | 1,273 | ||||||
| 4.00%, 09/01/2050 |
10,691 | 10,010 | ||||||
| 4.00%, 06/01/2052 |
569 | 529 | ||||||
| 4.00%, 08/01/2052 |
1,309 | 1,217 | ||||||
| 4.00%, 09/01/2052 |
600 | 557 | ||||||
| 4.50%, 12/01/2047 |
197 | 191 | ||||||
| 4.50%, 03/01/2048 |
216 | 208 | ||||||
| 4.50%, 04/01/2048 |
627 | 602 | ||||||
| 4.50%, 08/01/2048 |
24 | 23 | ||||||
| 4.50%, 09/01/2048 |
785 | 757 | ||||||
| 4.50%, 08/01/2049 |
1,491 | 1,450 | ||||||
| 4.50%, 10/01/2050 |
3,968 | 3,795 | ||||||
| 4.50%, 07/01/2052 |
244 | 233 | ||||||
| 4.50%, 08/01/2052 |
160 | 153 | ||||||
| 5.00%, 12/01/2049 |
448 | 445 | ||||||
| FNMA or FHLMC, Single Family, 15 years, |
||||||||
| TBA, 1.50%, 10/01/2037 (w) |
5,741 | 4,922 | ||||||
| TBA, 2.00%, 10/01/2037 (w) |
2,414 | 2,128 | ||||||
| TBA, 2.50%, 10/01/2037 (w) |
15,200 | 13,771 | ||||||
| TBA, 3.00%, 10/01/2037 (w) |
2,500 | 2,323 | ||||||
| TBA, 3.50%, 10/01/2037 (w) |
1,625 | 1,538 | ||||||
| TBA, 4.00%, 10/01/2037 (w) |
4,950 | 4,785 | ||||||
| FNMA or FHLMC, Single Family, 30 years, |
||||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Mortgage-Backed Securities — continued |
||||||||
| TBA, 1.50%, 10/01/2052 (w) |
8,275 | 6,349 | ||||||
| TBA, 2.00%, 10/01/2052 (w) |
2,758 | 2,234 | ||||||
| TBA, 2.00%, 11/01/2052 (w) |
9,000 | 7,290 | ||||||
| TBA, 2.50%, 10/01/2052 (w) |
17,576 | 14,781 | ||||||
| TBA, 2.50%, 11/01/2052 (w) |
73,000 | 61,233 | ||||||
| TBA, 3.00%, 10/01/2052 (w) |
8,028 | 6,991 | ||||||
| TBA, 3.50%, 10/01/2052 (w) |
19,574 | 17,617 | ||||||
| TBA, 4.00%, 10/01/2052 (w) |
16,029 | 14,877 | ||||||
| TBA, 4.00%, 11/01/2052 (w) |
97,050 | 89,987 | ||||||
| TBA, 4.50%, 10/01/2052 (w) |
22,375 | 21,319 | ||||||
| TBA, 5.00%, 10/01/2052 (w) |
13,875 | 13,533 | ||||||
| TBA, 5.00%, 11/01/2052 (w) |
12,000 | 11,687 | ||||||
| TBA, 5.50%, 10/01/2052 (w) |
3,700 | 3,681 | ||||||
| FNMA Pool, |
||||||||
| 3.00%, 05/01/2045 |
345 | 299 | ||||||
| 3.00%, 03/01/2060 |
20,778 | 18,174 | ||||||
| 3.01%, 04/01/2032 |
4,173 | 3,689 | ||||||
| 3.44%, 01/01/2037 |
324 | 291 | ||||||
| 3.50%, 08/01/2032 |
76 | 69 | ||||||
| 3.50%, 12/01/2042 |
159 | 146 | ||||||
| 3.50%, 04/01/2043 |
235 | 217 | ||||||
| 3.50%, 11/01/2043 |
116 | 106 | ||||||
| 3.50%, 02/01/2045 |
279 | 257 | ||||||
| 3.50%, 02/01/2048 |
825 | 740 | ||||||
| 3.50%, 09/01/2048 |
86 | 78 | ||||||
| 3.50%, 07/01/2049 |
296 | 266 | ||||||
| 4.00%, 04/01/2041 |
132 | 124 | ||||||
| 4.00%, 08/01/2046 |
117 | 112 | ||||||
| 4.13%, 08/01/2031 |
2,291 | 2,226 | ||||||
| 5.39%, 07/01/2024 |
589 | 586 | ||||||
| FNMA Pool, 10 years, |
||||||||
| 2.00%, 11/01/2027 |
496 | 472 | ||||||
| 3.50%, 07/01/2024 |
136 | 134 | ||||||
| 3.50%, 09/01/2027 |
181 | 172 | ||||||
| 3.50%, 12/01/2028 |
77 | 73 | ||||||
| FNMA Pool, 30 years, FHA/VA, 3.00%, 01/01/2047 |
967 | 877 | ||||||
| FNMA Pool, Single Family, 15 years, |
||||||||
| 1.50%, 10/01/2036 |
584 | 501 | ||||||
| 1.50%, 11/01/2036 |
528 | 453 | ||||||
| 1.50%, 02/01/2037 |
1,775 | 1,524 | ||||||
| 1.50%, 03/01/2037 |
1,679 | 1,442 | ||||||
| 1.50%, 08/01/2037 |
561 | 482 | ||||||
| 2.00%, 02/01/2028 |
17 | 16 | ||||||
| 2.00%, 09/01/2028 |
137 | 129 | ||||||
| 2.00%, 11/01/2028 |
133 | 125 | ||||||
| 2.00%, 07/01/2032 |
11 | 10 | ||||||
| 2.00%, 12/01/2035 |
906 | 799 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Mortgage-Backed Securities — continued |
||||||||
| 2.00%, 02/01/2036 |
6,907 | 6,096 | ||||||
| 2.00%, 03/01/2036 |
513 | 453 | ||||||
| 2.00%, 08/01/2036 |
1,286 | 1,135 | ||||||
| 2.00%, 11/01/2036 |
2,562 | 2,261 | ||||||
| 2.00%, 12/01/2036 |
1,290 | 1,139 | ||||||
| 2.00%, 01/01/2037 |
632 | 558 | ||||||
| 2.00%, 05/01/2037 |
768 | 677 | ||||||
| 2.50%, 08/01/2035 |
265 | 241 | ||||||
| 2.50%, 03/01/2036 |
2,439 | 2,218 | ||||||
| 2.50%, 07/01/2036 |
976 | 887 | ||||||
| 2.50%, 08/01/2036 |
147 | 133 | ||||||
| 2.50%, 03/01/2037 |
267 | 242 | ||||||
| 2.50%, 04/01/2037 |
457 | 415 | ||||||
| 2.50%, 05/01/2037 |
143 | 130 | ||||||
| 3.00%, 04/01/2027 |
653 | 634 | ||||||
| 3.00%, 11/01/2027 |
46 | 45 | ||||||
| 3.00%, 02/01/2028 |
280 | 265 | ||||||
| 3.00%, 10/01/2029 |
76 | 72 | ||||||
| 3.00%, 03/01/2030 |
50 | 48 | ||||||
| 3.00%, 05/01/2030 |
28 | 26 | ||||||
| 3.00%, 07/01/2030 |
25 | 24 | ||||||
| 3.00%, 09/01/2030 |
749 | 712 | ||||||
| 3.00%, 12/01/2030 |
36 | 34 | ||||||
| 3.00%, 04/01/2031 |
122 | 115 | ||||||
| 3.00%, 12/01/2031 |
263 | 248 | ||||||
| 3.00%, 07/01/2032 |
114 | 106 | ||||||
| 3.00%, 01/01/2033 |
79 | 73 | ||||||
| 3.00%, 07/01/2033 |
126 | 117 | ||||||
| 3.00%, 02/01/2034 |
1,528 | 1,427 | ||||||
| 3.00%, 09/01/2034 |
557 | 519 | ||||||
| 3.00%, 12/01/2035 |
667 | 631 | ||||||
| 3.50%, 12/01/2025 |
236 | 224 | ||||||
| 3.50%, 01/01/2026 |
681 | 648 | ||||||
| 3.50%, 07/01/2031 |
81 | 77 | ||||||
| 3.50%, 07/01/2034 |
521 | 498 | ||||||
| 3.50%, 03/01/2035 |
1,670 | 1,586 | ||||||
| 3.50%, 04/01/2035 |
997 | 945 | ||||||
| 3.50%, 05/01/2035 |
99 | 95 | ||||||
| 3.50%, 06/01/2035 |
316 | 301 | ||||||
| 4.00%, 03/01/2025 |
94 | 91 | ||||||
| 4.00%, 06/01/2026 |
100 | 97 | ||||||
| 4.00%, 08/01/2026 |
60 | 58 | ||||||
| 4.00%, 08/01/2027 |
61 | 59 | ||||||
| 4.00%, 12/01/2028 |
23 | 22 | ||||||
| 4.00%, 04/01/2033 |
644 | 629 | ||||||
| 4.00%, 10/01/2033 |
96 | 94 | ||||||
| 4.00%, 11/01/2033 |
510 | 495 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Mortgage-Backed Securities — continued |
||||||||
| 4.00%, 12/01/2033 |
23 | 22 | ||||||
| 4.00%, 03/01/2035 |
1,665 | 1,613 | ||||||
| FNMA Pool, Single Family, 20 years, |
||||||||
| 3.00%, 05/01/2042 |
786 | 698 | ||||||
| 3.00%, 06/01/2042 |
399 | 354 | ||||||
| 3.00%, 07/01/2042 |
1,488 | 1,320 | ||||||
| 3.50%, 03/01/2037 |
529 | 499 | ||||||
| 3.50%, 08/01/2038 |
115 | 107 | ||||||
| 3.50%, 04/01/2039 |
15 | 14 | ||||||
| 3.50%, 08/01/2039 |
184 | 170 | ||||||
| 4.50%, 06/01/2039 |
36 | 35 | ||||||
| FNMA Pool, Single Family, 30 years, |
||||||||
| 1.50%, 11/01/2050 |
1,416 | 1,090 | ||||||
| 1.50%, 06/01/2051 |
2,138 | 1,645 | ||||||
| 1.50%, 07/01/2051 |
1,294 | 997 | ||||||
| 2.00%, 07/01/2050 |
1,524 | 1,244 | ||||||
| 2.00%, 09/01/2050 |
1,335 | 1,089 | ||||||
| 2.00%, 10/01/2050 |
1,009 | 823 | ||||||
| 2.00%, 12/01/2050 |
8,396 | 6,838 | ||||||
| 2.00%, 01/01/2051 |
4,325 | 3,525 | ||||||
| 2.00%, 02/01/2051 |
1,420 | 1,157 | ||||||
| 2.00%, 03/01/2051 |
2,175 | 1,773 | ||||||
| 2.00%, 04/01/2051 |
3,958 | 3,226 | ||||||
| 2.00%, 05/01/2051 |
1,945 | 1,585 | ||||||
| 2.00%, 06/01/2051 |
6,330 | 5,153 | ||||||
| 2.00%, 07/01/2051 |
3,264 | 2,658 | ||||||
| 2.00%, 10/01/2051 |
19,847 | 16,142 | ||||||
| 2.00%, 11/01/2051 |
2,403 | 1,959 | ||||||
| 2.00%, 12/01/2051 (hh) |
16,819 | 13,647 | ||||||
| 2.00%, 02/01/2052 |
70,952 | 57,674 | ||||||
| 2.00%, 03/01/2052 |
18,408 | 14,952 | ||||||
| 2.50%, 08/01/2046 |
5,710 | 4,850 | ||||||
| 2.50%, 08/01/2050 |
19 | 16 | ||||||
| 2.50%, 10/01/2050 |
9,106 | 7,721 | ||||||
| 2.50%, 12/01/2050 |
14,173 | 12,008 | ||||||
| 2.50%, 02/01/2051 |
1,963 | 1,662 | ||||||
| 2.50%, 03/01/2051 |
5,615 | 4,758 | ||||||
| 2.50%, 04/01/2051 |
6,874 | 5,816 | ||||||
| 2.50%, 07/01/2051 |
1,855 | 1,569 | ||||||
| 2.50%, 08/01/2051 |
4,088 | 3,464 | ||||||
| 2.50%, 10/01/2051 |
978 | 827 | ||||||
| 2.50%, 11/01/2051 |
5,568 | 4,703 | ||||||
| 2.50%, 12/01/2051 |
14,905 | 12,584 | ||||||
| 2.50%, 01/01/2052 (hh) |
19,727 | 16,657 | ||||||
| 2.50%, 02/01/2052 |
1,164 | 982 | ||||||
| 2.50%, 03/01/2052 |
12,163 | 10,262 | ||||||
| 2.50%, 04/01/2052 |
5,043 | 4,255 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Mortgage-Backed Securities — continued |
||||||||
| 2.50%, 05/01/2052 |
960 | 812 | ||||||
| 3.00%, 08/01/2046 |
1,263 | 1,126 | ||||||
| 3.00%, 11/01/2046 |
3,334 | 2,983 | ||||||
| 3.00%, 02/01/2047 |
642 | 574 | ||||||
| 3.00%, 04/01/2048 |
6,610 | 5,927 | ||||||
| 3.00%, 01/01/2050 |
3,274 | 2,904 | ||||||
| 3.00%, 03/01/2050 |
1,666 | 1,478 | ||||||
| 3.00%, 07/01/2050 |
11,961 | 10,502 | ||||||
| 3.00%, 08/01/2050 |
3,398 | 2,988 | ||||||
| 3.00%, 12/01/2050 |
4,307 | 3,798 | ||||||
| 3.00%, 01/01/2051 |
1,636 | 1,436 | ||||||
| 3.00%, 05/01/2051 |
11,586 | 10,164 | ||||||
| 3.00%, 06/01/2051 |
7,500 | 6,574 | ||||||
| 3.00%, 07/01/2051 |
1,648 | 1,444 | ||||||
| 3.00%, 08/01/2051 |
1,377 | 1,211 | ||||||
| 3.00%, 10/01/2051 |
3,485 | 3,051 | ||||||
| 3.00%, 11/01/2051 |
3,648 | 3,193 | ||||||
| 3.00%, 12/01/2051 |
2,794 | 2,441 | ||||||
| 3.00%, 02/01/2052 |
852 | 746 | ||||||
| 3.00%, 03/01/2052 |
3,188 | 2,785 | ||||||
| 3.00%, 04/01/2052 |
12,257 | 10,714 | ||||||
| 3.00%, 05/01/2052 |
2,200 | 1,922 | ||||||
| 3.00%, 07/01/2052 |
1,494 | 1,305 | ||||||
| 3.50%, 07/01/2042 |
1 | 1 | ||||||
| 3.50%, 09/01/2042 |
176 | 162 | ||||||
| 3.50%, 05/01/2043 |
5 | 5 | ||||||
| 3.50%, 07/01/2043 |
7,740 | 7,094 | ||||||
| 3.50%, 08/01/2043 |
19,461 | 17,838 | ||||||
| 3.50%, 01/01/2044 |
238 | 219 | ||||||
| 3.50%, 10/01/2045 |
23 | 21 | ||||||
| 3.50%, 12/01/2045 |
2,175 | 1,996 | ||||||
| 3.50%, 07/01/2046 |
4,178 | 3,840 | ||||||
| 3.50%, 02/01/2047 |
4,499 | 4,133 | ||||||
| 3.50%, 07/01/2047 |
973 | 891 | ||||||
| 3.50%, 09/01/2047 |
68 | 62 | ||||||
| 3.50%, 10/01/2047 |
1,409 | 1,288 | ||||||
| 3.50%, 02/01/2048 |
2,275 | 2,080 | ||||||
| 3.50%, 03/01/2048 |
206 | 189 | ||||||
| 3.50%, 03/01/2049 |
370 | 337 | ||||||
| 3.50%, 06/01/2049 |
3,056 | 2,787 | ||||||
| 3.50%, 04/01/2050 |
182 | 166 | ||||||
| 3.50%, 05/01/2050 |
4,216 | 3,833 | ||||||
| 3.50%, 07/01/2050 |
11,371 | 10,327 | ||||||
| 3.50%, 01/01/2051 |
860 | 780 | ||||||
| 3.50%, 03/01/2052 |
15,038 | 13,682 | ||||||
| 3.50%, 05/01/2052 |
18,988 | 17,130 | ||||||
| 3.50%, 06/01/2052 |
3,917 | 3,531 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Mortgage-Backed Securities — continued |
||||||||
| 4.00%, 04/01/2039 |
1,506 | 1,436 | ||||||
| 4.00%, 03/01/2042 |
627 | 598 | ||||||
| 4.00%, 04/01/2043 |
240 | 229 | ||||||
| 4.00%, 02/01/2045 |
262 | 250 | ||||||
| 4.00%, 09/01/2046 |
154 | 147 | ||||||
| 4.00%, 09/01/2047 |
44 | 41 | ||||||
| 4.00%, 10/01/2047 |
544 | 514 | ||||||
| 4.00%, 03/01/2048 |
83 | 79 | ||||||
| 4.00%, 04/01/2048 |
470 | 444 | ||||||
| 4.00%, 06/01/2048 |
32 | 30 | ||||||
| 4.00%, 08/01/2048 |
138 | 130 | ||||||
| 4.00%, 09/01/2048 |
322 | 304 | ||||||
| 4.00%, 03/01/2049 |
1,292 | 1,221 | ||||||
| 4.00%, 06/01/2049 |
1,280 | 1,208 | ||||||
| 4.00%, 11/01/2049 |
236 | 222 | ||||||
| 4.00%, 05/01/2050 |
1,062 | 995 | ||||||
| 4.00%, 03/01/2051 |
2,763 | 2,598 | ||||||
| 4.00%, 09/01/2052 |
274 | 254 | ||||||
| 4.50%, 05/01/2047 |
3 | 2 | ||||||
| 4.50%, 11/01/2047 |
646 | 626 | ||||||
| 4.50%, 01/01/2048 |
637 | 617 | ||||||
| 4.50%, 04/01/2048 |
33 | 32 | ||||||
| 4.50%, 08/01/2048 |
18 | 17 | ||||||
| 4.50%, 09/01/2048 |
458 | 441 | ||||||
| 4.50%, 02/01/2049 |
5,295 | 5,092 | ||||||
| 4.50%, 05/01/2049 |
507 | 490 | ||||||
| 4.50%, 08/01/2049 |
12 | 11 | ||||||
| 4.50%, 01/01/2050 |
154 | 151 | ||||||
| 4.50%, 04/01/2050 |
7,830 | 7,555 | ||||||
| 4.50%, 05/01/2052 |
24 | 22 | ||||||
| 4.50%, 06/01/2052 |
1,401 | 1,339 | ||||||
| 4.50%, 08/01/2052 |
413 | 395 | ||||||
| 4.50%, 09/01/2052 |
846 | 808 | ||||||
| 5.00%, 09/01/2049 |
1,141 | 1,128 | ||||||
| GNMA I Pool, Single Family, 30 years, |
||||||||
| 3.00%, 10/15/2049 |
222 | 196 | ||||||
| 3.00%, 03/15/2050 |
17 | 15 | ||||||
| GNMA II Pool, |
||||||||
| 2.50%, 12/20/2049 |
274 | 232 | ||||||
| 3.00%, 01/20/2047 |
121 | 107 | ||||||
| 3.00%, 08/20/2050 |
710 | 624 | ||||||
| 3.50%, 09/20/2042 |
2,605 | 2,374 | ||||||
| 3.50%, 08/20/2045 |
2,627 | 2,394 | ||||||
| 3.50%, 09/20/2045 |
907 | 821 | ||||||
| 3.50%, 12/20/2047 |
3,952 | 3,576 | ||||||
| 3.50%, 06/20/2048 |
57 | 52 | ||||||
| 3.50%, 07/20/2048 |
43 | 39 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Mortgage-Backed Securities — continued |
||||||||
| 3.50%, 08/20/2049 |
106 | 95 | ||||||
| 3.50%, 11/20/2049 |
179 | 162 | ||||||
| 3.50%, 07/20/2050 |
208 | 188 | ||||||
| (ICE LIBOR USD 1 Month + 2.21%), 3.84%, 02/20/2071 (aa) |
3,752 | 3,863 | ||||||
| (ICE LIBOR USD 1 Month + 2.21%), 3.84%, 10/20/2071 (aa) |
12,230 | 12,580 | ||||||
| 4.00%, 11/20/2041 |
26 | 25 | ||||||
| 4.00%, 10/20/2050 |
343 | 316 | ||||||
| 4.50%, 08/20/2040 |
18 | 17 | ||||||
| 4.50%, 10/20/2040 |
44 | 42 | ||||||
| (CMT Index 1 Year + 1.84%), 4.68%, 07/20/2072 (aa) |
19,557 | 20,266 | ||||||
| GNMA II Pool, Single Family, 15 years, 2.00%, 12/20/2035 |
3,508 | 3,101 | ||||||
| GNMA II Pool, Single Family, 30 years, |
||||||||
| 1.50%, 10/20/2051 |
326 | 261 | ||||||
| 2.00%, 07/20/2050 |
166 | 139 | ||||||
| 2.00%, 08/20/2050 |
5,353 | 4,499 | ||||||
| 2.00%, 11/20/2050 |
1,869 | 1,571 | ||||||
| 2.00%, 12/20/2050 |
3,103 | 2,607 | ||||||
| 2.00%, 02/20/2051 |
1,135 | 954 | ||||||
| 2.00%, 10/20/2051 |
8,813 | 7,382 | ||||||
| 2.00%, 12/20/2051 |
5,949 | 4,981 | ||||||
| 2.00%, 01/20/2052 |
550 | 460 | ||||||
| 2.00%, 03/20/2052 |
1,489 | 1,244 | ||||||
| 2.00%, 04/20/2052 |
3,484 | 2,911 | ||||||
| 2.50%, 01/20/2051 |
341 | 295 | ||||||
| 2.50%, 02/20/2051 |
2,585 | 2,234 | ||||||
| 2.50%, 05/20/2051 |
7,047 | 6,090 | ||||||
| 2.50%, 07/20/2051 |
8,988 | 7,762 | ||||||
| 2.50%, 08/20/2051 |
1,692 | 1,462 | ||||||
| 2.50%, 11/20/2051 |
3,821 | 3,298 | ||||||
| 2.50%, 12/20/2051 |
4,189 | 3,616 | ||||||
| 2.50%, 03/20/2052 |
1,000 | 862 | ||||||
| 2.50%, 04/20/2052 |
500 | 430 | ||||||
| 2.50%, 05/20/2052 |
883 | 761 | ||||||
| 2.50%, 07/20/2052 |
297 | 256 | ||||||
| 2.50%, 08/20/2052 |
497 | 429 | ||||||
| 3.00%, 01/20/2043 |
493 | 443 | ||||||
| 3.00%, 11/20/2043 |
100 | 90 | ||||||
| 3.00%, 03/20/2045 |
108 | 98 | ||||||
| 3.00%, 09/20/2046 |
2,354 | 2,114 | ||||||
| 3.00%, 10/20/2047 |
476 | 426 | ||||||
| 3.00%, 04/20/2049 |
36 | 32 | ||||||
| 3.00%, 07/20/2050 |
4,307 | 3,833 | ||||||
| 3.00%, 08/20/2050 |
6,875 | 6,116 | ||||||
| 3.00%, 08/20/2051 |
701 | 623 | ||||||
| 3.00%, 10/20/2051 |
2,359 | 2,090 | ||||||
| 3.00%, 11/20/2051 |
3,942 | 3,495 | ||||||
| 3.00%, 12/20/2051 |
958 | 849 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Mortgage-Backed Securities — continued |
||||||||
| 3.00%, 01/20/2052 |
9,008 | 7,980 | ||||||
| 3.00%, 02/20/2052 |
384 | 340 | ||||||
| 3.00%, 04/20/2052 |
3,769 | 3,338 | ||||||
| 3.50%, 09/20/2045 |
2,939 | 2,718 | ||||||
| 3.50%, 09/20/2047 |
3,797 | 3,518 | ||||||
| 3.50%, 08/20/2048 |
196 | 180 | ||||||
| 3.50%, 11/20/2048 |
232 | 213 | ||||||
| 3.50%, 12/20/2048 |
6 | 6 | ||||||
| 3.50%, 07/20/2049 |
1,103 | 1,014 | ||||||
| 3.50%, 09/20/2049 |
1,389 | 1,276 | ||||||
| 3.50%, 10/20/2049 |
587 | 539 | ||||||
| 3.50%, 12/20/2049 |
464 | 426 | ||||||
| 3.50%, 01/20/2050 |
693 | 639 | ||||||
| 3.50%, 04/20/2050 |
138 | 127 | ||||||
| 3.50%, 01/20/2052 |
3,177 | 2,899 | ||||||
| 3.50%, 02/20/2052 |
2,235 | 2,042 | ||||||
| 4.00%, 07/20/2048 |
1,128 | 1,068 | ||||||
| 4.00%, 09/20/2048 |
1,917 | 1,809 | ||||||
| 4.00%, 11/20/2048 |
33 | 32 | ||||||
| 4.00%, 12/20/2048 |
968 | 908 | ||||||
| 4.00%, 05/20/2049 |
599 | 565 | ||||||
| 4.00%, 12/20/2050 |
2,806 | 2,636 | ||||||
| 4.00%, 07/20/2052 |
214 | 200 | ||||||
| 4.00%, 09/20/2052 |
525 | 491 | ||||||
| 4.50%, 03/20/2047 |
508 | 498 | ||||||
| 4.50%, 06/20/2047 |
862 | 847 | ||||||
| 4.50%, 07/20/2047 |
1,695 | 1,648 | ||||||
| 4.50%, 10/20/2047 |
362 | 354 | ||||||
| 4.50%, 11/20/2047 |
1,119 | 1,090 | ||||||
| 4.50%, 05/20/2048 |
8,576 | 8,371 | ||||||
| 4.50%, 09/20/2048 |
759 | 717 | ||||||
| 4.50%, 11/20/2048 |
853 | 830 | ||||||
| 4.50%, 01/20/2049 |
2,090 | 2,027 | ||||||
| 4.50%, 05/20/2049 |
288 | 269 | ||||||
| 4.50%, 10/20/2049 |
761 | 734 | ||||||
| 4.50%, 08/20/2052 |
425 | 407 | ||||||
| 5.00%, 12/20/2048 |
222 | 221 | ||||||
| 5.00%, 06/20/2049 |
401 | 399 | ||||||
| 5.00%, 09/20/2052 |
950 | 932 | ||||||
| GNMA, Single Family, 30 years, |
||||||||
| TBA, 2.00%, 10/01/2052 (w) |
1,022 | 852 | ||||||
| TBA, 2.50%, 11/01/2052 (w) |
5,400 | 4,644 | ||||||
| TBA, 2.50%, 10/01/2052 (w) |
21,561 | 18,544 | ||||||
| TBA, 3.00%, 10/01/2052 (w) |
13,537 | 11,964 | ||||||
| TBA, 3.50%, 10/01/2052 (w) |
14,981 | 13,628 | ||||||
| TBA, 4.00%, 10/01/2052 (w) |
5,385 | 5,028 | ||||||
| TBA, 4.00%, 11/01/2052 (w) |
7,200 | 6,718 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| Mortgage-Backed Securities — continued |
||||||||
| TBA, 4.50%, 10/01/2052 (w) |
2,100 | 2,010 | ||||||
| TBA, 4.50%, 11/01/2052 (w) |
1,600 | 1,530 | ||||||
| TBA, 5.00%, 10/01/2052 (w) |
1,500 | 1,468 | ||||||
|
|
|
|||||||
| Total Mortgage-Backed Securities (Cost $1,421,579) |
1,275,987 | |||||||
|
|
|
|||||||
| Municipal Bonds — 0.1% (t) |
||||||||
| Arizona — 0.0% (g) |
||||||||
| Salt River Project, Agricultural Improvement & Power District, Build America Bonds, Series A, Rev., 4.84%, 01/01/2041 | 150 | 148 | ||||||
|
|
|
|||||||
| California — 0.0% (g) |
||||||||
| Bay Area Toll Authority, San Francisco Bay Area, Rev., 2.57%, 04/01/2031 |
100 | 86 | ||||||
| California Health Facilities Financing Authority, Taxable, Social Bonds, |
||||||||
| Rev., 4.19%, 06/01/2037 |
5 | 4 | ||||||
| Rev., 4.35%, 06/01/2041 |
5 | 5 | ||||||
| California State University, Taxable Systemwide, Series E, Rev., 2.90%, 11/01/2051 | 15 | 10 | ||||||
| Los Angeles County Metropolitan Transportation Authority, Build America Bonds, Rev., 5.74%, 06/01/2039 | 50 | 53 | ||||||
| Los Angeles Department of Water & Power, Power System Revenue, Build America Bonds, Rev., 6.60%, 07/01/2050 | 30 | 35 | ||||||
| Los Angeles Department of Water & Power, Build America Bonds, Rev., 6.57%, 07/01/2045 | 50 | 58 | ||||||
| Los Angeles Unified School District, Build America Bonds, GO, 5.75%, 07/01/2034 | 25 | 26 | ||||||
| Regents of the University of California Medical Center Pooled Revenue, Taxable, Series N, Rev., 3.26%, 05/15/2060 | 50 | 33 | ||||||
| State of California, Build America Bonds, |
||||||||
| GO, 7.50%, 04/01/2034 |
50 | 60 | ||||||
| GO, 7.55%, 04/01/2039 |
50 | 62 | ||||||
| GO, 7.60%, 11/01/2040 |
50 | 63 | ||||||
| University of California, Build America Bonds, Rev., 5.95%, 05/15/2045 |
35 | 37 | ||||||
| University of California, Taxable, |
||||||||
| Series AQ, Rev., 4.77%, 05/15/2115 |
20 | 17 | ||||||
| Series BJ, Rev., 3.07%, 05/15/2051 |
5 | 3 | ||||||
|
|
|
|||||||
| 552 | ||||||||
|
|
|
|||||||
| District of Columbia — 0.0% (g) |
||||||||
| District of Columbia, Water & Sewer Authority, Senior Lien, Green Bonds, Series A, Rev., 4.81%, 10/01/2114 | 895 | 785 | ||||||
|
|
|
|||||||
| Florida — 0.0% (g) |
||||||||
| State Board of Administration Finance Corp., Taxable, Series A, Rev., 1.26%, 07/01/2025 |
100 | 91 | ||||||
|
|
|
|||||||
| Illinois — 0.0% (g) |
||||||||
| Sales Tax Securitization Corp., Taxable, Second Lien, Series B, Rev., 3.24%, 01/01/2042 | 40 | 31 | ||||||
| State of Illinois, Taxable Pension, GO, 5.10%, 06/01/2033 | 100 | 95 | ||||||
|
|
|
|||||||
| 126 | ||||||||
|
|
|
|||||||
| Louisiana — 0.1% |
||||||||
| State of Louisiana Gasoline & Fuels Tax Revenue, Taxable, Series A, Rev., 2.95%, 05/01/2041 |
1,450 | 1,078 | ||||||
|
|
|
|||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Massachusetts — 0.0% (g) |
||||||||
| Commonwealth of Massachusetts, Build America Bonds, GO, 4.91%, 05/01/2029 | 100 | 100 | ||||||
| Commonwealth of Massachusetts, Taxable Consolidated Loan, Series H, GO, 2.90%, 09/01/2049 | 15 | 10 | ||||||
|
|
|
|||||||
| 110 | ||||||||
|
|
|
|||||||
| Michigan — 0.0% (g) |
||||||||
| University of Michigan, Taxable, |
||||||||
| Series B, Rev., 2.56%, 04/01/2050 |
25 | 16 | ||||||
| Series C, Rev., 3.60%, 04/01/2047 |
14 | 11 | ||||||
|
|
|
|||||||
| 27 | ||||||||
|
|
|
|||||||
| Missouri — 0.0% (g) |
||||||||
| Health & Educational Facilities Authority of the State of Missouri, Washington University, Series A, Rev., 3.23%, 05/15/2050 | 35 | 25 | ||||||
|
|
|
|||||||
| New Jersey — 0.0% (g) |
||||||||
| New Jersey Transportation Trust Fund Authority, Build America Bonds, Series B, Rev., 6.56%, 12/15/2040 | 25 | 27 | ||||||
| New Jersey Turnpike Authority, Build America Bonds, Series F, Rev., 7.41%, 01/01/2040 | 30 | 37 | ||||||
|
|
|
|||||||
| 64 | ||||||||
|
|
|
|||||||
| New York — 0.0% (g) |
||||||||
| City of New York, Build America Bonds, GO, 5.52%, 10/01/2037 |
25 | 25 | ||||||
| New York City Water & Sewer System, Build America Bonds, Second General Resolution, Rev., 5.44%, 06/15/2043 | 30 | 31 | ||||||
| Port Authority of New York & New Jersey, Consolidated, |
||||||||
| Series 174, Rev., 4.46%, 10/01/2062 |
50 | 44 | ||||||
| Series 21, Rev., 3.29%, 08/01/2069 |
40 | 26 | ||||||
|
|
|
|||||||
| 126 | ||||||||
|
|
|
|||||||
| Oklahoma — 0.0% (g) |
||||||||
| Oklahoma Development Finance Authority, Taxable, Public Service Company, Series A2, Rev., 4.62%, 06/01/2044 | 10 | 9 | ||||||
|
|
|
|||||||
| Oregon — 0.0% (g) |
||||||||
| Oregon State University, Rev., BAM, 3.42%, 03/01/2060 |
10 | 7 | ||||||
| State of Oregon Department of Transportation, Taxable Subordinated, Build America Bonds, Series A, Rev., 5.83%, 11/15/2034 | 50 | 54 | ||||||
|
|
|
|||||||
| 61 | ||||||||
|
|
|
|||||||
| Pennsylvania — 0.0% (g) |
||||||||
| City of Philadelphia Water & Wastewater Revenue, Rev., 2.93%, 07/01/2045 |
10 | 7 | ||||||
|
|
|
|||||||
| Texas — 0.0% (g) |
||||||||
| City of San Antonio, Electric & Gas Systems Revenue, Build America Bonds, Rev., 5.99%, 02/01/2039 | 20 | 21 | ||||||
| Dallas Area Rapid Transit, Build America Bonds, Rev., 5.02%, 12/01/2048 |
30 | 29 | ||||||
| Dallas Area Rapid Transit, Taxable, Senior Lien, Series A, Rev., 2.61%, 12/01/2048 | 15 | 10 | ||||||
| Dallas Fort Worth International Airport, Taxable, |
||||||||
| Series A, Rev., 4.09%, 11/01/2051 |
425 | 351 | ||||||
| Series C, Rev., 3.09%, 11/01/2040 |
100 | 76 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 |
||||||||
| Texas — continued |
||||||||
| North Texas Tollway Authority, Build America Bonds, Series B, Rev., 6.72%, 01/01/2049 | 65 | 77 | ||||||
| Texas Transportation Commission, Taxable Mobility Fund, GO, 2.47%, 10/01/2044 | 10 | 7 | ||||||
| University of Texas System, Build America Bonds, Series C, Rev., 4.79%, 08/15/2046 | 10 | 10 | ||||||
|
|
|
|||||||
| 581 | ||||||||
|
|
|
|||||||
| Virginia — 0.0% (g) |
||||||||
| University of Virginia, Taxable, Series C, Rev., 4.18%, 09/01/2117 |
40 | 32 | ||||||
|
|
|
|||||||
| Total Municipal Bonds (Cost $5,280) |
3,822 | |||||||
|
|
|
|||||||
| U.S. Government Agency Securities — 0.3% |
||||||||
| Federal Farm Credit Banks Funding Corp., 5.48%, 06/27/2042 |
1,000 | 942 | ||||||
| FHLBs, |
||||||||
| 0.50%, 04/14/2025 |
2,000 | 1,816 | ||||||
| 3.25%, 11/16/2028 |
650 | 621 | ||||||
| 5.50%, 07/15/2036 |
200 | 223 | ||||||
| FHLMC, |
||||||||
| Zero Coupon, 12/14/2029 |
1,170 | 865 | ||||||
| 0.25%, 08/24/2023 |
2,650 | 2,558 | ||||||
| 0.38%, 07/21/2025 |
1,000 | 897 | ||||||
| 1.50%, 02/12/2025 |
107 | 101 | ||||||
| 6.25%, 07/15/2032 |
207 | 241 | ||||||
| 6.75%, 03/15/2031 |
400 | 473 | ||||||
| FHLMC STRIPs, Zero Coupon, 03/15/2031 |
700 | 487 | ||||||
| FNMA, |
||||||||
| 0.25%, 05/22/2023 |
3,000 | 2,928 | ||||||
| 0.30%, 08/03/2023 |
100 | 97 | ||||||
| 0.35%, 08/18/2023 |
1,500 | 1,447 | ||||||
| 0.88%, 08/05/2030 |
1,310 | 1,025 | ||||||
| 5.38%, 12/07/2028 |
GBP | 460 | 522 | |||||
| 6.25%, 05/15/2029 |
1,000 | 1,126 | ||||||
| FNMA Interest STRIP, Zero Coupon, 07/15/2030 |
112 | 81 | ||||||
| Resolution Funding Corp. Interest STRIP, |
||||||||
| Zero Coupon, 07/15/2028 |
166 | 129 | ||||||
| Zero Coupon, 10/15/2028 |
400 | 309 | ||||||
| Zero Coupon, 07/15/2029 |
115 | 87 | ||||||
| Zero Coupon, 10/15/2029 |
175 | 131 | ||||||
| Zero Coupon, 01/15/2030 |
950 | 697 | ||||||
| Zero Coupon, 04/15/2030 |
995 | 720 | ||||||
| Resolution Funding Corp. Principal STRIP, |
||||||||
| Zero Coupon, 01/15/2030 |
915 | 671 | ||||||
| Zero Coupon, 04/15/2030 |
145 | 105 | ||||||
| Tennessee Valley Authority, |
||||||||
| 4.63%, 06/07/2043 |
GBP | 200 | 210 | |||||
| 5.88%, 04/01/2036 |
400 | 446 | ||||||
|
|
|
|||||||
| Total U.S. Government Agency Securities (Cost $22,646) |
19,955 | |||||||
|
|
|
|||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL AMOUNT ($) |
VALUE ($) | ||||||
| U.S. Treasury Obligations — 7.8% |
||||||||
| U.S. Treasury Bonds, |
||||||||
| 1.13%, 05/15/2040 |
6,482 | 4,051 | ||||||
| 1.13%, 08/15/2040 |
3,225 | 1,997 | ||||||
| 1.25%, 05/15/2050 |
9,680 | 5,420 | ||||||
| 1.38%, 11/15/2040 |
770 | 498 | ||||||
| 1.38%, 08/15/2050 |
3,626 | 2,101 | ||||||
| 1.63%, 11/15/2050 |
2,600 | 1,614 | ||||||
| 1.75%, 08/15/2041 |
1,200 | 821 | ||||||
| 1.88%, 02/15/2041 |
1,200 | 850 | ||||||
| 1.88%, 02/15/2051 |
2,700 | 1,788 | ||||||
| 1.88%, 11/15/2051 |
2,730 | 1,805 | ||||||
| 2.00%, 11/15/2041 |
2,800 | 2,004 | ||||||
| 2.00%, 02/15/2050 |
4,169 | 2,865 | ||||||
| 2.00%, 08/15/2051 |
3,850 | 2,630 | ||||||
| 2.25%, 05/15/2041 |
3,100 | 2,344 | ||||||
| 2.25%, 08/15/2046 |
2,440 | 1,760 | ||||||
| 2.25%, 08/15/2049 |
3,300 | 2,415 | ||||||
| 2.25%, 02/15/2052 |
3,900 | 2,833 | ||||||
| 2.38%, 02/15/2042 |
2,650 | 2,031 | ||||||
| 2.38%, 11/15/2049 |
2,200 | 1,657 | ||||||
| 2.38%, 05/15/2051 |
4,250 | 3,180 | ||||||
| 2.50%, 02/15/2045 |
6,420 | 4,900 | ||||||
| 2.50%, 02/15/2046 |
1,000 | 760 | ||||||
| 2.50%, 05/15/2046 |
2,370 | 1,799 | ||||||
| 2.75%, 11/15/2042 |
2,000 | 1,621 | ||||||
| 2.75%, 08/15/2047 |
900 | 720 | ||||||
| 2.75%, 11/15/2047 |
1,575 | 1,262 | ||||||
| 2.88%, 05/15/2043 |
2,220 | 1,831 | ||||||
| 2.88%, 08/15/2045 |
1,185 | 968 | ||||||
| 2.88%, 11/15/2046 |
1,500 | 1,227 | ||||||
| 2.88%, 05/15/2049 |
3,000 | 2,503 | ||||||
| 2.88%, 05/15/2052 |
2,640 | 2,214 | ||||||
| 3.00%, 05/15/2042 |
1,000 | 851 | ||||||
| 3.00%, 11/15/2044 |
900 | 752 | ||||||
| 3.00%, 05/15/2045 |
1,730 | 1,446 | ||||||
| 3.00%, 11/15/2045 |
3,729 | 3,116 | ||||||
| 3.00%, 02/15/2047 |
338 | 283 | ||||||
| 3.00%, 05/15/2047 |
500 | 419 | ||||||
| 3.00%, 02/15/2048 |
250 | 211 | ||||||
| 3.00%, 08/15/2048 |
2,020 | 1,711 | ||||||
| 3.00%, 02/15/2049 |
2,400 | 2,050 | ||||||
| 3.00%, 08/15/2052 |
1,750 | 1,511 | ||||||
| 3.13%, 11/15/2041 |
1,200 | 1,044 | ||||||
| 3.13%, 02/15/2043 |
860 | 740 | ||||||
| 3.13%, 08/15/2044 |
350 | 299 | ||||||
| 3.25%, 05/15/2042 |
800 | 710 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| U.S. Treasury Obligations — continued |
||||||||
| 3.38%, 08/15/2042 | 200 | 181 | ||||||
| 3.38%, 11/15/2048 | 2,500 | 2,278 | ||||||
| 3.50%, 02/15/2039 | 500 | 476 | ||||||
| 3.63%, 08/15/2043 | 4,090 | 3,815 | ||||||
| 3.63%, 02/15/2044 | 3,000 | 2,790 | ||||||
| 3.75%, 11/15/2043 | 3,115 | 2,960 | ||||||
| 3.88%, 08/15/2040 | 900 | 884 | ||||||
| 4.25%, 11/15/2040 | 1,769 | 1,826 | ||||||
| 4.38%, 02/15/2038 | 300 | 319 | ||||||
| 4.38%, 05/15/2041 | 410 | 430 | ||||||
| 4.50%, 02/15/2036 | 1,805 | 1,951 | ||||||
| 4.63%, 02/15/2040 | 1,000 | 1,087 | ||||||
| 4.75%, 02/15/2037 | 300 | 332 | ||||||
| 4.75%, 02/15/2041 | 800 | 880 | ||||||
| 5.00%, 05/15/2037 | 300 | 340 | ||||||
| 5.25%, 02/15/2029 | 365 | 390 | ||||||
| U.S. Treasury Inflation Indexed Notes, 0.13%, 04/15/2025 | 46 | 44 | ||||||
| U.S. Treasury Notes, |
||||||||
| 0.13%, 09/15/2023 | 6,000 | 5,771 | ||||||
| 0.13%, 10/15/2023 | 1,000 | 958 | ||||||
| 0.13%, 01/15/2024 | 100 | 95 | ||||||
| 0.25%, 03/15/2024 | 4,700 | 4,433 | ||||||
| 0.25%, 05/15/2024 | 2,000 | 1,874 | ||||||
| 0.25%, 06/15/2024 | 3,500 | 3,270 | ||||||
| 0.25%, 05/31/2025 | 10,000 | 8,997 | ||||||
| 0.25%, 06/30/2025 | 10,000 | 8,978 | ||||||
| 0.25%, 07/31/2025 | 19,920 | 17,810 | ||||||
| 0.25%, 08/31/2025 | 500 | 445 | ||||||
| 0.25%, 09/30/2025 | 2,500 | 2,222 | ||||||
| 0.25%, 10/31/2025 | 600 | 531 | ||||||
| 0.38%, 04/15/2024 | 2,600 | 2,449 | ||||||
| 0.38%, 08/15/2024 | 2,000 | 1,861 | ||||||
| 0.38%, 04/30/2025 | 1,585 | 1,436 | ||||||
| 0.38%, 11/30/2025 | 3,500 | 3,104 | ||||||
| 0.38%, 12/31/2025 | 4,990 | 4,413 | ||||||
| 0.38%, 01/31/2026 | 600 | 529 | ||||||
| 0.38%, 07/31/2027 | 5,715 | 4,801 | ||||||
| 0.38%, 09/30/2027 | 6,600 | 5,511 | ||||||
| 0.50%, 03/31/2025 | 500 | 456 | ||||||
| 0.50%, 04/30/2027 | 1,532 | 1,304 | ||||||
| 0.50%, 05/31/2027 | 4,500 | 3,820 | ||||||
| 0.50%, 06/30/2027 | 4,000 | 3,388 | ||||||
| 0.50%, 08/31/2027 | 2,400 | 2,023 | ||||||
| 0.50%, 10/31/2027 | 700 | 587 | ||||||
| 0.63%, 07/31/2026 | 2,350 | 2,056 | ||||||
| 0.63%, 03/31/2027 | 1,000 | 858 | ||||||
| 0.63%, 11/30/2027 | 2,200 | 1,851 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| U.S. Treasury Obligations — continued |
||||||||
| 0.63%, 12/31/2027 | 3,600 | 3,022 | ||||||
| 0.63%, 05/15/2030 | 10,843 | 8,544 | ||||||
| 0.63%, 08/15/2030 | 4,555 | 3,569 | ||||||
| 0.75%, 12/31/2023 | 2,000 | 1,915 | ||||||
| 0.75%, 11/15/2024 | 2,000 | 1,859 | ||||||
| 0.75%, 03/31/2026 | 1,500 | 1,332 | ||||||
| 0.75%, 04/30/2026 | 2,500 | 2,215 | ||||||
| 0.75%, 05/31/2026 | 2,400 | 2,120 | ||||||
| 0.75%, 08/31/2026 | 2,000 | 1,755 | ||||||
| 0.75%, 01/31/2028 | 3,000 | 2,527 | ||||||
| 0.88%, 01/31/2024 | 5,000 | 4,778 | ||||||
| 0.88%, 06/30/2026 | 6,000 | 5,314 | ||||||
| 0.88%, 09/30/2026 | 2,300 | 2,024 | ||||||
| 0.88%, 11/15/2030 | 4,700 | 3,744 | ||||||
| 1.00%, 12/15/2024 | 2,000 | 1,865 | ||||||
| 1.00%, 07/31/2028 | 4,095 | 3,451 | ||||||
| 1.13%, 10/31/2026 | 630 | 559 | ||||||
| 1.13%, 02/28/2027 | 4,000 | 3,524 | ||||||
| 1.13%, 02/29/2028 | 2,300 | 1,975 | ||||||
| 1.13%, 08/31/2028 | 3,500 | 2,965 | ||||||
| 1.13%, 02/15/2031 | 5,000 | 4,048 | ||||||
| 1.25%, 11/30/2026 | 2,000 | 1,781 | ||||||
| 1.25%, 12/31/2026 | 1,700 | 1,511 | ||||||
| 1.25%, 03/31/2028 | 2,500 | 2,157 | ||||||
| 1.25%, 04/30/2028 | 2,300 | 1,980 | ||||||
| 1.25%, 05/31/2028 | 4,550 | 3,910 | ||||||
| 1.25%, 06/30/2028 | 5,190 | 4,450 | ||||||
| 1.25%, 09/30/2028 | 1,800 | 1,533 | ||||||
| 1.25%, 08/15/2031 | 5,430 | 4,388 | ||||||
| 1.38%, 10/31/2028 | 2,300 | 1,971 | ||||||
| 1.38%, 12/31/2028 | 2,500 | 2,141 | ||||||
| 1.38%, 11/15/2031 | 5,200 | 4,224 | ||||||
| 1.50%, 02/29/2024 | 750 | 721 | ||||||
| 1.50%, 10/31/2024 | 500 | 473 | ||||||
| 1.50%, 11/30/2024 | 300 | 283 | ||||||
| 1.50%, 08/15/2026 | 1,000 | 905 | ||||||
| 1.50%, 11/30/2028 | 2,500 | 2,156 | ||||||
| 1.50%, 02/15/2030 | 3,399 | 2,886 | ||||||
| 1.63%, 02/15/2026 | 5,500 | 5,052 | ||||||
| 1.63%, 05/15/2026 | 2,500 | 2,286 | ||||||
| 1.63%, 10/31/2026 | 1,400 | 1,269 | ||||||
| 1.63%, 08/15/2029 | 2,000 | 1,725 | ||||||
| 1.63%, 05/15/2031 | 5,570 | 4,675 | ||||||
| 1.75%, 01/31/2023 | 1,780 | 1,769 | ||||||
| 1.75%, 06/30/2024 | 3,800 | 3,639 | ||||||
| 1.75%, 03/15/2025 | 5,800 | 5,462 | ||||||
| 1.75%, 12/31/2026 | 840 | 763 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| U.S. Treasury Obligations — continued |
||||||||
| 1.75%, 01/31/2029 |
3,500 | 3,058 | ||||||
| 1.75%, 11/15/2029 |
2,000 | 1,738 | ||||||
| 1.88%, 02/28/2027 |
1,500 | 1,367 | ||||||
| 1.88%, 02/28/2029 |
2,000 | 1,761 | ||||||
| 1.88%, 02/15/2032 |
5,050 | 4,278 | ||||||
| 2.00%, 05/31/2024 |
4,000 | 3,853 | ||||||
| 2.00%, 08/15/2025 |
3,000 | 2,819 | ||||||
| 2.00%, 11/15/2026 |
7,535 | 6,923 | ||||||
| 2.13%, 02/29/2024 |
55 | 53 | ||||||
| 2.13%, 03/31/2024 |
12,000 | 11,621 | ||||||
| 2.13%, 07/31/2024 |
3,000 | 2,887 | ||||||
| 2.13%, 09/30/2024 |
8,400 | 8,064 | ||||||
| 2.13%, 05/15/2025 |
8,000 | 7,582 | ||||||
| 2.25%, 03/31/2024 |
4,000 | 3,881 | ||||||
| 2.25%, 11/15/2024 |
10,700 | 10,267 | ||||||
| 2.25%, 11/15/2025 |
2,575 | 2,425 | ||||||
| 2.25%, 03/31/2026 |
400 | 375 | ||||||
| 2.25%, 02/15/2027 |
6,200 | 5,734 | ||||||
| 2.25%, 08/15/2027 |
4,200 | 3,864 | ||||||
| 2.38%, 02/29/2024 |
1,000 | 974 | ||||||
| 2.38%, 08/15/2024 |
3,800 | 3,671 | ||||||
| 2.38%, 05/15/2027 |
5,000 | 4,637 | ||||||
| 2.38%, 03/31/2029 |
3,100 | 2,808 | ||||||
| 2.38%, 05/15/2029 |
3,100 | 2,806 | ||||||
| 2.50%, 04/30/2024 |
1,500 | 1,459 | ||||||
| 2.50%, 05/31/2024 |
1,500 | 1,457 | ||||||
| 2.50%, 01/31/2025 |
4,000 | 3,844 | ||||||
| 2.50%, 03/31/2027 |
3,000 | 2,804 | ||||||
| 2.63%, 02/15/2029 |
2,100 | 1,936 | ||||||
| 2.63%, 07/31/2029 |
1,725 | 1,586 | ||||||
| 2.75%, 11/15/2023 |
4,300 | 4,225 | ||||||
| 2.75%, 02/15/2024 |
3,000 | 2,936 | ||||||
| 2.75%, 02/28/2025 |
9,500 | 9,170 | ||||||
| 2.75%, 06/30/2025 |
800 | 769 | ||||||
| 2.75%, 04/30/2027 |
1,500 | 1,416 | ||||||
| 2.75%, 07/31/2027 |
1,900 | 1,790 | ||||||
| 2.75%, 02/15/2028 |
4,660 | 4,366 | ||||||
| 2.75%, 05/31/2029 |
2,500 | 2,316 | ||||||
| 2.75%, 08/15/2032 |
3,100 | 2,833 | ||||||
| 2.88%, 10/31/2023 |
1,524 | 1,501 | ||||||
| 2.88%, 04/30/2025 |
7,900 | 7,634 | ||||||
| 2.88%, 06/15/2025 |
2,500 | 2,412 | ||||||
| 2.88%, 07/31/2025 |
1,000 | 964 | ||||||
| 2.88%, 11/30/2025 |
1,300 | 1,248 | ||||||
| 2.88%, 05/15/2028 |
4,500 | 4,232 | ||||||
| 2.88%, 08/15/2028 |
1,800 | 1,689 | ||||||
| 2.88%, 04/30/2029 |
2,000 | 1,868 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 ($) | ||||||
| U.S. Treasury Obligations — continued |
||||||||
| 2.88%, 05/15/2032 |
6,200 | 5,730 | ||||||
| 3.00%, 07/31/2024 |
5,000 | 4,890 | ||||||
| 3.00%, 07/15/2025 |
1,000 | 967 | ||||||
| 3.00%, 09/30/2025 |
120 | 116 | ||||||
| 3.13%, 08/15/2025 |
3,000 | 2,909 | ||||||
| 3.13%, 08/31/2027 |
2,000 | 1,919 | ||||||
| 3.13%, 11/15/2028 |
6,390 | 6,074 | ||||||
| 3.13%, 08/31/2029 |
1,925 | 1,828 | ||||||
| 3.25%, 08/31/2024 |
520 | 511 | ||||||
| 3.25%, 06/30/2027 |
500 | 482 | ||||||
| 3.25%, 06/30/2029 |
2,675 | 2,558 | ||||||
| 3.50%, 09/15/2025 |
4,000 | 3,919 | ||||||
| 3.88%, 09/30/2029 |
1,700 | 1,693 | ||||||
| U.S. Treasury STRIP Coupon Bonds, |
||||||||
| Zero Coupon, 05/15/2024 |
800 | 747 | ||||||
| Zero Coupon, 05/15/2026 |
5,000 | 4,300 | ||||||
| Zero Coupon, 11/15/2026 |
5,000 | 4,223 | ||||||
| Zero Coupon, 11/15/2028 (ee) (ff) |
12,000 | 9,358 | ||||||
| Zero Coupon, 11/15/2038 |
6,250 | 3,243 | ||||||
| Zero Coupon, 11/15/2041 |
200 | 89 | ||||||
| Zero Coupon, 08/15/2045 |
600 | 231 | ||||||
|
|
|
|||||||
| Total U.S. Treasury Obligations (Cost $645,074) |
541,329 | |||||||
|
|
|
|||||||
| NUMBER OF CONTRACTS |
||||||||
| Option Purchased — 0.0% (g) |
||||||||
| Put Options Purchased — 0.0% (g) |
||||||||
| FNMA or FHLMC, Single Family, 30 years, TBA, 3.00%, 11/14/2052 at USD 90.95, European Style, Notional Amount: USD 115,157, OTC Traded (Cost $256) |
30,000 | 1,266 | ||||||
|
|
|
|||||||
| Short-Term Investments — 5.7% |
||||||||
| Time Deposits — 5.5% |
||||||||
| Australia & New Zealand Banking Group Ltd., |
||||||||
| 1.14%, 10/03/2022 |
AUD | 4,354 | 2,785 | |||||
| 2.43%, 10/03/2022 |
27,829 | 27,829 | ||||||
| Barclays SA, 2.43%, 10/03/2022 |
19,652 | 19,652 | ||||||
| BNP Paribas SA, 1.17%, 10/03/2022 |
GBP | 2,167 | 2,420 | |||||
| Brown Brothers Harriman, |
||||||||
| (0.29%), 10/03/2022 |
CHF | 70 | 71 | |||||
| 0.12%, 10/03/2022 |
DKK | 483 | 64 | |||||
| 0.82%, 10/03/2022 |
SEK | 3,129 | 282 | |||||
| 0.95%, 10/03/2022 |
HKD | 250 | 32 | |||||
| 1.00%, 10/03/2022 |
NZD | 1,201 | 672 | |||||
| 1.16%, 10/03/2022 |
NOK | 2,297 | 211 | |||||
| 3.31%, 10/03/2022 |
SGD | 345 | 240 | |||||
| Citibank NA, 0.29%, 10/03/2022 |
EUR | 11,412 | 11,185 | |||||
| Royal Bank of Canada, 2.43%, 10/03/2022 |
584 | 584 | ||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
NUMBER OF CONTRACTS |
VALUE ($) | ||||||
| Short-Term Investments — continued |
||||||||
| Time Deposits — continued |
||||||||
| Skandinaviska Enskilda Banken AB, 2.43%, 10/03/2022 |
23,000 | 23,000 | ||||||
| Sumitomo Mitsui Banking Corp., |
||||||||
| (0.40%), 10/03/2022 |
JPY | 2,830,113 | 19,554 | |||||
| 2.43%, 10/03/2022 |
272,660 | 272,660 | ||||||
| Sumitomo Mitsui Trust Bank Ltd., 2.43%, 10/03/2022 |
3,193 | 3,193 | ||||||
|
|
|
|||||||
| Total Time Deposits |
384,434 | |||||||
|
|
|
|||||||
| U.S. Government Agency Securities — 0.0% (g) |
||||||||
| FNMA DNs, Zero Coupon, 11/09/2022 |
150 | 149 | ||||||
| Tennessee Valley Authority DN, Zero Coupon, 10/12/2022 |
400 | 400 | ||||||
|
|
|
|||||||
| Total U.S. Government Agency Securities |
549 | |||||||
|
|
|
|||||||
| U.S. Treasury Obligations — 0.2% |
||||||||
| U.S. Treasury Bills, |
||||||||
| Zero Coupon, 10/06/2022 (hh) |
263 | 263 | ||||||
| Zero Coupon, 11/10/2022 (hh) |
2,288 | 2,282 | ||||||
| Zero Coupon, 12/01/2022 (hh) (ii) |
5,265 | 5,240 | ||||||
| Zero Coupon, 12/15/2022 (hh) |
8,139 | 8,093 | ||||||
|
|
|
|||||||
| Total U.S. Treasury Obligations |
15,878 | |||||||
|
|
|
|||||||
| Total Short-Term Investments |
||||||||
| (Cost $400,856) |
400,861 | |||||||
|
|
|
|||||||
| Total Investments, Before Short Positions — 105.3% (Cost - $8,961,952)* |
7,357,720 | |||||||
| Liabilities in Excess of Other Assets — (5.3)% |
(368,341 | ) | ||||||
|
|
|
|||||||
| NET ASSETS — 100.0% |
$ | 6,989,379 | ||||||
|
|
|
|||||||
| Short Positions — 2.0% |
||||||||
| Mortgage-Backed Securities — 2.0% |
||||||||
| FHLMC Pool, Single Family, 15 years, |
||||||||
| 3.50%, 12/01/2035 |
170 | 161 | ||||||
| 3.50%, 02/01/2036 |
272 | 258 | ||||||
| FNMA or FHLMC, Single Family, 15 years, |
||||||||
| TBA, 3.00%, 10/01/2037 (w) |
6,000 | 5,577 | ||||||
| FNMA or FHLMC, Single Family, 30 years, |
||||||||
| TBA, 2.50%, 10/01/2052 (w) |
31,000 | 26,071 | ||||||
| TBA, 3.00%, 10/01/2052 (w) |
38,888 | 33,866 | ||||||
| TBA, 3.00%, 11/01/2052 (w) |
27,112 | 23,601 | ||||||
| TBA, 3.50%, 10/01/2052 (w) |
21,900 | 19,710 | ||||||
| TBA, 4.50%, 10/01/2052 (w) |
11,300 | 10,767 | ||||||
| TBA, 5.00%, 10/01/2052 (w) |
8,000 | 7,802 | ||||||
| FNMA Pool, Single Family, 15 years, |
||||||||
| 3.50%, 06/01/2035 |
316 | 301 | ||||||
| 3.50%, 04/01/2035 |
997 | 946 | ||||||
| GNMA II Pool, Single Family, 30 years, 4.00%, 12/20/2050 |
2,806 | 2,636 | ||||||
| GNMA, Single Family, 30 years, TBA, 3.50%, 10/01/2052 (w) |
10,000 | 9,097 | ||||||
|
|
|
|||||||
| Total Mortgage-Backed Securities |
||||||||
| (Proceeds $146,001) |
140,793 | |||||||
|
|
|
|||||||
| Total Securities Sold Short— 2.0% (Proceeds $146,001)* |
140,793 | |||||||
|
|
|
|||||||
Percentages indicated are based on net assets.
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Futures contracts outstanding as of September 30, 2022:
Exchange Traded
| VALUE AND | ||||||||||||||||||||
| UNREALIZED | ||||||||||||||||||||
| NUMBER OF | EXPIRATION | TRADING | NOTIONAL | APPRECIATION | ||||||||||||||||
| DESCRIPTION |
CONTRACTS | DATE | CURRENCY | AMOUNT ($) | (DEPRECIATION) ($) | |||||||||||||||
| Long Contracts |
||||||||||||||||||||
| Euro BOBL |
73 | 12/2022 | EUR | 8,689 | (122 | ) | ||||||||||||||
| Euro Bund |
67 | 12/2022 | EUR | 9,482 | (389 | ) | ||||||||||||||
| Euro Buxl |
34 | 12/2022 | EUR | 5,301 | (415 | ) | ||||||||||||||
| Euro Schatz |
50 | 12/2022 | EUR | 5,296 | (44 | ) | ||||||||||||||
| Long Gilt |
34 | 12/2022 | GBP | 4,098 | (438 | ) | ||||||||||||||
| Swiss Confederation Bond |
19 | 12/2022 | CHF | 2,840 | (66 | ) | ||||||||||||||
| U.S. Treasury 10 Year Note |
409 | 12/2022 | USD | 46,802 | (968 | ) | ||||||||||||||
| U.S. Treasury 2 Year Note |
60 | 12/2022 | USD | 12,517 | (193 | ) | ||||||||||||||
| U.S. Treasury 5 Year Note |
37 | 12/2022 | USD | 4,097 | (119 | ) | ||||||||||||||
| U.S. Treasury Long Bond |
178 | 12/2022 | USD | 24,280 | (1,780 | ) | ||||||||||||||
| U.S. Treasury Ultra Bond |
148 | 12/2022 | USD | 22,059 | (1,783 | ) | ||||||||||||||
| U.S. Ultra Treasury 10 Year Note |
17 | 12/2022 | USD | 2,096 | (82 | ) | ||||||||||||||
| SOFR 3 Month |
212 | 03/2023 | USD | 50,641 | 16 | |||||||||||||||
|
|
|
|||||||||||||||||||
| (6,383 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Short Contracts |
||||||||||||||||||||
| Euro BOBL |
(68 | ) | 12/2022 | EUR | (8,124 | ) | 143 | |||||||||||||
| Euro Bund |
(8 | ) | 12/2022 | EUR | (1,120 | ) | 34 | |||||||||||||
| Euro Buxl |
(1 | ) | 12/2022 | EUR | (156 | ) | 12 | |||||||||||||
| Euro Schatz |
(9 | ) | 12/2022 | EUR | (948 | ) | 3 | |||||||||||||
| Long Gilt |
(8 | ) | 12/2022 | GBP | (981 | ) | 120 | |||||||||||||
| U.S. Treasury 10 Year Note |
(275 | ) | 12/2022 | USD | (32,234 | ) | 1,416 | |||||||||||||
| U.S. Treasury 2 Year Note |
(6 | ) | 12/2022 | USD | (1,251 | ) | 19 | |||||||||||||
| U.S. Treasury 5 Year Note |
(96 | ) | 12/2022 | USD | (10,585 | ) | 265 | |||||||||||||
| U.S. Treasury Long Bond |
(19 | ) | 12/2022 | USD | (2,592 | ) | 191 | |||||||||||||
| U.S. Ultra Treasury 10 Year Note |
(96 | ) | 12/2022 | USD | (12,087 | ) | 712 | |||||||||||||
| SOFR 3 Month |
(212 | ) | 09/2023 | USD | (50,768 | ) | 58 | |||||||||||||
|
|
|
|||||||||||||||||||
| 2,973 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized appreciation (depreciation) |
(3,410 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 September 30, 2022:
| UNREALIZED | ||||||||||||||||||
| CURRENCY PURCHASED |
CURRENCY SOLD | COUNTERPARTY |
SETTLEMENT DATE |
APPRECIATION (DEPRECIATION) ($) |
||||||||||||||
| USD |
4,930 | DKK | 36,640 | BNP Paribas | 10/03/2022 | 100 | ||||||||||||
| USD |
32,553 | AUD | 47,445 | Bank of New York Mellon | 10/04/2022 | 2,205 | ||||||||||||
| USD |
32,511 | AUD | 47,445 | Deutsche Bank AG | 10/04/2022 | 2,163 | ||||||||||||
| USD |
391 | AUD | 602 | Goldman Sachs International | 10/04/2022 | 6 | ||||||||||||
| USD |
32,509 | AUD | 47,445 | Morgan Stanley & Co. | 10/04/2022 | 2,161 | ||||||||||||
| USD |
32,559 | AUD | 47,445 | Standard Chartered Bank | 10/04/2022 | 2,211 | ||||||||||||
| USD |
32,559 | AUD | 47,443 | Toronto-Dominion Bank (The) | 10/04/2022 | 2,212 | ||||||||||||
| USD |
220 | CAD | 286 | Bank of America, NA | 10/04/2022 | 13 | ||||||||||||
| USD |
2,223 | CAD | 3,034 | Citibank, NA | 10/04/2022 | 26 | ||||||||||||
| USD |
298 | CHF | 290 | Bank of America, NA | 10/04/2022 | 4 | ||||||||||||
| EUR |
130 | CHF | 125 | Morgan Stanley & Co. | 10/04/2022 | 1 | ||||||||||||
| CHF |
125 | EUR | 128 | Morgan Stanley & Co. | 10/04/2022 | 3 | ||||||||||||
| USD |
5,712 | CHF | 5,582 | UBS AG LONDON | 10/04/2022 | 55 | ||||||||||||
| USD |
4,512 | CHF | 4,405 | UBS AG LONDON | 10/04/2022 | 48 | ||||||||||||
| USD |
4,174 | CZK | 102,959 | Morgan Stanley & Co. | 10/04/2022 | 71 | ||||||||||||
| CZK |
106,479 | USD | 4,234 | Morgan Stanley & Co. | 10/04/2022 | 8 | ||||||||||||
| USD |
145 | CZK | 3,520 | UBS AG LONDON | 10/04/2022 | 5 | ||||||||||||
| USD |
39 | DKK | 290 | Bank of America, NA | 10/04/2022 | 1 | ||||||||||||
| USD |
1,257 | DKK | 9,340 | Bank of America, NA | 10/04/2022 | 26 | ||||||||||||
| USD |
4,627 | DKK | 34,422 | Bank of America, NA | 10/04/2022 | 90 | ||||||||||||
| DKK |
34,422 | USD | 4,521 | Morgan Stanley & Co. | 10/04/2022 | 16 | ||||||||||||
| DKK |
9,630 | USD | 1,265 | Morgan Stanley & Co. | 10/04/2022 | 4 | ||||||||||||
| USD |
578 | EUR | 570 | Bank of America, NA | 10/04/2022 | 20 | ||||||||||||
| USD |
6,099 | EUR | 6,086 | Bank of America, NA | 10/04/2022 | 134 | ||||||||||||
| USD |
5,087 | EUR | 5,070 | Bank of America, NA | 10/04/2022 | 118 | ||||||||||||
| USD |
91 | EUR | 90 | Bank of America, NA | 10/04/2022 | 2 | ||||||||||||
| USD |
168 | EUR | 167 | Bank of America, NA | 10/04/2022 | 4 | ||||||||||||
| USD |
169,883 | EUR | 169,405 | Bank of New York Mellon | 10/04/2022 | 3,858 | ||||||||||||
| USD |
5,184 | EUR | 5,110 | Citibank, NA | 10/04/2022 | 176 | ||||||||||||
| EUR |
90,320 | USD | 87,598 | Citibank, NA | 10/04/2022 | 920 | ||||||||||||
| USD |
91,738 | EUR | 91,582 | Citibank, NA | 10/04/2022 | 1,983 | ||||||||||||
| USD |
39,464 | EUR | 39,397 | Citibank, NA | 10/04/2022 | 853 | ||||||||||||
| EUR |
40,716 | USD | 39,489 | Citibank, NA | 10/04/2022 | 415 | ||||||||||||
| USD |
921 | EUR | 921 | HSBC Bank plc | 10/04/2022 | 18 | ||||||||||||
| USD |
39,577 | EUR | 39,397 | Morgan Stanley & Co. | 10/04/2022 | 966 | ||||||||||||
| USD |
11,763 | EUR | 11,734 | Morgan Stanley & Co. | 10/04/2022 | 264 | ||||||||||||
| USD |
169,740 | EUR | 169,405 | Morgan Stanley & Co. | 10/04/2022 | 3,715 | ||||||||||||
| USD |
4,993 | EUR | 5,000 | Morgan Stanley & Co. | 10/04/2022 | 93 | ||||||||||||
| USD |
1,561 | EUR | 1,549 | Morgan Stanley & Co. | 10/04/2022 | 42 | ||||||||||||
| EUR |
168,573 | USD | 164,768 | Morgan Stanley & Co. | 10/04/2022 | 442 | ||||||||||||
| EUR |
90,320 | USD | 87,054 | Morgan Stanley & Co. | 10/04/2022 | 1,464 | ||||||||||||
| USD |
91,999 | EUR | 91,582 | Morgan Stanley & Co. | 10/04/2022 | 2,244 | ||||||||||||
| EUR |
482,829 | USD | 471,931 | Morgan Stanley & Co. | 10/04/2022 | 1,265 | ||||||||||||
| EUR |
24,313 | USD | 23,764 | Morgan Stanley & Co. | 10/04/2022 | 64 | ||||||||||||
| EUR |
40,716 | USD | 39,244 | Morgan Stanley & Co. | 10/04/2022 | 660 | ||||||||||||
| EUR |
11,734 | USD | 11,321 | Morgan Stanley & Co. | 10/04/2022 | 179 | ||||||||||||
| USD |
24,261 | EUR | 24,186 | UBS AG LONDON | 10/04/2022 | 557 | ||||||||||||
| USD |
3,200 | EUR | 3,200 | UBS AG LONDON | 10/04/2022 | 64 | ||||||||||||
| USD |
490,272 | EUR | 488,759 | UBS AG LONDON | 10/04/2022 | 11,264 | ||||||||||||
| USD |
170,439 | EUR | 169,913 | UBS AG LONDON | 10/04/2022 | 3,916 | ||||||||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 September 30, 2022 (continued):
| UNREALIZED | ||||||||||||||||||
| CURRENCY PURCHASED |
CURRENCY SOLD | COUNTERPARTY |
SETTLEMENT DATE |
APPRECIATION (DEPRECIATION) ($) |
||||||||||||||
| EUR |
168,075 | USD | 164,075 | UBS AG LONDON | 10/04/2022 | 647 | ||||||||||||
| EUR |
168,075 | USD | 164,092 | Westpac Banking Corp. | 10/04/2022 | 630 | ||||||||||||
| USD |
521 | GBP | 450 | Bank of America, NA | 10/04/2022 | 18 | ||||||||||||
| USD |
694 | GBP | 600 | Bank of America, NA | 10/04/2022 | 24 | ||||||||||||
| USD |
37,781 | GBP | 32,455 | Bank of New York Mellon | 10/04/2022 | 1,543 | ||||||||||||
| USD |
1,090 | GBP | 936 | Bank of New York Mellon | 10/04/2022 | 45 | ||||||||||||
| USD |
88,778 | GBP | 76,262 | Bank of New York Mellon | 10/04/2022 | 3,627 | ||||||||||||
| USD |
19,685 | GBP | 16,644 | HSBC Bank plc | 10/04/2022 | 1,101 | ||||||||||||
| USD |
27,922 | GBP | 23,608 | HSBC Bank plc | 10/04/2022 | 1,562 | ||||||||||||
| GBP |
22,128 | USD | 23,939 | Morgan Stanley & Co. | 10/04/2022 | 768 | ||||||||||||
| GBP |
16,644 | USD | 18,006 | Morgan Stanley & Co. | 10/04/2022 | 578 | ||||||||||||
| USD |
37,722 | GBP | 32,455 | Morgan Stanley & Co. | 10/04/2022 | 1,485 | ||||||||||||
| GBP |
75,312 | USD | 83,807 | Morgan Stanley & Co. | 10/04/2022 | 282 | ||||||||||||
| GBP |
31,269 | USD | 34,796 | Morgan Stanley & Co. |
10/04/2022 | 117 | ||||||||||||
| GBP |
906 | USD | 1,008 | Morgan Stanley & Co. |
10/04/2022 | 3 | ||||||||||||
| USD |
636 | GBP | 550 | Morgan Stanley & Co. |
10/04/2022 | 22 | ||||||||||||
| GBP |
31,175 | USD | 34,589 | UBS AG LONDON |
10/04/2022 | 220 | ||||||||||||
| USD |
37,917 | GBP | 32,559 | UBS AG LONDON |
10/04/2022 | 1,564 | ||||||||||||
| USD |
972 | GBP | 830 | UBS AG LONDON |
10/04/2022 | 45 | ||||||||||||
| USD |
70 | GBP | 60 | UBS AG LONDON |
10/04/2022 | 3 | ||||||||||||
| GBP |
31,175 | USD | 34,640 | Westpac Banking Corp. |
10/04/2022 | 168 | ||||||||||||
| USD |
2,139 | HUF | 871,346 | UBS AG LONDON |
10/04/2022 | 121 | ||||||||||||
| USD |
281,505 | JPY | 38,899,715 | Bank of New York Mellon |
10/04/2022 | 12,731 | ||||||||||||
| USD |
60,547 | JPY | 8,243,440 | Barclays Bank plc |
10/04/2022 | 3,590 | ||||||||||||
| USD |
1,668 | JPY | 230,680 | Deutsche Bank AG |
10/04/2022 | 74 | ||||||||||||
| USD |
281,135 | JPY | 38,899,715 | Deutsche Bank AG |
10/04/2022 | 12,361 | ||||||||||||
| USD |
281,112 | JPY | 38,899,715 | Morgan Stanley & Co. |
10/04/2022 | 12,338 | ||||||||||||
| USD |
281,358 | JPY | 38,899,715 | Standard Chartered Bank |
10/04/2022 | 12,584 | ||||||||||||
| USD |
281,433 | JPY | 38,899,716 | Toronto-Dominion Bank (The) |
10/04/2022 | 12,658 | ||||||||||||
| USD |
40 | MXN | 807 | HSBC Bank plc |
10/04/2022 | — | (h) | |||||||||||
| USD |
2,948 | NOK | 29,255 | Bank of America, NA |
10/04/2022 | 261 | ||||||||||||
| USD |
17,739 | NZD | 28,920 | UBS AG LONDON |
10/04/2022 | 1,554 | ||||||||||||
| USD |
5,459 | PLN | 25,978 | Goldman Sachs International |
10/04/2022 | 219 | ||||||||||||
| PLN |
25,978 | USD | 5,236 | UBS AG LONDON |
10/04/2022 | 5 | ||||||||||||
| USD |
2,184 | RON | 10,680 | UBS AG LONDON |
10/04/2022 | 68 | ||||||||||||
| RON |
12,160 | USD | 2,398 | UBS AG LONDON |
10/04/2022 | 11 | ||||||||||||
| USD |
49 | RON | 240 | UBS AG LONDON |
10/04/2022 | 2 | ||||||||||||
| USD |
255 | RON | 1,240 | UBS AG LONDON |
10/04/2022 | 10 | ||||||||||||
| SEK |
46,020 | USD | 4,116 | Morgan Stanley & Co. |
10/04/2022 | 31 | ||||||||||||
| SEK |
53,145 | USD | 4,753 | Morgan Stanley & Co. |
10/04/2022 | 36 | ||||||||||||
| USD |
4,388 | SEK | 46,860 | UBS AG LONDON |
10/04/2022 | 166 | ||||||||||||
| USD |
4,973 | SEK | 53,145 | UBS AG LONDON |
10/04/2022 | 184 | ||||||||||||
| USD |
1,255 | SGD | 1,750 | Deutsche Bank AG |
10/04/2022 | 36 | ||||||||||||
| USD |
24,678 | SGD | 34,512 | Goldman Sachs International |
10/04/2022 | 649 | ||||||||||||
| USD |
100 | SGD | 140 | UBS AG LONDON |
10/04/2022 | 3 | ||||||||||||
| USD |
1,951 | HKD | 15,302 | Royal Bank of Canada |
10/05/2022 | 2 | ||||||||||||
| HKD |
15,302 | USD | 1,949 | Standard Chartered Bank |
10/05/2022 | — | (h) | |||||||||||
| USD |
26,705 | CNY | 184,000 | Brown Brothers Harriman & Co. |
10/12/2022 | 750 | ||||||||||||
| USD |
424,531 | CNY | 2,924,000 | Brown Brothers Harriman & Co. |
10/12/2022 | 12,060 | ||||||||||||
| USD |
424,531 | CNY | 2,924,000 | Brown Brothers Harriman & Co. |
10/12/2022 | 12,060 | ||||||||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 September 30, 2022 (continued):
| UNREALIZED | ||||||||||||||||||
| CURRENCY PURCHASED |
CURRENCY SOLD | COUNTERPARTY |
SETTLEMENT DATE |
APPRECIATION (DEPRECIATION) ($) |
||||||||||||||
| CNY |
3,000 | USD | 423 | Brown Brothers Harriman & Co. |
10/12/2022 | — | (h) | |||||||||||
| CNY |
243,000 | USD | 34,267 | Brown Brothers Harriman & Co. |
10/12/2022 | 11 | ||||||||||||
| CNY |
2,929,600 | USD | 412,852 | Brown Brothers Harriman & Co. |
10/12/2022 | 408 | ||||||||||||
| CNY |
9,300 | USD | 1,298 | Brown Brothers Harriman & Co. |
10/12/2022 | 14 | ||||||||||||
| CNY |
14,000 | USD | 1,954 | Brown Brothers Harriman & Co. |
10/12/2022 | 21 | ||||||||||||
| CNY |
31,000 | USD | 4,276 | Brown Brothers Harriman & Co. |
10/12/2022 | 97 | ||||||||||||
| CNY |
2,929,600 | USD | 412,794 | Brown Brothers Harriman & Co. |
10/12/2022 | 466 | ||||||||||||
| USD |
7,761 | AUD | 11,411 | Morgan Stanley & Co. |
10/19/2022 | 461 | ||||||||||||
| USD |
62 | CAD | 85 | Bank of America, NA |
10/19/2022 | — | (h) | |||||||||||
| USD |
12,093 | CAD | 15,703 | Morgan Stanley & Co. |
10/19/2022 | 726 | ||||||||||||
| USD |
594 | CAD | 761 | Morgan Stanley & Co. |
10/19/2022 | 43 | ||||||||||||
| USD |
2,537 | CHF | 2,476 | HSBC Bank plc |
10/19/2022 | 24 | ||||||||||||
| USD |
890 | CZK | 21,925 | Morgan Stanley & Co. |
10/19/2022 | 18 | ||||||||||||
| USD |
807 | DKK | 5,921 | Barclays Bank plc |
10/19/2022 | 25 | ||||||||||||
| USD |
3,570 | EUR | 3,482 | Morgan Stanley & Co. |
10/19/2022 | 154 | ||||||||||||
| EUR |
3,494 | USD | 3,427 | Morgan Stanley & Co. |
10/19/2022 | 1 | ||||||||||||
| USD |
610 | GBP | 500 | Morgan Stanley & Co. |
10/19/2022 | 51 | ||||||||||||
| GBP |
1,482 | USD | 1,654 | Morgan Stanley & Co. |
10/19/2022 | — | (h) | |||||||||||
| USD |
394 | HUF | 161,021 | Morgan Stanley & Co. |
10/19/2022 | 23 | ||||||||||||
| USD |
2,452 | JPY | 349,223 | Bank of America, NA |
10/19/2022 | 36 | ||||||||||||
| JPY |
118,567 | USD | 820 | Morgan Stanley & Co. |
10/19/2022 | — | (h) | |||||||||||
| USD |
488 | JPY | 64,751 | Morgan Stanley & Co. |
10/19/2022 | 39 | ||||||||||||
| USD |
360 | NOK | 3,663 | Morgan Stanley & Co. |
10/19/2022 | 23 | ||||||||||||
| USD |
696 | NZD | 1,136 | Citibank, NA |
10/19/2022 | 60 | ||||||||||||
| USD |
682 | PLN | 3,282 | Citibank, NA |
10/19/2022 | 22 | ||||||||||||
| USD |
532 | RON | 2,629 | Barclays Bank plc |
10/19/2022 | 12 | ||||||||||||
| USD |
1,105 | SEK | 11,538 | HSBC Bank plc |
10/19/2022 | 64 | ||||||||||||
| USD |
30,734 | AUD | 47,445 | Bank of America, NA |
11/02/2022 | 375 | ||||||||||||
| USD |
30,727 | AUD | 47,445 | Bank of New York Mellon |
11/02/2022 | 368 | ||||||||||||
| USD |
30,734 | AUD | 47,445 | Deutsche Bank AG |
11/02/2022 | 374 | ||||||||||||
| USD |
2,579 | AUD | 4,010 | Deutsche Bank AG |
11/02/2022 | 13 | ||||||||||||
| USD |
30,668 | AUD | 47,445 | Toronto-Dominion Bank (The) |
11/02/2022 | 309 | ||||||||||||
| USD |
30,639 | AUD | 47,443 | UBS AG LONDON |
11/02/2022 | 281 | ||||||||||||
| USD |
209 | CAD | 286 | Bank of America, NA |
11/02/2022 | 2 | ||||||||||||
| USD |
6,003 | CHF | 5,872 | Morgan Stanley & Co. |
11/02/2022 | 36 | ||||||||||||
| USD |
4,402 | CHF | 4,305 | Morgan Stanley & Co. |
11/02/2022 | 27 | ||||||||||||
| USD |
61 | CHF | 60 | UBS AG LONDON |
11/02/2022 | — | (h) | |||||||||||
| DKK |
2,350 | USD | 310 | UBS AG LONDON |
11/02/2022 | — | (h) | |||||||||||
| EUR |
717 | USD | 700 | Bank of America, NA |
11/02/2022 | 4 | ||||||||||||
| USD |
696 | EUR | 709 | HSBC Bank plc |
11/02/2022 | — | (h) | |||||||||||
| EUR |
9,120 | USD | 8,952 | Morgan Stanley & Co. |
11/02/2022 | 4 | ||||||||||||
| EUR |
7,315 | USD | 7,180 | Morgan Stanley & Co. |
11/02/2022 | 4 | ||||||||||||
| SEK |
850 | EUR | 78 | Westpac Banking Corp. |
11/02/2022 | 1 | ||||||||||||
| GBP |
2,511 | USD | 2,805 | Morgan Stanley & Co. |
11/02/2022 | 1 | ||||||||||||
| GBP |
5,950 | USD | 6,647 | Morgan Stanley & Co. |
11/02/2022 | 1 | ||||||||||||
| GBP |
70 | USD | 78 | Morgan Stanley & Co. |
11/02/2022 | — | (h) | |||||||||||
| GBP |
7,780 | USD | 8,691 | UBS AG LONDON |
11/02/2022 | 2 | ||||||||||||
| USD |
2,001 | HUF | 871,346 | UBS AG LONDON |
11/02/2022 | — | (h) | |||||||||||
| USD |
269,998 | JPY | 38,945,850 | Bank of New York Mellon |
11/02/2022 | 157 | ||||||||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 September 30, 2022 (continued):
| UNREALIZED | ||||||||||||||||||
| CURRENCY PURCHASED |
CURRENCY SOLD | COUNTERPARTY |
SETTLEMENT DATE |
APPRECIATION (DEPRECIATION) ($) |
||||||||||||||
| USD |
2,532 | JPY | 364,823 | Barclays Bank plc |
11/02/2022 | 5 | ||||||||||||
| USD |
57,143 | JPY | 8,243,440 | Barclays Bank plc |
11/02/2022 | 27 | ||||||||||||
| USD |
270,042 | JPY | 38,945,850 | Deutsche Bank AG |
11/02/2022 | 201 | ||||||||||||
| USD |
270,271 | JPY | 38,945,850 | Morgan Stanley & Co. |
11/02/2022 | 431 | ||||||||||||
| USD |
270,110 | JPY | 38,945,850 | Toronto-Dominion Bank (The) |
11/02/2022 | 270 | ||||||||||||
| USD |
270,164 | JPY | 38,945,856 | UBS AG LONDON |
11/02/2022 | 323 | ||||||||||||
| USD |
2,711 | NOK | 29,255 | Citibank, NA |
11/02/2022 | 24 | ||||||||||||
| USD |
549 | NZD | 970 | Deutsche Bank AG |
11/02/2022 | 6 | ||||||||||||
| USD |
16,422 | NZD | 28,920 | Standard Chartered Bank |
11/02/2022 | 236 | ||||||||||||
| USD |
278 | PLN | 1,380 | UBS AG LONDON |
11/02/2022 | 1 | ||||||||||||
| USD |
265 | SGD | 380 | Deutsche Bank AG |
11/02/2022 | — | (h) | |||||||||||
| USD |
25,362 | SGD | 36,402 | Toronto-Dominion Bank (The) |
11/02/2022 | 10 | ||||||||||||
| USD |
407 | CNH | 2,901 | Bank of America, NA |
11/23/2022 | — | (h) | |||||||||||
| USD |
804 | CNH | 5,537 | Barclays Bank plc |
11/23/2022 | 28 | ||||||||||||
| USD |
47,934 | CNH | 325,426 | Goldman Sachs International |
11/23/2022 | 2,312 | ||||||||||||
| USD |
480 | CNH | 3,362 | HSBC Bank plc |
11/23/2022 | 9 | ||||||||||||
| USD |
1,762 | CNH | 12,159 | Morgan Stanley & Co. |
11/23/2022 | 58 | ||||||||||||
| USD |
356 | CLP | 319,372 | Citibank, NA |
12/21/2022 | 32 | ||||||||||||
| USD |
3,320 | IDR | 49,417,649 | Citibank, NA |
12/21/2022 | 83 | ||||||||||||
| USD |
60,619 | IDR | 906,740,752 | Morgan Stanley & Co. |
12/21/2022 | 1,227 | ||||||||||||
| USD |
853 | ILS | 2,907 | Citibank, NA |
12/21/2022 | 32 | ||||||||||||
| USD |
139,745 | KRW | 194,412,410 | Morgan Stanley & Co. |
12/21/2022 | 3,427 | ||||||||||||
| KRW |
283,633 | USD | 198 | Morgan Stanley & Co. |
12/21/2022 | 1 | ||||||||||||
| KRW |
8,440,220 | USD | 5,908 | UBS AG LONDON |
12/21/2022 | 11 | ||||||||||||
| USD |
1,373 | MYR | 6,136 | Barclays Bank plc |
12/21/2022 | 44 | ||||||||||||
| USD |
44,954 | MYR | 203,687 | Goldman Sachs International |
12/21/2022 | 860 | ||||||||||||
| USD |
310 | PEN | 1,205 | Morgan Stanley & Co. |
12/21/2022 | 10 | ||||||||||||
| USD |
1,033 | SGD | 1,454 | Citibank, NA |
12/21/2022 | 20 | ||||||||||||
| USD |
1,320 | THB | 48,057 | Morgan Stanley & Co. |
12/21/2022 | 39 | ||||||||||||
| USD |
37,700 | THB | 1,372,658 | Morgan Stanley & Co. |
12/21/2022 | 1,095 | ||||||||||||
|
|
|
|||||||||||||||||
| Total unrealized appreciation |
171,725 | |||||||||||||||||
|
|
|
|||||||||||||||||
| AUD |
47,445 | USD | 30,725 | Bank of America, NA |
10/04/2022 | (377 | ) | |||||||||||
| AUD |
47,445 | USD | 30,720 | Bank of New York Mellon |
10/04/2022 | (372 | ) | |||||||||||
| AUD |
47,445 | USD | 30,725 | Deutsche Bank AG |
10/04/2022 | (377 | ) | |||||||||||
| AUD |
602 | USD | 419 | Goldman Sachs International |
10/04/2022 | (34 | ) | |||||||||||
| AUD |
47,445 | USD | 30,660 | Toronto-Dominion Bank (The) |
10/04/2022 | (312 | ) | |||||||||||
| AUD |
47,443 | USD | 30,629 | UBS AG LONDON |
10/04/2022 | (282 | ) | |||||||||||
| CAD |
286 | USD | 209 | Bank of America, NA |
10/04/2022 | (1 | ) | |||||||||||
| CAD |
2,335 | USD | 1,803 | Barclays Bank plc |
10/04/2022 | (113 | ) | |||||||||||
| CAD |
700 | USD | 534 | HSBC Bank plc |
10/04/2022 | (28 | ) | |||||||||||
| CHF |
5,872 | USD | 5,987 | Morgan Stanley & Co. |
10/04/2022 | (37 | ) | |||||||||||
| CHF |
4,305 | USD | 4,391 | Morgan Stanley & Co. |
10/04/2022 | (28 | ) | |||||||||||
| CHF |
100 | USD | 103 | Morgan Stanley & Co. |
10/04/2022 | (1 | ) | |||||||||||
| USD |
700 | EUR | 718 | Bank of America, NA |
10/04/2022 | (4 | ) | |||||||||||
| EUR |
988 | USD | 1,001 | Barclays Bank plc |
10/04/2022 | (32 | ) | |||||||||||
| EUR |
7,621 | USD | 7,680 | HSBC Bank plc |
10/04/2022 | (210 | ) | |||||||||||
| USD |
36 | EUR | 37 | Morgan Stanley & Co. |
10/04/2022 | (1 | ) | |||||||||||
| EUR |
16,000 | USD | 16,042 | Morgan Stanley & Co. |
10/04/2022 | (361 | ) | |||||||||||
| SEK |
850 | EUR | 80 | Morgan Stanley & Co. |
10/04/2022 | (2 | ) | |||||||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 September 30, 2022 (continued):
| UNREALIZED | ||||||||||||||||||
| CURRENCY PURCHASED |
CURRENCY SOLD | COUNTERPARTY |
SETTLEMENT DATE |
APPRECIATION (DEPRECIATION) ($) |
||||||||||||||
| EUR |
11,930 | USD | 12,022 | UBS AG LONDON |
10/04/2022 | (330 | ) | |||||||||||
| EUR |
950 | USD | 953 | UBS AG LONDON |
10/04/2022 | (22 | ) | |||||||||||
| EUR |
698 | USD | 700 | UBS AG LONDON |
10/04/2022 | (16 | ) | |||||||||||
| EUR |
78 | SEK | 850 | Westpac Banking Corp. |
10/04/2022 | (— | )(h) | |||||||||||
| GBP |
1,480 | USD | 1,723 | HSBC Bank plc |
10/04/2022 | (71 | ) | |||||||||||
| GBP |
30 | USD | 35 | Morgan Stanley & Co. |
10/04/2022 | (1 | ) | |||||||||||
| GBP |
2,000 | USD | 2,322 | Morgan Stanley & Co. |
10/04/2022 | (89 | ) | |||||||||||
| GBP |
870 | USD | 1,007 | Morgan Stanley & Co. |
10/04/2022 | (36 | ) | |||||||||||
| GBP |
4,420 | USD | 5,146 | UBS AG LONDON |
10/04/2022 | (211 | ) | |||||||||||
| HUF |
871,346 | USD | 2,019 | UBS AG LONDON |
10/04/2022 | (— | )(h) | |||||||||||
| JPY |
38,945,850 | USD | 269,279 | Bank of New York Mellon |
10/04/2022 | (186 | ) | |||||||||||
| JPY |
8,243,440 | USD | 56,989 | Barclays Bank plc |
10/04/2022 | (32 | ) | |||||||||||
| JPY |
38,945,850 | USD | 269,324 | Deutsche Bank AG |
10/04/2022 | (231 | ) | |||||||||||
| JPY |
38,945,850 | USD | 269,553 | Morgan Stanley & Co. |
10/04/2022 | (460 | ) | |||||||||||
| JPY |
38,945,850 | USD | 269,391 | Toronto-Dominion Bank (The) |
10/04/2022 | (298 | ) | |||||||||||
| JPY |
38,945,856 | USD | 269,447 | UBS AG LONDON |
10/04/2022 | (354 | ) | |||||||||||
| NOK |
29,255 | USD | 2,711 | Citibank, NA |
10/04/2022 | (24 | ) | |||||||||||
| NZD |
28,920 | USD | 16,421 | Standard Chartered Bank |
10/04/2022 | (236 | ) | |||||||||||
| SEK |
840 | USD | 79 | Morgan Stanley & Co. |
10/04/2022 | (3 | ) | |||||||||||
| SGD |
36,402 | USD | 25,356 | Toronto-Dominion Bank (The) |
10/04/2022 | (11 | ) | |||||||||||
| CNY |
1,500 | USD | 213 | Brown Brothers Harriman & Co. |
10/12/2022 | (1 | ) | |||||||||||
| CNY |
21,000 | USD | 2,996 | Brown Brothers Harriman & Co. |
10/12/2022 | (34 | ) | |||||||||||
| CNY |
19,000 | USD | 2,747 | Brown Brothers Harriman & Co. |
10/12/2022 | (67 | ) | |||||||||||
| CNY |
22,000 | USD | 3,174 | Brown Brothers Harriman & Co. |
10/12/2022 | (71 | ) | |||||||||||
| CNY |
8,000 | USD | 1,150 | Brown Brothers Harriman & Co. |
10/12/2022 | (21 | ) | |||||||||||
| CNY |
32,000 | USD | 4,639 | Brown Brothers Harriman & Co. |
10/12/2022 | (125 | ) | |||||||||||
| CNY |
15,000 | USD | 2,131 | Brown Brothers Harriman & Co. |
10/12/2022 | (15 | ) | |||||||||||
| AUD |
289 | USD | 186 | Morgan Stanley & Co. |
10/19/2022 | (1 | ) | |||||||||||
| CAD |
430 | USD | 329 | Barclays Bank plc |
10/19/2022 | (17 | ) | |||||||||||
| EUR |
3,719 | USD | 3,752 | Barclays Bank plc |
10/19/2022 | (103 | ) | |||||||||||
| GBP |
1,107 | USD | 1,290 | Barclays Bank plc |
10/19/2022 | (53 | ) | |||||||||||
| USD |
4,781 | DKK | 36,340 | Bank of America, NA |
11/01/2022 | (18 | ) | |||||||||||
| AUD |
602 | USD | 392 | Goldman Sachs International |
11/02/2022 | (6 | ) | |||||||||||
| CAD |
3,034 | USD | 2,222 | Citibank, NA |
11/02/2022 | (26 | ) | |||||||||||
| CHF |
125 | EUR | 131 | Morgan Stanley & Co. |
11/02/2022 | (1 | ) | |||||||||||
| USD |
413,053 | CNY | 2,929,600 | Brown Brothers Harriman & Co. |
11/02/2022 | (586 | ) | |||||||||||
| USD |
413,113 | CNY | 2,929,600 | Brown Brothers Harriman & Co. |
11/02/2022 | (526 | ) | |||||||||||
| USD |
34,292 | CNY | 243,000 | Brown Brothers Harriman & Co. |
11/02/2022 | (18 | ) | |||||||||||
| USD |
4,221 | CZK | 106,479 | Morgan Stanley & Co. |
11/02/2022 | (8 | ) | |||||||||||
| USD |
1,267 | DKK | 9,630 | Morgan Stanley & Co. |
11/02/2022 | (5 | ) | |||||||||||
| USD |
4,531 | DKK | 34,422 | Morgan Stanley & Co. |
11/02/2022 | (16 | ) | |||||||||||
| USD |
87,777 | EUR | 90,320 | Citibank, NA |
11/02/2022 | (924 | ) | |||||||||||
| USD |
39,569 | EUR | 40,716 | Citibank, NA |
11/02/2022 | (417 | ) | |||||||||||
| USD |
11,344 | EUR | 11,734 | Morgan Stanley & Co. |
11/02/2022 | (179 | ) | |||||||||||
| USD |
472,873 | EUR | 482,829 | Morgan Stanley & Co. |
11/02/2022 | (1,299 | ) | |||||||||||
| USD |
39,324 | EUR | 40,716 | Morgan Stanley & Co. |
11/02/2022 | (662 | ) | |||||||||||
| USD |
87,232 | EUR | 90,320 | Morgan Stanley & Co. |
11/02/2022 | (1,468 | ) | |||||||||||
| USD |
165,097 | EUR | 168,573 | Morgan Stanley & Co. |
11/02/2022 | (454 | ) | |||||||||||
| USD |
23,812 | EUR | 24,313 | Morgan Stanley & Co. |
11/02/2022 | (65 | ) | |||||||||||
| USD |
164,408 | EUR | 168,075 | UBS AG LONDON |
11/02/2022 | (654 | ) | |||||||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 September 30, 2022 (continued):
| UNREALIZED | ||||||||||||||||||
| CURRENCY PURCHASED |
CURRENCY SOLD | COUNTERPARTY |
SETTLEMENT DATE |
APPRECIATION (DEPRECIATION) ($) |
||||||||||||||
| USD |
240 | EUR | 245 | UBS AG LONDON |
11/02/2022 | (— | )(h) | |||||||||||
| USD |
164,420 | EUR | 168,075 | Westpac Banking Corp. |
11/02/2022 | (641 | ) | |||||||||||
| USD |
34,815 | GBP | 31,269 | Morgan Stanley & Co. |
11/02/2022 | (121 | ) | |||||||||||
| USD |
1,009 | GBP | 906 | Morgan Stanley & Co. |
11/02/2022 | (4 | ) | |||||||||||
| USD |
18,016 | GBP | 16,644 | Morgan Stanley & Co. |
11/02/2022 | (579 | ) | |||||||||||
| USD |
23,953 | GBP | 22,128 | Morgan Stanley & Co. |
11/02/2022 | (770 | ) | |||||||||||
| USD |
83,854 | GBP | 75,312 | Morgan Stanley & Co. |
11/02/2022 | (291 | ) | |||||||||||
| USD |
34,611 | GBP | 31,175 | UBS AG LONDON |
11/02/2022 | (220 | ) | |||||||||||
| USD |
34,661 | GBP | 31,175 | Westpac Banking Corp. |
11/02/2022 | (170 | ) | |||||||||||
| USD |
1,951 | HKD | 15,302 | Standard Chartered Bank |
11/02/2022 | (— | )(h) | |||||||||||
| USD |
25,018 | JPY | 3,611,570 | Deutsche Bank AG |
11/02/2022 | (6 | ) | |||||||||||
| USD |
5,211 | PLN | 25,978 | UBS AG LONDON |
11/02/2022 | (4 | ) | |||||||||||
| USD |
2,388 | RON | 12,160 | UBS AG LONDON |
11/02/2022 | (10 | ) | |||||||||||
| USD |
4,121 | SEK | 46,020 | Morgan Stanley & Co. |
11/02/2022 | (31 | ) | |||||||||||
| USD |
4,759 | SEK | 53,145 | Morgan Stanley & Co. |
11/02/2022 | (36 | ) | |||||||||||
| USD |
91 | SEK | 1,010 | UBS AG LONDON |
11/02/2022 | (— | )(h) | |||||||||||
| KRW |
345,430 | USD | 250 | Barclays Bank plc |
12/21/2022 | (8 | ) | |||||||||||
| KRW |
1,280,818 | USD | 954 | Citibank, NA |
12/21/2022 | (56 | ) | |||||||||||
| USD |
1,424 | MXN | 29,171 | HSBC Bank plc |
12/21/2022 | (4 | ) | |||||||||||
| USD |
1,297 | THB | 48,700 | Bank of America, NA |
12/21/2022 | (2 | ) | |||||||||||
|
|
|
|||||||||||||||||
| Total unrealized depreciation |
|
(15,976 | ) | |||||||||||||||
|
|
|
|||||||||||||||||
| Net unrealized appreciation (depreciation) |
155,749 | |||||||||||||||||
|
|
|
|||||||||||||||||
OTC Interest Rate Swaps contracts outstanding as of September 30, 2022:
| FLOATING RATE INDEX (a) |
FIXED RATE | PAY/ RECEIVE FLOATING RATE |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
UPFRONT PAYMENTS (RECEIPTS) ($) |
UNREALIZED APPRECIATION (DEPRECIATION) ($) |
VALUE ($) |
||||||||||||||||||||||||
| Bank Negara Malaysia KLIBOR Interbank Offered Rate Fixing 3 Month |
|
2.44% quarterly |
|
Pay | |
Morgan Stanley & Co. |
|
11/17/2030 | MYR | 5,000 | (— | )(h) | (137 | ) | (137 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Total |
(— | )(h) | (137 | ) | (137 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Centrally Cleared Interest Rate Swap contracts outstanding as of September 30, 2022:
| FLOATING RATE INDEX (a) |
FIXED RATE |
PAY/RECEIVE FLOATING RATE |
MATURITY DATE |
NOTIONAL AMOUNT |
UPFRONT PAYMENTS (RECEIPTS) ($) |
UNREALIZED APPRECIATION (DEPRECIATION) ($) |
VALUE ($) | |||||||||||||||||
| Bank of Japan Final Result: Unsecured Overnight Call Rate TONAR |
(0.05)% annually | Pay | 07/08/2023 | JPY | 360,000 | 3 | (4 | ) | (1 | ) | ||||||||||||||
| Bank of Japan Final Result: Unsecured Overnight Call Rate TONAR |
(0.04)% annually | Pay | 03/16/2024 | JPY | 6,767,035 | — | (h) | (75 | ) | (75 | ) | |||||||||||||
| Bank of Japan Final Result: Unsecured Overnight Call Rate TONAR |
(0.05)% annually | Pay | 07/08/2024 | JPY | 600,000 | (11 | ) | 1 | (10 | ) | ||||||||||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Centrally Cleared Interest Rate Swap contracts outstanding as of September 30, 2022 (continued):
| FLOATING RATE INDEX (a) |
FIXED RATE |
PAY/RECEIVE FLOATING RATE |
MATURITY DATE |
NOTIONAL AMOUNT |
UPFRONT PAYMENTS (RECEIPTS) ($) |
UNREALIZED APPRECIATION (DEPRECIATION) ($) |
VALUE ($) | |||||||||||||||||
| Bank of Japan Final Result: Unsecured Overnight Call Rate TONAR |
(0.04)% annually | Pay | 03/16/2025 | JPY | 1,700,000 | — | (h) | (49 | ) | (49 | ) | |||||||||||||
| Bank of Japan Final Result: Unsecured Overnight Call Rate TONAR |
(0.03)% annually | Pay | 03/16/2025 | JPY | 13,174,989 | 1 | (335 | ) | (334 | ) | ||||||||||||||
| Bank of Japan Final Result: Unsecured Overnight Call Rate TONAR |
