Table of Contents
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, 2015
Date of Reporting Period: September 30, 2014
Table of Contents
Item 1. | Reports to Stockholders. |
The Report to Shareholders is attached herewith.
Table of Contents
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
Mercer Opportunistic Fixed Income Fund
Mercer Emerging Markets Equity Fund
Mercer Global Low Volatility Equity 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, 2014
Table of Contents
MERCER FUNDS
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Table of Contents
Mercer US Large Cap Growth Equity Fund
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 94.4% |
| |||||||||
Agriculture — 1.7% |
| |||||||||
52,633 | Monsanto Co. | 5,921,739 | ||||||||
|
| |||||||||
Apparel — 6.0% |
| |||||||||
183,525 | LVMH Moet Hennessy Louis Vuitton SA, Sponsored ADR | 5,944,375 | ||||||||
65,500 | NIKE, Inc. Class B | 5,842,600 | ||||||||
57,560 | Ralph Lauren Corp. | 9,481,859 | ||||||||
|
| |||||||||
21,268,834 | ||||||||||
|
| |||||||||
Auto Manufacturers — 0.7% |
| |||||||||
9,809 | Tesla Motors, Inc.* | 2,380,448 | ||||||||
|
| |||||||||
Beverages — 2.8% |
| |||||||||
21,700 | Anheuser-Busch InBev NV, Sponsored ADR | 2,405,445 | ||||||||
65,280 | Diageo Plc, Sponsored ADR | 7,533,312 | ||||||||
|
| |||||||||
9,938,757 | ||||||||||
|
| |||||||||
Biotechnology — 7.8% |
| |||||||||
33,311 | Alexion Pharmaceuticals, Inc.* | 5,523,630 | ||||||||
20,233 | Biogen Idec, Inc.* | 6,693,279 | ||||||||
37,652 | Celgene Corp.* | 3,568,656 | ||||||||
20,843 | Illumina, Inc.* | 3,416,585 | ||||||||
10,800 | Regeneron Pharmaceuticals, Inc.* | 3,893,616 | ||||||||
38,928 | Vertex Pharmaceuticals, Inc.* | 4,372,004 | ||||||||
|
| |||||||||
27,467,770 | ||||||||||
|
| |||||||||
Commercial Services — 4.8% |
| |||||||||
79,804 | Visa, Inc. Class A | 17,027,779 | ||||||||
|
| |||||||||
Computers — 3.7% |
| |||||||||
101,830 | Apple, Inc. | 10,259,372 | ||||||||
61,945 | Cognizant Technology Solutions Corp. Class A* | 2,773,278 | ||||||||
|
| |||||||||
13,032,650 | ||||||||||
|
| |||||||||
Distribution & Wholesale — 2.5% |
| |||||||||
88,135 | Fastenal Co.‡ | 3,957,261 | ||||||||
19,040 | W.W. Grainger, Inc. | 4,791,416 | ||||||||
|
| |||||||||
8,748,677 | ||||||||||
|
| |||||||||
Diversified Financial Services — 0.7% |
| |||||||||
79,200 | Charles Schwab Corp. (The) | 2,327,688 | ||||||||
|
| |||||||||
Food — 5.3% |
| |||||||||
89,200 | Nestle SA, Sponsored ADR | 6,567,796 | ||||||||
91,350 | Unilever NV (Dutch Certificate) | 3,624,768 | ||||||||
222,900 | Whole Foods Market, Inc. | 8,494,719 | ||||||||
|
| |||||||||
18,687,283 | ||||||||||
|
|
See accompanying Notes to the Financial Statements. | 1 |
Table of Contents
Mercer US Large Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Internet — 21.8% | ||||||||||
16,603 | Alibaba Group Holding, Ltd., Sponsored ADR* | 1,475,177 | ||||||||
27,708 | Amazon.Com, Inc.* | 8,934,167 | ||||||||
33,163 | Baidu, Inc., Sponsored ADR* | 7,237,161 | ||||||||
143,275 | eBay, Inc.* | 8,113,663 | ||||||||
90,301 | Facebook, Inc. Class A* | 7,137,391 | ||||||||
9,450 | Google, Inc. Class A* | 5,560,474 | ||||||||
14,935 | Google, Inc. Class C* | 8,622,872 | ||||||||
37,040 | LinkedIn Corp. Class A* | 7,696,542 | ||||||||
17,469 | MercadoLibre, Inc.‡ | 1,898,007 | ||||||||
11,115 | Priceline Group (The), Inc.* | 12,877,617 | ||||||||
90,091 | Splunk, Inc.* | 4,987,438 | ||||||||
43,359 | Twitter, Inc.* | 2,236,457 | ||||||||
|
| |||||||||
76,776,966 | ||||||||||
|
| |||||||||
Lodging — 0.6% | ||||||||||
33,100 | Las Vegas Sands Corp. | 2,059,151 | ||||||||
|
| |||||||||
Media — 9.0% | ||||||||||
80,250 | AMC Networks, Inc. Class A* | 4,688,205 | ||||||||
35,537 | Discovery Communications, Inc. Class A* | 1,343,299 | ||||||||
35,447 | Discovery Communications, Inc. Class C* | 1,321,464 | ||||||||
77,000 | Scripps Networks Interactive, Inc. Class A | 6,012,930 | ||||||||
135,550 | Time Warner, Inc. | 10,194,715 | ||||||||
46,000 | Twenty-First Century Fox, Inc. Class A | 1,577,340 | ||||||||
72,425 | Walt Disney Co. (The) | 6,447,998 | ||||||||
|
| |||||||||
31,585,951 | ||||||||||
|
| |||||||||
Metal Fabricate & Hardware — 0.7% | ||||||||||
10,006 | Precision Castparts Corp. | 2,370,221 | ||||||||
|
| |||||||||
Oil & Gas — 1.6% | ||||||||||
107,679 | Cabot Oil & Gas Corp. | 3,520,027 | ||||||||
59,200 | Southwestern Energy Co.* | 2,069,040 | ||||||||
|
| |||||||||
5,589,067 | ||||||||||
|
| |||||||||
Oil & Gas Services — 2.6% | ||||||||||
79,852 | FMC Technologies, Inc.* | 4,336,762 | ||||||||
29,100 | National Oilwell Varco, Inc. | 2,214,510 | ||||||||
26,700 | Schlumberger, Ltd. | 2,715,123 | ||||||||
|
| |||||||||
9,266,395 | ||||||||||
|
| |||||||||
Pharmaceuticals — 3.0% | ||||||||||
23,800 | BioMarin Pharmaceutical, Inc.* | 1,717,408 | ||||||||
68,730 | Bristol-Myers Squibb Co. | 3,517,601 | ||||||||
19,375 | Gilead Sciences, Inc.* | 2,062,469 | ||||||||
27,757 | Pharmacyclics, Inc.* ‡ | 3,259,505 | ||||||||
|
| |||||||||
10,556,983 | ||||||||||
|
|
2 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Large Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Retail — 11.0% | ||||||||||
119,525 | Cheesecake Factory (The), Inc. | 5,438,387 | ||||||||
5,425 | Chipotle Mexican Grill, Inc.* | 3,616,251 | ||||||||
20,175 | Domino’s Pizza, Inc. | 1,552,668 | ||||||||
91,975 | Lululemon Athletica, Inc.* | 3,863,870 | ||||||||
40,832 | Michael Kors Holdings, Ltd.* | 2,914,996 | ||||||||
23,905 | Panera Bread Co. Class A* | 3,889,822 | ||||||||
59,300 | Starbucks Corp. | 4,474,778 | ||||||||
43,900 | TJX Cos. (The), Inc. | 2,597,563 | ||||||||
47,660 | Tractor Supply Co. | 2,931,567 | ||||||||
108,600 | Williams-Sonoma, Inc. | 7,229,502 | ||||||||
|
| |||||||||
38,509,404 | ||||||||||
|
| |||||||||
Semiconductors — 2.1% |
| |||||||||
119,641 | ARM Holdings Plc, Sponsored ADR | 5,227,115 | ||||||||
21,000 | ASML Holding NV, ADR‡ | 2,075,220 | ||||||||
|
| |||||||||
7,302,335 | ||||||||||
|
| |||||||||
Software — 4.3% |
| |||||||||
17,000 | Adobe Systems, Inc.* | 1,176,230 | ||||||||
12,900 | athenahealth, Inc.* ‡ | 1,698,801 | ||||||||
38,300 | Cerner Corp.* | 2,281,531 | ||||||||
10,212 | Red Hat, Inc.* | 573,404 | ||||||||
114,798 | Salesforce.com, Inc.* | 6,604,329 | ||||||||
31,422 | VMware, Inc. Class A* | 2,948,640 | ||||||||
|
| |||||||||
15,282,935 | ||||||||||
|
| |||||||||
Transportation — 1.7% |
| |||||||||
59,100 | United Parcel Service, Inc. Class B | 5,808,939 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $289,509,158) | 331,909,972 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 8.4% | ||||||||||
Bank Deposit — 5.6% |
| |||||||||
19,623,523 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/01/14 | 19,623,523 | ||||||||
|
| |||||||||
Securities Lending Collateral — 2.8% |
| |||||||||
9,819,336 | State Street Navigator Securities Lending Prime Portfolio*** | 9,819,336 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $29,442,859) | 29,442,859 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 102.8% (Cost $318,952,017) | 361,352,831 | |||||||||
Other Assets and Liabilities (net) — (2.8)% | (9,797,090 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 351,555,741 | ||||||||
|
|
See accompanying Notes to the Financial Statements. | 3 |
Table of Contents
Mercer US Large Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Notes to Schedule of Investments: | ||||||
ADR — American Depository Receipt | ||||||
* | Non-income producing security | |||||
‡ | All or a portion of this security is out on loan. | |||||
*** | Represents an investment of securities lending cash collateral. |
4 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Large Cap Growth Equity Fund
Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
69 | S&P 500 E-mini Index | December 2014 | $ | 6,780,975 | $ | (74,656 | ) | |||||||||||
13 | S&P Mid 400 E-mini Index | December 2014 | 1,775,020 | (85,761 | ) | |||||||||||||
49 | NASDAQ 100 E-mini Index | December 2014 | 3,963,855 | (40,080 | ) | |||||||||||||
|
| |||||||||||||||||
$ | (200,497 | ) | ||||||||||||||||
|
|
See accompanying Notes to the Financial Statements. | 5 |
Table of Contents
Mercer US Large Cap Growth Equity Fund
Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Common Stocks | 94.4 | ||||
Futures Contracts | (0.1 | ) | |||
Short-Term Investments | 8.4 | ||||
Other Assets and Liabilities (net) | (2.7 | ) | |||
|
| ||||
100.0 | % | ||||
|
|
6 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Large Cap Value Equity Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 94.1% |
| |||||||||
Advertising — 0.3% |
| |||||||||
14,844 | Omnicom Group, Inc. | 1,022,158 | ||||||||
|
| |||||||||
Aerospace & Defense — 2.6% |
| |||||||||
8,194 | L-3 Communications Holdings, Inc. | 974,431 | ||||||||
10,875 | Lockheed Martin Corp. | 1,987,733 | ||||||||
32,244 | Northrop Grumman Corp. | 4,248,469 | ||||||||
20,402 | Raytheon Co. | 2,073,251 | ||||||||
|
| |||||||||
9,283,884 | ||||||||||
|
| |||||||||
Agriculture — 0.7% |
| |||||||||
22,580 | Archer-Daniels-Midland Co. | 1,153,838 | ||||||||
11,203 | Lorillard, Inc. | 671,172 | ||||||||
9,034 | Philip Morris International, Inc. | 753,435 | ||||||||
|
| |||||||||
2,578,445 | ||||||||||
|
| |||||||||
Airlines — 1.1% |
| |||||||||
16,060 | American Airlines Group, Inc. | 569,809 | ||||||||
79,595 | Delta Air Lines, Inc. | 2,877,359 | ||||||||
7,185 | United Continental Holdings, Inc.* | 336,186 | ||||||||
|
| |||||||||
3,783,354 | ||||||||||
|
| |||||||||
Auto Manufacturers — 2.0% |
| |||||||||
94,723 | General Motors Co. | 3,025,453 | ||||||||
7,430 | PACCAR, Inc. | 422,581 | ||||||||
31,230 | Toyota Motor Corp., Sponsored ADR | 3,670,462 | ||||||||
|
| |||||||||
7,118,496 | ||||||||||
|
| |||||||||
Auto Parts & Equipment — 0.3% |
| |||||||||
10,800 | Lear Corp. | 933,228 | ||||||||
|
| |||||||||
Banks — 6.2% |
| |||||||||
261,040 | Bank of America Corp. | 4,450,732 | ||||||||
20,805 | BB&T Corp. | 774,154 | ||||||||
36,450 | Capital One Financial Corp. | 2,975,049 | ||||||||
13,516 | Comerica, Inc. | 673,908 | ||||||||
116,707 | Fifth Third Bancorp | 2,336,474 | ||||||||
76,415 | Grupo Financiero Santander Mexico SAB de CV Class B, ADR | 1,033,895 | ||||||||
11,660 | PNC Financial Services Group, Inc. | 997,863 | ||||||||
38,240 | Regions Financial Corp. | 383,930 | ||||||||
159,482 | Wells Fargo & Co. | 8,272,331 | ||||||||
|
| |||||||||
21,898,336 | ||||||||||
|
| |||||||||
Beverages — 1.4% |
| |||||||||
80,700 | Coca-Cola Enterprises, Inc. | 3,579,852 | ||||||||
9,360 | Molson Coors Brewing Co. Class B | 696,758 | ||||||||
9,310 | PepsiCo, Inc. | 866,668 | ||||||||
|
| |||||||||
5,143,278 | ||||||||||
|
|
See accompanying Notes to the Financial Statements. | 7 |
Table of Contents
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Biotechnology — 0.4% |
| |||||||||
6,815 | Amgen, Inc. | 957,235 | ||||||||
17,500 | NPS Pharmaceuticals, Inc.* | 455,000 | ||||||||
|
| |||||||||
1,412,235 | ||||||||||
|
| |||||||||
Building Materials — 0.8% |
| |||||||||
47,200 | Louisiana-Pacific Corp.* | 641,448 | ||||||||
12,617 | Martin Marietta Materials, Inc. | 1,626,836 | ||||||||
14,790 | Owens Corning | 469,582 | ||||||||
|
| |||||||||
2,737,866 | ||||||||||
|
| |||||||||
Chemicals — 2.2% |
| |||||||||
9,244 | CF Industries Holdings, Inc. | 2,581,110 | ||||||||
30,870 | Dow Chemical Co. (The) | 1,618,823 | ||||||||
26,860 | Huntsman Corp. | 698,091 | ||||||||
11,282 | LyondellBasell Industries NV Class A | 1,225,902 | ||||||||
8,975 | Mosaic Co. (The) | 398,580 | ||||||||
6,464 | PPG Industries, Inc. | 1,271,727 | ||||||||
|
| |||||||||
7,794,233 | ||||||||||
|
| |||||||||
Commercial Services — 1.0% |
| |||||||||
21,192 | ADT Corp. (The)‡ | 751,468 | ||||||||
19,750 | Apollo Education Group, Inc.* | 496,713 | ||||||||
6,275 | McKesson Corp. | 1,221,554 | ||||||||
65,753 | Western Union Co. (The)‡ | 1,054,678 | ||||||||
|
| |||||||||
3,524,413 | ||||||||||
|
| |||||||||
Computers — 5.0% |
| |||||||||
49,778 | Apple, Inc. | 5,015,133 | ||||||||
85,710 | Brocade Communications Systems, Inc. | 931,668 | ||||||||
107,350 | EMC Corp. | 3,141,061 | ||||||||
15,950 | Hewlett-Packard Co. | 565,746 | ||||||||
1,378 | International Business Machines Corp. | 261,586 | ||||||||
26,411 | NetApp, Inc. | 1,134,617 | ||||||||
1,270 | SanDisk Corp. | 124,397 | ||||||||
78,957 | Seagate Technology Plc | 4,521,867 | ||||||||
20,985 | Western Digital Corp. | 2,042,260 | ||||||||
|
| |||||||||
17,738,335 | ||||||||||
|
| |||||||||
Diversified Financial Services — 11.4% |
| |||||||||
10,392 | Ameriprise Financial, Inc. | 1,282,165 | ||||||||
68,799 | Berkshire Hathaway, Inc. Class B* | 9,503,894 | ||||||||
44,320 | Blackstone Group (The), LP | 1,395,193 | ||||||||
172,613 | Citigroup, Inc. | 8,944,806 | ||||||||
29,015 | Discover Financial Services | 1,868,276 | ||||||||
11,440 | Goldman Sachs Group, Inc. (The) | 2,100,041 | ||||||||
11,200 | Invesco, Ltd. | 442,176 | ||||||||
171,317 | JPMorgan Chase & Co. | 10,320,136 | ||||||||
59,030 | KKR & Co., LP | 1,316,369 |
8 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Diversified Financial Services — continued |
| |||||||||
46,380 | Morgan Stanley | 1,603,356 | ||||||||
57,700 | Santander Consumer USA Holdings, Inc. | 1,027,637 | ||||||||
19,780 | TD Ameritrade Holding Corp. | 660,059 | ||||||||
|
| |||||||||
40,464,108 | ||||||||||
|
| |||||||||
Electric — 0.6% |
| |||||||||
83,755 | AES Corp. | 1,187,646 | ||||||||
12,750 | Exelon Corp. | 434,648 | ||||||||
13,480 | NRG Energy, Inc. | 410,870 | ||||||||
|
| |||||||||
2,033,164 | ||||||||||
|
| |||||||||
Electrical Components & Equipment — 0.3% |
| |||||||||
7,590 | Emerson Electric Co. | 474,982 | ||||||||
13,700 | Generac Holdings, Inc.* ‡ | 555,398 | ||||||||
|
| |||||||||
1,030,380 | ||||||||||
|
| |||||||||
Electronics — 0.6% |
| |||||||||
11,310 | Agilent Technologies, Inc. | 644,444 | ||||||||
22,753 | Koninklijke Philips Electronics NV, ADR | 721,497 | ||||||||
11,207 | TE Connectivity, Ltd. | 619,635 | ||||||||
|
| |||||||||
1,985,576 | ||||||||||
|
| |||||||||
Entertainment — 0.1% |
| |||||||||
12,145 | Six Flags Entertainment Corp. | 417,667 | ||||||||
|
| |||||||||
Food — 0.3% |
| |||||||||
7,514 | Koninklijke Ahold NV, Sponsored ADR | 121,502 | ||||||||
20,760 | Tyson Foods, Inc. Class A | 817,321 | ||||||||
|
| |||||||||
938,823 | ||||||||||
|
| |||||||||
Forest Products & Paper — 0.4% |
| |||||||||
29,454 | International Paper Co. | 1,406,134 | ||||||||
|
| |||||||||
Gas — 0.1% |
| |||||||||
5,720 | Energen Corp. | 413,213 | ||||||||
|
| |||||||||
Hand & Machine Tools — 0.1% |
| |||||||||
5,955 | Stanley Black & Decker, Inc. | 528,744 | ||||||||
|
| |||||||||
Health Care - Products — 1.6% |
| |||||||||
8,455 | Covidien Plc | 731,442 | ||||||||
802 | Intuitive Surgical, Inc.* | 370,380 | ||||||||
25,734 | Johnson & Johnson | 2,742,987 | ||||||||
18,890 | Medtronic, Inc. | 1,170,235 | ||||||||
7,130 | Zimmer Holdings, Inc. | 716,922 | ||||||||
|
| |||||||||
5,731,966 | ||||||||||
|
|
See accompanying Notes to the Financial Statements. | 9 |
Table of Contents
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Health Care - Services — 2.0% |
| |||||||||
8,120 | Aetna, Inc. | 657,720 | ||||||||
14,132 | Laboratory Corp. of America Holdings* | 1,437,931 | ||||||||
40,347 | Quest Diagnostics, Inc. | 2,448,256 | ||||||||
11,680 | UnitedHealth Group, Inc. | 1,007,400 | ||||||||
13,320 | WellPoint, Inc. | 1,593,338 | ||||||||
|
| |||||||||
7,144,645 | ||||||||||
|
| |||||||||
Insurance — 6.5% |
| |||||||||
21,850 | ACE, Ltd. | 2,291,409 | ||||||||
49,922 | Allstate Corp. (The) | 3,063,713 | ||||||||
15,520 | American International Group, Inc. | 838,390 | ||||||||
9,381 | Cigna Corp. | 850,763 | ||||||||
4,974 | Everest Re Group, Ltd. | 805,838 | ||||||||
29,210 | Genworth Financial, Inc. Class A* | 382,651 | ||||||||
23,340 | Hartford Financial Services Group, Inc. (The) | 869,415 | ||||||||
21,810 | Lincoln National Corp. | 1,168,580 | ||||||||
101,895 | MetLife, Inc. | 5,473,799 | ||||||||
19,700 | Prudential Financial, Inc. | 1,732,418 | ||||||||
26,369 | Travelers Cos. (The), Inc. | 2,477,104 | ||||||||
5,650 | Validus Holdings, Ltd. | 221,141 | ||||||||
49,200 | Voya Financial, Inc. | 1,923,720 | ||||||||
24,222 | XL Group Plc | 803,444 | ||||||||
|
| |||||||||
22,902,385 | ||||||||||
|
| |||||||||
Internet — 0.7% | ||||||||||
12,510 | Check Point Software Technologies, Ltd.* ‡ | 866,192 | ||||||||
1,108 | Google, Inc. Class C* | 639,715 | ||||||||
23,360 | Symantec Corp. | 549,194 | ||||||||
11,084 | Yahoo!, Inc.* | 451,673 | ||||||||
|
| |||||||||
2,506,774 | ||||||||||
|
| |||||||||
Iron & Steel — 0.4% | ||||||||||
19,740 | Reliance Steel & Aluminum Co. | 1,350,216 | ||||||||
|
| |||||||||
Leisure Time — 0.3% | ||||||||||
23,280 | Carnival Corp. | 935,158 | ||||||||
|
| |||||||||
Lodging — 0.1% | ||||||||||
6,124 | Wyndham Worldwide Corp. | 497,636 | ||||||||
|
| |||||||||
Machinery - Construction & Mining — 0.5% | ||||||||||
8,270 | Caterpillar, Inc. | 818,978 | ||||||||
19,820 | Joy Global, Inc. | 1,080,983 | ||||||||
|
| |||||||||
1,899,961 | ||||||||||
|
| |||||||||
Machinery - Diversified — 0.6% | ||||||||||
6,180 | Cummins, Inc. | 815,636 | ||||||||
17,728 | Flowserve Corp. | 1,250,179 | ||||||||
|
| |||||||||
2,065,815 | ||||||||||
|
|
10 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Media — 5.7% | ||||||||||
14,018 | British Sky Broadcasting Group Plc, Sponsored ADR‡ | 809,469 | ||||||||
38,426 | Comcast Corp. Class A | 2,066,550 | ||||||||
45,287 | DIRECTV* | 3,918,231 | ||||||||
35,500 | Liberty Global Plc Series C* | 1,456,033 | ||||||||
17,265 | Liberty Media Corp. Series C* | 811,282 | ||||||||
8,635 | Liberty Media Corp. - Capital Series A* | 407,399 | ||||||||
42,525 | News Corp. Class A* | 695,284 | ||||||||
6,645 | Scripps Networks Interactive, Inc. Class A | 518,908 | ||||||||
31,885 | Time Warner, Inc. | 2,398,071 | ||||||||
10,951 | Time, Inc.* | 256,582 | ||||||||
17,900 | Tribune Media Co. Class A* | 1,177,820 | ||||||||
22,880 | Twenty-First Century Fox, Inc. Class A | 784,555 | ||||||||
49,488 | Viacom, Inc. Class B | 3,807,607 | ||||||||
12,152 | Walt Disney Co. (The) | 1,081,893 | ||||||||
|
| |||||||||
20,189,684 | ||||||||||
|
| |||||||||
Mining — 0.6% | ||||||||||
26,285 | Barrick Gold Corp. | 385,338 | ||||||||
18,370 | Rio Tinto Plc, Sponsored ADR‡ | 903,437 | ||||||||
12,140 | Vulcan Materials Co. | 731,192 | ||||||||
|
| |||||||||
2,019,967 | ||||||||||
|
| |||||||||
Miscellaneous - Manufacturing — 1.7% | ||||||||||
9,200 | Crane Co. | 581,532 | ||||||||
6,025 | Dover Corp. | 483,988 | ||||||||
82,950 | General Electric Co. | 2,125,179 | ||||||||
21,050 | Honeywell International, Inc. | 1,960,176 | ||||||||
5,670 | Ingersoll-Rand Plc | 319,561 | ||||||||
9,620 | Tyco International, Ltd. | 428,764 | ||||||||
|
| |||||||||
5,899,200 | ||||||||||
|
| |||||||||
Office & Business Equipment — 0.1% | ||||||||||
10,285 | Avery Dennison Corp. | 459,225 | ||||||||
|
| |||||||||
Oil & Gas — 9.7% | ||||||||||
17,150 | Anadarko Petroleum Corp. | 1,739,696 | ||||||||
20,240 | Apache Corp. | 1,899,929 | ||||||||
63,322 | BP Plc, Sponsored ADR | 2,783,002 | ||||||||
51,200 | Canadian Natural Resources, Ltd. | 1,988,608 | ||||||||
9,870 | Chevron Corp. | 1,177,688 | ||||||||
7,218 | EOG Resources, Inc. | 714,726 | ||||||||
9,950 | EQT Corp. | 910,823 | ||||||||
43,540 | Exxon Mobil Corp. | 4,094,937 | ||||||||
21,044 | Hess Corp. | 1,984,870 | ||||||||
26,710 | Marathon Oil Corp. | 1,004,029 | ||||||||
42,981 | Marathon Petroleum Corp. | 3,639,201 | ||||||||
70,451 | Occidental Petroleum Corp. | 6,773,864 | ||||||||
50,032 | Phillips 66 | 4,068,102 | ||||||||
29,350 | QEP Resources, Inc. | 903,393 |
See accompanying Notes to the Financial Statements. | 11 |
Table of Contents
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Oil & Gas — continued | ||||||||||
7,370 | Rice Energy, Inc.* | 196,042 | ||||||||
13,250 | Valero Energy Corp. | 613,078 | ||||||||
|
| |||||||||
34,491,988 | ||||||||||
|
| |||||||||
Oil & Gas Services — 2.0% | ||||||||||
11,195 | Cameron International Corp.* | 743,124 | ||||||||
58,860 | Halliburton Co. | 3,797,059 | ||||||||
25,120 | Schlumberger, Ltd. | 2,554,453 | ||||||||
|
| |||||||||
7,094,636 | ||||||||||
|
| |||||||||
Packaging & Containers — 0.2% | ||||||||||
14,365 | Crown Holdings, Inc.* | 639,530 | ||||||||
|
| |||||||||
Pharmaceuticals — 6.3% | ||||||||||
42,515 | AbbVie, Inc. | 2,455,666 | ||||||||
20,920 | Cardinal Health, Inc. | 1,567,326 | ||||||||
6,648 | Eli Lilly & Co. | 431,123 | ||||||||
6,408 | Endo International Plc* | 437,923 | ||||||||
19,470 | Express Scripts Holding Co.* | 1,375,166 | ||||||||
55,750 | Merck & Co., Inc. | 3,304,860 | ||||||||
27,600 | Mylan, Inc.* | 1,255,524 | ||||||||
24,190 | Omnicare, Inc. | 1,506,069 | ||||||||
286,269 | Pfizer, Inc. | 8,464,974 | ||||||||
7,290 | Sanofi, ADR | 411,375 | ||||||||
1,635 | Shire Plc, ADR | 423,547 | ||||||||
16,845 | Teva Pharmaceutical Industries, Ltd., Sponsored ADR | 905,419 | ||||||||
|
| |||||||||
22,538,972 | ||||||||||
|
| |||||||||
REITS — 0.5% | ||||||||||
23,580 | American Homes 4 Rent Class A REIT | 398,266 | ||||||||
53,100 | Hatteras Financial Corp. REIT | 953,676 | ||||||||
60,130 | Two Harbors Investment Corp. REIT | 581,457 | ||||||||
|
| |||||||||
1,933,399 | ||||||||||
|
| |||||||||
Retail — 4.3% | ||||||||||
47,350 | CVS Health Corp. | 3,768,586 | ||||||||
7,620 | Dillard’s, Inc. Class A | 830,428 | ||||||||
5,243 | Gap, Inc. (The) | 218,581 | ||||||||
16,551 | Home Depot, Inc. (The) | 1,518,389 | ||||||||
41,014 | Kohl’s Corp. | 2,503,084 | ||||||||
40,708 | Lowe’s Cos., Inc. | 2,154,267 | ||||||||
37,370 | Macy’s, Inc. | 2,174,186 | ||||||||
735 | O’Reilly Automotive, Inc.* | 110,515 | ||||||||
7,420 | PVH Corp. | 898,933 | ||||||||
18,000 | Target Corp. | 1,128,240 | ||||||||
|
| |||||||||
15,305,209 | ||||||||||
|
|
12 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Semiconductors — 2.2% | ||||||||||
88,620 | Applied Materials, Inc. | 1,915,078 | ||||||||
12,200 | Lam Research Corp. | 911,340 | ||||||||
38,800 | Micron Technology, Inc.* | 1,329,288 | ||||||||
83,068 | NVIDIA Corp. | 1,532,605 | ||||||||
49,960 | ON Semiconductor Corp.* | 446,642 | ||||||||
17,720 | Texas Instruments, Inc. | 845,067 | ||||||||
17,470 | Xilinx, Inc. | 739,855 | ||||||||
|
| |||||||||
7,719,875 | ||||||||||
|
| |||||||||
Software — 2.4% |
| |||||||||
85,285 | Activision Blizzard, Inc. | 1,773,075 | ||||||||
7,770 | Fidelity National Information Services, Inc. | 437,451 | ||||||||
5,885 | Global Payments, Inc. | 411,244 | ||||||||
104,815 | Microsoft Corp. | 4,859,224 | ||||||||
30,040 | Oracle Corp. | 1,149,931 | ||||||||
|
| |||||||||
8,630,925 | ||||||||||
|
| |||||||||
Telecommunications — 7.2% |
| |||||||||
30,955 | America Movil SAB de CV Series L, ADR‡ | 780,066 | ||||||||
63,543 | AT&T, Inc. | 2,239,255 | ||||||||
54,011 | CenturyLink, Inc. | 2,208,510 | ||||||||
46,500 | China Mobile, Ltd., Sponsored ADR‡ | 2,731,875 | ||||||||
312,135 | Cisco Systems, Inc. | 7,856,438 | ||||||||
27,916 | Corning, Inc. | 539,895 | ||||||||
30,495 | Motorola Solutions, Inc. | 1,929,724 | ||||||||
48,347 | Nippon Telegraph & Telephone Corp., ADR‡ | 1,504,075 | ||||||||
12,480 | QUALCOMM, Inc. | 933,130 | ||||||||
51,436 | Telefonica Brasil SA, ADR | 1,012,260 | ||||||||
17,331 | TELUS Corp. | 592,374 | ||||||||
56,245 | Verizon Communications, Inc. | 2,811,688 | ||||||||
3,869 | Vodafone Group Plc, Sponsored ADR | 127,251 | ||||||||
40,090 | Windstream Holdings, Inc. | 432,170 | ||||||||
|
| |||||||||
25,698,711 | ||||||||||
|
| |||||||||
Transportation — 0.6% |
| |||||||||
17,524 | CH Robinson Worldwide, Inc. | 1,162,192 | ||||||||
8,605 | Norfolk Southern Corp. | 960,318 | ||||||||
|
| |||||||||
2,122,510 | ||||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $271,686,424) | 333,964,457 | |||||||||
|
| |||||||||
INVESTMENT COMPANY — 0.1% |
| |||||||||
Investment Company — 0.1% |
| |||||||||
1,950 | iShares Russell 1000 Value Index Fund‡ | 195,175 | ||||||||
|
| |||||||||
TOTAL INVESTMENT COMPANY (COST $184,332) | 195,175 | |||||||||
|
|
See accompanying Notes to the Financial Statements. | 13 |
Table of Contents
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 8.0% | ||||||||||
Bank Deposit — 5.5% |
| |||||||||
19,607,246 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/01/14 | 19,607,246 | ||||||||
|
| |||||||||
Securities Lending Collateral — 2.5% |
| |||||||||
8,777,252 | State Street Navigator Securities Lending Prime Portfolio*** | 8,777,252 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $28,384,498) | 28,384,498 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 102.2% (Cost $300,255,254) | 362,544,130 | |||||||||
Other Assets and Liabilities (net) — (2.2)% | (7,632,671 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 354,911,459 | ||||||||
|
| |||||||||
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. |
14 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
A summary of outstanding financial instruments at September 30, 2014 is as follows:
Forward Foreign Currency Contracts
Settlement | Currency | Counterparty | Units of | Value | Unrealized | |||||||||||||||
Buys | ||||||||||||||||||||
10/09/14 | JPY | Barclays Bank Plc | 267,200,000 | $ | 2,435,960 | $ | (9,583 | ) | ||||||||||||
|
| |||||||||||||||||||
Sales | ||||||||||||||||||||
10/09/14 | JPY | Barclays Bank Plc | 267,200,000 | $ | 2,435,960 | $ | 196,539 | |||||||||||||
|
|
Currency Abbreviations
JPY | Japanese Yen |
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
137 | S&P 500 E-mini Index | December 2014 | $ | 13,463,675 | $ | (148,230 | ) | |||||||||||
7 | S&P Mid 400 E-mini Index | December 2014 | 955,780 | (46,181 | ) | |||||||||||||
|
| |||||||||||||||||
$ | (194,411 | ) | ||||||||||||||||
|
|
See accompanying Notes to the Financial Statements. | 15 |
Table of Contents
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Common Stocks | 94.1 | ||||
Forward Foreign Currency Contracts | 0.1 | ||||
Investment Company | 0.1 | ||||
Futures Contracts | (0.1 | ) | |||
Short-Term Investments | 8.0 | ||||
Other Assets and Liabilities (net) | (2.2 | ) | |||
|
| ||||
100.0 | % | ||||
|
|
16 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 94.6% |
| |||||||||
Aerospace & Defense — 1.3% |
| |||||||||
20,520 | BE Aerospace, Inc.* | 1,722,449 | ||||||||
9,795 | TransDigm Group, Inc. | 1,805,512 | ||||||||
20,623 | Triumph Group, Inc. | 1,341,526 | ||||||||
|
| |||||||||
4,869,487 | ||||||||||
|
| |||||||||
Apparel — 1.2% |
| |||||||||
20,800 | Deckers Outdoor Corp.* | 2,021,344 | ||||||||
13,590 | G-III Apparel Group, Ltd.* | 1,126,067 | ||||||||
14,660 | Hanesbrands, Inc. | 1,575,071 | ||||||||
|
| |||||||||
4,722,482 | ||||||||||
|
| |||||||||
Auto Parts & Equipment — 0.6% |
| |||||||||
22,286 | Tenneco, Inc.* | 1,165,781 | ||||||||
14,250 | WABCO Holdings, Inc.* | 1,296,037 | ||||||||
|
| |||||||||
2,461,818 | ||||||||||
|
| |||||||||
Banks — 1.0% |
| |||||||||
40,259 | BankUnited, Inc. | 1,227,497 | ||||||||
54,470 | First Republic Bank | 2,689,729 | ||||||||
|
| |||||||||
3,917,226 | ||||||||||
|
| |||||||||
Biotechnology — 0.8% |
| |||||||||
78,780 | Aegerion Pharmaceuticals, Inc.* ‡ | 2,629,677 | ||||||||
78,494 | Sunesis Pharmaceuticals, Inc.* ‡ | 560,447 | ||||||||
|
| |||||||||
3,190,124 | ||||||||||
|
| |||||||||
Building Materials — 1.8% |
| |||||||||
49,384 | Boise Cascade Co.* | 1,488,434 | ||||||||
22,100 | Eagle Materials, Inc. | 2,250,443 | ||||||||
24,690 | Martin Marietta Materials, Inc. | 3,183,528 | ||||||||
|
| |||||||||
6,922,405 | ||||||||||
|
| |||||||||
Chemicals — 3.9% |
| |||||||||
31,198 | Axiall Corp. | 1,117,200 | ||||||||
44,000 | Cytec Industries, Inc. | 2,080,760 | ||||||||
25,871 | HB Fuller Co. | 1,027,079 | ||||||||
95,120 | Huntsman Corp. | 2,472,169 | ||||||||
65,620 | PolyOne Corp. | 2,334,760 | ||||||||
31,930 | Rockwood Holdings, Inc. | 2,441,048 | ||||||||
82,719 | RPM International, Inc. | 3,786,876 | ||||||||
|
| |||||||||
15,259,892 | ||||||||||
|
| |||||||||
Coal — 0.7% |
| |||||||||
70,840 | Consol Energy, Inc. | 2,682,002 | ||||||||
|
|
See accompanying Notes to the Financial Statements. | 17 |
Table of Contents
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Commercial Services — 6.9% |
| |||||||||
57,661 | Acacia Research Corp.‡ | 892,592 | ||||||||
35,348 | Bright Horizons Family Solutions, Inc.* | 1,486,737 | ||||||||
25,053 | Euronet Worldwide, Inc.* | 1,197,283 | ||||||||
127,318 | Heartland Payment Systems, Inc.‡ | 6,075,615 | ||||||||
19,205 | Huron Consulting Group, Inc.* | 1,170,929 | ||||||||
91,321 | K12, Inc.* ‡ | 1,457,483 | ||||||||
29,110 | Nord Anglia Education, Inc.* ‡ | 494,870 | ||||||||
30,161 | On Assignment, Inc.* | 809,823 | ||||||||
143,275 | Ritchie Bros Auctioneers, Inc.‡ | 3,207,927 | ||||||||
44,610 | Robert Half International, Inc. | 2,185,890 | ||||||||
99,210 | Service Corp. International | 2,097,299 | ||||||||
29,637 | Team Health Holdings, Inc.* | 1,718,650 | ||||||||
57,420 | Total System Services, Inc. | 1,777,723 | ||||||||
20,080 | United Rentals, Inc.* | 2,230,888 | ||||||||
|
| |||||||||
26,803,709 | ||||||||||
|
| |||||||||
Computers — 3.6% |
| |||||||||
65,341 | Cadence Design Systems, Inc.* | 1,124,519 | ||||||||
22,050 | IHS, Inc. Class A* | 2,760,439 | ||||||||
109,440 | j2 Global, Inc.‡ | 5,401,958 | ||||||||
284,418 | Logitech International SA | 3,661,268 | ||||||||
15,283 | Synaptics, Inc.* | 1,118,716 | ||||||||
|
| |||||||||
14,066,900 | ||||||||||
|
| |||||||||
Distribution & Wholesale — 1.5% |
| |||||||||
57,550 | Ingram Micro, Inc. Class A* | 1,485,366 | ||||||||
16,100 | MWI Veterinary Supply, Inc.* | 2,389,240 | ||||||||
26,590 | WESCO International, Inc.* ‡ | 2,080,933 | ||||||||
|
| |||||||||
5,955,539 | ||||||||||
|
| |||||||||
Diversified Financial Services — 3.9% |
| |||||||||
25,690 | Affiliated Managers Group, Inc.* | 5,147,249 | ||||||||
55,450 | CBOE Holdings, Inc. | 2,967,961 | ||||||||
49,450 | Ellie Mae, Inc.* ‡ | 1,612,070 | ||||||||
23,066 | Lazard, Ltd. Class A | 1,169,446 | ||||||||
48,160 | Raymond James Financial, Inc. | 2,580,413 | ||||||||
19,028 | Waddell & Reed Financial, Inc. Class A | 983,557 | ||||||||
17,415 | WageWorks, Inc.* | 792,905 | ||||||||
|
| |||||||||
15,253,601 | ||||||||||
|
| |||||||||
Electrical Components & Equipment — 1.6% |
| |||||||||
22,754 | Belden, Inc. | 1,456,711 | ||||||||
23,233 | Generac Holdings, Inc.* ‡ | 941,866 | ||||||||
22,470 | Hubbell, Inc. Class B | 2,708,309 | ||||||||
18,450 | Mobileye NV* ‡ | 988,735 | ||||||||
|
| |||||||||
6,095,621 | ||||||||||
|
|
18 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Electronics — 0.5% |
| |||||||||
18,651 | Coherent, Inc.* | 1,144,612 | ||||||||
18,781 | Woodward, Inc. | 894,351 | ||||||||
|
| |||||||||
2,038,963 | ||||||||||
|
| |||||||||
Entertainment — 0.4% |
| |||||||||
44,841 | Cinemark Holdings, Inc. | 1,526,388 | ||||||||
|
| |||||||||
Environmental Control — 0.3% |
| |||||||||
24,891 | Waste Connections, Inc. | 1,207,711 | ||||||||
|
| |||||||||
Hand & Machine Tools — 0.8% |
| |||||||||
45,796 | Lincoln Electric Holdings, Inc. | 3,166,106 | ||||||||
|
| |||||||||
Health Care - Products — 4.9% |
| |||||||||
140,966 | ABIOMED, Inc.* ‡ | 3,500,186 | ||||||||
16,230 | Cyberonics, Inc.* | 830,327 | ||||||||
47,158 | DexCom, Inc.* | 1,885,849 | ||||||||
93,184 | Endologix, Inc.* | 987,750 | ||||||||
132,151 | Spectranetics Corp.* | 3,511,252 | ||||||||
61,004 | Techne Corp. | 5,706,924 | ||||||||
87,410 | Wright Medical Group, Inc.* | 2,648,523 | ||||||||
|
| |||||||||
19,070,811 | ||||||||||
|
| |||||||||
Health Care - Services — 4.4% |
| |||||||||
57,812 | Acadia Healthcare Co., Inc.* | 2,803,882 | ||||||||
72,770 | Brookdale Senior Living, Inc.* | 2,344,649 | ||||||||
68,890 | Community Health Systems, Inc.* | 3,774,483 | ||||||||
21,670 | Covance, Inc.* | 1,705,429 | ||||||||
42,129 | Envision Healthcare Holdings, Inc.* | 1,461,034 | ||||||||
29,158 | Magellan Health, Inc.* | 1,595,817 | ||||||||
9,190 | Mettler-Toledo International, Inc.* | 2,353,835 | ||||||||
18,615 | WellCare Health Plans, Inc.* | 1,123,229 | ||||||||
|
| |||||||||
17,162,358 | ||||||||||
|
| |||||||||
Home Furnishings — 1.2% |
| |||||||||
28,172 | Harman International Industries, Inc. | 2,761,983 | ||||||||
34,750 | Tempur Sealy International, Inc.* | 1,951,907 | ||||||||
|
| |||||||||
4,713,890 | ||||||||||
|
| |||||||||
Household Products & Wares — 0.7% |
| |||||||||
46,590 | Jarden Corp.* | 2,800,525 | ||||||||
|
| |||||||||
Insurance — 0.6% |
| |||||||||
163,140 | Genworth Financial, Inc. Class A* | 2,137,134 | ||||||||
|
| |||||||||
Internet — 3.1% |
| |||||||||
90,598 | Coupons.com, Inc.* ‡ | 1,083,552 | ||||||||
47,274 | CyrusOne, Inc. | 1,136,467 | ||||||||
55,175 | HomeAway, Inc.* | 1,958,713 |
See accompanying Notes to the Financial Statements. | 19 |
Table of Contents
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Internet — continued |
| |||||||||
40,360 | Marketo, Inc.* ‡ | 1,303,628 | ||||||||
153,784 | NIC, Inc. | 2,648,160 | ||||||||
64,260 | Pandora Media, Inc.* | 1,552,522 | ||||||||
35,250 | Shutterstock, Inc.* ‡ | 2,516,145 | ||||||||
|
| |||||||||
12,199,187 | ||||||||||
|
| |||||||||
Leisure Time — 0.5% | ||||||||||
13,667 | Polaris Industries, Inc. | 2,047,180 | ||||||||
|
| |||||||||
Lodging — 0.5% | ||||||||||
22,702 | Wyndham Worldwide Corp. | 1,844,765 | ||||||||
|
| |||||||||
Machinery - Construction & Mining — 0.3% | ||||||||||
38,140 | Terex Corp. | 1,211,708 | ||||||||
|
| |||||||||
Machinery - Diversified — 3.5% | ||||||||||
31,704 | Cognex Corp.* | 1,276,720 | ||||||||
72,475 | Graco, Inc. | 5,289,226 | ||||||||
15,848 | Middleby Corp. (The)* | 1,396,684 | ||||||||
15,448 | Wabtec Corp. | 1,251,906 | ||||||||
60,088 | Zebra Technologies Corp. Class A* | 4,264,445 | ||||||||
|
| |||||||||
13,478,981 | ||||||||||
|
| |||||||||
Media — 0.3% | ||||||||||
32,140 | Nexstar Broadcasting Group, Inc. Class A‡ | 1,299,099 | ||||||||
|
| |||||||||
Metal Fabricate & Hardware — 1.1% | ||||||||||
64,870 | Timken Co. (The) | 2,749,839 | ||||||||
29,050 | TimkenSteel Corp. | 1,350,535 | ||||||||
|
| |||||||||
4,100,374 | ||||||||||
|
| |||||||||
Miscellaneous - Manufacturing — 0.6% | ||||||||||
14,938 | Carlisle Cos., Inc. | 1,200,716 | ||||||||
19,013 | Colfax Corp.* | 1,083,171 | ||||||||
|
| |||||||||
2,283,887 | ||||||||||
|
| |||||||||
Oil & Gas — 3.4% | ||||||||||
69,984 | Bill Barrett Corp.* ‡ | 1,542,447 | ||||||||
119,000 | Denbury Resources, Inc. | 1,788,570 | ||||||||
162,392 | Magnum Hunter Resources Corp.* ‡ | 904,523 | ||||||||
35,041 | Oasis Petroleum, Inc.* | 1,465,064 | ||||||||
27,728 | Rosetta Resources, Inc.* | 1,235,560 | ||||||||
72,380 | Rowan Cos. Plc Class A | 1,831,938 | ||||||||
70,170 | Tesoro Corp. | 4,278,967 | ||||||||
|
| |||||||||
13,047,069 | ||||||||||
|
| |||||||||
Oil & Gas Services — 1.4% | ||||||||||
35,710 | Core Laboratories NV | 5,226,159 | ||||||||
|
|
20 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Packaging & Containers — 1.4% | ||||||||||
64,684 | Berry Plastics Group, Inc.* | 1,632,624 | ||||||||
28,452 | Crown Holdings, Inc.* | 1,266,683 | ||||||||
40,520 | Packaging Corp. of America | 2,585,987 | ||||||||
|
| |||||||||
5,485,294 | ||||||||||
|
| |||||||||
Pharmaceuticals — 5.0% | ||||||||||
47,268 | ACADIA Pharmaceuticals, Inc.* ‡ | 1,170,356 | ||||||||
44,070 | Align Technology, Inc.* | 2,277,538 | ||||||||
17,160 | Alkermes Plc* | 735,649 | ||||||||
66,320 | Avanir Pharmaceuticals, Inc.* | 790,534 | ||||||||
56,620 | Cubist Pharmaceuticals, Inc.* | 3,756,171 | ||||||||
39,270 | Jazz Pharmaceuticals Plc* | 6,305,191 | ||||||||
31,532 | Medivation, Inc.* | 3,117,569 | ||||||||
14,864 | Sirona Dental Systems, Inc.* | 1,139,771 | ||||||||
|
| |||||||||
19,292,779 | ||||||||||
|
| |||||||||
Real Estate — 0.7% | ||||||||||
22,140 | Jones Lang Lasalle, Inc. | 2,797,168 | ||||||||
|
| |||||||||
REITS — 2.4% | ||||||||||
75,480 | CBS Outdoor Americas, Inc. REIT | 2,259,871 | ||||||||
195,575 | Equity Commonwealth REIT | 5,028,233 | ||||||||
89,690 | Starwood Property Trust, Inc. REIT | 1,969,593 | ||||||||
|
| |||||||||
9,257,697 | ||||||||||
|
| |||||||||
Retail — 10.5% | ||||||||||
36,829 | Asbury Automotive Group, Inc.* | 2,372,524 | ||||||||
26,408 | Children’s Place (The), Inc. | 1,258,605 | ||||||||
70,995 | DineEquity, Inc. | 5,792,482 | ||||||||
65,645 | Dunkin’ Brands Group, Inc. | 2,942,209 | ||||||||
26,330 | Jack in the Box, Inc. | 1,795,443 | ||||||||
49,440 | Kate Spade & Co.* | 1,296,811 | ||||||||
21,237 | Red Robin Gourmet Burgers, Inc.* | 1,208,385 | ||||||||
29,190 | Restoration Hardware Holdings, Inc.* ‡ | 2,322,065 | ||||||||
202,625 | Sally Beauty Holdings, Inc.* | 5,545,846 | ||||||||
20,500 | Signet Jewelers, Ltd. | 2,335,155 | ||||||||
67,675 | Ulta Salon Cosmetics & Fragrance, Inc.* | 7,997,155 | ||||||||
90,013 | Urban Outfitters, Inc.* | 3,303,477 | ||||||||
38,953 | Williams-Sonoma, Inc. | 2,593,101 | ||||||||
|
| |||||||||
40,763,258 | ||||||||||
|
| |||||||||
Semiconductors — 1.7% | ||||||||||
23,136 | Mellanox Technologies, Ltd.* | 1,038,112 | ||||||||
140,630 | ON Semiconductor Corp.* | 1,257,232 | ||||||||
17,341 | Power Integrations, Inc. | 934,853 | ||||||||
47,540 | Semtech Corp.* | 1,290,711 | ||||||||
36,090 | Skyworks Solutions, Inc. | 2,095,025 | ||||||||
|
| |||||||||
6,615,933 | ||||||||||
|
|
See accompanying Notes to the Financial Statements. | 21 |
Table of Contents
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Software — 10.7% | ||||||||||
181,860 | Allscripts Healthcare Solutions, Inc.* | 2,439,652 | ||||||||
17,675 | athenahealth, Inc.* ‡ | 2,327,621 | ||||||||
104,892 | Blackbaud, Inc. | 4,121,207 | ||||||||
40,264 | Commvault Systems, Inc.* | 2,029,306 | ||||||||
44,710 | Cornerstone OnDemand, Inc.* ‡ | 1,538,471 | ||||||||
77,841 | Imperva, Inc.* ‡ | 2,236,372 | ||||||||
19,970 | Infoblox, Inc.* | 294,558 | ||||||||
133,825 | MSCI, Inc. Class A* | 6,292,451 | ||||||||
10,450 | NetSuite, Inc.* ‡ | 935,693 | ||||||||
72,685 | Proofpoint, Inc.* | 2,699,521 | ||||||||
134,208 | QLIK Technologies, Inc.* | 3,628,984 | ||||||||
55,767 | ServiceNow, Inc.* | 3,277,984 | ||||||||
26,170 | SS&C Technologies Holdings, Inc.* | 1,148,601 | ||||||||
8,950 | Ultimate Software Group (The), Inc.* | 1,266,514 | ||||||||
213,971 | VeriFone Systems, Inc.* | 7,356,323 | ||||||||
|
| |||||||||
41,593,258 | ||||||||||
|
| |||||||||
Telecommunications — 1.9% |
| |||||||||
77,133 | Allot Communications, Ltd.* ‡ | 880,859 | ||||||||
112,220 | Aruba Networks, Inc.* | 2,421,707 | ||||||||
65,340 | Juniper Networks, Inc. | 1,447,281 | ||||||||
24,950 | Palo Alto Networks, Inc.* | 2,447,595 | ||||||||
|
| |||||||||
7,197,442 | ||||||||||
|
| |||||||||
Transportation — 3.0% |
| |||||||||
101,500 | Expeditors International of Washington, Inc. | 4,118,870 | ||||||||
55,744 | Genesee & Wyoming, Inc. Class A* | 5,312,961 | ||||||||
62,666 | XPO Logistics, Inc.* ‡ | 2,360,628 | ||||||||
|
| |||||||||
11,792,459 | ||||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $322,437,246) | 367,558,389 | |||||||||
|
| |||||||||
WARRANTS — 0.0% |
| |||||||||
Oil & Gas — 0.0% |
| |||||||||
27,862 | Magnum Hunter Resources Corp., Strike Price $8.50, Expires 4/15/16* ‡ **** | — | ||||||||
|
| |||||||||
TOTAL WARRANTS (COST $—) | — | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 17.2% |
| |||||||||
Bank Deposit — 5.6% |
| |||||||||
21,755,462 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/01/14 | 21,755,462 | ||||||||
|
|
22 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Securities Lending Collateral — 11.6% |
| |||||||||
44,929,420 | State Street Navigator Securities Lending Prime Portfolio*** | 44,929,420 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $66,684,882) | 66,684,882 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 111.8% (Cost $389,122,128) | 434,243,271 | |||||||||
Other Assets and Liabilities (net) — (11.8)% | (45,811,406 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 388,431,865 | ||||||||
|
| |||||||||
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. | |||||||||
**** | 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 $0 which represents 0.0% of net assets. The aggregate tax cost of these securities held at September 30, 2014 was $0. |
See accompanying Notes to the Financial Statements. | 23 |
Table of Contents
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
90 | Russell 2000 Mini Index | December 2014 | $ | 9,869,400 | $ | (622,704 | ) | |||||||||||
2 | S&P Mid 400 E-mini Index | December 2014 | 273,080 | (2,065 | ) | |||||||||||||
25 | NASDAQ 100 E-mini Index | December 2014 | 2,022,375 | (19,939 | ) | |||||||||||||
|
| |||||||||||||||||
$ | (644,708 | ) | ||||||||||||||||
|
|
24 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Common Stocks | 94.6 | ||||
Warrants | 0.0 | ||||
Futures Contracts | (0.2 | ) | |||
Short-Term Investments | 17.2 | ||||
Other Assets and Liabilities (net) | (11.6 | ) | |||
|
| ||||
100.0 | % | ||||
|
|
See accompanying Notes to the Financial Statements. | 25 |
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 94.5% |
| |||||||||
Aerospace & Defense — 1.9% |
| |||||||||
12,770 | Alliant Techsystems, Inc. | 1,629,963 | ||||||||
38,154 | Astronics Corp.* | 1,819,183 | ||||||||
93,525 | GenCorp, Inc.* ‡ | 1,493,594 | ||||||||
75,815 | Orbital Sciences Corp.* | 2,107,657 | ||||||||
|
| |||||||||
7,050,397 | ||||||||||
|
| |||||||||
Airlines — 0.3% |
| |||||||||
119,975 | JetBlue Airways Corp.* ‡ | 1,274,135 | ||||||||
|
| |||||||||
Apparel — 1.3% |
| |||||||||
166,790 | Ascena Retail Group, Inc.* | 2,218,307 | ||||||||
13,880 | Deckers Outdoor Corp.* | 1,348,859 | ||||||||
11,305 | Hanesbrands, Inc. | 1,214,609 | ||||||||
|
| |||||||||
4,781,775 | ||||||||||
|
| |||||||||
Auto Parts & Equipment — 1.3% |
| |||||||||
124,475 | Allison Transmission Holdings, Inc. | 3,546,293 | ||||||||
16,679 | Remy International, Inc. | 342,420 | ||||||||
34,775 | Tower International, Inc.* | 875,982 | ||||||||
|
| |||||||||
4,764,695 | ||||||||||
|
| |||||||||
Banks — 5.7% |
| |||||||||
29,715 | Capital Bank Financial Corp. Class A* | 709,594 | ||||||||
32,605 | Comerica, Inc. | 1,625,685 | ||||||||
280,150 | Huntington Bancshares, Inc. | 2,725,860 | ||||||||
44,685 | PacWest Bancorp | 1,842,363 | ||||||||
47,806 | PrivateBancorp, Inc. | 1,429,877 | ||||||||
10,624 | Prosperity Bancshares, Inc. | 607,374 | ||||||||
41,956 | Texas Capital Bancshares, Inc.* | 2,420,022 | ||||||||
100,600 | United Community Banks, Inc. | 1,655,876 | ||||||||
122,358 | Webster Financial Corp. | 3,565,512 | ||||||||
119,450 | Western Alliance Bancorp* | 2,854,855 | ||||||||
74,885 | Zions Bancorp | 2,176,158 | ||||||||
|
| |||||||||
21,613,176 | ||||||||||
|
| |||||||||
Biotechnology — 2.1% |
| |||||||||
46,997 | Bio-Rad Laboratories, Inc. Class A* | 5,329,460 | ||||||||
65,446 | Myriad Genetics, Inc.* ‡ | 2,524,252 | ||||||||
|
| |||||||||
7,853,712 | ||||||||||
|
| |||||||||
Building Materials — 0.7% |
| |||||||||
199,965 | Louisiana-Pacific Corp.* | 2,717,524 | ||||||||
|
| |||||||||
Chemicals — 1.9% |
| |||||||||
67,120 | American Vanguard Corp.‡ | 751,744 | ||||||||
16,790 | Celanese Corp. Series A | 982,551 |
26 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Chemicals — continued |
| |||||||||
90,525 | Huntsman Corp. | 2,352,745 | ||||||||
65,448 | Intrepid Potash, Inc.* ‡ | 1,011,171 | ||||||||
52,981 | Kraton Performance Polymers, Inc.* | 943,592 | ||||||||
37,510 | Rayonier Advanced Materials, Inc.‡ | 1,234,454 | ||||||||
|
| |||||||||
7,276,257 | ||||||||||
|
| |||||||||
Commercial Services — 3.6% | ||||||||||
113,990 | ADT Corp. (The)‡ | 4,042,085 | ||||||||
40,950 | AMN Healthcare Services, Inc.* | 642,915 | ||||||||
112,521 | Convergys Corp. | 2,005,124 | ||||||||
21,400 | Euronet Worldwide, Inc.* | 1,022,706 | ||||||||
60,376 | Insperity, Inc. | 1,650,680 | ||||||||
34,000 | Korn/Ferry International* | 846,600 | ||||||||
14,465 | Manpower, Inc. | 1,013,997 | ||||||||
69,425 | RR Donnelley & Sons Co. | 1,142,735 | ||||||||
78,012 | SP Plus Corp.* | 1,479,108 | ||||||||
|
| |||||||||
13,845,950 | ||||||||||
|
| |||||||||
Computers — 0.4% | ||||||||||
72,900 | Sykes Enterprises, Inc.* | 1,456,542 | ||||||||
|
| |||||||||
Cosmetics & Personal Care — 1.3% | ||||||||||
175,436 | Elizabeth Arden, Inc.* ‡ | 2,936,799 | ||||||||
73,114 | Inter Parfums, Inc. | 2,010,635 | ||||||||
|
| |||||||||
4,947,434 | ||||||||||
|
| |||||||||
Distribution & Wholesale — 0.9% | ||||||||||
56,990 | Owens & Minor, Inc.‡ | 1,865,853 | ||||||||
19,305 | WESCO International, Inc.* | 1,510,809 | ||||||||
|
| |||||||||
3,376,662 | ||||||||||
|
| |||||||||
Diversified Financial Services — 4.4% | ||||||||||
44,380 | AerCap Holdings NV* | 1,815,142 | ||||||||
34,154 | Blackhawk Network Holdings, Inc. Class B* | 1,103,174 | ||||||||
66,547 | Blackhawk Network Holdings, Inc.* ‡ | 2,156,123 | ||||||||
24,750 | CIT Group, Inc. | 1,137,510 | ||||||||
51,400 | Eaton Vance Corp. | 1,939,322 | ||||||||
148,080 | FNFV Group* | 2,037,581 | ||||||||
33,240 | Outerwall, Inc.* ‡ | 1,864,764 | ||||||||
70,615 | Raymond James Financial, Inc. | 3,783,551 | ||||||||
46,860 | Walter Investment Management Corp.* ‡ | 1,028,577 | ||||||||
|
| |||||||||
16,865,744 | ||||||||||
|
| |||||||||
Electric — 1.3% | ||||||||||
78,657 | Ameren Corp. | 3,014,923 | ||||||||
25,925 | CMS Energy Corp. | 768,935 | ||||||||
31,150 | Portland General Electric Co. | 1,000,538 | ||||||||
|
| |||||||||
4,784,396 | ||||||||||
|
|
See accompanying Notes to the Financial Statements. | 27 |
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Electrical Components & Equipment — 0.5% | ||||||||||
34,865 | EnerSys | 2,044,484 | ||||||||
|
| |||||||||
Electronics — 2.6% | ||||||||||
71,125 | Coherent, Inc.* | 4,364,941 | ||||||||
34,952 | Cubic Corp. | 1,635,754 | ||||||||
11,025 | Garmin, Ltd.‡ | 573,190 | ||||||||
16,960 | Itron, Inc.* | 666,698 | ||||||||
55,420 | Woodward, Inc. | 2,639,100 | ||||||||
|
| |||||||||
9,879,683 | ||||||||||
|
| |||||||||
Energy - Alternate Sources — 0.3% | ||||||||||
18,475 | First Solar, Inc.* | 1,215,840 | ||||||||
|
| |||||||||
Engineering & Construction — 0.5% | ||||||||||
325,386 | McDermott International, Inc.* ‡ | 1,861,208 | ||||||||
|
| |||||||||
Entertainment — 1.5% | ||||||||||
28,005 | Ascent Capital Group, Inc. Class A* | 1,685,901 | ||||||||
63,817 | International Speedway Corp. Class A | 2,019,170 | ||||||||
23,850 | Lions Gate Entertainment Corp.‡ | 786,335 | ||||||||
18,910 | Madison Square Garden, Inc. Class A* | 1,250,329 | ||||||||
|
| |||||||||
5,741,735 | ||||||||||
|
| |||||||||
Environmental Control — 0.6% | ||||||||||
41,213 | Nuverra Environmental Solutions, Inc.* ‡ | 607,892 | ||||||||
71,920 | Progressive Waste Solutions, Ltd. | 1,853,378 | ||||||||
|
| |||||||||
2,461,270 | ||||||||||
|
| |||||||||
Food — 0.7% | ||||||||||
25,048 | Ingles Markets, Inc. Class A | 593,387 | ||||||||
37,575 | Pinnacle Foods, Inc. | 1,226,824 | ||||||||
42,059 | Village Super Market, Inc. Class A | 958,104 | ||||||||
|
| |||||||||
2,778,315 | ||||||||||
|
| |||||||||
Forest Products & Paper — 1.8% | ||||||||||
34,670 | Clearwater Paper Corp.* | 2,084,014 | ||||||||
27,714 | Deltic Timber Corp. | 1,727,136 | ||||||||
136,568 | Glatfelter | 2,997,668 | ||||||||
|
| |||||||||
6,808,818 | ||||||||||
|
| |||||||||
Gas — 1.1% | ||||||||||
55,940 | Atmos Energy Corp. | 2,668,338 | ||||||||
35,395 | Laclede Group (The), Inc. | 1,642,328 | ||||||||
|
| |||||||||
4,310,666 | ||||||||||
|
| |||||||||
Health Care - Products — 1.8% | ||||||||||
130,225 | Bruker Corp.* | 2,411,116 | ||||||||
4,645 | Cooper Cos. (The), Inc. | 723,459 |
28 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Health Care - Products — continued | ||||||||||
79,350 | Hologic, Inc.* | 1,930,585 | ||||||||
10,455 | ICU Medical, Inc.* | 671,002 | ||||||||
29,375 | NuVasive, Inc.* | 1,024,306 | ||||||||
|
| |||||||||
6,760,468 | ||||||||||
|
| |||||||||
Health Care - Services — 1.4% |
| |||||||||
21,725 | Centene Corp.* | 1,796,875 | ||||||||
14,429 | Ensign Group (The), Inc. | 502,129 | ||||||||
70,050 | Kindred Healthcare, Inc. | 1,358,970 | ||||||||
17,480 | Universal Health Services, Inc. Class B | 1,826,660 | ||||||||
|
| |||||||||
5,484,634 | ||||||||||
|
| |||||||||
Home Furnishings — 0.7% |
| |||||||||
9,520 | Harman International Industries, Inc. | 933,341 | ||||||||
141,025 | TiVo, Inc.* | 1,804,415 | ||||||||
|
| |||||||||
2,737,756 | ||||||||||
|
| |||||||||
Insurance — 6.6% |
| |||||||||
4,637 | Alleghany Corp.* | 1,938,962 | ||||||||
35,975 | Allied World Assurance Co. Holdings, Ltd. | 1,325,319 | ||||||||
71,285 | Axis Capital Holdings, Ltd. | 3,373,919 | ||||||||
50,250 | Brown & Brown, Inc. | 1,615,537 | ||||||||
53,052 | HCC Insurance Holdings, Inc. | 2,561,881 | ||||||||
38,440 | Lincoln National Corp. | 2,059,615 | ||||||||
14,742 | Navigators Group, Inc.* | 906,633 | ||||||||
40,566 | Reinsurance Group of America, Inc. | 3,250,554 | ||||||||
77,714 | Voya Financial, Inc. | 3,038,617 | ||||||||
7,098 | White Mountains Insurance Group, Ltd. | 4,472,237 | ||||||||
16,900 | XL Group Plc | 560,573 | ||||||||
|
| |||||||||
25,103,847 | ||||||||||
|
| |||||||||
Internet — 0.5% |
| |||||||||
10,715 | F5 Networks, Inc.* | 1,272,299 | ||||||||
88,625 | Orbitz Worldwide, Inc.* | 697,479 | ||||||||
|
| |||||||||
1,969,778 | ||||||||||
|
| |||||||||
Investment Company — 0.4% |
| |||||||||
44,455 | Capital Southwest Corp. | 1,590,155 | ||||||||
|
| |||||||||
Iron & Steel — 1.0% |
| |||||||||
54,445 | Allegheny Technologies, Inc. | 2,019,910 | ||||||||
46,085 | United States Steel Corp.‡ | 1,805,149 | ||||||||
|
| |||||||||
3,825,059 | ||||||||||
|
| |||||||||
Leisure Time — 0.6% |
| |||||||||
32,590 | Royal Caribbean Cruises, Ltd. | 2,192,981 | ||||||||
|
|
See accompanying Notes to the Financial Statements. | 29 |
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Lodging — 0.2% |
| |||||||||
32,585 | MGM Resorts International* | 742,286 | ||||||||
|
| |||||||||
Machinery - Diversified — 0.5% |
| |||||||||
60,987 | Albany International Corp. Class A | 2,075,997 | ||||||||
|
| |||||||||
Media — 1.0% |
| |||||||||
55,750 | Gannett Co., Inc. | 1,654,103 | ||||||||
84,600 | Gray Television, Inc.* | 666,648 | ||||||||
47,475 | Starz Class A* | 1,570,473 | ||||||||
|
| |||||||||
3,891,224 | ||||||||||
|
| |||||||||
Mining — 0.6% | ||||||||||
144,675 | Stillwater Mining Co.* | 2,174,465 | ||||||||
|
| |||||||||
Miscellaneous - Manufacturing — 3.9% | ||||||||||
33,890 | Actuant Corp. Class A | 1,034,323 | ||||||||
18,040 | AptarGroup, Inc. | 1,095,028 | ||||||||
95,015 | Brink’s Co. (The) | 2,284,160 | ||||||||
45,730 | Griffon Corp. | 520,865 | ||||||||
58,800 | ITT Corp. | 2,642,472 | ||||||||
48,531 | Myers Industries, Inc. | 856,087 | ||||||||
434,657 | Orkla ASA, Sponsored ADR | 3,946,685 | ||||||||
49,500 | Trinity Industries, Inc. | 2,312,640 | ||||||||
|
| |||||||||
14,692,260 | ||||||||||
|
| |||||||||
Office & Business Equipment — 0.9% | ||||||||||
44,745 | Avery Dennison Corp. | 1,997,864 | ||||||||
64,800 | Pitney Bowes, Inc. | 1,619,352 | ||||||||
|
| |||||||||
3,617,216 | ||||||||||
|
| |||||||||
Oil & Gas — 5.5% | ||||||||||
112,125 | Abraxas Petroleum Corp.* | 592,020 | ||||||||
17,987 | Carrizo Oil & Gas, Inc.* | 968,061 | ||||||||
21,730 | Cimarex Energy Co. | 2,749,497 | ||||||||
136,065 | Comstock Resources, Inc.‡ | 2,533,530 | ||||||||
246,742 | Denbury Resources, Inc. | 3,708,532 | ||||||||
111,740 | Evolution Petroleum Corp. | 1,025,773 | ||||||||
204,643 | Miller Energy Resources, Inc.* ‡ | 900,429 | ||||||||
96,744 | Ocean Rig UDW, Inc.‡ | 1,559,513 | ||||||||
66,300 | PBF Energy, Inc. Class A | 1,591,200 | ||||||||
247,785 | Precision Drilling Corp. | 2,673,600 | ||||||||
22,125 | Whiting Petroleum Corp.* | 1,715,794 | ||||||||
46,194 | WPX Energy, Inc.* | 1,111,428 | ||||||||
|
| |||||||||
21,129,377 | ||||||||||
|
| |||||||||
Oil & Gas Services — 1.2% | ||||||||||
32,975 | Helix Energy Solutions Group, Inc.* | 727,429 | ||||||||
524,110 | Key Energy Services, Inc.* | 2,536,692 |
30 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Oil & Gas Services — continued | ||||||||||
116,760 | TETRA Technologies, Inc.* | 1,263,343 | ||||||||
|
| |||||||||
4,527,464 | ||||||||||
|
| |||||||||
Packaging & Containers — 0.3% | ||||||||||
105,660 | Graphic Packaging Holding Co.* | 1,313,354 | ||||||||
|
| |||||||||
Pharmaceuticals — 0.9% | ||||||||||
13,565 | Jazz Pharmaceuticals Plc* | 2,177,997 | ||||||||
13,755 | Mallinckrodt Plc* ‡ | 1,240,013 | ||||||||
|
| |||||||||
3,418,010 | ||||||||||
|
| |||||||||
Pipelines — 0.7% | ||||||||||
37,328 | National Fuel Gas Co. | 2,612,587 | ||||||||
|
| |||||||||
Real Estate — 2.5% | ||||||||||
92,025 | CBRE Group, Inc.* | 2,736,824 | ||||||||
83,620 | Forest City Enterprises, Inc. Class A* | 1,635,607 | ||||||||
225,478 | Forestar Group, Inc.* | 3,995,470 | ||||||||
62,880 | Hilltop Holdings, Inc.* | 1,260,744 | ||||||||
|
| |||||||||
9,628,645 | ||||||||||
|
| |||||||||
REITS — 4.7% | ||||||||||
