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, 2016
Date of Reporting Period: September 30, 2015
Item 1. | Reports to Stockholders. |
The Report to Shareholders is attached herewith.
Mercer Funds™
Semi-Annual Report
Mercer US Large Cap Growth Equity Fund
Mercer US Large Cap Value Equity Fund
Mercer US Small/Mid Cap Growth Equity Fund
Mercer US Small/Mid Cap Value Equity Fund
Mercer Non-US Core Equity Fund
Mercer Core Fixed Income Fund
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, 2015
MERCER FUNDS
TABLE OF CONTENTS
Page | ||
Schedules of Investments | 1 | |
Statements of Assets and Liabilities | 125 | |
Statements of Operations | 129 | |
Statements of Changes in Net Assets | 132 | |
Financial Highlights | 137 | |
Notes to the Financial Statements | 146 | |
Understanding Your Fund’s Expenses | 199 | |
Trustees and Officers | 202 |
Mercer US Large Cap Growth Equity Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 94.0% |
| |||||||||
Advertising — 1.5% |
| |||||||||
123,900 | Nielsen Holdings Plc | 5,509,833 | ||||||||
|
| |||||||||
Agriculture — 0.7% |
| |||||||||
31,300 | Monsanto Co. | 2,671,142 | ||||||||
|
| |||||||||
Apparel — 6.6% |
| |||||||||
232,050 | LVMH Moet Hennessy Louis Vuitton SE, Unsponsored ADR | 7,892,021 | ||||||||
72,785 | NIKE, Inc. Class B | 8,950,371 | ||||||||
57,775 | Ralph Lauren Corp. | 6,826,694 | ||||||||
|
| |||||||||
23,669,086 | ||||||||||
|
| |||||||||
Auto Manufacturers — 0.9% |
| |||||||||
12,318 | Tesla Motors, Inc.* ‡ | 3,059,791 | ||||||||
|
| |||||||||
Beverages — 4.2% |
| |||||||||
31,675 | Anheuser-Busch InBev NV, Sponsored ADR‡ | 3,367,686 | ||||||||
62,055 | Diageo Plc, Sponsored ADR | 6,688,908 | ||||||||
36,070 | Monster Beverage Corp.* | 4,874,500 | ||||||||
|
| |||||||||
14,931,094 | ||||||||||
|
| |||||||||
Biotechnology — 9.9% |
| |||||||||
54,481 | Alexion Pharmaceuticals, Inc.* | 8,520,283 | ||||||||
22,273 | Biogen, Inc.* | 6,499,484 | ||||||||
32,682 | Celgene Corp.* | 3,535,212 | ||||||||
31,983 | Illumina, Inc.* | 5,623,251 | ||||||||
12,424 | Intercept Pharmaceuticals, Inc.* ‡ | 2,060,645 | ||||||||
11,300 | Regeneron Pharmaceuticals, Inc.* | 5,256,082 | ||||||||
41,208 | Vertex Pharmaceuticals, Inc.* | 4,291,401 | ||||||||
|
| |||||||||
35,786,358 | ||||||||||
|
| |||||||||
Commercial Services — 5.6% |
| |||||||||
291,016 | Visa, Inc. Class A | 20,272,175 | ||||||||
|
| |||||||||
Computers — 3.8% |
| |||||||||
85,830 | Apple, Inc. | 9,467,049 | ||||||||
64,815 | Cognizant Technology Solutions Corp. Class A* | 4,058,067 | ||||||||
|
| |||||||||
13,525,116 | ||||||||||
|
| |||||||||
Diversified Financial Services — 2.1% |
| |||||||||
96,900 | Charles Schwab Corp. (The) | 2,767,464 | ||||||||
12,210 | IntercontinentalExchange Group, Inc. | 2,869,228 | ||||||||
140,000 | LendingClub Corp.* ‡ | 1,852,200 | ||||||||
|
| |||||||||
7,488,892 | ||||||||||
|
| |||||||||
Electrical Components & Equipment — 1.5% |
| |||||||||
122,177 | Mobileye NV* ‡ | 5,556,610 | ||||||||
|
|
See accompanying Notes to the Financial Statements. | 1 |
Mercer US Large Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Electronics — 0.7% |
| |||||||||
69,797 | Fitbit, Inc. Class A* ‡ | 2,630,649 | ||||||||
|
| |||||||||
Food — 5.4% |
| |||||||||
107,925 | General Mills, Inc. | 6,057,830 | ||||||||
81,700 | Nestle SA, Sponsored ADR | 6,147,108 | ||||||||
229,950 | Whole Foods Market, Inc. | 7,277,918 | ||||||||
|
| |||||||||
19,482,856 | ||||||||||
|
| |||||||||
Health Care - Products — 0.6% |
| |||||||||
23,360 | DexCom, Inc.* | 2,005,689 | ||||||||
2,017 | Edwards Lifesciences Corp.* | 286,757 | ||||||||
|
| |||||||||
2,292,446 | ||||||||||
|
| |||||||||
Internet — 18.7% |
| |||||||||
99,038 | Alibaba Group Holding, Ltd., Sponsored ADR* | 5,840,271 | ||||||||
16,068 | Amazon.com, Inc.* | 8,225,049 | ||||||||
17,700 | Baidu, Inc., Sponsored ADR* | 2,432,157 | ||||||||
87,621 | Facebook, Inc. Class A* | 7,877,128 | ||||||||
3,650 | Google, Inc. Class A* | 2,330,050 | ||||||||
17,005 | Google, Inc. Class C* | 10,346,182 | ||||||||
34,040 | LinkedIn Corp. Class A* | 6,472,025 | ||||||||
31,709 | MercadoLibre, Inc.‡ | 2,887,422 | ||||||||
13,282 | Priceline Group (The), Inc.* | 16,427,974 | ||||||||
84,178 | Splunk, Inc.* | 4,659,252 | ||||||||
|
| |||||||||
67,497,510 | ||||||||||
|
| |||||||||
Media — 8.0% |
| |||||||||
98,625 | AMC Networks, Inc. Class A* | 7,216,391 | ||||||||
124,500 | Scripps Networks Interactive, Inc. Class A | 6,124,155 | ||||||||
120,675 | Time Warner, Inc. | 8,296,407 | ||||||||
69,525 | Walt Disney Co. (The) | 7,105,455 | ||||||||
|
| |||||||||
28,742,408 | ||||||||||
|
| |||||||||
Miscellaneous - Manufacturing — 0.6% |
| |||||||||
13,050 | Acuity Brands, Inc. | 2,291,319 | ||||||||
|
| |||||||||
Oil & Gas Services — 1.1% |
| |||||||||
52,900 | FMC Technologies, Inc.* | 1,639,900 | ||||||||
32,500 | Schlumberger, Ltd. | 2,241,525 | ||||||||
|
| |||||||||
3,881,425 | ||||||||||
|
| |||||||||
Pharmaceuticals — 2.8% |
| |||||||||
29,100 | BioMarin Pharmaceutical, Inc.* | 3,064,812 | ||||||||
73,420 | Bristol-Myers Squibb Co. | 4,346,464 | ||||||||
50,724 | Novo Nordisk AS, Sponsored ADR | 2,751,270 | ||||||||
|
| |||||||||
10,162,546 | ||||||||||
|
|
2 | See accompanying Notes to the Financial Statements. |
Mercer US Large Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Retail — 11.0% |
| |||||||||
84,400 | Cheesecake Factory (The), Inc. | 4,554,224 | ||||||||
5,500 | Chipotle Mexican Grill, Inc.* | 3,961,375 | ||||||||
36,370 | CVS Health Corp. | 3,508,978 | ||||||||
88,995 | Lululemon Athletica, Inc.* ‡ | 4,507,597 | ||||||||
81,550 | McDonald’s Corp. | 8,035,121 | ||||||||
35,500 | Starbucks Corp. | 2,017,820 | ||||||||
103,775 | Wal-Mart Stores, Inc. | 6,728,771 | ||||||||
81,900 | Williams-Sonoma, Inc. | 6,253,065 | ||||||||
|
| |||||||||
39,566,951 | ||||||||||
|
| |||||||||
Semiconductors — 1.6% |
| |||||||||
34,730 | ARM Holdings Plc, Sponsored ADR | 1,502,072 | ||||||||
24,500 | ASML Holding NV‡ | 2,155,510 | ||||||||
26,470 | Skyworks Solutions, Inc. | 2,229,039 | ||||||||
|
| |||||||||
5,886,621 | ||||||||||
|
| |||||||||
Software — 4.2% |
| |||||||||
57,200 | Adobe Systems, Inc.* | 4,702,984 | ||||||||
15,700 | athenahealth, Inc.* ‡ | 2,093,595 | ||||||||
40,100 | Cerner Corp.* | 2,404,396 | ||||||||
45,000 | Salesforce.com, Inc.* | 3,124,350 | ||||||||
39,700 | ServiceNow, Inc.* | 2,757,165 | ||||||||
|
| |||||||||
15,082,490 | ||||||||||
|
| |||||||||
Telecommunications — 0.4% |
| |||||||||
8,000 | Palo Alto Networks, Inc.* | 1,376,000 | ||||||||
|
| |||||||||
Transportation — 2.1% |
| |||||||||
75,650 | United Parcel Service, Inc. Class B | 7,465,899 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $325,415,431) | 338,829,217 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 14.5% | ||||||||||
Bank Deposit — 6.7% |
| |||||||||
24,258,364 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/01/15 | 24,258,364 | ||||||||
|
| |||||||||
Securities Lending Collateral — 7.8% |
| |||||||||
28,055,206 | State Street Institutional U.S. Government Money Market Fund, Premier Class*** | 28,055,206 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $52,313,570) | 52,313,570 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 108.5% (Cost $377,729,001) | 391,142,787 | |||||||||
Other Assets and Liabilities (net) — (8.5)% | (30,755,459 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 360,387,328 | ||||||||
|
|
See accompanying Notes to the Financial Statements. | 3 |
Mercer US Large Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (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. |
Mercer US Large Cap Growth Equity Fund
Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
59 | NASDAQ 100 E-mini Index | December 2015 | $ | 4,912,340 | $ | (112,530 | ) | |||||||||||
99 | S&P 500 E-mini Index | December 2015 | 9,448,065 | (108,226 | ) | |||||||||||||
15 | S&P Mid 400 E-mini Index | December 2015 | 2,044,350 | (50,386 | ) | |||||||||||||
|
| |||||||||||||||||
$ | (271,142 | ) | ||||||||||||||||
|
|
See accompanying Notes to the Financial Statements. | 5 |
Mercer US Large Cap Growth Equity Fund
Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Common Stocks | 94.0 | ||||
Futures Contracts | (0.1 | ) | |||
Short-Term Investments | 14.5 | ||||
Other Assets and Liabilities (net) | (8.4 | ) | |||
|
| ||||
100.0 | % | ||||
|
|
6 | See accompanying Notes to the Financial Statements. |
Mercer US Large Cap Value Equity Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 94.3% | ||||||||||
Advertising — 0.3% | ||||||||||
54,843 | Interpublic Group of Cos. (The), Inc. | 1,049,147 | ||||||||
2,296 | Omnicom Group, Inc. | 151,306 | ||||||||
|
| |||||||||
1,200,453 | ||||||||||
|
| |||||||||
Aerospace & Defense — 3.9% | ||||||||||
9,594 | General Dynamics Corp. | 1,323,492 | ||||||||
9,633 | Lockheed Martin Corp. | 1,997,017 | ||||||||
27,865 | Northrop Grumman Corp. | 4,624,197 | ||||||||
27,264 | Raytheon Co. | 2,978,865 | ||||||||
30,040 | United Technologies Corp. | 2,673,260 | ||||||||
|
| |||||||||
13,596,831 | ||||||||||
|
| |||||||||
Agriculture — 0.0% | ||||||||||
863 | Monsanto Co. | 73,648 | ||||||||
|
| |||||||||
Airlines — 2.2% | ||||||||||
60,560 | American Airlines Group, Inc. | 2,351,545 | ||||||||
102,954 | Delta Air Lines, Inc. | 4,619,546 | ||||||||
14,776 | United Continental Holdings, Inc.* | 783,867 | ||||||||
|
| |||||||||
7,754,958 | ||||||||||
|
| |||||||||
Auto Manufacturers — 2.0% | ||||||||||
93,903 | General Motors Co. | 2,818,968 | ||||||||
27,100 | Oshkosh Corp. | 984,543 | ||||||||
27,630 | Toyota Motor Corp., Sponsored ADR | 3,240,446 | ||||||||
|
| |||||||||
7,043,957 | ||||||||||
|
| |||||||||
Auto Parts & Equipment — 1.0% | ||||||||||
37,500 | Goodyear Tire & Rubber Co. (The) | 1,099,875 | ||||||||
5,538 | Lear Corp. | 602,424 | ||||||||
35,094 | Magna International, Inc. Class A | 1,684,863 | ||||||||
|
| |||||||||
3,387,162 | ||||||||||
|
| |||||||||
Banks — 4.8% | ||||||||||
242,600 | Bank of America Corp. | 3,779,708 | ||||||||
21,627 | BB&T Corp. | 769,921 | ||||||||
62,102 | Capital One Financial Corp. | 4,503,637 | ||||||||
24,957 | Fifth Third Bancorp | 471,937 | ||||||||
23,236 | PNC Financial Services Group, Inc. | 2,072,651 | ||||||||
102,454 | Wells Fargo & Co. | 5,261,013 | ||||||||
|
| |||||||||
16,858,867 | ||||||||||
|
| |||||||||
Beverages — 1.9% | ||||||||||
40,104 | AMBEV SA, ADR | 196,510 | ||||||||
59,470 | Coca-Cola Enterprises, Inc. | 2,875,374 | ||||||||
16,731 | Molson Coors Brewing Co. Class B | 1,389,008 |
See accompanying Notes to the Financial Statements. | 7 |
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Beverages — continued | ||||||||||
23,432 | PepsiCo, Inc. | 2,209,637 | ||||||||
|
| |||||||||
6,670,529 | ||||||||||
|
| |||||||||
Biotechnology — 0.1% | ||||||||||
10,300 | PTC Therapeutics, Inc.* | 275,010 | ||||||||
|
| |||||||||
Building Materials — 0.5% | ||||||||||
71,000 | Louisiana-Pacific Corp.* | 1,011,040 | ||||||||
14,291 | Owens Corning | 598,936 | ||||||||
|
| |||||||||
1,609,976 | ||||||||||
|
| |||||||||
Chemicals — 2.7% | ||||||||||
4,713 | Ashland, Inc. | 474,222 | ||||||||
24,342 | CF Industries Holdings, Inc. | 1,092,956 | ||||||||
16,920 | Dow Chemical Co. (The) | 717,408 | ||||||||
19,900 | Eastman Chemical Co. | 1,287,928 | ||||||||
36,061 | Huntsman Corp. | 349,431 | ||||||||
35,318 | LyondellBasell Industries NV Class A | 2,944,108 | ||||||||
10,060 | Methanex Corp. | 333,590 | ||||||||
76,103 | Mosaic Co. (The) | 2,367,564 | ||||||||
3,547 | Potash Corp. of Saskatchewan, Inc. | 72,891 | ||||||||
|
| |||||||||
9,640,098 | ||||||||||
|
| |||||||||
Commercial Services — 0.1% | ||||||||||
16,767 | RELX NV, Sponsored ADR‡ | 275,985 | ||||||||
|
| |||||||||
Computers — 3.3% | ||||||||||
22,303 | Apple, Inc. | 2,460,021 | ||||||||
26,129 | Brocade Communications Systems, Inc. | 271,219 | ||||||||
20,890 | EMC Corp. | 504,702 | ||||||||
64,186 | Hewlett-Packard Co. | 1,643,804 | ||||||||
11,788 | International Business Machines Corp. | 1,708,906 | ||||||||
43,804 | NetApp, Inc. | 1,296,599 | ||||||||
21,540 | SanDisk Corp. | 1,170,268 | ||||||||
31,349 | Seagate Technology Plc‡ | 1,404,435 | ||||||||
12,521 | Western Digital Corp. | 994,668 | ||||||||
|
| |||||||||
11,454,622 | ||||||||||
|
| |||||||||
Cosmetics & Personal Care — 0.2% | ||||||||||
19,271 | L’Oreal SA, Sponsored ADR | 667,933 | ||||||||
|
| |||||||||
Diversified Financial Services — 12.3% | ||||||||||
42,293 | Ally Financial, Inc.* | 861,931 | ||||||||
63,124 | Berkshire Hathaway, Inc. Class B* | 8,231,370 | ||||||||
34,020 | Blackstone Group (The), LP | 1,077,413 | ||||||||
35,822 | Charles Schwab Corp. (The) | 1,023,076 | ||||||||
19,040 | CIT Group, Inc. | 762,171 | ||||||||
196,380 | Citigroup, Inc. | 9,742,412 | ||||||||
25,687 | Discover Financial Services | 1,335,467 |
8 | See accompanying Notes to the Financial Statements. |
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Diversified Financial Services — continued | ||||||||||
39,158 | E*TRADE Financial Corp.* | 1,031,030 | ||||||||
17,524 | FNF Group | 621,576 | ||||||||
4,030 | Goldman Sachs Group, Inc. (The) | 700,253 | ||||||||
166,495 | JPMorgan Chase & Co. | 10,151,200 | ||||||||
100,930 | KKR & Co., LP | 1,693,606 | ||||||||
20,377 | Leucadia National Corp. | 412,838 | ||||||||
50,946 | Morgan Stanley | 1,604,799 | ||||||||
33,706 | Navient Corp. | 378,856 | ||||||||
202,300 | Nomura Holdings, Inc., Sponsored ADR‡ | 1,177,386 | ||||||||
71,900 | Santander Consumer USA Holdings, Inc.* | 1,468,198 | ||||||||
25,314 | TD Ameritrade Holding Corp. | 805,998 | ||||||||
|
| |||||||||
43,079,580 | ||||||||||
|
| |||||||||
Electric — 0.3% | ||||||||||
107,451 | AES Corp. | 1,051,945 | ||||||||
|
| |||||||||
Electrical Components & Equipment — 0.0% | ||||||||||
1,607 | Emerson Electric Co. | 70,981 | ||||||||
|
| |||||||||
Electronics — 0.4% | ||||||||||
42,573 | Tyco International Plc | 1,424,493 | ||||||||
|
| |||||||||
Engineering & Construction — 0.7% | ||||||||||
30,300 | AECOM* | 833,553 | ||||||||
24,700 | Chicago Bridge & Iron Co. NV‡ | 979,602 | ||||||||
17,234 | Fluor Corp. | 729,860 | ||||||||
|
| |||||||||
2,543,015 | ||||||||||
|
| |||||||||
Entertainment — 0.1% | ||||||||||
10,250 | Six Flags Entertainment Corp. | 469,245 | ||||||||
|
| |||||||||
Food — 2.2% | ||||||||||
22,819 | ConAgra Foods, Inc. | 924,398 | ||||||||
16,930 | Kellogg Co. | 1,126,691 | ||||||||
168,271 | Koninklijke Ahold NV, Sponsored ADR | 3,279,602 | ||||||||
19,557 | Mondelez International, Inc. Class A | 818,851 | ||||||||
39,957 | Tyson Foods, Inc. Class A | 1,722,147 | ||||||||
|
| |||||||||
7,871,689 | ||||||||||
|
| |||||||||
Forest Products & Paper — 0.2% | ||||||||||
15,515 | International Paper Co. | 586,312 | ||||||||
|
| |||||||||
Gas — 0.2% | ||||||||||
11,689 | Energen Corp. | 582,814 | ||||||||
|
| |||||||||
Health Care - Products — 2.0% | ||||||||||
39,003 | Boston Scientific Corp.* | 640,039 | ||||||||
860 | Intuitive Surgical, Inc.* | 395,239 |
See accompanying Notes to the Financial Statements. | 9 |
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Health Care - Products — continued | ||||||||||
37,910 | Johnson & Johnson | 3,538,899 | ||||||||
27,861 | Medtronic Plc | 1,865,015 | ||||||||
7,376 | Zimmer Biomet Holdings, Inc. | 692,828 | ||||||||
|
| |||||||||
7,132,020 | ||||||||||
|
| |||||||||
Health Care - Services — 1.0% | ||||||||||
14,853 | Anthem, Inc. | 2,079,420 | ||||||||
11,684 | Quest Diagnostics, Inc. | 718,215 | ||||||||
6,679 | UnitedHealth Group, Inc. | 774,831 | ||||||||
|
| |||||||||
3,572,466 | ||||||||||
|
| |||||||||
Holding Companies - Diversified — 0.1% | ||||||||||
27,700 | Horizon Pharma Plc* ‡ | 549,014 | ||||||||
|
| |||||||||
Household Products & Wares — 0.2% | ||||||||||
12,300 | Tupperware Brands Corp.‡ | 608,727 | ||||||||
|
| |||||||||
Insurance — 7.1% | ||||||||||
25,705 | ACE, Ltd. | 2,657,897 | ||||||||
29,023 | Allstate Corp. (The) | 1,690,300 | ||||||||
56,982 | American International Group, Inc. | 3,237,717 | ||||||||
8,262 | Aon Plc | 732,096 | ||||||||
5,275 | Cigna Corp. | 712,230 | ||||||||
37,390 | Hartford Financial Services Group, Inc. (The) | 1,711,714 | ||||||||
94,289 | MetLife, Inc. | 4,445,726 | ||||||||
24,041 | Prudential Financial, Inc. | 1,832,165 | ||||||||
34,315 | Travelers Cos., Inc. (The) | 3,415,372 | ||||||||
54,636 | Voya Financial, Inc. | 2,118,238 | ||||||||
66,666 | XL Group Plc | 2,421,309 | ||||||||
|
| |||||||||
24,974,764 | ||||||||||
|
| |||||||||
Internet — 0.8% | ||||||||||
7,310 | Check Point Software Technologies, Ltd.* ‡ | 579,902 | ||||||||
19,260 | eBay, Inc.* | 470,714 | ||||||||
1,986 | Google, Inc. Class A* | 1,267,803 | ||||||||
15,598 | Liberty Interactive Corp. QVC Group Class A* | 409,136 | ||||||||
|
| |||||||||
2,727,555 | ||||||||||
|
| |||||||||
Iron & Steel — 0.4% | ||||||||||
28,040 | Reliance Steel & Aluminum Co. | 1,514,440 | ||||||||
|
| |||||||||
Leisure Time — 0.6% | ||||||||||
30,075 | Carnival Corp. | 1,494,728 | ||||||||
10,207 | Harley-Davidson, Inc. | 560,364 | ||||||||
|
| |||||||||
2,055,092 | ||||||||||
|
| |||||||||
Lodging — 0.4% | ||||||||||
1,441 | Marriott International, Inc. Class A | 98,276 |
10 | See accompanying Notes to the Financial Statements. |
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Lodging — continued | ||||||||||
20,202 | Starwood Hotels & Resorts Worldwide, Inc. | 1,343,029 | ||||||||
|
| |||||||||
1,441,305 | ||||||||||
|
| |||||||||
Machinery - Construction & Mining — 0.4% | ||||||||||
15,670 | Caterpillar, Inc. | 1,024,191 | ||||||||
31,582 | Terex Corp. | 566,581 | ||||||||
|
| |||||||||
1,590,772 | ||||||||||
|
| |||||||||
Media — 3.0% | ||||||||||
18,424 | CBS Corp. Class B | 735,118 | ||||||||
15,928 | Comcast Corp. Class A | 905,985 | ||||||||
8,938 | Liberty Broadband Corp. Class C* | 457,357 | ||||||||
36,691 | Liberty Global Plc Series C* | 1,505,065 | ||||||||
1,877 | Liberty Global Plc LiLAC Class C* | 64,268 | ||||||||
17,822 | Liberty Media Corp. Series C* | 614,146 | ||||||||
2,026 | Scripps Networks Interactive, Inc. Class A | 99,659 | ||||||||
379,915 | Sirius XM Holdings, Inc.* | 1,420,882 | ||||||||
16,467 | Time Warner, Inc. | 1,132,106 | ||||||||
11,310 | Time, Inc. | 215,456 | ||||||||
34,000 | Tribune Media Co. Class A | 1,210,400 | ||||||||
47,712 | Viacom, Inc. Class B | 2,058,773 | ||||||||
|
| |||||||||
10,419,215 | ||||||||||
|
| |||||||||
Metal Fabricate & Hardware — 0.1% | ||||||||||
1,946 | Precision Castparts Corp. | 447,016 | ||||||||
|
| |||||||||
Mining — 0.7% | ||||||||||
36,682 | Barrick Gold Corp. | 233,298 | ||||||||
27,688 | Newmont Mining Corp. | 444,946 | ||||||||
19,337 | Vulcan Materials Co. | 1,724,860 | ||||||||
|
| |||||||||
2,403,104 | ||||||||||
|
| |||||||||
Miscellaneous - Manufacturing — 2.6% | ||||||||||
5,708 | Crane Co. | 266,050 | ||||||||
14,800 | Eaton Corp. Plc | 759,240 | ||||||||
17,690 | Honeywell International, Inc. | 1,675,066 | ||||||||
27,991 | Illinois Tool Works, Inc. | 2,303,939 | ||||||||
33,346 | Ingersoll-Rand Plc | 1,692,976 | ||||||||
9,050 | Parker-Hannifin Corp. | 880,565 | ||||||||
20,689 | Pentair Plc | 1,055,967 | ||||||||
10,569 | Textron, Inc. | 397,817 | ||||||||
|
| |||||||||
9,031,620 | ||||||||||
|
| |||||||||
Office & Business Equipment — 0.4% | ||||||||||
8,345 | Avery Dennison Corp. | 472,077 | �� | |||||||
82,083 | Xerox Corp. | 798,667 | ||||||||
|
| |||||||||
1,270,744 | ||||||||||
|
|
See accompanying Notes to the Financial Statements. | 11 |
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Oil & Gas — 9.6% | ||||||||||
18,731 | Anadarko Petroleum Corp. | 1,131,165 | ||||||||
16,440 | Apache Corp. | 643,790 | ||||||||
114,502 | BP Plc, Sponsored ADR | 3,499,181 | ||||||||
101,118 | Canadian Natural Resources, Ltd. | 1,966,745 | ||||||||
11,500 | Cimarex Energy Co. | 1,178,520 | ||||||||
33,800 | Continental Resources, Inc.* | 979,186 | ||||||||
15,200 | Devon Energy Corp. | 563,768 | ||||||||
56,134 | EOG Resources, Inc. | 4,086,555 | ||||||||
4,691 | EQT Corp. | 303,836 | ||||||||
37,684 | Hess Corp. | 1,886,461 | ||||||||
58,274 | Marathon Petroleum Corp. | 2,699,835 | ||||||||
114,363 | Occidental Petroleum Corp. | 7,565,113 | ||||||||
83,418 | Phillips 66 | 6,409,839 | ||||||||
35,670 | QEP Resources, Inc. | 446,945 | ||||||||
8,201 | Rice Energy, Inc.* | 132,528 | ||||||||
|
| |||||||||
33,493,467 | ||||||||||
|
| |||||||||
Oil & Gas Services — 1.4% | ||||||||||
53,180 | Halliburton Co. | 1,879,913 | ||||||||
25,092 | National Oilwell Varco, Inc. | 944,714 | ||||||||
32,692 | Schlumberger, Ltd. | 2,254,767 | ||||||||
|
| |||||||||
5,079,394 | ||||||||||
|
| |||||||||
Packaging & Containers — 0.7% | ||||||||||
19,145 | Crown Holdings, Inc.* | 875,884 | ||||||||
13,670 | Packaging Corp. of America | 822,387 | ||||||||
14,428 | WestRock Co. | 742,176 | ||||||||
|
| |||||||||
2,440,447 | ||||||||||
|
| |||||||||
Pharmaceuticals — 7.2% | ||||||||||
42,343 | AbbVie, Inc. | 2,303,883 | ||||||||
10,437 | Bristol-Myers Squibb Co. | 617,870 | ||||||||
20,700 | Cardinal Health, Inc. | 1,590,174 | ||||||||
15,902 | Eli Lilly & Co. | 1,330,838 | ||||||||
9,400 | Endo International Plc* | 651,232 | ||||||||
38,641 | Express Scripts Holding Co.* | 3,128,375 | ||||||||
18,203 | Gilead Sciences, Inc. | 1,787,353 | ||||||||
3,500 | Jazz Pharmaceuticals Plc* | 464,835 | ||||||||
8,900 | Mallinckrodt Plc* | 569,066 | ||||||||
91,998 | Merck & Co., Inc. | 4,543,781 | ||||||||
14,200 | Mylan NV* | 571,692 | ||||||||
203,655 | Pfizer, Inc. | 6,396,804 | ||||||||
2,099 | Shire Plc, ADR | 430,778 | ||||||||
7,428 | Teva Pharmaceutical Industries, Ltd., Sponsored ADR | 419,385 | ||||||||
6,700 | ZS Pharma, Inc.* ‡ | 439,922 | ||||||||
|
| |||||||||
25,245,988 | ||||||||||
|
|
12 | See accompanying Notes to the Financial Statements. |
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
REITS — 0.8% | ||||||||||
19,357 | American Homes 4 Rent Class A REIT | 311,260 | ||||||||
30,672 | Communications Sales & Leasing, Inc. REIT* | 549,029 | ||||||||
60,200 | Hatteras Financial Corp. REIT | 912,030 | ||||||||
99,830 | Two Harbors Investment Corp. REIT | 880,501 | ||||||||
|
| |||||||||
2,652,820 | ||||||||||
|
| |||||||||
Retail — 4.0% | ||||||||||
43,015 | Bed Bath & Beyond, Inc.* | 2,452,715 | ||||||||
28,888 | CVS Health Corp. | 2,787,114 | ||||||||
2,960 | Darden Restaurants, Inc. | 202,879 | ||||||||
5,200 | Dillard’s, Inc. Class A‡ | 454,428 | ||||||||
12,859 | Gap, Inc. (The) | 366,482 | ||||||||
8,359 | Kohl’s Corp. | 387,105 | ||||||||
8,443 | Lowe’s Cos., Inc. | 581,892 | ||||||||
27,257 | Macy’s, Inc. | 1,398,829 | ||||||||
55,700 | Michael Kors Holdings, Ltd.* | 2,352,768 | ||||||||
6,251 | PVH Corp. | 637,227 | ||||||||
73,687 | Rite Aid Corp.* | 447,280 | ||||||||
32,004 | Staples, Inc. | 375,407 | ||||||||
21,353 | Target Corp. | 1,679,627 | ||||||||
|
| |||||||||
14,123,753 | ||||||||||
|
| |||||||||
Semiconductors — 2.2% | ||||||||||
118,692 | Applied Materials, Inc. | 1,743,585 | ||||||||
13,900 | Lam Research Corp. | 908,087 | ||||||||
16,512 | Microchip Technology, Inc.‡ | 711,502 | ||||||||
157,459 | Micron Technology, Inc.* | 2,358,736 | ||||||||
9,518 | NXP Semiconductors NV* | 828,732 | ||||||||
20,651 | Texas Instruments, Inc. | 1,022,638 | ||||||||
|
| |||||||||
7,573,280 | ||||||||||
|
| |||||||||
Software — 2.0% | ||||||||||
40,791 | Activision Blizzard, Inc. | 1,260,034 | ||||||||
6,099 | Citrix Systems, Inc.* | 422,539 | ||||||||
60,315 | Microsoft Corp. | 2,669,542 | ||||||||
72,789 | Oracle Corp. | 2,629,138 | ||||||||
|
| |||||||||
6,981,253 | ||||||||||
|
| |||||||||
Telecommunications — 6.7% | ||||||||||
29,780 | ARRIS Group, Inc.* | 773,387 | ||||||||
89,148 | AT&T, Inc. | 2,904,442 | ||||||||
55,930 | CenturyLink, Inc. | 1,404,962 | ||||||||
34,200 | China Mobile, Ltd., Sponsored ADR‡ | 2,034,900 | ||||||||
312,126 | Cisco Systems, Inc. | 8,193,307 | ||||||||
98,763 | Corning, Inc. | 1,690,823 | ||||||||
12,901 | Harris Corp. | 943,708 | ||||||||
32,793 | Juniper Networks, Inc. | 843,108 | ||||||||
79,732 | Mobile Telesystems PJSC, Sponsored ADR | 575,665 |
See accompanying Notes to the Financial Statements. | 13 |
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Telecommunications — continued | ||||||||||
85,922 | Verizon Communications, Inc. | 3,738,466 | ||||||||
10,042 | Vodafone Group Plc, Sponsored ADR | 318,733 | ||||||||
|
| |||||||||
23,421,501 | ||||||||||
|
| |||||||||
Transportation — 0.5% | ||||||||||
11,604 | FedEx Corp. | 1,670,744 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $342,843,571) | 330,610,604 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 7.7% | ||||||||||
Bank Deposit — 5.9% | ||||||||||
20,609,239 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/01/15 | 20,609,239 | ||||||||
|
| |||||||||
Securities Lending Collateral — 1.8% | ||||||||||
6,345,778 | State Street Institutional U.S. Government Money Market Fund, Premier Class*** | 6,345,778 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $26,955,017) | 26,955,017 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 102.0% (Cost $369,798,588) | 357,565,621 | |||||||||
Other Assets and Liabilities (net) — (2.0)% | (7,139,521 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 350,426,100 | ||||||||
|
| |||||||||
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. |
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Futures Contracts
Number of | Type | Expiration Date | Contract Value | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
140 | S&P 500 E-mini Index | December 2015 | $ | 13,360,900 | $ | (205,038 | ) | |||||||||||
17 | S&P Mid 400 E-mini Index | December 2015 | 2,316,930 | (61,522 | ) | |||||||||||||
|
| |||||||||||||||||
$ | (266,560 | ) | ||||||||||||||||
|
|
See accompanying Notes to the Financial Statements. | 15 |
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Common Stocks | 94.3 | ||||
Futures Contracts | (0.1 | ) | |||
Short-Term Investments | 7.7 | ||||
Other Assets and Liabilities (net) | (1.9 | ) | |||
|
| ||||
100.0 | % | ||||
|
|
16 | See accompanying Notes to the Financial Statements. |
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 93.7% | ||||||||||
Aerospace & Defense — 0.9% |
| |||||||||
31,650 | BE Aerospace, Inc. | 1,389,435 | ||||||||
11,045 | TransDigm Group, Inc.* | 2,346,068 | ||||||||
|
| |||||||||
3,735,503 | ||||||||||
|
| |||||||||
Airlines — 0.6% | ||||||||||
13,100 | Alaska Air Group, Inc. | 1,040,795 | ||||||||
7,160 | Allegiant Travel Co. | 1,548,350 | ||||||||
|
| |||||||||
2,589,145 | ||||||||||
|
| |||||||||
Apparel — 1.1% | ||||||||||
27,510 | G-III Apparel Group, Ltd.* | 1,696,267 | ||||||||
100,463 | Hanesbrands, Inc. | 2,907,399 | ||||||||
|
| |||||||||
4,603,666 | ||||||||||
|
| |||||||||
Auto Parts & Equipment — 0.5% | ||||||||||
22,540 | WABCO Holdings, Inc.* | 2,362,868 | ||||||||
|
| |||||||||
Banks — 2.2% | ||||||||||
49,395 | Bank of the Ozarks, Inc. | 2,161,525 | ||||||||
51,675 | BankUnited, Inc. | 1,847,381 | ||||||||
67,340 | FCB Financial Holdings, Inc. Class A* | 2,196,631 | ||||||||
53,100 | First Republic Bank | 3,333,087 | ||||||||
|
| |||||||||
9,538,624 | ||||||||||
|
| |||||||||
Biotechnology — 2.2% | ||||||||||
294,920 | ARIAD Pharmaceuticals, Inc.* ‡ | 1,722,333 | ||||||||
181,310 | Merrimack Pharmaceuticals, Inc.* ‡ | 1,542,948 | ||||||||
26,320 | Prothena Corp. Plc* ‡ | 1,193,349 | ||||||||
26,320 | PTC Therapeutics, Inc.* | 702,744 | ||||||||
6,055 | Puma Biotechnology, Inc.* | 456,305 | ||||||||
29,155 | United Therapeutics Corp.* | 3,826,302 | ||||||||
|
| |||||||||
9,443,981 | ||||||||||
|
| |||||||||
Building Materials — 1.5% | ||||||||||
46,376 | Boise Cascade Co.* | 1,169,603 | ||||||||
123,900 | Builders FirstSource, Inc.* | 1,571,052 | ||||||||
27,530 | Lennox International, Inc. | 3,119,975 | ||||||||
6,167 | Martin Marietta Materials, Inc. | 937,075 | ||||||||
|
| |||||||||
6,797,705 | ||||||||||
|
| |||||||||
Chemicals — 1.9% | ||||||||||
41,280 | Axalta Coating Systems, Ltd.* | 1,046,035 | ||||||||
127,760 | Huntsman Corp. | 1,237,995 | ||||||||
94,955 | PolyOne Corp. | 2,785,980 | ||||||||
76,470 | RPM International, Inc. | 3,203,328 | ||||||||
|
| |||||||||
8,273,338 | ||||||||||
|
|
See accompanying Notes to the Financial Statements. | 17 |
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Coal — 0.3% | ||||||||||
125,640 | Consol Energy, Inc.‡ | 1,231,272 | ||||||||
|
| |||||||||
Commercial Services — 8.0% | ||||||||||
35,524 | Bright Horizons Family Solutions, Inc.* | 2,282,062 | ||||||||
16,790 | CoStar Group, Inc.* | 2,905,677 | ||||||||
21,511 | Euronet Worldwide, Inc.* | 1,593,750 | ||||||||
55,290 | Genpact, Ltd.* | 1,305,397 | ||||||||
123,464 | Heartland Payment Systems, Inc. | 7,779,467 | ||||||||
24,460 | Huron Consulting Group, Inc.* | 1,529,484 | ||||||||
80,560 | Nord Anglia Education, Inc.* | 1,637,785 | ||||||||
49,863 | On Assignment, Inc.* | 1,839,945 | ||||||||
34,640 | Robert Half International, Inc. | 1,772,182 | ||||||||
95,150 | Sabre Corp. | 2,586,177 | ||||||||
94,700 | Service Corp. International | 2,566,370 | ||||||||
81,082 | Team Health Holdings, Inc.* | 4,380,860 | ||||||||
64,750 | Total System Services, Inc. | 2,941,592 | ||||||||
|
| |||||||||
35,120,748 | ||||||||||
|
| |||||||||
Computers — 4.0% | ||||||||||
98,440 | Fortinet, Inc.* | 4,181,731 | ||||||||
24,890 | IHS, Inc. Class A* | 2,887,240 | ||||||||
97,353 | j2 Global, Inc. | 6,897,460 | ||||||||
286,750 | Logitech International SA | 3,727,075 | ||||||||
|
| |||||||||
17,693,506 | ||||||||||
|
| |||||||||
Distribution & Wholesale — 1.0% | ||||||||||
69,310 | HD Supply Holdings, Inc.* | 1,983,652 | ||||||||
81,620 | Ingram Micro, Inc. Class A | 2,223,329 | ||||||||
|
| |||||||||
4,206,981 | ||||||||||
|
| |||||||||
Diversified Financial Services — 4.1% | ||||||||||
30,804 | Affiliated Managers Group, Inc.* | 5,267,176 | ||||||||
27,889 | Ellie Mae, Inc.* | 1,856,571 | ||||||||
27,800 | Evercore Partners, Inc. Class A | 1,396,672 | ||||||||
44,171 | Lazard, Ltd. Class A | 1,912,604 | ||||||||
136,325 | LendingClub Corp.* ‡ | 1,803,580 | ||||||||
59,230 | Raymond James Financial, Inc. | 2,939,585 | ||||||||
37,292 | WageWorks, Inc.* | 1,681,123 | ||||||||
67,055 | WisdomTree Investments, Inc.‡ | 1,081,597 | ||||||||
|
| |||||||||
17,938,908 | ||||||||||
|
| |||||||||
Entertainment — 0.6% | ||||||||||
25,005 | Vail Resorts, Inc. | 2,617,523 | ||||||||
|
| |||||||||
Food — 0.3% | ||||||||||
36,671 | WhiteWave Foods Co. (The) Class A* | 1,472,341 | ||||||||
|
| |||||||||
Hand & Machine Tools — 1.4% | ||||||||||
39,540 | Snap-on, Inc. | 5,968,168 | ||||||||
|
|
18 | See accompanying Notes to the Financial Statements. |
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Health Care - Products — 4.3% | ||||||||||
61,484 | ABIOMED, Inc.* | 5,703,256 | ||||||||
66,512 | Bio-Techne Corp. | 6,149,700 | ||||||||
21,140 | DexCom, Inc.* | 1,815,080 | ||||||||
117,901 | Endologix, Inc.* ‡ | 1,445,466 | ||||||||
34,565 | Greatbatch, Inc.* | 1,950,157 | ||||||||
90,690 | Wright Medical Group, Inc.* | 1,906,304 | ||||||||
|
| |||||||||
18,969,963 | ||||||||||
|
| |||||||||
Health Care - Services — 3.9% | ||||||||||
61,139 | Acadia Healthcare Co., Inc.* | 4,051,681 | ||||||||
26,990 | Centene Corp.* | 1,463,668 | ||||||||
77,680 | Community Health Systems, Inc.* | 3,322,374 | ||||||||
52,658 | Envision Healthcare Holdings, Inc.* | 1,937,288 | ||||||||
24,521 | Magellan Health, Inc.* | 1,359,199 | ||||||||
11,629 | Mettler-Toledo International, Inc.* | 3,311,241 | ||||||||
20,032 | WellCare Health Plans, Inc.* | 1,726,358 | ||||||||
|
| |||||||||
17,171,809 | ||||||||||
|
| |||||||||
Home Furnishings — 1.3% | ||||||||||
31,791 | Harman International Industries, Inc. | 3,051,618 | ||||||||
39,180 | Tempur Sealy International, Inc.* | 2,798,627 | ||||||||
|
| |||||||||
5,850,245 | ||||||||||
|
| |||||||||
Household Products & Wares — 1.5% | ||||||||||
134,500 | Jarden Corp.* | 6,574,360 | ||||||||
|
| |||||||||
Insurance — 0.8% | ||||||||||
45,160 | Assurant, Inc. | 3,568,092 | ||||||||
|
| |||||||||
Internet — 3.3% | ||||||||||
152,966 | Coupons.com, Inc.* ‡ | 1,376,694 | ||||||||
171,934 | NIC, Inc. | 3,044,951 | ||||||||
252,788 | Pandora Media, Inc.* | 5,394,496 | ||||||||
73,530 | Shutterstock, Inc.* ‡ | 2,223,547 | ||||||||
28,475 | Splunk, Inc.* | 1,576,092 | ||||||||
34,350 | Yelp, Inc.* ‡ | 744,021 | ||||||||
|
| |||||||||
14,359,801 | ||||||||||
|
| |||||||||
Leisure Time — 0.4% | ||||||||||
39,525 | Liberty TripAdvisor Holdings, Inc. Class A* | 876,269 | ||||||||
7,902 | Polaris Industries, Inc. | 947,213 | ||||||||
|
| |||||||||
1,823,482 | ||||||||||
|
| |||||||||
Lodging — 0.3% | ||||||||||
63,150 | Diamond Resorts International, Inc.* | 1,477,079 | ||||||||
|
| |||||||||
Machinery - Diversified — 4.6% | ||||||||||
31,991 | Cognex Corp. | 1,099,531 |
See accompanying Notes to the Financial Statements. | 19 |
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Machinery - Diversified — continued | ||||||||||
92,350 | Graco, Inc. | 6,190,220 | ||||||||
43,420 | Middleby Corp. (The)* | 4,567,350 | ||||||||
15,644 | Wabtec Corp. | 1,377,454 | ||||||||
90,831 | Zebra Technologies Corp. Class A* | 6,953,113 | ||||||||
|
| |||||||||
20,187,668 | ||||||||||
|
| |||||||||
Media — 0.7% | ||||||||||
53,930 | Nexstar Broadcasting Group, Inc. Class A | 2,553,586 | ||||||||
18,150 | Tribune Media Co. Class A | 646,140 | ||||||||
|
| |||||||||
3,199,726 | ||||||||||
|
| |||||||||
Miscellaneous - Manufacturing — 0.4% | ||||||||||
3,910 | Acuity Brands, Inc. | 686,518 | ||||||||
14,243 | Carlisle Cos., Inc. | 1,244,553 | ||||||||
|
| |||||||||
1,931,071 | ||||||||||
|
| |||||||||
Office Furnishings — 0.6% | ||||||||||
120,950 | Knoll, Inc. | 2,658,481 | ||||||||
|
| |||||||||
Oil & Gas — 1.1% | ||||||||||
39,925 | Gulfport Energy Corp.* | 1,184,974 | ||||||||
37,520 | Tesoro Corp. | 3,648,445 | ||||||||
|
| |||||||||
4,833,419 | ||||||||||
|
| |||||||||
Oil & Gas Services — 0.9% | ||||||||||
41,213 | Core Laboratories NV‡ | 4,113,057 | ||||||||
|
| |||||||||
Packaging & Containers — 0.3% | ||||||||||
50,248 | Berry Plastics Group, Inc.* | 1,510,957 | ||||||||
|
| |||||||||
Pharmaceuticals — 5.2% | ||||||||||
64,794 | ACADIA Pharmaceuticals, Inc.* | 2,142,738 | ||||||||
37,140 | Akorn, Inc.* | 1,058,676 | ||||||||
51,005 | Align Technology, Inc.* | 2,895,044 | ||||||||
22,022 | Alkermes Plc* | 1,292,031 | ||||||||
7,560 | Anacor Pharmaceuticals, Inc.* | 889,888 | ||||||||
6,990 | Clovis Oncology, Inc.* | 642,800 | ||||||||
41,600 | DENTSPLY International, Inc. | 2,103,712 | ||||||||
30,957 | Jazz Pharmaceuticals Plc* | 4,111,399 | ||||||||
62,480 | Medivation, Inc.* | 2,655,400 | ||||||||
61,845 | Neurocrine Biosciences, Inc.* | 2,460,812 | ||||||||
48,855 | Pacira Pharmaceuticals, Inc.* | 2,007,940 | ||||||||
6,764 | Sirona Dental Systems, Inc.* | 631,352 | ||||||||
|
| |||||||||
22,891,792 | ||||||||||
|
| |||||||||
Real Estate — 0.5% | ||||||||||
15,435 | Jones Lang Lasalle, Inc. | 2,219,090 | ||||||||
|
|
20 | See accompanying Notes to the Financial Statements. |
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
REITS — 4.1% | ||||||||||
77,631 | CyrusOne, Inc. REIT | 2,535,428 | ||||||||
242,082 | Equity Commonwealth REIT* | 6,594,314 | ||||||||
26,830 | Extra Space Storage, Inc. REIT | 2,070,203 | ||||||||
210,775 | Outfront Media, Inc. REIT | 4,384,120 | ||||||||
112,630 | Starwood Property Trust, Inc. REIT | 2,311,168 | ||||||||
|
| |||||||||
17,895,233 | ||||||||||
|
| |||||||||
Retail — 9.8% | ||||||||||
31,390 | Asbury Automotive Group, Inc.* | 2,547,299 | ||||||||
29,495 | Burlington Stores, Inc.* | 1,505,425 | ||||||||
27,357 | Children’s Place (The), Inc. | 1,577,678 | ||||||||
69,034 | DineEquity, Inc. | 6,327,656 | ||||||||
95,255 | Dunkin’ Brands Group, Inc. | 4,667,495 | ||||||||
50,960 | Jack in the Box, Inc. | 3,925,958 | ||||||||
16,710 | Lululemon Athletica, Inc.* ‡ | 846,362 | ||||||||
27,790 | Red Robin Gourmet Burgers, Inc.* | 2,104,815 | ||||||||
33,430 | Restoration Hardware Holdings, Inc.* | 3,119,353 | ||||||||
248,014 | Sally Beauty Holdings, Inc.* | 5,890,332 | ||||||||
19,210 | Signet Jewelers, Ltd. | 2,615,057 | ||||||||
72,310 | Sonic Corp. | 1,659,515 | ||||||||
25,870 | Ulta Salon Cosmetics & Fragrance, Inc.* | 4,225,865 | ||||||||
29,420 | Williams-Sonoma, Inc. | 2,246,217 | ||||||||
|
| |||||||||
43,259,027 | ||||||||||
|
| |||||||||
Semiconductors — 1.2% | ||||||||||
62,180 | Integrated Device Technology, Inc.* | 1,262,254 | ||||||||
23,630 | M/A-COM Technology Solutions Holdings, Inc.* | 685,034 | ||||||||
281,610 | ON Semiconductor Corp.* | 2,647,134 | ||||||||
17,330 | Qorvo, Inc.* | 780,716 | ||||||||
|
| |||||||||
5,375,138 | ||||||||||
|
| |||||||||
Software — 12.8% | ||||||||||
10,850 | 2U, Inc.* | 389,515 | ||||||||
205,060 | Allscripts Healthcare Solutions, Inc.* | 2,542,744 | ||||||||
20,275 | athenahealth, Inc.* ‡ | 2,703,671 | ||||||||
110,192 | Blackbaud, Inc. | 6,183,975 | ||||||||
119,633 | Cornerstone OnDemand, Inc.* | 3,947,889 | ||||||||
32,540 | Guidewire Software, Inc.* | 1,710,953 | ||||||||
64,209 | Imperva, Inc.* | 4,204,406 | ||||||||
104,457 | MSCI, Inc. Class A | 6,211,013 | ||||||||
66,900 | Paycom Software, Inc.* | 2,402,379 | ||||||||
49,909 | Proofpoint, Inc.* | 3,010,511 | ||||||||
210,756 | QLIK Technologies, Inc.* | 7,682,056 | ||||||||
47,800 | ServiceNow, Inc.* | 3,319,710 | ||||||||
32,272 | SS&C Technologies Holdings, Inc. | 2,260,331 | ||||||||
9,330 | Ultimate Software Group (The), Inc.* | 1,670,163 | ||||||||
291,266 | VeriFone Systems, Inc.* | 8,076,806 | ||||||||
|
| |||||||||
56,316,122 | ||||||||||
|
|
See accompanying Notes to the Financial Statements. | 21 |
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Telecommunications — 2.6% | ||||||||||
29,985 | Arista Networks, Inc.* ‡ | 1,834,782 | ||||||||
53,910 | Ciena Corp.* | 1,117,015 | ||||||||
50,830 | CommScope Holding Co., Inc.* | 1,526,425 | ||||||||
56,730 | Infinera Corp.* | 1,109,639 | ||||||||
32,830 | Palo Alto Networks, Inc.* | 5,646,760 | ||||||||
|
| |||||||||
11,234,621 | ||||||||||
|
| |||||||||
Transportation — 2.5% | ||||||||||
111,400 | Expeditors International of Washington, Inc. | 5,241,370 | ||||||||
59,068 | Genesee & Wyoming, Inc. Class A* | 3,489,737 | ||||||||
70,720 | Werner Enterprises, Inc. | 1,775,072 | ||||||||
21,932 | XPO Logistics, Inc.* ‡ | 522,640 | ||||||||
|
| |||||||||
11,028,819 | ||||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $385,616,672) | 412,043,329 | |||||||||
|
| |||||||||
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 — 11.9% | ||||||||||
Bank Deposit — 7.4% | ||||||||||
32,528,141 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/01/15 | 32,528,141 | ||||||||
|
| |||||||||
Securities Lending Collateral — 4.5% | ||||||||||
19,797,456 | State Street Institutional U.S. Government Money Market Fund, Premier Class*** | 19,797,456 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $52,325,597) | 52,325,597 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 105.6% (Cost $437,942,269) | 464,368,926 | |||||||||
Other Assets and Liabilities (net) — (5.6)% | (24,762,002 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 439,606,924 | ||||||||
|
| |||||||||
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, 2015 was $0. |
22 | See accompanying Notes to the Financial Statements. |
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
147 | Russell 2000 Mini Index | December 2015 | $ | 16,109,730 | $ | (797,378 | ) | |||||||||||
40 | NASDAQ 100 E-mini Index | December 2015 | 3,330,400 | (96,973 | ) | |||||||||||||
7 | S&P Mid 400 E-mini Index | December 2015 | 954,030 | (33,356 | ) | |||||||||||||
|
| |||||||||||||||||
$ | (927,707 | ) | ||||||||||||||||
|
|
See accompanying Notes to the Financial Statements. | 23 |
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Common Stocks | 93.7 | ||||
Warrants | 0.0 | ||||
Futures Contracts | (0.2 | ) | |||
Short-Term Investments | 11.9 | ||||
Other Assets and Liabilities (net) | (5.4 | ) | |||
|
| ||||
�� | 100.0 | % | |||
|
|
24 | See accompanying Notes to the Financial Statements. |
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 93.3% | ||||||||||
Aerospace & Defense — 1.8% | ||||||||||
15,809 | Astronics Corp.* | 639,158 | ||||||||
89,110 | KLX, Inc.* | 3,184,791 | ||||||||
31,667 | Orbital ATK, Inc. | 2,275,907 | ||||||||
35,635 | Spirit Aerosystems Holdings, Inc. Class A* | 1,722,596 | ||||||||
|
| |||||||||
7,822,452 | ||||||||||
|
| |||||||||
Airlines — 0.3% | ||||||||||
52,100 | JetBlue Airways Corp.* | 1,342,617 | ||||||||
|
| |||||||||
Apparel — 0.2% | ||||||||||
61,481 | Ascena Retail Group, Inc.* | 855,201 | ||||||||
|
| |||||||||
Auto Parts & Equipment — 1.2% | ||||||||||
164,115 | Allison Transmission Holdings, Inc. | 4,380,230 | ||||||||
40,820 | Tower International, Inc.* | 969,883 | ||||||||
|
| |||||||||
5,350,113 | ||||||||||
|
| |||||||||
Banks — 6.0% | ||||||||||
23,185 | Ameris Bancorp | 666,569 | ||||||||
91,970 | Capital Bank Financial Corp. Class A* | 2,780,253 | ||||||||
48,555 | Heritage Financial Corp. | 913,805 | ||||||||
227,600 | Huntington Bancshares, Inc. | 2,412,560 | ||||||||
30,938 | International Bancshares Corp. | 774,378 | ||||||||
86,430 | PacWest Bancorp | 3,700,068 | ||||||||
81,591 | PrivateBancorp, Inc. | 3,127,383 | ||||||||
144,120 | United Community Banks, Inc. | 2,945,813 | ||||||||
7,415 | Walker & Dunlop, Inc.* | 193,383 | ||||||||
135,353 | Webster Financial Corp. | 4,822,627 | ||||||||
118,905 | Western Alliance Bancorp* | 3,651,573 | ||||||||
|
| |||||||||
25,988,412 | ||||||||||
|
| |||||||||
Biotechnology — 1.5% | ||||||||||
31,610 | Bio-Rad Laboratories, Inc. Class A* | 4,245,539 | ||||||||
21,175 | Cambrex Corp.* | 840,224 | ||||||||
38,064 | Myriad Genetics, Inc.* ‡ | 1,426,639 | ||||||||
|
| |||||||||
6,512,402 | ||||||||||
|
| |||||||||
Building Materials — 0.3% | ||||||||||
97,035 | Louisiana-Pacific Corp.* | 1,381,778 | ||||||||
|
| |||||||||
Chemicals — 1.6% | ||||||||||
21,720 | Airgas, Inc. | 1,940,248 | ||||||||
51,605 | Albemarle Corp. | 2,275,781 | ||||||||
44,985 | Celanese Corp. Series A | 2,661,762 | ||||||||
|
| |||||||||
6,877,791 | ||||||||||
|
|
See accompanying Notes to the Financial Statements. | 25 |
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Commercial Services — 5.4% | ||||||||||
150,400 | ADT Corp. (The)‡ | 4,496,960 | ||||||||
44,075 | CoreLogic, Inc.* | 1,640,912 | ||||||||
23,725 | Euronet Worldwide, Inc.* | 1,757,785 | ||||||||
59,790 | ICF International, Inc.* | 1,817,018 | ||||||||
4,150 | Insperity, Inc. | 182,310 | ||||||||
95,030 | KAR Auction Services, Inc. | 3,373,565 | ||||||||
65,400 | Kelly Services, Inc. Class A | 924,756 | ||||||||
53,300 | Korn/Ferry International | 1,762,631 | ||||||||
99,355 | ServiceMaster Global Holdings, Inc.* | 3,333,360 | ||||||||
45,130 | Sotheby’s‡ | 1,443,258 | ||||||||
110,460 | SP Plus Corp.* | 2,557,149 | ||||||||
|
| |||||||||
23,289,704 | ||||||||||
|
| |||||||||
Computers — 0.3% | ||||||||||
17,522 | Lumentum Holdings, Inc.* | 296,998 | ||||||||
19,365 | SanDisk Corp. | 1,052,100 | ||||||||
|
| |||||||||
1,349,098 | ||||||||||
|
| |||||||||
Cosmetics & Personal Care — 1.1% | ||||||||||
247,546 | Elizabeth Arden, Inc.* ‡ | 2,893,813 | ||||||||
74,260 | Inter Parfums, Inc. | 1,842,390 | ||||||||
|
| |||||||||
4,736,203 | ||||||||||
|
| |||||||||
Distribution & Wholesale — 0.6% | ||||||||||
39,840 | Tech Data Corp.* | 2,729,040 | ||||||||
|
| |||||||||
Diversified Financial Services — 5.2% | ||||||||||
60,190 | AerCap Holdings NV* | 2,301,666 | ||||||||
90,181 | Blackhawk Network Holdings, Inc.* | 3,822,773 | ||||||||
184,670 | E*TRADE Financial Corp.* | 4,862,361 | ||||||||
161,491 | FNFV Group* | 1,892,674 | ||||||||
71,930 | Invesco, Ltd. | 2,246,374 | ||||||||
43,510 | Lazard, Ltd. Class A | 1,883,983 | ||||||||
125,420 | Leucadia National Corp. | 2,541,009 | ||||||||
26,443 | Outerwall, Inc.‡ | 1,505,400 | ||||||||
80,680 | Santander Consumer USA Holdings, Inc.* | 1,647,486 | ||||||||
|
| |||||||||
22,703,726 | ||||||||||
|
| |||||||||
Electric — 2.0% | ||||||||||
43,637 | Ameren Corp. | 1,844,536 | ||||||||
15,285 | DTE Energy Co. | 1,228,455 | ||||||||
123,950 | Dynegy, Inc.* | 2,562,047 | ||||||||
56,130 | ITC Holdings Corp. | 1,871,374 | ||||||||
68,170 | NRG Energy, Inc. | 1,012,325 | ||||||||
|
| |||||||||
8,518,737 | ||||||||||
|
| |||||||||
Electrical Components & Equipment — 0.6% | ||||||||||
45,915 | EnerSys | 2,460,126 | ||||||||
|
|
26 | See accompanying Notes to the Financial Statements. |
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Electronics — 2.6% | ||||||||||
89,000 | Coherent, Inc.* | 4,868,300 | ||||||||
40,810 | Cubic Corp. | 1,711,571 | ||||||||
112,150 | Dolby Laboratories, Inc. Class A | 3,656,090 | ||||||||
7,950 | Waters Corp.* | 939,770 | ||||||||
|
| |||||||||
11,175,731 | ||||||||||
|
| |||||||||
Engineering & Construction — 0.9% | ||||||||||
239,140 | KBR, Inc. | 3,984,072 | ||||||||
|
| |||||||||
Entertainment — 2.0% | ||||||||||
20,303 | Ascent Capital Group, Inc. Class A* | 555,896 | ||||||||
42,090 | Carmike Cinemas, Inc.* | 845,588 | ||||||||
106,395 | International Speedway Corp. Class A | 3,374,849 | ||||||||
18,718 | Madison Square Garden, Inc. Class A* | 1,350,317 | ||||||||
133,630 | SeaWorld Entertainment, Inc.‡ | 2,379,950 | ||||||||
|
| |||||||||
8,506,600 | ||||||||||
|
| |||||||||
Environmental Control — 0.4% | ||||||||||
42,191 | Clean Harbors, Inc.* | 1,855,138 | ||||||||
|
| |||||||||
Food — 4.0% | ||||||||||
182,910 | Aryzta AG, Unsponsored ADR* | 3,890,496 | ||||||||
135,710 | Fresh Market (The), Inc.* ‡ | 3,065,689 | ||||||||
10,534 | Ingles Markets, Inc. Class A | 503,841 | ||||||||
47,540 | John B Sanfilippo & Son, Inc. | 2,436,900 | ||||||||
69,400 | Pilgrim’s Pride Corp.‡ | 1,442,132 | ||||||||
24,645 | Pinnacle Foods, Inc. | 1,032,133 | ||||||||
10,450 | Sanderson Farms, Inc.‡ | 716,556 | ||||||||
46,400 | TreeHouse Foods, Inc.* | 3,609,456 | ||||||||
34,514 | Village Super Market, Inc. Class A | 814,876 | ||||||||
|
| |||||||||
17,512,079 | ||||||||||
|
| |||||||||
Forest Products & Paper — 1.0% | ||||||||||
20,144 | Deltic Timber Corp. | 1,204,813 | ||||||||
192,623 | Glatfelter | 3,316,968 | ||||||||
|
| |||||||||
4,521,781 | ||||||||||
|
| |||||||||
Gas — 1.5% | ||||||||||
10,870 | Atmos Energy Corp. | 632,417 | ||||||||
56,735 | Energen Corp. | 2,828,807 | ||||||||
55,880 | Laclede Group (The), Inc. | 3,047,136 | ||||||||
|
| |||||||||
6,508,360 | ||||||||||
|
| |||||||||
Hand & Machine Tools — 0.3% | ||||||||||
15,560 | Stanley Black & Decker, Inc. | 1,509,009 | ||||||||
|
| |||||||||
Health Care - Products — 1.8% | ||||||||||
231,375 | Bruker Corp.* | 3,801,491 |
See accompanying Notes to the Financial Statements. | 27 |
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Health Care - Products — continued | ||||||||||
122,765 | Globus Medical, Inc. Class A* | 2,536,325 | ||||||||
33,990 | Hologic, Inc.* | 1,330,029 | ||||||||
|
| |||||||||
7,667,845 | ||||||||||
|
| |||||||||
Health Care - Services — 1.4% | ||||||||||
52,310 | Air Methods Corp.* | 1,783,248 | ||||||||
19,525 | Centene Corp.* | 1,058,841 | ||||||||
81,500 | Kindred Healthcare, Inc. | 1,283,625 | ||||||||
11,530 | Laboratory Corp. of America Holdings* | 1,250,659 | ||||||||
6,855 | Universal Health Services, Inc. Class B | 855,572 | ||||||||
|
| |||||||||
6,231,945 | ||||||||||
|
| |||||||||
Home Builders — 1.2% | ||||||||||
125,500 | Taylor Morrison Home Corp. Class A* | 2,341,830 | ||||||||
232,050 | TRI Pointe Group, Inc.* | 3,037,535 | ||||||||
|
| |||||||||
5,379,365 | ||||||||||
|
| |||||||||
Home Furnishings — 0.6% | ||||||||||
91,513 | La-Z-Boy, Inc. | 2,430,585 | ||||||||
|
| |||||||||
Hotel Restaurants & Leisure — 0.1% | ||||||||||
27,893 | J. Alexander’s Holdings, Inc.* | 278,091 | ||||||||
|
| |||||||||
Household Products & Wares — 0.3% | ||||||||||
100,960 | SodaStream International, Ltd.* ‡ | 1,389,210 | ||||||||
|
| |||||||||
Insurance — 5.8% | ||||||||||
6,011 | Alleghany Corp.* | 2,813,809 | ||||||||
15,980 | Allied World Assurance Co. Holdings AG | 609,957 | ||||||||
9,790 | American National Insurance Co. | 955,896 | ||||||||
51,745 | Axis Capital Holdings, Ltd. | 2,779,741 | ||||||||
92,162 | Brown & Brown, Inc. | 2,854,257 | ||||||||
16,171 | Reinsurance Group of America, Inc. | 1,464,931 | ||||||||
13,330 | RenaissanceRe Holdings, Ltd. | 1,417,246 | ||||||||
90,464 | Voya Financial, Inc. | 3,507,289 | ||||||||
7,140 | White Mountains Insurance Group, Ltd. | 5,335,722 | ||||||||
99,370 | XL Group Plc | 3,609,118 | ||||||||
|
| |||||||||
25,347,966 | ||||||||||
|
| |||||||||
Internet — 0.8% | ||||||||||
26,820 | IAC/InterActiveCorp | 1,750,541 | ||||||||
43,320 | Liberty Ventures Class A* | 1,747,962 | ||||||||
|
| |||||||||
3,498,503 | ||||||||||
|
| |||||||||
Investment Company — 0.4% | ||||||||||
35,112 | Capital Southwest Corp.‡ | 1,664,309 | ||||||||
|
| |||||||||
Iron & Steel — 0.2% | ||||||||||
17,900 | Nucor Corp. | 672,145 | ||||||||
|
|
28 | See accompanying Notes to the Financial Statements. |
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Lodging — 0.8% | ||||||||||
192,065 | MGM Resorts International* | 3,543,599 | ||||||||
|
| |||||||||
Machinery - Diversified — 0.3% | ||||||||||
49,912 | Albany International Corp. Class A | 1,427,982 | ||||||||
|
| |||||||||
Media — 1.6% | ||||||||||
106,400 | Gray Television, Inc.* | 1,357,664 | ||||||||
45,910 | Liberty Broadband Corp. Class C* | 2,349,215 | ||||||||
90,660 | News Corp. Class A | 1,144,129 | ||||||||
71,505 | TEGNA, Inc. | 1,600,997 | ||||||||
11,432 | Tribune Media Co. Class A | 406,979 | ||||||||
|
| |||||||||
6,858,984 | ||||||||||
|
| |||||||||
Mining — 0.7% | ||||||||||
101,935 | Materion Corp. | 3,060,089 | ||||||||
|
| |||||||||
Miscellaneous - Manufacturing — 2.7% | ||||||||||
15,453 | AptarGroup, Inc. | 1,019,280 | ||||||||
83,627 | Brink’s Co. (The) | 2,258,765 | ||||||||
106,035 | ITT Corp. | 3,544,750 | ||||||||
391,882 | Orkla ASA, Sponsored ADR | 2,860,739 | ||||||||
98,705 | Trinity Industries, Inc. | 2,237,642 | ||||||||
|
| |||||||||
11,921,176 | ||||||||||
|
| |||||||||
Office & Business Equipment — 0.3% | ||||||||||
26,090 | Avery Dennison Corp. | 1,475,911 | ||||||||
|
| |||||||||
Oil & Gas — 2.9% | ||||||||||
145,336 | Evolution Petroleum Corp. | 806,615 | ||||||||
295,240 | Gran Tierra Energy, Inc.* | 628,861 | ||||||||
44,710 | Murphy USA, Inc.* | 2,456,814 | ||||||||
107,350 | Newfield Exploration Co.* | 3,531,815 | ||||||||
33,355 | PBF Energy, Inc. Class A | 941,612 | ||||||||
578,090 | Precision Drilling Corp. | 2,150,495 | ||||||||
47,700 | QEP Resources, Inc. | 597,681 | ||||||||
197,545 | WPX Energy, Inc.* | 1,307,748 | ||||||||
|
| |||||||||
12,421,641 | ||||||||||
|
| |||||||||
Packaging & Containers — 1.4% | ||||||||||
84,780 | Berry Plastics Group, Inc.* | 2,549,335 | ||||||||
43,895 | Crown Holdings, Inc.* | 2,008,196 | ||||||||
31,755 | WestRock Co. | 1,633,477 | ||||||||
|
| |||||||||
6,191,008 | ||||||||||
|
| |||||||||
Pharmaceuticals — 0.9% | ||||||||||
15,285 | Jazz Pharmaceuticals Plc* | 2,030,001 | ||||||||
38,955 | VCA, Inc.* | 2,050,981 | ||||||||
|
| |||||||||
4,080,982 | ||||||||||
|
|
See accompanying Notes to the Financial Statements. | 29 |
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Pipelines — 0.3% | ||||||||||
23,336 | National Fuel Gas Co. | 1,166,333 | ||||||||
|
| |||||||||
Real Estate — 2.3% | ||||||||||
129,245 | CBRE Group, Inc.* | 4,135,840 | ||||||||
75,336 | Forest City Enterprises, Inc. Class A* | 1,516,514 | ||||||||
274,143 | Forestar Group, Inc.* ‡ | 3,604,980 | ||||||||
44,022 | Hilltop Holdings, Inc.* | 872,076 | ||||||||
|
| |||||||||
10,129,410 | ||||||||||
|
| |||||||||
REITS — 5.8% | ||||||||||
206,915 | BioMed Realty Trust, Inc. REIT | 4,134,162 | ||||||||
251,411 | Brandywine Realty Trust REIT | 3,097,384 | ||||||||
104,609 | DuPont Fabros Technology, Inc. REIT | 2,707,281 | ||||||||
66,581 | Geo Group (The), Inc. REIT | 1,980,119 | ||||||||
125,095 | Liberty Property Trust REIT | 3,941,743 | ||||||||
114,980 | Physicians Realty Trust REIT | 1,735,048 | ||||||||
200,865 | Ramco-Gershenson Properties Trust REIT | 3,014,984 | ||||||||
23,130 | SL Green Realty Corp. REIT | 2,501,741 | ||||||||
173,837 | Sunstone Hotel Investors, Inc. REIT | 2,299,863 | ||||||||
|
| |||||||||
25,412,325 | ||||||||||
|
| |||||||||
Retail — 4.4% | ||||||||||
243,667 | American Eagle Outfitters, Inc.‡ | 3,808,515 | ||||||||
7,461 | Biglari Holdings, Inc.* | 2,728,786 | ||||||||
28,333 | Children’s Place (The), Inc. | 1,633,964 | ||||||||
