UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number:
811-21732
Mercer Funds
(Exact Name of Registrant as Specified in Charter)
99 High Street
Boston, MA 02110
(Address of Principal Executive Offices) (Zip Code)
Scott M. Zoltowski, Esq.
Mercer Investment Management, Inc.
99 High Street
Boston, MA 02110
(Name and Address of Agent for Service)
Registrant’s Telephone Number, including Area Code:
(617) 747-9500
Date of Fiscal Year End: March 31, 2014
Date of Reporting Period: September 30, 2013
Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
Mercer Funds™
Semi-Annual Report
Mercer US Large Cap Growth Equity Fund
Mercer US Large Cap Value Equity Fund
Mercer US Small/Mid Cap Growth Equity Fund
Mercer US Small/Mid Cap Value Equity Fund
Mercer Non-US Core Equity Fund
Mercer Core Fixed Income Fund (formerly known as Mercer Core Opportunistic Fixed Income Fund)
Mercer Opportunistic Fixed Income Fund
Mercer Emerging Markets Equity Fund
Mercer Global Low Volatility Equity Fund
Mercer US Short Maturity Fixed Income Fund
This report has been prepared for Mercer Funds shareholders. It is not authorized for distribution to prospective investors unless accompanied or preceded by a current Mercer Funds prospectus. The prospectus contains more complete information about the Funds’ investment objectives, risks, and expenses. Investors are reminded to read the prospectus carefully before investing.
September 30, 2013
MERCER FUNDS
TABLE OF CONTENTS
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219 |
Mercer US Large Cap Growth Equity Fund
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 98.7% | ||||||||||
Aerospace & Defense — 1.0% | ||||||||||
17,764 | Boeing Co. (The) | 2,087,270 | ||||||||
16,150 | United Technologies Corp. | 1,741,293 | ||||||||
|
| |||||||||
3,828,563 | ||||||||||
|
| |||||||||
Agriculture — 4.0% | ||||||||||
104,962 | Monsanto Co. | 10,954,884 | ||||||||
47,721 | Philip Morris International, Inc. | 4,132,161 | ||||||||
|
| |||||||||
15,087,045 | ||||||||||
|
| |||||||||
Airlines — 0.2% | ||||||||||
29,900 | Delta Air Lines, Inc. | 705,341 | ||||||||
|
| |||||||||
Apparel — 1.9% | ||||||||||
80,708 | NIKE, Inc. Class B | 5,862,629 | ||||||||
7,700 | Ralph Lauren Corp. | 1,268,421 | ||||||||
|
| |||||||||
7,131,050 | ||||||||||
|
| |||||||||
Auto Parts & Equipment — 0.4% | ||||||||||
13,500 | BorgWarner, Inc. | 1,368,765 | ||||||||
|
| |||||||||
Banks — 0.5% | ||||||||||
42,934 | Wells Fargo & Co. | 1,774,033 | ||||||||
|
| |||||||||
Beverages — 1.9% | ||||||||||
21,016 | Anheuser-Busch InBev NV, ADR | 2,084,787 | ||||||||
135,444 | Coca-Cola Co. (The) | 5,130,619 | ||||||||
|
| |||||||||
7,215,406 | ||||||||||
|
| |||||||||
Biotechnology — 5.0% | ||||||||||
32,100 | Alexion Pharmaceuticals, Inc.* | 3,728,736 | ||||||||
14,600 | Amgen, Inc. | 1,634,324 | ||||||||
24,864 | Biogen Idec, Inc.* | 5,986,257 | ||||||||
16,300 | Celgene Corp.* | 2,509,059 | ||||||||
11,048 | Illumina, Inc.* ‡ | 893,010 | ||||||||
9,915 | Regeneron Pharmaceuticals, Inc.* | 3,102,106 | ||||||||
12,914 | Vertex Pharmaceuticals, Inc.* | 979,139 | ||||||||
|
| |||||||||
18,832,631 | ||||||||||
|
| |||||||||
Chemicals — 1.5% | ||||||||||
13,464 | Agrium, Inc.‡ | 1,131,380 | ||||||||
26,496 | Ecolab, Inc. | 2,616,745 | ||||||||
10,392 | Sherwin-Williams Co. (The) | 1,893,214 | ||||||||
|
| |||||||||
5,641,339 | ||||||||||
|
| |||||||||
Commercial Services — 4.3% | ||||||||||
16,082 | Alliance Data Systems Corp.* | 3,400,861 |
See accompanying Notes to the Financial Statements. | 1 |
Mercer US Large Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Commercial Services — continued | ||||||||||
2,335 | Mastercard, Inc. Class A | 1,570,941 | ||||||||
59,652 | Visa, Inc. Class A | 11,399,497 | ||||||||
|
| |||||||||
16,371,299 | ||||||||||
|
| |||||||||
Computers — 4.2% | ||||||||||
25,428 | Apple, Inc. | 12,122,799 | ||||||||
14,300 | Cognizant Technology Solutions Corp. Class A* | 1,174,316 | ||||||||
8,259 | International Business Machines Corp. | 1,529,401 | ||||||||
16,319 | SanDisk Corp. | 971,144 | ||||||||
|
| |||||||||
15,797,660 | ||||||||||
|
| |||||||||
Cosmetics & Personal Care — 0.8% | ||||||||||
15,400 | Estee Lauder Cos. (The), Inc. Class A | 1,076,460 | ||||||||
27,957 | Procter & Gamble Co. (The) | 2,113,270 | ||||||||
|
| |||||||||
3,189,730 | ||||||||||
|
| |||||||||
Distribution & Wholesale — 0.6% | ||||||||||
24,007 | Fastenal Co. | 1,206,352 | ||||||||
4,200 | W.W. Grainger, Inc. | 1,099,182 | ||||||||
|
| |||||||||
2,305,534 | ||||||||||
|
| |||||||||
Diversified Financial Services — 2.7% | ||||||||||
34,126 | American Express Co. | 2,577,196 | ||||||||
6,320 | BlackRock, Inc. | 1,710,318 | ||||||||
39,000 | Charles Schwab Corp. (The) | 824,460 | ||||||||
11,235 | IntercontinentalExchange, Inc.* | 2,038,254 | ||||||||
9,400 | JPMorgan Chase & Co. | 485,886 | ||||||||
53,800 | Morgan Stanley | 1,449,910 | ||||||||
14,468 | T. Rowe Price Group, Inc. | 1,040,683 | ||||||||
|
| |||||||||
10,126,707 | ||||||||||
|
| |||||||||
Electric — 0.4% | ||||||||||
24,793 | Dominion Resources, Inc. | 1,549,067 | ||||||||
|
| |||||||||
Food — 1.3% | ||||||||||
41,023 | Kraft Foods Group, Inc. Class A | 2,151,246 | ||||||||
32,999 | Unilever NV | 1,244,722 | ||||||||
26,967 | Whole Foods Market, Inc. | 1,577,570 | ||||||||
|
| |||||||||
4,973,538 | ||||||||||
|
| |||||||||
Health Care - Products — 1.6% | ||||||||||
16,436 | Edwards Lifesciences Corp.* | 1,144,439 | ||||||||
4,200 | Intuitive Surgical, Inc.* | 1,580,334 | ||||||||
26,582 | Johnson & Johnson | 2,304,394 | ||||||||
13,977 | Varian Medical Systems, Inc.* | 1,044,501 | ||||||||
|
| |||||||||
6,073,668 | ||||||||||
|
|
2 | See accompanying Notes to the Financial Statements. |
Mercer US Large Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Health Care - Services — 0.9% | ||||||||||
15,168 | DaVita HealthCare Partners, Inc.* | 863,059 | ||||||||
33,303 | UnitedHealth Group, Inc. | 2,384,828 | ||||||||
|
| |||||||||
3,247,887 | ||||||||||
|
| |||||||||
Insurance — 1.0% | ||||||||||
25,442 | American International Group, Inc. | 1,237,244 | ||||||||
33,156 | Aon Plc | 2,468,133 | ||||||||
|
| |||||||||
3,705,377 | ||||||||||
|
| |||||||||
Internet — 16.7% | ||||||||||
42,536 | Amazon.Com, Inc.* | 13,298,455 | ||||||||
33,700 | Baidu, Inc., Sponsored ADR* | 5,229,566 | ||||||||
21,112 | Check Point Software Technologies, Ltd.* | 1,194,095 | ||||||||
92,644 | eBay, Inc.* | 5,168,609 | ||||||||
10,300 | F5 Networks, Inc.* | 883,328 | ||||||||
136,775 | Facebook, Inc. Class A* | 6,871,576 | ||||||||
20,079 | Google, Inc. Class A* | 17,587,397 | ||||||||
6,675 | LinkedIn Corp. Class A* | 1,642,450 | ||||||||
9,605 | priceline.com, Inc.* | 9,710,175 | ||||||||
25,300 | Splunk, Inc.* | 1,519,012 | ||||||||
|
| |||||||||
63,104,663 | ||||||||||
|
| |||||||||
Lodging — 1.0% | ||||||||||
38,500 | Las Vegas Sands Corp. | 2,557,170 | ||||||||
6,700 | Wynn Resorts, Ltd. | 1,058,667 | ||||||||
|
| |||||||||
3,615,837 | ||||||||||
|
| |||||||||
Machinery - Diversified — 0.1% | ||||||||||
4,635 | Rockwell Automation, Inc. | 495,667 | ||||||||
|
| |||||||||
Media — 3.3% | ||||||||||
23,000 | CBS Corp. Class B | 1,268,680 | ||||||||
52,430 | Comcast Corp. Class A | 2,367,215 | ||||||||
15,182 | Discovery Communications, Inc. Class A* | 1,281,664 | ||||||||
13,400 | Liberty Global Plc* | 1,063,290 | ||||||||
280,500 | Sirius XM Radio, Inc. | 1,085,535 | ||||||||
78,449 | Twenty-First Century Fox, Inc. | 2,628,041 | ||||||||
43,508 | Walt Disney Co. (The) | 2,805,831 | ||||||||
|
| |||||||||
12,500,256 | ||||||||||
|
| |||||||||
Metal Fabricate & Hardware — 1.4% | ||||||||||
23,658 | Precision Castparts Corp. | 5,376,044 | ||||||||
|
| |||||||||
Miscellaneous - Manufacturing — 3.1% | ||||||||||
83,579 | Danaher Corp. | 5,793,696 | ||||||||
23,795 | Eaton Corp. Plc | 1,638,048 | ||||||||
90,434 | General Electric Co. | 2,160,468 |
See accompanying Notes to the Financial Statements. | 3 |
Mercer US Large Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Miscellaneous - Manufacturing — continued | ||||||||||
23,746 | Honeywell International, Inc. | 1,971,868 | ||||||||
|
| |||||||||
11,564,080 | ||||||||||
|
| |||||||||
Oil & Gas — 2.3% | ||||||||||
16,400 | Noble Energy, Inc. | 1,098,964 | ||||||||
19,148 | Occidental Petroleum Corp. | 1,791,104 | ||||||||
5,700 | Pioneer Natural Resources Co. | 1,076,160 | ||||||||
37,007 | Range Resources Corp. | 2,808,461 | ||||||||
55,900 | Southwestern Energy Co.* | 2,033,642 | ||||||||
|
| |||||||||
8,808,331 | ||||||||||
|
| |||||||||
Oil & Gas Services — 3.7% | ||||||||||
38,969 | Cameron International Corp.* | 2,274,620 | ||||||||
53,400 | FMC Technologies, Inc.* | 2,959,428 | ||||||||
25,600 | National Oilwell Varco, Inc. | 1,999,616 | ||||||||
77,727 | Schlumberger, Ltd. | 6,867,958 | ||||||||
|
| |||||||||
14,101,622 | ||||||||||
|
| |||||||||
Pharmaceuticals — 4.6% | ||||||||||
37,170 | Allergan, Inc. | 3,362,027 | ||||||||
27,388 | BioMarin Pharmaceutical, Inc.* | 1,977,961 | ||||||||
43,811 | Bristol-Myers Squibb Co. | 2,027,573 | ||||||||
29,323 | Express Scripts Holding Co.* | 1,811,575 | ||||||||
71,560 | Gilead Sciences, Inc.* | 4,496,830 | ||||||||
11,130 | Perrigo Co. | 1,373,219 | ||||||||
36,081 | Pfizer, Inc. | 1,035,886 | ||||||||
39,900 | Zoetis, Inc. | 1,241,688 | ||||||||
|
| |||||||||
17,326,759 | ||||||||||
|
| |||||||||
Pipelines — 0.6% | ||||||||||
63,296 | Kinder Morgan, Inc. | 2,251,439 | ||||||||
|
| |||||||||
REITS — 0.4% | ||||||||||
19,600 | American Tower Corp. REIT | 1,452,948 | ||||||||
|
| |||||||||
Retail — 12.0% | ||||||||||
13,583 | Bed Bath & Beyond, Inc.* | 1,050,781 | ||||||||
20,800 | Best Buy Co., Inc. | 780,000 | ||||||||
8,700 | Chipotle Mexican Grill, Inc.* | 3,729,690 | ||||||||
25,534 | Costco Wholesale Corp. | 2,939,474 | ||||||||
83,266 | CVS Caremark Corp. | 4,725,346 | ||||||||
26,100 | Dollar General Corp.* | 1,473,606 | ||||||||
23,980 | Family Dollar Stores, Inc. | 1,727,040 | ||||||||
16,879 | Home Depot, Inc. (The) | 1,280,272 | ||||||||
47,244 | Lowe’s Cos., Inc. | 2,249,287 | ||||||||
27,336 | Lululemon Athletica, Inc.* ‡ | 1,997,988 | ||||||||
18,662 | McDonald’s Corp. | 1,795,471 | ||||||||
31,856 | Michael Kors Holdings, Ltd.* | 2,373,909 | ||||||||
16,652 | Nordstrom, Inc. | 935,842 |
4 | See accompanying Notes to the Financial Statements. |
Mercer US Large Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Retail — continued | ||||||||||
8,544 | O’Reilly Automotive, Inc.* | 1,090,129 | ||||||||
4,099 | Panera Bread Co. Class A* | 649,815 | ||||||||
31,264 | Ross Stores, Inc. | 2,276,019 | ||||||||
103,586 | Starbucks Corp. | 7,973,014 | ||||||||
37,200 | Ulta Salon Cosmetics & Fragrance, Inc.* | 4,443,912 | ||||||||
24,089 | Wal-Mart Stores, Inc. | 1,781,622 | ||||||||
|
| |||||||||
45,273,217 | ||||||||||
|
| |||||||||
Semiconductors — 3.5% | ||||||||||
55,700 | Applied Materials, Inc. | 976,978 | ||||||||
84,600 | ARM Holdings Plc, Sponsored ADR | 4,070,952 | ||||||||
59,371 | ASML Holding NV, ADR | 5,863,480 | ||||||||
27,800 | NXP Semiconductor NV* | 1,034,438 | ||||||||
32,433 | Texas Instruments, Inc. | 1,306,077 | ||||||||
|
| |||||||||
13,251,925 | ||||||||||
|
| |||||||||
Software — 6.3% | ||||||||||
14,600 | athenahealth, Inc.* ‡ | 1,584,976 | ||||||||
20,850 | Automatic Data Processing, Inc. | 1,509,123 | ||||||||
63,300 | Cerner Corp.* | 3,326,415 | ||||||||
23,663 | Informatica Corp.* | 922,147 | ||||||||
148,066 | Microsoft Corp. | 4,932,079 | ||||||||
39,137 | Oracle Corp. | 1,298,174 | ||||||||
164,000 | Salesforce.com, Inc.* | 8,513,240 | ||||||||
10,200 | ServiceNow, Inc.* | 529,890 | ||||||||
12,000 | VMware, Inc. Class A* | 970,800 | ||||||||
|
| |||||||||
23,586,844 | ||||||||||
|
| |||||||||
Telecommunications — 2.8% |
| |||||||||
21,931 | Crown Castle International Corp.* | 1,601,621 | ||||||||
60,219 | Juniper Networks, Inc.* | 1,195,949 | ||||||||
56,016 | QUALCOMM, Inc. | 3,773,238 | ||||||||
16,600 | SBA Communications Corp. Class A* | 1,335,636 | ||||||||
60,147 | Verizon Communications, Inc. | 2,806,459 | ||||||||
|
| |||||||||
10,712,903 | ||||||||||
|
| |||||||||
Transportation — 2.7% | ||||||||||
15,266 | FedEx Corp. | 1,742,003 | ||||||||
54,085 | Union Pacific Corp. | 8,401,564 | ||||||||
|
| |||||||||
10,143,567 | ||||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $282,322,225) | 372,490,742 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 2.5% | ||||||||||
Bank Deposit — 1.0% | ||||||||||
3,963,574 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/01/13 | 3,963,574 | ||||||||
|
|
See accompanying Notes to the Financial Statements. | 5 |
Mercer US Large Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Securities Lending Collateral — 1.5% | ||||||||||
5,634,917 | State Street Navigator Securities Lending Prime Portfolio*** | 5,634,917 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $9,598,491) | 9,598,491 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 101.2% (Cost $291,920,716) | 382,089,233 | |||||||||
Other Assets and Liabilities (net) — (1.2)% | (4,543,081 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 377,546,152 | ||||||||
|
| |||||||||
Notes to Schedule of Investments: | ||||||||||
ADR — American Depository Receipt | ||||||||||
REIT — Real Estate Investment Trust | ||||||||||
* | Non-income producing security | |||||||||
‡ | All or a portion of this security is out on loan. | |||||||||
*** | Represents an investment of securities lending cash collateral. |
6 | See accompanying Notes to the Financial Statements. |
Mercer US Large Cap Growth Equity Fund
Schedule of Investments (Continued)
September 30, 2013 (Unaudited)
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Common Stocks | 98.7 | ||||
Short-Term Investments | 2.5 | ||||
Other Assets and Liabilities (net) | (1.2 | ) | |||
|
| ||||
100.0 | % | ||||
|
|
See accompanying Notes to the Financial Statements. | 7 |
Mercer US Large Cap Value Equity Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 99.0% | ||||||||||
Advertising — 0.4% | ||||||||||
23,174 | Omnicom Group, Inc. | 1,470,159 | ||||||||
|
| |||||||||
Aerospace & Defense — 2.3% | ||||||||||
29,433 | L-3 Communications Holdings, Inc. | 2,781,418 | ||||||||
7,470 | Lockheed Martin Corp. | 952,799 | ||||||||
32,288 | Northrop Grumman Corp. | 3,075,755 | ||||||||
15,515 | Raytheon Co. | 1,195,741 | ||||||||
6,496 | Rockwell Collins, Inc. | 440,819 | ||||||||
|
| |||||||||
8,446,532 | ||||||||||
|
| |||||||||
Agriculture — 0.4% | ||||||||||
12,580 | Archer-Daniels-Midland Co. | 463,447 | ||||||||
16,894 | Lorillard, Inc. | 756,513 | ||||||||
7,903 | Reynolds American, Inc. | 385,509 | ||||||||
|
| |||||||||
1,605,469 | ||||||||||
|
| |||||||||
Airlines — 1.2% | ||||||||||
145,620 | Delta Air Lines, Inc. | 3,435,176 | ||||||||
55,900 | US Airways Group, Inc.* | 1,059,864 | ||||||||
|
| |||||||||
4,495,040 | ||||||||||
|
| |||||||||
Auto Manufacturers — 1.6% | ||||||||||
86,527 | General Motors Co.* | 3,112,376 | ||||||||
22,200 | Toyota Motor Corp., Sponsored ADR | 2,842,266 | ||||||||
|
| |||||||||
5,954,642 | ||||||||||
|
| |||||||||
Auto Parts & Equipment — 1.1% | ||||||||||
8,500 | Delphi Automotive Plc | 496,570 | ||||||||
57,420 | Johnson Controls, Inc. | 2,382,930 | ||||||||
19,050 | Lear Corp. | 1,363,409 | ||||||||
|
| |||||||||
4,242,909 | ||||||||||
|
| |||||||||
Banks — 6.8% | ||||||||||
463,630 | Bank of America Corp. | 6,398,094 | ||||||||
26,925 | BB&T Corp. | 908,719 | ||||||||
38,210 | Capital One Financial Corp. | 2,626,555 | ||||||||
26,730 | Comerica, Inc. | 1,050,756 | ||||||||
111,365 | Fifth Third Bancorp | 2,009,025 | ||||||||
15,120 | PNC Financial Services Group, Inc. | 1,095,444 | ||||||||
19,580 | State Street Corp. | 1,287,385 | ||||||||
49,300 | SunTrust Banks, Inc. | 1,598,306 | ||||||||
199,167 | Wells Fargo & Co. | 8,229,581 | ||||||||
|
| |||||||||
25,203,865 | ||||||||||
|
| |||||||||
Beverages — 1.3% | ||||||||||
100,287 | Coca-Cola Enterprises, Inc. | 4,032,540 |
8 | See accompanying Notes to the Financial Statements. |
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Beverages — continued | ||||||||||
7,650 | PepsiCo, Inc. | 608,175 | ||||||||
|
| |||||||||
4,640,715 | ||||||||||
|
| |||||||||
Biotechnology — 0.8% | ||||||||||
27,543 | Amgen, Inc. | 3,083,163 | ||||||||
|
| |||||||||
Building Materials — 0.1% | ||||||||||
3,860 | Martin Marietta Materials, Inc. | 378,936 | ||||||||
|
| |||||||||
Chemicals — 0.8% | ||||||||||
43,500 | Dow Chemical Co. (The) | 1,670,400 | ||||||||
17,370 | LyondellBasell Industries NV Class A | 1,272,005 | ||||||||
|
| |||||||||
2,942,405 | ||||||||||
|
| |||||||||
Commercial Services — 2.2% | ||||||||||
28,464 | H&R Block, Inc. | 758,850 | ||||||||
108,460 | Hertz Global Holdings, Inc.* | 2,403,474 | ||||||||
27,695 | McKesson Corp. | 3,553,268 | ||||||||
81,601 | Western Union Co. (The) | 1,522,675 | ||||||||
|
| |||||||||
8,238,267 | ||||||||||
|
| |||||||||
Computers — 3.8% | ||||||||||
4,980 | Apple, Inc. | 2,374,215 | ||||||||
107,285 | Brocade Communications Systems, Inc.* | 863,644 | ||||||||
43,340 | EMC Corp. | 1,107,770 | ||||||||
31,220 | NetApp, Inc. | 1,330,596 | ||||||||
8,060 | SanDisk Corp. | 479,651 | ||||||||
130,794 | Seagate Technology Plc | 5,720,930 | ||||||||
36,022 | Western Digital Corp. | 2,283,795 | ||||||||
|
| |||||||||
14,160,601 | ||||||||||
|
| |||||||||
Cosmetics & Personal Care — 0.1% | ||||||||||
20,260 | Avon Products, Inc. | 417,356 | ||||||||
|
| |||||||||
Diversified Financial Services — 11.9% | ||||||||||
56,397 | Ameriprise Financial, Inc. | 5,136,639 | ||||||||
65,154 | Berkshire Hathaway, Inc. Class B* | 7,395,630 | ||||||||
52,200 | Blackstone Group (The), LP | 1,299,258 | ||||||||
48,400 | Charles Schwab Corp. (The) | 1,023,176 | ||||||||
165,683 | Citigroup, Inc. | 8,037,282 | ||||||||
30,105 | Discover Financial Services | 1,521,507 | ||||||||
17,510 | Goldman Sachs Group, Inc. (The) | 2,770,257 | ||||||||
14,550 | Invesco, Ltd. | 464,145 | ||||||||
204,927 | JPMorgan Chase & Co. | 10,592,677 | ||||||||
56,800 | KKR & Co., LP | 1,168,944 | ||||||||
35,060 | Morgan Stanley | 944,867 | ||||||||
124,481 | SLM Corp. | 3,099,577 | ||||||||
41,460 | TD Ameritrade Holding Corp. | 1,085,423 | ||||||||
|
| |||||||||
44,539,382 | ||||||||||
|
|
See accompanying Notes to the Financial Statements. | 9 |
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Electric — 1.1% | ||||||||||
72,890 | AES Corp. | 968,708 | ||||||||
21,335 | FirstEnergy Corp. | 777,661 | ||||||||
11,130 | NextEra Energy, Inc. | 892,181 | ||||||||
52,010 | NRG Energy, Inc. | 1,421,433 | ||||||||
|
| |||||||||
4,059,983 | ||||||||||
|
| |||||||||
Electronics — 0.3% | ||||||||||
4,450 | Agilent Technologies, Inc. | 228,062 | ||||||||
14,497 | TE Connectivity, Ltd. | 750,655 | ||||||||
|
| |||||||||
978,717 | ||||||||||
|
| |||||||||
Food — 1.6% | ||||||||||
55,618 | Koninklijke Ahold NV, Sponsored ADR | 961,079 | ||||||||
102,735 | Kroger Co. (The) | 4,144,330 | ||||||||
25,675 | Tyson Foods, Inc. Class A | 726,089 | ||||||||
|
| |||||||||
5,831,498 | ||||||||||
|
| |||||||||
Forest Products & Paper — 0.2% | ||||||||||
15,150 | International Paper Co. | 678,720 | ||||||||
|
| |||||||||
Health Care - Products — 2.0% | ||||||||||
11,730 | Baxter International, Inc. | 770,544 | ||||||||
1,738 | Becton Dickinson and Co. | 173,835 | ||||||||
17,360 | Covidien Plc | 1,057,918 | ||||||||
55,869 | Johnson & Johnson | 4,843,283 | ||||||||
13,328 | St. Jude Medical, Inc. | 714,914 | ||||||||
|
| |||||||||
7,560,494 | ||||||||||
|
| |||||||||
Health Care - Services — 2.0% | ||||||||||
18,705 | Aetna, Inc. | 1,197,494 | ||||||||
10,950 | Humana, Inc. | 1,021,964 | ||||||||
11,310 | Quest Diagnostics, Inc. | 698,845 | ||||||||
44,420 | UnitedHealth Group, Inc. | 3,180,916 | ||||||||
16,000 | WellPoint, Inc. | 1,337,760 | ||||||||
|
| |||||||||
7,436,979 | ||||||||||
|
| |||||||||
Insurance — 6.2% | ||||||||||
25,535 | ACE, Ltd. | 2,389,054 | ||||||||
14,495 | Allstate Corp. (The) | 732,722 | ||||||||
25,940 | American International Group, Inc. | 1,261,462 | ||||||||
10,235 | Axis Capital Holdings, Ltd. | 443,278 | ||||||||
11,000 | Chubb Corp. (The) | 981,860 | ||||||||
40,370 | Cigna Corp. | 3,102,838 | ||||||||
29,340 | Hartford Financial Services Group, Inc. | 913,061 | ||||||||
31,070 | ING US, Inc. | 907,555 | ||||||||
69,405 | Lincoln National Corp. | 2,914,316 | ||||||||
128,505 | MetLife, Inc. | 6,033,310 | ||||||||
11,260 | Prudential Financial, Inc. | 878,055 |
10 | See accompanying Notes to the Financial Statements. |
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Insurance — continued | ||||||||||
7,323 | Reinsurance Group of America, Inc. | 490,568 | ||||||||
16,662 | Travelers Cos. (The), Inc. | 1,412,438 | ||||||||
7,672 | Unum Group | 233,535 | ||||||||
12,750 | Validus Holdings, Ltd. | 471,495 | ||||||||
|
| |||||||||
23,165,547 | ||||||||||
|
| |||||||||
Internet — 1.2% | ||||||||||
16,600 | Check Point Software Technologies, Ltd.* | 938,896 | ||||||||
500 | Google, Inc. Class A* | 437,955 | ||||||||
29,080 | IAC/InterActiveCorp | 1,589,804 | ||||||||
26,500 | Symantec Corp. | 655,875 | ||||||||
22,316 | Yahoo!, Inc.* | 739,998 | ||||||||
|
| |||||||||
4,362,528 | ||||||||||
|
| |||||||||
Iron & Steel — 0.2% | ||||||||||
8,800 | Reliance Steel & Aluminum Co. | 644,776 | ||||||||
|
| |||||||||
Leisure Time — 0.2% | ||||||||||
25,380 | Carnival Corp. | 828,403 | ||||||||
|
| |||||||||
Lodging — 0.5% | ||||||||||
6,658 | Wyndham Worldwide Corp. | 405,938 | ||||||||
8,867 | Wynn Resorts, Ltd. | 1,401,075 | ||||||||
|
| |||||||||
1,807,013 | ||||||||||
|
| |||||||||
Machinery - Construction & Mining — 0.6% | ||||||||||
11,200 | Caterpillar, Inc. | 933,744 | ||||||||
28,400 | Joy Global, Inc. | 1,449,536 | ||||||||
|
| |||||||||
2,383,280 | ||||||||||
|
| |||||||||
Machinery - Diversified — 1.4% | ||||||||||
15,585 | AGCO Corp. | 941,646 | ||||||||
18,670 | Cummins, Inc. | 2,480,683 | ||||||||
29,582 | Flowserve Corp. | 1,845,621 | ||||||||
|
| |||||||||
5,267,950 | ||||||||||
|
| |||||||||
Media — 7.1% | ||||||||||
16,501 | British Sky Broadcasting Group Plc, Sponsored ADR | 935,607 | ||||||||
17,670 | CBS Corp. Class B | 974,677 | ||||||||
73,156 | Comcast Corp. Class A | 3,302,993 | ||||||||
52,825 | DIRECTV* | 3,156,294 | ||||||||
29,320 | Gannett Co., Inc. | 785,483 | ||||||||
16,755 | Liberty Global Plc Series C* | 1,263,830 | ||||||||
14,974 | Liberty Media Corp. - Capital Series A* | 2,203,424 | ||||||||
62,400 | News Corp. Class A* | 1,002,144 | ||||||||
14,620 | Time Warner Cable, Inc. | 1,631,592 | ||||||||
55,957 | Time Warner, Inc. | 3,682,530 | ||||||||
20,570 | Twenty-First Century Fox, Inc. | 689,095 |
See accompanying Notes to the Financial Statements. | 11 |
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Media — continued | ||||||||||
60,424 | Viacom, Inc. Class B | 5,050,238 | ||||||||
28,860 | Walt Disney Co. (The) | 1,861,181 | ||||||||
|
| |||||||||
26,539,088 | ||||||||||
|
| |||||||||
Mining — 0.1% | ||||||||||
8,090 | Vulcan Materials Co. | 419,143 | ||||||||
|
| |||||||||
Miscellaneous - Manufacturing — 2.9% | ||||||||||
12,170 | Dover Corp. | 1,093,231 | ||||||||
18,700 | Eaton Corp. Plc | 1,287,308 | ||||||||
173,590 | General Electric Co. | 4,147,065 | ||||||||
25,230 | Honeywell International, Inc. | 2,095,099 | ||||||||
7,765 | Parker Hannifin Corp. | 844,211 | ||||||||
7,045 | Siemens AG, Sponsored ADR | 848,993 | ||||||||
16,048 | Tyco International, Ltd. | 561,359 | ||||||||
|
| |||||||||
10,877,266 | ||||||||||
|
| |||||||||
Office & Business Equipment — 0.7% | ||||||||||
26,100 | Pitney Bowes, Inc.‡ | 474,759 | ||||||||
215,804 | Xerox Corp. | 2,220,623 | ||||||||
|
| |||||||||
2,695,382 | ||||||||||
|
| |||||||||
Oil & Gas — 10.8% | ||||||||||
12,400 | Anadarko Petroleum Corp. | 1,153,076 | ||||||||
38,790 | Apache Corp. | 3,302,580 | ||||||||
98,068 | BP Plc, Sponsored ADR | 4,121,798 | ||||||||
37,170 | Chevron Corp. | 4,516,155 | ||||||||
32,016 | ConocoPhillips | 2,225,432 | ||||||||
43,395 | ENI Spa, Sponsored ADR‡ | 1,997,472 | ||||||||
7,599 | EOG Resources, Inc. | 1,286,359 | ||||||||
47,240 | Exxon Mobil Corp. | 4,064,529 | ||||||||
27,000 | Hess Corp. | 2,088,180 | ||||||||
22,275 | Marathon Oil Corp. | 776,952 | ||||||||
3,212 | Marathon Petroleum Corp. | 206,596 | ||||||||
97,657 | Occidental Petroleum Corp. | 9,134,836 | ||||||||
38,880 | Phillips 66 | 2,248,042 | ||||||||
36,906 | Royal Dutch Shell Plc, ADR | 2,423,986 | ||||||||
19,810 | Transocean, Ltd. | 881,545 | ||||||||
|
| |||||||||
40,427,538 | ||||||||||
|
| |||||||||
Oil & Gas Services — 1.5% | ||||||||||
16,390 | Cameron International Corp.* | 956,685 | ||||||||
70,215 | Halliburton Co. | 3,380,852 | ||||||||
14,520 | Schlumberger, Ltd. | 1,282,987 | ||||||||
|
| |||||||||
5,620,524 | ||||||||||
|
|
12 | See accompanying Notes to the Financial Statements. |
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Packaging & Containers — 0.5% | ||||||||||
23,810 | Crown Holdings, Inc.* | 1,006,687 | ||||||||
8,975 | Rock-Tenn Co. Class A | 908,898 | ||||||||
|
| |||||||||
1,915,585 | ||||||||||
|
| |||||||||
Pharmaceuticals — 7.1% | ||||||||||
27,385 | AbbVie, Inc. | 1,224,931 | ||||||||
33,909 | AmerisourceBergen Corp. | 2,071,840 | ||||||||
49,707 | AstraZeneca Plc, Sponsored ADR | 2,581,285 | ||||||||
14,680 | Eli Lilly & Co. | 738,844 | ||||||||
22,200 | Express Scripts Holding Co.* | 1,371,516 | ||||||||
27,100 | GlaxoSmithKline Plc, Sponsored ADR | 1,359,607 | ||||||||
79,560 | Merck & Co., Inc. | 3,787,852 | ||||||||
3,025 | Mylan, Inc.* | 115,464 | ||||||||
12,700 | Novartis AG, ADR | 974,217 | ||||||||
24,145 | Omnicare, Inc. | 1,340,047 | ||||||||
331,003 | Pfizer, Inc. | 9,503,096 | ||||||||
31,390 | Sanofi, ADR | 1,589,276 | ||||||||
|
| |||||||||
26,657,975 | ||||||||||
|
| |||||||||
REITS — 0.8% | ||||||||||
35,400 | American Homes 4 Rent Class A REIT* | 571,710 | ||||||||
15,485 | Equity Residential REIT | 829,531 | ||||||||
55,700 | Hatteras Financial Corp. REIT | 1,042,147 | ||||||||
67,600 | Two Harbors Investment Corp. REIT | 656,396 | ||||||||
|
| |||||||||
3,099,784 | ||||||||||
|
| |||||||||
Retail — 5.1% | ||||||||||
11,840 | Bed Bath & Beyond, Inc.* | 915,942 | ||||||||
21,800 | Best Buy Co., Inc. | 817,500 | ||||||||
50,910 | CVS Caremark Corp. | 2,889,143 | ||||||||
11,700 | Dillard’s, Inc. Class A | 916,110 | ||||||||
8,412 | Gap, Inc. (The) | 338,835 | ||||||||
72,860 | Kohl’s Corp. | 3,770,505 | ||||||||
57,289 | Lowe’s Cos., Inc. | 2,727,529 | ||||||||
33,835 | Macy’s, Inc. | 1,464,041 | ||||||||
22,351 | O’Reilly Automotive, Inc.* | 2,851,764 | ||||||||
5,520 | PVH Corp. | 655,169 | ||||||||
24,100 | Wal-Mart Stores, Inc. | 1,782,436 | ||||||||
|
| |||||||||
19,128,974 | ||||||||||
|
| |||||||||
Semiconductors — 2.6% | ||||||||||
177,717 | Applied Materials, Inc. | 3,117,156 | ||||||||
11,960 | Avago Technologies, Ltd. | 515,715 | ||||||||
7,345 | Lam Research Corp.* | 375,991 | ||||||||
54,050 | LSI Corp. | 422,671 | ||||||||
37,450 | Micron Technology, Inc.* | 654,252 | ||||||||
58,523 | NVIDIA Corp. | 910,618 | ||||||||
101,450 | ON Semiconductor Corp.* | 740,585 |
See accompanying Notes to the Financial Statements. | 13 |
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Semiconductors — continued | ||||||||||
53,150 | Texas Instruments, Inc. | 2,140,350 | ||||||||
20,580 | Xilinx, Inc. | 964,379 | ||||||||
|
| |||||||||
9,841,717 | ||||||||||
|
| |||||||||
Software — 2.2% | ||||||||||
127,400 | Activision Blizzard, Inc. | 2,123,758 | ||||||||
75,096 | CA, Inc. | 2,228,098 | ||||||||
96,915 | Microsoft Corp. | 3,228,239 | ||||||||
14,490 | Oracle Corp. | 480,633 | ||||||||
|
| |||||||||
8,060,728 | ||||||||||
|
| |||||||||
Telecommunications — 4.3% | ||||||||||
66,809 | AT&T, Inc. | 2,259,480 | ||||||||
900 | China Mobile, Ltd., Sponsored ADR | 50,787 | ||||||||
265,880 | Cisco Systems, Inc. | 6,226,910 | ||||||||
39,963 | Motorola Solutions, Inc. | 2,373,003 | ||||||||
65,154 | Nippon Telegraph & Telephone Corp., ADR | 1,697,913 | ||||||||
132,846 | Orange SA, Sponsored ADR | 1,661,903 | ||||||||
26,330 | QUALCOMM, Inc. | 1,773,589 | ||||||||
|
| |||||||||
16,043,585 | ||||||||||
|
| |||||||||
Transportation — 1.0% | ||||||||||
14,620 | FedEx Corp. | 1,668,288 | ||||||||
14,880 | Norfolk Southern Corp. | 1,150,968 | ||||||||
8,725 | United Parcel Service, Inc. Class B | 797,203 | ||||||||
|
| |||||||||
3,616,459 | ||||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $293,208,437) | 369,769,077 | |||||||||
|
| |||||||||
INVESTMENT COMPANY — 0.1% | ||||||||||
Unaffiliated Fund — 0.1% | ||||||||||
2,370 | iShares Russell 1000 Value Index Fund | 204,294 | ||||||||
|
| |||||||||
TOTAL INVESTMENT COMPANY (COST $210,647) | 204,294 | |||||||||
|
| |||||||||
PREFERRED STOCK — 0.3% | ||||||||||
Auto Manufacturers — 0.3% | ||||||||||
24,850 | General Motors Co., 4.75% | 1,246,228 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCK (COST $968,960) | 1,246,228 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 1.5% | ||||||||||
Bank Deposit — 0.8% | ||||||||||
3,048,818 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/01/13 | 3,048,818 | ||||||||
|
|
14 | See accompanying Notes to the Financial Statements. |
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Securities Lending Collateral — 0.7% | ||||||||||
2,518,052 | State Street Navigator Securities Lending Prime Portfolio*** | 2,518,052 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $5,566,870) | 5,566,870 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.9% (Cost $299,954,914) | 376,786,469 | |||||||||
Other Assets and Liabilities (net) — (0.9)% | (3,193,368 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 373,593,101 | ||||||||
|
| |||||||||
Notes to Schedule of Investments: | ||||||||||
ADR — American Depository Receipt | ||||||||||
REIT — Real Estate Investment Trust | ||||||||||
* | Non-income producing security | |||||||||
‡ | All or a portion of this security is out on loan. | |||||||||
*** | Represents an investment of securities lending cash collateral. |
See accompanying Notes to the Financial Statements. | 15 |
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
September 30, 2013 (Unaudited)
A summary of outstanding financial instruments at September 30, 2013 is as follows:
Forward Foreign Currency Contracts
Settlement | Currency | Counterparty | Units of | Value | Net | |||||||||||||||
Sales | ||||||||||||||||||||
01/09/14 | JPY | Barclays Bank Plc | 227,000,000 | $ | 2,315,014 | $ | (22,825 | ) | ||||||||||||
|
|
Currency Abbreviations
JPY | Japanese Yen |
16 | See accompanying Notes to the Financial Statements. |
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
September 30, 2013 (Unaudited)
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Common Stocks | 99.0 | ||||
Preferred Stock | 0.3 | ||||
Investment Company | 0.1 | ||||
Forward Foreign Currency Contracts | 0.0 | ||||
Short-Term Investments | 1.5 | ||||
Other Assets and Liabilities (net) | (0.9 | ) | |||
|
| ||||
100.0 | % | ||||
|
|
See accompanying Notes to the Financial Statements. | 17 |
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 97.9% | ||||||||||
Aerospace & Defense — 1.6% | ||||||||||
35,050 | BE Aerospace, Inc.* | 2,587,391 | ||||||||
16,700 | TransDigm Group, Inc. | 2,316,290 | ||||||||
20,329 | Triumph Group, Inc. | 1,427,502 | ||||||||
|
| |||||||||
6,331,183 | ||||||||||
|
| |||||||||
Apparel — 0.3% | ||||||||||
68,879 | Ascena Retail Group, Inc.* | 1,372,758 | ||||||||
|
| |||||||||
Auto Parts & Equipment — 0.2% | ||||||||||
19,712 | Dorman Products, Inc. | 976,730 | ||||||||
|
| |||||||||
Banks — 1.4% | ||||||||||
40,150 | BankUnited, Inc. | 1,252,279 | ||||||||
44,580 | Comerica, Inc. | 1,752,440 | ||||||||
55,710 | First Republic Bank | 2,597,757 | ||||||||
|
| |||||||||
5,602,476 | ||||||||||
|
| |||||||||
Biotechnology — 0.2% | ||||||||||
44,456 | Ariad Pharmaceuticals, Inc.* | 817,990 | ||||||||
|
| |||||||||
Building Materials — 0.6% | ||||||||||
45,342 | Boise Cascade Co.* | 1,221,967 | ||||||||
12,885 | Martin Marietta Materials, Inc. | 1,264,920 | ||||||||
|
| |||||||||
2,486,887 | ||||||||||
|
| |||||||||
Chemicals — 2.5% | ||||||||||
25,548 | Axiall Corp. | 965,459 | ||||||||
14,540 | Celanese Corp. Series A | 767,567 | ||||||||
26,480 | Cytec Industries, Inc. | 2,154,413 | ||||||||
17,359 | FMC Corp. | 1,244,987 | ||||||||
31,702 | HB Fuller Co. | 1,432,613 | ||||||||
93,570 | Huntsman Corp. | 1,928,478 | ||||||||
25,660 | Rockwood Holdings, Inc. | 1,716,654 | ||||||||
|
| |||||||||
10,210,171 | ||||||||||
|
| |||||||||
Coal — 0.5% | ||||||||||
53,830 | Consol Energy, Inc. | 1,811,379 | ||||||||
|
| |||||||||
Commercial Services — 8.8% | ||||||||||
58,099 | Acacia Research Corp. | 1,339,763 | ||||||||
24,000 | Alliance Data Systems Corp.* | 5,075,280 | ||||||||
25,595 | Bright Horizons Family Solutions, Inc.* | 917,069 | ||||||||
24,920 | FleetCor Technologies, Inc.* | 2,745,187 | ||||||||
83,130 | Genpact, Ltd.* | 1,569,494 | ||||||||
141,168 | Heartland Payment Systems, Inc.‡ | 5,607,193 | ||||||||
36,798 | HMS Holdings Corp.* | 791,525 | ||||||||
31,526 | Huron Consulting Group, Inc.* | 1,658,583 | ||||||||
146,475 | K12, Inc.* ‡ | 4,523,148 |
18 | See accompanying Notes to the Financial Statements. |
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Commercial Services — continued | ||||||||||
154,150 | Ritchie Bros Auctioneers, Inc.‡ | 3,110,747 | ||||||||
22,730 | Robert Half International, Inc. | 887,152 | ||||||||
140,780 | Service Corp. International | 2,621,323 | ||||||||
74,980 | Total System Services, Inc. | 2,205,912 | ||||||||
35,630 | United Rentals, Inc.* | 2,076,873 | ||||||||
|
| |||||||||
35,129,249 | ||||||||||
|
| |||||||||
Computers — 2.9% | ||||||||||
103,363 | Cadence Design Systems, Inc.* | 1,395,400 | ||||||||
64,808 | Fortinet, Inc.* | 1,313,010 | ||||||||
16,955 | IHS, Inc. Class A* | 1,935,922 | ||||||||
145,140 | j2 Global, Inc.‡ | 7,187,333 | ||||||||
|
| |||||||||
11,831,665 | ||||||||||
|
| |||||||||
Distribution & Wholesale — 1.2% | ||||||||||
24,377 | Beacon Roofing Supply, Inc.* | 898,780 | ||||||||
45,590 | LKQ Corp.* | 1,452,497 | ||||||||
30,980 | WESCO International, Inc.* | 2,370,900 | ||||||||
|
| |||||||||
4,722,177 | ||||||||||
|
| |||||||||
Diversified Financial Services — 4.9% | ||||||||||
47,480 | Affiliated Managers Group, Inc.* | 8,671,747 | ||||||||
19,041 | CBOE Holdings, Inc. | 861,225 | ||||||||
24,614 | Financial Engines, Inc. | 1,463,056 | ||||||||
18,950 | IntercontinentalExchange, Inc.* | 3,437,909 | ||||||||
32,008 | Lazard, Ltd. Class A | 1,152,928 | ||||||||
58,080 | Raymond James Financial, Inc. | 2,420,194 | ||||||||
32,820 | WageWorks, Inc.* | 1,655,769 | ||||||||
|
| |||||||||
19,662,828 | ||||||||||
|
| |||||||||
Electrical Components & Equipment — 1.1% | ||||||||||
18,418 | Belden, Inc. | 1,179,673 | ||||||||
31,230 | Hubbell, Inc. Class B | 3,271,030 | ||||||||
|
| |||||||||
4,450,703 | ||||||||||
|
| |||||||||
Electronics — 1.6% | ||||||||||
26,301 | Coherent, Inc. | 1,616,196 | ||||||||
153,035 | Gentex Corp. | 3,916,166 | ||||||||
26,484 | Woodward, Inc. | 1,081,342 | ||||||||
|
| |||||||||
6,613,704 | ||||||||||
|
| |||||||||
Engineering & Construction — 0.3% | ||||||||||
137,370 | McDermott International, Inc.* | 1,020,659 | ||||||||
|
| |||||||||
Entertainment — 1.5% | ||||||||||
19,766 | Bally Technologies, Inc.* | 1,424,338 | ||||||||
46,832 | Cinemark Holdings, Inc. | 1,486,448 | ||||||||
63,010 | Manchester United Plc Class A* ‡ | 1,094,484 | ||||||||
35,050 | Multimedia Games Holding Co., Inc.* | 1,210,977 |
See accompanying Notes to the Financial Statements. | 19 |
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Entertainment — continued | ||||||||||
17,115 | Penn National Gaming, Inc.* | 947,486 | ||||||||
|
| |||||||||
6,163,733 | ||||||||||
|
| |||||||||
Environmental Control — 1.6% | ||||||||||
31,041 | Clean Harbors, Inc.* | 1,820,865 | ||||||||
100,559 | Waste Connections, Inc. | 4,566,384 | ||||||||
|
| |||||||||
6,387,249 | ||||||||||
|
| |||||||||
Food — 0.4% | ||||||||||
19,338 | Hain Celestial Group (The), Inc.* | 1,491,347 | ||||||||
|
| |||||||||
Hand & Machine Tools — 0.4% | ||||||||||
24,850 | Lincoln Electric Holdings, Inc. | 1,655,507 | ||||||||
|
| |||||||||
Health Care - Products — 4.3% | ||||||||||
150,766 | ABIOMED, Inc.* ‡ | 2,875,108 | ||||||||
33,470 | ArthroCare Corp.* | 1,190,863 | ||||||||
65,428 | DexCom, Inc.* | 1,847,032 | ||||||||
98,547 | Endologix, Inc.* | 1,589,563 | ||||||||
22,990 | IDEXX Laboratories, Inc.* | 2,290,953 | ||||||||
67,579 | Techne Corp. | 5,410,375 | ||||||||
42,202 | Thoratec Corp.* | 1,573,713 | ||||||||
24,410 | Volcano Corp.* | 583,887 | ||||||||
|
| |||||||||
17,361,494 | ||||||||||
|
| |||||||||
Health Care - Services — 3.5% | ||||||||||
55,321 | Acadia Healthcare Co., Inc.* ‡ | 2,181,307 | ||||||||
72,070 | Community Health Systems, Inc. | 2,990,905 | ||||||||
21,360 | Covance, Inc.* | 1,846,786 | ||||||||
31,182 | Magellan Health Services, Inc.* | 1,869,673 | ||||||||
13,550 | Mettler-Toledo International, Inc.* | 3,253,219 | ||||||||
24,482 | WellCare Health Plans, Inc.* | 1,707,375 | ||||||||
|
| |||||||||
13,849,265 | ||||||||||
|
| |||||||||
Home Builders — 0.8% | ||||||||||
1,853 | NVR, Inc.* | 1,703,259 | ||||||||
71,520 | Taylor Morrison Home Corp. Class A* | 1,619,928 | ||||||||
|
| |||||||||
3,323,187 | ||||||||||
|
| |||||||||
Home Furnishings — 1.2% | ||||||||||
45,407 | Harman International Industries, Inc. | 3,007,305 | ||||||||
37,730 | Tempur Sealy International, Inc.* | 1,658,611 | ||||||||
|
| |||||||||
4,665,916 | ||||||||||
|
| |||||||||
Household Products & Wares — 1.3% | ||||||||||
52,310 | Jarden Corp.* | 2,531,804 | ||||||||
47,660 | Scotts Miracle-Gro Co. (The) Class A | 2,622,730 | ||||||||
|
| |||||||||
5,154,534 | ||||||||||
|
|
20 | See accompanying Notes to the Financial Statements. |
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Insurance — 0.8% | ||||||||||
13,290 | Everest Re Group, Ltd. | 1,932,499 | ||||||||
113,290 | Genworth Financial, Inc. Class A* | 1,448,979 | ||||||||
|
| |||||||||
3,381,478 | ||||||||||
|
| |||||||||
Internet — 4.9% | ||||||||||
32,704 | BroadSoft, Inc.* | 1,178,325 | ||||||||
49,985 | CyrusOne, Inc. | 948,715 | ||||||||
38,062 | HomeAway, Inc.* | 1,065,736 | ||||||||
13,360 | MercadoLibre, Inc.‡ | 1,802,398 | ||||||||
151,984 | NIC, Inc. | 3,512,350 | ||||||||
78,650 | Pandora Media, Inc.* ‡ | 1,976,475 | ||||||||
39,050 | Rackspace Hosting, Inc.* | 2,060,278 | ||||||||
81,480 | TIBCO Software, Inc.* | 2,085,073 | ||||||||
100,950 | VeriSign, Inc.* | 5,137,345 | ||||||||
|
| |||||||||
19,766,695 | ||||||||||
|
| |||||||||
Leisure Time — 1.1% | ||||||||||
107,665 | Interval Leisure Group, Inc. | 2,544,124 | ||||||||
14,004 | Polaris Industries, Inc. | 1,809,037 | ||||||||
|
| |||||||||
4,353,161 | ||||||||||
|
| |||||||||
Lodging — 0.4% | ||||||||||
23,185 | Wyndham Worldwide Corp. | 1,413,589 | ||||||||
|
| |||||||||
Machinery - Construction & Mining — 0.3% | ||||||||||
39,579 | Terex Corp.* | 1,329,854 | ||||||||
|
| |||||||||
Machinery - Diversified — 1.5% | ||||||||||
79,950 | Graco, Inc. | 5,921,097 | ||||||||
|
| |||||||||
Media — 0.4% | ||||||||||
37,850 | Nexstar Broadcasting Group, Inc. Class A | 1,684,514 | ||||||||
|
| |||||||||
Metal Fabricate & Hardware — 0.5% | ||||||||||
33,140 | Timken Co. (The) | 2,001,656 | ||||||||
|
| |||||||||
Miscellaneous - Manufacturing — 0.4% | ||||||||||
40,704 | Hexcel Corp.* | 1,579,315 | ||||||||
|
| |||||||||
Oil & Gas — 3.8% | ||||||||||
69,238 | Bill Barrett Corp.* ‡ | 1,738,566 | ||||||||
105,300 | Denbury Resources, Inc.* | 1,938,573 | ||||||||
287,469 | Magnum Hunter Resources Corp.* ‡ | 1,773,684 | ||||||||
27,933 | Oasis Petroleum, Inc.* | 1,372,348 | ||||||||
47,260 | QEP Resources, Inc. | 1,308,630 | ||||||||
87,210 | Rowan Cos. Plc Class A* | 3,202,351 | ||||||||
92,960 | Tesoro Corp. | 4,088,381 | ||||||||
|
| |||||||||
15,422,533 | ||||||||||
|
|
See accompanying Notes to the Financial Statements. | 21 |
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Oil & Gas Services — 1.9% | ||||||||||
44,400 | Core Laboratories NV | 7,512,924 | ||||||||
|
| |||||||||
Packaging & Containers — 1.1% | ||||||||||
36,780 | Crown Holdings, Inc.* | 1,555,059 | ||||||||
48,670 | Packaging Corp. of America | 2,778,570 | ||||||||
|
| |||||||||
4,333,629 | ||||||||||
|
| |||||||||
Pharmaceuticals — 4.6% | ||||||||||
98,489 | ACADIA Pharmaceuticals, Inc.* ‡ | 2,705,493 | ||||||||
93,250 | Alkermes Plc* | 3,135,065 | ||||||||
47,590 | Cubist Pharmaceuticals, Inc.* | 3,024,344 | ||||||||
23,840 | Medivation, Inc.* | 1,428,970 | ||||||||
20,100 | Perrigo Co. | 2,479,938 | ||||||||
21,333 | Sirona Dental Systems, Inc.* | 1,427,818 | ||||||||
107,070 | ViroPharma, Inc.* | 4,207,851 | ||||||||
|
| |||||||||
18,409,479 | ||||||||||
|
| |||||||||
Real Estate — 0.4% | ||||||||||
18,500 | Jones Lang Lasalle, Inc. | 1,615,050 | ||||||||
|
| |||||||||
REITS — 1.1% | ||||||||||
123,200 | CommonWealth REIT | 2,699,312 | ||||||||
71,930 | Starwood Property Trust, Inc. REIT | 1,724,162 | ||||||||
|
| |||||||||
4,423,474 | ||||||||||
|
| |||||||||
Retail — 11.2% | ||||||||||
84,060 | Arcos Dorados Holdings, Inc.‡ | 996,111 | ||||||||
23,400 | Asbury Automotive Group, Inc.* | 1,244,880 | ||||||||
88,520 | Best Buy Co., Inc. | 3,319,500 | ||||||||
47,180 | Brinker International, Inc. | 1,912,205 | ||||||||
21,106 | Childrens Place Retail Stores (The), Inc.* | 1,221,193 | ||||||||
25,236 | Dick’s Sporting Goods, Inc. | 1,347,098 | ||||||||
76,700 | DineEquity, Inc. | 5,292,300 | ||||||||
27,600 | Dunkin’ Brands Group, Inc. | 1,249,176 | ||||||||
15,946 | First Cash Financial Services, Inc.* | 924,071 | ||||||||
44,714 | Foot Locker, Inc. | 1,517,593 | ||||||||
55,839 | Francesca’s Holdings Corp.* ‡ | 1,040,839 | ||||||||
22,880 | GNC Holdings, Inc. Class A | 1,249,934 | ||||||||
17,001 | Papa John’s International, Inc. | 1,188,030 | ||||||||
30,303 | Red Robin Gourmet Burgers, Inc.* | 2,154,543 | ||||||||
15,730 | Restoration Hardware Holdings, Inc.* | 996,496 | ||||||||
140,525 | Sally Beauty Holdings, Inc.* | 3,676,134 | ||||||||
33,690 | Signet Jewelers, Ltd. | 2,413,889 | ||||||||
26,380 | Tractor Supply Co. | 1,771,945 | ||||||||
24,124 | Ulta Salon Cosmetics & Fragrance, Inc.* | 2,881,853 | ||||||||
115,050 | Urban Outfitters, Inc.* | 4,230,388 | ||||||||
75,509 | Williams-Sonoma, Inc. | 4,243,606 | ||||||||
|
| |||||||||
44,871,784 | ||||||||||
|
|
22 | See accompanying Notes to the Financial Statements. |
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Semiconductors — 3.4% | ||||||||||
185,603 | Atmel Corp.* | 1,380,886 | ||||||||
53,870 | Avago Technologies, Ltd. | 2,322,874 | ||||||||
62,070 | Ceva, Inc.* | 1,070,708 | ||||||||
16,800 | Lam Research Corp.* | 859,992 | ||||||||
24,000 | Mellanox Technologies, Ltd.* | 911,040 | ||||||||
50,290 | NXP Semiconductor NV* | 1,871,291 | ||||||||
29,844 | Semtech Corp.* | 895,022 | ||||||||
77,250 | Skyworks Solutions, Inc.* | 1,918,890 | ||||||||
78,550 | Teradyne, Inc.* | 1,297,646 | ||||||||
39,237 | Ultratech, Inc.* | 1,188,881 | ||||||||
|
| |||||||||
13,717,230 | ||||||||||
|
| |||||||||
Software — 11.0% | ||||||||||
100,180 | Allscripts Healthcare Solutions, Inc.* | 1,489,677 | ||||||||
18,425 | athenahealth, Inc.* ‡ | 2,000,218 | ||||||||
113,092 | Blackbaud, Inc. | 4,415,112 | ||||||||
16,538 | Commvault Systems, Inc.* | 1,452,533 | ||||||||
15,990 | Concur Technologies, Inc.* ‡ | 1,766,895 | ||||||||
30,962 | EPAM Systems, Inc.* | 1,068,189 | ||||||||
36,492 | Imperva, Inc.* | 1,533,394 | ||||||||
32,532 | Infoblox, Inc.* | 1,360,488 | ||||||||
90,367 | Informatica Corp.* | 3,521,602 | ||||||||
115,862 | Jive Software, Inc.* ‡ | 1,448,275 | ||||||||
155,075 | MSCI, Inc. Class A* | 6,243,319 | ||||||||
136,930 | Nuance Communications, Inc.* | 2,559,906 | ||||||||
41,262 | Proofpoint, Inc.* | 1,325,335 | ||||||||
123,194 | QLIK Technologies, Inc.* | 4,218,163 | ||||||||
35,368 | ServiceNow, Inc.* | 1,837,368 | ||||||||
50,829 | SS&C Technologies Holdings, Inc.* | 1,936,585 | ||||||||
55,521 | Synchronoss Technologies, Inc.* | 2,113,129 | ||||||||
169,575 | VeriFone Systems, Inc.* | 3,876,484 | ||||||||
|
| |||||||||
44,166,672 | ||||||||||
|
| |||||||||
Telecommunications — 3.2% | ||||||||||
94,330 | Allot Communications, Ltd.* ‡ | 1,191,388 | ||||||||
117,900 | NeuStar, Inc. Class A* | 5,833,692 | ||||||||
70,975 | SBA Communications Corp. Class A* | 5,710,648 | ||||||||
|
| |||||||||
12,735,728 | ||||||||||
|
| |||||||||
Transportation — 2.8% | ||||||||||
108,325 | Expeditors International of Washington, Inc. | 4,772,800 | ||||||||
15,228 | Genesee & Wyoming, Inc. Class A* | 1,415,747 | ||||||||
39,470 | HUB Group, Inc. Class A* | 1,548,408 | ||||||||
46,900 | Landstar System, Inc. | 2,625,462 | ||||||||
41,940 | XPO Logistics, Inc.* | 908,840 | ||||||||
|
| |||||||||
11,271,257 | ||||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $321,070,645) | 393,003,910 | |||||||||
|
|
See accompanying Notes to the Financial Statements. | 23 |
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 9.4% | ||||||||||
Bank Deposit — 1.7% | ||||||||||
7,071,861 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/01/13 | 7,071,861 | ||||||||
|
| |||||||||
Securities Lending Collateral — 7.7% | ||||||||||
30,930,277 | State Street Navigator Securities Lending Prime Portfolio*** | 30,930,277 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $38,002,138) | 38,002,138 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 107.3% (Cost $359,072,783) | 431,006,048 | |||||||||
Other Assets and Liabilities (net) — (7.3)% | (29,492,248 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 401,513,800 | ||||||||
|
| |||||||||
Notes to Schedule of Investments: | ||||||||||
REIT — Real Estate Investment Trust | ||||||||||
* | Non-income producing security | |||||||||
‡ | All or a portion of this security is out on loan. | |||||||||
*** | Represents an investment of securities lending cash collateral. |
24 | See accompanying Notes to the Financial Statements. |
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
September 30, 2013 (Unaudited)
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Common Stocks | 97.9 | ||||
Short-Term Investments | 9.4 | ||||
Other Assets and Liabilities (net) | (7.3 | ) | |||
|
| ||||
100.0 | % | ||||
|
|
See accompanying Notes to the Financial Statements. | 25 |
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 98.1% | ||||||||||
Advertising — 0.0% | ||||||||||
2,000 | MDC Partners, Inc. Class A | 55,960 | ||||||||
|
| |||||||||
Aerospace & Defense — 1.2% | ||||||||||
18,700 | AAR Corp. | 511,071 | ||||||||
9,625 | Alliant Techsystems, Inc. | 939,015 | ||||||||
10,900 | Astronics Corp.* | 541,839 | ||||||||
37,802 | Exelis, Inc. | 593,870 | ||||||||
92,091 | Orbital Sciences Corp.* | 1,950,487 | ||||||||
|
| |||||||||
4,536,282 | ||||||||||
|
| |||||||||
Agriculture — 0.3% | ||||||||||
12,894 | Andersons (The), Inc. | 901,291 | ||||||||
1,907 | Universal Corp.‡ | 97,123 | ||||||||
|
| |||||||||
998,414 | ||||||||||
|
| |||||||||
Airlines — 0.4% | ||||||||||
3,450 | Alaska Air Group, Inc. | 216,039 | ||||||||
19,722 | Republic Airways Holdings, Inc.* | 234,692 | ||||||||
16,965 | SkyWest, Inc. | 246,332 | ||||||||
39,600 | US Airways Group, Inc.* | 750,816 | ||||||||
|
| |||||||||
1,447,879 | ||||||||||
|
| |||||||||
Apparel — 0.7% | ||||||||||
79,980 | Ascena Retail Group, Inc.* | 1,594,001 | ||||||||
29,021 | Guess?, Inc. | 866,277 | ||||||||
3,165 | Perry Ellis International, Inc. | 59,629 | ||||||||
|
| |||||||||
2,519,907 | ||||||||||
|
| |||||||||
Auto Manufacturers — 0.2% | ||||||||||
16,976 | Oshkosh Corp.* | 831,484 | ||||||||
|
| |||||||||
Auto Parts & Equipment — 1.2% | ||||||||||
11,943 | Lear Corp. | 854,761 | ||||||||
12,386 | Meritor, Inc.* | 97,354 | ||||||||
19,250 | Modine Manufacturing Co.* | 281,627 | ||||||||
6,901 | Standard Motor Products, Inc. | 221,936 | ||||||||
36,126 | TRW Automotive Holdings Corp.* | 2,576,145 | ||||||||
8,925 | Visteon Corp.* | 675,087 | ||||||||
|
| |||||||||
4,706,910 | ||||||||||
|
| |||||||||
Banks — 6.0% | ||||||||||
43,947 | Associated Banc-Corp. | 680,739 | ||||||||
17,161 | Banco Latinoamericano de Comercio Exterior SA | 427,652 | ||||||||
4,400 | Banner Corp. | 167,904 | ||||||||
9,988 | BOK Financial Corp. | 632,740 | ||||||||
15,900 | Capital Bank Financial Corp. Class A* | 349,005 | ||||||||
10,400 | Cardinal Financial Corp. | 171,912 |
26 | See accompanying Notes to the Financial Statements. |
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Banks — continued | ||||||||||
5,359 | Chemical Financial Corp. | 149,623 | ||||||||
7,994 | City Holding Co.‡ | 345,660 | ||||||||
5,448 | City National Corp. | 363,164 | ||||||||
10,014 | Commerce Bancshares, Inc. | 438,713 | ||||||||
1,816 | Cullen/Frost Bankers, Inc.‡ | 128,119 | ||||||||
5,720 | East-West Bancorp, Inc. | 182,754 | ||||||||
1,998 | First Citizens BancShares, Inc. Class A | 410,789 | ||||||||
56,205 | First Commonwealth Financial Corp. | 426,596 | ||||||||
14,600 | First Interstate Bancsystem, Inc. | 352,590 | ||||||||
9,400 | First Midwest Bancorp, Inc. | 142,034 | ||||||||
40,860 | Fulton Financial Corp. | 477,245 | ||||||||
14,700 | Hanmi Financial Corp. | 243,579 | ||||||||
334,958 | Huntington Bancshares, Inc. | 2,766,753 | ||||||||
9,079 | International Bancshares Corp. | 196,379 | ||||||||
80,478 | KeyCorp | 917,449 | ||||||||
49,125 | MB Financial, Inc. | 1,387,290 | ||||||||
18,282 | National Penn Bancshares, Inc. | 183,734 | ||||||||
17,070 | NBT Bancorp, Inc. | 392,269 | ||||||||
8,717 | Northwest Bancshares, Inc. | 115,239 | ||||||||
9,352 | Old National Bancorp | 132,798 | ||||||||
31,409 | Popular, Inc.* | 823,858 | ||||||||
27,506 | PrivateBancorp, Inc. | 588,628 | ||||||||
24,707 | Prosperity Bancshares, Inc. | 1,527,881 | ||||||||
361,842 | Regions Financial Corp. | 3,350,657 | ||||||||
36,776 | Texas Capital Bancshares, Inc.* | 1,690,593 | ||||||||
1,271 | UMB Financial Corp. | 69,066 | ||||||||
2,361 | Umpqua Holdings Corp.‡ | 38,295 | ||||||||
11,532 | Webster Financial Corp. | 294,412 | ||||||||
58,005 | Western Alliance Bancorp* | 1,098,035 | ||||||||
26,284 | Wilshire Bancorp, Inc. | 215,003 | ||||||||
45,000 | Zions Bancorp | 1,233,900 | ||||||||
|
| |||||||||
23,113,057 | ||||||||||
|
| |||||||||
Biotechnology — 0.4% | ||||||||||
500 | Bio-Rad Laboratories, Inc. Class A* | 58,780 | ||||||||
4,700 | Cambrex Corp.* | 62,040 | ||||||||
3,541 | Charles River Laboratories International, Inc.* | 163,807 | ||||||||
108,900 | GTx, Inc.* ‡ | 218,889 | ||||||||
32,625 | Myriad Genetics, Inc.* ‡ | 766,687 | ||||||||
8,105 | QIAGEN NV* | 173,447 | ||||||||
|
| |||||||||
1,443,650 | ||||||||||
|
| |||||||||
Building Materials — 0.4% | ||||||||||
4,230 | Apogee Enterprises, Inc. | 125,546 | ||||||||
11,400 | Drew Industries, Inc. | 519,156 | ||||||||
45,699 | Gibraltar Industries, Inc.* ¤ | 651,668 | ||||||||
16,200 | Louisiana-Pacific Corp.* ‡ | 284,958 | ||||||||
4,000 | Ply Gem Holdings, Inc.* | 55,920 | ||||||||
|
| |||||||||
1,637,248 | ||||||||||
|
|
See accompanying Notes to the Financial Statements. | 27 |
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Chemicals — 2.2% | ||||||||||
26,150 | A. Schulman, Inc. | 770,379 | ||||||||
113,240 | Huntsman Corp. | 2,333,877 | ||||||||
15,244 | Innophos Holdings, Inc. | 804,578 | ||||||||
9,409 | Innospec, Inc. | 439,024 | ||||||||
21,748 | Intrepid Potash, Inc.‡ | 341,009 | ||||||||
37,751 | Kraton Performance Polymers, Inc.* | 739,542 | ||||||||
26,900 | Methanex Corp. | 1,379,163 | ||||||||
6,901 | Minerals Technologies, Inc. | 340,702 | ||||||||
15,000 | OM Group, Inc.* | 506,700 | ||||||||
6,271 | Westlake Chemical Corp. | 656,323 | ||||||||
|
| |||||||||
8,311,297 | ||||||||||
|
| |||||||||
Coal — 0.8% | ||||||||||
83,768 | Alpha Natural Resources, Inc.* | 499,257 | ||||||||
34,438 | Cloud Peak Energy, Inc.* | 505,205 | ||||||||
112,487 | Peabody Energy Corp. | 1,940,401 | ||||||||
|
| |||||||||
2,944,863 | ||||||||||
|
| |||||||||
Commercial Services — 5.5% | ||||||||||
32,840 | Aaron’s, Inc. | 909,668 | ||||||||
8,300 | Booz Allen Hamilton Holding Corp. | 160,356 | ||||||||
181,316 | Career Education Corp.* | 500,432 | ||||||||
68,839 | Convergys Corp. | 1,290,731 | ||||||||
22,700 | CoreLogic, Inc.* | 614,035 | ||||||||
93,562 | Corinthian Colleges, Inc.* ‡ | 204,901 | ||||||||
15,200 | Corrections Corp. of America | 525,160 | ||||||||
26,045 | Euronet Worldwide, Inc.* | 1,036,591 | ||||||||
68,009 | Geo Group (The), Inc. | 2,261,299 | ||||||||
27,018 | Heartland Payment Systems, Inc.‡ | 1,073,155 | ||||||||
11,239 | ICF International, Inc.* | 397,973 | ||||||||
31,233 | Insperity, Inc. | 1,174,361 | ||||||||
12,700 | Ituran Location and Control, Ltd. | 234,315 | ||||||||
11,500 | Kelly Services, Inc. Class A | 223,905 | ||||||||
12,051 | Kforce, Inc. | 213,182 | ||||||||
27,140 | Korn/Ferry International* | 580,796 | ||||||||
33,900 | Manpower, Inc. | 2,465,886 | ||||||||
12,925 | Multi-Color Corp. | 438,545 | ||||||||
5,902 | Navigant Consulting, Inc.* | 91,245 | ||||||||
37,368 | Rent-A-Center, Inc. | 1,423,721 | ||||||||
20,797 | Resources Connection, Inc. | 282,215 | ||||||||
11,100 | RPX Corp.* | 194,583 | ||||||||
35,820 | Service Corp. International | 666,968 | ||||||||
41,268 | Standard Parking Corp.* | 1,109,697 | ||||||||
21,046 | Stewart Enterprises, Inc. Class A | 276,544 | ||||||||
26,085 | Total System Services, Inc. | 767,421 | ||||||||
12,451 | Towers Watson & Co. Class A | 1,331,759 | ||||||||
26,109 | Viad Corp.¤ | 651,420 | ||||||||
|
| |||||||||
21,100,864 | ||||||||||
|
|
28 | See accompanying Notes to the Financial Statements. |
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Computers — 1.2% | ||||||||||
100,879 | Brocade Communications Systems, Inc.* | 812,076 | ||||||||
26,515 | DST Systems, Inc. | 1,999,496 | ||||||||
88,300 | Hutchinson Technology, Inc.* ‡ | 307,284 | ||||||||
7,388 | j2 Global, Inc.‡ | 365,854 | ||||||||
21,400 | Spansion, Inc. Class A* | 215,926 | ||||||||
21,652 | Sykes Enterprises, Inc.* | 387,787 | ||||||||
21,883 | Unisys Corp.* | 551,233 | ||||||||
|
| |||||||||
4,639,656 | ||||||||||
|
| |||||||||
Cosmetics & Personal Care — 1.1% | ||||||||||
64,276 | Elizabeth Arden, Inc.* | 2,373,070 | ||||||||
58,689 | Inter Parfums, Inc. | 1,760,083 | ||||||||
|
| |||||||||
4,133,153 | ||||||||||
|
| |||||||||
Distribution & Wholesale — 0.8% | ||||||||||
5,539 | Core-Mark Holding Co., Inc. | 368,011 | ||||||||
50,525 | Owens & Minor, Inc.‡ | 1,747,660 | ||||||||
4,631 | Tech Data Corp.* | 231,133 | ||||||||
10,915 | WESCO International, Inc.* | 835,325 | ||||||||
|
| |||||||||
3,182,129 | ||||||||||
|
| |||||||||
Diversified Financial Services — 2.5% | ||||||||||
69,700 | AerCap Holdings NV* | 1,356,362 | ||||||||
14,100 | Arlington Asset Investment Corp. Class A | 335,298 | ||||||||
41,202 | Eaton Vance Corp. | 1,599,874 | ||||||||
17,025 | Evercore Partners, Inc. Class A | 838,141 | ||||||||
61,381 | Investment Technology Group, Inc.* | 964,909 | ||||||||
38,975 | Nationstar Mortgage Holdings, Inc.* ‡ | 2,191,564 | ||||||||
13,490 | Nelnet, Inc. Class A | 518,690 | ||||||||
12,350 | Outerwall, Inc.* ‡ | 617,376 | ||||||||
14,437 | Piper Jaffray Cos.* | 495,045 | ||||||||
6,356 | Raymond James Financial, Inc. | 264,855 | ||||||||
10,500 | Waddell & Reed Financial, Inc. Class A | 540,540 | ||||||||
|
| |||||||||
9,722,654 | ||||||||||
|
| |||||||||
Electric — 2.5% | ||||||||||
38,225 | Ameren Corp. | 1,331,759 | ||||||||
18,537 | Avista Corp. | 489,377 | ||||||||
41,819 | Cleco Corp. | 1,875,164 | ||||||||
71,281 | CMS Energy Corp. | 1,876,116 | ||||||||
2,906 | El Paso Electric Co. | 97,060 | ||||||||
17,800 | EnerNOC, Inc.* | 266,822 | ||||||||
5,266 | MGE Energy, Inc. | 287,260 | ||||||||
24,331 | NRG Energy, Inc. | 664,966 | ||||||||
18,900 | NV Energy, Inc. | 446,229 | ||||||||
1,634 | OGE Energy Corp. | 58,971 | ||||||||
20,884 | Otter Tail Corp. | 576,398 | ||||||||
16,600 | Pike Electric Corp. | 187,912 |
See accompanying Notes to the Financial Statements. | 29 |
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Electric — continued | ||||||||||
13,348 | Pinnacle West Capital Corp. | 730,670 | ||||||||
5,781 | PNM Resources, Inc. | 130,824 | ||||||||
16,085 | Portland General Electric Co. | 454,080 | ||||||||
|
| |||||||||
9,473,608 | ||||||||||
|
| |||||||||
Electrical Components & Equipment — 1.0% | ||||||||||
22,571 | Advanced Energy Industries, Inc.* | 395,444 | ||||||||
999 | Energizer Holdings, Inc. | 91,059 | ||||||||
18,559 | EnerSys | 1,125,232 | ||||||||
44,250 | Generac Holdings, Inc. | 1,886,820 | ||||||||
10,300 | Molex, Inc. | 396,756 | ||||||||
|
| |||||||||
3,895,311 | ||||||||||
|
| |||||||||
Electronics — 2.9% | ||||||||||
48,150 | Avnet, Inc. | 2,008,336 | ||||||||
4,631 | AVX Corp. | 60,805 | ||||||||
73,775 | Checkpoint Systems, Inc.* | 1,232,043 | ||||||||
38,640 | Coherent, Inc. | 2,374,428 | ||||||||
18,232 | Cubic Corp. | 978,694 | ||||||||
34,785 | Daktronics, Inc. | 389,244 | ||||||||
19,960 | Dolby Laboratories, Inc. Class A‡ | 688,820 | ||||||||
46,129 | Sanmina Corp.* | 806,796 | ||||||||
96,475 | Stoneridge, Inc.* | 1,042,895 | ||||||||
130,251 | Vishay Intertechnology, Inc.* | 1,678,935 | ||||||||
12,500 | Zagg, Inc.* | 56,250 | ||||||||
|
| |||||||||
11,317,246 | ||||||||||
|
| |||||||||
Energy - Alternate Sources — 0.6% | ||||||||||
16,253 | First Solar, Inc.* | 653,533 | ||||||||
32,875 | FutureFuel Corp. | 590,435 | ||||||||
63,100 | Green Plains Renewable Energy, Inc. | 1,012,755 | ||||||||
|
| |||||||||
2,256,723 | ||||||||||
|
| |||||||||
Engineering & Construction — 1.7% | ||||||||||
72,133 | AECOM Technology Corp.* | 2,255,599 | ||||||||
11,819 | Dycom Industries, Inc.* | 330,814 | ||||||||
41,275 | Emcor Group, Inc. | 1,615,091 | ||||||||
4,700 | Engility Holdings, Inc.* | 149,131 | ||||||||
19,063 | Layne Christensen Co.* | 380,497 | ||||||||
108,236 | McDermott International, Inc.* | 804,193 | ||||||||
26,979 | Mistras Group, Inc.* | 458,643 | ||||||||
25,850 | MYR Group, Inc.* | 628,155 | ||||||||
|
| |||||||||
6,622,123 | ||||||||||
|
| |||||||||
Entertainment — 0.7% | ||||||||||
10,105 | Ascent Capital Group, Inc. Class A* | 814,665 | ||||||||
9,625 | Carmike Cinemas, Inc.* | 212,520 | ||||||||
14,575 | International Game Technology | 275,905 |
30 | See accompanying Notes to the Financial Statements. |
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Entertainment — continued | ||||||||||
23,277 | International Speedway Corp. Class A | 751,847 | ||||||||
7,325 | Madison Square Garden, Inc.* | 425,363 | ||||||||
4,812 | Marriott Vacations Worldwide Corp.* | 211,728 | ||||||||
|
| |||||||||
2,692,028 | ||||||||||
|
| |||||||||
Environmental Control — 0.1% | ||||||||||
16,616 | Darling International, Inc.* | 351,595 | ||||||||
|
| |||||||||
Food — 2.6% | ||||||||||
63,832 | Chiquita Brands International, Inc.* | 808,113 | ||||||||
2,619 | Dean Foods Co.* | 50,547 | ||||||||
41,859 | Fresh Del Monte Produce, Inc. | 1,242,375 | ||||||||
5,746 | Harris Teeter Supermarkets, Inc. | 282,646 | ||||||||
13,755 | Hormel Foods Corp. | 579,361 | ||||||||
12,601 | Industrias Bachoco, S.A.B., Sponsored ADR‡ | 497,361 | ||||||||
11,350 | Ingredion, Inc. | 751,030 | ||||||||
18,550 | Nash Finch Co. | 489,906 | ||||||||
177,450 | SUPERVALU, Inc.* ‡ | 1,460,413 | ||||||||
25,623 | TreeHouse Foods, Inc.* | 1,712,385 | ||||||||
38,074 | Tyson Foods, Inc. Class A | 1,076,733 | ||||||||
23,223 | Village Super Market, Inc. Class A | 882,938 | ||||||||
|
| |||||||||
9,833,808 | ||||||||||
|
| |||||||||
Forest Products & Paper — 1.4% | ||||||||||
56,869 | Boise, Inc. | 716,549 | ||||||||
45,962 | Clearwater Paper Corp.* | 2,195,605 | ||||||||
22,980 | Deltic Timber Corp. | 1,496,917 | ||||||||
33,239 | Glatfelter | 899,780 | ||||||||
|
| |||||||||
5,308,851 | ||||||||||
|
| |||||||||
Gas — 0.6% | ||||||||||
49,596 | Atmos Energy Corp. | 2,112,294 | ||||||||
7,809 | Laclede Group (The), Inc. | 351,405 | ||||||||
|
| |||||||||
2,463,699 | ||||||||||
|
| |||||||||
Health Care - Products — 2.0% | ||||||||||
17,500 | Bruker Corp.* | 361,375 | ||||||||
26,877 | CONMED Corp.¤ | 913,549 | ||||||||
30,981 | Hill-Rom Holdings, Inc. | 1,110,049 | ||||||||
18,754 | ICU Medical, Inc.* | 1,273,959 | ||||||||
5,539 | Invacare Corp. | 95,658 | ||||||||
134,998 | Nordion, Inc.* | 1,165,033 | ||||||||
42,780 | NuVasive, Inc.* | 1,047,682 | ||||||||
27,396 | Orthofix International NV* | 571,481 | ||||||||
20,651 | STERIS Corp. | 887,167 | ||||||||
45,129 | Symmetry Medical, Inc.* | 368,253 | ||||||||
|
| |||||||||
7,794,206 | ||||||||||
|
|
See accompanying Notes to the Financial Statements. | 31 |
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Health Care - Services — 1.6% | ||||||||||
31,100 | Addus HomeCare Corp.* | 900,967 | ||||||||
15,990 | Air Methods Corp.‡ | 681,174 | ||||||||
10,500 | Amedisys, Inc.* | 180,810 | ||||||||
23,125 | Centene Corp.* | 1,479,075 | ||||||||
21,739 | Ensign Group (The), Inc. | 893,690 | ||||||||
41,900 | Five Star Quality Care, Inc.* | 216,623 | ||||||||
59,542 | Gentiva Health Services, Inc.* | 716,886 | ||||||||
8,717 | Health Net, Inc.* | 276,329 | ||||||||
8,403 | ICON Plc* | 343,935 | ||||||||
3,360 | Magellan Health Services, Inc.* | 201,465 | ||||||||
5,255 | Select Medical Holdings Corp. | 42,408 | ||||||||
11,500 | Triple-S Management Corp. Class B* | 211,485 | ||||||||
|
| |||||||||
6,144,847 | ||||||||||
|
| |||||||||
Home Builders — 0.6% | ||||||||||
64,500 | Hovnanian Enterprises, Inc. Class A* ‡ | 337,335 | ||||||||
91 | NVR, Inc.* | 83,646 | ||||||||
47,200 | Ryland Group (The), Inc. | 1,913,488 | ||||||||
|
| |||||||||
2,334,469 | ||||||||||
|
| |||||||||
Home Furnishings — 1.2% | ||||||||||
26,870 | Harman International Industries, Inc. | 1,779,600 | ||||||||
32,225 | TiVo, Inc.* | 400,879 | ||||||||
15,400 | Whirlpool Corp. | 2,255,176 | ||||||||
|
| |||||||||
4,435,655 | ||||||||||
|
| |||||||||
Household Products & Wares — 0.1% | ||||||||||
7,809 | Helen of Troy, Ltd.* | 345,158 | ||||||||
|
| |||||||||
Insurance — 9.6% | ||||||||||
2,382 | Alleghany Corp.* | 975,786 | ||||||||
18,450 | Allied World Assurance Co. Holdings, Ltd. | 1,833,745 | ||||||||
15,618 | American Financial Group, Inc. | 844,309 | ||||||||
14,800 | Arch Capital Group, Ltd.* | 801,124 | ||||||||
8,289 | Argo Group International Holdings, Ltd. | 355,432 | ||||||||
21,059 | Aspen Insurance Holdings, Ltd. | 764,231 | ||||||||
2,546 | Assurant, Inc. | 137,739 | ||||||||
31,549 | Assured Guaranty, Ltd. | 591,544 | ||||||||
63,270 | Axis Capital Holdings, Ltd. | 2,740,224 | ||||||||
3,723 | Endurance Specialty Holdings, Ltd. | 200,000 | ||||||||
34,173 | Everest Re Group, Ltd. | 4,969,096 | ||||||||
91,254 | Genworth Financial, Inc. Class A* | 1,167,139 | ||||||||
44,361 | HCC Insurance Holdings, Inc. | 1,943,899 | ||||||||
43,221 | Horace Mann Educators Corp.¤ | 1,226,612 | ||||||||
11,622 | Infinity Property & Casualty Corp.¤ | 750,781 | ||||||||
31,375 | ING US, Inc. | 916,464 | ||||||||
57,675 | Lincoln National Corp. | 2,421,773 | ||||||||
2,793 | Montpelier Re Holdings, Ltd. | 72,758 |
32 | See accompanying Notes to the Financial Statements. |
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Insurance — continued | ||||||||||
6,711 | Navigators Group, Inc.* | 387,694 | ||||||||
8,056 | PartnerRe, Ltd. | 737,446 | ||||||||
16,072 | Platinum Underwriters Holdings, Ltd. | 959,981 | ||||||||
12,167 | Primerica, Inc. | 490,817 | ||||||||
7,264 | ProAssurance Corp. | 327,316 | ||||||||
48,620 | Reinsurance Group of America, Inc. | 3,257,054 | ||||||||
7,082 | RenaissanceRe Holdings, Ltd. | 641,133 | ||||||||
12,900 | Stewart Information Services Corp. | 412,671 | ||||||||
18,613 | Symetra Financial Corp. | 331,684 | ||||||||
26,464 | Tower Group International, Ltd. | 185,248 | ||||||||
20,600 | Unum Group | 627,064 | ||||||||
56,379 | Validus Holdings, Ltd. | 2,084,895 | ||||||||
3,970 | White Mountains Insurance Group, Ltd. | 2,253,451 | ||||||||
33,748 | Willis Group Holdings Plc | 1,462,301 | ||||||||
|
| |||||||||
36,871,411 | ||||||||||
|
| |||||||||
Internet — 1.4% | ||||||||||
27,422 | AOL, Inc. | 948,253 | ||||||||
2,384 | Digital River, Inc.* | 42,602 | ||||||||
8,640 | Limelight Networks, Inc.* | 16,675 | ||||||||
29,600 | magicJack VocalTec, Ltd.* | 380,952 | ||||||||
130,800 | Orbitz Worldwide, Inc.* | 1,259,604 | ||||||||
98,361 | United Online, Inc. | 784,921 | ||||||||
56,075 | Web.com Group, Inc.* | 1,813,465 | ||||||||
|
| |||||||||
5,246,472 | ||||||||||
|
| |||||||||
Investment Companies — 0.9% | ||||||||||
95,703 | American Capital, Ltd.* | 1,315,917 | ||||||||
9,988 | Apollo Investment Corp. | 81,402 | ||||||||
32,052 | Ares Capital Corp. | 554,179 | ||||||||
25,606 | BlackRock Kelso Capital Corp. | 243,001 | ||||||||
23,162 | Capital Southwest Corp. | 792,372 | ||||||||
102,206 | MCG Capital Corp.¤ | 515,118 | ||||||||
|
| |||||||||
3,501,989 | ||||||||||
|
| |||||||||
Iron & Steel — 1.0% | ||||||||||
18,528 | Reliance Steel & Aluminum Co. | 1,357,547 | ||||||||
149,100 | Steel Dynamics, Inc. | 2,491,461 | ||||||||
|
| |||||||||
3,849,008 | ||||||||||
|
| |||||||||
Lodging — 0.4% | ||||||||||
69,700 | MGM Resorts International* | 1,424,668 | ||||||||
2,270 | Orient-Express Hotels, Ltd. Class A* | 29,465 | ||||||||
|
| |||||||||
1,454,133 | ||||||||||
|
| |||||||||
Machinery - Construction & Mining — 0.2% | ||||||||||
21,873 | Terex Corp.* | 734,933 | ||||||||
|
|
See accompanying Notes to the Financial Statements. | 33 |
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Machinery - Diversified — 1.2% | ||||||||||
37,627 | AGCO Corp. | 2,273,423 | ||||||||
35,863 | Albany International Corp. Class A | 1,286,406 | ||||||||
10,908 | Kadant, Inc.¤ | 366,400 | ||||||||
9,300 | NACCO Industries, Inc. Class A¤ | 515,406 | ||||||||
|
| |||||||||
4,441,635 | ||||||||||
|
| |||||||||
Media — 1.1% | ||||||||||
4,358 | Belo Corp. Class A | 59,704 | ||||||||
37,100 | Dex Media, Inc.* | 301,623 | ||||||||
31,128 | EW Scripps Co. (The) Class A* | 571,199 | ||||||||
81,830 | Gannett Co., Inc. | 2,192,226 | ||||||||
34,600 | Gray Television, Inc.* | 271,610 | ||||||||
12,259 | Nexstar Broadcasting Group, Inc. Class A | 545,587 | ||||||||
13,759 | Scholastic Corp. | 394,195 | ||||||||
|
| |||||||||
4,336,144 | ||||||||||
|
| |||||||||
Metal Fabricate & Hardware — 0.3% | ||||||||||
14,000 | AM Castle & Co.* | 225,400 | ||||||||
3,904 | CIRCOR International, Inc. | 242,751 | ||||||||
14,256 | Timken Co. (The) | 861,062 | ||||||||
|
| |||||||||
1,329,213 | ||||||||||
|
| |||||||||
Mining — 0.2% | ||||||||||
85,831 | AuRico Gold, Inc. | 327,016 | ||||||||
20,100 | Century Aluminum Co.* | 161,805 | ||||||||
24,979 | Pan American Silver Corp. | 263,529 | ||||||||
|
| |||||||||
752,350 | ||||||||||
|
| |||||||||
Miscellaneous - Manufacturing — 1.9% | ||||||||||
13,000 | Fabrinet* | 218,920 | ||||||||
143,010 | Griffon Corp. | 1,793,346 | ||||||||
209,577 | Orkla ASA, Sponsored ADR | 1,538,295 | ||||||||
5,539 | Standex International Corp. | 329,017 | ||||||||
4,571 | STR Holdings, Inc.* | 10,193 | ||||||||
5,900 | Tredegar Corp. | 153,400 | ||||||||
47,987 | Trimas Corp.* | 1,789,915 | ||||||||
29,683 | Trinity Industries, Inc. | 1,346,124 | ||||||||
|
| |||||||||
7,179,210 | ||||||||||
|
| |||||||||
Office Furnishings — 0.2% | ||||||||||
36,683 | Steelcase, Inc. Class A | 609,671 | ||||||||
|
| |||||||||
Oil & Gas — 5.0% | ||||||||||
21,755 | Callon Petroleum Co.* | 119,000 | ||||||||
51,027 | Carrizo Oil & Gas, Inc.* | 1,903,817 | ||||||||
16,150 | Cimarex Energy Co. | 1,556,860 | ||||||||
26,110 | Delek US Holdings, Inc. | 550,660 | ||||||||
48,007 | Denbury Resources, Inc.* | 883,809 |
34 | See accompanying Notes to the Financial Statements. |
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Oil & Gas — continued | ||||||||||
7,718 | Energy XXI Bermuda, Ltd. | 233,084 | ||||||||
34,547 | EPL Oil & Gas, Inc.* | 1,282,039 | ||||||||
5,720 | Helmerich & Payne, Inc. | 394,394 | ||||||||
68,923 | Miller Energy Resources, Inc.* ‡ | 500,381 | ||||||||
7,920 | Murphy USA, Inc.* | 319,889 | ||||||||
29,012 | Nabors Industries, Ltd. | 465,933 | ||||||||
72,250 | Newfield Exploration Co.* | 1,977,482 | ||||||||
36,107 | Ocean Rig UDW, Inc.* | 657,147 | ||||||||
247,954 | Parker Drilling Co.* | 1,413,338 | ||||||||
7,500 | Patterson-UTI Energy, Inc. | 160,350 | ||||||||
186,700 | Quicksilver Resources, Inc.* ‡ | 367,799 | ||||||||
38,288 | Resolute Energy Corp.* | 320,088 | ||||||||
10,828 | Stone Energy Corp.* | 351,152 | ||||||||
29,150 | Tesoro Corp. | 1,282,017 | ||||||||
42,150 | Vaalco Energy, Inc.* | 235,197 | ||||||||
19,613 | Western Refining, Inc.‡ | 589,175 | ||||||||
45,944 | Whiting Petroleum Corp.* | 2,749,748 | ||||||||
36,744 | WPX Energy, Inc.* | 707,689 | ||||||||
|
| |||||||||
19,021,048 | ||||||||||
|
| |||||||||