172,925 | BioMed Realty Trust, Inc. REIT | 3,493,085 | ||||||||
241,146 | Brandywine Realty Trust REIT | 3,392,924 | ||||||||
59,194 | CBL & Associates Properties, Inc. REIT | 1,059,573 | ||||||||
89,909 | DuPont Fabros Technology, Inc. REIT | 2,431,139 | ||||||||
45,709 | Geo Group (The), Inc. REIT | 1,746,998 | ||||||||
91,100 | Liberty Property Trust REIT | 3,029,986 | ||||||||
141,425 | Strategic Hotels & Resorts, Inc. REIT* | 1,647,601 | ||||||||
93,075 | Sunstone Hotel Investors, Inc. REIT | 1,286,297 | ||||||||
|
| |||||||||
18,087,603 | ||||||||||
|
| |||||||||
Retail — 3.6% | ||||||||||
35,988 | Abercrombie & Fitch Co. Class A | 1,307,804 | ||||||||
105,375 | American Eagle Outfitters, Inc.‡ | 1,530,045 | ||||||||
22,908 | Bob Evans Farms, Inc.‡ | 1,084,465 | ||||||||
29,970 | Children’s Place (The), Inc. | 1,428,370 | ||||||||
13,125 | DSW, Inc. Class A | 395,194 | ||||||||
37,910 | Foot Locker, Inc. | 2,109,691 | ||||||||
106,670 | Francesca’s Holdings Corp.* | 1,485,913 | ||||||||
15,400 | Petsmart, Inc. | 1,079,386 | ||||||||
213,525 | Rite Aid Corp.* | 1,033,461 | ||||||||
59,810 | Stage Stores, Inc. | 1,023,349 | ||||||||
150,738 | Wendy’s Co. (The) | 1,245,096 | ||||||||
|
| |||||||||
13,722,774 | ||||||||||
|
| |||||||||
Savings & Loans — 0.4% | ||||||||||
8,300 | BofI Holding, Inc.* | 603,493 |
See accompanying Notes to the Financial Statements. | 31 |
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Savings & Loans — continued | ||||||||||
55,063 | Dime Community Bancshares | 792,907 | ||||||||
|
| |||||||||
1,396,400 | ||||||||||
|
| |||||||||
Semiconductors — 6.3% | ||||||||||
124,925 | GT Advanced Technologies, Inc.* ‡ | 1,352,938 | ||||||||
50,200 | Integrated Device Technology, Inc.* | 800,690 | ||||||||
6,135 | Lam Research Corp. | 458,285 | ||||||||
386,440 | Lattice Semiconductor Corp.* | 2,898,300 | ||||||||
169,492 | Microsemi Corp.* | 4,306,792 | ||||||||
32,589 | MKS Instruments, Inc. | 1,087,821 | ||||||||
232,875 | ON Semiconductor Corp.* | 2,081,903 | ||||||||
201,105 | Rambus, Inc.* | 2,509,790 | ||||||||
102,744 | Rovi Corp.* | 2,028,680 | ||||||||
36,230 | Skyworks Solutions, Inc. | 2,103,151 | ||||||||
227,450 | Teradyne, Inc. | 4,410,255 | ||||||||
|
| |||||||||
24,038,605 | ||||||||||
|
| |||||||||
Shipbuilding — 0.3% |
| |||||||||
9,585 | Huntington Ingalls Industries, Inc. | 998,853 | ||||||||
|
| |||||||||
Software — 2.7% |
| |||||||||
114,650 | CSG Systems International, Inc. | 3,013,002 | ||||||||
47,260 | Electronic Arts, Inc.* | 1,682,929 | ||||||||
309,040 | Mitel Networks Corp.* | 2,827,716 | ||||||||
27,125 | PTC, Inc.* | 1,000,912 | ||||||||
47,005 | VeriFone Systems, Inc.* | 1,616,032 | ||||||||
|
| |||||||||
10,140,591 | ||||||||||
|
| |||||||||
Telecommunications — 3.9% |
| |||||||||
33,400 | ARRIS Group, Inc.* | 947,057 | ||||||||
17,780 | Atlantic Tele-Network, Inc. | 958,342 | ||||||||
51,000 | CommScope Holding Co., Inc.* | 1,219,410 | ||||||||
120,195 | JDS Uniphase Corp.* | 1,538,496 | ||||||||
39,080 | Knowles Corp.* ‡ | 1,035,620 | ||||||||
99,975 | Level 3 Communications, Inc.* | 4,571,857 | ||||||||
71,245 | NeuStar, Inc. Class A* ‡ | 1,769,013 | ||||||||
73,400 | NTELOS Holdings Corp.‡ | 780,976 | ||||||||
83,168 | Telephone & Data Systems, Inc. | 1,992,705 | ||||||||
|
| |||||||||
14,813,476 | ||||||||||
|
| |||||||||
Textiles — 0.7% |
| |||||||||
26,496 | UniFirst Corp. | 2,559,249 | ||||||||
|
| |||||||||
Transportation — 2.9% |
| |||||||||
188,286 | Air Transport Services Group, Inc.* | 1,370,722 | ||||||||
46,520 | Con-way, Inc. | 2,209,700 | ||||||||
23,642 | Forward Air Corp. | 1,059,871 | ||||||||
20,125 | GasLog, Ltd. | 442,951 |
32 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Transportation — continued |
| |||||||||
80,568 | Marten Transport, Ltd. | 1,434,916 | ||||||||
97,675 | Safe Bulkers, Inc. | 650,515 | ||||||||
165,750 | Tsakos Energy Navigation, Ltd. | 1,057,485 | ||||||||
113,120 | UTi Worldwide, Inc.* | 1,202,466 | ||||||||
63,080 | Werner Enterprises, Inc. | 1,589,616 | ||||||||
|
| |||||||||
11,018,242 | ||||||||||
|
| |||||||||
Trucking & Leasing — 0.7% |
| |||||||||
44,695 | GATX Corp. | 2,608,847 | ||||||||
|
| |||||||||
Water — 0.4% |
| |||||||||
80,792 | PICO Holdings, Inc.* | 1,611,800 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $358,106,638) | 360,194,421 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 13.0% | ||||||||||
Bank Deposit — 4.9% |
| |||||||||
18,599,541 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/01/14 | 18,599,541 | ||||||||
|
| |||||||||
Securities Lending Collateral — 8.1% |
| |||||||||
30,754,854 | State Street Navigator Securities Lending Prime Portfolio*** | 30,754,854 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $49,354,395) | 49,354,395 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 107.5% (Cost $407,461,033) | 409,548,816 | |||||||||
Other Assets and Liabilities (net) — (7.5)% | (28,415,480 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 381,133,336 | ||||||||
|
| |||||||||
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. | 33 |
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
19 | Russell 2000 Mini Index | December 2014 | $ | 2,083,540 | $ | (121,565 | ) | |||||||||||
79 | S&P Mid 400 E-mini Index | December 2014 | 10,786,660 | (519,351 | ) | |||||||||||||
|
| |||||||||||||||||
$ | (640,916 | ) | ||||||||||||||||
|
|
34 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Common Stocks | 94.5 | ||||
Futures Contracts | (0.2 | ) | |||
Short-Term Investments | 13.0 | ||||
Other Assets and Liabilities (net) | (7.3 | ) | |||
|
| ||||
100.0 | % | ||||
|
|
See accompanying Notes to the Financial Statements. | 35 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 91.8% | ||||||||||
Australia — 2.8% | ||||||||||
1,857,532 | Beach Energy, Ltd. | 2,291,861 | ||||||||
244,792 | Bendigo & Adelaide Bank, Ltd. | 2,553,326 | ||||||||
294,129 | BGP Holdings Plc* **** ¤ | — | ||||||||
1,046,813 | Brambles, Ltd. | 8,720,449 | ||||||||
113,183 | carsales.com, Ltd.‡ | 976,542 | ||||||||
16,703 | Cochlear, Ltd.‡ | 1,015,955 | ||||||||
479,053 | Computershare, Ltd. | 5,097,414 | ||||||||
79,730 | CSL, Ltd. | 5,174,672 | ||||||||
628,113 | Downer EDI, Ltd. | 2,423,869 | ||||||||
761,588 | Fortescue Metals Group, Ltd.‡ | 2,319,168 | ||||||||
28,670 | Greencross, Ltd.‡ | 245,859 | ||||||||
113,010 | Independence Group NL | 401,491 | ||||||||
88,530 | IOOF Holdings, Ltd. | 661,578 | ||||||||
50,224 | Lend Lease Group | 630,222 | ||||||||
51,755 | Macquarie Group, Ltd. | 2,608,148 | ||||||||
1,068,895 | Metcash, Ltd.‡ | 2,459,935 | ||||||||
289,302 | Mineral Resources, Ltd.‡ | 2,202,437 | ||||||||
192,807 | Monadelphous Group, Ltd.‡ | 2,152,813 | ||||||||
1,218,541 | Myer Holdings, Ltd.‡ | 2,089,917 | ||||||||
86,274 | National Australia Bank, Ltd. | 2,456,577 | ||||||||
50,748 | Premier Investments, Ltd. | 456,060 | ||||||||
260,626 | Primary Health Care, Ltd. | 996,625 | ||||||||
35,760 | Ramsay Health Care, Ltd. | 1,567,405 | ||||||||
1,094,627 | Sigma Pharmaceuticals, Ltd. | 756,704 | ||||||||
96,033 | Sirtex Medical, Ltd. | 1,846,220 | ||||||||
2,833,816 | Southern Cross Media Group, Ltd. | 2,467,332 | ||||||||
|
| |||||||||
Total Australia | 54,572,579 | |||||||||
|
| |||||||||
Austria — 0.4% | ||||||||||
61,580 | ams AG | 2,342,682 | ||||||||
18,414 | CAT Oil AG | 351,016 | ||||||||
63,011 | OMV AG | 2,120,906 | ||||||||
57,391 | Voestalpine AG | 2,269,224 | ||||||||
|
| |||||||||
Total Austria | 7,083,828 | |||||||||
|
| |||||||||
Belgium — 0.9% | ||||||||||
34,117 | Anheuser-Busch InBev NV | 3,797,822 | ||||||||
12,292 | Anheuser-Busch InBev NV, Sponsored ADR | 1,362,568 | ||||||||
6,799 | Barco NV | 491,453 | ||||||||
133,583 | Belgacom SA‡ | 4,650,715 | ||||||||
49,618 | bpost SA | 1,184,651 | ||||||||
36,204 | Delhaize Group‡ | 2,519,067 | ||||||||
21,757 | Delhaize Group SA, Sponsored ADR | 376,179 | ||||||||
17,056 | Groupe Bruxelles Lambert SA | 1,563,377 | ||||||||
19,760 | UCB SA | 1,794,255 | ||||||||
|
| |||||||||
Total Belgium | 17,740,087 | |||||||||
|
|
36 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Bermuda — 1.3% | ||||||||||
372,086 | Archer, Ltd.* | 522,551 | ||||||||
245,159 | BW Offshore, Ltd. | 306,890 | ||||||||
545,145 | Catlin Group, Ltd. | 4,613,237 | ||||||||
2,308,433 | Esprit Holdings, Ltd. | 2,984,722 | ||||||||
2,315,000 | Haier Electronics Group Co., Ltd. | 6,096,734 | ||||||||
258,936 | Hiscox, Ltd. | 2,644,577 | ||||||||
407,822 | Hongkong Land Holdings, Ltd. | 2,773,190 | ||||||||
45,600 | Jardine Matheson Holdings, Ltd. | 2,717,760 | ||||||||
903,000 | Luk Fook Holdings International, Ltd. | 2,622,330 | ||||||||
|
| |||||||||
Total Bermuda | 25,281,991 | |||||||||
|
| |||||||||
Brazil — 0.2% | ||||||||||
76,655 | Banco do Brasil SA | 791,710 | ||||||||
112,140 | Ez Tec Empreendimentos e Participacoes SA | 961,357 | ||||||||
116,300 | Light SA | 981,827 | ||||||||
86,400 | Porto Seguro SA | 1,002,051 | ||||||||
|
| |||||||||
Total Brazil | 3,736,945 | |||||||||
|
| |||||||||
Canada — 0.9% | ||||||||||
69,150 | Advantage Oil & Gas, Ltd.* | 352,077 | ||||||||
89,108 | Air Canada Class B* | 681,735 | ||||||||
18,052 | Allied Properties Real Estate Investment Trust REIT | 552,116 | ||||||||
177,822 | Bankers Petroleum, Ltd.* | 857,645 | ||||||||
58,156 | Boardwalk Real Estate Investment Trust REIT | 3,585,476 | ||||||||
27,538 | Bonterra Energy Corp.‡ | 1,397,414 | ||||||||
16,059 | Calloway Real Estate Investment Trust REIT | 369,592 | ||||||||
42,183 | Canadian National Railway Co. | 3,001,181 | ||||||||
13,649 | Fairfax Financial Holdings, Ltd. | 6,128,524 | ||||||||
36,640 | Horizon North Logistics, Inc.‡ | 166,553 | ||||||||
4,627 | Linamar Corp. | 239,310 | ||||||||
10,925 | Progressive Waste Solutions, Ltd.‡ | 281,642 | ||||||||
67,006 | Raging River Exploration, Inc.* | 549,814 | ||||||||
|
| |||||||||
Total Canada | 18,163,079 | |||||||||
|
| |||||||||
Cayman Islands — 0.5% | ||||||||||
12,636 | Alibaba Group Holding, Ltd., Sponsored ADR* | 1,122,709 | ||||||||
568,650 | Tencent Holdings, Ltd. | 8,443,593 | ||||||||
|
| |||||||||
Total Cayman Islands | 9,566,302 | |||||||||
|
| |||||||||
China — 0.3% | ||||||||||
2,043,000 | China Citic Bank Corp., Ltd. Class H | 1,239,202 | ||||||||
1,220,048 | China Petroleum & Chemical Corp. Class H | 1,068,412 | ||||||||
1,074,000 | Huaneng Power International, Inc. Class H | 1,172,879 | ||||||||
700,000 | Jiangxi Copper Co., Ltd. Class H | 1,159,290 | ||||||||
864,272 | PetroChina Co., Ltd. Class H | 1,107,456 | ||||||||
|
| |||||||||
Total China | 5,747,239 | |||||||||
|
|
See accompanying Notes to the Financial Statements. | 37 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Denmark — 3.1% |
| |||||||||
632 | AP Moeller - Maersk AS Class A | 1,460,763 | ||||||||
1,947 | AP Moeller - Maersk AS Class B | 4,625,723 | ||||||||
7,652 | Carlsberg A/S Class B | 680,443 | ||||||||
56,698 | Christian Hansen Holding AS | 2,191,831 | ||||||||
31,959 | D/S Norden AS‡ | 820,574 | ||||||||
52,819 | Danske Bank AS | 1,435,947 | ||||||||
33,273 | DSV AS | 937,315 | ||||||||
321,233 | GN Store Nord AS | 7,086,784 | ||||||||
37,553 | Jyske Bank AS* | 2,029,737 | ||||||||
16,874 | NKT Holding AS | 930,652 | ||||||||
227,502 | Novo Nordisk AS Class B | 10,887,295 | ||||||||
30,776 | Novo Nordisk AS, Sponsored ADR | 1,465,553 | ||||||||
35,874 | Novozymes AS | 1,556,669 | ||||||||
177,927 | Pandora AS | 13,952,868 | ||||||||
6,899 | SimCorp AS | 202,543 | ||||||||
81,493 | Sydbank AS* | 2,483,775 | ||||||||
956,501 | TDC AS | 7,265,428 | ||||||||
33,359 | Topdanmark AS* | 1,011,068 | ||||||||
4,948 | Tryg AS | 513,886 | ||||||||
17,030 | Vestas Wind Systems AS* | 665,860 | ||||||||
|
| |||||||||
Total Denmark | 62,204,714 | |||||||||
|
| |||||||||
Finland — 1.8% | ||||||||||
169,170 | Fortum OYJ | 4,126,624 | ||||||||
18,545 | Kemira OYJ‡ | 244,812 | ||||||||
9,327 | Kesko OYJ | 334,029 | ||||||||
86,678 | Kone OYJ‡ | 3,484,162 | ||||||||
16,200 | Metso OYJ | 577,103 | ||||||||
209,060 | Neste Oil OYJ‡ | 4,304,749 | ||||||||
683,219 | Nokia OYJ | 5,830,081 | ||||||||
717,572 | Nokia OYJ, Sponsored ADR | 6,070,659 | ||||||||
3,457 | Sampo OYJ Class A | 167,695 | ||||||||
56,977 | Sponda OYJ | 257,675 | ||||||||
347,888 | Stora Enso OYJ | 2,902,696 | ||||||||
109,595 | Tieto OYJ | 2,768,917 | ||||||||
173,266 | UPM-Kymmene OYJ | 2,475,513 | ||||||||
31,683 | Wartsila OYJ Abp | 1,418,034 | ||||||||
|
| |||||||||
Total Finland | 34,962,749 | |||||||||
|
| |||||||||
France — 6.5% | ||||||||||
223,614 | Accor SA | 9,919,298 | ||||||||
80,344 | Alcatel-Lucent* ‡ | 249,372 | ||||||||
309,689 | Alcatel-Lucent, Sponsored ADR | 938,358 | ||||||||
33,562 | AtoS | 2,432,327 | ||||||||
104,140 | AXA SA | 2,566,635 | ||||||||
37,372 | BNP Paribas | 2,479,478 | ||||||||
23,354 | Cie Generale des Etablissements Michelin | 2,203,205 | ||||||||
177,431 | CNP Assurances | 3,341,923 | ||||||||
264,212 | Danone SA | 17,689,587 |
38 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
France — continued | ||||||||||
47,106 | Dassault Systemes SA | 3,026,508 | ||||||||
16,509 | Edenred | 407,402 | ||||||||
71,976 | Electricite de France | 2,361,288 | ||||||||
14,826 | Euler Hermes Group | 1,582,596 | ||||||||
7,672 | Faurecia | 245,393 | ||||||||
376,640 | France Telecom SA | 5,664,285 | ||||||||
219,061 | GDF Suez | 5,495,834 | ||||||||
1,727 | Ingenico | 176,450 | ||||||||
9,996 | Ipsen SA | 491,713 | ||||||||
94,100 | Legrand SA | 4,896,924 | ||||||||
138,467 | Metropole Television SA | 2,237,207 | ||||||||
129,910 | Neopost SA‡ | 9,549,491 | ||||||||
21,962 | Nexans SA* ‡ | 823,982 | ||||||||
103,621 | Orange SA, Sponsored ADR | 1,527,373 | ||||||||
71,105 | Pernod-Ricard SA | 8,051,768 | ||||||||
28,162 | Sanofi | 3,186,155 | ||||||||
116,280 | Sanofi, ADR | 6,561,680 | ||||||||
51,484 | Suez Environnement Co. | 871,173 | ||||||||
176,954 | Technicolor* | 1,155,016 | ||||||||
47,030 | Technip SA | 3,957,343 | ||||||||
45,757 | Thales SA | 2,437,821 | ||||||||
241,163 | Total SA | 15,674,198 | ||||||||
33,597 | Total SA, Sponsored ADR | 2,165,327 | ||||||||
114,138 | UBISOFT Entertainment* | 1,874,403 | ||||||||
21,686 | Valeo SA | 2,413,759 | ||||||||
|
| |||||||||
Total France | 128,655,272 | |||||||||
|
| |||||||||
Germany — 7.1% | ||||||||||
14,277 | Allianz AG | 2,314,846 | ||||||||
50,470 | Aurubis AG | 2,496,694 | ||||||||
28,391 | BASF SE | 2,604,870 | ||||||||
228,332 | Bayer AG | 31,988,038 | ||||||||
35,476 | Bayerische Motoren Werke AG | 3,810,176 | ||||||||
6,948 | Bechtle AG | 531,802 | ||||||||
18,899 | Beiersdorf AG | 1,579,037 | ||||||||
77,573 | Brenntag AG | 3,812,950 | ||||||||
60,784 | Continental AG | 11,567,718 | ||||||||
30,054 | DaimlerChrysler AG | 2,305,658 | ||||||||
163,022 | Deutsche Annington Immobilien SE | 4,732,444 | ||||||||
99,473 | Deutsche Post AG | 3,190,489 | ||||||||
210,417 | Deutsche Telekom AG | 3,189,711 | ||||||||
375,251 | Deutsche Wohnen AG | 8,020,686 | ||||||||
30,167 | Deutz AG | 159,979 | ||||||||
79,947 | DIC Asset AG | 674,633 | ||||||||
407,987 | E.ON AG | 7,470,571 | ||||||||
60,949 | HeidelbergCement AG | 4,028,317 | ||||||||
624,012 | Infineon Technologies AG | 6,458,403 | ||||||||
41,775 | Jenoptik AG | 469,937 | ||||||||
72,307 | Kloeckner & Co. SE* | 995,169 |
See accompanying Notes to the Financial Statements. | 39 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Germany — continued | ||||||||||
15,896 | KUKA AG‡ | 963,066 | ||||||||
43,836 | LEG Immobilien AG* | 3,038,471 | ||||||||
8,961 | Leoni AG | 489,250 | ||||||||
1,805 | Manz AG* | 167,387 | ||||||||
52,356 | Merck KGaA | 4,830,110 | ||||||||
28,006 | MTU Aero Engines AG | 2,391,592 | ||||||||
12,175 | Muenchener Rueckver AG | 2,407,750 | ||||||||
59,704 | RWE AG | 2,327,117 | ||||||||
80,599 | SAP SE | 5,813,732 | ||||||||
19,617 | Software AG‡ | 486,207 | ||||||||
110,150 | Symrise AG | 5,867,828 | ||||||||
199,313 | TAG Immobilien AG‡ | 2,258,486 | ||||||||
70,048 | Talanx AG* | 2,331,220 | ||||||||
85,596 | Thyssenkrupp AG* | 2,246,383 | ||||||||
28,366 | TUI AG | 424,446 | ||||||||
36,708 | United Internet AG | 1,562,484 | ||||||||
2,364 | Volkswagen AG | 490,653 | ||||||||
19,819 | Wirecard AG | 732,438 | ||||||||
|
| |||||||||
Total Germany | 141,230,748 | |||||||||
|
| |||||||||
Hong Kong — 0.9% | ||||||||||
117,000 | Cheung Kong Holdings, Ltd. | 1,925,616 | ||||||||
6,007,771 | China Power International Development, Ltd. | 2,777,543 | ||||||||
633,000 | CNOOC, Ltd. | 1,084,197 | ||||||||
506,000 | Henderson Land Development Co., Ltd. | 3,277,717 | ||||||||
709,000 | HKT Trust and HKT, Ltd. | 856,450 | ||||||||
76,500 | Hopewell Holdings, Ltd. | 267,968 | ||||||||
213,000 | Hutchison Whampoa, Ltd. | 2,578,460 | ||||||||
5,615,178 | PCCW, Ltd. | 3,536,107 | ||||||||
4,966,000 | Shougang Fushan Resources Group, Ltd. | 1,112,779 | ||||||||
67,000 | Wharf Holdings, Ltd. (The) | 476,716 | ||||||||
|
| |||||||||
Total Hong Kong | 17,893,553 | |||||||||
|
| |||||||||
India — 1.1% | ||||||||||
275,730 | ICICI Bank, Ltd. | 6,393,891 | ||||||||
184,781 | Tata Consultancy Services, Ltd. | 8,188,737 | ||||||||
771,307 | Tata Motors, Ltd. | 6,278,109 | ||||||||
|
| |||||||||
Total India | 20,860,737 | |||||||||
|
| |||||||||
Indonesia — 0.6% | ||||||||||
7,470,100 | Bank Mandiri Persero Tbk PT | 6,176,550 | ||||||||
13,222,800 | Bank Tabungan Negara Persero Tbk PT | 1,269,649 | ||||||||
2,554,900 | Perusahaan Gas Negara Persero Tbk PT | 1,258,055 | ||||||||
5,539,700 | Telekomunikasi Indonesia Persero Tbk PT | 1,325,254 | ||||||||
671,396 | United Tractors Tbk PT | 1,096,494 | ||||||||
|
| |||||||||
Total Indonesia | 11,126,002 | |||||||||
|
|
40 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Ireland — 0.2% | ||||||||||
5,361,753 | Governor & Co. of the Bank of Ireland (The)* | 2,099,703 | ||||||||
121,665 | Smurfit Kappa Group Plc | 2,667,347 | ||||||||
|
| |||||||||
Total Ireland | 4,767,050 | |||||||||
|
| |||||||||
Italy — 2.5% | ||||||||||
617,294 | Beni Stabili Spa REIT‡ | 435,127 | ||||||||
7,697 | Danieli & C. Officine Meccaniche Spa | 198,354 | ||||||||
12,685 | Danieli & C. Officine Meccaniche Spa-RSP | 241,647 | ||||||||
4,808 | Ei Towers Spa* | 255,156 | ||||||||
654,992 | Enel Green Power Spa | 1,676,350 | ||||||||
1,651,194 | Enel Spa | 8,764,829 | ||||||||
303,640 | ENI Spa‡ | 7,238,026 | ||||||||
29,857 | Exor Spa | 1,159,416 | ||||||||
19,120 | Hera Spa | 50,626 | ||||||||
838,400 | Intesa Sanpaolo Spa | 2,548,216 | ||||||||
178,272 | Iren Spa | 224,301 | ||||||||
149,293 | Mediobanca Spa* | 1,284,328 | ||||||||
571,136 | Snam Rete Gas Spa | 3,160,115 | ||||||||
10,847 | Societa Cattolica di Assicurazioni SCRL | 189,231 | ||||||||
20,900 | Societa Iniziative Autostradali e Servizi Spa | 224,680 | ||||||||
4,024,536 | Telecom Italia Spa* | 4,613,725 | ||||||||
1,604,118 | Telecom Italia Spa-RNC | 1,425,574 | ||||||||
1,691,899 | UniCredit Spa | 13,379,443 | ||||||||
478,782 | Unipol Gruppo Finanziario Spa | 2,317,675 | ||||||||
|
| |||||||||
Total Italy | 49,386,819 | |||||||||
|
| |||||||||
Japan — 20.5% | ||||||||||
32,000 | Air Water, Inc. | 476,084 | ||||||||
8,500 | Alpine Electronics, Inc. | 140,020 | ||||||||
28,400 | Alps Electric Co., Ltd. | 487,508 | ||||||||
283,000 | Amada Co., Ltd.‡ | 2,695,975 | ||||||||
17,800 | Amano Corp. | 190,178 | ||||||||
69,200 | Aoyama Trading Co., Ltd. | 1,611,796 | ||||||||
275,000 | Asahi Glass Co., Ltd.‡ | 1,490,633 | ||||||||
9,000 | Asahi Group Holdings, Ltd. | 260,331 | ||||||||
307,500 | Astellas Pharma, Inc. | 4,577,670 | ||||||||
14,500 | Azbil Corp. | 355,445 | ||||||||
49,400 | Bridgestone Corp. | 1,631,130 | ||||||||
156,000 | Brother Industries, Ltd.‡ | 2,885,492 | ||||||||
126,000 | Calsonic Kansei Corp. | 685,738 | ||||||||
246,300 | Canon, Inc. | 8,016,903 | ||||||||
14,725 | Canon, Inc., Sponsored ADR | 479,888 | ||||||||
203,000 | Central Glass Co., Ltd. | 718,027 | ||||||||
37,500 | Central Japan Railway Co. | 5,064,611 | ||||||||
234,294 | Chiba Bank, Ltd. (The) | 1,629,667 | ||||||||
78,600 | Chugai Pharmaceutical Co., Ltd. | 2,274,990 | ||||||||
88,600 | COMSYS Holdings Corp. | 1,527,349 | ||||||||
320,700 | Dai-ichi Life Insurance Co., Ltd. (The) | 4,759,557 | ||||||||
67,000 | Daicel Corp. | 727,444 |
See accompanying Notes to the Financial Statements. | 41 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
182,800 | Daiichi Sanyko Co., Ltd.‡ | 2,867,941 | ||||||||
236,260 | Daikin Industries, Ltd. | 14,641,465 | ||||||||
87,300 | Daiwa House Industry Co., Ltd.‡ | 1,565,821 | ||||||||
311,246 | Daiwa Securities Group, Inc.‡ | 2,465,396 | ||||||||
488,000 | Denki Kagaku Kogyo KK | 1,597,083 | ||||||||
48,400 | East Japan Railway Co. | 3,626,856 | ||||||||
218,000 | Fuji Electric Holdings Co., Ltd. | 1,055,271 | ||||||||
454,600 | Fuji Heavy Industries, Ltd.‡ | 15,026,935 | ||||||||
174,100 | Fuji Media Holdings, Inc. | 2,588,606 | ||||||||
219,300 | FUJIFILM Holdings Corp. | 6,737,235 | ||||||||
394,000 | Fujikura, Ltd. | 1,896,458 | ||||||||
375,000 | Fujitsu, Ltd. | 2,307,535 | ||||||||
345,000 | Fukuoka Financial Group, Inc. | 1,644,879 | ||||||||
99,797 | Glory, Ltd. | 2,815,732 | ||||||||
134,000 | GS Yuasa Corp.‡ | 780,583 | ||||||||
230,294 | Hachijuni Bank, Ltd. (The)‡ | 1,383,507 | ||||||||
10,100 | Hamamatsu Photonics KK | 479,703 | ||||||||
249,000 | Hankyu Hanshin Holdings, Inc. | 1,450,485 | ||||||||
76,400 | Hazama Ando Corp. | 488,927 | ||||||||
18,900 | Hino Motors, Ltd. | 264,302 | ||||||||
41,000 | Hirose Electric Co., Ltd.‡ | 5,060,759 | ||||||||
32,900 | Hitachi Chemical Co., Ltd. | 584,849 | ||||||||
61,800 | Hitachi Construction Machinery Co., Ltd. | 1,243,944 | ||||||||
31,300 | Hitachi High-Technologies Corp. | 898,810 | ||||||||
59,500 | Hitachi Koki Co., Ltd. | 517,462 | ||||||||
50,400 | Honda Motor Co., Ltd.‡ | 1,745,932 | ||||||||
10,200 | Hoshizaki Electric Co., Ltd. | 476,084 | ||||||||
47,600 | House Foods Group, Inc.‡ | 826,204 | ||||||||
58,500 | Hoya Corp. | 1,964,666 | ||||||||
111,100 | Ibiden Co., Ltd. | 2,163,358 | ||||||||
418,100 | Inpex Holdings, Inc. | 5,905,884 | ||||||||
48,700 | Ito En, Ltd.‡ | 1,027,763 | ||||||||
57,000 | Japan Aviation Electronics Industry, Ltd. | 1,299,056 | ||||||||
35,200 | Japan Exchange Group, Inc.‡ | 835,276 | ||||||||
44,600 | Japan Petroleum Exploration Co. | 1,711,710 | ||||||||
459,600 | Japan Tobacco, Inc. | 14,945,013 | ||||||||
83,300 | JFE Holdings, Inc. | 1,661,899 | ||||||||
331,714 | Joyo Bank, Ltd. (The)‡ | 1,632,942 | ||||||||
23,000 | JTEKT Corp. | 384,539 | ||||||||
279,400 | JX Holdings, Inc.‡ | 1,287,540 | ||||||||
32,000 | Kandenko Co., Ltd. | 161,612 | ||||||||
295,600 | Kaneka Corp. | 1,651,878 | ||||||||
410,508 | Kao Corp. | 16,003,806 | ||||||||
630,000 | Kawasaki Kisen Kaisha, Ltd.‡ | 1,338,165 | ||||||||
299,600 | KDDI Corp. | 18,006,863 | ||||||||
79,000 | Keikyu Corp. | 659,684 | ||||||||
34,600 | Keyence Corp. | 15,034,496 | ||||||||
57,200 | Kobayashi Pharmaceutical Co., Ltd.‡ | 3,493,687 | ||||||||
1,034,000 | Kobe Steel, Ltd.‡ | 1,677,852 |
42 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
261,400 | Komatsu, Ltd. | 6,044,406 | ||||||||
300,000 | Konica Minolta Holdings, Inc.‡ | 3,238,069 | ||||||||
65,086 | Kose Corp. | 2,764,946 | ||||||||
34,200 | Kurita Water Industries, Ltd.‡ | 762,910 | ||||||||
28,300 | Kyocera Corp.‡ | 1,318,577 | ||||||||
43,000 | Kyowa Hakko Kirin Co., Ltd. | 527,235 | ||||||||
34,173 | Lawson, Inc.‡ | 2,389,415 | ||||||||
29,000 | Makita Corp. | 1,639,090 | ||||||||
64,300 | Maruichi Steel Tube, Ltd. | 1,578,558 | ||||||||
24,700 | Medipal Holdings Corp. | 300,151 | ||||||||
219,000 | Meidensha Corp. | 862,464 | ||||||||
67 | MID Reit, Inc. REIT | 165,584 | ||||||||
192,000 | Minebea Co., Ltd. | 2,618,460 | ||||||||
195,000 | Mitsubishi Chemical Holdings Corp.‡ | 959,223 | ||||||||
84,600 | Mitsubishi Co. | 1,732,181 | ||||||||
329,000 | Mitsubishi Electric Corp. | 4,380,368 | ||||||||
289,000 | Mitsubishi Heavy Industries, Ltd. | 1,858,958 | ||||||||
133,000 | Mitsubishi Materials Corp. | 430,421 | ||||||||
112,400 | Mitsubishi Tanabe Pharma Corp. | 1,648,677 | ||||||||
185,400 | Mitsubishi UFJ Lease & Finance Co., Ltd.‡ | 968,451 | ||||||||
188,700 | Mitsui & Co., Ltd.‡ | 2,975,128 | ||||||||
102,000 | Mitsui Mining & Smelting Co., Ltd. | 271,516 | ||||||||
879,400 | Mizuho Financial Group, Inc.‡ | 1,570,486 | ||||||||
83,000 | Morinaga Milk Industry Co., Ltd. | 267,095 | ||||||||
22,600 | Murata Manufacturing Co., Ltd. | 2,569,142 | ||||||||
281,000 | NEC Corp. | 970,865 | ||||||||
209,400 | Nidec Corp.‡ | 14,164,255 | ||||||||
11,100 | Nifco, Inc. | 342,021 | ||||||||
60,400 | Nihon Kohden Corp. | 3,171,557 | ||||||||
130,000 | Nippon Electric Glass Co., Ltd. | 632,846 | ||||||||
107,000 | Nippon Telegraph & Telephone Corp. | 6,653,421 | ||||||||
178,400 | Nippon Television Network Corp. | 2,722,472 | ||||||||
43,100 | Nissan Chemical Industries, Ltd.‡ | 763,027 | ||||||||
92,000 | Nisshinbo Holdings, Inc. | 772,433 | ||||||||
31,700 | Nitto Denko Corp.‡ | 1,738,233 | ||||||||
278,941 | Nomura Research Institute, Ltd. | 9,014,502 | ||||||||
479,441 | North Pacific Bank, Ltd. | 1,888,131 | ||||||||
103,000 | NSK, Ltd.‡ | 1,465,728 | ||||||||
115,100 | Obic Co., Ltd. | 4,113,150 | ||||||||
65,600 | Omron Corp. | 2,978,148 | ||||||||
657,200 | Orix Corp. | 9,064,621 | ||||||||
37,000 | PanaHome Corp. | 257,022 | ||||||||
136,500 | Panasonic Corp.‡ | 1,623,267 | ||||||||
609,800 | Pioneer Corp.* ‡ | 1,673,274 | ||||||||
262,300 | Ricoh Co., Ltd. | 2,816,805 | ||||||||
39,334 | Sankyo Co., Ltd.‡ | 1,409,204 | ||||||||
85,333 | Santen Pharmaceutical Co., Ltd. | 4,776,376 | ||||||||
77,000 | Sanwa Holdings Corp. | 547,518 | ||||||||
32,800 | Secom Co., Ltd.‡ | 1,953,438 | ||||||||
76,700 | Seiko Epson Corp. | 3,684,844 |
See accompanying Notes to the Financial Statements. | 43 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
62,000 | Showa Corp. | 678,809 | ||||||||
88,400 | SKY Perfect JSAT Holdings, Inc. | 519,787 | ||||||||
20,200 | Sohgo Security Services Co., Ltd.‡ | 474,731 | ||||||||
272,000 | Sony Financial Holdings, Inc. | 4,398,815 | ||||||||
77,100 | Sumitomo Dainippon Pharma Co., Ltd.‡ | 981,893 | ||||||||
92,700 | Sumitomo Electric Industries, Ltd. | 1,369,437 | ||||||||
122,300 | Sumitomo Forestry Co., Ltd. | 1,315,593 | ||||||||
186,000 | Sumitomo Heavy Industries, Ltd. | 1,046,192 | ||||||||
152,141 | Sumitomo Mitsui Financial Group | 6,201,034 | ||||||||
10,400 | Sumitomo Real Estate Sales Co., Ltd. | 239,486 | ||||||||
77,200 | Suzuki Motor Corp. | 2,558,554 | ||||||||
25,000 | Sysmex Corp. | 1,005,059 | ||||||||
252,700 | T&D Holdings, Inc. | 3,244,705 | ||||||||
40,300 | TDK Corp.‡ | 2,248,380 | ||||||||
105,600 | Terumo Corp.‡ | 2,530,857 | ||||||||
196,000 | Tobu Railway Co., Ltd. | 986,298 | ||||||||
149,800 | Tokio Marine Holdings, Inc. | 4,646,470 | ||||||||
15,500 | Tokyo Electron, Ltd. | 1,011,432 | ||||||||
37,700 | Tokyo Ohka Kogyo Co., Ltd.‡ | 997,016 | ||||||||
159,000 | Tokyu Corp. | 1,042,171 | ||||||||
229,000 | Toppan Printing Co., Ltd.‡ | 1,645,034 | ||||||||
65,000 | Toshiba TEC Corp. | 420,712 | ||||||||
255,000 | Toyo Ink SC Holdings Co., Ltd. | 1,190,209 | ||||||||
74,000 | Toyo Suisan Kaisha, Ltd.‡ | 2,455,536 | ||||||||
101,700 | Toyo Tire & Rubber Co., Ltd. | 1,738,343 | ||||||||
25,400 | Toyota Industries Corp. | 1,227,221 | ||||||||
29,900 | Toyota Motor Corp. | 1,761,645 | ||||||||
126,800 | Toyota Tsusho Corp. | 3,088,651 | ||||||||
63,300 | TS Tech Co., Ltd. | 1,538,427 | ||||||||
92,000 | Tsubakimoto Chain Co. | 759,852 | ||||||||
37,000 | Ushio, Inc. | 390,592 | ||||||||
260,970 | USS Co., Ltd. | 3,996,806 | ||||||||
95,900 | Yamaha Corp.‡ | 1,252,789 | ||||||||
437,662 | Yamato Holdings Co., Ltd.‡ | 8,145,193 | ||||||||
195,000 | Yokohama Rubber Co., Ltd. (The) | 1,686,996 | ||||||||
|
| |||||||||
Total Japan | 404,406,283 | |||||||||
|
| |||||||||
Luxembourg — 0.7% | ||||||||||
209,620 | Gagfah SA* | 3,905,836 | ||||||||
160,348 | Subsea 7 SA | 2,290,597 | ||||||||
204,949 | Tenaris SA | 4,699,068 | ||||||||
70,315 | Tenaris SA, ADR | 3,202,848 | ||||||||
|
| |||||||||
Total Luxembourg | 14,098,349 | |||||||||
|
| |||||||||
Malaysia — 0.2% | ||||||||||
950,000 | Genting Malaysia Bhd | 1,210,486 | ||||||||
430,400 | Sime Darby Bhd | 1,200,475 | ||||||||
328,600 | Tenaga Nasional Bhd | 1,240,076 | ||||||||
|
| |||||||||
Total Malaysia | 3,651,037 | |||||||||
|
|
44 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Malta — 0.1% | ||||||||||
26,735 | Unibet Group Plc, ADR | 1,346,319 | ||||||||
|
| |||||||||
Mexico — 0.4% | ||||||||||
528,910 | Cemex SAB de CV, Sponsored ADR* | 6,896,986 | ||||||||
|
| |||||||||
Netherlands — 4.1% | ||||||||||
660,000 | Aegon NV | 5,446,022 | ||||||||
107,528 | Aegon NV, ADR | 883,880 | ||||||||
134,259 | Akzo Nobel NV | 9,200,945 | ||||||||
35,966 | ASM International NV | 1,307,365 | ||||||||
114,270 | ASML Holding NV | 11,377,790 | ||||||||
72,154 | BinckBank NV | 718,433 | ||||||||
16,854 | Eurocommercial Properties NV REIT | 742,411 | ||||||||
17,435 | Heineken Holding NV | 1,153,437 | ||||||||
148,912 | Heineken NV | 11,143,818 | ||||||||
1,233,231 | ING Groep NV, ADR* | 17,619,611 | ||||||||
146,595 | Koninklijke Ahold NV | 2,374,086 | ||||||||
41,926 | Koninklijke Boskalis Westminster NV | 2,361,091 | ||||||||
62,590 | Nutreco NV | 2,278,705 | ||||||||
187,437 | PostNL NV* | 810,024 | ||||||||
68,002 | QIAGEN NV* | 1,548,840 | ||||||||
446,877 | STMicroelectronics NV‡ | 3,463,314 | ||||||||
98,617 | TomTom NV* | 786,959 | ||||||||
138,890 | Unilever NV, ADR | 5,532,026 | ||||||||
32,566 | Unilever NV (Dutch Certificate), ADR | 1,292,219 | ||||||||
10,964 | Vastned Retail NV REIT | 501,588 | ||||||||
|
| |||||||||
Total Netherlands | 80,542,564 | |||||||||
|
| |||||||||
New Zealand — 0.4% | ||||||||||
935,185 | Air New Zealand, Ltd. | 1,414,124 | ||||||||
217,356 | Auckland International Airport, Ltd. | 652,260 | ||||||||
334,864 | Fisher & Paykel Healthcare Corp., Ltd. | 1,354,640 | ||||||||
251,223 | Ryman Healthcare, Ltd. | 1,529,321 | ||||||||
526,846 | Sky Network Television, Ltd. | 2,587,096 | ||||||||
510,132 | Spark New Zealand, Ltd. | 1,180,938 | ||||||||
|
| |||||||||
Total New Zealand | 8,718,379 | |||||||||
|
| |||||||||
Norway — 1.7% | ||||||||||
2,235 | Aker ASA | 73,424 | ||||||||
432,456 | DnB NOR ASA | 8,100,028 | ||||||||
110,611 | Fred Olsen Energy ASA | 2,032,167 | ||||||||
66,908 | Gjensidige Forsikring ASA | 1,415,717 | ||||||||
15,366 | Leroy Seafood Group ASA | 592,127 | ||||||||
104,647 | Marine Harvest ASA | 1,464,757 | ||||||||
409,665 | Norsk Hydro ASA | 2,292,376 | ||||||||
157,623 | Orkla ASA | 1,425,853 | ||||||||
51,048 | Salmar ASA | 902,098 | ||||||||
91,036 | SpareBank 1 SMN | 839,809 | ||||||||
138,990 | Statoil ASA | 3,791,374 |
See accompanying Notes to the Financial Statements. | 45 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Norway — continued | ||||||||||
547,871 | Storebrand ASA* | 3,050,386 | ||||||||
95,334 | TGS Nopec Geophysical Co. ASA‡ | 2,426,859 | ||||||||
110,927 | Yara International ASA | 5,571,609 | ||||||||
|
| |||||||||
Total Norway | 33,978,584 | |||||||||
|
| |||||||||
Portugal — 0.2% | ||||||||||
782,528 | Banco Espirito Santo SA* **** ¤ | 118,624 | ||||||||
60,872 | CTT-Correios de Portugal SA | 591,719 | ||||||||
925,333 | EDP - Energias de Portugal SA | 4,038,642 | ||||||||
|
| |||||||||
Total Portugal | 4,748,985 | |||||||||
|
| |||||||||
Singapore — 0.4% | ||||||||||
197,000 | DBS Group Holdings, Ltd. | 2,845,401 | ||||||||
553,144 | UOL Group, Ltd. | 2,866,998 | ||||||||
2,962,243 | Yangzijiang Shipbuilding Holdings, Ltd.‡ | 2,740,882 | ||||||||
|
| |||||||||
Total Singapore | 8,453,281 | |||||||||
|
| |||||||||
South Africa — 0.2% | ||||||||||
116,167 | Foschini Group, Ltd. (The) | 1,205,034 | ||||||||
43,851 | Kumba Iron Ore, Ltd.‡ | 1,034,462 | ||||||||
21,915 | Sasol, Ltd. | 1,189,703 | ||||||||
|
| |||||||||
Total South Africa | 3,429,199 | |||||||||
|
| |||||||||
South Korea — 0.4% | ||||||||||
15,024 | Daelim Industrial Co., Ltd. | 1,074,923 | ||||||||
41,827 | Hyundai Marine & Fire Insurance Co., Ltd. | 1,153,438 | ||||||||
5,887 | Hyundai Motor Co. | 1,062,756 | ||||||||
22,305 | Kia Motors Corp. | 1,135,066 | ||||||||
30,150 | Korea Electric Power Corp. | 1,377,143 | ||||||||
37,133 | KT Corp. | 1,206,976 | ||||||||
1,099 | Samsung Electronics Co., Ltd. | 1,233,088 | ||||||||
|
| |||||||||
Total South Korea | 8,243,390 | |||||||||
|
| |||||||||
Spain — 3.9% | ||||||||||
89,948 | Abengoa SA | 475,187 | ||||||||
27,332 | Abertis Infraestructuras SA | 540,005 | ||||||||
4,982 | Acciona SA* | 372,953 | ||||||||
60,164 | Acerinox SA | 924,946 | ||||||||
60,972 | ACS Actividades de Construccion y Servicios SA | 2,343,036 | ||||||||
3,878 | Almirall SA* | 56,925 | ||||||||
258,854 | Amadeus IT Holding SA | 9,685,660 | ||||||||
163,070 | Banco Bilbao Vizcaya Argentaria SA | 1,967,488 | ||||||||
891,367 | Banco Santander SA | 8,570,133 | ||||||||
156,695 | Banco Santander SA, Sponsored ADR | 1,488,602 | ||||||||
5,110,500 | Bankia SA* | 9,541,730 | ||||||||
6,615 | Construcciones y Auxiliar de Ferrocarriles SA | 2,211,103 | ||||||||
463,946 | Duro Felguera SA | 2,209,521 | ||||||||
6,965 | Ebro Foods SA‡ | 132,066 |
46 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Spain — continued | ||||||||||
69,185 | Endesa SA | 2,734,245 | ||||||||
72,977 | Gamesa Corp. Tecnologica SA* | 804,618 | ||||||||
148,113 | Gas Natural SDG SA | 4,361,388 | ||||||||
30,883 | Grifols SA | 1,265,580 | ||||||||
15,440 | Grifols SA, ADR | 542,407 | ||||||||
1,753,032 | Iberdrola SA | 12,556,314 | ||||||||
67,843 | Indra Sistemas SA‡ | 951,300 | ||||||||
20,191 | Let’s GOWEX SA* **** ¤ | 202,010 | ||||||||
686,390 | Mapfre SA | 2,431,298 | ||||||||
189,352 | Prosegur Cia de Seguridad SA | 1,176,859 | ||||||||
282,450 | Repsol VPF SA | 6,707,933 | ||||||||
163,222 | Telefonica SA | 2,526,861 | ||||||||
12,264 | Viscofan SA | 672,374 | ||||||||
|
| |||||||||
Total Spain | 77,452,542 | |||||||||
|
| |||||||||
Sweden — 2.3% | ||||||||||
80,966 | Holmen AB | 2,468,832 | ||||||||
18,825 | Hufvudstaden AB | 234,777 | ||||||||
142,983 | Industrivarden AB Class C | 2,501,270 | ||||||||
38,269 | Investor AB Class B | 1,354,843 | ||||||||
76,753 | JM AB | 2,457,493 | ||||||||
20,045 | Peab AB | 138,233 | ||||||||
926,590 | Skandinaviska Enskilda Banken AB | 12,391,554 | ||||||||
245,187 | Svenska Cellulosa AB Class B | 5,853,821 | ||||||||
1,352,622 | Telefonaktiebolaget LM Ericsson | 17,188,304 | ||||||||
|
| |||||||||
Total Sweden | 44,589,127 | |||||||||
|
| |||||||||
Switzerland — 7.7% | ||||||||||
12,238 | Actelion, Ltd.* | 1,438,333 | ||||||||
12,028 | Ascom Holding AG | 168,682 | ||||||||
19,625 | Baloise-Holding AG | 2,516,026 | ||||||||
8,695 | Bucher Industries AG | 2,236,767 | ||||||||
179 | Chocoladefabriken Lindt & Spruengli AG | 893,782 | ||||||||
90,246 | Credit Suisse Group AG* | 2,500,064 | ||||||||
2,447 | Forbo Holding AG* | 2,498,219 | ||||||||
1,235 | Galenica AG | 1,087,007 | ||||||||
31,709 | GAM Holding AG* | 547,565 | ||||||||
21,765 | Geberit AG | 7,034,047 | ||||||||
3,852 | Georg Fischer AG* | 2,267,661 | ||||||||
8,758 | Givaudan SA* | 14,005,467 | ||||||||
5,164 | Helvetia Holding AG | 2,504,986 | ||||||||
50,039 | Julius Baer Group, Ltd.* | 2,244,030 | ||||||||
1,016 | Kaba Holding AG* | 472,113 | ||||||||
37,689 | Kudelski SA | 491,081 | ||||||||
97,370 | Logitech International SA‡ | 1,253,429 | ||||||||
366,280 | Nestle SA | 26,929,534 | ||||||||
418,805 | Novartis AG | 39,513,627 | ||||||||
4,075 | Rieter Holding AG* | 823,103 | ||||||||
73,176 | Roche Holding AG | 21,680,927 |
See accompanying Notes to the Financial Statements. | 47 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Switzerland — continued | ||||||||||
46,015 | Roche Holding AG, Sponsored ADR | 1,702,095 | ||||||||
10,963 | Schindler Holding AG | 1,486,975 | ||||||||
304 | Sika AG | 1,053,739 | ||||||||
16,534 | Sonova Holding AG | 2,640,595 | ||||||||
10,177 | Swiss Life Holding* | 2,430,551 | ||||||||
68,320 | Temenos Group AG* | 2,599,092 | ||||||||
2,607 | U-Blox AG* | 322,499 | ||||||||
25,025 | Zurich Insurance Group AG* | 7,459,048 | ||||||||
|
| |||||||||
Total Switzerland | 152,801,044 | |||||||||
|
| |||||||||
Taiwan — 0.5% | ||||||||||
514,890 | Taiwan Semiconductor Manufacturing Co., Ltd., Sponsored ADR | 10,390,480 | ||||||||
|
| |||||||||
Thailand — 0.1% | ||||||||||
252,600 | PTT Exploration & Production PCL | 1,246,445 | ||||||||
634,000 | PTT Global Chemical PCL | 1,192,722 | ||||||||
|
| |||||||||
Total Thailand | 2,439,167 | |||||||||
|
| |||||||||
United Kingdom — 16.2% | ||||||||||
390,866 | Aberdeen Asset Management Plc | 2,537,778 | ||||||||
1,811,302 | Afren Plc* | 3,039,166 | ||||||||
596,381 | Amlin Plc | 4,196,012 | ||||||||
215,471 | Antofagasta Plc | 2,518,531 | ||||||||
926,759 | Ashtead Group Plc | 15,670,194 | ||||||||
221,507 | Associated British Foods Plc | 9,620,185 | ||||||||
38,633 | AstraZeneca Plc | 2,781,707 | ||||||||
182,647 | AstraZeneca Plc, Sponsored ADR | 13,048,302 | ||||||||
325,316 | Aviva Plc | 2,760,866 | ||||||||
67,420 | Beazley Plc | 297,946 | ||||||||
108,064 | Bellway Plc | 2,745,196 | ||||||||
43,526 | Berendsen Plc | 691,509 | ||||||||
71,683 | Berkeley Group Holdings Plc | 2,614,700 | ||||||||
363,174 | BG Group Plc | 6,711,859 | ||||||||
356,152 | BP Plc | 2,618,111 | ||||||||
150,743 | British American Tobacco Plc | 8,509,209 | ||||||||
194,528 | British Sky Broadcasting Group Plc | 2,781,467 | ||||||||
1,433,706 | BT Group Plc | 8,822,863 | ||||||||
12,849 | BT Group Plc, Sponsored ADR | 789,957 | ||||||||
164,344 | BTG Plc* | 1,864,984 | ||||||||
352,302 | Bunzl Plc | 9,195,265 | ||||||||
465,390 | Cairn Energy Plc* | 1,331,634 | ||||||||
1,422,062 | Cobham Plc | 6,710,950 | ||||||||
824,952 | Compass Group Plc | 13,326,903 | ||||||||
68,639 | Dialog Semiconductor Plc* | 1,928,824 | ||||||||
174,031 | Evraz Plc | 366,769 | ||||||||
610,980 | Friends Life Group, Ltd. | 3,051,701 | ||||||||
483,862 | GKN Plc | 2,503,846 | ||||||||
510,585 | GlaxoSmithKline Plc | 11,695,895 | ||||||||
275,642 | GlaxoSmithKline Plc, Sponsored ADR | 12,671,263 |
48 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
387,605 | Halma Plc | 3,845,599 | ||||||||
94,232 | Hargreaves Lansdown Plc | 1,443,622 | ||||||||
15,861 | Hikma Pharmaceuticals Plc | 445,607 | ||||||||
631,534 | HSBC Holdings Plc | 6,410,083 | ||||||||
275,516 | IG Group Holdings Plc | 2,655,351 | ||||||||
139,808 | J Sainsbury Plc‡ | 570,024 | ||||||||
175,375 | Jardine Lloyd Thompson Group Plc | 2,766,329 | ||||||||
623,869 | Man Group Plc | 1,201,526 | ||||||||
359,247 | Meggitt Plc | 2,627,759 | ||||||||
167,075 | Mondi Plc | 2,738,331 | ||||||||
1,863,052 | Old Mutual Plc | 5,487,862 | ||||||||
523,411 | Pace Plc | 2,529,461 | ||||||||
718,032 | QinetiQ Group Plc | 2,613,265 | ||||||||
300,054 | Reckitt Benckiser Group Plc | 26,024,144 | ||||||||
1,652,130 | Royal Bank of Scotland Group Plc* | 9,861,688 | ||||||||
61,502 | Royal Dutch Shell Plc Class A (Amsterdam Exchange) | 2,356,022 | ||||||||
133,925 | Royal Dutch Shell Plc Class A (London Exchange) | 5,120,599 | ||||||||
89,394 | Shire Plc | 7,738,787 | ||||||||
791,774 | Smith & Nephew Plc | 13,349,279 | ||||||||
25,179 | Smith & Nephew Plc, Sponsored ADR | 2,119,820 | ||||||||
78,002 | Spectris Plc | 2,286,269 | ||||||||
695,314 | St James’s Place Plc | 8,228,621 | ||||||||
140,050 | Standard Chartered Plc | 2,635,034 | ||||||||
396,829 | Standard Life Plc* | 2,665,916 | ||||||||
167,928 | TalkTalk Telecom Group Plc | 813,987 | ||||||||
246,783 | Tate & Lyle Plc | 2,366,428 | ||||||||
1,517,493 | Taylor Wimpey Plc | 2,774,975 | ||||||||
95,856 | Ultra Electronics Holdings Plc | 2,752,080 | ||||||||
26,178 | Unilever Plc, Sponsored ADR | 1,096,858 | ||||||||
119,637 | United Business Media, Ltd. | 1,130,726 | ||||||||
251,831 | Vedanta Resources Plc | 4,076,435 | ||||||||
2,855,731 | Vodafone Group Plc | 9,462,839 | ||||||||
242,130 | Weir Group Plc (The) | 9,821,078 | ||||||||
160,698 | Whitbread Plc | 10,821,818 | ||||||||
|
| |||||||||
Total United Kingdom | 320,241,814 | |||||||||
|
| |||||||||
United States — 0.7% | ||||||||||
68,442 | Analog Devices, Inc. | 3,387,195 | ||||||||
64,052 | Sigma-Aldrich Corp. | 8,711,712 | ||||||||
49,942 | Texas Instruments, Inc. | 2,381,734 | ||||||||
|
| |||||||||
Total United States | 14,480,641 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $1,686,490,534) | 1,813,887,865 | |||||||||
|
| |||||||||
INVESTMENT COMPANY — 0.9% | ||||||||||
United States — 0.9% | ||||||||||
281,789 | iShares MSCI EAFE Index Fund | 18,068,311 | ||||||||
|
| |||||||||
TOTAL INVESTMENT COMPANY (COST $17,470,012) | 18,068,311 | |||||||||
|
|
See accompanying Notes to the Financial Statements. | 49 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
PREFERRED STOCKS — 0.9% | ||||||||||
Brazil — 0.1% | ||||||||||
59,900 | Telefonica Brasil SA, 7.29% | 1,183,524 | ||||||||
|
| |||||||||
Germany — 0.8% | ||||||||||
11,957 | Bayerische Motoren Werke AG, 4.04% | 973,195 | ||||||||
100,964 | Henkel AG & Co. KGaA, 1.58% | 10,083,531 | ||||||||
28,649 | Porsche Automobil Holding SE, 3.18% | 2,295,947 | ||||||||
10,882 | Volkswagen AG, 2.55% | 2,259,955 | ||||||||
|
| |||||||||
Total Germany | 15,612,628 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $14,783,224) | 16,796,152 | |||||||||
|
| |||||||||
RIGHTS — 0.0% | ||||||||||
Italy — 0.0% | ||||||||||
617,294 | Beni Stabili Spa REIT, Strike Price $8.50, Expires 10/17/2014* | 12,866 | ||||||||
|
| |||||||||
Spain — 0.0% |
| |||||||||
163,070 | Banco Bilbao Vizcaya Argentaria SA, Strike Price $8.50, Expires 10/13/2014* ‡ | 16,274 | ||||||||
|
| |||||||||
TOTAL RIGHTS (COST $16,550) | 29,140 | |||||||||
|
| |||||||||
Notional | Description | Value ($) | ||||||||
OPTIONS PURCHASED — 0.0% | ||||||||||
Call Options — 0.0% |
| |||||||||
4,781,405 | OTC Euro versus Japanese Yen with Deutsche Bank AG, Strike Price $0.01, Expires 09/18/15 | 38,469 | ||||||||
3,191,417 | OTC Euro versus Japanese Yen with JP Morgan Chase Bank, N.A., Strike Price $0.01, Expires 07/03/15 | 2,641 | ||||||||
3,357,745 | OTC Euro versus Japanese Yen with JP Morgan Chase Bank, N.A., Strike Price $0.01, Expires 10/03/14 | — | ||||||||
9,336,730 | OTC Euro versus Japanese Yen with UBS AG, Strike Price $0.01, Expires 04/24/15 | 16,277 | ||||||||
|
| |||||||||
TOTAL CALL OPTIONS PURCHASED (COST $373,961) | 57,387 | |||||||||
|
| |||||||||
Put Options — 0.0% |
| |||||||||
1,181,029,408 | OTC Japanese Yen versus U.S. Dollar with JP Morgan Chase Bank, N.A., Strike Price $111.00, Expires 10/03/14 | 65 | ||||||||
1,181,029,408 | OTC Japanese Yen versus U.S. Dollar with JP Morgan Chase Bank, N.A., Strike Price $116.50, Expires 07/03/15 | 89,760 | ||||||||
|
| |||||||||
TOTAL PUT OPTIONS PURCHASED (COST $152,661) | 89,825 | |||||||||
|
| |||||||||
TOTAL OPTIONS PURCHASED (COST $526,622) | 147,212 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 11.7% | ||||||||||
Bank Deposit — 6.0% |
| |||||||||
118,843,304 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/01/14 | 118,843,304 | ||||||||
|
|
50 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Securities Lending Collateral — 5.7% |
| |||||||||
113,444,072 | State Street Navigator Securities Lending Prime Portfolio*** | 113,444,072 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $232,287,376) | 232,287,376 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 105.3% (Cost $1,951,574,318) | 2,081,216,056 | |||||||||
Other Assets and Liabilities (net) — (5.3)% | (105,355,544 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 1,975,860,512 | ||||||||
|
| |||||||||
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 this security at period end is $320,634 which represents 0.0% of net assets. The aggregate tax cost of this security held at September 30, 2014 was $1,457,972. | |||||||||
*** | 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 $320,634 which represents 0.0% of net assets. The aggregate tax cost of these securities held at September 30, 2014 was $1,457,972. |
See accompanying Notes to the Financial Statements. | 51 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
953 | MSCI EAFE E-mini Index | December 2014 | $ | 87,661,705 | $ | (2,508,979 | ) | |||||||||||
|
|
52 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Pharmaceuticals | 8.9 | ||||
Banks | 6.6 | ||||
Telecommunications | 6.3 | ||||
Insurance | 5.7 | ||||
Chemicals | 4.8 | ||||
Oil & Gas | 4.4 | ||||
Food | 4.3 | ||||
Electronics | 3.0 | ||||
Electric | 2.6 | ||||
Semiconductors | 2.5 | ||||
Commercial Services | 2.2 | ||||
Transportation | 2.2 | ||||
Auto Manufacturers | 2.0 | ||||
Building Materials | 2.0 | ||||
Retail | 2.0 | ||||
Real Estate | 1.9 | ||||
Household Products & Wares | 1.8 | ||||
Health Care — Products | 1.7 | ||||
Software | 1.7 | ||||
Auto Parts & Equipment | 1.6 | ||||
Computers | 1.6 | ||||
Diversified Financial Services | 1.6 | ||||
Beverages | 1.5 | ||||
Machinery — Diversified | 1.5 | ||||
Agriculture | 1.2 | ||||
Cosmetics & Personal Care | 1.0 | ||||
Forest Products & Paper | 1.0 | ||||
Electrical Components & Equipment | 0.9 | ||||
Unaffiliated Fund | 0.9 | ||||
Gas | 0.8 | ||||
Media | 0.8 | ||||
Metal Fabricate & Hardware | 0.8 | ||||
Office & Business Equipment | 0.8 | ||||
Aerospace & Defense | 0.7 | ||||
Food Service | 0.7 | ||||
Home Furnishings | 0.7 | ||||
Internet | 0.7 | ||||
Iron & Steel | 0.7 | ||||
Miscellaneous — Manufacturing | 0.7 | ||||
Engineering & Construction | 0.6 | ||||
Holding Companies — Diversified | 0.6 | ||||
Lodging | 0.6 | ||||
Machinery — Construction & Mining | 0.6 | ||||
Distribution & Wholesale | 0.5 | ||||
Home Builders | 0.5 | ||||
Mining | 0.5 | ||||
Oil & Gas Services | 0.5 | ||||
Hand & Machine Tools | 0.4 | ||||
Biotechnology | 0.3 | ||||
Health Care — Services | 0.3 | ||||
Investment Companies | 0.3 |
See accompanying Notes to the Financial Statements. | 53 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Apparel | 0.2 | ||||
Entertainment | 0.2 | ||||
REITS | 0.2 | ||||
Airlines | 0.1 | ||||
Coal | 0.1 | ||||
Energy — Alternate Sources | 0.1 | ||||
Leisure Time | 0.1 | ||||
Shipbuilding | 0.1 | ||||
Environmental Control | 0.0 | ||||
Textiles | 0.0 | ||||
Water | 0.0 | ||||
Short-Term Investments and Other Assets and Liabilities (net) | 6.4 | ||||
|
| ||||
100.0 | % | ||||
|
|
54 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 97.8% | ||||||||||
Asset Backed Securities — 10.8% | ||||||||||
750,000 | A Voce CLO, Ltd., Series 2014-1A, Class A1A, 1.68%, due 07/15/26† 144A | 748,775 | ||||||||
1,700,000 | AIMCO CLO, Series 2014-AA, Class A, 1.76%, due 07/20/26† 144A | 1,704,245 | ||||||||
1,000,000 | AIMCO CLO, Series 2014-AA, Class B1, 2.22%, due 07/20/26† 144A | 982,784 | ||||||||
1,500,000 | AIMCO CLO, Series 2014-AA, Class B2, 4.58%, due 07/20/26 144A | 1,489,211 | ||||||||
3,100,000 | Ally Auto Receivables Trust, Series 2014-2, Class A4, 1.89%, due 01/15/20 | 3,102,691 | ||||||||
250,000 | ALM XI, Ltd., Series 2014-11A, Class A2A, 2.23%, due 10/17/26† 144A | 245,175 | ||||||||
1,000,000 | American Express Credit Account Master Trust, Series 2013-1, Class B, 0.85%, due 02/16/21† | 1,007,258 | ||||||||
400,123 | Ameriquest Mortgage Securities, Inc., Series 2003-9, Class AV1, 0.92%, due 09/25/33† | 387,454 | ||||||||
277,116 | Ameriquest Mortgage Securities, Inc., Series 2004-R2, Class A1A, 0.85%, due 04/25/34† | 275,373 | ||||||||
1,000,000 | Anchorage Capital CLO 3, Ltd., Series 2014-3A, Class A2A, 2.52%, due 04/28/26† 144A | 980,921 | ||||||||
468,027 | Asset Backed Securities Corp. Home Equity, Series 2003-HE7, Class M1, 1.13%, due 12/15/33† | 451,080 | ||||||||
13,669 | Bayview Financial Acquisition Trust, Series 2004-C, Class A1, 0.78%, due 05/28/44† | 13,669 | ||||||||
100,447 | Bear Stearns Asset Backed Securities Trust, Series 2004-SD3, Class A3, 0.72%, due 09/25/34† | 98,440 | ||||||||
7,300,000 | BMW Vehicle Lease Trust, Series 2014-1, Class A4, 0.99%, due 08/21/17 | 7,306,906 | ||||||||
1,233,707 | BNSF Railway Co. 2007-1 Pass Through Trust, 6.00%, due 04/01/24 | 1,377,310 | ||||||||
700,397 | Burlington Northern and Santa Fe Railway Co. 2006-1 Pass Through Trust, 5.72%, due 01/15/24 | 798,969 | ||||||||
2,900,000 | Chase Issuance Trust, Series 2012-A3, Class A3, 0.79%, due 06/15/17 | 2,907,797 | ||||||||
2,360,000 | Chase Issuance Trust, Series 2012-A8, Class A8, 0.54%, due 10/16/17 | 2,360,201 | ||||||||
765,000 | Chase Issuance Trust, Series 2013-A5, Class A, 0.47%, due 05/15/17 | 765,357 | ||||||||
1,900,000 | Chase Issuance Trust, Series 2013-A8, Class A8, 1.01%, due 10/15/18 | 1,898,592 | ||||||||
719,134 | Colony American Homes, Series 2014-1A, Class A, 1.40%, due 05/17/31† 144A | 721,760 | ||||||||
3,198,940 | CVS Pass-Through Trust, 7.51%, due 01/10/32 144A | 4,077,184 | ||||||||
1,195,178 | Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.82%, due 02/10/24 | 1,392,382 | ||||||||
1,000,000 | Ford Credit Auto Owner Trust, Series 2014-1, Class A, 2.26%, due 11/15/25 144A | 1,000,347 | ||||||||
3,320,000 | Ford Credit Floorplan Master Owner Trust, Series 2013-5, Class A1, 1.50%, due 09/15/18 | 3,355,038 | ||||||||
5,000,000 | Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.44%, due 03/10/39 | 5,390,912 | ||||||||
380,186 | Home Equity Asset Trust, Series 2003-8, Class M1, 1.23%, due 04/25/34† | 362,600 | ||||||||
3,500,000 | HSBC Home Equity Loan Trust, Series 2006-3, Class M1, 0.41%, due 03/20/36† | 3,396,400 | ||||||||
3,450,000 | Invitation Homes Trust, Series 2014-SFR1, Class A, 1.15%, due 06/17/31† 144A | 3,434,815 | ||||||||
500,000 | KVK CLO, Ltd., Series 2014-2A, Class A, 1.80%, due 07/15/26† 144A | 498,956 | ||||||||
1,750,000 | Magnetite CLO, Ltd., Series 2014-8A, Class A, 1.71%, due 04/15/26† 144A | 1,752,366 | ||||||||
750,000 | Magnetite CLO, Ltd., Series 2014-9A, Class A1, 1.70%, due 07/25/26† 144A | 749,623 | ||||||||
1,570,000 | MMAF Equipment Finance LLC, Series 2014-AA, Class A5, 2.33%, due 12/08/25 144A | 1,560,134 | ||||||||
337,628 | Morgan Stanley ABS Capital I, Series 2003-NC10, Class M1, 1.17%, due 10/25/33† | 320,474 | ||||||||
389,908 | Morgan Stanley ABS Capital I, Series 2003-NC6, Class M1, 1.35%, due 06/25/33† | 380,565 | ||||||||
240,002 | Morgan Stanley ABS Capital I, Series 2003-NC7, Class M1, 1.20%, due 06/25/33† | 227,677 | ||||||||
380,698 | New Century Home Equity Loan Trust, Series 2003-A, Class A, 0.87%, due 10/25/33† 144A | 361,737 |
See accompanying Notes to the Financial Statements. | 55 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Asset Backed Securities — continued | ||||||||||
1,200,000 | Palmer Square CLO, Ltd., Series 2014-1A, Class A2, 2.11%, due 10/17/22† 144A | 1,185,373 | ||||||||
750,000 | Regatta IV Funding CLO, Ltd., Series 2014-1A, Class A2, 1.80%, due 07/25/26† 144A | 751,880 | ||||||||
886,377 | Saxon Asset Securities Trust, Series 2005-1, Class M1, 0.85%, due 05/25/35† | 839,600 | ||||||||
1,000,000 | Seneca Park CLO, Ltd., Series 2014-1A, Class A, 1.70%, due 07/17/26† 144A | 1,000,943 | ||||||||
500,000 | Seneca Park CLO, Ltd., Series 2014-1A, Class B2, 4.35%, due 07/17/26 144A | 489,722 | ||||||||
428,182 | SLM Student Loan Trust, Series 2008-5, Class A3, 1.53%, due 01/25/18† | 430,857 | ||||||||
563,647 | SLM Student Loan Trust, Series 2010-1, Class A, 0.55%, due 03/25/25† | 564,074 | ||||||||
2,000,000 | SLM Student Loan Trust, Series 2012-B, Class A2, 3.48%, due 10/15/30 144A | 2,084,624 | ||||||||
352,901 | Small Business Administration Participation Certificates, Series 2008-20L, Class 1, 6.22%, due 12/01/28 | 400,732 | ||||||||
2,602,832 | Small Business Administration Participation Certificates, Series 2010-20D, Class 1, 4.36%, due 04/01/30 | 2,806,747 | ||||||||
1,755,508 | Small Business Administration Participation Certificates, Series 2010-20G, Class 1, 3.80%, due 07/01/30 | 1,857,292 | ||||||||
2,188,435 | Small Business Administration Participation Certificates, Series 2010-20I, Class 1, 3.21%, due 09/01/30 | 2,238,239 | ||||||||
1,964,711 | Small Business Administration Participation Certificates, Series 2011-20F, Class 1, 3.67%, due 06/01/31 | 2,055,364 | ||||||||
3,625,340 | Small Business Administration Participation Certificates, Series 2012-20C, Class 1, 2.51%, due 03/01/32 | 3,570,728 | ||||||||
4,775,154 | Small Business Administration Participation Certificates, Series 2013-20A, Class 1, 2.13%, due 01/01/33 | 4,592,158 | ||||||||
3,497,779 | Small Business Administration Participation Certificates, Series 2013-20H, Class 1, 3.16%, due 08/01/33 | 3,568,397 | ||||||||
4,794,385 | Small Business Administration Participation Certificates, Series 2014-20C, Class 1, 3.21%, due 03/01/34 | 4,900,235 | ||||||||
6,500,000 | Small Business Administration Participation Certificates, Series 2014-20D, Class 1, 3.11%, due 04/01/34 | 6,605,931 | ||||||||
3,015,000 | Small Business Administration Participation Certificates, Series 2014-20I, Class 1, 2.92%, due 09/01/34 | 3,015,000 | ||||||||
911,673 | Southwest Airlines Co. 2007-1 Pass Through Trust, 6.15%, due 02/01/24 | 1,047,056 | ||||||||