6,675 | Foot Locker, Inc. | 480,400 | ||||||||
153,760 | Fred’s, Inc. Class A | 1,822,056 | ||||||||
11,170 | Group 1 Automotive, Inc. | 951,125 | ||||||||
104,695 | Haverty Furniture Cos., Inc. | 2,458,239 | ||||||||
38,880 | Michael Kors Holdings, Ltd.* | 1,642,291 | ||||||||
14,810 | MSC Industrial Direct Co., Inc. Class A | 903,854 | ||||||||
27,340 | PVH Corp. | 2,787,040 | ||||||||
|
| |||||||||
19,216,270 | ||||||||||
|
| |||||||||
Savings & Loans — 0.3% | ||||||||||
49,680 | Washington Federal, Inc. | 1,130,220 | ||||||||
|
| |||||||||
Semiconductors — 4.6% | ||||||||||
40,050 | Cirrus Logic, Inc.* | 1,261,975 | ||||||||
99,300 | Integrated Device Technology, Inc.* | 2,015,790 | ||||||||
768,115 | Lattice Semiconductor Corp.* | 2,957,243 | ||||||||
48,225 | Mellanox Technologies, Ltd.* | 1,822,423 | ||||||||
150,127 | Microsemi Corp.* | 4,927,168 | ||||||||
29,090 | Skyworks Solutions, Inc. | 2,449,669 | ||||||||
264,805 | Teradyne, Inc. | 4,769,138 | ||||||||
|
| |||||||||
20,203,406 | ||||||||||
|
|
30 | See accompanying Notes to the Financial Statements. |
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Software — 3.1% | ||||||||||
132,159 | CSG Systems International, Inc. | 4,070,497 | ||||||||
54,530 | Electronic Arts, Inc.* | 3,694,408 | ||||||||
550,985 | Mitel Networks Corp.* ‡ | 3,553,853 | ||||||||
71,670 | VeriFone Systems, Inc.* | 1,987,409 | ||||||||
|
| |||||||||
13,306,167 | ||||||||||
|
| |||||||||
Telecommunications — 3.9% | ||||||||||
24,330 | Amdocs, Ltd. | 1,383,890 | ||||||||
22,850 | Atlantic Tele-Network, Inc. | 1,689,301 | ||||||||
147,845 | Ciena Corp.* | 3,063,348 | ||||||||
32,325 | Harris Corp. | 2,364,574 | ||||||||
78,235 | Level 3 Communications, Inc.* | 3,418,087 | ||||||||
97,434 | NeuStar, Inc. Class A* ‡ | 2,651,179 | ||||||||
102,681 | Telephone & Data Systems, Inc. | 2,562,918 | ||||||||
|
| |||||||||
17,133,297 | ||||||||||
|
| |||||||||
Textiles — 1.1% | ||||||||||
46,046 | UniFirst Corp. | 4,918,173 | ||||||||
|
| |||||||||
Transportation — 2.1% | ||||||||||
125,111 | Air Transport Services Group, Inc.* | 1,069,699 | ||||||||
26,102 | Forward Air Corp. | 1,082,972 | ||||||||
241,119 | Marten Transport, Ltd. | 3,898,894 | ||||||||
33,465 | Ryder System, Inc. | 2,477,749 | ||||||||
55,675 | Tsakos Energy Navigation, Ltd. | 452,638 | ||||||||
|
| |||||||||
8,981,952 | ||||||||||
|
| |||||||||
Water — 0.4% | ||||||||||
160,449 | PICO Holdings, Inc.* | 1,553,146 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $432,388,600) | 406,182,205 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 15.8% | ||||||||||
Bank Deposit — 8.4% | ||||||||||
36,785,098 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/01/15 | 36,785,098 | ||||||||
|
| |||||||||
Securities Lending Collateral — 7.4% | ||||||||||
32,139,919 | State Street Institutional U.S. Government Money Market Fund, Premier Class*** | 32,139,919 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $68,925,017) | 68,925,017 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 109.1% (Cost $501,313,617) | 475,107,222 | |||||||||
Other Assets and Liabilities (net) — (9.1)% | (39,499,803 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 435,607,419 | ||||||||
|
|
See accompanying Notes to the Financial Statements. | 31 |
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Notes to Schedule of Investments: | ||||||
ADR — American Depository Receipt | ||||||
REIT — Real Estate Investment Trust | ||||||
* | Non-income producing security | |||||
‡ | All or a portion of this security is out on loan. | |||||
*** | Represents an investment of securities lending cash collateral. |
32 | See accompanying Notes to the Financial Statements. |
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
47 | Russell 2000 Mini Index | December 2015 | $ | 5,150,730 | $ | (273,272 | ) | |||||||||||
112 | S&P Mid 400 E-mini Index | December 2015 | 15,264,480 | (486,591 | ) | |||||||||||||
|
| |||||||||||||||||
$ | (759,863 | ) | ||||||||||||||||
|
|
See accompanying Notes to the Financial Statements. | 33 |
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Common Stocks | 93.3 | ||||
Futures Contracts | (0.2 | ) | |||
Short-Term Investments | 15.8 | ||||
Other Assets and Liabilities (net) | (8.9 | ) | |||
|
| ||||
100.0 | % | ||||
|
|
34 | See accompanying Notes to the Financial Statements. |
Mercer Non-US Core Equity Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 92.1% | ||||||||||
Australia — 3.2% | ||||||||||
305,255 | AGL Energy, Ltd. | 3,433,250 | ||||||||
18,354 | Ansell, Ltd. | 243,712 | ||||||||
912,600 | Asaleo Care, Ltd. | 1,150,301 | ||||||||
21,101 | ASX, Ltd. | 563,104 | ||||||||
327,406 | Austria & New Zealand Banking Group, Ltd. | 6,275,222 | ||||||||
294,129 | BGP Holdings Plc¤ **** | — | ||||||||
36,209 | BHP Billiton, Ltd. | 571,363 | ||||||||
63,188 | BHP Billiton, Ltd., Sponsored ADR | 1,998,005 | ||||||||
1,716,137 | Brambles, Ltd. | 11,771,980 | ||||||||
59,812 | BT Investment Management, Ltd. | 405,099 | ||||||||
336,223 | Computershare, Ltd. | 2,508,352 | ||||||||
65,655 | CSL, Ltd. | 4,139,046 | ||||||||
643,094 | CSR, Ltd. | 1,315,421 | ||||||||
4,817 | Domino’s Pizza Enterprises, Ltd. | 136,481 | ||||||||
198,479 | Downer EDI, Ltd. | 467,284 | ||||||||
975,799 | Evolution Mining, Ltd. | 874,918 | ||||||||
259,976 | Goodman Group REIT | 1,071,195 | ||||||||
205,635 | Harvey Norman Holdings, Ltd.‡ | 564,826 | ||||||||
62,379 | Lend Lease Group | 551,526 | ||||||||
68,368 | M2 Group, Ltd. | 456,898 | ||||||||
33,341 | Macquarie Group, Ltd. | 1,813,486 | ||||||||
43,324 | Magellan Financial Group, Ltd. | 580,705 | ||||||||
130,170 | McMillan Shakespeare, Ltd. | 1,127,793 | ||||||||
166,764 | Orica, Ltd.‡ | 1,767,320 | ||||||||
5,428 | Perpetual, Ltd.‡ | 151,725 | ||||||||
537,081 | Primary Health Care, Ltd.‡ | 1,432,980 | ||||||||
918,412 | Qantas Airways, Ltd.* | 2,405,914 | ||||||||
31,408 | Ramsay Health Care, Ltd. | 1,293,531 | ||||||||
46,951 | Rio Tinto, Ltd. | 1,614,192 | ||||||||
67,838 | Seek, Ltd.‡ | 575,889 | ||||||||
1,094,627 | Sigma Pharmaceuticals, Ltd. | 573,820 | ||||||||
96,033 | Sirtex Medical, Ltd. | 2,226,053 | ||||||||
138,069 | Suncorp Group, Ltd. | 1,190,229 | ||||||||
1,267,257 | Telstra Corp., Ltd. | 5,005,296 | ||||||||
105,339 | TPG Telecom, Ltd. | 805,608 | ||||||||
181,299 | Westfield Corp. REIT | 1,272,507 | ||||||||
|
| |||||||||
Total Australia | 62,335,031 | |||||||||
|
| |||||||||
Austria — 0.3% | ||||||||||
69,976 | Erste Group Bank AG* | 2,032,209 | ||||||||
74,444 | OMV AG | 1,807,787 | ||||||||
37,607 | Voestalpine AG | 1,292,631 | ||||||||
|
| |||||||||
Total Austria | 5,132,627 | |||||||||
|
| |||||||||
Belgium — 1.3% | ||||||||||
55,042 | Ageas | 2,257,099 | ||||||||
100,986 | Anheuser-Busch InBev NV | 10,715,095 |
See accompanying Notes to the Financial Statements. | 35 |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Belgium — continued | ||||||||||
24,012 | Anheuser-Busch InBev NV, Sponsored ADR | 2,552,956 | ||||||||
21,358 | bpost SA | 506,595 | ||||||||
41,830 | Colruyt SA | 2,011,390 | ||||||||
19,032 | Delhaize Group | 1,685,451 | ||||||||
83,430 | KBC Groep NV | 5,255,634 | ||||||||
10,267 | Ontex Group NV | 315,400 | ||||||||
26,397 | Proximus | 908,790 | ||||||||
|
| |||||||||
Total Belgium | 26,208,410 | |||||||||
|
| |||||||||
Bermuda — 0.2% | ||||||||||
1,967,433 | Esprit Holdings, Ltd. | 1,473,371 | ||||||||
162,872 | Hiscox, Ltd. | 2,326,651 | ||||||||
|
| |||||||||
Total Bermuda | 3,800,022 | |||||||||
|
| |||||||||
Brazil — 0.1% | ||||||||||
573,000 | JBS SA | 2,417,509 | ||||||||
|
| |||||||||
Canada — 0.5% | ||||||||||
20,256 | Boardwalk Real Estate Investment Trust REIT | 828,249 | ||||||||
18,155 | Fairfax Financial Holdings, Ltd. | 8,229,671 | ||||||||
|
| |||||||||
Total Canada | 9,057,920 | |||||||||
|
| |||||||||
Cayman Islands — 0.8% | ||||||||||
1,339,500 | China Hongqiao Group, Ltd. | 634,128 | ||||||||
3,714,000 | Jiangnan Group, Ltd. | 771,645 | ||||||||
2,741,000 | Lee & Man Paper Manufacturing, Ltd. | 1,395,443 | ||||||||
158,717 | Phoenix Group Holdings | 1,968,772 | ||||||||
497,250 | Tencent Holdings, Ltd. | 8,375,952 | ||||||||
1,340,000 | United Laboratories International Holdings, Ltd. (The)* | 687,706 | ||||||||
3,810,000 | Universal Health International Group Holding, Ltd. | 1,256,519 | ||||||||
2,144,000 | Xinyi Glass Holdings, Ltd. | 966,185 | ||||||||
|
| |||||||||
Total Cayman Islands | 16,056,350 | |||||||||
|
| |||||||||
China — 0.1% | ||||||||||
905,000 | China Railway Construction Corp., Ltd. Class H | 1,344,131 | ||||||||
421,100 | Shanghai Pharmaceuticals Holding Co., Ltd. Class H | 887,234 | ||||||||
|
| |||||||||
Total China | 2,231,365 | |||||||||
|
| |||||||||
Denmark — 2.7% | ||||||||||
911 | AP Moeller - Maersk AS Class B | 1,404,322 | ||||||||
11,455 | Coloplast AS Class B | 811,952 | ||||||||
98,839 | Danske Bank AS | 2,986,931 | ||||||||
7,782 | DSV AS | 290,987 | ||||||||
69,415 | GN Store Nord AS | 1,247,104 | ||||||||
29,208 | Jyske Bank AS* | 1,617,216 | ||||||||
15,652 | NKT Holding AS | 826,119 | ||||||||
193,388 | Novo Nordisk AS Class B | 10,399,781 | ||||||||
119,576 | Novo Nordisk AS, Sponsored ADR | 6,485,802 |
36 | See accompanying Notes to the Financial Statements. |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Denmark — continued | ||||||||||
35,874 | Novozymes AS Class B | 1,565,236 | ||||||||
171,447 | Pandora AS | 20,041,026 | ||||||||
38,729 | Sydbank AS | 1,474,439 | ||||||||
454,702 | TDC AS | 2,344,313 | ||||||||
|
| |||||||||
Total Denmark | 51,495,228 | |||||||||
|
| |||||||||
Finland — 0.3% | ||||||||||
8,894 | Elisa OYJ | 300,755 | ||||||||
13,703 | Kone OYJ‡ | 521,584 | ||||||||
12,657 | Konecranes OYJ‡ | 316,829 | ||||||||
60,173 | Neste OYJ | 1,385,224 | ||||||||
91,251 | Sponda OYJ | 356,424 | ||||||||
175,548 | UPM-Kymmene OYJ | 2,634,748 | ||||||||
|
| |||||||||
Total Finland | 5,515,564 | |||||||||
|
| |||||||||
France — 8.1% | ||||||||||
167,404 | Accor SA | 7,828,571 | ||||||||
88,521 | Airbus Group SE | 5,252,382 | ||||||||
83,000 | Altran Technologies SA | 963,091 | ||||||||
427 | AtoS SE | 32,760 | ||||||||
111,860 | AXA SA | 2,712,847 | ||||||||
36,300 | BNP Paribas SA | 2,135,352 | ||||||||
30,814 | Cap Gemini SA | 2,742,883 | ||||||||
6,681 | Casino Guichard Perrachon SA | 355,430 | ||||||||
10,638 | Christian Dior SE | 1,989,570 | ||||||||
40,716 | Cie de Saint-Gobain | 1,766,869 | ||||||||
17,759 | Cie Generale des Etablissements Michelin | 1,618,874 | ||||||||
129,388 | CNP Assurances | 1,795,153 | ||||||||
269,712 | Danone SA | 17,040,103 | ||||||||
47,076 | Dassault Systemes SA | 3,472,169 | ||||||||
63,762 | Edenred | 1,041,893 | ||||||||
76,000 | Electricite de France SA | 1,341,045 | ||||||||
36,211 | Essilor International SA | 4,418,538 | ||||||||
14,816 | Euler Hermes Group | 1,372,204 | ||||||||
34,478 | Faurecia | 1,073,612 | ||||||||
49,717 | Groupe Eurotunnel SE | 676,461 | ||||||||
1,131 | Iliad SA | 228,745 | ||||||||
9,996 | Ipsen SA | 619,605 | ||||||||
42,863 | IPSOS | 841,909 | ||||||||
23,724 | L’Oreal SA | 4,121,047 | ||||||||
16,841 | Lagardere SCA | 466,344 | ||||||||
136,990 | Legrand SA | 7,275,713 | ||||||||
35,906 | LVMH Moet Hennessy Louis Vuitton SE | 6,120,767 | ||||||||
56,503 | Metropole Television SA | 1,079,535 | ||||||||
223,200 | Natixis SA | 1,231,955 | ||||||||
47,556 | Neopost SA | 1,238,522 | ||||||||
38,885 | Orange SA, Sponsored ADR | 587,941 | ||||||||
253,612 | Orange SA | 3,831,454 | ||||||||
84,319 | Pernod-Ricard SA | 8,505,414 |
See accompanying Notes to the Financial Statements. | 37 |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
France — continued | ||||||||||
21,772 | Publicis Groupe SA | 1,485,937 | ||||||||
41,947 | Renault SA | 3,010,217 | ||||||||
9,419 | Safran SA | 709,960 | ||||||||
173,731 | Sanofi | 16,533,561 | ||||||||
352 | Sartorius Stedim Biotech | 104,650 | ||||||||
51,361 | Schneider Electric SE | 2,877,305 | ||||||||
63,400 | Societe Generale SA | 2,833,093 | ||||||||
32,268 | Societe Television Francaise 1 | 453,370 | ||||||||
86,514 | Technicolor | 597,305 | ||||||||
40,299 | Thales SA | 2,804,685 | ||||||||
352,140 | Total SA | 15,859,921 | ||||||||
114,138 | UBISOFT Entertainment* | 2,312,571 | ||||||||
60,857 | Valeo SA | 8,232,812 | ||||||||
134,298 | Vivendi SA | 3,176,225 | ||||||||
|
| |||||||||
Total France | 156,770,370 | |||||||||
|
| |||||||||
Germany — 8.4% | ||||||||||
18,165 | Allianz SE | 2,844,167 | ||||||||
22,267 | Aurubis AG | 1,413,823 | ||||||||
26,806 | BASF SE | 2,043,311 | ||||||||
212,088 | Bayer AG | 27,078,697 | ||||||||
1,800 | Bayer AG, Sponsored ADR | 230,472 | ||||||||
22,808 | Bayerische Motoren Werke AG | 2,016,032 | ||||||||
6,948 | Bechtle AG | 624,324 | ||||||||
66,116 | Brenntag AG | 3,554,422 | ||||||||
111,157 | Commerzbank AG* | 1,168,847 | ||||||||
24,959 | Continental AG | 5,296,324 | ||||||||
37,605 | DaimlerChrysler AG | 2,723,144 | ||||||||
259,897 | Deutsche Bank AG | 6,979,796 | ||||||||
21,362 | Deutsche Boerse AG | 1,837,050 | ||||||||
6,888 | Deutsche Euroshop AG | 309,178 | ||||||||
91,019 | Deutsche Post AG | 2,516,501 | ||||||||
123,038 | Deutsche Telekom AG | 2,181,928 | ||||||||
226,603 | Deutsche Wohnen AG | 6,049,705 | ||||||||
116,064 | Deutz AG | 388,696 | ||||||||
66,623 | DIC Asset AG‡ | 598,619 | ||||||||
5,412 | Drillisch AG | 287,042 | ||||||||
6,818 | Duerr AG | 478,091 | ||||||||
126,579 | E.ON AG | 1,084,790 | ||||||||
52,900 | Evonik Industries AG | 1,766,315 | ||||||||
17,991 | Freenet AG | 593,196 | ||||||||
161,502 | Fresenius Medical Care AG & Co. KGaA | 12,580,451 | ||||||||
35,196 | Fresenius SE & Co. KGaA | 2,358,206 | ||||||||
64,680 | GEA Group AG | 2,455,662 | ||||||||
20,233 | HeidelbergCement AG | 1,384,003 | ||||||||
293,752 | Infineon Technologies AG | 3,297,814 | ||||||||
130,943 | Jenoptik AG | 1,850,580 | ||||||||
59,166 | K+S AG | 1,975,492 | ||||||||
5,471 | KUKA AG‡ | 418,449 |
38 | See accompanying Notes to the Financial Statements. |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Germany — continued | ||||||||||
34,526 | LEG Immobilien AG* | 2,843,618 | ||||||||
22,512 | Leoni AG | 1,196,825 | ||||||||
38,417 | METRO AG | 1,058,708 | ||||||||
23,960 | Muenchener Rueckver AG | 4,459,045 | ||||||||
29,743 | ProSiebenSat.1 Media SE | 1,455,010 | ||||||||
27,895 | Rheinmetall AG | 1,705,177 | ||||||||
55,282 | Rhoen-Klinikum AG‡ | 1,561,788 | ||||||||
13,236 | SAP SE | 855,440 | ||||||||
66,856 | Siemens AG | 5,966,984 | ||||||||
27,715 | Sixt SE | 1,346,659 | ||||||||
61,632 | Software AG | 1,794,048 | ||||||||
33,833 | STADA Arzneimittel AG | 1,208,488 | ||||||||
197,581 | Symrise AG | 11,856,274 | ||||||||
132,073 | TAG Immobilien AG‡ | 1,563,138 | ||||||||
52,401 | Talanx AG* | 1,565,590 | ||||||||
41,430 | Telefonica Deutschland Holding AG | 252,590 | ||||||||
6,974 | Volkswagen AG‡ | 818,265 | ||||||||
281,345 | Vonovia SE | 9,034,029 | ||||||||
7,017 | Wacker Chemie AG‡ | 531,359 | ||||||||
19,819 | Wirecard AG | 946,532 | ||||||||
351,540 | Zalando SE* | 11,631,583 | ||||||||
|
| |||||||||
Total Germany | 164,036,277 | |||||||||
|
| |||||||||
Hong Kong — 0.8% | ||||||||||
1,837,200 | AIA Group, Ltd. | 9,565,462 | ||||||||
117,200 | Hong Kong Exchanges and Clearing, Ltd. | 2,695,222 | ||||||||
3,458,000 | PCCW, Ltd. | 1,788,862 | ||||||||
342,000 | Wheelock & Co., Ltd. | 1,490,238 | ||||||||
|
| |||||||||
Total Hong Kong | 15,539,784 | |||||||||
|
| |||||||||
Hungary — 0.1% | ||||||||||
20,405 | MOL Hungarian Oil & Gas Plc | 890,221 | ||||||||
72,667 | Richter Gedeon Nyrt | 1,155,401 | ||||||||
|
| |||||||||
Total Hungary | 2,045,622 | |||||||||
|
| |||||||||
India — 0.0% | ||||||||||
36,200 | Tata Motors, Ltd., Sponsored ADR* | 814,500 | ||||||||
|
| |||||||||
Indonesia — 0.2% | ||||||||||
5,875,600 | Bank Mandiri Persero Tbk PT | 3,187,924 | ||||||||
3,540,700 | Bank Negara Indonesia Persero Tbk PT | 1,003,005 | ||||||||
|
| |||||||||
Total Indonesia | 4,190,929 | |||||||||
|
| |||||||||
Ireland — 0.5% | ||||||||||
45,959 | Accenture Plc Class A | 4,515,932 | ||||||||
313,147 | C&C Group Plc | 1,239,471 | ||||||||
38,500 | CRH Plc, Sponsored ADR | 1,021,790 | ||||||||
5,358,279 | Governor & Co. of the Bank of Ireland (The)* | 2,083,818 | ||||||||
|
| |||||||||
Total Ireland | 8,861,011 | |||||||||
|
|
See accompanying Notes to the Financial Statements. | 39 |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Israel — 0.5% | ||||||||||
249,907 | Bezeq Israeli Telecommunication Corp., Ltd. | 477,805 | ||||||||
70,770 | Teva Pharmaceutical Industries, Ltd. | 3,999,541 | ||||||||
81,022 | Teva Pharmaceutical Industries, Ltd., Sponsored ADR | 4,574,502 | ||||||||
|
| |||||||||
Total Israel | 9,051,848 | |||||||||
|
| |||||||||
Italy — 1.6% | ||||||||||
183,100 | Astaldi Spa | 1,670,052 | ||||||||
42,304 | Atlantia Spa | 1,183,223 | ||||||||
12,685 | Danieli & C. Officine Meccaniche Spa-RSP | 193,352 | ||||||||
9,093 | ENI Spa | 142,925 | ||||||||
5,122 | EXOR Spa | 223,561 | ||||||||
13,400 | Industria Macchine Automatiche Spa‡ | 599,479 | ||||||||
3,984,920 | Intesa Sanpaolo Spa | 14,058,257 | ||||||||
195,782 | Intesa Sanpaolo Spa-RSP | 630,068 | ||||||||
16,404 | Luxottica Group Spa | 1,139,137 | ||||||||
34,388 | Salvatore Ferragamo Spa‡ | 917,411 | ||||||||
214,391 | Saras Spa* | 456,366 | ||||||||
576,655 | Snam Spa | 2,964,535 | ||||||||
2,114,357 | Telecom Italia Spa* | 2,596,949 | ||||||||
1,363,826 | Telecom Italia Spa-RNC | 1,398,177 | ||||||||
241,429 | UniCredit Spa | 1,503,103 | ||||||||
415,739 | Unipol Gruppo Finanziario Spa | 1,830,023 | ||||||||
|
| |||||||||
Total Italy | 31,506,618 | |||||||||
|
| |||||||||
Japan — 21.3% | ||||||||||
196,000 | 77 Bank, Ltd. (The) | 1,118,276 | ||||||||
64,200 | Aeon Co., Ltd.‡ | 1,001,091 | ||||||||
39,000 | Air Water, Inc. | 589,141 | ||||||||
32,900 | Aisin Seiki Co., Ltd. | 1,108,406 | ||||||||
8,500 | Alpine Electronics, Inc. | 93,563 | ||||||||
17,800 | Amano Corp.‡ | 206,715 | ||||||||
307,500 | Astellas Pharma, Inc. | 3,998,657 | ||||||||
60,000 | Bank of Kyoto, Ltd. (The) | 613,530 | ||||||||
399,000 | Bank of Yokohama, Ltd. (The) | 2,434,951 | ||||||||
38,800 | Bridgestone Corp. | 1,351,173 | ||||||||
275,000 | Calsonic Kansei Corp.‡ | 2,078,022 | ||||||||
21,886 | Canon, Inc., Sponsored ADR | 634,037 | ||||||||
116,100 | Canon, Inc. | 3,369,159 | ||||||||
273,600 | Central Glass Co., Ltd. | 1,204,578 | ||||||||
10,400 | Central Japan Railway Co. | 1,684,753 | ||||||||
47,500 | Century Tokyo Leasing Corp.‡ | 1,379,870 | ||||||||
340,294 | Chiba Bank, Ltd. (The) | 2,425,989 | ||||||||
74,600 | Chubu Electric Power Co., Inc. | 1,104,960 | ||||||||
33,600 | Chugai Pharmaceutical Co., Ltd. | 1,035,871 | ||||||||
74,500 | COMSYS Holdings Corp.‡ | 891,359 | ||||||||
395,300 | Dai-ichi Life Insurance Co., Ltd. (The) | 6,332,322 | ||||||||
182,400 | Daihatsu Motor Co., Ltd.‡ | 2,120,679 | ||||||||
131,100 | Daiichi Sanyko Co., Ltd.‡ | 2,293,024 | ||||||||
53,500 | Daiwa House Industry Co., Ltd. | 1,330,160 |
40 | See accompanying Notes to the Financial Statements. |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
311,246 | Daiwa Securities Group, Inc. | 2,020,498 | ||||||||
3,700 | Denso Corp. | 157,122 | ||||||||
721,000 | DIC Corp. | 1,622,394 | ||||||||
41,200 | East Japan Railway Co. | 3,492,335 | ||||||||
18,600 | Eisai Co., Ltd.‡ | 1,105,082 | ||||||||
20,900 | Enplas Corp.‡ | 727,082 | ||||||||
6,200 | Fast Retailing Co., Ltd.‡ | 2,521,652 | ||||||||
260,200 | Fuji Heavy Industries, Ltd. | 9,431,503 | ||||||||
148,900 | Fuji Media Holdings, Inc. | 1,742,923 | ||||||||
70,500 | Fuji Oil Co., Ltd. | 919,357 | ||||||||
69,600 | FUJIFILM Holdings Corp. | 2,615,809 | ||||||||
451,000 | Fujikura, Ltd. | 1,875,947 | ||||||||
35,900 | Fujitec Co., Ltd. | 314,161 | ||||||||
310,000 | Fujitsu, Ltd. | 1,354,136 | ||||||||
133,000 | Fukuoka Financial Group, Inc. | 635,758 | ||||||||
58,397 | Glory, Ltd. | 1,384,570 | ||||||||
91,000 | Gunma Bank, Ltd. (The) | 582,919 | ||||||||
230,294 | Hachijuni Bank, Ltd. (The) | 1,631,483 | ||||||||
38,800 | Hirose Electric Co., Ltd.‡ | 4,244,255 | ||||||||
32,900 | Hitachi Chemical Co., Ltd.‡ | 455,647 | ||||||||
59,600 | Hitachi High-Technologies Corp. | 1,296,634 | ||||||||
116,000 | Hokuhoku Financial Group, Inc. | 267,440 | ||||||||
25,266 | Honda Motor Co., Ltd., Sponsored ADR | 755,453 | ||||||||
48,900 | Honda Motor Co., Ltd. | 1,460,569 | ||||||||
65,700 | Hoya Corp. | 2,162,486 | ||||||||
36,700 | IBJ Leasing Co., Ltd.‡ | 718,540 | ||||||||
46,700 | Iida Group Holdings Co., Ltd. | 732,679 | ||||||||
259,800 | Inpex Holdings, Inc. | 2,324,969 | ||||||||
177,100 | Isuzu Motors, Ltd. | 1,787,555 | ||||||||
11,600 | IT Holdings Corp.‡ | 263,827 | ||||||||
62,700 | Ito En, Ltd.‡ | 1,317,240 | ||||||||
252,500 | Itochu Corp.‡ | 2,682,688 | ||||||||
38,900 | Iyo Bank, Ltd. (The) | 449,254 | ||||||||
78,200 | Japan Airlines Co., Ltd. | 2,765,254 | ||||||||
45,700 | Japan Exchange Group, Inc. | 671,562 | ||||||||
482,400 | Japan Tobacco, Inc. | 15,031,475 | ||||||||
178,000 | JFE Holdings, Inc.‡ | 2,344,473 | ||||||||
469,714 | Joyo Bank, Ltd. (The) | 2,486,042 | ||||||||
202,000 | Kaneka Corp. | 1,495,788 | ||||||||
663,000 | Kanematsu Corp. | 934,501 | ||||||||
299,408 | Kao Corp. | 13,625,810 | ||||||||
280,000 | Kawasaki Kisen Kaisha, Ltd.‡ | 618,192 | ||||||||
766,500 | KDDI Corp. | 17,193,919 | ||||||||
108,300 | Keihin Corp. | 1,541,569 | ||||||||
16,500 | Keyence Corp. | 7,400,008 | ||||||||
81,300 | Kiyo Bank, Ltd. (The) | 1,309,433 | ||||||||
45,700 | Kobayashi Pharmaceutical Co., Ltd. | 3,454,323 | ||||||||
977,000 | Kobe Steel, Ltd.‡ | 1,065,338 | ||||||||
104,800 | Komatsu, Ltd.‡ | 1,545,010 | ||||||||
104,400 | Komori Corp.‡ | 1,081,155 |
See accompanying Notes to the Financial Statements. | 41 |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
458,100 | Konica Minolta Holdings, Inc. | 4,843,856 | ||||||||
17,886 | Kose Corp.‡ | 1,641,082 | ||||||||
688,000 | Kubota Corp. | 9,490,365 | ||||||||
342,000 | KYB Co., Ltd.‡ | 908,540 | ||||||||
69,000 | Kyowa Hakko Kirin Co., Ltd. | 1,032,131 | ||||||||
71,000 | Kyudenko Corp.‡ | 1,188,464 | ||||||||
392,400 | Marubeni Corp.‡ | 1,929,667 | ||||||||
82,000 | Mazda Motor Corp. | 1,303,989 | ||||||||
132 | MCUBS MidCity Investment Corp. REIT | 345,417 | ||||||||
105,400 | Mitsubishi Chemical Holdings Corp. | 553,770 | ||||||||
165,500 | Mitsubishi Co. | 2,725,585 | ||||||||
198,000 | Mitsubishi Electric Corp. | 1,821,015 | ||||||||
302,000 | Mitsubishi Gas Chemical Co., Inc. | 1,399,313 | ||||||||
299,000 | Mitsubishi UFJ Lease & Finance Co., Ltd. | 1,322,782 | ||||||||
70,000 | Mitsui Fudosan Co., Ltd. | 1,928,264 | ||||||||
471,000 | Mitsui Mining & Smelting Co., Ltd.‡ | 850,427 | ||||||||
1,773,900 | Mizuho Financial Group, Inc.‡ | 3,337,583 | ||||||||
106,800 | MS&AD Insurance Group Holdings | 2,877,474 | ||||||||
16,500 | Murata Manufacturing Co., Ltd. | 2,146,403 | ||||||||
539,000 | NEC Corp. | 1,664,169 | ||||||||
42,900 | Nexon Co., Ltd. | 575,553 | ||||||||
116,900 | NHK Spring Co., Ltd. | 1,138,208 | ||||||||
122,100 | Nidec Corp. | 8,426,325 | ||||||||
148,200 | Nihon Kohden Corp. | 2,471,343 | ||||||||
397,000 | Nippon Chemi-Con Corp. | 875,155 | ||||||||
248,000 | Nippon Soda Co., Ltd. | 1,419,519 | ||||||||
313,200 | Nippon Telegraph & Telephone Corp. | 11,017,864 | ||||||||
95,200 | Nippon Television Network Corp. | 1,544,075 | ||||||||
170,000 | Nisshinbo Holdings, Inc.‡ | 1,925,239 | ||||||||
17,700 | Nissin Kogyo Co., Ltd.‡ | 266,483 | ||||||||
9,200 | Nitto Denko Corp. | 553,486 | ||||||||
44,800 | NOK Corp. | 971,541 | ||||||||
256,455 | Nomura Research Institute, Ltd. | 9,896,525 | ||||||||
646,641 | North Pacific Bank, Ltd. | 2,575,003 | ||||||||
29,200 | NTT Data Corp. | 1,476,864 | ||||||||
11,406 | NTT DoCoMo, Inc., Sponsored ADR | 192,533 | ||||||||
71,900 | Obic Co., Ltd. | 3,303,102 | ||||||||
82,000 | Ogaki Kyoritsu Bank, Ltd. (The)‡ | 325,494 | ||||||||
33,600 | Omron Corp. | 1,017,277 | ||||||||
9,200 | Oriental Land Co., Ltd.‡ | 517,537 | ||||||||
705,500 | Orix Corp. | 9,141,081 | ||||||||
68,200 | Otsuka Holdings Co., Ltd. | 2,195,644 | ||||||||
17,100 | Paltac Corporation | 311,086 | ||||||||
37,000 | PanaHome Corp.‡ | 241,425 | ||||||||
254,900 | Panasonic Corp. | 2,592,083 | ||||||||
370,000 | Prima Meat Packers, Ltd.‡ | 993,375 | ||||||||
431,500 | Resona Holdings, Inc. | 2,208,310 | ||||||||
165,300 | Ricoh Co., Ltd.‡ | 1,674,368 | ||||||||
50,800 | Ryohin Keikaku Co., Ltd. | 10,418,010 | ||||||||
24,500 | Saizeriya Co., Ltd. | 557,819 |
42 | See accompanying Notes to the Financial Statements. |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
91,000 | San-In Godo Bank, Ltd. (The)‡ | 895,555 | ||||||||
39,334 | Sankyo Co., Ltd.‡ | 1,404,200 | ||||||||
218,000 | Sankyu, Inc. | 1,060,050 | ||||||||
295,400 | Santen Pharmaceutical Co., Ltd. | 3,987,805 | ||||||||
77,000 | Sanwa Holdings Corp.‡ | 531,563 | ||||||||
25,300 | Sawai Pharmaceutical Co., Ltd. | 1,480,172 | ||||||||
116,500 | Seiko Epson Corp. | 1,651,922 | ||||||||
49,000 | Sekisui Chemical Co., Ltd. | 516,981 | ||||||||
264,300 | Senshu Ikeda Holdings, Inc. | 1,151,618 | ||||||||
124,400 | Seven & I Holdings Co., Ltd. | 5,709,227 | ||||||||
121,300 | Seven Bank, Ltd.‡ | 528,482 | ||||||||
201,000 | Shiga Bank, Ltd. (The)‡ | 1,027,181 | ||||||||
13,000 | Shimadzu Corp. | 188,177 | ||||||||
212,000 | Shindengen Electric Manufacturing Co., Ltd. | 688,797 | ||||||||
41,200 | Shinko Electric Industries Co., Ltd.‡ | 233,670 | ||||||||
52,400 | Shionogi & Co., Ltd.‡ | 1,886,684 | ||||||||
56,400 | Ship Healthcare Holdings, Inc.‡ | 1,220,861 | ||||||||
12,100 | Shiseido Co., Ltd.‡ | 265,634 | ||||||||
67,000 | Shizuoka Bank, Ltd. (The) | 672,568 | ||||||||
62,000 | Showa Corp. | 496,697 | ||||||||
34,300 | Softbank Group Corp. | 1,580,792 | ||||||||
1,606,900 | Sojitz Corp.‡ | 2,998,647 | ||||||||
96,800 | Sompo Japan Nipponkoa Holdings, Inc. | 2,827,182 | ||||||||
91,300 | Sony Corp. | 2,236,144 | ||||||||
129,800 | Sony Financial Holdings, Inc. | 2,141,109 | ||||||||
10,500 | Sugi Holdings Co., Ltd. | 473,870 | ||||||||
77,100 | Sumitomo Dainippon Pharma Co., Ltd.‡ | 773,354 | ||||||||
184,300 | Sumitomo Electric Industries, Ltd. | 2,371,760 | ||||||||
24,100 | Sumitomo Forestry Co., Ltd. | 271,410 | ||||||||
167,000 | Sumitomo Heavy Industries, Ltd. | 663,568 | ||||||||
114,000 | Sumitomo Metal Mining Co., Ltd. | 1,300,266 | ||||||||
223,541 | Sumitomo Mitsui Financial Group | 8,523,856 | ||||||||
254,000 | Sumitomo Mitsui Trust Holdings, Inc. | 938,450 | ||||||||
128,300 | Sumitomo Rubber Industries, Ltd. | 1,787,623 | ||||||||
51,400 | Suruga Bank, Ltd. | 959,446 | ||||||||
33,900 | Suzuken Co., Ltd. | 1,134,734 | ||||||||
284,300 | Suzuki Motor Corp.‡ | 8,799,087 | ||||||||
20,000 | Sysmex Corp. | 1,059,340 | ||||||||
220,300 | T&D Holdings, Inc. | 2,613,649 | ||||||||
105,700 | Takeda Pharmaceutical Co., Ltd. | 4,666,721 | ||||||||
40,300 | TDK Corp. | 2,296,109 | ||||||||
185,200 | Terumo Corp.‡ | 5,259,927 | ||||||||
22,200 | Tokai Rika Co., Ltd. | 460,913 | ||||||||
173,700 | Tokio Marine Holdings, Inc. | 6,511,468 | ||||||||
97,000 | Toshiba TEC Corp.‡ | 309,513 | ||||||||
10,600 | Towa Pharmaceutical Co., Ltd. | 683,376 | ||||||||
70,000 | Toyo Ink SC Holdings Co., Ltd.‡ | 256,888 | ||||||||
89,000 | Toyo Suisan Kaisha, Ltd. | 3,384,768 | ||||||||
82,800 | Toyoda Gosei Co., Ltd.‡ | 1,637,641 | ||||||||
25,400 | Toyota Industries Corp. | 1,212,732 |
See accompanying Notes to the Financial Statements. | 43 |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
90,900 | TS Tech Co., Ltd.‡ | 2,493,319 | ||||||||
62,300 | Tsumura & Co.‡ | 1,361,120 | ||||||||
195,270 | USS Co., Ltd. | 3,269,968 | ||||||||
96,900 | Valor Co., Ltd.‡ | 2,440,539 | ||||||||
73,000 | Yamaguchi Financial Group, Inc.‡ | 897,917 | ||||||||
95,800 | Yamaha Corp. | 2,129,975 | ||||||||
86,200 | Yamaha Motor Co., Ltd. | 1,741,465 | ||||||||
385,762 | Yamato Holdings Co., Ltd.‡ | 7,409,124 | ||||||||
61,800 | Yokogawa Electric Corp.‡ | 648,779 | ||||||||
73,000 | Yokohama Rubber Co., Ltd. (The)‡ | 1,292,208 | ||||||||
|
| |||||||||
Total Japan | 413,567,329 | |||||||||
|
| |||||||||
Luxembourg — 0.0% | ||||||||||
72,772 | SAF-Holland SA | 958,010 | ||||||||
|
| |||||||||
Malaysia — 0.1% | ||||||||||
609,100 | Tenaga Nasional Bhd | 1,668,654 | ||||||||
|
| |||||||||
Malta — 0.1% | ||||||||||
24,173 | Unibet Group Plc | 2,021,679 | ||||||||
|
| |||||||||
Netherlands — 4.3% | ||||||||||
477,564 | Aegon NV | 2,747,343 | ||||||||
86,399 | Akzo Nobel NV | 5,611,076 | ||||||||
11,475 | Altice NV Class A* | 239,848 | ||||||||
35,943 | ASM International NV | 1,164,737 | ||||||||
39,556 | BE Semiconductor Industries NV | 614,585 | ||||||||
53,244 | BinckBank NV | 438,853 | ||||||||
61,087 | Corbion NV | 1,401,533 | ||||||||
16,854 | Eurocommercial Properties NV REIT | 735,878 | ||||||||
6,745 | Euronext NV | 287,162 | ||||||||
17,399 | Heineken Holding NV | 1,239,344 | ||||||||
160,170 | Heineken NV | 12,950,614 | ||||||||
1,281,841 | ING Groep NV, ADR | 18,177,886 | ||||||||
123,892 | Koninklijke Ahold NV | 2,415,562 | ||||||||
84,600 | NN Group NV | 2,424,338 | ||||||||
144,540 | NXP Semiconductors NV* | 12,585,098 | ||||||||
39,338 | QIAGEN NV* | 1,013,593 | ||||||||
19,858 | Randstad Holding NV | 1,183,741 | ||||||||
55,122 | TKH Group NV, ADR | 1,994,983 | ||||||||
249,851 | Unilever NV, ADR | 10,044,723 | ||||||||
98,644 | Unilever NV (New York Exchange), ADR | 3,965,489 | ||||||||
10,964 | Vastned Retail NV REIT | 474,673 | ||||||||
41,234 | Wolters Kluwer NV | 1,270,015 | ||||||||
|
| |||||||||
Total Netherlands | 82,981,074 | |||||||||
|
| |||||||||
New Zealand — 0.1% | ||||||||||
918,788 | Air New Zealand, Ltd. | 1,446,885 | ||||||||
45,398 | Fisher & Paykel Healthcare Corp., Ltd. | 206,253 |
44 | See accompanying Notes to the Financial Statements. |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
New Zealand — continued | ||||||||||
363,746 | Sky Network Television, Ltd.‡ | 1,082,541 | ||||||||
|
| |||||||||
Total New Zealand | 2,735,679 | |||||||||
|
| |||||||||
Norway — 1.4% | ||||||||||
834,114 | DnB NOR ASA | 10,848,750 | ||||||||
157,623 | Orkla ASA | 1,168,575 | ||||||||
131,449 | Salmar ASA | 2,079,982 | ||||||||
91,036 | SpareBank 1 SMN | 576,815 | ||||||||
521,231 | Statoil ASA | 7,588,190 | ||||||||
51,667 | Statoil ASA, Sponsored ADR | 752,272 | ||||||||
150,628 | Storebrand ASA* | 494,379 | ||||||||
90,785 | Telenor ASA | 1,694,897 | ||||||||
49,040 | Yara International ASA | 1,955,826 | ||||||||
|
| |||||||||
Total Norway | 27,159,686 | |||||||||
|
| |||||||||
Philippines — 0.1% | ||||||||||
2,449,800 | Nickel Asia Corp. | 337,141 | ||||||||
6,261,800 | Vista Land & Lifescapes, Inc. | 675,803 | ||||||||
|
| |||||||||
Total Philippines | 1,012,944 | |||||||||
|
| |||||||||
Poland — 0.1% | ||||||||||
423,743 | PGE Polska Grupa Energetyczna SA | 1,505,532 | ||||||||
|
| |||||||||
Portugal — 0.5% | ||||||||||
63,753 | Altri SGPS SA | 256,565 | ||||||||
782,528 | Banco Espirito Santo SA* ¤ **** | 104,819 | ||||||||
648,110 | Jeronimo Martins SGPS SA | 8,743,726 | ||||||||
62,901 | Portucel SA | 218,618 | ||||||||
|
| |||||||||
Total Portugal | 9,323,728 | |||||||||
|
| |||||||||
Russia — 0.1% | ||||||||||
196,335 | Gazprom PAO, Sponsored ADR | 792,482 | ||||||||
60,584 | MMC Norilsk Nickel PJSC, ADR | 870,609 | ||||||||
32,432 | Tatneft PAO (London Exchange), Sponsored ADR | 909,367 | ||||||||
|
| |||||||||
Total Russia | 2,572,458 | |||||||||
|
| |||||||||
Singapore — 0.2% | ||||||||||
146,200 | DBS Group Holdings, Ltd. | 1,671,700 | ||||||||
775,700 | Wilmar International, Ltd. | 1,407,126 | ||||||||
1,209,600 | Yangzijiang Shipbuilding Holdings, Ltd.‡ | 968,064 | ||||||||
|
| |||||||||
Total Singapore | 4,046,890 | |||||||||
|
| |||||||||
South Africa — 0.1% | ||||||||||
113,251 | MTN Group, Ltd. | 1,461,334 | ||||||||
|
| |||||||||
South Korea — 0.3% | ||||||||||
35,889 | Kia Motors Corp. | 1,627,928 | ||||||||
3,220 | Samsung Electronics Co., Ltd. | 3,096,663 |
See accompanying Notes to the Financial Statements. | 45 |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Korea — continued | ||||||||||
6,440 | SK Telecom Co., Ltd. | 1,426,442 | ||||||||
|
| |||||||||
Total South Korea | 6,151,033 | |||||||||
|
| |||||||||
Spain — 1.8% | ||||||||||
226,744 | Amadeus IT Holding SA Class A‡ | 9,685,423 | ||||||||
309,821 | Banco Santander SA | 1,648,002 | ||||||||
81,183 | Ebro Foods SA | 1,594,605 | ||||||||
317,118 | Ence Energia y Celulosa SA | 1,027,185 | ||||||||
30,000 | Gas Natural SDG SA | 584,399 | ||||||||
26,221 | Grifols SA, ADR | 797,118 | ||||||||
361,164 | Iberdrola SA | 2,400,474 | ||||||||
256,174 | Industria de Diseno Textil SA | 8,572,900 | ||||||||
733,600 | International Consolidated Airlines Group SA (London Exchange)* | 6,555,485 | ||||||||
20,191 | Let’s GOWEX SA* ‡ ¤ **** | — | ||||||||
776,925 | Mapfre SA | 2,027,811 | ||||||||
|
| |||||||||
Total Spain | 34,893,402 | |||||||||
|
| |||||||||
Sweden — 2.8% | ||||||||||
118,197 | Assa Abloy AB Series B | 2,118,700 | ||||||||
61,829 | Atlas Copco AB Class A | 1,487,534 | ||||||||
104,357 | Atlas Copco AB Class B | 2,334,926 | ||||||||
42,199 | Bilia AB Class A | 843,884 | ||||||||
96,376 | Boliden AB | 1,505,720 | ||||||||
125,303 | Electrolux AB Class B | 3,538,014 | ||||||||
92,291 | Hennes & Mauritz AB Class B | 3,367,606 | ||||||||
19,483 | Industrivarden AB Class A | 368,672 | ||||||||
69,764 | Industrivarden AB Class C | 1,222,813 | ||||||||
8,274 | Investor AB Class A | 274,826 | ||||||||
50,663 | Investor AB Class B | 1,740,154 | ||||||||
33,594 | Modern Times Group MTG AB Class B‡ | 862,699 | ||||||||
633,959 | Nordea Bank AB | 7,065,752 | ||||||||
136,884 | Sandvik AB | 1,165,400 | ||||||||
368,300 | SAS AB* | 689,947 | ||||||||
420,420 | Skandinaviska Enskilda Banken AB | 4,484,028 | ||||||||
78,491 | SKF AB Class B | 1,443,150 | ||||||||
58,760 | Svenska Cellulosa AB Class B | 1,643,217 | ||||||||
274,725 | Svenska Handelsbanken AB Class A | 3,938,687 | ||||||||
9,037 | Swedish Match AB | 273,023 | ||||||||
47,659 | Telefonaktiebolaget LM Ericsson Class B, Sponsored ADR | 466,105 | ||||||||
1,026,557 | Telefonaktiebolaget LM Ericsson Class B | 10,091,509 | ||||||||
561,589 | TeliaSonera AB | 3,022,616 | ||||||||
98,812 | Volvo AB Class B | 946,644 | ||||||||
|
| |||||||||
Total Sweden | 54,895,626 | |||||||||
|
| |||||||||
Switzerland — 9.2% | ||||||||||
124,264 | ABB, Ltd.* | 2,195,031 | ||||||||
93,800 | ABB, Ltd., Sponsored ADR* | 1,657,446 | ||||||||
26,333 | Actelion, Ltd.* | 3,341,185 | ||||||||
195,007 | Adecco SA* | 14,262,273 |
46 | See accompanying Notes to the Financial Statements. |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Switzerland — continued | ||||||||||
12,028 | Ascom Holding AG | 221,237 | ||||||||
10,699 | Autoneum Holding AG* | 1,945,080 | ||||||||
5,932 | Bucher Industries AG ‡ | 1,273,278 | ||||||||
33,805 | Cembra Money Bank AG* | 1,995,137 | ||||||||
100,635 | Clariant AG* | 1,694,764 | ||||||||
82,184 | Coca-Cola HBC AG* | 1,744,942 | ||||||||
220,026 | Credit Suisse Group AG* | 5,279,775 | ||||||||
4,695 | Geberit AG | 1,433,781 | ||||||||
1,748 | Georg Fischer AG | 991,181 | ||||||||
3,720 | Givaudan SA* | 6,045,980 | ||||||||
18,795 | Implenia AG | 928,311 | ||||||||
62,631 | Julius Baer Group, Ltd.* | 2,842,300 | ||||||||
40,459 | LafargeHolcim, Ltd.* | 2,120,172 | ||||||||
10,229 | Lonza Group AG* | 1,341,780 | ||||||||
440,029 | Nestle SA | 33,052,260 | ||||||||
22,400 | Nestle SA, Sponsored ADR | 1,685,376 | ||||||||
260,235 | Novartis AG | 23,910,148 | ||||||||
48,400 | Novartis AG, Sponsored ADR | 4,448,928 | ||||||||
2,051 | Partners Group Holding AG | 695,057 | ||||||||
10,585 | Rieter Holding AG* | 1,563,663 | ||||||||
105,050 | Roche Holding AG | 27,699,335 | ||||||||
10,496 | Schindler Holding AG | 1,507,297 | ||||||||
2,372 | SGS SA | 4,136,534 | ||||||||
304 | Sika AG | 938,140 | ||||||||
20,393 | Swiss Life Holding* | 4,547,525 | ||||||||
67,566 | Swiss Re, Ltd. | 5,793,069 | ||||||||
11,043 | Temenos Group AG* | 452,683 | ||||||||
340,117 | UBS Group AG | 6,286,622 | ||||||||
40,718 | Zurich Insurance Group AG* | 9,991,827 | ||||||||
|
| |||||||||
Total Switzerland | 178,022,117 | |||||||||
|
| |||||||||
Taiwan — 0.5% | ||||||||||
608,000 | Fubon Financial Holding Co., Ltd. | 949,717 | ||||||||
1,610,000 | Innolux Corp. | 505,175 | ||||||||
365,853 | Taiwan Semiconductor Manufacturing Co., Ltd., Sponsored ADR | 7,591,450 | ||||||||
|
| |||||||||
Total Taiwan | 9,046,342 | |||||||||
|
| |||||||||
Thailand — 0.1% | ||||||||||
23,666,400 | Sansiri PCL‡ | 1,111,233 | ||||||||
|
| |||||||||
Turkey — 0.1% | ||||||||||
208,146 | TAV Havalimanlari Holding AS | 1,633,907 | ||||||||
|
| |||||||||
United Kingdom — 17.1% | ||||||||||
252,378 | 3i Group Plc | 1,787,481 | ||||||||
40,246 | Abcam Plc | 354,912 | ||||||||
396,120 | Amlin Plc | 3,945,968 | ||||||||
637,449 | Ashtead Group Plc | 9,008,833 | ||||||||
163,557 | Associated British Foods Plc | 8,300,210 |
See accompanying Notes to the Financial Statements. | 47 |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
38,633 | AstraZeneca Plc | 2,455,022 | ||||||||
31,100 | AstraZeneca Plc, Sponsored ADR | 989,602 | ||||||||
798,375 | BAE Systems Plc | 5,427,516 | ||||||||
712,929 | Barclays Plc | 2,639,221 | ||||||||
211,562 | Barratt Developments Plc | 2,072,288 | ||||||||
368,807 | Beazley Plc | 1,998,922 | ||||||||
43,526 | Berendsen Plc | 662,696 | ||||||||
94,970 | Berkeley Group Holdings Plc | 4,814,950 | ||||||||
46,950 | BHP Billiton Plc, ADR | 1,439,957 | ||||||||
862,673 | BP Plc | 4,378,391 | ||||||||
75,200 | BP Plc, Sponsored ADR | 2,298,112 | ||||||||
43,921 | British American Tobacco Plc, Sponsored ADR | 4,834,824 | ||||||||
150,646 | British American Tobacco Plc | 8,336,707 | ||||||||
31,681 | Britvic Plc | 326,185 | ||||||||
12,259 | BT Group Plc, Sponsored ADR | 781,511 | ||||||||
412,795 | BT Group Plc | 2,630,215 | ||||||||
109,950 | BTG Plc* | 1,090,147 | ||||||||
300,271 | Bunzl Plc | 8,070,504 | ||||||||
389,007 | Cairn Energy Plc* | 827,003 | ||||||||
349,974 | Carillion Plc‡ | 1,603,694 | ||||||||
31,304 | Carnival Plc, ADR | 1,619,356 | ||||||||
185,960 | Carnival Plc | 9,611,343 | ||||||||
570,622 | Centrica Plc | 1,985,524 | ||||||||
1,212,040 | Cobham Plc | 5,255,632 | ||||||||
701,923 | Compass Group Plc | 11,221,084 | ||||||||
17,833 | Compass Group Plc, Sponsored ADR | 286,933 | ||||||||
150,255 | Crest Nicholson Holdings Plc | 1,302,765 | ||||||||
28,278 | Diageo Plc, Sponsored ADR | 3,048,086 | ||||||||
68,639 | Dialog Semiconductor Plc* | 2,743,655 | ||||||||
160,585 | Direct Line Insurance Group Plc | 913,862 | ||||||||
19,722 | Domino’s Pizza Group Plc | 265,897 | ||||||||
126,585 | easyJet Plc | 3,416,021 | ||||||||
726,436 | Evraz Plc* | 802,628 | ||||||||
97,716 | Experian Plc | 1,570,326 | ||||||||
574,920 | Firstgroup Plc* | 851,955 | ||||||||
339,334 | GKN Plc | 1,382,276 | ||||||||
350,104 | GlaxoSmithKline Plc | 6,720,269 | ||||||||
141,400 | GlaxoSmithKline Plc, Sponsored ADR | 5,436,830 | ||||||||
95,292 | Greene King Plc‡ | 1,149,823 | ||||||||
47,696 | Greggs Plc | 785,575 | ||||||||
330,360 | Halma Plc | 3,618,616 | ||||||||
779,149 | Home Retail Group | 1,607,788 | ||||||||
47,124 | Howden Joinery Group Plc | 348,129 | ||||||||
946,688 | HSBC Holdings Plc | 7,170,966 | ||||||||
234,825 | IG Group Holdings Plc | 2,742,947 | ||||||||
153,299 | IMI Plc | 2,207,098 | ||||||||
2,600 | Imperial Tobacco Group Plc, Sponsored ADR | 269,100 | ||||||||
47,211 | Imperial Tobacco Group Plc | 2,446,787 | ||||||||
129,048 | Inmarsat Plc | 1,923,393 | ||||||||
39,952 | InterContinental Hotels Group Plc | 1,383,491 |
48 | See accompanying Notes to the Financial Statements. |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
110,430 | Intermediate Capital Group Plc | 865,888 | ||||||||
28,362 | Intertek Group Plc | 1,046,861 | ||||||||
618,751 | ITV Plc | 2,311,718 | ||||||||
1,284,857 | J Sainsbury Plc | 5,091,899 | ||||||||
140,751 | Jardine Lloyd Thompson Group Plc | 2,175,006 | ||||||||
192,826 | John Wood Group Plc | 1,800,015 | ||||||||
223,010 | Liberty Global Plc Class A* | 9,576,049 | ||||||||
4,197,051 | Lloyds TSB Group Plc | 4,790,853 | ||||||||
1,222,520 | Man Group Plc | 2,848,431 | ||||||||
335,675 | Marks & Spencer Group Plc | 2,554,186 | ||||||||
203,268 | Mitchells & Butlers Plc* | 973,448 | ||||||||
57,396 | Ocado Group Plc* | 278,838 | ||||||||
1,294,785 | Old Mutual Plc | 3,720,204 | ||||||||
167,114 | Paragon Group of Cos. Plc (The) | 1,001,736 | ||||||||
8,268 | Persimmon Plc* | 252,255 | ||||||||
78,229 | Petrofac, Ltd. | 913,044 | ||||||||
302,173 | Premier Farnell Plc | 480,053 | ||||||||
1,132,996 | QinetiQ Group Plc | 3,876,486 | ||||||||
342,149 | Reckitt Benckiser Group Plc | 31,098,307 | ||||||||
187,599 | Redrow Plc | 1,298,741 | ||||||||
29,960 | RELX Plc, Sponsored ADR | 521,004 | ||||||||
53,519 | Restaurant Group Plc (The) | 547,834 | ||||||||
5,183 | Rightmove Plc | 287,092 | ||||||||
51,022 | Rio Tinto Plc, Sponsored ADR | 1,725,564 | ||||||||
171,895 | Royal Dutch Shell Plc Class B | 4,082,681 | ||||||||
46,471 | Royal Dutch Shell Plc (Amsterdam Exchange) Class A | 1,102,352 | ||||||||
29,400 | Royal Dutch Shell Plc (BATS) Class B, Sponsored ADR | 1,395,912 | ||||||||
32,900 | Royal Dutch Shell Plc (Turquoise) Class A, Sponsored ADR | 1,559,131 | ||||||||
6,700 | SABMiller Plc, Sponsored ADR | 383,642 | ||||||||
245,271 | Shire Plc | 16,762,868 | ||||||||
16,280 | Shire Plc, ADR | 3,341,144 | ||||||||
66,482 | Spectris Plc | 1,707,203 | ||||||||
660,644 | St James’s Place Plc | 8,515,991 | ||||||||
232,817 | Stagecoach Group Plc | 1,191,575 | ||||||||
113,586 | Standard Chartered Plc | 1,098,512 | ||||||||
170,027 | SVG Capital Plc* | 1,204,577 | ||||||||
548,132 | Tesco Plc | 1,525,118 | ||||||||
71,798 | Unilever Plc, Sponsored ADR | 2,927,922 | ||||||||
23,719 | Unilever Plc | 967,484 | ||||||||
227,487 | Vodafone Group Plc, Sponsored ADR | 7,220,437 | ||||||||
1,364,736 | Vodafone Group Plc | 4,321,054 | ||||||||
160,839 | Whitbread Plc | 11,391,419 | ||||||||
869,900 | WM Morrison Supermarkets Plc‡ | 2,194,414 | ||||||||
211,790 | Wolseley Plc | 12,405,941 | ||||||||
35,010 | WPP Plc | 730,041 | ||||||||
10,589 | WPP Plc, Sponsored ADR | 1,101,574 | ||||||||
|
| |||||||||
Total United Kingdom | 332,329,530 | |||||||||
|
| |||||||||
United States — 2.1% | ||||||||||
168,228 | Analog Devices, Inc. | 9,489,741 |
See accompanying Notes to the Financial Statements. | 49 |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
229,203 | Cadence Design Systems, Inc.* | 4,739,918 | ||||||||
239,134 | Colgate-Palmolive Co. | 15,175,444 | ||||||||
197,505 | NVIDIA Corp. | 4,868,498 | ||||||||
26,017 | Synopsys, Inc.* | 1,201,465 | ||||||||
81,328 | Texas Instruments, Inc. | 4,027,363 | ||||||||
44,252 | Xilinx, Inc. | 1,876,285 | ||||||||
|
| |||||||||
Total United States | 41,378,714 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $1,834,997,461) | 1,787,543,886 | |||||||||
|
| |||||||||
INVESTMENT COMPANY — 0.9% | ||||||||||
United States — 0.9% | ||||||||||
312,514 | iShares MSCI EAFE Index Fund | 17,913,303 | ||||||||
|
| |||||||||
TOTAL INVESTMENT COMPANY (COST $19,216,441) | 17,913,303 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 0.8% | ||||||||||
Brazil — 0.1% | ||||||||||
727,600 | Itausa - Investimentos Itau SA, 5.51% | 1,304,653 | ||||||||
|
| |||||||||
Germany — 0.7% | ||||||||||
11,957 | Bayerische Motoren Werke AG, 4.76% | 820,147 | ||||||||
100,899 | Henkel AG & Co. KGaA, 1.41% | 10,356,285 | ||||||||
28,649 | Porsche Automobil Holding SE, 5.37% | 1,218,126 | ||||||||
19,016 | Volkswagen AG, 5.19% | 2,077,403 | ||||||||
|
| |||||||||
Total Germany | 14,471,961 | |||||||||
|
| |||||||||
Spain — 0.0% | ||||||||||
8,794 | Grifols SA, 1.96% Series B | 271,492 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $18,782,048) | 16,048,106 | |||||||||
|
| |||||||||
RIGHTS — 0.0% | ||||||||||
Germany — 0.0% | ||||||||||
55,282 | Rhoen-Klinikum AG, Strike Price $25.54, Expires 10/8/15* ‡ | 1,234 | ||||||||
|
| |||||||||
TOTAL RIGHTS (COST $6,204) | 1,234 | |||||||||
|
|
50 | See accompanying Notes to the Financial Statements. |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 10.3% | ||||||||||
Bank Deposit — 6.2% |
| |||||||||
119,703,815 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/01/15 | 119,703,815 | ||||||||
|
| |||||||||
Securities Lending Collateral — 4.1% |
| |||||||||
79,951,616 | State Street Institutional U.S. Government Money Market Fund, Premier Class*** | 79,951,616 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $199,655,431) | 199,655,431 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 104.1% (Cost $2,072,657,585) | 2,021,161,960 | |||||||||
Other Assets and Liabilities (net) — (4.1)% | (79,167,641 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 1,941,994,319 | ||||||||
|
| |||||||||
Notes to Schedule of Investments: | ||||||||||
ADR — American Depository Receipt | ||||||||||
GDR — Global Depository Receipt | ||||||||||
REIT — Real Estate Investment Trust | ||||||||||
* | Non-income producing security | |||||||||
‡ | All or a portion of this security is out on loan. | |||||||||
¤ | Illiquid security. The total market value of the securities at period end is $104,819 which represents 0.0% of net assets. The aggregate tax cost of these securities held at September 30, 2015 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 $104,819 which represents 0.0% of net assets. The aggregate tax cost of these securities held at September 30, 2015 was $1,457,972. |
See accompanying Notes to the Financial Statements. | 51 |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
1,082 | MSCI EAFE E-mini Index | December 2015 | $ | 89,237,950 | $ | (2,129,913 | ) | |||||||||||
|
|
52 | See accompanying Notes to the Financial Statements. |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Pharmaceuticals | 9.2 | ||||
Banks | 7.3 | ||||
Food | 6.4 | ||||
Insurance | 6.1 | ||||
Retail | 4.8 | ||||
Telecommunications | 4.5 | ||||
Chemicals | 3.9 | ||||
Commercial Services | 3.5 | ||||
Diversified Financial Services | 2.7 | ||||
Semiconductors | 2.6 | ||||
Auto Parts & Equipment | 2.5 | ||||
Beverages | 2.4 | ||||
Oil & Gas | 2.4 | ||||
Auto Manufacturers | 2.1 | ||||
Household Products & Wares | 2.1 | ||||
Cosmetics & Personal Care | 1.8 | ||||
Electronics | 1.7 | ||||
Agriculture | 1.6 | ||||
Real Estate | 1.4 | ||||
Software | 1.4 | ||||
Distribution & Wholesale | 1.3 | ||||
Media | 1.3 | ||||
Computers | 1.2 | ||||
Miscellaneous — Manufacturing | 1.2 | ||||
Electrical Components & Equipment | 1.1 | ||||
Machinery — Diversified | 1.1 | ||||
Transportation | 1.1 | ||||
Aerospace & Defense | 1.0 | ||||
Health Care — Products | 1.0 | ||||
Health Care — Services | 0.9 | ||||
Unaffiliated Fund | 0.9 | ||||
Airlines | 0.8 | ||||
Building Materials | 0.8 | ||||
Electric | 0.8 | ||||
Leisure Time | 0.8 | ||||
Engineering & Construction | 0.7 | ||||
Mining | 0.7 | ||||
Food Service | 0.6 | ||||
Holding Companies — Diversified | 0.6 | ||||
Home Builders | 0.6 | ||||
Lodging | 0.5 | ||||
Home Furnishings | 0.4 | ||||
Internet | 0.4 | ||||
Forest Products & Paper | 0.3 | ||||
Gas | 0.3 | ||||
Iron & Steel | 0.3 | ||||
Machinery — Construction & Mining | 0.3 | ||||
Metal Fabricate & Hardware | 0.3 | ||||
Office & Business Equipment | 0.3 | ||||
REITS | 0.3 | ||||
Advertising | 0.2 |
See accompanying Notes to the Financial Statements. | 53 |
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Apparel | 0.2 | ||||
Biotechnology | 0.2 | ||||
Entertainment | 0.2 | ||||
Hand & Machine Tools | 0.2 | ||||
Energy-Alternate Sources | 0.1 | ||||
Investment Companies | 0.1 | ||||
Oil & Gas Services | 0.1 | ||||
Packaging & Containers | 0.1 | ||||
Textiles | 0.1 | ||||
Shipbuilding | 0.0 | ||||
Short-Term Investments and Other Assets and Liabilities (net) | 6.2 | ||||
|
| ||||
100.0 | % | ||||
|
|
54 | See accompanying Notes to the Financial Statements. |
Mercer Core Fixed Income Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 96.7% | ||||||||||
Asset Backed Securities — 11.4% | ||||||||||
750,000 | A Voce CLO, Ltd., Series 2014-1A, Class A1A, 1.74%, due 07/15/26† 144A | 742,531 | ||||||||
1,700,000 | AIMCO CLO, Series 2014-AA, Class A, 1.83%, due 07/20/26† 144A | 1,691,668 | ||||||||
1,000,000 | AIMCO CLO, Series 2014-AA, Class B1, 2.29%, due 07/20/26† 144A | 985,014 | ||||||||
1,500,000 | AIMCO CLO, Series 2014-AA, Class B2, 4.58%, due 07/20/26 144A | 1,560,789 | ||||||||
1,470,000 | Ally Auto Receivables Trust, Series 2014-2, Class A4, 1.84%, due 01/15/20 | 1,486,044 | ||||||||
1,000,000 | American Express Credit Account Master Trust, Series 2013-1, Class B, 0.91%, due 02/16/21† | 1,005,889 | ||||||||
1,800,000 | American Express Credit Account Master Trust, Series 2014-2, Class A, 1.26%, due 01/15/20 | 1,807,485 | ||||||||
1,000,000 | American Express Credit Account Master Trust, Series 2014-4, Class A, 1.43%, due 06/15/20 | 1,005,876 | ||||||||
818,164 | Ameriquest Mortgage Securities, Inc., Series 2003-9, Class AV1, 0.95%, due 09/25/33† | 790,968 | ||||||||
223,979 | Ameriquest Mortgage Securities, Inc., Series 2004-R2, Class A1A, 0.88%, due 04/25/34† | 221,091 | ||||||||
1,000,000 | Anchorage Capital CLO 3, Ltd., Series 2014-3A, Class A2A, 2.54%, due 04/28/26† 144A | 999,135 | ||||||||
750,000 | Anchorage Capital CLO 5, Ltd., Series 2014-5A, Class A, 1.89%, due 10/15/26† 144A | 746,967 | ||||||||
410,301 | Asset Backed Securities Corp. Home Equity, Series 2003-HE7, Class M1, 1.18%, due 12/15/33† | 396,070 | ||||||||
1,700,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 2.50%, due 07/20/21 144A | 1,716,711 | ||||||||
1,200,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 2.63%, due 12/20/21 144A | 1,214,996 | ||||||||
250,000 | Battalion CLO VIII, Ltd., Series 2015-8A, Class A1, 1.82%, due 04/18/27† 144A | 249,068 | ||||||||
72,221 | Bear Stearns Asset Backed Securities Trust, Series 2004-SD3, Class A3, 0.76%, due 09/25/34† | 71,183 | ||||||||
7,300,000 | BMW Vehicle Lease Trust, Series 2014-1, Class A4, 0.99%, due 08/21/17 | 7,304,723 | ||||||||
1,102,863 | BNSF Railway Co. 2007-1 Pass Through Trust, 6.00%, due 04/01/24 | 1,223,306 | ||||||||
652,175 | Burlington Northern and Santa Fe Railway Co. 2006-1 Pass Through Trust, 5.72%, due 01/15/24 | 733,350 | ||||||||
5,665,000 | Chase Issuance Trust, Series 2013-A8, Class A8, 1.01%, due 10/15/18 | 5,679,808 | ||||||||
2,000,000 | Chase Issuance Trust, Series 2014-A7, Class A, 1.38%, due 11/15/19 | 2,013,020 | ||||||||
704,152 | Colony American Homes, Series 2014-1A, Class A, 1.40%, due 05/17/31† 144A | 697,237 | ||||||||
3,103,322 | CVS Pass-Through Trust, 7.51%, due 01/10/32 144A | 3,847,577 | ||||||||
1,104,129 | Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.82%, due 02/10/24 | 1,282,170 | ||||||||
1,000,000 | Ford Credit Auto Owner Trust, Series 2014-1, Class A, 2.26%, due 11/15/25 144A | 1,015,845 | ||||||||
1,000,000 | Ford Credit Auto Owner Trust, Series 2014-2, Class A, 2.31%, due 04/15/26 144A | 1,015,312 | ||||||||
1,390,000 | Ford Credit Auto Owner Trust, Series 2014-C, Class A3, 1.06%, due 05/15/19 | 1,391,858 | ||||||||
500,000 | GE Dealer Floorplan Master Note Trust, Series 2015-1, Class A, 0.72%, due 01/20/20† | 497,773 | ||||||||
500,000 | GMF Floorplan Owner Revolving Trust, Series 2015-1, Class A2, 0.71%, due 05/15/20† 144A | 497,864 | ||||||||
1,600,000 | Hertz Vehicle Financing LLC, Series 2015-1A, Class A, 2.73%, due 03/25/21¤ | 1,592,000 | ||||||||
600,000 | Hertz Vehicle Financing LLC, Series 2015-3A, Class A, 2.67%, due 09/25/21†††† 144A | 599,832 | ||||||||
250,000 | Highbridge Loan Management CLO, Ltd., Series 2015-6A, Class A, 1.75%, due 05/05/27† 144A | 248,100 | ||||||||
341,773 | Home Equity Asset Trust, Series 2003-8, Class M1, 1.27%, due 04/25/34† | 315,415 | ||||||||
3,500,000 | HSBC Home Equity Loan Trust, Series 2006-3, Class M1, 0.48%, due 03/20/36† | 3,441,021 |
See accompanying Notes to the Financial Statements. | 55 |
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Asset Backed Securities — continued | ||||||||||
250,000 | ICG US CLO, Ltd., Series 2014-3A, Class A1B, 3.28%, due 01/25/27 144A | 252,224 | ||||||||
3,450,000 | Invitation Homes Trust, Series 2014-SFR1, Class A, 1.21%, due 06/17/31† 144A | 3,395,437 | ||||||||
1,175,828 | Invitation Homes Trust, Series 2015-SFR3, Class A, 1.51%, due 08/17/32† 144A | 1,162,413 | ||||||||