Oil & Gas Services — 1.1% | ||||||||||
8,100 | Matrix Service Co.* | 158,922 | ||||||||
27,400 | MRC Global, Inc.* | 734,320 | ||||||||
6,700 | Newpark Resources* | 84,822 | ||||||||
3,200 | Oil States International, Inc.* | 331,072 | ||||||||
32,234 | Superior Energy Services, Inc.* | 807,139 | ||||||||
56,841 | Tesco Corp.* | 941,855 | ||||||||
45,340 | TETRA Technologies, Inc.* | 568,110 | ||||||||
72,791 | Willbros Group, Inc.* | 668,222 | ||||||||
|
| |||||||||
4,294,462 | ||||||||||
|
| |||||||||
Packaging & Containers — 0.9% | ||||||||||
17,888 | Crown Holdings, Inc.* | 756,305 | ||||||||
280,550 | Graphic Packaging Holding Co.* | 2,401,508 | ||||||||
11,622 | Owens-Illinois, Inc.* | 348,892 | ||||||||
|
| |||||||||
3,506,705 | ||||||||||
|
| |||||||||
Pharmaceuticals — 1.9% | ||||||||||
9,500 | Cadence Pharmaceuticals, Inc.* | 59,945 | ||||||||
4,600 | Hi-Tech Pharmacal Co., Inc. | 198,490 | ||||||||
8,100 | Impax Laboratories, Inc.* | 166,131 | ||||||||
25,764 | Jazz Pharmaceuticals Plc* | 2,369,515 | ||||||||
55,812 | Omnicare, Inc. | 3,097,566 | ||||||||
8,400 | Pharmacyclics, Inc.* | 1,162,728 | ||||||||
12,894 | PharMerica Corp.* | 171,103 | ||||||||
|
| |||||||||
7,225,478 | ||||||||||
|
| |||||||||
Pipelines — 0.3% | ||||||||||
16,828 | National Fuel Gas Co. | 1,157,093 | ||||||||
|
|
See accompanying Notes to the Financial Statements. | 35 |
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Real Estate — 1.2% | ||||||||||
59,875 | CBRE Group, Inc.* | 1,384,909 | ||||||||
107,479 | Forestar Group, Inc.* | 2,314,023 | ||||||||
39,360 | Hilltop Holdings, Inc.* | 728,160 | ||||||||
3,100 | Howard Hughes Corp. (The)* | 348,347 | ||||||||
|
| |||||||||
4,775,439 | ||||||||||
|
| |||||||||
REITS — 6.9% | ||||||||||
5,700 | Agree Realty Corp. REIT | 172,026 | ||||||||
3,814 | Alexandria Real Estate Equities, Inc. REIT | 243,524 | ||||||||
2,088 | American Assets Trust, Inc. REIT | 63,705 | ||||||||
35,400 | American Realty Capital Properties, Inc. REIT | 431,880 | ||||||||
27,380 | Ashford Hospitality Trust, Inc. REIT | 337,869 | ||||||||
26,586 | Associated Estates Realty Corp. REIT‡ | 396,397 | ||||||||
120,832 | BioMed Realty Trust, Inc. REIT | 2,246,267 | ||||||||
181,550 | Brandywine Realty Trust REIT | 2,392,829 | ||||||||
4,631 | Camden Property Trust REIT | 284,529 | ||||||||
17,434 | Campus Crest Communities, Inc. REIT | 188,287 | ||||||||
98,860 | CBL & Associates Properties, Inc. REIT | 1,888,226 | ||||||||
31,200 | Cedar Shopping Centers, Inc. REIT | 161,616 | ||||||||
7,300 | Chatham Lodging Trust REIT | 130,378 | ||||||||
23,608 | Chesapeake Lodging Trust REIT | 555,732 | ||||||||
16,964 | Cousins Properties, Inc. REIT | 174,560 | ||||||||
5,993 | CubeSmart REIT | 106,915 | ||||||||
2,633 | Douglas Emmett, Inc. REIT | 61,796 | ||||||||
49,109 | DuPont Fabros Technology, Inc. REIT‡ | 1,265,539 | ||||||||
908 | EastGroup Properties, Inc. REIT | 53,763 | ||||||||
7,873 | EPR Properties REIT | 383,730 | ||||||||
22,100 | Extra Space Storage, Inc. REIT | 1,011,075 | ||||||||
398 | Federal Realty Investment Trust REIT | 40,377 | ||||||||
4,086 | First Industrial Realty Trust, Inc. REIT | 66,479 | ||||||||
5,000 | First Potomac Realty Trust REIT | 62,850 | ||||||||
8,000 | Franklin Street Properties Corp. REIT | 101,920 | ||||||||
14,256 | Government Properties Income Trust REIT | 341,146 | ||||||||
12,803 | Hersha Hospitality Trust REIT | 71,569 | ||||||||
1,198 | Home Properties, Inc. REIT | 69,184 | ||||||||
5,993 | Hospitality Properties Trust REIT | 169,602 | ||||||||
79,904 | Inland Real Estate Corp. REIT | 817,418 | ||||||||
4,086 | Investors Real Estate Trust REIT | 33,709 | ||||||||
37,700 | Kilroy Realty Corp. REIT | 1,883,115 | ||||||||
54,425 | Liberty Property Trust REIT‡ | 1,937,530 | ||||||||
16,072 | LTC Properties, Inc. REIT | 610,415 | ||||||||
5,200 | Medical Properties Trust, Inc. REIT | 63,284 | ||||||||
7,446 | National Retail Properties, Inc. REIT | 236,932 | ||||||||
121,685 | NorthStar Realty Finance Corp. REIT | 1,129,237 | ||||||||
20,423 | Parkway Properties, Inc. REIT | 362,917 | ||||||||
28,602 | Pennsylvania Real Estate Investment Trust REIT | 534,857 | ||||||||
21,247 | Piedmont Office Realty Trust, Inc. REIT | 368,848 | ||||||||
7,990 | Post Properties, Inc. REIT | 359,710 | ||||||||
67,918 | Ramco-Gershenson Properties Trust REIT | 1,046,616 |
36 | See accompanying Notes to the Financial Statements. |
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
REITS — continued | ||||||||||
4,994 | Retail Opportunity Investments Corp. REIT | 69,017 | ||||||||
22,000 | Retail Properties of America, Inc. REIT Class A‡ | 302,500 | ||||||||
12,167 | RLJ Lodging Trust REIT | 285,803 | ||||||||
7,800 | Rouse Properties, Inc. REIT‡ | 160,524 | ||||||||
32,564 | Sabra Healthcare, Inc. REIT | 749,298 | ||||||||
24,500 | Select Income REIT | 632,100 | ||||||||
17,137 | Senior Housing Properties Trust REIT | 399,978 | ||||||||
5,607 | Sovran Self Storage, Inc. REIT | 424,338 | ||||||||
21,000 | STAG Industrial, Inc. REIT | 422,520 | ||||||||
8,000 | Strategic Hotels & Resorts, Inc. REIT* | 69,440 | ||||||||
7,100 | Summit Hotel Properties, Inc. REIT | 65,249 | ||||||||
1,058 | Taubman Centers, Inc. REIT | 71,214 | ||||||||
3,450 | Washington Real Estate Investment Trust REIT | 87,181 | ||||||||
636 | Weingarten Realty Investors REIT | 18,654 | ||||||||
|
| |||||||||
26,616,174 | ||||||||||
|
| |||||||||
Retail — 4.9% | ||||||||||
22,279 | Abercrombie & Fitch Co. Class A | 788,008 | ||||||||
49,715 | Big Lots, Inc.* | 1,843,929 | ||||||||
127 | Biglari Holdings, Inc.* | 52,409 | ||||||||
39,339 | Bob Evans Farms, Inc. | 2,252,945 | ||||||||
36,214 | Brown Shoe Co., Inc. | 849,943 | ||||||||
1,650 | CEC Entertainment, Inc. | 75,669 | ||||||||
13,250 | Childrens Place Retail Stores (The), Inc.* | 766,645 | ||||||||
92,707 | Denny’s Corp.* | 567,367 | ||||||||
48,455 | Fred’s, Inc. Class A | 758,321 | ||||||||
4,326 | GameStop Corp. Class A‡ | 214,786 | ||||||||
7,300 | Haverty Furniture Cos., Inc. | 179,069 | ||||||||
13,958 | hhgregg, Inc.* ‡ | 249,988 | ||||||||
43,025 | Insight Enterprises, Inc.* | 814,033 | ||||||||
13,629 | JOS A Bank Clothiers, Inc.* | 599,131 | ||||||||
16,798 | Movado Group, Inc. | 734,912 | ||||||||
6,628 | OfficeMax, Inc. | 84,772 | ||||||||
26,300 | Penske Automotive Group, Inc. | 1,123,799 | ||||||||
49,245 | Pep Boys - Manny, Moe & Jack (The)* | 614,085 | ||||||||
51,690 | Regis Corp. | 758,809 | ||||||||
562,469 | Rite Aid Corp.* | 2,677,352 | ||||||||
15,277 | Signet Jewelers, Ltd. | 1,094,597 | ||||||||
24,920 | Texas Roadhouse, Inc. Class A | 654,898 | ||||||||
96,100 | Wendy’s Co. (The) | 814,928 | ||||||||
90,365 | Wet Seal (The), Inc. Class A* | 355,134 | ||||||||
|
| |||||||||
18,925,529 | ||||||||||
|
| |||||||||
Savings & Loans — 0.9% | ||||||||||
40,678 | Capitol Federal Financial, Inc. | 505,628 | ||||||||
30,123 | Dime Community Bancshares | 501,548 | ||||||||
12,900 | EverBank Financial Corp. | 193,242 | ||||||||
7,800 | HomeStreet, Inc. | 150,540 | ||||||||
37,046 | Hudson City Bancorp, Inc. | 335,266 |
See accompanying Notes to the Financial Statements. | 37 |
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Savings & Loans — continued | ||||||||||
19,976 | Oritani Financial Corp. | 328,805 | ||||||||
10,539 | Provident Financial Services, Inc. | 170,837 | ||||||||
23,790 | ViewPoint Financial Group, Inc. | 491,739 | ||||||||
44,764 | Washington Federal, Inc. | 925,720 | ||||||||
|
| |||||||||
3,603,325 | ||||||||||
|
| |||||||||
Semiconductors — 4.2% | ||||||||||
9,000 | Brooks Automation, Inc. | 83,790 | ||||||||
14,619 | Entegris, Inc.* | 148,383 | ||||||||
40,769 | Formfactor, Inc.* | 279,676 | ||||||||
27,375 | Lam Research Corp.* | 1,401,326 | ||||||||
329,021 | LSI Corp. | 2,572,944 | ||||||||
98,572 | Microsemi Corp.* | 2,390,371 | ||||||||
43,569 | MKS Instruments, Inc. | 1,158,500 | ||||||||
50,625 | NXP Semiconductor NV* | 1,883,756 | ||||||||
29,300 | OmniVision Technologies, Inc.* | 448,583 | ||||||||
17,434 | Photronics, Inc.* | 136,508 | ||||||||
112,865 | PMC-Sierra, Inc.* | 747,166 | ||||||||
17,900 | Rovi Corp.* | 343,143 | ||||||||
75,094 | Skyworks Solutions, Inc.* | 1,865,335 | ||||||||
152,535 | Teradyne, Inc.* | 2,519,878 | ||||||||
|
| |||||||||
15,979,359 | ||||||||||
|
| |||||||||
Software — 1.3% | ||||||||||
15,925 | AVG Technologies NV* | 381,245 | ||||||||
79,561 | CSG Systems International, Inc.¤ | 1,993,003 | ||||||||
40,125 | Medassets, Inc.* | 1,019,977 | ||||||||
18,668 | Quality Systems, Inc. | 405,656 | ||||||||
74,907 | Schawk, Inc.¤ | 1,111,620 | ||||||||
|
| |||||||||
4,911,501 | ||||||||||
|
| |||||||||
Telecommunications — 2.2% | ||||||||||
59,574 | ARRIS Group, Inc.* | 1,016,332 | ||||||||
15,395 | Atlantic Tele-Network, Inc. | 802,541 | ||||||||
7,900 | Calix, Inc.* | 100,567 | ||||||||
12,800 | Extreme Networks, Inc.* | 66,816 | ||||||||
98,525 | Finisar Corp.* | 2,229,621 | ||||||||
65,194 | Harmonic, Inc.* | 501,342 | ||||||||
12,600 | IDT Corp. Class B | 223,650 | ||||||||
1,800 | Loral Space & Communications, Inc. | 121,914 | ||||||||
23,265 | NeuStar, Inc. Class A* | 1,151,152 | ||||||||
6,046 | Oplink Communications, Inc.* | 113,786 | ||||||||
9,300 | Polycom, Inc.* | 101,556 | ||||||||
11,630 | Premiere Global Services, Inc.* | 115,835 | ||||||||
40,274 | Telephone & Data Systems, Inc. | 1,190,097 | ||||||||
118,200 | Tellabs, Inc. | 268,314 | ||||||||
88,712 | Vonage Holdings Corp.* | 278,556 | ||||||||
|
| |||||||||
8,282,079 | ||||||||||
|
|
38 | See accompanying Notes to the Financial Statements. |
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Textiles — 1.3% | ||||||||||
8,492 | G&K Services, Inc. Class A | 512,832 | ||||||||
22,881 | Mohawk Industries, Inc.* | 2,980,250 | ||||||||
12,693 | UniFirst Corp. | 1,325,403 | ||||||||
|
| |||||||||
4,818,485 | ||||||||||
|
| |||||||||
Transportation — 1.7% | ||||||||||
75,210 | Air Transport Services Group, Inc.* | 563,323 | ||||||||
42,650 | Arkansas Best Corp. | 1,094,825 | ||||||||
5,623 | Bristow Group, Inc. | 409,129 | ||||||||
20,381 | Forward Air Corp. | 822,373 | ||||||||
46,375 | Heartland Express, Inc. | 658,061 | ||||||||
26,530 | Marten Transport, Ltd. | 454,990 | ||||||||
10,354 | Saia, Inc.* | 322,838 | ||||||||
68,162 | Swift Transportation Co.* | 1,376,191 | ||||||||
33,160 | Werner Enterprises, Inc.‡ | 773,623 | ||||||||
|
| |||||||||
6,475,353 | ||||||||||
|
| |||||||||
Trucking & Leasing — 0.8% | ||||||||||
77,427 | Aircastle, Ltd. | 1,348,004 | ||||||||
9,334 | Amerco, Inc. | 1,718,669 | ||||||||
|
| |||||||||
3,066,673 | ||||||||||
|
| |||||||||
Water — 0.6% | ||||||||||
36,864 | American States Water Co. | 1,015,972 | ||||||||
15,164 | California Water Service Group | 308,133 | ||||||||
42,611 | PICO Holdings, Inc.* | 922,954 | ||||||||
|
| |||||||||
2,247,059 | ||||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $320,293,391) | 375,806,665 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 5.5% | ||||||||||
Bank Deposit — 1.7% | ||||||||||
6,650,444 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/01/13 | 6,650,444 | ||||||||
|
| |||||||||
Securities Lending Collateral — 3.8% | ||||||||||
14,523,900 | State Street Navigator Securities Lending Prime Portfolio*** | 14,523,900 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $21,174,344) | 21,174,344 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 103.6% (Cost $341,467,735) | 396,981,009 | |||||||||
Other Assets and Liabilities (net) — (3.6)% | (13,833,222 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 383,147,787 | ||||||||
|
|
See accompanying Notes to the Financial Statements. | 39 |
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Notes to Schedule of Investments: | ||||||
ADR — American Depository Receipt | ||||||
REIT — Real Estate Investment Trust | ||||||
* | Non-income producing security | |||||
‡ | All or a portion of this security is out on loan. | |||||
¤ | Illiquid security. The total market value of the securities at period end is $8,695,577 which represents 2.3% of net assets. The aggregate tax cost of these securities held at September 30, 2013 was $6,808,464. | |||||
*** | Represents an investment of securities lending cash collateral. |
40 | See accompanying Notes to the Financial Statements. |
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
September 30, 2013 (Unaudited)
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Common Stocks | 98.1 | ||||
Short-Term Investments | 5.5 | ||||
Other Assets and Liabilities (net) | (3.6 | ) | |||
|
| ||||
100.0 | % | ||||
|
|
See accompanying Notes to the Financial Statements. | 41 |
Mercer Non-US Core Equity Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 95.2% | ||||||||||
Australia — 3.1% | ||||||||||
47,900 | Amcor, Ltd. | 468,492 | ||||||||
372,542 | Arrium, Ltd. | 424,981 | ||||||||
66,662 | Austria & New Zealand Banking Group, Ltd. | 1,918,587 | ||||||||
294,129 | BGP Holdings Plc¤ **** | — | ||||||||
249,780 | BHP Billiton, Ltd. | 8,347,316 | ||||||||
39,255 | BHP Billiton, Ltd., Sponsored ADR | 2,610,457 | ||||||||
2,408,648 | Boart Longyear Group‡ | 979,709 | ||||||||
357,509 | Brambles, Ltd. | 3,045,370 | ||||||||
220,448 | carsales.com, Ltd. | 2,360,186 | ||||||||
216,494 | Computershare, Ltd. | 2,008,132 | ||||||||
32,078 | Crown, Ltd. | 466,415 | ||||||||
77,550 | CSL, Ltd. | 4,640,838 | ||||||||
461,521 | Downer EDI, Ltd. | 1,933,322 | ||||||||
14,629 | Flight Centre, Ltd. | 660,688 | ||||||||
89,848 | iiNET, Ltd. | 517,516 | ||||||||
73,948 | Iress Market Technology, Ltd. | 628,528 | ||||||||
44,061 | Macquarie Group, Ltd. | 1,973,855 | ||||||||
608,755 | Metcash, Ltd. | 1,821,492 | ||||||||
174,388 | Mineral Resources, Ltd. | 1,777,370 | ||||||||
99,675 | Monadelphous Group, Ltd.‡ | 1,787,596 | ||||||||
60,894 | National Australia Bank, Ltd. | 1,954,143 | ||||||||
889,929 | PanAust, Ltd. | 1,755,790 | ||||||||
177,256 | Platinum Asset Management, Ltd. | 911,587 | ||||||||
76,405 | Premier Investments, Ltd. | 617,977 | ||||||||
237,492 | Primary Health Care, Ltd. | 1,070,362 | ||||||||
17,829 | Ramsay Health Care, Ltd. | 603,657 | ||||||||
519,319 | Sigma Pharmaceuticals, Ltd. | 281,642 | ||||||||
94,340 | Sonic Healthcare, Ltd. | 1,428,162 | ||||||||
92,500 | Super Retail Group, Ltd. | 1,122,667 | ||||||||
1,612,821 | Telstra Corp., Ltd. | 7,495,096 | ||||||||
131,928 | TPG Telecom, Ltd. | 535,379 | ||||||||
51,029 | Woodside Petroleum, Ltd. | 1,827,948 | ||||||||
|
| |||||||||
Total Australia | 57,975,260 | |||||||||
|
| |||||||||
Austria — 0.5% | ||||||||||
54,342 | Austriamicrosystems AG | 5,180,293 | ||||||||
42,848 | OMV AG | 2,117,045 | ||||||||
45,437 | Voestalpine AG | 2,173,924 | ||||||||
|
| |||||||||
Total Austria | 9,471,262 | |||||||||
|
| |||||||||
Belgium — 0.6% | ||||||||||
76,881 | Ageas | 3,115,856 | ||||||||
82,186 | Belgacom SA‡ | 2,186,085 | ||||||||
35,956 | Colruyt SA‡ | 1,997,250 | ||||||||
55,682 | Delhaize Group‡ | 3,511,674 | ||||||||
8,700 | Delhaize Group SA, Sponsored ADR | 548,622 | ||||||||
|
| |||||||||
Total Belgium | 11,359,487 | |||||||||
|
|
42 | See accompanying Notes to the Financial Statements. |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Bermuda — 1.0% | ||||||||||
196,276 | Alliance Oil Co., Ltd., ADR* | 1,476,860 | ||||||||
2,574,000 | Biosensors International Group, Ltd.‡ | 1,979,606 | ||||||||
206,594 | BW Offshore, Ltd. | 280,302 | ||||||||
690,455 | Catlin Group, Ltd. | 5,418,420 | ||||||||
1,540,215 | Digital China Holdings, Ltd. | 1,886,752 | ||||||||
1,308,233 | Esprit Holdings, Ltd. | 2,101,904 | ||||||||
297,516 | Hiscox, Ltd. | 3,124,454 | ||||||||
278,822 | Hongkong Land Holdings, Ltd. | 1,840,225 | ||||||||
615,494 | Yue Yuen Industrial Holdings | 1,706,366 | ||||||||
|
| |||||||||
Total Bermuda | 19,814,889 | |||||||||
|
| |||||||||
Brazil — 0.3% | ||||||||||
114,455 | Banco do Brasil SA | 1,329,109 | ||||||||
133,800 | Cia de Saneamento Basico do Estado de Sao Paulo | 1,300,704 | ||||||||
141,300 | Light SA | 1,201,594 | ||||||||
102,400 | Porto Seguro SA | 1,288,021 | ||||||||
|
| |||||||||
Total Brazil | 5,119,428 | |||||||||
|
| |||||||||
Canada — 0.7% | ||||||||||
207,748 | Cameco Corp.‡ | 3,755,188 | ||||||||
121,703 | Gildan Activewear, Inc. | 5,659,503 | ||||||||
119,804 | Potash Corp. of Saskatchewan (Toronto Exchange) | 3,754,146 | ||||||||
|
| |||||||||
Total Canada | 13,168,837 | |||||||||
|
| |||||||||
Cayman Islands — 0.7% | ||||||||||
2,620,798 | Dongyue Group | 1,277,424 | ||||||||
942,478 | Sands China, Ltd. | 5,833,407 | ||||||||
108,350 | Tencent Holdings, Ltd. | 5,683,550 | ||||||||
|
| |||||||||
Total Cayman Islands | 12,794,381 | |||||||||
|
| |||||||||
China — 0.2% | ||||||||||
1,397,327 | China Communications Construction Co., Ltd. Class H | 1,106,308 | ||||||||
1,452,048 | China Petroleum & Chemical Corp. Class H | 1,136,526 | ||||||||
1,022,272 | PetroChina Co., Ltd. Class H | 1,125,730 | ||||||||
|
| |||||||||
Total China | 3,368,564 | |||||||||
|
| |||||||||
Cyprus — 0.0% | ||||||||||
25,218 | ProSafe SE | 201,266 | ||||||||
|
| |||||||||
Denmark — 1.2% | ||||||||||
153,922 | GN Store Nord AS | 3,240,669 | ||||||||
20,569 | Jyske Bank AS* | 1,022,169 | ||||||||
17,496 | NKT Holding AS | 869,775 | ||||||||
34,189 | Novo Nordisk AS Class B | 5,808,155 | ||||||||
84,712 | Pandora AS | 3,500,934 | ||||||||
33,519 | Sydbank AS* | 874,835 | ||||||||
883,002 | TDC AS | 7,476,345 | ||||||||
|
| |||||||||
Total Denmark | 22,792,882 | |||||||||
|
|
See accompanying Notes to the Financial Statements. | 43 |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Finland — 1.7% | ||||||||||
77,625 | Elisa OYJ‡ | 1,851,459 | ||||||||
369,955 | Fortum OYJ‡ | 8,343,159 | ||||||||
1,413,877 | Nokia OYJ* ‡ | 9,297,705 | ||||||||
407,396 | Nokia OYJ, Sponsored ADR* | 2,652,148 | ||||||||
73,201 | Orion OYJ Class B | 1,845,030 | ||||||||
128,950 | Outotec OYJ‡ | 1,766,479 | ||||||||
210,062 | Stora Enso OYJ | 1,781,456 | ||||||||
82,127 | Tieto OYJ‡ | 1,753,171 | ||||||||
133,786 | UPM-Kymmene OYJ‡ | 1,852,648 | ||||||||
|
| |||||||||
Total Finland | 31,143,255 | |||||||||
|
| |||||||||
France — 7.7% | ||||||||||
597,011 | Alcatel-Lucent* ‡ | 2,139,966 | ||||||||
133,050 | Alcatel-Lucent, Sponsored ADR* | 469,666 | ||||||||
272,974 | AXA SA | 6,327,884 | ||||||||
31,585 | BNP Paribas | 2,137,753 | ||||||||
10,788 | Christian Dior SA | 2,116,732 | ||||||||
20,611 | Cie Generale des Etablissements Michelin | 2,286,971 | ||||||||
157,910 | CNP Assurances | 2,846,148 | ||||||||
376,745 | Credit Agricole SA* | 4,156,856 | ||||||||
271,903 | Danone SA | 20,478,953 | ||||||||
40,142 | Dassault Systemes SA | 5,362,098 | ||||||||
60,057 | Electricite de France | 1,900,705 | ||||||||
13,255 | Euler Hermes SA | 1,619,682 | ||||||||
189,857 | France Telecom SA | 2,382,134 | ||||||||
29,257 | Iliad SA‡ | 6,831,648 | ||||||||
26,631 | Ingenico‡ | 1,921,055 | ||||||||
85,762 | Legrand SA | 4,761,505 | ||||||||
31,063 | LVMH Moet Hennessy Louis Vuitton SA | 6,122,255 | ||||||||
118,407 | Metropole Television SA | 2,541,267 | ||||||||
247,433 | Natixis | 1,185,010 | ||||||||
53,008 | Neopost SA‡ | 3,862,535 | ||||||||
159,033 | Orange SA, Sponsored ADR | 1,989,503 | ||||||||
49,969 | Pernod-Ricard SA | 6,208,728 | ||||||||
19,706 | Renault SA | 1,571,960 | ||||||||
35,494 | Safran SA | 2,187,796 | ||||||||
116,280 | Sanofi, ADR | 5,887,256 | ||||||||
54,247 | Sanofi-Aventis | 5,505,159 | ||||||||
25,369 | Schneider Electric SA | 2,146,641 | ||||||||
244,568 | SCOR SE | 8,102,685 | ||||||||
272,354 | Societe Generale | 13,578,197 | ||||||||
40,697 | Thales SA | 2,238,563 | ||||||||
36,168 | Total SA | 2,100,089 | ||||||||
140,099 | UBISOFT Entertainment* | 2,167,644 | ||||||||
25,791 | Valeo SA | 2,203,646 | ||||||||
37,657 | Vinci SA | 2,190,371 | ||||||||
183,206 | Vivendi SA | 4,217,188 | ||||||||
11,428 | Wendel SA | 1,550,046 | ||||||||
|
| |||||||||
Total France | 145,296,295 | |||||||||
|
|
44 | See accompanying Notes to the Financial Statements. |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Germany — 8.6% | ||||||||||
61,626 | Allianz AG | 9,693,413 | ||||||||
33,803 | Aurubis AG | 2,049,705 | ||||||||
233,405 | Bayer AG | 27,538,102 | ||||||||
45,061 | Bayerische Motoren Werke AG | 4,847,420 | ||||||||
3,046 | Bertrandt AG | 383,707 | ||||||||
17,980 | Brenntag AG | 2,994,870 | ||||||||
70,337 | Continental AG | 11,930,030 | ||||||||
125,935 | DaimlerChrysler AG | 9,822,597 | ||||||||
77,432 | Deutsche Annington Immobilien SE* | 1,991,502 | ||||||||
73,575 | Deutsche Lufthansa* | 1,435,660 | ||||||||
344,847 | Deutsche Post AG | 11,450,663 | ||||||||
425,161 | Deutsche Telekom AG | 6,166,691 | ||||||||
212,959 | Deutsche Wohnen AG | 3,812,399 | ||||||||
29,326 | Duerr AG | 2,155,159 | ||||||||
248,313 | E.ON AG | 4,420,097 | ||||||||
36,457 | Freenet AG | 882,625 | ||||||||
57,944 | Fresenius SE & Co. KGaA | 7,201,988 | ||||||||
193,949 | GEA Group AG | 7,969,378 | ||||||||
11,947 | Gildemeister AG | 325,705 | ||||||||
64,247 | GSW Immobilien AG‡ | 2,824,286 | ||||||||
13,856 | Hannover Rueckversicherung AG | 1,019,586 | ||||||||
42,183 | HeidelbergCement AG | 3,255,331 | ||||||||
72,307 | Kloeckner & Co. SE* | 980,742 | ||||||||
60,966 | Leoni AG | 3,709,986 | ||||||||
34,499 | Linde AG | 6,836,821 | ||||||||
4,937 | Muenchener Rueckver AG | 965,355 | ||||||||
142,130 | Premiere AG* | 1,310,013 | ||||||||
33,519 | ProSiebenSat.1 Media AG | 1,424,713 | ||||||||
58,736 | QSC AG | 317,873 | ||||||||
41,164 | Rheinmetall AG | 2,366,500 | ||||||||
49,318 | Siemens AG | 5,945,587 | ||||||||
71,030 | Suedzucker AG | 2,094,143 | ||||||||
74,384 | Symrise AG | 3,297,093 | ||||||||
193,163 | TAG Immobilien AG‡ | 2,398,512 | ||||||||
63,585 | Talanx AG* | 2,143,190 | ||||||||
78,316 | TUI AG* ‡ | 1,001,182 | ||||||||
10,043 | Volkswagen AG | 2,279,154 | ||||||||
|
| |||||||||
Total Germany | 161,241,778 | |||||||||
|
| |||||||||
Greece — 0.2% | ||||||||||
187,407 | Hellenic Telecommunications Organization SA* | 1,953,364 | ||||||||
65,793 | OPAP SA | 734,751 | ||||||||
106,291 | Public Power Corp. SA | 1,204,283 | ||||||||
|
| |||||||||
Total Greece | 3,892,398 | |||||||||
|
| |||||||||
Hong Kong — 1.5% | ||||||||||
387,800 | AIA Group, Ltd. | 1,822,700 | ||||||||
3,115,000 | Champion REIT | 1,429,940 | ||||||||
1,801,010 | China Overseas Land & Investment, Ltd. | 5,318,160 |
See accompanying Notes to the Financial Statements. | 45 |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Hong Kong — continued | ||||||||||
657,830 | China Unicom Hong Kong, Ltd. | 1,029,774 | ||||||||
226,000 | CLP Holdings, Ltd. | 1,843,227 | ||||||||
446,898 | Hutchison Whampoa, Ltd. | 5,362,096 | ||||||||
1,244,820 | New World Development, Ltd. | 1,868,398 | ||||||||
4,040,178 | PCCW, Ltd. | 1,786,917 | ||||||||
3,190,000 | Shougang Fushan Resources Group, Ltd. | 1,069,483 | ||||||||
153,858 | Swire Pacific, Ltd. Class A | 1,843,086 | ||||||||
393,000 | Wharf Holdings, Ltd. | 3,402,893 | ||||||||
215,000 | Wheelock & Co., Ltd. | 1,142,209 | ||||||||
|
| |||||||||
Total Hong Kong | 27,918,883 | |||||||||
|
| |||||||||
India — 0.5% | ||||||||||
2,979,960 | Power Grid Corp. of India, Ltd. | 4,695,680 | ||||||||
433,813 | Shriram Transport Finance Co., Ltd. | 3,935,880 | ||||||||
|
| |||||||||
Total India | 8,631,560 | |||||||||
|
| |||||||||
Indonesia — 0.3% | ||||||||||
2,245,500 | Astra International Tbk PT | 1,250,732 | ||||||||
4,946,250 | Bank Rakyat Indonesia Persero Tbk PT | 3,096,746 | ||||||||
6,095,000 | Telekomunikasi Indonesia Persero Tbk PT | 1,105,311 | ||||||||
812,296 | United Tractors Tbk PT | 1,143,387 | ||||||||
|
| |||||||||
Total Indonesia | 6,596,176 | |||||||||
|
| |||||||||
Ireland — 0.3% | ||||||||||
12,421,224 | Governor & Co. of the Bank of Ireland (The)* ‡ | 3,530,940 | ||||||||
21,788 | Paddy Power Plc | 1,740,107 | ||||||||
|
| |||||||||
Total Ireland | 5,271,047 | |||||||||
|
| |||||||||
Israel — 0.3% | ||||||||||
142,072 | Teva Pharmaceutical Industries, Ltd., Sponsored ADR | 5,367,480 | ||||||||
|
| |||||||||
Italy — 2.4% | ||||||||||
869,489 | A2A Spa | 849,783 | ||||||||
81,202 | Azimut Holding Spa | 1,856,534 | ||||||||
66,457 | Banca Generali Spa | 1,502,325 | ||||||||
191,601 | Banca Popolare dell’Emilia Romagna Scarl* | 1,375,909 | ||||||||
617,294 | Beni Stabili Spa REIT | 383,958 | ||||||||
17,999 | Danieli & C. Officine Meccaniche Spa-RSP | 352,065 | ||||||||
1,001,600 | Enel Spa | 3,839,673 | ||||||||
306,057 | ENI Spa | 7,022,288 | ||||||||
29,857 | Exor Spa | 1,120,734 | ||||||||
167,128 | Fiat Spa (MIL Exchange)* | 1,332,512 | ||||||||
1,054,313 | Intesa Sanpaolo Spa | 2,176,437 | ||||||||
250,016 | Mediobanca Spa | 1,744,629 | ||||||||
298,427 | Mediolanum Spa | 2,169,297 | ||||||||
601,502 | Milano Assicurazioni Spa* | 429,910 | ||||||||
167,158 | Pirelli & C. Spa‡ | 2,177,883 | ||||||||
176,991 | Recordati Spa | 2,127,506 |
46 | See accompanying Notes to the Financial Statements. |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Italy — continued | ||||||||||
91,992 | Societa Iniziative Autostradali e Servizi Spa | 905,297 | ||||||||
1,662,638 | Telecom Italia Spa | 1,372,885 | ||||||||
5,465,327 | Telecom Italia Spa-RNC | 3,631,749 | ||||||||
1,204,707 | UniCredit Spa | 7,684,106 | ||||||||
110,068 | Unione di Banche Italiane SCPA | 556,938 | ||||||||
|
| |||||||||
Total Italy | 44,612,418 | |||||||||
|
| |||||||||
Japan — 23.8% | ||||||||||
23,300 | Advantest Corp. | 268,559 | ||||||||
245,100 | Aeon Credit Service Co., Ltd. | 7,705,819 | ||||||||
18,900 | Aica Kogyo Co., Ltd. | 376,555 | ||||||||
29,000 | Aichi Steel Corp. | 158,706 | ||||||||
110,600 | Aisin Seiki Co., Ltd. | 4,717,055 | ||||||||
63,400 | Alpine Electronics, Inc. | 689,404 | ||||||||
44,900 | Amano Corp. | 464,443 | ||||||||
275,000 | Asahi Glass Co., Ltd. | 1,706,752 | ||||||||
96,900 | Astellas Pharma, Inc. | 4,937,580 | ||||||||
220,000 | Bank of Yokohama, Ltd. (The) | 1,257,783 | ||||||||
78,000 | Bridgestone Corp. | 2,841,783 | ||||||||
61,500 | Brother Industries, Ltd. | 693,187 | ||||||||
255,000 | Calsonic Kansei Corp. | 1,364,331 | ||||||||
263,000 | Canon, Inc. | 8,389,197 | ||||||||
44,614 | Canon, Inc., Sponsored ADR | 1,427,648 | ||||||||
203,000 | Central Glass Co., Ltd. | 672,357 | ||||||||
10,400 | Central Japan Railway Co. | 1,333,320 | ||||||||
210,294 | Chiba Bank, Ltd. (The) | 1,534,477 | ||||||||
127,500 | Chubu Electric Power Co., Inc. | 1,748,943 | ||||||||
68,700 | Chugai Pharmaceutical Co., Ltd. | 1,410,057 | ||||||||
178,000 | Chuo Mitsui Trust Holdings, Inc. | 879,796 | ||||||||
205,900 | Citizen Holdings Co., Ltd. | 1,443,661 | ||||||||
49,100 | Coca-Cola Central Co., Ltd. | 789,603 | ||||||||
700 | Coca-Cola West Co., Ltd. | 13,989 | ||||||||
92,200 | COMSYS Holdings Corp. | 1,285,397 | ||||||||
67,000 | Dai Nippon Printing Co., Ltd. | 708,749 | ||||||||
241,500 | Dai-ichi Life Insurance Co., Ltd. (The) | 3,445,605 | ||||||||
67,000 | Daicel Corp. | 604,280 | ||||||||
100,000 | Daihatsu Motor Co., Ltd. | 1,936,306 | �� | |||||||
112,300 | Daiichi Sanyko Co., Ltd. | 2,034,847 | ||||||||
132,460 | Daikin Industries, Ltd. | 7,033,035 | ||||||||
299,130 | Daiwa House Industry Co., Ltd. | 5,633,552 | ||||||||
336,246 | Daiwa Securities Group, Inc. | 3,015,506 | ||||||||
28,700 | Denso Corp. | 1,339,577 | ||||||||
133,100 | Disco Corp. | 7,623,154 | ||||||||
22,100 | East Japan Railway Co. | 1,900,882 | ||||||||
18,300 | Eisai Co., Ltd. | 744,122 | ||||||||
17,600 | Fanuc, Ltd. | 2,907,475 | ||||||||
218,000 | Fuji Electric Holdings Co., Ltd. | 888,662 | ||||||||
124,000 | Fuji Heavy Industries, Ltd. | 3,424,612 | ||||||||
183,900 | Fuji Media Holdings, Inc. | 4,044,394 |
See accompanying Notes to the Financial Statements. | 47 |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
255,700 | FUJIFILM Holdings Corp. | 6,134,194 | ||||||||
394,000 | Fujikura, Ltd. | 1,525,809 | ||||||||
145,000 | Fujitsu General, Ltd. | 1,669,809 | ||||||||
375,000 | Fujitsu, Ltd.* | 1,398,726 | ||||||||
426,000 | Fukuoka Financial Group, Inc. | 1,923,241 | ||||||||
61,597 | Glory, Ltd. | 1,547,379 | ||||||||
1,766 | GungHo Online Entertainment, Inc.* | 1,373,206 | ||||||||
206,294 | Hachijuni Bank, Ltd. (The) | 1,282,439 | ||||||||
249,000 | Hankyu Hanshin Holdings, Inc. | 1,382,981 | ||||||||
209,000 | Hino Motors, Ltd. | 3,075,628 | ||||||||
22,900 | Hirose Electric Co., Ltd. | 3,514,640 | ||||||||
62,200 | Hitachi Capital Corp. | 1,499,139 | ||||||||
68,600 | Hitachi Chemical Co., Ltd. | 1,103,892 | ||||||||
30,600 | Hitachi Construction Machinery Co., Ltd. | 684,504 | ||||||||
31,300 | Hitachi High-Technologies Corp. | 701,758 | ||||||||
59,500 | Hitachi Koki Co., Ltd. | 469,936 | ||||||||
213,000 | Hitachi, Ltd. | 1,404,443 | ||||||||
4,300 | Hogy Medical Co., Ltd. | 238,390 | ||||||||
126,579 | Ibiden Co., Ltd. | 2,067,833 | ||||||||
17,200 | Idemitsu Kosan Co., Ltd. | 1,489,936 | ||||||||
511,600 | Inpex Holdings, Inc. | 6,037,532 | ||||||||
180,000 | Isuzu Motors, Ltd. | 1,185,019 | ||||||||
43,500 | Ito En, Ltd. | 989,029 | ||||||||
102,100 | Itochu Corp. | 1,250,693 | ||||||||
87,000 | Japan Aviation Electronics Industry, Ltd. | 1,004,545 | ||||||||
23,300 | Japan Petroleum Exploration Co. | 1,002,048 | ||||||||
423,100 | Japan Tobacco, Inc. | 15,220,820 | ||||||||
49,700 | JFE Holdings, Inc. | 1,288,021 | ||||||||
295,714 | Joyo Bank, Ltd. (The) | 1,588,191 | ||||||||
39,400 | JTEKT Corp. | 538,851 | ||||||||
589,000 | JX Holdings, Inc. | 3,055,297 | ||||||||
174,000 | Kajima Corp. | 707,526 | ||||||||
10,000 | Kaken Pharmaceutical Co., Ltd. | 151,745 | ||||||||
104,000 | Kandenko Co., Ltd. | 629,564 | ||||||||
180,600 | Kaneka Corp. | 1,177,926 | ||||||||
382,208 | Kao Corp. | 11,919,047 | ||||||||
274,000 | Kawasaki Heavy Industries, Ltd. | 1,186,752 | ||||||||
420,000 | Kawasaki Kisen Kaisha, Ltd. | 984,459 | ||||||||
469,580 | KDDI Corp. | 24,119,064 | ||||||||
177,800 | Kenedix, Inc.* | 942,227 | ||||||||
228,000 | Kintetsu Corp. | 850,426 | ||||||||
48,000 | Kirin Holdings Co., Ltd. | 699,027 | ||||||||
51,200 | Kobayashi Pharmaceutical Co., Ltd. | 2,932,423 | ||||||||
163,650 | Komatsu, Ltd. | 4,067,693 | ||||||||
442,300 | Konica Minolta Holdings, Inc. | 3,714,193 | ||||||||
58,186 | Kose Corp. | 1,684,059 | ||||||||
162,000 | Kubota Corp. | 2,339,404 | ||||||||
7,600 | Kyocera Corp. | 403,526 | ||||||||
65,173 | Lawson, Inc. | 5,107,571 |
48 | See accompanying Notes to the Financial Statements. |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
89,000 | Lion Corp. | 542,390 | ||||||||
210,000 | Marubeni Corp. | 1,652,178 | ||||||||
352,000 | Maruha Nichiro Holdings, Inc. | 667,231 | ||||||||
159,500 | Matsushita Electric Industrial Co., Ltd. | 1,540,953 | ||||||||
705,000 | Mazda Motor Corp.* | 3,139,720 | ||||||||
70,000 | Medipal Holdings Corp. | 863,898 | ||||||||
362,500 | Mitsubishi Chemical Holdings Corp. | 1,691,975 | ||||||||
45,200 | Mitsubishi Co. | 914,825 | ||||||||
195,000 | Mitsubishi Electric Corp. | 2,046,879 | ||||||||
42,000 | Mitsubishi Estate Co., Ltd. | 1,239,562 | ||||||||
297,000 | Mitsubishi Heavy Industries, Ltd. | 1,704,061 | ||||||||
550,000 | Mitsubishi Materials Corp. | 2,270,064 | ||||||||
152,300 | Mitsubishi Tanabe Pharma Corp. | 2,137,244 | ||||||||
196,400 | Mitsui & Co., Ltd. | 2,854,180 | ||||||||
432,000 | Mitsui Chemicals, Inc. | 1,184,285 | ||||||||
577,000 | Mitsui Engineering & Shipbuilding Co., Ltd. | 1,181,931 | ||||||||
54,000 | Mitsui Fudosan Co., Ltd. | 1,813,299 | ||||||||
553,400 | Mizuho Financial Group, Inc. | 1,201,266 | ||||||||
21,000 | Modec, Inc. | 658,089 | ||||||||
260,000 | Morinaga Milk Industry Co., Ltd. | 821,401 | ||||||||
46,800 | MS&AD Insurance Group Holdings | 1,220,973 | ||||||||
5,000 | Murata Manufacturing Co., Ltd. | 381,656 | ||||||||
504,000 | NEC Corp. | 1,165,941 | ||||||||
38,000 | NGK Insulators, Ltd. | 576,245 | ||||||||
113,000 | NHK Spring Co., Ltd. | 1,156,199 | ||||||||
187,000 | Nichirei Corp. | 1,017,661 | ||||||||
95,130 | Nidec Corp. | 7,852,769 | ||||||||
48,100 | Nihon Kohden Corp. | 1,968,117 | ||||||||
16,300 | Nintendo Co., Ltd. | 1,848,856 | ||||||||
108,000 | Nippon Electric Glass Co., Ltd. | 577,834 | ||||||||
143,000 | Nippon Express Co., Ltd. | 717,004 | ||||||||
41,000 | Nippon Konpo Unyu Soko Co., Ltd. | 717,840 | ||||||||
72,500 | Nippon Paper Industries Co., Ltd. | 1,145,223 | ||||||||
23,000 | Nippon Telegraph & Telephone Corp. | 1,190,726 | ||||||||
186,500 | Nippon Television Network Corp. | 3,457,259 | ||||||||
440,000 | Nippon Yusen KK | 1,390,064 | ||||||||
251,000 | Nishimatsu Construction Co., Ltd. | 729,019 | ||||||||
77,900 | Nissan Chemical Industries, Ltd. | 1,172,569 | ||||||||
2,050 | Nisshin Seifun Group, Inc. | 20,683 | ||||||||
68,200 | Nisshin Steel Holdings Co., Ltd. | 903,541 | ||||||||
92,000 | Nisshinbo Holdings, Inc. | 758,502 | ||||||||
23,200 | Nissin Kogyo Co., Ltd. | 440,239 | ||||||||
91,700 | NKSJ Holdings, Inc. | 2,355,931 | ||||||||
125,000 | Nomura Holdings, Inc. | 974,522 | ||||||||
85,036 | Nomura Holdings, Inc., ADR | 664,131 | ||||||||
176,241 | Nomura Research Institute, Ltd. | 6,124,655 | ||||||||
442,941 | North Pacific Bank, Ltd. | 1,864,302 | ||||||||
236,000 | NTT DoCoMo, Inc. | 3,828,912 | ||||||||
114,500 | Obic Co., Ltd. | 3,693,172 |
See accompanying Notes to the Financial Statements. | 49 |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
15,900 | Okinawa Electric Power Co. (The), Inc. | 549,310 | ||||||||
20,200 | Omron Corp. | 729,773 | ||||||||
741,100 | Orix Corp. | 12,046,415 | ||||||||
331,000 | Osaka Gas Co., Ltd. | 1,410,018 | ||||||||
123,800 | Otsuka Holdings Co., Ltd. | 3,590,673 | ||||||||
23,700 | Pola Orbis Holdings, Inc. | 850,181 | ||||||||
192,000 | Press Kogyo Co., Ltd. | 847,246 | ||||||||
584,190 | Rakuten, Inc. | 8,840,990 | ||||||||
149,400 | Resona Holdings, Inc. | 764,319 | ||||||||
212,000 | Ricoh Company, Ltd. | 2,443,536 | ||||||||
90,400 | Round One Corp. | 522,362 | ||||||||
23,534 | Sankyo Co., Ltd. | 1,150,018 | ||||||||
65,333 | Santen Pharmaceutical Co., Ltd. | 3,172,604 | ||||||||
87,640 | Shin-Etsu Chemical Co., Ltd. | 5,358,879 | ||||||||
125,200 | Shinko Electric Industries Co., Ltd. | 1,311,649 | ||||||||
97,900 | Shionogi & Co., Ltd. | 2,056,274 | ||||||||
130,400 | Showa Corp. | 1,751,513 | ||||||||
204,100 | Showa Shell Sekiyu KK | 2,283,840 | ||||||||
125,000 | SKY Perfect JSAT Holdings, Inc. | 650,955 | ||||||||
7,500 | SMC Corp. | 1,783,949 | ||||||||
79,900 | Sodick Co., Ltd. | 386,777 | ||||||||
65,889 | Sony Corp., Sponsored ADR | 1,417,931 | ||||||||
54,900 | Sony Corp. | 1,173,811 | ||||||||
191,700 | Sony Financial Holdings, Inc. | 3,512,628 | ||||||||
406,000 | Sumitomo Chemical Co., Ltd. | 1,547,455 | ||||||||
89,900 | Sumitomo Corp. | 1,211,188 | ||||||||
202,800 | Sumitomo Electric Industries, Ltd. | 2,938,921 | ||||||||
47,400 | Sumitomo Forestry Co., Ltd. | 513,973 | ||||||||
7,000 | Sumitomo Metal Mining Co., Ltd. | 98,874 | ||||||||
124,841 | Sumitomo Mitsui Financial Group | 6,036,897 | ||||||||
50,800 | Suzuki Motor Corp. | 1,217,647 | ||||||||
255,200 | T&D Holdings, Inc. | 3,157,328 | ||||||||
22,500 | Tachi-S Co., Ltd. | 340,968 | ||||||||
87,000 | Taisei Corp. | 428,240 | ||||||||
52,100 | Takeda Pharmaceutical Co., Ltd. | 2,460,978 | ||||||||
40,300 | TDK Corp. | 1,581,197 | ||||||||
29,500 | Terumo Corp. | 1,512,204 | ||||||||
286,000 | Toagosei Co., Ltd. | 1,273,702 | ||||||||
23,600 | Tokai Rika Co., Ltd. | 499,298 | ||||||||
204,780 | Tokio Marine Holdings, Inc. | 6,688,610 | ||||||||
610,300 | Tokyo Electric Power Co., Inc.* | 3,800,187 | ||||||||
23,500 | Tokyo Electron, Ltd. | 1,259,720 | ||||||||
184,000 | Tokyo Gas Co., Ltd. | 1,008,836 | ||||||||
37,700 | Tokyo Ohka Kogyo Co., Ltd. | 837,564 | ||||||||
60,000 | Tokyu Land Corp.* **** | 624,306 | ||||||||
156,000 | Toppan Printing Co., Ltd. | 1,257,539 | ||||||||
34,000 | TOTO, Ltd. | 476,087 | ||||||||
225,000 | Toyo Ink SC Holdings Co., Ltd. | 1,169,427 | ||||||||
24,300 | Toyoda Gosei Co., Ltd. | 598,306 |
50 | See accompanying Notes to the Financial Statements. |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
18,500 | Toyota Industries Corp. | 797,503 | ||||||||
256,320 | Toyota Motor Corp. | 16,378,358 | ||||||||
13,100 | Toyota Tsusho Corp. | 342,302 | ||||||||
12,300 | TS Tech Co., Ltd. | 483,852 | ||||||||
21,900 | TV Asahi Corp. | 508,861 | ||||||||
102,300 | Ushio, Inc. | 1,266,696 | ||||||||
233,270 | USS Co., Ltd. | 3,378,106 | ||||||||
19,800 | Valor Co., Ltd. | 300,052 | ||||||||
12,000 | West Japan Railway Co. | 514,242 | ||||||||
49,600 | Yamaha Corp. | 707,669 | ||||||||
377,462 | Yamato Holdings Co., Ltd. | 8,509,003 | ||||||||
51,000 | Yaskawa Electric Corp. | 716,729 | ||||||||
396,920 | Yokogawa Electric Corp. | 5,654,972 | ||||||||
|
| |||||||||
Total Japan | 447,403,145 | |||||||||
|
| |||||||||
Luxembourg — 0.7% | ||||||||||
242,099 | Subsea 7 SA | 5,031,778 | ||||||||
330,338 | Tenaris SA‡ | 7,753,794 | ||||||||
28,201 | Tenaris SA, ADR | 1,319,243 | ||||||||
|
| |||||||||
Total Luxembourg | 14,104,815 | |||||||||
|
| |||||||||
Malaysia — 0.2% | ||||||||||
897,900 | Genting Malaysia Bhd | 1,162,491 | ||||||||
557,200 | Petronas Chemicals Group Bhd | 1,170,983 | ||||||||
389,800 | Sime Darby Bhd | 1,136,094 | ||||||||
|
| |||||||||
Total Malaysia | 3,469,568 | |||||||||
|
| |||||||||
Malta — 0.1% | ||||||||||
26,735 | Unibet Group Plc, ADR | 1,073,879 | ||||||||
|
| |||||||||
Mexico — 0.2% | ||||||||||
1,153,200 | America Movil SAB de CV Series LSeries L | 1,137,103 | ||||||||
1,275,900 | Fibra Uno Administracion SA de CV REIT | 3,517,418 | ||||||||
|
| |||||||||
Total Mexico | 4,654,521 | |||||||||
|
| |||||||||
Netherlands — 1.4% | ||||||||||
32,156 | ASM International NV | 1,118,669 | ||||||||
155,717 | Delta Lloyd NV | 3,315,671 | ||||||||
10,153 | Eurocommercial Properties NV REIT | 411,415 | ||||||||
32,729 | Heineken Holding NV | 2,071,417 | ||||||||
124,715 | Heineken NV | 8,844,509 | ||||||||
478,903 | ING Groep NV, ADR* | 5,413,681 | ||||||||
130,694 | Koninklijke Ahold NV | 2,265,384 | ||||||||
49,840 | Koninklijke Boskalis Westminster NV | 2,208,835 | ||||||||
128,600 | Koninklijke KPN NV* | 409,957 | ||||||||
|
| |||||||||
Total Netherlands | 26,059,538 | |||||||||
|
|
See accompanying Notes to the Financial Statements. | 51 |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
New Zealand — 0.3% | ||||||||||
334,864 | Fisher & Paykel Healthcare Corp., Ltd. | 1,009,648 | ||||||||
251,223 | Ryman Healthcare, Ltd. | 1,454,244 | ||||||||
166,362 | Sky City Entertainment Group, Ltd.‡ | 555,637 | ||||||||
605,423 | Sky Network Television, Ltd. | 2,934,775 | ||||||||
141,578 | Trade Me, Ltd. | 537,717 | ||||||||
|
| |||||||||
Total New Zealand | 6,492,021 | |||||||||
|
| |||||||||
Norway — 1.8% | ||||||||||
596,652 | DnB NOR ASA | 9,057,543 | ||||||||
45,590 | Fred Olsen Energy ASA | 2,023,948 | ||||||||
2,018,051 | Marine Harvest ASA‡ | 2,154,198 | ||||||||
235,298 | Petroleum Geo-Services ASA | 2,906,870 | ||||||||
2,580,761 | Renewable Energy Corp. ASA* | 1,120,829 | ||||||||
55,144 | Statoil ASA, Sponsored ADR | 1,250,666 | ||||||||
104,673 | Statoil ASA | 2,375,668 | ||||||||
321,797 | Storebrand ASA* | 1,782,812 | ||||||||
233,113 | Telenor ASA | 5,325,639 | ||||||||
114,653 | TGS Nopec Geophysical Co. ASA | 3,374,250 | ||||||||
41,873 | Yara International ASA | 1,728,739 | ||||||||
|
| |||||||||
Total Norway | 33,101,162 | |||||||||
|
| |||||||||
Portugal — 0.1% | ||||||||||
78,782 | Banco Comercial Portugues SA Class R* | 10,238 | ||||||||
1,214,324 | Sonae | 1,515,556 | ||||||||
|
| |||||||||
Total Portugal | 1,525,794 | |||||||||
|
| |||||||||
Russia — 0.4% | ||||||||||
27,102 | Magnit OJSC**** | 6,872,462 | ||||||||
|
| |||||||||
Singapore — 0.5% | ||||||||||
145,000 | DBS Group Holdings, Ltd. | 1,897,509 | ||||||||
314,000 | Frasers Commercial Trust REIT‡ | 315,314 | ||||||||
480,000 | SembCorp Industries, Ltd. | 2,023,670 | ||||||||
368,000 | UOL Group, Ltd. | 1,803,706 | ||||||||
194,230 | Venture Corp., Ltd.‡ | 1,181,092 | ||||||||
2,491,243 | Yangzijiang Shipbuilding Holdings, Ltd.‡ | 2,174,067 | ||||||||
|
| |||||||||
Total Singapore | 9,395,358 | |||||||||
|
| |||||||||
South Africa — 0.3% | ||||||||||
24,892 | Kumba Iron Ore, Ltd. | 1,147,672 | ||||||||
101,466 | Sasol, Ltd. | 4,828,728 | ||||||||
|
| |||||||||
Total South Africa | 5,976,400 | |||||||||
|
| |||||||||
South Korea — 1.2% | ||||||||||
109,502 | Celltrion, Inc. | 4,763,504 | ||||||||
12,836 | Daelim Industrial Co., Ltd. | 1,158,575 | ||||||||
34,041 | Hyundai Motor Co. | 7,950,581 | ||||||||
18,940 | Kia Motors Corp. | 1,150,843 |
52 | See accompanying Notes to the Financial Statements. |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Korea — continued | ||||||||||
140,590 | Samsung Heavy Industries Co., Ltd. | 5,625,301 | ||||||||
6,997 | Samsung SDI Co., Ltd. | 1,220,776 | ||||||||
6,803 | SK Holdings Co., Ltd. | 1,228,076 | ||||||||
|
| |||||||||
Total South Korea | 23,097,656 | |||||||||
|
| |||||||||
Spain — 2.2% | ||||||||||
8,652 | Acciona SA‡ | 492,539 | ||||||||
210,456 | Amadeus IT Holding SA | 7,463,959 | ||||||||
288,757 | Duro Felguera SA | 1,977,833 | ||||||||
85,551 | Endesa SA* | 2,229,848 | ||||||||
79,352 | Ferrovial SA | 1,427,544 | ||||||||
77,622 | Gas Natural SDG SA | 1,621,278 | ||||||||
30,883 | Grifols SA | 1,268,775 | ||||||||
823,368 | Iberdrola SA | 4,787,004 | ||||||||
45,169 | Inditex SA | 6,964,193 | ||||||||
65,536 | International Consolidated Airlines Group SA (Barcelona Exchange)* | 358,400 | ||||||||
257,358 | International Consolidated Airlines Group SA (London Exchange)* | 1,409,917 | ||||||||
451,463 | Repsol VPF SA | 11,198,833 | ||||||||
|
| |||||||||
Total Spain | 41,200,123 | |||||||||
|
| |||||||||
Sweden — 4.0% | ||||||||||
58,026 | Assa Abloy AB | 2,665,017 | ||||||||
20,526 | Atlas Copco AB | 542,622 | ||||||||
124,895 | Atlas Copco AB Class A | 3,659,485 | ||||||||
17,343 | Axis Communications AB | 545,690 | ||||||||
15,842 | Hennes & Mauritz AB Class B | 688,375 | ||||||||
29,697 | Hexagon AB | 896,028 | ||||||||
56,953 | Holmen AB | 1,832,789 | ||||||||
118,487 | Hufvudstaden AB | 1,508,966 | ||||||||
23,321 | ICA Gruppen AB* | 718,173 | ||||||||
30,754 | Intrum Justitia AB | 823,541 | ||||||||
29,445 | Investment AB Oresund* | 561,569 | ||||||||
64,690 | JM AB‡ | 1,883,363 | ||||||||
69,504 | Meda AB | 836,459 | ||||||||
53,449 | NCC AB | 1,591,878 | ||||||||
27,785 | Nobia AB | 222,778 | ||||||||
812,189 | Nordea Bank AB | 9,799,730 | ||||||||
110,740 | Peab AB | 662,568 | ||||||||
133,557 | Saab AB | 2,671,930 | ||||||||
187,028 | Sandvik AB | 2,585,681 | ||||||||
135,648 | SAS AB* | 477,284 | ||||||||
41,774 | Scania AB Class B | 895,561 | ||||||||
85,518 | Skanska AB | 1,645,627 | ||||||||
43,721 | SKF AB | 1,217,743 | ||||||||
352,887 | Svenska Cellulosa AB Class B | 8,900,328 | ||||||||
65,743 | Swedish Match AB | 2,321,389 | ||||||||
75,739 | Swedish Orphan Biovitrum AB* | 754,666 | ||||||||
92,106 | Tele2 AB | 1,178,732 | ||||||||
201,520 | Telefonaktiebolaget LM Ericsson Class B, Sponsored ADR | 2,690,292 |
See accompanying Notes to the Financial Statements. | 53 |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Sweden — continued | ||||||||||
1,025,469 | Telefonaktiebolaget LM Ericsson | 13,650,356 | ||||||||
609,999 | TeliaSonera AB | 4,676,301 | ||||||||
62,018 | Trelleborg AB Class B | 1,176,035 | ||||||||
|
| |||||||||
Total Sweden | 74,280,956 | |||||||||
|
| |||||||||
Switzerland — 7.7% | ||||||||||
76,690 | ABB, Ltd. | 1,814,099 | ||||||||
47,297 | Actelion, Ltd. | 3,357,995 | ||||||||
172,074 | Aryzta AG | 11,503,316 | ||||||||
15,558 | Baloise-Holding AG | 1,720,542 | ||||||||
6,142 | Basilea Pharmaceutica | 529,805 | ||||||||
6,873 | Bucher Industries AG | 1,761,099 | ||||||||
5,241 | Flughafen Zuerich AG | 2,763,226 | ||||||||
13,852 | Geberit AG | 3,740,844 | ||||||||
4,945 | Georg Fischer AG | 3,010,476 | ||||||||
3,798 | Givaudan SA | 5,548,419 | ||||||||
3,844 | Helvetia Holding AG | 1,704,666 | ||||||||
49,757 | Julius Baer Group, Ltd. | 2,322,085 | ||||||||
386,994 | Nestle SA | 27,069,251 | ||||||||
139,424 | Novartis AG | 10,716,028 | ||||||||
101,400 | OC Oerlikon Corp. AG Class R | 1,356,859 | ||||||||
126,889 | Roche Holding AG | 34,225,300 | ||||||||
23,019 | Roche Holding AG, Sponsored ADR | 1,554,473 | ||||||||
11,636 | Schindler Holding AG | 1,747,491 | ||||||||
2,715 | SGS SA | 6,482,372 | ||||||||
13,901 | Swiss Life Holding | 2,631,851 | ||||||||
71,350 | Swiss Re, Ltd. | 5,902,107 | ||||||||
2,164 | Swisscom AG | 1,040,060 | ||||||||
17,587 | Syngenta AG | 7,184,559 | ||||||||
21,348 | Vontobel Holding AG | 831,020 | ||||||||
18,180 | Zurich Insurance Group AG | 4,682,468 | ||||||||
|
| |||||||||
Total Switzerland | 145,200,411 | |||||||||
|
| |||||||||
Taiwan — 0.3% | ||||||||||
296,136 | Taiwan Semiconductor Manufacturing Co., Ltd., Sponsored ADR | 5,022,467 | ||||||||
|
| |||||||||
Thailand — 0.3% | ||||||||||
463,670 | Advanced Info Service PCL (Registered Shares) | 3,779,919 | ||||||||
218,900 | PTT Exploration & Production PCL | 1,144,186 | ||||||||
514,600 | PTT Global Chemical PCL | 1,225,630 | ||||||||
|
| |||||||||
Total Thailand | 6,149,735 | |||||||||
|
| |||||||||
United Kingdom — 17.9% | ||||||||||
1,349,033 | Aberdeen Asset Management Plc | 8,270,982 | ||||||||
60,045 | Admiral Group Plc | 1,198,930 | ||||||||
516,456 | Alent Plc | 2,969,037 | ||||||||
47,556 | Amec Plc | 827,110 | ||||||||
186,418 | Amlin Plc | 1,223,239 |
54 | See accompanying Notes to the Financial Statements. |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
529,416 | Antofagasta Plc | 7,017,294 | ||||||||
350,095 | Ashmore Group Plc | 2,212,781 | ||||||||
108,543 | Ashtead Group Plc | 1,081,892 | ||||||||
143,972 | AstraZeneca Plc, Sponsored ADR | 7,476,466 | ||||||||
38,613 | AstraZeneca Plc | 2,010,648 | ||||||||
152,169 | BAE Systems Plc | 1,119,743 | ||||||||
1,738,367 | Barclays Plc | 7,474,117 | ||||||||
708,191 | Barratt Developments Plc* | 3,539,160 | ||||||||
103,000 | BBA Aviation Plc | 508,734 | ||||||||
67,668 | Bellway Plc | 1,440,997 | ||||||||
47,243 | Berendsen Plc | 694,285 | ||||||||
52,026 | Bodycote Plc | 547,631 | ||||||||
136,185 | BP Plc, Sponsored ADR | 5,723,856 | ||||||||
730,170 | BP Plc | 5,121,133 | ||||||||
254,106 | British American Tobacco Plc | 13,482,766 | ||||||||
55,605 | British American Tobacco Plc, Sponsored ADR | 5,846,866 | ||||||||
735,810 | BT Group Plc | 4,079,936 | ||||||||
32,771 | BT Group Plc, Sponsored ADR | 1,812,236 | ||||||||
276,249 | Bunzl Plc | 5,985,642 | ||||||||
505,446 | Cairn Energy Plc* | 2,146,975 | ||||||||
311,106 | Centrica Plc | 1,862,566 | ||||||||
1,438,922 | Cobham Plc | 6,694,633 | ||||||||
734,434 | Compass Group Plc | 10,109,405 | ||||||||
42,211 | Dairy Crest Group Plc | 311,364 | ||||||||
564,675 | Direct Line Insurance Group Plc | 1,949,574 | ||||||||
980,233 | DSG International Plc* | 740,834 | ||||||||
55,982 | easyJet Plc | 1,158,599 | ||||||||
123,934 | Galliford Try Plc | 2,087,266 | ||||||||
326,512 | GlaxoSmithKline Plc, Sponsored ADR | 16,381,107 | ||||||||
499,672 | GlaxoSmithKline Plc | 12,602,798 | ||||||||
22,781 | Greene King Plc | 295,501 | ||||||||
346,543 | Halma Plc | 3,179,149 | ||||||||
955,097 | Hays Plc | 1,831,273 | ||||||||
663,726 | Henderson Group Plc, ADR | 2,029,417 | ||||||||
208,685 | Home Retail Group | 568,084 | ||||||||
1,714,996 | HSBC Holdings Plc (Ordinary Shares) | 18,590,998 | ||||||||
329,406 | ICAP Plc | 1,996,665 | ||||||||
140,055 | IG Group Holdings Plc | 1,313,201 | ||||||||
57,324 | Imperial Tobacco Group Plc | 2,123,032 | ||||||||
106,095 | Inchcape Plc | 1,048,901 | ||||||||
62,257 | Inmarsat Plc | 714,806 | ||||||||
42,086 | InterContinental Hotels Group Plc | 1,228,136 | ||||||||
277,628 | Intermediate Capital Group Plc | 2,006,972 | ||||||||
1,059,726 | ITV Plc | 3,008,357 | ||||||||
139,808 | J Sainsbury Plc | 886,375 | ||||||||
124,582 | Jardine Lloyd Thompson Group Plc | 1,906,518 | ||||||||
152,087 | John Wood Group Plc | 1,975,242 | ||||||||
841,680 | Legal & General Group Plc | 2,674,237 | ||||||||
77,697 | London Stock Exchange Group Plc | 1,933,891 |
See accompanying Notes to the Financial Statements. | 55 |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
230,753 | Man Group Plc | 313,519 | ||||||||
231,023 | Meggitt Plc | 2,053,910 | ||||||||
194,976 | Mitchells & Butlers Plc* | 1,297,708 | ||||||||
116,174 | Mondi Plc | 1,962,217 | ||||||||
1,689,704 | Old Mutual Plc | 5,133,308 | ||||||||
218,949 | Pearson Plc | 4,456,892 | ||||||||
100,725 | Persimmon Plc | 1,771,418 | ||||||||
85,878 | Petrofac, Ltd. | 1,953,944 | ||||||||
837,716 | Prudential Plc | 15,614,426 | ||||||||
925,195 | QinetiQ Group Plc | 2,870,666 | ||||||||
140,084 | Reckitt Benckiser Group Plc | 10,253,706 | ||||||||
169,078 | Reed Elsevier Plc | 2,280,794 | ||||||||
75,888 | Restaurant Group Plc (The) | 653,791 | ||||||||
17,426 | �� | Rightmove Plc | 668,523 | |||||||
321,022 | Rolls-Royce Holdings Plc | 5,780,874 | ||||||||
62,242 | Royal Dutch Shell Plc Class A (Amsterdam Exchange) | 2,054,111 | ||||||||
282,952 | Royal Dutch Shell Plc Class A (London Exchange) | 9,347,529 | ||||||||
127,427 | SABMiller Plc | 6,486,775 | ||||||||
132,967 | Shire Plc | 5,335,794 | ||||||||
19,179 | Shire Plc, ADR | 2,299,370 | ||||||||
69,739 | Spectris Plc | 2,491,352 | ||||||||
239,153 | Stagecoach Group Plc | 1,262,934 | ||||||||
303,235 | Standard Chartered Plc | 7,272,576 | ||||||||
549,233 | Standard Life Plc | 3,072,082 | ||||||||
2,359,851 | Taylor Wimpey Plc | 3,836,827 | ||||||||
58,394 | The Berkeley Group Holdings Unit Plc | 1,959,349 | ||||||||
64,878 | Ultra Electronics Holdings Plc | 1,984,647 | ||||||||
106,963 | United Business Media, Ltd. | 1,237,627 | ||||||||
4,270,189 | Vodafone Group Plc | 14,936,703 | ||||||||
250,625 | Vodafone Group Plc, Sponsored ADR | 8,816,987 | ||||||||
54,886 | Weir Group Plc (The) | 2,070,958 | ||||||||
176,457 | WH Smith Plc | 2,363,188 | ||||||||
907,601 | William Hill Plc | 5,923,166 | ||||||||
|
| |||||||||
Total United Kingdom | 336,839,028 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $1,505,752,903) | 1,787,956,585 | |||||||||
|
| |||||||||
INVESTMENT COMPANIES — 1.3% | ||||||||||
United States — 1.3% | ||||||||||
297,193 | iShares MSCI EAFE Index Fund | 18,957,942 | ||||||||
328,386 | iShares MSCI Taiwan Index Fund | 4,571,133 | ||||||||
|
| |||||||||
Total United States | 23,529,075 | |||||||||
|
| |||||||||
TOTAL INVESTMENT COMPANIES (COST $22,107,969) | 23,529,075 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 1.2% | ||||||||||
Brazil — 0.1% | ||||||||||
90,800 | Itau Unibanco Holding SA, 3.43% | 1,283,245 | ||||||||
|
|
56 | See accompanying Notes to the Financial Statements. |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Germany — 1.1% | ||||||||||
90,268 | Henkel AG & Co. KGaA, 1.30% | 9,307,315 | ||||||||
49,308 | Porsche Automobil Holding SE, 3.13% | 4,311,779 | ||||||||
29,852 | Volkswagen AG, 2.10% | 7,041,300 | ||||||||
|
| |||||||||
Total Germany | 20,660,394 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $16,908,377) | 21,943,639 | |||||||||
|
| |||||||||
RIGHTS — 0.0% | ||||||||||
Norway — 0.0% | ||||||||||
44,496 | Renewable Energy, Strike Price $0.00, Expires 10/13/2013* **** | — | ||||||||
|
| |||||||||
United Kingdom — 0.0% | ||||||||||
132,225 | Barclays Plc, Strike Price $0.00, Expires 10/02/2013* | 172,906 | ||||||||
|
| |||||||||
TOTAL RIGHTS (COST $—) | 172,906 | |||||||||
|
| |||||||||
Notional | Description | Value ($) | ||||||||
OPTIONS PURCHASED — 0.0% | ||||||||||
Put Options — 0.0% | ||||||||||
3,143,726,881 | OTC Japanese Yen versus U.S. Dollar with Deutsche Bank Securities, Strike Price $102.50, Expires 04/02/14 | 440,458 | ||||||||
1,126,158,133 | OTC Japanese Yen versus U.S. Dollar with JP Morgan Securities, Inc., Strike Price $0.01, Expires 01/20/14 | 262,198 | ||||||||
|
| |||||||||
TOTAL OPTIONS PURCHASED (COST $683,923) | 702,656 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 5.0% | ||||||||||
Bank Deposit — 2.4% |
| |||||||||
44,236,799 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/01/13 | 44,236,799 | ||||||||
|
| |||||||||
Securities Lending Collateral — 2.6% |
| |||||||||
49,103,414 | State Street Navigator Securities Lending Prime Portfolio*** | 49,103,414 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $93,340,213) | 93,340,213 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 102.7% (Cost $1,638,793,385) | 1,927,645,074 | |||||||||
Other Assets and Liabilities (net) — (2.7)% | (50,073,269 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 1,877,571,805 | ||||||||
|
|
See accompanying Notes to the Financial Statements. | 57 |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Notes to Schedule of Investments: | ||||||
ADR — American Depository Receipt | ||||||
REIT — Real Estate Investment Trust | ||||||
* | Non-income producing security | |||||
‡ | All or a portion of this security is out on loan. | |||||
¤ | Illiquid security. The total market value of the securities at period end is $0 which represents 0.0% of net assets. The aggregate tax cost of these securities held at September 30, 2013 was $0. | |||||
*** | Represents an investment of securities lending cash collateral. | |||||
**** | Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at period end is $7,496,768 which represents 0.4% of net assets. The aggregate tax cost of these securities held at September 30, 2013 was $5,910,599. |
58 | See accompanying Notes to the Financial Statements. |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
September 30, 2013 (Unaudited)
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Pharmaceuticals | 8.2 | ||||
Telecommunications | 8.2 | ||||
Insurance | 7.0 | ||||
Banks | 6.6 | ||||
Chemicals | 4.7 | ||||
Food | 4.4 | ||||
Oil & Gas | 4.3 | ||||
Auto Manufacturers | 4.1 | ||||
Diversified Financial Services | 3.4 | ||||
Electric | 2.1 | ||||
Agriculture | 2.0 | ||||
Auto Parts & Equipment | 2.0 | ||||
Electronics | 1.9 | ||||
Media | 1.7 | ||||
Retail | 1.7 | ||||
Transportation | 1.7 | ||||
Commercial Services | 1.5 | ||||
Mining | 1.5 | ||||
Engineering & Construction | 1.4 | ||||
Holding Companies — Diversified | 1.4 | ||||
Real Estate | 1.4 | ||||
Aerospace & Defense | 1.3 | ||||
Beverages | 1.3 | ||||
Internet | 1.3 | ||||
Machinery — Diversified | 1.2 | ||||
Miscellaneous — Manufacturing | 1.2 | ||||
Software | 1.2 | ||||
Home Builders | 1.1 | ||||
Electrical Components & Equipment | 1.0 | ||||
Forest Products & Paper | 1.0 | ||||
Household Products & Wares | 1.0 | ||||
Semiconductors | 1.0 | ||||
Unaffiliated Fund | 1.0 | ||||
Building Materials | 0.9 | ||||
Health Care — Products | 0.8 | ||||
Metal Fabricate & Hardware | 0.8 | ||||
Oil & Gas Services | 0.8 | ||||
Computers | 0.7 | ||||
Cosmetics & Personal Care | 0.7 | ||||
Hand & Machine Tools | 0.7 | ||||
Machinery — Construction & Mining | 0.7 | ||||
Apparel | 0.6 | ||||
Distribution & Wholesale | 0.6 | ||||
Entertainment | 0.6 | ||||
Biotechnology | 0.5 | ||||
Food Service | 0.5 | ||||
Lodging | 0.5 | ||||
Gas | 0.4 | ||||
Iron & Steel | 0.4 | ||||
Office & Business Equipment | 0.4 | ||||
Shipbuilding | 0.4 |
See accompanying Notes to the Financial Statements. | 59 |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
September 30, 2013 (Unaudited)
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Airlines | 0.3 | ||||
Equity Fund | 0.3 | ||||
Health Care — Services | 0.3 | ||||
Home Furnishings | 0.3 | ||||
REITS | 0.2 | ||||
Coal | 0.1 | ||||
Energy-Alternate Sources | 0.1 | ||||
Leisure Time | 0.1 | ||||
Toys, Games & Hobbies | 0.1 | ||||
Water | 0.1 | ||||
Investment Companies | 0.0 | ||||
Packaging & Containers | 0.0 | ||||
Textiles | 0.0 | ||||
Short-Term Investments and Other Assets and Liabilities (net) | 2.3 | ||||
|
| ||||
100.0 | % | ||||
|
|
60 | See accompanying Notes to the Financial Statements. |
Mercer Core Fixed Income Fund
(formerly known as Mercer Core Opportunistic Fixed Income Fund)
Schedule of Investments
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 100.1% | ||||||||||
Asset Backed Securities — 4.4% | ||||||||||
17,275 | ACE Securities Corp., Series 2005-SD3, Class A, 0.58%, due 08/25/45† | 17,267 | ||||||||
6,700,000 | ACE Securities Corp. Home Equity Loan Trust, Series 2005-SD3, Class M1, 0.88%, due 08/25/45† | 6,384,122 | ||||||||
452,197 | Ameriquest Mortgage Securities, Inc., Series 2003-9, Class AV1, 0.94%, due 09/25/33† | 430,809 | ||||||||
316,867 | Ameriquest Mortgage Securities, Inc., Series 2004-R2, Class A1A, 0.87%, due 04/25/34† | 300,109 | ||||||||
263,738 | Asset Backed Securities Corp. Home Equity, Series 2003-HE7, Class M1, 1.16%, due 12/15/33† | 243,584 | ||||||||
210,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2010-5A, Class A, 3.15%, due 03/20/17 144A | 218,746 | ||||||||
250,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2012-2A, Class A, 2.80%, due 05/20/18 144A | 258,683 | ||||||||
200,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2012-3A, Class A, 2.10%, due 03/20/19 144A | 199,681 | ||||||||
220,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A, 1.92%, due 09/20/19 144A | 215,822 | ||||||||
240,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2013-2A, Class A, 2.97%, due 02/20/20 144A | 245,325 | ||||||||
23,749 | Bayview Financial Acquisition Trust, Series 2004-A, Class A, 0.85%, due 02/28/44† | 23,340 | ||||||||
39,183 | Bayview Financial Acquisition Trust, Series 2004-C, Class A1, 0.81%, due 05/28/44† | 38,688 | ||||||||
135,290 | Bear Stearns Asset Backed Securities Trust, Series 2004-SD3, Class A3, 0.75%, due 09/25/34† | 130,747 | ||||||||
464,070 | Bear Stearns Asset Backed Securities, Inc., Series 2005-AQ2, Class A3, 0.54%, due 09/25/35† | 443,003 | ||||||||
29,673 | Bear Stearns Asset Backed Securities, Inc., Series 2005-SD4, Class 2A1, 0.58%, due 12/25/42† | 29,032 | ||||||||
1,362,727 | BNSF Railway Co. 2007-1 Pass Through Trust, 6.00%, due 04/01/24 | 1,513,989 | ||||||||
776,032 | Burlington Northern and Santa Fe Railway Co. 2006-1 Pass Through Trust, 5.72%, due 01/15/24 | 885,747 | ||||||||
3,020,000 | Chase Issuance Trust, Series 2012-A8, Class A8, 0.54%, due 10/16/17 | 3,014,550 | ||||||||
250,921 | Citigroup Mortgage Loan Trust, Inc., Series 2006-SHL1, Class A, 0.38%, due 11/25/45† 144A | 240,694 | ||||||||
57,880 | Citigroup Mortgage Loan Trust, Inc., Series 2007-AHL2, Class A3A, 0.25%, due 05/25/37† | 44,249 | ||||||||
88,856 | Continental Airlines Pass Through Trust, Series 1998-1, Class A, 6.65%, due 03/15/19 | 93,520 | ||||||||
38,087 | Countrywide Home Equity Loan Trust, Series 2005-G, Class 2A, 0.41%, due 12/15/35† | 29,197 | ||||||||
94,216 | CVS Pass-Through Trust, 5.88%, due 01/10/28 | 103,412 | ||||||||
220,580 | CVS Pass-Through Trust, 6.04%, due 12/10/28 | 243,712 | ||||||||
51,976 | CVS Pass-Through Trust, 6.94%, due 01/10/30 | 60,569 | ||||||||
201,825 | Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.82%, due 02/10/24 | 224,530 | ||||||||
1,170,000 | Educational Funding of the South, Inc., Series 2011-1, Class A2, 0.92%, due 04/25/35† | 1,167,443 | ||||||||
425,000 | Greenpoint Manufactured Housing, Series 1999-2, Class A2, 2.95%, due 03/18/29† | 365,515 | ||||||||
250,000 | Greenpoint Manufactured Housing, Series 1999-3, Class 2A2, 3.58%, due 06/19/29† | 246,374 | ||||||||
250,000 | Greenpoint Manufactured Housing, Series 1999-4, Class A2, 3.68%, due 02/20/30† | 208,393 | ||||||||
375,000 | Greenpoint Manufactured Housing, Series 2001-2, Class IA2, 3.69%, due 02/20/32† | 336,847 |
See accompanying Notes to the Financial Statements. | 61 |
Mercer Core Fixed Income Fund
(formerly known as Mercer Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Asset Backed Securities — continued | ||||||||||
500,000 | Greenpoint Manufactured Housing, Series 2001-2, Class IIA2, 3.69%, due 03/13/32† | 440,103 | ||||||||
14,404 | Greenpoint Mortgage Funding Trust, Series 2005-HE4, Class 2A1, 0.62%, due 07/25/30† | 14,304 | ||||||||
211,521 | GSAA Trust, Series 2006-14, Class A1, 0.23%, due 09/25/36† | 103,296 | ||||||||
144,217 | GSAMP Trust, Series 2004-SEA2, Class A2B, 0.73%, due 03/25/34† | 144,363 | ||||||||
154,038 | GSAMP Trust, Series 2006-S4, Class A1, 0.27%, due 05/25/36† | 31,594 | ||||||||
280,000 | Hertz Vehicle Financing LLC, Series 2009-2A, Class A2, 5.29%, due 03/25/16 144A | 295,198 | ||||||||
470,000 | Hertz Vehicle Financing LLC, Series 2013-1A, Class A2, 1.83%, due 08/25/19 144A | 460,046 | ||||||||
420,341 | Home Equity Asset Trust, Series 2003-8, Class M1, 1.26%, due 04/25/34† | 391,730 | ||||||||
755,514 | Keycorp Student Loan Trust, Series 2003-A, Class 1A2, 0.53%, due 10/25/32† | 745,836 | ||||||||
4,000,000 | Merrill Lynch Mortgage Investors Trust, Series 2005-FM1, Class M1, 0.66%, due 05/25/36† | 3,257,568 | ||||||||
140,061 | Merrill Lynch Mortgage Investors, Inc., Series 2007-MLN1, Class A2A, 0.29%, due 03/25/37† | 93,783 | ||||||||
395,752 | Morgan Stanley ABS Capital I, Series 2003-NC10, Class M1, 1.20%, due 10/25/33† | 362,221 | ||||||||
359,231 | Morgan Stanley ABS Capital I, Series 2003-NC6, Class M1, 1.38%, due 06/25/33† | 346,774 | ||||||||
281,120 | Morgan Stanley ABS Capital I, Series 2003-NC7, Class M1, 1.23%, due 06/25/33† | 265,506 | ||||||||
113,459 | Morgan Stanley ABS Capital I, Series 2007-NC2, Class A2FP, 0.33%, due 02/25/37† | 57,962 | ||||||||
1,100,000 | Nelnet Student Loan Trust, Series 2005-4, Class A4R2, 0.86%, due 03/22/32† | 991,704 | ||||||||
380,698 | New Century Home Equity Loan Trust, Series 2003-A, Class A, 0.90%, due 10/25/33† 144A | 351,080 | ||||||||
229,094 | Novastar Home Equity Loan, Series 2003-3, Class A3, 1.08%, due 12/25/33† | 211,828 | ||||||||
209,372 | NovaStar Mortgage Funding Trust, Series 2003-3, Class A2C, 1.24%, due 12/25/33† | 193,556 | ||||||||
1,558,535 | Origen Manufactured Housing, Series 2006-A, Class A2, 2.49%, due 10/15/37† | 1,267,508 | ||||||||
1,351,964 | Origen Manufactured Housing, Series 2007-A, Class A2, 2.31%, due 04/15/37† | 1,121,775 | ||||||||
1,700,000 | Ownit Mortgage Loan Trust, Series 2005-2, Class M4, 1.11%, due 03/25/36† | 1,614,801 | ||||||||
154,774 | Renaissance Home Equity Loan Trust, Series 2007-2, Class AF1, 5.89%, due 06/25/37†† | 86,246 | ||||||||
277,500 | SACO I, Inc., Series 2006-5, Class 1A, 0.48%, due 04/25/36† | 215,769 | ||||||||
109,500 | SACO I, Inc., Series 2006-6, Class A, 0.44%, due 06/25/36† | 97,404 | ||||||||
1,015,384 | Saxon Asset Securities Trust, Series 2005-1, Class M1, 0.87%, due 05/25/35† | 931,557 | ||||||||
1,100,000 | SLM Student Loan Trust, Series 2002-5, Class B, 0.68%, due 09/16/24† | 1,051,931 | ||||||||
500,000 | SLM Student Loan Trust, Series 2003-11, Class A6, 0.54%, due 12/15/25† 144A | 499,227 | ||||||||
530,000 | SLM Student Loan Trust, Series 2008-5, Class A3, 1.57%, due 01/25/18† | 535,376 | ||||||||
1,407,137 | SLM Student Loan Trust, Series 2008-9, Class A, 1.77%, due 04/25/23† | 1,447,799 | ||||||||
270,267 | SLM Student Loan Trust, Series 2009-CT, Class 1A, 2.35%, due 04/15/39† ¤ 144A | 270,847 | ||||||||
694,035 | SLM Student Loan Trust, Series 2010-1, Class A, 0.58%, due 03/25/25† | 692,347 | ||||||||
2,810,272 | SLM Student Loan Trust, Series 2010-A, Class 2A, 3.43%, due 05/16/44† 144A | 2,959,725 | ||||||||
2,000,000 | SLM Student Loan Trust, Series 2012-B, Class A2, 3.48%, due 10/15/30 144A | 2,097,841 | ||||||||
414,682 | Small Business Administration Participation Certificates, Series 2008-20L, Class 1, 6.22%, due 12/01/28 | 467,966 | ||||||||
69,650 | Soundview Home Equity Loan Trust, Series 2006-EQ2, Class A2, 0.29%, due 01/25/37† | 40,916 | ||||||||
45,362 | Soundview Home Equity Loan Trust, Series 2007-OPT1, Class 2A1, 0.26%, due 06/25/37† | 33,340 | ||||||||
2,216,152 | Specialty Underwriting & Residential Finance Trust, Series 2004-BC2, Class M1, 1.00%, due 05/25/35† | 2,025,853 | ||||||||
31,554 | Structured Asset Securities Corp., Series 2002-AL1, Class A3, 3.45%, due 02/25/32 | 31,220 |
62 | See accompanying Notes to the Financial Statements. |
Mercer Core Fixed Income Fund
(formerly known as Mercer Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Asset Backed Securities — continued | ||||||||||
616,717 | Structured Asset Securities Corp., Series 2006-ARS1, Class A1, 0.40%, due 02/25/36† 144A | 44,860 | ||||||||
79,065 | UAL Pass Through Trust, Series 2009-2A, 9.75%, due 07/15/18 | 89,936 | ||||||||
1,466,793 | Washington Mutual Alternative Mortgage Pass Through Certificates, Series 2006-AR3, Class A1A, 1.12%, due 05/25/46† | 958,844 | ||||||||
1,009,858 | Washington Mutual, Inc., Series 2005-AR8, Class 2A1A, 0.47%, due 07/25/45† | 937,800 | ||||||||
|
| |||||||||
46,237,039 | ||||||||||
|
| |||||||||
Bank Loans — 1.3% | ||||||||||
179,548 | ADS Waste Holdings, Inc., New Term Loan B, 4.25%, due 10/09/19¤ | 179,804 | ||||||||
498,750 | American Airlines, Inc., Term Loan, 4.75%, due 06/27/19¤ | 496,256 | ||||||||
200,000 | Aramark Corp., Term Loan D, 4.00%, due 09/09/19¤ | 200,905 | ||||||||
225,076 | Brickman Group Holdings, Inc., New Term Loan B2, 3.26%, due 10/14/16¤ | 226,061 | ||||||||
283,878 | Brickman Group Holdings, Inc., New Term Loan B3, 4.00%, due 09/28/18¤ | 285,120 | ||||||||
399,000 | Charter Communications Operating, LLC, Term Loan F, 3.00%, due 01/04/21¤ | 395,651 | ||||||||
399,000 | CSC Holdings, Inc., New Term Loan B, 2.68%, due 04/17/20¤ | 395,135 | ||||||||
727,343 | Del Monte Foods Company, Term Loan, 4.00%, due 03/08/18¤ | 726,662 | ||||||||
491,937 | Dunkin Brands, Inc., Term Loan B3, 3.75%, due 02/11/20¤ | 491,383 | ||||||||
402,893 | Emergency Medical Services Corp., Term Loan, 4.00%, due 05/25/18¤ | 402,977 | ||||||||
459,425 | Exopack, LLC, Term Loan, 5.00%, due 05/31/17¤ | 460,574 | ||||||||
400,000 | First Data Corp., Term Loan, 4.18%, due 09/24/18¤ | 397,850 | ||||||||
990,000 | Fotesque Metal Group, Ltd., Term Loan, 5.25%, due 10/18/17¤ | 995,288 | ||||||||
389,248 | Frac Tech International, LLC, Term Loan B, 8.50%, due 05/06/16¤ | 382,923 | ||||||||
471,321 | Gymboree Corp., Term Loan, 5.00%, due 02/23/18¤ | 457,013 | ||||||||
99,750 | H.J. Heinz Co., Term Loan B1, 3.25%, due 06/07/19¤ | 100,089 | ||||||||
249,375 | H.J. Heinz Co., Term Loan B2, 3.50%, due 06/05/20¤ | 250,638 | ||||||||
359,275 | Harrahs Operating Company, Inc., Term Loan B, 5.43%, due 01/28/18¤ | 326,379 | ||||||||
400,000 | Intelsat Jackson Holdings SA, Term Loan B1, 4.25%, due 04/02/18¤ | 401,667 | ||||||||
349,680 | Las Vegas Sands, LLC, Extended Delayed Draw Term Loan, 2.68%, due 11/23/16¤ | 349,850 | ||||||||
70,281 | Las Vegas Sands, LLC, Extended Term Loan B, 2.68%, due 11/23/16¤ | 70,315 | ||||||||
219,450 | Michaels Stores, Inc., New Term Loan, 3.75%, due 01/28/20¤ | 220,195 | ||||||||
361,163 | Neiman Marcus Group, Inc. (The), Extended Term Loan, 4.00%, due 05/16/18¤ | 360,899 | ||||||||
398,997 | NRG Energy, Inc., Term Loan B, 2.75%, due 07/02/18¤ | 397,096 | ||||||||
379,045 | Par Pharmaceutical Cos., Inc., Term Loan B, 4.25%, due 09/30/19¤ | 378,256 | ||||||||
149,623 | Party City Holdings, Inc., Term Loan B, 4.25%, due 07/29/19¤ | 149,669 | ||||||||
158,553 | Phillips-Van Heusen Corp., Term Loan B, 3.25%, due 02/13/20¤ | 158,768 | ||||||||
999,209 | Schaffler AG, Term Loan C2, 6.00%, due 01/27/17¤ | 1,014,197 | ||||||||
369,070 | Silver II US Holdings, LLC, Term Loan, 4.00%, due 12/13/19¤ | 367,020 | ||||||||
356,104 | Sunguard Data Systems, Inc., Term Loan B, 4.00%, due 02/28/16¤ † | 357,350 | ||||||||
388,627 | Supervalu, Inc., Term Loan B, 5.00%, due 03/21/19¤ | 388,081 | ||||||||
399,727 | Univision Communications, Inc., Extended Term Loan, 4.50%, due 03/31/17¤ | 401,026 | ||||||||
470,000 | Virgin Media Investment Holdings, Ltd., Term Loan B, 3.50%, due 06/07/20¤ | 468,368 | ||||||||
350,225 | Walter Energy, Inc., Term Loan B, 6.75%, due 04/02/18¤ | 337,383 | ||||||||
369,300 | Wendy’s International, Inc., Term Loan B, 3.25%, due 05/15/19¤ | 369,152 | ||||||||
119,698 | Windstream Corp., Term Loan B4, 3.50%, due 01/23/20¤ | 120,028 | ||||||||
|
| |||||||||
13,480,028 | ||||||||||
|
|
See accompanying Notes to the Financial Statements. | 63 |
Mercer Core Fixed Income Fund
(formerly known as Mercer Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Corporate Debt — 29.6% | ||||||||||
690,000 | AbbVie, Inc., 1.75%, due 11/06/17 | 685,008 | ||||||||
420,000 | AbbVie, Inc., 2.90%, due 11/06/22 | 393,561 | ||||||||
300,000 | Access Midstream Partners LP/ACMP Finance Corp., 4.88%, due 05/15/23 | 283,500 | ||||||||
90,000 | Access Midstream Partners LP/ACMP Finance Corp., 5.88%, due 04/15/21 | 92,925 | ||||||||
180,000 | Activision Blizzard, Inc., 5.63%, due 09/15/21 144A | 180,675 | ||||||||
680,000 | AES Corp. (The), Senior Note, 8.00%, due 06/01/20 | 778,600 | ||||||||
170,000 | Aleris International, Inc., Senior Note, (PIK), 9.00%, due 12/15/14**** ††† | — | ||||||||
3,875,000 | Ally Financial, Inc., 4.50%, due 02/11/14 | 3,919,989 | ||||||||