64,756 | UAL Pass Through Trust, Series 2009-2A, 9.75%, due 07/15/18 | 73,174 | ||||||||
1,300,000 | Washington Mill CLO, Ltd., Series 2014-1A, Class A1, 1.73%, due 04/20/26† 144A | 1,301,273 | ||||||||
500,000 | Washington Mill CLO, Ltd., Series 2014-1A, Class B2, 4.25%, due 04/20/26 144A | 490,469 | ||||||||
|
| |||||||||
103,755,046 | ||||||||||
|
| |||||||||
Corporate Debt — 33.8% | ||||||||||
1,600,000 | 21st Century Fox America, Inc., 6.15%, due 02/15/41 | 1,905,069 | ||||||||
20,000 | 21st Century Fox America, Inc., 6.75%, due 01/09/38 | 24,582 | ||||||||
400,000 | Actavis Funding SCS, 3.85%, due 06/15/24 144A | 388,525 | ||||||||
180,000 | Activision Blizzard, Inc., 5.63%, due 09/15/21 144A | 187,650 | ||||||||
280,000 | AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust, 3.75%, due 05/15/19 144A | 271,950 | ||||||||
680,000 | AES Corp. (The), Senior Note, 8.00%, due 06/01/20 | 783,700 | ||||||||
750,000 | Aetna, Inc., 4.75%, due 03/15/44 | 765,562 | ||||||||
1,700,000 | AgriBank FCB, 9.13%, due 07/15/19 | 2,166,825 | ||||||||
470,000 | Agrium, Inc., 4.90%, due 06/01/43 | 478,785 | ||||||||
410,000 | Altria Group, Inc., 2.85%, due 08/09/22 | 393,395 | ||||||||
390,000 | Altria Group, Inc., 4.75%, due 05/05/21 | 425,456 |
56 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
150,000 | Altria Group, Inc., 9.95%, due 11/10/38 | 248,771 | ||||||||
620,000 | America Movil SAB de CV, 5.00%, due 03/30/20 | 681,572 | ||||||||
150,000 | America Movil SAB de CV, Guaranteed Senior Note, 5.63%, due 11/15/17 | 167,472 | ||||||||
4,059,063 | American Airlines 2013-2 Class A Pass Through Trust, 4.95%, due 07/15/24 | 4,353,345 | ||||||||
300,000 | American International Group, Inc., 5.85%, due 01/16/18 | 337,732 | ||||||||
1,470,000 | American International Group, Inc., 6.40%, due 12/15/20 | 1,751,174 | ||||||||
680,000 | Amgen, Inc., 5.65%, due 06/15/42 | 775,219 | ||||||||
250,000 | Anadarko Finance Co., Senior Note, 7.50%, due 05/01/31 | 339,474 | ||||||||
220,000 | Anadarko Petroleum Corp., 6.38%, due 09/15/17 | 249,544 | ||||||||
8,000,000 | Anadarko Petroleum Corp., 7.14%, due 10/10/36‡‡ | 3,042,576 | ||||||||
2,000,000 | Anheuser-Busch InBev Finance, Inc., 4.00%, due 01/17/43 | 1,847,048 | ||||||||
290,000 | Anheuser-Busch InBev Worldwide, Inc., 2.50%, due 07/15/22 | 274,512 | ||||||||
570,000 | Anheuser-Busch InBev Worldwide, Inc., 5.00%, due 04/15/20 | 637,088 | ||||||||
340,000 | Anheuser-Busch InBev Worldwide, Inc., 5.38%, due 01/15/20 | 384,030 | ||||||||
1,280,000 | ANR Pipeline Co., 9.63%, due 11/01/21 | 1,809,792 | ||||||||
160,000 | ArcelorMittal, 5.00%, due 02/25/17 | 165,984 | ||||||||
150,000 | AT&T, Inc., 2.63%, due 12/01/22‡ | 142,155 | ||||||||
4,000,000 | AT&T, Inc., 3.63%, due 11/27/22‡‡ 144A ¤ | 3,073,104 | ||||||||
120,000 | AT&T, Inc., 3.88%, due 08/15/21 | 125,970 | ||||||||
10,000 | AT&T, Inc., 4.45%, due 05/15/21 | 10,844 | ||||||||
435,000 | AT&T, Inc., 4.80%, due 06/15/44 | 430,269 | ||||||||
610,000 | AT&T, Inc., Global Note, 5.50%, due 02/01/18 | 682,719 | ||||||||
1,675,000 | AT&T, Inc., Global Note, 6.55%, due 02/15/39 | 2,107,636 | ||||||||
3,125,000 | BAC Capital Trust XI, 6.63%, due 05/23/36 | 3,591,209 | ||||||||
2,600,000 | BAE Systems Holdings, Inc., 6.38%, due 06/01/19 144A | 3,030,001 | ||||||||
610,000 | Ball Corp., 5.75%, due 05/15/21 | 635,162 | ||||||||
600,000 | Bank of America Corp., 2.60%, due 01/15/19 | 599,193 | ||||||||
350,000 | Bank of America Corp., 3.30%, due 01/11/23 | 341,729 | ||||||||
140,000 | Bank of America Corp., 3.88%, due 03/22/17 | 147,476 | ||||||||
500,000 | Bank of America Corp., 4.13%, due 01/22/24 | 510,141 | ||||||||
400,000 | Bank of America Corp., 4.20%, due 08/26/24 | 397,018 | ||||||||
910,000 | Bank of America Corp., 5.00%, due 05/13/21 | 1,000,741 | ||||||||
880,000 | Bank of America Corp., 5.00%, due 01/21/44 | 931,994 | ||||||||
420,000 | Bank of America Corp., 5.13%, due 12/29/49† | 408,450 | ||||||||
500,000 | Bank of America Corp., 5.63%, due 07/01/20 | 565,297 | ||||||||
850,000 | Bank of America Corp., 7.63%, due 06/01/19 | 1,027,882 | ||||||||
410,000 | Bank of America Corp., Senior Note, 5.75%, due 12/01/17 | 456,541 | ||||||||
375,000 | Bank One Capital III, 8.75%, due 09/01/30 | 524,999 | ||||||||
775,000 | Barclays Bank Plc, 3.75%, due 05/15/24 | 771,706 | ||||||||
1,450,000 | Barclays Plc, 4.38%, due 09/11/24 | 1,407,558 | ||||||||
1,347,000 | Berkshire Hathaway Energy Co., 6.13%, due 04/01/36 | 1,672,362 | ||||||||
560,000 | BHP Billiton Finance USA, Ltd., 5.00%, due 09/30/43 | 616,777 | ||||||||
1,830,000 | Blackstone Holdings Finance Co. LLC, Series 1, 6.63%, due 08/15/19 144A | 2,173,368 | ||||||||
415,000 | Boston Properties, LP REIT, 3.13%, due 09/01/23 | 399,685 | ||||||||
1,550,000 | Boston Properties, LP REIT, 4.13%, due 05/15/21 | 1,645,505 | ||||||||
2,735,000 | Boston Properties, LP REIT, 5.63%, due 11/15/20 | 3,127,631 | ||||||||
250,000 | Boston Properties, LP REIT, 5.88%, due 10/15/19 | 288,324 | ||||||||
1,775,000 | Boston Scientific Corp., 6.00%, due 01/15/20 | 2,026,038 | ||||||||
510,000 | British Telecommunications Plc, 9.63%, due 12/15/30 | 802,813 | ||||||||
2,375,000 | Burlington Northern Santa Fe LLC, 3.75%, due 04/01/24 | 2,423,918 |
See accompanying Notes to the Financial Statements. | 57 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
2,025,000 | Capital One Financial Corp., 3.50%, due 06/15/23 | 2,009,497 | ||||||||
625,000 | Capital One Financial Corp., 4.75%, due 07/15/21 | 680,331 | ||||||||
1,882,000 | Carlyle Holdings II Finance LLC, 5.63%, due 03/30/43 144A | 2,133,138 | ||||||||
915,000 | Carnival Corp., 1.88%, due 12/15/17 | 916,840 | ||||||||
500,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 7.00%, due 01/15/19 | 520,625 | ||||||||
3,247,000 | CDP Financial, Inc., 3.15%, due 07/24/24 144A | 3,225,813 | ||||||||
2,240,000 | Celgene Corp., 3.25%, due 08/15/22 | 2,228,737 | ||||||||
925,000 | Cemex Finance LLC, 6.00%, due 04/01/24 144A | 924,722 | ||||||||
675,000 | Cemex SAB de CV, 6.50%, due 12/10/19 144A | 698,625 | ||||||||
350,000 | Cemex SAB de CV, 7.25%, due 01/15/21 144A | 371,000 | ||||||||
430,000 | CGG, 6.50%, due 06/01/21 | 378,400 | ||||||||
41,000 | Cie Generale de Geophysique - Veritas SA, Senior Note, 7.75%, due 05/15/17 | 41,308 | ||||||||
525,000 | Cigna Corp., 4.00%, due 02/15/22 | 552,815 | ||||||||
800,000 | Cigna Corp., 5.38%, due 02/15/42 | 884,584 | ||||||||
1,100,000 | Cigna Corp., 6.15%, due 11/15/36 | 1,329,977 | ||||||||
325,000 | Cigna Corp., 7.88%, due 05/15/27 | 426,634 | ||||||||
375,000 | Cigna Corp., 8.50%, due 05/01/19 | 472,227 | ||||||||
170,000 | CIT Group, Inc., 5.00%, due 08/01/23 | 169,150 | ||||||||
300,000 | Citigroup, Inc., 3.50%, due 05/15/23 | 287,925 | ||||||||
560,000 | Citigroup, Inc., 3.95%, due 06/15/16 | 588,405 | ||||||||
260,000 | Citigroup, Inc., 4.05%, due 07/30/22 | 263,776 | ||||||||
1,950,000 | Citigroup, Inc., 4.50%, due 01/14/22 | 2,094,019 | ||||||||
5,000 | Citigroup, Inc., 5.38%, due 08/09/20 | 5,665 | ||||||||
380,000 | Citigroup, Inc., 5.50%, due 09/13/25 | 414,684 | ||||||||
130,000 | Citigroup, Inc., 5.90%, due 12/29/49† | 127,075 | ||||||||
230,000 | Citigroup, Inc., 5.95%, due 12/31/49† | 230,216 | ||||||||
748,000 | Citigroup, Inc., 6.01%, due 01/15/15 | 759,846 | ||||||||
80,000 | Citigroup, Inc., 6.68%, due 09/13/43 | 98,401 | ||||||||
975,000 | Citigroup, Inc., Global Senior Note, 6.13%, due 11/21/17 | 1,100,697 | ||||||||
1,000,000 | Comcast Cable Communications Holdings, Inc., 9.46%, due 11/15/22 | 1,438,372 | ||||||||
2,850,000 | Comcast Corp., 4.25%, due 01/15/33 | 2,893,747 | ||||||||
320,000 | Comcast Corp., 5.65%, due 06/15/35 | 377,379 | ||||||||
1,075,000 | Comcast Corp., 5.88%, due 02/15/18 | 1,219,985 | ||||||||
100,000 | Comcast Corp., 6.30%, due 11/15/17 | 114,285 | ||||||||
130,000 | Comcast Corp., 6.50%, due 01/15/17 | 145,662 | ||||||||
20,000 | Comcast Corp., 6.50%, due 11/15/35 | 26,100 | ||||||||
90,000 | Comcast Corp., 6.95%, due 08/15/37 | 120,980 | ||||||||
60,000 | Concho Resources, Inc., 5.50%, due 04/01/23 | 62,700 | ||||||||
228,000 | Concho Resources, Inc., 6.50%, due 01/15/22 | 243,390 | ||||||||
300,000 | ConocoPhillips Holding Co., 6.95%, due 04/15/29 | 401,461 | ||||||||
1,179,848 | Continental Airlines 2007-1 Class A Pass Through Trust, 5.98%, due 10/19/23 | 1,309,632 | ||||||||
615,000 | Continental Resources, Inc., 4.50%, due 04/15/23 | 638,152 | ||||||||
50,000 | Continental Resources, Inc., 5.00%, due 09/15/22 | 52,813 | ||||||||
210,000 | Countrywide Financial Corp., Subordinated Note, 6.25%, due 05/15/16 | 226,440 | ||||||||
825,000 | COX Communications, Inc., 2.95%, due 06/30/23 144A | 773,649 | ||||||||
1,950,000 | COX Communications, Inc., 3.25%, due 12/15/22 144A | 1,897,407 | ||||||||
900,000 | COX Communications, Inc., 5.88%, due 12/01/16 144A | 985,926 | ||||||||
875,000 | COX Communications, Inc., 9.38%, due 01/15/19 144A | 1,117,724 | ||||||||
550,000 | CSX Corp., 7.38%, due 02/01/19 | 664,763 |
58 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
1,160,000 | CVS Health Corp., 2.75%, due 12/01/22 | 1,108,805 | ||||||||
250,000 | Daimler Finance North America LLC, 1.30%, due 07/31/15 144A | 251,592 | ||||||||
550,000 | Daimler Finance North America LLC, 2.63%, due 09/15/16 144A | 566,370 | ||||||||
900,000 | DCP Midstream LLC, 5.35%, due 03/15/20 144A | 992,936 | ||||||||
1,465,000 | Deutsche Telekom International Finance BV, 6.00%, due 07/08/19 | 1,695,650 | ||||||||
520,000 | Devon Energy Corp., 7.95%, due 04/15/32 | 737,205 | ||||||||
400,000 | Dominion Resources,Inc., 4.45%, due 03/15/21 | 434,077 | ||||||||
1,325,000 | Dominion Resources,Inc., 5.75%, due 10/01/54† †††† | 1,343,459 | ||||||||
2,356,000 | Dominion Resources,Inc., 8.88%, due 01/15/19 | 2,967,443 | ||||||||
400,000 | Dow Chemical Co. (The), 4.38%, due 11/15/42 | 375,120 | ||||||||
775,000 | Dow Chemical Co. (The), 7.38%, due 11/01/29 | 1,026,315 | ||||||||
1,585,000 | Dow Chemical Co. (The), 8.55%, due 05/15/19 | 1,994,050 | ||||||||
575,000 | Dow Chemical Co. (The), 9.40%, due 05/15/39 | 916,093 | ||||||||
2,589,000 | Duke Energy Corp., 3.55%, due 09/15/21 | 2,687,312 | ||||||||
240,000 | Eagle Spinco, Inc., 4.63%, due 02/15/21 | 231,300 | ||||||||
250,000 | Eaton Corp., 1.50%, due 11/02/17 | 249,110 | ||||||||
650,000 | Eaton Corp., 2.75%, due 11/02/22 | 627,830 | ||||||||
110,000 | Ecolab, Inc., 4.35%, due 12/08/21 | 119,356 | ||||||||
190,000 | El Paso Natural Gas Co. LLC, 8.38%, due 06/15/32 | 252,120 | ||||||||
725,000 | Enel Finance International SA, 6.00%, due 10/07/39 144A | 828,492 | ||||||||
1,000,000 | Enel Finance International SA, Guaranteed Note, 6.80%, due 09/15/37 144A | 1,228,488 | ||||||||
400,000 | Enel Spa, 8.75%, due 09/24/73† 144A | 465,520 | ||||||||
1,934,000 | ERAC USA Finance LLC, 2.80%, due 11/01/18 144A ¤ | 1,980,795 | ||||||||
1,350,000 | ERP Operating, LP, 3.00%, due 04/15/23 | 1,304,172 | ||||||||
825,000 | ERP Operating, LP, 4.63%, due 12/15/21 | 901,346 | ||||||||
2,045,000 | Escrow GCB General Motors, 8.38%, due 07/15/49**** ¤ | — | ||||||||
1,816,000 | Exelon Generation Co. LLC, 4.25%, due 06/15/22 | 1,874,586 | ||||||||
250,000 | Export-Import Bank of Korea, 4.00%, due 01/11/17 | 263,838 | ||||||||
150,000 | FirstEnergy Corp., 2.75%, due 03/15/18 | 150,720 | ||||||||
645,000 | FirstEnergy Corp., Series C, 7.38%, due 11/15/31 | 764,475 | ||||||||
540,000 | Ford Motor Co., 4.75%, due 01/15/43 | 542,549 | ||||||||
625,000 | Ford Motor Credit Co. LLC, 5.63%, due 09/15/15 | 653,622 | ||||||||
600,000 | Ford Motor Credit Co. LLC, 5.75%, due 02/01/21 | 682,464 | ||||||||
650,000 | Ford Motor Credit Co. LLC, 5.88%, due 08/02/21 | 748,454 | ||||||||
350,000 | Ford Motor Credit Co. LLC, 8.00%, due 12/15/16 | 398,525 | ||||||||
580,000 | Ford Motor Credit Co. LLC, 8.13%, due 01/15/20 | 725,712 | ||||||||
440,000 | Ford Motor Credit Co. LLC, 12.00%, due 05/15/15 | 471,257 | ||||||||
210,000 | General Electric Capital Corp., 1.63%, due 07/02/15 | 212,037 | ||||||||
1,405,000 | General Electric Capital Corp., 4.38%, due 09/16/20 | 1,537,958 | ||||||||
1,165,000 | General Electric Capital Corp., 4.63%, due 01/07/21 | 1,285,734 | ||||||||
450,000 | General Electric Capital Corp., 4.65%, due 10/17/21 | 496,410 | ||||||||
775,000 | General Electric Capital Corp., 5.50%, due 01/08/20 | 889,164 | ||||||||
1,390,000 | General Electric Capital Corp., 5.55%, due 05/04/20 | 1,594,267 | ||||||||
310,000 | General Electric Capital Corp., 5.88%, due 01/14/38 | 374,676 | ||||||||
380,000 | General Electric Capital Corp., 6.00%, due 08/07/19 | 443,659 | ||||||||
720,000 | General Electric Capital Corp., 6.38%, due 11/15/67† | 781,200 | ||||||||
480,000 | General Electric Capital Corp., 6.88%, due 01/10/39 | 648,205 | ||||||||
270,000 | General Electric Co., 0.85%, due 10/09/15 | 271,238 | ||||||||
310,000 | General Electric Co., 4.50%, due 03/11/44 | 322,719 |
See accompanying Notes to the Financial Statements. | 59 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
1,045,000 | General Motors Financial Co., Inc., 3.50%, due 07/10/19 | 1,053,984 | ||||||||
520,000 | Glencore Finance Canada, Ltd., 2.05%, due 10/23/15 144A | 525,950 | ||||||||
470,000 | Glencore Finance Canada, Ltd., 2.70%, due 10/25/17 144A | 478,192 | ||||||||
100,000 | Glencore Finance Canada, Ltd., 5.80%, due 11/15/16 144A | 108,964 | ||||||||
320,000 | Glitnir Banki HF, Subordinated Note, 6.69%, due 06/15/16††† **** 144A ¤ | — | ||||||||
265,000 | Goldcorp, Inc., 3.63%, due 06/09/21 | 268,656 | ||||||||
150,000 | Goldman Sachs Group (The), Inc., 4.00%, due 03/03/24 | 151,254 | ||||||||
140,000 | Goldman Sachs Group (The), Inc., 5.25%, due 07/27/21 | 155,339 | ||||||||
680,000 | Goldman Sachs Group (The), Inc., 5.95%, due 01/18/18 | 761,831 | ||||||||
1,160,000 | Goldman Sachs Group (The), Inc., 6.25%, due 02/01/41 | 1,409,971 | ||||||||
1,743,000 | Goldman Sachs Group (The), Inc., 7.50%, due 02/15/19 | 2,080,370 | ||||||||
460,000 | HCA, Inc., 5.88%, due 03/15/22 | 484,725 | ||||||||
1,815,000 | HCA, Inc., 6.50%, due 02/15/16 | 1,898,944 | ||||||||
2,000,000 | HCP, Inc., 4.25%, due 11/15/23 | 2,065,266 | ||||||||
1,100,000 | Health Care REIT, Inc., 4.50%, due 01/15/24 | 1,133,823 | ||||||||
875,000 | Health Net, Inc., 6.38%, due 06/01/17 | 947,187 | ||||||||
1,250,000 | Hewlett-Packard Co., 3.30%, due 12/09/16 | 1,304,931 | ||||||||
220,000 | Hexion US Finance Corp., 6.63%, due 04/15/20 | 222,200 | ||||||||
270,000 | Home Depot (The), Inc., 4.40%, due 03/15/45 | 274,099 | ||||||||
1,800,000 | Howard Hughes Medical Institute, 3.50%, due 09/01/23 | 1,858,093 | ||||||||
740,000 | HSBC Finance Corp., 6.68%, due 01/15/21 | 868,623 | ||||||||
350,000 | HSBC Holdings Plc, 5.10%, due 04/05/21 | 394,407 | ||||||||
875,000 | HSBC Holdings Plc, Subordinated Note, 6.50%, due 05/02/36 | 1,076,321 | ||||||||
1,515,000 | HSBC Holdings Plc, Subordinated Note, 6.50%, due 09/15/37 | 1,869,845 | ||||||||
1,260,000 | Husky Energy, Inc., 7.25%, due 12/15/19 | 1,536,129 | ||||||||
420,000 | Imperial Tobacco Finance Plc, 2.05%, due 02/11/18 144A | 418,637 | ||||||||
260,000 | Intelsat Jackson Holdings SA, 5.50%, due 08/01/23 | 249,275 | ||||||||
120,000 | Intelsat Jackson Holdings SA, 7.25%, due 10/15/20 | 127,200 | ||||||||
250,000 | Intesa Sanpaolo Spa, 3.13%, due 01/15/16 | 255,828 | ||||||||
250,000 | Intesa Sanpaolo Spa, 3.63%, due 08/12/15 144A | 255,473 | ||||||||
500,000 | Jefferies Group LLC, 5.13%, due 01/20/23 | 532,349 | ||||||||
220,000 | John Deere Capital Corp., 2.25%, due 04/17/19 | 222,024 | ||||||||
300,000 | JPMorgan Chase & Co., 3.25%, due 09/23/22 | 295,790 | ||||||||
1,430,000 | JPMorgan Chase & Co., 3.38%, due 05/01/23 | 1,371,361 | ||||||||
90,000 | JPMorgan Chase & Co., 4.35%, due 08/15/21 | 96,345 | ||||||||
860,000 | JPMorgan Chase & Co., 4.40%, due 07/22/20 | 927,318 | ||||||||
200,000 | JPMorgan Chase & Co., 4.50%, due 01/24/22 | 214,620 | ||||||||
1,250,000 | JPMorgan Chase & Co., Subordinated Note, 6.13%, due 06/27/17 | 1,394,276 | ||||||||
100,000 | Kaupthing Bank HF, 7.13%, due 05/19/16††† **** 144A ¤ | — | ||||||||
950,000 | Kentucky Power Co., 6.00%, due 09/15/17 144A | 1,071,009 | ||||||||
430,000 | Key Energy Services, Inc., 6.75%, due 03/01/21 | 416,025 | ||||||||
2,500,000 | Kinder Morgan Energy Partners, LP, 4.15%, due 02/01/24‡ | 2,473,622 | ||||||||
3,202,000 | KKR Group Finance Co. LLC, 6.38%, due 09/29/20 144A | 3,753,855 | ||||||||
600,000 | Koninklijke Philips Electronics NV, 5.75%, due 03/11/18 | 676,666 | ||||||||
360,000 | Kraft Foods Group, Inc., 3.50%, due 06/06/22 | 365,011 | ||||||||
349,000 | Kraft Foods Group, Inc., 5.38%, due 02/10/20 | 393,688 | ||||||||
691,000 | Kraft Foods, Inc., 5.38%, due 02/10/20 | 784,347 | ||||||||
400,000 | Kroger Co. (The), Senior Note, 6.15%, due 01/15/20 | 465,523 | ||||||||
2,350,000 | Lafarge SA, 6.50%, due 07/15/16 | 2,532,125 |
60 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
470,000 | Lehman Brothers Holdings Capital Trust VII, (MTN), 5.86%, due 11/29/49††† | 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 | ||||||||
1,150,000 | Liberty Mutual Group, Inc., 4.25%, due 06/15/23 144A | 1,177,454 | ||||||||
1,600,000 | Liberty Mutual Group, Inc., 4.95%, due 05/01/22 144A | 1,725,280 | ||||||||
1,780,000 | Lincoln National Corp., 4.00%, due 09/01/23 | 1,831,385 | ||||||||
1,010,000 | LyondellBasell Industries NV, 5.00%, due 04/15/19 | 1,116,074 | ||||||||
525,000 | Macy’s Retail Holdings, Inc., 6.38%, due 03/15/37 | 653,808 | ||||||||
1,790,000 | Macy’s Retail Holdings, Inc., 6.65%, due 07/15/24 | 2,186,594 | ||||||||
350,000 | Macy’s Retail Holdings, Inc., 6.90%, due 01/15/32 | 448,532 | ||||||||
600,000 | Macy’s Retail Holdings, Inc., 7.00%, due 02/15/28 | 756,856 | ||||||||
230,000 | Martin Marietta Materials, Inc., 4.25%, due 07/02/24 144A | 233,724 | ||||||||
725,000 | Massachusetts Institute of Technology, 4.68%, due 07/01/14# | 781,029 | ||||||||
70,000 | Medtronic, Inc., 3.13%, due 03/15/22 | 69,848 | ||||||||
240,000 | Medtronic, Inc., 4.45%, due 03/15/20 | 264,309 | ||||||||
625,000 | Merck & Co., Inc., 4.15%, due 05/18/43 | 620,916 | ||||||||
520,000 | Merrill Lynch & Co., Inc., 6.88%, due 04/25/18 | 600,252 | ||||||||
840,000 | Merrill Lynch & Co., Inc., Subordinated Note, 5.70%, due 05/02/17 | 921,587 | ||||||||
250,000 | MetLife, Inc., 4.75%, due 02/08/21 | 276,586 | ||||||||
420,000 | MetLife, Inc., Subordinated Note, 6.40%, due 12/15/66 | 470,400 | ||||||||
80,000 | MidAmerican Energy Holdings Co., Senior Note, 6.50%, due 09/15/37 | 103,784 | ||||||||
165,630 | Miran Mid-Atlantic Series C Pass Through Trust, 10.06%, due 12/30/28 | 181,994 | ||||||||
70,000 | Monsanto Co., 4.20%, due 07/15/34 | 70,743 | ||||||||
80,000 | Monsanto Co., 4.40%, due 07/15/44 | 79,610 | ||||||||
1,720,000 | Morgan Stanley, 4.10%, due 05/22/23 | 1,717,105 | ||||||||
70,000 | Morgan Stanley, 4.75%, due 03/22/17 | 75,267 | ||||||||
325,000 | Morgan Stanley, 5.45%, due 12/31/49† | 322,969 | ||||||||
130,000 | Morgan Stanley, (MTN), Series F, 0.68%, due 10/18/16† | 130,411 | ||||||||
1,000,000 | Morgan Stanley, (MTN), Series F, 6.63%, due 04/01/18 | 1,146,130 | ||||||||
1,300,000 | Myriad International Holdings BV, 6.00%, due 07/18/20 144A | 1,417,000 | ||||||||
400,000 | Navient LLC, 4.63%, due 09/25/17 | 405,500 | ||||||||
10,000 | Navient LLC, 5.00%, due 04/15/15 | 10,175 | ||||||||
1,750,000 | Navient LLC, 6.00%, due 01/25/17 | 1,835,312 | ||||||||
475,000 | Navient LLC, 6.25%, due 01/25/16 | 494,238 | ||||||||
50,000 | News America, Inc., 4.50%, due 02/15/21 | 54,398 | ||||||||
525,000 | News America, Inc., 5.65%, due 08/15/20 | 601,430 | ||||||||
475,000 | News America, Inc., 6.20%, due 12/15/34 | 578,567 | ||||||||
275,000 | News America, Inc., 6.40%, due 12/15/35 | 342,019 | ||||||||
20,000 | News America, Inc., 6.90%, due 08/15/39 | 25,784 | ||||||||
30,000 | News America, Inc., Senior Note, 6.65%, due 11/15/37 | 37,727 | ||||||||
1,000,000 | NextEra Energy Capital Holdings, Inc., 1.34%, due 09/01/15 | 1,006,517 | ||||||||
780,000 | Noble Energy, Inc., 4.15%, due 12/15/21 | 828,174 | ||||||||
1,403,000 | Noble Energy, Inc., 8.25%, due 03/01/19 | 1,736,391 | ||||||||
1,000,000 | Nordstrom, Inc., 6.25%, due 01/15/18 | 1,140,761 | ||||||||
530,000 | Norfolk Southern Corp., 4.80%, due 08/15/43 | 570,512 | ||||||||
220,000 | Northern States Power Co., 4.13%, due 05/15/44 | 222,095 | ||||||||
350,000 | NRG Energy, Inc., 6.25%, due 05/01/24 144A | 352,625 | ||||||||
170,000 | Old AII, Inc. (PIK), 9.00%, due 12/15/14††† **** ¤ | — | ||||||||
320,000 | Oracle Corp., 4.30%, due 07/08/34 | 322,949 |
See accompanying Notes to the Financial Statements. | 61 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
460,000 | Pacific Gas & Electric Co., 6.05%, due 03/01/34 | 568,739 | ||||||||
606,000 | Pemex Project Funding Master Trust, 6.63%, due 06/15/35 | 706,293 | ||||||||
730,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 2.50%, due 06/15/19 144A ¤ | 726,684 | ||||||||
1,175,000 | Petrobras Global Finance BV, 4.38%, due 05/20/23‡ | 1,103,948 | ||||||||
675,000 | Petrobras Global Finance BV, 6.25%, due 03/17/24 | 708,838 | ||||||||
400,000 | Petrobras International Finance Co., 3.88%, due 01/27/16 | 410,400 | ||||||||
875,000 | Petrobras International Finance Co., 5.38%, due 01/27/21 | 888,842 | ||||||||
992,000 | Petroleos Mexicanos, 3.50%, due 01/30/23 | 952,816 | ||||||||
430,000 | Petroleos Mexicanos, 5.50%, due 01/21/21 | 475,365 | ||||||||
2,150,000 | Petroleos Mexicanos, 6.38%, due 01/23/45 144A | 2,436,595 | ||||||||
480,000 | Philip Morris International, Inc., 2.90%, due 11/15/21 | 480,673 | ||||||||
1,190,000 | PNC Bank NA, 2.95%, due 01/30/23 | 1,157,089 | ||||||||
540,000 | PPL Capital Funding, Inc., 5.00%, due 03/15/44 | 585,743 | ||||||||
2,091,000 | Pride International, Inc., 6.88%, due 08/15/20 | 2,468,262 | ||||||||
675,000 | Provident Cos., Inc., 7.25%, due 03/15/28 | 841,080 | ||||||||
1,000,000 | Prudential Financial, Inc., 7.38%, due 06/15/19 | 1,219,108 | ||||||||
1,962,143 | Prudential Holdings LLC, 8.70%, due 12/18/23 144A | 2,483,775 | ||||||||
1,689,000 | PSEG Power LLC, 8.63%, due 04/15/31 | 2,432,964 | ||||||||
170,000 | QEP Resources, Inc., 6.88%, due 03/01/21 | 185,300 | ||||||||
45,000 | Qwest Corp., 7.50%, due 10/01/14 | 45,000 | ||||||||
500,000 | Range Resources Corp., 6.75%, due 08/01/20 | 528,750 | ||||||||
2,153,000 | Reed Elsevier Capital, Inc., 3.13%, due 10/15/22 | 2,106,801 | ||||||||
755,000 | Reynolds American, Inc., Senior Note, 6.75%, due 06/15/17 | 852,634 | ||||||||
2,775,000 | Rio Oil Finance Trust, 6.25%, due 07/06/24 144A | 2,866,614 | ||||||||
920,000 | Rio Tinto Finance USA, Ltd., 9.00%, due 05/01/19 | 1,179,285 | ||||||||
1,886,000 | Roche Holdings, Inc., 2.88%, due 09/29/21 144A | 1,886,258 | ||||||||
220,000 | Roche Holdings, Inc., Guaranteed Note, 6.00%, due 03/01/19 144A | 255,210 | ||||||||
170,000 | Rock-Tenn Co., 3.50%, due 03/01/20 | 173,049 | ||||||||
90,000 | Rock-Tenn Co., 4.00%, due 03/01/23 | 91,521 | ||||||||
1,500,000 | Rogers Communications, Inc., 6.80%, due 08/15/18 | 1,757,787 | ||||||||
600,000 | Royal Bank of Scotland Group Plc, 6.00%, due 12/19/23 | 630,118 | ||||||||
2,550,000 | Royal Bank of Scotland Group Plc, 6.13%, due 12/15/22 | 2,703,375 | ||||||||
580,000 | Shell International Finance BV, 4.38%, due 03/25/20 | 640,477 | ||||||||
1,700,000 | Simon Property Group, LP, 6.75%, due 02/01/40 | 2,284,227 | ||||||||
320,000 | Softbank Corp., 4.50%, due 04/15/20 144A | 320,400 | ||||||||
880,000 | Southern Copper Corp., 5.25%, due 11/08/42 | 835,877 | ||||||||
375,000 | Sprint Nextel Corp., 6.00%, due 12/01/16 | 395,156 | ||||||||
245,000 | State Grid Overseas Investment 2014, Ltd., 2.75%, due 05/07/19 144A | 245,773 | ||||||||
850,000 | State Street Corp., 4.96%, due 03/15/18 | 925,789 | ||||||||
3,800,000 | Statoil ASA, 0.69%, due 11/08/18† | 3,830,050 | ||||||||
125,000 | Target Corp., 3.50%, due 07/01/24 | 125,377 | ||||||||
270,000 | Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, due 04/15/21 144A | 264,600 | ||||||||
70,000 | Taylor Morrison Communities, Inc./Monarch Communities, Inc., 7.75%, due 04/15/20 144A | 75,250 | ||||||||
380,000 | Teachers Insurance & Annuity Association of America, 6.85%, due 12/16/39 144A | 491,210 | ||||||||
700,000 | Telecom Italia Capital SA, 7.00%, due 06/04/18 | 791,000 | ||||||||
1,900,000 | Telecom Italia Capital SA, 7.18%, due 06/18/19 | 2,154,125 | ||||||||
825,000 | Telecom Italia Capital SA, Guaranteed Senior Note, 7.72%, due 06/04/38 | 932,250 |
62 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
2,712,000 | Telefonaktiebolaget LM Ericsson, 4.13%, due 05/15/22 | 2,834,951 | ||||||||
260,000 | Telefonos de Mexico SAB de CV, 5.50%, due 11/15/19 | 295,641 | ||||||||
90,000 | Tenet Healthcare Corp., 4.50%, due 04/01/21 | 88,088 | ||||||||
350,000 | Tenet Healthcare Corp., 6.00%, due 10/01/20 | 371,000 | ||||||||
220,000 | Thermo Fisher Scientific, Inc., 3.60%, due 08/15/21 | 226,909 | ||||||||
520,000 | Time Warner Cable, Inc., 4.13%, due 02/15/21 | 551,097 | ||||||||
10,000 | Time Warner Cable, Inc., 5.00%, due 02/01/20 | 11,126 | ||||||||
740,000 | Time Warner Cable, Inc., 5.85%, due 05/01/17 | 820,713 | ||||||||
2,055,000 | Time Warner Cable, Inc., 8.25%, due 04/01/19 | 2,561,929 | ||||||||
1,075,000 | Time Warner Cable, Inc., 8.75%, due 02/14/19 | 1,354,494 | ||||||||
180,000 | Time Warner Entertainment Co. LP, Senior Subordinated Note, 8.38%, due 07/15/33 | 266,623 | ||||||||
260,000 | Time Warner, Inc., 4.70%, due 01/15/21 | 284,930 | ||||||||
200,000 | Time Warner, Inc., 4.75%, due 03/29/21 | 218,245 | ||||||||
50,000 | Time Warner, Inc., 6.25%, due 03/29/41 | 59,169 | ||||||||
450,000 | Time Warner, Inc., 7.63%, due 04/15/31 | 608,982 | ||||||||
2,965,000 | Time Warner, Inc., 7.70%, due 05/01/32 | 4,091,492 | ||||||||
130,000 | Transocean, Inc., 5.05%, due 12/15/16 | 138,640 | ||||||||
130,000 | tw telecom holdings, Inc., 5.38%, due 10/01/22 | 140,238 | ||||||||
3,087,000 | Union Pacific Corp., 4.16%, due 07/15/22 | 3,359,422 | ||||||||
3,600,000 | United Airlines 2014-1 Class A Pass Through Trust, 4.00%, due 10/11/27 | 3,618,000 | ||||||||
90,000 | UnitedHealth Group, Inc., 3.38%, due 11/15/21 | 93,055 | ||||||||
650,000 | UnitedHealth Group, Inc., 4.25%, due 03/15/43 | 637,443 | ||||||||
520,000 | UnitedHealth Group, Inc., Senior Note, 6.00%, due 02/15/18 | 591,502 | ||||||||
1,400,000 | Valero Energy Corp., 9.38%, due 03/15/19 | 1,802,024 | ||||||||
2,000,000 | Ventas Realty, LP/Ventas Capital Corp. REIT, 2.70%, due 04/01/20 | 1,970,116 | ||||||||
1,163,000 | Verizon Communications, Inc., 1.35%, due 06/09/17 | 1,157,850 | ||||||||
40,000 | Verizon Communications, Inc., 2.45%, due 11/01/22 | 37,193 | ||||||||
350,000 | Verizon Communications, Inc., 3.45%, due 03/15/21 | 355,530 | ||||||||
900,000 | Verizon Communications, Inc., 4.15%, due 03/15/24 | 930,018 | ||||||||
697,000 | Verizon Communications, Inc., 4.86%, due 08/21/46 144A | 700,669 | ||||||||
2,357,000 | Verizon Communications, Inc., 5.01%, due 08/21/54 144A | 2,378,425 | ||||||||
110,000 | Verizon Communications, Inc., 5.05%, due 03/15/34 | 116,765 | ||||||||
375,000 | Verizon Communications, Inc., 5.15%, due 09/15/23 | 415,565 | ||||||||
50,000 | Verizon Communications, Inc., 6.35%, due 04/01/19 | 58,210 | ||||||||
671,000 | Verizon Communications, Inc., 6.40%, due 09/15/33 | 818,864 | ||||||||
5,168,000 | Verizon Communications, Inc., 6.55%, due 09/15/43 | 6,466,233 | ||||||||
31,000 | Vulcan Materials Co., 6.50%, due 12/01/16 | 33,654 | ||||||||
1,850,000 | Vulcan Materials Co., 7.50%, due 06/15/21 | 2,173,750 | ||||||||
250,000 | Wachovia Bank NA, 6.00%, due 11/15/17 | 282,258 | ||||||||
585,000 | Wal-Mart Stores, Inc., 3.30%, due 04/22/24 | 592,848 | ||||||||
1,444,000 | Wal-Mart Stores, Inc., 6.50%, due 08/15/37 | 1,921,485 | ||||||||
1,855,000 | WEA Finance LLC/Westfield UK & Europe Finance Plc, 2.70%, due 09/17/19 144A | 1,861,509 | ||||||||
130,000 | WellPoint, Inc., 1.25%, due 09/10/15 | 130,794 | ||||||||
30,000 | WellPoint, Inc., 3.70%, due 08/15/21 | 31,015 | ||||||||
425,000 | WellPoint, Inc., 4.35%, due 08/15/20 | 459,295 | ||||||||
5,000 | WellPoint, Inc., 5.10%, due 01/15/44 | 5,333 | ||||||||
730,000 | WellPoint, Inc., 5.88%, due 06/15/17 | 811,944 | ||||||||
1,246,000 | WellPoint, Inc., 7.00%, due 02/15/19 | 1,485,968 | ||||||||
190,000 | Wells Fargo & Co., 1.50%, due 01/16/18 | 189,048 |
See accompanying Notes to the Financial Statements. | 63 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
250,000 | Wells Fargo & Co., 3.45%, due 02/13/23 | 245,925 | ||||||||
420,000 | Wells Fargo & Co., 3.68%, due 06/15/16†† | 439,281 | ||||||||
1,308,000 | Wells Fargo & Co., 4.48%, due 01/16/24 | 1,381,936 | ||||||||
90,000 | Wells Fargo & Co., 4.60%, due 04/01/21 | 98,703 | ||||||||
1,000,000 | Weyerhaeuser Co., 7.38%, due 10/01/19 | 1,210,056 | ||||||||
925,000 | Williams Partners, LP, 4.90%, due 01/15/45 | 905,717 | ||||||||
290,000 | Williams Partners, LP/Williams Partners Finance Corp., Senior Note, 7.25%, due 02/01/17 | 326,758 | ||||||||
80,000 | WM Wrigley Jr Co., 2.40%, due 10/21/18 144A | 80,645 | ||||||||
320,000 | WM Wrigley Jr Co., 2.90%, due 10/21/19 144A | 324,870 | ||||||||
90,000 | WM Wrigley Jr Co., 3.38%, due 10/21/20 144A | 91,465 | ||||||||
500,000 | Xerox Corp., 2.75%, due 03/15/19‡ | 504,327 | ||||||||
500,000 | Xerox Corp., 4.50%, due 05/15/21 | 535,455 | ||||||||
600,000 | Xerox Corp., 5.63%, due 12/15/19 | 678,812 | ||||||||
2,500,000 | Xerox Corp., 6.35%, due 05/15/18 | 2,858,917 | ||||||||
|
| |||||||||
325,497,431 | ||||||||||
|
| |||||||||
Mortgage Backed Securities - Private Issuers — 9.2% | ||||||||||
1,646,609 | Banc of America Commercial Mortgage Trust, Series 2007-1, Class A4, 5.45%, due 01/15/49 | 1,765,175 | ||||||||
136,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-1, Class AM, 5.42%, due 09/10/45† | 142,853 | ||||||||
681,747 | Bear Stearns ALT-A Trust, Series 2004-12, Class 1A3, 0.85%, due 01/25/35† | 669,095 | ||||||||
3,303,252 | Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW12, Class A4, 5.89%, due 09/11/38† | 3,515,096 | ||||||||
1,600,000 | Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class A3, 3.36%, due 07/10/47 | 1,594,229 | ||||||||
1,000,000 | Citigroup Commercial Mortgage Trust, Inc., Series 2013-GC17, Class A2, 2.96%, due 11/10/46 | 1,026,903 | ||||||||
2,630,000 | Citigroup Commercial Mortgage Trust, Inc., Series 2014-GC21, Class A4, 3.58%, due 05/10/47 | 2,669,207 | ||||||||
27,500,000 | Citigroup Commercial Mortgage Trust, Inc., Series 2014-GC21, Class XB, 0.49%, due 05/10/47† | 975,879 | ||||||||
2,530,000 | Commercial Mortgage Pass Through Certificates, Series 2007-C9, Class A4, 5.99%, due 12/10/49† | 2,788,501 | ||||||||
80,000 | Commercial Mortgage Pass Through Certificates, Series 2012-CR3, Class A3, 2.82%, due 10/15/45 | 78,503 | ||||||||
300,000 | Commercial Mortgage Pass Through Certificates, Series 2013-CR8, Class A2, 2.37%, due 06/10/46 | 302,817 | ||||||||
100,000 | Commercial Mortgage Pass Through Certificates, Series 2013-LC6, Class A3, 2.67%, due 01/10/46 | 96,078 | ||||||||
53,000,000 | Commercial Mortgage Pass Through Certificates, Series 2014-CR17, Class XB, 0.28%, due 05/10/47† 144A | 1,025,338 | ||||||||
1,000,000 | Commercial Mortgage Pass Through Certificates, Series 2014-CR18, Class A4, 3.55%, due 07/15/47 | 1,012,248 | ||||||||
2,150,000 | Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A2, 2.82%, due 03/10/47 | 2,195,221 | ||||||||
1,500,000 | Commercial Mortgage Trust, Series 2005-GG5, Class AM, 5.28%, due 04/10/37† | 1,555,858 | ||||||||
5,924,871 | FHLMC, Series 4274, Class KC, 2.50%, due 02/15/36 | 6,026,110 |
64 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers — continued | ||||||||||
28,534,767 | FHLMC Multifamily Structured Pass Through Certificates, Series K025, Class X1, 1.03%, due 10/25/22† | 1,647,425 | ||||||||
3,600,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K502, Class A2, 1.43%, due 08/25/17 | 3,617,093 | ||||||||
5,370,000 | FNMA-ACES, Series 2014-M1, Class ASQ2, 2.32%, due 11/25/18† | 5,385,388 | ||||||||
1,200,000 | FNMA-ACES, Series 2014-M4, Class A2, 3.35%, due 03/25/24† | 1,234,891 | ||||||||
900,000 | FNMA-ACES, Series 2014-M4, Class AB2, 3.21%, due 03/25/24 | 907,900 | ||||||||
3,700,000 | FNMA-ACES, Series 2014-M4, Class ASQ2, 1.27%, due 01/25/17 | 3,726,368 | ||||||||
290,000 | Fremont Home Loan Trust, Series 2004-B, Class M1, 1.02%, due 05/25/34† | 270,458 | ||||||||
5,555,000 | Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A5, 5.22%, due 04/10/37† | 5,691,875 | ||||||||
4,900,000 | Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.74%, due 12/10/49 | 5,373,144 | ||||||||
1,800,000 | GS Mortgage Securities Corp. II, Series 2013-GC12, Class A3, 2.86%, due 06/10/46 | 1,749,091 | ||||||||
3,300,000 | JP Morgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 5.98%, due 06/15/49† | 3,579,751 | ||||||||
500,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-C13, Class A3, 3.53%, due 01/15/46 | 517,888 | ||||||||
1,500,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4, 2.69%, due 04/15/46 | 1,436,742 | ||||||||
5,113,644 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP4, Class A4, 4.92%, due 10/15/42† | 5,241,161 | ||||||||
286,131 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP9, Class A3, 5.34%, due 05/15/47 | 306,847 | ||||||||
1,725,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-C19, Class A3, 3.67%, due 04/15/47 | 1,789,776 | ||||||||
1,692,575 | LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A1A, 5.39%, due 02/15/40 | 1,832,779 | ||||||||
300,000 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4, 5.70%, due 09/12/49 | 329,089 | ||||||||
100,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7, Class A4, 2.92%, due 02/15/46 | 97,781 | ||||||||
3,448,212 | Morgan Stanley Capital I Trust, Series 2007-IQ14, Class A4, 5.69%, due 04/15/49† | 3,749,787 | ||||||||
3,302,902 | Morgan Stanley Capital I, Inc., Series 2005-HQ7, Class A4, 5.38%, due 11/14/42† | 3,385,371 | ||||||||
298,000 | Morgan Stanley Capital I, Inc., Series 2007-HQ11, Class A4, 5.45%, due 02/12/44† | 321,059 | ||||||||
258,932 | Provident Funding Mortgage Loan Trust, Series 2005-1, Class 2A1, 2.50%, due 05/25/35† | 264,166 | ||||||||
3,428,318 | Small Business Administration Participation Certificates, Series 2013-20L, Class 1, 3.38%, due 12/01/33 | 3,540,060 | ||||||||
1,541,000 | Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A5, 5.50%, due 04/15/47 | 1,677,573 | ||||||||
3,286,000 | Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A3, 5.68%, due 05/15/46 | 3,578,681 | ||||||||
50,488 | WaMu Mortgage Pass Through Certificates, Series 2003-AR9, Class 1A7, 2.41%, due 09/25/33† | 52,569 | ||||||||
|
| |||||||||
88,743,824 | ||||||||||
|
|
See accompanying Notes to the Financial Statements. | 65 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — 22.8% |
| |||||||||
1,981,852 | FHLMC, Pool # V60603, 3.00%, due 09/01/29 | 2,042,300 | ||||||||
1,990,826 | FHLMC, Pool # V60599, 3.00%, due 09/01/29 | 2,052,599 | ||||||||
985,747 | FHLMC, Pool # Q12052, 3.50%, due 10/01/42 | 1,007,661 | ||||||||
814,820 | FHLMC, Pool # Q17792, 3.50%, due 05/01/43 | 834,790 | ||||||||
3,300,000 | FHLMC, Pool # G08605, 3.50%, due 09/01/44 | 3,373,363 | ||||||||
1,993,626 | FHLMC, Pool # 849096, 3.61%, due 10/01/41† | 2,083,403 | ||||||||
931,672 | FHLMC, Pool # 1Q0481, 3.85%, due 02/01/38† | 980,367 | ||||||||
4,291,111 | FHLMC, Pool # J13193, 4.00%, due 10/01/25 | 4,581,885 | ||||||||
1,211,907 | FHLMC, Pool # G14919, 4.00%, due 06/01/26 | 1,292,576 | ||||||||
914,704 | FHLMC, Pool # G14678, 4.00%, due 12/01/26 | 976,836 | ||||||||
125,961 | FHLMC, Pool # G14350, 4.00%, due 12/01/26 | 134,436 | ||||||||
3,549,927 | FHLMC, Pool # C91402, 4.00%, due 10/01/31 | 3,790,668 | ||||||||
1,428,682 | FHLMC, Pool # G06231, 4.00%, due 12/01/40 | 1,506,626 | ||||||||
951,472 | FHLMC, Pool # A96970, 4.00%, due 02/01/41 | 1,003,381 | ||||||||
8,130,010 | FHLMC, Pool # Q04020, 4.00%, due 10/01/41 | 8,573,554 | ||||||||
2,321,000 | FHLMC, Pool # C09064, 4.00%, due 09/01/44 | 2,447,625 | ||||||||
4,684,569 | FHLMC, Pool # G05535, 4.50%, due 07/01/39 | 5,056,183 | ||||||||
1,866,133 | FHLMC, Pool # A89870, 4.50%, due 11/01/39 | 2,014,168 | ||||||||
2,136,901 | FHLMC, Pool # Q02552, 4.50%, due 08/01/41 | 2,307,737 | ||||||||
292,894 | FHLMC, Pool # G07515, 4.50%, due 09/01/41 | 316,128 | ||||||||
1,326,521 | FHLMC, Pool # G08568, 4.50%, due 01/01/44 | 1,434,124 | ||||||||
1,093,464 | FHLMC, Pool # G08574, 4.50%, due 02/01/44 | 1,182,084 | ||||||||
1,899,696 | FHLMC, Pool # G07021, 5.00%, due 09/01/39 | 2,090,854 | ||||||||
495,636 | FHLMC, Pool # G01749, 5.50%, due 01/01/35 | 557,140 | ||||||||
614,188 | FHLMC, Pool # G04587, 5.50%, due 08/01/38 | 683,487 | ||||||||
686,513 | FHLMC, Pool # G05979, 5.50%, due 10/01/38 | 764,569 | ||||||||
476,403 | FHLMC, Pool # G06875, 5.50%, due 12/01/38 | 533,201 | ||||||||
287,561 | FHLMC, Pool # G06020, 5.50%, due 12/01/39 | 320,320 | ||||||||
204,322 | FHLMC, Pool # G06945, 5.50%, due 02/01/40 | 227,222 | ||||||||
1,408,840 | FHLMC, Pool # 782735, 5.65%, due 09/01/36† | 1,498,423 | ||||||||
23,871 | FHLMC, Pool # H09061, 6.00%, due 06/01/37 | 26,227 | ||||||||
830,212 | FHLMC, Pool # G03265, 6.00%, due 08/01/37 | 940,986 | ||||||||
346,549 | FHLMC, Pool # G03362, 6.00%, due 09/01/37 | 390,658 | ||||||||
446,756 | FHLMC, Pool # G08271, 6.00%, due 05/01/38 | 503,377 | ||||||||
972,580 | FHLMC, Pool #G06409, 6.00%, due 11/01/39 | 1,097,484 | ||||||||
283,894 | FHLMC, Pool # G06832, 6.00%, due 03/01/40 | 320,204 | ||||||||
2,331,821 | FHLMC, Series 3556, Class ZL, 5.50%, due 07/15/38 | 2,525,483 | ||||||||
5,893,887 | FHLMC, Series 4283, Class EW, 6.19%, due 12/15/43† | 6,480,181 | ||||||||
36,754,131 | FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K006, Class AX1, 1.19%, due 01/25/20† | 1,660,423 | ||||||||
27,780,200 | FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K007, Class X1, 1.36%, due 04/25/20† | 1,354,691 | ||||||||
289,407 | FHLMC Reference REMIC, Series R007, Class ZA, 6.00%, due 05/15/36 | 324,978 | ||||||||
500,000 | FHLMC TBA, 3.00%, due 08/01/42 | 493,672 | ||||||||
500,000 | FHLMC TBA, 3.50%, due 06/01/42 | 510,371 | ||||||||
2,000,000 | FHLMC TBA, 4.00%, due 11/01/41 | 2,105,780 | ||||||||
1,927,952 | FNMA, Pool # AJ9278, 3.50%, due 12/01/41 | 1,974,863 | ||||||||
2,840,870 | FNMA, Pool # AL1895, 3.50%, due 06/01/42 | 2,914,485 | ||||||||
1,986,345 | FNMA, Pool # AL3316, 3.50%, due 03/01/43 | 2,035,380 |
66 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — continued |
| |||||||||
2,525,247 | FNMA, Pool # AE4096, 4.00%, due 09/01/30 | 2,699,960 | ||||||||
2,025,414 | FNMA, Pool # MA0587, 4.00%, due 12/01/30 | 2,165,858 | ||||||||
479,502 | FNMA, Pool # AS2666, 4.00%, due 06/01/34 | 510,226 | ||||||||
941,325 | FNMA, Pool # MA2019, 4.00%, due 09/01/34 | 1,001,748 | ||||||||
1,416,491 | FNMA, Pool # 932807, 4.00%, due 09/01/40 | 1,495,235 | ||||||||
2,860,249 | FNMA, Pool # AH4404, 4.00%, due 01/01/41 | 3,019,252 | ||||||||
482,360 | FNMA, Pool # AO4109, 4.00%, due 06/01/42 | 509,595 | ||||||||
555,626 | FNMA, Pool # AB9383, 4.00%, due 05/01/43 | 588,049 | ||||||||
2,334,089 | FNMA, Pool # AW5109, 4.00%, due 08/01/44 | 2,464,248 | ||||||||
4,986,690 | FNMA, Pool # AD0244, 4.50%, due 10/01/24 | 5,326,228 | ||||||||
1,471,148 | FNMA, Pool # AL4147, 4.50%, due 01/01/25 | 1,580,851 | ||||||||
327,201 | FNMA, Pool # MA0634, 4.50%, due 01/01/31 | 356,436 | ||||||||
1,424,773 | FNMA, Pool # AL4549, 4.50%, due 01/01/32 | 1,550,827 | ||||||||
3,125,705 | FNMA, Pool # 310098, 4.50%, due 06/01/36 | 3,375,255 | ||||||||
1,908,443 | FNMA, Pool # AD9153, 4.50%, due 08/01/40 | 2,064,643 | ||||||||
2,157,955 | FNMA, Pool # AL0215, 4.50%, due 04/01/41 | 2,336,395 | ||||||||
3,401,737 | FNMA, Pool # MA1860, 4.50%, due 04/01/44 | 3,678,899 | ||||||||
3,089,746 | FNMA, Pool # AL2439, 5.00%, due 06/01/26 | 3,334,888 | ||||||||
1,762,254 | FNMA, Pool # 725027, 5.00%, due 11/01/33 | 1,949,836 | ||||||||
1,651,890 | FNMA, Pool # 735893, 5.00%, due 10/01/35 | 1,826,959 | ||||||||
1,581,975 | FNMA, Pool # 745148, 5.00%, due 01/01/36 | 1,748,996 | ||||||||
1,296,346 | FNMA, Pool # 995245, 5.00%, due 01/01/39 | 1,430,005 | ||||||||
507,980 | FNMA, Pool # AI1892, 5.00%, due 05/01/41 | 565,697 | ||||||||
344,477 | FNMA, Pool # AE0011, 5.50%, due 09/01/23 | 378,356 | ||||||||
1,330,776 | FNMA, Pool # 995253, 5.50%, due 12/01/23 | 1,466,881 | ||||||||
1,780,601 | FNMA, Pool # AL0278, 5.50%, due 01/01/25 | 1,961,764 | ||||||||
11,508 | FNMA, Pool #254548, 5.50%, due 12/01/32 | 12,918 | ||||||||
1,071,156 | FNMA, Pool # 704235, 5.50%, due 05/01/33 | 1,197,988 | ||||||||
124,619 | FNMA, Pool # 555591, 5.50%, due 07/01/33 | 139,919 | ||||||||
1,603,345 | FNMA, Pool # 725221, 5.50%, due 01/01/34 | 1,800,617 | ||||||||
75,601 | FNMA, Pool # 735224, 5.50%, due 02/01/35 | 84,822 | ||||||||
152,807 | FNMA, Pool # 990906, 5.50%, due 10/01/35 | 170,514 | ||||||||
832,165 | FNMA, Pool # 849077, 5.50%, due 01/01/36 | 930,901 | ||||||||
1,833,319 | FNMA, Pool # 983471, 5.50%, due 05/01/38 | 2,040,207 | ||||||||
2,011,169 | FNMA, Pool # 985184, 5.50%, due 08/01/38 | 2,238,127 | ||||||||
1,244,257 | FNMA, Pool # AL0144, 5.56%, due 11/01/37† | 1,334,324 | ||||||||
1,253,540 | FNMA, Pool # 745506, 5.66%, due 02/01/16 | 1,307,656 | ||||||||
226,253 | FNMA, Pool # 256517, 6.00%, due 12/01/26 | 256,333 | ||||||||
218,455 | FNMA, Pool # 256962, 6.00%, due 11/01/27 | 247,991 | ||||||||
2,435,651 | FNMA, Pool # 725162, 6.00%, due 02/01/34 | 2,773,621 | ||||||||
1,637,737 | FNMA, Pool # AD0218, 6.00%, due 09/01/36 | 1,871,994 | ||||||||
63,787 | FNMA, Pool # 888736, 6.00%, due 10/01/37 | 69,808 | ||||||||
148,213 | FNMA, Pool # 955166, 6.00%, due 11/01/37 | 162,301 | ||||||||
751,712 | FNMA, Pool # AL0406, 6.00%, due 06/01/38 | 822,336 | ||||||||
225,312 | FNMA, Pool # AL0852, 6.00%, due 06/01/38 | 246,555 | ||||||||
550,919 | FNMA, Pool # AL0901, 6.00%, due 07/01/38 | 603,692 | ||||||||
205,871 | FNMA, Pool # AE0028, 6.00%, due 10/01/39 | 233,363 | ||||||||
1,022,668 | FNMA, Pool # AE0469, 6.00%, due 12/01/39 | 1,156,648 | ||||||||
201,303 | FNMA, Pool # AE0616, 6.00%, due 03/01/40 | 227,519 |
See accompanying Notes to the Financial Statements. | 67 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — continued |
| |||||||||
962,540 | FNMA, Pool # 256421, 6.50%, due 09/01/36 | 1,073,888 | ||||||||
594,930 | FNMA, Pool # AL0778, 6.50%, due 01/01/49 | 656,638 | ||||||||
1,603,672 | FNMA, Pool # 888369, 7.00%, due 03/01/37 | 1,794,919 | ||||||||
2,035,304 | FNMA, Series 2007-50, Class DZ, 5.50%, due 06/25/37 | 2,248,687 | ||||||||
1,687,148 | FNMA, Series 2007-63, Class VZ, 5.50%, due 07/25/37 | 1,863,446 | ||||||||
3,303,059 | FNMA, Series 2007-70, Class Z, 5.50%, due 07/25/37 | 3,551,457 | ||||||||
1,189,780 | FNMA, Series 2011-59, Class NZ, 5.50%, due 07/25/41 | 1,367,856 | ||||||||
1,769,719 | FNMA, Series 2012-134, Class FD, 0.50%, due 12/25/42† | 1,782,195 | ||||||||
159,054 | FNMA, Series 2012-28, Class B, 6.50%, due 06/25/39 | 178,499 | ||||||||
82,970 | FNMA Grantor Trust, Series 2004-T1, Class 1A2, 6.50%, due 01/25/44 | 94,139 | ||||||||
977,749 | FNMA REMIC Trust 2007-W1, Series 2007-W10, Class 2A, 6.29%, due 08/25/47† | 1,098,350 | ||||||||
4,000,000 | FNMA TBA, 3.00%, due 08/01/27 | 4,120,313 | ||||||||
1,000,000 | FNMA TBA, 3.00%, due 09/01/42 | 985,859 | ||||||||
7,000,000 | FNMA TBA, 3.50%, due 05/01/42 | 7,155,313 | ||||||||
4,000,000 | FNMA TBA, 3.50%, due 05/01/42 | 4,076,875 | ||||||||
1,500,000 | FNMA TBA, 4.00%, due 02/01/42 | 1,580,836 | ||||||||
3,500,000 | FNMA TBA, 4.00%, due 02/01/42 | 3,677,680 | ||||||||
3,000,000 | FNMA TBA, 4.50%, due 03/01/40 | 3,237,187 | ||||||||
500,000 | FNMA TBA, 5.00%, due 04/01/37 | 551,750 | ||||||||
500,000 | FNMA TBA, 5.50%, due 11/01/34 | 556,895 | ||||||||
2,379,955 | FNMA Trust, Series 2004-W1, Class 2A2, 7.00%, due 12/25/33 | 2,749,746 | ||||||||
115,532 | FNMA Trust, Series 2004-W9, Class 2A1, 6.50%, due 02/25/44 | 130,596 | ||||||||
1,201,740 | GNMA, Pool # 004833, 4.00%, due 10/20/40 | 1,279,300 | ||||||||
991,430 | GNMA, Pool # 004977, 4.00%, due 03/20/41 | 1,055,191 | ||||||||
1,975,655 | GNMA, Pool # MA1996, 4.00%, due 06/20/44 | 2,098,725 | ||||||||
1,126,832 | GNMA, Pool # 004636, 4.50%, due 02/20/40 | 1,227,232 | ||||||||
214,970 | GNMA, Pool # 004678, 4.50%, due 04/20/40 | 234,195 | ||||||||
2,887,680 | GNMA, Pool # 004978, 4.50%, due 03/20/41 | 3,148,312 | ||||||||
5,788,991 | GNMA, Pool # MA1922, 5.00%, due 05/20/44 | 6,408,154 | ||||||||
2,000,000 | GNMA TBA, 3.00%, due 11/01/42 | 2,012,812 | ||||||||
4,000,000 | GNMA TBA, 3.50%, due 11/20/33 | 4,123,437 | ||||||||
500,000 | GNMA TBA, 3.50%, due 01/01/42 | 516,680 | ||||||||
2,000,000 | GNMA TBA, 4.00%, due 10/01/42 | 2,119,687 | ||||||||
|
| |||||||||
219,401,043 | ||||||||||
|
| |||||||||
Municipal Obligations — 2.4% |
| |||||||||
300,000 | California Bay Area Toll Authority, 6.26%, due 04/01/49 | 402,177 | ||||||||
90,000 | District of Columbia Water & Sewer Authority, 4.81%, due 10/01/14 | 94,129 | ||||||||
490,000 | District of Columbia Water & Sewer Authority, 5.52%, due 10/01/44 | 594,512 | ||||||||
1,565,000 | Los Angeles Unified School District, 5.75%, due 07/01/34 | 1,902,852 | ||||||||
1,235,000 | Los Angeles Unified School District, 6.76%, due 07/01/34 | 1,654,702 | ||||||||
925,000 | New Jersey State Turnpike Authority, 7.10%, due 01/01/41 | 1,283,817 | ||||||||
300,000 | New Jersey State Turnpike Authority, 7.41%, due 01/01/40 | 429,957 | ||||||||
1,300,000 | New York City Transitional Finance Authority, 4.91%, due 11/01/24 | 1,458,184 | ||||||||
1,300,000 | New York City Transitional Finance Authority, 5.08%, due 11/01/25 | 1,486,524 | ||||||||
3,400,000 | State of California General Obligation, 7.30%, due 10/01/39 | 4,755,410 | ||||||||
335,000 | State of California General Obligation, 7.50%, due 04/01/34 | 478,273 | ||||||||
1,000,000 | State of California General Obligation, 7.55%, due 04/01/39 | 1,459,200 | ||||||||
350,000 | State of California General Obligation, 7.60%, due 11/01/40 | 517,892 |
68 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Municipal Obligations — continued | ||||||||||
350,000 | State of California General Obligation, 7.63%, due 03/01/40 | 510,699 | ||||||||
1,050,000 | State of Illinois General Obligation, 4.96%, due 03/01/16 | 1,104,810 | ||||||||
1,600,000 | State of Illinois General Obligation, 5.37%, due 03/01/17 | 1,727,216 | ||||||||
2,325,000 | State of Illinois General Obligation, 5.67%, due 03/01/18 | 2,564,847 | ||||||||
1,000,000 | State of Kentucky Property & Building Commission, 4.30%, due 11/01/19 | 1,081,000 | ||||||||
|
| |||||||||
23,506,201 | ||||||||||
|
| |||||||||
Sovereign Debt Obligations — 0.5% | ||||||||||
680,000 | Colombia Government International Bond, 5.63%, due 02/26/44 | 751,400 | ||||||||
912,000 | Hungary Government International Bond, 5.75%, due 11/22/23 | 992,940 | ||||||||
720,000 | Indonesia Government International Bond, 5.88%, due 01/15/24 144A | 795,600 | ||||||||
200,000 | Panama Government International Bond, 4.00%, due 09/22/24 | 200,500 | ||||||||
760,350 | Russian Foreign - Eurobond, Reg S, 7.50%, due 03/31/30†† ‡‡‡ | 853,668 | ||||||||
650,000 | Spain Government International Bond, 4.00%, due 03/06/18 144A | 693,881 | ||||||||
|
| |||||||||
4,287,989 | ||||||||||
|
| |||||||||
U.S. Government and Agency Obligations — 18.3% | ||||||||||
6,122,729 | FHLMC, 2.38%, due 06/01/37† | 6,569,936 | ||||||||
1,063,351 | FHLMC, 3.00%, due 10/01/28 | 1,096,557 | ||||||||
975,946 | FHLMC, 3.00%, due 06/01/29 | 1,006,442 | ||||||||
2,362,634 | FHLMC, 3.11%, due 06/01/44† | 2,452,410 | ||||||||
2,069,053 | FNMA, 1.92%, due 09/01/35† | 2,184,028 | ||||||||
3,275,165 | FNMA, 1.92%, due 07/01/35† | 3,485,263 | ||||||||
6,074,891 | FNMA, 2.34%, due 12/01/40† | 6,466,380 | ||||||||
71,653 | FNMA, 2.40%, due 09/01/35† | 76,827 | ||||||||
2,300,000 | FNMA, 2.48%, due 10/09/19‡‡ | 2,042,481 | ||||||||
1,076,560 | FNMA, 2.50%, due 06/01/27 | 1,089,463 | ||||||||
875,000 | FNMA, 2.63%, due 09/06/24 | 862,584 | ||||||||
744,000 | FNMA, 2.91%, due 09/01/44† | 767,538 | ||||||||
1,907,134 | FNMA, 3.00%, due 01/01/43 | 1,884,772 | ||||||||
1,445,627 | FNMA, 3.00%, due 03/01/43 | 1,428,351 | ||||||||
2,000,531 | FNMA, 3.00%, due 07/01/43 | 1,975,797 | ||||||||
2,089,932 | FNMA, Series 2014-57, Class PC, 3.00%, due 08/25/44 | 2,153,722 | ||||||||
1,235,000 | FNMA, 6.63%, due 11/15/30 | 1,757,771 | ||||||||
1,500,000 | FNMA TBA, 2.50%, due 12/01/99 | 1,504,980 | ||||||||
190,000 | Tennessee Valley Authority, 5.25%, due 09/15/39 | 231,595 | ||||||||
145,000 | U.S. Treasury Bond, 3.13%, due 08/15/44 | 142,700 | ||||||||
3,320,000 | U.S. Treasury Bond, 3.38%, due 05/15/44 | 3,428,418 | ||||||||
11,648,000 | U.S. Treasury Bond, 3.63%, due 08/15/43 | 12,592,583 | ||||||||
1,120,000 | U.S. Treasury Bond, 3.63%, due 02/15/44 | 1,210,651 | ||||||||
6,726,000 | U.S. Treasury Bond, 4.50%, due 02/15/36 | 8,304,511 | ||||||||
3,263,896 | U.S. Treasury Inflation Indexed Bonds, 0.13%, due 04/15/19 | 3,272,819 | ||||||||
280,000 | U.S. Treasury Note, 0.50%, due 06/30/16 | 280,186 | ||||||||
3,545,000 | U.S. Treasury Note, 0.50%, due 07/31/17 | 3,491,687 | ||||||||
15,750,000 | U.S. Treasury Note, 0.63%, due 10/15/16 | 15,745,086 | ||||||||
1,500,000 | U.S. Treasury Note, 0.75%, due 03/15/17 | 1,497,305 | ||||||||
1,610,000 | U.S. Treasury Note, 1.25%, due 11/30/18 | 1,587,988 | ||||||||
7,000,000 | U.S. Treasury Note, 1.50%, due 07/31/16 | 7,125,237 | ||||||||
22,750,000 | U.S. Treasury Note, 1.50%, due 02/28/19 | 22,590,932 |
See accompanying Notes to the Financial Statements. | 69 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
U.S. Government and Agency Obligations — continued | ||||||||||
10,326,000 | U.S. Treasury Note, 1.50%, due 05/31/19 | 10,219,518 | ||||||||
4,575,000 | U.S. Treasury Note, 1.63%, due 04/30/19 | 4,558,379 | ||||||||
815,000 | U.S. Treasury Note, 1.75%, due 09/30/19 | 813,949 | ||||||||
2,882,000 | U.S. Treasury Note, 1.75%, due 05/15/23 | 2,732,047 | ||||||||
6,450,000 | U.S. Treasury Note, 2.13%, due 01/31/21 | 6,450,503 | ||||||||
4,840,000 | U.S. Treasury Note, 2.25%, due 03/31/21 | 4,868,740 | ||||||||
16,140,000 | U.S. Treasury Note, 2.38%, due 05/31/18 | 16,696,701 | ||||||||
395,000 | U.S. Treasury Note, 2.38%, due 08/15/24 | 390,464 | ||||||||
8,228,000 | U.S. Treasury Note, 2.50%, due 05/15/24 | 8,234,105 | ||||||||
1,060,000 | U.S. Treasury STRIPS, 5.44%, due 11/15/43‡‡ | 403,231 | ||||||||
|
| |||||||||
175,674,637 | ||||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $927,216,994) | 940,866,171 | |||||||||
|
| |||||||||
Shares | Description | Value ($) | ||||||||
PREFERRED STOCK — 0.3% | ||||||||||
Diversified Financial Services — 0.3% | ||||||||||
102,400 | Citigroup Capital XIII, 7.88%† ‡ | 2,756,608 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCK (COST $2,752,358) | 2,756,608 | |||||||||
|
| |||||||||
Notional | Description | Value ($) | ||||||||
OPTIONS PURCHASED — 0.0% | ||||||||||
Call Options — 0.0% | ||||||||||
252,000 | U.S. Treasury Note 5-Year Futures Option with Barclays Capital, Inc., | 74,813 | ||||||||
|
| |||||||||
TOTAL CALL OPTIONS PURCHASED (COST $136,381) | 74,813 | |||||||||
|
| |||||||||
Put Options — 0.0% | ||||||||||
71,000 | U.S. Treasury Note 10-Year Futures Option with Barclays Capital, Inc., | 11,258 | ||||||||
|
| |||||||||
TOTAL PUT OPTIONS PURCHASED (COST $11,258) | 11,258 | |||||||||
|
| |||||||||
TOTAL OPTIONS PURCHASED (COST $147,639) | 86,071 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 7.7% | ||||||||||
Bank Deposit — 6.9% | ||||||||||
66,516,309 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/01/14 | 66,516,309 | ||||||||
|
| |||||||||
TOTAL BANK DEPOSITS (COST $66,516,309) | 66,516,309 | |||||||||
|
| |||||||||
Securities Lending Collateral — 0.2% | ||||||||||
1,738,208 | State Street Navigator Securities Lending Prime Portfolio*** | 1,738,208 | ||||||||
|
| |||||||||
TOTAL SECURITIES LENDING COLLATERAL (COST $1,738,208) | 1,738,208 | |||||||||
|
|
70 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
U.S. Government and Agency Obligations — 0.6% | ||||||||||
5,741,000 | U.S. Treasury Bill, 0.01%, due 10/16/14‡‡ | 5,740,987 | ||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (COST $5,740,987) | 5,740,987 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $73,995,504) | 73,995,504 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS BEFORE TBA COMMITMENTS — 105.8% (Cost $1,004,112,495) | 1,017,704,354 | |||||||||
|
| |||||||||
TBA SALE COMMITMENTS — (0.5)% | ||||||||||
(4,500,000 | ) | FNMA TBA, 3.50%, due 10/01/42 | (4,599,844 | ) | ||||||
|
| |||||||||
TOTAL TBA SALE COMMITMENTS (PROCEEDS $4,606,875) | (4,599,844 | ) | ||||||||
|
| |||||||||
TOTAL INVESTMENTS NET OF TBA SALE COMMITMENTS — 105.3% (Cost $999,505,620) | 1,013,104,510 | |||||||||
Other Assets and Liabilities (net) — (5.3)% | (50,638,368 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 962,466,142 | ||||||||