500,000 | KVK CLO, Ltd., Series 2014-2A, Class A, 1.84%, due 07/15/26† 144A | 495,209 | ||||||||
1,750,000 | Magnetite VIII CLO, Ltd., Series 2014-8A, Class A, 1.77%, due 04/15/26† 144A | 1,745,541 | ||||||||
250,000 | Magnetite XI CLO, Ltd., Series 2014-11A, Class A1, 1.62%, due 01/18/27† 144A | 248,804 | ||||||||
1,570,000 | MMAF Equipment Finance LLC, Series 2014-AA, Class A5, 2.33%, due 12/08/25 144A | 1,600,736 | ||||||||
284,594 | Morgan Stanley ABS Capital I, Series 2003-NC10, Class M1, 1.21%, due 10/25/33† | 270,472 | ||||||||
341,062 | Morgan Stanley ABS Capital I, Series 2003-NC6, Class M1, 1.39%, due 06/25/33† | 333,797 | ||||||||
204,163 | Morgan Stanley ABS Capital I, Series 2003-NC7, Class M1, 1.24%, due 06/25/33† | 193,704 | ||||||||
340,810 | New Century Home Equity Loan Trust, Series 2003-A, Class A, 0.91%, due 10/25/33† 144A | 324,272 | ||||||||
1,200,000 | OneMain Financial Issuance Trust, Series 2015-2A, Class A, 2.57%, due 07/18/25 144A | 1,198,781 | ||||||||
750,000 | Palmer Square CLO, Ltd., Series 2015-2A, Class A1A, 1.79%, due 07/20/27† 144A | 745,609 | ||||||||
1,000,000 | Race Point VIII CLO, Ltd., Series 2013-8A, Class A, 1.58%, due 02/20/25† 144A | 990,802 | ||||||||
750,000 | Regatta IV Funding CLO, Ltd., Series 2014-1A, Class A2, 1.83%, due 07/25/26† 144A | 747,658 | ||||||||
750,000 | Regatta V Funding CLO, Ltd., Series 2014-1A, Class A1A, 1.86%, due 10/25/26† 144A | 748,514 | ||||||||
768,926 | Saxon Asset Securities Trust, Series 2005-1, Class M1, 0.88%, due 05/25/35† | 737,757 | ||||||||
500,000 | Seneca Park CLO, Ltd., Series 2014-1A, Class B2, 4.35%, due 07/17/26 144A | 507,979 | ||||||||
500,000 | Shackleton CLO, Ltd., Series 2014-6A, Class A1, 1.77%, due 07/17/26† 144A | 496,815 | ||||||||
808,878 | Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 2.20%, due 10/20/30 144A | 813,102 | ||||||||
1,800,000 | SLM Student Loan Trust, Series 2012-B, Class A2, 3.48%, due 10/15/30 144A | 1,846,431 | ||||||||
2,243,148 | Small Business Administration Participation Certificates, Series 2010-20D, Class 1, 4.36%, due 04/01/30 | 2,439,392 | ||||||||
1,451,888 | Small Business Administration Participation Certificates, Series 2010-20G, Class 1, 3.80%, due 07/01/30 | 1,561,860 | ||||||||
1,920,751 | Small Business Administration Participation Certificates, Series 2010-20I, Class 1, 3.21%, due 09/01/30 | 2,010,982 | ||||||||
1,728,272 | Small Business Administration Participation Certificates, Series 2011-20F, Class 1, 3.67%, due 06/01/31 | 1,855,258 | ||||||||
3,272,340 | Small Business Administration Participation Certificates, Series 2012-20C, Class 1, 2.51%, due 03/01/32 | 3,316,766 | ||||||||
3,146,059 | Small Business Administration Participation Certificates, Series 2013-20H, Class 1, 3.16%, due 08/01/33 | 3,298,467 | ||||||||
4,432,703 | Small Business Administration Participation Certificates, Series 2014-20C, Class 1, 3.21%, due 03/01/34 | 4,636,812 | ||||||||
1,831,456 | Small Business Administration Participation Certificates, Series 2014-20D, Class 1, 3.11%, due 04/01/34 | 1,902,736 | ||||||||
1,307,455 | Small Business Administration Participation Certificates, Series 2014-20I, Class 1, 2.92%, due 09/01/34 | 1,348,625 | ||||||||
860,000 | Springleaf Funding Trust, Series 2015-AA, Class A, 3.16%, due 11/15/24 144A | 869,713 | ||||||||
1,217,827 | STORE Master Funding LLC, Series 2014-1A, Class A2, 5.00%, due 04/20/44 144A | 1,305,262 | ||||||||
4,000,000 | Synchrony Credit Card Master Note Trust, Series 2015-3, Class A, 1.74%, due 09/15/21 | 3,999,461 | ||||||||
500,000 | THL Credit Wind River CLO, Ltd., Series 2014-3A, Class A, 1.92%, due 01/22/27† 144A | 496,838 |
56 | See accompanying Notes to the Financial Statements. |
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Asset Backed Securities — continued | ||||||||||
750,000 | THL Credit Wind River CLO, Ltd., Series 2015-1A, Class A, 1.78%, due 07/20/27† 144A | 746,993 | ||||||||
500,000 | Treman Park CLO LLC, Series 2015-1A, Class A, 1.76%, due 04/20/27† 144A | 497,893 | ||||||||
47,324 | UAL Pass Through Trust, Series 2009-2A, 9.75%, due 07/15/18 | 51,529 | ||||||||
1,750,000 | Voya CLO, Ltd., Series 2012-2AR, Class AR, 1.59%, due 10/15/22† 144A | 1,745,507 | ||||||||
1,300,000 | Washington Mill CLO, Ltd., Series 2014-1A, Class A1, 1.79%, due 04/20/26† 144A | 1,288,988 | ||||||||
500,000 | Washington Mill CLO, Ltd., Series 2014-1A, Class B2, 4.25%, due 04/20/26 144A | 503,529 | ||||||||
|
| |||||||||
102,820,364 | ||||||||||
|
| |||||||||
Corporate Debt — 36.5% | ||||||||||
50,000 | 21st Century Fox America, Inc., 4.50%, due 02/15/21 | 54,119 | ||||||||
525,000 | 21st Century Fox America, Inc., 5.65%, due 08/15/20 | 600,907 | ||||||||
1,600,000 | 21st Century Fox America, Inc., 6.15%, due 02/15/41 | 1,830,966 | ||||||||
475,000 | 21st Century Fox America, Inc., 6.20%, due 12/15/34 | 544,435 | ||||||||
275,000 | 21st Century Fox America, Inc., 6.40%, due 12/15/35 | 320,190 | ||||||||
20,000 | 21st Century Fox America, Inc., 6.75%, due 01/09/38 | 24,724 | ||||||||
812,000 | AbbVie, Inc., 3.20%, due 11/06/22 | 812,577 | ||||||||
300,000 | AbbVie, Inc., 3.60%, due 05/14/25 | 296,476 | ||||||||
500,000 | AbbVie, Inc., 4.50%, due 05/14/35 | 484,200 | ||||||||
1,050,000 | Actavis Funding SCS, 3.00%, due 03/12/20 | 1,053,545 | ||||||||
825,000 | Actavis Funding SCS, 3.45%, due 03/15/22 | 816,711 | ||||||||
1,025,000 | Actavis Funding SCS, 3.80%, due 03/15/25 | 992,129 | ||||||||
605,000 | Actavis Funding SCS, 4.55%, due 03/15/35 | 558,377 | ||||||||
280,000 | AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust, 3.75%, due 05/15/19 | 275,800 | ||||||||
96,000 | AES Corp. (The), Senior Note, 8.00%, due 06/01/20 | 108,960 | ||||||||
750,000 | Aetna, Inc., 4.75%, due 03/15/44 | 764,566 | ||||||||
2,275,000 | AgriBank FCB, 9.13%, due 07/15/19 | 2,814,889 | ||||||||
315,000 | Agrium, Inc., 4.90%, due 06/01/43 | 308,529 | ||||||||
150,000 | Agrium, Inc., 5.25%, due 01/15/45 | 155,511 | ||||||||
1,040,000 | AIA Group, Ltd., 3.20%, due 03/11/25 144A | 1,000,963 | ||||||||
1,438,000 | Air Canada 2015-1 Class A Pass Through Trust, 3.60%, due 09/15/28 144A | 1,396,657 | ||||||||
2,596,000 | Alibaba Group Holding, Ltd., 3.60%, due 11/28/24 144A | 2,430,012 | ||||||||
425,000 | Altria Group, Inc., 2.85%, due 08/09/22 | 415,875 | ||||||||
150,000 | Altria Group, Inc., 9.95%, due 11/10/38 | 240,556 | ||||||||
620,000 | America Movil SAB de CV, 5.00%, due 03/30/20 | 678,776 | ||||||||
150,000 | America Movil SAB de CV, Guaranteed Senior Note, 5.63%, due 11/15/17 | 162,374 | ||||||||
3,731,667 | American Airlines 2013-2 Class A Pass Through Trust, 4.95%, due 07/15/24 | 3,988,220 | ||||||||
205,000 | American Express Co., 5.20%†††††† | 203,268 | ||||||||
1,247,000 | American International Group, Inc., 4.80%, due 07/10/45 | 1,278,052 | ||||||||
680,000 | Amgen, Inc., 5.65%, due 06/15/42 | 763,985 | ||||||||
250,000 | Anadarko Finance Co., Senior Note, 7.50%, due 05/01/31 | 305,785 | ||||||||
220,000 | Anadarko Petroleum Corp., 6.38%, due 09/15/17 | 237,518 | ||||||||
8,000,000 | Anadarko Petroleum Corp., 7.42%, due 10/10/36‡‡ | 3,060,000 | ||||||||
290,000 | Anheuser-Busch InBev Worldwide, Inc., 2.50%, due 07/15/22 | 277,753 | ||||||||
340,000 | Anheuser-Busch InBev Worldwide, Inc., 5.38%, due 01/15/20 | 379,977 | ||||||||
1,280,000 | ANR Pipeline Co., 9.63%, due 11/01/21 | 1,705,074 | ||||||||
425,000 | Anthem, Inc., 4.35%, due 08/15/20 | 456,286 | ||||||||
5,000 | Anthem, Inc., 5.10%, due 01/15/44 | 5,217 | ||||||||
730,000 | Anthem, Inc., 5.88%, due 06/15/17 | 782,347 |
See accompanying Notes to the Financial Statements. | 57 |
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
696,000 | Anthem, Inc., 7.00%, due 02/15/19 | 796,353 | ||||||||
160,000 | ArcelorMittal, 5.25%, due 02/25/17 | 158,800 | ||||||||
150,000 | AT&T, Inc., 2.63%, due 12/01/22‡ | 142,815 | ||||||||
818,000 | AT&T, Inc., 3.00%, due 06/30/22 | 799,250 | ||||||||
1,860,000 | AT&T, Inc., 3.40%, due 05/15/25 | 1,778,952 | ||||||||
120,000 | AT&T, Inc., 3.88%, due 08/15/21 | 124,792 | ||||||||
5,000,000 | AT&T, Inc., 3.99%, due 11/27/22‡‡ 144A | 3,874,785 | ||||||||
10,000 | AT&T, Inc., 4.45%, due 05/15/21 | 10,688 | ||||||||
110,000 | AT&T, Inc., 4.50%, due 05/15/35 | 100,947 | ||||||||
570,000 | AT&T, Inc., 4.75%, due 05/15/46 | 524,305 | ||||||||
400,000 | AT&T, Inc., 5.35%, due 09/01/40 | 396,479 | ||||||||
610,000 | AT&T, Inc., Global Note, 5.50%, due 02/01/18 | 661,324 | ||||||||
1,675,000 | AT&T, Inc., Global Note, 6.55%, due 02/15/39 | 1,899,688 | ||||||||
3,125,000 | BAC Capital Trust XI, 6.63%, due 05/23/36 | 3,647,450 | ||||||||
1,995,000 | BAE Systems Holdings, Inc., 6.38%, due 06/01/19 144A | 2,268,698 | ||||||||
600,000 | Bank of America Corp., 2.60%, due 01/15/19 | 606,570 | ||||||||
140,000 | Bank of America Corp., 3.88%, due 03/22/17 | 144,685 | ||||||||
500,000 | Bank of America Corp., 4.13%, due 01/22/24 | 523,614 | ||||||||
400,000 | Bank of America Corp., 4.20%, due 08/26/24 | 400,450 | ||||||||
290,000 | Bank of America Corp., 5.00%, due 05/13/21 | 319,939 | ||||||||
420,000 | Bank of America Corp., 5.13%†††††† | 410,550 | ||||||||
565,000 | Bank of America Corp., 5.63%, due 07/01/20 | 637,920 | ||||||||
555,000 | Bank of America Corp., 5.70%, due 01/24/22 | 633,899 | ||||||||
350,000 | Bank of America Corp., 7.63%, due 06/01/19 | 412,260 | ||||||||
410,000 | Bank of America Corp., Senior Note, 5.75%, due 12/01/17 | 443,413 | ||||||||
1,721,000 | Bank of America NA, 1.75%, due 06/05/18 | 1,717,596 | ||||||||
375,000 | Bank One Capital III, 8.75%, due 09/01/30 | 537,574 | ||||||||
775,000 | Barclays Bank Plc, 3.75%, due 05/15/24 | 784,322 | ||||||||
1,450,000 | Barclays Plc, 4.38%, due 09/11/24 | 1,407,373 | ||||||||
695,000 | Becton Dickinson and Co., 3.73%, due 12/15/24 | 708,863 | ||||||||
1,480,000 | Berkshire Hathaway Energy Co., 3.50%, due 02/01/25 | 1,491,165 | ||||||||
1,432,000 | Berkshire Hathaway Energy Co., 6.13%, due 04/01/36 | 1,729,698 | ||||||||
1,830,000 | Blackstone Holdings Finance Co. LLC, Series 1, 6.63%, due 08/15/19 144A | 2,131,754 | ||||||||
2,125,000 | BNP Paribas SA, 4.25%, due 10/15/24‡ | 2,116,011 | ||||||||
475,000 | BNP Paribas SA, 4.38%, due 09/28/25 144A | 464,406 | ||||||||
415,000 | Boston Properties, LP REIT, 3.13%, due 09/01/23 | 404,304 | ||||||||
1,550,000 | Boston Properties, LP REIT, 4.13%, due 05/15/21 | 1,655,003 | ||||||||
2,735,000 | Boston Properties, LP REIT, 5.63%, due 11/15/20 | 3,098,383 | ||||||||
250,000 | Boston Properties, LP REIT, 5.88%, due 10/15/19 | 283,684 | ||||||||
850,000 | Boston Scientific Corp., 6.00%, due 01/15/20 | 954,179 | ||||||||
280,000 | Building Materials Corp. of America, 5.38%, due 11/15/24¤ 144A | 277,900 | ||||||||
1,700,000 | Burlington Northern Santa Fe LLC, 3.75%, due 04/01/24 | 1,755,019 | ||||||||
859,000 | Canadian Pacific Railway Co., 6.13%, due 09/15/15# | 906,101 | ||||||||
2,025,000 | Capital One Financial Corp., 3.50%, due 06/15/23 | 2,011,584 | ||||||||
625,000 | Capital One Financial Corp., 4.75%, due 07/15/21 | 682,610 | ||||||||
1,882,000 | Carlyle Holdings II Finance LLC, 5.63%, due 03/30/43 144A | 1,987,193 | ||||||||
915,000 | Carnival Corp., 1.88%, due 12/15/17 | 919,719 | ||||||||
214,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 7.00%, due 01/15/19 | 218,548 | ||||||||
5,000 | CCO Safari II LLC, 4.46%, due 07/23/22 144A | 5,008 | ||||||||
2,161,000 | CCO Safari II LLC, 4.91%, due 07/23/25 144A | 2,153,949 |
58 | See accompanying Notes to the Financial Statements. |
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
195,000 | CCO Safari II LLC, 6.38%, due 10/23/35 144A | 197,731 | ||||||||
735,000 | CCO Safari II LLC, 6.48%, due 10/23/45 144A | 743,458 | ||||||||
60,000 | CCO Safari II LLC, 6.83%, due 10/23/55 144A | 60,028 | ||||||||
3,247,000 | CDP Financial, Inc., 3.15%, due 07/24/24 144A | 3,305,777 | ||||||||
1,700,000 | Cemex Finance LLC, 6.00%, due 04/01/24‡ 144A | 1,551,250 | ||||||||
450,000 | Cemex SAB de CV, 6.13%, due 05/05/25‡ 144A | 410,625 | ||||||||
675,000 | Cemex SAB de CV, 6.50%, due 12/10/19 144A | 668,250 | ||||||||
1,125,000 | Cemex SAB de CV, 7.25%, due 01/15/21 144A | 1,125,000 | ||||||||
430,000 | CGG SA, 6.50%, due 06/01/21 | 248,110 | ||||||||
525,000 | Cigna Corp., 4.00%, due 02/15/22 | 544,585 | ||||||||
800,000 | Cigna Corp., 5.38%, due 02/15/42 | 870,541 | ||||||||
1,100,000 | Cigna Corp., 6.15%, due 11/15/36 | 1,261,961 | ||||||||
325,000 | Cigna Corp., 7.88%, due 05/15/27 | 438,285 | ||||||||
814,000 | Citigroup, Inc., 2.15%, due 07/30/18 | 818,596 | ||||||||
300,000 | Citigroup, Inc., 3.50%, due 05/15/23 | 292,531 | ||||||||
425,000 | Citigroup, Inc., 3.88%, due 03/26/25 | 413,829 | ||||||||
560,000 | Citigroup, Inc., 3.95%, due 06/15/16 | 572,270 | ||||||||
260,000 | Citigroup, Inc., 4.05%, due 07/30/22 | 265,441 | ||||||||
970,000 | Citigroup, Inc., 4.50%, due 01/14/22 | 1,050,579 | ||||||||
90,000 | Citigroup, Inc., 5.30%, due 05/06/44 | 93,996 | ||||||||
130,000 | Citigroup, Inc., 5.90%†††††† ‡ | 127,075 | ||||||||
550,000 | Citigroup, Inc., 5.95%†††††† | 542,976 | ||||||||
230,000 | Citigroup, Inc., 5.95%†††††† | 223,531 | ||||||||
1,614,000 | Cleveland Clinic Foundation (The), 4.86%, due 01/01/14# | 1,573,200 | ||||||||
2,850,000 | Comcast Corp., 4.25%, due 01/15/33 | 2,837,659 | ||||||||
320,000 | Comcast Corp., 5.65%, due 06/15/35 | 369,673 | ||||||||
130,000 | Comcast Corp., 6.50%, due 01/15/17 | 138,911 | ||||||||
20,000 | Comcast Corp., 6.50%, due 11/15/35 | 25,503 | ||||||||
90,000 | Comcast Corp., 6.95%, due 08/15/37 | 118,682 | ||||||||
300,000 | ConocoPhillips Holding Co., 6.95%, due 04/15/29 | 372,222 | ||||||||
1,131,914 | Continental Airlines 2007-1 Class A Pass Through Trust, 5.98%, due 10/19/23 | 1,252,180 | ||||||||
525,000 | Corp. Nacional del Cobre de Chile, 4.50%, due 09/16/25‡ 144A | 505,323 | ||||||||
210,000 | Countrywide Financial Corp., Subordinated Note, 6.25%, due 05/15/16 | 215,994 | ||||||||
1,950,000 | COX Communications, Inc., 3.25%, due 12/15/22 144A | 1,855,519 | ||||||||
1,650,000 | COX Communications, Inc., 3.85%, due 02/01/25 144A | 1,565,995 | ||||||||
875,000 | COX Communications, Inc., 9.38%, due 01/15/19 144A | 1,042,464 | ||||||||
500,000 | Credit Suisse Group Funding Guernsey, Ltd., 2.75%, due 03/26/20 144A | 499,124 | ||||||||
1,325,000 | CRH America, Inc., 3.88%, due 05/18/25 144A | 1,329,649 | ||||||||
550,000 | CSX Corp., 7.38%, due 02/01/19 | 642,709 | ||||||||
1,160,000 | CVS Health Corp., 2.75%, due 12/01/22 | 1,142,779 | ||||||||
95,000 | CVS Health Corp., 4.88%, due 07/20/35 | 99,996 | ||||||||
120,000 | CVS Health Corp., 5.13%, due 07/20/45 | 129,499 | ||||||||
900,000 | DCP Midstream LLC, 5.35%, due 03/15/20 144A | 874,513 | ||||||||
520,000 | Devon Energy Corp., 7.95%, due 04/15/32 | 640,740 | ||||||||
665,000 | Discover Financial Services, 3.75%, due 03/04/25 | 645,279 | ||||||||
350,000 | DISH DBS Corp., 7.13%, due 02/01/16 | 353,062 | ||||||||
400,000 | Dominion Resources, Inc., 4.45%, due 03/15/21 | 431,538 | ||||||||
1,325,000 | Dominion Resources, Inc., 5.75%, due 10/01/54† | 1,363,094 | ||||||||
400,000 | Dow Chemical Co. (The), 4.38%, due 11/15/42 | 350,336 | ||||||||
775,000 | Dow Chemical Co. (The), 7.38%, due 11/01/29 | 988,875 |
See accompanying Notes to the Financial Statements. | 59 |
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
1,010,000 | Dow Chemical Co. (The), 8.55%, due 05/15/19 | 1,221,929 | ||||||||
575,000 | Dow Chemical Co. (The), 9.40%, due 05/15/39 | 846,135 | ||||||||
2,589,000 | Duke Energy Corp., 3.55%, due 09/15/21 | 2,697,326 | ||||||||
240,000 | Eagle Spinco, Inc., 4.63%, due 02/15/21 | 204,005 | ||||||||
110,000 | Ecolab, Inc., 4.35%, due 12/08/21 | 119,196 | ||||||||
190,000 | El Paso Natural Gas Co. LLC, 8.38%, due 06/15/32 | 215,074 | ||||||||
725,000 | Enel Finance International SA, 6.00%, due 10/07/39 144A | 825,359 | ||||||||
1,000,000 | Enel Finance International SA, Guaranteed Note, 6.80%, due 09/15/37 144A | 1,254,138 | ||||||||
1,128,000 | Energy Transfer Partners, LP, 4.05%, due 03/15/25 | 998,750 | ||||||||
2,106,000 | Ensco Plc, 4.70%, due 03/15/21 | 1,775,503 | ||||||||
460,000 | Enterprise Products Operating LLC, 3.75%, due 02/15/25 | 439,241 | ||||||||
1,934,000 | ERAC USA Finance LLC, 2.80%, due 11/01/18¤ 144A | 1,979,482 | ||||||||
1,350,000 | ERP Operating, LP, 3.00%, due 04/15/23 | 1,327,162 | ||||||||
825,000 | ERP Operating, LP, 4.63%, due 12/15/21 | 900,341 | ||||||||
2,045,000 | Escrow GCB General Motors, 8.38%, due 07/15/49¤ **** | — | ||||||||
1,169,000 | Exelon Corp., 5.10%, due 06/15/45 | 1,198,196 | ||||||||
912,000 | Exelon Generation Co. LLC, 4.25%, due 06/15/22 | 934,661 | ||||||||
250,000 | Export-Import Bank of Korea, 4.00%, due 01/11/17 | 258,073 | ||||||||
1,303,000 | Fifth Third Bancorp, 2.88%, due 07/27/20 | 1,315,179 | ||||||||
150,000 | FirstEnergy Corp., 2.75%, due 03/15/18 | 150,495 | ||||||||
245,000 | FirstEnergy Corp., Series C, 7.38%, due 11/15/31 | 296,428 | ||||||||
540,000 | Ford Motor Co., 4.75%, due 01/15/43 | 508,425 | ||||||||
600,000 | Ford Motor Credit Co. LLC, 5.75%, due 02/01/21 | 674,787 | ||||||||
1,575,000 | Ford Motor Credit Co. LLC, 5.88%, due 08/02/21 | 1,785,133 | ||||||||
350,000 | Ford Motor Credit Co. LLC, 8.00%, due 12/15/16 | 376,424 | ||||||||
580,000 | Ford Motor Credit Co. LLC, 8.13%, due 01/15/20 | 695,742 | ||||||||
1,281,000 | Freeport-McMoRan Copper & Gold, Inc., 5.45%, due 03/15/43 | 896,700 | ||||||||
80,000 | General Electric Capital Corp., 4.38%, due 09/16/20 | 88,320 | ||||||||
475,000 | General Electric Capital Corp., 4.63%, due 01/07/21 | 530,467 | ||||||||
450,000 | General Electric Capital Corp., 4.65%, due 10/17/21 | 506,558 | ||||||||
1,390,000 | General Electric Capital Corp., 5.55%, due 05/04/20 | 1,606,383 | ||||||||
720,000 | General Electric Capital Corp., 6.38%, due 11/15/67† | 773,550 | ||||||||
480,000 | General Electric Capital Corp., 6.88%, due 01/10/39 | 673,407 | ||||||||
310,000 | General Electric Co., 4.50%, due 03/11/44 | 322,034 | ||||||||
450,000 | General Motors Co., 4.00%, due 04/01/25 | 428,352 | ||||||||
1,045,000 | General Motors Financial Co., Inc., 3.50%, due 07/10/19 | 1,056,732 | ||||||||
520,000 | Glencore Finance Canada, Ltd., 2.05%, due 10/23/15 144A | 519,487 | ||||||||
30,000 | Glencore Finance Canada, Ltd., 5.80%, due 11/15/16 144A | 28,507 | ||||||||
944,000 | Glencore Funding LLC, 2.13%, due 04/16/18 144A | 812,321 | ||||||||
320,000 | Glitnir Banki HF, Subordinated Note, 6.69%, due 06/15/16¤ **** ††† 144A | — | ||||||||
350,000 | GLP Capital, LP/GLP Financing II, Inc., 4.88%, due 11/01/20 | 356,125 | ||||||||
265,000 | Goldcorp, Inc., 3.63%, due 06/09/21 | 255,661 | ||||||||
150,000 | Goldman Sachs Group (The), Inc., 4.00%, due 03/03/24 | 154,554 | ||||||||
290,000 | Goldman Sachs Group (The), Inc., 5.15%, due 05/22/45 | 285,720 | ||||||||
140,000 | Goldman Sachs Group (The), Inc., 5.25%, due 07/27/21 | 156,252 | ||||||||
565,000 | Goldman Sachs Group (The), Inc., 5.38%†††††† | 552,641 | ||||||||
680,000 | Goldman Sachs Group (The), Inc., 5.95%, due 01/18/18 | 743,145 | ||||||||
660,000 | Goldman Sachs Group (The), Inc., 6.25%, due 02/01/41 | 797,503 | ||||||||
2,137,000 | Goldman Sachs Group (The), Inc., 7.50%, due 02/15/19 | 2,498,867 |
60 | See accompanying Notes to the Financial Statements. |
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
165,000 | HCA, Inc., 4.25%, due 10/15/19 | 166,856 | ||||||||
150,000 | HCA, Inc., 5.25%, due 04/15/25 | 153,563 | ||||||||
460,000 | HCA, Inc., 5.88%, due 03/15/22 | 494,500 | ||||||||
1,500,000 | HCA, Inc., 6.50%, due 02/15/16 | 1,520,625 | ||||||||
1,085,000 | HCP, Inc., 4.00%, due 06/01/25 | 1,065,125 | ||||||||
859,000 | HCP, Inc., 4.25%, due 11/15/23 | 865,972 | ||||||||
875,000 | Health Net, Inc., 6.38%, due 06/01/17 | 914,602 | ||||||||
270,000 | Home Depot (The), Inc., 4.40%, due 03/15/45 | 279,777 | ||||||||
945,000 | HP Enterprise Co., 2.45%, due 10/05/17†††† 144A | 944,471 | ||||||||
175,000 | HP Enterprise Co., 2.85%, due 10/05/18†††† 144A | 174,776 | ||||||||
2,150,000 | HP Enterprise Co., 3.60%, due 10/15/20†††† 144A | 2,149,398 | ||||||||
1,929,000 | HP Enterprise Co., 4.40%, due 10/15/22†††† 144A | 1,925,181 | ||||||||
740,000 | HSBC Finance Corp., 6.68%, due 01/15/21 | 866,800 | ||||||||
550,000 | HSBC Holdings Plc, 5.10%, due 04/05/21 | 609,456 | ||||||||
1,050,000 | HSBC Holdings Plc, Subordinated Note, 6.50%, due 05/02/36 | 1,245,411 | ||||||||
1,015,000 | HSBC Holdings Plc, Subordinated Note, 6.50%, due 09/15/37 | 1,192,682 | ||||||||
1,260,000 | Husky Energy, Inc., 7.25%, due 12/15/19 | 1,443,050 | ||||||||
420,000 | Imperial Tobacco Finance Plc, 2.05%, due 02/11/18 144A | 420,032 | ||||||||
1,200,000 | Imperial Tobacco Finance Plc, 3.75%, due 07/21/22 144A | 1,213,133 | ||||||||
2,075,000 | Imperial Tobacco Finance Plc, 4.25%, due 07/21/25 144A | 2,104,948 | ||||||||
260,000 | Intelsat Jackson Holdings SA, 5.50%, due 08/01/23 | 215,800 | ||||||||
120,000 | Intelsat Jackson Holdings SA, 7.25%, due 10/15/20 | 110,550 | ||||||||
250,000 | Intesa Sanpaolo Spa, 3.13%, due 01/15/16 | 251,370 | ||||||||
500,000 | Jefferies Group LLC, 5.13%, due 01/20/23 | 501,742 | ||||||||
220,000 | John Deere Capital Corp., 2.25%, due 04/17/19 | 223,698 | ||||||||
300,000 | JPMorgan Chase & Co., 3.25%, due 09/23/22 | 300,494 | ||||||||
1,430,000 | JPMorgan Chase & Co., 3.38%, due 05/01/23 | 1,399,801 | ||||||||
775,000 | JPMorgan Chase & Co., 3.88%, due 09/10/24 | 769,031 | ||||||||
90,000 | JPMorgan Chase & Co., 4.35%, due 08/15/21 | 97,066 | ||||||||
860,000 | JPMorgan Chase & Co., 4.40%, due 07/22/20 | 929,153 | ||||||||
200,000 | JPMorgan Chase & Co., 4.50%, due 01/24/22 | 215,972 | ||||||||
555,000 | JPMorgan Chase & Co., 5.30%†††††† | 546,675 | ||||||||
1,250,000 | JPMorgan Chase & Co., Subordinated Note, 6.13%, due 06/27/17 | 1,344,040 | ||||||||
100,000 | Kaupthing Bank HF, 7.13%, due 05/19/16¤ **** ††† 144A | — | ||||||||
950,000 | Kentucky Power Co., 6.00%, due 09/15/17 144A | 1,027,994 | ||||||||
2,500,000 | Kinder Morgan Energy Partners, LP, 4.15%, due 02/01/24 | 2,271,185 | ||||||||
1,600,000 | Kinder Morgan Energy Partners, LP, 5.00%, due 08/15/42 | 1,268,506 | ||||||||
850,000 | Kinder Morgan Energy Partners, LP, 5.40%, due 09/01/44 | 704,231 | ||||||||
550,000 | Kinder Morgan Energy Partners, LP, 6.95%, due 01/15/38 | 546,535 | ||||||||
1,850,000 | Kinder Morgan, Inc., 4.30%, due 06/01/25 | 1,665,139 | ||||||||
1,240,000 | KKR Group Finance Co. II LLC, 5.50%, due 02/01/43 144A | 1,299,603 | ||||||||
1,268,000 | KKR Group Finance Co. LLC, 6.38%, due 09/29/20 144A | 1,490,975 | ||||||||
450,000 | Koppers, Inc., 7.88%, due 12/01/19 | 452,250 | ||||||||
360,000 | Kraft Foods Group, Inc., 3.50%, due 06/06/22 | 367,832 | ||||||||
349,000 | Kraft Foods Group, Inc., 5.38%, due 02/10/20 | 390,180 | ||||||||
170,000 | Kraft Heinz Foods Co., 5.00%, due 07/15/35 144A | 178,135 | ||||||||
400,000 | Kroger Co. (The), Senior Note, 6.15%, due 01/15/20 | 458,880 | ||||||||
300,000 | L Brands, Inc., 5.63%, due 10/15/23 | 320,250 | ||||||||
470,000 | Lehman Brothers Holdings Capital Trust VII, (MTN), 5.86%†††††††† | 165 |
See accompanying Notes to the Financial Statements. | 61 |
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
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 | 1,191,309 | ||||||||
1,600,000 | Liberty Mutual Group, Inc., 4.95%, due 05/01/22 144A | 1,732,341 | ||||||||
1,380,000 | Lincoln National Corp., 4.00%, due 09/01/23 | 1,433,976 | ||||||||
1,250,000 | Lloyds Banking Group Plc, 4.50%, due 11/04/24‡ | 1,258,887 | ||||||||
1,010,000 | LyondellBasell Industries NV, 5.00%, due 04/15/19 | 1,089,810 | ||||||||
525,000 | Macy’s Retail Holdings, Inc., 6.38%, due 03/15/37 | 583,136 | ||||||||
1,790,000 | Macy’s Retail Holdings, Inc., 6.65%, due 07/15/24 | 2,126,176 | ||||||||
350,000 | Macy’s Retail Holdings, Inc., 6.90%, due 01/15/32 | 428,804 | ||||||||
600,000 | Macy’s Retail Holdings, Inc., 7.00%, due 02/15/28 | 740,139 | ||||||||
230,000 | Martin Marietta Materials, Inc., 4.25%, due 07/02/24 | 231,362 | ||||||||
725,000 | Massachusetts Institute of Technology, 4.68%, due 07/01/14# | 759,319 | ||||||||
70,000 | Medtronic, Inc., 3.13%, due 03/15/22 | 71,312 | ||||||||
190,000 | Medtronic, Inc., 3.15%, due 03/15/22 | 192,883 | ||||||||
970,000 | Medtronic, Inc., 3.50%, due 03/15/25 | 990,924 | ||||||||
410,000 | Medtronic, Inc., 4.38%, due 03/15/35 | 415,278 | ||||||||
625,000 | Merck & Co., Inc., 4.15%, due 05/18/43 | 619,936 | ||||||||
840,000 | Merrill Lynch & Co., Inc., Subordinated Note, 5.70%, due 05/02/17 | 886,828 | ||||||||
1,152,000 | MetLife, Inc., 3.00%, due 03/01/25 | 1,117,528 | ||||||||
120,000 | MetLife, Inc., 3.05%, due 12/15/22 | 120,146 | ||||||||
105,000 | MetLife, Inc., 4.75%, due 02/08/21 | 116,683 | ||||||||
420,000 | MetLife, Inc., Subordinated Note, 6.40%, due 12/15/66 | 458,850 | ||||||||
1,160,000 | Microsoft Corp., 2.70%, due 02/12/25 | 1,138,090 | ||||||||
165,630 | Miran Mid-Atlantic Series C Pass Through Trust, 10.06%, due 12/30/28 | 169,771 | ||||||||
80,000 | Monsanto Co., 4.40%, due 07/15/44 | 69,573 | ||||||||
1,720,000 | Morgan Stanley, 4.10%, due 05/22/23 | 1,743,671 | ||||||||
70,000 | Morgan Stanley, 4.75%, due 03/22/17 | 73,346 | ||||||||
325,000 | Morgan Stanley, 5.45%†††††† | 320,372 | ||||||||
1,547,000 | Morgan Stanley, 7.30%, due 05/13/19 | 1,807,201 | ||||||||
130,000 | Morgan Stanley, (MTN), Series F, 0.74%, due 10/18/16† | 129,777 | ||||||||
1,000,000 | Morgan Stanley, (MTN), Series F, 6.63%, due 04/01/18 | 1,113,922 | ||||||||
1,150,000 | Myriad International Holdings BV, 5.50%, due 07/21/25 144A | 1,130,956 | ||||||||
1,300,000 | Myriad International Holdings BV, 6.00%, due 07/18/20 144A | 1,402,908 | ||||||||
400,000 | Navient Corp., 4.63%, due 09/25/17 | 393,750 | ||||||||
1,750,000 | Navient Corp., 6.00%, due 01/25/17 | 1,763,125 | ||||||||
475,000 | Navient Corp., 6.25%, due 01/25/16 | 480,066 | ||||||||
350,000 | Navient Corp., 8.45%, due 06/15/18 | 360,717 | ||||||||
1,037,000 | New York and Presbyterian Hospital (The), 4.02%, due 08/01/45 | 983,157 | ||||||||
660,000 | Nippon Life Insurance Co., 5.10%, due 10/16/44† 144A | 683,100 | ||||||||
780,000 | Noble Energy, Inc., 4.15%, due 12/15/21 | 785,930 | ||||||||
1,403,000 | Noble Energy, Inc., 8.25%, due 03/01/19 | 1,649,024 | ||||||||
510,000 | Nordea Bank AB, 1.88%, due 09/17/18 144A | 511,155 | ||||||||
530,000 | Norfolk Southern Corp., 4.80%, due 08/15/43 | 538,323 | ||||||||
220,000 | Northern States Power Co., 4.13%, due 05/15/44 | 222,930 | ||||||||
350,000 | NRG Energy, Inc., 6.25%, due 05/01/24 | 310,625 | ||||||||
320,000 | Oracle Corp., 4.30%, due 07/08/34 | 321,438 | ||||||||
460,000 | Pacific Gas & Electric Co., 6.05%, due 03/01/34 | 557,067 | ||||||||
606,000 | Pemex Project Funding Master Trust, 6.63%, due 06/15/35 | 571,155 | ||||||||
730,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 2.50%, due 06/15/19¤ 144A | 727,126 |
62 | See accompanying Notes to the Financial Statements. |
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
400,000 | Petrobras Global Finance BV, 3.88%, due 01/27/16 | 393,500 | ||||||||
1,175,000 | Petrobras Global Finance BV, 4.38%, due 05/20/23 | 769,625 | ||||||||
875,000 | Petrobras Global Finance BV, 5.38%, due 01/27/21 | 638,750 | ||||||||
992,000 | Petroleos Mexicanos, 3.50%, due 01/30/23 | 895,280 | ||||||||
300,000 | Petroleos Mexicanos, 4.25%, due 01/15/25 144A | 275,250 | ||||||||
300,000 | Petroleos Mexicanos, 4.50%, due 01/23/26 144A | 277,320 | ||||||||
600,000 | Petroleos Mexicanos, 4.88%, due 01/18/24 | 582,240 | ||||||||
1,150,000 | Petroleos Mexicanos, 5.63%, due 01/23/46 144A | 940,240 | ||||||||
1,650,000 | Petroleos Mexicanos, 6.38%, due 01/23/45 | 1,490,610 | ||||||||
1,150,000 | Phillips 66, 4.65%, due 11/15/34 | 1,122,963 | ||||||||
1,190,000 | PNC Bank NA, 2.95%, due 01/30/23 | 1,165,137 | ||||||||
540,000 | PPL Capital Funding, Inc., 5.00%, due 03/15/44 | 566,886 | ||||||||
675,000 | Provident Cos., Inc., 7.25%, due 03/15/28 | 843,906 | ||||||||
1,000,000 | Prudential Financial, Inc., 7.38%, due 06/15/19 | 1,178,417 | ||||||||
1,689,000 | PSEG Power LLC, 8.63%, due 04/15/31 | 2,296,717 | ||||||||
170,000 | QEP Resources, Inc., 6.88%, due 03/01/21 | 157,250 | ||||||||
2,153,000 | RELX Capital, Inc., 3.13%, due 10/15/22 | 2,116,091 | ||||||||
755,000 | Reynolds American, Inc., Senior Note, 6.75%, due 06/15/17 | 817,651 | ||||||||
2,950,000 | Rio Oil Finance Trust, 6.25%, due 07/06/24 144A | 1,895,375 | ||||||||
2,700,000 | Rio Oil Finance Trust, 6.75%, due 01/06/27 144A | 1,676,203 | ||||||||
920,000 | Rio Tinto Finance USA, Ltd., 9.00%, due 05/01/19 | 1,126,370 | ||||||||
170,000 | Rock-Tenn Co., 3.50%, due 03/01/20 | 176,163 | ||||||||
1,500,000 | Rogers Communications, Inc., 6.80%, due 08/15/18 | 1,698,336 | ||||||||
1,075,000 | Royal Bank of Scotland Group Plc, 6.00%, due 12/19/23 | 1,146,377 | ||||||||
2,050,000 | Royal Bank of Scotland Group Plc, 6.13%, due 12/15/22 | 2,221,772 | ||||||||
1,220,000 | Sempra Energy, 2.40%, due 03/15/20 | 1,220,030 | ||||||||
810,000 | Shell International Finance BV, 3.25%, due 05/11/25 | 802,613 | ||||||||
2,419,000 | Siemens Financieringsmaatschappij NV, 2.90%, due 05/27/22 144A | 2,432,377 | ||||||||
850,000 | Simon Property Group, LP, 6.75%, due 02/01/40 | 1,121,468 | ||||||||
500,000 | Sinopec Group Overseas Development 2015, Ltd., 2.50%, due 04/28/20 144A | 493,491 | ||||||||
320,000 | SoftBank Group Corp., 4.50%, due 04/15/20 144A | 310,688 | ||||||||
630,000 | Southern Copper Corp., 5.25%, due 11/08/42 | 479,739 | ||||||||
1,865,000 | Sprint Nextel Corp., 6.00%, due 12/01/16 | 1,841,687 | ||||||||
1,195,000 | St. Jude Medical, Inc., 2.00%, due 09/15/18 | 1,198,309 | ||||||||
245,000 | State Grid Overseas Investment 2014, Ltd., 2.75%, due 05/07/19 144A | 249,242 | ||||||||
850,000 | State Street Corp., 4.96%, due 03/15/18 | 907,117 | ||||||||
395,000 | State Street Corp., 5.25%†††††† | 396,975 | ||||||||
270,000 | Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, due 04/15/21 144A | 270,000 | ||||||||
380,000 | Teachers Insurance & Annuity Association of America, 6.85%, due 12/16/39 144A | 476,743 | ||||||||
775,000 | Teck Resources, Ltd., 5.20%, due 03/01/42 | 429,286 | ||||||||
700,000 | Telecom Italia Capital SA, 7.00%, due 06/04/18 | 759,500 | ||||||||
1,900,000 | Telecom Italia Capital SA, 7.18%, due 06/18/19 | 2,109,000 | ||||||||
825,000 | Telecom Italia Capital SA, Guaranteed Senior Note, 7.72%, due 06/04/38 | 899,250 | ||||||||
725,000 | Telecom Italia Spa, 5.30%, due 05/30/24 144A | 711,406 | ||||||||
1,568,000 | Telefonaktiebolaget LM Ericsson, 4.13%, due 05/15/22 | 1,640,421 | ||||||||
260,000 | Telefonos de Mexico SAB de CV, 5.50%, due 11/15/19 | 288,288 | ||||||||
90,000 | Tenet Healthcare Corp., 4.50%, due 04/01/21 | 88,988 | ||||||||
350,000 | Tenet Healthcare Corp., 6.00%, due 10/01/20 | 370,125 | ||||||||
220,000 | Thermo Fisher Scientific, Inc., 3.60%, due 08/15/21 | 226,412 |
See accompanying Notes to the Financial Statements. | 63 |
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
300,000 | Time Warner Cable, Inc., 4.00%, due 09/01/21 | 306,385 | ||||||||
520,000 | Time Warner Cable, Inc., 4.13%, due 02/15/21 | 535,080 | ||||||||
740,000 | Time Warner Cable, Inc., 5.85%, due 05/01/17 | 783,470 | ||||||||
700,000 | Time Warner Cable, Inc., 7.30%, due 07/01/38 | 735,239 | ||||||||
2,055,000 | Time Warner Cable, Inc., 8.25%, due 04/01/19 | 2,396,483 | ||||||||
475,000 | Time Warner Cable, Inc., 8.75%, due 02/14/19 | 558,236 | ||||||||
702,000 | Time Warner Cos., Inc., 7.57%, due 02/01/24 | 867,858 | ||||||||
260,000 | Time Warner, Inc., 4.70%, due 01/15/21 | 284,249 | ||||||||
200,000 | Time Warner, Inc., 4.75%, due 03/29/21 | 217,735 | ||||||||
2,965,000 | Time Warner, Inc., 7.70%, due 05/01/32 | 3,860,136 | ||||||||
1,250,000 | Transcanada Trust, 5.63%, due 05/20/75† | 1,202,360 | ||||||||
130,000 | Transocean, Inc., 5.55%, due 12/15/16 | 128,863 | ||||||||
500,000 | UBS AG/Stamford CT, 1.80%, due 03/26/18 | 499,926 | ||||||||
1,033,000 | Union Pacific Corp., 4.16%, due 07/15/22 | 1,111,871 | ||||||||
3,600,000 | United Airlines 2014-1 Class A Pass Through Trust, 4.00%, due 10/11/27 | 3,685,500 | ||||||||
665,000 | UnitedHealth Group, Inc., 4.38%, due 03/15/42 | 655,343 | ||||||||
2,000,000 | Ventas Realty, LP/Ventas Capital Corp. REIT, 2.70%, due 04/01/20 | 1,993,644 | ||||||||
900,000 | Verizon Communications, Inc., 4.15%, due 03/15/24 | 932,556 | ||||||||
433,000 | Verizon Communications, Inc., 4.27%, due 01/15/36 | 393,968 | ||||||||
1,821,000 | Verizon Communications, Inc., 4.52%, due 09/15/48 | 1,606,690 | ||||||||
2,719,000 | Verizon Communications, Inc., 4.86%, due 08/21/46 | 2,559,495 | ||||||||
2,357,000 | Verizon Communications, Inc., 5.01%, due 08/21/54 | 2,153,876 | ||||||||
110,000 | Verizon Communications, Inc., 5.05%, due 03/15/34 | 110,073 | ||||||||
35,000 | Verizon Communications, Inc., 5.15%, due 09/15/23 | 38,728 | ||||||||
50,000 | Verizon Communications, Inc., 6.35%, due 04/01/19 | 57,015 | ||||||||
3,900,000 | Verizon Communications, Inc., 6.55%, due 09/15/43 | 4,623,696 | ||||||||
1,152,000 | Viacom, Inc., 4.85%, due 12/15/34 | 998,196 | ||||||||
1,850,000 | Vulcan Materials Co., 7.50%, due 06/15/21 | 2,127,500 | ||||||||
1,064,000 | Wal-Mart Stores, Inc., 6.50%, due 08/15/37 | 1,399,649 | ||||||||
1,855,000 | WEA Finance LLC/Westfield UK & Europe Finance Plc, 2.70%, due 09/17/19 144A | 1,847,944 | ||||||||
190,000 | Wells Fargo & Co., 1.50%, due 01/16/18 | 189,883 | ||||||||
250,000 | Wells Fargo & Co., 3.45%, due 02/13/23 | 249,070 | ||||||||
1,300,000 | Wells Fargo & Co., 4.30%, due 07/22/27 | 1,326,716 | ||||||||
1,308,000 | Wells Fargo & Co., 4.48%, due 01/16/24 | 1,374,550 | ||||||||
90,000 | Wells Fargo & Co., 4.60%, due 04/01/21 | 98,838 | ||||||||
1,100,000 | Welltower, Inc., 4.50%, due 01/15/24 | 1,152,393 | ||||||||
1,000,000 | Weyerhaeuser Co., 7.38%, due 10/01/19 | 1,178,651 | ||||||||
925,000 | Williams Partners, LP, 4.90%, due 01/15/45 | 691,080 | ||||||||
290,000 | Williams Partners, LP/Williams Partners Finance Corp., Senior Note, 7.25%, due 02/01/17 | 308,669 | ||||||||
80,000 | WM Wrigley Jr Co., 2.40%, due 10/21/18 144A | 81,466 | ||||||||
320,000 | WM Wrigley Jr Co., 2.90%, due 10/21/19 144A | 329,037 | ||||||||
90,000 | WM Wrigley Jr Co., 3.38%, due 10/21/20 144A | 93,847 | ||||||||
500,000 | Xerox Corp., 2.75%, due 03/15/19 | 503,055 | ||||||||
500,000 | Xerox Corp., 4.50%, due 05/15/21 | 520,200 | ||||||||
600,000 | Xerox Corp., 5.63%, due 12/15/19 | 664,841 | ||||||||
700,000 | Xerox Corp., 6.35%, due 05/15/18 | 773,191 | ||||||||
1,070,000 | Zimmer Biomet Holdings, Inc., 3.55%, due 04/01/25 | 1,049,857 | ||||||||
|
| |||||||||
330,008,902 | ||||||||||
|
|
64 | See accompanying Notes to the Financial Statements. |
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers — 10.6% | ||||||||||
1,502,809 | Banc of America Commercial Mortgage Trust, Series 2007-1, Class A4, 5.45%, due 01/15/49 | 1,569,871 | ||||||||
136,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-1, Class AM, 5.42%, due 09/10/45† | 136,737 | ||||||||
550,325 | Bear Stearns ALT-A Trust, Series 2004-12, Class 1A3, 0.89%, due 01/25/35† | 539,328 | ||||||||
2,521,346 | Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW12, Class A4, 5.90%, due 09/11/38† | 2,556,342 | ||||||||
2,055,000 | Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4, 5.90%, due 12/10/49† | 2,171,961 | ||||||||
1,600,000 | Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class A3, 3.36%, due 07/10/47 | 1,652,957 | ||||||||
1,500,000 | Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class A4, 2.88%, due 02/10/48 | 1,477,773 | ||||||||
1,200,000 | Citigroup Commercial Mortgage Trust, Series 2015-P1, Class A4, 3.46%, due 09/15/48 | 1,232,722 | ||||||||
1,000,000 | Citigroup Commercial Mortgage Trust, Inc., Series 2013-GC17, Class A2, 2.96%, due 11/10/46 | 1,035,480 | ||||||||
27,500,000 | Citigroup Commercial Mortgage Trust, Inc., (IO), Series 2014-GC21, Class XB, 0.49%, due 05/10/47† | 923,120 | ||||||||
2,530,000 | Commercial Mortgage Pass Through Certificates, Series 2007-C9, Class A4, 5.99%, due 12/10/49† | 2,684,777 | ||||||||
300,000 | Commercial Mortgage Pass Through Certificates, Series 2013-CR8, Class A2, 2.37%, due 06/10/46 | 305,648 | ||||||||
100,000 | Commercial Mortgage Pass Through Certificates, Series 2013-LC6, Class A3, 2.67%, due 01/10/46 | 100,364 | ||||||||
1,000,000 | Commercial Mortgage Pass Through Certificates, Series 2014-CR18, Class A4, 3.55%, due 07/15/47 | 1,050,752 | ||||||||
1,600,000 | Commercial Mortgage Pass Through Certificates, Series 2014-CR20, Class A3, 3.33%, due 11/10/47 | 1,644,038 | ||||||||
2,150,000 | Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A2, 2.82%, due 03/10/47 | 2,221,269 | ||||||||
1,200,000 | Commercial Mortgage Pass Through Certificates, Series 2015-CR25, Class A3, 3.51%, due 08/10/48 | 1,240,433 | ||||||||
53,000,000 | Commercial Mortgage Pass Through Certificates, (IO), Series 2014-CR17, Class XB, 0.28%, due 05/10/47† 144A | 958,664 | ||||||||
1,590,933 | Credit Suisse Commercial Mortgage Trust, Series 2006-C5, Class A3, 5.31%, due 12/15/39 | 1,626,159 | ||||||||
1,526,900 | Credit Suisse Commercial Mortgage Trust, Series 2007-C1, Class A3, 5.38%, due 02/15/40 | 1,582,881 | ||||||||
1,365,339 | Credit Suisse Commercial Mortgage Trust, Series 2007-C3, Class A4, 5.89%, due 06/15/39† | 1,428,452 | ||||||||
1,075,147 | Credit Suisse Mortgage Trust, Series 2015-3R, Class 10A1, 2.19%, due 10/29/47† 144A | 1,067,944 | ||||||||
1,500,000 | CSAIL Commercial Mortgage Trust, Series 2015-C1, Class A3, 3.24%, due 04/15/50 | 1,530,339 | ||||||||
1,000,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K033, Class A2, 3.06%, due 07/25/23† | 1,045,308 | ||||||||
700,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K044, Class A2, 2.81%, due 01/25/25 | 708,740 | ||||||||
1,600,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K502, Class A2, 1.43%, due 08/25/17 | 1,612,734 |
See accompanying Notes to the Financial Statements. | 65 |
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers — continued | ||||||||||
28,252,372 | FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K025, Class X1, 1.02%, due 10/25/22† | 1,446,324 | ||||||||
1,684,184 | FHLMC Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1, 1.09%, due 10/25/27† | 1,676,918 | ||||||||
830,722 | FHLMC Structured Agency Credit Risk Debt Notes, Series 2015-DNA2, Class M1, 1.34%, due 12/25/27† | 830,909 | ||||||||
500,000 | FHLMC Structured Agency Credit Risk Debt Notes, Series 2015-HQA1, Class M1, 1.66%, due 03/25/28† | 500,000 | ||||||||
1,162,301 | FNMA Connecticut Avenue Securities, Series 2014-C04, Class 1M1, 2.14%, due 11/25/24† | 1,170,309 | ||||||||
287,144 | FNMA Connecticut Avenue Securities, Series 2015-C01, Class 1M1, 1.69%, due 02/25/25† | 287,873 | ||||||||
1,222,731 | FNMA Connecticut Avenue Securities, Series 2015-C02, Class 1M1, 1.34%, due 05/25/25† | 1,218,158 | ||||||||
3,920,000 | FNMA-ACES, Series 2014-M1, Class ASQ2, 2.32%, due 11/25/18† | 4,029,164 | ||||||||
1,200,000 | FNMA-ACES, Series 2014-M4, Class A2, 3.35%, due 03/25/24† | 1,277,797 | ||||||||
900,000 | FNMA-ACES, Series 2014-M4, Class AB2, 3.21%, due 03/25/24 | 954,132 | ||||||||
1,700,000 | FNMA-ACES, Series 2015-M10, Class A2, 3.09%, due 04/25/27† | 1,754,156 | ||||||||
1,300,000 | FNMA-ACES, Series 2015-M8, Class AB2, 2.83%, due 01/25/25 | 1,332,381 | ||||||||
282,170 | Fremont Home Loan Trust, Series 2004-B, Class M1, 1.06%, due 05/25/34† | 264,463 | ||||||||
543,309 | Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class AM, 5.28%, due 04/10/37† | 543,154 | ||||||||
4,873,372 | Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.74%, due 12/10/49 | 5,122,504 | ||||||||
4,429,223 | Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.44%, due 03/10/39 | 4,601,174 | ||||||||
1,800,000 | GS Mortgage Securities Corp. II, Series 2013-GC12, Class A3, 2.86%, due 06/10/46 | 1,818,018 | ||||||||
900,000 | GS Mortgage Securities Trust, Series 2015-GC28, Class A4, 3.14%, due 02/10/48 | 909,080 | ||||||||
277,120 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP9, Class A3, 5.34%, due 05/15/47 | 286,579 | ||||||||
3,473,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 5.96%, due 06/15/49† | 3,606,898 | ||||||||
1,725,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-C19, Class A3, 3.67%, due 04/15/47 | 1,818,303 | ||||||||
500,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C13, Class A3, 3.53%, due 01/15/46 | 525,957 | ||||||||
1,500,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4, 2.69%, due 04/15/46 | 1,500,594 | ||||||||
1,684,349 | LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A1A, 5.39%, due 02/15/40 | 1,770,677 | ||||||||
954,856 | LSTAR Securities Investment Trust, Series 2015-3, Class A, 2.19%, due 03/01/20† 144A | 942,443 | ||||||||
946,282 | LSTAR Securities Investment Trust, Series 2015-4, Class A1, 2.20%, due 04/01/20† 144A | 935,073 | ||||||||
415,340 | LSTAR Securities Investment Trust, Series 2015-5, Class A1, 2.20%, due 04/01/20† 144A | 409,899 | ||||||||
1,292,437 | LSTAR Securities Investment Trust, Series 2015-6, Class A, 2.20%, due 05/01/20† 144A | 1,279,802 | ||||||||
494,424 | LSTAR Securities Investment Trust, Series 2015-8, Class A1, 2.20%, due 08/01/20† 144A | 486,191 |
66 | See accompanying Notes to the Financial Statements. |
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers — continued | ||||||||||
300,000 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4, 5.70%, due 09/12/49 | 317,668 | ||||||||
100,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7, Class A4, 2.92%, due 02/15/46 | 101,288 | ||||||||
1,300,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A3, 3.45%, due 07/15/50 | 1,340,650 | ||||||||
3,448,212 | Morgan Stanley Capital I Trust, Series 2007-IQ14, Class A4, 5.69%, due 04/15/49† | 3,601,207 | ||||||||
298,000 | Morgan Stanley Capital I, Inc., Series 2007-HQ11, Class A4, 5.45%, due 02/12/44† | 309,727 | ||||||||
986,000 | Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.99%, due 08/12/45† 144A | 1,045,161 | ||||||||
1,264,000 | Morgan Stanley Re-REMIC Trust, Series 2010-GG10, Class A4B, 5.99%, due 08/15/45† 144A | 1,332,070 | ||||||||
202,021 | Provident Funding Mortgage Loan Trust, Series 2005-1, Class 2A1, 2.48%, due 05/25/35† | 204,360 | ||||||||
3,093,980 | Small Business Administration Participation Certificates, Series 2013-20L, Class 1, 3.38%, due 12/01/33 | 3,251,159 | ||||||||
2,042,000 | Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A5, 5.50%, due 04/15/47 | 2,152,100 | ||||||||
3,199,992 | Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A3, 5.68%, due 05/15/46 | 3,381,461 | ||||||||
42,028 | WaMu Mortgage Pass Through Certificates, Series 2003-AR9, Class 1A7, 2.52%, due 09/25/33† | 42,636 | ||||||||
1,500,000 | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class A3, 3.35%, due 09/15/57†††† | 1,514,896 | ||||||||
|
| |||||||||
95,998,106 | ||||||||||
|
| |||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — 24.3% |
| |||||||||
793,532 | FHLMC, Pool # 1Q0481, 2.13%, due 02/01/38† | 838,547 | ||||||||
5,399,134 | FHLMC, Pool # 1Q1587, 2.45%, due 06/01/37† | 5,756,000 | ||||||||
937,141 | FHLMC, Pool # J26100, 3.00%, due 10/01/28 | 978,257 | ||||||||
848,876 | FHLMC, Pool # V60565, 3.00%, due 06/01/29 | 886,126 | ||||||||
1,782,781 | FHLMC, Pool # V60603, 3.00%, due 09/01/29 | 1,859,837 | ||||||||
1,806,938 | FHLMC, Pool # V60599, 3.00%, due 09/01/29 | 1,886,190 | ||||||||
2,455,444 | FHLMC, Pool # G08635, 3.00%, due 04/01/45 | 2,483,851 | ||||||||
3,578,000 | FHLMC, Pool # 849820, 3.01%, due 10/01/45††††† | 3,709,849 | ||||||||
1,791,416 | FHLMC, Pool # 849372, 3.10%, due 06/01/44† | 1,872,675 | ||||||||
1,744,322 | FHLMC, Pool # 2B1967, 3.11%, due 12/01/43† | 1,821,542 | ||||||||
427,283 | FHLMC, Pool # J16432, 3.50%, due 08/01/26 | 453,262 | ||||||||
413,609 | FHLMC, Pool # J17763, 3.50%, due 01/01/27 | 438,822 | ||||||||
459,985 | FHLMC, Pool # Q11218, 3.50%, due 09/01/42 | 481,111 | ||||||||
869,641 | FHLMC, Pool # Q12052, 3.50%, due 10/01/42 | 908,954 | ||||||||
1,533,397 | FHLMC, Pool # Q12862, 3.50%, due 11/01/42 | 1,604,757 | ||||||||
749,765 | FHLMC, Pool # Q17792, 3.50%, due 05/01/43 | 785,031 | ||||||||
1,595,848 | FHLMC, Pool # 849096, 3.60%, due 10/01/41† | 1,675,851 | ||||||||
3,234,109 | FHLMC, Pool # J13193, 4.00%, due 10/01/25 | 3,464,979 | ||||||||
909,088 | FHLMC, Pool # G14919, 4.00%, due 06/01/26 | 973,323 | ||||||||
92,868 | FHLMC, Pool # G14350, 4.00%, due 12/01/26 | 98,246 | ||||||||
694,732 | FHLMC, Pool # G14678, 4.00%, due 12/01/26 | 744,267 | ||||||||
2,784,142 | FHLMC, Pool # C91402, 4.00%, due 10/01/31 | 2,973,089 |
See accompanying Notes to the Financial Statements. | 67 |
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — continued |
| |||||||||
674,283 | FHLMC, Pool # G30700, 4.00%, due 04/01/34 | 727,097 | ||||||||
1,555,731 | FHLMC, Pool # A93231, 4.00%, due 08/01/40 | 1,662,087 | ||||||||
1,182,125 | FHLMC, Pool # G06231, 4.00%, due 12/01/40 | 1,263,091 | ||||||||
791,415 | FHLMC, Pool # A96970, 4.00%, due 02/01/41 | 845,655 | ||||||||
2,592,422 | FHLMC, Pool # Q04020, 4.00%, due 10/01/41 | 2,768,967 | ||||||||
1,381,697 | FHLMC, Pool # A89870, 4.50%, due 11/01/39 | 1,498,504 | ||||||||
1,483,900 | FHLMC, Pool # Q02552, 4.50%, due 08/01/41 | 1,608,296 | ||||||||
226,324 | FHLMC, Pool # G07515, 4.50%, due 09/01/41 | 246,494 | ||||||||
983,124 | FHLMC, Pool # G08568, 4.50%, due 01/01/44 | 1,065,157 | ||||||||
1,351,407 | FHLMC, Pool # G07021, 5.00%, due 09/01/39 | 1,480,415 | ||||||||
2,014,619 | FHLMC, Pool # G06576, 5.00%, due 09/01/40†††† | 2,236,193 | ||||||||
376,649 | FHLMC, Pool # G01749, 5.50%, due 01/01/35 | 419,825 | ||||||||
362,445 | FHLMC, Pool # G06875, 5.50%, due 12/01/38 | 402,964 | ||||||||
959,390 | FHLMC, Pool # 782735, 5.58%, due 09/01/36† | 1,023,692 | ||||||||
15,781 | FHLMC, Pool # H09061, 6.00%, due 06/01/37 | 17,394 | ||||||||
690,298 | FHLMC, Pool # G06409, 6.00%, due 11/01/39 | 778,023 | ||||||||
5,893,887 | FHLMC, Series 4283, Class EW, 4.92%, due 12/15/43† | 6,469,846 | ||||||||
36,114,592 | FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K006, Class AX1, 1.18%, due 01/25/20† | 1,316,359 | ||||||||
26,844,786 | FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K007, Class X1, 1.34%, due 04/25/20† | 1,053,926 | ||||||||
218,687 | FHLMC Reference REMIC, Series R007, Class ZA, 6.00%, due 05/15/36 | 248,932 | ||||||||
1,000,000 | FHLMC TBA, 4.00%, due 03/01/42 | 1,064,582 | ||||||||
59,158 | FNMA, Pool # 840589, 2.40%, due 09/01/35† | 63,006 | ||||||||
915,950 | FNMA, Pool # AO7971, 2.50%, due 06/01/27 | 942,743 | ||||||||
496,591 | FNMA, Pool # AS5302, 2.50%, due 07/01/30 | 506,926 | ||||||||
1,253,736 | FNMA, Pool # AX2197, 2.75%, due 12/01/44† | 1,300,108 | ||||||||
634,950 | FNMA, Pool # AT7040, 2.89%, due 09/01/44† | 661,480 | ||||||||
1,759,695 | FNMA, Pool # AB7505, 3.00%, due 01/01/43 | 1,789,830 | ||||||||
1,326,772 | FNMA, Pool # AT0232, 3.00%, due 03/01/43 | 1,349,324 | ||||||||
1,832,858 | FNMA, Pool # AU1292, 3.00%, due 07/01/43 | 1,863,624 | ||||||||
98,769 | FNMA, Pool # AX6719, 3.00%, due 12/01/44 | 100,229 | ||||||||
494,178 | FNMA, Pool # AY4883, 3.00%, due 03/01/45 | 501,482 | ||||||||
219,961 | FNMA, Pool # AY7121, 3.00%, due 04/01/45 | 223,212 | ||||||||
993,836 | FNMA, Pool # AZ0611, 3.00%, due 04/01/45 | 1,008,526 | ||||||||
2,461,531 | FNMA, Pool # AL5088, 3.21%, due 04/01/44† | 2,568,678 | ||||||||
904,275 | FNMA, Pool # AX3719, 3.50%, due 07/01/27 | 959,316 | ||||||||
1,579,148 | FNMA, Pool # MA2164, 3.50%, due 02/01/35 | 1,665,474 | ||||||||
1,683,846 | FNMA, Pool # AJ9278, 3.50%, due 12/01/41 | 1,761,300 | ||||||||
2,525,703 | FNMA, Pool # AL1895, 3.50%, due 06/01/42 | 2,649,819 | ||||||||
1,774,170 | FNMA, Pool # AL3316, 3.50%, due 03/01/43 | 1,857,282 | ||||||||
1,612,228 | FNMA, Pool # AY5617, 3.50%, due 06/01/45†††† | 1,684,163 | ||||||||
750,804 | FNMA, Pool # AL2733, 3.87%, due 07/01/41† | 798,570 | ||||||||
2,065,066 | FNMA, Pool # MA1689, 4.00%, due 12/01/33 | 2,226,638 | ||||||||
2,221,913 | FNMA, Pool # 725331, 4.00%, due 01/01/34 | 2,379,105 | ||||||||
5,717,342 | FNMA, Pool # MA1858, 4.00%, due 04/01/34 | 6,167,076 | ||||||||
1,091,662 | FNMA, Pool # AL6300, 4.00%, due 05/01/34 | 1,185,849 | ||||||||
408,397 | FNMA, Pool # AS2666, 4.00%, due 06/01/34 | 440,282 | ||||||||
854,757 | FNMA, Pool # MA2019, 4.00%, due 09/01/34 | 921,421 |
68 | See accompanying Notes to the Financial Statements. |
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — continued |
| |||||||||
1,159,555 | FNMA, Pool # 932807, 4.00%, due 09/01/40 | 1,239,612 | ||||||||
591,771 | FNMA, Pool # AE7685, 4.00%, due 10/01/40 | 632,646 | ||||||||
2,492,143 | FNMA, Pool # AH4404, 4.00%, due 01/01/41 | 2,665,382 | ||||||||
2,627,721 | FNMA, Pool # AJ4899, 4.00%, due 01/01/42 | 2,813,255 | ||||||||
383,954 | FNMA, Pool # AO4109, 4.00%, due 06/01/42 | 410,692 | ||||||||
2,009,450 | FNMA, Pool # AL6950, 4.00%, due 12/01/42 | 2,149,555 | ||||||||
481,060 | FNMA, Pool # AB9383, 4.00%, due 05/01/43 | 518,011 | ||||||||
2,033,902 | FNMA, Pool # AW5109, 4.00%, due 08/01/44 | 2,174,887 | ||||||||
3,792,930 | FNMA, Pool # AD0244, 4.50%, due 10/01/24 | 4,064,983 | ||||||||
1,111,004 | FNMA, Pool # AL4147, 4.50%, due 01/01/25 | 1,194,565 | ||||||||
254,790 | FNMA, Pool # MA0634, 4.50%, due 01/01/31 | 278,484 | ||||||||
866,055 | FNMA, Pool # AL5861, 4.50%, due 01/01/31 | 944,263 | ||||||||
1,048,265 | FNMA, Pool # AL4549, 4.50%, due 01/01/32 | 1,142,159 | ||||||||
2,424,425 | FNMA, Pool # 310098, 4.50%, due 06/01/36 | 2,641,381 | ||||||||
1,418,838 | FNMA, Pool # 995243, 4.50%, due 08/01/38 | 1,541,593 | ||||||||
1,517,787 | FNMA, Pool # AA4414, 4.50%, due 03/01/39 | 1,660,845 | ||||||||
1,369,484 | FNMA, Pool # AD9153, 4.50%, due 08/01/40 | 1,487,249 | ||||||||
1,733,175 | FNMA, Pool # AL0215, 4.50%, due 04/01/41* | 1,885,591 | ||||||||
1,600,175 | FNMA, Pool # AL5749, 4.50%, due 07/01/42 | 1,740,983 | ||||||||
2,221,763 | FNMA, Pool # AL2439, 5.00%, due 06/01/26 | 2,394,824 | ||||||||
2,148,212 | FNMA, Pool # 254903, 5.00%, due 10/01/33 | 2,379,252 | ||||||||
1,377,772 | FNMA, Pool # 725027, 5.00%, due 11/01/33 | 1,525,983 | ||||||||
1,208,630 | FNMA, Pool # 889834, 5.00%, due 12/01/35 | 1,357,520 | ||||||||
1,176,551 | FNMA, Pool # 745148, 5.00%, due 01/01/36 | 1,297,718 | ||||||||
935,760 | FNMA, Pool # 995245, 5.00%, due 01/01/39 | 1,030,155 | ||||||||
400,036 | FNMA, Pool # AI1892, 5.00%, due 05/01/41 | 447,805 | ||||||||
1,202,806 | FNMA, Pool # AI1971, 5.00%, due 05/01/41 | 1,335,364 | ||||||||
1,012,298 | FNMA, Pool # AL5955, 5.00%, due 01/01/42 | 1,118,808 | ||||||||
1,257,032 | FNMA, Pool # AL6839, 5.00%, due 04/01/42 | 1,404,059 | ||||||||
836,174 | FNMA, Pool # AL5788, 5.00%, due 05/01/42 | 925,144 | ||||||||
254,735 | FNMA, Pool # AE0011, 5.50%, due 09/01/23 | 277,062 | ||||||||
961,866 | FNMA, Pool # 995253, 5.50%, due 12/01/23 | 1,047,508 | ||||||||
1,302,332 | FNMA, Pool # AL0278, 5.50%, due 01/01/25 | 1,425,893 | ||||||||
8,839 | FNMA, Pool # 254548, 5.50%, due 12/01/32 | 9,956 | ||||||||
885,375 | FNMA, Pool # 704235, 5.50%, due 05/01/33 | 998,250 | ||||||||
97,696 | FNMA, Pool # 555591, 5.50%, due 07/01/33 | 110,029 | ||||||||
1,234,719 | FNMA, Pool # 725221, 5.50%, due 01/01/34 | 1,390,725 | ||||||||
58,268 | FNMA, Pool # 735224, 5.50%, due 02/01/35 | 65,608 | ||||||||
110,870 | FNMA, Pool # 990906, 5.50%, due 10/01/35 | 124,693 | ||||||||
618,500 | FNMA, Pool # 849077, 5.50%, due 01/01/36 | 693,562 | ||||||||
1,236,575 | FNMA, Pool # 983471, 5.50%, due 05/01/38 | 1,380,016 | ||||||||
1,299,847 | FNMA, Pool # 985184, 5.50%, due 08/01/38 | 1,450,627 | ||||||||
1,794,447 | FNMA, Pool # AD6348, 5.50%, due 05/01/40 | 2,047,470 | ||||||||
672,848 | FNMA, Pool # AX1916, 5.50%, due 12/01/41 | 769,629 | ||||||||
638,153 | FNMA, Pool # AL0144, 5.56%, due 11/01/37† | 678,468 | ||||||||
740,176 | FNMA, Pool # 745506, 5.66%, due 02/01/16 | 741,007 | ||||||||
1,947,479 | FNMA, Pool # 725162, 6.00%, due 02/01/34 | 2,222,620 | ||||||||
1,325,057 | FNMA, Pool # AD0218, 6.00%, due 09/01/36 | 1,511,201 | ||||||||
711,003 | FNMA, Pool # AE0469, 6.00%, due 12/01/39 | 803,743 | ||||||||
435,148 | FNMA, Pool # AL0778, 6.50%, due 01/01/49 | 484,656 |
See accompanying Notes to the Financial Statements. | 69 |
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — continued |
| |||||||||
1,185,264 | FNMA, Pool # 888369, 7.00%, due 03/01/37 | 1,381,950 | ||||||||
