Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-21732
Mercer Funds
(Exact Name of Registrant as Specified in Charter)
99 High Street
Boston, MA 02110
(Address of Principal Executive Offices)(Zip Code)
Scott M. Zoltowski, Esq.
Mercer Investment Management, Inc.
99 High Street
Boston, MA 02110
(Name and Address of Agent for Service)
Registrant’s Telephone Number, including Area Code:
(617) 747-9500
Date of Fiscal Year End: March 31, 2017
Date of Reporting Period: September 30, 2016
Table of Contents
Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
Table of Contents
Mercer Funds™
Semi-Annual Report
Mercer US Large Cap Equity Fund (formerly known as Mercer US Large Cap Growth Equity Fund)
Mercer US Small/Mid Cap Equity Fund (formerly known as Mercer US Small/Mid Cap Growth 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, 2016
Table of Contents
MERCER FUNDS
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Table of Contents
Mercer US Large Cap Equity Fund
(formerly known as Mercer US Large Cap Growth Equity Fund)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 95.4% | ||||||||||
Aerospace & Defense — 2.2% | ||||||||||
18,000 | BE Aerospace, Inc. | 929,880 | ||||||||
16,571 | Boeing Co. (The) | 2,183,063 | ||||||||
11,283 | General Dynamics Corp. | 1,750,670 | ||||||||
31,989 | Northrop Grumman Corp. | 6,844,047 | ||||||||
12,901 | United Technologies Corp. | 1,310,742 | ||||||||
|
| |||||||||
13,018,402 | ||||||||||
|
| |||||||||
Agriculture — 1.2% | ||||||||||
46,136 | Altria Group, Inc. | 2,917,179 | ||||||||
32,197 | Archer-Daniels-Midland Co. | 1,357,748 | ||||||||
33,300 | Philip Morris International, Inc. | 3,237,426 | ||||||||
|
| |||||||||
7,512,353 | ||||||||||
|
| |||||||||
Airlines — 2.5% | ||||||||||
115,779 | American Airlines Group, Inc. | 4,238,669 | ||||||||
112,070 | Delta Air Lines, Inc. | 4,411,075 | ||||||||
48,500 | Southwest Airlines Co. | 1,886,165 | ||||||||
84,344 | United Continental Holdings, Inc.* | 4,425,530 | ||||||||
|
| |||||||||
14,961,439 | ||||||||||
|
| |||||||||
Apparel — 3.6% | ||||||||||
161,375 | LVMH Moet Hennessy Louis Vuitton SE, Sponsored ADR | 5,481,909 | ||||||||
153,802 | Michael Kors Holdings, Ltd.* | 7,196,395 | ||||||||
171,035 | NIKE, Inc. Class B | 9,004,993 | ||||||||
|
| |||||||||
21,683,297 | ||||||||||
|
| |||||||||
Auto Manufacturers — 1.5% | ||||||||||
67,344 | Fiat Chrysler Automobiles NV | 431,002 | ||||||||
227,316 | General Motors Co. | 7,221,829 | ||||||||
13,830 | Toyota Motor Corp., Sponsored ADR | 1,605,110 | ||||||||
|
| |||||||||
9,257,941 | ||||||||||
|
| |||||||||
Auto Parts & Equipment — 1.2% | ||||||||||
101,711 | Goodyear Tire & Rubber Co. (The) | 3,285,265 | ||||||||
29,865 | Magna International, Inc. Class A | 1,282,702 | ||||||||
68,230 | Mobileye NV* ‡ | 2,904,551 | ||||||||
|
| |||||||||
7,472,518 | ||||||||||
|
| |||||||||
Banks — 4.6% | ||||||||||
400,174 | Bank of America Corp. | 6,262,723 | ||||||||
160,757 | Citigroup, Inc. | 7,592,553 | ||||||||
112,150 | JPMorgan Chase & Co. | 7,468,069 | ||||||||
60,300 | Morgan Stanley | 1,933,218 | ||||||||
12,900 | PNC Financial Services Group, Inc. | 1,162,161 | ||||||||
28,500 | Popular, Inc. | 1,089,270 |
See accompanying Notes to the Financial Statements. | 1 |
Table of Contents
Mercer US Large Cap Equity Fund
(formerly known as Mercer US Large Cap Growth Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Banks — continued | ||||||||||
51,100 | SunTrust Banks, Inc. | 2,238,180 | ||||||||
|
| |||||||||
27,746,174 | ||||||||||
|
| |||||||||
Beverages — 3.1% | ||||||||||
144,229 | AMBEV SA, ADR | 878,355 | ||||||||
20,051 | Coca-Cola European Partners Plc | 800,035 | ||||||||
46,405 | Diageo Plc, Sponsored ADR‡ | 5,384,836 | ||||||||
20,400 | Dr Pepper Snapple Group, Inc. | 1,862,724 | ||||||||
83,200 | Heineken NV, ADR‡ | 3,649,152 | ||||||||
18,760 | Monster Beverage Corp.* | 2,754,155 | ||||||||
31,000 | PepsiCo, Inc. | 3,371,870 | ||||||||
|
| |||||||||
18,701,127 | ||||||||||
|
| |||||||||
Biotechnology — 4.6% | ||||||||||
20,931 | Alexion Pharmaceuticals, Inc.* | 2,564,885 | ||||||||
18,600 | Amgen, Inc. | 3,102,666 | ||||||||
16,934 | Biogen, Inc.* | 5,300,850 | ||||||||
24,955 | Celgene Corp.* | 2,608,546 | ||||||||
68,420 | Gilead Sciences, Inc. | 5,413,390 | ||||||||
17,851 | Illumina, Inc.* | 3,242,813 | ||||||||
17,498 | Intercept Pharmaceuticals, Inc.* ‡ | 2,879,996 | ||||||||
33,428 | Vertex Pharmaceuticals, Inc.* | 2,915,256 | ||||||||
|
| |||||||||
28,028,402 | ||||||||||
|
| |||||||||
Building Materials — 0.4% | ||||||||||
45,200 | Louisiana-Pacific Corp.* | 851,116 | ||||||||
41,844 | Masco Corp. | 1,435,668 | ||||||||
|
| |||||||||
2,286,784 | ||||||||||
|
| |||||||||
Chemicals — 2.2% | ||||||||||
12,520 | Dow Chemical Co. (The) | 648,912 | ||||||||
12,420 | Eastman Chemical Co. | 840,586 | ||||||||
93,499 | LyondellBasell Industries NV Class A | 7,541,629 | ||||||||
3,310 | Monsanto Co. | 338,282 | ||||||||
62,403 | Mosaic Co. (The) | 1,526,377 | ||||||||
9,443 | Sherwin-Williams Co. (The) | 2,612,500 | ||||||||
|
| |||||||||
13,508,286 | ||||||||||
|
| |||||||||
Commercial Services — 1.4% | ||||||||||
29,223 | H&R Block, Inc. | 676,513 | ||||||||
142,825 | PayPal Holdings, Inc.* | 5,851,540 | ||||||||
53,600 | Quanta Services, Inc.* | 1,500,264 | ||||||||
9,500 | Robert Half International, Inc. | 359,670 | ||||||||
|
| |||||||||
8,387,987 | ||||||||||
|
| |||||||||
Computers — 2.2% | ||||||||||
54,794 | Apple, Inc. | 6,194,462 | ||||||||
47,242 | HP, Inc. | 733,668 |
2 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Large Cap Equity Fund
(formerly known as Mercer US Large Cap Growth Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Computers — continued | ||||||||||
58,323 | NetApp, Inc. | 2,089,130 | ||||||||
59,566 | Seagate Technology Plc | 2,296,269 | ||||||||
59,300 | Teradata Corp.* | 1,838,300 | ||||||||
|
| |||||||||
13,151,829 | ||||||||||
|
| |||||||||
Diversified Financial Services — 2.6% | ||||||||||
52,000 | AerCap Holdings NV* | 2,001,480 | ||||||||
3,524 | American Express Co. | 225,677 | ||||||||
20,794 | Ameriprise Financial, Inc. | 2,074,617 | ||||||||
66,080 | Charles Schwab Corp. (The) | 2,086,146 | ||||||||
8,026 | IntercontinentalExchange Group, Inc. | 2,161,883 | ||||||||
86,400 | Santander Consumer USA Holdings, Inc.* | 1,050,624 | ||||||||
36,000 | Synchrony Financial* | 1,008,000 | ||||||||
64,847 | Visa, Inc. Class A‡ | 5,362,847 | ||||||||
|
| |||||||||
15,971,274 | ||||||||||
|
| |||||||||
Electric — 1.0% | ||||||||||
114,600 | AES Corp. | 1,472,610 | ||||||||
42,300 | Calpine Corp.* | 534,672 | ||||||||
17,010 | Edison International | 1,228,973 | ||||||||
25,300 | Entergy Corp. | 1,941,269 | ||||||||
32,520 | NRG Energy, Inc. | 364,549 | ||||||||
6,805 | Public Service Enterprise Group, Inc. | 284,925 | ||||||||
|
| |||||||||
5,826,998 | ||||||||||
|
| |||||||||
Electrical Components & Equipment — 0.8% | ||||||||||
6,627 | Acuity Brands, Inc. | 1,753,504 | ||||||||
54,293 | Emerson Electric Co. | 2,959,512 | ||||||||
|
| |||||||||
4,713,016 | ||||||||||
|
| |||||||||
Electronics — 1.0% | ||||||||||
64,964 | Corning, Inc. | 1,536,399 | ||||||||
118,875 | Fitbit, Inc. Class A* ‡ | 1,764,105 | ||||||||
39,156 | TE Connectivity, Ltd. | 2,520,863 | ||||||||
|
| |||||||||
5,821,367 | ||||||||||
|
| |||||||||
Engineering & Construction — 0.4% | ||||||||||
20,700 | AECOM* | 615,411 | ||||||||
23,350 | Chicago Bridge & Iron Co. NV | 654,501 | ||||||||
8,500 | Fluor Corp. | 436,220 | ||||||||
14,038 | Jacobs Engineering Group, Inc.* | 726,045 | ||||||||
|
| |||||||||
2,432,177 | ||||||||||
|
| |||||||||
Environmental Control — 0.2% | ||||||||||
16,775 | Waste Management, Inc. | 1,069,574 | ||||||||
|
|
See accompanying Notes to the Financial Statements. | 3 |
Table of Contents
Mercer US Large Cap Equity Fund
(formerly known as Mercer US Large Cap Growth Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Food — 1.7% | ||||||||||
69,975 | Nestle SA, Sponsored ADR | 5,529,425 | ||||||||
41,435 | Sysco Corp. | 2,030,729 | ||||||||
31,200 | Tyson Foods, Inc. Class A | 2,329,704 | ||||||||
21,748 | Whole Foods Market, Inc. | 616,556 | ||||||||
|
| |||||||||
10,506,414 | ||||||||||
|
| |||||||||
Forest Products & Paper — 0.0% | ||||||||||
4,900 | International Paper Co. | 235,102 | ||||||||
|
| |||||||||
Health Care - Products — 0.4% | ||||||||||
17,640 | Edwards Lifesciences Corp.* | 2,126,678 | ||||||||
|
| |||||||||
Health Care - Services — 0.7% | ||||||||||
1,700 | Anthem, Inc. | 213,027 | ||||||||
21,079 | DaVita, Inc.* | 1,392,690 | ||||||||
7,900 | HCA Holdings, Inc.* | 597,477 | ||||||||
2,061 | Laboratory Corp. of America Holdings* | 283,346 | ||||||||
21,562 | Quest Diagnostics, Inc. | 1,824,792 | ||||||||
|
| |||||||||
4,311,332 | ||||||||||
|
| |||||||||
Home Builders — 0.1% | ||||||||||
11,074 | D.R. Horton, Inc. | 334,435 | ||||||||
|
| |||||||||
Household Products & Wares — 0.2% | ||||||||||
18,725 | Avery Dennison Corp. | 1,456,618 | ||||||||
|
| |||||||||
Housewares — 0.1% | ||||||||||
12,400 | Tupperware Brands Corp. | 810,588 | ||||||||
|
| |||||||||
Insurance — 4.2% | ||||||||||
21,789 | Aflac, Inc. | 1,565,976 | ||||||||
66,546 | Allstate Corp. (The) | 4,603,652 | ||||||||
56,615 | American International Group, Inc. | 3,359,534 | ||||||||
1,200 | Assurant, Inc. | 110,700 | ||||||||
14,516 | Berkshire Hathaway, Inc. Class B* | 2,097,127 | ||||||||
30,568 | Hartford Financial Services Group, Inc. (The) | 1,308,922 | ||||||||
16,600 | Lincoln National Corp. | 779,868 | ||||||||
41,710 | MetLife, Inc. | 1,853,175 | ||||||||
8,000 | Prudential Financial, Inc. | 653,200 | ||||||||
61,306 | Travelers Cos., Inc. (The) | 7,022,602 | ||||||||
21,300 | Unum Group | 752,103 | ||||||||
35,615 | Voya Financial, Inc. | 1,026,424 | ||||||||
|
| |||||||||
25,133,283 | ||||||||||
|
| |||||||||
Internet — 7.1% | ||||||||||
36,212 | Alibaba Group Holding, Ltd., Sponsored ADR* ‡ | 3,830,868 | ||||||||
7,120 | Alphabet, Inc. Class C* | 5,534,305 | ||||||||
1,682 | Alphabet, Inc. Class A* | 1,352,429 |
4 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Large Cap Equity Fund
(formerly known as Mercer US Large Cap Growth Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Internet — continued | ||||||||||
4,956 | Amazon.com, Inc.* | 4,149,708 | ||||||||
77,649 | eBay, Inc.* | 2,554,652 | ||||||||
39,026 | Facebook, Inc. Class A* | 5,005,865 | ||||||||
12,249 | MercadoLibre, Inc. | 2,265,698 | ||||||||
7,545 | Priceline Group (The), Inc.* | 11,102,392 | ||||||||
48,159 | Splunk, Inc.* | 2,825,970 | ||||||||
93,033 | Symantec Corp. | 2,335,128 | ||||||||
24,272 | VeriSign, Inc.* | 1,899,041 | ||||||||
|
| |||||||||
42,856,056 | ||||||||||
|
| |||||||||
Iron & Steel — 0.2% | ||||||||||
14,940 | Reliance Steel & Aluminum Co. | 1,076,128 | ||||||||
|
| |||||||||
Leisure Time — 1.1% | ||||||||||
122,675 | Carnival Corp.‡ | 5,988,993 | ||||||||
17,600 | Norwegian Cruise Line Holdings, Ltd.* | 663,520 | ||||||||
|
| |||||||||
6,652,513 | ||||||||||
|
| |||||||||
Lodging — 1.6% | ||||||||||
135,065 | Marriott International, Inc. Class A | 9,093,926 | ||||||||
8,293 | Wyndham Worldwide Corp. | 558,368 | ||||||||
|
| |||||||||
9,652,294 | ||||||||||
|
| |||||||||
Machinery - Construction & Mining — 0.4% | ||||||||||
10,970 | Caterpillar, Inc. | 973,807 | ||||||||
45,782 | Terex Corp. | 1,163,320 | ||||||||
|
| |||||||||
2,137,127 | ||||||||||
|
| |||||||||
Machinery - Diversified — 0.1% | ||||||||||
6,403 | Cummins, Inc. | 820,544 | ||||||||
|
| |||||||||
Media — 5.5% | ||||||||||
88,125 | AMC Networks, Inc. Class A* | 4,570,163 | ||||||||
64,138 | CBS Corp. Class B | 3,510,914 | ||||||||
100,725 | Comcast Corp. Class A | 6,682,096 | ||||||||
41,866 | Discovery Communications, Inc. Class A* | 1,127,033 | ||||||||
17,600 | Scripps Networks Interactive, Inc. Class A | 1,117,424 | ||||||||
199,891 | Sirius XM Holdings, Inc.* | 833,545 | ||||||||
71,850 | Time Warner, Inc. | 5,719,979 | ||||||||
41,917 | Twenty-First Century Fox, Inc. Class A | 1,015,230 | ||||||||
30,510 | Viacom, Inc. Class B | 1,162,431 | ||||||||
79,725 | Walt Disney Co. (The) | 7,403,263 | ||||||||
|
| |||||||||
33,142,078 | ||||||||||
|
| |||||||||
Mining — 0.2% | ||||||||||
25,899 | BHP Billiton Plc, ADR | 786,812 | ||||||||
4,494 | Rio Tinto Plc, Sponsored ADR | 150,099 | ||||||||
|
| |||||||||
936,911 | ||||||||||
|
|
See accompanying Notes to the Financial Statements. | 5 |
Table of Contents
Mercer US Large Cap Equity Fund
(formerly known as Mercer US Large Cap Growth Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Miscellaneous - Manufacturing — 1.9% | ||||||||||
17,684 | Dover Corp. | 1,302,250 | ||||||||
13,900 | Eaton Corp. Plc | 913,369 | ||||||||
31,651 | General Electric Co. | 937,503 | ||||||||
36,787 | Illinois Tool Works, Inc. | 4,408,554 | ||||||||
30,648 | Parker-Hannifin Corp. | 3,847,243 | ||||||||
|
| |||||||||
11,408,919 | ||||||||||
|
| |||||||||
Office & Business Equipment — 0.3% | ||||||||||
178,615 | Xerox Corp. | 1,809,370 | ||||||||
|
| |||||||||
Oil & Gas — 4.9% | ||||||||||
27,500 | Anadarko Petroleum Corp. | 1,742,400 | ||||||||
24,040 | Apache Corp. | 1,535,435 | ||||||||
122,740 | BP Plc, Sponsored ADR | 4,315,538 | ||||||||
146,952 | Canadian Natural Resources, Ltd. | 4,708,342 | ||||||||
12,382 | Chevron Corp. | 1,274,356 | ||||||||
71,500 | Devon Energy Corp. | 3,153,865 | ||||||||
38,000 | Diamond Offshore Drilling, Inc. | 669,180 | ||||||||
131,700 | Ensco Plc Class A | 1,119,450 | ||||||||
6,021 | Exxon Mobil Corp. | 525,513 | ||||||||
31,278 | Helmerich & Payne, Inc. | 2,105,009 | ||||||||
19,100 | Murphy Oil Corp. | 580,640 | ||||||||
26,162 | Tesoro Corp. | 2,081,449 | ||||||||
102,911 | Valero Energy Corp. | 5,454,283 | ||||||||
|
| |||||||||
29,265,460 | ||||||||||
|
| |||||||||
Oil & Gas Services — 0.7% | ||||||||||
110,281 | National Oilwell Varco, Inc. | 4,051,724 | ||||||||
9,500 | Oceaneering International, Inc. | 261,345 | ||||||||
|
| |||||||||
4,313,069 | ||||||||||
|
| |||||||||
Packaging & Containers — 0.0% | ||||||||||
8,700 | Owens-Illinois, Inc.* | 159,993 | ||||||||
|
| |||||||||
Pharmaceuticals — 4.4% | ||||||||||
22,700 | AbbVie, Inc. | 1,431,689 | ||||||||
68,389 | Bristol-Myers Squibb Co. | 3,687,535 | ||||||||
21,836 | DexCom, Inc.* | 1,914,144 | ||||||||
23,647 | Express Scripts Holding Co.* | 1,667,823 | ||||||||
43,600 | Horizon Pharma Plc* | 790,468 | ||||||||
4,000 | Jazz Pharmaceuticals Plc* | 485,920 | ||||||||
40,400 | Johnson & Johnson | 4,772,452 | ||||||||
12,700 | Mallinckrodt Plc* | 886,206 | ||||||||
58,503 | Merck & Co., Inc. | 3,651,172 | ||||||||
21,200 | Mylan NV* | 808,144 | ||||||||
136,516 | Pfizer, Inc. | 4,623,797 | ||||||||
9,550 | Shire Plc, ADR | 1,851,363 | ||||||||
|
| |||||||||
26,570,713 | ||||||||||
|
|
6 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Large Cap Equity Fund
(formerly known as Mercer US Large Cap Growth Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Private Equity — 0.8% | ||||||||||
79,020 | Blackstone Group (The), LP | 2,017,380 | ||||||||
196,230 | KKR & Co., LP | 2,798,240 | ||||||||
|
| |||||||||
4,815,620 | ||||||||||
|
| |||||||||
REITS — 0.7% | ||||||||||
18,184 | Apartment Investment & Management Co. REIT Class A | 834,827 | ||||||||
42,133 | Host Hotels & Resorts, Inc. REIT | 656,011 | ||||||||
16,660 | SL Green Realty Corp. REIT | 1,800,946 | ||||||||
98,030 | Two Harbors Investment Corp. REIT | 836,196 | ||||||||
|
| |||||||||
4,127,980 | ||||||||||
|
| |||||||||
Retail — 9.4% | ||||||||||
118,333 | Bed Bath & Beyond, Inc. | 5,101,336 | ||||||||
119,468 | Best Buy Co., Inc. | 4,561,288 | ||||||||
49,700 | Coach, Inc. | 1,817,032 | ||||||||
23,031 | CVS Health Corp. | 2,049,529 | ||||||||
10,500 | Dillard’s, Inc. Class A | 661,605 | ||||||||
75,464 | Kohl’s Corp. | 3,301,550 | ||||||||
56,445 | Lululemon Athletica, Inc.* ‡ | 3,442,016 | ||||||||
97,708 | Macy’s, Inc. | 3,620,081 | ||||||||
65,942 | McDonald’s Corp. | 7,607,069 | ||||||||
15,500 | Signet Jewelers, Ltd. | 1,155,215 | ||||||||
96,300 | Staples, Inc. | 823,365 | ||||||||
108,845 | Starbucks Corp. | 5,892,868 | ||||||||
14,619 | Target Corp. | 1,004,033 | ||||||||
40,800 | Urban Outfitters, Inc.* | 1,408,416 | ||||||||
105,426 | Wal-Mart Stores, Inc. | 7,603,323 | ||||||||
115,575 | Williams-Sonoma, Inc.‡ | 5,903,571 | ||||||||
5,996 | Yum! Brands, Inc. | 544,497 | ||||||||
|
| |||||||||
56,496,794 | ||||||||||
|
| |||||||||
Semiconductors — 1.5% | ||||||||||
77,868 | Applied Materials, Inc. | 2,347,720 | ||||||||
101,476 | Intel Corp. | 3,830,719 | ||||||||
162,575 | Micron Technology, Inc.* | 2,890,584 | ||||||||
|
| |||||||||
9,069,023 | ||||||||||
|
| |||||||||
Software — 5.3% | ||||||||||
73,474 | Activision Blizzard, Inc. | 3,254,898 | ||||||||
26,976 | Adobe Systems, Inc.* | 2,927,975 | ||||||||
101,969 | CA, Inc. | 3,373,135 | ||||||||
24,900 | Citrix Systems, Inc.* | 2,121,978 | ||||||||
20,097 | Intuit, Inc. | 2,210,871 | ||||||||
172,800 | Microsoft Corp. | 9,953,280 | ||||||||
6,209 | MSCI, Inc. Class A | 521,183 | ||||||||
50,228 | Oracle Corp. | 1,972,956 | ||||||||
34,450 | Salesforce.com, Inc.* | 2,457,318 |
See accompanying Notes to the Financial Statements. | 7 |
Table of Contents
Mercer US Large Cap Equity Fund
(formerly known as Mercer US Large Cap Growth Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Software — continued | ||||||||||
41,318 | ServiceNow, Inc.* | 3,270,320 | ||||||||
|
| |||||||||
32,063,914 | ||||||||||
|
| |||||||||
Telecommunications — 4.0% | ||||||||||
37,145 | AT&T, Inc. | 1,508,459 | ||||||||
170,680 | CenturyLink, Inc. | 4,681,752 | ||||||||
27,800 | China Mobile, Ltd., Sponsored ADR | 1,710,256 | ||||||||
68,860 | Cisco Systems, Inc. | 2,184,239 | ||||||||
87,282 | Juniper Networks, Inc. | 2,100,005 | ||||||||
39,733 | Motorola Solutions, Inc. | 3,030,833 | ||||||||
74,383 | NTT DoCoMo, Inc., Sponsored ADR | 1,890,072 | ||||||||
17,370 | Palo Alto Networks, Inc.* | 2,767,562 | ||||||||
5,954 | QUALCOMM, Inc. | 407,849 | ||||||||
72,671 | Verizon Communications, Inc. | 3,777,439 | ||||||||
|
| |||||||||
24,058,466 | ||||||||||
|
| |||||||||
Transportation — 1.2% | ||||||||||
10,975 | FedEx Corp. | 1,917,113 | ||||||||
51,325 | United Parcel Service, Inc. Class B | 5,612,902 | ||||||||
|
| |||||||||
7,530,015 | ||||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $539,342,871) | 575,428,382 | |||||||||
|
| |||||||||
INVESTMENT COMPANY — 1.4% | ||||||||||
41,636 | Vanguard S&P 500 ETF | 8,272,657 | ||||||||
|
| |||||||||
TOTAL INVESTMENT COMPANY (COST $8,006,186) | 8,272,657 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 5.5% | ||||||||||
Bank Deposit — 3.3% | ||||||||||
19,638,376 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/03/16 | 19,638,376 | ||||||||
|
| |||||||||
Securities Lending Collateral — 2.1% | ||||||||||
12,861,573 | State Street Institutional U.S. Government Money Market Fund, Premier Class*** | 12,861,573 | ||||||||
|
| |||||||||
U.S. Government and Agency Obligations — 0.1% | ||||||||||
600,000 | United States Treasury Bill, 0.33%, due 10/13/16** ‡‡ | 599,930 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $33,099,879) | 33,099,879 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 102.3% (Cost $580,448,936) | 616,800,918 | |||||||||
Other Assets and Liabilities (net) — (2.3)% | (13,665,923 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 603,134,995 | ||||||||
|
|
8 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Large Cap Equity Fund
(formerly known as Mercer US Large Cap Growth Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (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 held for open futures collateral. | |||||||||
*** | Represents an investment of securities lending cash collateral. | |||||||||
‡ | All or a portion of this security is out on loan. | |||||||||
‡‡ | Interest rate presented is yield to maturity. |
See accompanying Notes to the Financial Statements. | 9 |
Table of Contents
Mercer US Large Cap Equity Fund
(formerly known as Mercer US Large Cap Growth Equity Fund)
Schedule of Investments (Continued)
September 30, 2016 (Unaudited)
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||||
Buys | ||||||||||||||||||||
116 | S&P 500 E-mini Index | December 2016 | $ | 12,530,320 | $ | 15,895 | ||||||||||||||
16 | S&P Mid 400 E-mini Index | December 2016 | 2,479,360 | 40,843 | ||||||||||||||||
|
| |||||||||||||||||||
$ | 56,738 | |||||||||||||||||||
|
|
10 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Large Cap Equity Fund
(formerly known as Mercer US Large Cap Growth Equity Fund)
Schedule of Investments (Continued)
September 30, 2016 (Unaudited)
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Common Stocks | 95.4 | ||||
Investment Company | 1.4 | ||||
Futures Contracts | 0.0 | ||||
Short-Term Investments | 5.5 | ||||
Other Assets and Liabilities (net) | (2.3 | ) | |||
|
| ||||
100.0 | % | ||||
|
|
See accompanying Notes to the Financial Statements. | 11 |
Table of Contents
Mercer US Small/Mid Cap Equity Fund
(formerly known as Mercer US Small/Mid Cap Growth Equity Fund)
Schedule of Investments
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 95.2% | ||||||||||
Advertising — 0.3% | ||||||||||
138,000 | Interpublic Group of Cos. (The), Inc. | 3,084,300 | ||||||||
|
| |||||||||
Aerospace & Defense — 1.8% | ||||||||||
92,944 | BE Aerospace, Inc. | 4,801,487 | ||||||||
34,500 | Moog, Inc. Class A* | 2,054,130 | ||||||||
39,577 | Orbital ATK, Inc. | 3,016,955 | ||||||||
63,700 | Spirit AerosyStems Holdings, Inc. Class A* | 2,837,198 | ||||||||
16,667 | TransDigm Group, Inc.* ‡ | 4,818,763 | ||||||||
|
| |||||||||
17,528,533 | ||||||||||
|
| |||||||||
Agriculture — 0.4% | ||||||||||
31,500 | Bunge, Ltd. | 1,865,745 | ||||||||
26,900 | Universal Corp. | 1,566,118 | ||||||||
|
| |||||||||
3,431,863 | ||||||||||
|
| |||||||||
Airlines — 0.7% | ||||||||||
30,800 | Alaska Air Group, Inc. | 2,028,488 | ||||||||
17,579 | Allegiant Travel Co. | 2,321,659 | ||||||||
119,500 | JetBlue Airways Corp.* | 2,060,180 | ||||||||
|
| |||||||||
6,410,327 | ||||||||||
|
| |||||||||
Apparel — 0.5% | ||||||||||
12,169 | Carter’s, Inc. | 1,055,174 | ||||||||
26,825 | Columbia Sportswear Co. | 1,522,050 | ||||||||
39,700 | Michael Kors Holdings, Ltd.* | 1,857,563 | ||||||||
|
| |||||||||
4,434,787 | ||||||||||
|
| |||||||||
Auto Manufacturers — 0.1% | ||||||||||
93,900 | Wabash National Corp.* | 1,337,136 | ||||||||
|
| |||||||||
Auto Parts & Equipment — 1.2% | ||||||||||
7,400 | Cooper-Standard Holding, Inc.* | 731,120 | ||||||||
52,828 | Dorman Products, Inc.* | 3,375,709 | ||||||||
81,300 | Goodyear Tire & Rubber Co. (The) | 2,625,990 | ||||||||
20,200 | Lear Corp. | 2,448,644 | ||||||||
27,700 | Tenneco, Inc.* | 1,614,079 | ||||||||
39,700 | Tower International, Inc. | 956,770 | ||||||||
|
| |||||||||
11,752,312 | ||||||||||
|
| |||||||||
Banks — 6.7% | ||||||||||
94,630 | Ameris Bancorp | 3,307,318 | ||||||||
47,900 | Banco Latinoamericano de Comercio Exterior SA | 1,349,822 | ||||||||
63,459 | BankUnited, Inc. | 1,916,462 | ||||||||
33,100 | Banner Corp. | 1,447,794 | ||||||||
21,400 | Bryn Mawr Bank Corp. | 684,586 |
12 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Equity Fund
(formerly known as Mercer US Small/Mid Cap Growth Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Banks — continued | ||||||||||
89,765 | Capital Bank Financial Corp. Class A | 2,882,354 | ||||||||
48,700 | CenterState Banks, Inc. | 863,451 | ||||||||
45,276 | Columbia Banking System, Inc. | 1,481,431 | ||||||||
39,200 | Fidelity Southern Corp. | 720,888 | ||||||||
122,700 | First Commonwealth Financial Corp. | 1,238,043 | ||||||||
110,400 | First Horizon National Corp. | 1,681,392 | ||||||||
27,100 | First Interstate BancSystem, Inc. | 853,921 | ||||||||
109,425 | First Republic Bank | 8,437,762 | ||||||||
39,135 | Glacier Bancorp, Inc. | 1,116,130 | ||||||||
48,700 | Hanmi Financial Corp. | 1,282,758 | ||||||||
120,910 | Heritage Financial Corp. | 2,170,335 | ||||||||
49,333 | Home BancShares, Inc. | 1,026,620 | ||||||||
115,500 | Hope Bancorp, Inc. | 2,006,235 | ||||||||
31,591 | IBERIABANK Corp. | 2,120,388 | ||||||||
41,900 | International Bancshares Corp. | 1,247,782 | ||||||||
196,600 | Old National Bancorp | 2,764,196 | ||||||||
55,690 | PacWest Bancorp | 2,389,658 | ||||||||
354,600 | Regions Financial Corp. | 3,499,902 | ||||||||
13,141 | Signature Bank* | 1,556,551 | ||||||||
24,888 | SVB Financial Group* | 2,751,120 | ||||||||
162,200 | TCF Financial Corp. | 2,353,522 | ||||||||
29,802 | Texas Capital Bancshares, Inc.* | 1,636,726 | ||||||||
57,600 | Trustmark Corp. | 1,587,456 | ||||||||
105,921 | Umpqua Holdings Corp. | 1,594,111 | ||||||||
50,724 | Webster Financial Corp. | 1,928,019 | ||||||||
131,284 | Western Alliance Bancorp* | 4,928,401 | ||||||||
|
| |||||||||
64,825,134 | ||||||||||
|
| |||||||||
Biotechnology — 1.3% | ||||||||||
38,300 | AMAG Pharmaceuticals, Inc.* | 938,733 | ||||||||
197,300 | ARIAD Pharmaceuticals, Inc.* ‡ | 2,701,037 | ||||||||
39,105 | Bio-Rad Laboratories, Inc. Class A* | 6,405,790 | ||||||||
261,890 | Merrimack Pharmaceuticals, Inc.* ‡ | 1,663,002 | ||||||||
10,900 | United Therapeutics Corp.* | 1,287,072 | ||||||||
|
| |||||||||
12,995,634 | ||||||||||
|
| |||||||||
Building Materials — 1.7% | ||||||||||
112,005 | Boise Cascade Co.* | 2,844,927 | ||||||||
262,930 | Builders FirstSource, Inc.* ‡ | 3,026,324 | ||||||||
14,141 | Drew Industries, Inc. | 1,386,101 | ||||||||
67,986 | Headwaters, Inc.* | 1,150,323 | ||||||||
18,450 | Lennox International, Inc. | 2,897,204 | ||||||||
93,130 | Louisiana-Pacific Corp.* | 1,753,638 | ||||||||
99,240 | Summit Materials, Inc. Class A* | 1,840,902 | ||||||||
50,500 | USG Corp.* | 1,305,425 | ||||||||
|
| |||||||||
16,204,844 | ||||||||||
|
|
See accompanying Notes to the Financial Statements. | 13 |
Table of Contents
Mercer US Small/Mid Cap Equity Fund
(formerly known as Mercer US Small/Mid Cap Growth Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Chemicals — 2.7% | ||||||||||
143,760 | Axalta Coating Systems, Ltd.* | 4,064,095 | ||||||||
40,100 | Cabot Corp. | 2,101,641 | ||||||||
29,900 | Celanese Corp. Series A | 1,990,144 | ||||||||
58,600 | Chemtura Corp.* | 1,922,666 | ||||||||
26,400 | Eastman Chemical Co. | 1,786,752 | ||||||||
144,900 | Huntsman Corp. | 2,357,523 | ||||||||
73,120 | PolyOne Corp. | 2,472,187 | ||||||||
16,291 | Quaker Chemical Corp. | 1,725,706 | ||||||||
96,860 | RPM International, Inc. | 5,203,319 | ||||||||
38,080 | W.R. Grace & Co. | 2,810,304 | ||||||||
|
| |||||||||
26,434,337 | ||||||||||
|
| |||||||||
Commercial Services — 8.2% | ||||||||||
89,050 | Aramark | 3,386,571 | ||||||||
34,900 | Avis Budget Group, Inc.* | 1,193,929 | ||||||||
62,265 | Booz Allen Hamilton Holding Corp. | 1,968,197 | ||||||||
32,157 | Bright Horizons Family Solutions, Inc.* | 2,150,982 | ||||||||
34,605 | Cardtronics Plc Class A* | 1,543,383 | ||||||||
44,000 | Carriage Services, Inc. | 1,040,600 | ||||||||
21,955 | CEB, Inc. | 1,195,889 | ||||||||
41,588 | CoStar Group, Inc.* | 9,005,050 | ||||||||
30,700 | Deluxe Corp. | 2,051,374 | ||||||||
18,165 | Euronet Worldwide, Inc.* | 1,486,442 | ||||||||
56,780 | Gartner, Inc.* | 5,022,191 | ||||||||
44,449 | Grand Canyon Education, Inc.* ‡ | 1,795,295 | ||||||||
51,886 | Healthcare Services Group, Inc. | 2,053,648 | ||||||||
17,470 | ICF International, Inc.* | 774,270 | ||||||||
92,392 | IHS Markit, Ltd.* | 3,469,320 | ||||||||
45,275 | KAR Auction Services, Inc. | 1,954,069 | ||||||||
37,800 | ManpowerGroup, Inc. | 2,731,428 | ||||||||