|
|
See accompanying Notes to the Financial Statements. | 71 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Notes to Schedule of Investments: | ||||||
ACES — Alternative Credit Enhancement Securities | ||||||
CLO — Collateralized Loan Obligation | ||||||
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 | ||||||
REIT — Real Estate Investment Trust | ||||||
REMIC — Real Estate Mortgage Investment Conduit | ||||||
TBA — To Be Announced | ||||||
# | Year of maturity is greater than 2100. | |||||
¤ | Illiquid security. The total market value of the securities at period end is $5,780,583 which represents 0.6% of net assets. The aggregate tax cost of these securities held at September 30, 2014 was $6,333,952. | |||||
*** | 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 $0 which represents 0.0% of net assets. The aggregate tax cost of these securities held at September 30, 2014 was $561,882. | |||||
† | Floating rate note. Rate shown is as of September 30, 2014. | |||||
†† | 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 $86,702,046 which represents 9.0% of net assets. |
72 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
215 | U.S. Treasury Note 2-Year | December 2014 | $ | 47,051,406 | $ | (29,476 | ) | |||||||||||
34 | U.S. Ultra Bond | December 2014 | 5,185,000 | 27,831 | ||||||||||||||
|
| |||||||||||||||||
$ | (1,645 | ) | ||||||||||||||||
|
| |||||||||||||||||
Sales | ||||||||||||||||||
59 | U.S. Long Bond | December 2014 | $ | 8,136,469 | $ | 24,456 | ||||||||||||
119 | U.S. Treasury Note 5-Year | December 2014 | 14,072,680 | 8,052 | ||||||||||||||
13 | U.S. Treasury Note 10-Year | December 2014 | 1,620,328 | (1,032 | ) | |||||||||||||
|
| |||||||||||||||||
$ | 31,476 | |||||||||||||||||
|
|
Written Options
Type of Contract | Counterparty | Number of Contracts/ Notional Amount | Premiums Received | Value at September 30, 2014 | |||||||||||||||||
CALL — U.S. Treasury Note 5-Year Futures Option | Barclays Capital, Inc. | 252 | $ | 44,744 | $ | (17,719 | ) | ||||||||||||||
PUT — U.S. Treasury Note 10-Year Futures Option | Barclays Capital, Inc. | 71 | 4,273 | (3,328 | ) | ||||||||||||||||
TOTAL | $ | 49,017 | $ | (21,047 | ) | ||||||||||||||||
|
|
|
|
Centrally Cleared Interest Rate Swaps
Pay/Receive | Floating Rate Index | Fixed Rate | Maturity Date | Counterparty | Notional | Unrealized Appreciation (Depreciation) | ||||||||||
Receive | 3-Month USD LIBOR | 0.62% | 06/30/16 | JPMorgan Chase N.A. | $ | 2,590,000 | $ | 3,556 | ||||||||
Receive | 3-Month USD LIBOR | 0.65% | 06/30/16 | JPMorgan Chase N.A. | 2,150,000 | 1,551 | ||||||||||
Receive | 3-Month USD LIBOR | 0.71% | 08/29/16 | JPMorgan Chase N.A. | 13,260,000 | 18,894 | ||||||||||
Pay | 3-Month USD LIBOR | 1.80% | 08/29/19 | JPMorgan Chase N.A. | 10,530,000 | (59,869 | ) | |||||||||
Receive | 3-Month USD LIBOR | 2.56% | 08/29/24 | JPMorgan Chase N.A. | 2,860,000 | 19,905 | ||||||||||
Receive | 3-Month USD LIBOR | 2.57% | 09/8/24 | JPMorgan Chase N.A. | 1,600,000 | 10,300 | ||||||||||
Pay | Interbank Equilibrium Interest Rate | 6.01% | 08/19/24 | JPMorgan Chase N.A. | MXN | 25,050,000 | (52,380 | ) | ||||||||
$ | (58,043 | ) | ||||||||||||||
|
|
See accompanying Notes to the Financial Statements. | 73 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Centrally Cleared Credit Default Swaps (See Note 2(a))
Notional Amount | Expiration Date | Counterparty | Unrealized | |||||||||
$ | 2,970,000 | 06/20/19 | JPMorgan Chase N.A. | $ | 24,826 | |||||||
|
|
Currency Abbreviations
MXN | Mexican Peso |
74 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Debt Obligations | 97.8 | ||||
Preferred Stock | 0.3 | ||||
Options Purchased | 0.0 | ||||
Futures Contracts | 0.0 | ||||
Written Options | 0.0 | ||||
Swaps | 0.0 | ||||
TBA Sale Commitments | (0.5 | ) | |||
Short-Term Investments | 7.7 | ||||
Other Assets and Liabilities (net) | (5.3 | ) | |||
|
| ||||
100.0 | % | ||||
|
|
See accompanying Notes to the Financial Statements. | 75 |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 93.9% | ||||||||||
Corporate Debt — 46.1% | ||||||||||
800,000 | 1011778 BC ULC/New Red Finance, Inc., 6.00%, due 04/01/22 144A†††† | 799,000 | ||||||||
600,000 | 24 Hour Holdings III LLC, 8.00%, due 06/01/22 144A | 558,000 | ||||||||
100,000 | AECOM Technology Corp., 5.75%, due 10/15/22 144A†††† | 100,625 | ||||||||
100,000 | AECOM Technology Corp., 5.88%, due 10/15/24 144A†††† | 101,125 | ||||||||
400,000 | AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust, 5.00%, due 10/01/21 144A | 399,000 | ||||||||
1,300,000 | Alcatel-Lucent USA, Inc., 6.75%, due 11/15/20 144A | 1,326,000 | ||||||||
1,000,000 | Alere, Inc., 6.50%, due 06/15/20 | 1,002,500 | ||||||||
200,000 | Alere, Inc., 7.25%, due 07/01/18 | 210,500 | ||||||||
1,200,000 | Ally Financial, Inc., 7.50%, due 09/15/20 | 1,386,000 | ||||||||
400,000 | Anna Merger Sub, Inc., 7.75%, due 10/01/22 144A | 403,000 | ||||||||
1,400,000 | ArcelorMittal, 6.00%, due 03/01/21 | 1,477,000 | ||||||||
600,000 | ArcelorMittal, 6.13%, due 06/01/18 | 637,500 | ||||||||
1,000,000 | Ardagh Packaging Finance Plc/Ardagh Holdings USA, Inc., 6.00%, due 06/30/21 144A | 962,500 | ||||||||
1,000,000 | EUR | Avis Budget Finance Plc, 6.00%, due 03/01/21 144A | 1,332,729 | |||||||
600,000 | Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., 6.00%, due 10/15/21 | 621,750 | ||||||||
1,000,000 | EUR | Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding B BV, 5.75%, due 02/01/21 144A | 1,345,361 | |||||||
1,500,000 | Bank of America Corp., Series M, 8.13%, due 12/29/49† | 1,631,390 | ||||||||
500,000 | Barminco Finance Pty, Ltd., 9.00%, due 06/01/18 144A | 435,000 | ||||||||
700,000 | Blackboard, Inc., 7.75%, due 11/15/19 144A | 696,500 | ||||||||
900,000 | BMC Software Finance, Inc., 8.13%, due 07/15/21 144A | 868,500 | ||||||||
1,000,000 | BreitBurn Energy Partners LP/BreitBurn Finance Corp., 7.88%, due 04/15/22 | 1,017,500 | ||||||||
500,000 | Caesars Entertainment Operating Co., Inc., 9.00%, due 02/15/20 | 385,000 | ||||||||
600,000 | Caesars Entertainment Operating Co., Inc., 11.25%, due 06/01/17 | 468,750 | ||||||||
300,000 | California Resources Corp., 5.50%, due 09/15/21 144A†††† | 304,875 | ||||||||
300,000 | California Resources Corp., 6.00%, due 11/15/24 144A†††† | 309,000 | ||||||||
200,000 | Calpine Corp., 5.75%, due 01/15/25 | 194,500 | ||||||||
1,200,000 | Calpine Corp., 6.00%, due 01/15/22 144A | 1,275,000 | ||||||||
1,500,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.25%, due 09/30/22 | 1,473,750 | ||||||||
300,000 | EUR | Celanese US Holdings LLC, 3.25%, due 10/15/19 | 382,886 | |||||||
1,200,000 | Cemex Finance LLC, 9.38%, due 10/12/22 144A | 1,359,000 | ||||||||
200,000 | Cemex SAB de CV, 9.00%, due 01/11/18 144A | 212,000 | ||||||||
1,200,000 | CenturyLink, Inc., 6.75%, due 12/01/23 | 1,291,500 | ||||||||
500,000 | EUR | CeramTec Group GmbH, 8.25%, due 08/15/21 144A | 685,313 | |||||||
1,100,000 | CGG, 6.50%, due 06/01/21 | 968,000 | ||||||||
810,000 | CHC Helicopter SA, 9.25%, due 10/15/20 | 866,700 | ||||||||
500,000 | CHC Helicopter SA, 9.38%, due 06/01/21 | 530,000 | ||||||||
1,200,000 | Chesapeake Energy Corp., 6.13%, due 02/15/21 | 1,311,000 | ||||||||
1,400,000 | CHS/Community Health Systems, Inc., 6.88%, due 02/01/22 144A | 1,463,000 | ||||||||
1,500,000 | CIT Group, Inc., 5.00%, due 08/01/23 | 1,492,500 | ||||||||
1,400,000 | Citigroup, Inc., 6.30%, due 12/29/49† | 1,388,426 | ||||||||
800,000 | Clear Channel Worldwide Holdings, Inc., 7.63%, due 03/15/20 | 834,000 | ||||||||
300,000 | Compressco Partners, LP/Compressco Finance, Inc., 7.25%, due 08/15/22 144A | 301,500 | ||||||||
200,000 | CONSOL Energy, Inc., 5.88%, due 04/15/22 144A | 197,750 | ||||||||
500,000 | CONSOL Energy, Inc., 6.38%, due 03/01/21 | 510,000 | ||||||||
600,000 | CONSOL Energy, Inc., 8.25%, due 04/01/20 | 629,250 | ||||||||
700,000 | EUR | Constellium NV, 4.63%, due 05/15/21 144A | 906,382 | |||||||
1,400,000 | CSC Holdings LLC, 6.75%, due 11/15/21 | 1,496,530 |
76 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
500,000 | DaVita HealthCare Partners, Inc., 5.13%, due 07/15/24 | 492,188 | ||||||||
400,000 | EUR | Deutsche Raststaetten Gruppe IV GmbH, 6.75%, due 12/30/20 144A | 531,828 | |||||||
300,000 | Digicel Group, Ltd., 7.13%, due 04/01/22 144A | 300,150 | ||||||||
200,000 | Digicel Group, Ltd., 8.25%, due 09/30/20 144A | 207,020 | ||||||||
500,000 | Digicel, Ltd., 6.00%, due 04/15/21 144A | 496,250 | ||||||||
500,000 | DISH DBS Corp., 5.00%, due 03/15/23 | 480,938 | ||||||||
500,000 | DISH DBS Corp., 5.13%, due 05/01/20 | 500,000 | ||||||||
600,000 | Dole Food Co., Inc., 7.25%, due 05/01/19 144A | 596,250 | ||||||||
500,000 | Drill Rigs Holdings, Inc., 6.50%, due 10/01/17 144A | 500,000 | ||||||||
700,000 | E*TRADE Financial Corp., 6.38%, due 11/15/19 | 738,500 | ||||||||
600,000 | EUR | Edcon Pty, Ltd., 9.50%, due 03/01/18 144A | 630,993 | |||||||
300,000 | EUR | Edcon Pty, Ltd., 9.50%, due 03/01/18 144A | 318,339 | |||||||
1,000,000 | Eldorado Gold Corp., 6.13%, due 12/15/20 144A | 997,500 | ||||||||
1,600,000 | Energy Transfer Equity, LP, 7.50%, due 10/15/20 | 1,788,000 | ||||||||
800,000 | Energy XXI Gulf Coast, Inc., 6.88%, due 03/15/24 144A | 754,000 | ||||||||
500,000 | EnQuest Plc, 7.00%, due 04/15/22 144A | 472,500 | ||||||||
250,000 | EPL Oil & Gas, Inc., 8.25%, due 02/15/18 | 256,875 | ||||||||
400,000 | Equinix, Inc., 4.88%, due 04/01/20 | 398,000 | ||||||||
800,000 | Equinix, Inc., 5.38%, due 04/01/23 | 796,000 | ||||||||
8,150,000 | ZAR | European Investment Bank, Reg S, 8.50%, due 09/17/24‡‡‡ | 709,196 | |||||||
649,000,000 | COP | Financiera de Desarrollo Territorial SA Findeter, Reg S, 7.88%, due 08/12/24‡‡‡ | 328,961 | |||||||
500,000 | EUR | Financiere Gaillon 8 SAS, 7.00%, due 09/30/19 144A | 585,043 | |||||||
700,000 | EUR | Financiere Quick SAS, 7.70%, due 10/15/19† 144A | 808,006 | |||||||
1,500,000 | First Data Corp., 8.25%, due 01/15/21 144A | 1,597,500 | ||||||||
325,000 | First Data Corp., 11.25%, due 01/15/21 | 370,906 | ||||||||
1,500,000 | First Quantum Minerals, Ltd., 7.00%, due 02/15/21 144A | 1,528,125 | ||||||||
300,000 | Florida East Coast Holdings Corp., 6.75%, due 05/01/19 144A | 306,750 | ||||||||
200,000 | Florida East Coast Holdings Corp., 9.75%, due 05/01/20 144A | 204,000 | ||||||||
1,500,000 | FMG Resources August 2006 Pty, Ltd., 6.88%, due 04/01/22 144A | 1,531,875 | ||||||||
1,300,000 | Frontier Communications Co., Senior Note, 7.88%, due 01/15/27 | 1,313,000 | ||||||||
200,000 | Frontier Communications Corp., 7.63%, due 04/15/24 | 208,500 | ||||||||
400,000 | EUR | Galapagos Holding SA, 7.00%, due 06/15/22 144A | 472,455 | |||||||
200,000 | EUR | Galapagos SA/Luxembourg, 5.38%, due 06/15/21 144A | 248,355 | |||||||
1,000,000 | Gannett Co., Inc., 5.13%, due 07/15/20 | 1,007,500 | ||||||||
400,000 | Gannett Co., Inc., 6.38%, due 10/15/23 144A | 417,000 | ||||||||
700,000 | Goodrich Petroleum Corp., 8.88%, due 03/15/19 | 722,750 | ||||||||
1,200,000 | Goodyear Tire & Rubber Co. (The), 6.50%, due 03/01/21 | 1,254,000 | ||||||||
400,000 | Grifols Worldwide Operations, Ltd., 5.25%, due 04/01/22 144A | 396,000 | ||||||||
900,000 | Halcon Resources Corp., 8.88%, due 05/15/21 | 891,000 | ||||||||
600,000 | HCA, Inc., 5.00%, due 03/15/24 | 591,750 | ||||||||
1,200,000 | HCA, Inc., 5.88%, due 05/01/23 | 1,230,000 | ||||||||
500,000 | HCA, Inc., 6.50%, due 02/15/20 | 547,500 | ||||||||
600,000 | Hertz Corp. (The), 6.25%, due 10/15/22 | 610,500 | ||||||||
700,000 | Hertz Corp. (The), 6.75%, due 04/15/19 | 725,375 | ||||||||
700,000 | EUR | Iglo Foods Bondco Plc, 4.58%, due 06/15/20† 144A | 857,747 | |||||||
900,000 | iHeartCommunications, Inc., 9.00%, due 03/01/21 | 898,875 | ||||||||
200,000 | iHeartCommunications, Inc., 9.00%, due 09/15/22 144A | 199,000 | ||||||||
100,000 | Ineos Finance Plc, 7.50%, due 05/01/20 144A | 106,875 | ||||||||
700,000 | EUR | INEOS Group Holdings SA, 5.75%, due 02/15/19 144A | 888,696 |
See accompanying Notes to the Financial Statements. | 77 |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
1,600,000 | Intelsat Jackson Holdings SA, 5.50%, due 08/01/23 | 1,534,000 | ||||||||
8,860,000,000 | IDR | Inter-American Development Bank, Reg S, 7.35%, due 09/12/18‡‡‡ | 725,248 | |||||||
900,000 | InterGen NV, 7.00%, due 06/30/23 144A | 870,750 | ||||||||
900,000 | Jaguar Holding Co. I, 9.38%, due 10/15/17 144A | 911,250 | ||||||||
100,000 | JBS USA LLC/JBS USA Finance, Inc., 5.88%, due 07/15/24 144A | 96,250 | ||||||||
1,000,000 | JBS USA LLC/JBS USA Finance, Inc., 7.25%, due 06/01/21 144A | 1,055,000 | ||||||||
200,000 | JBS USA LLC/JBS USA Finance, Inc., 8.25%, due 02/01/20 144A | 214,000 | ||||||||
200,000 | JPMorgan Chase & Co., 5.00%, due 12/29/49† | 195,985 | ||||||||
1,200,000 | JPMorgan Chase & Co., 6.00%, due 12/29/49† | 1,186,500 | ||||||||
300,000 | KB Home, 4.75%, due 05/15/19 | 292,500 | ||||||||
1,000,000 | KB Home, 7.50%, due 09/15/22 | 1,075,000 | ||||||||
100,000 | Kinder Morgan, Inc., 5.00%, due 02/15/21 144A | 104,750 | ||||||||
1,700,000 | Kinder Morgan, Inc., 5.63%, due 11/15/23 144A | 1,814,750 | ||||||||
750,000 | Landry’s, Inc., 9.38%, due 05/01/20 144A | 796,875 | ||||||||
1,500,000 | Linn Energy LLC/Linn Energy Finance Corp., 6.25%, due 11/01/19 | 1,471,875 | ||||||||
700,000 | Martin Midstream Partners, LP/Martin Midstream Finance Corp., 7.25%, due 02/15/21 | 701,750 | ||||||||
400,000 | Memorial Resource Development Corp., 5.88%, due 07/01/22 144A | 392,000 | ||||||||
1,200,000 | MGM Resorts International, 6.75%, due 10/01/20 | 1,281,000 | ||||||||
600,000 | Midstates Petroleum Co., Inc./Midstates Petroleum Co. LLC, 9.25%, due 06/01/21 | 597,000 | ||||||||
1,200,000 | Millicom International Cellular SA, 6.63%, due 10/15/21 144A | 1,251,000 | ||||||||
500,000 | Murray Energy Corp., 8.63%, due 06/15/21 144A | 520,000 | ||||||||
2,000,000 | Navient LLC, 5.50%, due 01/15/19 | 2,045,000 | ||||||||
800,000 | Neuberger Berman Group LLC/Neuberger Berman Finance Corp., 5.88%, due 03/15/22 144A | 854,000 | ||||||||
450,000 | GBP | New Look Bondco I Plc, 8.75%, due 05/14/18 144A | 764,170 | |||||||
200,000 | NGL Energy Partners LP/NGL Energy Finance Corp., 5.13%, due 07/15/19 144A | 196,250 | ||||||||
400,000 | NRG Yield Operating LLC, 5.38%, due 08/15/24 144A | 403,000 | ||||||||
700,000 | Ocean Rig UDW, Inc., 7.25%, due 04/01/19 144A | 644,000 | ||||||||
900,000 | Offshore Group Investment, Ltd., 7.13%, due 04/01/23 | 797,625 | ||||||||
400,000 | Offshore Group Investment, Ltd., 7.50%, due 11/01/19 | 373,000 | ||||||||
1,000,000 | Olin Corp., 5.50%, due 08/15/22 | 1,035,000 | ||||||||
200,000 | Peabody Energy Corp., 6.00%, due 11/15/18 | 197,000 | ||||||||
1,300,000 | Peabody Energy Corp., 6.25%, due 11/15/21 | 1,213,875 | ||||||||
200,000 | Penn Virginia Resource Partners, LP/Penn Virginia Resource Finance Corp. II, 6.50%, due 05/15/21 | 210,500 | ||||||||
65,000 | Penn Virginia Resource Partners, LP/Penn Virginia Resource Finance Corp. II, 8.38%, due 06/01/20 | 71,175 | ||||||||
6,000,000 | MXN | Petroleos Mexicanos, Reg S, 7.19%, due 09/12/24‡‡‡ | 452,279 | |||||||
100,000 | EUR | Play Finance 1 SA, 6.50%, due 08/01/19 144A | 132,325 | |||||||
300,000 | EUR | Play Finance 2 SA, 5.25%, due 02/01/19 144A | 388,146 | |||||||
300,000 | Polymer Group, Inc., 6.88%, due 06/01/19 144A | 299,625 | ||||||||
100,000 | Post Holdings, Inc., 6.00%, due 12/15/22 144A | 91,750 | ||||||||
800,000 | Post Holdings, Inc., 6.75%, due 12/01/21 144A | 760,000 | ||||||||
200,000 | Post Holdings, Inc., 7.38%, due 02/15/22 | 198,500 | ||||||||
600,000 | QR Energy, LP/QRE Finance Corp. LLC, 9.25%, due 08/01/20 | 684,000 | ||||||||
800,000 | Quicksilver Resources, Inc., 7.00%, due 06/21/19† 144A | 736,000 | ||||||||
200,000 | Radio One, Inc., 9.25%, due 02/15/20 144A | 200,500 | ||||||||
1,000,000 | EUR | Rain CII Carbon LLC/CII Carbon Corp., 8.50%, due 01/15/21 144A | 1,320,096 | |||||||
1,000,000 | Regency Energy Partners, LP/Regency Energy Finance Corp., 5.88%, due 03/01/22 | 1,045,000 |
78 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
300,000 | Regency Energy Partners, LP/Regency Energy Finance Corp., 8.38%, due 06/01/19 144A | 319,500 | ||||||||
700,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer, 5.75%, due 10/15/20 | 715,750 | ||||||||
400,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer, 8.25%, due 02/15/21 | 425,000 | ||||||||
400,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer, 9.00%, due 04/15/19 | 418,500 | ||||||||
1,300,000 | EUR | Royal Bank of Scotland Plc (The), 6.93%, due 04/09/18 | 1,890,354 | |||||||
400,000 | Sabine Pass Liquefaction LLC, 5.63%, due 02/01/21 | 413,000 | ||||||||
1,000,000 | Sabine Pass Liquefaction LLC, 5.63%, due 04/15/23 | 1,015,000 | ||||||||
1,000,000 | Samson Investment Co., 9.75%, due 02/15/20 | 912,500 | ||||||||
700,000 | Sirius XM Radio, Inc., 6.00%, due 07/15/24 144A | 712,250 | ||||||||
1,200,000 | Sprint Communications, Inc., 6.00%, due 11/15/22 | 1,168,500 | ||||||||
900,000 | Sprint Corp., 7.13%, due 06/15/24 144A | 910,125 | ||||||||
100,000 | Sprint Corp., 7.88%, due 09/15/23 144A | 106,250 | ||||||||
300,000 | SRA International, Inc., 11.00%, due 10/01/19 | 321,000 | ||||||||
300,000 | Steel Dynamics, Inc., 5.13%, due 10/01/21 144A | 304,500 | ||||||||
400,000 | Steel Dynamics, Inc., 5.50%, due 10/01/24 144A | 403,000 | ||||||||
300,000 | Stena AB, 7.00%, due 02/01/24 144A | 312,750 | ||||||||
700,000 | Stena International SA, 5.75%, due 03/01/24 144A | 701,750 | ||||||||
1,000,000 | T-Mobile USA, Inc., 6.13%, due 01/15/22 | 1,008,750 | ||||||||
300,000 | T-Mobile USA, Inc., 6.38%, due 03/01/25 | 300,000 | ||||||||
1,000,000 | Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.63%, due 03/01/24 144A | 967,500 | ||||||||
1,500,000 | EUR | Telecom Italia Spa, Reg S, 5.38%, due 01/29/19‡‡‡ | 2,114,555 | |||||||
300,000 | Tenet Healthcare Corp., 5.00%, due 03/01/19 144A | 297,000 | ||||||||
1,000,000 | Tenet Healthcare Corp., 8.13%, due 04/01/22 | 1,100,000 | ||||||||
1,000,000 | Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Series 1, 11.50%, due 10/01/20††† 144A | 842,500 | ||||||||
200,000 | TransDigm, Inc., 6.00%, due 07/15/22 144A | 197,750 | ||||||||
200,000 | TransDigm, Inc., 6.50%, due 07/15/24 144A | 199,500 | ||||||||
2,880,000 | ZAR | Transnet SOC, Ltd., Reg S, 9.50%, due 05/13/21‡‡‡ | 253,521 | |||||||
200,000 | Triangle USA Petroleum Corp., 6.75%, due 07/15/22 144A | 196,250 | ||||||||
900,000 | Ultra Petroleum Corp., 6.13%, due 10/01/24 144A | 864,000 | ||||||||
700,000 | EUR | Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 5.75%, due 01/15/23 144A | 955,450 | |||||||
700,000 | Valeant Pharmaceuticals International, 6.38%, due 10/15/20 144A | 721,875 | ||||||||
700,000 | Valeant Pharmaceuticals International, Inc., 5.63%, due 12/01/21 144A | 699,125 | ||||||||
100,000 | GBP | Virgin Media Secured Finance Plc, 5.50%, due 01/15/25 144A | 162,277 | |||||||
800,000 | GBP | Virgin Media Secured Finance Plc, 6.00%, due 04/15/21 144A | 1,343,635 | |||||||
100,000 | Visant Corp., 10.00%, due 10/01/17 | 89,750 | ||||||||
400,000 | WhiteWave Foods Co. (The), 5.38%, due 10/01/22 | 405,000 | ||||||||
400,000 | EUR | Wind Acquisition Finance SA, 4.00%, due 07/15/20 144A | 499,615 | |||||||
700,000 | EUR | Wind Acquisition Finance SA, 7.00%, due 04/23/21 144A | 913,456 | |||||||
1,100,000 | WMG Acquisition Corp., 5.63%, due 04/15/22 144A | 1,102,750 | ||||||||
300,000 | Ymobile Corp., 8.25%, due 04/01/18 144A | 318,000 | ||||||||
|
| |||||||||
130,162,950 | ||||||||||
|
|
See accompanying Notes to the Financial Statements. | 79 |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Sovereign Debt Obligations — 47.8% | ||||||||||
170,000,000 | CLP | Bonos del Banco Central de Chile en Pesos, 6.00%, due 02/01/16 | 294,608 | |||||||
4,230,000 | BRL | Brazil Letras do Tesouro Nacional, 13.52%, due 01/01/18‡‡ | 1,178,161 | |||||||
18,745,000 | BRL | Brazil Notas do Tesouro Nacional Serie F, 10.00%, due 01/01/17 | 7,326,494 | |||||||
18,476,000 | BRL | Brazil Notas do Tesouro Nacional Serie F, 10.00%, due 01/01/18 | 7,095,995 | |||||||
1,089,000 | BRL | Brazil Notas do Tesouro Nacional Serie F, 10.00%, due 01/01/21 | 402,903 | |||||||
15,200,000 | BRL | Brazil Notas do Tesouro Nacional Serie F, 10.00%, due 01/01/23 | 5,593,634 | |||||||
5,852,000 | BRL | Brazil Notas do Tesouro Nacional Serie F, 10.00%, due 01/01/25 | 2,079,480 | |||||||
3,057,200,000 | COP | Colombian TES, 6.00%, due 04/28/28 | 1,356,366 | |||||||
1,270,200,000 | COP | Colombian TES, 7.00%, due 09/11/19 | 656,963 | |||||||
2,271,900,000 | COP | Colombian TES, 7.00%, due 05/04/22 | 1,146,422 | |||||||
3,870,700,000 | COP | Colombian TES, 7.50%, due 08/26/26 | 1,974,648 | |||||||
544,700,000 | COP | Colombian TES, 10.00%, due 07/24/24 | 329,864 | |||||||
1,467,800,000 | COP | Colombian TES, 11.25%, due 10/24/18 | 868,253 | |||||||
12,020,000 | HUF | Hungary Government Bond, 5.50%, due 12/22/16 | 52,473 | |||||||
264,980,000 | HUF | Hungary Government Bond, 5.50%, due 12/20/18 | 1,168,182 | |||||||
150,550,000 | HUF | Hungary Government Bond, 5.50%, due 06/24/25 | 656,605 | |||||||
61,970,000 | HUF | Hungary Government Bond, 6.00%, due 11/24/23 | 279,874 | |||||||
731,280,000 | HUF | Hungary Government Bond, 6.50%, due 06/24/19 | 3,341,253 | |||||||
120,040,000 | HUF | Hungary Government Bond, 7.00%, due 06/24/22 | 572,420 | |||||||
46,470,000 | HUF | Hungary Government Bond, 7.75%, due 08/24/15 | 199,013 | |||||||
14,000,000,000 | IDR | Indonesia Treasury Bond, 5.25%, due 05/15/18 | 1,047,367 | |||||||
26,811,000,000 | IDR | Indonesia Treasury Bond, 5.63%, due 05/15/23 | 1,835,173 | |||||||
8,900,000,000 | IDR | Indonesia Treasury Bond, 6.13%, due 05/15/28 | 588,550 | |||||||
15,988,000,000 | IDR | Indonesia Treasury Bond, 6.63%, due 05/15/33 | 1,038,227 | |||||||
3,300,000,000 | IDR | Indonesia Treasury Bond, 7.00%, due 05/15/27 | 235,564 | |||||||
7,888,000,000 | IDR | Indonesia Treasury Bond, 7.88%, due 04/15/19 | 639,261 | |||||||
45,839,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 03/15/24 | 3,747,813 | |||||||
213,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 09/15/26 | 17,294 | |||||||
21,162,000,000 | IDR | Indonesia Treasury Bond, 9.00%, due 03/15/29 | 1,771,519 | |||||||
645,000,000 | IDR | Indonesia Treasury Bond, 12.80%, due 06/15/21 | 64,808 | |||||||
1,860,000 | MYR | Malaysia Government Bond, 3.17%, due 07/15/16 | 565,572 | |||||||
12,900,000 | MYR | Malaysia Government Bond, 3.26%, due 03/01/18 | 3,897,231 | |||||||
4,078,000 | MYR | Malaysia Government Bond, 3.42%, due 08/15/22 | 1,205,753 | |||||||
120,000 | MYR | Malaysia Government Bond, 3.48%, due 03/15/23 | 35,565 | |||||||
418,000 | MYR | Malaysia Government Bond, 3.49%, due 03/31/20 | 125,819 | |||||||
1,059,000 | MYR | Malaysia Government Bond, 3.58%, due 09/28/18 | 322,845 | |||||||
1,830,000 | MYR | Malaysia Government Bond, 3.74%, due 02/27/15 | 558,695 | |||||||
2,169,000 | MYR | Malaysia Government Bond, 3.84%, due 08/12/15 | 663,938 | |||||||
6,302,000 | MYR | Malaysia Government Bond, 3.89%, due 07/31/20 | 1,930,871 | |||||||
999,000 | MYR | Malaysia Government Bond, 3.89%, due 03/15/27 | 297,063 | |||||||
4,900,000 | MYR | Malaysia Government Bond, 4.01%, due 09/15/17 | 1,512,795 | |||||||
174,000 | MYR | Malaysia Government Bond, 4.16%, due 07/15/21 | 54,032 | |||||||
9,323,000 | MYR | Malaysia Government Bond, 4.18%, due 07/15/24 | 2,900,705 | |||||||
1,950,000 | MYR | Malaysia Government Bond, 4.26%, due 09/15/16 | 604,699 | |||||||
3,721,000 | MYR | Malaysia Government Bond, 4.38%, due 11/29/19 | 1,169,830 | |||||||
1,068,000 | MYR | Malaysia Government Bond, 4.39%, due 04/15/26 | 333,623 | |||||||
9,000,000 | MXN | Mexican Bonos, 7.25%, due 12/15/16 | 715,428 | |||||||
2,230,000 | MXN | Mexican Bonos, 7.75%, due 05/29/31 | 183,710 | |||||||
30,000,000 | MXN | Mexican Bonos, 8.00%, due 12/17/15 | 2,357,766 | |||||||
17,400,000 | MXN | Mexican Bonos, 10.00%, due 11/20/36 | 1,755,038 |
80 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Sovereign Debt Obligations — continued | ||||||||||
13,257,295 | MXN | Mexican Udibonos, 4.50%, due 12/04/25 | 1,158,792 | |||||||
18,396,000 | NGN | Nigeria Government Bond, 15.10%, due 04/27/17 | 120,336 | |||||||
530,000 | PEN | Peruvian Government International Bond, Reg S, 6.95%, due 08/12/31‡‡‡ | 190,672 | |||||||
3,400,000 | PEN | Peruvian Government International Bond, Reg S, 7.84%, due 08/12/20‡‡‡ | 1,340,796 | |||||||
8,023,000 | PLN | Poland Government Bond, 3.25%, due 07/25/25 | 2,473,321 | |||||||
7,622,000 | PLN | Poland Government Bond, 4.00%, due 10/25/23 | 2,490,530 | |||||||
5,663,000 | PLN | Poland Government Bond, 5.75%, due 10/25/21 | 2,039,769 | |||||||
1,830,000 | RON | Romania Government Bond, 4.75%, due 06/24/19 | 554,556 | |||||||
5,655,000 | RON | Romania Government Bond, 4.75%, due 02/24/25 | 1,671,877 | |||||||
2,820,000 | RON | Romania Government Bond, 5.80%, due 07/26/27 | 905,155 | |||||||
33,000,000 | RUB | Russian Federal Bond - OFZ, 5.50%, due 08/08/18†† | 739,173 | |||||||
25,000,000 | RUB | Russian Federal Bond - OFZ, 6.20%, due 01/31/18 | 580,837 | |||||||
7,560,000 | RUB | Russian Federal Bond - OFZ, 6.90%, due 08/03/16 | 185,130 | |||||||
5,500,000 | RUB | Russian Federal Bond - OFZ, 7.00%, due 01/25/23 | 121,791 | |||||||
69,183,000 | RUB | Russian Federal Bond - OFZ, 7.05%, due 01/19/28 | 1,465,690 | |||||||
10,000,000 | RUB | Russian Federal Bond - OFZ, 7.35%, due 01/20/16 | 249,374 | |||||||
21,000,000 | RUB | Russian Federal Bond - OFZ, 7.40%, due 04/19/17 | 511,794 | |||||||
84,000,000 | RUB | Russian Federal Bond - OFZ, 7.40%, due 06/14/17 | 2,034,433 | |||||||
47,000,000 | RUB | Russian Federal Bond - OFZ, 7.50%, due 02/27/19 | 1,116,807 | |||||||
88,255,000 | RUB | Russian Federal Bond - OFZ, 8.15%, due 02/03/27 | 2,072,782 | |||||||
70,000,000 | RUB | Russian Foreign Bond - Eurobond, Reg S, 7.85%, due 03/10/18‡‡‡ | 1,694,547 | |||||||
5,155,000 | SGD | Singapore Government Bond, 3.00%, due 09/01/24 | 4,232,597 | |||||||
1,280,000 | SGD | Singapore Government Bond, 3.38%, due 09/01/33 | 1,065,804 | |||||||
2,702,500 | ZAR | South Africa Government Bond, 6.50%, due 02/28/41 | 180,165 | |||||||
10,434,700 | ZAR | South Africa Government Bond, 6.75%, due 03/31/21 | 871,087 | |||||||
1,265,000 | ZAR | South Africa Government Bond, 7.00%, due 02/28/31 | 95,230 | |||||||
63,876,000 | ZAR | South Africa Government Bond, 7.25%, due 01/15/20 | 5,533,666 | |||||||
17,502,124 | ZAR | South Africa Government Bond, 8.00%, due 12/21/18 | 1,575,729 | |||||||
5,005,772 | ZAR | South Africa Government Bond, 8.00%, due 01/31/30 | 416,319 | |||||||
1,071,000 | ZAR | South Africa Government Bond, 8.25%, due 09/15/17 | 97,445 | |||||||
41,468,586 | ZAR | South Africa Government Bond, 8.50%, due 01/31/37 | 3,518,806 | |||||||
6,500,000 | ZAR | South Africa Government Bond, 8.75%, due 12/21/14 | 578,311 | |||||||
24,075,500 | ZAR | South Africa Government Bond, 8.75%, due 02/28/48 | 2,080,403 | |||||||
3,000,000 | ZAR | South Africa Government Bond, 13.50%, due 09/15/15 | 281,900 | |||||||
3,000,000 | ZAR | South Africa Government Bond, 13.50%, due 09/15/16 | 296,694 | |||||||
45,547,000 | THB | Thailand Government Bond, 3.63%, due 06/16/23 | 1,433,401 | |||||||
67,209,000 | THB | Thailand Government Bond, 3.65%, due 12/17/21 | 2,131,710 | |||||||
4,856,000 | THB | Thailand Government Bond, 3.88%, due 06/13/19 | 156,180 | |||||||
12,425,000 | THB | Thailand Government Bond, 4.88%, due 06/22/29 | 433,520 | |||||||
18,169,008 | THB | Thailand Government Bond, Reg S, 1.25%, due 03/12/28‡‡‡ | 518,757 | |||||||
4,404,483 | TRY | Turkey Government Bond, 7.10%, due 03/08/23 | 1,646,274 | |||||||
3,740,272 | TRY | Turkey Government Bond, 8.30%, due 10/07/15 | 1,626,776 | |||||||
1,685,000 | TRY | Turkey Government Bond, 8.30%, due 06/20/18 | 709,594 | |||||||
2,450,000 | TRY | Turkey Government Bond, 8.50%, due 07/10/19 | 1,029,606 | |||||||
1,717,483 | TRY | Turkey Government Bond, 8.50%, due 09/14/22 | 700,683 | |||||||
4,672,286 | TRY | Turkey Government Bond, 8.80%, due 11/14/18 | 2,000,389 | |||||||
2,867,000 | TRY | Turkey Government Bond, 8.80%, due 09/27/23 | 1,187,251 | |||||||
7,918,000 | TRY | Turkey Government Bond, 9.00%, due 03/08/17 | 3,445,552 | |||||||
2,458,338 | TRY | Turkey Government Bond, 9.50%, due 01/12/22 | 1,068,679 | |||||||
250,000 | TRY | Turkey Government Bond, 10.00%, due 06/17/15 | 110,049 |
See accompanying Notes to the Financial Statements. | 81 |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Sovereign Debt Obligations — continued | ||||||||||
2,900,000 | TRY | Turkey Government Bond, 10.40%, due 03/27/19 | 1,309,628 | |||||||
4,892,969 | TRY | Turkey Government Bond, 10.50%, due 01/15/20 | 2,242,897 | |||||||
|
| |||||||||
135,043,429 | ||||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $275,321,512) | 265,206,379 | |||||||||
|
| |||||||||
Shares | Description | Value ($) | ||||||||
PREFERRED STOCK — 0.1% | ||||||||||
Diversified Financial Services — 0.1% | ||||||||||
14,000 | GMAC Capital Trust I, 8.125%† | 372,540 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCK (COST $377,520) | 372,540 | |||||||||
|
| |||||||||
Par Value** | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 4.9% | ||||||||||
Bank Deposit — 4.9% | ||||||||||
13,909,866 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/01/14 | 13,909,866 | ||||||||
|
| |||||||||
TOTAL BANK DEPOSITS (COST $13,909,866) | 13,909,866 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 98.9% (Cost $289,608,898) | 279,488,785 | |||||||||
Other Assets and Liabilities (net) — 1.1% | 2,995,245 | |||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 282,484,030 | ||||||||
|
| |||||||||
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, 2014. | |||||||||
†† | 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 | |||||||||
‡‡ | 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 $61,160,712 which represents 21.7% of net assets. |
82 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
A summary of outstanding financial instruments at September 30, 2014 is as follows:
Cross Currency Foreign Currency Contracts
Settlement | Deliver/Receive | Counterparty | Contract Amount | Contract Amount | Unrealized | |||||||||||||||||
12/17/14 | EUR/PLN | Citibank N.A. | 1,030,000 | 244,194 | $ | 1,294 | ||||||||||||||||
12/17/14 | EUR/RON | Goldman Sachs | 1,040,000 | 235,177 | (838 | ) | ||||||||||||||||
02/18/15 | HUF/EUR | Citibank N.A. | 2,419,860 | 741,300,000 | 55,271 | |||||||||||||||||
|
| |||||||||||||||||||||
$ | 55,727 | |||||||||||||||||||||
|
|
Forward Foreign Currency Contracts
Settlement | Currency |
| Counterparty | Units of | Value | Unrealized | ||||||||||||||||
Buys | ||||||||||||||||||||||
11/04/14 | BRL | Citibank N.A. | 750,000 | $ | 303,527 | $ | (13,196 | ) | ||||||||||||||
12/17/14 | BRL | Citibank N.A. | 6,135,000 | 2,454,014 | (199,066 | ) | ||||||||||||||||
11/04/14 | BRL | Goldman Sachs | 10,965,000 | 4,437,565 | (32,591 | ) | ||||||||||||||||
11/19/14 | CLP | Citibank N.A. | 3,144,498,000 | 5,239,884 | (173,637 | ) | ||||||||||||||||
12/17/14 | CLP | Goldman Sachs | 2,405,300,000 | 3,998,624 | (53,090 | ) | ||||||||||||||||
01/21/15 | CNY | Citibank N.A. | 28,943,000 | 4,675,457 | (9,772 | ) | ||||||||||||||||
10/15/14 | COP | Citibank N.A. | 5,881,490,000 | 2,906,335 | (57,005 | ) | ||||||||||||||||
10/15/14 | COP | Goldman Sachs | 2,031,500,000 | 1,003,865 | (75,457 | ) | ||||||||||||||||
03/09/15 | EUR | Deutsche Bank AG | 4,993,675 | 6,313,184 | (422,583 | ) | ||||||||||||||||
02/09/15 | EUR | Deutsche Bank AG | 1,879,800 | 2,375,955 | (205,693 | ) | ||||||||||||||||
01/09/15 | EUR | Deutsche Bank AG | 1,400,000 | 1,769,059 | (148,051 | ) | ||||||||||||||||
12/11/14 | EUR | Deutsche Bank AG | 442,408 | 558,903 | (41,853 | ) | ||||||||||||||||
12/04/14 | EUR | Deutsche Bank AG | 200,000 | 252,650 | (22,360 | ) | ||||||||||||||||
12/17/14 | EUR | Goldman Sachs | 999,000 | 1,262,116 | (37,687 | ) | ||||||||||||||||
05/07/15 | EUR | JPMorgan Chase Bank | 100,000 | 126,504 | (5,416 | ) | ||||||||||||||||
03/09/15 | GBP | Deutsche Bank AG | 442,122 | 715,919 | (39,403 | ) | ||||||||||||||||
05/07/15 | GBP | Deutsche Bank AG | 201,814 | 326,545 | (6,468 | ) | ||||||||||||||||
12/11/14 | GBP | Deutsche Bank AG | 222,000 | 359,831 | (986 | ) | ||||||||||||||||
12/17/14 | HUF | Citibank N.A. | 1,323,611,000 | 5,369,840 | (108,229 | ) | ||||||||||||||||
10/15/14 | IDR | Citibank N.A. | 6,500,000,000 | 532,280 | (17,170 | ) | ||||||||||||||||
10/15/14 | IDR | Goldman Sachs | 35,318,330,000 | 2,892,193 | (82,361 | ) | ||||||||||||||||
12/17/14 | INR | Citibank N.A. | 185,540,000 | 2,955,735 | (52,371 | ) | ||||||||||||||||
01/21/15 | INR | Goldman Sachs | 188,230,000 | 2,977,245 | (58,233 | ) | ||||||||||||||||
11/19/14 | KRW | Citibank N.A. | 3,674,050,000 | 3,474,313 | (71,930 | ) | ||||||||||||||||
11/19/14 | KZT | Citibank N.A. | 304,320,000 | 1,658,201 | 35,161 | |||||||||||||||||
11/19/14 | KZT | Goldman Sachs | 250,830,000 | 1,366,741 | (390 | ) | ||||||||||||||||
12/17/14 | MXN | Goldman Sachs | 149,769,000 | 11,095,405 | (234,967 | ) | ||||||||||||||||
11/19/14 | MYR | Citibank N.A. | 22,466,733 | 6,826,973 | (157,183 | ) | ||||||||||||||||
11/19/14 | NGN | Citibank N.A. | 891,914,633 | 5,370,336 | 38,719 | |||||||||||||||||
02/18/15 | NGN | Citibank N.A. | 81,193,000 | 474,967 | 11,669 | |||||||||||||||||
11/19/14 | NGN | Citibank N.A. | 128,253,000 | 772,228 | 19,197 | |||||||||||||||||
12/17/14 | PEN | Citibank N.A. | 21,194,000 | 7,247,211 | (81,282 | ) | ||||||||||||||||
11/19/14 | PEN | Goldman Sachs | 3,033,000 | 1,041,054 | (12,254 | ) | ||||||||||||||||
11/19/14 | PHP | Goldman Sachs | 25,060,000 | 557,733 | (11,424 | ) | ||||||||||||||||
12/17/14 | PLN | Goldman Sachs | 25,168,000 | 7,570,043 | (211,672 | ) | ||||||||||||||||
12/17/14 | RON | Goldman Sachs | 613,000 | 174,634 | (6,496 | ) |
See accompanying Notes to the Financial Statements. | 83 |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Forward Foreign Currency Contracts — continued
Settlement | Currency |
| Counterparty | Units of | Value | Unrealized | ||||||||||||||||
10/15/14 | RUB | Citibank N.A. | 28,000,000 | $ | 705,467 | $ | (56,729 | ) | ||||||||||||||
12/17/14 | RUB | Citibank N.A. | 44,940,000 | 1,117,729 | (68,023 | ) | ||||||||||||||||
10/15/14 | RUB | Goldman Sachs | 108,861,000 | 2,742,779 | (388,311 | ) | ||||||||||||||||
12/17/14 | THB | Goldman Sachs | 10,674,118 | 328,048 | (2,072 | ) | ||||||||||||||||
12/17/14 | TRY | Citibank N.A. | 975,000 | 419,419 | (12,368 | ) | ||||||||||||||||
12/17/14 | TRY | Goldman Sachs | 16,484,000 | 7,090,975 | (360,959 | ) | ||||||||||||||||
12/17/14 | TWD | Citibank N.A. | 137,790,000 | 4,533,451 | (95,034 | ) | ||||||||||||||||
12/17/14 | ZAR | Goldman Sachs | 4,830,000 | 421,675 | (12,346 | ) | ||||||||||||||||
|
| |||||||||||||||||||||
$ | (3,541,372 | ) | ||||||||||||||||||||
|
| |||||||||||||||||||||
Sales | ||||||||||||||||||||||
12/17/14 | BRL | Citibank N.A. | 1,260,000 | $ | 504,003 | $ | 43,704 | |||||||||||||||
11/04/14 | BRL | Citibank N.A. | 10,713,686 | 4,335,857 | 288,083 | |||||||||||||||||
11/04/14 | BRL | Goldman Sachs | 24,885,314 | 10,071,152 | 694,722 | |||||||||||||||||
10/15/14 | COP | Citibank N.A. | 2,500,530,000 | 1,235,636 | 88,096 | |||||||||||||||||
12/17/14 | COP | Goldman Sachs | 2,892,000,000 | 1,418,755 | 68,899 | |||||||||||||||||
10/15/14 | COP | Goldman Sachs | 2,630,138,000 | 1,299,681 | 107,203 | |||||||||||||||||
12/17/14 | EUR | Citibank N.A. | 15,562,194 | 9,676,224 | 373,648 | |||||||||||||||||
05/07/15 | EUR | Deutsche Bank AG | 511,907 | 647,584 | 25,219 | |||||||||||||||||
03/09/15 | EUR | Deutsche Bank AG | 5,353,000 | 6,767,456 | 583,530 | |||||||||||||||||
12/11/14 | EUR | Deutsche Bank AG | 442,408 | 558,903 | 47,882 | |||||||||||||||||
02/09/15 | EUR | Deutsche Bank AG | 200,000 | 252,788 | 24,752 | |||||||||||||||||
12/04/14 | EUR | Deutsche Bank AG | 200,000 | 252,650 | 18,370 | |||||||||||||||||
01/09/15 | EUR | Deutsche Bank AG | 1,400,000 | 1,769,059 | 134,606 | |||||||||||||||||
02/18/15 | HUF | Goldman Sachs | 361,858,000 | 1,466,137 | 145,559 | |||||||||||||||||
10/15/14 | IDR | Goldman Sachs | 16,245,800,000 | 1,330,357 | 46,470 | |||||||||||||||||
12/17/14 | KRW | Citibank N.A. | 3,867,250,000 | 3,652,818 | 20,482 | |||||||||||||||||
11/19/14 | KRW | Citibank N.A. | 4,030,000,000 | 3,810,912 | 118,878 | |||||||||||||||||
12/17/14 | MXN | Citibank N.A. | 41,970,000 | 3,109,283 | 47,496 | |||||||||||||||||
11/19/14 | MYR | Goldman Sachs | 3,498,000 | 1,062,938 | 6,019 | |||||||||||||||||
12/17/14 | MYR | Goldman Sachs | 12,681,000 | 3,846,214 | 141,521 | |||||||||||||||||
11/19/14 | NGN | Citibank N.A. | 164,800,000 | 992,283 | (1,777 | ) | ||||||||||||||||
12/17/14 | PEN | Citibank N.A. | 10,792,000 | 3,690,285 | 10,675 | |||||||||||||||||
11/19/14 | PEN | Citibank N.A. | 579,000 | 198,737 | 6,436 | |||||||||||||||||
12/17/14 | PEN | Goldman Sachs | 10,792,000 | 3,690,285 | (29,399 | ) | ||||||||||||||||
12/17/14 | PLN | Goldman Sachs | 9,620,000 | 2,893,508 | 46,320 | |||||||||||||||||
12/17/14 | RON | Goldman Sachs | 1,190,000 | 339,013 | 2,491 | |||||||||||||||||
12/17/14 | RUB | Citibank N.A. | 9,560,000 | 237,772 | 11,966 | |||||||||||||||||
10/15/14 | RUB | Citibank N.A. | 15,746,000 | 396,724 | 35,265 | |||||||||||||||||
12/17/14 | RUB | Goldman Sachs | 12,062,000 | 300,001 | 17,545 | |||||||||||||||||
10/15/14 | RUB | Goldman Sachs | 149,900,000 | 3,776,766 | 385,659 | |||||||||||||||||
12/17/14 | SGD | Goldman Sachs | 16,199,000 | 12,697,927 | 233,023 | |||||||||||||||||
12/17/14 | THB | Goldman Sachs | 73,332,111 | 2,253,719 | 19,793 | |||||||||||||||||
12/17/14 | TRY | Goldman Sachs | 11,250,000 | 4,839,449 | 165,052 | |||||||||||||||||
01/21/15 | TWD | Citibank N.A. | 151,860,000 | 5,000,788 | 74,238 | |||||||||||||||||
12/17/14 | TWD | Citibank N.A. | 121,486,000 | 3,997,030 | 61,025 | |||||||||||||||||
12/17/14 | ZAR | Goldman Sachs | 99,306,000 | 8,669,740 | 435,241 | |||||||||||||||||
|
| |||||||||||||||||||||
$ | 4,498,692 | |||||||||||||||||||||
|
|
84 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Currency Abbreviations
BRL | Brazilian Real |
CLP | Chilean Peso |
CNY | Chinese Yuan |
COP | Colombian Peso |
EUR | Euro |
GBP | British Pound Sterling |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
INR | Indian Rupee |
KRW | South Korean Won |
KZT | Kazakhstani Tenge |
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 |
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
480 | South Africa Government Bond, Series R208 | November 2014 | $ | 4,034,153 | $ | (47,148 | ) | |||||||||||
|
| |||||||||||||||||
Sales | ||||||||||||||||||
19 | U.S. Treasury Note 10-Year | December 2014 | $ | 2,368,172 | $ | (8,938 | ) | |||||||||||
9 | Euro-Bund | December 2014 | 1,701,977 | (16,206 | ) | |||||||||||||
156 | Korea 3-Year Bond | December 2014 | 15,911,187 | (62,829 | ) | |||||||||||||
16 | Korea 10-Year Bond | December 2014 | 1,798,550 | (27,671 | ) | |||||||||||||
|
| |||||||||||||||||
$ | (115,644 | ) | ||||||||||||||||
|
|
See accompanying Notes to the Financial Statements. | 85 |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Sovereign Debt Obligations | 47.8 | ||||
Corporate Debt | 46.1 | ||||
Forward Foreign Currency Contracts | 0.4 | ||||
Preferred Stock | 0.1 | ||||
Cross Currency Foreign Currency Contracts | 0.0 | ||||
Futures Contracts | (0.0 | ) | |||
Short-Term Investments | 4.9 | ||||
Other Assets and Liabilities (net) | 0.7 | ||||
|
| ||||
100.0 | % | ||||
|
|
86 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 90.2% | ||||||||||
Bermuda — 0.9% | ||||||||||
558,000 | China Gas Holdings, Ltd. | 925,557 | ||||||||
238,000 | Citic 21CN Co., Ltd.* | 143,135 | ||||||||
150,410 | Cosan, Ltd. Class A | 1,618,412 | ||||||||
102,000 | COSCO Pacific, Ltd. | 135,560 | ||||||||
5,300 | Credicorp, Ltd. | 812,967 | ||||||||
36,611 | Dairy Farm International Holdings, Ltd.‡ | 348,903 | ||||||||
17,218,000 | GOME Electrical Appliances Holding, Ltd.‡ | 2,816,044 | ||||||||
1,892,000 | Sihuan Pharmaceutical Holdings Group, Ltd. | 1,427,814 | ||||||||
|
| |||||||||
Total Bermuda | 8,228,392 | |||||||||
|
| |||||||||
Brazil — 6.9% | ||||||||||
1,448,007 | AMBEV SA, ADR | 9,484,446 | ||||||||
439,300 | AMBEV SA | 2,876,540 | ||||||||
206,400 | Arteris SA | 1,322,861 | ||||||||
430,674 | Banco Bradesco SA, ADR | 6,137,104 | ||||||||
111,100 | Banco do Brasil SA | 1,147,465 | ||||||||
125,788 | BB Seguridade Participacoes SA | 1,653,484 | ||||||||
375,469 | BM&FBovespa SA | 1,715,177 | ||||||||
125,900 | BR Malls Participacoes SA | 993,487 | ||||||||
14,200 | BR Properties SA | 75,359 | ||||||||
116,029 | CCR SA | 794,810 | ||||||||
88,400 | Centrais Eletricas Brasileiras SA | 236,734 | ||||||||
13,000 | Cia Brasileira de Distribuicao Grupo, ADR | 566,930 | ||||||||
283,664 | Cielo SA | 4,632,005 | ||||||||
129,792 | Companhia Energetica de Minas Gerais, Sponsored ADR | 808,604 | ||||||||
226,800 | Cyrela Brazil Realty SA Empreendimentos e Participacoes | 1,143,444 | ||||||||
407,900 | EcoRodovias Infraestrutura e Logistica SA | 2,008,195 | ||||||||
76,700 | Estacio Participacoes SA | 796,558 | ||||||||
66,400 | Fibria Celulose SA, Sponsored ADR* ‡ | 730,400 | ||||||||
15,700 | Gerdau SA, Sponsored ADR | 75,360 | ||||||||
48,835 | Grupo BTG Pactual | 642,933 | ||||||||
657,578 | Itau Unibanco Holding SA, ADR | 9,127,183 | ||||||||
575,100 | Kroton Educacional SA | 3,610,809 | ||||||||
32,800 | Lojas Renner SA | 951,757 | ||||||||
8,900 | Multiplan Empreendimentos Imobiliarios SA | 182,098 | ||||||||
113,400 | Petroleo Brasileiro SA, Sponsored ADR | 1,688,526 | ||||||||
201,900 | Porto Seguro SA | 2,341,598 | ||||||||
185,800 | Qualicorp SA* | 1,837,066 | ||||||||
225,487 | Souza Cruz SA | 1,813,396 | ||||||||
119,700 | Tim Participacoes SA | 629,871 | ||||||||
81,400 | Tim Participacoes SA, ADR | 2,132,680 | ||||||||
32,428 | Ultrapar Participacoes SA | 685,865 | ||||||||
85,200 | Vale SA, ADR | 827,292 | ||||||||
|
| |||||||||
Total Brazil | 63,670,037 | |||||||||
|
| |||||||||
British Virgin Islands — 0.1% | ||||||||||
26,194 | Mail.ru Group, Ltd., Reg S, GDR* ‡‡‡ | 736,313 | ||||||||
|
|
See accompanying Notes to the Financial Statements. | 87 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Cayman Islands — 4.6% | ||||||||||
122,000 | Agile Property Holdings, Ltd.‡ | 74,943 | ||||||||
2,508 | Alibaba Group Holding, Ltd., Sponsored ADR* | 222,836 | ||||||||
8,802 | Autohome, Inc., ADR* ‡ | 369,772 | ||||||||
15,443 | Baidu, Inc., Sponsored ADR* | 3,370,126 | ||||||||
376,000 | Belle International Holdings, Ltd. | 423,206 | ||||||||
9,349 | Bitauto Holdings, Ltd., ADR* | 729,222 | ||||||||
2,482,000 | China Resources Cement Holdings, Ltd. | 1,700,460 | ||||||||
228,000 | China Resources Land, Ltd. | 470,969 | ||||||||
255,000 | Country Garden Holdings Co., Ltd.‡ | 96,219 | ||||||||
2,541,000 | Evergrande Real Estate Group, Ltd.‡ | 948,977 | ||||||||
78,500 | Longfor Properties Co., Ltd. | 89,973 | ||||||||
33,052 | NetEase, Inc., ADR | 2,831,234 | ||||||||
172,000 | New World China Land, Ltd.‡ | 97,462 | ||||||||
15,200 | Qihoo 360 Technology Co., Ltd., ADR* | 1,025,544 | ||||||||
567,765 | Sands China, Ltd. | 2,961,260 | ||||||||
444,000 | Shimao Property Holdings, Ltd. | 897,709 | ||||||||
3,572,000 | Sino Biopharmaceutical, Ltd. | 3,569,654 | ||||||||
1,909,500 | Soho China, Ltd. | 1,382,003 | ||||||||
1,809,000 | Sunac China Holdings, Ltd. | 1,369,837 | ||||||||
978,700 | Tencent Holdings, Ltd. | 14,532,216 | ||||||||
3,094 | Vipshop Holdings, Ltd., ADR* ‡ | 584,797 | ||||||||
2,889,000 | WH Group, Ltd.* | 2,373,674 | ||||||||
58,800 | WuXi PharmaTech Cayman, Inc., ADR* | 2,059,176 | ||||||||
|
| |||||||||
Total Cayman Islands | 42,181,269 | |||||||||
|
| |||||||||
Chile — 1.3% | ||||||||||
26,416,718 | Banco de Chile | 3,255,602 | ||||||||
8,995 | Banco de Credito e Inversiones | 510,440 | ||||||||
81,040,526 | Banco Santander Chile | 4,503,985 | ||||||||
61,700 | Banco Santander Chile, ADR | 1,362,953 | ||||||||
14,316 | CAP SA | 151,936 | ||||||||
8,367,147 | Corpbanca SA | 107,011 | ||||||||
134,600 | Enersis SA, Sponsored ADR | 2,123,988 | ||||||||
26,931 | ENTEL Chile SA | 305,529 | ||||||||
|
| |||||||||
Total Chile | 12,321,444 | |||||||||
|
| |||||||||
China — 9.9% | ||||||||||
5,242,000 | Agricultural Bank of China, Ltd. Class H | 2,322,247 | ||||||||
29,454,000 | Bank of China, Ltd. Class H | 13,162,146 | ||||||||
960,000 | Bank of Communications Co., Ltd. Class H | 671,311 | ||||||||
498,000 | Beijing Capital International Airport Co., Ltd. Class H | 380,951 | ||||||||
2,654,000 | China BlueChemical, Ltd. Class H | 1,151,818 | ||||||||
1,896,000 | China Citic Bank Corp., Ltd. Class H | 1,150,038 | ||||||||
15,433,000 | China Construction Bank Corp. Class H | 10,831,779 | ||||||||
239,000 | China Everbright Bank Co., Ltd. Class H | 111,419 | ||||||||
809,000 | China Life Insurance Co., Ltd. Class H | 2,245,167 | ||||||||
121,500 | China Merchants Bank Co., Ltd. Class H | 207,791 | ||||||||
964,100 | China Minsheng Banking Corp., Ltd. Class H‡ | 881,522 | ||||||||
294,000 | China Oilfield Services, Ltd. Class H | 776,165 |
88 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
29,430 | China Petroleum & Chemical Corp., ADR | 2,571,005 | ||||||||
5,650,000 | China Petroleum & Chemical Corp. Class H | 4,947,779 | ||||||||
�� | 1,238,500 | China Railway Construction Corp. Class H‡ | 1,124,445 | |||||||
1,367,000 | China Railway Group, Ltd. Class H‡ | 725,302 | ||||||||
730,500 | China Shenhua Energy Co., Ltd. Class H | 2,036,719 | ||||||||
2,366,000 | China Telecom Corp., Ltd. Class H | 1,450,356 | ||||||||
138,000 | China Vanke Co., Ltd. Class H* | 242,408 | ||||||||
458,000 | Datang International Power Generation Co., Ltd. Class H | 240,056 | ||||||||
2,186,000 | Dongfeng Motor Group Co., Ltd. Class H | 3,592,144 | ||||||||
272,500 | Great Wall Motor Co., Ltd. Class H‡ | 1,058,051 | ||||||||
1,056,000 | Guangzhou R&F Properties Co., Ltd. Class H‡ | 1,067,546 | ||||||||
4,794,000 | Huaneng Power International, Inc. Class H‡ | 5,235,363 | ||||||||
21,456,000 | Industrial & Commercial Bank of China Class H | 13,345,930 | ||||||||
1,620,000 | Jiangsu Expressway Co., Ltd. Class H‡ | 1,700,300 | ||||||||
1,664,000 | Jiangxi Copper Co., Ltd. Class H‡ | 2,755,797 | ||||||||
2,841,762 | PetroChina Co., Ltd. Class H | 3,641,361 | ||||||||
16,200 | PetroChina Co., Ltd., ADR | 2,081,862 | ||||||||
856,000 | PICC Property & Casualty Co., Ltd. Class H | 1,516,859 | ||||||||
290,000 | Ping An Insurance Group Co. Class H | 2,181,041 | ||||||||
614,000 | Shanghai Electric Group Co., Ltd. Class H | 325,776 | ||||||||
6,632,000 | Sinopec Shanghai Petrochemical Co., Ltd. Class H‡ | 2,177,899 | ||||||||
138,038 | Tsingtao Brewery Co., Ltd. Class H‡ | 982,164 | ||||||||
2,038,000 | Zhejiang Expressway Co., Ltd. Class H | 2,070,781 | ||||||||
95,000 | Zhuzhou CSR Times Electric Co., Ltd. Class H | 367,638 | ||||||||
|
| |||||||||
Total China | 91,330,936 | |||||||||
|
| |||||||||
Colombia — 0.5% | ||||||||||
2,638,462 | Ecopetrol SA | 4,136,791 | ||||||||
|
| |||||||||
Czech Republic — 0.6% | ||||||||||
82,663 | CEZ AS | 2,513,136 | ||||||||
11,845 | Komercni Banka AS | 2,817,266 | ||||||||
|
| |||||||||
Total Czech Republic | 5,330,402 | |||||||||
|
| |||||||||
Denmark — 0.1% | ||||||||||
14,537 | Carlsberg A/S Class B | 1,292,682 | ||||||||
|
| |||||||||
Germany — 0.2% | ||||||||||
29,233 | HeidelbergCement AG | 1,932,104 | ||||||||
|
| |||||||||
Hong Kong — 4.5% | ||||||||||
498,000 | AIA Group, Ltd. | 2,574,944 | ||||||||
141,500 | China Mobile, Ltd., Sponsored ADR | 8,313,125 | ||||||||
351,500 | China Mobile, Ltd. | 4,058,154 | ||||||||
1,068,000 | China Overseas Land & Investment, Ltd.‡ | 2,745,268 | ||||||||
926,000 | China Resources Power Holdings Co., Ltd. | 2,498,319 | ||||||||
17,300 | CNOOC, Ltd., ADR‡ | 2,984,942 | ||||||||
4,020,000 | CNOOC, Ltd. | 6,885,423 | ||||||||
801,000 | Far East Horizon, Ltd. | 716,919 |
See accompanying Notes to the Financial Statements. | 89 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Hong Kong — continued | ||||||||||
314,000 | Franshion Properties China, Ltd. | 77,235 | ||||||||
277,484 | Galaxy Entertainment Group, Ltd. | 1,611,638 | ||||||||
413,057 | Hongkong Electric Holdings | 3,657,090 | ||||||||
2,270,000 | Lenovo Group, Ltd. | 3,379,377 | ||||||||
318,932 | Link (The) REIT | 1,840,048 | ||||||||
58,000 | Shanghai Industrial Holdings, Ltd. | 171,794 | ||||||||
58,000 | Shougang Fushan Resources Group, Ltd.‡ | 12,997 | ||||||||
184,000 | Sino-Ocean Land Holdings, Ltd.‡ | 96,679 | ||||||||
442,000 | Yuexiu Property Co., Ltd.‡ | 79,121 | ||||||||
|
| |||||||||
Total Hong Kong | 41,703,073 | |||||||||
|
| |||||||||
Hungary — 0.2% |
| |||||||||
3,142 | MOL Hungarian Oil and Gas Plc | 153,973 | ||||||||
79,429 | OTP Bank Nyrt‡ | 1,350,232 | ||||||||
|
| |||||||||
Total Hungary | 1,504,205 | |||||||||
|
| |||||||||
India — 10.7% |
| |||||||||
431,016 | Apollo Tyres, Ltd. | 1,418,110 | ||||||||
56,371 | Asian Paints, Ltd. | 575,028 | ||||||||
334,908 | Aurobindo Pharma, Ltd. | 5,257,340 | ||||||||
170,549 | Axis Bank, Ltd. | 1,045,772 | ||||||||
39,401 | Bajaj Auto, Ltd. | 1,496,039 | ||||||||
98,996 | Bank of Baroda | 1,442,222 | ||||||||
198,443 | Cipla, Ltd. | 2,011,260 | ||||||||
236,883 | Coal India, Ltd. | 1,308,495 | ||||||||
24,354 | Colgate-Palmolive India, Ltd. | 688,091 | ||||||||
30,131 | Divi’s Laboratories, Ltd. | 879,439 | ||||||||
37,200 | Dr. Reddy’s Laboratories, Ltd., ADR‡ | 1,954,860 | ||||||||
189,734 | GAIL India, Ltd. | 1,370,625 | ||||||||
194,522 | Glenmark Pharmaceuticals, Ltd. | 2,259,239 | ||||||||
209,857 | HCL Technologies, Ltd. Class T | 5,831,891 | ||||||||
109,954 | HDFC Bank, Ltd., ADR | 5,121,657 | ||||||||
362,061 | Hindustan Unilever, Ltd. | 4,385,065 | ||||||||
364,824 | Housing Development Finance Corp. | 6,223,156 | ||||||||
102,991 | ICICI Bank, Ltd. | 2,388,254 | ||||||||
8,500 | ICICI Bank, Ltd., Sponsored ADR | 417,350 | ||||||||
46,334 | Infosys, Ltd. | 2,813,575 | ||||||||
47,600 | Infosys, Ltd., Sponsored ADR‡ | 2,879,324 | ||||||||
976,739 | ITC, Ltd. | 5,867,393 | ||||||||
68,584 | Kotak Mahindra Bank, Ltd. | 1,120,154 | ||||||||
52,550 | Maruti Suzuki India, Ltd. | 2,604,186 | ||||||||
7,766 | Nestle India, Ltd. | 750,445 | ||||||||
718,263 | NMDC, Ltd. | 1,921,842 | ||||||||
315,188 | Oil & Natural Gas Corp., Ltd. | 2,079,904 | ||||||||
110,642 | Oil India, Ltd. | 1,091,013 | ||||||||
309,726 | Power Finance Corp., Ltd. | 1,173,508 | ||||||||
218,805 | Power Grid Corp. of India, Ltd. | 478,990 | ||||||||
59,601 | Reliance Industries, Ltd. (London Exchange), GDR | 1,817,831 | ||||||||
251,776 | Rural Electrification Corp., Ltd. | 1,012,852 |
90 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
India — continued |
| |||||||||
569,006 | Sesa Sterlite, Ltd. | 2,513,356 | ||||||||
13,656 | State Bank of India, Ltd., Reg S, GDR‡‡‡ | 1,078,824 | ||||||||
235,589 | Sun Pharmaceutical Industries, Ltd. | 3,265,288 | ||||||||
103,778 | Tata Consultancy Services, Ltd. | 4,599,015 | ||||||||
319,302 | Tata Motors, Ltd. | 2,598,982 | ||||||||
100,800 | Tata Motors, Ltd., Sponsored ADR‡ | 4,405,968 | ||||||||
117,688 | Tech Mahindra, Ltd. | 4,736,675 | ||||||||
47,671 | Westlife Development, Ltd.* | 246,961 | ||||||||
134,003 | Wipro, Ltd. | 1,294,574 | ||||||||
177,393 | Wipro, Ltd., ADR‡ | 2,157,099 | ||||||||
101,674 | Zee Entertainment Enterprises, Ltd. | 516,931 | ||||||||
|
| |||||||||
Total India | 99,098,583 | |||||||||
|
| |||||||||
Indonesia — 2.8% |
| |||||||||
10,304,300 | Adaro Energy Tbk PT | 993,644 | ||||||||
1,317,776 | Bank Central Asia Tbk PT | 1,414,027 | ||||||||
4,170,700 | Bank Negara Indonesia Persero Tbk PT | 1,891,105 | ||||||||
4,550,000 | Bank Rakyat Indonesia Persero Tbk PT | 3,892,799 | ||||||||
259,500 | Indo Tambangraya Megah Tbk PT | 553,181 | ||||||||
462,600 | Indocement Tunggal Prakarsa Tbk PT | 818,140 | ||||||||
115,000 | Indofood CBP Sukses Makmur Tbk PT | 107,119 | ||||||||
1,163,000 | Indofood Sukses Makmur Tbk PT | 668,117 | ||||||||
1,366,500 | Lippo Karawaci Tbk PT | 105,417 | ||||||||
531,236 | Matahari Department Store Tbk PT | 707,370 | ||||||||
392,300 | Media Nusantara Citra Tbk PT | 102,864 | ||||||||
6,274,300 | Perusahaan Gas Negara Persero Tbk PT | 3,089,520 | ||||||||
614,300 | Semen Gresik Persero Tbk PT | 777,643 | ||||||||
1,638,700 | Surya Citra Media Tbk PT | 514,405 | ||||||||
25,209,240 | Telekomunikasi Indonesia Persero Tbk PT | 6,030,770 | ||||||||
44,800 | Telekomunikasi Indonesia Persero Tbk PT, Sponsored ADR | 2,154,880 | ||||||||
739,896 | Unilever Indonesia Tbk PT | 1,930,955 | ||||||||
71,900 | United Tractors Tbk PT | 117,424 | ||||||||
|
| |||||||||
Total Indonesia | 25,869,380 | |||||||||
|
| |||||||||
Luxembourg — 0.3% | ||||||||||
96,719 | Ternium SA, Sponsored ADR | 2,326,092 | ||||||||
|
| |||||||||
Malaysia — 3.2% | ||||||||||
1,099,400 | Alliance Financial Group Bhd | 1,672,308 | ||||||||