590,000 | Ally Financial, Inc., 7.50%, due 09/15/20 | 665,225 | ||||||||
440,000 | Altria Group, Inc., 2.85%, due 08/09/22 | 403,754 | ||||||||
390,000 | Altria Group, Inc., 4.75%, due 05/05/21 | 414,421 | ||||||||
270,000 | Altria Group, Inc., 8.50%, due 11/10/13 | 272,206 | ||||||||
490,000 | Altria Group, Inc., 9.25%, due 08/06/19 | 647,863 | ||||||||
620,000 | America Movil SAB de CV, 5.00%, due 03/30/20 | 669,707 | ||||||||
150,000 | America Movil SAB de CV, Guaranteed Senior Note, 5.63%, due 11/15/17 | 172,120 | ||||||||
580,000 | American Express Co., Subordinated Note, 6.80%, due 09/01/66† | 616,975 | ||||||||
540,000 | American Honda Finance Corp., 1.00%, due 08/11/15 144A | 542,685 | ||||||||
110,000 | American International Group, Inc., 3.75%, due 11/30/13 144A | 110,527 | ||||||||
525,000 | American International Group, Inc., 4.25%, due 09/15/14 | 542,438 | ||||||||
300,000 | American International Group, Inc., 5.85%, due 01/16/18 | 341,779 | ||||||||
3,750,000 | American International Group, Inc., 8.25%, due 08/15/18 | 4,685,306 | ||||||||
460,000 | American International Group, Inc., Junior Subordinated Note, Series A, 6.25%, due 03/15/87 | 453,100 | ||||||||
430,000 | Anadarko Finance Co., Senior Note, 7.50%, due 05/01/31 | 537,470 | ||||||||
220,000 | Anadarko Petroleum Corp., 6.38%, due 09/15/17 | 255,972 | ||||||||
740,000 | Anglo American Capital Plc, 4.45%, due 09/27/20 144A | 729,425 | ||||||||
290,000 | Anheuser-Busch InBev Worldwide, Inc., 2.50%, due 07/15/22 | 268,805 | ||||||||
570,000 | Anheuser-Busch InBev Worldwide, Inc., 5.00%, due 04/15/20 | 644,674 | ||||||||
340,000 | Anheuser-Busch InBev Worldwide, Inc., 5.38%, due 01/15/20 | 391,329 | ||||||||
250,000 | ANZ National Int’l Ltd/London, 1.85%, due 10/15/15 144A | 254,015 | ||||||||
570,000 | Apache Corp., 3.25%, due 04/15/22 | 559,056 | ||||||||
330,000 | Apple, Inc., 2.40%, due 05/03/23 | 299,338 | ||||||||
160,000 | ArcelorMittal, 5.00%, due 02/25/17 | 167,200 | ||||||||
580,000 | Arch Coal, Inc., 7.00%, due 06/15/19‡ | 455,300 | ||||||||
200,000 | AT&T, Inc., 2.63%, due 12/01/22‡ | 179,614 | ||||||||
120,000 | AT&T, Inc., 3.88%, due 08/15/21 | 121,727 | ||||||||
91,000 | AT&T, Inc., 4.35%, due 06/15/45 | 75,410 | ||||||||
10,000 | AT&T, Inc., 4.45%, due 05/15/21 | 10,519 | ||||||||
40,000 | AT&T, Inc., 5.55%, due 08/15/41 | 39,846 | ||||||||
610,000 | AT&T, Inc., Global Note, 5.50%, due 02/01/18 | 692,252 | ||||||||
550,000 | AT&T, Inc., Global Note, 6.30%, due 01/15/38 | 596,331 | ||||||||
1,600,000 | AT&T, Inc., Global Note, 6.55%, due 02/15/39 | 1,784,131 | ||||||||
130,000 | Atwood Oceanics, Inc., 6.50%, due 02/01/20 | 136,825 | ||||||||
2,325,000 | BAC Capital Trust XI, 6.63%, due 05/23/36 | 2,511,226 | ||||||||
410,000 | Baker Hughes, Inc., Senior Note, 7.50%, due 11/15/18 | 514,946 | ||||||||
260,000 | Ball Corp., 5.00%, due 03/15/22 | 253,500 | ||||||||
610,000 | Ball Corp., 5.75%, due 05/15/21 | 646,600 | ||||||||
350,000 | Bank of America Corp., 3.30%, due 01/11/23 | 328,510 |
64 | See accompanying Notes to the Financial Statements. |
Mercer Core Fixed Income Fund
(formerly known as Mercer Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
140,000 | Bank of America Corp., 3.88%, due 03/22/17 | 149,024 | ||||||||
400,000 | Bank of America Corp., 4.50%, due 04/01/15 | 420,228 | ||||||||
910,000 | Bank of America Corp., 5.00%, due 05/13/21 | 978,922 | ||||||||
4,605,000 | Bank of America Corp., 7.63%, due 06/01/19 | 5,653,632 | ||||||||
500,000 | Bank of America Corp., (MTN), Series L, 5.65%, due 05/01/18 | 564,838 | ||||||||
410,000 | Bank of America Corp., Senior Note, 5.75%, due 12/01/17 | 462,947 | ||||||||
180,000 | Bank of Tokyo-Mitsubishi UFJ, Ltd., 3.85%, due 01/22/15 144A | 186,912 | ||||||||
100,000 | Bank One Capital III, 8.75%, due 09/01/30 | 129,756 | ||||||||
200,000 | Barclays Bank Plc, 7.70%, due 12/31/49† ¤ 144A | 216,287 | ||||||||
120,000 | Barclays Bank Plc, Subordinated Note, 6.05%, due 12/04/17 144A | 133,792 | ||||||||
310,000 | Barrick Gold Corp., 3.85%, due 04/01/22 | 274,644 | ||||||||
550,000 | Barrick Gold Corp., 4.10%, due 05/01/23 | 485,259 | ||||||||
480,000 | Barrick Gold Corp., 6.95%, due 04/01/19 | 548,347 | ||||||||
120,000 | Barrick North America Finance LLC, 4.40%, due 05/30/21 | 111,674 | ||||||||
530,000 | BBVA US Senior SAU, 3.25%, due 05/16/14 | 535,932 | ||||||||
820,000 | BBVA US Senior SAU, 4.66%, due 10/09/15 | 854,196 | ||||||||
40,000 | Berkshire Hathaway, Inc., 3.20%, due 02/11/15 | 41,479 | ||||||||
30,000 | BHP Billiton Finance USA, Ltd., 3.25%, due 11/21/21 | 29,825 | ||||||||
290,000 | BHP Billiton Finance USA, Ltd., 5.00%, due 09/30/43 | 296,516 | ||||||||
900,000 | BHP Billiton Finance USA, Ltd., 6.50%, due 04/01/19 | 1,076,871 | ||||||||
280,000 | BNP Paribas SA, 2.38%, due 09/14/17 | 284,047 | ||||||||
260,000 | Boeing Capital Corp., 4.70%, due 10/27/19 | 293,811 | ||||||||
160,000 | Boeing Co. (The), 4.88%, due 02/15/20 | 182,110 | ||||||||
1,950,000 | Boston Properties, LP REIT, 4.13%, due 05/15/21 | 2,012,718 | ||||||||
250,000 | Boston Properties, LP REIT, 5.63%, due 11/15/20 | 282,995 | ||||||||
250,000 | Boston Properties, LP REIT, 5.88%, due 10/15/19 | 288,282 | ||||||||
1,625,000 | Boston Scientific Corp., 6.00%, due 01/15/20 | 1,860,916 | ||||||||
425,000 | Boston Scientific Corp., 6.40%, due 06/15/16 | 477,496 | ||||||||
270,000 | BP Capital Markets Plc, 3.13%, due 10/01/15 | 282,508 | ||||||||
230,000 | BP Capital Markets Plc, 3.25%, due 05/06/22 | 222,481 | ||||||||
50,000 | BP Capital Markets Plc, 3.56%, due 11/01/21 | 49,821 | ||||||||
390,000 | BP Capital Markets Plc, 5.25%, due 11/07/13 | 391,752 | ||||||||
160,000 | BP Capital Markets Plc, Guaranteed Note, 3.88%, due 03/10/15 | 167,550 | ||||||||
1,100,000 | Burlington Northern Santa Fe LLC, 3.05%, due 09/01/22 | 1,051,593 | ||||||||
60,000 | Calpine Corp., 7.50%, due 02/15/21 144A | 64,050 | ||||||||
350,000 | Calpine Corp., 7.88%, due 01/15/23 144A | 370,125 | ||||||||
1,700,000 | Capital One Financial Corp., 3.50%, due 06/15/23 | 1,609,514 | ||||||||
1,100,000 | Capital One Financial Corp., 4.75%, due 07/15/21 | 1,165,807 | ||||||||
140,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 6.63%, due 01/31/22 | 142,800 | ||||||||
500,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 7.00%, due 01/15/19 | 530,625 | ||||||||
730,000 | Cellco Partnership/Verizon Wireless Capital LLC, 8.50%, due 11/15/18 | 936,495 | ||||||||
470,000 | Celulosa Arauco y Constitucion SA, Reg S, 4.75%, due 01/11/22‡‡‡ | 458,941 | ||||||||
1,425,000 | Cemex SAB de CV, 6.50%, due 12/10/19 144A | 1,407,187 | ||||||||
430,000 | CGG, 6.50%, due 06/01/21 | 440,750 | ||||||||
40,000 | Chesapeake Energy Corp., 5.75%, due 03/15/23 | 40,300 | ||||||||
310,000 | Chesapeake Energy Corp., 6.13%, due 02/15/21‡ | 323,175 | ||||||||
95,000 | Chesapeake Energy Corp., 6.50%, due 08/15/17‡ | 105,213 | ||||||||
55,000 | Chesapeake Energy Corp., 6.88%, due 11/15/20 | 59,675 | ||||||||
120,000 | Cie Generale de Geophysique - Veritas SA, Senior Note, 7.75%, due 05/15/17 | 123,750 |
See accompanying Notes to the Financial Statements. | 65 |
Mercer Core Fixed Income Fund
(formerly known as Mercer Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
525,000 | Cigna Corp., 4.00%, due 02/15/22 | 536,983 | ||||||||
975,000 | Cigna Corp., 5.38%, due 02/15/42 | 1,027,034 | ||||||||
250,000 | Cigna Corp., 5.88%, due 03/15/41 | 281,778 | ||||||||
1,100,000 | Cigna Corp., 6.15%, due 11/15/36 | 1,267,684 | ||||||||
375,000 | Cigna Corp., 8.50%, due 05/01/19 | 482,086 | ||||||||
190,000 | CIT Group, Inc., 4.25%, due 08/15/17 | 194,275 | ||||||||
170,000 | CIT Group, Inc., 5.00%, due 08/01/23 | 164,904 | ||||||||
4,300,000 | Citigroup, Inc., 1.04%, due 04/01/16† | 4,312,500 | ||||||||
500,000 | Citigroup, Inc., 3.50%, due 05/15/23 | 452,098 | ||||||||
560,000 | Citigroup, Inc., 3.95%, due 06/15/16 | 596,530 | ||||||||
1,040,000 | Citigroup, Inc., 4.05%, due 07/30/22 | 1,011,915 | ||||||||
220,000 | Citigroup, Inc., 5.35%, due 12/31/49† | 192,210 | ||||||||
20,000 | Citigroup, Inc., 5.38%, due 08/09/20 | 22,405 | ||||||||
380,000 | Citigroup, Inc., 5.50%, due 09/13/25 | 391,666 | ||||||||
130,000 | Citigroup, Inc., 5.90%, due 12/31/49† | 122,696 | ||||||||
230,000 | Citigroup, Inc., 5.95%, due 12/31/49† | 214,762 | ||||||||
830,000 | Citigroup, Inc., 6.00%, due 12/13/13 | 839,044 | ||||||||
748,000 | Citigroup, Inc., 6.01%, due 01/15/15 | 795,963 | ||||||||
2,995,000 | Citigroup, Inc., Global Senior Note, 6.13%, due 11/21/17 | 3,447,380 | ||||||||
110,000 | Citigroup, Inc., Senior Note, 6.88%, due 03/05/38 | 136,428 | ||||||||
140,000 | CityCenter Holdings LLC/CityCenter Finance Corp., 7.63%, due 01/15/16 | 147,350 | ||||||||
520,000 | Cliffs Natural Resources, Inc., 3.95%, due 01/15/18‡ | 522,734 | ||||||||
210,000 | Cliffs Natural Resources, Inc., 4.80%, due 10/01/20‡ | 200,477 | ||||||||
70,000 | Cliffs Natural Resources, Inc., 4.88%, due 04/01/21‡ | 66,141 | ||||||||
320,000 | Comcast Corp., 5.65%, due 06/15/35 | 351,056 | ||||||||
350,000 | Comcast Corp., 5.70%, due 05/15/18 | 408,097 | ||||||||
1,775,000 | Comcast Corp., 5.88%, due 02/15/18 | 2,072,959 | ||||||||
100,000 | Comcast Corp., 6.30%, due 11/15/17 | 117,930 | ||||||||
500,000 | Comcast Corp., 6.45%, due 03/15/37 | 598,899 | ||||||||
640,000 | Comcast Corp., 6.50%, due 01/15/15 | 688,024 | ||||||||
130,000 | Comcast Corp., 6.50%, due 01/15/17 | 151,042 | ||||||||
640,000 | Commonwealth Bank of Australia, 1.25%, due 09/18/15 | 646,714 | ||||||||
310,000 | Commonwealth Bank of Australia, 3.75%, due 10/15/14 144A | 320,095 | ||||||||
130,000 | Commonwealth Bank of Australia, 5.00%, due 10/15/19 144A | 146,353 | ||||||||
50,000 | Concho Resources, Inc., 5.50%, due 10/01/22 | 50,125 | ||||||||
60,000 | Concho Resources, Inc., 5.50%, due 04/01/23 | 59,550 | ||||||||
228,000 | Concho Resources, Inc., 6.50%, due 01/15/22 | 245,670 | ||||||||
490,000 | ConocoPhillips Holding Co., 6.95%, due 04/15/29 | 620,148 | ||||||||
20,000 | Consol Energy, Inc., 6.38%, due 03/01/21 | 20,600 | ||||||||
220,000 | CONSOL Energy, Inc., 8.25%, due 04/01/20 | 237,050 | ||||||||
390,000 | Continental Airlines, Inc., 6.75%, due 09/15/15 144A | 403,650 | ||||||||
120,000 | Continental Resources, Inc., 4.50%, due 04/15/23 | 118,350 | ||||||||
50,000 | Continental Resources, Inc., 5.00%, due 09/15/22 | 50,563 | ||||||||
30,000 | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 3.88%, due 02/08/22 | 30,090 | ||||||||
210,000 | Countrywide Financial Corp., Subordinated Note, 6.25%, due 05/15/16 | 232,360 | ||||||||
300,000 | COX Communications, Inc., 2.95%, due 06/30/23 144A | 259,477 | ||||||||
1,525,000 | COX Communications, Inc., 3.25%, due 12/15/22 144A | 1,356,847 |
66 | See accompanying Notes to the Financial Statements. |
Mercer Core Fixed Income Fund
(formerly known as Mercer Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
77,000 | COX Communications, Inc., 5.45%, due 12/15/14 | 81,363 | ||||||||
2,150,000 | COX Communications, Inc., 5.88%, due 12/01/16 144A | 2,393,498 | ||||||||
875,000 | COX Communications, Inc., 9.38%, due 01/15/19 144A | 1,120,211 | ||||||||
760,000 | Credit Agricole SA, 8.38%, due 12/31/49† ‡ 144A | 835,050 | ||||||||
150,000 | CSC Holdings LLC, 6.75%, due 11/15/21 | 161,250 | ||||||||
550,000 | CSX Corp., 7.38%, due 02/01/19 | 676,320 | ||||||||
1,160,000 | CVS Caremark Corp., 2.75%, due 12/01/22 | 1,073,955 | ||||||||
250,000 | Daimler Finance North America LLC, 1.30%, due 07/31/15 144A | 251,218 | ||||||||
550,000 | Daimler Finance North America LLC, 2.63%, due 09/15/16 144A | 567,323 | ||||||||
700,000 | Daimler Finance North America LLC, Senior Note, 6.50%, due 11/15/13 | 704,786 | ||||||||
160,000 | Denbury Resources, Inc., 4.63%, due 07/15/23 | 147,200 | ||||||||
310,000 | Deutsche Telekom International Finance BV, 5.75%, due 03/23/16 | 342,903 | ||||||||
650,000 | Devon Energy Corp., 7.95%, due 04/15/32 | 848,327 | ||||||||
730,000 | Diageo Capital Plc, 4.83%, due 07/15/20 | 819,311 | ||||||||
200,000 | Diageo Investment Corp., 2.88%, due 05/11/22 | 192,767 | ||||||||
30,000 | DISH DBS Corp., 7.88%, due 09/01/19 | 34,350 | ||||||||
500,000 | Dominion Resources, Inc., 5.20%, due 08/15/19 | 567,541 | ||||||||
1,250,000 | Dow Chemical Co. (The), 5.70%, due 05/15/18 | 1,444,322 | ||||||||
1,185,000 | Dow Chemical Co. (The), 8.55%, due 05/15/19 | 1,513,072 | ||||||||
575,000 | Dow Chemical Co. (The), 9.40%, due 05/15/39 | 841,458 | ||||||||
200,000 | Dr Pepper Snapple Group, Inc., 2.90%, due 01/15/16 | 207,639 | ||||||||
240,000 | Eagle Spinco, Inc., 4.63%, due 02/15/21 144A | 231,300 | ||||||||
10,000 | Echostar DBS Corp., Senior Note, 6.63%, due 10/01/14 | 10,525 | ||||||||
690,000 | Echostar DBS Corp., Senior Note, 7.13%, due 02/01/16 | 759,862 | ||||||||
1,510,000 | Echostar DBS Corp., Senior Note, 7.75%, due 05/31/15 | 1,653,450 | ||||||||
150,000 | Ecolab, Inc., 4.35%, due 12/08/21 | 158,315 | ||||||||
78,000 | El Paso Corp., 7.75%, due 01/15/32 | 80,128 | ||||||||
480,000 | El Paso Corp., Senior Note, 7.00%, due 06/15/17 | 537,731 | ||||||||
190,000 | El Paso Natural Gas Co. LLC, 8.38%, due 06/15/32 | 248,345 | ||||||||
725,000 | Enel Finance International SA, 6.00%, due 10/07/39 144A | 662,256 | ||||||||
625,000 | Enel Finance International SA, Guaranteed Note, 6.80%, due 09/15/37 144A | 625,294 | ||||||||
400,000 | Enel Spa, 8.75%, due 09/24/73† 144A | 409,153 | ||||||||
1,033,000 | Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 10.00%, due 12/01/20 | 1,093,689 | ||||||||
130,000 | Energy Transfer Equity, LP, 7.50%, due 10/15/20 | 139,750 | ||||||||
570,000 | Enterprise Products Operating LLC, 3.35%, due 03/15/23 | 540,546 | ||||||||
490,000 | Enterprise Products Operating LLC, 5.25%, due 01/31/20 | 544,646 | ||||||||
60,000 | Enterprise Products Operating LLC, 5.95%, due 02/01/41 | 64,889 | ||||||||
190,000 | Enterprise Products Operating LLC, 6.13%, due 10/15/39 | 210,931 | ||||||||
1,350,000 | ERP Operating, LP, 3.00%, due 04/15/23 | 1,243,625 | ||||||||
825,000 | ERP Operating, LP, 4.63%, due 12/15/21 | 872,347 | ||||||||
2,045,000 | Escrow GCB General Motors, 8.38%, due 07/15/49**** ¤ | — | ||||||||
1,450,000 | Export-Import Bank of Korea, 4.00%, due 01/11/17 | 1,551,496 | ||||||||
1,200,000 | Express Scripts Holding Co., 3.50%, due 11/15/16 | 1,270,957 | ||||||||
50,000 | First Data Corp., 6.75%, due 11/01/20 144A | 52,000 | ||||||||
450,000 | First Data Corp., 7.38%, due 06/15/19 144A | 475,875 | ||||||||
150,000 | FirstEnergy Corp., 2.75%, due 03/15/18 | 146,036 | ||||||||
670,000 | FirstEnergy Corp., 4.25%, due 03/15/23 | 613,898 |
See accompanying Notes to the Financial Statements. | 67 |
Mercer Core Fixed Income Fund
(formerly known as Mercer Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
1,435,000 | FirstEnergy Corp., Series C, 7.38%, due 11/15/31 | 1,453,209 | ||||||||
70,000 | FMG Resources August 2006 Pty, Ltd., 6.38%, due 02/01/16‡ 144A | 71,750 | ||||||||
140,000 | FMG Resources August 2006 Pty, Ltd., 7.00%, due 11/01/15‡ 144A | 144,725 | ||||||||
170,000 | FMG Resources August 2006 Pty, Ltd., 8.25%, due 11/01/19‡ 144A | 184,025 | ||||||||
540,000 | Ford Motor Co., 4.75%, due 01/15/43 | 483,738 | ||||||||
350,000 | Ford Motor Credit Co., 8.00%, due 12/15/16 | 414,637 | ||||||||
900,000 | Ford Motor Credit Co. LLC, 1.36%, due 08/28/14† | 904,672 | ||||||||
350,000 | Ford Motor Credit Co. LLC, 4.25%, due 09/20/22 | 350,196 | ||||||||
500,000 | Ford Motor Credit Co. LLC, 4.38%, due 08/06/23 | 501,275 | ||||||||
1,025,000 | Ford Motor Credit Co. LLC, 5.63%, due 09/15/15 | 1,109,857 | ||||||||
2,975,000 | Ford Motor Credit Co. LLC, 5.75%, due 02/01/21 | 3,294,753 | ||||||||
650,000 | Ford Motor Credit Co. LLC, 5.88%, due 08/02/21 | 723,705 | ||||||||
580,000 | Ford Motor Credit Co. LLC, 8.13%, due 01/15/20 | 723,471 | ||||||||
440,000 | Ford Motor Credit Co. LLC, 12.00%, due 05/15/15 | 517,311 | ||||||||
90,000 | Freeport-McMoRan Copper & Gold, Inc., 2.38%, due 03/15/18 144A | 87,071 | ||||||||
330,000 | Freeport-McMoRan Copper & Gold, Inc., 3.10%, due 03/15/20 144A | 310,751 | ||||||||
490,000 | Freeport-McMoRan Copper & Gold, Inc., 3.55%, due 03/01/22 | 451,456 | ||||||||
210,000 | Fresenius Medical Care US Finance, Inc., 5.75%, due 02/15/21 144A | 216,825 | ||||||||
130,000 | Fresenius Medical Care US Finance, Inc., 6.88%, due 07/15/17 | 144,950 | ||||||||
3,000,000 | Gazprom Via Gaz Capital SA, 6.51%, due 03/07/22 144A | 3,225,000 | ||||||||
2,600,000 | General Electric Capital Corp., 0.55%, due 06/20/14† | 2,605,231 | ||||||||
210,000 | General Electric Capital Corp., 1.63%, due 07/02/15 | 213,184 | ||||||||
2,205,000 | General Electric Capital Corp., 4.38%, due 09/16/20 | 2,349,436 | ||||||||
1,165,000 | General Electric Capital Corp., 4.63%, due 01/07/21 | 1,252,032 | ||||||||
1,275,000 | General Electric Capital Corp., 5.50%, due 01/08/20 | 1,446,985 | ||||||||
310,000 | General Electric Capital Corp., 5.88%, due 01/14/38 | 343,353 | ||||||||
380,000 | General Electric Capital Corp., 6.00%, due 08/07/19 | 442,792 | ||||||||
860,000 | General Electric Capital Corp., 6.38%, due 11/15/67† | 921,275 | ||||||||
150,000 | General Electric Capital Corp., 6.88%, due 01/10/39 | 184,439 | ||||||||
270,000 | General Electric Co., 0.85%, due 10/09/15 | 270,758 | ||||||||
110,000 | General Motors Financial Co., Inc., 2.75%, due 05/15/16 144A | 109,931 | ||||||||
80,000 | General Motors Financial Co., Inc., 3.25%, due 05/15/18 144A | 78,000 | ||||||||
100,000 | General Motors Financial Co., Inc., 4.25%, due 05/15/23 144A | 91,625 | ||||||||
170,000 | GenOn Americas Generation LLC, 9.13%, due 05/01/31 | 179,350 | ||||||||
390,000 | GlaxoSmithKline Capital Plc, 2.85%, due 05/08/22 | 374,902 | ||||||||
490,000 | GlaxoSmithKline Capital, Inc., Guaranteed Note, 5.65%, due 05/15/18 | 570,966 | ||||||||
320,000 | Glitnir Banki HF, Subordinated Note, 6.69%, due 06/15/16††† 144A | 1,664 | ||||||||
30,000 | Goldman Sachs Capital II, Guaranteed Note, 4.00%, due 12/31/49† | 22,050 | ||||||||
140,000 | Goldman Sachs Group (The), Inc., 5.25%, due 07/27/21 | 151,325 | ||||||||
1,380,000 | Goldman Sachs Group (The), Inc., 5.95%, due 01/18/18 | 1,561,455 | ||||||||
100,000 | Goldman Sachs Group (The), Inc., 6.00%, due 05/01/14 | 103,121 | ||||||||
400,000 | Goldman Sachs Group (The), Inc., 6.15%, due 04/01/18 | 457,955 | ||||||||
1,660,000 | Goldman Sachs Group (The), Inc., 6.25%, due 02/01/41 | 1,866,160 | ||||||||
480,000 | Goldman Sachs Group (The), Inc., 7.50%, due 02/15/19 | 580,627 | ||||||||
130,000 | Goldman Sachs Group (The), Inc., Global Note, 5.25%, due 10/15/13 | 130,193 | ||||||||
260,000 | Hawk Acquisition Sub, Inc., 4.25%, due 10/15/20 144A | 248,625 | ||||||||
20,000 | HCA, Inc., 5.75%, due 03/15/14 | 20,425 | ||||||||
1,475,000 | HCA, Inc., 6.38%, due 01/15/15 | 1,559,812 |
68 | See accompanying Notes to the Financial Statements. |
Mercer Core Fixed Income Fund
(formerly known as Mercer Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
1,815,000 | HCA, Inc., 6.50%, due 02/15/16 | 1,971,544 | ||||||||
230,000 | HCA, Inc., 7.25%, due 09/15/20 | 250,700 | ||||||||
875,000 | Health Net, Inc., 6.38%, due 06/01/17 | 934,062 | ||||||||
190,000 | Heineken NV, 1.40%, due 10/01/17 144A | 186,978 | ||||||||
40,000 | Hess Corp., 7.88%, due 10/01/29 | 50,282 | ||||||||
570,000 | Hess Corp., 8.13%, due 02/15/19 | 710,108 | ||||||||
1,250,000 | Hewlett-Packard Co., 3.30%, due 12/09/16 | 1,301,470 | ||||||||
580,000 | Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.63%, due 10/15/21 144A | 582,537 | ||||||||
1,240,000 | HSBC Finance Corp., 6.68%, due 01/15/21 | 1,418,106 | ||||||||
350,000 | HSBC Holdings Plc, 5.10%, due 04/05/21 | 386,143 | ||||||||
875,000 | HSBC Holdings Plc, Subordinated Note, 6.50%, due 05/02/36 | 993,847 | ||||||||
2,075,000 | HSBC Holdings Plc, Subordinated Note, 6.50%, due 09/15/37 | 2,359,281 | ||||||||
100,000 | Humana, Inc., 3.15%, due 12/01/22 | 93,222 | ||||||||
150,000 | Hyundai Capital America, 2.13%, due 10/02/17 144A | 149,774 | ||||||||
420,000 | Imperial Tobacco Finance Plc, 2.05%, due 02/11/18 144A | 409,970 | ||||||||
1,700,000 | Industrial Bank of Korea, 2.38%, due 07/17/17 144A | 1,708,233 | ||||||||
450,000 | ING Bank NV, 5.80%, due 09/25/23 144A | 455,353 | ||||||||
90,000 | ING US, Inc., 2.90%, due 02/15/18 | 90,459 | ||||||||
260,000 | Intelsat Jackson Holdings SA, 5.50%, due 08/01/23 144A | 244,400 | ||||||||
350,000 | Intelsat Jackson Holdings SA, 7.25%, due 10/15/20 | 375,375 | ||||||||
80,000 | Intelsat Jackson Holdings SA, 7.50%, due 04/01/21 | 86,800 | ||||||||
220,000 | International Lease Finance Corp., 6.50%, due 09/01/14 144A | 229,350 | ||||||||
250,000 | Intesa Sanpaolo Spa, 3.13%, due 01/15/16 | 249,774 | ||||||||
250,000 | Intesa Sanpaolo Spa, 3.63%, due 08/12/15 144A | 253,848 | ||||||||
100,000 | John Deere Capital Corp., 1.70%, due 01/15/20 | 94,521 | ||||||||
220,000 | John Deere Capital Corp., 2.25%, due 04/17/19 | 221,319 | ||||||||
3,400,000 | JPMorgan Chase & Co., 0.88%, due 02/26/16† | 3,407,871 | ||||||||
990,000 | JPMorgan Chase & Co., 1.10%, due 10/15/15 | 992,393 | ||||||||
300,000 | JPMorgan Chase & Co., 3.25%, due 09/23/22 | 283,561 | ||||||||
1,570,000 | JPMorgan Chase & Co., 3.38%, due 05/01/23 | 1,426,628 | ||||||||
90,000 | JPMorgan Chase & Co., 4.35%, due 08/15/21 | 93,383 | ||||||||
860,000 | JPMorgan Chase & Co., 4.40%, due 07/22/20 | 911,683 | ||||||||
200,000 | JPMorgan Chase & Co., 4.50%, due 01/24/22 | 208,982 | ||||||||
250,000 | JPMorgan Chase & Co., 4.95%, due 03/25/20 | 273,845 | ||||||||
1,030,000 | JPMorgan Chase & Co., Global Subordinated Note, 5.15%, due 10/01/15 | 1,108,891 | ||||||||
1,250,000 | JPMorgan Chase & Co., Subordinated Note, 6.13%, due 06/27/17 | 1,421,281 | ||||||||
300,000 | JPMorgan Chase Bank NA, 0.58%, due 06/13/16† | 296,792 | ||||||||
55,000 | Kansas City Southern de Mexico SA de CV, 6.13%, due 06/15/21 | 62,288 | ||||||||
100,000 | Kaupthing Bank HF, 7.13%, due 05/19/16††† **** 144A | — | ||||||||
640,000 | Kerr-McGee Corp., 7.88%, due 09/15/31 | 809,681 | ||||||||
430,000 | Key Energy Services, Inc., 6.75%, due 03/01/21 | 427,850 | ||||||||
60,000 | Kinder Morgan Energy Partners, LP, Senior Note, 5.00%, due 12/15/13 | 60,523 | ||||||||
440,000 | Kinder Morgan Finance Co. LLC, 6.00%, due 01/15/18 144A | 479,386 | ||||||||
2,300,000 | Kinder Morgan Finance Co. ULC, Guaranteed Note, 5.70%, due 01/05/16 | 2,488,989 | ||||||||
600,000 | Koninklijke Philips Electronics NV, 5.75%, due 03/11/18 | 692,278 | ||||||||
360,000 | Kraft Foods Group, Inc., 3.50%, due 06/06/22 | 356,208 | ||||||||
349,000 | Kraft Foods Group, Inc., 5.38%, due 02/10/20 | 397,856 |
See accompanying Notes to the Financial Statements. | 69 |
Mercer Core Fixed Income Fund
(formerly known as Mercer Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
691,000 | Kraft Foods, Inc., 5.38%, due 02/10/20 | 781,320 | ||||||||
400,000 | Kroger Co. (The), Senior Note, 6.15%, due 01/15/20 | 464,383 | ||||||||
775,000 | Lafarge SA, 6.20%, due 07/09/15 144A | 823,437 | ||||||||
2,350,000 | Lafarge SA, 6.50%, due 07/15/16 | 2,567,375 | ||||||||
600,000 | LBG Capital No.1 Plc, 7.88%, due 11/01/20 144A | 641,400 | ||||||||
1,325,000 | Legg Mason, Inc., 5.50%, due 05/21/19 | 1,444,890 | ||||||||
470,000 | Lehman Brothers Holdings Capital Trust VII, (MTN), 5.86%, due 12/31/49††† | 165 | ||||||||
270,000 | Lehman Brothers Holdings, Inc., (MTN), Series I, 6.75%, due 12/28/17††† | 95 | ||||||||
890,000 | Lehman Brothers Holdings, Inc., Subordinated Note, 6.50%, due 07/19/17††† | 312 | ||||||||
300,000 | Lloyds TSB Bank Plc, 6.50%, due 09/14/20 144A | 331,640 | ||||||||
10,000 | Lorillard Tobacco Co., 8.13%, due 06/23/19 | 12,139 | ||||||||
980,000 | M&T Bank Corp., 6.88%, due 12/31/49 144A | 997,990 | ||||||||
2,765,000 | Macy’s Retail Holdings, Inc., 6.65%, due 07/15/24 | 3,244,390 | ||||||||
600,000 | Macy’s Retail Holdings, Inc., 7.00%, due 02/15/28 | 689,034 | ||||||||
120,000 | Mallinckrodt International Finance SA, 4.75%, due 04/15/23 144A | 114,311 | ||||||||
80,000 | MarkWest Energy Partners, LP/MarkWest Energy Finance Corp., 4.50%, due 07/15/23 | 75,800 | ||||||||
150,000 | MarkWest Energy Partners, LP/MarkWest Energy Finance Corp., 5.50%, due 02/15/23 | 151,125 | ||||||||
78,000 | MarkWest Energy Partners, LP/MarkWest Energy Finance Corp., 6.25%, due 06/15/22 | 82,485 | ||||||||
70,000 | Medtronic, Inc., 3.13%, due 03/15/22 | 68,989 | ||||||||
240,000 | Medtronic, Inc., 4.45%, due 03/15/20 | 263,184 | ||||||||
700,000 | EUR | Merrill Lynch & Co., Inc., 0.53%, due 05/30/14† | 947,825 | |||||||
7,720,000 | Merrill Lynch & Co., Inc., 6.88%, due 04/25/18 | 9,107,145 | ||||||||
840,000 | Merrill Lynch & Co., Inc., Subordinated Note, 5.70%, due 05/02/17 | 928,018 | ||||||||
250,000 | MetLife, Inc., 4.75%, due 02/08/21 | 273,773 | ||||||||
420,000 | MetLife, Inc., Subordinated Note, 6.40%, due 12/15/66 | 426,825 | ||||||||
110,000 | Michaels Stores, Inc., 7.75%, due 11/01/18 | 118,800 | ||||||||
80,000 | MidAmerican Energy Holdings Co., Senior Note, 6.50%, due 09/15/37 | 94,801 | ||||||||
50,000 | Molson Coors Brewing Co., 3.50%, due 05/01/22 | 49,771 | ||||||||
70,000 | Morgan Stanley, 4.75%, due 03/22/17 | 75,641 | ||||||||
130,000 | Morgan Stanley, (MTN), Series F, 0.72%, due 10/18/16† | 127,967 | ||||||||
1,000,000 | Morgan Stanley, (MTN), Series F, 6.63%, due 04/01/18 | 1,162,104 | ||||||||
600,000 | Murray Street Investment Trust I, 4.65%, due 03/09/17†† | 640,406 | ||||||||
1,050,000 | Myriad International Holdings BV, 6.00%, due 07/18/20 144A | 1,107,750 | ||||||||
50,000 | National Semiconductor Corp., Senior Note, 6.60%, due 06/15/17 | 58,523 | ||||||||
80,000 | Nationstar Mortgage LLC/Nationstar Capital Corp., 6.50%, due 07/01/21 | 77,000 | ||||||||
570,000 | NBCUniversal Enterprise, Inc., 1.97%, due 04/15/19 144A | 554,172 | ||||||||
50,000 | News America, Inc., 4.50%, due 02/15/21 | 53,179 | ||||||||
525,000 | News America, Inc., 5.65%, due 08/15/20 | 594,980 | ||||||||
475,000 | News America, Inc., 6.20%, due 12/15/34 | 515,836 | ||||||||
275,000 | News America, Inc., 6.40%, due 12/15/35 | 304,336 | ||||||||
30,000 | News America, Inc., Senior Note, 6.65%, due 11/15/37 | 34,195 | ||||||||
1,000,000 | NextEra Energy Capital Holdings, Inc., 1.34%, due 09/01/15 | 1,003,945 | ||||||||
780,000 | Noble Energy, Inc., 4.15%, due 12/15/21 | 813,448 | ||||||||
330,000 | Nordea Bank AB, 3.70%, due 11/13/14 144A | 341,158 | ||||||||
1,000,000 | Nordstrom, Inc., 6.25%, due 01/15/18 | 1,164,888 | ||||||||
470,000 | Occidental Petroleum Corp., 2.70%, due 02/15/23 | 435,110 | ||||||||
350,000 | Occidental Petroleum Corp., 3.13%, due 02/15/22 | 338,263 | ||||||||
580,000 | Oracle Corp., 1.20%, due 10/15/17 | 570,199 |
70 | See accompanying Notes to the Financial Statements. |
Mercer Core Fixed Income Fund
(formerly known as Mercer Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
920,000 | Pacific Gas & Electric Co., 6.05%, due 03/01/34 | 1,026,648 | ||||||||
10,000 | Pacific Gas & Electric Co., 8.25%, due 10/15/18 | 12,783 | ||||||||
10,000 | Pacific Gas & Electric Co., Senior Note, 5.63%, due 11/30/17 | 11,498 | ||||||||
170,000 | Peabody Energy Corp., 6.25%, due 11/15/21‡ | 165,750 | ||||||||
220,000 | Peabody Energy Corp., 6.50%, due 09/15/20 | 217,800 | ||||||||
606,000 | Pemex Project Funding Master Trust, 6.63%, due 06/15/35 | 643,045 | ||||||||
580,000 | PepsiCo, Inc., 0.70%, due 08/13/15 | 581,075 | ||||||||
171,000 | PepsiCo, Inc., Senior Note, 7.90%, due 11/01/18 | 217,917 | ||||||||
240,000 | Pernod-Ricard SA, 2.95%, due 01/15/17 144A | 249,189 | ||||||||
510,000 | Pernod-Ricard SA, 4.45%, due 01/15/22 144A | 524,488 | ||||||||
695,000 | Petrobras Global Finance BV, 4.38%, due 05/20/23 | 642,726 | ||||||||
400,000 | Petrobras International Finance Co., 3.88%, due 01/27/16 | 414,716 | ||||||||
5,195,000 | Petrobras International Finance Co., 5.38%, due 01/27/21 | 5,244,794 | ||||||||
196,000 | Petrobras International Finance Co., 5.75%, due 01/20/20 | 204,637 | ||||||||
160,000 | Petrobras International Finance Co., 6.13%, due 10/06/16 | 175,399 | ||||||||
992,000 | Petroleos Mexicanos, 3.50%, due 01/30/23 | 904,180 | ||||||||
430,000 | Petroleos Mexicanos, 5.50%, due 01/21/21 | 462,250 | ||||||||
240,000 | Philip Morris International, Inc., 2.50%, due 08/22/22 | 221,416 | ||||||||
480,000 | Philip Morris International, Inc., 2.90%, due 11/15/21 | 466,008 | ||||||||
250,000 | Philip Morris International, Inc., 4.50%, due 03/20/42 | 234,844 | ||||||||
90,000 | Plains Exploration & Production Co., 6.50%, due 11/15/20 | 96,668 | ||||||||
30,000 | Plains Exploration & Production Co., 6.88%, due 02/15/23 | 32,325 | ||||||||
90,000 | Potash Corp. of Saskatchewan, Inc., 4.88%, due 03/30/20 | 98,430 | ||||||||
90,000 | QEP Resources, Inc., 5.25%, due 05/01/23 | 84,375 | ||||||||
70,000 | QEP Resources, Inc., 6.88%, due 03/01/21 | 74,725 | ||||||||
100,000 | Qwest Corp., 6.88%, due 09/15/33 | 97,370 | ||||||||
45,000 | Qwest Corp., 7.50%, due 10/01/14 | 47,693 | ||||||||
215,000 | Rabobank Nederland NV, 11.00%, due 12/29/49† 144A | 281,315 | ||||||||
500,000 | Range Resources Corp., 6.75%, due 08/01/20 | 541,250 | ||||||||
487,000 | Range Resources Corp., 8.00%, due 05/15/19 | 525,351 | ||||||||
73,098 | RathGibson, Inc., Senior Note, 11.25%, due 02/15/14**** ††† | — | ||||||||
220,000 | Raytheon Co., 3.13%, due 10/15/20 | 223,517 | ||||||||
1,428,000 | Reed Elsevier Capital, Inc., 3.13%, due 10/15/22 | 1,324,553 | ||||||||
316,000 | Reed Elsevier Capital, Inc., Guaranteed Note, 8.63%, due 01/15/19 | 402,855 | ||||||||
20,000 | Regency Energy Partners, LP/Regency Energy Finance Corp., 4.50%, due 11/01/23 144A | 18,200 | ||||||||
329,000 | Regency Energy Partners, LP/Regency Energy Finance Corp., 6.50%, due 07/15/21 | 347,095 | ||||||||
190,000 | Reynolds American, Inc., 3.25%, due 11/01/22 | 175,237 | ||||||||
755,000 | Reynolds American, Inc., Senior Note, 6.75%, due 06/15/17 | 873,057 | ||||||||
410,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer, 7.13%, due 04/15/19 | 437,675 | ||||||||
920,000 | Rio Tinto Finance USA, Ltd., 9.00%, due 05/01/19 | 1,195,234 | ||||||||
346,000 | Roche Holdings, Inc., Guaranteed Note, 6.00%, due 03/01/19 144A | 411,658 | ||||||||
170,000 | Rock-Tenn Co., 3.50%, due 03/01/20 | 168,337 | ||||||||
90,000 | Rock-Tenn Co., 4.00%, due 03/01/23 | 87,367 | ||||||||
20,000 | Rogers Communications, Inc., Senior Note, 6.80%, due 08/15/18 | 23,912 | ||||||||
330,000 | Royal Bank of Scotland Group Plc, 2.55%, due 09/18/15 | 337,243 | ||||||||
70,000 | Royal Bank of Scotland Group Plc, 4.70%, due 07/03/18 | 70,424 |
See accompanying Notes to the Financial Statements. | 71 |
Mercer Core Fixed Income Fund
(formerly known as Mercer Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
250,000 | Royal Bank of Scotland Group Plc, 5.00%, due 10/01/14 | 256,291 | ||||||||
460,000 | Royal Bank of Scotland Group Plc, 6.10%, due 06/10/23‡ | 464,901 | ||||||||
2,150,000 | Royal Bank of Scotland Group Plc, 6.13%, due 12/15/22 | 2,173,517 | ||||||||
200,000 | Royal Bank of Scotland Group Plc, 6.99%, due 12/31/49† 144A | 208,000 | ||||||||
70,000 | Royal Bank of Scotland Group Plc, 7.65%, due 12/31/49† | 72,450 | ||||||||
775,000 | Royal Bank of Scotland Plc (The), 4.38%, due 03/16/16 | 827,897 | ||||||||
250,000 | Royal Bank of Scotland Plc (The), 5.63%, due 08/24/20 | 276,431 | ||||||||
325,000 | Royal Bank of Scotland Plc (The), 6.13%, due 01/11/21 | �� | 367,041 | |||||||
200,000 | Santander US Debt SA Unipersonal, Series 1, 3.72%, due 01/20/15 144A | 202,896 | ||||||||
400,000 | Santander US Debt SA Unipersonal, 3.78%, due 10/07/15 144A | 408,174 | ||||||||
110,000 | Service Corp. International, Senior Note, 7.50%, due 04/01/27 | 117,150 | ||||||||
10,000 | Service Corp. International, Senior Note, 7.63%, due 10/01/18 | 11,375 | ||||||||
110,000 | SESI LLC, 7.13%, due 12/15/21 | 120,725 | ||||||||
580,000 | Shell International Finance BV, 4.38%, due 03/25/20 | 640,199 | ||||||||
260,000 | Sinopec Group Overseas Development 2012, Ltd., 2.75%, due 05/17/17 144A | 265,694 | ||||||||
1,270,000 | SLM Corp., 3.88%, due 09/10/15 | 1,301,750 | ||||||||
10,000 | SLM Corp., 5.00%, due 04/15/15 | 10,425 | ||||||||
2,675,000 | SLM Corp., 6.00%, due 01/25/17 | 2,848,875 | ||||||||
475,000 | SLM Corp., 6.25%, due 01/25/16 | 507,656 | ||||||||
480,000 | SLM Corp., 8.00%, due 03/25/20 | 520,200 | ||||||||
320,000 | Softbank Corp., 4.50%, due 04/15/20 144A | 307,600 | ||||||||
880,000 | Southern Copper Corp., 5.25%, due 11/08/42 | 714,109 | ||||||||
20,000 | Sprint Capital Corp., 8.75%, due 03/15/32 | 20,425 | ||||||||
880,000 | Sprint Corp., 7.88%, due 09/15/23 144A | 899,800 | ||||||||
375,000 | Sprint Nextel Corp., 6.00%, due 12/01/16 | 398,437 | ||||||||
850,000 | State Street Corp., 4.96%, due 03/15/18 | 936,066 | ||||||||
190,000 | Steel Dynamics, Inc., 7.63%, due 03/15/20 | 206,388 | ||||||||
99,000 | SunTrust Preferred Capital I, 4.00%, due 12/31/49† | 78,210 | ||||||||
240,000 | Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, due 04/15/21 144A | 224,400 | ||||||||
100,000 | Taylor Morrison Communities, Inc./Monarch Communities, Inc., 7.75%, due 04/15/20 144A | 109,750 | ||||||||
380,000 | Teachers Insurance & Annuity Association of America, 6.85%, due 12/16/39 144A | 471,859 | ||||||||
666,000 | Telecom Italia Capital SA, 6.18%, due 06/18/14 | 686,302 | ||||||||
1,250,000 | Telecom Italia Capital SA, 7.00%, due 06/04/18 | 1,378,686 | ||||||||
1,630,000 | Telecom Italia Capital SA, 7.18%, due 06/18/19 | 1,800,314 | ||||||||
450,000 | Telecom Italia Capital SA, Guaranteed Senior Note, 7.20%, due 07/18/36 | 420,374 | ||||||||
370,000 | Telefonica Emisiones SAU, 5.13%, due 04/27/20 | 379,744 | ||||||||
10,000 | Telefonica Emisiones SAU, 5.46%, due 02/16/21 | 10,265 | ||||||||
30,000 | Telefonica Emisiones SAU, 5.88%, due 07/15/19 | 32,569 | ||||||||
50,000 | Telefonica Emisiones SAU, 6.22%, due 07/03/17 | 55,346 | ||||||||
360,000 | Temasek Financial I, Ltd., 2.38%, due 01/23/23 144A | 330,386 | ||||||||
90,000 | Tenet Healthcare Corp., 4.50%, due 04/01/21 | 84,713 | ||||||||
380,000 | Tenet Healthcare Corp., 6.00%, due 10/01/20 144A | 389,262 | ||||||||
120,000 | Teva Pharmaceutical Finance Co. BV, 3.65%, due 11/10/21 | 119,312 | ||||||||
610,000 | Teva Pharmaceutical Finance IV BV, 3.65%, due 11/10/21 | 606,503 | ||||||||
220,000 | Thermo Fisher Scientific, Inc., 3.60%, due 08/15/21 | 216,845 | ||||||||
520,000 | Time Warner Cable, Inc., 4.13%, due 02/15/21 | 491,846 | ||||||||
10,000 | Time Warner Cable, Inc., 5.00%, due 02/01/20 | 10,139 |
72 | See accompanying Notes to the Financial Statements. |
Mercer Core Fixed Income Fund
(formerly known as Mercer Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
740,000 | �� | Time Warner Cable, Inc., 5.85%, due 05/01/17 | 805,393 | |||||||
160,000 | Time Warner Cable, Inc., 5.88%, due 11/15/40 | 136,594 | ||||||||
720,000 | Time Warner Cable, Inc., 6.55%, due 05/01/37 | 664,389 | ||||||||
725,000 | Time Warner Cable, Inc., 7.30%, due 07/01/38 | 723,488 | ||||||||
1,705,000 | Time Warner Cable, Inc., 8.25%, due 04/01/19 | 1,975,930 | ||||||||
2,150,000 | Time Warner Cable, Inc., 8.75%, due 02/14/19 | 2,532,255 | ||||||||
260,000 | Time Warner, Inc., 4.70%, due 01/15/21 | 278,301 | ||||||||
200,000 | Time Warner, Inc., 4.75%, due 03/29/21 | 214,542 | ||||||||
50,000 | Time Warner, Inc., 6.25%, due 03/29/41 | 55,155 | ||||||||
200,000 | Time Warner, Inc., 7.63%, due 04/15/31 | 249,581 | ||||||||
2,700,000 | Time Warner, Inc., 7.70%, due 05/01/32 | 3,408,809 | ||||||||
1,100,000 | TNK-BP Finance SA, 7.50%, due 07/18/16 144A | 1,233,375 | ||||||||
3,200,000 | TNK-BP Finance SA, Reg S, 7.88%, due 03/13/18‡‡‡ | 3,704,000 | ||||||||
670,000 | Toyota Motor Credit Corp., 1.25%, due 10/05/17 | 661,043 | ||||||||
130,000 | Transocean, Inc., 5.05%, due 12/15/16 | 142,572 | ||||||||
160,000 | Transocean, Inc., 6.38%, due 12/15/21 | 178,139 | ||||||||
1,025,000 | Travelers Cos. (The), Inc., 5.80%, due 05/15/18 | 1,197,178 | ||||||||
490,000 | Turlock Corp., 1.50%, due 11/02/17 144A | 483,580 | ||||||||
1,430,000 | Turlock Corp., 2.75%, due 11/02/22 144A | 1,335,244 | ||||||||
250,000 | Turlock Corp., 4.15%, due 11/02/42 144A | 222,974 | ||||||||
130,000 | tw telecom holdings, Inc., 5.38%, due 10/01/22 | 124,475 | ||||||||
370,000 | UBS AG/Stamford Branch, 2.25%, due 01/28/14 | 372,352 | ||||||||
3,087,000 | Union Pacific Corp., 4.16%, due 07/15/22 | 3,266,682 | ||||||||
300,000 | United Business Media, Ltd., 5.75%, due 11/03/20 144A | 307,120 | ||||||||
270,000 | United Technologies Corp., 4.50%, due 06/01/42 | 263,319 | ||||||||
40,000 | UnitedHealth Group, Inc., 1.63%, due 03/15/19 | 38,595 | ||||||||
90,000 | UnitedHealth Group, Inc., 3.38%, due 11/15/21 | 89,888 | ||||||||
520,000 | UnitedHealth Group, Inc., Senior Note, 6.00%, due 02/15/18 | 606,673 | ||||||||
170,000 | Univision Communications, Inc., 5.13%, due 05/15/23‡ 144A | 163,625 | ||||||||
1,532,000 | Vale Overseas, Ltd., 4.38%, due 01/11/22 | 1,483,656 | ||||||||
390,000 | Vale Overseas, Ltd., Guaranteed Note, 6.88%, due 11/21/36 | 397,486 | ||||||||
220,000 | Vedanta Resources Plc, Senior Global Note, 8.75%, due 01/15/14‡ 144A | 224,400 | ||||||||
200,000 | Verizon Communications, Inc., 2.00%, due 09/14/18† | 210,550 | ||||||||
40,000 | Verizon Communications, Inc., 2.45%, due 11/01/22 | 35,538 | ||||||||
200,000 | Verizon Communications, Inc., 2.50%, due 09/15/16 | 206,284 | ||||||||
800,000 | Verizon Communications, Inc., 3.65%, due 09/14/18 | 843,909 | ||||||||
700,000 | Verizon Communications, Inc., 4.50%, due 09/15/20 | 745,539 | ||||||||
2,410,000 | Verizon Communications, Inc., 5.15%, due 09/15/23 | 2,588,063 | ||||||||
50,000 | Verizon Communications, Inc., 6.35%, due 04/01/19 | 58,746 | ||||||||
1,670,000 | Verizon Communications, Inc., 6.40%, due 09/15/33 | 1,859,976 | ||||||||
4,190,000 | Verizon Communications, Inc., 6.55%, due 09/15/43 | 4,746,809 | ||||||||
190,000 | Vesey Street Investment Trust I, 4.40%, due 09/01/16†† | 203,863 | ||||||||
500,000 | Viacom, Inc., 4.25%, due 09/01/23 | 498,281 | ||||||||
225,000 | Vulcan Materials Co., 6.50%, due 12/01/16 | 248,625 | ||||||||
1,400,000 | Vulcan Materials Co., 7.50%, due 06/15/21 | 1,568,000 | ||||||||
250,000 | Wachovia Bank NA, 6.00%, due 11/15/17 | 288,417 | ||||||||
750,000 | Wachovia Capital Trust III, Secured Note, 5.57%, due 12/31/49† | 682,500 | ||||||||
570,000 | Wachovia Corp., Senior Note, 5.63%, due 10/15/16 | 639,125 | ||||||||
640,000 | Wachovia Corp., Subordinated Note, 5.25%, due 08/01/14 | 664,677 |
See accompanying Notes to the Financial Statements. | 73 |
Mercer Core Fixed Income Fund
(formerly known as Mercer Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
460,000 | Wal-Mart Stores, Inc., 5.63%, due 04/15/41 | 520,162 | ||||||||
190,000 | Waste Management, Inc., 7.38%, due 05/15/29 | 232,724 | ||||||||
130,000 | WellPoint, Inc., 1.25%, due 09/10/15 | 130,947 | ||||||||
30,000 | WellPoint, Inc., 3.70%, due 08/15/21 | 30,174 | ||||||||
730,000 | WellPoint, Inc., 5.88%, due 06/15/17 | 830,247 | ||||||||
1,746,000 | WellPoint, Inc., 7.00%, due 02/15/19 | 2,114,340 | ||||||||
190,000 | Wells Fargo & Co., 1.50%, due 01/16/18 | 187,157 | ||||||||
360,000 | Wells Fargo & Co., 3.45%, due 02/13/23 | 337,609 | ||||||||
420,000 | Wells Fargo & Co., 3.68%, due 06/15/16†† | 447,911 | ||||||||
90,000 | Wells Fargo & Co., 4.60%, due 04/01/21 | 97,885 | ||||||||
340,000 | Wells Fargo Capital X, 5.95%, due 12/01/86 | 325,550 | ||||||||
270,000 | Williams Cos. (The), Inc., Series A, 7.50%, due 01/15/31 | 299,334 | ||||||||
124,000 | Williams Cos. (The), Inc., 7.88%, due 09/01/21 | 148,104 | ||||||||
80,000 | Williams Cos. (The), Inc., 8.75%, due 03/15/32 | 97,732 | ||||||||
290,000 | Williams Partners, LP/Williams Partners Finance Corp., Senior Note, 7.25%, due 02/01/17 | 337,906 | ||||||||
120,000 | WPP Finance UK, 8.00%, due 09/15/14 | 127,949 | ||||||||
510,000 | Wyeth LLC, 5.95%, due 04/01/37 | 598,734 | ||||||||
1,525,000 | Xerox Corp., 4.50%, due 05/15/21 | 1,587,571 | ||||||||
300,000 | Xerox Corp., 5.63%, due 12/15/19 | 333,742 | ||||||||
2,500,000 | Xerox Corp., 6.35%, due 05/15/18 | 2,874,205 | ||||||||
520,000 | Xstrata Finance Canada, Ltd., 2.05%, due 10/23/15 144A | 521,677 | ||||||||
470,000 | Xstrata Finance Canada, Ltd., 2.70%, due 10/25/17 144A | 467,886 | ||||||||
100,000 | Xstrata Finance Canada, Ltd., 5.80%, due 11/15/16 144A | 109,320 | ||||||||
90,000 | Zoetis, Inc., 3.25%, due 02/01/23 144A | 85,851 | ||||||||
|
| |||||||||
313,923,706 | ||||||||||
|
| |||||||||
Mortgage Backed Securities - Private Issuers — 2.4% | ||||||||||
200,000 | Americold LLC Trust, Series 2010-ARTA, Class A2FX, 4.95%, due 01/14/29 144A | 213,848 | ||||||||
60,000 | Banc of America Commercial Mortgage Trust, Series 2006-5, Class AM, 5.45%, due 09/10/47 | 63,566 | ||||||||
550,000 | Banc of America Commercial Mortgage Trust, Series 2008-1, Class A4, 6.40%, due 02/10/51† | 630,804 | ||||||||
156,633 | Banc of America Funding Corp., Series 2005-E, Class 8A1, 2.38%, due 06/20/35† | 94,946 | ||||||||
136,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-1, Class AM, 5.42%, due 09/10/45† | 145,883 | ||||||||
791,661 | Bear Stearns ALT-A Trust, Series 2004-12, Class 1A3, 0.88%, due 01/25/35† | 742,328 | ||||||||
767,679 | Bear Stearns ALT-A Trust, Series 2004-7, Class 2A1, 2.59%, due 08/25/34† | 778,889 | ||||||||
230,000 | Bear Stearns Commercial Mortgage Securities Trust, Series 2007-PW16, Class AM, 5.90%, due 06/11/40† | 259,172 | ||||||||
150,000 | Bear Stearns Commercial Mortgage Securities Trust, Series 2007-PW17, Class AM, 5.92%, due 06/11/50† | 169,581 | ||||||||
80,000 | CD Commercial Mortgage Trust, Series 2006-CD2, Class AM, 5.53%, due 01/15/46† | 84,821 | ||||||||
358,537 | Citigroup Mortgage Loan Trust, Inc., Series 2010-3, Class 4A1, 2.43%, due 02/25/36† 144A | 361,032 | ||||||||
285,000 | COBALT CMBS Commercial Mortgage Trust, Series 2007-C2, Class AMFX, 5.53%, due 04/15/47† | 315,455 |
74 | See accompanying Notes to the Financial Statements. |
Mercer Core Fixed Income Fund
(formerly known as Mercer Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers — continued | ||||||||||
80,000 | Commercial Mortgage Pass Through Certificates, Series 2012-CR3, Class A3, 2.82%, due 11/15/45 | 75,854 | ||||||||
100,000 | Commercial Mortgage Pass Through Certificates, Series 2013, Class A2, 3.09%, due 04/12/35† 144A | 93,702 | ||||||||
349,000 | Commercial Mortgage Pass-Through Certificates, Series 2007-C2, Class AM, 5.62%, due 01/15/49† | 371,803 | ||||||||
67,435 | Countrywide Alternative Loan Trust, Series 2005-61, Class 1A1, 0.44%, due 12/25/35† | 59,219 | ||||||||
61,123 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-R3, Class AF, 0.58%, due 09/25/35† 144A | 53,706 | ||||||||
219,717 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR30, Class 2A1, 2.67%, due 01/25/34† | 216,819 | ||||||||
422,629 | Downey Savings & Loan Association Mortgage Loan Trust, Series 2004-AR1, Class A2A, 1.00%, due 09/19/44† | 388,018 | ||||||||
100,000 | Extended Stay America Trust, Series 2013-ESH7, Class A27, 2.96%, due 12/05/31 144A | 98,058 | ||||||||
210,134 | First Horizon Alternative Mortgage Securities, Series 2006-FA1, Class 1A6, 0.93%, due 04/25/36† | 205,530 | ||||||||
290,000 | Fremont Home Loan Trust, Series 2004-B, Class M1, 1.05%, due 05/25/34† | 261,527 | ||||||||
101,247 | Granite Mortgages Plc, Series 2004-3, Class 2A1, 0.53%, due 09/20/44† | 100,159 | ||||||||
157,563 | Granite Mortgages Plc, Reg S, Series 2003-2, Class 1A3, 0.77%, due 07/20/43† ‡‡‡ | 156,420 | ||||||||
274,000 | Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class AM, 6.06%, due 07/10/38† | 300,020 | ||||||||
110,000 | GS Mortgage Securities Trust, Series 2013-GC13, Class A5, 4.18%, due 07/10/46† | 114,350 | ||||||||
60,000 | GS Mortgage Securities Trust, Series 2013-GC14, Class A5, 4.24%, due 08/10/46 | 62,555 | ||||||||
241,527 | GSMPS Mortgage Loan Trust, Series 2005-RP2, Class 1AF, 0.53%, due 03/25/35† 144A | 206,345 | ||||||||
158,000 | GSMS 2012-ALOHA, 3.55%, due 04/10/34 144A | 157,086 | ||||||||
78,619 | GSR Mortgage Loan Trust, Series 2004-7, Class 4A1, 4.81%, due 06/25/34† | 77,920 | ||||||||
68,107 | Harborview Mortgage Loan Trust, Series 2005-9, Class 2A1A, 0.52%, due 06/20/35† | 62,396 | ||||||||
962,660 | Harborview Mortgage Loan Trust, Series 2007-4, Class 2A1, 0.40%, due 07/19/47† | 811,552 | ||||||||
185,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP8, Class AM, 5.44%, due 05/15/45 | 203,199 | ||||||||
570,000 | JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP9, Class A3, 5.34%, due 05/15/47 | 627,720 | ||||||||
30,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB20, Class AM, 6.08%, due 02/12/51† | 33,838 | ||||||||
110,000 | LB Commercial Mortgage Trust, Series 2007-C3, Class AM, 6.08%, due 07/15/44† | 122,684 | ||||||||
550,000 | LB-UBS Commercial Mortgage Trust, Series 2007-C7, Class AM, 6.43%, due 09/15/45† | 622,974 | ||||||||
84,359 | Lehman XS Trust, Series 2005-7N, Class 1A1B, 0.48%, due 12/25/35† | 35,678 | ||||||||
107,022 | MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 3A1, 2.83%, due 01/25/36† | 101,414 | ||||||||
71,952 | Merrill Lynch Mortgage Investors, Inc., Series 2005-A3, Class A1, 0.45%, due 04/25/35† | 69,188 | ||||||||
310,000 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-4, Class AM, 5.20%, due 12/12/49† | 338,168 | ||||||||
410,000 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4, 5.70%, due 09/12/49 | 459,695 |
See accompanying Notes to the Financial Statements. | 75 |
Mercer Core Fixed Income Fund
(formerly known as Mercer Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers — continued | ||||||||||
162,910 | MLCC Mortgage Investors, Inc., Series 2007-1, Class 4A3, 5.63%, due 01/25/37† | 162,902 | ||||||||
162,000 | Morgan Stanley Bank of America Merrill Lynch Trust, 3.21%, due 02/15/46† | 152,658 | ||||||||
150,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7, Class A4, 2.92%, due 02/15/46 | 142,419 | ||||||||
290,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class AS, 3.46%, due 05/15/46 | 277,543 | ||||||||
290,000 | Morgan Stanley Capital I, Inc., Series 2007-IQ15, Class A4, 6.11%, due 06/11/49† | 325,474 | ||||||||
178,303 | Morgan Stanley Mortgage Loan Trust, Series 2004-5AR, Class 2A, 2.73%, due 07/25/34† | 175,790 | ||||||||
311,911 | Morgan Stanley Mortgage Loan Trust, Series 2004-7AR, Class 2A6, 2.47%, due 09/25/34† | 304,616 | ||||||||
406,961 | Nomura Asset Acceptance Corp., Series 2004-R3, Class A1, 6.50%, due 02/25/35 144A | 427,045 | ||||||||
441,156 | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2007-1, Class 1A3, 5.96%, due 03/25/47†† | 443,555 | ||||||||
358,076 | Novastar Mortgage-Backed Notes, Series 2006-MTA1, Class 2A1A, 0.37%, due 09/25/46† | 284,673 | ||||||||
240,534 | Prime Mortgage Trust, Series 2006-DR1, Class 1A1, 5.50%, due 05/25/35 144A | 240,570 | ||||||||
103,409 | Prime Mortgage Trust, Series 2006-DR1, Class 1A2, 6.00%, due 05/25/35 144A | 104,463 | ||||||||
1,184,696 | Prime Mortgage Trust, Series 2006-DR1, Class 2A1, 5.50%, due 05/25/35 144A | 1,137,229 | ||||||||
969,324 | Prime Mortgage Trust, Series 2006-DR1, Class 2A2, 6.00%, due 05/25/35 144A | 973,606 | ||||||||
363,373 | Provident Funding Mortgage Loan Trust, Series 2005-1, Class 2A1, 2.74%, due 05/25/35† | 367,970 | ||||||||
166,486 | RBSSP Resecuritization Trust, Series 2010-3, Class 4A1, 3.18%, due 12/26/35† 144A | 168,120 | ||||||||
84,794 | Residential Asset Securitization Trust, Series 2003-A8, Class A2, 0.53%, due 10/25/18† | 83,031 | ||||||||
776,326 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-10, Class 2A, 2.43%, due 08/25/34† | 749,174 | ||||||||
139,197 | Structured Asset Securities Corp., Series 2002-9, Class A2, 0.48%, due 10/25/27† | 138,142 | ||||||||
140,000 | UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class AS, 3.32%, due 12/10/45 144A | 132,323 | ||||||||
280,000 | Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.34%, due 12/15/43 | 310,256 | ||||||||
190,000 | Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class AM, 5.38%, due 12/15/43 | 202,821 | ||||||||
40,000 | Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A5, 5.50%, due 04/15/47 | 44,571 | ||||||||
187,149 | WaMu Mortgage Pass Through Certificates, Series 2002-AR19, Class A6, 2.49%, due 02/25/33† | 184,851 | ||||||||
516,520 | WaMu Mortgage Pass Through Certificates, Series 2003-AR10, Class A7, 2.50%, due 10/25/33† | 525,738 | ||||||||
674,064 | WaMu Mortgage Pass Through Certificates, Series 2003-AR11, Class A6, 2.46%, due 10/25/33† | 680,322 | ||||||||
61,671 | WaMu Mortgage Pass Through Certificates, Series 2003-AR9, Class 1A7, 2.43%, due 09/25/33† | 62,584 | ||||||||
283,613 | WaMu Mortgage Pass Through Certificates, Series 2004-AR13, Class A1A, 0.55%, due 11/25/34† | 264,987 | ||||||||
673,173 | WaMu Mortgage Pass Through Certificates, Series 2004-AR14, Class A1, 2.43%, due 01/25/35† | 683,201 |
76 | See accompanying Notes to the Financial Statements. |
Mercer Core Fixed Income Fund
(formerly known as Mercer Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers — continued | ||||||||||
379,181 | WaMu Mortgage Pass Through Certificates, Series 2004-CB2, Class 4A, 6.50%, due 08/25/34 | 411,726 | ||||||||
799,329 | WaMu Mortgage Pass Through Certificates, Series 2005-AR11, Class A1A, 0.50%, due 08/25/45† | 746,146 | ||||||||
453,055 | WaMu Mortgage Pass Through Certificates, Series 2005-AR3, Class A2, 2.50%, due 03/25/35† | 451,026 | ||||||||
301,982 | WaMu Mortgage Pass Through Certificates, Series 2005-AR6, Class 2A1A, 0.41%, due 04/25/45† | 279,312 | ||||||||
63,514 | WaMu Mortgage Pass Through Certificates, Series 2006-AR14, Class 1A1, 2.35%, due 11/25/36† | 53,149 | ||||||||
1,449,165 | WaMu Mortgage Pass-Through Certificates, Series 2006-AR6, Class 2A, 1.11%, due 08/25/46† | 913,810 | ||||||||
933,997 | WaMu Mortgage Pass-Through Certificates, Series 2007-OA2, Class 1A, 0.85%, due 03/25/47† | 707,373 | ||||||||
110,597 | Washington Mutual, Inc., Series 2005-AR13, Class A1A1, 0.47%, due 10/25/45† | 101,848 | ||||||||
105,248 | Washington Mutual, Inc., Series 2005-AR15, Class A1A1, 0.44%, due 11/25/45† | 94,696 | ||||||||
156,304 | Washington Mutual, Inc., Series 2005-AR19, Class A1A1, 0.45%, due 12/25/45† | 144,616 | ||||||||
195,380 | Washington Mutual, Inc., Series 2005-AR19, Class A1A2, 0.47%, due 12/25/45† | 172,776 | ||||||||
252,846 | Washington Mutual, Inc., Series 2006-AR14, Class 1A4, 2.35%, due 11/25/36† | 209,009 | ||||||||
620,708 | Washington Mutual, Inc., Series 2006-AR16, Class 1A1, 2.35%, due 12/25/36† | 524,355 | ||||||||
80,000 | Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class A4, 4.22%, due 07/15/46† | 83,146 | ||||||||
260,821 | Wells Fargo Mortgage Backed Securities Trust, Series 2004-Y, Class 1A2, 2.67%, due 11/25/34† | 257,634 | ||||||||
236,288 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR8, Class 2A1, 2.70%, due 06/25/35† | 240,439 | ||||||||
542,667 | Wells Fargo Mortgage Loan Trust, Series 2010-RR4, Class 2A1, 3.15%, due 08/27/35 144A | 554,437 | ||||||||
|
| |||||||||
26,044,054 | ||||||||||
|
| |||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — 35.8% |
| |||||||||
28,136 | FHLMC, Pool # 1N1589, 1.96%, due 05/01/37† | 29,838 | ||||||||
46,180 | FHLMC, Pool # 1Q0136, 2.37%, due 09/01/36† | 48,995 | ||||||||
975,437 | FHLMC, Pool # U90503, 3.50%, due 11/01/42 | 982,462 | ||||||||
91,018 | FHLMC, Pool # U90598, 3.50%, due 12/01/42 | 91,675 | ||||||||
493,515 | FHLMC, Pool # U90772, 3.50%, due 01/01/43 | 497,070 | ||||||||
98,782 | FHLMC, Pool # U90720, 3.50%, due 01/01/43 | 99,494 | ||||||||
98,792 | FHLMC, Pool # U90768, 3.50%, due 01/01/43 | 99,503 | ||||||||
91,896 | FHLMC, Pool # U90778, 3.50%, due 01/01/43 | 92,559 | ||||||||
98,990 | FHLMC, Pool # U91027, 3.50%, due 02/01/43 | 99,705 | ||||||||
197,808 | FHLMC, Pool # U90903, 3.50%, due 02/01/43 | 199,237 | ||||||||
98,726 | FHLMC, Pool # U90841, 3.50%, due 02/01/43 | 99,439 | ||||||||
98,969 | FHLMC, Pool # U90940, 3.50%, due 02/01/43 | 99,682 | ||||||||
593,211 | FHLMC, Pool # U62476, 3.50%, due 04/01/43 | 599,431 | ||||||||
883,662 | FHLMC, Pool # Q17792, 3.50%, due 05/01/43 | 898,429 | ||||||||
2,505,918 | FHLMC, Pool # 849096, 3.64%, due 10/01/41† | 2,610,293 | ||||||||
1,098,640 | FHLMC, Pool # G14492, 4.00%, due 10/01/25 | 1,164,930 | ||||||||
5,583,201 | FHLMC, Pool # J13193, 4.00%, due 10/01/25 | 5,921,534 |
See accompanying Notes to the Financial Statements. | 77 |
Mercer Core Fixed Income Fund
(formerly known as Mercer Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — continued |
| |||||||||
1,179,445 | FHLMC, Pool # G14678, 4.00%, due 12/01/26 | 1,251,032 | ||||||||
4,134,716 | FHLMC, Pool # C91402, 4.00%, due 10/01/31 | 4,363,348 | ||||||||
397,053 | FHLMC, Pool # U91254, 4.00%, due 04/01/43 | 414,583 | ||||||||
99,551 | FHLMC, Pool # Q19134, 4.00%, due 06/01/43 | 104,398 | ||||||||
295,603 | FHLMC, Pool # Q19611, 4.00%, due 07/01/43 | 311,286 | ||||||||
296,353 | FHLMC, Pool # Q19615, 4.00%, due 07/01/43 | 311,522 | ||||||||
199,443 | FHLMC, Pool # U95137, 4.00%, due 08/01/43 | 208,229 | ||||||||
2,435,744 | FHLMC, Pool # Q02552, 4.50%, due 08/01/41 | 2,600,553 | ||||||||
3,314,000 | FHLMC, Pool #G07491, 4.50%, due 03/01/42**** | 3,533,035 | ||||||||
845,952 | FHLMC, Pool # A74793, 5.00%, due 03/01/38 | 911,784 | ||||||||
1,455,410 | FHLMC, Pool # 1Q0481, 5.12%, due 02/01/38† | 1,561,640 | ||||||||
659,148 | FHLMC, Pool # G01749, 5.50%, due 01/01/35 | 717,530 | ||||||||
140,671 | FHLMC, Pool # A39306, 5.50%, due 11/01/35 | 152,559 | ||||||||
141,395 | FHLMC, Pool # G02427, 5.50%, due 12/01/36 | 153,229 | ||||||||
258,797 | FHLMC, Pool # G03695, 5.50%, due 11/01/37 | 280,347 | ||||||||
140,069 | FHLMC, Pool # G04222, 5.50%, due 04/01/38 | 151,732 | ||||||||
914,184 | FHLMC, Pool # G04587, 5.50%, due 08/01/38 | 990,308 | ||||||||
1,020,894 | FHLMC, Pool # G05979, 5.50%, due 10/01/38 | 1,105,904 | ||||||||
654,187 | FHLMC, Pool # G06875, 5.50%, due 12/01/38 | 710,622 | ||||||||
970,479 | FHLMC, Pool # G06172, 5.50%, due 12/01/38 | 1,051,291 | ||||||||
419,821 | FHLMC, Pool # G06020, 5.50%, due 12/01/39 | 454,780 | ||||||||
294,112 | FHLMC, Pool # G06945, 5.50%, due 02/01/40 | 318,603 | ||||||||
2,105,110 | FHLMC, Pool # 782735, 5.70%, due 09/01/36† | 2,266,058 | ||||||||
653,060 | FHLMC, Pool # G07117, 6.00%, due 10/01/36 | 722,394 | ||||||||
36,602 | FHLMC, Pool # H09061, 6.00%, due 06/01/37 | 39,585 | ||||||||
1,284,423 | FHLMC, Pool # G03265, 6.00%, due 08/01/37 | 1,408,216 | ||||||||
541,232 | FHLMC, Pool # G03362, 6.00%, due 09/01/37 | 590,208 | ||||||||
711,396 | FHLMC, Pool # G08271, 6.00%, due 05/01/38 | 775,552 | ||||||||
1,540,312 | FHLMC, Pool # G06409, 6.00%, due 11/01/39 | 1,679,222 | ||||||||
451,388 | FHLMC, Pool # G06832, 6.00%, due 03/01/40 | 492,808 | ||||||||
130,805 | FHLMC, Pool # G06669, 6.50%, due 09/01/39 | 145,039 | ||||||||
78,842 | FHLMC, Pool # G07335, 7.00%, due 03/01/39 | 85,939 | ||||||||
50,614 | FHLMC, Series 2808, Class FT, 0.53%, due 04/15/33† | 50,629 | ||||||||
4,218,404 | FHLMC, Series 311, Class F1, 0.73%, due 08/15/43† | 4,244,192 | ||||||||
202,008 | FHLMC, Series 4206, Class CZ, 3.00%, due 05/15/43 | 159,196 | ||||||||
395,639 | FHLMC, Series 4210, Class Z, 3.00%, due 05/15/43 | 327,597 | ||||||||
201,001 | FHLMC, Series 4226, Class GZ, 3.00%, due 07/15/43 | 159,368 | ||||||||
1,642,746 | FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K006, Class AX1, 1.21%, due 01/25/20† | 86,090 | ||||||||
3,167,836 | FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K007, Class X1, 1.39%, due 04/25/20† | 188,062 | ||||||||
3,874,416 | FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K008, Class X1, 1.82%, due 06/25/20† | 324,033 | ||||||||
1,755,552 | FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K009, Class X1, 1.66%, due 08/25/20† | 132,956 | ||||||||
1,717,367 | FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K702, Class X1, 1.71%, due 02/25/18† | 100,084 | ||||||||
409,005 | FHLMC Reference REMIC, Series R007, Class ZA, 6.00%, due 05/15/36 | 452,353 |
78 | See accompanying Notes to the Financial Statements. |
Mercer Core Fixed Income Fund
(formerly known as Mercer Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — continued |
| |||||||||
362,734 | FHLMC Structured Pass Through Securities, Series T-61, Class 1A1, 1.55%, due 07/25/44† | 369,460 | ||||||||
3,300,000 | FHLMC TBA, 2.50%, due 06/01/27 | 3,320,109 | ||||||||
10,500,000 | FHLMC TBA, 3.50%, due 03/01/42 | 10,660,781 | ||||||||
952,503 | FNMA, Pool # AP9633, 2.50%, due 10/01/42 | 887,701 | ||||||||
193,642 | FNMA, Pool # AQ7306, 3.00%, due 01/01/43 | 186,508 | ||||||||
98,433 | FNMA, Pool # AR1198, 3.00%, due 01/01/43 | 94,809 | ||||||||
193,550 | FNMA, Pool # AR1202, 3.00%, due 01/01/43 | 186,431 | ||||||||
1,594,789 | FNMA, Pool # AH2430, 3.50%, due 01/01/26 | 1,686,701 | ||||||||
1,316,248 | FNMA, Pool # AE2148, 3.50%, due 02/01/26 | 1,392,266 | ||||||||
1,016,409 | FNMA, Pool # AE3507, 3.50%, due 02/01/26 | 1,074,982 | ||||||||
172,509 | FNMA, Pool # AL0554, 3.50%, due 08/01/26 | 182,446 | ||||||||
580,977 | FNMA, Pool # AQ5369, 3.50%, due 12/01/42 | 586,977 | ||||||||
587,605 | FNMA, Pool # AQ7083, 3.50%, due 12/01/42 | 593,676 | ||||||||
483,883 | FNMA, Pool # AB7130, 3.50%, due 12/01/42 | 488,877 | ||||||||
686,277 | FNMA, Pool # MA1372, 3.50%, due 03/01/43 | 693,373 | ||||||||
1,380,434 | FNMA, Pool # MA1403, 3.50%, due 04/01/43 | 1,394,713 | ||||||||
496,404 | FNMA, Pool # AT4907, 3.50%, due 05/01/43 | 506,022 | ||||||||
795,061 | FNMA, Pool # AT4961, 3.50%, due 05/01/43 | 810,409 | ||||||||
494,228 | FNMA, Pool # MA1436, 3.50%, due 05/01/43 | 499,343 | ||||||||
496,836 | FNMA, Pool # AT7101, 3.50%, due 06/01/43 | 506,425 | ||||||||
696,053 | FNMA, Pool # AT7139, 3.50%, due 06/01/43 | 709,489 | ||||||||
696,710 | FNMA, Pool # AT7167, 3.50%, due 06/01/43 | 710,174 | ||||||||
696,836 | FNMA, Pool # AT8906, 3.50%, due 07/01/43 | 710,304 | ||||||||
398,435 | FNMA, Pool # AT8921, 3.50%, due 07/01/43 | 406,133 | ||||||||
797,553 | FNMA, Pool # AU1228, 3.50%, due 07/01/43 | 812,989 | ||||||||
2,444,470 | FNMA, Pool # MA0587, 4.00%, due 12/01/30 | 2,607,528 | ||||||||
71,833 | FNMA, Pool # 776565, 4.00%, due 04/01/34 | 75,831 | ||||||||
486,702 | FNMA, Pool # AH1338, 4.00%, due 12/01/40 | 512,196 | ||||||||
135,456 | FNMA, Pool # AH6392, 4.00%, due 02/01/41 | 142,462 | ||||||||
388,382 | FNMA, Pool # AP9766, 4.00%, due 10/01/42 | 404,847 | ||||||||
372,457 | FNMA, Pool # AQ4555, 4.00%, due 12/01/42 | 398,630 | ||||||||
95,095 | FNMA, Pool # AQ4573, 4.00%, due 12/01/42 | 102,167 | ||||||||
97,395 | FNMA, Pool # AL3508, 4.00%, due 04/01/43 | 102,747 | ||||||||
589,813 | FNMA, Pool # AB9383, 4.00%, due 05/01/43 | 620,592 | ||||||||
99,486 | FNMA, Pool # AQ4078, 4.00%, due 06/01/43 | 104,936 | ||||||||
197,447 | FNMA, Pool # AQ4080, 4.00%, due 06/01/43 | 207,777 | ||||||||
99,556 | FNMA, Pool # AT3874, 4.00%, due 06/01/43 | 104,740 | ||||||||
99,323 | FNMA, Pool # AT6549, 4.00%, due 06/01/43 | 104,766 | ||||||||
99,522 | FNMA, Pool # AT6546, 4.00%, due 06/01/43 | 105,165 | ||||||||
99,477 | FNMA, Pool # AT7208, 4.00%, due 06/01/43 | 104,936 | ||||||||
99,418 | FNMA, Pool # AT7698, 4.00%, due 06/01/43 | 104,688 | ||||||||
297,529 | FNMA, Pool # AT8394, 4.00%, due 06/01/43 | 313,835 | ||||||||
99,399 | FNMA, Pool # AB9597, 4.00%, due 06/01/43 | 104,494 | ||||||||
493,770 | FNMA, Pool # AB9683, 4.00%, due 06/01/43 | 519,079 | ||||||||
99,514 | FNMA, Pool # MA1510, 4.00%, due 07/01/43 | 103,722 | ||||||||
394,652 | FNMA, Pool # AT9637, 4.00%, due 07/01/43 | 415,298 | ||||||||
398,129 | FNMA, Pool # AT9653, 4.00%, due 07/01/43 | 419,942 |
See accompanying Notes to the Financial Statements. | 79 |
Mercer Core Fixed Income Fund
(formerly known as Mercer Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — continued |
| |||||||||
394,672 | FNMA, Pool # AT9657, 4.00%, due 07/01/43 | 414,949 | ||||||||
99,706 | FNMA, Pool # AS0070, 4.00%, due 08/01/43 | 103,911 | ||||||||
99,684 | FNMA, Pool # MA1547, 4.00%, due 08/01/43 | 103,898 | ||||||||
25,958 | FNMA, Pool # 254802, 4.50%, due 07/01/18 | 27,633 | ||||||||
6,401,162 | FNMA, Pool # AD0244, 4.50%, due 10/01/24 | 6,814,179 | ||||||||
1,947,106 | FNMA, Pool # AL4147, 4.50%, due 01/01/25 | 2,072,727 | ||||||||
2,809,469 | FNMA, Pool # AL1900, 4.50%, due 08/01/26 | 2,990,909 | ||||||||
226,537 | FNMA, Pool # MA0706, 4.50%, due 04/01/31 | 244,717 | ||||||||
737,702 | FNMA, Pool # MA0734, 4.50%, due 05/01/31 | 801,948 | ||||||||
228,234 | FNMA, Pool # MA0776, 4.50%, due 06/01/31 | 248,086 | ||||||||
235,293 | FNMA, Pool # MA0913, 4.50%, due 11/01/31 | 253,930 | ||||||||
71,821 | FNMA, Pool # MA0968, 4.50%, due 12/01/31 | 77,383 | ||||||||
253,579 | FNMA, Pool # MA0939, 4.50%, due 12/01/31 | 273,746 | ||||||||
2,495,505 | FNMA, Pool # AL0215, 4.50%, due 04/01/41 | 2,673,720 | ||||||||
909,135 | FNMA, Pool # AL3429, 4.50%, due 06/01/41 | 973,472 | ||||||||
515,552 | FNMA, Pool # AL3414, 4.50%, due 09/01/41 | 552,299 | ||||||||
371,993 | FNMA, Pool # AB3517, 4.50%, due 09/01/41 | 397,354 | ||||||||
4,377,667 | FNMA, Pool # AL2439, 5.00%, due 06/01/26 | 4,703,296 | ||||||||
100,140 | FNMA, Pool # 254793, 5.00%, due 07/01/33 | 109,067 | ||||||||
117,430 | FNMA, Pool # 555743, 5.00%, due 09/01/33 | 127,965 | ||||||||
366,756 | FNMA, Pool # 889117, 5.00%, due 10/01/35 | 399,536 | ||||||||
520,263 | FNMA, Pool # AL0476, 5.00%, due 11/01/40 | 569,126 | ||||||||
67,756 | FNMA, Pool # AI0511, 5.00%, due 04/01/41 | 74,073 | ||||||||
131,299 | FNMA, Pool # AI1863, 5.00%, due 05/01/41 | 143,660 | ||||||||
608,303 | FNMA, Pool # AI1892, 5.00%, due 05/01/41 | 664,884 | ||||||||
161,847 | FNMA, Pool # AI2433, 5.00%, due 05/01/41 | 177,113 | ||||||||
74,754 | FNMA, Pool # AI2443, 5.00%, due 05/01/41 | 81,726 | ||||||||
77,423 | FNMA, Pool # AI2462, 5.00%, due 05/01/41 | 84,660 | ||||||||
84,154 | FNMA, Pool # AI4261, 5.00%, due 06/01/41 | 92,033 | ||||||||
246,499 | FNMA, Pool # AL3192, 5.00%, due 05/01/42 | 268,915 | ||||||||
456,863 | FNMA, Pool # AE0011, 5.50%, due 09/01/23 | 494,875 | ||||||||
1,879,759 | FNMA, Pool # 995253, 5.50%, due 12/01/23 | 2,037,249 | ||||||||
2,589,955 | FNMA, Pool # AL0278, 5.50%, due 01/01/25 | 2,816,600 | ||||||||
15,831 | FNMA, Pool # 254548, 5.50%, due 12/01/32 | 17,320 | ||||||||
1,647,434 | FNMA, Pool # 704235, 5.50%, due 05/01/33 | 1,795,457 | ||||||||
166,583 | FNMA, Pool # 555591, 5.50%, due 07/01/33 | 182,304 | ||||||||
2,101,643 | FNMA, Pool # 725221, 5.50%, due 01/01/34 | 2,301,211 | ||||||||
101,854 | FNMA, Pool # 735224, 5.50%, due 02/01/35 | 111,481 | ||||||||
223,881 | FNMA, Pool # 990906, 5.50%, due 10/01/35 | 244,372 | ||||||||
1,160,056 | �� | FNMA, Pool # 849077, 5.50%, due 01/01/36 | 1,265,545 | |||||||
35,266 | FNMA, Pool # 852523, 5.50%, due 02/01/36 | 38,435 | ||||||||
105,352 | FNMA, Pool # 878059, 5.50%, due 03/01/36 | 114,818 | ||||||||
33,457 | FNMA, Pool # 256219, 5.50%, due 04/01/36 | 35,362 | ||||||||
117,224 | FNMA, Pool # 868658, 5.50%, due 04/01/36 | 127,879 | ||||||||
306,059 | FNMA, Pool # 995072, 5.50%, due 08/01/38 | 333,715 | ||||||||
1,289,137 | FNMA, Pool # 745506, 5.66%, due 02/01/16 | 1,402,002 | ||||||||
2,042,921 | FNMA, Pool # AL0144, 5.73%, due 11/01/37† | 2,206,083 | ||||||||
14,691 | FNMA, Pool # 840483, 6.00%, due 11/01/21 | 15,970 |
80 | See accompanying Notes to the Financial Statements. |
Mercer Core Fixed Income Fund
(formerly known as Mercer Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — continued |
| |||||||||
320,657 | FNMA, Pool # 256517, 6.00%, due 12/01/26 | 352,341 | ||||||||
301,427 | FNMA, Pool # 256962, 6.00%, due 11/01/27 | 329,912 | ||||||||
129,881 | FNMA, Pool # 985626, 6.00%, due 04/01/33 | 143,974 | ||||||||
3,250,872 | FNMA, Pool # 725162, 6.00%, due 02/01/34 | 3,603,146 | ||||||||
13,883 | FNMA, Pool # 745000, 6.00%, due 10/01/35 | 15,218 | ||||||||
293,700 | FNMA, Pool # 888560, 6.00%, due 11/01/35 | 325,662 | ||||||||
64,744 | FNMA, Pool # 882524, 6.00%, due 05/01/36 | 70,777 | ||||||||
43,191 | FNMA, Pool # 893282, 6.00%, due 08/01/36 | 47,216 | ||||||||
34,121 | FNMA, Pool # 887324, 6.00%, due 08/01/36 | 37,411 | ||||||||
4,722 | FNMA, Pool # 900746, 6.00%, due 09/01/36 | 5,165 | ||||||||
68,071 | FNMA, Pool # 878210, 6.00%, due 09/01/36 | 74,414 | ||||||||
4,367 | FNMA, Pool # 882321, 6.00%, due 09/01/36 | 4,776 | ||||||||
2,111,895 | FNMA, Pool # AD0218, 6.00%, due 09/01/36 | 2,341,735 | ||||||||
77,489 | FNMA, Pool # 898198, 6.00%, due 11/01/36 | 84,710 | ||||||||
600,889 | FNMA, Pool # 890248, 6.00%, due 08/01/37 | 666,062 | ||||||||
29,259 | FNMA, Pool # AD0217, 6.00%, due 08/01/37 | 32,442 | ||||||||
325,209 | FNMA, Pool # 948690, 6.00%, due 08/01/37 | 354,956 | ||||||||
101,132 | FNMA, Pool # 888736, 6.00%, due 10/01/37 | 108,603 | ||||||||
214,308 | FNMA, Pool # 955166, 6.00%, due 11/01/37 | 230,075 | ||||||||
2,983,584 | FNMA, Pool # 967691, 6.00%, due 01/01/38 | 3,261,623 | ||||||||
353,048 | FNMA, Pool # AL0852, 6.00%, due 06/01/38 | 377,484 | ||||||||
1,126,058 | FNMA, Pool # AL0406, 6.00%, due 06/01/38 | 1,209,452 | ||||||||
807,459 | FNMA, Pool # AL0901, 6.00%, due 07/01/38 | 867,557 | ||||||||
312,753 | FNMA, Pool # AE0028, 6.00%, due 10/01/39 | 342,493 | ||||||||
1,564,267 | FNMA, Pool # AE0469, 6.00%, due 12/01/39 | 1,710,040 | ||||||||
289,200 | FNMA, Pool # AE0616, 6.00%, due 03/01/40 | 316,199 | ||||||||
1,336,694 | FNMA, Pool # AL2617, 6.00%, due 10/01/40 | 1,461,260 | ||||||||
4,114,266 | FNMA, Pool # AL3365, 6.00%, due 05/01/41 | 4,497,673 | ||||||||
4,769 | FNMA, Pool # 869972, 6.50%, due 04/01/36 | 5,283 | ||||||||
1,407,631 | FNMA, Pool # 256421, 6.50%, due 09/01/36 | 1,522,411 | ||||||||
55,262 | FNMA, Pool # 955797, 6.50%, due 10/01/37 | 61,086 | ||||||||
1,000,268 | FNMA, Pool # AL0778, 6.50%, due 01/01/49 | �� | 1,075,792 | |||||||
2,378,845 | FNMA, Pool # 888369, 7.00%, due 03/01/37 | 2,651,203 | ||||||||
31,764 | FNMA, Pool # 924874, 7.00%, due 10/01/37 | 33,635 | ||||||||
11,149 | FNMA, Pool # 955183, 7.00%, due 11/01/37 | 13,483 | ||||||||
5,380 | FNMA, Pool # 949563, 7.00%, due 11/01/37 | 5,906 | ||||||||
21,617 | FNMA, Pool # 928938, 7.00%, due 12/01/37 | 24,889 | ||||||||
16,872 | FNMA, Pool # 968252, 7.00%, due 02/01/38 | 19,377 | ||||||||
13,904 | FNMA, Pool # 974156, 7.00%, due 02/01/38 | 16,794 | ||||||||
37,505 | FNMA, Pool # 985867, 7.00%, due 08/01/38 | 43,920 | ||||||||
3,620 | FNMA, Pool # 987891, 7.00%, due 09/01/38 | 3,959 | ||||||||
9,609 | FNMA, Pool # 934202, 7.00%, due 11/01/38 | 11,051 | ||||||||
146,390 | FNMA, Pool # 934648, 7.00%, due 11/01/38 | 165,404 | ||||||||
24,150 | FNMA, Pool # 991549, 7.00%, due 11/01/38 | 25,894 | ||||||||
18,732 | FNMA, Pool # 992249, 7.00%, due 11/01/38 | 21,104 | ||||||||
961,305 | FNMA, Pool # AE0758, 7.00%, due 02/01/39 | 1,067,593 | ||||||||
165,871 | FNMA, Series 2004-38, Class FK, 0.53%, due 05/25/34† | 165,656 | ||||||||
2,314,482 | FNMA, Series 2007-50, Class DZ, 5.50%, due 06/25/37 | 2,519,472 | ||||||||
3,495,568 | FNMA, Series 2007-70, Class Z, 5.50%, due 07/25/37 | 3,798,385 |
See accompanying Notes to the Financial Statements. | 81 |
Mercer Core Fixed Income Fund
(formerly known as Mercer Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — continued |
| |||||||||
1,131,413 | FNMA, Series 2011-59, Class NZ, 5.50%, due 07/25/41 | 1,272,769 | ||||||||
1,910,656 | FNMA, Series 2012-134, Class FD, 0.53%, due 12/25/42† | 1,899,621 | ||||||||
225,797 | FNMA, Series 2012-28, Class B, 6.50%, due 06/25/39 | 252,843 | ||||||||
655,682 | FNMA, Series 2012-46, Class BA, 6.00%, due 05/25/42 | 725,803 | ||||||||
4,479,000 | FNMA, Series 2013-101, Class CF, 0.79%, due 10/25/43† **** | 4,476,201 | ||||||||
301,879 | FNMA, Series 2013-67, Class KZ, 2.50%, due 04/25/43 | 218,641 | ||||||||
877,414 | FNMA, Series 2013-9, Class BC, 6.50%, due 07/25/42 | 989,830 | ||||||||
1,100,000 | FNMA, Series 2013-9, Class CB, 5.50%, due 04/25/42 | 1,217,375 | ||||||||
95,338 | FNMA Grantor Trust, Series 2004-T1, Class 1A2, 6.50%, due 01/25/44 | 110,189 | ||||||||
21,424 | FNMA REMIC Trust, Series 2003-W1, Class 1A1, 6.00%, due 12/25/42† | 24,794 | ||||||||
1,220,783 | FNMA REMIC Trust 2007-W1, Series 2007-W10, Class 2A, 6.29%, due 08/25/47† | 1,397,577 | ||||||||
4,000,000 | FNMA TBA, 1.00%, due 10/10/43 | 4,375,626 | ||||||||
3,600,000 | FNMA TBA, 2.50%, due 10/01/27 | 3,621,375 | ||||||||
400,000 | FNMA TBA, 2.50%, due 10/01/42 | 371,750 | ||||||||
4,700,000 | FNMA TBA, 3.00%, due 01/01/27 | 4,867,437 | ||||||||
4,900,000 | FNMA TBA, 3.50%, due 01/01/26 | 5,171,797 | ||||||||
3,800,000 | FNMA TBA, 3.50%, due 04/01/42 | 3,869,469 | ||||||||
3,000,000 | FNMA TBA, 3.50%, due 04/01/42 | 3,045,000 | ||||||||
18,000,000 | FNMA TBA, 4.00%, due 01/01/41 | 18,885,937 | ||||||||
86,000,000 | FNMA TBA, 4.00%, due 01/01/41 | 89,937,183 | ||||||||
500,000 | FNMA TBA, 4.50%, due 04/01/21 | 531,250 | ||||||||