47,666 | MarketAxess Holdings, Inc. | 7,893,013 | ||||||||
186,664 | Nord Anglia Education, Inc.* ‡ | 4,065,542 | ||||||||
42,495 | Paylocity Holding Corp.* ‡ | 1,889,328 | ||||||||
142,793 | Ritchie Bros Auctioneers, Inc.‡ | 5,007,750 | ||||||||
75,400 | RR Donnelley & Sons Co. | 1,185,288 | ||||||||
94,190 | Sabre Corp.‡ | 2,654,274 | ||||||||
88,665 | Team Health Holdings, Inc.* ‡ | 2,886,932 | ||||||||
75,500 | Total System Services, Inc. | 3,559,825 | ||||||||
149,026 | TransUnion* | 5,141,397 | ||||||||
73,600 | Western Union Co. (The) | 1,532,352 | ||||||||
|
| |||||||||
78,638,339 | ||||||||||
|
| |||||||||
Computers — 2.7% | ||||||||||
77,300 | Convergys Corp. | 2,351,466 | ||||||||
79,135 | Electronics For Imaging, Inc.* | 3,871,284 | ||||||||
34,811 | ExlService Holdings, Inc.* | 1,734,980 | ||||||||
21,610 | Fleetmatics Group Plc* | 1,296,168 | ||||||||
98,860 | Fortinet, Inc.* | 3,650,900 |
14 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Equity Fund
(formerly known as Mercer US Small/Mid Cap Growth Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Computers — continued | ||||||||||
43,947 | Lumentum Holdings, Inc.* | 1,835,666 | ||||||||
94,600 | Mentor Graphics Corp. | 2,501,224 | ||||||||
67,900 | NCR Corp.* | 2,185,701 | ||||||||
42,200 | Seagate Technology Plc | 1,626,810 | ||||||||
93,800 | Teradata Corp.* | 2,907,800 | ||||||||
135,015 | VeriFone Systems, Inc.* | 2,125,136 | ||||||||
|
| |||||||||
26,087,135 | ||||||||||
|
| |||||||||
Cosmetics & Personal Care — 0.3% | ||||||||||
76,460 | Inter Parfums, Inc. | 2,467,364 | ||||||||
|
| |||||||||
Distribution & Wholesale — 0.8% | ||||||||||
103,470 | HD Supply Holdings, Inc.* | 3,308,970 | ||||||||
111,380 | LKQ Corp.* | 3,949,535 | ||||||||
|
| |||||||||
7,258,505 | ||||||||||
|
| |||||||||
Diversified Financial Services — 2.0% | ||||||||||
17,530 | Affiliated Managers Group, Inc.* | 2,536,591 | ||||||||
41,775 | Artisan Partners Asset Management, Inc. Class A | 1,136,280 | ||||||||
27,116 | CBOE Holdings, Inc. | 1,758,473 | ||||||||
40,300 | CIT Group, Inc. | 1,462,890 | ||||||||
18,000 | Federal Agricultural Mortgage Corp. Class C | 711,000 | ||||||||
54,700 | Legg Mason, Inc. | 1,831,356 | ||||||||
112,400 | Navient Corp. | 1,626,428 | ||||||||
53,420 | Raymond James Financial, Inc. | 3,109,578 | ||||||||
33,661 | SEI Investments Co. | 1,535,278 | ||||||||
52,523 | WageWorks, Inc.* | 3,199,176 | ||||||||
|
| |||||||||
18,907,050 | ||||||||||
|
| |||||||||
Electric — 1.3% | ||||||||||
147,600 | AES Corp. | 1,896,660 | ||||||||
33,700 | Allete, Inc. | 2,009,194 | ||||||||
54,270 | Great Plains Energy, Inc. | 1,481,028 | ||||||||
146,570 | OGE Energy Corp. | 4,634,544 | ||||||||
59,561 | Portland General Electric Co. | 2,536,703 | ||||||||
|
| |||||||||
12,558,129 | ||||||||||
|
| |||||||||
Electrical Components & Equipment — 1.7% | ||||||||||
9,330 | Acuity Brands, Inc. | 2,468,718 | ||||||||
35,172 | Advanced Energy Industries, Inc.* | 1,664,339 | ||||||||
41,100 | Belden, Inc. | 2,835,489 | ||||||||
105,330 | EnerSys | 7,287,783 | ||||||||
49,503 | Generac Holdings, Inc.* | 1,796,959 | ||||||||
|
| |||||||||
16,053,288 | ||||||||||
|
| |||||||||
Electronics — 2.9% | ||||||||||
66,700 | Avnet, Inc. | 2,738,702 |
See accompanying Notes to the Financial Statements. | 15 |
Table of Contents
Mercer US Small/Mid Cap Equity Fund
(formerly known as Mercer US Small/Mid Cap Growth Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Electronics — continued | ||||||||||
65,836 | Coherent, Inc.* ‡ | 7,277,511 | ||||||||
161,700 | Flex, Ltd.* | 2,202,354 | ||||||||
12,095 | Mettler-Toledo International, Inc.* | 5,077,844 | ||||||||
64,827 | National Instruments Corp. | 1,841,087 | ||||||||
43,100 | Sanmina Corp.* | 1,227,057 | ||||||||
29,498 | Sensata Technologies Holding NV* ‡ | 1,143,932 | ||||||||
72,392 | Trimble Navigation, Ltd.* | 2,067,516 | ||||||||
117,800 | Vishay Intertechnology, Inc. | 1,659,802 | ||||||||
40,920 | Woodward, Inc. | 2,556,682 | ||||||||
|
| |||||||||
27,792,487 | ||||||||||
|
| |||||||||
Energy-Alternate Sources — 0.1% | ||||||||||
142,300 | Renewable Energy Group, Inc.* | 1,205,281 | ||||||||
|
| |||||||||
Engineering & Construction — 0.6% | ||||||||||
37,900 | Chicago Bridge & Iron Co. NV | 1,062,337 | ||||||||
49,999 | Exponent, Inc. | 2,552,949 | ||||||||
60,240 | MasTec, Inc.* | 1,791,538 | ||||||||
|
| |||||||||
5,406,824 | ||||||||||
|
| |||||||||
Entertainment — 1.0% | ||||||||||
116,520 | Lions Gate Entertainment Corp.‡ | 2,329,235 | ||||||||
24,497 | Six Flags Entertainment Corp.‡ | 1,313,284 | ||||||||
39,353 | Vail Resorts, Inc. | 6,173,699 | ||||||||
|
| |||||||||
9,816,218 | ||||||||||
|
| |||||||||
Environmental Control — 0.1% | ||||||||||
22,700 | Tetra Tech, Inc. | 805,169 | ||||||||
|
| |||||||||
Food — 2.0% | ||||||||||
24,900 | Hain Celestial Group (The), Inc.* | 885,942 | ||||||||
22,700 | Ingles Markets, Inc. Class A | 897,558 | ||||||||
81,520 | John B Sanfilippo & Son, Inc. | 4,184,421 | ||||||||
64,700 | Pilgrim’s Pride Corp. | 1,366,464 | ||||||||
38,470 | Pinnacle Foods, Inc. | 1,930,040 | ||||||||
20,600 | Sanderson Farms, Inc. | 1,984,398 | ||||||||
29,600 | SpartanNash Co. | 856,032 | ||||||||
71,409 | TreeHouse Foods, Inc.* | 6,226,151 | ||||||||
40,200 | Whole Foods Market, Inc. | 1,139,670 | ||||||||
|
| |||||||||
19,470,676 | ||||||||||
|
| |||||||||
Forest Products & Paper — 0.6% | ||||||||||
27,100 | Clearwater Paper Corp.* | 1,752,557 | ||||||||
16,749 | Deltic Timber Corp. | 1,134,410 | ||||||||
74,113 | PH Glatfelter Co. | 1,606,770 | ||||||||
35,400 | Schweitzer-Mauduit International, Inc. | 1,365,024 | ||||||||
|
| |||||||||
5,858,761 | ||||||||||
|
|
16 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Equity Fund
(formerly known as Mercer US Small/Mid Cap Growth Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Gas — 0.8% | ||||||||||
39,275 | Atmos Energy Corp. | 2,924,809 | ||||||||
127,600 | Centerpoint Energy, Inc. | 2,964,148 | ||||||||
94,410 | NiSource, Inc. | 2,276,225 | ||||||||
|
| |||||||||
8,165,182 | ||||||||||
|
| |||||||||
Hand & Machine Tools — 0.2% | ||||||||||
29,080 | Lincoln Electric Holdings, Inc. | 1,820,990 | ||||||||
|
| |||||||||
Health Care - Products — 3.8% | ||||||||||
81,252 | Align Technology, Inc.* | 7,617,375 | ||||||||
78,260 | Bruker Corp. | 1,772,589 | ||||||||
27,513 | Cantel Medical Corp. Class B | 2,145,464 | ||||||||
17,440 | ICU Medical, Inc.* | 2,204,067 | ||||||||
21,159 | IDEXX Laboratories, Inc.* | 2,385,254 | ||||||||
120,775 | STERIS Plc | 8,828,652 | ||||||||
73,461 | VWR Corp.* | 2,083,354 | ||||||||
57,573 | West Pharmaceutical Services, Inc. | 4,289,189 | ||||||||
205,848 | Wright Medical Group NV* ‡ | 5,049,451 | ||||||||
|
| |||||||||
36,375,395 | ||||||||||
|
| |||||||||
Health Care - Services — 2.3% | ||||||||||
68,262 | Acadia Healthcare Co., Inc.* ‡ | 3,382,382 | ||||||||
31,700 | Air Methods Corp.* | 998,233 | ||||||||
56,600 | Ensign Group (The), Inc. | 1,139,358 | ||||||||
26,041 | ICON Plc* | 2,014,792 | ||||||||
98,400 | Kindred Healthcare, Inc. | 1,005,648 | ||||||||
53,061 | MEDNAX, Inc.* | 3,515,291 | ||||||||
44,140 | Quest Diagnostics, Inc. | 3,735,568 | ||||||||
102,600 | Select Medical Holdings Corp.* | 1,385,100 | ||||||||
39,006 | Surgical Care Affiliates, Inc.* ‡ | 1,901,933 | ||||||||
24,217 | WellCare Health Plans, Inc.* | 2,835,569 | ||||||||
|
| |||||||||
21,913,874 | ||||||||||
|
| |||||||||
Home Builders — 1.6% | ||||||||||
41,475 | CalAtlantic Group, Inc. | 1,386,924 | ||||||||
15,241 | Cavco Industries, Inc.* | 1,509,621 | ||||||||
248,815 | Taylor Morrison Home Corp. Class A* | 4,379,144 | ||||||||
29,700 | Thor Industries, Inc. | 2,515,590 | ||||||||
409,170 | TRI Pointe Group, Inc.* | 5,392,861 | ||||||||
|
| |||||||||
15,184,140 | ||||||||||
|
| |||||||||
Home Furnishings — 1.1% | ||||||||||
34,300 | Ethan Allen Interiors, Inc. | 1,072,561 | ||||||||
38,974 | Harman International Industries, Inc. | 3,291,354 | ||||||||
132,293 | La-Z-Boy, Inc. | 3,249,116 | ||||||||
39,875 | Universal Electronics, Inc.* | 2,969,093 | ||||||||
|
| |||||||||
10,582,124 | ||||||||||
|
|
See accompanying Notes to the Financial Statements. | 17 |
Table of Contents
Mercer US Small/Mid Cap Equity Fund
(formerly known as Mercer US Small/Mid Cap Growth Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Household Products & Wares — 0.1% | ||||||||||
18,485 | Avery Dennison Corp. | 1,437,948 | ||||||||
|
| |||||||||
Housewares — 0.7% | ||||||||||
104,273 | Toro Co. (The) | 4,884,147 | ||||||||
24,478 | Tupperware Brands Corp. | 1,600,127 | ||||||||
|
| |||||||||
6,484,274 | ||||||||||
|
| |||||||||
Insurance — 4.3% | ||||||||||
54,200 | Aspen Insurance Holdings, Ltd. | 2,525,178 | ||||||||
70,620 | Assurant, Inc. | 6,514,695 | ||||||||
64,200 | Assured Guaranty, Ltd. | 1,781,550 | ||||||||
65,245 | Axis Capital Holdings, Ltd. | 3,544,761 | ||||||||
134,700 | CNO Financial Group, Inc. | 2,056,869 | ||||||||
38,600 | Endurance Specialty Holdings, Ltd. | 2,526,370 | ||||||||
15,800 | Everest Re Group, Ltd. | 3,001,526 | ||||||||
30,700 | Hanover Insurance Group (The), Inc. | 2,315,394 | ||||||||
19,800 | Heritage Insurance Holdings, Inc. | 285,318 | ||||||||
55,500 | Lincoln National Corp. | 2,607,390 | ||||||||
170,000 | MGIC Investment Corp.* | 1,360,000 | ||||||||
58,531 | ProAssurance Corp. | 3,071,707 | ||||||||
42,181 | Reinsurance Group of America, Inc. | 4,553,017 | ||||||||
97,100 | Universal Insurance Holdings, Inc. | 2,446,920 | ||||||||
90,300 | Unum Group | 3,188,493 | ||||||||
|
| |||||||||
41,779,188 | ||||||||||
|
| |||||||||
Internet — 1.0% | ||||||||||
55,432 | Cogent Communications Holdings, Inc.‡ | 2,040,452 | ||||||||
9,590 | Criteo SA, Sponsored ADR* ‡ | 336,705 | ||||||||
61,928 | HealthStream, Inc.* ‡ | 1,709,213 | ||||||||
98,900 | Rubicon Project (The), Inc.* | 818,892 | ||||||||
31,660 | Shopify, Inc. Class A* | 1,358,847 | ||||||||
60,895 | Splunk, Inc.* ‡ | 3,573,318 | ||||||||
|
| |||||||||
9,837,427 | ||||||||||
|
| |||||||||
Investment Companies — 0.2% | ||||||||||
57,300 | Ares Capital Corp. | 888,150 | ||||||||
59,200 | New Mountain Finance Corp. | 814,592 | ||||||||
|
| |||||||||
1,702,742 | ||||||||||
|
| |||||||||
Leisure Time — 0.8% | ||||||||||
61,758 | Brunswick Corp. | 3,012,555 | ||||||||
85,315 | Harley-Davidson, Inc. | 4,486,716 | ||||||||
|
| |||||||||
7,499,271 | ||||||||||
|
| |||||||||
Lodging — 0.2% | ||||||||||
35,300 | Wyndham Worldwide Corp. | 2,376,749 | ||||||||
|
|
18 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Equity Fund
(formerly known as Mercer US Small/Mid Cap Growth Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Machinery - Construction & Mining — 0.2% | ||||||||||
37,200 | �� | Oshkosh Corp. | 2,083,200 | |||||||
|
| |||||||||
Machinery - Diversified — 2.9% | ||||||||||
54,102 | Albany International Corp. Class A | 2,292,843 | ||||||||
53,600 | Briggs & Stratton Corp. | 999,640 | ||||||||
56,757 | Cognex Corp. | 3,000,175 | ||||||||
49,850 | Flowserve Corp. | 2,404,764 | ||||||||
81,222 | Middleby Corp. (The)* | 10,040,664 | ||||||||
23,058 | Nordson Corp. | 2,297,268 | ||||||||
41,882 | Wabtec Corp. | 3,419,665 | ||||||||
48,333 | Zebra Technologies Corp. Class A* | 3,364,460 | ||||||||
|
| |||||||||
27,819,479 | ||||||||||
|
| |||||||||
Media — 0.5% | ||||||||||
56,200 | Nexstar Broadcasting Group, Inc. Class A‡ | 3,243,302 | ||||||||
67,300 | TEGNA, Inc. | 1,471,178 | ||||||||
|
| |||||||||
4,714,480 | ||||||||||
|
| |||||||||
Metal Fabricate & Hardware — 0.5% | ||||||||||
45,900 | Global Brass & Copper Holdings, Inc. | 1,326,051 | ||||||||
31,186 | RBC Bearings, Inc.* | 2,385,105 | ||||||||
37,937 | Sun Hydraulics Corp.‡ | 1,224,227 | ||||||||
|
| |||||||||
4,935,383 | ||||||||||
|
| |||||||||
Mining — 0.6% | ||||||||||
25,052 | Compass Minerals International, Inc. | 1,846,332 | ||||||||
119,900 | Materion Corp. | 3,682,129 | ||||||||
|
| |||||||||
5,528,461 | ||||||||||
|
| |||||||||
Miscellaneous - Manufacturing — 1.7% | ||||||||||
33,260 | AO Smith Corp. | 3,285,756 | ||||||||
31,486 | AptarGroup, Inc. | 2,437,331 | ||||||||
23,700 | Crane Co. | 1,493,337 | ||||||||
39,784 | Hexcel Corp. | 1,762,431 | ||||||||
40,100 | ITT, Inc. | 1,437,184 | ||||||||
35,279 | Proto Labs, Inc.* | 2,113,565 | ||||||||
45,400 | Smith & Wesson Holding Corp.* | 1,207,186 | ||||||||
68,000 | Textron, Inc. | 2,703,000 | ||||||||
|
| |||||||||
16,439,790 | ||||||||||
|
| |||||||||
Office & Business Equipment — 0.3% | ||||||||||
93,800 | Pitney Bowes, Inc. | 1,703,408 | ||||||||
104,800 | Xerox Corp. | 1,061,624 | ||||||||
|
| |||||||||
2,765,032 | ||||||||||
|
| |||||||||
Office Furnishings — 0.2% | ||||||||||
106,060 | Knoll, Inc. | 2,423,471 | ||||||||
|
|
See accompanying Notes to the Financial Statements. | 19 |
Table of Contents
Mercer US Small/Mid Cap Equity Fund
(formerly known as Mercer US Small/Mid Cap Growth Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Oil & Gas — 2.0% | ||||||||||
185,825 | Callon Petroleum Co.* | 2,917,452 | ||||||||
94,300 | Diamond Offshore Drilling, Inc. | 1,660,623 | ||||||||
18,223 | Diamondback Energy, Inc.* | 1,759,248 | ||||||||
79,900 | HollyFrontier Corp. | 1,957,550 | ||||||||
31,599 | Murphy USA, Inc.* | 2,254,905 | ||||||||
49,005 | Parsley Energy, Inc. Class A* | 1,642,158 | ||||||||
31,800 | PBF Energy, Inc. Class A | 719,952 | ||||||||
98,487 | QEP Resources, Inc. | 1,923,451 | ||||||||
50,820 | Tesoro Corp. | 4,043,239 | ||||||||
|
| |||||||||
18,878,578 | ||||||||||
|
| |||||||||
Oil & Gas Services — 0.5% | ||||||||||
40,813 | Dril-Quip, Inc.* | 2,274,917 | ||||||||
75,100 | Matrix Service Co.* | 1,408,876 | ||||||||
67,895 | Superior Energy Services, Inc. | 1,215,320 | ||||||||
|
| |||||||||
4,899,113 | ||||||||||
|
| |||||||||
Packaging & Containers — 0.4% | ||||||||||
74,600 | Owens-Illinois, Inc.* | 1,371,894 | ||||||||
32,200 | Packaging Corp. of America | 2,616,572 | ||||||||
|
| |||||||||
3,988,466 | ||||||||||
|
| |||||||||
Pharmaceuticals — 3.7% | ||||||||||
23,600 | Akorn, Inc.* | 643,336 | ||||||||
101,738 | Alkermes Plc* | 4,784,738 | ||||||||
83,693 | Catalent, Inc.* | 2,162,627 | ||||||||
61,861 | DexCom, Inc.* ‡ | 5,422,735 | ||||||||
126,088 | Ironwood Pharmaceuticals, Inc.* ‡ | 2,002,277 | ||||||||
41,382 | Jazz Pharmaceuticals Plc* | 5,027,085 | ||||||||
23,400 | Mallinckrodt Plc* | 1,632,852 | ||||||||
167,054 | Nektar Therapeutics* ‡ | 2,869,988 | ||||||||
78,709 | Neurocrine Biosciences, Inc.* ‡ | 3,985,824 | ||||||||
39,900 | Omega Protein Corp.* | 932,463 | ||||||||
55,835 | Pacira Pharmaceuticals, Inc.* | 1,910,674 | ||||||||
50,099 | Premier, Inc. Class A* | 1,620,202 | ||||||||
90,700 | Sucampo Pharmaceuticals, Inc. Class A* | 1,116,517 | ||||||||
28,952 | VCA, Inc.* | 2,026,061 | ||||||||
|
| |||||||||
36,137,379 | ||||||||||
|
| |||||||||
Real Estate — 0.6% | ||||||||||
33,212 | FirstService Corp. | 1,550,336 | ||||||||
335,228 | Forestar Group, Inc.* | 3,925,520 | ||||||||
|
| |||||||||
5,475,856 | ||||||||||
|
| |||||||||
REITS — 6.7% | ||||||||||
93,567 | American Campus Communities, Inc. REIT | 4,759,753 | ||||||||
227,300 | Annaly Capital Management, Inc. REIT | 2,386,650 |
20 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Equity Fund
(formerly known as Mercer US Small/Mid Cap Growth Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
REITS — continued | ||||||||||
20,320 | Apartment Investment & Management Co. REIT Class A | 932,891 | ||||||||
258,381 | Brandywine Realty Trust REIT | 4,035,911 | ||||||||
99,300 | Chimera Investment Corp. REIT | 1,583,835 | ||||||||
11,900 | City Office, Inc. REIT | 151,487 | ||||||||
48,000 | Corporate Office Properties Trust REIT | 1,360,800 | ||||||||
57,000 | Corrections Corp. of America REIT | 790,590 | ||||||||
96,909 | Easterly Government Properties, Inc. REIT | 1,849,024 | ||||||||
84,600 | Franklin Street Properties Corp. REIT | 1,065,960 | ||||||||
58,700 | Government Properties Income Trust REIT | 1,327,794 | ||||||||
100,100 | Hospitality Properties Trust REIT | 2,974,972 | ||||||||
113,700 | Independence Realty Trust, Inc. REIT | 1,023,300 | ||||||||
227,800 | Lexington Realty Trust REIT | 2,346,340 | ||||||||
71,800 | Mack-Cali Realty Corp. REIT | 1,954,396 | ||||||||
181,200 | Medical Properties Trust, Inc. REIT | 2,676,324 | ||||||||
32,001 | Mid-America Apartment Communities, Inc. REIT | 3,007,774 | ||||||||
121,344 | Physicians Realty Trust REIT | 2,613,750 | ||||||||
95,600 | Piedmont Office Realty Trust, Inc. REIT Class A | 2,081,212 | ||||||||
251,255 | Ramco-Gershenson Properties Trust REIT | 4,708,519 | ||||||||
100,700 | RLJ Lodging Trust REIT | 2,117,721 | ||||||||
41,700 | Sabra Healthcare, Inc. REIT | 1,050,006 | ||||||||
95,800 | Select Income REIT | 2,577,020 | ||||||||
158,100 | Senior Housing Properties Trust REIT | 3,590,451 | ||||||||
70,120 | STAG Industrial, Inc. REIT‡ | 1,718,641 | ||||||||
255,000 | Starwood Property Trust, Inc. REIT | 5,742,600 | ||||||||
99,800 | Summit Hotel Properties, Inc. REIT | 1,313,368 | ||||||||
34,769 | Sun Communities, Inc. REIT | 2,728,671 | ||||||||
|
| |||||||||
64,469,760 | ||||||||||
|
| |||||||||
Retail — 4.9% | ||||||||||
78,700 | American Eagle Outfitters, Inc. | 1,405,582 | ||||||||
41,103 | BJ’s Restaurants, Inc.* | 1,461,212 | ||||||||
72,100 | Bloomin’ Brands, Inc. | 1,243,004 | ||||||||
36,599 | Burlington Stores, Inc.* | 2,965,251 | ||||||||
13,775 | Casey’s General Stores, Inc. | 1,655,066 | ||||||||
29,700 | Dick’s Sporting Goods, Inc. | 1,684,584 | ||||||||
16,800 | Dillard’s, Inc. Class A | 1,058,568 | ||||||||
22,289 | Dunkin’ Brands Group, Inc.‡ | 1,160,811 | ||||||||
62,765 | Five Below, Inc.* | 2,528,802 | ||||||||
30,300 | Foot Locker, Inc. | 2,051,916 | ||||||||
283,954 | Fred’s, Inc. Class A | 2,572,623 | ||||||||
83,465 | GameStop Corp. Class A | 2,302,799 | ||||||||
216,780 | Haverty Furniture Cos., Inc.¤ | 4,344,271 | ||||||||
37,230 | Jack in the Box, Inc. | 3,571,846 | ||||||||
27,730 | Lululemon Athletica, Inc.* ‡ | 1,690,975 | ||||||||
91,199 | Michaels Cos. (The), Inc.* | 2,204,280 | ||||||||
5,582 | Panera Bread Co. Class A* ‡ | 1,086,927 | ||||||||
51,829 | Penske Automotive Group, Inc. | 2,497,121 | ||||||||
31,527 | PriceSmart, Inc. | 2,640,702 |
See accompanying Notes to the Financial Statements. | 21 |
Table of Contents
Mercer US Small/Mid Cap Equity Fund
(formerly known as Mercer US Small/Mid Cap Growth Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Retail — continued | ||||||||||
13,800 | Red Robin Gourmet Burgers, Inc.* | 620,172 | ||||||||
60,400 | Sonic Automotive, Inc. Class A | 1,135,520 | ||||||||
23,792 | Texas Roadhouse, Inc. Class A | 928,602 | ||||||||
80,853 | Urban Outfitters, Inc.* | 2,791,046 | ||||||||
23,900 | Williams-Sonoma, Inc. | 1,220,812 | ||||||||
|
| |||||||||
46,822,492 | ||||||||||
|
| |||||||||
Savings & Loans — 0.3% | ||||||||||
71,400 | Banc of California, Inc. | 1,246,644 | ||||||||
33,800 | Berkshire Hills Bancorp, Inc. | 936,598 | ||||||||
45,600 | United Financial Bancorp, Inc. | 631,104 | ||||||||
|
| |||||||||
2,814,346 | ||||||||||
|
| |||||||||
Semiconductors — 3.3% | ||||||||||
60,700 | Kulicke & Soffa Industries, Inc.* | 784,851 | ||||||||
947,620 | Lattice Semiconductor Corp.* | 6,150,054 | ||||||||
42,505 | MACOM Technology Solutions Holdings, Inc.* ‡ | 1,799,662 | ||||||||
38,293 | Microchip Technology, Inc. | 2,379,527 | ||||||||
104,715 | Microsemi Corp.* | 4,395,935 | ||||||||
440,660 | ON Semiconductor Corp.* | 5,428,931 | ||||||||
39,313 | Power Integrations, Inc. | 2,477,898 | ||||||||
33,531 | Silicon Laboratories, Inc.* | 1,971,623 | ||||||||
313,605 | Teradyne, Inc. | 6,767,596 | ||||||||
|
| |||||||||
32,156,077 | ||||||||||
|
| |||||||||
Shipbuilding — 0.2% | ||||||||||
11,600 | Huntington Ingalls Industries, Inc. | 1,779,672 | ||||||||
|
| |||||||||
Software — 4.6% | ||||||||||
22,074 | ANSYS, Inc.* | 2,044,273 | ||||||||
13,694 | athenahealth, Inc.* ‡ | 1,727,087 | ||||||||
28,061 | Black Knight Financial Services, Inc. Class A* | 1,147,695 | ||||||||
70,839 | Blackbaud, Inc.‡ | 4,699,459 | ||||||||
23,569 | Broadridge Financial Solutions, Inc. | 1,597,743 | ||||||||
98,686 | Callidus Software, Inc.* ‡ | 1,810,888 | ||||||||
39,120 | CyberArk Software, Ltd.* | 1,939,178 | ||||||||
39,314 | Guidewire Software, Inc.* ‡ | 2,358,054 | ||||||||
25,717 | HubSpot, Inc.* | 1,481,814 | ||||||||
16,441 | j2 Global, Inc.‡ | 1,095,135 | ||||||||
793,165 | Mitel Networks Corp.* | 5,837,694 | ||||||||
57,315 | MSCI, Inc. Class A | 4,811,021 | ||||||||
25,867 | SPS Commerce, Inc.* | 1,898,896 | ||||||||
70,457 | SS&C Technologies Holdings, Inc. | 2,265,193 | ||||||||
24,565 | Tyler Technologies, Inc.* | 4,206,265 | ||||||||
25,473 | Ultimate Software Group (The), Inc.* | 5,206,427 | ||||||||
|
| |||||||||
44,126,822 | ||||||||||
|
|
22 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Equity Fund
(formerly known as Mercer US Small/Mid Cap Growth Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Telecommunications — 1.0% | ||||||||||
50,115 | ARRIS International Plc* | 1,419,758 | ||||||||
52,908 | GTT Communications, Inc.* ‡ | 1,244,925 | ||||||||
45,600 | Inteliquent, Inc. | 735,984 | ||||||||
80,100 | Juniper Networks, Inc. | 1,927,206 | ||||||||
37,600 | Plantronics, Inc. | 1,953,696 | ||||||||
79,250 | Zayo Group Holdings, Inc.* | 2,354,518 | ||||||||
|
| |||||||||
9,636,087 | ||||||||||
|
| |||||||||
Transportation — 1.3% | ||||||||||
31,300 | Atlas Air Worldwide Holdings, Inc.* | 1,340,266 | ||||||||
85,292 | Heartland Express, Inc. | 1,610,313 | ||||||||
18,060 | J.B. Hunt Transport Services, Inc. | 1,465,388 | ||||||||
60,779 | Marten Transport, Ltd. | 1,276,359 | ||||||||
65,800 | Navigator Holdings, Ltd.* | 473,102 | ||||||||
39,340 | Old Dominion Freight Line, Inc.* | 2,699,117 | ||||||||
29,900 | Ryder System, Inc. | 1,971,905 | ||||||||
49,000 | Ship Finance International, Ltd. | 721,770 | ||||||||
39,038 | XPO Logistics, Inc.* ‡ | 1,431,524 | ||||||||
|
| |||||||||
12,989,744 | ||||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $842,102,924) | 916,807,425 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 7.2% | ||||||||||
Bank Deposit — 4.4% | ||||||||||
42,222,150 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/03/16 | 42,222,150 | ||||||||
|
| |||||||||
Securities Lending Collateral — 2.7% | ||||||||||
25,695,826 | State Street Institutional U.S. Government Money Market Fund, Premier Class*** | 25,695,826 | ||||||||
|
| |||||||||
U.S. Government and Agency Obligations — 0.1% | ||||||||||
600,000 | United States Treasury Bill, 0.33%, due 10/13/16** ‡‡ | 599,930 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $68,517,906) | 68,517,906 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 102.4% (Cost $910,620,830) | 985,325,331 | |||||||||
Other Assets and Liabilities (net) — (2.4)% | (22,696,996 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 962,628,335 | ||||||||
|
|
See accompanying Notes to the Financial Statements. | 23 |
Table of Contents
Mercer US Small/Mid Cap Equity Fund
(formerly known as Mercer US Small/Mid Cap Growth Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (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 held for open futures collateral. | |||||||||
*** | Represents an investment of securities lending cash collateral. | |||||||||
‡ | All or a portion of this security is out on loan. | |||||||||
‡‡ | Interest rate presented is yield to maturity. | |||||||||
¤ | Illiquid security. The total market value of the securities at period end is $4,344,271 which represents 0.5% of net assets. The aggregate tax cost of these securities held at September 30, 2016 was $4,613,202. |
24 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Equity Fund
(formerly known as Mercer US Small/Mid Cap Growth Equity Fund)
Schedule of Investments (Continued)
September 30, 2016 (Unaudited)
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||||
Buys | ||||||||||||||||||||
116 | Russell 2000 Mini Index | December 2016 | $ | 14,480,280 | $ | 421,511 | ||||||||||||||
96 | S&P Mid 400 E-mini Index | December 2016 | 14,876,160 | 253,611 | ||||||||||||||||
|
| |||||||||||||||||||
$ | 675,122 | |||||||||||||||||||
|
|
See accompanying Notes to the Financial Statements. | 25 |
Table of Contents
Mercer US Small/Mid Cap Equity Fund
(formerly known as Mercer US Small/Mid Cap Growth Equity Fund)
Schedule of Investments (Continued)
September 30, 2016 (Unaudited)
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Common Stocks | 95.2 | ||||
Futures Contracts | 0.1 | ||||
Short-Term Investments | 7.2 | ||||
Other Assets and Liabilities (net) | (2.5 | ) | |||
|
| ||||
100.0 | % | ||||
|
|
26 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 92.7% | ||||||||||
Australia — 4.2% | ||||||||||
172,812 | ALS Ltd. | 788,177 | ||||||||
95,770 | Altium, Ltd. | 674,983 | ||||||||
105,678 | Aristocrat Leisure, Ltd. | 1,278,557 | ||||||||
1,444,167 | Asaleo Care, Ltd. | 1,757,187 | ||||||||
259,978 | Australia & New Zealand Banking Group, Ltd. | 5,496,940 | ||||||||
294,184 | Australian Pharmaceutical Industries, Ltd. | 434,490 | ||||||||
294,129 | BGP Holdings Plc* **** ¤ | — | ||||||||
241,566 | BlueScope Steel, Ltd. | 1,432,653 | ||||||||
1,605,626 | Brambles, Ltd. | 14,719,895 | ||||||||
168,327 | carsales.com, Ltd. | 1,539,307 | ||||||||
428,410 | Charter Hall Retail REIT | 1,386,767 | ||||||||
3,845 | Cochlear, Ltd. | 414,847 | ||||||||
61,196 | Computershare, Ltd. | 483,288 | ||||||||
1,875,513 | Cromwell Property Group REIT | 1,349,123 | ||||||||
56,517 | Crown Resorts, Ltd. | 567,003 | ||||||||
1,079,350 | CSR, Ltd. | 2,990,022 | ||||||||
249,269 | Downer EDI, Ltd. | 1,028,160 | ||||||||
1,686,624 | Evolution Mining, Ltd. | 3,239,631 | ||||||||
361,910 | Fortescue Metals Group, Ltd. | 1,370,911 | ||||||||
250,623 | G8 Education, Ltd.‡ | 583,040 | ||||||||
987,052 | Genworth Mortgage Insurance Australia, Ltd. | 2,031,869 | ||||||||
358,506 | Harvey Norman Holdings, Ltd. | 1,426,603 | ||||||||
408,674 | Incitec Pivot, Ltd. | 881,921 | ||||||||
619,445 | Investa Office Fund REIT | 2,166,319 | ||||||||
91,406 | IRESS, Ltd. | 825,392 | ||||||||
111,899 | Link Administration Holdings, Ltd. | 707,310 | ||||||||
71,334 | Macquarie Atlas Roads Group | 272,396 | ||||||||
45,800 | Macquarie Group, Ltd. | 2,871,871 | ||||||||
64,613 | Magellan Financial Group, Ltd.‡ | 1,071,970 | ||||||||
304,611 | Mayne Pharma Group, Ltd.* | 466,207 | ||||||||
130,170 | McMillan Shakespeare, Ltd.‡ | 1,177,421 | ||||||||
1,432,675 | Metcash, Ltd.* | 2,291,382 | ||||||||
47,433 | Mineral Resources, Ltd. | 401,820 | ||||||||
1,313,046 | Myer Holdings, Ltd.‡ | 1,170,602 | ||||||||
245,453 | MYOB Group, Ltd.‡ | 700,617 | ||||||||
138,706 | Navitas, Ltd. | 553,014 | ||||||||
274,743 | NEXTDC, Ltd.* | 887,243 | ||||||||
173,622 | Northern Star Resources, Ltd. | 619,148 | ||||||||
137,589 | Nufarm, Ltd. | 986,567 | ||||||||
198,062 | Orica, Ltd. | 2,303,818 | ||||||||
536,339 | Orora, Ltd. | 1,292,866 | ||||||||
237,603 | OZ Minerals, Ltd. | 1,105,501 | ||||||||
101,857 | Pact Group Holdings, Ltd. | 491,840 | ||||||||
84,729 | Premier Investments, Ltd. | 1,005,651 | ||||||||
614,352 | Primary Health Care, Ltd. | 1,861,727 | ||||||||
862,388 | Qantas Airways, Ltd. | 2,059,021 | ||||||||
18,216 | REA Group, Ltd. | 786,902 |
See accompanying Notes to the Financial Statements. | 27 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Australia — continued | ||||||||||
469,710 | Retail Food Group, Ltd. | 2,505,337 | ||||||||
653,114 | Scentre Group REIT | 2,349,040 | ||||||||
144,930 | Seven Group Holdings, Ltd.‡ | 951,588 | ||||||||