1,304,800 | AMMB Holdings Bhd | 2,732,503 | ||||||||
36,112 | British American Tobacco Malaysia Bhd | 776,069 | ||||||||
716,300 | DiGi.Com Bhd | 1,277,353 | ||||||||
3,255,600 | Genting Malaysia Bhd | 4,148,272 | ||||||||
137,500 | IJM Corp. Bhd | 271,186 | ||||||||
861,300 | IOI Corp. Bhd | 1,262,872 | ||||||||
125,800 | IOI Properties Group Bhd | 100,471 | ||||||||
1,034,756 | Malayan Banking Bhd | 3,141,646 | ||||||||
227,700 | MISC Bhd | 468,519 | ||||||||
547,500 | Petronas Chemicals Group Bhd | 1,041,427 |
See accompanying Notes to the Financial Statements. | 91 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Malaysia — continued | ||||||||||
270,200 | Public Bank Bhd | 1,556,708 | ||||||||
968,700 | SapuraKencana Petroleum Bhd | 1,216,596 | ||||||||
1,804,700 | Tenaga Nasional Bhd | 6,810,604 | ||||||||
787,000 | UMW Holdings Bhd | 2,941,204 | ||||||||
|
| |||||||||
Total Malaysia | 29,417,738 | |||||||||
|
| |||||||||
Mexico — 4.6% | ||||||||||
852,700 | Alfa SAB de CV Class A‡ | 2,933,284 | ||||||||
282,600 | America Movil SAB de CV Series L, ADR‡ | 7,121,520 | ||||||||
1,386,700 | America Movil SAB de CV Series L‡ | 1,748,056 | ||||||||
102,600 | Arca Continental SAB de CV | 704,359 | ||||||||
75,400 | Cemex SAB de CV, Sponsored ADR* | 983,216 | ||||||||
2,739 | Coca-Cola Femsa SAB de CV, Sponsored ADR | 275,872 | ||||||||
1,627,355 | Compartamos SAB de CV‡ | 3,483,662 | ||||||||
499,213 | Fibra Uno Administracion SA de CV REIT | 1,642,205 | ||||||||
44,392 | Fomento Economico Mexicano SAB de CV, Sponsored ADR | 4,086,284 | ||||||||
135,300 | Fomento Economico Mexicano SAB de CV | �� | 1,244,273 | |||||||
114,700 | Genomma Lab Internacional SAB de CV Class B* ‡ | 275,002 | ||||||||
56,700 | Gruma SAB de CV Class B* | 607,097 | ||||||||
41,800 | Grupo Aeroportuario del Pacifico SAB de CV Class B | 281,732 | ||||||||
176,100 | Grupo Financiero Inbursa SAB de CV Series O | 503,508 | ||||||||
104,538 | Grupo Financiero Santander Mexico SAB de CV Class B, ADR | 1,414,399 | ||||||||
175,400 | Grupo Lala SAB de CV | 429,676 | ||||||||
1,374,079 | Grupo Mexico SAB de CV Series B‡ | 4,617,352 | ||||||||
84,700 | Grupo Televisa SAB‡ | 574,852 | ||||||||
87,840 | Grupo Televisa SAB, Sponsored ADR | 2,976,019 | ||||||||
75,329 | Industrias Penoles SAB de CV | 1,727,487 | ||||||||
335,100 | Kimberly-Clark de Mexico SAB de CV | 790,702 | ||||||||
116,800 | OHL Mexico SAB de CV* | 316,998 | ||||||||
1,606,399 | Wal-Mart de Mexico SAB de CV‡ | 4,042,835 | ||||||||
|
| |||||||||
Total Mexico | 42,780,390 | |||||||||
|
| |||||||||
Netherlands — 0.2% | ||||||||||
53,581 | Yandex NV Class A* | 1,489,284 | ||||||||
|
| |||||||||
Panama — 0.1% | ||||||||||
75,400 | Avianca Holdings SA, Sponsored ADR | 1,034,488 | ||||||||
|
| |||||||||
Peru — 0.0% | ||||||||||
12,700 | Cia de Minas Buenaventura SA, ADR | 147,066 | ||||||||
|
| |||||||||
Philippines — 0.3% | ||||||||||
844,500 | Aboitiz Equity Ventures, Inc. | 1,014,284 | ||||||||
849,680 | Metropolitan Bank & Trust Co. | 1,643,412 | ||||||||
|
| |||||||||
Total Philippines | 2,657,696 | |||||||||
|
| |||||||||
Poland — 1.2% | ||||||||||
8,609 | Jastrzebska Spolka Weglowa SA* | 83,853 | ||||||||
33,096 | KGHM Polska Miedz SA | 1,266,416 |
92 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Poland — continued | ||||||||||
70,561 | Orange Polska SA | 248,657 | ||||||||
544,310 | PGE SA | 3,452,670 | ||||||||
628,771 | Polskie Gornictwo Naftowe i Gazownictwo SA | 962,395 | ||||||||
32,727 | Powszechny Zaklad Ubezpieczen SA | 4,766,645 | ||||||||
69,443 | Synthos SA | 96,626 | ||||||||
|
| |||||||||
Total Poland | 10,877,262 | |||||||||
|
| |||||||||
Russia — 3.1% | ||||||||||
1,215,583 | Alrosa AO | 1,092,412 | ||||||||
635,937 | Gazprom OAO, Sponsored ADR | 4,476,996 | ||||||||
159,710 | Gazprom OAO (OTC Exchange), Sponsored ADR | 1,114,776 | ||||||||
52,700 | LUKOIL OAO (DTC Shares), Sponsored ADR‡ | 2,682,430 | ||||||||
50,065 | LUKOIL OAO (Euroclear Shares), Sponsored ADR | 2,553,315 | ||||||||
13,855 | Magnit OJSC, Reg S, GDR‡‡‡ | 800,265 | ||||||||
235,320 | MMC Norilsk Nickel OJSC, ADR | 4,388,718 | ||||||||
46,500 | Mobile Telesystems, Sponsored ADR | 694,710 | ||||||||
873,237 | Moscow Exchange MICEX OAO | 1,280,439 | ||||||||
7,128 | NOVATEK OAO, Reg S, GDR‡‡‡ | 742,737 | ||||||||
92,659 | Rosneft Oil Co., Reg S, (London Exchange), GDR‡‡‡ | 539,924 | ||||||||
201,944 | Sberbank of Russia, Sponsored ADR | 1,588,895 | ||||||||
127,130 | Sistema JSFC, Reg S, GDR‡‡‡ | 877,197 | ||||||||
268,367 | Surgutneftegas OAO, Sponsored ADR | 1,790,008 | ||||||||
67,323 | Tatneft, Sponsored ADR | 2,377,175 | ||||||||
56,309 | Tatneft OAO, Sponsored ADR | 1,988,271 | ||||||||
|
| |||||||||
Total Russia | 28,988,268 | |||||||||
|
| |||||||||
Singapore — 0.1% | ||||||||||
88,142 | DBS Group Holdings, Ltd. | 1,273,093 | ||||||||
|
| |||||||||
South Africa — 5.3% | ||||||||||
25,122 | African Rainbow Minerals, Ltd. | 318,587 | ||||||||
103,600 | AngloGold Ashanti, Ltd., Sponsored ADR* | 1,243,200 | ||||||||
161,483 | Barclays Africa Group, Ltd. | 2,202,941 | ||||||||
535,970 | FirstRand, Ltd. | 2,040,797 | ||||||||
59,196 | Foschini Group, Ltd. (The) | 614,057 | ||||||||
121,229 | Growthpoint Properties, Ltd. | 264,385 | ||||||||
55,097 | Imperial Holdings, Ltd. | 848,284 | ||||||||
138,927 | Investec, Ltd. | 1,166,799 | ||||||||
49,309 | Kumba Iron Ore, Ltd. | 1,163,218 | ||||||||
57,221 | Liberty Holdings, Ltd. | 624,059 | ||||||||
470,000 | Life Healthcare Group Holdings, Ltd. | 1,852,836 | ||||||||
547,947 | MMI Holdings, Ltd. | 1,271,143 | ||||||||
615,339 | MTN Group, Ltd. | 12,979,673 | ||||||||
31,301 | Naspers, Ltd. | 3,449,184 | ||||||||
355,291 | Netcare, Ltd. | 994,026 | ||||||||
34,446 | Northam Platinum, Ltd.* | 112,256 | ||||||||
36,851 | Pick n Pay Stores, Ltd. | 172,150 | ||||||||
1,954,086 | Redefine Properties, Ltd. | 1,681,120 | ||||||||
97,915 | Remgro, Ltd. | 1,976,109 |
See accompanying Notes to the Financial Statements. | 93 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Africa — continued | ||||||||||
273,834 | RMB Holdings, Ltd. | 1,374,229 | ||||||||
120,062 | Salam, Ltd. | 693,917 | ||||||||
115,038 | Sasol, Ltd. | 6,245,087 | ||||||||
182,070 | Spar Group, Ltd. (The) | 2,023,707 | ||||||||
148,350 | Standard Bank Group, Ltd. | 1,715,481 | ||||||||
105,712 | Truworths International, Ltd. | 635,774 | ||||||||
158,912 | Woolworths Holdings, Ltd. | 983,297 | ||||||||
|
| |||||||||
Total South Africa | 48,646,316 | |||||||||
|
| |||||||||
South Korea — 10.9% | ||||||||||
380 | AMOREPACIFIC Group | 420,962 | ||||||||
5,190 | Daelim Industrial Co., Ltd. | 371,329 | ||||||||
124,390 | DGB Financial Group, Inc. | 1,980,338 | ||||||||
38,233 | Dongbu Insurance Co., Ltd. | 2,155,758 | ||||||||
67,972 | Doosan Heavy Industries & Construction Co., Ltd. | 1,677,963 | ||||||||
1,470 | E-Mart Co., Ltd. | 321,095 | ||||||||
39,380 | Halla Visteon Climate Control Corp.‡ | 1,910,690 | ||||||||
50,985 | Hana Financial Group, Inc. | 1,860,149 | ||||||||
26,093 | Hanwha Corp. | 728,206 | ||||||||
257,806 | Hanwha Life Insurance Co., Ltd. | 1,734,587 | ||||||||
55,070 | Hite Jinro Co., Ltd. | 1,208,122 | ||||||||
21,180 | Hyosung Corp. | 1,517,373 | ||||||||
2,866 | Hyundai Department Store Co., Ltd. | 435,909 | ||||||||
65,679 | Hyundai Marine & Fire Insurance Co., Ltd. | 1,811,191 | ||||||||
19,074 | Hyundai Mobis Co., Ltd. | 4,645,362 | ||||||||
20,573 | Hyundai Motor Co. | 3,713,960 | ||||||||
96,108 | Industrial Bank of Korea | 1,452,663 | ||||||||
82,631 | Kangwon Land, Inc. | 2,807,222 | ||||||||
32,550 | KB Financial Group, Inc. | 1,189,104 | ||||||||
623 | KCC Corp. | 424,484 | ||||||||
11,887 | Kia Motors Corp. | 604,911 | ||||||||
70,171 | Korea Electric Power Corp. | 3,205,157 | ||||||||
2,210 | Korea Zinc Co., Ltd. | 816,773 | ||||||||
68,655 | Korean Air Lines Co., Ltd.* | 2,342,175 | ||||||||
184,552 | Korean Reinsurance Co. | 1,976,250 | ||||||||
30,500 | KT Corp., Sponsored ADR | 494,405 | ||||||||
36,705 | KT&G Corp. | 3,287,015 | ||||||||
35,345 | LG Corp. | 2,572,372 | ||||||||
126,300 | LG Display Co., Ltd., ADR* | 1,989,225 | ||||||||
24,791 | LG Electronics, Inc. | 1,543,491 | ||||||||
2,795 | LS Corp. | 176,931 | ||||||||
25,651 | LS Industrial Systems Co., Ltd. | 1,426,879 | ||||||||
33,018 | Mirae Asset Securities Co., Ltd. | 1,392,372 | ||||||||
2,421 | NAVER Corp. | 1,851,454 | ||||||||
1,211 | Orion Corp. Republic of South Korea | 1,004,146 | ||||||||
7,389 | POSCO | 2,300,200 | ||||||||
13,377 | S1 Corp. Korea | 1,033,144 | ||||||||
19,340 | Samsung Card Co., Ltd. | 956,691 | ||||||||
4,720 | Samsung Electronics Co., Ltd. | 5,295,882 |
94 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Korea — continued | ||||||||||
19,882 | Samsung Electronics Co., Ltd., GDR | 11,143,861 | ||||||||
2,789 | Samsung Fire & Marine Insurance Co., Ltd. | 746,641 | ||||||||
58,760 | Samsung Heavy Industries Co., Ltd. | 1,406,008 | ||||||||
2,469 | Samsung Life Insurance Co., Ltd. | 248,011 | ||||||||
26,700 | Shinhan Financial Group Co., Ltd. | 1,229,680 | ||||||||
1,262 | Shinsegae Co., Ltd. | 262,506 | ||||||||
10,248 | SK C&C Co., Ltd. | 2,355,025 | ||||||||
13,584 | SK Holdings Co., Ltd. | 2,426,519 | ||||||||
102,363 | SK Hynix, Inc.* | 4,534,916 | ||||||||
9,153 | SK Innovation Co., Ltd. | 703,443 | ||||||||
115,702 | SK Networks Co., Ltd.* | 1,162,228 | ||||||||
19,391 | SK Telecom Co., Ltd. | 5,328,965 | ||||||||
30,681 | Woongjin Coway Co., Ltd. | 2,450,991 | ||||||||
9,603 | Woori Finance Holdings Co., Ltd.* | 118,758 | ||||||||
|
| |||||||||
Total South Korea | 100,753,492 | |||||||||
|
| |||||||||
Switzerland — 0.2% | ||||||||||
205,807 | Cie Financiere Richemont SA, ADR | 1,679,500 | ||||||||
|
| |||||||||
Taiwan — 10.5% | ||||||||||
2,571,000 | Advanced Semiconductor Engineering, Inc. | 2,991,943 | ||||||||
196,000 | Asustek Computer, Inc. | 1,868,538 | ||||||||
172,200 | Cathay Financial Holding Co., Ltd. | 280,495 | ||||||||
248,797 | Chicony Electronics Co., Ltd. | 744,277 | ||||||||
970,200 | China Life Insurance Co., Ltd. | 800,540 | ||||||||
1,200,000 | China Motor Corp. | 1,069,051 | ||||||||
1,449,000 | Compal Electronics, Inc. | 1,083,672 | ||||||||
2,098,880 | CTBC Financial Holding Co., Ltd. | 1,411,006 | ||||||||
691,000 | CTCI Corp. | 1,176,673 | ||||||||
545,000 | Delta Electronics, Inc. | 3,439,899 | ||||||||
3,396,495 | E.Sun Financial Holding Co., Ltd. | 2,060,038 | ||||||||
458,000 | Eva Airways Corp.* | 242,404 | ||||||||
4,000 | Far Eastern Department Stores, Ltd. | 3,859 | ||||||||
248,000 | �� | Far EasTone Telecommunications Co., Ltd. | 475,300 | |||||||
715,000 | Farglory Land Development Co., Ltd. | 842,642 | ||||||||
4,518,997 | Fubon Financial Holding Co., Ltd. | 6,937,562 | ||||||||
2,883,910 | Hon Hai Precision Industry Co., Ltd. | 9,101,246 | ||||||||
2,787,000 | Inotera Memories, Inc.* | 4,141,173 | ||||||||
3,724,000 | Inventec Corp. | 2,423,945 | ||||||||
470,000 | Kinsus Interconnect Technology Corp. | 1,745,919 | ||||||||
75,000 | Largan Precision Co., Ltd. | 5,374,842 | ||||||||
1,434,368 | Lite-On Technology Corp. | 2,067,655 | ||||||||
439,880 | MediaTek, Inc. | 6,514,438 | ||||||||
283,000 | Mega Financial Holding Co., Ltd. | 232,116 | ||||||||
1,150,000 | Pegatron Corp. | 2,117,063 | ||||||||
1,078,000 | Pou Chen Corp. | 1,197,797 | ||||||||
483,062 | President Chain Store Corp. | 3,461,842 | ||||||||
860,000 | Quanta Computer, Inc. | 2,182,547 | ||||||||
229,060 | Radiant Opto-Electronics Corp. | 907,370 |
See accompanying Notes to the Financial Statements. | 95 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
307,000 | Realtek Semiconductor Corp. | 1,089,959 | ||||||||
57,000 | Ruentex Development Co., Ltd. | 92,097 | ||||||||
1,495,062 | SinoPac Financial Holdings Co., Ltd. | 641,383 | ||||||||
1,235,650 | Taishin Financial Holding Co., Ltd. | 578,840 | ||||||||
475 | Taiwan Business Bank* | 140 | ||||||||
1,912,000 | Taiwan Cement Corp. | 2,847,305 | ||||||||
178,500 | Taiwan Cooperative Financial Holding Co., Ltd. | 96,234 | ||||||||
3,496,000 | Taiwan Semiconductor Manufacturing Co., Ltd. | 13,791,154 | ||||||||
157,600 | Taiwan Semiconductor Manufacturing Co., Ltd., Sponsored ADR | 3,180,368 | ||||||||
401,000 | Teco Electric and Machinery Co., Ltd. | 411,948 | ||||||||
441,000 | Transcend Information, Inc. | 1,464,225 | ||||||||
974,438 | Uni-President Enterprises Corp. | 1,691,360 | ||||||||
495,000 | Vanguard International Semiconductor Corp. | 725,752 | ||||||||
1,437,000 | Wistron Corp. | 1,466,784 | ||||||||
1,509,000 | WPG Holdings, Ltd. | 1,845,356 | ||||||||
459,200 | Yuanta Financial Holding Co., Ltd. | 226,434 | ||||||||
|
| |||||||||
Total Taiwan | 97,045,191 | |||||||||
|
| |||||||||
Thailand — 3.4% | ||||||||||
375,100 | Advanced Info Service PCL (Registered Shares) | 2,602,853 | ||||||||
133,400 | Airports of Thailand PCL, NVDR | 983,272 | ||||||||
230,928 | Bangkok Bank PCL | 1,495,602 | ||||||||
667,000 | Bangkok Bank PCL NVDR | 4,196,392 | ||||||||
221,800 | BEC World PCL, NVDR | 321,499 | ||||||||
1,229,500 | CP All PCL Class F | 1,696,843 | ||||||||
39,100 | Glow Energy PCL, NVDR | 114,858 | ||||||||
298,073 | Kasikornbank PCL | 2,151,090 | ||||||||
279,600 | Kasikornbank PCL, NVDR | 2,026,399 | ||||||||
3,726,900 | Krung Thai Bank PCL | 2,724,057 | ||||||||
2,179,700 | Krung Thai Bank PCL, NVDR | 1,593,181 | ||||||||
503,800 | PTT Exploration & Production PCL Class N, NVDR | 2,485,983 | ||||||||
1,834,300 | PTT Global Chemical PCL | 3,450,803 | ||||||||
45,400 | PTT Global Chemical PCL Class N, NVDR | 85,409 | ||||||||
145,800 | PTT PCL | 1,618,751 | ||||||||
79,700 | PTT PCL, NVDR | 884,873 | ||||||||
264,600 | Siam Commercial Bank PCL | 1,485,187 | ||||||||
50,900 | Siam Commercial Bank PCL, NVDR | 285,699 | ||||||||
2,761,000 | Thai Beverage PCL Class C‡ | 1,656,210 | ||||||||
|
| |||||||||
Total Thailand | 31,858,961 | |||||||||
|
| |||||||||
Turkey — 1.5% | ||||||||||
119,704 | Arcelik AS | 637,673 | ||||||||
69,920 | BIM Birlesik Magazalar AS | 1,460,754 | ||||||||
13,169 | Coca-Cola Icecek AS | 283,785 | ||||||||
1,749,827 | Emlak Konut Gayrimenkul Yatirim Ortakligi AS | 1,825,933 | ||||||||
332,092 | Enka Insaat ve Sanayi AS | 757,137 | ||||||||
402,629 | Eregli Demir ve Celik Fabrikalari TAS | 746,721 | ||||||||
291,886 | TAV Havalimanlari Holding AS | 2,341,947 | ||||||||
184,483 | Tofas Turk Otomobil Fabrikasi AS | 1,035,331 |
96 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Turkey — continued | ||||||||||
462,795 | Turk Telekomunikasyon AS | 1,219,483 | ||||||||
380,539 | Turkcell Iletisim Hizmetleri AS* | 1,985,450 | ||||||||
138,450 | Turkiye Halk Bankasi AS | 831,623 | ||||||||
551,238 | Turkiye Vakiflar Bankasi Tao Series D | 1,019,916 | ||||||||
|
| |||||||||
Total Turkey | 14,145,753 | |||||||||
|
| |||||||||
United Kingdom — 1.8% | ||||||||||
134,301 | British American Tobacco Plc | 7,575,987 | ||||||||
111,081 | Mondi Plc | 1,820,598 | ||||||||
615,167 | Old Mutual Plc | 1,800,051 | ||||||||
11,399 | Randgold Resources, Ltd. | 777,802 | ||||||||
10,709 | Randgold Resources, Ltd., ADR | 723,821 | ||||||||
74,788 | SABMiller Plc | 4,151,046 | ||||||||
|
| |||||||||
Total United Kingdom | 16,849,305 | |||||||||
|
| |||||||||
United States — 0.2% | ||||||||||
13,300 | Southern Copper Corp. | 394,345 | ||||||||
17,641 | Visteon Corp.* | 1,715,587 | ||||||||
|
| |||||||||
Total United States | 2,109,932 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $804,309,789) | 833,415,438 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 2.1% | ||||||||||
Brazil — 1.8% | ||||||||||
112,900 | Banco do Estado do Rio Grande do Sul, 5.73% | 677,511 | ||||||||
442,400 | Bradespar SA, 8.47% | 3,236,368 | ||||||||
334,700 | Cia Energetica de Sao Paulo, 11.66% | 3,577,093 | ||||||||
89,200 | Cia Paranaense de Energia, 5.71% | 1,214,046 | ||||||||
468,169 | Itausa - Investimentos Itau SA, 3.71% | 1,771,688 | ||||||||
1,178,400 | Klabin SA, 2.93% | 1,140,108 | ||||||||
29,900 | Metalurgica Gerdau SA, 2.87% | 172,716 | ||||||||
273,500 | Usinas Siderurgicas de Minas Gerais SA, 0.68% Series A | 711,216 | ||||||||
445,000 | Vale SA, 7.62% | 4,319,930 | ||||||||
|
| |||||||||
Total Brazil | 16,820,676 | |||||||||
|
| |||||||||
Colombia — 0.3% | ||||||||||
73,224 | Banco Davivienda SA, 3.07% | 1,057,742 | ||||||||
72,492 | Bancolombia SA, 2.66% | 1,029,213 | ||||||||
|
| |||||||||
Total Colombia | 2,086,955 | |||||||||
|
| |||||||||
India — 0.0% | ||||||||||
2,134,356 | Zee Entertainment Enterprises, Ltd., 0.51%¤ | 29,029 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $21,225,130) | 18,936,660 | |||||||||
|
| |||||||||
RIGHTS — 0.0% | ||||||||||
Hong Kong — 0.0% | ||||||||||
24,400 | Agile Property Holdings, Ltd., Strike Price HKD 4.00, Expires 10/10/14* **** | 2,420 |
See accompanying Notes to the Financial Statements. | 97 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Hong Kong — continued | ||||||||||
145,860 | Yuexiu Property Co., Ltd., Strike Price HKD 1.66, Expires 10/14/14* ‡ | 2,254 | ||||||||
|
| |||||||||
Total Hong Kong | 4,674 | |||||||||
|
| |||||||||
TOTAL RIGHTS (COST $—) | 4,674 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 12.0% | ||||||||||
Bank Deposit — 6.0% | ||||||||||
55,540,605 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/01/14 | 55,540,605 | ||||||||
|
| |||||||||
Investment Fund — 1.8% | ||||||||||
17,070,000 | State Street Institutional Treasury Money Market Fund***** | 17,070,000 | ||||||||
|
| |||||||||
Securities Lending Collateral — 4.2% | ||||||||||
39,219,929 | State Street Navigator Securities Lending Prime Portfolio*** | 39,219,929 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $111,830,534) | 111,830,534 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 104.3% (Cost $937,365,453) | 964,187,306 | |||||||||
Other Assets and Liabilities (net) — (4.3)% | (39,867,893 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 924,319,413 | ||||||||
|
| |||||||||
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 $29,029 which represents 0.0% of net assets. The aggregate tax cost of these securities held at September 30, 2014 was $25,189. | |||||||||
**** | 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 $2,420 which represents 0.0% of net assets. The aggregate tax cost of these securities held at September 30, 2014 was $0. | |||||||||
***** | Security has been segregated to cover collateral requirements on open synthetic futures contracts. | |||||||||
‡ | 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. |
98 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
A summary of outstanding financial instruments at September 30, 2014 is as follows:
Forward Foreign Currency Contracts
Settlement | Currency | Counterparty | Units of | Value | Unrealized | |||||||||||||||||
Buys | ||||||||||||||||||||||
12/17/14 | BRL | Royal Bank of Scotland plc | 99,614,000 | $ | 39,830,773 | $ | (3,184,778 | ) | ||||||||||||||
12/17/14 | COP | Royal Bank of Scotland plc | 29,987,000,000 | 14,734,832 | (620,591 | ) | ||||||||||||||||
12/17/14 | CZK | Royal Bank of Scotland plc | 220,000,000 | 10,112,089 | (182,479 | ) | ||||||||||||||||
12/17/14 | HKD | Royal Bank of Scotland plc | 30,158,000 | 3,883,334 | (8,331 | ) | ||||||||||||||||
12/17/14 | HUF | Royal Bank of Scotland plc | 3,279,450,000 | 13,317,857 | (303,384 | ) | ||||||||||||||||
12/17/14 | IDR | Royal Bank of Scotland plc | 46,294,577,052 | 3,749,136 | (120,384 | ) | ||||||||||||||||
12/17/14 | INR | Royal Bank of Scotland plc | 2,059,680,000 | 32,811,622 | (675,318 | ) | ||||||||||||||||
12/17/14 | KRW | Royal Bank of Scotland plc | 20,513,256,000 | 19,375,832 | (537,275 | ) | ||||||||||||||||
12/17/14 | MXN | Royal Bank of Scotland plc | 641,752,000 | 47,537,571 | (794,029 | ) | ||||||||||||||||
12/17/14 | MYR | Royal Bank of Scotland plc | 90,825,000 | 27,547,703 | (855,409 | ) | ||||||||||||||||
12/17/14 | PEN | Royal Bank of Scotland plc | 1,338,000 | 456,698 | (4,840 | ) | ||||||||||||||||
12/17/14 | PLN | Royal Bank of Scotland plc | 51,142,000 | 15,412,348 | (218,081 | ) | ||||||||||||||||
12/17/14 | RUB | Royal Bank of Scotland plc | 253,856,000 | 6,316,886 | (222,564 | ) | ||||||||||||||||
12/17/14 | SGD | Royal Bank of Scotland plc | 6,360,000 | 4,986,671 | (39,181 | ) | ||||||||||||||||
12/17/14 | THB | Royal Bank of Scotland plc | 13,000,000 | 399,529 | (2,743 | ) | ||||||||||||||||
12/17/14 | TRY | Royal Bank of Scotland plc | 76,482,000 | 32,888,128 | (1,493,888 | ) | ||||||||||||||||
12/17/14 | TWD | Royal Bank of Scotland plc | 161,564,000 | 5,315,643 | (102,506 | ) | ||||||||||||||||
12/17/14 | ZAR | Royal Bank of Scotland plc | 38,707,000 | 3,381,818 | (155,184 | ) | ||||||||||||||||
|
| |||||||||||||||||||||
$ | (9,520,965 | ) | ||||||||||||||||||||
|
| |||||||||||||||||||||
Sales | ||||||||||||||||||||||
12/17/14 | BRL | Royal Bank of Scotland plc | 71,848,000 | $ | 28,728,506 | $ | 457,024 | |||||||||||||||
12/17/14 | CLP | Royal Bank of Scotland plc | 10,592,843,000 | 17,618,511 | 187,535 | |||||||||||||||||
12/17/14 | COP | Royal Bank of Scotland plc | 12,900,000,000 | 6,338,725 | 107,309 | |||||||||||||||||
12/17/14 | CZK | Royal Bank of Scotland plc | 6,690,000 | 307,499 | 7,610 | |||||||||||||||||
12/17/14 | HKD | Royal Bank of Scotland plc | 58,260,000 | 7,501,924 | 15,056 | |||||||||||||||||
12/17/14 | HUF | Royal Bank of Scotland plc | 370,000,000 | 1,502,571 | 14,382 | |||||||||||||||||
12/17/14 | ILS | Royal Bank of Scotland plc | 72,180,000 | 19,605,314 | 529,396 | |||||||||||||||||
12/17/14 | KRW | Royal Bank of Scotland plc | 34,560,000,000 | 32,643,709 | 656,225 | |||||||||||||||||
12/17/14 | MXN | Royal Bank of Scotland plc | 775,051,000 | 57,411,652 | 1,290,216 | |||||||||||||||||
12/17/14 | PEN | Royal Bank of Scotland plc | 1,338,000 | 456,698 | 7,290 | |||||||||||||||||
12/17/14 | PHP | Royal Bank of Scotland plc | 669,100,000 | 14,879,222 | 425,469 | |||||||||||||||||
12/17/14 | PLN | Royal Bank of Scotland plc | 24,825,000 | 7,481,357 | 203,434 | |||||||||||||||||
12/17/14 | RUB | Royal Bank of Scotland plc | 634,652,000 | 15,792,514 | 777,499 | |||||||||||||||||
12/17/14 | SGD | Royal Bank of Scotland plc | 60,906,000 | 47,754,430 | 815,721 | |||||||||||||||||
12/17/14 | THB | Royal Bank of Scotland plc | 56,842,000 | 1,746,927 | 18,903 | |||||||||||||||||
12/17/14 | TRY | Royal Bank of Scotland plc | 4,600,000 | 1,978,052 | 35,514 | |||||||||||||||||
12/17/14 | ZAR | Royal Bank of Scotland plc | 2,971,000 | 259,575 | 14,023 | |||||||||||||||||
|
| |||||||||||||||||||||
$ | 5,562,606 | |||||||||||||||||||||
|
|
Currency Abbreviations
BRL | Brazilian Real |
CLP | Chilean Peso |
COP | Colombian Peso |
CZK | Czech Koruna |
HKD | Hong Kong Dollar |
See accompanying Notes to the Financial Statements. | 99 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Currency Abbreviations — continued
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 | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
98 | H-shares Index | October 2014 | $ | 6,516,632 | $ | (278,445 | ) | |||||||||||
778 | MSCI Emerging Markets E-mini Index | December 2014 | 39,005,030 | (2,469,095 | ) | |||||||||||||
68 | MSCI Singapore Index | October 2014 | 3,938,273 | (18,360 | ) | |||||||||||||
110 | MSCI Taiwan Stock Index | October 2014 | 3,562,900 | (68,455 | ) | |||||||||||||
47 | SET50 Index | December 2014 | 306,714 | (2,888 | ) | |||||||||||||
|
| |||||||||||||||||
$ | (2,837,243 | ) | ||||||||||||||||
|
| |||||||||||||||||
Sales | ||||||||||||||||||
223 | BIST 30 Index | October 2014 | $ | 899,753 | $ | 75,291 | ||||||||||||
22 | FTSE Bursa Malaysia KLCI Index | October 2014 | 617,650 | (1,093 | ) | |||||||||||||
22 | FTSE/JSE TOP 40 | December 2014 | 867,148 | 37,130 | ||||||||||||||
138 | KOSPI 200 Index | December 2014 | 16,804,549 | 420,276 | ||||||||||||||
83 | Mexico Bolsa Index | December 2014 | 2,784,929 | 61,288 | ||||||||||||||
231 | SGX CNX Nifty Index | October 2014 | 3,690,687 | 81,323 | ||||||||||||||
|
| |||||||||||||||||
$ | 674,215 | |||||||||||||||||
|
|
Synthetic Futures
Number of | Reference Entity | Expiration Date | Counterparty | Notional | Value | |||||||||||||||||
372 | Brazil Bovespa Stock Index | 10/15/2014 | Goldman Sachs & Co. | $ | 9,389,295 | $ | (479,294 | ) | ||||||||||||||
7,450 | Hang Seng China Enterprises Index | 10/30/2014 | Goldman Sachs & Co. | 10,267,868 | (345,183 | ) | ||||||||||||||||
3,600 | MSCI Taiwan Index | 10/30/2014 | Goldman Sachs & Co. | 1,187,054 | (21,014 | ) | ||||||||||||||||
8,200 | Taiwan Stock Exchange Capitalization Weighted Stock Index | 10/15/2014 | Goldman Sachs & Co. | 2,509,419 | (62,630 | ) | ||||||||||||||||
18,500 | Tel Aviv 25 Index | 10/31/2014 | Goldman Sachs & Co. | 7,346,723 | 28,561 | |||||||||||||||||
1,480 | Warsaw WIG 20 Index | 12/19/2014 | Goldman Sachs & Co. | 1,146,067 | 4,875 | |||||||||||||||||
|
| |||||||||||||||||||||
$ | (874,685 | ) | ||||||||||||||||||||
|
|
100 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Banks | 14.7 | ||||
Oil & Gas | 7.4 | ||||
Telecommunications | 6.7 | ||||
Semiconductors | 5.9 | ||||
Diversified Financial Services | 5.4 | ||||
Electric | 3.9 | ||||
Mining | 3.3 | ||||
Insurance | 3.2 | ||||
Internet | 3.1 | ||||
Computers | 2.9 | ||||
Beverages | 2.8 | ||||
Auto Manufacturers | 2.6 | ||||
Commercial Services | 2.3 | ||||
Agriculture | 2.2 | ||||
Pharmaceuticals | 2.2 | ||||
Electronics | 2.1 | ||||
Retail | 2.0 | ||||
Food | 1.7 | ||||
Real Estate | 1.7 | ||||
Software | 1.4 | ||||
Auto Parts & Equipment | 1.1 | ||||
Building Materials | 1.0 | ||||
Chemicals | 1.0 | ||||
Lodging | 1.0 | ||||
Media | 1.0 | ||||
Holding Companies — Diversified | 0.9 | ||||
Electrical Components & Equipment | 0.8 | ||||
Engineering & Construction | 0.8 | ||||
Iron & Steel | 0.8 | ||||
Household Products & Wares | 0.7 | ||||
Miscellaneous — Manufacturing | 0.6 | ||||
Coal | 0.5 | ||||
Forest Products & Paper | 0.5 | ||||
Airlines | 0.4 | ||||
Gas | 0.4 | ||||
Home Furnishings | 0.4 | ||||
REITS | 0.4 | ||||
Entertainment | 0.3 | ||||
Environmental Control | 0.3 | ||||
Health Care — Services | 0.3 | ||||
Distribution & Wholesale | 0.2 | ||||
Leisure Time | 0.2 | ||||
Machinery — Diversified | 0.2 | ||||
Metal Fabricate & Hardware | 0.2 | ||||
Oil & Gas Services | 0.2 | ||||
Shipbuilding | 0.2 | ||||
Apparel | 0.1 | ||||
Cosmetics & Personal Care | 0.1 | ||||
Pipelines | 0.1 | ||||
Transportation | 0.1 | ||||
Machinery — Construction & Mining | 0.0 | ||||
Short-Term Investments and Other Assets and Liabilities (net) | 7.7 | ||||
|
| ||||
100.0 | % | ||||
|
|
See accompanying Notes to the Financial Statements. | 101 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 80.1% | ||||||||||
Australia — 0.4% | ||||||||||
190,155 | Newcrest Mining, Ltd.* | 1,755,468 | ||||||||
392,914 | Telstra Corp., Ltd. | 1,822,243 | ||||||||
|
| |||||||||
Total Australia | 3,577,711 | |||||||||
|
| |||||||||
Austria — 0.3% | ||||||||||
182 | Agrana Beteiligungs AG | 18,400 | ||||||||
6,652 | CA Immobilien Anlagen AG* | 132,854 | ||||||||
17,593 | EVN AG | 225,022 | ||||||||
8,444 | Flughafen Wien AG | 705,187 | ||||||||
975 | Mayr Melnhof Karton AG | 103,583 | ||||||||
1,752 | Oesterreichische Post AG | 84,036 | ||||||||
13,724 | OMV AG | 461,940 | ||||||||
13,904 | Voestalpine AG | 549,760 | ||||||||
|
| |||||||||
Total Austria | 2,280,782 | |||||||||
|
| |||||||||
Bahamas — 0.0% | ||||||||||
1,372 | United International Enterprises | 265,427 | ||||||||
|
| |||||||||
Belgium — 0.7% | ||||||||||
6,763 | Befimmo SA REIT | 502,264 | ||||||||
10,605 | Elia System Operator SA | 509,546 | ||||||||
44,969 | Groupe Bruxelles Lambert SA | 4,121,922 | ||||||||
47 | Lotus Bakeries | 55,267 | ||||||||
8,661 | UCB SA | 786,440 | ||||||||
|
| |||||||||
Total Belgium | 5,975,439 | |||||||||
|
| |||||||||
Bermuda — 0.5% | ||||||||||
30,099 | Bunge, Ltd. | 2,535,239 | ||||||||
6,221 | China Yuchai International, Ltd. | 115,337 | ||||||||
9,000 | Guoco Group, Ltd. | 112,368 | ||||||||
24,200 | Jardine Matheson Holdings, Ltd. | 1,442,320 | ||||||||
13,600 | Transport International Holdings, Ltd. | 25,046 | ||||||||
5,000 | Wing On Co. International, Ltd. | 14,713 | ||||||||
|
| |||||||||
Total Bermuda | 4,245,023 | |||||||||
|
| |||||||||
Canada — 4.3% | ||||||||||
40,420 | Agnico-Eagle Mines, Ltd. | 1,171,495 | ||||||||
33,300 | Bank of Montreal | 2,456,193 | ||||||||
10,200 | Bank of Nova Scotia (The) | 632,235 | ||||||||
66,862 | Barrick Gold Corp. | 980,197 | ||||||||
55,552 | BCE, Inc. | 2,375,403 | ||||||||
27,200 | Canadian Imperial Bank of Commerce‡ | 2,448,255 | ||||||||
66,258 | Canadian Natural Resources, Ltd. | 2,579,648 | ||||||||
24,500 | Canadian Tire Corp., Ltd. Class A | 2,515,659 | ||||||||
88,060 | Cenovus Energy, Inc. | 2,367,053 | ||||||||
30,200 | Emera, Inc. | 946,630 | ||||||||
13,200 | Empire Co., Ltd. | 920,002 |
102 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Canada — continued |
| |||||||||
80,900 | Fortis, Inc.‡ | 2,506,159 | ||||||||
30,500 | George Weston, Ltd. | 2,408,778 | ||||||||
91,727 | Goldcorp, Inc. | 2,112,473 | ||||||||
17,600 | Jean Coutu Group PJC, Inc. (The) Class A | 369,780 | ||||||||
245,519 | Kinross Gold Corp.* | 810,213 | ||||||||
33,200 | Manitoba Telecom Services, Inc.‡ | 865,389 | ||||||||
92,199 | Penn West Petroleum, Ltd.‡ | 622,343 | ||||||||
50,989 | Potash Corp. of Saskatchewan, Inc. | 1,762,180 | ||||||||
14,400 | RONA, Inc. | 175,756 | ||||||||
10,600 | Royal Bank of Canada | 759,277 | ||||||||
35,600 | Shaw Communications, Inc. Class B‡ | 874,431 | ||||||||
48,400 | Toronto-Dominion Bank | 2,393,690 | ||||||||
12,700 | TransAlta Renewables, Inc. | 131,824 | ||||||||
|
| |||||||||
Total Canada | 35,185,063 | |||||||||
|
| |||||||||
Cayman Islands — 0.2% | ||||||||||
47,104 | Fresh Del Monte Produce, Inc. | 1,502,618 | ||||||||
|
| |||||||||
Denmark — 0.6% | ||||||||||
9,841 | Carlsberg A/S Class B | 875,097 | ||||||||
13,113 | ISS A/S* | 355,602 | ||||||||
1,636 | Ringkjoebing Landbobank AS | 317,333 | ||||||||
3,566 | Royal UNIBREW AS* | 593,658 | ||||||||
7,629 | Schouw & Co. | 312,011 | ||||||||
280,621 | TDC AS | 2,131,552 | ||||||||
|
| |||||||||
Total Denmark | 4,585,253 | |||||||||
|
| |||||||||
France — 4.3% | ||||||||||
1,437 | Bongrain SA | 105,396 | ||||||||
59,944 | Bouygues SA | 1,943,463 | ||||||||
6,427 | Caisse Regionale de Credit Agricole Mutuel Nord de France | 133,556 | ||||||||
55,642 | Carrefour SA | 1,719,287 | ||||||||
42,429 | Cie de Saint-Gobain | 1,942,139 | ||||||||
130,161 | Danone SA | 8,714,571 | ||||||||
9,598 | Legrand SA | 499,476 | ||||||||
872 | Manutan International | 44,536 | ||||||||
8,890 | Neopost SA | 653,491 | ||||||||
2,150 | Orpea | 133,681 | ||||||||
124,463 | Sanofi | 14,081,328 | ||||||||
12,030 | Sodexo | 1,177,456 | ||||||||
1,815 | Stef | 118,377 | ||||||||
36,017 | Total SA | 2,340,896 | ||||||||
1,723 | Vetoquinol SA | 78,466 | ||||||||
48,523 | Vivendi SA* | 1,171,992 | ||||||||
5,782 | Wendel SA | 655,617 | ||||||||
|
| |||||||||
Total France | 35,513,728 | |||||||||
|
| |||||||||
Germany — 2.2% | ||||||||||
7,960 | DaimlerChrysler AG | 610,669 |
See accompanying Notes to the Financial Statements. | 103 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Germany — continued |
| |||||||||
62,294 | E.ON AG | 1,140,653 | ||||||||
26,955 | Fielmann AG | 1,654,704 | ||||||||
4,362 | Fraport AG Frankfurt Airport Services Worldwide | 286,866 | ||||||||
5,885 | Fresenius Medical Care AG & Co. KGaA | 411,113 | ||||||||
42,130 | HeidelbergCement AG | 2,784,508 | ||||||||
4,655 | Hornbach Baumarkt AG | 176,266 | ||||||||
28,457 | Merck KGaA | 2,625,304 | ||||||||
46,460 | Rhoen Klinikum AG | 1,409,748 | ||||||||
90,073 | SAP SE | 6,497,107 | ||||||||
16,323 | Stada Arzneimittel AG | 649,634 | ||||||||
|
| |||||||||
Total Germany | 18,246,572 | |||||||||
|
| |||||||||
Hong Kong — 0.3% | ||||||||||
6,500 | Aeon Stores Hong Kong Co., Ltd. | 8,003 | ||||||||
290,500 | CLP Holdings, Ltd. | 2,330,704 | ||||||||
49,372 | Hysan Development Co., Ltd. | 228,259 | ||||||||
33,000 | Miramar Hotel & Investment Co., Ltd. | 41,308 | ||||||||
233,000 | Regal Real Estate Investment Trust REIT | 61,212 | ||||||||
109,000 | Sunlight Real Estate Investment Trust REIT | 44,077 | ||||||||
|
| |||||||||
Total Hong Kong | 2,713,563 | |||||||||
|
| |||||||||
Ireland — 0.4% | ||||||||||
59,294 | CRH Plc | 1,355,355 | ||||||||
16,440 | Kerry Group Plc | 1,159,260 | ||||||||
26,941 | Willis Group Holdings Plc | 1,115,358 | ||||||||
|
| |||||||||
Total Ireland | 3,629,973 | |||||||||
|
| |||||||||
Israel — 0.7% | ||||||||||
25,758 | Azrieli Group | 884,350 | ||||||||
12,035 | Bank Hapoalim, Ltd. | 67,843 | ||||||||
6,656 | Delek Automotive Systems, Ltd. | 72,259 | ||||||||
81,567 | Israel Chemicals, Ltd. | 586,654 | ||||||||
35,424 | Osem Investments, Ltd. | 760,013 | ||||||||
1,483 | Paz Oil Co., Ltd. | 234,374 | ||||||||
6,159 | Strauss Group, Ltd. | 113,501 | ||||||||
56,191 | Teva Pharmaceutical Industries, Ltd., Sponsored ADR | 3,020,266 | ||||||||
|
| |||||||||
Total Israel | 5,739,260 | |||||||||
|
| |||||||||
Italy — 0.2% | ||||||||||
22,611 | Amplifon Spa | 126,593 | ||||||||
40,855 | Italcementi Spa | 262,179 | ||||||||
305,071 | Parmalat Spa | 963,452 | ||||||||
|
| |||||||||
Total Italy | 1,352,224 | |||||||||
|
| |||||||||
Japan — 6.2% | ||||||||||
179,800 | Astellas Pharma, Inc. | 2,676,634 | ||||||||
3,000 | AT-Group Co., Ltd. | 57,459 | ||||||||
5,000 | Belc Co., Ltd. | 137,427 |
104 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued |
| |||||||||
62,400 | Bic Camera, Inc.‡ | 588,191 | ||||||||
73,900 | Canon, Inc. | 2,405,396 | ||||||||
52,300 | Coca-Cola West Co., Ltd. | 760,935 | ||||||||
21,600 | Dydo Drinco, Inc. | 852,619 | ||||||||
4,000 | Fancl Corp. | 49,082 | ||||||||
17,700 | Fanuc, Ltd. | 3,196,472 | ||||||||
4,500 | Fuji Co., Ltd. | 89,184 | ||||||||
4,800 | Fukuda Denshi Co., Ltd. | 265,609 | ||||||||
5,600 | Hirose Electric Co., Ltd. | 691,226 | ||||||||
86,400 | Hoya Corp. | 2,901,660 | ||||||||
4,500 | Idemitsu Kosan Co., Ltd. | 95,501 | ||||||||
15,300 | Inageya Co., Ltd. | 165,002 | ||||||||
59,900 | Ito En, Ltd.‡ | 1,264,128 | ||||||||
42,600 | Kasumi Co., Ltd. | 387,961 | ||||||||
54,900 | KDDI Corp.‡ | 3,299,655 | ||||||||
118,700 | Kewpie Corp. | 2,004,033 | ||||||||
7,200 | Keyence Corp. | 3,128,566 | ||||||||
1,000 | KFC Holdings Japan, Ltd. | 19,645 | ||||||||
19,200 | Kose Corp. | 815,643 | ||||||||
316,000 | Lion Corp. | 1,699,622 | ||||||||
6,300 | MISUMI Group, Inc. | 190,100 | ||||||||
67,300 | Mitsubishi Estate Co., Ltd. | 1,514,472 | ||||||||
106,000 | Mitsubishi Materials Corp. | 343,042 | ||||||||
159,000 | Morinaga & Co., Ltd. | 343,525 | ||||||||
163,000 | Morinaga Milk Industry Co., Ltd. | 524,536 | ||||||||
4,800 | MOS Food Services, Inc.‡ | 95,786 | ||||||||
95,700 | MS&AD Insurance Group Holdings | 2,087,262 | ||||||||
66,000 | Nippon Flour Mills Co., Ltd. | 319,486 | ||||||||
464,000 | Nisshin Oillio Group, Ltd. (The) | 1,560,837 | ||||||||
20,200 | Nissin Foods Holdings Co., Ltd. | 1,049,638 | ||||||||
3,300 | Nitori Holdings Co., Ltd. | 204,266 | ||||||||
14,700 | Noevir Holdings Co., Ltd. | 277,530 | ||||||||
21,600 | Nomura Research Institute, Ltd. | 698,045 | ||||||||
22,200 | NTT DoCoMo, Inc.‡ | 370,455 | ||||||||
9,200 | Ohsho Food Service Corp. | 355,604 | ||||||||
4,500 | Okinawa Cellular Telephone Co. | 121,058 | ||||||||
900 | Oriental Land Co., Ltd. | 170,122 | ||||||||
1,000 | Riken Vitamin Co., Ltd. | 24,459 | ||||||||
15,200 | Royal Holdings Co., Ltd. | 245,400 | ||||||||
60,500 | Secom Co., Ltd.‡ | 3,603,141 | ||||||||
19,200 | Shimano, Inc. | 2,334,910 | ||||||||
5,900 | Shin-Etsu Chemical Co., Ltd. | 385,535 | ||||||||
34,000 | Showa Sangyo Co., Ltd. | 124,290 | ||||||||
12,700 | SMC Corp. | 3,502,211 | ||||||||
90,600 | Sompo Japan Nipponkoa Holdings, Inc. | 2,197,790 | ||||||||
9,000 | Yamazaki Baking Co., Ltd. | 116,013 | ||||||||
61,400 | Yoshinoya Holdings Co., Ltd.‡ | 735,490 | ||||||||
|
| |||||||||
Total Japan | 51,046,653 | |||||||||
|
|
See accompanying Notes to the Financial Statements. | 105 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Mexico — 0.4% | ||||||||||
94,013 | Grupo Televisa SAB, Sponsored ADR | 3,185,160 | ||||||||
19,636 | Industrias Penoles SAB de CV | 450,304 | ||||||||
|
| |||||||||
Total Mexico | 3,635,464 | |||||||||
|
| |||||||||
Netherlands — 1.3% | ||||||||||
18,445 | Heineken Holding NV | 1,220,255 | ||||||||
9,417 | Heineken NV | 704,720 | ||||||||
2,451 | Sligro Food Group NV | 94,605 | ||||||||
113,290 | TNT Express NV | 717,572 | ||||||||
188,487 | Unilever NV, ADR | 7,507,488 | ||||||||
|
| |||||||||
Total Netherlands | 10,244,640 | |||||||||
|
| |||||||||
New Zealand — 0.9% | ||||||||||
794,903 | Air New Zealand, Ltd. | 1,201,999 | ||||||||
304,283 | Argosy Property, Ltd. | 238,359 | ||||||||
318,774 | Auckland International Airport, Ltd. | 956,603 | ||||||||
63,164 | Contact Energy, Ltd. | 294,414 | ||||||||
105,139 | Fisher & Paykel Healthcare Corp., Ltd. | 425,324 | ||||||||
523,521 | Infratil, Ltd. | 1,154,805 | ||||||||
7,766 | Mainfreight, Ltd. | 90,374 | ||||||||
481,145 | Meridian Energy, Ltd. | 536,291 | ||||||||
11,938 | Metlifecare, Ltd. | 42,803 | ||||||||
193,756 | Mighty River Power, Ltd. | 387,374 | ||||||||
7,205 | Nuplex Industries, Ltd. | 17,241 | ||||||||
262,459 | Sky Network Television, Ltd. | 1,288,814 | ||||||||
188,215 | Spark New Zealand, Ltd. | 435,712 | ||||||||
20,210 | Summerset Group Holdings, Ltd. | 44,738 | ||||||||
2,733 | TrustPower, Ltd. | 15,572 | ||||||||
61,703 | Vector, Ltd. | 128,893 | ||||||||
8,880 | Warehouse Group, Ltd. (The) | 21,180 | ||||||||
|
| |||||||||
Total New Zealand | 7,280,496 | |||||||||
|
| |||||||||
Norway — 1.2% | ||||||||||
5,525 | Cermaq ASA | 83,227 | ||||||||
433,303 | Norsk Hydro ASA | 2,424,648 | ||||||||
279,662 | Orkla ASA | 2,529,814 | ||||||||
96,680 | Statoil ASA | 2,637,240 | ||||||||
97,358 | Telenor ASA | 2,137,321 | ||||||||
|
| |||||||||
Total Norway | 9,812,250 | |||||||||
|
| |||||||||
Portugal — 0.4% | ||||||||||
555,394 | EDP - Energias de Portugal SA | 2,424,033 | ||||||||
332,581 | REN - Redes Energeticas Nacionais SGPS SA | 1,121,755 | ||||||||
26,062 | Sonaecom SGPS SA* | 54,981 | ||||||||
|
| |||||||||
Total Portugal | 3,600,769 | |||||||||
|
| |||||||||
Russia — 0.1% | ||||||||||
98,944 | Gazprom OAO, Sponsored ADR | 696,565 |
106 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Russia — continued |
| |||||||||
4,548 | IBS Group Holding, Ltd., Reg S, GDR‡‡‡ | 145,723 | ||||||||
|
| |||||||||
Total Russia | 842,288 | |||||||||
|
| |||||||||
Singapore — 0.4% | ||||||||||
7,000 | Bukit Sembawang Estates, Ltd. | 30,299 | ||||||||
53,000 | Fraser and Neave, Ltd. | 128,832 | ||||||||
49,000 | Frasers Centrepoint Trust REIT | 72,426 | ||||||||
20,000 | Great Eastern Holdings, Ltd. | 374,657 | ||||||||
15,000 | Hong Leong Finance, Ltd. | 31,404 | ||||||||
54,000 | Indofood Agri Resources, Ltd. | 35,145 | ||||||||
284,000 | M1, Ltd.‡ | 792,786 | ||||||||
65,000 | Metro Holdings, Ltd. | 45,872 | ||||||||
17,000 | Raffles Medical Group, Ltd. | 51,321 | ||||||||
299,000 | Sheng Siong Group, Ltd. | 155,912 | ||||||||
12,000 | Singapore Airlines, Ltd. | 92,590 | ||||||||
556,000 | Singapore Post, Ltd.‡ | 782,577 | ||||||||
44,000 | Singapore Press Holdings, Ltd. | 144,907 | ||||||||
101,000 | Singapore Telecommunications, Ltd. | 300,949 | ||||||||
40,000 | Venture Corp., Ltd. | 238,689 | ||||||||
64,000 | Yanlord Land Group, Ltd.‡ | 53,948 | ||||||||
|
| |||||||||
Total Singapore | 3,332,314 | |||||||||
|
| |||||||||
South Africa — 0.2% | ||||||||||
92,041 | AngloGold Ashanti, Ltd., Sponsored ADR* ‡ | 1,104,492 | ||||||||
95,849 | Gold Fields, Ltd., Sponsored ADR‡ | 373,811 | ||||||||
5,429 | Harmony Gold Mining Co., Ltd., Sponsored ADR* ‡ | 11,727 | ||||||||
|
| |||||||||
Total South Africa | 1,490,030 | |||||||||
|
| |||||||||
South Korea — 0.4% | ||||||||||
14,241 | Kia Motors Corp. | 724,702 | ||||||||
22,986 | KT&G Corp. | 2,058,448 | ||||||||
313 | Lotte Confectionery Co., Ltd. | 646,318 | ||||||||
|
| |||||||||
Total South Korea | 3,429,468 | |||||||||
|
| |||||||||
Spain — 0.4% | ||||||||||
22,316 | Endesa SA | 881,946 | ||||||||
339,581 | Iberdrola SA | 2,432,292 | ||||||||
|
| |||||||||
Total Spain | 3,314,238 | |||||||||
|
| |||||||||
Sweden — 0.8% | ||||||||||
9,269 | Axfood AB | 480,140 | ||||||||
58,270 | Hennes & Mauritz AB Class B | 2,421,045 | ||||||||
55,353 | Investor AB Class B | 1,959,670 | ||||||||
22,836 | Svenska Cellulosa AB Class B | 545,208 | ||||||||
108,318 | TeliaSonera AB | 750,130 | ||||||||
|
| |||||||||
Total Sweden | 6,156,193 | |||||||||
|
|
See accompanying Notes to the Financial Statements. | 107 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Switzerland — 4.2% | ||||||||||
4,460 | Allreal Holding AG* | 576,929 | ||||||||
3,541 | Alpiq Holding AG* | 372,444 | ||||||||
280 | APG SGA SA | 84,249 | ||||||||
4,010 | Bank Coop AG | 177,523 | ||||||||
863 | Banque Cantonale de Geneve | 195,270 | ||||||||
6,343 | Basler Kantonalbank | 432,160 | ||||||||
18 | Bell AG | 40,502 | ||||||||
1,056 | Berner Kantonalbank AG | 205,011 | ||||||||
107,894 | Coca-Cola HBC AG* | 2,331,582 | ||||||||
2,501 | Galenica AG | 2,201,299 | ||||||||
325 | Graubuendner Kantonalbank | 454,762 | ||||||||
1,044 | Intershop Holdings | 388,973 | ||||||||
2,500 | Kuehne + Nagel International AG | 315,542 | ||||||||
227,498 | Nestle SA | 16,726,044 | ||||||||
78,582 | Novartis AG | 7,414,095 | ||||||||
4,153 | Swisscom AG | 2,357,930 | ||||||||
43 | Walliser Kantonalbank | 32,492 | ||||||||
|
| |||||||||
Total Switzerland | 34,306,807 | |||||||||
|
| |||||||||
Thailand — 0.1% | ||||||||||
178,200 | Bangkok Bank PCL NVDR | 1,121,135 | ||||||||
|
| |||||||||
United Kingdom — 5.1% | ||||||||||
20,769 | Anglo American Plc | 465,988 | ||||||||
8,527 | AstraZeneca Plc | 613,973 | ||||||||
29,141 | Berkeley Group Holdings Plc | 1,062,944 | ||||||||
43,764 | BP Plc, Sponsored ADR | 1,923,428 | ||||||||
57,590 | British American Tobacco Plc | 3,250,866 | ||||||||
14,711 | Cranswick Plc | 316,711 | ||||||||
7,454 | Dairy Crest Group Plc | 46,373 | ||||||||
92,387 | Fresnillo Plc | 1,138,276 | ||||||||
120,028 | GlaxoSmithKline Plc | 2,749,464 | ||||||||
107,864 | Greggs Plc | 1,035,193 | ||||||||
50,619 | Imperial Tobacco Group Plc | 2,186,105 | ||||||||
2,851 | Liberty Global Plc Class A* | 122,018 | ||||||||
6,141,591 | Lloyds TSB Group Plc* | 7,653,516 | ||||||||
49,628 | Lookers Plc | 107,809 | ||||||||
15,613 | Next Plc | 1,671,793 | ||||||||
60,713 | Royal Dutch Shell Plc Class A (Amsterdam Exchange) | 2,325,797 | ||||||||
25,230 | Smith & Nephew Plc | 425,377 | ||||||||
105,148 | SSE Plc | 2,637,027 | ||||||||
20,112 | Stock Spirits Group Plc | 95,075 | ||||||||
25,341 | Synergy Health Plc | 601,845 | ||||||||
95,511 | Tate & Lyle Plc | 915,865 | ||||||||
3,182,462 | Tesco Plc | 9,606,521 | ||||||||
207,622 | WM Morrison Supermarkets Plc | 566,475 | ||||||||
|
| |||||||||
Total United Kingdom | 41,518,439 | |||||||||
|
|
108 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — 42.9% | ||||||||||
21,912 | 3M Co. | 3,104,492 | ||||||||
1,583 | Alleghany Corp.* | 661,931 | ||||||||
12,291 | Alliant Techsystems, Inc. | 1,568,823 | ||||||||
59,640 | Altria Group, Inc. | 2,739,862 | ||||||||
53,434 | Amdocs, Ltd. | 2,451,552 | ||||||||
48,964 | American Express Co. | 4,286,309 | ||||||||
14,418 | American International Group, Inc. | 778,860 | ||||||||
15,530 | Amsurg Corp.* | 777,276 | ||||||||
4,872 | Apollo Residential Mortgage, Inc. REIT | 75,175 | ||||||||
49,097 | Archer-Daniels-Midland Co. | 2,508,857 | ||||||||
70,731 | AT&T, Inc. | 2,492,560 | ||||||||
298 | Atrion Corp. | 90,893 | ||||||||
12,759 | Automatic Data Processing, Inc. | 1,060,018 | ||||||||
22,672 | Avista Corp. | 692,176 | ||||||||
294,225 | Bank of New York Mellon Corp. (The) | 11,395,334 | ||||||||
59,272 | BB&T Corp. | 2,205,511 | ||||||||
1,970 | Becton Dickinson and Co. | 224,206 | ||||||||
6,423 | Bed Bath & Beyond, Inc.* | 422,826 | ||||||||
14 | Berkshire Hathaway, Inc. Class A* | 2,896,600 | ||||||||
11,357 | Brown & Brown, Inc. | 365,128 | ||||||||
5,606 | CA, Inc. | 156,632 | ||||||||
88,038 | Cablevision Systems Corp. | 1,541,545 | ||||||||
9,751 | CACI International, Inc. Class A* | 694,954 | ||||||||
173,538 | Capitol Federal Financial, Inc. | 2,051,219 | ||||||||
5,494 | CenturyLink, Inc. | 224,650 | ||||||||
5,742 | Charles River Laboratories International, Inc.* | 343,027 | ||||||||
3,856 | Chemed Corp.‡ | 396,782 | ||||||||
36,594 | Church & Dwight Co., Inc. | 2,567,435 | ||||||||
26,863 | Cigna Corp. | 2,436,205 | ||||||||
34,520 | Cincinnati Financial Corp. | 1,624,166 | ||||||||
48,180 | Cintas Corp. | 3,401,026 | ||||||||
38,386 | Cisco Systems, Inc. | 966,176 | ||||||||
27,551 | Clorox Co. (The) | 2,645,998 | ||||||||
1,504 | Coca-Cola Bottling Co. Consolidated | 112,244 | ||||||||
71,162 | Coca-Cola Co. (The) | 3,035,771 | ||||||||
58,790 | Colgate-Palmolive Co. | 3,834,284 | ||||||||
79,268 | Comcast Corp. Class A | 4,240,838 | ||||||||
7,587 | Commvault Systems, Inc.* | 382,385 | ||||||||
14,219 | Computer Sciences Corp. | 869,492 | ||||||||
58,073 | ConocoPhillips | 4,443,746 | ||||||||
4,895 | Costco Wholesale Corp. | 613,441 | ||||||||
20,421 | CVS Health Corp. | 1,625,307 | ||||||||
12,827 | Deere & Co.‡ | 1,051,686 | ||||||||
48,909 | DENTSPLY International, Inc. | 2,230,250 | ||||||||
29,787 | Devon Energy Corp. | 2,030,878 | ||||||||
88,310 | DIRECTV* | 7,640,581 | ||||||||
12,482 | Dr Pepper Snapple Group, Inc. | 802,717 | ||||||||
25,509 | DST Systems, Inc. | 2,140,715 | ||||||||
264,216 | eBay, Inc.* | 14,962,552 |
See accompanying Notes to the Financial Statements. | 109 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued |
| |||||||||
93,129 | Empire District Electric Co. (The) | 2,249,065 | ||||||||
10,709 | Energizer Holdings, Inc. | 1,319,456 | ||||||||
26,579 | Entergy Corp. | 2,055,354 | ||||||||
7,755 | Exxon Mobil Corp. | 729,358 | ||||||||
12,244 | Factset Research Systems, Inc.‡ | 1,488,013 | ||||||||
1,442 | First American Financial Corp. | 39,107 | ||||||||
11,310 | General Mills, Inc. | 570,590 | ||||||||
9,001 | Google, Inc. Class A* | 5,296,278 | ||||||||
6,778 | Google, Inc. Class C* | 3,913,346 | ||||||||
16,163 | H&R Block, Inc. | 501,215 | ||||||||
35,320 | Harris Corp. | 2,345,248 | ||||||||
39,388 | HealthSouth Corp. | 1,453,417 | ||||||||
20,820 | Henry Schein, Inc.* | 2,424,905 | ||||||||
58,448 | Hill-Rom Holdings, Inc. | 2,421,501 | ||||||||
67,762 | Home Depot, Inc. (The) | 6,216,486 | ||||||||
1,712 | ICU Medical, Inc.* | 109,876 | ||||||||
138,722 | Intel Corp. | 4,830,300 | ||||||||
40,279 | Jack Henry & Associates, Inc. | 2,241,929 | ||||||||
21,429 | Johnson & Johnson | 2,284,117 | ||||||||
29,546 | Kaiser Aluminum Corp. | 2,251,996 | ||||||||
35,961 | Kellogg Co. | 2,215,198 | ||||||||
23,078 | Kimberly-Clark Corp. | 2,482,500 | ||||||||
23,554 | Laboratory Corp. of America Holdings* | 2,396,619 | ||||||||
38,066 | LifePoint Hospitals, Inc.* | 2,633,787 | ||||||||
50,946 | Linear Technology Corp. | 2,261,493 | ||||||||
11,734 | Lockheed Martin Corp. | 2,144,741 | ||||||||
218,783 | Lowe’s Cos., Inc. | 11,577,996 | ||||||||
11,661 | Martin Marietta Materials, Inc. | 1,503,569 | ||||||||
93,013 | Mastercard, Inc. Class A | 6,875,521 | ||||||||
58,772 | McDonald’s Corp. | 5,572,173 | ||||||||
38,681 | MEDNAX, Inc.* | 2,120,492 | ||||||||
37,223 | Medtronic, Inc. | 2,305,965 | ||||||||
431,199 | Microsoft Corp. | 19,990,386 | ||||||||
21,431 | Motorola Solutions, Inc. | 1,356,154 | ||||||||
3,891 | National Healthcare Corp. | 215,989 | ||||||||
44,672 | National Oilwell Varco, Inc. | 3,399,539 | ||||||||
8,604 | NetApp, Inc. | 369,628 | ||||||||
14,807 | Newmont Mining Corp. | 341,301 | ||||||||
16,243 | Northrop Grumman Corp. | 2,140,178 | ||||||||
20,477 | NOW, Inc.* ‡ | 622,706 | ||||||||
39,410 | Omnicare, Inc. | 2,453,667 | ||||||||
39,679 | Omnicom Group, Inc. | 2,732,296 | ||||||||
426,177 | Oracle Corp. | 16,314,056 | ||||||||
35,226 | Owens & Minor, Inc.‡ | 1,153,299 | ||||||||
45,744 | Patterson Cos., Inc. | 1,895,174 | ||||||||
3,738 | People’s United Financial, Inc. | 54,089 | ||||||||
26,660 | PepsiCo, Inc. | 2,481,779 | ||||||||
29,415 | Philip Morris International, Inc. | 2,453,211 | ||||||||
36,312 | Plum Creek Timber Co., Inc. REIT | 1,416,531 |
110 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued |
| |||||||||
18,358 | Premier, Inc. Class A* | 603,244 | ||||||||
11,200 | Procter & Gamble Co. (The) | 937,888 | ||||||||
32,935 | QUALCOMM, Inc. | 2,462,550 | ||||||||
21,354 | Quest Diagnostics, Inc. | 1,295,761 | ||||||||
17,381 | Rayonier, Inc. REIT | 541,244 | ||||||||
5,121 | Reliance Steel & Aluminum Co. | 350,276 | ||||||||
4,031 | Ross Stores, Inc. | 304,663 | ||||||||
6,024 | San Juan Basin Royalty Trust | 114,456 | ||||||||
23,440 | Scotts Miracle-Gro Co. (The) Class A | 1,289,200 | ||||||||
103,231 | State Street Corp. | 7,598,834 | ||||||||
44,158 | Steel Dynamics, Inc. | 998,412 | ||||||||
13,880 | STERIS Corp. | 748,965 | ||||||||
2,512 | Sykes Enterprises, Inc.* | 50,190 | ||||||||
27,206 | Sysco Corp. | 1,032,468 | ||||||||
186,265 | Target Corp. | 11,675,090 | ||||||||
1,850 | Teleflex, Inc. | 194,324 | ||||||||
4,319 | TeleTech Holdings, Inc.* | 106,161 | ||||||||
49,589 | Teradata Corp.* | 2,078,771 | ||||||||
8,700 | Universal Corp.‡ | 386,193 | ||||||||
1,299 | Universal Health Services, Inc. Class B | 135,746 | ||||||||
132,026 | US Bancorp | 5,522,648 | ||||||||
2,464 | Vectren Corp. | 98,314 | ||||||||
38,776 | VeriSign, Inc.* | 2,137,333 | ||||||||
54,291 | Visa, Inc. Class A | 11,584,071 | ||||||||
18,566 | Vulcan Materials Co. | 1,118,230 | ||||||||
186,889 | Wal-Mart Stores, Inc. | 14,291,402 | ||||||||
13,501 | WellPoint, Inc. | 1,614,990 | ||||||||
156,236 | Wells Fargo & Co. | 8,103,961 | ||||||||
23,110 | Westar Energy, Inc. | 788,513 | ||||||||
61,637 | Weyerhaeuser Co. REIT | 1,963,755 | ||||||||
33,799 | WR Berkley Corp. | 1,615,592 | ||||||||
12,468 | Xilinx, Inc. | 528,020 | ||||||||
168,262 | Yum! Brands, Inc. | 12,111,499 | ||||||||
|
| |||||||||
Total United States | 352,469,449 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $607,113,658) | 658,413,269 | |||||||||
|
| |||||||||
INVESTMENT COMPANY — 1.4% | ||||||||||
United States — 1.4% | ||||||||||
101,352 | SPDR Gold Shares* | 11,778,116 | ||||||||
|
| |||||||||
TOTAL INVESTMENT COMPANY (COST $13,968,920) | 11,778,116 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 0.2% | ||||||||||
Germany — 0.2% | ||||||||||
15,702 | Henkel AG & Co. KGaA, 1.58% | 1,568,198 | ||||||||
1,433 | Hornbach Holding AG, 1.30% | 113,321 | ||||||||
|
| |||||||||
Total Germany | 1,681,519 | |||||||||
|
|
See accompanying Notes to the Financial Statements. | 111 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — 0.0% | ||||||||||
113 | Shinkin Central Bank, 3.14% | 214,370 | ||||||||
|
| |||||||||
Sweden — 0.0% | ||||||||||
10,055 | Sagax AB, 5.78% | 48,543 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $2,205,341) | 1,944,432 | |||||||||
|
| |||||||||
WARRANTS — 0.1% | ||||||||||
United States — 0.1% | ||||||||||
34,589 | JPMorgan Chase & Co., Strike Price $0.00, Expires 10/28/18* | 695,585 | ||||||||
|
| |||||||||
TOTAL WARRANTS (COST $520,145) | 695,585 | |||||||||
|
| |||||||||
Par Value** | Description | Value ($) | ||||||||
DEBT OBLIGATIONS | ||||||||||
Sovereign Debt Obligation — 0.1% | ||||||||||
734,000 | SGD | Singapore Government Bond, 2.38%, due 04/01/17 | 599,206 | |||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $619,633) | 599,206 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 15.3% | ||||||||||
Bank Deposit — 12.8% | ||||||||||
104,830,994 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/01/14 | 104,830,994 | ||||||||
|
| |||||||||
Securities Lending Collateral — 2.5% | ||||||||||
20,512,093 | State Street Navigator Securities Lending Prime Portfolio*** | 20,512,093 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $125,343,087) | 125,343,087 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 97.2% (Cost $749,770,784) | 798,773,695 | |||||||||
Other Assets and Liabilities (net) — 2.8% | 22,848,145 | |||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 821,621,840 | ||||||||
|
|
112 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2014 (Unaudited)
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 | |||||
** | Unless otherwise indicated, all par values are denominated in United States dollars ($). | |||||
*** | 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. | 113 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
A summary of outstanding financial instruments at September 30, 2014 is as follows:
Forward Foreign Currency Contracts
Settlement | Currency |
| Counterparty | Units of | Value | Unrealized | ||||||||||||||||
Sales | ||||||||||||||||||||||
02/12/15 | EUR | Bank of New York | 1,239,000 | $ | 1,566,743 | $ | 92,302 | |||||||||||||||
11/19/14 | EUR | Bank of New York | 1,383,000 | 1,747,648 | 177,592 | |||||||||||||||||