1,538,619 | FNMA, Series 2007-50, Class DZ, 5.50%, due 06/25/37 | 1,724,762 | ||||||||
1,272,992 | FNMA, Series 2007-63, Class VZ, 5.50%, due 07/25/37 | 1,365,429 | ||||||||
2,678,247 | FNMA, Series 2007-70, Class Z, 5.50%, due 07/25/37 | 3,015,063 | ||||||||
1,262,654 | FNMA, Series 2011-59, Class NZ, 5.50%, due 07/25/41 | 1,490,016 | ||||||||
114,613 | FNMA, Series 2012-28, Class B, 6.50%, due 06/25/39 | 128,718 | ||||||||
72,119 | FNMA Grantor Trust, Series 2004-T1, Class 1A2, 6.50%, due 01/25/44 | 82,027 | ||||||||
748,302 | FNMA REMIC Trust 2007-W1, Series 2007-W10, Class 2A, 6.32%, due 08/25/47† | 854,346 | ||||||||
1,000,000 | FNMA TBA, 2.50%, due 02/01/28 | 1,019,547 | ||||||||
3,500,000 | FNMA TBA, 3.50%, due 05/01/43 | 3,643,527 | ||||||||
750,000 | FNMA TBA, 4.00%, due 07/01/42 | 798,604 | ||||||||
2,118,637 | FNMA Trust, Series 2004-W1, Class 2A2, 7.00%, due 12/25/33 | 2,506,387 | ||||||||
101,243 | FNMA Trust, Series 2004-W9, Class 2A1, 6.50%, due 02/25/44 | 114,574 | ||||||||
1,496,535 | GNMA, Pool # MA3033, 3.00%, due 08/20/45 | 1,529,856 | ||||||||
1,500,000 | GNMA, Pool # MA3104, 3.00%, due 09/20/45 | 1,533,399 | ||||||||
804,032 | GNMA, Pool # AB2761, 3.50%, due 08/15/42 | 845,068 | ||||||||
2,532,366 | GNMA, Pool # MA2754, 3.50%, due 04/20/45 | 2,658,329 | ||||||||
947,268 | GNMA, Pool # 004833, 4.00%, due 10/20/40 | 1,018,408 | ||||||||
794,233 | GNMA, Pool # 004977, 4.00%, due 03/20/41 | 853,760 | ||||||||
1,096,540 | GNMA, Pool # MA2372, 4.00%, due 11/20/44 | 1,168,849 | ||||||||
2,706,936 | GNMA, Pool # MA3035, 4.00%, due 08/20/45†††† | 2,891,009 | ||||||||
847,564 | GNMA, Pool # 698474, 4.50%, due 08/15/39 | 925,515 | ||||||||
850,783 | GNMA, Pool # 004636, 4.50%, due 02/20/40 | 925,374 | ||||||||
161,484 | GNMA, Pool # 004678, 4.50%, due 04/20/40 | 175,636 | ||||||||
2,208,862 | GNMA, Pool # 004978, 4.50%, due 03/20/41 | 2,402,545 | ||||||||
3,522,386 | GNMA, Pool # 005055, 4.50%, due 05/20/41 | 3,831,252 | ||||||||
444,353 | GNMA, Pool # 005334, 5.00%, due 03/20/42 | 494,316 | ||||||||
2,929,561 | GNMA, Pool # MA2306, 5.00%, due 10/20/44 | 3,179,662 | ||||||||
2,500,000 | GNMA TBA, 3.50%, due 10/01/43 | 2,619,628 | ||||||||
4,500,000 | GNMA TBA, 3.50%, due 10/01/43 | 4,704,958 | ||||||||
2,500,000 | GNMA TBA, 4.00%, due 04/01/43 | 2,663,721 | ||||||||
|
| |||||||||
219,649,254 | ||||||||||
|
| |||||||||
Municipal Obligations — 2.6% | ||||||||||
300,000 | California Bay Area Toll Authority, 6.26%, due 04/01/49 | 399,897 | ||||||||
1,435,000 | City of Houston General Obligation, 6.29%, due 03/01/32 | 1,758,119 | ||||||||
90,000 | District of Columbia Water & Sewer Authority, 4.81%, due 10/01/14# | 91,156 | ||||||||
490,000 | District of Columbia Water & Sewer Authority, 5.52%, due 10/01/44 | 587,294 | ||||||||
900,000 | Energy Northwest, 2.80%, due 07/01/21 | 927,927 | ||||||||
1,565,000 | Los Angeles Unified School District, 5.75%, due 07/01/34 | 1,878,986 | ||||||||
910,000 | Los Angeles Unified School District, 6.76%, due 07/01/34 | 1,201,946 | ||||||||
1,150,000 | New Jersey Economic Development Authority, 3.37%, due 02/15/19‡‡ | 1,031,217 | ||||||||
2,049,000 | New Jersey Economic Development Authority, 4.27%, due 02/15/20‡‡ | 1,721,754 | ||||||||
925,000 | New Jersey Turnpike Authority, 7.10%, due 01/01/41 | 1,246,058 | ||||||||
3,400,000 | State of California General Obligation, 7.30%, due 10/01/39 | 4,714,134 | ||||||||
170,000 | State of California General Obligation, 7.50%, due 04/01/34 | 238,355 | ||||||||
1,000,000 | State of California General Obligation, 7.55%, due 04/01/39 | 1,441,400 | ||||||||
350,000 | State of California General Obligation, 7.63%, due 03/01/40 | 502,558 | ||||||||
1,600,000 | State of Illinois General Obligation, 5.37%, due 03/01/17 | 1,670,976 |
70 | See accompanying Notes to the Financial Statements. |
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Municipal Obligations — continued | ||||||||||
2,325,000 | State of Illinois General Obligation, 5.67%, due 03/01/18 | 2,477,962 | ||||||||
1,000,000 | State of Kentucky Property & Building Commission, 4.30%, due 11/01/19 | 1,089,250 | ||||||||
|
| |||||||||
22,978,989 | ||||||||||
|
| |||||||||
Sovereign Debt Obligations — 0.7% | ||||||||||
950,000 | Brazilian Government International Bond, 4.25%, due 01/07/25‡ | 832,437 | ||||||||
230,000 | Colombia Government International Bond, 5.63%, due 02/26/44 | 216,200 | ||||||||
1,385,000 | Hashemite Kingdom of Jordan Government AID Bond, 2.58%, due 06/30/22 | 1,433,143 | ||||||||
475,000 | Hashemite Kingdom of Jordan Government AID Bond, 3.00%, due 06/30/25 | 491,160 | ||||||||
812,000 | Hungary Government International Bond, 5.75%, due 11/22/23 | 905,380 | ||||||||
720,000 | Indonesia Government International Bond, 5.88%, due 01/15/24 144A | 764,070 | ||||||||
200,000 | Panama Government International Bond, 3.75%, due 03/16/25 | 194,000 | ||||||||
200,000 | Panama Government International Bond, 4.00%, due 09/22/24 | 198,250 | ||||||||
150,000 | Romanian Government International Bond, Reg S, 6.13%, due 01/22/44‡‡‡ | 174,750 | ||||||||
650,000 | Spain Government International Bond, 4.00%, due 03/06/18 144A | 688,861 | ||||||||
100,000 | Turkey Government International Bond, 7.00%, due 06/05/20 | 110,750 | ||||||||
300,000 | Turkey Government International Bond, 7.00%, due 06/05/20 | 332,250 | ||||||||
|
| |||||||||
6,341,251 | ||||||||||
|
| |||||||||
U.S. Government and Agency Obligations — 10.6% | ||||||||||
2,030,000 | FNMA, 1.50%, due 06/22/20 | 2,031,382 | ||||||||
2,300,000 | FNMA, 1.88%, due 10/09/19‡‡ | 2,137,125 | ||||||||
875,000 | FNMA, 2.63%, due 09/06/24 | 897,116 | ||||||||
1,235,000 | FNMA, 6.63%, due 11/15/30** | 1,785,941 | ||||||||
1,199,000 | Tennessee Valley Authority, 4.25%, due 09/15/65 | 1,208,715 | ||||||||
190,000 | Tennessee Valley Authority, 5.25%, due 09/15/39 | 236,244 | ||||||||
736,000 | U.S. Treasury Bond, 2.50%, due 02/15/45 | 677,738 | ||||||||
2,680,000 | U.S. Treasury Bond, 2.88%, due 05/15/43 | 2,672,287 | ||||||||
1,894,000 | U.S. Treasury Bond, 3.00%, due 05/15/45 | 1,938,736 | ||||||||
5,514,000 | U.S. Treasury Bond, 3.63%, due 08/15/43 | 6,348,064 | ||||||||
4,061,000 | U.S. Treasury Bond, 4.50%, due 02/15/36 | 5,326,469 | ||||||||
7,006,313 | U.S. Treasury Inflation Indexed Bond, 0.13%, due 04/15/20 | 6,966,355 | ||||||||
724,586 | U.S. Treasury Inflation Indexed Bond, 0.38%, due 07/15/25 | 706,378 | ||||||||
4,500,000 | U.S. Treasury Note, 0.38%, due 05/31/16 | 4,504,306 | ||||||||
280,000 | U.S. Treasury Note, 0.63%, due 09/30/17 | 279,898 | ||||||||
3,950,000 | U.S. Treasury Note, 0.88%, due 01/15/18 | 3,961,340 | ||||||||
22,520,000 | U.S. Treasury Note, 1.38%, due 03/31/20 | 22,591,546 | ||||||||
12,360,000 | U.S. Treasury Note, 1.38%, due 08/31/20 | 12,376,253 | ||||||||
6,480,000 | U.S. Treasury Note, 1.38%, due 09/30/20 | 6,479,832 | ||||||||
5,945,000 | U.S. Treasury Note, 1.63%, due 07/31/19 | 6,047,955 | ||||||||
630,000 | U.S. Treasury Note, 1.75%, due 09/30/22 | 629,803 | ||||||||
580,000 | U.S. Treasury Note, 2.00%, due 08/15/25 | 577,040 | ||||||||
215,000 | U.S. Treasury Note, 2.13%, due 01/31/21 | 221,905 | ||||||||
125,000 | U.S. Treasury Note, 2.13%, due 08/15/21 | 128,685 | ||||||||
920,000 | U.S. Treasury Note, 2.13%, due 09/30/21 | 946,743 | ||||||||
545,000 | U.S. Treasury Note, 3.13%, due 05/15/21 | 591,091 | ||||||||
1,135,000 | U.S. Treasury STRIPS, 2.45%, due 08/15/25‡‡ | 912,343 | ||||||||
1,845,000 | U.S. Treasury STRIPS, 3.12%, due 08/15/30‡‡ | 1,255,208 | ||||||||
840,000 | U.S. Treasury STRIPS, 3.58%, due 11/15/34‡‡ | 495,309 |
See accompanying Notes to the Financial Statements. | 71 |
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
U.S. Government and Agency Obligations — continued | ||||||||||
530,000 | U.S. Treasury STRIPS, 4.61%, due 05/15/43‡‡ | 230,557 | ||||||||
530,000 | U.S. Treasury STRIPS, 4.73%, due 11/15/44‡‡ | 220,257 | ||||||||
|
| |||||||||
95,382,621 | ||||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $873,904,752) | 873,179,487 | |||||||||
|
| |||||||||
Shares | Description | Value ($) | ||||||||
PREFERRED STOCK — 0.3% | ||||||||||
Diversified Financial Services — 0.3% |
| |||||||||
106,600 | Citigroup Capital XIII, 7.88%† | 2,738,554 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCK (COST $2,865,380) | 2,738,554 | |||||||||
|
| |||||||||
Notional | Description | Value ($) | ||||||||
OPTIONS PURCHASED — 0.0% | ||||||||||
Call Options — 0.0% |
| |||||||||
80,000 | U.S. Treasury Note 10-Year Futures Option with Barclays Capital, Inc., | 11,250 | ||||||||
80,000 | U.S. Treasury Note 10-Year Futures Option with Barclays Capital, Inc., | 117,500 | ||||||||
|
| |||||||||
TOTAL CALL OPTIONS PURCHASED (COST $84,035) | 128,750 | |||||||||
|
| |||||||||
Put Options — 0.0% |
| |||||||||
1,192,500 | Euro Dollar Futures Option with Barclays Capital, Inc., Strike Price $99.38, Expires 12/14/15 | 2,982 | ||||||||
1,192,500 | Euro Dollar Futures Option with Barclays Capital, Inc., Strike Price $99.13, Expires 12/14/15 | 2,981 | ||||||||
|
| |||||||||
TOTAL PUT OPTIONS PURCHASED (COST $94,575) | 5,963 | |||||||||
|
| |||||||||
TOTAL OPTIONS PURCHASED (COST $178,610) | 134,713 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 3.8% | ||||||||||
Bank Deposit — 3.1% | ||||||||||
28,332,499 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/01/15 | 28,332,499 | ||||||||
|
| |||||||||
TOTAL BANK DEPOSITS (COST $28,332,499) | 28,332,499 | |||||||||
|
|
72 | See accompanying Notes to the Financial Statements. |
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Securities Lending Collateral — 0.7% | ||||||||||
6,539,643 | State Street Institutional U.S. Government Money Market Fund, Premier Class*** | 6,539,643 | ||||||||
|
| |||||||||
TOTAL SECURITIES LENDING COLLATERAL (COST $6,539,643) | 6,539,643 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $34,872,142) | 34,872,142 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.8% (Cost $911,820,884) | 910,924,896 | |||||||||
Other Assets and Liabilities (net) — (0.8)% | (7,651,668 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 903,273,228 | ||||||||
|
| |||||||||
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 | ||||||||||
REIT — Real Estate Investment Trust | ||||||||||
REMIC — Real Estate Mortgage Investment Conduit | ||||||||||
TBA — To Be Announced | ||||||||||
# | Year of maturity is greater than 2100. | |||||||||
* | All or a portion of this security is held for open futures collateral. | |||||||||
** | All or a portion of this security is held for open futures and swaps collateral. | |||||||||
¤ | Illiquid security. The total market value of the securities at period end is $4,576,508 which represents 0.5% of net assets. The aggregate tax cost of these securities held at September 30, 2015 was $4,999,873. | |||||||||
*** | 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, 2015 was $418,994. | |||||||||
† | Floating rate note. Rate shown is as of September 30, 2015. | |||||||||
††† | Security is currently in default. | |||||||||
†††† | When-issued security. | |||||||||
††††† | Security is perpetual and has no stated maturity date. | |||||||||
‡ | 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 $124,327,369 which represents 13.8% of net assets. |
See accompanying Notes to the Financial Statements. | 73 |
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
182 | U.S. Treasury Note 2-Year | December 2015 | $ | 39,863,688 | $ | 72,457 | ||||||||||||
232 | U.S. Treasury Note 5-Year | December 2015 | 27,959,625 | 165,651 | ||||||||||||||
73 | U.S. Ultra Bond | December 2015 | 11,709,656 | 13,196 | ||||||||||||||
|
| |||||||||||||||||
$ | 251,304 | |||||||||||||||||
|
| |||||||||||||||||
Sales | ||||||||||||||||||
25 | U.S. Long Bond | December 2015 | $ | 3,933,594 | $ | (49,363 | ) | |||||||||||
11 | U.S. Treasury Note 10-Year | December 2015 | 1,416,078 | 329 | ||||||||||||||
42 | U.S. Treasury Note 10-Year | December 2015 | 5,406,844 | (56,843 | ) | |||||||||||||
26 | U.S. Ultra Bond | December 2015 | 4,170,562 | (53,066 | ) | |||||||||||||
|
| |||||||||||||||||
$ | (158,943 | ) | ||||||||||||||||
|
|
Written Options
Type of Contract | Counterparty | Number of Contracts/ Notional Amount | Premiums Received | Value at September 30, 2015 | |||||||||||||||||
CALL — U.S. Treasury Note 10-Year Futures | Barclays Capital, Inc. | 160 | $ | 52,121 | $ | (85,000 | ) | ||||||||||||||
PUT — Euro Dollar Futures | Barclays Capital, Inc. | 954 | 63,431 | (5,963 | ) | ||||||||||||||||
TOTAL | $ | 115,552 | $ | (90,963 | ) | ||||||||||||||||
|
|
|
|
74 | See accompanying Notes to the Financial Statements. |
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Centrally Cleared Interest Rate Swaps
Pay/Receive | Floating Rate Index | Fixed Rate | Maturity Date | Notional | Unrealized Appreciation (Depreciation) | |||||||||
Receive | 3-Month USD LIBOR | 1.74% | 12/31/21 | $ | 4,070,000 | $ | (35,203 | ) | ||||||
Receive | 3-Month USD LIBOR | 1.83% | 12/31/21 | 6,640,000 | (134,057 | ) | ||||||||
Receive | 3-Month USD LIBOR | 1.95% | 12/31/21 | 6,390,000 | (166,844 | ) | ||||||||
Receive | 3-Month USD LIBOR | 1.96% | 10/31/21 | 8,800,000 | (188,921 | ) | ||||||||
Receive | 3-Month USD LIBOR | 2.20% | 05/31/22 | 2,690,000 | (96,502 | ) | ||||||||
Receive | 3-Month USD LIBOR | 2.22% | 05/31/22 | 2,480,000 | (89,136 | ) | ||||||||
Receive | 3-Month USD LIBOR | 2.57% | 09/08/24 | 1,600,000 | (87,135 | ) | ||||||||
Pay | Interbank Equilibrium Interest Rate | 6.01% | 08/19/24 | MXN 25,050,000 | (21,425 | ) | ||||||||
$ | (819,223 | ) | ||||||||||||
|
|
Centrally Cleared Credit Default Swaps (See Note 2(a))
Notional Amount | Expiration Date | Unrealized | ||||||||
$ | 17,000,000 | 06/20/20 | $ | 224,106 | ||||||
|
|
Currency Abbreviations
MXN | — Mexican Peso |
See accompanying Notes to the Financial Statements. | 75 |
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Debt Obligations | 96.7 | ||||
Options Purchased | 0.0 | ||||
Futures Contracts | 0.0 | ||||
Written Options | (0.0 | ) | |||
Swaps | (0.1 | ) | |||
Preferred Stock | 0.3 | ||||
Short-Term Investments | 3.8 | ||||
Other Assets and Liabilities (net) | (0.7 | ) | |||
|
| ||||
100.0 | % | ||||
|
|
76 | See accompanying Notes to the Financial Statements. |
Mercer Opportunistic Fixed Income Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 92.2% | ||||||||||
Corporate Debt — 46.8% | ||||||||||
2,000,000 | 1011778 BC ULC/New Red Finance, Inc., 6.00%, due 04/01/22 144A | 2,035,000 | ||||||||
1,200,000 | 24 Hour Holdings III LLC, 8.00%, due 06/01/22 144A | 930,000 | ||||||||
700,000 | AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust, 4.25%, due 07/01/20 | 700,875 | ||||||||
1,000,000 | AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust, 5.00%, due 10/01/21 | 1,022,500 | ||||||||
1,000,000 | Alere, Inc., 6.50%, due 06/15/20 | 1,020,000 | ||||||||
10,540,000 | MXN | America Movil SAB de CV, 7.13%, due 12/09/24 | 607,581 | |||||||
2,400,000 | ArcelorMittal, 6.25%, due 03/01/21‡ | 2,173,488 | ||||||||
1,500,000 | Ardagh Packaging Finance Plc/Ardagh Holdings USA, Inc., 6.00%, | 1,440,000 | ||||||||
1,700,000 | EUR | Areva SA, Reg S, 3.13%, due 03/20/23‡‡‡ | 1,680,602 | |||||||
1,200,000 | EUR | Avis Budget Finance Plc, 6.00%, due 03/01/21 144A | 1,365,285 | |||||||
1,300,000 | EUR | Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding B BV, 5.75%, due 02/01/21 144A | 1,493,526 | |||||||
2,000,000 | Bank of America Corp., Series M, 8.13%† ††††† | 2,092,500 | ||||||||
1,000,000 | Barminco Finance Pty, Ltd., 9.00%, due 06/01/18‡ 144A | 732,500 | ||||||||
1,000,000 | Blackboard, Inc., 7.75%, due 11/15/19 144A | 845,000 | ||||||||
900,000 | Blue Cube Spinco, Inc., 10.00%, due 10/15/25†††† 144A | 939,375 | ||||||||
1,500,000 | BMC Software Finance, Inc., 8.13%, due 07/15/21 144A | 1,217,812 | ||||||||
2,000,000 | Bombardier, Inc., 7.50%, due 03/15/25 144A | 1,510,000 | ||||||||
1,500,000 | BreitBurn Energy Partners LP/BreitBurn Finance Corp., 7.88%, due 04/15/22‡ | 543,750 | ||||||||
500,000 | Caesars Entertainment Operating Co., Inc., 9.00%, due 02/15/20††† | 412,500 | ||||||||
1,000,000 | Caesars Entertainment Operating Co., Inc., 11.25%, due 06/01/17††† | 805,000 | ||||||||
600,000 | California Resources Corp., 5.50%, due 09/15/21‡ | 369,000 | ||||||||
1,500,000 | California Resources Corp., 6.00%, due 11/15/24‡ | 899,062 | ||||||||
500,000 | Calpine Corp., 5.75%, due 01/15/25 | 469,375 | ||||||||
1,000,000 | Calpine Corp., 6.00%, due 01/15/22 144A | 1,041,250 | ||||||||
2,000,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.25%, due 09/30/22 | 1,880,000 | ||||||||
1,000,000 | Cemex Finance LLC, 6.00%, due 04/01/24‡ 144A | 912,500 | ||||||||
800,000 | Cemex Finance LLC, 9.38%, due 10/12/22 144A | 854,960 | ||||||||
1,500,000 | Centene Corp., 4.75%, due 05/15/22 | 1,500,000 | ||||||||
2,000,000 | CenturyLink, Inc., 6.75%, due 12/01/23 | 1,757,500 | ||||||||
1,200,000 | EUR | CeramTec Group GmbH, 8.25%, due 08/15/21 144A | 1,447,865 | |||||||
1,500,000 | CGG SA, 6.50%, due 06/01/21 | 865,500 | ||||||||
1,100,700 | CHC Helicopter SA, 9.25%, due 10/15/20‡ | 621,896 | ||||||||
325,000 | CHC Helicopter SA, 9.38%, due 06/01/21 | 126,750 | ||||||||
1,200,000 | EUR | Chemours Co. (The), 6.13%, due 05/15/23 144A | 891,437 | |||||||
2,000,000 | Chesapeake Energy Corp., 6.13%, due 02/15/21‡ | 1,403,750 | ||||||||
2,000,000 | CHS/Community Health Systems, Inc., 6.88%, due 02/01/22 | 2,047,420 | ||||||||
2,500,000 | CIT Group, Inc., 5.00%, due 08/01/23 | 2,490,625 | ||||||||
2,000,000 | Citigroup, Inc., 6.30%† ††††† | 1,926,800 | ||||||||
1,000,000 | Clayton Williams Energy, Inc., 7.75%, due 04/01/19‡ | 848,750 | ||||||||
200,000 | Clear Channel Worldwide Holdings, Inc., 6.50%, due 11/15/22 | 201,500 | ||||||||
800,000 | Clear Channel Worldwide Holdings, Inc., 7.63%, due 03/15/20 | 805,000 | ||||||||
600,000 | CommScope Technologies Finance LLC, 6.00%, due 06/15/25 144A | 577,128 | ||||||||
600,000 | Concordia Healthcare Corp., 7.00%, due 04/15/23 144A | 526,500 | ||||||||
1,000,000 | CONSOL Energy, Inc., 5.88%, due 04/15/22 | 677,500 | ||||||||
900,000 | CONSOL Energy, Inc., 8.00%, due 04/01/23‡ 144A | 647,460 | ||||||||
1,200,000 | Crestwood Midstream Partners, LP/Crestwood Midstream Finance Corp., 6.25%, due 04/01/23 144A | 1,026,000 |
See accompanying Notes to the Financial Statements. | 77 |
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
1,500,000 | CSC Holdings LLC, 6.75%, due 11/15/21 | 1,346,250 | ||||||||
300,000 | CSI Compressco, LP/Compressco Finance, Inc., 7.25%, due 08/15/22 | 246,000 | ||||||||
1,500,000 | DaVita HealthCare Partners, Inc., 5.13%, due 07/15/24 | 1,475,812 | ||||||||
300,000 | Digicel Group, Ltd., 7.13%, due 04/01/22 144A | 260,250 | ||||||||
1,500,000 | Digicel, Ltd., 6.00%, due 04/15/21 144A | 1,376,250 | ||||||||
1,300,000 | DISH DBS Corp., 5.00%, due 03/15/23 | 1,092,000 | ||||||||
500,000 | DISH DBS Corp., 5.13%, due 05/01/20 | 470,000 | ||||||||
200,000 | DISH DBS Corp., 5.88%, due 11/15/24 | 170,375 | ||||||||
500,000 | Drill Rigs Holdings, Inc., 6.50%, due 10/01/17‡ 144A | 385,625 | ||||||||
300,000 | E*TRADE Financial Corp., 4.63%, due 09/15/23 | 303,750 | ||||||||
1,000,000 | E*TRADE Financial Corp., 5.38%, due 11/15/22 | 1,062,500 | ||||||||
600,000 | EUR | Edcon, Ltd., 9.50%, due 03/01/18 144A | 413,503 | |||||||
300,000 | EUR | Edcon, Ltd., 9.50%, due 03/01/18 144A | 206,752 | |||||||
1,500,000 | Eldorado Gold Corp., 6.13%, due 12/15/20 144A | 1,320,000 | ||||||||
600,000 | Endo, Ltd./Endo Finance LLC/Endo Finco, Inc., 6.00%, due 02/01/25 144A | 585,750 | ||||||||
500,000 | Endo, Ltd./Endo Finance LLC/Endo Finco, Inc., 6.00%, due 07/15/23 144A | 495,000 | ||||||||
2,000,000 | Energy Transfer Equity, LP, 7.50%, due 10/15/20 | 2,000,000 | ||||||||
1,200,000 | Energy XXI Gulf Coast, Inc., 6.88%, due 03/15/24 | 213,000 | ||||||||
600,000 | Energy XXI Gulf Coast, Inc., 11.00%, due 03/15/20‡ 144A | 285,000 | ||||||||
1,000,000 | EnQuest Plc, 7.00%, due 04/15/22 144A | 625,000 | ||||||||
250,000 | EPL Oil & Gas, Inc., 8.25%, due 02/15/18 | 62,500 | ||||||||
500,000 | Equinix, Inc., 4.88%, due 04/01/20 | 511,250 | ||||||||
1,500,000 | Equinix, Inc., 5.38%, due 04/01/23 | 1,474,650 | ||||||||
9,280,000,000 | IDR | European Investment Bank, Reg S, 6.95%, due 02/06/20‡‡‡ | 554,202 | |||||||
8,150,000 | ZAR | European Investment Bank, Reg S, 8.50%, due 09/17/24‡‡‡ | 578,118 | |||||||
1,100,000 | Ferrellgas, LP/Ferrellgas Finance Corp., 6.75%, due 06/15/23 144A | 1,006,500 | ||||||||
2,500,000 | Fiat Chrysler Automobiles NV, 4.50%, due 04/15/20 | 2,387,500 | ||||||||
649,000,000 | COP | Financiera de Desarrollo Territorial SA Findeter, Reg S, 7.88%, due 08/12/24‡‡‡ | 188,154 | |||||||
500,000 | EUR | Financiere Quick SAS, 4.73%, due 04/15/19† 144A | 489,219 | |||||||
300,000 | EUR | Financiere Quick SAS, 7.48%, due 10/15/19† 144A | 266,226 | |||||||
2,000,000 | First Data Corp., 8.25%, due 01/15/21 144A | 2,080,000 | ||||||||
2,000,000 | First Quantum Minerals, Ltd., 7.00%, due 02/15/21 144A | 1,305,000 | ||||||||
2,000,000 | FMG Resources August 2006 Pty, Ltd., 9.75%, due 03/01/22‡ 144A | 1,867,500 | ||||||||
600,000 | Frontier Communications Co., 7.63%, due 04/15/24 | 504,000 | ||||||||
1,300,000 | Frontier Communications Co., 7.88%, due 01/15/27 | 1,072,500 | ||||||||
400,000 | EUR | Galapagos Holding SA, 7.00%, due 06/15/22 144A | 402,993 | |||||||
800,000 | EUR | Galapagos SA/Luxembourg, 5.38%, due 06/15/21 144A | 847,457 | |||||||
1,000,000 | Goodrich Petroleum Corp., 8.00%, due 03/15/18 144A | 750,000 | ||||||||
700,000 | Goodrich Petroleum Corp., 8.88%, due 03/15/19 | 126,000 | ||||||||
1,000,000 | Goodyear Tire & Rubber Co. (The), 6.50%, due 03/01/21 | 1,051,250 | ||||||||
800,000 | Grifols Worldwide Operations, Ltd., 5.25%, due 04/01/22 | 793,504 | ||||||||
1,200,000 | Halcon Resources Corp., 8.88%, due 05/15/21‡ | 366,000 | ||||||||
2,000,000 | HCA, Inc., 5.00%, due 03/15/24 | 2,010,000 | ||||||||
1,200,000 | HCA, Inc., 5.88%, due 05/01/23 | 1,248,000 | ||||||||
1,200,000 | Hertz Corp. (The), 6.25%, due 10/15/22‡ | 1,209,000 | ||||||||
700,000 | Hertz Corp. (The), 6.75%, due 04/15/19 | 714,000 | ||||||||
600,000 | Hologic, Inc., 5.25%, due 07/15/22 144A | 608,250 | ||||||||
300,000 | Horizon Pharma Financing, Inc., 6.63%, due 05/01/23 144A | 265,875 | ||||||||
1,000,000 | iHeartCommunications, Inc., 9.00%, due 03/01/21 | 844,000 |
78 | See accompanying Notes to the Financial Statements. |
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
500,000 | iHeartCommunications, Inc., 9.00%, due 09/15/22 | 411,875 | ||||||||
1,100,000 | EUR | Infor US, Inc., 5.75%, due 05/15/22 144A | 1,132,714 | |||||||
2,500,000 | Intelsat Jackson Holdings SA, 5.50%, due 08/01/23 | 2,075,000 | ||||||||
8,860,000,000 | IDR | Inter-American Development Bank, 7.35%, due 09/12/18 | 553,886 | |||||||
1,500,000 | InterGen NV, 7.00%, due 06/30/23 144A | 1,282,500 | ||||||||
2,000,000 | International Game Technology Plc, 6.25%, due 02/15/22 144A | 1,870,000 | ||||||||
600,000 | Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, due 08/01/23 144A | 585,000 | ||||||||
1,000,000 | JBS USA LLC/JBS USA Finance, Inc., 5.88%, due 07/15/24 144A | 940,000 | ||||||||
1,000,000 | JBS USA LLC/JBS USA Finance, Inc., 7.25%, due 06/01/21 144A | 1,042,500 | ||||||||
1,000,000 | JPMorgan Chase & Co., 5.00%† ††††† | 973,750 | ||||||||
1,000,000 | JPMorgan Chase & Co., 6.00%† ††††† | 986,875 | ||||||||
700,000 | KB Home, 4.75%, due 05/15/19 | 676,375 | ||||||||
1,000,000 | KB Home, 7.50%, due 09/15/22 | 1,022,500 | ||||||||
1,000,000 | Landry’s, Inc., 9.38%, due 05/01/20 144A | 1,072,500 | ||||||||
2,000,000 | Linn Energy LLC/Linn Energy Finance Corp., 6.25%, due 11/01/19 | 520,000 | ||||||||
700,000 | Martin Midstream Partners, LP/Martin Midstream Finance Corp., 7.25%, due 02/15/21 | 651,000 | ||||||||
500,000 | EUR | Matterhorn Telecom Holding SA, 4.88%, due 05/01/23 144A | 468,881 | |||||||
1,300,000 | EUR | Matterhorn Telecom SA, 3.88%, due 05/01/22 144A | 1,295,455 | |||||||
800,000 | Memorial Resource Development Corp., 5.88%, due 07/01/22 | 732,000 | ||||||||
1,500,000 | MGM Resorts International, 6.75%, due 10/01/20 | 1,556,250 | ||||||||
1,000,000 | Midstates Petroleum Co., Inc./Midstates Petroleum Co. LLC, 9.25%, due 06/01/21‡ | 200,000 | ||||||||
1,500,000 | Millicom International Cellular SA, 6.63%, due 10/15/21‡ 144A | 1,491,000 | ||||||||
800,000 | Murray Energy Corp., 11.25%, due 04/15/21 144A | 424,000 | ||||||||
2,500,000 | Navient Corp., 5.50%, due 01/15/19 | 2,329,687 | ||||||||
500,000 | Neptune Finco Corp., 10.88%, due 10/15/25†††† 144A | 506,250 | ||||||||
1,500,000 | Netflix, Inc., 5.88%, due 02/15/25 144A | 1,548,750 | ||||||||
300,000 | NGL Energy Partners, LP/NGL Energy Finance Corp., 5.13%, due 07/15/19 | 274,500 | ||||||||
1,100,000 | NOVA Chemicals Corp., 5.00%, due 05/01/25 144A | 1,036,750 | ||||||||
1,500,000 | NRG Yield Operating LLC, 5.38%, due 08/15/24 | 1,323,750 | ||||||||
1,000,000 | Ocean Rig UDW, Inc., 7.25%, due 04/01/19‡ 144A | 560,940 | ||||||||
1,500,000 | Owens-Brockway Glass Container, Inc., 5.00%, due 01/15/22 144A | 1,430,625 | ||||||||
1,100,000 | Peabody Energy Corp., 6.25%, due 11/15/21 | 231,000 | ||||||||
800,000 | Peabody Energy Corp., 10.00%, due 03/15/22‡ 144A | 305,000 | ||||||||
100,000 | Penn Virginia Corp., 8.50%, due 05/01/20 | 26,375 | ||||||||
1,500,000 | Petrobras Global Finance BV, 5.38%, due 01/27/21 | 1,095,000 | ||||||||
24,750,000 | MXN | Petroleos Mexicanos, Reg S, 7.19%, due 09/12/24‡‡‡ | 1,391,231 | |||||||
1,000,000 | Post Holdings, Inc., 6.00%, due 12/15/22 144A | 962,500 | ||||||||
800,000 | Post Holdings, Inc., 6.75%, due 12/01/21 144A | 802,000 | ||||||||
200,000 | Post Holdings, Inc., 7.38%, due 02/15/22 | 203,750 | ||||||||
1,000,000 | EUR | PSPC Escrow Corp., 6.00%, due 02/01/23 144A | 954,036 | |||||||
500,000 | Quicksilver Resources, Inc., 7.00%, due 06/21/19††† 144A | 187,500 | ||||||||
600,000 | Radio One, Inc., 9.25%, due 02/15/20 144A | 516,000 | ||||||||
1,000,000 | EUR | Rain CII Carbon LLC/CII Carbon Corp., 8.50%, due 01/15/21 144A | 1,007,415 | |||||||
700,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer, 5.75%, due 10/15/20 | 708,750 | ||||||||
1,000,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer, 8.25%, due 02/15/21 | 1,002,500 |
See accompanying Notes to the Financial Statements. | 79 |
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
400,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer, 9.00%, due 04/15/19 | 407,000 | ||||||||
2,800,000 | EUR | Royal Bank of Scotland Plc (The), 6.93%, due 04/09/18 | 3,484,587 | |||||||
500,000 | Sabine Pass Liquefaction LLC, 5.63%, due 02/01/21 | 466,250 | ||||||||
1,000,000 | Sabine Pass Liquefaction LLC, 5.63%, due 04/15/23 | 892,500 | ||||||||
100,000 | Sabine Pass Liquefaction LLC, 5.63%, due 03/01/25 144A | 88,500 | ||||||||
1,400,000 | Sabre GLBL, Inc., 5.38%, due 04/15/23 144A | 1,386,000 | ||||||||
1,000,000 | Sanchez Energy Corp., 6.13%, due 01/15/23‡ | 675,000 | ||||||||
800,000 | EUR | Sealed Air Corp., 4.50%, due 09/15/23 144A | 908,627 | |||||||
900,000 | EUR | SIG Combibloc Holdings SCA, 7.75%, due 02/15/23 144A | 1,032,252 | |||||||
300,000 | Sirius XM Radio, Inc., 5.38%, due 04/15/25 144A | 287,250 | ||||||||
1,500,000 | Sirius XM Radio, Inc., 6.00%, due 07/15/24 144A | 1,511,250 | ||||||||
2,000,000 | Sprint Communications, Inc., 6.00%, due 11/15/22 | 1,510,000 | ||||||||
500,000 | Sprint Communications, Inc., 7.00%, due 03/01/20 144A | 501,250 | ||||||||
1,500,000 | Sprint Corp., 7.13%, due 06/15/24 | 1,158,150 | ||||||||
500,000 | Sprint Corp., 7.63%, due 02/15/25 | 388,438 | ||||||||
500,000 | Sprint Corp., 7.88%, due 09/15/23 | 405,938 | ||||||||
300,000 | SRA International, Inc., 11.00%, due 10/01/19 | 318,563 | ||||||||
300,000 | Steel Dynamics, Inc., 5.13%, due 10/01/21 | 285,750 | ||||||||
1,000,000 | Steel Dynamics, Inc., 5.50%, due 10/01/24 | 919,375 | ||||||||
300,000 | Stena AB, 7.00%, due 02/01/24 144A | 267,000 | ||||||||
1,000,000 | Stena International SA, 5.75%, due 03/01/24 144A | 905,000 | ||||||||
1,000,000 | T-Mobile USA, Inc., 6.13%, due 01/15/22 | 967,500 | ||||||||
1,000,000 | T-Mobile USA, Inc., 6.38%, due 03/01/25 | 962,500 | ||||||||
1,000,000 | Talen Energy Supply LLC, 6.50%, due 06/01/25‡ 144A | 861,250 | ||||||||
1,500,000 | Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.63%, due 03/01/24 144A | 1,447,500 | ||||||||
1,500,000 | TEGNA, Inc., 5.13%, due 07/15/20 | 1,533,750 | ||||||||
1,000,000 | Tenet Healthcare Corp., 5.00%, due 03/01/19 | 971,250 | ||||||||
1,000,000 | Tenet Healthcare Corp., 8.13%, due 04/01/22 | 1,065,400 | ||||||||
1,200,000 | GBP | Tesco Plc, 6.13%, due 02/24/22 | 1,940,164 | |||||||
2,000,000 | Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Series 1, 11.50%, due 10/01/20††† 144A | 780,000 | ||||||||
200,000 | TransDigm, Inc., 6.00%, due 07/15/22 | 187,500 | ||||||||
1,000,000 | TransDigm, Inc., 6.50%, due 07/15/24 | 944,850 | ||||||||
300,000 | TransDigm, Inc., 6.50%, due 05/15/25 144A | 283,125 | ||||||||
2,880,000 | ZAR | Transnet SOC, Ltd., Reg S, 9.50%, due 05/13/21‡‡‡ | 200,092 | |||||||
800,000 | Triangle USA Petroleum Corp., 6.75%, due 07/15/22 144A | 340,000 | ||||||||
1,500,000 | Ultra Petroleum Corp., 6.13%, due 10/01/24 144A | 862,500 | ||||||||
800,000 | EUR | Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 4.00%, due 01/15/25 144A | 847,015 | |||||||
900,000 | EUR | Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 5.75%, due 01/15/23 144A | 1,057,297 | |||||||
1,600,000 | EUR | UPCB Finance IV, Ltd., 4.00%, due 01/15/27 144A | 1,561,589 | |||||||
1,000,000 | Valeant Pharmaceuticals International, Inc., 5.50%, due 03/01/23 144A | 952,500 | ||||||||
1,000,000 | Valeant Pharmaceuticals International, Inc., 5.63%, due 12/01/21 144A | 952,500 | ||||||||
600,000 | Valeant Pharmaceuticals International, Inc., 6.13%, due 04/15/25 144A | 573,000 | ||||||||
700,000 | Valeant Pharmaceuticals International, Inc., 6.38%, due 10/15/20 144A | 697,813 | ||||||||
450,000 | GBP | Virgin Media Secured Finance Plc, 5.50%, due 01/15/25 144A | 659,484 |
80 | See accompanying Notes to the Financial Statements. |
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
900,000 | GBP | Virgin Media Secured Finance Plc, 6.00%, due 04/15/21 144A | 1,383,220 | |||||||
500,000 | Visant Corp., 10.00%, due 10/01/17 | 411,250 | ||||||||
1,200,000 | EUR | Wind Acquisition Finance SA, 4.00%, due 07/15/20 144A | 1,326,104 | |||||||
700,000 | EUR | Wind Acquisition Finance SA, 7.00%, due 04/23/21 144A | 781,375 | |||||||
1,500,000 | WMG Acquisition Corp., 5.63%, due 04/15/22 144A | 1,458,750 | ||||||||
1,500,000 | WPX Energy, Inc., 8.25%, due 08/01/23‡ | 1,365,000 | ||||||||
200,000 | Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.50%, due 03/01/25 144A | 172,250 | ||||||||
800,000 | Wynn Macau, Ltd., 5.25%, due 10/15/21‡ 144A | 698,500 | ||||||||
1,300,000 | EUR | XPO Logistics, Inc., 5.75%, due 06/15/21 144A | 1,267,856 | |||||||
|
| |||||||||
177,979,221 | ||||||||||
|
| |||||||||
Sovereign Debt Obligations — 45.4% | ||||||||||
170,000,000 | CLP | Bonos del Banco Central de Chile en Pesos, 6.00%, due 02/01/16 | 245,637 | |||||||
4,230,000 | BRL | Brazil Letras do Tesouro Nacional, 16.63%, due 01/01/18‡‡ | 759,532 | |||||||
18,145,000 | BRL | Brazil Notas do Tesouro Nacional Serie F, 10.00%, due 01/01/17 | 4,282,103 | |||||||
22,576,000 | BRL | Brazil Notas do Tesouro Nacional Serie F, 10.00%, due 01/01/18 | 5,077,416 | |||||||
15,525,000 | BRL | Brazil Notas do Tesouro Nacional Serie F, 10.00%, due 01/01/21 | 3,143,417 | |||||||
17,470,000 | BRL | Brazil Notas do Tesouro Nacional Serie F, 10.00%, due 01/01/25 | 3,228,939 | |||||||
7,264,900,000 | COP | Colombian TES, 6.00%, due 04/28/28 | 1,915,058 | |||||||
1,270,200,000 | COP | Colombian TES, 7.00%, due 09/11/19 | 413,320 | |||||||
11,720,100,000 | COP | Colombian TES, 7.00%, due 05/04/22 | 3,685,213 | |||||||
3,870,700,000 | COP | Colombian TES, 7.50%, due 08/26/26 | 1,173,687 | |||||||
2,113,000,000 | COP | Colombian TES, 7.75%, due 09/18/30 | 620,963 | |||||||
9,664,500,000 | COP | Colombian TES, 10.00%, due 07/24/24 | 3,509,477 | |||||||
684,400,000 | COP | Colombian TES, 11.00%, due 07/24/20 | 254,882 | |||||||
1,467,800,000 | COP | Colombian TES, 11.25%, due 10/24/18 | 534,516 | |||||||
363,360,000 | HUF | Hungary Government Bond, 2.50%, due 06/22/18 | 1,329,876 | |||||||
613,490,000 | HUF | Hungary Government Bond, 3.50%, due 06/24/20 | 2,305,590 | |||||||
343,000,000 | HUF | Hungary Government Bond, 4.00%, due 04/25/18 | 1,300,375 | |||||||
1,007,880,000 | HUF | Hungary Government Bond, 5.50%, due 12/20/18 | 4,017,508 | |||||||
221,400,000 | HUF | Hungary Government Bond, 5.50%, due 06/24/25 | 931,954 | |||||||
71,730,000 | HUF | Hungary Government Bond, 6.00%, due 11/24/23 | 306,923 | |||||||
832,960,000 | HUF | Hungary Government Bond, 6.50%, due 06/24/19 | 3,439,000 | |||||||
154,560,000 | HUF | Hungary Government Bond, 7.00%, due 06/24/22 | 680,577 | |||||||
14,000,000,000 | IDR | Indonesia Treasury Bond, 5.25%, due 05/15/18 | 865,663 | |||||||
26,811,000,000 | IDR | Indonesia Treasury Bond, 5.63%, due 05/15/23 | 1,434,709 | |||||||
8,900,000,000 | IDR | Indonesia Treasury Bond, 6.13%, due 05/15/28 | 445,953 | |||||||
15,988,000,000 | IDR | Indonesia Treasury Bond, 6.63%, due 05/15/33 | 793,775 | |||||||
3,300,000,000 | IDR | Indonesia Treasury Bond, 7.00%, due 05/15/27 | 184,813 | |||||||
24,388,000,000 | IDR | Indonesia Treasury Bond, 7.88%, due 04/15/19 | 1,585,020 | |||||||
78,368,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 03/15/24 | 4,963,824 | |||||||
213,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 09/15/26 | 13,461 | |||||||
21,619,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 03/15/34 | 1,285,147 | |||||||
33,162,000,000 | IDR | Indonesia Treasury Bond, 9.00%, due 03/15/29 | 2,132,944 | |||||||
3,006,000,000 | IDR | Indonesia Treasury Bond, 10.50%, due 08/15/30 | 214,857 | |||||||
645,000,000 | IDR | Indonesia Treasury Bond, 12.80%, due 06/15/21 | 50,065 | |||||||
1,860,000 | MYR | Malaysia Government Bond, 3.17%, due 07/15/16 | 423,136 | |||||||
12,900,000 | MYR | Malaysia Government Bond, 3.26%, due 03/01/18 | 2,912,974 | |||||||
120,000 | MYR | Malaysia Government Bond, 3.48%, due 03/15/23 | 25,905 |
See accompanying Notes to the Financial Statements. | 81 |
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Sovereign Debt Obligations — continued | ||||||||||
1,059,000 | MYR | Malaysia Government Bond, 3.58%, due 09/28/18 | 240,725 | |||||||
999,000 | MYR | Malaysia Government Bond, 3.89%, due 03/15/27 | 216,224 | |||||||
2,542,000 | MYR | Malaysia Government Bond, 3.96%, due 09/15/25 | 569,155 | |||||||
5,907,000 | MYR | Malaysia Government Bond, 4.01%, due 09/15/17 | 1,358,849 | |||||||
174,000 | MYR | Malaysia Government Bond, 4.16%, due 07/15/21 | 39,886 | |||||||
16,055,000 | MYR | Malaysia Government Bond, 4.18%, due 07/15/24 | 3,594,004 | |||||||
1,950,000 | MYR | Malaysia Government Bond, 4.26%, due 09/15/16 | 448,146 | |||||||
1,068,000 | MYR | Malaysia Government Bond, 4.39%, due 04/15/26 | 245,365 | |||||||
32,500,000 | MXN | Mexican Bonos, 5.00%, due 06/15/17 | 1,953,573 | |||||||
8,085,400 | MXN | Mexican Bonos, 6.50%, due 06/10/21 | 501,979 | |||||||
48,840,000 | MXN | Mexican Bonos, 6.50%, due 06/09/22 | 2,996,028 | |||||||
68,530,000 | MXN | Mexican Bonos, 7.75%, due 05/29/31 | 4,501,202 | |||||||
29,310,000 | MXN | Mexican Bonos, 7.75%, due 11/23/34 | 1,919,898 | |||||||
56,260,000 | MXN | Mexican Bonos, 8.00%, due 06/11/20 | 3,719,486 | |||||||
7,197,300 | MXN | Mexican Bonos, 8.50%, due 05/31/29 | 502,238 | |||||||
17,400,000 | MXN | Mexican Bonos, 10.00%, due 11/20/36 | 1,399,302 | |||||||
6,643,000 | PEN | Peruvian Government International Bond, Reg S, 5.70%, due 08/12/24‡‡‡ | 1,844,186 | |||||||
8,868,000 | PEN | Peruvian Government International Bond, Reg S, 6.95%, due 08/12/31‡‡‡ | 2,544,172 | |||||||
3,400,000 | PEN | Peruvian Government International Bond, Reg S, 7.84%, due 08/12/20‡‡‡ | 1,114,802 | |||||||
17,745,000 | PLN | Poland Government Bond, 3.25%, due 07/25/25 | 4,834,547 | |||||||
8,076,000 | PLN | Poland Government Bond, 4.00%, due 10/25/23 | 2,315,727 | |||||||
7,643,000 | PLN | Poland Government Bond, 5.25%, due 10/25/20 | 2,283,323 | |||||||
6,017,000 | PLN | Poland Government Bond, 5.50%, due 10/25/19 | 1,783,477 | |||||||
993,000 | PLN | Poland Government Bond, 5.75%, due 10/25/21 | 307,989 | |||||||
10,305,000 | RON | Romania Government Bond, 4.75%, due 06/24/19 | 2,842,613 | |||||||
3,185,000 | RON | Romania Government Bond, 4.75%, due 02/24/25 | 877,859 | |||||||
10,410,000 | RON | Romania Government Bond, 5.75%, due 04/29/20 | 2,990,857 | |||||||
9,090,000 | RON | Romania Government Bond, 5.85%, due 04/26/23 | 2,667,450 | |||||||
2,410,000 | RON | Romania Government Bond, 5.95%, due 06/11/21 | 704,048 | |||||||
33,000,000 | RUB | Russian Federal Bond - OFZ, 5.00%, due 08/08/18†† | 443,196 | |||||||
182,000,000 | RUB | Russian Federal Bond - OFZ, 6.20%, due 01/31/18 | 2,510,597 | |||||||
19,000,000 | RUB | Russian Federal Bond - OFZ, 6.40%, due 05/27/20 | 243,126 | |||||||
379,209,000 | RUB | Russian Federal Bond - OFZ, 6.70%, due 05/15/19 | 5,086,493 | |||||||
7,560,000 | RUB | Russian Federal Bond - OFZ, 6.90%, due 08/03/16 | 111,864 | |||||||
5,500,000 | RUB | Russian Federal Bond - OFZ, 7.00%, due 01/25/23 | 67,822 | |||||||
145,455,000 | RUB | Russian Federal Bond - OFZ, 7.00%, due 08/16/23 | 1,777,010 | |||||||
113,300,000 | RUB | Russian Federal Bond - OFZ, 7.05%, due 01/19/28 | 1,306,546 | |||||||
10,000,000 | RUB | Russian Federal Bond - OFZ, 7.35%, due 01/20/16 | 151,480 | |||||||
21,000,000 | RUB | Russian Federal Bond - OFZ, 7.40%, due 04/19/17 | 305,676 | |||||||
206,000,000 | RUB | Russian Federal Bond - OFZ, 7.40%, due 06/14/17 | 2,977,939 | |||||||
6,960,000 | RUB | Russian Federal Bond - OFZ, 7.50%, due 03/15/18 | 98,750 | |||||||
67,880,000 | RUB | Russian Federal Bond - OFZ, 7.50%, due 02/27/19 | 939,226 | |||||||
9,500,000 | RUB | Russian Federal Bond - OFZ, 7.60%, due 04/14/21 | 124,919 | |||||||
44,000 | RUB | Russian Federal Bond - OFZ, 8.15%, due 02/03/27 | 563 | |||||||
20,000,000 | RUB | Russian Foreign Bond - Eurobond, Reg S, 7.85%, due 03/10/18‡‡‡ | 284,438 | |||||||
94,352,000 | ZAR | South Africa Government Bond, 7.25%, due 01/15/20 | 6,673,287 | |||||||
57,977,612 | ZAR | South Africa Government Bond, 8.00%, due 01/31/30 | 3,907,935 | |||||||
1,071,000 | ZAR | South Africa Government Bond, 8.25%, due 09/15/17 | 78,856 | |||||||
1,147,204 | ZAR | South Africa Government Bond, 8.25%, due 03/31/32 | 77,672 |
82 | See accompanying Notes to the Financial Statements. |
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Sovereign Debt Obligations — continued | ||||||||||
3,000,000 | ZAR | South Africa Government Bond, 13.50%, due 09/15/16 | 229,841 | |||||||
179,837,000 | THB | Thailand Government Bond, 3.63%, due 06/16/23 | 5,270,054 | |||||||
40,770,000 | THB | Thailand Government Bond, 3.65%, due 12/17/21 | 1,195,085 | |||||||
75,446,000 | THB | Thailand Government Bond, 3.88%, due 06/13/19 | 2,220,168 | |||||||
1,717,000 | THB | Thailand Government Bond, 4.68%, due 06/29/44 | 55,439 | |||||||
78,891,000 | THB | Thailand Government Bond, 4.88%, due 06/22/29 | 2,627,197 | |||||||
17,978,224 | THB | Thailand Government Bond, Reg S, 1.25%, due 03/12/28‡‡‡ | 416,576 | |||||||
8,186,000 | TRY | Turkey Government Bond, 7.40%, due 02/05/20 | 2,380,571 | |||||||
9,415,000 | TRY | Turkey Government Bond, 8.00%, due 03/12/25 | 2,619,035 | |||||||
4,875,741 | TRY | Turkey Government Bond, 8.30%, due 06/20/18 | 1,509,704 | |||||||
3,885,833 | TRY | Turkey Government Bond, 8.50%, due 07/10/19 | 1,187,151 | |||||||
1,710,885 | TRY | Turkey Government Bond, 8.50%, due 09/14/22 | 500,368 | |||||||
5,331,712 | TRY | Turkey Government Bond, 8.80%, due 11/14/18 | 1,660,574 | |||||||
11,764,000 | TRY | Turkey Government Bond, 9.00%, due 03/08/17 | 3,794,087 | |||||||
6,354,674 | TRY | Turkey Government Bond, 9.00%, due 07/24/24 | 1,879,485 | |||||||
7,020,972 | TRY | Turkey Government Bond, 9.40%, due 07/08/20 | 2,185,539 | |||||||
504,000 | TRY | Turkey Government Bond, 10.40%, due 03/27/19 | 163,672 | |||||||
11,718,978 | TRY | Turkey Government Bond, 10.50%, due 01/15/20 | 3,829,883 | |||||||
|
| |||||||||
172,697,143 | ||||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $427,340,561) | 350,676,364 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 10.7% | ||||||||||
Bank Deposit — 6.2% |
| |||||||||
23,540,041 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/01/15 | 23,540,041 | ||||||||
Securities Lending Collateral — 4.5% |
| |||||||||
17,090,658 | State Street Institutional U.S. Government Money Market Fund, Premier Class*** | 17,090,658 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $40,630,699) | 40,630,699 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 102.9% (Cost $467,971,260) | 391,307,063 | |||||||||
Other Assets and Liabilities (net) — (2.9)% | (11,155,687 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 380,151,376 | ||||||||
|
|
See accompanying Notes to the Financial Statements. | 83 |
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Notes to Schedule of Investments: | ||||||
** | Unless otherwise indicated, all par values are denominated in United States dollars ($). | |||||
*** | Represents an investment of securities lending cash collateral. | |||||
† | Floating rate note. Rate shown is as of September 30, 2015. | |||||
†† | 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. | |||||
††††† | Security is perpetual and has no stated maturity date. | |||||
‡ | 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 $83,548,821 which represents 22.0% of net assets. |
84 | See accompanying Notes to the Financial Statements. |
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Forward Foreign Currency Contracts
Settlement | Currency | Counterparty | Units of | Value | Unrealized | |||||||||||||||
Buys | ||||||||||||||||||||
12/02/15 | BRL | Citibank N.A. London | 1,680,000 | $ | 415,230 | $ | (15,153 | ) | ||||||||||||
12/16/15 | BRL | Citibank N.A. London | 17,905,000 | 4,405,710 | (310,476 | ) | ||||||||||||||
12/16/15 | BRL | Goldman Sachs | 14,040,000 | 3,454,687 | (50,931 | ) | ||||||||||||||
12/16/15 | CLP | Citibank N.A. London | 3,264,288,000 | 4,652,755 | (22,201 | ) | ||||||||||||||
12/16/15 | COP | Goldman Sachs | 14,203,165,413 | 4,571,026 | 47,725 | |||||||||||||||
12/16/15 | COP | Standard Chartered Bank, London | 2,766,000,000 | 890,186 | 9,294 | |||||||||||||||
11/18/15 | CZK | Citibank N.A. London | 86,808,000 | 3,567,682 | (16,759 | ) | ||||||||||||||
10/22/15 | EUR | Deutsche Bank AG | 1,200,000 | 1,339,845 | 6,388 | |||||||||||||||
12/17/15 | EUR | Deutsche Bank AG | 791,237 | 884,316 | (11,200 | ) | ||||||||||||||
02/22/16 | EUR | Deutsche Bank AG | 845,049 | 945,809 | (12,945 | ) | ||||||||||||||
12/16/15 | EUR | Goldman Sachs | 1,700,000 | 1,899,943 | 2,471 | |||||||||||||||
10/22/15 | GBP | Deutsche Bank AG | 309,578 | 467,851 | (1,996 | ) | ||||||||||||||
12/17/15 | GBP | Deutsche Bank AG | 222,000 | 335,428 | (8,850 | ) | ||||||||||||||
02/22/16 | GBP | Deutsche Bank AG | 1,000,000 | 1,510,617 | (56,483 | ) | ||||||||||||||
12/16/15 | HUF | Citibank N.A. London | 271,885,000 | 968,880 | 4,424 | |||||||||||||||
12/16/15 | HUF | Goldman Sachs | 608,129,649 | 2,167,109 | (2,523 | ) | ||||||||||||||
12/16/15 | HUF | Standard Chartered Bank | 102,000,000 | 363,484 | (1,846 | ) | ||||||||||||||
12/16/15 | IDR | Citibank N.A. London | 13,000,000,000 | 859,771 | 8,150 | |||||||||||||||
12/16/15 | IDR | Goldman Sachs | 78,217,570,000 | 5,173,016 | (126,277 | ) | ||||||||||||||
12/16/15 | IDR | Standard Chartered Bank, London | 9,856,205,000 | 651,852 | 5,756 | |||||||||||||||
12/16/15 | INR | Citibank N.A. London | 610,502,000 | 9,181,660 | 131,487 | |||||||||||||||
10/02/15 | MXN | Citibank N.A. London | 17,597,000 | 1,041,150 | 5,619 | |||||||||||||||
12/16/15 | MXN | Citibank N.A. London | 70,990,000 | 4,175,330 | 20,588 | |||||||||||||||
12/16/15 | MXN | Goldman Sachs | 109,170,000 | 6,420,915 | (100,166 | ) | ||||||||||||||
12/16/15 | MYR | Citibank N.A. London | 7,676,321 | 1,738,059 | (83,610 | ) | ||||||||||||||
12/16/15 | MYR | Goldman Sachs | 3,120,000 | 706,425 | (26,400 | ) | ||||||||||||||
10/21/15 | NGN | Barclays Bank Plc | 31,934,733 | 159,609 | 11,763 | |||||||||||||||
10/21/15 | NGN | Citibank N.A. London | 169,716,804 | 848,241 | 79,453 | |||||||||||||||
12/16/15 | NGN | Citibank N.A. London | 92,286,818 | 451,838 | 37,066 | |||||||||||||||
08/10/16 | NGN | Citibank N.A. London | 324,186,208 | 1,433,645 | 147,229 | |||||||||||||||
10/21/15 | NGN | Goldman Sachs | 26,664,374 | 133,268 | 11,513 | |||||||||||||||
08/10/16 | NGN | Goldman Sachs | 70,632,469 | 312,357 | 17,903 | |||||||||||||||
12/16/15 | NGN | Standard Chartered Bank | 60,713,182 | 297,253 | 23,462 | |||||||||||||||
08/10/16 | NGN | Standard Chartered Bank | 78,488,416 | 347,098 | 20,743 | |||||||||||||||
08/10/16 | NGN | Standard Chartered Bank, London | 96,049,818 | 424,760 | 30,666 | |||||||||||||||
12/16/15 | PHP | Citibank N.A. London | 219,506,000 | 4,674,487 | 18,511 | |||||||||||||||
12/16/15 | PLN | Citibank N.A. London | 8,178,463 | 2,145,020 | (74,780 | ) | ||||||||||||||
12/16/15 | PLN | Goldman Sachs | 61,787,527 | 16,205,423 | (36,615 | ) | ||||||||||||||
12/16/15 | PLN | Standard Chartered Bank | 2,986,000 | 783,158 | (6,179 | ) | ||||||||||||||
12/16/15 | RUB | Standard Chartered Bank, London | 26,300,000 | 392,789 | 1,769 | |||||||||||||||
12/16/15 | THB | Goldman Sachs | 216,592,305 | 5,951,408 | (19,376 | ) | ||||||||||||||
12/16/15 | TRY | Citibank N.A. London | 2,177,000 | 702,926 | 7,338 | |||||||||||||||
12/16/15 | TRY | Standard Chartered Bank | 1,294,000 | 417,816 | 1,797 | |||||||||||||||
12/16/15 | TWD | Goldman Sachs | 180,430,000 | 5,481,973 | 2,710 | |||||||||||||||
12/17/15 | ZAR | Citibank N.A. London | 7,433,000 | 530,667 | (8,741 | ) | ||||||||||||||
10/02/15 | ZAR | Goldman Sachs | 12,149,942 | 878,997 | 8,988 | |||||||||||||||
12/17/15 | ZAR | Goldman Sachs | 86,317,000 | 6,162,468 | (24,876 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (355,570 | ) | ||||||||||||||||||
|
|
See accompanying Notes to the Financial Statements. | 85 |
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Forward Foreign Currency Contracts — continued
Settlement | Currency | Counterparty | Units of | Value | Unrealized | |||||||||||||||
Sales | ||||||||||||||||||||
12/02/15 | BRL | Citibank N.A. London | 11,964,000 | $ | 2,957,031 | $ | 318,354 | |||||||||||||
12/02/15 | BRL | Goldman Sachs | 19,695,400 | 4,867,930 | 609,862 | |||||||||||||||
12/16/15 | CNY | Citibank N.A. London | 118,000 | 18,462 | (320 | ) | ||||||||||||||
03/16/16 | CNY | Citibank N.A. London | 35,500,000 | 5,524,823 | (82,125 | ) | ||||||||||||||
12/16/15 | COP | Citibank N.A. London | 5,779,170,017 | 1,859,919 | (41,001 | ) | ||||||||||||||
12/16/15 | COP | Standard Chartered Bank | 9,966,600,000 | 3,207,566 | 61,244 | |||||||||||||||
12/16/15 | COP | Standard Chartered Bank, London | 1,262,459,984 | 406,299 | (5,518 | ) | ||||||||||||||
11/18/15 | CZK | Citibank N.A. London | 50,116,517 | 2,059,716 | 67,471 | |||||||||||||||
12/16/15 | CZK | Citibank N.A. London | 86,808,000 | 3,572,464 | 17,907 | |||||||||||||||
11/18/15 | CZK | Goldman Sachs | 36,703,483 | 1,508,460 | 23,048 | |||||||||||||||
12/17/15 | EUR | Barclays Bank Plc | 96,243 | 107,565 | 1,691 | |||||||||||||||
10/22/15 | EUR | Deutsche Bank AG | 1,200,000 | 1,339,845 | 8,955 | |||||||||||||||
12/17/15 | EUR | Deutsche Bank AG | 800,000 | 894,110 | 9,890 | |||||||||||||||
02/22/16 | EUR | Deutsche Bank AG | 1,634,752 | 1,829,674 | 26,750 | |||||||||||||||
12/16/15 | EUR | Goldman Sachs | 1,660,100 | 1,855,350 | (7,277 | ) | ||||||||||||||
12/16/15 | HUF | Citibank N.A. London | 2,131,236,000 | 7,594,798 | (28,369 | ) | ||||||||||||||
12/16/15 | HUF | Goldman Sachs | 458,710,000 | 1,634,643 | 8,713 | |||||||||||||||
12/16/15 | ILS | Goldman Sachs | 36,615,000 | 9,346,239 | 96,166 | |||||||||||||||
12/16/15 | KRW | Citibank N.A. London | 689,166,000 | 580,056 | 612 | |||||||||||||||
01/20/16 | KRW | Citibank N.A. London | 5,218,000,000 | 4,389,172 | 86,801 | |||||||||||||||
11/18/15 | KRW | Goldman Sachs | 5,752,129,000 | 4,845,081 | (56,251 | ) | ||||||||||||||
12/16/15 | KRW | Standard Chartered Bank, London | 413,000,000 | 347,613 | (3,159 | ) | ||||||||||||||
12/16/15 | MXN | Citibank N.A. London | 119,974,000 | 7,056,361 | (2,801 | ) | ||||||||||||||
10/21/15 | NGN | Citibank N.A. London | 39,753,611 | 198,688 | (316 | ) | ||||||||||||||
12/04/15 | NGN | Citibank N.A. London | 70,656,522 | 347,814 | (20,000 | ) | ||||||||||||||
10/21/15 | NGN | Goldman Sachs | 70,632,469 | 353,019 | 143 | |||||||||||||||
10/21/15 | NGN | Standard Chartered Bank | 78,488,416 | 392,283 | 159 | |||||||||||||||
10/21/15 | NGN | Standard Chartered Bank, London | 39,441,415 | 197,127 | 80 | |||||||||||||||
12/16/15 | PEN | Citibank N.A. London | 26,283,597 | 7,990,186 | (144,336 | ) | ||||||||||||||
12/16/15 | PEN | Standard Chartered Bank | 15,510,234 | 4,715,095 | (85,175 | ) | ||||||||||||||
12/16/15 | PLN | Citibank N.A. London | 7,536,000 | 1,976,517 | 19,529 | |||||||||||||||
12/16/15 | PLN | Goldman Sachs | 15,648,704 | 4,109,486 | 26,319 | |||||||||||||||
12/16/15 | RON | Citibank N.A. London | 3,230,000 | 814,517 | 1,927 | |||||||||||||||
12/16/15 | RON | Goldman Sachs | 15,362,000 | 3,873,871 | (20,172 | ) | ||||||||||||||
12/16/15 | RUB | Citibank N.A. London | 518,981,585 | 7,750,953 | (290,570 | ) | ||||||||||||||
12/16/15 | SGD | Citibank N.A. London | 6,574,000 | 4,607,852 | 45,648 | |||||||||||||||
12/16/15 | THB | Goldman Sachs | 217,520,544 | 5,976,914 | (2,998 | ) | ||||||||||||||
12/16/15 | TRY | Citibank N.A. London | 1,591,990 | 514,033 | 9,080 | |||||||||||||||
12/16/15 | TRY | Goldman Sachs | 13,635,000 | 4,402,569 | (5,171 | ) | ||||||||||||||
12/16/15 | TWD | Goldman Sachs | 321,675,818 | 9,773,420 | 48,711 | |||||||||||||||
12/17/15 | ZAR | Citibank N.A. London | 3,000,000 | 214,180 | 3,277 | |||||||||||||||
|
| |||||||||||||||||||
$ | 696,778 | |||||||||||||||||||
|
|
86 | See accompanying Notes to the Financial Statements. |
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Currency Abbreviations
BRL | — Brazilian Real |
CLP | — Chilean Peso |
CNY | — Chinese Yuan |
COP | — Colombian Peso |
CZK | — Czech Koruna |
EUR | — Euro |
GBP | — British Pound Sterling |
HUF | — Hungarian Forint |
IDR | — Indonesian Rupiah |
INR | — Indian Rupee |
ILS | — Israeli Shekel |
KRW | — South Korean Won |
MXN | — Mexican Peso |
MYR | — Malaysian Ringgit |
NGN | — Nigeria Naira |
PEN | — Peruvian Nouveau Sol |
PHP | — Philippines Peso |
PLN | — Polish Zloty |
RON | — New Romanian Leu |
RUB | — Russian Ruble |
SGD | — Singapore Dollar |
THB | — Thai Baht |
TRY | — New Turkish Lira |
TWD | — Taiwan Dollar |
ZAR | — South African Rand |
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
1,041 | South Africa Government Bond, Series R2037 | November 2015 | $ | 7,289,372 | $ | (163,612 | ) | |||||||||||
119 | South Africa Government Bond, Series R204 | November 2015 | 895,211 | 497 | ||||||||||||||
481 | South Africa Government Bond, Series R208 | November 2015 | 3,302,263 | (26,433 | ) | |||||||||||||
|
| |||||||||||||||||
$ | (189,548 | ) | ||||||||||||||||
|
|
See accompanying Notes to the Financial Statements. | 87 |
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Corporate Debt | 46.8 | ||||
Sovereign Debt Obligations | 45.4 | ||||
Forward Foreign Currency Contracts | 0.1 | ||||
Futures Contracts | (0.1 | ) | |||
Short-Term Investments | 10.7 | ||||
Other Assets and Liabilities (net) | (2.9 | ) | |||
|
| ||||
100.0 | % | ||||
|
|
88 | See accompanying Notes to the Financial Statements. |
Mercer Emerging Markets Equity Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 89.2% | ||||||||||
Bermuda — 0.5% | ||||||||||
160,719 | Cosan, Ltd. Class A | 464,478 | ||||||||
5,700 | Credicorp, Ltd. | 606,252 | ||||||||
18,167,000 | GOME Electrical Appliances Holding, Ltd.‡ | 2,841,982 | ||||||||
1,229,000 | Nine Dragons Paper Holdings, Ltd. | 644,954 | ||||||||
|
| |||||||||
Total Bermuda | 4,557,666 | |||||||||
|
| |||||||||
Brazil — 4.7% | ||||||||||
2,265,757 | AMBEV SA, ADR | 11,102,209 | ||||||||
721,500 | AMBEV SA | 3,518,761 | ||||||||
756,901 | Banco Bradesco SA, ADR‡ | 4,056,989 | ||||||||