0.10% annually | Pay | 06/16/2025 | JPY | 2,000,000 | — | (h) | (10 | ) | (10 | ) | |||||||||||||
| Bank of Japan Final Result: Unsecured Overnight Call Rate TONAR |
0.08% annually | Pay | 08/16/2025 | JPY | 2,000,000 | — | (h) | (26 | ) | (26 | ) | |||||||||||||
| Bank of Japan Final Result: Unsecured Overnight Call Rate TONAR |
0.10% semi-annually | Pay | 12/03/2025 | JPY | 140,000 | (— | )(h) | (2 | ) | (2 | ) | |||||||||||||
| Bank of Japan Final Result: Unsecured Overnight Call Rate TONAR |
0.30% semi-annually | Pay | 12/03/2030 | JPY | 143,500 | (— | )(h) | (8 | ) | (8 | ) | |||||||||||||
| Bank of Japan Final Result: Unsecured Overnight Call Rate TONAR |
0.00% annually | Pay | 07/08/2031 | JPY | 95,000 | (1 | ) | (24 | ) | (25 | ) | |||||||||||||
| Bank of Japan Final Result: Unsecured Overnight Call Rate TONAR |
0.15% annually | Pay | 07/08/2037 | JPY | 135,000 | (78 | ) | 3 | (75 | ) | ||||||||||||||
| Bank of Japan Final Result: Unsecured Overnight Call Rate TONAR |
0.25% annually | Pay | 07/08/2041 | JPY | 40,000 | (— | )(h) | (31 | ) | (31 | ) | |||||||||||||
| Bank of Japan Final Result: Unsecured Overnight Call Rate TONAR |
0.45% annually | Pay | 07/08/2051 | JPY | 35,000 | (— | )(h) | (39 | ) | (39 | ) | |||||||||||||
| BBSW ASX Australian 6 Month |
2.50% semi-annually | Pay | 12/03/2025 | AUD | 3,390 | 269 | (370 | ) | (101 | ) | ||||||||||||||
| BBSW ASX Australian 6 Month |
2.75% semi-annually | Pay | 12/03/2030 | AUD | 1,035 | 144 | (215 | ) | (71 | ) | ||||||||||||||
| Canada Bankers Acceptances 3 Month |
2.45% semi-annually | Pay | 12/03/2022 | CAD | 4,125 | 136 | (145 | ) | (9 | ) | ||||||||||||||
| Canada Bankers Acceptances 3 Month |
2.50% semi-annually | Pay | 12/03/2024 | CAD | 7,410 | (126 | ) | (63 | ) | (189 | ) | |||||||||||||
| Canada Bankers Acceptances 3 Month |
2.50% semi-annually | Pay | 12/03/2025 | CAD | 8,915 | 563 | (847 | ) | (284 | ) | ||||||||||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Centrally Cleared Interest Rate Swap contracts outstanding as of September 30, 2022 (continued):
| FLOATING RATE INDEX (a) |
FIXED RATE |
PAY/RECEIVE FLOATING RATE |
MATURITY DATE |
NOTIONAL AMOUNT |
UPFRONT PAYMENTS (RECEIPTS) ($) |
UNREALIZED APPRECIATION (DEPRECIATION) ($) |
VALUE ($) | |||||||||||||||||
| Canada Bankers Acceptances 3 Month |
2.60% semi-annually | Pay | 12/03/2027 | CAD | 3,510 | (75 | ) | (57 | ) | (132 | ) | |||||||||||||
| Canada Bankers Acceptances 3 Month |
2.65% semi-annually | Pay | 12/03/2030 | CAD | 4,555 | 434 | (673 | ) | (239 | ) | ||||||||||||||
| Canada Bankers Acceptances 3 Month |
2.75% semi-annually | Pay | 12/03/2037 | CAD | 660 | (40 | ) | (18 | ) | (58 | ) | |||||||||||||
| Canada Bankers Acceptances 3 Month |
2.80% semi-annually | Pay | 12/03/2040 | CAD | 1,585 | 308 | (462 | ) | (154 | ) | ||||||||||||||
| Canada Bankers Acceptances 3 Month |
2.80% semi-annually | Pay | 12/03/2049 | CAD | 1,245 | 322 | (450 | ) | (128 | ) | ||||||||||||||
| Canada Bankers Acceptances 3 Month |
2.80% semi-annually | Pay | 12/03/2051 | CAD | 560 | (38 | ) | (18 | ) | (56 | ) | |||||||||||||
| CFETS China Fixing Repo Rates 7 Day |
2.81% quarterly | Pay | 04/12/2026 | CNY | 3,590 | — | (h) | 8 | 8 | |||||||||||||||
| Colombia IBR Overnight Nominal Interbank Reference Rate |
4.44% quarterly | Pay | 09/10/2030 | COP | 2,257,000 | — | (h) | (148 | ) | (148 | ) | |||||||||||||
| ESTR Volume Weighted Trimmed Mean Rate |
1.20% annually | Pay | 05/11/2052 | EUR | 1,810 | (182 | ) | (232 | ) | (414 | ) | |||||||||||||
| ICE LIBOR USD 3 Month |
1.50% semi-annually | Pay | 12/15/2028 | USD | 27,300 | 151 | (3,786 | ) | (3,635 | ) | ||||||||||||||
| KRW Certificate of Deposit 3 Month |
3.15% quarterly | Pay | 08/04/2024 | KRW | 1,448,000 | — | (h) | (19 | ) | (19 | ) | |||||||||||||
| KRW Certificate of Deposit 3 Month |
1.00% quarterly | Pay | 09/01/2025 | KRW | 2,400,000 | — | (h) | (150 | ) | (150 | ) | |||||||||||||
| KRW Certificate of Deposit 3 Month |
1.07% quarterly | Pay | 04/27/2030 | KRW | 200,000 | (8 | ) | (18 | ) | (26 | ) | |||||||||||||
| KRW Certificate of Deposit 3 Month |
0.97% quarterly | Pay | 08/14/2030 | KRW | 2,100,000 | — | (h) | (297 | ) | (297 | ) | |||||||||||||
| KRW Certificate of Deposit 3 Month |
0.94% quarterly | Pay | 08/19/2030 | KRW | 5,075,000 | (83 | ) | (632 | ) | (715 | ) | |||||||||||||
| KRW Certificate of Deposit 3 Month |
2.82% quarterly | Pay | 04/28/2032 | KRW | 1,245,595 | (13 | ) | (56 | ) | (69 | ) | |||||||||||||
| SONIA Interest Rate Benchmark |
0.45% annually | Pay | 03/31/2026 | GBP | 1,250 | — | (h) | (216 | ) | (216 | ) | |||||||||||||
| SONIA Interest Rate Benchmark |
1.25% annually | Pay | 05/08/2046 | GBP | 2,080 | 332 | (1,226 | ) | (894 | ) | ||||||||||||||
| Swiss Average Rate ON Intraday Value |
0.13% annually | Pay | 11/05/2031 | CHF | 150 | 2 | (26 | ) | (24 | ) | ||||||||||||||
| Thailand Overnight Repo Rate ON |
1.15% quarterly | Pay | 11/19/2030 | THB | 31,000 | — | (h) | (117 | ) | (117 | ) | |||||||||||||
| United States FEDEF |
0.10% maturity | Receive | 01/13/2023 | USD | 442,600 | 37 | 7,508 | 7,545 | ||||||||||||||||
| United States FEDEF |
0.20% maturity | Receive | 04/29/2023 | USD | 22,600 | 1 | 636 | 637 | ||||||||||||||||
| United States SOFR |
1.75% annually | Pay | 06/15/2025 | USD | 53,500 | (1,423 | ) | (1,772 | ) | (3,195 | ) | |||||||||||||
| United States SOFR |
1.22% annually | Receive | 08/15/2028 | USD | 5,797 | — | (h) | 773 | 773 | |||||||||||||||
| United States SOFR |
1.75% annually | Pay | 06/15/2032 | USD | 3,600 | (381 | ) | (153 | ) | (534 | ) | |||||||||||||
|
|
|
|||||||||||||||||||||||
| Total |
244 | (3,840 | ) | (3,596 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| (a) | Value of floating rate index as of September 30, 2022 was as follows: |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| FLOATING RATE INDEX |
||||
| Bank Negara Malaysia KLIBOR Interbank Offered rate Fixing 3 Month |
3.06 | % | ||
| Bank of Japan Final Result: Unsecured Overnight Call Rate TONAR |
(0.73 | )% | ||
| BBSW ASX Australian 6 Month |
3.57 | % | ||
| Canada Bankers Acceptances 3 Month |
4.20 | % | ||
| CFETS China Fixing Repo Rates 7 Day |
2.06 | % | ||
| Colombia IBR Overnight Nominal Interbank Reference Rate |
9.40 | % | ||
| ESTR Volume Weighted Trimmed Mean Rate |
0.64 | % | ||
| ICE LIBOR USD 3 Month |
3.75 | % | ||
| KRW Certificate of Deposit 3 Month |
3.24 | % | ||
| SONIA Interest Rate Benchmark |
2.19 | % | ||
| Swiss Average Rate ON Intraday Value |
0.44 | % | ||
| Thailand Overnight Repo Rate ON |
0.98 | % | ||
| United States FEDEF |
3.08 | % | ||
| United States SOFR |
2.98 | % | ||
Written Call Option contracts on securities as of September 30, 2022:
| DESCRIPTION |
COUNTERPARTY | NUMBER OF CONTRACTS |
NOTIONAL AMOUNT |
EXERCISE PRICE |
EXPIRATION DATE |
VALUE | ||||||||||||||||||||
| FNMA or FHLMC, Single Family, 30 years, TBA, 4.00%, 10/13/2052 |
BofA Securities, Inc. |
(6,500 | ) | USD | (1,679 | ) | USD | 93.03 | 10/06/2022 | $ | (18 | ) | ||||||||||||||
| FNMA or FHLMC, Single Family, 30 years, TBA, 3.00%, 11/14/2052 |
BofA Securities, Inc. |
(10,900 | ) | USD | (1,055 | ) | USD | 91.95 | 11/07/2022 | (11 | ) | |||||||||||||||
| FNMA or FHLMC, Single Family, 30 years, TBA, 3.00%, 11/14/2052 |
BofA Securities, Inc. |
(23,600 | ) | USD | (1,615 | ) | USD | 92.50 | 11/07/2022 | (17 | ) | |||||||||||||||
| FNMA or FHLMC, Single Family, 30 years, TBA, 3.00%, 11/14/2052 |
Citigroup Global Markets, Inc. |
(15,000 | ) | USD | (1,438 | ) | USD | 91.97 | 11/07/2022 | (16 | ) | |||||||||||||||
| FNMA or FHLMC, Single Family, 30 years, TBA, 3.00%, 11/14/2052 |
Citigroup Global Markets, Inc. |
(18,500 | ) | USD | (712 | ) | USD | 93.36 | 11/07/2022 | (8 | ) | |||||||||||||||
| FNMA or FHLMC, Single Family, 30 years, TBA, 3.00%, 11/14/2052 |
Citigroup Global Markets, Inc. |
(20,000 | ) | USD | (1,418 | ) | USD | 92.45 | 11/07/2022 | (15 | ) | |||||||||||||||
|
|
|
|||||||||||||||||||||||||
| Total Written Options Contracts (Premiums Received $825) |
|
$ | (86 | ) | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
| ACES | — | Alternative Credit Enhancement Securities | ||
| ARM | — | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of September 30, 2022. | ||
| ASX | — | Australian Stock Exchange | ||
| BAM | — | Insured by Build America Mutual | ||
| BBSW | — | Bank Bill Swap Rate | ||
| BofA | — | Bank of America | ||
| CFETS | — | China Foreign Exchange Trade System | ||
| CLO | — | Collateralized Loan Obligations | ||
| CMT | — | Constant Maturity Treasury | ||
| CPI | — | Consumer Price Index | ||
| DN | — | Discount Notes | ||
| EURIBOR | — | Euro Interbank Offered Rate | ||
| FEDEF | — | Federal Fund Effective Rate (Continuous Series) | ||
| FHA | — | Federal Housing Administration | ||
| FHLB | — | Federal Home Loan Bank | ||
| FHLMC | — | Federal Home Loan Mortgage Corp. | ||
| FNMA | — | Federal National Mortgage Association | ||
| GNMA | — | Government National Mortgage Association | ||
| GO | — | General Obligation | ||
| IBR | — | Indicador Bancario de Referencia | ||
| ICE | — | Intercontinental Exchange | ||
| IF | — | Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index. The interest rate shown is the rate in effect as of September 30, 2022. The rate may be subject to a cap and floor. | ||
| IO | — | Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. | ||
| KLIBOR | — | Kuala Lumpur Interbank Offered Rate | ||
| LIBOR | — | London Interbank Offered Rate | ||
| OTC | — | Over the Counter | ||
| OYJ | — | Public Limited Company | ||
| PO | — | Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. | ||
| REIT | — | Real Estate Investment Trust | ||
| 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 |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS (continued)
| Rev. | — | Revenue | ||
| SOFR | — | Secured Overnight Financing Rate | ||
| SONIA | — | Sterling Overnight Interbank Average Rate | ||
| STRIP | — | Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. | ||
| SUB | — | Step-Up Bond. The interest rate shown is the rate in effect as of September 30, 2022. | ||
| TBA | — | To Be Announced | ||
| TONAR | — | Tokyo Overnight Average Rate | ||
| VA | — | Veterans Administration | ||
| (e) | — | Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. | ||
| (g) | — | Amount rounds to less than 0.05%. | ||
| (h) | — | Amount rounds to less than 500 shares or principal/ $500. | ||
| (t) | — | The date shown represents the earliest of the next put date or final maturity date. | ||
| (w) | — | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | ||
| (x) | — | Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of September 30, 2022. | ||
| (z) | — | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of September 30, 2022. | ||
| (aa) | — | Variable or floating rate security, linked to the referenced benchmark. | ||
| The interest rate shown is the current rate as of September 30, 2022. | ||||
| (ee) | — | Approximately $393 of these investments are restricted as collateral for swaps to Citigroup Clearing. | ||
| (ff) | — | Approximately $468 of these investments are restricted as collateral for futures to Citigroup Global Markets Inc. | ||
| (hh) | — | Approximately $18,295 of these investments are restricted as collateral for TBAs to various brokers. | ||
| (ii) | — | Approximately $30 of these investments are restricted as collateral for forwards to Bank of America NA. | ||
| (jj) | — | Approximately $191 of these investments are restricted as collateral for bi-lateral derivatives to Barclays Bank PLC. | ||
| * | — | The cost of securities is substantially the same for federal income tax purposes. | ||
| AUD | — | Australian Dollar | ||
| CAD | — | Canadian Dollar | ||
| CHF | — | Swiss Franc | ||
| CLP | — | Chilean Peso | ||
| CNH | — | Chinese Yuan | ||
| CNY | — | Chinese Yuan | ||
| COP | — | Colombian Peso | ||
| CZK | — | Czech Koruna | ||
| DKK | — | Danish Krone | ||
| EUR | — | Euro |
Six Circles Global Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS (continued)
| GBP | — | British Pound | ||
| HKD | — | Hong Kong Dollar | ||
| HUF | — | Hungarian Forint | ||
| IDR | — | Indonesian Rupiah | ||
| ILS | — | Israeli New Shekel | ||
| JPY | — | Japanese Yen | ||
| KRW | — | Korean Won | ||
| MXN | — | Mexican Peso | ||
| MYR | — | Malaysian Ringgit | ||
| NOK | — | Norwegian Krone | ||
| NZD | — | New Zealand Dollar | ||
| PEN | — | Peruvian Nuevo Sol | ||
| PLN | — | Polish Zloty | ||
| RON | — | Romanian Leu | ||
| SEK | — | Swedish Krona | ||
| SGD | — | Singapore Dollar | ||
| THB | — | Thai Baht | ||
| USD | — | United States Dollar |
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL AMOUNT ($) |
VALUE ($) | ||||||
| Corporate Bond — 0.0% (g) | ||||||||
| Consumer Non-cyclical — 0.0% (g) | ||||||||
| Healthcare - Services — 0.0% (g) | ||||||||
| Tower Health, Series 2020, 4.45%, 02/01/2050 (Cost $864) |
1,000 | 573 | ||||||
|
|
|
|||||||
| Municipal Bonds — 96.0% (t) | ||||||||
| Alabama — 2.5% | ||||||||
| Alabama Economic Settlement Authority, BP Settlement, Series A, Rev., 4.00%, 09/15/2033 | 1,000 | 960 | ||||||
| Alabama Federal Aid Highway Finance Authority, Series A, Rev., 5.00%, 09/01/2035 (p) | 2,000 | 2,131 | ||||||
| Alabama Federal Aid Highway Finance Authority, Garvee, Series A, Rev., 5.00%, 09/01/2035 (p) | 1,000 | 1,076 | ||||||
| Alabama Housing Finance Authority, South Oak Residence Project, Rev., 1.25%, 12/01/2025 (z) | 4,270 | 4,032 | ||||||
| Alabama Public School and College Authority, Social Bonds, | ||||||||
| Series A, Rev., 5.00%, 11/01/2037 | 6,400 | 6,879 | ||||||
| Series A, Rev., 5.00%, 11/01/2039 | 10,000 | 10,694 | ||||||
| Alabama Special Care Facilities Financing Authority, Ascension Senior Credit Group, Series C, Rev., 5.00%, 11/15/2046 | 5,000 | 4,997 | ||||||
| Black Belt Energy Gas District, | ||||||||
| Rev., LIQ: Royal Bank of Canada, 4.00%, 06/01/2051 (z) | 14,030 | 13,493 | ||||||
| Series B1, Rev., 4.00%, 04/01/2053 (z) | 2,000 | 1,926 | ||||||
| Series B2, Rev., (SIFMA Municipal Swap Index + 0.65%), 3.11%, 04/01/2053 (aa) | 9,250 | 9,298 | ||||||
| Series D1, Rev., LIQ: Royal Bank of Canada, 4.00%, 07/01/2052 (z) | 1,930 | 1,912 | ||||||
| Black Belt Energy Gas District, Gas Project Bonds Project No. 7, Rev., 4.00%, 10/01/2052 (z) | 10,110 | 9,847 | ||||||
| Black Belt Energy Gas District, Gas Project No. 8, Series A, Rev., 4.00%, 12/01/2052 (z) | 3,410 | 3,271 | ||||||
| Black Belt Energy Gas District, Project No. 4, Series A1, Rev., 4.00%, 12/01/2049 (z) | 7,810 | 7,737 | ||||||
| Black Belt Energy Gas District, Project No. 5, Series A1, Rev., 4.00%, 10/01/2049 (z) | 5,000 | 4,915 | ||||||
| Black Belt Energy Gas District, Project No. 6, Series B, Rev., 4.00%, 10/01/2052 (z) | 6,505 | 6,336 | ||||||
| City of Birmingham, Warrants, Series A, GO, 4.00%, 06/01/2032 | 4,075 | 4,130 | ||||||
| County of Jefferson, Sewer Revenue, Senior Lien, Warrants, Series A, Rev., AGM, 5.50%, 10/01/2053 | 500 | 517 | ||||||
| County of Jefferson, Sewer Revenue, Subordinated Lien, Series D, Rev., 6.50%, 10/01/2053 | 220 | 236 | ||||||
| Health Care Authority of the City of Huntsville, Health System, | ||||||||
| Series B1, Rev., 4.00%, 06/01/2045 | 1,750 | 1,505 | ||||||
| Series B1, Rev., 5.00%, 06/01/2038 | 1,000 | 1,019 | ||||||
| Hoover Industrial Development Board, Green Bonds, Rev., AMT, 6.38%, 11/01/2050 (z) | 2,375 | 2,603 | ||||||
| Selma Industrial Development Board, International Paper Co. Project, Rev., 1.38%, 05/01/2034 (z) | 1,000 | 930 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Alabama — continued | ||||||||
| Southeast Alabama Gas Supply District (The), Project No. 2, Series A, Rev., 4.00%, 06/01/2049 (z) | 100 | 100 | ||||||
| Southeast Energy Authority A Cooperative District, Series B1, Rev., 5.00%, 05/01/2053 (z) | 1,795 | 1,796 | ||||||
| Southeast Energy Authority A Cooperative District, Project 1, Series A, Rev., 4.00%, 11/01/2051 (z) | 4,580 | 4,351 | ||||||
| Southeast Energy Authority A Cooperative District, Project 2, Series B, Rev., 4.00%, 12/01/2051 (z) | 6,000 | 5,565 | ||||||
| State of Alabama Docks Department, Docks, | ||||||||
| Series A, Rev., AGM, AMT, 5.00%, 10/01/2025 | 1,750 | 1,802 | ||||||
| Series A, Rev., AGM, AMT, 5.00%, 10/01/2026 | 1,890 | 1,963 | ||||||
| Tuscaloosa City Board of Education, Warrants, Rev., 5.00%, 08/01/2041 (p) | 2,525 | 2,678 | ||||||
| UAB Medicine Finance Authority, | ||||||||
| Rev., 5.00%, 09/01/2032 | 1,800 | 1,908 | ||||||
| Series B, Rev., 5.00%, 09/01/2041 | 1,750 | 1,765 | ||||||
| Water Works Board of the City of Birmingham, Series B, Rev., 5.00%, 01/01/2038 (p) | 1,630 | 1,638 | ||||||
|
|
|
|||||||
| 124,010 | ||||||||
|
|
|
|||||||
| Alaska — 0.2% | ||||||||
| Alaska Housing Finance Corp., | ||||||||
| Series A, Rev., 5.00%, 12/01/2032 (p) | 125 | 128 | ||||||
| Series A, Rev., 5.00%, 12/01/2033 (p) | 60 | 61 | ||||||
| Alaska Housing Finance Corp., General Mortgage, Series B, Rev., 3.25%, 12/01/2044 | 1,915 | 1,829 | ||||||
| Alaska Housing Finance Corp., Social Bonds State Capital, | ||||||||
| Rev., 5.00%, 06/01/2032 | 920 | 984 | ||||||
| Rev., 5.00%, 12/01/2032 | 945 | 1,008 | ||||||
| Northern Tobacco Securitization Corp., Senior, Series B2, Rev., Zero Coupon, 06/01/2066 | 9,475 | 846 | ||||||
| State of Alaska International Airports System, Series C, Rev., AMT, 5.00%, 10/01/2030 | 5,000 | 5,256 | ||||||
|
|
|
|||||||
| 10,112 | ||||||||
|
|
|
|||||||
| Arizona — 1.9% | ||||||||
| Arizona Board of Regents, Series A, Rev., 5.00%, 07/01/2043 | 2,480 | 2,586 | ||||||
| Arizona Health Facilities Authority, Banner Health, Series A, Rev., 5.00%, 01/01/2044 (p) | 1,055 | 1,078 | ||||||
| Arizona Health Facilities Authority, Scottsdale Lincoln Hospital Project, Rev., 5.00%, 12/01/2029 | 2,705 | 2,752 | ||||||
| Arizona Industrial Development Authority, | ||||||||
| Series 2019-2, Rev., 3.63%, 05/20/2033 | 1,186 | 1,084 | ||||||
| Series A, Rev., 4.00%, 09/01/2035 | 225 | 209 | ||||||
| Series A, Rev., 4.00%, 09/01/2036 | 250 | 230 | ||||||
| Arizona Industrial Development Authority, Greathearts Arizona Project, | ||||||||
| Series A, Rev., 5.00%, 07/01/2024 | 125 | 127 | ||||||
| Series A, Rev., 5.00%, 07/01/2026 | 125 | 130 | ||||||
| Arizona Industrial Development Authority, Jerome Facilities Project, Series B, Rev., 4.00%, 07/01/2051 | 2,000 | 1,530 | ||||||
| Arizona Industrial Development Authority, Macombs Facilities Project, Series A, Rev., 4.00%, 07/01/2061 | 1,000 | 728 | ||||||
| Arizona Industrial Development Authority, Phoenix Children’s Hospital, | ||||||||
| Rev., 5.00%, 02/01/2032 | 1,375 | 1,473 | ||||||
| Rev., 5.00%, 02/01/2033 | 2,000 | 2,116 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Arizona — continued |
||||||||
| Arizona Industrial Development Authority, Somerset Academy of Las Vegas, Aliante, | ||||||||
| Rev., 3.00%, 12/15/2031 (e) | 525 | 432 | ||||||
| Rev., 4.00%, 12/15/2041 (e) | 500 | 398 | ||||||
| Rev., 4.00%, 12/15/2051 (e) | 700 | 511 | ||||||
| Arizona State University, | ||||||||
| Series A, Rev., 5.00%, 07/01/2043 | 1,105 | 1,149 | ||||||
| Series C, Rev., 5.00%, 07/01/2042 | 2,000 | 2,068 | ||||||
| Arizona State University, Board of Regents, | ||||||||
| Series B, Rev., 5.00%, 07/01/2026 | 100 | 106 | ||||||
| Series B, Rev., 5.00%, 07/01/2042 | 2,000 | 2,085 | ||||||
| Chandler Industrial Development Authority, Intel Corp. Project, Rev., AMT, 5.00%, 09/01/2042 (z) | 3,000 | 3,105 | ||||||
| Chandler Industrial Development Authority, Intel Corp. Project, Rev., 2.40%, 12/01/2035 (z) | 775 | 767 | ||||||
| City of Bullhead Excise Taxes Revenue, Second Series, Rev., 0.60%, 07/01/2024 | 250 | 233 | ||||||
| City of Phoenix Civic Improvement Corp., | ||||||||
| Series A, Rev., 5.00%, 07/01/2029 | 1,000 | 1,075 | ||||||
| Series A, Rev., 5.00%, 07/01/2031 | 2,000 | 2,136 | ||||||
| Series A, Rev., 5.00%, 07/01/2032 | 1,000 | 1,060 | ||||||
| Series A, Rev., 5.00%, 07/01/2034 | 1,600 | 1,758 | ||||||
| City of Phoenix Civic Improvement Corp., Junior Lien, | ||||||||
| Series A, Rev., 5.00%, 07/01/2026 | 500 | 531 | ||||||
| Series A, Rev., 5.00%, 07/01/2029 | 1,515 | 1,671 | ||||||
| City of Phoenix, Civic Improvement Corp., | ||||||||
| Series A, Rev., 5.00%, 07/01/2034 | 2,185 | 2,296 | ||||||
| Series B, Rev., 5.00%, 07/01/2024 | 130 | 134 | ||||||
| City of Phoenix, Civic Improvement Corp., Airport Revenue, Junior Lien, | ||||||||
| Series A, Rev., 5.00%, 07/01/2044 | 1,000 | 1,021 | ||||||
| Series B, Rev., AMT, 5.00%, 07/01/2027 | 1,500 | 1,553 | ||||||
| Series B, Rev., AMT, 5.00%, 07/01/2033 | 2,000 | 2,050 | ||||||
| Industrial Development Authority of the County of Pima (The), American Leadership Academy, | ||||||||
| Rev., 4.00%, 06/15/2023 (e) | 1,290 | 1,282 | ||||||
| Rev., 4.00%, 06/15/2025 (e) | 2,555 | 2,487 | ||||||
| Rev., 4.00%, 06/15/2027 (e) | 2,680 | 2,546 | ||||||
| Rev., 4.00%, 06/15/2030 (e) | 1,510 | 1,376 | ||||||
| Industrial Development Authority of the County of Pima (The), Tucson Medical Center, Rev., 4.00%, 04/01/2035 | 825 | 764 | ||||||
| Industrial Development Authority of the County of Yavapai, The Republic Services, Inc. Project, Rev., 2.75%, 04/01/2029 (z) | 815 | 814 | ||||||
| Industrial Development Authority of the County of Yavapai, Waste Management, Inc. Project, Rev., AMT, 1.30%, 06/01/2027 | 3,260 | 2,825 | ||||||
| Kyrene Elementary School District No. 28, School Improvement Project 2010, | ||||||||
| Series B, GO, 4.50%, 07/01/2024 | 315 | 318 | ||||||
| Series B, GO, 4.50%, 07/01/2025 | 255 | 258 | ||||||
| Maricopa County Pollution Control Corp., Southern California Edison, Rev., 2.40%, 06/01/2035 | 1,000 | 744 | ||||||
| Maricopa County Special Health Care District, Series C, GO, 4.00%, 07/01/2037 | 21,910 | 21,212 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Arizona — continued |
||||||||
| Northern Arizona University, Speed Stimulus Plan Economic Education, Rev., 5.00%, 08/01/2032 (p) | 3,145 | 3,192 | ||||||
| Salt River Project Agricultural Improvement & Power District, Series A, Rev., 5.00%, 12/01/2045 | 7,300 | 7,581 | ||||||
| Salt River Project Agricultural Improvement & Power District, Salt River Project, Series A, Rev., 5.00%, 01/01/2026 | 3,000 | 3,166 | ||||||
| Salt Verde Financial Corp., Rev., 5.00%, 12/01/2032 | 420 | 423 | ||||||
| Salt Verde Financial Corp., Senior, Rev., 5.50%, 12/01/2029 | 1,475 | 1,548 | ||||||
| Tempe Industrial Development Authority, Friendship Village of Tempe, Rev., 1.13%, 12/01/2026 | 3,350 | 2,862 | ||||||
|
|
|
|||||||
| 93,580 | ||||||||
|
|
|
|||||||
| Arkansas — 0.1% | ||||||||
| Arkansas Development Finance Authority Public Safety Charges Revenue, Division of Emergency Management Project, Rev., 5.00%, 06/01/2024 | 1,000 | 1,027 | ||||||
| Arkansas Development Finance Authority, Big River Steel Project, Rev., AMT, 4.50%, 09/01/2049 (e) | 630 | 510 | ||||||
| Arkansas Development Finance Authority, Green Bond United States, Rev., AMT, 5.45%, 09/01/2052 (e) | 3,000 | 2,703 | ||||||
|
|
|
|||||||
| 4,240 | ||||||||
|
|
|
|||||||
| California — 9.2% | ||||||||
| Alameda County, Oakland Unified School District, | ||||||||
| GO, 5.00%, 08/01/2027 | 65 | 69 | ||||||
| Series A, GO, 5.00%, 08/01/2040 (p) | 300 | 315 | ||||||
| Anaheim City School District, Election 2016, Series A, GO, 4.00%, 08/01/2048 | 4,000 | 3,582 | ||||||
| Anaheim Housing & Public Improvements Authority, | ||||||||
| Series A, Rev., 5.00%, 10/01/2035 | 250 | 262 | ||||||
| Series A, Rev., 5.00%, 10/01/2050 | 1,780 | 1,812 | ||||||
| Anaheim Public Financing Authority, Senior Public Improvement Project, Series A, Rev., BAM, 5.00%, 09/01/2036 | 2,250 | 2,358 | ||||||
| Bay Area Toll Authority, San Francisco Bay Area, | ||||||||
| Rev., 2.00%, 04/01/2053 (z) | 2,200 | 2,137 | ||||||
| Series C, Rev., (SIFMA Municipal Swap Index + 0.45%), 2.91%, 04/01/2056 (aa) | 2,675 | 2,631 | ||||||
| Bay Area Toll Authority, San Francisco Bay Area Toll, Rev., (SIFMA Municipal Swap Index + 0.41%), 2.87%, 04/01/2056 (aa) | 5,000 | 4,843 | ||||||
| Bay Area Toll Authority, Subordinated, Series S4, Rev., 5.00%, 04/01/2031 (p) | 4,000 | 4,039 | ||||||
| Cabrillo Unified School District, Election 2018, Series B, GO, 5.00%, 08/01/2050 | 5,000 | 5,224 | ||||||
| California Community Choice Financing Authority, Series B1, Rev., 4.00%, 02/01/2052 (z) | 2,500 | 2,390 | ||||||
| California Community Choice Financing Authority, Green Bond, Series A1, Rev., 4.00%, 05/01/2053 (z) | 6,860 | 6,705 | ||||||
| California County, Tobacco Securitization Agency, Series A, Rev., 5.00%, 06/01/2027 | 10 | 10 | ||||||
| California County, Tobacco Securitization Agency, Senior Bonds, Merced County Tobacco Funding Corporation, | ||||||||
| Rev., 5.00%, 06/01/2032 | 340 | 352 | ||||||
| Rev., 5.00%, 06/01/2033 | 170 | 175 | ||||||
| California County, Tobacco Securitization Agency, Sonoma County Securitization, | ||||||||
| Rev., 5.00%, 06/01/2031 | 255 | 266 | ||||||
| Rev., 5.00%, 06/01/2032 | 250 | 259 | ||||||
| Rev., 5.00%, 06/01/2033 | 300 | 309 | ||||||
| Rev., 5.00%, 06/01/2049 | 325 | 307 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 — continued |
||||||||
| California Educational Facilities Authority, Loyola Marymount University, Series A, Rev., NATL, Zero Coupon, 10/01/2037 | 340 | 170 | ||||||
| California Educational Facilities Authority, University Southern California, Series C, Rev., 5.25%, 10/01/2024 (p) | 210 | 219 | ||||||
| California Health Facilities Financing Authority, Rev., 5.00%, 10/01/2039 (p) (z) | 945 | 994 | ||||||
| California Health Facilities Financing Authority, Adventist Health System, Rev., 3.00%, 03/01/2041 (z) | 1,860 | 1,834 | ||||||
| California Health Facilities Financing Authority, Cedars Sinai Health System, Rev., 4.00%, 08/15/2040 | 4,050 | 3,737 | ||||||
| California Health Facilities Financing Authority, Children’s Hospital, Rev., 4.00%, 11/01/2035 | 1,460 | 1,380 | ||||||
| California Health Facilities Financing Authority, City of Hope, Rev., 5.00%, 11/15/2049 | 3,000 | 2,996 | ||||||
| California Health Facilities Financing Authority, Commonspirit Health, | ||||||||
| Series A, Rev., 4.00%, 04/01/2038 | 3,500 | 3,176 | ||||||
| Series A, Rev., 5.00%, 04/01/2033 | 3,000 | 3,097 | ||||||
| California Health Facilities Financing Authority, PIH Health, Series A, Rev., 5.00%, 06/01/2035 | 3,010 | 3,086 | ||||||
| California Health Facilities Financing Authority, Stanford Health Care, Series A, Rev., 5.00%, 11/15/2030 | 2,000 | 2,144 | ||||||
| California Health Facilities Financing Authority, Sutter Health, Series A, Rev., 5.00%, 08/15/2043 (p) | 465 | 489 | ||||||
| California Health Facilities Financing Authority, Unrefunded, Rev., 5.00%, 10/01/2039 (z) | 1,055 | 1,091 | ||||||
| California Housing Finance Agency, Series 2021-1, Rev., 3.50%, 11/20/2035 | 3,732 | 3,224 | ||||||
| California Housing Finance Agency, Social Certificates, Series A, Rev., 3.25%, 08/20/2036 | 4,261 | 3,647 | ||||||
| California Infrastructure & Economic Development Bank, Brightline West Passenger Rail Project, Rev., AMT, 0.85%, 01/01/2050 (e) (z) | 5,000 | 4,945 | ||||||
| California Infrastructure & Economic Development Bank, J. Paul Getty Trust, Rev., 3.00%, 10/01/2047 (z) | 1,000 | 988 | ||||||
| California Infrastructure & Economic Development Bank, Los Angeles County, Series B, Rev., (SIFMA Municipal Swap Index + 0.70%), 3.16%, 12/01/2050 (aa) | 1,370 | 1,343 | ||||||
| California Infrastructure & Economic Development Bank, Sanford Consortium Project, Series A, Rev., 5.00%, 05/15/2031 | 1,230 | 1,301 | ||||||
| California Municipal Finance Authority, Open Door Community Health Center, | ||||||||
| Rev., 4.00%, 09/15/2034 | 920 | 912 | ||||||
| Rev., 4.00%, 09/15/2035 | 960 | 927 | ||||||
| Rev., 4.00%, 09/15/2036 | 1,000 | 942 | ||||||
| California Municipal Finance Authority, Republic Services, Inc. Project, Series B, Rev., AMT, 2.35%, 07/01/2051 (z) | 560 | 558 | ||||||
| California Municipal Finance Authority, Simpson University, Series A, Rev., 6.00%, 10/01/2050 (e) | 2,000 | 2,008 | ||||||
| California Municipal Finance Authority, Southern California Institute, Rev., 5.00%, 12/01/2037 | 745 | 747 | ||||||
| California Municipal Finance Authority, Subordinate Caritas Project, Series B, Rev., 4.00%, 08/15/2041 | 300 | 253 | ||||||
| California Municipal Finance Authority, Taxable Virginia Oceanside Health Care Center, Rev., 3.64%, 07/01/2030 (e) | 2,995 | 2,464 | ||||||
| California Municipal Finance Authority, Walnut Apartments, Rev., HUD, 0.45%, 12/01/2024 (z) | 1,125 | 1,079 | ||||||
| California Municipal Finance Authority, Waste Management, Inc. Project, | ||||||||
| Rev., AMT, 0.70%, 12/01/2044 (z) | 1,670 | 1,614 | ||||||
| Rev., AMT, 2.95%, 10/01/2045 (z) | 6,000 | 5,991 | ||||||
| Series A, Rev., AMT, 2.40%, 10/01/2044 (z) | 2,960 | 2,625 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 — continued |
||||||||
| California Public Finance Authority, Enso Village Project, Rev., 2.13%, 11/15/2027 (e) | 1,000 | 887 | ||||||
| California Public Finance Authority, Enso Village Project, Green Bond, Rev., 5.00%, 11/15/2036 (e) | 325 | 292 | ||||||
| California Public Finance Authority, Henry Mayo Newhall Hospital, | ||||||||
| Rev., 5.00%, 10/15/2030 | 1,165 | 1,197 | ||||||
| Rev., 5.00%, 10/15/2032 | 1,000 | 1,017 | ||||||
| Series A, Rev., 4.00%, 10/15/2022 | 110 | 110 | ||||||
| Series A, Rev., 4.00%, 10/15/2023 | 130 | 130 | ||||||
| California School Finance Authority, Rocketship Education Obligated, Series A, Rev., 5.00%, 06/01/2034 (e) | 1,230 | 1,185 | ||||||
| California State Public Works Board, Corrections Facilities, Series A, Rev., 5.00%, 09/01/2039 | 7,560 | 7,756 | ||||||
| California State Public Works Board, Davidson Library, Series C, Rev., 5.00%, 03/01/2031 (p) | 110 | 111 | ||||||
| California State Public Works Board, Forward Delivery, Series A, Rev., 5.00%, 02/01/2030 | 2,500 | 2,765 | ||||||
| California State Public Works Board, Various Capital Projects, | ||||||||
| Rev., 5.00%, 11/01/2026 | 565 | 604 | ||||||
| Series D, Rev., 4.00%, 11/01/2037 | 1,000 | 965 | ||||||
| California State University, Series A, Rev., 5.00%, 11/01/2044 | 2,640 | 2,780 | ||||||
| California State University, Systemwide, Series A, Rev., 4.00%, 11/01/2035 | 1,000 | 994 | ||||||
| California State University, Unrefunded Systemwide, Rev., 5.00%, 11/01/2039 (p) | 4,700 | 4,877 | ||||||
| California Statewide Communities Development Authority, Series B, Special Assessment, 4.00%, 09/02/2040 | 570 | 477 | ||||||
| California Statewide Communities Development Authority, Health Facility, Dignity Health, Rev., AGM, 2.00%, 07/01/2041 (z) | 2,000 | 2,000 | ||||||
| California Statewide Communities Development Authority, Loma Linda University Medical Center, | ||||||||
| Rev., 5.25%, 12/01/2044 | 6,065 | 6,083 | ||||||
| Rev., 5.50%, 12/01/2054 | 1,100 | 1,106 | ||||||
| Series A, Rev., 5.00%, 12/01/2026 (e) | 300 | 303 | ||||||
| Series A, Rev., 5.25%, 12/01/2056 (e) | 3,000 | 2,775 | ||||||
| California Statewide Communities Development Authority, Montage Health, Series A, Rev., 4.00%, 06/01/2028 | 435 | 449 | ||||||
| California Statewide Communities Development Authority, South California Edison Co., Rev., 2.63%, 11/01/2033 (z) | 275 | 270 | ||||||
| California Statewide Communities Development Authority, Villa Del Sol Apartments, Rev., 0.39%, 10/01/2023 (z) | 50 | 49 | ||||||
| Chino Valley Unified School District, Election of 2016, Series C, GO, Zero Coupon, 08/01/2034 | 125 | 74 | ||||||
| City & County of San Francisco, | ||||||||
| Series D1, GO, 4.00%, 06/15/2041 | 1,215 | 1,143 | ||||||
| Series R2, GO, 5.00%, 06/15/2023 | 85 | 86 | ||||||
| Series R2, GO, 5.00%, 06/15/2024 | 1,000 | 1,033 | ||||||
| City & County of San Francisco Special Tax District No. 2020-1, Mission Rock Facilities And Services, Special Tax, 4.00%, 09/01/2036 (e) | 155 | 138 | ||||||
| City & County of San Francisco, 49 South Van Ness Project, Green Bond, Series A, COP, 4.00%, 04/01/2035 | 810 | 802 | ||||||
| City & County of San Francisco, Special Tax District No. 2020-1, Mission Rock Facilities and Services, Special Tax, 4.00%, 09/01/2031 (e) | 300 | 283 | ||||||
| City of Dixon, Community Facilities District Improvement, Special Tax, 4.00%, 09/01/2036 | 200 | 180 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 — continued |
||||||||
| City of Long Beach Airport System Revenue, | ||||||||
| Series C, Rev., AGM, AMT, 5.00%, 06/01/2042 | 1,000 | 1,004 | ||||||
| Series C, Rev., AGM, AMT, 5.25%, 06/01/2047 | 1,000 | 1,011 | ||||||
| City of Los Angeles Department of Airports, | ||||||||
| Rev., AMT, 5.00%, 05/15/2026 | 1,500 | 1,556 | ||||||
| Series B, Rev., AMT, 5.00%, 05/15/2046 | 21,965 | 21,975 | ||||||
| City of Los Angeles Department of Airports, Los Angeles International Airport, Rev., AMT, 5.00%, 05/15/2032 | 1,000 | 1,040 | ||||||
| City of Los Angeles Department of Airports, Private Activity, Series A, Rev., AMT, 5.00%, 05/15/2045 | 5,000 | 5,003 | ||||||
| City of Los Angeles Department of Airports, Senior, | ||||||||
| Series A, Rev., AMT, 4.75%, 05/15/2040 | 2,415 | 2,367 | ||||||
| Series C, Rev., AMT, 5.00%, 05/15/2036 | 4,090 | 4,213 | ||||||
| City of Los Angeles Department of Airports, Senior Bonds Green Bond Project, | ||||||||
| Rev., AMT, 5.00%, 05/15/2029 | 4,000 | 4,204 | ||||||
| Rev., AMT, 5.25%, 05/15/2047 | 4,000 | 4,102 | ||||||
| City of Los Angeles Department of Airports, Subordinate, | ||||||||
| Series C, Rev., 5.00%, 05/15/2038 | 2,000 | 2,049 | ||||||
| Series D, Rev., AMT, 5.00%, 05/15/2027 | 2,605 | 2,718 | ||||||
| Series D, Rev., AMT, 5.00%, 05/15/2029 | 4,485 | 4,708 | ||||||
| City of Los Angeles Department of Airports, Subordinate Los Angeles International Airport, | ||||||||
| Rev., AMT, 5.00%, 05/15/2027 | 1,235 | 1,288 | ||||||
| Rev., AMT, 5.00%, 05/15/2029 | 1,000 | 1,050 | ||||||
| City of Los Angeles Department of Airports, Subordinate P3 Project, | ||||||||
| Series A, Rev., AMT, 5.00%, 05/15/2026 | 1,180 | 1,224 | ||||||
| Series A, Rev., AMT, 5.00%, 05/15/2046 | 3,000 | 3,003 | ||||||
| City of Los Angeles Department of Airports, Subordinated, | ||||||||
| Series C, Rev., AMT, 5.00%, 05/15/2033 | 1,330 | 1,366 | ||||||
| Series E, Rev., 5.00%, 05/15/2039 | 1,510 | 1,576 | ||||||
| Series E, Rev., 5.00%, 05/15/2044 | 1,000 | 1,035 | ||||||
| City of Los Angeles Wastewater System Revenue, Subordinate, Series C, Rev., 5.00%, 06/01/2026 | 500 | 533 | ||||||
| City of Los Angeles, Department of Airports, Los Angeles International Airport, Rev., AMT, 5.00%, 05/15/2023 | 150 | 151 | ||||||
| City of Los Angeles, Department of Airports, Senior, Series B, Rev., 5.00%, 05/15/2034 | 1,600 | 1,724 | ||||||
| City of Roseville, Special Tax, | ||||||||
| 5.00%, 09/01/2035 | 1,160 | 1,186 | ||||||
| 4.00%, 09/01/2040 | 1,000 | 863 | ||||||
| City of San Francisco CA Public Utilities Commission Water Revenue, Regional Water, Series B, Rev., 5.00%, 11/01/2050 | 4,235 | 4,367 | ||||||
| City of Santa Rosa Wastewater Revenue, Series A, Rev., 5.00%, 09/01/2033 | 1,770 | 1,948 | ||||||
| City of Victorville Electric Revenue, | ||||||||
| Series A, Rev., 5.00%, 05/01/2038 | 1,055 | 1,068 | ||||||
| Series A, Rev., 5.00%, 05/01/2039 | 1,110 | 1,122 | ||||||
| City of Woodland, Facilities District Number 2004 1 Capital Project, Special Tax, 4.00%, 09/01/2041 | 500 | 454 | ||||||
| Coachella Valley Water District Drinking Water System Revenue, Notes, Series A, Rev., 1.38%, 06/01/2025 | 2,000 | 1,859 | ||||||
| Compton Community Redevelopment Agency Successor Agency, Series A, Tax Allocation, AGM, 5.00%, 08/01/2042 | 750 | 757 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 — continued |
||||||||
| Compton Unified School District, Series B, GO, BAM, Zero Coupon, 06/01/2036 | 1,400 | 744 | ||||||
| County of Los Angeles Community Facilities District No. 2021-01, Valencia Facilities, Special Tax, 5.00%, 09/01/2033 | 105 | 107 | ||||||
| County of Los Angeles, Community Facilities District No. 2021-01, Valencia Facilities, Special Tax, 5.00%, 09/01/2042 | 540 | 521 | ||||||
| CSCDA Community Improvement Authority, Series A, Rev., 5.00%, 01/01/2054 (e) | 3,295 | 2,795 | ||||||
| CSCDA Community Improvement Authority, Renaissance at City Center, Series A, Rev., 5.00%, 07/01/2051 (e) | 215 | 184 | ||||||
| CSCDA Community Improvement Authority, Social Bonds, Rev., 4.00%, 08/01/2056 (e) | 410 | 305 | ||||||
| Department of Veterans Affairs, Veteran’s Farm & Home Purchase Program, Series A, Rev., 3.00%, 12/01/2050 | 945 | 902 | ||||||
| East Bay Municipal Utility District Water System Revenue, Green Bond, Series A, Rev., 5.00%, 06/01/2035 | 1,200 | 1,285 | ||||||
| Eastern Municipal Water District, Series A, Rev., 3.00%, 07/01/2024 | 30 | 30 | ||||||
| Elk Grove Finance Authority, Special Tax, 4.00%, 09/01/2040 | 1,280 | 1,100 | ||||||
| FHLMC Multifamily ML Certificates, Series 2021-ML10, Class A, Rev., 2.03%, 01/25/2038 (e) | 341 | 262 | ||||||
| Fontana Public Facilities Financing Authority, Series A, Special Tax, 4.00%, 09/01/2023 | 145 | 146 | ||||||
| Fresno Unified School District, | ||||||||
| Series D, GO, 2.00%, 08/01/2023 | 20 | 20 | ||||||
| Series D, GO, 2.00%, 08/01/2024 | 100 | 97 | ||||||
| Gilroy School Facilities Financing Authority, General Obligations, Series A, Rev., 5.00%, 08/01/2046 (p) | 5,000 | 5,078 | ||||||
| Golden State Tobacco Securitization Corp., Subordinate, Series B2, Rev., Zero Coupon, 06/01/2066 | 21,020 | 1,838 | ||||||
| Golden State Tobacco Securitization Corp., Taxable Tobacco Settlement Asset Backed Bonds, Series C, Rev., 2.75%, 06/01/2034 | 1,900 | 1,493 | ||||||
| Los Angeles County Development Authority, Sunny Garden Apartments, Rev., HUD, 0.20%, 07/01/2024 (z) | 155 | 154 | ||||||
| Los Angeles County Metropolitan Transportation Authority, Series A, Rev., 5.00%, 06/01/2023 | 25 | 25 | ||||||
| Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue, Green Bond Measure R, Rev., 5.00%, 06/01/2027 | 1,000 | 1,080 | ||||||
| Los Angeles County Metropolitan Transportation Authority, Measure R Junior Subordinated, Green Bonds, Series A, Rev., 5.00%, 06/01/2034 | 7,000 | 7,482 | ||||||
| Los Angeles County Metropolitan Transportation Authority, Measure R Junior, Green Bond, Subordinated, Series A, Rev., 5.00%, 06/01/2033 | 2,000 | 2,213 | ||||||
| Los Angeles County Sanitation Districts Financing Authority, Series A, Rev., 4.00%, 10/01/2033 | 1,000 | 1,005 | ||||||
| Los Angeles County, Metropolitan Transportation Authority, Green Bond, Measure R Junior Subordinated, Series A, Rev., 5.00%, 06/01/2030 | 1,500 | 1,682 | ||||||
| Los Angeles Department of Water, | ||||||||
| Series B, Rev., 4.00%, 07/01/2027 | 1,500 | 1,558 | ||||||
| Series B, Rev., 4.00%, 07/01/2029 | 1,000 | 1,043 | ||||||
| Series B, Rev., 5.00%, 07/01/2037 | 740 | 786 | ||||||
| Los Angeles Department of Water & Power, | ||||||||
| Series B, Rev., 5.00%, 07/01/2039 | 500 | 539 | ||||||
| Series C, Rev., 5.00%, 07/01/2038 | 275 | 296 | ||||||
| Los Angeles Department of Water & Power, Power System Revenue, | ||||||||
| Series A, Rev., 5.25%, 07/01/2049 | 9,500 | 10,027 | ||||||
| Series B, Rev., 5.00%, 07/01/2038 | 1,000 | 1,045 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 — continued |
||||||||
| Los Angeles Unified School District, | ||||||||
| Series C, GO, 5.00%, 07/01/2025 | 5,000 | 5,248 | ||||||
| Series C, GO, 5.00%, 07/01/2026 | 2,285 | 2,436 | ||||||
| Series C, GO, 5.00%, 07/01/2028 | 1,000 | 1,093 | ||||||
| Series RYQ, GO, 5.00%, 07/01/2035 | 1,280 | 1,393 | ||||||
| Los Angeles Unified School District, Election 2008, Series B1, GO, BAM, 5.00%, 07/01/2029 | 100 | 109 | ||||||
| Metropolitan Water District of Southern California, Rev., 5.00%, 01/01/2038 | 3,015 | 3,229 | ||||||
| Municipal Improvement Corp. of Los Angeles, Real Property, Series B, Rev., 5.00%, 11/01/2039 | 2,535 | 2,711 | ||||||
| Natomas Unified School District, | ||||||||
| Series A, GO, AGM, 4.00%, 08/01/2045 | 7,740 | 6,949 | ||||||
| Series A, GO, AGM, 4.00%, 08/01/2049 | 2,655 | 2,368 | ||||||
| Norman Y Mineta San Jose International Airport SJC, | ||||||||
| Series A, Rev., AMT, 5.00%, 03/01/2023 (p) | 100 | 101 | ||||||
| Series A, Rev., AMT, 5.00%, 03/01/2031 | 1,000 | 1,048 | ||||||
| Series A, Rev., AMT, 5.00%, 03/01/2032 | 2,000 | 2,082 | ||||||
| Norwalk-La Mirada Unified School District, Series D, GO, 3.00%, 08/01/2043 | 2,000 | 1,491 | ||||||
| Ontario International Airport Authority, Series A, Rev., AGM, 5.00%, 05/15/2046 | 1,500 | 1,533 | ||||||
| Orange County Community Facilities District, District No. 2021-1 Rienda, Series A, Special Tax, 5.00%, 08/15/2033 | 300 | 306 | ||||||
| Orange County Sanitation District, Series A, Rev., 5.00%, 02/01/2036 | 1,230 | 1,351 | ||||||
| Orange County Transportation Authority, 405 Improvement Project, Rev., BAN, 5.00%, 10/15/2024 | 3,230 | 3,353 | ||||||
| Oxnard Union High School District, Series B, GO, 5.00%, 08/01/2045 | 3,000 | 3,145 | ||||||
| Palomar Health, Rev., 5.00%, 11/01/2039 | 4,000 | 3,952 | ||||||
| Palomar Health, Capital Appreciation, Electric of 2004, | ||||||||
| Series A, GO, AGC, Zero Coupon, 08/01/2028 | 500 | 391 | ||||||
| Series A, GO, AGC, Zero Coupon, 08/01/2031 | 330 | 223 | ||||||
| Port of Oakland, Intermediate Lien, | ||||||||
| Series H, Rev., AMT, 5.00%, 05/01/2027 | 2,500 | 2,624 | ||||||
| Series H, Rev., AMT, 5.00%, 05/01/2028 | 1,875 | 1,980 | ||||||
| Series H, Rev., AMT, 5.00%, 05/01/2029 | 405 | 430 | ||||||
| River Islands Public Financing Authority, Community Facilities District No. 2003-1, Special Tax, AGM, 5.25%, 09/01/2052 | 1,085 | 1,140 | ||||||
| Sacramento City Unified School District, GO, BAM, 5.00%, 07/01/2031 | 525 | 582 | ||||||
| Sacramento City Unified School District, Election of 2020 Measure, | ||||||||
| GO, BAM, 5.00%, 08/01/2024 | 860 | 885 | ||||||
| GO, BAM, 5.00%, 08/01/2038 | 500 | 535 | ||||||
| Sacramento County Sanitation Districts Financing Authority, Series A, Rev., 5.00%, 12/01/2044 | 4,250 | 4,331 | ||||||
| Sacramento Municipal Utility District, Electric, Series H, Rev., 4.00%, 08/15/2040 | 2,000 | 1,860 | ||||||
| San Bernardino Community College District, Election of 2018, Series A, GO, 3.00%, 08/01/2041 (p) | 2,000 | 1,982 | ||||||
| San Diego Community College District, GO, 4.00%, 08/01/2032 (p) | 2,910 | 3,002 | ||||||
| San Diego County Regional Airport Authority, Subordinate, Series B, Rev., AMT, 4.00%, 07/01/2036 | 1,090 | 996 | ||||||
| San Diego County Regional Airport Authority, Subordinate Airport Revenue Bonds, | ||||||||
| Rev., 5.00%, 07/01/2026 | 2,120 | 2,242 | ||||||
| Rev., 5.00%, 07/01/2027 | 2,000 | 2,143 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 — continued |
||||||||
| San Diego County Regional Airport Authority, Subordinated, | ||||||||
| Rev., 5.00%, 07/01/2034 | 1,000 | 1,061 | ||||||
| Series B, Rev., AMT, 5.00%, 07/01/2031 | 775 | 797 | ||||||
| San Diego County Regional Transportation Commission, Series A, Rev., 5.00%, 10/01/2022 | 3,000 | 3,000 | ||||||
| San Diego Public Facilities Financing Authority, Series A, Rev., 5.00%, 05/15/2039 | 1,565 | 1,639 | ||||||
| San Dieguito School Facilities Financing Authority, Special Tax, 5.00%, 03/01/2031 | 1,030 | 1,109 | ||||||
| San Francisco Bay Area Rapid Transit District, Election 2004, Green Bond, GO, 5.00%, 08/01/2036 | 1,875 | 1,987 | ||||||
| San Francisco City & County Airport Commission-San Francisco International Airport, | ||||||||
| Series H, Rev., AMT, 5.00%, 05/01/2025 | 1,500 | 1,544 | ||||||
| Series H, Rev., AMT, 5.00%, 05/01/2028 | 3,000 | 3,125 | ||||||
| San Francisco City & County Airport Commission-San Francisco International Airport, Unrefunded, Rev., AMT, 5.00%, 05/01/2027 | 775 | 802 | ||||||
| San Francisco City & County Airport Comm-San Francisco International Airport, | ||||||||
| Series A, Rev., AMT, 5.00%, 05/01/2025 | 2,000 | 2,055 | ||||||
| Series A, Rev., AMT, 5.00%, 05/01/2030 | 2,000 | 2,103 | ||||||
| Series A, Rev., 5.00%, 05/01/2031 | 205 | 215 | ||||||
| Series A, Rev., AMT, 5.00%, 05/01/2032 | 2,000 | 2,092 | ||||||
| Series C, Rev., 5.00%, 05/01/2046 | 1,920 | 1,953 | ||||||
| San Joaquin Hills Transportation Corridor Agency, Senior Lien Toll Road, Rev., 4.00%, 01/15/2034 | 3,000 | 2,796 | ||||||
| San Jose Unified School District, Taxable, GO, 1.01%, 08/01/2027 | 1,700 | 1,437 | ||||||
| Santa Clara Valley Water District, Water System Utility Improvement, COP, 5.00%, 06/01/2038 | 2,495 | 2,674 | ||||||
| Santaluz Community Facilities District No. 2, | ||||||||
| Special Tax, 3.00%, 09/01/2023 | 250 | 249 | ||||||
| Special Tax, 3.00%, 09/01/2024 | 95 | 94 | ||||||
| Sierra View Local Health Care District, Tulare Co., Rev., 4.00%, 07/01/2024 | 475 | 476 | ||||||
| South San Francisco Public Facilities Financing Authority, Multiple Capital Projects at Orange Memorial Park, Rev., 5.25%, 06/01/2046 | 1,000 | 1,068 | ||||||
| Southern California Public Power Authority, Canyon Power Project, Series A, Rev., 5.00%, 07/01/2034 | 1,000 | 1,044 | ||||||
| Southern California Public Power Authority, Green Bond Milford Wind Co., | ||||||||
| Rev., 5.00%, 07/01/2024 | 40 | 41 | ||||||
| Rev., 5.00%, 07/01/2025 | 250 | 263 | ||||||
| State of California, | ||||||||
| GO, 4.00%, 03/01/2036 | 4,000 | 3,976 | ||||||
| GO, 4.00%, 11/01/2041 | 1,000 | 973 | ||||||
| GO, 5.00%, 09/01/2024 | 5,000 | 5,175 | ||||||
| GO, 5.00%, 12/01/2026 | 4,000 | 4,287 | ||||||
| GO, 5.00%, 04/01/2027 | 145 | 156 | ||||||
| GO, 5.00%, 04/01/2029 | 80 | 88 | ||||||
| GO, 5.00%, 09/01/2029 | 1,000 | 1,108 | ||||||
| GO, 5.00%, 11/01/2029 | 13,215 | 14,666 | ||||||
| GO, 5.00%, 12/01/2029 | 700 | 777 | ||||||
| GO, 5.00%, 12/01/2030 | 55 | 62 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 — continued |
||||||||
| GO, 5.00%, 09/01/2031 | 1,500 | 1,683 | ||||||
| GO, 5.00%, 10/01/2047 | 1,500 | 1,545 | ||||||
| State of California, Taxable Bidding Group A, GO, 1.75%, 10/01/2028 | 5,000 | 4,243 | ||||||
| State of California, Various Purpose, | ||||||||
| GO, 4.00%, 11/01/2033 | 3,550 | 3,598 | ||||||
| GO, 4.00%, 10/01/2035 | 2,825 | 2,811 | ||||||
| GO, 4.00%, 10/01/2036 | 8,850 | 8,785 | ||||||
| GO, 5.00%, 10/01/2029 | 2,000 | 2,218 | ||||||
| GO, 5.00%, 10/01/2030 | 115 | 129 | ||||||
| GO, 5.00%, 04/01/2031 | 1,000 | 1,119 | ||||||
| GO, 5.00%, 03/01/2033 | 500 | 546 | ||||||
| GO, 5.00%, 03/01/2034 | 2,180 | 2,360 | ||||||
| GO, 5.00%, 03/01/2035 | 505 | 545 | ||||||
| GO, 5.00%, 04/01/2035 | 1,000 | 1,070 | ||||||
| State of California, Veterans Bonds, GO, 5.00%, 12/01/2031 | 5,500 | 5,685 | ||||||
| University of California, | ||||||||
| Series AK, Rev., 5.00%, 05/15/2048 (z) | 1,000 | 1,012 | ||||||
| Series AR, Rev., 5.00%, 05/15/2041 | 2,000 | 2,062 | ||||||
| Series BE, Rev., 5.00%, 05/15/2041 | 1,000 | 1,055 | ||||||
| Series S, Rev., 5.00%, 05/15/2031 | 1,500 | 1,694 | ||||||
| University of California, Limited Project, | ||||||||
| Series K, Rev., 4.00%, 05/15/2046 | 300 | 269 | ||||||
| Series K, Rev., 5.00%, 05/15/2035 | 1,980 | 2,073 | ||||||
| Series M, Rev., 4.00%, 05/15/2047 | 1,300 | 1,160 | ||||||
| University of California, Limited Project Revenue Bonds, Series Q, Rev., 5.00%, 05/15/2032 | 350 | 394 | ||||||
| Upper Santa Clara Valley Joint Powers Authority, | ||||||||
| Series A, Rev., 4.00%, 08/01/2045 | 1,500 | 1,347 | ||||||
| Series A, Rev., 4.00%, 08/01/2050 | 2,000 | 1,776 | ||||||
| Val Verde Unified School District, Election 2012, Series A, GO, BAM, 5.00%, 08/01/2042 (p) | 500 | 508 | ||||||
| West Contra Costa Healthcare District, Special Tax, 5.00%, 07/01/2027 | 805 | 862 | ||||||
| William S Hart Union High School District, Capital Appreciation Election 2001, Series B, GO, AGM, Zero Coupon, 09/01/2025 | 1,960 | 1,773 | ||||||
|
|
|
|||||||
| 455,771 | ||||||||
|
|
|
|||||||
| Colorado — 2.6% | ||||||||
| Adams & Weld Counties School District No. 27J Brighton, GO, 5.00%, 12/01/2042 | 1,000 | 1,042 | ||||||
| Aerotropolis Regional Transportation Authority, Rev., 4.25%, 12/01/2041 | 500 | 398 | ||||||
| Alpine Mountain Ranch Metropolitan District Special Improvement District No. 1, Special Assessment, 4.00%, 12/01/2040 | 500 | 377 | ||||||
| Arapahoe County School District No. 6 Littleton, GO, 5.00%, 12/01/2023 | 670 | 684 | ||||||
| Brighton Crossing Metropolitan District No. 6, Series A, GO, 5.00%, 12/01/2035 | 525 | 481 | ||||||
| Castle Oaks Metropolitan District No. 3, GO, AGM, 4.00%, 12/01/2026 | 220 | 224 | ||||||
| City & County of Denver Airport System Revenue, | ||||||||
| Series A, Rev., AMT, 4.00%, 11/15/2041 | 3,000 | 2,611 | ||||||
| Series A, Rev., AMT, 5.00%, 11/15/2029 | 1,000 | 1,052 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Colorado — continued |
||||||||
| Series A, Rev., AMT, 5.50%, 11/15/2053 | 4,000 | 4,127 | ||||||
| Series B, Rev., 5.25%, 11/15/2053 | 4,775 | 5,006 | ||||||
| City & County of Denver Airport System Revenue, Subordinate System, Series A, Rev., AMT, 5.00%, 12/01/2034 | 2,510 | 2,544 | ||||||
| City & County of Denver, Airport System Revenue, | ||||||||
| Series A, Rev., AMT, 5.00%, 11/15/2027 | 1,000 | 1,046 | ||||||
| Series A, Rev., AMT, 5.00%, 12/01/2030 | 3,000 | 3,154 | ||||||
| Series B2, Rev., AMT, 5.00%, 11/15/2031 (z) | 1,000 | 1,031 | ||||||
| City & County of Denver, Airport System Revenue, Subordinated, Series A, Rev., AMT, 5.00%, 12/01/2027 | 5,840 | 6,063 | ||||||
| City & County of Denver, Airport System Revenue, Subordinated System, Series A, Rev., AMT, 5.00%, 12/01/2043 | 3,000 | 2,995 | ||||||
| City of Aurora, Water Revenue, Green Bond, Rev., 5.00%, 08/01/2041 (p) | 1,800 | 1,916 | ||||||
| Colorado Bridge Enterprise, Central 70 Project, | ||||||||
| Rev., AMT, 4.00%, 12/31/2025 | 1,000 | 997 | ||||||
| Rev., AMT, 4.00%, 12/31/2030 | 1,505 | 1,484 | ||||||
| Colorado Educational & Cultural Facilities Authority, Aspen View Academy Project, | ||||||||
| Rev., 4.00%, 05/01/2036 | 175 | 149 | ||||||
| Rev., 4.00%, 05/01/2041 | 175 | 141 | ||||||
| Colorado Health Facilities Authority, AdventHealth Obligated Group, | ||||||||
| Rev., 4.00%, 11/15/2038 | 2,000 | 1,861 | ||||||
| Rev., 5.00%, 11/15/2038 | 1,000 | 1,049 | ||||||
| Colorado Health Facilities Authority, Children’s Hospital, Series C, Rev., 5.00%, 12/01/2030 | 1,000 | 1,028 | ||||||
| Colorado Health Facilities Authority, Children’s Hospital Co. Project, Series A, Rev., 5.00%, 12/01/2033 | 3,765 | 3,777 | ||||||
| Colorado Health Facilities Authority, Commonspirit Health, | ||||||||
| Series A1, Rev., 5.00%, 08/01/2027 | 1,025 | 1,060 | ||||||
| Series A1, Rev., 5.00%, 08/01/2034 | 1,240 | 1,245 | ||||||
| Series A2, Rev., 5.00%, 08/01/2028 | 2,215 | 2,297 | ||||||
| Series A2, Rev., 5.00%, 08/01/2044 | 11,025 | 10,683 | ||||||
| Colorado Health Facilities Authority, Improvement Bonds Christian Living Communities, Rev., 4.00%, 01/01/2042 | 500 | 373 | ||||||
| Colorado Health Facilities Authority, Sanford Health, Series A, Rev., 5.00%, 11/01/2029 | 1,000 | 1,052 | ||||||
| Colorado Health Facilities Authority, SCL Health System, Series A, Rev., 5.00%, 01/01/2030 | 1,175 | 1,283 | ||||||
| Colorado Housing and Finance Authority, Series H, Rev., GNMA COLL, 3.00%, 05/01/2050 | 2,165 | 2,080 | ||||||
| Colorado Housing and Finance Authority, Social Bonds, | ||||||||
| Series E, Rev., GNMA, 3.00%, 11/01/2051 | 3,040 | 2,885 | ||||||
| Series L, Rev., GNMA COLL, 3.25%, 11/01/2051 | 1,655 | 1,574 | ||||||
| Colorado Housing and Finance Authority, Social Bonds Class I, Series H, Rev., GNMA, 3.00%, 11/01/2051 | 1,335 | 1,262 | ||||||
| Copperleaf Metropolitan District No. 2, | ||||||||
| GO, BAM, 4.00%, 12/01/2023 | 305 | 307 | ||||||
| GO, BAM, 4.00%, 12/01/2025 | 470 | 478 | ||||||
| Crystal Valley, Metropolitan District No. 2, | ||||||||
| Series A, GO, AGM, 5.00%, 12/01/2028 | 500 | 542 | ||||||
| Series A, GO, AGM, 5.00%, 12/01/2029 | 405 | 443 | ||||||
| Series A, GO, AGM, 5.00%, 12/01/2030 | 360 | 397 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Colorado — continued |
||||||||
| Denver City & County, School District No. 1, GO, 5.00%, 12/01/2029 | 1,000 | 1,063 | ||||||
| Denver Convention Center Hotel Authority, Senior, Rev., 5.00%, 12/01/2036 | 1,320 | 1,313 | ||||||
| Denver Urban Renewal Authority, Senior Subordinated Stapleton, Series B, Tax Allocation, 5.00%, 12/01/2025 | 500 | 524 | ||||||
| E-470 Public Highway Authority, Series B, Rev., (United States SOFR * 0.67 + 0.35%), 2.33%, 09/01/2039 (aa) | 1,485 | 1,470 | ||||||
| E-470 Public Highway Authority, Capital Appreciation School Reform, Series B, Rev., NATL, Zero Coupon, 09/01/2030 | 290 | 207 | ||||||
| E-470 Public Highway Authority, Senior, | ||||||||
| Series A, Rev., 5.00%, 09/01/2027 | 1,000 | 1,069 | ||||||
| Series A, Rev., 5.00%, 09/01/2028 | 1,000 | 1,078 | ||||||
| Series A, Rev., 5.00%, 09/01/2040 | 2,775 | 2,818 | ||||||
| Falcon Area Water & Wastewater Authority, Series A, Rev., 6.75%, 12/01/2034 (e) | 3,000 | 2,700 | ||||||
| Great Western Metropolitan District, GO, 4.75%, 12/01/2050 | 500 | 418 | ||||||
| Jefferson Center Metropolitan District No. 1, | ||||||||
| Series A2, Rev., 4.13%, 12/01/2040 | 575 | 477 | ||||||
| Series A2, Rev., 4.38%, 12/01/2047 | 795 | 641 | ||||||
| Jefferson County School District, Series R1, GO, 5.00%, 12/15/2031 | 2,000 | 2,160 | ||||||
| Poudre Tech Metropolitan District, GO, AGM, 3.00%, 12/01/2022 | 420 | 420 | ||||||
| Public Authority for Colorado Energy, Rev., 6.50%, 11/15/2038 | 3,000 | 3,419 | ||||||
| Pueblo Urban Renewal Authority, EVRAZ Project Tax Increment, Tax Allocation, 4.75%, 12/01/2045 (e) | 635 | 540 | ||||||
| Regional Transportation District, Denver Transit Partners Eagle, | ||||||||
| Series A, Rev., 5.00%, 07/15/2026 | 575 | 586 | ||||||
| Series A, Rev., 5.00%, 01/15/2027 | 1,000 | 1,021 | ||||||
| Series A, Rev., 5.00%, 01/15/2032 | 1,470 | 1,501 | ||||||
| Siena Lake Metropolitan District, GO, 3.75%, 12/01/2041 | 500 | 362 | ||||||
| South Suburban Park & Recreation District, COP, 4.00%, 12/15/2036 | 1,350 | 1,317 | ||||||
| Spring Valley Metropolitan District No. 3, Series A, GO, 5.00%, 12/01/2049 | 1,360 | 1,156 | ||||||
| State of Colorado, | ||||||||
| COP, 6.00%, 12/15/2041 | 15,000 | 17,294 | ||||||
| Series A, COP, 5.00%, 09/01/2026 | 1,500 | 1,590 | ||||||
| Series A, COP, 5.00%, 12/15/2029 | 1,000 | 1,098 | ||||||
| Sterling Ranch Metropolitan District No. 1, GO, 5.00%, 12/01/2040 | 500 | 450 | ||||||
| University of Colorado, University Enterprise, | ||||||||
| Rev., 2.00%, 06/01/2051 (z) | 4,000 | 3,779 | ||||||
| Verve Metropolitan District No. 1, GO, 5.00%, 12/01/2036 | 1,500 | 1,423 | ||||||
| Village Metropolitan District (The), GO, 4.15%, 12/01/2030 | 485 | 455 | ||||||
| Villages at Johnstown Metropolitan District No. 3, Senior Bond, Series A, GO, 5.00%, 12/01/2040 | 585 | 520 | ||||||
| Windler Public Improvement Authority, Series A1, Rev., 4.00%, 12/01/2036 | 2,565 | 1,922 | ||||||
|
|
|
|||||||
| 127,989 | ||||||||
|
|
|
|||||||
| Connecticut — 1.3% | ||||||||
| City of Bridgeport, Series A, GO, 4.00%, 06/01/2039 | 250 | 224 | ||||||
| Connecticut Housing Finance Authority, Social Bond, Series C, Rev., (SIFMA Municipal Swap Index + 0.63%), 3.08%, 05/15/2051 (aa) | 1,560 | 1,560 | ||||||
| Connecticut Housing Finance Authority, Social Bonds, Series A1, Rev., 3.50%, 11/15/2051 | 70 | 67 | ||||||
| Connecticut State Health & Educational Facilities Authority, Series 2017 B1, Rev., 5.00%, 07/01/2029 | 4,845 | 5,381 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Connecticut — continued |
||||||||
| Connecticut State Health & Educational Facilities Authority, Hartford Healthcare Project, | ||||||||
| Series A, Rev., 5.00%, 07/01/2026 | 555 | 578 | ||||||
| Series A, Rev., 5.00%, 07/01/2033 | 565 | 586 | ||||||
| Connecticut State Health & Educational Facilities Authority, Stamford Hospital Issue, | ||||||||
| Rev., 4.00%, 07/01/2035 | 1,000 | 901 | ||||||
| Rev., 4.00%, 07/01/2038 | 2,500 | 2,188 | ||||||
| Rev., 4.00%, 07/01/2041 | 2,250 | 1,902 | ||||||
| Rev., 5.00%, 07/01/2024 | 175 | 178 | ||||||
| Rev., 5.00%, 07/01/2030 | 865 | 908 | ||||||
| Connecticut State Health & Educational Facilities Authority, Yale New Haven, Series B, Rev., 1.80%, 07/01/2049 (z) | 4,000 | 3,876 | ||||||
| Connecticut State Health & Educational Facilities Authority, Yale University, Series C2, Rev., 5.00%, 07/01/2057 (z) | 1,725 | 1,736 | ||||||
| Connecticut State Higher Education Supplement Loan Authority, CHESLA Loan Program, Series B, Rev., AMT, 5.00%, 11/15/2030 | 500 | 536 | ||||||
| Connecticut State, Health & Educational Facilities Authority, Sacred Heart University, | ||||||||
| Series K, Rev., 4.00%, 07/01/2045 | 750 | 650 | ||||||
| Series K, Rev., 5.00%, 07/01/2037 | 950 | 976 | ||||||
| Connecticut State, Health & Educational Facilities Authority, Yale University, | ||||||||
| Series A, Rev., 1.10%, 07/01/2048 (z) | 1,755 | 1,739 | ||||||
| Series C1, Rev., 5.00%, 07/01/2040 (z) | 4,320 | 4,689 | ||||||
| State of Connecticut, | ||||||||
| Series 2021A, GO, 3.00%, 01/15/2026 | 5,000 | 4,890 | ||||||
| Series 2021A, GO, 3.00%, 01/15/2032 | 2,250 | 2,029 | ||||||
| Series 2021A, GO, 3.00%, 01/15/2033 | 500 | 442 | ||||||
| Series 2021A, GO, 4.00%, 01/15/2028 | 3,500 | 3,584 | ||||||
| Series A, GO, 4.00%, 03/15/2032 | 850 | 851 | ||||||
| Series B, GO, 5.00%, 06/15/2026 | 1,000 | 1,042 | ||||||
| Series C, GO, 5.00%, 06/15/2037 | 40 | 43 | ||||||
| State of Connecticut Special Tax Revenue, | ||||||||
| Series A, Rev., 5.00%, 05/01/2035 | 500 | 540 | ||||||
| Series D, Rev., 4.00%, 11/01/2038 | 3,500 | 3,294 | ||||||
| Series D, Rev., 5.00%, 11/01/2028 | 1,480 | 1,605 | ||||||
| Series D, Rev., 5.00%, 11/01/2033 | 1,675 | 1,830 | ||||||
| Series D, Rev., 5.00%, 11/01/2036 | 1,500 | 1,614 | ||||||
| State of Connecticut, Social Bonds, Series B, GO, 4.00%, 01/15/2038 | 500 | 465 | ||||||
| State of Connecticut, Special Tax Obligation Bonds, | ||||||||
| Rev., 5.00%, 05/01/2025 | 1,150 | 1,198 | ||||||
| Rev., 5.00%, 05/01/2040 | 300 | 315 | ||||||
| State of Connecticut, Special Tax Revenue, Transportation Infrastructure, Series A, Rev., 5.00%, 09/01/2031 | 1,220 | 1,256 | ||||||
| Steel Point Infrastructure Improvement District, Steelpointe Harbor Project, Tax Allocation, 4.00%, 04/01/2036 (e) | 195 | 170 | ||||||
| Town of Hamden, | ||||||||
| GO, BAM, 4.00%, 08/15/2027 | 535 | 548 | ||||||
| GO, BAM, 5.00%, 08/15/2029 | 575 | 612 | ||||||
| GO, BAM, 5.00%, 08/15/2031 | 500 | 532 | ||||||
| Series A, GO, BAM, 5.00%, 08/01/2032 | 500 | 527 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Connecticut — continued |
||||||||
| University of Connecticut, | ||||||||
| Series A, Rev., 5.00%, 02/15/2025 | 2,590 | 2,691 | ||||||
| Series A, Rev., 5.00%, 08/15/2026 | 1,400 | 1,421 | ||||||
| Series A, Rev., 5.00%, 01/15/2037 | 3,000 | 3,113 | ||||||
|
|
|
|||||||
| 63,287 | ||||||||
|
|
|
|||||||
| Delaware — 0.5% | ||||||||
| Delaware State Economic Development Authority, NRG Energy Project, Rev., 1.25%, 10/01/2045 (z) | 4,065 | 3,632 | ||||||
| Delaware State Health Facilities Authority, Christiana Health Care System, Rev., 5.00%, 10/01/2039 | 5,345 | 5,528 | ||||||
| Delaware Transportation Authority, | ||||||||
| Rev., 5.00%, 07/01/2027 | 1,000 | 1,078 | ||||||
| Rev., 5.00%, 07/01/2033 | 2,265 | 2,487 | ||||||
| State of Delaware, | ||||||||
| GO, 5.00%, 02/01/2028 | 6,520 | 7,094 | ||||||
| GO, 4.00%, 02/01/2031 | 1,000 | 1,029 | ||||||
| GO, 5.00%, 02/01/2031 | 85 | 96 | ||||||
| Series A, GO, 5.00%, 10/01/2024 | 1,500 | 1,555 | ||||||
|
|
|
|||||||
| 22,499 | ||||||||
|
|
|
|||||||
| District of Columbia — 1.5% | ||||||||
| District of Columbia, | ||||||||
| Rev., 5.00%, 06/01/2040 | 1,725 | 1,640 | ||||||
| Series A, Rev., 4.00%, 03/01/2037 | 2,000 | 1,940 | ||||||
| Series A, Rev., 4.00%, 03/01/2040 | 10,000 | 9,456 | ||||||
| Series A, Rev., 5.00%, 03/01/2031 | 1,500 | 1,645 | ||||||
| Series C, Rev., 4.00%, 05/01/2039 | 2,500 | 2,402 | ||||||
| Series C, Rev., 5.00%, 10/01/2030 | 3,250 | 3,569 | ||||||
| Series D, GO, 5.00%, 02/01/2028 | 820 | 891 | ||||||
| Series D, GO, 5.00%, 02/01/2029 | 70 | 77 | ||||||
| Series D, GO, 5.00%, 02/01/2034 | 5,000 | 5,432 | ||||||
| Series E, GO, 5.00%, 02/01/2028 | 110 | 120 | ||||||
| District of Columbia Housing Finance Agency, Kenilworth 166 Apartments, Rev., HUD, 1.25%, 06/01/2025 (z) | 3,225 | 3,045 | ||||||
| District of Columbia Water & Sewer Authority, Green Bond Subordinate, Series A, Rev., 5.00%, 10/01/2038 | 1,010 | 1,069 | ||||||
| District of Columbia Water & Sewer Authority, Subordinate, Series C1, Rev., 5.00%, 10/01/2031 | 2,000 | 2,242 | ||||||
| District of Columbia, Latin American Montessori, Rev., 4.00%, 06/01/2030 | 745 | 707 | ||||||
| District of Columbia, National Public Radio, | ||||||||
| Rev., 4.00%, 04/01/2032 (p) | 1,500 | 1,536 | ||||||
| Rev., 5.00%, 04/01/2028 (p) | 270 | 285 | ||||||
| Rev., 5.00%, 04/01/2029 (p) | 275 | 291 | ||||||
| District of Columbia, Water & Sewer Authority, Subordinated Lien, Series A, Rev., 5.00%, 10/01/2027 | 615 | 615 | ||||||
| Metropolitan Washington Airports Authority, | ||||||||
| Rev., AMT, 5.00%, 10/01/2026 | 1,335 | 1,389 | ||||||
| Rev., AMT, 5.00%, 10/01/2029 | 2,000 | 2,076 | ||||||
| Series A, Rev., AMT, 5.00%, 10/01/2027 | 1,000 | 1,046 | ||||||
| Metropolitan Washington Airports Authority Aviation Revenue, | ||||||||
| Rev., AMT, 5.00%, 10/01/2027 | 1,000 | 1,046 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| District of Columbia — continued |
||||||||
| Series A, Rev., AMT, 5.00%, 10/01/2023 | 85 | 86 | ||||||
| Series A, Rev., AMT, 5.00%, 10/01/2025 | 450 | 465 | ||||||
| Series A, Rev., AMT, 5.00%, 10/01/2030 | 1,000 | 1,054 | ||||||
| Series A, Rev., AMT, 5.00%, 10/01/2032 | 5,000 | 5,221 | ||||||
| Series A, Rev., AMT, 5.00%, 10/01/2044 | 3,890 | 3,885 | ||||||
| Metropolitan Washington Airports Authority Aviation Revenue, Airport System, Series A, Rev., AMT, 5.00%, 10/01/2033 | 3,000 | 3,093 | ||||||
| Metropolitan Washington Airports Authority, Dulles Toll Road Revenue, Series B, Rev., 4.00%, 10/01/2049 | 1,000 | 837 | ||||||
| Metropolitan Washington Airports Authority Dulles Toll Road Revenue, Dulles Metrorail & Capital, Rev., AGM, 4.00%, 10/01/2052 | 5,000 | 4,301 | ||||||
| Metropolitan Washington Airports Authority Dulles Toll Road Revenue, Subordinated Dulles Metrorail, Rev., AGM, 4.00%, 10/01/2053 | 1,965 | 1,684 | ||||||
| Metropolitan Washington Airports Authority, Airport System Revenue, Series A, Rev., AMT, 5.00%, 10/01/2034 | 395 | 405 | ||||||
| Metropolitan Washington Airports Authority, Dulles Toll Road Revenue, Second Lien, Series C, Rev., AGC, 6.50%, 10/01/2041 (p) | 350 | 391 | ||||||
| Washington Convention & Sports Authority, | ||||||||
| Series A, Rev., 4.00%, 10/01/2034 | 1,015 | 986 | ||||||
| Series A, Rev., 4.00%, 10/01/2036 | 330 | 307 | ||||||
| Series A, Rev., 5.00%, 10/01/2033 | 1,000 | 1,082 | ||||||
| Washington Convention & Sports Authority, Senior Lien, | ||||||||
| Series B, Tax Allocation, 5.00%, 10/01/2029 | 1,000 | 1,092 | ||||||
| Series B, Tax Allocation, 5.00%, 10/01/2030 | 1,500 | 1,647 | ||||||
| Washington Metropolitan Area Transit Authority, | ||||||||
| Series A, Rev., 5.00%, 07/15/2026 | 1,650 | 1,749 | ||||||
| Series A, Rev., 5.00%, 07/15/2037 | 2,000 | 2,131 | ||||||
| Washington Metropolitan Area Transit Authority, Green Bond, Series A, Rev., 5.00%, 07/15/2029 | 1,540 | 1,687 | ||||||
|
|
|
|||||||
| 74,622 | ||||||||
|
|
|
|||||||
| Florida — 5.1% | ||||||||
| Alachua County Health Facilities Authority, Oak Hammock At The University of Florida, Inc. Project, Rev., 4.00%, 10/01/2031 | 615 | 565 | ||||||
| Alachua County Health Facilities Authority, Shands Teaching Hospital & Clinics, Rev., 5.00%, 12/01/2034 | 2,570 | 2,596 | ||||||
| Alachua County, Health Facilities Authority, Shands Teaching Hospital and Clinic, Rev., 5.00%, 12/01/2032 | 1,000 | 1,035 | ||||||
| Ave Maria Stewardship Community District, Phase 3 Master Improvements Project, | ||||||||
| Special Assessment, 2.75%, 05/01/2031 | 420 | 338 | ||||||
| Special Assessment, 3.13%, 05/01/2041 | 1,775 | 1,266 | ||||||
| Ave Maria Stewardship Community District, Phase 4 Master Improvement, Special Assessment, BAN, 3.50%, 05/01/2026 (e) | 1,000 | 915 | ||||||
| Belmond Reserve Community Development District, 202 Project, Special Assessment, 4.00%, 05/01/2040 | 345 | 293 | ||||||
| Belmont II Community Development District, 2020 Assessment Area, | ||||||||
| Special Assessment, 2.50%, 12/15/2025 | 20 | 19 | ||||||
| Special Assessment, 3.13%, 12/15/2030 | 125 | 106 | ||||||
| Boggy Branch Community Development District, Special Assessment, 2.50%, 05/01/2026 | 295 | 266 | ||||||
| Brevard County Health Facilities Authority, Health First, Inc., Rev., 5.00%, 04/01/2025 | 1,600 | 1,637 | ||||||
| Brevard County Housing Finance Authority, Tropical Manor Apartments, Rev., 0.25%, 12/01/2023 (z) | 25 | 25 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Florida — continued |
||||||||
| Broward County Housing Finance Authority, Solaris Apartments, Series B, Rev., 0.70%, 01/01/2025 (z) | 1,470 | 1,387 | ||||||
| Broward County Water & Sewer Utility Revenue, Series A, Rev., 4.00%, 10/01/2038 | 675 | 639 | ||||||
| Capital Projects Finance Authority, Florida University Project, Series A1, Rev., 5.00%, 10/01/2032 | 1,350 | 1,328 | ||||||
| Capital Trust Agency, Inc., College Park Towers Apartments, Rev., HUD, 1.25%, 05/01/2024 (z) | 7,500 | 7,398 | ||||||
| Capital Trust Agency, Inc., Imagine School at North Manatee, Rev., 5.00%, 06/01/2041 (e) | 325 | 284 | ||||||
| Capital Trust Agency, Inc., Liza Jackson Preparatory School, Rev., 5.00%, 08/01/2040 | 150 | 146 | ||||||
| Capital Trust Agency, Inc., Lutz Preparatory School, Inc. Project, Series A, Rev., 4.00%, 06/01/2041 | 300 | 264 | ||||||
| Capital Trust Agency, Inc., Tallahassee Classical School, Rev., 4.00%, 07/01/2036 (e) | 1,370 | 1,059 | ||||||
| Central Florida Expressway Authority, | ||||||||
| Series D, Rev., 5.00%, 07/01/2029 | 565 | 617 | ||||||
| Series D, Rev., AGM, 5.00%, 07/01/2034 | 3,000 | 3,253 | ||||||
| Series D, Rev., AGM, 5.00%, 07/01/2035 | 10,000 | 10,818 | ||||||
| Central Florida Expressway Authority, Senior Lien, | ||||||||
| Rev., AGM, 4.00%, 07/01/2038 | 3,625 | 3,379 | ||||||
| Rev., AGM, 4.00%, 07/01/2039 | 1,260 | 1,166 | ||||||
| Centre Lake Community Development District, Special Assessment, 3.00%, 05/01/2042 | 605 | 417 | ||||||
| Chapel Creek Community Development District, Special Assessment, 3.00%, 05/01/2031 (e) | 260 | 216 | ||||||
| City of Cape Coral, Water & Sewer Revenue, Rev., 5.00%, 10/01/2029 | 250 | 269 | ||||||
| City of Jacksonville, Series A, Rev., 5.00%, 10/01/2034 | 1,250 | 1,344 | ||||||
| City of Jacksonville, Baptist Health, Rev., VRDO, 2.48%, 10/07/2022 (z) | 2,000 | 2,000 | ||||||
| City of Jacksonville, Brooks Rehabilitation Project, | ||||||||