35,100,000 | FNMA TBA, 5.00%, due 02/01/37 | 38,067,056 | ||||||||
8,000,000 | FNMA TBA, 5.00%, due 02/01/37 | 8,653,752 | ||||||||
136,460 | FNMA Trust, Series 2004-W9, Class 2A1, 6.50%, due 02/25/44 | 156,435 | ||||||||
552,125 | FNMA, (IO), Series 2011-63, Class SW, 6.50%, due 07/25/41† | 72,389 | ||||||||
379,248 | GNMA, Pool # 004617, 4.50%, due 01/20/40 | 413,630 | ||||||||
331,630 | GNMA, Pool # 734712, 4.50%, due 03/15/40 | 357,052 | ||||||||
506,109 | GNMA, Pool # 004696, 4.50%, due 05/20/40 | 548,051 | ||||||||
123,399 | GNMA, Pool # 004854, 4.50%, due 11/20/40 | 133,643 | ||||||||
249,956 | GNMA, Pool # 004883, 4.50%, due 12/20/40 | 269,903 | ||||||||
60,725 | GNMA, Pool # 004923, 4.50%, due 01/20/41 | 65,740 | ||||||||
3,484,432 | GNMA, Pool # 004978, 4.50%, due 03/20/41 | 3,767,363 | ||||||||
523,664 | GNMA, Pool # 783368, 4.50%, due 07/20/41 | 564,472 | ||||||||
178,407 | GNMA, Pool # 641779, 5.00%, due 09/15/35 | 196,124 | ||||||||
127,958 | GNMA, Pool # 733600, 5.00%, due 04/15/40 | 142,796 | ||||||||
385,040 | GNMA, Pool # 733627, 5.00%, due 05/15/40 | 425,712 | ||||||||
49,483 | GNMA, Pool # 004747, 5.00%, due 07/20/40 | 54,247 | ||||||||
49,583 | GNMA, Pool # 783050, 5.00%, due 07/20/40 | 54,408 | ||||||||
197,082 | GNMA, Pool # 004802, 5.00%, due 09/20/40 | 216,068 | ||||||||
239,980 | GNMA, Pool # 510835, 5.50%, due 02/15/35 | 266,174 | ||||||||
300,509 | GNMA, Pool # 783704, 5.50%, due 06/15/36 | 332,406 | ||||||||
10,479 | GNMA, Pool # 002657, 6.00%, due 10/20/28 | 11,589 | ||||||||
11,404 | GNMA, Pool # 003489, 6.00%, due 12/20/33 | 13,161 | ||||||||
58,622 | GNMA, Pool # 003879, 6.00%, due 07/20/36 | 64,665 | ||||||||
7,765 | GNMA, Pool # 003920, 6.00%, due 11/20/36 | 8,564 | ||||||||
454,846 | GNMA, Pool # 004145, 6.00%, due 05/20/38 | 500,481 | ||||||||
188,364 | GNMA, Pool # 004195, 6.00%, due 07/20/38 | 207,338 | ||||||||
6,916 | GNMA, Pool # 004245, 6.00%, due 09/20/38 | 7,607 |
82 | See accompanying Notes to the Financial Statements. |
Mercer Core Fixed Income Fund
(formerly known as Mercer Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — continued |
| |||||||||
94,337 | GNMA, Pool # 004580, 6.00%, due 11/20/39 | 104,096 | ||||||||
125,679 | GNMA, Pool # 004602, 6.00%, due 12/20/39 | 138,330 | ||||||||
76,212 | GNMA, Pool # 004620, 6.00%, due 01/20/40 | 83,863 | ||||||||
140,535 | GNMA, Pool # 004639, 6.00%, due 02/20/40 | 154,525 | ||||||||
238,190 | GNMA, Pool # 004774, 6.00%, due 08/20/40 | 262,481 | ||||||||
48,813 | GNMA, Pool # 004804, 6.00%, due 09/20/40 | 53,977 | ||||||||
451,536 | GNMA, Pool # 004837, 6.00%, due 10/20/40 | 499,836 | ||||||||
282,178 | GNMA, Pool # 004871, 6.00%, due 11/20/40 | 313,183 | ||||||||
323,139 | GNMA, Pool # 004928, 6.00%, due 01/20/41 | 357,705 | ||||||||
261,763 | GNMA, Pool # 004991, 6.00%, due 03/20/41 | 289,831 | ||||||||
681,459 | GNMA, Pool # 005063, 6.00%, due 05/20/41 | 751,666 | ||||||||
264,155 | GNMA, Pool # 004040, 6.50%, due 10/20/37 | 296,356 | ||||||||
700,000 | GNMA TBA, 3.00%, due 11/01/42 | 690,266 | ||||||||
1,800,000 | GNMA TBA, 3.50%, due 01/01/42 | 1,850,906 | ||||||||
1,000,000 | GNMA TBA, 3.50%, due 06/01/42 | 1,031,875 | ||||||||
3,300,000 | GNMA TBA, 4.00%, due 08/01/40 | 3,481,500 | ||||||||
1,600,000 | GNMA TBA, 4.00%, due 07/01/41 | 1,694,000 | ||||||||
234,429 | GNMA, (IO), Series 2010-31, Class GS, 6.32%, due 03/20/39† | 35,169 | ||||||||
629,085 | GNMA, (IO), Series 2010-85, Class HS, 6.47%, due 01/20/40† | 109,066 | ||||||||
|
| |||||||||
380,091,838 | ||||||||||
|
| |||||||||
Municipal Obligations — 4.6% | ||||||||||
2,250,000 | American Municipal Power-Ohio, Inc., 8.08%, due 02/15/50 | 2,919,622 | ||||||||
50,000 | Arizona State University, Series A, 5.00%, due 07/01/43 | 51,715 | ||||||||
600,000 | Chicago Transit Authority, Series A, 6.90%, due 12/01/40 | 675,096 | ||||||||
600,000 | Chicago Transit Authority, Series B, 6.90%, due 12/01/40 | 675,096 | ||||||||
70,000 | City of New York NY, Series J, 5.00%, due 08/01/25 | 80,169 | ||||||||
60,000 | City of Richmond VA, Series A, 5.00%, due 03/01/27 | 67,675 | ||||||||
60,000 | City of Richmond VA, Series A, 5.00%, due 03/01/28 | 67,009 | ||||||||
60,000 | City of Richmond VA, Series A, 5.00%, due 03/01/29 | 66,603 | ||||||||
190,000 | City Public Service Board of San Antonio TX, 5.00%, due 02/01/43 | 197,307 | ||||||||
3,320,000 | Irvine Ranch Water District Joint Powers Agency, 2.39%, due 03/15/14 | 3,326,474 | ||||||||
155,000 | Los Angeles Unified School District, 5.75%, due 07/01/34 | 171,528 | ||||||||
1,535,000 | Los Angeles Unified School District, 6.76%, due 07/01/34 | 1,885,732 | ||||||||
70,000 | New Jersey Economic Development Authority, 5.00%, due 06/15/46 | 71,726 | ||||||||
1,850,000 | New Jersey State Turnpike Authority, 7.10%, due 01/01/41 | 2,339,713 | ||||||||
300,000 | New Jersey State Turnpike Authority, 7.41%, due 01/01/40 | 391,845 | ||||||||
80,000 | New Jersey State Turnpike Authority, Series A, 5.00%, due 01/01/43 | 81,584 | ||||||||
130,000 | New Jersey Transportation Trust Fund Authority, Series A, 5.00%, due 06/15/42 | 132,192 | ||||||||
180,000 | New Jersey Transportation Trust Fund Authority, Series AA, 5.00%, due 06/15/38 | 183,679 | ||||||||
1,800,000 | New York City Transitional Finance Authority, 4.73%, due 11/01/23 | 1,958,724 | ||||||||
1,300,000 | New York City Transitional Finance Authority, 4.91%, due 11/01/24 | 1,420,250 | ||||||||
1,300,000 | New York City Transitional Finance Authority, 5.08%, due 11/01/25 | 1,431,482 | ||||||||
60,000 | New York City Water & Sewer System, Series BB, 5.00%, due 06/15/47 | 61,916 | ||||||||
60,000 | New York City Water & Sewer System, Series EE, 5.00%, due 06/15/47 | 61,999 | ||||||||
100,000 | New York Liberty Development Corp., 5.00%, due 12/15/41 | 102,015 | ||||||||
50,000 | New York State Dormitory Authority, Series A, 5.00%, due 12/15/26 | 56,568 | ||||||||
130,000 | New York State Dormitory Authority, Series A, 5.00%, due 12/15/27 | 145,544 |
See accompanying Notes to the Financial Statements. | 83 |
Mercer Core Fixed Income Fund
(formerly known as Mercer Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Municipal Obligations — continued | ||||||||||
3,000,000 | New York State Urban Development Corp., 5.00%, due 03/15/23 | 3,454,050 | ||||||||
250,000 | New York State Urban Development Corp., Series C, 5.00%, due 03/15/27 | 280,590 | ||||||||
120,000 | Northeast Ohio Regional Sewer District, 5.00%, due 11/15/43 | 125,112 | ||||||||
500,000 | Northstar Education Finance, Inc., 1.60%, due 01/29/46† | 448,487 | ||||||||
100,000 | Ohio State Turnpike Commission, Series A, 5.00%, due 02/15/48 | 102,857 | ||||||||
240,000 | Ohio State Turnpike Commission, Series A1, 5.00%, due 02/15/48 | 242,491 | ||||||||
3,100,000 | Ohio Tobacco Settlement Financing Authority, 6.50%, due 06/01/47 | 2,523,524 | ||||||||
90,000 | Pennsylvania Turnpike Commission, Series C, 5.00%, due 12/01/43 | 91,283 | ||||||||
1,100,000 | Port Authority of New York and New Jersey, 4.46%, due 10/01/62 | 930,853 | ||||||||
120,000 | Private Colleges & Universities Authority, Series A, 5.00%, due 10/01/43 | 127,568 | ||||||||
160,000 | State of California, 5.00%, due 09/01/25 | 181,238 | ||||||||
150,000 | State of California, 5.00%, due 04/01/42 | 153,438 | ||||||||
220,000 | State of California, Series B, 5.00%, due 09/01/23 | 256,861 | ||||||||
4,150,000 | State of California General Obligation, 7.30%, due 10/01/39 | 5,226,800 | ||||||||
1,735,000 | State of California General Obligation, 7.50%, due 04/01/34 | 2,203,554 | ||||||||
1,700,000 | State of California General Obligation, 7.55%, due 04/01/39 | 2,214,250 | ||||||||
350,000 | State of California General Obligation, 7.60%, due 11/01/40 | 461,321 | ||||||||
350,000 | State of California General Obligation, 7.63%, due 03/01/40 | 457,965 | ||||||||
70,000 | State of Connecticut, Series C, 5.00%, due 07/15/24 | 81,597 | ||||||||
925,000 | State of Illinois General Obligation, 4.96%, due 03/01/16 | 983,738 | ||||||||
1,600,000 | State of Illinois General Obligation, 5.37%, due 03/01/17 | 1,737,472 | ||||||||
2,325,000 | State of Illinois General Obligation, 5.67%, due 03/01/18 | 2,537,947 | ||||||||
1,000,000 | State of Kentucky Property & Building Commission, 4.30%, due 11/01/19 | 1,069,590 | ||||||||
1,200,000 | State of Kentucky Property & Building Commission, 4.40%, due 11/01/20 | 1,258,404 | ||||||||
2,400,000 | State of Kentucky Property & Building Commission, 5.37%, due 11/01/25 | 2,564,784 | ||||||||
210,000 | Utah Transit Authority, 5.00%, due 06/15/42 | 214,744 | ||||||||
|
| |||||||||
48,553,781 | ||||||||||
|
| |||||||||
Sovereign Debt Obligations — 2.9% | ||||||||||
6,500,000 | EUR | Italy Buoni Ordinari del Tesoro BOT, 0.69%, due 02/28/14‡‡ | 8,773,565 | |||||||
2,500,000 | Korea Housing Finance Corp., Reg S, 4.13%, due 12/15/15‡‡‡ | 2,650,905 | ||||||||
21,672,000 | MXN | Mexican Bonos, 6.50%, due 06/09/22 | 1,708,708 | |||||||
19,860,000 | MXN | Mexican Bonos, 8.00%, due 06/11/20 | 1,724,617 | |||||||
140,000 | Mexico Government International Bond, 4.75%, due 03/08/44 | 127,400 | ||||||||
2,600,000 | Province of Ontario Canada, 2.70%, due 06/16/15 | 2,698,498 | ||||||||
500,000 | EUR | Spain Government International Bond, 4.00%, due 07/30/15 | 705,658 | |||||||
1,500,000 | Spain Government International Bond, 4.00%, due 03/06/18 144A | 1,530,450 | ||||||||
2,900,000 | EUR | Spain Letras del Tesoro, 0.79%, due 03/14/14‡‡ | 3,911,675 | |||||||
1,600,000 | EUR | Spain Letras del Tesoro, 0.88%, due 04/16/14‡‡ | 2,155,529 | |||||||
3,400,000 | EUR | Spain Letras del Tesoro, 0.95%, due 06/20/14‡‡ | 4,571,213 | |||||||
|
| |||||||||
30,558,218 | ||||||||||
|
| |||||||||
U.S. Government and Agency Obligations — 19.1% | ||||||||||
347,256 | FHLMC, 1.86%, due 02/01/37† | 368,412 | ||||||||
90,000 | Financing Corp. FICO STRIPS, (PO), Series 11, 1.47%, due 02/08/18‡‡ | 84,547 | ||||||||
140,000 | Financing Corp. FICO STRIPS, (PO), Series 8, 1.52%, due 08/03/18‡‡ | 130,327 | ||||||||
330,000 | Financing Corp. FICO STRIPS, (PO), Series E, 1.59%, due 11/02/18‡‡ | 305,133 | ||||||||
280,000 | Financing Corp. FICO STRIPS, (PO), Series B, 1.61%, due 04/06/18‡‡ | 260,874 |
84 | See accompanying Notes to the Financial Statements. |
Mercer Core Fixed Income Fund
(formerly known as Mercer Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
U.S. Government and Agency Obligations — continued | ||||||||||
350,000 | Financing Corp. FICO STRIPS, (PO), Series 1, 1.63%, due 05/11/18‡‡ | 325,324 | ||||||||
270,000 | Financing Corp. FICO STRIPS, (PO), Series 7, 1.67%, due 08/03/18‡‡ | 249,660 | ||||||||
150,000 | Financing Corp. FICO STRIPS, (PO), Series 7, 1.67%, due 08/03/18‡‡ | 138,700 | ||||||||
330,000 | Financing Corp. FICO STRIPS, (PO), Series D, 1.67%, due 08/03/18‡‡ | 305,140 | ||||||||
150,000 | Financing Corp. FICO STRIPS, (PO), Series 15, 1.84%, due 03/07/19‡‡ | 136,286 | ||||||||
50,000 | Financing Corp. FICO STRIPS, (PO), Series 19, 1.99%, due 06/06/19‡‡ | 44,867 | ||||||||
20,000 | Financing Corp. FICO STRIPS, (PO), Series D, 2.26%, due 09/26/19‡‡ | 17,593 | ||||||||
257,640 | FNMA, 1.33%, due 08/01/37† | 274,380 | ||||||||
74,246 | FNMA, 2.90%, due 09/01/35† | 77,958 | ||||||||
830,000 | FNMA, 2.90%, due 10/09/19‡‡ | 704,964 | ||||||||
1,235,000 | FNMA, 6.63%, due 11/15/30 | 1,655,409 | ||||||||
1,069,578 | GNMA, 0.57%, due 12/20/60† | 1,057,698 | ||||||||
1,887,646 | GNMA, 0.64%, due 02/20/61† | 1,873,154 | ||||||||
1,821,790 | GNMA, 0.69%, due 01/20/61† | 1,812,333 | ||||||||
445,520 | GNMA, 0.69%, due 03/20/61† | 443,115 | ||||||||
4,000,000 | Overseas Private Investment Corp., 0.00%, due 11/18/13‡‡ | 4,074,048 | ||||||||
190,000 | Tennessee Valley Authority, 5.25%, due 09/15/39 | 207,862 | ||||||||
2,664,000 | U.S. Treasury Bond, 2.75%, due 08/15/42 | 2,208,832 | ||||||||
1,950,600 | U.S. Treasury Bond, 2.75%, due 11/15/42 | 1,614,884 | ||||||||
2,480,000 | U.S. Treasury Bond, 3.63%, due 08/15/43 | 2,451,713 | ||||||||
3,818,659 | U.S. Treasury Inflation Indexed Bond, 0.13%, due 01/15/22 | 3,774,806 | ||||||||
2,539,450 | U.S. Treasury Inflation Indexed Bond, 0.13%, due 07/15/22 | 2,504,037 | ||||||||
1,113,200 | U.S. Treasury Inflation Indexed Bond, 0.13%, due 01/15/23 | 1,083,935 | ||||||||
6,424,064 | U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/23 | 6,396,961 | ||||||||
930,402 | U.S. Treasury Inflation Indexed Bond, 0.75%, due 02/15/42 | 798,655 | ||||||||
8,542,720 | U.S. Treasury Inflation Indexed Bond, 1.13%, due 01/15/21(a) | 9,207,113 | ||||||||
535,555 | U.S. Treasury Inflation Indexed Bond, 1.25%, due 07/15/20 | 586,579 | ||||||||
111,502 | U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 | 125,074 | ||||||||
4,833,052 | U.S. Treasury Inflation Indexed Bond, 2.00%, due 07/15/14 | 4,957,653 | ||||||||
1,523,858 | U.S. Treasury Inflation Indexed Bond, 2.13%, due 02/15/40 | 1,807,080 | ||||||||
2,240,028 | U.S. Treasury Inflation Indexed Bond, 2.13%, due 02/15/41 | 2,660,208 | ||||||||
4,956,960 | U.S. Treasury Inflation Indexed Bond, 2.38%, due 01/15/25 | 5,924,727 | ||||||||
5,300,000 | U.S. Treasury Note, 0.25%, due 07/31/15 | 5,296,375 | ||||||||
5,500,000 | U.S. Treasury Note, 0.25%, due 09/30/15†††† | 5,492,052 | ||||||||
2,300,000 | U.S. Treasury Note, 0.63%, due 07/15/14(a) (b) | 2,309,658 | ||||||||
1,900,000 | U.S. Treasury Note, 0.63%, due 04/30/18 | 1,847,007 | ||||||||
2,260,000 | U.S. Treasury Note, 0.75%, due 06/30/17 | 2,242,078 | ||||||||
1,000,000 | U.S. Treasury Note, 0.75%, due 12/31/17 | 983,125 | ||||||||
9,400,000 | U.S. Treasury Note, 1.25%, due 03/15/14 | 9,451,587 | ||||||||
68,310,000 | U.S. Treasury Note, 1.38%, due 06/30/18 | 68,494,095 | ||||||||
1,610,000 | U.S. Treasury Note, 1.38%, due 07/31/18 | 1,612,956 | ||||||||
17,500,000 | U.S. Treasury Note, 1.50%, due 07/31/16 | 17,944,342 | ||||||||
610,000 | U.S. Treasury Note, 1.50%, due 08/31/18 | 614,122 | ||||||||
1,228,000 | U.S. Treasury Note, 1.63%, due 11/15/22 | 1,137,148 | ||||||||
100,000 | U.S. Treasury Note, 1.88%, due 08/31/17 | 103,266 | ||||||||
11,200,000 | U.S. Treasury Note, 2.00%, due 09/30/20 | 11,190,379 | ||||||||
4,740,000 | U.S. Treasury Note, 2.50%, due 08/15/23 | 4,692,230 |
See accompanying Notes to the Financial Statements. | 85 |
Mercer Core Fixed Income Fund
(formerly known as Mercer Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
U.S. Government and Agency Obligations — continued | ||||||||||
10,185,000 | U.S. Treasury Note, 2.88%, due 05/15/43 | 8,646,108 | ||||||||
|
| |||||||||
202,706,569 | ||||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $1,047,088,306) | 1,061,595,233 | |||||||||
|
| |||||||||
Shares | Description | Value ($) | ||||||||
PREFERRED STOCKS — 0.4% | ||||||||||
Banks — 0.1% | ||||||||||
600 | Wells Fargo & Co., 7.50% Class A‡ | 682,506 | ||||||||
|
| |||||||||
Diversified Financial Services — 0.3% | ||||||||||
111,125 | Citigroup Capital XIII, 7.88%† | 3,052,604 | ||||||||
14,902 | GMAC Capital Trust I, 8.125%† | 398,628 | ||||||||
|
| |||||||||
3,451,232 | ||||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $3,715,663) | 4,133,738 | |||||||||
|
| |||||||||
Notional | Description | Value ($) | ||||||||
OPTIONS PURCHASED — 0.0% | ||||||||||
Call Options — 0.0% | ||||||||||
277,500 | Euro Dollar Mid-Curve 1-Year Futures Option with Barclays Capital, Inc., Strike Price $99.50, Expires 12/13/13 | 12,488 | ||||||||
25,000 | U.S. Treasury Note 30-Year Futures Option with Barclays Capital, Inc., Strike Price $134.00, Expires 10/25/13 | 27,734 | ||||||||
25,000 | U.S. Treasury Note 10-Year Futures Option with Barclays Capital, Inc., Strike Price $128.50, Expires 11/22/13 | 8,975 | ||||||||
|
| |||||||||
TOTAL CALL OPTIONS PURCHASED (COST $24,998) | 49,197 | |||||||||
|
| |||||||||
Put Options — 0.0% | ||||||||||
26,000 | U.S. Treasury Note 10-Year Futures Option with Barclays Capital, Inc., Strike Price $124.50, Expires 10/25/13 | 7,313 | ||||||||
162,500 | Euro Dollar Mid-Curve 2-Year Futures Option with Barclays Capital, Inc., Strike Price $98.50, Expires 10/11/13 | 1,625 | ||||||||
|
| |||||||||
TOTAL PUT OPTIONS PURCHASED (COST $12,077) | 8,938 | |||||||||
|
| |||||||||
TOTAL OPTIONS PURCHASED (COST $37,075) | 58,135 | |||||||||
|
| |||||||||
Par Value** | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 18.2% | ||||||||||
Bank Deposit — 5.1% | ||||||||||
54,361,965 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/01/13 | 54,361,965 | ||||||||
|
| |||||||||
TOTAL BANK DEPOSITS (COST $54,361,965) | 54,361,965 | |||||||||
|
|
86 | See accompanying Notes to the Financial Statements. |
Mercer Core Fixed Income Fund
(formerly known as Mercer Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Certificates of Deposit — 0.8% | ||||||||||
3,000,000 | Daimler Finance North America LLC, 0.99%, due 10/11/13‡‡ | 2,999,108 | ||||||||
400,000 | Daimler Finance North America LLC, 1.01%, due 10/15/13‡‡ | 399,834 | ||||||||
2,300,000 | Ford Motor Credit Co., 1.00%, due 11/22/13‡‡ | 2,296,678 | ||||||||
500,000 | Ford Motor Credit Co., 0.84%, due 10/04/13‡‡ | 499,954 | ||||||||
600,000 | Ford Motor Credit Co., 0.98%, due 11/01/13‡‡ | 599,483 | ||||||||
1,300,000 | Ford Motor Credit Co., 0.99%, due 11/05/13‡‡ | 1,298,736 | ||||||||
|
| |||||||||
TOTAL CERTIFICATES OF DEPOSIT (COST $8,093,793) | 8,093,793 | |||||||||
|
| |||||||||
Repurchase Agreements — 10.3% | ||||||||||
12,800,000 | Bank of America N.A. (Dated 09/06/2013. Collateralized by a U.S. Treasury Note, with a rate of 0.750% with a maturity of 10/31/2017, valued at $13,285,842. Repurchase proceeds are $12,800,498), 0.05%, due 10/04/13 | 12,800,000 | ||||||||
14,400,000 | Barclays Capital, Inc. (Dated 09/04/2013. Collateralized by a Federal Home Loan Mortgage Corp. Security, with a rate of 0.850% with a maturity of 08/08/2016, valued at $15,212,207. Repurchase proceeds are $14,400,480), 0.04%, due 10/04/13 | 14,400,000 | ||||||||
5,500,000 | Citigroup Global Markets, Inc. (Dated 09/30/2013. Collateralized by a Federal Home Loan Mortgage Corp. Security, with a rate of 1.620% with a maturity of 11/21/2019, valued at $5,636,850. Repurchase proceeds are $5,500,020), 0.13%, due 10/01/13 | 5,500,000 | ||||||||
12,500,000 | Citigroup Global Markets, Inc. (Dated 09/30/2013. Collateralized by a U.S. Treasury Note, with a rate of 0.625% with a maturity of 08/31/2017, valued at $12,782,969. Repurchase proceeds are $12,500,038), 0.11%, due 10/01/13 | 12,500,000 | ||||||||
6,000,000 | HSBC (Dated 09/30/2013. Collateralized by a U.S. Treasury Note, with a rate of 0.250% with a maturity of 08/15/2015, valued at $6,126,067. Repurchase proceeds are $6,000,015), 0.09%, due 10/01/13 | 6,000,000 | ||||||||
20,300,000 | Morgan Stanley & Co., Inc. (Dated 09/09/2013. Collateralized by a Government National Mortgage Association Security, with a rate of 4.500% with a maturity of 09/20/2041, valued at $21,478,559. Repurchase proceeds are $20,300,620), 0.05%, due 10/01/13 | 20,300,000 | ||||||||
38,300,000 | Morgan Stanley & Co., Inc. (Dated 9/30/2013. Collateralized by a U.S. Treasury Note, with a rate of 1.000% with a maturity of 05/31/2018, valued at $39,078,159. Repurchase proceeds are $38,300,096), 0.09%, due 10/01/13 | 38,300,000 | ||||||||
|
| |||||||||
TOTAL REPURCHASE AGREEMENTS (COST $109,800,000) | 109,800,000 | |||||||||
|
| |||||||||
Securities Lending Collateral — 0.3% | ||||||||||
3,567,273 | State Street Navigator Securities Lending Prime Portfolio*** | 3,567,273 | ||||||||
|
| |||||||||
TOTAL SECURITIES LENDING COLLATERAL (COST $3,567,273) | 3,567,273 | |||||||||
|
| |||||||||
U.S. Government and Agency Obligations — 1.7% | ||||||||||
2,700,000 | FHLB, 0.02%, due 10/02/13‡‡ | 2,699,996 | ||||||||
2,300,000 | FHLB, 0.05%, due 11/29/13‡‡ | 2,299,812 | ||||||||
230,000 | FHLMC Discount Notes, 0.01%, due 12/09/13‡‡ | 229,996 | ||||||||
130,000 | FHLMC Discount Notes, 0.01%, due 12/18/13‡‡ | 129,997 | ||||||||
2,100,000 | FHLMC Discount Notes, 0.01%, due 01/21/14‡‡ | 2,099,935 | ||||||||
3,600,000 | FHLMC Discount Notes, 0.01%, due 01/23/14‡‡ | 3,599,885 | ||||||||
3,800,000 | FHLMC Discount Notes, 0.01%, due 01/27/14‡‡ | 3,799,875 | ||||||||
2,100,000 | FNMA Discount Note, 0.01%, due 12/04/13‡‡ | 2,099,962 |
See accompanying Notes to the Financial Statements. | 87 |
Mercer Core Fixed Income Fund
(formerly known as Mercer Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
U.S. Government and Agency Obligations — continued | ||||||||||
250,000 | FNMA Discount Note, 0.02%, due 02/24/14‡‡ | 249,979 | ||||||||
400,000 | U.S. Treasury Bill, 0.01%, due 02/13/14‡‡ | 399,985 | ||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (COST $17,606,147) | 17,609,422 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $193,429,178) | 193,432,453 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS BEFORE TBA COMMITMENTS — 118.7% (Cost $1,244,270,222) | 1,259,219,559 | |||||||||
|
| |||||||||
TBA SALE COMMITMENTS — (0.4)% | ||||||||||
(4,000,000 | ) | FNMA TBA, 3.50%, due 01/01/26 | (4,221,875 | ) | ||||||
|
| |||||||||
TOTAL TBA SALE COMMITMENTS (PROCEEDS $4,161,250) | (4,221,875 | ) | ||||||||
|
| |||||||||
TOTAL INVESTMENTS NET OF TBA SALE COMMITMENTS — 118.3% (Cost $1,240,108,972) | 1,254,997,684 | |||||||||
Other Assets and Liabilities (net) — (18.3)% | (193,758,187 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 1,061,239,497 | ||||||||
|
| |||||||||
Notes to Schedule of Investments: | ||||||||||
FICO — Financing Corporation | ||||||||||
FHLB — Federal Home Loan Bank | ||||||||||
FHLMC — Federal Home Loan Mortgage Corporation | ||||||||||
FNMA — Federal National Mortgage Association | ||||||||||
GNMA — Government National Mortgage Association | ||||||||||
IO — Interest Only | ||||||||||
MTN — Medium Term Note | ||||||||||
PIK — Payment In Kind | ||||||||||
PO — Principal Only | ||||||||||
REIT — Real Estate Investment Trust | ||||||||||
REMIC — Real Estate Mortgage Investment Conduit | ||||||||||
TBA — To Be Announced | ||||||||||
(a) | All or a portion of this security is held for open futures collateral. | |||||||||
(b) | All or a portion of this security is held for open swaps collateral. | |||||||||
¤ | Illiquid security. The total market value of the securities at period end is $13,967,162 which represents 1.3% of net assets. The aggregate tax cost of these securities held at September 30, 2013 was $13,915,135. | |||||||||
** | Unless otherwise indicated, all par values are denominated in United States dollars ($). | |||||||||
*** | Represents an investment of securities lending cash collateral. |
88 | See accompanying Notes to the Financial Statements. |
Mercer Core Fixed Income Fund
(formerly known as Mercer Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
**** | Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at period end is $8,009,236 which represents 0.8% of net assets. The aggregate tax cost of these securities held at September 30, 2013 was $8,328,948. | |||||
† | Floating rate note. Rate shown is as of September 30, 2013. | |||||
†† | Debt obligation initially issued in zero coupon form which converts to coupon form at a specific rate and date. The rate shown is the rate at period end. | |||||
††† | Security is currently in default. | |||||
†††† | When-issued security | |||||
‡ | All or a portion of this security is out on loan. | |||||
‡‡ | Interest rate presented is yield to maturity. | |||||
‡‡‡ | Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. | |||||
144A — Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The total market value of the securities at period end is $53,954,477 which represents 5.1% of net assets. |
See accompanying Notes to the Financial Statements. | 89 |
Mercer Core Fixed Income Fund
(formerly known as Mercer Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
September 30, 2013 (Unaudited)
A summary of outstanding financial instruments at September 30, 2013 is as follows:
Forward Foreign Currency Contracts
Settlement | Currency | Counterparty | Units of Currency | Value | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
Buys | ||||||||||||||||||||
10/02/13 | BRL | Morgan Stanley & Co., Inc. | 171,189 | $ | 76,902 | $ | 1,406 | |||||||||||||
10/02/13 | EUR | Goldman Sachs | 861,000 | 1,165,493 | 388 | |||||||||||||||
10/11/13 | EUR | JPMorgan Chase Bank | 216,000 | 292,395 | 11,271 | |||||||||||||||
10/02/13 | EUR | UBS AG | 617,000 | 835,203 | 3,178 | |||||||||||||||
|
| |||||||||||||||||||
$ | 16,243 | |||||||||||||||||||
|
| |||||||||||||||||||
Sales | ||||||||||||||||||||
10/02/13 | BRL | Morgan Stanley & Co., Inc. | 171,189 | $ | 76,902 | $ | (6,007 | ) | ||||||||||||
11/04/13 | BRL | Morgan Stanley & Co., Inc. | 171,189 | 76,303 | (1,337 | ) | ||||||||||||||
10/02/13 | EUR | Citibank N.A. | 861,000 | 1,165,493 | (17,314 | ) | ||||||||||||||
02/28/14 | EUR | Goldman Sachs | 896,000 | 1,213,385 | (13,938 | ) | ||||||||||||||
03/14/14 | EUR | Goldman Sachs | 1,393,000 | 1,886,521 | (25,753 | ) | ||||||||||||||
11/04/13 | EUR | Goldman Sachs | 861,000 | 1,165,588 | (380 | ) | ||||||||||||||
11/04/13 | EUR | HSBC Bank USA | 3,077,000 | 4,165,522 | (10,061 | ) | ||||||||||||||
10/11/13 | EUR | JPMorgan Chase Bank | 216,000 | 292,395 | (25,948 | ) | ||||||||||||||
10/02/13 | EUR | Morgan Stanley & Co., Inc. | 617,000 | 835,203 | (451 | ) | ||||||||||||||
02/28/14 | EUR | Royal Bank of Scotland Plc | 5,600,000 | 7,583,655 | (154,191 | ) | ||||||||||||||
03/14/14 | EUR | Royal Bank of Scotland Plc | 2,887,000 | 3,909,824 | (49,696 | ) | ||||||||||||||
11/04/13 | EUR | UBS AG | 815,000 | 1,103,315 | (3,070 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (308,146 | ) | ||||||||||||||||||
|
|
Currency Abbreviations
BRL | Brazilian Real |
EUR | Euro |
MXN | Mexican Peso |
Futures Contracts
Number of Contracts | Type | Expiration Date | Contract Value | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
Buys | ||||||||||||||||||
96 | Euro Dollar 90 Day | December 2015 | $ | 23,710,800 | $ | 124,886 | ||||||||||||
82 | Euro Dollar 90 Day | June 2016 | 20,145,350 | 116,738 | ||||||||||||||
72 | Euro Dollar 90 Day | March 2016 | 17,736,300 | 95,846 | ||||||||||||||
286 | Eurodollar 90 Day | September 2015 | 70,813,600 | 333,442 | ||||||||||||||
536 | Eurodollar 90 Day | June 2015 | 132,974,900 | 166,369 | ||||||||||||||
73 | U.S. Treasury Bond 30 Yr. | December 2013 | 9,736,375 | 168,810 | ||||||||||||||
76 | U.S. Treasury Note 5 Yr. | December 2013 | 9,199,563 | 131,766 | ||||||||||||||
23 | U.S. Ultra Long | December 2013 | 3,268,156 | 57,550 | ||||||||||||||
|
| |||||||||||||||||
$ | 1,195,407 | |||||||||||||||||
|
|
90 | See accompanying Notes to the Financial Statements. |
Mercer Core Fixed Income Fund
(formerly known as Mercer Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
September 30, 2013 (Unaudited)
Futures Contracts — continued
Number of Contracts | Type | Expiration Date | Contract | Net Unrealized Appreciation (Depreciation) | ||||||||||||||
Sales | ||||||||||||||||||
137 | U.S. Treasury Note 10 Yr. | December 2013 | $ | 17,315,516 | $ | (306,828 | ) | |||||||||||
21 | U.S. Treasury Note 2 Yr. | December 2013 | 4,625,578 | (12,693 | ) | |||||||||||||
|
| |||||||||||||||||
$ | (319,521 | ) | ||||||||||||||||
|
|
Written Options
Type of Contract | Counterparty | Number of Contracts | Premiums Received | Value at September 30, 2013 | |||||||||||||||||
CALL — Euro Dollar Mid-Curve 1-Year Futures | Barclays Capital, Inc. | 112 | $ | 542 | $ | (700 | ) | ||||||||||||||
CALL — OTC 10-Year Interest Rate Swaption | Royal Bank of Scotland Plc | 22,300,000 | 144,950 | (102,379 | ) | ||||||||||||||||
PUT — Euro Dollar Mid-Curve 2-Year Futures | Barclays Capital, Inc. | 65 | 195 | (406 | ) | ||||||||||||||||
PUT — OTC 10-Year Interest Rate Swaption | Royal Bank of Scotland Plc | 22,300,000 | 181,188 | (106,395 | ) | ||||||||||||||||
PUT — OTC 5-Year Interest Rate Swaption | Goldman Sachs | 19,200,000 | 78,720 | (9,523 | ) | ||||||||||||||||
PUT — OTC 5-Year Interest Rate Swaption | Goldman Sachs | 40,400,000 | 113,155 | (278,396 | ) | ||||||||||||||||
PUT — OTC 5-Year Credit Default Index | Morgan Stanley & Co., Inc. | 500,000 | 988 | (285 | ) | ||||||||||||||||
PUT — OTC 5-Year Interest Rate Swaption | Royal Bank of Scotland Plc | 9,700,000 | 184,300 | (340,198 | ) | ||||||||||||||||
TOTAL | $ | 704,038 | $ | (838,282 | ) | ||||||||||||||||
|
|
|
|
See accompanying Notes to the Financial Statements. | 91 |
Mercer Core Fixed Income Fund
(formerly known as Mercer Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
September 30, 2013 (Unaudited)
Interest Rate Swaps
Description | Notional | Net Unrealized Appreciation (Depreciation) | Value | ||||||||||||
Agreement with Bank of America N.A. dated 07/06/12 receiving a fixed rate of 8.44% paying the notional amount multiplied by the BRL-CDI rate. Expiring 01/02/15. | BRL | 40,800,000 | $ | (199,652 | ) | $ | (165,438 | ) | |||||||
Agreement with Bank of America N.A. dated 1/24/13 receiving a fixed rate of 7.585% paying the notional amount multiplied by the BRL-CDI rate. Expiring 01/02/2015. | BRL | 14,700,000 | (149,942 | ) | (180,532 | ) | |||||||||
Agreement with HSBC Bank USA dated 02/13/12 receiving a fixed rate of 10.135% paying the notional amount multiplied by the BRL-CDI rate. Expiring 01/02/2015. | BRL | 9,800,000 | 106,082 | 123,201 | |||||||||||
Agreement with HSBC Bank USA dated 10/15/12 receiving a fixed rate of 8.075% paying the notional amount multiplied by the BRL-CDI rate. Expiring 01/02/2015. | BRL | 4,200,000 | (40,781 | ) | (32,709 | ) | |||||||||
Agreement with Morgan Stanley Capital Services LLC dated 02/16/12 receiving a fixed rate of 10.605% paying the notional amount multiplied by the BRL-CDI rate. Expiring 01/02/2015. | BRL | 10,300,000 | 111,598 | 175,259 | |||||||||||
|
| ||||||||||||||
$ | (80,219 | ) | |||||||||||||
|
|
Credit Default Swaps (See Note 2(a))
Notional Amount | Expiration Date | Counterparty | Value | |||||||
$ | 1,500,000 | 09/20/16 | Morgan Stanley Capital Services LLC | $ | (11,003 | ) | ||||
4,400,000 | 03/20/21 | Goldman Sachs | 183,855 | |||||||
2,800,000 | 09/20/16 | Bank of America N.A. | 53,578 | |||||||
400,000 | 12/20/15 | Deutsche Bank AG | (7,068 | ) | ||||||
|
| |||||||||
$ | 219,362 | |||||||||
|
|
Centrally Cleared Interest Rate Swaps
Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Maturity Date | Counterparty | Notional | Net Unrealized Appreciation (Depreciation) | ||||||||||
Receive | 3-Month USD LIBOR | 2.75% | 06/19/43 | Morgan Stanley & Co., Inc. | $ | 2,800,000 | $ | 321,875 | ||||||||
Receive | 3-Month USD LIBOR | 3.50% | 12/18/43 | Morgan Stanley & Co., Inc. | 15,600,000 | (251,217 | ) | |||||||||
|
| |||||||||||||||
$ | 70,658 | |||||||||||||||
|
|
Centrally Cleared Credit Default Swaps (See Note 2(a))
Notional Amount | Expiration Date | Counterparty | Net Appreciation (Depreciation) | |||||||||
$ | 19,500,000 | 12/20/18 | Morgan Stanley & Co., Inc. | $ | (32,549 | ) |
92 | See accompanying Notes to the Financial Statements. |
Mercer Core Fixed Income Fund
(formerly known as Mercer Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
September 30, 2013 (Unaudited)
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Debt Obligations | 100.1 | ||||
Preferred Stocks | 0.4 | ||||
Swaps | 0.0 | ||||
Futures Contracts | 0.1 | ||||
Options Purchased | 0.0 | ||||
Forward Foreign Currency Contracts | 0.0 | ||||
Written Options | (0.1 | ) | |||
TBA Sale Commitments | (0.4 | ) | |||
Short-Term Investments | 18.2 | ||||
Other Assets and Liabilities (net) | (18.3 | ) | |||
|
| ||||
100.0 | % | ||||
|
|
See accompanying Notes to the Financial Statements. | 93 |
Mercer Opportunistic Fixed Income Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 92.5% | ||||||||||
Corporate Debt — 46.3% | ||||||||||
250,000 | Abengoa Finance SAU, 8.88%, due 11/01/17 144A | 248,750 | ||||||||
100,000 | Alere, Inc., 6.50%, due 06/15/20 | 99,625 | ||||||||
200,000 | Alere, Inc., 7.25%, due 07/01/18 | 217,000 | ||||||||
350,000 | Algeco Scotsman Global Finance Plc, 8.50%, due 10/15/18 144A | 371,875 | ||||||||
500,000 | Ally Financial, Inc., 7.50%, due 09/15/20 | 563,750 | ||||||||
500,000 | ArcelorMittal, 6.13%, due 06/01/18 | 531,875 | ||||||||
100,000 | EUR | Ardagh Packaging Finance Plc, 7.38%, due 10/15/17 144A | 144,564 | |||||||
200,000 | EUR | Ardagh Packaging Finance Plc, 9.25%, due 10/15/20 144A | 283,611 | |||||||
300,000 | EUR | Avis Budget Finance Plc, 6.00%, due 03/01/21 144A | 412,910 | |||||||
500,000 | Bank of America Corp., Series M, 8.13%, due 12/31/49† | 551,227 | ||||||||
200,000 | Barminco Finance Pty, Ltd., 9.00%, due 06/01/18 144A | 183,500 | ||||||||
200,000 | Bluescope Steel, Ltd/Bluescope Steel Finance, 7.13%, due 05/01/18 144A | 206,500 | ||||||||
400,000 | BMC Software Finance, Inc., 8.13%, due 07/15/21 144A | 417,000 | ||||||||
200,000 | GBP | Boparan Finance Plc, 9.88%, due 04/30/18 144A | 357,887 | |||||||
250,000 | Caesars Entertainment Operating Co., Inc., 9.00%, due 02/15/20 | 235,625 | ||||||||
200,000 | Caesars Entertainment Operating Co., Inc., 11.25%, due 06/01/17 | 203,500 | ||||||||
300,000 | Calpine Corp., 7.50%, due 02/15/21 144A | 320,250 | ||||||||
300,000 | Calumet Specialty Products Partners LP/Calumet Finance Corp., 9.38%, due 05/01/19 | 330,750 | ||||||||
300,000 | EUR | Capsugel FinanceCo SCA, 9.88%, due 08/01/19 144A | 454,827 | |||||||
150,000 | Carrizo Oil & Gas, Inc., 7.50%, due 09/15/20 | 159,750 | ||||||||
100,000 | Carrizo Oil & Gas, Inc., 8.63%, due 10/15/18 | 109,500 | ||||||||
200,000 | EUR | Cegedim SA, 6.75%, due 04/01/20 144A | 255,840 | |||||||
250,000 | Cemex Finance LLC, 9.38%, due 10/12/22 144A | 275,000 | ||||||||
200,000 | Cemex SAB de CV, 9.00%, due 01/11/18 144A | 216,500 | ||||||||
300,000 | CGG, 6.50%, due 06/01/21 | 307,500 | ||||||||
300,000 | CHC Helicopter SA, 9.25%, due 10/15/20 | 321,000 | ||||||||
100,000 | CHC Helicopter SA, 9.38%, due 06/01/21 | 100,000 | ||||||||
500,000 | Chesapeake Energy Corp., 6.13%, due 02/15/21 | 521,250 | ||||||||
150,000 | CHS/Community Health Systems, Inc., 5.13%, due 08/15/18 | 153,000 | ||||||||
200,000 | CHS/Community Health Systems, Inc., 7.13%, due 07/15/20 | 202,250 | ||||||||
500,000 | CIT Group, Inc., 5.50%, due 02/15/19 144A | 527,500 | ||||||||
450,000 | Clear Channel Communications, Inc., 9.00%, due 03/01/21 | 437,625 | ||||||||
300,000 | Clear Channel Worldwide Holdings, Inc., 7.63%, due 03/15/20 | 311,250 | ||||||||
100,000 | CommScope Holding Co., Inc., 6.63%, due 06/01/20 144A | 100,000 | ||||||||
200,000 | CommScope, Inc., 8.25%, due 01/15/19 144A | 219,500 | ||||||||
300,000 | CONSOL Energy, Inc., 8.25%, due 04/01/20 | 323,250 | ||||||||
150,000 | Crosstex Energy, LP/Crosstex Energy Finance Corp., 7.13%, due 06/01/22 | 155,250 | ||||||||
400,000 | CSC Holdings LLC, 6.75%, due 11/15/21 | 430,000 | ||||||||
350,000 | Del Monte Corp., 7.63%, due 02/15/19 | 364,875 | ||||||||
200,000 | Digicel Group, Ltd., 8.25%, due 09/30/20 144A | 208,000 | ||||||||
200,000 | Digicel, Ltd., 6.00%, due 04/15/21 144A | 188,500 | ||||||||
500,000 | DISH DBS Corp., 5.13%, due 05/01/20 | 497,500 | ||||||||
300,000 | Drill Rigs Holdings, Inc., 6.50%, due 10/01/17 144A | 311,250 | ||||||||
350,000 | E*TRADE Financial Corp., 6.38%, due 11/15/19 | 374,500 | ||||||||
300,000 | eAccess, Ltd., 8.25%, due 04/01/18 144A | 330,000 | ||||||||
250,000 | Eagle Rock Energy Partners, LP/Eagle Rock Energy Finance Corp., 8.38%, due 06/01/19 | 251,250 |
94 | See accompanying Notes to the Financial Statements. |
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
300,000 | EUR | Edcon Pty, Ltd., 9.50%, due 03/01/18 144A | 384,775 | |||||||
300,000 | Eldorado Gold Corp., 6.13%, due 12/15/20 144A | 291,000 | ||||||||
300,000 | Energy Transfer Equity, LP, 7.50%, due 10/15/20 | 322,500 | ||||||||
250,000 | EPL Oil & Gas, Inc., 8.25%, due 02/15/18 | 265,000 | ||||||||
300,000 | Equinix, Inc., 4.88%, due 04/01/20 | 292,500 | ||||||||
400,000 | Expro Finance Luxembourg SCA, 8.50%, due 12/15/16 144A | 421,500 | ||||||||
200,000 | EUR | Findus Bondco SA, 9.13%, due 07/01/18 144A | 287,651 | |||||||
400,000 | First Data Corp., 8.25%, due 01/15/21 144A | 415,000 | ||||||||
200,000 | First Data Corp., 11.25%, due 01/15/21 144A | 210,000 | ||||||||
500,000 | FMG Resources August 2006 Pty, Ltd., 8.25%, due 11/01/19 144A | 541,250 | ||||||||
450,000 | FQM Akubra, Inc., 8.75%, due 06/01/20 144A | 483,750 | ||||||||
400,000 | Freescale Semiconductor, Inc., 8.05%, due 02/01/20 | 423,000 | ||||||||
100,000 | Freescale Semiconductor, Inc., Series 1, 9.25%, due 04/15/18 144A | 108,750 | ||||||||
300,000 | Frontier Communications Corp., 7.63%, due 04/15/24 | 301,500 | ||||||||
300,000 | Gannett Co., Inc., 5.13%, due 07/15/20 144A | 295,500 | ||||||||
100,000 | Gannett Co., Inc., 6.38%, due 10/15/23 144A | 99,500 | ||||||||
300,000 | Goodyear Tire & Rubber Co. (The), 6.50%, due 03/01/21 | 306,750 | ||||||||
400,000 | Halcon Resources Corp., 8.88%, due 05/15/21 | 412,000 | ||||||||
400,000 | HCA, Inc., 5.88%, due 05/01/23 | 394,000 | ||||||||
200,000 | HCA, Inc., 6.50%, due 02/15/20 | 217,250 | ||||||||
200,000 | Hertz Corp. (The), 6.25%, due 10/15/22 | 207,500 | ||||||||
200,000 | Hertz Corp. (The), 6.75%, due 04/15/19 | 212,500 | ||||||||
100,000 | Igloo Holdings Corp., 8.25%, due 12/15/17 144A | 103,250 | ||||||||
100,000 | Ineos Finance Plc, 7.50%, due 05/01/20 144A | 107,750 | ||||||||
100,000 | INEOS Group Holdings SA, 6.13%, due 08/15/18 144A | 98,000 | ||||||||
700,000 | Intelsat Jackson Holdings SA, 5.50%, due 08/01/23 144A | 658,000 | ||||||||
250,000 | InterGen NV, 7.00%, due 06/30/23 144A | 251,250 | ||||||||
100,000 | EUR | Jarden Corp., 7.50%, due 01/15/20 | 144,648 | |||||||
100,000 | JBS USA LLC/JBS USA Finance, Inc., 7.25%, due 06/01/21 144A | 99,500 | ||||||||
200,000 | JBS USA LLC/JBS USA Finance, Inc., 8.25%, due 02/01/20 144A | 211,500 | ||||||||
300,000 | JPMorgan Chase & Co., 6.00%, due 12/31/49† | 282,750 | ||||||||
400,000 | KB Home, 7.50%, due 09/15/22 | 418,000 | ||||||||
200,000 | EUR | Kerling Plc, 10.63%, due 02/01/17 144A | 288,734 | |||||||
300,000 | Kinder Morgan Finance Co. LLC, 6.00%, due 01/15/18 144A | 326,854 | ||||||||
150,000 | Kodiak Oil & Gas Corp., 5.50%, due 01/15/21 144A | 148,125 | ||||||||
150,000 | Kodiak Oil & Gas Corp., 8.13%, due 12/01/19 | 164,625 | ||||||||
200,000 | EUR | KraussMaffei Group GmbH, 8.75%, due 12/15/20 144A | 293,065 | |||||||
250,000 | Landry’s, Inc., 9.38%, due 05/01/20 144A | 265,000 | ||||||||
400,000 | Linn Energy LLC/Linn Energy Finance Corp., 6.75%, due 11/01/19 144A | 379,000 | ||||||||
250,000 | Martin Midstream Partners, LP/Martin Midstream Finance Corp., 7.25%, due 02/15/21 | 254,063 | ||||||||
200,000 | Meritor, Inc., 6.75%, due 06/15/21 | 199,000 | ||||||||
100,000 | Meritor, Inc., 10.63%, due 03/15/18 | 108,500 | ||||||||
500,000 | MGM Resorts International, 6.75%, due 10/01/20 | 526,250 | ||||||||
200,000 | Midstates Petroleum Co., Inc./Midstates Petroleum Co. LLC, 9.25%, due 06/01/21 144A | 198,500 | ||||||||
200,000 | EUR | Mobile Challenger Intermediate Group SA, 8.75%, due 03/15/19 144A | 273,437 | |||||||
200,000 | Murray Energy Corp., 8.63%, due 06/15/21 144A | 201,500 | ||||||||
200,000 | Neuberger Berman Group LLC/Neuberger Berman Finance Corp., 5.88%, due 03/15/22 144A | 202,000 |
See accompanying Notes to the Financial Statements. | 95 |
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
200,000 | GBP | New Look Bondco I Plc, 8.75%, due 05/14/18 144A | 330,357 | |||||||
100,000 | Nielsen Co. Luxembourg SARL (The), 5.50%, due 10/01/21 144A | 100,375 | ||||||||
300,000 | EUR | Nokia Siemens Networks Finance BV, 7.13%, due 04/15/20 144A | 452,086 | |||||||
300,000 | Novelis, Inc., 8.75%, due 12/15/20 | 330,750 | ||||||||
300,000 | Nuveen Investments, Inc., 9.50%, due 10/15/20 144A | 294,750 | ||||||||
200,000 | Oasis Petroleum, Inc., 6.88%, due 03/15/22 144A | 211,500 | ||||||||
150,000 | Offshore Group Investment, Ltd., 7.13%, due 04/01/23 | 147,000 | ||||||||
200,000 | Offshore Group Investment, Ltd., 7.50%, due 11/01/19 | 211,500 | ||||||||
300,000 | Olin Corp., 5.50%, due 08/15/22 | 300,000 | ||||||||
300,000 | Orion Engineered Carbons Finance & Co. SCA, 9.25%, due 08/01/19 144A | 307,500 | ||||||||
100,000 | Paris Las Vegas Holding LLC/Harrahs Las Vegas LLC/Flamingo Las Vegas Holding, 8.00%, due 10/01/20 144A | 100,000 | ||||||||
250,000 | PBF Holding Co. LLC/PBF Finance Corp., 8.25%, due 02/15/20 | 260,000 | ||||||||
400,000 | Peabody Energy Corp., 6.00%, due 11/15/18 | 401,000 | ||||||||
200,000 | Penn Virginia Corp., 8.50%, due 05/01/20 | 204,000 | ||||||||
200,000 | Penn Virginia Resource Partners, LP/Penn Virginia Resource Finance Corp. II, 6.50%, due 05/15/21 144A | 189,750 | ||||||||
100,000 | Penn Virginia Resource Partners, LP/Penn Virginia Resource Finance Corp. II, 8.38%, due 06/01/20 | 104,500 | ||||||||
300,000 | PNK Finance Corp., 6.38%, due 08/01/21 144A | 307,500 | ||||||||
200,000 | Post Holdings, Inc., 7.38%, due 02/15/22 144A | 211,250 | ||||||||
300,000 | QEP Resources, Inc., 5.38%, due 10/01/22 | 288,000 | ||||||||
300,000 | QR Energy, LP/QRE Finance Corp., 9.25%, due 08/01/20 | 309,000 | ||||||||
250,000 | Quicksilver Resources, Inc., 7.00%, due 06/21/19† 144A | 240,625 | ||||||||
200,000 | Radio One, Inc., 12.50%, due 05/24/16 | 204,000 | ||||||||
200,000 | EUR | Rain CII Carbon LLC/CII Carbon Corp., 8.50%, due 01/15/21 144A | 270,730 | |||||||
300,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer, 5.75%, due 10/15/20 | 302,625 | ||||||||
400,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer, 9.00%, due 04/15/19 | 422,000 | ||||||||
100,000 | Royal Bank of Scotland Group Plc, 6.13%, due 12/15/22 | 101,094 | ||||||||
300,000 | EUR | Royal Bank of Scotland Plc (The), 6.93%, due 04/09/18 | 446,566 | |||||||
300,000 | Sabine Pass Liquefaction LLC, 5.63%, due 02/01/21 144A | 295,125 | ||||||||
200,000 | Samson Investment Co., 10.25%, due 02/15/20 144A | 213,000 | ||||||||
300,000 | Sanchez Energy Corp., 7.75%, due 06/15/21 144A | 294,000 | ||||||||
200,000 | SIWF Merger Sub, Inc., 6.25%, due 06/01/21 144A | 196,500 | ||||||||
300,000 | SLM Corp., 5.50%, due 01/15/19 | 297,413 | ||||||||
200,000 | SLM Corp., 8.45%, due 06/15/18 | 226,500 | ||||||||
400,000 | Sprint Communications, Inc., 6.00%, due 11/15/22 | 370,000 | ||||||||
300,000 | Sprint Communications, Inc., 7.00%, due 03/01/20 144A | 324,000 | ||||||||
100,000 | Sprint Corp., 7.88%, due 09/15/23 144A | 102,250 | ||||||||
300,000 | Standard Pacific Corp., 6.25%, due 12/15/21 | 300,375 | ||||||||
200,000 | Tenet Healthcare Corp., 8.13%, due 04/01/22 144A | 209,250 | ||||||||
550,000 | Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Series 1, 11.50%, due 10/01/20 144A | 382,938 | ||||||||
300,000 | EUR | Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 5.75%, due 01/15/23 144A | 407,110 | |||||||
100,000 | Univision Communications, Inc., 5.13%, due 05/15/23 144A | 96,250 | ||||||||
200,000 | Univision Communications, Inc., 6.88%, due 05/15/19 144A | 215,000 |
96 | See accompanying Notes to the Financial Statements. |
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
300,000 | UPCB Finance III, Ltd., 6.63%, due 07/01/20 144A | 319,500 | ||||||||
200,000 | EUR | US Coatings Acquisition, Inc./Axalta Coating Systems Dutch Holding B BV, 5.75%, due 02/01/21 144A | 272,761 | |||||||
400,000 | Valeant Pharmaceuticals International, 6.38%, due 10/15/20 144A | 418,000 | ||||||||
100,000 | Visant Corp., 10.00%, due 10/01/17 | 93,500 | ||||||||
250,000 | W&T Offshore, Inc., 8.50%, due 06/15/19 | 266,250 | ||||||||
500,000 | Wind Acquisition Finance SA, 11.75%, due 07/15/17 144A | 531,875 | ||||||||
|
| |||||||||
39,763,398 | ||||||||||
|
| |||||||||
Sovereign Debt Obligations — 46.2% | ||||||||||
150,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 6.00%, due 01/01/18 | 313,411 | |||||||
160,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 6.00%, due 01/01/20 | 336,657 | |||||||
90,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 6.00%, due 01/01/22 | 191,265 | |||||||
170,000,000 | CLP | Bonos del Banco Central de Chile en Pesos, 6.00%, due 02/01/16 | 348,545 | |||||||
2,300,000 | BRL | Brazil Notas do Tesouro Nacional Serie F, 10.00%, due 01/01/17 | 1,025,900 | |||||||
2,200,000 | BRL | Brazil Notas do Tesouro Nacional Serie F, 10.00%, due 01/01/18 | 969,219 | |||||||
5,300,000 | BRL | Brazil Notas do Tesouro Nacional Serie F, 10.00%, due 01/01/23 | 2,230,993 | |||||||
104,980,000 | HUF | Hungary Government Bond, 5.50%, due 12/20/18 | 486,814 | |||||||
155,000,000 | HUF | Hungary Government Bond, 6.00%, due 11/24/23 | 716,091 | |||||||
70,000,000 | HUF | Hungary Government Bond, 6.50%, due 06/24/19 | 338,678 | |||||||
20,000,000 | HUF | Hungary Government Bond, 6.75%, due 10/22/28 | 94,294 | |||||||
3,000,000,000 | IDR | Indonesia Treasury Bond, 5.25%, due 05/15/18 | 234,535 | |||||||
11,500,000,000 | IDR | Indonesia Treasury Bond, 5.63%, due 05/15/23 | 808,371 | |||||||
8,900,000,000 | IDR | Indonesia Treasury Bond, 6.13%, due 05/15/28 | 606,517 | |||||||
3,000,000,000 | IDR | Indonesia Treasury Bond, 6.63%, due 05/15/33 | 206,169 | |||||||
1,600,000 | MYR | Malaysia Government Bond, 3.26%, due 03/01/18 | 485,031 | |||||||
1,979,000 | MYR | Malaysia Government Bond, 3.42%, due 08/15/22 | 590,644 | |||||||
650,000 | MYR | Malaysia Government Bond, 3.48%, due 03/15/23 | 194,740 | |||||||
700,000 | MYR | Malaysia Government Bond, 3.58%, due 09/28/18 | 214,450 | |||||||
1,600,000 | MYR | Malaysia Government Bond, 3.84%, due 08/12/15 | 496,556 | |||||||
550,000 | MYR | Malaysia Government Bond, 3.89%, due 03/15/27 | 164,362 | |||||||
3,300,000 | MYR | Malaysia Government Bond, 4.01%, due 09/15/17 | 1,029,031 | |||||||
800,000 | MYR | Malaysia Government Bond, 4.38%, due 11/29/19 | 254,856 | |||||||
9,000,000 | MXN | Mexican Bonos, 7.25%, due 12/15/16 | 743,542 | |||||||
7,200,000 | MXN | Mexican Bonos, 7.75%, due 05/29/31 | 593,322 | |||||||
8,500,000 | MXN | Mexican Bonos, 8.00%, due 12/17/15 | 701,399 | |||||||
5,000,000 | MXN | Mexican Bonos, 8.00%, due 06/11/20 | 434,193 | |||||||
9,500,000 | MXN | Mexican Bonos, 8.00%, due 12/07/23 | 826,412 | |||||||
7,500,000 | MXN | Mexican Bonos, 8.50%, due 05/31/29 | 666,542 | |||||||
5,810,000 | MXN | Mexican Bonos, 8.50%, due 11/18/38 | 511,427 | |||||||
7,000,000 | MXN | Mexican Bonos, 10.00%, due 12/05/24 | 700,718 | |||||||
1,000,000 | PEN | Peruvian Government International Bond, 7.84%, due 08/12/20 | 417,193 | |||||||
915,000 | PEN | Peruvian Government International Bond, 8.20%, due 08/12/26 | 401,163 | |||||||
1,272,000 | PLN | Poland Government Bond, 3.75%, due 04/25/18 | 407,246 | |||||||
600,000 | PLN | Poland Government Bond, 4.00%, due 10/25/23 | 185,133 | |||||||
2,863,000 | PLN | Poland Government Bond, 5.75%, due 10/25/21 | 1,005,237 | |||||||
1,061,000 | PLN | Poland Government Bond, 5.75%, due 09/23/22 | 372,477 | |||||||
1,100,000 | PLN | Poland Government Bond, 5.75%, due 04/25/29 | 391,426 | |||||||
360,000 | RON | Romania Government Bond, 5.80%, due 07/26/27 | 112,501 | |||||||
33,000,000 | RUB | Russian Federal Bond - OFZ, 5.50%, due 08/08/18 | 965,704 |
See accompanying Notes to the Financial Statements. | 97 |
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Sovereign Debt Obligations — continued | ||||||||||
19,000,000 | RUB | Russian Federal Bond - OFZ, 6.88%, due 07/15/15 | 593,316 | |||||||
23,000,000 | RUB | Russian Federal Bond - OFZ, 7.05%, due 01/19/28 | 676,397 | |||||||
21,000,000 | RUB | Russian Federal Bond - OFZ, 7.40%, due 04/19/17 | 667,668 | |||||||
25,000,000 | RUB | Russian Federal Bond - OFZ, 7.40%, due 06/14/17 | 791,562 | |||||||
30,000,000 | RUB | Russian Federal Bond - OFZ, 7.60%, due 04/14/21 | 957,747 | |||||||
25,000,000 | RUB | Russian Federal Bond - OFZ, 8.15%, due 02/03/27 | 810,087 | |||||||
2,734,700 | ZAR | South Africa Government Bond, 6.75%, due 03/31/21 | 262,018 | |||||||
6,400,000 | ZAR | South Africa Government Bond, 7.00%, due 02/28/31 | 547,460 | |||||||
9,119,000 | ZAR | South Africa Government Bond, 7.25%, due 01/15/20 | 905,865 | |||||||
4,100,000 | ZAR | South Africa Government Bond, 7.75%, due 02/28/23 | 410,352 | |||||||
7,180,000 | ZAR | South Africa Government Bond, 8.00%, due 12/21/18 | 744,647 | |||||||
6,500,000 | ZAR | South Africa Government Bond, 8.75%, due 12/21/14 | 672,041 | |||||||
4,300,000 | ZAR | South Africa Government Bond, 8.75%, due 02/28/48 | 417,474 | |||||||
6,300,000 | ZAR | South Africa Government Bond, 10.50%, due 12/21/26 | 754,355 | |||||||
27,000,000 | THB | Thailand Government Bond, 3.25%, due 06/16/17 | 863,786 | |||||||
10,700,000 | THB | Thailand Government Bond, 3.58%, due 12/17/27 | 322,771 | |||||||
39,190,000 | THB | Thailand Government Bond, 3.63%, due 05/22/15 | 1,269,269 | |||||||
22,340,000 | THB | Thailand Government Bond, 3.63%, due 06/16/23 | 700,259 | |||||||
14,100,000 | THB | Thailand Government Bond, 3.65%, due 12/17/21 | 446,962 | |||||||
2,000,000 | THB | Thailand Government Bond, 3.78%, due 06/25/32 | 59,091 | |||||||
20,000,000 | THB | Thailand Government Bond, 3.88%, due 06/13/19 | 650,776 | |||||||
2,550,000 | TRY | Turkey Government Bond, 6.50%, due 01/07/15 | 1,235,386 | |||||||
445,000 | TRY | Turkey Government Bond, 7.10%, due 03/08/23 | 194,138 | |||||||
1,600,000 | TRY | Turkey Government Bond, 9.00%, due 03/08/17 | 800,850 | |||||||
2,085,000 | TRY | Turkey Government Bond, 9.50%, due 01/12/22 | 1,059,069 | |||||||
250,000 | TRY | Turkey Government Bond, 10.00%, due 06/17/15 | 126,554 | |||||||
1,700,000 | TRY | Turkey Government Bond, 10.50%, due 01/15/20 | 903,008 | |||||||
|
| |||||||||
39,615,672 | ||||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $77,670,858) | 79,379,070 | |||||||||
|
| |||||||||
Shares | Description | Value ($) | ||||||||
PREFERRED STOCK — 0.1% | ||||||||||
Diversified Financial Services — 0.1% | ||||||||||
2,000 | GMAC Capital Trust I, 8.125%† | 53,500 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCK (COST $52,080) | 53,500 | |||||||||
|
| |||||||||
Par Value** | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 5.2% | ||||||||||
Bank Deposit — 5.2% | ||||||||||
4,477,532 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/01/13 | 4,477,532 | ||||||||
|
| |||||||||
TOTAL BANK DEPOSITS (COST $4,477,532) | 4,477,532 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 97.8% (Cost $82,200,470) | 83,910,102 | |||||||||
Other Assets and Liabilities (net) — 2.2% | 1,880,453 | |||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 85,790,555 | ||||||||
|
|
98 | See accompanying Notes to the Financial Statements. |
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Notes to Schedule of Investments: | ||||||
** | Unless otherwise indicated, all par values are denominated in United States dollars ($). | |||||
† | Floating rate note. Rate shown is as of September 30, 2013. | |||||
144A — Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The total market value of the securities at period end is $20,971,887 which represents 24.5% of net assets. |
See accompanying Notes to the Financial Statements. | 99 |
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2013 (Unaudited)
A summary of outstanding financial instruments at September 30, 2013 is as follows:
Forward Foreign Currency Contracts
Settlement | Currency | Counterparty | Units of | Value | Net | |||||||||||||||
Buys | ||||||||||||||||||||
12/02/13 | BRL | Citibank N.A. | 4,800,000 | $ | 2,126,670 | $ | 50,545 | |||||||||||||
11/20/13 | CNY | Goldman Sachs | 7,500,000 | 1,223,146 | 8,768 | |||||||||||||||
11/20/13 | COP | Citibank N.A. | 940,000,000 | 491,055 | 6,027 | |||||||||||||||
11/20/13 | COP | Goldman Sachs | 370,000,000 | 193,288 | 1,578 | |||||||||||||||
12/18/13 | EUR | Citibank N.A. | 280,000 | 379,098 | 893 | |||||||||||||||
09/04/14 | EUR | JPMorgan Chase Bank | 100,000 | 135,523 | 2,657 | |||||||||||||||
12/18/13 | HUF | Citibank N.A. | 163,730,000 | 741,082 | 9,656 | |||||||||||||||
12/18/13 | HUF | Goldman Sachs | 42,109,000 | 190,596 | 2,476 | |||||||||||||||
11/20/13 | IDR | Citibank N.A. | 25,200,000,000 | 2,157,310 | (2,641 | ) | ||||||||||||||
11/20/13 | IDR | Goldman Sachs | 13,038,600,000 | 1,116,202 | (21,679 | ) | ||||||||||||||
11/20/13 | INR | Citibank N.A. | 53,000,000 | 835,278 | 72,084 | |||||||||||||||
11/20/13 | KRW | Citibank N.A. | 1,345,000,000 | 1,247,644 | 51,961 | |||||||||||||||
11/20/13 | KRW | Goldman Sachs | 500,000,000 | 463,808 | 17,778 | |||||||||||||||
11/20/13 | MYR | Citibank N.A. | 1,824,000 | 557,814 | (6,245 | ) | ||||||||||||||
11/20/13 | NGN | Citibank N.A. | 280,000,000 | 1,704,031 | 21,338 | |||||||||||||||
11/20/13 | PHP | Citibank N.A. | 7,500,000 | 172,290 | 2,733 | |||||||||||||||
12/18/13 | PLN | Citibank N.A. | 1,100,000 | 350,803 | 2,258 | |||||||||||||||
12/18/13 | PLN | Goldman Sachs | 10,654,000 | 3,397,685 | 131,641 | |||||||||||||||
12/18/13 | RON | Goldman Sachs | 1,386,000 | 418,040 | 9,226 | |||||||||||||||
11/20/13 | RUB | Citibank N.A. | 24,000,000 | 734,978 | 18,585 | |||||||||||||||
11/20/13 | RUB | Goldman Sachs | 15,000,000 | 459,361 | 11,332 | |||||||||||||||
12/18/13 | SGD | Citibank N.A. | 670,000 | 534,014 | (292 | ) | ||||||||||||||
12/18/13 | SGD | Goldman Sachs | 270,000 | 215,200 | 33 | |||||||||||||||
11/20/13 | THB | Citibank N.A. | 9,050,000 | 288,464 | 9,755 | |||||||||||||||
12/18/13 | TRY | Goldman Sachs | 780,000 | 380,345 | 5,363 | |||||||||||||||
12/18/13 | ZAR | Citibank N.A. | 3,513,000 | 345,112 | (7,592 | ) | ||||||||||||||
12/18/13 | ZAR | Goldman Sachs | 21,625,000 | 2,124,409 | (67,739 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | 330,499 | |||||||||||||||||||
|
| |||||||||||||||||||
Sales | ||||||||||||||||||||
11/20/13 | CLP | Citibank N.A. | 750,000,000 | $ | 1,480,176 | $ | (34,031 | ) | ||||||||||||
11/20/13 | CLP | Goldman Sachs | 895,000,000 | 1,766,344 | (23,985 | ) | ||||||||||||||
11/20/13 | CNY | Citibank N.A. | 5,500,000 | 896,974 | (7,793 | ) | ||||||||||||||
11/20/13 | CNY | Goldman Sachs | 2,000,000 | 326,172 | (2,495 | ) | ||||||||||||||
12/18/13 | CZK | Goldman Sachs | 19,500,000 | 1,026,101 | (26,818 | ) | ||||||||||||||
12/18/13 | EUR | Citibank N.A. | 349,063 | 472,604 | (6,472 | ) | ||||||||||||||
12/18/13 | EUR | Goldman Sachs | 179,000 | 242,352 | (6,699 | ) | ||||||||||||||
12/18/13 | HUF | Citibank N.A. | 11,810,000 | 53,455 | (2,245 | ) | ||||||||||||||
12/18/13 | ILS | Citibank N.A. | 640,000 | 181,253 | (4,703 | ) | ||||||||||||||
12/18/13 | ILS | Goldman Sachs | 7,300,000 | 2,067,414 | (61,258 | ) | ||||||||||||||
11/20/13 | INR | Goldman Sachs | 53,000,000 | 835,278 | (6,765 | ) | ||||||||||||||
11/20/13 | MYR | Citibank N.A. | 800,000 | 244,655 | (4,890 | ) | ||||||||||||||
11/20/13 | MYR | Goldman Sachs | 1,759,000 | 537,936 | 4,783 | |||||||||||||||
12/18/13 | PLN | Goldman Sachs | 2,479,000 | 790,582 | (327 | ) |
100 | See accompanying Notes to the Financial Statements. |
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2013 (Unaudited)
Forward Foreign Currency Contracts — continued
Settlement | Currency | Counterparty | Units of | Value | Net | |||||||||||||||
11/20/13 | RUB | Citibank N.A. | 3,110,000 | $ | 95,241 | $ | (1,279 | ) | ||||||||||||
12/18/13 | SGD | Goldman Sachs | 3,739,000 | 2,980,115 | (51,085 | ) | ||||||||||||||
11/20/13 | THB | Citibank N.A. | 15,811,000 | 503,967 | (1,099 | ) | ||||||||||||||
11/20/13 | THB | Goldman Sachs | 24,900,000 | 793,674 | (15,644 | ) | ||||||||||||||
12/18/13 | TRY | Citibank N.A. | 1,350,000 | 658,289 | (11,148 | ) | ||||||||||||||
12/18/13 | TRY | Goldman Sachs | 1,895,000 | 924,042 | (11,017 | ) | ||||||||||||||
11/20/13 | TWD | Citibank N.A. | 27,000,000 | 913,849 | (11,868 | ) | ||||||||||||||
11/20/13 | TWD | Goldman Sachs | 53,687,000 | 1,817,104 | (10,971 | ) | ||||||||||||||
12/18/13 | ZAR | Citibank N.A. | 5,320,000 | 522,629 | 987 | |||||||||||||||
12/18/13 | ZAR | Goldman Sachs | 23,120,000 | 2,271,275 | (61,267 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (358,089 | ) | ||||||||||||||||||
|
|
Currency Abbreviations
BRL | Brazilian Real |
CLP | Chilean Peso |
CNY | Chinese Yuan |
COP | Colombian Peso |
CZK | Czech Koruna |
EUR | Euro |
GBP | British Pound Sterling |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
ILS | Israeli Shekel |
INR | Indian Rupee |
KRW | South Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NGN | Nigeria Naira |
PEN | Peruvian Nouveau Sol |
PHP | Philippines Peso |
PLN | Polish Zloty |
RON | New Romanian Leu |
RUB | Russian Ruble |
SGD | Singapore Dollar |
THB | Thai Baht |
TRY | New Turkish Lira |
TWD | Taiwan Dollar |
ZAR | South African Rand |
See accompanying Notes to the Financial Statements. | 101 |
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2013 (Unaudited)
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Debt Obligations | 92.5 | ||||
Preferred Stocks | 0.1 | ||||
Forward Foreign Currency Contracts | 0.0 | ||||
Short-Term Investments | 5.2 | ||||
Other Assets and Liabilities (net) | 2.2 | ||||
|
| ||||
100.0 | % | ||||
|
|
102 | See accompanying Notes to the Financial Statements. |
Mercer Emerging Markets Equity Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 89.1% | ||||||||||
Bermuda — 0.7% | ||||||||||
744,000 | China Gas Holdings, Ltd. | 810,661 | ||||||||
536,000 | COSCO Pacific, Ltd. | 823,855 | ||||||||
3,000 | Credicorp, Ltd. | 385,380 | ||||||||
62,594 | Dairy Farm International Holdings, Ltd.‡ | 632,826 | ||||||||
6,612,000 | GOME Electrical Appliances Holding, Ltd. | 844,069 | ||||||||
713,000 | Sihuan Pharmaceutical Holdings Group, Ltd. | 484,518 | ||||||||
|
| |||||||||
Total Bermuda | 3,981,309 | |||||||||
|
| |||||||||
Brazil — 8.2% | ||||||||||
133,600 | Arteris SA | 1,182,327 | ||||||||
178,259 | Banco Bradesco SA, ADR | 2,474,235 | ||||||||
321,300 | Banco do Brasil SA | 3,731,096 | ||||||||
32,682 | BB Seguridade Participacoes SA | 320,206 | ||||||||
730,141 | BM&FBovespa SA | 4,060,621 | ||||||||
88,400 | BR Malls Participacoes SA | 798,203 | ||||||||
80,300 | BR Properties SA | 710,635 | ||||||||
20,300 | BRF SA, ADR‡ | 497,959 | ||||||||
111,500 | CCR SA | 869,039 | ||||||||
43,200 | Cia Brasileira de Distribuicao Grupo, ADR‡ | 1,988,064 | ||||||||
160,639 | Cia de Bebidas das Americas, ADR | 6,160,506 | ||||||||
44,400 | Cia de Saneamento Basico do Estado, ADR‡ | 442,224 | ||||||||
50,000 | Cia Hering | 755,599 | ||||||||
144,419 | Cielo SA | 3,888,715 | ||||||||
146,899 | Companhia Energetica de Minas Gerais, Sponsored ADR‡ | 1,269,207 | ||||||||
125,400 | EcoRodovias Infraestrutura e Logistica SA | 854,008 | ||||||||
67,700 | Fibria Celulose SA, Sponsored ADR* ‡ | 779,904 | ||||||||
64,235 | Grupo BTG Pactual | 793,541 | ||||||||
80,300 | Itau Unibanco Holding SA, ADR | 1,133,836 | ||||||||
250,600 | JBS SA | 872,465 | ||||||||
55,800 | Lojas Renner SA | 1,592,495 | ||||||||
191,100 | MRV Engenharia e Participacoes SA | 782,067 | ||||||||
8,900 | Multiplan Empreendimentos Imobiliarios SA | 211,900 | ||||||||
198,000 | Petroleo Brasileiro SA, Sponsored ADR | 3,312,540 | ||||||||
218,600 | Porto Seguro SA¤ | 2,749,624 | ||||||||
292,290 | Souza Cruz SA | 3,473,000 | ||||||||
63,900 | Telefonica Brasil SA, ADR‡ | 1,433,916 | ||||||||
157,600 | Tim Participacoes SA | 727,804 | ||||||||
30,205 | Totvs SA | 508,697 | ||||||||
31,400 | Ultrapar Participacoes SA | 771,018 | ||||||||
77,400 | Vale SA, ADR | 1,099,854 | ||||||||
|
| |||||||||
Total Brazil | 50,245,305 | |||||||||
|
| |||||||||
Cayman Islands — 2.9% | ||||||||||
2,131,000 | Anta Sports Products, Ltd. | 2,731,364 | ||||||||
4,068,000 | Bosideng International Holdings, Ltd. | 986,163 | ||||||||
600,000 | China Mengniu Dairy Co., Ltd. | 2,688,536 | ||||||||
228,000 | China Resources Land, Ltd. | 651,206 |
See accompanying Notes to the Financial Statements. | 103 |
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Cayman Islands — continued | ||||||||||
1,114,000 | China Shanshui Cement Group, Ltd. | 428,067 | ||||||||
255,000 | Country Garden Holdings Co., Ltd. | 164,078 | ||||||||
717,000 | Evergrande Real Estate Group, Ltd.* | 298,629 | ||||||||
820,000 | Geely Automobile Holdings, Ltd. | 421,887 | ||||||||
78,500 | Longfor Properties Co., Ltd. | 124,504 | ||||||||
132,000 | MStar Semiconductor, Inc. | 1,218,791 | ||||||||
221,000 | Parkson Retail Group, Ltd. | 92,331 | ||||||||
525,573 | Sands China, Ltd. | 3,253,000 | ||||||||
77,000 | Shimao Property Holdings, Ltd. | 178,323 | ||||||||
1,546,500 | Soho China, Ltd. | 1,330,104 | ||||||||
58,200 | Tencent Holdings, Ltd. | 3,052,908 | ||||||||
|
| |||||||||
Total Cayman Islands | 17,619,891 | |||||||||
|
| |||||||||
Chile — 1.9% | ||||||||||
9,450,390 | Banco de Chile | 1,405,378 | ||||||||
96,300,220 | Banco Santander Chile | 6,302,348 | ||||||||
94,882 | Empresas CMPC SA | 289,740 | ||||||||
18,229 | Empresas COPEC SA | 257,142 | ||||||||
58,800 | Enersis SA, Sponsored ADR‡ | 944,328 | ||||||||
82,610 | ENTEL Chile SA | 1,342,571 | ||||||||
62,710 | SACI Falabella | 603,023 | ||||||||
25,823 | Sociedad Quimica y Minera de Chile SA, Sponsored ADR | 788,893 | ||||||||
|
| |||||||||
Total Chile | 11,933,423 | |||||||||
|
| |||||||||
China — 9.2% | ||||||||||
3,225,000 | Agricultural Bank of China, Ltd. Class H | 1,484,594 | ||||||||
18,194,000 | Bank of China, Ltd. Class H | 8,281,570 | ||||||||
659,000 | Bank of Communications Co., Ltd. Class H | 485,212 | ||||||||
2,946,000 | China BlueChemical, Ltd. Class H | 1,739,835 | ||||||||
682,000 | China Citic Bank Corp., Ltd. Class H | 353,525 | ||||||||
760,000 | China Communications Construction Co., Ltd. Class H | 601,716 | ||||||||
2,080,000 | China Communications Services Corp., Ltd. Class H | 1,214,986 | ||||||||
13,726,000 | China Construction Bank Corp. Class H | 10,584,125 | ||||||||
761,000 | China Longyuan Power Group Corp. Class H | 790,914 | ||||||||
251,500 | China Merchants Bank Co., Ltd. Class H | 457,913 | ||||||||
1,040,000 | China Minsheng Banking Corp., Ltd. Class H | 1,243,148 | ||||||||
204,000 | China Oilfield Services, Ltd. Class H | 511,897 | ||||||||
15,730 | China Petroleum & Chemical Corp., ADR | 1,231,502 | ||||||||
1,694,000 | China Petroleum & Chemical Corp. Class H | 1,325,904 | ||||||||
233,000 | China Railway Construction Corp. Class H | 246,365 | ||||||||
2,868,000 | China Railway Group, Ltd. Class H | 1,571,730 | ||||||||
548,000 | China Shenhua Energy Co., Ltd. Class H | 1,671,173 | ||||||||
864,000 | China Southern Airlines Co., Ltd. Class H | 321,975 | ||||||||
2,366,000 | China Telecom Corp., Ltd. Class H | 1,177,638 | ||||||||
641,000 | Chongqing Rural Commercial Bank Class H | 309,129 | ||||||||
122,000 | Dongfeng Motor Group Co., Ltd. Class H | 185,946 | ||||||||
916,000 | Guangzhou R&F Properties Co., Ltd. Class H | 1,433,917 | ||||||||
720,000 | Huaneng Power International, Inc. Class H | 721,379 | ||||||||
12,980,000 | Industrial & Commercial Bank of China Class H | 9,054,860 |
104 | See accompanying Notes to the Financial Statements. |
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
1,606,000 | Jiangsu Expressway Co., Ltd. Class H | 1,896,928 | ||||||||
1,086,000 | Jiangxi Copper Co., Ltd. Class H | 2,134,148 | ||||||||
8,300 | PetroChina Co., Ltd., ADR | 912,585 | ||||||||
2,292,000 | Sinopec Shanghai Petrochemical Co., Ltd. Class H* | 851,171 | ||||||||
170,904 | Tsingtao Brewery Co., Ltd. Class H | 1,303,517 | ||||||||
2,892,000 | Zhejiang Expressway Co., Ltd. Class H | 2,673,790 | ||||||||
|
| |||||||||
Total China | 56,773,092 | |||||||||
|
| |||||||||
Colombia — 0.7% | ||||||||||
27,981 | Almacenes Exito SA | 478,802 | ||||||||
45,586 | Cementos Argos SA | 239,134 | ||||||||
1,369,624 | Ecopetrol SA | 3,146,909 | ||||||||
6,562 | Ecopetrol SA, Sponsored ADR‡ | 301,852 | ||||||||
|
| |||||||||
Total Colombia | 4,166,697 | |||||||||
|
| |||||||||
Czech Republic — 0.6% | ||||||||||
58,107 | CEZ AS | 1,500,664 | ||||||||
10,110 | Komercni Banka AS | 2,247,795 | ||||||||
|
| |||||||||
Total Czech Republic | 3,748,459 | |||||||||
|
| |||||||||
Hong Kong — 4.4% | ||||||||||
387,000 | China Agri-Industries Holdings, Ltd. | 183,142 | ||||||||
58,500 | China Mobile, Ltd., Sponsored ADR | 3,301,155 | ||||||||
427,500 | China Mobile, Ltd. | 4,782,064 | ||||||||
462,000 | China Overseas Land & Investment, Ltd. | 1,364,229 | ||||||||
740,000 | China Resources Power Holdings Co., Ltd. | 1,765,279 | ||||||||
1,399,000 | �� | CNOOC, Ltd. | 2,846,653 | |||||||
10,200 | CNOOC, Ltd., ADR | 2,058,360 | ||||||||
1,332,000 | Guangdong Investment, Ltd. | 1,142,183 | ||||||||
553,391 | Hongkong Electric Holdings | 4,945,100 | ||||||||
357,780 | Link (The) REIT | 1,755,418 | ||||||||
8,836,000 | Shougang Fushan Resources Group, Ltd. | 2,962,367 | ||||||||
184,000 | Sino-Ocean Land Holdings, Ltd. | 108,191 | ||||||||
|
| |||||||||
Total Hong Kong | 27,214,141 | |||||||||
|
| |||||||||
Hungary — 0.2% | ||||||||||
3,142 | MOL Hungarian Oil and Gas Plc | 227,422 | ||||||||
40,134 | OTP Bank Nyrt | 794,500 | ||||||||
|
| |||||||||
Total Hungary | 1,021,922 | |||||||||
|
| |||||||||
India — 9.3% | ||||||||||
156,923 | Asian Paints, Ltd. | 1,148,504 | ||||||||
61,781 | Axis Bank, Ltd. | 991,772 | ||||||||
72,500 | Bajaj Auto, Ltd. | 2,301,981 | ||||||||
247,543 | Cipla, Ltd. | 1,708,147 | ||||||||
25,764 | Colgate-Palmolive India, Ltd. | 510,218 | ||||||||
51,700 | Dr. Reddy’s Laboratories, Ltd., ADR | 1,953,743 | ||||||||
236,538 | HDFC Bank, Ltd., ADR | 7,280,640 |
See accompanying Notes to the Financial Statements. | 105 |
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
India — continued | ||||||||||
15,094 | Hero Honda Motors, Ltd. | 486,538 | ||||||||
517,357 | Hindustan Unilever, Ltd. | 5,181,421 | ||||||||
409,178 | Housing Development Finance Corp. | 4,955,168 | ||||||||
23,300 | ICICI Bank, Ltd., Sponsored ADR | 710,184 | ||||||||
54,475 | Infosys, Ltd. | 2,618,246 | ||||||||
50,500 | Infosys, Ltd., Sponsored ADR‡ | 2,429,555 | ||||||||
1,193,162 | ITC, Ltd. | 6,457,998 | ||||||||
108,883 | Kotak Mahindra Bank, Ltd. | 1,171,355 | ||||||||
21,297 | Nestle India, Ltd. | 1,751,249 | ||||||||
166,895 | NTPC, Ltd. | 394,145 | ||||||||
274,244 | Oil India, Ltd. | 1,906,632 | ||||||||
55,880 | Reliance Industries, Ltd., GDR 144A | 1,469,085 | ||||||||
9,317 | State Bank of India, Ltd., GDR | 484,484 | ||||||||
283,408 | Sun Pharmaceutical Industries, Ltd. | 2,675,185 | ||||||||
89,602 | Tata Consultancy Services, Ltd. | 2,751,535 | ||||||||
58,800 | Tata Motors, Ltd., Sponsored ADR | 1,565,256 | ||||||||
9,303 | United Spirits, Ltd. | 375,508 | ||||||||
47,500 | Westlife Development, Ltd.* | 303,945 | ||||||||
122,693 | Wipro, Ltd., ADR‡ | 1,258,830 | ||||||||
286,252 | Wipro, Ltd. | 2,160,893 | ||||||||
|
| |||||||||
Total India | 57,002,217 | |||||||||
|
| |||||||||
Indonesia — 2.5% | ||||||||||
4,063,000 | Adaro Energy Tbk PT | 315,777 | ||||||||
1,363,838 | Bank Central Asia Tbk PT | 1,177,753 | ||||||||
952,500 | Bank Negara Indonesia Persero Tbk PT | 335,185 | ||||||||
2,389,500 | Bumi Resources Tbk PT* | 93,888 | ||||||||
24,500 | Indo Tambangraya Megah Tbk PT | 55,643 | ||||||||
242,000 | Indocement Tunggal Prakarsa Tbk PT | 376,166 | ||||||||
2,930,500 | Indofood Sukses Makmur Tbk PT | 1,784,113 | ||||||||
3,457,500 | Kalbe Farma Tbk PT | 352,319 | ||||||||
6,118,000 | Perusahaan Gas Negara Persero Tbk PT | 2,747,288 | ||||||||
662,769 | Semen Gresik Persero Tbk PT | 744,041 | ||||||||
961,500 | Tambang Batubara Bukit Asam Persero Tbk PT | 1,058,646 | ||||||||
40,400 | Telekomunikasi Indonesia Persero Tbk PT, Sponsored ADR | 1,466,924 | ||||||||
13,238,650 | Telekomunikasi Indonesia Persero Tbk PT | 2,400,791 | ||||||||
1,041,396 | Unilever Indonesia Tbk PT | 2,711,407 | ||||||||
|
| |||||||||
Total Indonesia | 15,619,941 | |||||||||
|
| |||||||||
Luxembourg — 0.1% | ||||||||||
6,792 | Kernel Holding SA* | 107,271 | ||||||||
93,350 | Samsonite International SA | 260,604 | ||||||||
|
| |||||||||
Total Luxembourg | 367,875 | |||||||||
|
| |||||||||
Malaysia — 3.9% | ||||||||||
1,302,700 | Alliance Financial Group Bhd | 2,002,309 | ||||||||
1,388,700 | AMMB Holdings Bhd | 3,161,268 | ||||||||
40,912 | British American Tobacco Malaysia Bhd | 805,814 | ||||||||
411,400 | DiGi.Com Bhd | 613,408 |
106 | See accompanying Notes to the Financial Statements. |
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Malaysia — continued | ||||||||||
1,303,000 | Genting Malaysia Bhd | 1,686,964 | ||||||||
1,273,413 | Malayan Banking Bhd | 3,844,266 | ||||||||
369,800 | Parkson Holdings Bhd | 435,659 | ||||||||
998,900 | Petronas Chemicals Group Bhd | 2,099,238 | ||||||||
435,900 | Public Bank Bhd | 2,372,409 | ||||||||
106,200 | Public Bank Bhd (Foreign Market) | 577,347 | ||||||||
986,000 | Tenaga Nasional Bhd | 2,731,579 | ||||||||
1,077,600 | UMW Holdings Bhd | 3,907,726 | ||||||||
|
| |||||||||
Total Malaysia | 24,237,987 | |||||||||
|
| |||||||||
Mexico — 6.9% | ||||||||||
1,355,000 | Alfa SAB de CV Class A | 3,633,577 | ||||||||
89,500 | America Movil SA de CV Series L, ADR | 1,772,995 | ||||||||