03/18/15 | EUR | Goldman Sachs | 1,330,000 | 1,682,292 | 42,651 | |||||||||||||||||
12/17/14 | EUR | HSBC Bank USA | 43,000 | 54,349 | 3,851 | |||||||||||||||||
01/14/15 | EUR | JPMorgan Chase Bank | 91,000 | 115,044 | 8,901 | |||||||||||||||||
10/15/14 | EUR | UBS AG | 1,073,000 | 1,355,580 | 131,388 | |||||||||||||||||
02/12/15 | GBP | Bank of New York | 100,000 | 161,906 | 4,700 | |||||||||||||||||
11/19/14 | GBP | Bank of New York | 51,000 | 82,644 | 3,738 | |||||||||||||||||
03/18/15 | GBP | Goldman Sachs | 5,000 | 8,092 | 13 | |||||||||||||||||
12/17/14 | GBP | HSBC Bank USA | 79,000 | 127,986 | 4,480 | |||||||||||||||||
01/14/15 | GBP | JPMorgan Chase Bank | 34,000 | 55,067 | 3,028 | |||||||||||||||||
10/15/14 | GBP | UBS AG | 48,000 | 77,807 | 2,565 | |||||||||||||||||
11/19/14 | JPY | Bank of New York | 182,374,000 | 1,663,094 | 131,722 | |||||||||||||||||
03/18/15 | JPY | Goldman Sachs | 284,757,000 | 2,600,435 | 71,208 | |||||||||||||||||
12/17/14 | JPY | HSBC Bank USA | 69,526,000 | 634,249 | 47,880 | |||||||||||||||||
01/14/15 | JPY | JPMorgan Chase Bank | 182,342,000 | 1,664,140 | 138,131 | |||||||||||||||||
10/15/14 | JPY | UBS AG | 168,161,000 | 1,533,121 | 118,496 | |||||||||||||||||
|
| |||||||||||||||||||||
$ | 982,646 | |||||||||||||||||||||
|
|
Currency Abbreviations
EUR | Euro |
GBP | British Pound Sterling |
JPY | Japanese Yen |
SGD | Singapore Dollar |
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
117 | MSCI EAFE E-mini Index | December 2014 | $ | 10,762,245 | $ | (330,850 | ) | |||||||||||
159 | S&P 500 E-mini Index | December 2014 | 15,625,725 | (165,563 | ) | |||||||||||||
8 | S&P/TSX 60 Index | December 2014 | 1,232,983 | (39,858 | ) | |||||||||||||
|
| |||||||||||||||||
$ | (536,271 | ) | ||||||||||||||||
|
|
114 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Retail | 9.2 | ||||
Food | 8.4 | ||||
Banks | 6.6 | ||||
Software | 5.4 | ||||
Pharmaceuticals | 5.2 | ||||
Telecommunications | 3.9 | ||||
Internet | 3.2 | ||||
Electric | 3.1 | ||||
Commercial Services | 3.0 | ||||
Oil & Gas | 2.8 | ||||
Media | 2.3 | ||||
Agriculture | 2.1 | ||||
Health Care — Services | 2.1 | ||||
Insurance | 2.1 | ||||
Beverages | 2.0 | ||||
Mining | 1.8 | ||||
Health Care — Products | 1.6 | ||||
Commodity Fund | 1.4 | ||||
Computers | 1.3 | ||||
Electronics | 1.3 | ||||
Household Products & Wares | 1.3 | ||||
Building Materials | 1.0 | ||||
Semiconductors | 1.0 | ||||
Cosmetics & Personal Care | 0.9 | ||||
Aerospace & Defense | 0.8 | ||||
Holding Companies — Diversified | 0.7 | ||||
Diversified Financial Services | 0.6 | ||||
REITS | 0.6 | ||||
Oil & Gas Services | 0.5 | ||||
Real Estate | 0.5 | ||||
Chemicals | 0.4 | ||||
Engineering & Construction | 0.4 | ||||
Hand & Machine Tools | 0.4 | ||||
Machinery — Diversified | 0.4 | ||||
Miscellaneous — Manufacturing | 0.4 | ||||
Textiles | 0.4 | ||||
Advertising | 0.3 | ||||
Electrical Components & Equipment | 0.3 | ||||
Leisure Time | 0.3 | ||||
Metal Fabricate & Hardware | 0.3 | ||||
Auto Manufacturers | 0.2 | ||||
Investment Companies | 0.2 | ||||
Iron & Steel | 0.2 | ||||
Savings & Loans | 0.2 | ||||
Transportation | 0.2 | ||||
Airlines | 0.1 | ||||
Distribution & Wholesale | 0.1 | ||||
Forest Products & Paper | 0.1 | ||||
Home Builders | 0.1 | ||||
Office & Business Equipment | 0.1 | ||||
Sovereign | 0.1 |
See accompanying Notes to the Financial Statements. | 115 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Auto Parts & Equipment | 0.0 | ||||
Biotechnology | 0.0 | ||||
Energy — Alternate Sources | 0.0 | ||||
Entertainment | 0.0 | ||||
Gas | 0.0 | ||||
Packaging & Containers | 0.0 | ||||
Short-Term Investments and Other Assets and Liabilities (net) | 18.1 | ||||
|
| ||||
100.0 | % | ||||
|
|
116 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Funds
Statements of Assets and Liabilities
September 30, 2014 (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) | $ | 361,352,831 | $ | 362,544,130 | $ | 434,243,271 | $ | 409,548,816 | ||||||||||||
Cash | 761 | — | — | 1,840 | ||||||||||||||||
Receivable for investments sold | 113,180 | 931,140 | 2,146,308 | 5,475,325 | ||||||||||||||||
Dividend and interest receivable | 243,942 | 468,637 | 115,820 | 338,498 | ||||||||||||||||
Unrealized appreciation on open forward foreign currency contracts | — | 196,539 | — | — | ||||||||||||||||
Cash collateral held at broker on open future contracts | 566,200 | 677,100 | 554,900 | 626,200 | ||||||||||||||||
Receivable for expenses reimbursed by Advisor | 26 | 51 | — | — | ||||||||||||||||
Foreign tax reclaims receivable | 48,080 | 9,711 | — | — | ||||||||||||||||
Securities lending income receivable | 2,560 | 3,335 | 24,517 | 34,540 | ||||||||||||||||
Prepaid expenses | 5,037 | 5,110 | 5,599 | 5,679 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total assets | 362,332,617 | 364,835,753 | 437,090,415 | 416,030,898 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Liabilities | ||||||||||||||||||||
Payable for investments purchased | 700,060 | 878,842 | 3,222,849 | 3,639,267 | ||||||||||||||||
Unrealized depreciation on open forward foreign currency contracts | — | 9,583 | — | — | ||||||||||||||||
Variation margin payable on open futures contracts | 20,724 | 35,998 | 138,231 | 126,803 | ||||||||||||||||
Obligation to return securities lending collateral | 9,819,336 | 8,777,252 | 44,929,420 | 30,754,854 | ||||||||||||||||
Payable to affiliate for: | ||||||||||||||||||||
Advisor fee | 160,609 | 157,356 | 296,400 | 294,411 | ||||||||||||||||
Trustees fees | 4,390 | 4,423 | 4,190 | 4,013 | ||||||||||||||||
Accrued expenses | 71,757 | 60,840 | 67,460 | 78,214 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total liabilities | 10,776,876 | 9,924,294 | 48,658,550 | 34,897,562 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | $ | 351,555,741 | $ | 354,911,459 | $ | 388,431,865 | $ | 381,133,336 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets consist of: | ||||||||||||||||||||
Paid-in capital | 221,477,730 | 243,215,040 | 297,089,302 | 306,093,148 | ||||||||||||||||
Accumulated undistributed (distributions in excess of) net investment income | 917,356 | 4,201,924 | (276,947 | ) | 469,435 | |||||||||||||||
Accumulated net realized gain | 86,960,338 | 45,213,363 | 47,143,075 | 73,123,906 | ||||||||||||||||
Net unrealized appreciation on investments, futures contracts and foreign currencies | 42,200,317 | 62,281,132 | 44,476,435 | 1,446,847 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | $ | 351,555,741 | $ | 354,911,459 | $ | 388,431,865 | $ | 381,133,336 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets attributable to: | ||||||||||||||||||||
Class Y-3 shares | $ | 351,555,741 | $ | 354,911,459 | $ | 388,431,865 | $ | 381,133,336 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding: | ||||||||||||||||||||
Class Y-3 | 25,699,568 | 26,917,500 | 31,758,722 | 35,883,967 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net asset value per share: | ||||||||||||||||||||
Class Y-3 | $ | 13.68 | $ | 13.19 | $ | 12.23 | $ | 10.62 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(a) Investments, at cost | 318,952,017 | 300,255,254 | 389,122,128 | 407,461,033 | ||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements. | 117 |
Table of Contents
Mercer Funds
Statements of Assets and Liabilities (Continued)
September 30, 2014 (Unaudited)
Mercer Non-US Core Equity Fund | Mercer Core Fixed Income Fund | Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | |||||||||||||||||
Assets | ||||||||||||||||||||
Investments, at value(a) | $ | 2,081,216,056 | $ | 1,017,704,354 | $ | 279,488,785 | $ | 964,187,306 | ||||||||||||
Foreign currency, at value(b) | 6,510,026 | — | 555,504 | 1,939,333 | ||||||||||||||||
Cash | — | — | 5,496 | — | ||||||||||||||||
Receivable for investments sold | 9,375,552 | 4,966,765 | 1,162,051 | 819,613 | ||||||||||||||||
Receivable for TBA securities sold | — | 33,981,874 | — | — | ||||||||||||||||
Dividend and interest receivable | 4,477,444 | 6,831,552 | 4,638,037 | 1,614,553 | ||||||||||||||||
Unrealized appreciation on open forward foreign currency contracts | — | — | 4,691,179 | 5,562,606 | ||||||||||||||||
Cash collateral held at broker on open future contracts | 3,812,000 | — | 306,560 | 4,533,449 | ||||||||||||||||
Receivable for variation margin on open futures contracts | — | — | — | 42,823 | ||||||||||||||||
Receivable for expenses reimbursed by Advisor | — | — | 17,052 | — | ||||||||||||||||
Foreign tax reclaims receivable | 1,272,214 | — | 65,287 | 8,432 | ||||||||||||||||
Securities lending income receivable | 38,066 | 268 | — | 14,062 | ||||||||||||||||
Prepaid expenses | 29,742 | 13,197 | 4,727 | 14,709 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total assets | 2,106,731,100 | 1,063,498,010 | 290,934,678 | 978,736,886 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Liabilities | ||||||||||||||||||||
Payable for investments purchased | 15,575,986 | 24,007,203 | 2,777,694 | 1,283,209 | ||||||||||||||||
Payable for TBA and when-issued securities purchased | — | 70,132,944 | 1,600,000 | — | ||||||||||||||||
Due to custodian | — | 10,506 | — | 269,758 | ||||||||||||||||
Written options, at value(c) | — | 21,047 | — | — | ||||||||||||||||
Synthetic futures, at value | — | — | — | 874,685 | ||||||||||||||||
Payable for variation margin on open swap contracts | — | 9,229 | — | — | ||||||||||||||||
Unrealized depreciation on open forward foreign currency contracts | — | — | 3,678,132 | 9,520,965 | ||||||||||||||||
Variation margin payable on open futures contracts | 9,551 | 2,100 | 93,446 | 24,130 | ||||||||||||||||
Obligation to return securities lending collateral | 113,444,072 | 1,738,208 | — | 39,219,929 | ||||||||||||||||
Payable to affiliate for: | ||||||||||||||||||||
Advisor fee | 1,224,947 | 273,560 | 188,627 | 638,592 | ||||||||||||||||
Trustees fees | 19,379 | 10,189 | 543 | 4,474 | ||||||||||||||||
TBA Sale Commitments(d) | — | 4,599,844 | — | — | ||||||||||||||||
Interest payable on TBA securities | — | 5,688 | — | — | ||||||||||||||||
Accrued expenses | 596,653 | 221,350 | 112,206 | 2,581,731 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total liabilities | 130,870,588 | 101,031,868 | 8,450,648 | 54,417,473 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | $ | 1,975,860,512 | $ | 962,466,142 | $ | 282,484,030 | $ | 924,319,413 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets consist of: | ||||||||||||||||||||
Paid-in capital | 1,639,944,164 | 914,063,170 | 279,263,233 | 891,153,851 | ||||||||||||||||
Accumulated undistributed net investment income | 41,677,767 | 19,401,617 | 10,559,315 | 18,913,207 | ||||||||||||||||
Accumulated net realized gain (loss) | 167,552,968 | 15,377,881 | 2,110,014 | (3,198,672 | ) | |||||||||||||||
Net unrealized appreciation (depreciation) on investments, futures contracts, options written, short sales, swap contracts and foreign currencies | 126,685,613 | 13,623,474 | (9,448,532 | ) | 17,451,027 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | $ | 1,975,860,512 | $ | 962,466,142 | $ | 282,484,030 | $ | 924,319,413 | ||||||||||||
|
|
|
|
|
|
|
|
118 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Funds
Statements of Assets and Liabilities (Continued)
September 30, 2014 (Unaudited)
Mercer Non-US Core Equity Fund | Mercer Core Fixed Income Fund | Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | |||||||||||||||||
Net assets attributable to: | ||||||||||||||||||||
Class Y-3 shares | $ | 1,975,860,512 | $ | 962,466,142 | $ | 282,484,030 | $ | 924,319,413 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding: | ||||||||||||||||||||
Class Y-3 | 169,866,828 | 90,491,278 | 27,506,740 | 89,780,932 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net asset value per share: | ||||||||||||||||||||
Class Y-3 | $ | 11.63 | $ | 10.64 | $ | 10.27 | $ | 10.30 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(a) Investments, at cost | 1,951,574,318 | 1,004,112,495 | 289,608,898 | 937,365,453 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(b) Foreign currency, at cost | 6,603,893 | — | 566,323 | 2,014,531 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(c) Premiums on written options | — | 49,017 | — | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(d) Proceeds for TBA Sale Commitments | — | 4,606,875 | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements. | 119 |
Table of Contents
Mercer Funds
Statements of Assets and Liabilities (Continued)
September 30, 2014 (Unaudited)
Mercer Global Low Volatility Equity Fund | |||||
Assets | |||||
Investments, at value(a) | $ | 798,773,695 | |||
Foreign currency, at value(b) | 1,118,886 | ||||
Receivable for investments sold | 1,017,583 | ||||
Receivable for Fund shares sold | 40,500,000 | ||||
Dividend and interest receivable | 841,575 | ||||
Unrealized appreciation on open forward foreign currency contracts | 982,646 | ||||
Cash collateral held at broker on open future contracts | 1,229,017 | ||||
Foreign tax reclaims receivable | 394,548 | ||||
Securities lending income receivable | 13,784 | ||||
Prepaid expenses | 11,400 | ||||
|
| ||||
Total assets | 844,883,134 | ||||
|
| ||||
Liabilities | |||||
Payable for investments purchased | 2,069,392 | ||||
Variation margin payable on open futures contracts | 33,520 | ||||
Obligation to return securities lending collateral | 20,512,093 | ||||
Payable to affiliate for: | |||||
Advisor fee | 490,421 | ||||
Trustees fees | 5,402 | ||||
Accrued expenses | 150,466 | ||||
|
| ||||
Total liabilities | 23,261,294 | ||||
|
| ||||
Net assets | $ | 821,621,840 | |||
|
| ||||
Net assets consist of: | |||||
Paid-in capital | 725,598,120 | ||||
Accumulated undistributed net investment income | 7,285,221 | ||||
Accumulated net realized gain | 39,380,743 | ||||
Net unrealized appreciation on investments, futures contracts and foreign currencies | 49,357,756 | ||||
|
| ||||
Net assets | $ | 821,621,840 | |||
|
| ||||
Net assets attributable to: | |||||
Class Y-3 shares | $ | 821,621,840 | |||
|
| ||||
Shares outstanding: | |||||
Class Y-3 | 66,365,995 | ||||
|
| ||||
Net asset value per share: | |||||
Class Y-3 | $ | 12.38 | |||
|
| ||||
(a) Investments, at cost | 749,770,784 | ||||
|
| ||||
(b) Foreign currency, at cost | 1,131,596 | ||||
|
|
120 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Funds
For the Six Months Ended September 30, 2014 (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 | $ | 938 | $ | 824 | $ | 1,235 | $ | 1,111 | ||||||||||||
Dividends | 1,703,326 | 3,746,638 | 1,471,565 | 2,294,150 | ||||||||||||||||
Securities lending income | 27,351 | 21,065 | 199,491 | 194,959 | ||||||||||||||||
Withholding taxes | (62,369 | ) | (31,217 | ) | (9,735 | ) | (57,070 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total investment income | 1,669,246 | 3,737,310 | 1,662,556 | 2,433,150 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Expenses: | ||||||||||||||||||||
Advisory fees | 1,001,624 | 971,114 | 1,790,078 | 1,780,617 | ||||||||||||||||
Transfer agent fees | 11,125 | 11,357 | 11,303 | 11,263 | ||||||||||||||||
Custodian and fund accounting fees | 59,521 | 63,313 | 84,658 | 80,175 | ||||||||||||||||
Audit fees | 22,262 | 22,370 | 25,166 | 27,959 | ||||||||||||||||
Legal fees | 25,219 | 24,761 | 26,249 | 28,773 | ||||||||||||||||
Trustees fees | 10,539 | 10,572 | 11,168 | 10,828 | ||||||||||||||||
Registration fees | 11,630 | 11,630 | 11,630 | 11,693 | ||||||||||||||||
Interest expense | 252 | 284 | 378 | 314 | ||||||||||||||||
Miscellaneous | 15,993 | 15,937 | 16,502 | 16,035 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total expenses | 1,158,165 | 1,131,338 | 1,977,132 | 1,967,657 | ||||||||||||||||
Fee reductions | (11,125 | ) | (11,357 | ) | (11,303 | ) | (11,263 | ) | ||||||||||||
Reimbursement of expenses | (81,668 | ) | (77,012 | ) | (27,240 | ) | (32,022 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net expenses | 1,065,372 | 1,042,969 | 1,938,589 | 1,924,372 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net investment income (loss) | 603,874 | 2,694,341 | (276,033 | ) | 508,778 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Realized and Unrealized Gain (Loss): | ||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||
Investments | 58,363,548 | 35,984,916 | 24,770,463 | 20,949,198 | ||||||||||||||||
Closed futures contracts | 905,184 | 509,101 | 292,668 | 369,764 | ||||||||||||||||
Forward foreign currency contracts and foreign currency related transactions | — | (50,026 | ) | (519 | ) | 8 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized gain | 59,268,732 | 36,443,991 | 25,062,612 | 21,318,970 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||||||
Investments | (44,998,630 | ) | (23,829,648 | ) | (30,060,616 | ) | (33,933,911 | ) | ||||||||||||
Open futures contracts | (200,497 | ) | (194,411 | ) | (644,708 | ) | (640,916 | ) | ||||||||||||
Forward foreign currency contracts and foreign currency related translations | — | 210,191 | — | (36 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Change in net unrealized appreciation (depreciation) | (45,199,127 | ) | (23,813,868 | ) | (30,705,324 | ) | (34,574,863 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized and unrealized gain (loss) | 14,069,605 | 12,630,123 | (5,642,712 | ) | (13,255,893 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 14,673,479 | $ | 15,324,464 | $ | (5,918,745 | ) | $ | (12,747,115 | ) | ||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements. | 121 |
Table of Contents
Mercer Funds
Statements of Operations (Continued)
For the Six Months Ended September 30, 2014 (Unaudited)
Mercer Non-US Core Equity Fund | Mercer Core Fixed Income Fund | Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | |||||||||||||||||
Investment Income: | ||||||||||||||||||||
Interest | $ | 5,428 | $ | 14,525,581 | $ | 9,209,702 | $ | 6,448 | ||||||||||||
Dividends | 37,417,438 | 90,366 | 14,219 | 20,698,080 | ||||||||||||||||
Securities lending income | 901,553 | 2,845 | — | 82,427 | ||||||||||||||||
Withholding taxes | (3,348,969 | ) | — | (95,312 | ) | (2,076,636 | ) | |||||||||||||
Other income | 9,125 | 98 | 4,341 | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total investment income | 34,984,575 | 14,618,890 | 9,132,950 | 18,710,319 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Expenses: | ||||||||||||||||||||
Advisory fees | 7,509,706 | 1,685,553 | 1,188,780 | 3,818,807 | ||||||||||||||||
Transfer agent fees | 11,304 | 11,266 | 11,151 | 11,367 | ||||||||||||||||
Custodian and fund accounting fees | 757,693 | 251,666 | 154,938 | 750,725 | ||||||||||||||||
Audit fees | 66,580 | 34,708 | 33,128 | 45,686 | ||||||||||||||||
Legal fees | 125,112 | 69,945 | 26,028 | 50,629 | ||||||||||||||||
Trustees fees | 54,181 | 28,657 | 6,373 | 22,254 | ||||||||||||||||
Registration fees | 13,876 | 11,402 | 14,004 | 10,240 | ||||||||||||||||
Interest expense | 1,249 | — | 342 | 5,260 | ||||||||||||||||
Miscellaneous | 80,575 | 44,991 | 8,358 | 30,885 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total expenses | 8,620,276 | 2,138,188 | 1,443,102 | 4,745,853 | ||||||||||||||||
Fee reductions | (11,304 | ) | (11,266 | ) | (11,151 | ) | (11,367 | ) | ||||||||||||
Reimbursement of expenses | — | (229,963 | ) | (94,230 | ) | (145,271 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net expenses | 8,608,972 | 1,896,959 | 1,337,721 | 4,589,215 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net investment income | 26,375,603 | 12,721,931 | 7,795,229 | 14,121,104 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Realized and Unrealized Gain (Loss): | ||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||
Investments | 61,122,745 | 12,264,166 | 3,120,133 | 6,463,367 | ||||||||||||||||
Swap contracts | — | (274,182 | ) | — | — | |||||||||||||||
Closed futures contracts | (614,958 | ) | (539,437 | ) | (432,524 | ) | 7,450,103 | |||||||||||||
Written option contracts | — | (659 | ) | — | — | |||||||||||||||
Forward foreign currency contracts and foreign currency related transactions | (770,244 | ) | (32,949 | ) | (143,480 | ) | (793,077 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized gain | 59,737,543 | 11,416,939 | 2,544,129 | 13,120,393 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||||||
Investments | (131,550,263 | ) | (3,526,384 | ) | (14,951,990 | ) | 11,180,093 | |||||||||||||
TBA Sale Commitments | — | 7,031 | — | — | ||||||||||||||||
Swap contracts | — | (33,217 | ) | — | — | |||||||||||||||
Open futures contracts | (2,508,979 | ) | 29,963 | (162,792 | ) | (4,022,225 | ) | |||||||||||||
Written option contracts | — | 25,688 | — | — | ||||||||||||||||
Forward foreign currency contracts and foreign currency related translations | (448,775 | ) | 30,053 | 327,010 | (6,418,945 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Change in net unrealized appreciation (depreciation) | (134,508,017 | ) | (3,466,866 | ) | (14,787,772 | ) | 738,923 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized and unrealized gain (loss) | (74,770,474 | ) | 7,950,073 | (12,243,643 | ) | 13,859,316 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net | $ | (48,394,871) | $ | 20,672,004 | $ | (4,448,414 | ) | $ | 27,980,420 | |||||||||||
|
|
|
|
|
|
|
|
122 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Funds
Statements of Operations (Continued)
September 30, 2014 (Unaudited)
Mercer Global Low Volatility Equity Fund | |||||
Investment Income: | |||||
Interest | $ | 11,274 | |||
Dividends | 10,007,014 | ||||
Securities lending income | 204,430 | ||||
Withholding taxes | (743,612 | ) | |||
|
| ||||
Total investment income | 9,479,106 | ||||
|
| ||||
Expenses: | |||||
Advisory fees | 2,886,565 | ||||
Transfer agent fees | 11,128 | ||||
Custodian and fund accounting fees | 173,599 | ||||
Audit fees | 30,697 | ||||
Legal fees | 47,655 | ||||
Trustees fees | 19,584 | ||||
Registration fees | 10,180 | ||||
Interest expense | 5,994 | ||||
Miscellaneous | 27,961 | ||||
|
| ||||
Total expenses | 3,213,363 | ||||
Fee reductions | (11,128 | ) | |||
Recapture of expenses | 55,146 | ||||
|
| ||||
Net expenses | 3,257,381 | ||||
|
| ||||
Net investment income | 6,221,725 | ||||
|
| ||||
Realized and Unrealized Gain (Loss): | |||||
Net realized gain (loss) on: | |||||
Investments | 24,824,681 | ||||
Closed futures contracts | 1,421,344 | ||||
Forward foreign currency contracts and foreign currency related transactions | 246,046 | ||||
|
| ||||
Net realized gain | 26,492,071 | ||||
|
| ||||
Change in net unrealized appreciation (depreciation) on: | |||||
Investments | (26,552,451 | ) | |||
Open futures contracts | (536,271 | ) | |||
Forward foreign currency contracts and foreign currency related translations | 785,182 | ||||
|
| ||||
Change in net unrealized appreciation (depreciation) | (26,303,540 | ) | |||
|
| ||||
Net realized and unrealized gain (loss) | 188,531 | ||||
|
| ||||
Net increase in net assets resulting from operations | $ | 6,410,256 | |||
|
|
See accompanying Notes to the Financial Statements. | 123 |
Table of Contents
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, 2014 (Unaudited) | Year Ended March 31, 2014 | Six Months Ended September 30, 2014 (Unaudited) | Year Ended March 31, 2014 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 603,874 | $ | 1,954,495 | $ | 2,694,341 | $ | 6,572,337 | ||||||||
Net realized gain (loss) | 59,268,732 | 91,017,590 | 36,443,991 | 100,626,817 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (45,199,127 | ) | (6,335,436 | ) | (23,813,868 | ) | (574,973 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from operations | 14,673,479 | 86,636,649 | 15,324,464 | 106,624,181 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class Y-3 | — | (2,145,143 | ) | — | (6,835,803 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | — | (2,145,143 | ) | — | (6,835,803 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gains | ||||||||||||||||
Class Y-3 | — | (81,475,198 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gains | — | (81,475,198 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (See Note 7): | ||||||||||||||||
Class Y-3 | (21,979,974 | ) | (109,941,413 | ) | (30,890,867 | ) | (205,208,131 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Decrease in net assets resulting from net shares transactions | (21,979,974 | ) | (109,941,413 | ) | (30,890,867 | ) | (205,208,131 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease in net assets | (7,306,495 | ) | (106,925,105 | ) | (15,566,403 | ) | (105,419,753 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets: | ||||||||||||||||
Beginning of period | 358,862,236 | 465,787,341 | 370,477,862 | 475,897,615 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 351,555,741 | $ | 358,862,236 | $ | 354,911,459 | $ | 370,477,862 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed net investment income included in net assets at end of period | $ | 917,356 | $ | 313,482 | $ | 4,201,924 | $ | 1,507,583 | ||||||||
|
|
|
|
|
|
|
|
124 | See accompanying Notes to the Financial Statements. |
Table of Contents
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, 2014 (Unaudited) | Year Ended March 31, 2014 | Six Months Ended September 30, 2014 (Unaudited) | Year Ended March 31, 2014 | |||||||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income (loss) | $ | (276,033 | ) | $ | (714,770 | ) | $ | 508,778 | $ | 1,506,232 | ||||||||||
Net realized gain (loss) | 25,062,612 | 79,466,661 | 21,318,970 | 103,295,900 | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | (30,705,324 | ) | 3,771,797 | (34,574,863 | ) | (28,294,070 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | (5,918,745 | ) | 82,523,688 | (12,747,115 | ) | 76,508,062 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||
Net investment income | ||||||||||||||||||||
Class Y-3 | — | — | — | (3,068,973 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net investment income | — | — | — | (3,068,973 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized gains | ||||||||||||||||||||
Class Y-3 | — | (61,044,497 | ) | — | (68,563,917 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net realized gains | — | (61,044,497 | ) | — | (68,563,917 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net share transactions (See Note 7): | ||||||||||||||||||||
Class Y-3 | (3,009,510 | ) | (66,199,365 | ) | 5,168,777 | (45,575,148 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets resulting from net shares transactions | (3,009,510 | ) | (66,199,365 | ) | 5,168,777 | (45,575,148 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net decrease in net assets | (8,928,255 | ) | (44,720,174 | ) | (7,578,338 | ) | (40,699,976 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets: | ||||||||||||||||||||
Beginning of period | 397,360,120 | 442,080,294 | 388,711,674 | 429,411,650 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 388,431,865 | $ | 397,360,120 | $ | 381,133,336 | $ | 388,711,674 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Undistributed (distributions in excess of) net investment income included in net assets at end of period | $ | (276,947 | ) | $ | (914 | ) | $ | 469,435 | $ | (39,343 | ) | |||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements. | 125 |
Table of Contents
Mercer Funds
Statements of Changes in Net Assets (Continued)
Mercer Non-US Core Equity Fund | Mercer Core Fixed Income Fund | |||||||||||||||
Six Months Ended September 30, 2014 (Unaudited) | Year Ended March 31, 2014 | Six Months Ended September 30, 2014 (Unaudited) | Year Ended March 31, 2014 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 26,375,603 | $ | 48,183,287 | $ | 12,721,931 | $ | 25,132,191 | ||||||||
Net realized gain (loss) | 59,737,543 | 309,450,586 | 11,416,939 | 5,055,181 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (134,508,017 | ) | 25,188,540 | (3,466,866 | ) | (26,672,103 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | (48,394,871 | ) | 382,822,413 | 20,672,004 | 3,515,269 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class Y-3 | — | (51,237,787 | ) | — | (24,984,359 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | — | (51,237,787 | ) | — | (24,984,359 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gains | ||||||||||||||||
Class Y-3 | — | (85,693,489 | ) | — | (5,718,416 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gains | — | �� | (85,693,489 | ) | — | (5,718,416 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (See Note 7): | ||||||||||||||||
Class Y-3 | 142,779,749 | (503,345,330 | ) | (134,645,339 | ) | 10,374,161 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in net assets resulting from net shares transactions | 142,779,749 | (503,345,330 | ) | (134,645,339 | ) | 10,374,161 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets | 94,384,878 | (257,454,193 | ) | (113,973,335 | ) | (16,813,345 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets: | ||||||||||||||||
Beginning of period | 1,881,475,634 | 2,138,929,827 | 1,076,439,477 | 1,093,252,822 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,975,860,512 | $ | 1,881,475,634 | $ | 962,466,142 | $ | 1,076,439,477 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed net investment income included in net assets at end of period | $ | 41,677,767 | $ | 15,302,164 | $ | 19,401,617 | $ | 6,679,686 | ||||||||
|
|
|
|
|
|
|
|
126 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Funds
Statements of Changes in Net Assets (Continued)
Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | |||||||||||||||
Six Months Ended September 30, 2014 (Unaudited) | Year Ended March 31, 2014(a) | Six Months Ended September 30, 2014 (Unaudited) | Year Ended March 31, 2014 | |||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 7,795,229 | $ | 4,292,757 | $ | 14,121,104 | $ | 11,005,996 | ||||||||
Net realized gain (loss) | 2,544,129 | 342,549 | 13,120,393 | (8,563,018 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | (14,787,772 | ) | 5,339,240 | 738,923 | (7,069,259 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | (4,448,414 | ) | 9,974,546 | 27,980,420 | (4,626,281 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class Y-3 | — | (1,909,755 | ) | — | (12,069,442 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | — | (1,909,755 | ) | — | (12,069,442 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gains | ||||||||||||||||
Class Y-3 | — | (370,327 | ) | — | (1,819,134 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gains | — | (370,327 | ) | — | (1,819,134 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net share transactions (See Note 7): | ||||||||||||||||
Class Y-3 | 26,351,595 | 252,886,385 | 33,416,152 | 364,353,169 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase in net assets resulting from net shares transactions | 26,351,595 | 252,886,385 | 33,416,152 | 364,353,169 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets | 21,903,181 | 260,580,849 | 61,396,572 | 345,838,312 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets: | ||||||||||||||||
Beginning of period | 260,580,849 | — | 862,922,841 | 517,084,529 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 282,484,030 | $ | 260,580,849 | $ | 924,319,413 | $ | 862,922,841 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed net investment income included in net assets at end of period | $ | 10,559,315 | $ | 2,764,086 | $ | 18,913,207 | $ | 4,792,103 | ||||||||
|
|
|
|
|
|
|
|
(a) | The Fund commenced operations on August 21, 2013. |
See accompanying Notes to the Financial Statements. | 127 |
Table of Contents
Mercer Funds
Statements of Changes in Net Assets (Continued)
Mercer Global Low Volatility Equity Fund | ||||||||||
Six Months Ended September 30, 2014 (Unaudited) | Year Ended March 31, 2014 | |||||||||
Increase (decrease) in net assets: | ||||||||||
Operations: | ||||||||||
Net investment income (loss) | $ | 6,221,725 | $ | 7,607,943 | ||||||
Net realized gain (loss) | 26,492,071 | 31,607,054 | ||||||||
Change in net unrealized appreciation (depreciation) | (26,303,540 | ) | 50,942,173 | |||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | 6,410,256 | 90,157,170 | ||||||||
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||
Net investment income | ||||||||||
Class Y-3 | — | (8,930,712 | ) | |||||||
|
|
|
| |||||||
Total distributions from net investment income | — | (8,930,712 | ) | |||||||
|
|
|
| |||||||
Net realized gains | ||||||||||
Class Y-3 | — | (19,639,446 | ) | |||||||
|
|
|
| |||||||
Total distributions from net realized gains | — | (19,639,446 | ) | |||||||
|
|
|
| |||||||
Net share transactions (See Note 7): | ||||||||||
Class Y-3 | 72,570,190 | 379,824,244 | ||||||||
|
|
|
| |||||||
Increase in net assets resulting from net shares transactions | 72,570,190 | 379,824,244 | ||||||||
|
|
|
| |||||||
Net increase in net assets | 78,980,446 | 441,411,256 | ||||||||
|
|
|
| |||||||
Net assets: | ||||||||||
Beginning of period | 742,641,394 | 301,230,138 | ||||||||
|
|
|
| |||||||
End of period | $ | 821,621,840 | $ | 742,641,394 | ||||||
|
|
|
| |||||||
Undistributed net investment income included in net assets at end of period | $ | 7,285,221 | $ | 1,063,496 | ||||||
|
|
|
|
128 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Large Cap Growth Equity Fund
Period Ended 09/30/14 (Unaudited) | Year Ended 03/31/14 | Year Ended 03/31/13 | Year Ended 03/31/12 | Year Ended 03/31/11 | Year Ended 03/31/10 | |||||||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | ||||||||||||||||||||||||||||||
Net asset value at beginning of period | $ | 13.16 | $ | 13.56 | $ | 13.27 | $ | 12.19 | $ | 10.08 | $ | 6.85 | ||||||||||||||||||
Net investment income† | 0.02 | 0.07 | 0.08 | 0.04 | 0.03 | 0.05 | ||||||||||||||||||||||||
Net realized and unrealized gain on investments | 0.50 | 3.11 | 0.68 | 1.06 | 2.12 | 3.23 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 0.52 | 3.18 | 0.76 | 1.10 | 2.15 | 3.28 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions: | ||||||||||||||||||||||||||||||
From net investment income | — | (0.09 | ) | (0.08 | ) | (0.02 | ) | (0.04 | ) | (0.05 | ) | |||||||||||||||||||
From net realized gain on investments | — | (3.49 | ) | (0.39 | ) | — | — | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (3.58 | ) | (0.47 | ) | (0.02 | ) | (0.04 | ) | (0.05 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value at end of period | $ | 13.68 | $ | 13.16 | $ | 13.56 | $ | 13.27 | $ | 12.19 | $ | 10.08 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total investment return(a) | 3.95 | %** | 23.99 | % | 6.03 | % | 9.08 | % | 21.38 | % | 47.85 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net investment income to average net assets | 0.33 | %* | 0.48 | % | 0.61 | % | 0.33 | % | 0.27 | % | 0.54 | % | ||||||||||||||||||
Net expenses to average daily net assets | 0.59 | %*(b) | 0.57 | % | 0.57 | % | 0.57 | % | 0.57 | % | 0.57 | % | ||||||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.64 | %*(b) | 0.63 | % | 0.63 | % | 0.63 | % | 0.64 | % | 0.66 | % | ||||||||||||||||||
Portfolio turnover rate | 82 | %** | 50 | % | 65 | % | 64 | % | 106 | %(c) | 102 | % | ||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 351,556 | $ | 358,862 | $ | 465,787 | $ | 465,641 | $ | 427,840 | $ | 359,792 |
(a) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(b) | Includes interest expense that amounts to less than 0.01%. |
(c) | Portfolio turnover calculation does not include $23,568,413 of securities transferred into the Fund as part of in-kind contributions. |
† | Computed using average shares outstanding throughout the period. |
* | Annualized |
** | Not annualized |
See accompanying Notes to the Financial Statements. | 129 |
Table of Contents
Mercer US Large Cap Value Equity Fund
Financial Highlights (Continued)
Period Ended 09/30/14 (Unaudited) | Year Ended 03/31/14 | Year Ended 03/31/13 | Year Ended 03/31/12 | Year Ended 03/31/11 | Year Ended 03/31/10 | |||||||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | ||||||||||||||||||||||||||||||
Net asset value at beginning of period | $ | 12.66 | $ | 9.95 | $ | 8.71 | $ | 8.25 | $ | 7.52 | $ | 5.18 | ||||||||||||||||||
Net investment income† | 0.10 | 0.18 | 0.18 | 0.16 | 0.11 | 0.11 | ||||||||||||||||||||||||
Net realized and unrealized gain on investments | 0.43 | 2.75 | 1.26 | 0.45 | 0.72 | 2.37 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 0.53 | 2.93 | 1.44 | 0.61 | 0.83 | 2.48 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions: | ||||||||||||||||||||||||||||||
From net investment income | — | (0.22 | ) | (0.20 | ) | (0.15 | ) | (0.10 | ) | (0.14 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (0.22 | ) | (0.20 | ) | (0.15 | ) | (0.10 | ) | (0.14 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value at end of period | $ | 13.19 | $ | 12.66 | $ | 9.95 | $ | 8.71 | $ | 8.25 | $ | 7.52 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total investment return(a) | 4.19 | %** | 29.54 | % | 16.71 | % | 7.69 | % | 11.07 | % | 47.96 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net investment income to average net assets | 1.47 | %* | 1.60 | % | 2.07 | % | 2.03 | % | 1.52 | % | 1.69 | % | ||||||||||||||||||
Net expenses to average daily net assets | 0.57 | %*(b) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.62 | %*(b) | 0.61 | % | 0.60 | % | 0.62 | % | 0.63 | % | 0.64 | % | ||||||||||||||||||
Portfolio turnover rate | 24 | %** | 45 | % | 59 | % | 109 | % | 117 | %(c) | 128 | % | ||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 354,911 | $ | 370,478 | $ | 475,898 | $ | 459,999 | $ | 420,518 | $ | 357,787 |
(a) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(b) | Includes interest expense that amounts to less than 0.01%. |
(c) | Portfolio turnover calculation does not include $21,956,759 of securities transferred into the Fund as part of in-kind contributions. |
† | Computed using average shares outstanding throughout the period. |
* | Annualized |
** | Not annualized |
130 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Growth Equity Fund
Financial Highlights (Continued)
Period Ended 09/30/14 (Unaudited) | Year Ended 03/31/14 | Year Ended 03/31/13 | Year Ended 03/31/12 | Year Ended 03/31/11 | Year Ended 03/31/10 | |||||||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | ||||||||||||||||||||||||||||||
Net asset value at beginning of period | $ | 12.44 | $ | 11.94 | $ | 11.62 | $ | 12.49 | $ | 9.75 | $ | 6.19 | ||||||||||||||||||
Net investment loss† | (0.01 | ) | (0.02 | ) | (0.01 | ) | (0.04 | ) | (0.03 | ) | (0.04 | ) | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.20 | ) | 2.63 | 1.31 | 0.27 | 2.77 | 3.60 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (0.21 | ) | 2.61 | 1.30 | 0.23 | 2.74 | 3.56 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions: | ||||||||||||||||||||||||||||||
From net investment income | — | — | (0.01 | ) | — | — | — | |||||||||||||||||||||||
From net realized gain on investments | — | (2.11 | ) | (0.97 | ) | (1.10 | ) | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (2.11 | ) | (0.98 | ) | (1.10 | ) | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value at end of period | $ | 12.23 | $ | 12.44 | $ | 11.94 | $ | 11.62 | $ | 12.49 | $ | 9.75 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total investment return(a) | (1.69 | )%** | 22.34 | % | 12.11 | % | 3.36 | % | 28.10 | % | 57.51 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net investment loss to average net assets | (0.14 | )%* | (0.17 | )% | (0.05 | )% | (0.36 | )% | (0.34 | )% | (0.45 | )% | ||||||||||||||||||
Net expenses to average daily net assets | 0.97 | %*(b) | 0.97 | % | 0.96 | % | 0.92 | % | 0.92 | % | 0.92 | % | ||||||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.99 | %*(b) | 0.99 | % | 1.01 | % | 1.01 | % | 1.02 | % | 1.04 | % | ||||||||||||||||||
Portfolio turnover rate | 34 | %** | 67 | % | 54 | % | 95 | % | 107 | % | 92 | % | ||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 388,432 | $ | 397,360 | $ | 442,080 | $ | 300,176 | $ | 300,980 | $ | 220,665 |
(a) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(b) | 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. | 131 |
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Financial Highlights (Continued)
Period Ended 09/30/14 (Unaudited) | Year Ended 03/31/14 | Year Ended 03/31/13 | Year Ended 03/31/12 | Year Ended 03/31/11 | Year Ended 03/31/10 | |||||||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | ||||||||||||||||||||||||||||||
Net asset value at beginning of period | $ | 10.98 | $ | 11.05 | $ | 9.94 | $ | 10.64 | $ | 8.64 | $ | 5.26 | ||||||||||||||||||
Net investment income† | 0.01 | 0.04 | 0.13 | 0.06 | 0.05 | 0.06 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.37 | ) | 2.24 | 1.46 | (0.14 | )(a) | 2.05 | 3.35 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (0.36 | ) | 2.28 | 1.59 | (0.08 | ) | 2.10 | 3.41 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions: | ||||||||||||||||||||||||||||||
From net investment income | — | (0.10 | ) | (0.11 | ) | (0.04 | ) | (0.10 | ) | (0.03 | ) | |||||||||||||||||||
From net realized gain on investments | — | (2.25 | ) | (0.37 | ) | (0.58 | ) | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (2.35 | ) | (0.48 | ) | (0.62 | ) | (0.10 | ) | (0.03 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value at end of period | $ | 10.62 | $ | 10.98 | $ | 11.05 | $ | 9.94 | $ | 10.64 | $ | 8.64 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total investment return(b) | (3.28 | )%** | 21.61 | % | 16.51 | % | (0.03 | )% | 24.36 | % | 64.86 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net investment income to average net assets | 0.26 | %* | 0.38 | % | 1.26 | % | 0.60 | % | 0.65 | % | 0.81 | % | ||||||||||||||||||
Net expenses to average daily net assets | 0.97 | %*(c) | 0.97 | % | 0.96 | % | 0.92 | % | 0.92 | % | 0.92 | % | ||||||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.99 | %*(c) | 1.00 | % | 1.01 | % | 1.01 | % | 1.02 | % | 1.07 | % | ||||||||||||||||||
Portfolio turnover rate | 43 | %** | 122 | %(d) | 80 | % | 92 | % | 95 | % | 119 | % | ||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 381,133 | $ | 388,712 | $ | 429,412 | $ | 292,391 | $ | 295,626 | $ | 222,102 |
(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) | Includes interest expense that amounts to less than 0.01%. |
(d) | Portfolio turnover calculation does not include $38,447,113 of securities transferred out of the Fund as part of an in-kind redemption. |
† | Computed using average shares outstanding throughout the period. |
* | Annualized |
** | Not annualized |
132 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Financial Highlights (Continued)
Period Ended 09/30/14 (Unaudited) | Year Ended 03/31/14 | Year Ended 03/31/13 | Year Ended 03/31/12 | Year Ended 03/31/11 | Year Ended 03/31/10 | |||||||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | ||||||||||||||||||||||||||||||
Net asset value at beginning of period | $ | 11.92 | $ | 10.58 | $ | 9.72 | $ | 10.46 | $ | 9.73 | $ | 6.29 | ||||||||||||||||||
Net investment income† | 0.16 | 0.29 | 0.21 | 0.25 | 0.17 | 0.17 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.45 | ) | 1.94 | 0.90 | (0.81 | ) | 0.74 | 3.38 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (0.29 | ) | 2.23 | 1.11 | (0.56 | ) | 0.91 | 3.55 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions: | ||||||||||||||||||||||||||||||
From net investment income | — | (0.33 | ) | (0.25 | ) | (0.18 | ) | (0.18 | ) | (0.11 | ) | |||||||||||||||||||
From net realized gain on investments | — | (0.56 | ) | — | — | — | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (0.89 | ) | (0.25 | ) | (0.18 | ) | (0.18 | ) | (0.11 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value at end of period | $ | 11.63 | $ | 11.92 | $ | 10.58 | $ | 9.72 | $ | 10.46 | $ | 9.73 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total investment return(a) | (2.43 | )%** | 21.48 | % | 11.53 | % | (5.15 | )% | 9.45 | % | 56.52 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net investment income to average net assets | 2.59 | %* | 2.52 | % | 2.17 | % | 2.57 | % | 1.76 | % | 1.93 | % | ||||||||||||||||||
Net expenses to average daily net assets | 0.85 | %*(b) | 0.85 | % | 0.83 | % | 0.82 | % | 0.82 | % | 0.82 | % | ||||||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.85 | %*(b) | 0.86 | % | 0.86 | % | 0.92 | % | 0.92 | % | 0.94 | % | ||||||||||||||||||
Portfolio turnover rate | 50 | %** | 95 | %(c) | 90 | % | 105 | %(d) | 87 | % | 51 | % | ||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 1,975,861 | $ | 1,881,476 | $ | 2,138,930 | $ | 1,892,784 | $ | 1,563,529 | $ | 1,042,831 |
(a) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(b) | Includes interest expense that amounts to less than 0.01%. |
(c) | Portfolio turnover calculation does not include $177,821,966 of securities transferred out of the Fund as part of an in-kind redemption. |
(d) | Portfolio turnover calculation does not include $9,536,640 of securities transferred into the Fund as part of an in-kind contribution. |
† | Computed using average shares outstanding throughout the period. |
* | Annualized |
** | Not annualized |
See accompanying Notes to the Financial Statements. | 133 |
Table of Contents
Mercer Core Fixed Income Fund
Financial Highlights (Continued)
Period Ended 09/30/14 (Unaudited) | Year Ended 03/31/14 | Year Ended 03/31/13 | Year Ended 03/31/12 | Year Ended 03/31/11 | Year Ended 03/31/10 | |||||||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | ||||||||||||||||||||||||||||||
Net asset value at beginning of period | $ | 10.42 | $ | 10.68 | $ | 10.58 | $ | 10.23 | $ | 10.11 | $ | 9.00 | ||||||||||||||||||
Net investment income† | 0.14 | 0.24 | 0.27 | 0.33 | 0.29 | 0.40 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.08 | (0.19 | ) | 0.37 | 0.46 | 0.34 | 0.98 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 0.22 | 0.05 | 0.64 | 0.79 | 0.63 | 1.38 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions: | ||||||||||||||||||||||||||||||
From net investment income | — | (0.25 | ) | (0.31 | ) | (0.31 | ) | (0.36 | ) | (0.27 | ) | |||||||||||||||||||
From net realized gain on investments | — | (0.06 | ) | (0.23 | ) | (0.13 | ) | (0.15 | ) | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (0.31 | ) | (0.54 | ) | (0.44 | ) | (0.51 | ) | (0.27 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value at end of period | $ | 10.64 | $ | 10.42 | $ | 10.68 | $ | 10.58 | $ | 10.23 | $ | 10.11 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total investment return(a) | 2.11 | %** | 0.44 | % | 6.15 | % | 7.88 | % | 6.25 | % | 15.34 | % | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net investment income to average net assets | 2.61 | %* | 2.32 | % | 2.51 | % | 3.13 | % | 2.79 | % | 4.12 | % | ||||||||||||||||||
Net expenses to average daily net assets | 0.39 | %* | 0.37 | % | 0.37 | % | 0.37 | % | 0.37 | % | 0.37 | % | ||||||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.44 | %* | 0.43 | % | 0.43 | % | 0.44 | % | 0.45 | % | 0.47 | % | ||||||||||||||||||
Portfolio turnover rate | 132 | %** | 187 | %(b) | 125 | % | 181 | % | 379 | % | 276 | % | ||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 962,466 | $ | 1,076,439 | $ | 1,093,253 | $ | 1,025,624 | $ | 1,043,027 | $ | 758,780 |
(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 251% for the year ended March 31, 2014. |
† | Computed using average shares outstanding throughout the period. |
* | Annualized |
** | Not annualized |
134 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Financial Highlights (Continued)
Period Ended 09/30/14 (Unaudited) | Period Ended 03/31/14(a) | |||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | ||||||||||
Net asset value at beginning of period | $ | 10.43 | $ | 10.00 | ||||||
Net investment income† | 0.28 | 0.34 | ||||||||
Net realized and unrealized gain (loss) on investments | (0.44 | ) | 0.35 | |||||||
|
|
|
| |||||||
Total from investment operations | (0.16 | ) | 0.69 | |||||||
|
|
|
| |||||||
Less dividends and distributions: | ||||||||||
From net investment income | — | (0.22 | ) | |||||||
From net realized gain on investments | — | (0.04 | ) | |||||||
|
|
|
| |||||||
Total dividends and distributions | — | (0.26 | ) | |||||||
|
|
|
| |||||||
Net asset value at end of period | $ | 10.27 | $ | 10.43 | ||||||
|
|
|
| |||||||
Total investment return(b) | (1.53 | )%** | 7.00 | %** | ||||||
Ratios/Supplemental Data: | ||||||||||
Net investment income to average net assets | 5.25 | %* | 5.52 | %* | ||||||
Net expenses to average daily net assets | 0.90 | %*(c) | 0.90 | %* | ||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.97 | %*(c) | 1.17 | %* | ||||||
Portfolio turnover rate | 36 | %** | 28 | %** | ||||||
Net assets at end of period (in 000’s) | $ | 282,484 | $ | 260,581 |
(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. |
(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. | 135 |
Table of Contents
Mercer Emerging Markets Equity Fund
Financial Highlights (Continued)
Period Ended 09/30/14 (Unaudited) | Year Ended 03/31/14 | Period Ended 03/31/13(a) | |||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | |||||||||||||||
Net asset value at beginning of period | $ | 9.99 | $ | 10.49 | $ | 10.00 | |||||||||
Net investment income† | 0.16 | 0.18 | 0.10 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 0.15 | (0.46 | ) | 0.46 | |||||||||||
|
|
|
|
|
| ||||||||||
Total from investment operations | 0.31 | (0.28 | ) | 0.56 | |||||||||||
|
|
|
|
|
| ||||||||||
Less dividends and distributions: | |||||||||||||||
From net investment income | — | (0.19 | ) | (0.06 | ) | ||||||||||
From net realized gain on investments | — | (0.03 | ) | (0.01 | ) | ||||||||||
|
|
|
|
|
| ||||||||||
Total dividends and distributions | — | (0.22 | ) | (0.07 | ) | ||||||||||
|
|
|
|
|
| ||||||||||
Net asset value at end of period | $ | 10.30 | $ | 9.99 | $ | 10.49 | |||||||||
|
|
|
|
|
| ||||||||||
Total investment return(b) | 3.10 | %** | (2.61 | )% | 5.64 | %** | |||||||||
Ratios/Supplemental Data: | |||||||||||||||
Net investment income to average net assets | 2.95 | %* | 1.77 | % | 1.08 | %* | |||||||||
Net expenses to average daily net assets | 0.96 | %*(c) | 0.95 | %(c) | 0.95 | %*(c) | |||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.99 | %*(c) | 1.04 | %(c) | 1.15 | %*(c) | |||||||||
Portfolio turnover rate | 24 | %** | 64 | % | 52 | %** | |||||||||
Net assets at end of period (in 000’s) | $ | 924,319 | $ | 862,923 | $ | 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 |
136 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Financial Highlights (Continued)
Period Ended 09/30/14 (Unaudited) | Year Ended 03/31/14 | Period Ended 03/31/13(a) | |||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | |||||||||||||||
Net asset value at beginning of period | $ | 12.27 | $ | 11.19 | $ | 10.00 | |||||||||
Net investment income† | 0.10 | 0.14 | 0.07 | ||||||||||||
Net realized and unrealized gain on investments | 0.01 | 1.45 | 1.14 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total from investment operations | 0.11 | 1.59 | 1.21 | ||||||||||||
|
|
|
|
|
| ||||||||||
Less dividends and distributions: | |||||||||||||||
From net investment income | — | (0.16 | ) | (0.02 | ) | ||||||||||
From net realized gain on investments | — | (0.35 | ) | — | |||||||||||
|
|
|
|
|
| ||||||||||
Total dividends and distributions | — | (0.51 | ) | (0.02 | ) | ||||||||||
|
|
|
|
|
| ||||||||||
Net asset value at end of period | $ | 12.38 | $ | 12.27 | $ | 11.19 | |||||||||
|
|
|
|
|
| ||||||||||
Total investment return(b) | 0.90 | %** | 14.40 | % | 12.13 | %** | |||||||||
Ratios/Supplemental Data: | |||||||||||||||
Net investment income to average net assets | 1.62 | %* | 1.20 | % | 1.62 | %* | |||||||||
Net expenses to average daily net assets | 0.85 | %*(c) | 0.85 | % | 0.85 | %* | |||||||||
Total expenses (before reductions and reimbursements/recapture) to average daily net assets | 0.83 | %*(c) | 0.84 | % | 1.00 | %* | |||||||||
Portfolio turnover rate | 25 | %** | 46 | % | 12 | %** | |||||||||
Net assets at end of period (in 000’s) | $ | 821,622 | $ | 742,641 | $ | 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) | Includes interest expense that amounts to 0.01%. |
† | Computed using average shares outstanding throughout the period. |
* | Annualized |
** | Not annualized |
See accompanying Notes to the Financial Statements. | 137 |
Table of Contents
Mercer Funds
Notes to the Financial Statements
September 30, 2014 (Unaudited)
1. | Organization |
Mercer Funds (the “Trust”) consists of the following nine 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 (“Core Fixed”), Mercer Opportunistic Fixed Income Fund (“Opportunistic Fixed”), Mercer Emerging Markets Equity Fund (“Emerging Markets”) and Mercer Global Low Volatility Equity Fund (“Global Low Volatility”) (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”) and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. 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’s assets.