| Rev., 4.00%, 11/01/2034 | 500 | 461 | ||||||
| Rev., 4.00%, 11/01/2045 | 1,500 | 1,268 | ||||||
| City of Lake Worth Beach Consolidated Utility Revenue, | ||||||||
| Rev., BAM, 5.00%, 10/01/2029 | 1,930 | 2,091 | ||||||
| Rev., BAM, 5.00%, 10/01/2030 | 2,135 | 2,328 | ||||||
| City of Pompano Beach, John Knox Village Project, Series A, Rev., 4.00%, 09/01/2036 | 175 | 151 | ||||||
| City of Port St Lucie Stormwater Utility Revenue, Rev., 4.00%, 05/01/2039 | 1,075 | 983 | ||||||
| City of South Miami, Health Facilities Authority, Inc., Baptist Health South Florida, Rev., 5.00%, 08/15/2023 | 100 | 101 | ||||||
| City of Tallahassee, Energy System Revenue, Rev., 5.00%, 10/01/2028 | 2,000 | 2,159 | ||||||
| Collier County Health Facilities Authority, The Moorings, Inc., Rev., 4.00%, 05/01/2052 | 145 | 117 | ||||||
| County of Broward Tourist Development Tax Revenue, Convention Center Expansion Project, Rev., 5.00%, 09/01/2031 | 3,000 | 3,167 | ||||||
| County of Broward, Airport System Revenue, | ||||||||
| Rev., AMT, 5.00%, 10/01/2033 | 655 | 664 | ||||||
| Series A, Rev., AMT, 5.00%, 10/01/2028 | 800 | 835 | ||||||
| Series A, Rev., AMT, 5.00%, 10/01/2036 | 2,000 | 2,027 | ||||||
| County of Broward, Port Facilities Revenue, Senior Bond, Series B, Rev., AMT, 4.00%, 09/01/2044 | 3,000 | 2,614 | ||||||
| County of Hillsborough, Rev., 4.00%, 08/01/2034 | 4,370 | 4,335 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Florida — continued |
||||||||
| County of Lee Airport Revenue, | ||||||||
| Series B, Rev., AMT, 5.00%, 10/01/2029 | 180 | 188 | ||||||
| Series B, Rev., AMT, 5.00%, 10/01/2032 | 2,000 | 2,074 | ||||||
| County of Lee Local Option Gas Tax Revenue, Rev., 5.25%, 08/01/2049 | 13,000 | 13,476 | ||||||
| County of Miami-Dade Aviation Revenue, | ||||||||
| Series A, Rev., 5.00%, 10/01/2025 | 1,250 | 1,304 | ||||||
| Series A, Rev., AMT, 5.00%, 10/01/2025 (p) | 2,250 | 2,250 | ||||||
| Series A, Rev., 5.00%, 10/01/2031 | 2,000 | 2,141 | ||||||
| Series A, Rev., AMT, 5.00%, 10/01/2044 | 2,200 | 2,194 | ||||||
| Series B, Rev., AMT, 5.00%, 10/01/2040 | 7,000 | 7,001 | ||||||
| County of Miami-Dade Seaport Department, Subordinate, Series A1, Rev., AGM, AMT, 4.00%, 10/01/2040 | 2,675 | 2,416 | ||||||
| County of Miami-Dade, Aviation Revenue, | ||||||||
| Rev., AMT, 5.00%, 10/01/2028 | 7,000 | 7,109 | ||||||
| Series A, Rev., AMT, 5.00%, 10/01/2027 (p) | 1,455 | 1,476 | ||||||
| Series A, Rev., AMT, 5.00%, 10/01/2030 | 2,000 | 2,037 | ||||||
| County of Miami-Dade, Building Better Communities Project, Series A, GO, 4.00%, 07/01/2044 | 350 | 315 | ||||||
| County of Miami-Dade, Water & Sewer System Revenue, | ||||||||
| Series B, Rev., 5.00%, 10/01/2031 | 500 | 519 | ||||||
| Series B, Rev., 5.00%, 10/01/2033 | 1,000 | 1,033 | ||||||
| County of Monroe Airport Revenue, Key West International Airport, Series 202, Rev., AMT, 5.00%, 10/01/2052 | 2,450 | 2,270 | ||||||
| Cypress Bluff Community, Development District, Delaware Webb Project, Series A, Special Assessment, 2.70%, 05/01/2025 (e) | 115 | 108 | ||||||
| Daytona Beach Housing Authority, The WM at River Project, Rev., 1.25%, 12/01/2025 (z) | 115 | 107 | ||||||
| DG Farms Community Development District, Special Assessment, 3.75%, 05/01/2040 | 400 | 313 | ||||||
| Eden Hills Community Development District, Special Assessment, 4.00%, 05/01/2040 | 300 | 255 | ||||||
| Epperson North Community Development District, Assessment Area, Special Assessment, 2.50%, 05/01/2026 | 195 | 175 | ||||||
| Florida Development Finance Corp., Series A, Rev., 4.00%, 06/01/2030 | 500 | 452 | ||||||
| Florida Development Finance Corp., Brightline Florida Passenger Rail, Series B, Rev., AMT, 7.38%, 01/01/2049 (e) | 9,500 | 8,185 | ||||||
| Florida Development Finance Corp., Brightline Passenger, Rev., AMT, 2.90%, 12/01/2056 (z) | 3,440 | 3,412 | ||||||
| Florida Development Finance Corp., Brighton, Florida Passenger Rail, Rev., AMT, 7.25%, 07/01/2057 (e) | 8,000 | 7,808 | ||||||
| Florida Development Finance Corp., Discovery High School Project, Series A, Rev., 4.00%, 06/01/2030 (e) | 1,500 | 1,365 | ||||||
| Florida Development Finance Corp., Mater Academy Project, Series A, Rev., 5.00%, 06/15/2040 | 400 | 400 | ||||||
| Florida Development Finance Corp., Mayflower Retirement, Rev., 1.75%, 06/01/2026 (e) | 510 | 453 | ||||||
| Florida Development Finance Corp., UF Health Jacksonville Project, Rev., 5.00%, 02/01/2035 | 1,200 | 1,153 | ||||||
| Florida Development Finance Corp., Virgin Trains USA Passenger, | ||||||||
| Series A, Rev., AMT, 6.38%, 01/01/2049 (e) (z) | 3,225 | 2,949 | ||||||
| Series A, Rev., AMT, 6.50%, 01/01/2049 (e) (z) | 2,000 | 1,702 | ||||||
| Florida Housing Finance Corp., Series 2, Rev., GNMA/FNMA/FHLMC, 3.00%, 07/01/2052 | 615 | 582 | ||||||
| Florida Housing Finance Corp., Social Bond, Social Bond, Series 1, Rev., GNMA/FNMA/FHLMC, 3.00%, 01/01/2052 | 1,455 | 1,386 | ||||||
| Florida Housing Finance Corp., Social Bonds, | ||||||||
| Series 1, Rev., GNMA/FNMA/FHLMC, 3.50%, 07/01/2052 | 1,000 | 961 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Florida — continued |
||||||||
| Series 2, Rev., GNMA/FNMA/FHLMC, 3.00%, 07/01/2051 | 6,845 | 6,542 | ||||||
| Florida State Board of Governors Florida International University Dormitory Rev, Series A, Rev., BAM, 5.00%, 07/01/2029 | 1,900 | 2,043 | ||||||
| Fort Pierce Utilities Authority, Series A, Rev., AGM, 5.00%, 10/01/2039 | 925 | 979 | ||||||
| Greater Orlando Aviation Authority, Series A, Rev., AMT, 5.00%, 10/01/2032 | 1,500 | 1,558 | ||||||
| Greater Orlando Aviation Authority, Priority Subordinated, | ||||||||
| Series A, Rev., AMT, 5.00%, 10/01/2033 | 1,500 | 1,521 | ||||||
| Series A, Rev., AMT, 5.00%, 10/01/2036 | 2,230 | 2,251 | ||||||
| Hammock Reserve Community Development District, Assessment Area One Project, Special Assessment, 4.00%, 05/01/2040 | 545 | 467 | ||||||
| Hillsborough County Aviation Authority, Tampa, Rev., AMT, 5.00%, 10/01/2040 (p) | 750 | 768 | ||||||
| Hillsborough County Industrial Development Authority, Tampa General Hospital Project, Series A, Rev., 4.00%, 08/01/2045 | 3,275 | 2,636 | ||||||
| JEA Electric System Revenue, | ||||||||
| Series 3A, Rev., VRDO, 2.52%, 10/07/2022 (z) | 8,000 | 8,000 | ||||||
| Series 3A, Rev., 5.00%, 10/01/2035 | 5,000 | 5,306 | ||||||
| Series IIIB, Rev., 5.00%, 10/01/2032 | 1,295 | 1,370 | ||||||
| JEA Electric System Revenue, Subordinate, Series A, Rev., 5.00%, 10/01/2031 | 1,795 | 1,957 | ||||||
| JEA Water & Sewer System Revenue, Series A, Rev., 4.00%, 10/01/2037 | 750 | 708 | ||||||
| JEA Water & Sewer System Revenue, Subordinated, Series A, Rev., 5.00%, 10/01/2031 | 885 | 943 | ||||||
| Lakewood Ranch Stewardship District, Lorraine Lakes Project, Special Assessment, 3.13%, 05/01/2030 (e) | 315 | 268 | ||||||
| Lakewood Ranch Stewardship District, Northeast Sector Project, | ||||||||
| Special Assessment, 2.50%, 05/01/2025 (e) | 865 | 804 | ||||||
| Special Assessment, 3.20%, 05/01/2030 (e) | 545 | 466 | ||||||
| Special Assessment, 3.50%, 05/01/2040 | 925 | 707 | ||||||
| Lakewood Ranch Stewardship District, Zario Project, Special Assessment, 2.63%, 05/01/2025 | 425 | 398 | ||||||
| Lee Memorial Health System, Float Mode, Lee Memorial, Rev., VRDO, 2.86%, 10/07/2022 (z) | 8,000 | 8,000 | ||||||
| Miami-Dade County Housing Finance Authority, Platform 3750 LLC, Rev., 0.25%, 08/01/2024 (z) | 1,525 | 1,480 | ||||||
| Miami-Dade County Housing Finance Authority, Sunset Bay Apartments, Rev., 0.25%, 12/01/2023 (z) | 80 | 80 | ||||||
| Midtown Miami Community Development District, Series A, Special Assessment, 5.00%, 05/01/2037 | 350 | 349 | ||||||
| North Powerline Road Community Development District, Special Assessment, 3.63%, 05/01/2040 | 1,345 | 1,048 | ||||||
| Old Hickory Community Development District, Special Assessment, 2.50%, 06/15/2025 | 165 | 155 | ||||||
| Orange County Health Facilities Authority, Orlando Health Obligated Group, Rev., 4.00%, 10/01/2052 | 5,000 | 4,166 | ||||||
| Orange County Health Facilities Authority, Presbyterian Retirement Communities, | ||||||||
| Rev., 4.00%, 08/01/2036 (w) | 295 | 255 | ||||||
| Rev., 5.00%, 08/01/2047 | 790 | 819 | ||||||
| Orange County Housing Finance Authority, Stratford Point Apartments, Rev., 0.55%, 01/01/2025 (z) | 885 | 833 | ||||||
| Orlando Utilities Commission, Series 2018A, Rev., 5.00%, 10/01/2035 | 2,480 | 2,630 | ||||||
| Palm Beach County Health Facilities Authority, BRRH Corporation Obligated Group, Rev., 5.00%, 12/01/2024 (p) | 1,910 | 1,979 | ||||||
| Palm Beach County Health Facilities Authority, Retirement Life Communities, Rev., 5.00%, 11/15/2032 | 2,270 | 2,305 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Florida — continued |
||||||||
| Palm Beach County Housing Finance Authority, Christian Manor, Rev., 1.25%, 02/15/2025 (z) | 1,985 | 1,889 | ||||||
| Parkview at Long Lake Ranch Community Development District, Special Assessment, 4.00%, 05/01/2051 | 800 | 625 | ||||||
| Pasco County School Board, Series A, COP, BAM, 5.00%, 08/01/2036 | 1,720 | 1,827 | ||||||
| Pine Island Community Development District, Special Assessment, 5.75%, 05/01/2035 | 2,000 | 2,004 | ||||||
| Pine Ridge Plantation Community Development District, Senior Lien, Series A1, Special Assessment, AGM, 3.00%, 05/01/2023 | 480 | 478 | ||||||
| Pinellas County Housing Finance Authority, Jordan Park Apartments, Rev., HUD, 0.65%, 01/01/2025 (z) | 1,135 | 1,070 | ||||||
| Reunion East Community Development District, | ||||||||
| Special Assessment, 2.40%, 05/01/2026 | 100 | 91 | ||||||
| Special Assessment, 2.85%, 05/01/2031 | 25 | 21 | ||||||
| Saddle Creek Preserve of Polk County Community Development District, Special Assessment, 4.00%, 06/15/2040 | 500 | 427 | ||||||
| Sarasota County Health Facilities Authority, Sunnyside Village Project, Rev., 5.00%, 05/15/2048 | 425 | 390 | ||||||
| Sarasota County Public Hospital District, Sarasota Memorial Hospital Project, Rev., 4.00%, 07/01/2052 | 6,000 | 5,027 | ||||||
| Sarasota National Community Development District, Special Assessment, 4.00%, 05/01/2039 | 615 | 530 | ||||||
| Sawyers Landing Community Development District, Special Assessment, 3.75%, 05/01/2031 | 400 | 353 | ||||||
| School District of Broward County, Series A, COP, 5.00%, 07/01/2027 | 1,500 | 1,593 | ||||||
| Somerset Community Development District, Special Assessment, 4.00%, 05/01/2032 | 800 | 739 | ||||||
| St. John’s County School Board, Series A, COP, AGM, 5.25%, 07/01/2047 | 3,000 | 3,189 | ||||||
| State Board of Administration Finance Corp., Taxable, Series A, Rev., 1.71%, 07/01/2027 | 4,000 | 3,421 | ||||||
| State of Florida Department of Transportation, Rev., 5.00%, 07/01/2024 | 430 | 443 | ||||||
| State of Florida Department of Transportation Turnpike System Revenue, Series B, Rev., 5.00%, 07/01/2033 | 1,000 | 1,103 | ||||||
| State of Florida Department of Transportation Turnpike System Revenue, Turnpike Revenue, Series B, Rev., 3.00%, 07/01/2033 | 2,390 | 2,112 | ||||||
| State of Florida, Capital Outlay, Series C, GO, 5.00%, 06/01/2027 | 1,060 | 1,124 | ||||||
| State of Florida, Department of Transportation, Turnpike System Revenue, | ||||||||
| Series A, Rev., 5.00%, 07/01/2029 | 500 | 543 | ||||||
| Series B, Rev., 5.00%, 07/01/2023 | 125 | 127 | ||||||
| Stillwater Community Development District, Project 2021, Special Assessment, 3.00%, 06/15/2031 (e) | 225 | 186 | ||||||
| Stoneybrook South Community Development District, Fox South Assessment Area, | ||||||||
| Special Assessment, 2.50%, 12/15/2025 (e) | 550 | 502 | ||||||
| Special Assessment, 3.00%, 12/15/2030 (e) | 475 | 394 | ||||||
| Special Assessment, 3.50%, 12/15/2040 (e) | 1,030 | 786 | ||||||
| Storey Park Community Development District, Assessment Area Four Project, | ||||||||
| Special Assessment, 2.38%, 06/15/2026 (e) | 35 | 31 | ||||||
| Special Assessment, 2.88%, 06/15/2031 (e) | 60 | 49 | ||||||
| Towne Park Community Development District, Assessment Area 3D Project, Special Assessment, 2.63%, 05/01/2025 (e) | 380 | 362 | ||||||
| Tradition Community Development District No. 9, Special Assessment, 3.00%, 05/01/2041 | 130 | 91 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Florida — continued |
||||||||
| Village Community Development District No. 13, | ||||||||
| Special Assessment, 1.88%, 05/01/2025 (e) | 745 | 691 | ||||||
| Special Assessment, 2.63%, 05/01/2030 (e) | 1,485 | 1,260 | ||||||
| Villamar Community Development District, Special Assessment, 3.75%, 05/01/2040 | 655 | 521 | ||||||
| Wildwood Utility Dependent District, Senior South Sumter Utilities Project, | ||||||||
| Rev., BAM, 5.00%, 10/01/2031 | 1,300 | 1,429 | ||||||
| Rev., BAM, 5.00%, 10/01/2033 | 1,150 | 1,253 | ||||||
| Rev., BAM, 5.00%, 10/01/2039 | 1,490 | 1,583 | ||||||
| Rev., BAM, 5.00%, 10/01/2040 | 1,610 | 1,700 | ||||||
| Wildwood Utility Dependent District, Subordinate South Sumter Utilities Project, Rev., BAM, 5.00%, 10/01/2041 | 650 | 682 | ||||||
|
|
|
|||||||
| 252,352 | ||||||||
|
|
|
|||||||
| Georgia — 3.4% | ||||||||
| Atlanta Urban Residential Finance Authority, Sylvan Senior Apartments, Rev., FHA, 0.41%, 12/01/2025 (z) | 575 | 551 | ||||||
| Bartow County Development Authority, Georgia Power Co. Pollution Bowen Project, Rev., 1.80%, 09/01/2029 (z) | 4,425 | 3,789 | ||||||
| Board of Water Light & Sinking Fund Commissioners of The City of Dalton, Combined Utilities Revenue Bonds, | ||||||||
| Rev., 4.00%, 03/01/2035 | 1,100 | 1,021 | ||||||
| Rev., 4.00%, 03/01/2036 | 1,000 | 915 | ||||||
| Rev., 4.00%, 03/01/2037 | 1,135 | 1,017 | ||||||
| Rev., 4.00%, 03/01/2038 | 1,000 | 892 | ||||||
| Brookhaven Development Authority, Children’s Healthcare of Atlanta Obligated Group, Series A, Rev., 4.00%, 07/01/2044 | 3,000 | 2,692 | ||||||
| Carroll County, School District, GO, 5.00%, 04/01/2024 | 1,000 | 1,028 | ||||||
| City of Atlanta Department of Aviation, | ||||||||
| Series C, Rev., AMT, 5.00%, 07/01/2026 | 960 | 996 | ||||||
| Series C, Rev., AMT, 5.00%, 07/01/2034 | 540 | 557 | ||||||
| City of Atlanta Water & Wastewater Revenue, Series B, Rev., 4.00%, 11/01/2037 | 1,000 | 963 | ||||||
| City of Atlanta, Airport Passenger Facility, Subordinated Lien, Series C, Rev., 5.00%, 07/01/2040 | 2,000 | 2,073 | ||||||
| City of Atlanta, Department of Aviation, Series B, Rev., AMT, 5.00%, 07/01/2028 | 3,300 | 3,455 | ||||||
| City of Atlanta, Department of Aviation, Airport Revenue, Series B, Rev., AMT, 5.00%, 07/01/2031 | 1,155 | 1,202 | ||||||
| Cobb County, Kennestone Hospital Authority, Wellstar Health System, Inc., Rev., 4.00%, 04/01/2033 | 500 | 476 | ||||||
| DeKalb County Housing Authority, Columbia Village Project, Series A, Rev., HUD, 0.34%, 08/01/2024 (z) | 285 | 276 | ||||||
| Development Authority for Fulton County, Jonesboro Road Senior Village, Rev., 3.00%, 10/01/2025 (z) | 2,020 | 1,975 | ||||||
| Development Authority of Burke County (The), Oglethorpe Power Corp. Scherer Project, Series A, Rev., 1.50%, 01/01/2040 (z) | 250 | 231 | ||||||
| Development Authority of Monroe County (The), Oglethorpe Power Corporation Scherer Project, Series A, Rev., 1.50%, 01/01/2039 (z) | 125 | 115 | ||||||
| Development Authority of Monroe County (The), Georgia Power Co. Plant Scherer, Rev., 1.00%, 07/01/2049 (z) | 1,785 | 1,532 | ||||||
| Development Authority of Rockdale County, Arbours at Conyers Project, Rev., 3.63%, 02/01/2026 (z) | 1,085 | 1,064 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Georgia — continued |
||||||||
| George L Smith II Congress Center Authority, Convention Center Hotel, Series 2, Rev., 5.00%, 01/01/2054 (e) | 1,000 | 770 | ||||||
| Georgia Ports Authority, Rev., 5.25%, 07/01/2043 | 2,705 | 2,907 | ||||||
| Georgia State Road & Tollway Authority, | ||||||||
| Rev., 5.00%, 06/01/2026 | 3,200 | 3,389 | ||||||
| Rev., 5.00%, 06/01/2027 | 5,250 | 5,629 | ||||||
| Rev., 5.00%, 06/01/2028 | 5,500 | 5,963 | ||||||
| Rev., 5.00%, 06/01/2030 | 6,205 | 6,856 | ||||||
| Main Street Natural Gas, Inc., | ||||||||
| Series A, Rev., LIQ: Royal Bank of Canada, 4.00%, 04/01/2048 (z) | 3,400 | 3,405 | ||||||
| Series A, Rev., 4.00%, 07/01/2052 (z) | 15,500 | 15,313 | ||||||
| Series A, Rev., 4.00%, 09/01/2052 (z) | 2,000 | 1,877 | ||||||
| Series B, Rev., (ICE LIBOR USD 1 Month * 0.67 + 0.75%), 2.47%, 04/01/2048 (aa) | 11,500 | 11,400 | ||||||
| Series B, Rev., 4.00%, 08/01/2049 (z) | 2,175 | 2,197 | ||||||
| Series B, Rev., 5.00%, 06/01/2028 | 2,500 | 2,518 | ||||||
| Series B, Rev., 5.00%, 06/01/2029 | 1,500 | 1,507 | ||||||
| Series B, Rev., 5.00%, 12/01/2052 (z) | 3,000 | 2,998 | ||||||
| Series C, Rev., LIQ: Royal Bank of Canada, 4.00%, 08/01/2048 (z) | 105 | 105 | ||||||
| Series C, Rev., 4.00%, 03/01/2050 (z) | 2,350 | 2,278 | ||||||
| Series C, Rev., 4.00%, 05/01/2052 (z) | 15,310 | 14,511 | ||||||
| Main Street Natural Gas, Inc., Gas Supply, Series C, Rev., 4.00%, 08/01/2052 (e) (z) | 11,000 | 10,350 | ||||||
| Main Street Natural Gas, Inc., Main Street Gas, Series D, Rev., LIQ: Royal Bank of Canada, (ICE LIBOR USD 1 Month * 0.67 + 0.83%), 2.55%, 08/01/2048 (aa) | 1,000 | 992 | ||||||
| Metropolitan Atlanta Rapid Transit Authority, Series B, Rev., 5.00%, 07/01/2045 | 10,000 | 10,340 | ||||||
| Milledgeville & Baldwin County Development Authority, Georgia College & State University Projects, | ||||||||
| Rev., 4.00%, 06/15/2037 | 500 | 461 | ||||||
| Rev., 5.00%, 06/15/2024 | 470 | 483 | ||||||
| Rev., 5.00%, 06/15/2025 | 360 | 374 | ||||||
| Municipal Electric Authority of Georgia, Combined Cycle Project, | ||||||||
| Series A, Rev., 4.00%, 11/01/2023 | 2,750 | 2,764 | ||||||
| Series A, Rev., 5.00%, 11/01/2027 | 250 | 265 | ||||||
| Series A, Rev., 5.00%, 11/01/2029 | 250 | 268 | ||||||
| Municipal Electric Authority of Georgia, General Resolution Project, Series A, Rev., 4.00%, 01/01/2037 | 1,125 | 1,007 | ||||||
| Municipal Electric Authority of Georgia, Plant Vogtle Units 3 and 4 Project, | ||||||||
| Series A, Rev., AGM, 5.00%, 07/01/2033 | 1,610 | 1,693 | ||||||
| Series A, Rev., AGM, 5.00%, 07/01/2035 | 1,300 | 1,350 | ||||||
| Series A, Rev., AGM, 5.00%, 07/01/2036 | 2,795 | 2,897 | ||||||
| Municipal Electric Authority of Georgia, Plant Vogtle Units 3&4 Project, | ||||||||
| Rev., AGM, 4.00%, 01/01/2036 | 330 | 314 | ||||||
| Rev., AGM, 4.00%, 01/01/2041 | 1,000 | 917 | ||||||
| Rev., 5.00%, 01/01/2023 | 200 | 201 | ||||||
| Rev., AGM, 5.00%, 01/01/2025 | 200 | 205 | ||||||
| Rev., AGM, 5.00%, 01/01/2027 | 125 | 130 | ||||||
| Municipal Electric Authority of Georgia, Project One, Subordinated, | ||||||||
| Series B, Rev., 4.00%, 01/01/2039 | 1,400 | 1,238 | ||||||
| Series B, Rev., 5.00%, 01/01/2023 | 1,000 | 1,004 | ||||||
| Municipal Electric Authority of Georgia, Subordinate General Resolution, Rev., 5.00%, 01/01/2033 | 1,010 | 1,057 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Georgia — continued |
||||||||
| Municipal Electric Authority of Georgia, Subordinate Project One, Series A, Rev., 5.00%, 01/01/2030 | 705 | 749 | ||||||
| Northwest Georgia Housing Authority, Dallas Manor Apartments Projects, Rev., HUD, 0.25%, 10/01/2024 (z) | 260 | 250 | ||||||
| Paulding County Hospital Authority, Anticipation Certificates Wellstar Health, | ||||||||
| Rev., 5.00%, 04/01/2036 | 325 | 335 | ||||||
| Rev., 5.00%, 04/01/2038 | 500 | 507 | ||||||
| Private Colleges & Universities Authority, Emory University, Series B, Rev., 4.00%, 09/01/2039 | 1,420 | 1,321 | ||||||
| Private Colleges & Universities Authority, Savannah College of Art And Design, | ||||||||
| Rev., 4.00%, 04/01/2038 | 1,400 | 1,273 | ||||||
| Rev., 5.00%, 04/01/2027 | 400 | 419 | ||||||
| Savannah Economic Development Authority, International Paper Company Project, Rev., 1.90%, 08/01/2024 | 150 | 145 | ||||||
| State of Georgia, | ||||||||
| Series A1, GO, 5.00%, 02/01/2024 | 100 | 103 | ||||||
| Series A, GO, 5.00%, 08/01/2023 | 85 | 86 | ||||||
| Series C, GO, 5.00%, 07/01/2031 | 500 | 564 | ||||||
| Series F, GO, 5.00%, 01/01/2025 | 2,000 | 2,081 | ||||||
| State of Georgia, Bidding Group 2, Series A, GO, 4.00%, 07/01/2035 | 750 | 746 | ||||||
| State of Georgia, Group 2, Series A, GO, 4.00%, 08/01/2034 | 1,000 | 1,005 | ||||||
| State of Georgia, Tranche #1, Series A, GO, 5.00%, 07/01/2023 | 1,420 | 1,440 | ||||||
| State of Georgia, Tranche 2, Series A, GO, 5.00%, 07/01/2030 | 2,000 | 2,214 | ||||||
| Tender Option Bond Trust Receipts/Certificates, Series 2017-ZF0589, Rev., LIQ: Bank of America NA, 0.00%, 06/01/2049 (e) (z) | 3,750 | 3,750 | ||||||
| Valdosta Housing Authority, Tishco Rural Rental Housing, Rev., 1.25%, 02/01/2025 (z) | 375 | 362 | ||||||
| Villa Rica Downtown Development Authority, Arbours At Villa Rica Project, Rev., 1.25%, 08/01/2025 (z) | 4,415 | 4,206 | ||||||
| Walker County Development Authority, Gateway At Rossville Project, Rev., 0.46%, 12/01/2024 (z) | 1,000 | 959 | ||||||
|
|
|
|||||||
| 171,268 | ||||||||
|
|
|
|||||||
| Guam — 0.0% (g) | ||||||||
| Antonio B. Won Pat International Airport Authority, Rev., AMT, 5.25%, 10/01/2030 (w) | 750 | 728 | ||||||
| Territory of Guam, Series F, Rev., 4.00%, 01/01/2042 | 1,000 | 807 | ||||||
|
|
|
|||||||
| 1,535 | ||||||||
|
|
|
|||||||
| Hawaii — 0.4% | ||||||||
| City & County of Honolulu, | ||||||||
| Series A, GO, 5.00%, 10/01/2025 | 15 | 16 | ||||||
| Series A, GO, 5.00%, 09/01/2027 | 30 | 32 | ||||||
| Series C, GO, 5.00%, 10/01/2029 | 1,000 | 1,103 | ||||||
| State of Hawaii, Series FG, GO, 4.00%, 10/01/2032 | 2,000 | 2,022 | ||||||
| State of Hawaii Airports System Revenue, | ||||||||
| Series A, Rev., AMT, 5.00%, 07/01/2032 | 1,500 | 1,541 | ||||||
| Series A, Rev., AMT, 5.00%, 07/01/2033 | 1,630 | 1,665 | ||||||
| Series A, Rev., AMT, 5.00%, 07/01/2034 | 2,000 | 2,049 | ||||||
| Series B, Rev., 5.00%, 07/01/2026 | 1,250 | 1,320 | ||||||
| State of Hawaii Harbor System Revenue, | ||||||||
| Series A, Rev., AMT, 4.00%, 07/01/2031 | 250 | 249 | ||||||
| Series A, Rev., AMT, 4.00%, 07/01/2032 | 500 | 483 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Hawaii — continued |
||||||||
| Series A, Rev., AMT, 4.00%, 07/01/2033 | 750 | 716 | ||||||
| Series A, Rev., AMT, 4.00%, 07/01/2034 | 3,555 | 3,364 | ||||||
| Series A, Rev., AMT, 5.00%, 07/01/2027 | 250 | 266 | ||||||
| Series A, Rev., AMT, 5.00%, 07/01/2028 | 500 | 535 | ||||||
| Series A, Rev., AMT, 5.00%, 07/01/2029 | 250 | 270 | ||||||
| Series C, Rev., 4.00%, 07/01/2032 | 200 | 204 | ||||||
| State of Hawaii State Highway Fund, Rev., 5.00%, 01/01/2029 | 1,000 | 1,094 | ||||||
| State of Hawaii, Airports System Revenue, Series D, Rev., 5.00%, 07/01/2030 | 1,000 | 1,093 | ||||||
|
|
|
|||||||
| 18,022 | ||||||||
|
|
|
|||||||
| Idaho — 0.1% | ||||||||
| Idaho Health Facilities Authority, Trinity Health Credit Group, Series A, Rev., 5.00%, 12/01/2047 | 1,715 | 1,715 | ||||||
| Idaho Housing & Finance Association, Garvee, | ||||||||
| Series A, Rev., 5.00%, 07/15/2029 | 280 | 306 | ||||||
| Series A, Rev., 5.00%, 07/15/2030 | 1,250 | 1,371 | ||||||
| Series A, Rev., 5.00%, 07/15/2031 | 750 | 823 | ||||||
| Idaho Housing & Finance Association, Transportation Expansion & Mitigation, Rev., 5.00%, 08/15/2037 | 165 | 179 | ||||||
|
|
|
|||||||
| 4,394 | ||||||||
|
|
|
|||||||
| Illinois — 5.9% | ||||||||
| Champaign County Community Unit School District No. 4 Champaign, GO, 5.00%, 01/01/2029 | 1,765 | 1,850 | ||||||
| Chicago Board of Education, | ||||||||
| Series A, GO, AGM, 5.00%, 12/01/2026 | 10 | 11 | ||||||
| Series A, GO, 5.00%, 12/01/2041 | 1,000 | 964 | ||||||
| Series A, GO, 5.00%, 12/01/2042 | 7,500 | 6,977 | ||||||
| Chicago Board of Education, Capital Appreciation School Reform, | ||||||||
| Series A, GO, NATL, Zero Coupon, 12/01/2024 | 500 | 455 | ||||||
| Series A, GO, NATL, Zero Coupon, 12/01/2029 | 1,130 | 799 | ||||||
| Series B1, GO, NATL, Zero Coupon, 12/01/2028 | 500 | 373 | ||||||
| Series B1, GO, NATL, Zero Coupon, 12/01/2029 | 1,105 | 781 | ||||||
| Chicago Board of Education, Dedicated, Series C, GO, 5.00%, 12/01/2034 | 2,000 | 1,991 | ||||||
| Chicago O’Hare International Airport, Rev., AMT, 5.00%, 01/01/2030 | 3,400 | 3,450 | ||||||
| Chicago O’Hare International Airport, Passenger Facility Charge, Rev., AMT, 5.00%, 01/01/2032 | 3,500 | 3,501 | ||||||
| Chicago O’Hare International Airport, Senior Lien, | ||||||||
| Series A, Rev., 4.00%, 01/01/2035 | 3,500 | 3,279 | ||||||
| Series A, Rev., 5.00%, 01/01/2035 | 6,000 | 6,318 | ||||||
| Chicago Transit Authority Capital Grant Receipts Revenue, Section 5307, Rev., 5.00%, 06/01/2023 | 700 | 707 | ||||||
| Chicago Transit Authority Capital Grant Receipts Revenue, Section 5357, Rev., 5.00%, 06/01/2028 | 1,000 | 1,057 | ||||||
| Chicago Transit Authority Sales Tax Receipts Fund, Series A, Rev., BAM, 5.00%, 12/01/2046 | 500 | 520 | ||||||
| Chicago Transit Authority, Sales Tax Receipts Fund, | ||||||||
| Rev., AGM, 5.00%, 12/01/2044 | 1,000 | 1,020 | ||||||
| Rev., 5.25%, 12/01/2049 | 10,000 | 10,198 | ||||||
| Series A, Rev., 5.00%, 12/01/2045 | 6,750 | 6,765 | ||||||
| City of Berwyn, Series A, GO, 5.00%, 12/01/2029 | 1,000 | 1,010 | ||||||
| City of Chicago, | ||||||||
| Series A, GO, 5.00%, 01/01/2027 | 5,500 | 5,603 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Illinois — continued |
||||||||
| Series A, GO, 5.00%, 01/01/2033 | 1,000 | 995 | ||||||
| Series A, GO, 5.00%, 01/01/2034 | 4,500 | 4,450 | ||||||
| Series A, GO, 6.00%, 01/01/2038 | 8,775 | 9,072 | ||||||
| Series B, GO, 4.00%, 01/01/2038 (e) | 521 | 445 | ||||||
| Series C, GO, Zero Coupon, 01/01/2027 | 500 | 411 | ||||||
| Series C, GO, 5.00%, 01/01/2025 | 45 | 46 | ||||||
| Series C, GO, 5.00%, 01/01/2028 | 1,450 | 1,453 | ||||||
| City of Chicago Special Assessment Revenue, Lakeshore East Project, | ||||||||
| Special Assessment, 2.69%, 12/01/2026 (e) | 305 | 277 | ||||||
| Special Assessment, 3.04%, 12/01/2028 (e) | 270 | 237 | ||||||
| City of Chicago Wastewater Transmission Revenue, Second Lien, Rev., 5.00%, 01/01/2042 | 575 | 555 | ||||||
| City of Chicago Waterworks Revenue, Second Lien Project, | ||||||||
| Rev., 5.00%, 11/01/2023 | 100 | 102 | ||||||
| Rev., 5.00%, 11/01/2044 | 2,410 | 2,279 | ||||||
| City of Chicago, Capital Appreciation City Colleges, GO, NATL, Zero Coupon, 01/01/2031 | 75 | 51 | ||||||
| City of Granite City, Waste Management, Inc., Rev., AMT, 1.25%, 05/01/2027 | 5,000 | 4,333 | ||||||
| Cook County Community Consolidated School District No. 34 Glenview, GO, 4.00%, 12/01/2029 | 2,000 | 2,071 | ||||||
| Cook County High School District No. 214 Arlington Heights, GO, 4.00%, 12/01/2026 | 1,910 | 1,943 | ||||||
| Cook County, Community School District No. 97, Oak Park, GO, 4.00%, 01/01/2034 | 2,000 | 2,006 | ||||||
| Cook County, Community Unit School District No. 401, Elmwood Park, GO, 3.00%, 12/01/2022 | 500 | 500 | ||||||
| County of Cook, | ||||||||
| Series A, GO, 5.00%, 11/15/2025 | 960 | 1,003 | ||||||
| Series A, GO, AGM, 5.00%, 11/15/2026 | 1,000 | 1,057 | ||||||
| Series A, GO, 5.00%, 11/15/2026 | 3,900 | 4,103 | ||||||
| Series A, GO, 5.00%, 11/15/2028 | 2,300 | 2,472 | ||||||
| Series A, GO, 5.00%, 11/15/2033 | 250 | 266 | ||||||
| County of Cook Sales Tax Revenue, | ||||||||
| Series A, Rev., 5.00%, 11/15/2025 | 690 | 719 | ||||||
| Series A, Rev., 5.25%, 11/15/2045 | 2,500 | 2,620 | ||||||
| County of Cook, Sales Tax Revenue, Series A, Rev., 5.00%, 11/15/2038 | 1,240 | 1,284 | ||||||
| Illinois Development Finance Authority, Waste Management, Inc. Project, Rev., AMT, 0.40%, 11/01/2044 (z) | 215 | 214 | ||||||
| Illinois Finance Authority, | ||||||||
| Series A, Rev., 4.00%, 07/15/2036 | 710 | 670 | ||||||
| Series A, Rev., 4.00%, 07/15/2039 | 3,000 | 2,768 | ||||||
| Series B2, Rev., 5.00%, 05/15/2050 (z) | 2,550 | 2,648 | ||||||
| Illinois Finance Authority, Acero Charter Schools, Inc., Rev., 4.00%, 10/01/2042 (e) | 500 | 387 | ||||||
| Illinois Finance Authority, Advocate Health Care Network Project, Rev., 4.00%, 11/01/2030 | 2,600 | 2,618 | ||||||
| Illinois Finance Authority, American Water Capital Corp. Project, Rev., 0.70%, 05/01/2040 (z) | 895 | 870 | ||||||
| Illinois Finance Authority, Ann & Robert H. Lurie Children’s Hospital of Chicago, Rev., 5.00%, 08/15/2035 | 500 | 509 | ||||||
| Illinois Finance Authority, Ascension Health Credit, Series C, Rev., 5.00%, 02/15/2036 | 1,355 | 1,386 | ||||||
| Illinois Finance Authority, Centegra Health System, Series A, Rev., 5.00%, 09/01/2025 (p) | 130 | 134 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Illinois — continued |
||||||||
| Illinois Finance Authority, Green Bond, Rev., 4.00%, 07/01/2038 | 4,160 | 3,946 | ||||||
| Illinois Finance Authority, Green Bonds, | ||||||||
| Rev., 4.00%, 01/01/2033 | 8,190 | 8,141 | ||||||
| Rev., 4.00%, 07/01/2040 | 1,500 | 1,401 | ||||||
| Illinois Finance Authority, Health Services Facility Lease Revenue, Provident Group UIC Surgery, | ||||||||
| Rev., 4.00%, 10/01/2040 | 1,750 | 1,458 | ||||||
| Rev., 5.00%, 10/01/2032 | 750 | 760 | ||||||
| Rev., 5.00%, 10/01/2034 | 125 | 126 | ||||||
| Illinois Finance Authority, Illinois State Clean Water Initiative, Green Bond, Rev., 5.00%, 01/01/2028 | 100 | 108 | ||||||
| Illinois Finance Authority, Mercy Health Corp., Rev., 5.00%, 12/01/2040 | 1,080 | 1,065 | ||||||
| Illinois Finance Authority, Northshore University Health System, Rev., 5.00%, 08/15/2035 | 1,500 | 1,563 | ||||||
| Illinois Finance Authority, OSF Healthcare System, | ||||||||
| Rev., 4.00%, 05/15/2050 | 1,000 | 833 | ||||||
| Series A, Rev., 5.00%, 11/15/2045 | 10,900 | 10,735 | ||||||
| Series B1, Rev., 5.00%, 05/15/2050 (z) | 2,250 | 2,291 | ||||||
| Illinois Finance Authority, Plymouth Place, Inc., Rev., 5.00%, 05/15/2041 | 400 | 349 | ||||||
| Illinois Finance Authority, Presbyterian Homes, Series B, Rev., (SIFMA Municipal Swap Index + 0.70%), 3.16%, 05/01/2042 (aa) | 180 | 174 | ||||||
| Illinois Finance Authority, Southern Illinois Healthcare, Rev., 5.00%, 03/01/2031 | 2,135 | 2,193 | ||||||
| Illinois Finance Authority, Swedish Covenant Hospital, | ||||||||
| Rev., 5.00%, 08/15/2032 (p) | 4,000 | 4,238 | ||||||
| Series A, Rev., 5.00%, 08/15/2026 (p) | 1,690 | 1,790 | ||||||
| Illinois Finance Authority, The Carle Foundation, | ||||||||
| Series A, Rev., 5.00%, 08/15/2031 | 2,530 | 2,717 | ||||||
| Series B, Rev., 5.00%, 08/15/2053 (z) | 285 | 303 | ||||||
| Illinois Finance Authority, University of Chicago, | ||||||||
| Series A, Rev., 5.00%, 10/01/2028 | 3,000 | 3,273 | ||||||
| Series A, Rev., 5.00%, 10/01/2034 | 1,750 | 1,907 | ||||||
| Series A, Rev., 5.00%, 10/01/2035 | 1,400 | 1,524 | ||||||
| Illinois Housing Development Authority, | ||||||||
| Series C, Rev., FHA, 0.80%, 07/01/2026 | 270 | 243 | ||||||
| Series D, Rev., GNMA/FNMA/FHLMC COLL, 3.75%, 04/01/2050 | 1,490 | 1,457 | ||||||
| Illinois Housing Development Authority, Concord Commons, Rev., 0.25%, 02/01/2024 (z) | 1,200 | 1,184 | ||||||
| Illinois Housing Development Authority, Social Bonds, | ||||||||
| Series A, Rev., GNMA FNMA FHLMC COLL, 3.00%, 04/01/2051 | 4,150 | 3,942 | ||||||
| Series B, Rev., GNMA FNMA FHLMC COLL, 3.00%, 04/01/2051 | 440 | 416 | ||||||
| Illinois Sports Facilities Authority (The), State Tax Supported, | ||||||||
| Rev., 5.00%, 06/15/2030 | 500 | 497 | ||||||
| Rev., AGM, 5.25%, 06/15/2031 | 225 | 230 | ||||||
| Illinois State Toll Highway Authority, | ||||||||
| Series A, Rev., 5.00%, 01/01/2041 | 3,300 | 3,412 | ||||||
| Series A, Rev., 5.00%, 01/01/2044 | 1,580 | 1,613 | ||||||
| Series B, Rev., 5.00%, 01/01/2029 | 100 | 104 | ||||||
| Series C, Rev., 5.00%, 01/01/2023 | 250 | 251 | ||||||
| Series A, Rev., 5.00%, 01/01/2028 | 185 | 193 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Illinois — continued |
||||||||
| Illinois State Toll Highway Authority, Senior, | ||||||||
| Series A, Rev., 5.00%, 12/01/2031 | 5,115 | 5,323 | ||||||
| Series B, Rev., 5.00%, 01/01/2028 | 4,000 | 4,305 | ||||||
| Series B, Rev., 5.00%, 01/01/2041 | 2,190 | 2,248 | ||||||
| Illinois State Toll Highway Authority, Toll Highway Revenue, | ||||||||
| Series A, Rev., 5.00%, 01/01/2036 | 1,000 | 1,066 | ||||||
| Series A, Rev., 5.00%, 01/01/2037 | 1,555 | 1,634 | ||||||
| Illinois State University, Auxiliary Facilities System, Series A, Rev., AGM, 5.00%, 04/01/2023 | 500 | 504 | ||||||
| Macon County, School District No. 61 Decatur, | ||||||||
| GO, AGM, 4.00%, 01/01/2040 | 1,420 | 1,325 | ||||||
| GO, AGM, 4.00%, 01/01/2045 | 3,000 | 2,703 | ||||||
| Metropolitan Pier & Exposition Authority, Rev., NATL, Zero Coupon, 12/15/2034 | 500 | 267 | ||||||
| Metropolitan Pier & Exposition Authority Revenue, McCormick Place Expansion, Rev., 5.00%, 06/15/2042 | 2,500 | 2,404 | ||||||
| Metropolitan Pier & Exposition Authority, Capital Appreciation McCormick, Rev., NATL, Zero Coupon, 12/15/2035 | 500 | 252 | ||||||
| Metropolitan Pier & Exposition Authority, Capital Appreciation McCormick, | ||||||||
| Rev., NATL, Zero Coupon, 06/15/2037 | 500 | 230 | ||||||
| Rev., AGM, Zero Coupon, 06/15/2044 | 500 | 162 | ||||||
| Metropolitan Pier & Exposition Authority, Capital Appreciation,McCormick, Series B, Rev., AGM, Zero Coupon, 06/15/2027 | 660 | 541 | ||||||
| Metropolitan Pier & Exposition Authority, McCormick Place Expansion, | ||||||||
| Rev., 3.00%, 06/15/2025 | 150 | 145 | ||||||
| Rev., 4.00%, 12/15/2042 | 4,990 | 4,067 | ||||||
| Metropolitan Water Reclamation District of Greater Chicago, Green Bonds, Series E, GO, 5.00%, 12/01/2036 | 2,065 | 2,137 | ||||||
| Northern Illinois University, Board of Trustees Auxiliary Facilities, Rev., BAM, 4.00%, 10/01/2033 | 1,000 | 937 | ||||||
| Railsplitter Tobacco Settlement Authority, Rev., 5.00%, 06/01/2023 | 130 | 131 | ||||||
| Regional Transportation Authority, Series A, Rev., NATL, 6.00%, 07/01/2025 | 25 | 27 | ||||||
| Sales Tax Securitization Corp., Second Lien, Series A, Rev., BAM, 5.00%, 01/01/2037 | 750 | 781 | ||||||
| Southern Illinois University, Housing, Rev., BAM, 5.00%, 04/01/2032 | 650 | 672 | ||||||
| Southwestern Illinois Development Authority, Southwestern Il Flood Prevention, Rev., 4.00%, 10/15/2035 | 1,215 | 1,146 | ||||||
| State of Illinois, | ||||||||
| GO, 4.00%, 06/01/2036 | 485 | 426 | ||||||
| GO, 5.00%, 07/01/2023 | 85 | 86 | ||||||
| GO, 5.00%, 01/01/2028 | 6,810 | 6,910 | ||||||
| GO, 5.00%, 02/01/2028 | 3,000 | 3,057 | ||||||
| GO, 5.00%, 01/01/2029 | 2,085 | 2,111 | ||||||
| GO, 5.00%, 02/01/2029 | 1,000 | 1,016 | ||||||
| GO, 5.25%, 02/01/2030 | 2,000 | 2,026 | ||||||
| GO, 5.50%, 05/01/2030 | 2,000 | 2,111 | ||||||
| GO, 5.50%, 07/01/2038 | 1,000 | 1,002 | ||||||
| Series A, GO, 4.00%, 03/01/2041 | 250 | 208 | ||||||
| Series A, GO, 5.00%, 10/01/2023 | 300 | 303 | ||||||
| Series A, GO, 5.00%, 03/01/2024 | 80 | 81 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Illinois — continued |
||||||||
| Series A, GO, 5.00%, 11/01/2026 | 1,360 | 1,385 | ||||||
| Series A, GO, 5.00%, 03/01/2027 | 2,355 | 2,402 | ||||||
| Series A, GO, 5.00%, 03/01/2028 | 2,500 | 2,558 | ||||||
| Series A, GO, 5.00%, 03/01/2030 | 1,000 | 1,024 | ||||||
| Series A, GO, 5.00%, 03/01/2046 | 1,000 | 946 | ||||||
| Series A, GO, 5.50%, 03/01/2042 | 4,190 | 4,240 | ||||||
| Series B, GO, 5.00%, 10/01/2029 | 1,000 | 1,024 | ||||||
| Series B, GO, 5.00%, 10/01/2031 | 5,000 | 5,089 | ||||||
| Series B, GO, 5.50%, 05/01/2039 | 250 | 254 | ||||||
| Series C, GO, 5.00%, 11/01/2029 | 2,900 | 2,953 | ||||||
| Series C, GO, 5.25%, 10/01/2047 (w) | 3,000 | 2,919 | ||||||
| Series D, GO, 5.00%, 11/01/2024 | 1,000 | 1,017 | ||||||
| Series D, GO, 5.00%, 11/01/2026 | 1,980 | 2,017 | ||||||
| Series D, GO, 5.00%, 11/01/2027 | 6,080 | 6,215 | ||||||
| Series D, GO, 5.00%, 11/01/2028 | 2,500 | 2,548 | ||||||
| State of Illinois Sales Tax Revenue, Series A, Rev., BAM, 4.00%, 06/15/2029 | 2,250 | 2,252 | ||||||
| State of Illinois Sales Tax Revenue, Junior Obligation, Series A, Rev., BAM, 4.00%, 06/15/2031 | 1,500 | 1,483 | ||||||
| State of Illinois, Build America Bonds, | ||||||||
| GO, 6.90%, 03/01/2035 | 1,000 | 1,039 | ||||||
| GO, 7.35%, 07/01/2035 | 3,714 | 3,940 | ||||||
| University of Illinois, Auxiliary Facilities System, Series A, Rev., 5.00%, 04/01/2025 | 140 | 143 | ||||||
| Village of Rosemont, Series A, GO, BAM, 5.00%, 12/01/2042 | 10,000 | 10,580 | ||||||
| Will County Community Unit School District No. 209-U Wilmington, GO, AGM, 5.50%, 02/01/2038 | 1,195 | 1,291 | ||||||
| Will Grundy Etc. Counties Community College District No. 525, Alternative Revenue Source, Series B, GO, 5.50%, 06/01/2031 (p) | 3,375 | 3,465 | ||||||
|
|
|
|||||||
| 292,148 | ||||||||
|
|
|
|||||||
| Indiana — 2.5% | ||||||||
| City of Fishers Sewage Works Revenue, Rev., BAM, 4.00%, 07/01/2047 | 1,000 | 883 | ||||||
| City of Franklin, Otterbein Homes, Series B, Rev., 5.00%, 07/01/2023 | 115 | 116 | ||||||
| City of Kokomo, KHA RAD I Apartments, Rev., HUD, 0.56%, 02/01/2025 (z) | 2,175 | 2,077 | ||||||
| City of Mount Vernon, Southern Industry Gas And Electric Company, Rev., AMT, 0.88%, 09/01/2055 (z) | 250 | 244 | ||||||
| City of Rockport, Industry Pollution Control, Michigan Power Company Project, Rev., 2.75%, 06/01/2025 | 100 | 97 | ||||||
| City of Whiting, BP Products North America, Inc. Project, Rev., AMT, 5.00%, 11/01/2047 (z) | 5,000 | 5,086 | ||||||
| City of Whiting, Whiting Industry Environmental Facilities, Bp Products North America, Inc., Series A, Rev., AMT, 5.00%, 03/01/2046 (z) | 1,585 | 1,591 | ||||||
| Evansville Waterworks District, Series A, Rev., BAM, 5.00%, 07/01/2042 | 925 | 965 | ||||||
| Indiana Development Finance Authority, Waste Management, Inc. Project, Rev., AMT, 0.40%, 10/01/2031 (w) (z) | 660 | 660 | ||||||
| Indiana Finance Authority, Citizens Water Westfield Project, Series A, Rev., 4.00%, 10/01/2048 | 1,500 | 1,322 | ||||||
| Indiana Finance Authority, Community Health Network, Series A, Rev., 5.00%, 05/01/2042 (p) | 55 | 56 | ||||||
| Indiana Finance Authority, CWA Authority Project, Green Bonds, Rev., 5.00%, 10/01/2031 | 500 | 551 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Indiana — continued |
||||||||
| Indiana Finance Authority, DePauw University Project, Series A, Rev., 5.00%, 07/01/2047 | 8,000 | 7,902 | ||||||
| Indiana Finance Authority, Duke Energy Indian, Rev., AMT, 4.50%, 05/01/2035 (z) | 2,500 | 2,425 | ||||||
| Indiana Finance Authority, Duke Energy Industry Project, Series A4, Rev., VRDO, LOC: Sumitomo Mitsui Banking Corp., 2.85%, 10/03/2022 (z) | 2,500 | 2,500 | ||||||
| Indiana Finance Authority, First Lien, CWA Authority Project, Rev., 5.00%, 10/01/2023 | 45 | 46 | ||||||
| Indiana Finance Authority, Indiana University Health, Series C, Rev., 5.00%, 12/01/2022 | 250 | 251 | ||||||
| Indiana Finance Authority, Indianapolis Power, | ||||||||
| Series A, Rev., 0.75%, 12/01/2038 (z) | 4,875 | 4,089 | ||||||
| Series B, Rev., AMT, 0.95%, 12/01/2038 (z) | 7,025 | 5,957 | ||||||
| Indiana Finance Authority, Marion General Hospital, Series A, Rev., 4.00%, 07/01/2040 | 5,060 | 4,484 | ||||||
| Indiana Finance Authority, Ohio Valley Electric Corp. Project, | ||||||||
| Series A, Rev., 4.25%, 11/01/2030 | 2,000 | 1,918 | ||||||
| Series B, Rev., 2.50%, 11/01/2030 | 1,000 | 845 | ||||||
| Indiana Finance Authority, Private Activity Ohio River Bridge, Rev., AMT, 5.00%, 07/01/2035 (p) | 2,000 | 2,022 | ||||||
| Indiana Finance Authority, Private Activity Ohio River Bridges Project, Rev., AMT, 5.00%, 07/01/2044 (p) | 10,000 | 10,109 | ||||||
| Indiana Finance Authority, Private Activity, Ohio River Bridges, Rev., AMT, 5.00%, 07/01/2048 (p) | 2,435 | 2,462 | ||||||
| Indiana Finance Authority, Second Lien, CWA Authority Project, | ||||||||
| Rev., 5.00%, 10/01/2034 | 2,000 | 2,160 | ||||||
| Rev., 5.00%, 10/01/2035 | 3,000 | 3,230 | ||||||
| Indiana Finance Authority, United States Steel Corp., Series A, Rev., 4.13%, 12/01/2026 | 145 | 140 | ||||||
| Indiana Finance Authority, University of Evansville, Rev., 5.25%, 09/01/2037 | 1,150 | 1,089 | ||||||
| Indiana Finance Authority, Valley Electric Corporation Project, Series B, Rev., 3.00%, 11/01/2030 | 1,000 | 875 | ||||||
| Indiana Finance Authority, Valparaiso University Project, Rev., 4.00%, 10/01/2034 | 1,315 | 1,201 | ||||||
| Indiana Health Facility Financing Authority, Ascension Health Substitute Credit Group, Series A, Rev., 4.00%, 11/01/2023 | 85 | 86 | ||||||
| Indiana Housing & Community Development Authority, Series A, Rev., GNMA/FNMA/FHLMC, 3.00%, 07/01/2051 | 850 | 808 | ||||||
| Indiana Housing & Community Development Authority, RD Moving Forward Justus Project, Rev., 0.33%, 06/01/2024 (z) | 135 | 132 | ||||||
| Indiana Housing & Community Development Authority, Social Bonds, | ||||||||
| Series A, Rev., GNMA/FNMA/FHLMC COLL, 3.00%, 07/01/2052 | 1,000 | 932 | ||||||
| Series C1, Rev., GNMA/FNMA/FHLMC COLL, 3.00%, 01/01/2052 | 45 | 42 | ||||||
| Indiana Municipal Power Agency, Series A, Rev., 5.00%, 01/01/2029 | 400 | 430 | ||||||
| Indianapolis Local Public Improvement Bond Bank, | ||||||||
| Series A, Rev., AGM, 4.00%, 06/01/2036 | 5,000 | 4,580 | ||||||
| Series A, Rev., AGM, 4.00%, 06/01/2041 | 9,000 | 8,004 | ||||||
| Series A, Rev., 5.00%, 06/01/2024 | 15 | 15 | ||||||
| Series A, Rev., 5.00%, 06/01/2025 | 500 | 517 | ||||||
| Indianapolis Local Public Improvement Bond Bank, Airport Authority, Series A1, Rev., AMT, 5.00%, 01/01/2028 | 200 | 206 | ||||||
| Indianapolis Local Public Improvement Bond Bank, CityWay 1 Project, Series B, Rev., 5.00%, 02/01/2024 | 175 | 179 | ||||||
| Indianapolis Local Public Improvement Bond Bank, Indianapolis Airport, Rev., AMT, 5.00%, 01/01/2029 | 2,855 | 2,983 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Indiana — continued |
||||||||
| Indianapolis Local Public Improvement Bond Bank, Indianapolis Airport Authority, | ||||||||
| Series D, Rev., AMT, 5.00%, 01/01/2029 | 3,000 | 3,029 | ||||||
| Series D, Rev., AMT, 5.00%, 01/01/2030 | 2,000 | 2,017 | ||||||
| Series D, Rev., AMT, 5.00%, 01/01/2031 | 4,000 | 4,026 | ||||||
| Series D, Rev., AMT, 5.00%, 01/01/2032 | 4,500 | 4,525 | ||||||
| Series D, Rev., AMT, 5.00%, 01/01/2033 | 3,500 | 3,515 | ||||||
| Series I, Rev., AMT, 5.00%, 01/01/2032 | 4,885 | 4,934 | ||||||
| Series I, Rev., AMT, 5.00%, 01/01/2033 | 5,000 | 5,039 | ||||||
| Indianapolis Local Public Improvement Bond Bank, Metropolitan Thoroughfare District, Series D, Rev., 4.00%, 01/01/2041 | 10,000 | 9,100 | ||||||
| Purdue University, Series A, Rev., 5.00%, 07/01/2027 | 1,500 | 1,610 | ||||||
| Southwest Allen Multi School Building Corp., 1st Mortgage, Rev., 5.00%, 01/15/2030 | 1,200 | 1,290 | ||||||
| Tippecanoe School Corp., GO, 4.00%, 07/15/2023 | 1,080 | 1,087 | ||||||
|
|
|
|||||||
| 126,439 | ||||||||
|
|
|
|||||||
| Iowa — 0.7% | ||||||||
| Clinton Community School District, | ||||||||
| GO, AGM, 5.00%, 06/01/2024 | 1,425 | 1,464 | ||||||
| GO, AGM, 5.00%, 06/01/2026 | 1,290 | 1,357 | ||||||
| Iowa Finance Authority, | ||||||||
| Series A, Rev., 5.00%, 08/01/2034 | 1,030 | 1,137 | ||||||
| Series D, Rev., GNMA/FNMA/FHLMC, 3.50%, 01/01/2049 | 330 | 318 | ||||||
| Iowa Finance Authority, Iowa Fertilizer Company Project, | ||||||||
| Rev., 5.00%, 12/01/2050 | 2,800 | 2,463 | ||||||
| Rev., 4.00%, 12/01/2050 (z) | 5,905 | 5,356 | ||||||
| Iowa Finance Authority, Social Bonds, Series A, Rev., GNMA/FNMA/FHLMC, 3.00%, 01/01/2047 | 2,020 | 1,915 | ||||||
| Iowa Tobacco Settlement Authority, Subordinate, | ||||||||
| Series B1, Rev., 4.00%, 06/01/2049 | 7,750 | 6,854 | ||||||
| Series B, Rev., Zero Coupon, 06/01/2065 | 15,345 | 1,367 | ||||||
| PEFA, Inc., Rev., 5.00%, 09/01/2049 (z) | 2,745 | 2,787 | ||||||
| Sioux City Community School District, Rev., BAM, 3.00%, 10/01/2025 | 3,625 | 3,520 | ||||||
| Southeast Polk Community School District, Series A, GO, 5.00%, 05/01/2028 | 5,185 | 5,619 | ||||||
|
|
|
|||||||
| 34,157 | ||||||||
|
|
|
|||||||
| Kansas — 0.3% | ||||||||
| City of Manhattan, Meadowlark Hills, Series A, Rev., 4.00%, 06/01/2036 | 1,000 | 829 | ||||||
| University of Kansas Hospital Authority, University Kansas Health System, Rev., 5.00%, 03/01/2047 (p) | 3,865 | 4,131 | ||||||
| University of Kansas Hospital Authority, Unrefunded University Kansas Health System, Rev., 5.00%, 03/01/2047 | 7,350 | 7,420 | ||||||
| Wyandotte County Unified School District No. 203 Piper, | ||||||||
| Series A, GO, AGM, 5.00%, 09/01/2040 | 900 | 968 | ||||||
| Series A, GO, AGM, 5.25%, 09/01/2052 | 1,000 | 1,076 | ||||||
|
|
|
|||||||
| 14,424 | ||||||||
|
|
|
|||||||
| Kentucky — 1.1% | ||||||||
| City of Henderson, Pratt Paper LLC Project, Rev., AMT, 4.45%, 01/01/2042 (e) | 1,685 | 1,523 | ||||||
| County of Carroll, Utilities Company Project, Rev., AMT, 2.00%, 02/01/2032 | 8,620 | 6,736 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Kentucky — continued | ||||||||
| County of Trimble, Louisville Gas & Electric, Rev., 0.63%, 09/01/2026 | 605 | 505 | ||||||
| County of Trimble, Louisville Gas & Electricity, Rev., AMT, 1.35%, 11/01/2027 | 8,100 | 6,836 | ||||||
| County of Trimble, Louisville Gas And Electric Company, Rev., AMT, 1.30%, 09/01/2044 (z) | 1,000 | 809 | ||||||
| Kentucky Bond Development Corp., Centre College, Rev., 4.00%, 06/01/2040 | 420 | 356 | ||||||
| Kentucky Economic Development Finance Authority, Norton Healthcare, Inc., | ||||||||
| Series B, Rev., NATL, Zero Coupon, 10/01/2026 | 3,930 | 3,324 | ||||||
| Series B, Rev., NATL, Zero Coupon, 10/01/2027 | 1,995 | 1,613 | ||||||
| Kentucky Housing Corp., Cambridge Square Project, Rev., 0.30%, 08/01/2024 (z) | 575 | 547 | ||||||
| Kentucky Housing Corp., New Hope Properties Portfolio, Rev., HUD, 0.41%, 04/01/2024 (z) | 275 | 262 | ||||||
| Kentucky Public Energy Authority, | ||||||||
| Series A1, Rev., 4.00%, 08/01/2052 (z) | 2,000 | 1,902 | ||||||
| Series A2, Rev., (ICE LIBOR USD 1 Month * 0.67 + 1.12%), 2.84%, 12/01/2049 (aa) | 1,000 | 976 | ||||||
| Series A2, Rev., (United States SOFR * 0.67 + 1.20%), 3.18%, 08/01/2052 (aa) | 2,500 | 2,250 | ||||||
| Series C, Rev., 4.00%, 02/01/2050 (z) | 5,000 | 4,865 | ||||||
| Kentucky Public Energy Authority, Gas Supply, Series B, Rev., 4.00%, 01/01/2049 (z) | 12,885 | 12,838 | ||||||
| Kentucky State University, Kentucky State University Project, | ||||||||
| COP, BAM, 4.00%, 11/01/2033 | 145 | 146 | ||||||
| COP, BAM, 4.00%, 11/01/2035 | 135 | 133 | ||||||
| COP, BAM, 4.00%, 11/01/2036 | 155 | 151 | ||||||
| COP, BAM, 4.00%, 11/01/2038 | 650 | 617 | ||||||
| Louisville and Jefferson County Metropolitan Government, Louisville Gas And Electric Co. Project, Series A, Rev., 0.90%, 09/01/2026 | 2,750 | 2,367 | ||||||
| Louisville and Jefferson County Metropolitan Government, Norton Healthcare, Inc., Rev., 5.00%, 10/01/2031 | 670 | 684 | ||||||
| Louisville/Jefferson County Metropolitan Government, Louisville Gas & Electric, Rev., 2.00%, 10/01/2033 | 1,000 | 739 | ||||||
| Louisville/Jefferson County Metropolitan Government, Louisville Gas & Electric Co. Project, Rev., AMT, 1.35%, 11/01/2027 | 2,000 | 1,674 | ||||||
| Louisville/Jefferson County Metropolitan Government, Norton Healthcare, Inc., Rev., 4.00%, 10/01/2034 | 125 | 117 | ||||||
| Louisville/Jefferson County Metropolitan Government, UofL Health Project, Series A, Rev., 5.00%, 05/15/2047 | 3,180 | 3,128 | ||||||
|
|
|
|||||||
| 55,098 | ||||||||
|
|
|
|||||||
| Louisiana — 1.2% | ||||||||
| City of Alexandria, Utilities Revenue, Series A, Rev., 5.00%, 05/01/2038 (p) | 2,000 | 2,022 | ||||||
| City of Shreveport, Water & Sewer Improvement, GO, 5.00%, 09/01/2032 (p) | 4,390 | 4,514 | ||||||
| Consolidated Government of the City of Baton Rouge & Parish of East Baton Rouge, Sales Tax, Rev., AGM, 5.00%, 08/01/2027 | 1,400 | 1,490 | ||||||
| East Baton Rouge Sewerage Commission, Series A, Rev., 1.30%, 02/01/2041 (z) | 4,500 | 3,741 | ||||||
| Lakeshore Villages Master Community Development District, Parish of St. Tammany, Special Assessment, 3.20%, 06/01/2041 (e) | 630 | 476 | ||||||
| Louisiana Housing Corp., Hollywood Acres And Hollywood Heights Projects, Rev., 0.55%, 12/01/2023 | 165 | 159 | ||||||
| Louisiana Housing Corp., Mabry Place Townhouse Project, Rev., 0.31%, 08/01/2024 (z) | 1,955 | 1,896 | ||||||
| Louisiana Housing Corp., Social Bonds Home Ownership Project, Rev., GNMA/FNMA/FHLMC, 5.00%, 06/01/2052 | 1,250 | 1,273 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Louisiana — continued | ||||||||
| Louisiana Local Government Environmental Facilities & Community Development Authority, Entergy Louisiana LLC Project, | ||||||||
| Rev., 2.00%, 06/01/2030 | 2,755 | 2,279 | ||||||
| Rev., 2.50%, 04/01/2036 | 1,000 | 746 | ||||||
| Louisiana Public Facilities Authority, Loyola University Project, Rev., 4.00%, 10/01/2038 | 2,560 | 2,228 | ||||||
| Louisiana Public Facilities Authority, Ochsner Clinic Foundation, Series B, Rev., 5.00%, 05/15/2050 (z) | 1,100 | 1,132 | ||||||
| Louisiana Public Facilities Authority, Ochsner Clinic Foundation Project, Rev., 5.00%, 05/15/2042 | 1,480 | 1,465 | ||||||
| New Orleans Aviation Board, | ||||||||
| Series B, Rev., AMT, 5.00%, 01/01/2040 | 4,500 | 4,500 | ||||||
| Series B, Rev., AMT, 5.00%, 01/01/2045 | 4,000 | 3,925 | ||||||
| New Orleans Aviation Board, General Airport, Series D2, Rev., AMT, 5.00%, 01/01/2033 | 1,100 | 1,115 | ||||||
| New Orleans Aviation Board, General Airport North Terminal, | ||||||||
| Series B, Rev., AMT, 5.00%, 01/01/2038 | 1,000 | 1,003 | ||||||
| Series B, Rev., AMT, 5.00%, 01/01/2048 | 5,000 | 4,888 | ||||||
| Parish of St. John the Baptist, Marathon Oil Corp. Project, Series B1, Rev., 2.13%, 06/01/2037 (z) | 875 | 853 | ||||||
| Port New Orleans Board of Commissioners, Series E, Rev., AMT, 5.00%, 04/01/2039 | 1,170 | 1,167 | ||||||
| St. Tammany Parish Hospital Service District No. 1, | ||||||||
| Series A, Rev., 5.00%, 07/01/2032 | 1,615 | 1,664 | ||||||
| Series A, Rev., 5.00%, 07/01/2034 | 1,655 | 1,694 | ||||||
| State of Louisiana, Series A, GO, 5.00%, 03/01/2037 | 9,555 | 10,207 | ||||||
| State of Louisiana Gasoline & Fuels Tax Revenue, Second Lien, | ||||||||
| Series A, Rev., 0.60%, 05/01/2043 (z) | 4,135 | 4,046 | ||||||
| Series A, Rev., (United States SOFR * 0.70 + 0.50%), 2.57%, 05/01/2043 (aa) | 1,135 | 1,092 | ||||||
| Series D, Rev., 0.60%, 05/01/2043 (z) | 1,605 | 1,571 | ||||||
| Tobacco Settlement Financing Corp., Asset Backed, Series A, Rev., 5.00%, 05/15/2023 | 125 | 126 | ||||||
|
|
|
|||||||
| 61,272 | ||||||||
|
|
|
|||||||
| Maine — 0.2% | ||||||||
| Finance Authority of Maine, Supplemental Educational Loan Program, | ||||||||
| Series A1, Rev., AGM, AMT, 2.38%, 12/01/2033 | 705 | 565 | ||||||
| Series A1, Rev., AGM, AMT, 5.00%, 12/01/2023 | 165 | 168 | ||||||
| Series A1, Rev., AGM, AMT, 5.00%, 12/01/2024 | 75 | 77 | ||||||
| Series A1, Rev., AGM, AMT, 5.00%, 12/01/2025 | 85 | 88 | ||||||
| Maine Health & Higher Educational Facilities Authority, | ||||||||
| Series A, Rev., AGM, 5.00%, 07/01/2030 | 50 | 54 | ||||||
| Series A, Rev., AGM, 5.00%, 07/01/2031 | 295 | 318 | ||||||
| Series A, Rev., AGM, 5.00%, 07/01/2032 | 315 | 333 | ||||||
| Maine State Housing Authority, Social Bonds, Series D, Rev., 3.00%, 11/15/2051 | 995 | 936 | ||||||
| Maine Turnpike Authority, | ||||||||
| Rev., 4.00%, 07/01/2045 | 9,000 | 8,111 | ||||||
| Rev., 5.00%, 07/01/2031 | 400 | 440 | ||||||
| Rev., 5.00%, 07/01/2033 | 1,155 | 1,257 | ||||||
|
|
|
|||||||
| 12,347 | ||||||||
|
|
|
|||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Maryland — 1.6% | ||||||||
| City of Baltimore, Water Project, Series A, Rev., 5.00%, 07/01/2050 | 3,200 | 3,298 | ||||||
| City of Brunswick, Brunswick Crossing Special Tax, Special Tax, 4.00%, 07/01/2029 | 500 | 479 | ||||||
| County of Baltimore, Series 83, GO, 5.00%, 03/01/2024 | 50 | 51 | ||||||
| County of Frederick, Public Facilities Project, Series A, GO, 5.00%, 10/01/2022 | 4,995 | 4,995 | ||||||
| County of Howard, Metropolitan District, Series E, GO, 5.00%, 02/15/2027 | 1,850 | 1,986 | ||||||
| County of Montgomery, Series B, GO, 4.00%, 11/01/2028 | 1,500 | 1,555 | ||||||
| County of Prince George’s, Series A, GO, 5.00%, 07/01/2029 | 1,250 | 1,384 | ||||||
| County of Prince George’s, Behavioral Health Facility, | ||||||||
| COP, 5.00%, 10/01/2022 | 70 | 70 | ||||||
| COP, 5.00%, 10/01/2023 | 650 | 662 | ||||||
| County of Prince George’s, Chesapeake Lighthouse Obligations, Series A, Rev., 6.50%, 08/01/2035 (e) | 750 | 768 | ||||||
| County of Prince George’s, Public Improvement, Series A, GO, 4.00%, 07/15/2032 | 5,000 | 5,118 | ||||||
| Maryland Community Development Administration, | ||||||||
| Series B, Rev., 3.00%, 09/01/2051 | 155 | 146 | ||||||
| Series D, Rev., 3.25%, 09/01/2050 | 2,660 | 2,556 | ||||||
| Maryland Community Development Administration, Residential, Series B, Rev., AMT, 4.50%, 09/01/2048 | 1,680 | 1,674 | ||||||
| Maryland Community Development Administration, Social Bonds, Series C, Rev., 3.00%, 09/01/2051 | 2,516 | 2,368 | ||||||
| Maryland Economic Development Corp., Green Bond, Purple Line, Rev., AMT, 5.25%, 06/30/2047 | 1,300 | 1,300 | ||||||
| Maryland Economic Development Corp., Morgan State University Project, Rev., 4.00%, 07/01/2040 | 665 | 552 | ||||||
| Maryland Economic Development Corp., Port Covington Project, | ||||||||
| Tax Allocation, 3.25%, 09/01/2030 | 1,405 | 1,238 | ||||||
| Tax Allocation, 4.00%, 09/01/2040 | 1,280 | 1,076 | ||||||
| Maryland Health & Higher Educational Facilities Authority, Adventist Healthcare, | ||||||||
| Rev., 4.00%, 01/01/2038 | 2,020 | 1,796 | ||||||
| Rev., 5.00%, 01/01/2025 | 470 | 478 | ||||||
| Rev., 5.00%, 01/01/2036 | 4,580 | 4,549 | ||||||
| Maryland Health & Higher Educational Facilities Authority, Lifebridge Health, Rev., 4.00%, 07/01/2041 | 2,315 | 2,067 | ||||||
| Maryland Health & Higher Educational Facilities Authority, Medstar Health Issue, Series A, Rev., 5.00%, 05/15/2042 | 3,000 | 3,020 | ||||||
| Maryland Health & Higher Educational Facilities Authority, Meritus Medical Center, Rev., 5.00%, 07/01/2028 | 1,300 | 1,324 | ||||||
| Maryland Stadium Authority Built to Learn Revenue, | ||||||||
| Rev., 4.00%, 06/01/2035 | 2,000 | 1,905 | ||||||
| Rev., 4.00%, 06/01/2036 | 2,125 | 2,013 | ||||||
| Series A, Rev., 5.00%, 06/01/2033 | 1,375 | 1,495 | ||||||
| State of Maryland Department of Transportation, Baltimore Washington International, | ||||||||
| Rev., AMT, 4.00%, 08/01/2037 | 865 | 781 | ||||||
| Rev., AMT, 4.00%, 08/01/2038 | 965 | 860 | ||||||
| Rev., AMT, 4.00%, 08/01/2039 | 1,160 | 1,028 | ||||||
| State of Maryland, Group 1, Series A, GO, 5.00%, 08/01/2028 | 1,500 | 1,643 | ||||||
| State of Maryland, Local Facilities Loan, Series A, GO, 5.00%, 08/01/2028 | 7,000 | 7,667 | ||||||
| State of Maryland, State & Local Facilities Loan of 2022, GO, 5.00%, 06/01/2033 | 1,000 | 1,127 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Maryland — continued | ||||||||
| State of Maryland, State and Local Facilities Loan, Series A, GO, 5.00%, 06/01/2036 | 1,500 | 1,665 | ||||||
| Tender Option Bond Trust Receipts/Certificates, Series 2018-XF0605, Rev., LIQ: Bank of America NA, 0.00%, 05/01/2047 (e) (z) | 3,300 | 3,300 | ||||||
| Washington Suburban Sanitary Commission, | ||||||||
| Rev., CNTY GTD, 5.00%, 06/01/2029 | 3,000 | 3,319 | ||||||
| Series A, Rev., CNTY GTD, BAN, VRDO, 2.55%, 10/07/2022 (z) | 3,100 | 3,100 | ||||||
| Washington Suburban Sanitary Commission, Consolidated Public Improvement, Rev., CNTY GTD, 5.00%, 06/01/2029 | 1,500 | 1,640 | ||||||
| Washington Suburban Sanitary Commission, Consolidated Public Improvement Bonds, Rev., CNTY GTD, 5.00%, 06/01/2033 | 3,000 | 3,229 | ||||||
|
|
|
|||||||
| 79,282 | ||||||||
|
|
|
|||||||
| Massachusetts — 1.5% | ||||||||
| Commonwealth of Massachusetts, | ||||||||
| Rev., NATL, 5.50%, 01/01/2034 | 1,000 | 1,130 | ||||||
| Series A, GO, 5.00%, 06/01/2044 (z) | 1,500 | 1,518 | ||||||
| Series B, GO, 5.00%, 11/01/2024 | 3,000 | 3,110 | ||||||
| Commonwealth of Massachusetts Transportation Fund Revenue, Rail Enhancement Project, Series B, Rev., 5.00%, 06/01/2025 | 375 | 392 | ||||||
| Massachusetts Development Finance Agency, | ||||||||
| Series A1, Rev., 5.00%, 07/01/2050 (z) | 5,000 | 5,343 | ||||||
| Series B, Rev., 0.25%, 07/01/2024 (z) | 370 | 360 | ||||||
| Massachusetts Development Finance Agency, Green Bond, Boston Medical Center, Rev., 5.00%, 07/01/2044 | 1,000 | 972 | ||||||
| Massachusetts Development Finance Agency, Harvard University Issue, Series A, Rev., 5.00%, 10/15/2030 | 1,000 | 1,124 | ||||||
| Massachusetts Development Finance Agency, Lahey Health System, Series F, Rev., 5.00%, 08/15/2045 | 10,000 | 9,916 | ||||||
| Massachusetts Development Finance Agency, Milford Regional Medical Center, Rev., 5.00%, 07/15/2046 (e) | 1,000 | 883 | ||||||
| Massachusetts Development Finance Agency, Northeastern University Issue, Rev., 5.00%, 10/01/2044 | 2,000 | 2,064 | ||||||
| Massachusetts Development Finance Agency, Partners Healthcare System, Rev., (SIFMA Municipal Swap Index + 0.60%), 3.06%, 07/01/2049 (e) (aa) | 100 | 99 | ||||||
| Massachusetts Development Finance Agency, Suffolk University Project, Rev., 4.00%, 07/01/2051 | 1,250 | 991 | ||||||
| Massachusetts Educational Financing Authority, | ||||||||
| Series B, Rev., AMT, 2.63%, 07/01/2036 | 1,010 | 878 | ||||||
| Series B, Rev., AMT, 5.00%, 07/01/2023 | 250 | 253 | ||||||
| Series B, Rev., AMT, 5.00%, 07/01/2024 | 615 | 629 | ||||||
| Series I, Rev., AMT, 5.00%, 01/01/2025 | 3,000 | 3,078 | ||||||
| Massachusetts Educational Financing Authority, Educational Loan Revenue Bonds, Rev., AMT, 2.00%, 07/01/2037 | 180 | 140 | ||||||
| Massachusetts Educational Financing Authority, Senior Issue M, Series B, Rev., AMT, 3.63%, 07/01/2038 | 1,030 | 891 | ||||||
| Massachusetts Health & Educational Facilities Authority, Massachusetts Institute Technology, Series J2, Rev., VRDO, 2.50%, 10/07/2022 (z) | 4,015 | 4,015 | ||||||
| Massachusetts Housing Finance Agency, Social Bond, | ||||||||
| Series 220, Rev., GNMA/FNMA/FHLMC, 3.00%, 12/01/2050 | 3,395 | 3,233 | ||||||
| Series 220, Rev., GNMA/FNMA/FHLMC, 5.00%, 12/01/2023 | 500 | 509 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Massachusetts — continued | ||||||||
| Massachusetts Housing Finance Agency, Social Bonds, Series 223, Rev., GNMA/FNMA/FHLMC, 3.00%, 06/01/2047 | 1,040 | 984 | ||||||
| Massachusetts Housing Finance Agency, Sustainability Bond, Series B2, Rev., 0.75%, 06/01/2025 | 115 | 105 | ||||||
| Massachusetts Housing Finance Agency, Sustainability Bonds, | ||||||||
| Series A2, Rev., HUD, 0.30%, 12/01/2023 | 105 | 101 | ||||||
| Series A2, Rev., HUD, 0.40%, 06/01/2024 | 140 | 132 | ||||||
| Massachusetts Port Authority, | ||||||||
| Series A, Rev., 5.00%, 07/01/2037 | 1,000 | 1,079 | ||||||
| Series E, Rev., AMT, 5.00%, 07/01/2031 | 1,495 | 1,583 | ||||||
| Series E, Rev., AMT, 5.00%, 07/01/2032 | 2,000 | 2,101 | ||||||
| Massachusetts Port Authority, Green Bonds, | ||||||||
| Series A, Rev., AMT, 5.00%, 07/01/2031 | 925 | 979 | ||||||
| Series A, Rev., AMT, 5.00%, 07/01/2038 | 2,580 | 2,649 | ||||||
| Series A, Rev., AMT, 5.00%, 07/01/2040 | 3,500 | 3,576 | ||||||
| Massachusetts School Building Authority, Sales Tax, Series A, Rev., 5.00%, 11/15/2027 | 1,105 | 1,165 | ||||||
| Massachusetts School Building Authority, Subordinated, Series A, Rev., 5.00%, 02/15/2036 (p) | 7,190 | 7,363 | ||||||
| Massachusetts Transportation Trust Fund Metropolitan Highway System Revenue, Subordinated, Contract, Rev., 5.00%, 01/01/2039 (z) | 3,725 | 3,737 | ||||||
| Massachusetts Water Resources Authority, Green Bond, Series B, Rev., 5.00%, 08/01/2026 | 1,000 | 1,064 | ||||||
| University of Massachusetts Building Authority, Series 2021, Rev., 5.00%, 11/01/2026 | 5,000 | 5,345 | ||||||
|
|
|
|||||||
| 73,491 | ||||||||
|
|
|
|||||||
| Michigan — 1.6% | ||||||||
| City of Detroit Sewage Disposal System Revenue, Floating Rate Notes Refunding System Libor D, Rev., AGM, (ICE LIBOR USD 3 Month * 0.67 + 0.60%), 2.09%, 07/01/2032 (aa) | 1,000 | 974 | ||||||
| City of Detroit, Social Bonds, | ||||||||
| Series A, GO, 4.00%, 04/01/2041 | 500 | 403 | ||||||
| Series A, GO, 5.00%, 04/01/2039 | 115 | 112 | ||||||
| Series A, GO, 5.00%, 04/01/2046 | 35 | 33 | ||||||
| Series A, GO, 5.00%, 04/01/2050 | 30 | 28 | ||||||
| Gerald R Ford International Airport Authority, | ||||||||
| Rev., CNTY GTD, AMT, 5.00%, 01/01/2026 | 225 | 236 | ||||||
| Rev., CNTY GTD, AMT, 5.00%, 01/01/2027 | 350 | 370 | ||||||
| Rev., CNTY GTD, AMT, 5.00%, 01/01/2028 | 275 | 293 | ||||||
| Rev., CNTY GTD, AMT, 5.00%, 01/01/2029 | 600 | 640 | ||||||
| Rev., CNTY GTD, AMT, 5.00%, 01/01/2034 | 1,140 | 1,214 | ||||||
| Rev., CNTY GTD, AMT, 5.00%, 01/01/2038 | 1,300 | 1,360 | ||||||
| Rev., CNTY GTD, AMT, 5.00%, 01/01/2039 | 1,000 | 1,044 | ||||||
| Rev., CNTY GTD, AMT, 5.00%, 01/01/2040 | 1,125 | 1,170 | ||||||
| Great Lakes Water Authority Water Supply System Revenue, Taxable Senior Lien, Series C, Rev., 2.19%, 07/01/2027 | 3,000 | 2,701 | ||||||
| Great Lakes Water Authority, Sewage Disposal System, Second Lien, Series C, Rev., 5.00%, 07/01/2032 | 75 | 79 | ||||||
| Great Lakes Water Authority, Sewage Disposal System, Senior Lien, Series B, Rev., 5.00%, 07/01/2030 | 3,200 | 3,369 | ||||||
| L’Anse Creuse Public Schools, GO, Q-SBLF, 5.00%, 05/01/2029 (p) | 2,405 | 2,507 | ||||||
| Michigan Finance Authority, | ||||||||
| Rev., 5.00%, 11/15/2023 | 1,375 | 1,397 | ||||||
| Rev., 5.00%, 11/15/2045 | 5,000 | 4,972 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Michigan — continued | ||||||||
| Michigan Finance Authority, Aquinas College Project, | ||||||||
| Rev., 5.00%, 05/01/2036 | 300 | 267 | ||||||
| Rev., 5.00%, 05/01/2046 | 2,000 | 1,649 | ||||||
| Michigan Finance Authority, Beaumont Spectrum, | ||||||||
| Rev., 4.00%, 04/15/2042 | 2,500 | 2,242 | ||||||
| Rev., 5.00%, 04/15/2030 | 3,000 | 3,282 | ||||||
| Michigan Finance Authority, Che Trinity Health, Rev., 4.00%, 12/01/2040 (p) | 95 | 99 | ||||||
| Michigan Finance Authority, Henry Ford Health System, Series A, Rev., 5.00%, 11/15/2048 | 5,000 | 4,971 | ||||||
| Michigan Finance Authority, Higher Educational Facilities Authority, | ||||||||
| Rev., 5.00%, 09/01/2032 | 690 | 725 | ||||||
| Rev., 5.00%, 09/01/2033 | 800 | 837 | ||||||
| Rev., 5.00%, 09/01/2034 | 570 | 594 | ||||||
| Rev., 5.00%, 09/01/2035 | 1,200 | 1,248 | ||||||
| Michigan Finance Authority, Holland Community Hospital, Series A, Rev., 5.00%, 01/01/2040 | 1,980 | 1,976 | ||||||
| Michigan Finance Authority, Multi Modal McLaren Health Care, Rev., 4.00%, 02/15/2050 | 2,500 | 2,101 | ||||||
| Michigan Finance Authority, Trinity Health Credit Group, Rev., 5.00%, 12/01/2036 | 1,000 | 1,045 | ||||||
| Michigan State Building Authority, | ||||||||
| Series I, Rev., 5.00%, 10/15/2027 | 2,500 | 2,684 | ||||||
| Series I, Rev., 5.00%, 10/15/2029 | 1,750 | 1,919 | ||||||
| Michigan State Building Authority, Multi Modal Facilities Program, Rev., VRDO, 2.52%, 10/07/2022 (z) | 3,500 | 3,500 | ||||||
| Michigan State Hospital Finance Authority, Hospital Trinity Health Credit, Series C, Rev., 5.00%, 12/01/2027 | 100 | 107 | ||||||
| Michigan State Hospital Finance Authority, Refunding and Project Ascension Health Senior Credit Group, Rev., 4.00%, 11/15/2047 (z) | 1,000 | 1,003 | ||||||
| Michigan State Housing Development Authority, | ||||||||
| Series A, Rev., 0.55%, 04/01/2025 | 375 | 346 | ||||||
| Series C, Rev., 3.00%, 06/01/2051 | 2,570 | 2,447 | ||||||
| Michigan State Housing Development Authority, Carpenter Place Apartments, Rev., HUD, 1.25%, 12/01/2024 (z) | 495 | 481 | ||||||
| Michigan State Housing Development Authority, Social Bond, | ||||||||
| Series A, Rev., 3.00%, 06/01/2052 | 3,400 | 3,210 | ||||||
| Series A, Rev., 5.00%, 06/01/2053 | 2,480 | 2,526 | ||||||
| Michigan State University, | ||||||||
| Series A, Rev., 5.00%, 08/15/2029 | 2,000 | 2,190 | ||||||
| Series A, Rev., 5.00%, 08/15/2038 | 250 | 253 | ||||||
| Series C, Rev., 4.00%, 02/15/2039 | 2,000 | 1,891 | ||||||
| Michigan Strategic Fund, Consumers Energy Co. Project, Rev., AMT, 0.88%, 04/01/2035 (z) | 1,620 | 1,436 | ||||||
| Michigan Strategic Fund, Detroit Edison Co. Exempt, Rev., 1.35%, 08/01/2029 | 3,450 | 2,773 | ||||||
| Michigan Strategic Fund, Detroit Edison Company, Rev., 1.45%, 09/01/2030 | 810 | 641 | ||||||
| Michigan Strategic Fund, Green Bond Recycling, Rev., AMT, 4.00%, 10/01/2061 (z) | 1,685 | 1,622 | ||||||
| State of Michigan Trunk Line Revenue, State Trunk Line Fund Bonds, Rev., 5.00%, 11/15/2022 | 1,195 | 1,198 | ||||||
| State of Michigan, Environmental Program Bonds, Series A, GO, 5.00%, 05/15/2030 | 400 | 447 | ||||||
| Wayne County Airport Authority, Series F, Rev., AMT, 5.00%, 12/01/2034 | 1,470 | 1,481 | ||||||
| Wayne County Airport Authority, Detroit Metropolitan Wayne County Airport, Series B, Rev., BAM, 5.00%, 12/01/2039 | 3,000 | 3,044 | ||||||
|
|
|
|||||||
| 79,137 | ||||||||
|
|
|
|||||||
| Minnesota — 1.0% | ||||||||
| County of Hennepin, | ||||||||
| Series A, GO, 5.00%, 12/01/2022 | 2,300 | 2,307 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPT |
PRINCIPAL AMOUNT ($) |
VALUE ($) | ||||||
| Municipal Bonds — continued | ||||||||
| Minnesota — continued | ||||||||
| Series C, GO, 5.00%, 12/15/2032 | 1,500 | 1,657 | ||||||
| Dakota County Community Development Agency, Aster House Apartments Project, Rev., 0.35%, 06/01/2024 (z) | 2,415 | 2,351 | ||||||
| Housing & Redevelopment Authority of The City of St. Paul Minnesota, Fairview Health Services, Series A, Rev., 5.00%, 11/15/2047 | 9,000 | 8,889 | ||||||
| Housing & Redevelopment Authority of The City of St. Paul Minnesota, Hope Community Academy Project, Series A, Rev., 5.00%, 12/01/2043 | 1,000 | 818 | ||||||
| Minneapolis St. Paul Metropolitan Airports Commission, Subordinate, | ||||||||
| Series B, Rev., AMT, 5.00%, 01/01/2034 | 1,345 | 1,386 | ||||||
| Series B, Rev., AMT, 5.25%, 01/01/2047 | 1,845 | 1,868 | ||||||
| Minnesota Housing Finance Agency, | ||||||||
| Series B, Rev., GNMA/FNMA/FHLMC, 3.00%, 07/01/2051 | 785 | 744 | ||||||
| Series C, Rev., 5.00%, 08/01/2032 | 2,365 | 2,592 | ||||||
| Series D, Rev., GNMA/FNMA/FHLMC COLL, 3.00%, 01/01/2052 | 1,060 | 1,002 | ||||||
| Series G, Rev., GNMA/FNMA/FHLMC, 3.00%, 01/01/2051 | 3,490 | 3,325 | ||||||
| Series I, Rev., GNMA/FNMA/FHLMC, 2.80%, 12/01/2047 | 356 | 332 | ||||||
| Series I, Rev., 3.00%, 01/01/2051 | 3,600 | 3,424 | ||||||
| Minnesota Housing Finance Agency, Social Bond, Series H, Rev., GNMA/FNMA/FHLMC, 3.00%, 07/01/2052 | 105 | 99 | ||||||
| Minnesota Housing Finance Agency, Social Bonds, | ||||||||
| Series A, Rev., GNMA/FNMA/FHLMC, 3.00%, 07/01/2052 | 1,145 | 1,074 | ||||||
| Series F, Rev., GNMA/FNMA/FHLMC, 3.00%, 07/01/2052 | 255 | 241 | ||||||
| Minnesota Housing Finance Agency, State Appropriation Bond Housing, Rev., 5.00%, 08/01/2029 | 1,245 | 1,359 | ||||||
| Minnesota Municipal Gas Agency, Series A, Rev., LIQ: Royal Bank of Canada, 4.00%, 12/01/2052 (z) | 4,370 | 4,349 | ||||||
| Minnesota Office of Higher Education, Supplemental Student Loan, Rev., AMT, 4.00%, 11/01/2037 | 1,580 | 1,540 | ||||||
| Shakopee Independent School District No. 720, Series D, GO, 5.00%, 02/01/2024 | 3,685 | 3,767 | ||||||