192,900 | Arca Continental SAB de CV | 1,194,291 | ||||||||
10,340 | Coca-Cola Femsa SAB de CV, Sponsored ADR | 1,302,633 | ||||||||
883,055 | Compartamos SAB de CV | 1,635,467 | ||||||||
44,551 | Fomento Economico Mexicano SA de CV, Sponsored ADR | 4,325,457 | ||||||||
163,500 | Grupo Aeroportuario del Pacifico SAB de CV | 832,172 | ||||||||
140,900 | Grupo Bimbo SAB de CV Series A | 432,855 | ||||||||
221,934 | Grupo Carso SAB de CV Series A-1 | 1,178,141 | ||||||||
321,523 | Grupo Financiero Banorte SAB de CV Series O | 1,992,093 | ||||||||
442,900 | Grupo Financiero Inbursa SAB de CV Series O | 1,005,998 | ||||||||
247,828 | Grupo Financiero Santander Mexico SAB de CV Class B, ADR | 3,424,983 | ||||||||
884,500 | Grupo Mexico SAB de CV Series B | 2,633,258 | ||||||||
103,989 | Grupo Televisa SAB, Sponsored ADR | 2,906,493 | ||||||||
161,895 | Industrias Penoles SAB de CV | 4,728,791 | ||||||||
1,125,000 | Kimberly-Clark de Mexico SAB de CV | 3,270,630 | ||||||||
20,322 | Promotora y Operadora de Infraestructura SAB de CV* | 195,412 | ||||||||
2,286,567 | Wal-Mart de Mexico SAB de CV | 5,951,023 | ||||||||
|
| |||||||||
Total Mexico | 42,416,269 | |||||||||
|
| |||||||||
Netherlands — 0.3% | ||||||||||
44,085 | Yandex NV Class A* | 1,605,576 | ||||||||
|
| |||||||||
Peru — 0.1% | ||||||||||
67,756 | Cia de Minas Buenaventura SA, ADR | 793,423 | ||||||||
|
| |||||||||
Philippines — 0.7% | ||||||||||
1,873,500 | Aboitiz Equity Ventures, Inc. | 1,936,323 | ||||||||
512,370 | Bank of the Philippine Islands | 1,134,416 | ||||||||
66,635 | SM Investments Corp. | 1,193,737 | ||||||||
|
| |||||||||
Total Philippines | 4,264,476 | |||||||||
|
| |||||||||
Poland — 1.5% | ||||||||||
32,117 | Grupa Lotos SA* | 378,634 | ||||||||
5,755 | Jastrzebska Spolka Weglowa SA | 135,048 | ||||||||
159,017 | PGE SA | 847,683 | ||||||||
357,860 | Powszechna Kasa Oszczednosci Bank Polski SA | 4,253,278 |
See accompanying Notes to the Financial Statements. | 107 |
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Poland — continued | ||||||||||
25,793 | Powszechny Zaklad Ubezpieczen SA | 3,504,344 | ||||||||
96,340 | Tauron Polska Energia SA | 147,836 | ||||||||
|
| |||||||||
Total Poland | 9,266,823 | |||||||||
|
| |||||||||
Russia — 3.4% | ||||||||||
402,444 | Gazprom OAO, Sponsored ADR | 3,545,532 | ||||||||
46,250 | LUKOIL OAO (DTC Shares), Sponsored ADR | 2,939,650 | ||||||||
54,671 | LUKOIL OAO (Euroclear Shares), Sponsored ADR | 3,466,141 | ||||||||
12,514 | Magnit OJSC, GDR | 772,739 | ||||||||
38,172 | MMC Norilsk Nickel OJSC, ADR | 550,822 | ||||||||
111,987 | Rosneft Oil Co., Reg S, GDR‡‡‡ | 907,095 | ||||||||
77,501 | Sistema JSFC, Reg S, GDR‡‡‡ | 2,014,251 | ||||||||
198,896 | Surgutneftegas OAO, Sponsored ADR | 1,707,522 | ||||||||
17,419 | Tatneft, Sponsored ADR | 681,954 | ||||||||
85,413 | Tatneft OAO, Sponsored ADR | 3,343,919 | ||||||||
15,031 | Uralkali (Ordinary Shares), GDR | 390,806 | ||||||||
2,077 | Uralkali OJSC, Reg S, GDR‡‡‡ | 54,002 | ||||||||
279,780 | VTB Bank OJSC, GDR | 738,619 | ||||||||
|
| |||||||||
Total Russia | 21,113,052 | |||||||||
|
| |||||||||
Singapore — 0.3% | ||||||||||
161,850 | DBS Group Holdings, Ltd. | 2,118,013 | ||||||||
|
| |||||||||
South Africa — 4.9% | ||||||||||
469,954 | African Bank Investments, Ltd. | 779,852 | ||||||||
38,570 | Barclays Africa Group, Ltd. | 564,920 | ||||||||
17,472 | Bidvest Group, Ltd. | 436,984 | ||||||||
48,569 | Discovery, Ltd. | 391,303 | ||||||||
403,611 | FirstRand, Ltd. | 1,343,532 | ||||||||
75,407 | Foschini Group, Ltd. (The) | 779,715 | ||||||||
65,050 | Growthpoint Properties, Ltd. | 159,332 | ||||||||
33,078 | Imperial Holdings, Ltd. | 716,532 | ||||||||
37,432 | Investec, Ltd. | 245,375 | ||||||||
62,107 | Kumba Iron Ore, Ltd. | 2,863,510 | ||||||||
49,079 | Liberty Holdings, Ltd. | 570,587 | ||||||||
405,585 | MMI Holdings, Ltd. | 983,358 | ||||||||
143,503 | MTN Group, Ltd. | 2,794,842 | ||||||||
115,770 | Nampak, Ltd. | 359,029 | ||||||||
22,959 | Naspers, Ltd. | 2,118,102 | ||||||||
1,311,029 | Redefine Properties, Ltd. | 1,270,156 | ||||||||
125,915 | Remgro, Ltd. | 2,427,277 | ||||||||
158,348 | Reunert, Ltd. | 1,143,268 | ||||||||
49,753 | RMB Holdings, Ltd. | 228,156 | ||||||||
65,383 | Salam, Ltd. | 304,444 | ||||||||
84,759 | Sasol, Ltd. | 4,033,648 | ||||||||
104,653 | Spar Group, Ltd. (The) | 1,260,360 | ||||||||
144,637 | Standard Bank Group, Ltd. | 1,722,925 | ||||||||
18,586 | Tiger Brands, Ltd. | 552,404 | ||||||||
92,215 | Truworths International, Ltd. | 824,678 |
108 | See accompanying Notes to the Financial Statements. |
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Africa — continued | ||||||||||
158,912 | Woolworths Holdings, Ltd. | 1,171,500 | ||||||||
|
| |||||||||
Total South Africa | 30,045,789 | |||||||||
|
| |||||||||
South Korea — 9.3% | ||||||||||
13,254 | Daelim Industrial Co., Ltd. | 1,196,304 | ||||||||
14,610 | DGB Financial Group, Inc. | 220,236 | ||||||||
54,995 | Dongbu Insurance Co., Ltd. | 2,364,221 | ||||||||
47,270 | Halla Visteon Climate Control Corp. | 1,792,405 | ||||||||
2 | Hana Financial Group, Inc. | 69 | ||||||||
7,440 | Hanwha Corp. | 262,383 | ||||||||
89,870 | Hanwha Life Insurance Co., Ltd. | 581,196 | ||||||||
44,460 | Hite Jinro Co., Ltd. | 1,131,487 | ||||||||
16,099 | Hyosung Corp. | 1,074,091 | ||||||||
7,277 | Hyundai Engineering & Construction Co., Ltd. | 418,469 | ||||||||
10,330 | Hyundai Hysco Co., Ltd. | 442,642 | ||||||||
104,940 | Hyundai Marine & Fire Insurance Co., Ltd. | 2,856,208 | ||||||||
3,629 | Hyundai Mobis | 965,775 | ||||||||
4,159 | Hyundai Motor Co. | 971,372 | ||||||||
11,750 | Hyundai Wia Corp. | 1,853,235 | ||||||||
76,950 | Industrial Bank of Korea | 852,076 | ||||||||
131,750 | Kangwon Land, Inc. | 3,493,963 | ||||||||
1,497 | KCC Corp. | 629,627 | ||||||||
18,672 | Kia Motors Corp. | 1,134,558 | ||||||||
3,945 | Korea Zinc Co., Ltd. | 1,193,035 | ||||||||
41,700 | KT Corp., Sponsored ADR‡ | 699,309 | ||||||||
64,770 | KT&G Corp. | 4,640,742 | ||||||||
2,381 | LG Chem, Ltd. | 681,283 | ||||||||
77,700 | LG Display Co., Ltd., ADR* ‡ | 926,961 | ||||||||
3,395 | LG Household & Health Care, Ltd. | 1,721,706 | ||||||||
14,470 | Mirae Asset Securities Co., Ltd. | 495,495 | ||||||||
4,873 | NAVER Corp. | 2,525,657 | ||||||||
2,242 | NHN Entertainment Corp.* | 246,173 | ||||||||
1,571 | Orion Corp. Republic of South Korea | 1,393,131 | ||||||||
21,543 | S1 Corp. Korea | 1,296,980 | ||||||||
26,850 | Samsung Card Co., Ltd. | 999,372 | ||||||||
11,537 | Samsung Electronics Reg S, GDR‡‡‡ | 7,360,606 | ||||||||
14,188 | Samsung Engineering Co., Ltd. | 1,090,496 | ||||||||
5,378 | Samsung Fire & Marine Insurance Co., Ltd. | 1,233,561 | ||||||||
49,730 | Samsung Heavy Industries Co., Ltd. | 1,989,801 | ||||||||
4,346 | SK Holdings Co., Ltd. | 784,539 | ||||||||
24,614 | SK Telecom Co., Ltd. | 5,004,451 | ||||||||
33,790 | Woori Finance Holdings Co., Ltd. | 393,026 | ||||||||
|
| |||||||||
Total South Korea | 56,916,641 | |||||||||
|
| |||||||||
Taiwan — 8.5% | ||||||||||
328,000 | Asustek Computer, Inc. | 2,612,507 | ||||||||
2,945,000 | AU Optronics Corp.* | 1,105,608 | ||||||||
205,000 | Catcher Technology Co., Ltd. | 1,085,078 | ||||||||
324,300 | Cheng Shin Rubber Industry Co., Ltd. | 848,947 |
See accompanying Notes to the Financial Statements. | 109 |
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
258,560 | Chicony Electronics Co., Ltd. | 644,498 | ||||||||
3,296,000 | Chimei Innolux Corp.* | 1,582,954 | ||||||||
1,395,000 | China Motor Corp. | 1,259,732 | ||||||||
225 | China Petrochemical Development Corp. | 111 | ||||||||
79,000 | CTCI Corp. | 127,717 | ||||||||
262,000 | Delta Electronics, Inc. | 1,271,586 | ||||||||
405,000 | Far EasTone Telecommunications Co., Ltd. | 1,009,521 | ||||||||
1,284,000 | Farglory Land Development Co., Ltd. | 2,388,474 | ||||||||
63,000 | Feng Hsin Iron & Steel Co. | 110,799 | ||||||||
892 | Foxconn Technology Co., Ltd. | 2,317 | ||||||||
648,997 | Fubon Financial Holding Co., Ltd. | 897,757 | ||||||||
130,000 | Highwealth Construction Corp. | 286,671 | ||||||||
637,670 | Hon Hai Precision Industry Co., Ltd. | 1,636,931 | ||||||||
453,000 | Kinsus Interconnect Technology Corp. | 1,593,398 | ||||||||
1,273,165 | Lite-On Technology Corp. | 2,170,241 | ||||||||
283,000 | Mega Financial Holding Co., Ltd. | 232,108 | ||||||||
81,000 | Novatek Microelectronics Corp. | 335,594 | ||||||||
385,000 | Pou Chen Corp. | 448,583 | ||||||||
253,000 | President Chain Store Corp. | 1,826,885 | ||||||||
1,209,000 | Quanta Computer, Inc. | 2,621,061 | ||||||||
898,060 | Radiant Opto-Electronics Corp. | 3,204,428 | ||||||||
403,212 | Realtek Semiconductor Corp. | 984,608 | ||||||||
758,731 | SinoPac Financial Holdings Co., Ltd. | 348,995 | ||||||||
457 | Taiwan Business Bank* | 137 | ||||||||
1,346,000 | Taiwan Cement Corp. | 1,948,415 | ||||||||
82,000 | Taiwan Mobile Co., Ltd. | 291,203 | ||||||||
2,478,000 | Taiwan Semiconductor Manufacturing Co., Ltd. | 8,422,870 | ||||||||
227,700 | Taiwan Semiconductor Manufacturing Co., Ltd., Sponsored ADR | 3,861,792 | ||||||||
1,266,000 | Teco Electric and Machinery Co., Ltd. | 1,340,204 | ||||||||
1,000,000 | Transcend Information, Inc. | 3,148,781 | ||||||||
1,220,282 | Uni-President Enterprises Corp. | 2,274,074 | ||||||||
445,000 | Walsin Lihwa Corp.* | 135,906 | ||||||||
|
| |||||||||
Total Taiwan | 52,060,491 | |||||||||
|
| |||||||||
Thailand — 3.3% | ||||||||||
191,300 | Advanced Info Service PCL, NVDR | 1,559,511 | ||||||||
235,900 | Advanced Info Service PCL (Registered Shares) | 1,923,098 | ||||||||
261,900 | Bangkok Bank PCL | 1,649,434 | ||||||||
228,600 | Bangkok Bank PCL, NVDR | 1,432,404 | ||||||||
41,900 | Bangkok Dusit Medical Services PCL Class F | 168,779 | ||||||||
388,500 | Bank of Ayudhya PCL, NVDR | 468,858 | ||||||||
1,393,000 | CP All PCL Class F | 1,569,797 | ||||||||
314,173 | Kasikornbank PCL | 1,772,747 | ||||||||
133,500 | Kasikornbank PCL, NVDR | 746,883 | ||||||||
1,822,200 | Krung Thai Bank PCL, NVDR | 1,118,486 | ||||||||
1,174,100 | PTT Global Chemical PCL | 2,796,370 | ||||||||
101,400 | PTT PCL | 1,024,373 | ||||||||
318,300 | Siam Commercial Bank PCL | 1,582,342 | ||||||||
59,600 | Siam Commercial Bank PCL, NVDR | 281,995 |
110 | See accompanying Notes to the Financial Statements. |
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Thailand — continued | ||||||||||
3,125,000 | Thai Beverage PCL Class C‡ | 1,369,795 | ||||||||
283,000 | Thai Oil PCL, NVDR | 522,482 | ||||||||
|
| |||||||||
Total Thailand | 19,987,354 | |||||||||
|
| |||||||||
Turkey — 1.3% | ||||||||||
115,627 | Arcelik AS | 671,635 | ||||||||
30,552 | BIM Birlesik Magazalar AS | 628,303 | ||||||||
7,381 | Coca-Cola Icecek AS | 187,914 | ||||||||
120,233 | Enka Insaat ve Sanayi AS | 356,625 | ||||||||
109,228 | KOC Holding AS | 503,253 | ||||||||
257,251 | TAV Havalimanlari Holding AS | 1,812,209 | ||||||||
485,210 | Turk Hava Yollari AS | 1,846,957 | ||||||||
587,523 | Turk Telekomunikasyon AS | 2,038,911 | ||||||||
22,034 | Turkiye Is Bankasi | 58,166 | ||||||||
|
| |||||||||
Total Turkey | 8,103,973 | |||||||||
|
| |||||||||
United Kingdom — 4.0% | ||||||||||
177,834 | British American Tobacco Plc | 9,466,043 | ||||||||
472,616 | HSBC Holdings Plc | 5,140,476 | ||||||||
14,844 | Randgold Resources, Ltd., ADR | 1,061,791 | ||||||||
12,427 | Randgold Resources, Ltd. | 895,731 | ||||||||
129,152 | SABMiller Plc | 6,588,533 | ||||||||
50,962 | Standard Chartered Plc | 1,222,237 | ||||||||
10,727 | Standard Chartered Plc (Hong Kong Exchange) | 259,214 | ||||||||
|
| |||||||||
Total United Kingdom | 24,634,025 | |||||||||
|
| |||||||||
United States — 0.0% | ||||||||||
3,500 | Southern Copper Corp. | 95,340 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $541,189,247) | 547,353,504 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 1.9% | ||||||||||
Brazil — 1.9% | ||||||||||
123,200 | Braskem SA, 4.73% | 982,368 | ||||||||
9,894 | Cia Brasileira de Distribuicao Grupo Pao de Acucar, 0.98% | 448,909 | ||||||||
104,800 | Cia de Bebidas das Americas, 2.84% | 4,023,363 | ||||||||
206,400 | Cia Energetica de Sao Paulo, 6.54% | 2,192,835 | ||||||||
135,800 | Cia Paranaense de Energia, 3.43% | 1,918,605 | ||||||||
188,900 | Klabin SA, 2.91% | 989,454 | ||||||||
295,800 | Usinas Siderurgicas de Minas Gerais SA, 0.68% Series A | 1,397,909 | ||||||||
|
| |||||||||
Total Brazil | 11,953,443 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $11,369,880) | 11,953,443 | |||||||||
|
|
See accompanying Notes to the Financial Statements. | 111 |
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 7.0% | ||||||||||
Bank Deposit — 5.2% | ||||||||||
31,895,247 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/01/13 | 31,895,247 | ||||||||
|
| |||||||||
Securities Lending Collateral — 1.8% | ||||||||||
10,730,470 | State Street Navigator Securities Lending Prime Portfolio*** | 10,730,470 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $42,625,717) | 42,625,717 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 98.0% (Cost $595,184,844) | 601,932,664 | |||||||||
Other Assets and Liabilities (net) — 2.0% | 12,194,764 | |||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 614,127,428 | ||||||||
|
| |||||||||
Notes to Schedule of Investments: | ||||||||||
ADR — American Depository Receipt | ||||||||||
GDR — Global Depository Receipt | ||||||||||
NVDR — Non-Voting Depository Receipt | ||||||||||
REIT — Real Estate Investment Trust | ||||||||||
* | Non-income producing security | |||||||||
*** | Represents an investment of securities lending cash collateral. | |||||||||
¤ | Illiquid security. The total market value of the securities at period end is $2,749,624 which represents 0.5% of net assets. The aggregate tax cost of these securities held at September 30, 2013 was $2,428,852. | |||||||||
‡ | All or a portion of this security is out on loan. | |||||||||
‡‡‡ | Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. | |||||||||
144A — Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The total market value of the securities at period end is $1,469,085 which represents 0.2% of net assets. |
112 | See accompanying Notes to the Financial Statements. |
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
September 30, 2013 (Unaudited)
A summary of outstanding financial instruments at September 30, 2013 is as follows:
Forward Foreign Currency Contracts
Settlement | Currency | Counterparty | Units of | Value | Net | |||||||||||||||
Buys | ||||||||||||||||||||
12/18/13 | BRL | Royal Bank of Scotland Plc | 21,900,000 | $ | 9,669,983 | $ | 119,567 | |||||||||||||
12/18/13 | CLP | Royal Bank of Scotland Plc | 480,000,000 | 943,658 | 15,206 | |||||||||||||||
12/18/13 | COP | Royal Bank of Scotland Plc | 1,850,000,000 | 963,950 | 639 | |||||||||||||||
12/18/13 | CZK | Royal Bank of Scotland Plc | 140,510,000 | 7,393,714 | 203,510 | |||||||||||||||
12/18/13 | HKD | Royal Bank of Scotland Plc | 42,944,000 | 5,538,379 | (806 | ) | ||||||||||||||
12/18/13 | HUF | Royal Bank of Scotland Plc | 3,189,450,000 | 14,436,239 | 581,833 | |||||||||||||||
12/18/13 | IDR | Royal Bank of Scotland Plc | 800,000,000 | 68,132 | (984 | ) | ||||||||||||||
12/18/13 | ILS | Royal Bank of Scotland Plc | 15,620,000 | 4,423,700 | 88,757 | |||||||||||||||
12/18/13 | INR | Royal Bank of Scotland Plc | 116,153,000 | 1,817,724 | 41,282 | |||||||||||||||
12/18/13 | KRW | Royal Bank of Scotland Plc | 27,039,873,000 | 25,039,631 | 486,985 | |||||||||||||||
12/18/13 | MXN | Royal Bank of Scotland Plc | 160,289,000 | 12,101,378 | (56,053 | ) | ||||||||||||||
12/18/13 | MYR | Royal Bank of Scotland Plc | 16,318,000 | 4,981,916 | 17,866 | |||||||||||||||
12/18/13 | PEN | Royal Bank of Scotland Plc | 1,223,000 | 435,718 | 2,258 | |||||||||||||||
12/18/13 | PHP | Royal Bank of Scotland Plc | 20,000,000 | 459,305 | 2,153 | |||||||||||||||
12/18/13 | PLN | Royal Bank of Scotland Plc | 73,536,000 | 23,451,488 | 642,630 | |||||||||||||||
12/18/13 | RUB | Royal Bank of Scotland Plc | 756,914,000 | 23,055,735 | 163,856 | |||||||||||||||
12/18/13 | SGD | Royal Bank of Scotland Plc | 3,800,000 | 3,028,734 | 45,568 | |||||||||||||||
12/18/13 | THB | Royal Bank of Scotland Plc | 44,000,000 | 1,400,209 | 23,149 | |||||||||||||||
12/18/13 | TRY | Royal Bank of Scotland Plc | 6,400,000 | 3,120,776 | (13,914 | ) | ||||||||||||||
12/18/13 | TWD | Royal Bank of Scotland Plc | 429,442,000 | 14,541,709 | 31,832 | |||||||||||||||
12/18/13 | ZAR | Royal Bank of Scotland Plc | 70,110,000 | 6,887,505 | (40,528 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | 2,354,806 | |||||||||||||||||||
|
| |||||||||||||||||||
Sales | ||||||||||||||||||||
12/18/13 | BRL | Royal Bank of Scotland Plc | 35,530,000 | $ | 15,688,333 | $ | (733,745 | ) | ||||||||||||
12/18/13 | CLP | Royal Bank of Scotland Plc | 2,588,682,000 | 5,089,230 | (78,628 | ) | ||||||||||||||
12/18/13 | COP | Royal Bank of Scotland Plc | 8,683,000,000 | 4,524,311 | (97,267 | ) | ||||||||||||||
12/18/13 | CZK | Royal Bank of Scotland Plc | 135,600,000 | 7,135,347 | (59,589 | ) | ||||||||||||||
12/18/13 | HKD | Royal Bank of Scotland Plc | 25,800,000 | 3,327,361 | 334 | |||||||||||||||
12/18/13 | HUF | Royal Bank of Scotland Plc | 70,000,000 | 316,837 | (13,859 | ) | ||||||||||||||
12/18/13 | IDR | Royal Bank of Scotland Plc | 89,189,979,523 | 7,595,902 | (210,799 | ) | ||||||||||||||
12/18/13 | ILS | Royal Bank of Scotland Plc | 24,800,000 | 7,023,545 | (80,192 | ) | ||||||||||||||
12/18/13 | INR | Royal Bank of Scotland Plc | 289,000,000 | 4,522,675 | (279,572 | ) | ||||||||||||||
12/18/13 | KRW | Royal Bank of Scotland Plc | 1,250,000,000 | 1,157,533 | (2,446 | ) | ||||||||||||||
12/18/13 | MXN | Royal Bank of Scotland Plc | 197,100,000 | 14,880,507 | 72,998 | |||||||||||||||
12/18/13 | PEN | Royal Bank of Scotland Plc | 300,000 | 106,881 | 763 | |||||||||||||||
12/18/13 | PHP | Royal Bank of Scotland Plc | 249,100,000 | 5,720,646 | (117,898 | ) | ||||||||||||||
12/18/13 | PLN | Royal Bank of Scotland Plc | 2,300,000 | 733,497 | (17,040 | ) | ||||||||||||||
12/18/13 | RUB | Royal Bank of Scotland Plc | 592,207,000 | 18,038,730 | (433,704 | ) | ||||||||||||||
12/18/13 | SGD | Royal Bank of Scotland Plc | 30,756,000 | 24,513,616 | (290,579 | ) | ||||||||||||||
12/18/13 | THB | Royal Bank of Scotland Plc | 59,937,000 | 1,907,372 | (44,390 | ) | ||||||||||||||
12/18/13 | TRY | Royal Bank of Scotland Plc | 25,692,000 | 12,527,965 | (3,261 | ) | ||||||||||||||
12/18/13 | ZAR | Royal Bank of Scotland Plc | 11,000,000 | 1,080,624 | 7,392 | |||||||||||||||
|
| |||||||||||||||||||
$ | (2,381,482 | ) | ||||||||||||||||||
|
|
See accompanying Notes to the Financial Statements. | 113 |
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
September 30, 2013 (Unaudited)
Currency Abbreviations
BRL | Brazilian Real |
CLP | Chilean Peso |
COP | Colombian Peso |
CZK | Czech Koruna |
HKD | Hong Kong Dollar |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
ILS | Israeli Shekel |
INR | Indian Rupee |
KRW | South Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
PEN | Peruvian Nouveau Sol |
PHP | Philippines Peso |
PLN | Polish Zloty |
RUB | Russian Ruble |
SGD | Singapore Dollar |
THB | Thai Baht |
TRY | New Turkish Lira |
TWD | Taiwan Dollar |
ZAR | South African Rand |
Futures Contracts
Number of | Type | Expiration Date | Contract | Net | ||||||||||||||
Buys | ||||||||||||||||||
2 | FTSE Bursa Malaysia KLCI Index | October 2013 | $ | 54,364 | $ | (545 | ) | |||||||||||
426 | FTSE/JSE TOP 40 | December 2013 | 16,825,386 | 128,530 | ||||||||||||||
144 | H-shares Index | October 2013 | 9,595,172 | (304,799 | ) | |||||||||||||
170 | MSCI Taiwan Index | October 2013 | 4,880,700 | (78,594 | ) | |||||||||||||
50 | TurkDEX-BIST 30 Index | October 2013 | 227,896 | 24,098 | ||||||||||||||
|
| |||||||||||||||||
$ | (231,310 | ) | ||||||||||||||||
|
| |||||||||||||||||
Sales | ||||||||||||||||||
42 | KOSPI 200 Index | December 2013 | $ | 5,140,205 | $ | (20,637 | ) | |||||||||||
52 | Mexico Bolsa Index | December 2013 | 1,589,103 | 40,231 | ||||||||||||||
47 | MSCI Singapore Index | October 2013 | 2,711,186 | 26,808 | ||||||||||||||
39 | SET50 Index | December 2013 | 1,171,122 | 49,141 | ||||||||||||||
818 | SGX CNX Nifty Index | October 2013 | 9,432,358 | 299,846 | ||||||||||||||
|
| |||||||||||||||||
$ | 395,389 | |||||||||||||||||
|
|
114 | See accompanying Notes to the Financial Statements. |
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
September 30, 2013 (Unaudited)
Synthetic Futures
Number of | Reference Entity | Expiration | Counterparty | Notional | Value | |||||||||||||
179 | Brazil Bovespa Stock Index | 10/16/2013 | Goldman Sachs | $ | 3,841,355 | $ | 162,764 | |||||||||||
3,400 | Hang Seng China Enterprises Index | 10/30/2013 | Goldman Sachs | 4,635,426 | (103,506 | ) | ||||||||||||
768 | MSCI Daily Total Return Net Turkey Index | 12/18/2013 | Goldman Sachs | 307,777 | 23,001 | |||||||||||||
3,529 | MSCI Daily Total Return Net Turkey Index | 12/17/2013 | Goldman Sachs | 1,514,611 | (8,906 | ) | ||||||||||||
1,700 | MSCI Taiwan Index | 10/30/2013 | Goldman Sachs | 496,878 | (8,808 | ) | ||||||||||||
39 | Russian Trading System Index | 12/16/2013 | Goldman Sachs | 5,497,999 | 119,610 | |||||||||||||
5,060 | Warsaw WIG 20 Index | 12/20/2013 | Goldman Sachs | 3,865,566 | 34,398 | |||||||||||||
|
| |||||||||||||||||
$ | 218,553 | |||||||||||||||||
|
|
See accompanying Notes to the Financial Statements. | 115 |
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
September 30, 2013 (Unaudited)
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Banks | 17.9 | ||||
Oil & Gas | 7.0 | ||||
Telecommunications | 5.9 | ||||
Beverages | 4.5 | ||||
Agriculture | 3.9 | ||||
Retail | 3.7 | ||||
Electric | 3.1 | ||||
Food | 3.0 | ||||
Semiconductors | 3.0 | ||||
Insurance | 2.8 | ||||
Computers | 2.6 | ||||
Diversified Financial Services | 2.6 | ||||
Mining | 2.5 | ||||
Chemicals | 2.1 | ||||
Commercial Services | 2.0 | ||||
Electronics | 1.8 | ||||
Holding Companies — Diversified | 1.8 | ||||
Auto Manufacturers | 1.6 | ||||
Real Estate | 1.6 | ||||
Electrical Components & Equipment | 1.4 | ||||
Engineering & Construction | 1.4 | ||||
Household Products & Wares | 1.3 | ||||
Internet | 1.2 | ||||
Pharmaceuticals | 1.2 | ||||
Coal | 1.0 | ||||
Auto Parts & Equipment | 0.9 | ||||
Forest Products & Paper | 0.9 | ||||
Lodging | 0.8 | ||||
Media | 0.8 | ||||
Iron & Steel | 0.7 | ||||
Building Materials | 0.6 | ||||
Entertainment | 0.6 | ||||
Leisure Time | 0.5 | ||||
Metal Fabricate & Hardware | 0.5 | ||||
Software | 0.5 | ||||
Airlines | 0.4 | ||||
Cosmetics & Personal Care | 0.4 | ||||
Gas | 0.4 | ||||
REITS | 0.3 | ||||
Shipbuilding | 0.3 | ||||
Water | 0.3 | ||||
Machinery — Diversified | 0.2 | ||||
Office & Business Equipment | 0.2 | ||||
Apparel | 0.1 | ||||
Energy — Alternate Sources | 0.1 | ||||
Home Builders | 0.1 | ||||
Home Furnishings | 0.1 | ||||
Oil & Gas Services | 0.1 | ||||
Packaging & Containers | 0.1 | ||||
Pipelines | 0.1 |
116 | See accompanying Notes to the Financial Statements. |
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
September 30, 2013 (Unaudited)
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Textiles | 0.1 | ||||
Distribution & Wholesale | 0.0 | ||||
Health Care — Services | 0.0 | ||||
Short-Term Investments and Other Assets and Liabilities (net) | 9.0 | ||||
|
| ||||
100.0 | % | ||||
|
|
See accompanying Notes to the Financial Statements. | 117 |
Mercer Global Low Volatility Equity Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 89.5% | ||||||||||
Australia — 0.6% | ||||||||||
182,591 | Newcrest Mining, Ltd. | 1,997,560 | ||||||||
283,615 | Telstra Corp., Ltd. | 1,318,015 | ||||||||
23,615 | Woolworths, Ltd. | 772,842 | ||||||||
|
| |||||||||
Total Australia | 4,088,417 | |||||||||
|
| |||||||||
Austria — 0.1% | ||||||||||
182 | Agrana Beteiligungs AG | 22,900 | ||||||||
6,786 | EVN AG‡ | 103,708 | ||||||||
1,752 | Oesterreichische Post AG | 79,686 | ||||||||
14,592 | OMV AG | 720,965 | ||||||||
|
| |||||||||
Total Austria | 927,259 | |||||||||
|
| |||||||||
Bahamas — 0.0% | ||||||||||
557 | United International Enterprises | 103,623 | ||||||||
|
| |||||||||
Belgium — 0.6% | ||||||||||
2,428 | Elia System Operator SA | 108,131 | ||||||||
43,200 | Groupe Bruxelles Lambert SA | 3,676,494 | ||||||||
47 | Lotus Bakeries | 42,054 | ||||||||
|
| |||||||||
Total Belgium | 3,826,679 | |||||||||
|
| |||||||||
Bermuda — 0.2% | ||||||||||
9,000 | Guoco Group, Ltd. | 109,669 | ||||||||
17,000 | Jardine Matheson Holdings, Ltd. | 933,300 | ||||||||
13,600 | Transport International Holdings, Ltd. | 30,549 | ||||||||
5,000 | Wing On Co. International, Ltd. | 14,764 | ||||||||
|
| |||||||||
Total Bermuda | 1,088,282 | |||||||||
|
| |||||||||
Canada — 4.5% | ||||||||||
38,744 | Agnico-Eagle Mines, Ltd. | 1,028,248 | ||||||||
33,300 | Bank of Montreal‡ | 2,227,235 | ||||||||
47,445 | BCE, Inc.‡ | 2,025,902 | ||||||||
34,007 | Bell Aliant, Inc. | 848,604 | ||||||||
27,200 | Canadian Imperial Bank of Commerce‡ | 2,171,449 | ||||||||
73,631 | Canadian Natural Resources, Ltd. | 2,318,743 | ||||||||
8,600 | Capital Power Corp. | 177,873 | ||||||||
59,302 | Cenovus Energy, Inc. | 1,770,165 | ||||||||
4,500 | Empire Co., Ltd. | 325,581 | ||||||||
13,028 | EnerCare, Inc. | 123,195 | ||||||||
39,000 | First Capital Realty, Inc.‡ | 642,348 | ||||||||
24,700 | Fortis, Inc. | 751,885 | ||||||||
8,900 | George Weston, Ltd. | 701,419 | ||||||||
88,025 | Goldcorp, Inc. | 2,289,530 | ||||||||
202,412 | Kinross Gold Corp. | 1,022,181 | ||||||||
1,400 | Laurentian Bank of Canada | 60,936 | ||||||||
60,200 | Manitoba Telecom Services, Inc. | 1,923,893 | ||||||||
31,800 | Metro, Inc.‡ | 1,993,262 |
118 | See accompanying Notes to the Financial Statements. |
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Canada — continued | ||||||||||
27,100 | National Bank of Canada | 2,242,822 | ||||||||
95,687 | Penn West Petroleum, Ltd.‡ | 1,064,996 | ||||||||
48,927 | Potash Corp. of Saskatchewan, Inc. | 1,530,437 | ||||||||
1,000 | Rogers Communications, Inc. Class B | 43,088 | ||||||||
2,700 | Saputo, Inc.‡ | 128,368 | ||||||||
7,800 | TELUS Corp. | 259,064 | ||||||||
7,599 | Tim Hortons, Inc. | 440,742 | ||||||||
22,900 | Toronto-Dominion Bank | 2,066,102 | ||||||||
|
| |||||||||
Total Canada | 30,178,068 | |||||||||
|
| |||||||||
Denmark — 1.4% | ||||||||||
36,413 | Coloplast AS Class B | 2,074,549 | ||||||||
19,245 | H Lundbeck AS‡ | 419,854 | ||||||||
5,958 | Novo Nordisk AS Class B | 1,012,167 | ||||||||
1,424 | Ringkjoebing Landbobank AS | 273,446 | ||||||||
11,750 | Royal UNIBREW AS | 1,396,867 | ||||||||
4,650 | SimCorp AS | 156,557 | ||||||||
239,753 | TDC AS | 2,029,980 | ||||||||
74,858 | Topdanmark AS* | 1,929,313 | ||||||||
|
| |||||||||
Total Denmark | 9,292,733 | |||||||||
|
| |||||||||
France — 5.1% | ||||||||||
851 | Bongrain SA | 58,369 | ||||||||
61,273 | Bouygues SA | 2,237,367 | ||||||||
58,462 | Carrefour SA | 2,008,104 | ||||||||
29,924 | Cie de Saint-Gobain | 1,482,746 | ||||||||
124,196 | Danone SA | 9,354,086 | ||||||||
9,196 | Legrand SA | 510,562 | ||||||||
2,950 | Medica SA | 73,516 | ||||||||
11,500 | Neopost SA‡ | 837,971 | ||||||||
120,105 | Sanofi-Aventis | 12,188,639 | ||||||||
18,600 | Sodexo | 1,736,520 | ||||||||
321 | Stef | 20,640 | ||||||||
47,144 | Total SA‡ | 2,737,409 | ||||||||
5,500 | Wendel SA | 745,997 | ||||||||
|
| |||||||||
Total France | 33,991,926 | |||||||||
|
| |||||||||
Germany — 1.9% | ||||||||||
39,319 | Adidas AG | 4,267,516 | ||||||||
14,863 | DaimlerChrysler AG | 1,159,275 | ||||||||
19,538 | Fielmann AG | 2,069,791 | ||||||||
4,300 | Fraport AG Frankfurt Airport Services Worldwide | 301,978 | ||||||||
7,872 | Fresenius SE & Co. KGaA | 978,428 | ||||||||
40,403 | HeidelbergCement AG | 3,117,965 | ||||||||
3,618 | Merck KGaA | 564,928 | ||||||||
|
| |||||||||
Total Germany | 12,459,881 | |||||||||
|
|
See accompanying Notes to the Financial Statements. | 119 |
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Hong Kong — 0.4% | ||||||||||
6,500 | Aeon Stores Hong Kong Co., Ltd. | 9,924 | ||||||||
245,500 | CLP Holdings, Ltd. | 2,002,266 | ||||||||
85,500 | Hongkong Electric Holdings | 764,028 | ||||||||
33,000 | Miramar Hotel & Investment Co., Ltd. | 42,552 | ||||||||
233,000 | Regal Real Estate Investment Trust REIT | 67,901 | ||||||||
|
| |||||||||
Total Hong Kong | 2,886,671 | |||||||||
|
| |||||||||
Ireland — 0.7% | ||||||||||
56,922 | CRH Plc | 1,362,412 | ||||||||
20,910 | ICON Plc* | 855,846 | ||||||||
16,440 | Kerry Group Plc | 1,000,430 | ||||||||
31,200 | Willis Group Holdings Plc | 1,351,896 | ||||||||
|
| |||||||||
Total Ireland | 4,570,584 | |||||||||
|
| |||||||||
Israel — 0.7% | ||||||||||
28,531 | Azrieli Group | 905,451 | ||||||||
4,900 | Check Point Software Technologies, Ltd.* | 277,144 | ||||||||
81,625 | Israel Chemicals, Ltd. | 688,465 | ||||||||
38,508 | Osem Investments, Ltd. | 859,604 | ||||||||
22,401 | Strauss Group, Ltd. | 393,892 | ||||||||
44,279 | Teva Pharmaceutical Industries, Ltd., Sponsored ADR | 1,672,860 | ||||||||
|
| |||||||||
Total Israel | 4,797,416 | |||||||||
|
| |||||||||
Italy — 0.0% | ||||||||||
28,600 | Italcementi Spa | 218,156 | ||||||||
|
| |||||||||
Japan — 8.8% | ||||||||||
82,800 | Aeon Co., Ltd.‡ | 1,140,003 | ||||||||
42,800 | Astellas Pharma, Inc. | 2,180,892 | ||||||||
59,800 | Coca-Cola West Co., Ltd. | 1,195,086 | ||||||||
6,600 | Doutor Nichires Holdings Co., Ltd. | 115,824 | ||||||||
21,300 | Dydo Drinco, Inc. | 873,707 | ||||||||
4,500 | Earth Chemical Co., Ltd. | 170,828 | ||||||||
76,800 | Fancl Corp. | 935,297 | ||||||||
16,900 | Fanuc, Ltd. | 2,791,837 | ||||||||
4,800 | Fukuda Denshi Co., Ltd. | 203,006 | ||||||||
5,900 | Hirose Electric Co., Ltd. | 905,518 | ||||||||
101,400 | House Foods Corp. | 1,575,898 | ||||||||
91,300 | Hoya Corp. | 2,157,704 | ||||||||
15,300 | Inageya Co., Ltd. | 157,795 | ||||||||
77,000 | Ito En, Ltd. | 1,750,695 | ||||||||
54,600 | KDDI Corp. | 2,804,423 | ||||||||
1,000 | Kentucky Fried Chicken, Ltd. | 21,595 | ||||||||
96,700 | Kewpie Corp. | 1,536,360 | ||||||||
8,400 | Keyence Corp. | 3,188,790 | ||||||||
34,700 | Kose Corp. | 1,004,311 | ||||||||
249,000 | Lion Corp. | 1,517,473 | ||||||||
23,000 | Matsumotokiyoshi Holdings Co., Ltd.‡ | 744,204 |
120 | See accompanying Notes to the Financial Statements. |
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
4,100 | McDonald’s Holdings Co., Ltd.‡ | 113,149 | ||||||||
29,600 | Megmilk Snow Brand Co., Ltd. | 438,005 | ||||||||
5,600 | MEIJI Holdings Co., Ltd. | 306,466 | ||||||||
26,600 | MISUMI Group, Inc. | 771,231 | ||||||||
64,300 | Mitsubishi Estate Co., Ltd. | 1,897,710 | ||||||||
125,000 | Morinaga & Co., Ltd. | 268,790 | ||||||||
163,000 | Morinaga Milk Industry Co., Ltd. | 514,955 | ||||||||
91,900 | MS&AD Insurance Group Holdings | 2,397,595 | ||||||||
57,000 | Nippon Flour Mills Co., Ltd. | 286,380 | ||||||||
26,200 | Nippon Telegraph & Telephone Corp. | 1,356,392 | ||||||||
147,000 | Nisshin Oillio Group, Ltd. (The) | 510,848 | ||||||||
29,900 | Nissin Foods Holdings Co., Ltd. | 1,227,995 | ||||||||
91,400 | NKSJ Holdings, Inc. | 2,348,223 | ||||||||
25,800 | Noevir Holdings Co., Ltd. | 441,196 | ||||||||
26,900 | Nomura Research Institute, Ltd. | 934,818 | ||||||||
129,300 | NTT DoCoMo, Inc.‡ | 2,097,789 | ||||||||
17,900 | Ohsho Food Service Corp.‡ | 599,251 | ||||||||
4,500 | Okinawa Cellular Telephone Co. | 114,558 | ||||||||
13,000 | Ono Pharmaceutical Co., Ltd.‡ | 798,879 | ||||||||
60,300 | Otsuka Holdings Co., Ltd. | 1,748,930 | ||||||||
6,800 | Plenus Co., Ltd. | 131,045 | ||||||||
1,000 | Riken Vitamin Co., Ltd. | 25,478 | ||||||||
45,300 | Royal Holdings Co., Ltd. | 721,107 | ||||||||
6,000 | Saizeriya Co., Ltd. | 80,530 | ||||||||
72,300 | Secom Co., Ltd. | 4,524,046 | ||||||||
9,400 | Shimachu Co., Ltd. | 233,168 | ||||||||
23,500 | Shimano, Inc. | 2,100,331 | ||||||||
5,900 | Shin-Etsu Chemical Co., Ltd. | 360,764 | ||||||||
20,000 | Showa Sangyo Co., Ltd.‡ | 61,962 | ||||||||
13,200 | SMC Corp. | 3,139,750 | ||||||||
53,700 | Starbucks Coffee Japan, Ltd.‡ | 645,221 | ||||||||
1,500 | Suzuken Co., Ltd. | 49,376 | ||||||||
3,900 | Takeda Pharmaceutical Co., Ltd. | 184,219 | ||||||||
5,400 | WATAMI Co., Ltd.‡ | 90,913 | ||||||||
43,000 | Yamazaki Baking Co., Ltd. | 464,509 | ||||||||
11,800 | Yoshinoya Holdings Co., Ltd.‡ | 138,293 | ||||||||
|
| |||||||||
Total Japan | 59,095,118 | |||||||||
|
| |||||||||
Malaysia — 0.0% | ||||||||||
241,500 | Genting Malaysia Bhd | 312,664 | ||||||||
|
| |||||||||
Mexico — 0.4% | ||||||||||
78,837 | Grupo Televisa SAB, Sponsored ADR | 2,203,494 | ||||||||
19,300 | Industrias Penoles SAB de CV | 563,734 | ||||||||
|
| |||||||||
Total Mexico | 2,767,228 | |||||||||
|
| |||||||||
Micronesia — 0.2% | ||||||||||
59,692 | Costamare, Inc. | 1,052,370 | ||||||||
|
|
See accompanying Notes to the Financial Statements. | 121 |
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Netherlands — 0.8% | ||||||||||
12,607 | Constellium NV Class A* | 244,576 | ||||||||
2,451 | Sligro Food Group NV | 100,231 | ||||||||
65,855 | TNT Express NV | 601,548 | ||||||||
119,503 | Unilever NV, ADR | 4,651,562 | ||||||||
|
| |||||||||
Total Netherlands | 5,597,917 | |||||||||
|
| |||||||||
New Zealand — 0.5% | ||||||||||
356,327 | Air New Zealand, Ltd.‡ | 449,629 | ||||||||
244,990 | Argosy Property, Ltd. | 190,789 | ||||||||
376,248 | Auckland International Airport, Ltd. | 1,038,845 | ||||||||
12,879 | Contact Energy, Ltd. | 58,033 | ||||||||
14,520 | Fisher & Paykel Healthcare Corp., Ltd. | 43,779 | ||||||||
238,347 | Infratil, Ltd. | 491,335 | ||||||||
201,290 | Sky Network Television, Ltd. | 975,749 | ||||||||
2,733 | TrustPower, Ltd. | 16,025 | ||||||||
8,880 | Warehouse Group, Ltd. (The) | 27,070 | ||||||||
|
| |||||||||
Total New Zealand | 3,291,254 | |||||||||
|
| |||||||||
Norway — 0.9% | ||||||||||
257,628 | Orkla ASA | 1,876,228 | ||||||||
96,680 | Statoil ASA | 2,194,259 | ||||||||
97,358 | Telenor ASA | 2,224,216 | ||||||||
|
| |||||||||
Total Norway | 6,294,703 | |||||||||
|
| |||||||||
Portugal — 0.2% | ||||||||||
335,634 | EDP - Energias de Portugal SA | 1,226,694 | ||||||||
9,710 | Portucel SA | 35,305 | ||||||||
32,441 | REN - Redes Energeticas Nacionais SGPS SA | 97,049 | ||||||||
70,665 | Sonaecom SGPS SA | 196,477 | ||||||||
|
| |||||||||
Total Portugal | 1,555,525 | |||||||||
|
| |||||||||
Russia — 0.0% | ||||||||||
4,548 | IBS Group Holding, Ltd., Reg S, GDR‡‡‡ | 112,662 | ||||||||
|
| |||||||||
Singapore — 0.8% | ||||||||||
29,000 | Bukit Sembawang Estates, Ltd. | 142,602 | ||||||||
123,000 | First Real Estate Investment Trust REIT | 109,301 | ||||||||
33,000 | Fraser and Neave, Ltd. | 147,280 | ||||||||
20,000 | Great Eastern Holdings, Ltd. | 271,767 | ||||||||
15,000 | Hong Leong Finance, Ltd. | 31,202 | ||||||||
318,000 | M1, Ltd.‡ | 831,273 | ||||||||
11,000 | Oversea-Chinese Banking Corp., Ltd. | 90,297 | ||||||||
515,000 | Sabana Shari’ah Compliant Industrial Real Estate Investment Trust REIT‡ | 441,223 | ||||||||
1,005,000 | Singapore Post, Ltd.‡ | 1,013,210 | ||||||||
44,000 | Singapore Press Holdings, Ltd.‡ | 144,124 | ||||||||
314,000 | Singapore Telecommunications, Ltd. | 933,429 | ||||||||
397,000 | StarHub, Ltd.‡ | 1,357,346 | ||||||||
|
| |||||||||
Total Singapore | 5,513,054 | |||||||||
|
|
122 | See accompanying Notes to the Financial Statements. |
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Africa — 0.3% | ||||||||||
88,347 | AngloGold Ashanti, Ltd., Sponsored ADR | 1,173,248 | ||||||||
97,752 | Gold Fields, Ltd., Sponsored ADR‡ | 446,727 | ||||||||
45,900 | Harmony Gold Mining Co., Ltd., Sponsored ADR‡ | 155,142 | ||||||||
9,155 | Sibanye Gold, Ltd., Sponsored ADR* ‡ | 47,697 | ||||||||
|
| |||||||||
Total South Africa | 1,822,814 | |||||||||
|
| |||||||||
South Korea — 0.3% | ||||||||||
22,062 | KT&G Corp. | 1,580,733 | ||||||||
318 | Lotte Confectionery Co., Ltd. | 504,515 | ||||||||
|
| |||||||||
Total South Korea | 2,085,248 | |||||||||
|
| |||||||||
Spain — 0.2% | ||||||||||
22,700 | Red Electrica Corp. SA | 1,292,722 | ||||||||
|
| |||||||||
Sweden — 0.6% | ||||||||||
10,956 | Axfood AB | 535,425 | ||||||||
53,100 | Investor AB Class B | 1,612,072 | ||||||||
286,209 | TeliaSonera AB | 2,194,101 | ||||||||
|
| |||||||||
Total Sweden | 4,341,598 | |||||||||
|
| |||||||||
Switzerland — 5.1% | ||||||||||
4,761 | Allreal Holding AG | 661,828 | ||||||||
4,010 | Bank Coop AG | 210,644 | ||||||||
863 | Banque Cantonale de Geneve | 225,234 | ||||||||
9,411 | Basler Kantonalbank | 815,429 | ||||||||
18 | Bell AG | 44,390 | ||||||||
1,875 | Berner Kantonalbank AG | 492,466 | ||||||||
2,501 | Galenica AG | 2,118,624 | ||||||||
280 | Graubuendner Kantonalbank | 366,934 | ||||||||
1,601 | Intershop Holdings | 580,733 | ||||||||
2,500 | Kuehne + Nagel International AG | 327,620 | ||||||||
425 | Luzerner Kantonalbank AG | 167,204 | ||||||||
3,232 | Mobimo Holding AG | 675,888 | ||||||||
189,190 | Nestle SA | 13,233,362 | ||||||||
148,333 | Novartis AG | 11,400,767 | ||||||||
23,187 | PSP Swiss Property AG | 2,012,916 | ||||||||
1,941 | Swisscom AG | 932,882 | ||||||||
43 | Walliser Kantonalbank | 38,613 | ||||||||
|
| |||||||||
Total Switzerland | 34,305,534 | |||||||||
|
| |||||||||
Thailand — 0.2% | ||||||||||
165,600 | Bangkok Bank PCL, ADR | 1,037,647 | ||||||||
|
| |||||||||
United Kingdom — 6.9% | ||||||||||
19,900 | Anglo American Plc | 489,191 | ||||||||
65,292 | Associated British Foods Plc | 1,983,566 | ||||||||
40,361 | AstraZeneca Plc | 2,101,669 | ||||||||
16,127 | British American Tobacco Plc | 855,692 |
See accompanying Notes to the Financial Statements. | 123 |
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
23,517 | Cranswick Plc | 446,338 | ||||||||
27,786 | Dairy Crest Group Plc | 204,960 | ||||||||
140,582 | Diageo Plc | 4,473,487 | ||||||||
88,700 | Fresnillo Plc | 1,397,624 | ||||||||
116,688 | GlaxoSmithKline Plc | 2,943,121 | ||||||||
107,864 | Greggs Plc | 739,923 | ||||||||
40,653 | Imperial Tobacco Group Plc | 1,505,611 | ||||||||
354,452 | J Sainsbury Plc | 2,247,207 | ||||||||
119,641 | National Grid Plc | 1,415,318 | ||||||||
24,706 | Next Plc | 2,064,458 | ||||||||
2,420 | Rank Group Plc | 6,035 | ||||||||
24,190 | Reckitt Benckiser Group Plc | 1,770,632 | ||||||||
24,896 | Royal Dutch Shell Plc Class A (Amsterdam Exchange) | 821,618 | ||||||||
126,345 | Smith & Nephew Plc | 1,577,489 | ||||||||
83,231 | SSE Plc | 1,986,719 | ||||||||
17,626 | Synergy Health Plc | 312,837 | ||||||||
115,603 | Tate & Lyle Plc | 1,378,782 | ||||||||
1,955,171 | Tesco Plc | 11,366,666 | ||||||||
28,772 | The Berkeley Group Holdings Unit Plc | 965,414 | ||||||||
802,595 | WM Morrison Supermarkets Plc | 3,639,221 | ||||||||
|
| |||||||||
Total United Kingdom | 46,693,578 | |||||||||
|
| |||||||||
United States — 47.1% | ||||||||||
27,100 | 3M Co. | 3,236,011 | ||||||||
3,503 | Abbott Laboratories | 116,265 | ||||||||
1,274 | Alleghany Corp.* | 521,894 | ||||||||
7,551 | Allete, Inc. | 364,713 | ||||||||
15,261 | Alliant Techsystems, Inc. | 1,488,863 | ||||||||
21,898 | Altria Group, Inc. | 752,196 | ||||||||
53,434 | Amdocs, Ltd. | 1,957,822 | ||||||||
43,540 | American Electric Power Co., Inc. | 1,887,459 | ||||||||
131,094 | American Express Co. | 9,900,219 | ||||||||
5,708 | AmerisourceBergen Corp. | 348,759 | ||||||||
8,900 | Apache Corp. | 757,746 | ||||||||
37,065 | AT&T, Inc. | 1,253,538 | ||||||||
15,100 | Automatic Data Processing, Inc. | 1,092,938 | ||||||||
401,166 | Bank of New York Mellon Corp. (The) | 12,111,202 | ||||||||
56,900 | BB&T Corp. | 1,920,375 | ||||||||
19,509 | Becton Dickinson and Co. | 1,951,290 | ||||||||
15 | Berkshire Hathaway, Inc. Class A* | 2,556,150 | ||||||||
37,388 | Campbell Soup Co. | 1,522,065 | ||||||||
162,190 | Capitol Federal Financial, Inc. | 2,016,022 | ||||||||
6,638 | Cardinal Health, Inc. | 346,172 | ||||||||
31,029 | CenturyLink, Inc. | 973,690 | ||||||||
32,472 | Church & Dwight Co., Inc. | 1,949,944 | ||||||||
33,300 | Cincinnati Financial Corp. | 1,570,428 | ||||||||
57,300 | Cintas Corp. | 2,933,760 | ||||||||
143,482 | Cisco Systems, Inc. | 3,360,348 | ||||||||
6,606 | Cleco Corp. | 296,213 |
124 | See accompanying Notes to the Financial Statements. |
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
23,106 | Clorox Co. (The) | 1,888,222 | ||||||||
61,980 | Coca-Cola Co. (The) | 2,347,802 | ||||||||
46,172 | Colgate-Palmolive Co. | 2,738,000 | ||||||||
100,200 | Comcast Corp. Class A | 4,345,674 | ||||||||
20,587 | ConAgra Foods, Inc. | 624,610 | ||||||||
39,000 | ConocoPhillips | 2,710,890 | ||||||||
33,445 | Consolidated Edison, Inc. | 1,844,157 | ||||||||
14,004 | CVS Caremark Corp. | 794,727 | ||||||||
30,504 | Devon Energy Corp. | 1,761,911 | ||||||||
111,776 | DIRECTV* | 6,678,616 | ||||||||
876 | Dr Pepper Snapple Group, Inc. | 39,262 | ||||||||
2,014 | DST Systems, Inc. | 151,876 | ||||||||
29,417 | DTE Energy Co. | 1,940,934 | ||||||||
217,507 | eBay, Inc.* | 12,134,716 | ||||||||
1,155 | El Paso Electric Co. | 38,577 | ||||||||
9,193 | Eli Lilly & Co. | 462,684 | ||||||||
79,330 | Empire District Electric Co. (The) | 1,718,288 | ||||||||
45,175 | Entergy Corp. | 2,854,608 | ||||||||
1,421 | First American Financial Corp. | 34,601 | ||||||||
48,714 | FirstEnergy Corp. | 1,775,625 | ||||||||
41,040 | General Mills, Inc. | 1,966,637 | ||||||||
14,113 | Google, Inc. Class A* | 12,361,718 | ||||||||
86,323 | Great Plains Energy, Inc. | 1,916,371 | ||||||||
15,493 | H&R Block, Inc. | 413,043 | ||||||||
4,500 | Helmerich & Payne, Inc. | 310,275 | ||||||||
19,637 | Henry Schein, Inc.* | 2,036,357 | ||||||||
21,514 | Hershey Co. (The) | 1,990,045 | ||||||||
28,511 | Hormel Foods Corp. | 1,200,883 | ||||||||
7,785 | IDACORP, Inc. | 376,794 | ||||||||
136,932 | Intel Corp. | 3,138,481 | ||||||||
24,375 | Jack Henry & Associates, Inc. | 1,257,994 | ||||||||
18,603 | JM Smucker Co. (The) | 1,954,059 | ||||||||
62,403 | Johnson & Johnson | 5,409,716 | ||||||||
13,450 | Kellogg Co. | 789,918 | ||||||||
21,346 | Kimberly-Clark Corp. | 2,011,220 | ||||||||
19,312 | Laboratory Corp. of America Holdings* | 1,914,592 | ||||||||
27,530 | Liberty Media Corp. - Interactive Class A* | 646,129 | ||||||||
51,900 | Linear Technology Corp. | 2,058,354 | ||||||||
17,100 | Lockheed Martin Corp. | 2,181,105 | ||||||||
33,691 | Lorillard, Inc. | 1,508,683 | ||||||||
271,652 | Lowe’s Cos., Inc. | 12,933,352 | ||||||||
11,200 | Martin Marietta Materials, Inc. | 1,099,504 | ||||||||
12,181 | Mastercard, Inc. Class A | 8,195,133 | ||||||||
45,126 | McDonald’s Corp. | 4,341,572 | ||||||||
16,742 | McKesson Corp. | 2,147,999 | ||||||||
574,081 | Microsoft Corp. | 19,122,638 | ||||||||
10,532 | National Oilwell Varco, Inc. | 822,655 | ||||||||
13,371 | NetApp, Inc. | 569,872 | ||||||||
15,100 | Newmont Mining Corp. | 424,310 | ||||||||
23,600 | Northrop Grumman Corp. | 2,248,136 |
See accompanying Notes to the Financial Statements. | 125 |
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
39,600 | Omnicom Group, Inc. | 2,512,224 | ||||||||
514,806 | Oracle Corp. | 17,076,115 | ||||||||
23,447 | Owens & Minor, Inc.‡ | 811,032 | ||||||||
9,682 | Patterson Cos., Inc. | 389,216 | ||||||||
25,275 | PepsiCo, Inc. | 2,009,362 | ||||||||
69,617 | Pfizer, Inc. | 1,998,704 | ||||||||
4,789 | Philip Morris International, Inc. | 414,679 | ||||||||
36,766 | Pinnacle West Capital Corp. | 2,012,571 | ||||||||
35,000 | Plum Creek Timber Co., Inc. REIT | 1,639,050 | ||||||||
64,092 | Portland General Electric Co. | 1,809,317 | ||||||||
43,993 | PPL Corp. | 1,336,507 | ||||||||
11,200 | Procter & Gamble Co. (The) | 846,608 | ||||||||
16,700 | Rayonier, Inc. REIT | 929,355 | ||||||||
1,718 | Reynolds American, Inc. | 83,804 | ||||||||
6,024 | San Juan Basin Royalty Trust | 96,264 | ||||||||
15,266 | SCANA Corp. | 702,847 | ||||||||
30,600 | Scotts Miracle-Gro Co. (The) Class A | 1,683,918 | ||||||||
17,837 | Southern Co. (The) | 734,528 | ||||||||
67,938 | State Street Corp. | 4,466,923 | ||||||||
110,100 | Sysco Corp. | 3,504,483 | ||||||||
158,616 | Target Corp. | 10,148,252 | ||||||||
3,916 | UIL Holdings Corp. | 145,597 | ||||||||
4,997 | United States Cellular Corp. | 227,513 | ||||||||
11,945 | Universal Corp.‡ | 608,359 | ||||||||
27,579 | UNS Energy Corp. | 1,285,733 | ||||||||
244,440 | US Bancorp | 8,941,615 | ||||||||
31,802 | Vector Group, Ltd.‡ | 512,019 | ||||||||
23,723 | Verizon Communications, Inc. | 1,106,915 | ||||||||
43,867 | Visa, Inc. Class A | 8,382,984 | ||||||||
23,300 | Vulcan Materials Co. | 1,207,173 | ||||||||
119,924 | Wal-Mart Stores, Inc. | 8,869,579 | ||||||||
19,100 | WellPoint, Inc. | 1,596,951 | ||||||||
239,758 | Wells Fargo & Co. | 9,906,801 | ||||||||
65,195 | Westar Energy, Inc.‡ | 1,998,227 | ||||||||
59,212 | Weyerhaeuser Co. REIT | 1,695,240 | ||||||||
32,400 | WR Berkley Corp. | 1,388,664 | ||||||||
72,507 | Xcel Energy, Inc. | 2,001,918 | ||||||||
136,636 | Yum! Brands, Inc. | 9,754,444 | ||||||||
|
| |||||||||
Total United States | 316,254,898 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $564,999,070) | 601,856,229 | |||||||||
|
| |||||||||
INVESTMENT COMPANY — 1.3% | ||||||||||
United States — 1.3% | ||||||||||
66,100 | SPDR Gold Shares* ‡ | 8,472,037 | ||||||||
|
| |||||||||
TOTAL INVESTMENT COMPANY (COST $9,608,335) | 8,472,037 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 0.2% | ||||||||||
Germany — 0.0% | ||||||||||
458 | Biotest AG, 0.93% | 40,106 | ||||||||
|
|
126 | See accompanying Notes to the Financial Statements. |
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — 0.1% | ||||||||||
113 | Shinkin Central Bank, 3.83% | 195,310 | ||||||||
|
| |||||||||
Sweden — 0.0% | ||||||||||
31,273 | Sagax AB, 6.35% | 153,369 | ||||||||
|
| |||||||||
United States — 0.1% | ||||||||||
25,903 | Wachovia Preferred Funding Corp. REIT, 7.25%‡ | 675,291 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $1,088,428) | 1,064,076 | |||||||||
|
| |||||||||
WARRANTS — 0.1% | ||||||||||
United States — 0.1% | ||||||||||
40,900 | JPMorgan Chase & Co., Strike Price $0.00, Expires 10/28/18* | 685,484 | ||||||||
|
| |||||||||
TOTAL WARRANTS (COST $568,052) | 685,484 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 11.8% | ||||||||||
Bank Deposit — 7.1% | ||||||||||
47,408,560 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/01/13 | 47,408,560 | ||||||||
|
| |||||||||
Securities Lending Collateral — 4.7% | ||||||||||
31,839,105 | State Street Navigator Securities Lending Prime Portfolio*** | 31,839,105 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $79,247,665) | 79,247,665 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 102.9% (Cost $655,511,550) | 691,325,491 | |||||||||
Other Assets and Liabilities (net) — (2.9)% | (19,258,571 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 672,066,920 | ||||||||
|
| |||||||||
Notes to Schedule of Investments: | ||||||||||
ADR — American Depository Receipt | ||||||||||
GDR — Global Depository Receipt | ||||||||||
NVDR — Non-Voting Depository Receipt | ||||||||||
REIT — Real Estate Investment Trust | ||||||||||
* | Non-income producing security | |||||||||
*** | Represents an investment of securities lending cash collateral. | |||||||||
‡ | All or a portion of this security is out on loan. | |||||||||
‡‡‡ | Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. |
See accompanying Notes to the Financial Statements. | 127 |
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
September 30, 2013 (Unaudited)
A summary of outstanding financial instruments at September 30, 2013 is as follows:
Forward Foreign Currency Contracts
Settlement | Currency | Counterparty | Units of | Value | Net | |||||||||||||||
Sales | ||||||||||||||||||||
11/13/13 | EUR | Bank of New York | 1,946,000 | $ | 2,634,487 | $ | (83,233 | ) | ||||||||||||
02/19/14 | EUR | Bank of New York | 1,026,000 | 1,389,393 | (30,430 | ) | ||||||||||||||
03/19/14 | EUR | Goldman Sachs | 1,375,000 | 1,862,174 | (19,069 | ) | ||||||||||||||
12/18/13 | EUR | HSBC Bank USA | 580,000 | 785,275 | (11,422 | ) | ||||||||||||||
01/15/14 | EUR | JPMorgan Chase Bank | 1,183,000 | 1,601,816 | (45,593 | ) | ||||||||||||||
10/16/13 | EUR | UBS AG | 683,000 | 924,575 | (29,934 | ) | ||||||||||||||
11/13/13 | JPY | Bank of New York | 428,338,000 | 4,366,252 | (49,569 | ) | ||||||||||||||
02/19/14 | JPY | Bank of New York | 137,261,000 | 1,400,254 | (2,242 | ) | ||||||||||||||
03/19/14 | JPY | Goldman Sachs | 260,469,000 | 2,657,700 | (29,222 | ) | ||||||||||||||
12/18/13 | JPY | HSBC Bank USA | 154,968,000 | 1,580,079 | 50,547 | |||||||||||||||
01/15/14 | JPY | JPMorgan Chase Bank | 252,552,000 | 2,575,715 | (45,418 | ) | ||||||||||||||
10/16/13 | JPY | UBS AG | 118,613,000 | 1,208,890 | 17,576 | |||||||||||||||
|
| |||||||||||||||||||
$ | (278,009 | ) | ||||||||||||||||||
|
|
Currency Abbreviations
EUR | Euro |
JPY | Japanese Yen |
128 | See accompanying Notes to the Financial Statements. |
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
September 30, 2013 (Unaudited)
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Food | 12.3 | ||||
Retail | 8.2 | ||||
Banks | 7.4 | ||||
Pharmaceuticals | 6.6 | ||||
Electric | 5.7 | ||||
Software | 5.6 | ||||
Telecommunications | 4.5 | ||||
Commercial Services | 3.8 | ||||
Internet | 3.7 | ||||
Oil & Gas | 2.6 | ||||
Insurance | 2.3 | ||||
Beverages | 2.1 | ||||
Health Care — Products | 2.1 | ||||
Media | 2.0 | ||||
Mining | 2.0 | ||||
Diversified Financial Services | 1.6 | ||||
Household Products & Wares | 1.5 | ||||
Commodity Fund | 1.3 | ||||
Electronics | 1.3 | ||||
Agriculture | 1.1 | ||||
Building Materials | 1.1 | ||||
Cosmetics & Personal Care | 1.1 | ||||
Real Estate | 1.1 | ||||
Holding Companies — Diversified | 0.9 | ||||
Aerospace & Defense | 0.8 | ||||
Semiconductors | 0.8 | ||||
Health Care — Services | 0.7 | ||||
Apparel | 0.6 | ||||
Engineering & Construction | 0.6 | ||||
REITS | 0.6 | ||||
Transportation | 0.6 | ||||
Hand & Machine Tools | 0.5 | ||||
Miscellaneous — Manufacturing | 0.5 | ||||
Advertising | 0.4 | ||||
Chemicals | 0.4 | ||||
Textiles | 0.4 | ||||
Computers | 0.3 | ||||
Leisure Time | 0.3 | ||||
Savings & Loans | 0.3 | ||||
Auto Manufacturers | 0.2 | ||||
Forest Products & Paper | 0.2 | ||||
Home Builders | 0.2 | ||||
Investment Companies | 0.2 | ||||
Airlines | 0.1 | ||||
Distribution & Wholesale | 0.1 | ||||
Electrical Components & Equipment | 0.1 | ||||
Metal Fabricate & Hardware | 0.1 | ||||
Office & Business Equipment | 0.1 | ||||
Oil & Gas Services | 0.1 | ||||
Biotechnology | 0.0 | ||||
Entertainment | 0.0 | ||||
Lodging | 0.0 | ||||
Short-Term Investments and Other Assets and Liabilities (net) | 8.9 | ||||
|
| ||||
100.0 | % | ||||
|
|
See accompanying Notes to the Financial Statements. | 129 |
Mercer US Short Maturity Fixed Income Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 97.3% | ||||||||||
Asset Backed Securities — 8.9% | ||||||||||
47,548 | Ally Auto Receivables Trust, Series 2010-3, Class A4, 1.55%, due 08/17/15 | 47,732 | ||||||||
16,000 | AmeriCredit Automobile Receivables Trust, Series 2013-1, Class A3, 0.61%, due 10/10/17 | 15,954 | ||||||||
43,000 | AmeriCredit Automobile Receivables Trust, Series 2013-4, Class A2, 0.74%, due 11/08/16 | 43,040 | ||||||||
37,253 | Bank of America Auto Trust, Series 2010-2, Class A4, 1.94%, due 06/15/17 | 37,357 | ||||||||
92,000 | Capital Auto Receivables Asset Trust, Series 2013-1, Class A2, 0.62%, due 07/20/16 | 91,883 | ||||||||
80,000 | Capital Auto Receivables Asset Trust, Series 2013-2, Class A2, 0.92%, due 09/20/16 | 80,128 | ||||||||
64,000 | Capital Auto Receivables Asset Trust, Series 2013-3, Class A3, 1.31%, due 12/20/17 | 64,225 | ||||||||
100,000 | Capital One Multi-Asset Execution Trust, Series 2007-A7, Class A7, 5.75%, due 07/15/20 | 116,002 | ||||||||
100,000 | CarMax Auto Owner Trust, Series 2012-3, Class A3, 0.52%, due 07/17/17 | 99,687 | ||||||||
22,000 | CNH Equipment Trust, Series 2012-B, Class A3, 0.86%, due 09/15/17 | 22,066 | ||||||||
52,000 | CNH Equipment Trust, Series 2013-C, Class A3, 1.02%, due 08/15/18 | 52,196 | ||||||||
85,000 | Fifth Third Auto Trust, Series 2013-A, Class A3, 0.61%, due 09/15/17 | 84,828 | ||||||||
18,483 | Ford Credit Auto Owner Trust, Series 2009-E, Class A4, 2.42%, due 11/15/14 | 18,524 | ||||||||
345 | Ford Credit Auto Owner Trust, Series 2011-A, Class A3, 0.97%, due 01/15/15 | 345 | ||||||||
79,838 | Ford Credit Auto Owner Trust, Series 2012-A, Class A3, 0.84%, due 08/15/16 | 79,984 | ||||||||
100,000 | Ford Credit Auto Owner Trust, Series 2012-B, Class A3, 0.72%, due 12/15/16 | 100,223 | ||||||||
100,000 | GE Capital Credit Card Master Note Trust, Series 2009-4, Class A, 3.80%, due 11/15/17 | 103,574 | ||||||||
119,000 | GE Equipment Transportation LLC, Series 2012-2, Class A3, 0.62%, due 07/25/16 | 118,893 | ||||||||
100,000 | Harley Davidson Motorcycle Trust, Series 2013-1, Class A3, 0.65%, due 07/16/18 | 100,025 | ||||||||
34,000 | Honda Auto Receivables Owner Trust, Series 2012-2, Class A3, 0.70%, due 02/16/16 | 34,062 | ||||||||
108,000 | Huntington Auto Trust, Series 2012-2, Class A3, 0.51%, due 04/17/17 | 107,721 | ||||||||
24,521 | Hyundai Auto Receivables Trust, Series 2010-A, Class A4, 2.45%, due 12/15/16 | 24,845 | ||||||||
2,076 | Hyundai Auto Receivables Trust, Series 2010-B, Class A3, 0.97%, due 04/15/15 | 2,078 | ||||||||
83,000 | John Deere Owner Trust, Series 2012-B, Class A3, 0.53%, due 07/15/16 | 83,010 | ||||||||
60,000 | John Deere Owner Trust, Series 2013-B, Class A3, 0.87%, due 08/15/17 | 60,158 | ||||||||
70,000 | Mercedes-Benz Auto Lease Trust, Series 2013-A, Class A3, 0.59%, due 02/15/16 | 70,019 | ||||||||
104,000 | Mercedes-Benz Auto Receivables Trust, Series 2012-1, Class A3, 0.47%, due 10/17/16 | 104,015 | ||||||||
100,000 | Nissan Auto Receivables Owner Trust, Series 2012-A, Class A3, 0.73%, due 05/16/16 | 100,260 | ||||||||
59,906 | Santander Drive Auto Receivables Trust, Series 2010-A, Class A3, 1.83%, due 11/17/14 144A | 60,018 | ||||||||
7,000 | Santander Drive Auto Receivables Trust, Series 2012-3, Class A3, 1.08%, due 04/15/16 | 7,014 | ||||||||
78,746 | Securitized Asset Backed NIM Trust, Series 2005-FR4, Class NIM, 6.00%, due 01/25/36¤ 144A | 1 | ||||||||
53,000 | USAA Auto Owner Trust, Series 2012-1, Class A3, 0.43%, due 08/15/16 | 52,929 | ||||||||
109,000 | Volkswagen Auto Loan Enhanced Trust, Series 2012-2, Class A3, 0.46%, due 01/20/17 | 108,739 | ||||||||
|
| |||||||||
2,091,535 | ||||||||||
|
| |||||||||
Corporate Debt — 21.0% | ||||||||||
15,000 | ACE INA Holdings, Inc., 2.60%, due 11/23/15 | 15,555 | ||||||||
20,000 | ACE INA Holdings, Inc., 5.88%, due 06/15/14 | 20,721 | ||||||||
20,000 | ADT Corp. (The), 2.25%, due 07/15/17 | 19,118 | ||||||||
15,000 | Aetna, Inc., 6.00%, due 06/15/16 | 16,895 | ||||||||
15,000 | Aflac, Inc., 3.45%, due 08/15/15 | 15,758 | ||||||||
45,000 | Alabama Power Co., Series 2, 5.80%, due 11/15/13 | 45,279 | ||||||||
25,000 | America Movil SAB de CV, Guaranteed Senior Note, 5.63%, due 11/15/17 | 28,687 | ||||||||
35,000 | American Express Co., 7.25%, due 05/20/14 | 36,486 | ||||||||
25,000 | American Express Credit Corp., 5.13%, due 08/25/14 | 26,031 | ||||||||
20,000 | American International Group, Inc., 4.25%, due 09/15/14 | 20,664 |
130 | See accompanying Notes to the Financial Statements. |
Mercer US Short Maturity Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
20,000 | American International Group, Inc., 5.60%, due 10/18/16 | 22,364 | ||||||||
10,000 | Amgen, Inc., 5.85%, due 06/01/17 | 11,419 | ||||||||
20,000 | Apache Corp., 5.63%, due 01/15/17 | 22,609 | ||||||||
20,000 | Arizona Public Service Co., 6.25%, due 08/01/16 | 22,710 | ||||||||
10,000 | Arrow Electronics, Inc., 3.38%, due 11/01/15 | 10,351 | ||||||||
15,000 | BAE Systems Holdings, Inc., 4.95%, due 06/01/14 144A | 15,384 | ||||||||
10,000 | BAE Systems Holdings, Inc., 5.20%, due 08/15/15 144A | 10,688 | ||||||||
20,000 | Bank of America Corp., 1.25%, due 01/11/16 | 19,991 | ||||||||
40,000 | Bank of America Corp., 1.50%, due 10/09/15 | 40,239 | ||||||||
20,000 | Bank of America Corp., 3.63%, due 03/17/16 | 21,046 | ||||||||
25,000 | Bank of America Corp., 3.88%, due 03/22/17 | 26,611 | ||||||||
20,000 | Bank of America Corp., 4.75%, due 08/01/15 | 21,276 | ||||||||
30,000 | Bank of America Corp., Senior Note, 5.75%, due 12/01/17 | 33,874 | ||||||||
35,000 | Bank of New York Mellon Corp. (The), 0.70%, due 10/23/15 | 34,979 | ||||||||
25,000 | Bank of New York Mellon Corp. (The), 4.30%, due 05/15/14 | 25,616 | ||||||||
25,000 | Bank of Nova Scotia, 0.75%, due 10/09/15 | 25,010 | ||||||||
40,000 | Bank of Nova Scotia, 2.55%, due 01/12/17 | 41,474 | ||||||||
20,000 | Bank of Nova Scotia, 3.40%, due 01/22/15 | 20,742 | ||||||||
40,000 | BB&T Corp., 3.20%, due 03/15/16 | 41,941 | ||||||||
5,000 | Beam, Inc., 5.38%, due 01/15/16 | 5,451 | ||||||||
80,000 | BellSouth Corp., 5.20%, due 09/15/14 | 83,528 | ||||||||
30,000 | BHP Billiton Finance USA, Ltd., 1.63%, due 02/24/17 | 30,208 | ||||||||
35,000 | BlackRock, Inc., 3.50%, due 12/10/14 | 36,232 | ||||||||
20,000 | Boston Properties, LP, 5.00%, due 06/01/15 | 21,339 | ||||||||
20,000 | BP Capital Markets Plc, 0.70%, due 11/06/15 | 19,967 | ||||||||
15,000 | BP Capital Markets Plc, 1.38%, due 11/06/17 | 14,788 | ||||||||
21,000 | BP Capital Markets Plc, 1.85%, due 05/05/17 | 21,198 | ||||||||
10,000 | Cameron International Corp., 1.60%, due 04/30/15 | 10,078 | ||||||||
20,000 | Canadian Imperial Bank of Commerce, 1.55%, due 01/23/18 | 19,635 | ||||||||
15,000 | Canadian Imperial Bank of Commerce, 2.35%, due 12/11/15 | 15,480 | ||||||||
25,000 | Canadian Natural Resources, Ltd., 4.90%, due 12/01/14 | 26,206 | ||||||||
10,000 | Canadian Natural Resources, Ltd., 6.00%, due 08/15/16 | 11,325 | ||||||||
15,000 | Capital One Financial Corp., 1.00%, due 11/06/15 | 14,932 | ||||||||
20,000 | Capital One Financial Corp., 2.15%, due 03/23/15 | 20,329 | ||||||||
15,000 | Capital One Financial Corp., 3.15%, due 07/15/16 | 15,681 | ||||||||
10,000 | Cardinal Health, Inc., 5.80%, due 10/15/16 | 11,306 | ||||||||
25,000 | Caterpillar, Inc., 7.00%, due 12/15/13 | 25,329 | ||||||||
15,000 | CBS Corp., 1.95%, due 07/01/17 | 15,095 | ||||||||
10,000 | Celgene Corp., 1.90%, due 08/15/17 | 10,043 | ||||||||
20,000 | CenterPoint Energy Resources Corp., 6.13%, due 11/01/17 | 23,330 | ||||||||
35,000 | Cisco Systems, Inc., 5.50%, due 02/22/16 | 38,925 | ||||||||
130,000 | Citigroup, Inc., 2.25%, due 08/07/15 | 132,602 | ||||||||
30,000 | Citigroup, Inc., 4.45%, due 01/10/17 | 32,508 | ||||||||
100,000 | CME Group, Inc., 5.75%, due 02/15/14 | 101,919 | ||||||||
40,000 | Coca-Cola Co. (The), 1.50%, due 11/15/15 | 40,799 | ||||||||
20,000 | Comerica, Inc., 3.00%, due 09/16/15 | 20,827 | ||||||||
11,000 | ConocoPhillips, 4.75%, due 02/01/14 | 11,157 | ||||||||
70,000 | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrecht, 3.38%, due 01/19/17 | 74,541 | ||||||||
16,000 | COX Communications, Inc., 5.45%, due 12/15/14 | 16,906 |
See accompanying Notes to the Financial Statements. | 131 |
Mercer US Short Maturity Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
80,000 | Credit Suisse USA, Inc., 5.13%, due 08/15/15 | 86,398 | ||||||||
30,000 | Crown Castle Towers LLC, 3.21%, due 08/15/15 144A | 30,611 | ||||||||
30,000 | Daimler Finance North America LLC, Senior Note, 6.50%, due 11/15/13 | 30,205 | ||||||||
25,000 | Deutsche Bank AG, 3.88%, due 08/18/14 | 25,705 | ||||||||
20,000 | Devon Energy Corp., 1.88%, due 05/15/17 | 20,062 | ||||||||
20,000 | Dr Pepper Snapple Group, Inc., 2.90%, due 01/15/16 | 20,764 | ||||||||
20,000 | Duke Energy Carolinas LLC, 5.75%, due 11/15/13 | 20,124 | ||||||||
15,000 | Duke Energy Corp., 3.35%, due 04/01/15 | 15,574 | ||||||||
15,000 | Eaton Corp., 0.95%, due 11/02/15 144A | 15,009 | ||||||||
25,000 | eBay, Inc., 1.63%, due 10/15/15 | 25,492 | ||||||||
10,000 | EI Du Pont de Nemours & Co., 5.88%, due 01/15/14 | 10,150 | ||||||||
35,000 | Emerson Electric Co., 5.00%, due 12/15/14 | 36,930 | ||||||||
10,000 | Enterprise Products Operating LLC, 3.20%, due 02/01/16 | 10,500 | ||||||||
5,000 | Enterprise Products Operating LLC, 6.30%, due 09/15/17 | 5,789 | ||||||||
15,000 | Fifth Third Bancorp, 3.63%, due 01/25/16 | 15,834 | ||||||||
25,000 | France Telecom SA, 2.13%, due 09/16/15 | 25,396 | ||||||||
25,000 | Freeport-McMoRan Copper & Gold, Inc., 1.40%, due 02/13/15 | 25,074 | ||||||||
12,000 | Freeport-McMoRan Copper & Gold, Inc., 2.15%, due 03/01/17 | 11,935 | ||||||||
15,000 | General Dynamics Corp., 1.00%, due 11/15/17 | 14,605 | ||||||||
80,000 | General Electric Capital Corp., 1.00%, due 01/08/16 | 80,020 | ||||||||
25,000 | General Electric Capital Corp., 2.25%, due 11/09/15 | 25,679 | ||||||||
55,000 | General Electric Capital Corp., 4.75%, due 09/15/14 | 57,324 | ||||||||
30,000 | General Electric Capital Corp., 5.50%, due 06/04/14 | 31,053 | ||||||||
20,000 | General Mills, Inc., 0.88%, due 01/29/16 | 20,003 | ||||||||
15,000 | Gilead Sciences, Inc., 2.40%, due 12/01/14 | 15,315 | ||||||||
15,000 | GlaxoSmithKline Capital, Inc., 0.70%, due 03/18/16 | 15,000 | ||||||||
85,000 | Goldman Sachs Group (The), Inc., 3.63%, due 02/07/16 | 89,510 | ||||||||
50,000 | Goldman Sachs Group (The), Inc., 5.15%, due 01/15/14 | 50,647 | ||||||||
25,000 | Halliburton Co., 1.00%, due 08/01/16 | 24,980 | ||||||||
10,000 | HCP, Inc. REIT, 6.70%, due 01/30/18 | 11,655 | ||||||||
10,000 | Home Depot (The), Inc., 2.25%, due 09/10/18 | 10,118 | ||||||||
45,000 | Honeywell International, Inc., 3.88%, due 02/15/14 | 45,573 | ||||||||
20,000 | Intel Corp., 1.95%, due 10/01/16 | 20,572 | ||||||||
40,000 | John Deere Capital Corp., 1.30%, due 03/12/18 | 39,260 | ||||||||
15,000 | Kellogg Co., 4.45%, due 05/30/16 | 16,346 | ||||||||
15,000 | Kentucky Utilities Co., 1.63%, due 11/01/15 | 15,286 | ||||||||
8,000 | Kroger Co. (The), 2.20%, due 01/15/17 | 8,149 | ||||||||
10,000 | Kroger Co. (The), 6.40%, due 08/15/17 | 11,534 | ||||||||
5,000 | Liberty Mutual Group, Inc., 6.70%, due 08/15/16 144A | 5,667 | ||||||||
20,000 | Lockheed Martin Corp., 2.13%, due 09/15/16 | 20,624 | ||||||||
10,000 | Lowe’s Cos., Inc., 5.00%, due 10/15/15 | 10,856 | ||||||||
12,000 | Macquarie Bank, Ltd., 2.00%, due 08/15/16 144A | 12,071 | ||||||||
15,000 | Macquarie Group, Ltd., 7.30%, due 08/01/14 144A | 15,755 | ||||||||
45,000 | Merck & Co., Inc., 4.75%, due 03/01/15 | 47,686 | ||||||||
100,000 | Morgan Stanley, 4.10%, due 01/26/15 | 103,635 | ||||||||
6,000 | Mylan, Inc., 1.80%, due 06/24/16 144A | 6,029 | ||||||||
4,000 | Nabors Industries, Inc., 2.35%, due 09/15/16 144A | 4,046 | ||||||||
10,000 | National Oilwell Varco, Inc., 1.35%, due 12/01/17 | 9,850 | ||||||||
50,000 | National Semiconductor Corp., 3.95%, due 04/15/15 | 52,474 |
132 | See accompanying Notes to the Financial Statements. |
Mercer US Short Maturity Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
20,000 | NBCUniversal Media LLC, 2.88%, due 04/01/16 | 20,958 | ||||||||
20,000 | New York Life Global Funding, 1.65%, due 05/15/17 144A | 19,976 | ||||||||
65,000 | New York Life Global Funding, 3.00%, due 05/04/15 144A | 67,512 | ||||||||
15,000 | News America, Inc., 7.60%, due 10/11/15 | 16,851 | ||||||||
40,000 | NextEra Energy Capital Holdings, Inc., 7.88%, due 12/15/15 | 45,770 | ||||||||
15,000 | Nissan Motor Acceptance Corp., 1.00%, due 03/15/16 144A | 14,903 | ||||||||
10,000 | Norfolk Southern Corp., 7.70%, due 05/15/17 | 12,070 | ||||||||
25,000 | Northern Trust Corp., 4.63%, due 05/01/14 | 25,628 | ||||||||
20,000 | Northrop Grumman Systems Corp., 7.75%, due 03/01/16 | 22,755 | ||||||||
10,000 | Novartis Capital Corp., 2.90%, due 04/24/15 | 10,393 | ||||||||
20,000 | NSTAR Electric Co., 4.88%, due 04/15/14 | 20,471 | ||||||||
10,000 | Nucor Corp., 5.75%, due 12/01/17 | 11,355 | ||||||||
20,000 | Oncor Electric Delivery Co. LLC, 6.38%, due 01/15/15 | 21,367 | ||||||||
45,000 | Oracle Corp., 5.25%, due 01/15/16 | 49,512 | ||||||||
20,000 | Pacific Gas & Electric Co., Senior Note, 5.63%, due 11/30/17 | 22,995 | ||||||||
35,000 | PC Financial Partnership, 5.00%, due 11/15/14 | 36,659 | ||||||||
10,000 | Peco Energy Co., 1.20%, due 10/15/16 | 10,045 | ||||||||
5,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 2.50%, due 07/11/14 144A | 5,057 | ||||||||
18,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 3.13%, due 05/11/15 144A | 18,535 | ||||||||
35,000 | PNC Funding Corp., 2.70%, due 09/19/16 | 36,401 | ||||||||
10,000 | PNC Funding Corp., 4.25%, due 09/21/15 | 10,652 | ||||||||
60,000 | Pricoa Global Funding I, 5.45%, due 06/11/14 144A | 62,030 | ||||||||
65,000 | Procter & Gamble Co. (The), 4.95%, due 08/15/14 | 67,649 | ||||||||
10,000 | PSEG Power LLC, 5.50%, due 12/01/15 | 10,919 | ||||||||
15,000 | Public Service Electric & Gas Co., 2.70%, due 05/01/15 | 15,494 | ||||||||
5,000 | Quest Diagnostics, Inc., 5.45%, due 11/01/15 | 5,423 | ||||||||
10,000 | Rio Tinto Finance USA, Ltd., 1.88%, due 11/02/15 | 10,153 | ||||||||
30,000 | Rio Tinto Finance USA, Ltd., 8.95%, due 05/01/14 | 31,450 | ||||||||
10,000 | Rohm & Haas Co., 6.00%, due 09/15/17 | 11,485 | ||||||||
20,000 | Royal Bank of Canada, 1.45%, due 10/30/14 | 20,234 | ||||||||
40,000 | Royal Bank of Canada, 2.30%, due 07/20/16 | 41,376 | ||||||||
15,000 | Ryder System, Inc., 2.50%, due 03/01/17 | 15,161 | ||||||||
8,000 | Ryder System, Inc., 3.50%, due 06/01/17 | 8,374 | ||||||||
50,000 | Sempra Energy, 2.00%, due 03/15/14 | 50,321 | ||||||||
45,000 | Shell International Finance BV, 4.00%, due 03/21/14 | 45,773 | ||||||||
30,000 | Southern California Edison Co., 4.15%, due 09/15/14 | 31,040 | ||||||||
15,000 | Spectra Energy Capital LLC, 5.67%, due 08/15/14 | 15,626 | ||||||||
15,000 | State Street Corp., 2.88%, due 03/07/16 | 15,706 | ||||||||
10,000 | Talisman Energy, Inc., 5.13%, due 05/15/15 | 10,593 | ||||||||
35,000 | TCI Communications, Inc., Senior Note, 8.75%, due 08/01/15 | 39,928 | ||||||||
10,000 | TD Ameritrade Holding Corp., 4.15%, due 12/01/14 | 10,409 | ||||||||
5,000 | Teck Resources, Ltd., 3.15%, due 01/15/17 | 5,133 | ||||||||
20,000 | TECO Finance, Inc., 4.00%, due 03/15/16 | 21,234 | ||||||||
10,000 | Telecom Italia Capital SA, 6.18%, due 06/18/14 | 10,305 | ||||||||
35,000 | Teva Pharmaceutical Finance Co. BV, 2.40%, due 11/10/16 | 36,114 | ||||||||
5,000 | Thermo Fisher Scientific, Inc., 3.20%, due 03/01/16 | 5,212 | ||||||||
35,000 | Toronto-Dominion Bank (The), 2.38%, due 10/19/16 | 36,227 | ||||||||
5,000 | Total Capital International SA, 0.75%, due 01/25/16 | 4,987 | ||||||||
22,000 | Total Capital SA, 3.00%, due 06/24/15 | 22,901 |
See accompanying Notes to the Financial Statements. | 133 |
Mercer US Short Maturity Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
10,000 | Toyota Motor Credit Corp., 1.25%, due 11/17/14 | 10,107 | ||||||||
11,000 | Toyota Motor Credit Corp., 1.25%, due 10/05/17 | 10,853 | ||||||||
36,000 | Toyota Motor Credit Corp., 3.20%, due 06/17/15 | 37,668 | ||||||||
20,000 | TransCanada Pipelines, Ltd., 0.93%, due 06/30/16† | 20,138 | ||||||||
10,000 | Transocean, Inc., 4.95%, due 11/15/15 | 10,733 | ||||||||
20,000 | Tyson Foods, Inc., 6.60%, due 04/01/16 | 22,436 | ||||||||
60,000 | United Technologies Corp., 4.88%, due 05/01/15 | 64,120 | ||||||||
15,000 | UnitedHealth Group, Inc., 5.00%, due 08/15/14 | 15,584 | ||||||||
75,000 | US Bancorp, 3.15%, due 03/04/15 | 77,808 | ||||||||
10,000 | Valero Energy Corp., 6.13%, due 06/15/17 | 11,439 | ||||||||
6,000 | Ventas Realty, LP, 1.55%, due 09/26/16 | 6,012 | ||||||||
35,000 | Verizon Communications, Inc., 5.55%, due 02/15/16 | 38,508 | ||||||||
4,000 | Viacom, Inc., 2.50%, due 09/01/18 | 3,997 | ||||||||
15,000 | Virginia Electric and Power Co., 5.95%, due 09/15/17 | 17,479 | ||||||||
65,000 | Vodafone Group Plc, 4.15%, due 06/10/14 | 66,592 | ||||||||
60,000 | Wachovia Corp., Senior Note, 5.63%, due 10/15/16 | 67,276 | ||||||||
15,000 | Waste Management, Inc., 6.38%, due 03/11/15 | 16,138 | ||||||||
30,000 | WellPoint, Inc., 5.00%, due 12/15/14 | 31,520 | ||||||||
20,000 | Wells Fargo & Co., 1.50%, due 01/16/18 | 19,701 | ||||||||
50,000 | Wells Fargo & Co., 2.63%, due 12/15/16 | 52,087 | ||||||||
25,000 | Westpac Banking Corp., 0.95%, due 01/12/16 | 25,046 | ||||||||
20,000 | Westpac Banking Corp., 3.00%, due 08/04/15 | 20,868 | ||||||||
55,000 | Westpac Banking Corp., 4.20%, due 02/27/15 | 57,796 | ||||||||
15,000 | Wisconsin Electric Power Co., 6.00%, due 04/01/14 | 15,406 | ||||||||
65,000 | Wyeth LLC, 5.50%, due 02/01/14 | 66,106 | ||||||||
20,000 | Xerox Corp., 2.95%, due 03/15/17 | 20,527 | ||||||||
|
| |||||||||
4,925,123 | ||||||||||
|
| |||||||||
Mortgage Backed Securities - Private Issuers — 4.4% | ||||||||||
60,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-3, Class A4, 5.89%, due 07/10/44† | 65,950 | ||||||||
46,298 | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 3A4, 5.25%, due 09/25/33 | 47,643 | ||||||||
48,127 | Commercial Mortgage Asset Trust, Series 1999-C1, Class C, 7.35%, due 01/17/32† | 48,204 | ||||||||