405,900 | Banco do Brasil SA | 1,549,412 | ||||||||
280,927 | BB Seguridade Participacoes SA | 1,750,348 | ||||||||
241,386 | BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros | 671,670 | ||||||||
45,600 | BR Malls Participacoes SA | 119,784 | ||||||||
135,200 | BRF SA | 2,396,757 | ||||||||
58,100 | Centrais Eletricas Brasileiras SA* | 76,602 | ||||||||
43,837 | CETIP SA - Mercados Organizados | 362,194 | ||||||||
314,911 | Cielo SA | 2,899,242 | ||||||||
207,592 | Companhia Energetica de Minas Gerais, Sponsored ADR‡ | 369,514 | ||||||||
112,500 | Cosan SA Industria e Comercio | 568,723 | ||||||||
363,900 | Cyrela Brazil Realty SA Empreendimentos e Participacoes | 755,774 | ||||||||
39,000 | EDP - Energias do Brasil SA | 112,437 | ||||||||
210,900 | Estacio Participacoes SA | 746,792 | ||||||||
734,490 | Itau Unibanco Holding SA, ADR | 4,862,324 | ||||||||
864,300 | JBS SA | 3,646,515 | ||||||||
228,700 | Lojas Americanas SA | 677,149 | ||||||||
223,500 | Lojas Renner SA | 1,032,760 | ||||||||
87,000 | Porto Seguro SA | 657,643 | ||||||||
106,800 | Raia Drogasil SA | 1,048,702 | ||||||||
235,386 | Souza Cruz SA | 1,584,235 | ||||||||
110,372 | Ultrapar Participacoes SA | 1,851,568 | ||||||||
|
| |||||||||
Total Brazil | 46,418,104 | |||||||||
|
| |||||||||
Cayman Islands — 6.0% | ||||||||||
12,858 | Alibaba Group Holding, Ltd., Sponsored ADR* | 758,236 | ||||||||
1,199,000 | ANTA Sports Products, Ltd. | 3,129,705 | ||||||||
9,202 | Autohome, Inc., ADR* ‡ | 299,341 | ||||||||
5,389 | Baidu, Inc., Sponsored ADR* | 740,502 | ||||||||
2,812,000 | Belle International Holdings, Ltd. | 2,455,809 | ||||||||
8,949 | Bitauto Holdings, Ltd., ADR* | 266,412 | ||||||||
3,580,000 | China Resources Cement Holdings, Ltd. | 1,625,389 | ||||||||
426,000 | China Resources Land, Ltd. | 1,007,364 | ||||||||
255,000 | Country Garden Holdings Co., Ltd.‡ | 92,472 | ||||||||
444,000 | ENN Energy Holdings, Ltd.‡ | 2,145,199 | ||||||||
4,147,000 | Evergrande Real Estate Group, Ltd.‡ | 2,369,912 | ||||||||
1,790,000 | Geely Automobile Holdings, Ltd. | 858,442 | ||||||||
137,000 | Kingsoft Corp., Ltd. | 270,002 |
See accompanying Notes to the Financial Statements. | 89 |
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Cayman Islands — continued | ||||||||||
5,621,000 | Lee & Man Paper Manufacturing, Ltd. | 2,861,652 | ||||||||
38,829 | NetEase, Inc., ADR | 4,664,139 | ||||||||
523,448 | Sands China, Ltd. | 1,588,647 | ||||||||
154,500 | Shimao Property Holdings, Ltd. | 234,453 | ||||||||
64,350 | Silicon Motion Technology Corp., ADR | 1,757,399 | ||||||||
1,728,000 | Sino Biopharmaceutical, Ltd. | 2,146,820 | ||||||||
185,500 | SOHO China, Ltd.‡ | 72,270 | ||||||||
1,555,000 | Sunac China Holdings, Ltd. | 829,250 | ||||||||
1,022,900 | Tencent Holdings, Ltd. | 17,230,290 | ||||||||
39,698 | Vipshop Holdings, Ltd., ADR* ‡ | 666,926 | ||||||||
1,141,000 | Want Want China Holdings, Ltd.‡ | 937,569 | ||||||||
5,396,500 | WH Group, Ltd.* 144A | 2,681,281 | ||||||||
69,149 | WuXi PharmaTech Cayman, Inc., ADR* | 2,987,928 | ||||||||
6,366,000 | Xinyi Solar Holdings, Ltd.‡ | 2,200,243 | ||||||||
597,000 | Zhen Ding Technology Holding, Ltd. | 1,718,746 | ||||||||
|
| |||||||||
Total Cayman Islands | 58,596,398 | |||||||||
|
| |||||||||
Chile — 0.9% | ||||||||||
28,705,135 | Banco de Chile | 2,986,252 | ||||||||
61,700 | Banco Santander Chile, ADR | 1,124,174 | ||||||||
34,591,387 | Banco Santander Chile | 1,566,273 | ||||||||
44,155 | Cencosud SA | 85,757 | ||||||||
9,357,373 | Corpbanca SA | 82,352 | ||||||||
69,019 | Empresas COPEC SA | 624,235 | ||||||||
1,534,699 | Enersis SA | 384,956 | ||||||||
145,300 | Enersis SA, Sponsored ADR | 1,836,592 | ||||||||
96,487 | Latam Airlines Group SA, Sponsored ADR* ‡ | 470,857 | ||||||||
|
| |||||||||
Total Chile | 9,161,448 | |||||||||
|
| |||||||||
China — 11.4% | ||||||||||
5,947,000 | Agricultural Bank of China, Ltd. Class H | 2,252,552 | ||||||||
2,474,000 | Air China, Ltd. Class H | 1,990,587 | ||||||||
34,953,000 | Bank of China, Ltd. Class H | 15,129,027 | ||||||||
2,207,000 | Bank of Communications Co., Ltd. Class H | 1,536,037 | ||||||||
1,769,000 | China Cinda Asset Management Co., Ltd. Class H | 616,980 | ||||||||
1,336,000 | China CITIC Bank Corp., Ltd. Class H* | 780,254 | ||||||||
1,652,000 | China Communications Construction Co., Ltd. Class H | 2,046,998 | ||||||||
3,144,000 | China Communications Services Corp., Ltd. Class H | 1,217,301 | ||||||||
17,719,000 | China Construction Bank Corp. Class H | 11,869,022 | ||||||||
2,376,000 | China Everbright Bank Co., Ltd. Class H | 1,034,054 | ||||||||
1,286,000 | China Life Insurance Co., Ltd. Class H | 4,488,902 | ||||||||
199,000 | China Longyuan Power Group Corp., Ltd. Class H | 215,092 | ||||||||
1,134,600 | China Minsheng Banking Corp., Ltd. Class H | 1,050,310 | ||||||||
2,486,000 | China Petroleum & Chemical Corp. Class H | 1,535,414 | ||||||||
1,232,000 | China Railway Group, Ltd. Class H | 1,133,260 | ||||||||
1,585,500 | China Shenhua Energy Co., Ltd. Class H | 2,443,137 | ||||||||
1,836,000 | China Southern Airlines Co., Ltd. Class H | 1,354,382 | ||||||||
1,454,000 | China Telecom Corp., Ltd. Class H | 700,740 | ||||||||
623,600 | China Vanke Co., Ltd. Class H‡ | 1,333,914 |
90 | See accompanying Notes to the Financial Statements. |
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
95,100 | Dalian Wanda Commercial Properties Co., Ltd. Class H | 546,573 | ||||||||
3,334,000 | Dongfeng Motor Group Co., Ltd. Class H | 4,182,077 | ||||||||
1,476,000 | Great Wall Motor Co., Ltd. Class H | 1,670,504 | ||||||||
6,410,000 | Huaneng Power International, Inc. Class H | 6,971,891 | ||||||||
28,889,000 | Industrial & Commercial Bank of China Class H | 16,748,653 | ||||||||
2,088,000 | Jiangsu Expressway Co., Ltd. Class H | 2,685,185 | ||||||||
1,406,000 | Jiangxi Copper Co., Ltd. Class H | 1,724,389 | ||||||||
138,800 | New China Life Insurance Co., Ltd. Class H | 599,395 | ||||||||
3,746,000 | People’s Insurance Co. Group of China, Ltd. (The) Class H | 1,840,443 | ||||||||
2,820,760 | PICC Property & Casualty Co., Ltd. Class H | 5,545,794 | ||||||||
1,129,000 | Ping An Insurance Group Co. Class H | 5,634,953 | ||||||||
208,000 | Shandong Weigao Group Medical Polymer Co., Ltd. Class H | 132,289 | ||||||||
3,582,500 | Sinopec Engineering Group Co., Ltd. Class H | 3,132,311 | ||||||||
3,670,000 | Sinopec Shanghai Petrochemical Co., Ltd. Class H* | 1,431,930 | ||||||||
526,000 | Sinopharm Group Co., Ltd. Class H | 1,853,617 | ||||||||
817,000 | Sinotrans, Ltd. Class H | 389,284 | ||||||||
75,172 | Tsingtao Brewery Co., Ltd. Class H‡ | 331,545 | ||||||||
943,000 | Weichai Power Co., Ltd. Class H | 883,083 | ||||||||
528,000 | Zhejiang Expressway Co., Ltd. Class H | 581,585 | ||||||||
298,000 | Zhuzhou CSR Times Electric Co., Ltd. Class H | 2,223,911 | ||||||||
|
| |||||||||
Total China | 111,837,375 | |||||||||
|
| |||||||||
Colombia — 0.1% | ||||||||||
204,776 | Cementos Argos SA | 626,177 | ||||||||
|
| |||||||||
Czech Republic — 0.2% | ||||||||||
9,559 | Komercni Banka AS | 2,072,662 | ||||||||
|
| |||||||||
Denmark — 0.1% | ||||||||||
18,092 | Carlsberg AS Class B | 1,391,092 | ||||||||
|
| |||||||||
Hong Kong — 5.6% | ||||||||||
939,800 | AIA Group, Ltd. | 4,893,110 | ||||||||
1,247,000 | China Agri-Industries Holdings, Ltd.* ‡ | 433,595 | ||||||||
206,000 | China Everbright International, Ltd. | 291,995 | ||||||||
360,000 | China Everbright, Ltd. | 828,795 | ||||||||
100,000 | China Merchants Holdings International Co., Ltd. | 296,023 | ||||||||
133,762 | China Mobile, Ltd., Sponsored ADR | 7,958,839 | ||||||||
908,500 | China Mobile, Ltd. | 10,807,600 | ||||||||
1,660,000 | China Overseas Land & Investment, Ltd. | 5,076,786 | ||||||||
248,137 | China Resources Enterprise, Ltd.‡ | 462,183 | ||||||||
1,874,000 | China Resources Power Holdings Co., Ltd. | 4,276,394 | ||||||||
334,000 | CITIC, Ltd. | 611,284 | ||||||||
191,146 | CLP Holdings, Ltd. | 1,631,360 | ||||||||
7,185,000 | CNOOC, Ltd.‡ | 7,437,332 | ||||||||
11,736 | CNOOC, Ltd., Sponsored ADR‡ | 1,209,747 | ||||||||
2,066,000 | Far East Horizon, Ltd. | 1,610,446 | ||||||||
307,998 | Link REIT | 1,693,746 | ||||||||
402,709 | Power Assets Holdings, Ltd. | 3,821,661 |
See accompanying Notes to the Financial Statements. | 91 |
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Hong Kong — continued | ||||||||||
672,000 | Shanghai Industrial Holdings, Ltd. | 1,493,077 | ||||||||
184,000 | Sino-Ocean Land Holdings, Ltd. | 100,002 | ||||||||
|
| |||||||||
Total Hong Kong | 54,933,975 | |||||||||
|
| |||||||||
Hungary — 0.5% | ||||||||||
3,142 | MOL Hungarian Oil & Gas Plc | 137,078 | ||||||||
125,815 | OTP Bank Nyrt | 2,427,150 | ||||||||
122,892 | Richter Gedeon Nyrt | 1,953,975 | ||||||||
|
| |||||||||
Total Hungary | 4,518,203 | |||||||||
|
| |||||||||
India — 11.1% | ||||||||||
664,372 | Aurobindo Pharma, Ltd. | 7,820,788 | ||||||||
54,248 | Bajaj Auto, Ltd. | 1,919,908 | ||||||||
22,998 | Bharat Petroleum Corp., Ltd. | 298,142 | ||||||||
84,324 | Bharti Airtel, Ltd. | 435,040 | ||||||||
299,448 | Cipla, Ltd. | 2,912,090 | ||||||||
176,961 | Coal India, Ltd. | 878,123 | ||||||||
40,264 | Colgate-Palmolive India, Ltd. | 592,716 | ||||||||
86,171 | Divi’s Laboratories, Ltd.* **** | 1,471,890 | ||||||||
86,171 | Divi’s Laboratories, Ltd. | 1,471,890 | ||||||||
2,770 | Dr Reddy’s Laboratories, Ltd. | 175,660 | ||||||||
59,699 | Dr. Reddy’s Laboratories, Ltd., ADR | 3,815,363 | ||||||||
1,348 | Eicher Motors, Ltd. | 366,384 | ||||||||
25,827 | Godrej Consumer Products, Ltd. | 480,277 | ||||||||
547,689 | HCL Technologies, Ltd. Class T | 8,236,754 | ||||||||
30,015 | HDFC Bank, Ltd. | 490,208 | ||||||||
85,554 | HDFC Bank, Ltd., ADR | 5,226,494 | ||||||||
5,198 | Hero MotoCorp Ltd. | 190,004 | ||||||||
313,311 | Hindustan Unilever, Ltd. | 3,902,824 | ||||||||
356,697 | Housing Development Finance Corp., Ltd. | 6,604,324 | ||||||||
833,685 | ICICI Bank, Ltd. | 3,438,786 | ||||||||
605,612 | Idea Cellular, Ltd. | 1,372,160 | ||||||||
286,236 | Indiabulls Housing Finance, Ltd. | 3,498,982 | ||||||||
388,209 | Infosys, Ltd. | 6,890,056 | ||||||||
333,861 | Infosys, Ltd., Sponsored ADR‡ | 6,373,407 | ||||||||
1,176,338 | ITC, Ltd. | 5,926,851 | ||||||||
1,203,749 | JSW Energy, Ltd. | 1,735,213 | ||||||||
129,068 | Kotak Mahindra Bank, Ltd. | 1,277,233 | ||||||||
42,631 | Marico, Ltd. | 262,994 | ||||||||
284,610 | Motherson Sumi Systems, Ltd. | 1,010,285 | ||||||||
8,711 | Nestle India, Ltd. | 846,076 | ||||||||
320,179 | Oil & Natural Gas Corp., Ltd. | 1,124,477 | ||||||||
944,098 | Power Finance Corp., Ltd. | 3,313,133 | ||||||||
25,956 | Reliance Industries, Ltd. (London Exchange), GDR 144A | 676,387 | ||||||||
507,223 | Rural Electrification Corp., Ltd. | 2,124,123 | ||||||||
19,585 | State Bank of India, Ltd., Reg S, GDR‡‡‡ | 714,210 | ||||||||
342,114 | Sun Pharmaceutical Industries, Ltd. | 4,551,737 | ||||||||
153,751 | Tata Consultancy Services, Ltd. | 6,061,850 | ||||||||
466,489 | Tata Motors, Ltd.* | 2,124,841 |
92 | See accompanying Notes to the Financial Statements. |
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
India — continued | ||||||||||
89,300 | Tata Motors, Ltd., Sponsored ADR* | 2,009,250 | ||||||||
62,510 | Tata Steel, Ltd. | 204,549 | ||||||||
43,686 | Westlife Development, Ltd.* ¤ | 173,446 | ||||||||
388,383 | Wipro, Ltd. | 3,544,409 | ||||||||
98,693 | Wipro, Ltd., ADR‡ | 1,212,937 | ||||||||
49,794 | Zee Entertainment Enterprises, Ltd. | 297,900 | ||||||||
|
| |||||||||
Total India | 108,054,171 | |||||||||
|
| |||||||||
Indonesia — 2.3% | ||||||||||
185,300 | Astra Agro Lestari Tbk PT | 230,538 | ||||||||
2,628,100 | Astra International Tbk PT | 941,249 | ||||||||
2,950,461 | Bank Central Asia Tbk PT | 2,477,355 | ||||||||
185,000 | Bank Mandiri Persero Tbk PT | 100,375 | ||||||||
4,170,700 | Bank Negara Indonesia Persero Tbk PT | 1,181,471 | ||||||||
1,568,700 | Bank Rakyat Indonesia Persero Tbk PT | 931,788 | ||||||||
1,687,700 | Indofood Sukses Makmur Tbk PT | 639,225 | ||||||||
13,627,300 | Kalbe Farma Tbk PT | 1,283,913 | ||||||||
785,636 | Matahari Department Store Tbk PT | 865,565 | ||||||||
7,449,300 | Perusahaan Gas Negara Persero Tbk PT | 1,294,511 | ||||||||
2,667,800 | Tambang Batubara Bukit Asam Persero Tbk PT | 1,027,773 | ||||||||
44,800 | Telekomunikasi Indonesia Persero Tbk PT, Sponsored ADR | 1,597,120 | ||||||||
40,723,440 | Telekomunikasi Indonesia Persero Tbk PT | 7,317,158 | ||||||||
697,096 | Unilever Indonesia Tbk PT | 1,809,342 | ||||||||
661,310 | United Tractors Tbk PT | 792,810 | ||||||||
|
| |||||||||
Total Indonesia | 22,490,193 | |||||||||
|
| |||||||||
Luxembourg — 0.1% | ||||||||||
109,450 | Ternium SA, Sponsored ADR | 1,345,140 | ||||||||
|
| |||||||||
Malaysia — 1.5% | ||||||||||
2,141,000 | AirAsia Bhd | 625,646 | ||||||||
1,538,500 | AMMB Holdings Bhd | 1,599,717 | ||||||||
564,800 | Axiata Group Bhd | 745,415 | ||||||||
34,705 | British American Tobacco Malaysia Bhd | 476,966 | ||||||||
185,000 | Genting Bhd | 306,359 | ||||||||
1,881,400 | Genting Malaysia Bhd | 1,778,324 | ||||||||
275,000 | IJM Corp. Bhd | 201,736 | ||||||||
347,900 | IOI Corp. Bhd | 323,478 | ||||||||
1,923,725 | Malayan Banking Bhd | 3,755,166 | ||||||||
69,700 | MISC Bhd | 139,560 | ||||||||
547,500 | Petronas Chemicals Group Bhd | 765,828 | ||||||||
290,400 | Public Bank Bhd | 1,158,834 | ||||||||
814,200 | Tenaga Nasional Bhd | 2,230,534 | ||||||||
203,900 | UMW Holdings Bhd | 349,137 | ||||||||
|
| |||||||||
Total Malaysia | 14,456,700 | |||||||||
|
| |||||||||
Malta — 0.1% | ||||||||||
69,819 | Brait SE* | 710,473 | ||||||||
|
|
See accompanying Notes to the Financial Statements. | 93 |
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Mexico — 4.2% | ||||||||||
513,200 | Alfa SAB de CV Class A | 995,708 | ||||||||
3,224,700 | America Movil SAB de CV Series L‡ | 2,673,494 | ||||||||
266,806 | America Movil SAB de CV Series L, Sponsored ADR‡ | 4,415,639 | ||||||||
126,000 | Arca Continental SAB de CV | 707,817 | ||||||||
78,416 | Cemex SAB de CV, Sponsored ADR* | 548,128 | ||||||||
19,300 | El Puerto de Liverpool SAB de CV | 249,934 | ||||||||
370,000 | Fibra Uno Administracion SA de CV REIT | 762,193 | ||||||||
231,100 | Fomento Economico Mexicano SAB de CV | 2,061,071 | ||||||||
�� | 102,867 | Fomento Economico Mexicano SAB de CV, Sponsored ADR | 9,180,880 | |||||||
65,700 | Genomma Lab Internacional SAB de CV Class B* | 53,966 | ||||||||
1,315,200 | Gentera SAB de CV‡ | 2,143,527 | ||||||||
186,200 | Gruma SAB de CV Class B | 2,554,561 | ||||||||
1,294,626 | Grupo GICSA SA de CV* ‡ | 1,091,667 | ||||||||
1,559,740 | Grupo Mexico SAB de CV Series B‡ | 3,763,422 | ||||||||
90,800 | Grupo Televisa SAB | 471,715 | ||||||||
93,445 | Grupo Televisa SAB, Sponsored ADR | 2,431,439 | ||||||||
76,876 | Industrias Penoles SAB de CV | 1,048,844 | ||||||||
573,300 | OHL Mexico SAB de CV* | 737,483 | ||||||||
2,302,887 | Wal-Mart de Mexico SAB de CV‡ | 5,667,955 | ||||||||
|
| |||||||||
Total Mexico | 41,559,443 | |||||||||
|
| |||||||||
Netherlands — 0.1% | ||||||||||
29,218 | Unilever NV | 1,174,647 | ||||||||
|
| |||||||||
Pakistan — 0.1% | ||||||||||
379,185 | Habib Bank, Ltd. | 715,867 | ||||||||
|
| |||||||||
Panama — 0.1% | ||||||||||
149,394 | Avianca Holdings SA, Sponsored ADR* | 708,128 | ||||||||
|
| |||||||||
Peru — 0.0% | ||||||||||
12,700 | Cia de Minas Buenaventura SA, ADR | 75,692 | ||||||||
|
| |||||||||
Philippines — 0.4% | ||||||||||
818,490 | Aboitiz Equity Ventures, Inc. | 1,006,458 | ||||||||
1,574,369 | Metropolitan Bank & Trust Co. | 2,750,990 | ||||||||
|
| |||||||||
Total Philippines | 3,757,448 | |||||||||
|
| |||||||||
Poland — 0.8% | ||||||||||
2,891 | CCC SA | 124,841 | ||||||||
166,597 | Energa SA | 740,024 | ||||||||
24,080 | Eurocash SA | 283,397 | ||||||||
22,866 | KGHM Polska Miedz SA | 494,168 | ||||||||
218,065 | Orange Polska SA | 417,454 | ||||||||
474,731 | PGE Polska Grupa Energetyczna SA | 1,686,690 | ||||||||
50,170 | Polski Koncern Naftowy Orlen SA | 874,933 | ||||||||
810,321 | Polskie Gornictwo Naftowe i Gazownictwo SA | 1,391,320 | ||||||||
15,562 | Powszechny Zaklad Ubezpieczen SA | 1,597,260 | ||||||||
|
| |||||||||
Total Poland | 7,610,087 | |||||||||
|
|
94 | See accompanying Notes to the Financial Statements. |
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Qatar — 0.7% | ||||||||||
42,141 | Commercial Bank QSC (The) | 653,228 | ||||||||
63,055 | Doha Bank QSC | 869,918 | ||||||||
30,592 | Industries Qatar QSC | 1,033,673 | ||||||||
79,780 | Qatar National Bank SAQ | 4,113,078 | ||||||||
|
| |||||||||
Total Qatar | 6,669,897 | |||||||||
|
| |||||||||
Russia — 2.0% | ||||||||||
487,555 | Gazprom PAO, Sponsored ADR | 1,967,956 | ||||||||
717,979 | Gazprom PAO (OTC Exchange), Sponsored ADR | 2,914,995 | ||||||||
26,850 | LUKOIL PJSC (DTC Shares), Sponsored ADR | 914,511 | ||||||||
50,065 | LUKOIL PJSC (Euroclear Shares), Sponsored ADR | 1,703,873 | ||||||||
7,226 | MegaFon PJSC, Reg S, GDR‡‡‡ | 87,796 | ||||||||
227,055 | MMC Norilsk Nickel PJSC, ADR | 3,262,780 | ||||||||
8,429 | MMC Norilsk Nickel PJSC, ADR | 121,127 | ||||||||
189,063 | Mobile Telesystems PJSC, Sponsored ADR | 1,365,035 | ||||||||
7,128 | NOVATEK OAO, Reg S, GDR‡‡‡ | 661,133 | ||||||||
157,228 | Rosneft Oil Co., Reg S, GDR‡‡‡ | 580,171 | ||||||||
92,659 | Rosneft Oil Co., Reg S, (London Exchange), GDR‡‡‡ | 342,905 | ||||||||
61,800 | Rostelecom PJSC, Sponsored ADR | 484,512 | ||||||||
23,052 | Severstal PAO, Reg S, GDR‡‡‡ | 244,638 | ||||||||
27,072 | Sistema JSFC (OTC Exchange), Reg S, GDR‡‡‡ | 186,255 | ||||||||
191,091 | Sistema JSFC, Reg S, GDR‡‡‡ | 1,317,977 | ||||||||
137,124 | Surgutneftegas OAO, Sponsored ADR | 701,067 | ||||||||
74,538 | Tatneft PAO, Sponsored ADR | 2,083,337 | ||||||||
13,629 | Tatneft PAO (London Exchange), Sponsored ADR | 382,146 | ||||||||
|
| |||||||||
Total Russia | 19,322,214 | |||||||||
|
| |||||||||
South Africa — 4.9% | ||||||||||
200,233 | Barclays Africa Group, Ltd. | 2,469,835 | ||||||||
12,264 | Capitec Bank Holdings, Ltd. | 444,816 | ||||||||
778,728 | FirstRand, Ltd. | 2,774,497 | ||||||||
268,606 | Foschini Group, Ltd. (The) | 2,728,267 | ||||||||
437,594 | Gold Fields, Ltd. | 1,154,798 | ||||||||
353,595 | Growthpoint Properties, Ltd. | 656,647 | ||||||||
36,256 | Hyprop Investments, Ltd. REIT | 316,845 | ||||||||
14,135 | Imperial Holdings, Ltd. | 173,569 | ||||||||
178,101 | Investec, Ltd. | 1,365,464 | ||||||||
94,220 | Liberty Holdings, Ltd. | 861,504 | ||||||||
62,126 | Life Healthcare Group Holdings, Ltd. | 160,252 | ||||||||
11,199 | Mediclinic International, Ltd. | 89,601 | ||||||||
773,140 | MMI Holdings, Ltd. | 1,332,801 | ||||||||
59,692 | Mondi, Ltd. | 1,255,673 | ||||||||
29,069 | Mr Price Group, Ltd. | 406,648 | ||||||||
363,395 | MTN Group, Ltd. | 4,689,067 | ||||||||
58,359 | Naspers, Ltd. Class N | 7,339,179 | ||||||||
555,432 | Netcare, Ltd. | 1,461,705 | ||||||||
56,247 | Pick n Pay Stores, Ltd.‡ | 269,967 | ||||||||
43,025 | Rand Merchant Insurance Holdings, Ltd. | 129,130 | ||||||||
2,859,690 | Redefine Properties, Ltd. | 2,423,807 |
See accompanying Notes to the Financial Statements. | 95 |
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Africa — continued | ||||||||||
149,363 | Remgro, Ltd. | 2,729,199 | ||||||||
29,715 | Resilient Property Income Fund, Ltd. REIT | 249,809 | ||||||||
259,450 | RMB Holdings, Ltd. | 1,239,359 | ||||||||
75,752 | Sasol, Ltd.‡ | 2,131,556 | ||||||||
54,131 | Shoprite Holdings, Ltd. | 616,218 | ||||||||
157,017 | Spar Group, Ltd. (The) | 2,103,466 | ||||||||
152,513 | Standard Bank Group, Ltd. | 1,492,708 | ||||||||
340,272 | Telkom SA SOC, Ltd. | 1,639,330 | ||||||||
273,252 | Truworths International, Ltd.‡ | 1,683,793 | ||||||||
722,116 | Tsogo Sun Holdings, Ltd. | 1,267,140 | ||||||||
|
| |||||||||
Total South Africa | 47,656,650 | |||||||||
|
| |||||||||
South Korea — 11.3% | ||||||||||
8,842 | Amorepacific Corp. | 2,885,905 | ||||||||
2,447 | AMOREPACIFIC Group | 338,511 | ||||||||
17,600 | BNK Financial Group, Inc. | 204,233 | ||||||||
20,559 | Celltrion, Inc.* ‡ | 1,187,050 | ||||||||
468 | CJ CheilJedang Corp. | 150,898 | ||||||||
1,362 | CJ Corp. | 302,512 | ||||||||
32,041 | Coway Co., Ltd. | 2,270,627 | ||||||||
100,900 | Daewoo International Corp. | 1,775,815 | ||||||||
115,827 | Daewoo Securities Co., Ltd. | 1,148,804 | ||||||||
72,247 | Daewoo Shipbuilding & Marine Engineering Co., Ltd. | 383,755 | ||||||||
89,681 | DGB Financial Group, Inc. | 797,484 | ||||||||
46,115 | Dongbu Insurance Co., Ltd. | 2,385,596 | ||||||||
1,079 | E-Mart Co., Ltd. | 210,109 | ||||||||
29,530 | Hana Financial Group, Inc. | 659,741 | ||||||||
39,306 | Hanon Systems Corp. | 1,292,225 | ||||||||
75,479 | Hanwha Corp. | 2,488,532 | ||||||||
429,880 | Hanwha Life Insurance Co., Ltd. | 2,958,904 | ||||||||
2,403 | Hyosung Corp. | 229,772 | ||||||||
16,228 | Hyundai Development Co-Engineering & Construction | 751,204 | ||||||||
96,568 | Hyundai Marine & Fire Insurance Co., Ltd. | 2,469,990 | ||||||||
6,821 | Hyundai Mobis Co., Ltd. | 1,325,122 | ||||||||
22,672 | Hyundai Motor Co. | 3,153,381 | ||||||||
3,194 | Hyundai Wia Corp. | 350,798 | ||||||||
141,371 | Kangwon Land, Inc. | 5,014,915 | ||||||||
138,943 | KB Financial Group, Inc. | 4,124,449 | ||||||||
30,320 | Kia Motors Corp. | 1,375,318 | ||||||||
104,629 | Korea Electric Power Corp. | 4,307,399 | ||||||||
9,467 | Korea Zinc Co., Ltd. | 3,703,909 | ||||||||
72,151 | Korean Air Lines Co., Ltd.* | 1,896,416 | ||||||||
178,947 | Korean Reinsurance Co. | 2,160,415 | ||||||||
35,276 | KT&G Corp. | 3,325,875 | ||||||||
5,617 | LG Chem, Ltd. | 1,364,855 | ||||||||
37,478 | LG Corp. | 1,918,856 | ||||||||
142,383 | LG Display Co., Ltd., ADR | 1,352,639 | ||||||||
2,037 | LG Household & Health Care, Ltd. | 1,471,480 | ||||||||
9,902 | Lotte Chemical Corp. | 2,274,462 |
96 | See accompanying Notes to the Financial Statements. |
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Africa — continued | ||||||||||
26,980 | LS Industrial Systems Co., Ltd. | 1,029,769 | ||||||||
44,701 | Mirae Asset Securities Co., Ltd.‡ | 1,061,040 | ||||||||
21,401 | NCSoft Corp. | 3,431,587 | ||||||||
10,832 | NH Investment & Securities Co., Ltd. | 91,765 | ||||||||
1,750 | Orion Corp. Republic of South Korea | 1,396,784 | ||||||||
7,594 | POSCO | 1,072,072 | ||||||||
23,029 | S-1 Corp. | 1,806,613 | ||||||||
1,725 | S-Oil Corp. | 91,975 | ||||||||
10,409 | Samsung C&T Corp.* | 1,294,559 | ||||||||
21,989 | Samsung Card Co., Ltd. | 669,377 | ||||||||
20,767 | Samsung Electronics Co., Ltd., GDR* | 9,812,407 | ||||||||
11,955 | Samsung Electronics Co., Ltd. | 11,497,084 | ||||||||
5,532 | Samsung Fire & Marine Insurance Co., Ltd. | 1,298,147 | ||||||||
13,135 | Samsung Life Insurance Co., Ltd. | 1,097,297 | ||||||||
3,859 | Samsung Securities Co., Ltd. | 149,215 | ||||||||
13,534 | Shinhan Financial Group Co., Ltd. | 472,748 | ||||||||
9,056 | Shinsegae Co., Ltd. | 1,811,764 | ||||||||
85,210 | SK Hynix, Inc. | 2,435,077 | ||||||||
2,914 | SK Innovation Co., Ltd.* | 243,011 | ||||||||
22,458 | SK Telecom Co., Ltd. | 4,974,382 | ||||||||
94,256 | Woori Bank | 745,559 | ||||||||
|
| |||||||||
Total South Korea | 110,494,188 | |||||||||
|
| |||||||||
Taiwan — 12.3% | ||||||||||
333,000 | Asustek Computer, Inc. | 2,861,095 | ||||||||
1,535,000 | AU Optronics Corp. | 451,390 | ||||||||
281,000 | Catcher Technology Co., Ltd. | 3,002,678 | ||||||||
534,000 | Cheng Shin Rubber Industry Co., Ltd. | 872,968 | ||||||||
667,915 | Chicony Electronics Co., Ltd. | 1,544,796 | ||||||||
3,169,000 | China Airlines, Ltd.* | 1,085,191 | ||||||||
1,522,000 | China Development Financial Holding Corp. | 410,120 | ||||||||
2,004,820 | China Life Insurance Co., Ltd. | 1,527,024 | ||||||||
1,863,000 | China Motor Corp. | 1,310,062 | ||||||||
2,801,000 | Compal Electronics, Inc. | 1,592,830 | ||||||||
11,430,109 | CTBC Financial Holding Co., Ltd. | 5,895,943 | ||||||||
1,124,000 | CTCI Corp. | 1,347,232 | ||||||||
5,887,741 | E.Sun Financial Holding Co., Ltd. | 3,465,692 | ||||||||
47,000 | Eclat Textile Co., Ltd. | 743,371 | ||||||||
1,304,000 | Eva Airways Corp.* | 730,287 | ||||||||
283,810 | Evergreen Marine Corp. Taiwan, Ltd. | 119,647 | ||||||||
422,000 | Far EasTone Telecommunications Co., Ltd. | 910,850 | ||||||||
109,000 | Feng TAY Enterprise Co., Ltd. | 679,877 | ||||||||
710,030 | Foxconn Technology Co., Ltd. | 2,050,294 | ||||||||
5,609,997 | Fubon Financial Holding Co., Ltd. | 8,763,009 | ||||||||
6,757,005 | Hon Hai Precision Industry Co., Ltd. | 17,674,375 | ||||||||
47,000 | HTC Corp. | 91,675 | ||||||||
4,688,000 | Innolux Corp. | 1,470,970 | ||||||||
2,260,000 | Inotera Memories, Inc.* | 1,421,461 | ||||||||
294,000 | Kinsus Interconnect Technology Corp. | 564,319 |
See accompanying Notes to the Financial Statements. | 97 |
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
71,000 | Largan Precision Co., Ltd. | 5,573,937 | ||||||||
1,024,174 | Lite-On Technology Corp. | 935,881 | ||||||||
2,058,000 | Pegatron Corp. | 5,068,401 | ||||||||
408,000 | Pou Chen Corp. | 616,140 | ||||||||
1,610,000 | Powertech Technology, Inc. | 2,921,353 | ||||||||
417,291 | President Chain Store Corp. | 2,601,945 | ||||||||
1,186,000 | Quanta Computer, Inc. | 2,048,779 | ||||||||
1,145,060 | Radiant Opto-Electronics Corp. | 3,571,759 | ||||||||
547,000 | Realtek Semiconductor Corp. | 932,755 | ||||||||
633,490 | SinoPac Financial Holdings Co., Ltd. | 199,049 | ||||||||
2,704,000 | Taiwan Cement Corp. | 2,744,310 | ||||||||
4,741,034 | Taiwan Semiconductor Manufacturing Co., Ltd. | 18,919,122 | ||||||||
361,026 | Taiwan Semiconductor Manufacturing Co., Ltd., Sponsored ADR | 7,491,290 | ||||||||
108,000 | Teco Electric and Machinery Co., Ltd. | 85,356 | ||||||||
357,000 | Transcend Information, Inc. | 901,716 | ||||||||
67,015 | Uni-President Enterprises Corp. | 116,392 | ||||||||
791,000 | Vanguard International Semiconductor Corp. | 903,205 | ||||||||
731,000 | Wan Hai Lines, Ltd. | 460,680 | ||||||||
2,016,000 | WPG Holdings, Ltd. | 1,933,412 | ||||||||
5,395,169 | Yuanta Financial Holding Co., Ltd. | 2,003,851 | ||||||||
|
| |||||||||
Total Taiwan | 120,616,489 | |||||||||
|
| |||||||||
Thailand — 2.5% | ||||||||||
13,200 | Advanced Info Service PCL, NVDR | 82,308 | ||||||||
261,700 | Advanced Info Service PCL (Registered Shares) | 1,631,816 | ||||||||
17,155 | Airports of Thailand PCL Class F | 132,920 | ||||||||
202,328 | Bangkok Bank PCL | 888,121 | ||||||||
151,500 | Bangkok Bank PCL, NVDR | 669,288 | ||||||||
969,600 | Bangkok Dusit Medical Services PCL Class F | 495,395 | ||||||||
11,000 | BEC World PCL, NVDR | 9,724 | ||||||||
91,900 | Bumrungrad Hospital PCL, NVDR | 548,326 | ||||||||
1,266,900 | CP All PCL Class F | 1,670,609 | ||||||||
291,200 | Delta Electronics Thailand PCL, NVDR | 707,130 | ||||||||
766,400 | Indorama Ventures PCL, NVDR | 487,627 | ||||||||
337,373 | Kasikornbank PCL | 1,586,033 | ||||||||
424,700 | Kasikornbank PCL, NVDR | 2,005,569 | ||||||||
1,999,000 | Krung Thai Bank PCL, NVDR | 942,870 | ||||||||
1,722,000 | PTT Global Chemical PCL | 2,558,749 | ||||||||
1,551,800 | PTT Global Chemical PCL, NVDR | 2,305,905 | ||||||||
185,900 | PTT PCL | 1,234,031 | ||||||||
25,650 | Siam Cement PCL (The) | 330,040 | ||||||||
209,300 | Siam Cement PCL (The), NVDR | 2,680,987 | ||||||||
209,100 | Siam Commercial Bank PCL | 774,662 | ||||||||
50,900 | Siam Commercial Bank PCL, NVDR | 188,571 | ||||||||
2,722,000 | Thai Beverage PCL Class C‡ | 1,315,705 | ||||||||
2,118,500 | Thai Union Group PCL, NVDR | 1,076,787 | ||||||||
|
| |||||||||
Total Thailand | 24,323,173 | |||||||||
|
|
98 | See accompanying Notes to the Financial Statements. |
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Turkey — 1.5% | ||||||||||
167,431 | Akbank TAS | 375,285 | ||||||||
2,195,835 | Emlak Konut Gayrimenkul Yatirim Ortakligi AS | 1,820,813 | ||||||||
1,022,199 | Eregli Demir ve Celik Fabrikalari TAS | 1,260,054 | ||||||||
406,734 | TAV Havalimanlari Holding AS | 3,192,785 | ||||||||
244,532 | Tofas Turk Otomobil Fabrikasi AS | 1,452,666 | ||||||||
16,610 | Tupras Turkiye Petrol Rafinerileri AS* | 406,533 | ||||||||
320,154 | Turk Hava Yollari AO* | 843,373 | ||||||||
444,459 | Turk Telekomunikasyon AS | 875,728 | ||||||||
468,406 | Turkcell Iletisim Hizmetleri AS | 1,633,214 | ||||||||
155,825 | Turkiye Garanti Bankasi AS | 361,983 | ||||||||
435,406 | Turkiye Halk Bankasi AS | 1,453,080 | ||||||||
143,960 | Turkiye Is Bankasi | 224,036 | ||||||||
436,873 | Turkiye Sise ve Cam Fabrikalari AS | 414,495 | ||||||||
|
| |||||||||
Total Turkey | 14,314,045 | |||||||||
|
| |||||||||
United Arab Emirates — 0.8% | ||||||||||
388,307 | Abu Dhabi Commercial Bank PJSC | 809,246 | ||||||||
4,229,709 | Aldar Properties PJSC | 2,777,642 | ||||||||
1,946,520 | Emaar Properties PJSC | 3,428,208 | ||||||||
299,038 | First Gulf Bank PJSC | 1,136,914 | ||||||||
|
| |||||||||
Total United Arab Emirates | 8,152,010 | |||||||||
|
| |||||||||
United Kingdom — 2.4% | ||||||||||
141,227 | British American Tobacco Plc | 7,784,791 | ||||||||
141,466 | Mondi Plc | 2,972,926 | ||||||||
1,289,754 | Old Mutual Plc‡ | 3,702,763 | ||||||||
13,067 | Randgold Resources, Ltd. | 770,163 | ||||||||
15,571 | Randgold Resources, Ltd., ADR‡ | 920,090 | ||||||||
82,153 | SABMiller Plc | 4,642,070 | ||||||||
82,166 | Wizz Air Holdings Plc* 144A | 2,550,869 | ||||||||
|
| |||||||||
Total United Kingdom | 23,343,672 | |||||||||
|
| |||||||||
United States — 0.0% | ||||||||||
13,900 | Southern Copper Corp.‡ | 371,408 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $987,317,588) | 872,034,835 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 1.0% | ||||||||||
Brazil — 0.9% | ||||||||||
424,900 | Banco Bradesco SA, 4.65% | 2,285,653 | ||||||||
548,400 | Banco do Estado do Rio Grande do Sul, 13.87% | 1,129,316 | ||||||||
189,600 | Bradespar SA, 17.07% | 724,222 | ||||||||
233,700 | Braskem SA, 3.41% | 978,360 | ||||||||
7,700 | Cia Brasileira de Distribuicao Grupo Pao de Acucar, 2.21% | 97,286 | ||||||||
359,600 | Cia Energetica de Sao Paulo, 30.98% | 503,916 | ||||||||
88,900 | Cia Paranaense de Energia, 7.27% | 728,712 | ||||||||
212,960 | Itausa - Investimentos Itau SA, 5.51% | 381,857 |
See accompanying Notes to the Financial Statements. | 99 |
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Brazil — continued | ||||||||||
234,100 | Oi SA, 0.0% | 164,025 | ||||||||
564,100 | Petroleo Brasileiro SA, 0.0% | 1,025,649 | ||||||||
286,600 | Vale SA, 10.84% | 958,704 | ||||||||
|
| |||||||||
Total Brazil | 8,977,700 | |||||||||
|
| |||||||||
Colombia — 0.1% | ||||||||||
72,612 | Banco Davivienda SA, 3.33% | 564,032 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $18,844,033) | 9,541,732 | |||||||||
|
| |||||||||
RIGHTS — 0.0% | ||||||||||
South Korea — 0.0% | ||||||||||
38,943 | Mirae Asset Securities Co., Ltd.* **** | 173,629 | ||||||||
|
| |||||||||
TOTAL RIGHTS (COST $210,534) | 173,629 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 12.6% | ||||||||||
Bank Deposit — 8.3% |
| |||||||||
81,215,503 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/01/15 | 81,215,503 | ||||||||
|
| |||||||||
Investment Fund — 0.4% | ||||||||||
4,070,000 | State Street Institutional Treasury Plus Money Market Fund, Premier Class***** | 4,070,000 | ||||||||
|
| |||||||||
Securities Lending Collateral — 3.9% | ||||||||||
37,939,957 | State Street Institutional U.S. Government Money Market Fund, Premier Class*** | 37,939,957 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $123,225,460) | 123,225,460 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 102.8% (Cost $1,129,597,615) | 1,004,975,656 | |||||||||
Other Assets and Liabilities (net) — (2.8)% | (27,164,421 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 977,811,235 | ||||||||
|
|
100 | See accompanying Notes to the Financial Statements. |
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (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 | |||||
*** | Represents an investment of securities lending cash collateral. | |||||
¤ | Illiquid security. The total market value of the securities at period end is $173,446 which represents 0.0% of net assets. The aggregate tax cost of these securities held at September 30, 2015 was $234,877. | |||||
**** | 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 $1,645,519 which represents 0.2% of net assets. The aggregate tax cost of these securities held at September 30, 2015 was $1,440,101. | |||||
***** | 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. | |||||
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 $5,908,537 which represents 0.6% of net assets. |
See accompanying Notes to the Financial Statements. | 101 |
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
A summary of outstanding financial instruments at September 30, 2015 is as follows:
Forward Foreign Currency Contracts
Settlement | Currency | Counterparty | Units of | Value | Unrealized | |||||||||||||
Buys | ||||||||||||||||||
12/16/15 | BRL | Citibank N.A. London | 41,519,000 | $ | 10,158,909 | $ | (240,084 | ) | ||||||||||
12/16/15 | CLP | Citibank N.A. London | 7,259,964,000 | 10,335,342 | (78,396 | ) | ||||||||||||
12/16/15 | COP | Citibank N.A. London | 32,600,000,000 | 10,465,100 | (75,716 | ) | ||||||||||||
12/16/15 | CZK | Citibank N.A. London | 230,310,000 | 9,483,579 | (117,952 | ) | ||||||||||||
12/16/15 | HKD | Citibank N.A. London | 92,575,000 | 11,944,502 | (140 | ) | ||||||||||||
12/16/15 | HUF | Citibank N.A. London | 4,139,450,000 | 14,749,506 | (51,286 | ) | ||||||||||||
12/16/15 | ILS | Citibank N.A. London | 46,920,000 | 11,966,369 | 61,771 | |||||||||||||
12/16/15 | INR | Citibank N.A. London | 1,161,681,000 | 17,471,129 | 262,040 | |||||||||||||
12/16/15 | KRW | Citibank N.A. London | 23,840,000,000 | 20,065,600 | (23,966 | ) | ||||||||||||
12/16/15 | MXN | Citibank N.A. London | 52,667,000 | 3,089,423 | 31,605 | |||||||||||||
12/16/15 | MYR | Citibank N.A. London | 30,629,000 | 6,934,963 | (381,841 | ) | ||||||||||||
12/16/15 | PEN | Citibank N.A. London | 1,100,000 | 334,381 | 5,403 | |||||||||||||
12/16/15 | PLN | Citibank N.A. London | 49,438,000 | 12,973,213 | (48,645 | ) | ||||||||||||
12/16/15 | SGD | Citibank N.A. London | 13,400,000 | 9,401,042 | (56,647 | ) | ||||||||||||
12/16/15 | THB | Citibank N.A. London | 84,569,000 | 2,323,742 | 2,748 | |||||||||||||
12/16/15 | TRY | Citibank N.A. London | 93,334,000 | 30,119,090 | (250,487 | ) | ||||||||||||
12/16/15 | TWD | Citibank N.A. London | 45,000,000 | 1,367,227 | (14,633 | ) | ||||||||||||
12/17/15 | ZAR | Citibank N.A. London | 166,633,000 | 11,892,414 | (155,548 | ) | ||||||||||||
|
| |||||||||||||||||
$ | (1,131,774 | ) | ||||||||||||||||
|
| |||||||||||||||||
Sales | ||||||||||||||||||
12/16/15 | BRL | Citibank N.A. London | 111,952,000 | $ | 27,392,524 | $ | 1,336,840 | |||||||||||
12/16/15 | CLP | Citibank N.A. London | 69,711,000 | 99,241 | 775 | |||||||||||||
12/16/15 | COP | Citibank N.A. London | 32,513,000,000 | 10,437,172 | 95,864 | |||||||||||||
12/16/15 | HKD | Citibank N.A. London | 42,300,000 | 5,457,763 | (1,522 | ) | ||||||||||||
12/16/15 | HUF | Citibank N.A. London | 83,814,000 | 298,642 | 4,305 | |||||||||||||
12/16/15 | IDR | Citibank N.A. London | 43,853,574,775 | 2,900,311 | 69,164 | |||||||||||||
12/16/15 | ILS | Citibank N.A. London | 18,000,000 | 4,590,679 | (6,903 | ) | ||||||||||||
12/16/15 | INR | Citibank N.A. London | 413,563,000 | 6,219,791 | (90,422 | ) | ||||||||||||
12/16/15 | KRW | Citibank N.A. London | 23,695,707,000 | 19,944,152 | (60,753 | ) | ||||||||||||
12/16/15 | MXN | Citibank N.A. London | 739,614,000 | 43,385,432 | 263,061 | |||||||||||||
12/16/15 | MYR | Citibank N.A. London | 3,400,000 | 769,822 | 17,514 | |||||||||||||
12/16/15 | PEN | Citibank N.A. London | 500,000 | 151,991 | (2,781 | ) | ||||||||||||
12/16/15 | PHP | Citibank N.A. London | 352,100,000 | 7,498,141 | (43,012 | ) | ||||||||||||
12/16/15 | PLN | Citibank N.A. London | 17,978,000 | 4,717,675 | 45,757 | |||||||||||||
12/16/15 | SGD | Citibank N.A. London | 3,246,000 | 2,277,297 | 20,115 | |||||||||||||
12/16/15 | THB | Citibank N.A. London | 124,304,000 | 3,415,559 | 35 | |||||||||||||
12/16/15 | TRY | Citibank N.A. London | 14,593,000 | 4,709,193 | 13,281 | |||||||||||||
12/16/15 | TWD | Citibank N.A. London | 48,879,000 | 1,485,082 | 15,299 | |||||||||||||
12/17/15 | ZAR | Citibank N.A. London | 117,400,000 | 8,378,709 | 159,267 | |||||||||||||
|
| |||||||||||||||||
$ | 1,835,884 | |||||||||||||||||
|
|
102 | See accompanying Notes to the Financial Statements. |
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Currency Abbreviations
BRL | — Brazilian Real |
CLP | — Chilean Peso |
COP | — Colombian Peso |
CZK | — Czech Koruna |
HKD | — Hong Kong Dollar |
HUF | — Hungarian Forint |
IDR | — Indonesian Rupiah |
ILS | — Israeli Shekel |
INR | — Indian Rupee |
KRW | — South Korean Won |
MXN | — Mexican Peso |
MYR | — Malaysian Ringgit |
PEN | — Peruvian Nouveau Sol |
PHP | — Philippines Peso |
PLN | — Polish Zloty |
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 | ||||||||||||||||||
194 | BIST 30 Index | October 2015 | $ | 589,481 | $ | 10,828 | ||||||||||||
220 | FTSE Bursa Malaysia KLCI Index | October 2015 | 4,010,123 | 24,568 | ||||||||||||||
173 | H-shares Index | October 2015 | 10,465,874 | (232,175 | ) | |||||||||||||
91 | KOSPI 200 Index | December 2015 | 9,074,665 | 279,119 | ||||||||||||||
1,166 | MSCI Emerging Markets E-mini Index | December 2015 | 46,121,130 | (540,255 | ) | |||||||||||||
105 | MSCI Singapore Index | October 2015 | 4,615,303 | (35,784 | ) | |||||||||||||
494 | SET50 Index | December 2015 | 2,325,523 | (46,069 | ) | |||||||||||||
|
| |||||||||||||||||
$ | (539,768 | ) | ||||||||||||||||
|
| |||||||||||||||||
Sales | ||||||||||||||||||
257 | FTSE/JSE Top 40 Index | December 2015 | $ | 8,418,901 | $ | (231,432 | ) | |||||||||||
76 | Mexico Bolsa Index | December 2015 | 1,912,204 | 13,657 | ||||||||||||||
789 | SGX CNX Nifty Index | October 2015 | 12,586,128 | 35,441 | ||||||||||||||
|
| |||||||||||||||||
$ | (182,334 | ) | ||||||||||||||||
|
|
See accompanying Notes to the Financial Statements. | 103 |
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Synthetic Futures
Number of | Reference Entity | Expiration Date | Counterparty | Notional | Value | |||||||||||
13,600 | Tel Aviv 25 Index | 10/30/2015 | Goldman Sachs & Co. | $ | 5,560,186 | $ | (328,145 | ) | ||||||||
16,700 | MSCI Taiwan Index | 10/29/2015 | Goldman Sachs & Co. | 5,030,947 | 4,104 | |||||||||||
9,000,000 | KOSPI 200 Index | 12/10/2015 | Goldman Sachs & Co. | 1,802,600 | (3,971 | ) | ||||||||||
(780 | ) | Warsaw WIG 20 Index | 12/18/2015 | Goldman Sachs & Co. | (451,161 | ) | (495 | ) | ||||||||
(284 | ) | SGX CNX NIFTY Index | 10/29/2015 | Goldman Sachs & Co. | (2,223,491 | ) | (41,693 | ) | ||||||||
1,416 | MSCI Daily Total Return Net Turkey Index | 12/15/2015 | Goldman Sachs & Co. | 408,330 | 5,958 | |||||||||||
9,150 | Hang Seng China Enterprises Index | 10/29/2015 | Goldman Sachs & Co. | 11,178,893 | (108,432 | ) | ||||||||||
367 | Brazil Bovespa Stock Index | 10/14/2015 | Goldman Sachs & Co. | 5,288,374 | (449,193 | ) | ||||||||||
14,000 | BIST 30 Index | 10/30/2015 | Goldman Sachs & Co. | 445,769 | (4,143 | ) | ||||||||||
$ | (926,010 | ) | ||||||||||||||
|
|
104 | See accompanying Notes to the Financial Statements. |
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Banks | 13.0 | ||||
Diversified Financial Services | 6.4 | ||||
Semiconductors | 6.1 | ||||
Telecommunications | 6.1 | ||||
Insurance | 4.7 | ||||
Electronics | 3.7 | ||||
Beverages | 3.3 | ||||
Electric | 3.3 | ||||
Oil & Gas | 3.2 | ||||
Retail | 3.2 | ||||
Pharmaceuticals | 3.1 | ||||
Internet | 3.0 | ||||
Computers | 2.8 | ||||
Real Estate | 2.7 | ||||
Food | 2.3 | ||||
Agriculture | 2.0 | ||||
Auto Manufacturers | 1.9 | ||||
Mining | 1.9 | ||||
Software | 1.5 | ||||
Commercial Services | 1.4 | ||||
Chemicals | 1.3 | ||||
Airlines | 1.2 | ||||
Media | 1.0 | ||||
Holding Companies — Diversified | 0.9 | ||||
Building Materials | 0.7 | ||||
Engineering & Construction | 0.7 | ||||
Household Products & Wares | 0.7 | ||||
Cosmetics & Personal Care | 0.6 | ||||
Miscellaneous — Manufacturing | 0.6 | ||||
Auto Parts & Equipment | 0.5 | ||||
Distribution & Wholesale | 0.5 | ||||
Entertainment | 0.5 | ||||
Forest Products & Paper | 0.5 | ||||
Lodging | 0.5 | ||||
Coal | 0.4 | ||||
Health Care — Services | 0.4 | ||||
Apparel | 0.3 | ||||
Electrical Components & Equipment | 0.3 | ||||
Gas | 0.3 | ||||
Iron & Steel | 0.3 | ||||
Metal Fabricate & Hardware | 0.3 | ||||
Oil & Gas Services | 0.3 | ||||
Packaging & Containers | 0.3 | ||||
REITS | 0.3 | ||||
Energy-Alternate Sources | 0.2 | ||||
Environmental Control | 0.2 | ||||
Home Furnishings | 0.2 | ||||
Leisure Time | 0.2 | ||||
Biotechnology | 0.1 | ||||
Home Builders | 0.1 | ||||
Housewares | 0.1 |
See accompanying Notes to the Financial Statements. | 105 |
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Machinery — Construction & Mining | 0.1 | ||||
Health Care — Products | 0.0 | ||||
Investment Companies | 0.0 | ||||
Machinery — Diversified | 0.0 | ||||
Shipbuilding | 0.0 | ||||
Transportation | 0.0 | ||||
Short-Term Investments and Other Assets and Liabilities (net) | 9.8 | ||||
|
| ||||
100.0 | % | ||||
|
|
106 | See accompanying Notes to the Financial Statements. |
Mercer Global Low Volatility Equity Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 85.2% | ||||||||||
Australia — 1.1% | ||||||||||
134,226 | Newcrest Mining, Ltd.* | 1,215,456 | ||||||||
551,843 | Telstra Corp., Ltd. | 2,179,619 | ||||||||
7,153 | Wesfarmers, Ltd. | 197,927 | ||||||||
288,064 | Woolworths, Ltd.‡ | 5,039,741 | ||||||||
|
| |||||||||
Total Australia | 8,632,743 | |||||||||
|
| |||||||||
Austria — 0.7% | ||||||||||
185 | Agrana Beteiligungs AG | 15,748 | ||||||||
17,851 | EVN AG‡ | 196,351 | ||||||||
8,568 | Flughafen Wien AG | 771,909 | ||||||||
5,126 | Mayr Melnhof Karton AG | 591,066 | ||||||||
50,363 | Oesterreichische Post AG | 1,728,558 | ||||||||
73,254 | Telekom Austria AG‡ | 412,522 | ||||||||
45,739 | Verbund AG‡ | 606,501 | ||||||||
34,280 | Voestalpine AG | 1,178,275 | ||||||||
|
| |||||||||
Total Austria | 5,500,930 | |||||||||
|
| |||||||||
Belgium — 0.8% | ||||||||||
304 | Anheuser-Busch InBev NV | 32,256 | ||||||||
14,897 | Befimmo SA REIT | 913,876 | ||||||||
26,837 | Colruyt SA | 1,290,453 | ||||||||
36,411 | Elia System Operator SA | 1,770,656 | ||||||||
31,744 | Groupe Bruxelles Lambert SA | 2,395,204 | ||||||||
9,947 | Proximus | 342,453 | ||||||||
|
| |||||||||
Total Belgium | 6,744,898 | |||||||||
|
| |||||||||
Bermuda — 1.4% | ||||||||||
18,800 | Arch Capital Group, Ltd.* | 1,381,236 | ||||||||
15,000 | Aspen Insurance Holdings, Ltd. | 697,050 | ||||||||
16,700 | Bunge, Ltd. | 1,224,110 | ||||||||
30,000 | Cafe de Coral Holdings, Ltd. | 100,066 | ||||||||
65,000 | Cheung Kong Infrastructure Holdings, Ltd.‡ | 583,460 | ||||||||
34,000 | Clear Media, Ltd. | 34,077 | ||||||||
5,900 | Dairy Farm International Holdings, Ltd. | 35,894 | ||||||||
11,000 | Endurance Specialty Holdings, Ltd. | 671,330 | ||||||||
6,500 | Everest Re Group, Ltd. | 1,126,710 | ||||||||
18,200 | Genpact, Ltd.* | 429,702 | ||||||||
7,000 | Guoco Group, Ltd. | 80,596 | ||||||||
24,200 | Jardine Matheson Holdings, Ltd. | 1,144,073 | ||||||||
500 | Jardine Strategic Holdings, Ltd. | 13,427 | ||||||||
29,800 | Mandarin Oriental International, Ltd. | 45,462 | ||||||||
10,800 | Norwegian Cruise Line Holdings, Ltd.* | 618,840 | ||||||||
8,500 | RenaissanceRe Holdings, Ltd. | 903,720 | ||||||||
58,088 | Ship Finance International, Ltd.‡ | 943,930 | ||||||||
16,700 | Validus Holdings, Ltd. | 752,669 | ||||||||
800 | White Mountains Insurance Group, Ltd. | 597,840 | ||||||||
5,000 | Wing On Co. International, Ltd. | 15,608 | ||||||||
|
| |||||||||
Total Bermuda | 11,399,800 | |||||||||
|
|
See accompanying Notes to the Financial Statements. | 107 |
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Canada — 4.0% | ||||||||||
28,568 | Agnico-Eagle Mines, Ltd. | 720,859 | ||||||||
32,100 | Bank of Montreal | 1,742,551 | ||||||||
13,100 | Bank of Nova Scotia (The) | 574,829 | ||||||||
85,346 | Barrick Gold Corp. | 542,801 | ||||||||
62,700 | BCE, Inc. | 2,568,192 | ||||||||
19,200 | Canadian Imperial Bank of Commerce‡ | 1,373,086 | ||||||||
43,096 | Canadian Natural Resources, Ltd. | 835,433 | ||||||||
17,000 | Canadian Tire Corp., Ltd. Class A | 1,522,227 | ||||||||
58,053 | Cenovus Energy, Inc. | 880,083 | ||||||||
22,400 | Cogeco Cable, Inc. | 1,077,646 | ||||||||
9,100 | Cogeco, Inc. | 362,113 | ||||||||
31,600 | Dollarama, Inc. | 2,124,344 | ||||||||
100 | E-L Financial Corp., Ltd. | 51,092 | ||||||||
83,300 | Emera, Inc. | 2,750,571 | ||||||||
78,900 | Empire Co., Ltd. | 1,615,429 | ||||||||
81,362 | Entertainment One, Ltd. | 306,420 | ||||||||
12,853 | Franco-Nevada Corp. | 563,799 | ||||||||
20,200 | George Weston, Ltd. | 1,626,607 | ||||||||
70,049 | Goldcorp, Inc. | 877,013 | ||||||||
16,500 | H&R Real Estate Investment Trust REIT | 253,155 | ||||||||
811 | Imperial Oil, Ltd. | 25,576 | ||||||||
42,500 | Manitoba Telecom Services, Inc.‡ | 890,766 | ||||||||
57,600 | North West Co., Inc. (The)‡ | 1,209,828 | ||||||||
11,395 | Penn West Petroleum, Ltd.‡ | 5,130 | ||||||||
48,770 | Potash Corp. of Saskatchewan, Inc. | 1,002,223 | ||||||||
35,400 | Rogers Communications, Inc. Class B | 1,214,061 | ||||||||
24,500 | RONA, Inc. | 248,710 | ||||||||
35,100 | Royal Bank of Canada | 1,931,848 | ||||||||
72,400 | Shaw Communications, Inc. Class B‡ | 1,395,402 | ||||||||
1,947 | Suncor Energy, Inc. | 51,830 | ||||||||
28,900 | Thomson Reuters Corp. | 1,163,514 | ||||||||
18,900 | Toronto-Dominion Bank | 741,508 | ||||||||
5,100 | Valener, Inc.‡ | 63,336 | ||||||||
|
| |||||||||
Total Canada | 32,311,982 | |||||||||
|
| |||||||||
Denmark — 0.3% | ||||||||||
5,950 | Carlsberg AS Class B | 457,495 | ||||||||
13,972 | ISS AS | 464,339 | ||||||||
9,385 | Novo Nordisk AS Class B | 504,695 | ||||||||
1,660 | Ringkjoebing Landbobank AS | 369,880 | ||||||||
5,467 | Royal Unibrew AS | 204,808 | ||||||||
7,741 | Schouw & Co. | 416,459 | ||||||||
36,523 | TDC AS | 188,302 | ||||||||
|
| |||||||||
Total Denmark | 2,605,978 | |||||||||
|
| |||||||||
Faroe Islands — 0.0% | ||||||||||
10,386 | Bakkafrost P/F | 331,634 | ||||||||
|
|
108 | See accompanying Notes to the Financial Statements. |
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
France — 2.0% | ||||||||||
2,090 | Bonduelle S.C.A. | 53,766 | ||||||||
42,314 | Bouygues SA | 1,504,336 | ||||||||
6,521 | Caisse Regionale de Credit Agricole Mutuel Nord de France | 115,745 | ||||||||
39,329 | Carrefour SA | 1,164,336 | ||||||||
27,381 | Cie de Saint-Gobain | 1,188,197 | ||||||||
29,936 | Danone SA | 1,891,323 | ||||||||
6,780 | Legrand SA | 360,094 | ||||||||
885 | Manutan International | 42,444 | ||||||||
6,333 | Neopost SA | 164,933 | ||||||||
37,748 | Rexel SA | 463,712 | ||||||||
77,058 | Sanofi | 7,333,424 | ||||||||
7,808 | Sodexo SA | 646,969 | ||||||||
22,872 | Total SA‡ | 1,030,125 | ||||||||
1,748 | Vetoquinol SA | 76,472 | ||||||||
3,158 | Wendel SA | 369,315 | ||||||||
|
| |||||||||
Total France | 16,405,191 | |||||||||
|
| |||||||||
Germany — 1.7% | ||||||||||
36,140 | alstria office REIT-AG* | 469,368 | ||||||||
68,779 | Celesio AG | 1,928,582 | ||||||||
478 | DaimlerChrysler AG | 34,614 | ||||||||
9,632 | Fielmann AG | 658,104 | ||||||||
3,127 | Fraport AG Frankfurt Airport Services Worldwide | 192,643 | ||||||||
28,206 | HeidelbergCement AG | 1,929,382 | ||||||||
918 | Homag Group AG | 35,557 | ||||||||
6,693 | Hornbach Baumarkt AG | 249,897 | ||||||||
25,480 | Merck KGaA | 2,253,440 | ||||||||
78,113 | Rhoen-Klinikum AG | 2,206,793 | ||||||||
36,079 | SAP SE | 2,331,779 | ||||||||
38,848 | STADA Arzneimittel AG | 1,387,619 | ||||||||
11,838 | TLG Immobilien AG | 214,048 | ||||||||
|
| |||||||||
Total Germany | 13,891,826 | |||||||||
|
| |||||||||
Hong Kong — 0.6% | ||||||||||
6,500 | Aeon Stores Hong Kong Co., Ltd. | 6,296 | ||||||||
116,000 | Champion REIT | 58,056 | ||||||||
322,000 | CLP Holdings, Ltd. | 2,748,150 | ||||||||
220,682 | Hang Lung Properties, Ltd. | 496,609 | ||||||||
4,100 | Hang Seng Bank, Ltd. | 74,057 | ||||||||
26,000 | Hong Kong Ferry Holdings Co., Ltd. | 29,783 | ||||||||
25,000 | Hongkong & Shanghai Hotels (The)‡ | 28,300 | ||||||||
75,800 | Hysan Development Co., Ltd. | 317,007 | ||||||||
128,000 | Miramar Hotel & Investment Co., Ltd. | 203,222 | ||||||||
397,000 | Regal Real Estate Investment Trust REIT | 97,827 | ||||||||
982,000 | Sunlight Real Estate Investment Trust REIT | 480,727 | ||||||||
36,000 | Vitasoy International Holdings, Ltd. | 53,988 | ||||||||
|
| |||||||||
Total Hong Kong | 4,594,022 | |||||||||
|
|
See accompanying Notes to the Financial Statements. | 109 |
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Ireland — 0.8% | ||||||||||
15,100 | Accenture Plc Class A | 1,483,726 | ||||||||
32,503 | CRH Plc | 859,909 | ||||||||
106,989 | Hibernia Plc REIT | 147,800 | ||||||||
4,800 | Jazz Pharmaceuticals Plc* | 637,488 | ||||||||
9,384 | Kerry Group Plc | 704,922 | ||||||||
1,900 | King Digital Entertainment Plc | 25,726 | ||||||||
1,700 | Perrigo Co. Plc | 267,359 | ||||||||
151,585 | UDG Healthcare Plc | 1,156,614 | ||||||||
20,625 | Willis Group Holdings Plc | 845,006 | ||||||||
|
| |||||||||
Total Ireland | 6,128,550 | |||||||||
|
| |||||||||
Israel — 0.5% | ||||||||||
8,641 | Bank Hapoalim BM | 43,476 | ||||||||
5,908 | Check Point Software Technologies, Ltd.* ‡ | 468,682 | ||||||||
61,748 | Delek Automotive Systems, Ltd. | 579,328 | ||||||||
63,255 | Israel Chemicals, Ltd. | 325,962 | ||||||||
23,305 | Osem Investments, Ltd. | 450,509 | ||||||||
39,238 | Teva Pharmaceutical Industries, Ltd., Sponsored ADR | 2,215,378 | ||||||||
|
| |||||||||
Total Israel | 4,083,335 | |||||||||
|
| |||||||||
Italy — 0.4% | ||||||||||
64,726 | Amplifon Spa‡ | 489,489 | ||||||||
29,815 | Ansaldo STS Spa | 315,613 | ||||||||
27,537 | Italcementi Spa | 304,712 | ||||||||
768,501 | Parmalat Spa | 1,980,480 | ||||||||
|
| |||||||||
Total Italy | 3,090,294 | |||||||||
|
| |||||||||
Japan — 6.0% | ||||||||||
117,300 | Astellas Pharma, Inc. | 1,525,341 | ||||||||
3,000 | AT-Group Co., Ltd. | 62,623 | ||||||||
4,400 | Autobacs Seven Co., Ltd. | 73,297 | ||||||||
53,600 | Canon, Inc.‡ | 1,555,443 | ||||||||
97,700 | Coca-Cola West Co., Ltd. | 1,909,143 | ||||||||
65,300 | Daiichi Sanyko Co., Ltd.‡ | 1,142,139 | ||||||||
3,100 | DCM Holdings Co., Ltd. | 22,819 | ||||||||
12,400 | Doutor Nichires Holdings Co., Ltd.‡ | 190,830 | ||||||||
27,000 | Dydo Drinco, Inc. | 1,153,528 | ||||||||
22,600 | Earth Chemical Co., Ltd. | 863,738 | ||||||||
12,600 | Fanuc, Ltd. | 1,945,776 | ||||||||
5,500 | Fuji Co., Ltd. | 132,127 | ||||||||
3,000 | Fujicco Co., Ltd. | 61,082 | ||||||||
29,400 | Geo Holdings Corp. | 470,968 | ||||||||
5,000 | Hirose Electric Co., Ltd.‡ | 546,940 | ||||||||
4,400 | Hokuto Corp. | 79,821 | ||||||||
50,500 | Hoya Corp. | 1,662,185 | ||||||||
11,000 | J-Oil Mills, Inc. | 31,730 | ||||||||
115 | Japan Logistics Fund, Inc. REIT | 207,201 | ||||||||
40,600 | Japan Tobacco, Inc. | 1,265,087 |
110 | See accompanying Notes to the Financial Statements. |
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
10,000 | Japan Wool Textile Co., Ltd. (The)‡ | 84,427 | ||||||||
108,300 | KDDI Corp. | 2,429,356 | ||||||||
3,800 | Keyence Corp. | 1,704,244 | ||||||||
1,000 | KFC Holdings Japan, Ltd. | 18,844 | ||||||||
88,100 | Kirin Holdings Co., Ltd. | 1,162,431 | ||||||||
286,000 | Lion Corp.‡ | 2,525,709 | ||||||||
57,800 | Maruha Nichiro Corp. | 834,378 | ||||||||
8,800 | Medipal Holdings Corp. | 140,409 | ||||||||
31,700 | Megmilk Snow Brand Co., Ltd. | 608,926 | ||||||||
51,400 | Mitsubishi Estate Co., Ltd. | 1,055,220 | ||||||||
53,000 | Mitsubishi Tanabe Pharma Corp. | 934,459 | ||||||||
1,300 | Mochida Pharmaceutical Co., Ltd. | 75,604 | ||||||||
246,000 | Morinaga & Co., Ltd. | 1,219,046 | ||||||||
165,000 | Morinaga Milk Industry Co., Ltd. | 688,913 | ||||||||
39,700 | MS&AD Insurance Group Holdings‡ | 1,069,623 | ||||||||
58,000 | Nippon Flour Mills Co., Ltd.‡ | 363,266 | ||||||||
23,200 | Nippon Telegraph & Telephone Corp. | 816,138 | ||||||||
105,200 | Nipro Corp. | 1,086,612 | ||||||||
671,000 | Nisshin Oillio Group, Ltd. (The)‡ | 2,440,158 | ||||||||
11,100 | Nissin Foods Holdings Co., Ltd.‡ | 512,708 | ||||||||
22,900 | Noevir Holdings Co., Ltd. | 497,269 | ||||||||
111,900 | NTT DoCoMo, Inc.‡ | 1,879,213 | ||||||||