| St. Paul Port Authority, Solid Gerdau St. Paul Steel Mill Project, Rev., AMT, 4.50%, 10/01/2037 (e) | 4,500 | 4,169 | ||||||
| State of Minnesota, | ||||||||
| Series A, GO, 4.00%, 09/01/2037 | 690 | 679 | ||||||
| Series A, GO, 5.00%, 08/01/2026 | 250 | 266 | ||||||
| Series A, GO, 5.00%, 10/01/2029 | 45 | 49 | ||||||
| Series A, GO, 5.00%, 08/01/2034 | 2,000 | 2,155 | ||||||
| Series E, GO, 3.00%, 08/01/2026 | 710 | 699 | ||||||
|
|
|
|||||||
| 51,141 | ||||||||
|
|
|
|||||||
| Mississippi — 0.2% | ||||||||
| Mississippi Business Finance Corp., Chevron USA Inc, Rev., VRDO, 2.49%, 10/07/2022 (z) | 4,000 | 4,000 | ||||||
| Mississippi Business Finance Corp., System Energy Resources, Inc. Project, Rev., 2.38%, 06/01/2044 | 175 | 106 | ||||||
| Mississippi Development Bank, Hinds County School District Project, Rev., 5.00%, 03/01/2048 | 1,360 | 1,392 | ||||||
| Mississippi Home Corp., J&A Development Portfolio Project, Series 1, Rev., 0.30%, 02/01/2024 (z) | 40 | 39 | ||||||
| Mississippi Home Corp., Social Bond, Series C, Rev., GNMA/FNMA/FHLMC COLL, 5.00%, 12/01/2052 | 185 | 189 | ||||||
| Mississippi Home Corp., Southwest Village Apartments Project, Rev., HUD, 2.00%, 02/01/2025 (z) | 2,970 | 2,904 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPT |
PRINCIPAL AMOUNT ($) |
VALUE ($) | ||||||
| Municipal Bonds — continued | ||||||||
| Mississippi — continued | ||||||||
| Mississippi Hospital Equipment & Facilities Authority, Baptist Memorial Health Care, Rev., 5.00%, 09/01/2044 (z) | 250 | 257 | ||||||
|
|
|
|||||||
| 8,887 | ||||||||
|
|
|
|||||||
| Missouri — 0.9% | ||||||||
| Cape Girardeau County Industrial Development Authority, Southeasthealth, Rev., 4.00%, 03/01/2041 | 870 | 699 | ||||||
| City of St. Charles, Series B, COP, 4.00%, 02/01/2029 | 515 | 526 | ||||||
| Curators of the University of Missouri (The), | ||||||||
| Series A, Rev., 4.00%, 11/01/2034 | 2,500 | 2,444 | ||||||
| Series A, Rev., 4.00%, 11/01/2035 | 1,000 | 974 | ||||||
| Health & Educational Facilities Authority of the State of Missouri, Series C, Rev., 5.00%, 05/01/2052 (z) | 2,695 | 2,854 | ||||||
| Health & Educational Facilities Authority of the State of Missouri, BJC Health System, Series B, Rev., 4.00%, 05/01/2051 (z) | 1,500 | 1,515 | ||||||
| Health & Educational Facilities Authority of the State of Missouri, Capital Region Medical Center, Rev., 5.00%, 11/01/2035 | 3,400 | 3,011 | ||||||
| Health & Educational Facilities Authority of the State of Missouri, Luke’s Health System, Rev., 4.00%, 11/15/2038 | 2,000 | 1,836 | ||||||
| Health & Educational Facilities Authority of the State of Missouri, Lutheran Senior Service Projects, Series A, Rev., 5.00%, 02/01/2029 | 1,410 | 1,425 | ||||||
| Health & Educational Facilities Authority of the State of Missouri, Lutheran Senior Services, Rev., 4.00%, 02/01/2034 | 500 | 435 | ||||||
| Kansas City Industrial Development Authority, Rev., AMT, 5.00%, 03/01/2032 | 900 | 925 | ||||||
| Kansas City Industrial Development Authority, Kansas City International Airport, | ||||||||
| Rev., AMT, 4.00%, 03/01/2036 | 1,250 | 1,136 | ||||||
| Rev., AMT, 4.00%, 03/01/2040 | 2,500 | 2,207 | ||||||
| Rev., AMT, 5.00%, 03/01/2029 | 3,050 | 3,179 | ||||||
| Rev., AMT, 5.00%, 03/01/2038 | 2,480 | 2,480 | ||||||
| Rev., AMT, 5.00%, 03/01/2046 | 5,000 | 4,936 | ||||||
| Missouri Development Finance Board, Procter & Gamble Paper Products, Rev., AMT, 5.20%, 03/15/2029 | 370 | 404 | ||||||
| Missouri Housing Development Commission, First Place Homeownership Loan, | ||||||||
| Rev., GNMA/FNMA/FHLMC COLL, 3.00%, 05/01/2052 | 510 | 483 | ||||||
| Rev., GNMA/FNMA/FHLMC, 3.00%, 05/01/2052 | 3,230 | 3,053 | ||||||
| Rev., GNMA/FNMA/FHLMC, 3.25%, 11/01/2052 | 440 | 418 | ||||||
| Series D, Rev., GNMA/FNMA/FHLMC, 3.25%, 05/01/2051 | 10 | 10 | ||||||
| Missouri State Environmental Improvement & Energy Resources Authority, Union Electric Company Project, Series AR, Rev., 2.90%, 09/01/2033 | 2,000 | 1,729 | ||||||
| Orchard Farm R-V School District, | ||||||||
| COP, 4.00%, 04/01/2027 (p) | 400 | 410 | ||||||
| COP, 4.00%, 04/01/2028 (p) | 410 | 423 | ||||||
| Plaza at Noah’s Ark Community Improvement District, Rev., 3.00%, 05/01/2030 | 575 | 500 | ||||||
| St Charles County Industrial Development Authority, Hidden Valley Estates, Rev., HUD, 0.27%, 08/01/2025 (z) | 1,290 | 1,244 | ||||||
| St Louis Municipal Finance Corp., Convention Center Expansion, Rev., AGM, 5.00%, 10/01/2045 | 3,215 | 3,253 | ||||||
| State of Missouri, Health & Educational Facilities, Saint Luke’s Health System, Inc., Rev., 5.00%, 11/15/2023 | 290 | 295 | ||||||
|
|
|
|||||||
| 42,804 | ||||||||
|
|
|
|||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Montana — 0.1% | ||||||||
| Montana Board of Housing, | ||||||||
| Rev., 3.00%, 12/01/2050 | 3,315 | 3,163 | ||||||
| Series A, Rev., 3.00%, 06/01/2052 | 365 | 343 | ||||||
| Series B2, Rev., AMT, 3.50%, 12/01/2042 | 440 | 434 | ||||||
| Series B, Rev., 3.00%, 12/01/2051 | 1,260 | 1,190 | ||||||
| Montana Facility Finance Authority, Rev., 5.00%, 02/15/2033 | 1,000 | 1,021 | ||||||
| Montana State Board of Regents, | ||||||||
| Series G, Rev., 5.00%, 11/15/2031 | 250 | 277 | ||||||
| Series G, Rev., 5.00%, 11/15/2032 | 630 | 692 | ||||||
|
|
|
|||||||
| 7,120 | ||||||||
|
|
|
|||||||
| Nebraska — 0.5% | ||||||||
| Central Plains Energy Project, | ||||||||
| Rev., LIQ: Royal Bank of Canada, 4.00%, 12/01/2049 (z) | 4,000 | 3,981 | ||||||
| Series 1, Rev., 5.00%, 05/01/2053 (z) | 3,915 | 3,919 | ||||||
| County of Douglas, Creighton University Project, Rev., (SIFMA Municipal Swap Index + 0.53%), 2.99%, 07/01/2035 (aa) | 2,230 | 2,227 | ||||||
| County of Washington, Cargill, Inc. Project, Rev., AMT, 0.90%, 09/01/2030 (z) | 350 | 324 | ||||||
| Douglas County Hospital Authority No. 2, Health Facilities Children’s Hospital, Rev., 5.00%, 11/15/2047 | 3,000 | 2,980 | ||||||
| Douglas County Hospital Authority No. 2, Madonna Rehabilitation Hospital, Rev., 4.00%, 05/15/2033 | 2,100 | 1,984 | ||||||
| Douglas County, Hospital Authority No. 2, Children’s Hospital Obligated Group, Rev., 5.00%, 11/15/2053 (z) | 2,190 | 2,272 | ||||||
| Nebraska Educational Health Cultural & Social Services Finance Authority, Immanuel Obligated Group, Rev., 4.00%, 01/01/2037 | 1,000 | 927 | ||||||
| Nebraska Public Power District, Series A, Rev., 0.60%, 01/01/2051 (z) | 9,000 | 8,802 | ||||||
|
|
|
|||||||
| 27,416 | ||||||||
|
|
|
|||||||
| Nevada — 1.1% | ||||||||
| City of Carson City, Carson Tahoe Regional Medical Center, Rev., 5.00%, 09/01/2047 | 1,000 | 973 | ||||||
| City of Las Vegas Special Improvement District No. 612 Skye Hills, Special Assessment, 3.50%, 06/01/2035 | 210 | 166 | ||||||
| City of North Las Vegas, GO, BAM, 5.00%, 06/01/2027 | 2,000 | 2,131 | ||||||
| Clark County School District, Series C, GO, 5.00%, 06/15/2026 | 1,250 | 1,319 | ||||||
| Clark County School District, Building, | ||||||||
| Series A, GO, 5.00%, 06/15/2029 | 500 | 539 | ||||||
| Series B, GO, AGM-CR, 5.00%, 06/15/2033 | 3,000 | 3,200 | ||||||
| County of Clark Department of Aviation, Airport Systems, Subordinate, Rev., 5.00%, 07/01/2033 | 1,010 | 1,087 | ||||||
| County of Clark Department of Aviation, Subordinate, Series B, Rev., AMT, 5.00%, 07/01/2027 | 6,000 | 6,214 | ||||||
| County of Clark Department of Aviation, System Senior, Series A, Rev., 5.00%, 07/01/2040 | 2,000 | 2,032 | ||||||
| County of Clark Passenger Facility Charge Revenue, McCarran International, | ||||||||
| Rev., 5.00%, 07/01/2029 | 5,000 | 5,443 | ||||||
| Rev., 5.00%, 07/01/2031 | 1,950 | 2,103 | ||||||
| Rev., 5.00%, 07/01/2032 | 2,385 | 2,554 | ||||||
| County of Clark, Detention Center, GO, 4.00%, 06/01/2034 | 3,335 | 3,284 | ||||||
| County of Clark, Passenger Facility Charge Revenue, Las Vegas McCarran International Airport, Rev., 5.00%, 07/01/2030 | 1,425 | 1,547 | ||||||
| County of Clark, Southern Ca Edison Company, Rev., 2.10%, 06/01/2031 | 1,000 | 803 | ||||||
| Las Vegas Convention & Visitors Authority, | ||||||||
| Series B, Rev., 5.00%, 07/01/2029 | 1,345 | 1,467 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Nevada — continued | ||||||||
| Series B, Rev., 5.00%, 07/01/2034 | 1,275 | 1,359 | ||||||
| Series B, Rev., 5.00%, 07/01/2043 | 5,150 | 5,262 | ||||||
| Las Vegas Valley Water District, Series A, GO, 5.00%, 06/01/2026 | 1,500 | 1,593 | ||||||
| Las Vegas Valley Water District, Water Improvement, Series A, GO, 5.00%, 06/01/2046 | 5,000 | 5,114 | ||||||
| Las Vegas Valley, Water District, Series B, GO, 5.00%, 12/01/2023 | 70 | 71 | ||||||
| State of Nevada Department of Business & Industry, Brightline West Passenger Rail Project, Rev., AMT, 0.85%, 01/01/2050 (e) (z) | 4,500 | 4,450 | ||||||
|
|
|
|||||||
| 52,711 | ||||||||
|
|
|
|||||||
| New Hampshire — 0.2% | ||||||||
| New Hampshire Business Finance Authority, | ||||||||
| Series 1A, Rev., 4.13%, 01/20/2034 | 962 | 891 | ||||||
| Series 2022-1, Rev., 4.38%, 09/20/2036 | 662 | 603 | ||||||
| New Hampshire Business Finance Authority, Caritas Oregon Project, Series A, Rev., 4.13%, 08/15/2040 (e) | 2,000 | 1,632 | ||||||
| New Hampshire Business Finance Authority, Saint Luke’s University Health, Rev., 4.00%, 08/15/2036 | 720 | 668 | ||||||
| New Hampshire Business Finance Authority, Springpoint Senior Living, | ||||||||
| Rev., 4.00%, 01/01/2026 | 270 | 265 | ||||||
| Rev., 4.00%, 01/01/2027 | 250 | 244 | ||||||
| Rev., 4.00%, 01/01/2028 | 290 | 280 | ||||||
| Rev., 4.00%, 01/01/2029 | 300 | 285 | ||||||
| Rev., 4.00%, 01/01/2030 | 280 | 263 | ||||||
| Rev., 4.00%, 01/01/2031 | 290 | 268 | ||||||
| New Hampshire Business Finance Authority, Taxable Virginia Birmingham Care Center, Rev., 3.78%, 01/01/2036 | 2,000 | 1,493 | ||||||
| New Hampshire Business Finance Authority, Waste Management, Inc. Project, Rev., AMT, (SIFMA Municipal Swap Index + 0.38%), 2.84%, 10/01/2033 (aa) | 4,170 | 4,058 | ||||||
|
|
|
|||||||
| 10,950 | ||||||||
|
|
|
|||||||
| New Jersey — 3.2% | ||||||||
| City of Newark, | ||||||||
| Series A, GO, AGM, 5.00%, 10/01/2027 | 100 | 106 | ||||||
| Series A, GO, AGM, 5.00%, 10/01/2028 | 750 | 804 | ||||||
| Garden State Preservation Trust, Capital Appreciation, Series B, Rev., AGM, Zero Coupon, 11/01/2026 | 1,000 | 861 | ||||||
| Gloucester County Improvement Authority, The Rowan University Fossil Park, | ||||||||
| Rev., BAM, 4.00%, 07/01/2046 | 725 | 630 | ||||||
| Rev., BAM, 4.00%, 07/01/2051 | 1,000 | 851 | ||||||
| Hudson County Improvement Authority, Hudson County Courthouse Project, Rev., 5.00%, 10/01/2028 | 150 | 163 | ||||||
| New Brunswick Parking Authority, City Guaranteed Parking, Series A, Rev., BAM, 5.00%, 09/01/2026 | 1,000 | 1,057 | ||||||
| New Jersey Economic Development Authority, | ||||||||
| Series A, Rev., 5.00%, 11/01/2027 | 2,500 | 2,597 | ||||||
| Series AAA, Rev., 5.00%, 06/15/2036 | 1,000 | 1,006 | ||||||
| Series AAA, Rev., 5.00%, 06/15/2041 | 500 | 495 | ||||||
| Series AAA, Rev., 5.50%, 06/15/2028 | 5,000 | 5,255 | ||||||
| Series AAA, Rev., 5.50%, 06/15/2032 (p) | 2,000 | 2,171 | ||||||
| Series B, Rev., 5.00%, 11/01/2023 | 75 | 76 | ||||||
| Series DDD, Rev., 5.00%, 06/15/2033 | 1,500 | 1,522 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| New Jersey — continued | ||||||||
| New Jersey Economic Development Authority, American Water Company, | ||||||||
| Series B, Rev., AMT, 1.20%, 11/01/2034 (z) | 1,265 | 1,244 | ||||||
| Series C, Rev., AMT, 1.15%, 06/01/2023 | 135 | 132 | ||||||
| New Jersey Economic Development Authority, Continental Airlines, Inc. Project, Rev., AMT, 5.13%, 09/15/2023 | 710 | 710 | ||||||
| New Jersey Economic Development Authority, Higher Education Capital Improvement Fund, Series A, Rev., 5.00%, 09/01/2025 | 245 | 250 | ||||||
| New Jersey Economic Development Authority, New Jersey American Water Company, Inc., | ||||||||
| Rev., AMT, 1.10%, 11/01/2029 (z) | 2,610 | 2,178 | ||||||
| Series E, Rev., AMT, 0.85%, 12/01/2025 | 2,205 | 1,958 | ||||||
| New Jersey Economic Development Authority, Port Newark Container, Rev., AMT, 5.00%, 10/01/2037 | 1,000 | 1,002 | ||||||
| New Jersey Economic Development Authority, School Facilities Construction, | ||||||||
| Rev., 5.00%, 03/01/2031 (p) | 1,190 | 1,199 | ||||||
| Series EEE, Rev., 5.00%, 06/15/2032 | 1,500 | 1,538 | ||||||
| Series GGG, Rev., 5.25%, 09/01/2026 (e) | 8,000 | 8,352 | ||||||
| New Jersey Economic Development Authority, School Facilities Construction SIFMA, Series I, Rev., (SIFMA Municipal Swap Index + 1.60%), 4.06%, 03/01/2028 (aa) | 10,000 | 10,006 | ||||||
| New Jersey Economic Development Authority, Self Designated Social Bonds, | ||||||||
| Series QQQ, Rev., 4.00%, 06/15/2034 | 500 | 460 | ||||||
| Series QQQ, Rev., 4.00%, 06/15/2035 | 500 | 456 | ||||||
| Series QQQ, Rev., 5.00%, 06/15/2026 | 555 | 574 | ||||||
| Series QQQ, Rev., 5.00%, 06/15/2027 | 410 | 425 | ||||||
| Series QQQ, Rev., 5.00%, 06/15/2028 | 400 | 417 | ||||||
| New Jersey Economic Development Authority, Social Bonds, Series QQQ, Rev., 4.00%, 06/15/2046 | 255 | 214 | ||||||
| New Jersey Economic Development Authority, State House Project, | ||||||||
| Series B, Rev., 5.00%, 06/15/2027 | 10,690 | 11,078 | ||||||
| Series B, Rev., 5.00%, 06/15/2028 | 8,635 | 9,002 | ||||||
| New Jersey Educational Facilities Authority, Montclair State University, Series D, Rev., 5.00%, 07/01/2028 | 2,000 | 2,071 | ||||||
| New Jersey Educational Facilities Authority, Princeton University, | ||||||||
| Series B, Rev., 5.00%, 07/01/2024 | 1,000 | 1,032 | ||||||
| Series I, Rev., 5.00%, 07/01/2036 | 1,015 | 1,082 | ||||||
| New Jersey Educational Facilities Authority, Ramapo College of New Jersey, Series A, Rev., AGM, 5.00%, 07/01/2035 | 200 | 212 | ||||||
| New Jersey Health Care Facilities Financing Authority, Atlanticare Health System Obligated, Rev., 5.00%, 07/01/2032 | 2,070 | 2,223 | ||||||
| New Jersey Health Care Facilities Financing Authority, Inspira Health Obligated Group, Rev., 5.00%, 07/01/2037 | 1,600 | 1,619 | ||||||
| New Jersey Higher Education Student Assistance Authority, | ||||||||
| Series B, Rev., AMT, 5.00%, 12/01/2024 | 570 | 584 | ||||||
| Series B, Rev., AMT, 5.00%, 12/01/2027 | 1,340 | 1,398 | ||||||
| Series B, Rev., AMT, 5.00%, 12/01/2028 | 1,480 | 1,546 | ||||||
| Series B, Rev., AMT, 5.00%, 12/01/2029 | 1,440 | 1,511 | ||||||
| New Jersey Higher Education Student Assistance Authority, Senior, | ||||||||
| Series A, Rev., AMT, 3.50%, 12/01/2039 | 125 | 115 | ||||||
| Series B, Rev., AMT, 4.00%, 12/01/2041 | 250 | 214 | ||||||
| New Jersey Higher Education Student Assistance Authority, Senior Bonds, Series B, Rev., AMT, 5.00%, 12/01/2024 | 300 | 308 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| New Jersey — continued | ||||||||
| New Jersey Higher Education Student Assistance Authority, Senior Student Loan, Rev., AMT, 5.00%, 12/01/2023 | 215 | 218 | ||||||
| New Jersey Higher Education Student Assistance Authority, Subordinated, Series C, Rev., AMT, 4.00%, 12/01/2048 | 1,195 | 975 | ||||||
| New Jersey Housing & Mortgage Finance Agency, Series E, Rev., 3.50%, 04/01/2051 | 2,725 | 2,633 | ||||||
| New Jersey Housing & Mortgage Finance Agency, Browns Woods Apartments Project, Rev., HUD, 1.25%, 12/01/2024 (z) | 850 | 826 | ||||||
| New Jersey Housing & Mortgage Finance Agency, Social Bond, Rev., 5.00%, 10/01/2053 | 200 | 204 | ||||||
| New Jersey Housing & Mortgage Finance Agency, Social Bonds, Series H, Rev., 3.00%, 10/01/2052 | 835 | 778 | ||||||
| New Jersey Transportation Trust Fund Authority, | ||||||||
| Series A, Rev., 4.00%, 06/15/2035 | 2,000 | 1,825 | ||||||
| Series A, Rev., 5.00%, 12/15/2028 | 300 | 313 | ||||||
| Series A, Rev., 5.00%, 06/15/2029 | 1,550 | 1,618 | ||||||
| Series A, Rev., 5.00%, 06/15/2030 | 3,000 | 3,140 | ||||||
| Series AA, Rev., 4.00%, 06/15/2040 | 3,750 | 3,254 | ||||||
| Series AA, Rev., 4.00%, 06/15/2050 | 500 | 413 | ||||||
| Series AA, Rev., 5.00%, 06/15/2029 | 1,000 | 1,043 | ||||||
| Series AA, Rev., 5.00%, 06/15/2035 | 3,000 | 3,033 | ||||||
| Series AA, Rev., 5.00%, 06/15/2045 | 660 | 653 | ||||||
| New Jersey Transportation Trust Fund Authority, Capital Appreciation, Series A, Rev., BAM, Zero Coupon, 12/15/2038 | 1,000 | 445 | ||||||
| New Jersey Transportation Trust Fund Authority, Transportation Program Bonds, Rev., 5.00%, 06/15/2035 | 500 | 507 | ||||||
| New Jersey Transportation Trust Fund Authority, Transportation System Bond, | ||||||||
| Rev., 4.00%, 12/15/2039 | 2,000 | 1,745 | ||||||
| Rev., 5.00%, 12/15/2028 | 1,000 | 1,042 | ||||||
| Rev., 5.00%, 12/15/2031 | 1,560 | 1,613 | ||||||
| New Jersey Turnpike Authority, | ||||||||
| Series A, Rev., 4.00%, 01/01/2042 | 1,000 | 923 | ||||||
| Series E, Rev., 5.00%, 01/01/2027 | 1,000 | 1,059 | ||||||
| Newark Board of Education, Sustainability Bonds, | ||||||||
| GO, BAM, 4.00%, 07/15/2034 | 400 | 389 | ||||||
| GO, BAM, 4.00%, 07/15/2035 | 410 | 384 | ||||||
| GO, BAM, 4.00%, 07/15/2036 | 425 | 397 | ||||||
| GO, BAM, 4.00%, 07/15/2037 | 430 | 399 | ||||||
| North Hudson Sewerage Authority, Senior Lien Lease Certificates, | ||||||||
| Rev., AGM, 5.00%, 06/01/2039 | 1,100 | 1,183 | ||||||
| Rev., AGM, 5.00%, 06/01/2040 | 1,100 | 1,174 | ||||||
| Rev., AGM, 5.00%, 06/01/2041 | 1,000 | 1,065 | ||||||
| Rev., AGM, 5.00%, 06/01/2042 | 1,000 | 1,061 | ||||||
| Rutgers The State University of New Jersey, Series L, Rev., 5.00%, 05/01/2043 (p) | 1,805 | 1,825 | ||||||
| South Jersey Port Corp., Marine Terminal, | ||||||||
| Series B, Rev., AMT, 5.00%, 01/01/2025 | 500 | 508 | ||||||
| Series B, Rev., AMT, 5.00%, 01/01/2026 | 1,015 | 1,036 | ||||||
| South Jersey Port Corp., Marine Terminal, Subordinated, Series B, Rev., AMT, 5.00%, 01/01/2037 | 1,000 | 993 | ||||||
| South Jersey Transportation Authority, | ||||||||
| Series A, Rev., AGM, 5.00%, 11/01/2030 | 500 | 530 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| New Jersey — continued | ||||||||
| Series A, Rev., AGM, 5.00%, 11/01/2033 | 1,215 | 1,262 | ||||||
| Series A, Rev., BAM, 5.00%, 11/01/2041 | 2,925 | 3,000 | ||||||
| South Jersey Transportation Authority, Transportation System, Rev., BAM, 5.25%, 11/01/2052 | 3,100 | 3,227 | ||||||
| State of New Jersey, Covid-19 Emergency Bonds, General Obligations, | ||||||||
| Series A, GO, 4.00%, 06/01/2030 | 2,000 | 2,022 | ||||||
| Series A, GO, 5.00%, 06/01/2028 | 4,245 | 4,553 | ||||||
| Series A, GO, 5.00%, 06/01/2029 | 15,000 | 16,240 | ||||||
| Tender Option Bond Trust Receipts/Certificates, Floaters, Series 2016-XM0226, Rev., BHAC-CR, NATL-RE, LIQ: Bank of America NA, 0.00%, 09/11/2025 (e) (z) | 4,720 | 4,720 | ||||||
|
|
|
|||||||
| 156,932 | ||||||||
|
|
|
|||||||
| New Mexico — 0.4% | ||||||||
| Albuquerque Municipal School District No. 12, Series A, GO, 5.00%, 08/01/2024 | 250 | 258 | ||||||
| City of Farmington, Four Corners Project, Rev., 1.80%, 04/01/2029 | 3,000 | 2,530 | ||||||
| City of Farmington, Pollution Control Revenue, Public Service Company, New Mexico Sanitary, Series E, Rev., 1.15%, 06/01/2040 (z) | 1,000 | 950 | ||||||
| City of Farmington, San Juan And Four Corners, | ||||||||
| Rev., 2.15%, 04/01/2033 | 4,890 | 3,713 | ||||||
| New Mexico Educational Assistance Foundation, Series 1A, Rev., AMT, 2.05%, 09/01/2051 | 1,000 | 818 | ||||||
| New Mexico Finance Authority, Subordinated Lien, Public Project Revolving Fund, Rev., 5.00%, 06/15/2024 | 1,000 | 1,030 | ||||||
| New Mexico Hospital Equipment Loan Council, | ||||||||
| Rev., 5.00%, 06/01/2030 | 1,050 | 1,096 | ||||||
| Rev., 5.00%, 06/01/2032 | 1,000 | 1,023 | ||||||
| New Mexico Hospital Equipment Loan Council, Presbyterian Healthcare, Rev., 4.00%, 08/01/2037 | 500 | 464 | ||||||
| New Mexico Mortgage Finance Authority, Series A, Rev., GNMA/FNMA/FHLMC, 3.00%, 01/01/2052 | 1,310 | 1,238 | ||||||
| New Mexico Mortgage Finance Authority, Single Family Mortgage Program, | ||||||||
| Rev., GNMA/FNMA/FHLMC, 3.00%, 01/01/2052 | 830 | 785 | ||||||
| Series C, Rev., GNMA/FNMA/FHLMC, 4.00%, 01/01/2049 | 205 | 202 | ||||||
| New Mexico Municipal Energy Acquisition Authority, Series A, Rev., LIQ: Royal Bank of Canada, 5.00%, 11/01/2039 (z) | 3,500 | 3,598 | ||||||
| Santa Fe Public School District, GO, 5.00%, 08/01/2029 | 1,375 | 1,492 | ||||||
|
|
|
|||||||
| 19,197 | ||||||||
|
|
|
|||||||
| New York — 12.8% | ||||||||
| Albany County, Airport Authority, Series B, Rev., AMT, 5.00%, 12/15/2023 | 1,225 | 1,245 | ||||||
| Broome County, Local Development Corp., United Health Services Hospital, | ||||||||
| Rev., AGM, 4.00%, 04/01/2039 | 2,750 | 2,463 | ||||||
| Rev., AGM, 5.00%, 04/01/2026 | 500 | 522 | ||||||
| Build NYC Resource Corp., Rev., 5.00%, 07/01/2026 | 325 | 334 | ||||||
| Build NYC Resource Corp., Academic Leadership Charter School, | ||||||||
| Rev., 4.00%, 06/15/2023 | 100 | 100 | ||||||
| Rev., 4.00%, 06/15/2024 | 70 | 69 | ||||||
| Build NYC Resource Corp., Family Life Academy Charter, Series A1, Rev., 5.25%, 06/01/2040 (e) | 1,220 | 955 | ||||||
| Build NYC Resource Corp., Friends of Hellenic Classical, Series A, Rev., 4.00%, 12/01/2031 (e) | 700 | 635 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| New York — continued | ||||||||
| Build NYC Resource Corp., Grand Concourse Academy Charter School, | ||||||||
| Rev., 5.00%, 07/01/2042 | 555 | 529 | ||||||
| Rev., 5.00%, 07/01/2052 | 700 | 644 | ||||||
| City of Long Beach, | ||||||||
| Series A, GO, 5.00%, 09/01/2025 | 1,990 | 2,039 | ||||||
| Series A, GO, 5.00%, 09/01/2027 | 1,500 | 1,541 | ||||||
| City of New York, | ||||||||
| Series A1, GO, 4.00%, 08/01/2034 | 3,000 | 2,921 | ||||||
| Series A1, GO, 4.00%, 08/01/2036 | 1,000 | 950 | ||||||
| Series A1, GO, 5.00%, 08/01/2029 | 2,900 | 3,178 | ||||||
| Series A1, GO, 5.00%, 08/01/2041 | 3,000 | 3,101 | ||||||
| Series A1, GO, 5.25%, 09/01/2042 | 8,715 | 9,370 | ||||||
| Series B1, GO, 5.00%, 08/01/2031 | 1,000 | 1,103 | ||||||
| Series B1, GO, 5.00%, 08/01/2035 | 90 | 97 | ||||||
| Series B1, GO, 5.00%, 12/01/2037 | 1,760 | 1,809 | ||||||
| Series C1, GO, 5.00%, 08/01/2031 | 500 | 546 | ||||||
| Series C4, GO, AGC, 2.39%, 10/01/2027 (z) | 2,000 | 2,000 | ||||||
| Series C, GO, 5.00%, 08/01/2027 | 330 | 355 | ||||||
| Series D1, GO, 5.00%, 12/01/2024 | 150 | 155 | ||||||
| Series D1, GO, 5.00%, 12/01/2031 | 1,380 | 1,483 | ||||||
| Series D1, GO, 5.00%, 12/01/2036 | 11,955 | 12,473 | ||||||
| Series D1, GO, 5.00%, 12/01/2044 | 2,560 | 2,625 | ||||||
| Series E, GO, 5.00%, 08/01/2028 | 1,625 | 1,767 | ||||||
| Series F1, GO, 5.00%, 03/01/2037 (p) | 745 | 751 | ||||||
| Series F1, GO, 5.00%, 04/01/2037 | 2,730 | 2,828 | ||||||
| Series F1, GO, 5.00%, 04/01/2039 | 5,000 | 5,154 | ||||||
| Series F1, GO, 5.00%, 03/01/2043 | 1,000 | 1,039 | ||||||
| Series I, GO, 5.00%, 03/01/2026 | 360 | 368 | ||||||
| Series J3, GO, AGM, 2.84%, 06/01/2036 (z) | 2,000 | 2,000 | ||||||
| Series J, GO, 5.00%, 08/01/2025 | 1,320 | 1,339 | ||||||
| City of New York, Fiscal 2001, | ||||||||
| Series 2, GO, VRDO, 2.75%, 10/03/2022 (z) | 120 | 120 | ||||||
| Series 3, GO, VRDO, 2.75%, 10/07/2022 (z) | 90 | 90 | ||||||
| City of New York, Fiscal 2008, Series J10, GO, 5.00%, 08/01/2026 | 505 | 536 | ||||||
| City of New York, Fiscal 2015, Series F4, GO, 5.00%, 06/01/2044 (z) | 125 | 127 | ||||||
| City of New York, Fiscal 2020, Series B1, GO, 5.00%, 10/01/2038 | 5,000 | 5,207 | ||||||
| City of New York, Fiscal 2021, | ||||||||
| Series C, GO, 4.00%, 08/01/2037 | 450 | 424 | ||||||
| Series C, GO, 5.00%, 08/01/2033 | 2,000 | 2,153 | ||||||
| Series C, GO, 5.00%, 08/01/2035 | 4,740 | 5,042 | ||||||
| City of New York, Fiscal 2022, | ||||||||
| GO, 5.25%, 05/01/2039 | 200 | 216 | ||||||
| GO, 5.25%, 05/01/2041 | 2,000 | 2,152 | ||||||
| GO, 5.50%, 05/01/2044 | 1,000 | 1,091 | ||||||
| City of New York, Unrefunded, Series F1, GO, 5.00%, 03/01/2037 | 5 | 5 | ||||||
| County of Dutchess, Local Development Corp., Marist College Project, Series A, Rev., 5.00%, 07/01/2045 | 485 | 490 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| New York — continued | ||||||||
| County of Nassau, | ||||||||
| Series B, GO, BAM, 5.00%, 10/01/2027 | 1,450 | 1,535 | ||||||
| Series C, GO, 5.00%, 10/01/2025 | 1,005 | 1,051 | ||||||
| Dutchess County, Local Development Corp., Health Quest System, Inc. Project, Series B, Rev., 5.00%, 07/01/2046 | 1,250 | 1,162 | ||||||
| Hudson Yards Infrastructure Corp., | ||||||||
| Series A, Rev., AGM, 4.00%, 02/15/2047 | 9,335 | 8,269 | ||||||
| Series A, Rev., 5.00%, 02/15/2026 | 1,050 | 1,106 | ||||||
| Series A, Rev., 5.00%, 02/15/2045 | 2,210 | 2,252 | ||||||
| Long Island Power Authority, | ||||||||
| Rev., 5.00%, 09/01/2042 | 2,070 | 2,120 | ||||||
| Series A, Rev., 5.00%, 09/01/2037 | 1,250 | 1,321 | ||||||
| Series B, Rev., 1.50%, 09/01/2051 (z) | 5,700 | 5,082 | ||||||
| Long Island Power Authority, Notes, Rev., 1.00%, 09/01/2025 | 2,680 | 2,379 | ||||||
| Metropolitan Transportation Authority, | ||||||||
| Rev., AGM, (United States SOFR * 0.67 + 0.55%), 2.53%, 11/01/2032 (aa) | 1,770 | 1,728 | ||||||
| Rev., AGM, (United States SOFR * 0.67 + 0.80%), 2.80%, 11/01/2032 (aa) | 430 | 406 | ||||||
| Series A, Rev., 5.25%, 11/15/2030 | 3,025 | 3,231 | ||||||
| Series A, Rev., 5.25%, 11/15/2034 | 8,000 | 8,493 | ||||||
| Series B4, Rev., 5.00%, 11/15/2023 | 2,000 | 2,041 | ||||||
| Series B, Rev., 5.00%, 11/15/2024 | 340 | 349 | ||||||
| Series B, Rev., 5.00%, 11/15/2025 | 540 | 557 | ||||||
| Series C, Rev., 5.00%, 11/15/2047 (p) | 1,000 | 1,002 | ||||||
| Series D1, Rev., 5.00%, 11/01/2028 | 2,000 | 2,003 | ||||||
| Series D, Rev., 5.00%, 11/15/2027 | 1,200 | 1,233 | ||||||
| Series D, Rev., 5.00%, 11/15/2038 | 600 | 590 | ||||||
| Series F, Rev., 5.00%, 11/15/2022 | 160 | 160 | ||||||
| Series F, Rev., BAN, 5.00%, 11/15/2022 | 4,400 | 4,408 | ||||||
| Metropolitan Transportation Authority, Build America Bonds, Rev., 6.67%, 11/15/2039 | 2,500 | 2,648 | ||||||
| Metropolitan Transportation Authority, Green Bond, | ||||||||
| Series A1, Rev., BAN, 5.00%, 02/01/2023 | 400 | 402 | ||||||
| Series A2, Rev., 5.00%, 11/15/2027 | 1,085 | 1,115 | ||||||
| Series B, Rev., 5.00%, 11/15/2023 | 100 | 101 | ||||||
| Series C2, Rev., Zero Coupon, 11/15/2032 | 500 | 313 | ||||||
| Series C, Rev., 5.00%, 11/15/2040 | 2,465 | 2,400 | ||||||
| Series D, Rev., 5.00%, 11/15/2034 (z) | 5,000 | 5,107 | ||||||
| Series E, Rev., 4.00%, 11/15/2045 | 60 | 50 | ||||||
| Series E, Rev., 5.00%, 11/15/2029 | 250 | 259 | ||||||
| Metropolitan Transportation Authority, Green Bonds, | ||||||||
| Series A2, Rev., 5.00%, 11/15/2025 | 1,000 | 1,032 | ||||||
| Series B1, Rev., 5.00%, 11/15/2046 | 2,000 | 2,055 | ||||||
| Series D1, Rev., 5.00%, 11/15/2043 | 2,000 | 1,921 | ||||||
| Series D3, Rev., 4.00%, 11/15/2049 | 1,000 | 811 | ||||||
| Metropolitan Transportation Authority, Green Bonds, Subordinated, Series B1, Rev., 5.00%, 11/15/2036 | 10,000 | 10,440 | ||||||
| Metropolitan Transportation Authority, Transportation, | ||||||||
| Series A1, Rev., 5.00%, 11/15/2044 | 4,500 | 4,308 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| New York — continued | ||||||||
| Series A1, Rev., 5.25%, 11/15/2039 | 1,000 | 1,007 | ||||||
| Series B, Rev., 5.25%, 11/15/2037 | 3,000 | 3,009 | ||||||
| Series C1, Rev., 5.00%, 11/15/2026 | 305 | 313 | ||||||
| Metropolitan Transportation Authority, Transportation Green Bonds, Series B, Rev., 5.00%, 11/15/2026 | 1,720 | 1,783 | ||||||
| Monroe County Industrial Development Corp., Rochester Regional Health Project, | ||||||||
| Rev., 5.00%, 12/01/2022 | 600 | 602 | ||||||
| Rev., 5.00%, 12/01/2027 | 1,000 | 1,037 | ||||||
| Rev., 5.00%, 12/01/2028 | 1,700 | 1,773 | ||||||
| Rev., 5.00%, 12/01/2029 | 1,900 | 1,988 | ||||||
| New York City Health and Hospitals Corp., | ||||||||
| Series A, Rev., 5.00%, 02/15/2024 | 270 | 276 | ||||||
| Series A, Rev., 5.00%, 02/15/2026 | 6,055 | 6,342 | ||||||
| Series A, Rev., 5.00%, 02/15/2027 | 5,360 | 5,681 | ||||||
| Series A, Rev., 5.00%, 02/15/2028 | 3,760 | 4,030 | ||||||
| Series A, Rev., 5.00%, 02/15/2029 | 2,485 | 2,692 | ||||||
| New York City Housing Development Corp., Sustainability Bonds, | ||||||||
| Rev., FHA, 0.70%, 11/01/2060 (z) | 2,500 | 2,288 | ||||||
| Series C2, Rev., 0.70%, 11/01/2060 (z) | 1,790 | 1,629 | ||||||
| New York City Housing Development Corp., Sustainable Development Bonds, Series D2, Rev., FHA, 0.70%, 05/01/2060 (z) | 1,000 | 931 | ||||||
| New York City Industrial Development Agency, Queens Baseball Stadium Project, | ||||||||
| Rev., AGM, 3.00%, 01/01/2040 | 250 | 188 | ||||||
| Series A, Rev., AGM, 4.00%, 01/01/2032 | 1,000 | 1,003 | ||||||
| Series A, Rev., AGM, 5.00%, 01/01/2025 | 250 | 256 | ||||||
| Series A, Rev., AGM, 5.00%, 01/01/2027 | 625 | 653 | ||||||
| Series A, Rev., AGM, 5.00%, 01/01/2029 | 1,000 | 1,059 | ||||||
| Series A, Rev., AGM, 5.00%, 01/01/2030 | 1,500 | 1,597 | ||||||
| New York City Industrial Development Agency, Yankee Stadium Project Pilot, | ||||||||
| Rev., AGM, 4.00%, 03/01/2045 | 8,825 | 7,718 | ||||||
| Rev., AGM, 5.00%, 03/01/2028 | 1,250 | 1,333 | ||||||
| Rev., AGM, 5.00%, 03/01/2029 | 1,500 | 1,613 | ||||||
| Rev., AGM, 5.00%, 03/01/2030 | 3,900 | 4,221 | ||||||
| New York City Municipal Water Finance Authority, Series CC1, Rev., 4.00%, 06/15/2052 | 5,000 | 4,375 | ||||||
| New York City Municipal Water Finance Authority, Second General Resolution, Rev., VRDO, 2.57%, 10/03/2022 (z) | 8,000 | 8,000 | ||||||
| New York City Transitional Finance Authority Building Aid Revenue, Fiscal 2015, Subordinate, Series S, Rev., 5.00%, 07/15/2040 | 17,800 | 18,216 | ||||||
| New York City Transitional Finance Authority Building Aid Revenue, Fiscal Year 2015, Series S1, Rev., 5.00%, 07/15/2035 | 585 | 599 | ||||||
| New York City Transitional Finance Authority Building Aid Revenue, Subordinate, | ||||||||
| Series S1, Rev., 4.00%, 07/15/2034 | 1,000 | 983 | ||||||
| Series S1, Rev., 5.00%, 07/15/2031 | 1,590 | 1,757 | ||||||
| Series S1, Rev., 5.00%, 07/15/2043 | 1,505 | 1,534 | ||||||
| New York City Transitional Finance Authority Future Tax Secured, | ||||||||
| Rev., 5.00%, 11/01/2028 | 1,000 | 1,085 | ||||||
| Rev., 5.00%, 08/01/2029 | 3,000 | 3,278 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| New York — continued | ||||||||
| New York City Transitional Finance Authority Future Tax Secured Revenue, | ||||||||
| Series A1, Rev., 4.00%, 11/01/2038 | 5,000 | 4,723 | ||||||
| Series E1, Rev., 3.00%, 02/01/2028 | 730 | 708 | ||||||
| Series E1, Rev., 5.00%, 02/01/2023 | 135 | 136 | ||||||
| Series F1, Rev., 5.00%, 02/01/2039 | 3,000 | 3,147 | ||||||
| New York City Transitional Finance Authority Future Tax Secured Revenue, Future Tax Secured, Rev., 4.00%, 11/01/2035 | 7,000 | 6,815 | ||||||
| New York City Transitional Finance Authority Future Tax Secured Revenue, Future Tax Secured Subordinate, Series B1, Rev., 5.00%, 08/01/2038 | 1,000 | 1,022 | ||||||
| New York City Transitional Finance Authority Future Tax Secured Revenue, Subordinate, | ||||||||
| Rev., 4.00%, 05/01/2038 | 2,000 | 1,892 | ||||||
| Rev., 5.00%, 11/01/2025 | 255 | 268 | ||||||
| Series A1, Rev., 5.00%, 08/01/2042 | 2,000 | 2,057 | ||||||
| Series B1, Rev., 4.00%, 08/01/2042 | 815 | 751 | ||||||
| Series DS, Rev., 4.00%, 11/01/2038 | 4,000 | 3,778 | ||||||
| New York City Transitional Finance Authority Future Tax Secured Revenue, Subordinate, Future Tax Secured, Rev., 3.75%, 11/01/2025 | 8,000 | 7,794 | ||||||
| New York City Transitional Finance Authority Future Tax Secured Revenue, Subordinated, | ||||||||
| Rev., 5.00%, 05/01/2031 | 1,000 | 1,097 | ||||||
| Rev., 5.25%, 08/01/2042 | 3,000 | 3,194 | ||||||
| Series A3, Rev., 4.00%, 05/01/2042 | 2,000 | 1,844 | ||||||
| Series A3, Rev., 5.00%, 08/01/2040 | 1,720 | 1,765 | ||||||
| New York City Transitional Finance Authority Future Tax Secured Revenue, Taxable Subordinate, Series F2, Rev., 2.85%, 05/01/2025 | 6,600 | 6,297 | ||||||
| New York City Transitional Finance Authority, Future Tax Secured, Rev., 5.00%, 11/01/2026 | 375 | 399 | ||||||
| New York City Transitional Finance Authority, Future Tax Secured Revenue, Series I, Rev., 5.00%, 05/01/2027 | 345 | 348 | ||||||
| New York City Trust for Cultural Resources, Refunding Lincoln Center, Series A, Rev., 5.00%, 12/01/2032 | 500 | 543 | ||||||
| New York City Water & Sewer System, | ||||||||
| Series AA2, Rev., 5.00%, 06/15/2029 | 1,350 | 1,488 | ||||||
| Series BB1, Rev., 5.00%, 06/15/2049 | 500 | 516 | ||||||
| Series BB2, Rev., 5.00%, 06/15/2027 | 1,500 | 1,582 | ||||||
| Series FF, Rev., 5.00%, 06/15/2041 | 2,000 | 2,093 | ||||||
| Series GG1, Rev., 5.00%, 06/15/2030 | 1,000 | 1,112 | ||||||
| Series GG, Rev., 5.00%, 06/15/2039 | 2,660 | 2,734 | ||||||
| New York City Water & Sewer System, Second General Resolution, | ||||||||
| Rev., 5.00%, 06/15/2026 | 880 | 935 | ||||||
| Rev., 5.00%, 06/15/2029 | 870 | 959 | ||||||
| Rev., 5.00%, 06/15/2047 | 14,655 | 14,722 | ||||||
| Series CC1, Rev., 5.00%, 06/15/2048 | 2,730 | 2,788 | ||||||
| Series CC1, Rev., 5.25%, 06/15/2037 | 2,345 | 2,466 | ||||||
| Series DD1, Rev., 5.00%, 06/15/2048 | 3,115 | 3,188 | ||||||
| Series DD2, Rev., 5.00%, 06/15/2040 | 2,000 | 2,077 | ||||||
| Series DD, Rev., 5.00%, 06/15/2047 | 6,680 | 6,744 | ||||||
| New York City Water & Sewer System, Various Second General Resolution, Series BB4, Rev., VRDO, 2.75%, 10/03/2022 (z) | 2,000 | 2,000 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| New York — continued | ||||||||
| New York City Water & Sewer System, Water And Sewer System Revenue Second General Resolution, Series BB2, Rev., 4.00%, 06/15/2042 | 1,180 | 1,090 | ||||||
| New York Liberty Development Corp., | ||||||||
| Series 1WTC, Rev., 3.00%, 02/15/2042 | 1,755 | 1,306 | ||||||
| Series 1WTC, Rev., 4.00%, 02/15/2043 | 1,000 | 895 | ||||||
| New York Liberty Development Corp., World Trade Center Project, Series 1, Rev., 5.00%, 11/15/2044 (e) | 9,400 | 8,404 | ||||||
| New York Power Authority, Green Transmission Project, | ||||||||
| Rev., AGM, 4.00%, 11/15/2036 | 145 | 138 | ||||||
| Rev., AGM, 5.00%, 11/15/2028 | 1,000 | 1,096 | ||||||
| Rev., AGM, 5.00%, 11/15/2033 | 1,700 | 1,856 | ||||||
| Rev., AGM, 5.00%, 11/15/2034 | 1,385 | 1,500 | ||||||
| Rev., AGM, 5.00%, 11/15/2035 | 1,250 | 1,346 | ||||||
| New York State Dormitory Authority, | ||||||||
| Series 2015-B, Rev., 5.00%, 03/15/2027 (p) | 1,000 | 1,051 | ||||||
| Series A, Rev., 4.00%, 03/15/2038 | 250 | 233 | ||||||
| Series A, Rev., 4.00%, 03/15/2039 | 1,000 | 930 | ||||||
| Series A, Rev., 5.00%, 03/15/2024 (p) | 100 | 103 | ||||||
| Series A, Rev., 5.00%, 03/15/2029 | 3,000 | 3,261 | ||||||
| Series A, Rev., 5.00%, 03/15/2034 | 2,000 | 2,083 | ||||||
| Series A, Rev., 5.00%, 03/15/2040 | 1,000 | 1,036 | ||||||
| Series D, Rev., 5.00%, 02/15/2027 | 770 | 819 | ||||||
| New York State Dormitory Authority, Bidding Group 1, Series E, Rev., 5.00%, 03/15/2029 | 3,000 | 3,261 | ||||||
| New York State Dormitory Authority, Cornell University, Series A, Rev., 5.00%, 07/01/2031 | 1,000 | 1,122 | ||||||
| New York State Dormitory Authority, Exchange Bonds, Series C, Rev., 5.00%, 07/01/2031 | 1,227 | 1,343 | ||||||
| New York State Dormitory Authority, General Purpose, Series D, Rev., 5.00%, 02/15/2026 | 100 | 105 | ||||||
| New York State Dormitory Authority, Green Bond, Cornell University, Rev., 5.00%, 07/01/2034 | 1,100 | 1,244 | ||||||
| New York State Dormitory Authority, Group 1, Series A, Rev., 5.00%, 03/15/2024 (p) | 2,000 | 2,054 | ||||||
| New York State Dormitory Authority, Group 2, | ||||||||
| Series A, Rev., 5.00%, 03/15/2031 | 1,000 | 1,096 | ||||||
| Series A, Rev., 5.00%, 03/15/2033 | 2,000 | 2,153 | ||||||
| Series A, Rev., 5.00%, 03/15/2036 | 2,015 | 2,116 | ||||||
| New York State Dormitory Authority, Group 3, Series A, Rev., 5.00%, 03/15/2037 | 5,000 | 5,227 | ||||||
| New York State Dormitory Authority, Montefiore Obligated Group, | ||||||||
| Series A, Rev., 5.00%, 08/01/2025 | 2,035 | 2,061 | ||||||
| Series A, Rev., 5.00%, 08/01/2026 | 900 | 911 | ||||||
| Series A, Rev., 5.00%, 08/01/2031 | 1,010 | 983 | ||||||
| New York State Dormitory Authority, Municipal Health Facilities, Rev., 4.00%, 01/15/2023 | 50 | 50 | ||||||
| New York State Dormitory Authority, New York University, | ||||||||
| Series A, Rev., 4.00%, 07/01/2035 | 620 | 605 | ||||||
| Series A, Rev., 4.00%, 07/01/2038 | 1,000 | 939 | ||||||
| New York State Dormitory Authority, Northwell Health Obligated Group, | ||||||||
| Rev., 4.00%, 05/01/2045 | 6,500 | 5,617 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| New York — continued | ||||||||
| Rev., 4.25%, 05/01/2052 | 4,930 | 4,298 | ||||||
| Rev., 5.00%, 05/01/2052 | 3,000 | 2,966 | ||||||
| New York State Dormitory Authority, School Districts Financing Program, Series A, Rev., AGM, 5.00%, 10/01/2025 | 1,460 | 1,528 | ||||||
| New York State Dormitory Authority, St. John’s University, Series A, Rev., 4.00%, 07/01/2048 | 1,000 | 832 | ||||||
| New York State Dormitory Authority, Yeshiva University, Series A, Rev., 5.00%, 07/15/2037 | 2,500 | 2,461 | ||||||
| New York State Environmental Facilities Corp., Green Bond 2010 Master Finance, | ||||||||
| Rev., 4.00%, 08/15/2036 | 720 | 702 | ||||||
| Rev., 4.00%, 08/15/2037 | 1,760 | 1,699 | ||||||
| Rev., 4.00%, 08/15/2038 | 1,000 | 946 | ||||||
| New York State Environmental Facilities Corp., Municipal Water, Subordinated, Rev., 5.00%, 06/15/2042 | 2,655 | 2,778 | ||||||
| New York State Environmental Facilities Corp., Solid Waste Disposal Revenue, Casella Waste System Incorporate Project, Rev., AMT, 2.75%, 09/01/2050 (e) (z) | 250 | 234 | ||||||
| New York State Housing Finance Agency, Sustainability Bonds, | ||||||||
| Series I, Rev., SONYMA, 0.70%, 11/01/2056 (z) | 2,375 | 2,145 | ||||||
| Series J, Rev., HUD, SONYMA, 1.10%, 11/01/2061 (z) | 4,170 | 3,628 | ||||||
| Series K2, Rev., HUD, SONYMA, 1.00%, 11/01/2061 (z) | 2,320 | 2,052 | ||||||
| Series K, Rev., SONYMA, 0.70%, 11/01/2024 | 1,085 | 1,022 | ||||||
| Series P, Rev., 1.55%, 11/01/2023 | 260 | 255 | ||||||
| New York State Thruway Authority, | ||||||||
| Series A1, Rev., 4.00%, 03/15/2041 | 500 | 463 | ||||||
| Series A1, Rev., 5.00%, 03/15/2033 | 1,000 | 1,089 | ||||||
| Series L, Rev., 5.00%, 01/01/2024 | 75 | 77 | ||||||
| New York State Thruway Authority, Group 2, Series N, Rev., 4.00%, 01/01/2041 | 3,120 | 2,878 | ||||||
| New York State Urban Development Corp., Bidding Group 1, Series A, Rev., 5.00%, 03/15/2034 | 1,690 | 1,842 | ||||||
| New York State Urban Development Corp., Personal Income Tax, | ||||||||
| Rev., 4.00%, 03/15/2037 | 2,000 | 1,883 | ||||||
| Rev., 4.00%, 03/15/2041 | 5,000 | 4,551 | ||||||
| Rev., 5.00%, 03/15/2030 | 500 | 549 | ||||||
| Series C3, Rev., 5.00%, 03/15/2038 | 1,860 | 1,931 | ||||||
| New York State Urban Development Corp., State Personal Income Tax, | ||||||||
| Rev., 4.00%, 03/15/2042 | 2,000 | 1,813 | ||||||
| Rev., 5.00%, 03/15/2028 | 1,250 | 1,347 | ||||||
| Rev., 5.00%, 03/15/2034 | 3,000 | 3,063 | ||||||
| Series A, Rev., 5.00%, 03/15/2024 | 1,000 | 1,026 | ||||||
| New York State Urban Development Corp., State Personal Income Tax, General Purpose, | ||||||||
| Series A, Rev., 5.00%, 03/15/2042 | 5,000 | 5,129 | ||||||
| Series B, Rev., 3.54%, 03/15/2028 | 7,000 | 6,536 | ||||||
| New York Transportation Development Corp., American Airlines, Inc., Rev., AMT, 2.25%, 08/01/2026 | 770 | 710 | ||||||
| New York Transportation Development Corp., Delta Air Lines, Inc. LaGuardia, Rev., AMT, 5.00%, 01/01/2032 | 3,000 | 2,940 | ||||||
| New York Transportation Development Corp., Delta Air Lines, Inc., LaGuardia, Rev., AMT, 5.00%, 10/01/2035 | 10,000 | 9,602 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| New York — continued | ||||||||
| New York Transportation Development Corp., LaGuardia Airport Terminal B, | ||||||||
| Rev., AMT, 5.00%, 07/01/2046 | 3,805 | 3,610 | ||||||
| Rev., AMT, 5.25%, 01/01/2050 | 2,000 | 1,939 | ||||||
| New York Transportation Development Corp., LaGuardia Airport Terminal B Redevelopment, | ||||||||
| Rev., AGM, AMT, 4.00%, 07/01/2035 | 2,000 | 1,840 | ||||||
| Rev., AMT, 5.00%, 07/01/2041 | 1,000 | 954 | ||||||
| New York Transportation Development Corp., New York State Thruway, Rev., AMT, 4.00%, 10/31/2034 | 600 | 531 | ||||||
| New York Transportation Development Corp., Terminal 4 JFK International, | ||||||||
| Rev., AMT, 5.00%, 12/01/2030 | 1,710 | 1,743 | ||||||
| Rev., AMT, 5.00%, 12/01/2032 | 2,005 | 2,023 | ||||||
| Rev., AMT, 5.00%, 12/01/2033 | 1,000 | 995 | ||||||
| Rev., AMT, 5.00%, 12/01/2037 | 3,500 | 3,398 | ||||||
| Rev., AMT, 5.00%, 12/01/2038 | 1,000 | 965 | ||||||
| New York Transportation Development Corp., Terminal 4 John F Kennedy International, | ||||||||
| Rev., AMT, 4.00%, 12/01/2038 | 300 | 252 | ||||||
| Rev., AMT, 4.00%, 12/01/2039 | 300 | 250 | ||||||
| Rev., AMT, 4.00%, 12/01/2040 | 1,475 | 1,214 | ||||||
| Rev., AMT, 4.00%, 12/01/2041 | 300 | 244 | ||||||
| Rev., AMT, 4.00%, 12/01/2042 | 300 | 241 | ||||||
| Rev., 5.00%, 12/01/2024 | 200 | 205 | ||||||
| Rev., 5.00%, 12/01/2025 | 200 | 206 | ||||||
| Rev., 5.00%, 12/01/2026 | 200 | 206 | ||||||
| Rev., 5.00%, 12/01/2027 | 200 | 207 | ||||||
| Rev., 5.00%, 12/01/2028 | 200 | 207 | ||||||
| Rev., 5.00%, 12/01/2037 | 250 | 251 | ||||||
| Rev., 5.00%, 12/01/2038 | 250 | 249 | ||||||
| Port Authority of New York & New Jersey, | ||||||||
| Series 207, Rev., AMT, 5.00%, 09/15/2031 | 5,000 | 5,184 | ||||||
| Series 223, Rev., AMT, 5.00%, 07/15/2023 | 1,220 | 1,233 | ||||||
| Series 226, Rev., AMT, 5.00%, 10/15/2031 | 4,500 | 4,733 | ||||||
| Series 226, Rev., AMT, 5.00%, 10/15/2032 | 1,250 | 1,306 | ||||||
| Series 226, Rev., AMT, 5.00%, 10/15/2036 | 2,040 | 2,083 | ||||||
| Port Authority of New York & New Jersey, Consolidated, | ||||||||
| Series 197, Rev., AMT, 5.00%, 11/15/2032 | 3,000 | 3,055 | ||||||
| Series 206, Rev., AMT, 5.00%, 11/15/2032 | 3,000 | 3,113 | ||||||
| Series 221, Rev., AMT, 5.00%, 07/15/2031 | 1,620 | 1,714 | ||||||
| Series 221, Rev., AMT, 5.00%, 07/15/2032 | 1,500 | 1,572 | ||||||
| Port Authority of New York & New Jersey, Consolidated Bond 233, Rev., 5.00%, 08/01/2038 | 670 | 709 | ||||||
| Port Authority of New York & New Jersey, Consolidated One Hundred Eighty, | ||||||||
| Rev., AMT, 5.00%, 09/01/2026 | 3,000 | 3,053 | ||||||
| Series 222, Rev., 4.00%, 07/15/2036 | 10,250 | 9,753 | ||||||
| Series 222, Rev., 5.00%, 07/15/2034 | 5,000 | 5,354 | ||||||
| State of New York Mortgage Agency, Social Bond, Series 239, Rev., SONYMA, 3.25%, 10/01/2051 | 295 | 277 | ||||||
| State of New York Mortgage Agency, Social Bonds, | ||||||||
| Series 233, Rev., 3.00%, 10/01/2045 | 2,495 | 2,368 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| New York — continued | ||||||||
| Series 235, Rev., AMT, 0.30%, 10/01/2022 | 200 | 200 | ||||||
| Series 235, Rev., AMT, 0.40%, 04/01/2023 | 215 | 212 | ||||||
| Series 235, Rev., AMT, 0.55%, 10/01/2023 | 190 | 184 | ||||||
| State of New York Mortgage Agency, Social Bonds 242, Rev., SONYMA, 3.50%, 10/01/2052 | 110 | 105 | ||||||
| Tender Option Bond Trust Receipts/Certificates, Series 2020-ZF0950, Rev., VRDO, LIQ: Toronto Dominion Bank, 2.49%, 10/07/2022 (e) (z) | 7,020 | 7,020 | ||||||
| Triborough Bridge & Tunnel Authority, | ||||||||
| Series A1, Rev., 5.00%, 05/15/2051 | 7,175 | 7,344 | ||||||
| Series A2, Rev., 2.00%, 05/15/2045 (z) | 4,250 | 3,787 | ||||||
| Series A, Rev., BAN, 5.00%, 08/15/2024 | 3,000 | 3,100 | ||||||
| Series A, Rev., BAN, 5.00%, 11/01/2025 | 3,165 | 3,314 | ||||||
| Series A, Rev., 5.00%, 11/15/2038 | 1,000 | 1,002 | ||||||
| Series A, Rev., 5.00%, 11/15/2041 | 1,975 | 2,015 | ||||||
| Series A, Rev., 5.00%, 11/15/2047 | 2,500 | 2,585 | ||||||
| Series A, Rev., 5.00%, 11/15/2049 | 3,040 | 3,140 | ||||||
| Triborough Bridge & Tunnel Authority, MTA Bridges & Tunnels, Rev., 5.00%, 05/15/2047 | 5,250 | 5,400 | ||||||
| Triborough Bridge & Tunnel Authority, Senior, Series C, Rev., 5.00%, 05/15/2040 | 5,000 | 5,230 | ||||||
| Triborough Bridge & Tunnel Authority, Senior Lien, | ||||||||
| Rev., 5.00%, 05/15/2050 (z) | 7,000 | 7,316 | ||||||
| Series C1-A, Rev., 5.00%, 05/15/2038 | 2,000 | 2,107 | ||||||
| Triborough Bridge & Tunnel Authority, Senior Lien MTA Bridges & Tunnels, | ||||||||
| Rev., 5.00%, 05/15/2035 | 2,000 | 2,150 | ||||||
| Rev., 5.00%, 05/15/2036 | 2,000 | 2,142 | ||||||
| Rev., 5.00%, 05/15/2038 | 4,240 | 4,469 | ||||||
| Triborough Bridge & Tunnel Authority, Subordinated, Series A, Rev., 5.00%, 11/15/2025 | 50 | 51 | ||||||
| Troy Capital Resource Corp., Rensselaer Polytechnic Institute, Rev., 4.00%, 09/01/2036 | 750 | 661 | ||||||
| TSASC, Inc., Series B, Rev., 5.00%, 06/01/2048 | 6,780 | 5,818 | ||||||
| Utility Debt Securitization Authority, Restructuring, Rev., 5.00%, 12/15/2025 | 15 | 15 | ||||||
| Utility Debt Securitization Authority, Restructuring Bonds, | ||||||||
| Series TE, Rev., 5.00%, 12/15/2029 | 1,500 | 1,626 | ||||||
| Series TE, Rev., 5.00%, 12/15/2030 | 2,335 | 2,545 | ||||||
| Series TE, Rev., 5.00%, 12/15/2032 | 800 | 885 | ||||||
| Westchester County Industrial Development Agency, Marble Hall Tuckahoe Limited, Rev., FHA, 0.28%, 04/01/2024 (z) | 270 | 265 | ||||||
| Westchester County Local Development Corp., Purchase Senior Learning, Rev., 2.88%, 07/01/2026 (e) | 500 | 459 | ||||||
| Western Regional Off-Track Betting Corp., Rev., 3.00%, 12/01/2026 (e) | 445 | 401 | ||||||
|
|
|
|||||||
| 636,206 | ||||||||
|
|
|
|||||||
| North Carolina — 1.1% | ||||||||
| Charlotte-Mecklenburg Hospital Authority (The), Atrium Health Obligation Group, Rev., 4.00%, 01/15/2043 | 160 | 142 | ||||||
| Charlotte-Mecklenburg Hospital Authority, Atrium Health, Series B, Rev., 1.95%, 01/15/2048 (z) | 2,285 | 2,004 | ||||||
| City of Charlotte Airport Revenue, Series B, Rev., AMT, 5.00%, 07/01/2023 | 1,750 | 1,769 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| North Carolina — continued | ||||||||
| City of Charlotte Airport Special Facilities Revenue, Charlotte Douglas International, | ||||||||
| Rev., 5.00%, 07/01/2049 | 5,000 | 5,124 | ||||||
| Rev., AMT, 5.00%, 07/01/2049 | 5,000 | 4,993 | ||||||
| City of Charlotte, 2003 Governmental Facilities Project, VRDO, COP, LIQ: Wells Fargo Bank NA, 2.45%, 10/07/2022 (z) | 2,600 | 2,600 | ||||||
| City of Charlotte, Airport Special Facilities Revenue, Series B, Rev., AMT, 5.00%, 07/01/2027 | 1,315 | 1,372 | ||||||
| City of Goldsboro, Grand At Day Point Project, Rev., HUD, GNMA COLL, 0.28%, 05/01/2024 (z) | 2,785 | 2,711 | ||||||
| County of Cumberland, Qualified School Construction Bonds, COP, 1.25%, 12/15/2025 | 4,000 | 3,574 | ||||||
| County of Wake, | ||||||||
| Rev., 5.00%, 03/01/2023 | 120 | 121 | ||||||
| Rev., 5.00%, 09/01/2026 | 1,000 | 1,064 | ||||||
| Durham Housing Authority, J.J. Henderson, Rev., HUD, 0.30%, 06/01/2024 (z) | 165 | 161 | ||||||
| North Carolina Capital Facilities Finance Agency, Republic Services Project, Rev., 2.75%, 07/01/2034 (z) | 2,000 | 1,999 | ||||||
| North Carolina Housing Finance Agency, | ||||||||
| Series 37A, Rev., AMT, 3.50%, 07/01/2039 | 55 | 54 | ||||||
| Series 44, Rev., 4.00%, 07/01/2050 | 360 | 355 | ||||||
| Series 45, Rev., GNMA/FNMA/FHLMC COLL, 1.90%, 01/01/2032 | 1,545 | 1,252 | ||||||
| North Carolina Housing Finance Agency, Home Ownership, Series 47, Rev., GNMA/FNMA/FHLMC COLL, 3.00%, 07/01/2051 | 995 | 939 | ||||||
| North Carolina Housing Finance Agency, Wind Crest Senior Living, Rev., 0.36%, 06/01/2024 (z) | 825 | 810 | ||||||
| North Carolina Medical Care Commission, CaroMont Health, | ||||||||
| Series A, Rev., 4.00%, 02/01/2036 | 500 | 469 | ||||||
| Series B, Rev., 5.00%, 02/01/2051 (z) | 790 | 822 | ||||||
| North Carolina Medical Care Commission, Lutheran Services for the Aging, Rev., 4.00%, 03/01/2041 | 1,050 | 814 | ||||||
| North Carolina Medical Care Commission, Presbyterian Homes Obligations, | ||||||||
| Series A, Rev., 4.00%, 10/01/2027 | 600 | 589 | ||||||
| Series A, Rev., 4.00%, 10/01/2040 | 1,200 | 1,016 | ||||||
| Series A, Rev., 4.00%, 10/01/2045 | 2,250 | 1,815 | ||||||
| North Carolina Medical Care Commission, Rex Healthcare, Series A, Rev., 5.00%, 07/01/2031 | 1,760 | 1,831 | ||||||
| North Carolina Medical Care Commission, The Forest at Duke Project, Rev., 4.00%, 09/01/2041 | 830 | 709 | ||||||
| North Carolina Turnpike Authority, Rev., BAN, 5.00%, 02/01/2024 | 4,130 | 4,210 | ||||||
| North Carolina Turnpike Authority, Senior Lien, Rev., AGM, 5.00%, 01/01/2038 | 2,375 | 2,463 | ||||||
| North Carolina Turnpike Authority, Triangle Expressway System, Senior Lien, Rev., AGM, 5.00%, 01/01/2049 | 1,000 | 1,026 | ||||||
| Raleigh Durham Airport Authority, | ||||||||
| Series A, Rev., AMT, 5.00%, 05/01/2032 | 1,200 | 1,243 | ||||||
| State of North Carolina, Build Nc Programs, Series B, Rev., 5.00%, 05/01/2027 | 2,750 | 2,954 | ||||||
| State of North Carolina, Grant Anticipation Revenue, Rev., 5.00%, 03/01/2029 | 1,000 | 1,091 | ||||||
| University of North Carolina at Chapel Hill, University of North Carolina at Chapel Hill, Rev., (United States SOFR * 0.67 + 0.65%), 2.63%, 12/01/2041 (aa) | 1,250 | 1,240 | ||||||
| Western Carolina University, Series B, Rev., 5.00%, 04/01/2031 | 2,120 | 2,278 | ||||||
|
|
|
|||||||
| 55,614 | ||||||||
|
|
|
|||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| North Dakota — 0.3% | ||||||||
| Cass County Joint Water Resource District, Series A, GO, 0.48%, 05/01/2024 | 3,635 | 3,394 | ||||||
| City of Grand Forks, Altru Health System, | ||||||||
| Rev., 5.00%, 12/01/2027 | 595 | 618 | ||||||
| Rev., 5.00%, 12/01/2031 | 1,900 | 1,985 | ||||||
| City of West Fargo, Series A, GO, 2.00%, 05/01/2023 | 525 | 519 | ||||||
| County of Ward, Trinity Obligation Group, Series C, Rev., 5.00%, 06/01/2043 | 2,500 | 2,172 | ||||||
| North Dakota Housing Finance Agency, | ||||||||
| Series B, Rev., 3.00%, 07/01/2051 | 2,145 | 2,042 | ||||||
| Series C, Rev., 4.00%, 01/01/2050 | 825 | 810 | ||||||
| North Dakota Housing Finance Agency, Home Mortgage Financing Program, Series A, Rev., 3.00%, 01/01/2052 | 50 | 47 | ||||||
| North Dakota Housing Finance Agency, Housing Finance Program, Home Mortgage Finance, Series D, Rev., 4.25%, 01/01/2049 | 2,710 | 2,694 | ||||||
| North Dakota Housing Finance Agency, Social Bonds, Series B, Rev., 3.00%, 07/01/2052 | 1,070 | 1,000 | ||||||
| University of North Dakota, Series A, COP, AGM, 4.00%, 06/01/2046 | 1,480 | 1,275 | ||||||
| West Fargo Public School District No. 6, Series C, GO, 4.00%, 08/01/2026 | 300 | 307 | ||||||
|
|
|
|||||||
| 16,863 | ||||||||
|
|
|
|||||||
| Ohio — 2.4% | ||||||||
| Akron Bath Copley Joint Township Hospital District, Rev., 5.25%, 11/15/2046 | 5,775 | 5,640 | ||||||
| Akron Bath Copley Joint Township Hospital District, Children’s Hospital Medical, Rev., 4.00%, 11/15/2042 | 1,265 | 1,114 | ||||||
| Akron Bath Copley Joint Township Hospital District, Summa Health Obligations, | ||||||||
| Rev., 4.00%, 11/15/2034 | 500 | 438 | ||||||
| Rev., 4.00%, 11/15/2035 | 1,000 | 864 | ||||||
| Rev., 4.00%, 11/15/2038 | 750 | 630 | ||||||
| American Municipal Power, Inc., Fremont Energy Center Project, | ||||||||
| Rev., 4.00%, 02/15/2036 | 1,750 | 1,637 | ||||||
| Rev., 5.00%, 02/15/2026 | 600 | 631 | ||||||
| Buckeye Tobacco Settlement Financing Authority, Series B2, Rev., 5.00%, 06/01/2055 | 11,815 | 9,925 | ||||||
| Buckeye Tobacco Settlement Financing Authority, Senior, Series A2, Rev., 4.00%, 06/01/2048 | 2,210 | 1,801 | ||||||
| City of Cincinnati, Mercer Commons Phase 2 Project, Rev., 5.00%, 11/01/2035 | 1,085 | 1,124 | ||||||
| Cleveland Department of Public Utilities, Division of Water, Series FF, Rev., 5.00%, 01/01/2026 | 300 | 316 | ||||||
| Columbus-Franklin County Finance Authority, Bridge Park D Block Project, Series A, Rev., 5.00%, 12/01/2051 | 1,000 | 930 | ||||||
| County of Allen, Hospital Facilities Revenue, Series A, Rev., 5.00%, 08/01/2027 | 50 | 53 | ||||||
| County of Butler, UC Health, Rev., 5.00%, 11/15/2030 | 1,300 | 1,333 | ||||||
| County of Cuyahoga, Series D, Rev., 5.00%, 12/01/2026 | 3,500 | 3,730 | ||||||
| County of Geauga, South Franklin Circle Project, Series A, Rev., 8.00%, 12/31/2047 (p) (z) | 5,965 | 6,151 | ||||||
| County of Hamilton, Trihealth, Inc. Obligated Group, Rev., 5.00%, 08/15/2040 | 1,510 | 1,507 | ||||||
| County of Montgomery, Dayton Children’s Hospital, | ||||||||
| Rev., 5.00%, 08/01/2027 | 725 | 769 | ||||||
| Rev., 5.00%, 08/01/2029 | 145 | 157 | ||||||
| Rev., 5.00%, 08/01/2033 | 230 | 245 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Ohio — continued | ||||||||
| County of Montgomery, Kettering Health Network Obligations, | ||||||||
| Rev., 4.00%, 08/01/2037 | 525 | 480 | ||||||
| Rev., 4.00%, 08/01/2041 | 1,200 | 1,063 | ||||||
| Dayton Metropolitan Housing Authority, Southern Montgomery Apartments, Rev., HUD, 0.32%, 09/01/2024 (z) | 1,505 | 1,455 | ||||||
| Hamilton City School District, Various Purpose, GO, 5.00%, 12/01/2034 (p) | 1,500 | 1,557 | ||||||
| Lancaster Port Authority, Series A, Rev., LIQ: Royal Bank of Canada, 5.00%, 08/01/2049 (z) | 5,000 | 5,102 | ||||||
| Miami University, | ||||||||
| Series A, Rev., 5.00%, 09/01/2028 | 515 | 557 | ||||||
| Series A, Rev., 5.00%, 09/01/2030 | 1,005 | 1,102 | ||||||
| Northeast Ohio Medical University, | ||||||||
| Rev., BAM, 5.00%, 12/01/2043 | 1,475 | 1,478 | ||||||
| Series A, Rev., 4.00%, 12/01/2035 | 250 | 230 | ||||||
| Ohio Air Quality Development Authority, American Electric Power Company, Series A, Rev., AMT, 2.10%, 01/01/2029 (z) | 1,250 | 1,191 | ||||||
| Ohio Air Quality Development Authority, Dayton Power & Light, Rev., AMT, 4.25%, 11/01/2040 (z) | 7,000 | 6,801 | ||||||
| Ohio Air Quality Development Authority, Duke Energy, Rev., AMT, 4.25%, 11/01/2039 (z) | 7,205 | 7,079 | ||||||
| Ohio Air Quality Development Authority, Ohio Valley Electric Corp., Rev., AMT, 2.50%, 11/01/2042 (z) | 1,000 | 869 | ||||||
| Ohio Air Quality Development Authority, Ohio Valley Electric Corp. Project, | ||||||||
| Rev., 1.38%, 02/01/2026 (z) | 1,875 | 1,748 | ||||||
| Rev., 1.50%, 02/01/2026 (z) | 120 | 109 | ||||||
| Ohio Higher Educational Facility Commission, Case Western Reserve, Rev., (SIFMA Municipal Swap Index + 0.23%), 2.69%, 12/01/2042 (aa) | 155 | 152 | ||||||
| Ohio Higher Educational Facility Commission, Otterbein Homes Obligated, Rev., 4.00%, 07/01/2023 | 75 | 75 | ||||||
| Ohio Higher Educational Facility Commission, Senior University Circle, Inc. Project, Rev., 5.00%, 01/15/2037 | 265 | 264 | ||||||
| Ohio Higher Educational Facility Commission, University of Dayton, Rev., 5.00%, 02/01/2034 | 1,125 | 1,186 | ||||||
| Ohio Housing Finance Agency, Series A, Rev., GNMA/FNMA/FHLMC, 4.50%, 09/01/2048 | 1,030 | 1,029 | ||||||
| Ohio Housing Finance Agency, Chevybrook Estates Apartments Project, Rev., 0.35%, 03/01/2024 (z) | 35 | 35 | ||||||
| Ohio Housing Finance Agency, Franklin Manor North Project, Rev., HUD, 0.25%, 09/01/2024 (z) | 160 | 153 | ||||||
| Ohio Housing Finance Agency, Glen Meadows Apartments, Rev., HUD, 0.40%, 11/01/2024 (z) | 620 | 596 | ||||||
| Ohio Housing Finance Agency, Marianna Terrace Apartments, Rev., HUD, 1.30%, 03/01/2025 (z) | 330 | 318 | ||||||
| Ohio Housing Finance Agency, Pendleton Apartments Project, Rev., HUD, 0.26%, 03/01/2025 (z) | 150 | 148 | ||||||
| Ohio Housing Finance Agency, Post Oak Station, Rev., HUD, 3.35%, 07/01/2025 (z) | 295 | 289 | ||||||
| Ohio State University (The), Green Bonds Multiyear Debt Issue, Rev., 5.00%, 12/01/2022 | 2,000 | 2,006 | ||||||
| Ohio Turnpike & Infrastructure Commission, Infrastructure Projects, Series A, Rev., 4.00%, 02/15/2038 | 1,500 | 1,392 | ||||||
| Ohio Turnpike & Infrastructure Commission, Junior Lien Infrastructure, | ||||||||
| Rev., 5.00%, 02/15/2028 (w) | 500 | 535 | ||||||
| Rev., 5.00%, 02/15/2029 (w) | 1,445 | 1,564 | ||||||
| Rev., 5.00%, 02/15/2032 (w) | 270 | 297 | ||||||
| Rev., 5.00%, 02/15/2033 (w) | 365 | 403 | ||||||
| Rev., 5.00%, 02/15/2039 (w) | 3,000 | 3,217 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Ohio — continued | ||||||||
| Ohio Turnpike & Infrastructure Commission, Junior Lien, Infrastructure Project, | ||||||||
| Rev., 5.00%, 02/15/2025 | 455 | 458 | ||||||
| Rev., 5.25%, 02/15/2029 | 1,500 | 1,510 | ||||||
| Ohio Water Development Authority, | ||||||||
| Series A, Rev., 5.00%, 06/01/2029 | 500 | 549 | ||||||
| Series A, Rev., 5.00%, 12/01/2035 | 1,000 | 1,083 | ||||||
| Ohio Water Development Authority Water Pollution Control Loan Fund, Green Bond, Series A, Rev., 5.00%, 12/01/2034 | 160 | 175 | ||||||
| Ohio Water Development Authority, Fresh Water, Series A, Rev., 5.00%, 06/01/2023 | 155 | 157 | ||||||
| Ohio Water Development Authority, Water Pollution Control Loan Fund, Series A, Rev., VRDO, 2.30%, 10/07/2022 (z) | 3,500 | 3,500 | ||||||
| State of Ohio, | ||||||||
| Series A, GO, 5.00%, 09/01/2024 | 130 | 134 | ||||||
| Series A, GO, 5.00%, 02/01/2038 (p) | 3,000 | 3,170 | ||||||
| Series X, GO, 5.00%, 05/01/2035 | 300 | 330 | ||||||
| State of Ohio, Cleveland Clinic Health System, | ||||||||
| Rev., 5.00%, 01/01/2023 | 80 | 80 | ||||||
| Rev., 5.00%, 01/01/2033 | 2,410 | 2,637 | ||||||
| Rev., 5.00%, 01/01/2034 | 2,425 | 2,622 | ||||||
| Rev., 5.00%, 01/01/2039 | 570 | 605 | ||||||
| Series A, Rev., 5.00%, 01/01/2027 | 940 | 995 | ||||||
| State of Ohio, Common Schools, Series C, GO, 5.00%, 03/15/2030 | 125 | 140 | ||||||
| State of Ohio, Garvee, | ||||||||
| Series 1A, Rev., 5.00%, 12/15/2025 | 800 | 842 | ||||||
| Series 1A, Rev., 5.00%, 12/15/2028 | 1,000 | 1,095 | ||||||
| State of Ohio, Higher Education, | ||||||||
| Series A, GO, 5.00%, 05/01/2032 | 10,000 | 10,594 | ||||||
| Series C, GO, 5.00%, 08/01/2028 (p) | 350 | 381 | ||||||
| State of Ohio, Infrastructure Improvement, GO, 5.00%, 03/01/2034 | 1,000 | 1,107 | ||||||
| State of Ohio, Natural Resources, Series S, GO, 5.00%, 04/01/2024 (p) | 180 | 182 | ||||||
| State of Ohio, Premier Health Partners, | ||||||||
| Rev., 4.00%, 11/15/2039 | 1,320 | 1,129 | ||||||
| Rev., 4.00%, 11/15/2041 | 1,450 | 1,217 | ||||||
| Rev., 5.00%, 11/15/2028 | 680 | 708 | ||||||
| State of Ohio, University Hospitals Health, Rev., 4.00%, 01/15/2037 | 1,000 | 937 | ||||||
| State of Ohio, University Hospitals Health System, Series A, Rev., 5.00%, 01/15/2041 | 1,000 | 1,000 | ||||||
|
|
|
|||||||
| 120,812 | ||||||||
|
|
|
|||||||
| Oklahoma — 0.4% | ||||||||
| Oklahoma City Economic Development Trust, Increment District #8 Project, | ||||||||
| Rev., 4.00%, 03/01/2032 | 1,640 | 1,664 | ||||||
| Rev., 4.00%, 03/01/2033 | 5,000 | 5,049 | ||||||
| Rev., 4.00%, 03/01/2034 | 4,440 | 4,461 | ||||||
| Oklahoma Development Finance Authority, Gilcrease Expressway West, Rev., AMT, 1.63%, 07/06/2023 | 1,100 | 1,071 | ||||||
| Oklahoma Development Finance Authority, Integris, Series A, Rev., 4.00%, 08/15/2038 | 2,000 | 1,801 | ||||||
| Oklahoma Development Finance Authority, OU Health Project, Series A, Rev., 5.50%, 08/15/2037 | 1,110 | 986 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Oklahoma — continued | ||||||||
| Oklahoma Development Finance Authority, OU Medicine Project, Series B, Rev., 5.50%, 08/15/2057 | 6,000 | 5,089 | ||||||
| Tulsa County Independent School District No. 1 Tulsa, Series B, GO, 2.00%, 09/01/2026 | 1,500 | 1,390 | ||||||
|
|
|
|||||||
| 21,511 | ||||||||
|
|
|
|||||||
| Oregon — 0.7% | ||||||||
| City of Portland Water System Revenue, Second Lien, | ||||||||
| Series A, Rev., 4.00%, 05/01/2039 | 500 | 470 | ||||||
| Series A, Rev., 5.00%, 05/01/2033 | 1,825 | 1,983 | ||||||
| Hospital Facilities Authority of Multnomah County Oregon, Green Bond Terwilliger, Rev., 0.95%, 06/01/2027 | 1,200 | 1,031 | ||||||
| Jackson County School District No. 5 Ashland, GO, SCH BD GTY, 5.00%, 06/15/2030 | 1,000 | 1,088 | ||||||
| Medford Hospital Facilities Authority, Asante Project, Series A, Rev., AGM, 4.00%, 08/15/2045 | 1,330 | 1,167 | ||||||
| Multnomah County School District No. 1 Portland, GO, SCH BD GTY, 5.00%, 06/15/2028 | 1,850 | 2,015 | ||||||
| Oregon Health & Science University, Series B1, Rev., 5.00%, 07/01/2046 (z) | 1,500 | 1,579 | ||||||
| Oregon State Business Development Commission, Intel Corp. Project, Series 232, Rev., 2.40%, 12/01/2040 (z) | 200 | 198 | ||||||
| Oregon State Facilities Authority, Providence Health and Services, Series A, Rev., 5.00%, 10/01/2022 | 80 | 80 | ||||||
| Oregon State Facilities Authority, Samaritan Health Services Project, Rev., 5.00%, 10/01/2031 | 1,740 | 1,771 | ||||||
| Port of Portland Airport Revenue, | ||||||||
| Series 27A, Rev., AMT, 5.00%, 07/01/2028 | 1,595 | 1,662 | ||||||
| Series 27A, Rev., AMT, 5.00%, 07/01/2036 | 1,000 | 1,018 | ||||||
| Port of Portland Airport Revenue, Portland International Airport, Series 25B, Rev., AMT, 5.00%, 07/01/2039 | 1,020 | 1,028 | ||||||
| Salem Hospital Facility Authority, Capital Manor Project, | ||||||||
| Rev., 4.00%, 05/15/2032 | 185 | 166 | ||||||
| Rev., 4.00%, 05/15/2040 | 750 | 612 | ||||||
| Salem Hospital Facility Authority, Multi Model, Salem Health Projects, Series A, Rev., 5.00%, 05/15/2023 | 100 | 101 | ||||||
| State of Oregon, Series N, GO, 5.00%, 12/01/2023 | 1,890 | 1,892 | ||||||
| State of Oregon Department of Transportation, Subordinate, Series A, Rev., 5.00%, 11/15/2036 | 9,095 | 9,745 | ||||||
| State of Oregon Housing & Community Services Department, Single Family Mortgage Program, Series A, Rev., 3.00%, 07/01/2052 | 645 | 610 | ||||||
| State of Oregon Housing & Community Services Department, The Susan Emmons Apartment, Rev., HUD, 0.38%, 06/01/2024 (z) | 945 | 906 | ||||||
| State of Oregon Housing & Community Services Department, Westwind Apartments Project, Rev., HUD, 0.25%, 03/01/2024 (z) | 30 | 29 | ||||||
| State of Oregon, Article XI Q, Series F, GO, 5.00%, 05/01/2030 | 100 | 105 | ||||||
| State of Oregon, Article Xi-M & Xi-N Seismic, GO, 5.00%, 06/01/2030 | 1,995 | 2,220 | ||||||
| State of Oregon, Article XI-Q State Project, Series A, GO, 5.00%, 05/01/2027 | 1,220 | 1,310 | ||||||
| State of Oregon, Veterans Welfare Bonds Series, GO, 3.00%, 12/01/2051 | 1,440 | 1,342 | ||||||
| University of Oregon, Series A, Rev., 5.00%, 04/01/2048 | 1,000 | 1,030 | ||||||
| Yamhill County Hospital Authority, Friendsview, Series B3, Rev., 1.75%, 11/15/2026 | 1,360 | 1,243 | ||||||
|
|
|
|||||||
| 36,401 | ||||||||
|
|
|
|||||||
| Pennsylvania — 5.5% | ||||||||
| Allegheny County Airport Authority, Series A, Rev., AGM, AMT, 4.00%, 01/01/2046 | 11,800 | 10,110 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Pennsylvania — continued | ||||||||
| Allegheny County Hospital Development Authority, Health Network Obligations, | ||||||||
| Rev., 5.00%, 04/01/2033 | 1,000 | 1,025 | ||||||
| Series A, Rev., 5.00%, 04/01/2047 | 3,000 | 2,931 | ||||||
| Allegheny County Hospital Development Authority, University Pittsburgh Medical Center, Rev., 4.00%, 07/15/2038 | 1,375 | 1,253 | ||||||
| Allegheny County, Hospital Development Authority, Health Network Obligations, Series A, Rev., 5.00%, 04/01/2023 | 1,000 | 1,008 | ||||||
| Allegheny County, Hospital Development Authority, Pittsburg University Medical Center, | ||||||||
| Series A, Rev., 4.00%, 07/15/2036 | 2,200 | 2,028 | ||||||
| Series A, Rev., 5.00%, 07/15/2027 | 765 | 804 | ||||||
| Allegheny County, Sanitary Authority, | ||||||||
| Series B, Rev., 4.00%, 06/01/2035 | 400 | 377 | ||||||
| Series B, Rev., 4.00%, 06/01/2036 | 675 | 626 | ||||||
| Series B, Rev., 5.00%, 06/01/2030 | 500 | 549 | ||||||
| Series B, Rev., 5.00%, 06/01/2032 | 550 | 602 | ||||||
| Series B, Rev., 5.00%, 06/01/2033 | 600 | 654 | ||||||
| Allentown Neighborhood Improvement Zone Development Authority, Forward Delivery, Rev., 5.00%, 05/01/2042 | 1,000 | 1,000 | ||||||
| Allentown Neighborhood Improvement Zone Development Authority, Senior Tax Revenue, Rev., 6.00%, 05/01/2042 (e) | 180 | 176 | ||||||
| Altoona Area School District, GO, BAM, 5.00%, 12/01/2048 (p) | 1,000 | 1,053 | ||||||
| Bentworth School District, Series A, GO, BAM, 4.00%, 03/15/2025 | 1,380 | 1,400 | ||||||
| Berks County Industrial Development Authority, Tower Health Project, | ||||||||
| Rev., 4.00%, 11/01/2050 | 1,500 | 873 | ||||||
| Rev., 5.00%, 11/01/2047 | 2,155 | 1,476 | ||||||
| Bethlehem Area School District Authority, Bethlehem Area School District, | ||||||||
| Rev., (United States SOFR * 0.67 + 0.35%), 2.35%, 01/01/2030 (aa) | 230 | 221 | ||||||
| Rev., (United States SOFR * 0.67 + 0.35%), 2.35%, 07/01/2031 (aa) | 305 | 292 | ||||||
| Rev., (United States SOFR * 0.67 + 0.35%), 2.35%, 01/01/2032 (aa) | 240 | 230 | ||||||
| Bucks County, Industrial Development Authority, Waste Management, Inc. Project, Rev., AMT, 2.75%, 12/01/2022 | 100 | 100 | ||||||
| Capital Region Water, Water Revenue, Rev., 5.00%, 07/15/2032 | 1,000 | 1,079 | ||||||
| Chester County Health and Education Facilities Authority, Main Line Health System, Series B, Rev., 5.00%, 06/01/2024 | 1,000 | 1,027 | ||||||
| City of Philadelphia, | ||||||||
| GO, AGM, 5.00%, 08/01/2031 | 1,795 | 1,898 | ||||||
| Series A, GO, 5.00%, 08/01/2030 | 4,000 | 4,164 | ||||||
| City of Philadelphia Airport Revenue, | ||||||||
| Series A, Rev., 5.00%, 07/01/2047 | 5,000 | 5,011 | ||||||
| Series C, Rev., AMT, 4.00%, 07/01/2050 | 1,500 | 1,257 | ||||||
| Series C, Rev., AMT, 5.00%, 07/01/2028 | 10,000 | 10,418 | ||||||
| City of Philadelphia Airport Revenue, Private Activity, Rev., AGM, AMT, 4.00%, 07/01/2041 | 1,100 | 974 | ||||||
| City of Philadelphia Water & Wastewater Revenue, Series C, Rev., 5.00%, 06/01/2042 | 1,000 | 1,048 | ||||||
| City of Philadelphia, Airport Revenue, Series B, Rev., AMT, 5.00%, 07/01/2035 | 2,235 | 2,244 | ||||||
| City of Philadelphia, Airport Revenue, Private Activity, Rev., AGM, AMT, 4.00%, 07/01/2046 | 3,750 | 3,207 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Pennsylvania — continued | ||||||||
| City of Philadelphia, Water & Wastewater Revenue, Series A, Rev., 5.00%, 11/01/2040 | 2,790 | 2,928 | ||||||
| City of Pittsburgh, GO, 5.00%, 09/01/2030 | 500 | 539 | ||||||
| Commonwealth of Pennsylvania, | ||||||||
| Series 1, GO, 4.00%, 03/15/2034 | 5,000 | 5,001 | ||||||
| Series 1, GO, 4.00%, 03/01/2035 | 3,650 | 3,616 | ||||||
| Series 1, GO, 4.00%, 03/15/2035 | 2,000 | 1,980 | ||||||
| County of Allegheny, Series C75, GO, 5.00%, 11/01/2028 | 2,305 | 2,448 | ||||||
| County of Berks, GO, 4.00%, 11/15/2027 (p) | 225 | 227 | ||||||
| County of Lehigh, St. Luke’s Hospital Project, Rev., (SIFMA Municipal Swap Index + 1.10%), 3.56%, 08/15/2038 (aa) | 355 | 350 | ||||||
| Cumberland County Municipal Authority, Rev., 5.00%, 05/01/2030 | 1,000 | 1,043 | ||||||
| Cumberland Valley School District, | ||||||||
| GO, 5.00%, 11/15/2032 (p) | 150 | 153 | ||||||
| GO, 5.00%, 11/15/2034 (p) | 140 | 143 | ||||||
| Delaware River Port Authority, | ||||||||
| Rev., 5.00%, 01/01/2037 | 3,000 | 3,023 | ||||||
| Rev., 5.00%, 01/01/2040 | 10,000 | 10,040 | ||||||
| Delaware Valley Regional Finance Authority, | ||||||||
| Series A, Rev., AMBAC, 5.50%, 08/01/2028 | 5,000 | 5,497 | ||||||