498 | Countrywide Alternative Loan Trust, Series 2002-11, Class A4, 6.25%, due 10/25/32 | 511 | ||||||||
18,886 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-17, Class 2A6, 3.50%, due 07/25/18 | 19,031 | ||||||||
49,140 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-27, Class 5A4, 5.25%, due 11/25/33 | 49,614 | ||||||||
90,000 | Credit Suisse Mortgage Capital Certificates, Series 2006-C2, Class A3, 5.86%, due 03/15/39† | 97,833 | ||||||||
83,521 | GS Mortgage Securities Corp. II, Series 2004-GG2, Class A6, 5.40%, due 08/10/38† | 85,188 | ||||||||
44,396 | MASTR Alternative Loans Trust, Series 2004-8, Class 7A1, 5.00%, due 09/25/19 | 45,413 | ||||||||
45,925 | MASTR Asset Securitization Trust, Series 2003-8, Class 2A1, 4.50%, due 09/25/18 | 47,815 | ||||||||
81,687 | Morgan Stanley Re-REMIC Trust, Series 2010-HQ4B, Class A7A, 4.97%, due 04/16/40 144A | 83,232 | ||||||||
83,981 | NCUA Guaranteed Notes, Series 2010-C1, Class A1, 1.60%, due 10/29/20 | 84,755 | ||||||||
41,596 | NCUA Guaranteed Notes, Series 2010-R3, Class 3A, 2.40%, due 12/08/20 | 41,596 | ||||||||
30,723 | Residential Asset Securitization Trust, Series 2003-A14, Class A1, 4.75%, due 02/25/19 | 31,632 | ||||||||
73,462 | Springleaf Mortgage Loan Trust, Series 2012-2A, Class A, 2.22%, due 10/25/57† 144A | 74,636 |
134 | See accompanying Notes to the Financial Statements. |
Mercer US Short Maturity Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers — continued | ||||||||||
86,905 | UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A1, 0.80%, due 04/10/46 | 86,524 | ||||||||
79,609 | WaMu Mortgage Pass-Through Certificates, Series 2003-S1, Class A5, 5.50%, due 04/25/33 | 82,926 | ||||||||
46,984 | Washington Mutual MSC Mortgage Pass-Through Certificates, Series 2003-MS2, Class 3A1, 5.00%, due 03/25/18 | 48,042 | ||||||||
|
| |||||||||
1,040,545 | ||||||||||
|
| |||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — 8.0% |
| |||||||||
5,018 | FHLMC, Pool # B14248, 4.00%, due 05/01/14 | 5,310 | ||||||||
20,035 | FHLMC, Pool # C91030, 5.50%, due 05/01/27 | 21,722 | ||||||||
9,297 | FHLMC, Series 2394, Class KD, 6.00%, due 12/15/16 | 9,730 | ||||||||
43,518 | FHLMC, Series 2405, Class PE, 6.00%, due 01/15/17 | 45,929 | ||||||||
22,701 | FHLMC, Series 2513, Class DM, 5.50%, due 10/15/17 | 24,202 | ||||||||
20,893 | FHLMC, Series 2594, Class YA, 4.00%, due 04/15/23 | 22,145 | ||||||||
1,125 | FHLMC, Series 2614, Class NA, 3.75%, due 04/15/33 | 1,134 | ||||||||
11,410 | FHLMC, Series 2644, Class ED, 4.00%, due 02/15/18 | 11,509 | ||||||||
30,542 | FHLMC, Series 2668, Class OG, 5.00%, due 03/15/32 | 31,200 | ||||||||
35,396 | FHLMC, Series 2714, Class BQ, 4.50%, due 12/15/18 | 37,238 | ||||||||
50,081 | FHLMC, Series 2760, Class LB, 4.50%, due 01/15/33 | 53,100 | ||||||||
9,062 | FHLMC, Series 2827, Class QE, 5.50%, due 03/15/33 | 9,144 | ||||||||
262 | FHLMC, Series 2864, Class NA, 5.50%, due 01/15/31 | 262 | ||||||||
48,503 | FHLMC, Series 2866, Class W, 4.50%, due 08/15/34 | 52,001 | ||||||||
60,887 | FHLMC, Series 2881, Class AE, 5.00%, due 08/15/34 | 66,386 | ||||||||
35,750 | FHLMC, Series 2899, Class KB, 4.50%, due 03/15/19 | 36,129 | ||||||||
16,869 | FHLMC, Series 2931, Class AM, 4.50%, due 07/15/19 | 17,193 | ||||||||
16,081 | FHLMC, Series 2931, Class QC, 4.50%, due 01/15/19 | 16,094 | ||||||||
2,853 | FHLMC, Series 2962, Class YE, 4.50%, due 09/15/18 | 2,852 | ||||||||
2,330 | FHLMC, Series 3001, Class BN, 4.50%, due 06/15/33 | 2,351 | ||||||||
14,086 | FNMA, Pool # 255598, 5.00%, due 12/01/14 | 14,944 | ||||||||
45,071 | FNMA, Pool # 254762, 5.00%, due 05/01/23 | 48,838 | ||||||||
22,608 | FNMA, Pool # 254831, 5.00%, due 08/01/23 | 24,504 | ||||||||
59,416 | FNMA, Pool # AL2193, 5.50%, due 07/01/25 | 64,662 | ||||||||
82,593 | FNMA, Pool # 254420, 6.00%, due 07/01/22 | 90,258 | ||||||||
35,832 | FNMA, Pool # AE0081, 6.00%, due 07/01/24 | 39,943 | ||||||||
25,943 | FNMA, Series 2001-51, Class GH, 5.50%, due 10/25/31 | 28,694 | ||||||||
11,599 | FNMA, Series 2002-19, Class PE, 6.00%, due 04/25/17 | 12,153 | ||||||||
43,505 | FNMA, Series 2002-63, Class NB, 5.50%, due 10/25/32 | 48,147 | ||||||||
60,860 | FNMA, Series 2003-14, Class AQ, 3.50%, due 03/25/33 | 62,800 | ||||||||
67,069 | FNMA, Series 2003-21, Class OA, 4.00%, due 03/25/33 | 71,307 | ||||||||
44,689 | FNMA, Series 2003-35, Class UN, 4.25%, due 05/25/33 | 48,177 | ||||||||
12,538 | FNMA, Series 2003-39, Class LD, 4.50%, due 10/25/22 | 12,642 | ||||||||
6,705 | FNMA, Series 2003-42, Class EP, 4.00%, due 11/25/22 | 6,758 | ||||||||
6,475 | FNMA, Series 2003-45, Class AB, 3.75%, due 05/25/33 | 6,582 | ||||||||
45,758 | FNMA, Series 2003-64, Class TH, 5.00%, due 07/25/23 | 50,182 | ||||||||
30,000 | FNMA, Series 2003-9, Class EB, 5.00%, due 02/25/18 | 32,126 | ||||||||
2,299 | FNMA, Series 2004-81, Class KD, 4.50%, due 07/25/18 | 2,299 | ||||||||
53,569 | FNMA, Series 2005-62, Class CQ, 4.75%, due 07/25/35 | 57,120 | ||||||||
26,203 | FNMA, Series 2007-59, Class AQ, 5.75%, due 07/25/35 | 27,270 |
See accompanying Notes to the Financial Statements. | 135 |
Mercer US Short Maturity Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — continued |
| |||||||||
69,122 | FNMA, Series 2013-83, Class CA, 3.50%, due 10/25/37 | 72,385 | ||||||||
52,758 | FNMA REMIC, Series 1998-37, Class VZ, 6.00%, due 06/17/28 | 58,580 | ||||||||
61,969 | FNMA REMIC, Series 2004-90, Class GA, 4.35%, due 03/25/34 | 63,384 | ||||||||
23,951 | FNMA REMIC, Series 2005-58, Class MA, 5.50%, due 07/25/35 | 26,391 | ||||||||
8,984 | GNMA, Series 2003-105, Class VH, 4.50%, due 01/16/28 | 9,004 | ||||||||
69,591 | GNMA, Series 2003-15, Class PE, 5.50%, due 02/20/33 | 78,563 | ||||||||
44,941 | GNMA, Series 2003-18, Class OA, 5.00%, due 10/20/31 | 48,961 | ||||||||
37,730 | GNMA, Series 2005-77, Class BA, 5.00%, due 11/20/32 | 38,293 | ||||||||
31,512 | GNMA, Series 2008-49, Class PG, 5.25%, due 11/20/37 | 32,848 | ||||||||
67,234 | GNMA, Series 2008-51, Class PG, 5.00%, due 06/20/38 | 72,750 | ||||||||
41,462 | GNMA REMIC, Series 2001-52, 6.00%, due 10/20/31 | 46,645 | ||||||||
56,535 | GNMA REMIC, Series 2004-047, 5.00%, due 08/16/33 | 58,230 | ||||||||
52,264 | GNMA REMIC, Series 2008-050, 5.50%, due 03/16/37 | 56,274 | ||||||||
|
| |||||||||
1,877,345 | ||||||||||
|
| |||||||||
U.S. Government and Agency Obligations — 55.0% | ||||||||||
117,000 | Federal Farm Credit Bank, 5.45%, due 12/11/13 | 118,227 | ||||||||
235,000 | Federal Home Loan Bank, 2.38%, due 03/14/14 | 237,463 | ||||||||
80,000 | Federal Home Loan Bank, 2.88%, due 09/11/15 | 83,721 | ||||||||
125,000 | Federal Home Loan Bank, 3.13%, due 03/11/16 | 132,722 | ||||||||
300,000 | Federal Home Loan Bank, 6.05%, due 05/12/14 | 310,862 | ||||||||
150,000 | FHLMC, 0.50%, due 10/15/13 | 150,026 | ||||||||
500,000 | FHLMC, 1.00%, due 08/20/14 | 503,756 | ||||||||
100,000 | FHLMC, 1.00%, due 03/08/17 | 100,395 | ||||||||
100,000 | FHLMC, 1.25%, due 05/12/17 | 100,771 | ||||||||
490,000 | FHLMC, 2.00%, due 08/25/16 | 508,085 | ||||||||
235,000 | FHLMC, 2.50%, due 05/27/16 | 246,440 | ||||||||
175,000 | FHLMC, 5.00%, due 01/30/14 | 177,860 | ||||||||
250,000 | FHLMC, 5.25%, due 04/18/16 | 279,823 | ||||||||
200,000 | FNMA, 0.38%, due 07/05/16 | 198,365 | ||||||||
50,000 | FNMA, 1.13%, due 10/08/13 | 50,010 | ||||||||
150,000 | FNMA, 1.38%, due 11/15/16 | 152,615 | ||||||||
100,000 | FNMA, 2.25%, due 03/15/16 | 104,070 | ||||||||
150,000 | FNMA, 4.88%, due 12/15/16 | 169,104 | ||||||||
300,000 | U.S. Treasury Note, 0.13%, due 12/31/13 | 300,070 | ||||||||
100,000 | U.S. Treasury Note, 0.25%, due 11/30/14 | 100,119 | ||||||||
225,000 | U.S. Treasury Note, 0.38%, due 11/15/15 | 225,044 | ||||||||
250,000 | U.S. Treasury Note, 0.50%, due 08/15/14 | 250,855 | ||||||||
150,000 | U.S. Treasury Note, 0.50%, due 10/15/14 | 150,583 | ||||||||
150,000 | U.S. Treasury Note, 0.63%, due 05/31/17 | 148,336 | ||||||||
220,000 | U.S. Treasury Note, 0.63%, due 08/31/17 | 216,605 | ||||||||
205,000 | U.S. Treasury Note, 0.63%, due 11/30/17 | 200,836 | ||||||||
300,000 | U.S. Treasury Note, 0.75%, due 06/15/14 | 301,406 | ||||||||
125,000 | U.S. Treasury Note, 1.00%, due 05/15/14 | 125,718 | ||||||||
145,000 | U.S. Treasury Note, 1.00%, due 08/31/16 | 146,558 | ||||||||
150,000 | U.S. Treasury Note, 1.00%, due 09/30/16 | 151,570 | ||||||||
40,000 | U.S. Treasury Note, 1.00%, due 10/31/16 | 40,375 | ||||||||
300,000 | U.S. Treasury Note, 1.00%, due 03/31/17 | 301,406 | ||||||||
300,000 | U.S. Treasury Note, 1.25%, due 04/15/14 | 301,910 |
136 | See accompanying Notes to the Financial Statements. |
Mercer US Short Maturity Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
U.S. Government and Agency Obligations — continued | ||||||||||
200,000 | U.S. Treasury Note, 1.25%, due 08/31/15 | 203,598 | ||||||||
450,000 | U.S. Treasury Note, 1.38%, due 11/30/15 | 459,685 | ||||||||
500,000 | U.S. Treasury Note, 1.50%, due 12/31/13 | 501,817 | ||||||||
320,000 | U.S. Treasury Note, 1.50%, due 06/30/16 | 328,200 | ||||||||
200,000 | U.S. Treasury Note, 1.50%, due 07/31/16 | 205,078 | ||||||||
80,000 | U.S. Treasury Note, 1.50%, due 08/31/18 | 80,541 | ||||||||
270,000 | U.S. Treasury Note, 1.75%, due 07/31/15 | 277,167 | ||||||||
100,000 | U.S. Treasury Note, 1.88%, due 02/28/14 | 100,760 | ||||||||
250,000 | U.S. Treasury Note, 1.88%, due 06/30/15 | 256,948 | ||||||||
150,000 | U.S. Treasury Note, 1.88%, due 10/31/17 | 154,711 | ||||||||
125,000 | U.S. Treasury Note, 2.00%, due 04/30/16 | 129,844 | ||||||||
350,000 | U.S. Treasury Note, 2.13%, due 11/30/14 | 358,046 | ||||||||
200,000 | U.S. Treasury Note, 2.13%, due 05/31/15 | 206,207 | ||||||||
200,000 | U.S. Treasury Note, 2.13%, due 12/31/15 | 207,773 | ||||||||
135,000 | U.S. Treasury Note, 2.13%, due 02/29/16 | 140,500 | ||||||||
200,000 | U.S. Treasury Note, 2.25%, due 01/31/15 | 205,508 | ||||||||
160,000 | U.S. Treasury Note, 2.38%, due 08/31/14 | 163,303 | ||||||||
190,000 | U.S. Treasury Note, 2.38%, due 03/31/16 | 199,055 | ||||||||
150,000 | U.S. Treasury Note, 2.38%, due 07/31/17 | 157,758 | ||||||||
340,000 | U.S. Treasury Note, 2.50%, due 04/30/15 | 352,139 | ||||||||
450,000 | U.S. Treasury Note, 2.63%, due 07/31/14 | 459,440 | ||||||||
200,000 | U.S. Treasury Note, 2.63%, due 04/30/16 | 210,953 | ||||||||
100,000 | U.S. Treasury Note, 2.75%, due 05/31/17 | 106,641 | ||||||||
180,000 | U.S. Treasury Note, 3.13%, due 10/31/16 | 193,359 | ||||||||
160,000 | U.S. Treasury Note, 3.25%, due 12/31/16 | 172,813 | ||||||||
200,000 | U.S. Treasury Note, 4.00%, due 02/15/15 | 210,414 | ||||||||
130,000 | U.S. Treasury Note, 4.25%, due 08/15/14 | 134,682 | ||||||||
150,000 | U.S. Treasury Note, 4.25%, due 08/15/15 | 161,054 | ||||||||
|
| |||||||||
12,923,700 | ||||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $22,808,509) | 22,858,248 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 2.3% | ||||||||||
Bank Deposit — 2.3% | ||||||||||
553,058 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/01/13 | 553,058 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $553,058) | 553,058 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.6% (Cost $23,361,567) | 23,411,306 | |||||||||
Other Assets and Liabilities (net) — 0.4% | 93,539 | |||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 23,504,845 | ||||||||
|
|
See accompanying Notes to the Financial Statements. | 137 |
Mercer US Short Maturity Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2013 (Unaudited)
Notes to Schedule of Investments: | ||||||
FHLMC — Federal Home Loan Mortgage Corporation | ||||||
FNMA — Federal National Mortgage Association | ||||||
GNMA — Government National Mortgage Association | ||||||
REIT — Real Estate Investment Trust | ||||||
REMIC — Real Estate Mortgage Investment Conduit | ||||||
¤ | Illiquid security. The total market value of the securities at period end is $1 which represents 0.0% of net assets. The aggregate tax cost of these securities held at September 30, 2013 was $77,673. | |||||
† | Floating rate note. Rate shown is as of September 30, 2013. | |||||
144A — Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The total market value of the securities at period end is $521,160 which represents 2.2% of net assets. |
138 | See accompanying Notes to the Financial Statements. |
Mercer US Short Maturity Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2013 (Unaudited)
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Debt Obligations | 97.3 | ||||
Short-Term Investments | 2.3 | ||||
Other Assets and Liabilities (net) | 0.4 | ||||
|
| ||||
100.0 | % | ||||
|
|
See accompanying Notes to the Financial Statements. | 139 |
Mercer Funds
Statements of Assets and Liabilities
September 30, 2013 (Unaudited)
Mercer US Large Cap Growth Equity Fund | Mercer US Large Cap Value Equity Fund | Mercer US Small/Mid Cap Growth Equity Fund | Mercer US Small/Mid Cap Value Equity Fund | |||||||||||||
Assets | ||||||||||||||||
Investments, at value(a) | $ | 382,089,233 | $ | 376,786,469 | $ | 431,006,048 | $ | 396,981,009 | ||||||||
Cash | — | — | 26 | 16,065 | ||||||||||||
Receivable for investments sold | 3,383,265 | 1,206,199 | 1,761,197 | 1,530,697 | ||||||||||||
Receivable for Fund shares sold | — | — | 751,085 | 284,932 | ||||||||||||
Dividend and interest receivable | 282,684 | 524,738 | 125,052 | 386,455 | ||||||||||||
Receivable for expenses reimbursed by Advisor | 17,660 | 19,248 | — | 4,215 | ||||||||||||
Foreign tax reclaims receivable | — | 13,773 | — | — | ||||||||||||
Securities lending income receivable | 1,091 | 2,816 | 9,781 | 8,818 | ||||||||||||
Prepaid expenses | 7,068 | 7,140 | 6,615 | 6,380 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 385,781,001 | 378,560,383 | 433,659,804 | 399,218,571 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
Payable for investments purchased | 768,037 | 838,516 | 847,176 | 1,208,199 | ||||||||||||
Payable for Fund shares repurchased | 1,605,998 | 1,373,222 | — | — | ||||||||||||
Unrealized depreciation on open forward foreign currency contracts | — | 22,825 | — | — | ||||||||||||
Obligation to return securities lending collateral | 5,634,917 | 2,518,052 | 30,930,277 | 14,523,900 | ||||||||||||
Payable to affiliate for: | ||||||||||||||||
Advisor fee | 172,735 | 166,245 | 302,152 | 285,113 | ||||||||||||
Trustees fees | 5,383 | 5,442 | 4,548 | 4,552 | ||||||||||||
Accrued expenses | 47,779 | 42,980 | 61,851 | 49,020 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 8,234,849 | 4,967,282 | 32,146,004 | 16,070,784 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 377,546,152 | $ | 373,593,101 | $ | 401,513,800 | $ | 383,147,787 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets consist of: | ||||||||||||||||
Paid-in capital | 216,027,469 | 321,687,129 | 277,039,173 | 265,072,461 | ||||||||||||
Accumulated undistributed (distributions in excess of) net investment income | 1,686,401 | 5,324,856 | (482,878 | ) | 1,905,776 | |||||||||||
Accumulated net realized gain (loss) | 69,663,765 | (30,227,614 | ) | 53,024,240 | 60,656,276 | |||||||||||
Net unrealized appreciation on investments and foreign currencies | 90,168,517 | 76,808,730 | 71,933,265 | 55,513,274 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 377,546,152 | $ | 373,593,101 | $ | 401,513,800 | $ | 383,147,787 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets attributable to: | ||||||||||||||||
Class Y-3 shares | $ | 377,546,152 | $ | 373,593,101 | $ | 401,513,800 | $ | 383,147,787 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding: | ||||||||||||||||
Class Y-3 | 24,749,138 | 33,211,693 | 29,842,873 | 31,709,055 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per share: | ||||||||||||||||
Class Y-3 | $ | 15.25 | $ | 11.25 | $ | 13.45 | $ | 12.08 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Investments, at cost | $ | 291,920,716 | $ | 299,954,914 | $ | 359,072,783 | $ | 341,467,735 | ||||||||
|
|
|
|
|
|
|
|
140 | See accompanying Notes to the Financial Statements. |
Mercer Funds
Statements of Assets and Liabilities (Continued)
September 30, 2013 (Unaudited)
Mercer Non-US Core Equity Fund | Mercer Core Fixed Income Fund (formerly known as Mercer Core Opportunistic Fixed Income Fund) | Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | |||||||||||||||||
Assets | ||||||||||||||||||||
Investments, at value(a) | $ | 1,927,645,074 | $ | 1,259,219,559 | $ | 83,910,102 | $ | 601,932,664 | ||||||||||||
Foreign currency, at value(b) | 3,621,569 | 282,461 | 758,115 | 6,736,764 | ||||||||||||||||
Cash | — | 4,481,660 | — | — | ||||||||||||||||
Receivable for investments sold | 16,537,821 | 10,092,182 | 212,158 | 28,744,570 | ||||||||||||||||
Receivable for TBA securities sold | — | 139,669,144 | — | — | ||||||||||||||||
Receivable for Fund shares sold | — | 3,627,348 | — | 10,603,629 | ||||||||||||||||
Dividend and interest receivable | 5,337,356 | 6,376,633 | 1,441,225 | 1,391,273 | ||||||||||||||||
Due from broker | — | 320,234 | — | — | ||||||||||||||||
Cash collateral held at broker on open swap contracts | — | 533,000 | — | 7,240,000 | ||||||||||||||||
Unrealized appreciation on open forward foreign currency contracts | — | 16,243 | 442,457 | 2,548,578 | ||||||||||||||||
Cash collateral held at broker on open future contracts | — | 29,000 | — | 3,023,668 | ||||||||||||||||
Receivable for variation margin on open futures contracts | — | 51,846 | — | — | ||||||||||||||||
Receivable for expenses reimbursed by Advisor | — | 45,920 | 17,870 | 23,927 | ||||||||||||||||
Swap contracts, at value (up-front net premiums paid of $—, $136,392, $— and $—, respectively) | — | 535,893 | — | — | ||||||||||||||||
Synthetic futures, at value | — | — | — | 339,773 | ||||||||||||||||
Foreign tax reclaims receivable | 959,389 | 2,240 | 16,342 | 3,244 | ||||||||||||||||
Securities lending income receivable | 32,825 | 2,733 | — | 3,543 | ||||||||||||||||
Prepaid expenses | 30,311 | 18,192 | 23,151 | 8,072 | ||||||||||||||||
Unrealized gain on unfunded loan commitments | — | 2,750 | — | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total assets | 1,954,164,345 | 1,425,307,038 | 86,821,420 | 662,599,705 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Liabilities | ||||||||||||||||||||
Payable for investments purchased | 20,263,147 | 13,421,524 | 487,724 | 32,087,607 | ||||||||||||||||
Payable for TBA and when-issued securities purchased | — | 338,735,011 | — | — | ||||||||||||||||
Payable for variation margin on open futures contracts | — | — | — | 32,828 | ||||||||||||||||
Payable for Fund shares repurchased | 5,485,309 | — | — | — | ||||||||||||||||
Due to custodian | — | — | — | 1,637,683 | ||||||||||||||||
Swap contracts, at value (up-front net premiums received of $—, $19,986, $— and $—, respectively) | — | 396,750 | — | — | ||||||||||||||||
Synthetic futures, at value | — | — | — | 121,220 | ||||||||||||||||
Payable for variation margin on open swap contracts | — | 27,079 | — | — | ||||||||||||||||
Unrealized depreciation on open forward foreign currency contracts | — | 308,146 | 470,047 | 2,575,254 | ||||||||||||||||
Cash collateral on TBA due to broker | — | 1,955,000 | — | — | ||||||||||||||||
Cash collateral on open swap contracts due to broker | — | 135,000 | — | — | ||||||||||||||||
Obligation to return securities lending collateral | 49,103,414 | 3,567,273 | — | 10,730,470 | ||||||||||||||||
Payable to affiliate for: | ||||||||||||||||||||
Advisor fee | 1,145,795 | 294,435 | 55,713 | 396,405 | ||||||||||||||||
Trustees fees | 23,628 | 13,051 | 434 | 3,956 | ||||||||||||||||
Written options, at value(c) | — | 838,282 | — | — | ||||||||||||||||
TBA Sale Commitments(d) | — | 4,221,875 | — | — | ||||||||||||||||
Accrued expenses | 571,247 | 154,115 | 16,947 | 886,854 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total liabilities | 76,592,540 | 364,067,541 | 1,030,865 | 48,472,277 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | $ | 1,877,571,805 | $ | 1,061,239,497 | $ | 85,790,555 | $ | 614,127,428 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements. | 141 |
Mercer Funds
Statements of Assets and Liabilities (Continued)
September 30, 2013 (Unaudited)
Mercer Non-US Core Equity Fund | Mercer Core Fixed Income Fund (formerly known as Mercer Core Opportunistic Fixed Income Fund) | Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | |||||||||||||||||
Net assets consist of: | ||||||||||||||||||||
Paid-in capital | $ | 1,512,166,229 | $ | 1,027,271,383 | $ | 83,277,155 | $ | 602,958,197 | ||||||||||||
Accumulated undistributed net investment income | 36,868,065 | 19,483,045 | 377,023 | 8,508,817 | ||||||||||||||||
Accumulated net realized gain (loss) | 39,865,042 | (892,518 | ) | 450,702 | (3,765,704 | ) | ||||||||||||||
Net unrealized appreciation on investments, unfunded loan commitments, futures contracts, options written, short sales, swap contracts and foreign currencies | 288,672,469 | 15,377,587 | 1,685,675 | 6,426,118 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | $ | 1,877,571,805 | $ | 1,061,239,497 | $ | 85,790,555 | $ | 614,127,428 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets attributable to: | ||||||||||||||||||||
Class Y-3 shares | $ | 1,877,571,805 | $ | 1,061,239,497 | $ | 85,790,555 | $ | 614,127,428 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding: | ||||||||||||||||||||
Class Y-3 | 158,366,759 | 101,208,597 | 8,328,322 | 60,243,301 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net asset value per share: | ||||||||||||||||||||
Class Y-3 | $ | 11.86 | $ | 10.49 | $ | 10.30 | $ | 10.19 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(a) Investments, at cost | $ | 1,638,793,385 | $ | 1,244,270,222 | $ | 82,200,470 | $ | 595,184,844 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(b) Foreign currency, at cost | $ | 3,632,105 | $ | 266,921 | $ | 752,792 | $ | 6,812,150 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(c) Premiums on written options | $ | — | $ | 704,038 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(d) Proceeds for TBA Sale Commitments | $ | — | $ | 4,161,250 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
142 | See accompanying Notes to the Financial Statements. |
Mercer Funds
Statements of Assets and Liabilities (Continued)
September 30, 2013 (Unaudited)
Mercer Global Low Volatility Equity Fund | Mercer US Short Maturity Fixed Income Fund | |||||||||
Assets | ||||||||||
Investments, at value(a) | $ | 691,325,491 | $ | 23,411,306 | ||||||
Foreign currency, at value(b) | 1,258,056 | — | ||||||||
Receivable for investments sold | 185,936 | — | ||||||||
Receivable for Fund shares sold | 11,973,790 | — | ||||||||
Dividend and interest receivable | 999,899 | 117,065 | ||||||||
Unrealized appreciation on open forward foreign currency contracts | 68,123 | — | ||||||||
Receivable for expenses reimbursed by Advisor | — | 9,867 | ||||||||
Foreign tax reclaims receivable | 224,043 | 11 | ||||||||
Securities lending income receivable | 16,646 | — | ||||||||
Prepaid expenses | 8,472 | 439 | ||||||||
|
|
|
| |||||||
Total assets | 706,060,456 | 23,538,688 | ||||||||
|
|
|
| |||||||
Liabilities | ||||||||||
Payable for investments purchased | 1,293,847 | — | ||||||||
Unrealized depreciation on open forward foreign currency contracts | 346,132 | — | ||||||||
Obligation to return securities lending collateral | 31,839,105 | — | ||||||||
Payable to affiliate for: | ||||||||||
Advisor fee | 406,967 | 4,818 | ||||||||
Trustees fees | 3,750 | 482 | ||||||||
Accrued expenses | 103,735 | 28,543 | ||||||||
|
|
|
| |||||||
Total liabilities | 33,993,536 | 33,843 | ||||||||
|
|
|
| |||||||
Net assets | $ | 672,066,920 | $ | 23,504,845 | ||||||
|
|
|
| |||||||
Net assets consist of: | ||||||||||
Paid-in capital | �� | 613,265,612 | 27,644,757 | |||||||
Accumulated undistributed net investment income | 5,838,750 | 281,687 | ||||||||
Accumulated net realized gain (loss) | 17,402,191 | (4,471,338 | ) | |||||||
Net unrealized appreciation on investments and foreign currencies | 35,560,367 | 49,739 | ||||||||
|
|
|
| |||||||
Net assets | $ | 672,066,920 | $ | 23,504,845 | ||||||
|
|
|
| |||||||
Net assets attributable to: | ||||||||||
Class Y-3 shares | $ | 672,066,920 | $ | 23,504,845 | ||||||
|
|
|
| |||||||
Shares outstanding: | ||||||||||
Class Y-3 | 57,164,499 | 2,461,479 | ||||||||
|
|
|
| |||||||
Net asset value per share: | ||||||||||
Class Y-3 | $ | 11.76 | $ | 9.55 | ||||||
|
|
|
| |||||||
(a) Investments, at cost | $ | 655,511,550 | $ | 23,361,567 | ||||||
|
|
|
| |||||||
(b) Foreign currency, at cost | $ | 1,242,027 | $ | — | ||||||
|
|
|
|
See accompanying Notes to the Financial Statements. | 143 |
Mercer Funds
For the Six Months Ended September 30, 2013 (Unaudited)
Mercer US Large Cap Growth Equity Fund | Mercer US Large Cap Value Equity Fund | Mercer US Small/Mid Cap Growth Equity Fund | Mercer US Small/Mid Cap Value Equity Fund | |||||||||||||||||
Investment Income: | ||||||||||||||||||||
Interest | $ | 391 | $ | 205 | $ | 462 | $ | 399 | ||||||||||||
Dividends | 2,368,783 | 4,924,277 | 1,798,188 | 3,092,423 | ||||||||||||||||
Securities lending income | 29,947 | 48,856 | 134,631 | 42,984 | ||||||||||||||||
Withholding taxes | (33,066 | ) | (64,753 | ) | (11,288 | ) | (19,418 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total investment income | 2,366,055 | 4,908,585 | 1,921,993 | 3,116,388 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Expenses: | ||||||||||||||||||||
Advisory fees | 1,201,285 | 1,175,148 | 1,867,031 | 1,799,583 | ||||||||||||||||
Transfer agent fees | 11,856 | 11,859 | 11,880 | 11,880 | ||||||||||||||||
Custodian and fund accounting fees | 70,463 | 74,594 | 85,022 | 90,248 | ||||||||||||||||
Audit fees | 24,143 | 24,466 | 24,351 | 25,026 | ||||||||||||||||
Legal fees | 13,197 | 13,567 | 12,586 | 13,463 | ||||||||||||||||
Trustees fees | 9,589 | 9,852 | 9,124 | 9,021 | ||||||||||||||||
Registration fees | 11,426 | 11,424 | 11,420 | 11,421 | ||||||||||||||||
Miscellaneous | 17,090 | 17,543 | 16,066 | 15,754 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total expenses | 1,359,049 | 1,338,453 | 2,037,480 | 1,976,396 | ||||||||||||||||
Fee reductions | (11,011 | ) | (11,020 | ) | (11,155 | ) | (11,130 | ) | ||||||||||||
Reimbursement of expenses | (103,070 | ) | (107,940 | ) | (14,081 | ) | (25,715 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net expenses | 1,244,968 | 1,219,493 | 2,012,244 | 1,939,551 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net investment income (loss) | 1,121,087 | 3,689,092 | (90,251 | ) | 1,176,837 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Realized and Unrealized Gain (Loss): | ||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||
Investments | 51,575,735 | 61,384,563 | 48,259,458 | 35,478,943 | ||||||||||||||||
In-kind redemptions | — | — | — | 7,168,911 | ||||||||||||||||
Closed futures contracts | — | — | — | 141,010 | ||||||||||||||||
Forward foreign currency contracts and foreign currency related transactions | — | 109,985 | — | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized gain | 51,575,735 | 61,494,548 | 48,259,458 | 42,788,864 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||||||
Investments | (3,566,363 | ) | (9,849,841 | ) | 523,303 | (8,802,506 | ) | |||||||||||||
Forward foreign currency contracts and foreign currency related translations | — | (11,402 | ) | — | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Change in net unrealized appreciation (depreciation) | (3,566,363 | ) | (9,861,243 | ) | 523,303 | (8,802,506 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized and unrealized gain | 48,009,372 | 51,633,305 | 48,782,761 | 33,986,358 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets resulting from operations | $ | 49,130,459 | $ | 55,322,397 | $ | 48,692,510 | $ | 35,163,195 | ||||||||||||
|
|
|
|
|
|
|
|
144 | See accompanying Notes to the Financial Statements. |
Mercer Funds
Statements of Operations (Continued)
For the Six Months Ended September 30, 2013 (Unaudited)
Mercer Non-US Core Equity Fund | Mercer Core Fixed Income Fund (formerly known as Mercer Core Opportunistic Fixed Income Fund) | Mercer Opportunistic Fixed Income Fund(a) | Mercer Emerging Markets Equity Fund | |||||||||||||||||
Investment Income: | ||||||||||||||||||||
Interest | $ | 2,643 | $ | 14,483,651 | $ | 469,422 | $ | 2,015 | ||||||||||||
Dividends | 38,807,267 | 111,093 | — | 12,423,879 | ||||||||||||||||
Securities lending income | 1,179,998 | 28,001 | — | 22,339 | ||||||||||||||||
Withholding taxes | (3,409,611 | ) | (5,193 | ) | (10,708 | ) | (1,198,059 | ) | ||||||||||||
Other income | — | 100 | — | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total investment income | 36,580,297 | 14,617,652 | 458,714 | 11,250,174 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Expenses: | ||||||||||||||||||||
Advisory fees | 7,163,993 | 1,875,051 | 72,614 | 2,197,898 | ||||||||||||||||
Transfer agent fees | 14,723 | 13,140 | 2,530 | 12,007 | ||||||||||||||||
Custodian and fund accounting fees | 803,373 | 262,460 | 14,553 | 492,359 | ||||||||||||||||
Audit fees | 97,779 | 42,057 | 11,706 | 34,541 | ||||||||||||||||
Legal fees | 60,152 | 32,086 | 645 | 10,534 | ||||||||||||||||
Trustees fees | 43,988 | 23,150 | 434 | 11,271 | ||||||||||||||||
Registration fees | 12,126 | 11,424 | 5,162 | 11,881 | ||||||||||||||||
Interest expense | — | — | — | 2,973 | ||||||||||||||||
Miscellaneous | 80,202 | 41,983 | 576 | 28,879 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total expenses | 8,276,336 | 2,301,351 | 108,220 | 2,802,343 | ||||||||||||||||
Fee reductions | (11,189 | ) | (11,120 | ) | (2,530 | ) | (11,119 | ) | ||||||||||||
Reimbursement of expenses | — | (272,023 | ) | (23,999 | ) | (168,686 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net expenses | 8,265,147 | 2,018,208 | 81,691 | 2,622,538 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net investment income | 28,315,150 | 12,599,444 | 377,023 | 8,627,636 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Realized and Unrealized Gain (Loss): | ||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||
Investments | 114,458,895 | (5,253,856 | ) | 274,657 | (8,019,714 | ) | ||||||||||||||
Swap contracts | — | (830,436 | ) | (15,540 | ) | — | ||||||||||||||
In-kind redemptions | 35,106,895 | — | — | — | ||||||||||||||||
Closed futures contracts | — | 978,620 | — | 639,507 | ||||||||||||||||
Written option contracts | — | 336,921 | — | — | ||||||||||||||||
Forward foreign currency contracts and foreign currency related transactions | (524,594 | ) | (396,197 | ) | 191,585 | 3,577,048 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized gain (loss) | 149,041,196 | (5,164,948 | ) | 450,702 | (3,803,159 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||||||
Investments | 52,272,967 | (29,228,267 | ) | 1,709,632 | (17,799,707 | ) | ||||||||||||||
Unfunded loan commitments | — | 25 | — | — | ||||||||||||||||
TBA Sale Commitments | — | (44,219 | ) | — | — | |||||||||||||||
Swap contracts | — | (437,246 | ) | — | — | |||||||||||||||
Open futures contracts | — | 1,480,992 | — | 564,273 | ||||||||||||||||
Written option contracts | — | (174,326 | ) | — | — | |||||||||||||||
Forward foreign currency contracts and foreign currency related translations | 394,412 | 18,185 | (23,957 | ) | (119,811 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Change in net unrealized appreciation (depreciation) | 52,667,379 | (28,384,856 | ) | 1,685,675 | (17,355,245 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized and unrealized gain (loss) | 201,708,575 | (33,549,804 | ) | 2,136,377 | (21,158,404 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 230,023,725 | $ | (20,950,360 | ) | $ | 2,513,400 | $ | (12,530,768 | ) | ||||||||||
|
|
|
|
|
|
|
|
(a) | The Fund commenced operations on August 21, 2013. |
See accompanying Notes to the Financial Statements. | 145 |
Mercer Funds
Statements of Operations (Continued)
September 30, 2013 (Unaudited)
Mercer Global Low Volatility Equity Fund | Mercer US Short Maturity Fixed Income Fund | |||||||||
Investment Income: | ||||||||||
Interest | $ | 2,730 | $ | 242,359 | ||||||
Dividends | 7,176,528 | — | ||||||||
Securities lending income | 29,088 | 107 | ||||||||
Withholding taxes | (375,454 | ) | — | |||||||
|
|
|
| |||||||
Total investment income | 6,832,892 | 242,466 | ||||||||
|
|
|
| |||||||
Expenses: | ||||||||||
Advisory fees | 2,141,652 | 39,286 | ||||||||
Transfer agent fees | 10,923 | 10,789 | ||||||||
Custodian and fund accounting fees | 163,745 | 31,294 | ||||||||
Audit fees | 29,606 | 25,571 | ||||||||
Legal fees | 11,275 | 1,135 | ||||||||
Trustees fees | 8,531 | 835 | ||||||||
Registration fees | 40,273 | 10,411 | ||||||||
Miscellaneous | 17,207 | 1,704 | ||||||||
|
|
|
| |||||||
Total expenses | 2,423,212 | 121,025 | ||||||||
Fee reductions | (10,923 | ) | (10,706 | ) | ||||||
Reimbursement of expenses | — | (60,033 | ) | |||||||
|
|
|
| |||||||
Net expenses | 2,412,289 | 50,286 | ||||||||
|
|
|
| |||||||
Net investment income | 4,420,603 | 192,180 | ||||||||
|
|
|
| |||||||
Realized and Unrealized Gain (Loss): | ||||||||||
Net realized gain (loss) on: | ||||||||||
Investments | 14,827,147 | (25,136 | ) | |||||||
Forward foreign currency contracts and foreign currency related transactions | 685,862 | — | ||||||||
|
|
|
| |||||||
Net realized gain (loss) | 15,513,009 | (25,136 | ) | |||||||
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||
Investments | 11,653,480 | (241,992 | ) | |||||||
Forward foreign currency contracts and foreign currency related translations | (812,236 | ) | — | |||||||
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) | 10,841,244 | (241,992 | ) | |||||||
|
|
|
| |||||||
Net realized and unrealized gain (loss) | 26,354,253 | (267,128 | ) | |||||||
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | 30,774,856 | $ | (74,948 | ) | |||||
|
|
|
|
146 | See accompanying Notes to the Financial Statements. |
Mercer Funds
Statements of Changes in Net Assets
Mercer US Large Cap Growth Equity Fund | Mercer US Large Cap Value Equity Fund | |||||||||||||||||||
Six Months Ended September 30, 2013 (Unaudited) | Year Ended March 31, 2013 | Six Months Ended September 30, 2013 (Unaudited) | Year Ended March 31, 2013 | |||||||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income | $ | 1,121,087 | $ | 2,674,597 | $ | 3,689,092 | $ | 9,196,651 | ||||||||||||
Net realized gain | 51,575,735 | 42,369,258 | 61,494,548 | 40,763,308 | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | (3,566,363 | ) | (18,880,192 | ) | (9,861,243 | ) | 20,601,558 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets from operations | 49,130,459 | 26,163,663 | 55,322,397 | 70,561,517 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||
Net investment income | ||||||||||||||||||||
Class Y-3 | — | (2,623,579 | ) | — | (9,197,559 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net investment income | — | (2,623,579 | ) | — | (9,197,559 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized gains | ||||||||||||||||||||
Class Y-3 | — | (12,798,740 | ) | — | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net realized gains | — | (12,798,740 | ) | — | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net share transactions: | ||||||||||||||||||||
Class Y-3 | (137,371,648 | ) | (10,594,802 | ) | (157,626,911 | ) | (45,465,052 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Decrease in net assets resulting from net shares transactions | (137,371,648 | ) | (10,594,802 | ) | (157,626,911 | ) | (45,465,052 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | (88,241,189 | ) | 146,542 | (102,304,514 | ) | 15,898,906 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets: | ||||||||||||||||||||
Beginning of period | 465,787,341 | 465,640,799 | 475,897,615 | 459,998,709 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 377,546,152 | $ | 465,787,341 | $ | 373,593,101 | $ | 475,897,615 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Undistributed net investment income included in net assets at end of period | $ | 1,686,401 | $ | 565,314 | $ | 5,324,856 | $ | 1,635,764 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements. | 147 |
Mercer Funds
Statements of Changes in Net Assets (Continued)
Mercer US Small/Mid Cap Growth Equity Fund | Mercer US Small/Mid Cap Value Equity Fund | |||||||||||||||||||
Six Months Ended September 30, 2013 (Unaudited) | Year Ended March 31, 2013 | Six Months Ended September 30, 2013 (Unaudited) | Year Ended March 31, 2013 | |||||||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income (loss) | $ | (90,251 | ) | $ | (166,599 | ) | $ | 1,176,837 | $ | 4,330,538 | ||||||||||
Net realized gain (loss) | 48,259,458 | 17,825,972 | 42,788,864 | 26,146,088 | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | 523,303 | 32,129,046 | (8,802,506 | ) | 32,460,899 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets from operations | 48,692,510 | 49,788,419 | 35,163,195 | 62,937,525 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||
Net investment income | ||||||||||||||||||||
Class Y-3 | — | (303,053 | ) | — | (3,935,894 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net investment income | — | (303,053 | ) | — | (3,935,894 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized gains | ||||||||||||||||||||
Class Y-3 | — | (31,036,701 | ) | — | (13,297,320 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net realized gains | — | (31,036,701 | ) | — | (13,297,320 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net share transactions: | ||||||||||||||||||||
Class Y-3 | (89,259,004 | ) | 123,455,822 | (81,427,058 | ) | 91,316,151 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets resulting from net shares transactions | (89,259,004 | ) | 123,455,822 | (81,427,058 | ) | 91,316,151 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | (40,566,494 | ) | 141,904,487 | (46,263,863 | ) | 137,020,462 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets: | ||||||||||||||||||||
Beginning of period | 442,080,294 | 300,175,807 | 429,411,650 | 292,391,188 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 401,513,800 | $ | 442,080,294 | $ | 383,147,787 | $ | 429,411,650 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Undistributed (distributions in excess of) net investment income (loss) included in net assets at end of period | $ | (482,878 | ) | $ | (392,627 | ) | $ | 1,905,776 | $ | 728,939 | ||||||||||
|
|
|
|
|
|
|
|
148 | See accompanying Notes to the Financial Statements. |
Mercer Funds
Statements of Changes in Net Assets (Continued)
Mercer Non-US Core Equity Fund | Mercer Core Fixed Income Fund (formerly known as Mercer Core Opportunistic Fixed Income Fund) | |||||||||||||||||||
Six Months Ended September 30, 2013 (Unaudited) | Year Ended March 31, 2013 | Six Months Ended September 30, 2013 (Unaudited) | Year Ended March 31, 2013 | |||||||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income (loss) | $ | 28,315,150 | $ | 41,544,097 | $ | 12,599,444 | $ | 27,293,670 | ||||||||||||
Net realized gain (loss) | 149,041,196 | 65,792,476 | (5,164,948 | ) | 17,070,317 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | 52,667,379 | 124,651,565 | (28,384,856 | ) | 19,060,319 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets from operations | 230,023,725 | 231,988,138 | (20,950,360 | ) | 63,424,306 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||
Net investment income | ||||||||||||||||||||
Class Y-3 | — | (49,488,095 | ) | — | (30,940,168 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net investment income | — | (49,488,095 | ) | — | (30,940,168 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized gains | ||||||||||||||||||||
Class Y-3 | — | — | — | (23,150,024 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net realized gains | — | — | — | (23,150,024 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net share transactions: | ||||||||||||||||||||
Class Y-3 | (491,381,747 | ) | 63,645,562 | (11,062,965 | ) | 58,295,119 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets resulting from net shares transactions | (491,381,747 | ) | 63,645,562 | (11,062,965 | ) | 58,295,119 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | (261,358,022 | ) | 246,145,605 | (32,013,325 | ) | 67,629,233 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets: | ||||||||||||||||||||
Beginning of period | 2,138,929,827 | 1,892,784,222 | 1,093,252,822 | 1,025,623,589 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 1,877,571,805 | $ | 2,138,929,827 | $ | 1,061,239,497 | $ | 1,093,252,822 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Undistributed net investment income included in net assets at end of period | $ | 36,868,065 | $ | 8,552,915 | $ | 19,483,045 | $ | 6,883,601 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements. | 149 |
Mercer Funds
Statements of Changes in Net Assets (Continued)
Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | ||||||||||||||
Period Ended September 30, 2013 (Unaudited)(b) | Six Months Ended September 30, 2013 (Unaudited) | Period Ended March 31, 2013(a) | |||||||||||||
Increase (decrease) in net assets: | |||||||||||||||
Operations: | |||||||||||||||
Net investment income (loss) | $ | 377,023 | $ | 8,627,636 | $ | 2,924,172 | |||||||||
Net realized gain (loss) | 450,702 | (3,803,159 | ) | 229,882 | |||||||||||
Change in net unrealized appreciation (depreciation) | 1,685,675 | (17,355,245 | ) | 23,781,363 | |||||||||||
|
|
|
|
|
| ||||||||||
Net increase (decrease) in net assets from operations | 2,513,400 | (12,530,768 | ) | 26,935,417 | |||||||||||
|
|
|
|
|
| ||||||||||
Distributions to shareholders from: | |||||||||||||||
Net investment income | |||||||||||||||
Class Y-3 | — | — | (2,704,695 | ) | |||||||||||
|
|
|
|
|
| ||||||||||
Total distributions from net investment income | — | — | (2,704,695 | ) | |||||||||||
|
|
|
|
|
| ||||||||||
Net realized gains | |||||||||||||||
Class Y-3 | — | — | (530,723 | ) | |||||||||||
|
|
|
|
|
| ||||||||||
Total distributions from net realized gains | — | — | (530,723 | ) | |||||||||||
|
|
|
|
|
| ||||||||||
Net share transactions: | |||||||||||||||
Class Y-3 | 83,277,155 | 109,573,667 | 493,384,530 | ||||||||||||
|
|
|
|
|
| ||||||||||
Increase in net assets resulting from net shares transactions | 83,277,155 | 109,573,667 | 493,384,530 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net increase in net assets | 85,790,555 | 97,042,899 | 517,084,529 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net assets: | |||||||||||||||
Beginning of period | — | 517,084,529 | — | ||||||||||||
|
|
|
|
|
| ||||||||||
End of period | $ | 85,790,555 | $ | 614,127,428 | $ | 517,084,529 | |||||||||
|
|
|
|
|
| ||||||||||
Undistributed (distributions in excess of) net investment income included in net assets at end of period | $ | 377,023 | $ | 8,508,817 | $ | (118,819 | ) | ||||||||
|
|
|
|
|
|
(a) | The Fund commenced operations on May 1, 2012. |
(b) | The Fund commenced operations on August 21, 2013. |
150 | See accompanying Notes to the Financial Statements. |
Mercer Funds
Statements of Changes in Net Assets (Continued)
Mercer Global Low Volatility Equity Fund | Mercer US Short Maturity Fixed Income Fund | |||||||||||||||||||
Six Months Ended September 30, 2013 (Unaudited) | Period Ended March 31, 2013(a) | Six Months Ended September 30, 2013 (Unaudited) | Year Ended March 31, 2013 | |||||||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income (loss) | $ | 4,420,603 | $ | 1,567,709 | $ | 192,180 | $ | 508,690 | ||||||||||||
Net realized gain (loss) | 15,513,009 | 2,224,879 | (25,136 | ) | 13,089 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | 10,841,244 | 24,719,123 | (241,992 | ) | (9,941 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets from operations | 30,774,856 | 28,511,711 | (74,948 | ) | 511,838 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||
Net investment income | ||||||||||||||||||||
Class Y-3 | — | (485,259 | ) | — | (545,067 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net investment income | — | (485,259 | ) | — | (545,067 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net share transactions: | ||||||||||||||||||||
Class Y-3 | 340,061,926 | 273,203,686 | (23,519,930 | ) | 2,966,879 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets resulting from net shares transactions | 340,061,926 | 273,203,686 | (23,519,930 | ) | 2,966,879 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | 370,836,782 | 301,230,138 | (23,594,878 | ) | 2,933,650 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets: | ||||||||||||||||||||
Beginning of period | 301,230,138 | — | 47,099,723 | 44,166,073 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 672,066,920 | $ | 301,230,138 | $ | 23,504,845 | $ | 47,099,723 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Undistributed net investment income included in net assets at end of period | $ | 5,838,750 | $ | 1,418,147 | $ | 281,687 | $ | 89,507 | ||||||||||||
|
|
|
|
|
|
|
|
(a) | The Fund commenced operations on November 6, 2012. |
See accompanying Notes to the Financial Statements. | 151 |
Mercer US Large Cap Growth Equity Fund
Period Ended 09/30/13 (Unaudited) | Year Ended 03/31/13 | Year Ended 03/31/12 | Year Ended 03/31/11 | Year Ended 03/31/10 | Year Ended 03/31/09 | |||||||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout each Period: | ||||||||||||||||||||||||||||||
Net asset value at beginning of period | $ | 13.56 | $ | 13.27 | $ | 12.19 | $ | 10.08 | $ | 6.85 | $ | 10.20 | ||||||||||||||||||
Net investment income† | 0.04 | 0.08 | 0.04 | 0.03 | 0.05 | 0.04 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.65 | 0.68 | 1.06 | 2.12 | 3.23 | (3.37 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 1.69 | 0.76 | 1.10 | 2.15 | 3.28 | (3.33 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions: | ||||||||||||||||||||||||||||||
From net investment income | — | (0.08 | ) | (0.02 | ) | (0.04 | ) | (0.05 | ) | (0.02 | ) | |||||||||||||||||||
From net realized gain on investments | — | (0.39 | ) | — | — | — | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (0.47 | ) | (0.02 | ) | (0.04 | ) | (0.05 | ) | (0.02 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value at end of period | $ | 15.25 | $ | 13.56 | $ | 13.27 | $ | 12.19 | $ | 10.08 | $ | 6.85 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total investment return(a) | 12.46 | %** | 6.03 | % | 9.08 | % | 21.38 | % | 47.85 | % | (32.62 | )% | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net investment income to average net assets | 0.51 | %* | 0.61 | % | 0.33 | % | 0.27 | % | 0.54 | % | 0.43 | % | ||||||||||||||||||
Net expenses to average daily net assets | 0.57 | %* | 0.57 | % | 0.57 | % | 0.57 | % | 0.57 | % | 0.57 | % | ||||||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.62 | %* | 0.63 | % | 0.63 | % | 0.64 | % | 0.66 | % | 0.65 | % | ||||||||||||||||||
Portfolio turnover rate | 27 | %** | 65 | % | 64 | % | 106 | %(b) | 102 | % | 93 | % | ||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 377,546 | $ | 465,787 | $ | 465,641 | $ | 427,840 | $ | 359,792 | $ | 277,740 |
(a) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(b) | Portfolio turnover calculation does not include $23,568,413 of in-kind contributions. |
† | Computed using average shares outstanding throughout the period. |
* | Annualized |
** | Not annualized |
152 | See accompanying Notes to the Financial Statements. |
Mercer US Large Cap Value Equity Fund
Financial Highlights (Continued)
Period Ended 09/30/13 (Unaudited) | Year Ended 03/31/13 | Year Ended 03/31/12 | Year Ended 03/31/11 | Year Ended 03/31/10 | Year Ended 03/31/09 | |||||||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout each Period: | ||||||||||||||||||||||||||||||
Net asset value at beginning of period | $ | 9.95 | $ | 8.71 | $ | 8.25 | $ | 7.52 | $ | 5.18 | $ | 9.39 | ||||||||||||||||||
Net investment income† | 0.09 | 0.18 | 0.16 | 0.11 | 0.11 | 0.19 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.21 | 1.26 | 0.45 | 0.72 | 2.37 | (4.23 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 1.30 | 1.44 | 0.61 | 0.83 | 2.48 | (4.04 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions: | ||||||||||||||||||||||||||||||
From net investment income | — | (0.20 | ) | (0.15 | ) | (0.10 | ) | (0.14 | ) | (0.17 | ) | |||||||||||||||||||
From net realized gain on investments | — | — | — | — | — | (0.00 | )(a) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (0.20 | ) | (0.15 | ) | (0.10 | ) | (0.14 | ) | (0.17 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value at end of period | $ | 11.25 | $ | 9.95 | $ | 8.71 | $ | 8.25 | $ | 7.52 | $ | 5.18 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total investment return(b) | 13.07 | %** | 16.71 | % | 7.69 | % | 11.07 | % | 47.96 | % | (43.31 | )% | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net investment income to average net assets | 1.66 | %* | 2.07 | % | 2.03 | % | 1.52 | % | 1.69 | % | 2.57 | % | ||||||||||||||||||
Net expenses to average daily net assets | 0.55 | %*(c) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.60 | %*(c) | 0.60 | % | 0.62 | % | 0.63 | % | 0.64 | % | 0.64 | % | ||||||||||||||||||
Portfolio turnover rate | 22 | %** | 59 | % | 109 | % | 117 | %(d) | 128 | % | 238 | % | ||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 373,593 | $ | 475,898 | $ | 459,999 | $ | 420,518 | $ | 357,787 | $ | 255,400 |
(a) | Amount rounds to less than $0.01 per share. |
(b) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(c) | The Fund invests in Underlying Funds and consequently bears its proportionate share of operating expenses of the Underlying Funds. This ratio does not include the expenses of the Underlying Funds. |
(d) | Portfolio turnover calculation does not include $21,956,759 of in-kind contributions. |
† | Computed using average shares outstanding throughout the period. |
* | Annualized |
** | Not annualized |
See accompanying Notes to the Financial Statements. | 153 |
Mercer US Small/Mid Cap Growth Equity Fund
Financial Highlights (Continued)
Period Ended 09/30/13 (Unaudited) | Year Ended 03/31/13 | Year Ended 03/31/12 | Year Ended 03/31/11 | Year Ended 03/31/10 | Year Ended 03/31/09 | |||||||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout each Period: | ||||||||||||||||||||||||||||||
Net asset value at beginning of period | $ | 11.94 | $ | 11.62 | $ | 12.49 | $ | 9.75 | $ | 6.19 | $ | 9.84 | ||||||||||||||||||
Net investment loss† | (0.00 | )(a) | (0.01 | ) | (0.04 | ) | (0.03 | ) | (0.04 | ) | (0.03 | ) | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.51 | 1.31 | 0.27 | 2.77 | 3.60 | (3.55 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 1.51 | 1.30 | 0.23 | 2.74 | 3.56 | (3.58 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions: | ||||||||||||||||||||||||||||||
From net investment income | — | (0.01 | ) | — | — | — | — | |||||||||||||||||||||||
From net realized gain on investments | — | (0.97 | ) | (1.10 | ) | — | — | (0.07 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (0.98 | ) | (1.10 | ) | — | — | (0.07 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value at end of period | $ | 13.45 | $ | 11.94 | $ | 11.62 | $ | 12.49 | $ | 9.75 | $ | 6.19 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total investment return(b) | 12.65 | %** | 12.11 | % | 3.36 | % | 28.10 | % | 57.51 | % | (36.43 | )% | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net investment loss to average net assets | (0.04 | )%* | (0.05 | )% | (0.36 | )% | (0.34 | )% | (0.45 | )% | (0.36 | )% | ||||||||||||||||||
Net expenses to average daily net assets | 0.97 | %*(c) | 0.96 | % | 0.92 | % | 0.92 | % | 0.92 | % | 0.92 | % | ||||||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.98 | %*(c) | 1.01 | % | 1.01 | % | 1.02 | % | 1.04 | % | 1.07 | % | ||||||||||||||||||
Portfolio turnover rate | 40 | %** | 54 | % | 95 | % | 107 | % | 92 | % | 170 | % | ||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 401,514 | $ | 442,080 | $ | 300,176 | $ | 300,980 | $ | 220,665 | $ | 133,116 |
(a) | Amount rounds to less than $0.01 per share. |
(b) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(c) | The Fund invests in Underlying Funds and consequently bears its proportionate share of operating expenses of the Underlying Funds. This ratio does not include the expenses of the Underlying Funds. |
† | Computed using average shares outstanding throughout the period. |
* | Annualized |
** | Not annualized |
154 | See accompanying Notes to the Financial Statements. |
Mercer US Small/Mid Cap Value Equity Fund
Financial Highlights (Continued)
Period Ended 09/30/13 (Unaudited) | Year Ended 03/31/13 | Year Ended 03/31/12 | Year Ended 03/31/11 | Year Ended 03/31/10 | Year Ended 03/31/09 | |||||||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout each Period: | ||||||||||||||||||||||||||||||
Net asset value at beginning of period | $ | 11.05 | $ | 9.94 | $ | 10.64 | $ | 8.64 | $ | 5.26 | $ | 8.85 | ||||||||||||||||||
Net investment income† | 0.03 | 0.13 | 0.06 | 0.05 | 0.06 | 0.09 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.00 | 1.46 | (0.14 | )(a) | 2.05 | 3.35 | (3.61 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 1.03 | 1.59 | (0.08 | ) | 2.10 | 3.41 | (3.52 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions: | ||||||||||||||||||||||||||||||
From net investment income | — | (0.11 | ) | (0.04 | ) | (0.10 | ) | (0.03 | ) | (0.06 | ) | |||||||||||||||||||
From net realized gain on investments | — | (0.37 | ) | (0.58 | ) | — | — | (0.01 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (0.48 | ) | (0.62 | ) | (0.10 | ) | (0.03 | ) | (0.07 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value at end of period | $ | 12.08 | $ | 11.05 | $ | 9.94 | $ | 10.64 | $ | 8.64 | $ | 5.26 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total investment return(b) | 9.32 | %** | 16.51 | % | (0.03 | )% | 24.36 | % | 64.86 | % | (39.85 | )% | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net investment income to average net assets | 0.59 | %* | 1.26 | % | 0.60 | % | 0.65 | % | 0.81 | % | 1.20 | % | ||||||||||||||||||
Net expenses to average daily net assets | 0.97 | %*(c) | 0.96 | % | 0.92 | % | 0.92 | % | 0.92 | % | 0.92 | % | ||||||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.99 | %*(c) | 1.01 | % | 1.01 | % | 1.02 | % | 1.07 | % | 1.08 | % | ||||||||||||||||||
Portfolio turnover rate | 46 | %**(d) | 80 | % | 92 | % | 95 | % | 119 | % | 120 | % | ||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 383,148 | $ | 429,412 | $ | 292,391 | $ | 295,626 | $ | 222,102 | $ | 124,586 |
(a) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain for the period due to the timing of sales of the Fund in relation to the fluctuating net asset value per share of the Fund. |
(b) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(c) | The Fund invests in Underlying Funds and consequently bears its proportionate share of operating expenses of the Underlying Funds. This ratio does not include the expenses of the Underlying Funds. |
(d) | Portfolio turnover calculation does not include $38,447,113 of in-kind redemptions. |
† | Computed using average shares outstanding throughout the period. |
* | Annualized |
** | Not annualized |
See accompanying Notes to the Financial Statements. | 155 |
Mercer Non-US Core Equity Fund
Financial Highlights (Continued)
Period Ended 09/30/13 (Unaudited) | Year Ended 03/31/13 | Year Ended 03/31/12 | Year Ended 03/31/11 | Year Ended 03/31/10 | Year Ended 03/31/09 | |||||||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout each Period: | ||||||||||||||||||||||||||||||
Net asset value at beginning of period | $ | 10.58 | $ | 9.72 | $ | 10.46 | $ | 9.73 | $ | 6.29 | $ | 12.76 | ||||||||||||||||||
Net investment income† | 0.16 | 0.21 | 0.25 | 0.17 | 0.17 | 0.25 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.12 | 0.90 | (0.81 | ) | 0.74 | 3.38 | (6.51 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 1.28 | 1.11 | (0.56 | ) | 0.91 | 3.55 | (6.26 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions: | ||||||||||||||||||||||||||||||
From net investment income | — | (0.25 | ) | (0.18 | ) | (0.18 | ) | (0.11 | ) | (0.12 | ) | |||||||||||||||||||
From net realized gain on investments | — | — | — | — | — | (0.09 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (0.25 | ) | (0.18 | ) | (0.18 | ) | (0.11 | ) | (0.21 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value at end of period | $ | 11.86 | $ | 10.58 | $ | 9.72 | $ | 10.46 | $ | 9.73 | $ | 6.29 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total investment return(a) | 12.10 | %** | 11.53 | % | (5.15 | )% | 9.45 | % | 56.52 | % | (49.30 | )% | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net investment income to average net assets | 2.92 | %* | 2.17 | % | 2.57 | % | 1.76 | % | 1.93 | % | 2.68 | % | ||||||||||||||||||
Net expenses to average daily net assets | 0.85 | %*(b) | 0.83 | % | 0.82 | % | 0.82 | % | 0.82 | % | 0.82 | % | ||||||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.85 | %*(b) | 0.86 | % | 0.92 | % | 0.92 | % | 0.94 | % | 0.95 | % | ||||||||||||||||||
Portfolio turnover rate | 38 | %**(c) | 90 | % | 105 | %(d) | 87 | % | 51 | % | 64 | % | ||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 1,877,572 | $ | 2,138,930 | $ | 1,892,784 | $ | 1,563,529 | $ | 1,042,831 | $ | 485,543 |
(a) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(b) | The Fund invests in Underlying Funds and consequently bears its proportionate share of operating expenses of the Underlying Funds. This ratio does not include the expenses of the Underlying Funds. |
(c) | Portfolio turnover calculation does not include $177,821,966 of in-kind redemptions. |
(d) | Portfolio turnover calculation does not include $9,536,640 of in-kind transactions. |
† | Computed using average shares outstanding throughout the period. |
* | Annualized |
** | Not annualized |
156 | See accompanying Notes to the Financial Statements. |
Mercer Core Fixed Income Fund (formerly known as Mercer Core Opportunistic Fixed Income Fund)
Financial Highlights (Continued)
Period Ended 09/30/13 (Unaudited) | Year Ended 03/31/13 | Year Ended 03/31/12 | Year Ended 03/31/11 | Year Ended 03/31/10 | Year Ended 03/31/09 | |||||||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout each Period: | ||||||||||||||||||||||||||||||
Net asset value at beginning of period | $ | 10.68 | $ | 10.58 | $ | 10.23 | $ | 10.11 | $ | 9.00 | $ | 10.24 | ||||||||||||||||||
Net investment income† | 0.12 | 0.27 | 0.33 | 0.29 | 0.40 | 0.50 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.31 | ) | 0.37 | 0.46 | 0.34 | 0.98 | (0.91 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (0.19 | ) | 0.64 | 0.79 | 0.63 | 1.38 | (0.41 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions: | ||||||||||||||||||||||||||||||
From net investment income | — | (0.31 | ) | (0.31 | ) | (0.36 | ) | (0.27 | ) | (0.63 | ) | |||||||||||||||||||
From net realized gain on investments | — | (0.23 | ) | (0.13 | ) | (0.15 | ) | — | (0.20 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (0.54 | ) | (0.44 | ) | (0.51 | ) | (0.27 | ) | (0.83 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value at end of period | $ | 10.49 | $ | 10.68 | $ | 10.58 | $ | 10.23 | $ | 10.11 | $ | 9.00 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total investment return(a) | (1.78 | )%** | 6.15 | % | 7.88 | % | 6.25 | % | 15.34 | % | (3.90 | )% | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net investment income to average net assets | 2.31 | %* | 2.51 | % | 3.13 | % | 2.79 | % | 4.12 | % | 5.16 | % | ||||||||||||||||||
Net expenses to average daily net assets | 0.37 | %* | 0.37 | % | 0.37 | % | 0.37 | % | 0.37 | % | 0.37 | % | ||||||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.42 | %* | 0.43 | % | 0.44 | % | 0.45 | % | 0.47 | % | 0.47 | % | ||||||||||||||||||
Portfolio turnover rate | 87 | %**(b) | 125 | % | 181 | % | 379 | % | 276 | % | 229 | % | ||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 1,061,239 | $ | 1,093,253 | $ | 1,025,624 | $ | 1,043,027 | $ | 758,780 | $ | 394,347 |
(a) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(b) | Excludes treasury dollar roll transactions. The Portfolio turnover rate including treasury dollar roll transactions was 122% for the period ended September 30, 2013. |
† | Computed using average shares outstanding throughout the period. |
* | Annualized |
** | Not annualized |
See accompanying Notes to the Financial Statements. | 157 |
Mercer Opportunistic Fixed Income Fund
Financial Highlights (Continued)
Period Ended 09/30/13 (Unaudited)(a) | |||||
For a Class Y-3 Share Outstanding Throughout the Period: | |||||
Net asset value at beginning of period | $ | 10.00 | |||
Net investment income† | 0.05 | ||||
Net realized and unrealized gain on investments | 0.25 | ||||
|
| ||||
Total from investment operations | 0.30 | ||||
|
| ||||
Net asset value at end of period | $ | 10.30 | |||
|
| ||||
Total investment return(b) | 3.00 | %** | |||
Ratios/Supplemental Data: | |||||
Net investment income to average net assets | 4.15 | %* | |||
Net expenses to average daily net assets | 0.90 | %* | |||
Total expenses (before reductions and reimbursements) to average daily net assets | 1.19 | %* | |||
Portfolio turnover rate | 8 | %** | |||
Net assets at end of period (in 000’s) | $ | 85,791 |
(a) | The Fund commenced operations on August 21, 2013. |
(b) | The total return would have been lower had certain expenses not been reduced or reimbursed during the period shown. |
† | Computed using average shares outstanding throughout the period. |
* | Annualized |
** | Not annualized |
158 | See accompanying Notes to the Financial Statements. |
Mercer Emerging Markets Equity Fund
Financial Highlights (Continued)
Period Ended 09/30/13 (Unaudited) | Period Ended 03/31/13(a) | |||||||||
For a Class Y-3 Share Outstanding Throughout each Period: | ||||||||||
Net asset value at beginning of period | $ | 10.49 | $ | 10.00 | ||||||
Net investment income† | 0.16 | 0.10 | ||||||||
Net realized and unrealized gain (loss) on investments | (0.46 | ) | 0.46 | |||||||
|
|
|
| |||||||
Total from investment operations | (0.30 | ) | 0.56 | |||||||
|
|
|
| |||||||
Less dividends and distributions: | ||||||||||
From net investment income | — | (0.06 | ) | |||||||
From net realized gain on investments | — | (0.01 | ) | |||||||
|
|
|
| |||||||
Total dividends and distributions | — | (0.07 | ) | |||||||
|
|
|
| |||||||
Net asset value at end of period | $ | 10.19 | $ | 10.49 | ||||||
|
|
|
| |||||||
Total investment return(b) | (2.86 | )%** | 5.64 | %** | ||||||
Ratios/Supplemental Data: | ||||||||||
Net investment income to average net assets | 3.14 | %* | 1.08 | %* | ||||||
Net expenses to average daily net assets | 0.95 | %*(c) | 0.95 | %*(c) | ||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 1.02 | %* | 1.15 | %* | ||||||
Portfolio turnover rate | 27 | %** | 52 | %** | ||||||
Net assets at end of period (in 000’s) | $ | 614,127 | $ | 517,085 |
(a) | The Fund commenced operations on May 1, 2012. |
(b) | The total return would have been lower had certain expenses not been reduced or reimbursed during the period shown. |
(c) | Includes interest expense that amounts to less than 0.01%. |
† | Computed using average shares outstanding throughout the period. |
* | Annualized |
** | Not annualized |
See accompanying Notes to the Financial Statements. | 159 |
Mercer Global Low Volatility Equity Fund
Financial Highlights (Continued)
Period Ended 09/30/13 (Unaudited) | Period Ended 03/31/13(a) | |||||||||
For a Class Y-3 Share Outstanding Throughout each Period: | ||||||||||
Net asset value at beginning of period | $ | 11.19 | $ | 10.00 | ||||||
Net investment income† | 0.09 | 0.07 | ||||||||
Net realized and unrealized gain on investments | 0.48 | 1.14 | ||||||||
|
|
|
| |||||||
Total from investment operations | 0.57 | 1.21 | ||||||||
|
|
|
| |||||||
Less dividends and distributions: | ||||||||||
From net investment income | — | (0.02 | ) | |||||||
|
|
|
| |||||||
Total dividends and distributions | — | (0.02 | ) | |||||||
|
|
|
| |||||||
Net asset value at end of period | $ | 11.76 | $ | 11.19 | ||||||
|
|
|
| |||||||
Total investment return(b) | 5.09 | %** | 12.13 | %** | ||||||
Ratios/Supplemental Data: | ||||||||||
Net investment income to average net assets | 1.55 | %* | 1.62 | %* | ||||||
Net expenses to average daily net assets | 0.84 | %*(c) | 0.85 | %* | ||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.85 | %*(c) | 1.00 | %* | ||||||
Portfolio turnover rate | 23 | %** | 12 | %** | ||||||
Net assets at end of period (in 000’s) | $ | 672,067 | $ | 301,230 |
(a) | The Fund commenced operations on November 6, 2012. |
(b) | The total return would have been lower had certain expenses not been reduced or reimbursed during the period shown. |
(c) | The Fund invests in Underlying Funds and consequently bears its proportionate share of operating expenses of the Underlying Funds. This ratio does not include the expenses of the Underlying Funds. |
† | Computed using average shares outstanding throughout the period. |
* | Annualized |
** | Not annualized |
160 | See accompanying Notes to the Financial Statements. |
Mercer US Short Maturity Fixed Income Fund
Financial Highlights (Continued)
Period Ended 09/30/13 (Unaudited) | Year Ended 03/31/13 | Year Ended 03/31/12 | Year Ended 03/31/11 | Year Ended 03/31/10 | Year Ended 03/31/09 | |||||||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout each Period: | ||||||||||||||||||||||||||||||
Net asset value at beginning of period | $ | 9.56 | $ | 9.57 | $ | 9.56 | $ | 9.51 | $ | 8.57 | $ | 10.01 | ||||||||||||||||||
Net investment income† | 0.06 | 0.11 | 0.15 | 0.15 | 0.30 | 0.40 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.07 | ) | 0.00 | (a) | 0.05 | 0.06 | 0.83 | (1.16 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (0.01 | ) | 0.11 | 0.20 | 0.21 | 1.13 | (0.76 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions: | ||||||||||||||||||||||||||||||
From net investment income | — | (0.12 | ) | (0.19 | ) | (0.16 | ) | (0.19 | ) | (0.68 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (0.12 | ) | (0.19 | ) | (0.16 | ) | (0.19 | ) | (0.68 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value at end of period | $ | 9.55 | $ | 9.56 | $ | 9.57 | $ | 9.56 | $ | 9.51 | $ | 8.57 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total investment return(b) | (0.10 | )%** | 1.14 | % | 2.07 | % | 2.19 | % | 13.19 | % | (7.52 | )% | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net investment income to average net assets | 1.22 | %* | 1.15 | % | 1.52 | % | 1.60 | % | 3.24 | % | 4.16 | % | ||||||||||||||||||
Net expenses to average daily net assets | 0.32 | %* | 0.32 | % | 0.32 | % | 0.32 | % | 0.32 | % | 0.32 | % | ||||||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.77 | %* | 0.60 | % | 0.53 | % | 0.47 | % | 0.61 | % | 0.49 | % | ||||||||||||||||||
Portfolio turnover rate | 43 | %** | 32 | % | 32 | % | 61 | % | 589 | % | 217 | % | ||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 23,505 | $ | 47,100 | $ | 44,166 | $ | 67,950 | $ | 47,487 | $ | 18,904 |
(a) | Amount rounds to less than $0.01 per share. |
(b) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
† | Computed using average shares outstanding throughout the period. |
* | Annualized |
** | Not annualized |
See accompanying Notes to the Financial Statements. | 161 |
Mercer Funds
Notes to the Financial Statements
September 30, 2013 (Unaudited)
1. | Organization |
Mercer Funds (the “Trust”) consists of the following ten series: Mercer US Large Cap Growth Equity Fund (“Large Cap Growth”), Mercer US Large Cap Value Equity Fund (“Large Cap Value”), Mercer US Small/Mid Cap Growth Equity Fund (“Small/Mid Cap Growth”), Mercer US Small/Mid Cap Value Equity Fund (“Small/Mid Cap Value”), Mercer Non-US Core Equity Fund (“Non-US Core Equity”), Mercer Core Fixed Income Fund (formerly known as Mercer Core Opportunistic Fixed Income Fund) (“Core Fixed”), Mercer Opportunistic Fixed Income Fund (“Opportunistic Fixed”), which commenced operations on August 21, 2013, Mercer Emerging Markets Equity Fund (“Emerging Markets”), Mercer Global Low Volatility Equity Fund (“Global Low Volatility”) and Mercer US Short Maturity Fixed Income Fund (“Short Maturity”), (each a “Fund,” and collectively referred to as the “Funds”). The Trust is a Delaware statutory trust, established on March 11, 2005. The Trust is registered as an investment company under the Investment Company Act of 1940 (the “1940 Act”). The Funds’ investment advisor is Mercer Investment Management, Inc. (the “Advisor”). The Advisor manages each Fund using a “manager of managers” approach by selecting one or more subadvisors (each a “Subadvisor,” and collectively referred to as the “Subadvisors”) to manage each Fund.