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 |
Each Fund has registered and 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, 2014, 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.
138
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2014 (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 (“OTC”) market and listed on the NASDAQ Stock Market (“NASDAQ”) normally are valued at the NASDAQ Official Closing Price; other OTC 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. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities to more accurately reflect their fair value as of the close of regular trading on the New York Stock Exchange. When valuing foreign equity securities that meet certain criteria, the Board of Trustees of the Trust (the “Board”) has approved the use of a fair value service that values such securities to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities. Investments in open-end investment companies are valued at their net asset value (“NAV”) per share.
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 such determination is based on consideration of relevant factors, and judgment is made by or at the direction of the Board. 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. OTC 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 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.
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
139
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2014 (Unaudited)
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.
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 “to-be-announced” (“TBA”) or when-issued securities approximate fair value and are determined using Level 2 inputs, as of September 30, 2014. 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, 2014. Over the counter option contracts and swap contracts are determined using Level 2 inputs as of September 30, 2014.
The following is a summary of the inputs used as of September 30, 2014 in valuing the assets and liabilities for which fair valuation was used:
Large Cap Growth
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 | ||||||||||||||||
Agriculture | $ | 5,921,739 | $ | — | $ | — | $ | 5,921,739 | ||||||||
Apparel | 21,268,834 | — | — | 21,268,834 | ||||||||||||
Auto Manufacturers | 2,380,448 | — | — | 2,380,448 | ||||||||||||
Beverages | 9,938,757 | — | — | 9,938,757 | ||||||||||||
Biotechnology | 27,467,770 | — | — | 27,467,770 | ||||||||||||
Commercial Services | 17,027,779 | — | — | 17,027,779 | ||||||||||||
Computers | 13,032,650 | — | — | 13,032,650 | ||||||||||||
Distribution & Wholesale | 8,748,677 | — | — | 8,748,677 | ||||||||||||
Diversified Financial Services | 2,327,688 | — | — | 2,327,688 | ||||||||||||
Food | 18,687,283 | — | — | 18,687,283 | ||||||||||||
Internet | 76,776,966 | — | — | 76,776,966 | ||||||||||||
Lodging | 2,059,151 | — | — | 2,059,151 | ||||||||||||
Media | 31,585,951 | — | — | 31,585,951 | ||||||||||||
Metal Fabricate & Hardware | 2,370,221 | — | — | 2,370,221 | ||||||||||||
Oil & Gas | 5,589,067 | — | — | 5,589,067 | ||||||||||||
Oil & Gas Services | 9,266,395 | — | — | 9,266,395 | ||||||||||||
Pharmaceuticals | 10,556,983 | — | — | 10,556,983 |
140
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2014 (Unaudited)
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Retail | $ | 38,509,404 | $ | — | $ | — | $ | 38,509,404 | ||||||||
Semiconductors | 7,302,335 | — | — | 7,302,335 | ||||||||||||
Software | 15,282,935 | — | — | 15,282,935 | ||||||||||||
Transportation | 5,808,939 | — | — | 5,808,939 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 331,909,972 | — | — | 331,909,972 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposits | — | 19,623,523 | — | 19,623,523 | ||||||||||||
Securities Lending Collateral | — | 9,819,336 | — | 9,819,336 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 29,442,859 | — | 29,442,859 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 331,909,972 | $ | 29,442,859 | $ | — | $ | 361,352,831 | ||||||||
|
|
|
|
|
|
|
|
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 | ||||||||||||
Futures Contracts* | ||||||||||||||||
Buys | $ | (200,497 | ) | $ | — | $ | — | $ | (200,497 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (200,497 | ) | — | — | (200,497 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (200,497 | ) | $ | — | $ | — | $ | (200,497 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities. |
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 | $ | 1,022,158 | $ | — | $ | — | $ | 1,022,158 | ||||||||
Aerospace & Defense | 9,283,884 | — | — | 9,283,884 | ||||||||||||
Agriculture | 2,578,445 | — | — | 2,578,445 | ||||||||||||
Airlines | 3,783,354 | — | — | 3,783,354 | ||||||||||||
Auto Manufacturers | 7,118,496 | — | — | 7,118,496 | ||||||||||||
Auto Parts & Equipment | 933,228 | — | — | 933,228 | ||||||||||||
Banks | 21,898,336 | — | — | 21,898,336 | ||||||||||||
Beverages | 5,143,278 | — | — | 5,143,278 | ||||||||||||
Biotechnology | 1,412,235 | — | — | 1,412,235 | ||||||||||||
Building Materials | 2,737,866 | — | — | 2,737,866 |
141
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2014 (Unaudited)
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Chemicals | $ | 7,794,233 | $ | — | $ | — | $ | 7,794,233 | ||||||||
Commercial Services | 3,524,413 | — | — | 3,524,413 | ||||||||||||
Computers | 17,738,335 | — | — | 17,738,335 | ||||||||||||
Diversified Financial Services | 40,464,108 | — | — | 40,464,108 | ||||||||||||
Electric | 2,033,164 | — | — | 2,033,164 | ||||||||||||
Electrical Components & Equipment | 1,030,380 | — | — | 1,030,380 | ||||||||||||
Electronics | 1,985,576 | — | — | 1,985,576 | ||||||||||||
Entertainment | 417,667 | — | — | 417,667 | ||||||||||||
Food | 938,823 | — | — | 938,823 | ||||||||||||
Forest Products & Paper | 1,406,134 | — | — | 1,406,134 | ||||||||||||
Gas | 413,213 | — | — | 413,213 | ||||||||||||
Hand & Machine Tools | 528,744 | — | — | 528,744 | ||||||||||||
Health Care - Products | 5,731,966 | — | — | 5,731,966 | ||||||||||||
Health Care - Services | 7,144,645 | — | — | 7,144,645 | ||||||||||||
Insurance | 22,902,385 | — | — | 22,902,385 | ||||||||||||
Internet | 2,506,774 | — | — | 2,506,774 | ||||||||||||
Iron & Steel | 1,350,216 | — | — | 1,350,216 | ||||||||||||
Leisure Time | 935,158 | — | — | 935,158 | ||||||||||||
Lodging | 497,636 | — | — | 497,636 | ||||||||||||
Machinery - Construction & Mining | 1,899,961 | — | — | 1,899,961 | ||||||||||||
Machinery - Diversified | 2,065,815 | — | — | 2,065,815 | ||||||||||||
Media | 20,189,684 | — | — | 20,189,684 | ||||||||||||
Mining | 2,019,967 | — | — | 2,019,967 | ||||||||||||
Miscellaneous - Manufacturing | 5,899,200 | — | — | 5,899,200 | ||||||||||||
Office & Business Equipment | 459,225 | — | — | 459,225 | ||||||||||||
Oil & Gas | 34,491,988 | — | — | 34,491,988 | ||||||||||||
Oil & Gas Services | 7,094,636 | — | — | 7,094,636 | ||||||||||||
Packaging & Containers | 639,530 | — | — | 639,530 | ||||||||||||
Pharmaceuticals | 22,538,972 | — | — | 22,538,972 | ||||||||||||
REITS | 1,933,399 | — | — | 1,933,399 | ||||||||||||
Retail | 15,305,209 | — | — | 15,305,209 | ||||||||||||
Semiconductors | 7,719,875 | — | — | 7,719,875 | ||||||||||||
Software | 8,630,925 | — | — | 8,630,925 | ||||||||||||
Telecommunications | 25,698,711 | — | — | 25,698,711 | ||||||||||||
Transportation | 2,122,510 | — | — | 2,122,510 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 333,964,457 | — | — | 333,964,457 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Companies | ||||||||||||||||
Investment Company | 195,175 | — | — | 195,175 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investment Companies | 195,175 | — | — | 195,175 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposits | — | 19,607,246 | — | 19,607,246 | ||||||||||||
Securities Lending Collateral | — | 8,777,252 | — | 8,777,252 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 28,384,498 | — | 28,384,498 | ||||||||||||
|
|
|
|
|
|
|
|
142
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2014 (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* | ||||||||||||||||
Sales | $ | — | $ | 196,539 | $ | — | $ | 196,539 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | 196,539 | — | 196,539 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 334,159,632 | $ | 28,581,037 | $ | — | $ | 362,740,669 | ||||||||
|
|
|
|
|
|
|
|
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 | $ | — | $ | (9,583 | ) | $ | — | $ | (9,583 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | (9,583 | ) | — | (9,583 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts* | ||||||||||||||||
Buys | (194,411 | ) | — | — | (194,411 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (194,411 | ) | — | — | (194,411 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (194,411 | ) | $ | (9,583 | ) | $ | — | $ | (203,994 | ) | |||||
|
|
|
|
|
|
|
|
* | Forward foreign currency contracts and Futures contracts are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities. |
Small/Mid Cap Growth
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 | ||||||||||||||||
Aerospace & Defense | $ | 4,869,487 | $ | — | $ | — | $ | 4,869,487 | ||||||||
Apparel | 4,722,482 | — | — | 4,722,482 | ||||||||||||
Auto Parts & Equipment | 2,461,818 | — | — | 2,461,818 | ||||||||||||
Banks | 3,917,226 | — | — | 3,917,226 | ||||||||||||
Biotechnology | 3,190,124 | — | — | 3,190,124 | ||||||||||||
Building Materials | 6,922,405 | — | — | 6,922,405 | ||||||||||||
Chemicals | 15,259,892 | — | — | 15,259,892 | ||||||||||||
Coal | 2,682,002 | — | — | 2,682,002 | ||||||||||||
Commercial Services | 26,803,709 | — | — | 26,803,709 | ||||||||||||
Computers | 14,066,900 | — | — | 14,066,900 |
143
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2014 (Unaudited)
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Distribution & Wholesale | $ | 5,955,539 | $ | — | $ | — | $ | 5,955,539 | ||||||||
Diversified Financial Services | 15,253,601 | — | — | 15,253,601 | ||||||||||||
Electrical Components & Equipment | 6,095,621 | — | — | 6,095,621 | ||||||||||||
Electronics | 2,038,963 | — | — | 2,038,963 | ||||||||||||
Entertainment | 1,526,388 | — | — | 1,526,388 | ||||||||||||
Environmental Control | 1,207,711 | — | — | 1,207,711 | ||||||||||||
Hand & Machine Tools | 3,166,106 | — | — | 3,166,106 | ||||||||||||
Health Care - Products | 19,070,811 | — | — | 19,070,811 | ||||||||||||
Health Care - Services | 17,162,358 | — | — | 17,162,358 | ||||||||||||
Home Furnishings | 4,713,890 | — | — | 4,713,890 | ||||||||||||
Household Products & Wares | 2,800,525 | — | — | 2,800,525 | ||||||||||||
Insurance | 2,137,134 | — | — | 2,137,134 | ||||||||||||
Internet | 12,199,187 | — | — | 12,199,187 | ||||||||||||
Leisure Time | 2,047,180 | — | — | 2,047,180 | ||||||||||||
Lodging | 1,844,765 | — | — | 1,844,765 | ||||||||||||
Machinery - Construction & Mining | 1,211,708 | — | — | 1,211,708 | ||||||||||||
Machinery - Diversified | 13,478,981 | — | — | 13,478,981 | ||||||||||||
Media | 1,299,099 | — | — | 1,299,099 | ||||||||||||
Metal Fabricate & Hardware | 4,100,374 | — | — | 4,100,374 | ||||||||||||
Miscellaneous - Manufacturing | 2,283,887 | — | — | 2,283,887 | ||||||||||||
Oil & Gas | 13,047,069 | — | — | 13,047,069 | ||||||||||||
Oil & Gas Services | 5,226,159 | — | — | 5,226,159 | ||||||||||||
Packaging & Containers | 5,485,294 | — | — | 5,485,294 | ||||||||||||
Pharmaceuticals | 19,292,779 | — | — | 19,292,779 | ||||||||||||
Real Estate | 2,797,168 | — | — | 2,797,168 | ||||||||||||
REITS | 9,257,697 | — | — | 9,257,697 | ||||||||||||
Retail | 40,763,258 | — | — | 40,763,258 | ||||||||||||
Semiconductors | 6,615,933 | — | — | 6,615,933 | ||||||||||||
Software | 41,593,258 | — | — | 41,593,258 | ||||||||||||
Telecommunications | 7,197,442 | — | — | 7,197,442 | ||||||||||||
Transportation | 11,792,459 | — | — | 11,792,459 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 367,558,389 | — | — | 367,558,389 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Warrants | ||||||||||||||||
Oil & Gas | — | 0 | * | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Warrants | — | 0 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposits | — | 21,755,462 | — | 21,755,462 | ||||||||||||
Securities Lending Collateral | — | 44,929,420 | — | 44,929,420 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 66,684,882 | — | 66,684,882 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 367,558,389 | $ | 66,684,882 | $ | — | $ | 434,243,271 | ||||||||
|
|
|
|
|
|
|
|
144
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2014 (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 | ||||||||||||
Futures Contracts** | ||||||||||||||||
Buys | $ | (644,708 | ) | $ | — | $ | — | $ | (644,708 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (644,708 | ) | — | — | (644,708 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (644,708 | ) | $ | — | $ | — | $ | (644,708 | ) | ||||||
|
|
|
|
|
|
|
|
* | Represents one security at $0 value as of September 30, 2014. |
** | Futures contracts are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities. |
Small/Mid 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 | ||||||||||||||||
Aerospace & Defense | $ | 7,050,397 | $ | — | $ | — | $ | 7,050,397 | ||||||||
Airlines | 1,274,135 | — | — | 1,274,135 | ||||||||||||
Apparel | 4,781,775 | — | — | 4,781,775 | ||||||||||||
Auto Parts & Equipment | 4,764,695 | — | — | 4,764,695 | ||||||||||||
Banks | 21,613,176 | — | — | 21,613,176 | ||||||||||||
Biotechnology | 7,853,712 | — | — | 7,853,712 | ||||||||||||
Building Materials | 2,717,524 | — | — | 2,717,524 | ||||||||||||
Chemicals | 7,276,257 | — | — | 7,276,257 | ||||||||||||
Commercial Services | 13,845,950 | — | — | 13,845,950 | ||||||||||||
Computers | 1,456,542 | — | — | 1,456,542 | ||||||||||||
Cosmetics & Personal Care | 4,947,434 | — | — | 4,947,434 | ||||||||||||
Distribution & Wholesale | 3,376,662 | — | — | 3,376,662 | ||||||||||||
Diversified Financial Services | 16,865,744 | — | — | 16,865,744 | ||||||||||||
Electric | 4,784,396 | — | — | 4,784,396 | ||||||||||||
Electrical Components & Equipment | 2,044,484 | — | — | 2,044,484 | ||||||||||||
Electronics | 9,879,683 | — | — | 9,879,683 | ||||||||||||
Energy - Alternate Sources | 1,215,840 | — | — | 1,215,840 | ||||||||||||
Engineering & Construction | 1,861,208 | — | — | 1,861,208 | ||||||||||||
Entertainment | 5,741,735 | — | — | 5,741,735 | ||||||||||||
Environmental Control | 2,461,270 | — | — | 2,461,270 | ||||||||||||
Food | 2,778,315 | — | — | 2,778,315 | ||||||||||||
Forest Products & Paper | 6,808,818 | — | — | 6,808,818 | ||||||||||||
Gas | 4,310,666 | — | — | 4,310,666 | ||||||||||||
Health Care - Products | 6,760,468 | — | — | 6,760,468 | ||||||||||||
Health Care - Services | 5,484,634 | — | — | 5,484,634 | ||||||||||||
Home Furnishings | 2,737,756 | — | — | 2,737,756 | ||||||||||||
Insurance | 25,103,847 | — | — | 25,103,847 | ||||||||||||
Internet | 1,969,778 | — | — | 1,969,778 |
145
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2014 (Unaudited)
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Investment Companies | $ | 1,590,155 | $ | — | $ | — | $ | 1,590,155 | ||||||||
Iron & Steel | 3,825,059 | — | — | 3,825,059 | ||||||||||||
Leisure Time | 2,192,981 | — | — | 2,192,981 | ||||||||||||
Lodging | 742,286 | — | — | 742,286 | ||||||||||||
Machinery - Diversified | 2,075,997 | — | — | 2,075,997 | ||||||||||||
Media | 3,891,224 | — | — | 3,891,224 | ||||||||||||
Mining | 2,174,465 | — | — | 2,174,465 | ||||||||||||
Miscellaneous - Manufacturing | 14,692,260 | — | — | 14,692,260 | ||||||||||||
Office & Business Equipment | 3,617,216 | — | — | 3,617,216 | ||||||||||||
Oil & Gas | 21,129,377 | — | — | 21,129,377 | ||||||||||||
Oil & Gas Services | 4,527,464 | — | — | 4,527,464 | ||||||||||||
Packaging & Containers | 1,313,354 | — | — | 1,313,354 | ||||||||||||
Pharmaceuticals | 3,418,010 | — | — | 3,418,010 | ||||||||||||
Pipelines | 2,612,587 | — | — | 2,612,587 | ||||||||||||
Real Estate | 9,628,645 | — | — | 9,628,645 | ||||||||||||
REITS | 18,087,603 | — | — | 18,087,603 | ||||||||||||
Retail | 13,722,774 | — | — | 13,722,774 | ||||||||||||
Savings & Loans | 1,396,400 | — | — | 1,396,400 | ||||||||||||
Semiconductors | 24,038,605 | — | — | 24,038,605 | ||||||||||||
Shipbuilding | 998,853 | — | — | 998,853 | ||||||||||||
Software | 10,140,591 | — | — | 10,140,591 | ||||||||||||
Telecommunications | 14,813,476 | — | — | 14,813,476 | ||||||||||||
Textiles | 2,559,249 | — | — | 2,559,249 | ||||||||||||
Transportation | 11,018,242 | — | — | 11,018,242 | ||||||||||||
Trucking & Leasing | 2,608,847 | — | — | 2,608,847 | ||||||||||||
Water | 1,611,800 | — | — | 1,611,800 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 360,194,421 | — | — | 360,194,421 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposits | — | 18,599,541 | — | 18,599,541 | ||||||||||||
Securities Lending Collateral | — | 30,754,854 | — | 30,754,854 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 49,354,395 | — | 49,354,395 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 360,194,421 | $ | 49,354,395 | $ | — | $ | 409,548,816 | ||||||||
|
|
|
|
|
|
|
|
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 | ||||||||||||
Futures Contracts* | ||||||||||||||||
Buys | $ | (640,916 | ) | $ | — | $ | — | $ | (640,916 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (640,916 | ) | — | — | (640,916 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (640,916 | ) | $ | — | $ | — | $ | (640,916 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities. |
146
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2014 (Unaudited)
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 | $ | 54,572,579 | $ | 0 | * | $ | — | $ | 54,572,579 | |||||||
Austria | 7,083,828 | — | — | 7,083,828 | ||||||||||||
Belgium | 17,740,087 | — | — | 17,740,087 | ||||||||||||
Bermuda | 25,281,991 | — | — | 25,281,991 | ||||||||||||
Brazil | 3,736,945 | — | — | 3,736,945 | ||||||||||||
Canada | 18,163,079 | — | — | 18,163,079 | ||||||||||||
Cayman Islands | 9,566,302 | — | — | 9,566,302 | ||||||||||||
China | 5,747,239 | — | — | 5,747,239 | ||||||||||||
Denmark | 62,204,714 | — | — | 62,204,714 | ||||||||||||
Finland | 34,962,749 | — | — | 34,962,749 | ||||||||||||
France | 128,655,272 | — | — | 128,655,272 | ||||||||||||
Germany | 141,230,748 | — | — | 141,230,748 | ||||||||||||
Hong Kong | 17,893,553 | — | — | 17,893,553 | ||||||||||||
India | 20,860,737 | — | — | 20,860,737 | ||||||||||||
Indonesia | 11,126,002 | — | — | 11,126,002 | ||||||||||||
Ireland | 4,767,050 | — | — | 4,767,050 | ||||||||||||
Italy | 49,386,819 | — | — | 49,386,819 | ||||||||||||
Japan | 404,406,283 | — | — | 404,406,283 | ||||||||||||
Luxembourg | 14,098,349 | — | — | 14,098,349 | ||||||||||||
Malaysia | 3,651,037 | — | — | 3,651,037 | ||||||||||||
Malta | 1,346,319 | — | — | 1,346,319 | ||||||||||||
Mexico | 6,896,986 | — | — | 6,896,986 | ||||||||||||
Netherlands | 80,542,564 | — | — | 80,542,564 | ||||||||||||
New Zealand | 8,718,379 | — | — | 8,718,379 | ||||||||||||
Norway | 33,978,584 | — | — | 33,978,584 | ||||||||||||
Portugal | 4,630,361 | — | 118,624 | 4,748,985 | ||||||||||||
Singapore | 8,453,281 | — | — | 8,453,281 | ||||||||||||
South Africa | 3,429,199 | — | — | 3,429,199 | ||||||||||||
South Korea | 8,243,390 | — | — | 8,243,390 | ||||||||||||
Spain | 77,250,532 | — | 202,010 | 77,452,542 | ||||||||||||
Sweden | 44,589,127 | — | — | 44,589,127 | ||||||||||||
Switzerland | 152,801,044 | — | — | 152,801,044 | ||||||||||||
Taiwan | 10,390,480 | — | — | 10,390,480 | ||||||||||||
Thailand | — | 2,439,167 | — | 2,439,167 | ||||||||||||
United Kingdom | 320,241,814 | — | — | 320,241,814 | ||||||||||||
United States | 14,480,641 | — | — | 14,480,641 | ||||||||||||
|
| �� |
|
|
|
|
|
| ||||||||
Total Common Stocks | 1,811,128,064 | 2,439,167 | 320,634 | 1,813,887,865 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Companies | ||||||||||||||||
United States | 18,068,311 | — | — | 18,068,311 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investment Companies | 18,068,311 | — | — | 18,068,311 | ||||||||||||
|
|
|
|
|
|
|
|
147
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2014 (Unaudited)
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Preferred Stocks | ||||||||||||||||
Brazil | $ | 1,183,524 | $ | — | $ | — | $ | 1,183,524 | ||||||||
Germany | 15,612,628 | — | — | 15,612,628 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 16,796,152 | — | — | 16,796,152 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights | ||||||||||||||||
Italy | 12,866 | — | — | 12,866 | ||||||||||||
Spain | 16,274 | — | — | 16,274 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Rights | 29,140 | — | — | 29,140 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Options Purchased | ||||||||||||||||
Call Options | — | 57,387 | — | 57,387 | ||||||||||||
Put Options | — | 89,825 | — | 89,825 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Options Purchased | — | 147,212 | — | 147,212 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposits | — | 118,843,304 | — | 118,843,304 | ||||||||||||
Securities Lending Collateral | — | 113,444,072 | — | 113,444,072 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 232,287,376 | — | 232,287,376 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,846,021,667 | $ | 234,873,755 | $ | 320,634 | $ | 2,081,216,056 | ||||||||
|
|
|
|
|
|
|
|
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 | ||||||||||||
Futures Contracts** | ||||||||||||||||
Buys | $ | (2,508,979 | ) | $ | — | $ | — | $ | (2,508,979 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (2,508,979 | ) | — | — | (2,508,979 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (2,508,979 | ) | $ | — | $ | — | $ | (2,508,979 | ) | ||||||
|
|
|
|
|
|
|
|
* | Represents one security at $0 value as of September 30, 2014. |
** | Futures contracts are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities. |
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 | $ | — | $ | 103,755,046 | $ | — | $ | 103,755,046 | ||||||||
Corporate Debt | — | 325,497,431 | 0 | * | 325,497,431 |
148
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2014 (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 | $ | — | $ | 88,743,824 | $ | — | $ | 88,743,824 | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations | — | 219,401,043 | — | 219,401,043 | ||||||||||||
Municipal Obligations | — | 23,506,201 | — | 23,506,201 | ||||||||||||
Sovereign Debt Obligations | — | 4,287,989 | — | 4,287,989 | ||||||||||||
U.S. Government and Agency Obligations | — | 175,674,637 | — | 175,674,637 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Debt Obligations | — | 940,866,171 | 0 | 940,866,171 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stock | ||||||||||||||||
Diversified Financial Services | 2,756,608 | — | — | 2,756,608 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stock | 2,756,608 | — | — | 2,756,608 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Options Purchased | ||||||||||||||||
Call Options | 74,813 | — | — | 74,813 | ||||||||||||
Put Options | 11,258 | — | — | 11,258 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Options Purchased | 86,071 | — | — | 86,071 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposit | — | 66,516,309 | — | 66,516,309 | ||||||||||||
Securities Lending Collateral | — | 1,738,208 | — | 1,738,208 | ||||||||||||
U.S. Government and Agency Obligations | — | 5,740,987 | — | 5,740,987 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 73,995,504 | — | 73,995,504 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts** | ||||||||||||||||
Buys | 27,831 | — | — | 27,831 | ||||||||||||
Sales | 32,508 | — | — | 32,508 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | 60,339 | — | — | 60,339 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Swap Contracts | ||||||||||||||||
Centrally Cleared Credit Default Swaps** | — | 24,826 | — | 24,826 | ||||||||||||
Centrally Cleared Interest Rate Swaps** | — | 54,206 | — | 54,206 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Swap Contracts | — | 79,032 | — | 79,032 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,903,018 | $ | 1,014,940,707 | $ | 0 | $ | 1,017,843,725 | ||||||||
|
|
|
|
|
|
|
|
149
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2014 (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 | $ | — | $ | (4,599,844 | ) | $ | — | $ | (4,599,844 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts** | ||||||||||||||||
Buys | (29,476 | ) | — | — | (29,476 | ) | ||||||||||
Sales | (1,032 | ) | — | — | (1,032 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (30,508 | ) | — | — | (30,508 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Swap Contracts | ||||||||||||||||
Centrally Cleared Interest Rate Swaps** | — | (112,249 | ) | — | (112,249 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Swap Contracts | — | (112,249 | ) | — | (112,249 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Written Options | (21,047 | ) | — | — | (21,047 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (51,555 | ) | $ | (4,712,093 | ) | $ | — | $ | (4,763,648 | ) | |||||
|
|
|
|
|
|
|
|
* | Represents four securities at $0 value as of September 30, 2014. |
** | Futures contracts and Centrally Cleared Swaps are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities. |
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 | $ | — | $ | 130,162,950 | $ | — | $ | 130,162,950 | ||||||||
Sovereign Debt Obligations | — | 135,043,429 | — | 135,043,429 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Debt Obligations | — | 265,206,379 | — | 265,206,379 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stock | ||||||||||||||||
Diversified Financial Services | 372,540 | — | — | 372,540 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stock | 372,540 | — | — | 372,540 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposits | — | 13,909,866 | — | 13,909,866 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 13,909,866 | — | 13,909,866 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Cross Currency Foreign Currency Contracts* | — | 56,565 | — | 56,565 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts* | ||||||||||||||||
Buys | — | 104,746 | — | 104,746 | ||||||||||||
Sales | — | 4,529,868 | — | 4,529,868 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | 4,634,614 | — | 4,634,614 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 372,540 | $ | 283,807,424 | $ | — | $ | 284,179,964 | ||||||||
|
|
|
|
|
|
|
|
150
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2014 (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 | ||||||||||||
Cross Currency Foreign Currency Contracts* | $ | — | $ | (838 | ) | $ | — | $ | (838 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts* | ||||||||||||||||
Buys | — | (3,646,118 | ) | — | (3,646,118 | ) | ||||||||||
Sales | — | (31,176 | ) | — | (31,176 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | (3,677,294 | ) | — | (3,677,294 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts* | ||||||||||||||||
Buys | (47,148 | ) | — | — | (47,148 | ) | ||||||||||
Sales | (115,644 | ) | — | — | (115,644 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (162,792 | ) | — | — | (162,792 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (162,792 | ) | $ | (3,678,132 | ) | $ | — | $ | (3,840,924 | ) | |||||
|
|
|
|
|
|
|
|
* | Cross currency foreign currency contracts and forward foreign currency contracts and Futures contracts are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities. |
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 | $ | 8,228,392 | $ | — | $ | — | $ | 8,228,392 | ||||||||
Brazil | 63,670,037 | — | — | 63,670,037 | ||||||||||||
British Virgin Islands | 736,313 | — | — | 736,313 | ||||||||||||
Cayman Islands | 42,181,269 | — | — | 42,181,269 | ||||||||||||
Chile | 12,321,444 | — | — | 12,321,444 | ||||||||||||
China | 91,330,936 | — | — | 91,330,936 | ||||||||||||
Colombia | 4,136,791 | — | — | 4,136,791 | ||||||||||||
Czech Republic | 5,330,402 | — | — | 5,330,402 | ||||||||||||
Denmark | 1,292,682 | — | — | 1,292,682 | ||||||||||||
Germany | 1,932,104 | — | — | 1,932,104 | ||||||||||||
Hong Kong | 41,703,073 | — | — | 41,703,073 | ||||||||||||
Hungary | 1,504,205 | — | — | 1,504,205 | ||||||||||||
India | 99,098,583 | — | — | 99,098,583 | ||||||||||||
Indonesia | 25,869,380 | — | — | 25,869,380 | ||||||||||||
Luxembourg | 2,326,092 | — | — | 2,326,092 | ||||||||||||
Malaysia | 29,417,738 | — | — | 29,417,738 | ||||||||||||
Mexico | 42,780,390 | — | — | 42,780,390 |
151
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2014 (Unaudited)
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Netherlands | $ | 1,489,284 | $ | — | $ | — | $ | 1,489,284 | ||||||||
Panama | 1,034,488 | — | — | 1,034,488 | ||||||||||||
Peru | 147,066 | — | — | 147,066 | ||||||||||||
Philippines | 2,657,696 | — | — | 2,657,696 | ||||||||||||
Poland | 10,877,262 | — | — | 10,877,262 | ||||||||||||
Russia | 26,615,417 | 2,372,851 | — | 28,988,268 | ||||||||||||
Singapore | 1,273,093 | — | — | 1,273,093 | ||||||||||||
South Africa | 48,646,316 | — | — | 48,646,316 | ||||||||||||
South Korea | 100,753,492 | — | — | 100,753,492 | ||||||||||||
Switzerland | 1,679,500 | — | — | 1,679,500 | ||||||||||||
Taiwan | 97,045,191 | — | — | 97,045,191 | ||||||||||||
Thailand | 18,280,467 | 13,578,494 | — | 31,858,961 | ||||||||||||
Turkey | 14,145,753 | — | — | 14,145,753 | ||||||||||||
United Kingdom | 16,849,305 | — | — | 16,849,305 | ||||||||||||
United States | 2,109,932 | — | — | 2,109,932 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 817,464,093 | 15,951,345 | — | 833,415,438 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | 16,820,676 | — | — | 16,820,676 | ||||||||||||
Colombia | 2,086,955 | — | — | 2,086,955 | ||||||||||||
India | 29,029 | — | — | 29,029 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 18,936,660 | — | — | 18,936,660 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights | ||||||||||||||||
Hong Kong | 2,254 | — | 2,420 | 4,674 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Rights | 2,254 | — | 2,420 | 4,674 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposits | — | 55,540,605 | — | 55,540,605 | ||||||||||||
Investment Fund | — | 17,070,000 | — | 17,070,000 | ||||||||||||
Securities Lending Collateral | — | 39,219,929 | — | 39,219,929 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 111,830,534 | — | 111,830,534 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts* | ||||||||||||||||
Sales | — | 5,562,606 | — | 5,562,606 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | 5,562,606 | — | 5,562,606 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts* | ||||||||||||||||
Sales | 675,308 | — | — | 675,308 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | 675,308 | — | — | 675,308 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Synthetic Futures | — | 33,436 | — | 33,436 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Synthetic Futures | — | 33,436 | — | 33,436 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 837,078,315 | $ | 133,377,921 | $ | 2,420 | $ | 970,458,656 | ||||||||
|
|
|
|
|
|
|
|
152
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2014 (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* | ||||||||||||||||
Buys | $ | — | $ | (9,520,965 | ) | $ | — | $ | (9,520,965 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | (9,520,965 | ) | — | (9,520,965 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts* | ||||||||||||||||
Buys | (2,837,243 | ) | — | — | (2,837,243 | ) | ||||||||||
Sales | (1,093 | ) | — | — | (1,093 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (2,838,336 | ) | — | — | (2,838,336 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Synthetic Futures | — | (908,121 | ) | — | (908,121 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Synthetic Futures | — | (908,121 | ) | — | (908,121 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (2,838,336 | ) | $ | (10,429,086 | ) | $ | — | $ | (13,267,422 | ) | |||||
|
|
|
|
|
|
|
|
* | Forward foreign currency contracts and Futures contracts are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities. |
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 | $ | 3,577,711 | $ | — | $ | — | �� | $ | 3,577,711 | |||||||
Austria | 2,280,782 | — | — | 2,280,782 | ||||||||||||
Bahamas | 265,427 | — | — | 265,427 | ||||||||||||
Belgium | 5,975,439 | — | — | 5,975,439 | ||||||||||||
Bermuda | 4,245,023 | — | — | 4,245,023 | ||||||||||||
Canada | 35,185,063 | — | — | 35,185,063 | ||||||||||||
Cayman Islands | 1,502,618 | — | — | 1,502,618 | ||||||||||||
Denmark | 4,585,253 | — | — | 4,585,253 | ||||||||||||
France | 35,513,728 | — | — | 35,513,728 | ||||||||||||
Germany | 18,246,572 | — | — | 18,246,572 | ||||||||||||
Hong Kong | 2,713,563 | — | — | 2,713,563 | ||||||||||||
Ireland | 3,629,973 | — | — | 3,629,973 | ||||||||||||
Israel | 5,739,260 | — | — | 5,739,260 | ||||||||||||
Italy | 1,352,224 | — | — | 1,352,224 | ||||||||||||
Japan | 50,989,194 | 57,459 | — | 51,046,653 | ||||||||||||
Mexico | 3,635,464 | — | — | 3,635,464 | ||||||||||||
Netherlands | 10,244,640 | — | — | 10,244,640 | ||||||||||||
New Zealand | 7,280,496 | — | — | 7,280,496 |
153
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2014 (Unaudited)
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Norway | $ | 9,812,250 | $ | — | $ | — | $ | 9,812,250 | ||||||||
Portugal | 3,600,769 | — | — | 3,600,769 | ||||||||||||
Russia | 842,288 | — | — | 842,288 | ||||||||||||
Singapore | 3,332,314 | — | — | 3,332,314 | ||||||||||||
South Africa | 1,490,030 | — | — | 1,490,030 | ||||||||||||
South Korea | 3,429,468 | — | — | 3,429,468 | ||||||||||||
Spain | 3,314,238 | — | — | 3,314,238 | ||||||||||||
Sweden | 6,156,193 | — | — | 6,156,193 | ||||||||||||
Switzerland | 34,306,807 | — | — | 34,306,807 | ||||||||||||
Thailand | 1,121,135 | — | — | 1,121,135 | ||||||||||||
United Kingdom | 41,518,439 | — | — | 41,518,439 | ||||||||||||
United States | 352,469,449 | — | — | 352,469,449 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 658,355,810 | 57,459 | — | 658,413,269 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Companies | ||||||||||||||||
United States | 11,778,116 | — | — | 11,778,116 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investment Companies | 11,778,116 | — | — | 11,778,116 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Germany | 1,681,519 | — | — | 1,681,519 | ||||||||||||
Japan | 214,370 | — | — | 214,370 | ||||||||||||
Sweden | 48,543 | — | — | 48,543 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 1,944,432 | — | — | 1,944,432 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Warrants | ||||||||||||||||
United States | 695,585 | — | — | 695,585 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Warrants | 695,585 | — | — | 695,585 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Debt Obligations | — | 599,206 | — | 599,206 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Debt Obligations | — | 599,206 | — | 599,206 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposits | — | 104,830,994 | — | 104,830,994 | ||||||||||||
Securities Lending Collateral | — | 20,512,093 | — | 20,512,093 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 125,343,087 | — | 125,343,087 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts* | ||||||||||||||||
Sales | — | 982,646 | — | 982,646 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | 982,646 | — | 982,646 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 672,773,943 | $ | 126,982,398 | $ | — | $ | 799,756,341 | ||||||||
|
|
|
|
|
|
|
|
154
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2014 (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 | ||||||||||||
Futures Contracts* | ||||||||||||||||
Buys | $ | (536,271 | ) | $ | — | $ | — | $ | (536,271 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (536,271 | ) | — | — | (536,271 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (536,271 | ) | $ | — | $ | — | $ | (536,271 | ) | ||||||
|
|
|
|
|
|
|
|
* | Forward foreign currency contracts and Futures contracts are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities. |
The following table shows transfers between Level 1 and Level 2 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 | $ | 3,646,691 | * | $ | — | $ | — | $ | 3,646,691 | * |
Global Low Volatility
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 | $ | — | $ | 57,459 | ** | $ | 57,459 | ** | $ | — |
* | Transfers occurred between Level 1 and Level 2 as a result of foreign securities receiving an exchange traded price. |
** | Transfers occurred between Level 1 and Level 2 as a result of a foreign security not receiving an exchange traded price. |
For financial statement reporting purposes, the Funds recognize transfers between Levels as of the end of the reporting period.
155
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2014 (Unaudited)
The following table includes a rollforward of the amounts for the period ended September 30, 2014 for financial instruments classified as Level 3:
Non-US Core Equity
Investments | Balance as of March 31, 2014 | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Net Transfers In (Out) of Level 3 | Purchases | Balance as of September 30, 2014 | Change in Unrealized Appreciation (Depreciation) from Investments Held at September 30, 2014 | ||||||||||||||||||||||||||||
COMMON STOCKS |
| ||||||||||||||||||||||||||||||||||
Portugal | $ | — | $ | — | $ | (770,747 | ) | $ | — | $ | 889,371 | $ | 118,624 | $ | (770,747 | ) | |||||||||||||||||||
Spain | — | — | (366,591 | ) | — | 568,601 | 202,010 | (366,591 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Total | $ | — | $ | — | $ | (1,137,338 | ) | $ | — | $ | 1,457,972 | $ | 320,634 | $ | (1,137,338 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Core Fixed
Investments | Balance as of March 31, 2014 | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Net Transfers In (Out) of Level 3 | Purchases/ Sales | Balance as of September 30, 2014 | Change in Unrealized Appreciation (Depreciation) from Investments Held at September 30, 2014 | ||||||||||||||||||||||||||||
DEBT OBLIGATIONS |
| ||||||||||||||||||||||||||||||||||
Corporate Debt | $ | 0 | ^ | $ | — | $ | — | $ | — | $ | — | $ | 0 | ^^ | $ | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Total | $ | 0 | ^ | $ | — | $ | — | $ | — | $ | — | $ | 0 | ^^ | $ | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
^ | Represents four securities at $0 value as of March 31, 2014. |
^^ | Represents four securities at $0 value as of September 30, 2014. |
Emerging Markets
Investments | Balance as of March 31, 2014 | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Net Transfers In (Out) of Level 3 | Purchases/ Sales | Balance as of September 30, 2014 | Change in Unrealized Appreciation (Depreciation) from Investments Held at September 30, 2014 | ||||||||||||||||||||||||||||
EQUITIES |
| ||||||||||||||||||||||||||||||||||
RIGHTS | $ | 0 | $ | — | $ | 2,420 | $ | — | $ | — | $ | 2,420 | $ | 2,420 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Total | $ | 0 | $ | — | $ | 2,420 | $ | — | $ | — | $ | 2,420 | $ | 2,420 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For financial statement reporting purposes, the Funds recognize transfers between Levels as of the end of the reporting period.
156
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2014 (Unaudited)
Investments in Derivative Instruments
Non-US Core Equity and Emerging Markets held rights during the period as a result of corporate actions. Small/Mid Cap Growth, Non-US Core Equity, Core Fixed and Global Low Volatility held warrants during the period as a result of corporate actions.
At September 30, 2014 and during the period then ended, the Funds had the following derivatives and transactions in derivatives, grouped into appropriate risk categories:
Large Cap Growth
LIABILITY DERIVATIVES
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Futures Contracts(3) | $ | — | $ | (200,497 | ) | $ | (200,497 | ) | ||||
|
|
|
|
|
| |||||||
Total Value | $ | — | $ | (200,497 | ) | $ | (200,497 | ) | ||||
|
|
|
|
|
|
NET REALIZED GAIN (LOSS)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Futures Contracts(9) | $ | — | $ | 905,184 | $ | 905,184 | ||||||
|
|
|
|
|
| |||||||
Total Net Realized Gain (Loss) | $ | — | $ | 905,184 | $ | 905,184 | ||||||
|
|
|
|
|
|
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Futures Contracts(14) | $ | — | $ | (200,497 | ) | $ | (200,497 | ) | ||||
|
|
|
|
|
| |||||||
Total Change in Net Unrealized Appreciation (Depreciation) | $ | — | $ | (200,497 | ) | $ | (200,497 | ) | ||||
|
|
|
|
|
|
NUMBER OF CONTRACTS(17)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Futures Contracts | — | 143 | 143 |
Large Cap Value
ASSET DERIVATIVES
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Forward Foreign Currency Contracts(2) | $ | 196,539 | $ | — | $ | 196,539 | ||||||
|
|
|
|
|
| |||||||
Total Value | $ | 196,539 | $ | — | $ | 196,539 | ||||||
|
|
|
|
|
|
157
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2014 (Unaudited)
LIABILITY DERIVATIVES
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Forward Foreign Currency Contracts(5) | $ | (9,583 | ) | $ | — | $ | (9,583 | ) | ||||
Futures Contracts(3) | — | (194,411 | ) | (194,411 | ) | |||||||
|
|
|
|
|
| |||||||
Total Value | $ | (9,583 | ) | $ | (194,411 | ) | $ | (203,994 | ) | |||
|
|
|
|
|
|
NET REALIZED GAIN (LOSS)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Forward Foreign Currency Contracts(8) | $ | (50,248 | ) | $ | — | $ | (50,248 | ) | ||||
Futures Contracts(9) | — | 509,101 | 509,101 | |||||||||
|
|
|
|
|
| |||||||
Total Net Realized Gain (Loss) | $ | (50,248 | ) | $ | 509,101 | $ | 458,853 | |||||
|
|
|
|
|
|
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Forward Foreign Currency Contracts(13) | $ | 210,482 | $ | — | $ | 210,482 | ||||||
Futures Contracts(14) | — | (194,411 | ) | (194,411 | ) | |||||||
|
|
|
|
|
| |||||||
Total Change in Net Unrealized Appreciation (Depreciation) | $ | 210,482 | $ | (194,411 | ) | $ | 16,071 | |||||
|
|
|
|
|
|
NUMBER OF CONTRACTS(17)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Forward Foreign Currency Contracts | (35,119 | ) | — | (35,119 | ) | |||||||
Futures Contracts | — | 128 | 128 |
Small/Mid Cap Growth
ASSET DERIVATIVES
Equity Risk | Total | |||||||
Warrants(1) | $ | 0 | * | $ | 0 | |||
|
|
|
| |||||
Total Value | $ | 0 | $ | 0 | ||||
|
|
|
|
LIABILITY DERIVATIVES
Equity Risk | Total | |||||||
Futures Contracts(3) | $ | (644,708 | ) | $ | (644,708 | ) | ||
|
|
|
| |||||
Total Value | $ | (644,708 | ) | $ | (644,708 | ) | ||
|
|
|
|
158
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2014 (Unaudited)
NET REALIZED GAIN (LOSS)
Equity Risk | Total | |||||||
Futures Contracts(9) | $ | 292,668 | $ | 292,668 | ||||
|
|
|
| |||||
Total Net Realized Gain (Loss) | $ | 292,668 | $ | 292,668 | ||||
|
|
|
|
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION)
Equity Risk | Total | |||||||
Warrants(12) | $ | 0 | $ | 0 | ||||
Futures Contracts(14) | (644,708 | ) | (644,708 | ) | ||||
|
|
|
| |||||
Total Change in Net Unrealized Appreciation (Depreciation) | $ | (644,708 | ) | $ | (644,708 | ) | ||
|
|
|
|
NUMBER OF CONTRACTS(17)
Equity Risk | Total | |||||||
Warrants | 27,862 | 27,862 | ||||||
Futures Contracts | 142 | 142 |
Small/Mid Cap Value
LIABILITY DERIVATIVES
Equity Risk | Total | |||||||
Futures Contracts(3) | $ | (640,916 | ) | $ | (640,916 | ) | ||
|
|
|
| |||||
Total Value | $ | (640,916 | ) | $ | (640,916 | ) | ||
|
|
|
|
NET REALIZED GAIN (LOSS)
Equity Risk | Total | |||||||
Futures Contracts(9) | $ | 369,764 | $ | 369,764 | ||||
|
|
|
| |||||
Total Net Realized Gain (Loss) | $ | 369,764 | $ | 369,764 | ||||
|
|
|
|
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION)
Equity Risk | Total | |||||||
Futures Contracts(14) | $ | (640,916 | ) | $ | (640,916 | ) | ||
|
|
|
| |||||
Total Change in Net Unrealized Appreciation (Depreciation) | $ | (640,916 | ) | $ | (640,916 | ) | ||
|
|
|
|
NUMBER OF CONTRACTS(17)
Equity Risk | Total | |||||||
Futures Contracts | 110 | 110 |
159
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2014 (Unaudited)
Non-US Core Equity
ASSET DERIVATIVES
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights(1) | $ | — | $ | 29,140 | $ | 29,140 | ||||||
Options Purchased(1) | 147,212 | — | 147,212 | |||||||||
|
|
|
|
|
| |||||||
Total Value | $ | 147,212 | $ | 29,140 | $ | 176,352 | ||||||
|
|
|
|
|
|
LIABILITY DERIVATIVES
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Futures Contracts(3) | $ | — | $ | (2,508,979 | ) | $ | (2,508,979 | ) | ||||
|
|
|
|
|
| |||||||
Total Value | $ | — | $ | (2,508,979 | ) | $ | (2,508,979 | ) | ||||
|
|
|
|
|
|
NET REALIZED GAIN (LOSS)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Warrants(7) | $ | — | $ | 10,301 | $ | 10,301 | ||||||
Rights(7) | — | 585,887 | 585,887 | |||||||||
Options Purchased(7) | (128,737 | ) | — | (128,737 | ) | |||||||
Futures Contracts(9) | — | (614,958 | ) | (614,958 | ) | |||||||
|
|
|
|
|
| |||||||
Total Net Realized Gain (Loss) | $ | (128,737 | ) | $ | (18,770 | ) | $ | (147,507 | ) | |||
|
|
|
|
|
|
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights(12) | $ | — | $ | (663,835 | ) | $ | (663,835 | ) | ||||
Options Purchased(12) | (148,184 | ) | — | (148,184 | ) | |||||||
Futures Contracts(14) | — | (2,508,979 | ) | (2,508,979 | ) | |||||||
|
|
|
|
|
| |||||||
Total Change in Net Unrealized Appreciation (Depreciation) | $ | (148,184 | ) | $ | (3,172,814 | ) | $ | (3,320,998 | ) | |||
|
|
|
|
|
|
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(17)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights | — | 414,190 | 414,190 | |||||||||
Warrants | — | 15,550 | 15,550 | |||||||||
Options Purchased | 2,381,132,311 | — | 2,381,132,311 | |||||||||
Futures Contracts | — | 893 | 893 |
160
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2014 (Unaudited)
Core Fixed
ASSET DERIVATIVES
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Total | ||||||||||||||||
Options Purchased(1) | $ | 86,071 | $ | — | $ | — | $ | — | $ | 86,071 | ||||||||||
Futures Contracts(3) | 60,339 | — | — | — | 60,339 | |||||||||||||||
Swap Contracts(4) | 54,206 | ** | — | 24,826 | ** | — | 79,032 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | 200,616 | $ | — | $ | 24,826 | $ | — | $ | 225,442 | ||||||||||
|
|
|
|
|
|
|
|
|
|
LIABILITY DERIVATIVES
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Total | ||||||||||||||||
Futures Contracts(3) | $ | (30,508 | ) | $ | — | $ | — | $ | — | $ | (30,508 | ) | ||||||||
Options Written(6) | (21,047 | ) | — | — | — | (21,047 | ) | |||||||||||||
Swap Contracts(4) | (112,249 | )** | — | — | — | (112,249 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | (163,804 | ) | $ | — | $ | — | $ | — | $ | (163,804 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
NET REALIZED GAIN (LOSS)
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Total | ||||||||||||||||
Warrants(7) | $ | — | $ | — | $ | — | $ | 25 | $ | 25 | ||||||||||
Options Purchased(7) | (15,244 | ) | — | — | — | (15,244 | ) | |||||||||||||
Forward Foreign Currency Contracts(8) | — | (64,765 | ) | — | — | (64,765 | ) | |||||||||||||
Futures Contracts(9) | (539,437 | ) | — | — | — | (539,437 | ) | |||||||||||||
Options Written(10) | (659 | ) | — | — | — | (659 | ) | |||||||||||||
Swap Contracts(11) | (267,582 | ) | — | (6,600 | ) | — | (274,182 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Net Realized Gain (Loss) | $ | (822,922 | ) | $ | (64,765 | ) | $ | (6,600 | ) | $ | 25 | $ | (894,262 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION)
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Total | ||||||||||||||||
Options Purchased(12) | $ | (52,257 | ) | $ | — | $ | — | $ | — | $ | (52,257 | ) | ||||||||
Forward Foreign Currency Contracts(13) | — | 60,806 | — | — | 60,806 | |||||||||||||||
Futures Contracts(14) | 29,963 | — | — | — | 29,963 | |||||||||||||||
Options Written(15) | 25,688 | — | — | — | 25,688 | |||||||||||||||
Swap Contracts(16) | (58,043 | ) | — | 24,826 | — | (33,217 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Change in Net Unrealized Appreciation (Depreciation) | $ | (54,649 | ) | $ | 60,806 | $ | 24,826 | $ | — | $ | 30,983 | |||||||||
|
|
|
|
|
|
|
|
|
|
161
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2014 (Unaudited)
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(17)
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Total | ||||||||||||||||
Warrants | — | — | — | 0 | *** | 0 | ||||||||||||||
Options Purchased | 287,500 | — | — | — | 287,500 | |||||||||||||||
Options Written | (10,061,500 | ) | (10,061,500 | ) | ||||||||||||||||
Futures Contracts | 317 | — | — | 317 | ||||||||||||||||
Swap Contracts | 25,016,667 | — | 2,970,000 | — | 27,986,667 |
Opportunistic Fixed
ASSET DERIVATIVES
Interest Rate Risk | Foreign Exchange Risk | Total | ||||||||||
Forward Foreign Currency Contracts(2) † | $ | — | $ | 4,691,179 | $ | 4,691,179 | ||||||
|
|
|
|
|
| |||||||
Total Value | $ | — | $ | 4,691,179 | $ | 4,691,179 | ||||||
|
|
|
|
|
|
LIABILITY DERIVATIVES
Interest Rate Risk | Foreign Exchange Risk | Total | ||||||||||
Forward Foreign Currency Contracts(5) † | $ | — | $ | (3,678,132 | ) | $ | (3,678,132 | ) | ||||
Futures Contracts(3) | (162,792 | ) | — | (162,792 | ) | |||||||
|
|
|
|
|
| |||||||
Total Value | $ | (162,792 | ) | $ | (3,678,132 | ) | $ | (3,840,924 | ) | |||
|
|
|
|
|
|
NET REALIZED GAIN (LOSS)
Interest Rate Risk | Foreign Exchange Risk | Total | ||||||||||
Forward Foreign Currency Contracts(8) † | $ | — | $ | (123,173 | ) | $ | (123,173 | ) | ||||
Futures Contracts(9) | (432,524 | ) | — | (432,524 | ) | |||||||
|
|
|
|
|
| |||||||
Total Net Realized Gain (Loss) | $ | (432,524 | ) | $ | (123,173 | ) | $ | (555,697 | ) | |||
|
|
|
|
|
|
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION)
Interest Rate Risk | Foreign Exchange Risk | Total | ||||||||||
Forward Foreign Currency Contracts(13) † | $ | — | $ | 515,838 | $ | 515,838 | ||||||
Futures Contracts(14) | (162,792 | ) | — | (162,792 | ) | |||||||
|
|
|
|
|
| |||||||
Total Change in Net Unrealized Appreciation (Depreciation) | $ | (162,792 | ) | $ | 515,838 | $ | 353,046 | |||||
|
|
|
|
|
|
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(17)
Interest Rate Risk | Foreign Exchange Risk | Total | ||||||||||
Forward Foreign Currency Contracts† | — | (12,944,863 | ) | (12,944,863 | ) | |||||||
Futures Contracts | 277 | — | 277 |
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Notes to the Financial Statements (Continued)
September 30, 2014 (Unaudited)
Emerging Markets
ASSET DERIVATIVES
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights(1) | $ | — | $ | 4,674 | $ | 4,674 | ||||||
Forward Foreign Currency Contracts(2) | 5,562,606 | — | 5,562,606 | |||||||||
Futures Contracts(3) †† | — | 708,744 | 708,744 | |||||||||
|
|
|
|
|
| |||||||
Total Value | $ | 5,562,606 | $ | 713,418 | $ | 6,276,024 | ||||||
|
|
|
|
|
|
LIABILITY DERIVATIVES
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Forward Foreign Currency Contracts(5) | $ | (9,520,965 | ) | $ | — | $ | (9,520,965 | ) | ||||
Futures Contracts(3) †† | — | (3,746,457 | ) | (3,746,457 | ) | |||||||
|
|
|
|
|
| |||||||
Total Value | $ | (9,520,965 | ) | $ | (3,746,457 | ) | $ | (13,267,422 | ) | |||
|
|
|
|
|
|
NET REALIZED GAIN (LOSS)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights(7) | $ | — | $ | 77,994 | $ | 77,994 | ||||||
Forward Foreign Currency Contracts(8) | (426,183 | ) | — | (426,183 | ) | |||||||
Futures Contracts(9) †† | — | 7,450,103 | 7,450,103 | |||||||||
|
|
|
|
|
| |||||||
Total Net Realized Gain (Loss) | $ | (426,183 | ) | $ | 7,528,097 | $ | 7,101,914 | |||||
|
|
|
|
|
|
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights(12) | $ | — | $ | 4,674 | $ | 4,674 | ||||||
Forward Foreign Currency Contracts(13) | (4,470,397 | ) | — | (4,470,397 | ) | |||||||
Futures Contracts(14) †† | — | (4,022,225 | ) | (4,022,225 | ) | |||||||
|
|
|
|
|
| |||||||
Total Change in Net Unrealized Appreciation (Depreciation) | $ | (4,470,397 | ) | $ | (4,017,551 | ) | $ | (8,487,948 | ) | |||
|
|
|
|
|
|
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(17)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights | — | 780,545 | 780,545 | |||||||||
Forward Foreign Currency Contracts | 30,430,868 | — | 30,430,868 | |||||||||
Futures Contracts†† | — | 28,805 | 28,805 |
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September 30, 2014 (Unaudited)
Global Low Volatility
ASSET DERIVATIVES
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Warrants(1) | $ | — | $ | 695,585 | $ | 695,585 | ||||||
Forward Foreign Currency Contracts(2) | 982,646 | — | 982,646 | |||||||||
|
|
|
|
|
| |||||||
Total Value | $ | 982,646 | $ | 695,585 | $ | 1,678,231 | ||||||
|
|
|
|
|
|
LIABILITY DERIVATIVES
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Futures Contracts(3) | $ | — | $ | (536,271 | ) | $ | (536,271 | ) | ||||
|
|
|
|
|
| |||||||
Total Value | $ | — | $ | (536,271 | ) | $ | (536,271 | ) | ||||
|
|
|
|
|
|
NET REALIZED GAIN (LOSS)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights(7) | $ | — | $ | (1,132 | ) | $ | (1,132 | ) | ||||
Warrants(7) | — | 16,974 | 16,974 | |||||||||
Forward Foreign Currency Contracts(8) | 252,639 | — | 252,639 | |||||||||
Futures Contracts(9) | — | 1,421,344 | 1,421,344 | |||||||||
|
|
|
|
|
| |||||||
Total Net Realized Gain (Loss) | $ | 252,639 | $ | 1,437,186 | $ | 1,689,825 | ||||||
|
|
|
|
|
|
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Warrants(12) | $ | — | $ | (22,058 | ) | $ | (22,058 | ) | ||||
Forward Foreign Currency Contracts(13) | 891,628 | — | 891,628 | |||||||||
Futures Contracts(14) | — | (536,271 | ) | (536,271 | ) | |||||||
|
|
|
|
|
| |||||||
Total Change in Net Unrealized Appreciation (Depreciation) | $ | 891,628 | $ | (558,329 | ) | $ | 333,299 | |||||
|
|
|
|
|
|
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(17)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Warrants | — | 34,589 | 34,589 | |||||||||
Forward Foreign Currency Contracts | (16,163,962 | ) | — | (16,163,962 | ) | |||||||
Futures | — | 346 | 346 |
* | Represents one security at $0 value as of September 30, 2014. |
** | Centrally Cleared Swaps are valued at unrealized appreciation/depreciation on the Schedule of Investments. Only current day’s variation margin, if any, is reported on the Statement of Assets and Liabilities. |
*** | There were no warrants held at any of the month ends. |
† | Includes Cross Currency Foreign Currency Contracts. |
†† | Includes Synthetic Futures. |
(1) | Statements of Assets and Liabilities location: Investments, at value. |
(2) | Statements of Assets and Liabilities location: Unrealized appreciation on open forward foreign currency contracts. |
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Notes to the Financial Statements (Continued)
September 30, 2014 (Unaudited)
(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 Statements of Assets and Liabilities. Synthetic futures are presented as Synthetic futures, at value within the Statements 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) | Statements of Assets and Liabilities location: Unrealized depreciation on open forward foreign currency contracts. |
(6) | Statements of Assets and Liabilities location: Written options, at value. |
(7) | Statements of Operations location: Amounts are included in Net realized gain (loss) on Investments. |
(8) | Statements of Operations location: Amounts are included in Net realized gain (loss) on Forward foreign currency contracts and foreign currency related transactions. |
(9) | Statements of Operations location: Amounts are included in Net realized gain (loss) on Closed futures contracts. |
(10) | Statements of Operations location: Amounts are included in Net realized gain (loss) on Written option contracts. |
(11) | Statements of Operations location: Amounts are included in Net realized gain (loss) on Swap contracts. |
(12) | Statements of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Investments. |
(13) | Statements of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Forward foreign currency contracts and foreign currency related transactions. |
(14) | Statements of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Open futures contracts. |
(15) | Statements of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Written option contracts. |
(16) | Statements 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, 2014. |
The following is a summary of open centrally cleared credit default swap positions held in Core Fixed at September 30, 2014:
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 | |||||||||||||||||||||||||
$ | 2,970,000 | USD | 6/20/19 | JPMorgan Chase N.A. | Buy | $ | 2,970,000 | (5.00 | )% | CDX.NA.HY.22. | $ | 24,826 | $ | (179,709 | ) | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
$ | 2,970,000 | $ | 24,826 | $ | (179,709 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
Netting Agreements and Collateral Requirements
In order to better define contractual rights under derivative contracts and to secure rights that will help the Funds mitigate their counterparty risk, a sub-adviser may, on behalf of the Funds, enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Funds and a counterparty that governs OTC derivatives and foreign exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Funds may, under certain circumstances, offset with the counterparty certain derivative financial instrument’s payables and/or receivables with certain collateral held and/or posted and create a net payment. The provisions of the ISDA Master Agreement typically permit a net payment in the event of default including the bankruptcy or insolvency of the counterparty. Absent an event of default by the counterparty or termination of the agreement, the ISDA Master Agreement does not result in an offset of reported amounts of assets and liabilities in the Statement of Assets and Liabilities across the transactions between the Funds and the applicable counterparty. The right to offset and net payments across all transactions traded under the ISDA Master Agreement could result in a
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Notes to the Financial Statements (Continued)
September 30, 2014 (Unaudited)
reduction of the Funds’ credit risk to such counterparty equal to any amounts payable by the Funds under the applicable transactions, if any. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Funds’ net assets decline by a stated percentage or if the Funds fail to meet the terms of its ISDA Master Agreements, which would cause the Funds to accelerate payment of any net liability owed to the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty.
Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately on the Statement of Assets and Liabilities as cash collateral held at broker or cash collateral due to broker, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Funds and any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the Funds and counterparties are not permitted to sell, re-pledge or use the collateral they receive. To the extent amounts due to the Funds from their counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty non-performance. The Funds attempt to mitigate counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
During the current reporting period, the Funds adopted the new disclosure requirements for offsetting assets and liabilities, pursuant to which an entity is required to disclose both gross and net information for assets and liabilities related to derivatives, repurchase and reverse repurchase agreements, and securities lending and securities borrowings transactions that are eligible for offset or subject to an enforceable master netting or similar agreement. The Funds’ derivative assets and liabilities at fair value by risk are presented in the tables above. For financial reporting purposes the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
The following tables present the Funds’ derivative assets and liabilities by counterparty, net of amounts available for offset under a Master Netting Agreement (“MNA”) and net of related collateral received by the Funds for assets or pledged by the Funds for liabilities as of September 30, 2014.