696,497 | Seven West Media, Ltd. | 389,086 | ||||||||
514,665 | Shopping Centres Australasia Property Group REIT | 886,157 | ||||||||
1,477,346 | Sigma Pharmaceuticals, Ltd. | 1,599,713 | ||||||||
81,553 | Sims Metal Management, Ltd.‡ | 580,399 | ||||||||
394,498 | Star Entertainment Grp, Ltd. (The) | 1,817,376 | ||||||||
174,223 | Super Retail Group, Ltd. | 1,357,240 | ||||||||
269,252 | Tatts Group, Ltd. | 752,065 | ||||||||
189,873 | Treasury Wine Estates, Ltd. | 1,604,116 | ||||||||
46,184 | Virtus Health, Ltd. | 272,136 | ||||||||
115,518 | Vocus Communications, Ltd. | 550,733 | ||||||||
|
| |||||||||
Total Australia | 89,566,965 | |||||||||
|
| |||||||||
Austria — 0.8% | ||||||||||
42,685 | ams AG | 1,387,020 | ||||||||
11,063 | ANDRITZ AG | 602,422 | ||||||||
55,129 | BUWOG AG* | 1,492,471 | ||||||||
297,870 | Erste Group Bank AG* | 8,825,587 | ||||||||
5,986 | Lenzing AG | 699,615 | ||||||||
69,200 | OMV AG | 1,992,390 | ||||||||
50,100 | Voestalpine AG | 1,734,113 | ||||||||
59,379 | Wienerberger AG | 1,008,626 | ||||||||
|
| |||||||||
Total Austria | 17,742,244 | |||||||||
|
| |||||||||
Belgium — 0.6% | ||||||||||
55,042 | Ageas | 2,008,162 | ||||||||
38,944 | Anheuser-Busch InBev NV | 5,103,030 | ||||||||
21,985 | Anheuser-Busch InBev NV, Sponsored ADR | 2,889,049 | ||||||||
22,782 | bpost SA | 616,634 | ||||||||
29,601 | Orange Belgium SA* | 724,192 | ||||||||
16,888 | Umicore SA | 1,059,583 | ||||||||
|
| |||||||||
Total Belgium | 12,400,650 | |||||||||
|
| |||||||||
Bermuda — 0.2% | ||||||||||
2,168,933 | Esprit Holdings, Ltd.* | 1,758,984 | ||||||||
165,102 | Hiscox, Ltd. | 2,234,751 | ||||||||
|
| |||||||||
Total Bermuda | 3,993,735 | |||||||||
|
| |||||||||
Brazil — 0.3% | ||||||||||
807,100 | BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros | 4,176,047 | ||||||||
674,100 | JBS SA | 2,452,518 | ||||||||
|
| |||||||||
Total Brazil | 6,628,565 | |||||||||
|
| |||||||||
Canada — 1.4% | ||||||||||
21,200 | Aecon Group, Inc.‡ | 292,291 | ||||||||
118,003 | Alamos Gold, Inc. Class A | 967,625 |
28 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Canada — continued | ||||||||||
55,434 | Barrick Gold Corp. (New York Exchange) | 982,290 | ||||||||
75,300 | Barrick Gold Corp. (Toronto Exchange)‡ | 1,330,964 | ||||||||
138,000 | Baytex Energy Corp. | 584,866 | ||||||||
153,200 | Bonavista Energy Corp.‡ | 491,919 | ||||||||
33,400 | Canam Group, Inc. | 255,408 | ||||||||
19,870 | Fairfax Financial Holdings, Ltd. | 11,622,192 | ||||||||
149,287 | First Majestic Silver Corp.* | 1,537,656 | ||||||||
230,918 | First Quantum Minerals, Ltd. | 1,908,137 | ||||||||
87,800 | HudBay Minerals, Inc. | 346,724 | ||||||||
18,200 | Intertape Polymer Group, Inc. | 313,523 | ||||||||
42,000 | Killam Apartment Real Estate Investment Trust REIT | 386,365 | ||||||||
164,700 | Kinross Gold Corp.* | 693,387 | ||||||||
137,900 | Lundin Mining Corp.* | 544,570 | ||||||||
36,500 | Milestone Apartments Real Estate Investment Trust REIT | 536,009 | ||||||||
240,968 | New Gold, Inc.* | 1,048,211 | ||||||||
18,000 | Norbord, Inc.¤ | 463,320 | ||||||||
19,600 | Russel Metals, Inc. | 312,437 | ||||||||
106,000 | SEMAFO, Inc.* | 440,373 | ||||||||
172,046 | Teck Resources, Ltd. Class B | 3,101,989 | ||||||||
13,200 | Winpak, Ltd.‡ | 440,218 | ||||||||
227,300 | Yamana Gold, Inc. | 979,663 | ||||||||
|
| |||||||||
Total Canada | 29,580,137 | |||||||||
|
| |||||||||
Cayman Islands — 2.0% | ||||||||||
105,450 | Alibaba Group Holding, Ltd., Sponsored ADR* | 11,155,556 | ||||||||
1,969,000 | China Hongqiao Group, Ltd. | 1,772,010 | ||||||||
3,714,000 | Jiangnan Group, Ltd. | 632,093 | ||||||||
2,741,000 | Lee & Man Paper Manufacturing, Ltd. | 2,487,979 | ||||||||
638,350 | Tencent Holdings, Ltd. | 17,530,870 | ||||||||
3,834,000 | Truly International Holdings, Ltd. | 1,557,140 | ||||||||
2,170,000 | United Laboratories International Holdings, Ltd. (The)* | 1,259,033 | ||||||||
3,810,000 | Universal Health International Group Holding, Ltd.* | 181,757 | ||||||||
4,537,000 | WH Group, Ltd. | 3,650,214 | ||||||||
268,000 | Xinyi Automobile Glass Hong Kong Enterprises, Ltd.* | 56,323 | ||||||||
2,144,000 | Xinyi Glass Holdings, Ltd.* | 1,937,795 | ||||||||
|
| |||||||||
Total Cayman Islands | 42,220,770 | |||||||||
|
| |||||||||
China — 0.1% | ||||||||||
905,000 | China Railway Construction Corp., Ltd. Class H | 1,026,824 | ||||||||
628,600 | Shanghai Pharmaceuticals Holding Co., Ltd. Class H | 1,693,892 | ||||||||
|
| |||||||||
Total China | 2,720,716 | |||||||||
|
| |||||||||
Denmark — 1.4% | ||||||||||
144,100 | Danske Bank AS | 4,206,029 | ||||||||
209,820 | DSV AS | 10,449,913 | ||||||||
29,338 | Jyske Bank AS | 1,368,172 | ||||||||
110,657 | Pandora AS | 13,377,140 |
See accompanying Notes to the Financial Statements. | 29 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Denmark — continued | ||||||||||
38,901 | Sydbank AS | 1,182,421 | ||||||||
|
| |||||||||
Total Denmark | 30,583,675 | |||||||||
|
| |||||||||
Faroe Islands — 0.0% | ||||||||||
17,152 | Bakkafrost P/F | 716,142 | ||||||||
|
| |||||||||
Finland — 1.2% | ||||||||||
27,390 | Cargotec OYJ Class B | 1,257,399 | ||||||||
24,290 | Huhtamaki OYJ | 1,131,738 | ||||||||
103,787 | Kemira OYJ | 1,405,462 | ||||||||
36,230 | Kesko OYJ Class B | 1,669,326 | ||||||||
33,622 | Kone OYJ Class B | 1,706,722 | ||||||||
26,917 | Konecranes OYJ | 954,064 | ||||||||
102,880 | Neste OYJ | 4,386,492 | ||||||||
177,513 | Outokumpu OYJ* | 1,219,876 | ||||||||
146,572 | Sponda OYJ | 754,407 | ||||||||
215,737 | Stora Enso OYJ Class R | 1,916,530 | ||||||||
213,477 | UPM-Kymmene OYJ | 4,510,223 | ||||||||
104,725 | Valmet OYJ | 1,575,868 | ||||||||
19,761 | Wartsila OYJ Abp | 889,851 | ||||||||
164,298 | YIT OYJ | 1,323,855 | ||||||||
|
| |||||||||
Total Finland | 24,701,813 | |||||||||
|
| |||||||||
France — 7.7% | ||||||||||
8,959 | Alten SA | 626,640 | ||||||||
18,500 | Atos SE | 1,994,206 | ||||||||
298,700 | AXA SA | 6,357,762 | ||||||||
178,427 | BNP Paribas SA | 9,177,630 | ||||||||
134,294 | Carrefour SA | 3,480,961 | ||||||||
129,388 | CNP Assurances | 2,174,550 | ||||||||
359,414 | Credit Agricole SA | 3,545,517 | ||||||||
259,913 | Danone SA | 19,292,561 | ||||||||
48,172 | Dassault Systemes SA | 4,180,900 | ||||||||
76,000 | Electricite de France SA | 924,977 | ||||||||
112,600 | Engie SA | 1,744,985 | ||||||||
74,620 | Essilor International SA | 9,626,894 | ||||||||
14,701 | Euler Hermes Group | 1,250,308 | ||||||||
37,759 | Faurecia | 1,480,931 | ||||||||
42,863 | IPSOS | 1,400,286 | ||||||||
44,510 | Kering | 8,981,152 | ||||||||
12,803 | L’Oreal SA | 2,418,625 | ||||||||
96,223 | Legrand SA | 5,674,947 | ||||||||
56,503 | Metropole Television SA | 1,019,779 | ||||||||
223,200 | Natixis SA | 1,040,703 | ||||||||
81,345 | Neopost SA | 2,196,715 | ||||||||
35,220 | Nexans SA* | 2,020,571 | ||||||||
177,900 | Orange SA | 2,784,942 | ||||||||
89,370 | Pernod Ricard SA | 10,580,723 |
30 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
France — continued | ||||||||||
44,248 | Renault SA | 3,636,953 | ||||||||
93,300 | Sanofi | 7,092,091 | ||||||||
140,117 | Schneider Electric SE | 9,772,184 | ||||||||
178,651 | Societe Generale SA | 6,179,639 | ||||||||
17,000 | Thales SA | 1,566,386 | ||||||||
362,915 | Total SA‡ | 17,198,777 | ||||||||
52,364 | UBISOFT Entertainment SA* | 1,977,248 | ||||||||
76,700 | Valeo SA | 4,476,130 | ||||||||
366,200 | Vivendi SA | 7,387,064 | ||||||||
|
| |||||||||
Total France | 163,263,737 | |||||||||
|
| |||||||||
Germany — 9.5% | ||||||||||
28,177 | Aareal Bank AG | 930,644 | ||||||||
74,140 | Adidas AG | 12,872,714 | ||||||||
29,080 | Allianz SE | 4,317,042 | ||||||||
42,927 | Aurubis AG | 2,406,038 | ||||||||
40,255 | BASF SE | 3,443,108 | ||||||||
96,177 | Bayer AG | 9,665,927 | ||||||||
22,808 | Bayerische Motoren Werke AG | 1,917,502 | ||||||||
8,157 | Bechtle AG | 944,184 | ||||||||
13,419 | Beiersdorf AG | 1,265,989 | ||||||||
34,310 | Bilfinger SE* | 1,132,436 | ||||||||
71,597 | Brenntag AG | 3,910,793 | ||||||||
16,951 | CANCOM SE | 885,327 | ||||||||
9,108 | Cewe Stiftung & Co. KGAA | 818,846 | ||||||||
37,605 | Daimler AG | 2,650,156 | ||||||||
70,100 | Deutsche Bank AG* | 911,466 | ||||||||
129,200 | Deutsche Lufthansa AG | 1,438,156 | ||||||||
95,396 | Deutsche Post AG | 2,982,472 | ||||||||
229,402 | Deutsche Wohnen AG | 8,341,183 | ||||||||
116,064 | Deutz AG | 585,773 | ||||||||
66,623 | DIC Asset AG | 672,341 | ||||||||
438,803 | E.ON SE | 3,113,603 | ||||||||
22,759 | ElringKlinger AG | 403,854 | ||||||||
118,809 | Evonik Industries AG | 4,018,211 | ||||||||
107,350 | Fresenius Medical Care AG & Co. KGaA | 9,380,962 | ||||||||
134,898 | GEA Group AG | 7,490,476 | ||||||||
95,750 | HeidelbergCement AG | 9,048,408 | ||||||||
516,128 | Infineon Technologies AG | 9,210,792 | ||||||||
138,617 | Jenoptik AG | 2,534,505 | ||||||||
79,600 | K+S AG‡ | 1,510,439 | ||||||||
156,345 | Kloeckner & Co. SE* | 1,905,472 | ||||||||
13,832 | Koenig & Bauer AG* | 649,756 | ||||||||
36,178 | LEG Immobilien AG* | 3,463,556 | ||||||||
22,512 | Leoni AG | 820,193 | ||||||||
192,925 | METRO AG | 5,743,274 | ||||||||
12,464 | Muenchener Rueckversicherungs-Gesellschaft in Muenchen AG | 2,325,169 | ||||||||
1,129 | Rational AG | 565,872 |
See accompanying Notes to the Financial Statements. | 31 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Germany — continued | ||||||||||
27,895 | Rheinmetall AG | 1,942,347 | ||||||||
74,158 | RWE AG* | 1,278,000 | ||||||||
58,319 | Salzgitter AG | 1,911,442 | ||||||||
66,099 | SAP SE | 6,010,904 | ||||||||
40,706 | SAP SE, Sponsored ADR | 3,720,935 | ||||||||
90,125 | Siemens AG | 10,553,635 | ||||||||
7,700 | Siemens AG, Sponsored ADR | 903,364 | ||||||||
14,302 | Sixt SE‡ | 806,040 | ||||||||
27,995 | SMA Solar Technology AG‡ | 893,172 | ||||||||
45,917 | Software AG | 1,946,152 | ||||||||
30,600 | STADA Arzneimittel AG | 1,700,844 | ||||||||
189,843 | Symrise AG | 13,916,532 | ||||||||
128,596 | TAG Immobilien AG | 1,870,762 | ||||||||
52,401 | Talanx AG* | 1,598,521 | ||||||||
51,979 | Thyssenkrupp AG | 1,239,545 | ||||||||
10,641 | TLG Immobilien AG | 240,303 | ||||||||
218,888 | Uniper SE* | 2,682,481 | ||||||||
226,898 | Vonovia SE | 8,594,370 | ||||||||
10,505 | Wacker Chemie AG‡ | 885,414 | ||||||||
20,694 | Wirecard AG‡ | 1,075,586 | ||||||||
339,800 | Zalando SE* | 14,186,369 | ||||||||
|
| |||||||||
Total Germany | 202,233,357 | |||||||||
|
| |||||||||
Gibraltar — 0.0% | ||||||||||
119,955 | 888 Holdings Plc | 345,145 | ||||||||
|
| |||||||||
Hong Kong — 1.2% | ||||||||||
2,610,800 | AIA Group, Ltd. | 17,352,709 | ||||||||
2,891,000 | Champion REIT | 1,751,907 | ||||||||
147,000 | Hopewell Holdings, Ltd. | 536,375 | ||||||||
329,500 | Link REIT | 2,421,560 | ||||||||
3,458,000 | PCCW, Ltd. | 2,122,252 | ||||||||
342,000 | Wheelock & Co., Ltd. | 2,017,354 | ||||||||
|
| |||||||||
Total Hong Kong | 26,202,157 | |||||||||
|
| |||||||||
Hungary — 0.2% | ||||||||||
28,700 | MOL Hungarian Oil & Gas Plc | 1,770,936 | ||||||||
69,367 | Richter Gedeon Nyrt | 1,404,906 | ||||||||
|
| |||||||||
Total Hungary | 3,175,842 | |||||||||
|
| |||||||||
India — 0.7% | ||||||||||
184,040 | HDFC Bank, Ltd. | 3,524,346 | ||||||||
423,100 | KPIT Technologies, Ltd. | 789,897 | ||||||||
232,460 | Tata Motors, Ltd., Sponsored ADR | 9,293,751 | ||||||||
|
| |||||||||
Total India | 13,607,994 | |||||||||
|
|
32 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Indonesia — 0.4% | ||||||||||
8,897,800 | Bank Mandiri Persero Tbk PT | 7,635,841 | ||||||||
3,540,700 | Bank Negara Indonesia Persero Tbk PT | 1,505,700 | �� | |||||||
|
| |||||||||
Total Indonesia | 9,141,541 | |||||||||
|
| |||||||||
Ireland — 0.8% | ||||||||||
5,382,166 | Bank of Ireland* | 1,125,017 | ||||||||
313,147 | C&C Group Plc | 1,298,565 | ||||||||
87,688 | CRH Plc, Sponsored ADR | 2,917,380 | ||||||||
124,485 | Greencore Group Plc | 542,524 | ||||||||
76,946 | James Hardie Industries Plc, ADR | 1,196,501 | ||||||||
27,334 | Kerry Group Plc Class A | 2,278,043 | ||||||||
24,520 | Kingspan Group Plc | 660,783 | ||||||||
85,070 | Ryanair Holdings Plc, Sponsored ADR | 6,382,802 | ||||||||
53,015 | Smurfit Kappa Group Plc | 1,183,126 | ||||||||
|
| |||||||||
Total Ireland | 17,584,741 | |||||||||
|
| |||||||||
Isle Of Man — 0.1% | ||||||||||
89,843 | GVC Holdings Plc | 865,959 | ||||||||
127,324 | Playtech Plc | 1,505,084 | ||||||||
|
| |||||||||
Total Isle of Man | 2,371,043 | |||||||||
|
| |||||||||
Israel — 0.3% | ||||||||||
10,831 | Elbit Systems, Ltd. | 1,033,421 | ||||||||
30,409 | First International Bank Of Israel, Ltd. | 388,207 | ||||||||
1,900 | Orbotech, Ltd.* | 56,259 | ||||||||
76,500 | Teva Pharmaceutical Industries, Ltd. | 3,667,906 | ||||||||
|
| |||||||||
Total Israel | 5,145,793 | |||||||||
|
| |||||||||
Italy — 0.9% | ||||||||||
880,038 | A2A Spa | 1,243,156 | ||||||||
76,935 | Amplifon Spa‡ | 790,240 | ||||||||
183,100 | Astaldi Spa‡ | 690,968 | ||||||||
12,685 | Danieli & C. Officine Meccaniche Spa | 169,639 | ||||||||
95,081 | Davide Campari-Milano Spa | 1,071,726 | ||||||||
11,711 | DiaSorin Spa | 752,799 | ||||||||
2,016,876 | Enel Spa | 8,993,731 | ||||||||
127,100 | Mediobanca Spa | 827,015 | ||||||||
63,993 | Recordati Spa | 2,057,498 | ||||||||
238,876 | Snam Spa | 1,325,064 | ||||||||
415,739 | Unipol Gruppo Finanziario Spa | 1,061,496 | ||||||||
|
| |||||||||
Total Italy | 18,983,332 | |||||||||
|
| |||||||||
Japan — 17.7% | ||||||||||
92,800 | Ajinomoto Co., Inc. | 2,055,044 | ||||||||
485,600 | Astellas Pharma, Inc. | 7,545,466 | ||||||||
109,700 | Brother Industries, Ltd.‡ | 1,907,685 | ||||||||
249,900 | Calbee, Inc.‡ | 9,414,590 |
See accompanying Notes to the Financial Statements. | 33 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
149,000 | Calsonic Kansei Corp. | 1,369,861 | ||||||||
22,700 | Cawachi, Ltd. | 547,409 | ||||||||
305,000 | Central Glass Co., Ltd. | 1,192,712 | ||||||||
23,800 | Central Japan Railway Co. | 4,044,813 | ||||||||
47,500 | Century Tokyo Leasing Corp.‡ | 1,709,747 | ||||||||
235,294 | Chiba Bank, Ltd. (The)‡ | 1,324,422 | ||||||||
350,200 | Citizen Holdings Co., Ltd.‡ | 1,819,041 | ||||||||
118,800 | COMSYS Holdings Corp. | 2,096,436 | ||||||||
187,400 | Daiichi Sanyko Co., Ltd.‡ | 4,469,175 | ||||||||
311,246 | Daiwa Securities Group, Inc. | 1,734,728 | ||||||||
72,100 | DIC Corp. | 2,214,299 | ||||||||
20,900 | Enplas Corp. | 631,551 | ||||||||
163,900 | Fuji Oil Holdings, Inc. | 3,342,255 | ||||||||
36,000 | FUJIFILM Holdings Corp. | 1,321,760 | ||||||||
352,000 | Fujikura, Ltd. | 1,901,387 | ||||||||
114,100 | Fujitec Co., Ltd.‡ | 1,347,589 | ||||||||
668,000 | Fujitsu, Ltd. | 3,562,139 | ||||||||
38,097 | Glory, Ltd.‡ | 1,247,139 | ||||||||
231,294 | Hachijuni Bank, Ltd. (The) | 1,194,556 | ||||||||
431,000 | Hanwa Co., Ltd. | 2,596,257 | ||||||||
28,400 | Heiwado Co., Ltd. | 550,808 | ||||||||
39,000 | Hirose Electric Co., Ltd.‡ | 5,083,691 | ||||||||
75,800 | Hitachi High-Technologies Corp. | 2,997,354 | ||||||||
1,009,000 | Hitachi, Ltd. | 4,669,110 | ||||||||
36,700 | IBJ Leasing Co., Ltd. | 734,616 | ||||||||
228,200 | Inpex Corp. | 2,048,876 | ||||||||
177,100 | Isuzu Motors, Ltd.‡ | 2,062,800 | ||||||||
116,700 | Ito En, Ltd.‡ | 4,125,670 | ||||||||
210,000 | Itochu Corp. | 2,617,094 | ||||||||
70,600 | Japan Airlines Co., Ltd. | 2,062,958 | ||||||||
272,300 | Japan Tobacco, Inc. | 11,075,927 | ||||||||
397,600 | JFE Holdings, Inc.‡ | 5,736,371 | ||||||||
332,714 | Joyo Bank, Ltd. (The)* **** | 1,383,885 | ||||||||
146,000 | Kaneka Corp. | 1,146,201 | ||||||||
663,000 | Kanematsu Corp. | 1,021,360 | ||||||||
265,108 | Kao Corp. | 14,898,826 | ||||||||
734,600 | KDDI Corp. | 22,596,939 | ||||||||
164,300 | Keihin Corp. | 2,581,359 | ||||||||
89,100 | Kobayashi Pharmaceutical Co., Ltd.‡ | 4,628,114 | ||||||||
101,100 | Komatsu, Ltd. | 2,314,722 | ||||||||
104,400 | Komori Corp. | 1,307,255 | ||||||||
405,400 | Konica Minolta, Inc. | 3,402,854 | ||||||||
9,986 | Kose Corp. | 1,013,737 | ||||||||
342,000 | KYB Corp. | 1,516,398 | ||||||||
71,000 | Kyudenko Corp.‡ | 2,594,184 | ||||||||
106,800 | LINE Corp.* | 5,125,641 | ||||||||
335,200 | Marubeni Corp.‡ | 1,706,370 | ||||||||
38,400 | Matsumotokiyoshi Holdings Co., Ltd. | 1,971,856 |
34 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
68,800 | Micronics Japan Co., Ltd. | 915,159 | ||||||||
80,000 | MISUMI Group, Inc.‡ | 1,488,372 | ||||||||
185,000 | Mitsubishi Gas Chemical Co., Inc. | 2,632,548 | ||||||||
16,900 | Mitsubishi Shokuhin Co., Ltd. | 546,561 | ||||||||
471,000 | Mitsui Mining & Smelting Co., Ltd. | 976,744 | ||||||||
1,773,900 | Mizuho Financial Group, Inc. | 2,953,434 | ||||||||
27,200 | Murata Manufacturing Co., Ltd. | 3,499,886 | ||||||||
539,000 | NEC Corp. | 1,378,571 | ||||||||
76,000 | Nichicon Corp.‡ | 599,654 | ||||||||
166,900 | Nihon Kohden Corp.‡ | 4,021,488 | ||||||||
333,000 | Nippon Electric Glass Co., Ltd. | 1,709,969 | ||||||||
27,000 | Nippon Flour Mills Co., Ltd. | 412,739 | ||||||||
248,000 | Nippon Soda Co., Ltd.‡ | 1,053,079 | ||||||||
54,705 | Nippon Telegraph & Telephone Corp., ADR | 2,506,036 | ||||||||
302,000 | Nippon Telegraph & Telephone Corp. | 13,760,213 | ||||||||
54,500 | Nisshin Seifun Group, Inc. | 825,586 | ||||||||
241,700 | Nisshinbo Holdings, Inc. | 2,377,260 | ||||||||
224,000 | Nomura Research Institute, Ltd. | 7,675,702 | ||||||||
346,341 | North Pacific Bank, Ltd.‡ | 1,217,572 | ||||||||
539,400 | NTT DoCoMo, Inc. | 13,646,796 | ||||||||
69,900 | Obic Co., Ltd. | 3,692,934 | ||||||||
90,100 | Omron Corp. | 3,207,530 | ||||||||
603,800 | Orix Corp. | 8,809,702 | ||||||||
68,200 | Otsuka Holdings Co., Ltd. | 3,090,602 | ||||||||
370,000 | Prima Meat Packers, Ltd.‡ | 1,329,976 | ||||||||
431,500 | Resona Holdings, Inc. | 1,799,461 | ||||||||
58,500 | Rohm Co., Ltd. | 3,050,215 | ||||||||
52,000 | Rohto Pharmaceutical Co., Ltd.‡ | 890,930 | ||||||||
58,800 | Ryohin Keikaku Co., Ltd. | 11,804,710 | ||||||||
218,000 | Sankyu, Inc. | 1,242,147 | ||||||||
307,500 | Santen Pharmaceutical Co., Ltd. | 4,503,259 | ||||||||
25,300 | Sawai Pharmaceutical Co., Ltd.‡ | 1,793,848 | ||||||||
52,200 | SCREEN Holdings Co., Ltd. | 3,335,150 | ||||||||
82,900 | Secom Co., Ltd. | 6,146,380 | ||||||||
248,700 | Seiko Epson Corp.‡ | 4,744,862 | ||||||||
264,300 | Senshu Ikeda Holdings, Inc.‡ | 1,156,223 | ||||||||
77,300 | Shin-Etsu Chemical Co., Ltd. | 5,344,933 | ||||||||
212,000 | Shindengen Electric Manufacturing Co., Ltd. | 829,033 | ||||||||
56,400 | Ship Healthcare Holdings, Inc. | 1,720,990 | ||||||||
2,441,300 | Sojitz Corp.‡ | 6,195,765 | ||||||||
84,600 | Sumitomo Dainippon Pharma Co., Ltd.‡ | 1,626,586 | ||||||||
91,600 | Sumitomo Electric Industries, Ltd. | 1,280,853 | ||||||||
224,141 | Sumitomo Mitsui Financial Group, Inc. | 7,481,327 | ||||||||
128,300 | Sumitomo Rubber Industries, Ltd. | 1,923,265 | ||||||||
46,400 | T-Gaia Corp. | 659,813 | ||||||||
40,600 | Taiyo Yuden Co., Ltd.‡ | 396,117 | ||||||||
67,200 | Takara Holdings, Inc. | 625,116 | ||||||||
58,700 | TDK Corp.‡ | 3,883,770 |
See accompanying Notes to the Financial Statements. | 35 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
158,200 | Terumo Corp. | 6,038,049 | ||||||||
412,000 | Tokuyama Corp.* ‡ | 1,712,852 | ||||||||
25,500 | Tokyo Electron, Ltd. | 2,235,358 | ||||||||
40,000 | Tokyo Seimitsu Co., Ltd. | 1,059,004 | ||||||||
18,000 | Towa Pharmaceutical Co., Ltd.‡ | 727,892 | ||||||||
104,300 | Toyo Suisan Kaisha, Ltd. | 4,397,976 | ||||||||
45,900 | Toyoda Gosei Co., Ltd. | 1,057,470 | ||||||||
47,400 | Toyota Motor Corp. | 2,705,027 | ||||||||
71,100 | TS Tech Co., Ltd. | 1,782,678 | ||||||||
39,200 | Tsumura & Co.‡ | 1,109,051 | ||||||||
694,000 | Ube Industries, Ltd. | 1,315,835 | ||||||||
104,570 | USS Co., Ltd.‡ | 1,753,418 | ||||||||
96,900 | Valor Holdings Co., Ltd. | 2,715,669 | ||||||||
45,000 | Yamaha Corp.‡ | 1,444,230 | ||||||||
47,500 | Yamaha Motor Co., Ltd.‡ | 947,514 | ||||||||
387,462 | Yamato Holdings Co., Ltd.‡ | 8,966,743 | ||||||||
92,200 | Yamato Kogyo Co., Ltd. | 2,707,775 | ||||||||
114,300 | Yokogawa Electric Corp.‡ | 1,506,843 | ||||||||
73,000 | Yokohama Rubber Co., Ltd. (The) | 1,156,293 | ||||||||
|
| |||||||||
Total Japan | 375,667,580 | |||||||||
|
| |||||||||
Luxembourg — 0.3% | ||||||||||
37,552 | Aperam SA | 1,696,689 | ||||||||
291,214 | ArcelorMittal* | 1,791,783 | ||||||||
216,089 | ArcelorMittal, ADR* | 1,305,177 | ||||||||
106,700 | SAF-Holland SA | 1,378,959 | ||||||||
|
| |||||||||
Total Luxembourg | 6,172,608 | |||||||||
|
| |||||||||
Malaysia — 0.1% | ||||||||||
748,700 | Tenaga Nasional Bhd | 2,588,903 | ||||||||
|
| |||||||||
Malta — 0.1% | ||||||||||
193,384 | Unibet Group Plc, SDR | 1,798,994 | ||||||||
|
| |||||||||
Mauritius — 0.0% | ||||||||||
2,653,400 | Golden Agri-Resources, Ltd.‡ | 690,863 | ||||||||
|
| |||||||||
Mexico — 0.4% | ||||||||||
1,132,113 | Cemex SAB de CV, Sponsored ADR* | 8,988,977 | ||||||||
|
| |||||||||
Netherlands — 3.6% | ||||||||||
271,833 | Aegon NV | 1,042,012 | ||||||||
58,629 | Akzo Nobel NV | 3,972,344 | ||||||||
29,141 | ASM International NV | 1,192,379 | ||||||||
11,692 | ASML Holding NV | 1,283,595 | ||||||||
25,586 | BE Semiconductor Industries NV | 874,108 | ||||||||
14,303 | Core Laboratories NV | 1,606,656 | ||||||||
19,676 | Eurocommercial Properties NV REIT | 889,340 |
36 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Netherlands — continued | ||||||||||
123,924 | Heineken NV | 10,905,905 | ||||||||
899,786 | ING Groep NV | 11,112,863 | ||||||||
208,691 | Koninklijke Ahold Delhaize NV | 4,758,552 | ||||||||
15,021 | Koninklijke Ahold Delhaize NV, Sponsored ADR | 340,226 | ||||||||
10,104 | Koninklijke DSM NV | 683,109 | ||||||||
32,778 | Koninklijke Philips Electronics NV, ADR | 969,901 | ||||||||
149,635 | Koninklijke Philips NV | 4,436,056 | ||||||||
46,900 | Mobileye NV* | 1,996,533 | ||||||||
130,000 | NN Group NV | 3,995,671 | ||||||||
54,191 | NXP Semiconductors NV* | 5,528,024 | ||||||||
391,811 | PostNL NV* | 1,779,322 | ||||||||
329,094 | RELX NV | 5,915,525 | ||||||||
348,594 | STMicroelectronics NV, ADR | 2,841,041 | ||||||||
55,122 | TKH Group NV, ADR | 2,154,795 | ||||||||
132,098 | Unilever NV, ADR | 6,097,655 | ||||||||
35,062 | Unilever NV (New York Exchange), ADR | 1,616,358 | ||||||||
16,079 | Wolters Kluwer NV | 688,361 | ||||||||
|
| |||||||||
Total Netherlands | 76,680,331 | |||||||||
|
| |||||||||
New Zealand — 0.7% | ||||||||||
713,721 | Air New Zealand, Ltd. | 965,373 | ||||||||
152,951 | Chorus, Ltd. | 434,893 | ||||||||
69,522 | Contact Energy, Ltd. | 254,804 | ||||||||
80,187 | Fisher & Paykel Healthcare Corp., Ltd. | 583,703 | ||||||||
171,748 | Fletcher Building, Ltd. | 1,340,124 | ||||||||
126,361 | Infratil, Ltd. | 297,723 | ||||||||
730,287 | Kiwi Property Group, Ltd. REIT | 796,597 | ||||||||
302,383 | Meridian Energy, Ltd. | 571,721 | ||||||||
527,568 | Sky City Entertainment Group, Ltd. | 1,757,105 | ||||||||
907,515 | Sky Network Television, Ltd.‡ | 3,246,928 | ||||||||
802,092 | Spark New Zealand, Ltd. | 2,105,645 | ||||||||
348,230 | Trade Me Group, Ltd. | 1,423,168 | ||||||||
168,753 | Z Energy, Ltd. | 1,030,824 | ||||||||
|
| |||||||||
Total New Zealand | 14,808,608 | |||||||||
|
| |||||||||
Norway — 0.8% | ||||||||||
473,399 | DNB ASA | 6,201,579 | ||||||||
11,962 | Leroy Seafood Group ASA | 604,513 | ||||||||
31,729 | Marine Harvest ASA* | 568,099 | ||||||||
157,623 | Orkla ASA | 1,629,025 | ||||||||
99,648 | Salmar ASA | 3,042,192 | ||||||||
89,259 | SpareBank 1 SMN | 622,623 | ||||||||
70,600 | Statoil ASA | 1,182,806 | ||||||||
426,276 | Storebrand ASA* | 2,106,766 | ||||||||
42,500 | Yara International ASA | 1,412,359 | ||||||||
|
| |||||||||
Total Norway | 17,369,962 | |||||||||
|
|
See accompanying Notes to the Financial Statements. | 37 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Philippines — 0.0% | ||||||||||
6,261,800 | Vista Land & Lifescapes, Inc. | 695,971 | ||||||||
|
| |||||||||
Poland — 0.1% | ||||||||||
423,743 | PGE Polska Grupa Energetyczna SA | 1,123,752 | ||||||||
|
| |||||||||
Portugal — 0.6% | ||||||||||
782,528 | Banco Espirito Santo SA* **** ¤ | — | ||||||||
41,095 | Galp Energia SGPS SA | 561,811 | ||||||||
639,120 | Jeronimo Martins SGPS SA | 11,086,083 | ||||||||
302,546 | Navigator Co. SA (The) | 870,403 | ||||||||
449,366 | Sonae SGPS SA | 343,398 | ||||||||
|
| |||||||||
Total Portugal | 12,861,695 | |||||||||
|
| |||||||||
Russia — 0.2% | ||||||||||
346,335 | Gazprom PJSC, Sponsored ADR | 1,458,071 | ||||||||
60,584 | MMC Norilsk Nickel PJSC, (London Exchange), ADR | 968,132 | ||||||||
32,432 | Tatneft PJSC, (London Exchange), Sponsored ADR | 998,257 | ||||||||
|
| |||||||||
Total Russia | 3,424,460 | |||||||||
|
| |||||||||
Singapore — 0.2% | ||||||||||
442,500 | Ascendas Hospitality Trust REIT‡ | 238,540 | ||||||||
146,200 | DBS Group Holdings, Ltd. | 1,650,239 | ||||||||
939,700 | Wilmar International, Ltd. | 2,219,248 | ||||||||
1,713,900 | Yangzijiang Shipbuilding Holdings, Ltd. | 942,774 | ||||||||
|
| |||||||||
Total Singapore | 5,050,801 | |||||||||
|
| |||||||||
South Africa — 0.1% | ||||||||||
153,700 | MTN Group, Ltd. | 1,312,870 | ||||||||
|
| |||||||||
South Korea — 0.4% | ||||||||||
35,889 | Kia Motors Corp. | 1,373,516 | ||||||||
3,220 | Samsung Electronics Co., Ltd. | 4,672,048 | ||||||||
6,440 | SK Telecom Co., Ltd. | 1,321,505 | ||||||||
|
| |||||||||
Total South Korea | 7,367,069 | |||||||||
|
| |||||||||
Spain — 1.5% | ||||||||||
262,448 | Amadeus IT Group SA Class A | 13,115,941 | ||||||||
309,821 | Banco Santander SA | 1,374,254 | ||||||||
297,400 | Distribuidora Internacional de Alimentacion SA | 1,841,876 | ||||||||
22,176 | Ebro Foods SA | 515,873 | ||||||||
317,118 | Ence Energia y Celulosa SA | 691,372 | ||||||||
261,233 | Gas Natural SDG SA | 5,370,930 | ||||||||
881,888 | Iberdrola SA | 5,997,930 | ||||||||
93,644 | Indra Sistemas SA* ‡ | 1,256,005 | ||||||||
20,191 | Let’s GOWEX SA* **** ‡ ¤ | — | ||||||||
714,400 | Mapfre SA | 1,999,079 | ||||||||
|
| |||||||||
Total Spain | 32,163,260 | |||||||||
|
|
38 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Sweden — 2.5% | ||||||||||
15,066 | AF AB | 293,674 | ||||||||
60,643 | Alfa Laval AB‡ | 952,037 | ||||||||
71,200 | Assa Abloy AB Series B | 1,448,533 | ||||||||
35,769 | Atlas Copco AB Class A | 1,078,406 | ||||||||
54,898 | Atlas Copco AB Class B | 1,501,983 | ||||||||
19,294 | Attendo AB | 186,918 | ||||||||
92,843 | BillerudKorsnas AB | 1,645,023 | ||||||||
96,376 | Boliden AB | 2,267,829 | ||||||||
97,164 | Castellum AB | 1,457,335 | ||||||||
53,960 | Electrolux AB Class B | 1,354,763 | ||||||||
53,879 | Granges AB | 550,273 | ||||||||
67,645 | Hexpol AB | 607,174 | ||||||||
19,433 | Holmen AB Class B | 693,177 | ||||||||
39,008 | Hufvudstaden AB Class A | 676,587 | ||||||||
45,858 | Intrum Justitia AB | 1,481,069 | ||||||||
478,080 | Lundin Petroleum AB* | 8,755,369 | ||||||||
54,581 | Mycronic AB | 681,673 | ||||||||
25,453 | NCC AB Class B | 667,861 | ||||||||
230,914 | Nordea Bank AB | 2,295,017 | ||||||||
37,067 | Saab AB Class B | 1,321,318 | ||||||||
50,370 | Sandvik AB | 554,709 | ||||||||
368,300 | SAS AB* ‡ | 735,104 | ||||||||
115,000 | SKF AB Class B | 1,987,943 | ||||||||
975,293 | SSAB AB Class B* | 2,382,623 | ||||||||
138,465 | Svenska Cellulosa AB SCA Class B | 4,118,038 | ||||||||
468,377 | Svenska Handelsbanken AB Class A | 6,445,555 | ||||||||
9,037 | Swedish Match AB | 332,055 | ||||||||
558,174 | Telefonaktiebolaget LM Ericsson Class B | 4,036,100 | ||||||||
182,171 | Telefonaktiebolaget LM Ericsson Class B, Sponsored ADR | 1,313,453 | ||||||||