| Series C, Rev., (ICE LIBOR USD 3 Month * 0.67 + 0.75%), 2.82%, 06/01/2037 (aa) | 250 | 219 | ||||||
| DuBois Hospital Authority, Penn Highlands Healthcare, Rev., 4.00%, 07/15/2045 | 1,400 | 1,185 | ||||||
| Geisinger Authority, Geisinger Health System, | ||||||||
| Rev., (ICE LIBOR USD 1 Month * 0.67 + 1.07%), 3.17%, 06/01/2028 (aa) | 500 | 497 | ||||||
| Series C, Rev., 5.00%, 04/01/2043 (z) | 1,630 | 1,720 | ||||||
| Geisinger Authority, Geisinger Health System Obligation Group, Rev., 4.00%, 04/01/2039 | 1,000 | 907 | ||||||
| Lancaster County Hospital Authority, Penn State Health, Rev., 5.00%, 11/01/2037 | 600 | 610 | ||||||
| Lancaster Industrial Development Authority, Landis Homes Retirement Community, Rev., 4.00%, 07/01/2056 | 765 | 557 | ||||||
| Lehigh County General Purpose Authority, Good Shepherd Group, Series A, Rev., 4.00%, 11/01/2022 | 315 | 315 | ||||||
| Lehigh County Industrial Development Authority, PPL Electric Utilities Project, Series A, Rev., 3.00%, 09/01/2029 | 3,455 | 3,223 | ||||||
| Monroeville Finance Authority, | ||||||||
| Series B, Rev., 5.00%, 02/15/2029 | 1,425 | 1,490 | ||||||
| Series B, Rev., 5.00%, 02/15/2038 | 1,200 | 1,227 | ||||||
| Series B, Rev., 5.00%, 02/15/2039 | 2,000 | 2,032 | ||||||
| Montgomery County Higher Education and Health Authority, Thomas Jefferson University, | ||||||||
| Rev., VRDO, 2.82%, 10/07/2022 (z) | 19,050 | 19,050 | ||||||
| Rev., 4.00%, 05/01/2038 | 250 | 224 | ||||||
| Montgomery County Higher Education and Health Authority, Thomas Jefferson University Project, Rev., 4.00%, 09/01/2044 | 1,610 | 1,392 | ||||||
| Montgomery County Industrial Development Authority, Retirement Life Communities, | ||||||||
| Rev., 5.00%, 11/15/2033 | 1,500 | 1,520 | ||||||
| Series C, Rev., 5.00%, 11/15/2045 | 2,585 | 2,571 | ||||||
| New Castle Sanitation Authority, Series A, Rev., AGM, 3.00%, 06/01/2029 | 500 | 476 | ||||||
| Norristown Area School District, GO, 5.00%, 09/01/2026 | 1,500 | 1,578 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Pennsylvania — continued | ||||||||
| Pennsylvania Economic Development Financing Authority, Bridges Finco Project, Rev., AMT, 5.00%, 06/30/2023 | 495 | 499 | ||||||
| Pennsylvania Economic Development Financing Authority, Pennsylvania Bridges Finco LP P3 Project, | ||||||||
| Rev., AMT, 5.00%, 12/31/2030 | 3,460 | 3,486 | ||||||
| Rev., AMT, 5.00%, 12/31/2034 | 1,000 | 996 | ||||||
| Rev., AMT, 5.00%, 06/30/2042 | 1,250 | 1,202 | ||||||
| Pennsylvania Economic Development Financing Authority, Philadelphia Biosolids Facility, | ||||||||
| Rev., 4.00%, 01/01/2028 | 1,590 | 1,555 | ||||||
| Rev., 4.00%, 01/01/2029 | 450 | 438 | ||||||
| Rev., 4.00%, 01/01/2031 | 800 | 767 | ||||||
| Pennsylvania Economic Development Financing Authority, PPL Energy Supply LLC, Series B, Rev., VRDO, LOC: MUFG Bank Ltd., 3.35%, 10/07/2022 (z) | 7,000 | 7,000 | ||||||
| Pennsylvania Economic Development Financing Authority, Republic Services, Inc. Project, Rev., VRDO, AMT, 2.60%, 10/03/2022 (z) | 15,250 | 15,250 | ||||||
| Pennsylvania Economic Development Financing Authority, University of Pittsburgh Medical Center, Rev., 5.00%, 07/01/2038 | 5,500 | 5,490 | ||||||
| Pennsylvania Economic Development Financing Authority, UPMC, Series A1, Rev., 4.00%, 04/15/2045 | 5,440 | 4,682 | ||||||
| Pennsylvania Economic Development Financing Authority, Waste Management Project, Rev., 0.95%, 12/01/2033 (z) | 2,000 | 1,719 | ||||||
| Pennsylvania Economic Development Financing Authority, Waste Management, Inc., Rev., AMT, 1.10%, 06/01/2031 (z) | 2,000 | 1,762 | ||||||
| Pennsylvania Economic Development Financing Authority, Waste Management, Inc. Project, | ||||||||
| Rev., AMT, 1.75%, 08/01/2038 (z) | 5,000 | 4,805 | ||||||
| Rev., AMT, (SIFMA Municipal Swap Index + 0.40%), 2.86%, 06/01/2041 (aa) | 805 | 785 | ||||||
| Series A, Rev., AMT, 0.58%, 08/01/2037 (z) | 2,610 | 2,437 | ||||||
| Pennsylvania Higher Education Assistance Agency, Series A, Rev., AMT, 5.00%, 06/01/2026 | 95 | 98 | ||||||
| Pennsylvania Higher Education Assistance Agency, Senior, Series A, Rev., AMT, 5.00%, 06/01/2028 | 3,775 | 3,893 | ||||||
| Pennsylvania Higher Educational Facilities Authority, University of Pennsylvania Health System, Rev., 5.00%, 08/15/2042 | 1,250 | 1,278 | ||||||
| Pennsylvania Higher Educational Facilities Authority, University Pennsylvania Health System, Series A, Rev., 4.00%, 08/15/2035 | 1,170 | 1,104 | ||||||
| Pennsylvania Housing Finance Agency, Series 133, Rev., 3.00%, 10/01/2050 | 3,345 | 3,195 | ||||||
| Pennsylvania Housing Finance Agency, Harrison Senior Tower, Rev., 0.25%, 06/01/2024 (z) | 185 | 180 | ||||||
| Pennsylvania Housing Finance Agency, School of Nursing, Rev., HUD, 0.27%, 08/01/2024 (z) | 3,200 | 3,102 | ||||||
| Pennsylvania Housing Finance Agency, Social Bonds, Series 134B, Rev., AMT, 5.00%, 10/01/2022 | 1,000 | 1,000 | ||||||
| Pennsylvania Turnpike Commission, | ||||||||
| Series A1, Rev., 5.00%, 12/01/2027 | 1,000 | 1,075 | ||||||
| Series A1, Rev., 5.00%, 12/01/2031 | 250 | 266 | ||||||
| Series A1, Rev., 5.00%, 12/01/2034 | 1,000 | 1,049 | ||||||
| Series A1, Rev., 5.00%, 12/01/2046 | 1,000 | 1,011 | ||||||
| Series A2, Rev., 5.00%, 12/01/2024 | 100 | 103 | ||||||
| Series A, Rev., AGM, 5.25%, 07/15/2028 | 300 | 330 | ||||||
| Series A, Rev., 5.25%, 12/01/2044 | 2,500 | 2,656 | ||||||
| Series B, Rev., 4.00%, 12/01/2039 | 3,000 | 2,770 | ||||||
| Series B, Rev., 5.00%, 12/01/2026 | 400 | 425 | ||||||
| Series B, Rev., 5.00%, 12/01/2027 | 900 | 967 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Pennsylvania — continued | ||||||||
| Series B, Rev., 5.00%, 12/01/2028 | 700 | 761 | ||||||
| Series C, Rev., 4.00%, 12/01/2040 | 1,400 | 1,301 | ||||||
| Series C, Rev., 4.00%, 12/01/2042 | 1,555 | 1,425 | ||||||
| Series C, Rev., 5.00%, 12/01/2027 | 345 | 371 | ||||||
| Series C, Rev., 5.00%, 12/01/2041 | 1,560 | 1,614 | ||||||
| Pennsylvania Turnpike Commission, Motor License, Rev., 5.00%, 12/01/2040 | 1,000 | 1,016 | ||||||
| Pennsylvania Turnpike Commission, Subordinate, | ||||||||
| Rev., 5.00%, 12/01/2030 | 1,750 | 1,839 | ||||||
| Series A, Rev., 4.00%, 12/01/2043 | 2,135 | 1,915 | ||||||
| Pennsylvania Turnpike Commission, Subordinated, Series A, Rev., 5.00%, 12/01/2036 | 2,775 | 2,851 | ||||||
| Philadelphia Authority for Industrial Development, Rev., 5.00%, 05/01/2033 | 1,250 | 1,296 | ||||||
| Philadelphia Authority for Industrial Development, String Theory Charter School, Rev., 5.00%, 06/15/2040 (e) | 900 | 824 | ||||||
| Philadelphia Authority for Industrial Development, Thomas Jefferson University, | ||||||||
| Series A, Rev., 5.00%, 09/01/2032 | 1,110 | 1,136 | ||||||
| Series A, Rev., 5.00%, 09/01/2035 | 1,105 | 1,124 | ||||||
| Series A, Rev., 5.00%, 09/01/2047 | 1,000 | 993 | ||||||
| Philadelphia Gas Works Co., Series A, Rev., AGM, 4.00%, 08/01/2045 | 5,000 | 4,496 | ||||||
| Pittsburgh Water & Sewer Authority, | ||||||||
| Series B, Rev., AGM, 4.00%, 09/01/2036 | 500 | 475 | ||||||
| Series B, Rev., AGM, 4.00%, 09/01/2038 | 500 | 466 | ||||||
| Series B, Rev., AGM, 4.00%, 09/01/2045 | 2,250 | 2,026 | ||||||
| Series C, Rev., AGM, (SIFMA Municipal Swap Index + 0.65%), 3.11%, 09/01/2040 (aa) | 3,110 | 3,111 | ||||||
| Pittsburgh Water & Sewer Authority, Subordinated, Series B, Rev., AGM, 5.00%, 09/01/2031 | 750 | 830 | ||||||
| Ridley School District, GO, BAM, 5.25%, 11/15/2039 | 4,545 | 4,811 | ||||||
| School District of Philadelphia (The), | ||||||||
| Series A, GO, 5.00%, 09/01/2027 | 610 | 638 | ||||||
| Series A, GO, 5.00%, 09/01/2031 | 245 | 259 | ||||||
| Series A, GO, 5.00%, 09/01/2034 | 375 | 391 | ||||||
| School District of Philadelphia (The), Green Bond, | ||||||||
| Series B, GO, 5.00%, 09/01/2027 | 895 | 936 | ||||||
| Series B, GO, 5.00%, 09/01/2028 | 1,485 | 1,561 | ||||||
| Series B, GO, 5.00%, 09/01/2029 | 450 | 474 | ||||||
| Scranton School District, Series E, GO, BAM, 4.00%, 12/01/2037 | 1,025 | 960 | ||||||
| Sports & Exhibition Authority of Pittsburgh and Allegheny County, | ||||||||
| Rev., AGM, 5.00%, 02/01/2027 | 2,250 | 2,378 | ||||||
| Rev., AGM, 5.00%, 02/01/2028 | 2,590 | 2,759 | ||||||
| State Public School Building Authority, Montgomery County Community College, Rev., 5.50%, 05/01/2033 (p) | 1,000 | 1,014 | ||||||
| State Public School Building Authority, Northampton County Area Community, | ||||||||
| Rev., BAM, 4.00%, 03/01/2029 | 1,000 | 1,016 | ||||||
| Rev., BAM, 4.00%, 03/01/2030 | 640 | 648 | ||||||
| Rev., BAM, 4.00%, 03/01/2031 | 500 | 505 | ||||||
| Rev., BAM, 5.00%, 03/01/2027 | 715 | 754 | ||||||
| Rev., BAM, 5.00%, 03/01/2028 | 755 | 804 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Pennsylvania — continued | ||||||||
| State Public School Building Authority, Philadelphia School District, Rev., AGM, 5.00%, 06/01/2030 | 3,480 | 3,601 | ||||||
| Westmoreland County Industrial Development Authority, Excela Health Project, | ||||||||
| Series A, Rev., 4.00%, 07/01/2025 | 575 | 572 | ||||||
| Series A, Rev., 4.00%, 07/01/2026 | 1,250 | 1,236 | ||||||
| Series A, Rev., 5.00%, 07/01/2028 | 1,400 | 1,449 | ||||||
|
|
|
|||||||
| 272,907 | ||||||||
|
|
|
|||||||
| Puerto Rico — 0.9% | ||||||||
| Commonwealth of Puerto Rico, Restructured, | ||||||||
| Series A1, GO, 4.00%, 07/01/2033 | 481 | 423 | ||||||
| Series A1, GO, 4.00%, 07/01/2035 | 433 | 370 | ||||||
| Series A1, GO, 4.00%, 07/01/2037 | 371 | 305 | ||||||
| Series A1, GO, 4.00%, 07/01/2041 | 505 | 394 | ||||||
| Series A1, GO, 4.00%, 07/01/2046 | 525 | 393 | ||||||
| Series A1, GO, 5.25%, 07/01/2023 | 1,267 | 1,273 | ||||||
| Series A1, GO, 5.38%, 07/01/2025 | 536 | 541 | ||||||
| Series A1, GO, 5.63%, 07/01/2027 | 6,045 | 6,171 | ||||||
| Series A1, GO, 5.63%, 07/01/2029 | 1,523 | 1,557 | ||||||
| Series A1, GO, 5.75%, 07/01/2031 | 2,008 | 2,047 | ||||||
| Series A, GO, Zero Coupon, 07/01/2024 | 161 | 148 | ||||||
| Series A, GO, Zero Coupon, 07/01/2033 | 6,410 | 3,533 | ||||||
| Commonwealth of Puerto Rico, Subordinate, Note Claims, Series CW, 0.00%, 11/01/2043 (z) | 2,404 | 1,202 | ||||||
| Puerto Rico Electric Power Authority, | ||||||||
| Series AAA, Rev., 5.25%, 07/01/2023 (d) | 100 | 74 | ||||||
| Series AAA, Rev., 5.25%, 07/01/2024 (d) | 2,450 | 1,819 | ||||||
| Series CCC, Rev., 4.63%, 07/01/2025 (d) | 100 | 74 | ||||||
| Series DDD, Rev., 5.00%, 07/01/2020 (d) | 570 | 422 | ||||||
| Series NN, Rev., NATL, 4.75%, 07/01/2033 | 30 | 29 | ||||||
| Series TT, Rev., 5.00%, 07/01/2020 (d) | 285 | 211 | ||||||
| Series TT, Rev., 5.00%, 07/01/2021 (d) | 100 | 74 | ||||||
| Series TT, Rev., 5.00%, 07/01/2037 (d) | 1,200 | 891 | ||||||
| Series XX, Rev., 4.63%, 07/01/2025 (d) | 100 | 74 | ||||||
| Series XX, Rev., 4.75%, 07/01/2026 (d) | 295 | 218 | ||||||
| Series ZZ, Rev., 4.25%, 07/01/2020 (d) | 470 | 343 | ||||||
| Series ZZ, Rev., 5.25%, 07/01/2019 (d) | 580 | 429 | ||||||
| Series ZZ, Rev., 5.25%, 07/01/2023 (d) | 500 | 371 | ||||||
| Puerto Rico Electric Power Authority, Libor, Series UU, Rev., AGM, (ICE LIBOR USD 3 Month * 0.67 + 0.52%), 2.05%, 07/01/2029 (aa) | 325 | 304 | ||||||
| Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, Restructured, | ||||||||
| Series A1, Rev., Zero Coupon, 07/01/2031 | 2,925 | 1,860 | ||||||
| Series A1, Rev., 4.75%, 07/01/2053 | 1,000 | 854 | ||||||
| Series A1, Rev., 5.00%, 07/01/2058 | 5,000 | 4,414 | ||||||
| Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue, Restructured, | ||||||||
| Series A1, Rev., 4.55%, 07/01/2040 | 1,385 | 1,231 | ||||||
| Series A2, Rev., 4.33%, 07/01/2040 | 12,100 | 10,451 | ||||||
|
|
|
|||||||
| 42,500 | ||||||||
|
|
|
|||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Rhode Island — 0.1% | ||||||||
| Rhode Island Housing and Mortgage Finance Corp., Series 71, Rev., GNMA COLL, 3.75%, 10/01/2049 | 420 | 412 | ||||||
| Rhode Island Housing and Mortgage Finance Corp., Homeownership Opportunity, | ||||||||
| Series 73A, Rev., 0.95%, 04/01/2026 | 500 | 452 | ||||||
| Series 73A, Rev., 1.10%, 04/01/2027 | 300 | 265 | ||||||
| Series 73A, Rev., 1.65%, 10/01/2029 | 715 | 614 | ||||||
| Series 73A, Rev., 3.00%, 10/01/2050 | 1,315 | 1,253 | ||||||
| Rhode Island Housing and Mortgage Finance Corp., Social Bonds, Series 75A, Rev., 3.00%, 10/01/2051 | 2,845 | 2,687 | ||||||
| Rhode Island Student Loan Authority, Senior Bond, Series A, Rev., AMT, 5.00%, 12/01/2029 | 370 | 392 | ||||||
|
|
|
|||||||
| 6,075 | ||||||||
|
|
|
|||||||
| South Carolina — 1.1% | ||||||||
| City of Rock Hill, Combined Utility System, Rev., 5.00%, 01/01/2027 | 250 | 261 | ||||||
| Columbia Housing Authority, Colonial Bluffs Apartments, Rev., 1.25%, 08/01/2025 (z) | 770 | 734 | ||||||
| Columbia Housing Authority, Palmetto Terrace Apartment, Rev., 0.31%, 06/01/2024 (z) | 80 | 78 | ||||||
| Lexington County Health Services District, Inc., Lexmed Obligated Group, | ||||||||
| Rev., 4.00%, 11/01/2030 | 1,000 | 995 | ||||||
| Rev., 4.00%, 11/01/2031 | 1,000 | 986 | ||||||
| Patriots Energy Group Financing Agency, Series A, Rev., LIQ: Royal Bank of Canada, 4.00%, 10/01/2048 (z) | 40 | 40 | ||||||
| South Carolina Jobs-Economic Development Authority, Bon Secours Mercy Health, Series S, Rev., 5.00%, 12/01/2048 (z) | 1,000 | 1,038 | ||||||
| South Carolina Jobs-Economic Development Authority, McLeod Health Projects, Rev., 5.00%, 11/01/2048 | 1,000 | 1,009 | ||||||
| South Carolina Jobs-Economic Development Authority, Prisma Health Obligated Group, Series A, Rev., 5.00%, 05/01/2030 | 1,500 | 1,554 | ||||||
| South Carolina Jobs-Economic Development Authority, Prisma Health Obligation Group, Rev., VRDO, 2.85%, 10/07/2022 (z) | 3,800 | 3,800 | ||||||
| South Carolina Ports Authority, Rev., AMT, 5.00%, 07/01/2043 | 5,680 | 5,690 | ||||||
| South Carolina Public Service Authority, | ||||||||
| Series A, Rev., 4.00%, 12/01/2033 | 1,000 | 922 | ||||||
| Series A, Rev., 4.00%, 12/01/2034 | 2,000 | 1,822 | ||||||
| Series A, Rev., 4.00%, 12/01/2037 | 2,000 | 1,780 | ||||||
| Series A, Rev., 4.00%, 12/01/2038 | 520 | 459 | ||||||
| Series A, Rev., 5.00%, 12/01/2024 | 500 | 513 | ||||||
| Series A, Rev., 5.00%, 12/01/2025 | 1,000 | 1,035 | ||||||
| Series A, Rev., 5.00%, 12/01/2027 | 1,525 | 1,605 | ||||||
| Series A, Rev., 5.00%, 12/01/2028 | 1,700 | 1,748 | ||||||
| Series A, Rev., 5.00%, 12/01/2029 | 85 | 90 | ||||||
| Series A, Rev., 5.00%, 12/01/2031 | 4,500 | 4,709 | ||||||
| Series A, Rev., 5.00%, 12/01/2032 | 1,000 | 1,039 | ||||||
| Series B, Rev., 5.00%, 12/01/2041 | 1,000 | 993 | ||||||
| South Carolina Public Service Authority, Bond Exchange, Series A, Rev., 5.00%, 12/01/2050 | 5,000 | 4,819 | ||||||
| South Carolina Public Service Authority, Obligations, Series C, Rev., 5.00%, 12/01/2027 | 1,600 | 1,670 | ||||||
| South Carolina State Housing Finance & Development Authority, | ||||||||
| Series A, Rev., 3.00%, 01/01/2052 | 745 | 703 | ||||||
| Series A, Rev., 4.00%, 01/01/2052 | 900 | 879 | ||||||
| Series B, Rev., 3.25%, 01/01/2052 | 7,580 | 7,285 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| South Carolina — continued | ||||||||
| South Carolina State Housing Finance & Development Authority, James Lewis Jr. Eastside, Rev., FNMA COLL, 0.30%, 09/01/2024 (z) | 2,190 | 2,077 | ||||||
| South Carolina State Housing Finance & Development Authority, Villages At Congaree, Rev., 1.25%, 06/01/2025 (z) | 895 | 857 | ||||||
| Spartanburg Housing Authority, Connecticut Village Apartments, Rev., 1.05%, 08/01/2025 (z) | 625 | 612 | ||||||
| Spartanburg Housing Authority, Hickory Heights And Oakland, Rev., HUD, 0.29%, 10/01/2024 (z) | 1,000 | 970 | ||||||
| Spartanburg Regional Health Services District, Services District, Inc., | ||||||||
| Rev., 5.00%, 04/15/2026 | 565 | 588 | ||||||
| Rev., 5.00%, 04/15/2028 | 500 | 524 | ||||||
| Rev., 5.00%, 04/15/2033 | 500 | 521 | ||||||
|
|
|
|||||||
| 54,405 | ||||||||
|
|
|
|||||||
| South Dakota — 0.1% | ||||||||
| County of Lincoln, Augustana College Association, Rev., 4.00%, 08/01/2041 | 250 | 199 | ||||||
| South Dakota Housing Development Authority, Homeownership Mortgage, Series B, Rev., 3.00%, 11/01/2051 | 2,905 | 2,748 | ||||||
|
|
|
|||||||
| 2,947 | ||||||||
|
|
|
|||||||
| Tennessee — 1.2% | ||||||||
| Chattanooga Health Educational & Housing Facility Board, Battery Heights Apartments, Rev., 0.20%, 08/01/2024 (z) | 90 | 87 | ||||||
| Chattanooga Health Educational & Housing Facility Board, Commonspirit Health, Series A1, Rev., 5.00%, 08/01/2028 | 305 | 316 | ||||||
| City of Clarksville Water Sewer & Gas Revenue, Rev., 5.00%, 02/01/2041 (p) | 965 | 1,017 | ||||||
| City of Memphis Storm Water System Revenue, Rev., 5.00%, 10/01/2044 | 3,365 | 3,502 | ||||||
| City of Memphis, Gas System Revenue, Rev., 4.00%, 12/01/2045 | 2,175 | 1,945 | ||||||
| City of Memphis, Sanitary Sewerage System Revenue, Series B, Rev., 5.00%, 10/01/2022 | 125 | 125 | ||||||
| County of Coffee, GO, 5.00%, 06/01/2026 | 250 | 265 | ||||||
| Health Educational and Housing Facility Board of the City of Memphis (The), Tillman Cove Apartments, Rev., HUD, 0.55%, 12/01/2024 (z) | 2,275 | 2,126 | ||||||
| Health Educational and Housing Facility Board of the City of Memphis, Memphis Towers Apartments, Rev., 0.25%, 12/01/2023 (z) | 2,000 | 1,982 | ||||||
| Knoxville’s Community Development Corp., Austin 1B Apartments Project, Rev., 0.22%, 10/01/2024 (z) | 320 | 305 | ||||||
| Memphis-Shelby County Airport Authority, | ||||||||
| Rev., AMT, 5.00%, 07/01/2032 | 270 | 277 | ||||||
| Rev., AMT, 5.00%, 07/01/2043 | 2,055 | 2,056 | ||||||
| Metropolitan Government Nashville & Davidson County Health & Educational Facilities Bond, Vanderbilt University Medical Center, Series A, Rev., 5.00%, 07/01/2040 | 2,685 | 2,633 | ||||||
| Metropolitan Government Nashville & Davidson County Health & Educational Facilities Bonds, Richland Hills Apartments Project, Rev., HUD, 1.25%, 12/01/2024 (z) | 5,644 | 5,486 | ||||||
| Metropolitan Government Nashville & Davidson County Health & Educational Facilities Bonds, Vanderbilt University Medical, Rev., 5.00%, 07/01/2031 | 2,785 | 2,911 | ||||||
| Metropolitan Government Nashville & Davidson County Industrial Development Board, Waste Management, Inc. Tenn Project, Rev., AMT, 0.58%, 08/01/2031 (z) | 600 | 560 | ||||||
| Metropolitan Government of Nashville & Davidson County, Water & Sewer Revenue, Rev., 5.00%, 07/01/2025 (p) | 50 | 51 | ||||||
| Tennergy Corp., Series A, Rev., 4.00%, 12/01/2051 (z) | 5,500 | 5,329 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Tennessee — continued | ||||||||
| Tennessee Energy Acquisition Corp., | ||||||||
| Rev., 4.00%, 11/01/2049 (z) | 3,250 | 3,218 | ||||||
| Rev., 5.00%, 05/01/2052 (z) | 20,595 | 20,559 | ||||||
| Tennessee Energy Acquisition Corp., Junior, Series B, Rev., 5.63%, 09/01/2026 | 1,410 | 1,473 | ||||||
| Tennessee Energy Acquisition Corp., Project, Series A, Rev., 4.00%, 05/01/2048 (z) | 500 | 500 | ||||||
| Tennessee Housing Development Agency, Residential Finance Program I, Rev., 3.75%, 01/01/2050 | 260 | 254 | ||||||
|
|
|
|||||||
| 56,977 | ||||||||
|
|
|
|||||||
| Texas — 8.8% | ||||||||
| Alamo Community College District, Maintenance Tax Notes, GO, 5.00%, 02/15/2030 | 500 | 548 | ||||||
| Argyle Independent School District, Series A, GO, PSF-GTD, 5.00%, 08/15/2027 | 1,000 | 1,074 | ||||||
| Arlington Higher Education Finance Corp., | ||||||||
| Series A, Rev., PSF-GTD, 4.00%, 08/15/2024 | 200 | 202 | ||||||
| Series A, Rev., PSF-GTD, 4.00%, 08/15/2025 | 445 | 452 | ||||||
| Series A, Rev., PSF-GTD, 4.00%, 08/15/2026 | 265 | 268 | ||||||
| Series A, Rev., PSF-GTD, 4.00%, 08/15/2030 | 425 | 430 | ||||||
| Series A, Rev., PSF-GTD, 5.00%, 08/15/2031 | 555 | 613 | ||||||
| Arlington Higher Education Finance Corp., Legacy Traditional Schools, Rev., 4.13%, 02/15/2041 | 815 | 616 | ||||||
| Arlington Higher Education Finance Corp., Legacy Traditional Schools Texas, Rev., 6.00%, 02/15/2042 (e) | 250 | 239 | ||||||
| Austin Convention Enterprises, Inc., First Tier Convention Center, Rev., 5.00%, 01/01/2033 | 1,125 | 1,112 | ||||||
| Barbers Hill Independent School District, | ||||||||
| GO, PSF-GTD, 5.00%, 02/15/2033 | 1,010 | 1,118 | ||||||
| GO, PSF-GTD, 5.00%, 02/15/2035 | 3,000 | 3,272 | ||||||
| Bexar County Hospital District, Certificates Obligation, GO, 5.00%, 02/15/2031 | 1,000 | 1,088 | ||||||
| Bexar County Hospital District, Certificates of Obligation, | ||||||||
| GO, 5.00%, 02/15/2036 (w) | 370 | 403 | ||||||
| GO, 5.00%, 02/15/2037 (w) | 230 | 248 | ||||||
| Board of Regents of the University of Texas System, | ||||||||
| Series A, Rev., 5.00%, 08/15/2030 | 1,000 | 1,110 | ||||||
| Series E, Rev., 5.00%, 08/15/2027 | 1,000 | 1,076 | ||||||
| Brazoria County Toll Road Authority, Subordinated Lien, Series A, Rev., CNTY GTD, 5.00%, 03/01/2033 | 1,670 | 1,765 | ||||||
| Brazosport Independent School District, | ||||||||
| GO, PSF-GTD, 5.00%, 02/15/2027 | 2,500 | 2,674 | ||||||
| GO, PSF-GTD, 5.00%, 02/15/2029 | 2,000 | 2,194 | ||||||
| Cameron County Housing Finance Corp., Sunfield Country Apartments, Rev., 0.28%, 02/01/2024 (z) | 415 | 402 | ||||||
| Capital Area Housing Finance Corp., Redwood Apartments, Rev., 0.41%, 01/01/2041 (z) | 6,605 | 6,313 | ||||||
| Central Texas Regional Mobility Authority, | ||||||||
| Series B, Rev., 4.00%, 01/01/2040 | 800 | 699 | ||||||
| Series B, Rev., 4.00%, 01/01/2051 | 1,250 | 1,000 | ||||||
| Series B, Rev., 5.00%, 01/01/2037 | 1,000 | 1,020 | ||||||
| Series B, Rev., 5.00%, 01/01/2046 | 1,500 | 1,499 | ||||||
| Central Texas Regional Mobility Authority, Senior Lien, | ||||||||
| Series B, Rev., 4.00%, 01/01/2039 | 600 | 531 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Texas — continued | ||||||||
| Series B, Rev., 4.00%, 01/01/2040 | 500 | 437 | ||||||
| Series B, Rev., 5.00%, 01/01/2024 | 230 | 233 | ||||||
| Series B, Rev., 5.00%, 01/01/2045 | 3,595 | 3,607 | ||||||
| Series D, Rev., 5.00%, 01/01/2033 | 480 | 499 | ||||||
| Series E, Rev., 5.00%, 01/01/2045 | 2,665 | 2,674 | ||||||
| Central Texas Regional Mobility Authority, Subordinated, Series F, Rev., BAN, 5.00%, 01/01/2025 | 4,770 | 4,851 | ||||||
| Central Texas Regional Mobility Authority, Subordinated Lien, Rev., 5.00%, 01/01/2042 (p) | 1,630 | 1,637 | ||||||
| City Austin, Certificates Obligation, | ||||||||
| GO, 5.00%, 09/01/2032 | 1,750 | 1,920 | ||||||
| GO, 5.00%, 09/01/2033 | 1,100 | 1,202 | ||||||
| GO, 5.00%, 09/01/2034 | 1,750 | 1,904 | ||||||
| City of Arlington, Tax Increment Reinvestment Zone, Tax Allocation, 4.00%, 08/15/2041 | 1,000 | 858 | ||||||
| City of Arlington, Water & Wastewater System Revenue, Rev., 5.00%, 06/01/2023 | 90 | 91 | ||||||
| City of Austin Airport System Revenue, | ||||||||
| Rev., AMT, 5.00%, 11/15/2029 | 1,400 | 1,469 | ||||||
| Rev., AMT, 5.00%, 11/15/2040 | 1,000 | 1,007 | ||||||
| City of Austin Water & Wastewater System Revenue, | ||||||||
| Rev., 4.00%, 11/15/2036 | 185 | 179 | ||||||
| Rev., 5.00%, 11/15/2039 | 500 | 508 | ||||||
| Series C, Rev., 5.00%, 11/15/2025 | 510 | 537 | ||||||
| Series C, Rev., 5.00%, 11/15/2032 | 1,000 | 1,093 | ||||||
| City of Austin, Airport System Revenue, | ||||||||
| Series B, Rev., AMT, 5.00%, 11/15/2030 | 1,000 | 1,046 | ||||||
| Series B, Rev., AMT, 5.00%, 11/15/2033 | 1,130 | 1,143 | ||||||
| Series B, Rev., AMT, 5.00%, 11/15/2036 | 3,335 | 3,373 | ||||||
| City of Austin, Electric Utility Revenue, | ||||||||
| Series B, Rev., 5.00%, 11/15/2037 | 1,505 | 1,596 | ||||||
| Series B, Rev., 5.00%, 11/15/2038 | 1,340 | 1,413 | ||||||
| Series B, Rev., 5.00%, 11/15/2044 | 1,000 | 1,038 | ||||||
| City of Austin, Refunding & Public Improvement, GO, 5.00%, 09/01/2033 | 620 | 677 | ||||||
| City of Austin, Water & Wastewater System Revenue, Rev., 5.00%, 11/15/2041 | 7,000 | 7,267 | ||||||
| City of Dallas Housing Finance Corp., Midpark Towers, Rev., 0.35%, 01/01/2024 (z) | 120 | 118 | ||||||
| City of Dallas, Waterworks & Sewer System Revenue, | ||||||||
| Series C, Rev., 4.00%, 10/01/2039 | 7,470 | 6,940 | ||||||
| Series C, Rev., 4.00%, 10/01/2040 | 1,000 | 916 | ||||||
| Series C, Rev., 5.00%, 10/01/2029 | 1,125 | 1,239 | ||||||
| City of Denton Utility System Revenue, Rev., 5.00%, 12/01/2022 | 1,000 | 1,003 | ||||||
| City of Eagle Pass, Certificates Obligation, | ||||||||
| GO, AGM, 4.00%, 03/01/2039 | 500 | 469 | ||||||
| GO, AGM, 4.00%, 03/01/2041 | 680 | 632 | ||||||
| City of Fort Worth, GO, 4.00%, 03/01/2030 | 1,150 | 1,187 | ||||||
| City of Garland, Certificates Obligation, GO, 5.00%, 02/15/2024 | 275 | 282 | ||||||
| City of Haslet, Improvement Area Second Project, Special Assessment, 3.25%, 09/01/2031 (e) | 500 | 404 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Texas — continued | ||||||||
| City of Houston Airport System Revenue, Subordinated Lien, | ||||||||
| Series A, Rev., AMT, 4.00%, 07/01/2040 | 3,570 | 3,150 | ||||||
| Series A, Rev., AMT, 5.00%, 07/01/2024 | 1,000 | 1,021 | ||||||
| Series A, Rev., AMT, 5.00%, 07/01/2028 | 1,000 | 1,042 | ||||||
| Series A, Rev., AMT, 5.00%, 07/01/2034 | 2,500 | 2,561 | ||||||
| Series B, Rev., 5.00%, 07/01/2027 | 1,995 | 2,129 | ||||||
| City of Houston Airport System Revenue, United Airlines, Inc. Terminal, Rev., AMT, 4.00%, 07/15/2041 | 3,365 | 2,635 | ||||||
| City of Houston Combined Utility System Revenue, First Lien, Series A, Rev., 4.00%, 11/15/2033 | 1,200 | 1,201 | ||||||
| City of Houston Hotel Occupancy Tax & Special Revenue, Convention & Entertainment, | ||||||||
| Rev., 4.00%, 09/01/2023 | 50 | 50 | ||||||
| Rev., 4.00%, 09/01/2024 | 150 | 151 | ||||||
| Rev., 4.00%, 09/01/2025 | 45 | 46 | ||||||
| Rev., 4.00%, 09/01/2029 | 280 | 283 | ||||||
| City of Houston, Airport System Revenue, Series C, Rev., AMT, 5.00%, 07/01/2028 | 470 | 490 | ||||||
| City of Houston, Airport System Revenue, Special Facilities, United Airlines, Inc., Rev., AMT, 5.00%, 07/15/2028 | 600 | 600 | ||||||
| City of Houston, Airport System Revenue, Subordinated Lien, | ||||||||
| Series A, Rev., AMT, 5.00%, 07/01/2028 | 890 | 927 | ||||||
| Series B, Rev., 5.00%, 07/01/2026 | 1,000 | 1,055 | ||||||
| City of Houston, Combined Utility System Revenue, First Lien, | ||||||||
| Series A, Rev., 5.00%, 11/15/2029 | 1,100 | 1,213 | ||||||
| Series C, Rev., 5.00%, 11/15/2029 | 1,850 | 2,029 | ||||||
| City of Justin, Timberbrook Public Improvement, Special Assessment, 3.00%, 09/01/2031 (e) | 315 | 266 | ||||||
| City of Kyle, 6 Creeks Public Improvement, Special Assessment, 2.63%, 09/01/2025 (e) | 330 | 302 | ||||||
| City of Laredo, Certificates Obligation, GO, 5.00%, 02/15/2033 | 1,070 | 1,130 | ||||||
| City of Lubbock Electric Light & Power System Revenue, | ||||||||
| Rev., 5.00%, 04/15/2026 | 800 | 840 | ||||||
| Rev., 5.00%, 04/15/2027 | 785 | 833 | ||||||
| Rev., 5.00%, 04/15/2028 | 900 | 964 | ||||||
| City of McKinney Waterworks & Sewer System Revenue, Rev., 5.00%, 03/15/2026 | 350 | 369 | ||||||
| City of Mesquite, Waterworks & Sewer System Revenue, Rev., 4.00%, 03/01/2023 | 95 | 95 | ||||||
| City of Palestine, Certificates Obligation, GO, AGM, 4.00%, 02/15/2046 | 5,000 | 4,355 | ||||||
| City of San Antonio Electric & Gas Systems Revenue, | ||||||||
| Rev., 4.00%, 02/01/2030 | 1,660 | 1,698 | ||||||
| Rev., 5.00%, 02/01/2025 | 3,095 | 3,212 | ||||||
| City of San Antonio Electric & Gas Systems Revenue, Junior Lien, | ||||||||
| Rev., 4.00%, 02/01/2037 | 1,000 | 935 | ||||||
| Rev., 5.00%, 02/01/2048 (p) | 160 | 161 | ||||||
| Series 2019, Rev., 2.75%, 02/01/2048 (z) | 2,000 | 1,999 | ||||||
| Series D, Rev., 1.13%, 12/01/2045 (z) | 6,510 | 5,775 | ||||||
| City of San Antonio, Electric & Gas Systems Revenue, Rev., 4.00%, 02/01/2027 | 3,000 | 3,075 | ||||||
| City of San Antonio, Electric & Gas Systems Revenue, Junior Lien, Rev., 5.00%, 02/01/2043 (p) | 4,350 | 4,377 | ||||||
| Cleburne Independent School District, School Building, GO, PSF-GTD, 5.00%, 02/15/2036 | 1,065 | 1,111 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Texas — continued | ||||||||
| Clifton Higher Education Finance Corp., Idea Public School, | ||||||||
| Series A, Rev., 4.00%, 08/15/2035 | 415 | 384 | ||||||
| Series A, Rev., 4.00%, 08/15/2047 | 1,300 | 1,090 | ||||||
| Series T, Rev., PSF-GTD, 4.00%, 08/15/2036 | 700 | 673 | ||||||
| Series T, Rev., PSF-GTD, 4.00%, 08/15/2047 | 1,175 | 1,051 | ||||||
| Series T, Rev., PSF-GTD, 5.00%, 08/15/2023 | 60 | 61 | ||||||
| Series T, Rev., PSF-GTD, 5.00%, 08/15/2024 | 65 | 67 | ||||||
| Series T, Rev., PSF-GTD, 5.00%, 08/15/2025 | 70 | 73 | ||||||
| Series T, Rev., PSF-GTD, 5.00%, 08/15/2026 | 55 | 58 | ||||||
| Series T, Rev., PSF-GTD, 5.00%, 08/15/2027 | 30 | 32 | ||||||
| Series T, Rev., PSF-GTD, 5.00%, 08/15/2028 | 40 | 43 | ||||||
| Series T, Rev., PSF-GTD, 5.00%, 08/15/2030 | 215 | 234 | ||||||
| Clifton Higher Education Finance Corp., Idea Public Schools, Rev., PSF-GTD, 5.00%, 08/15/2026 | 1,840 | 1,932 | ||||||
| Clifton Higher Education Finance Corp., International Leadership of Texas, | ||||||||
| Rev., PSF-GTD, 4.00%, 08/15/2023 | 75 | 76 | ||||||
| Rev., PSF-GTD, 4.00%, 08/15/2024 | 115 | 116 | ||||||
| Rev., PSF-GTD, 4.00%, 08/15/2025 | 145 | 147 | ||||||
| Conroe Independent School District, Series A, GO, PSF-GTD, 5.00%, 02/15/2024 | 750 | 768 | ||||||
| County of Bexar, | ||||||||
| GO, 4.00%, 06/15/2040 | 11,085 | 10,338 | ||||||
| GO, 5.00%, 06/15/2031 (p) | 1,500 | 1,594 | ||||||
| County of Dallas, Certificates of Obligation, GO, 5.00%, 08/15/2041 | 2,550 | 2,740 | ||||||
| County of El Paso, Series A, GO, 5.00%, 02/15/2027 | 1,430 | 1,504 | ||||||
| County of Harris, | ||||||||
| Series A, GO, 5.00%, 10/01/2022 | 4,615 | 4,615 | ||||||
| Series A, GO, 5.00%, 10/01/2024 | 1,900 | 1,970 | ||||||
| Series A, GO, 5.00%, 10/01/2029 | 1,150 | 1,268 | ||||||
| Series A, GO, 5.00%, 10/01/2035 | 375 | 407 | ||||||
| County of Harris, Road Bonds, Series A, GO, 5.00%, 10/01/2022 | 100 | 100 | ||||||
| County of Harris, Subordinate, Series A, GO, 5.00%, 08/15/2026 | 1,750 | 1,856 | ||||||
| County of Nueces, GO, 5.00%, 02/15/2029 | 460 | 498 | ||||||
| Cypress-Fairbanks Independent School District, School Building, Series B2, GO, PSF-GTD, 0.28%, 02/15/2040 (z) | 1,410 | 1,330 | ||||||
| Dallas Area Rapid Transit, Series A, Rev., 5.00%, 12/01/2046 (p) | 2,000 | 2,103 | ||||||
| Dallas Area Rapid Transit, Senior Lien, Rev., 5.00%, 12/01/2032 | 1,000 | 1,091 | ||||||
| Dallas Fort Worth International Airport, | ||||||||
| Series B, Rev., 5.00%, 11/01/2050 | 4,000 | 4,103 | ||||||
| Series E, Rev., 5.00%, 11/01/2023 | 85 | 85 | ||||||
| Dallas Fort Worth International Airport, Dallas Fort Worth International, | ||||||||
| Rev., 5.00%, 11/01/2025 | 1,825 | 1,910 | ||||||
| Rev., 5.00%, 11/01/2026 | 2,850 | 3,022 | ||||||
| Dallas/Fort Worth, International Airport, Series C, Rev., AMT, 5.13%, 11/01/2043 (p) | 350 | 351 | ||||||
| Deer Park Independent School District, GO, VRDO, PSF-GTD, 0.16%, 10/03/2022 (z) | 930 | 930 | ||||||
| Del Valle Independent School District, | ||||||||
| GO, PSF-GTD, 4.00%, 06/15/2031 | 3,085 | 3,204 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Texas — continued | ||||||||
| GO, PSF-GTD, 4.00%, 06/15/2032 | 3,405 | 3,512 | ||||||
| GO, PSF-GTD, 4.00%, 06/15/2033 | 5,740 | 5,890 | ||||||
| GO, PSF-GTD, 4.00%, 06/15/2034 | 3,280 | 3,320 | ||||||
| GO, PSF-GTD, 5.00%, 06/15/2026 | 1,750 | 1,855 | ||||||
| Denton Independent School District, GO, PSF-GTD, 5.00%, 08/15/2027 | 1,000 | 1,077 | ||||||
| Eagle Mountain & Saginaw Independent School District, GO, PSF-GTD, 5.00%, 08/15/2026 | 1,000 | 1,069 | ||||||
| Forney Independent School District, Series B, GO, PSF-GTD, 5.00%, 08/15/2033 | 1,555 | 1,706 | ||||||
| Fort Bend Grand Parkway Toll Road Authority, | ||||||||
| Series A, Rev., CNTY GTD, 5.00%, 03/01/2026 | 750 | 789 | ||||||
| Series A, Rev., CNTY GTD, 5.00%, 03/01/2027 | 285 | 304 | ||||||
| Series A, Rev., CNTY GTD, 5.00%, 03/01/2029 | 890 | 968 | ||||||
| Series A, Rev., CNTY GTD, 5.00%, 03/01/2030 | 1,000 | 1,098 | ||||||
| Fort Bend Independent School District, | ||||||||
| Series B, GO, PSF-GTD, 0.72%, 08/01/2051 (z) | 640 | 570 | ||||||
| Series B, GO, PSF-GTD, 0.88%, 08/01/2050 (z) | 860 | 771 | ||||||
| Frisco Independent School District, school Building, Series A, GO, PSF-GTD, 4.00%, 08/15/2032 | 2,140 | 2,174 | ||||||
| Galveston Independent School District, GO, PSF-GTD, 5.00%, 02/01/2031 | 670 | 733 | ||||||
| Galveston Public Facility Corp., The Oleanders At Broadway, Rev., HUD, 0.47%, 08/01/2025 (z) | 560 | 522 | ||||||
| Goose Creek Consolidated Independent School District, GO, PSF-GTD, 5.00%, 02/15/2026 | 900 | 950 | ||||||
| Grand Parkway Transportation Corp., Grand Parkway System, Rev., 4.00%, 10/01/2045 | 10,125 | 8,917 | ||||||
| Grand Parkway Transportation Corp., Subordinated Tier Toll, Series B, Rev., 5.00%, 04/01/2053 (p) | 100 | 102 | ||||||
| Gregory-Portland Independent School District, Series A, GO, PSF-GTD, 5.00%, 02/15/2023 | 1,000 | 1,007 | ||||||
| Hale Center Education Facilities Corp., Wayland Baptist University Project, Rev., 5.00%, 03/01/2034 | 1,265 | 1,254 | ||||||
| Harlandale Independent School District, GO, PSF-GTD, 0.75%, 08/15/2045 (z) | 465 | 431 | ||||||
| Harlandale Independent School District, Variable Maintenance Tax Notes, GO, BAM, 2.00%, 08/15/2040 (z) | 350 | 340 | ||||||
| Harlingen Consolidated Independent School District, GO, PSF-GTD, 5.00%, 08/15/2024 | 80 | 83 | ||||||
| Harris County Cultural Education Facilities Finance Corp., Medical Facilities Mortgage Revenue, Rev., (ICE LIBOR USD 1 Month * 0.70 + 0.65%), 2.45%, 11/15/2046 (aa) | 1,130 | 1,128 | ||||||
| Harris County Cultural Education Facilities Finance Corp., Texas Children’s Hospital, | ||||||||
| Rev., 4.00%, 10/01/2041 | 3,205 | 2,916 | ||||||
| Rev., 5.00%, 10/01/2051 (z) | 3,000 | 3,192 | ||||||
| Harris County Cultural Education Facilities Finance Corp., Texas Medical Center, Series A, Rev., 0.90%, 05/15/2050 (z) | 6,315 | 5,724 | ||||||
| Harris County Flood Control District, Series A, GO, 5.00%, 10/01/2029 | 1,700 | 1,876 | ||||||
| Harris County Toll Road Authority, First Lien, Rev., 5.00%, 08/15/2030 | 1,200 | 1,327 | ||||||
| Harris County, Cultural Education Facilities Finance Corp., Memorial Hermann, Rev., 5.00%, 06/01/2032 (z) | 1,000 | 1,028 | ||||||
| Harris County, Toll Road Authority, Senior Lien, Series A, Rev., 5.00%, 08/15/2024 | 100 | 104 | ||||||
| Hidalgo County Regional Mobility Authority, Senior Lien, | ||||||||
| Series A, Rev., 5.00%, 12/01/2032 | 1,000 | 1,017 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Texas — continued | ||||||||
| Series A, Rev., 5.00%, 12/01/2033 | 575 | 582 | ||||||
| Series A, Rev., 5.00%, 12/01/2034 | 750 | 756 | ||||||
| Housing Options, Inc., The Oaks Project, Rev., 0.50%, 08/01/2041 (z) | 240 | 220 | ||||||
| Houston Higher Education Finance Corp., Houston Baptist University, Rev., 4.00%, 10/01/2051 | 1,100 | 823 | ||||||
| Houston Housing Finance Corp., Temenos Place Apartments, Rev., 0.29%, 08/01/2024 (z) | 60 | 58 | ||||||
| Katy Independent School District, Series B, GO, PSF-GTD, 5.00%, 02/15/2036 | 2,475 | 2,578 | ||||||
| Kilgore Independent School District, GO, PSF-GTD, 5.00%, 02/15/2026 | 450 | 474 | ||||||
| Lake Houston Redevelopment Authority, Rev., 4.00%, 09/01/2035 | 250 | 223 | ||||||
| Longview Independent School District, GO, PSF-GTD, 5.00%, 02/15/2023 | 575 | 579 | ||||||
| Love Field Airport Modernization Corp., Southwest Airlines Co. Project, Rev., AMT, 5.00%, 11/01/2028 | 2,000 | 2,001 | ||||||
| Lower Colorado River Authority, | ||||||||
| Rev., AGM, 5.00%, 05/15/2031 | 2,795 | 3,056 | ||||||
| Rev., AGM, 5.00%, 05/15/2032 | 5,040 | 5,499 | ||||||
| Lower Colorado River Authority, LCRA Transmission Services, | ||||||||
| Rev., 5.00%, 05/15/2023 | 2,265 | 2,289 | ||||||
| Rev., 5.00%, 05/15/2027 | 700 | 746 | ||||||
| Lower Colorado, River Authority, Transmission Services Contract, Rev., 5.00%, 05/15/2029 | 100 | 109 | ||||||
| Matagorda County Navigation District No. 1, Central Power and Light Co., Rev., AMT, 0.90%, 05/01/2030 (z) | 4,945 | 4,811 | ||||||
| Medina Valley Independent School District, GO, PSF-GTD, 0.82%, 02/15/2051 (z) | 615 | 544 | ||||||
| Metropolitan Transit Authority of Harris County Sales & Use Tax Revenue, Contractual Obligation, Series B, Rev., 5.00%, 11/01/2025 | 435 | 457 | ||||||
| Midland County Public Facility Corp., Palladium West Francis, Rev., 0.35%, 06/01/2024 (z) | 3,000 | 2,930 | ||||||
| New Hope Cultural Education Facilities Finance Corp., Children’s Health System, Series A, Rev., 5.00%, 08/15/2047 | 1,000 | 1,014 | ||||||
| New Hope Cultural Education Facilities Finance Corp., Westminster Project, Rev., 4.00%, 11/01/2049 | 100 | 77 | ||||||
| Newark Higher Education Finance Corp., Austin Achieve Public Schools, Rev., PSF-GTD, 5.00%, 06/15/2038 | 1,365 | 1,425 | ||||||
| North Central Texas Housing Finance Corp., Bluebonnet Ridge Apartment, Rev., 0.38%, 08/01/2040 (z) | 505 | 472 | ||||||
| North East Independent School District, Series C, GO, PSF-GTD, 2.05%, 08/01/2046 (z) | 2,665 | 2,628 | ||||||
| North Fort Bend Water Authority, Rev., BAM, 5.00%, 12/15/2026 | 1,520 | 1,618 | ||||||
| North Texas Municipal Water District Water System Revenue, Rev., 3.00%, 09/01/2041 | 575 | 447 | ||||||
| North Texas Tollway Authority, Series B, Rev., 5.00%, 01/01/2027 | 1,150 | 1,187 | ||||||
| North Texas Tollway Authority, Capital Appreciation, First Tier, Rev., AGC, Zero Coupon, 01/01/2030 | 1,500 | 1,120 | ||||||
| North Texas Tollway Authority, First Tier, Series A, Rev., 5.00%, 01/01/2025 | 390 | 391 | ||||||
| North Texas Tollway Authority, First Tier Bonds, | ||||||||
| Series A, Rev., 4.00%, 01/01/2035 | 2,000 | 1,915 | ||||||
| Series A, Rev., 5.00%, 01/01/2037 (w) | 1,500 | 1,584 | ||||||
| Series A, Rev., 5.00%, 01/01/2040 (w) | 4,000 | 4,178 | ||||||
| North Texas Tollway Authority, Second Tier, | ||||||||
| Series B, Rev., 4.00%, 01/01/2035 | 1,000 | 938 | ||||||
| Series B, Rev., 5.00%, 01/01/2027 | 215 | 225 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Texas — continued | ||||||||
| Series B, Rev., 5.00%, 01/01/2033 | 1,000 | 1,045 | ||||||
| North Texas Tollway Authority, System First Tier, Rev., 5.00%, 01/01/2023 (p) | 365 | 367 | ||||||
| Northside Independent School District, GO, PSF-GTD, 0.70%, 06/01/2050 (z) | 13,550 | 12,078 | ||||||
| Odessa Junior College District, Consolidated Fund, | ||||||||
| Rev., AGM, 4.00%, 07/01/2024 | 1,000 | 1,012 | ||||||
| Rev., AGM, 4.00%, 07/01/2026 | 1,015 | 1,035 | ||||||
| Pasadena Independent School District, GO, PSF-GTD, 5.00%, 02/15/2047 | 2,000 | 2,118 | ||||||
| Pearland Independent School District, GO, PSF-GTD, 5.00%, 02/15/2026 | 1,000 | 1,057 | ||||||
| Permanent University Fund - University of Texas System, Permanent University Fund Bonds, Rev., 5.00%, 07/01/2028 (w) | 800 | 869 | ||||||
| Port Authority of Houston of Harris County Texas, | ||||||||
| Rev., 5.00%, 10/01/2026 | 850 | 904 | ||||||
| Rev., 5.00%, 10/01/2028 | 1,250 | 1,361 | ||||||
| Rev., 5.00%, 10/01/2029 | 1,250 | 1,369 | ||||||
| Port Beaumont Navigation District, Jefferson Gulf Coast Energy, | ||||||||
| Rev., AMT, 2.00%, 01/01/2027 (e) | 550 | 479 | ||||||
| Rev., AMT, 2.25%, 01/01/2029 (e) | 800 | 655 | ||||||
| Rev., AMT, 2.88%, 01/01/2041 (e) | 120 | 78 | ||||||
| Port of Beaumont Industrial Development Authority, Taxable Jefferson Gulf Coast Energy, Rev., 4.10%, 01/01/2028 (e) | 3,000 | 2,348 | ||||||
| Prosper Independent School District, Series A, GO, PSF-GTD, 5.00%, 02/15/2030 | 25 | 28 | ||||||
| Rockwall Independent School District, Series A, GO, PSF-GTD, 5.00%, 02/15/2038 | 1,000 | 1,078 | ||||||
| Round Rock Independent School District, Series A, GO, PSF-GTD, 5.00%, 08/01/2031 | 1,000 | 1,092 | ||||||
| San Antonio Education Facilities Corp., University of The Incarnate Word, | ||||||||
| Rev., 4.00%, 04/01/2038 | 2,065 | 1,767 | ||||||
| Rev., 4.00%, 04/01/2041 | 1,000 | 830 | ||||||
| San Antonio Housing Trust Finance Corp., The Arbors At West Avenue, Rev., HUD, 1.45%, 03/01/2026 (z) | 805 | 759 | ||||||
| San Antonio Water System, Series 2013F, Rev., 1.00%, 05/01/2043 (z) | 5,000 | 4,423 | ||||||
| Spring Branch Independent School District, GO, PSF-GTD, 5.00%, 02/01/2023 | 65 | 65 | ||||||
| State of Texas, Series B, GO, 4.00%, 08/01/2030 | 60 | 61 | ||||||
| State of Texas, Mobility Fund, Series B, GO, 5.00%, 10/01/2032 | 14,655 | 15,294 | ||||||
| State of Texas, Water Financial Assistance, | ||||||||
| GO, 5.00%, 08/01/2024 | 125 | 129 | ||||||
| Series B, GO, 5.00%, 08/01/2037 | 1,000 | 1,036 | ||||||
| Strategic Housing Finance Corp. of Travis County, ECG Yager LP Yager, Rev., 0.46%, 09/01/2041 (z) | 2,500 | 2,276 | ||||||
| Tarrant County Cultural Education Facilities Finance Corp., Baylor Scott & White Health, Series A, Rev., 5.00%, 11/15/2045 | 2,195 | 2,194 | ||||||
| Tarrant County Cultural Education Facilities Finance Corp., Christus Health, Series B, Rev., 5.00%, 07/01/2035 | 1,110 | 1,142 | ||||||
| Tarrant County Cultural Education Facilities Finance Corp., Hendrick Medical Center, Taxable, | ||||||||
| Rev., AGM, 1.36%, 09/01/2024 | 800 | 751 | ||||||
| Rev., AGM, 1.39%, 09/01/2025 | 600 | 543 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Texas — continued | ||||||||
| Tarrant County Cultural Education Facilities Finance Corp., Methodist Hospitals of Dallas, | ||||||||
| Rev., 5.00%, 10/01/2030 | 1,000 | 1,097 | ||||||
| Rev., 5.00%, 10/01/2037 | 1,000 | 1,051 | ||||||
| Texas Department of Housing & Community Affairs, Series A, Rev., GNMA COLL, 4.00%, 03/01/2050 | 420 | 412 | ||||||
| Texas Department of Housing & Community Affairs, Corona Del Valle, Rev., HUD, 0.37%, 08/01/2025 (z) | 380 | 369 | ||||||
| Texas Department of Housing & Community Affairs, Palladium Simpson Stuart Apartments, Rev., 0.35%, 01/01/2025 (z) | 1,290 | 1,232 | ||||||
| Texas Department of Housing & Community Affairs, Social Bond, Series A, Rev., GNMA, 3.50%, 07/01/2052 | 1,150 | 1,098 | ||||||
| Texas Department of Housing & Community Affairs, Social Bonds, Series A, Rev., GNMA, 3.00%, 01/01/2052 | 2,260 | 2,127 | ||||||
| Texas Municipal Gas Acquisition & Supply Corp. III, | ||||||||
| Rev., 5.00%, 12/15/2022 | 200 | 200 | ||||||
| Rev., 5.00%, 12/15/2023 | 1,215 | 1,225 | ||||||
| Rev., 5.00%, 12/15/2024 | 835 | 846 | ||||||
| Rev., 5.00%, 12/15/2025 | 1,305 | 1,328 | ||||||
| Rev., 5.00%, 12/15/2028 | 4,950 | 5,091 | ||||||
| Rev., 5.00%, 12/15/2030 | 3,300 | 3,395 | ||||||
| Rev., 5.00%, 12/15/2031 | 2,000 | 2,052 | ||||||
| Texas Municipal Gas Acquisition and Supply Corp. I, Series D, Rev., 6.25%, 12/15/2026 | 6,050 | 6,286 | ||||||
| Texas Municipal Power Agency, Rev., AGM, 3.00%, 09/01/2038 | 500 | 395 | ||||||
| Texas Private Activity Bond Surface Transportation Corp., Rev., AMT, 5.00%, 06/30/2058 | 10,920 | 9,974 | ||||||
| Texas Private Activity Bond Surface Transportation Corp., LBJ Infrastructure Group, | ||||||||
| Rev., 4.00%, 12/31/2030 | 3,970 | 3,746 | ||||||
| Rev., 4.00%, 06/30/2033 | 1,000 | 917 | ||||||
| Texas State Affordable Housing Corp., Las Palmas Villa, Rev., HUD, 0.25%, 12/01/2024 (z) | 1,140 | 1,134 | ||||||
| Texas Transportation Commission, Transportation Commission Mobility, GO, 0.65%, 10/01/2041 (z) | 4,500 | 4,035 | ||||||
| Texas Water Development Board, Master Trust, Rev., 4.00%, 10/15/2033 | 1,000 | 1,011 | ||||||
| Texas Water Development Board, Revolving Fund, | ||||||||
| Rev., 4.00%, 08/01/2038 | 500 | 474 | ||||||
| Rev., 5.00%, 08/01/2024 | 250 | 258 | ||||||
| Rev., 5.00%, 08/01/2028 | 125 | 136 | ||||||
| Series A, Rev., 5.00%, 10/15/2028 | 100 | 108 | ||||||
| Texas Water Development Board, State Water Implementation Fund, | ||||||||
| Series A, Rev., 4.00%, 10/15/2033 | 1,900 | 1,922 | ||||||
| Series A, Rev., 5.00%, 04/15/2026 | 100 | 106 | ||||||
| Series A, Rev., 5.00%, 10/15/2030 | 500 | 523 | ||||||
| Series A, Rev., 5.00%, 10/15/2047 | 2,480 | 2,584 | ||||||
| Series B, Rev., 5.00%, 04/15/2049 | 11,535 | 11,905 | ||||||
| Texas Water Development Board, State Water Implementation Revenue, Rev., 5.25%, 10/15/2046 | 2,000 | 2,096 | ||||||
| Tomball Independent School District, School Building, Series B2, GO, PSF-GTD, 0.26%, 02/15/2039 (z) | 3,055 | 2,871 | ||||||
| Travis County Housing Finance Corp., Montopolis Apartments, Rev., 0.40%, 07/01/2041 (z) | 1,930 | 1,802 | ||||||
| Trinity River Authority Central Regional Wastewater System Revenue, Rev., 5.00%, 08/01/2029 | 1,500 | 1,643 | ||||||
| University of Texas, Series C, Rev., 5.00%, 08/15/2028 | 100 | 109 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Texas — continued | ||||||||
| Upper Trinity Regional Water District, Rev., 4.00%, 08/01/2024 | 900 | 909 | ||||||
| Upper Trinity Regional Water District, Regional Treated Water Supply, Rev., BAM, 3.00%, 08/01/2023 | 715 | 713 | ||||||
| Uptown Development Authority, | ||||||||
| Tax Allocation, 4.00%, 09/01/2033 | 400 | 360 | ||||||
| Tax Allocation, 4.00%, 09/01/2035 | 995 | 876 | ||||||
| Waco Educational Finance Corp., Baylor University Issue, Series A, Rev., 4.00%, 03/01/2036 | 750 | 698 | ||||||
|
|
|
|||||||
| 436,384 | ||||||||
|
|
|
|||||||
| Utah — 0.5% | ||||||||
| City of Salt Lake City Airport Revenue, Series A, Rev., AMT, 5.00%, 07/01/2037 | 5,000 | 5,070 | ||||||
| County of Utah, IHC Health Services, Inc., Series B, Rev., 5.00%, 05/15/2060 (z) | 2,625 | 2,746 | ||||||
| Downtown East Streetcar Sewer Public Infrastructure District, Senior Lien, Series A, GO, 6.00%, 03/01/2053 (e) | 1,415 | 1,309 | ||||||
| Granite School District Board of Education, GO, SCH BD GTY, 5.00%, 06/01/2024 | 150 | 154 | ||||||
| Intermountain Power Agency, Series A, Rev., 5.00%, 07/01/2030 | 500 | 555 | ||||||
| Provo School District, GO, SCH BD GTY, 5.00%, 06/15/2028 | 2,000 | 2,178 | ||||||
| Red Bridge Public Infrastructure District No. 1, Senior Infrastructure District, Series 1A, GO, 3.63%, 02/01/2035 (e) | 600 | 469 | ||||||
| State of Utah, | ||||||||
| GO, 5.00%, 07/01/2024 | 100 | 103 | ||||||
| GO, 5.00%, 07/01/2030 | 2,000 | 2,199 | ||||||
| Series B, GO, 5.00%, 07/01/2025 | 2,250 | 2,364 | ||||||
| Series B, GO, 5.00%, 07/01/2029 | 100 | 110 | ||||||
| University of Utah (The), Series A, Rev., 5.00%, 08/01/2039 | 1,505 | 1,585 | ||||||
| University of Utah, Board of Regents, Series A, Rev., 4.00%, 08/01/2040 | 1,750 | 1,640 | ||||||
| Utah Housing Corp., Drawdown New City, Rev., HUD, 3.50%, 08/01/2025 (z) | 900 | 889 | ||||||
| Utah Transit Authority, Series A, Rev., 5.25%, 06/15/2023 | 85 | 86 | ||||||
| Vineyard Redevelopment Agency, | ||||||||
| Tax Allocation, AGM, 5.00%, 05/01/2023 | 725 | 733 | ||||||
| Tax Allocation, AGM, 5.00%, 05/01/2024 | 190 | 195 | ||||||
| Tax Allocation, AGM, 5.00%, 05/01/2025 | 615 | 639 | ||||||
|
|
|
|||||||
| 23,024 | ||||||||
|
|
|
|||||||
| Vermont — 0.0% (g) | ||||||||
| Vermont Housing Finance Agency, Series A, Rev., GNMA/FNMA/FHLMC COLL, 4.00%, 11/01/2049 | 340 | 334 | ||||||
| Vermont Municipal Bond Bank, Vermont State Colleges System, Series A, Rev., 4.00%, 10/01/2034 | 250 | 252 | ||||||
| Vermont Student Assistance Corp., Series A, Rev., AMT, 2.38%, 06/15/2039 | 680 | 567 | ||||||
|
|
|
|||||||
| 1,153 | ||||||||
|
|
|
|||||||
| Virgin Islands — 0.0% (g) | ||||||||
| Matching Fund Special Purpose Securitization Corp., Series A, Rev., 5.00%, 10/01/2027 | 1,505 | 1,546 | ||||||
|
|
|
|||||||
| Virginia — 1.7% | ||||||||
| Albemarle County Economic Development Authority, Westminster Canterbury of the Blue Ridge, Rev., 4.00%, 06/01/2035 | 1,365 | 1,240 | ||||||
| Chesapeake Hospital Authority, Chesapeake Regional Medical Center, Rev., 5.00%, 07/01/2030 | 300 | 313 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Virginia — continued | ||||||||
| Chesapeake Hospital Authority, Regional Medical Center, Rev., 5.00%, 07/01/2028 | 550 | 577 | ||||||
| County of Fairfax, Public Improvement, Series A, GO, 5.00%, 10/01/2031 (p) | 945 | 1,001 | ||||||
| County of Fairfax, Sewer Revenue, Series B, Rev., 4.00%, 07/15/2038 | 500 | 484 | ||||||
| Fairfax County Industrial Development Authority, Inova Health System Project, Rev., 5.00%, 05/15/2029 | 2,000 | 2,172 | ||||||
| Fairfax County Redevelopment & Housing Authority, Arrowbrook Apartments Project, Rev., 0.41%, 01/01/2041 (z) | 225 | 213 | ||||||
| Fairfax County Redevelopment & Housing Authority, One University Senior Apartments, Rev., 1.25%, 12/01/2025 (z) | 4,680 | 4,419 | ||||||
| FHLMC Multifamily VRD Certificates, Series M67, Rev., 2.25%, 12/15/2037 | 985 | 785 | ||||||
| Hampton Roads Transportation Accountability Commission, Senior Lien, | ||||||||
| Series A, Rev., 5.00%, 07/01/2031 | 1,500 | 1,656 | ||||||
| Series A, Rev., 5.00%, 07/01/2032 | 4,495 | 4,945 | ||||||
| Series A, Rev., 5.00%, 07/01/2038 (p) | 1,000 | 1,085 | ||||||
| Series A, Rev., 5.00%, 07/01/2039 | 2,100 | 2,238 | ||||||
| Henrico County Economic Development Authority, Westminster Canterbury Richmond, Rev., 5.00%, 10/01/2042 | 100 | 103 | ||||||
| Hopewell Redevelopment & Housing Authority, Hopewell Heights Apartment, Rev., HUD, 0.49%, 12/01/2024 (z) | 750 | 720 | ||||||
| James City County Economic Development Authority, Williamsburg Landing, Series A, Rev., 4.00%, 12/01/2035 | 150 | 128 | ||||||
| Louisa Industrial Development Authority, Virginia Electric And Power Co. Project, Series B, Rev., 0.75%, 11/01/2035 (z) | 2,125 | 1,943 | ||||||
| Lynchburg Economic Development Authority, Centra Health Obligation Group, | ||||||||
| Rev., 4.00%, 01/01/2038 | 1,100 | 989 | ||||||
| Rev., 5.00%, 01/01/2029 | 700 | 731 | ||||||
| Norfolk Airport Authority, Rev., 5.00%, 07/01/2038 | 1,175 | 1,215 | ||||||
| Upper Occoquan Sewage Authority, | ||||||||
| Rev., 4.00%, 07/01/2033 (p) | 2,630 | 2,685 | ||||||
| Rev., 5.00%, 07/01/2027 (p) | 2,485 | 2,603 | ||||||
| Virginia Beach Development Authority, Westminster Canterbury, Rev., 5.00%, 09/01/2044 | 2,215 | 2,002 | ||||||
| Virginia College Building Authority, Series B, Rev., 5.00%, 09/01/2023 | 1,000 | 1,017 | ||||||
| Virginia College Building Authority, 21st Century College and Equipment, | ||||||||
| Rev., 5.00%, 02/01/2033 | 3,750 | 4,099 | ||||||
| Rev., 5.00%, 02/01/2029 | 1,000 | 1,096 | ||||||
| Virginia College Building Authority, Marymount University Project, Series A, Rev., 5.00%, 07/01/2045 (e) | 1,000 | 929 | ||||||
| Virginia College Building Authority, Regent University Project, Rev., 5.00%, 06/01/2023 | 165 | 166 | ||||||
| Virginia Commonwealth Transportation Board, Rev., 5.00%, 05/15/2027 | 1,500 | 1,624 | ||||||
| Virginia Public Building Authority, Series A, Rev., 4.00%, 08/01/2027 (p) | 2,000 | 2,014 | ||||||
| Virginia Public Building Authority, Bidding Group 1, Series A, Rev., 5.00%, 08/01/2033 | 1,000 | 1,117 | ||||||
| Virginia Resources Authority, Series A, Rev., 5.00%, 11/01/2024 (p) | 105 | 107 | ||||||
| Virginia Resources Authority, Virginia Pooled Financing, Rev., 5.00%, 11/01/2028 | 1,510 | 1,648 | ||||||
| Virginia Resources Authority, Virginia Pooled Financing Program, Rev., 5.00%, 11/01/2028 | 1,000 | 1,093 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Virginia — continued | ||||||||
| Virginia Small Business Financing Authority, Lifespire of Virginia, | ||||||||
| Rev., 3.00%, 12/01/2022 | 50 | 50 | ||||||
| Rev., 3.00%, 12/01/2023 | 35 | 34 | ||||||
| Virginia Small Business Financing Authority, National Senior Campuses, | ||||||||
| Series A, Rev., 5.00%, 01/01/2025 | 700 | 715 | ||||||
| Series A, Rev., 5.00%, 01/01/2032 | 1,500 | 1,565 | ||||||
| Virginia Small Business Financing Authority, Senior Lien 95 Express, | ||||||||
| Rev., AMT, 5.00%, 07/01/2032 | 400 | 409 | ||||||
| Rev., AMT, 5.00%, 01/01/2036 | 200 | 202 | ||||||
| Rev., AMT, 5.00%, 07/01/2037 | 1,000 | 1,005 | ||||||
| Virginia Small Business Financing Authority, Senior Lien, 495 Hot, | ||||||||
| Rev., AMT, 5.00%, 06/30/2040 | 3,735 | 3,744 | ||||||
| Rev., AMT, 5.00%, 06/30/2041 | 3,470 | 3,471 | ||||||
| Rev., AMT, 5.00%, 12/31/2047 | 1,000 | 977 | ||||||
| Virginia Small Business Financing Authority, Senior Lien, Elizabeth River, | ||||||||
| Rev., AMT, 3.00%, 01/01/2041 | 8,740 | 6,313 | ||||||
| Rev., AMT, 4.00%, 01/01/2030 | 3,125 | 3,016 | ||||||
| Rev., AMT, 4.00%, 01/01/2033 | 1,500 | 1,404 | ||||||
| Rev., AMT, 4.00%, 01/01/2034 | 2,250 | 2,081 | ||||||
| Virginia Small Business Financing Authority, Transform 66 P3 Project, | ||||||||
| Rev., AMT, 5.00%, 12/31/2049 | 1,500 | 1,419 | ||||||
| Rev., AMT, 5.00%, 12/31/2056 | 6,000 | 5,574 | ||||||
| Wise County Industrial Development Authority, Electric and Power Company Project, Series A, Rev., 0.75%, 10/01/2040 (z) | 4,500 | 4,114 | ||||||
|
|
|
|||||||
| 85,250 | ||||||||
|
|
|
|||||||
| Washington — 3.0% | ||||||||
| Central Puget Sound Regional Transit Authority, Green Bond, Series S1, Rev., 5.00%, 11/01/2035 (p) | 1,085 | 1,143 | ||||||
| Chelan County Public Utility District No. 1, Series C, Rev., AMT, 5.00%, 07/01/2026 | 1,285 | 1,348 | ||||||
| City of Seattle Municipal Light & Power Revenue, Series B, Rev., (SIFMA Municipal Swap Index + 0.25%), 2.71%, 05/01/2045 (aa) | 2,960 | 2,881 | ||||||
| City of Seattle Municipal Light & Power Revenue, Green Bond, Series A, Rev., 4.00%, 07/01/2040 | 1,300 | 1,212 | ||||||
| City of Seattle, Drainage & Wastewater Revenue, Rev., 4.00%, 05/01/2044 | 945 | 858 | ||||||
| City of Seattle, Municipal Light & Power Revenue, Rev., 4.00%, 09/01/2040 | 1,000 | 932 | ||||||
| Clark County Public Utility District No. 1, Rev., 4.00%, 01/01/2034 | 665 | 667 | ||||||
| County of Grant, GO, 5.25%, 12/01/2047 | 1,000 | 1,062 | ||||||
| County of King, Series A, GO, 5.00%, 12/01/2034 | 1,335 | 1,457 | ||||||
| County of King, Sewer Revenue, Rev., AGM, 5.00%, 01/01/2047 | 5,000 | 5,120 | ||||||
| Energy Northwest Washington, Project 3 Electric Revenue, Series C, Rev., 5.00%, 07/01/2027 | 100 | 108 | ||||||
| Everett Housing Authority, Baker Heights Legacy, Rev., 0.30%, 09/01/2024 (z) | 575 | 556 | ||||||
| Grant County, Public Utility District No. 2, Electric Revenue, | ||||||||
| Series 2017-O, Rev., 5.00%, 01/01/2047 | 4,950 | 5,161 | ||||||
| Series R, Rev., 2.00%, 01/01/2044 (z) | 1,500 | 1,439 | ||||||
| HopeSource III Portfolio Projects, Rev., 1.25%, 01/01/2025 (z) | 2,765 | 2,659 | ||||||
| King & Snohomish Counties School District No. 417 Northshore, GO, SCH BD GTY, 4.00%, 12/01/2032 | 1,000 | 1,008 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Washington — continued | ||||||||
| King County Housing Authority, Rev., 5.00%, 11/01/2029 | 1,325 | 1,432 | ||||||
| Pierce County School District No. 10 Tacoma, Social Bonds, Series B, GO, SCH BD GTY, 4.00%, 12/01/2042 | 10,000 | 9,120 | ||||||
| Port of Seattle, Series C, Rev., AMT, 5.00%, 04/01/2028 | 500 | 513 | ||||||
| Port of Seattle, Intermediate Lien, | ||||||||
| Rev., AMT, 5.00%, 04/01/2028 | 2,250 | 2,363 | ||||||
| Rev., AMT, 5.00%, 08/01/2028 | 1,000 | 1,053 | ||||||
| Rev., AMT, 5.00%, 04/01/2030 | 4,000 | 4,200 | ||||||
| Rev., AMT, 5.00%, 04/01/2032 | 2,110 | 2,207 | ||||||
| Rev., AMT, 5.00%, 04/01/2044 | 2,000 | 2,001 | ||||||
| Rev., AMT, 5.00%, 08/01/2046 | 3,500 | 3,483 | ||||||
| Rev., AMT, 5.00%, 08/01/2047 | 1,250 | 1,242 | ||||||
| Rev., AMT, 5.50%, 08/01/2047 | 1,000 | 1,035 | ||||||
| Series C, Rev., AMT, 5.00%, 08/01/2034 | 5,000 | 5,170 | ||||||
| Seattle Housing Authority, Lam Bow Apartments Project, Rev., 1.25%, 06/01/2024 | 120 | 116 | ||||||
| Seattle Housing Authority, Northgate Plaza Project, Rev., 1.00%, 06/01/2026 | 2,045 | 1,869 | ||||||
| Skagit County Public Hospital District No. 1, Improvement Skagit Regional Health, Rev., 5.00%, 12/01/2031 | 2,145 | 2,184 | ||||||
| Snohomish County School District No. 201 Snohomish, GO, SCH BD GTY, 5.00%, 12/01/2028 | 1,500 | 1,640 | ||||||
| Spokane County School District No. 81 Spokane, Series C, GO, SCH BD GTY, 5.00%, 12/01/2034 | 2,000 | 2,117 | ||||||
| State of Washington, | ||||||||
| Series 2020A, GO, 5.00%, 08/01/2038 | 1,500 | 1,593 | ||||||
| Series 2021A, GO, 5.00%, 06/01/2034 | 1,000 | 1,085 | ||||||
| Series A1, GO, 5.00%, 08/01/2040 | 13,645 | 14,071 | ||||||
| Series A3, GO, 5.00%, 08/01/2044 | 1,000 | 1,064 | ||||||
| Series A, GO, 5.00%, 08/01/2036 | 1,475 | 1,585 | ||||||
| Series A, GO, 5.00%, 08/01/2040 | 3,890 | 4,134 | ||||||
| Series B, GO, 5.00%, 07/01/2025 | 75 | 79 | ||||||
| Series B, GO, 5.00%, 06/01/2035 | 4,760 | 5,128 | ||||||
| Series R, GO, 5.00%, 02/01/2031 | 1,000 | 1,114 | ||||||
| Series R, GO, 5.00%, 08/01/2031 | 750 | 838 | ||||||
| Series RC, GO, 5.00%, 08/01/2029 | 100 | 108 | ||||||
| Series R-2017A, GO, 5.00%, 08/01/2034 | 1,840 | 1,929 | ||||||
| Series R-2022B, GO, 4.00%, 02/01/2035 | 500 | 495 | ||||||
| State of Washington, Bid Group, Series C, GO, 5.00%, 02/01/2024 | 1,000 | 1,024 | ||||||
| State of Washington, MVFT/VRF GO Bonds, | ||||||||
| Series F, GO, 5.00%, 06/01/2034 | 4,080 | 4,464 | ||||||
| Series F, GO, 5.00%, 06/01/2038 | 2,775 | 2,979 | ||||||
| State of Washington, Various Purpose, Series 2015A1, GO, 5.00%, 08/01/2036 | 11,200 | 11,456 | ||||||
| Thurston County School District No. 111 Olympia, GO, SCH BD GTY, 5.00%, 12/01/2026 | 1,275 | 1,363 | ||||||
| Washington Health Care Facilities Authority, Fred Hutchinson Cancer, Series C, Rev., (SIFMA Municipal Swap Index + 1.05%), 3.51%, 01/01/2042 (p) (aa) | 13,000 | 13,012 | ||||||
| Washington Health Care Facilities Authority, Multicare Health System, Series B, Rev., 5.00%, 08/15/2037 | 1,200 | 1,231 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Washington — continued | ||||||||
| Washington Health Care Facilities Authority, Seattle Cancer Care Alliance, | ||||||||
| Rev., 4.00%, 12/01/2040 (e) | 860 | 767 | ||||||
| Rev., 4.00%, 09/01/2050 | 5,000 | 4,228 | ||||||
| Rev., 5.00%, 09/01/2045 | 1,000 | 994 | ||||||
| Washington State Housing Finance Commission, | ||||||||
| Series A1, Rev., 3.50%, 12/20/2035 | 1,927 | 1,636 | ||||||
| Series 2N, Rev., GNMA/FNMA/FHLMC COLL, 3.00%, 12/01/2050 | 770 | 733 | ||||||
| Washington State Housing Finance Commission, Downtowner Apartments Project, Rev., LIQ: FHLMC, 3.70%, 07/01/2030 | 2,000 | 1,922 | ||||||
| Washington State Housing Finance Commission, Garden Haus Apartments Project, Rev., 0.37%, 07/01/2024 (z) | 350 | 341 | ||||||
| Washington State Housing Finance Commission, Horizon House Project, Rev., 5.00%, 01/01/2023 (e) | 275 | 276 | ||||||
| Washington State Housing Finance Commission, Rockwood Retirement Communities, Rev., 3.00%, 07/01/2027 (e) | 1,000 | 876 | ||||||
| Washington State Housing Finance Commission, Social Bond, Series 2N, Rev., GNMA/FNMA/FHLMC, 3.00%, 06/01/2051 | 985 | 921 | ||||||
|
|
|
|||||||
| 150,802 | ||||||||
|
|
|
|||||||
| West Virginia — 0.1% | ||||||||
| Marshall University, Series A, Rev., AGM, 5.00%, 05/01/2030 | 300 | 327 | ||||||
| Monongalia County Commission Excise Tax District, Series A, Rev., 4.13%, 06/01/2043 (e) | 500 | 425 | ||||||
| Monongalia County Commission Special District, Refunding and Improvement, University Town Center, Series A, Rev., 5.50%, 06/01/2037 (e) | 1,050 | 1,051 | ||||||
| Monongalia County Commission Special District, University Town Center, Series A, Rev., 5.75%, 06/01/2043 (e) | 500 | 501 | ||||||
| West Virginia Economic Development Authority, Appalachian Power Company Amos Project, Rev., AMT, 1.00%, 01/01/2041 (z) | 2,765 | 2,468 | ||||||
| West Virginia Parkways Authority, Senior Lien, Rev., 5.00%, 06/01/2038 | 1,000 | 1,079 | ||||||
| West Virginia University, Series A, Rev., 5.00%, 10/01/2029 (p) | 130 | 130 | ||||||
|
|
|
|||||||
| 5,981 | ||||||||
|
|
|
|||||||
| Wisconsin — 2.1% | ||||||||
| City of Milwaukee, Promissory Notes, Series N4, GO, 5.00%, 04/01/2030 | 10,150 | 10,998 | ||||||
| City of Milwaukee, Sewerage System Revenue, Series S7, Rev., 5.00%, 06/01/2026 | 2,665 | 2,801 | ||||||
| County of Milwaukee, Airport Revenue, Series A, Rev., 5.00%, 12/01/2028 | 250 | 269 | ||||||
| Public Finance Authority, Appalachian Healthcare System, | ||||||||
| Rev., 5.00%, 07/01/2036 | 350 | 353 | ||||||
| Rev., 5.00%, 07/01/2037 | 300 | 301 | ||||||
| Rev., 5.00%, 07/01/2039 | 350 | 349 | ||||||
| Public Finance Authority, Carmelite System, Social Bonds, Rev., 5.00%, 01/01/2045 | 1,105 | 1,059 | ||||||
| Public Finance Authority, Duke Energy Progress, Rev., 3.70%, 10/01/2046 (z) | 1,500 | 1,453 | ||||||
| Public Finance Authority, Lenoir Rhyne University, | ||||||||
| Rev., 5.00%, 04/01/2036 | 1,625 | 1,534 | ||||||
| Rev., 5.00%, 04/01/2037 | 1,705 | 1,600 | ||||||
| Public Finance Authority, Point College Prep Project, | ||||||||
| Rev., 4.00%, 06/15/2030 (e) | 200 | 178 | ||||||
| Rev., 5.00%, 06/15/2041 (e) | 250 | 207 | ||||||
| Public Finance Authority, Renown Regional Medical Center Project, | ||||||||
| Rev., 5.00%, 06/01/2026 | 500 | 522 | ||||||
| Rev., 5.00%, 06/01/2027 | 425 | 444 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Wisconsin — continued | ||||||||
| Rev., 5.00%, 06/01/2028 | 600 | 630 | ||||||
| Rev., 5.00%, 06/01/2034 | 1,000 | 1,026 | ||||||
| Public Finance Authority, Senior Lien, Grand Hyatt San Antonio Hotel Acquisition Project, Rev., 5.00%, 02/01/2042 | 4,000 | 3,688 | ||||||
| Public Finance Authority, Sky Harbour Capital LLC, Rev., AMT, 4.00%, 07/01/2036 | 815 | 640 | ||||||
| Public Finance Authority, United Methodist Retirement, Rev., 4.00%, 10/01/2026 | 60 | 59 | ||||||
| Public Finance Authority, Variable Ref Providence St. Joseph Health, Series C, Rev., 4.00%, 10/01/2041 (z) | 935 | 927 | ||||||
| Public Finance Authority, Waste Management, Inc. Project, | ||||||||
| Rev., AMT, 1.10%, 07/01/2029 (z) | 1,445 | 1,289 | ||||||
| Rev., AMT, 2.63%, 11/01/2025 | 5,000 | 4,774 | ||||||
| State of Wisconsin, | ||||||||
| Series 1, GO, 5.00%, 05/01/2027 | 2,400 | 2,571 | ||||||
| Series 3, GO, 5.00%, 11/01/2027 | 1,000 | 1,074 | ||||||
| Series 20212, GO, 5.00%, 05/01/2026 | 5,850 | 6,188 | ||||||
| Series B, GO, 4.00%, 05/01/2039 | 500 | 480 | ||||||
| Series B, GO, 5.00%, 05/01/2035 | 10,580 | 11,407 | ||||||
| University of Wisconsin Hospitals & Clinics, Green Bond University of Wisconsin Hospital, Rev., 4.00%, 04/01/2035 | 440 | 415 | ||||||
| Wisconsin Center District, Capital Appreciation Senior Dedicated, | ||||||||
| Series C, Rev., AGM, Zero Coupon, 12/15/2036 | 1,550 | 781 | ||||||
| Series C, Rev., AGM, Zero Coupon, 12/15/2039 | 1,750 | 733 | ||||||
| Series C, Rev., AGM, Zero Coupon, 12/15/2040 | 1,650 | 648 | ||||||
| Series D, Rev., AGM, Zero Coupon, 12/15/2028 | 545 | 426 | ||||||
| Series D, Rev., AGM, Zero Coupon, 12/15/2029 | 395 | 295 | ||||||
| Wisconsin Department of Transportation, Series A, Rev., 5.00%, 07/01/2027 | 1,675 | 1,805 | ||||||
| Wisconsin Health & Educational Facilities Authority, | ||||||||
| Rev., 5.00%, 10/01/2029 | 5,940 | 6,398 | ||||||
| Rev., 5.00%, 10/01/2030 | 6,355 | 6,923 | ||||||
| Wisconsin Health & Educational Facilities Authority Revenue, Ascension Senior Credit Group, Rev., 5.00%, 11/15/2027 | 500 | 534 | ||||||
| Wisconsin Health & Educational Facilities Authority Revenue, Marshfield Clinic Health System, Series B1, Rev., 5.00%, 02/15/2052 (z) | 2,000 | 2,050 | ||||||
| Wisconsin Health & Educational Facilities Authority, Ascension Senior Credit Group, Rev., 5.00%, 11/15/2036 | 1,500 | 1,542 | ||||||
| Wisconsin Health & Educational Facilities Authority, Froedtert Health, Inc., | ||||||||
| Series A, Rev., 5.00%, 04/01/2030 | 1,280 | 1,378 | ||||||
| Series A, Rev., 5.00%, 04/01/2033 | 1,010 | 1,072 | ||||||
| Wisconsin Health & Educational Facilities Authority, Froedtert Health, Inc. Obligated, Rev., 5.00%, 04/01/2035 | 1,325 | 1,373 | ||||||
| Wisconsin Health & Educational Facilities Authority, Gundersen Health System, | ||||||||
| Rev., 4.00%, 10/15/2035 | 545 | 512 | ||||||
| Rev., 4.00%, 10/15/2036 | 3,525 | 3,294 | ||||||
| Wisconsin Health & Educational Facilities Authority, Marshfield Clinic Health System, | ||||||||
| Rev., 5.00%, 02/15/2051 (z) | 2,600 | 2,701 | ||||||
| Series B, Rev., 5.00%, 02/15/2042 | 1,000 | 985 | ||||||
| Series B, Rev., 5.00%, 02/15/2046 | 4,550 | 4,473 | ||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Wisconsin — continued | ||||||||
| Wisconsin Health & Educational Facilities Authority, St. John’s Communities, Inc. Project, | ||||||||
| Series A, Rev., 5.00%, 09/15/2045 (p) | 1,000 | 1,015 | ||||||
| Series A, Rev., 5.00%, 09/15/2050 (p) | 1,725 | 1,752 | ||||||
| Wisconsin Housing & Economic Development Authority, | ||||||||
| Series B, Rev., HUD, 0.40%, 05/01/2045 (z) | 195 | 188 | ||||||
| Series B, Rev., HUD, 0.50%, 11/01/2050 (z) | 245 | 224 | ||||||
| Series D, Rev., 4.00%, 03/01/2047 | 115 | 113 | ||||||
| Wisconsin Housing & Economic Development Authority, Social Bond, Series A, Rev., 3.00%, 03/01/2052 | 890 | 840 | ||||||
| Wisconsin Housing & Economic Development Authority, Social Bonds, Series C, Rev., GNMA/FHLMC/FNMA COLL, 3.00%, 09/01/2052 | 1,325 | 1,247 | ||||||
| Wisconsin Rapids School District, GO, 5.00%, 04/01/2026 | 1,110 | 1,169 | ||||||
|
|
|
|||||||
| 101,707 | ||||||||
|
|
|
|||||||
| Wyoming — 0.2% | ||||||||
| County of Laramie, Cheyenne Regional Medical Center, | ||||||||
| Rev., 4.00%, 05/01/2026 | 615 | 622 | ||||||
| Rev., 4.00%, 05/01/2028 | 460 | 467 | ||||||
| County of Sweetwater, Idaho Power Company Project, Rev., 1.70%, 07/15/2026 | 1,045 | 939 | ||||||
| Wyoming Community Development Authority, | ||||||||
| Series 2, Rev., VRDO, LIQ: Royal Bank of Canada, 2.50%, 10/07/2022 (z) | 3,000 | 3,000 | ||||||
| Series 2, Rev., 3.00%, 06/01/2049 | 1,305 | 1,245 | ||||||
| Series 3, Rev., GNMA/FHLMC/FNMA COLL, 3.00%, 06/01/2050 | 1,575 | 1,507 | ||||||
|
|
|
|||||||
| 7,780 | ||||||||
|
|
|
|||||||
| Total Municipal Bonds (Cost $5,340,108) |
4,765,479 | |||||||
|
|
|
|||||||
| Short-Term Investments — 2.9% | ||||||||
| Municipal Bonds — 0.3% (t) | ||||||||
| City of Los Angeles, Rev., TRAN, 4.00%, 06/29/2023 | 2,000 | 2,014 | ||||||
| Katy Independent School District, GO, PSF-GTD, 5.00%, 02/15/2023 | 1,000 | 1,007 | ||||||
| Port Authority of Houston of Harris County Texas, Rev., 5.00%, 10/01/2022 | 2,000 | 2,000 | ||||||
| San Diego Unified School District, Series A, Rev., TRAN, 4.00%, 06/30/2023 | 825 | 831 | ||||||
| State of Illinois, Series A, GO, 5.00%, 03/01/2023 | 500 | 503 | ||||||
| Town of Oyster Bay, Notes, GO, 3.00%, 03/09/2023 | 10,000 | 9,998 | ||||||
|
|
|
|||||||
| Total Municipal Bonds | 16,353 | |||||||
|
|
|
|||||||
| Time Deposits — 2.6% | ||||||||
| Australia & New Zealand Banking Group Ltd., 2.43%, 10/03/2022 | 18,650 | 18,650 | ||||||
| Citibank NA, 2.43%, 10/03/2022 | 62,610 | 62,610 | ||||||
| Royal Bank of Canada, 2.43%, 10/03/2022 | 47,559 | 47,559 | ||||||
|
|
|
|||||||
| Total Time Deposits | 128,819 | |||||||
|
|
|
|||||||
| Total Short-Term Investments (Cost $145,278) |
145,172 | |||||||
|
|
|
|||||||
| Total Investments — 98.9% (Cost - $5,486,250)* |
4,911,224 | |||||||
| Other Assets in Excess of Liabilities — 1.1% |
56,849 | |||||||
|
|
|
|||||||
| NET ASSETS — 100.0% |
$ | 4,968,073 | ||||||
|
|
|
|||||||
Percentages indicated are based on net assets.