11,600 | Okinawa Cellular Telephone Co. | 305,834 | ||||||||
11,600 | Paltac Corporation | 211,029 | ||||||||
5,900 | Parco Co., Ltd. | 47,518 | ||||||||
3,300 | Royal Holdings Co., Ltd. | 56,774 | ||||||||
18,500 | Saizeriya Co., Ltd.‡ | 421,210 | ||||||||
38,200 | Secom Co., Ltd. | 2,305,769 | ||||||||
10,200 | Shimano, Inc.‡ | 1,439,936 | ||||||||
1,000 | Shin-Etsu Chemical Co., Ltd. | 51,485 | ||||||||
67,000 | Showa Sangyo Co., Ltd. | 261,374 | ||||||||
6,300 | SMC Corp. | 1,386,003 | ||||||||
64,000 | Sompo Japan Nipponkoa Holdings, Inc. | 1,869,211 | ||||||||
26,500 | Suzuken Co., Ltd. | 887,034 | ||||||||
26,000 | T-Gaia Corp.‡ | 407,938 | ||||||||
3,700 | Takeda Pharmaceutical Co., Ltd. | 163,357 | ||||||||
14,000 | TonenGeneral Sekiyu KK | 136,165 | ||||||||
103,800 | United Super Markets Holdings, Inc. | 877,385 | ||||||||
14,700 | Yoshinoya Holdings Co., Ltd. | 191,558 | ||||||||
|
| |||||||||
Total Japan | 48,068,351 | |||||||||
|
| |||||||||
Luxembourg — 0.1% | ||||||||||
81,162 | Atento SA* | 856,259 | ||||||||
649 | Millicom International Cellular SA | 40,602 | ||||||||
|
| |||||||||
Total Luxembourg | 896,861 | |||||||||
|
| |||||||||
Mexico — 0.2% | ||||||||||
66,362 | Grupo Televisa SAB, Sponsored ADR | 1,726,739 | ||||||||
14,299 | Industrias Penoles SAB de CV‡ | 195,086 | ||||||||
|
| |||||||||
Total Mexico | 1,921,825 | |||||||||
|
|
See accompanying Notes to the Financial Statements. | 111 |
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Netherlands — 1.0% | ||||||||||
40,115 | Heineken Holding NV | 2,857,421 | ||||||||
81,445 | QIAGEN NV* | 2,101,281 | ||||||||
3,736 | RELX NV | 60,933 | ||||||||
83,589 | Unilever NV, ADR | 3,360,517 | ||||||||
|
| |||||||||
Total Netherlands | 8,380,152 | |||||||||
|
| |||||||||
New Zealand — 1.7% | ||||||||||
806,553 | Air New Zealand, Ltd. | 1,270,140 | ||||||||
522,943 | Argosy Property, Ltd. | 351,559 | ||||||||
496,221 | Auckland International Airport, Ltd. | 1,552,703 | ||||||||
186,416 | Chorus, Ltd.* | 318,609 | ||||||||
498,247 | Contact Energy, Ltd. | 1,581,270 | ||||||||
45,005 | Ebos Group, Ltd. | 358,787 | ||||||||
342,913 | Fisher & Paykel Healthcare Corp., Ltd. | 1,557,927 | ||||||||
88,099 | Fletcher Building, Ltd. | 384,199 | ||||||||
23,855 | Freightways, Ltd. | 84,823 | ||||||||
92,766 | Genesis Energy, Ltd. | 108,731 | ||||||||
592,721 | Infratil, Ltd. | 1,163,055 | ||||||||
296,486 | Kiwi Property Group, Ltd. | 244,457 | ||||||||
3,890 | Mainfreight, Ltd. | 37,724 | ||||||||
398,594 | Mighty River Power, Ltd. | 641,655 | ||||||||
61,972 | New Zealand Refining Co., Ltd. (The) | 135,010 | ||||||||
82,976 | Nuplex Industries, Ltd. | 206,541 | ||||||||
290,401 | Precinct Properties New Zealand, Ltd. | 210,994 | ||||||||
26,762 | Sky City Entertainment Group, Ltd. | 64,256 | ||||||||
373,325 | Sky Network Television, Ltd. | 1,111,049 | ||||||||
678,552 | Spark New Zealand, Ltd. | 1,294,189 | ||||||||
118,699 | Summerset Group Holdings, Ltd. | 269,111 | ||||||||
2,773 | TrustPower, Ltd. | 13,166 | ||||||||
135,941 | Vector, Ltd. | 274,298 | ||||||||
181,377 | Z Energy, Ltd.‡ **** | 768,612 | ||||||||
|
| |||||||||
Total New Zealand | 14,002,865 | |||||||||
|
| |||||||||
Norway — 0.9% | ||||||||||
20,824 | Atea ASA | 191,258 | ||||||||
57,569 | DnB NOR ASA | 748,761 | ||||||||
413,175 | Norsk Hydro ASA | 1,377,305 | ||||||||
337,530 | Orkla ASA | 2,502,357 | ||||||||
10,963 | Statoil ASA | 159,602 | ||||||||
129,331 | Telenor ASA | 2,414,526 | ||||||||
|
| |||||||||
Total Norway | 7,393,809 | |||||||||
|
| |||||||||
Panama — 0.0% | ||||||||||
1,300 | Carnival Corp. | 64,610 | ||||||||
|
| |||||||||
Russia — 0.0% | ||||||||||
76,731 | Gazprom PAO, Sponsored ADR | 309,715 | ||||||||
|
|
112 | See accompanying Notes to the Financial Statements. |
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Singapore — 0.4% | ||||||||||
210,000 | Fortune Real Estate Investment Trust REIT | 198,177 | ||||||||
53,800 | Fraser and Neave, Ltd.‡ | 82,549 | ||||||||
14,900 | Great Eastern Holdings, Ltd. | 223,365 | ||||||||
15,200 | Hong Leong Finance, Ltd. | 23,868 | ||||||||
52,700 | Metro Holdings, Ltd. | 32,077 | ||||||||
71,600 | Raffles Medical Group, Ltd. | 227,748 | ||||||||
58,800 | SATS, Ltd. | 158,427 | ||||||||
70,900 | Singapore Airlines, Ltd. | 534,501 | ||||||||
160,500 | SPH REIT | 105,752 | ||||||||
495,100 | StarHub, Ltd. | 1,206,754 | ||||||||
126,400 | Wilmar International, Ltd. | 229,291 | ||||||||
|
| |||||||||
Total Singapore | 3,022,509 | |||||||||
|
| |||||||||
South Africa — 0.1% | ||||||||||
41,885 | AngloGold Ashanti, Ltd., Sponsored ADR* | 343,038 | ||||||||
44,275 | Gold Fields, Ltd., Sponsored ADR‡ | 117,772 | ||||||||
|
| |||||||||
Total South Africa | 460,810 | |||||||||
|
| |||||||||
South Korea — 0.4% | ||||||||||
25,056 | Kia Motors Corp. | 1,136,542 | ||||||||
17,383 | KT&G Corp. | 1,638,896 | ||||||||
223 | Lotte Confectionery Co., Ltd. | 414,335 | ||||||||
|
| |||||||||
Total South Korea | 3,189,773 | |||||||||
|
| |||||||||
Spain — 0.5% | ||||||||||
18,801 | Ebro Foods SA | 369,291 | ||||||||
26,500 | Endesa SA | 557,777 | ||||||||
422,865 | Iberdrola SA | 2,810,570 | ||||||||
|
| |||||||||
Total Spain | 3,737,638 | |||||||||
|
| |||||||||
Sweden — 1.2% | ||||||||||
44,104 | Axfood AB | 726,361 | ||||||||
7,647 | Clas Ohlson AB Class B | 116,795 | ||||||||
69,361 | Hennes & Mauritz AB Class B | 2,530,913 | ||||||||
2,473 | Industrial & Financial Systems Class B | 87,166 | ||||||||
39,124 | Investor AB Class B | 1,343,817 | ||||||||
102,697 | Svenska Cellulosa AB Class B | 2,871,911 | ||||||||
62,771 | Swedish Match AB | 1,896,419 | ||||||||
|
| |||||||||
Total Sweden | 9,573,382 | |||||||||
|
| |||||||||
Switzerland — 3.2% | ||||||||||
19,500 | Allied World Assurance Co. Holdings AG | 744,315 | ||||||||
7,658 | Allreal Holding AG* | 999,657 | ||||||||
720 | Alpiq Holding AG* ‡ | 70,505 | ||||||||
768 | APG SGA SA | 297,413 | ||||||||
876 | Banque Cantonale de Geneve | 225,874 | ||||||||
1,472 | Banque Cantonale Vaudoise | 867,430 | ||||||||
1,775 | Basler Kantonalbank | 119,222 |
See accompanying Notes to the Financial Statements. | 113 |
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
Switzerland — continued | ||||||||||
18 | Bell AG | 50,007 | ||||||||
252 | Berner Kantonalbank AG | 46,946 | ||||||||
6,265 | BKW AG | 238,776 | ||||||||
466 | dorma+Kaba Holding AG | 285,739 | ||||||||
277 | Emmi AG* | 115,495 | ||||||||
2,229 | Flughafen Zuerich AG | 1,549,117 | ||||||||
2,137 | Galenica AG | 2,719,953 | ||||||||
330 | Graubuendner Kantonalbank | 534,469 | ||||||||
2,088 | Intershop Holding AG | 867,659 | ||||||||
1,686 | Kuehne + Nagel International AG | 216,425 | ||||||||
244 | Luzerner Kantonalbank AG | 88,698 | ||||||||
27 | Metall Zug AG Class B | 71,016 | ||||||||
3,279 | Mobimo Holding AG* | 660,382 | ||||||||
131,594 | Nestle SA | 9,884,528 | ||||||||
367 | Novartis AG | 33,720 | ||||||||
1,184 | St Galler Kantonalbank AG | 431,861 | ||||||||
17,294 | Swiss Prime Site AG* | 1,262,499 | ||||||||
4,028 | Swisscom AG | 2,008,463 | ||||||||
1,498 | Tamedia AG | 245,287 | ||||||||
2,099 | Thurgauer Kantonalbank | 169,353 | ||||||||
2,137 | Valora Holding AG* | 406,291 | ||||||||
44 | Walliser Kantonalbank | 33,371 | ||||||||
7,112 | Ypsomed Holding AG* | 767,906 | ||||||||
32 | Zug Estates Holding AG Class B* | 46,117 | ||||||||
|
| |||||||||
Total Switzerland | 26,058,494 | |||||||||
|
| |||||||||
Thailand — 0.1% | ||||||||||
188,000 | Bangkok Bank PCL, NVDR | 830,536 | ||||||||
|
| |||||||||
United Kingdom — 7.0% | ||||||||||
14,677 | Aldermore Group Plc* | 62,344 | ||||||||
14,659 | Anglo American Plc | 122,795 | ||||||||
14,300 | Aon Plc | 1,267,123 | ||||||||
19,819 | Berkeley Group Holdings Plc | 1,004,817 | ||||||||
62,118 | British American Tobacco Plc | 3,437,593 | ||||||||
149,229 | BT Group Plc | 950,846 | ||||||||
9,222 | Carnival Plc | 476,639 | ||||||||
240,829 | Centrica Plc | 837,984 | ||||||||
14,927 | Cranswick Plc | 361,143 | ||||||||
6,510 | CVS Group Plc | 68,216 | ||||||||
104,433 | Debenhams Plc | 125,207 | ||||||||
7,565 | Dechra Pharmaceuticals Plc | 107,729 | ||||||||
31,423 | Diageo Plc | 846,726 | ||||||||
13,876 | EMIS Group Plc | 220,936 | ||||||||
63,218 | Fresnillo Plc | 567,471 | ||||||||
7,960 | Genus Plc | 171,516 | ||||||||
116,372 | GlaxoSmithKline Plc | 2,233,768 | ||||||||
20,993 | Great Portland Estates Plc REIT | 272,364 | ||||||||
109,445 | Greggs Plc | 1,802,609 |
114 | See accompanying Notes to the Financial Statements. |
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
35,193 | Halfords Group Plc | 246,530 | ||||||||
9,514 | Headlam Group Plc | 72,461 | ||||||||
54,099 | Imperial Tobacco Group Plc | 2,803,769 | ||||||||
166,710 | Inchcape Plc | 1,820,353 | ||||||||
165,043 | Indivior Plc | 568,441 | ||||||||
118,579 | International Game Technology Plc‡ | 1,817,816 | ||||||||
330,252 | Intu Properties Plc REIT | 1,652,750 | ||||||||
95,507 | Kcom Group Plc | 128,900 | ||||||||
54,542 | Kennedy Wilson Europe Real Estate Plc | 941,099 | ||||||||
7,089 | Kingfisher Plc | 38,599 | ||||||||
62,690 | Land Securities Group Plc REIT | 1,198,333 | ||||||||
24,932 | Liberty Global Plc Series C* | 1,022,711 | ||||||||
2,851 | Liberty Global Plc Class A* | 122,422 | ||||||||
1,164 | Liberty Global Plc LiLAC Class C* | 39,855 | ||||||||
142 | Liberty Global Plc LiLAC Class A* | 4,784 | ||||||||
6,648,783 | Lloyds TSB Group Plc | 7,589,457 | ||||||||
113,924 | Londonmetric Property Plc REIT | 283,603 | ||||||||
95,831 | Lookers Plc | 242,369 | ||||||||
20,760 | Moneysupermarket.com Group Plc | 106,509 | ||||||||
204,055 | National Grid Plc | 2,845,583 | ||||||||
16,400 | Next Plc | 1,895,289 | ||||||||
28,325 | Primary Health Properties Plc REIT | 173,839 | ||||||||
22,453 | Reckitt Benckiser Group Plc | 2,040,778 | ||||||||
378,926 | Rentokil Initial Plc | 846,391 | ||||||||
15,809 | Severn Trent Plc | 524,099 | ||||||||
60,147 | Shaftesbury Plc REIT | 836,751 | ||||||||
114,092 | SSE Plc | 2,590,865 | ||||||||
1,492 | Stallergenes Greer* | 73,263 | ||||||||
25,712 | Synergy Health Plc* | 846,333 | ||||||||
2,631,091 | Tesco Plc | 7,320,724 | ||||||||
72,889 | Tritax Big Box Plc REIT | 140,827 | ||||||||
1,857 | WH Smith Plc | 44,059 | ||||||||
146,554 | WM Morrison Supermarkets Plc | 369,698 | ||||||||
|
| |||||||||
Total United Kingdom | 56,187,086 | |||||||||
|
| |||||||||
United States — 48.1% | ||||||||||
27,054 | 3M Co. | 3,835,446 | ||||||||
37,400 | Abbott Laboratories | 1,504,228 | ||||||||
1,400 | Advance Auto Parts, Inc. | 265,342 | ||||||||
13,200 | Aetna, Inc. | 1,444,212 | ||||||||
3,400 | AGL Resources, Inc. | 207,536 | ||||||||
4,700 | Airgas, Inc. | 419,851 | ||||||||
6,600 | Akamai Technologies, Inc.* | 455,796 | ||||||||
10,400 | Alexandria Real Estate Equities, Inc. REIT | 880,568 | ||||||||
3,388 | Alleghany Corp.* | 1,585,957 | ||||||||
11,100 | Alliant Energy Corp. | 649,239 | ||||||||
11,442 | Altera Corp. | 573,015 | ||||||||
44,200 | Altria Group, Inc. | 2,404,480 | ||||||||
2,500 | Amazon.com, Inc.* | 1,279,725 |
See accompanying Notes to the Financial Statements. | 115 |
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
23,000 | Amdocs, Ltd. | 1,308,240 | ||||||||
25,100 | Ameren Corp. | 1,060,977 | ||||||||
18,800 | American Campus Communities, Inc. REIT | 681,312 | ||||||||
24,100 | American Electric Power Co., Inc. | 1,370,326 | ||||||||
38,733 | American Express Co. | 2,871,277 | ||||||||
16,000 | American Financial Group, Inc. | 1,102,560 | ||||||||
18,124 | American International Group, Inc. | 1,029,806 | ||||||||
13,400 | AmerisourceBergen Corp. | 1,272,866 | ||||||||
108,500 | Annaly Capital Management, Inc. REIT | 1,070,895 | ||||||||
13,900 | ANSYS, Inc.* | 1,225,146 | ||||||||
9,478 | Anthem, Inc. | 1,326,920 | ||||||||
6,600 | Apple, Inc. | 727,980 | ||||||||
37,200 | Aramark | 1,102,608 | ||||||||
11,200 | Archer-Daniels-Midland Co. | 464,240 | ||||||||
24,200 | Arthur J. Gallagher & Co. | 998,976 | ||||||||
72,900 | AT&T, Inc. | 2,375,082 | ||||||||
12,000 | Atmos Energy Corp. | 698,160 | ||||||||
7,564 | Automatic Data Processing, Inc. | 607,843 | ||||||||
14,300 | AutoNation, Inc.* | 831,974 | ||||||||
1,900 | AutoZone, Inc.* | 1,375,277 | ||||||||
2,600 | AvalonBay Communities, Inc. REIT | 454,532 | ||||||||
16,400 | Bank of Hawaii Corp. | 1,041,236 | ||||||||
207,639 | Bank of New York Mellon Corp. (The) | 8,129,067 | ||||||||
20,300 | Baxter International, Inc. | 666,855 | ||||||||
41,839 | BB&T Corp. | 1,489,468 | ||||||||
8,700 | Becton Dickinson and Co. | 1,154,142 | ||||||||
10,575 | Bed Bath & Beyond, Inc.* | 602,987 | ||||||||
8 | Berkshire Hathaway, Inc. Class A* | 1,561,920 | ||||||||
12,500 | Berkshire Hathaway, Inc. Class B* | 1,630,000 | ||||||||
5,700 | Bio-Rad Laboratories, Inc. Class A* | 765,567 | ||||||||
1,100 | Bio-Techne Corp. | 101,706 | ||||||||
3,300 | Boeing Co. (The) | 432,135 | ||||||||
17,500 | Brinker International, Inc. | 921,725 | ||||||||
14,100 | Bristol-Myers Squibb Co. | 834,720 | ||||||||
18,600 | Broadridge Financial Solutions, Inc. | 1,029,510 | ||||||||
21,316 | Brown & Brown, Inc. | 660,157 | ||||||||
37,300 | CA, Inc. | 1,018,290 | ||||||||
12,200 | Campbell Soup Co. | 618,296 | ||||||||
18,700 | Cardinal Health, Inc. | 1,436,534 | ||||||||
4,025 | Care Capital Properties, Inc. REIT | 132,543 | ||||||||
300 | Carter’s, Inc. | 27,192 | ||||||||
2,000 | CDK Global, Inc. | 95,560 | ||||||||
100 | Chipotle Mexican Grill, Inc.* | 72,025 | ||||||||
24,367 | Cincinnati Financial Corp. | 1,310,945 | ||||||||
16,500 | Cinemark Holdings, Inc. | 536,085 | ||||||||
22,756 | Cintas Corp. | 1,951,327 | ||||||||
9,700 | Clean Harbors, Inc.* | 426,509 | ||||||||
11,900 | Clorox Co. (The) | 1,374,807 | ||||||||
12,100 | Coca-Cola Co. (The) | 485,452 | ||||||||
2,900 | Coca-Cola Enterprises, Inc. | 140,215 |
116 | See accompanying Notes to the Financial Statements. |
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
26,897 | Colgate-Palmolive Co. | 1,706,884 | ||||||||
56,798 | Comcast Corp. Class A | 3,251,118 | ||||||||
25,300 | Commerce Bancshares, Inc. | 1,152,668 | ||||||||
5,356 | Commvault Systems, Inc.* | 181,890 | ||||||||
14,400 | ConAgra Foods, Inc. | 583,344 | ||||||||
18,751 | ConocoPhillips | 899,298 | ||||||||
20,600 | Consolidated Edison, Inc. | 1,377,110 | ||||||||
12,000 | Costco Wholesale Corp. | 1,734,840 | ||||||||
7,100 | CR Bard, Inc. | 1,322,801 | ||||||||
4,300 | Crown Castle International Corp. REIT | 339,141 | ||||||||
14,600 | CST Brands, Inc. | 491,436 | ||||||||
20,200 | CVS Health Corp. | 1,948,896 | ||||||||
17,400 | Darden Restaurants, Inc. | 1,192,596 | ||||||||
11,500 | DaVita HealthCare Partners, Inc.* | 831,795 | ||||||||
12,603 | Deere & Co.‡ | 932,622 | ||||||||
7,600 | DENTSPLY International, Inc. | 384,332 | ||||||||
25,986 | Devon Energy Corp. | 963,821 | ||||||||
10,200 | Dick’s Sporting Goods, Inc. | 506,022 | ||||||||
18,000 | Digital Realty Trust, Inc. REIT | 1,175,760 | ||||||||
4,200 | Dillard’s, Inc. Class A | 367,038 | ||||||||
17,100 | Dollar General Corp. | 1,238,724 | ||||||||
800 | Domino’s Pizza, Inc. | 86,328 | ||||||||
16,500 | Dr Pepper Snapple Group, Inc. | 1,304,325 | ||||||||
15,800 | DTE Energy Co. | 1,269,846 | ||||||||
17,000 | Duke Energy Corp. | 1,222,980 | ||||||||
26,900 | East-West Bancorp, Inc. | 1,033,498 | ||||||||
316,608 | eBay, Inc.* | 7,737,900 | ||||||||
18,400 | Edison International | 1,160,488 | ||||||||
21,200 | Eli Lilly & Co. | 1,774,228 | ||||||||
17,700 | Entergy Corp. | 1,152,270 | ||||||||
1,600 | Equifax, Inc. | 155,488 | ||||||||
14,900 | Equity LifeStyle Properties, Inc. REIT | 872,693 | ||||||||
2,300 | Erie Indemnity Co. Class A | 190,762 | ||||||||
5,300 | Essex Property Trust, Inc. REIT | 1,184,126 | ||||||||
10,400 | Expedia, Inc. | 1,223,872 | ||||||||
4,200 | Exxon Mobil Corp. | 312,270 | ||||||||
400 | Facebook, Inc. Class A* | 35,960 | ||||||||
2,700 | FedEx Corp. | 388,746 | ||||||||
50,000 | First Niagara Financial Group, Inc. | 510,500 | ||||||||
12,300 | FirstEnergy Corp. | 385,113 | ||||||||
5,300 | Fiserv, Inc.* | 459,033 | ||||||||
22,729 | Flowserve Corp. | 935,071 | ||||||||
32,016 | FMC Technologies, Inc.* | 992,496 | ||||||||
11,400 | General Dynamics Corp. | 1,572,630 | ||||||||
25,100 | General Mills, Inc. | 1,408,863 | ||||||||
11,783 | Google, Inc. Class A* | 7,521,914 | ||||||||
5,403 | Google, Inc. Class C* | 3,287,293 | ||||||||
11,238 | H&R Block, Inc. | 406,816 | ||||||||
10,300 | Hanover Insurance Group, Inc. (The) | 800,310 | ||||||||
11,800 | Health Net, Inc.* | 710,596 |
See accompanying Notes to the Financial Statements. | 117 |
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
20,300 | Healthcare Trust of America, Inc. REIT Class A | 497,553 | ||||||||
8,900 | Henry Schein, Inc.* | 1,181,208 | ||||||||
15,400 | Hill-Rom Holdings, Inc. | 800,646 | ||||||||
99,308 | Home Depot, Inc. (The) | 11,469,081 | ||||||||
16,900 | Honeywell International, Inc. | 1,600,261 | ||||||||
19,000 | Hormel Foods Corp. | 1,202,890 | ||||||||
26,700 | Hospitality Properties Trust REIT | 682,986 | ||||||||
4,400 | Huntington Ingalls Industries, Inc. | 471,460 | ||||||||
12,100 | IAC/InterActiveCorp | 789,767 | ||||||||
2,500 | Ingram Micro, Inc. Class A | 68,100 | ||||||||
13,200 | Ingredion, Inc. | 1,152,492 | ||||||||
374,980 | Intel Corp. | 11,301,897 | ||||||||
80,555 | International Business Machines Corp. | 11,678,058 | ||||||||
14,200 | Intuit, Inc. | 1,260,250 | ||||||||
13,900 | Jack Henry & Associates, Inc. | 967,579 | ||||||||
33,531 | Johnson & Johnson | 3,130,119 | ||||||||
3,300 | Jones Lang Lasalle, Inc. | 474,441 | ||||||||
9,900 | Kellogg Co. | 658,845 | ||||||||
14,700 | Kimberly-Clark Corp. | 1,602,888 | ||||||||
30,900 | Kroger Co. (The) | 1,114,563 | ||||||||
6,700 | Leidos Holdings, Inc. | 276,777 | ||||||||
8,700 | LifePoint Health, Inc.* | 616,830 | ||||||||
36,393 | Linear Technology Corp. | 1,468,458 | ||||||||
15,234 | Lockheed Martin Corp. | 3,158,161 | ||||||||
187,748 | Lowe’s Cos., Inc. | 12,939,592 | ||||||||
2,100 | M&T Bank Corp. | 256,095 | ||||||||
3,900 | Macy’s, Inc. | 200,148 | ||||||||
4,239 | Martin Marietta Materials, Inc. | 644,116 | ||||||||
71,807 | Mastercard, Inc. Class A | 6,471,247 | ||||||||
3,300 | McCormick & Co., Inc. | 271,194 | ||||||||
33,123 | McDonald’s Corp. | 3,263,609 | ||||||||
8,400 | McKesson Corp. | 1,554,252 | ||||||||
44,200 | Merck & Co., Inc. | 2,183,038 | ||||||||
3,900 | Mercury General Corp. | 196,989 | ||||||||
900 | Mettler-Toledo International, Inc.* | 256,266 | ||||||||
477,896 | Microsoft Corp. | 21,151,677 | ||||||||
11,900 | Mid-America Apartment Communities, Inc. REIT | 974,253 | ||||||||
6,500 | Murphy USA, Inc.* | 357,175 | ||||||||
23,400 | National Instruments Corp. | 650,286 | ||||||||
54,746 | National Oilwell Varco, Inc. | 2,061,187 | ||||||||
46,900 | New York Community Bancorp, Inc. | 847,014 | ||||||||
2,600 | Newmont Mining Corp. | 41,782 | ||||||||
1,000 | NIKE, Inc. Class B | 122,970 | ||||||||
18,300 | Northern Trust Corp. | 1,247,328 | ||||||||
14,485 | Northrop Grumman Corp. | 2,403,786 | ||||||||
22,883 | NOW, Inc.* ‡ | 338,668 | ||||||||
5,900 | O’Reilly Automotive, Inc.* | 1,475,000 | ||||||||
43,830 | Omnicom Group, Inc. | 2,888,397 | ||||||||
302,729 | Oracle Corp. | 10,934,571 | ||||||||
10,536 | Orbital ATK, Inc. | 757,222 |
118 | See accompanying Notes to the Financial Statements. |
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
900 | Panera Bread Co. Class A* | 174,069 | ||||||||
21,400 | Patterson Cos., Inc. | 925,550 | ||||||||
302,370 | PayPal Holdings, Inc.* | 9,385,565 | ||||||||
39,800 | People’s United Financial, Inc. | 626,054 | ||||||||
22,500 | PepsiCo, Inc. | 2,121,750 | ||||||||
75,700 | Pfizer, Inc. | 2,377,737 | ||||||||
25,400 | PG&E Corp. | 1,341,120 | ||||||||
30,800 | Philip Morris International, Inc. | 2,443,364 | ||||||||
3,291 | Phillips 66 | 252,880 | ||||||||
32,600 | Piedmont Office Realty Trust, Inc. REIT Class A | 583,214 | ||||||||
17,400 | Pinnacle Foods, Inc. | 728,712 | ||||||||
17,500 | Pinnacle West Capital Corp. | 1,122,450 | ||||||||
39,576 | Plum Creek Timber Co., Inc. REIT | 1,563,648 | ||||||||
9,400 | Post Properties, Inc. REIT | 547,926 | ||||||||
3,655 | Praxair, Inc. | 372,298 | ||||||||
22,000 | Procter & Gamble Co. (The) | 1,582,680 | ||||||||
44,400 | Progressive Corp. (The) | 1,360,416 | ||||||||
31,300 | Public Service Enterprise Group, Inc. | 1,319,608 | ||||||||
5,800 | Public Storage REIT | 1,227,454 | ||||||||
80,713 | QUALCOMM, Inc. | 4,336,709 | ||||||||
29,400 | Republic Services, Inc. | 1,211,280 | ||||||||
12,600 | Reynolds American, Inc. | 557,802 | ||||||||
7,378 | Royal Gold, Inc. | 346,618 | ||||||||
4,672 | San Juan Basin Royalty Trust | 44,197 | ||||||||
17,645 | Scotts Miracle-Gro Co. (The) Class A | 1,073,169 | ||||||||
1,700 | Sherwin-Williams Co. (The) | 378,726 | ||||||||
7,600 | Signature Bank* | 1,045,456 | ||||||||
9,700 | Southern Co. (The) | 433,590 | ||||||||
13,100 | St. Jude Medical, Inc. | 826,479 | ||||||||
35,400 | Starbucks Corp. | 2,012,136 | ||||||||
77,340 | State Street Corp. | 5,198,021 | ||||||||
8,400 | Stericycle, Inc.* | 1,170,204 | ||||||||
14,700 | Stryker Corp. | 1,383,270 | ||||||||
300 | Synchrony Financial* | 9,390 | ||||||||
25,000 | Synopsys, Inc.* | 1,154,500 | ||||||||
34,500 | Sysco Corp. | 1,344,465 | ||||||||
122,162 | Target Corp. | 9,609,263 | ||||||||
25,400 | TCF Financial Corp. | 385,064 | ||||||||
8,900 | Teleflex, Inc. | 1,105,469 | ||||||||
7,100 | Telephone & Data Systems, Inc. | 177,216 | ||||||||
44,739 | Teradata Corp.* | 1,295,641 | ||||||||
30,991 | Texas Instruments, Inc. | 1,534,674 | ||||||||
13,700 | TFS Financial Corp. | 236,325 | ||||||||
15,523 | Timken Co. (The) | 426,727 | ||||||||
7,900 | TJX Cos. (The), Inc. | 564,218 | ||||||||
7,900 | Toro Co. | 557,266 | ||||||||
3,300 | Total System Services, Inc. | 149,919 | ||||||||
12,100 | Travelers Cos., Inc. (The) | 1,204,313 | ||||||||
16,900 | Two Harbors Investment Corp. REIT | 149,058 | ||||||||
29,164 | UGI Corp. | 1,015,490 |
See accompanying Notes to the Financial Statements. | 119 |
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
500 | Ulta Salon Cosmetics & Fragrance, Inc.* | 81,675 | ||||||||
4,014 | Union Pacific Corp. | 354,878 | ||||||||
12,000 | United Parcel Service, Inc. Class B | 1,184,280 | ||||||||
16,000 | UnitedHealth Group, Inc. | 1,856,160 | ||||||||
1,900 | Universal Health Services, Inc. Class B | 237,139 | ||||||||
35,244 | US Bancorp | 1,445,356 | ||||||||
1,100 | Varian Medical Systems, Inc.* | 81,158 | ||||||||
18,900 | Vectren Corp. | 793,989 | ||||||||
16,100 | Ventas, Inc. REIT | 902,566 | ||||||||
16,700 | VeriSign, Inc.* | 1,178,352 | ||||||||
54,200 | Verizon Communications, Inc. | 2,358,242 | ||||||||
170,204 | Visa, Inc. Class A | 11,856,411 | ||||||||
18,491 | Vista Outdoor, Inc.* | 821,555 | ||||||||
7,465 | Vulcan Materials Co. | 665,878 | ||||||||
2,503 | W.W. Grainger, Inc.‡ | 538,170 | ||||||||
38,947 | Wal-Mart Stores, Inc. | 2,525,323 | ||||||||
19,500 | Waste Connections, Inc. | 947,310 | ||||||||
25,900 | Waste Management, Inc. | 1,290,079 | ||||||||
1,900 | Waters Corp.* | 224,599 | ||||||||
148,447 | Wells Fargo & Co. | 7,622,753 | ||||||||
2,000 | Welltower, Inc. REIT | 135,440 | ||||||||
39,480 | Weyerhaeuser Co. REIT | 1,079,383 | ||||||||
14,100 | WP Carey, Inc. REIT | 815,121 | ||||||||
23,859 | WR Berkley Corp. | 1,297,214 | ||||||||
3,300 | Xcel Energy, Inc. | 116,853 | ||||||||
29,070 | Xilinx, Inc. | 1,232,568 | ||||||||
139,050 | Yum! Brands, Inc. | 11,117,048 | ||||||||
|
| |||||||||
Total United States | 388,653,740 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $681,508,589) | 688,473,339 | |||||||||
|
| |||||||||
INVESTMENT COMPANY — 1.3% | ||||||||||
United States — 1.3% |
| |||||||||
97,935 | SPDR Gold Shares* ‡ | 10,465,334 | ||||||||
|
| |||||||||
TOTAL INVESTMENT COMPANY (COST $12,385,257) | 10,465,334 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 0.4% | ||||||||||
Germany — 0.3% |
| |||||||||
24,574 | Henkel AG & Co. KGaA, 1.41% | 2,522,279 | ||||||||
2,860 | Hornbach Holding AG, 1.10% | 229,903 | ||||||||
|
| |||||||||
Total Germany | 2,752,182 | |||||||||
|
| |||||||||
Japan — 0.1% |
| |||||||||
199 | Shinkin Central Bank, 3.18% | 366,451 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $3,138,015) | 3,118,633 | |||||||||
|
|
120 | See accompanying Notes to the Financial Statements. |
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2015 (Unaudited)
Shares | Description | Value ($) | ||||||||
WARRANTS — 0.1% |
| |||||||||
United States — 0.1% |
| |||||||||
16,569 | JPMorgan Chase & Co., Strike Price $0.00, Expires 10/28/18* | 329,889 | ||||||||
|
| |||||||||
TOTAL WARRANTS (COST $263,279) | 329,889 | |||||||||
|
| |||||||||
Par Value** | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 0.2% | ||||||||||
Sovereign Debt Obligations — 0.2% |
| |||||||||
4,370,000 | MXN | Mexican Bonos, 4.75%, due 06/14/18 | 259,141 | |||||||
3,806,100 | MXN | Mexican Bonos, 5.00%, due 12/11/19 | 223,361 | |||||||
444,000 | SGD | Singapore Government Bond, 3.25%, due 09/01/20 | 330,682 | |||||||
734,000 | SGD | Singapore Government Bond, 2.38%, due 04/01/17 | 524,470 | |||||||
$ | 773,000 | SGD | Singapore Government Bond, 0.50%, due 04/01/18 | 530,863 | ||||||
|
| |||||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (COST $2,129,418) | 1,868,517 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $2,129,418) | 1,868,517 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 16.5% | ||||||||||
Bank Deposit — 12.5% | ||||||||||
101,316,514 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/01/15 | 101,316,514 | ||||||||
|
| |||||||||
Securities Lending Collateral — 4.0% | ||||||||||
32,432,139 | State Street Institutional U.S. Government Money Market Fund, Premier Class*** | 32,432,139 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $133,748,653) | 133,748,653 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 103.7% (Cost $833,173,211) | 838,004,365 | |||||||||
Other Assets and Liabilities (net) — (3.7)% | (29,942,843 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 808,061,522 | ||||||||
|
| |||||||||
Notes to Schedule of Investments: | ||||||||||
ADR — American 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. | |||||||||
**** | 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 $768,612 which represents 0.1% of net assets. The aggregate tax cost of these securities held at September 30, 2015 was $651,115. | |||||||||
‡ | All or a portion of this security is out on loan. |
See accompanying Notes to the Financial Statements. | 121 |
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
A summary of outstanding financial instruments at September 30, 2015 is as follows:
Forward Foreign Currency Contracts
Settlement | Currency | Counterparty | Units of | Value | Unrealized | |||||||||||||||
Sales | ||||||||||||||||||||
10/21/15 | EUR | Bank of New York | 234,000 | $ | 261,276 | $ | (4,337 | ) | ||||||||||||
11/18/15 | EUR | Goldman Sachs | 261,000 | 291,553 | (512 | ) | ||||||||||||||
12/16/15 | EUR | HSBC Bank USA | 210,000 | 234,711 | 2,285 | |||||||||||||||
10/21/15 | GBP | Bank of New York | 129,000 | 195,385 | 5,676 | |||||||||||||||
11/18/15 | GBP | Goldman Sachs | 108,000 | 163,555 | 3,292 | |||||||||||||||
10/21/15 | JPY | Bank of New York | 67,027,000 | 559,777 | (19,799 | ) | ||||||||||||||
11/18/15 | JPY | Goldman Sachs | 59,617,000 | 498,066 | (3,569 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (16,964 | ) | ||||||||||||||||||
|
|
Currency Abbreviations
EUR | — Euro |
GBP | — British Pound Sterling |
JPY | — Japanese Yen |
MXN | — Mexican Peso |
SGD | — Singapore Dollar |
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
18 | Canadian Dollar | December 2015 | $ | 1,347,840 | $ | (13,860 | ) | |||||||||||
180 | MSCI EAFE E-mini Index | December 2015 | 14,845,500 | (349,054 | ) | |||||||||||||
228 | S&P 500 E-mini Index | December 2015 | 21,759,180 | (323,978 | ) | |||||||||||||
10 | S&P/TSX 60 Index | December 2015 | 1,163,571 | (11,412 | ) | |||||||||||||
|
| |||||||||||||||||
$ | (698,304 | ) | ||||||||||||||||
|
|
122 | See accompanying Notes to the Financial Statements. |
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Retail | 9.9 | ||||
Food | 7.9 | ||||
Banks | 6.0 | ||||
Pharmaceuticals | 5.1 | ||||
Software | 5.1 | ||||
Commercial Services | 4.7 | ||||
Electric | 4.5 | ||||
Telecommunications | 4.1 | ||||
Insurance | 3.1 | ||||
Internet | 3.1 | ||||
REITS | 2.7 | ||||
Agriculture | 2.3 | ||||
Computers | 2.1 | ||||
Semiconductors | 2.1 | ||||
Health Care — Products | 1.8 | ||||
Beverages | 1.7 | ||||
Commodity Fund | 1.3 | ||||
Health Care — Services | 1.3 | ||||
Media | 1.3 | ||||
Aerospace & Defense | 1.1 | ||||
Household Products & Wares | 1.1 | ||||
Real Estate | 1.0 | ||||
Electronics | 0.9 | ||||
Mining | 0.9 | ||||
Cosmetics & Personal Care | 0.8 | ||||
Miscellaneous — Manufacturing | 0.8 | ||||
Building Materials | 0.7 | ||||
Diversified Financial Services | 0.7 | ||||
Engineering & Construction | 0.7 | ||||
Environmental Control | 0.7 | ||||
Oil & Gas | 0.6 | ||||
Advertising | 0.5 | ||||
Holding Companies — Diversified | 0.5 | ||||
Biotechnology | 0.4 | ||||
Forest Products & Paper | 0.4 | ||||
Gas | 0.4 | ||||
Leisure Time | 0.4 | ||||
Machinery — Diversified | 0.4 | ||||
Oil & Gas Services | 0.4 | ||||
Transportation | 0.4 | ||||
Airlines | 0.3 | ||||
Chemicals | 0.3 | ||||
Distribution & Wholesale | 0.3 | ||||
Entertainment | 0.3 | ||||
Investment Companies | 0.3 | ||||
Metal Fabricate & Hardware | 0.3 | ||||
Hand & Machine Tools | 0.2 | ||||
Savings & Loans | 0.2 | ||||
Sovereign | 0.2 | ||||
Textiles | 0.2 |
See accompanying Notes to the Financial Statements. | 123 |
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Auto Manufacturers | 0.1 | ||||
Home Builders | 0.1 | ||||
Housewares | 0.1 | ||||
Iron & Steel | 0.1 | ||||
Packaging & Containers | 0.1 | ||||
Shipbuilding | 0.1 | ||||
Water | 0.1 | ||||
Apparel | 0.0 | ||||
Electrical Components & Equipment | 0.0 | ||||
Lodging | 0.0 | ||||
Office & Business Equipment | 0.0 | ||||
Short-Term Investments and Other Assets and Liabilities (net) | 12.8 | ||||
|
| ||||
100.0 | % | ||||
|
|
124 | See accompanying Notes to the Financial Statements. |
Mercer Funds
Statements of Assets and Liabilities
September 30, 2015 (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) | $ | 391,142,787 | $ | 357,565,621 | $ | 464,368,926 | $ | 475,107,222 | ||||||||||||
Foreign currency, at value(b) | — | — | 97,650 | — | ||||||||||||||||
Cash | 45,172 | 25,510 | 13,294 | 58,453 | ||||||||||||||||
Receivable for investments sold | 2,996,597 | 2,387,404 | 4,099,538 | 2,863,863 | ||||||||||||||||
Dividend and interest receivable | 269,322 | 437,639 | 190,783 | 485,429 | ||||||||||||||||
Cash collateral held at broker on open futures contracts | 792,000 | 806,000 | 1,005,000 | 1,105,000 | ||||||||||||||||
Receivable for variation margin on open futures contracts | 302,375 | 272,210 | 341,357 | 298,410 | ||||||||||||||||
Foreign tax reclaims receivable | 186,424 | 7,038 | 47,554 | — | ||||||||||||||||
Securities lending income receivable | 37,410 | 7,385 | 11,314 | 45,546 | ||||||||||||||||
Prepaid expenses | 5,522 | 5,229 | 6,560 | 6,207 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total assets | 395,777,609 | 361,514,036 | 470,181,976 | 479,970,130 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Liabilities | ||||||||||||||||||||
Payable for investments purchased | 7,117,450 | 4,524,189 | 10,371,934 | 11,832,223 | ||||||||||||||||
Obligation to return securities lending collateral | 28,055,206 | 6,345,778 | 19,797,456 | 32,139,919 | ||||||||||||||||
Payable to affiliate for: | ||||||||||||||||||||
Advisory fees | 163,563 | 154,122 | 332,001 | 321,138 | ||||||||||||||||
Accrued expenses | 54,062 | 63,847 | 73,661 | 69,431 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total liabilities | 35,390,281 | 11,087,936 | 30,575,052 | 44,362,711 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | $ | 360,387,328 | $ | 350,426,100 | $ | 439,606,924 | $ | 435,607,419 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets consist of: | ||||||||||||||||||||
Paid-in capital | 310,482,671 | 320,321,117 | 392,610,628 | 447,273,132 | ||||||||||||||||
Accumulated undistributed (distributions in excess of) net investment income | 1,225,369 | 4,315,181 | (1,105,021 | ) | 843,953 | |||||||||||||||
Accumulated net realized gain | 35,536,644 | 38,289,571 | 22,603,232 | 14,456,592 | ||||||||||||||||
Net unrealized appreciation (depreciation) on investments, futures contracts and foreign currencies | 13,142,644 | (12,499,769 | ) | 25,498,085 | (26,966,258 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | $ | 360,387,328 | $ | 350,426,100 | $ | 439,606,924 | $ | 435,607,419 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets attributable to: | ||||||||||||||||||||
Class Y-3 shares | $ | 360,387,328 | $ | 350,426,100 | $ | 439,606,924 | $ | 435,607,419 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding: | ||||||||||||||||||||
Class Y-3 | 34,251,157 | 33,604,780 | 40,277,050 | 51,044,689 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net asset value per share: | ||||||||||||||||||||
Class Y-3 | $ | 10.52 | $ | 10.43 | $ | 10.91 | $ | 8.53 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(a) Investments, at cost | $ | 377,729,001 | $ | 369,798,588 | $ | 437,942,269 | $ | 501,313,617 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(b) Foreign currency, at cost | $ | — | $ | — | $ | 98,162 | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements. | 125 |
Mercer Funds
Statements of Assets and Liabilities (Continued)
September 30, 2015 (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) | $ | 2,021,161,960 | $ | 910,924,896 | $ | 391,307,063 | $ | 1,004,975,656 | ||||||||||||
Foreign currency, at value(b) | 3,095,497 | — | — | 2,480,832 | ||||||||||||||||
Cash | — | 27,781 | 43,947 | 1,483,938 | ||||||||||||||||
Receivable for investments sold | 20,097,901 | 14,570,788 | — | 2,347,625 | ||||||||||||||||
Receivable for TBA securities sold | — | 10,238,714 | — | — | ||||||||||||||||
Receivable for Fund shares sold | — | 20,700,000 | 5,554,782 | 1,157,517 | ||||||||||||||||
Dividend and interest receivable | 4,490,498 | 6,290,671 | 6,718,920 | 2,393,081 | ||||||||||||||||
Cash collateral held at broker on open futures contracts | 4,220,000 | 163,300 | 400,412 | 4,261,031 | ||||||||||||||||
Unrealized appreciation on open forward foreign currency contracts | — | — | 2,155,150 | 2,404,844 | ||||||||||||||||
Receivable for variation margin on open futures contracts | 1,714,970 | — | 452,866 | 1,393,370 | ||||||||||||||||
Receivable for expenses reimbursed by Advisor | — | — | 20,482 | — | ||||||||||||||||
Synthetic futures, at value | — | — | — | 10,062 | ||||||||||||||||
Variation margin receivable on open centrally cleared swap contracts | — | 12,676 | — | — | ||||||||||||||||
Foreign tax reclaims receivable | 1,740,884 | — | 84,834 | 15,533 | ||||||||||||||||
Securities lending income receivable | 21,844 | 1,813 | 8,301 | 23,459 | ||||||||||||||||
Prepaid expenses | 27,815 | 11,127 | 6,036 | 15,043 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total assets | 2,056,571,369 | 962,941,766 | 406,752,793 | 1,022,961,991 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Liabilities | ||||||||||||||||||||
Foreign currency overdraft, at value(b) | — | — | 915,422 | — | ||||||||||||||||
Payable for investments purchased | 33,204,488 | 8,076,890 | 5,036,825 | 2,952,643 | ||||||||||||||||
Payable for Fund shares repurchased | — | — | — | 44 | ||||||||||||||||
Payable for TBA and when-issued securities purchased | — | 44,521,744 | 1,401,000 | — | ||||||||||||||||
Written options, at value(c) | — | 90,963 | — | — | ||||||||||||||||
Synthetic futures, at value | — | — | — | 936,072 | ||||||||||||||||
Unrealized depreciation on open forward foreign currency contracts | — | — | 1,813,942 | 1,700,734 | ||||||||||||||||
Variation margin payable on open futures contracts | — | 52,251 | — | 43,118 | ||||||||||||||||
Obligation to return securities lending collateral | 79,951,616 | 6,539,643 | 17,090,658 | 37,939,957 | ||||||||||||||||
Payable to affiliate for: | ||||||||||||||||||||
Advisory fees | 1,173,675 | 248,234 | 246,857 | 629,952 | ||||||||||||||||
Trustees fees | — | 550 | — | — | ||||||||||||||||
Payable for foreign capital gains tax | — | — | — | 692,418 | ||||||||||||||||
Accrued expenses | 247,271 | 138,263 | 96,713 | 255,818 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total liabilities | 114,577,050 | 59,668,538 | 26,601,417 | 45,150,756 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | $ | 1,941,994,319 | $ | 903,273,228 | $ | 380,151,376 | $ | 977,811,235 | ||||||||||||
|
|
|
|
|
|
|
|
126 | See accompanying Notes to the Financial Statements. |
Mercer Funds
Statements of Assets and Liabilities (Continued)
September 30, 2015 (Unaudited)
Mercer Non-US Core Equity Fund | Mercer Core Fixed Income Fund | Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | |||||||||||||||||
Net assets consist of: | ||||||||||||||||||||
Paid-in capital | 1,935,761,331 | 879,330,659 | 460,795,250 | 1,164,481,455 | ||||||||||||||||
Accumulated undistributed net investment income | 26,687,112 | 17,311,894 | 10,448,487 | 13,609,641 | ||||||||||||||||
Accumulated net realized gain (loss) | 33,380,432 | 8,007,704 | (14,327,877 | ) | (73,952,791 | ) | ||||||||||||||
Net unrealized depreciation on investments, futures contracts, options written, swap contracts and foreign currencies | (53,834,556 | ) | (1,377,029 | ) | (76,764,484 | ) | (126,327,070 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | $ | 1,941,994,319 | $ | 903,273,228 | $ | 380,151,376 | $ | 977,811,235 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets attributable to: | ||||||||||||||||||||
Class Y-3 shares | $ | 1,941,994,319 | $ | 903,273,228 | $ | 380,151,376 | $ | 977,811,235 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding: | ||||||||||||||||||||
Class Y-3 | 199,293,202 | 87,679,853 | 46,121,807 | 117,656,005 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net asset value per share: | ||||||||||||||||||||
Class Y-3 | $ | 9.74 | $ | 10.30 | $ | 8.24 | $ | 8.31 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(a) Investments, at cost | $ | 2,072,657,585 | $ | 911,820,884 | $ | 467,971,260 | $ | 1,129,597,615 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(b) Foreign currency at cost | $ | 3,151,692 | $ | — | $ | (1,023,298 | ) | $ | 2,758,110 | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(c) Premiums on written options | $ | — | $ | 115,552 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements. | 127 |
Mercer Funds
Statements of Assets and Liabilities (Continued)
September 30, 2015 (Unaudited)
Mercer Global Low Volatility Equity Fund | |||||
Assets | |||||
Investments, at value(a) | $ | 838,004,365 | |||
Foreign currency, at value(b) | 1,117,352 | ||||
Cash | 34,191 | ||||
Receivable for investments sold | 9,878,860 | ||||
Dividend and interest receivable | 1,250,888 | ||||
Cash collateral held at broker on open futures contracts | 1,855,000 | ||||
Unrealized appreciation on open forward foreign currency contracts | 11,253 | ||||
Receivable for variation margin on open futures contracts | 709,703 | ||||
Foreign tax reclaims receivable | 449,883 | ||||
Securities lending income receivable | 12,292 | ||||
Prepaid expenses | 11,496 | ||||
|
| ||||
Total assets | 853,335,283 | ||||
|
| ||||
Liabilities | |||||
Payable for investments purchased | 12,194,897 | ||||
Unrealized depreciation on open forward foreign currency contracts | 28,217 | ||||
Obligation to return securities lending collateral | 32,432,139 | ||||
Payable to affiliate for: | |||||
Advisory fees | 495,364 | ||||
Accrued expenses | 123,144 | ||||
|
| ||||
Total liabilities | 45,273,761 | ||||
|
| ||||
Net assets | $ | 808,061,522 | |||
|
| ||||
Net assets consist of: | |||||
Paid-in capital | 754,299,744 | ||||
Accumulated undistributed net investment income | 7,639,547 | ||||
Accumulated net realized gain | 42,047,698 | ||||
Net unrealized appreciation on investments, futures contracts and foreign currencies | 4,074,533 | ||||
|
| ||||
Net assets | $ | 808,061,522 | |||
|
| ||||
Net assets attributable to: | |||||
Class Y-3 shares | $ | 808,061,522 | |||
|
| ||||
Shares outstanding: | |||||
Class Y-3 | 69,128,750 | ||||
|
| ||||
Net asset value per share: | |||||
Class Y-3 | $ | 11.69 | |||
|
| ||||
(a) Investments, at cost | $ | 833,173,211 | |||
|
| ||||
(b) Foreign currency, at cost | $ | 1,133,995 | |||
|
|
128 | See accompanying Notes to the Financial Statements. |
Mercer Funds
Statements of Operations
For the Six Months Ended September 30, 2015 (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 | $ | 1,227 | $ | 1,313 | $ | 1,832 | $ | 1,869 | ||||||||||||
Dividends | 1,771,686 | 3,903,064 | 1,700,732 | 2,684,113 | ||||||||||||||||
Securities lending income | 81,440 | 49,361 | 119,242 | 266,453 | ||||||||||||||||
Withholding taxes | (84,591 | ) | (38,775 | ) | (33,152 | ) | (60,131 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total investment income | 1,769,762 | 3,914,963 | 1,788,654 | 2,892,304 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Expenses: | ||||||||||||||||||||
Advisory fees | 1,071,342 | 1,021,276 | 2,110,002 | 2,042,031 | ||||||||||||||||
Transfer agent fees | 11,511 | 11,302 | 11,450 | 11,427 | ||||||||||||||||
Custodian and fund accounting fees | 51,464 | 69,362 | 77,723 | 63,570 | ||||||||||||||||
Audit fees | 23,511 | 23,621 | 25,106 | 27,038 | ||||||||||||||||
Legal fees | 27,371 | 26,946 | 33,459 | 32,747 | ||||||||||||||||
Trustees fees | 9,851 | 9,734 | 11,881 | 11,541 | ||||||||||||||||
Registration fees | 13,088 | 13,826 | 12,984 | 14,057 | ||||||||||||||||
Interest expense | 126 | 155 | 152 | 144 | ||||||||||||||||
Miscellaneous | 11,182 | 11,429 | 12,604 | 12,709 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total expenses | 1,219,446 | 1,187,651 | 2,295,361 | 2,215,264 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net investment income (loss) | 550,316 | 2,727,312 | (506,707 | ) | 677,040 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Realized and Unrealized Gain (Loss): | ||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||
Investments | 12,803,697 | 17,353,113 | 8,414,002 | 10,656,125 | ||||||||||||||||
Closed futures contracts | (592,922 | ) | (1,248,605 | ) | (1,080,641 | ) | (1,433,739 | ) | ||||||||||||
Forward foreign currency contracts and foreign currency related transactions | — | (380 | ) | (1,010 | ) | (575 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized gain | 12,210,775 | 16,104,128 | 7,332,351 | 9,221,811 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||||||
Investments | (32,268,524 | ) | (61,180,102 | ) | (55,661,771 | ) | (61,063,950 | ) | ||||||||||||
Open futures contracts | (96,082 | ) | (135,526 | ) | (1,073,984 | ) | (994,228 | ) | ||||||||||||
Forward foreign currency contracts and foreign currency related translations | — | (250 | ) | (1,135 | ) | 14 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Change in net unrealized appreciation (depreciation) | (32,364,606 | ) | (61,315,878 | ) | (56,736,890 | ) | (62,058,164 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized and unrealized gain (loss) | (20,153,831 | ) | (45,211,750 | ) | (49,404,539 | ) | (52,836,353 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net decrease in net assets resulting from operations | $ | (19,603,515 | ) | $ | (42,484,438 | ) | $ | (49,911,246 | ) | $ | (52,159,313 | ) | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements. | 129 |
Mercer Funds
Statements of Operations (Continued)
For the Six Months Ended September 30, 2015 (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 | $ | 3,760 | $ | 13,438,104 | $ | 13,835,817 | $ | 7,967 | ||||||||||||
Dividends | 32,878,055 | 104,934 | — | 24,625,070 | ||||||||||||||||
Securities lending income | 795,375 | 8,468 | 21,468 | 109,713 | ||||||||||||||||
Withholding taxes | (3,067,697 | ) | — | (46,443 | ) | (2,729,610 | ) | |||||||||||||
Other income | — | 3,871 | 20,897 | 203 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total investment income | 30,609,493 | 13,555,377 | 13,831,739 | 22,013,343 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Expenses: | ||||||||||||||||||||
Advisory fees | 7,661,465 | 1,512,981 | 1,627,108 | 4,352,308 | ||||||||||||||||
Transfer agent fees | 11,570 | 11,538 | 11,455 | 11,642 | ||||||||||||||||
Custodian and fund accounting fees | 586,223 | 156,553 | 188,855 | 800,291 | ||||||||||||||||
Audit fees | 51,584 | 36,843 | 31,052 | 52,880 | ||||||||||||||||
Legal fees | 146,942 | 62,426 | 29,234 | 77,067 | ||||||||||||||||
Trustees fees | 52,611 | 23,425 | 10,365 | 27,475 | ||||||||||||||||
Registration fees | 12,499 | 13,055 | 15,458 | 17,642 | ||||||||||||||||
Interest expense | 441 | — | 555 | 5,338 | ||||||||||||||||
Miscellaneous | 61,718 | 28,588 | 9,250 | 28,784 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total expenses | 8,585,053 | 1,845,409 | 1,923,332 | 5,373,427 | ||||||||||||||||
Reimbursement of expenses | — | — | (92,281 | ) | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net expenses | 8,585,053 | 1,845,409 | 1,831,051 | 5,373,427 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net investment income (loss) | 22,024,440 | 11,709,968 | 12,000,688 | 16,639,916 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Realized and Unrealized Gain (Loss): | ||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||
Investments | 25,158,296 | 554,888 | (14,861,296 | ) | (35,444,802 | ) | ||||||||||||||
Swap contracts | — | (203,461 | ) | — | — | |||||||||||||||
Closed futures contracts | (5,934,298 | ) | 412,050 | (469,615 | ) | (11,111,061 | ) | |||||||||||||
Written option contracts | — | 131,926 | — | — | ||||||||||||||||
Forward foreign currency contracts and foreign currency related transactions | (718,398 | ) | (6,811 | ) | 601,626 | (3,485,508 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized gain (loss) | 18,505,600 | 888,592 | (14,729,285 | ) | (50,041,371 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||||||
Investments | (209,502,191 | ) | (23,715,830 | ) | (36,078,192 | ) | (142,430,553 | ) | ||||||||||||
Swap contracts | — | (427,265 | ) | — | — | |||||||||||||||
Open futures contracts | (2,281,298 | ) | 83,863 | 274,340 | (3,775,792 | ) | ||||||||||||||
Written option contracts | — | 28,723 | — | — | ||||||||||||||||
Forward foreign currency contracts and foreign currency related translations | 5,507 | (2,268 | ) | (1,481,029 | ) | 1,469,391 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Change in net unrealized appreciation (depreciation) | (211,777,982 | ) | (24,032,777 | ) | (37,284,881 | ) | (144,736,954 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized and unrealized gain (loss) | (193,272,382 | ) | (23,144,185 | ) | (52,014,166 | ) | (194,778,325 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net decrease in net assets resulting from operations | $ | (171,247,942 | ) | $ | (11,434,217 | ) | $ | (40,013,478 | ) | $ | (178,138,409 | ) | ||||||||
|
|
|
|
|
|
|
|
130 | See accompanying Notes to the Financial Statements. |
Mercer Funds
Statements of Operations (Continued)
For the Six Months Ended September 30, 2015 (Unaudited)
Mercer Global Low Volatility Equity Fund | |||||
Investment Income: | |||||
Interest | $ | 18,452 | |||
Dividends | 10,392,985 | ||||
Securities lending income | 166,127 | ||||
Withholding taxes | (666,069 | ) | |||
|
| ||||
Total investment income | 9,911,495 | ||||
|
| ||||
Expenses: | |||||
Advisory fees | 3,130,272 | ||||
Transfer agent fees | 11,382 | ||||
Custodian and fund accounting fees | 170,830 | ||||
Audit fees | 32,536 | ||||
Legal fees | 58,986 | ||||
Trustees fees | 21,185 | ||||
Registration fees | 16,647 | ||||
Interest expense | 326 | ||||
Miscellaneous | 23,338 | ||||
|
| ||||
Total expenses | 3,465,502 | ||||
|
| ||||
Net investment income (loss) | 6,445,993 | ||||
|
| ||||
Realized and Unrealized Gain (Loss): | |||||
Net realized gain (loss) on: | |||||
Investments | 5,295,235 | ||||
Closed futures contracts | (2,689,349 | ) | |||
Forward foreign currency contracts and foreign currency related transactions | 338,170 | ||||
|
| ||||
Net realized gain | 2,944,056 | ||||
|
| ||||
Change in net unrealized appreciation (depreciation) on: | |||||
Investments | (37,900,751 | ) | |||
Open futures contracts | (735,589 | ) | |||
Forward foreign currency contracts and foreign currency related translations | (467,682 | ) | |||
|
| ||||
Change in net unrealized appreciation (depreciation) | (39,104,022 | ) | |||
|
| ||||
Net realized and unrealized gain (loss) | (36,159,966 | ) | |||
|
| ||||
Net decrease in net assets resulting from operations | $ | (29,713,973 | ) | ||
|
|
See accompanying Notes to the Financial Statements. | 131 |
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, 2015 (Unaudited) | Year Ended March 31, 2015 | Six Months Ended September 30, 2015 (Unaudited) | Year Ended March 31, 2015 | |||||||||||||||||
Increase (decrease) in Net Assets: | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income (loss) | $ | 550,316 | $ | 1,371,357 | $ | 2,727,312 | $ | 5,280,848 | ||||||||||||
Net realized gain (loss) | 12,210,775 | 89,238,258 | 16,104,128 | 64,786,923 | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | (32,364,606 | ) | (41,892,194 | ) | (61,315,878 | ) | (37,278,891 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | (19,603,515 | ) | 48,717,421 | (42,484,438 | ) | 32,788,880 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||
Net investment income | ||||||||||||||||||||
Class Y-3 | — | (1,009,786 | ) | — | (5,406,946 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net investment income | — | (1,009,786 | ) | — | (5,406,946 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized gains | ||||||||||||||||||||
Class Y-3 | — | (93,603,995 | ) | — | (51,164,468 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net realized gains | — | (93,603,995 | ) | — | (51,164,468 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net share transactions (See Note 7): | ||||||||||||||||||||
Class Y-3 | 17,292,457 | 49,732,510 | 30,027,671 | 16,187,539 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase in net assets resulting from net shares transactions | 17,292,457 | 49,732,510 | 30,027,671 | 16,187,539 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | (2,311,058 | ) | 3,836,150 | (12,456,767 | ) | (7,594,995 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets: | ||||||||||||||||||||
Beginning of period | 362,698,386 | 358,862,236 | 362,882,867 | 370,477,862 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 360,387,328 | $ | 362,698,386 | $ | 350,426,100 | $ | 362,882,867 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Undistributed net investment income included in net assets at end of period | $ | 1,225,369 | $ | 675,053 | $ | 4,315,181 | $ | 1,587,869 | ||||||||||||
|
|
|
|
|
|
|
|
132 | See accompanying Notes to the Financial Statements. |
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, 2015 (Unaudited) | Year Ended March 31, 2015 | Six Months Ended September 30, 2015 (Unaudited) | Year Ended March 31, 2015 | |||||||||||||||||
Increase (decrease) in Net Assets: | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income (loss) | $ | (506,707 | ) | $ | (1,064,325 | ) | $ | 677,040 | $ | 1,175,519 | ||||||||||
Net realized gain (loss) | 7,332,351 | 47,234,362 | 9,221,811 | 22,938,710 | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | (56,736,890 | ) | 7,053,216 | (62,058,164 | ) | (929,804 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | (49,911,246 | ) | 53,223,253 | (52,159,313 | ) | 23,184,425 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||
Net investment income | ||||||||||||||||||||
Class Y-3 | — | — | — | (994,292 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net investment income | — | — | — | (994,292 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized gains | ||||||||||||||||||||
Class Y-3 | — | (53,577,019 | ) | — | (69,483,836 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net realized gains | — | (53,577,019 | ) | — | (69,483,836 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net share transactions (See Note 7): | ||||||||||||||||||||