Under the 1940 Act, each Fund is classified as “diversified”, with the exception of Opportunistic Fixed. Opportunistic Fixed is classified as “non-diversified” under the 1940 Act, as amended, and may invest a larger percentage of its assets in fewer issuers than diversified funds.
The investment objectives of the Funds are:
Fund | Investment Objective | |
Large Cap Growth | Long-term total return, which includes capital appreciation and income | |
Large Cap Value | Long-term total return, which includes capital appreciation and income | |
Small/Mid Cap Growth | Long-term total return, comprised primarily of capital appreciation | |
Small/Mid Cap Value | Long-term total return, comprised primarily of capital appreciation | |
Non-US Core Equity | Long-term total return, which includes capital appreciation and income | |
Core Fixed | Total return, consisting of both current income and capital appreciation | |
Opportunistic Fixed | Long-term total return, which includes capital appreciation and income | |
Emerging Markets | Long-term total return, which includes capital appreciation and income | |
Global Low Volatility | Long-term total return, which includes capital appreciation and income | |
Short Maturity | Safety of principal and a moderate level of income |
Each Fund is authorized to offer interests in four classes of shares: Class S, Class Y-1, Class Y-2 and Class Y-3. The principal difference between the classes of shares is the level of shareholder service, marketing and administrative fees borne by the classes. As of September 30, 2013, only the Class Y-3 shares of each Fund had commenced operations.
2. | Significant Accounting Policies |
The following are significant accounting policies followed by the Funds. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.
162
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
(a) Security Valuation
Each Fund’s investments are valued as of the close of regular trading on the New York Stock Exchange (“NYSE”) on each day when the NYSE is open. Portfolio securities listed on an exchange normally are valued at the last sale or official closing price on the day on which the securities are valued or, lacking any sales on such day, at the last available bid price using prices as of the close of trading. In cases where securities are traded on more than one exchange, the securities are generally valued on the exchange considered by the Advisor or the applicable Subadvisor as the primary market for such securities. Securities traded in the over-the-counter market and listed on the NASDAQ Stock Market (“NASDAQ”) normally are valued at the NASDAQ Official Closing Price; other over-the-counter securities are valued at the last bid price available prior to valuation (other than short-term investments, which are valued as described below). The Funds may invest in securities that are traded in foreign markets. Foreign securities will be converted into U.S. dollar equivalents based on the exchange rate in effect at a uniform time on each business day. Investments in open-end investment companies are valued at their net asset value (“NAV”) per share.
The Board of Trustees of the Trust (the “Board”) has delegated its responsibility for valuing portfolio securities to the Advisor, subject to continuing Board oversight. The Advisor has appointed a Valuation Committee that is responsible for overseeing the day-to-day process of valuing portfolio securities. With respect to portfolio securities for which market quotations are not readily available or (in the opinion of the Advisor or the applicable Subadvisor) do not otherwise accurately reflect the fair values of the securities, the Valuation Committee will value such securities at fair value based upon procedures approved by the Board. Certain fixed-income securities may be valued based upon appraisals received from a pricing service using a computerized matrix system or based upon appraisals derived from information concerning the securities or similar securities received from a recognized dealer or dealers in those securities. It should be recognized that judgment often plays a greater role in valuing thinly traded securities, as well as bonds and other securities with few dealer quotations, than is the case with respect to securities for which a broader range of dealer quotations and last-sale information is available. Each Fund generally values short-term investments, which mature in 60 days or less, at amortized cost, which approximates fair value unless the Board determines that this approach does not represent fair value.
Derivative financial instruments, such as futures contracts or options contracts that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. Futures traded on inactive markets are valued using broker quotations. Over the counter derivative financial instruments, such as foreign currency contracts, options contracts, or swaps agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of pricing service providers or broker dealer quotations. Depending on the derivative type and the terms of the derivative, the value of the derivative financial instruments is assigned by pricing service providers using a series of techniques, which may include pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, volatilities, dividends and exchange rates.
Senior secured floating rate loans and senior secured floating rate debt securities are valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may reflect appropriate factors such as ratings, yield curves, prepayment speeds, tranche type, industry, company performance, spread, individual trading characteristics, institutional size trading in similar groups of securities and other market data.
The application of fair value pricing represents a good faith determination based on specific procedures performed under the supervision of the Board. Due to the subjective nature of fair value pricing, there can be no assurance that a Fund could realize the fair value assigned to the security if the Fund were to sell the security at approximately the time at which the Fund determines its NAV per share. A Fund’s value for a particular security may be different from the last quoted market price.
163
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
The Funds follow a three-tier hierarchy to prioritize the assumptions, referred to as inputs, used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
• | Level 1 — quoted prices unadjusted in active markets for identical investments |
• | Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The assets and liabilities shown in the Statements of Assets and Liabilities related to investments purchased for TBA or when-issued securities, approximate fair value and are determined using Level 2 inputs, as of September 30, 2013. The assets and liabilities shown in the Statements of Assets and Liabilities related to cash collateral held at or due to a broker for TBA securities, exchange traded option contracts and futures contracts are determined using Level 1 inputs as of September 30, 2013. Over the counter option contracts and swap contracts are determined using Level 2 inputs as of September 30, 2013.
At September 30, 2013, Large Cap Growth, Small/Mid Cap Growth and Small/Mid Cap Value each held long-term investments determined using Level 1 inputs, with corresponding major categories as shown in the schedules of investments, and short-term investment positions in a Euro Time Deposit and in State Street Navigator Securities Lending Prime Portfolio, as shown in the schedules of investments, which are determined using Level 2 inputs.
At September 30, 2013, Short Maturity held long-term investments and a short-term investment position in a Euro Time Deposit, all determined using Level 2 inputs, with corresponding major categories, as shown in the schedule of investments.
The following is a summary of the inputs used as of September 30, 2013 in valuing the assets and liabilities of Large Cap Value, Non-US Core Equity, Core Fixed, Opportunistic Fixed, Emerging Markets and Global Low Volatility for which fair valuation was used:
Large Cap Value
ASSETS VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stocks | ||||||||||||||||
Advertising | $ | 1,470,159 | $ | — | $ | — | $ | 1,470,159 | ||||||||
Aerospace & Defense | 8,446,532 | — | — | 8,446,532 | ||||||||||||
Agriculture | 1,605,469 | — | — | 1,605,469 | ||||||||||||
Airlines | 4,495,040 | — | — | 4,495,040 | ||||||||||||
Auto Manufacturers | 5,954,642 | — | — | 5,954,642 | ||||||||||||
Auto Parts & Equipment | 4,242,909 | — | — | 4,242,909 | ||||||||||||
Banks | 25,203,865 | — | — | 25,203,865 | ||||||||||||
Beverages | 4,640,715 | — | — | 4,640,715 | ||||||||||||
Biotechnology | 3,083,163 | — | — | 3,083,163 | ||||||||||||
Building Materials | 378,936 | — | — | 378,936 | ||||||||||||
Chemicals | 2,942,405 | — | — | 2,942,405 | ||||||||||||
Commercial Services | 8,238,267 | — | — | 8,238,267 |
164
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Computers | $ | 14,160,601 | $ | — | $ | — | $ | 14,160,601 | ||||||||
Cosmetics & Personal Care | 417,356 | — | — | 417,356 | ||||||||||||
Diversified Financial Services | 44,539,382 | — | — | 44,539,382 | ||||||||||||
Electric | 4,059,983 | — | — | 4,059,983 | ||||||||||||
Electronics | 978,717 | — | — | 978,717 | ||||||||||||
Food | 5,831,498 | — | — | 5,831,498 | ||||||||||||
Forest Products & Paper | 678,720 | — | — | 678,720 | ||||||||||||
Health Care - Products | 7,560,494 | — | — | 7,560,494 | ||||||||||||
Health Care - Services | 7,436,979 | — | — | 7,436,979 | ||||||||||||
Insurance | 23,165,547 | — | — | 23,165,547 | ||||||||||||
Internet | 4,362,528 | — | — | 4,362,528 | ||||||||||||
Iron & Steel | 644,776 | — | — | 644,776 | ||||||||||||
Leisure Time | 828,403 | — | — | 828,403 | ||||||||||||
Lodging | 1,807,013 | — | — | 1,807,013 | ||||||||||||
Machinery - Construction & Mining | 2,383,280 | — | — | 2,383,280 | ||||||||||||
Machinery - Diversified | 5,267,950 | — | — | 5,267,950 | ||||||||||||
Media | 26,539,088 | — | — | 26,539,088 | ||||||||||||
Mining | 419,143 | — | — | 419,143 | ||||||||||||
Miscellaneous - Manufacturing | 10,877,266 | — | — | 10,877,266 | ||||||||||||
Office & Business Equipment | 2,695,382 | — | — | 2,695,382 | ||||||||||||
Oil & Gas | 40,427,538 | — | — | 40,427,538 | ||||||||||||
Oil & Gas Services | 5,620,524 | — | — | 5,620,524 | ||||||||||||
Packaging & Containers | 1,915,585 | — | — | 1,915,585 | ||||||||||||
Pharmaceuticals | 26,657,975 | — | — | 26,657,975 | ||||||||||||
REITS | 3,099,784 | — | — | 3,099,784 | ||||||||||||
Retail | 19,128,974 | — | — | 19,128,974 | ||||||||||||
Semiconductors | 9,841,717 | — | — | 9,841,717 | ||||||||||||
Software | 8,060,728 | — | — | 8,060,728 | ||||||||||||
Telecommunications | 16,043,585 | — | — | 16,043,585 | ||||||||||||
Transportation | 3,616,459 | — | — | 3,616,459 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 369,769,077 | — | — | 369,769,077 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Company | ||||||||||||||||
Unaffiliated Fund | 204,294 | — | — | 204,294 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investment Company | 204,294 | — | — | 204,294 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stock | ||||||||||||||||
Auto Manufacturers | 1,246,228 | — | — | 1,246,228 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stock | 1,246,228 | — | — | 1,246,228 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposit | — | 3,048,818 | — | 3,048,818 | ||||||||||||
Securities Lending Collateral | — | 2,518,052 | — | 2,518,052 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 5,566,870 | — | 5,566,870 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 371,219,599 | $ | 5,566,870 | $ | — | $ | 376,786,469 | ||||||||
|
|
|
|
|
|
|
|
165
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
LIABILITIES VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Forward Foreign Currency Contracts | ||||||||||||||||
Sales | $ | — | $ | (22,825 | ) | $ | — | $ | (22,825 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (22,825 | ) | $ | — | $ | (22,825 | ) | ||||||
|
|
|
|
|
|
|
|
Non-US Core Equity
ASSETS VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | 57,975,260 | $ | 0 | * | $ | — | $ | 57,975,260 | |||||||
Austria | 9,471,262 | — | — | 9,471,262 | ||||||||||||
Belgium | 11,359,487 | — | — | 11,359,487 | ||||||||||||
Bermuda | 19,814,889 | — | — | 19,814,889 | ||||||||||||
Brazil | 5,119,428 | — | — | 5,119,428 | ||||||||||||
Canada | 13,168,837 | — | — | 13,168,837 | ||||||||||||
Cayman Islands | 12,794,381 | — | — | 12,794,381 | ||||||||||||
China | 3,368,564 | — | — | 3,368,564 | ||||||||||||
Cyprus | 201,266 | — | — | 201,266 | ||||||||||||
Denmark | 22,792,882 | — | — | 22,792,882 | ||||||||||||
Finland | 31,143,255 | — | — | 31,143,255 | ||||||||||||
France | 145,296,295 | — | — | 145,296,295 | ||||||||||||
Germany | 161,241,778 | — | — | 161,241,778 | ||||||||||||
Greece | 3,892,398 | — | — | 3,892,398 | ||||||||||||
Hong Kong | 27,918,883 | — | — | 27,918,883 | ||||||||||||
India | 8,631,560 | — | — | 8,631,560 | ||||||||||||
Indonesia | 6,596,176 | — | — | 6,596,176 | ||||||||||||
Ireland | 5,271,047 | — | — | 5,271,047 | ||||||||||||
Israel | 5,367,480 | — | — | 5,367,480 | ||||||||||||
Italy | 44,612,418 | — | — | 44,612,418 | ||||||||||||
Japan | 446,778,839 | 624,306 | — | 447,403,145 | ||||||||||||
Luxembourg | 14,104,815 | — | — | 14,104,815 | ||||||||||||
Malaysia | 3,469,568 | — | — | 3,469,568 | ||||||||||||
Malta | 1,073,879 | — | — | 1,073,879 | ||||||||||||
Mexico | 4,654,521 | — | — | 4,654,521 | ||||||||||||
Netherlands | 26,059,538 | — | — | 26,059,538 | ||||||||||||
New Zealand | 6,492,021 | — | — | 6,492,021 | ||||||||||||
Norway | 33,101,162 | — | — | 33,101,162 | ||||||||||||
Portugal | 1,525,794 | — | — | 1,525,794 | ||||||||||||
Russia | — | 6,872,462 | — | 6,872,462 | ||||||||||||
Singapore | 9,395,358 | — | — | 9,395,358 | ||||||||||||
South Africa | 5,976,400 | — | — | 5,976,400 |
166
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
South Korea | $ | 23,097,656 | $ | — | $ | — | $ | 23,097,656 | ||||||||
Spain | 41,200,123 | — | — | 41,200,123 | ||||||||||||
Sweden | 74,280,956 | — | — | 74,280,956 | ||||||||||||
Switzerland | 145,200,411 | — | — | 145,200,411 | ||||||||||||
Taiwan | 5,022,467 | — | — | 5,022,467 | ||||||||||||
Thailand | — | 6,149,735 | — | 6,149,735 | ||||||||||||
United Kingdom | 336,839,028 | — | — | 336,839,028 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 1,774,310,082 | 13,646,503 | — | 1,787,956,585 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Companies | ||||||||||||||||
United States | 23,529,075 | — | — | 23,529,075 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investment Companies | 23,529,075 | — | — | 23,529,075 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | 1,283,245 | — | — | 1,283,245 | ||||||||||||
Germany | 20,660,394 | — | — | 20,660,394 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 21,943,639 | — | — | 21,943,639 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights | ||||||||||||||||
Norway | — | 0 | * | — | 0 | |||||||||||
United Kingdom | 172,906 | — | — | 172,906 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Rights | 172,906 | 0 | — | 172,906 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Options Purchased | ||||||||||||||||
Put Options | — | 702,656 | — | 702,656 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Options Purchased | — | 702,656 | — | 702,656 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposit | — | 44,236,799 | — | 44,236,799 | ||||||||||||
Securities Lending Collateral | — | 49,103,414 | — | 49,103,414 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 93,340,213 | — | 93,340,213 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,819,955,702 | $ | 107,689,372 | $ | — | $ | 1,927,645,074 | ||||||||
|
|
|
|
|
|
|
|
* | Represents one security at $0 value as of September 30, 2013. |
Core Fixed
ASSETS VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Debt Obligations | ||||||||||||||||
Asset Backed Securities | $ | — | $ | 46,237,039 | $ | — | $ | 46,237,039 | ||||||||
Bank Loans | — | 13,480,028 | — | 13,480,028 | ||||||||||||
Corporate Debt | — | 313,923,706 | 0 | * | 313,923,706 |
167
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Mortgage Backed Securities - Private Issuers | $ | — | $ | 26,044,054 | $ | — | $ | 26,044,054 | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations | — | 380,091,838 | — | 380,091,838 | ||||||||||||
Municipal Obligations | — | 48,553,781 | — | 48,553,781 | ||||||||||||
Sovereign Debt Obligations | — | 30,558,218 | — | 30,558,218 | ||||||||||||
U.S. Government and Agency Obligations | — | 202,706,569 | — | 202,706,569 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Debt Obligations | — | 1,061,595,233 | 0 | 1,061,595,233 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Banks | 682,506 | — | — | 682,506 | ||||||||||||
Diversified Financial Services | 3,451,232 | — | — | 3,451,232 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 4,133,738 | — | — | 4,133,738 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Options Purchased | ||||||||||||||||
Call Options | 49,197 | — | — | 49,197 | ||||||||||||
Put Options | 8,938 | — | — | 8,938 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Options Purchased | 58,135 | — | — | 58,135 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposit | — | 54,361,965 | — | 54,361,965 | ||||||||||||
Certificates of Deposit | — | 8,093,793 | — | 8,093,793 | ||||||||||||
Repurchase Agreements | — | 109,800,000 | — | 109,800,000 | ||||||||||||
Securities Lending Collateral | — | 3,567,273 | — | 3,567,273 | ||||||||||||
U.S. Government and Agency Obligations | — | 17,609,422 | — | 17,609,422 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 193,432,453 | — | 193,432,453 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts | ||||||||||||||||
Buys | — | 16,243 | — | 16,243 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | 16,243 | — | 16,243 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts | ||||||||||||||||
Buys | 1,195,407 | — | — | 1,195,407 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | 1,195,407 | — | — | 1,195,407 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Swap Contracts | ||||||||||||||||
Interest Rate Swaps | — | 298,460 | — | 298,460 | ||||||||||||
Credit Default Swaps | — | 237,433 | — | 237,433 | ||||||||||||
Centrally Cleared Interest Rate Swaps** | — | 321,875 | — | 321,875 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Swap Contracts | — | 857,768 | — | 857,768 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 5,387,280 | $ | 1,255,901,697 | $ | 0 | $ | 1,261,288,977 | ||||||||
|
|
|
|
|
|
|
|
168
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
LIABILITIES VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
TBA Sale Commitments | $ | — | $ | (4,221,875 | ) | $ | — | $ | (4,221,875 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts | ||||||||||||||||
Sales | — | (308,146 | ) | — | (308,146 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | (308,146 | ) | — | (308,146 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts | ||||||||||||||||
Sales | (319,521 | ) | — | — | (319,521 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (319,521 | ) | — | — | (319,521 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Written Options | (1,106 | ) | (837,176 | ) | — | (838,282 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Swap Contracts | ||||||||||||||||
Interest Rate Swaps | — | (378,679 | ) | — | (378,679 | ) | ||||||||||
Credit Default Swaps | — | (18,071 | ) | — | (18,071 | ) | ||||||||||
Centrally Cleared Interest Rate Swaps** | — | (251,217 | ) | — | (251,217 | ) | ||||||||||
Centrally Cleared Credit Default Swaps** | — | (32,549 | ) | — | (32,549 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Swap Contracts | — | (680,516 | ) | — | (680,516 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (320,627 | ) | $ | (6,047,713 | ) | $ | — | $ | (6,368,340 | ) | |||||
|
|
|
|
|
|
|
|
* | Represents four securities at $0 value as of September 30, 2013. |
** | Centrally cleared swaps are valued at unrealized appreciation/depreciation |
Opportunistic Fixed
ASSETS VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Debt Obligations | ||||||||||||||||
Corporate Debt | $ | — | $ | 39,763,398 | $ | — | $ | 39,763,398 | ||||||||
Sovereign Debt Obligations | — | 39,615,672 | — | 39,615,672 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Debt Obligations | — | 79,379,070 | — | 79,379,070 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stock | ||||||||||||||||
Diversified Financial Services | 53,500 | — | — | 53,500 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stock | 53,500 | — | — | 53,500 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposit | — | 4,477,532 | — | 4,477,532 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 4,477,532 | — | 4,477,532 | ||||||||||||
|
|
|
|
|
|
|
|
169
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Forward Foreign Currency Contracts | ||||||||||||||||
Buys | $ | — | $ | 436,687 | $ | — | $ | 436,687 | ||||||||
Sales | — | 5,770 | — | 5,770 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | 442,457 | — | 442,457 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 53,500 | $ | 84,299,059 | $ | — | $ | 84,352,559 | ||||||||
|
|
|
|
|
|
|
|
LIABILITIES VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Forward Foreign Currency Contracts | ||||||||||||||||
Buys | $ | — | $ | (106,188 | ) | $ | — | $ | (106,188 | ) | ||||||
Sales | — | (363,859 | ) | — | (363,859 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | (470,047 | ) | — | (470,047 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (470,047 | ) | $ | — | $ | (470,047 | ) | ||||||
|
|
|
|
|
|
|
|
Emerging Markets
ASSETS VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stocks | ||||||||||||||||
Bermuda | $ | 3,981,309 | $ | — | $ | — | $ | 3,981,309 | ||||||||
Brazil | 50,245,305 | — | — | 50,245,305 | ||||||||||||
Cayman Islands | 17,619,891 | — | — | 17,619,891 | ||||||||||||
Chile | 11,933,423 | — | — | 11,933,423 | ||||||||||||
China | 56,773,092 | — | — | 56,773,092 | ||||||||||||
Colombia | 4,166,697 | — | — | 4,166,697 | ||||||||||||
Czech Republic | 3,748,459 | — | — | 3,748,459 | ||||||||||||
Hong Kong | 27,214,141 | — | — | 27,214,141 | ||||||||||||
Hungary | 1,021,922 | — | — | 1,021,922 | ||||||||||||
India | 57,002,217 | — | — | 57,002,217 | ||||||||||||
Indonesia | 15,619,941 | — | — | 15,619,941 | ||||||||||||
Luxembourg | 367,875 | — | — | 367,875 | ||||||||||||
Malaysia | 24,237,987 | — | — | 24,237,987 | ||||||||||||
Mexico | 42,416,269 | — | — | 42,416,269 | ||||||||||||
Netherlands | 1,605,576 | — | — | 1,605,576 |
170
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Peru | $ | 793,423 | $ | — | $ | — | $ | 793,423 | ||||||||
Philippines | 4,264,476 | — | — | 4,264,476 | ||||||||||||
Poland | 9,266,823 | — | — | 9,266,823 | ||||||||||||
Russia | 21,113,052 | — | — | 21,113,052 | ||||||||||||
Singapore | 2,118,013 | — | — | 2,118,013 | ||||||||||||
South Africa | 30,045,789 | — | — | 30,045,789 | ||||||||||||
South Korea | 56,916,641 | — | — | 56,916,641 | ||||||||||||
Taiwan | 52,060,491 | — | — | 52,060,491 | ||||||||||||
Thailand | 12,504,937 | 7,482,417 | — | 19,987,354 | ||||||||||||
Turkey | 8,103,973 | — | — | 8,103,973 | ||||||||||||
United Kingdom | 24,634,025 | — | — | 24,634,025 | ||||||||||||
United States | 95,340 | — | — | 95,340 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 539,871,087 | 7,482,417 | — | 547,353,504 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | 11,953,443 | — | — | 11,953,443 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 11,953,443 | — | — | 11,953,443 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposit | — | 31,895,247 | — | 31,895,247 | ||||||||||||
Securities Lending Collateral | — | 10,730,470 | — | 10,730,470 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 42,625,717 | — | 42,625,717 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts | ||||||||||||||||
Buys | — | 2,467,091 | — | 2,467,091 | ||||||||||||
Sales | — | 81,487 | — | 81,487 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | 2,548,578 | — | 2,548,578 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts | ||||||||||||||||
Buys | 152,628 | — | — | 152,628 | ||||||||||||
Sales | 416,026 | — | — | 416,026 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | 568,654 | — | — | 568,654 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Synthetic Futures | — | 339,773 | — | 339,773 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 552,393,184 | $ | 52,996,485 | $ | — | $ | 605,389,669 | ||||||||
|
|
|
|
|
|
|
|
LIABILITIES VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Forward Foreign Currency Contracts | ||||||||||||||||
Buys | $ | — | $ | (112,285 | ) | $ | — | $ | (112,285 | ) | ||||||
Sales | — | (2,462,969 | ) | — | (2,462,969 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | (2,575,254 | ) | — | (2,575,254 | ) | ||||||||||
|
|
|
|
|
|
|
|
171
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Futures Contracts | ||||||||||||||||
Buys | $ | (383,938 | ) | $ | — | $ | — | $ | (383,938 | ) | ||||||
Sales | (20,637 | ) | — | — | (20,637 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (404,575 | ) | — | — | (404,575 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Synthetic Futures | — | (121,220 | ) | — | (121,220 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (404,575 | ) | $ | (2,696,474 | ) | $ | — | $ | (3,101,049 | ) | |||||
|
|
|
|
|
|
|
|
Global Low Volatility
ASSETS VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | 4,088,417 | $ | — | $ | — | $ | 4,088,417 | ||||||||
Austria | 927,259 | — | — | 927,259 | ||||||||||||
Bahamas | 103,623 | — | — | 103,623 | ||||||||||||
Belgium | 3,826,679 | — | — | 3,826,679 | ||||||||||||
Bermuda | 1,088,282 | — | — | 1,088,282 | ||||||||||||
Canada | 30,178,068 | — | — | 30,178,068 | ||||||||||||
Denmark | 9,292,733 | — | — | 9,292,733 | ||||||||||||
France | 33,991,926 | — | — | 33,991,926 | ||||||||||||
Germany | 12,459,881 | — | — | 12,459,881 | ||||||||||||
Hong Kong | 2,886,671 | — | — | 2,886,671 | ||||||||||||
Ireland | 4,570,584 | — | — | 4,570,584 | ||||||||||||
Israel | 4,797,416 | — | — | 4,797,416 | ||||||||||||
Italy | 218,156 | — | — | 218,156 | ||||||||||||
Japan | 59,095,118 | — | — | 59,095,118 | ||||||||||||
Malaysia | 312,664 | — | — | 312,664 | ||||||||||||
Mexico | 2,767,228 | — | — | 2,767,228 | ||||||||||||
Micronesia | 1,052,370 | — | — | 1,052,370 | ||||||||||||
Netherlands | 5,597,917 | — | — | 5,597,917 | ||||||||||||
New Zealand | 3,291,254 | — | — | 3,291,254 | ||||||||||||
Norway | 6,294,703 | — | — | 6,294,703 | ||||||||||||
Portugal | 1,555,525 | — | — | 1,555,525 | ||||||||||||
Russia | 112,662 | — | — | 112,662 | ||||||||||||
Singapore | 5,513,054 | — | — | 5,513,054 | ||||||||||||
South Africa | 1,822,814 | — | — | 1,822,814 | ||||||||||||
South Korea | 2,085,248 | — | — | 2,085,248 | ||||||||||||
Spain | 1,292,722 | — | — | 1,292,722 | ||||||||||||
Sweden | 4,341,598 | — | — | 4,341,598 | ||||||||||||
Switzerland | 34,305,534 | — | — | 34,305,534 | ||||||||||||
Thailand | 1,037,647 | — | — | 1,037,647 |
172
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
United Kingdom | $ | 46,693,578 | $ | — | $ | — | $ | 46,693,578 | ||||||||
United States | 316,254,898 | — | — | 316,254,898 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 601,856,229 | — | — | 601,856,229 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Company | ||||||||||||||||
United States | 8,472,037 | — | — | 8,472,037 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investment Company | 8,472,037 | — | — | 8,472,037 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Germany | 40,106 | — | — | 40,106 | ||||||||||||
Japan | 195,310 | — | — | 195,310 | ||||||||||||
Sweden | 153,369 | — | — | 153,369 | ||||||||||||
United States | 675,291 | — | — | 675,291 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 1,064,076 | — | — | 1,064,076 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Warrants | ||||||||||||||||
United States | 685,484 | — | — | 685,484 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Warrants | 685,484 | — | — | 685,484 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposit | — | 47,408,560 | — | 47,408,560 | ||||||||||||
Securities Lending Collateral | — | 31,839,105 | — | 31,839,105 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 79,247,665 | — | 79,247,665 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts | ||||||||||||||||
Sales | — | 68,123 | — | 68,123 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | 68,123 | — | 68,123 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 612,077,826 | $ | 79,315,788 | $ | — | $ | 691,393,614 | ||||||||
|
|
|
|
|
|
|
|
LIABILITIES VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Forward Foreign Currency Contracts | ||||||||||||||||
Sales | $ | — | $ | (346,132 | ) | $ | — | $ | (346,132 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | (346,132 | ) | — | (346,132 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (346,132 | ) | $ | — | $ | (346,132 | ) | ||||||
|
|
|
|
|
|
|
|
173
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
The following table shows transfers between Level 2 and Level 1 of the fair value hierarchy:
Emerging Markets
Transfers In | Transfers Out | |||||||||||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | |||||||||||||
Common Stocks | $ | 1,582,342 | * | $ | — | $ | — | $ | (1,582,342 | )* |
* | Transfers occurred between Level 2 and Level 1 as a result of foreign securities receiving an exchange traded price. |
For financial statement reporting purposes, the Funds recognize transfers between Levels as of the end of the reporting period.
The following table includes a rollforward of the amounts for the period ended September 30, 2013 for financial instruments classified as Level 3:
Core Fixed
Investments | Balance as of March 31, 2013 | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Net Transfers In (Out) of Level 3 | Sales | Balance as of September 30, 2013 | Change in Unrealized Appreciation (Depreciation) from Investments Held at September 30, 2013 | ||||||||||||||||||||||||||||
DEBT OBLIGATIONS | |||||||||||||||||||||||||||||||||||
Corporate Debt | $ | 0^ | $ | — | $ | (1,750 | ) | $ | 1,750 | $ | — | $ | 0^^ | $ | (1,750 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Total | $ | 0^ | $ | — | $ | (1,750 | ) | $ | 1,750 | $ | — | $ | 0^^ | $ | (1,750 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For financial statement reporting purposes, the Funds recognize transfers between Levels as of the end of the reporting period.
^ | Includes three securities at $0 value as of March 31, 2013. |
^^ | Four securities at $0 value as of September 30, 2013. |
Disclosures about Derivative Instruments and Hedging Activities
The Funds follow FASB ASC 815 “Disclosures about Derivative Instruments and Hedging Activities” (“ASC 815”), which requires enhanced disclosures about their use of, and accounting for, derivative instruments and effect on the results of operations and financial position.
Non-US Core Equity and Emerging Markets held rights during the period as a result of corporate actions. Non-US Core Equity, Core Fixed and Global Low Volatility held warrants during the period as a result of corporate actions.
At September 30, 2013 and during the period then ended, the Funds had the following derivatives and transactions in derivatives, grouped into appropriate risk categories:
Large Cap Value
LIABILITY DERIVATIVES
Foreign Exchange Risk | Total | |||||||
Forward Foreign Currency Contracts(5) | $ | (22,825 | ) | $ | (22,825 | ) | ||
|
|
|
| |||||
Total Value | $ | (22,825 | ) | $ | (22,825 | ) | ||
|
|
|
|
174
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
NET REALIZED GAIN (LOSS)
Foreign Exchange Risk | Total | |||||||
Forward Foreign Currency Contracts(8) | $ | 109,985 | $ | 109,985 | ||||
|
|
|
| |||||
Total Net Realized Gain (Loss) | $ | 109,985 | $ | 109,985 | ||||
|
|
|
|
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION)
Foreign Exchange Risk | Total | |||||||
Forward Foreign Currency Contracts(13) | $ | (11,402 | ) | $ | (11,402 | ) | ||
|
|
|
| |||||
Total Change in Net Unrealized Appreciation (Depreciation) | $ | (11,402 | ) | $ | (11,402 | ) | ||
|
|
|
|
NUMBER OF CONTRACTS(17)
Foreign Exchange Risk | Total | |||||||
Forward Foreign Currency Contracts | (2,342,864 | ) | (2,342,864 | ) |
Small/Mid Cap Value
NET REALIZED GAIN (LOSS)
Equity Risk | Total | |||||||
Rights(7) | $ | 3,906 | $ | 3,906 | ||||
Futures Contracts(9) | 141,010 | 141,010 | ||||||
|
|
|
| |||||
Total Net Realized Gain (Loss) | $ | 144,916 | $ | 144,916 | ||||
|
|
|
|
NUMBER OF CONTRACTS(17)
Equity Risk | Total | |||||||
Rights | 127 | 127 | ||||||
Futures Contracts | 24 | 24 |
Non-US Core Equity
ASSET DERIVATIVES
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights(1) | $ | — | $ | 172,906 | $ | 172,906 | ||||||
Options Purchased(1) | 702,656 | — | 702,656 | |||||||||
|
|
|
|
|
| |||||||
Total Value | $ | 702,656 | $ | 172,906 | $ | 875,562 | ||||||
|
|
|
|
|
|
NET REALIZED GAIN (LOSS)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights(7) | $ | — | $ | (120,209 | ) | $ | (120,209 | ) | ||||
Options Purchased(7) | 303,378 | — | 303,378 | |||||||||
|
|
|
|
|
| |||||||
Total Net Realized Gain (Loss) | $ | 303,378 | $ | (120,209 | ) | $ | 183,169 | |||||
|
|
|
|
|
|
175
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights(12) | $ | — | $ | (129,665 | ) | $ | (129,665 | ) | ||||
Options Purchased(12) | (380,012 | ) | — | (380,012 | ) | |||||||
|
|
|
|
|
| |||||||
Total Change in Net Unrealized Appreciation (Depreciation) | $ | (380,012 | ) | $ | (129,665 | ) | $ | (509,677 | ) | |||
|
|
|
|
|
|
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(17)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights | — | 157,057 | 157,057 | |||||||||
Options Purchased | 4,269,855,014 | — | 4,269,855,014 |
Core Fixed
ASSET DERIVATIVES
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Total | ||||||||||||||||
Options Purchased(1) | $ | 58,135 | $ | — | $ | — | $ | — | $ | 58,135 | ||||||||||
Forward Foreign Currency Contracts(2) | — | 16,243 | — | — | 16,243 | |||||||||||||||
Futures Contracts(3) | 1,195,407 | — | — | — | 1,195,407 | |||||||||||||||
Swap Contracts(4) | 620,335 | * | — | 237,433 | — | 857,768 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | 1,873,877 | $ | 16,243 | $ | 237,433 | $ | — | $ | 2,127,553 | ||||||||||
|
|
|
|
|
|
|
|
|
|
LIABILITY DERIVATIVES
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Total | ||||||||||||||||
Forward Foreign Currency Contracts(5) | $ | — | $ | (308,146 | ) | $ | — | $ | — | $ | (308,146 | ) | ||||||||
Futures Contracts(3) | (319,521 | ) | — | — | — | (319,521 | ) | |||||||||||||
Options Written(6) | (837,997 | ) | — | (285 | ) | — | (838,282 | ) | ||||||||||||
Swap Contracts(4) | (629,896 | )* | — | (50,620 | )* | — | (680,516 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | (1,787,414 | ) | $ | (308,146 | ) | $ | (50,905 | ) | $ | — | $ | (2,146,465 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
NET REALIZED GAIN (LOSS)
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Total | ||||||||||||||||
Warrants(7) | $ | — | $ | — | $ | — | $ | 45,245 | $ | 45,245 | ||||||||||
Options Purchased(7) | 169,489 | — | — | — | 169,489 | |||||||||||||||
Forward Foreign Currency Contracts(8) | — | (429,932 | ) | — | — | (429,932 | ) | |||||||||||||
Futures Contracts(9) | 978,620 | — | — | — | 978,620 | |||||||||||||||
Options Written(10) | 336,921 | — | — | — | 336,921 | |||||||||||||||
Swap Contracts(11) | (648,115 | ) | — | (182,321 | ) | — | (830,436 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Net Realized Gain (Loss) | $ | 836,915 | $ | (429,932 | ) | $ | (182,321 | ) | $ | 45,245 | $ | 269,907 | ||||||||
|
|
|
|
|
|
|
|
|
|
176
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION)
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Total | ||||||||||||||||
Warrants(12) | $ | — | $ | — | $ | — | $ | 55,063 | $ | 55,063 | ||||||||||
Options Purchased(12) | 13,581 | — | — | — | 13,581 | |||||||||||||||
Forward Foreign Currency Contracts(13) | — | (1,781 | ) | — | — | (1,781 | ) | |||||||||||||
Futures Contracts(14) | 1,480,992 | — | — | — | 1,480,992 | |||||||||||||||
Options Written(15) | (175,028 | ) | — | 702 | — | (174,326 | ) | |||||||||||||
Swap Contracts(16) | 171,427 | — | (608,673 | ) | — | (437,246 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Change in Net Unrealized Appreciation (Depreciation) | $ | 1,490,972 | $ | (1,781 | ) | $ | (607,971 | ) | $ | 55,063 | $ | 936,283 | ||||||||
|
|
|
|
|
|
|
|
|
|
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(17)
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Total | ||||||||||||||||
Warrants | — | — | — | 12,527 | 12,527 | |||||||||||||||
Options Purchased | 1,710,083 | — | — | — | 1,710,083 | |||||||||||||||
Forward Foreign Currency Contracts | — | (14,737,284 | ) | — | — | (14,737,284 | ) | |||||||||||||
Futures Contracts | 1,080 | — | — | — | 1,080 | |||||||||||||||
Options Written | (99,195,674 | ) | — | (500,000 | ) | — | (99,695,674 | ) | ||||||||||||
Swap Contracts | 103,083,333 | — | 11,616,667 | — | 114,700,000 |
Opportunistic Fixed
ASSET DERIVATIVES
Foreign Exchange Risk | Credit Risk | Total | ||||||||||
Forward Foreign Currency Contracts(2) | $ | 442,457 | $ | — | $ | 442,457 | ||||||
|
|
|
|
|
| |||||||
Total Value | $ | 442,457 | $ | — | $ | 442,457 | ||||||
|
|
|
|
|
|
LIABILITY DERIVATIVES
Foreign Exchange Risk | Credit Risk | Total | ||||||||||
Forward Foreign Currency Contracts(5) | $ | (470,047 | ) | $ | — | $ | (470,047 | ) | ||||
|
|
|
|
|
| |||||||
Total Value | $ | (470,047 | ) | $ | — | $ | (470,047 | ) | ||||
|
|
|
|
|
|
NET REALIZED GAIN (LOSS)
Foreign Exchange Risk | Credit Risk | Total | ||||||||||
Forward Foreign Currency Contracts(8) | $ | 43,993 | $ | — | $ | 43,993 | ||||||
Swap Contracts(16) | — | (15,540 | ) | (15,540 | ) | |||||||
|
|
|
|
|
| |||||||
Total Net Realized Gain (Loss) | $ | 43,993 | $ | (15,540 | ) | $ | 28,453 | |||||
|
|
|
|
|
|
177
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION)
Foreign Exchange Risk | Credit Risk | Total | ||||||||||
Forward Foreign Currency Contracts(13) | $ | (188,619 | ) | $ | — | $ | (188,619 | ) | ||||
|
|
|
|
|
| |||||||
Total Change in Net Unrealized Appreciation (Depreciation) | $ | (188,619 | ) | $ | — | $ | (188,619 | ) | ||||
|
|
|
|
|
|
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(17)
Foreign Exchange Risk | Credit Risk | Total | ||||||||||
Forward Foreign Currency Contracts | (3,023,870 | ) | — | (3,023,870 | ) | |||||||
Swap Contracts | — | 7,500,000 | 7,500,000 |
Emerging Markets
ASSET DERIVATIVES
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Forward Foreign Currency Contracts(2) | $ | 2,548,578 | $ | — | $ | 2,548,578 | ||||||
Futures Contracts(3) | — | 908,427 | 908,427 | |||||||||
|
|
|
|
|
| |||||||
Total Value | $ | 2,548,578 | $ | 908,427 | $ | 3,457,005 | ||||||
|
|
|
|
|
|
LIABILITY DERIVATIVES
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Forward Foreign Currency Contracts(5) | $ | (2,575,254 | ) | $ | — | $ | (2,575,254 | ) | ||||
Futures Contracts(3) | — | (525,795 | ) | (525,795 | ) | |||||||
|
|
|
|
|
| |||||||
Total Value | $ | (2,575,254 | ) | $ | (525,795 | ) | $ | (3,101,049 | ) | |||
|
|
|
|
|
|
NET REALIZED GAIN (LOSS)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights(7) | $ | — | $ | 16,964 | $ | 16,964 | ||||||
Forward Foreign Currency Contracts(8) | 3,845,959 | — | 3,845,959 | |||||||||
Futures Contracts(9) | — | 639,507 | 639,507 | |||||||||
|
|
|
|
|
| |||||||
Total Net Realized Gain (Loss) | $ | 3,845,959 | $ | 656,471 | $ | 4,502,430 | ||||||
|
|
|
|
|
|
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Forward Foreign Currency Contracts(13) | $ | 204,897 | $ | — | $ | 204,897 | ||||||
Futures Contracts(14) | — | 564,273 | 564,273 | |||||||||
|
|
|
|
|
| |||||||
Total Change in Net Unrealized Appreciation (Depreciation) | $ | 204,897 | $ | 564,273 | $ | 769,170 | ||||||
|
|
|
|
|
|
178
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(17)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights | — | 21,892 | 21,892 | |||||||||
Forward Foreign Currency Contracts | 21,021,804 | — | 21,021,804 | |||||||||
Futures Contracts | — | 13,049 | 13,049 |
Global Low Volatility
ASSET DERIVATIVES
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Warrants(1) | $ | — | $ | 685,484 | $ | 685,484 | ||||||
Forward Foreign Currency Contracts(2) | 68,123 | — | 68,123 | |||||||||
|
|
|
|
|
| |||||||
Total Value | $ | 68,123 | $ | 685,484 | $ | 753,607 | ||||||
|
|
|
|
|
|
LIABILITY DERIVATIVES
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Forward Foreign Currency Contracts(5) | $ | (346,132 | ) | $ | — | $ | (346,132 | ) | ||||
|
|
|
|
|
| |||||||
Total Value | $ | (346,132 | ) | $ | — | $ | (346,132 | ) | ||||
|
|
|
|
|
|
NET REALIZED GAIN (LOSS)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights(7) | $ | — | $ | 2,442 | $ | 2,442 | ||||||
Warrants(7) | — | 7,595 | 7,595 | |||||||||
Forward Foreign Currency Contracts(8) | 807,285 | — | 807,285 | |||||||||
|
|
|
|
|
| |||||||
Total Net Realized Gain (Loss) | $ | 807,285 | $ | 10,037 | $ | 817,322 | ||||||
|
|
|
|
|
|
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Warrants(12) | $ | — | $ | 91,750 | $ | 91,750 | ||||||
Forward Foreign Currency Contracts(13) | (849,864 | ) | — | (849,864 | ) | |||||||
|
|
|
|
|
| |||||||
Total Change in Net Unrealized Appreciation (Depreciation) | $ | (849,864 | ) | $ | 91,750 | $ | (758,114 | ) | ||||
|
|
|
|
|
|
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(17)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights | — | 36,624 | 36,624 | |||||||||
Warrants | — | 37,233 | 37,233 | |||||||||
Forward Foreign Currency Contracts | (17,792,747 | ) | — | (17,792,747 | ) |
179
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
* | Centrally Cleared Swaps are valued at unrealized appreciation/depreciation in the Schedule of Investments. Only current day’s variation margin, if any, is reported on the Statement of Assets and Liabilities. |
(1) | Statement of Assets and Liabilities location: Investments, at value. |
(2) | Statement of Assets and Liabilities location: Unrealized appreciation on open forward foreign currency contracts. |
(3) | Cumulative appreciation (depreciation) on futures contracts is disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, are reported within the Statement of Assets and Liabilities. Synthetic Futures are presented as Synthetic futures, at value within the Statement of Assets and Liabilities. |
(4) | Statement of Assets and Liabilities location: Swap contracts, at value and Variation margin receivable and Variation margin payable on swap contracts. |
(5) | Statement of Assets and Liabilities location: Unrealized depreciation on open forward foreign currency contracts. |
(6) | Statement of Assets and Liabilities location: Written options, at value. |
(7) | Statement of Operations location: Amounts are included in Net realized gain (loss) on Investments. |
(8) | Statement of Operations location: Amounts are included in Net realized gain (loss) on Forward foreign currency contracts and foreign currency related transactions. |
(9) | Statement of Operations location: Amounts are included in Net realized gain (loss) on Closed futures contracts. |
(10) | Statement of Operations location: Amounts are included in Net realized gain (loss) on Written option contracts. |
(11) | Statement of Operations location: Amounts are included in Net realized gain (loss) on Swap contracts. |
(12) | Statement of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Investments. |
(13) | Statement of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Forward foreign currency contracts and foreign currency related transactions. |
(14) | Statement of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Open futures contracts. |
(15) | Statement of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Written option contracts. |
(16) | Statement of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Swap contracts. |
(17) | Amounts disclosed represent average number of contracts, notional amounts, or shares outstanding for the months that the Fund held such derivatives during the period ended September 30, 2013. |
The following table presents each Fund’s derivative assets by counterparty net of amounts available for offset under a master netting agreement, or similar agreement, and net of the related collateral received by the Fund as of September 30, 2013:
Large Cap Value
Offsetting of Financial Liabilities and Derivative Liabilities:
Counterparty | Gross Liabilities in Statement of Assets and Liabilities(a) | Derivative Assets/(Liabilities) available for offset | Collateral Pledged | Net Amount of Derivative Liabilities(b) | ||||||||||||
Barclays Bank Plc | $ | 22,825 | $ | — | $ | — | $ | 22,825 | ||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 22,825 | $ | — | $ | — | $ | 22,825 | |||||||||
|
|
|
|
|
|
|
|
(a) | Absent an event of default or early termination, over the counter derivative assets and liabilities are presented gross and not offset in the Statements of Assets and Liabilities. |
(b) | Represents the net amount payable to the counterparty in the event of default. |
Securities on Loan are fully collateralized and the collateral exceeded the securities on loan at September 30, 2013. See footnote 2(d) in the Notes to Financial Statements.
180
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
Non US Core Equity
Offsetting of Financial Assets and Derivative Assets:
Counterparty | Gross Assets in Statement of Assets and Liabilities(a) | Derivative Assets/(Liabilities) available for offset | Collateral Received | Net Amount of Derivative Assets(b) | ||||||||||||
Deutsche Bank Securities | $ | 440,458 | $ | — | $ | — | $ | 440,458 | ||||||||
JPMorgan Securities Inc. | 262,198 | — | — | 262,198 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 702,656 | $ | — | $ | — | $ | 702,656 | |||||||||
|
|
|
|
|
|
|
|
(a) | Absent an event of default or early termination, over the counter derivative assets and liabilities are presented gross and not offset in the Statements of Assets and Liabilities. |
(b) | Represents the net amount receivable from the counterparty in the event of default. |
Securities on Loan are fully collateralized and the collateral exceeded the securities on loan at September 30, 2013. See footnote 2(d) in the Notes to Financial Statements.
Core Fixed
Offsetting of Financial Assets and Derivative Assets:
Counterparty | Gross Assets in Statement of Assets and Liabilities(a) | Derivative Assets/(Liabilities) available for offset | Collateral Received(d) | Net Amount of Derivative Assets(b) | ||||||||||||
Bank of America N.A. | $ | 53,578 | $ | (53,578 | ) | $ | — | $ | — | |||||||
Goldman Sachs | 184,243 | (184,243 | ) | — | — | |||||||||||
HSBC Bank USA | 123,201 | (42,770 | ) | — | 80,431 | |||||||||||
JPMorgan Chase Bank | 11,271 | (11,271 | ) | — | — | |||||||||||
Morgan Stanley & Co., Inc. | 1,406 | (1,406 | ) | — | — | |||||||||||
Morgan Stanley Capital Services LLC | 175,259 | (11,003 | ) | (135,000 | ) | 29,256 | ||||||||||
UBS AG | 3,178 | (3,070 | ) | — | 108 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 552,136 | $ | (307,341 | ) | $ | (135,000 | ) | $ | 109,795 | |||||||
|
|
|
|
|
|
|
|
Offsetting of Financial Liabilities and Derivative Liabilities:
Counterparty | Gross Liabilities in Statement of Assets and Liabilities(a) | Derivative Assets/(Liabilities) available for offset | Collateral Pledged | Net Amount of Derivative Liabilties(c) | ||||||||||||
Bank of America N.A. | $ | 345,970 | $ | (53,578 | ) | $ | — | $ | 292,392 | |||||||
Citibank N.A. | 17,314 | — | — | 17,314 | ||||||||||||
Deutsche Bank AG | 7,068 | — | — | 7,068 | ||||||||||||
Goldman Sachs | 327,990 | (184,243 | ) | — | 143,747 | |||||||||||
HSBC Bank USA | 42,770 | (42,770 | ) | — | — | |||||||||||
JPMorgan Chase Bank | 25,948 | (11,271 | ) | — | 14,677 | |||||||||||
Morgan Stanley & Co., Inc. | 8,080 | (1,406 | ) | — | 6,674 | |||||||||||
Morgan Stanley Capital Services LLC | 11,003 | (11,003 | ) | — | — | |||||||||||
UBS AG | 3,070 | (3,070 | ) | — | — | |||||||||||
Royal Bank of Scotland Plc | 752,859 | — | — | 752,859 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 1,542,072 | $ | (307,341 | ) | $ | — | $ | 1,234,731 | ||||||||
|
|
|
|
|
|
|
|
181
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
(a) | Absent an event of default or early termination, over the counter derivative assets and liabilities are presented gross and not offset in the Statements of Assets and Liabilities. |
(b) | Represents the net amount receivable from the counterparty in the event of default. |
(c) | Represents the net amount payable to the counterparty in the event of default. |
(d) | In some instances, the actual collateral received and/or pledged may be more than the amount shown. |
Securities on Loan are fully collateralized and the collateral exceeded the securities on loan at September 30, 2013. See footnote 2(d) in the Notes to Financial Statements.
Repurchase Agreements are fully collateralized and shown on the Fund’s Schedule of Investments.
Exchange traded futures, options and swaps are not subject to a master netting arrangement or another similar arrangement.
Opportunistic Fixed
Offsetting of Financial Assets and Derivative Assets:
Counterparty | Gross Assets in Statement of Assets and Liabilities(a) | Derivative Assets/(Liabilities) available for offset | Collateral Received | Net Amount of Derivative Assets(b) | ||||||||||||
Citibank N.A. | $ | 246,822 | $ | (102,298 | ) | $ | — | $ | 144,524 | |||||||
Goldman Sachs | 192,978 | (192,978 | ) | — | — | |||||||||||
JPMorgan Chase Bank | 2,657 | — | — | 2,657 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 442,457 | $ | (295,276 | ) | $ | — | $ | 147,181 | ||||||||
|
|
|
|
|
|
|
|
Offsetting of Financial Liabilities and Derivative Liabilities:
Counterparty | Gross Liabilities in Statement of Assets and Liabilities(a) | Derivative Assets/(Liabilities) available for offset | Collateral Pledged | Net Amount of Derivative Liabilties(c) | ||||||||||||
Citibank N.A. | $ | 102,298 | $ | (102,298 | ) | $ | — | $ | — | |||||||
Goldman Sachs | 367,749 | (192,978 | ) | — | 174,771 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 470,047 | $ | (295,276 | ) | $ | — | $ | 174,771 | ||||||||
|
|
|
|
|
|
|
|
(a) | Absent an event of default or early termination, over the counter derivative assets and liabilities are presented gross and not offset in the Statements of Assets and Liabilities. |
(b) | Represents the net amount receivable from the counterparty in the event of default. |
(c) | Represents the net amount payable to the counterparty in the event of default. |
Emerging Markets
Offsetting of Financial Assets and Derivative Assets:
Counterparty | Gross Assets in Statement of Assets and Liabilities(a) | Derivative Assets/(Liabilities) available for offset | Collateral Received | Net Amount of Derivative Assets(b) | ||||||||||||
Goldman Sachs | $ | 339,773 | $ | (121,220 | ) | $ | — | $ | 218,553 | |||||||
Royal Bank of Scotland Plc | 2,548,578 | (2,548,578 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 2,888,351 | $ | (2,669,798 | ) | $ | — | $ | 218,553 | ||||||||
|
|
|
|
|
|
|
|
182
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
Offsetting of Financial Liabilities and Derivative Liabilities:
Counterparty | Gross Liabilities in Statement of Assets and Liabilities(a) | Derivative Assets/(Liabilities) available for offset | Collateral Pledged(d) | Net Amount of Derivative Liabilties(c) | ||||||||||||
Goldman Sachs | $ | 121,220 | $ | (121,220 | ) | $ | — | $ | — | |||||||
Royal Bank of Scotland Plc | 2,575,254 | (2,548,578 | ) | — | 26,676 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 2,696,474 | $ | (2,669,798 | ) | $ | — | $ | 26,676 | ||||||||
|
|
|
|
|
|
|
|
(a) | Absent an event of default or early termination, over the counter derivative assets and liabilities are presented gross and not offset in the Statements of Assets and Liabilities. |
(b) | Represents the net amount receivable from the counterparty in the event of default. |
(c) | Represents the net amount payable to the counterparty in the event of default. |
(d) | In some instances, the actual collateral received and/or pledged may be more than the amount shown. |
Securities on Loan are fully collateralized and the collateral exceeded the securities on loan at September 30, 2013. See footnote 2(d) in the Notes to Financial Statements.
Exchange traded futures, options and swaps are not subject to a master netting arrangement or another similar arrangement.
Global Low Volatility
Offsetting of Financial Assets and Derivative Assets:
Counterparty | Gross Assets in Statement of Assets and Liabilities(a) | Derivative Assets/(Liabilities) available for offset | Collateral Received | Net Amount of Derivative Assets(b) | ||||||||||||
HSBC Bank USA | $ | 50,547 | $ | (11,422 | ) | $ | — | $ | 39,125 | |||||||
UBS AG | 17,576 | (17,576 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 68,123 | $ | (28,998 | ) | $ | — | $ | 39,125 | ||||||||
|
|
|
|
|
|
|
|
Offsetting of Financial Liabilities and Derivative Liabilities:
Counterparty | Gross Liabilities in Statement of Assets and Liabilities(a) | Derivative Assets/(Liabilities) available for offset | Collateral Pledged | Net Amount of Derivative Liabilties(c) | ||||||||||||
Bank of New York | $ | 165,474 | $ | — | $ | — | $ | 165,474 | ||||||||
Goldman Sachs | 48,291 | — | — | 48,291 | ||||||||||||
HSBC Bank USA | 11,422 | (11,422 | ) | — | — | |||||||||||
JPMorgan Chase Bank | 91,011 | — | — | 91,011 | ||||||||||||
UBS AG | 29,934 | (17,576 | ) | — | 12,358 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 346,132 | $ | (28,998 | ) | $ | — | $ | 317,134 | ||||||||
|
|
|
|
|
|
|
|
(a) | Absent an event of default or early termination, over the counter derivative assets and liabilities are presented gross and not offset in the Statements of Assets and Liabilities. |
(b) | Represents the net amount receivable from the counterparty in the event of default. |
(c) | Represents the net amount payable to the counterparty in the event of default. |
Securities on Loan are fully collateralized and the collateral exceeded the securities on loan at September 30, 2013. See footnote 2(d) in the Notes to Financial Statements.
183
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
The Funds follow FASB ASC 815-10-50 “Disclosures about Credit Derivatives and Certain Guarantees”. This applies to written credit derivatives, hybrid instruments with embedded credit derivatives (for example, credit-linked notes), and certain guarantees. See Note 2 for a description of credit derivative instruments.
The following is a summary of open centrally cleared credit default swap positions held in Core Fixed at September 30, 2013:
Notional Amount | Currency | Expiration Date | Counterparty | Buy/Sell Protection | Maximum Potential Amount of Future Payments Under the Contract | Receive (Pay) Fixed Rate | Deliverable | Unrealized Appreciation (Depreciation) | Value | |||||||||||||||||||||||||
19,500,000 | USD | 12/20/2018 | Morgan Stanley & Co., Inc. | Sell | $ | 19,500,000 | 1.00 | % | CDX.NA.IG.21 | $ | (32,549 | ) | $ | 176,609 | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
$ | 19,500,000 | $ | (32,549 | ) | $ | 176,609 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
The following is a summary of open credit default swap positions held in Core Fixed at September 30, 2013:
Notional Amount | Currency | Expiration Date | Counterparty | Buy/Sell Protection | Maximum Potential Amount of Future Payments Under the Contract | Receive (Pay) Fixed Rate | Deliverable | Unrealized Appreciation (Depreciation) | Value | |||||||||||||||||||||||||
1,500,000 | USD | 09/20/2016 | Morgan Stanley Capital Services LLC | Sell | $ | 1,500,000 | 1.00 | % | Federative Republic of Brazil, 12.25% 03/06/30 | $ | 9,512 | $ | (11,003 | ) | ||||||||||||||||||||
4,400,000 | USD | 03/20/2021 | Goldman Sachs | Sell | 4,400,000 | 1.60 | % | State of Connecticut (Moody’s Rating: Aa3; S&P Rating: AA) | 183,855 | 183,855 | ||||||||||||||||||||||||
2,800,000 | USD | 09/20/2016 | Bank of America N.A. | Sell | 2,800,000 | 1.00 | % | Japan Sovereign Bond | (2,035 | ) | 53,578 | |||||||||||||||||||||||
400,000 | USD | 12/20/2015 | Deutsche Bank AG | Buy | N/A | (1.00 | %) | Starwood Hotels and Resorts, 6.75%, 05/15/18 | (35,872 | ) | (7,068 | ) | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
$ | 8,700,000 | $ | 155,460 | $ | 219,362 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
(b) Security transactions and related investment income
Security transactions are accounted for on trade date. Dividend income, net of applicable withholding taxes, is recorded on the ex-dividend date or when the Fund is informed of the ex-dividend date, if later. Interest income is recorded on the accrual basis, and is adjusted for amortization of premium and discounts for debt securities. Income is not recognized, nor are premium and discount amortized, on securities for which collection is not expected. Withholding taxes on foreign dividend, interest, and capital gains have been provided for in accordance with the respective country’s tax rules and rates. Non-cash dividends, if any, are recorded at the fair value of the securities received. Interest income on inflation indexed securities is accrued daily based upon an inflation-adjusted principal. Additionally, any increase in the principal or face amount of these securities is recorded as interest income. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified-cost basis.
(c) Cash and short term investments
A Fund may invest a portion of its assets in short-term debt securities (including repurchase agreements and reverse repurchase agreements) of corporations, the U.S. government and its agencies and instrumentalities and banks and finance companies, which may be denominated in any currency.
184
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
A Fund may invest a portion of its assets in shares issued by money market mutual funds. A Fund also may invest in collective investment vehicles that are managed by an unaffiliated investment manager, pending investment of the Fund’s assets in portfolio securities. When unusual market conditions warrant, a Fund may make substantial temporary defensive investments in cash equivalents, up to a maximum of 100% of the Fund’s net assets. Cash equivalent holdings may be in any currency. When a Fund invests for temporary defensive purposes, such investments may affect the Fund’s ability to achieve its investment objective.
(d) Securities lending
A Fund may lend its portfolio securities to qualified broker-dealers and financial institutions pursuant to agreements, provided: (1) the loan is secured continuously by collateral marked-to-market daily and maintained in an amount at least equal to the current fair value of the securities loaned; (2) the Fund may call the loan at any time and receive the securities loaned; (3) the Fund will receive any interest or dividends paid on the loaned securities; and (4) the aggregate fair value of securities loaned will not at any time exceed 33 1/3% of the total assets of the Fund. Collateral will consist of U.S. and non-U.S. securities, cash equivalents or irrevocable letters of credit. A liability for cash collateral is reflected in the Statements of Assets and Liabilities, and is categorized as Level 2 within the fair value hierarchy. As with other extensions of credit, there are risks of delay in recovery or even loss of rights in collateral in the event of default or insolvency of a borrower of a Fund’s portfolio securities. A Fund may not retain voting rights on securities while they are on loan.
The Funds participate in a securities lending program under which the Funds’ custodian, State Street Bank and Trust Company (the “Custodian”), is authorized to lend Fund portfolio securities to qualified broker-dealers and financial institutions that post appropriate collateral. Currently, the cash collateral is invested in the State Street Navigator Securities Lending Prime Portfolio. The Custodian receives a portion of the interest earned on any reinvested collateral. The market value of securities on loan to borrowers and the value of collateral held by the Funds with respect to such loans at September 30, 2013 were as follows:
Market Value of Loaned Securities | Value of Cash Collateral | Value of Non-Cash Collateral | ||||||||||
Large Cap Growth | $ | 5,550,833 | $ | 5,634,917 | $ | — | ||||||
Large Cap Value | 2,446,908 | 2,518,052 | — | |||||||||
Small/Mid Cap Growth | 30,217,951 | 30,930,277 | 87,098 | |||||||||
Small/Mid Cap Value | 14,305,813 | 14,523,900 | 263,131 | |||||||||
Non-US Core | 47,762,182 | 49,103,414 | 2,247,334 | |||||||||
Core Fixed | 3,482,986 | 3,567,273 | — | |||||||||
Opportunistic Fixed | — | — | — | |||||||||
Emerging Markets | 10,767,663 | 10,730,470 | 547,493 | |||||||||
Global Low Volatility | 30,473,830 | 31,839,105 | — | |||||||||
Short Maturity | — | — | — |
(e) Repurchase agreements
A Fund may enter into a repurchase agreement under the terms of a Master Repurchase Agreement where the Fund purchases securities from a bank or broker-dealer who simultaneously agrees to repurchase the securities at a mutually agreed upon time and price, thereby determining the yield during the term of the agreement. As a result, a repurchase agreement provides a fixed rate of return insulated from market fluctuations during the term of the agreement. The term of a repurchase agreement generally is short, possibly overnight or for a few days, although it may extend over a number of months (up to one year) from the date of delivery. Repurchase agreements are considered under the 1940 Act to be collateralized loans by a Fund to a seller secured by the securities transferred to the Fund. Repurchase agreements are fully collateralized and the collateral is marked-to-market daily. A Fund may not enter into a repurchase agreement having more than seven days remaining to maturity if, as a result, such agreement, together with any other illiquid securities held by the Fund, would exceed 15% of the value of the net assets of the Fund. See the Core Fixed Schedule of Investments for open repurchase agreements held as of September 30, 2013. The value of the related collateral exceeded the value of the repurchase agreement at period end.
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(f) Swaps
A Fund may engage in swaps, including, but not limited to, interest rate, currency, credit default, and index swaps, and the purchase or sale of related caps, floors, collars, and other derivative instruments. A Fund expects to enter into these transactions to preserve a return or spread on a particular investment or portion of the portfolio, to modify the portfolio’s duration, to protect against any increase in the price of securities the Fund anticipates purchasing at a later date, or to gain exposure to certain markets in the most economical way possible.
Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) with respect to a notional amount of principal. Currency swaps involve the exchange of cash flows on a notional amount based on changes in the values of referenced currencies.
The purchase of a cap entitles the purchaser to receive payments on a notional principal amount from the party selling the cap to the extent that a specified index exceeds a predetermined interest rate or amount. The purchase of an interest rate floor entitles the purchaser to receive payments on a notional principal amount from the party selling the floor to the extent that a specified index falls below a predetermined interest rate or amount. A collar is a combination of a cap and a floor that preserves a certain return with a predetermined range of interest rates or values.
Swaps do not involve the delivery of securities or other underlying assets or principal, and are subject to counterparty risk. If the other party to a swap defaults and fails to consummate the transaction, a Fund’s risk of loss consists of the net amount of interest payments that the Fund is contractually entitled to receive.
Whether a Fund’s use of swap agreements or swap options will be successful in achieving the Fund’s investment objective will depend on the Subadvisor’s ability to predict correctly whether certain types of investments are likely to produce greater returns than other investments. Moreover, a Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. The Funds will enter into swap agreements only with counterparties that meet certain standards of creditworthiness.
If there is a default by the counterparty to a swap contract, a Fund will be limited to contractual remedies pursuant to the agreements related to the transaction. There is no assurance that a swap contract counterparty will be able to meet its obligations pursuant to a swap contract or that, in the event of a default, a Fund will succeed in pursuing contractual remedies. A Fund thus assumes the risk that it may be delayed in, or prevented from, obtaining payments owed to it pursuant to a swap contract. However, the amount at risk is only the net unrealized gain, if any, on the swap at the time of default, and not the entire notional amount of the swap contract. The Subadvisor that enters into the swap agreement will closely monitor, subject to the oversight of the Board, the creditworthiness of swap counterparties in order to minimize the risk of counterparty default on swaps.
Because swaps are two party contracts that may be subject to contractual restrictions on transferability and termination, and they may have terms of greater than seven days, swap agreements may be considered to be illiquid and subject to a Fund’s limitation on investments in illiquid securities. However, the Trust has adopted procedures pursuant to which the Advisor may determine that swaps (including swap options) are liquid under certain circumstances. To the extent that a swap is not liquid, it may not be possible to initiate a transaction or liquidate a position at an advantageous time or price, which may result in significant losses.
Certain restrictions imposed on the Funds’ ability to qualify as regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), may limit the Funds’ ability to use swap agreements. The swaps market is largely unregulated. It is possible that developments in the swaps market, including potential government regulation, could adversely affect a Fund’s ability to terminate existing swap agreements or to realize amounts to be received under such agreements.
The credit default swap agreements may have as reference obligations one or more securities that are not currently held by a Fund. The protection “buyer” in a credit default swap agreement is generally obligated to pay the protection “seller” an upfront or a periodic stream of payments over the term of the contract provided that no credit
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event, such as a default, on a reference obligation has occurred. If a credit event occurs, the seller generally must pay the buyer the “par value” (full notional value) of the swap in exchange for an equal face amount of deliverable obligations of the reference entity described in the swap, or the seller may be required to deliver the related net cash amount, if the swap is cash settled. A Fund may be either the buyer or seller in the transaction. If a Fund is a buyer and no credit event occurs, the Fund may recover nothing if the swap is held through its termination date. However, if a credit event occurs, the buyer generally may elect to receive the full notional value of the swap in exchange for an equal face amount of deliverable obligations of the reference entity whose value may have significantly decreased. As a seller, a Fund generally receives an upfront payment or a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, a Fund would effectively add leverage to its portfolio because, in addition to its total net assets, a Fund would be subject to investment exposure on the notional amount of the swap.
The spread of a credit default swap is the annual amount the protection buyer must pay the protection seller over the length of the contract, expressed as a percentage of the notional amount. When spreads rise, market perceived credit risk rises and when spreads fall, market perceived credit risk falls. Wider credit spreads and decreasing market values, when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit worthiness and an increased market perception that there is a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values, as well as the annual payment rates, serve as an indication of the current status of the payment/performance risk.
Credit default swap agreements involve greater risks than if a Fund had invested in the reference obligation directly since, in addition to general market risks, credit default swaps are subject to illiquidity risk, counterparty risk and credit risk. A Fund will enter into credit default swap agreements only with counterparties that meet certain standards of creditworthiness. A buyer generally also will lose its investment and recover nothing should no credit event occur and the swap is held to its termination date. If a credit event were to occur, the value of any deliverable obligation received by the seller, coupled with the upfront or periodic payments previously received, may be less than the full notional value it pays to the buyer, resulting in a loss of value to the seller. A Fund’s obligations under a credit default swap agreement will be accrued daily (offset against any amounts owing to the Fund). In connection with credit default swaps in which a Fund is the buyer, the Fund will segregate or “earmark” cash or assets determined to be liquid by the Advisor and/or the Subadvisor in accordance with procedures established by the Board of Trustees, or enter into certain offsetting positions, with a value at least equal to the Fund’s exposure (any accrued but unpaid net amounts owed by the Fund to any counterparty), on a marked-to-market basis. In connection with credit default swaps in which a Fund is the seller, the Fund will segregate or “earmark” cash or assets determined to be liquid by the Advisor and/or Subadvisor in accordance with procedures established by the Board of Trustees, or enter into offsetting positions, with a value at least equal to the full notional amount of the swap (minus any amounts owed to the Fund). Such segregation or “earmarking” will ensure that a Fund has assets available to satisfy its obligations with respect to the transaction and will limit any potential leveraging of the Fund’s portfolio. Such segregation or “earmarking” will not limit the Fund’s exposure to loss.
Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally credit derivatives. In a cleared derivative transaction, a Fund typically enters into the transaction with a financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of the original counterparty. The Fund typically will be required to post specified levels of margin with the clearinghouse or at the instruction of the clearinghouse; the margin required by a clearinghouse may be greater than the margin the Fund would be required to post in an uncleared derivative transaction. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a receivable or payable for the change in value as appropriate on the Statements of Assets and Liabilities. Only a limited number of derivative transactions are currently eligible for clearing by clearinghouses.
A Fund will accrue for interim payments on swap contracts on a daily basis, with the net amount recorded as interest payable or receivable on swap contracts on the Statements of Assets and Liabilities. Once interim payments are settled in cash, the net amount is recorded as realized gain/loss on swap contracts, in addition to realized gain/
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loss recorded upon the termination of swap contracts on the Statements of Operations. Fluctuations in the value of swap contracts are recorded for financial statement purposes as unrealized appreciation or depreciation of swap contracts (swap contracts, at value on the Statements of Assets and Liabilities).
Swap agreements are marked to market daily. The change in value, if any, is recorded as unrealized gain or loss in the Statements of Operations. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss in the Statements of Operations. Net periodic payments are included as part of realized gain (loss) on the Statements of Operations.
The swaps in which the Fund may engage may include instruments under which one party pays a single or periodic fixed amount(s) (or premium), and the other party pays periodic amounts based on the movement of a specified index. The Fund’s maximum risk of loss from counterparty credit risk, as opposed to investment and other types of risk, in respect of swaps is typically the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life to the extent that such amount is positive, plus the cost of entering into a similar transaction with another counterparty, if possible.
The use of swaps is a highly specialized activity that involves investment techniques and risks different from those associated with ordinary portfolio securities transactions. If the Advisor or Subadvisor is incorrect in its forecasts of market values, interest rates, and currency exchange rates, the investment performance of the Fund would be less favorable than it would have been if this investment technique were not used.
Like most other investments, swap agreements are subject to the risk that the market value of the instrument will change in a way detrimental to a Fund’s interest. A Fund bears the risk that Subadvisor will not accurately forecast future market trends or the values of assets, reference rates, indexes, or other economic factors in establishing swap positions for the Fund. If a Subadvisor attempts to use a swap as a hedge against, or as a substitute for, a portfolio investment, the Fund will be exposed to the risk that the swap will have or will develop imperfect or no correlation with the portfolio investment. This could cause substantial losses for the Fund. While hedging strategies involving swap instruments can reduce the risk of loss, they can also reduce the opportunity for gain or even result in losses by offsetting favorable price movements in other Fund investments.
During the period ended September 30, 2013, Core Fixed used swap agreements to adjust interest rate and yield curve exposure or to manage credit exposure. See the Core Fixed Schedule of Investments for a listing of open swap agreements as of September 30, 2013.
(g) Futures
A futures contract is a contractual agreement to buy or sell a specific amount of a commodity or financial instrument at a predetermined price on a stipulated future date. A Fund may enter into contracts for the purchase or sale for future delivery of securities, indices and foreign currencies. Futures contracts may be opened to protect against the adverse effects of fluctuations in security prices, interest rates, or foreign exchange rates without actually buying or selling the securities or foreign currency. A Fund also may enter into futures contracts as a low cost method for gaining or reducing exposure to a particular currency or securities market without directly investing in those currencies or securities.
A purchase of a futures contract means the acquisition of a contractual right of a Fund to obtain delivery of the securities or foreign currency underlying the contract at a specified price on a specified future date. When a futures contract is sold, a Fund incurs a contractual obligation to deliver the securities or foreign currency underlying the contract at a specified price on a specified date.
When a Fund enters into a futures contract, it must deliver to the futures commission merchant selected by the Fund an amount referred to as “initial margin.” This amount is maintained by the futures commission merchant in a segregated account at the custodian bank. Futures contracts are marked-to-market daily, depending upon changes in the price of the underlying securities subject to the futures contracts, and the change in value is recorded by the Fund as a variation margin payable or receivable. The Fund recognizes gains and losses on futures contracts in addition to the variation margin, which gains and losses are considered realized at the time the contracts expire or close.
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September 30, 2013 (Unaudited)
A Fund may enter into futures transactions on domestic exchanges and, to the extent such transactions have been approved by the CFTC for sale to customers in the United States, or on foreign exchanges. In addition, a Fund may sell stock index futures in anticipation of, or during a market decline to attempt to offset the decrease in the market value of the Fund’s common stocks that might otherwise result, and a Fund may purchase such contracts in order to offset increases in the cost of common stocks that it intends to purchase. Unlike other futures contracts, a stock index futures contract specifies that no delivery of the actual stocks making up the index will take place. Instead, settlement in cash must occur upon the termination of the contract.
While futures contracts provide for the delivery of securities, deliveries usually do not occur. Contracts are generally terminated by entering into offsetting transactions.
Where the futures market is not as developed or where the regulations prevent or make it disadvantageous to trade futures, the Emerging Markets Fund will utilize synthetic futures as part of the country selection strategy implementation. A synthetic future uses equity index swaps on equity index futures.
During the period ended September 30, 2013, Core Fixed used futures to adjust interest rate exposure and replicate government bond positions. Emerging Markets used futures to create passive index exposure to certain domestic emerging market country indices in the Fund. See the Core Fixed and Emerging Markets Schedules of Investments for a listing of open futures contracts as of September 30, 2013.
(h) Options
The Funds may purchase and sell (write) put and call options on debt securities and indices to enhance investment performance, manage duration, or protect against changes in market prices. The Funds may also buy and sell combinations of put and call options on the same underlying security, currency or index. Short (sold) options positions will generally be hedged by the Funds with cash, cash equivalents, current portfolio security holdings, or other options or futures positions.
The Funds may enter into swap options (“swaptions”). A swaption is a contract that gives a counterparty the right (but not the obligation), in return for payment of a premium, to enter into a new swap agreement or to shorten, extend, cancel, or otherwise modify an existing swap agreement, at some designated future time on specified terms. Each Fund may write (sell) and purchase put and call swaptions. Depending on the terms of the particular option agreement, a Fund generally will incur a greater degree of risk when the Fund writes a swaption than the Fund will incur when it purchases a swaption. When a Fund purchases a swaption, the Fund’s risk of loss is limited to the amount of the premium it has paid should it decide to let the swaption expire unexercised. However, when a Fund writes a swaption, upon exercise of the option, the Fund will become obligated according to the terms of the underlying agreement.
When the Fund writes a covered call or a put option, an amount equal to the premium received by the Fund is included in the Fund’s Statement of Assets and Liabilities as an asset and as an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. The Fund receives a premium on the sale of a call option but gives up the opportunity to profit from any increase in stock value above the exercise price of the option, and when the Fund writes a put option, it is exposed to a decline in the price of the underlying security.
Whether an option which the Fund has written expires on its stipulated expiration date or the Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss, if the cost of a closing purchase transaction exceeds the premium received when the option was sold) without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is extinguished. If a call option which the Fund has written is exercised, the Fund realizes a capital gain or loss from the sale of the underlying security, and the cost basis of the lots sold are decreased by the premium originally received. When a put option which a Fund has written is exercised, the amount of the premium originally received will reduce the cost of the security which a Fund purchases upon exercise of the option. Realized gains (losses) on purchased options are included in net realized gain (loss) from investments.
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Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
The Funds’ use of written options involves, to varying degrees, elements of market risk in excess of the amount recognized in the Statements of Assets and Liabilities. The face or contract amounts of these instruments reflect the extent of the Fund’s exposure to market risk. The risks may be caused by an imperfect correlation between movements in the price of the instrument and the price of the underlying securities and interest rates.
During the period ended September 30, 2013, Non-US Core Equity used options to adjust exposure to foreign currency and to efficiently maintain liquidity. Core Fixed used options to manage interest rate and volatility exposure.
See the Non-US Core Equity and Core Fixed Schedules of Investments for a listing of options contracts as of September 30, 2013.
Transactions in written option contracts for Core Fixed for the period ended September 30, 2013, is as follows:
Number of Contracts | Premiums Received | |||||||
Options outstanding at March 31, 2013 | 35,400,095 | $ | 309,231 | |||||
Options written | 151,501,368 | 1,012,752 | ||||||
Options terminated in closing purchase transactions | (19,900,942 | ) | (311,624 | ) | ||||
Option exercised | (25,000,000 | ) | (82,900 | ) | ||||
Options expired | (27,600,344 | ) | (223,421 | ) | ||||
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| |||||
Options outstanding at September 30, 2013 | 114,400,177 | $ | 704,038 |
(i) Forward foreign currency contracts
The Funds may purchase or sell currencies and/or engage in forward foreign currency transactions in order to expedite settlement of portfolio transactions and to manage currency risk.
Forward foreign currency contracts are traded in the inter-bank market conducted directly between currency traders (usually large commercial banks) and their customers. A forward contract generally has no deposit requirement and no commissions are charged at any stage for trades. The Funds will account for forward contracts by marking-to-market each day at current forward contract values. The change in market value is recorded by the Fund as an unrealized gain or loss. When the contract is closed, the Fund recognizes a realized gain or loss equal to the difference between the value of the contract at the time the contract was opened and the value at the time the contract was closed.
The Funds will only enter into forward contracts to sell, for a fixed amount of U.S. dollars or other appropriate currency, an amount of foreign currency, to the extent that the value of the short forward contract is covered by the underlying value of securities denominated in the currency being sold. Alternatively, when a Fund enters into a forward contract to sell an amount of foreign currency, the Custodian or the Fund’s sub-custodian will segregate assets in a segregated account of the Fund in an amount not less than the value of the Fund’s total assets committed to the consummation of such forward contract. If the additional segregated assets placed in the segregated account decline, additional cash or securities will be placed in the account on a daily basis so that the value of the account will equal the amount of the Fund’s commitments with respect to such contract.
During the period ended September 30, 2013, Large Cap Value used forward foreign currency contracts to partially hedge Japanese Yen exposure on the currency risk embedded in one ADR position. Core Fixed used forward foreign currency contracts to hedge, cross-hedge or to actively manage non-US Dollar exposures in the Fund. Opportunistic Fixed used forward foreign currency contracts for a variety of purposes, including hedging, risk management, efficient portfolio management, enhancing total returns, or as a substitute for taking a position in the underlying asset. Emerging Markets and Global Low Volatility used forward foreign currency contracts to hedge, cross hedge or to actively manage the currency exposures in the Funds. See the Large Cap Value, Core Fixed, Opportunistic Fixed, Emerging Markets and Global Low Volatility Schedules of Investments for a listing of open forward foreign currency contracts as of September 30, 2013.
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Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
(j) Foreign currency translation
The books and records of each Fund are maintained in US dollars. Foreign currencies, investments and other assets and liabilities denominated in foreign currencies are translated into US dollars at the foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated at exchange rates prevailing on the respective dates of such transactions. Unrealized gains and losses that result from changes in foreign currency exchange rates have been included in the unrealized gains (losses) on foreign currency translations within each Fund’s Statement of Operations. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions and the difference between the amounts of interest and dividends recorded on the books of the Fund and the amount actually received. The portion of foreign currency gains and losses related to fluctuations in exchange rates between the purchase settlement date and subsequent sale trade date is included in realized gains and losses on investment transactions.
(k) When-issued securities/TBA securities
Purchasing securities on a “when-issued” basis is a commitment by a Fund to buy a security before the security is actually issued. A Fund may purchase securities offered on a “when-issued” or “forward delivery” basis such as “to-be-announced” (“TBA”) securities. When so offered, the price, which is generally expressed in yield terms, is fixed at the time the commitment to purchase is made, but delivery and payment for the when-issued or forward delivery securities take place at a later date. During the period between purchase and settlement, no payment is made by the purchaser to the issuer and no interest on the when-issued or forward delivery security accrues to the purchaser. While when-issued or forward delivery securities may be sold prior to the settlement date, it is intended that a Fund will purchase such securities with the purpose of actually acquiring the securities unless a sale appears desirable for investment reasons. At the time a Fund makes the commitment to purchase a security on a when-issued or forward delivery basis, the Fund will record the transaction and reflect the value of the security in determining the Fund’s NAV. The market value of when-issued or forward delivery securities may be more or less than the purchase price. Certain risks may arise upon entering into when-issued or forward delivery securities transactions, including the potential inability of counterparties to meet the terms of their contracts, and the issuer’s failure to issue the securities due to political, economic, or other factors. Additionally, losses may arise due to declines in the value of the securities prior to settlement date. See the Core Fixed Schedule of Investments for TBA sale commitments held as of September 30, 2013.
(l) Real estate investment trusts
The Funds may invest in real estate investment trusts (“REITs”), which pool investors’ funds for investment, primarily in income producing real estate or real estate-related loans or interests. A REIT is not taxed on income distributed to its shareholders or unitholders if it complies with regulatory requirements relating to its organization, ownership, assets and income, and with a regulatory requirement to distribute to its shareholders or unitholders at least 90% of its taxable income for each taxable year.
A shareholder in a Fund, by investing in REITs through the Fund, will bear not only the shareholder’s proportionate share of the expenses of the Fund, but also, indirectly, the management expenses of the underlying REITs. REITs depend generally on their ability to generate cash flow to make distributions to shareholders or unitholders, and may be subject to defaults by borrowers and to self-liquidations. In addition, the performance of a REIT may be affected by its failure to qualify for tax-free pass-through of income, or the REIT’s failure to maintain exemption from registration under the 1940 Act. Dividends representing a return of capital are reflected as a reduction of cost and/or as a realized gain when the amount of the return of capital is conclusively determined. See each Fund’s Schedule of Investments for REIT securities held as of September 30, 2013.
(m) Mortgage-related and other asset-backed securities
The Funds may invest in mortgage-backed and asset-backed securities. Mortgage-backed securities represent an interest in a pool of mortgages. Asset-backed securities are structured like mortgage-backed securities, but instead
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Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
of mortgage loans or interests in mortgage loans, the underlying assets may include such items as motor vehicle installment sales or installment loan contracts, leases of various types of real and personal property, and receivables from credit card agreements. The value of some mortgage or asset-backed securities may be particularly sensitive to changes in prevailing interest rates. Early repayment of principal on some mortgage-related securities may expose the Fund to a lower rate of return upon reinvestment of principal. The value of these securities may fluctuate in response to the market’s perception of the creditworthiness of the issuers. Additionally, although mortgages and mortgage-related securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers will meet their obligations.
One type of stripped mortgage-backed security has one class receiving all of the interest from the mortgage assets (the interest-only, or “IO” class), while the other class will receive all of the principal (the principal-only, or “PO” class). Payments received for the IOs are included in interest income on the Statements of Operations. Because principal will not be received at the maturity of an IO, adjustments are made to the cost basis of the security on a daily basis until maturity. These adjustments are included in interest income on the Statements of Operations. Payments received for POs are treated as reductions to the cost and par value of the securities. See the Schedules of Investments for mortgage-backed and asset-backed securities held by Core Fixed and Short Maturity as of September 30, 2013.
(n) Bank loans
Core Fixed invests in bank loans, which include institutionally-traded floating rate securities generally acquired as an assignment from another holder of, or participation interest in, loans originated by a bank or financial institution (the “Lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. The Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the Lender selling the loan agreement and only upon receipt by the Lender of payments from the borrower. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the Lender that is selling the loan agreement. At September 30, 2013, Core Fixed had the following two unfunded commitments:
Borrower | Par | Cost | Value | Unrealized Gain (Loss) | ||||||||||||
Dell, Inc., 1st Lien Bridge Loan | $ | 700,000 | $ | 696,500 | $ | 698,250 | $ | 1,750 | ||||||||
Dell, Inc., 2nd Lien Bridge Loan | 400,000 | 398,000 | 399,000 | 1,000 | ||||||||||||
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Total: | $ | 1,100,000 | $ | 1,094,500 | $ | 1,097,250 | $ | 2,750 | ||||||||
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(o) Indexed securities
The Funds may invest in indexed securities where the redemption values and/or coupons are linked to the prices of other securities, securities indices, or other financial indicators. The Funds use indexed securities to increase or decrease their exposure to different underlying instruments and to gain exposure to markets in which it may be difficult to invest through conventional securities. Indexed securities may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment.