450,400 | Telia Co. AB | 2,019,792 | ||||||||
|
| |||||||||
Total Sweden | 53,841,391 | |||||||||
|
| |||||||||
Switzerland — 8.2% | ||||||||||
470,238 | ABB, Ltd.* | 10,579,627 | ||||||||
23,719 | Actelion, Ltd.* | 4,115,469 | ||||||||
35,600 | Aryzta AG* | 1,583,161 | ||||||||
20,016 | Ascom Holding AG | 361,337 | ||||||||
8,468 | Autoneum Holding AG | 2,384,737 | ||||||||
10,061 | Bucher Industries AG | 2,523,034 | ||||||||
1,083 | Burckhardt Compression Holding AG | 307,505 | ||||||||
29,700 | Cembra Money Bank AG* | 2,334,578 | ||||||||
48,585 | Cie Financiere Richemont SA‡ | 2,967,023 | ||||||||
158,335 | Clariant AG* | 2,730,928 | ||||||||
82,184 | Coca-Cola HBC AG* | 1,913,086 | ||||||||
197,300 | Credit Suisse Group AG* | 2,586,840 | ||||||||
463 | Emmi AG* | 317,375 | ||||||||
643 | Forbo Holding AG* | 866,266 | ||||||||
10,274 | Geberit AG | 4,508,520 |
See accompanying Notes to the Financial Statements. | 39 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Switzerland — continued | ||||||||||
4,439 | Georg Fischer AG | 3,892,253 | ||||||||
5,620 | Givaudan SA | 11,461,461 | ||||||||
18,795 | Implenia AG | 1,331,975 | ||||||||
229,757 | Julius Baer Group, Ltd.* | 9,368,985 | ||||||||
1,115 | Komax Holding AG | 273,632 | ||||||||
20,358 | Kudelski SA* | 380,111 | ||||||||
141,287 | Logitech International SA | 3,177,281 | ||||||||
529,128 | Nestle SA | 41,783,318 | ||||||||
10,585 | Rieter Holding AG* ¤ | 2,154,343 | ||||||||
96,668 | Roche Holding AG | 24,032,379 | ||||||||
10,543 | Schindler Holding AG | 1,981,571 | ||||||||
2,786 | SGS SA | 6,250,825 | ||||||||
2,065 | Siegfried Holding AG* ‡ | 451,812 | ||||||||
101 | Sika AG | 492,185 | ||||||||
17,200 | Swiss Life Holding AG* | 4,462,348 | ||||||||
49,500 | Swiss Re AG | 4,475,629 | ||||||||
7,155 | Syngenta AG* | 3,133,837 | ||||||||
1,732 | Tecan Group AG | 304,449 | ||||||||
11,043 | Temenos Group AG* | 697,165 | ||||||||
6,403 | u-blox Holding AG* | 1,386,414 | ||||||||
554,247 | UBS Group AG | 7,564,151 | ||||||||
18,712 | Zurich Insurance Group AG* | 4,825,665 | ||||||||
|
| |||||||||
Total Switzerland | 173,961,275 | |||||||||
|
| |||||||||
Taiwan — 0.6% | ||||||||||
608,000 | Fubon Financial Holding Co., Ltd. | 898,068 | ||||||||
372,988 | Taiwan Semiconductor Manufacturing Co., Ltd., Sponsored ADR | 11,409,703 | ||||||||
|
| |||||||||
Total Taiwan | 12,307,771 | |||||||||
|
| |||||||||
Thailand — 0.1% | ||||||||||
16,831,100 | Quality Houses PCL | 1,185,220 | ||||||||
23,666,400 | Sansiri PCL | 1,188,443 | ||||||||
|
| |||||||||
Total Thailand | 2,373,663 | |||||||||
|
| |||||||||
Turkey — 0.1% | ||||||||||
208,146 | TAV Havalimanlari Holding AS | 858,055 | ||||||||
|
| |||||||||
United Kingdom — 18.0% | ||||||||||
252,378 | 3i Group Plc | 2,132,593 | ||||||||
40,246 | Abcam Plc | 439,148 | ||||||||
159,117 | Aberdeen Asset Management Plc | 674,439 | ||||||||
314,990 | Admiral Group Plc | 8,383,934 | ||||||||
236,838 | Ashmore Group Plc | 1,087,552 | ||||||||
551,569 | Ashtead Group Plc | 9,106,563 | ||||||||
9,308 | ASOS Plc* | 586,297 | ||||||||
25,400 | AstraZeneca Plc | 1,651,050 | ||||||||
1,834,668 | Auto Trader Group Plc | 9,664,012 |
40 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
1,016,981 | BAE Systems Plc | 6,922,345 | ||||||||
712,929 | Barclays Plc | 1,553,987 | ||||||||
596,570 | Barclays Plc, Sponsored ADR | 5,184,193 | ||||||||
211,562 | Barratt Developments Plc | 1,358,430 | ||||||||
256,120 | BBA Aviation Plc | 831,417 | ||||||||
43,526 | Berendsen Plc | 703,361 | ||||||||
61,200 | Berkeley Group Holdings Plc | 2,051,069 | ||||||||
1,259,682 | BP Plc | 7,363,471 | ||||||||
187,744 | BP Plc, Sponsored ADR | 6,601,079 | ||||||||
40,692 | British American Tobacco Plc, Sponsored ADR | 5,194,334 | ||||||||
225,345 | British American Tobacco Plc | 14,431,250 | ||||||||
133,650 | Britvic Plc | 1,046,876 | ||||||||
377,600 | BT Group Plc | 1,908,299 | ||||||||
292,366 | Bunzl Plc | 8,659,062 | ||||||||
374,146 | Cairn Energy Plc* | 913,709 | ||||||||
349,974 | Carillion Plc | 1,126,994 | ||||||||
570,622 | Centrica Plc | 1,691,505 | ||||||||
1,180,871 | Cobham Plc | 2,572,436 | ||||||||
34,700 | Coca-Cola European Partners Plc | 1,384,530 | ||||||||
763,617 | Compass Group Plc | 14,829,479 | ||||||||
150,255 | Crest Nicholson Holdings Plc | 880,853 | ||||||||
61,169 | Dart Group Plc | 332,931 | ||||||||
64,807 | Diageo Plc, Sponsored ADR | 7,520,204 | ||||||||
54,117 | Dialog Semiconductor Plc* | 2,086,925 | ||||||||
59,166 | Domino’s Pizza Group Plc | 287,060 | ||||||||
419,868 | Drax Group Plc | 1,665,678 | ||||||||
126,585 | easyJet Plc | 1,655,849 | ||||||||
20,882 | EMIS Group Plc | 254,846 | ||||||||
1,329,709 | Evraz Plc* | 2,780,940 | ||||||||
179,252 | Experian Plc | 3,595,178 | ||||||||
701,600 | Firstgroup Plc* | 963,327 | ||||||||
70,262 | Fresnillo Plc | 1,655,644 | ||||||||
834,800 | G4S Plc | 2,470,275 | ||||||||
591,200 | GKN Plc | 2,459,804 | ||||||||
70,353 | GlaxoSmithKline Plc, Sponsored ADR | 3,034,325 | ||||||||
2,544,910 | Glencore Plc* | 7,013,335 | ||||||||
126,176 | Greene King Plc | 1,268,606 | ||||||||
47,696 | Greggs Plc | 628,245 | ||||||||
409,088 | Halma Plc | 5,574,441 | ||||||||
402,196 | HSBC Holdings Plc | 3,023,433 | ||||||||
228,643 | IG Group Holdings Plc | 2,586,933 | ||||||||
372,984 | IMI Plc | 5,203,596 | ||||||||
141,868 | Imperial Brands Plc | 7,322,625 | ||||||||
59,200 | Indivior Plc | 235,701 | ||||||||
33,293 | InterContinental Hotels Group Plc | 1,375,274 | ||||||||
61,544 | Intertek Group Plc | 2,789,304 | ||||||||
1,838,845 | J Sainsbury Plc | 5,871,325 | ||||||||
133,342 | Jardine Lloyd Thompson Group Plc | 1,752,898 |
See accompanying Notes to the Financial Statements. | 41 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
306,593 | John Wood Group Plc | 3,024,817 | ||||||||
128,671 | Just Eat Plc* | 895,890 | ||||||||
298,409 | KAZ Minerals Plc* | 856,282 | ||||||||
485,400 | Kingfisher Plc | 2,376,485 | ||||||||
100,612 | Laird Plc | 414,695 | ||||||||
4,197,051 | Lloyds Banking Group Plc | 2,974,049 | ||||||||
256,850 | London Stock Exchange Group Plc | 9,342,147 | ||||||||
566,237 | Man Group Plc | 828,220 | ||||||||
335,675 | Marks & Spencer Group Plc | 1,443,734 | ||||||||
179,869 | Meggitt Plc | 1,053,761 | ||||||||
10,954 | Micro Focus International Plc | 312,759 | ||||||||
270,400 | Mitchells & Butlers Plc | 965,234 | ||||||||
375,856 | National Grid Plc | 5,331,547 | ||||||||
7,546 | National Grid Plc, Sponsored ADR | 536,596 | ||||||||
1,294,785 | Old Mutual Plc | 3,404,217 | ||||||||
235,200 | Paragon Group of Cos. Plc (The) | 957,820 | ||||||||
453,577 | Paysafe Group Plc* ‡ | 2,628,405 | ||||||||
201,645 | Pennon Group Plc | 2,336,477 | ||||||||
214,473 | Premier Farnell Plc | 512,625 | ||||||||
1,132,996 | QinetiQ Group Plc | 3,485,132 | ||||||||
395,010 | Reckitt Benckiser Group Plc | 37,278,019 | ||||||||
187,599 | Redrow Plc | 974,764 | ||||||||
151,226 | Regus Plc | 512,519 | ||||||||
155,615 | Rentokil Initial Plc | 449,366 | ||||||||
13,824 | Rightmove Plc | 758,160 | ||||||||
119,700 | Royal Dutch Shell Plc Class B | 3,105,141 | ||||||||
153,585 | Royal Dutch Shell Plc (Amsterdam Exchange) Class A | 3,826,516 | ||||||||
97,799 | Royal Dutch Shell Plc (Turquoise) Class A, Sponsored ADR | 4,896,796 | ||||||||
194,900 | Royal Mail Plc | 1,239,292 | ||||||||
116,734 | RPC Group Plc | 1,455,720 | ||||||||
45,266 | Sage Group Plc (The) | 433,948 | ||||||||
19,640 | Severn Trent Plc | 639,085 | ||||||||
225,700 | Shire Plc | 14,653,350 | ||||||||
27,583 | Shire Plc, ADR | 5,347,240 | ||||||||
25,148 | Smith & Nephew Plc, Sponsored ADR | 824,351 | ||||||||
90,855 | Sophos Group Plc | 314,879 | ||||||||
103,361 | Spectris Plc | 2,642,353 | ||||||||
124,646 | Spirax-Sarco Engineering Plc | 7,278,086 | ||||||||
56,100 | SSE Plc | 1,142,663 | ||||||||
625,774 | St James’s Place Plc | 7,706,106 | ||||||||
232,817 | Stagecoach Group Plc | 639,033 | ||||||||
160,456 | SVG Capital Plc* | 1,414,213 | ||||||||
216,805 | Tate & Lyle Plc | 2,109,406 | ||||||||
41,872 | Unilever Plc | 1,987,746 | ||||||||
26,801 | Unilever Plc, Sponsored ADR | 1,270,367 | ||||||||
520,410 | Vodafone Group Plc | 1,499,058 | ||||||||
544,077 | Weir Group Plc (The) | 12,014,851 | ||||||||
397,000 | WM Morrison Supermarkets Plc | 1,123,717 |
42 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
239,820 | Wolseley Plc | 13,566,964 | ||||||||
2,446,270 | Worldpay Group Plc | 9,412,361 | ||||||||
101,596 | WPP Plc | 2,393,994 | ||||||||
|
| |||||||||
Total United Kingdom | 382,933,925 | |||||||||
|
| |||||||||
United States — 2.4% | ||||||||||
143,088 | Analog Devices, Inc. | 9,222,022 | ||||||||
263,047 | Cadence Design Systems, Inc.* | 6,715,590 | ||||||||
145,146 | Colgate-Palmolive Co. | 10,761,124 | ||||||||
37,860 | Nordson Corp. | 3,771,992 | ||||||||
196,842 | NVIDIA Corp. | 13,487,614 | ||||||||
85,929 | Texas Instruments, Inc. | 6,030,497 | ||||||||
|
| |||||||||
Total United States | 49,988,839 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $1,858,313,569) | 1,967,941,717 | |||||||||
|
| |||||||||
INVESTMENT COMPANY — 0.9% | ||||||||||
United States — 0.9% | ||||||||||
336,827 | iShares MSCI EAFE Index Fund | 19,916,580 | ||||||||
|
| |||||||||
TOTAL INVESTMENT COMPANY (COST $18,919,134) | 19,916,580 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 1.0% | ||||||||||
Brazil — 0.1% | ||||||||||
800,360 | Itausa - Investimentos Itau SA, 4.01% | 2,054,574 | ||||||||
|
| |||||||||
Germany — 0.9% | ||||||||||
120,270 | Henkel AG & Co. KGaA, 1.23% | 16,354,291 | ||||||||
30,707 | Porsche Automobil Holding SE, 4.79% | 1,567,895 | ||||||||
3,746 | Volkswagen AG, 4.05% | 492,331 | ||||||||
|
| |||||||||
Total Germany | 18,414,517 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $15,003,008) | 20,469,091 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 8.2% | ||||||||||
Bank Deposit — 4.4% | ||||||||||
93,641,469 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/03/16 | 93,641,469 | ||||||||
|
| |||||||||
Securities Lending Collateral — 3.6% | ||||||||||
76,904,418 | State Street Institutional U.S. Government Money Market Fund, Premier Class*** | 76,904,418 | ||||||||
|
| |||||||||
U.S. Government and Agency Obligations — 0.2% | ||||||||||
2,350,000 | United States Treasury Bill, 0.12%, due 10/13/16** ‡‡ | 2,349,899 |
See accompanying Notes to the Financial Statements. | 43 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
U.S. Government and Agency Obligations — continued | ||||||||||
2,350,000 | United States Treasury Bill, 0.26%, due 01/05/17** ‡‡ | 2,348,374 | ||||||||
|
| |||||||||
Total U.S. Government and Agency Obligations | 4,698,273 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $175,243,121) | 175,244,160 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 102.8% (Cost $2,067,478,832) | 2,183,571,548 | |||||||||
Other Assets and Liabilities (net) — (2.8)% | (59,758,015 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 2,123,813,533 | ||||||||
|
| |||||||||
Notes to Schedule of Investments: | ||||||||||
ADR — American Depository Receipt | ||||||||||
REIT — Real Estate Investment Trust | ||||||||||
SDR — Swedish Depository Receipt | ||||||||||
* | Non-income producing security | |||||||||
** | All or a portion of this security is held for open futures collateral. | |||||||||
*** | 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 $1,383,885 which represents 0.1% of net assets. The aggregate tax cost of these securities held at September 30, 2016 was $2,978,281. | |||||||||
‡ | All or a portion of this security is out on loan. | |||||||||
‡‡ | Interest rate presented is yield to maturity. | |||||||||
¤ | Illiquid security. The total market value of the securities at period end is $2,617,663 which represents 0.1% of net assets. The aggregate tax cost of these securities held at September 30, 2016 was $3,855,981. |
44 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
September 30, 2016 (Unaudited)
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||||
Buys | ||||||||||||||||||||
890 | MSCI EAFE E-mini Index | December 2016 | $ | 75,948,150 | $ | 975,270 | ||||||||||||||
|
|
See accompanying Notes to the Financial Statements. | 45 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
September 30, 2016 (Unaudited)
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Food | 7.3 | ||||
Banks | 6.2 | ||||
Pharmaceuticals | 4.9 | ||||
Insurance | 4.6 | ||||
Chemicals | 3.9 | ||||
Retail | 3.7 | ||||
Telecommunications | 3.6 | ||||
Semiconductors | 3.5 | ||||
Oil & Gas | 3.3 | ||||
Diversified Financial Services | 3.2 | ||||
Commercial Services | 3.0 | ||||
Beverages | 2.6 | ||||
Household Products & Wares | 2.6 | ||||
Internet | 2.4 | ||||
Software | 2.0 | ||||
Electric | 1.9 | ||||
Mining | 1.8 | ||||
Agriculture | 1.7 | ||||
Auto Parts & Equipment | 1.7 | ||||
Building Materials | 1.7 | ||||
Electronics | 1.7 | ||||
Machinery — Diversified | 1.7 | ||||
Transportation | 1.6 | ||||
Iron & Steel | 1.5 | ||||
Real Estate | 1.5 | ||||
Cosmetics & Personal Care | 1.4 | ||||
Electrical Components & Equipment | 1.4 | ||||
Auto Manufacturers | 1.3 | ||||
Computers | 1.3 | ||||
Distribution & Wholesale | 1.3 | ||||
Miscellaneous — Manufacturing | 1.3 | ||||
Engineering & Construction | 1.2 | ||||
Health Care — Products | 1.1 | ||||
Unaffiliated Fund | 0.9 | ||||
Aerospace & Defense | 0.8 | ||||
Forest Products & Paper | 0.8 | ||||
Media | 0.8 | ||||
Apparel | 0.7 | ||||
Food Service | 0.7 | ||||
Airlines | 0.6 | ||||
REITS | 0.6 | ||||
Gas | 0.5 | ||||
Health Care — Services | 0.5 | ||||
Holding Companies — Diversified | 0.5 | ||||
Metal Fabricate & Hardware | 0.5 | ||||
Home Builders | 0.4 | ||||
Packaging & Containers | 0.4 | ||||
Lodging | 0.3 | ||||
Machinery — Construction & Mining | 0.3 | ||||
Office & Business Equipment | 0.3 |
46 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
September 30, 2016 (Unaudited)
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Advertising | 0.2 | ||||
Entertainment | 0.2 | ||||
Oil & Gas Services | 0.2 | ||||
Hand & Machine Tools | 0.1 | ||||
Home Furnishings | 0.1 | ||||
Leisure Time | 0.1 | ||||
Textiles | 0.1 | ||||
Water | 0.1 | ||||
Biotechnology | 0.0 | ||||
Energy-Alternate Sources | 0.0 | ||||
Shipbuilding | 0.0 | ||||
Short-Term Investments and Other Assets and Liabilities (net) | 5.4 | ||||
|
| ||||
100.0 | % | ||||
|
|
See accompanying Notes to the Financial Statements. | 47 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 98.2% | ||||||||||
Asset Backed Securities — 12.0% | ||||||||||
750,000 | A Voce CLO, Ltd., Series 2014-1A, Class A1A, 2.13%, due 07/15/26† 144A | 748,603 | ||||||||
1,700,000 | AIMCO CLO, Series 2014-AA, Class A, 2.24%, due 07/20/26† 144A | 1,702,050 | ||||||||
1,000,000 | AIMCO CLO, Series 2014-AA, Class B1, 2.70%, due 07/20/26† 144A | 1,000,060 | ||||||||
1,500,000 | AIMCO CLO, Series 2014-AA, Class B2, 4.58%, due 07/20/26 144A | 1,501,088 | ||||||||
750,000 | AIMCO CLO, Series 2015-AA, Class A1, 2.38%, due 01/15/28† 144A | 752,435 | ||||||||
2,091,000 | Ally Auto Receivables Trust, Series 2014-2, Class A4, 1.84%, due 01/15/20 | 2,111,458 | ||||||||
375,000 | Ally Auto Receivables Trust, Series 2014-3, Class A4, 1.72%, due 03/16/20 | 378,668 | ||||||||
395,000 | Ally Auto Receivables Trust, Series 2015-1, Class A4, 1.75%, due 05/15/20 | 399,457 | ||||||||
520,000 | Ally Master Owner Trust, Series 2015-3, Class A, 1.63%, due 05/15/20 | 522,417 | ||||||||
250,000 | ALM CLO VIII, Ltd., Series 2013-8A, Class A1R, 2.34%, due 10/15/28† †††† | 250,000 | ||||||||
1,000,000 | American Express Credit Account Master Trust, Series 2013-1, Class B, 1.22%, due 02/16/21† | 998,945 | ||||||||
580,000 | American Express Credit Account Master Trust, Series 2014-4, Class A, 1.43%, due 06/15/20 | 582,653 | ||||||||
706,317 | Ameriquest Mortgage Securities, Inc., Series 2003-9, Class AV1, 1.28%, due 09/25/33† | 662,373 | ||||||||
161,514 | Ameriquest Mortgage Securities, Inc., Series 2004-R2, Class A1A, 1.21%, due 04/25/34† | 160,238 | ||||||||
1,000,000 | Anchorage Capital CLO 3, Ltd., Series 2014-3A, Class A2A, 2.99%, due 04/28/26¤ † 144A | 1,000,276 | ||||||||
750,000 | Anchorage Capital CLO 5, Ltd., Series 2014-5A, Class A, 2.28%, due 10/15/26† 144A | 750,438 | ||||||||
785,000 | Applebee’s Funding LLC/IHOP Funding LLC, Series 2014-1, Class A2, 4.28%, due 09/05/44 144A | 798,992 | ||||||||
660,013 | Arbys Funding LLC, Series 2015-1A, Class A2, 4.97%, due 10/30/45 144A | 677,452 | ||||||||
362,566 | Asset Backed Securities Corp. Home Equity, Series 2003-HE7, Class M1, 1.48%, due 12/15/33† | 344,269 | ||||||||
1,700,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 2.50%, due 07/20/21 144A | 1,718,566 | ||||||||
1,200,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 2.63%, due 12/20/21 144A | 1,215,690 | ||||||||
525,000 | Babson CLO, Ltd., Series 2013-IA, Class A, 1.80%, due 04/20/25† 144A | 523,126 | ||||||||
1,230,000 | Bank of America Credit Card Trust, Series 2015-A2, Class A, 1.36%, due 09/15/20 | 1,235,311 | ||||||||
250,000 | Battalion CLO VIII, Ltd., Series 2015-8A, Class A1, 2.21%, due 04/18/27† 144A | 250,059 | ||||||||
45,634 | Bear Stearns Asset Backed Securities Trust, Series 2004-SD3, Class A3, 1.09%, due 09/25/34† | 45,203 | ||||||||
315,000 | BMW Vehicle Owner Trust, Series 2016-A, Class A4, 1.37%, due 12/25/22 | 316,154 | ||||||||
712,500 | Cabela’s Credit Card Master Note Trust, Series 2016-1, Class A1, 1.78%, due 06/15/22 | 714,563 | ||||||||
190,000 | California Republic Auto Receivables Trust, Series 2016-2, Class A4, 1.83%, due 12/15/21 | 191,639 | ||||||||
495,000 | Capital One Multi-Asset Execution Trust, Series 2015-A5, Class A5, 1.60%, due 05/17/21 | 499,185 | ||||||||
860,000 | Capital One Multi-Asset Execution Trust, Series 2016-A3, Class A3, 1.34%, due 04/15/22 | 862,593 | ||||||||
270,000 | CarMax Auto Owner Trust, Series 2015-2, Class A4, 1.80%, due 03/15/21 | 273,148 | ||||||||
160,000 | CarMax Auto Owner Trust, Series 2015-3, Class A4, 1.98%, due 02/16/21 | 162,570 | ||||||||
1,800,000 | Chase Issuance Trust, Series 2007-C1, Class C1, 0.98%, due 04/15/19† | 1,799,676 | ||||||||
605,000 | Chase Issuance Trust, Series 2014-A7, Class A, 1.38%, due 11/15/19 | 607,377 | ||||||||
620,000 | Chase Issuance Trust, Series 2015-A2, Class A2, 1.59%, due 02/18/20 | 623,907 |
48 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Asset Backed Securities — continued | ||||||||||
830,000 | Chase Issuance Trust, Series 2015-A5, Class A5, 1.36%, due 04/15/20 | 833,489 | ||||||||
565,000 | Chase Issuance Trust, Series 2016-A2, Class A, 1.37%, due 06/15/21 | 566,990 | ||||||||
385,000 | Chrysler Capital Auto Receivables Trust, Series 2014-BA, Class A4, 1.76%, due 12/16/19 144A | 386,664 | ||||||||
225,000 | Citibank Credit Card Issuance Trust, Series 2014-A8, Class A8, 1.73%, due 04/09/20 | 227,187 | ||||||||
611,138 | CKE Restaurant Holdings, Inc., Series 2013-1A, Class A2, 4.47%, due 03/20/43 144A | 613,528 | ||||||||
575,000 | CNH Equipment Trust, Series 2015-C, Class A3, 1.66%, due 11/16/20 | 578,610 | ||||||||
315,000 | CNH Equipment Trust, Series 2016-B, Class A3, 1.63%, due 08/15/21 | 317,564 | ||||||||
682,042 | Colony American Homes, Series 2014-1A, Class A, 1.68%, due 05/17/31† 144A | 682,815 | ||||||||
247,461 | CSMC Trust, Series 2006-CF2, Class M1, 1.00%, due 05/25/36† 144A | 245,226 | ||||||||
709,200 | DB Master Finance LLC, Series 2015-1A, Class A2II, 3.98%, due 02/20/45 144A | 726,488 | ||||||||
1,160,000 | Discover Card Execution Note Trust, Series 2016-A1, Class A1, 1.64%, due 07/15/21 | 1,171,380 | ||||||||
500,000 | Enterprise Fleet Financing LLC, Series 2016-2, Class A2, 1.74%, due 02/22/22 144A | 500,790 | ||||||||
1,000,000 | Ford Credit Auto Owner Trust, Series 2014-1, Class A, 2.26%, due 11/15/25 144A | 1,020,078 | ||||||||
1,000,000 | Ford Credit Auto Owner Trust, Series 2014-2, Class A, 2.31%, due 04/15/26 144A | 1,023,154 | ||||||||
210,000 | Ford Credit Auto Owner Trust, Series 2015-B, Class A4, 1.58%, due 08/15/20 | 210,891 | ||||||||
365,000 | Ford Credit Auto Owner Trust, Series 2016-B, Class A3, 1.33%, due 10/15/20 | 366,217 | ||||||||
520,000 | Ford Credit Floorplan Master Owner Trust, Series 2012-5, Class A, 1.49%, due 09/15/19 | 521,782 | ||||||||
330,000 | Ford Credit Floorplan Master Owner Trust, Series 2014-4, Class A1, 1.40%, due 08/15/19 | 330,938 | ||||||||
625,000 | Ford Credit Floorplan Master Owner Trust, Series 2015-1, Class A1, 1.42%, due 01/15/20 | 626,850 | ||||||||
500,000 | GE Dealer Floorplan Master Note Trust, Series 2015-1, Class A, 1.03%, due 01/20/20† | 499,896 | ||||||||
330,000 | GMF Floorplan Owner Revolving Trust, Series 2015-1, Class A1, 1.65%, due 05/15/20 144A | 329,954 | ||||||||
500,000 | GMF Floorplan Owner Revolving Trust, Series 2015-1, Class A2, 1.02%, due 05/15/20¤ † 144A | 498,510 | ||||||||
1,600,000 | Hertz Vehicle Financing LLC, Series 2015-1A, Class A, 2.73%, due 03/25/21 144A | 1,622,895 | ||||||||
600,000 | Hertz Vehicle Financing LLC, Series 2015-3A, Class A, 2.67%, due 09/25/21 144A | 606,844 | ||||||||
700,000 | Hertz Vehicle Financing LLC, Series 2016-1A, Class A, 2.32%, due 03/25/20 144A | 703,982 | ||||||||
300,000 | Hertz Vehicle Financing LLC, Series 2016-3A, Class A, 2.27%, due 07/25/20 144A | 300,495 | ||||||||
250,000 | Highbridge Loan Management CLO, Ltd., Series 2015-6A, Class A, 2.23%, due 05/05/27† 144A | 250,034 | ||||||||
289,434 | Home Equity Asset Trust, Series 2003-8, Class M1, 1.61%, due 04/25/34† | 269,914 | ||||||||
95,000 | Honda Auto Receivables Owner Trust, Series 2014-3, Class A4, 1.31%, due 10/15/20 | 95,270 | ||||||||
512,000 | Honda Auto Receivables Owner Trust, Series 2015-3, Class A4, 1.56%, due 10/18/21 | 515,970 | ||||||||
445,000 | Honda Auto Receivables Owner Trust, Series 2015-4, Class A3, 1.23%, due 09/23/19 | 446,105 | ||||||||
390,000 | Honda Auto Receivables Owner Trust, Series 2016-2, Class A2, 1.13%, due 09/17/18 | 390,246 | ||||||||
1,185,000 | Honda Auto Receivables Owner Trust, Series 2016-3, Class A4, 1.33%, due 11/18/22 | 1,184,346 | ||||||||
135,000 | Hyundai Auto Receivables Trust, Series 2015-A, Class A4, 1.37%, due 07/15/20 | 135,466 | ||||||||
250,000 | ICG US CLO, Ltd., Series 2014-3A, Class A1B, 3.28%, due 01/25/27 144A | 250,738 | ||||||||
3,368,214 | Invitation Homes Trust, Series 2014-SFR1, Class A, 1.53%, due 06/17/31† 144A | 3,361,503 | ||||||||
1,167,527 | Invitation Homes Trust, Series 2015-SFR3, Class A, 1.83%, due 08/17/32† 144A | 1,174,462 | ||||||||
68,000 | John Deere Owner Trust, Series 2015-A, Class A4, 1.65%, due 12/15/21 | 68,517 | ||||||||
500,000 | KVK CLO, Ltd., Series 2014-2A, Class A, 2.23%, due 07/15/26† 144A | 500,047 | ||||||||
1,750,000 | Madison Park Funding XI CLO, Ltd., Series 2013-11A, Class A1A, 1.99%, due 10/23/25† 144A | 1,743,563 |
See accompanying Notes to the Financial Statements. | 49 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Asset Backed Securities — continued | ||||||||||
250,000 | Magnetite XI CLO, Ltd., Series 2014-11A, Class A1, 2.13%, due 01/18/27¤ † 144A | 250,004 | ||||||||
590,000 | Mercedes-Benz Auto Receivables Trust, Series 2015-1, Class A3, 1.34%, due 12/16/19 | 591,776 | ||||||||
3,370,000 | Mercedes-Benz Auto Receivables Trust, Series 2016-1, Class A4, 1.46%, due 12/15/22 | 3,384,888 | ||||||||
1,570,000 | MMAF Equipment Finance LLC, Series 2014-AA, Class A5, 2.33%, due 12/08/25 144A | 1,610,559 | ||||||||
287,454 | Morgan Stanley ABS Capital I, Series 2003-NC6, Class M1, 1.73%, due 06/25/33† | 280,693 | ||||||||
176,251 | Morgan Stanley ABS Capital I, Series 2003-NC7, Class M1, 1.58%, due 06/25/33† | 169,073 | ||||||||
245,039 | Morgan Stanley ABS Capital I, Series 2003-NC10, Class M1, 1.55%, due 10/25/33† | 234,908 | ||||||||
294,028 | New Century Home Equity Loan Trust, Series 2003-A, Class A, 1.24%, due 10/25/33† 144A | 274,590 | ||||||||
2,211,000 | NextGear Floorplan Master Owner Trust, Series 2015-2A, Class A, 2.38%, due 10/15/20 144A | 2,207,443 | ||||||||
770,000 | Nissan Auto Receivables Owner Trust, Series 2015-B, Class A3, 1.34%, due 03/16/20 | 773,017 | ||||||||
515,000 | Nissan Auto Receivables Owner Trust, Series 2015-B, Class A4, 1.79%, due 01/17/22 | 521,376 | ||||||||
413,000 | Nissan Master Owner Trust Receivables, Series 2015-A, Class A2, 1.44%, due 01/15/20 | 414,043 | ||||||||
345,733 | OneMain Direct Auto Receivables Trust, Series 2016-1A, Class A, 2.04%, due 01/15/21 144A | 347,195 | ||||||||
1,200,000 | OneMain Financial Issuance Trust, Series 2015-2A, Class A, 2.57%, due 07/18/25 144A | 1,205,754 | ||||||||
750,000 | Palmer Square CLO, Ltd., Series 2015-2A, Class A1A, 2.20%, due 07/20/27† 144A | 750,439 | ||||||||
1,000,000 | Race Point VIII CLO, Ltd., Series 2013-8A, Class A, 2.06%, due 02/20/25† 144A | 998,258 | ||||||||
750,000 | Regatta IV Funding CLO, Ltd., Series 2014-1A, Class A2, 2.24%, due 07/25/26† 144A | 750,052 | ||||||||
750,000 | Regatta V Funding CLO, Ltd., Series 2014-1A, Class A1A, 2.27%, due 10/25/26† 144A | 750,035 | ||||||||
500,000 | Regatta VII Funding CLO, Ltd., Series 2016-1A, Class A1, 2.37%, due 12/20/28† †††† 144A | 500,000 | ||||||||
15,000 | Renaissance Home Equity Loan Trust, Series 2005-2, Class AF4, 4.93%, due 08/25/35†† | 15,094 | ||||||||
610,057 | Saxon Asset Securities Trust, Series 2005-1, Class M1, 1.21%, due 05/25/35† | 590,464 | ||||||||
500,000 | Seneca Park CLO, Ltd., Series 2014-1A, Class B2, 4.35%, due 07/17/26 144A | 500,278 | ||||||||
500,000 | Shackleton CLO, Ltd., Series 2014-6A, Class A1, 2.16%, due 07/17/26† 144A | 500,009 | ||||||||
504,621 | Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 2.20%, due 10/20/30 144A | 505,933 | ||||||||
743,406 | Silvermore CLO, Ltd., Series 2014-1A, Class A1, 2.27%, due 05/15/26† 144A | 738,706 | ||||||||
1,723,331 | Small Business Administration Participation Certificates, Series 2010-20D, Class 1, 4.36%, due 04/01/30 | 1,887,494 | ||||||||
1,197,425 | Small Business Administration Participation Certificates, Series 2010-20G, Class 1, 3.80%, due 07/01/30 | 1,291,703 | ||||||||
1,548,259 | Small Business Administration Participation Certificates, Series 2010-20I, Class 1, 3.21%, due 09/01/30 | 1,640,916 | ||||||||
1,397,196 | Small Business Administration Participation Certificates, Series 2011-20F, Class 1, 3.67%, due 06/01/31 | 1,517,091 | ||||||||
4,526,726 | Small Business Administration Participation Certificates, Series 2013-20H, Class 1, 3.16%, due 08/01/33 | 4,807,534 | ||||||||
4,027,569 | Small Business Administration Participation Certificates, Series 2014-20C, Class 1, 3.21%, due 03/01/34 | 4,281,617 | ||||||||
1,696,705 | Small Business Administration Participation Certificates, Series 2014-20D, Class 1, 3.11%, due 04/01/34 | 1,789,960 |
50 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Asset Backed Securities — continued | ||||||||||
1,184,834 | Small Business Administration Participation Certificates, Series 2014-20I, Class 1, 2.92%, due 09/01/34 | 1,238,327 | ||||||||
700,000 | SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.05%, due 04/25/29†††† 144A | 699,973 | ||||||||
860,000 | Springleaf Funding Trust, Series 2015-AA, Class A, 3.16%, due 11/15/24 144A | 871,178 | ||||||||
3,276,625 | Store Master Funding I LLC, Series 2015-1A, Class A1, 3.75%, due 04/20/45 144A | 3,313,999 | ||||||||
1,211,697 | STORE Master Funding LLC, Series 2014-1A, Class A2, 5.00%, due 04/20/44 144A | 1,254,120 | ||||||||
2,000,000 | Synchrony Credit Card Master Note Trust, Series 2015-3, Class A, 1.74%, due 09/15/21 | 2,016,016 | ||||||||