Class Y-3 | 18,625,565 | 73,886,251 | 31,420,891 | 114,927,870 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase in net assets resulting from net shares transactions | 18,625,565 | 73,886,251 | 31,420,891 | 114,927,870 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | (31,285,681 | ) | 73,532,485 | (20,738,422 | ) | 67,634,167 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets: | ||||||||||||||||||||
Beginning of period | 470,892,605 | 397,360,120 | 456,345,841 | 388,711,674 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 439,606,924 | $ | 470,892,605 | $ | 435,607,419 | $ | 456,345,841 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Undistributed (distributions in excess of) net investment income included in net assets at end of period | $ | (1,105,021 | ) | $ | (598,314 | ) | $ | 843,953 | $ | 166,913 | ||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements. | 133 |
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, 2015 (Unaudited) | Year Ended March 31, 2015 | Six Months Ended September 30, 2015 (Unaudited) | Year Ended March 31, 2015 | |||||||||||||||||
Increase (decrease) in Net Assets: | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income (loss) | $ | 22,024,440 | $ | 35,085,958 | $ | 11,709,968 | $ | 25,019,242 | ||||||||||||
Net realized gain (loss) | 18,505,600 | 79,341,632 | 888,592 | 20,292,462 | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | (211,777,982 | ) | (103,250,204 | ) | (24,032,777 | ) | 5,565,408 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | (171,247,942 | ) | 11,177,386 | (11,434,217 | ) | 50,877,112 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||
Net investment income | ||||||||||||||||||||
Class Y-3 | — | (47,473,858 | ) | — | (26,100,759 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net investment income | — | (47,473,858 | ) | — | (26,100,759 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized gains | ||||||||||||||||||||
Class Y-3 | — | (170,533,817 | ) | — | (17,130,534 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net realized gains | — | (170,533,817 | ) | — | (17,130,534 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net share transactions (See Note 7): | ||||||||||||||||||||
Class Y-3 | 40,260,985 | 398,335,931 | 22,058,633 | (191,436,484 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets resulting from net shares transactions | 40,260,985 | 398,335,931 | 22,058,633 | (191,436,484 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | (130,986,957 | ) | 191,505,642 | 10,624,416 | (183,790,665 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets: | ||||||||||||||||||||
Beginning of period | 2,072,981,276 | 1,881,475,634 | 892,648,812 | 1,076,439,477 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 1,941,994,319 | $ | 2,072,981,276 | $ | 903,273,228 | $ | 892,648,812 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Undistributed net investment income included in net assets at end of period | $ | 26,687,112 | $ | 4,662,672 | $ | 17,311,894 | $ | 5,601,926 | ||||||||||||
|
|
|
|
|
|
|
|
134 | See accompanying Notes to the Financial Statements. |
Mercer Funds
Statements of Changes in Net Assets (Continued)
Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | |||||||||||||||||||
Six Months Ended September 30, 2015 (Unaudited) | Year Ended March 31, 2015 | Six Months Ended September 30, 2015 (Unaudited) | Year Ended March 31, 2015 | |||||||||||||||||
Increase (decrease) in Net Assets: | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income (loss) | $ | 12,000,688 | $ | 18,584,572 | $ | 16,639,916 | $ | 16,472,583 | ||||||||||||
Net realized gain (loss) | (14,729,285 | ) | (2,390,213 | ) | (50,041,371 | ) | (13,106,014 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | (37,284,881 | ) | (44,818,843 | ) | (144,736,954 | ) | 1,697,780 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | (40,013,478 | ) | (28,624,484 | ) | (178,138,409 | ) | 5,064,349 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||
Net investment income | ||||||||||||||||||||
Class Y-3 | — | (17,059,016 | ) | — | (18,781,299 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net investment income | — | (17,059,016 | ) | — | (18,781,299 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized gains | ||||||||||||||||||||
Class Y-3 | — | (2,517,357 | ) | — | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net realized gains | — | (2,517,357 | ) | — | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net share transactions (See Note 7): | ||||||||||||||||||||
Class Y-3 | 24,225,710 | 183,559,152 | 68,594,401 | 238,149,352 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase in net assets resulting from net shares transactions | 24,225,710 | 183,559,152 | 68,594,401 | 238,149,352 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | (15,787,768 | ) | 135,358,295 | (109,544,008 | ) | 224,432,402 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets: | ||||||||||||||||||||
Beginning of period | 395,939,144 | 260,580,849 | 1,087,355,243 | 862,922,841 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 380,151,376 | $ | 395,939,144 | $ | 977,811,235 | $ | 1,087,355,243 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Undistributed (distributions in excess of) net investment income included in net assets at end of period | $ | 10,448,487 | $ | (1,552,201 | ) | $ | 13,609,641 | $ | (3,030,275 | ) | ||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements. | 135 |
Mercer Funds
Statements of Changes in Net Assets (Continued)
Mercer Global Low Volatility Equity Fund | ||||||||||
Six Months Ended September 30, 2015 (Unaudited) | Year Ended March 31, 2015 | |||||||||
Increase (decrease) in Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income (loss) | $ | 6,445,993 | $ | 10,007,231 | ||||||
Net realized gain (loss) | 2,944,056 | 69,610,968 | ||||||||
Change in net unrealized appreciation (depreciation) | (39,104,022 | ) | (32,482,741 | ) | ||||||
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | (29,713,973 | ) | 47,135,458 | |||||||
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||
Net investment income | ||||||||||
Class Y-3 | — | (12,009,539 | ) | |||||||
|
|
|
| |||||||
Total distributions from net investment income | — | (12,009,539 | ) | |||||||
|
|
|
| |||||||
Net realized gains | ||||||||||
Class Y-3 | — | (41,263,632 | ) | |||||||
|
|
|
| |||||||
Total distributions from net realized gains | — | (41,263,632 | ) | |||||||
|
|
|
| |||||||
Net share transactions (See Note 7): | ||||||||||
Class Y-3 | 18,723,559 | 82,548,255 | ||||||||
|
|
|
| |||||||
Increase in net assets resulting from net shares transactions | 18,723,559 | 82,548,255 | ||||||||
|
|
|
| |||||||
Net increase (decrease) in net assets | (10,990,414 | ) | 76,410,542 | |||||||
|
|
|
| |||||||
Net assets: | ||||||||||
Beginning of period | 819,051,936 | 742,641,394 | ||||||||
|
|
|
| |||||||
End of period | $ | 808,061,522 | $ | 819,051,936 | ||||||
|
|
|
| |||||||
Undistributed net investment income included in net assets at end of period | $ | 7,639,547 | $ | 1,193,554 | ||||||
|
|
|
|
136 | See accompanying Notes to the Financial Statements. |
Mercer US Large Cap Growth Equity Fund
Financial Highlights
Period Ended 09/30/15 (Unaudited) | Year Ended 03/31/15 | Year Ended 03/31/14 | Year Ended 03/31/13 | Year Ended 03/31/12 | Year Ended 03/31/11 | |||||||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | ||||||||||||||||||||||||||||||
Net asset value at beginning of period | $ | 11.11 | $ | 13.16 | $ | 13.56 | $ | 13.27 | $ | 12.19 | $ | 10.08 | ||||||||||||||||||
Net investment income† | 0.02 | 0.05 | 0.07 | 0.08 | 0.04 | 0.03 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.61 | ) | 1.63 | 3.11 | 0.68 | 1.06 | 2.12 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (0.59 | ) | 1.68 | 3.18 | 0.76 | 1.10 | 2.15 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions: | ||||||||||||||||||||||||||||||
From net investment income | — | (0.04 | ) | (0.09 | ) | (0.08 | ) | (0.02 | ) | (0.04 | ) | |||||||||||||||||||
From net realized gain on investments | — | (3.69 | ) | (3.49 | ) | (0.39 | ) | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (3.73 | ) | (3.58 | ) | (0.47 | ) | (0.02 | ) | (0.04 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value at end of period | $ | 10.52 | $ | 11.11 | $ | 13.16 | $ | 13.56 | $ | 13.27 | $ | 12.19 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total investment return | (5.31 | )%** | 13.63 | %(a) | 23.99 | %(a) | 6.03 | %(a) | 9.08 | %(a) | 21.38 | %(a) | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net investment income to average net assets | 0.28 | %* | 0.37 | % | 0.48 | % | 0.61 | % | 0.33 | % | 0.27 | % | ||||||||||||||||||
Net expenses to average daily net assets | 0.63 | %*(b) | 0.60 | %(b) | 0.57 | % | 0.57 | % | 0.57 | % | 0.57 | % | ||||||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.63 | %*(b) | 0.63 | %(b) | 0.63 | % | 0.63 | % | 0.63 | % | 0.64 | % | ||||||||||||||||||
Portfolio turnover rate | 36 | %** | 118 | % | 50 | % | 65 | % | 64 | % | 106 | %(c) | ||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 360,387 | $ | 362,698 | $ | 358,862 | $ | 465,787 | $ | 465,641 | $ | 427,840 |
(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. | 137 |
Mercer US Large Cap Value Equity Fund
Financial Highlights (Continued)
Period Ended 09/30/15 (Unaudited) | Year Ended 03/31/15 | Year Ended 03/31/14 | Year Ended 03/31/13 | Year Ended 03/31/12 | Year Ended 03/31/11 | |||||||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | ||||||||||||||||||||||||||||||
Net asset value at beginning of period | $ | 11.69 | $ | 12.66 | $ | 9.95 | $ | 8.71 | $ | 8.25 | $ | 7.52 | ||||||||||||||||||
Net investment income† | 0.08 | 0.18 | 0.18 | 0.18 | 0.16 | 0.11 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (1.34 | ) | 0.94 | 2.75 | 1.26 | 0.45 | 0.72 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (1.26 | ) | 1.12 | 2.93 | 1.44 | 0.61 | 0.83 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions: | ||||||||||||||||||||||||||||||
From net investment income | — | (0.20 | ) | (0.22 | ) | (0.20 | ) | (0.15 | ) | (0.10 | ) | |||||||||||||||||||
From net realized gain on investments | — | (1.89 | ) | — | — | — | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (2.09 | ) | (0.22 | ) | (0.20 | ) | (0.15 | ) | (0.10 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value at end of period | $ | 10.43 | $ | 11.69 | $ | 12.66 | $ | 9.95 | $ | 8.71 | $ | 8.25 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total investment return | (10.78 | )%** | 9.10 | %(a) | 29.54 | %(a) | 16.71 | %(a) | 7.69 | %(a) | 11.07 | %(a) | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net investment income to average net assets | 1.42 | %* | 1.44 | % | 1.60 | % | 2.07 | % | 2.03 | % | 1.52 | % | ||||||||||||||||||
Net expenses to average daily net assets | 0.62 | %*(b) | 0.59 | %(b) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.62 | %*(b) | 0.62 | %(b) | 0.61 | % | 0.60 | % | 0.62 | % | 0.63 | % | ||||||||||||||||||
Portfolio turnover rate | 33 | %** | 60 | % | 45 | % | 59 | % | 109 | % | 117 | %(c) | ||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 350,426 | $ | 362,883 | $ | 370,478 | $ | 475,898 | $ | 459,999 | $ | 420,518 |
(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 |
138 | See accompanying Notes to the Financial Statements. |
Mercer US Small/Mid Cap Growth Equity Fund
Financial Highlights (Continued)
Period Ended 09/30/15 (Unaudited) | Year Ended 03/31/15 | Year Ended 03/31/14 | Year Ended 03/31/13 | Year Ended 03/31/12 | Year Ended 03/31/11 | |||||||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | ||||||||||||||||||||||||||||||
Net asset value at beginning of period | $ | 12.23 | $ | 12.44 | $ | 11.94 | $ | 11.62 | $ | 12.49 | $ | 9.75 | ||||||||||||||||||
Net investment loss† | (0.01 | ) | (0.03 | ) | (0.02 | ) | (0.01 | ) | (0.04 | ) | (0.03 | ) | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (1.31 | ) | 1.32 | 2.63 | 1.31 | 0.27 | 2.77 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (1.32 | ) | 1.29 | 2.61 | 1.30 | 0.23 | 2.74 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions: | ||||||||||||||||||||||||||||||
From net investment income | — | — | — | (0.01 | ) | — | — | |||||||||||||||||||||||
From net realized gain on investments | — | (1.50 | ) | (2.11 | ) | (0.97 | ) | (1.10 | ) | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (1.50 | ) | (2.11 | ) | (0.98 | ) | (1.10 | ) | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value at end of period | $ | 10.91 | $ | 12.23 | $ | 12.44 | $ | 11.94 | $ | 11.62 | $ | 12.49 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total investment return | (10.79 | )%** | 11.11 | %(a) | 22.34 | %(a) | 12.11 | %**(a) | 3.36 | %(a) | 28.10 | %(a) | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net investment loss to average net assets | (0.22 | )%* | (0.25 | )% | (0.17 | )% | (0.05 | )% | (0.36 | )% | (0.34 | )% | ||||||||||||||||||
Net expenses to average daily net assets | 0.98 | %*(b) | 0.98 | %(b) | 0.97 | % | 0.96 | % | 0.92 | % | 0.92 | % | ||||||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.98 | %*(b) | 0.99 | %(b) | 0.99 | % | 1.01 | % | 1.01 | % | 1.02 | % | ||||||||||||||||||
Portfolio turnover rate | 30 | %** | 75 | % | 67 | % | 54 | % | 95 | % | 107 | % | ||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 439,607 | $ | 470,893 | $ | 397,360 | $ | 442,080 | $ | 300,176 | $ | 300,980 |
(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. | 139 |
Mercer US Small/Mid Cap Value Equity Fund
Financial Highlights (Continued)
Period Ended 09/30/15 (Unaudited) | Year Ended 03/31/15 | Year Ended 03/31/14 | Year Ended 03/31/13 | Year Ended 03/31/12 | Year Ended 03/31/11 | |||||||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | ||||||||||||||||||||||||||||||
Net asset value at beginning of period | $ | 9.63 | $ | 10.98 | $ | 11.05 | $ | 9.94 | $ | 10.64 | $ | 8.64 | ||||||||||||||||||
Net investment income† | 0.01 | 0.03 | 0.04 | 0.13 | 0.06 | 0.05 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (1.11 | ) | 0.34 | 2.24 | 1.46 | (0.14 | )(a) | 2.05 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (1.10 | ) | 0.37 | 2.28 | 1.59 | (0.08 | ) | 2.10 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions: | ||||||||||||||||||||||||||||||
From net investment income | — | (0.02 | ) | (0.10 | ) | (0.11 | ) | (0.04 | ) | (0.10 | ) | |||||||||||||||||||
From net realized gain on investments | — | (1.70 | ) | (2.25 | ) | (0.37 | ) | (0.58 | ) | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (1.72 | ) | (2.35 | ) | (0.48 | ) | (0.62 | ) | (0.10 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value at end of period | $ | 8.53 | $ | 9.63 | $ | 10.98 | $ | 11.05 | $ | 9.94 | $ | 10.64 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total investment return | (11.42 | )%** | 4.27 | %(b) | 21.61 | %(b) | 16.51 | %(b) | (0.03 | )%(b) | 24.36 | %(b) | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net investment income to average net assets | 0.30 | %* | 0.28 | % | 0.38 | % | 1.26 | % | 0.60 | % | 0.65 | % | ||||||||||||||||||
Net expenses to average daily net assets | 0.98 | %*(c) | 0.98 | %(c) | 0.97 | % | 0.96 | % | 0.92 | % | 0.92 | % | ||||||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.98 | %*(c) | 0.99 | %(c) | 1.00 | % | 1.01 | % | 1.01 | % | 1.02 | % | ||||||||||||||||||
Portfolio turnover rate | 37 | %** | 88 | % | 122 | %(d) | 80 | % | 92 | % | 95 | % | ||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 435,607 | $ | 456,346 | $ | 388,712 | $ | 429,412 | $ | 292,391 | $ | 295,626 |
(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 |
140 | See accompanying Notes to the Financial Statements. |
Mercer Non-US Core Equity Fund
Financial Highlights (Continued)
Period Ended 09/30/15 (Unaudited) | Year Ended 03/31/15 | Year Ended 03/31/14 | Year Ended 03/31/13 | Year Ended 03/31/12 | Year Ended 03/31/11 | |||||||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | ||||||||||||||||||||||||||||||
Net asset value at beginning of period | $ | 10.64 | $ | 11.92 | $ | 10.58 | $ | 9.72 | $ | 10.46 | $ | 9.73 | ||||||||||||||||||
Net investment income† | 0.11 | 0.19 | 0.29 | 0.21 | 0.25 | 0.17 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (1.01 | ) | (0.22 | ) | 1.94 | 0.90 | (0.81 | ) | 0.74 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (0.90 | ) | (0.03 | ) | 2.23 | 1.11 | (0.56 | ) | 0.91 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions: | ||||||||||||||||||||||||||||||
From net investment income | — | (0.27 | ) | (0.33 | ) | (0.25 | ) | (0.18 | ) | (0.18 | ) | |||||||||||||||||||
From net realized gain on investments | — | (0.98 | ) | (0.56 | ) | — | — | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (1.25 | ) | (0.89 | ) | (0.25 | ) | (0.18 | ) | (0.18 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value at end of period | $ | 9.74 | $ | 10.64 | $ | 11.92 | $ | 10.58 | $ | 9.72 | $ | 10.46 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total investment return | (8.46 | )%** | 0.19 | %(a) | 21.48 | %(a) | 11.53 | %(a) | (5.15 | )%(a) | 9.45 | %(a) | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net investment income to average net assets | 2.12 | %* | 1.72 | % | 2.52 | % | 2.17 | % | 2.57 | % | 1.76 | % | ||||||||||||||||||
Net expenses to average daily net assets | 0.83 | %*(b) | 0.84 | %(b) | 0.85 | % | 0.83 | % | 0.82 | % | 0.82 | % | ||||||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.83 | %*(b) | 0.84 | %(b) | 0.86 | % | 0.86 | % | 0.92 | % | 0.92 | % | ||||||||||||||||||
Portfolio turnover rate | 57 | %** | 101 | % | 95 | %(c) | 90 | % | 105 | %(d) | 87 | % | ||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 1,941,994 | $ | 2,072,981 | $ | 1,881,476 | $ | 2,138,930 | $ | 1,892,784 | $ | 1,563,529 |
(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. | 141 |
Mercer Core Fixed Income Fund
Financial Highlights (Continued)
Period Ended 09/30/15 (Unaudited) | Year Ended 03/31/15 | Year Ended 03/31/14 | Year Ended 03/31/13 | Year Ended 03/31/12 | Year Ended 03/31/11 | |||||||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | ||||||||||||||||||||||||||||||
Net asset value at beginning of period | $ | 10.43 | $ | 10.42 | $ | 10.68 | $ | 10.58 | $ | 10.23 | $ | 10.11 | ||||||||||||||||||
Net investment income† | 0.14 | 0.28 | 0.24 | 0.27 | 0.33 | 0.29 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.27 | ) | 0.28 | (0.19 | ) | 0.37 | 0.46 | 0.34 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (0.13 | ) | 0.56 | 0.05 | 0.64 | 0.79 | 0.63 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions: | ||||||||||||||||||||||||||||||
From net investment income | — | (0.33 | ) | (0.25 | ) | (0.31 | ) | (0.31 | ) | (0.36 | ) | |||||||||||||||||||
From net realized gain on investments | — | (0.22 | ) | (0.06 | ) | (0.23 | ) | (0.13 | ) | (0.15 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (0.55 | ) | (0.31 | ) | (0.54 | ) | (0.44 | ) | (0.51 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value at end of period | $ | 10.30 | $ | 10.43 | $ | 10.42 | $ | 10.68 | $ | 10.58 | $ | 10.23 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total investment return | (1.25 | )%** | 5.43 | %(a) | 0.44 | %(a) | 6.15 | %(a) | 7.88 | %(a) | 6.25 | %(a) | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net investment income to average net assets | 2.69 | %* | 2.66 | % | 2.32 | % | 2.51 | % | 3.13 | % | 2.79 | % | ||||||||||||||||||
Net expenses to average daily net assets | 0.42 | %* | 0.40 | % | 0.37 | % | 0.37 | % | 0.37 | % | 0.37 | % | ||||||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.42 | %* | 0.42 | % | 0.43 | % | 0.43 | % | 0.44 | % | 0.45 | % | ||||||||||||||||||
Portfolio turnover rate | 44 | %** | 192 | % | 187 | %(b) | 125 | % | 181 | % | 379 | % | ||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 903,273 | $ | 892,649 | $ | 1,076,439 | $ | 1,093,253 | $ | 1,025,624 | $ | 1,043,027 |
(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 |
142 | See accompanying Notes to the Financial Statements. |
Mercer Opportunistic Fixed Income Fund
Financial Highlights (Continued)
Period Ended 09/30/15 (Unaudited) | Year Ended 03/31/15 | Period Ended 03/31/14(a) | |||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | |||||||||||||||
Net asset value at beginning of period | $ | 9.13 | $ | 10.43 | $ | 10.00 | |||||||||
Net investment income† | 0.26 | 0.56 | 0.34 | ||||||||||||
Net realized and unrealized gain (loss) on investments | (1.15 | ) | (1.32 | ) | 0.35 | ||||||||||
|
|
|
|
|
| ||||||||||
Total from investment operations | (0.89 | ) | (0.76 | ) | 0.69 | ||||||||||
|
|
|
|
|
| ||||||||||
Less dividends and distributions: | |||||||||||||||
From net investment income | — | (0.47 | ) | (0.22 | ) | ||||||||||
From net realized gain on investments | — | (0.07 | ) | (0.04 | ) | ||||||||||
|
|
|
|
|
| ||||||||||
Total dividends and distributions | — | (0.54 | ) | (0.26 | ) | ||||||||||
|
|
|
|
|
| ||||||||||
Net asset value at end of period | $ | 8.24 | $ | 9.13 | $ | 10.43 | |||||||||
|
|
|
|
|
| ||||||||||
Total investment return(b) | (9.75 | )%** | (7.36 | )% | 7.00 | %** | |||||||||
Ratios/Supplemental Data: | |||||||||||||||
Net investment income to average net assets | 5.90 | %* | 5.55 | % | 5.52 | %* | |||||||||
Net expenses to average daily net assets | 0.90 | %*(c) | 0.90 | %(c) | 0.90 | %* | |||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.95 | %*(c) | 0.97 | %(c) | 1.17 | %* | |||||||||
Portfolio turnover rate | 29 | %** | 58 | % | 28 | %** | |||||||||
Net assets at end of period (in 000’s) | $ | 380,151 | $ | 395,939 | $ | 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. | 143 |
Mercer Emerging Markets Equity Fund
Financial Highlights (Continued)
Period Ended 09/30/15 (Unaudited) | Year Ended 03/31/15 | 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 | $ | 9.88 | $ | 9.99 | $ | 10.49 | $ | 10.00 | ||||||||||||
Net investment income† | 0.15 | 0.17 | 0.18 | 0.10 | ||||||||||||||||
Net realized and unrealized gain (loss) on investments | (1.72 | ) | (0.09 | ) | (0.46 | ) | 0.46 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | (1.57 | ) | 0.08 | (0.28 | ) | 0.56 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions: | ||||||||||||||||||||
From net investment income | — | (0.19 | ) | (0.19 | ) | (0.06 | ) | |||||||||||||
From net realized gain on investments | — | — | (0.03 | ) | (0.01 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | — | (0.19 | ) | (0.22 | ) | (0.07 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net asset value at end of period | $ | 8.31 | $ | 9.88 | $ | 9.99 | $ | 10.49 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total investment return | (15.89 | )%** | 0.81 | %(b) | (2.61 | )%(b) | 5.64 | %**(b) | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net investment income to average net assets | 3.03 | %* | 1.66 | % | 1.77 | % | 1.08 | %* | ||||||||||||
Net expenses to average daily net assets | 0.98 | %*(c) | 0.98 | %(c) | 0.95 | %(c) | 0.95 | %*(c) | ||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.98 | %*(c) | 1.00 | %(c) | 1.04 | %(c) | 1.15 | %*(c) | ||||||||||||
Portfolio turnover rate | 30 | %** | 46 | % | 64 | % | 52 | %** | ||||||||||||
Net assets at end of period (in 000’s) | $ | 977,811 | $ | 1,087,355 | $ | 862,923 | $ | 517,085 |
(a) | The Portfolio 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 |
144 | See accompanying Notes to the Financial Statements. |
Mercer Global Low Volatility Equity Fund
Financial Highlights (Continued)
Period Ended 09/30/15 (Unaudited) | Year Ended 03/31/15 | 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 | $ | 12.11 | $ | 12.27 | $ | 11.19 | $ | 10.00 | ||||||||||||
Net investment income† | 0.09 | 0.15 | 0.14 | 0.07 | ||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.51 | ) | 0.54 | 1.45 | 1.14 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | (0.42 | ) | 0.69 | 1.59 | 1.21 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions: | ||||||||||||||||||||
From net investment income | — | (0.19 | ) | (0.16 | ) | (0.02 | ) | |||||||||||||
From net realized gain on investments | — | (0.66 | ) | (0.35 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | — | (0.85 | ) | (0.51 | ) | (0.02 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net asset value at end of period | $ | 11.69 | $ | 12.11 | $ | 12.27 | $ | 11.19 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total investment return | (3.47 | )%** | 5.80 | %(b) | 14.40 | %(b) | 12.13 | %**(b) | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net investment income to average net assets | 1.54 | %* | 1.25 | % | 1.20 | % | 1.62 | %* | ||||||||||||
Net expenses to average daily net assets | 0.83 | %*(c) | 0.85 | %(c) | 0.85 | % | 0.85 | %* | ||||||||||||
Total expenses (before reductions and reimbursements/recapture) to average daily net assets | 0.83 | %*(c) | 0.84 | %(c) | 0.84 | % | 1.00 | %* | ||||||||||||
Portfolio turnover rate | 14 | %** | 84 | % | 46 | % | 12 | %** | ||||||||||||
Net assets at end of period (in 000’s) | $ | 808,062 | $ | 819,052 | $ | 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 less than 0.01%. |
† | Computed using average shares outstanding throughout the period. |
* | Annualized |
** | Not annualized |
See accompanying Notes to the Financial Statements. | 145 |
Mercer Funds
Notes to the Financial Statements
September 30, 2015 (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”). 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. The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946: Financial Services — Investment Companies.
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, 2015, 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.
146
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (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 an independent 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 values its investments for which market quotations are readily available at market value. Each Fund may value short-term investments that will mature within 60 days or less by using pricing service quotations or at amortized cost, provided that such amortized cost approximates market 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, synthetic futures 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 an independent 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 independent 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. In that regard, at September 30, 2015, substantially all foreign equity securities
147
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
held by Non-US Core Equity, Emerging Markets and Global Low Volatility were fair valued using valuations provided by an independent valuation service consistent with the valuation 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 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, 2015. The assets and liabilities shown in the Statements of Assets and Liabilities related to cash collateral held at broker for futures contracts are determined using Level 1 inputs as of September 30, 2015.
At September 30, 2015, Large Cap Growth, Large Cap Value and Small/Mid Cap Value held long-term investments whose value was determined using Level 1 inputs, with corresponding major categories as shown in the schedule of investments, Futures Contracts whose value was determined using Level 1 inputs and short-term investment positions in a Euro Time Deposit and State Street Institutional U.S. Government Money Market Fund, Premier Class, as shown in the schedule of investments, whose value was determined using a Level 2 input.
The following is a summary of the inputs used as of September 30, 2015 in valuing the assets and liabilities of Small/Mid Cap Growth, Non-US Core Equity, Core Fixed, Opportunistic Fixed, Emerging Markets and Global Low Volatility for which fair valuation was used:
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 | $ | 3,735,503 | $ | — | $ | — | $ | 3,735,503 | ||||||||
Airlines | 2,589,145 | — | — | 2,589,145 | ||||||||||||
Apparel | 4,603,666 | — | — | 4,603,666 | ||||||||||||
Auto Parts & Equipment | 2,362,868 | — | — | 2,362,868 | ||||||||||||
Banks | 9,538,624 | — | — | 9,538,624 | ||||||||||||
Biotechnology | 9,443,981 | — | — | 9,443,981 | ||||||||||||
Building Materials | 6,797,705 | — | — | 6,797,705 |
148
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (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 | $ | 8,273,338 | $ | — | $ | — | $ | 8,273,338 | ||||||||
Coal | 1,231,272 | — | — | 1,231,272 | ||||||||||||
Commercial Services | 35,120,748 | — | — | 35,120,748 | ||||||||||||
Computers | 17,693,506 | — | — | 17,693,506 | ||||||||||||
Distribution & Wholesale | 4,206,981 | — | — | 4,206,981 | ||||||||||||
Diversified Financial Services | 17,938,908 | — | — | 17,938,908 | ||||||||||||
Entertainment | 2,617,523 | — | — | 2,617,523 | ||||||||||||
Food | 1,472,341 | — | — | 1,472,341 | ||||||||||||
Hand & Machine Tools | 5,968,168 | — | — | 5,968,168 | ||||||||||||
Health Care - Products | 18,969,963 | — | — | 18,969,963 | ||||||||||||
Health Care - Services | 17,171,809 | — | — | 17,171,809 | ||||||||||||
Home Furnishings | 5,850,245 | — | — | 5,850,245 | ||||||||||||
Household Products & Wares | 6,574,360 | — | — | 6,574,360 | ||||||||||||
Insurance | 3,568,092 | — | — | 3,568,092 | ||||||||||||
Internet | 14,359,801 | — | — | 14,359,801 | ||||||||||||
Leisure Time | 1,823,482 | — | — | 1,823,482 | ||||||||||||
Lodging | 1,477,079 | — | — | 1,477,079 | ||||||||||||
Machinery - Diversified | 20,187,668 | — | — | 20,187,668 | ||||||||||||
Media | 3,199,726 | — | — | 3,199,726 | ||||||||||||
Miscellaneous - Manufacturing | 1,931,071 | — | — | 1,931,071 | ||||||||||||
Office Furnishings | 2,658,481 | — | — | 2,658,481 | ||||||||||||
Oil & Gas | 4,833,419 | — | — | 4,833,419 | ||||||||||||
Oil & Gas Services | 4,113,057 | — | — | 4,113,057 | ||||||||||||
Packaging & Containers | 1,510,957 | — | — | 1,510,957 | ||||||||||||
Pharmaceuticals | 22,891,792 | — | — | 22,891,792 | ||||||||||||
Real Estate | 2,219,090 | — | — | 2,219,090 | ||||||||||||
REITS | 17,895,233 | — | — | 17,895,233 | ||||||||||||
Retail | 43,259,027 | — | — | 43,259,027 | ||||||||||||
Semiconductors | 5,375,138 | — | — | 5,375,138 | ||||||||||||
Software | 56,316,122 | — | — | 56,316,122 | ||||||||||||
Telecommunications | 11,234,621 | — | — | 11,234,621 | ||||||||||||
Transportation | 11,028,819 | — | — | 11,028,819 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 412,043,329 | — | — | 412,043,329 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Warrants | ||||||||||||||||
Oil & Gas | — | 0 | * | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Warrants | — | 0 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposits | — | 32,528,141 | — | 32,528,141 | ||||||||||||
Securities Lending Collateral | — | 19,797,456 | — | 19,797,456 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 52,325,597 | — | 52,325,597 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 412,043,329 | $ | 52,325,597 | $ | — | $ | 464,368,926 | ||||||||
|
|
|
|
|
|
|
|
149
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (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 | $ | (927,707 | ) | $ | — | $ | — | $ | (927,707 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (927,707 | ) | — | — | (927,707 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (927,707 | ) | $ | — | $ | — | $ | (927,707 | ) | ||||||
|
|
|
|
|
|
|
|
* | Represents one or more Level 2 securities at $0 value as of September 30, 2015. |
† | 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. |
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 | $ | 1,998,005 | $ | 60,337,026 | $ | — | $ | 62,335,031 | ||||||||
Austria | — | 5,132,627 | — | 5,132,627 | ||||||||||||
Belgium | 2,552,956 | 23,655,454 | — | 26,208,410 | ||||||||||||
Bermuda | — | 3,800,022 | — | 3,800,022 | ||||||||||||
Brazil | 2,417,509 | — | — | 2,417,509 | ||||||||||||
Canada | 9,057,920 | — | — | 9,057,920 | ||||||||||||
Cayman Islands | — | 16,056,350 | — | 16,056,350 | ||||||||||||
China | — | 2,231,365 | — | 2,231,365 | ||||||||||||
Denmark | 6,485,802 | 45,009,426 | — | 51,495,228 | ||||||||||||
Finland | — | 5,515,564 | — | 5,515,564 | ||||||||||||
France | 587,941 | 156,182,429 | — | 156,770,370 | ||||||||||||
Germany | 230,472 | 163,805,805 | — | 164,036,277 | ||||||||||||
Hong Kong | — | 15,539,784 | — | 15,539,784 | ||||||||||||
Hungary | — | 2,045,622 | — | 2,045,622 | ||||||||||||
India | 814,500 | — | — | 814,500 | ||||||||||||
Indonesia | — | 4,190,929 | — | 4,190,929 | ||||||||||||
Ireland | 5,537,722 | 3,323,289 | — | 8,861,011 | ||||||||||||
Israel | 4,574,502 | 4,477,346 | — | 9,051,848 | ||||||||||||
Italy | — | 31,506,618 | — | 31,506,618 | ||||||||||||
Japan | 1,582,023 | 411,985,306 | — | 413,567,329 | ||||||||||||
Luxembourg | — | 958,010 | — | 958,010 | ||||||||||||
Malaysia | — | 1,668,654 | — | 1,668,654 | ||||||||||||
Malta | — | 2,021,679 | — | 2,021,679 | ||||||||||||
Netherlands | 16,790,435 | 66,190,639 | — | 82,981,074 | ||||||||||||
New Zealand | — | 2,735,679 | — | 2,735,679 | ||||||||||||
Norway | 752,272 | 26,407,414 | — | 27,159,686 | ||||||||||||
Philippines | — | 1,012,944 | — | 1,012,944 |
150
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Poland | $ | — | $ | 1,505,532 | $ | — | $ | 1,505,532 | ||||||||
Portugal | — | 9,218,909 | 104,819 | 9,323,728 | ||||||||||||
Russia | — | 2,572,458 | — | 2,572,458 | ||||||||||||
Singapore | — | 4,046,890 | — | 4,046,890 | ||||||||||||
South Africa | — | 1,461,334 | — | 1,461,334 | ||||||||||||
South Korea | — | 6,151,033 | — | 6,151,033 | ||||||||||||
Spain | 797,118 | 34,096,284 | 0 | ** | 34,893,402 | |||||||||||
Sweden | 466,105 | 54,429,521 | — | 54,895,626 | ||||||||||||
Switzerland | 7,791,750 | 170,230,367 | — | 178,022,117 | ||||||||||||
Taiwan | 7,591,450 | 1,454,892 | — | 9,046,342 | ||||||||||||
Thailand | — | 1,111,233 | — | 1,111,233 | ||||||||||||
Turkey | — | 1,633,907 | — | 1,633,907 | ||||||||||||
United Kingdom | 50,756,690 | 281,572,840 | — | 332,329,530 | ||||||||||||
United States | 41,378,714 | — | — | 41,378,714 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 162,163,886 | 1,625,275,181 | 104,819 | 1,787,543,886 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Companies | ||||||||||||||||
United States | 17,913,303 | — | — | 17,913,303 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investment Companies | 17,913,303 | — | — | 17,913,303 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | 1,304,653 | — | — | 1,304,653 | ||||||||||||
Germany | — | 14,471,961 | — | 14,471,961 | ||||||||||||
Spain | — | 271,492 | — | 271,492 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 1,304,653 | 14,743,453 | — | 16,048,106 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights | ||||||||||||||||
Germany | 1,234 | — | — | 1,234 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Rights | 1,234 | — | — | 1,234 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposits | — | 119,703,815 | — | 119,703,815 | ||||||||||||
Securities Lending Collateral | — | 79,951,616 | — | 79,951,616 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 199,655,431 | — | 199,655,431 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 181,383,076 | $ | 1,839,674,065 | $ | 104,819 | $ | 2,021,161,960 | ||||||||
|
|
|
|
|
|
|
|
151
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (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 | $ | (2,129,913 | ) | $ | — | $ | — | $ | (2,129,913 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Futures Contracts | (2,129,913 | ) | — | — | (2,129,913 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | (2,129,913 | ) | $ | — | $ | — | $ | (2,129,913 | ) | ||||||||||
|
|
|
|
|
|
|
|
** | Represents one or more Level 3 securities at $0 value as of September 30, 2015. |
† | 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 | $ | — | $ | 102,820,364 | $ | — | $ | 102,820,364 | ||||||||
Corporate Debt | — | 330,008,902 | 0 | ** | 330,008,902 | |||||||||||
Mortgage Backed Securities - Private Issuers | — | 95,998,106 | — | 95,998,106 | ||||||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations | — | 219,649,254 | — | 219,649,254 | ||||||||||||
Municipal Obligations | — | 22,978,989 | — | 22,978,989 | ||||||||||||
Sovereign Debt Obligations | — | 6,341,251 | — | 6,341,251 | ||||||||||||
U.S. Government and Agency Obligations | — | 95,382,621 | — | 95,382,621 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Debt Obligations | — | 873,179,487 | 0 | 873,179,487 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Diversified Financial Services | 2,738,554 | — | — | 2,738,554 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 2,738,554 | — | — | 2,738,554 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Options Purchased | ||||||||||||||||
Call Options | 128,750 | — | — | 128,750 | ||||||||||||
Put Options | 5,963 | — | — | 5,963 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Options Purchased | 134,713 | — | — | 134,713 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposits | — | 28,332,499 | — | 28,332,499 | ||||||||||||
Securities Lending Collateral | — | 6,539,643 | — | 6,539,643 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 34,872,142 | — | 34,872,142 | ||||||||||||
|
|
|
|
|
|
|
|
152
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Futures Contracts† | ||||||||||||||||
Buys | $ | 251,304 | $ | — | $ | — | $ | 251,304 | ||||||||
Sales | 329 | — | — | 329 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | 251,633 | — | — | 251,633 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Swaps | ||||||||||||||||
Centrally Cleared Credit Default Swaps† | — | 224,106 | — | 224,106 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Swaps | — | 224,106 | — | 224,106 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 3,124,900 | $ | 908,275,735 | $ | 0 | $ | 911,400,635 | ||||||||
|
|
|
|
|
|
|
|
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† | ||||||||||||||||
Sales | $ | (159,272 | ) | $ | — | $ | — | $ | (159,272 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (159,272 | ) | — | — | (159,272 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Swaps | ||||||||||||||||
Centrally Cleared Interest Rate Swaps† | — | (819,223 | ) | — | (819,223 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Swaps | — | (819,223 | ) | — | (819,223 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Written Options | (90,963 | ) | — | — | (90,963 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (250,235 | ) | $ | (819,223 | ) | $ | — | $ | (1,069,458 | ) | |||||
|
|
|
|
|
|
|
|
** | Represents one or more Level 3 securities at $0 value as of September 30, 2015. |
† | 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. |
153
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
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 | $ | — | $ | 177,979,221 | $ | — | $ | 177,979,221 | ||||||||
Sovereign Debt Obligations | — | 172,697,143 | — | 172,697,143 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Debt Obligations | — | 350,676,364 | — | 350,676,364 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposits | — | 23,540,041 | — | 23,540,041 | ||||||||||||
Securities Lending Collateral | — | 17,090,658 | — | 17,090,658 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 40,630,699 | — | 40,630,699 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts† | ||||||||||||||||
Buys | — | 662,813 | — | 662,813 | ||||||||||||
Sales | — | 1,492,337 | — | 1,492,337 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | 2,155,150 | — | 2,155,150 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts† | ||||||||||||||||
Buys | 497 | — | — | 497 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | 497 | — | — | 497 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 497 | $ | 393,462,213 | $ | — | $ | 393,462,710 | ||||||||
|
|
|
|
|
|
|
|
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 | $ | — | $ | (1,018,383 | ) | $ | — | $ | (1,018,383 | ) | ||||||
Sales | — | (795,559 | ) | — | (795,559 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | (1,813,942 | ) | — | (1,813,942 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts† | ||||||||||||||||
Buys | (190,045 | ) | — | — | (190,045 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (190,045 | ) | — | — | (190,045 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (190,045 | ) | $ | (1,813,942 | ) | $ | — | $ | (2,003,987 | ) | |||||
|
|
|
|
|
|
|
|
† | 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. |
154
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
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 | $ | 1,070,730 | $ | 3,486,936 | $ | — | $ | 4,557,666 | ||||||||
Brazil | 46,418,104 | — | — | 46,418,104 | ||||||||||||
Cayman Islands | 20,958,622 | 37,637,776 | — | 58,596,398 | ||||||||||||
Chile | 9,161,448 | — | — | 9,161,448 | ||||||||||||
China | — | 111,837,375 | — | 111,837,375 | ||||||||||||
Colombia | 626,177 | — | — | 626,177 | ||||||||||||
Czech Republic | — | 2,072,662 | — | 2,072,662 | ||||||||||||
Denmark | — | �� | 1,391,092 | — | 1,391,092 | |||||||||||
Hong Kong | 9,168,586 | 45,765,389 | — | 54,933,975 | ||||||||||||
Hungary | — | 4,518,203 | — | 4,518,203 | ||||||||||||
India | 30,559,750 | 77,494,421 | — | 108,054,171 | ||||||||||||
Indonesia | 1,597,120 | 20,893,073 | — | 22,490,193 | ||||||||||||
Luxembourg | 1,345,140 | — | — | 1,345,140 | ||||||||||||
Malaysia | 1,778,324 | 12,678,376 | — | 14,456,700 | ||||||||||||
Malta | — | 710,473 | — | 710,473 | ||||||||||||
Mexico | 41,559,443 | — | — | 41,559,443 | ||||||||||||
Netherlands | — | 1,174,647 | — | 1,174,647 | ||||||||||||
Pakistan | — | 715,867 | — | 715,867 | ||||||||||||
Panama | 708,128 | — | — | 708,128 | ||||||||||||
Peru | 75,692 | — | — | 75,692 | ||||||||||||
Philippines | 2,750,990 | 1,006,458 | — | 3,757,448 | ||||||||||||
Poland | — | 7,610,087 | — | 7,610,087 | ||||||||||||
Qatar | — | 6,669,897 | — | 6,669,897 | ||||||||||||
Russia | 11,879,392 | 7,442,822 | — | 19,322,214 | ||||||||||||
South Africa | — | 47,656,650 | — | 47,656,650 | ||||||||||||
South Korea | 21,254,823 | 89,239,365 | — | 110,494,188 | ||||||||||||
Taiwan | 13,959,660 | 106,656,829 | — | 120,616,489 | ||||||||||||
Thailand | 330,040 | 23,993,133 | — | 24,323,173 | ||||||||||||
Turkey | 4,907,107 | 9,406,938 | — | 14,314,045 | ||||||||||||
United Arab Emirates | 6,205,850 | 1,946,160 | — | 8,152,010 | ||||||||||||
United Kingdom | 10,146,648 | 13,197,024 | — | 23,343,672 | ||||||||||||
United States | 371,408 | — | — | 371,408 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 236,833,182 | 635,201,653 | — | 872,034,835 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | 8,977,700 | — | — | 8,977,700 | ||||||||||||
Colombia | 564,032 | — | — | 564,032 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 9,541,732 | — | — | 9,541,732 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights | ||||||||||||||||
South Korea | — | 173,629 | — | 173,629 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Rights | — | 173,629 | — | 173,629 | ||||||||||||
|
|
|
|
|
|
|
|
155
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposits | $ | — | $ | 81,215,503 | $ | — | $ | 81,215,503 | ||||||||
Investment Fund | — | 4,070,000 | — | 4,070,000 | ||||||||||||
Securities Lending Collateral | — | 37,939,957 | — | 37,939,957 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 123,225,460 | — | 123,225,460 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts† | ||||||||||||||||
Buys | — | 363,567 | — | 363,567 | ||||||||||||
Sales | — | 2,041,277 | — | 2,041,277 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | 2,404,844 | — | 2,404,844 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts† | ||||||||||||||||
Buys | 314,515 | — | — | 314,515 | ||||||||||||
Sales | 49,098 | — | — | 49,098 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | 363,613 | — | — | 363,613 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Synthetic Futures | — | 10,062 | — | 10,062 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 246,738,527 | $ | 761,015,648 | $ | — | $ | 1,007,754,175 | ||||||||
|
|
|
|
|
|
|
|
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 | $ | — | $ | (1,495,341 | ) | $ | — | $ | (1,495,341 | ) | ||||||
Sales | — | (205,393 | ) | — | (205,393 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | (1,700,734 | ) | — | (1,700,734 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts† | ||||||||||||||||
Buys | (854,283 | ) | — | — | (854,283 | ) | ||||||||||
Sales | (231,432 | ) | — | — | (231,432 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (1,085,715 | ) | — | — | (1,085,715 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Synthetic Futures | — | (936,072 | ) | — | (936,072 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (1,085,715 | ) | $ | (2,636,806 | ) | $ | — | $ | (3,722,521 | ) | |||||
|
|
|
|
|
|
|
|
† | 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. |
156
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
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 | $ | — | $ | 8,632,743 | $ | — | $ | 8,632,743 | ||||||||
Austria | — | 5,500,930 | — | 5,500,930 | ||||||||||||
Belgium | — | 6,744,898 | — | 6,744,898 | ||||||||||||
Bermuda | 9,347,137 | 2,052,663 | — | 11,399,800 | ||||||||||||
Canada | 32,005,562 | 306,420 | — | 32,311,982 | ||||||||||||
Denmark | — | 2,605,978 | — | 2,605,978 | ||||||||||||
Faroe Islands | — | 331,634 | — | 331,634 | ||||||||||||
France | — | 16,405,191 | — | 16,405,191 | ||||||||||||
Germany | — | 13,891,826 | — | 13,891,826 | ||||||||||||
Hong Kong | — | 4,594,022 | — | 4,594,022 | ||||||||||||
Ireland | 3,259,305 | 2,869,245 | — | 6,128,550 | ||||||||||||
Israel | 2,684,060 | 1,399,275 | — | 4,083,335 | ||||||||||||
Italy | — | 3,090,294 | — | 3,090,294 | ||||||||||||
Japan | 62,623 | 48,005,728 | — | 48,068,351 | ||||||||||||
Luxembourg | 896,861 | — | — | 896,861 | ||||||||||||
Mexico | 1,921,825 | — | — | 1,921,825 | ||||||||||||
Netherlands | 2,101,281 | 6,278,871 | — | 8,380,152 | ||||||||||||
New Zealand | — | 14,002,865 | — | 14,002,865 | ||||||||||||
Norway | — | 7,393,809 | — | 7,393,809 | ||||||||||||
Panama | 64,610 | — | — | 64,610 | ||||||||||||
Russia | — | 309,715 | — | 309,715 | ||||||||||||
Singapore | — | 3,022,509 | — | 3,022,509 | ||||||||||||
South Africa | 460,810 | — | — | 460,810 | ||||||||||||
South Korea | — | 3,189,773 | — | 3,189,773 | ||||||||||||
Spain | — | 3,737,638 | — | 3,737,638 | ||||||||||||
Sweden | — | 9,573,382 | — | 9,573,382 | ||||||||||||
Switzerland | 744,315 | 25,314,179 | — | 26,058,494 | ||||||||||||
Thailand | — | 830,536 | — | 830,536 | ||||||||||||
United Kingdom | 4,347,974 | 51,839,112 | — | 56,187,086 | ||||||||||||
United States | 388,653,740 | — | — | 388,653,740 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 446,550,103 | 241,923,236 | — | 688,473,339 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Companies | ||||||||||||||||
United States | 10,465,334 | — | — | 10,465,334 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investment Companies | 10,465,334 | — | — | 10,465,334 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Germany | — | 2,752,182 | — | 2,752,182 | ||||||||||||
Japan | — | 366,451 | — | 366,451 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | — | 3,118,633 | — | 3,118,633 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Warrants | ||||||||||||||||
United States | 329,889 | — | — | 329,889 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Warrants | 329,889 | — | — | 329,889 | ||||||||||||
|
|
|
|
|
|
|
|
157
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
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 | $ | — | $ | 1,868,517 | $ | — | $ | 1,868,517 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Debt Obligations | — | 1,868,517 | — | 1,868,517 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposits | — | 101,316,514 | — | 101,316,514 | ||||||||||||
Securities Lending Collateral | — | 32,432,139 | — | 32,432,139 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 133,748,653 | — | 133,748,653 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts† | ||||||||||||||||
Sales | — | 11,253 | — | 11,253 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | 11,253 | — | 11,253 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 457,345,326 | $ | 380,670,292 | $ | — | $ | 838,015,618 | ||||||||
|
|
|
|
|
|
|
|
LIABILITIES VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Forward Foreign Currency Contracts† | ||||||||||||||||
Sales | $ | — | $ | (28,217 | ) | $ | — | $ | (28,217 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | (28,217 | ) | — | (28,217 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts† | ||||||||||||||||
Buys | (698,304 | ) | — | — | (698,304 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (698,304 | ) | — | — | (698,304 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (698,304 | ) | $ | (28,217 | ) | $ | — | $ | (726,521 | ) | |||||
|
|
|
|
|
|
|
|
† | 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 tables show transfers between Level 1 and Level 2 of the fair value hierarchy:
Non-US Core Equity
Transfers In | Transfers Out | |||||||||||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | |||||||||||||
Common Stocks | $ | — | $ | 1,165,365,191 | * | $ | 1,165,365,191 | * | $ | — |
158
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
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 | $ | — | $ | 578,162,252 | * | $ | 578,162,252 | * | $ | — |
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 | $ | 62,663 | ** | $ | 224,488,012 | * | $ | 224,488,012 | * | $ | 62,663 | ** |
* | Transfers occurred between Level 1 and Level 2 as a result of applying a pricing factor, consistent with the Funds’ valuation and liquidity procedures, to certain foreign equity securities to reflect significant market movements between the time at which the Fund valued its securities and the earlier closing of foreign markets. |
** | Transfers occurred between Level 1 and Level 2 as a result of foreign securities receiving an exchange traded price. |
For financial statement reporting purposes, the Funds recognize transfers between Levels as of the end of the reporting period.
The following tables include a rollforward of the amounts for the period ended September 30, 2015 for financial instruments classified as Level 3:
Non-US Core Equity
Investments | Balance as of March 31, 2015 | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Net Transfers In (Out) of Level 3 | Purchases | Balance as of September 30, 2015 | Change in Unrealized Appreciation (Depreciation) from Investments Held at September 30, 2015 | ||||||||||||||||||||||||||||
COMMON STOCKS |
| ||||||||||||||||||||||||||||||||||
Portugal | $ | 100,852 | $ | — | $ | 3,967 | $ | — | $ | — | $ | 104,819 | $ | 3,967 | |||||||||||||||||||||
Spain | 0 | ^ | — | — | — | — | 0 | ^^ | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Total | $ | 100,852 | $ | — | $ | 3,967 | $ | — | $ | — | $ | 104,819 | $ | 3,967 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
^ | Represents one security at $0 value as of March 31, 2015. |
^^ | Represents one security at $0 value as of September 30, 2015. |
159
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
Core Fixed
Investments in Securities | Balance as of March 31, 2015 | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Net Transfers In (Out) of Level 3 | Purchases/ Sales | Balance as of September 30, 2015 | Change in Unrealized Appreciation (Depreciation) from Investments Held at September 30, 2015 | ||||||||||||||||||||||||||||
DEBT OBLIGATIONS |
| ||||||||||||||||||||||||||||||||||
Corporate Debt | $ | 0^ | $ | — | $ | — | $ | — | $ | — | $ | 0^^ | $ | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Total | $ | 0^ | $ | — | $ | — | $ | — | $ | — | $ | 0^^ | $ | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
^ | Represents three securities at $0 value as of March 31, 2015. |
^^ | Represents three securities at $0 value as of September 30, 2015. |
Investments in Derivative Instruments
Non-US Core Equity, Emerging Markets and Global Low Volatility held rights during the period as a result of corporate actions. Small/Mid Cap Growth and Global Low Volatility held warrants during the period as a result of corporate actions.