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Futures contracts outstanding as of September 30, 2022:
Exchange Traded
| DESCRIPTION |
NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT ($) |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
|||||||||||||||
| Long Contracts |
||||||||||||||||||||
| U.S. Treasury 5 Year Note |
263 | 12/2022 | USD | 29,170 | (896 | ) | ||||||||||||||
| Short Contracts |
||||||||||||||||||||
| U.S. Treasury 10 Year Note |
(25) | 12/2022 | USD | (2,943 | ) | 141 | ||||||||||||||
| U.S. Treasury 2 Year Note | (47) | 12/2022 | USD | (9,655 | ) | 2 | ||||||||||||||
| U.S. Treasury Ultra Bond | (25) | 12/2022 | USD | (3,696 | ) | 271 | ||||||||||||||
| U.S. Ultra Treasury 10 Year Note | (122) | 12/2022 | USD | (15,361 | ) | 906 | ||||||||||||||
|
|
|
|||||||||||||||||||
| 1,320 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized appreciation (depreciation) |
424 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
Six Circles Tax Aware Bond Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
| ||||
| AGC | — | Insured by Assured Guaranty Corp. | ||
| AGM | — | Insured by Assured Guaranty Municipal Corp. | ||
| AMBAC | — | Insured by American Municipal Bond Assurance Corp. | ||
| AMT | — | Alternative Minimum Tax | ||
| BAM | — | Insured by Build America Mutual | ||
| BAN | — | Bond Anticipation Note | ||
| BHAC | — | Insured by Berkshire Hathaway Assurance Corp. | ||
| CNTY | — | County | ||
| COLL | — | Collateral | ||
| COP | — | Certificate of Participation | ||
| CR | — | Custodial Receipts | ||
| FHA | — | Federal Housing Administration | ||
| FHLMC | — | Federal Home Loan Mortgage Corp. | ||
| FNMA | — | Federal National Mortgage Association | ||
| GNMA | — | Government National Mortgage Association | ||
| GO | — | General Obligation | ||
| GTD | — | Guaranteed | ||
| HUD | — | U.S. Department of Housing and Urban Development | ||
| ICE | — | Intercontinental Exchange | ||
| LIBOR | — | London Interbank Offered Rate | ||
| LIQ | — | Liquidity Agreement | ||
| LOC | — | Letter of Credit | ||
| NATL | — | Insured by National Public Finance Guarantee Corp. | ||
| PSF | — | Permanent School Fund | ||
| Q-SBLF | — | Qualified School Bond Loan Fund | ||
| RE | — | Reinsured | ||
| Rev. | — | Revenue | ||
| SCH BD GTY | — | School Bond Guaranty | ||
| SIFMA | — | Securities Industry and Financial Markets Association | ||
| SOFR | — | Secured Overnight Financing Rate | ||
| SONYMA | — | State of New York Mortgage Agency | ||
| TRAN | — | Tax & Revenue Anticipation Note | ||
| VRDO | — | Variable Rate Demand Obligation. The interest rate shown is the rate in effect as of September 30, 2022. | ||
| (d) | — | Defaulted Security. Security has not paid its last interest payment and/or interest is not being accrued. | ||
| (e) | — | Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. | ||
| (g) | — | Amount rounds to less than 0.05%. | ||
| (p) | — | Security is prerefunded or escrowed to maturity. | ||
| (t) | — | The date shown represents the earliest of the next put date or final maturity date. | ||
| (w) | — | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | ||
| (z) | — | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of September 30, 2022. | ||
| (aa) | — | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of September 30, 2022. | ||
| * | — | The cost of securities is substantially the same for federal income tax purposes. | ||
| USD | — | United States Dollar | ||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 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 — 2.5% |
| |||||||
| Ally Auto Receivables Trust, Series 2019-3, Class A3, 1.93%, 05/15/2024 | 97 | 97 | ||||||
| American Express Credit Account Master Trust, | ||||||||
| Series 2022-2, Class A, 3.39%, 05/15/2027 | 1,350 | 1,306 | ||||||
| Series 2022-3, Class A, 3.75%, 08/15/2027 | 600 | 585 | ||||||
| AMMC CLO 23 Ltd., (Cayman Islands), Series 2020-23A, Class A1R, (ICE LIBOR USD 3 Month + 1.04%), 3.78%, 10/17/2031 (e) (aa) | 1,740 | 1,705 | ||||||
| Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A, 2.02%, 02/20/2027 (e) | 1,150 | 1,027 | ||||||
| Bain Capital Credit CLO, (Cayman Islands), Series 2019-2A, Class AR, (ICE LIBOR USD 3 Month + 1.10%), 3.84%, 10/17/2032 (e) (aa) | 500 | 485 | ||||||
| Barings CLO Ltd., (Cayman Islands), Series 2019-3A, Class A1R, (ICE LIBOR USD 3 Month + 1.07%), 3.78%, 04/20/2031 (e) (aa) | 2,000 | 1,953 | ||||||
| BDS LLC, Series 2022-FL11, Class ATS, (CME Term SOFR 1 Month + 1.80%), 4.82%, 03/19/2039 (e) (aa) | 1,000 | 985 | ||||||
| BSPRT Issuer Ltd., (Cayman Islands), Series 2021-FL7, Class A, (ICE LIBOR USD 1 Month + 1.32%), 4.14%, 12/15/2038 (e) (aa) | 1,770 | 1,719 | ||||||
| Carlyle Global Market Strategies CLO 2015-5 Ltd., (Cayman Islands), Series 2015-5A, Class A1RR, (ICE LIBOR USD 3 Month + 1.08%), 3.79%, 01/20/2032 (e) (aa) | 3,750 | 3,662 | ||||||
| Carvana Auto Receivables Trust, | ||||||||
| Series 2021-N1, Class A, 0.70%, 01/10/2028 | 221 | 210 | ||||||
| Series 2022-P1, Class A3, 3.35%, 02/10/2027 | 1,465 | 1,420 | ||||||
| Credit Acceptance Auto Loan Trust, Series 2021-3A, Class A, 1.00%, 05/15/2030 (e) | 675 | 638 | ||||||
| Dell Equipment Finance Trust, Series 2021-2, Class A2, 0.33%, 12/22/2026 (e) | 593 | 585 | ||||||
| Discover Card Execution Note Trust, Series 2022-A3, Class A3, 3.56%, 07/15/2027 | 425 | 413 | ||||||
| Elmwood CLO 19 Ltd., (Cayman Islands), Series 2022-6A, Class A, (CME Term SOFR 3 Month + 2.20%), 0.00%, 10/17/2034 (e) (w) (aa) | 1,000 | 999 | ||||||
| Exeter Automobile Receivables Trust, | ||||||||
| Series 2021-2A, Class C, 0.98%, 06/15/2026 | 420 | 405 | ||||||
| Series 2021-3A, Class D, 1.55%, 06/15/2027 | 855 | 783 | ||||||
| Ford Credit Auto Owner Trust, Series 2018-1, Class A, 3.19%, 07/15/2031 (e) | 850 | 817 | ||||||
| Generate CLO 2 Ltd., (Cayman Islands), Series 2A, Class AR, (ICE LIBOR USD 3 Month + 1.15%), 3.91%, 01/22/2031 (e) (aa) | 2,170 | 2,121 | ||||||
| GM Financial Automobile Leasing Trust, | ||||||||
| Series 2022-2, Class A3, 3.42%, 06/20/2025 | 980 | 961 | ||||||
| Series 2022-3, Class A2A, 4.01%, 10/21/2024 | 400 | 398 | ||||||
| Series 2022-3, Class A3, 4.01%, 09/22/2025 | 364 | 359 | ||||||
| GREYWOLF CLO VI Ltd., (Cayman Islands), Series 2018-1A, Class A1, (ICE LIBOR USD 3 Month + 1.03%), 3.80%, 04/26/2031 (e) (aa) | 2,460 | 2,406 | ||||||
| Hertz Vehicle Financing III LP, Series 2021-2A, Class A, 1.68%, 12/27/2027 (e) | 1,009 | 863 | ||||||
| Hyundai Auto Lease Securitization Trust, Series 2022-C, Class A2A, 4.34%, 01/15/2025 (e) | 1,250 | 1,245 | ||||||
| Jamestown CLO VI-R Ltd., (Cayman Islands), Series 2018-6RA, Class A1, (ICE LIBOR USD 3 Month + 1.15%), 3.93%, 04/25/2030 (e) (aa) | 941 | 922 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Lendmark Funding Trust, Series 2021-2A, Class A, 2.00%, 04/20/2032 (e) | 915 | 748 | ||||||
| Madison Park Funding XVIII Ltd., (Cayman Islands), Series 2015-18A, Class ARR, (ICE LIBOR USD 3 Month + 0.94%), 3.67%, 10/21/2030 (e) (aa) | 9,000 | 8,819 | ||||||
| Mariner Finance Issuance Trust, Series 2021-BA, Class A, 2.10%, 11/20/2036 (e) | 895 | 746 | ||||||
| MF1 Ltd., (Cayman Islands), Series 2022-FL8, Class AS, (United States 30 Day Average SOFR + 1.75%), 4.03%, 02/19/2037 (e) (aa) | 1,000 | 969 | ||||||
| Nelnet Student Loan Trust, Series 2021-A, Class APT1, 1.36%, 04/20/2062 (e) | 654 | 576 | ||||||
| New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class A1, 1.91%, 10/20/2061 (e) | 1,480 | 1,253 | ||||||
| OneMain Financial Issuance Trust, Series 2019-2A, Class A, 3.14%, 10/14/2036 (e) | 800 | 711 | ||||||
| Pagaya AI Debt Trust, Series 2022-1, Class A, 2.03%, 10/15/2029 (e) | 815 | 782 | ||||||
| Palmer Square Loan Funding Ltd., (Cayman Islands), Series 2022-3A, Class A1A, (CME Term SOFR 3 Month + 1.82%), 0.00%, 04/15/2031 (e) (w) (aa) | 10,000 | 10,000 | ||||||
| Race Point VIII CLO Ltd., (Cayman Islands), Series 2013-8A, Class AR2, (ICE LIBOR USD 3 Month + 1.04%), 4.02%, 02/20/2030 (e) (aa) | 4,747 | 4,694 | ||||||
| Rad CLO 1 Ltd., (Cayman Islands), Series 2018-1A, Class AR, (ICE LIBOR USD 3 Month + 0.98%), 3.49%, 07/15/2031 (e) (aa) | 340 | 333 | ||||||
| Rad CLO 7 Ltd., (Cayman Islands), Series 2020-7A, Class A1, (ICE LIBOR USD 3 Month + 1.20%), 3.94%, 04/17/2033 (e) (aa) | 250 | 243 | ||||||
| Santander Consumer Auto Receivables Trust, Series 2020-BA, Class C, 1.29%, 04/15/2026 (e) | 1,066 | 1,022 | ||||||
| Santander Drive Auto Receivables Trust, | ||||||||
| Series 2022-5, Class A2, 3.98%, 01/15/2025 | 415 | 412 | ||||||
| Series 2022-6, Class A2, 4.37%, 05/15/2025 | 415 | 414 | ||||||
| SCF Equipment Leasing LLC, | ||||||||
| Series 2019-2A, Class A2, 2.47%, 04/20/2026 (e) | 738 | 727 | ||||||
| Series 2021-1A, Class A2, 0.42%, 08/20/2026 (e) | 46 | 46 | ||||||
| Series 2021-1A, Class A3, 0.83%, 08/21/2028 (e) | 500 | 477 | ||||||
| Series 2021-1A, Class B, 1.37%, 08/20/2029 (e) | 1,000 | 895 | ||||||
| STAR Trust, Series 2022-SFR3, Class A, (CME Term SOFR 1 Month + 1.65%), 4.67%, 05/17/2024 (e) (aa) | 1,655 | 1,640 | ||||||
| TCW CLO Ltd., (Cayman Islands), Series 2022-1A, Class A1, (CME Term SOFR 3 Month + 1.34%), 2.09%, 04/22/2033 (e) (aa) | 500 | 488 | ||||||
| TICP CLO IX Ltd., (Cayman Islands), Series 2017-9A, Class A, (ICE LIBOR USD 3 Month + 1.14%), 3.85%, 01/20/2031 (e) (aa) | 1,000 | 977 | ||||||
| Upstart Securitization Trust, Series 2021-5, Class A, 1.31%, 11/20/2031 (e) | 1,024 | 991 | ||||||
| Voya CLO Ltd., (Cayman Islands), | ||||||||
| Series 2014-2A, Class A1RR, (ICE LIBOR USD 3 Month + 1.02%), 3.76%, 04/17/2030 (e) (aa) | 4,937 | 4,855 | ||||||
| Series 2016-1A, Class A1R, (CME Term SOFR 3 Month + 1.33%), 3.81%, 01/20/2031 (e) (aa) | 8,500 | 8,421 | ||||||
|
|
|
|||||||
| Total Asset-Backed Securities (Cost $82,339) |
80,308 | |||||||
|
|
|
|||||||
| Collateralized Mortgage Obligations — 0.1% | ||||||||
| CSMC, | ||||||||
| Series 2021-NQM1, Class A1, 0.81%, 05/25/2065 (e) (z) | 706 | 655 | ||||||
| Series 2021-NQM3, Class A1, 1.02%, 04/25/2066 (e) (z) | 397 | 329 | ||||||
| Series 2022-NQM1, Class A1, 2.27%, 11/25/2066 (e) (z) | 936 | 802 | ||||||
| Verus Securitization Trust, | ||||||||
| Series 2021-1, Class A1, 0.82%, 01/25/2066 (e) (z) | 225 | 194 | ||||||
| Series 2021-3, Class A1, 1.05%, 06/25/2066 (e) (z) | 589 | 482 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL AMOUNT ($) |
VALUE ($) | ||||||
| Collateralized Mortgage Obligations — continued | ||||||||
| Series 2021-R2, Class A1, 0.92%, 02/25/2064 (e) (z) | 756 | 691 | ||||||
| Series 2021-R3, Class A1, 1.02%, 04/25/2064 (e) (z) | 388 | 357 | ||||||
|
|
|
|||||||
| Total Collateralized Mortgage Obligations (Cost $3,994) |
3,510 | |||||||
|
|
|
|||||||
| Commercial Mortgage-Backed Securities — 0.7% | ||||||||
| BBCMS Mortgage Trust, Series 2018-TALL, Class C, (ICE LIBOR USD 1 Month + 1.12%), 3.94%, 03/15/2037 (e) (aa) | 1,600 | 1,447 | ||||||
| BWAY Mortgage Trust, Series 2015-1740, Class C, 3.34%, 01/10/2035 (e) | 2,750 | 2,390 | ||||||
| BX Commercial Mortgage Trust, | ||||||||
| Series 2021-ACNT, Class A, (ICE LIBOR USD 1 Month + 0.85%), 3.67%, 11/15/2038 (e) (aa) | 1,770 | 1,699 | ||||||
| Series 2021-XL2, Class A, (ICE LIBOR USD 1 Month + 0.69%), 3.51%, 10/15/2038 (e) (aa) | 840 | 806 | ||||||
| BX Trust, Series 2017-SLCT, Class F, (ICE LIBOR USD 1 Month + 4.38%), 7.19%, 07/15/2034 (e) (aa) |
1,700 | 1,640 | ||||||
| BXHPP Trust, Series 2021-FILM, Class B, (ICE LIBOR USD 1 Month + 0.90%), 3.72%, 08/15/2036 (e) (aa) | 600 | 559 | ||||||
| Citigroup Commercial Mortgage Trust, Series 2020-GC46, Class XA, IO, 1.10%, 02/15/2053 (z) | 45,094 | 2,333 | ||||||
| CSMC, Series 2021-BHAR, Class A, (ICE LIBOR USD 1 Month + 1.15%), 3.97%, 11/15/2038 (e) (aa) |
2,000 | 1,911 | ||||||
| DBWF Mortgage Trust, Series 2018-GLKS, Class A, (ICE LIBOR USD 1 Month + 1.03%), 4.02%, 12/19/2030 (e) (aa) | 452 | 439 | ||||||
| Great Wolf Trust, Series 2019-WOLF, Class A, (ICE LIBOR USD 1 Month + 1.03%), 3.85%, 12/15/2036 (e) (aa) | 1,850 | 1,789 | ||||||
| GS Mortgage Securities Corp. Trust, | ||||||||
| Series 2021-ROSS, Class A, (ICE LIBOR USD 1 Month + 1.15%), 3.97%, 05/15/2026 (e) (aa) | 720 | 673 | ||||||
| Series 2021-ROSS, Class H, (ICE LIBOR USD 1 Month + 5.90%), 8.72%, 05/15/2026 (e) (aa) | 270 | 240 | ||||||
| Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
| Series 2013-C7, Class A4, 2.92%, 02/15/2046 | 1,582 | 1,577 | ||||||
| Series 2016-C29, Class A4, 3.33%, 05/15/2049 | 900 | 840 | ||||||
| Morgan Stanley Capital I Trust, Series 2014-150E, Class A, 3.91%, 09/09/2032 (e) | 1,220 | 1,135 | ||||||
| PFP Ltd., (Cayman Islands), Series 2019-6, Class C, (ICE LIBOR USD 1 Month + 2.10%), 5.04%, 04/14/2037 (e) (aa) | 1,297 | 1,294 | ||||||
| Waikiki Beach Hotel Trust, Series 2019-WBM, Class D, (ICE LIBOR USD 1 Month + 2.03%), 4.85%, 12/15/2033 (e) (aa) | 600 | 568 | ||||||
| WFRBS Commercial Mortgage Trust, | ||||||||
| Series 2013-C15, Class AS, 4.36%, 08/15/2046 (z) | 1,000 | 982 | ||||||
| Series 2014-C19, Class A5, 4.10%, 03/15/2047 | 1,245 | 1,225 | ||||||
|
|
|
|||||||
| Total Commercial Mortgage-Backed Securities (Cost $25,813) |
23,547 | |||||||
|
|
|
|||||||
| Convertible Bonds — 0.6% | ||||||||
| Communications — 0.1% | ||||||||
| Internet — 0.1% | ||||||||
| Airbnb, Inc., Zero Coupon, 03/15/2026 | 579 | 479 | ||||||
| Booking Holdings, Inc., 0.75%, 05/01/2025 | 987 | 1,186 | ||||||
| Uber Technologies, Inc., Zero Coupon, 12/15/2025 | 900 | 747 | ||||||
|
|
|
|||||||
| 2,412 | ||||||||
|
|
|
|||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL AMOUNT ($) |
VALUE ($) | ||||||
| Convertible Bonds — continued | ||||||||
| Media — 0.0% (g) | ||||||||
| Cable One, Inc., 1.13%, 03/15/2028 | 986 | 710 | ||||||
| Liberty Broadband Corp., | ||||||||
| 1.25%, 09/30/2050 (e) | 375 | 354 | ||||||
| 2.75%, 09/30/2050 (e) | 870 | 834 | ||||||
|
|
|
|||||||
| 1,898 | ||||||||
|
|
|
|||||||
| Total Communications | 4,310 | |||||||
|
|
|
|||||||
| Consumer Cyclical — 0.0% (g) | ||||||||
| Airlines — 0.0% (g) | ||||||||
| International Consolidated Airlines Group SA, (Spain), Reg. S, 1.13%, 05/18/2028 | EUR | 100 | 58 | |||||
|
|
|
|||||||
| Auto Manufacturers — 0.0% (g) | ||||||||
| Ford Motor Co., Zero Coupon, 03/15/2026 | 1,011 | 925 | ||||||
|
|
|
|||||||
| Total Consumer Cyclical | 983 | |||||||
|
|
|
|||||||
| Consumer Non-cyclical — 0.0% (g) | ||||||||
| Commercial Services — 0.0% (g) | ||||||||
| Shift4 Payments, Inc., Zero Coupon, 12/15/2025 | 292 | 258 | ||||||
|
|
|
|||||||
| Healthcare - Services — 0.0% (g) | ||||||||
| Elevance Health, Inc., 2.75%, 10/15/2042 | 66 | 426 | ||||||
|
|
|
|||||||
| Total Consumer Non-cyclical | 684 | |||||||
|
|
|
|||||||
| Energy — 0.1% | ||||||||
| Oil & Gas — 0.1% | ||||||||
| CNX Resources Corp., 2.25%, 05/01/2026 | 724 | 1,002 | ||||||
| EQT Corp., 1.75%, 05/01/2026 | 210 | 579 | ||||||
| Permian Resources Operating LLC, 3.25%, 04/01/2028 | 491 | 654 | ||||||
| Pioneer Natural Resources Co., 0.25%, 05/15/2025 | 519 | 1,124 | ||||||
|
|
|
|||||||
| Total Energy | 3,359 | |||||||
|
|
|
|||||||
| Financial — 0.2% | ||||||||
| Banks — 0.2% | ||||||||
| Barclays Bank plc, (United Kingdom), | ||||||||
| Zero Coupon, 02/04/2025 | 1,571 | 2,030 | ||||||
| Series VUN, Zero Coupon, 02/18/2025 | 2,952 | 2,971 | ||||||
|
|
|
|||||||
| Total Financial | 5,001 | |||||||
|
|
|
|||||||
| Industrial — 0.0% (g) | ||||||||
| Engineering & Construction — 0.0% (g) | ||||||||
| Cellnex Telecom SA, (Spain), Reg. S, 0.75%, 11/20/2031 | EUR | 300 | 192 | |||||
|
|
|
|||||||
| Technology — 0.2% | ||||||||
| Semiconductors — 0.2% | ||||||||
| ams-OSRAM AG, (Austria), Reg. S, Zero Coupon, 03/05/2025 | EUR | 200 | 155 | |||||
| Microchip Technology, Inc., | ||||||||
| 0.13%, 11/15/2024 | 4,428 | 4,484 | ||||||
| 1.63%, 02/15/2025 | 91 | 244 | ||||||
|
|
|
|||||||
| Total Technology | 4,883 | |||||||
|
|
|
|||||||
| Total Convertible Bonds (Cost $19,986) |
19,412 | |||||||
|
|
|
|||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL AMOUNT ($) |
VALUE ($) | ||||||
| Corporate Bonds — 80.8% | ||||||||
| Basic Materials — 4.6% | ||||||||
| Chemicals — 1.5% | ||||||||
| Ashland LLC, | ||||||||
| 3.38%, 09/01/2031 (e) | 2,594 | 2,005 | ||||||
| 6.88%, 05/15/2043 | 500 | 479 | ||||||
| Avient Corp., | ||||||||
| 5.75%, 05/15/2025 (e) | 2,000 | 1,930 | ||||||
| 7.13%, 08/01/2030 (e) | 605 | 558 | ||||||
| Axalta Coating Systems Dutch Holding B BV, (Netherlands), Reg. S, 3.75%, 01/15/2025 | EUR | 200 | 179 | |||||
| Axalta Coating Systems LLC, 3.38%, 02/15/2029 (e) | 3,536 | 2,772 | ||||||
| Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding B BV, (Multinational), 4.75%, 06/15/2027 (e) | 1,218 | 1,085 | ||||||
| Celanese US Holdings LLC, | ||||||||
| 5.90%, 07/05/2024 | 408 | 402 | ||||||
| 6.17%, 07/15/2027 | 887 | 837 | ||||||
| Chemours Co. (The), | ||||||||
| 4.63%, 11/15/2029 (e) | 1,150 | 854 | ||||||
| 5.75%, 11/15/2028 (e) | 2,088 | 1,708 | ||||||
| CNAC HK Finbridge Co. Ltd., (Hong Kong), Reg. S, 4.13%, 07/19/2027 | 1,300 | 1,211 | ||||||
| Diamond BC BV, (Netherlands), 4.63%, 10/01/2029 (e) | 4,929 | 3,455 | ||||||
| Element Solutions, Inc., 3.88%, 09/01/2028 (e) | 7,023 | 5,654 | ||||||
| EverArc Escrow Sarl, (Luxembourg), 5.00%, 10/30/2029 (e) | 3,579 | 2,881 | ||||||
| FIS Fabbrica Italiana Sintetici SpA, (Italy), Reg. S, 5.63%, 08/01/2027 | EUR | 100 | 81 | |||||
| GC Treasury Center Co. Ltd., (Thailand), 5.20%, 03/30/2052 (e) | 800 | 637 | ||||||
| Herens Holdco Sarl, (Luxembourg), 4.75%, 05/15/2028 (e) | 2,462 | 1,970 | ||||||
| Illuminate Buyer LLC / Illuminate Holdings IV, Inc., 9.00%, 07/01/2028 (e) | 2,153 | 1,787 | ||||||
| Iris Holding, Inc., 10.00%, 12/15/2028 (e) | 1,700 | 1,392 | ||||||
| Kobe US Midco 2, Inc., 9.25% (cash), 11/01/2026 (e) (v) | 550 | 434 | ||||||
| Kronos International, Inc., Reg. S, 3.75%, 09/15/2025 | EUR | 150 | 127 | |||||
| Monitchem HoldCo 3 SA, (Luxembourg), Reg. S, 5.25%, 03/15/2025 | EUR | 300 | 266 | |||||
| NOVA Chemicals Corp., (Canada), 4.88%, 06/01/2024 (e) | 90 | 85 | ||||||
| Olympus Water US Holding Corp., 6.25%, 10/01/2029 (e) | 300 | 206 | ||||||
| Orbia Advance Corp. SAB de CV, (Mexico), 1.88%, 05/11/2026 (e) | 249 | 210 | ||||||
| Rain CII Carbon LLC / CII Carbon Corp., 7.25%, 04/01/2025 (e) | 2,795 | 2,459 | ||||||
| SCIL IV LLC / SCIL USA Holdings LLC, 5.38%, 11/01/2026 (e) | 717 | 554 | ||||||
| SPCM SA, (France), | ||||||||
| 3.13%, 03/15/2027 (e) | 387 | 333 | ||||||
| 3.38%, 03/15/2030 (e) | 1,080 | 845 | ||||||
| TPC Group, Inc., 10.88%, 08/01/2024 (d) (e) | 783 | 815 | ||||||
| Tronox, Inc., 4.63%, 03/15/2029 (e) | 1,715 | 1,269 | ||||||
| Valvoline, Inc., 3.63%, 06/15/2031 (e) | 3,050 | 2,250 | ||||||
| Venator Finance Sarl / Venator Materials LLC, (Multinational), | ||||||||
| 5.75%, 07/15/2025 (e) | 1,835 | 1,239 | ||||||
| 9.50%, 07/01/2025 (e) | 529 | 506 | ||||||
| WR Grace Holdings LLC, 5.63%, 08/15/2029 (e) | 6,040 | 4,530 | ||||||
|
|
|
|||||||
| 48,005 | ||||||||
|
|
|
|||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Iron/Steel — 0.9% | ||||||||
| ATI, Inc., | ||||||||
| 4.88%, 10/01/2029 | 816 | 678 | ||||||
| 5.13%, 10/01/2031 | 441 | 360 | ||||||
| Baffinland Iron Mines Corp. / Baffinland Iron Mines LP, (Canada), 8.75%, 07/15/2026 (e) | 83 | 73 | ||||||
| Big River Steel LLC / BRS Finance Corp., 6.63%, 01/31/2029 (e) | 6,850 | 6,305 | ||||||
| Carpenter Technology Corp., | ||||||||
| 6.38%, 07/15/2028 | 510 | 473 | ||||||
| 7.63%, 03/15/2030 | 1,450 | 1,396 | ||||||
| Commercial Metals Co., | ||||||||
| 4.13%, 01/15/2030 | 264 | 217 | ||||||
| 4.38%, 03/15/2032 | 425 | 335 | ||||||
| Mineral Resources Ltd., (Australia), | ||||||||
| 8.13%, 05/01/2027 (e) | 2,537 | 2,458 | ||||||
| 8.50%, 05/01/2030 (e) | 155 | 150 | ||||||
| Periama Holdings LLC, Reg. S, 5.95%, 04/19/2026 | 16,400 | 14,145 | ||||||
| thyssenkrupp AG, (Germany), Reg. S, 2.88%, 02/22/2024 | EUR | 100 | 92 | |||||
| United States Steel Corp., 6.88%, 03/01/2029 | 1,291 | 1,173 | ||||||
|
|
|
|||||||
| 27,855 | ||||||||
|
|
|
|||||||
| Mining — 2.2% | ||||||||
| Alcoa Nederland Holding BV, (Netherlands), 5.50%, 12/15/2027 (e) | 246 | 229 | ||||||
| Anglo American Capital plc, (United Kingdom), 4.88%, 05/14/2025 (e) | 344 | 338 | ||||||
| Arconic Corp., | ||||||||
| 6.00%, 05/15/2025 (e) | 1,759 | 1,694 | ||||||
| 6.13%, 02/15/2028 (e) | 1,351 | 1,193 | ||||||
| Bukit Makmur Mandiri Utama PT, (Indonesia), Reg. S, 7.75%, 02/10/2026 | 2,600 | 2,154 | ||||||
| China Hongqiao Group Ltd., (Cayman Islands), | ||||||||
| Reg. S, 6.25%, 06/08/2024 | 3,800 | 3,440 | ||||||
| Reg. S, 7.38%, 05/02/2023 | 1,600 | 1,560 | ||||||
| Constellium SE, (France), | ||||||||
| 3.75%, 04/15/2029 (e) | 3,664 | 2,676 | ||||||
| Reg. S, 4.25%, 02/15/2026 | EUR | 400 | 351 | |||||
| 5.63%, 06/15/2028 (e) | 258 | 212 | ||||||
| 5.88%, 02/15/2026 (e) | 3,517 | 3,227 | ||||||
| Eldorado Gold Corp., (Canada), 6.25%, 09/01/2029 (e) | 775 | 590 | ||||||
| First Quantum Minerals Ltd., (Canada), | ||||||||
| 6.50%, 03/01/2024 (e) | 4,285 | 4,199 | ||||||
| 6.88%, 03/01/2026 (e) | 335 | 309 | ||||||
| 6.88%, 10/15/2027 (e) | 1,812 | 1,627 | ||||||
| 7.50%, 04/01/2025 (e) | 3,711 | 3,572 | ||||||
| FMG Resources August 2006 Pty Ltd., (Australia), 6.13%, 04/15/2032 (e) | 2,220 | 1,908 | ||||||
| Freeport Indonesia PT, (Indonesia), Reg. S, 5.32%, 04/14/2032 | 8,400 | 6,951 | ||||||
| Glencore Funding LLC, | ||||||||
| 1.63%, 04/27/2026 (e) | 196 | 169 | ||||||
| 4.00%, 03/27/2027 (e) | 283 | 264 | ||||||
| 4.13%, 05/30/2023 (e) | 250 | 248 | ||||||
| 4.63%, 04/29/2024 (e) | 558 | 553 | ||||||
| Hecla Mining Co., 7.25%, 02/15/2028 | 1,308 | 1,213 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Mining — continued | ||||||||
| Hudbay Minerals, Inc., (Canada), 6.13%, 04/01/2029 (e) | 3,956 | 3,187 | ||||||
| Kaiser Aluminum Corp., | ||||||||
| 4.50%, 06/01/2031 (e) | 3,618 | 2,647 | ||||||
| 4.63%, 03/01/2028 (e) | 1,072 | 875 | ||||||
| Kinross Gold Corp., (Canada), 5.95%, 03/15/2024 | 207 | 209 | ||||||
| New Gold, Inc., (Canada), 7.50%, 07/15/2027 (e) | 2,496 | 1,972 | ||||||
| Novelis Corp., | ||||||||
| 3.25%, 11/15/2026 (e) | 2,608 | 2,194 | ||||||
| 3.88%, 08/15/2031 (e) | 2,436 | 1,817 | ||||||
| 4.75%, 01/30/2030 (e) | 5,886 | 4,827 | ||||||
| Novelis Sheet Ingot GmbH, (Germany), Reg. S, 3.38%, 04/15/2029 | EUR | 900 | 693 | |||||
| Vedanta Resources Finance II plc, (United Kingdom), | ||||||||
| 8.95%, 03/11/2025 (e) | 200 | 136 | ||||||
| Reg. S, 8.95%, 03/11/2025 | 17,000 | 11,552 | ||||||
|
|
|
|||||||
| 68,786 | ||||||||
|
|
|
|||||||
| Total Basic Materials | 144,646 | |||||||
|
|
|
|||||||
| Communications — 10.8% | ||||||||
| Advertising — 0.6% | ||||||||
| Clear Channel International BV, (Netherlands), 6.63%, 08/01/2025 (e) | 1,608 | 1,494 | ||||||
| Clear Channel Outdoor Holdings, Inc., | ||||||||
| 5.13%, 08/15/2027 (e) | 5,372 | 4,539 | ||||||
| 7.50%, 06/01/2029 (e) | 1,335 | 968 | ||||||
| 7.75%, 04/15/2028 (e) | 1,124 | 849 | ||||||
| CMG Media Corp., 8.88%, 12/15/2027 (e) | 8,812 | 6,732 | ||||||
| Outfront Media Capital LLC / Outfront Media Capital Corp., | ||||||||
| 4.25%, 01/15/2029 (e) | 3,157 | 2,480 | ||||||
| 5.00%, 08/15/2027 (e) | 952 | 828 | ||||||
| Summer BC Holdco B Sarl, (Luxembourg), Reg. S, 5.75%, 10/31/2026 | EUR | 400 | 333 | |||||
|
|
|
|||||||
| 18,223 | ||||||||
|
|
|
|||||||
| Internet — 0.9% | ||||||||
| Acuris Finance US, Inc. / Acuris Finance Sarl, 5.00%, 05/01/2028 (e) | 3,167 | 2,645 | ||||||
| ANGI Group LLC, 3.88%, 08/15/2028 (e) | 1,234 | 870 | ||||||
| Arches Buyer, Inc., 4.25%, 06/01/2028 (e) | 115 | 90 | ||||||
| Cablevision Lightpath LLC, | ||||||||
| 3.88%, 09/15/2027 (e) | 4,975 | 4,161 | ||||||
| 5.63%, 09/15/2028 (e) | 1,050 | 840 | ||||||
| Go Daddy Operating Co. LLC / GD Finance Co., Inc., 3.50%, 03/01/2029 (e) | 2,039 | 1,668 | ||||||
| iliad SA, (France), Reg. S, 2.38%, 06/17/2026 | EUR | 100 | 86 | |||||
| ION Trading Technologies Sarl, (Luxembourg), 5.75%, 05/15/2028 (e) | 1,649 | 1,344 | ||||||
| Match Group Holdings II LLC, | ||||||||
| 3.63%, 10/01/2031 (e) | 577 | 436 | ||||||
| 4.63%, 06/01/2028 (e) | 1,575 | 1,346 | ||||||
| Netflix, Inc., | ||||||||
| 4.38%, 11/15/2026 | 860 | 812 | ||||||
| 4.63%, 05/15/2029 | EUR | 100 | 91 | |||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Internet — continued | ||||||||
| Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc., | ||||||||
| 4.75%, 04/30/2027 (e) | 797 | 693 | ||||||
| 6.00%, 02/15/2028 (e) | 1,184 | 918 | ||||||
| 10.75%, 06/01/2028 (e) | 483 | 450 | ||||||
| NortonLifeLock, Inc., | ||||||||
| 5.00%, 04/15/2025 (e) | 1,185 | 1,129 | ||||||
| 7.13%, 09/30/2030 (e) | 837 | 809 | ||||||
| Prosus NV, (Netherlands), | ||||||||
| Reg. S, 3.06%, 07/13/2031 | 3,300 | 2,265 | ||||||
| 3.26%, 01/19/2027 (e) | 300 | 252 | ||||||
| Twitter, Inc., | ||||||||
| 3.88%, 12/15/2027 (e) | 230 | 216 | ||||||
| 5.00%, 03/01/2030 (e) | 177 | 170 | ||||||
| Uber Technologies, Inc., | ||||||||
| 4.50%, 08/15/2029 (e) | 3,751 | 3,153 | ||||||
| 6.25%, 01/15/2028 (e) | 102 | 95 | ||||||
| 7.50%, 09/15/2027 (e) | 4,345 | 4,258 | ||||||
| 8.00%, 11/01/2026 (e) | 568 | 570 | ||||||
| United Group BV, (Netherlands), Reg. S, 4.88%, 07/01/2024 | EUR | 200 | 182 | |||||
| VeriSign, Inc., 5.25%, 04/01/2025 | 550 | 548 | ||||||
|
|
|
|||||||
| 30,097 | ||||||||
|
|
|
|||||||
| Media — 4.6% | ||||||||
| Altice Financing SA, (Luxembourg), | ||||||||
| Reg. S, 2.25%, 01/15/2025 | EUR | 200 | 172 | |||||
| Reg. S, 3.00%, 01/15/2028 | EUR | 100 | 74 | |||||
| Reg. S, 4.25%, 08/15/2029 | EUR | 107 | 81 | |||||
| 5.00%, 01/15/2028 (e) | 515 | 397 | ||||||
| 5.75%, 08/15/2029 (e) | 4,470 | 3,420 | ||||||
| AMC Networks, Inc., 4.75%, 08/01/2025 | 1,227 | 1,094 | ||||||
| Cable One, Inc., 4.00%, 11/15/2030 (e) | 1,642 | 1,272 | ||||||
| CCO Holdings LLC / CCO Holdings Capital Corp., | ||||||||
| 4.25%, 02/01/2031 (e) | 13,655 | 10,451 | ||||||
| 4.25%, 01/15/2034 (e) | 9,246 | 6,623 | ||||||
| 4.50%, 08/15/2030 (e) | 989 | 782 | ||||||
| 4.50%, 05/01/2032 | 2,209 | 1,685 | ||||||
| 4.50%, 06/01/2033 (e) | 2,388 | 1,764 | ||||||
| 4.75%, 03/01/2030 (e) | 3,883 | 3,150 | ||||||
| 4.75%, 02/01/2032 (e) | 1,008 | 785 | ||||||
| 5.00%, 02/01/2028 (e) | 8,412 | 7,380 | ||||||
| 5.13%, 05/01/2027 (e) | 8,659 | 7,839 | ||||||
| 6.38%, 09/01/2029 (e) | 2,646 | 2,429 | ||||||
| Charter Communications Operating LLC / Charter Communications Operating Capital, | ||||||||
| 5.25%, 04/01/2053 | 1,339 | 1,023 | ||||||
| 5.50%, 04/01/2063 | 937 | 708 | ||||||
| CSC Holdings LLC, | ||||||||
| 3.38%, 02/15/2031 (e) | 200 | 141 | ||||||
| 4.13%, 12/01/2030 (e) | 9,178 | 6,858 | ||||||
| 4.50%, 11/15/2031 (e) | 3,072 | 2,308 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Media — continued | ||||||||
| 4.63%, 12/01/2030 (e) | 4,535 | 3,079 | ||||||
| 5.00%, 11/15/2031 (e) | 2,775 | 1,833 | ||||||
| 5.25%, 06/01/2024 | 350 | 324 | ||||||
| 5.38%, 02/01/2028 (e) | 825 | 720 | ||||||
| 5.50%, 04/15/2027 (e) | 2,315 | 2,047 | ||||||
| 5.75%, 01/15/2030 (e) | 2,799 | 1,989 | ||||||
| 6.50%, 02/01/2029 (e) | 1,500 | 1,330 | ||||||
| Diamond Sports Group LLC / Diamond Sports Finance Co., | ||||||||
| 5.38%, 08/15/2026 (e) | 17,957 | 3,528 | ||||||
| 6.63%, 08/15/2027 (e) | 10,954 | 767 | ||||||
| Directv Financing LLC / Directv Financing Co-Obligor, Inc., 5.88%, 08/15/2027 (e) | 1,803 | 1,554 | ||||||
| DISH DBS Corp., | ||||||||
| 5.00%, 03/15/2023 | 2,325 | 2,276 | ||||||
| 5.13%, 06/01/2029 | 1,444 | 848 | ||||||
| 5.25%, 12/01/2026 (e) | 3,855 | 3,157 | ||||||
| 5.75%, 12/01/2028 (e) | 2,808 | 2,116 | ||||||
| 7.38%, 07/01/2028 | 8,173 | 5,503 | ||||||
| 7.75%, 07/01/2026 | 4,515 | 3,432 | ||||||
| FactSet Research Systems, Inc., 2.90%, 03/01/2027 | 120 | 109 | ||||||
| GCI LLC, 4.75%, 10/15/2028 (e) | 182 | 151 | ||||||
| Gray Television, Inc., 5.88%, 07/15/2026 (e) | 4,325 | 3,990 | ||||||
| iHeartCommunications, Inc., | ||||||||
| 5.25%, 08/15/2027 (e) | 600 | 513 | ||||||
| 6.38%, 05/01/2026 | 1,500 | 1,392 | ||||||
| LCPR Senior Secured Financing DAC, (Ireland), | ||||||||
| 5.13%, 07/15/2029 (e) | 3,926 | 2,957 | ||||||
| 6.75%, 10/15/2027 (e) | 200 | 166 | ||||||
| Midcontinent Communications / Midcontinent Finance Corp., 5.38%, 08/15/2027 (e) | 1,175 | 1,047 | ||||||
| News Corp., 3.88%, 05/15/2029 (e) | 250 | 212 | ||||||
| Nexstar Media, Inc., 4.75%, 11/01/2028 (e) | 1,415 | 1,210 | ||||||
| Radiate Holdco LLC / Radiate Finance, Inc., | ||||||||
| 4.50%, 09/15/2026 (e) | 5,712 | 4,685 | ||||||
| 6.50%, 09/15/2028 (e) | 8,888 | 6,200 | ||||||
| Sinclair Television Group, Inc., | ||||||||
| 4.13%, 12/01/2030 (e) | 3,346 | 2,518 | ||||||
| 5.13%, 02/15/2027 (e) | 36 | 30 | ||||||
| Sirius XM Radio, Inc., | ||||||||
| 3.13%, 09/01/2026 (e) | 1,639 | 1,439 | ||||||
| 3.88%, 09/01/2031 (e) | 2,194 | 1,701 | ||||||
| 4.00%, 07/15/2028 (e) | 114 | 97 | ||||||
| 4.13%, 07/01/2030 (e) | 47 | 38 | ||||||
| 5.00%, 08/01/2027 (e) | 1,013 | 930 | ||||||
| 5.50%, 07/01/2029 (e) | 134 | 121 | ||||||
| Tele Columbus AG, (Germany), Reg. S, 3.88%, 05/02/2025 | EUR | 344 | 272 | |||||
| Telenet Finance Luxembourg Notes Sarl, (Luxembourg), 5.50%, 03/01/2028 (e) | 2,000 | 1,735 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Media — continued | ||||||||
| Univision Communications, Inc., | ||||||||
| 5.13%, 02/15/2025 (e) | 3,075 | 2,919 | ||||||
| 6.63%, 06/01/2027 (e) | 8,381 | 7,909 | ||||||
| 7.38%, 06/30/2030 (e) | 750 | 716 | ||||||
| UPC Broadband Finco BV, (Netherlands), 4.88%, 07/15/2031 (e) | 1,789 | 1,388 | ||||||
| Videotron Ltd., (Canada), 3.63%, 06/15/2029 (e) | 1,498 | 1,213 | ||||||
| Virgin Media Finance plc, (United Kingdom), Reg. S, 3.75%, 07/15/2030 | EUR | 100 | 70 | |||||
| Virgin Media Vendor Financing Notes III DAC, (Ireland), Reg. S, 4.88%, 07/15/2028 | GBP | 300 | 249 | |||||
| Virgin Media Vendor Financing Notes IV DAC, (Ireland), 5.00%, 07/15/2028 (e) | 2,336 | 1,889 | ||||||
| VZ Secured Financing BV, (Netherlands), 5.00%, 01/15/2032 (e) | 1,475 | 1,102 | ||||||
| Ziggo Bond Co. BV, (Netherlands), 5.13%, 02/28/2030 (e) | 1,399 | 1,000 | ||||||
| Ziggo BV, (Netherlands), 4.88%, 01/15/2030 (e) | 152 | 120 | ||||||
|
|
|
|||||||
| 145,027 | ||||||||
|
|
|
|||||||
| Telecommunications — 4.7% | ||||||||
| Altice France Holding SA, (Luxembourg), 10.50%, 05/15/2027 (e) | 6,913 | 5,415 | ||||||
| Altice France SA, (France), | ||||||||
| Reg. S, 4.13%, 01/15/2029 | EUR | 400 | 298 | |||||
| 5.13%, 07/15/2029 (e) | 3,129 | 2,337 | ||||||
| 5.50%, 01/15/2028 (e) | 155 | 123 | ||||||
| 5.50%, 10/15/2029 (e) | 788 | 593 | ||||||
| 8.13%, 02/01/2027 (e) | 6,418 | 5,736 | ||||||
| Bharti Airtel Ltd., (India), Reg. S, 4.38%, 06/10/2025 | 11,500 | 11,092 | ||||||
| CommScope Technologies LLC, 6.00%, 06/15/2025 (e) | 3,715 | 3,301 | ||||||
| CommScope, Inc., | ||||||||
| 4.75%, 09/01/2029 (e) | 1,618 | 1,320 | ||||||
| 6.00%, 03/01/2026 (e) | 925 | 852 | ||||||
| 7.13%, 07/01/2028 (e) | 275 | 212 | ||||||
| 8.25%, 03/01/2027 (e) | 91 | 75 | ||||||
| Connect Finco Sarl / Connect US Finco LLC, (Multinational), 6.75%, 10/01/2026 (e) | 6,432 | 5,627 | ||||||
| Consolidated Communications, Inc., 6.50%, 10/01/2028 (e) | 2,333 | 1,744 | ||||||
| Digicel International Finance Ltd. / Digicel international Holdings Ltd., (Multinational), | ||||||||
| 8.00%, 12/31/2026 (e) | 6,725 | 4,094 | ||||||
| 8.75%, 05/25/2024 (e) | 1,000 | 912 | ||||||
| Digicel Ltd., (Bermuda), 6.75%, 03/01/2023 (e) | 16,060 | 9,523 | ||||||
| Frontier Communications Holdings LLC, | ||||||||
| 5.00%, 05/01/2028 (e) | 60 | 51 | ||||||
| 5.88%, 10/15/2027 (e) | 576 | 519 | ||||||
| 6.00%, 01/15/2030 (e) | 153 | 120 | ||||||
| 6.75%, 05/01/2029 (e) | 3,165 | 2,611 | ||||||
| 8.75%, 05/15/2030 (e) | 5,529 | 5,533 | ||||||
| Globe Telecom, Inc., (Philippines), | ||||||||
| Reg. S, 3.00%, 07/23/2035 | 4,200 | 2,993 | ||||||
| Reg. S, (CMT Index 5 Year + 5.53%), 4.20%, 08/02/2026 (x) (aa) | 6,300 | 5,536 | ||||||
| Iliad Holding SASU, (France), | ||||||||
| Reg. S, 5.63%, 10/15/2028 | EUR | 100 | 84 | |||||
| 6.50%, 10/15/2026 (e) | 6,126 | 5,357 | ||||||
| 7.00%, 10/15/2028 (e) | 2,643 | 2,264 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 | ||||||||
| Telecommunications — continued | ||||||||
| Intelsat Jackson Holdings SA, (Luxembourg), | ||||||||
| 5.50%, 08/01/2023 (d) (bb) (cc) | 3,425 | — | (h) | |||||
| 6.50%, 03/15/2030 (e) | 5,820 | 4,948 | ||||||
| 8.50%, 10/15/2024 (d) (e) (bb) (cc) | 3,800 | — | (h) | |||||
| 9.75%, 07/15/2025 (d) (e) (bb) (cc) | 1,875 | — | (h) | |||||
| Level 3 Financing, Inc., | ||||||||
| 3.40%, 03/01/2027 (e) | 1,763 | 1,476 | ||||||
| 3.63%, 01/15/2029 (e) | 545 | 404 | ||||||
| 3.75%, 07/15/2029 (e) | 3,895 | 2,853 | ||||||
| 4.25%, 07/01/2028 (e) | 772 | 602 | ||||||
| 4.63%, 09/15/2027 (e) | 9 | 8 | ||||||
| Ligado Networks LLC, 15.50% (PIK), 11/01/2023 (e) (v) | 262 | 119 | ||||||
| Lorca Telecom Bondco SA, (Spain), Reg. S, 4.00%, 09/18/2027 | EUR | 319 | 271 | |||||
| Lumen Technologies, Inc., | ||||||||
| 4.00%, 02/15/2027 (e) | 825 | 693 | ||||||
| 4.50%, 01/15/2029 (e) | 4,767 | 3,349 | ||||||
| 5.13%, 12/15/2026 (e) | 2,572 | 2,213 | ||||||
| 5.38%, 06/15/2029 (e) | 461 | 342 | ||||||
| Series U, 7.65%, 03/15/2042 | 100 | 68 | ||||||
| Maxar Technologies, Inc., 7.75%, 06/15/2027 (e) | 257 | 241 | ||||||
| Nokia OYJ, (Finland), 6.63%, 05/15/2039 | 580 | 538 | ||||||
| SES SA, (Luxembourg), | ||||||||
| Reg. S, (EUR Swap Rate 5 Year + 3.19%), 2.88%, 05/27/2026 (x) (aa) | EUR | 100 | 73 | |||||
| Reg. S, (EUR Swap Rate 5 Year + 5.40%), 5.63%, 01/29/2024 (x) (aa) | EUR | 100 | 94 | |||||
| SoftBank Group Corp., (Japan), | ||||||||
| Reg. S, 5.00%, 04/15/2028 | EUR | 100 | 77 | |||||
| Reg. S, (USD ICE Swap Rate 5 Year + 4.23%), 6.00%, 07/19/2023 (x) (aa) | 300 | 279 | ||||||
| Sprint Capital Corp., | ||||||||
| 6.88%, 11/15/2028 | 3,040 | 3,124 | ||||||
| 8.75%, 03/15/2032 | 7,329 | 8,492 | ||||||
| Sprint Corp., | ||||||||
| 7.13%, 06/15/2024 | 5,984 | 6,075 | ||||||
| 7.63%, 02/15/2025 | 1,390 | 1,425 | ||||||
| 7.63%, 03/01/2026 | 6,235 | 6,453 | ||||||
| 7.88%, 09/15/2023 | 2,000 | 2,024 | ||||||
| Switch Ltd., | ||||||||
| 3.75%, 09/15/2028 (e) | 199 | 198 | ||||||
| 4.13%, 06/15/2029 (e) | 1,823 | 1,805 | ||||||
| Telecom Italia Capital SA, (Luxembourg), | ||||||||
| 6.00%, 09/30/2034 | 367 | 274 | ||||||
| 6.38%, 11/15/2033 | 500 | 389 | ||||||
| 7.20%, 07/18/2036 | 890 | 697 | ||||||
| Telecom Italia Finance SA, (Luxembourg), Reg. S, 7.75%, 01/24/2033 | EUR | 200 | 202 | |||||
| Telecom Italia SpA, (Italy), | ||||||||
| Reg. S, 1.63%, 01/18/2029 | EUR | 300 | 207 | |||||
| 5.30%, 05/30/2024 (e) | 200 | 189 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Telecommunications — continued | ||||||||
| Telefonica Europe BV, (Netherlands), Reg. S, (EUR Swap Rate 8 Year + 2.97%), 3.88%, 06/22/2026 (x) (aa) |
EUR | 200 | 171 | |||||
| T-Mobile USA, Inc., | ||||||||
| 2.05%, 02/15/2028 | 167 | 139 | ||||||
| 2.25%, 02/15/2026 | 160 | 143 | ||||||
| Viasat, Inc., | ||||||||
| 5.63%, 09/15/2025 (e) | 5,330 | 4,084 | ||||||
| 5.63%, 04/15/2027 (e) | 393 | 330 | ||||||
| 6.50%, 07/15/2028 (e) | 132 | 88 | ||||||
| Viavi Solutions, Inc., 3.75%, 10/01/2029 (e) | 641 | 513 | ||||||
| Vmed O2 UK Financing I plc, (United Kingdom), | ||||||||
| Reg. S, 4.00%, 01/31/2029 | GBP | 100 | 84 | |||||
| 4.25%, 01/31/2031 (e) | 549 | 415 | ||||||
| 4.75%, 07/15/2031 (e) | 993 | 766 | ||||||
| Vodafone Group plc, (United Kingdom), | ||||||||
| Reg. S, (EUR Swap Rate 5 Year + 3.23%), 3.00%, 08/27/2080 (aa) | EUR | 100 | 72 | |||||
| Reg. S, (USD Semi-annual Swap Rate 5 Year + 3.05%), 6.25%, 10/03/2078 (aa) | 200 | 189 | ||||||
| Zayo Group Holdings, Inc., | ||||||||
| 4.00%, 03/01/2027 (e) | 7,665 | 6,151 | ||||||
| 6.13%, 03/01/2028 (e) | 8,872 | 6,224 | ||||||
|
|
|
|||||||
| 147,893 | ||||||||
|
|
|
|||||||
| Total Communications | 341,240 | |||||||
|
|
|
|||||||
| Consumer Cyclical — 15.2% | ||||||||
| Airlines — 1.1% | ||||||||
| Air Canada, (Canada), 3.88%, 08/15/2026 (e) | 1,236 | 1,061 | ||||||
| Air France-KLM, (France), Reg. S, 3.88%, 07/01/2026 | EUR | 100 | 80 | |||||
| Allegiant Travel Co., 7.25%, 08/15/2027 (e) | 410 | 386 | ||||||
| American Airlines Group, Inc., 3.75%, 03/01/2025 (e) | 205 | 168 | ||||||
| American Airlines, Inc., 11.75%, 07/15/2025 (e) | 4,240 | 4,428 | ||||||
| American Airlines, Inc. / AAdvantage Loyalty IP Ltd., (Multinational), | ||||||||
| 5.50%, 04/20/2026 (e) | 838 | 787 | ||||||
| 5.75%, 04/20/2029 (e) | 8,065 | 7,036 | ||||||
| British Airways 2013-1 Class A Pass Through Trust, 4.63%, 06/20/2024 (e) | 191 | 186 | ||||||
| Delta Air Lines, Inc., 7.00%, 05/01/2025 (e) | 297 | 299 | ||||||
| Deutsche Lufthansa AG, (Germany), Reg. S, 3.50%, 07/14/2029 | EUR | 400 | 287 | |||||
| Finnair OYJ, (Finland), Reg. S, 4.25%, 05/19/2025 | EUR | 125 | 96 | |||||
| Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd., (Cayman Islands), 5.75%, 01/20/2026 (e) | 4,633 | 4,087 | ||||||
| Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/2027 (e) |
2,735 | 2,667 | ||||||
| Singapore Airlines Ltd., (Singapore), Reg. S, 3.00%, 07/20/2026 | 5,600 | 5,238 | ||||||
| Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd., (Cayman Islands), 8.00%, 09/20/2025 (e) |
1 | 1 | ||||||
| United Airlines Pass Through Trust, Series 2020-1, | ||||||||
| Class A, 5.88%, 10/15/2027 | 87 | 84 | ||||||
| Class B, 4.88%, 01/15/2026 | 48 | 44 | ||||||
| United Airlines, Inc., | ||||||||
| 4.38%, 04/15/2026 (e) | 3,572 | 3,188 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Airlines — continued |
||||||||
| 4.63%, 04/15/2029 (e) | 6,603 | 5,481 | ||||||
|
|
|
|||||||
| 35,604 | ||||||||
|
|
|
|||||||
| Apparel — 0.4% | ||||||||
| Crocs, Inc., | ||||||||
| 4.13%, 08/15/2031 (e) | 1,419 | 1,079 | ||||||
| 4.25%, 03/15/2029 (e) | 326 | 259 | ||||||
| Hanesbrands, Inc., 4.88%, 05/15/2026 (e) | 3,350 | 3,012 | ||||||
| Kontoor Brands, Inc., 4.13%, 11/15/2029 (e) | 1,700 | 1,355 | ||||||
| Levi Strauss & Co., 3.50%, 03/01/2031 (e) | 285 | 222 | ||||||
| PVH Corp., 4.63%, 07/10/2025 | 190 | 182 | ||||||
| William Carter Co. (The), 5.63%, 03/15/2027 (e) | 2,855 | 2,669 | ||||||
| Wolverine World Wide, Inc., 4.00%, 08/15/2029 (e) | 3,950 | 3,013 | ||||||
|
|
|
|||||||
| 11,791 | ||||||||
|
|
|
|||||||
| Auto Manufacturers — 1.5% | ||||||||
| Allison Transmission, Inc., 3.75%, 01/30/2031 (e) | 2,800 | 2,147 | ||||||
| Ford Motor Co., | ||||||||
| 3.25%, 02/12/2032 | 5,121 | 3,677 | ||||||
| 4.75%, 01/15/2043 | 6,909 | 4,576 | ||||||
| 5.29%, 12/08/2046 | 2,200 | 1,551 | ||||||
| 6.10%, 08/19/2032 | 651 | 574 | ||||||
| 7.40%, 11/01/2046 | 1,275 | 1,188 | ||||||
| Ford Motor Credit Co. LLC, | ||||||||
| 2.30%, 02/10/2025 | 1,500 | 1,329 | ||||||
| 2.70%, 08/10/2026 | 2,508 | 2,080 | ||||||
| 2.90%, 02/16/2028 | 577 | 455 | ||||||
| 3.63%, 06/17/2031 | 600 | 446 | ||||||
| 3.82%, 11/02/2027 | 400 | 336 | ||||||
| 4.00%, 11/13/2030 | 1,493 | 1,164 | ||||||
| 4.13%, 08/17/2027 | 440 | 379 | ||||||
| 4.13%, 08/04/2025 | 597 | 542 | ||||||
| 4.27%, 01/09/2027 | 2,500 | 2,191 | ||||||
| 4.39%, 01/08/2026 | 908 | 822 | ||||||
| 4.54%, 03/06/2025 | GBP | 100 | 100 | |||||
| 4.95%, 05/28/2027 | 200 | 178 | ||||||
| 5.11%, 05/03/2029 | 5,409 | 4,693 | ||||||
| 5.13%, 06/16/2025 | 6,296 | 5,940 | ||||||
| 5.58%, 03/18/2024 | 579 | 568 | ||||||
| General Motors Financial Co., Inc., | ||||||||
| 2.75%, 06/20/2025 | 1,000 | 921 | ||||||
| Series C, (CMT Index 5 Year + 5.00%), 5.70%, 09/30/2030 (x) (aa) | 5 | 5 | ||||||
| Hyundai Capital America, | ||||||||
| 0.80%, 04/03/2023 (e) | 110 | 108 | ||||||
| 0.80%, 01/08/2024 (e) | 500 | 470 | ||||||
| Jaguar Land Rover Automotive plc, (United Kingdom), Reg. S, 4.50%, 07/15/2028 | EUR | 200 | 127 | |||||
| PM General Purchaser LLC, 9.50%, 10/01/2028 (e) | 1,760 | 1,472 | ||||||
| RCI Banque SA, (France), Reg. S, (EUR Swap Rate 5 Year + 2.85%), 2.63%, 02/18/2030 (aa) | EUR | 600 | 498 | |||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Auto Manufacturers — continued | ||||||||
| TML Holdings Pte Ltd., (Singapore), | ||||||||
| Reg. S, 4.35%, 06/09/2026 | 7,050 | 5,905 | ||||||
| Reg. S, 5.50%, 06/03/2024 | 3,000 | 2,861 | ||||||
| Volkswagen Group of America Finance LLC, 3.35%, 05/13/2025 (e) | 200 | 190 | ||||||
| Volkswagen International Finance NV, (Netherlands), Reg. S, (EUR Swap Rate 9 Year + 3.36%), 4.38%, 03/28/2031 (x) (aa) | EUR | 100 | 76 | |||||
| Wabash National Corp., 4.50%, 10/15/2028 (e) |
76 | 59 | ||||||
|
|
|
|||||||
| 47,628 | ||||||||
|
|
|
|||||||
| Auto Parts & Equipment — 0.9% | ||||||||
| Adient Global Holdings Ltd., (Jersey), | ||||||||
| Reg. S, 3.50%, 08/15/2024 | EUR | 100 | 90 | |||||
| 4.88%, 08/15/2026 (e) | 4,925 | 4,317 | ||||||
| American Axle & Manufacturing, Inc., 6.50%, 04/01/2027 | 3,700 | 3,136 | ||||||
| Clarios Global LP / Clarios US Finance Co., (Multinational), | ||||||||
| 6.25%, 05/15/2026 (e) | 4,716 | 4,504 | ||||||
| 8.50%, 05/15/2027 (e) | 10,254 | 9,732 | ||||||
| Cooper-Standard Automotive, Inc., 5.63%, 11/15/2026 (e) | 698 | 292 | ||||||
| Dana, Inc., | ||||||||
| 4.25%, 09/01/2030 | 950 | 696 | ||||||
| 4.50%, 02/15/2032 | 575 | 410 | ||||||
| 5.38%, 11/15/2027 | 1,200 | 1,017 | ||||||
| 5.63%, 06/15/2028 | 700 | 576 | ||||||
| Dealer Tire LLC / DT Issuer LLC, 8.00%, 02/01/2028 (e) | 186 | 164 | ||||||
| Faurecia SE, (France), Reg. S, 2.75%, 02/15/2027 | EUR | 300 | 226 | |||||
| Goodyear Tire & Rubber Co. (The), | ||||||||
| 5.00%, 07/15/2029 | 1,339 | 1,098 | ||||||
| 5.63%, 04/30/2033 | 1,211 | 956 | ||||||
| 9.50%, 05/31/2025 | 105 | 109 | ||||||
| Grupo Antolin-Irausa SA, (Spain), Reg. S, 3.50%, 04/30/2028 | EUR | 200 | 125 | |||||
| IHO Verwaltungs GmbH, (Germany), 4.75% (cash), 09/15/2026 (e) (v) | 665 | 565 | ||||||
| Tenneco, Inc., 7.88%, 01/15/2029 (e) | 75 | 73 | ||||||
| Titan International, Inc., 7.00%, 04/30/2028 | 1,025 | 941 | ||||||
| ZF Europe Finance BV, (Netherlands), Reg. S, 2.00%, 02/23/2026 | EUR | 300 | 245 | |||||
|
|
|
|||||||
| 29,272 | ||||||||
|
|
|
|||||||
| Distribution/Wholesale — 0.1% | ||||||||
| American Builders & Contractors Supply Co., Inc., 3.88%, 11/15/2029 (e) | 45 | 35 | ||||||
| H&E Equipment Services, Inc., 3.88%, 12/15/2028 (e) | 5,850 | 4,592 | ||||||
| IAA, Inc., 5.50%, 06/15/2027 (e) | 28 | 26 | ||||||
| Resideo Funding, Inc., 4.00%, 09/01/2029 (e) | 218 | 176 | ||||||
|
|
|
|||||||
| 4,829 | ||||||||
|
|
|
|||||||
| Entertainment — 2.3% | ||||||||
| AMC Entertainment Holdings, Inc., 7.50%, 02/15/2029 (e) | 575 | 446 | ||||||
| Boyne USA, Inc., 4.75%, 05/15/2029 (e) | 2,176 | 1,823 | ||||||
| Caesars Entertainment, Inc., | ||||||||
| 4.63%, 10/15/2029 (e) | 1,590 | 1,215 | ||||||
| 6.25%, 07/01/2025 (e) | 9,830 | 9,459 | ||||||
| 8.13%, 07/01/2027 (e) | 7,060 | 6,743 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Entertainment — continued | ||||||||
| Caesars Resort Collection LLC / CRC Finco, Inc., 5.75%, 07/01/2025 (e) | 1,116 | 1,083 | ||||||
| CCM Merger, Inc., 6.38%, 05/01/2026 (e) | 3,027 | 2,789 | ||||||
| CDI Escrow Issuer, Inc., 5.75%, 04/01/2030 (e) | 4,611 | 4,027 | ||||||
| Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Op, | ||||||||
| 5.50%, 05/01/2025 (e) | 1,346 | 1,295 | ||||||
| 6.50%, 10/01/2028 | 3 | 3 | ||||||
| Churchill Downs, Inc., | ||||||||
| 4.75%, 01/15/2028 (e) | 556 | 481 | ||||||
| 5.50%, 04/01/2027 (e) | 120 | 112 | ||||||
| Cirsa Finance International Sarl, (Luxembourg), Reg. S, 4.75%, 05/22/2025 | EUR | 100 | 87 | |||||
| CPUK Finance Ltd., (Jersey), Reg. S, 4.88%, 08/28/2025 | GBP | 100 | 101 | |||||
| Everi Holdings, Inc., 5.00%, 07/15/2029 (e) | 675 | 553 | ||||||
| Gamma Bidco SpA, (Italy), Reg. S, 6.25%, 07/15/2025 | EUR | 300 | 269 | |||||
| Golden Entertainment, Inc., 7.63%, 04/15/2026 (e) | 3,304 | 3,258 | ||||||
| International Game Technology plc, (United Kingdom), | ||||||||
| 5.25%, 01/15/2029 (e) | 2,055 | 1,821 | ||||||
| 6.25%, 01/15/2027 (e) | 800 | 775 | ||||||
| Jacobs Entertainment, Inc., 6.75%, 02/15/2029 (e) | 2,300 | 1,968 | ||||||
| Lions Gate Capital Holdings LLC, 5.50%, 04/15/2029 (e) | 3,466 | 2,582 | ||||||
| Live Nation Entertainment, Inc., | ||||||||
| 3.75%, 01/15/2028 (e) | 410 | 347 | ||||||
| 4.75%, 10/15/2027 (e) | 708 | 615 | ||||||
| 4.88%, 11/01/2024 (e) | 118 | 114 | ||||||
| 6.50%, 05/15/2027 (e) | 5,367 | 5,171 | ||||||
| Merlin Entertainments Ltd., (United Kingdom), 5.75%, 06/15/2026 (e) | 857 | 798 | ||||||
| Midwest Gaming Borrower LLC / Midwest Gaming Finance Corp., 4.88%, 05/01/2029 (e) | 2,446 | 2,015 | ||||||
| Motion Bondco DAC, (Ireland), 6.63%, 11/15/2027 (e) | 1,282 | 1,085 | ||||||
| Peninsula Pacific Entertainment LLC / Peninsula Pacific Entertainment Finance In, 8.50%, 11/15/2027 (e) |
98 | 105 | ||||||
| Penn Entertainment, Inc., | ||||||||
| 4.13%, 07/01/2029 (e) | 4,250 | 3,253 | ||||||
| 5.63%, 01/15/2027 (e) | 2,064 | 1,826 | ||||||
| Premier Entertainment Sub LLC / Premier Entertainment Finance Corp., 5.88%, 09/01/2031 (e) |
706 | 472 | ||||||
| Scientific Games Holdings LP / Scientific Games US FinCo, Inc., 6.63%, 03/01/2030 (e) | 2,080 | 1,667 | ||||||
| Scientific Games International, Inc., | ||||||||
| 7.00%, 05/15/2028 (e) | 818 | 771 | ||||||
| 8.63%, 07/01/2025 (e) | 1,140 | 1,167 | ||||||
| SeaWorld Parks & Entertainment, Inc., 8.75%, 05/01/2025 (e) | 160 | 163 | ||||||
| Six Flags Theme Parks, Inc., 7.00%, 07/01/2025 (e) | 958 | 958 | ||||||
| Warnermedia Holdings, Inc., | ||||||||
| 3.43%, 03/15/2024 (e) | 71 | 69 | ||||||
| 3.79%, 03/15/2025 (e) | 112 | 106 | ||||||
| 5.14%, 03/15/2052 (e) | 4,826 | 3,501 | ||||||
| 5.39%, 03/15/2062 (e) | 2,791 | 2,023 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Entertainment — continued | ||||||||
| Wynn Resorts Finance LLC / Wynn Resorts Capital Corp., | ||||||||
| 5.13%, 10/01/2029 (e) | 5,626 | 4,547 | ||||||
| 7.75%, 04/15/2025 (e) | 99 | 97 | ||||||
|
|
|
|||||||
| 71,760 | ||||||||
|
|
|
|||||||
| Food Service — 0.1% | ||||||||
| Aramark International Finance Sarl, (Luxembourg), Reg. S, 3.13%, 04/01/2025 | EUR | 200 | 180 | |||||
| Aramark Services, Inc., | ||||||||
| 5.00%, 04/01/2025 (e) | 124 | 118 | ||||||
| 5.00%, 02/01/2028 (e) | 1,769 | 1,560 | ||||||
| 6.38%, 05/01/2025 (e) | 1,054 | 1,033 | ||||||
|
|
|
|||||||
| 2,891 | ||||||||
|
|
|
|||||||
| Home Builders — 1.8% | ||||||||
| Ashton Woods USA LLC / Ashton Woods Finance Co., | ||||||||
| 4.63%, 08/01/2029 (e) | 1,133 | 823 | ||||||
| 4.63%, 04/01/2030 (e) | 1,000 | 716 | ||||||
| 6.63%, 01/15/2028 (e) | 1,400 | 1,172 | ||||||
| Beazer Homes USA, Inc., | ||||||||
| 5.88%, 10/15/2027 | 5,850 | 4,519 | ||||||
| 6.75%, 03/15/2025 | 2,555 | 2,370 | ||||||
| 7.25%, 10/15/2029 | 1,800 | 1,422 | ||||||
| Brookfield Residential Properties, Inc. / Brookfield Residential US LLC, (Canada), | ||||||||
| 4.88%, 02/15/2030 (e) | 3,583 | 2,652 | ||||||
| 5.00%, 06/15/2029 (e) | 811 | 600 | ||||||
| 6.25%, 09/15/2027 (e) | 4,400 | 3,694 | ||||||
| Century Communities, Inc., | ||||||||
| 3.88%, 08/15/2029 (e) | 1,988 | 1,526 | ||||||
| 6.75%, 06/01/2027 | 2,325 | 2,170 | ||||||
| Empire Communities Corp., (Canada), 7.00%, 12/15/2025 (e) | 750 | 622 | ||||||
| Forestar Group, Inc., | ||||||||
| 3.85%, 05/15/2026 (e) | 2,425 | 1,995 | ||||||
| 5.00%, 03/01/2028 (e) | 1,475 | 1,183 | ||||||
| KB Home, | ||||||||
| 4.00%, 06/15/2031 | 550 | 404 | ||||||
| 4.80%, 11/15/2029 | 1,400 | 1,127 | ||||||
| 6.88%, 06/15/2027 | 1,298 | 1,231 | ||||||
| 7.25%, 07/15/2030 | 3,350 | 3,040 | ||||||
| M/I Homes, Inc., 4.95%, 02/01/2028 | 2,693 | 2,243 | ||||||
| Mattamy Group Corp., (Canada), | ||||||||
| 4.63%, 03/01/2030 (e) | 3,580 | 2,734 | ||||||
| 5.25%, 12/15/2027 (e) | 2,010 | 1,666 | ||||||
| Meritage Homes Corp., | ||||||||
| 5.13%, 06/06/2027 | 2,000 | 1,773 | ||||||
| 6.00%, 06/01/2025 | 800 | 776 | ||||||
| Shea Homes LP / Shea Homes Funding Corp., | ||||||||
| 4.75%, 02/15/2028 (e) | 3,225 | 2,624 | ||||||
| 4.75%, 04/01/2029 (e) | 450 | 349 | ||||||
| STL Holding Co. LLC, 7.50%, 02/15/2026 (e) | 1,915 | 1,622 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Home Builders — continued | ||||||||
| Taylor Morrison Communities, Inc., | ||||||||
| 5.13%, 08/01/2030 (e) | 5,571 | 4,497 | ||||||
| 5.75%, 01/15/2028 (e) | 700 | 613 | ||||||
| 5.88%, 06/15/2027 (e) | 3,611 | 3,363 | ||||||
| Tri Pointe Homes, Inc., | ||||||||
| 5.25%, 06/01/2027 | 1,300 | 1,124 | ||||||
| 5.70%, 06/15/2028 | 2,201 | 1,872 | ||||||
|
|
|
|||||||
| 56,522 | ||||||||
|
|
|
|||||||
| Home Furnishings — 0.0% (g) | ||||||||
| Tempur Sealy International, Inc., | ||||||||
| 3.88%, 10/15/2031 (e) | 493 | 361 | ||||||
| 4.00%, 04/15/2029 (e) | 101 | 80 | ||||||
|
|
|
|||||||
| 441 | ||||||||
|
|
|
|||||||
| Housewares — 0.3% | ||||||||
| CD&R Smokey Buyer, Inc., 6.75%, 07/15/2025 (e) | 1,640 | 1,486 | ||||||
| Newell Brands, Inc., | ||||||||
| 4.45%, 04/01/2026 | 175 | 161 | ||||||
| 4.88%, 06/01/2025 | 75 | 73 | ||||||
| Scotts Miracle-Gro Co. (The), | ||||||||
| 4.00%, 04/01/2031 | 4,673 | 3,290 | ||||||
| 4.38%, 02/01/2032 | 1,000 | 711 | ||||||
| SWF Escrow Issuer Corp., 6.50%, 10/01/2029 (e) | 6,256 | 3,707 | ||||||
|
|
|
|||||||
| 9,428 | ||||||||
|
|
|
|||||||
| Leisure Time — 0.7% | ||||||||
| Carnival Corp., (Panama), |
||||||||
| 4.00%, 08/01/2028 (e) | 1,817 | 1,467 | ||||||
| 5.75%, 03/01/2027 (e) | 3,460 | 2,422 | ||||||
| 6.00%, 05/01/2029 (e) | 1,932 | 1,304 | ||||||
| 7.63%, 03/01/2026 (e) | 436 | 337 | ||||||
| 9.88%, 08/01/2027 (e) | 1,525 | 1,499 | ||||||
| Reg. S, 10.13%, 02/01/2026 | EUR | 400 | 386 | |||||
| 10.50%, 02/01/2026 (e) | 3,752 | 3,712 | ||||||
| Life Time, Inc., | ||||||||
| 5.75%, 01/15/2026 (e) | 1,310 | 1,192 | ||||||
| 8.00%, 04/15/2026 (e) | 173 | 148 | ||||||
| Lindblad Expeditions LLC, 6.75%, 02/15/2027 (e) | 379 | 334 | ||||||
| MajorDrive Holdings IV LLC, 6.38%, 06/01/2029 (e) | 74 | 51 | ||||||
| NCL Corp. Ltd., (Bermuda), | ||||||||
| 5.88%, 03/15/2026 (e) | 1,661 | 1,274 | ||||||
| 7.75%, 02/15/2029 (e) | 112 | 84 | ||||||
| NCL Finance Ltd., (Bermuda), 6.13%, 03/15/2028 (e) | 87 | 65 | ||||||
| Royal Caribbean Cruises Ltd., (Liberia), | ||||||||
| 5.38%, 07/15/2027 (e) | 1,694 | 1,246 | ||||||
| 5.50%, 08/31/2026 (e) | 308 | 233 | ||||||
| 5.50%, 04/01/2028 (e) | 6 | 4 | ||||||
| 8.25%, 01/15/2029 (e) (w) | 1,912 | 1,862 | ||||||
| 9.25%, 01/15/2029 (e) (w) | 938 | 928 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Leisure Time — continued | ||||||||
| 11.50%, 06/01/2025 (e) | 1,428 | 1,520 | ||||||
| 11.63%, 08/15/2027 (e) | 643 | 585 | ||||||
| Viking Cruises Ltd., (Bermuda), | ||||||||
| 5.88%, 09/15/2027 (e) | 200 | 152 | ||||||
| 6.25%, 05/15/2025 (e) | 500 | 433 | ||||||
| Viking Ocean Cruises Ship VII Ltd., (Bermuda), 5.63%, 02/15/2029 (e) | 194 | 151 | ||||||
| Vista Outdoor, Inc., 4.50%, 03/15/2029 (e) | 50 | 35 | ||||||
|
|
|
|||||||
| 21,424 | ||||||||
|
|
|
|||||||
| Lodging — 3.6% | ||||||||
| Accor SA, (France), Reg. S, (EUR Swap Rate 5 Year + 4.56%), 4.38%, 01/30/2024 (x) (aa) | EUR | 300 | 255 | |||||
| Boyd Gaming Corp., | ||||||||
| 4.75%, 12/01/2027 | 191 | 169 | ||||||
| 4.75%, 06/15/2031 (e) | 2,372 | 1,918 | ||||||
| Champion Path Holdings Ltd., (British Virgin Islands), | ||||||||
| Reg. S, 4.50%, 01/27/2026 | 1,260 | 863 | ||||||
| Reg. S, 4.85%, 01/27/2028 | 400 | 257 | ||||||
| Fortune Star BVI Ltd., (British Virgin Islands), | ||||||||
| Reg. S, 5.00%, 05/18/2026 | 2,900 | 1,101 | ||||||
| Reg. S, 5.05%, 01/27/2027 | 1,200 | 447 | ||||||
| Reg. S, 5.95%, 10/19/2025 | 13,000 | 5,068 | ||||||
| Reg. S, 6.85%, 07/02/2024 | 3,000 | 1,347 | ||||||
| Hilton Domestic Operating Co., Inc., | ||||||||
| 3.63%, 02/15/2032 (e) | 4,457 | 3,411 | ||||||
| 3.75%, 05/01/2029 (e) | 511 | 423 | ||||||
| 4.00%, 05/01/2031 (e) | 613 | 496 | ||||||
| 4.88%, 01/15/2030 | 2,389 | 2,078 | ||||||
| 5.75%, 05/01/2028 (e) | 503 | 470 | ||||||
| Hyatt Hotels Corp., 1.30%, 10/01/2023 | 440 | 423 | ||||||
| Marriott International, Inc., 5.00%, 10/15/2027 | 120 | 116 | ||||||
| Melco Resorts Finance Ltd., (Cayman Islands), | ||||||||
| Reg. S, 4.88%, 06/06/2025 | 5,580 | 4,130 | ||||||
| Reg. S, 5.75%, 07/21/2028 | 18,850 | 12,064 | ||||||
| MGM China Holdings Ltd., (Cayman Islands), | ||||||||
| 5.25%, 06/18/2025 (e) | 2,000 | 1,674 | ||||||
| Reg. S, 5.25%, 06/18/2025 | 5,300 | 4,436 | ||||||
| 5.38%, 05/15/2024 (e) | 1,900 | 1,666 | ||||||
| Reg. S, 5.88%, 05/15/2026 | 1,500 | 1,215 | ||||||
| MGM Resorts International, | ||||||||
| 4.63%, 09/01/2026 | 750 | 663 | ||||||
| 4.75%, 10/15/2028 | 8,026 | 6,717 | ||||||
| 5.50%, 04/15/2027 | 650 | 584 | ||||||
| 5.75%, 06/15/2025 | 1,300 | 1,243 | ||||||
| 6.75%, 05/01/2025 | 3,250 | 3,201 | ||||||
| Sands China Ltd., (Cayman Islands), | ||||||||
| 2.80%, 03/08/2027 | 600 | 477 | ||||||
| 4.30%, 01/08/2026 | 13,800 | 11,745 | ||||||
| 5.63%, 08/08/2025 | 7,400 | 6,704 | ||||||
| 5.90%, 08/08/2028 | 10,500 | 8,825 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Lodging — continued | ||||||||
| Station Casinos LLC, | ||||||||
| 4.50%, 02/15/2028 (e) | 1,746 | 1,433 | ||||||
| 4.63%, 12/01/2031 (e) | 588 | 444 | ||||||
| Studio City Finance Ltd., (British Virgin Islands), | ||||||||
| Reg. S, 5.00%, 01/15/2029 | 600 | 266 | ||||||
| Reg. S, 6.00%, 07/15/2025 | 13,683 | 7,628 | ||||||
| Reg. S, 6.50%, 01/15/2028 | 400 | 195 | ||||||
| Sugarhouse HSP Gaming Prop Mezz LP / Sugarhouse HSP Gaming Finance Corp., 5.88%, 05/15/2025 (e) |
3,950 | 3,654 | ||||||
| Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 4.25%, 05/30/2023 (e) | 165 | 162 | ||||||
| Wynn Macau Ltd., (Cayman Islands), | ||||||||
| 4.88%, 10/01/2024 (e) | 500 | 401 | ||||||
| Reg. S, 4.88%, 10/01/2024 | 2,000 | 1,605 | ||||||
| Reg. S, 5.50%, 01/15/2026 | 16,650 | 12,620 | ||||||
| 5.50%, 10/01/2027 (e) | 1,330 | 926 | ||||||
|
|
|
|||||||
| 113,520 | ||||||||
|
|
|
|||||||
| Retail — 2.3% | ||||||||
| 1011778 BC ULC / New Red Finance, Inc., (Canada), | ||||||||
| 3.50%, 02/15/2029 (e) | 1,500 | 1,234 | ||||||
| 4.00%, 10/15/2030 (e) | 6,554 | 5,162 | ||||||
| 4.38%, 01/15/2028 (e) | 1,652 | 1,431 | ||||||
| 5.75%, 04/15/2025 (e) | 77 | 76 | ||||||
| 7-Eleven, Inc., 0.80%, 02/10/2024 (e) | 425 | 402 | ||||||
| Arko Corp., 5.13%, 11/15/2029 (e) | 70 | 55 | ||||||
| Asbury Automotive Group, Inc., | ||||||||
| 4.75%, 03/01/2030 | 3 | 2 | ||||||
| 5.00%, 02/15/2032 (e) | 1,359 | 1,040 | ||||||
| At Home Group, Inc., | ||||||||
| 4.88%, 07/15/2028 (e) | 300 | 210 | ||||||
| 7.13%, 07/15/2029 (e) | 1,475 | 870 | ||||||
| BCPE Ulysses Intermediate, Inc., 7.75% (cash), 04/01/2027 (e) (v) | 125 | 85 | ||||||
| Beacon Roofing Supply, Inc., 4.13%, 05/15/2029 (e) | 219 | 177 | ||||||
| Brinker International, Inc., 5.00%, 10/01/2024 (e) | 1,300 | 1,249 | ||||||
| Burger King France SAS, (France), Reg. S, (ICE LIBOR EUR 3 Month + 4.75%), 5.02%, 11/01/2026 (aa) |
EUR | 400 | 373 | |||||
| Carrols Restaurant Group, Inc., 5.88%, 07/01/2029 (e) | 925 | 617 | ||||||
| Carvana Co., | ||||||||
| 4.88%, 09/01/2029 (e) | 79 | 38 | ||||||
| 5.50%, 04/15/2027 (e) | 513 | 280 | ||||||
| 10.25%, 05/01/2030 (e) | 200 | 133 | ||||||
| Constellation Automotive Financing plc, (United Kingdom), Reg. S, 4.88%, 07/15/2027 | GBP | 200 | 151 | |||||
| Dufry One BV, (Netherlands), Reg. S, 2.50%, 10/15/2024 | EUR | 200 | 180 | |||||
| eG Global Finance plc, (United Kingdom), | ||||||||
| Reg. S, 4.38%, 02/07/2025 | EUR | 922 | 777 | |||||
| Reg. S, 6.25%, 10/30/2025 | EUR | 1,736 | 1,471 | |||||
| 6.75%, 02/07/2025 (e) | 3,510 | 3,166 | ||||||
| 8.50%, 10/30/2025 (e) | 1,765 | 1,544 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Retail — continued | ||||||||
| Ferrellgas LP / Ferrellgas Finance Corp., | ||||||||
| 5.38%, 04/01/2026 (e) | 300 | 264 | ||||||
| 5.88%, 04/01/2029 (e) | 1,385 | 1,125 | ||||||
| Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc., | ||||||||
| 4.63%, 01/15/2029 (e) | 2,086 | 1,726 | ||||||
| 6.75%, 01/15/2030 (e) | 3,387 | 2,575 | ||||||
| Food Service Project SA, (Spain), Reg. S, 5.50%, 01/21/2027 | EUR | 100 | 84 | |||||
| Foundation Building Materials, Inc., 6.00%, 03/01/2029 (e) | 1,885 | 1,376 | ||||||
| Gap, Inc. (The), | ||||||||
| 3.63%, 10/01/2029 (e) | 2,000 | 1,300 | ||||||
| 3.88%, 10/01/2031 (e) | 2,980 | 1,892 | ||||||
| Goldstory SASU, (France), Reg. S, 5.38%, 03/01/2026 | EUR | 300 | 250 | |||||
| GYP Holdings III Corp., 4.63%, 05/01/2029 (e) | 1,083 | 824 | ||||||
| Jollibee Worldwide Pte Ltd., (Singapore), Reg. S, 4.13%, 01/24/2026 | 4,200 | 4,038 | ||||||
| Ken Garff Automotive LLC, 4.88%, 09/15/2028 (e) | 3 | 2 | ||||||
| LBM Acquisition LLC, 6.25%, 01/15/2029 (e) | 2,632 | 1,783 | ||||||
| LCM Investments Holdings II LLC, 4.88%, 05/01/2029 (e) | 1,699 | 1,316 | ||||||
| Lithia Motors, Inc., 3.88%, 06/01/2029 (e) | 13 | 10 | ||||||
| NMG Holding Co., Inc. / Neiman Marcus Group LLC, 7.13%, 04/01/2026 (e) | 181 | 166 | ||||||
| Park River Holdings, Inc., | ||||||||
| 5.63%, 02/01/2029 (e) | 3,925 | 2,546 | ||||||
| 6.75%, 08/01/2029 (e) | 550 | 365 | ||||||
| Patrick Industries, Inc., | ||||||||
| 4.75%, 05/01/2029 (e) | 2,325 | 1,733 | ||||||
| 7.50%, 10/15/2027 (e) | 60 | 55 | ||||||
| Penske Automotive Group, Inc., 3.75%, 06/15/2029 (e) | 252 | 200 | ||||||
| PetSmart, Inc. / PetSmart Finance Corp., | ||||||||
| 4.75%, 02/15/2028 (e) | 250 | 214 | ||||||
| 7.75%, 02/15/2029 (e) | 2,899 | 2,592 | ||||||
| Sally Holdings LLC / Sally Capital, Inc., 5.63%, 12/01/2025 | 3,250 | 3,079 | ||||||
| SRS Distribution, Inc., | ||||||||
| 4.63%, 07/01/2028 (e) | 2,669 | 2,293 | ||||||
| 6.00%, 12/01/2029 (e) | 6,120 | 4,881 | ||||||
| 6.13%, 07/01/2029 (e) | 941 | 753 | ||||||
| Staples, Inc., 7.50%, 04/15/2026 (e) | 494 | 414 | ||||||
| Suburban Propane Partners LP / Suburban Energy Finance Corp., | ||||||||
| 5.00%, 06/01/2031 (e) | 2,600 | 2,125 | ||||||
| 5.88%, 03/01/2027 | 2,075 | 1,958 | ||||||
| Superior Plus LP / Superior General Partner, Inc., (Canada), 4.50%, 03/15/2029 (e) | 4,075 | 3,345 | ||||||
| Tendam Brands SAU, (Spain), | ||||||||
| Reg. S, 5.00%, 09/15/2024 | EUR | 100 | 91 | |||||
| Reg. S, (ICE LIBOR EUR 3 Month + 5.25%), 5.52%, 09/15/2024 (aa) | EUR | 200 | 185 | |||||
| White Cap Buyer LLC, 6.88%, 10/15/2028 (e) | 4,797 | 3,958 | ||||||
| White Cap Parent LLC, 8.25% (cash), 03/15/2026 (e) (v) | 586 | 496 | ||||||
| Yum! Brands, Inc., 5.38%, 04/01/2032 | 478 | 424 | ||||||
|
|
|
|||||||
| 71,161 | ||||||||
|
|
|
|||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Toys/Games/Hobbies — 0.1% | ||||||||
| Mattel, Inc., | ||||||||
| 3.75%, 04/01/2029 (e) | 273 | 229 | ||||||
| 5.45%, 11/01/2041 | 2,701 | 2,263 | ||||||
|
|
|
|||||||
| 2,492 | ||||||||
|
|
|
|||||||
| Total Consumer Cyclical | 478,763 | |||||||
|
|
|
|||||||
| Consumer Non-cyclical — 10.1% | ||||||||
| Agriculture — 0.2% | ||||||||
| BAT Capital Corp., 3.22%, 08/15/2024 | 86 | 83 | ||||||
| BAT International Finance plc, (United Kingdom), 3.95%, 06/15/2025 (e) | 358 | 341 | ||||||
| Darling Ingredients, Inc., 6.00%, 06/15/2030 (e) | 1,627 | 1,548 | ||||||
| Imperial Brands Finance plc, (United Kingdom), | ||||||||
| 3.13%, 07/26/2024 (e) | 643 | 615 | ||||||
| 6.13%, 07/27/2027 (e) | 200 | 197 | ||||||
| Vector Group Ltd., 5.75%, 02/01/2029 (e) | 2,975 | 2,429 | ||||||
| Viterra Finance BV, (Netherlands), 2.00%, 04/21/2026 (e) | 700 | 595 | ||||||
|
|
|
|||||||
| 5,808 | ||||||||
|
|
|
|||||||
| Biotechnology — 0.0% (g) | ||||||||
| Cidron Aida Finco Sarl, (Luxembourg), Reg. S, 5.00%, 04/01/2028 | EUR | 200 | 160 | |||||
|
|
|
|||||||
| Commercial Services — 3.4% | ||||||||
| Adani Ports & Special Economic Zone Ltd., (India), 3.38%, 07/24/2024 (e) | 200 | 190 | ||||||
| ADT Security Corp. (The), 4.88%, 07/15/2032 (e) | 156 | 126 | ||||||
| Adtalem Global Education, Inc., 5.50%, 03/01/2028 (e) | 670 | 603 | ||||||
| Albion Financing 1 Sarl / Aggreko Holdings, Inc., (Luxembourg), 6.13%, 10/15/2026 (e) | 200 | 169 | ||||||
| Allied Universal Holdco LLC / Allied Universal Finance Corp., | ||||||||
| 6.00%, 06/01/2029 (e) | 6,660 | 4,298 | ||||||
| 6.63%, 07/15/2026 (e) | 10,685 | 9,523 | ||||||
| 9.75%, 07/15/2027 (e) | 6,566 | 5,397 | ||||||
| Allied Universal Holdco LLC / Allied Universal Finance Corp. / Atlas Luxco 4 Sarl, (Multinational), 4.63%, 06/01/2028 (e) | 5,471 | 4,165 | ||||||
| Alta Equipment Group, Inc., 5.63%, 04/15/2026 (e) | 900 | 754 | ||||||
| AMN Healthcare, Inc., | ||||||||
| 4.00%, 04/15/2029 (e) | 900 | 758 | ||||||
| 4.63%, 10/01/2027 (e) | 3,149 | 2,825 | ||||||
| APi Group DE, Inc., | ||||||||
| 4.13%, 07/15/2029 (e) | 422 | 335 | ||||||
| 4.75%, 10/15/2029 (e) | 450 | 377 | ||||||
| APX Group, Inc., | ||||||||
| 5.75%, 07/15/2029 (e) | 2,131 | 1,669 | ||||||
| 6.75%, 02/15/2027 (e) | 154 | 144 | ||||||
| Ashtead Capital, Inc., 4.38%, 08/15/2027 (e) | 227 | 208 | ||||||
| Autostrade per l’Italia SpA, (Italy), | ||||||||
| Reg. S, 1.88%, 11/04/2025 | EUR | 100 | 88 | |||||
| Reg. S, 2.00%, 01/15/2030 | EUR | 400 | 293 | |||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Commercial Services — continued | ||||||||
| Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 4.75%, 04/01/2028 (e) | 3,300 | 2,692 | ||||||
| Avis Budget Finance Plc, (Jersey), Reg. S, 4.75%, 01/30/2026 | EUR | 300 | 268 | |||||
| BCP V Modular Services Finance II plc, (United Kingdom), | ||||||||
| Reg. S, 4.75%, 11/30/2028 | EUR | 200 | 157 | |||||
| Reg. S, 6.13%, 11/30/2028 | GBP | 100 | 86 | |||||
| Block, Inc., 3.50%, 06/01/2031 | 5,177 | 4,014 | ||||||
| Brink’s Co. (The), | ||||||||
| 4.63%, 10/15/2027 (e) | 300 | 266 | ||||||
| 5.50%, 07/15/2025 (e) | 1,450 | 1,381 | ||||||
| Carriage Services, Inc., 4.25%, 05/15/2029 (e) | 1,200 | 949 | ||||||
| CoreLogic, Inc., 4.50%, 05/01/2028 (e) | 2,026 | 1,449 | ||||||
| eHi Car Services Ltd., (Cayman Islands), Reg. S, 7.00%, 09/21/2026 | 2,600 | 1,284 | ||||||
| Garda World Security Corp., (Canada), 4.63%, 02/15/2027 (e) | 27 | 23 | ||||||
| Gartner, Inc., | ||||||||
| 3.63%, 06/15/2029 (e) | 176 | 146 | ||||||
| 3.75%, 10/01/2030 (e) | 45 | 37 | ||||||
| 4.50%, 07/01/2028 (e) | 1,703 | 1,523 | ||||||
| Global Payments, Inc., | ||||||||
| 3.75%, 06/01/2023 | 146 | 144 | ||||||
| 5.40%, 08/15/2032 | 529 | 489 | ||||||
| 5.95%, 08/15/2052 | 673 | 593 | ||||||
| HealthEquity, Inc., 4.50%, 10/01/2029 (e) | 4,707 | 4,036 | ||||||
| Herc Holdings, Inc., 5.50%, 07/15/2027 (e) | 4,333 | 3,943 | ||||||
| Hertz Corp. (The), | ||||||||
| 4.63%, 12/01/2026 (e) | 632 | 513 | ||||||
| 5.00%, 12/01/2029 (e) | 775 | 578 | ||||||
| India Toll Roads, (Mauritius), Reg. S, 5.50%, 08/19/2024 | 6,500 | 6,078 | ||||||
| La Financiere Atalian SASU, (France), Reg. S, 4.00%, 05/15/2024 | EUR | 300 | 278 | |||||
| Legends Hospitality Holding Co. LLC / Legends Hospitality Co-Issuer, Inc., 5.00%, 02/01/2026 (e) |
41 | 35 | ||||||
| Loxam SAS, (France), Reg. S, 3.25%, 01/14/2025 | EUR | 300 | 265 | |||||
| Metis Merger Sub LLC, 6.50%, 05/15/2029 (e) | 5,832 | 4,549 | ||||||
| MPH Acquisition Holdings LLC, 5.50%, 09/01/2028 (e) | 2,048 | 1,699 | ||||||
| NESCO Holdings II, Inc., 5.50%, 04/15/2029 (e) | 2,972 | 2,477 | ||||||
| Nielsen Finance LLC / Nielsen Finance Co., | ||||||||
| 5.63%, 10/01/2028 (e) | 1,402 | 1,392 | ||||||
| 5.88%, 10/01/2030 (e) | 201 | 200 | ||||||
| Prime Security Services Borrower LLC / Prime Finance, Inc., 6.25%, 01/15/2028 (e) | 1,557 | 1,330 | ||||||
| Rekeep SpA, (Italy), Reg. S, 7.25%, 02/01/2026 | EUR | 300 | 257 | |||||
| Royal Capital BV, (Netherlands), Reg. S, (CMT Index 5 Year + 7.40%), 5.00%, 02/05/2026 (x) (aa) | 7,600 | 7,091 | ||||||
| Sabre GLBL, Inc., | ||||||||
| 7.38%, 09/01/2025 (e) | 641 | 574 | ||||||
| 9.25%, 04/15/2025 (e) | 855 | 819 | ||||||
| Service Corp. International, | ||||||||
| 3.38%, 08/15/2030 | 1,170 | 925 | ||||||
| 4.00%, 05/15/2031 | 2,901 | 2,336 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Commercial Services — continued | ||||||||
| Shift4 Payments LLC / Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/2026 (e) | 2,912 | 2,655 | ||||||
| Sotheby’s, 7.38%, 10/15/2027 (e) | 4,397 | 4,039 | ||||||
| Sotheby’s / Bidfair Holdings, Inc., 5.88%, 06/01/2029 (e) | 299 | 247 | ||||||
| Techem Verwaltungsgesellschaft 674 mbH, (Germany), Reg. S, 6.00%, 07/30/2026 | EUR | 176 | 154 | |||||
| Triton Container International Ltd., (Bermuda), 0.80%, 08/01/2023 (e) | 400 | 382 | ||||||
| United Rentals North America, Inc., | ||||||||
| 3.75%, 01/15/2032 | 2,700 | 2,115 | ||||||
| 3.88%, 02/15/2031 | 2,375 | 1,931 | ||||||
| 4.88%, 01/15/2028 | 2,075 | 1,902 | ||||||
| 5.25%, 01/15/2030 | 1,425 | 1,290 | ||||||
| Verisure Holding AB, (Sweden), Reg. S, 3.50%, 05/15/2023 | EUR | 400 | 391 | |||||
| Verscend Escrow Corp., 9.75%, 08/15/2026 (e) | 6,227 | 6,009 | ||||||
| Williams Scotsman International, Inc., 4.63%, 08/15/2028 (e) | 887 | 776 | ||||||
|
|
|
|||||||
| 108,689 | ||||||||
|
|
|
|||||||
| Cosmetics/Personal Care — 0.0% (g) | ||||||||
| Coty, Inc., Reg. S, 3.88%, 04/15/2026 | EUR | 200 | 176 | |||||
| Coty, Inc. / HFC Prestige Products, Inc. / HFC Prestige International US LLC, 4.75%, 01/15/2029 (e) | 62 | 53 | ||||||
|
|
|
|||||||
| 229 | ||||||||
|
|
|
|||||||
| Food — 2.0% | ||||||||
| Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, | ||||||||
| 3.25%, 03/15/2026 (e) | 80 | 70 | ||||||
| 3.50%, 03/15/2029 (e) | 3,350 | 2,700 | ||||||
| 4.88%, 02/15/2030 (e) | 489 | 414 | ||||||
| 5.88%, 02/15/2028 (e) | 2,195 | 2,025 | ||||||
| B&G Foods, Inc., | ||||||||
| 5.25%, 04/01/2025 | 4,250 | 3,697 | ||||||
| 5.25%, 09/15/2027 | 1,871 | 1,516 | ||||||
| Bellis Acquisition Co. plc, (United Kingdom), Reg. S, 3.25%, 02/16/2026 | GBP | 200 | 168 | |||||
| C&S Group Enterprises LLC, 5.00%, 12/15/2028 (e) | 675 | 499 | ||||||
| China Modern Dairy Holdings Ltd., (Cayman Islands), Reg. S, 2.13%, 07/14/2026 | 1,800 | 1,510 | ||||||
| Chobani LLC / Chobani Finance Corp., Inc., | ||||||||
| 4.63%, 11/15/2028 (e) | 2,609 | 2,219 | ||||||
| 7.50%, 04/15/2025 (e) | 5,204 | 4,776 | ||||||
| Darling Global Finance BV, (Netherlands), Reg. S, 3.63%, 05/15/2026 | EUR | 200 | 184 | |||||
| FPC Resources Ltd., (British Virgin Islands), Reg. S, 4.38%, 09/11/2027 | 2,100 | 2,013 | ||||||
| JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., (Multinational), 3.75%, 12/01/2031 (e) | 182 | 146 | ||||||
| JGSH Philippines Ltd., (British Virgin Islands), Reg. S, 4.13%, 07/09/2030 | 7,600 | 6,939 | ||||||
| Kraft Heinz Foods Co., | ||||||||
| 4.88%, 10/01/2049 | 3,843 | 3,168 | ||||||
| 5.20%, 07/15/2045 | 3,550 | 3,079 | ||||||
| 5.50%, 06/01/2050 | 767 | 690 | ||||||
| 6.88%, 01/26/2039 | 2,000 | 2,060 | ||||||
| 7.13%, 08/01/2039 (e) | 500 | 524 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Food — continued | ||||||||
| Lamb Weston Holdings, Inc., | ||||||||
| 4.13%, 01/31/2030 (e) | 3,444 | 2,915 | ||||||
| 4.38%, 01/31/2032 (e) | 4,132 | 3,414 | ||||||
| 4.88%, 05/15/2028 (e) | 72 | 65 | ||||||
| Market Bidco Finco plc, (United Kingdom), 5.50%, 11/04/2027 (e) | GBP | 250 | 216 | |||||
| Ocado Group plc, (United Kingdom), Reg. S, 3.88%, 10/08/2026 | GBP | 100 | 81 | |||||
| Performance Food Group, Inc., | ||||||||
| 4.25%, 08/01/2029 (e) | 553 | 460 | ||||||
| 5.50%, 10/15/2027 (e) | 1,694 | 1,540 | ||||||
| Picard Groupe SAS, (France), Reg. S, 3.88%, 07/01/2026 | EUR | 200 | 164 | |||||
| Pilgrim’s Pride Corp., | ||||||||
| 3.50%, 03/01/2032 (e) | 157 | 118 | ||||||
| 4.25%, 04/15/2031 (e) | 8,148 | 6,533 | ||||||
| Post Holdings, Inc., | ||||||||
| 4.50%, 09/15/2031 (e) | 1,666 | 1,341 | ||||||
| 4.63%, 04/15/2030 (e) | 2,780 | 2,274 | ||||||
| 5.50%, 12/15/2029 (e) | 1,000 | 865 | ||||||
| 5.63%, 01/15/2028 (e) | 700 | 639 | ||||||
| Premier Foods Finance plc, (United Kingdom), Reg. S, 3.50%, 10/15/2026 | GBP | 200 | 177 | |||||
| Quatrim SASU, (France), Reg. S, 5.88%, 01/15/2024 | EUR | 100 | 91 | |||||
| Simmons Foods, Inc. / Simmons Prepared Foods, Inc. / Simmons Pet Food, Inc. / Simmons Feed, 4.63%, 03/01/2029 (e) | 930 | 760 | ||||||
| US Foods, Inc., | ||||||||
| 4.75%, 02/15/2029 (e) | 1,409 | 1,203 | ||||||
| 6.25%, 04/15/2025 (e) | 568 | 558 | ||||||
|
|
|
|||||||
| 61,811 | ||||||||
|
|
|
|||||||
| Healthcare - Products — 0.6% | ||||||||
| Avantor Funding, Inc., | ||||||||
| Reg. S, 3.88%, 07/15/2028 | EUR | 100 | 84 | |||||
| 3.88%, 11/01/2029 (e) | 602 | 494 | ||||||
| 4.63%, 07/15/2028 (e) | 4,267 | 3,778 | ||||||
| Garden Spinco Corp., 8.63%, 07/20/2030 (e) | 743 | 768 | ||||||
| Medline Borrower LP, | ||||||||
| 3.88%, 04/01/2029 (e) | 6,431 | 5,161 | ||||||
| 5.25%, 10/01/2029 (e) | 10,748 | 8,120 | ||||||
| Teleflex, Inc., 4.25%, 06/01/2028 (e) | 873 | 757 | ||||||
|
|
|
|||||||
| 19,162 | ||||||||
|
|
|
|||||||
| Healthcare - Services — 2.4% | ||||||||
| Acadia Healthcare Co., Inc., 5.00%, 04/15/2029 (e) | 15 | 13 | ||||||
| AHP Health Partners, Inc., 5.75%, 07/15/2029 (e) | 255 | 198 | ||||||
| Catalent Pharma Solutions, Inc., | ||||||||
| 3.13%, 02/15/2029 (e) | 431 | 332 | ||||||
| 3.50%, 04/01/2030 (e) | 2,162 | 1,701 | ||||||
| Centene Corp., | ||||||||
| 2.45%, 07/15/2028 | 2,460 | 2,003 | ||||||
| 2.50%, 03/01/2031 | 2,789 | 2,104 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Healthcare - Services — continued | ||||||||
| 2.63%, 08/01/2031 | 1,917 | 1,447 | ||||||
| 3.00%, 10/15/2030 | 5,900 | 4,672 | ||||||
| 4.25%, 12/15/2027 | 188 | 172 | ||||||
| Charles River Laboratories International, Inc., | ||||||||
| 4.00%, 03/15/2031 (e) | 20 | 16 | ||||||
| 4.25%, 05/01/2028 (e) | 1,916 | 1,669 | ||||||
| CHS / Community Health Systems, Inc., | ||||||||
| 5.25%, 05/15/2030 (e) | 81 | 56 | ||||||
| 5.63%, 03/15/2027 (e) | 700 | 539 | ||||||
| 6.00%, 01/15/2029 (e) | 2,402 | 1,765 | ||||||
| 8.00%, 03/15/2026 (e) | 382 | 331 | ||||||
| DaVita, Inc., | ||||||||
| 3.75%, 02/15/2031 (e) | 9,130 | 6,505 | ||||||
| 4.63%, 06/01/2030 (e) | 1,000 | 770 | ||||||
| Encompass Health Corp., | ||||||||
| 4.50%, 02/01/2028 | 55 | 47 | ||||||
| 4.63%, 04/01/2031 | 1,345 | 1,063 | ||||||
| 4.75%, 02/01/2030 | 2,043 | 1,680 | ||||||
| HCA, Inc., | ||||||||
| 4.63%, 03/15/2052 (e) | 1,107 | 832 | ||||||
| 5.25%, 04/15/2025 | 800 | 784 | ||||||
| 7.05%, 12/01/2027 | 950 | 971 | ||||||
| 7.50%, 11/06/2033 | 2,900 | 3,055 | ||||||
| IQVIA, Inc., | ||||||||
| Reg. S, 1.75%, 03/15/2026 | EUR | 200 | 170 | |||||
| Reg. S, 2.25%, 03/15/2029 | EUR | 100 | 75 | |||||
| 5.00%, 10/15/2026 (e) | 397 | 378 | ||||||
| Korian SA, (France), Reg. S, (UK Gilts 5 Year + 9.08%), 4.13%, 03/15/2024 (x) (aa) | GBP | 300 | 251 | |||||
| Legacy LifePoint Health LLC, | ||||||||
| 4.38%, 02/15/2027 (e) | 40 | 33 | ||||||
| 6.75%, 04/15/2025 (e) | 603 | 574 | ||||||
| LifePoint Health, Inc., 5.38%, 01/15/2029 (e) | 3,800 | 2,649 | ||||||
| Molina Healthcare, Inc., | ||||||||
| 3.88%, 11/15/2030 (e) | 334 | 281 | ||||||
| 3.88%, 05/15/2032 (e) | 2,377 | 1,947 | ||||||
| Prime Healthcare Services, Inc., 7.25%, 11/01/2025 (e) | 3,742 | 3,340 | ||||||
| RegionalCare Hospital Partners Holdings, Inc. / LifePoint Health, Inc., 9.75%, 12/01/2026 (e) | 5,952 | 5,372 | ||||||
| Surgery Center Holdings, Inc., | ||||||||
| 6.75%, 07/01/2025 (e) | 1,551 | 1,442 | ||||||
| 10.00%, 04/15/2027 (e) | 3,290 | 3,185 | ||||||