240,000 | Synchrony Credit Card Master Note Trust, Series 2016-1, Class A, 2.04%, due 03/15/22 | 243,692 | ||||||||
390,000 | Taco Bell Funding LLC, Series 2016-1A, Class A2I, 3.83%, due 05/25/46¤ 144A | 396,554 | ||||||||
500,000 | THL Credit Wind River CLO, Ltd., Series 2014-3A, Class A, 2.32%, due 01/22/27† 144A | 500,035 | ||||||||
750,000 | THL Credit Wind River CLO, Ltd., Series 2015-1A, Class A, 2.20%, due 07/20/27† 144A | 750,250 | ||||||||
430,000 | Toyota Auto Receivables Owner Trust, Series 2015-B, Class A4, 1.74%, due 09/15/20 | 434,391 | ||||||||
675,000 | Toyota Auto Receivables Owner Trust, Series 2016-A, Class A3, 1.25%, due 03/16/20 | 676,707 | ||||||||
265,000 | Toyota Auto Receivables Owner Trust, Series 2016-C, Class A4, 1.32%, due 11/15/21 | 264,531 | ||||||||
750,000 | Trinitas CLO V, Ltd., Series 2016-5A, Class A, 2.43%, due 10/25/28† 144A | 750,000 | ||||||||
28,063 | UAL Pass Through Trust, Series 2009-2A, 9.75%, due 07/15/18 | 28,749 | ||||||||
2,798,000 | Verizon Owner Trust, Series 2016-1A, Class A, 1.42%, due 01/20/21¤ 144A | 2,807,935 | ||||||||
315,000 | Volkswagen Credit Auto Master Trust, Series 2014-1A, Class A2, 1.40%, due 07/22/19 144A | 314,803 | ||||||||
1,300,000 | Washington Mill CLO, Ltd., Series 2014-1A, Class A1, 2.20%, due 04/20/26† 144A | 1,298,176 | ||||||||
500,000 | Washington Mill CLO, Ltd., Series 2014-1A, Class B2, 4.25%, due 04/20/26 144A | 500,201 | ||||||||
500,000 | WellFleet CLO, Ltd., Series 2016-2A, Class A1, 2.61%, due 10/20/28† †††† | 500,000 | ||||||||
960,000 | Wells Fargo Home Equity Trust, Series 2005-4, Class M1, 0.99%, due 12/25/35† | 937,266 | ||||||||
695,000 | World Omni Auto Receivables Trust, Series 2016-A, Class A3, 1.77%, due 09/15/21 | 703,476 | ||||||||
|
| |||||||||
108,861,318 | ||||||||||
|
| |||||||||
Corporate Debt — 37.2% | ||||||||||
20,000 | 21st Century Fox America, Inc., 6.75%, due 01/09/38 | 25,719 | ||||||||
812,000 | AbbVie, Inc., 3.20%, due 11/06/22 | 846,504 | ||||||||
850,000 | AbbVie, Inc., 3.60%, due 05/14/25 | 890,077 | ||||||||
500,000 | AbbVie, Inc., 4.50%, due 05/14/35 | 534,529 | ||||||||
30,000 | ACE INA Holdings, Inc., 4.35%, due 11/03/45 | 34,766 | ||||||||
555,000 | Actavis Funding SCS, 3.80%, due 03/15/25 | 588,423 | ||||||||
605,000 | Actavis Funding SCS, 4.55%, due 03/15/35 | 644,623 | ||||||||
395,000 | Activision Blizzard, Inc., 3.40%, due 09/15/26 144A | 397,507 | ||||||||
380,000 | Activision Blizzard, Inc., 6.13%, due 09/15/23 144A | 417,718 | ||||||||
340,000 | AerCap Global Aviation Trust, 6.50%, due 06/15/45¤ † ‡ 144A | 351,050 | ||||||||
280,000 | AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust, 3.75%, due 05/15/19‡ | 286,650 | ||||||||
430,000 | AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust, 4.63%, due 10/30/20‡ | 452,575 | ||||||||
96,000 | AES Corp. (The), Senior Note, 8.00%, due 06/01/20‡ | 113,520 | ||||||||
732,000 | Aetna, Inc., 2.40%, due 06/15/21‡ | 741,281 | ||||||||
165,000 | Aetna, Inc., 3.20%, due 06/15/26 | 168,101 | ||||||||
750,000 | Aetna, Inc., 4.75%, due 03/15/44 | 848,738 | ||||||||
315,000 | Agrium, Inc., 4.90%, due 06/01/43 | 333,709 | ||||||||
150,000 | Agrium, Inc., 5.25%, due 01/15/45 | 167,457 |
See accompanying Notes to the Financial Statements. | 51 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
305,000 | Ahern Rentals, Inc., 7.38%, due 05/15/23 144A | 199,013 | ||||||||
1,040,000 | AIA Group, Ltd., 3.20%, due 03/11/25 144A | 1,064,002 | ||||||||
250,000 | Air Canada 2013-1 Class C Pass Through Trust, 6.63%, due 05/15/18 144A | 260,312 | ||||||||
2,044,359 | Air Canada 2015-1 Class A Pass Through Trust, 3.60%, due 09/15/28 144A | 2,121,124 | ||||||||
275,000 | Air Lease Corp., 3.00%, due 09/15/23 | 272,561 | ||||||||
170,000 | Air Lease Corp., 3.38%, due 01/15/19‡ | 175,035 | ||||||||
195,000 | Air Lease Corp., 3.88%, due 04/01/21‡ | 206,700 | ||||||||
155,000 | Aircastle, Ltd., 5.50%, due 02/15/22 | 167,788 | ||||||||
150,000 | Aircastle, Ltd., 6.25%, due 12/01/19 | 164,625 | ||||||||
205,000 | Aircastle, Ltd., 7.63%, due 04/15/20 | 234,213 | ||||||||
385,000 | Alcoa, Inc., 5.13%, due 10/01/24‡ | 411,469 | ||||||||
400,000 | Allegheny Technologies, Inc., 9.38%, due 06/01/19 | 431,500 | ||||||||
225,000 | Ally Financial, Inc., 3.25%, due 11/05/18 | 226,688 | ||||||||
505,000 | Ally Financial, Inc., 5.13%, due 09/30/24‡ | 536,562 | ||||||||
200,000 | Altice Financing SA, 6.50%, due 01/15/22‡ 144A | 211,750 | ||||||||
200,000 | Altice Financing SA, 6.63%, due 02/15/23‡ 144A | 206,000 | ||||||||
85,000 | Altria Group, Inc., 2.63%, due 09/16/26 | 86,052 | ||||||||
340,000 | AMC Networks, Inc., 5.00%, due 04/01/24 | 343,400 | ||||||||
620,000 | America Movil SAB de CV, 5.00%, due 03/30/20 | 682,446 | ||||||||
150,000 | America Movil SAB de CV, Guaranteed Senior Note, 5.63%, due 11/15/17 | 157,379 | ||||||||
368,018 | American Airlines 2011-1 Class B Pass Through Trust, 7.00%, due 07/31/19 144A | 385,039 | ||||||||
4,059,499 | American Airlines 2013-2 Class A Pass Through Trust, 4.95%, due 07/15/24 | 4,419,780 | ||||||||
144,559 | American Airlines 2016-1 Class A Pass Through Trust, 4.10%, due 07/15/29 | 155,220 | ||||||||
460,000 | American Honda Finance Corp., 1.70%, due 02/22/19 | 464,076 | ||||||||
1,247,000 | American International Group, Inc., 4.80%, due 07/10/45 | 1,324,941 | ||||||||
235,000 | American Tower Corp., 4.70%, due 03/15/22 | 261,519 | ||||||||
235,000 | American Tower Corp. REIT, 3.40%, due 02/15/19 | 244,314 | ||||||||
220,000 | Amgen, Inc., 4.40%, due 05/01/45 | 232,040 | ||||||||
813,000 | Amgen, Inc., 4.66%, due 06/15/51 144A | 872,761 | ||||||||
295,000 | Anadarko Petroleum Corp., 6.20%, due 03/15/40‡ | 338,499 | ||||||||
8,000,000 | Anadarko Petroleum Corp., 7.53%, due 10/10/36‡‡ | 3,118,728 | ||||||||
1,478,000 | Anheuser-Busch InBev Finance, Inc., 3.65%, due 02/01/26 | 1,590,452 | ||||||||
465,000 | Anheuser-Busch InBev Finance, Inc., 4.70%, due 02/01/36 | 536,376 | ||||||||
1,125,000 | Anheuser-Busch InBev Finance, Inc., 4.90%, due 02/01/46 | 1,344,049 | ||||||||
340,000 | Anheuser-Busch InBev Worldwide, Inc., 5.38%, due 01/15/20 | 380,100 | ||||||||
270,000 | Antero Midstream Partners, LP/Antero Midstream Finance Corp., 5.38%, due 09/15/24 144A | 274,050 | ||||||||
5,000 | Anthem, Inc., 5.10%, due 01/15/44 | 5,822 | ||||||||
730,000 | Anthem, Inc., 5.88%, due 06/15/17 | 753,021 | ||||||||
475,000 | Apache Corp., 5.10%, due 09/01/40 | 494,385 | ||||||||
70,000 | Aramark Services, Inc., Co., 5.13%, due 01/15/24 | 72,975 | ||||||||
300,000 | Ares Capital Corp., 3.88%, due 01/15/20 | 310,516 | ||||||||
400,000 | Assured Guaranty US Holdings, Inc., 5.00%, due 07/01/24 | 447,633 | ||||||||
150,000 | AT&T, Inc., 2.63%, due 12/01/22 | 151,395 | ||||||||
5,000,000 | AT&T, Inc., 3.30%, due 11/27/22‡‡ 144A | 4,143,585 | ||||||||
2,079,000 | AT&T, Inc., 3.40%, due 05/15/25 | 2,139,859 | ||||||||
120,000 | AT&T, Inc., 3.88%, due 08/15/21 | 129,677 | ||||||||
10,000 | AT&T, Inc., 4.45%, due 05/15/21‡ | 11,008 |
52 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
110,000 | AT&T, Inc., 4.50%, due 05/15/35 | 115,937 | ||||||||
409,000 | AT&T, Inc., 4.75%, due 05/15/46 | 429,717 | ||||||||
610,000 | AT&T, Inc., Global Note, 5.50%, due 02/01/18 | 642,908 | ||||||||
200,000 | Australia & New Zealand Banking Group Ltd., 6.75%¤ † ††††† ‡ 144A | 220,183 | ||||||||
175,000 | AutoNation, Inc., 4.50%, due 10/01/25 | 185,809 | ||||||||
740,000 | AvalonBay Communities, Inc. REIT, 2.90%, due 10/15/26†††† | 738,082 | ||||||||
190,000 | AXA SA, 8.60%, due 12/15/30 | 268,850 | ||||||||
325,000 | BAC Capital Trust XIV, 4.00%† ††††† | 264,875 | ||||||||
2,160,000 | BAE Systems Holdings, Inc., 6.38%, due 06/01/19 144A | 2,409,169 | ||||||||
155,000 | Ball Corp., 4.38%, due 12/15/20 | 166,238 | ||||||||
600,000 | Bank of America Corp., 2.60%, due 01/15/19 | 612,048 | ||||||||
1,750,000 | Bank of America Corp., 3.50%, due 04/19/26 | 1,822,305 | ||||||||
500,000 | Bank of America Corp., 4.13%, due 01/22/24 | 543,107 | ||||||||
400,000 | Bank of America Corp., 4.20%, due 08/26/24 | 424,290 | ||||||||
245,000 | Bank of America Corp., 4.25%, due 10/22/26 | 260,463 | ||||||||
1,760,000 | Bank of America Corp., 4.45%, due 03/03/26‡ | 1,892,495 | ||||||||
420,000 | Bank of America Corp., 5.13%† ††††† ‡ | 413,175 | ||||||||
810,000 | Bank of America Corp., 5.70%, due 01/24/22 | 943,306 | ||||||||
340,000 | Bank of America Corp., 6.25%† ††††† | 354,484 | ||||||||
170,000 | Bank of America Corp., 6.30%† ††††† ‡ | 185,088 | ||||||||
565,000 | Bank of America Corp., 6.88%, due 04/25/18 | 609,782 | ||||||||
100,000 | Bank of America Corp., 7.63%, due 06/01/19 | 114,831 | ||||||||
340,000 | Bank of America Corp., 8.00%† ††††† | 347,225 | ||||||||
175,000 | Bank of America Corp. (MTN), 3.95%, due 04/21/25 | 181,488 | ||||||||
410,000 | Bank of America Corp., Senior Note, 5.75%, due 12/01/17 | 429,696 | ||||||||
340,000 | Bank of America Corp., Subordinated Note, 5.70%, due 05/02/17 | 348,018 | ||||||||
1,721,000 | Bank of America NA, 1.75%, due 06/05/18 | 1,731,376 | ||||||||
680,000 | Barclays Plc, 3.20%, due 08/10/21 | 684,153 | ||||||||
325,000 | Barclays Plc, 4.38%, due 01/12/26‡ | 336,891 | ||||||||
220,000 | Bear Stearns Cos. LLC (The), Senior Global Note, 7.25%, due 02/01/18 | 236,303 | ||||||||
1,432,000 | Berkshire Hathaway Energy Co., 6.13%, due 04/01/36 | 1,907,997 | ||||||||
280,000 | BHP Billiton Finance USA, Ltd., 6.25%, due 10/19/75† ‡ 144A | 303,800 | ||||||||
1,099,000 | Blackstone Holdings Finance Co. LLC, 4.75%, due 02/15/23 144A | 1,224,798 | ||||||||
1,555,000 | Blackstone Holdings Finance Co. LLC, Series 1, 6.63%, due 08/15/19 144A | 1,763,202 | ||||||||
1,475,000 | BMW US Capital LLC, 2.25%, due 09/15/23‡ 144A | 1,470,653 | ||||||||
80,000 | Boise Cascade Co., 5.63%, due 09/01/24¤ 144A | 81,600 | ||||||||
1,835,000 | Boston Properties, LP REIT, 5.63%, due 11/15/20 | 2,085,947 | ||||||||
425,000 | BP Capital Markets Plc, 3.02%, due 01/16/27‡ | 432,256 | ||||||||
280,000 | BPCE SA, 4.50%, due 03/15/25 144A | 283,110 | ||||||||
415,000 | BPCE SA, 5.70%, due 10/22/23 144A | 452,721 | ||||||||
437,152 | British Airways 2013-1 Class A Pass Through Trust, 4.63%, due 12/20/25 144A | 469,248 | ||||||||
280,000 | Building Materials Corp. of America, 5.38%, due 11/15/24¤ 144A | 289,800 | ||||||||
280,000 | Bunge, Ltd. Finance Corp., 8.50%, due 06/15/19 | 328,495 | ||||||||
859,000 | Canadian Pacific Railway Co., 6.13%, due 09/15/15# | 1,065,570 | ||||||||
310,000 | Capital One Financial Corp., 2.45%, due 04/24/19 | 316,944 | ||||||||
585,000 | Capital One Financial Corp., 3.75%, due 07/28/26 | 588,263 | ||||||||
460,000 | Capital One Financial Corp., 4.20%, due 10/29/25 | 480,812 | ||||||||
1,085,000 | Capital One NA/Mclean VA, 2.25%, due 09/13/21 | 1,085,851 |
See accompanying Notes to the Financial Statements. | 53 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
550,000 | Capital One NA/Mclean VA, 2.35%, due 08/17/18 | 556,936 | ||||||||
1,882,000 | Carlyle Holdings II Finance LLC, 5.63%, due 03/30/43 144A | 2,046,739 | ||||||||
915,000 | Carnival Corp., 1.88%, due 12/15/17 | 922,475 | ||||||||
225,000 | Cascades, Inc., 5.50%, due 07/15/22 144A | 229,781 | ||||||||
375,000 | CC Holdings GS V LLC/Crown Castle GS III Corp., 3.85%, due 04/15/23 | 401,676 | ||||||||
210,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.88%, due 05/01/27 144A | 224,175 | ||||||||
1,547,000 | CDP Financial, Inc., 3.15%, due 07/24/24 144A | 1,656,962 | ||||||||
385,000 | Celgene Corp., 5.00%, due 08/15/45 | 435,202 | ||||||||
235,000 | Cemex SAB de CV, 6.13%, due 05/05/25‡ 144A | 242,050 | ||||||||
290,000 | Cenovus Energy, Inc., 4.45%, due 09/15/42 | 240,149 | ||||||||
5,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.46%, due 07/23/22‡ 144A | 5,402 | ||||||||
1,511,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.91%, due 07/23/25 144A | 1,669,655 | ||||||||
195,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 6.38%, due 10/23/35 144A | 230,326 | ||||||||
597,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 6.48%, due 10/23/45 144A | 724,549 | ||||||||
326,000 | Chemours Co. (The), 6.63%, due 05/15/23‡ | 319,480 | ||||||||
800,000 | Cigna Corp., 5.38%, due 02/15/42 | 970,556 | ||||||||
175,000 | Cimarex Energy Co., 4.38%, due 06/01/24 | 183,067 | ||||||||
80,000 | Cincinnati Bell, Inc., 7.00%, due 07/15/24¤ 144A | 82,200 | ||||||||
814,000 | Citigroup, Inc., 2.15%, due 07/30/18 | 821,582 | ||||||||
789,000 | Citigroup, Inc., 2.26%, due 09/01/23† | 793,433 | ||||||||
1,374,000 | Citigroup, Inc., 2.70%, due 03/30/21‡ | 1,405,300 | ||||||||
425,000 | Citigroup, Inc., 3.88%, due 03/26/25 | 439,393 | ||||||||
265,000 | Citigroup, Inc., 4.00%, due 08/05/24 | 278,317 | ||||||||
260,000 | Citigroup, Inc., 4.05%, due 07/30/22 | 276,666 | ||||||||
180,000 | Citigroup, Inc., 4.40%, due 06/10/25 | 190,927 | ||||||||
470,000 | Citigroup, Inc., 4.50%, due 01/14/22 | 519,699 | ||||||||
460,000 | Citigroup, Inc., 4.60%, due 03/09/26 | 492,209 | ||||||||
130,000 | Citigroup, Inc., 5.90%† ††††† | 134,875 | ||||||||
230,000 | Citigroup, Inc., 5.95%† ††††† | 238,551 | ||||||||
550,000 | Citigroup, Inc., 5.95%† ††††† ‡ | 561,025 | ||||||||
120,000 | Citigroup, Inc., 6.13%† ††††† ‡ | 124,950 | ||||||||
410,000 | Citigroup, Inc., 6.25%† ††††† | 441,775 | ||||||||
185,000 | Clear Channel Worldwide Holdings, Inc., 6.50%, due 11/15/22 | 193,556 | ||||||||
1,614,000 | Cleveland Clinic Foundation (The), 4.86%, due 01/01/14# | 1,820,476 | ||||||||
350,000 | CNO Financial Group, Inc., 5.25%, due 05/30/25 | 349,125 | ||||||||
495,000 | Columbia Pipeline Group, Inc., 4.50%, due 06/01/25 | 538,597 | ||||||||
3,230,000 | Comcast Corp., 4.25%, due 01/15/33 | 3,593,931 | ||||||||
349,000 | Comcast Corp., 6.40%, due 05/15/38 | 486,513 | ||||||||
130,000 | Comcast Corp., 6.50%, due 01/15/17 | 131,985 | ||||||||
20,000 | Comcast Corp., 6.50%, due 11/15/35 | 27,791 | ||||||||
90,000 | Comcast Corp., 6.95%, due 08/15/37 | 131,463 | ||||||||
200,000 | Comcel Trust via Comunicaciones Celulares SA, 6.88%, due 02/06/24‡ 144A | 206,640 | ||||||||
160,000 | Commercial Metals Co., 7.35%, due 08/15/18 | 173,600 | ||||||||
350,000 | Commerzbank AG, 8.13%, due 09/19/23 144A | 403,987 |
54 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
250,000 | ConocoPhillips Co., 4.95%, due 03/15/26‡ | 282,320 | ||||||||
575,000 | ConocoPhillips Holding Co., 6.95%, due 04/15/29 | 732,823 | ||||||||
400,000 | Consumers Energy Co., 3.25%, due 08/15/46 | 394,693 | ||||||||
1,370,942 | Continental Airlines 2007-1 Class A Pass Through Trust, 5.98%, due 10/19/23 | 1,547,451 | ||||||||
282,552 | Continental Airlines 2012-1 Class B Pass Through Trust, 6.25%, due 10/11/21 | 303,391 | ||||||||
550,000 | Continental Resources, Inc., 5.00%, due 09/15/22‡ | 550,000 | ||||||||
295,000 | Corp. Andina de Fomento, 2.13%, due 09/27/21 | 295,590 | ||||||||
95,000 | Cortes NP Acquisition Corp., 9.25%, due 10/15/24¤ †††† 144A | 95,000 | ||||||||
1,526,000 | Cox Communications, Inc., 3.35%, due 09/15/26 144A | 1,541,457 | ||||||||
305,000 | Credit Acceptance Corp., 6.13%, due 02/15/21 | 308,050 | ||||||||
300,000 | Credit Agricole SA, 6.63%† ††††† ‡ 144A | 288,237 | ||||||||
300,000 | Credit Agricole SA, 7.88%† ††††† 144A | 301,314 | ||||||||
250,000 | Credit Agricole SA, 8.13%, due 09/19/33† 144A | 270,625 | ||||||||
500,000 | Credit Suisse Group Funding Guernsey, Ltd., 2.75%, due 03/26/20 | 502,233 | ||||||||
250,000 | Credito Real SAB de CV SOFOM ER, 7.50%, due 03/13/19 144A | 261,250 | ||||||||
345,000 | Crown Castle International Corp. REIT, 4.45%, due 02/15/26 | 379,621 | ||||||||
52,000 | Crown Castle Towers LLC, 4.88%, due 08/15/40 144A | 56,886 | ||||||||
335,000 | Crown Castle Towers LLC, 6.11%, due 01/15/40 144A | 371,573 | ||||||||
1,160,000 | CVS Health Corp., 2.75%, due 12/01/22 | 1,195,973 | ||||||||
200,000 | CVS Health Corp., 2.88%, due 06/01/26 | 203,380 | ||||||||
620,000 | CVS Health Corp., 5.13%, due 07/20/45 | 761,739 | ||||||||
3,000,275 | CVS Pass-Through Trust, 7.51%, due 01/10/32 144A | 3,838,020 | ||||||||
578,000 | DCP Midstream LLC, 5.35%, due 03/15/20 144A | 595,340 | ||||||||
240,000 | DCP Midstream LLC, 5.85%, due 05/21/43† 144A | 200,400 | ||||||||
245,000 | DCP Midstream LLC, 9.75%, due 03/15/19 144A | 273,359 | ||||||||
240,000 | DCP Midstream Operating, LP, 2.70%, due 04/01/19 | 234,900 | ||||||||
225,000 | DCP Midstream Operating, LP, 3.88%, due 03/15/23 | 216,000 | ||||||||
345,000 | Delphi Automotive Plc, 4.25%, due 01/15/26 | 376,544 | ||||||||
1,002,064 | Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.82%, due 02/10/24 | 1,186,193 | ||||||||
375,000 | Deutsche Bank AG, 3.38%, due 05/12/21 | 367,212 | ||||||||
670,000 | Devon Energy Corp., 7.95%, due 04/15/32 | 822,841 | ||||||||
250,000 | Dexia Credit Local SA, 1.88%, due 09/15/21 144A | 249,819 | ||||||||
215,000 | Diamond 1 Finance Corp./Diamond 2 Finance Corp., 3.48%, due 06/01/19 144A | 221,261 | ||||||||
185,000 | Diamond 1 Finance Corp./Diamond 2 Finance Corp., 4.42%, due 06/15/21 144A | 193,548 | ||||||||
835,000 | Diamond 1 Finance Corp./Diamond 2 Finance Corp., 6.02%, due 06/15/26 144A | 917,080 | ||||||||
65,000 | Diamond 1 Finance Corp./Diamond 2 Finance Corp., 7.13%, due 06/15/24‡ 144A | 71,534 | ||||||||
280,000 | Digicel, Ltd., 6.75%, due 03/01/23 144A | 248,500 | ||||||||
550,000 | Discover Bank/Greenwood DE, 2.60%, due 11/13/18 | 558,528 | ||||||||
665,000 | Discover Financial Services, 3.75%, due 03/04/25 | 674,138 | ||||||||
690,000 | Discover Financial Services, 3.95%, due 11/06/24 | 707,516 | ||||||||
270,000 | Discover Financial Services, 5.20%, due 04/27/22 | 297,619 | ||||||||
115,000 | Dominion Resources, Inc., 2.85%, due 08/15/26‡ | 114,628 | ||||||||
400,000 | Dominion Resources, Inc., 4.45%, due 03/15/21 | 440,197 | ||||||||
400,000 | Dow Chemical Co. (The), 4.38%, due 11/15/42‡ | 408,772 | ||||||||
2,589,000 | Duke Energy Corp., 3.55%, due 09/15/21 | 2,782,165 | ||||||||
420,000 | Duke Energy Florida LLC, 3.40%, due 10/01/46 | 410,689 | ||||||||
195,000 | Duke Energy Progress LLC, 3.70%, due 10/15/46 | 201,504 | ||||||||
54,000 | Eagle Materials, Inc., 4.50%, due 08/01/26 | 54,814 |
See accompanying Notes to the Financial Statements. | 55 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
200,000 | eBay, Inc., 2.50%, due 03/09/18‡ | 202,899 | ||||||||
110,000 | Ecolab, Inc., 4.35%, due 12/08/21 | 123,642 | ||||||||
190,000 | El Paso Natural Gas Co. LLC, 8.38%, due 06/15/32 | 237,309 | ||||||||
1,238,000 | Electricite de France SA, 3.63%, due 10/13/25‡ 144A | 1,303,218 | ||||||||
235,000 | Electricite de France SA, 5.25%† ††††† 144A | 230,617 | ||||||||
730,000 | Electronic Arts, Inc., 4.80%, due 03/01/26 | 805,405 | ||||||||
360,000 | Emera US Finance, LP, 3.55%, due 06/15/26 144A | 373,852 | ||||||||
200,000 | Enbridge Energy Partners, LP, 4.38%, due 10/15/20 | 211,120 | ||||||||
295,000 | Energy Transfer Partners, LP, 5.15%, due 03/15/45 | 274,233 | ||||||||
203,000 | Energy Transfer Partners, LP, 9.70%, due 03/15/19 | 233,032 | ||||||||
310,000 | EnerSys, 5.00%, due 04/30/23 144A | 311,162 | ||||||||
39,000 | Engility Corp., 8.88%, due 09/01/24 144A | 39,634 | ||||||||
275,000 | Enova International, Inc., 9.75%, due 06/01/21 | 247,500 | ||||||||
460,000 | Enterprise Products Operating LLC, 3.75%, due 02/15/25 | 477,550 | ||||||||
310,000 | Enterprise Products Operating LLC, 3.95%, due 02/15/27‡ | 325,516 | ||||||||
440,000 | Enterprise Products Operating LLC, 4.46%, due 08/01/66† | 415,294 | ||||||||
1,934,000 | ERAC USA Finance LLC, 2.80%, due 11/01/18¤ 144A | 1,978,904 | ||||||||
2,045,000 | Escrow GCB General Motors, 8.38%, due 07/15/49**** ¤ ††† | — | ||||||||
1,169,000 | Exelon Corp., 5.10%, due 06/15/45 | 1,361,683 | ||||||||
912,000 | Exelon Generation Co. LLC, 4.25%, due 06/15/22 | 979,958 | ||||||||
645,000 | Expedia, Inc., 5.00%, due 02/15/26 144A | 680,107 | ||||||||
1,270,000 | Express Scripts Holding Co., 3.40%, due 03/01/27 | 1,279,940 | ||||||||
595,000 | Express Scripts Holding Co., 4.50%, due 02/25/26 | 653,850 | ||||||||
405,000 | Fidelity National Information Services, Inc., 2.85%, due 10/15/18 | 415,840 | ||||||||
540,000 | Fidelity National Information Services, Inc., 3.63%, due 10/15/20 | 573,290 | ||||||||
1,303,000 | Fifth Third Bancorp, 2.88%, due 07/27/20 | 1,354,143 | ||||||||
150,000 | FirstEnergy Corp., 2.75%, due 03/15/18 | 151,796 | ||||||||
245,000 | FirstEnergy Corp., Series C, 7.38%, due 11/15/31 | 319,094 | ||||||||
250,000 | Flagstar Bancorp, Inc., 6.13%, due 07/15/21 144A | 254,914 | ||||||||
205,000 | Florida East Coast Holdings Corp., 6.75%, due 05/01/19 144A | 211,150 | ||||||||
765,000 | Ford Motor Co., 4.75%, due 01/15/43‡ | 795,547 | ||||||||
550,000 | Ford Motor Credit Co. LLC, 2.55%, due 10/05/18 | 558,339 | ||||||||
1,875,000 | Ford Motor Credit Co. LLC, 5.88%, due 08/02/21 | 2,142,609 | ||||||||
350,000 | Ford Motor Credit Co. LLC, 8.00%, due 12/15/16 | 354,973 | ||||||||
580,000 | Ford Motor Credit Co. LLC, 8.13%, due 01/15/20 | 685,483 | ||||||||
200,000 | Fresenius US Finance II, Inc., 4.50%, due 01/15/23 144A | 209,500 | ||||||||
295,000 | Frontier Communications Corp., 8.88%, due 09/15/20 | 319,337 | ||||||||
200,000 | GCI, Inc., 6.88%, due 04/15/25‡ | 206,000 | ||||||||
488,000 | GE Capital International Funding Co., 4.42%, due 11/15/35 | 548,804 | ||||||||
80,000 | General Electric Capital Corp., 4.38%, due 09/16/20 | 88,687 | ||||||||
310,000 | General Electric Co., 4.50%, due 03/11/44 | 357,768 | ||||||||
645,000 | General Electric Co., 5.00%† ††††† | 686,731 | ||||||||
450,000 | General Motors Co., 4.00%, due 04/01/25 | 460,848 | ||||||||
630,000 | General Motors Co., 4.88%, due 10/02/23 | 683,573 | ||||||||
355,000 | General Motors Co., 6.25%, due 10/02/43 | 420,462 | ||||||||
310,000 | General Motors Financial Co., Inc., 3.45%, due 04/10/22 | 314,817 | ||||||||
1,045,000 | General Motors Financial Co., Inc., 3.50%, due 07/10/19 | 1,077,266 | ||||||||
560,000 | General Motors Financial Co., Inc., 4.00%, due 01/15/25 | 566,255 |
56 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
2,079,000 | General Motors Financial Co., Inc., 4.20%, due 03/01/21 | 2,190,023 | ||||||||
205,000 | General Motors Financial Co., Inc., 5.25%, due 03/01/26 | 225,562 | ||||||||
475,000 | Gilead Sciences, Inc., 2.50%, due 09/01/23‡ | 480,480 | ||||||||
30,000 | Glencore Finance Canada, Ltd., 5.80%, due 11/15/16‡ 144A | 30,106 | ||||||||
944,000 | Glencore Funding LLC, 2.13%, due 04/16/18 144A | 937,742 | ||||||||
350,000 | GLP Capital, LP/GLP Financing II, Inc., 4.88%, due 11/01/20 | 378,875 | ||||||||
200,000 | GLP Capital, LP/GLP Financing II, Inc., 5.38%, due 04/15/26 | 215,500 | ||||||||
265,000 | Goldcorp, Inc., 3.63%, due 06/09/21 | 279,621 | ||||||||
285,000 | Goldman Sachs Group (The), Inc., 2.00%, due 04/25/19 | 287,071 | ||||||||
919,000 | Goldman Sachs Group (The), Inc., 2.63%, due 04/25/21 | 934,165 | ||||||||
585,000 | Goldman Sachs Group (The), Inc., 3.75%, due 05/22/25 | 615,395 | ||||||||
85,000 | Goldman Sachs Group (The), Inc., 3.75%, due 02/25/26 | 89,425 | ||||||||
150,000 | Goldman Sachs Group (The), Inc., 4.00%, due 03/03/24 | 161,328 | ||||||||
245,000 | Goldman Sachs Group (The), Inc., 4.75%, due 10/21/45 | 276,076 | ||||||||
290,000 | Goldman Sachs Group (The), Inc., 5.15%, due 05/22/45 | 317,477 | ||||||||
125,000 | Goldman Sachs Group (The), Inc., 5.30%† ††††† ‡ | 128,438 | ||||||||
565,000 | Goldman Sachs Group (The), Inc., 5.38%† ††††† | 568,516 | ||||||||
130,000 | Goldman Sachs Group (The), Inc., 5.75%, due 01/24/22 | 151,176 | ||||||||
680,000 | Goldman Sachs Group (The), Inc., 5.95%, due 01/18/18 | 717,648 | ||||||||
660,000 | Goldman Sachs Group (The), Inc., 6.25%, due 02/01/41 | 866,018 | ||||||||
1,462,000 | Goldman Sachs Group (The), Inc., 7.50%, due 02/15/19 | 1,653,355 | ||||||||
460,000 | Hartford Financial Services Group (The), Inc., 8.13%, due 06/15/68† | 503,700 | ||||||||
725,000 | HBOS Plc, 6.75%, due 05/21/18 144A | 776,687 | ||||||||
165,000 | HCA, Inc., 4.25%, due 10/15/19 | 172,425 | ||||||||
430,000 | HCA, Inc., 5.25%, due 04/15/25 | 459,562 | ||||||||
200,000 | HCA, Inc., 5.25%, due 06/15/26 | 213,000 | ||||||||
460,000 | HCA, Inc., 5.88%, due 03/15/22 | 508,300 | ||||||||
230,000 | HCA, Inc., 7.50%, due 02/15/22 | 264,500 | ||||||||
1,085,000 | HCP, Inc., 4.00%, due 06/01/25 | 1,116,079 | ||||||||
205,000 | Health Care, Inc. REIT, 3.75%, due 03/15/23 | 215,578 | ||||||||
295,000 | Hess Corp., 4.30%, due 04/01/27 | 297,909 | ||||||||
145,000 | Home Depot (The), Inc., 3.50%, due 09/15/56 | 142,151 | ||||||||
945,000 | HP Enterprise Co., 2.45%, due 10/05/17 144A | 952,805 | ||||||||
175,000 | HP Enterprise Co., 2.85%, due 10/05/18 144A | 178,391 | ||||||||
1,186,000 | HP Enterprise Co., 4.40%, due 10/15/22‡ 144A | 1,266,279 | ||||||||
740,000 | HSBC Finance Corp., 6.68%, due 01/15/21 | 851,996 | ||||||||
270,000 | HSBC Holdings Plc, 6.88%† ††††† ‡ | 281,475 | ||||||||
85,000 | Hughes Satellite Systems Corp., 5.25%, due 08/01/26 144A | 84,150 | ||||||||
270,000 | Huntington Ingalls Industries, Inc., 5.00%, due 12/15/21 144A | 284,512 | ||||||||
195,000 | Huntington Ingalls Industries, Inc., 5.00%, due 11/15/25 144A | 206,700 | ||||||||
1,260,000 | Husky Energy, Inc., 7.25%, due 12/15/19 | 1,457,453 | ||||||||
420,000 | Imperial Tobacco Finance Plc, 2.05%, due 02/11/18 144A | 422,652 | ||||||||
385,000 | ING Bank NV, 5.80%, due 09/25/23 144A | 430,972 | ||||||||
1,253,000 | Intercontinental Exchange, Inc., 2.75%, due 12/01/20 | 1,303,013 | ||||||||
200,000 | International Game Technology Plc, 6.50%, due 02/15/25 144A | 216,500 | ||||||||
220,000 | International Lease Finance Corp., 5.88%, due 04/01/19 | 236,225 | ||||||||
450,000 | International Paper Co., 4.40%, due 08/15/47 | 456,981 | ||||||||
350,000 | Iron Mountain, Inc., 6.00%, due 08/15/23 | 375,375 |
See accompanying Notes to the Financial Statements. | 57 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
310,000 | Iron Mountain, Inc. REIT, 5.75%, due 08/15/24 | 320,075 | ||||||||
260,000 | Israel Electric Corp., Ltd., 6.88%, due 06/21/23 144A | 312,000 | ||||||||
400,000 | Israel Electric Corp., Ltd., 7.25%, due 01/15/19‡ 144A | 445,500 | ||||||||
270,000 | Jabil Circuit, Inc., 4.70%, due 09/15/22 | 284,413 | ||||||||
500,000 | Jefferies Group LLC, 5.13%, due 01/20/23 | 533,413 | ||||||||
485,000 | Jefferies Group LLC, 6.88%, due 04/15/21 | 566,400 | ||||||||
175,000 | Jefferies Group LLC, 8.50%, due 07/15/19‡ | 201,586 | ||||||||
220,000 | John Deere Capital Corp., 2.25%, due 04/17/19 | 225,151 | ||||||||
855,000 | JPMorgan Chase & Co., 2.55%, due 10/29/20‡ | 871,353 | ||||||||
330,000 | JPMorgan Chase & Co., 3.20%, due 06/15/26 | 339,092 | ||||||||
300,000 | JPMorgan Chase & Co., 3.25%, due 09/23/22 | 314,920 | ||||||||
1,430,000 | JPMorgan Chase & Co., 3.38%, due 05/01/23‡ | 1,471,393 | ||||||||
90,000 | JPMorgan Chase & Co., 4.35%, due 08/15/21‡ | 98,889 | ||||||||
200,000 | JPMorgan Chase & Co., 4.50%, due 01/24/22 | 221,620 | ||||||||
705,000 | JPMorgan Chase & Co., 4.63%, due 05/10/21 | 781,228 | ||||||||
925,000 | JPMorgan Chase & Co., 5.30%† ††††† | 940,031 | ||||||||
1,250,000 | JPMorgan Chase & Co., Subordinated Note, 6.13%, due 06/27/17 | 1,292,332 | ||||||||
822,000 | Juniper Networks, Inc., 3.13%, due 02/26/19 | 844,429 | ||||||||
950,000 | Kentucky Power Co., 6.00%, due 09/15/17 144A | 989,904 | ||||||||
290,000 | Kerr-McGee Corp., 6.95%, due 07/01/24 | 349,156 | ||||||||
2,500,000 | Kinder Morgan Energy Partners, LP, 4.15%, due 02/01/24 | 2,555,057 | ||||||||