Large Cap Value
Offsetting of Financial Assets and Derivative Assets:
Counterparty | Derivative Assets Subject to MNA | Derivative Assets/(Liabilities) available for offset | Collateral Received* | Net Amount of Derivative Assets(a) | ||||||||||||
Barclays Bank Plc | $ | 196,539 | $ | (9,583 | ) | $ | — | $ | 186,956 | |||||||
|
|
|
|
|
|
|
| |||||||||
$ | 196,539 | $ | (9,583 | ) | $ | — | $ | 186,956 | ||||||||
|
|
|
|
|
|
|
|
Offsetting of Financial Liabilities and Derivative Liabilities:
Counterparty | Derivative Liabilities Subject to MNA | Derivative Assets/(Liabilities) available for offset | Collateral Pledged* | Net Amount of Derivative Assets(b) | ||||||||||||
Barclays Bank Plc | $ | (9,583 | ) | $ | 9,583 | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
$ | (9,583 | ) | $ | 9,583 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
(a) | Represents the net amount receivable from the counterparty in the event of default. |
(b) | Represents the net amount payable to the counterparty in the event of default. |
* | In some instances, the actual collateral received and/or pledged may be more than the derivative asset or liability due to overcollateralization. |
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September 30, 2014 (Unaudited)
Non-US Core Equity
Offsetting of Financial Assets and Derivative Assets:
Counterparty | Derivative Assets Subject to MNA | Derivative Assets/(Liabilities) available for offset | Collateral Received* | Net Amount of Derivative Assets(a) | ||||||||||||
Deutsche Bank AG | $ | 38,469 | $ | — | $ | — | $ | 38,469 | ||||||||
JP Morgan Chase Bank, N.A. | 92,466 | — | — | 92,466 | ||||||||||||
UBS AG | 16,277 | — | — | 16,277 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 147,212 | $ | — | $ | — | $ | 147,212 | |||||||||
|
|
|
|
|
|
|
|
(a) | Represents the net amount receivable from the counterparty in the event of default. |
* | In some instances, the actual collateral received and/or pledged may be more than the derivative asset or liability due to overcollateralization. |
Opportunistic Fixed
Offsetting of Financial Assets and Derivative Assets:
Counterparty | Derivative Assets Subject to MNA | Derivative Assets/(Liabilities) available for offset | Collateral Received* | Net Amount of Derivative Assets(a) | ||||||||||||
Citibank N.A. | $ | 1,341,303 | $ | (1,174,772 | ) | $ | — | $ | 166,531 | |||||||
Deutsche Bank AG | 834,359 | (834,359 | ) | — | — | |||||||||||
Goldman Sachs | 2,515,517 | (1,610,547 | ) | — | 904,970 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 4,691,179 | $ | (3,619,678 | ) | $ | — | $ | 1,071,501 | ||||||||
|
|
|
|
|
|
|
|
Offsetting of Financial Liabilities and Derivative Liabilities:
Counterparty | Derivative Liabilities Subject to MNA | Derivative Assets/(Liabilities) available for offset | Collateral Pledged* | Net Amount of Derivative Assets(b) | ||||||||||||
Citibank N.A. | $ | (1,174,772 | ) | $ | 1,174,772 | $ | — | $ | — | |||||||
Deutsche Bank AG | (887,397 | ) | 834,359 | — | (53,038 | ) | ||||||||||
Goldman Sachs | (1,610,547 | ) | 1,610,547 | — | — | |||||||||||
JPMorgan Chase Bank | (5,416 | ) | — | — | (5,416 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (3,678,132 | ) | $ | 3,619,678 | $ | — | $ | (58,454 | ) | |||||||
|
|
|
|
|
|
|
|
(a) | Represents the net amount receivable from the counterparty in the event of default. |
(b) | Represents the net amount payable to the counterparty in the event of default. |
* | In some instances, the actual collateral received and/or pledged may be more than the derivative asset or liability due to overcollateralization. |
Emerging Markets
Offsetting of Financial Assets and Derivative Assets:
Counterparty | Derivative Assets Subject to MNA | Derivative Assets/(Liabilities) available for offset | Collateral Received* | Net Amount of Derivative Assets(a) | ||||||||||||
Goldman Sachs & Co. | $ | 33,436 | $ | (33,436 | ) | $ | — | $ | — | |||||||
Royal Bank of Scotland plc | 5,562,606 | (5,562,606 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 5,596,042 | $ | (5,596,042 | ) | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
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Notes to the Financial Statements (Continued)
September 30, 2014 (Unaudited)
Offsetting of Financial Liabilities and Derivative Liabilities:
Counterparty | Derivative Liabilities Subject to MNA | Derivative Assets/(Liabilities) available for offset | Collateral Pledged* | Net Amount of Derivative Assets(b) | ||||||||||||
Goldman Sachs & Co. | $ | (908,121 | ) | $ | 33,436 | $ | 874,685 | $ | — | |||||||
Royal Bank of Scotland plc | (9,520,965 | ) | 5,562,606 | — | (3,958,359 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (10,429,086 | ) | $ | 5,596,042 | $ | 874,685 | $ | (3,958,359 | ) | |||||||
|
|
|
|
|
|
|
|
(a) | Represents the net amount receivable from the counterparty in the event of default. |
(b) | Represents the net amount payable to the counterparty in the event of default. |
* | In some instances, the actual collateral received and/or pledged may be more than the derivative asset or liability due to overcollateralization. |
Global Low Volatility
Offsetting of Financial Assets and Derivative Assets:
Counterparty | Derivative Assets Subject to MNA | Derivative Assets/(Liabilities) available for offset | Collateral Received* | Net Amount of Derivative Assets(a) | ||||||||||||
Bank of New York | $ | 410,054 | $ | — | $ | — | $ | 410,054 | ||||||||
Goldman Sachs | 113,872 | — | — | 113,872 | ||||||||||||
HSBC Bank USA | 56,211 | — | — | 56,211 | ||||||||||||
JPMorgan Chase Bank | 150,060 | — | — | 150,060 | ||||||||||||
UBS AG | 252,449 | — | — | 252,449 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 982,646 | $ | — | $ | — | $ | 982,646 | |||||||||
|
|
|
|
|
|
|
|
(a) | Represents the net amount receivable from the counterparty in the event of default. |
* | In some instances, the actual collateral received and/or pledged may be more than the derivative asset or liability due to overcollateralization. |
(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.
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.
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Notes to the Financial Statements (Continued)
September 30, 2014 (Unaudited)
(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. The Custodian has agreed to indemnify the Funds in case of default of any security borrower. Securities on loan are fully collateralized and the collateral exceeded the securities on loan at September 30, 2014. 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, 2014 were as follows:
Market Value of Loaned Securities | Value of Cash Collateral | Value of Non-Cash Collateral | ||||||||||
Large Cap Growth | $ | 9,482,715 | $ | 9,819,336 | $ | — | ||||||
Large Cap Value | 8,517,843 | 8,777,252 | — | |||||||||
Small/Mid Cap Growth | 43,151,819 | 44,929,420 | — | |||||||||
Small/Mid Cap Value | 29,986,776 | 30,754,854 | 441,678 | |||||||||
Non-US Core Equity | 111,232,231 | 113,444,072 | 3,725,405 | |||||||||
Core Fixed | 1,699,386 | 1,738,208 | — | |||||||||
Emerging Markets | 37,788,745 | 39,219,929 | 782,131 | |||||||||
Global Low Volatility | 19,517,963 | 20,512,093 | — |
(e) Repurchase agreements
A Fund may enter into a repurchase agreement under the terms of a Master Repurchase Agreement (“MRA”) 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. As of September 30, 2014, none of the Funds held open repurchase agreements.
(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.
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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 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 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.
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 now that the potential loss can be mitigated by the posting of collateral and offsetting provisions of the ISDA. 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.
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Under the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) enacted in 2010, a new regulatory framework for certain over-the-counter (“OTC”) derivatives, such as swaps was enacted. The Dodd-Frank Act requires many swap transactions to be executed on registered exchanges or through swap execution facilities, cleared through a regulated clearinghouse, and publicly reported. In addition, many market participants will be regulated as swap dealers or swap participants, and are, or will be subject to certain minimum capital and margin requirements and business conduct standards.
Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally credit and interest 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/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, 2014, 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, 2014.
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(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.
A Fund may enter into futures transactions on domestic exchanges and, to the extent such transactions have been approved by the Commodity Futures Trading Commission (“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 operates like a swap transaction and uses equity index swaps on equity index futures. These are marked to market daily and the change in value is recorded as unrealized gain or loss in the Statement of Operations.
During the period ended September 30, 2014, Large Cap Growth, Large Cap Value, Small/Mid Cap Growth, Small/Mid Cap Value, Non-US Core Equity, Emerging Markets and Global Low Volatility used futures to equitize cash. Core Fixed and Opportunistic Fixed used futures to adjust interest rate exposure and replicate government bond positions. Emerging Markets also used futures to create passive index exposure to certain domestic emerging market country indices in the Fund. See the Large Cap Growth, Large Cap Value, Small/Mid Cap Growth, Small/Mid Cap Value, Non-US Core Equity, Core Fixed, Emerging Markets and Global Low Volatility Schedules of Investments for a listing of open futures contracts as of September 30, 2014.
(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.
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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.
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, 2014, 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 the Core Fixed Schedules of Investments for a listing of options contracts as of September 30, 2014.
Transactions in written option contracts for Core Fixed for the period ended September 30, 2014, is as follows:
Number of Contracts/ Notional Amount | Premiums Received | |||||||
Options outstanding at March 31, 2014 | 175 | $ | 23,279 | |||||
Options written | 351 | 50,702 | ||||||
Options terminated in closing purchase transactions | (175 | ) | (23,279 | ) | ||||
Options expired | (28 | ) | (1,685 | ) | ||||
|
|
|
| |||||
Options outstanding at September 30, 2014 | 323 | $ | 49,017 |
(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
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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, 2014, Large Cap Value used forward foreign currency contracts to partially hedge Japanese Yen exposure on the currency risk embedded in one ADR position. 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, Opportunistic Fixed, Emerging Markets and Global Low Volatility Schedules of Investments for a listing of open forward foreign currency contracts as of September 30, 2014.
(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 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
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prior to settlement date. See the Core Fixed Schedule of Investments for TBA sale commitments and the Opportunistic Fixed Schedule of Investments for when-issued securities held as of September 30, 2014.
(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, 2014.
(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 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 as of September 30, 2014.
(n) Mortgage dollar roll and treasury roll transactions
The Funds may sell mortgage-backed securities and simultaneously contract to repurchase substantially similar (same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, the Fund will not be entitled to receive interest and principal payments on the securities sold. The Fund accounts for mortgage dollar roll transactions as purchases and sales and realizes gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that the Fund is required to purchase may decline below the agreed upon repurchase price of those securities.
The Funds may enter into treasury roll transactions. In a treasury roll transaction the Fund sells a treasury security to a counterparty with a simultaneous agreement to repurchase the same security at an agreed upon price at a future settlement date. The Fund receives cash from the sale of the treasury security to use for other investment purposes. The difference between the sale and repurchase price represents net interest income or net interest expense. Under GAAP, the treasury roll transaction is accounted for as a financing transaction and not as a purchase or sale. During
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the term of the borrowing the Fund records the related interest income or interest expenses on an accrual basis. Treasury roll transactions involve the risk that the market value of the securities that the Fund is required to repurchase may decline below the agreed upon repurchase price of those securities.
Treasury roll transactions are entered into by the Funds under an MRA. An MRA permits the Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund. With treasury roll transactions, typically the Fund and the counterparties are permitted to sell, re-pledge, or use the collateral associated with the transaction. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, the Fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by the Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund would recognize a liability with respect to such excess collateral to reflect the Fund obligation under bankruptcy law to return the excess to the counterparty. The Funds did not hold open treasury rolls as of September 30, 2014.
(o) Bank loans
Core Fixed may invest 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, 2014, the Funds held no unfunded loan commitments.
(p) 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.
(q) Taxes and distributions
The Funds intend to qualify each year as regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended (“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 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.
(r) 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.
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(s) 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. 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 Agreement expired on June 23, 2014 and was not renewed. The Funds did not borrow under the Agreement during the period ended September 30, 2014.
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:
Investment Advisory Fee* on Net Assets | ||||||||
Average net assets up to $750 million | Average net 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% | 0.88 | %** | |||||
Small/Mid Cap Value | 0.90% | 0.88 | %** | |||||
Non-US Core Equity | 0.75% | 0.73 | % | |||||
Core Fixed | 0.35% | 0.33 | % | |||||
Opportunistic Fixed | 0.80% | 0.78 | %** | |||||
Emerging Markets | 0.80% | 0.78 | %** | |||||
Global Low Volatility | 0.75% | 0.73 | %** |
* | Consists of the total advisory fee payable by the Funds to the Advisor. The Advisor is responsible for paying the subadvisory fees. |
** | Prior to July 1, 2014, the Investment Advisory fee on average net assets in excess of $750 million was 0.90%, 0.90%, 0.80%, 0.80% and 0.75%, respectively. |
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, 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. However, Class S, Class Y-1 and Class Y-2 shares have not commenced operations.
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Notes to the Financial Statements (Continued)
September 30, 2014 (Unaudited)
As of September 30, 2014 only the Class Y-3 shares of each Fund had commenced operations.
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 in an amount necessary to limit each Fund’s total annual operating expenses to an annual rate (as a percentage of each Fund’s average daily net assets) as set forth in the table below. For the period ended September 30, 2014, the fees were reimbursed to the extent that each Fund’s class expenses exceeded the net expense rates of average daily net assets of the Fund class. These reimbursements are shown in the Reimbursement of expenses line in the Statements of Operations. The written contractual fee waiver and expense reimbursement agreement for each Fund, with the exception of Opportunistic Fixed, expired effective July 31, 2014.
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% |
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 waiver and expense reimbursement, 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 six months ended September 30, 2014, the Advisor recovered $55,146 in reimbursed expenses from Global Low Volatility.
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, 2014. The following amounts were available for recapture as of July 31, 2014.
Expenses Reimbursed in the 12-Months Ended July 31, | ||||||||||||
2012 | 2013 | 2014 | ||||||||||
Subject to Recapture until July 31, | ||||||||||||
2015 | 2016 | 2017 | ||||||||||
Large Cap Growth | $ | 243,890 | $ | 206,394 | $ | 248,632 | ||||||
Large Cap Value | 268,658 | 198,065 | 240,121 | |||||||||
Small/Mid Cap Growth | 240,500 | 85,083 | 54,175 | |||||||||
Small/Mid Cap Value | 237,686 | 84,500 | 103,551 | |||||||||
Non-US Core Equity | 1,321,132 | — | — | |||||||||
Core Fixed | 661,339 | 556,235 | 651,589 | |||||||||
Opportunistic Fixed | — | — | 253,811 | |||||||||
Emerging Markets | 83,093 | 556,088 | 556,688 | |||||||||
Global Low Volatility | — | 131,146 | — |
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Notes to the Financial Statements (Continued)
September 30, 2014 (Unaudited)
Pursuant to a transfer agency agreement with State Street Bank and Trust Co. (“SSB”), SSB has agreed to waive its fees and out of pocket expenses, up to $33,000 per month for the Funds in the aggregate. For the period ended September 30, 2014, the fees waived are shown in the Fee reductions line in the Statement of Operations.
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, 2014, were as follows:
Long-Term U.S. Government Securities | Other Long-Term Securities | |||||||
Purchases | ||||||||
Large Cap Growth | $ | — | $ | 283,283,598 | ||||
Large Cap Value | — | 84,083,152 | ||||||
Small/Mid Cap Growth | — | 127,852,338 | ||||||
Small/Mid Cap Value | — | 159,059,724 | ||||||
Non-US Core Equity | — | 1,054,487,594 | ||||||
Core Fixed | 780,715,460 | 413,712,586 | ||||||
Opportunistic Fixed | — | 138,706,150 | ||||||
Emerging Markets | — | 245,886,342 | ||||||
Global Low Volatility | — | 167,981,906 | ||||||
Sales | ||||||||
Large Cap Growth | — | 316,651,547 | ||||||
Large Cap Value | — | 129,882,566 | ||||||
Small/Mid Cap Growth | — | 148,340,421 | ||||||
Small/Mid Cap Value | — | 167,325,333 | ||||||
Non-US Core Equity | — | 946,789,221 | ||||||
Core Fixed | 268,993,172 | 413,712,586 | ||||||
Opportunistic Fixed | — | 99,088,007 | ||||||
Emerging Markets | — | 209,033,908 | ||||||
Global Low Volatility | — | 167,378,202 |
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, 2014 | Year Ended March 31, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 2,499,708 | $ | 32,236,339 | 220,686 | $ | 2,949,064 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 6,477,176 | 83,620,341 | ||||||||||||
Shares repurchased | (4,060,090 | ) | (54,216,313 | ) | (13,790,756 | ) | (196,510,818 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease | (1,560,382 | ) | $ | (21,979,974 | ) | (7,092,894 | ) | $ | (109,941,413 | ) | ||||||
|
|
|
|
|
|
|
|
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Notes to the Financial Statements (Continued)
September 30, 2014 (Unaudited)
Large Cap Value
Six Months Ended September 30, 2014 | Year Ended March 31, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 812,685 | $ | 10,336,007 | 232,374 | $ | 2,849,063 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 570,125 | 6,835,803 | ||||||||||||
Shares repurchased | (3,169,952 | ) | (41,226,874 | ) | (19,376,634 | ) | (214,892,997 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease | (2,357,267 | ) | $ | (30,890,867 | ) | (18,574,135 | ) | $ | (205,208,131 | ) | ||||||
|
|
|
|
|
|
|
|
Small/Mid Cap Growth
Six Months Ended September 30, 2014 | Year Ended March 31, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 2,699,179 | $ | 32,739,319 | 2,889,213 | $ | 37,028,139 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 5,049,172 | �� | 61,044,497 | |||||||||||
Shares repurchased | (2,872,722 | ) | (35,748,829 | ) | (13,016,216 | ) | (164,272,001 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease | (173,543 | ) | $ | (3,009,510 | ) | (5,077,831 | ) | $ | (66,199,365 | ) | ||||||
|
|
|
|
|
|
|
|
Small/Mid Cap Value
Six Months Ended September 30, 2014 | Year Ended March 31, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 2,463,158 | $ | 26,939,728 | 6,584,297 | $ | 74,869,203 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 6,815,689 | 71,632,890 | ||||||||||||
Shares repurchased through in-kind redemption* | — | — | (3,518,476 | ) | (39,406,931 | ) | ||||||||||
Shares repurchased | (1,977,244 | ) | (21,770,951 | ) | (13,337,366 | ) | (152,670,310 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 485,914 | $ | 5,168,777 | (3,455,856 | ) | $ | (45,575,148 | ) | ||||||||
|
|
|
|
|
|
|
|
* | The fund had a redemption in-kind on May 6, 2013. |
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Notes to the Financial Statements (Continued)
September 30, 2014 (Unaudited)
Non-US Core Equity
Six Months Ended September 30, 2014 | Year Ended March 31, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 21,664,842 | $ | 258,820,052 | 32,304,150 | $ | 365,809,642 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 11,990,479 | 136,931,276 | ||||||||||||
Shares repurchased through in-kind redemption* | — | — | (16,779,118 | ) | (188,093,909 | ) | ||||||||||
Shares repurchased | (9,667,085 | ) | (116,040,303 | ) | (71,884,254 | ) | (817,992,339 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 11,997,757 | $ | 142,779,749 | (44,368,743 | ) | $ | (503,345,330 | ) | ||||||||
|
|
|
|
|
|
|
|
* | The fund had a redemption in-kind on May 3, 2013. |
Core Fixed
Six Months Ended September 30, 2014 | Year Ended March 31, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 9,555,235 | $ | 101,450,378 | 18,298,152 | $ | 191,482,003 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 2,998,318 | 30,702,775 | ||||||||||||
Shares repurchased | (22,340,327 | ) | (236,095,717 | ) | (20,376,062 | ) | (211,810,617 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (12,785,092 | ) | $ | (134,645,339 | ) | 920,408 | $ | 10,374,161 | ||||||||
|
|
|
|
|
|
|
|
Opportunistic Fixed
Six Months Ended September 30, 2014 | Period from August 21, 2013 (commencement of operations) through March 31, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 5,891,481 | $ | 62,354,040 | 25,054,617 | $ | 253,754,909 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 223,977 | 2,280,082 | ||||||||||||
Shares repurchased | (3,358,077 | ) | (36,002,445 | ) | (305,258 | ) | (3,148,606 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 2,533,404 | $ | 26,351,595 | 24,973,336 | $ | 252,886,385 | ||||||||||
|
|
|
|
|
|
|
|
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Notes to the Financial Statements (Continued)
September 30, 2014 (Unaudited)
Emerging Markets
Six Months Ended September 30, 2014 | Year Ended March 31, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 10,787,546 | $ | 112,607,192 | 42,700,320 | $ | 421,595,439 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 1,401,471 | 13,888,576 | ||||||||||||
Shares repurchased | (7,346,690 | ) | (79,191,040 | ) | (7,061,813 | ) | (71,130,846 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 3,440,856 | $ | 33,416,152 | 37,039,978 | $ | 364,353,169 | ||||||||||
|
|
|
|
|
|
|
|
Global Low Volatility
Six Months Ended September 30, 2014 | Year Ended March 31, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 9,577,113 | $ | 119,463,512 | 40,641,924 | $ | 462,693,554 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 2,435,648 | 28,570,158 | ||||||||||||
Shares repurchased | (3,750,497 | ) | (46,893,322 | ) | (9,468,727 | ) | (111,439,468 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 5,826,616 | $ | 72,570,190 | 33,608,845 | $ | 379,824,244 | ||||||||||
|
|
|
|
|
|
|
|
8. | Federal income taxes |
As of September 30, 2014, 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 | $ | 320,795,500 | $ | 46,529,637 | $ | (5,972,306 | ) | $ | 40,557,331 | |||||||
Large Cap Value | 301,716,110 | 63,636,862 | (2,808,842 | ) | 60,828,020 | |||||||||||
Small/Mid Cap Growth | 391,444,403 | 52,782,185 | (9,983,317 | ) | 42,798,868 | |||||||||||
Small/Mid Cap Value | 408,859,991 | 22,481,361 | (21,792,536 | ) | 688,825 | |||||||||||
Non-US Core Equity | 1,965,277,611 | 180,261,853 | (64,323,408 | ) | 115,938,445 | |||||||||||
Core Fixed | 1,004,396,648 | 18,909,088 | (5,601,382 | ) | 13,307,706 | |||||||||||
Opportunistic Fixed | 290,002,307 | 1,181,103 | (11,694,625 | ) | (10,513,522 | ) | ||||||||||
Emerging Markets | 944,697,834 | 66,573,043 | (47,083,571 | ) | 19,489,472 | |||||||||||
Global Low Volatility | 752,307,097 | 70,608,370 | (24,141,772 | ) | 46,466,598 |
9. | Recent accounting pronouncement |
In June 2014, The Financial Accounting Standards Board (FASB) issued ASU 2014-11 Transfers & Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures to improve the financial reporting of repurchase agreements and other similar transactions. The guidance includes expanded disclosure requirements for entities that enter into repurchase agreements or securities lending transactions. The guidance is effective for financial statements with fiscal years beginning on or after January 1, 2015, and interim periods within those fiscal years. Management is evaluating the impact, if any, of this guidance on the Fund’s financial statement disclosures.
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Notes to the Financial Statements (Continued)
September 30, 2014 (Unaudited)
10. | Subsequent events |
Management has evaluated the impact of subsequent events through November 20, 2014, 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.
11. | 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.
12. | 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.
13. | Board Approval of the Investment Management Agreement for the Funds and Subadvisory Agreements for the Funds during the period April 1, 2014 through September 30, 2014 |
June 9-10, 2014 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 Global Low Volatility Equity Fund
Mercer Core Fixed Income Fund
Mercer Opportunistic 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 9-10, 2014 (the “June 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”) (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”): 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/Mid Cap Growth Fund”), Mercer US Small/Mid Cap Value Equity Fund (“Small/Mid Cap Value Fund”), Mercer Non-US Core Equity Fund (“Non-US Fund”), Mercer Emerging Markets Equity Fund (“Emerging Markets Fund”), Mercer Global Low Volatility Equity Fund (“Global Low Volatility Fund”), Mercer Core Fixed Income Fund (“Core Fixed Income Fund”), and Mercer Opportunistic Fixed Income Fund (“Opportunistic Fixed Income 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 Meeting, including: (i) the Investment Management Agreement, with respect to the Advisor’s management of the assets of each Fund; (ii) information
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Notes to Financial Statements (Continued)
September 30, 2014 (Unaudited)
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., an independent, nationally recognized provider of investment company data (the “Lipper Report”); (iii) information regarding the Advisor’s business and operations; financial position; portfolio management 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 Fund, and that were identified by Lipper 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 in the Lipper Report; and (vi) 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 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 addition, the Board considered presentations made by, and discussions held with, representatives of the Advisor. The Board considered and analyzed factors that the Board deemed relevant with respect to the Advisor, including: the nature, extent, and quality of the services that were provided to the Funds by the Advisor; the Advisor’s investment management personnel and operations; the performance of the Funds; the Funds’ expense levels; the profitability to the Advisor under the Investment Management Agreement for each Fund at certain asset levels, and the various current profitability levels of the Funds; any ancillary benefits to the Advisor and its affiliates of the Advisor’s relationship with the Funds; and the effect of asset growth on the Funds’ expenses. The Board also considered the nature, extent, and quality of the non-advisory services that the Advisor and its affiliates provided to the Funds. Additionally, the Independent Trustees received assistance and advice regarding legal and industry standards and reviewed materials supplied by their independent legal counsel.
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 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.
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Mercer Funds
Notes to Financial Statements (Continued)
September 30, 2014 (Unaudited)
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 Trust’s Chief Compliance Officer (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.
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 its 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 for certain of the Subadvisors, which results in a benefit to the Advisor.
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 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.
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(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. The Board discussed that the advisory fee schedule for each Fund which would now include 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 Meeting. In reviewing the performance of the Funds, the Board first considered the performance of each respective Fund since inception as compared to the comparable funds of their respective performance universes as included in the Lipper Report, noting that: the performance of the Large Cap Growth Fund fell within the second quintile: the Large Cap Value Fund’s performance fell within the fourth quintile; the performance of the Small/Mid Cap Growth Fund fell within the third quintile: the performance of the Small/Mid Cap Value Fund fell within the fifth quintile; the performance of the Non-US Fund fell within the third quintile; the Emerging Markets Fund’s performance fell within the third quintile; the Global Low Volatility Fund’s performance fell within the fifth quintile; the Core Fixed Income Fund’s performance fell within the second quintile; and the Opportunistic Fixed Income Fund’s performance fell within the first quintile. 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 the second and third quintiles of the performance universe across the five annual and since inception measurement periods. The Board also considered that the Large Cap Growth Fund’s performance was better than its peer group average for the one-year period and since inception but below its peer group average for the three- and five- year periods.
In the case of the Large Cap Value Fund, the Board noted that the Fund’s performance for the five annual measurement periods placed it in the first quintile of its peer universe, which was a significant improvement from its since inception fourth quintile performance. The Board considered that the Large Cap Value Fund’s performance was better than its peer group average for the one-, three- and five- year periods but below its peer group average for the since inception measurement period.
In the case of the Small/Mid Cap Growth Fund, the Board noted that the Fund’s performance fell within the third and fourth quintiles of the performance universe across the five annual and since inception measurement periods. The Board also considered that the Small/Mid Cap Growth Fund’s performance was better than its peer group average for the five- year period but below its peer group average for the one-, three-year and since inception measurement periods.
In the case of the Small/Mid Cap Value Fund, it was noted that Fund’s performance fell within the third and fourth quintiles across the five annual measurement periods and in the fifth quintile for the since inception measurement period. The Board also considered that the Small/Mid Cap Value Fund’s performance was better than its peer group average for the three- and five- year periods but below its peer group average for the one-year and since inception measurement periods.
In the case of the Non-US Core Fund, the Board noted that the Fund’s performance fell within the first quintile across the five annual measurement periods and in the third quintile for the since inception measurement period. The Board also considered that the Non-US Core Fund’s performance was better than its peer group average for the one- and five- year periods but below its peer group average for the three-year and since inception measurement periods.
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In case of the Emerging Markets Fund, the Board took note of the fact that the Fund commenced operations in May of 2012. It was noted that performance fell within the third quintile for the one-year and since inception measurement periods. The Board also considered that the Emerging Markets Fund’s performance was below its peer group average for the one-year and since inception measurement periods but that the Fund’s performance was near the peer group median for the since inception measurement period.
In case of the Global Low Volatility Fund, the Board took note of the fact that the Fund commenced operations in November of 2012. It was noted that performance fell within the fourth quintile for the one-year measurement period and in the fifth quintile for the since inception measurement period. The Board also considered that the Global Low Volatility Fund’s performance was below its peer group average for the one-year and since inception measurement periods.
In the case of the Core Fixed Income Fund, the Board noted that the Fund’s performance was in the first and second quintiles across the five annual measurement periods and in the second quintile for the since inception measurement period. The Board also considered that the Non-US Fund’s performance was better than its peer group average for the one-year period but below its peer group average for the three- and five-year and since inception measurement periods.
In the case of the Opportunistic Fixed Income Fund, the Board took note of the fact that the Fund commenced operations in August of 2013. It was noted that performance fell within the first quintile for the since inception measurement period. The Board also considered that the Opportunistic Fixed Income Fund’s performance was better than its peer group average for the since inception measurement period.
On this basis, the Board concluded that the Advisor’s performance in managing each Fund indicated that the Advisor’s continued management will benefit each 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. It was noted that the Trustees had taken into consideration the fees charged by the investment advisors to the investment companies included in the Funds’ peer groups 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 Funds and their shareholders, and they approved the renewal of 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 Global Low Volatility Equity Fund
Mercer Core Fixed Income Fund
Renewal of the Subadvisory Agreements for the Funds
At the June 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 (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 and Palisade Capital Management, L.L.C. (in the case of the Small/Mid Cap Growth Fund); NWQ Investment Management Company, LLC, River Road Asset Management, LLC, and Systematic Financial Management, L.P. (in the case of the Small/Mid Cap Value Fund); Arrowstreet Capital,
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Limited Partnership, Massachusetts Financial Services Company, 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); Acadian Asset Management LLC, First Eagle Investment Management, and MFG Asset Management (in the case of the Global Low Volatility Fund); and Dodge & Cox (in the case of the Core Fixed Income 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 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 and investment decision-making process; 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. The Board also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with each of the Subadvisors, which includes extensive management and compliance due diligence with respect to the management and operations of each of the Subadvisors. 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
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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 each Fund’s Subadvisors.
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 adequate and 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 the Subadvisor and its affiliates from the Subadvisor’s relationship with the Funds. 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 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 which results in a benefit to the Advisor. 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 in relation to the services to be provided by each Subadvisor.
(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 based upon the level and quality of services provided.
(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 and the Vontobel 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.
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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 each Subadvisor continued to be reasonable in relation to the services that were provided by each of the Subadvisors to the 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 renewal of each of the Subadvisory Agreements.
Mercer Emerging Markets Equity Fund
Mercer Opportunistic Fixed Income Fund
Approval of a New Subadvisory Agreement for the Funds
At the June Meeting, the Trustees, including the Independent Trustees, considered and approved a proposed amended and restated subadvisory agreement (the “Amended and Restated Investec Subadvisory Agreement”) between the Advisor and Investec Asset Management Ltd. (“IAML”) on behalf of each of the Mercer Emerging Markets Equity Fund (the “Emerging Markets Fund”) and the Mercer Opportunistic Fixed Income Fund (the “Opportunistic Fixed Income Fund”). As part of a reorganization (the “Investec Reorganization”), Investec Asset Management US Ltd. (“IAM US”) transferred its rights, obligations and duties under the current investment subadvisory agreement, dated July 1, 2013, amended as of October 29, 2013, by and between the Advisor and IAM US (the “Current Investec Subadvisory Agreement”) to IAML, its direct affiliate. Accordingly, the Board approved the Amended and Restated Investec Subadvisory Agreement pursuant to which IAML replaced IAM US under the Current Investec Subadvisory Agreement.
In considering the approval of the Amended and Restated Investec Subadvisory Agreement, the Board considered the information and materials from the Advisor, IAML and counsel, that included, as to IAML and each of the Emerging Markets Fund and Opportunistic Fixed Income Fund: (i) the proposed Amended and Restated Investec Subadvisory Agreement; (ii) information regarding the process by which the Advisor had initially reviewed, selected, and recommended IAML US for the Board’s approval, and the Advisor��s rationale for continuing to retain IAML as a subadvisor following the closing of the Investec Reorganization; (iii) the nature, extent, and quality of the services that IAML US had previously provided and that IAML expects to provide to each of the Emerging Markets Fund and Opportunistic Fixed Income Fund; (iv) the investment management business, portfolio management personnel, operations, prior investment experience, and reputation of IAML, and the effect that the Investec Reorganization may have on IAML’s business and operations; (v) IAML’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by IAML for its services to each of the Emerging Markets Fund and Opportunistic Fixed Income Fund; (vii) a summary of IAML’s compliance program; (viii) information regarding IAML’s historical performance returns managing its allocated portion of each of the Emerging Markets Fund’s and Opportunistic Fixed Income Fund’s portfolio and investment mandates similar to each of the Emerging Markets Fund’s and Opportunistic Fixed Income Fund’s investment mandate, and a comparison of such performance to a relevant index; and (ix) the financial condition of IAML before and after the Investec Reorganization.
In addition, the Board considered presentations made by, and discussions held with, representatives of the Advisor. The Board considered and analyzed factors that the Board deemed relevant with respect to IAML, including: the nature, extent, and quality of the services to be provided to each of the Emerging Markets Fund and Opportunistic Fixed Income Fund by IAML following the consummation of the Investec Reorganization; IAML’s management style and investment decision-making process; IAML’s historical performance record managing investment products similar to each of the Emerging Markets Fund and Opportunistic Fixed Income Fund; the qualifications and experience of the members of IAML’s portfolio management teams; and IAML’s staffing levels and overall resources. The Board also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with each of the subadvisors, which includes extensive management and compliance due diligence with respect to the management and operations of each of the subadvisors. Additionally, the Independent Trustees received assistance and advice regarding legal and industry standards and reviewed materials supplied by their independent legal counsel.
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In particular, and as to IAML, the Board, including the Independent Trustees, considered the following factors:
(a) The nature, extent, and quality of the services to be provided by IAML. The Board reviewed the nature, extent, and quality of the services that have been previously provided by IAML US to each of the Emerging Markets Fund and Opportunistic Fixed Income Fund under the prior Investec Subadvisory Agreement and that are proposed to be provided by IAML to each of the Emerging Markets Fund and Opportunistic Fixed Income Fund under the Amended and Restated Investec Subadvisory Agreement. The Board considered: (i) IAML’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 each of the Emerging Markets Fund and Opportunistic Fixed Income Fund and other similar investment portfolios and the performance history of each of the Emerging Markets Fund and Opportunistic Fixed Income Fund and those other portfolios; (iii) its investment strategy for each of the Emerging Markets Fund and Opportunistic Fixed Income 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 each of the Emerging Markets Fund and Opportunistic Fixed Income Fund by IAML after consummation of the Investec Reorganization. The Board also noted that the executive and portfolio management teams of IAML were expected to stay in place after consummation of the Investec Reorganization. The Board concluded that each of the Emerging Markets Fund and Opportunistic Fixed Income Fund and their respective shareholders would continue to benefit from the quality and experience of IAML’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 IAML US under the prior Investec Subadvisory Agreement, as well as IAML’s ability to render such services based on its experience, operations and resources, were adequate and appropriate for each of the Emerging Markets Fund and Opportunistic Fixed Income Fund in light of each of the Emerging Markets Fund’s and Opportunistic Fixed Income Fund’s investment objectives, and supported a decision to approve the Amended and Restated Investec Subadvisory Agreement.
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 IAML following the Investec Reorganization, as well as IAML’s ability to render such services based on IAML’s experience, operations, and resources, were appropriate for each of the Emerging Markets Fund and Opportunistic Fixed Income Fund, in light of each of the Emerging Markets Fund’s and Opportunistic Fixed Income Fund’s investment objectives, and the mandate relating to the allocated portion of each of the Emerging Markets Fund’s and Opportunistic Fixed Income Fund’s investment portfolio that IAML would continue to manage.
(b) Comparison of the services to be rendered and fees to be paid to IAML under other advisory and subadvisory contracts, such as those with other clients. The Trustees discussed the services that would be rendered by IAML and evaluated the compensation to be paid to IAML by the Advisor for those services. The Trustees considered the proposed new fees payable under the Amended and Restated Investec Subadvisory Agreement, noting that the proposed fee would be paid by the Advisor, and not each of the Emerging Markets Fund and Opportunistic Fixed Income Fund, and, thus, would not impact the fees paid by each of the Emerging Markets Fund and Opportunistic Fixed Income Fund. The Board concluded that the proposed fee payable to IAML by the Advisor with respect to the assets allocated to IAML in its capacity as subadvisor was reasonable in relation to the services expected to be provided by IAML. The Trustees noted that the services that IAML would furnish to each of the Emerging Markets Fund and Opportunistic Fixed Income Fund appeared to be comparable to the services that IAML currently provides to its other advisory and subadvisory clients having similar investment strategies. The Trustees also considered that the fees agreed to by IAML were the result of an arm’s length bargain negotiated by unaffiliated parties.
The Trustees also noted that, while IAML’s fee schedule did include breakpoints, 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 Board.
The Board considered the review, selection, and due diligence process employed by the Advisor, as discussed at the Meeting, in determining to recommend that IAML continue to serve as a subadvisor to each of the Emerging Markets Fund and Opportunistic Fixed Income Fund, and the Advisor’s reasons for concluding that the subadvisory
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fees to be paid by the Advisor to IAML for its services to each of the Emerging Markets Fund and Opportunistic Fixed Income Fund were reasonable. The Board emphasized in their discussions that the subadvisory fees of IAML would be paid by the Advisor, and were not additional fees to be borne by each of the Emerging Markets Fund and Opportunistic Fixed Income Fund or their respective 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 IAML with respect to the assets of each of the Emerging Markets Fund and Opportunistic Fixed Income Fund allocated to IAML appeared to be reasonable in relation to the services expected to be provided by IAML. The Board also considered the potential “fallout” or ancillary benefits that may accrue to IAML from its relationship with each of the Emerging Markets Fund and Opportunistic Fixed Income Fund and concluded that they were reasonable
Since the fees to be paid to IAML 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 IAML was not considered relevant to the Board’s deliberations. The Board took note of the Advisor’s explanation, earlier in the Meeting, that the recommended appointment of IAML was not affected by the impact that the appointment would have on the Advisor’s revenues and profitability. 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 IAML and the proposed fees to be paid to IAML by the Advisor for managing its allocated portion of each of the Emerging Markets Fund and Opportunistic Fixed Income Fund, the potential benefits accruing to IAML as a result of serving as a Subadvisor to each of the Emerging Markets Fund and Opportunistic Fixed Income Fund were reasonable in relation to the services expected to be provided by IAML to each of the Emerging Markets Fund and Opportunistic Fixed Income Fund.
(c) Investment performance of each of the Emerging Markets Fund and Opportunistic Fixed Income Fund and IAML. The Trustees considered IAML US’s prior investment performance in managing its allocated portion of each of the Emerging Markets Fund’s and Opportunistic Fixed Income Fund’s portfolio as a factor in evaluating the Amended and Restated Investec Subadvisory Agreement. The Trustees also considered the Advisor’s conclusions, and the reasons supporting the Advisor’s conclusions, that the performance record of IAML US supported the approval of the Amended and Restated Investec Subadvisory Agreement.
Conclusion. Following consideration of the foregoing factors, it was reported that no single factor was determinative to the Trustees’ decisions. Based on these factors, along with the determination of the Advisor at the conclusion of its review, selection, and due diligence process to recommend that IAML serve as a subadvisor to each of the Emerging Markets Fund and Opportunistic Fixed Income Fund, and such other matters as were deemed relevant, the Trustees concluded that the proposed fee rate for IAML was reasonable in relation to the services that were expected to be provided to each of the Emerging Markets Fund and Opportunistic Fixed Income Fund. As a result, the Board, including all of the Independent Trustees, concluded that the approval of the Amended and Restated Investec Subadvisory Agreement was in the best interests of each of the Emerging Markets Fund and Opportunistic Fixed Income Fund and their shareholders and approved the Amended and Restated Investec Subadvisory Agreement.
Mercer US Small/Mid Cap Value Equity Fund
Approval of a New Subadvisory Agreement for the Fund
At the June Meeting, the Board, including the Independent Trustees, considered and approved a new subadvisory agreement (the “Proposed New River Road Subadvisory Agreement”) entered into by the Advisor and River Road Asset Management, LLC (“River Road”), with respect to the Mercer US Small/Mid Cap Value Equity Fund (the “Small/Mid Cap Value Fund”). Due to an anticipated change in the ownership of River Road (the “River Road Transaction”), the prior subadvisory agreement between River Road and the Advisor, on behalf of the Small/Mid Cap Value Fund (the “Prior River Road Subadvisory Agreement”), was expected to terminate effective upon the closing of the River Road Transaction, and therefore, the Board approved the Proposed New River Road Subadvisory Agreement to replace the Prior River Road Subadvisory Agreement.
In considering the approval of the Proposed New River Road Subadvisory Agreement, the Board considered the information and materials from the Advisor, River Road and counsel, that included, as to River Road and the
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Small/Mid Cap Value Fund: (i) the Proposed New River Road Subadvisory Agreement; (ii) information regarding the process by which the Advisor had initially reviewed, selected, and recommended River Road for the Board’s approval, and the Advisor’s rationale for continuing to retain River Road as a subadvisor following the closing of the River Road Transaction; (iii) the nature, extent, and quality of the services that River Road has previously provided to the Small/Mid Cap Value Fund; (iv) the investment management business, portfolio management personnel, operations, prior investment experience, and reputation of River Road, and the effect that the River Road Transaction may have on River Road’s business and operations; (v) River Road’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by River Road for its services to the Small/Mid Cap Value Fund; (vii) a summary of River Road’s compliance program; (viii) information regarding River Road’s historical performance returns managing its allocated portion of the Small/Mid Cap Value Fund’s portfolio and investment mandates similar to the Small/Mid Cap Value Fund’s investment mandate, and a comparison of such performance to a relevant index; and (ix) the financial condition of River Road before and after the River Road Transaction.
In addition, the Board considered presentations made by, and discussions held with, representatives of the Advisor. The Board considered and analyzed factors that the Board deemed relevant with respect to River Road, including: the nature, extent, and quality of the services to be provided to the Small/Mid Cap Value Fund by River Road following the consummation of the River Road Transaction; River Road’s management style and investment decision-making process; River Road’s historical performance record managing investment products similar to the Small/Mid Cap Value Fund; the qualifications and experience of the members of River Road’s portfolio management team; and River Road’s staffing levels and overall resources. The Board also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with each of the subadvisors, which includes extensive management and compliance due diligence with respect to the management and operations of each of the subadvisors. 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 River Road, the Board, including the Independent Trustees, considered the following factors:
(a) The nature, extent, and quality of the services to be provided by River Road. The Board reviewed the nature, extent, and quality of the services that have been previously provided by River Road to the Small/Mid Cap Value Fund under the Prior River Road Subadvisory Agreement and that are proposed to be provided by River Road to the Small/Mid Cap Value Fund under the Proposed New River Road Subadvisory Agreement. The Board considered: (i) River Road’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 Small/Mid Cap Value Fund and other similar investment portfolios and the performance history of the Small/Mid Cap Value Fund and those other portfolios; (iii) its investment strategy for the Small/Mid Cap Value 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 Small/Mid Cap Value Fund by River Road after consummation of the River Road Transaction. The Board also noted that the executive and portfolio management teams of River Road were expected to stay in place after consummation of the River Road Transaction. The Board concluded that the Small/Mid Cap Value Fund and its shareholders would continue to benefit from the quality and experience of River Road’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 River Road under the Prior River Road Subadvisory Agreement, as well as River Road’s ability to render such services based on its experience, operations and resources, were adequate and appropriate for the Small/Mid Cap Value Fund in light of the Small/Mid Cap Value Fund’s investment objective, and supported a decision to approve the Proposed New River Road Subadvisory Agreement.
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 River Road following the River Road Transaction, as well as River Road’s ability to render such services based on River Road’s experience, operations, and resources, were appropriate for the Small/Mid Cap Value Fund, in light of the Small/Mid Cap Value Fund’s
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investment objective, and the mandate relating to the allocated portion of the Small/Mid Cap Value Fund’s investment portfolio that River Road would continue to manage.
(b) Comparison of the services to be rendered and fees to be paid to River Road under other advisory and subadvisory contracts, such as those with other clients. The Trustees discussed the services that would be rendered by River Road and evaluated the compensation to be paid to River Road by the Advisor for those services. The Trustees considered the fees payable under the proposed New River Road Subadvisory Agreement, noting that the proposed fee would be paid by the Advisor, and not the Small/Mid Cap Value Fund, and, thus, would not impact the fees paid by the Small/Mid Cap Value Fund. The Board concluded that the proposed fee payable to River Road by the Advisor with respect to the assets allocated to River Road in its capacity as subadvisor was reasonable in relation to the services expected to be provided by River Road. The Trustees noted that the services that River Road would furnish to the Small/Mid Cap Value Fund appeared to be comparable to the services that River Road currently provides to its other advisory and subadvisory clients having similar investment strategies. The Trustees also considered that the fees agreed to by River Road were the result of an arm’s length bargain negotiated by unaffiliated parties.
The Trustees also noted that, while River Road’s fee schedule did include breakpoints, 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.
The Board considered the review, selection, and due diligence process employed by the Advisor, as discussed at the Meeting, in determining to recommend that River Road continue to serve as a Subadvisor to the Small/Mid Cap Value Fund, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by the Advisor to River Road for its services to the Small/Mid Cap Value Fund were reasonable. The Board emphasized in their discussions that the subadvisory fees of River Road would be paid by the Advisor, and were not additional fees to be borne by the Small/Mid Cap Value 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 River Road with respect to the assets of the Small/Mid Cap Value Fund allocated to River Road appeared to be reasonable in relation to the services expected to be provided by River Road. The Board also considered the potential “fallout” or ancillary benefits that may accrue to River Road from its relationship with the Small/Mid Cap Value Fund and concluded that they were reasonable.
Since the fees to be paid to River Road 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 River Road was not considered relevant to the Board’s deliberations. The Board took note of the Advisor’s explanation that the recommended appointment of River Road was not affected by the impact that the appointment would have on the Advisor’s revenues and profitability. 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 River Road and the proposed fees to be paid to River Road by the Advisor for managing its allocated portion of the Small/Mid Cap Value Fund, the potential benefits accruing to River Road as a result of serving as a Subadvisor to the Small/Mid Cap Value Fund were reasonable in relation to the services expected to be provided by River Road to the Small/Mid Cap Value Fund.
(c) Investment performance of the Small/Mid Cap Value Fund and River Road. The Trustees considered River Road’s prior investment performance in managing its allocated portion of the Small/Mid Cap Value Fund’s portfolio as a factor in evaluating the Proposed New River Road Subadvisory Agreement. The Trustees also considered the Advisor’s conclusions, and the reasons supporting the Advisor’s conclusions, that the performance record of River Road supported the approval of the Proposed New River Road Subadvisory Agreement.
Conclusion. Following consideration of the foregoing factors, it was reported that no single factor was determinative to the Trustees’ decisions. Based on these factors, along with the determination of the Advisor at the conclusion of its review, selection, and due diligence process to recommend that River Road continue to serve as a subadvisor to the Small/Mid Cap Value Fund, and such other matters as were deemed relevant, the Trustees concluded that the proposed fee rate for River Road was reasonable in relation to the services that were expected to be provided to the Small/Mid Cap Value Fund. As a result, the Board, including all of the Independent Trustees,
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concluded that the approval of the Proposed New River Road Subadvisory Agreement was in the best interests of the Small/Mid Cap Value Fund and its shareholders and approved the Proposed New River Road Subadvisory Agreement.
Mercer US Small/Mid Cap Value Equity Fund
Approval of a New Subadvisory Agreement for the Fund
At the June Meeting, the Board, including the Independent Trustees, considered and approved a new subadvisory agreement (the “Proposed New NWQ Subadvisory Agreement”) entered into by the Advisor and NWQ Investment Management Company, LLC (“NWQ”), with respect to the Mercer US Small/Mid Cap Value Equity Fund (the “Small/Mid Cap Value Fund”). Due to an anticipated change in the ownership of NWQ and its corporate parent (the “NWQ Transaction”), the prior subadvisory agreement between NWQ and the Advisor, on behalf of the Small/Mid Cap Value Fund (the “Prior NWQ Subadvisory Agreement”), was expected to terminate effective upon the closing of the NWQ Transaction, and therefore, the Board approved the Proposed New NWQ Subadvisory Agreement, to replace the Prior NWQ Subadvisory Agreement.
In considering the approval of the Proposed New NWQ Subadvisory Agreement, the Board considered the information and materials from the Advisor, NWQ and counsel, that included, as to NWQ and the Small/Mid Cap Value Fund: (i) the Proposed New NWQ Subadvisory Agreement; (ii) information regarding the process by which the Advisor had initially reviewed, selected, and recommended NWQ for the Board’s approval, and the Advisor’s rationale for continuing to retain NWQ as a Subadvisor following the closing of the NWQ Transaction; (iii) the nature, extent, and quality of the services that NWQ has previously provided to the Small/Mid Cap Value Fund; (iv) the investment management business, portfolio management personnel, operations, prior investment experience, and reputation of NWQ, and the effect that the NWQ Transaction may have on NWQ’s business and operations; (v) NWQ’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by NWQ for its services to the Small/Mid Cap Value Fund; (vii) a summary of NWQ’s compliance program; (viii) information regarding NWQ’s historical performance returns managing its allocated portion of the Small/Mid Cap Value Fund’s portfolio and investment mandates similar to the Small/Mid Cap Value Fund’s investment mandate, and a comparison of such performance to a relevant index; and (ix) the financial condition of NWQ before and after the NWQ Transaction.
In addition, the Board considered presentations made by, and discussions held with, representatives of the Advisor. The Board considered and analyzed factors that the Board deemed relevant with respect to NWQ, including: the nature, extent, and quality of the services to be provided to the Small/Mid Cap Value Fund by NWQ following the consummation of the NWQ Transaction; NWQ’s management style and investment decision-making process; NWQ’s historical performance record managing investment products similar to the Small/Mid Cap Value Fund; the qualifications and experience of the members of NWQ’s portfolio management team; and NWQ’s staffing levels and overall resources. The Board also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with each of the subadvisors, which includes extensive management and compliance due diligence with respect to the management and operations of each of the subadvisors. Additionally, the Board received assistance and advice regarding legal and industry standards and reviewed materials supplied by their independent legal counsel.
In particular, and as to NWQ, the Board, including the Independent Trustees, considered the following factors:
(a) The nature, extent, and quality of the services to be provided by NWQ. The Board reviewed the nature, extent, and quality of the services that have been previously provided by NWQ to the Small/Mid Cap Value Fund under the Prior NWQ Subadvisory Agreement and that are proposed to be provided by NWQ to the Small/Mid Cap Value Fund under the Proposed New NWQ Subadvisory Agreement. The Board considered: (i) NWQ’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 Small/Mid Cap Value Fund and other similar investment portfolios and the performance history of the Small/Mid Cap Value Fund and those other portfolios; (iii) its investment strategy for the Small/Mid Cap Value Fund; (iv) its performance relative to comparable mutual funds and
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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 Small/Mid Cap Value Fund by NWQ after consummation of the NWQ Transaction. The Board also noted that the executive and portfolio management teams of NWQ were expected to stay in place after consummation of the NWQ Transaction. The Board concluded that the Small/Mid Cap Value Fund and its shareholders would continue to benefit from the quality and experience of NWQ’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 NWQ under the Prior NWQ Subadvisory Agreement, as well as NWQ’s ability to render such services based on its experience, operations and resources, were adequate and appropriate for the Small/Mid Cap Value Fund in light of the Small/Mid Cap Value Fund’s investment objective, and supported a decision to approve the Proposed New NWQ Subadvisory Agreement.
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 NWQ following the NWQ Transaction, as well as NWQ’s ability to render such services based on NWQ’s experience, operations, and resources, were appropriate for the Small/Mid Cap Value Fund, in light of the Small/Mid Cap Value Fund’s investment objective, and the mandate relating to the allocated portion of the Small/Mid Cap Value Fund’s investment portfolio that NWQ would continue to manage.
(b) Comparison of the services to be rendered and fees to be paid to NWQ under other advisory and subadvisory contracts, such as those with other clients. The Trustees discussed the services that would be rendered by NWQ and evaluated the compensation to be paid to NWQ by the Advisor for those services. The Trustees considered the proposed new fees payable under the Proposed New NWQ Subadvisory Agreement, noting that the proposed fee would be paid by the Advisor, and not the Small/Mid Cap Value Fund, and, thus, would not impact the fees paid by the Small/Mid Cap Value Fund. The Board concluded that the proposed fee payable to NWQ by the Advisor with respect to the assets allocated to NWQ in its capacity as Subadvisor was reasonable in relation to the services expected to be provided by NWQ. The Trustees noted that the services that NWQ would furnish to the Small/Mid Cap Value Fund appeared to be comparable to the services that NWQ currently provides to its other advisory and subadvisory clients having similar investment strategies. The Trustees also considered that the fees agreed to by NWQ were the result of an arm’s length bargain negotiated by unaffiliated parties.
The Board considered the review, selection, and due diligence process employed by the Advisor, as discussed at the Meeting, in determining to recommend that NWQ continue to serve as a Subadvisor to the Small/Mid Cap Value Fund, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by the Advisor to NWQ for its services to the Small/Mid Cap Value Fund were reasonable. The Board emphasized in their discussions that the subadvisory fees of NWQ would be paid by the Advisor, and were not additional fees to be borne by the Small/Mid Cap Value 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 NWQ with respect to the assets of the Small/Mid Cap Value Fund allocated to NWQ appeared to be reasonable in relation to the services expected to be provided by NWQ. The Board also considered the potential “fallout” or ancillary benefits that may accrue to NWQ from its relationship with the Small/Mid Cap Value Fund and concluded that they were reasonable.
Since the fees to be paid to NWQ 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 NWQ was not considered relevant to the Board’s deliberations. The Board took note of the Advisor’s explanation that the recommended appointment of NWQ was not affected by the impact that the appointment would have on the Advisor’s revenues and profitability. 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 NWQ and the proposed fees to be paid to NWQ by the Advisor for managing its allocated portion of the Small/Mid Cap Value Fund, the potential benefits accruing to NWQ as a result of serving as a Subadvisor to the Small/Mid Cap Value Fund were reasonable in relation to the services expected to be provided by NWQ to the Small/Mid Cap Value Fund.
(c) Investment performance of the Small/Mid Cap Value Fund and NWQ. The Trustees considered NWQ’s prior investment performance in managing its allocated portion of the Small/Mid Cap Value Fund’s portfolio as a factor
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in evaluating the Proposed New NWQ Subadvisory Agreement. The Trustees also considered the Advisor’s conclusions, and the reasons supporting the Advisor’s conclusions, that the performance record of NWQ supported the approval of the Proposed New NWQ Subadvisory Agreement.
Conclusion. Following consideration of the foregoing factors, it was reported that no single factor was determinative to the Trustees’ decisions. Based on these factors, along with the determination of the Advisor at the conclusion of its review, selection, and due diligence process to recommend that NWQ continue to serve as a Subadvisor to the Small/Mid Cap Value Fund, and such other matters as were deemed relevant, the Trustees concluded that the proposed fee rate for NWQ was reasonable in relation to the services that were expected to be provided to the Small/Mid Cap Value Fund. As a result, the Board, including all of the Independent Trustees, concluded that the approval of the Proposed New NWQ Subadvisory Agreement was in the best interests of the Small/Mid Cap Value Fund and its shareholders and approved the Proposed New NWQ Subadvisory Agreement.
April 29, 2014 Board Meeting
Mercer US Small/Mid Cap Growth Equity Fund
Approval of a New Subadvisory Agreement for the Fund
At a meeting of the Board of Trustees held on April 29, 2014 (the “April Meeting”), the Trustees, including the Independent Trustees, considered and approved the proposed subadvisory agreement (the “Proposed Jackson Square Subadvisory Agreement”) between the Advisor and Jackson Square Partners, LLC (“Jackson Square”) with respect to the Mercer US Small/Mid Cap Growth Equity Fund (the “Small/Mid Cap Growth Fund”). The Board’s consideration of the approval of the Proposed Jackson Square Subadvisory Agreement was necessitated by the fact that the portfolio management team previously of Delaware Investments Fund Advisers (“DIFA”) that was responsible for managing DIFA’s allocated portion of the Small/Mid Cap Growth Fund (the “Focus Growth Team”), had formed Jackson Square as a new separate investment advisory firm, and the Advisor had recommended to the Board the approval of Jackson Square as a new subadvisor to the Fund. In connection with the transition of the Focus Growth Team into Jackson Square, the Board of Trustees approved the hiring of Jackson Square to serve as a subadvisor to the Fund, thereby replacing DIFA.
In considering the approval of the Proposed Jackson Square Subadvisory Agreement, the Board considered the information and materials from the Advisor, Jackson Square and counsel that included, as to Jackson Square and the Small/Mid Cap Growth Fund: (i) the Proposed Jackson Square Subadvisory Agreement; (ii) information regarding the process by which the Advisor had reviewed, selected, and recommended Jackson Square for the Board’s approval, and the Advisor’s rationale for recommending that Jackson Square be appointed as a subadvisor to the Small/Mid Cap Growth Fund, and how Jackson Square would supplement the Fund’s other subadvisors; (iii) the nature, extent, and quality of the services that Jackson Square proposed to provide to the Small/Mid Cap Growth Fund; (iv) the investment management business, portfolio management personnel, operations, prior investment experience and reputation of the Focus Growth Team members who are transitioning over to Jackson Square; (v) Jackson Square’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by Jackson Square for its services to the Small/Mid Cap Growth Fund, and a comparison of those fees to other accounts that Jackson Square will be managing; (vii) a summary of Jackson Square’s compliance program; (viii) information regarding the Focus Growth Team’s historical performance returns managing its allocated portion of the Small/Mid Cap Growth Fund’s portfolio and investment mandates similar to the Small/Mid Cap Growth Fund’s investment mandate, and a comparison of such performance to a relevant index; and (ix) the financial condition of Jackson Square.
In addition, the Board considered presentations made by, and discussions held with, representatives of the Advisor. The Board considered and analyzed factors that the Board deemed relevant with respect to Jackson Square, including: the nature, extent, and quality of the services expected to be provided to the Small/Mid Cap Growth Fund by Jackson Square; Jackson Square’s management style and investment decision-making process; the Focus Growth Team’s historical performance record managing investment products similar to the Small/Mid Cap Growth Fund while employed with Delaware Investments Fund Advisers (“Delaware”); the qualifications and experience of the
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members of Jackson Square’s portfolio management team while employed at Delaware; and Jackson Square’s staffing levels and overall resources. The Board also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with each of the subadvisors, which includes extensive management and compliance due diligence with respect to the management and operations of each of the subadvisors. 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 Jackson Square, the Board, including the Independent Trustees, considered the following factors:
(a) The nature, extent, and quality of the services to be provided by Jackson Square. The Board reviewed the nature, extent, and quality of the services to be provided by Jackson Square to the Small/Mid Cap Growth Fund. The Board discussed the specific investment management process that Jackson Square will employ to manage its allocated portion of the Small/Mid Cap Growth Fund’s investment portfolio (which was described in detail in the materials provided by Jackson Square), the qualifications of Jackson Square’s portfolio managers and investment management personnel with regard to implementing the investment mandate relating to the allocated portion of the Small/Mid Cap Growth Fund’s investment portfolio that Jackson Square would be managing, and the performance record of the Focus Growth Team as compared to a relevant benchmark. The Board considered Jackson Square’s infrastructure and resources, and whether Jackson Square’s organization appeared to support Jackson Square’s strategy adequately. The Board also discussed the Advisor’s review, selection, and due diligence process with respect to Jackson Square, and the Advisor’s favorable assessment as to the nature, extent, and quality of the subadvisory services expected to be provided to the Small/Mid Cap Growth Fund by Jackson Square.
Based on their consideration and review of the foregoing information, the Board concluded that the nature, extent, and quality of the subadvisory services expected to be provided by Jackson Square, as well as Jackson Square’s ability to render such services based on Jackson Square’s expected operations, and resources and the experience of the members of the Focus Growth Team, were appropriate for the Small/Mid Cap Growth Fund, in light of the Small/Mid Cap Growth Fund’s investment objective, and the mandate relating to the allocated portion of the Small/Mid Cap Growth Fund’s investment portfolio that Jackson Square would manage.
(b) Comparison of the services to be rendered and fees to be paid to Jackson Square under other advisory and subadvisory contracts, such as those with other clients. The Board discussed the services that would be rendered by Jackson Square and evaluated the compensation to be paid to Jackson Square by the Advisor for those services. The Board noted that the services that Jackson Square would furnish to the Small/Mid Cap Growth Fund appeared to be comparable to the services that the Focus Growth Team currently provides to its other advisory and subadvisory clients having similar investment strategies. The Trustees also considered comparisons of the fees that will be paid to Jackson Square by the Advisor in light of the fees that are expected to be charged by Jackson Square to its other advisory clients, as disclosed in Jackson Square’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 Jackson Square were the result of an arm’s length bargain negotiated by unaffiliated parties.
The Board considered the review, selection, and due diligence process employed by the Advisor in determining to recommend Jackson Square to serve as a subadvisor to the Small/Mid Cap Growth Fund, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by the Advisor to Jackson Square for its services to the Small/Mid Cap Growth Fund were reasonable. The Board emphasized in their discussions that the subadvisory fees of Jackson Square would be paid by the Advisor, and were not additional fees to be borne by the Small/Mid Cap Growth Fund or its shareholders. Based on their discussion, the Board concluded that, in light of the nature, quality, and extent of the services expected to be provided, the proposed fees to be paid to Jackson Square with respect to the assets of the Small/Mid Cap Growth Fund to be allocated to Jackson Square appeared to be reasonable in relation to the services expected to be provided by Jackson Square. The Board also considered the potential “fallout” or ancillary benefits that may accrue to Jackson Square from its relationship with the Small/Mid Cap Growth Fund and concluded that they were reasonable.
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Since the fees to be paid to Jackson Square 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 Jackson Square was not considered relevant to the Board’s deliberations. The Board took note of the Advisor’s explanation that the recommended appointment of Jackson Square was not affected by the impact that the appointment would have on the Advisor’s revenues and profitability. 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 Jackson Square and the proposed fees to be paid to Jackson Square by the Advisor for managing its allocated portion of the Small/Mid Cap Growth Fund, the potential benefits accruing to Jackson Square as a result of serving as a subadvisor to the Small/Mid Cap Growth Fund were reasonable in relation to the services that were expected to be provided by Jackson Square to the Small/Mid Cap Growth Fund.
(c) The investment performance of the Small/Mid Cap Growth Fund and the Focus Growth Team of Jackson Square. The Board considered the Focus Growth Team’s prior investment performance in managing its allocated portion of the Small/Mid Cap Growth Fund’s portfolio as a factor in evaluating the Proposed Jackson Square Subadvisory Agreement. The Board also considered the Advisor’s conclusions, and the reasons supporting the Advisor’s conclusions, that the performance record of the Focus Growth Team supported the approval of the Proposed Jackson Square 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 Jackson Square to serve as a new subadvisor to the Small/Mid Cap Growth Fund, and such other matters as were deemed relevant, the Trustees concluded that the proposed fee rate for Jackson Square was reasonable in relation to the services that were expected to be provided to the Small/Mid Cap Growth Fund. As a result, the Board, including all of the Independent Trustees, concluded that the approval of the Proposed Jackson Square Subadvisory Agreement was in the best interests of the Small/Mid Cap Growth Fund and its shareholders and approved the Proposed Jackson Square Subadvisory Agreement.
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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, 2014 through September 30, 2014. 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 | 0.59%** | 1,000.00 | 1,039.50 | 1,019.75 | 3.02 | ||||||||||||||||||||
Hypothetical | 0.59%** | 1,000.00 | 1,022.11 | 1,011.06 | 2.99 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.59%, multiplied by the average account value over the period, multiplied by 183/365 |
** | Includes interest expense that amounts to less than 0.01%. |
Large Cap Value — 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 | 1,041.90 | 1,020.95 | 2.92 | ||||||||||||||||||||
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 |
** | Includes interest expense that amounts to less than 0.01%. |
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Understanding Your Fund’s Expenses (Unaudited) (Continued)
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 | 983.10 | 991.55 | 4.82 | ||||||||||||||||||||
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 |
** | Includes interest expense that amounts to less than 0.01%. |
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 | 967.20 | 983.60 | 4.78 | ||||||||||||||||||||
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 |
** | Includes interest expense that amounts to less than 0.01%. |
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 | 975.70 | 987.85 | 4.21 | ||||||||||||||||||||
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 |
** | Includes interest expense that amounts to less than 0.01%. |
Core Fixed — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | ||||||||||||||||
Actual | 0.39% | 1,000.00 | 1,021.10 | 1,010.55 | 1.98 | |||||||||||||||
Hypothetical | 0.39% | 1,000.00 | 1,023.11 | 1,011.56 | 1.98 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.39%, multiplied by the average account value over the period, multiplied by 183/365 |
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Mercer Funds
Understanding Your Fund’s Expenses (Unaudited) (Continued)
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 | 984.70 | 992.35 | 4.48 | |||||||||||||||
Hypothetical | 0.90%** | 1,000.00 | 1,020.56 | 1,010.28 | 4.56 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.90%, multiplied by the average account value over the period, multiplied by 183/365 |
** | Includes interest expense that amounts to less than 0.01%. |
Emerging Markets — Class Y3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | ||||||||||||||||
Actual | 0.96%** | 1,000.00 | 1,031.00 | 1,015.50 | 4.89 | |||||||||||||||
Hypothetical | 0.96%** | 1,000.00 | 1,020.26 | 1,010.13 | 4.86 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.96%, multiplied by the average account value over the period, multiplied by 183/365 |
** | Includes interest expense that amounts to less than 0.01%. |
Global Low Volatility — Class Y3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | ||||||||||||||||
Actual | 0.85%** | 1,000.00 | 1,009.00 | 1,004.50 | 4.28 | |||||||||||||||
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 |
** | Includes interest expense that amounts to 0.01%. |
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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 | 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 (71) | Trustee | Since 2005 | Mr. Bains is retired. | 9 | 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 Chicago, IL 60606 (56) | Trustee | Since 2005 | Ms. Cepeda is Founder and President of A.C. Advisory, Inc. (a financial advisory firm) since 1995. | 9 | 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 (66) | Chairperson and Trustee | Chairperson Since 2013; Trustee Since 2009 | Ms. Schneider is a self-employed consultant since 2007. From 2002 to 2007, Ms. Schneider was retired. | 9 | None |
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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** (46) | 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. | 9 | 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 nine portfolios effective September 30, 2014. |
** | 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. |
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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 (43) | 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 (49) | Vice President, Treasurer, and Chief Financial Officer | Since 2005 | Mr. Joseph is Chief Operating Officer, Mercer Investment Management, Inc. since 2005. | |||
Stan Mavromates (54) | 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 (45) | 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 (37) | 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 (65) | 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. | |||
John Kirby (53) | Vice President | Since 2014 | Mr. Kirby is a Portfolio Manager and Principal of Mercer Investment Management, Inc. since 2014. Prior to joining Mercer, he was a Portfolio Manager and Managing Director, Head of US Fixed Income Beta Solutions at State Street Global Advisors from 1997 to 2014. | |||
Larry Vasquez (47) | 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 (42) | 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. |
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Shares of Mercer Funds are distributed by MGI Funds Distributors, LLC.
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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.
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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 20, 2014 |
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 20, 2014 |
By (Signature and Title) | By: /s/ Richard S. Joseph | |
Richard S. Joseph | ||
Vice President, Treasurer and Principal Accounting Officer | ||
(Principal Financial Officer) |
Date | November 20, 2014 |