| Syneos Health, Inc., 3.63%, 01/15/2029 (e) | 4,587 | 3,653 | ||||||
| Tenet Healthcare Corp., | ||||||||
| 4.25%, 06/01/2029 (e) | 3,107 | 2,573 | ||||||
| 4.38%, 01/15/2030 (e) | 7,205 | 6,014 | ||||||
| 4.88%, 01/01/2026 (e) | 4,854 | 4,511 | ||||||
| 5.13%, 11/01/2027 (e) | 2,693 | 2,416 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Healthcare - Services — continued | ||||||||
| 6.13%, 10/01/2028 (e) | 2,440 | 2,137 | ||||||
| 6.13%, 06/15/2030 (e) | 2,722 | 2,500 | ||||||
| 6.25%, 02/01/2027 (e) | 630 | 588 | ||||||
|
|
|
|||||||
| 76,814 | ||||||||
|
|
|
|||||||
| Household Products/Wares — 0.2% | ||||||||
| ACCO Brands Corp., 4.25%, 03/15/2029 (e) | 2,815 | 2,118 | ||||||
| Central Garden & Pet Co., 4.13%, 10/15/2030 | 101 | 80 | ||||||
| Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc., | ||||||||
| 5.00%, 12/31/2026 (e) | 900 | 777 | ||||||
| 7.00%, 12/31/2027 (e) | 1,525 | 1,182 | ||||||
| Spectrum Brands, Inc., 3.88%, 03/15/2031 (e) | 1,163 | 793 | ||||||
|
|
|
|||||||
| 4,950 | ||||||||
|
|
|
|||||||
| Pharmaceuticals — 1.3% | ||||||||
| 180 Medical, Inc., 3.88%, 10/15/2029 (e) | 200 | 167 | ||||||
| AdaptHealth LLC, | ||||||||
| 4.63%, 08/01/2029 (e) | 3,150 | 2,525 | ||||||
| 5.13%, 03/01/2030 (e) | 601 | 495 | ||||||
| 6.13%, 08/01/2028 (e) | 1,265 | 1,133 | ||||||
| Bausch Health Americas, Inc., 8.50%, 01/31/2027 (d) (e) | 3,100 | 1,317 | ||||||
| Bausch Health Cos., Inc., (Canada), | ||||||||
| 5.00%, 01/30/2028 (d) (e) | 4,000 | 1,492 | ||||||
| 5.00%, 02/15/2029 (d) (e) | 700 | 271 | ||||||
| 5.25%, 01/30/2030 (d) (e) | 5,510 | 2,055 | ||||||
| 5.25%, 02/15/2031 (d) (e) | 2,370 | 921 | ||||||
| 6.25%, 02/15/2029 (d) (e) | 4,918 | 1,873 | ||||||
| 7.00%, 01/15/2028 (d) (e) | 450 | 172 | ||||||
| 7.25%, 05/30/2029 (d) (e) | 3,250 | 1,244 | ||||||
| Bayer US Finance II LLC, | ||||||||
| 3.88%, 12/15/2023 (e) | 554 | 544 | ||||||
| 4.25%, 12/15/2025 (e) | 300 | 287 | ||||||
| Cheplapharm Arzneimittel GmbH, (Germany), | ||||||||
| Reg. S, 4.38%, 01/15/2028 | EUR | 200 | 161 | |||||
| 5.50%, 01/15/2028 (e) | 1,519 | 1,260 | ||||||
| Embecta Corp., | ||||||||
| 5.00%, 02/15/2030 (e) | 1,275 | 1,094 | ||||||
| 6.75%, 02/15/2030 (e) | 1,418 | 1,309 | ||||||
| Gruenenthal GmbH, (Germany), | ||||||||
| Reg. S, 3.63%, 11/15/2026 | EUR | 200 | 168 | |||||
| Reg. S, 4.13%, 05/15/2028 | EUR | 100 | 81 | |||||
| Health & Happiness H&H International Holdings Ltd., (Cayman Islands), Reg. S, 5.63%, 10/24/2024 | 9,800 | 7,791 | ||||||
| Jazz Securities DAC, (Ireland), 4.38%, 01/15/2029 (e) | 3,539 | 3,057 | ||||||
| Nidda Healthcare Holding GmbH, (Germany), Reg. S, 3.50%, 09/30/2024 | EUR | 200 | 177 | |||||
| Option Care Health, Inc., 4.38%, 10/31/2029 (e) | 346 | 292 | ||||||
| Organon & Co. / Organon Foreign Debt Co-Issuer BV, | ||||||||
| Reg. S, 2.88%, 04/30/2028 | EUR | 200 | 156 | |||||
| 4.13%, 04/30/2028 (e) | 2,618 | 2,227 | ||||||
| 5.13%, 04/30/2031 (e) | 6,185 | 5,082 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Pharmaceuticals — continued | ||||||||
| Owens & Minor, Inc., 6.63%, 04/01/2030 (e) | 10 | 9 | ||||||
| P&L Development LLC / PLD Finance Corp., 7.75%, 11/15/2025 (e) | 2,408 | 1,806 | ||||||
| PRA Health Sciences, Inc., 2.88%, 07/15/2026 (e) | 1,338 | 1,177 | ||||||
| Teva Pharmaceutical Finance Netherlands II BV, (Netherlands), | ||||||||
| Reg. S, 1.25%, 03/31/2023 | EUR | 200 | 193 | |||||
| 4.50%, 03/01/2025 | EUR | 100 | 92 | |||||
| Teva Pharmaceutical Finance Netherlands III BV, (Netherlands), | ||||||||
| 3.15%, 10/01/2026 | 440 | 361 | ||||||
| 7.13%, 01/31/2025 | 200 | 195 | ||||||
|
|
|
|||||||
| 41,184 | ||||||||
|
|
|
|||||||
| Total Consumer Non-cyclical | 318,807 | |||||||
|
|
|
|||||||
| Energy — 10.2% | ||||||||
| Coal — 0.3% | ||||||||
| Adaro Indonesia PT, (Indonesia), Reg. S, 4.25%, 10/31/2024 | 400 | 381 | ||||||
| Coronado Finance Pty Ltd., (Australia), 10.75%, 05/15/2026 (e) | 812 | 844 | ||||||
| Indika Energy Capital IV Pte Ltd., (Singapore), Reg. S, 8.25%, 10/22/2025 | 9,100 | 8,500 | ||||||
|
|
|
|||||||
| 9,725 | ||||||||
|
|
|
|||||||
| Energy - Alternate Sources — 1.5% | ||||||||
| Adani Green Energy UP Ltd. / Prayatna Developers Pvt Ltd. / Parampujya Solar Energ, (India), Reg. S, 6.25%, 12/10/2024 | 5,200 | 4,726 | ||||||
| Enviva Partners LP / Enviva Partners Finance Corp., 6.50%, 01/15/2026 (e) | 169 | 160 | ||||||
| Greenko Dutch BV, (Netherlands), Reg. S, 3.85%, 03/29/2026 | 6,781 | 5,475 | ||||||
| Greenko Investment Co., (Mauritius), Reg. S, 4.88%, 08/16/2023 | 2,000 | 1,909 | ||||||
| Greenko Solar Mauritius Ltd., (Mauritius), Reg. S, 5.55%, 01/29/2025 | 5,850 | 5,195 | ||||||
| Greenko Wind Projects Mauritius Ltd., (Mauritius), 5.50%, 04/06/2025 (e) | 12,700 | 11,263 | ||||||
| India Green Energy Holdings, (Mauritius), Reg. S, 5.38%, 04/29/2024 | 9,000 | 8,445 | ||||||
| India Green Power Holdings, (Mauritius), Reg. S, 4.00%, 02/22/2027 | 6,300 | 5,020 | ||||||
| ReNew Power Pvt Ltd., (India), Reg. S, 5.88%, 03/05/2027 | 2,500 | 2,244 | ||||||
| SK Battery America, Inc., Reg. S, 2.13%, 01/26/2026 | 2,400 | 2,103 | ||||||
| TerraForm Power Operating LLC, 4.75%, 01/15/2030 (e) | 648 | 550 | ||||||
|
|
|
|||||||
| 47,090 | ||||||||
|
|
|
|||||||
| Oil & Gas — 5.2% | ||||||||
| Aethon United BR LP / Aethon United Finance Corp., 8.25%, 02/15/2026 (e) | 4,559 | 4,406 | ||||||
| Aker BP ASA, (Norway), 2.00%, 07/15/2026 (e) | 314 | 271 | ||||||
| Antero Resources Corp., | ||||||||
| 5.38%, 03/01/2030 (e) | 3,425 | 3,082 | ||||||
| 7.63%, 02/01/2029 (e) | 950 | 950 | ||||||
| Apache Corp., | ||||||||
| 4.75%, 04/15/2043 | 250 | 186 | ||||||
| 5.10%, 09/01/2040 | 2,316 | 1,885 | ||||||
| 5.35%, 07/01/2049 | 695 | 545 | ||||||
| Ascent Resources Utica Holdings LLC / ARU Finance Corp., | ||||||||
| 5.88%, 06/30/2029 (e) | 3,537 | 3,148 | ||||||
| 7.00%, 11/01/2026 (e) | 4,150 | 4,001 | ||||||
| 8.25%, 12/31/2028 (e) | 3,747 | 3,600 | ||||||
| 9.00%, 11/01/2027 (e) | 1,510 | 1,842 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Oil & Gas — continued | ||||||||
| Athabasca Oil Corp., (Canada), 9.75%, 11/01/2026 (e) | 3,120 | 3,303 | ||||||
| Callon Petroleum Co., | ||||||||
| 6.38%, 07/01/2026 | 695 | 626 | ||||||
| 7.50%, 06/15/2030 (e) | 2,386 | 2,089 | ||||||
| 8.00%, 08/01/2028 (e) | 4,934 | 4,552 | ||||||
| Chesapeake Energy Corp., | ||||||||
| 5.50%, 02/01/2026 (e) | 500 | 479 | ||||||
| 5.88%, 02/01/2029 (e) | 3,385 | 3,138 | ||||||
| 6.75%, 04/15/2029 (e) | 3,315 | 3,167 | ||||||
| Chord Energy Corp., 6.38%, 06/01/2026 (e) | 142 | 135 | ||||||
| CITGO Petroleum Corp., | ||||||||
| 6.38%, 06/15/2026 (e) | 1,880 | 1,755 | ||||||
| 7.00%, 06/15/2025 (e) | 179 | 171 | ||||||
| CNX Resources Corp., | ||||||||
| 6.00%, 01/15/2029 (e) | 17 | 16 | ||||||
| 7.25%, 03/14/2027 (e) | 3,352 | 3,260 | ||||||
| 7.38%, 01/15/2031 (e) | 743 | 729 | ||||||
| Colgate Energy Partners III LLC, | ||||||||
| 5.88%, 07/01/2029 (e) | 2,586 | 2,308 | ||||||
| 7.75%, 02/15/2026 (e) | 663 | 651 | ||||||
| Comstock Resources, Inc., | ||||||||
| 5.88%, 01/15/2030 (e) | 5,543 | 4,828 | ||||||
| 6.75%, 03/01/2029 (e) | 2,375 | 2,190 | ||||||
| Continental Resources, Inc., | ||||||||
| 2.27%, 11/15/2026 (e) | 512 | 437 | ||||||
| 3.80%, 06/01/2024 | 450 | 437 | ||||||
| 4.38%, 01/15/2028 | 275 | 247 | ||||||
| Crescent Energy Finance LLC, 7.25%, 05/01/2026 (e) | 4,846 | 4,354 | ||||||
| CrownRock LP / CrownRock Finance, Inc., | ||||||||
| 5.00%, 05/01/2029 (e) | 1,052 | 928 | ||||||
| 5.63%, 10/15/2025 (e) | 4,276 | 4,084 | ||||||
| Devon Energy Corp., | ||||||||
| 5.25%, 09/15/2024 | 500 | 500 | ||||||
| 5.25%, 10/15/2027 | 415 | 416 | ||||||
| Diamondback Energy, Inc., 4.25%, 03/15/2052 | 176 | 128 | ||||||
| Earthstone Energy Holdings LLC, 8.00%, 04/15/2027 (e) | 1,497 | 1,396 | ||||||
| Endeavor Energy Resources LP / EER Finance, Inc., 5.75%, 01/30/2028 (e) | 2,933 | 2,797 | ||||||
| Eni SpA, (Italy), Series X-R, 4.00%, 09/12/2023 (e) | 1,000 | 987 | ||||||
| EQT Corp., | ||||||||
| 3.90%, 10/01/2027 | 476 | 433 | ||||||
| 6.13%, 02/01/2025 | 342 | 343 | ||||||
| Gulfport Energy Corp., 8.00%, 05/17/2026 (e) | 69 | 69 | ||||||
| Harbour Energy plc, (United Kingdom), 5.50%, 10/15/2026 (e) | 264 | 236 | ||||||
| Hilcorp Energy I LP / Hilcorp Finance Co., | ||||||||
| 5.75%, 02/01/2029 (e) | 169 | 148 | ||||||
| 6.00%, 04/15/2030 (e) | 410 | 357 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Oil & Gas — continued | ||||||||
| 6.00%, 02/01/2031 (e) | 6,644 | 5,761 | ||||||
| 6.25%, 11/01/2028 (e) | 286 | 264 | ||||||
| 6.25%, 04/15/2032 (e) | 1,150 | 1,019 | ||||||
| Laredo Petroleum, Inc., 9.50%, 01/15/2025 | 226 | 224 | ||||||
| Magnolia Oil & Gas Operating LLC / Magnolia Oil & Gas Finance Corp., 6.00%, 08/01/2026 (e) | 228 | 219 | ||||||
| Matador Resources Co., 5.88%, 09/15/2026 | 1,425 | 1,375 | ||||||
| Medco Oak Tree Pte Ltd., (Singapore), Reg. S, 7.38%, 05/14/2026 | 13,800 | 12,006 | ||||||
| MEG Energy Corp., (Canada), | ||||||||
| 5.88%, 02/01/2029 (e) | 2,900 | 2,603 | ||||||
| 7.13%, 02/01/2027 (e) | 2,175 | 2,207 | ||||||
| Nabors Industries Ltd., (Bermuda), | ||||||||
| 7.25%, 01/15/2026 (e) | 415 | 361 | ||||||
| 7.50%, 01/15/2028 (e) | 5,093 | 4,157 | ||||||
| Nabors Industries, Inc., | ||||||||
| 5.75%, 02/01/2025 | 2,010 | 1,827 | ||||||
| 7.38%, 05/15/2027 (e) | 2,844 | 2,625 | ||||||
| Northern Oil and Gas, Inc., 8.13%, 03/01/2028 (e) | 4,750 | 4,453 | ||||||
| Occidental Petroleum Corp., | ||||||||
| 2.70%, 02/15/2023 | 72 | 72 | ||||||
| 4.30%, 08/15/2039 | 132 | 107 | ||||||
| 4.40%, 04/15/2046 | 2,293 | 1,887 | ||||||
| 4.40%, 08/15/2049 | 86 | 71 | ||||||
| 4.50%, 07/15/2044 | 777 | 649 | ||||||
| 4.63%, 06/15/2045 | 1,401 | 1,160 | ||||||
| 5.88%, 09/01/2025 | 416 | 417 | ||||||
| 6.20%, 03/15/2040 | 880 | 851 | ||||||
| 6.38%, 09/01/2028 | 2,795 | 2,803 | ||||||
| 6.45%, 09/15/2036 | 422 | 420 | ||||||
| 6.60%, 03/15/2046 | 98 | 101 | ||||||
| 6.63%, 09/01/2030 | 3,205 | 3,253 | ||||||
| 6.95%, 07/01/2024 | 31 | 32 | ||||||
| 7.15%, 05/15/2028 | 675 | 697 | ||||||
| 7.50%, 05/01/2031 | 1,534 | 1,603 | ||||||
| 7.88%, 09/15/2031 | 500 | 534 | ||||||
| 8.00%, 07/15/2025 | 128 | 136 | ||||||
| 8.88%, 07/15/2030 | 2,081 | 2,317 | ||||||
| Parkland Corp., (Canada), | ||||||||
| 4.50%, 10/01/2029 (e) | 2,925 | 2,362 | ||||||
| 4.63%, 05/01/2030 (e) | 500 | 405 | ||||||
| 5.88%, 07/15/2027 (e) | 1,116 | 1,034 | ||||||
| Parsley Energy LLC / Parsley Finance Corp., 5.63%, 10/15/2027 (e) | 223 | 229 | ||||||
| PDC Energy, Inc., | ||||||||
| 5.75%, 05/15/2026 | 85 | 79 | ||||||
| 6.13%, 09/15/2024 | 115 | 113 | ||||||
| Permian Resources Operating LLC, 6.88%, 04/01/2027 (e) | 1,533 | 1,483 | ||||||
| Petroleos Mexicanos, (Mexico), 6.88%, 08/04/2026 | 253 | 228 | ||||||
| Precision Drilling Corp., (Canada), 6.88%, 01/15/2029 (e) | 600 | 530 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Oil & Gas — continued | ||||||||
| Range Resources Corp., | ||||||||
| 4.75%, 02/15/2030 (e) | 900 | 781 | ||||||
| 4.88%, 05/15/2025 | 1,926 | 1,815 | ||||||
| 5.00%, 03/15/2023 | 1,802 | 1,796 | ||||||
| Repsol International Finance BV, (Netherlands), Reg. S, (EUR Swap Rate 5 Year + 4.41%), 4.25%, 09/11/2028 (x) (aa) | EUR | 100 | 80 | |||||
| Rockcliff Energy II LLC, 5.50%, 10/15/2029 (e) | 2,469 | 2,162 | ||||||
| Saka Energi Indonesia PT, (Indonesia), Reg. S, 4.45%, 05/05/2024 | 2,400 | 2,208 | ||||||
| SM Energy Co., | ||||||||
| 5.63%, 06/01/2025 | 400 | 384 | ||||||
| 6.50%, 07/15/2028 | 1,111 | 1,057 | ||||||
| 6.63%, 01/15/2027 | 25 | 24 | ||||||
| 6.75%, 09/15/2026 | 1,210 | 1,165 | ||||||
| Southwestern Energy Co., | ||||||||
| 4.75%, 02/01/2032 | 1,310 | 1,098 | ||||||
| 5.38%, 02/01/2029 | 1,101 | 998 | ||||||
| 5.38%, 03/15/2030 | 4,825 | 4,348 | ||||||
| 5.70%, 01/23/2025 | 3 | 3 | ||||||
| Suncor Energy, Inc., (Canada), 7.88%, 06/15/2026 | 145 | 156 | ||||||
| Sunoco LP / Sunoco Finance Corp., | ||||||||
| 4.50%, 05/15/2029 | 1,500 | 1,244 | ||||||
| 4.50%, 04/30/2030 | 1,775 | 1,451 | ||||||
| 5.88%, 03/15/2028 | 1,120 | 1,017 | ||||||
| Tap Rock Resources LLC, 7.00%, 10/01/2026 (e) | 3,820 | 3,492 | ||||||
| Tengizchevroil Finance Co. International Ltd., (Bermuda), 2.63%, 08/15/2025 (e) | 200 | 165 | ||||||
| Transocean, Inc., (Cayman Islands), | ||||||||
| 7.25%, 11/01/2025 (e) | 225 | 172 | ||||||
| 11.50%, 01/30/2027 (e) | 400 | 371 | ||||||
| Vermilion Energy, Inc., (Canada), 6.88%, 05/01/2030 (e) | 197 | 181 | ||||||
| W&T Offshore, Inc., 9.75%, 11/01/2023 (e) | 243 | 238 | ||||||
|
|
|
|||||||
| 164,690 | ||||||||
|
|
|
|||||||
| Oil & Gas Services — 0.3% | ||||||||
| Archrock Partners LP / Archrock Partners Finance Corp., | ||||||||
| 6.25%, 04/01/2028 (e) | 3,097 | 2,722 | ||||||
| 6.88%, 04/01/2027 (e) | 2,184 | 1,956 | ||||||
| Oceaneering International, Inc., 4.65%, 11/15/2024 | 257 | 235 | ||||||
| Saipem Finance International BV, (Netherlands), Reg. S, 2.63%, 01/07/2025 | EUR | 100 | 84 | |||||
| USA Compression Partners LP / USA Compression Finance Corp., | ||||||||
| 6.88%, 04/01/2026 | 1,643 | 1,505 | ||||||
| 6.88%, 09/01/2027 | 1,987 | 1,806 | ||||||
| Weatherford International Ltd., (Bermuda), | ||||||||
| 6.50%, 09/15/2028 (e) | 608 | 549 | ||||||
| 8.63%, 04/30/2030 (e) | 101 | 88 | ||||||
| 11.00%, 12/01/2024 (e) | 138 | 140 | ||||||
|
|
|
|||||||
| 9,085 | ||||||||
|
|
|
|||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Pipelines — 2.9% | ||||||||
| Antero Midstream Partners LP / Antero Midstream Finance Corp., | ||||||||
| 5.38%, 06/15/2029 (e) | 3,541 | 3,127 | ||||||
| 5.75%, 03/01/2027 (e) | 2,581 | 2,387 | ||||||
| 5.75%, 01/15/2028 (e) | 1,646 | 1,498 | ||||||
| 7.88%, 05/15/2026 (e) | 450 | 452 | ||||||
| Buckeye Partners LP, | ||||||||
| 3.95%, 12/01/2026 | 88 | 77 | ||||||
| 5.60%, 10/15/2044 | 46 | 32 | ||||||
| 5.85%, 11/15/2043 | 17 | 13 | ||||||
| Cheniere Corpus Christi Holdings LLC, 5.88%, 03/31/2025 | 1,019 | 1,024 | ||||||
| Cheniere Energy Partners LP, | ||||||||
| 3.25%, 01/31/2032 | 5,618 | 4,364 | ||||||
| 4.00%, 03/01/2031 | 4,285 | 3,589 | ||||||
| 4.50%, 10/01/2029 | 1,265 | 1,116 | ||||||
| Cheniere Energy, Inc., 4.63%, 10/15/2028 | 4,008 | 3,665 | ||||||
| CNX Midstream Partners LP, 4.75%, 04/15/2030 (e) | 1,116 | 871 | ||||||
| CQP Holdco LP / BIP-V Chinook Holdco LLC, 5.50%, 06/15/2031 (e) | 5,342 | 4,523 | ||||||
| Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., | ||||||||
| 5.63%, 05/01/2027 (e) | 62 | 56 | ||||||
| 6.00%, 02/01/2029 (e) | 231 | 207 | ||||||
| 8.00%, 04/01/2029 (e) | 104 | 100 | ||||||
| DCP Midstream Operating LP, | ||||||||
| 5.13%, 05/15/2029 | 2,901 | 2,718 | ||||||
| 5.38%, 07/15/2025 | 44 | 43 | ||||||
| 5.63%, 07/15/2027 | 178 | 172 | ||||||
| 6.45%, 11/03/2036 (e) | 610 | 557 | ||||||
| 6.75%, 09/15/2037 (e) | 260 | 252 | ||||||
| DT Midstream, Inc., | ||||||||
| 4.13%, 06/15/2029 (e) | 2,852 | 2,410 | ||||||
| 4.38%, 06/15/2031 (e) | 244 | 200 | ||||||
| Energy Transfer LP, | ||||||||
| 4.25%, 03/15/2023 | 276 | 275 | ||||||
| Series H, (CMT Index 5 Year + 5.69%), 6.50%, 11/15/2026 (x) (aa) | 1,381 | 1,206 | ||||||
| EnLink Midstream LLC, | ||||||||
| 5.38%, 06/01/2029 | 666 | 610 | ||||||
| 5.63%, 01/15/2028 (e) | 2,270 | 2,125 | ||||||
| 6.50%, 09/01/2030 (e) | 844 | 824 | ||||||
| EnLink Midstream Partners LP, | ||||||||
| 4.15%, 06/01/2025 | 96 | 89 | ||||||
| 4.85%, 07/15/2026 | 1,139 | 1,047 | ||||||
| 5.05%, 04/01/2045 | 14 | 10 | ||||||
| 5.45%, 06/01/2047 | 1,586 | 1,159 | ||||||
| 5.60%, 04/01/2044 | 113 | 86 | ||||||
| EQM Midstream Partners LP, | ||||||||
| 4.50%, 01/15/2029 (e) | 11 | 9 | ||||||
| 4.75%, 01/15/2031 (e) | 325 | 258 | ||||||
| 6.00%, 07/01/2025 (e) | 119 | 110 | ||||||
| 6.50%, 07/01/2027 (e) | 1,343 | 1,241 | ||||||
| 7.50%, 06/01/2027 (e) | 1,225 | 1,168 | ||||||
| 7.50%, 06/01/2030 (e) | 2,525 | 2,376 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Pipelines — continued | ||||||||
| Global Partners LP / GLP Finance Corp., | ||||||||
| 6.88%, 01/15/2029 | 1,050 | 945 | ||||||
| 7.00%, 08/01/2027 | 600 | 546 | ||||||
| Hess Midstream Operations LP, 4.25%, 02/15/2030 (e) | 1,110 | 896 | ||||||
| ITT Holdings LLC, 6.50%, 08/01/2029 (e) | 2,278 | 1,767 | ||||||
| Kinetik Holdings LP, 5.88%, 06/15/2030 (e) | 488 | 447 | ||||||
| MPLX LP, 4.95%, 03/14/2052 | 504 | 394 | ||||||
| New Fortress Energy, Inc., | ||||||||
| 6.50%, 09/30/2026 (e) | 4,413 | 4,077 | ||||||
| 6.75%, 09/15/2025 (e) | 5,646 | 5,348 | ||||||
| NGL Energy Operating LLC / NGL Energy Finance Corp., 7.50%, 02/01/2026 (e) | 1,681 | 1,495 | ||||||
| NOVA Gas Transmission Ltd., (Canada), 7.88%, 04/01/2023 | 420 | 427 | ||||||
| NuStar Logistics LP, | ||||||||
| 5.75%, 10/01/2025 | 32 | 30 | ||||||
| 6.00%, 06/01/2026 | 1,116 | 1,021 | ||||||
| 6.38%, 10/01/2030 | 13 | 11 | ||||||
| Rockies Express Pipeline LLC, | ||||||||
| 4.95%, 07/15/2029 (e) | 183 | 157 | ||||||
| 7.50%, 07/15/2038 (e) | 3,500 | 2,975 | ||||||
| Sabine Pass Liquefaction LLC, | ||||||||
| 5.63%, 04/15/2023 | 354 | 354 | ||||||
| 5.75%, 05/15/2024 | 100 | 101 | ||||||
| 5.88%, 06/30/2026 | 250 | 250 | ||||||
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., | ||||||||
| 5.50%, 01/15/2028 (e) | 3,225 | 2,753 | ||||||
| 6.00%, 03/01/2027 (e) | 836 | 758 | ||||||
| 6.00%, 12/31/2030 (e) | 1,983 | 1,686 | ||||||
| 6.00%, 09/01/2031 (e) | 190 | 161 | ||||||
| Targa Resources Partners LP / Targa Resources Partners Finance Corp., 6.50%, 07/15/2027 | 244 | 241 | ||||||
| Venture Global Calcasieu Pass LLC, | ||||||||
| 3.88%, 08/15/2029 (e) | 6,224 | 5,339 | ||||||
| 3.88%, 11/01/2033 (e) | 4,986 | 3,877 | ||||||
| 4.13%, 08/15/2031 (e) | 2,429 | 2,015 | ||||||
| Western Midstream Operating LP, | ||||||||
| 4.30%, 02/01/2030 | 1,600 | 1,368 | ||||||
| 5.30%, 03/01/2048 | 624 | 513 | ||||||
| 5.45%, 04/01/2044 | 190 | 156 | ||||||
| 5.50%, 08/15/2048 | 463 | 375 | ||||||
| 5.50%, 02/01/2050 | 4,725 | 3,815 | ||||||
|
|
|
|||||||
| 90,344 | ||||||||
|
|
|
|||||||
| Total Energy | 320,934 | |||||||
|
|
|
|||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Financial — 14.7% | ||||||||
| Banks — 3.7% | ||||||||
| ABN AMRO Bank NV, (Netherlands), 4.75%, 07/28/2025 (e) | 700 | 673 | ||||||
| AIB Group plc, (Ireland), (ICE LIBOR USD 3 Month + 1.87%), 4.26%, 04/10/2025 (e) (aa) | 483 | 463 | ||||||
| Banco Bilbao Vizcaya Argentaria SA, (Spain), Reg. S, (EUR Swap Rate 5 Year + 6.04%), 6.00%, 03/29/2024 (x) (aa) | EUR | 400 | 355 | |||||
| Banco BPM SpA, (Italy), Reg. S, (EUR Swap Rate 5 Year + 3.40%), 3.38%, 01/19/2032 (aa) | EUR | 214 | 166 | |||||
| Bangkok Bank PCL, (Thailand), | ||||||||
| Reg. S, (CMT Index 5 Year + 1.90%), 3.73%, 09/25/2034 (aa) | 11,200 | 9,180 | ||||||
| Reg. S, (CMT Index 5 Year + 4.73%), 5.00%, 09/23/2025 (x) (aa) | 3,400 | 3,009 | ||||||
| Bank Negara Indonesia Persero Tbk. PT, (Indonesia), Reg. S, 3.75%, 03/30/2026 | 23,550 | 20,846 | ||||||
| Bank of America Corp., | ||||||||
| (ICE LIBOR USD 3 Month + 0.79%), 3.00%, 12/20/2023 (aa) | 94 | 94 | ||||||
| (United States SOFR + 1.33%), 3.38%, 04/02/2026 (aa) | 672 | 635 | ||||||
| (ICE LIBOR USD 3 Month + 0.78%), 3.55%, 03/05/2024 (aa) | 129 | 128 | ||||||
| (United States SOFR + 1.11%), 3.84%, 04/25/2025 (aa) | 1,000 | 972 | ||||||
| (ICE LIBOR USD 3 Month + 0.94%), 3.86%, 07/23/2024 (aa) | 355 | 350 | ||||||
| Series L, 3.95%, 04/21/2025 | 552 | 532 | ||||||
| (United States SOFR + 2.04%), 4.95%, 07/22/2028 (aa) | 230 | 221 | ||||||
| Bank of East Asia Ltd. (The), (Hong Kong), Reg. S, (CMT Index 5 Year + 3.75%), 4.00%, 05/29/2030 (aa) | 3,400 | 3,158 | ||||||
| Bank of Ireland Group plc, (Ireland), | ||||||||
| 4.50%, 11/25/2023 (e) | 500 | 491 | ||||||
| (CMT Index 1 Year + 2.65%), 6.25%, 09/16/2026 (e) (aa) | 200 | 196 | ||||||
| Bank of Montreal, (Canada), 3.70%, 06/07/2025 | 141 | 136 | ||||||
| BankUnited, Inc., 4.88%, 11/17/2025 | 544 | 530 | ||||||
| Barclays plc, (United Kingdom), | ||||||||
| (United States SOFR + 2.71%), 2.85%, 05/07/2026 (aa) | 376 | 341 | ||||||
| (ICE LIBOR USD 3 Month + 1.61%), 3.93%, 05/07/2025 (aa) | 415 | 399 | ||||||
| (ICE LIBOR USD 3 Month + 1.36%), 4.34%, 05/16/2024 (aa) | 200 | 198 | ||||||
| (CMT Index 5 Year + 3.41%), 4.38%, 03/15/2028 (x) (aa) | 465 | 287 | ||||||
| (CMT Index 5 Year + 5.43%), 8.00%, 03/15/2029 (x) (aa) | 794 | 695 | ||||||
| BNP Paribas SA, (France), | ||||||||
| (United States SOFR + 1.00%), 1.32%, 01/13/2027 (e) (aa) | 221 | 188 | ||||||
| Reg. S, (EUR Swap Rate 5 Year + 4.65%), 6.88%, 12/06/2029 (x) (aa) | EUR | 200 | 182 | |||||
| BPCE SA, (France), | ||||||||
| 4.50%, 03/15/2025 (e) | 200 | 190 | ||||||
| 4.88%, 04/01/2026 (e) | 200 | 189 | ||||||
| 5.15%, 07/21/2024 (e) | 235 | 229 | ||||||
| Canadian Imperial Bank of Commerce, (Canada), 3.95%, 08/04/2025 | 231 | 223 | ||||||
| Citigroup, Inc., | ||||||||
| (ICE LIBOR USD 3 Month + 0.90%), 3.35%, 04/24/2025 (aa) | 874 | 843 | ||||||
| 3.70%, 01/12/2026 | 608 | 576 | ||||||
| Series W, (CMT Index 5 Year + 3.60%), 4.00%, 12/10/2025 (x) (aa) | 185 | 155 | ||||||
| (United States SOFR + 1.37%), 4.14%, 05/24/2025 (aa) | 243 | 238 | ||||||
| Series Y, (CMT Index 5 Year + 3.00%), 4.15%, 11/15/2026 (x) (aa) | 15 | 12 | ||||||
| Commerzbank AG, (Germany), Reg. S, (EUR Swap Rate 5 Year + 6.36%), 6.13%, 10/09/2025 (x) (aa) |
EUR | 400 | 330 | |||||
| Credit Agricole SA, (France), | ||||||||
| 4.38%, 03/17/2025 (e) | 450 | 432 | ||||||
| (CMT Index 5 Year + 3.24%), 4.75%, 03/23/2029 (e) (x) (aa) | 261 | 180 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Banks — continued | ||||||||
| Credit Suisse Group AG, (Switzerland), | ||||||||
| (ICE LIBOR USD 3 Month + 1.20%), 3.00%, 12/14/2023 (e) (aa) | 600 | 596 | ||||||
| (ICE LIBOR USD 3 Month + 1.24%), 4.21%, 06/12/2024 (e) (aa) | 1,100 | 1,078 | ||||||
| (USD Semi-annual Swap Rate 5 Year + 3.46%), 6.25%, 12/18/2024 (e) (x) (aa) | 200 | 171 | ||||||
| Reg. S, (USD Semi-annual Swap Rate 5 Year + 3.46%), 6.25%, 12/18/2024 (x) (aa) | 200 | 171 | ||||||
| Danske Bank A/S, (Denmark), | ||||||||
| (CMT Index 1 Year + 1.03%), 1.17%, 12/08/2023 (e) (aa) | 1,172 | 1,161 | ||||||
| (ICE LIBOR USD 3 Month + 1.59%), 3.24%, 12/20/2025 (e) (aa) | 1,193 | 1,110 | ||||||
| Deutsche Bank AG, (Germany), Reg. S, (ICE EURIBOR Swap Rate 5 Year + 3.30%), 4.00%, 06/24/2032 (aa) | EUR | 400 | 332 | |||||
| Development Bank of the Philippines, (Philippines), Reg. S, 2.38%, 03/11/2031 | 2,683 | 2,012 | ||||||
| Discover Bank, 4.25%, 03/13/2026 | 250 | 237 | ||||||
| Freedom Mortgage Corp., 7.63%, 05/01/2026 (e) | 1,008 | 753 | ||||||
| Goldman Sachs Group, Inc. (The), | ||||||||
| (United States SOFR + 0.91%), 1.95%, 10/21/2027 (aa) | 700 | 599 | ||||||
| (United States SOFR + 1.11%), 2.64%, 02/24/2028 (aa) | 554 | 481 | ||||||
| (ICE LIBOR USD 3 Month + 1.20%), 3.27%, 09/29/2025 (aa) | 316 | 301 | ||||||
| (United States SOFR + 1.73%), 4.48%, 08/23/2028 (aa) | 212 | 199 | ||||||
| Series R, (CMT Index 5 Year + 3.22%), 4.95%, 02/10/2025 (x) (aa) | 441 | 397 | ||||||
| HDFC Bank Ltd., (India), Reg. S, (CMT Index 5 Year + 2.93%), 3.70%, 08/25/2026 (x) (aa) | 4,900 | 3,975 | ||||||
| HSBC Holdings plc, (United Kingdom), (CMT Index 5 Year + 3.65%), 4.60%, 12/17/2030 (x) (aa) |
200 | 139 | ||||||
| Huntington Bancshares, Inc., (United States SOFR + 1.97%), 4.44%, 08/04/2028 (aa) | 100 | 94 | ||||||
| Industrial & Commercial Bank of China Ltd., (China), Reg. S, (CMT Index 5 Year + 2.37%), 3.20%, 09/24/2026 (x) (aa) | 16,300 | 14,948 | ||||||
| ING Groep NV, (Netherlands), Reg. S, (USD ICE Swap Rate 5 Year + 1.94%), 4.70%, 03/22/2028 (aa) | 614 | 602 | ||||||
| Intesa Sanpaolo SpA, (Italy), | ||||||||
| 3.38%, 01/12/2023 (e) | 367 | 365 | ||||||
| (CMT Index 1 Year + 2.60%), 4.20%, 06/01/2032 (e) (aa) | 2,045 | 1,378 | ||||||
| 5.02%, 06/26/2024 (e) | 672 | 626 | ||||||
| 5.71%, 01/15/2026 (e) | 300 | 273 | ||||||
| Reg. S, (EUR Swap Rate 5 Year + 7.19%), 7.75%, 01/11/2027 (x) (aa) | EUR | 300 | 260 | |||||
| Kasikornbank PCL, (Thailand), | ||||||||
| Reg. S, (CMT Index 5 Year + 1.70%), 3.34%, 10/02/2031 (aa) | 3,700 | 3,214 | ||||||
| Reg. S, (CMT Index 5 Year + 4.94%), 5.28%, 10/14/2025 (x) (aa) | 16,500 | 14,561 | ||||||
| Lloyds Banking Group plc, (United Kingdom), 4.58%, 12/10/2025 | 200 | 189 | ||||||
| M&T Bank Corp., (SOFR Compounded Index + 1.78%), 4.55%, 08/16/2028 (aa) | 131 | 126 | ||||||
| Macquarie Bank Ltd., (Australia), 4.88%, 06/10/2025 (e) | 284 | 277 | ||||||
| Mitsubishi UFJ Financial Group, Inc., (Japan), | ||||||||
| (CMT Index 1 Year + 0.45%), 0.96%, 10/11/2025 (aa) | 200 | 182 | ||||||
| (CMT Index 1 Year + 1.70%), 4.79%, 07/18/2025 (aa) | 295 | 291 | ||||||
| (CMT Index 1 Year + 1.55%), 5.06%, 09/12/2025 (aa) | 200 | 198 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Banks — continued | ||||||||
| Morgan Stanley, | ||||||||
| (United States SOFR + 0.51%), 0.79%, 01/22/2025 (aa) | 250 | 234 | ||||||
| (United States SOFR + 1.16%), 3.62%, 04/17/2025 (aa) | 390 | 379 | ||||||
| (ICE LIBOR USD 3 Month + 0.85%), 3.74%, 04/24/2024 (aa) | 795 | 787 | ||||||
| NatWest Group plc, (United Kingdom), (ICE LIBOR USD 3 Month + 1.55%), 4.52%, 06/25/2024 (aa) | 200 | 198 | ||||||
| PNC Financial Services Group, Inc. (The), Series V, (CMT Index 5 Year + 3.24%), 6.20%, 09/15/2027 (x) (aa) | 1,070 | 1,011 | ||||||
| Popular, Inc., (Puerto Rico), 6.13%, 09/14/2023 | 2,582 | 2,564 | ||||||
| Royal Bank of Canada, (Canada), | ||||||||
| 3.97%, 07/26/2024 | 140 | 138 | ||||||
| 4.24%, 08/03/2027 | 209 | 199 | ||||||
| Santander Holdings USA, Inc., (United States SOFR + 2.33%), 5.81%, 09/09/2026 (aa) | 85 | 83 | ||||||
| Santander UK Group Holdings plc, (United Kingdom), | ||||||||
| (United States SOFR + 0.79%), 1.09%, 03/15/2025 (aa) | 200 | 185 | ||||||
| (ICE LIBOR USD 3 Month + 1.08%), 3.37%, 01/05/2024 (aa) | 952 | 946 | ||||||
| 4.75%, 09/15/2025 (e) | 200 | 189 | ||||||
| Shinhan Financial Group Co. Ltd., (South Korea), Reg. S, (CMT Index 5 Year + 2.06%), 2.88%, 05/12/2026 (x) (aa) | 3,200 | 2,730 | ||||||
| Standard Chartered plc, (United Kingdom), | ||||||||
| (CMT Index 1 Year + 1.17%), 1.32%, 10/14/2023 (e) (aa) | 421 | 420 | ||||||
| 5.20%, 01/26/2024 (e) | 585 | 579 | ||||||
| (CMT Index 5 Year + 4.98%), 7.75%, 08/15/2027 (e) (x) (aa) | 4,100 | 3,709 | ||||||
| Synovus Financial Corp., 3.13%, 11/01/2022 | 149 | 149 | ||||||
| Toronto-Dominion Bank (The), (Canada), 4.69%, 09/15/2027 | 179 | 173 | ||||||
| UBS Group AG, (Switzerland), (CMT Index 5 Year + 3.31%), 4.38%, 02/10/2031 (e) (x) (aa) | 200 | 131 | ||||||
| UniCredit SpA, (Italy), | ||||||||
| Reg. S, (ICE EURIBOR Swap Rate 5 Year + 7.33%), 7.50%, 06/03/2026 (x) (aa) | EUR | 200 | 172 | |||||
| 7.83%, 12/04/2023 (e) | 350 | 353 | ||||||
| Wells Fargo & Co., | ||||||||
| Series BB, (CMT Index 5 Year + 3.45%), 3.90%, 03/15/2026 (x) (aa) | 259 | 219 | ||||||
| (United States SOFR + 1.56%), 4.54%, 08/15/2026 (aa) | 223 | 216 | ||||||
| (United States SOFR + 1.98%), 4.81%, 07/25/2028 (aa) | 231 | 220 | ||||||
|
|
|
|||||||
| 115,302 | ||||||||
|
|
|
|||||||
| Diversified Financial Services — 2.9% | ||||||||
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust, (Ireland), | ||||||||
| 2.88%, 08/14/2024 | 336 | 316 | ||||||
| 3.50%, 01/15/2025 | 347 | 326 | ||||||
| AG TTMT Escrow Issuer LLC, 8.63%, 09/30/2027 (e) | 534 | 502 | ||||||
| Air Lease Corp., 3.00%, 09/15/2023 | 320 | 312 | ||||||
| Aircastle Ltd., (Bermuda), 4.40%, 09/25/2023 | 448 | 440 | ||||||
| Ally Financial, Inc., | ||||||||
| 1.45%, 10/02/2023 | 80 | 77 | ||||||
| 5.13%, 09/30/2024 | 250 | 249 | ||||||
| 5.75%, 11/20/2025 | 334 | 324 | ||||||
| American Express Co., | ||||||||
| (CMT Index 5 Year + 2.85%), 3.55%, 09/15/2026 (x) (aa) | 760 | 586 | ||||||
| 3.95%, 08/01/2025 | 171 | 165 | ||||||
| Aviation Capital Group LLC, 5.50%, 12/15/2024 (e) | 300 | 290 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Diversified Financial Services — continued | ||||||||
| Avolon Holdings Funding Ltd., (Cayman Islands), 4.25%, 04/15/2026 (e) | 439 | 394 | ||||||
| BOC Aviation Ltd., (Singapore), Reg. S, 3.25%, 04/29/2025 | 600 | 565 | ||||||
| Bread Financial Holdings, Inc., 4.75%, 12/15/2024 (e) | 1,783 | 1,557 | ||||||
| Capital One Financial Corp., | ||||||||
| (United States SOFR + 0.69%), 3.54%, 12/06/2024 (aa) | 311 | 304 | ||||||
| (United States SOFR + 1.37%), 4.17%, 05/09/2025 (aa) | 260 | 253 | ||||||
| Charles Schwab Corp. (The), Series H, (CMT Index 10 Year + 3.08%), 4.00%, 12/01/2030 (x) (aa) |
1,868 | 1,372 | ||||||
| doValue SpA, (Italy), Reg. S, 5.00%, 08/04/2025 | EUR | 100 | 90 | |||||
| Drawbridge Special Opportunities Fund LP / Drawbridge Special Opportunities Fin, 3.88%, 02/15/2026 (e) | 250 | 227 | ||||||
| Enact Holdings, Inc., 6.50%, 08/15/2025 (e) | 1,212 | 1,162 | ||||||
| Encore Capital Group, Inc., Reg. S, 5.38%, 02/15/2026 | GBP | 200 | 197 | |||||
| Garfunkelux Holdco 3 SA, (Luxembourg), | ||||||||
| Reg. S, 6.75%, 11/01/2025 | EUR | 200 | 151 | |||||
| Reg. S, 7.75%, 11/01/2025 | GBP | 100 | 87 | |||||
| Global Aircraft Leasing Co. Ltd., (Cayman Islands), 6.50% (cash), 09/15/2024 (e) (v) | 162 | 122 | ||||||
| goeasy Ltd., (Canada), 5.38%, 12/01/2024 (e) | 800 | 750 | ||||||
| Home Point Capital, Inc., 5.00%, 02/01/2026 (e) | 1,474 | 919 | ||||||
| Intrum AB, (Sweden), Reg. S, 3.50%, 07/15/2026 | EUR | 200 | 156 | |||||
| Jefferies Finance LLC / JFIN Co-Issuer Corp., 5.00%, 08/15/2028 (e) | 3,990 | 2,943 | ||||||
| Jerrold Finco plc, (United Kingdom), Reg. S, 4.88%, 01/15/2026 | GBP | 100 | 87 | |||||
| King Talent Management Ltd., (Cayman Islands), Reg. S, (CMT Index 5 Year + 3.52%), 5.60%, 12/04/2022 (x) (aa) | 1,500 | 1,455 | ||||||
| LD Holdings Group LLC, | ||||||||
| 6.13%, 04/01/2028 (e) | 1,593 | 829 | ||||||
| 6.50%, 11/01/2025 (e) | 1,110 | 651 | ||||||
| LFS Topco LLC, 5.88%, 10/15/2026 (e) | 625 | 497 | ||||||
| Lincoln Financing Sarl, (Luxembourg), Reg. S, 3.63%, 04/01/2024 | EUR | 100 | 94 | |||||
| LPL Holdings, Inc., | ||||||||
| 4.00%, 03/15/2029 (e) | 2,825 | 2,423 | ||||||
| 4.38%, 05/15/2031 (e) | 500 | 414 | ||||||
| Muthoot Finance Ltd., (India), Reg. S, 4.40%, 09/02/2023 | 12,200 | 11,864 | ||||||
| Nationstar Mortgage Holdings, Inc., | ||||||||
| 5.13%, 12/15/2030 (e) | 2,266 | 1,643 | ||||||
| 5.50%, 08/15/2028 (e) | 4,005 | 3,145 | ||||||
| 6.00%, 01/15/2027 (e) | 1,000 | 846 | ||||||
| Navient Corp., | ||||||||
| 5.50%, 01/25/2023 | 28 | 28 | ||||||
| 5.50%, 03/15/2029 | 3,378 | 2,568 | ||||||
| 5.88%, 10/25/2024 | 190 | 180 | ||||||
| 6.13%, 03/25/2024 | 399 | 389 | ||||||
| 7.25%, 09/25/2023 | 161 | 160 | ||||||
| NFP Corp., | ||||||||
| 4.88%, 08/15/2028 (e) | 2,570 | 2,193 | ||||||
| 6.88%, 08/15/2028 (e) | 7,945 | 6,197 | ||||||
| 7.50%, 10/01/2030 (e) | 385 | 365 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Diversified Financial Services — continued | ||||||||
| OneMain Finance Corp., | ||||||||
| 3.50%, 01/15/2027 | 1,301 | 1,013 | ||||||
| 3.88%, 09/15/2028 | 250 | 184 | ||||||
| 4.00%, 09/15/2030 | 2,379 | 1,669 | ||||||
| 5.38%, 11/15/2029 | 1,688 | 1,308 | ||||||
| 6.13%, 03/15/2024 | 171 | 165 | ||||||
| 6.63%, 01/15/2028 | 255 | 219 | ||||||
| 6.88%, 03/15/2025 | 9,877 | 9,289 | ||||||
| 7.13%, 03/15/2026 | 564 | 509 | ||||||
| 8.25%, 10/01/2023 | 155 | 157 | ||||||
| Park Aerospace Holdings Ltd., (Cayman Islands), | ||||||||
| 4.50%, 03/15/2023 (e) | 765 | 761 | ||||||
| 5.50%, 02/15/2024 (e) | 250 | 244 | ||||||
| PennyMac Financial Services, Inc., 4.25%, 02/15/2029 (e) | 925 | 659 | ||||||
| Rocket Mortgage LLC / Rocket Mortgage Co-Issuer, Inc., | ||||||||
| 2.88%, 10/15/2026 (e) | 3,388 | 2,778 | ||||||
| 4.00%, 10/15/2033 (e) | 1,505 | 1,035 | ||||||
| Sherwood Financing plc, (United Kingdom), Reg. S, 6.00%, 11/15/2026 | GBP | 300 | 251 | |||||
| Shriram Transport Finance Co. Ltd., (India), | ||||||||
| Reg. S, 5.10%, 07/16/2023 | 17,000 | 16,371 | ||||||
| Reg. S, 5.95%, 10/24/2022 | 1,650 | 1,642 | ||||||
| SLM Corp., 3.13%, 11/02/2026 | 61 | 51 | ||||||
| VistaJet Malta Finance PLC / XO Management Holding, Inc., (Multinational), | ||||||||
| 6.38%, 02/01/2030 (e) | 650 | 532 | ||||||
| 7.88%, 05/01/2027 (e) | 2,928 | 2,632 | ||||||
|
|
|
|||||||
| 92,333 | ||||||||
|
|
|
|||||||
| Insurance — 1.0% | ||||||||
| Acrisure LLC / Acrisure Finance, Inc., 6.00%, 08/01/2029 (e) | 98 | 76 | ||||||
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer, | ||||||||
| 4.25%, 10/15/2027 (e) | 5,451 | 4,656 | ||||||
| 5.88%, 11/01/2029 (e) | 8,197 | 6,658 | ||||||
| 6.75%, 10/15/2027 (e) | 4,292 | 3,699 | ||||||
| AmWINS Group, Inc., 4.88%, 06/30/2029 (e) | 1,127 | 937 | ||||||
| Aon Corp., 8.21%, 01/01/2027 | 269 | 279 | ||||||
| BroadStreet Partners, Inc., 5.88%, 04/15/2029 (e) | 875 | 689 | ||||||
| CNO Financial Group, Inc., 5.25%, 05/30/2025 | 250 | 247 | ||||||
| CNO Global Funding, 1.75%, 10/07/2026 (e) | 406 | 351 | ||||||
| F&G Global Funding, | ||||||||
| 1.75%, 06/30/2026 (e) | 220 | 192 | ||||||
| 2.30%, 04/11/2027 (e) | 444 | 382 | ||||||
| GA Global Funding Trust, | ||||||||
| 0.80%, 09/13/2024 (e) | 336 | 304 | ||||||
| 3.85%, 04/11/2025 (e) | 483 | 460 | ||||||
| Galaxy Bidco Ltd., (Jersey), Reg. S, 6.50%, 07/31/2026 | GBP | 300 | 273 | |||||
| GTCR AP Finance, Inc., 8.00%, 05/15/2027 (e) | 1,684 | 1,549 | ||||||
| HUB International Ltd., | ||||||||
| 5.63%, 12/01/2029 (e) | 60 | 50 | ||||||
| 7.00%, 05/01/2026 (e) | 4,072 | 3,862 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Insurance — continued | ||||||||
| Liberty Mutual Group, Inc., Reg. S, (EUR Swap Rate 5 Year + 3.70%), 3.63%, 05/23/2059 (aa) |
EUR | 200 | 167 | |||||
| Muang Thai Life Assurance PCL, (Thailand), Reg. S, (CMT Index 10 Year + 2.40%), 3.55%, 01/27/2037 (aa) | 2,400 | 2,028 | ||||||
| ZhongAn Online P&C Insurance Co. Ltd., (China), Reg. S, 3.13%, 07/16/2025 | 5,900 | 4,941 | ||||||
|
|
|
|||||||
| 31,800 | ||||||||
|
|
|
|||||||
| Investment Companies — 0.9% | ||||||||
| Compass Group Diversified Holdings LLC, 5.25%, 04/15/2029 (e) | 1,074 | 843 | ||||||
| Huarong Finance 2019 Co. Ltd., (British Virgin Islands), Reg. S, 4.50%, 05/29/2029 | 13,200 | 9,289 | ||||||
| Huarong Finance II Co. Ltd., (British Virgin Islands), Reg. S, 5.00%, 11/19/2025 | 9,700 | 8,257 | ||||||
| Icahn Enterprises LP / Icahn Enterprises Finance Corp., | ||||||||
| 4.38%, 02/01/2029 | 4,025 | 3,240 | ||||||
| 5.25%, 05/15/2027 | 3,945 | 3,462 | ||||||
| 6.25%, 05/15/2026 | 190 | 176 | ||||||
| OWL Rock Core Income Corp., | ||||||||
| 5.50%, 03/21/2025 | 195 | 183 | ||||||
| 7.75%, 09/16/2027 (e) | 779 | 768 | ||||||
|
|
|
|||||||
| 26,218 | ||||||||
|
|
|
|||||||
| Private Equity — 0.1% | ||||||||
| GLP Pte Ltd., (Singapore), | ||||||||
| Reg. S, (CMT Index 5 Year + 3.74%), 4.50%, 05/17/2026 (x) (aa) | 1,000 | 661 | ||||||
| Reg. S, (CMT Index 5 Year + 3.73%), 4.60%, 06/29/2027 (x) (aa) | 5,260 | 3,211 | ||||||
|
|
|
|||||||
| 3,872 | ||||||||
|
|
|
|||||||
| Real Estate — 4.3% | ||||||||
| ADLER Group SA, (Luxembourg), | ||||||||
| Reg. S, 2.75%, 11/13/2026 | EUR | 200 | 98 | |||||
| Reg. S, 3.25%, 08/05/2025 | EUR | 100 | 54 | |||||
| Agile Group Holdings Ltd., (Cayman Islands), | ||||||||
| Reg. S, 5.50%, 04/21/2025 | 3,100 | 887 | ||||||
| Reg. S, 5.75%, 01/02/2025 | 9,200 | 2,773 | ||||||
| Aroundtown SA, (Luxembourg), Reg. S, (EUR Swap Rate 5 Year + 3.98%), 3.38%, 09/23/2024 (x) (aa) | EUR | 200 | 127 | |||||
| China SCE Group Holdings Ltd., (Cayman Islands), | ||||||||
| Reg. S, 5.95%, 09/29/2024 | 5,450 | 1,074 | ||||||
| Reg. S, 6.00%, 02/04/2026 | 4,300 | 626 | ||||||
| CIFI Holdings Group Co. Ltd., (Cayman Islands), | ||||||||
| Reg. S, 4.45%, 08/17/2026 | 21,850 | 5,462 | ||||||
| Reg. S, 6.00%, 07/16/2025 | 5,500 | 1,195 | ||||||
| Country Garden Holdings Co. Ltd., (Cayman Islands), | ||||||||
| Reg. S, 2.70%, 07/12/2026 | 4,800 | 1,480 | ||||||
| Reg. S, 3.13%, 10/22/2025 | 2,120 | 677 | ||||||
| Reg. S, 3.30%, 01/12/2031 | 6,300 | 1,859 | ||||||
| Reg. S, 3.88%, 10/22/2030 | 8,473 | 2,366 | ||||||
| Reg. S, 4.20%, 02/06/2026 | 2,600 | 897 | ||||||
| Reg. S, 4.80%, 08/06/2030 | 279 | 77 | ||||||
| Reg. S, 5.13%, 01/17/2025 | 1,000 | 327 | ||||||
| Reg. S, 5.13%, 01/14/2027 | 10,752 | 3,118 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Real Estate — continued | ||||||||
| Reg. S, 5.40%, 05/27/2025 | 1,000 | 328 | ||||||
| Reg. S, 5.63%, 01/14/2030 | 3,800 | 969 | ||||||
| Reg. S, 6.50%, 04/08/2024 | 1,200 | 435 | ||||||
| Reg. S, 7.25%, 04/08/2026 | 9,500 | 3,467 | ||||||
| Reg. S, 8.00%, 01/27/2024 | 1,050 | 404 | ||||||
| Cushman & Wakefield US Borrower LLC, 6.75%, 05/15/2028 (e) | 2,177 | 2,019 | ||||||
| DIC Asset AG, (Germany), Reg. S, 2.25%, 09/22/2026 | EUR | 100 | 70 | |||||
| Five Point Operating Co. LP / Five Point Capital Corp., 7.88%, 11/15/2025 (e) | 5,405 | 4,311 | ||||||
| Gemdale Ever Prosperity Investment Ltd., (Hong Kong), Reg. S, 4.95%, 08/12/2024 | 3,000 | 1,916 | ||||||
| Global Prime Capital Pte Ltd., (Singapore), Reg. S, 5.95%, 01/23/2025 | 1,800 | 1,697 | ||||||
| Greenland Global Investment Ltd., (British Virgin Islands), Reg. S, 7.25%, 01/22/2025 | 8,700 | 3,445 | ||||||
| Greentown China Holdings Ltd., (Cayman Islands), Reg. S, 4.70%, 04/29/2025 | 3,900 | 3,042 | ||||||
| Greystar Real Estate Partners LLC, 5.75%, 12/01/2025 (e) | 600 | 567 | ||||||
| Howard Hughes Corp. (The), | ||||||||
| 4.13%, 02/01/2029 (e) | 706 | 545 | ||||||
| 4.38%, 02/01/2031 (e) | 2,433 | 1,748 | ||||||
| 5.38%, 08/01/2028 (e) | 4,600 | 3,818 | ||||||
| Hunt Cos., Inc., 5.25%, 04/15/2029 (e) | 3,690 | 2,826 | ||||||
| KWG Group Holdings Ltd., (Cayman Islands), Reg. S, 5.95%, 08/10/2025 | 16,700 | 3,020 | ||||||
| Longfor Group Holdings Ltd., (Cayman Islands), | ||||||||
| Reg. S, 3.95%, 09/16/2029 | 1,300 | 872 | ||||||
| Reg. S, 4.50%, 01/16/2028 | 1,200 | 888 | ||||||
| New Metro Global Ltd., (British Virgin Islands), | ||||||||
| Reg. S, 4.50%, 05/02/2026 | 2,300 | 736 | ||||||
| Reg. S, 4.80%, 12/15/2024 | 3,700 | 1,650 | ||||||
| Reg. S, 6.80%, 08/05/2023 | 9,500 | 6,176 | ||||||
| NWD Finance BVI Ltd., (British Virgin Islands), | ||||||||
| Reg. S, (CMT Index 5 Year + 7.89%), 5.25%, 03/22/2026 (x) (aa) | 27,100 | 23,645 | ||||||
| Reg. S, (CMT Index 3 Year + 6.20%), 6.15%, 03/16/2025 (x) (aa) | 2,700 | 2,581 | ||||||
| Powerlong Real Estate Holdings Ltd., (Cayman Islands), | ||||||||
| Reg. S, 5.95%, 04/30/2025 | 9,900 | 1,260 | ||||||
| Reg. S, 6.25%, 08/10/2024 | 800 | 114 | ||||||
| Realogy Group LLC / Realogy Co-Issuer Corp., | ||||||||
| 5.25%, 04/15/2030 (e) | 1,005 | 685 | ||||||
| 5.75%, 01/15/2029 (e) | 2,600 | 1,875 | ||||||
| RKPF Overseas 2019 A Ltd., (British Virgin Islands), Reg. S, 6.00%, 09/04/2025 | 5,200 | 2,108 | ||||||
| RKPF Overseas 2020 A Ltd., (British Virgin Islands), Reg. S, 5.13%, 07/26/2026 | 14,150 | 4,815 | ||||||
| Seazen Group Ltd., (Cayman Islands), Reg. S, 4.45%, 07/13/2025 | 3,248 | 1,169 | ||||||
| Shui On Development Holding Ltd., (Cayman Islands), Reg. S, 5.50%, 06/29/2026 | 2,300 | 1,410 | ||||||
| Sunac China Holdings Ltd., (Cayman Islands), | ||||||||
| Reg. S, 5.95%, 04/26/2024 (d) | 1,500 | 210 | ||||||
| Reg. S, 6.50%, 07/09/2023 (d) | 9,400 | 1,312 | ||||||
| Reg. S, 6.80%, 10/20/2024 (d) | 17,500 | 2,461 | ||||||
| Reg. S, 7.95%, 10/11/2023 (d) | 2,000 | 270 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Real Estate — continued | ||||||||
| Times China Holdings Ltd., (Cayman Islands), | ||||||||
| Reg. S, 5.55%, 06/04/2024 | 8,800 | 1,231 | ||||||
| Reg. S, 6.60%, 03/02/2023 | 1,200 | 298 | ||||||
| Vivion Investments Sarl, (Luxembourg), Reg. S, 3.50%, 11/01/2025 | EUR | 200 | 173 | |||||
| VLL International, Inc., (Cayman Islands), Reg. S, 5.75%, 11/28/2024 | 11,000 | 10,684 | ||||||
| Wanda Properties International Co. Ltd., (British Virgin Islands), Reg. S, 7.25%, 01/29/2024 | 3,000 | 2,098 | ||||||
| Wanda Properties Overseas Ltd., (British Virgin Islands), Reg. S, 6.88%, 07/23/2023 | 2,000 | 1,589 | ||||||
| WeWork Cos. LLC / WW Co-Obligor, Inc., 5.00%, 07/10/2025 (e) | 167 | 99 | ||||||
| Yanlord Land HK Co. Ltd., (Hong Kong), Reg. S, 5.13%, 05/20/2026 | 10,000 | 6,924 | ||||||
|
|
|
|||||||
| 135,057 | ||||||||
|
|
|
|||||||
| REITS — 1.8% | ||||||||
| American Tower Corp., | ||||||||
| 1.60%, 04/15/2026 | 28 | 24 | ||||||
| 3.60%, 01/15/2028 | 12 | 11 | ||||||
| 3.65%, 03/15/2027 | 414 | 379 | ||||||
| Brookfield Property REIT, Inc. / BPR Cumulus LLC / BPR Nimbus LLC / GGSI Sellco LL, 4.50%, 04/01/2027 (e) | 65 | 53 | ||||||
| Diversified Healthcare Trust, | ||||||||
| 4.38%, 03/01/2031 | 3,325 | 2,153 | ||||||
| 4.75%, 05/01/2024 | 250 | 215 | ||||||
| 4.75%, 02/15/2028 | 3,550 | 2,237 | ||||||
| 9.75%, 06/15/2025 | 2,933 | 2,653 | ||||||
| EPR Properties, 4.75%, 12/15/2026 | 305 | 271 | ||||||
| GLP Capital LP / GLP Financing II, Inc., 5.25%, 06/01/2025 | 139 | 134 | ||||||
| HAT Holdings I LLC / HAT Holdings II LLC, 3.38%, 06/15/2026 (e) | 1,380 | 1,107 | ||||||
| Iron Mountain Information Management Services, Inc., 5.00%, 07/15/2032 (e) | 1,149 | 890 | ||||||
| Iron Mountain UK plc, (United Kingdom), Reg. S, 3.88%, 11/15/2025 | GBP | 300 | 296 | |||||
| Iron Mountain, Inc., 5.25%, 07/15/2030 (e) | 349 | 289 | ||||||
| Kite Realty Group Trust, 4.00%, 03/15/2025 | 99 | 94 | ||||||
| Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 4.75%, 06/15/2029 (e) | 19 | 14 | ||||||
| LMIRT Capital Pte Ltd., (Singapore), | ||||||||
| Reg. S, 7.25%, 06/19/2024 | 4,100 | 2,952 | ||||||
| Reg. S, 7.50%, 02/09/2026 | 1,500 | 977 | ||||||
| MPT Operating Partnership LP / MPT Finance Corp., | ||||||||
| 3.50%, 03/15/2031 | 8,073 | 5,621 | ||||||
| 4.63%, 08/01/2029 | 1,849 | 1,488 | ||||||
| 5.00%, 10/15/2027 | 1,669 | 1,442 | ||||||
| Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer, 7.50%, 06/01/2025 (e) | 4,225 | 4,200 | ||||||
| RHP Hotel Properties LP / RHP Finance Corp., 4.75%, 10/15/2027 | 4,366 | 3,798 | ||||||
| RLJ Lodging Trust LP, 4.00%, 09/15/2029 (e) | 159 | 125 | ||||||
| SBA Communications Corp., | ||||||||
| 3.13%, 02/01/2029 | 569 | 458 | ||||||
| 3.88%, 02/15/2027 | 3,200 | 2,858 | ||||||
| SL Green Operating Partnership LP, 3.25%, 10/15/2022 | 560 | 560 | ||||||
| Starwood Property Trust, Inc., 5.50%, 11/01/2023 (e) | 2 | 2 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| REITS — continued | ||||||||
| Uniti Group LP / Uniti Fiber Holdings, Inc. / CSL Capital LLC, 7.88%, 02/15/2025 (e) | 9,109 | 8,890 | ||||||
| Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC, | ||||||||
| 4.75%, 04/15/2028 (e) | 1,165 | 920 | ||||||
| 6.50%, 02/15/2029 (e) | 1,686 | 1,130 | ||||||
| VICI Properties LP, 5.63%, 05/15/2052 | 714 | 591 | ||||||
| VICI Properties LP / VICI Note Co., Inc., | ||||||||
| 3.50%, 02/15/2025 (e) | 625 | 577 | ||||||
| 3.75%, 02/15/2027 (e) | 105 | 92 | ||||||
| 3.88%, 02/15/2029 (e) | 183 | 153 | ||||||
| 4.13%, 08/15/2030 (e) | 582 | 486 | ||||||
| 4.25%, 12/01/2026 (e) | 65 | 59 | ||||||
| 4.50%, 09/01/2026 (e) | 2,029 | 1,854 | ||||||
| 4.50%, 01/15/2028 (e) | 376 | 334 | ||||||
| 4.63%, 06/15/2025 (e) | 389 | 366 | ||||||
| 4.63%, 12/01/2029 (e) | 436 | 379 | ||||||
| 5.63%, 05/01/2024 (e) | 230 | 226 | ||||||
| 5.75%, 02/01/2027 (e) | 4,538 | 4,276 | ||||||
| Vornado Realty LP, 3.50%, 01/15/2025 | 219 | 205 | ||||||
| WEA Finance LLC / Westfield UK & Europe Finance plc, 3.75%, 09/17/2024 (e) | 961 | 908 | ||||||
|
|
|
|||||||
| 56,747 | ||||||||
|
|
|
|||||||
| Savings & Loans — 0.0% (g) | ||||||||
| Nationwide Building Society, (United Kingdom), | ||||||||
| (ICE LIBOR USD 3 Month + 1.06%), 3.77%, 03/08/2024 (e) (aa) | 200 | 198 | ||||||
| 4.00%, 09/14/2026 (e) | 394 | 358 | ||||||
|
|
|
|||||||
| 556 | ||||||||
|
|
|
|||||||
| Total Financial | 461,885 | |||||||
|
|
|
|||||||
| Government — 0.6% | ||||||||
| Sovereign — 0.6% | ||||||||
| 1MDB Global Investments Ltd., (British Virgin Islands), Reg. S, 4.40%, 03/09/2023 | 19,900 | 19,061 | ||||||
|
|
|
|||||||
| Industrial — 7.5% | ||||||||
| Aerospace/Defense — 2.1% | ||||||||
| Boeing Co. (The), 5.93%, 05/01/2060 | 6,920 | 5,920 | ||||||
| Bombardier, Inc., (Canada), | ||||||||
| 6.00%, 02/15/2028 (e) | 5,006 | 4,194 | ||||||
| 7.13%, 06/15/2026 (e) | 5,283 | 4,845 | ||||||
| 7.45%, 05/01/2034 (e) | 151 | 141 | ||||||
| 7.50%, 12/01/2024 (e) | 2,296 | 2,282 | ||||||
| 7.50%, 03/15/2025 (e) | 2,200 | 2,157 | ||||||
| 7.88%, 04/15/2027 (e) | 15,372 | 14,142 | ||||||
| F-Brasile SpA / F-Brasile US LLC, (Italy), Series XR, 7.38%, 08/15/2026 (e) | 256 | 198 | ||||||
| Howmet Aerospace, Inc., 6.88%, 05/01/2025 | 83 | 84 | ||||||
| Rolls-Royce plc, (United Kingdom), | ||||||||
| 3.63%, 10/14/2025 (e) | 364 | 311 | ||||||
| 5.75%, 10/15/2027 (e) | 4,023 | 3,495 | ||||||
| Spirit AeroSystems, Inc., 7.50%, 04/15/2025 (e) | 586 | 552 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Aerospace/Defense — continued | ||||||||
| TransDigm UK Holdings plc, (United Kingdom), 6.88%, 05/15/2026 | 1,500 | 1,422 | ||||||
| TransDigm, Inc., | ||||||||
| 4.63%, 01/15/2029 | 3,809 | 3,066 | ||||||
| 4.88%, 05/01/2029 | 1,500 | 1,213 | ||||||
| 5.50%, 11/15/2027 | 400 | 348 | ||||||
| 6.25%, 03/15/2026 (e) | 20,097 | 19,494 | ||||||
| 7.50%, 03/15/2027 | 1,451 | 1,381 | ||||||
| 8.00%, 12/15/2025 (e) | 612 | 621 | ||||||
| Triumph Group, Inc., 8.88%, 06/01/2024 (e) | 438 | 438 | ||||||
|
|
|
|||||||
| 66,304 | ||||||||
|
|
|
|||||||
| Building Materials — 0.9% | ||||||||
| Camelot Return Merger Sub, Inc., 8.75%, 08/01/2028 (e) | 1,979 | 1,631 | ||||||
| Cornerstone Building Brands, Inc., 6.13%, 01/15/2029 (e) | 500 | 279 | ||||||
| Eco Material Technologies, Inc., 7.88%, 01/31/2027 (e) | 2,100 | 1,860 | ||||||
| Griffon Corp., 5.75%, 03/01/2028 | 880 | 757 | ||||||
| HT Troplast GmbH, (Germany), Reg. S, 9.25%, 07/15/2025 | EUR | 200 | 173 | |||||
| JELD-WEN, Inc., 4.63%, 12/15/2025 (e) | 1,290 | 1,041 | ||||||
| Masonite International Corp., (Canada), | ||||||||
| 3.50%, 02/15/2030 (e) | 572 | 437 | ||||||
| 5.38%, 02/01/2028 (e) | 1,788 | 1,582 | ||||||
| MIWD Holdco II LLC / MIWD Finance Corp., 5.50%, 02/01/2030 (e) | 2,025 | 1,478 | ||||||
| New Enterprise Stone & Lime Co., Inc., 9.75%, 07/15/2028 (e) | 381 | 321 | ||||||
| PCF GmbH, (Germany), Reg. S, 4.75%, 04/15/2026 | EUR | 200 | 158 | |||||
| SRM Escrow Issuer LLC, 6.00%, 11/01/2028 (e) | 6,927 | 5,593 | ||||||
| Standard Industries, Inc., | ||||||||
| Reg. S, 2.25%, 11/21/2026 | EUR | 100 | 76 | |||||
| 3.38%, 01/15/2031 (e) | 4,471 | 3,150 | ||||||
| 4.38%, 07/15/2030 (e) | 6,304 | 4,823 | ||||||
| 4.75%, 01/15/2028 (e) | 13 | 11 | ||||||
| Summit Materials LLC / Summit Materials Finance Corp., | ||||||||
| 5.25%, 01/15/2029 (e) | 321 | 282 | ||||||
| 6.50%, 03/15/2027 (e) | 375 | 359 | ||||||
| West China Cement Ltd., (Jersey), Reg. S, 4.95%, 07/08/2026 | 6,200 | 4,361 | ||||||
|
|
|
|||||||
| 28,372 | ||||||||
|
|
|
|||||||
| Electrical Components & Equipments — 0.2% | ||||||||
| Energizer Holdings, Inc., | ||||||||
| 4.38%, 03/31/2029 (e) | 1,000 | 744 | ||||||
| 4.75%, 06/15/2028 (e) | 500 | 396 | ||||||
| 6.50%, 12/31/2027 (e) | 821 | 729 | ||||||
| EnerSys, 4.38%, 12/15/2027 (e) | 560 | 494 | ||||||
| WESCO Distribution, Inc., | ||||||||
| 7.13%, 06/15/2025 (e) | 1,805 | 1,806 | ||||||
| 7.25%, 06/15/2028 (e) | 3,646 | 3,571 | ||||||
|
|
|
|||||||
| 7,740 | ||||||||
|
|
|
|||||||
| Electronics — 0.6% | ||||||||
| AAC Technologies Holdings, Inc., (Cayman Islands), Reg. S, 3.00%, 11/27/2024 | 8,800 | 7,748 | ||||||
| Coherent Corp., 5.00%, 12/15/2029 (e) | 4,558 | 3,770 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Electronics — continued | ||||||||
| Imola Merger Corp., 4.75%, 05/15/2029 (e) | 1,855 | 1,565 | ||||||
| Likewize Corp., 9.75%, 10/15/2025 (e) | 2,330 | 2,149 | ||||||
| Sensata Technologies BV, (Netherlands), | ||||||||
| 4.00%, 04/15/2029 (e) | 74 | 61 | ||||||
| 5.88%, 09/01/2030 (e) | 864 | 809 | ||||||
| Sensata Technologies, Inc., | ||||||||
| 3.75%, 02/15/2031 (e) | 547 | 431 | ||||||
| 4.38%, 02/15/2030 (e) | 3,862 | 3,227 | ||||||
|
|
|
|||||||
| 19,760 | ||||||||
|
|
|
|||||||
| Engineering & Construction — 0.8% | ||||||||
| Abertis Infraestructuras Finance BV, (Netherlands), Reg. S, (EUR Swap Rate 5 Year + 3.69%), 3.25%, 11/24/2025 (x) (aa) | EUR | 300 | 238 | |||||
| Arcosa, Inc., 4.38%, 04/15/2029 (e) | 1,267 | 1,077 | ||||||
| Artera Services LLC, 9.03%, 12/04/2025 (e) | 1,311 | 1,055 | ||||||
| Celestial Miles Ltd., (British Virgin Islands), Reg. S, (CMT Index 5 Year + 8.21%), 5.75%, 01/31/2024 (x) (aa) |
13,800 | 13,307 | ||||||
| Cellnex Finance Co. SA, (Spain), Reg. S, 1.50%, 06/08/2028 | EUR | 100 | 77 | |||||
| GMR Hyderabad International Airport Ltd., (India), Reg. S, 4.75%, 02/02/2026 | 9,500 | 8,507 | ||||||
| Heathrow Finance plc, (United Kingdom), Reg. S, 5.75%, 03/03/2025 | GBP | 100 | 103 | |||||
| TopBuild Corp., 3.63%, 03/15/2029 (e) | 500 | 392 | ||||||
|
|
|
|||||||
| 24,756 | ||||||||
|
|
|
|||||||
| Environmental Control — 0.4% | ||||||||
| Clean Harbors, Inc., | ||||||||
| 4.88%, 07/15/2027 (e) | 1,116 | 1,018 | ||||||
| 5.13%, 07/15/2029 (e) | 41 | 38 | ||||||
| Covanta Holding Corp., | ||||||||
| 4.88%, 12/01/2029 (e) | 1,087 | 879 | ||||||
| 5.00%, 09/01/2030 | 234 | 183 | ||||||
| GFL Environmental, Inc., (Canada), | ||||||||
| 3.50%, 09/01/2028 (e) | 356 | 300 | ||||||
| 4.00%, 08/01/2028 (e) | 2,849 | 2,386 | ||||||
| 4.38%, 08/15/2029 (e) | 1,856 | 1,548 | ||||||
| 4.75%, 06/15/2029 (e) | 586 | 494 | ||||||
| 5.13%, 12/15/2026 (e) | 1,973 | 1,837 | ||||||
| Madison IAQ LLC, 5.88%, 06/30/2029 (e) | 216 | 148 | ||||||
| Paprec Holding SA, (France), Reg. S, 3.50%, 07/01/2028 | EUR | 200 | 150 | |||||
| Waste Pro USA, Inc., 5.50%, 02/15/2026 (e) | 2,956 | 2,605 | ||||||
|
|
|
|||||||
| 11,586 | ||||||||
|
|
|
|||||||
| Machinery - Construction & Mining — 0.3% | ||||||||
| BWX Technologies, Inc., | ||||||||
| 4.13%, 06/30/2028 (e) | 341 | 298 | ||||||
| 4.13%, 04/15/2029 (e) | 2,146 | 1,856 | ||||||
| Terex Corp., 5.00%, 05/15/2029 (e) | 3,853 | 3,307 | ||||||
| Vertiv Group Corp., 4.13%, 11/15/2028 (e) | 3,332 | 2,682 | ||||||
|
|
|
|||||||
| 8,143 | ||||||||
|
|
|
|||||||
| Machinery - Diversified — 0.5% | ||||||||
| ATS Automation Tooling Systems, Inc., (Canada), 4.13%, 12/15/2028 (e) | 114 | 95 | ||||||
| GrafTech Finance, Inc., 4.63%, 12/15/2028 (e) | 2,469 | 1,873 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Machinery - Diversified — continued | ||||||||
| Granite US Holdings Corp., 11.00%, 10/01/2027 (e) | 155 | 146 | ||||||
| Husky III Holding Ltd., (Canada), 13.00% (cash), 02/15/2025 (e) (v) | 122 | 115 | ||||||
| Maxim Crane Works Holdings Capital LLC, 10.13%, 08/01/2024 (e) | 3,396 | 3,192 | ||||||
| OT Merger Corp., 7.88%, 10/15/2029 (e) | 394 | 267 | ||||||
| Renk AG / Frankfurt am Main, (Germany), Reg. S, 5.75%, 07/15/2025 | EUR | 100 | 90 | |||||
| Titan Acquisition Ltd. / Titan Co-Borrower LLC, (Multinational), 7.75%, 04/15/2026 (e) | 3,995 | 3,158 | ||||||
| TK Elevator Holdco GmbH, (Germany), 7.63%, 07/15/2028 (e) | 2,487 | 2,083 | ||||||
| TK Elevator Midco GmbH, (Germany), Reg. S, 4.38%, 07/15/2027 | EUR | 585 | 480 | |||||
| TK Elevator US Newco, Inc., 5.25%, 07/15/2027 (e) | 5,639 | 4,794 | ||||||
| Westinghouse Air Brake Technologies Corp., 4.38%, 08/15/2023 | 200 | 198 | ||||||
|
|
|
|||||||
| 16,491 | ||||||||
|
|
|
|||||||
| Metal Fabricate/Hardware — 0.1% | ||||||||
| Advanced Drainage Systems, Inc., 6.38%, 06/15/2030 (e) | 3,255 | 3,153 | ||||||
| Roller Bearing Co. of America, Inc., 4.38%, 10/15/2029 (e) | 500 | 419 | ||||||
| Vallourec SA, (France), Reg. S, 8.50%, 06/30/2026 | EUR | 200 | 183 | |||||
|
|
|
|||||||
| 3,755 | ||||||||
|
|
|
|||||||
| Miscellaneous Manufacturers — 0.1% | ||||||||
| Amsted Industries, Inc., | ||||||||
| 4.63%, 05/15/2030 (e) | 3,466 | 2,869 | ||||||
| 5.63%, 07/01/2027 (e) | 122 | 112 | ||||||
| Gates Global LLC / Gates Corp., 6.25%, 01/15/2026 (e) | 2,186 | 2,011 | ||||||
|
|
|
|||||||
| 4,992 | ||||||||
|
|
|
|||||||
| Packaging & Containers — 1.3% | ||||||||
| ARD Finance SA, (Luxembourg), 6.50% (cash), 06/30/2027 (e) (v) | 4,031 | 2,760 | ||||||
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc, (Multinational), | ||||||||
| Reg. S, 2.00%, 09/01/2028 | EUR | 100 | 75 | |||||
| Reg. S, 3.00%, 09/01/2029 | EUR | 300 | 209 | |||||
| 3.25%, 09/01/2028 (e) | 200 | 163 | ||||||
| 4.00%, 09/01/2029 (e) | 7,400 | 5,439 | ||||||
| 6.00%, 06/15/2027 (e) | 1,692 | 1,593 | ||||||
| Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc., (Multinational), 5.25%, 08/15/2027 (e) | 1,148 | 712 | ||||||
| Ball Corp., | ||||||||
| 2.88%, 08/15/2030 | 118 | 91 | ||||||
| 3.13%, 09/15/2031 | 1,316 | 992 | ||||||
| Clydesdale Acquisition Holdings, Inc., | ||||||||
| 6.63%, 04/15/2029 (e) | 2,376 | 2,162 | ||||||
| 8.75%, 04/15/2030 (e) | 2,716 | 2,246 | ||||||
| Crown Americas LLC, 5.25%, 04/01/2030 (e) | 422 | 380 | ||||||
| Graham Packaging Co., Inc., 7.13%, 08/15/2028 (e) | 1,375 | 1,105 | ||||||
| Graphic Packaging International LLC, | ||||||||
| Reg. S, 2.63%, 02/01/2029 | EUR | 400 | 299 | |||||
| 4.13%, 08/15/2024 | 725 | 695 | ||||||
| 4.75%, 07/15/2027 (e) | 1,059 | 969 | ||||||
| Intelligent Packaging Holdco Issuer LP, (Canada), 9.00% (cash), 01/15/2026 (e) (v) | 975 | 780 | ||||||
| Intelligent Packaging Ltd. Finco, Inc. / Intelligent Packaging Ltd. Co-Issuer LLC, (Canada), 6.00%, 09/15/2028 (e) | 2,814 | 2,238 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Packaging & Containers — continued | ||||||||
| Kleopatra Finco Sarl, (Luxembourg), Reg. S, 4.25%, 03/01/2026 | EUR | 300 | 236 | |||||
| LABL, Inc., | ||||||||
| 5.88%, 11/01/2028 (e) | 2,552 | 2,067 | ||||||
| 6.75%, 07/15/2026 (e) | 2,525 | 2,273 | ||||||
| 8.25%, 11/01/2029 (e) | 1,050 | 763 | ||||||
| 10.50%, 07/15/2027 (e) | 325 | 276 | ||||||
| Mauser Packaging Solutions Holding Co., 5.50%, 04/15/2024 (e) | 141 | 134 | ||||||
| OI European Group BV, (Netherlands), | ||||||||
| Reg. S, 2.88%, 02/15/2025 | EUR | 200 | 175 | |||||
| 4.75%, 02/15/2030 (e) | 300 | 239 | ||||||
| Owens-Brockway Glass Container, Inc., 6.63%, 05/13/2027 (e) | 529 | 480 | ||||||
| Pactiv Evergreen Group Issuer LLC / Pactiv Evergreen Group Issuer, Inc., 4.38%, 10/15/2028 (e) |
875 | 724 | ||||||
| Sealed Air Corp., 4.00%, 12/01/2027 (e) | 89 | 77 | ||||||
| Silgan Holdings, Inc., 4.13%, 02/01/2028 | 93 | 82 | ||||||
| Trident TPI Holdings, Inc., 9.25%, 08/01/2024 (e) | 1,400 | 1,285 | ||||||
| TriMas Corp., 4.13%, 04/15/2029 (e) | 2,625 | 2,216 | ||||||
| Trivium Packaging Finance BV, (Netherlands), | ||||||||
| 5.50%, 08/15/2026 (e) | 2,436 | 2,179 | ||||||
| 8.50%, 08/15/2027 (e) | 4,953 | 4,372 | ||||||
| Verallia SA, (France), Reg. S, 1.88%, 11/10/2031 | EUR | 200 | 134 | |||||
|
|
|
|||||||
| 40,620 | ||||||||
|
|
|
|||||||
| Transportation — 0.1% | ||||||||
| CMA CGM SA, (France), Reg. S, 7.50%, 01/15/2026 | EUR | 300 | 299 | |||||
| Getlink SE, (France), Reg. S, 3.50%, 10/30/2025 | EUR | 300 | 267 | |||||
| Misc Capital Two Labuan Ltd., (Malaysia), Reg. S, 3.75%, 04/06/2027 | 1,800 | 1,630 | ||||||
| Poste Italiane SpA, (Italy), Reg. S, (ICE EURIBOR Swap Rate 5 Year + 2.68%), 2.63%, 03/24/2029 (x) (aa) | EUR | 200 | 139 | |||||
| Seaspan Corp., (Marshall Island), 5.50%, 08/01/2029 (e) | 70 | 54 | ||||||
|
|
|
|||||||
| 2,389 | ||||||||
|
|
|
|||||||
| Trucking & Leasing — 0.1% | ||||||||
| Fortress Transportation and Infrastructure Investors LLC, | ||||||||
| 5.50%, 05/01/2028 (e) | 2,773 | 2,218 | ||||||
| 6.50%, 10/01/2025 (e) | 127 | 119 | ||||||
|
|
|
|||||||
| 2,337 | ||||||||
|
|
|
|||||||
| Total Industrial | 237,245 | |||||||
|
|
|
|||||||
| Technology — 3.0% | ||||||||
| Computers — 1.0% | ||||||||
| Booz Allen Hamilton, Inc., | ||||||||
| 3.88%, 09/01/2028 (e) | 249 | 214 | ||||||
| 4.00%, 07/01/2029 (e) | 625 | 535 | ||||||
| CA Magnum Holdings, (Mauritius), | ||||||||
| 5.38%, 10/31/2026 (e) | 2,726 | 2,290 | ||||||
| Reg. S, 5.38%, 10/31/2026 | 12,400 | 10,417 | ||||||
| Centurion Bidco SpA, (Italy), Reg. S, 5.88%, 09/30/2026 | EUR | 300 | 257 | |||||
| Condor Merger Sub, Inc., 7.38%, 02/15/2030 (e) | 6,314 | 5,083 | ||||||
| Dell International LLC / EMC Corp., | ||||||||
| 4.90%, 10/01/2026 | 200 | 193 | ||||||
| 6.02%, 06/15/2026 | 407 | 409 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Computers — continued | ||||||||
| KBR, Inc., 4.75%, 09/30/2028 (e) | 306 | 263 | ||||||
| Lenovo Group Ltd., (Hong Kong), | ||||||||
| 5.83%, 01/27/2028 (e) | 1,600 | 1,519 | ||||||
| Reg. S, 5.88%, 04/24/2025 | 1,000 | 988 | ||||||
| NCR Corp., | ||||||||
| 5.00%, 10/01/2028 (e) | 1,289 | 1,014 | ||||||
| 5.13%, 04/15/2029 (e) | 4,301 | 3,226 | ||||||
| 5.25%, 10/01/2030 (e) | 1,052 | 794 | ||||||
| Tempo Acquisition LLC / Tempo Acquisition Finance Corp., 5.75%, 06/01/2025 (e) | 3,199 | 3,117 | ||||||
|
|
|
|||||||
| 30,319 | ||||||||
|
|
|
|||||||
| Office/Business & Equipment — 0.0% (g) | ||||||||
| CDW LLC / CDW Finance Corp., | ||||||||
| 3.25%, 02/15/2029 | 148 | 120 | ||||||
| 3.28%, 12/01/2028 | 108 | 89 | ||||||
|
|
|
|||||||
| 209 | ||||||||
|
|
|
|||||||
| Semiconductors — 0.2% | ||||||||
| Entegris Escrow Corp., 4.75%, 04/15/2029 (e) | 4,947 | 4,357 | ||||||
| Entegris, Inc., | ||||||||
| 3.63%, 05/01/2029 (e) | 413 | 327 | ||||||
| 4.38%, 04/15/2028 (e) | 204 | 173 | ||||||
| Microchip Technology, Inc., 4.25%, 09/01/2025 | 723 | 698 | ||||||
| Qorvo, Inc., 1.75%, 12/15/2024 (e) | 78 | 72 | ||||||
| SK Hynix, Inc., (South Korea), 1.50%, 01/19/2026 (e) | 731 | 633 | ||||||
| Synaptics, Inc., 4.00%, 06/15/2029 (e) | 740 | 596 | ||||||
|
|
|
|||||||
| 6,856 | ||||||||
|
|
|
|||||||
| Software — 1.8% | ||||||||
| Black Knight InfoServ LLC, 3.63%, 09/01/2028 (e) | 4,272 | 3,642 | ||||||
| Boxer Parent Co., Inc., | ||||||||
| Reg. S, 6.50%, 10/02/2025 | EUR | 500 | 458 | |||||
| 7.13%, 10/02/2025 (e) | 5,795 | 5,680 | ||||||
| 9.13%, 03/01/2026 (e) | 559 | 537 | ||||||
| Camelot Finance SA, (Luxembourg), 4.50%, 11/01/2026 (e) | 1,900 | 1,736 | ||||||
| Central Parent, Inc. / CDK Global, Inc., 7.25%, 06/15/2029 (e) | 2,279 | 2,167 | ||||||
| Change Healthcare Holdings LLC / Change Healthcare Finance, Inc., 5.75%, 03/01/2025 (e) | 3,426 | 3,413 | ||||||
| Clarivate Science Holdings Corp., | ||||||||
| 3.88%, 07/01/2028 (e) | 6,516 | 5,374 | ||||||
| 4.88%, 07/01/2029 (e) | 775 | 607 | ||||||
| Consensus Cloud Solutions, Inc., 6.50%, 10/15/2028 (e) | 60 | 51 | ||||||
| Dun & Bradstreet Corp. (The), 5.00%, 12/15/2029 (e) | 3,940 | 3,213 | ||||||
| Elastic NV, (Netherlands), 4.13%, 07/15/2029 (e) | 1,576 | 1,245 | ||||||
| Fair Isaac Corp., 4.00%, 06/15/2028 (e) | 1,249 | 1,064 | ||||||
| Helios Software Holdings, Inc. / ION Corporate Solutions Finance Sarl, 4.63%, 05/01/2028 (e) |
699 | 526 | ||||||
| MicroStrategy, Inc., 6.13%, 06/15/2028 (e) | 2,265 | 1,866 | ||||||
| Minerva Merger Sub, Inc., 6.50%, 02/15/2030 (e) | 4,210 | 3,328 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Software — continued | ||||||||
| MSCI, Inc., | ||||||||
| 3.25%, 08/15/2033 (e) | 71 | 55 | ||||||
| 3.63%, 09/01/2030 (e) | 344 | 283 | ||||||
| 3.88%, 02/15/2031 (e) | 1,542 | 1,298 | ||||||
| Open Text Corp., (Canada), | ||||||||
| 3.88%, 02/15/2028 (e) | 42 | 35 | ||||||
| 3.88%, 12/01/2029 (e) | 541 | 416 | ||||||
| Open Text Holdings, Inc., 4.13%, 02/15/2030 (e) | 681 | 544 | ||||||
| Oracle Corp., | ||||||||
| 2.30%, 03/25/2028 | 581 | 486 | ||||||
| 2.50%, 04/01/2025 | 120 | 112 | ||||||
| 2.65%, 07/15/2026 | 130 | 117 | ||||||
| Picard Midco, Inc., 6.50%, 03/31/2029 (e) | 7,258 | 6,167 | ||||||
| Playtika Holding Corp., 4.25%, 03/15/2029 (e) | 2,091 | 1,672 | ||||||
| PTC, Inc., 3.63%, 02/15/2025 (e) | 1,832 | 1,706 | ||||||
| Rackspace Technology Global, Inc., 3.50%, 02/15/2028 (e) | 30 | 20 | ||||||
| SS&C Technologies, Inc., 5.50%, 09/30/2027 (e) | 3,540 | 3,229 | ||||||
| Twilio, Inc., 3.88%, 03/15/2031 | 2,204 | 1,730 | ||||||
| Veritas US, Inc. / Veritas Bermuda Ltd., 7.50%, 09/01/2025 (e) | 321 | 246 | ||||||
| ZoomInfo Technologies LLC / ZoomInfo Finance Corp., 3.88%, 02/01/2029 (e) | 6,203 | 5,061 | ||||||
|
|
|
|||||||
| 58,084 | ||||||||
|
|
|
|||||||
| Total Technology | 95,468 | |||||||
|
|
|
|||||||
| Utilities — 4.1% | ||||||||
| Electric — 3.9% | ||||||||
| ACEN Finance Ltd., (Cayman Islands), Reg. S, 4.00%, 03/08/2025 (x) | 5,400 | 4,374 | ||||||
| Adani Green Energy Ltd., (India), Reg. S, 4.38%, 09/08/2024 | 3,000 | 2,460 | ||||||
| AES Corp. (The), 3.30%, 07/15/2025 (e) | 527 | 486 | ||||||
| Alexander Funding Trust, 1.84%, 11/15/2023 (e) | 527 | 493 | ||||||
| Calpine Corp., | ||||||||
| 3.75%, 03/01/2031 (e) | 6,155 | 4,816 | ||||||
| 4.50%, 02/15/2028 (e) | 1,273 | 1,122 | ||||||
| 4.63%, 02/01/2029 (e) | 4,903 | 3,995 | ||||||
| 5.00%, 02/01/2031 (e) | 3,725 | 2,946 | ||||||
| 5.13%, 03/15/2028 (e) | 9,392 | 8,069 | ||||||
| 5.25%, 06/01/2026 (e) | 164 | 155 | ||||||
| Cikarang Listrindo Tbk. PT, (Indonesia), Reg. S, 4.95%, 09/14/2026 | 7,200 | 6,545 | ||||||
| Clean Renewable Power Mauritius Pte Ltd., (Mauritius), Reg. S, 4.25%, 03/25/2027 | 2,149 | 1,714 | ||||||
| Clearway Energy Operating LLC, | ||||||||
| 3.75%, 01/15/2032 (e) | 346 | 268 | ||||||
| 4.75%, 03/15/2028 (e) | 1,686 | 1,502 | ||||||
| Comision Federal de Electricidad, (Mexico), 4.88%, 01/15/2024 (e) | 300 | 294 | ||||||
| Edison International, | ||||||||
| Series A, (CMT Index 5 Year + 4.70%), 5.38%, 03/15/2026 (x) (aa) | 792 | 656 | ||||||
| Series B, (CMT Index 5 Year + 3.90%), 5.00%, 12/15/2026 (x) (aa) | 329 | 260 | ||||||
| Electricite de France SA, (France), | ||||||||
| Reg. S, (EUR Swap Rate 5 Year + 3.97%), 3.38%, 06/15/2030 (x) (aa) | EUR | 400 | 266 | |||||
| Reg. S, (GBP Swap Rate 13 Year + 4.23%), 6.00%, 01/29/2026 (x) (aa) | GBP | 300 | 259 | |||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Electric — continued | ||||||||
| Fells Point Funding Trust, 3.05%, 01/31/2027 (e) | 424 | 378 | ||||||
| FirstEnergy Corp., | ||||||||
| 2.05%, 03/01/2025 | 480 | 442 | ||||||
| Series B, 2.25%, 09/01/2030 | 24 | 19 | ||||||
| 2.65%, 03/01/2030 | 561 | 453 | ||||||
| Series C, 3.40%, 03/01/2050 | 3,715 | 2,433 | ||||||
| FirstEnergy Transmission LLC, | ||||||||
| 4.55%, 04/01/2049 (e) | 640 | 499 | ||||||
| 5.45%, 07/15/2044 (e) | 985 | 891 | ||||||
| Jersey Central Power & Light Co., 4.70%, 04/01/2024 (e) | 312 | 307 | ||||||
| JSW Hydro Energy Ltd., (India), Reg. S, 4.13%, 05/18/2031 | 6,808 | 5,337 | ||||||
| Minejesa Capital BV, (Netherlands), Reg. S, 4.63%, 08/10/2030 | 4,700 | 3,842 | ||||||
| Mong Duong Finance Holdings BV, (Netherlands), | ||||||||
| Reg. S, 5.13%, 05/07/2029 | 9,039 | 7,080 | ||||||
| Naturgy Finance BV, (Netherlands), Reg. S, (EUR Swap Rate 5 Year + 2.44%), 2.37%, 11/23/2026 (x) (aa) |
EUR | 400 | 300 | |||||
| NRG Energy, Inc., | ||||||||
| 3.63%, 02/15/2031 (e) | 5,978 | 4,663 | ||||||
| 3.88%, 02/15/2032 (e) | 1,075 | 838 | ||||||
| 5.25%, 06/15/2029 (e) | 2,810 | 2,459 | ||||||
| 5.75%, 01/15/2028 | 1,555 | 1,438 | ||||||
| 6.63%, 01/15/2027 | 538 | 527 | ||||||
| Pacific Gas and Electric Co., 3.15%, 01/01/2026 | 354 | 318 | ||||||
| Pattern Energy Operations LP / Pattern Energy Operations, Inc., 4.50%, 08/15/2028 (e) | 801 | 694 | ||||||
| PG&E Corp., | ||||||||
| 5.00%, 07/01/2028 | 925 | 796 | ||||||
| 5.25%, 07/01/2030 | 6,311 | 5,439 | ||||||
| ReNew Wind Energy AP2 / ReNew Power Pvt Ltd. other 9 Subsidiaries, (India), Reg. S, 4.50%, 07/14/2028 | 11,800 | 8,847 | ||||||
| SMC Global Power Holdings Corp., (Philippines), Reg. S, (CMT Index 5 Year + 9.20%), 7.00%, 10/21/2025 (x) (aa) | 13,000 | 11,570 | ||||||
| Star Energy Geothermal Wayang Windu Ltd., (British Virgin Islands), Reg. S, 6.75%, 04/24/2033 | 2,057 | 1,867 | ||||||
| Vistra Corp., | ||||||||
| (CMT Index 5 Year + 5.74%), 7.00%, 12/15/2026 (e) (x) (aa) | 4,249 | 3,709 | ||||||
| (CMT Index 5 Year + 6.93%), 8.00%, 10/15/2026 (e) (x) (aa) | 2,075 | 1,906 | ||||||
| Vistra Operations Co. LLC, | ||||||||
| 3.55%, 07/15/2024 (e) | 473 | 451 | ||||||
| 4.38%, 05/01/2029 (e) | 11,551 | 9,616 | ||||||
| 4.88%, 05/13/2024 (e) | 495 | 482 | ||||||
| 5.00%, 07/31/2027 (e) | 1,454 | 1,313 | ||||||
| 5.50%, 09/01/2026 (e) | 2,824 | 2,627 | ||||||
| 5.63%, 02/15/2027 (e) | 853 | 800 | ||||||
|
|
|
|||||||
| 123,021 | ||||||||
|
|
|
|||||||
| Gas — 0.2% | ||||||||
| AmeriGas Partners LP / AmeriGas Finance Corp., | ||||||||
| 5.50%, 05/20/2025 | 2,505 | 2,326 | ||||||
| 5.88%, 08/20/2026 | 3,905 | 3,538 | ||||||
| Brooklyn Union Gas Co. (The), 4.63%, 08/05/2027 (e) | 162 | 153 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL |
VALUE ($) | ||||||
| Corporate Bonds — continued | ||||||||
| Gas — continued | ||||||||
| National Fuel Gas Co., 5.50%, 01/15/2026 | 289 | 284 | ||||||
| UGI International LLC, Reg. S, 2.50%, 12/01/2029 | EUR | 200 | 146 | |||||
|
|
|
|||||||
| 6,447 | ||||||||
|
|
|
|||||||
| Water — 0.0% (g) | ||||||||
| Thames Water Kemble Finance plc, (United Kingdom), Reg. S, 4.63%, 05/19/2026 |
GBP | 168 | 156 | |||||
|
|
|
|||||||
| Total Utilities | 129,624 | |||||||
|
|
|
|||||||
| Total Corporate Bonds (Cost $2,917,500) |
2,547,673 | |||||||
|
|
|
|||||||
| Foreign Government Securities — 1.2% | ||||||||
| Mongolia Government International Bond, (Mongolia), | ||||||||
| Reg. S, 5.13%, 04/07/2026 | 6,400 | 5,295 | ||||||
| Reg. S, 5.63%, 05/01/2023 | 1,800 | 1,697 | ||||||
| 5.63%, 05/01/2023 (e) | 4,200 | 3,958 | ||||||
| Morocco Government International Bond, (Morocco), 4.25%, 12/11/2022 (e) | 450 | 448 | ||||||
| Oman Government International Bond, (Oman), Reg. S, 7.00%, 01/25/2051 | 1,000 | 824 | ||||||
| Pakistan Government International Bond, (Pakistan), | ||||||||
| Reg. S, 6.00%, 04/08/2026 | 16,800 | 6,455 | ||||||
| Reg. S, 6.88%, 12/05/2027 | 12,000 | 4,500 | ||||||
| Reg. S, 7.38%, 04/08/2031 | 13,750 | 5,019 | ||||||
| Sri Lanka Government International Bond, (Sri Lanka), | ||||||||
| Reg. S, 5.75%, 04/18/2023 (d) | 2,600 | 651 | ||||||
| 6.20%, 05/11/2027 (d) (e) | 15,600 | 3,828 | ||||||
| Reg. S, 6.20%, 05/11/2027 (d) | 3,800 | 933 | ||||||
| Reg. S, 6.75%, 04/18/2028 (d) | 4,000 | 980 | ||||||
| Reg. S, 6.85%, 03/14/2024 (d) | 12,100 | 2,978 | ||||||
| Reg. S, 7.55%, 03/28/2030 (d) | 2,000 | 489 | ||||||
| Vietnam Government International Bond, (Vietnam), Series 30YR, 5.50%, 03/12/2028 | 233 | 230 | ||||||
|
|
|
|||||||
| Total Foreign Government Securities (Cost $69,145) |
38,285 | |||||||
|
|
|
|||||||
| Municipal Bond — 0.0% (g) (t) | ||||||||
| Louisiana — 0.0% (g) | ||||||||
| Louisiana Local Government Environmental Facilities & Community Development Authority, Taxable, Louisiana Utilities Restoration Corp., Rev., 3.62%, 02/01/2029 (Cost $204) |
204 | 198 | ||||||
|
|
|
|||||||
| U.S. Treasury Obligations — 3.5% | ||||||||
| U.S. Treasury Inflation Indexed Note, 0.13%, 01/15/2032 | 8,337 | 7,199 | ||||||
| U.S. Treasury Notes, | ||||||||
| 2.50%, 05/31/2024 | 26,890 | 26,118 | ||||||
| 2.50%, 03/31/2027 (ee) (ff) | 24,000 | 22,434 | ||||||
| 2.63%, 05/31/2027 | 41,765 | 39,228 | ||||||
| 2.75%, 04/30/2027 | 12,520 | 11,822 | ||||||
| 3.00%, 06/30/2024 | 2,302 | 2,252 | ||||||
| 4.25%, 09/30/2024 | 846 | 847 | ||||||
|
|
|
|||||||
| Total U.S. Treasury Obligations (Cost $114,234) |
109,900 | |||||||
|
|
|
|||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
SHARES |
VALUE ($) | ||||||
| Common Stock — 0.1% | ||||||||
| Communications — 0.1% | ||||||||
| Telecommunications — 0.1% | ||||||||
| Intelsat SA, (Luxembourg) (a) (bb) (cc) (Cost $4,732) |
87 | 2,294 | ||||||
|
|
|
|||||||
| Preferred Stock — 0.2% | ||||||||
| Consumer Cyclical — 0.2% | ||||||||
| Retail — 0.2% | ||||||||
| Ferrellgas Escrow LLC (a) (bb) (cc) (Cost $6,490) |
6 | 6,467 | ||||||
|
|
|
|||||||
| PRINCIPAL AMOUNT ($) |
||||||||
| Loan Assignments — 4.6% (o) | ||||||||
| Basic Materials — 0.2% | ||||||||
| Chemicals — 0.2% | ||||||||
| ARC Falcon I, Inc., Initial Term Loan, (ICE LIBOR USD 1 Month + 3.75%), 6.87%, 09/30/2028 (aa) |
602 | 554 | ||||||
| Ascend Performance Materials Operations LLC, 2021 Refinancing Term Loan, (CME Term SOFR 6 Month + 4.75%), 8.83%, 08/27/2026 (aa) | 1,064 | 1,040 | ||||||
| Axalta Coating Systems Dutch Holding B BV, Term B-3 Dollar Loan, (Netherlands), (ICE LIBOR USD 3 Month + 1.75%), 5.42%, 06/01/2024 (aa) | 247 | 243 | ||||||
| Discovery Purchaser Corp., Initial Term Loan (First Lien), (ICE LIBOR USD 3 Month + 4.38%), 5.57%, 10/04/2029 (u) (aa) | 1,869 | 1,705 | ||||||
| Nutrition & Biosciences, Inc., 3-Year Delayed Draw Term Loan, (ICE LIBOR USD 3 Month + 1.25%), 4.06%, 01/17/2023 (f) (aa) | 64 | 64 | ||||||
| Nutrition & Biosciences, Inc., 5-year Delayed Draw Term Loan, (ICE LIBOR USD 3 Month + 1.25%), 4.06%, 01/17/2025 (f) (aa) | 113 | 112 | ||||||
| Sparta U.S. Holdco LLC, Initial Term Loan (First Lien), (ICE LIBOR USD 1 Month + 3.25%), 5.80%, 08/02/2028 (aa) | 984 | 932 | ||||||
| TPC Group Inc., DIP Facility, (CME Term SOFR 1 Month + 10.00%), 12.81%, 03/01/2023 (d) (aa) (cc) | 97 | 96 | ||||||
|
|
|
|||||||
| Total Basic Materials |
4,746 | |||||||
|
|
|
|||||||
| Communications — 1.0% | ||||||||
| Advertising — 0.1% | ||||||||
| Clear Channel Outdoor Holdings, Inc., Term B Loan, (ICE LIBOR USD 3 Month + 3.50%), 6.31%, 08/21/2026 (aa) | 3,341 | 2,975 | ||||||
|
|
|
|||||||
| Internet — 0.2% | ||||||||
| Acuris Finance US, Inc., Initial Dollar Term Loan, (CME Term SOFR 3 Month + 4.00%), 7.70%, 02/16/2028 (aa) | 178 | 170 | ||||||
| CNT Holdings I Corp., Initial Term Loan (First Lien), (CME Term SOFR 1 Month + 3.50%), 6.25%, 11/08/2027 (aa) | 497 | 473 | ||||||
| Comcast Hulu Holdings LLC, Term Loan A, (ICE LIBOR USD 1 Month + 0.88%), 3.99%, 03/15/2024 (aa) | 750 | 743 | ||||||
| MH Sub I LLC, 2020 June New Term Loan (First Lien), (ICE LIBOR USD 1 Month + 3.75%), 6.87%, 09/13/2024 (aa) | 1,383 | 1,314 | ||||||
| MH Sub I LLC, 2021 Replacement Term Loan (Second Lien), (CME Term SOFR 1 Month + 6.25%), 9.28%, 02/23/2029 (aa) | 109 | 102 | ||||||
| MH Sub I LLC, Amendment No. 2 Initial Term Loan (First Lien), (ICE LIBOR USD 1 Month + 3.75%), 6.87%, 09/13/2024 (aa) | — | (h) | — | (h) | ||||
| Ping Identity Corp., Term Loan, (CME Term SOFR 1 Month + 3.75%), 6.88%, 11/22/2028 (aa) |
291 | 289 | ||||||
| Proofpoint, Inc., Initial Term Loan (First Lien), (ICE LIBOR USD 3 Month + 3.25%), 6.32%, 08/31/2028 (aa) |
2,019 | 1,892 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL AMOUNT ($) |
VALUE ($) | ||||||
| Loan Assignments — continued | ||||||||
| Internet — continued | ||||||||
| Uber Technologies, Inc., 2021 Incremental Term Loan, (ICE LIBOR USD 3 Month + 3.50%), 6.57%, 04/04/2025 (aa) | 1,078 | 1,053 | ||||||
|
|
|
|||||||
| 6,036 | ||||||||
|
|
|
|||||||
| Media — 0.2% | ||||||||
| Charter Communications Operating LLC, Term B-1 Loan, (ICE LIBOR USD 1 Month + 1.75%), 4.87%, 04/30/2025 (aa) | 862 | 845 | ||||||
| Diamond Sports Group LLC, Term Loan (First Lien), (CME Term SOFR 1 Month + 8.00%), 10.70%, 05/25/2026 (u) (aa) | 2,752 | 2,632 | ||||||
| Diamond Sports Group LLC, Term Loan (Second Lien), (CME Term SOFR 1 Month + 3.25%), 5.95%, 08/24/2026 (u) (aa) | 4,732 | 902 | ||||||
| DIRECTV Financing LLC, Closing Date Term Loan, (ICE LIBOR USD 1 Month + 5.00%), 8.12%, 08/02/2027 (aa) | 2,947 | 2,738 | ||||||