(p) Taxes and distributions
The Funds intend to qualify each year as regulated investment companies under the Code. The Funds intend to distribute substantially all of their net investment income and net realized short-term and long-term gains, if any, after giving effect to any available capital loss carryovers for U.S. federal income tax purposes. Therefore, no provision for U.S. federal and state income or excise tax is necessary.
The Funds’ policy is to declare and pay distributions from net investment income and net realized short-term and long-term gains at least annually. All distributions are paid in shares of the Funds, at NAV, unless the shareholder
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September 30, 2013 (Unaudited)
elects to receive cash distributions. A Fund may distribute such income dividends and capital gains more frequently, if necessary, in order to reduce or eliminate federal excise taxes on the Funds. The amount of any distribution will vary, and there is no guarantee that a Fund will pay either income dividends or capital gains distributions.
(q) Allocation of expenses and income
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated among the applicable Funds, taking into consideration, among other things, the nature and type of expense and the relative size of each applicable Fund.
(r) Redemption fees
While none of the Funds’ classes have initial or contingent deferred sales charges on purchases of Fund shares, redemptions of Fund shares held less than 30 days may be assessed a 2% short-term trading fee and recorded as paid-in capital.
3. | Credit agreement |
The Trust entered into a Credit Agreement on behalf of the Funds (“the Agreement”) with a bank pursuant to a revolving line of credit through June 23, 2014. Borrowings for each Fund under the Agreement are limited to the lesser of $50,000,000 or 33 1/3% of a Fund’s Total Net Assets provided borrowings did not exceed, in the aggregate, $50,000,000. Under the terms of the Agreement the Trust pays an annual commitment fee at the rate 0.15% per year on the difference between the total line of credit and the average daily amount of borrowings outstanding. Interest is charged to the Funds based on its borrowings at a variable rate equal to the Overnight Rate plus 1.25%. The Funds did not borrow under the Agreement during the period ended September 30, 2013.
4. | Indemnities |
In the normal course of business, the Funds enter into contracts that require them to provide a variety of representations or general indemnification for certain liabilities. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote.
5. | Fees and other transactions with affiliates |
The Advisor provides investment advisory services to each Fund pursuant to an investment management agreement. Pursuant to the investment management agreement, each Fund pays the Advisor a fee for managing the Fund’s investments at an annual rate of:
Assets up to $750 million | Assets in excess of $750 million | |||||||
Large Cap Growth | 0.55% | 0.53% | ||||||
Large Cap Value | 0.53% | 0.51% | ||||||
Small/Mid Cap Growth | 0.90% | 0.90% | ||||||
Small/Mid Cap Value | 0.90% | 0.90% | ||||||
Non-US Core Equity | 0.75% | 0.73% | ||||||
Core Fixed | 0.35% | 0.33% | ||||||
Opportunistic Fixed | 0.80% | 0.80% | ||||||
Emerging Markets | 0.80% | 0.80% | ||||||
Global Low Volatility | 0.75% | 0.75% | ||||||
Short Maturity | 0.25% | 0.23% |
Such fees as referenced above are shown in the Advisory fees line in the Statements of Operations. The Advisor provides certain internal administrative services to the Class S, Class Y-1 and Class Y-2 shares of the Funds, for which the Advisor receives a fee of 0.15%, 0.10% and 0.05% of the average daily net assets of the Class S,
193
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
Class Y-1 and Class Y-2 shares of the Funds, respectively. These internal administrative services include attending to shareholder correspondence, assisting with the processing of purchases and redemptions of shares, preparing and disseminating information and documents for use by beneficial shareholders and monitoring and overseeing non-advisory relationships with entities providing services to the Class S, Class Y-1 and Class Y-2 shares, including the transfer agent.
The Funds have adopted a plan of marketing and service, or “12b-1 plan” to finance the provision of certain shareholder services to the owners of Class S and Class Y-1 shares of the Funds (collectively referred to as the “plans”). The plan provides for payments at annual rates (based on average net assets) of up to 0.25% of each Fund’s Class S and Class Y-1 shares. However, Class S and Class Y-1 shares have not commenced operations.
The Trust, with respect to each Fund, and the Advisor have entered into a written contractual fee waiver and expense reimbursement agreement pursuant to which the Advisor has agreed to waive a portion of its fees and/or reimburse expenses. For the period ended September 30, 2013, the fees were reimbursed to the extent that each Fund’s class expenses exceeded the net expense rates as set forth below of average daily net assets of the Fund class. These reimbursements are shown in the Reimbursement of expenses line in the Statements of Operations.
Pursuant to the expense reimbursement agreement, the Advisor is entitled to be reimbursed for any fees the Advisor waives and Fund expenses that the Advisor reimburses for a period of three years following such fee waivers and expense reimbursements, to the extent that such reimbursement of the Advisor by a Fund will not cause the Fund to exceed any applicable expense limitation that is in place for the Fund. For the period ended September 30, 2013, the Advisor received no reimbursements.
Class S | Class Y-1 | Class Y-2 | Class Y-3 | |||||||||||||
Large Cap Growth | 1.07% | 1.02% | 0.72% | 0.57% | ||||||||||||
Large Cap Value | 1.05% | 1.00% | 0.70% | 0.55% | ||||||||||||
Small/Mid Cap Growth | 1.47% | 1.42% | 1.12% | 0.97% | ||||||||||||
Small/Mid Cap Value | 1.47% | 1.42% | 1.12% | 0.97% | ||||||||||||
Non-US Core Equity | 1.37% | 1.32% | 1.02% | 0.87% | ||||||||||||
Core Fixed | 0.87% | 0.82% | 0.52% | 0.37% | ||||||||||||
Opportunistic Fixed | 1.40% | 1.35% | 1.05% | 0.90% | ||||||||||||
Emerging Markets | 1.60% | 1.55% | 1.25% | 0.95% | ||||||||||||
Global Low Volatility | 1.35% | 1.30% | 1.00% | 0.85% | ||||||||||||
Short Maturity | 0.82% | 0.77% | 0.47% | 0.32% |
As of September 30, 2013 only Class Y-3 had commenced operations.
Pursuant to the transfer agent agreement (and subsequent amendment) with State Street Bank and Trust Co. (“SSB”), SSB has agreed to waive its fees and out of pocket expenses, during the first twelve (24) months of service, up to $33,000 per month for the Funds in the aggregate. For the six months ended September 30, 2013, the fees waived are shown in the Fee reductions line in the Statement of Operations.
Pursuant to the Funds’ expense reimbursement agreement, the Advisor can recapture certain amounts waived or reimbursed over the past three 12-month periods ended July 31, 2013. The following amounts were available for recapture as of July 31, 2013:
Expenses Reimbursed in the 12-Months Ended July 31, | ||||||||||||
2011 | 2012 | 2013 | ||||||||||
Subject to Recapture until July 31, | ||||||||||||
2014 | 2015 | 2016 | ||||||||||
Large Cap Growth | $ | 268,664 | $ | 243,890 | $ | 206,394 | ||||||
Large Cap Value | 299,759 | 268,658 | 198,065 | |||||||||
Small/Mid Cap Growth | 254,984 | 240,500 | 85,083 |
194
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
Expenses Reimbursed in the 12-Months Ended July 31, | ||||||||||||
2011 | 2012 | 2013 | ||||||||||
Subject to Recapture until July 31, | ||||||||||||
2014 | 2015 | 2016 | ||||||||||
Small/Mid Cap Value | $ | 259,564 | $ | 237,686 | $ | 84,500 | ||||||
Non-US Core Equity | 1,571,260 | 1,321,132 | — | |||||||||
Core Fixed | 761,910 | 661,339 | 556,235 | |||||||||
Opportunistic Fixed | — | — | — | |||||||||
Emerging Markets | — | 83,093 | 556,088 | |||||||||
Global Low Volatility | — | — | 131,146 | |||||||||
Short Maturity | 99,321 | 107,486 | 113,370 |
6. | Purchases and sales of securities |
Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended September 30, 2013, were as follows:
Long-Term U.S. Government Securities | Other Long-Term Securities | |||||||
Purchases | ||||||||
Large Cap Growth | $ | — | $ | 115,273,978 | ||||
Large Cap Value | — | 93,545,405 | ||||||
Small/Mid Cap Growth | — | 160,541,864 | ||||||
Small/Mid Cap Value | — | 181,707,043 | ||||||
Non-US Core Equity | — | 711,468,783 | ||||||
Core Fixed | 667,680,215 | 173,552,739 | ||||||
Opportunistic Fixed | — | 83,371,867 | ||||||
Emerging Markets | — | 231,124,115 | ||||||
Global Low Volatility | — | 424,476,060 | ||||||
Short Maturity | 10,930,864 | 1,731,915 | ||||||
Sales | ||||||||
Large Cap Growth | — | 246,342,250 | ||||||
Large Cap Value | — | 244,998,309 | ||||||
Small/Mid Cap Growth | — | 249,925,747 | ||||||
Small/Mid Cap Value | — | 224,232,242 | ||||||
Non-US Core Equity | — | 981,713,066 | ||||||
Core Fixed | 781,948,889 | 184,441,918 | ||||||
Opportunistic Fixed | — | 5,911,170 | ||||||
Emerging Markets | — | 135,515,297 | ||||||
Global Low Volatility | — | 114,587,519 | ||||||
Short Maturity | 25,285,689 | 10,789,141 |
195
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
7. | Share transactions |
Each Fund is authorized to issue an unlimited number of shares of beneficial interest without par value. Transactions in Fund shares were as follows:
Large Cap Growth
Six Months Ended September 30, 2013 | Year Ended March 31, 2013 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | — | $ | — | 5,065,500 | $ | 64,873,285 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 1,221,086 | 15,422,319 | ||||||||||||
Shares repurchased | (9,603,706 | ) | (137,371,648 | ) | (7,036,336 | ) | (90,890,406 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease | (9,603,706 | ) | $ | (137,371,648 | ) | (749,750 | ) | $ | (10,594,802 | ) | ||||||
|
|
|
|
|
|
|
|
Large Cap Value
Six Months Ended September 30, 2013 | Year Ended March 31, 2013 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | — | $ | — | 6,358,367 | $ | 56,988,771 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 1,020,817 | 9,197,559 | ||||||||||||
Shares repurchased | (14,637,209 | ) | (157,626,911 | ) | (12,333,094 | ) | (111,651,382 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease | (14,637,209 | ) | $ | (157,626,911 | ) | (4,953,910 | ) | $ | (45,465,052 | ) | ||||||
|
|
|
|
|
|
|
|
Small/Mid Cap Growth
Six Months Ended September 30, 2013 | Year Ended March 31, 2013 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 1,850,418 | $ | 22,913,306 | 11,992,815 | $ | 134,366,284 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 2,909,912 | 31,339,754 | ||||||||||||
Shares repurchased | (9,017,641 | ) | (112,172,310 | ) | (3,732,632 | ) | (42,250,216 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (7,167,223 | ) | $ | (89,259,004 | ) | 11,170,095 | $ | 123,455,822 | ||||||||
|
|
|
|
|
|
|
|
196
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
Small/Mid Cap Value
Six Months Ended September 30, 2013 | Year Ended March 31, 2013 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 5,563,324 | $ | 62,586,977 | 12,039,409 | $ | 117,965,935 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 1,746,020 | 17,233,214 | ||||||||||||
Shares repurchased through in-kind redemption* | (3,518,476 | ) | (39,406,931 | ) | — | — | ||||||||||
Shares repurchased | (9,189,702 | ) | (104,607,104 | ) | (4,357,440 | ) | (43,882,998 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (7,144,854 | ) | $ | (81,427,058 | ) | 9,427,989 | $ | 91,316,151 | ||||||||
|
|
|
|
|
|
|
|
* | The Fund had a redemption in-kind on May 6, 2013. |
Non-US Core Equity
Six Months Ended September 30, 2013 | Year Ended March 31, 2013 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 26,736,763 | $ | 298,505,056 | 48,377,767 | $ | 464,004,703 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 4,934,007 | 49,488,095 | ||||||||||||
Shares repurchased through in-kind redemption* | (16,779,118 | ) | (188,093,909 | ) | — | — | ||||||||||
Shares repurchased | (53,828,700 | ) | (601,792,894 | ) | (45,785,469 | ) | (449,847,236 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (43,871,055 | ) | $ | (491,381,747 | ) | 7,526,305 | $ | 63,645,562 | ||||||||
|
|
|
|
|
|
|
|
* | The Fund had a redemption in-kind on May 3, 2013. |
Core Fixed
Six Months Ended September 30, 2013 | Year Ended March 31, 2013 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 11,342,989 | $ | 118,593,094 | 18,759,679 | $ | 205,364,923 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 5,093,239 | 54,090,192 | ||||||||||||
Shares repurchased | (12,490,354 | ) | (129,656,059 | ) | (18,442,944 | ) | (201,159,996 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,147,365 | ) | $ | (11,062,965 | ) | 5,409,974 | $ | 58,295,119 | ||||||||
|
|
|
|
|
|
|
|
197
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
Opportunistic Fixed
Period from August 21, 2013 (commencement of operations) through September 30, 2013 | ||||||||
Shares | Amount | |||||||
Class Y-3: | ||||||||
Shares sold | 8,328,322 | $ | 83,277,155 | |||||
|
|
|
| |||||
Net increase | 8,328,322 | $ | 83,277,155 | |||||
|
|
|
|
Emerging Markets
Six Months Ended September 30, 2013 | Period from May 1, 2012 (commencement of operations) through March 31, 2013 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 15,757,622 | $ | 157,838,823 | 50,549,371 | $ | 506,456,931 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 307,506 | 3,235,418 | ||||||||||||
Shares repurchased | (4,814,419 | ) | (48,265,156 | ) | (1,556,779 | ) | (16,307,819 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 10,943,203 | $ | 109,573,667 | 49,300,098 | $ | 493,384,530 | ||||||||||
|
|
|
|
|
|
|
|
Global Low Volatility
Six Months Ended September 30, 2013 | Period from November 6, 2012 (commencement of operations) through March 31, 2013 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 35,907,271 | $ | 405,987,257 | 27,449,755 | $ | 278,760,703 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 46,930 | 485,259 | ||||||||||||
Shares repurchased | (5,673,306 | ) | (65,925,331 | ) | (566,151 | ) | (6,042,276 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 30,233,965 | $ | 340,061,926 | 26,930,534 | $ | 273,203,686 | ||||||||||
|
|
|
|
|
|
|
|
198
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
Short Maturity
Six Months Ended September 30, 2013 | Year Ended March 31, 2013 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | — | $ | — | 313,807 | $ | 3,000,000 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 57,135 | 545,067 | ||||||||||||
Shares repurchased | (2,465,401 | ) | (23,519,930 | ) | (60,326 | ) | (578,188 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,465,401 | ) | $ | (23,519,930 | ) | 310,616 | $ | 2,966,879 | ||||||||
|
|
|
|
|
|
|
|
On May 6, 2013, Small/Mid Cap Value transferred securities in-kind valued at $38,447,113 and cash of $959,818 for a redemption. This transfer resulted in a realized gain of $7,168,911 which is shown on the Statement of Operations.
On May 3, 2013, Non-US Core Equity transferred securities in-kind valued at $177,821,966 and cash of $10,271,943 for a redemption. This transfer resulted in a realized gain of $35,106,895 which is shown on the Statement of Operations.
8. | Federal income taxes |
As of September 30, 2013, the cost for U.S. federal income tax purposes and gross unrealized appreciation and depreciation in value of investments were as follows:
Federal Income Tax Cost | Tax Basis Unrealized Appreciation | Tax Basis Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Large Cap Growth | $ | 296,243,810 | $ | 87,234,465 | $ | (1,389,042 | ) | $ | 85,845,423 | |||||||
Large Cap Value | 302,249,569 | 76,108,762 | (1,571,862 | ) | 74,536,900 | |||||||||||
Small/Mid Cap Growth | 361,564,748 | 75,180,406 | (5,739,106 | ) | 69,441,300 | |||||||||||
Small/Mid Cap Value | 343,608,999 | 59,924,365 | (6,552,355 | ) | 53,372,010 | |||||||||||
Non-US Core Equity | 1,669,953,872 | 286,548,311 | (28,857,109 | ) | 257,691,202 | |||||||||||
Core Fixed | 1,244,955,990 | 26,468,478 | (12,204,909 | ) | 14,263,569 | |||||||||||
Opportunistic Fixed | 82,200,923 | 1,942,668 | (233,489 | ) | 1,709,179 | |||||||||||
Emerging Markets | 599,421,350 | 28,037,690 | (25,526,376 | ) | 2,511,314 | |||||||||||
Global Low Volatility | 656,596,909 | 44,545,038 | (9,816,456 | ) | 34,728,582 | |||||||||||
Short Maturity | 23,385,921 | 170,775 | (145,390 | ) | 25,385 |
The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are primarily due to wash sale loss deferrals, investments in passive foreign investment companies and other basis adjustments.
9. | Subsequent events |
Management has evaluated the impact of subsequent events through November 26, 2013, the date the financial statements were available to be issued. Management has determined that there are no material events that would require adjustment or disclosure in the Funds’ financial statements through this date, except as disclosed below.
On November 4, 2013, the Funds’ Board of Trustees approved a plan of liquidation of the Mercer Short Maturity Fixed Income Fund, effective December 16, 2013 (the “Liquidation Date”). Accordingly, the Fund has commenced an orderly liquidation of its operations. Shareholders remaining invested in the Fund on Liquidation Date will have their shares automatically redeemed and the proceeds will be distributed as directed. As a result, shares of the Fund are no longer offered for sale.
199
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
10. | Proxy Voting |
A description of the policies and procedures that the Advisor and each Fund’s Subadvisors use to determine how to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling 1-866-658-9896, and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov. Information about Funds’ proxy voting decisions are available without charge, online on the Funds’ website at http://www.mercer.us/mutual-funds-on-offer.
11. | Quarterly Reporting |
The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q, which when filed, will be available on the SEC’s website at http://www.sec.gov. When filed, the Funds’ Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
12. | Board Approval of the Investment Management Agreement for the Funds and the Subadvisory Agreements for the Funds during the period April 1, 2013 through September 30, 2013 |
June 6-7, 2013 Board Meeting
Mercer US Large Cap Growth Equity Fund
Mercer US Large Cap Value Equity Fund
Mercer US Small/Mid Cap Growth Equity Fund
Mercer US Small/Mid Cap Value Equity Fund
Mercer Non-US Core Equity Fund
Mercer Emerging Markets Equity Fund
Mercer Core Fixed Income Fund
Mercer US Short Maturity Fixed Income Fund
Renewal of the Investment Management Agreement for the Funds
At a meeting of the Board of Trustees (the “Board” or the “Trustees”) of Mercer Funds (the “Trust”) held on June 6-7, 2013 (the “June 2013 Meeting”), the Trustees, including those Trustees who are not “interested persons” (as that term is defined in the Investment Company Act of 1940, as amended (the “1940 Act”)), of the Trust or Mercer Investment Management, Inc., the Trust’s investment advisor (the “Advisor” or “MIM”) (together, the “Independent Trustees”), considered and approved the renewal of the investment management agreement between the Advisor and the Trust (the “Investment Management Agreement”) with respect to each of the following series of the Trust (each a “Fund,” and together, the “Funds”): (i) Mercer US Large Cap Growth Equity Fund (“Large Cap Growth Fund”), Mercer US Large Cap Value Equity Fund (“Large Cap Value Fund”), Mercer US Small/Mid Cap Growth Equity Fund (“Small Cap Growth Fund”), Mercer US Small/Mid Cap Value Equity Fund (“Small Cap Value Fund”), Mercer Non-US Core Equity Fund (“Non-US Fund”), Mercer Emerging Markets Equity Fund (“Emerging Markets Fund”), Mercer Core Fixed Income Fund (“Core Fixed Income Fund”), and Mercer US Short Maturity Fixed Income Fund (“Short Maturity Fund”).
In considering the renewal of the Investment Management Agreement, the Board reviewed the information and materials from the Advisor and from counsel that were prepared for the June 2013 Meeting, including: (i) the Investment Management Agreement, with respect to the Advisor’s management of the assets of each Fund; (ii) information describing the nature, extent, and quality of the services that the Advisor provided to the Funds, the fees that the Advisor charged to the Funds for these services, and a comparison of those fees to the fees paid by a peer group of other investment companies having investment objectives similar to the investment objectives of the Funds, and that were identified as competitors, as contained in a report prepared by Lipper Inc. (the “Lipper Report”), an independent, nationally recognized provider of investment company data, containing, among other things, information on the fees and expenses of the Funds, as compared to a comparable group of funds (a “peer group”); (iii) information regarding the Advisor’s business and operations, financial position, portfolio management
200
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
team, and compliance program; (iv) information describing each Fund’s operating expenses compared to the Fund’s peer group of other registered investment companies with investment objectives similar to the investment objectives of the Funds, and that were identified in the Lipper Report; (v) information describing each Fund’s performance compared to the Fund’s peer group of other investment companies with investment objectives similar to the investment objective of the Fund, as identified by Lipper in the Lipper Report; (vi) information regarding the Advisor’s profitability in managing each Fund and the Fee Waiver/Expense Limitation Agreement, pursuant to which the Advisor has agreed to subsidize the Funds’ expenses at specific levels, through July 31, 2014, and the amount of losses that the Advisor had sustained to date in managing the Funds; and (vii) information regarding the benefits that the Advisor enjoyed (or may enjoy in the future) as a result of its relationship with the Funds. The Board also considered presentations made by, and discussions held with, representatives of the Advisor, both at the June 2013 Meeting and throughout the course of the year at regularly scheduled Board meetings. The Board also evaluated the Advisor’s answers and responses to the questions and information requests contained in the 15(c) Information Request Letter that was submitted to the Advisor on behalf of the members of the Board for use in connection with the contract renewal process.
In their consideration of the renewal of the Investment Management Agreement, the Board, including the Independent Trustees, considered the following factors:
(a) The nature, extent, and quality of the services that were provided by the Advisor. The Board reviewed the services that the Advisor had provided to the Funds. In connection with the investment advisory services that were provided to the Funds, the Board considered the qualifications, experience, and capabilities of the Advisor’s portfolio management team and other investment personnel, and the extent of care and conscientiousness with which the Advisor’s personnel performed their duties.
In this regard, the Board considered that while the Advisor focused primarily on the selection, evaluation, and oversight of the Funds’ subadvisors, consistent with the Trust’s multi-manager structure, the Advisor also had extensive other responsibilities as the Funds’ investment advisor, including: the provision of investment advice; the allocation of each Fund’s assets among multiple subadvisors (including overseeing the process of transitioning assets among subadvisor(s), and the fee negotiation process whereby the Advisor sought to achieve an appropriate and competitive level of fees and fee structure, and the Advisor’s continual monitoring of the ongoing appropriateness and competitiveness of each subadvisory fee and fee structure; the monitoring of each subadvisor’s investment performance and processes; the oversight of each subadvisor’s compliance with the applicable Fund’s investment objective, policies, and limitations; review of portfolio security brokerage and trading practices; and oversight of general portfolio compliance with relevant law.
The Board discussed the Advisor’s ability and willingness to identify instances where there was a need to add a new subadvisor, to replace a current subadvisor, to reallocate Fund assets among current subadvisors, to utilize a new strategy of a current subadvisor, or to implement a combination of these measures, as well as the Advisor’s ability to promptly, efficiently, and economically effect such changes. The Board reviewed the proprietary tools utilized by the Advisor to review, select, evaluate, and monitor subadvisors for the Funds, as well as the Advisor’s experience, resources, and strengths in advising the Mercer Collective Trust and the Mercer Group Trust, two other pooled investment vehicles overseen by the Advisor.
The Board discussed the Trust’s multi-manager structure, and the services required by the Trust as a consequence of that structure, as measured against an investment company without multiple subadvisors. The Board also evaluated the nature, extent, and quality of the non-investment advisory and administrative services that were provided to the Funds by the Advisor, such as the supervision of the Funds’ third-party service providers. The Board considered the scope and substance of the Advisor’s regulatory and compliance policies, procedures, and systems. The Board evaluated the Advisor’s capabilities in providing the administrative and compliance services needed to support management of the Funds, and the information that regularly had been provided by the CCO to the Trustees at prior Board meetings. The Board also considered the Advisor’s willingness both to add personnel and to replace existing personnel, as the Funds have grown, in order to ensure that appropriate staffing levels were maintained, and to enhance the distribution of the Funds.
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Based on their consideration and review of the foregoing information, the Board determined that the Funds benefited from the nature, extent, and high quality of these services, as well as the Advisor’s ability to continue to provide these services based on the Advisor’s experience, operations, and resources and concluded that they supported the continuation of the Investment Management Agreement with the Advisor.
(b) The costs of the services provided and the profits realized by the Advisor and its affiliates from the Advisor’s relationship with the Funds. The Board compared each Fund’s contractual management fee and expense ratio to other investment companies considered to be in the Fund’s respective peer group (as identified by Lipper in its Report), and noted each Fund’s rankings. The Board observed that the Advisor did not manage other registered investment companies and, therefore, the Advisor could not provide information regarding the Advisor’s fees for such activities.
The Board discussed the entrepreneurial risk undertaken by the Advisor in creating and operating the Trust and the Funds, recalling the costs of organizing and operating the Funds, and the significant economic impact that these activities had on the profitability of the Advisor over the prior years, as well as the potential effect it would have on the Advisor in connection with it continuing to serve as the investment advisor to each Fund. The Board also discussed the Advisor’s ongoing costs in operating the Funds and the costs of compensating the subadvisors (as well as the Advisor’s initiative to negotiate reduced fee schedules with the subadvisors, which may allow the Advisor to reach profitability more quickly). The Board noted the Advisor’s continuing commitment to limit each Fund’s expenses through the Fee Waiver/Expense Limitation Agreement with the Trust. The Board recalled their discussions, both at the June 2013 Meeting and at prior Board meetings, regarding the Advisor subsidizing the Funds in their initial stages, and the significant losses that the Advisor had sustained, as well as the Advisor reiterating both its and Mercer’s resolution to continue to waive the Advisor’s fees and to reimburse Fund expenses until such time as the Funds reach profitable asset levels. After comparing each Fund’s fees with the fees of other funds in the Fund’s respective peer group, and in light of the nature, extent, and quality of services that were provided by the Advisor and the costs that were incurred by the Advisor in rendering those services, the Board concluded that the level of fees that were paid to the Advisor with respect to each Fund was fair and reasonable.
The Board also considered the other relationships that the Advisor and its affiliates have with the Trust, and any ancillary benefits realized by the Advisor and its affiliates from the Advisor’s relationship with each Fund, as discussed in the materials on this subject that were provided to the Board, as well as in the comments of the Advisor’s personnel at the June 2013 Meeting. The Board recognized that because of the Trust’s multi-manager structure, the Advisor did not place portfolio transactions on behalf of the Funds, and, thus, the Advisor did not receive proprietary research from broker-dealers that executed the Funds’ portfolio transactions. In addition, the Board noted that the Advisor, as a policy, did not receive any services paid for by Fund soft dollar commissions. As such, the Board took note of the fact that the Advisor did not derive any benefits from any Fund portfolio transactions, which benefits were enjoyed by certain subadvisors, and in the case of other registered investment companies, by their investment managers.
The Board noted that the Advisor, by managing the Funds, may benefit (along with its affiliates) to the extent that potential investors view the Advisor and its affiliates as providing a diverse array of investment products, and managing different asset classes, which were available through multiple investment vehicles. The Board also noted that the Advisor served as the Trust’s internal administrator, and the Advisor will be entitled to receive compensation from the Class S, Class Y-1, and Class Y-2 shares of the Funds for acting in that capacity (although no compensation had been paid to date). The Board also considered that, in return for this compensation, the Advisor was responsible for, among other things, attending to shareholder correspondence, assisting with the purchase and redemption of shares, and preparing and distributing documents for shareholder use. As such, the Board concluded that the benefits that accrued to the Advisor and its affiliates by virtue of their relationships to the Funds were reasonable and fair in comparison with the costs of providing the relevant services.
(c) The extent to which economies of scale were realized as each Fund grew, and whether fee levels reflected these economies of scale for the benefit of Fund shareholders. The Board next discussed potential economies of scale. Given that the Funds had been in existence and operating for approximately eight years, and in light of the challenging market conditions experienced over much of that time period, the Board noted that the Funds could be considered to still be in a growth phase, and the Board recognized the uncertainty in launching a new investment
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product and estimating future asset levels. The Board discussed that the advisory fee schedule for each Fund, other than for the Small Cap Funds and the Emerging Markets Fund, included a breakpoint at $750 million, which would reduce the investment advisory fee for a Fund and allow the shareholders of the Fund to participate in economies of scale available when the Fund surpassed the threshold level without compromising the quality of services.
(d) The investment performance of the Funds and the Advisor. The Board considered the overall investment performance of the Funds, and evaluated Fund performance in the context of the Trust’s multi-manager structure, and the unique considerations that this structure required. The Board considered whether the Funds operated within their investment objectives and styles, and considered each Fund’s record of compliance with its investment restrictions. The Board also considered that the Advisor continued to be proactive in seeking to replace and/or add subadvisors, to reallocate assets among subadvisors, and to implement new investment subadvisor strategies, with a view to improving Fund performance over the long term.
While consideration was given to the Advisor’s performance reports and discussions at prior Board meetings, particular attention was given to the Lipper Report prepared specifically for the June 2013 Meeting. In reviewing the performance of the Funds, the Board considered the performance of each Fund, noting that the performance of Large Cap Growth Fund fell within the third quintile, Large Cap Value Fund performance fell within the fifth quintile, the performance of the Small Cap Growth Fund fell within the third quintile, the performance of Small Cap Value Fund fell within the fifth quintile, the performance of Non-US Fund fell within the fourth quintile, the performance of Core Fixed Income Fund fell within the third quintile, the Short Maturity Fund’s performance fell within the fourth quintile, and the Emerging Markets Fund’s performance fell within the third quintile of their respective performance universes for performance since inception. The Board also recalled the Advisor’s expectations for the acceptable performance of each Fund with respect to a range of quintiles.
In the case of the Large Cap Growth Fund, the Board noted that the Fund’s performance fell within a wide range, from first to fourth quintile across the five annual and since inception measurement periods. The Board specifically considered performance for three- to five-year periods, which fell within the second or first performance quintiles, which aligned with the Fund’s conservative approach, and the Advisor’s recommended measurement periods. The Board also took note of the Advisor’s detailed monitoring and reporting of subadvisor performance on qualitative and quantitative factors.
In the case of the Large Cap Value Fund, the Board noted that the Fund’s performance for the one-, two-, three- and four-year periods placed it in the first and second quintiles of its peer universe, which was a significant improvement from its since inception fifth quintile performance, with the one- year period falling within the second quintile. The Board considered that much of the Fund’s underperformance resulted from one former subadvisor that was terminated by the Advisor in December 2008, and that the Fund’s performance began to improve in 2009. The Board also took note of the Advisor’s detailed monitoring and reporting of subadvisor performance on qualitative and quantitative factors.
In the case of the Small Cap Growth Fund, the Board noted that the Fund ranked in the second or third quintiles of the performance universe for the six measurement periods. The Board also took note of the Advisor’s termination of Goldman Sachs Asset Management, L.P. during 2013, and its replacement with Palisade Capital Management L.L.C. and subsequent reallocation of the Fund’s assets to its remaining subadvisors. The Board also considered the Advisor’s previous termination of Tygh Capital Management in 2012. It was also noted that performance during the most recent two years was in the second quintile, and that the Fund was performing as anticipated. The Board also took note of the Advisor’s detailed monitoring and reporting of subadvisor performance on qualitative and quantitative factors.
In the case of the Small Cap Value Fund, it was noted that performance for the two-, three- and four-year periods was in the second or third quintile, and that performance had been improving during the most recent one-year period. The Board also took note of the Advisor’s detailed monitoring and reporting of subadvisor performance on qualitative and quantitative factors.
In the case of the Non-US Fund, the Board noted that the Fund’s performance was in the first quartile for the one-year period and the second quartile for the two-, three- and four-year periods. It was noted that performance had
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September 30, 2013 (Unaudited)
improved significantly from fourth to first quartile over the six measurement periods, including since inception. The Board took note of the Advisor’s multiple subadvisor changes, and subsequent improvement in performance. The Board recalled that the Advisor had replaced Grantham, Mayo, Van Otterloo & Co. LLC with Arrowstreet Capital, Limited Partnership, and had hired Lingohr & Partner North America, Inc. as a replacement for AllianceBernstein L.P. The Board also took note of the Advisor’s detailed monitoring and reporting of subadvisor performance on qualitative and quantitative factors.
In the case of the Core Fixed Income Fund, the Board noted that the Fund’s performance was in the first three quartiles from inception, was in the second quartile for the one- and three-year periods, and was generally improving over time. The Board also took note of the Advisor’s detailed monitoring and reporting of subadvisor performance on qualitative and quantitative factors.
In the case of the Short Maturity Fund, the Board noted that the Advisor believed that the Fund was serving its purpose, notwithstanding being ranked in the fifth quintile for the one-year and predominantly in the fourth quintile. The Board noted that the Advisor believed that the Fund’s objective was preservation of capital, primarily. The Board also took note of the Advisor’s detailed monitoring and reporting of subadvisor performance on qualitative and quantitative factors.
In case of the Emerging Markets Fund, the Board took note of the fact that the Fund commenced operations in May 2012. It was noted that Fund performance since inception was in the third quartile, while outperforming its benchmark index over the same period. The Board also took note of the Advisor’s detailed monitoring and reporting of subadvisor performance on qualitative and quantitative factors.
On this basis, the Board concluded that the Advisor’s performance in managing each Fund indicated that the Advisor’s continued management will benefit the Fund and its shareholders.
Conclusion. Following full consideration of the foregoing factors, it was reported that no single factor was determinative to the decisions of the Trustees. Based on these factors, and such other matters as were deemed relevant, the Trustees concluded that the management fee rates of the Funds continued to be reasonable in relation to the services provided by the Advisor to the Funds, as well as the costs that were incurred and benefits that were gained by the Advisor in providing such services. The Trustees also found the Advisor’s investment management fees to be reasonable in comparison to the fees charged by the investment advisors to the investment companies included in the Funds’ peer groups in the Lipper Report. As a result, the Board, including all of Independent Trustees, concluded that the approval of the Investment Management Agreement was in the best interests of the Funds and their shareholders and approved the Investment Management Agreement.
Mercer US Large Cap Growth Equity Fund
Mercer US Large Cap Value Equity Fund
Mercer US Small/Mid Cap Growth Equity Fund
Mercer US Small/Mid Cap Value Equity Fund
Mercer Non-US Core Equity Fund
Mercer Emerging Markets Equity Fund
Mercer Core Fixed Income Fund
Mercer US Short Maturity Fixed Income Fund
Renewal of the Subadvisory Agreements for the Funds
At the June 2013 Meeting, the Board, including the Independent Trustees, also considered and approved the continuation of the subadvisory agreements (collectively, the “Subadvisory Agreements”) entered into by the Advisor and the following subadvisors for the Funds: Sands Capital Management, LLC, Winslow Capital Management, Inc., Atlanta Capital Management Company, LLC, and Neuberger Berman Management LLC (in the case of the Large Cap Growth Fund); Brandywine Global Investment Management, LLC, Robeco Investment Management, Inc., O’Shaughnessy Asset Management, LLC, and The Boston Company Asset Management, LLC (in the case of the Large Cap Value Fund); Westfield Capital Management Company, L.P., Delaware Management
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September 30, 2013 (Unaudited)
Company, and Palisade Capital Management, L.L.C. (in the case of the Small Cap Growth Fund); AQR Capital Management, LLC, NWQ Investment Management Company, LLC, River Road Asset Management, LLC, and Systematic Financial Management, L.P. (in the case of the Small Cap Value Fund); Arrowstreet Capital, Limited Partnership, Massachusetts Financial Services Company, Echo Point Investment Management, LLC, and Lingohr & Partner North America, Inc. (in the case of the Non-US Fund); AQR Capital Management, LLC, Kleinwort Benson Investors International Ltd., and Vontobel Asset Management, Inc. (in the case of the Emerging Markets Fund); Western Asset Management Company, MacKay Shields LLC, Pacific Investment Management Company LLC, and Dodge & Cox (in the case of the Core Fixed Income Fund); and J.P. Morgan Investment Management Inc. (in the case of the Short Maturity Fund) (each a “Subadvisor,” and together, the “Subadvisors”).
In considering the renewal of the Subadvisory Agreements, the Board considered the information and materials from the Advisor and counsel that included, as to each Subadvisor and each Fund: (i) the Subadvisory Agreement between the Advisor and the Subadvisor; (ii) information regarding the review and due diligence process by which the Advisor selected, monitored, and evaluated the Subadvisor, and recommended the Subadvisor for Board approval; (iii) information describing the nature, extent, and quality of the services that the Subadvisor provided to the respective Fund, and the fees that the Subadvisor charged the Advisor for these services; (iv) information regarding the Subadvisor’s business and operations, financial condition, portfolio management team, and compliance program; (v) the Subadvisor’s brokerage and trading policies and practices; (vi) the Subadvisor’s performance in managing its allocated portion of the Fund’s investment portfolio; (vii) the Subadvisor’s historical performance returns managing a similar investment mandate, and a comparison of the performance returns to a relevant index; and (viii) the Advisor’s detailed monitoring and reporting of subadvisor performance on qualitative and quantitative factors. In addition, the Board considered presentations made by, and discussions held with, representatives of the Advisor and representatives of the Subadvisors at the June 2013 Meeting and throughout the course of the year at regularly scheduled Board meetings. During their review of this information, the Board also considered the Subadvisors’ answers and responses to applicable information requests contained in their 15(c) Information Request Letters. The Board considered and analyzed the factors that the Board deemed relevant with respect to each Subadvisor, including: the nature, extent, and quality of the services that were provided to the applicable Fund by the Subadvisor; the Subadvisor’s investment management style; the Subadvisor’s historical performance record managing its allocated portion of the Fund’s portfolio, as well as pooled investment products similar to the applicable Fund; the qualifications and experience of the employees at the Subadvisor who were responsible for the day-to-day management of the allocated portion of the Fund; and the Subadvisor’s staffing levels and overall resources. Additionally, the Independent Trustees received assistance and advice regarding legal and industry standards and reviewed materials supplied by their independent legal counsel.
In particular, and as to each Fund and to each Subadvisor, the Board, including the Independent Trustees, considered the following factors:
(a) The nature, extent, and quality of the advisory services that were provided by the Subadvisors. The Board reviewed the nature, extent, and quality of the advisory services that each Subadvisor had provided to the applicable Fund. The Board considered the Advisor’s active role as a manager of managers, which included, among other items, monitoring and evaluating the performance of the Subadvisors, recommending that Subadvisors that have not performed as expected either be replaced or their allocated portion of the Fund’s portfolio be reduced, and negotiating fee arrangements that may permit the Funds to realize economies of scale without compromising the quality of services. The Board discussed the specific investment management process that was employed by each Subadvisor in managing the assets that were allocated to the Subadvisor (which had been discussed with each Subadvisor previously); the qualifications, experience, and capabilities of the Subadvisor’s management and other personnel responsible for the portfolio management of the allocated portion of the applicable Fund; the financial position of the Subadvisor; the quality of the Subadvisor’s regulatory and legal compliance policies and procedures; and the Subadvisor’s brokerage practices. The Board considered each Subadvisor’s infrastructure and whether it continued to support the Subadvisor’s investment strategy adequately. The Board also discussed the Advisor’s review, selection, and due diligence process with respect to each Subadvisor, and the Advisor’s favorable assessment as to the nature, extent, and quality of the subadvisory services that were provided by the Subadvisor. The Board determined that each Fund would continue to benefit from the quality and experience of the portfolio managers of the Fund’s Subadvisors.
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Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
Based on their consideration and review of the foregoing information, the Board concluded that the nature, extent, and quality of the subadvisory services that were provided by each Subadvisor, as well as each Subadvisor’s ability to continue to provide these services based on its experience, operations, and resources, were appropriate, and had benefited, and will continue to benefit, the applicable Fund and its shareholders. The Board concluded that these factors supported the continuation of the Subadvisory Agreements with the Subadvisors.
(b) The costs of the services provided and the profits realized by each Subadvisor and its affiliates from the Subadvisor’s relationship with the Fund. The Board considered the review, selection, and due diligence process employed by the Advisor in deciding to recommend each Subadvisor as a subadvisor to the respective Fund. The Board took account of the Advisor’s reasons for concluding that the compensation payable to each Subadvisor for its services to the Fund were fair and reasonable, in light of the nature and quality of the services furnished to the Fund, and the Advisor’s recommendation at the June 2013 Meeting that the Subadvisors be continued, particularly in light of the fact that the Subadvisors’ fees were paid by the Advisor and not by the Funds (or their shareholders), and, thus, payments to the Subadvisors detracted from the Advisor’s profitability. The Board reviewed Subadvisor profitability information, to the extent it was provided by the Subadvisors in their responses contained in the 15(c) Questionnaires, but since the fees paid by the Advisor to each Subadvisor were the result of arm’s-length bargaining between unaffiliated parties, and given the Advisor’s economic incentive to negotiate reasonable fees with the Subadvisors, the consideration of each Subadvisor’s profitability was not considered necessary. The Board took into account the Advisor’s ongoing monitoring of the appropriateness and competitiveness of each subadvisory fee and fee structure, the Advisor’s assessment that the subadvisory fee rates charged by each Subadvisor reflected a reasonable fee arrangement, and the Advisor’s continued initiative to implement reduced subadvisory fee schedules with the Subadvisors. The Board noted that the subadvisory fees were paid by the Advisor to each Subadvisor and were not additional fees to be borne by the Funds or their shareholders. The Board also considered the information supplied by each Subadvisor, in its 15(c) Questionnaire, that presented data regarding fees charged to other clients of the Subadvisor. Based on their discussion, the Board concluded that, in light of the quality and extent of the services that were provided, the fees paid to each Subadvisor with respect to the Fund assets that were allocated to the Subadvisor appeared to be within a reasonable range.
(c) Ancillary Benefits. The Board considered whether there were any ancillary benefits that may accrue to the Subadvisors as a result of their relationships with the Funds. The Board concluded that certain Subadvisors may direct Fund brokerage transactions to certain brokers to obtain research and other services. However, the Board noted that the Subadvisors were required to select brokers who met the Funds’ requirements for seeking best execution, and that the Advisor monitored and evaluated the Subadvisors’ trade execution with respect to Fund brokerage transactions on a quarterly basis and provided reports to the Board on these matters. The Board concluded that the benefits accruing to the Subadvisors by virtue of their relationships with the Funds were reasonable.
(d) The extent to which economies of scale were realized as each Fund grew, and whether fee levels reflected these economies of scale for the benefit of Fund shareholders. The Board next discussed economies of scale. The Board considered each Subadvisor’s fee schedule for providing services to the applicable Fund, and noted that each Subadvisory Agreement, with the exception of the NWQ Subadvisory Agreement, included breakpoints that would reduce the Subadvisor’s fees as assets in the applicable Fund increased. It was noted that the benefit of breakpoints would go to the Advisor, and not to the Funds, and would be reflected in the Advisor’s profitability, which had been reviewed by the Board.
(e) The investment performance of the Funds and the Subadvisors. The Board considered whether each Subadvisor operated within the applicable Fund’s investment objective and style, and considered each Subadvisor’s record of compliance with the Fund’s relevant investment restrictions. The Board also considered the Advisor’s conclusions, and the reasons supporting the Advisor’s conclusions, that the performance record of each Subadvisor supported the approval of its Subadvisory Agreement.
Finally, the Trustees considered the terms of the Subadvisory Agreements.
Conclusion. Following full consideration of the foregoing factors, it was reported that no single factor was determinative to the decisions of the Trustees. Based on these factors, along with the determination of the Advisor at
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the conclusion of its review and due diligence process and such other matters as were deemed relevant, the Trustees concluded that the fee rate for each Subadvisor continued to be reasonable in relation to the services that were provided by such Subadvisor to the respective Funds. As a result, the Board, including all of the Independent Trustees, concluded that the approval of the Subadvisory Agreements was in the best interests of the Funds and their shareholders and approved the Subadvisory Agreements.
Mercer US Large Cap Value Equity Fund
Approval of a New Subadvisory Agreement for the Fund
At the June 2013 Meeting, the Trustees, including the Independent Trustees, considered and approved a new subadvisory agreement (the “Current Subadvisory Agreement”) between the Advisor and Robeco Investment Management, Inc. (“Robeco” or the “Subadvisor”) on behalf of the Large Cap Value Fund. Due to a change in the ownership structure of Robeco and its corporate parent, Robeco Groep N.V., that occurred on July 1, 2013 (the “Transaction”), the prior subadvisory agreement between Robeco and the Advisor, on behalf of the Large Cap Value Fund (the “Prior Subadvisory Agreement”), was terminated, and the Board approved the Current Subadvisory Agreement to replace the Prior Subadvisory Agreement.
In considering the approval of the Current Subadvisory Agreement, the Board considered the information and materials from the Advisor and counsel provided in connection with the Board’s consideration of the renewal of the Prior Subadvisory Agreement. The Trustees also considered (i) a copy of a form of the Current Subadvisory Agreement; (ii) information regarding the process by which the Advisor initially selected and recommended Robeco for Board approval, and at the June 2013 Meeting recommended that the Board approve the Prior Subadvisory Agreement and continuation of Robeco, and the Advisor’s rationale for retaining Robeco following the closing of the Transaction; (iii) information regarding the nature, extent and quality of the services that Robeco provided to the Fund; (iv) information regarding Robeco’s reputation, investment management business, personnel, and operations, and the effect that the Transaction may have on Robeco’s business and operations; (v) information regarding Robeco’s brokerage and trading policies and practices; (vi) information regarding the level of subadvisory fees charged by Robeco; (vii) information regarding Robeco’s compliance program; (viii) information regarding Robeco’s historical performance returns managing its allocated portion of the Fund’s portfolio and investment mandates similar to the Fund’s investment mandate, including information comparing that performance to a relevant index; and (ix) information regarding Robeco’s financial condition before and after the Transaction.
In particular, the Board, including the Independent Trustees, considered the following factors:
(a) The nature, extent, and quality of the advisory services to be provided by Robeco. In examining the nature, extent and quality of the services that had been furnished by Robeco to the Fund under the Prior Subadvisory Agreement, and were to be provided by Robeco to the Fund under the Current Subadvisory Agreement, the Board considered: (i) Robeco’s organization, history, reputation, qualification and background, as well as the qualifications of its personnel; (ii) its expertise in providing portfolio management services to the Fund and other similar investment portfolios and the performance history of the Fund and those other portfolios; (iii) its investment strategy for the Fund; (iv) its performance relative to comparable mutual funds and unmanaged indices; and (v) its compliance program. The Board also considered the review process undertaken by the Advisor and the Advisor’s favorable assessment of the nature and quality of the subadvisory services provided and expected to be provided to the Fund by Robeco after consummation of the Transaction. The Board also noted that the executive and portfolio management teams of Robeco were expected to stay in place after consummation of the Transaction. The Board concluded that the Fund and its shareholders would continue to benefit from the quality and experience of Robeco’s investment professionals. Based on their consideration and review of the foregoing information, the Board concluded that the nature, extent and quality of the subadvisory services provided by Robeco under the Prior Subadvisory Agreement, as well as Robeco’s ability to render such services based on its experience, operations and resources, were adequate and appropriate for the Fund in light of the Fund’s investment objective, and supported a decision to approve the Current Subadvisory Agreement.
(b) The costs of the services to be provided and the profits to be realized by Robeco and its affiliates from its relationship with the Fund. The Trustees considered the proposed fee payable under the Current Subadvisory
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Agreement, noting that the proposed fee would be paid by the Advisor, and not the Fund, and, thus, would not impact the fees paid by the Fund. The Board noted that the fee payable to Robeco by the Advisor under the Current Subadvisory Agreement was the same as that payable under the Prior Subadvisory Agreement, and, thus, the Transaction would have no impact on profitability. The Board concluded that the proposed fee payable to Robeco by the Advisor with respect to the assets to be allocated to Robeco in its capacity as subadvisor was reasonable and appropriate.
(c) Ancillary Benefits. The Trustees considered whether there were any ancillary benefits that accrued to Robeco as a result of Robeco’s relationship with the Fund. The Board concluded that Robeco may direct Fund brokerage transactions to certain brokers to obtain research and other services. However, the Board noted that Robeco was required to select brokers who met the Fund’s requirements for seeking best execution, and that the Advisor monitored and evaluated Robeco’s trade execution with respect to Fund brokerage transactions on a quarterly basis and provided reports to the Board on these matters. The Board concluded that the benefits that had accrued and were expected to continue to accrue to Robeco after the Transaction by virtue of its relationship with the Fund were reasonable.
(d) The extent to which economies of scale were realized as the Fund grew, and whether fee levels reflected these economies of scale for the benefit of Fund shareholders. The Trustees recognized that, because Robeco’s fee would continue to be paid by the Advisor, and not the Fund, an analysis of economies of scale was more appropriate in the context of the Board’s consideration of the Investment Management Agreement. It was noted that the benefit of breakpoints would go to the Advisor, and not to the Fund, and would be reflected in the Advisor’s profitability, which had been reviewed by the Trustees.
(e) The investment performance of the Fund and Robeco. The Trustees considered Robeco’s investment performance in managing its allocated portion of the Fund’s portfolio as a factor in evaluating the Current Subadvisory Agreement. The Trustees also considered the Advisor’s conclusions, and the reasons supporting the Advisor’s conclusions, that the performance record of Robeco supported the approval of the Current Subadvisory Agreement.
Finally, the Trustees considered the terms of the Current Subadvisory Agreement.
Conclusion. Following full consideration of the foregoing factors, it was reported that no single factor was determinative to the decisions of the Trustees. Based on these factors, along with the determination of the Advisor at the conclusion of its review and due diligence process and such other matters as were deemed relevant, the Trustees concluded that the fee rate for Robeco pursuant to the Current Subadvisory Agreement was reasonable in relation to the services to be provided to the Fund. As a result, the Board, including all of the Independent Trustees, concluded that the approval of the Current Subadvisory Agreement was in the best interests of the Fund and its shareholders and approved the Current Subadvisory Agreement.
Mercer Opportunistic Fixed Income Fund
April 25, 2013 Board Meeting
Approval of the Investment Management Agreement for the Fund
At a meeting of the Board held on April 25, 2013 (the “April 2013 Meeting”), the Trustees, including the Independent, considered and approved the Investment Management Agreement between the Trust, on behalf of Mercer Opportunistic Fixed Income Fund (the “Opportunistic Fixed Income Fund”), and MIM (the “Investment Management Agreement”). In considering the approval of the Investment Management Agreement with MIM for the Opportunistic Fixed Income Fund, the Board considered the information and materials from the Advisor and from counsel that were prepared for the May31-June, 1 2012 meeting of the Board (the “June 2012 Meeting”) and the materials discussed at the April 2013 Meeting, including: (i) the Investment Management Agreement with respect to the Advisor’s management of the assets of each of the other Funds in the Trust; (ii) information describing the nature, extent, and quality of the services that the Advisor provides to the other Funds in the Trust and is expected to provide to the Opportunistic Fixed Income Fund; the fees that the Advisor proposed to charge to
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September 30, 2013 (Unaudited)
the Opportunistic Fixed Income Fund for these services; and a comparison of those fees to the fees paid by a peer group of other investment companies having investment objectives similar to the investment objectives of the Opportunistic Fixed Income Fund, and that were identified as competitors, as contained in the Lipper Report; (iii) information regarding the Advisor’s business and operations; financial position; portfolio management team; and compliance program; (iv) information describing the Opportunistic Fixed Income Fund’s expected operating expenses compared to the Fund’s peer group of other registered investment companies with investment objectives similar to the investment objectives of the Fund, and that were identified by Lipper in the Lipper Report; (v) information regarding the Advisor’s expected profitability in managing the Opportunistic Fixed Income Fund and the Fee Waiver/Expense Limitation Agreement, pursuant to which MIM has agreed to subsidize the Fund’s expenses at specific levels through July 29, 2015; and (vi) information regarding the benefits that MIM may enjoy in the future as a result of its relationship with the Opportunistic Fixed Income Fund.
The Board also considered presentations made by, and discussions held with, representatives of the Advisor at the April 2013 Meeting, at the June 2012 Meeting, and throughout the course of the year at regularly scheduled Board meetings. The Board also evaluated MIM’s answers and responses to the questions and information requests contained in the 15(c) Information Request Letter provided at the June 2012 Meeting.
In their consideration of the approval of the Investment Management Agreement for the Opportunistic Fixed Income Fund, the Board, including the Independent Trustees, considered the following factors:
(a) The nature, extent, and quality of the services to be provided by the Advisor. The Board reviewed the services expected to be provided by the Advisor to the Opportunistic Fixed Income Fund and has previously provided to the other Funds in the Trust. In connection with the investment advisory services expected to be provided to the Opportunistic Fixed Income Fund, the Board considered the qualifications, experience, and capabilities of the Advisor’s portfolio management team and other investment personnel, and the extent of care and conscientiousness with which MIM personnel have performed their duties.
In this regard, the Board considered that while MIM would focus primarily on the selection, evaluation, and oversight of the Opportunistic Fixed Income Fund’s subadvisors, consistent with the Trust’s multi-manager structure, the Advisor also had extensive other responsibilities as the Opportunistic Fixed Income Fund’s investment advisor, including: the provision of investment advice; the allocation of the Opportunistic Fixed Income Fund’s assets among multiple subadvisors (including overseeing the process of transitioning assets among subadvisor(s) as necessary, and the fee negotiation process whereby the Advisor seeks to achieve an appropriate and competitive level of fees and fee structure, and the Advisor’s continual monitoring of the ongoing appropriateness and competitiveness of each subadvisory fee and fee structure (including the Advisor’s initiative to renegotiate and implement reduced subadvisor fee schedules); the monitoring of each subadvisor’s investment performance and processes; the oversight of each subadvisor’s compliance with the Opportunistic Fixed Income Fund’s investment objective, policies, and limitations; review of portfolio security brokerage and trading practices; oversight of general portfolio compliance with relevant law; and the implementation of Board directives as those directives may relate to the Opportunistic Fixed Income Fund.
The Board discussed the Advisor’s ability and willingness to identify instances where there might be a need to add a new subadvisor, to replace a current subadvisor, to reallocate Fund assets among current subadvisors, to utilize a new strategy of a current subadvisor, or to implement a combination of these measures, as well as the Advisor’s ability to promptly, efficiently, and economically effect such changes. The Board reviewed the proprietary tools utilized by the Advisor to review, select, evaluate, and monitor subadvisors for the Funds, as well as the Advisor’s experience, resources, and strengths in advising the Mercer Collective Trust and the Mercer Group Trust, two other pooled investment vehicles overseen by MIM.
The Board discussed the Trust’s multi-manager structure, and the services required by the Trust as a consequence of that structure, as measured against an investment company without multiple subadvisors. The Board also evaluated the nature, extent, and quality of the non-investment advisory and administrative services to be provided to the Opportunistic Fixed Income Fund by MIM, such as the supervision of the Fund’s third-party service providers. The Board considered the scope and substance of MIM’s regulatory and compliance policies, procedures, and systems.
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The Board evaluated MIM’s capabilities in providing the administrative and compliance services needed to support management of the Opportunistic Fixed Income Fund, and the information that regularly had been provided by the Chief Compliance Officer (“CCO”) to the Trustees at prior Board meetings. The Board also considered MIM’s prior willingness both to add personnel and to replace existing personnel, as the Funds have grown, in order to ensure that appropriate staffing levels were maintained, and to enhance the distribution of the Funds. The Board also recalled the Advisor’s identification of the large number of new employees that had been hired over the prior year as MIM grew.
Based on their consideration and review of the foregoing information, the Board determined that the Funds have benefited, and that the Opportunistic Fixed Income Fund could be expected to benefit, from the nature, extent, and quality of these services, as well as the Advisor’s ability to continue to provide these services based on MIM’s experience, operations, and resources.
(b) The costs of the services to be provided and the profits expected to be realized by the Advisor and its affiliates from the Advisor’s relationship with the Opportunistic Fixed Income Fund. The Board compared the Opportunistic Fixed Income Fund’s contractual management fee and expected expense ratio to other investment companies considered to be in the Fund’s respective peer group (as identified by Lipper in its Report), and noted the Funds’ favorable rankings.
The Board considered the costs of organizing and operating the Opportunistic Fixed Income Fund, and the significant economic impact that these activities could have on the profitability of the Advisor. The Board also discussed the costs of compensating the proposed Opportunistic Fixed Income Fund subadvisors (as well as MIM’s initiative to negotiate reduced fee schedules for the proposed Opportunistic Fixed Income Fund subadvisors, which may allow the Advisor to reach profitability more quickly). The Board noted the Advisor’s commitment to limit the Opportunistic Fixed Income Fund’s expenses through the Fee Waiver/Expense Limitation Agreement with the Trust. In addition, the Board discussed the entrepreneurial risk undertaken by the Advisor in creating and operating the Opportunistic Fixed Income Fund. The Board recalled their discussions, both at the April 2013 Meeting and at prior meetings, regarding MIM subsidizing the Funds in their initial stages, and the significant losses that MIM had sustained, as well as MIM reiterating both its and its parent companies resolution to continue to waive MIM’s fees and to reimburse Fund expenses until such time as the Funds reach profitable asset levels. After comparing the Opportunistic Fixed Income Fund’s fees with the fees of other funds in the Fund’s respective peer group, and in light of the nature, extent, and quality of services expected to be provided by the Advisor and the costs that were expected to be incurred by the Advisor in rendering those services, the Board concluded that the level of fees proposed to be paid to the Advisor with respect to the Opportunistic Fixed Income Fund was fair and reasonable.
The Board also considered the other relationships that the Advisor and its affiliates have with the Trust, and any ancillary benefits that could be realized by the Advisor and its affiliates from the Advisor’s relationship with the Opportunistic Fixed Income Fund, as well as the comments of MIM personnel at the June 2012 Meeting and at the April 2013 Meeting. The Board recognized that because of the Trust’s multi-manager structure, the Advisor would not be placing portfolio transactions on behalf of the Opportunistic Fixed Income Fund, and, thus, the Advisor would not receive proprietary research from broker dealers that executed the Fund’s portfolio transactions. In addition, the Board noted that MIM, as a policy, would not receive any services paid for by Opportunistic Fixed Income Fund soft dollar commissions. As such, the Board took note of the fact that the Advisor would not derive any benefits from any Opportunistic Fixed Income Fund portfolio transactions, which benefits would instead be realized by the proposed Opportunistic Fixed Income Fund subadvisors, and in the case of other registered investment companies, by their investment managers.
The Board noted that the Advisor, by managing the Funds, may benefit (along with its affiliates) to the extent that potential investors view MIM and its affiliates as providing a diverse array of investment products, and managing different asset classes, which were available through multiple investment vehicles. The Board also noted that the Advisor serves as the Trust’s internal administrator, and the Advisor will be entitled to receive compensation from the Class S, Class Y-1, and Class Y-2 shares of the Funds for acting in that capacity (although no compensation had been paid to date). The Board also considered that, in return for this compensation, the Advisor was responsible for, among other things, attending to shareholder correspondence, assisting with the purchase and redemption of shares,
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and preparing and distributing documents for shareholder use. As such, the Board concluded that the benefits that may accrue to the Advisor and its affiliates by virtue of their relationships to the Opportunistic Fixed Income Fund were reasonable and fair in comparison with the costs of providing the relevant services.
(c) The investment performance of the Funds and the Advisor. The Board recognized that the Opportunistic Fixed Income Fund was a new fund and, therefore, had no performance history to review. Accordingly, the Board considered the overall investment performance of the other Funds in the Trust generally, and their evaluation of Fund performance in the context of the Trust’s multi-manager structure, and the unique considerations that this structure required, as considered at the June 2012 Meeting. The Board also considered that MIM continued to be proactive in seeking to replace and/or add subadvisors, to reallocate assets among subadvisors, and to implement new investment subadvisor strategies, with a view to improving Fund performance over the long term. On this basis, the Board concluded that MIM’s performance in managing the other Funds in the Trust generally suggested that the Advisor’s management of the Opportunistic Fixed Income Fund would benefit the Fund and its shareholders.
The Board also considered the Advisor’s projected profitability and the Advisor’s agreement to limit certain Fund expenses through July 29, 2015.
Conclusion. Following full consideration of the foregoing factors, it was reported that no single factor was determinative to the decisions of the Trustees. Based on these factors, and such other matters as were deemed relevant, the Trustees concluded that the management fee rate of the Opportunistic Fixed Income Fund was reasonable in relation to the services to be provided by the Advisor to the Fund, as well as the costs that were expected to be incurred and benefits that were expected to be gained by the Advisor in providing such services. The Trustees also found MIM’s investment management fee to be reasonable in comparison to the fees charged by the investment advisors to the investment companies included in the Fund’s peer group as presented in the Lipper Report. As a result, the Board, including all of the Independent Trustees, concluded that the approval of the Investment Management Agreement was in the best interests of the Opportunistic Fixed Income Fund and its shareholders and approved the Investment Management Agreement.
Mercer Opportunistic Fixed Income Fund
Approval of the Subadvisory Agreements for the Fund
At the April 2013 Meeting, the Board, including the Independent Trustees, also considered and approved the two separate subadvisory agreements (together, the “Subadvisory Agreements”) entered into by the Advisor and the two following initial subadvisors for the Opportunistic Fixed Income Fund: Franklin Advisers, Inc. (“Franklin”) and Investec Management US Limited (“Investec”) (Franklin and Investec are each referred to herein as a “Subadvisor,” and together, the “Subadvisors”).
In considering the approval of the Subadvisory Agreements, the Board considered the information and materials from the Advisor, Subadvisors, and counsel that included, as to each Subadvisor and the Opportunistic Fixed Income Fund: (i) the Subadvisory Agreement between the Advisor and the Subadvisor; (ii) information regarding the process by which the Advisor had reviewed, selected, and recommended the Subadvisor for the Board’s approval, and MIM’s rationale for recommending that each Subadvisor be appointed as a subadvisor to the Opportunistic Fixed Income Fund, and how that Subadvisor would supplement the Opportunistic Fixed Income Fund’s other proposed subadvisor; (iii) the nature, extent, and quality of the services that the Subadvisor proposed to provide to the Opportunistic Fixed Income Fund; (iv) the investment management business, portfolio management personnel, operations, prior investment experience, and reputation of the Subadvisor; (v) the Subadvisor’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by the Subadvisor for its services to the Opportunistic Fixed Income Fund, and a comparison of those fees to the fees charged by the Subadvisor to other accounts that the Subadvisor managed; (vii) the compliance program of the Subadvisor; and (viii) the financial condition of the Subadvisor.
In addition, the Board considered presentations made by, and discussions held with, representatives of the Advisor at the April 2013 Meeting. The Board considered and analyzed factors that the Board deemed relevant with respect to each Subadvisor, including: the nature, extent, and quality of the services to be provided to the Opportunistic
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September 30, 2013 (Unaudited)
Fixed Income Fund by the Subadvisor; the Subadvisor’s management style and investment decision-making process; the Subadvisor’s historical performance record; the qualifications and experience of the members of the Subadvisor’s portfolio management team; and the Subadvisor’s staffing levels and overall resources. Additionally, the Independent Trustees received assistance and advice regarding legal and industry standards and reviewed materials supplied by their independent legal counsel.
In particular, and as to each Subadvisor, the Board, including the Independent Trustees, considered the following factors:
(a) The nature, extent, and quality of the services to be provided by the Subadvisors. The Board reviewed the nature, extent, and quality of the services to be provided by each Subadvisor to the Opportunistic Fixed Income Fund. The Board discussed the specific investment management process that each Subadvisor indicated that it will employ to manage its allocated portion of the Opportunistic Fixed Income Fund’s investment portfolio (which was described in detail in the materials provided by each Subadvisor as part of the April 2013 Meeting), the qualifications of each Subadvisor’s portfolio managers and investment management personnel with regard to implementing the investment mandate relating to the allocated portion of the Opportunistic Fixed Income Fund’s investment portfolio that each Subadvisor would be managing, and the performance record of Franklin’s global high yield strategies and Investec’s global value strategy as compared to the relevant benchmark(s). The Board considered each Subadvisor’s infrastructure and resources, and whether each Subadvisor’s organization appeared to support each Subadvisor’s strategy adequately. The Board also discussed the Advisor’s review, selection, and due diligence process with respect to the Subadvisors, and the Advisor’s favorable assessment as to the nature, extent, and quality of the subadvisory services expected to be provided to the Opportunistic Fixed Income Fund by each Subadvisor. The Board determined that the Opportunistic Fixed Income Fund and its shareholders would benefit from the quality and experience of each Subadvisor’s portfolio managers and the qualifications of its investment professionals. Based on their consideration and review of the foregoing information, the Board concluded that the nature, extent, and quality of the subadvisory services anticipated to be provided by each Subadvisor, as well as each Subadvisor’s ability to render such services based on each Subadvisor’s experience, operations, and resources, were appropriate for the Opportunistic Fixed Income Fund, in light of the Fund’s investment objective, and the mandate relating to the allocated portion of the Opportunistic Fixed Income Fund’s investment portfolio that each respective Subadvisor would manage.
(b) Comparison of the services to be rendered and fees to be paid to the Subadvisors under other advisory and subadvisory contracts, such as those with other clients; economies of scale. The Board discussed the services that would be rendered by each Subadvisor and evaluated the compensation to be paid to each Subadvisor by the Advisor for those services. The Board noted that the services that each Subadvisor would furnish to the Opportunistic Fixed Income Fund appeared to be comparable to the services that such Subadvisor currently provides to its other advisory and subadvisory clients having similar investment strategies. The Board also considered comparisons of the fees that will be paid to each Subadvisor by the Advisor in light of the fees that were charged by each Subadvisor to its other advisory clients, as disclosed in each Subadvisor’s Form ADV, Part 2A (Firm Brochure) and in its 15(c) Questionnaire responses, including commingled and separate accounts. The Board also considered that the fees agreed to by each Subadvisor were the result of an arm’s length bargain negotiated by unaffiliated parties.
The Board also noted that, while each Subadvisor’s fee schedule did include breakpoints, this would not be relevant to the shareholders of the Opportunistic Fixed Income Fund, as the Advisor would pay each Subadvisor’s fees. In addition, the Board considered the review, selection, and due diligence process employed by the Advisor, as discussed at the April 2013 Meeting, in determining to recommend each Subadvisor to serve as a subadvisor to the Opportunistic Fixed Income Fund, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by MIM to each Subadvisor for its services to the Opportunistic Fixed Income Fund were reasonable. The Board emphasized in their discussions that the subadvisory fees of each Subadvisor would be paid by the Advisor, and were not additional fees to be borne by the Opportunistic Fixed Income Fund or its shareholders. Based on their discussion, the Board concluded that, in light of the nature, quality, and extent of the services to be provided, the proposed fees to be paid to each Subadvisor with respect to the assets of the Opportunistic Fixed Income Fund to be
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September 30, 2013 (Unaudited)
allocated to each Subadvisor appeared to be within a reasonable range. The Board also considered the potential “fallout” or ancillary benefits that may accrue to each Subadvisor from its relationship with the Opportunistic Fixed Income Fund and concluded that they were reasonable.
Since the fees to be paid to each Subadvisor were the result of arm’s-length bargaining between unaffiliated parties, and given the Advisor’s economic incentive to negotiate a reasonable fee, the potential profitability of each Subadvisor was not considered relevant to the Board’s deliberations. The Board took note of the Advisor’s explanation, at the April 2013 Meeting, that the recommended appointment of each Subadvisor was not affected by the impact that the appointment would have on MIM’s revenues and profitability, and recalled that the Advisor had demonstrated that the appointment of each Subadvisor may allow the Advisor to reach profitability when managing the Opportunistic Fixed Income Fund slightly more quickly. On the basis of these considerations, the Board concluded that, in light of the nature, extent, and quality of the services expected to be provided by each Subadvisor and the proposed fees to be paid to each Subadvisor by the Advisor for managing its allocated portion of the Opportunistic Fixed Income Fund, the potential benefits accruing to each Subadvisor as a result of serving as a subadvisor to the Opportunistic Fixed Income Fund were reasonable.
(c) Investment performance of the Opportunistic Fixed Income Fund and the Subadvisors. Because the Opportunistic Fixed Income Fund is a new investment portfolio, the Board could not consider each Subadvisor’s investment performance in managing the Fund as a factor in evaluating the Subadvisory Agreements. However, the Board reviewed each Subadvisor’s historical investment performance record, utilizing Franklin’s global high yield strategies and Investec’s global value strategy in managing commingled and separate accounts. The Board also compared the historical investment performance of Franklin’s global high yield strategies and Investec’s global value strategy to relevant benchmarks and concluded that each Subadvisor’s historical performance record, viewed together with the other factors considered by the Board, supported a decision to approve the Subadvisory Agreements. Finally, the Trustees considered the fairness and reasonableness of the terms of the Subadvisory Agreements.
Conclusion. Following consideration of the foregoing factors, it was reported that no single factor was determinative to the decisions of the Trustees. Based on these factors, along with the determination of the Advisor at the conclusion of its review, selection, and due diligence process to recommend each Subadvisor to serve as a subadvisor to the Opportunistic Fixed Income Fund, and such other matters as were deemed relevant, the Trustees concluded that the proposed fee rate for each Subadvisor was reasonable in relation to the services that would be provided to the Opportunistic Fixed Income Fund. As a result, the Board, including all of the Independent Trustees, concluded that the approval of the Subadvisory Agreements was in the best interests of the Opportunistic Fixed Income Fund and its shareholders and approved the Subadvisory Agreements.
Mercer Emerging Markets Equity Fund
September 17, 2013 Board Meeting
Approval of a New Subadvisory Agreement for the Fund
At a meeting of the Board held on September 17, 2013 (the “September 2013 Meeting”), the Board, including the Independent Trustees, considered and approved a new subadvisory agreement (the “Subadvisory Agreement”) entered into by the Advisor and Investec Management US Limited (“Investec”) (the “Subadvisor”), with respect to the Emerging Markets Fund.
In considering the approval of the Subadvisory Agreement, the Board considered the information and materials from the Advisor, the Subadvisor, and counsel that included, as to the Subadvisor and the Emerging Markets Fund: (i) the Subadvisory Agreement between the Advisor and the Subadvisor (which was amended to add the Emerging Markets Fund); (ii) information regarding the process by which the Advisor had reviewed, selected, and recommended the Subadvisor for the Board’s approval, and MIM’s rationale for recommending that the Subadvisor be appointed as a subadvisor to the Emerging Markets Fund, and how that Subadvisor would supplement the Emerging Markets Fund’s other current subadvisors; (iii) the nature, extent, and quality of the services that the Subadvisor proposed to provide to the Emerging Markets Fund; (iv) the investment management business, portfolio
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Notes to the Financial Statements (Continued)
September 30, 2013 (Unaudited)
management personnel, operations, prior investment experience, and reputation of the Subadvisor; (v) the Subadvisor’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by the Subadvisor for its services to the Emerging Markets Fund, and a comparison of those fees to the fees charged by the Subadvisor to other accounts that the Subadvisor managed; (vii) the compliance program of the Subadvisor; and (viii) the financial condition of the Subadvisor.
In addition, the Board considered presentations made by, and discussions held with, representatives of the Advisor at the June 2013 Meeting. The Board considered and analyzed factors that the Board deemed relevant with respect to the Subadvisor, including: the nature, extent, and quality of the services to be provided to the Emerging Markets Fund by the Subadvisor; the Subadvisor’s management style and investment decision-making process; the Subadvisor’s historical performance record; the qualifications and experience of the members of the Subadvisor’s portfolio management team; and the Subadvisor’s staffing levels and overall resources. Additionally, the Independent Trustees received assistance and advice regarding legal and industry standards and reviewed materials supplied by their independent legal counsel.
In particular, and as to the Subadvisor, the Board, including the Independent Trustees, considered the following factors:
(a) The nature, extent, and quality of the services to be provided by the Subadvisor. The Board reviewed the nature, extent, and quality of the services to be provided by the Subadvisor to the Emerging Markets Fund. The Board discussed the specific investment management process that the Subadvisor indicated that it will employ to manage its allocated portion of the Merging Markets Fund’s investment portfolio (which was described in detail in the materials provided by the Subadvisor), the qualifications of the Subadvisor’s portfolio managers and investment management personnel with regard to implementing the investment mandate relating to the allocated portion of the Emerging Markets Fund’s investment portfolio that the Subadvisor would be managing, and the performance record of the Subadvisor as compared to the relevant benchmark. The Board considered the Subadvisor’s infrastructure and resources, and whether the Subadvisor’s organization appeared to support the Subadvisor’s strategy adequately. The Board also discussed the Advisor’s review, selection, and due diligence process with respect to the Subadvisor, and the Advisor’s favorable assessment as to the nature, extent, and quality of the subadvisory services expected to be provided to the Emerging Markets Fund by the Subadvisor. The Board determined that the Emerging Markets Fund and its shareholders would benefit from the quality and experience of the Subadvisor’s portfolio managers and the qualifications of its investment professionals. Based on their consideration and review of the foregoing information, the Board concluded that the nature, extent, and quality of the subadvisory services anticipated to be provided by the Subadvisor, as well as the Subadvisor’s ability to render such services based on the Subadvisor’s experience, operations, and resources, were appropriate for the Emerging Markets Fund, in light of the Fund’s investment objective, and the mandate relating to the allocated portion of the Emerging Markets Fund’s investment portfolio that the Subadvisor would manage.
(b) Comparison of the services to be rendered and fees to be paid to the Subadvisor under other advisory and subadvisory contracts, such as those with other clients; economies of scale. The Board discussed the services that would be rendered by the Subadvisor and evaluated the compensation to be paid to the Subadvisor by the Advisor for those services. The Board noted that the services that the Subadvisor would furnish to the Emerging Markets Fund appeared to be comparable to the services that the Subadvisor currently provides to its other advisory and subadvisory clients having similar investment strategies. The Board also considered comparisons of the fees that will be paid to the Subadvisor by the Advisor in light of the fees that were charged by the Subadvisor to its other advisory clients, as disclosed in the Subadvisor’s Form ADV, Part 2A (Firm Brochure) and in its 15(c) Questionnaire responses, including commingled and separate accounts. The Board also considered that the fees agreed to by the Subadvisor were the result of an arm’s length bargain negotiated by unaffiliated parties.
The Board also noted that, while the Subadvisor’s fee schedule did include breakpoints, this would not be relevant to the shareholders of the Emerging Markets Fund, as the Advisor would pay the Subadvisor’s fees. In addition, the Board considered the review, selection, and due diligence process employed by the Advisor, as discussed at the June 2013 Meeting, in determining to recommend the Subadvisor to serve as a subadvisor to the Emerging Markets Fund, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by MIM to the Subadvisor for
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September 30, 2013 (Unaudited)
its services to the Emerging Markets Fund were reasonable. The Board emphasized in their discussions that the subadvisory fees of the Subadvisor would be paid by the Advisor, and were not additional fees to be borne by the Emerging Markets Fund or its shareholders. Based on their discussion, the Board concluded that, in light of the nature, quality, and extent of the services to be provided, the proposed fees to be paid to the Subadvisor with respect to the assets of the Emerging Markets Fund to be allocated to the Subadvisor appeared to be within a reasonable range. The Board also considered the potential “fallout” or ancillary benefits that may accrue to the Subadvisor from its relationship with the Emerging Markets Fund and concluded that they were reasonable.
Since the fees to be paid to the Subadvisor were the result of arm’s-length bargaining between unaffiliated parties, and given the Advisor’s economic incentive to negotiate a reasonable fee, the potential profitability of the Subadvisor was not considered relevant to the Board’s deliberations. The Board took note of the Advisor’s explanation that the recommended appointment of the Subadvisor was not affected by the impact that the appointment would have on MIM’s revenues and profitability, and recalled that the Advisor had demonstrated that the appointment of the Subadvisor may allow the Advisor to reach profitability when managing the Emerging Markets Fund slightly more quickly. On the basis of these considerations, the Board concluded that, in light of the nature, extent, and quality of the services expected to be provided by the Subadvisor and the proposed fees to be paid to the Subadvisor by the Advisor for managing its allocated portion of the Emerging Markets Fund, the potential benefits accruing to the Subadvisor as a result of serving as a subadvisor to the Emerging Markets Fund were reasonable.
(c) Investment performance of the Emerging Markets Fund and the Subadvisor. Because the Subadvisor was a newly proposed subadvisor to the Emerging Markets Fund, the Board could not consider the Subadvisor’s investment performance in managing the Fund as a factor in evaluating the Subadvisory Agreement. However, the Board reviewed the Subadvisor’s historical investment performance record in managing commingled and separate accounts. The Board also compared the historical investment performance of the Subadvisor to relevant benchmarks and concluded that the Subadvisor’s historical performance record, viewed together with the other factors considered by the Board, supported a decision to approve the Subadvisory Agreement. Finally, the Trustees considered the fairness and reasonableness of the terms of the Subadvisory Agreement.
Conclusion. Following consideration of the foregoing factors, it was reported that no single factor was determinative to the decisions of the Trustees. Based on these factors, along with the determination of the Advisor at the conclusion of its review, selection, and due diligence process to recommend the Subadvisor to serve as a subadvisor to the Emerging Markets Fund, and such other matters as were deemed relevant, the Trustees concluded that the proposed fee rate for the Subadvisor was reasonable in relation to the services that would be provided to the Emerging Markets Fund. As a result, the Board, including all of the Independent Trustees, concluded that the approval of the Subadvisory Agreement was in the best interests of the Emerging Markets Fund and its shareholders and approved the Subadvisory Agreement.
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Mercer Funds
Understanding Your Fund’s Expenses (Unaudited)
As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases, redemption fees and certain exchange fees and ongoing costs, including management fees, distribution fees (12b-1 fees), and other fund expenses. These costs are described in more detail in the Funds’ prospectus. The examples below are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds. The first line in the table for each Fund shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the Fund from April 1, 2013 through September 30, 2013. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual fund returns and expenses. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = $8.60) and multiply the result by the number in the Operating Expenses Incurred column as shown below for your Class. The second line in the table for each Fund provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges, redemption fees or exchange fees. Therefore, the second line in the table of each fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.
Large Cap Growth — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 0.57% | 1,000.00 | 1,124.60 | 1,062.30 | 3.04 | ||||||||||||||||||||
Hypothetical | 0.57% | 1,000.00 | 1,022.21 | 1,011.11 | 2.89 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.57%, multiplied by the average account value over the period, multiplied by 183/365 |
Large Cap Value — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 0.55% | 1,000.00 | 1,130.70 | 1,065.35 | 2.94 | ||||||||||||||||||||
Hypothetical | 0.55% | 1,000.00 | 1,022.31 | 1,011.16 | 2.79 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.55%, multiplied by the average account value over the period, multiplied by 183/365 |
Small/Mid Cap Growth — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 0.97% | 1,000.00 | 1,126.50 | 1,063.25 | 5.17 | ||||||||||||||||||||
Hypothetical | 0.97% | 1,000.00 | 1,020.21 | 1,010.11 | 4.91 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.97%, multiplied by the average account value over the period, multiplied by 183/365 |
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Understanding Your Fund’s Expenses (Unaudited) (Continued)
Small/Mid Cap Value — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 0.97% | 1,000.00 | 1,093.20 | 1,046.60 | 5.09 | ||||||||||||||||||||
Hypothetical | 0.97% | 1,000.00 | 1,020.21 | 1,010.11 | 4.91 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.97%, multiplied by the average account value over the period, multiplied by 183/365 |
Non-US Core Equity — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 0.85% | 1,000.00 | 1,121.00 | 1,060.50 | 4.52 | ||||||||||||||||||||
Hypothetical | 0.85% | 1,000.00 | 1,020.81 | 1,010.41 | 4.31 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.85%, multiplied by the average account value over the period, multiplied by 183/365 |
Core Fixed — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 0.37% | 1,000.00 | 982.20 | 991.10 | 1.84 | ||||||||||||||||||||
Hypothetical | 0.37% | 1,000.00 | 1,023.21 | 1,011.61 | 1.88 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.37%, multiplied by the average account value over the period, multiplied by 183/365 |
Opportunistic Fixed — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 0.90% | 1,000.00 | 1,030.00 | 1,015.00 | 1.00 | ||||||||||||||||||||
Hypothetical | 0.90% | 1,000.00 | 1,004.49 | 1,002.25 | 0.99 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.90%, multiplied by the average account value over the period, multiplied by 40/365 |
217
Mercer Funds
Understanding Your Fund’s Expenses (Unaudited) (Continued)
Emerging Markets — Class Y3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 0.95% | 1,000.00 | 971.40 | 985.70 | 4.69 | ||||||||||||||||||||
Hypothetical | 0.95% | 1,000.00 | 1,020.31 | 1,010.16 | 4.81 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.95%, multiplied by the average account value over the period, multiplied by 183/365 |
Global Low Volatility — Class Y3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 0.84% | 1,000.00 | 1,050.90 | 1,025.45 | 4.32 | ||||||||||||||||||||
Hypothetical | 0.84% | 1,000.00 | 1,020.86 | 1,010.43 | 4.26 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.84%, multiplied by the average account value over the period, multiplied by 183/365 |
Short Maturity — Class Y3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 0.32% | 1,000.00 | 999.00 | 999.50 | 1.60 | ||||||||||||||||||||
Hypothetical | 0.32% | 1,000.00 | 1,023.46 | 1,011.73 | 1.62 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.32%, multiplied by the average account value over the period, multiplied by 183/365 |
218
Mercer Funds
Trustees and Officers (Unaudited)
The following tables list the Trust’s Trustees and Officers as of the date of this report; their address and age; their position with the Trust; the length of time holding that position with the Trust; their principal occupation(s) during the past five years; the number of portfolios in the fund complex they oversee; and other directorships they hold in companies subject to registration or reporting requirements of the Securities Exchange Act of 1934 (generally called “public companies”) or in registered investment companies. The Trust’s Statement of Additional Information (“SAI”) includes additional information about the Trust’s trustees, including changes subsequent to the date of the report. The SAI is available, without charge, upon request, by calling 1-866-658-9896, or on the SEC website at www.sec.gov.
Independent Trustees
Name, Address and Age | Position(s) | Term of | Principal | Number of Portfolios in Fund Complex* Overseen by Trustee | Other | ||||||||
Harrison M. Bains, Jr. 99 High Street Boston, MA 02110 (70) | Trustee | Since 2005 | Mr. Bains is retired. | 10 | Mr. Bains is a director of BG Medicine, Inc. and Trustee of BofA Fund Series Trust (11 portfolios). | ||||||||
Adela M. Cepeda A.C. Advisory, Inc. 150 North Wacker Drive, Suite 2160 Chicago, IL 60606 (55) | Chairperson and Trustee | Chairperson Since 2011, Trustee Since 2005 | Ms. Cepeda is Founder and President of A.C. Advisory, Inc. (a financial advisory firm) since 1995. | 10 | Ms. Cepeda is a director of The UBS Funds (19 portfolios), UBS Relationship Funds (25 portfolios), Fort Dearborn Income Securities, Inc., SMA Relationship Trust (5 portfolios, Consulting Group Capital Markets Funds (11 portfolios), and the Amalgamated Bank of Chicago. | ||||||||
Gail A. Schneider 99 High Street Boston, MA 02110 (65) | Trustee | Since 2009 | Ms. Schneider is a self-employed consultant since 2007. From 2002 to 2007, Ms. Schneider was retired. | 10 | None |
219
Mercer Funds
Trustees and Officers (Unaudited) (Continued)
Interested Trustee:
Name, Address and Age | Position(s) | Term of | Principal | Number of Portfolios in Fund Complex* Overseen by Trustee | Other | ||||||||
Richard Nuzum** (45) | Trustee, President, and Chief Executive Officer | Since 2010 | Mr. Nuzum is President and Global Business Leader of Mercer’s Investment Management Business since 2009. Mr. Nuzum was Americas Business Leader for Mercer Investment Consulting from 2005-2008. | 10 | Mr. Nuzum is a trustee of Mercer Trust Company and a director of Mercer Investment Management, Inc. Mr. Nuzum served as a director of Mercer Investment Consulting, Inc. from 2005 to 2008. |
(1) | Each Trustee holds office for an indefinite term. |
* | The “Fund Complex” consists of the Trust, which has ten portfolios effective September 30, 2013. |
** | Mr. Nuzum is considered to be an “interested person” of the Trust as defined in the 1940 Act, due to his relationship with the Advisor. |
220
Mercer Funds
Trustees and Officers (Unaudited) (Continued)
Officers:
The executive officers of the Trust not named above are:
Name and Age | Position(s) | Term of | Principal Occupation(s) During Past 5 Years | |||
Tom Murphy (42) | Vice President | Since 2011 | Mr. Murphy is President of Mercer Investment Management, Inc. since 2011. He was Chief Investment Officer of Mercer Investment Management, Inc. from 2011-2012. Previously, Mr. Murphy was a Business Leader for Mercer Investment Management in EMEA since 2006. | |||
Richard S. Joseph (48) | Vice President, Treasurer, and Chief Financial Officer | Since 2005 | Mr. Joseph is Chief Operating Officer, Mercer Investment Management, Inc. since 2005. | |||
Stan Mavromates (53) | Vice President and Chief Investment Officer | Since 2012 | Mr. Mavromates is Vice President and Chief Investment Officer of Mercer Investment Management, Inc. since 2012. He served as Chief Investment Officer of the Massachusetts Pension Reserves Investment Management Board since 2005. | |||
Scott M. Zoltowski (44) | Vice President, Chief Legal Officer and Secretary | Since 2008 | Mr. Zoltowski is a partner of Mercer (US) Inc. and serves as Global Chief Counsel - Investments, for Mercer Investment Management, Inc. and Mercer Investment Consulting, Inc. Prior to this, Mr. Zoltowski was Senior Counsel and Vice President prior to this for State Street Global Advisors from 2006-2008. | |||
Colin Dean (36) | Vice President and Assistant Secretary | Since 2010 | Mr. Dean has served as Legal Counsel - Investments for Mercer Investment Management, Inc. since 2010. Prior to that, Mr. Dean was an Associate at Dechert LLP from 2007-2010 and Associate Counsel at Affiliated Managers Group, Inc. from 2005-2007. | |||
Manny Weiss (64) | Vice President | Since 2010 | Mr. Weiss is a Portfolio Manager and Principal of Mercer Investment Management, Inc. since 2009. From 2006 to 2008, Mr. Weiss worked for 21 Capital Group, an affiliate of Old Mutual Asset Management, in Hedge Fund Manager Research and Client Service. | |||
Larry Vasquez (46) | Vice President | Since 2012 | Mr. Vasquez is a Vice President and Portfolio Manager of Mercer Investment Management, Inc. since 2012. Prior to joining Mercer, he was a Portfolio Manager at UBS Global Asset Management, Inc. from 2009 to 2012. Prior to 2009, Mr. Vasquez was a Portfolio Manager at SEI Investments. | |||
Mark Gilbert (41) | Vice President and Chief Compliance Officer | Since 2011 | Mr. Gilbert is the Chief Compliance Officer - Investments of Mercer Investment Management, Inc. and Mercer Investment Consulting, Inc. since 2011. He previously held the position of Americas Compliance Leader - Investments since 2007. |
† | Officers of the Trust are elected by the Trustees and serve at the pleasure of the Board. |
221
Shares of Mercer Funds are distributed by MGI Funds Distributors, LLC.
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant’s Board of Directors, where those changes were implemented after the Registrant last provided disclosure in response to the requirements of Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101), or this Item.
Item 11. Controls and Procedures.
(a) The Registrant’s Principal Executive Officer and Principal Financial Officer concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c))), are effective based on the evaluation of Registrant’s disclosure controls and procedures as of a date within 90 days prior to the filing date of this report.
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d))), that occurred during the Registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Not applicable.
(a)(2) Certification of the Principal Executive Officer and Principal Financial Officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is attached hereto as Exhibit 99CERT.
(a)(3) Not applicable.
(b) Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 as required by Rule 30a-2(b), under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)), Rule 15d-14(b) under the Securities Exchange Act of 1934 (17 CFR 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) is attached hereto as Exhibit 99.906CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Mercer Funds |
By (Signature and Title) | By: /s/ Richard Nuzum | |
Richard Nuzum President and Chief Executive Officer (Principal Executive Officer) |
Date | November 25, 2013 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following person on behalf of the Registrant and in the capacities and on the date indicated.
By (Signature and Title) | By: /s/ Richard Nuzum | |
Richard Nuzum President and Chief Executive Officer (Principal Executive Officer) |
Date | November 25, 2013 |
By (Signature and Title) | By: /s/ Richard S. Joseph | |
Richard S. Joseph Vice President, Treasurer and Principal Accounting Officer (Principal Financial Officer) |
Date | November 25, 2013 |