185,000 | Kinder Morgan Energy Partners, LP, 7.75%, due 03/15/32 | 222,729 | ||||||||
210,000 | Kinder Morgan, Inc., 4.30%, due 06/01/25 | 218,640 | ||||||||
445,000 | Kinder Morgan, Inc., 5.55%, due 06/01/45 | 458,163 | ||||||||
1,240,000 | KKR Group Finance Co. II LLC, 5.50%, due 02/01/43 144A | 1,310,561 | ||||||||
688,000 | KKR Group Finance Co. LLC, 6.38%, due 09/29/20 144A | 801,387 | ||||||||
325,000 | Koppers, Inc., 7.88%, due 12/01/19‡ | 332,312 | ||||||||
360,000 | Kraft Foods Group, Inc., 3.50%, due 06/06/22 | 382,995 | ||||||||
349,000 | Kraft Foods Group, Inc., 5.38%, due 02/10/20 | 389,938 | ||||||||
465,000 | Kraft Heinz Foods Co., 2.00%, due 07/02/18 | 469,491 | ||||||||
225,000 | Kraft Heinz Foods Co., 3.00%, due 06/01/26 | 227,258 | ||||||||
95,000 | Kraft Heinz Foods Co., 4.38%, due 06/01/46 | 100,935 | ||||||||
185,000 | Kraft Heinz Foods Co., 4.88%, due 02/15/25 144A | 204,174 | ||||||||
170,000 | Kraft Heinz Foods Co., 5.00%, due 07/15/35 | 196,931 | ||||||||
325,000 | Kraft Heinz Foods Co., 5.20%, due 07/15/45‡ | 385,881 | ||||||||
400,000 | Kroger Co. (The), Senior Note, 6.15%, due 01/15/20 | 454,941 | ||||||||
300,000 | L Brands, Inc., 5.63%, due 10/15/23 | 336,375 | ||||||||
370,000 | L Brands, Inc., 6.63%, due 04/01/21 | 428,275 | ||||||||
195,000 | L Brands, Inc., 6.88%, due 11/01/35 | 213,525 | ||||||||
205,000 | Lam Research Corp., 3.90%, due 06/15/26 | 213,876 | ||||||||
134,000 | Lear Corp., 5.25%, due 01/15/25 | 145,725 | ||||||||
470,000 | Lehman Brothers Holdings Capital Trust VII, (MTN), 5.86%**** ††† ††††† | 165 | ||||||||
270,000 | Lehman Brothers Holdings, Inc., (MTN), Series I, 6.75%, due 12/28/17**** ††† | 95 | ||||||||
890,000 | Lehman Brothers Holdings, Inc., Subordinated Note, 6.50%, due 07/19/17**** ††† | 312 | ||||||||
390,000 | Leucadia National Corp., 5.50%, due 10/18/23 | 408,799 | ||||||||
1,150,000 | Liberty Mutual Group, Inc., 4.25%, due 06/15/23 144A | 1,245,898 | ||||||||
2,037,000 | Liberty Mutual Group, Inc., 4.95%, due 05/01/22 144A | 2,275,802 |
58 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
241,000 | Liberty Mutual Group, Inc., Junior Subordinated Note, Series A, 7.80%, due 03/07/87 144A | 282,572 | ||||||||
225,000 | LifePoint Health, Inc., 5.38%, due 05/01/24 144A | 225,563 | ||||||||
300,000 | Lloyds Banking Group Plc, 7.50%† ††††† | 310,560 | ||||||||
845,000 | Lloyds Banking Group Plc, Subordinated Note, 4.65%, due 03/24/26 | 871,154 | ||||||||
305,000 | Lockheed Martin Corp., 2.90%, due 03/01/25 | 315,100 | ||||||||
275,000 | Lockheed Martin Corp., 4.70%, due 05/15/46 | 328,121 | ||||||||
215,000 | LSC Communications, Inc., 8.75%, due 10/15/23¤ 144A | 215,000 | ||||||||
1,010,000 | LyondellBasell Industries NV, 5.00%, due 04/15/19 | 1,084,603 | ||||||||
500,000 | Macquarie Bank, Ltd., 4.88%, due 06/10/25 144A | 526,969 | ||||||||
55,000 | Magellan Midstream Partners, LP, 4.25%, due 09/15/46 | 55,064 | ||||||||
700,000 | Marriott International, Inc., 3.13%, due 06/15/26 | 708,939 | ||||||||
230,000 | Martin Marietta Materials, Inc., 4.25%, due 07/02/24 | 245,433 | ||||||||
200,000 | Masco Corp., 4.38%, due 04/01/26 | 211,500 | ||||||||
200,000 | Masco Corp., 4.45%, due 04/01/25 | 213,500 | ||||||||
725,000 | Massachusetts Institute of Technology, 4.68%, due 07/01/14# | 855,264 | ||||||||
235,000 | Match Group, Inc., 6.38%, due 06/01/24 | 256,444 | ||||||||
210,000 | MDC Partners, Inc., 6.50%, due 05/01/24‡ 144A | 195,300 | ||||||||
205,000 | MEDNAX, Inc., 5.25%, due 12/01/23 144A | 216,019 | ||||||||
70,000 | Medtronic, Inc., 3.13%, due 03/15/22 | 74,194 | ||||||||
190,000 | Medtronic, Inc., 3.15%, due 03/15/22 | 202,176 | ||||||||
600,000 | Medtronic, Inc., 3.50%, due 03/15/25 | 646,831 | ||||||||
384,000 | Medtronic, Inc., 4.38%, due 03/15/35‡ | 435,992 | ||||||||
320,000 | Medtronic, Inc., 4.63%, due 03/15/45 | 376,944 | ||||||||
625,000 | Merck & Co., Inc., 4.15%, due 05/18/43‡ | 708,771 | ||||||||
1,152,000 | MetLife, Inc., 3.00%, due 03/01/25 | 1,173,499 | ||||||||
105,000 | MetLife, Inc., 4.75%, due 02/08/21 | 117,613 | ||||||||
275,000 | MetLife, Inc., Subordinated Note, 6.40%, due 12/15/66 | 305,078 | ||||||||
65,000 | MGIC Investment Corp., 5.75%, due 08/15/23 | 67,763 | ||||||||
220,000 | Micron Technology, Inc., 5.88%, due 02/15/22‡ | 225,225 | ||||||||
195,000 | Micron Technology, Inc., 7.50%, due 09/15/23‡ 144A | 217,082 | ||||||||
410,000 | Microsoft Corp., 3.95%, due 08/08/56 | 416,631 | ||||||||
540,000 | Microsoft Corp., 4.45%, due 11/03/45 | 615,489 | ||||||||
195,000 | Midcontinent Communications & Midcontinent Finance Corp., 6.88%, due 08/15/23 144A | 208,650 | ||||||||
250,000 | Millicom International Cellular SA, 4.75%, due 05/22/20‡ 144A | 253,763 | ||||||||
205,000 | Millicom International Cellular SA, 6.63%, due 10/15/21 144A | 214,297 | ||||||||
165,630 | Miran Mid-Atlantic Series C Pass Through Trust, 10.06%, due 12/30/28 | 126,914 | ||||||||
255,000 | Molina Healthcare, Inc., 5.38%, due 11/15/22‡ | 264,562 | ||||||||
160,000 | Molson Coors Brewing Co., 1.45%, due 07/15/19 | 159,644 | ||||||||
375,000 | Molson Coors Brewing Co., 3.00%, due 07/15/26 | 378,376 | ||||||||
255,000 | Morgan Stanley, 2.45%, due 02/01/19 | 259,741 | ||||||||
921,000 | Morgan Stanley, 3.88%, due 04/29/24 | 986,620 | ||||||||
405,000 | Morgan Stanley, 3.88%, due 01/27/26 | 430,824 | ||||||||
70,000 | Morgan Stanley, 4.75%, due 03/22/17 | 71,161 | ||||||||
325,000 | Morgan Stanley, 5.45%† ††††† | 326,492 | ||||||||
435,000 | Morgan Stanley, 5.50%, due 01/26/20 | 482,703 | ||||||||
2,322,000 | Morgan Stanley, 7.30%, due 05/13/19 | 2,640,555 |
See accompanying Notes to the Financial Statements. | 59 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
1,720,000 | Morgan Stanley, (MTN), 4.10%, due 05/22/23 | 1,821,133 | ||||||||
1,000,000 | Morgan Stanley, (MTN), Series F, 6.63%, due 04/01/18 | 1,071,863 | ||||||||
112,000 | MPLX, LP, 4.00%, due 02/15/25‡ | 110,570 | ||||||||
353,000 | MPLX, LP, 4.88%, due 12/01/24‡ | 365,714 | ||||||||
195,000 | MPT Operating Partnership, LP/MPT Finance Corp. REIT, 6.38%, due 02/15/22 | 204,019 | ||||||||
225,000 | MTN Mauritius Investment, Ltd., 4.76%, due 11/11/24 144A | 218,813 | ||||||||
334,000 | Mylan NV, 2.50%, due 06/07/19 144A | 337,183 | ||||||||
830,000 | Mylan NV, 3.95%, due 06/15/26 144A | 837,894 | ||||||||
1,150,000 | Myriad International Holdings BV, 5.50%, due 07/21/25¤ 144A | 1,238,837 | ||||||||
230,000 | Nationstar Mortgage LLC/Nationstar Capital Corp., 6.50%, due 07/01/21 | 226,550 | ||||||||
235,000 | Nationstar Mortgage LLC/Nationstar Capital Corp., 7.88%, due 10/01/20 | 239,982 | ||||||||
195,000 | Nationstar Mortgage LLC/Nationstar Capital Corp., 9.63%, due 05/01/19‡ | 204,994 | ||||||||
350,000 | Navient Corp., (MTN), 8.45%, due 06/15/18 | 377,125 | ||||||||
237,000 | Nemak SAB de CV, 5.50%, due 02/28/23 144A | 242,688 | ||||||||
42,000 | Newell Brands, Inc., 2.15%, due 10/15/18 | 42,618 | ||||||||
495,000 | Newell Brands, Inc., 4.20%, due 04/01/26‡ | 539,732 | ||||||||
335,000 | NewStar Financial, Inc., 7.25%, due 05/01/20 | 331,650 | ||||||||
220,000 | NextEra Energy Capital Holdings, Inc., 1.65%, due 09/01/18 | 220,973 | ||||||||
205,000 | NextEra Energy Capital Holdings, Inc., 2.30%, due 04/01/19 | 208,378 | ||||||||
285,000 | Nippon Life Insurance Co., 5.10%, due 10/16/44† 144A | 314,597 | ||||||||
780,000 | Noble Energy, Inc., 4.15%, due 12/15/21 | 830,308 | ||||||||
200,000 | Noble Energy, Inc., 5.05%, due 11/15/44 | 198,193 | ||||||||
1,403,000 | Noble Energy, Inc., 8.25%, due 03/01/19 | 1,605,986 | ||||||||
195,000 | Norbord, Inc., 6.25%, due 04/15/23 144A | 208,163 | ||||||||
510,000 | Norfolk Southern Corp., 4.65%, due 01/15/46 | 590,518 | ||||||||
220,000 | Northern States Power Co., 4.13%, due 05/15/44 | 249,218 | ||||||||
360,000 | NOVA Chemicals Corp., 5.00%, due 05/01/25 144A | 365,400 | ||||||||
70,000 | Novelis Corp., 5.88%, due 09/30/26¤ 144A | 71,838 | ||||||||
739,000 | NRG Energy, Inc., 6.25%, due 05/01/24‡ | 753,780 | ||||||||
315,000 | NRG Energy, Inc., 6.63%, due 01/15/27‡ 144A | 309,094 | ||||||||
595,000 | NRG Yield Operating LLC, 5.38%, due 08/15/24‡ | 614,337 | ||||||||
225,000 | NRG Yield, Inc., 3.25%, due 06/01/20 144A | 221,484 | ||||||||
325,000 | NXP BV/NXP Funding LLC, 5.75%, due 03/15/23 144A | 349,375 | ||||||||
315,000 | Occidental Petroleum Corp., 3.40%, due 04/15/26‡ | 332,725 | ||||||||
210,000 | Omega Healthcare Investors, Inc. REIT, 4.50%, due 01/15/25 | 213,997 | ||||||||
240,000 | Omega Healthcare Investors, Inc. REIT, 4.95%, due 04/01/24 | 252,672 | ||||||||
195,000 | Omega Healthcare Investors, Inc. REIT, 5.25%, due 01/15/26 | 208,282 | ||||||||
300,000 | Omnicom Group, Inc., 3.60%, due 04/15/26 | 317,692 | ||||||||
205,000 | Open Text Corp., 5.88%, due 06/01/26‡ 144A | 214,994 | ||||||||
320,000 | Oracle Corp., 4.30%, due 07/08/34 | 347,690 | ||||||||
240,000 | Owens Corning, 3.40%, due 08/15/26 | 241,605 | ||||||||
290,000 | Owens Corning, 4.20%, due 12/15/22 | 311,971 | ||||||||
460,000 | Pacific Gas & Electric Co., 6.05%, due 03/01/34 | 615,215 | ||||||||
730,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 2.50%, due 06/15/19¤ 144A | 741,159 | ||||||||
590,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 3.38%, due 02/01/22 144A | 614,279 | ||||||||
370,000 | PepsiCo, Inc., 1.50%, due 02/22/19 | 372,589 | ||||||||
280,000 | Petroleos Mexicanos, 4.88%, due 01/24/22 | 286,300 | ||||||||
255,000 | Petroleos Mexicanos, 6.50%, due 06/02/41 | 249,263 |
60 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
1,006,000 | Phillips 66 Partners, LP, 3.61%, due 02/15/25 | 1,013,531 | ||||||||
410,000 | Platform Specialty Products Corp., 6.50%, due 02/01/22‡ 144A | 400,775 | ||||||||
1,190,000 | PNC Bank NA, 2.95%, due 01/30/23 | 1,226,158 | ||||||||
200,000 | Popular, Inc., 7.00%, due 07/01/19 | 207,000 | ||||||||
185,000 | Post Holdings, Inc., 7.75%, due 03/15/24 144A | 208,125 | ||||||||
540,000 | PPL Capital Funding, Inc., 5.00%, due 03/15/44 | 610,987 | ||||||||
195,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, due 05/15/23 144A | 213,038 | ||||||||
95,000 | Private Export Funding Corp., 1.88%, due 07/15/18 | 96,583 | ||||||||
90,000 | Providence St. Joseph Health Obligated Group, 2.75%, due 10/01/26 | 91,248 | ||||||||
205,000 | Prudential Financial, Inc., 5.20%, due 03/15/44† | 211,663 | ||||||||
190,000 | Prudential Financial, Inc., 5.88%, due 09/15/42† | 209,855 | ||||||||
1,000,000 | Prudential Financial, Inc., 7.38%, due 06/15/19 | 1,151,676 | ||||||||
1,460,000 | Public Service Electric & Gas Co., 2.25%, due 09/15/26 | 1,456,912 | ||||||||
170,000 | QEP Resources, Inc., 6.88%, due 03/01/21‡ | 178,075 | ||||||||
245,000 | Qorvo, Inc., 6.75%, due 12/01/23‡ | 265,212 | ||||||||
245,000 | Qorvo, Inc., 7.00%, due 12/01/25 | 267,050 | ||||||||
430,000 | Quicken Loans, Inc., 5.75%, due 05/01/25‡ 144A | 428,925 | ||||||||
205,000 | Quintiles Transnational Corp., 4.88%, due 05/15/23 144A | 211,663 | ||||||||
400,000 | QVC, Inc., 4.38%, due 03/15/23 | 401,629 | ||||||||
265,000 | QVC, Inc., 5.13%, due 07/02/22 | 281,237 | ||||||||
300,000 | QVC, Inc., 5.45%, due 08/15/34 | 278,450 | ||||||||
500,000 | Rabobank Nederland NV, 11.00%† ††††† 144A | 607,500 | ||||||||
160,000 | Radian Group, Inc., 5.25%, due 06/15/20 | 169,600 | ||||||||
290,000 | Radian Group, Inc., 7.00%, due 03/15/21 | 326,250 | ||||||||
255,000 | Rain CII Carbon LLC/CII Carbon Corp., 8.25%, due 01/15/21 144A | 249,900 | ||||||||
1,207,000 | Realty Income Corp. REIT, 4.65%, due 08/01/23 | 1,332,419 | ||||||||
890,000 | Regency Energy Partners, LP/Regency Energy Finance Corp., 5.50%, due 04/15/23 | 919,652 | ||||||||
205,000 | Revlon Consumer Products Corp., 5.75%, due 02/15/21 | 210,125 | ||||||||
215,000 | Revlon Consumer Products Corp., 6.25%, due 08/01/24‡ 144A | 222,525 | ||||||||
920,000 | Rio Tinto Finance USA, Ltd., 9.00%, due 05/01/19 | 1,087,532 | ||||||||
250,000 | Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp., 6.13%, due 08/15/21¤ 144A | 258,750 | ||||||||
1,500,000 | Rogers Communications, Inc., 6.80%, due 08/15/18 | 1,644,688 | ||||||||
500,000 | Royal Bank of Scotland Group Plc, 3.88%, due 09/12/23 | 492,737 | ||||||||
315,000 | Royal Bank of Scotland Group Plc, 4.80%, due 04/05/26 | 324,571 | ||||||||
205,000 | Royal Bank of Scotland Group Plc, 8.00%† ††††† | 193,213 | ||||||||
455,000 | S&P Global, Inc., 4.00%, due 06/15/25 | 493,807 | ||||||||
67,000 | S&P Global, Inc., 4.40%, due 02/15/26 | 75,010 | ||||||||
320,000 | Sally Holdings LLC/Sally Capital, Inc., 5.63%, due 12/01/25 | 346,000 | ||||||||
630,000 | Santander Holdings USA, Inc., 2.70%, due 05/24/19 | 638,259 | ||||||||
380,000 | Santander UK Group Holdings Plc, 4.75%, due 09/15/25 144A | 381,548 | ||||||||
1,795,000 | Schlumberger Holdings Corp., 3.00%, due 12/21/20‡ 144A | 1,872,797 | ||||||||
295,000 | Scripps Networks Interactive, Inc., 3.95%, due 06/15/25 | 310,042 | ||||||||
280,000 | Select Medical Corp., 6.38%, due 06/01/21‡ | 276,850 | ||||||||
1,220,000 | Sempra Energy, 2.40%, due 03/15/20 | 1,244,010 | ||||||||
275,000 | Service Corp. International/US, 5.38%, due 05/15/24 | 292,875 | ||||||||
2,232,000 | Shell International Finance BV, 1.75%, due 09/12/21 | 2,221,246 | ||||||||
580,000 | Shell International Finance BV, 4.38%, due 05/11/45 | 627,623 |
See accompanying Notes to the Financial Statements. | 61 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
465,000 | Shire Acquisitions Investments Ireland DAC, 1.90%, due 09/23/19 | 465,095 | ||||||||
485,000 | Shire Acquisitions Investments Ireland DAC, 2.88%, due 09/23/23 | 488,098 | ||||||||
1,120,000 | Shire Acquisitions Investments Ireland DAC, 3.20%, due 09/23/26 | 1,127,716 | ||||||||
2,220,000 | Siemens Financieringsmaatschappij NV, 1.70%, due 09/15/21 144A | 2,204,704 | ||||||||
850,000 | Simon Property Group, LP REIT, 6.75%, due 02/01/40 | 1,223,663 | ||||||||
260,000 | Sinclair Television Group, Inc., 5.63%, due 08/01/24 144A | 266,500 | ||||||||
500,000 | Sinopec Group Overseas Development 2015, Ltd., 2.50%, due 04/28/20 144A | 509,225 | ||||||||
215,000 | Sirius XM Radio, Inc., 5.25%, due 08/15/22 144A | 228,169 | ||||||||
205,000 | Sirius XM Radio, Inc., 5.38%, due 04/15/25 144A | 212,175 | ||||||||
290,000 | Sirius XM Radio, Inc., 5.38%, due 07/15/26‡ 144A | 298,700 | ||||||||
210,000 | Sixsigma Networks Mexico SA de CV, 8.25%, due 11/07/21 144A | 206,850 | ||||||||
335,000 | Societe Generale SA, 7.38%¤ † ††††† ‡ 144A | 329,137 | ||||||||
325,000 | Societe Generale SA, 8.00%† ††††† 144A | 327,437 | ||||||||
200,000 | Societe Generale SA, Reg S, 8.25%† ††††† ‡‡‡ | 203,387 | ||||||||
2,823,000 | Southern Co. (The), 3.25%, due 07/01/26 | 2,929,876 | ||||||||
1,260,000 | Southern Co. Gas Capital Corp., 2.45%, due 10/01/23 | 1,269,062 | ||||||||
630,000 | Southern Copper Corp., 5.25%, due 11/08/42‡ | 598,812 | ||||||||
695,000 | Standard Chartered Plc, 2.10%, due 08/19/19¤ 144A | 695,204 | ||||||||
245,000 | State Grid Overseas Investment 2014, Ltd., 2.75%, due 05/07/19 144A | 252,172 | ||||||||
850,000 | State Street Corp., 4.96%, due 03/15/18 | 887,691 | ||||||||
395,000 | State Street Corp., 5.25%† ††††† | 417,712 | ||||||||
18,000 | Stearns Holdings LLC, 9.38%, due 08/15/20 144A | 17,550 | ||||||||
310,000 | Stifel Financial Corp., 4.25%, due 07/18/24 | 314,090 | ||||||||
465,000 | Sumitomo Mitsui Banking Corp., 2.45%, due 01/10/19 | 473,111 | ||||||||
220,000 | Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, due 07/01/21 | 228,800 | ||||||||
922,000 | Sunoco Logistics Partners Operations, LP, 3.45%, due 01/15/23 | 922,901 | ||||||||
225,000 | Sunoco Logistics Partners Operations, LP, 3.90%, due 07/15/26‡ | 229,890 | ||||||||
271,000 | Sunoco Logistics Partners Operations, LP, 4.40%, due 04/01/21 | 291,004 | ||||||||
275,000 | Sunoco, LP/Sunoco Finance Corp., 6.25%, due 04/15/21 144A | 283,937 | ||||||||
260,000 | SUPERVALU, Inc., 7.75%, due 11/15/22‡ | 249,600 | ||||||||
1,085,000 | Svenska Handelsbanken AB, 1.88%, due 09/07/21 | 1,079,850 | ||||||||
440,000 | Synchrony Financial, 3.70%, due 08/04/26 | 437,761 | ||||||||
180,000 | Synovus Financial Corp., 7.88%, due 02/15/19 | 200,025 | ||||||||
190,000 | T-Mobile USA, Inc., 6.13%, due 01/15/22‡ | 202,588 | ||||||||
195,000 | T-Mobile USA, Inc., 6.25%, due 04/01/21‡ | 205,359 | ||||||||
100,000 | Tallgrass Energy Partners, LP/Tallgrass Energy Finance Corp., 5.50%, due 09/15/24¤ 144A | 101,000 | ||||||||
270,000 | Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, due 04/15/21 144A | 280,125 | ||||||||
845,000 | Teachers Insurance & Annuity Association of America, 6.85%, due 12/16/39 144A | 1,151,072 | ||||||||
195,000 | Telecom Italia Capital SA, Guaranteed Senior Note, 7.20%, due 07/18/36 | 208,650 | ||||||||
1,568,000 | Telefonaktiebolaget LM Ericsson, 4.13%, due 05/15/22 | 1,690,351 | ||||||||
260,000 | Telefonos de Mexico SAB de CV, 5.50%, due 11/15/19 | 288,754 | ||||||||
90,000 | Tenet Healthcare Corp., 4.50%, due 04/01/21 | 91,013 | ||||||||
350,000 | Tenet Healthcare Corp., 6.00%, due 10/01/20 | 371,000 | ||||||||
300,000 | Tesoro Logistics, LP/Tesoro Logistics Finance Corp., 6.13%, due 10/15/21 | 313,875 | ||||||||
200,000 | Tesoro Logistics, LP/Tesoro Logistics Finance Corp., 6.38%, due 05/01/24 | 215,500 |
62 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
1,649,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.15%, due 10/01/26‡ | 1,660,162 | ||||||||
40,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.10%, due 10/01/46‡ | 39,981 | ||||||||
220,000 | Thermo Fisher Scientific, Inc., 3.60%, due 08/15/21 | 234,236 | ||||||||
70,000 | Time Warner Cable LLC, 4.13%, due 02/15/21 | 74,372 | ||||||||
740,000 | Time Warner Cable LLC, 5.85%, due 05/01/17 | 758,586 | ||||||||
2,055,000 | Time Warner Cable LLC, 8.25%, due 04/01/19 | 2,367,617 | ||||||||
971,000 | Time Warner Cos., Inc., 7.57%, due 02/01/24 | 1,255,055 | ||||||||
245,000 | Time Warner, Inc., 3.60%, due 07/15/25 | 261,087 | ||||||||
605,000 | Time Warner, Inc., 3.88%, due 01/15/26 | 656,547 | ||||||||
260,000 | Time Warner, Inc., 4.70%, due 01/15/21 | 289,419 | ||||||||
200,000 | Time Warner, Inc., 4.75%, due 03/29/21 | 224,203 | ||||||||
380,000 | Time Warner, Inc., 7.70%, due 05/01/32 | 541,694 | ||||||||
370,000 | Tops Holding LLC/Tops Markets II Corp., 8.00%, due 06/15/22 144A | 334,850 | ||||||||
550,000 | Total System Services, Inc., 4.80%, due 04/01/26 | 610,182 | ||||||||
130,000 | Transocean, Inc., 6.80%, due 12/15/16 | 130,772 | ||||||||
600,000 | Trinity Industries, Inc., 4.55%, due 10/01/24 | 597,676 | ||||||||
310,000 | Tutor Perini Corp., 7.63%, due 11/01/18‡ | 311,744 | ||||||||
3,393,825 | United Airlines 2014-1 Class A Pass Through Trust, 4.00%, due 10/11/27 | 3,644,120 | ||||||||
423,103 | United Airlines 2014-2 Class A Pass Through Trust, 3.75%, due 03/03/28 | 445,845 | ||||||||
190,000 | United Airlines 2016-1 Class A Pass Through Trust, 3.45%, due 01/07/30 | 198,313 | ||||||||
205,000 | United Rentals North America, Inc., 5.50%, due 07/15/25‡ | 209,869 | ||||||||
205,000 | United Rentals North America, Inc., 5.75%, due 11/15/24 | 213,713 | ||||||||
105,000 | United Rentals North America, Inc., 5.88%, due 09/15/26 | 108,675 | ||||||||
665,000 | UnitedHealth Group, Inc., 4.38%, due 03/15/42 | 743,142 | ||||||||
200,000 | Universal Health Services, Inc., 4.75%, due 08/01/22 144A | 207,000 | ||||||||
223,845 | US Airways 2012-1 Class A Pass Through Trust, 5.90%, due 04/01/26 | 257,701 | ||||||||
163,000 | Vale Overseas, Ltd., 6.25%, due 08/10/26 | 170,694 | ||||||||
490,000 | Valero Energy Corp., 3.40%, due 09/15/26 | 487,755 | ||||||||
195,000 | Vector Group, Ltd., 7.75%, due 02/15/21 | 206,642 | ||||||||
430,000 | Ventas Realty, LP REIT, 3.50%, due 02/01/25 | 444,410 | ||||||||
135,000 | Ventas Realty, LP REIT, 3.75%, due 05/01/24 | 142,141 | ||||||||
2,000,000 | Ventas Realty, LP/Ventas Capital Corp. REIT, 2.70%, due 04/01/20 | 2,051,102 | ||||||||
550,000 | VEREIT Operating Partnership, LP REIT, 4.60%, due 02/06/24 | 572,000 | ||||||||
200,000 | VeriSign, Inc., 5.25%, due 04/01/25 | 211,000 | ||||||||
625,000 | Verisk Analytics, Inc., 4.00%, due 06/15/25 | 664,843 | ||||||||
255,000 | Verizon Communications, Inc., 4.40%, due 11/01/34 | 270,659 | ||||||||
1,656,000 | Verizon Communications, Inc., 4.52%, due 09/15/48 | 1,758,510 | ||||||||
310,000 | Verizon Communications, Inc., 4.67%, due 03/15/55 | 327,593 | ||||||||
1,706,000 | Verizon Communications, Inc., 4.86%, due 08/21/46 | 1,918,723 | ||||||||
1,190,000 | Verizon Communications, Inc., 5.01%, due 08/21/54 | 1,319,927 | ||||||||
110,000 | Verizon Communications, Inc., 5.05%, due 03/15/34 | 124,002 | ||||||||
35,000 | Verizon Communications, Inc., 5.15%, due 09/15/23 | 40,833 | ||||||||
820,000 | Viacom, Inc., 4.38%, due 03/15/43 | 755,653 | ||||||||
824,000 | Virginia Electric & Power Co., 3.15%, due 01/15/26 | 872,882 | ||||||||
495,000 | Visa, Inc., 3.15%, due 12/14/25 | 523,496 | ||||||||
360,000 | Visa, Inc., 4.30%, due 12/14/45 | 417,126 | ||||||||
198,000 | Vista Outdoor, Inc., 5.88%, due 10/01/23 144A | 207,900 | ||||||||
330,000 | Voya Financial, Inc., 5.65%, due 05/15/53† | 330,412 |
See accompanying Notes to the Financial Statements. | 63 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
400,000 | Walgreens Boots Alliance, Inc., 1.75%, due 05/30/18 | 402,354 | ||||||||
1,855,000 | WEA Finance LLC/Westfield UK & Europe Finance Plc, 2.70%, due 09/17/19 144A | 1,903,082 | ||||||||
200,000 | WellCare Health Plans, Inc., 5.75%, due 11/15/20 | 206,625 | ||||||||
250,000 | Wells Fargo & Co., 3.45%, due 02/13/23 | 258,017 | ||||||||
90,000 | Wells Fargo & Co., 4.60%, due 04/01/21 | 99,424 | ||||||||
200,000 | Wells Fargo & Co., 4.65%, due 11/04/44 | 210,896 | ||||||||
595,000 | Wells Fargo & Co., 5.88%† ††††† | 646,319 | ||||||||
225,000 | Wells Fargo & Co., 5.90%† ††††† | 233,438 | ||||||||
290,000 | Wells Fargo & Co., Class A, Series K, 7.98%† ††††† | 303,441 | ||||||||
1,100,000 | Welltower, Inc., 4.50%, due 01/15/24 | 1,202,965 | ||||||||
195,000 | Western Digital Corp., 7.38%, due 04/01/23‡ 144A | 214,988 | ||||||||
240,000 | Westlake Chemical Corp., 4.63%, due 02/15/21‡ 144A | 251,400 | ||||||||
170,000 | WestRock RKT Co., 3.50%, due 03/01/20 | 177,659 | ||||||||
1,000,000 | Weyerhaeuser Co., 7.38%, due 10/01/19 | 1,150,430 | ||||||||
575,000 | Whole Foods Market, Inc., 5.20%, due 12/03/25 144A | 625,627 | ||||||||
565,000 | Williams Partners LP/ACMP Finance Corp., 4.88%, due 03/15/24 | 571,730 | ||||||||
230,000 | Williams Partners, LP/ACMP Finance Corp., 4.88%, due 05/15/23 | 232,921 | ||||||||
290,000 | Williams Partners, LP/Williams Partners Finance Corp., 7.25%, due 02/01/17 | 295,326 | ||||||||
200,000 | Wind Acquisition Finance SA, 7.38%, due 04/23/21 144A | 209,500 | ||||||||
80,000 | WM Wrigley Jr Co., 2.40%, due 10/21/18 144A | 81,338 | ||||||||
320,000 | WM Wrigley Jr Co., 2.90%, due 10/21/19 144A | 331,316 | ||||||||
90,000 | WM Wrigley Jr Co., 3.38%, due 10/21/20 144A | 95,356 | ||||||||
355,000 | WMG Acquisition Corp., 6.75%, due 04/15/22‡ 144A | 377,187 | ||||||||
500,000 | Xerox Corp., 2.75%, due 03/15/19 | 502,201 | ||||||||
420,000 | XPO Logistics, Inc., 6.50%, due 06/15/22‡ 144A | 438,900 | ||||||||
210,000 | Zebra Technologies Corp., 7.25%, due 10/15/22‡ | 228,638 | ||||||||
225,000 | ZF North America Capital, Inc., 4.75%, due 04/29/25 144A | 237,094 | ||||||||
200,000 | ZFS Finance USA Trust V, Series V, 6.50%, due 05/09/67† 144A | 202,390 | ||||||||
425,000 | Zimmer Biomet Holdings, Inc., 3.55%, due 04/01/25 | 438,805 | ||||||||
|
| |||||||||
337,328,239 | ||||||||||
|
| |||||||||
Mortgage Backed Securities - Private Issuers — 9.6% | ||||||||||
926,478 | Agate Bay Mortgage Trust, Series 2016-3, Class A5, 3.50%, due 08/25/46† 144A | 962,218 | ||||||||
450,000 | Americold LLC Trust, Series 2010-ARTA, Class D, 7.44%, due 01/14/29 144A | 503,368 | ||||||||
1,179,436 | Banc of America Commercial Mortgage Trust, Series 2007-1, Class A4, 5.45%, due 01/15/49 | 1,184,213 | ||||||||
1,350,000 | Barclays Commercial Mortgage Trust, Series 2016-ETC, Class A, 2.94%, due 08/14/36 144A | 1,395,049 | ||||||||
430,401 | Bear Stearns ALT-A Trust, Series 2004-12, Class 1A3, 1.23%, due 01/25/35† | 423,393 | ||||||||
354,700 | Bear Stearns ARM Trust, Series 2005-2, Class A1, 2.92%, due 03/25/35† | 356,927 | ||||||||
222,115 | Bear Stearns ARM Trust, Series 2005-5, Class A2, 2.46%, due 08/25/35† | 221,804 | ||||||||
135,000 | BXHTL Mortgage Trust, Series 2015-JWRZ, Class GL2, 4.21%, due 05/15/29† 144A | 132,496 | ||||||||
700,000 | CFCRE Commercial Mortgage Trust, Series 2016-C4, Class A3, 3.01%, due 05/10/58 | 727,536 | ||||||||
2,223,000 | Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4, 5.90%, due 12/10/49† | 2,263,640 | ||||||||
1,600,000 | Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class A3, 3.36%, due 07/10/47 | 1,716,082 |
64 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers — continued | ||||||||||
1,500,000 | Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class A4, 2.88%, due 02/10/48 | 1,549,638 | ||||||||
1,200,000 | Citigroup Commercial Mortgage Trust, Series 2015-P1, Class A4, 3.46%, due 09/15/48 | 1,295,120 | ||||||||
1,772,000 | Citigroup Commercial Mortgage Trust, Series 2016-P5, Class A2, 2.43%, due 10/10/49 | 1,825,111 | ||||||||
1,000,000 | Citigroup Commercial Mortgage Trust, Inc., Series 2013-GC17, Class A2, 2.96%, due 11/10/46 | 1,025,692 | ||||||||
27,500,000 | Citigroup Commercial Mortgage Trust, Inc., (IO), Series 2014-GC21, Class XB, 0.49%, due 05/10/47† | 842,317 | ||||||||
2,293,804 | Commercial Mortgage Pass Through Certificates, Series 2007-C9, Class A4, 6.01%, due 12/10/49† | 2,347,553 | ||||||||
460,000 | Commercial Mortgage Pass Through Certificates, Series 2013-CR11, Class B, 5.33%, due 10/10/46† | 529,905 | ||||||||
225,000 | Commercial Mortgage Pass Through Certificates, Series 2013-CR13, Class C, 4.91%, due 12/10/23† | 244,423 | ||||||||
300,000 | Commercial Mortgage Pass Through Certificates, Series 2013-CR8, Class A2, 2.37%, due 06/10/46 | 304,234 | ||||||||
100,000 | Commercial Mortgage Pass Through Certificates, Series 2013-LC6, Class A3, 2.67%, due 01/10/46 | 103,131 | ||||||||
1,000,000 | Commercial Mortgage Pass Through Certificates, Series 2014-CR18, Class A4, 3.55%, due 07/15/47 | 1,077,625 | ||||||||
1,600,000 | Commercial Mortgage Pass Through Certificates, Series 2014-CR20, Class A3, 3.33%, due 11/10/47 | 1,713,183 | ||||||||
425,000 | Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class D, 2.98%, due 07/13/31† 144A | 413,963 | ||||||||
2,150,000 | Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A2, 2.82%, due 03/10/47 | 2,200,107 | ||||||||
1,200,000 | Commercial Mortgage Pass Through Certificates, Series 2015-CR25, Class A3, 3.51%, due 08/10/48 | 1,298,071 | ||||||||
180,000 | Commercial Mortgage Pass Through Certificates, Series 2015-CR27, Class B, 4.51%, due 10/10/48† | 195,243 | ||||||||
53,000,000 | Commercial Mortgage Pass Through Certificates, (IO), Series 2014-CR17, Class XB, 0.28%, due 05/10/47† 144A | 823,859 | ||||||||
105,000 | Core Industrial Trust, Series 2015-CALW, Class F, 3.98%, due 02/10/34† 144A | 104,768 | ||||||||
884,358 | Credit Suisse Commercial Mortgage Trust, Series 2007-C1, Class A3, 5.38%, due 02/15/40 | 885,993 | ||||||||
1,178,581 | Credit Suisse Commercial Mortgage Trust, Series 2007-C3, Class A4, 5.88%, due 06/15/39† | 1,191,086 | ||||||||
475,000 | Credit Suisse First Boston Mortgage Securities Corp., Series 2006-OMA, Class B2, 5.54%, due 05/15/23¤ 144A | 524,196 | ||||||||