| Nielsen Finance LLC, Class B-4 Term Loan, (ICE LIBOR USD 1 Month + 2.00%), 4.70%, 10/04/2023 (aa) | 542 | 541 | ||||||
| Univision Communications, Inc., 2017 Replacement Repriced First-Lien Term Loan, (ICE LIBOR USD 1 Month + 2.75%), 5.87%, 03/15/2024 (aa) | 37 | 37 | ||||||
|
|
|
|||||||
| 7,695 | ||||||||
|
|
|
|||||||
| Telecommunications — 0.5% | ||||||||
| Cincinnati Bell Inc., Term B-2 Loan, (SOFR 1 Month + 3.25%), 6.38%, 11/22/2028 (aa) | 487 | 466 | ||||||
| Connect Finco Sarl, Amendment No. 1 Refinancing Term Loan, (Luxembourg), (ICE LIBOR USD 3 Month + 3.50%), 7.17%, 12/11/2026 (u) (aa) | 607 | 563 | ||||||
| Delta Topco, Inc., Initial Term Loan (First Lien), (ICE LIBOR USD 3 Month + 3.75%), 5.84%, 12/01/2027 (aa) | 1,861 | 1,681 | ||||||
| Digicel International Finance Ltd., Initial Term B Loan (First Lien), (Saint Lucia), (ICE LIBOR USD 1 Month + 3.25%), 6.37%, 05/27/2024 (aa) | 385 | 342 | ||||||
| Intelsat Jackson Holdings S.A., Term B Loan, (Luxembourg), (CME Term SOFR 6 Month + 4.25%), 7.44%, 02/01/2029 (aa) | 1,375 | 1,288 | ||||||
| Intrado Corp., Initial Term B Loan, (ICE LIBOR USD 1 Month + 4.00%), 7.12%, 10/10/2024 (aa) | 5,434 | 4,640 | ||||||
| Intrado Corp., Incremental Term B-1 Loan, (ICE LIBOR USD 1 Month + 3.50%), 6.62%, 10/10/2024 (aa) | 1,324 | 1,117 | ||||||
| Lumen Technologies, Inc., Term A Loan, (ICE LIBOR USD 1 Month + 2.00%), 5.12%, 01/31/2025 (aa) | 762 | 748 | ||||||
| MetroNet Systems Holdings LLC, 2021 Term Loan (First Lien), (CME Term SOFR 1 Month + 3.75%), 6.61%, 06/02/2028 (aa) | 21 | 20 | ||||||
| ViaSat, Inc., Initial Term Loan, (CME Term SOFR 1 Month + 4.50%), 7.65%, 03/02/2029 (u) (aa) | 1,134 | 1,002 | ||||||
| Xplornet Communications, Inc., Refinancing Term Loan (First Lien), (Canada), (ICE LIBOR USD 1 Month + 4.00%), 7.12%, 10/02/2028 (aa) | 2,487 | 2,182 | ||||||
| Zayo Group Holdings, Inc., Initial Dollar Term Loan, (ICE LIBOR USD 1 Month + 3.00%), 6.12%, 03/09/2027 (aa) | 3,185 | 2,652 | ||||||
|
|
|
|||||||
| 16,701 | ||||||||
|
|
|
|||||||
| Total Communications | 33,407 | |||||||
|
|
|
|||||||
| Consumer Cyclical — 0.5% | ||||||||
| Airlines — 0.1% | ||||||||
| AAdvantage Loyality IP Ltd., Initial Term Loan, (Cayman Islands), (ICE LIBOR USD 3 Month + 4.75%), 7.46%, 04/20/2028 (u) (aa) | 2,610 | 2,524 | ||||||
| Mileage Plus Holdings LLC, Initial Term Loan, (ICE LIBOR USD 3 Month + 5.25%), 8.78%, 06/21/2027 (aa) | 788 | 790 | ||||||
| United AirLines, Inc., Class B Term Loan, (ICE LIBOR USD 3 Month + 3.75%), 6.53%, 04/21/2028 (aa) | 828 | 788 | ||||||
|
|
|
|||||||
| 4,102 | ||||||||
|
|
|
|||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL AMOUNT ($) |
VALUE ($) | ||||||
| Loan Assignments — continued | ||||||||
| Apparel — 0.1% | ||||||||
| Crocs, Inc., Term Loan, (CME Term SOFR 6 Month + 3.50%), 7.42%, 02/20/2029 (aa) | 1,508 | 1,416 | ||||||
|
|
|
|||||||
| Auto Parts & Equipment — 0.0% (g) | ||||||||
| Tenneco, Inc., Tranche A Term Loan, (ICE LIBOR USD 1 Month + 2.00%), 5.12%, 09/29/2023 (aa) |
1,227 | 1,210 | ||||||
|
|
|
|||||||
| Distribution/Wholesale — 0.0% (g) | ||||||||
| BCPE Empire Holdings, Inc., Amendment No.3 Term Loan (First Lien), (CME Term SOFR 1 Month + 4.63%), 7.76%, 06/11/2026 (aa) | 115 | 110 | ||||||
|
|
|
|||||||
| Entertainment — 0.0% (g) | ||||||||
| Churchill Downs, Inc., Term B Facility Loan, (ICE LIBOR USD 1 Month + 2.00%), 5.12%, 12/27/2024 (u) (aa) | 345 | 340 | ||||||
| Raptor Acquisition Corp., Term B Loan (First Lien), (Canada), (ICE LIBOR USD 3 Month + 4.00%), 7.60%, 11/01/2026 (aa) | 201 | 191 | ||||||
|
|
|
|||||||
| 531 | ||||||||
|
|
|
|||||||
| Lodging — 0.1% | ||||||||
| Fertitta Entertainment LLC, Initial B Term Loan, (CME Term SOFR 1 Month + 4.00%), 7.03%, 01/27/2029 (u) (aa) | 951 | 881 | ||||||
| Four Seasons Holdings Inc., Term Loan (First Lien) 2013, (Canada), (ICE LIBOR USD 1 Month + 2.00%), 5.12%, 11/30/2023 (aa) | 737 | 732 | ||||||
| Hilton Worldwide Finance LLC, Refinanced Series B-2 Term Loan, (ICE LIBOR USD 1 Month + 1.75%), 4.83%, 06/22/2026 (aa) | 306 | 296 | ||||||
| Resorts World Las Vegas LLC, Term A Facility Loan, (ICE LIBOR USD 1 Month + 1.50%), 4.62%, 04/16/2024 (aa) | 500 | 489 | ||||||
|
|
|
|||||||
| 2,398 | ||||||||
|
|
|
|||||||
| Retail — 0.2% | ||||||||
| Foundation Building Materials, Inc., Initial Term Loan (First Lien), (ICE LIBOR USD 3 Month + 3.25%), 6.06%, 01/31/2028 (aa) | 184 | 165 | ||||||
| Great Outdoors Group LLC, Term B-2 Loan, (ICE LIBOR USD 1 Month + 3.75%), 6.87%, 03/06/2028 (aa) | 2,487 | 2,292 | ||||||
| IRB Holding Corp., 2022 Replacement Term B Loan, (CME Term SOFR 1 Month + 3.00%), 5.70%, 12/15/2027 (u) (aa) | 1,493 | 1,396 | ||||||
| SRS Distribution Inc., 2022 Refinancing Term Loan, (CME Term SOFR 3 Month + 3.50%), 6.18%, 06/02/2028 (aa) | 398 | 365 | ||||||
| Staples, Inc., 2019 Refinancing New Term B-1 Loan, (ICE LIBOR USD 3 Month + 5.00%), 7.78%, 04/16/2026 (aa) | 103 | 90 | ||||||
| White Cap Supply Holdings LLC, Initial Closing Date Term Loan, (CME Term SOFR 1 Month + 3.75%), 6.78%, 10/19/2027 (aa) | 1,592 | 1,486 | ||||||
|
|
|
|||||||
| 5,794 | ||||||||
|
|
|
|||||||
| Total Consumer Cyclical | 15,561 | |||||||
|
|
|
|||||||
| Consumer Non-cyclical — 0.4% | ||||||||
| Beverages — 0.0% (g) | ||||||||
| Naked Juice LLC, Initial Loan (Second Lien), (CME Term SOFR 3 Month + 6.00%), 9.65%, 01/24/2030 (aa) | 111 | 100 | ||||||
| Naked Juice LLC, Initial Term Loan (First Lien), (CME Term SOFR 3 Month + 3.25%), 6.90%, 01/24/2029 (u) (aa) | 605 | 554 | ||||||
|
|
|
|||||||
| 654 | ||||||||
|
|
|
|||||||
| Commercial Services — 0.2% | ||||||||
| CoreLogic, Inc., Initial Term Loan (First Lien), (ICE LIBOR USD 1 Month + 3.50%), 6.63%, 06/02/2028 (aa) | 758 | 567 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL AMOUNT ($) |
VALUE ($) | ||||||
| Loan Assignments — continued |
||||||||
| Commercial Services — continued |
||||||||
| Element Materials Technology Group US Holdings, Inc., Delayed Draw Term B Loan (First Lien), (SOFR 3 Month + 4.25%), 7.90%, 06/22/2029 (u) (aa) | 186 | 174 | ||||||
| Element Materials Technology Group US Holdings, Inc., Initial USD Term B Loan (First Lien), (SOFR 3 Month + 4.25%), 6.36%, 06/22/2029 (u) (aa) | 402 | 376 | ||||||
| PECF USS Intermediate Holding III Corp., Initial Term Loan, (ICE LIBOR USD 1 Month + 4.25%), 7.37%, 12/15/2028 (u) (aa) | 2,067 | 1,759 | ||||||
| Sabre GLBL, Inc., 2021 Other Term B-1 Loan, (ICE LIBOR USD 1 Month + 3.50%), 6.62%, 12/17/2027 (aa) | 114 | 102 | ||||||
| Sabre GLBL, Inc., 2021 Other Term B-2 Loan, (ICE LIBOR USD 1 Month + 3.50%), 6.62%, 12/17/2027 (aa) | 182 | 162 | ||||||
| Sotheby’s, 2021 Second Refinancing Term Loan, (ICE LIBOR USD 3 Month + 4.50%), 7.01%, 01/15/2027 (aa) | 493 | 476 | ||||||
| Trans Union LLC, 2019 Replacement Term B-5 Loan, (ICE LIBOR USD 1 Month + 1.75%), 4.87%, 11/16/2026 (aa) | 179 | 172 | ||||||
| Verscend Holding Corp., Term B-1 Loan, (ICE LIBOR USD 1 Month + 4.00%), 7.12%, 08/27/2025 (aa) | 2,059 | 1,992 | ||||||
|
|
|
|||||||
| 5,780 | ||||||||
|
|
|
|||||||
| Food — 0.0% (g) | ||||||||
| Chobani LLC, 2020 New Term Loan, (ICE LIBOR USD 1 Month + 3.50%), 6.62%, 10/25/2027 (aa) |
167 | 152 | ||||||
|
|
|
|||||||
| Healthcare - Services — 0.1% | ||||||||
| Envision Healthcare Corp., First Out Term Loan, (CME Term SOFR 3 Month + 7.88%), 10.53%, 03/31/2027 (aa) | 53 | 51 | ||||||
| Envision Healthcare Corp., Second Out Term Loan, (CME Term SOFR 3 Month + 4.25%), 6.83%, 03/31/2027 (aa) | 353 | 153 | ||||||
| LifePoint Health, Inc., Term B Loan (First Lien), (ICE LIBOR USD 1 Month + 3.75%), 6.87%, 11/16/2025 (aa) | 192 | 178 | ||||||
| Phoenix Newco, Inc., Initial Term Loan (First Lien), (ICE LIBOR USD 1 Month + 3.25%), 6.37%, 11/15/2028 (aa) | 990 | 943 | ||||||
| Quorum Health Corp., Term Loan (Exit), (ICE LIBOR USD 3 Month + 8.25%), 10.60%, 04/29/2025 (aa) | 611 | 410 | ||||||
| WCG Purchaser Corp., Initial Term Loan (First Lien), (ICE LIBOR USD 3 Month + 4.00%), 7.46%, 01/08/2027 (aa) | 288 | 270 | ||||||
|
|
|
|||||||
| 2,005 | ||||||||
|
|
|
|||||||
| Pharmaceuticals — 0.1% | ||||||||
| Change Healthcare Holdings LLC, Closing Date Term Loan Retired 10/03/2022, (LIBOR 3 Month + 2.50%), 7.75%, 03/01/2024 (aa) | 229 | 228 | ||||||
| Gainwell Acquisition Corp., Term B Loan (First Lien), (ICE LIBOR USD 3 Month + 4.00%), 7.67%, 10/01/2027 (aa) | 2,985 | 2,838 | ||||||
|
|
|
|||||||
| 3,066 | ||||||||
|
|
|
|||||||
| Total Consumer Non-cyclical | 11,657 | |||||||
|
|
|
|||||||
| Energy — 0.2% | ||||||||
| Oil & Gas — 0.1% | ||||||||
| Ascent Resources Utica Holdings LLC / Aru Finance Corp., Term Loan (Second Lien), (ICE LIBOR USD 3 Month + 9.00%), 11.46%, 11/01/2025 (aa) | 2,716 | 2,847 | ||||||
| CITGO Petroleum Corp., 2019 Incremental Term B Loan, (ICE LIBOR USD 1 Month + 6.25%), 9.37%, 03/28/2024 (d) (aa) | 948 | 947 | ||||||
|
|
|
|||||||
| 3,794 | ||||||||
|
|
|
|||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL AMOUNT ($) |
VALUE ($) | ||||||
| Loan Assignments — continued | ||||||||
| Pipelines — 0.1% | ||||||||
| Freeport LNG investments, LLLP, Initial Term B Loan, (ICE LIBOR USD 3 Month + 3.50%), 6.21%, 12/21/2028 (aa) | 1,238 | 1,143 | ||||||
| M6 ETX Holdings II Midco LLC, Initial Term Loan, (CME Term SOFR 3 Month + 4.50%), 7.62%, 09/19/2029 (aa) | 608 | 596 | ||||||
|
|
|
|||||||
| 1,739 | ||||||||
|
|
|
|||||||
| Total Energy | 5,533 | |||||||
|
|
|
|||||||
| Financial — 0.4% | ||||||||
| Diversified Financial Services — 0.1% | ||||||||
| Advisor Group Holdings, Inc., Term B-1 Loan, (ICE LIBOR USD 1 Month + 4.50%), 7.62%, 07/31/2026 (aa) | 497 | 472 | ||||||
| Cowen, Inc., Initial Term Loan, (ICE LIBOR USD 3 Month + 3.25%), 7.43%, 03/24/2028 (aa) | 317 | 315 | ||||||
| Deerfield Dakota Holding LLC, 2021 Replacement Term Loan (Second Lien), (ICE LIBOR USD 1 Month + 6.75%), 9.87%, 04/07/2028 (aa) | 763 | 736 | ||||||
| Deerfield Dakota Holding LLC, Initial Dollar Term Loan (First Lien), (CME Term SOFR 1 Month + 3.75%), 6.78%, 04/09/2027 (aa) | 694 | 654 | ||||||
| Delos Finance S.a r.l., New Loan (2018), (Luxembourg), (ICE LIBOR USD 3 Month + 1.75%), 5.42%, 10/06/2023 (u) (aa) | 322 | 322 | ||||||
| Mercury Borrower, Inc., Initial Term Loan (First Lien), (ICE LIBOR USD 3 Month + 3.50%), 7.19%, 08/02/2028 (aa) | 531 | 482 | ||||||
| Mercury Borrower, Inc., Initial Term Loan (Second Lien), (ICE LIBOR USD 3 Month + 6.50%), 8.81%, 08/02/2029 (aa) | 668 | 598 | ||||||
|
|
|
|||||||
| 3,579 | ||||||||
|
|
|
|||||||
| Insurance — 0.2% | ||||||||
| Alliant Holdings Intermediate LLC, Initial Term Loan (2018), (ICE LIBOR USD 1 Month + 3.25%), 6.37%, 05/09/2025 (aa) | 3,375 | 3,229 | ||||||
| AssuredPartners, Inc., 2022 Term Loan, (CME Term SOFR 1 Month + 3.50%), 6.53%, 02/12/2027 (aa) | 1,005 | 950 | ||||||
| Asurion LLC, New B-3 Term Loan (Second Lien), (ICE LIBOR USD 1 Month + 5.25%), 8.37%, 01/31/2028 (aa) | 364 | 273 | ||||||
| Asurion LLC, New B-4 Term Loan (Second Lien), (ICE LIBOR USD 1 Month + 5.25%), 8.37%, 01/20/2029 (aa) | 1,785 | 1,357 | ||||||
| Hub International Ltd., B-3 Incremental Term Loan, (ICE LIBOR USD 3 Month + 3.25%), 5.98%, 04/25/2025 (aa) | 185 | 178 | ||||||
| Sedgwick Claims Management Services, Inc., 2020 Term Loan, (ICE LIBOR USD 1 Month + 4.25%), 7.37%, 09/03/2026 (aa) | 693 | 666 | ||||||
| Sedgwick Claims Management Services, Inc., Initial Term Loan, (ICE LIBOR USD 1 Month + 3.25%), 6.37%, 12/31/2025 (aa) | 318 | 300 | ||||||
|
|
|
|||||||
| 6,953 | ||||||||
|
|
|
|||||||
| REITS — 0.1% | ||||||||
| Invitation Homes Operating Partnership LP, Term Loan A, (ICE LIBOR USD 1 Month + 1.00%), 4.04%, 01/31/2025 (aa) | 1,552 | 1,544 | ||||||
|
|
|
|||||||
| Total Financial | 12,076 | |||||||
|
|
|
|||||||
| Government — 0.0% (g) | ||||||||
| Regional (State/Province) — 0.0% (g) | ||||||||
| Seminole Tribe of Florida, Inc., (The), 2018 Replacement Term B Loan, (ICE LIBOR USD 1 Month + 1.75%), 4.87%, 07/08/2024 (aa) | 115 | 115 | ||||||
|
|
|
|||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL AMOUNT ($) |
VALUE ($) | ||||||
| Loan Assignments — continued | ||||||||
| Industrial — 0.5% | ||||||||
| Aerospace/Defense — 0.1% | ||||||||
| Cobham Ultra SeniorCo S.a r.l., Facility B (USD), (Luxemburg), (ICE LIBOR USD 3 Month + 3.75%), 7.06%, 08/06/2029 (aa) | 597 | 570 | ||||||
| Propulsion, Initial Term Loan, (CME Term SOFR 3 Month + 4.00%), 7.18%, 09/14/2029 (aa) | 595 | 564 | ||||||
| Sequa Mezzanine Holdings LLC, Extended Term Loan (First Lien), (ICE LIBOR USD 3 Month + 6.75%), 9.76%, 11/28/2023 (aa) | 150 | 150 | ||||||
| Spirit Aerosystems, Inc., 2021 Refinancing Term Loan, (ICE LIBOR USD 1 Month + 3.75%), 6.87%, 01/15/2025 (aa) | 976 | 964 | ||||||
|
|
|
|||||||
| 2,248 | ||||||||
|
|
|
|||||||
| Building Materials — 0.1% | ||||||||
| Chariot Buyer LLC, Initial Term Loan (First Lien), (ICE LIBOR USD 1 Month + 3.50%), 6.62%, 11/03/2028 (aa) | 1,542 | 1,398 | ||||||
|
|
|
|||||||
| Engineering & Construction — 0.1% | ||||||||
| Brand Industrial Services, Inc., Initial Term Loan, (ICE LIBOR USD 3 Month + 4.25%), 6.95%, 06/21/2024 (aa) | 2,107 | 1,829 | ||||||
| Brown Group Holding LLC, Incremental Term B-2 Facility, (CME Term SOFR 1 Month + 3.75%), 6.78%, 07/02/2029 (aa) | 992 | 959 | ||||||
| KKR Apple Bidco LLC, Initial Term Loan (First Lien), (ICE LIBOR USD 1 Month + 2.75%), 5.87%, 09/22/2028 (u) (aa) | 357 | 340 | ||||||
| KKR Apple Bidco LLC, Initial Term Loan (Second Lien), (ICE LIBOR USD 1 Month + 5.75%), 8.87%, 09/21/2029 (aa) | 96 | 92 | ||||||
|
|
|
|||||||
| 3,220 | ||||||||
|
|
|
|||||||
| Environmental Control — 0.0% (g) | ||||||||
| Filtration Group Corp., 2021 Incremental Term Loan, (ICE LIBOR USD 1 Month + 3.50%), 6.62%, 10/21/2028 (aa) | 995 | 942 | ||||||
|
|
|
|||||||
| Machinery - Construction & Mining — 0.0% (g) | ||||||||
| Vertiv Group Corp., Term B Loan, (ICE LIBOR USD 1 Month + 2.75%), 5.30%, 03/02/2027 (aa) | 497 | 472 | ||||||
|
|
|
|||||||
| Machinery - Diversified — 0.1% | ||||||||
| Husky Injection Molding Systems Ltd., Initial Term Loan, (Canada), (ICE LIBOR USD 3 Month + 3.00%), 5.88%, 03/28/2025 (aa) | 3,066 | 2,739 | ||||||
| SPX Flow, Inc., Term Loan, (CME Term SOFR 1 Month + 4.50%), 7.63%, 04/05/2029 (u) (aa) | 1,082 | 998 | ||||||
|
|
|
|||||||
| 3,737 | ||||||||
|
|
|
|||||||
| Packaging & Containers — 0.1% | ||||||||
| Charter Next Generation, Inc., Initial Term Loan (2021) (First Lien), (ICE LIBOR USD 3 Month + 3.75%), 6.56%, 12/01/2027 (aa) | 995 | 942 | ||||||
| Clydesdale Acquisition Holdings, Inc., Term B Loan (First Lien), (CME Term SOFR 1 Month + 4.18%), 7.31%, 04/13/2029 (aa) | 497 | 468 | ||||||
| Mauser Packaging Solutions Holding Co., Initial Term Loan, (ICE LIBOR USD 1 Month + 3.25%), 5.81%, 04/03/2024 (aa) | 1,806 | 1,679 | ||||||
|
|
|
|||||||
| 3,089 | ||||||||
|
|
|
|||||||
| Shipbuilding — 0.0% (g) | ||||||||
| MHI Holdings LLC, Initial Term Loan, (ICE LIBOR USD 1 Month + 5.00%), 8.12%, 09/21/2026 (aa) |
457 | 449 | ||||||
|
|
|
|||||||
| Transportation — 0.0% (g) | ||||||||
| AIT Worldwide Logistics Holdings, Inc., Initial Term Loan (First Lien), (ICE LIBOR USD 3 Month + 4.75%), 7.04%, 04/06/2028 (aa) | 398 | 362 | ||||||
| XPO Logistics, Inc., Refinancing Term Loan (2018), (ICE LIBOR USD 1 Month + 1.75%), 4.38%, 02/24/2025 (aa) | 500 | 486 | ||||||
|
|
|
|||||||
| 848 | ||||||||
|
|
|
|||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL AMOUNT ($) |
VALUE ($) | ||||||
| Loan Assignments — continued |
||||||||
| Trucking & Leasing — 0.0% (g) | ||||||||
| Drive Chassis Holdco LLC, 2021 Refinancing Term B Loan (Second Lien), (ICE LIBOR USD 3 Month + 6.75%), 9.18%, 04/10/2026 (aa) | 125 | 124 | ||||||
|
|
|
|||||||
| Total Industrial | 16,527 | |||||||
|
|
|
|||||||
| Technology — 1.4% | ||||||||
| Computers — 0.3% | ||||||||
| Magenta Buyer LLC, Initial Term Loan (First Lien), (ICE LIBOR USD 1 Month + 4.75%), 7.87%, 07/27/2028 (aa) | 2,449 | 2,204 | ||||||
| Magenta Buyer LLC, Initial Term Loan (Second Lien), (ICE LIBOR USD 1 Month + 8.25%), 11.37%, 07/27/2029 (aa) | 491 | 450 | ||||||
| McAfee Corp., Tranche B-1 Term Loan, (CME Term SOFR 3 Month + 3.75%), 6.36%, 03/01/2029 (u) (aa) | 3,096 | 2,816 | ||||||
| Peraton Corp., Term B Loan (First Lien), (ICE LIBOR USD 1 Month + 3.75%), 6.87%, 02/01/2028 (aa) | 4,215 | 3,987 | ||||||
| Peraton Corp., Term B-1 Loan (Second Lien), (ICE LIBOR USD 1 Month + 7.75%), 10.57%, 02/01/2029 (u) (aa) | 602 | 568 | ||||||
| Tempo Acquisition LLC, Initial Term B-1 Loan, (CME Term SOFR 1 Month + 3.00%), 6.03%, 08/31/2028 (aa) | 488 | 474 | ||||||
|
|
|
|||||||
| 10,499 | ||||||||
|
|
|
|||||||
| Semiconductors — 0.0% (g) | ||||||||
| MKS Instruments, Inc., Term Loan, (ICE LIBOR USD 3 Month + 2.50%), 5.06%, 10/20/2028 (u) (aa) |
383 | 373 | ||||||
|
|
|
|||||||
| Software — 1.1% | ||||||||
| Ascend Learning LLC, Initial Term Loan (2021) (First Lien), (ICE LIBOR USD 1 Month + 3.50%), 6.62%, 12/11/2028 (aa) | 945 | 871 | ||||||
| Ascend Learning LLC, Initial Term Loan (Second Lien), (ICE LIBOR USD 1 Month + 5.75%), 8.87%, 12/10/2029 (aa) | 458 | 396 | ||||||
| athenahealth Group Inc., Initial Term Loan, (CME Term SOFR 1 Month + 3.50%), 6.58%, 02/15/2029 (aa) | 1,884 | 1,684 | ||||||
| Banff Guarantor, Inc., Initial Term Loan (Second Lien), (ICE LIBOR USD 1 Month + 5.50%), 8.62%, 02/27/2026 (aa) | 1,695 | 1,568 | ||||||
| Boxer Parent Co., Inc., 2021 Replacement Dollar Term Loan, (ICE LIBOR USD 1 Month + 3.75%), 6.87%, 10/02/2025 (aa) | 1,766 | 1,670 | ||||||
| Camelot U.S. Acquisition 1 Co., Amendment No. 2 Incremental Term Loan, (ICE LIBOR USD 1 Month + 3.00%), 6.12%, 10/30/2026 (aa) | 1,491 | 1,439 | ||||||
| Central Parent Inc., Initial Term Loan (First Lien), (CME Term SOFR 3 Month + 4.50%), 6.61%, 07/06/2029 (aa) | 1,208 | 1,161 | ||||||
| Dun & Bradstreet Corp., (The), 2022 Incremental Term B-2 Loan, (CME Term SOFR 1 Month + 3.25%), 6.28%, 01/18/2029 (aa) | 1,493 | 1,437 | ||||||
| EP Purchaser LLC, Closing Date Term Loan (First Lien), (ICE LIBOR USD 3 Month + 3.50%), 7.17%, 11/06/2028 (aa) | 489 | 475 | ||||||
| Epicor Software Corp., Term C Loan, (ICE LIBOR USD 1 Month + 3.25%), 6.37%, 07/30/2027 (aa) |
498 | 466 | ||||||
| Genesys Cloud Services Holdings I LLC, Initial Dollar Term Loan (2020), (ICE LIBOR USD 1 Month + 4.00%), 7.12%, 12/01/2027 (aa) | 1,988 | 1,888 | ||||||
| Helios Software Holdings, Inc., Initial Dollar Term Loan (2021), (CME Term SOFR 3 Month + 3.75%), 7.45%, 03/11/2028 (aa) | 407 | 384 | ||||||
| Misys Limited, Dollar Term Loan (First Lien), (United Kingdom), (ICE LIBOR USD 3 Month + 3.50%), 6.87%, 06/13/2024 (aa) | 2,002 | 1,729 | ||||||
| Misys Ltd., Dollar Term Loan (Second Lien), (United Kingdom), (ICE LIBOR USD 3 Month + 7.25%), 10.62%, 06/13/2025 (aa) | 670 | 541 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL AMOUNT ($) |
VALUE ($) | ||||||
| Loan Assignments — continued |
||||||||
| Software — continued |
||||||||
| Planview Parent, Inc., Closing Date Loan (Second Lien), (ICE LIBOR USD 3 Month + 7.25%), 10.92%, 12/18/2028 (aa) | 180 | 171 | ||||||
| Polaris Newco LLC, Dollar Term Loan (First Lien), (ICE LIBOR USD 3 Month + 4.00%), 7.67%, 06/02/2028 (aa) | 1,512 | 1,392 | ||||||
| Project Alpha Intermediate Holding, Inc., 2021 Refinancing Term Loan, (ICE LIBOR USD 1 Month + 4.00%), 7.12%, 04/26/2024 (aa) | 222 | 214 | ||||||
| RealPage, Inc., Initial Loan (Second Lien), (ICE LIBOR USD 1 Month + 6.50%), 9.62%, 04/23/2029 (aa) | 1,465 | 1,411 | ||||||
| RealPage, Inc., Initial Term Loan (First Lien), (ICE LIBOR USD 1 Month + 3.00%), 6.12%, 04/24/2028 (aa) | 1,922 | 1,798 | ||||||
| Skillsoft Finance II, Inc., Initial Term Loan, (CME Term SOFR 1 Month + 5.25%), 7.96%, 07/14/2028 (aa) | 2,316 | 1,964 | ||||||
| Sophia, LP, Term Loan B (First Lien), (ICE LIBOR USD 3 Month + 3.50%), 7.17%, 10/07/2027 (u) (aa) | 3,410 | 3,273 | ||||||
| Sovos Compliance LLC, Initial Term Loan (First Lien), (ICE LIBOR USD 1 Month + 4.50%), 7.62%, 08/11/2028 (aa) | 632 | 601 | ||||||
| TIBCO Software Inc., Dollar Term B Loan, (SOFR 3 Month + 4.50%), 6.43%, 03/30/2029 (u) (aa) |
2,243 | 2,010 | ||||||
| UKG, Inc., 2021 Incremental Term Loan (Second Lien), (ICE LIBOR USD 3 Month + 5.25%), 7.54%, 05/03/2027 (u) (aa) | 1,321 | 1,241 | ||||||
| UKG, Inc., Initial Term Loan (First Lien), (ICE LIBOR USD 1 Month + 3.75%), 6.87%, 05/04/2026 (aa) | 2,295 | 2,183 | ||||||
| Veritas US, Inc., Dollar Term B-2021 Loan, (ICE LIBOR USD 3 Month + 5.00%), 8.67%, 09/01/2025 (aa) | 475 | 375 | ||||||
|
|
|
|||||||
| 32,342 | ||||||||
|
|
|
|||||||
| Total Technology | 43,214 | |||||||
|
|
|
|||||||
| Utilities — 0.0% (g) | ||||||||
| Electric — 0.0% (g) | ||||||||
| Heritage Power LLC, Term Loan, (ICE LIBOR USD 3 Month + 6.00%), 8.81%, 07/30/2026 (aa) | 1,416 | 446 | ||||||
|
|
|
|||||||
| Total Loan Assignments (Cost $151,332) |
143,282 | |||||||
|
|
|
|||||||
| Rights — 0.0% | ||||||||
| Communications — 0.0% | ||||||||
| Telecommunications — 0.0% | ||||||||
| Intelsat Jackson Holdings SA, expiring, 12/31/2049 (a) (bb) (cc) (Cost $—) |
18 | — | ||||||
|
|
|
|||||||
|
NUMBER OF |
||||||||
| Warrant — 0.0% (g) | ||||||||
| Basic Materials — 0.0% (g) | ||||||||
| Chemicals — 0.0% (g) | ||||||||
| TPC Group, Inc., expiring, 12/31/2049 (a) (d) (bb) (cc) (Cost $—(h)) |
806 | — | (h) | |||||
|
|
|
|||||||
|
PRINCIPAL |
||||||||
| Short-Term Investments — 4.7% | ||||||||
| Time Deposits — 4.0% | ||||||||
| Australia & New Zealand Banking Group Ltd., 2.43%, 10/03/2022 | 9,358 | 9,358 | ||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
| SECURITY DESCRIPTION |
PRINCIPAL AMOUNT ($) |
VALUE ($) | ||||||
| Short-Term Investments — continued |
||||||||
| Time Deposits — continued |
||||||||
| Barclays SA, 2.43%, 10/03/2022 | 231 | 231 | ||||||
| BNP Paribas SA, 1.17%, 10/03/2022 | GBP | 367 | 409 | |||||
| Brown Brothers Harriman, | ||||||||
| (0.29%), 10/03/2022 | CHF | 1 | 1 | |||||
| Citibank NA, | ||||||||
| 0.29%, 10/03/2022 | EUR | 346 | 340 | |||||
| 2.43%, 10/03/2022 | 25,070 | 25,070 | ||||||
| Skandinaviska Enskilda Banken AB, 2.43%, 10/03/2022 | 46,005 | 46,005 | ||||||
| Sumitomo Mitsui Trust Bank Ltd., 2.43%, 10/03/2022 | 43,962 | 43,962 | ||||||
|
|
|
|||||||
| Total Time Deposits | 125,376 | |||||||
|
|
|
|||||||
| U.S. Government Agency Security — 0.7% | ||||||||
| FHLB DNs, Zero Coupon, 10/03/2022 | 20,900 | 20,900 | ||||||
|
|
|
|||||||
| U.S. Treasury Obligation — 0.0% (g) | ||||||||
| U.S. Treasury Bill, Zero Coupon, 12/15/2022 (ii) | 172 | 171 | ||||||
|
|
|
|||||||
| Total Short-Term Investments (Cost $146,444) |
146,447 | |||||||
|
|
|
|||||||
| Total Investments — 99.0% (Cost - $3,542,213)* |
3,121,323 | |||||||
| Other Assets in Excess of Liabilities — 1.0% | 30,732 | |||||||
|
|
|
|||||||
| NET ASSETS — 100.0% | $ | 3,152,055 | ||||||
|
|
|
|||||||
Percentages indicated are based on net assets.
Futures contracts outstanding as of September 30, 2022:
Exchange Traded
| DESCRIPTION |
NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT ($) |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
|||||||||||||||
| Long Contracts |
||||||||||||||||||||
| Euro Schatz | 2 | 12/2022 | EUR | 212 | (2 | ) | ||||||||||||||
| U.S. Treasury 2 Year Note | 408 | 12/2022 | USD | 84,990 | (1,191 | ) | ||||||||||||||
| U.S. Treasury 10 Year Note | 576 | 12/2022 | USD | 67,053 | (2,505 | ) | ||||||||||||||
| U.S. Treasury Long Bond | 19 | 12/2022 | USD | 2,601 | (199 | ) | ||||||||||||||
| U.S. Treasury Ultra Bond | 7 | 12/2022 | USD | 1,037 | (78 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| (3,975 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Short Contracts |
||||||||||||||||||||
| Euro BOBL | (2) | 12/2022 | EUR | (241 | ) | 6 | ||||||||||||||
| U.S. Treasury 5 Year Note | (196) | 12/2022 | USD | (21,565 | ) | 494 | ||||||||||||||
| U.S. Treasury 10 Year Note | (4) | 12/2022 | USD | (470 | ) | 22 | ||||||||||||||
| U.S. Treasury Long Bond | (3) | 12/2022 | USD | (412 | ) | 33 | ||||||||||||||
| U.S. Treasury Ultra Bond | (84) | 12/2022 | USD | (12,506 | ) | 998 | ||||||||||||||
|
|
|
|||||||||||||||||||
| 1,553 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized appreciation (depreciation) | (2,422 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 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 September 30, 2022:
| CURRENCY PURCHASED |
CURRENCY SOLD |
COUNTERPARTY |
SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) ($) |
||||||||||||||
| EUR | 2,530 | USD | 2,440 | Morgan Stanley & Co. | 10/04/2022 | 40 | ||||||||||||
| USD | 2,529 | EUR | 2,530 | Morgan Stanley & Co. | 10/04/2022 | 49 | ||||||||||||
| USD | 263 | GBP | 223 | HSBC Bank plc | 10/04/2022 | 15 | ||||||||||||
| GBP | 223 | USD | 241 | Morgan Stanley & Co. | 10/04/2022 | 8 | ||||||||||||
| USD | 180 | EUR | 179 | Bank of America, NA | 12/21/2022 | 3 | ||||||||||||
| USD | 22,040 | EUR | 21,956 | Morgan Stanley & Co. | 12/21/2022 | 386 | ||||||||||||
| USD | 3,915 | GBP | 3,405 | Bank of America, NA | 12/21/2022 | 108 | ||||||||||||
|
|
|
|||||||||||||||||
| Total unrealized appreciation | 609 | |||||||||||||||||
|
|
|
|||||||||||||||||
| USD | 2,445 | EUR | 2,530 | Morgan Stanley & Co. | 11/02/2022 | (41 | ) | |||||||||||
| USD | 241 | GBP | 223 | Morgan Stanley & Co. | 11/02/2022 | (8 | ) | |||||||||||
|
|
|
|||||||||||||||||
| Total unrealized depreciation | (49 | ) | ||||||||||||||||
|
|
|
|||||||||||||||||
| Net unrealized appreciation (depreciation) | 560 | |||||||||||||||||
|
|
|
|||||||||||||||||
Centrally Cleared Interest Rate Swap contracts outstanding as of September 30, 2022:
| FLOATING RATE INDEX (a) |
FIXED RATE | PAY/ RECEIVE FLOATING RATE |
MATURITY DATE |
NOTIONAL AMOUNT |
UPFRONT PAYMENTS (RECEIPTS) ($) |
UNREALIZED APPRECIATION (DEPRECIATION) ($) |
VALUE ($) | |||||||||||||||
| United States SOFR |
1.30% maturity | Pay | 12/21/2022 | USD | 126,200 | (443 | ) | (447 | ) | (890 | ) | |||||||||||
| United States SOFR |
1.75% annually | Receive | 06/15/2024 | USD | 29,500 | 584 | 644 | 1,228 | ||||||||||||||
| United States SOFR |
1.75% annually | Pay | 06/15/2032 | USD | 400 | 31 | 29 | 60 | ||||||||||||||
| United States SOFR |
1.50% annually | Receive | 06/15/2042 | USD | 2,400 | 186 | 457 | 643 | ||||||||||||||
| United States SOFR |
1.50% annually | Pay | 06/15/2052 | USD | 1,300 | (343 | ) | (45 | ) | (388 | ) | |||||||||||
|
|
|
|
|
|
|
|||||||||||||||||
| Total |
|
15 | 638 | 653 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||
| (a) | Value of floating rate index as of September 30, 2022 was as follows: |
| FLOATING RATE INDEX |
||||
| United States SOFR |
2.98 | % | ||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
OTC Credit Default Swaps contracts outstanding — sell protection (1) as of September 30, 2022:
| REFERENCE |
FINANCING RATE RECEIVED BY THE FUND(%) |
PAYMENT FREQUENCY |
COUNTERPARTY |
MATURITY DATE |
IMPLIED CREDIT SPREAD (%) (3) |
NOTIONAL AMOUNT (4) |
UPFRONT PAYMENTS (RECEIPTS) ($) (5) |
UNREALIZED APPRECIATION (DEPRECIATION) ($) |
VALUE ($) |
|||||||||||||||||||||||
| Novafives SAS, 5.00%, 06/15/2025 |
5.00 | % | Quarterly | Goldman Sachs International | 06/20/2023 | 27.24 | EUR | 4 | (— | )(h) | (— | )(h) | (— | )(h) | ||||||||||||||||||
| Novafives SAS, 5.00%, 06/15/2025 |
5.00 | % | Quarterly | Goldman Sachs International | 06/20/2023 | 27.24 | EUR | 6 | (1 | ) | (— | )(h) | (1 | ) | ||||||||||||||||||
| Novafives SAS, 5.00%, 06/15/2025 |
5.00 | % | Quarterly | Citibank, NA | 06/20/2023 | 27.24 | EUR | 20 | (2 | ) | (1 | ) | (3 | ) | ||||||||||||||||||
| CMA CGM SA, 7.5%, 01/15/2026 |
5.00 | % | Quarterly | Goldman Sachs | 06/20/2026 | 5.30 | EUR | 10 | 1 | (1 | ) | (— | )(h) | |||||||||||||||||||
| Jaguar Land Rover Automotive, 2.20%, 01/15/2024 |
5.00 | % | Quarterly | Barclays Bank plc | 12/20/2026 | 12.38 | EUR | 30 | 1 | (7 | ) | (6 | ) | |||||||||||||||||||
| Jaguar Land Rover Automotive, 2.20%, 01/15/2024 |
5.00 | % | Quarterly | Morgan Stanley | 12/20/2026 | 12.38 | EUR | 10 | 1 | (3 | ) | (2 | ) | |||||||||||||||||||
| Jaguar Land Rover Automotive, 2.20%, 01/15/2024 |
5.00 | % | Quarterly | Bank of America | 12/20/2026 | 12.38 | EUR | 20 | (1 | ) | (3 | ) | (4 | ) | ||||||||||||||||||
| CMA CGM SA, 7.5%, 01/15/2026 |
5.00 | % | Quarterly | Goldman Sachs International | 06/20/2027 | 5.98 | EUR | 70 | 3 | (5 | ) | (2 | ) | |||||||||||||||||||
| CMA CGM SA, 7.5%, 01/15/2026 |
5.00 | % | Quarterly | Barclays Bank plc | 06/20/2027 | 5.98 | EUR | 49 | 1 | (3 | ) | (2 | ) | |||||||||||||||||||
| Socialist Republic of Vietnam, 4.80%, 11/19/2024 |
1.00 | % | Quarterly | Citibank, NA | 12/20/2027 | 1.80 | USD | 4,300 | (124 | ) | (30 | ) | (154 | ) | ||||||||||||||||||
| Adler Real Estate AG, 2.13%, 02/06/2024 |
5.00 | % | Quarterly | Bank of America | 12/20/2027 | 23.61 | EUR | 200 | (50 | ) | (7 | ) | (57 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Total |
|
(171 | ) | (60 | ) | (231 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Centrally Cleared Credit Default Swaps contracts outstanding — buy protection (2) as of September 30, 2022:
| REFERENCE |
FINANCING RATE PAID BY THE FUND(%) |
PAYMENT FREQUENCY |
MATURITY DATE |
IMPLIED CREDIT SPREAD (%) (3) |
NOTIONAL AMOUNT (4) |
UPFRONT PAYMENTS (RECEIPTS) ($) (5) |
UNREALIZED APPRECIATION (DEPRECIATION) ($) |
VALUE ($) |
||||||||||||||||||||||||
| CDX.NA.IG.39-V1 |
1.00 | % | Quarterly | 12/20/2032 | 1.38 | USD | 14,105 | 336 | 77 | 413 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Total |
|
336 | 77 | 413 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
Centrally Cleared Credit Default Swaps contracts outstanding — sell protection (1) as of September 30, 2022:
| REFERENCE |
FINANCING RATE RECEIVED BY THE FUND(%) |
PAYMENT FREQUENCY |
MATURITY DATE |
IMPLIED CREDIT SPREAD (%) (3) |
NOTIONAL AMOUNT (4) |
UPFRONT PAYMENTS (RECEIPTS) ($) (5) |
UNREALIZED APPRECIATION (DEPRECIATION) ($) |
VALUE ($) |
||||||||||||||||||||||||
| CDX.NA.HY.38-V2 |
5.00 | % | Quarterly | 06/20/2027 | 5.63 | USD | 120,607 | (924 | ) | (1,650 | ) | (2,574 | ) | |||||||||||||||||||
| ITRX ASIAXJ IG-V1 |
1.00 | % | Quarterly | 12/20/2027 | 1.82 | USD | 19,900 | (608 | ) | (103 | ) | (711 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Total |
|
(1,532 | ) | (1,753 | ) | (3,285 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| (1) | The Fund, as a seller of credit protection, receives periodic payments and may also receive or pay an upfront premium from or to the protection buyer, and is obligated to make a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. |
| (2) | 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. |
| (3) | 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. |
| (4) | 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. |
| (5) | Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). |
Six Circles Credit Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
(Amounts in thousands, except number of Futures contracts)
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
| CDX | — | Credit Default Swap Index | ||
| CLO | — | Collateralized Loan Obligations | ||
| CMT | — | Constant Maturity Treasury | ||
| DN | — | Discount Notes | ||
| EURIBOR | — | Euro Interbank Offered Rate | ||
| FHLB | — | Federal Home Loan Bank | ||
| ICE | — | Intercontinental Exchange | ||
| IO | — | Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As result, interest income may be reduced considerably. | ||
| LIBOR | — | London Interbank Offered Rate | ||
| Reg. S | — | Security was purchased pursuant to Regulation S under the Securities Act of 1933, as amended (the “Securities Act”), which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act, or pursuant to an exemption from registration. | ||
| REIT | — | Real Estate Investment Trust | ||
| Rev. | — | Revenue | ||
| SOFR | — | Secured Overnight Financing Rate | ||
| (a) | — | Non-income producing security. | ||
| (d) | — | Defaulted Security. Security has not paid its last interest payment and/or interest is not being accrued. | ||
| (e) | — | Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. | ||
| (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. | ||
| (o) | — | Loan assignments are presented by obligor. Each Series or loan tranche underlying each obligor may have varying terms. | ||
| (t) | — | The date shown represents the earliest of the next put date, next demand date or final maturity date. | ||
| (u) | — | All or a portion of the security is unsettled as of September 30, 2022. Unless otherwise indicated, the coupon rate is undetermined. | ||
| (v) | — | Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. | ||
| (w) | — | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | ||
| (x) | — | Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of September 30, 2022. | ||
| (z) | — | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of September 30, 2022. | ||
| (aa) | — | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of September 30, 2022. | ||
| (bb) | — | Security has been valued using significant unobservable inputs. | ||
| (cc) | — | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. | ||
| (ee) | — | Approximately $11,419 of these investments are restricted as collateral for swaps to Citigroup Clearing. | ||
| (ff) | — | Approximately $1,081 of these investments are restricted as collateral for futures to Citigroup Global Markets Inc. | ||
| (ii) | — | Approximately $171 of these investments are restricted as collateral for forwards to Citibank NA. | ||
| * | — | The cost of securities is substantially the same for federal income tax purposes. | ||
| CHF | — | Swiss Franc | ||
| EUR | — | Euro | ||
| GBP | — | British Pound | ||
| USD | — | United States Dollar |
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited)
A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Funds’ valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
The Board has designated J.P. Morgan Private Investments Inc. (the “Adviser”) as the Valuation Designee, and the Adviser uses the Six Circles Funds Valuation Committee (“VC”), comprised of officers of the Funds and other personnel of the Adviser, to assist the Board with the oversight and monitoring of the valuation of the Funds’ investments. The VC oversees and carries out policies and procedures for the valuation of investments held by the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events and pricing vendor due diligence. The VC, through the Adviser, is responsible for assessing the potential impacts to the fair values on an ongoing basis, and discussing this on at least a quarterly basis with the Board.
A market-based approach is primarily used to value the Funds’ investments for which market quotations are readily available and which are generally valued at their current market value. Other securities and assets, including securities for which market quotations are not readily available, market quotations are determined not to be reliable, or whose value has been materially affected by events occurring after the close of trading on the exchange or market on which the security is principally traded but before a Fund’s net asset value (“NAV”) is calculated, are valued by approved pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. The valuation may include related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment in order to determine the fair value of the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based on current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used, had a ready market for the investments existed, and such differences could be material.
Equity securities listed on a North American, Central American, South American or Caribbean (“Americas”) securities exchange are generally valued at the last sale price or official market closing price on the primary exchange on which the security is principally traded that is reported before the time when the net assets values of the Funds are calculated on a valuation date. The Funds calculate their NAV as of 4 p.m. Eastern time each day the New York Stock Exchange (NYSE) is open for trading.
Foreign equity securities are valued as of the close of trading on the stock exchange on which the security is primarily traded, or as of 4 p.m. Eastern time. The value is then converted into its U.S. dollar equivalent at the foreign exchange rate in effect at 4 p.m. Eastern time on the day that the value of the security is determined. Generally foreign equity securities, as well as certain derivatives with equity reference obligations, are valued by applying international fair value factors provided by approved Pricing Services.
The factors seek to adjust the local closing price for movements of local markets post-closing, but prior to the time the NAVs are calculated. The fair valued securities are converted at the exchange rates available at 4 p.m. Eastern time.
Fixed income securities are valued based on prices received from Pricing Services. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, Pricing Services may consider a variety of inputs and factors, including, but not limited to proprietary models that may take into account market transactions in securities with comparable characteristics, yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, underlying collateral and estimated cash flows.
Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots.
Shares of exchange-traded funds (“ETFs”) are generally valued at the last sale price on the exchange on which the ETF is principally traded. Shares of open-end investment companies are valued at their respective NAVs.
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
Exchange-traded futures contracts and options are generally valued on the basis of available market quotations. Swaps, forward foreign currency exchange contracts and over the counter options are valued utilizing market quotations from approved Pricing Services.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Funds’ investments are summarized into the three broad levels listed below.
| • | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
| • | Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
| • | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds’ assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):
Six Circles Ultra Short Duration Fund
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Investments in Securities |
||||||||||||||||
| Debt Securities |
||||||||||||||||
| Asset-Backed Securities |
$ | — | $ | 98,751 | $ | — | $ | 98,751 | ||||||||
| Certificates of Deposit |
||||||||||||||||
| Financial |
— | 16,770 | — | 16,770 | ||||||||||||
| Collateralized Mortgage Obligations |
— | 21,088 | — | 21,088 | ||||||||||||
| Commercial Mortgage-Backed Securities |
— | 36,542 | — | 36,542 | ||||||||||||
| Corporate Bonds |
||||||||||||||||
| Basic Materials |
— | 3,494 | — | 3,494 | ||||||||||||
| Communications |
— | 25,798 | — | 25,798 | ||||||||||||
| Consumer Cyclical |
— | 37,987 | — | 37,987 | ||||||||||||
| Consumer Non-cyclical |
— | 33,110 | — | 33,110 | ||||||||||||
| Diversified |
— | 1,698 | — | 1,698 | ||||||||||||
| Energy |
— | 7,858 | — | 7,858 | ||||||||||||
| Financial |
— | 140,625 | — | 140,625 | ||||||||||||
| Industrial |
— | 22,102 | — | 22,102 | ||||||||||||
| Technology |
— | 26,324 | — | 26,324 | ||||||||||||
| Utilities |
— | 16,853 | — | 16,853 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Corporate Bonds |
— | 315,849 | — | 315,849 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Foreign Government Securities |
— | 3,880 | — | 3,880 | ||||||||||||
| Municipal Bonds |
— | 3,035 | — | 3,035 | ||||||||||||
| U.S. Government Agency Securities |
— | 6,811 | — | 6,811 | ||||||||||||
| U.S. Treasury Obligation |
— | 8,054 | — | 8,054 | ||||||||||||
| Short-Term Investments |
||||||||||||||||
| Certificates of Deposit |
— | 25,999 | — | 25,999 | ||||||||||||
| Commercial Papers |
— | 5,862 | — | 5,862 | ||||||||||||
| Foreign Government Securities |
— | 22,507 | — | 22,507 | ||||||||||||
| Municipal Bond |
— | 379 | — | 379 | ||||||||||||
| Repurchase Agreement |
— | 8,800 | — | 8,800 | ||||||||||||
| Time Deposits |
— | 6,870 | — | 6,870 | ||||||||||||
| U.S. Treasury Obligation |
— | 699 | — | 699 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short-Term Investments |
— | 71,116 | — | 71,116 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities |
$ | — | $ | 581,896 | $ | — | $ | 581,896 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Appreciation in Other Financial Instruments |
||||||||||||||||
| Futures contracts |
$ | 887 | $ | — | $ | — | $ | 887 | ||||||||
| Forward Foreign Currency Exchange contracts |
— | 3,427 | — | 3,427 | ||||||||||||
| Centrally Cleared Interest Rate Swap contracts |
— | 98 | — | 98 | ||||||||||||
| Centrally Cleared Credit Default Swaps contracts |
— | 279 | — | 279 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Appreciation in Other Financial Instruments |
$ | 887 | $ | 3,804 | $ | — | $ | 4,691 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Depreciation in Other Financial Instruments |
||||||||||||||||
| Forward Foreign Currency Exchange contracts |
$ | — | $ | (148 | ) | $ | — | $ | (148 | ) | ||||||
| Centrally Cleared Interest Rate Swap contract |
— | (398 | ) | — | (398 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Depreciation in Other Financial Instruments |
$ | — | $ | (546 | ) | $ | — | $ | (546 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
Six Circles Tax Aware Ultra Short Duration Fund
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Investments in Securities |
||||||||||||||||
| Debt Securities |
||||||||||||||||
| Asset-Backed Securities |
$ | — | $ | 27,171 | $ | — | $ | 27,171 | ||||||||
| Collateralized Mortgage Obligations |
— | 18,939 | — | 18,939 | ||||||||||||
| Commercial Mortgage-Backed Securities |
— | 10,234 | — | 10,234 | ||||||||||||
| Corporate Bonds |
||||||||||||||||
| Communications |
— | 9,618 | — | 9,618 | ||||||||||||
| Consumer Cyclical |
— | 5,917 | — | 5,917 | ||||||||||||
| Consumer Non-cyclical |
— | 6,851 | — | 6,851 | ||||||||||||
| Diversified |
— | 1,823 | — | 1,823 | ||||||||||||
| Energy |
— | 2,872 | — | 2,872 | ||||||||||||
| Financial |
— | 40,431 | — | 40,431 | ||||||||||||
| Industrial |
— | 6,127 | — | 6,127 | ||||||||||||
| Technology |
— | 4,067 | — | 4,067 | ||||||||||||
| Utilities |
— | 10,344 | — | 10,344 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Corporate Bonds |
— | 88,050 | — | 88,050 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Foreign Government Securities |
— | 3,938 | — | 3,938 | ||||||||||||
| Municipal Bonds |
— | 403,760 | — | 403,760 | ||||||||||||
| U.S. Government Agency Securities |
— | 2,668 | — | 2,668 | ||||||||||||
| U.S. Treasury Obligation |
— | 7,956 | — | 7,956 | ||||||||||||
| Short-Term Investments |
||||||||||||||||
| Commercial Paper |
— | 993 | — | 993 | ||||||||||||
| Foreign Government Securities |
— | 7,191 | — | 7,191 | ||||||||||||
| Municipal Bonds |
— | 8,054 | — | 8,054 | ||||||||||||
| Repurchase Agreement |
— | 8,400 | — | 8,400 | ||||||||||||
| Time Deposits |
— | 1,359 | — | 1,359 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short-Term Investments |
— | 25,997 | — | 25,997 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities |
$ | — | $ | 588,713 | $ | — | $ | 588,713 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Appreciation in Other Financial Instruments |
||||||||||||||||
| Futures contracts |
$ | 824 | $ | – | $ | – | $ | 824 | ||||||||
| Forward Foreign Currency Exchange contracts |
— | 1,913 | — | 1,913 | ||||||||||||
| Centrally Cleared Interest Rate Swap contracts |
— | 81 | — | 81 | ||||||||||||
| Centrally Cleared Credit Default Swaps contracts |
— | 281 | — | 281 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Appreciation in Other Financial Instruments |
$ | 824 | $ | 2,275 | $ | – | $ | 3,099 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Depreciation in Other Financial Instruments |
||||||||||||||||
| Forward Foreign Currency contract |
$ | — | $ | (112 | ) | $ | — | $ | (112 | ) | ||||||
| Centrally Cleared Interest Rate Swap contracts |
— | (441 | ) | — | (441 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Depreciation in Other Financial Instruments |
$ | — | $ | (553 | ) | $ | — | $ | (553 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
Six Circles U.S. Unconstrained Equity Fund
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Investments in Securities |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Basic Materials |
$ | 31,919 | $ | — | $ | — | $ | 31,919 | ||||||||
| Communications |
2,700,605 | — | — | 2,700,605 | ||||||||||||
| Consumer Cyclical |
192,955 | — | — | 192,955 | ||||||||||||
| Consumer Non-cyclical |
4,392,649 | — | — | 4,392,649 | ||||||||||||
| Energy |
88,331 | — | — | 88,331 | ||||||||||||
| Financial |
2,035,583 | — | — | 2,035,583 | ||||||||||||
| Industrial |
1,656,898 | — | — | 1,656,898 | ||||||||||||
| Technology |
2,986,493 | — | 10,765 | 2,997,258 | ||||||||||||
| Utilities |
45,954 | — | — | 45,954 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Common Stocks |
14,131,387 | — | 10,765 | 14,142,152 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stock |
||||||||||||||||
| Consumer Cyclical |
63 | — | — | 63 | ||||||||||||
| Short-Term Investments |
||||||||||||||||
| Time Deposits |
— | 93,210 | — | 93,210 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities |
$ | 14,131,450 | $ | 93,210 | $ | 10,765 | $ | 14,235,425 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Depreciation in Other Financial Instruments |
||||||||||||||||
| Futures contracts |
$ | (11,310 | ) | $ | — | $ | — | $ | (11,310 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
Six Circles International Unconstrained Equity Fund
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Investments in Securities |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Austria |
$ | — | $ | 23,455 | $ | — | $ | 23,455 | ||||||||
| Belgium |
— | 88,652 | — | 88,652 | ||||||||||||
| Chile |
— | 1,775 | — | 1,775 | ||||||||||||
| Denmark |
— | 457,033 | — | 457,033 | ||||||||||||
| Finland |
— | 132,282 | — | 132,282 | ||||||||||||
| France |
— | 1,466,225 | — | 1,466,225 | ||||||||||||
| Germany |
— | 1,035,081 | — | 1,035,081 | ||||||||||||
| Ireland |
5,484 | 85,916 | — | 91,400 | ||||||||||||
| Italy |
— | 306,875 | — | 306,875 | ||||||||||||
| Japan |
— | 220,019 | — | 220,019 | ||||||||||||
| Jordan |
— | 4,214 | — | 4,214 | ||||||||||||
| Luxembourg |
— | 16,938 | — | 16,938 | ||||||||||||
| Netherlands |
7,435 | 842,155 | — | 849,590 | ||||||||||||
| Norway |
— | 111,618 | — | 111,618 | ||||||||||||
| Portugal |
— | 23,340 | — | 23,340 | ||||||||||||
| South Korea |
— | 199,968 | — | 199,968 | ||||||||||||
| Spain |
— | 278,532 | — | 278,532 | ||||||||||||
| Sweden |
— | 338,454 | — | 338,454 | ||||||||||||
| Switzerland |
— | 1,991,988 | — | 1,991,988 | ||||||||||||
| United Arab Emirates |
— | — | — | — | ||||||||||||
| United Kingdom |
11,384 | 1,410,424 | — | 1,421,808 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Common Stocks |
24,303 | 9,034,944 | — | 9,059,247 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Germany |
— | 129,502 | — | 129,502 | ||||||||||||
| South Korea |
— | 25,609 | — | 25,609 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Preferred Stocks |
— | 155,111 | — | 155,111 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Rights |
||||||||||||||||
| Sweden |
542 | — | — | 542 | ||||||||||||
| Short-Term Investments |
||||||||||||||||
| Time Deposits |
— | 50,503 | — | 50,503 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities |
$ | 24,845 | $ | 9,240,558 | $ | — | $ | 9,265,403 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Depreciation in Other Financial Instruments |
||||||||||||||||
| Futures contracts |
$ | (3,020 | ) | $ | — | $ | — | $ | (3,020 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
Six Circles Global Bond Fund
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Investments in Securities |
||||||||||||||||
| Debt Securities |
||||||||||||||||
| Asset-Backed Securities |
$ | — | $ | 71,351 | $ | — | $ | 71,351 | ||||||||
| Collateralized Mortgage Obligations |
— | 142,816 | — | 142,816 | ||||||||||||
| Commercial Mortgage-Backed Securities |
— | 47,526 | — | 47,526 | ||||||||||||
| Corporate Bonds |
||||||||||||||||
| Basic Materials |
— | 41,519 | — | 41,519 | ||||||||||||
| Communications |
— | 71,711 | — | 71,711 | ||||||||||||
| Consumer Cyclical |
— | 75,100 | — | 75,100 | ||||||||||||
| Consumer Non-cyclical |
— | 192,612 | — | 192,612 | ||||||||||||
| Energy |
— | 70,820 | — | 70,820 | ||||||||||||
| Financial |
— | 500,556 | — | 500,556 | ||||||||||||
| Government |
— | 134,213 | — | 134,213 | ||||||||||||
| Industrial |
— | 64,395 | — | 64,395 | ||||||||||||
| Technology |
— | 29,581 | — | 29,581 | ||||||||||||
| Utilities |
— | 122,023 | — | 122,023 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Corporate Bonds |
— | 1,302,530 | — | 1,302,530 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Foreign Government Securities |
— | 3,550,277 | — | 3,550,277 | ||||||||||||
| Mortgage-Backed Securities |
— | 1,275,987 | — | 1,275,987 | ||||||||||||
| Municipal Bonds |
— | 3,822 | — | 3,822 | ||||||||||||
| U.S. Government Agency Securities |
— | 19,955 | — | 19,955 | ||||||||||||
| U.S. Treasury Obligations |
— | 541,329 | — | 541,329 | ||||||||||||
| Options purchased |
— | 1,266 | — | 1,266 | ||||||||||||
| Short-Term Investments |
||||||||||||||||
| Time Deposits |
— | 384,434 | — | 384,434 | ||||||||||||
| U.S. Government Agency Securities |
— | 549 | — | 549 | ||||||||||||
| U.S. Treasury Obligations |
— | 15,878 | — | 15,878 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short-Term Investments |
— | 400,861 | — | 400,861 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities |
$ | — | $ | 7,357,720 | $ | — | $ | 7,357,720 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liabilities |
||||||||||||||||
| Debt Securities |
||||||||||||||||
| Mortgage-Backed Securities |
$ | — | $ | 140,793 | $ | — | $ | 140,793 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Appreciation in Other Financial Instruments |
||||||||||||||||
| Futures contracts |
$ | 2,989 | $ | — | $ | — | $ | 2,989 | ||||||||
| Forward Foreign Currency Exchange contracts |
— | 171,725 | — | 171,725 | ||||||||||||
| Centrally Cleared Interest Rate Swap contracts |
— | 8,929 | — | 8,929 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Appreciation in Other Financial Instruments |
$ | 2,989 | $ | 180,654 | $ | — | $ | 183,643 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Depreciation in Other Financial Instruments |
||||||||||||||||
| Futures contracts |
$ | (6,399 | ) | $ | — | $ | — | $ | (6,399 | ) | ||||||
| Forward Foreign Currency Exchange contracts |
— | (15,976 | ) | — | (15,976 | ) | ||||||||||
| OTC Interest Rate Swap contracts |
— | (137 | ) | — | (137 | ) | ||||||||||
| Centrally Cleared Interest Rate Swap contracts |
— | (12,769 | ) | — | (12,769 | ) | ||||||||||
| Written Call Option contracts |
— | (86 | ) | — | (86 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Depreciation in Other Financial Instruments |
$ | (6,399 | ) | $ | (28,968 | ) | $ | — | $ | (35,367 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
Six Circles Tax Aware Bond Fund
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Investments in Securities |
||||||||||||||||
| Debt Securities |
||||||||||||||||
| Corporate Bond |
||||||||||||||||
| Consumer Non-cyclical |
$ | — | $ | 573 | $ | — | $ | 573 | ||||||||
| Municipal Bonds |
— | 4,765,479 | — | 4,765,479 | ||||||||||||
| Short-Term Investments |
||||||||||||||||
| Municipal Bonds |
— | 16,353 | — | 16,353 | ||||||||||||
| Time Deposits |
— | 128,819 | — | 128,819 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short-Term Investments |
— | 145,172 | — | 145,172 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities |
$ | — | $ | 4,911,224 | $ | — | $ | 4,911,224 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Appreciation in Other Financial Instruments |
||||||||||||||||
| Futures contracts |
$ | 1,320 | $ | — | $ | — | $ | 1,320 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Depreciation in Other Financial Instruments |
||||||||||||||||
| Future contract |
$ | (896 | ) | $ | — | $ | — | $ | (896 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
Six Circles Credit Opportunities Fund
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Investments in Securities |
||||||||||||||||
| Debt Securities |
||||||||||||||||
| Asset-Backed Securities |
$ | — | $ | 80,308 | $ | — | $ | 80,308 | ||||||||
| Collateralized Mortgage Obligations |
— | 3,510 | — | 3,510 | ||||||||||||
| Commercial Mortgage-Backed Securities |
— | 23,547 | — | 23,547 | ||||||||||||
| Convertible Bonds |
||||||||||||||||
| Communications |
— | 4,310 | — | 4,310 | ||||||||||||
| Consumer Cyclical |
— | 983 | — | 983 | ||||||||||||
| Consumer Non-cyclical |
— | 684 | — | 684 | ||||||||||||
| Energy |
— | 3,359 | — | 3,359 | ||||||||||||
| Financial |
— | 5,001 | — | 5,001 | ||||||||||||
| Industrial |
— | 192 | — | 192 | ||||||||||||
| Technology |
— | 4,883 | — | 4,883 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Convertible Bonds |
— | 19,412 | — | 19,412 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Corporate Bonds |
||||||||||||||||
| Basic Materials |
— | 144,646 | — | 144,646 | ||||||||||||
| Communications |
— | 341,240 | — | (h) | 341,240 | |||||||||||
| Consumer Cyclical |
— | 478,763 | — | 478,763 | ||||||||||||
| Consumer Non-cyclical |
— | 318,807 | — | 318,807 | ||||||||||||
| Energy |
— | 320,934 | — | 320,934 | ||||||||||||
| Financial |
— | 461,885 | — | 461,885 | ||||||||||||
| Government |
— | 19,061 | — | 19,061 | ||||||||||||
| Industrial |
— | 237,245 | — | 237,245 | ||||||||||||
| Technology |
— | 95,468 | — | 95,468 | ||||||||||||
| Utilities |
— | 129,624 | — | 129,624 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Corporate Bonds |
— | 2,547,673 | — | (h) | 2,547,673 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Foreign Government Securities |
— | 38,285 | — | 38,285 | ||||||||||||
| Municipal Bond |
— | 198 | — | 198 | ||||||||||||
| U.S. Treasury Obligations |
— | 109,900 | — | 109,900 | ||||||||||||
| Common Stock |
||||||||||||||||
| Communications |
— | — | 2,294 | 2,294 | ||||||||||||
| Preferred Stock |
||||||||||||||||
| Consumer Cyclical |
— | — | 6,467 | 6,467 | ||||||||||||
| Loan Assignments |
||||||||||||||||
| Basic Materials |
— | 4,746 | — | 4,746 | ||||||||||||
| Communications |
— | 33,407 | — | 33,407 | ||||||||||||
| Consumer Cyclical |
— | 15,561 | — | 15,561 | ||||||||||||
| Consumer Non-cyclical |
— | 11,657 | — | 11,657 | ||||||||||||
| Energy |
— | 5,533 | — | 5,533 | ||||||||||||
| Financial |
— | 12,076 | — | 12,076 | ||||||||||||
| Government |
— | 115 | — | 115 | ||||||||||||
| Industrial |
— | 16,527 | — | 16,527 | ||||||||||||
| Technology |
— | 43,214 | — | 43,214 | ||||||||||||
| Utilities |
— | 446 | — | 446 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Loan Assignments |
— | 143,282 | — | 143,282 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Rights |
||||||||||||||||
| Communications |
— | — | — | — | ||||||||||||
| Warrant |
||||||||||||||||
| Basic Materials |
— | — | — | (h) | — | (h) | ||||||||||
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
Six Circles Credit Opportunities Fund (continued)
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Short-Term Investments |
||||||||||||||||
| Time Deposits |
$ | — | $ | 125,376 | $ | — | $ | 125,376 | ||||||||
| U.S. Government Agency Security |
— | 20,900 | — | 20,900 | ||||||||||||
| U.S. Treasury Obligation |
— | 171 | — | 171 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short-Term Investments |
— | 146,447 | — | 146,447 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities |
$ | — | $ | 3,112,562 | $ | 8,761 | $ | 3,121,323 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Appreciation in Other Financial Instruments |
||||||||||||||||
| Futures contracts |
$ | 1,553 | $ | — | $ | — | $ | 1,553 | ||||||||
| Forward Foreign Currency Exchange contracts |
— | 609 | — | 609 | ||||||||||||
| Centrally Cleared Interest Rate Swap contracts |
— | 1,130 | — | 1,130 | ||||||||||||
| Centrally Cleared Credit Default Swap contract |
— | 77 | — | 77 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Appreciation in Other Financial Instruments |
$ | 1,553 | $ | 1,816 | $ | — | $ | 3,369 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Depreciation in Other Financial Instruments |
||||||||||||||||
| Futures contracts |
$ | (3,975 | ) | $ | — | $ | — | $ | (3,975 | ) | ||||||
| Forward Foreign Currency Exchange contracts |
— | (49 | ) | — | (49 | ) | ||||||||||
| Centrally Cleared Interest Rate Swap contracts |
— | (492 | ) | — | (492 | ) | ||||||||||
| OTC Credit Default Swaps contracts |
— | (60 | ) | — | (60 | ) | ||||||||||
| Centrally Cleared Credit Default Swaps contracts |
— | (1,753 | ) | — | (1,753 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Depreciation in Other Financial Instruments |
$ | (3,975 | ) | $ | (2,354 | ) | $ | — | $ | (6,329 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
B. Loan Assignments — The Six Circles Credit Opportunities Fund invests in debt instruments that are interests in amounts owed to lenders or lending syndicates (a “Lender”) by corporate, governmental or other borrowers (a “Borrower”). A loan is typically originated, negotiated and structured by a U.S. or foreign bank, insurance company or other financial institution (the “Agent”) for a group of loan investors (“Loan Investors”). The Agent administers the terms of the loan, as specified in the loan agreement. When a Fund purchases a loan assignment, the Fund has direct rights against the Borrower on a loan, provided, however, the Fund’s rights may be more limited than the lender from which it acquired the assignment and the Fund may be able to enforce its rights only through the Agent. As a result, the Fund assumes the credit risk of the Borrower, the selling participant and any other persons interpositioned between each Fund and the Borrower (“Intermediate Participants”). In the event that the Borrower, selling participant or Intermediate Participants become insolvent or enter into bankruptcy, the Fund may incur certain costs and delays in realizing payment or may suffer a loss of principal and/or interest. The Adviser or Sub-Advisers may have access to material non-public information regarding the Borrower.
Certain loan assignments are also subject to the risks associated with high yield securities.
Unfunded commitments represent the remaining obligation of each Fund to the Borrower. At any point in time, up to the maturity date of the issue, the Borrower may demand the unfunded portion. As of September 30, 2022, the Six Circles Credit Opportunities Fund had the following loan commitments outstanding in which all of the commitment was unfunded (amounts in thousands):
| Unfunded Commitment |
||||||||||||||||||||||||
| Security Description |
Term | Maturity Date |
Commitment Fee Rate |
Rate if Funded |
Par | Value | ||||||||||||||||||
| ARC Falcon I Inc. |
|
Delayed Draw Term Loan |
|
9/30/2028 | 1.00 | % | 1.00 | % | 89 | 82 | ||||||||||||||
| athenahealth Group, Inc. |
|
Initial Delayed Draw Term Loan |
|
2/15/2029 | 3.50 | % | 3.50 | % | 320 | 286 | ||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| 409 | 368 | |||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
C. Derivatives — The Funds used derivative instruments including options, futures contracts, forward foreign currency exchange contracts and swaps, in connection with their respective investment strategies. Derivative instruments may be used as substitutes for securities in which the Funds can invest, to hedge portfolio investments or to generate income or gain to the Funds. Derivatives may also be used to manage duration, sector and yield curve exposures as well as credit and spread volatility.
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
The Funds may be subject to various risks from the use of derivatives including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing a Fund to close out its position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Funds’ risk of loss associated with these instruments may exceed their value.
The Funds are party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Funds’ ISDA agreements, which are separately negotiated by the Sub-Advisers, with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Funds in the event the Funds’ net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Funds to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Funds often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Funds. The ISDA agreements give the Funds and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable with collateral posted to a segregated account by one party to the other.
Counterparty credit risk may be mitigated to the extent a counterparty posts collateral for mark to market gains to the Fund.
Notes C(1) — C(4) below describe the various derivatives used by the Funds.
(1) Options — The Six Circles Global Bond Fund purchased and sold (“wrote”) put and call options on securities to manage and hedge interest rate risks within its portfolio and also to gain long or short exposure to the underlying instrument. A purchaser of a put option has the right, but not the obligation, to sell the underlying instrument at an agreed upon price (“strike price”) to the option seller. A purchaser of a call option has the right, but not the obligation, to purchase the underlying instrument at the strike price from the option seller.
Options Purchased — The option is adjusted daily to reflect the current market value of the option. If the option is allowed to expire, the Funds will lose the entire premium they paid and record a realized loss for the premium amount. Premiums paid for options purchased which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) or cost basis of the underlying investment.
Options Written — The amount of the liability is adjusted daily to reflect the current market value of the option written. Premiums received from options written that expire are treated as realized gains. If a written option is closed, the Funds record a realized gain or loss on options written based on whether the cost of the closing transaction exceeds the premium received. If a call option is exercised by the option buyer, the premium received by the Funds is added to the proceeds from the sale of the underlying security to the option buyer and compared to the cost of the closing transaction to determine whether there has been a realized gain or loss. If a put option is exercised by an option buyer, the premium received by the option seller reduces the cost basis of the purchased security.
Written uncovered call options subject the Funds to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Written put options subject the Funds to risk of loss if the value of the security declines below the exercise price minus the put premium.
The Funds are not subject to credit risk on options written as the counterparty has already performed its obligation by paying the premium at the inception of the contract.
The Fund’s option contracts are subject to master netting arrangements.
(2) Futures Contracts — The Six Circles Ultra Short Duration Fund, Six Circles Tax Aware Ultra Short Duration Fund, Six Circles Global Bond Fund, Six Circles Tax Aware Bond Fund and Six Circles Credit Opportunities Fund used interest rate futures to manage interest rate risks associated with portfolio investments. The Six Circles U.S. Unconstrained Equity Fund and Six Circles International Unconstrained Equity Fund used index futures to gain or reduce exposure to certain countries or regions, to maintain liquidity or minimize transaction costs.
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
Futures contracts may provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as change in net unrealized appreciation/depreciation. Futures contracts outstanding at period end, if any, are listed after each Fund’s SOI.
The use of futures contracts may expose the Funds to interest rate and equity price risks. The Funds may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Funds’ credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent the liquidation of positions.
The Funds’ futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
(3) Forward Foreign Currency Exchange Contracts — The Six Circles International Unconstrained Equity Fund, Six Circles Ultra Short Duration Fund, Six Circles Tax Aware Ultra Short Duration Fund, Six Circles Global Bond Fund and Six Circles Credit Opportunities Fund may be exposed to foreign currency risks associated with some or all of the portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Funds also bought forward foreign currency exchange contracts to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Forward contracts outstanding at period end, if any, are listed after each Fund’s SOI.
The values of the forward foreign currency exchange contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation/depreciation until the contract settlement date. When the forward foreign currency exchange contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed. The Fund also records a realized gain or loss when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty upon settlement.
The Funds’ forward foreign currency exchange contracts may be subject to master netting arrangements (the right to close out all transactions with a counterparty and net amounts owed or due across transactions). The Funds may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.
(4) Swaps — The Six Circles Ultra Short Duration Fund, Six Circles Tax Aware Ultra Short Duration Fund, Six Circles Global Bond Fund, and the Six Circles Credit Opportunities Fund engaged in various swap transactions, including interest swaps, to manage interest rate (e.g., duration, yield curve) risks within their respective portfolios. The Funds also used swaps as alternatives to direct investments. Swap transactions are negotiated contracts over the counter (“OTC swaps”) between a fund and a counterparty or centrally cleared (“centrally cleared swaps”) with a central clearinghouse through a Futures Commission Merchant (“FCM”), to exchange investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. Swap contracts outstanding at period end, if any, are listed after each Fund’s SOI.
Upfront payments made and/or received are recorded as assets or liabilities and amortized over the term of the swap. The value of an OTC swap agreement is recorded as either an asset or a liability at the beginning of the measurement period.
Upon entering into a centrally cleared swap, the Funds are required to deposit with the FCM cash or securities, which is referred to as initial margin deposit. Securities deposited as initial margin are designated on the SOIs. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a variation margin receivable or payable. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as change in net unrealized appreciation/depreciation. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2022 (Unaudited) (continued)
The central clearing house acts as the counterparty to each centrally cleared swap transaction, therefore credit risk is limited to the failure of the clearing house.
The Funds may be required to post or receive collateral in the form of cash or securities based on the net value of the Fund’s outstanding OTC swap contracts with the counterparty. Daily movement of collateral is subject to minimum threshold amounts. Collateral posted by the Funds is held in a segregated account at the Funds’ custodian bank. Collateral received by the Funds is held in escrow in segregated accounts maintained by Brown Brothers Harriman & Co.
The Funds’ swap contracts (excluding centrally cleared swaps) are subject to master netting arrangements.
Credit Default Swaps
Six Circles Ultra Short Duration Fund, Six Circles Tax Aware Ultra Short Duration Fund and Six Circles Credit Opportunities Fund entered into credit default swaps to simulate long and short bond positions or to take an active long or short position with respect to the likelihood of a default or credit event by the issuer of the underlying reference obligation.
The underlying reference obligation may be a single issuer of corporate or sovereign debt, a basket of issuers or a credit index. A credit index is a list of credit instruments or exposures that reference a fixed number of obligors with shared characteristics that represents some part of the credit market as a whole. Index credit default swaps have standardized terms including a fixed spread and standard maturity dates. The composition of the obligations within a particular index changes periodically.
Credit default swaps involve one party, the protection buyer, making a stream of payments to another party, the protection seller, in exchange for the right to receive a contingent payment if there is a credit event related to the underlying reference obligation. In the event that the reference obligation matures prior to the termination date of the contract, a similar security will be substituted for the duration of the contract term. Credit events are defined under individual swap agreements and generally include bankruptcy, failure to pay, restructuring, repudiation/moratorium, obligation acceleration and obligation default.
If a credit event occurs, the Funds, as protection sellers, would be obligated to make a payment, which may be either: (i) a net cash settlement equal to the notional amount of the swap less the auction value of the reference obligation or (ii) the notional amount of the swap in exchange for the delivery of the reference obligation. Selling protection effectively adds leverage to a Fund’s portfolio up to the notional amount of swap agreements.
The notional amount represents the maximum potential liability under a contract. Potential liabilities under these contracts may be reduced by: the auction rates of the underlying reference obligations; upfront payments received at the inception of a swap; and net amounts received from credit default swaps purchased with the identical reference obligation.
Interest Rate Swaps
The Six Circles Ultra Short Duration Fund, Six Circles Tax Aware Ultra Short Duration Fund, Six Circles Global Bond Fund and Six Circles Credit Opportunities Fund entered into interest rate swap contracts to manage fund exposure to interest rates and/or to preserve or generate a return on a particular investment or portion of its portfolio. These are agreements between counterparties to exchange periodic payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified interest rate while the other is typically a fixed interest rate.