At September 30, 2015 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
Equity Risk | Total | |||||||
Futures Contracts(3) | $ | (271,142 | ) | $ | (271,142 | ) | ||
|
|
|
| |||||
Total Value | $ | (271,142 | ) | $ | (271,142 | ) | ||
|
|
|
|
NET REALIZED GAIN (LOSS)
Equity Risk | Total | |||||||
Futures Contracts(9) | $ | (592,922 | ) | $ | (592,922 | ) | ||
|
|
|
| |||||
Total Realized Gain (Loss) | $ | (592,922 | ) | $ | (592,922 | ) | ||
|
|
|
|
CHANGE IN APPRECIATION (DEPRECIATION)
Equity Risk | Total | |||||||
Futures Contracts(14) | $ | (96,082 | ) | $ | (96,082 | ) | ||
|
|
|
| |||||
Total Change in Appreciation (Depreciation) | $ | (96,082 | ) | $ | (96,082 | ) | ||
|
|
|
|
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(17)
Equity Risk | Total | |||||||
Futures Contracts | 131 | 131 |
160
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
Large Cap Value
LIABILITY DERIVATIVES
Equity Risk | Total | |||||||
Futures Contracts(3) | $ | (266,560 | ) | $ | (266,560 | ) | ||
|
|
|
| |||||
Total Value | $ | (266,560 | ) | $ | (266,560 | ) | ||
|
|
|
|
NET REALIZED GAIN (LOSS)
Equity Risk | Total | |||||||
Futures Contracts(9) | $ | (1,248,605 | ) | $ | (1,248,605 | ) | ||
|
|
|
| |||||
Total Realized Gain (Loss) | $ | (1,248,605 | ) | $ | (1,248,605 | ) | ||
|
|
|
|
CHANGE IN APPRECIATION (DEPRECIATION)
Equity Risk | Total | |||||||
Futures Contracts(14) | $ | (135,526 | ) | $ | (135,526 | ) | ||
|
|
|
| |||||
Total Change in Appreciation (Depreciation) | $ | (135,526 | ) | $ | (135,526 | ) | ||
|
|
|
|
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(17)
Equity Risk | Total | |||||||
Futures Contracts | 142 | 142 |
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) | $ | (927,707 | ) | $ | (927,707 | ) | ||
|
|
|
| |||||
Total Value | $ | (927,707 | ) | $ | (927,707 | ) | ||
|
|
|
|
NET REALIZED GAIN (LOSS)
Equity Risk | Total | |||||||
Futures Contracts(9) | $ | (1,080,641 | ) | $ | (1,080,641 | ) | ||
|
|
|
| |||||
Total Realized Gain (Loss) | $ | (1,080,641 | ) | $ | (1,080,641 | ) | ||
|
|
|
|
161
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
CHANGE IN APPRECIATION (DEPRECIATION)
Equity Risk | Total | |||||||
Warrants(12) | $ | 0 | $ | 0 | ||||
Futures Contracts(14) | (1,073,984 | ) | (1,073,984 | ) | ||||
|
|
|
| |||||
Total Change in Appreciation (Depreciation) | $ | (1,073,983 | ) | $ | (1,073,983 | ) | ||
|
|
|
|
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(17)
Equity Risk | Total | |||||||
Warrants | 27,862 | 27,862 | ||||||
Futures Contracts | 178 | 178 |
Small/Mid Cap Value
LIABILITY DERIVATIVES
Equity Risk | Total | |||||||
Futures Contracts(3) | $ | (759,863 | ) | $ | (759,863 | ) | ||
|
|
|
| |||||
Total Value | $ | (759,863 | ) | $ | (759,863 | ) | ||
|
|
|
|
NET REALIZED GAIN (LOSS)
Equity Risk | Total | |||||||
Futures Contracts(9) | $ | (1,433,739 | ) | $ | (1,433,739 | ) | ||
|
|
|
| |||||
Total Realized Gain (Loss) | $ | (1,433,739 | ) | $ | (1,433,739 | ) | ||
|
|
|
|
CHANGE IN APPRECIATION (DEPRECIATION)
Equity Risk | Total | |||||||
Futures Contracts(14) | $ | (994,228 | ) | $ | (994,228 | ) | ||
|
|
|
| |||||
Total Change in Appreciation (Depreciation) | $ | (994,228 | ) | $ | (994,228 | ) | ||
|
|
|
|
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(17)
Equity Risk | Total | |||||||
Futures Contracts | 153 | 153 |
Non-US Core Equity
ASSET DERIVATIVES
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights(1) | $ | — | $ | 1,234 | $ | 1,234 | ||||||
|
|
|
|
|
| |||||||
Total Value | $ | — | $ | 1,234 | $ | 1,234 | ||||||
|
|
|
|
|
|
162
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
LIABILITY DERIVATIVES
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Futures Contracts(3) | $ | — | $ | (2,129,913 | ) | $ | (2,129,913 | ) | ||||
|
|
|
|
|
| |||||||
Total Value | $ | — | $ | (2,129,913 | ) | $ | (2,129,913 | ) | ||||
|
|
|
|
|
|
NET REALIZED GAIN (LOSS)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Options Purchased(7) | $ | 69,668 | $ | — | $ | 69,668 | ||||||
Rights(7) | — | 56,430 | 56,430 | |||||||||
Futures Contracts(9) | — | (5,934,298 | ) | (5,934,298 | ) | |||||||
Forward Foreign Currency Contracts(8) | (37 | ) | — | (37 | ) | |||||||
|
|
|
|
|
| |||||||
Total Realized Gain (Loss) | $ | 69,631 | $ | (5,877,868 | ) | $ | (5,808,237 | ) | ||||
|
|
|
|
|
|
CHANGE IN APPRECIATION (DEPRECIATION)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Options Purchased(12) | $ | 77,788 | $ | — | $ | 77,788 | ||||||
Rights(12) | — | (36,412 | ) | (36,412 | ) | |||||||
Futures Contracts(14) | — | (2,281,298 | ) | (2,281,298 | ) | |||||||
|
|
|
|
|
| |||||||
Total Change in Appreciation (Depreciation) | $ | 77,788 | $ | (2,317,710 | ) | $ | (2,239,922 | ) | ||||
|
|
|
|
|
|
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(17)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Options Purchased | 715,313,900 | — | 715,313,900 | |||||||||
Rights | — | 99,227 | 99,227 | |||||||||
Futures Contracts | — | 852 | 852 | |||||||||
Forward Foreign Currency Contracts | (21,214 | ) | — | (21,214 | ) |
Core Fixed
ASSET DERIVATIVES
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Total | |||||||||||||
Options Purchased(1) | $ | 128,750 | $ | 5,963 | $ | — | $ | 134,713 | ||||||||
Futures Contracts(3) | 251,633 | — | — | 251,633 | ||||||||||||
Swaps Contracts(4) | — | — | 224,106 | ** | 224,106 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | 380,383 | $ | 5,963 | $ | 224,106 | $ | 610,452 | ||||||||
|
|
|
|
|
|
|
|
163
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
LIABILITY DERIVATIVES
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Total | |||||||||||||
Options Written(6) | $ | (85,000 | ) | $ | (5,963 | ) | $ | — | $ | (90,963 | ) | |||||
Futures Contracts(3) | (159,272 | ) | — | — | (159,272 | ) | ||||||||||
Swaps Contracts(4) | (819,223 | )** | — | — | (819,223 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | (1,063,495 | ) | $ | (5,963 | ) | $ | — | $ | (1,069,458 | ) | |||||
|
|
|
|
|
|
|
|
NET REALIZED GAIN (LOSS)
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Total | |||||||||||||
Options Purchased(7) | $ | (361,264 | ) | $ | — | $ | — | $ | (361,264 | ) | ||||||
Options Written(10) | 131,926 | — | — | 131,926 | ||||||||||||
Swaps Contracts(11) | (117,517 | ) | — | (85,944 | ) | (203,461 | ) | |||||||||
Futures Contracts(9) | 412,050 | — | — | 412,050 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Realized Gain (Loss) | $ | 65,195 | $ | — | $ | (85,944 | ) | $ | (20,749 | ) | ||||||
|
|
|
|
|
|
|
|
CHANGE IN APPRECIATION (DEPRECIATION)
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Total | |||||||||||||
Options Written(15) | $ | (28,745 | ) | $ | 57,468 | $ | — | $ | 28,723 | |||||||
Options Purchased(12) | (1,322 | ) | (88,612 | ) | — | (89,934 | ) | |||||||||
Swaps Contracts(16) | (641,030 | ) | — | 213,765 | (427,265 | ) | ||||||||||
Futures Contracts | 83,863 | — | — | 83,863 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Change in Appreciation (Depreciation) | $ | (587,234 | ) | $ | (31,144 | ) | $ | 213,765 | $ | (404,613 | ) | |||||
|
|
|
|
|
|
|
|
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(17)
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Total | |||||||||||||
Options Purchased | 171,000 | 2,385,000 | — | 2,556,000 | ||||||||||||
Options Written | (171,000 | ) | (2,385,000 | ) | — | (2,556,000 | ) | |||||||||
Swaps Contracts | 55,121,667 | — | 17,000,000 | 72,121,667 | ||||||||||||
Futures Contracts | 605 | — | — | 605 |
Opportunistic Fixed
ASSET DERIVATIVES
Interest Rate Risk | Foreign Exchange Risk | Total | ||||||||||
Futures Contracts(3) | $ | 497 | $ | — | $ | 497 | ||||||
Forward Foreign Currency Contracts(2) | — | 2,155,150 | 2,155,150 | |||||||||
|
|
|
|
|
| |||||||
Total Value | $ | 497 | $ | 2,155,150 | $ | 2,155,647 | ||||||
|
|
|
|
|
|
164
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
LIABILITY DERIVATIVES
Interest Rate Risk | Foreign Exchange Risk | Total | ||||||||||
Futures Contracts(3) | $ | (190,045 | ) | $ | — | $ | (190,045 | ) | ||||
Forward Foreign Currency Contracts(5) | — | (1,813,942 | ) | (1,813,942 | ) | |||||||
|
|
|
|
|
| |||||||
Total Value | $ | (190,045 | ) | $ | (1,813,942 | ) | $ | (2,003,987 | ) | |||
|
|
|
|
|
|
NET REALIZED GAIN (LOSS)
Interest Rate Risk | Foreign Exchange Risk | Total | ||||||||||
Futures Contracts(9) | $ | (469,615 | ) | $ | — | $ | (469,615 | ) | ||||
Forward Foreign Currency Contracts(8)† | — | 2,269,171 | 2,269,171 | |||||||||
|
|
|
|
|
| |||||||
Total Realized Gain (Loss) | $ | (469,615 | ) | $ | 2,269,171 | $ | 1,799,556 | |||||
|
|
|
|
|
|
CHANGE IN APPRECIATION (DEPRECIATION)
Interest Rate Risk | Foreign Exchange Risk | Total | ||||||||||
Futures Contracts(14) | $ | 274,340 | $ | — | $ | 274,340 | ||||||
Forward Foreign Currency Contracts(13)† | — | (1,740,261 | ) | (1,740,261 | ) | |||||||
|
|
|
|
|
| |||||||
Total Change in Appreciation (Depreciation) | $ | 274,340 | $ | (1,740,261 | ) | $ | (1,465,921 | ) | ||||
|
|
|
|
|
|
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(17)
Interest Rate Risk | Foreign Exchange Risk | Total | ||||||||||
Futures Contracts | 1,418 | — | 1,418 | |||||||||
Forward Foreign Currency Contracts† | — | 4,492,535 | 4,492,535 |
Emerging Markets
ASSET DERIVATIVES
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights(1) | $ | — | $ | 173,629 | $ | 173,629 | ||||||
Futures Contracts(3)†† | — | 373,675 | 373,675 | |||||||||
Forward Foreign Currency Contracts(2) | 2,404,844 | — | 2,404,844 | |||||||||
|
|
|
|
|
| |||||||
Total Value | $ | 2,404,844 | $ | 547,304 | $ | 2,952,148 | ||||||
|
|
|
|
|
|
LIABILITY DERIVATIVES
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Futures Contracts(3)†† | $ | — | $ | (2,021,787 | ) | $ | (2,021,787 | ) | ||||
Forward Foreign Currency Contracts(5) | (1,700,734 | ) | — | (1,700,734 | ) | |||||||
|
|
|
|
|
| |||||||
Total Value | $ | (1,700,734 | ) | $ | (2,021,787 | ) | $ | (3,722,521 | ) | |||
|
|
|
|
|
|
165
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
NET REALIZED GAIN (LOSS)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights(7) | $ | — | $ | 44,902 | $ | 44,902 | ||||||
Futures Contracts(9)†† | — | (11,111,061 | ) | (11,111,061 | ) | |||||||
Forward Foreign Currency Contracts(8) | (2,609,883 | ) | — | (2,609,883 | ) | |||||||
|
|
|
|
|
| |||||||
Total Realized Gain (Loss) | $ | (2,609,883 | ) | $ | (11,066,159 | ) | $ | (13,676,042 | ) | |||
|
|
|
|
|
|
CHANGE IN APPRECIATION (DEPRECIATION)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights(12) | $ | — | $ | (36,905 | ) | $ | (36,905 | ) | ||||
Futures Contracts(14)†† | — | (3,775,792 | ) | (3,775,792 | ) | |||||||
Forward Foreign Currency Contracts(13) | 1,324,579 | — | 1,324,579 | |||||||||
|
|
|
|
|
| |||||||
Total Change in Appreciation (Depreciation) | $ | 1,324,579 | $ | (3,812,697 | ) | $ | (2,488,118 | ) | ||||
|
|
|
|
|
|
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(17)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights | — | 19,482 | 19,482 | |||||||||
Futures Contracts†† | — | 1,567,940 | 1,567,940 | |||||||||
Forward Foreign Currency Contracts | 38,547,168 | — | 38,547,168 |
Global Low Volatility
ASSET DERIVATIVES
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Warrants(1) | $ | — | $ | 329,889 | $ | 329,889 | ||||||
Forward Foreign Currency Contracts(2) | 11,253 | — | 11,253 | |||||||||
|
|
|
|
|
| |||||||
Total Value | $ | 11,253 | $ | 329,889 | $ | 341,142 | ||||||
|
|
|
|
|
|
LIABILITY DERIVATIVES
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Futures Contracts(3) | $ | (13,860 | ) | $ | (684,444 | ) | $ | (698,304 | ) | |||
Forward Foreign Currency Contracts(5) | (28,217 | ) | — | (28,217 | ) | |||||||
|
|
|
|
|
| |||||||
Total Value | $ | (42,077 | ) | $ | (684,444 | ) | $ | (726,521 | ) | |||
|
|
|
|
|
|
NET REALIZED GAIN (LOSS)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights(7) | $ | — | $ | 28,793 | $ | 28,793 | ||||||
Warrants(7) | — | 205,061 | 205,061 | |||||||||
Futures Contracts(9) | (72,708 | ) | (2,616,641 | ) | (2,689,349 | ) | ||||||
Forward Foreign Currency Contracts(8) | 417,031 | — | 417,031 | |||||||||
|
|
|
|
|
| |||||||
Total Realized Gain (Loss) | $ | 344,323 | $ | (2,382,787 | ) | $ | (2,038,464 | ) | ||||
|
|
|
|
|
|
166
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
CHANGE IN APPRECIATION (DEPRECIATION)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights(12) | $ | — | $ | (30,149 | ) | $ | (30,149 | ) | ||||
Warrants(12) | — | (174,548 | ) | (174,548 | ) | |||||||
Futures Contracts(14) | (15,110 | ) | (720,479 | ) | (735,589 | ) | ||||||
Forward Foreign Currency Contracts(13) | (487,915 | ) | — | (487,915 | ) | |||||||
|
|
|
|
|
| |||||||
Total Change in Appreciation (Depreciation) | $ | (503,025 | ) | $ | (925,176 | ) | $ | (1,428,201 | ) | |||
|
|
|
|
|
|
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(17)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights | — | 198,752 | 198,752 | |||||||||
Warrants | — | 29,851 | 29,851 | |||||||||
Futures Contracts | 19 | 372 | 391 | |||||||||
Forward Foreign Currency Contracts | (2,350,675 | ) | — | (2,350,675 | ) |
* | Represents one security at $0 value as of September 30, 2015. |
** | 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. |
† | 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. |
(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, 2015. |
The Funds follow FASB ASC 815-10-50 “Disclosures about Credit Derivatives and Certain Guarantees”. This applies to written credit derivatives, hybrid instruments with embedded credit derivatives (for example, credit-linked notes), and certain guarantees.
167
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
The following is a summary of open centrally cleared credit default swap positions held in Core Fixed at September 30, 2015:
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 | |||||||||||||||||||||||||
17,000,000 | USD | 06/20/20 | JPMorgan Chase N.A. | Buy | $ | 17,000,000 | (1.00 | %) | CDX.IG.24 CG24 | $ | 224,106 | $ | (90,825 | ) |
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 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 Fund’s net assets decline by a stated percentage or the Funds fail to meet the terms of their 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 or received 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 each day at the close of business of the Funds, typically based on changes in market values for each transaction under an ISDA Master Agreement and netted into one amount for such agreement 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 they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
168
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
The Funds are 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, 2015.
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) | ||||||||||||
Barclays Bank Plc | $ | 13,454 | $ | — | $ | — | $ | 13,454 | ||||||||
Citibank N.A. London | 1,030,471 | (1,030,471 | ) | — | — | |||||||||||
Deutsche Bank AG | 51,983 | (51,983 | ) | — | — | |||||||||||
Goldman Sachs | 904,272 | (479,033 | ) | — | 425,239 | |||||||||||
Standard Chartered Bank | 107,405 | (93,200 | ) | — | 14,205 | |||||||||||
Standard Chartered Bank, London | 47,565 | (8,677 | ) | — | 38,888 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 2,155,150 | $ | (1,663,364 | ) | $ | — | $ | 491,786 | ||||||||
|
|
|
|
|
|
|
|
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. London | $ | (1,141,558 | ) | $ | 1,030,471 | $ | — | $ | (111,087 | ) | ||||||
Deutsche Bank AG | (91,474 | ) | 51,983 | — | (39,491 | ) | ||||||||||
Goldman Sachs | (479,033 | ) | 479,033 | — | — | |||||||||||
Standard Chartered Bank | (93,200 | ) | 93,200 | — | — | |||||||||||
Standard Chartered Bank, London | (8,677 | ) | 8,677 | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (1,813,942 | ) | $ | 1,663,364 | $ | — | $ | (150,578 | ) | |||||||
|
|
|
|
|
|
|
|
(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) | ||||||||||||
Citibank N.A. London | $ | 2,404,844 | $ | (1,700,734 | ) | $ | (704,110 | ) | $ | — | ||||||
Goldman Sachs & Co. | 10,062 | (10,062 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 2,414,906 | $ | (1,710,796 | ) | $ | (704,110 | ) | $ | — | |||||||
|
|
|
|
|
|
|
|
169
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (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) | ||||||||||||
Citibank N.A. London | $ | (1,700,734 | ) | $ | 1,700,734 | $ | — | $ | — | |||||||
Goldman Sachs & Co. | (936,072 | ) | 10,062 | 926,010 | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (2,636,806 | ) | $ | 1,710,796 | $ | 926,010 | $ | — | ||||||||
|
|
|
|
|
|
|
|
(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 | $ | 5,676 | $ | (5,676 | ) | $ | — | $ | — | |||||||
Goldman Sachs | 3,292 | (3,292 | ) | — | — | |||||||||||
HSBC Bank USA | 2,285 | — | — | 2,285 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 11,253 | $ | (8,968 | ) | $ | — | $ | 2,285 | ||||||||
|
|
|
|
|
|
|
|
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) | ||||||||||||
Bank of New York | $ | (24,136 | ) | $ | 5,676 | $ | — | $ | (18,460 | ) | ||||||
Goldman Sachs | (4,081 | ) | 3,292 | — | (789 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (28,217 | ) | $ | 8,968 | $ | — | $ | (19,249 | ) | |||||||
|
|
|
|
|
|
|
|
(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. |
(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.
170
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
(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.
(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.
Certain Funds may from time to time participate in a securities lending program under which the Funds’ custodian, State Street Bank and Trust Company (the “Custodian”) acting as securities lending agent, 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 was equal to or exceeded the securities on loan at September 30, 2015. Cash collateral is invested in the State Street Institutional U.S. Government Money Market Fund, Premier Class. 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, 2015 were as follows:
Market Value of Loaned Securities | Value of Cash Collateral | Value of Non-Cash Collateral | ||||||||||
Large Cap Growth | $ | 28,372,509 | $ | 28,055,206 | $ | 113,036 | ||||||
Large Cap Value | 6,414,832 | 6,345,778 | — | |||||||||
Small/Mid Cap Growth | 22,640,651 | 19,797,456 | 2,930,370 | |||||||||
Small/Mid Cap Value | 32,050,548 | 32,139,919 | 949,772 | |||||||||
Non-US Core Equity | 76,122,745 | 79,951,616 | 107,608 | |||||||||
Core Fixed | 6,429,608 | 6,539,643 | — | |||||||||
Opportunistic Fixed | 16,802,186 | 17,090,658 | — | |||||||||
Emerging Markets | 39,604,360 | 37,939,957 | 3,407,377 | |||||||||
Global Low Volatility | 34,390,411 | 32,432,139 | 3,263,130 |
The Funds have adopted the disclosure provisions of FASB Accounting Standards Update No. 2014-11 (“ASU No. 2014-11”), Transfers & Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures. ASU No. 2014-11 is intended to provide increased transparency about the types of collateral pledged in repurchase agreements and other similar transactions that are accounted for as secured borrowing.
For Large Cap Growth, Large Cap Value, Small/Mid Cap Value and Emerging Markets, all of the securities on loan are classified as Common Stocks in each Fund’s Schedule of Investments at September 30, 2015.
171
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
For Opportunistic Fixed, all of the securities on loan are classified as Corporate Debt in the Fund’s Schedule of Investments at September 30, 2015.
For Small/Mid Cap Growth, Non-US Core Equity, Core Fixed and Global Low Volatility, the value of the security loan obligation is classified as follows at September 30, 2015:
Small/Mid Cap Growth
Remaining Contractual Maturity of the Agreements As of September 30, 2015 | ||||||||||||||||||||
Overnight and Continuous | <30 days | Between 30 & 90 days | >90 days | Total | ||||||||||||||||
Securities Lending Transactions | ||||||||||||||||||||
Common Stocks | $ | 19,797,456 | $ | — | $ | — | $ | — | $ | 19,797,456 | ||||||||||
Warrants | — | — | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 19,797,456 | $ | — | $ | — | $ | — | $ | 19,797,456 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Borrowings | $ | 19,797,456 | $ | — | $ | — | $ | — | $ | 19,797,456 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Gross amount of recognized liabilities for securities lending transactions |
| $ | 19,797,456 | |||||||||||||||||
|
|
Non-US Core Equity
Remaining Contractual Maturity of the Agreements As of September 30, 2015 | ||||||||||||||||||||
Overnight and Continuous | <30 days | Between 30 & 90 days | >90 days | Total | ||||||||||||||||
Securities Lending Transactions | ||||||||||||||||||||
Common Stocks | $ | 79,950,325 | $ | — | $ | — | $ | — | $ | 79,950,325 | ||||||||||
Rights | 1,291 | — | — | — | 1,291 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 79,951,616 | $ | — | $ | — | $ | — | $ | 79,951,616 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Borrowings | $ | 79,951,616 | $ | — | $ | — | $ | — | $ | 79,951,616 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Gross amount of recognized liabilities for securities lending transactions |
| $ | 79,951,616 | |||||||||||||||||
|
|
Core Fixed
Remaining Contractual Maturity of the Agreements As of September 30, 2015 | ||||||||||||||||||||
Overnight and Continuous | <30 days | Between 30 & 90 days | >90 days | Total | ||||||||||||||||
Securities Lending Transactions | ||||||||||||||||||||
Corporate Debt | $ | 5,686,172 | $ | — | $ | — | $ | — | $ | 5,686,172 | ||||||||||
Sovereign Debt Obligations | 853,471 | — | — | — | 853,471 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 6,539,643 | $ | — | $ | — | $ | — | $ | 6,539,643 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Borrowings | $ | 6,539,643 | $ | — | $ | — | $ | — | $ | 6,539,643 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Gross amount of recognized liabilities for securities lending transactions |
| $ | 6,539,643 | |||||||||||||||||
|
|
172
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
Global Low Volatility
Remaining Contractual Maturity of the Agreements As of September 30, 2015 | ||||||||||||||||||||
Overnight and Continuous | <30 days | Between 30 & 90 days | >90 days | Total | ||||||||||||||||
Securities Lending Transactions | ||||||||||||||||||||
Common Stocks | $ | 22,075,744 | $ | — | $ | — | $ | — | $ | 22,075,744 | ||||||||||
Investment Companies | 10,356,395 | — | — | — | 10,356,395 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 32,432,139 | $ | — | $ | — | $ | — | $ | 32,432,139 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Borrowings | $ | 32,432,139 | $ | — | $ | — | $ | — | $ | 32,432,139 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Gross amount of recognized liabilities for securities lending transactions |
| $ | 32,432,139 | |||||||||||||||||
|
|
(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.
An MRA permits the Funds, 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 Funds. 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 Funds receive or post securities as collateral with a market value in excess of the repurchase price to be paid or received by the Funds upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Funds would recognize a liability with respect to such excess collateral to reflect the Funds’ obligation under bankruptcy law to return the excess to the counterparty. As of September 30, 2015, none of the Funds held open repurchase agreements.
(f) Swaps
Swap contracts are derivatives in the form of a contract or similar instrument, which is an agreement to exchange the return generated by one instrument for the return generated by another instrument. A Fund may engage in swaps, including, but not limited to, interest rate, currency, credit default, and index swaps, and the purchase or sale of related caps, floors, collars, and other derivative instruments. A Fund expects to enter into these transactions to preserve a return or spread on a particular investment or portion of the portfolio, to modify the portfolio’s duration, to protect against any increase in the price of securities the Fund anticipates purchasing at a later date, or to gain exposure to certain markets in the most economical way possible.
Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) with respect to a notional amount of principal. Currency swaps involve the exchange of cash flows on a notional amount based on changes in the values of referenced currencies.
173
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
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.
The equity swaps in which the Funds may invest involve agreements with a counterparty. The return to the Funds on any equity swap contract will be the total return on the notional amount of the contract as if it were invested in the stocks comprising the contract index in exchange for an interest component based on the notional amount of the agreement. The Funds will only enter into an equity swap contract on a net basis, i.e., the two parties’ obligations are netted out, with the Funds paying or receiving, as the case may be, only the net amount of the payments. Payments under an equity swap contract may be made at the conclusion of the contract or periodically during its term.
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
174
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
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.
Under the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) enacted in 2010, a regulatory framework for certain 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 are now regulated as swap dealers or swap participants, and are subject to certain minimum capital and margin requirements and business conduct standards.
The swaps market is largely unregulated. It is possible that developments in the swaps market, including potential government regulation, could adversely affect the Funds’ ability to terminate existing swap agreements or to realize amounts to be received under such agreements.
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. Cash margin is recorded on the Statements of Assets and Liabilities as cash collateral held at broker on open swap contracts. Swap agreements are marked to market daily. 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
175
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
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, 2015, 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, 2015.
(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, indices 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, indices 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, indices or foreign currencies 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.
In entering into futures contracts and options on futures contracts, there is a credit risk that a counterparty will not be able to meet its obligations to the Fund. The counterparty for futures contracts and options on futures contracts traded in the United States and on most foreign futures exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of its members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members (i.e., some foreign exchanges), it is normally backed by a consortium of banks or other financial institutions. There can be no assurance that any counterparty, clearing member or clearinghouse will be able to meet its obligations to the Fund.
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, Emerging Markets will utilize synthetic futures as part of the country selection strategy implementation. A
176
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
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, 2015, 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, Opportunistic Fixed, Emerging Markets and Global Low Volatility Schedules of Investments for a listing of open futures contracts as of September 30, 2015.
(h) Options
The Funds may purchase and sell (write) put and call options on debt securities, currencies and indices to enhance investment performance, manage duration, or protect against changes in market prices. The Funds may also buy and sell combinations of put and call options on the same underlying security, currency or index. Short (sold) options positions will generally be hedged by the Funds with cash, cash equivalents, current portfolio security holdings, or other options or futures positions.
The Funds may enter into swap options (“swaptions”). A swaption is a contract that gives a counterparty the right (but not the obligation), in return for payment of a premium, to enter into a new swap agreement or to shorten, extend, cancel, or otherwise modify an existing swap agreement, at some designated future time on specified terms. Each Fund may sell (write) 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, currencies and interest rates.
During the period ended September 30, 2015, 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.
177
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
See the Core Fixed Schedule of Investments for a listing of options contracts as of September 30, 2015.
Transactions in written option contracts for Core Fixed for the period ended September 30, 2015, is as follows:
Number of Contracts/ Notional Amount | Premiums Received | |||||||
Options outstanding at March 31, 2015 | 260 | $ | 38,147 | |||||
Options written | 2,263 | 302,954 | ||||||
Options terminated in closing purchase transactions | (799 | ) | (160,785 | ) | ||||
Options expired | (610 | ) | (64,764 | ) | ||||
|
|
|
| |||||
Options outstanding at September 30, 2015 | 1,114 | $ | 115,552 |
(i) Forward foreign currency contracts
The Funds may purchase or sell currencies and/or engage in forward foreign currency transactions in order to expedite settlement of portfolio transactions and to manage currency risk.
Forward foreign currency contracts are traded in the inter-bank market conducted directly between currency traders (usually large commercial banks) and their customers. A forward contract generally has no deposit requirement and no commissions are charged at any stage for trades. The Funds will account for forward contracts by marking-to-market each day at current forward contract values. The change in market value is recorded by the Fund as an unrealized gain or loss. When the contract is closed, the Fund recognizes a realized gain or loss equal to the difference between the value of the contract at the time the contract was opened and the value at the time the contract was closed.
The Funds will only enter into forward contracts to sell, for a fixed amount of U.S. dollars or other appropriate currency, an amount of foreign currency, to the extent that the value of the short forward contract is covered by the underlying value of securities denominated in the currency being sold. Alternatively, when a Fund enters into a forward contract to sell an amount of foreign currency, the Custodian or the Fund’s sub-custodian will segregate assets in a segregated account of the Fund in an amount not less than the value of the Fund’s total assets committed to the consummation of such forward contract. If the additional segregated assets placed in the segregated account decline, additional cash or securities will be placed in the account on a daily basis so that the value of the account will equal the amount of the Fund’s commitments with respect to such contract.
During the period ended September 30, 2015, 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. Non-US Core Equity, 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 Opportunistic Fixed, Emerging Markets and Global Low Volatility Schedules of Investments for a listing of open forward foreign currency contracts as of September 30, 2015.
(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.
178
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
(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 prior to settlement date. See the Core Fixed and Opportunistic Fixed Schedules of Investments for TBA and when-issued securities held as of September 30, 2015.
(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, 2015.
(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.
179
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
Payments received for POs are treated as reductions to the cost and par value of the securities. See the Schedule of Investments for mortgage-backed and asset-backed securities held by Core Fixed as of September 30, 2015.
(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 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, 2015.
(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, 2015, 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.
180
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
(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.
(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 had 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 were 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 paid 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 was 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 the agreement was in effect.
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.
181
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
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. |
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.
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 Opportunistic Fixed, 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 through July 31, 2016 in an amount necessary to limit the Fund’s total annual operating expenses to an annual rate (as a percentage of the Fund’s average daily net assets) as set forth in the table below. For the period ended September 30, 2015, the fees were reimbursed to the extent that the 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.
Class S | Class Y-1 | Class Y-2 | Class Y-3 | |||||||||||||
Opportunistic Fixed | 1.40 | % | 1.35 | % | 1.05 | % | 0.90 | % |
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 period ended September 30, 2015, there were no reimbursed expenses recovered by the Advisor from the Funds.
182
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
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, 2015. The following amounts were available for recapture as of July 31, 2015:
Expenses Reimbursed in the 12-Months Ended July 31, | ||||||||||||
2013 | 2014 | 2015 | ||||||||||
Subject to Recapture until July 31, | ||||||||||||
2016 | 2017 | 2018 | ||||||||||
Large Cap Growth | $ | 206,394 | $ | 248,632 | $ | — | ||||||
Large Cap Value | 198,065 | 240,121 | — | |||||||||
Small/Mid Cap Growth | 85,083 | 54,175 | — | |||||||||
Small/Mid Cap Value | 84,500 | 103,551 | — | |||||||||
Non-US Core Equity | — | — | — | |||||||||
Core Fixed | 556,235 | 651,589 | — | |||||||||
Opportunistic Fixed | — | 253,811 | 208,082 | |||||||||
Emerging Markets | 556,088 | 556,688 | — | |||||||||
Global Low Volatility | 131,146 | — | — |
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, 2015, were as follows:
Long-Term U.S. Government Securities | Other Long-Term Securities | |||||||
Purchases | ||||||||
Large Cap Growth | $ | — | $ | 139,189,267 | ||||
Large Cap Value | — | 144,569,814 | ||||||
Small/Mid Cap Growth | — | 142,686,002 | ||||||
Small/Mid Cap Value | — | 180,408,528 | ||||||
Non-US Core Equity | — | 1,156,185,046 | ||||||
Core Fixed | 298,689,969 | 103,898,245 | ||||||
Opportunistic Fixed | — | 139,220,849 | ||||||
Emerging Markets | — | 368,688,798 | ||||||
Global Low Volatility | — | 122,932,136 | ||||||
Sales | ||||||||
Large Cap Growth | — | 129,542,922 | ||||||
Large Cap Value | — | 117,658,714 | ||||||
Small/Mid Cap Growth | — | 130,001,851 | ||||||
Small/Mid Cap Value | — | 153,420,754 | ||||||
Non-US Core Equity | — | 1,114,631,001 | ||||||
Core Fixed | 281,988,690 | 86,055,489 | ||||||
Opportunistic Fixed | — | 111,213,495 | ||||||
Emerging Markets | — | 297,063,123 | ||||||
Global Low Volatility | — | 103,922,713 |
183
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
7. | Share transactions |
Each Fund is authorized to issue an unlimited number of shares of beneficial interest without par value. Transactions in Fund shares were as follows:
Large Cap Growth
Six Months Ended September 30, 2015 | Year Ended March 31, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 4,597,421 | $ | 51,317,707 | 6,185,388 | $ | 77,587,271 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 8,784,938 | 94,613,781 | ||||||||||||
Shares repurchased | (2,993,590 | ) | (34,025,250 | ) | (9,582,950 | ) | (122,468,542 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 1,603,831 | $ | 17,292,457 | 5,387,376 | $ | 49,732,510 | ||||||||||
|
|
|
|
|
|
|
|
Large Cap Value
Six Months Ended September 30, 2015 | Year Ended March 31, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 4,381,300 | $ | 51,151,108 | 4,511,523 | $ | 56,106,037 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 4,919,253 | 56,571,414 | ||||||||||||
Shares repurchased | (1,818,508 | ) | (21,123,437 | ) | (7,663,555 | ) | (96,489,912 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 2,562,792 | $ | 30,027,671 | 1,767,221 | $ | 16,187,539 | ||||||||||
|
|
|
|
|
|
|
|
Small/Mid Cap Growth
Six Months Ended September 30, 2015 | Year Ended March 31, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 3,863,559 | $ | 44,668,229 | 9,332,692 | $ | 111,300,308 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 4,650,783 | 53,577,019 | ||||||||||||
Shares repurchased | (2,094,441 | ) | (26,042,664 | ) | (7,407,808 | ) | (90,991,076 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 1,769,118 | $ | 18,625,565 | 6,575,667 | $ | 73,886,251 | ||||||||||
|
|
|
|
|
|
|
|
Small/Mid Cap Value
Six Months Ended September 30, 2015 | Year Ended March 31, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 5,110,705 | $ | 45,741,129 | 10,577,321 | $ | 108,544,174 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 7,710,955 | 70,478,128 | ||||||||||||
Shares repurchased | (1,466,788 | ) | (14,320,238 | ) | (6,285,557 | ) | (64,094,432 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 3,643,917 | $ | 31,420,891 | 12,002,719 | $ | 114,927,870 | ||||||||||
|
|
|
|
|
|
|
|
184
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
Non-US Core Equity
Six Months Ended September 30, 2015 | Year Ended March 31, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 13,749,014 | $ | 142,035,916 | 44,854,131 | $ | 511,679,522 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 21,352,368 | 218,007,675 | ||||||||||||
Shares repurchased | (9,213,424 | ) | (101,774,931 | ) | (29,317,958 | ) | (331,351,266 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 4,535,590 | $ | 40,260,985 | 36,888,541 | $ | 398,335,931 | ||||||||||
|
|
|
|
|
|
|
|
Core Fixed
Six Months Ended September 30, 2015 | Year Ended March 31, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 13,260,794 | $ | 136,614,010 | 18,919,349 | $ | 199,255,007 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 4,225,933 | 43,231,293 | ||||||||||||
Shares repurchased | (11,139,399 | ) | (114,555,377 | ) | (40,863,194 | ) | (433,922,784 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,121,395 | $ | 22,058,633 | (17,717,912 | ) | $ | (191,436,484 | ) | ||||||||
|
|
|
|
|
|
|
|
Opportunistic Fixed
Six Months Ended September 30, 2015 | Year Ended March 31, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 6,398,949 | $ | 56,895,274 | 21,642,636 | $ | 219,014,162 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 2,114,079 | 19,576,373 | ||||||||||||
Shares repurchased | (3,636,255 | ) | (32,669,564 | ) | (5,370,938 | ) | (55,031,383 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 2,762,694 | $ | 24,225,710 | 18,385,777 | $ | 183,559,152 | ||||||||||
|
|
|
|
|
|
|
|
Emerging Markets
Six Months Ended September 30, 2015 | Year Ended March 31, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 16,039,622 | $ | 151,306,700 | 35,613,656 | $ | 362,012,477 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 1,946,249 | 18,781,299 | ||||||||||||
Shares repurchased | (8,430,952 | ) | (82,712,299 | ) | (13,852,646 | ) | (142,644,424 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 7,608,670 | $ | 68,594,401 | 23,707,259 | $ | 238,149,352 | ||||||||||
|
|
|
|
|
|
|
|
185
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
Global Low Volatility
Six Months Ended September 30, 2015 | Year Ended March 31, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 5,518,899 | $ | 68,040,338 | 22,126,406 | $ | 272,817,683 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 4,495,626 | 53,273,171 | ||||||||||||
Shares repurchased | (4,014,141 | ) | (49,316,779 | ) | (19,537,419 | ) | (243,542,599 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 1,504,758 | $ | 18,723,559 | 7,084,613 | $ | 82,548,255 | ||||||||||
|
|
|
|
|
|
|
|
8. | Federal income taxes |
As of September 30, 2015, 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 | $ | 380,019,302 | $ | 28,131,746 | $ | (17,008,261 | ) | $ | 11,123,485 | |||||||
Large Cap Value | 371,898,060 | 22,306,679 | (36,639,118 | ) | (14,332,439 | ) | ||||||||||
Small/Mid Cap Growth | 440,456,661 | 55,639,804 | (31,727,539 | ) | 23,912,265 | |||||||||||
Small/Mid Cap Value | 502,643,926 | 21,768,645 | (49,305,349 | ) | (27,536,704 | ) | ||||||||||
Non-US Core Equity | 2,090,052,207 | 102,861,101 | (171,751,348 | ) | (68,890,247 | ) | ||||||||||
Core Fixed | 911,921,794 | 14,237,295 | (15,234,193 | ) | (996,898 | ) | ||||||||||
Opportunistic Fixed | 468,666,948 | 331,991 | (77,691,876 | ) | (77,359,885 | ) | ||||||||||
Emerging Markets | 1,147,081,303 | 32,332,006 | (174,437,653 | ) | (142,105,647 | ) | ||||||||||
Global Low Volatility | 835,059,064 | 53,884,883 | (50,939,582 | ) | 2,945,301 |
9. | Subsequent events |
Management has evaluated the impact of subsequent events through November 19, 2015, the date the financial statements were available to be issued for possible adjustment to and/or disclosure in the Funds’ financial statements. Management has determined that there are no material events that would require adjustment and/or disclosure in the Funds’ financial statements through this date.
10. | Proxy Voting |
A description of the policies and procedures that the Advisor and each Fund’s Subadvisors use to determine how to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling 1-866-658-9896, and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov. Information about Funds’ proxy voting decisions are available without charge, online on the Funds’ website at http://www.mercer.us/mutual-funds-on-offer.
11. | Quarterly Reporting |
The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q, which when filed, will be available on the SEC’s website at http://www.sec.gov. When filed, the Funds’ Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
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12. | Board Approval of the Investment Management Agreement for the Funds and |
Subadvisory Agreements for the Funds during the period April 1, 2015 through September 30, 2015
June 17-18, 2015 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 17-18, 2015 (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 series of the Trust (each a “Fund,” and together, the “Funds”), consisting of: 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 Core 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 Trustees 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 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 Trustees 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 Trustees 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 Trustees considered presentations made by, and discussions held with, representatives of the Advisor. The Trustees considered and analyzed factors that they 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
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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 Trustees 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 Trustees 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 Trustees 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 Trustees discussed the Advisor’s ability and willingness to identify instances where there was a need to add a new Subadvisor, to replace a current Subadvisor, to reallocate Fund assets among current Subadvisors, to utilize a new strategy of a current Subadvisor, or to implement a combination of these measures, as well as the Advisor’s ability to promptly, efficiently, and economically effect such changes. The Board reviewed the proprietary tools utilized by the Advisor to review, select, evaluate, and monitor Subadvisors for the Funds, as well as the Advisor’s experience, resources, and strengths in advising the Mercer Collective Trust and the Mercer Group Trust, two other pooled investment vehicles overseen by the Advisor. The Trustees also considered the fact that the Advisor is capable of providing, through its other business divisions, significant research and related services to the Funds that an investment advisor to a fund complex of similar size as the Funds might not otherwise be able to provide
The Trustees 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 Trustees 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 Trustees considered the scope and substance of the Advisor’s regulatory and compliance policies, procedures, and systems. The Trustees 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 Trustees 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 members of 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.
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(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 Trustees 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 Trustees 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 Trustees 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 Trustees considered that the Advisor had only recently become profitable with respect to the services it provides in connection with the operations of the Funds. The Trustees 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, and the Advisor’s willingness to retain replacement Subadvisors that may charge higher subadvisory fees than the firm being replaced, which can negatively impact the overall level of profitability of the Advisor.
The Trustees 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 Trustees 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 Trustees noted that the Advisor, as a policy, did not receive any services paid for by Fund soft dollar commissions. As such, the members of 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 Trustees 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 Trustees 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 Trustees 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 Trustees concluded that the benefits that accrued to the Advisor and its affiliates by virtue of their relationships to the Funds were reasonable and fair in comparison with the costs of providing the relevant services.
(c) The extent to which economies of scale were realized as each Fund grew, and whether fee levels reflected these economies of scale for the benefit of Fund shareholders. The Trustees next discussed potential economies of scale. The Trustees discussed that the advisory fee schedule for each Fund currently includes a breakpoint at $750 million in assets, which reduces the investment advisory fee for a Fund and allows the shareholders of the Fund to participate in economies of scale available when the Fund surpasses the threshold level without compromising the quality of services.
(d) The investment performance of the Funds and the Advisor. The Trustees 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 Trustees considered whether the Funds operated within their investment objectives and styles, and considered each Fund’s record of compliance with its investment restrictions. The Trustees also considered that the Advisor continued to be
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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 Trustees 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 third quintile: the Large Cap Value Fund’s performance fell within the third 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 Core 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 third quintile; the Core Fixed Income Fund’s performance fell within the second quintile; and the Opportunistic Fixed Income Fund’s performance fell within the fifth quintile, of their respective performance universes for performance since inception. The Trustees 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 Trustees noted that the Fund’s performance for the one-, three- and five-year and the since inception measurement periods placed it in the fourth, fourth, second and third quintiles, respectively, of its peer universe. The Trustees also considered that the Large 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-year, three-year and since inception measurement periods.
In the case of the Large Cap Value Fund, the Trustees noted that the Fund’s performance for the one-, three- and five-year and the since inception measurement periods placed it in the second, first, first and third quintiles, respectively, of its peer universe. The Trustees also considered that the Large Cap Value Fund’s performance was better than its peer group average for the three-, five- year and since inception measurement periods but below its peer group average for the one-year measurement period.
In the case of the Small/Mid Cap Growth Fund, the Trustees noted that the Fund’s performance fell within the third quintile of the performance universe across the five annual measurement periods and the since inception measurement period, with the exception of the two-year performance period, for which the Fund fell within the fourth quintile of the performance universe. The Trustees also considered that the Small/Mid Cap Growth Fund’s performance was better than its peer group average for the since inception measurement period but below its peer group average for the one- and five-year measurement periods. The Trustees further considered that the Fund’s performance was equal to its peer group average for the three-year measurement period.
In the case of the Small/Mid Cap Value Fund, it was noted that Fund’s performance fell within the third and fourth quintiles for the five annual measurement periods and in the fifth quintile for the since inception measurement period. The Trustees also considered that the Small/Mid Cap Value Fund’s performance was better than its peer group average for the five-year measurement period but below its peer group average for the one- and three-year measurement periods. The Trustees further considered that the Fund’s performance was near the peer group median for the since inception measurement period.
In the case of the Non-US Core Fund, the Trustees noted that the Fund’s performance fell within the first and second quintiles across the five annual measurement periods and in the third quintile for the since inception measurement period. The Trustees also considered that the Non-US Core Fund’s performance was better than its peer group average for the three- and five-year measurement periods but below its peer group average for the one-year and since inception measurement periods.
In case of the Emerging Markets Fund, the Trustees took note of the fact that the Fund commenced operations in May of 2012. It was noted that performance fell within the second and third quintiles for the one-year and since inception measurement periods, respectively. The Trustees also considered that the Emerging Markets Fund’s
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performance was better than its peer group average for the one-year period but below its peer group average for the since inception measurement period.
In case of the Global Low Volatility Fund, the Trustees 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 third quintile for the since inception measurement period. The Trustees also considered that the Global Low Volatility Fund’s performance was below its peer group average for the one-year measurement period but that the Fund’s performance was near the peer group median for the since inception measurement period.
In the case of the Core Fixed Income Fund, the Trustees noted that the Fund’s performance was in the first quintile for the three- and five-year measurement periods and in the second quintile for the one-year and since inception measurement periods. The Trustees also considered that the Core Fixed Income Fund’s performance was better than its peer group average for the one-, three- and five-year measurement periods but below its peer group average for the since inception measurement period.
In the case of the Opportunistic Fixed Income Fund, the Trustees took note of the fact that the Fund had commenced operations in August of 2013. It was noted that performance fell within the fifth quintile for the one-year and since inception measurement periods. The Trustees also considered that the Opportunistic Fixed Income Fund underperformed its peer group average for the one-year and since inception measurement periods. In connection with their consideration of the performance results for the Opportunistic Fixed Income Fund, the Trustees further took into consideration the Advisor’s explanation that the Fund’s performance was not likely to compare favorably with its selected benchmark index because the Fund had been established by the Advisor with a specific investment purpose that was not likely to be correlated to the investment performance of its benchmark index, and that the Fund had been successful in achieving its intended performance results consistent with the Advisor’s objective for the Fund.
On this basis, the Trustees 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 supported by 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
Mercer Opportunistic 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, Columbia Management Investment Advisers, LLC and HS Management Partners, LLC (in the case of the Large Cap Growth Fund); Brandywine
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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, Limited Partnership, Massachusetts Financial Services Company and American Century Investment Management, Inc. (in the case of the Non-US Core Fund); AQR Capital Management, LLC, Kleinwort Benson Investors International Ltd., Vontobel Asset Management, Inc. and Investec Asset Management Ltd. (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); Dodge & Cox, Income Research & Management and Prudential Investment Management, Inc. (in the case of the Core Fixed Income Fund) and Franklin Advisers, Inc. and Investec Asset Management Ltd. (in the case of the Opportunistic Fixed Income Fund) (each a “Subadvisor,” and together, the “Subadvisors”).
In considering the renewal of the Subadvisory Agreements, the Trustees 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 Trustees 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 Trustees also considered the Subadvisors’ answers and responses to applicable information requests contained in their 15(c) Information Request Letters. The Trustees 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 Trustees 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 Trustees reviewed the nature, extent, and quality of the advisory services that each Subadvisor had provided to the applicable Fund. The Trustees 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 Trustees discussed the specific investment management process that was employed by each Subadvisor in managing the assets that were
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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 Trustees considered each Subadvisor’s infrastructure and whether it continued to support the Subadvisor’s investment strategy adequately. The Trustees also discussed the Advisor’s review, selection, and due diligence process with respect to each Subadvisor, and the Advisor’s favorable assessment as to the nature, extent, and quality of the subadvisory services that were provided by the Subadvisor. The Trustees 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 Trustees 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 Trustees 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 Trustees 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 Trustees 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 Trustees 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 Trustees 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 Trustees 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 Trustees 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 Trustees 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 Trustees considered whether there were any ancillary benefits that may accrue to the Subadvisors as a result of their relationships with the Funds. The Trustees concluded that certain Subadvisors may direct Fund brokerage transactions to certain brokers to obtain research and other services. However, the Trustees 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 Trustees 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 Trustees next discussed economies of
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scale. The Trustees considered each Subadvisor’s fee schedule for providing services to the applicable Fund, and noted that each Subadvisory Agreement, with the exception of the American Century Subadvisory Agreement, the Columbia Subadvisory Agreement, 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 Trustees.
(e) The investment performance of the Funds and the Subadvisors. The Trustees 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 Trustees 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.
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 supported by 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 Non-US Core Equity Fund
Approval of a New Subadvisory Agreement for the Fund
At the June Meeting, the Trustees, including the Independent Trustees, also considered and approved a proposed new subadvisory agreement (the “LSV Subadvisory Agreement”) between the Advisor and LSV Asset Management (“LSV”) on behalf of the Non-US Core Equity Fund (the “Fund”). The Board was informed by the Advisor that LSV was being recommended to replace a subadvisor to the Fund that was being terminated by the Advisor, and the Advisor had presented the Board with a recommendation to retain LSV based upon the Advisor’s determination that LSV was qualified to serve as a new Subadvisor to the Fund, based upon the Advisor’s analysis of LSV.
In considering the approval of the LSV Subadvisory Agreement, the Trustees considered the information and materials from the Advisor, LSV and counsel that included, as to LSV and the Fund: (i) the LSV Subadvisory Agreement; (ii) information regarding the process by which the Advisor had reviewed, selected, and recommended LSV for the Board’s approval, and the Advisor’s rationale for recommending that LSV be appointed as a subadvisor to the Fund; (iii) the nature, extent, and quality of the services that LSV proposed to provide to the Fund; (iv) the investment management business, portfolio management personnel, operations, prior investment experience, and reputation of LSV; (v) LSV’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by LSV for its services to the Fund, and a comparison of those fees to other accounts that LSV manages; (vii) a summary of LSV’s compliance program; (viii) information regarding LSV’s historical performance returns managing an investment mandate similar to the Fund’s investment mandate, and a comparison of such performance to a relevant index; and (ix) the financial condition of LSV.
In addition, the Trustees considered presentations made by, and discussions held with, representatives of the Advisor. The Trustees considered and analyzed factors that they deemed relevant with respect to LSV, including: the nature, extent, and quality of the services to be provided to the Fund by LSV; LSV’s management style and investment decision-making process; LSV’s historical performance record managing investment products similar to the Fund; the qualifications and experience of the members of LSV’s portfolio management team; and LSV’s staffing levels and overall resources. The Trustees 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 which were intended to assist the Independent Trustees in fulfilling their duties under the 1940 Act.
194
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
In particular, and as to LSV, the Board, including the Independent Trustees, considered the following factors:
(a) The nature, extent, and quality of the services to be provided by LSV. The Trustees reviewed the nature, extent, and quality of the services to be provided by LSV to the Fund. The Trustees discussed the specific investment management process that LSV indicated that it will employ to manage its allocated portion of the Fund’s investment portfolio (which was described in detail in the materials provided by LSV), the qualifications of LSV’s portfolio managers and investment management personnel with regard to implementing the investment mandate relating to the allocated portion of the Fund’s investment portfolio that LSV would be managing, and the performance record of LSV as compared to a relevant benchmark. The Trustees considered LSV’s infrastructure and resources, and whether LSV’s organization appeared to support LSV’s strategy adequately. The Trustees also discussed the Advisor’s review, selection, and due diligence process with respect to LSV, and the Advisor’s favorable assessment as to the nature, extent, and quality of the subadvisory services expected to be provided to the Fund by LSV. The Trustees determined that the Fund and its shareholders would benefit from the quality and experience of LSV’s portfolio managers and the qualifications of its investment professionals. Based on their consideration and review of the foregoing information, the Trustees concluded that the nature, extent and quality of the subadvisory services anticipated to be provided by LSV, as well as LSV’s ability to render such services based on LSV’s experience, operations and resources, were appropriate for the Fund, in light of the Fund’s investment objective, and the mandate relating to the allocated portion of the Fund’s investment portfolio that LSV would manage.
(b) Comparison of the services to be rendered and fees to be paid to LSV under other advisory and subadvisory contracts, such as those with other clients. The Trustees discussed the services that would be rendered by LSV and evaluated the compensation to be paid to LSV by the Advisor for those services. The Trustees noted that the services that LSV would furnish to the Fund appeared to be comparable to the services that LSV currently provides to its other advisory and subadvisory clients having similar investment strategies. The Trustees also considered comparisons of the fees that to be paid to LSV by the Advisor in light of the fees that are charged by LSV to its other advisory clients, as disclosed in LSV’s Form ADV, Part 2A (Firm Brochure) and in its 15(c) Questionnaire responses, including commingled and separate accounts. The Trustees also considered that the fees agreed to by LSV were the result of an arm’s length bargain negotiated by unaffiliated parties. The Trustees also noted that, while LSV’s fee schedule did include breakpoints, the benefit of the 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 Trustees considered the review, selection, and due diligence process employed by the Advisor, in determining to recommend LSV to serve as a subadvisor to the Fund, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by the Advisor to LSV for its services to the Fund were reasonable. The Trustees emphasized in their discussions that the subadvisory fees of LSV would be paid by the Advisor, and were not additional fees to be borne by the Fund or its shareholders. Based on their discussion, the Trustees concluded that, in light of the nature, extent, and quality of the services to be provided, the proposed level of fees to be paid to LSV with respect to the assets of the Fund to be allocated to LSV was supported by the services that were expected to be provided by LSV to the Fund. The Trustees also considered the potential “fallout” or ancillary benefits that may accrue to LSV from its relationship with the Fund and concluded that they were reasonable.
Since the fees to be paid to LSV 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 LSV was not considered relevant to the Trustees’ deliberations. The Trustees took note of the Advisor’s explanation that the recommended appointment of LSV was not affected by the impact that the appointment would have on the Advisor’s revenues and profitability, and recalled that the Advisor had demonstrated that the appointment of LSV may result in reduced profitability to the Advisor as a result of increased subadvisory fees that will be paid out of the Advisor’s resources, which had been reported to and reviewed by the Trustees. 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 LSV and the proposed fees to be paid to LSV by the
195
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
Advisor for managing its allocated portion of the Fund, the potential benefits accruing to LSV as a result of serving as a subadvisor to the Fund were reasonable in relation to the services that were expected to be provided by LSV to the Fund.
(c) Investment performance of the Fund and LSV. Because LSV was a newly proposed subadvisor to the Fund, the Trustees could not consider LSV’s investment performance in managing the Fund as a factor in evaluating the LSV Subadvisory Agreement. However, the Trustees reviewed LSV’s historical investment performance record in subadvising other investment companies and accounts that were comparable to the Fund. The Trustees also compared the historical investment performance of LSV to a relevant benchmark and concluded that LSV’s historical performance record, viewed together with the other factors considered by the Trustees, supported a decision to approve the LSV 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 LSV to serve as a new subadvisor to the Fund, and such other matters as were deemed relevant, the Trustees concluded that the proposed fee rate for LSV was supported by the services that were expected to be provided to the Fund. As a result, the Trustees concluded that the approval of the LSV Subadvisory Agreement was in the best interests of the Fund and its shareholders and approved the LSV Subadvisory Agreement.
September 17, 2015 Board Meeting
Mercer Global Low Volatility Fund
Approval of a New Subadvisory Agreement for the Fund
At a meeting of the Board of Trustees held on September 17, 2015 (the “September Meeting”), the Trustees, including the Independent Trustees, considered and approved a proposed subadvisory agreement (the “Proposed First Eagle Subadvisory Agreement”) between the Advisor and First Eagle Investment Management, LLC (“First Eagle”), a Subadvisor to the Global Low Volatility Fund (the “Fund”). It was noted that First Eagle had disclosed to the Board that it intended to engage in a proposed reorganization transaction pursuant to which there would be a change in control of the parent company to First Eagle (the “First Eagle Transaction”) which was expected to be completed by the end of 2015. As a result of the First Eagle Transaction, the currently effective investment subadvisory agreement between the Advisor and First Eagle (the “Current First Eagle Subadvisory Agreement”) would be terminated, and the Advisor had therefore recommend that the Trustees consider the approval of a new subadvisory agreement with First Eagle (the “Proposed First Eagle Subadvisory Agreement”), essentially identical to the Current First Eagle Subadvisory Agreement, to be effective upon the closing of the First Eagle Transaction. The Advisor had informed the members of the Board that they were of the view that the First Eagle Transaction was not expected to cause any change in the level or quality of services provided to the Fund by First Eagle.
In considering the approval of the Proposed First Eagle Subadvisory Agreement, the Trustees considered the information and materials from the Advisor, First Eagle and counsel that included, as to First Eagle and the Fund: (i) the Proposed First Eagle Subadvisory Agreement (ii) information regarding the process by which the Advisor had initially reviewed, selected, and recommended First Eagle for the Board’s approval, and the Advisor’s rationale for continuing to retain First Eagle as a Subadvisor following the closing of the First Eagle Transaction; (iii) the nature, extent, and quality of the services that First Eagle has previously provided to the Fund; (iv) the investment management business, portfolio management personnel, operations, prior investment experience, and reputation of First Eagle, and the effect that the First Eagle Transaction may have on First Eagle’s business and operations; (v) First Eagle’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by First Eagle for its services to the Fund, and a comparison of those fees to other accounts that First Eagle manages; (vii) a summary of First Eagle’s compliance program; (viii) information regarding First Eagle’s historical performance returns managing its allocated portion of the Fund’s portfolio and investment mandates similar to the Fund’s investment mandate, and a comparison of such performance to a relevant index; and (ix) the financial condition of First Eagle before and after the First Eagle Transaction.
196
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
In addition, the Trustees considered presentations made by, and discussions held with representatives of the Advisor.
The Trustees considered and analyzed factors that the Trustees deemed relevant with respect to First Eagle, including: the nature, extent, and quality of the services to be provided to the Fund by First Eagle following the consummation of the First Eagle Transaction; First Eagle’s management style and investment decision-making process; First Eagle’s historical performance record managing investment products similar to the Fund; the qualifications and experience of the members of First Eagle’s portfolio management team; and First Eagle’s staffing levels and overall resources. The Trustees 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, which were intended to assist the Independent Trustees in fulfilling their duties under the 1940 Act.
In particular, and as to First Eagle, the Trustees, considered the following factors:
(a) The nature, extent, and quality of the services to be provided by First Eagle. The Trustees reviewed the nature, extent, and quality of the services that have been previously provided by First Eagle to the Fund under the Current First Eagle Subadvisory Agreement and that are proposed to be provided by First Eagle to the Fund under the Proposed First Eagle Subadvisory Agreement. The Trustees considered: (i) First Eagle’s organization, history, reputation, qualification and background, as well as the qualifications of its personnel; (ii) its expertise in providing portfolio management services to the Fund and other similar investment portfolios and the performance history of the Fund and those other portfolios; (iii) its investment strategy for the Fund; (iv) its performance relative to comparable mutual funds and unmanaged indices; and (v) its compliance program. The Trustees also considered the review process undertaken by the Advisor and the Advisor’s favorable assessment of the nature and quality of the subadvisory services provided and expected to be provided to the Fund by First Eagle after consummation of the First Eagle Transaction. The Trustees also noted that the executive and portfolio management teams of First Eagle were expected to stay in place after consummation of the First Eagle Transaction. The Trustees concluded that the Fund and its shareholders would continue to benefit from the quality and experience of First Eagle’s investment professionals. Based on their consideration and review of the foregoing information, the Trustees concluded that the nature, extent and quality of the subadvisory services provided by First Eagle under the Current First Eagle Subadvisory Agreement, as well as First Eagle’s ability to render such services based on its experience, operations and resources, were adequate and appropriate for the Fund in light of the Fund’s investment objective, and supported a decision to approve the Proposed First Eagle Subadvisory Agreement.
Based on their consideration and review of the foregoing information, the Trustees concluded that the nature, extent, and quality of the subadvisory services anticipated to be provided by First Eagle following the First Eagle Transaction, as well as First Eagle’s ability to render such services based on First Eagle’s experience, operations, and resources, were appropriate for the Fund, in light of the Fund’s investment objective, and the mandate relating to the allocated portion of the Fund’s investment portfolio that First Eagle would continue to manage.
(b) Comparison of the services to be rendered and fees to be paid to First Eagle under other advisory and subadvisory contracts, such as those with other clients. The Trustees discussed the services that would be rendered by First Eagle and evaluated the compensation to be paid to First Eagle by the Advisor for those services. The Trustees considered the fees payable under the Proposed First Eagle Subadvisory Agreement, noting that the proposed fee would be paid by the Advisor, and not the Fund, and, thus, would not impact the fees paid by the Fund. The Trustees concluded that the proposed level of fees to be paid to First Eagle by the Advisor with respect to the assets allocated to First Eagle in its capacity as subadvisor was supported by the services that were expected to be provided by First Eagle. The Trustees noted that the services that First Eagle would furnish to the Fund appeared to be comparable to the services that First Eagle currently provides to its other advisory and subadvisory clients having similar investment strategies. The Trustees also
197
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2015 (Unaudited)
considered that the fees agreed to by First Eagle were the result of an arm’s length bargain negotiated by unaffiliated parties.
The Trustees also noted that, while First Eagle’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 Trustees considered the review, selection, and due diligence process employed by the Advisor, as discussed at the September Meeting, in determining to recommend that First Eagle continue to serve as a Subadvisor to the Fund, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by the Advisor to First Eagle for its services to the Fund were reasonable. The Trustees emphasized in their discussions that the subadvisory fees of First Eagle would be paid by the Advisor, and were not additional fees to be borne by the Fund or its shareholders. Based on their discussion, the Trustees concluded that, in light of the nature, quality, and extent of the services to be provided, the proposed level of fees to be paid to First Eagle with respect to the assets of the Fund allocated to First Eagle was supported by the services that were expected to be provided by First Eagle. The Trustees also considered the potential “fallout” or ancillary benefits that may accrue to First Eagle from its relationship with the Fund and concluded that they were reasonable.
Since the fees to be paid to First Eagle 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 First Eagle was not considered relevant to the Trustees’ deliberations. The Trustees took note of the Advisor’s explanation that the recommended appointment of First Eagle 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 Trustees concluded that, in light of the nature, extent, and quality of the services expected to be provided by First Eagle and the proposed fees to be paid to First Eagle by the Advisor for managing its allocated portion of the Fund, the potential benefits accruing to First Eagle as a result of serving as a Subadvisor to the Fund were reasonable in relation to the services that were expected to be provided by First Eagle to the Fund.
(c) Investment performance of the Fund and First Eagle. The Trustees considered First Eagle’s prior investment performance in managing its allocated portion of the Fund’s portfolio as a factor in evaluating the Proposed First Eagle Subadvisory Agreement. The Trustees also considered the Advisor’s conclusions, and the reasons supporting the Advisor’s conclusions, that the performance record of First Eagle supported the approval of the Proposed First Eagle Subadvisory Agreement.
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 First Eagle continue to serve as a subadvisor to the Fund, and such other matters as were deemed relevant, the Trustees concluded that the proposed fee rate for First Eagle was supported by the services that were expected to be provided to the Fund. As a result, the Trustees, including all of the Independent Trustees, concluded that the approval of the Proposed First Eagle Subadvisory Agreement was in the best interests of the Fund and its shareholders and approved the Proposed First Eagle Subadvisory Agreement.
198
Mercer Funds
Understanding Your Fund’s Expenses (Unaudited)
As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases, redemption fees and certain exchange fees and ongoing costs, including management fees, distribution fees (12b-1 fees), and other fund expenses. These costs are described in more detail in the Funds’ prospectus. The examples below are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds. The first line in the table for each Fund shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the Fund from April 1, 2015 through September 30, 2015. 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 | 0.63%** | 1,000.00 | 946.90 | 973.45 | 3.07 | ||||||||||||||||||||
Hypothetical | 0.63%** | 1,000.00 | 1,021.85 | 1,010.93 | 3.18 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.63%, multiplied by the average account value over the period, multiplied by 183/366 |
** | 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 | 0.62%** | 1,000.00 | 892.20 | 946.10 | 2.93 | ||||||||||||||||||||
Hypothetical | 0.62%** | 1,000.00 | 1,021.90 | 1,010.95 | 3.13 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.62%, multiplied by the average account value over the period, multiplied by 183/366 |
** | Includes interest expense that amounts to less than 0.01%. |
199
Mercer Funds
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 | 0.98%** | 1,000.00 | 892.10 | 946.05 | 4.64 | ||||||||||||||||||||
Hypothetical | 0.98%** | 1,000.00 | 1,020.10 | 1,010.05 | 4.95 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.98%, multiplied by the average account value over the period, multiplied by 183/366 |
** | 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 | 0.98%** | 1,000.00 | 885.80 | 942.90 | 4.62 | ||||||||||||||||||||
Hypothetical | 0.98%** | 1,000.00 | 1,020.10 | 1,010.05 | 4.95 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.98%, multiplied by the average account value over the period, multiplied by 183/366 |
** | 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 | 0.83%** | 1,000.00 | 915.40 | 957.70 | 3.97 | ||||||||||||||||||||
Hypothetical | 0.83%** | 1,000.00 | 1,020.85 | 1,010.43 | 4.19 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.83%, multiplied by the average account value over the period, multiplied by 183/366 |
** | 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 | 0.42% | 1,000.00 | 987.50 | 993.75 | 2.09 | ||||||||||||||||||||
Hypothetical | 0.42% | 1,000.00 | 1,022.90 | 1,011.45 | 2.12 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.42%, multiplied by the average account value over the period, multiplied by 183/366 |
200
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 | 902.50 | 951.25 | 4.28 | ||||||||||||||||||||
Hypothetical | 0.90%** | 1,000.00 | 1,020.50 | 1,010.25 | 4.55 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.90%, multiplied by the average account value over the period, multiplied by 183/366 |
** | 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 | 0.98%** | 1,000.00 | 841.10 | 920.55 | 4.51 | ||||||||||||||||||||
Hypothetical | 0.98%** | 1,000.00 | 1,020.10 | 1,010.05 | 4.95 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.98%, multiplied by the average account value over the period, multiplied by 183/366 |
** | 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 | 0.83%** | 1,000.00 | 965.30 | 982.65 | 4.08 | ||||||||||||||||||||
Hypothetical | 0.83%** | 1,000.00 | 1,020.85 | 1,010.43 | 4.19 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.83%, multiplied by the average account value over the period, multiplied by 183/366 |
** | Includes interest expense that amounts to less than 0.01%. |
201
Mercer Funds
Trustees and Officers (Unaudited)
The following tables list the Trust’s Trustees and Officers as of the date of this report; their address and age; their position with the Trust; the length of time holding that position with the Trust; their principal occupation(s) during the past five years; the number of portfolios in the fund complex they oversee; and other directorships they hold in companies subject to registration or reporting requirements of the Securities Exchange Act of 1934 (generally called “public companies”) or in registered investment companies. The Trust’s Statement of Additional Information (“SAI”) includes additional information about the Trust’s trustees, including changes subsequent to the date of the report. The SAI is available, without charge, upon request, by calling 1-866-658-9896, or on the SEC website at www.sec.gov.
Independent Trustees
Name, Address and Age | Position(s) | Term of | Principal | Number of Portfolios in Fund Complex* Overseen by Trustee | Other Trustee | ||||||||
Harrison M. Bains, Jr. 99 High Street Boston, MA 02110 (72) | Trustee | Since 2005 | Mr. Bains is retired. | 9 | Mr. Bains is a director of BG Medicine, Inc. and Cara Therapeutics, Inc. and Trustee of BofA Fund Series Trust (11 portfolios). | ||||||||
Adela M. Cepeda A.C. Advisory, Inc. 150 North Wacker Drive, Suite 2160 Chicago, IL 60606 (57) | 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 Amalgamated Bank of Chicago. | ||||||||
Gail A. Schneider 99 High Street Boston, MA 02110 (67) | Chairperson and Trustee | Chairperson Since 2013; Trustee Since 2009 | Ms. Schneider is a self-employed consultant since 2007. | 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** (47) | Trustee, President, and Chief Executive Officer | Since 2010 | Mr. Nuzum is North America’s Business Leader of Mercer’s Investment Management Business since 2011. Prior to 2011, he was Global Business Leader of Mercer’s Investment Management Business. | 9 | Mr. Nuzum is a Director of Mercer Trust Company and a director of Mercer Investment Management, Inc. |
(1) | Each Trustee holds office for an indefinite term. |
* | The “Fund Complex” consists of the Trust, which has nine portfolios effective September 30, 2015. |
** | 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 (44) | 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 (50) | 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. Prior to 2012, he served as Chief Investment Officer of the Massachusetts Pension Reserves Investment Management Board. | |||
Scott M. Zoltowski (46) | 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. | |||
Colin Dean (38) | Vice President and Assistant Secretary | Since 2010 | Mr. Dean has served as Senior Legal Counsel — Investments for Mercer Investment Management, Inc. since 2010. | |||
Manny Weiss (66) | Vice President | Since 2010 | Mr. Weiss is a Portfolio Manager and Principal of Mercer Investment Management, Inc. since 2009. | |||
Larry Vasquez (48) | 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. | |||
Robert Phay (47) | Vice President and Chief Compliance Officer | Since 2015 | Mr. Phay is the Chief Risk and Compliance Officer — Investments of Mercer Investment Management, Inc. and Mercer Investment Consulting, Inc. since March 2015. Mr. Phay most recently served in various compliance and legal positions for Commonfund, including Chief Compliance Officer (September 2011 – February 2015), and Acting General Counsel (January 2015 – February 2015), and Associate General Counsel (July 2006 – December 2014). |
† | Officers of the Trust are elected by the Trustees and serve at the pleasure of the Board. |
204
Shares of Mercer Funds are distributed by MGI Funds Distributors, LLC.
Item 2. | Code of Ethics. |
Not applicable.
Item 3. | Audit Committee Financial Expert. |
Not applicable.
Item 4. | Principal Accountant Fees and Services. |
Not applicable.
Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
Item 6. | Schedule of Investments. |
Not applicable.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Investment Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant’s Board of Directors, where those changes were implemented after the Registrant last provided disclosure in response to the requirements of Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101), or this Item.
Item 11. | Controls and Procedures. |
(a) The Registrant’s Principal Executive Officer and Principal Financial Officer concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c))), are effective based on the evaluation of Registrant’s disclosure controls and procedures as of a date within 90 days prior to the filing date of this report.
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d))), that occurred during the Registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. | Exhibits. |
(a)(1) Not applicable.
(a)(2) Certification of the Principal Executive Officer and Principal Financial Officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is attached hereto as Exhibit 99CERT.
(a)(3) Not applicable.
(b) Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 as required by Rule 30a-2(b), under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)), Rule 15d-14(b) under the Securities Exchange Act of 1934 (17 CFR 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) is attached hereto as Exhibit 99.906CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Mercer Funds |
By (Signature and Title) | By: /s/ Richard Nuzum | |
Richard Nuzum President and Chief Executive Officer (Principal Executive Officer) |
Date | November 19, 2015 |
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 19, 2015 |
By (Signature and Title) | By: /s/ Richard S. Joseph | |
Richard S. Joseph Vice President, Treasurer and Principal Accounting Officer (Principal Financial Officer) |
Date | November 19, 2015 |