115,000 | DBJPM 16-C3 Mortgage Trust, Series 2016-C3, Class C, 3.64%, due 09/10/49† | 112,541 | ||||||||
267,426 | Fremont Home Loan Trust, Series 2004-B, Class M1, 1.40%, due 05/25/34† | 248,812 | ||||||||
40,000 | GAHR Commercial Mortgage Trust, Series 2015-NRF, Class DFX, 3.49%, due 12/15/34† 144A | 40,257 | ||||||||
3,186,454 | Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.44%, due 03/10/39 | 3,191,240 | ||||||||
3,861,312 | Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.74%, due 12/10/49 | 3,964,072 | ||||||||
1,800,000 | GS Mortgage Securities Corp. II, Series 2013-GC12, Class A3, 2.86%, due 06/10/46 | 1,876,168 |
See accompanying Notes to the Financial Statements. | 65 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers — continued | ||||||||||
155,000 | GS Mortgage Securities Corp. Trust, Series 2014-NEW, Class C, 3.79%, due 01/10/31¤ 144A | 157,244 | ||||||||
475,000 | GS Mortgage Securities Corp. Trust, Series 2016-ICE2, Class D, 6.27%, due 02/15/33† 144A | 478,800 | ||||||||
900,000 | GS Mortgage Securities Trust, Series 2015-GC28, Class A4, 3.14%, due 02/10/48 | 947,064 | ||||||||
430,000 | Hilton USA Trust, Series 2013-HLT, Class DFX, 4.41%, due 11/05/30 144A | 430,721 | ||||||||
415,000 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C19, Class C, 4.83%, due 04/15/47† | 436,561 | ||||||||
700,000 | JPMDB Commercial Mortgage Securities Trust, Series 2016-C2, Class A3A, 2.88%, due 06/15/49 | 724,912 | ||||||||
81,424 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP9, Class A3, 5.34%, due 05/15/47¤ | 81,441 | ||||||||
3,265,994 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 5.94%, due 06/15/49† | 3,311,393 | ||||||||
1,725,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-C19, Class A3, 3.67%, due 04/15/47 | 1,845,379 | ||||||||
1,331,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class A4, 4.72%, due 02/15/46 144A | 1,465,443 | ||||||||
500,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C13, Class A3, 3.53%, due 01/15/46 | 526,616 | ||||||||
1,500,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4, 2.69%, due 04/15/46 | 1,546,702 | ||||||||
516,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-FL5, Class C, 2.62%, due 07/15/31† 144A | 508,478 | ||||||||
400,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-INN, Class F, 4.52%, due 06/15/29† 144A | 386,000 | ||||||||
18,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-PHH, Class C, 2.62%, due 08/15/27† 144A | 17,945 | ||||||||
455,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-MAR7, Class C, 4.49%, due 06/05/32 144A | 461,096 | ||||||||
51,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-SGP, Class B, 3.27%, due 07/15/36¤ † 144A | 51,212 | ||||||||
177,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class C, 3.48%, due 08/15/49† | 170,203 | ||||||||
1,646,860 | JPMorgan Mortgage Trust, Series 2016-1, Class A5, 3.50%, due 05/25/46 144A | 1,692,860 | ||||||||
1,627,169 | LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A1A, 5.39%, due 02/15/40 | 1,643,326 | ||||||||
798,800 | LSTAR Securities Investment Trust, Series 2015-3, Class A, 2.53%, due 03/01/20† 144A | 790,274 | ||||||||
277,067 | LSTAR Securities Investment Trust, Series 2015-4, Class A1, 2.49%, due 04/01/20† 144A | 273,604 | ||||||||
339,754 | LSTAR Securities Investment Trust, Series 2015-5, Class A1, 2.52%, due 04/01/20† 144A | 334,658 | ||||||||
1,089,671 | LSTAR Securities Investment Trust, Series 2015-6, Class A, 2.53%, due 05/01/20† 144A | 1,069,239 | ||||||||
373,096 | LSTAR Securities Investment Trust, Series 2015-8, Class A1, 2.52%, due 08/01/20† 144A | 371,775 |
66 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers — continued | ||||||||||
521,579 | LSTAR Securities Investment Trust, Series 2015-9, Class A1, 2.52%, due 10/01/20† 144A | 518,615 | ||||||||
202,755 | LSTAR Securities Investment Trust, Series 2015-10, Class A1, 2.49%, due 11/01/20† 144A | 199,207 | ||||||||
600,000 | LSTAR Securities Investment, Ltd., Series 2016-3, Class A, 2.53%, due 09/01/21† 144A | 591,180 | ||||||||
167,661 | MASTR Alternative Loan Trust, Series 2005-2, Class 4A3, 0.93%, due 03/25/35† | 160,459 | ||||||||
262,166 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4, 5.70%, due 09/12/49 | 270,237 | ||||||||
100,000 | �� | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7, Class A4, 2.92%, due 02/15/46 | 104,990 | |||||||
3,448,212 | Morgan Stanley Capital I Trust, Series 2007-IQ14, Class A4, 5.69%, due 04/15/49† | 3,486,210 | ||||||||
765,000 | Morgan Stanley Capital I Trust, Series 2014-150E, Class D, 4.44%, due 09/09/32† 144A | 789,252 | ||||||||
100,000 | Morgan Stanley Capital I Trust, Series 2015-XLF1, Class C, 2.73%, due 08/14/31† 144A | 99,614 | ||||||||
1,600,000 | Morgan Stanley Capital I Trust, Series 2016-UB11, Class A3, 2.53%, due 08/15/49 | 1,605,126 | ||||||||
217,612 | Morgan Stanley Capital I, Inc., Series 2007-HQ11, Class A4, 5.45%, due 02/12/44† | 217,956 | ||||||||
986,000 | Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.99%, due 08/12/45† 144A | 998,206 | ||||||||
1,264,000 | Morgan Stanley Re-REMIC Trust, Series 2010-GG10, Class A4B, 5.99%, due 08/15/45† 144A | 1,281,701 | ||||||||
165,608 | Provident Funding Mortgage Loan Trust, Series 2005-1, Class 2A1, 2.84%, due 05/25/35† | 160,528 | ||||||||
2,752,747 | Small Business Administration Participation Certificates, Series 2013-20L, Class 1, 3.38%, due 12/01/33 | 2,937,300 | ||||||||
655,000 | Structured Agency Credit Risk, Series 2016-DNA3, Class M2, 2.53%, due 12/25/28† | 666,311 | ||||||||
1,867,000 | UBS-Citigroup Commercial Mortgage Trust, Series 2011-C1, Class A3, 3.60%, due 01/10/45 | 1,995,006 | ||||||||
390,000 | VNDO Mortgage Trust, Series 2013-PENN, Class D, 4.08%, due 12/13/29† 144A | 402,060 | ||||||||
3,106,524 | Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A3, 5.68%, due 05/15/46 | 3,163,639 | ||||||||
34,759 | WaMu Mortgage Pass Through Certificates, Series 2003-AR9, Class 1A7, 2.78%, due 09/25/33† | 35,269 | ||||||||
150,000 | Wells Fargo Commercial Mortgage Trust, Series 2015-LC22, Class B, 4.69%, due 09/15/58† | 170,306 | ||||||||
1,500,000 | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class A3, 3.35%, due 09/15/57 | 1,594,872 | ||||||||
1,500,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-BNK1, Class A2, 2.40%, due 08/15/49 | 1,499,148 | ||||||||
3,000,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6, Class A3, 2.64%, due 11/15/49†††† | 3,025,078 | ||||||||
1,312,000 | WFRBS Commercial Mortgage Trust, Series 2013-C12, Class A4, 3.20%, due 03/15/48 | 1,394,668 | ||||||||
|
| |||||||||
86,904,918 | ||||||||||
|
| |||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — 26.0% |
| |||||||||
802,043 | FHLMC, Pool # J26100, 3.00%, due 10/01/28 | 846,577 | ||||||||
710,521 | FHLMC, Pool # V60565, 3.00%, due 06/01/29 | 750,115 |
See accompanying Notes to the Financial Statements. | 67 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — continued |
| |||||||||
1,480,045 | FHLMC, Pool # V60603, 3.00%, due 09/01/29 | 1,561,369 | ||||||||
1,590,020 | FHLMC, Pool # V60599, 3.00%, due 09/01/29 | 1,678,381 | ||||||||
3,492,824 | FHLMC, Pool # G60039, 3.00%, due 04/01/43 | 3,649,731 | ||||||||
334,706 | FHLMC, Pool # J16432, 3.50%, due 08/01/26 | 356,839 | ||||||||
341,183 | FHLMC, Pool # J17763, 3.50%, due 01/01/27 | 363,799 | ||||||||
381,342 | FHLMC, Pool # Q11218, 3.50%, due 09/01/42 | 404,010 | ||||||||
746,705 | FHLMC, Pool # Q12052, 3.50%, due 10/01/42 | 790,487 | ||||||||
1,411,464 | FHLMC, Pool # Q12862, 3.50%, due 11/01/42 | 1,508,578 | ||||||||
660,360 | FHLMC, Pool # Q17792, 3.50%, due 05/01/43 | 705,801 | ||||||||
2,664,351 | FHLMC, Pool # G60059, 3.50%, due 02/01/44 | 2,821,633 | ||||||||
2,938,785 | FHLMC, Pool # G08615, 3.50%, due 11/01/44 | 3,100,916 | ||||||||
1,251,588 | FHLMC, Pool # V82084, 3.50%, due 12/01/45 | 1,322,061 | ||||||||
2,278,914 | FHLMC, Pool # V82515, 3.50%, due 06/01/46 | 2,422,971 | ||||||||
2,890,715 | FHLMC, Pool # Q41917, 3.50%, due 07/01/46†††† | 3,074,339 | ||||||||
2,877,546 | FHLMC, Pool # Q41918, 3.50%, due 07/01/46†††† | 3,060,182 | ||||||||
723,900 | FHLMC, Pool # G14919, 4.00%, due 06/01/26 | 768,016 | ||||||||
529,479 | FHLMC, Pool # G14678, 4.00%, due 12/01/26 | 562,789 | ||||||||
577,751 | FHLMC, Pool # G30700, 4.00%, due 04/01/34 | 625,487 | ||||||||
1,229,955 | FHLMC, Pool # A93231, 4.00%, due 08/01/40 | 1,324,966 | ||||||||
962,842 | FHLMC, Pool # G06231, 4.00%, due 12/01/40 | 1,037,487 | ||||||||
680,896 | FHLMC, Pool # A96970, 4.00%, due 02/01/41 | 733,522 | ||||||||
2,179,704 | FHLMC, Pool # Q04020, 4.00%, due 10/01/41 | 2,349,455 | ||||||||
2,045,934 | FHLMC, Pool # Q36815, 4.00%, due 10/01/45 | 2,199,042 | ||||||||
1,337,121 | FHLMC, Pool # G08672, 4.00%, due 10/01/45 | 1,434,778 | ||||||||
1,043,749 | FHLMC, Pool # A89870, 4.50%, due 11/01/39 | 1,145,469 | ||||||||
1,216,189 | FHLMC, Pool # Q02552, 4.50%, due 08/01/41 | 1,336,794 | ||||||||
173,909 | FHLMC, Pool # G07515, 4.50%, due 09/01/41 | 190,535 | ||||||||
748,737 | FHLMC, Pool # G08568, 4.50%, due 01/01/44 | 819,818 | ||||||||
1,010,685 | FHLMC, Pool # G07021, 5.00%, due 09/01/39 | 1,119,720 | ||||||||
3,163,583 | FHLMC, Pool # G60564, 5.00%, due 02/01/42 | 3,504,878 | ||||||||
292,583 | FHLMC, Pool # G01749, 5.50%, due 01/01/35 | 333,253 | ||||||||
278,610 | FHLMC, Pool # G06875, 5.50%, due 12/01/38 | 316,836 | ||||||||
516,503 | FHLMC, Pool # G06409, 6.00%, due 11/01/39 | 592,998 | ||||||||
1,000,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K033, Class A2, 3.06%, due 07/25/23† | 1,078,878 | ||||||||
2,100,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K044, Class A2, 2.81%, due 01/25/25 | 2,235,249 | ||||||||
1,000,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K053, Class A2, 3.00%, due 12/25/25 | 1,077,149 | ||||||||
600,000 | FHLMC Multifamily Structured Pass Through Certificates, Series KS03, Class A4, 3.16%, due 05/25/25† | 646,817 | ||||||||
35,222,645 | FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K006, Class AX1, 1.16%, due 01/25/20† | 955,203 | ||||||||
25,886,311 | FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K007, Class X1, 1.31%, due 04/25/20† | 733,061 | ||||||||
27,841,599 | FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K025, Class X1, 1.01%, due 10/25/22† | 1,223,285 | ||||||||
168,102 | FHLMC Reference REMIC, Series R007, Class ZA, 6.00%, due 05/15/36 | 190,994 |
68 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — continued |
| |||||||||
1,340,013 | FHLMC Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1, 1.43%, due 10/25/27† | 1,341,872 | ||||||||
250,000 | FHLMC Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M2, 2.38%, due 10/25/27† | 254,424 | ||||||||
183,187 | FHLMC Structured Agency Credit Risk Debt Notes, Series 2015-DNA2, Class M1, 1.68%, due 12/25/27† | 183,311 | ||||||||
166,233 | FHLMC Structured Agency Credit Risk Debt Notes, Series 2015-DNA3, Class M1, 1.88%, due 04/25/28† | 166,604 | ||||||||
147,253 | FHLMC Structured Agency Credit Risk Debt Notes, Series 2015-HQA1, Class M1, 1.78%, due 03/25/28† | 147,463 | ||||||||
764,256 | FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M1, 1.98%, due 07/25/28† | 768,333 | ||||||||
250,000 | FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-HQA2, Class M2, 2.78%, due 11/25/28† | 256,484 | ||||||||
2,000,000 | FHLMC TBA, 2.50%, due 04/01/28 | 2,068,281 | ||||||||
4,000,000 | FHLMC TBA, 3.00%, due 10/01/43 | 4,151,064 | ||||||||
3,000,000 | FHLMC TBA, 3.50%, due 09/01/43 | 3,162,637 | ||||||||
1,500,000 | FHLMC TBA, 4.00%, due 07/01/42 | 1,607,880 | ||||||||
401,433 | FNMA, Pool # AS7693, 2.00%, due 08/01/31 | 407,211 | ||||||||
757,897 | FNMA, Pool # AO7971, 2.50%, due 06/01/27 | 785,975 | ||||||||
1,571,075 | FNMA, Pool # AB7505, 3.00%, due 01/01/43 | 1,637,244 | ||||||||
1,194,026 | FNMA, Pool # AR2001, 3.00%, due 02/01/43 | 1,248,801 | ||||||||
1,193,510 | FNMA, Pool # AT0232, 3.00%, due 03/01/43 | 1,243,844 | ||||||||
2,215,063 | FNMA, Pool # AB9659, 3.00%, due 06/01/43 | 2,320,106 | ||||||||
1,653,440 | FNMA, Pool # AU1292, 3.00%, due 07/01/43 | 1,722,996 | ||||||||
60,201 | FNMA, Pool # AX6719, 3.00%, due 12/01/44 | 62,645 | ||||||||
189,983 | FNMA, Pool # AY7121, 3.00%, due 04/01/45 | 197,694 | ||||||||
974,608 | FNMA, Pool # AZ0611, 3.00%, due 04/01/45 | 1,014,162 | ||||||||
729,964 | FNMA, Pool # AX3719, 3.50%, due 07/01/27 | 772,711 | ||||||||
1,311,359 | FNMA, Pool # MA2164, 3.50%, due 02/01/35 | 1,395,455 | ||||||||
1,425,614 | FNMA, Pool # AJ9278, 3.50%, due 12/01/41 | 1,511,193 | ||||||||
4,611,592 | FNMA, Pool # AO4134, 3.50%, due 06/01/42 | 4,907,540 | ||||||||
2,199,831 | FNMA, Pool # AL1895, 3.50%, due 06/01/42 | 2,347,733 | ||||||||
1,216,157 | FNMA, Pool # AP2422, 3.50%, due 08/01/42 | 1,288,352 | ||||||||
2,583,828 | FNMA, Pool # AB6022, 3.50%, due 08/01/42 | 2,736,322 | ||||||||
1,829,766 | FNMA, Pool # AB6802, 3.50%, due 11/01/42 | 1,947,648 | ||||||||
1,156,995 | FNMA, Pool # AL3000, 3.50%, due 12/01/42 | 1,225,746 | ||||||||
1,536,283 | FNMA, Pool # AL3316, 3.50%, due 03/01/43 | 1,638,872 | ||||||||
2,656,003 | FNMA, Pool # AL3873, 3.50%, due 07/01/43 | 2,831,695 | ||||||||
2,055,320 | FNMA, Pool # AX2532, 3.50%, due 11/01/44 | 2,194,755 | ||||||||
1,483,096 | FNMA, Pool # AY5617, 3.50%, due 06/01/45 | 1,569,950 | ||||||||
5,147,450 | FNMA, Pool # AL7594, 3.50%, due 08/01/45 | 5,499,868 | ||||||||
7,000,000 | FNMA, Pool # AZ4775, 3.50%, due 10/01/45 | 7,386,548 | ||||||||
473,446 | FNMA, Pool # AZ3743, 3.50%, due 11/01/45 | 499,778 | ||||||||
994,065 | FNMA, Pool # AS6452, 3.50%, due 01/01/46 | 1,049,036 | ||||||||
1,591,248 | FNMA, Pool # AS7594, 3.50%, due 07/01/46 | 1,690,636 | ||||||||
965,561 | FNMA, Pool # AL7359, 4.00%, due 05/01/29 | 1,030,719 | ||||||||
1,734,134 | FNMA, Pool # MA1689, 4.00%, due 12/01/33 | 1,879,638 |
See accompanying Notes to the Financial Statements. | 69 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — continued |
| |||||||||
1,965,982 | FNMA, Pool # 725331, 4.00%, due 01/01/34 | 2,130,594 | ||||||||
735,569 | FNMA, Pool # MA2019, 4.00%, due 09/01/34 | 797,927 | ||||||||
2,221,693 | FNMA, Pool # AL6663, 4.00%, due 03/01/39 | 2,395,573 | ||||||||
1,976,868 | FNMA, Pool # AE0113, 4.00%, due 07/01/40 | 2,124,684 | ||||||||
894,683 | FNMA, Pool # 932807, 4.00%, due 09/01/40 | 961,805 | ||||||||
497,004 | FNMA, Pool # AE7685, 4.00%, due 10/01/40 | 535,535 | ||||||||
2,045,979 | FNMA, Pool # AH4404, 4.00%, due 01/01/41 | 2,204,642 | ||||||||
835,278 | FNMA, Pool # AJ9317, 4.00%, due 01/01/42 | 901,304 | ||||||||
310,989 | FNMA, Pool # AO4109, 4.00%, due 06/01/42 | 334,765 | ||||||||
8,230,897 | FNMA, Pool # AL2598, 4.00%, due 10/01/42 | 8,852,245 | ||||||||
409,469 | FNMA, Pool # AB9383, 4.00%, due 05/01/43 | 446,159 | ||||||||
4,365,725 | FNMA, Pool # AS2703, 4.00%, due 06/01/44 | 4,730,293 | ||||||||
1,756,644 | FNMA, Pool # AL8191, 4.00%, due 12/01/45 | 1,922,862 | ||||||||
1,292,530 | FNMA, Pool # BC2494, 4.00%, due 03/01/46 | 1,415,617 | ||||||||
1,749,351 | FNMA, Pool # MA2653, 4.00%, due 06/01/46†††† | 1,885,407 | ||||||||
1,071,204 | FNMA, Pool # 995243, 4.50%, due 08/01/38 | 1,173,912 | ||||||||
1,007,561 | FNMA, Pool # AD9153, 4.50%, due 08/01/40 | 1,104,907 | ||||||||
1,429,844 | FNMA, Pool # AL0215, 4.50%, due 04/01/41* | 1,573,080 | ||||||||
1,912,266 | FNMA, Pool # AL6301, 4.50%, due 06/01/42 | 2,104,400 | ||||||||
4,006,722 | FNMA, Pool # AS3881, 4.50%, due 11/01/44 | 4,390,891 | ||||||||
2,679,657 | FNMA, Pool # 254903, 5.00%, due 10/01/33 | 2,990,842 | ||||||||
1,087,301 | FNMA, Pool # 725027, 5.00%, due 11/01/33 | 1,222,224 | ||||||||
975,198 | FNMA, Pool # 889834, 5.00%, due 12/01/35 | 1,103,032 | ||||||||
893,337 | FNMA, Pool # 745148, 5.00%, due 01/01/36 | 994,798 | ||||||||
700,135 | FNMA, Pool # 995245, 5.00%, due 01/01/39 | 777,349 | ||||||||
990,760 | FNMA, Pool # AI1971, 5.00%, due 05/01/41 | 1,104,203 | ||||||||
313,008 | FNMA, Pool # AI1892, 5.00%, due 05/01/41 | 354,464 | ||||||||
2,310,217 | FNMA, Pool # AL0761, 5.00%, due 09/01/41 | 2,577,335 | ||||||||
783,080 | FNMA, Pool # AL5955, 5.00%, due 01/01/42 | 872,317 | ||||||||
996,525 | FNMA, Pool # AL6839, 5.00%, due 04/01/42 | 1,112,082 | ||||||||
636,710 | FNMA, Pool # AL5788, 5.00%, due 05/01/42 | 709,822 | ||||||||
6,836 | FNMA, Pool # 254548, 5.50%, due 12/01/32 | 7,773 | ||||||||
588,611 | FNMA, Pool # 704235, 5.50%, due 05/01/33 | 662,957 | ||||||||
84,577 | FNMA, Pool # 990906, 5.50%, due 10/01/35 | 96,094 | ||||||||
449,454 | FNMA, Pool # 849077, 5.50%, due 01/01/36 | 508,288 | ||||||||
910,833 | FNMA, Pool # 983471, 5.50%, due 05/01/38 | 1,025,878 | ||||||||
969,623 | FNMA, Pool # 985184, 5.50%, due 08/01/38 | 1,096,355 | ||||||||
560,510 | FNMA, Pool # AX1916, 5.50%, due 12/01/41 | 650,920 | ||||||||
553,139 | FNMA, Pool # AE0469, 6.00%, due 12/01/39 | 635,275 | ||||||||
1,333,878 | FNMA, Series 2011-59, Class NZ, 5.50%, due 07/25/41 | 1,564,119 | ||||||||
81,874 | FNMA, Series 2012-28, Class B, 6.50%, due 06/25/39 | 91,170 | ||||||||
519,363 | FNMA Connecticut Avenue Securities, Series 2014-C04, Class 1M1, 2.48%, due 11/25/24† | 522,217 | ||||||||
71,036 | FNMA Connecticut Avenue Securities, Series 2015-C01, Class 1M1, 2.03%, due 02/25/25† | 71,133 | ||||||||
416,208 | FNMA Connecticut Avenue Securities, Series 2015-C02, Class 1M1, 1.68%, due 05/25/25† | 416,788 | ||||||||
308,825 | FNMA Connecticut Avenue Securities, Series 2016-C02, Class 1M1, 2.68%, due 09/25/28† | 313,317 |
70 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — continued |
| |||||||||
436,323 | FNMA Connecticut Avenue Securities, Series 2016-C03, Class 2M1, 2.73%, due 10/25/28† | 442,527 | ||||||||
366,539 | FNMA Connecticut Avenue Securities, Series 2016-C04, Class 1M1, 1.98%, due 01/25/29† | 368,903 | ||||||||
4,500,000 | FNMA TBA, 2.50%, due 11/01/28 | 4,656,657 | ||||||||
1,500,000 | FNMA TBA, 2.50%, due 05/01/43 | 1,513,271 | ||||||||
4,000,000 | FNMA TBA, 3.00%, due 12/01/43 | 4,157,656 | ||||||||
4,000,000 | FNMA TBA, 4.00%, due 11/01/42 | 4,292,501 | ||||||||
500,000 | FNMA TBA, 4.50%, due 07/01/40 | 547,644 | ||||||||
1,200,000 | FNMA-ACES, Series 2014-M4, Class A2, 3.35%, due 03/25/24† | 1,306,619 | ||||||||
900,000 | FNMA-ACES, Series 2014-M4, Class AB2, 3.21%, due 03/25/24 | 964,416 | ||||||||
1,700,000 | FNMA-ACES, Series 2015-M10, Class A2, 3.09%, due 04/25/27† | 1,842,957 | ||||||||
1,300,000 | FNMA-ACES, Series 2015-M8, Class AB2, 2.83%, due 01/25/25 | 1,373,937 | ||||||||
500,000 | FNMA-ACES, Series 2016-M7, Class AB2, 2.38%, due 09/25/26 | 498,802 | ||||||||
1,064,673 | GNMA, Pool # MA0851, 3.00%, due 03/20/43†††† | 1,121,159 | ||||||||
181,367 | GNMA, Pool # MA1156, 3.00%, due 07/20/43†††† | 190,931 | ||||||||
248,820 | GNMA, Pool # MA1599, 3.00%, due 01/20/44†††† | 261,898 | ||||||||
1,496,330 | GNMA, Pool # MA3873, 3.00%, due 08/20/46 | 1,570,071 | ||||||||
1,494,022 | GNMA, Pool # MA2754, 3.50%, due 04/20/45 | 1,587,635 | ||||||||
731,799 | GNMA, Pool # 004833, 4.00%, due 10/20/40 | 787,726 | ||||||||
618,062 | GNMA, Pool # 004977, 4.00%, due 03/20/41 | 666,575 | ||||||||
639,093 | GNMA, Pool # 004636, 4.50%, due 02/20/40 | 699,883 | ||||||||
119,274 | GNMA, Pool # 004678, 4.50%, due 04/20/40 | 130,627 | ||||||||
1,678,141 | GNMA, Pool # 004978, 4.50%, due 03/20/41 | 1,839,097 | ||||||||
2,672,412 | GNMA, Pool # 005055, 4.50%, due 05/20/41 | 2,928,739 | ||||||||
360,198 | GNMA, Pool # 005334, 5.00%, due 03/20/42 | 404,622 | ||||||||
3,500,000 | GNMA TBA, 3.00%, due 08/01/44 | 3,659,619 | ||||||||
6,500,000 | GNMA TBA, 3.50%, due 06/01/44 | 6,902,461 | ||||||||
500,000 | GNMA TBA, 4.00%, due 09/01/43 | 535,801 | ||||||||
|
| |||||||||
235,827,582 | ||||||||||
|
| |||||||||
Municipal Obligations — 1.1% | ||||||||||
300,000 | California Bay Area Toll Authority, 6.26%, due 04/01/49 | 459,228 | ||||||||
290,000 | City of Houston General Obligation, 6.29%, due 03/01/32 | 367,967 | ||||||||
90,000 | District of Columbia Water & Sewer Authority, 4.81%, due 10/01/14# | 103,956 | ||||||||
490,000 | District of Columbia Water & Sewer Authority, 5.52%, due 10/01/44 | 652,224 | ||||||||
900,000 | Energy Northwest, 2.80%, due 07/01/21 | 941,112 | ||||||||
1,150,000 | New Jersey Economic Development Authority, 2.27%, due 02/15/19‡‡ | 1,090,718 | ||||||||
2,049,000 | New Jersey Economic Development Authority, 2.41%, due 02/15/20‡‡ | 1,893,235 | ||||||||
1,350,000 | State Board of Administration Finance Corp., 2.64%, due 07/01/21 | 1,403,460 | ||||||||
1,200,000 | State of California General Obligation, 7.50%, due 04/01/34 | 1,819,476 | ||||||||
1,000,000 | State of California General Obligation, 7.55%, due 04/01/39 | 1,602,410 | ||||||||
|
| |||||||||
10,333,786 | ||||||||||
|
| |||||||||
Sovereign Debt Obligations — 0.9% | ||||||||||
275,000 | Argentine Republic Government International Bond, 7.50%, due 04/22/26 144A | 310,887 | ||||||||
400,000 | Belgium Government International Bond, Reg S, 1.13%, due 08/03/19‡‡‡ | 400,113 |
See accompanying Notes to the Financial Statements. | 71 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Sovereign Debt Obligations — continued | ||||||||||
350,000 | Colombia Government International Bond, 4.38%, due 07/12/21 | 379,925 | ||||||||
1,385,000 | Hashemite Kingdom of Jordan Government AID Bond, 2.58%, due 06/30/22 | 1,472,934 | ||||||||
800,000 | Hashemite Kingdom of Jordan Government AID Bond, 3.00%, due 06/30/25 | 867,030 | ||||||||
812,000 | Hungary Government International Bond, 5.75%, due 11/22/23 | 957,865 | ||||||||
200,000 | Hungary Government International Bond, 7.63%, due 03/29/41‡ | 314,286 | ||||||||
720,000 | Indonesia Government International Bond, 5.88%, due 01/15/24 144A | 850,872 | ||||||||
200,000 | Japan Bank for International Corp., 1.50%, due 07/21/21 | 198,723 | ||||||||
200,000 | Japan Finance Organization for Municipalities, 2.13%, due 04/13/21 144A | 202,101 | ||||||||
200,000 | Panama Government International Bond, 3.75%, due 03/16/25 | 216,250 | ||||||||
200,000 | Panama Government International Bond, 4.00%, due 09/22/24 | 219,750 | ||||||||
200,000 | Province of Alberta Canada, 2.05%, due 08/17/26 144A | 197,169 | ||||||||
300,000 | Provincia de Buenos Aires, 7.88%, due 06/15/27¤ 144A | 321,000 | ||||||||
150,000 | Romanian Government International Bond, Reg S, 6.13%, due 01/22/44‡‡‡ | 203,043 | ||||||||
200,000 | Tunisia Government AID Bonds, 1.42%, due 08/05/21 | 201,931 | ||||||||
400,000 | Turkey Government International Bond, 7.00%, due 06/05/20 | 443,380 | ||||||||
200,000 | Ukraine Government AID Bonds, 1.47%, due 09/29/21 | 201,960 | ||||||||
|
| |||||||||
7,959,219 | ||||||||||
|
| |||||||||
U.S. Government and Agency Obligations — 11.4% | ||||||||||
2,300,000 | FNMA, 1.36%, due 10/09/19‡‡ | 2,208,715 | ||||||||
400,000 | Resolution Funding Corp. STRIPS, (PO), 2.84%, due 01/15/30‡‡ | 289,370 | ||||||||
140,000 | Resolution Funding Corp. STRIPS, (PO), 2.85%, due 04/15/30‡‡ | 100,573 | ||||||||
85,000 | Tennessee Valley Authority, 7.13%, due 05/01/30 | 131,000 | ||||||||
6,910,000 | U.S. Treasury Bond, 2.50%, due 05/15/46 | 7,152,120 | ||||||||
10,876,000 | U.S. Treasury Bond, 3.00%, due 05/15/45 | 12,403,099 | ||||||||
3,880,000 | U.S. Treasury Bond, 3.38%, due 05/15/44 | 4,735,039 | ||||||||
1,789,000 | U.S. Treasury Bond, 3.63%, due 08/15/43 | 2,278,250 | ||||||||
5,538,000 | U.S. Treasury Bond, 4.50%, due 02/15/36 | 7,796,358 | ||||||||
792,020 | U.S. Treasury Inflation Indexed Note, 0.13%, due 04/15/21 | 809,074 | ||||||||
2,562,446 | U.S. Treasury Inflation Indexed Note, 0.38%, due 07/15/25 | 2,647,803 | ||||||||
3,930,000 | U.S. Treasury Note, 0.75%, due 07/15/19 | 3,917,719 | ||||||||
8,210,000 | U.S. Treasury Note, 0.75%, due 08/15/19 | 8,182,258 | ||||||||
4,829,000 | U.S. Treasury Note, 0.88%, due 12/31/16 | 4,836,229 | ||||||||
2,280,000 | U.S. Treasury Note, 0.88%, due 04/15/19 | 2,281,781 | ||||||||
18,775,000 | U.S. Treasury Note, 0.88%, due 06/15/19 | 18,782,341 | ||||||||
13,307,000 | U.S. Treasury Note, 1.25%, due 03/31/21 | 13,378,738 | ||||||||
6,718,000 | U.S. Treasury Note, 1.50%, due 08/15/26 | 6,652,923 | ||||||||
4,615,000 | U.S. Treasury Note, 1.63%, due 07/31/19 | 4,711,989 | ||||||||
75,000 | U.S. Treasury Note, 1.63%, due 02/15/26 | 75,145 | ||||||||
|
| |||||||||
103,370,524 | ||||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $877,399,643) | 890,585,586 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 7.7% | ||||||||||
Bank Deposit — 5.5% | ||||||||||
49,802,736 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/03/16 | 49,802,736 | ||||||||
|
| |||||||||
TOTAL BANK DEPOSITS (COST $49,802,736) | 49,802,736 | |||||||||
|
|
72 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Securities Lending Collateral — 1.2% | ||||||||||
10,823,428 | State Street Institutional U.S. Government Money Market Fund, Premier Class*** | 10,823,428 | ||||||||
|
| |||||||||
TOTAL SECURITIES LENDING COLLATERAL (COST $10,823,428) | 10,823,428 | |||||||||
|
| |||||||||
U.S. Government and Agency Obligations — 1.0% | ||||||||||
9,146,000 | United States Treasury Bill, 0.11%, due 10/20/16‡‡ | 9,145,470 | ||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (COST $9,144,826) | 9,145,470 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $69,770,990) | 69,771,634 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS BEFORE TBA COMMITMENTS — 105.9% (Cost $947,170,633) | 960,357,220 | |||||||||
|
| |||||||||
TBA SALE COMMITMENTS — (0.2)% | ||||||||||
(1,500,000 | ) | FNMA TBA, 3.00%, due 12/01/43 | (1,555,565 | ) | ||||||
|
| |||||||||
TOTAL TBA SALE COMMITMENTS (PROCEEDS $1,556,660) | (1,555,565 | ) | ||||||||
|
| |||||||||
TOTAL INVESTMENTS NET OF TBA SALE COMMITMENTS — 105.7% (Cost $945,613,973) | 958,801,655 | |||||||||
Other Assets and Liabilities (net) — (5.7)% | (51,656,956 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 907,144,699 | ||||||||
|
|
See accompanying Notes to the Financial Statements. | 73 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Notes to Schedule of Investments: | ||||||||||
ACES — Alternative Credit Enhancement Securities | ||||||||||
CLO — Collateralized Loan Obligation | ||||||||||
FHLMC — Federal Home Loan Mortgage Corporation | ||||||||||
FNMA — Federal National Mortgage Association | ||||||||||
GNMA — Government National Mortgage Association | ||||||||||
IO — Interest Only | ||||||||||
MTN — Medium Term Note | ||||||||||
PO — Principal Only | ||||||||||
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. | |||||||||
*** | 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 $572 which represents 0.0% of net assets. The aggregate tax cost of these securities held at September 30, 2016 was $1,565,555. | |||||||||
¤ | Illiquid security. The total market value of the securities at period end is $12,838,034 which represents 1.4% of net assets. The aggregate tax cost of these securities held at September 30, 2016 was $12,651,577. | |||||||||
† | Floating rate note. Rate shown is as of September 30, 2016. | |||||||||
†† | 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 $158,212,559 which represents 17.4% of net assets. |
74 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2016 (Unaudited)
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||||
Buys | ||||||||||||||||||||
90 | U.S. Treasury Note 2-Year | December 2016 | $ | 19,662,187 | $ | 15,042 | ||||||||||||||
118 | U.S. Treasury Note 5-Year | December 2016 | 14,338,844 | 21,891 | ||||||||||||||||
178 | U.S. Treasury Note 10-Year | December 2016 | 23,340,250 | 34,013 | ||||||||||||||||
131 | U.S. Ultra Bond | December 2016 | 24,087,625 | (358,947 | ) | |||||||||||||||
|
| |||||||||||||||||||
$ | (288,001 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Sales | ||||||||||||||||||||
62 | U.S. Long Bond | December 2016 | $ | 10,425,688 | $ | 49,792 | ||||||||||||||
|
|
Centrally Cleared Interest Rate Swaps
Pay/Receive | Floating Rate Index | Fixed Rate | Maturity Date | Notional | Unrealized Appreciation (Depreciation) | |||||||||
Receive | 3-Month USD LIBOR | 2.57% | 09/08/24 | $ | 1,600,000 | $ | (148,409 | ) | ||||||
Receive | 3-Month USD LIBOR | 2.22% | 05/31/22 | 2,480,000 | (136,398 | ) | ||||||||
Receive | 3-Month USD LIBOR | 2.21% | 01/08/26 | 7,920,000 | (547,219 | ) | ||||||||
Receive | 3-Month USD LIBOR | 1.98% | 11/30/22 | 1,800,000 | (78,497 | ) | ||||||||
Receive | 3-Month USD LIBOR | 1.87% | 11/15/41 | 625,000 | (15,049 | ) | ||||||||
Receive | 3-Month USD LIBOR | 1.85% | 11/30/22 | 3,845,000 | (137,054 | ) | ||||||||
Receive | 3-Month USD LIBOR | 1.74% | 12/31/21 | 2,120,000 | (59,877 | ) | ||||||||
Pay | 3-Month USD LIBOR | 1.50% | 12/31/22 | 250,000 | (3,580 | ) | ||||||||
Receive | 3-Month USD LIBOR | 1.20% | 05/31/23 | 1,170,000 | 5,884 | |||||||||
Pay | 3-Month USD LIBOR | 0.40% | 08/02/23 | 2,315,000 | 3,389 | |||||||||
Pay | 3-Month USD LIBOR | 0.40% | 08/02/23 | 3,435,000 | 4,167 | |||||||||
Pay | 3-Month USD LIBOR | 0.40% | 08/03/23 | 900,000 | 1,472 | |||||||||
Pay | 3-Month USD LIBOR | 1.58% | 05/31/23 | 875,000 | 16,890 | |||||||||
Receive | 6-Month USD LIBOR | 1.41% | 12/31/22 | 1,400,000 | (12,691 | ) | ||||||||
Receive | 12-Month USD LIBOR | 0.90% | 08/19/23 | 1,745,000 | (5,854 | ) |
See accompanying Notes to the Financial Statements. | 75 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2016 (Unaudited)
Centrally Cleared Interest Rate Swaps — continued
Pay/Receive | Floating Rate Index | Fixed Rate | Maturity Date | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||
Pay | | 12-Month USD LIBOR | | 0.54% | 09/09/17 | $ | 35,205,000 | $ | 2,310 | |||||||||||
Pay | | Interbank Equilibrium Interest Rate | | 6.01% | 08/19/24 | MXN 25,050,000 | (20,703 | ) | ||||||||||||
|
| |||||||||||||||||||
$ | (1,131,219 | ) | ||||||||||||||||||
|
|
Centrally Cleared Credit Default Swaps (See Note 2(a))
Notional Amount | Expiration Date | Unrealized Appreciation (Depreciation) | ||||||||
$ | 17,000,000 | 06/20/20 | $ | 90,830 | ||||||
|
|
Currency Abbreviations
MXN | — Mexican Peso |
76 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2016 (Unaudited)
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Debt Obligations | 98.2 | ||||
Futures Contracts | (0.0 | ) | |||
Swaps | (0.1 | ) | |||
TBA Sale Commitments | (0.2 | ) | |||
Short-Term Investments | 7.7 | ||||
Other Assets and Liabilities (net) | (5.6 | ) | |||
|
| ||||
100.0 | % | ||||
|
|
See accompanying Notes to the Financial Statements. | 77 |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 96.2% | ||||||||||
Corporate Debt — 51.4% | ||||||||||
2,000,000 | 1011778 BC ULC/New Red Finance, Inc., 6.00%, due 04/01/22 144A | 2,100,000 | ||||||||
2,000,000 | 24 Hour Holdings III LLC, 8.00%, due 06/01/22‡ 144A | 1,635,000 | ||||||||
2,500,000 | Acosta, Inc., 7.75%, due 10/01/22 144A | 2,068,750 | ||||||||
800,000 | EUR | Adient Global Holdings, Ltd., 3.50%, due 08/15/24 144A | 899,624 | |||||||
700,000 | AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust, 4.25%, due 07/01/20‡ | 728,000 | ||||||||
150,000 | AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust, 4.63%, due 10/30/20 | 157,875 | ||||||||
1,600,000 | AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust, 5.00%, due 10/01/21 | 1,712,000 | ||||||||
1,200,000 | Alere, Inc., 6.50%, due 06/15/20 | 1,206,000 | ||||||||
2,500,000 | Allison Transmission, Inc., 5.00%, due 10/01/24 144A | 2,568,750 | ||||||||
2,300,000 | Altice US Finance I Corp., 5.50%, due 05/15/26 144A | 2,369,000 | ||||||||
2,500,000 | AMC Networks, Inc., 5.00%, due 04/01/24 | 2,525,000 | ||||||||
10,540,000 | MXN | America Movil SAB de CV, 7.13%, due 12/09/24 | 545,258 | |||||||
2,500,000 | ArcelorMittal, 6.50%, due 03/01/21‡ | 2,793,750 | ||||||||
2,500,000 | Ardagh Packaging Finance Plc/Ardagh Holdings USA, Inc., 6.00%, | 2,581,250 | ||||||||
1,700,000 | EUR | Areva SA, Reg S, 3.13%, due 03/20/23‡‡‡ | 1,799,892 | |||||||
600,000 | Axalta Coating Systems LLC, 4.88%, due 08/15/24 144A | 616,125 | ||||||||
1,300,000 | EUR | Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding B BV, 5.75%, due 02/01/21 144A | 1,528,509 | |||||||
1,700,000 | EUR | Ball Corp., 4.38%, due 12/15/23 | 2,138,521 | |||||||
2,500,000 | Bank of America Corp., Series M, 8.13%† ††††† | 2,567,188 | ||||||||
1,000,000 | Barminco Finance Pty, Ltd., 9.00%, due 06/01/18‡ 144A | 972,500 | ||||||||
1,800,000 | Beazer Homes USA, Inc., 8.75%, due 03/15/22 144A | 1,903,500 | ||||||||
1,500,000 | Blackboard, Inc., 7.75%, due 11/15/19 144A | 1,485,000 | ||||||||
2,000,000 | BMC Software Finance, Inc., 8.13%, due 07/15/21 144A | 1,825,000 | ||||||||
1,800,000 | BreitBurn Energy Partners LP/BreitBurn Finance Corp., 7.88%, due 04/15/22††† | 927,000 | ||||||||
15,000 | California Resources Corp., 5.50%, due 09/15/21 | 8,025 | ||||||||
36,000 | California Resources Corp., 6.00%, due 11/15/24‡ | 17,370 | ||||||||
1,293,000 | California Resources Corp., 8.00%, due 12/15/22 144A | 866,310 | ||||||||
2,000,000 | Calpine Corp., 5.75%, due 01/15/25 | 1,982,500 | ||||||||
1,000,000 | Calpine Corp., 6.00%, due 01/15/22 144A | 1,048,125 | ||||||||
500,000 | Calumet Specialty Products Partners, LP/Calumet Finance Corp., 11.50%, due 01/15/21 144A | 575,000 | ||||||||
2,000,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.25%, due 09/30/22 | 2,095,000 | ||||||||
1,400,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, due 02/15/26 144A | 1,487,500 | ||||||||
1,700,000 | Cemex Finance LLC, 6.00%, due 04/01/24‡ 144A | 1,746,750 | ||||||||
800,000 | Cemex Finance LLC, 9.38%, due 10/12/22 144A | 881,000 | ||||||||
1,500,000 | Centene Corp., 4.75%, due 05/15/22 | 1,556,250 | ||||||||
2,200,000 | CenturyLink, Inc., 6.75%, due 12/01/23 | 2,296,250 | ||||||||
1,200,000 | EUR | CeramTec Group GmbH, 8.25%, due 08/15/21 144A | 1,433,081 | |||||||
1,300,000 | CGG SA, 6.50%, due 06/01/21 | 640,250 | ||||||||
1,100,700 | CHC Helicopter SA, 9.25%, due 10/15/20††† | 539,343 | ||||||||
325,000 | CHC Helicopter SA, 9.38%, due 06/01/21††† | 63,375 | ||||||||
1,200,000 | EUR | Chemours Co. (The), 6.13%, due 05/15/23 | 1,246,682 | |||||||
900,000 | Cheniere Corpus Christi Holdings LLC, 7.00%, due 06/30/24 144A | 976,500 | ||||||||
143,000 | Chesapeake Energy Corp., 8.00%, due 12/15/22‡ 144A | 145,324 | ||||||||
3,000,000 | CHS/Community Health Systems, Inc., 6.88%, due 02/01/22 | 2,595,000 |
78 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
3,000,000 | CIT Group, Inc., 5.00%, due 08/01/23 | 3,183,750 | ||||||||
2,000,000 | Citigroup, Inc., 6.30%† ††††† | 2,057,500 | ||||||||
200,000 | Clear Channel Worldwide Holdings, Inc., 6.50%, due 11/15/22 | 209,250 | ||||||||
800,000 | Clear Channel Worldwide Holdings, Inc., 7.63%, due 03/15/20 | 797,000 | ||||||||
400,000 | Cloud Crane LLC, 10.13%, due 08/01/24 144A | 416,000 | ||||||||
2,500,000 | CommScope Technologies Finance LLC, 6.00%, due 06/15/25 144A | 2,678,125 | ||||||||
2,500,000 | Concordia Healthcare Corp., 7.00%, due 04/15/23‡ 144A | 1,618,750 | ||||||||
1,000,000 | CONSOL Energy, Inc., 5.88%, due 04/15/22 | 925,000 | ||||||||
900,000 | CONSOL Energy, Inc., 8.00%, due 04/01/23 | 877,500 | ||||||||
2,400,000 | Cortes NP Acquisition Corp., 9.25%, due 10/15/24 144A†††† | 2,400,000 | ||||||||
1,300,000 | EUR | Cott Corp., 5.50%, due 07/01/24 144A | 1,537,880 | |||||||
1,500,000 | Crestwood Midstream Partners, LP/Crestwood Midstream Finance Corp., 6.25%, due 04/01/23 | 1,526,250 | ||||||||
1,500,000 | CSC Holdings LLC, 6.75%, due 11/15/21 | 1,590,000 | ||||||||
2,000,000 | CSC Holdings LLC, 10.88%, due 10/15/25 144A | 2,345,000 | ||||||||
300,000 | CSI Compressco, LP/Compressco Finance, Inc., 7.25%, due 08/15/22 | 285,000 | ||||||||
1,000,000 | CVR Partners, LP/CVR Nitrogen Finance Corp., 9.25%, due 06/15/23 144A | 971,250 | ||||||||
2,000,000 | DaVita, Inc., 5.13%, due 07/15/24 | 2,043,750 | ||||||||
300,000 | Diamond 1 Finance Corp./Diamond 2 Finance Corp., 5.88%, due 06/15/21 144A | 318,870 | ||||||||
300,000 | Diamond 1 Finance Corp./Diamond 2 Finance Corp., 7.13%, due 06/15/24 144A | 330,157 | ||||||||
1,000,000 | Digicel Group, Ltd., 7.13%, due 04/01/22 144A | 769,700 | ||||||||
1,500,000 | Digicel, Ltd., 6.00%, due 04/15/21 144A | 1,332,600 | ||||||||
1,800,000 | DISH DBS Corp., 5.00%, due 03/15/23 | 1,755,000 | ||||||||
500,000 | DISH DBS Corp., 5.13%, due 05/01/20 | 520,000 | ||||||||
200,000 | DISH DBS Corp., 5.88%, due 11/15/24 | 198,250 | ||||||||
2,000,000 | Dynegy, Inc., 7.63%, due 11/01/24‡ | 1,974,000 | ||||||||
900,000 | EUR | Edcon, Ltd., 9.50%, due 03/01/18 144A | 253,361 | |||||||
800,000 | Eldorado Gold Corp., 6.13%, due 12/15/20 144A | 809,600 | ||||||||
500,000 | Endo, Ltd./Endo Finance LLC/Endo Finco, Inc., 6.00%, due 07/15/23 144A | 457,500 | ||||||||
1,000,000 | Endo, Ltd./Endo Finance LLC/Endo Finco, Inc., 6.50%, due 02/01/25 144A | 888,750 | ||||||||
2,500,000 | Energy Transfer Equity, LP, 7.50%, due 10/15/20 | 2,756,250 | ||||||||
1,200,000 | Energy XXI Gulf Coast, Inc., 6.88%, due 03/15/24††† | 120,000 | ||||||||
600,000 | Energy XXI Gulf Coast, Inc., 11.00%, due 03/15/20††† 144A | 243,000 | ||||||||
1,000,000 | EnQuest Plc, 7.00%, due 04/15/22 144A | 525,000 | ||||||||
250,000 | EPL Oil & Gas, Inc., 8.25%, due 02/15/18††† | 35,625 | ||||||||
500,000 | Equinix, Inc., 4.88%, due 04/01/20 | 520,625 | ||||||||
1,500,000 | Equinix, Inc., 5.38%, due 04/01/23 | 1,580,625 | ||||||||
100,000 | Escrow GCB Penn Virginia Corp., 8.50%, due 05/01/20**** ††† | — | ||||||||
9,280,000,000 | IDR | European Investment Bank, Reg S, 6.95%, due 02/06/20‡‡‡ | 725,562 | |||||||
24,240,000,000 | IDR | European Investment Bank, Reg S, 7.20%, due 07/09/19‡‡‡ | 1,861,322 | |||||||
8,150,000 | ZAR | European Investment Bank, Reg S, 8.50%, due 09/17/24‡‡‡ | 595,703 | |||||||
2,000,000 | Ferrellgas, LP/Ferrellgas Finance Corp., 6.75%, due 06/15/23 | 1,770,000 | ||||||||
2,500,000 | Fiat Chrysler Automobiles NV, 4.50%, due 04/15/20 | 2,575,000 | ||||||||
649,000,000 | COP | Financiera de Desarrollo Territorial SA Findeter, Reg S, 7.88%, due 08/12/24‡‡‡ | 204,461 | |||||||
2,200,000 | First Data Corp., 5.75%, due 01/15/24 144A | 2,268,750 | ||||||||
500,000 | First Data Corp., 7.00%, due 12/01/23 144A | 530,000 | ||||||||
2,000,000 | First Quantum Minerals, Ltd., 7.00%, due 02/15/21 144A | 1,800,000 | ||||||||
1,000,000 | FMG Resources August 2006 Pty, Ltd., 9.75%, due 03/01/22‡ 144A | 1,165,000 |
See accompanying Notes to the Financial Statements. | 79 |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
400,000 | EUR | Galapagos Holding SA, 7.00%, due 06/15/22 144A | 380,463 | |||||||
800,000 | EUR | Galapagos SA/Luxembourg, 5.38%, due 06/15/21 144A | 845,997 | |||||||
1,000,000 | Goodrich Petroleum Corp., 8.00%, due 03/15/18¤ ††† 144A | 100,000 | ||||||||
350,000 | Goodrich Petroleum Corp., 8.88%, due 03/15/18¤ ††† 144A | 35,000 | ||||||||
500,000 | Goodyear Tire & Rubber Co. (The), 5.00%, due 05/31/26 | 515,625 | ||||||||
1,000,000 | Goodyear Tire & Rubber Co. (The), 5.13%, due 11/15/23 | 1,047,500 | ||||||||
1,500,000 | EUR | Hanesbrands Finance Luxembourg SCA, 3.50%, due 06/15/24 144A | 1,751,232 | |||||||
1,600,000 | Hanesbrands, Inc., 4.88%, due 05/15/26 144A | 1,644,000 | ||||||||
2,500,000 | HCA, Inc., 5.00%, due 03/15/24 | 2,643,750 | ||||||||
1,200,000 | HCA, Inc., 5.88%, due 05/01/23 | 1,281,000 | ||||||||
1,600,000 | Hilton Domestic Operating Co., Inc., 4.25%, due 09/01/24 144A | 1,640,000 | ||||||||
1,500,000 | Horizon Pharma Financing, Inc., 6.63%, due 05/01/23‡ | 1,421,250 | ||||||||
1,000,000 | iHeartCommunications, Inc., 9.00%, due 03/01/21 | 748,750 | ||||||||
500,000 | iHeartCommunications, Inc., 9.00%, due 09/15/22‡ | 365,625 | ||||||||
2,000,000 | EUR | Infor US, Inc., 5.75%, due 05/15/22 | 2,200,250 | |||||||
400,000 | Infor US, Inc., 6.50%, due 05/15/22 | 407,000 | ||||||||
700,000 | EUR | Inovyn Finance Plc, 6.25%, due 05/15/21 144A | 817,300 | |||||||
2,500,000 | Intelsat Jackson Holdings SA, 5.50%, due 08/01/23 | 1,743,750 | ||||||||
8,860,000,000 | IDR | Inter-American Development Bank, 7.35%, due 09/12/18 | 686,377 | |||||||
2,500,000 | InterGen NV, 7.00%, due 06/30/23 144A | 2,125,000 | ||||||||
2,500,000 | International Game Technology Plc, 6.25%, due 02/15/22 144A | 2,662,500 | ||||||||
1,500,000 | Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, due 08/01/23 144A | 1,563,750 | ||||||||
2,000,000 | JBS USA LUX SA/JBS USA Finance, Inc., 5.88%, due 07/15/24 144A | 2,000,000 | ||||||||
1,000,000 | JBS USA LUX SA/JBS USA Finance, Inc., 7.25%, due 06/01/21 144A | 1,038,750 | ||||||||
1,000,000 | JPMorgan Chase & Co., 5.00%† ††††† | 987,250 | ||||||||
1,500,000 | JPMorgan Chase & Co., 6.00%† ††††† | 1,569,375 | ||||||||
700,000 | KB Home, 4.75%, due 05/15/19 | 718,375 | ||||||||
1,000,000 | KB Home, 7.50%, due 09/15/22 | 1,090,000 | ||||||||
1,000,000 | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 5.00%, due 06/01/24 144A | 1,047,500 | ||||||||
900,000 | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 5.25%, due 06/01/26 144A | 954,000 | ||||||||
600,000 | EUR | Lincoln Finance, Ltd., 6.88%, due 04/15/21 144A | 728,222 | |||||||
1,300,000 | Linn Energy LLC/Linn Energy Finance Corp., 12.00%, due 12/15/20††† 144A | 637,000 | ||||||||
900,000 | Martin Midstream Partners, LP/Martin Midstream Finance Corp., 7.25%, due 02/15/21 | 850,500 | ||||||||
500,000 | EUR | Matterhorn Telecom Holding SA, 4.88%, due 05/01/23 144A | 556,455 | |||||||
1,300,000 | EUR | Matterhorn Telecom SA, 3.88%, due 05/01/22 144A | 1,459,888 | |||||||
600,000 | Microsemi Corp., 9.13%, due 04/15/23 144A | 687,000 | ||||||||
1,000,000 | Midstates Petroleum Co., Inc./Midstates Petroleum Co. LLC, 9.25%, due 06/01/21††† | 12,500 | ||||||||
2,500,000 | Millicom International Cellular SA, 6.63%, due 10/15/21‡ 144A | 2,613,375 | ||||||||
400,000 | MPH Acquisition Holdings LLC, 7.13%, due 06/01/24 144A | 431,000 | ||||||||
500,000 | MPT Operating Partnership, LP/MPT Finance Corp. REIT, 5.25%, due 08/01/26 | 520,000 | ||||||||
600,000 | MSCI, Inc., 4.75%, due 08/01/26 144A | 609,000 | ||||||||
800,000 | Murray Energy Corp., 11.25%, due 04/15/21 144A | 454,000 | ||||||||
800,000 | Navient Corp., 6.63%, due 07/26/21 | 808,000 |
80 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
2,500,000 | Navient Corp., 7.25%, due 09/25/23 | 2,506,250 | ||||||||
2,500,000 | Netflix, Inc., 5.88%, due 02/15/25 | 2,712,500 | ||||||||
800,000 | Newell Brands, Inc., 5.00%, due 11/15/23 144A | 852,158 | ||||||||
700,000 | Nexstar Escrow Corp., 5.63%, due 08/01/24 144A | 703,500 | ||||||||
1,500,000 | NOVA Chemicals Corp., 5.00%, due 05/01/25 144A | 1,522,500 | ||||||||
700,000 | Novelis Corp., 5.88%, due 09/30/26 144A | 718,375 | ||||||||
1,400,000 | Novelis Corp., 6.25%, due 08/15/24 144A | 1,489,250 | ||||||||
2,000,000 | NRG Yield Operating LLC, 5.38%, due 08/15/24‡ | 2,065,000 | ||||||||
2,000,000 | Owens-Brockway Glass Container, Inc., 5.00%, due 01/15/22‡ 144A | 2,128,740 | ||||||||
1,500,000 | Peabody Energy Corp., 10.00%, due 03/15/22††† 144A | 615,000 | ||||||||
1,500,000 | Petrobras Global Finance BV, 5.38%, due 01/27/21 | 1,487,250 | ||||||||
24,750,000 | MXN | Petroleos Mexicanos, Reg S, 7.19%, due 09/12/24‡‡‡ | 1,184,298 | |||||||
300,000 | Platform Specialty Products Corp., 10.38%, due 05/01/21 144A | 324,000 | ||||||||
1,000,000 | Post Holdings, Inc., 6.00%, due 12/15/22 144A | 1,060,000 | ||||||||
1,000,000 | EUR | PSPC Escrow Corp., 6.00%, due 02/01/23 144A | 1,061,199 | |||||||
2,000,000 | PulteGroup, Inc., 5.00%, due 01/15/27 | 2,018,800 | ||||||||
1,400,000 | QEP Resources, Inc., 5.25%, due 05/01/23 | 1,386,000 | ||||||||
2,000,000 | Qorvo, Inc., 7.00%, due 12/01/25 | 2,180,000 | ||||||||
1,000,000 | Radio One, Inc., 9.25%, due 02/15/20 144A | 937,500 | ||||||||
1,000,000 | EUR | Rain CII Carbon LLC/CII Carbon Corp., 8.50%, due 01/15/21 144A | 1,062,553 | |||||||
400,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer, 5.13%, due 07/15/23 144A | 413,500 | ||||||||
700,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer, 5.75%, due 10/15/20 | 722,750 | ||||||||
200,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer, 7.00%, due 07/15/24 144A | 214,875 | ||||||||
1,900,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer, 8.25%, due 02/15/21 | 1,982,534 | ||||||||
600,000 | Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp., 6.13%, due 08/15/21 144A | 621,000 | ||||||||
2,800,000 | EUR | Royal Bank of Scotland Plc (The), 6.93%, due 04/09/18 | 3,420,344 | |||||||
2,000,000 | Sabine Pass Liquefaction LLC, 5.00%, due 03/15/27 144A | 2,055,000 | ||||||||
500,000 | Sabine Pass Liquefaction LLC, 5.63%, due 02/01/21 | 530,625 | ||||||||
1,000,000 | Sabine Pass Liquefaction LLC, 5.63%, due 04/15/23 | 1,072,500 | ||||||||
500,000 | Sabine Pass Liquefaction LLC, 5.63%, due 03/01/25 | 539,375 | ||||||||
1,000,000 | Sanchez Energy Corp., 6.13%, due 01/15/23‡ | 807,500 | ||||||||
1,300,000 | EUR | Schoeller Allibert Group, 8.00%, due 10/01/21†††† 144A | 1,465,513 | |||||||
800,000 | EUR | Sealed Air Corp., 4.50%, due 09/15/23 144A | 995,381 | |||||||
600,000 | EUR | SIG Combibloc Holdings SCA, 7.75%, due 02/15/23 144A | 710,185 | |||||||
1,000,000 | Sirius XM Radio, Inc., 5.38%, due 04/15/25 144A | 1,035,000 | ||||||||
1,500,000 | Sirius XM Radio, Inc., 6.00%, due 07/15/24 144A | 1,603,125 | ||||||||
2,000,000 | Sprint Communications, Inc., 6.00%, due 11/15/22 | 1,865,000 | ||||||||
1,500,000 | Sprint Corp., 7.13%, due 06/15/24 | 1,470,000 | ||||||||
500,000 | Sprint Corp., 7.63%, due 02/15/25 | 497,500 | ||||||||
500,000 | Sprint Corp., 7.88%, due 09/15/23 | 505,625 | ||||||||
300,000 | Steel Dynamics, Inc., 5.13%, due 10/01/21 | 313,125 | ||||||||
1,000,000 | Steel Dynamics, Inc., 5.50%, due 10/01/24 | 1,050,000 | ||||||||
800,000 | Stena International SA, 5.75%, due 03/01/24 144A | 672,000 |
See accompanying Notes to the Financial Statements. | 81 |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
1,300,000 | T-Mobile USA, Inc., 6.00%, due 04/15/24 | 1,394,250 | ||||||||
1,000,000 | T-Mobile USA, Inc., 6.13%, due 01/15/22 | 1,066,250 | ||||||||
1,000,000 | T-Mobile USA, Inc., 6.38%, due 03/01/25 | 1,090,000 | ||||||||
1,700,000 | Talen Energy Supply LLC, 6.50%, due 06/01/25‡ | 1,372,750 | ||||||||
1,800,000 | Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.63%, due 03/01/24 144A | 1,863,000 | ||||||||
1,500,000 | TEGNA, Inc., 5.13%, due 07/15/20 | 1,550,625 | ||||||||
1,000,000 | Tenet Healthcare Corp., 5.00%, due 03/01/19 | 982,500 | ||||||||
1,800,000 | Tenet Healthcare Corp., 8.13%, due 04/01/22 | 1,809,000 | ||||||||
1,200,000 | GBP | Tesco Plc, 6.13%, due 02/24/22 | 1,787,245 | |||||||
2,000,000 | Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Series 1, 11.50%, due 10/01/20††† 144A | 611,250 | ||||||||
200,000 | TransDigm, Inc., 6.00%, due 07/15/22 | 212,000 | ||||||||
1,000,000 | TransDigm, Inc., 6.50%, due 07/15/24 | 1,057,500 | ||||||||
800,000 | TransDigm, Inc., 6.50%, due 05/15/25 | 836,000 | ||||||||
2,880,000 | ZAR | Transnet SOC, Ltd., Reg S, 9.50%, due 05/13/21‡‡‡ | 198,482 | |||||||
800,000 | Triangle USA Petroleum Corp., 6.75%, due 07/15/22††† 144A | 180,000 | ||||||||
2,500,000 | United Rentals North America, Inc., 5.88%, due 09/15/26 | 2,587,500 | ||||||||
800,000 | EUR | Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 4.00%, due 01/15/25 144A | 927,135 | |||||||
810,000 | EUR | Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 5.75%, due 01/15/23 144A | 967,116 | |||||||
1,600,000 | EUR | UPCB Finance IV, Ltd., 4.00%, due 01/15/27 144A | 1,789,090 | |||||||
1,000,000 | Valeant Pharmaceuticals International, Inc., 5.50%, due 03/01/23 144A | 860,000 | ||||||||
1,000,000 | Valeant Pharmaceuticals International, Inc., 5.63%, due 12/01/21 144A | 897,500 | ||||||||
600,000 | Valeant Pharmaceuticals International, Inc., 6.13%, due 04/15/25 144A | 518,250 | ||||||||
900,000 | Valvoline, Inc., 5.50%, due 07/15/24 144A | 945,000 | ||||||||
450,000 | GBP | Virgin Media Secured Finance Plc, 5.50%, due 01/15/25 144A | 605,009 | |||||||
1,100,000 | Virgin Media Secured Finance Plc, 5.50%, due 08/15/26 144A | 1,124,750 | ||||||||
900,000 | GBP | Virgin Media Secured Finance Plc, 6.00%, due 04/15/21 144A | 1,216,595 | |||||||
900,000 | Weatherford International, Ltd., 7.75%, due 06/15/21‡ | 894,375 | ||||||||
1,100,000 | Weatherford International, Ltd., 8.25%, due 06/15/23‡ | 1,089,000 | ||||||||
2,500,000 | Western Digital Corp., 10.50%, due 04/01/24 144A | 2,906,250 | ||||||||
1,200,000 | EUR | Wind Acquisition Finance SA, 4.00%, due 07/15/20 144A | 1,368,788 | |||||||
700,000 | EUR | Wind Acquisition Finance SA, 7.00%, due 04/23/21 144A | 823,901 | |||||||
1,500,000 | WMG Acquisition Corp., 5.63%, due 04/15/22 144A | 1,558,125 | ||||||||
1,400,000 | WPX Energy, Inc., 8.25%, due 08/01/23 | 1,512,000 | ||||||||
700,000 | Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.50%, due 03/01/25‡ 144A | 711,375 | ||||||||
1,300,000 | Wynn Macau, Ltd., 5.25%, due 10/15/21‡ 144A | 1,319,500 | ||||||||
1,300,000 | EUR | XPO Logistics, Inc., 5.75%, due 06/15/21 144A | 1,495,513 | |||||||
700,000 | XPO Logistics, Inc., 6.13%, due 09/01/23 144A | 719,250 | ||||||||
900,000 | EUR | Ziggo Secured Finance BV, 4.25%, due 01/15/27 144A | 1,006,886 | |||||||
|
| |||||||||
259,029,242 | ||||||||||
|
| |||||||||
Sovereign Debt Obligations — 44.8% | ||||||||||
41,140,000 | BRL | Brazil Letras do Tesouro Nacional, 11.73%, due 01/01/19‡‡ | 9,918,845 | |||||||
6,962,000 | BRL | Brazil Letras do Tesouro Nacional, 11.77%, due 01/01/18‡‡ | 1,858,599 | |||||||
20,000,000 | BRL | Brazil Letras do Tesouro Nacional, 12.39%, due 01/01/20‡‡ | 4,321,332 |
82 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Sovereign Debt Obligations — continued | ||||||||||
1,758,000 | BRL | Brazil Notas do Tesouro Nacional Series B, 17.24%, due 05/15/35 | 1,631,980 | |||||||
462,000 | BRL | Brazil Notas do Tesouro Nacional Series F, 10.00%, due 01/01/19 | 138,194 | |||||||
30,966,000 | BRL | Brazil Notas do Tesouro Nacional Series F, 10.00%, due 01/01/21 | 9,110,074 | |||||||
12,255,000 | BRL | Brazil Notas do Tesouro Nacional Series F, 10.00%, due 01/01/25 | 3,510,857 | |||||||
1,505,000 | BRL | Brazil Notas do Tesouro Nacional Series F, 10.00%, due 01/01/27 | 422,292 | |||||||
7,264,900,000 | COP | Colombian TES, 6.00%, due 04/28/28 | 2,321,569 | |||||||
11,344,500,000 | COP | Colombian TES, 7.00%, due 05/04/22 | 4,024,737 | |||||||
845,000,000 | COP | Colombian TES, 7.50%, due 08/26/26 | 305,250 | |||||||
2,113,000,000 | COP | Colombian TES, 7.75%, due 09/18/30 | 777,365 | |||||||
15,497,100,000 | COP | Colombian TES, 10.00%, due 07/24/24 | 6,409,493 | |||||||
8,395,800,000 | COP | Colombian TES, 11.00%, due 07/24/20 | 3,357,052 | |||||||
363,360,000 | HUF | Hungary Government Bond, 2.50%, due 06/22/18 | 1,358,548 | |||||||
60,510,000 | HUF | Hungary Government Bond, 3.00%, due 06/26/24 | 226,722 | |||||||
385,740,000 | HUF | Hungary Government Bond, 3.00%, due 10/27/27 | 1,430,301 | |||||||
343,000,000 | HUF | Hungary Government Bond, 4.00%, due 04/25/18 | 1,315,564 | |||||||
357,400,000 | HUF | Hungary Government Bond, 5.50%, due 12/20/18 | 1,429,637 | |||||||
174,970,000 | HUF | Hungary Government Bond, 6.00%, due 11/24/23 | 790,244 | |||||||
607,960,000 | HUF | Hungary Government Bond, 6.50%, due 06/24/19 | 2,526,076 | |||||||
44,848,000,000 | IDR | Indonesia Treasury Bond, 5.63%, due 05/15/23 | 3,210,843 | |||||||
8,900,000,000 | IDR | Indonesia Treasury Bond, 6.13%, due 05/15/28 | 623,728 | |||||||
15,988,000,000 | IDR | Indonesia Treasury Bond, 6.63%, due 05/15/33 | 1,133,388 | |||||||
3,300,000,000 | IDR | Indonesia Treasury Bond, 7.00%, due 05/15/27 | 252,896 | |||||||
68,368,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 03/15/24 | 5,681,181 | |||||||
72,716,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 09/15/26 | 6,073,120 | |||||||
30,101,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 03/15/34 | 2,520,910 | |||||||
32,136,000,000 | IDR | Indonesia Treasury Bond, 8.75%, due 05/15/31 | 2,777,384 | |||||||
33,162,000,000 | IDR | Indonesia Treasury Bond, 9.00%, due 03/15/29 | 2,905,582 | |||||||
3,006,000,000 | IDR | Indonesia Treasury Bond, 10.50%, due 08/15/30 | 293,640 | |||||||
645,000,000 | IDR | Indonesia Treasury Bond, 12.80%, due 06/15/21 | 60,767 | |||||||
120,000 | MYR | Malaysia Government Bond, 3.48%, due 03/15/23 | 29,024 | |||||||
1,059,000 | MYR | Malaysia Government Bond, 3.58%, due 09/28/18 | 260,627 | |||||||
21,188,000 | MYR | Malaysia Government Bond, 3.62%, due 11/30/21 | 5,212,622 | |||||||
999,000 | MYR | Malaysia Government Bond, 3.89%, due 03/15/27 | 243,788 | |||||||
8,779,000 | MYR | Malaysia Government Bond, 3.96%, due 09/15/25 | 2,167,157 | |||||||
174,000 | MYR | Malaysia Government Bond, 4.16%, due 07/15/21 | 43,718 | |||||||
16,055,000 | MYR | Malaysia Government Bond, 4.18%, due 07/15/24 | 4,040,906 | |||||||
1,068,000 | MYR | Malaysia Government Bond, 4.39%, due 04/15/26 | 272,392 | |||||||
32,500,000 | MXN | Mexican Bonos, 5.00%, due 06/15/17 | 1,680,875 | |||||||
163,415,100 | MXN | Mexican Bonos, 6.50%, due 06/10/21 | 8,707,850 | |||||||
68,250,000 | MXN | Mexican Bonos, 6.50%, due 06/09/22 | 3,646,314 | |||||||
18,283,700 | MXN | Mexican Bonos, 7.50%, due 06/03/27 | 1,046,990 | |||||||
82,730,000 | MXN | Mexican Bonos, 7.75%, due 05/29/31 | 4,844,092 | |||||||
29,310,000 | MXN | Mexican Bonos, 7.75%, due 11/23/34 | 1,723,581 | |||||||
12,385,800 | MXN | Mexican Bonos, 7.75%, due 11/13/42 | 740,770 | |||||||
25,260,000 | MXN | Mexican Bonos, 8.00%, due 06/11/20 | 1,407,760 | |||||||
40,100,000 | MXN | Mexican Bonos, 8.50%, due 12/13/18 | 2,198,910 | |||||||
7,197,300 | MXN | Mexican Bonos, 8.50%, due 05/31/29 | 445,301 | |||||||
14,232,600 | MXN | Mexican Bonos, 8.50%, due 11/18/38 | 908,687 |
See accompanying Notes to the Financial Statements. | 83 |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Par Value** | Description | Value ($) | ||||||||
Sovereign Debt Obligations — continued | ||||||||||
79,952,100 | MXN | Mexican Bonos, 10.00%, due 12/05/24 | 5,226,517 | |||||||
24,334,100 | MXN | Mexican Bonos, 10.00%, due 11/20/36 | 1,756,148 | |||||||
6,643,000 | PEN | Peruvian Government International Bond, Reg S, 5.70%, due 08/12/24‡‡‡ | 2,003,003 | |||||||
5,543,000 | PEN | Peruvian Government International Bond, Reg S, 6.35%, due 08/12/28‡‡‡ †††† | 1,624,997 | |||||||
3,186,000 | PEN | Peruvian Government International Bond, Reg S, 6.95%, due 08/12/31‡‡‡ | 1,019,405 | |||||||
1,937,000 | PEN | Peruvian Government International Bond, Reg S, 7.84%, due 08/12/20‡‡‡ | 633,478 | |||||||
2,030,000 | PLN | Poland Government Bond, 1.50%, due 04/25/20 | 520,528 | |||||||
1,488,000 | PLN | Poland Government Bond, 1.75%, due 07/25/21 | 379,516 | |||||||
23,970,000 | PLN | Poland Government Bond, 2.50%, due 07/25/26 | 6,051,443 | |||||||
12,850,000 | PLN | Poland Government Bond, 5.25%, due 10/25/20 | 3,760,304 | |||||||
1,339,000 | PLN | Poland Government Bond, 5.50%, due 10/25/19 | 386,970 | |||||||
9,965,000 | RON | Romania Government Bond, 3.50%, due 12/19/22 | 2,658,893 | |||||||
6,510,000 | RON | Romania Government Bond, 4.75%, due 02/24/25 | 1,877,546 | |||||||
1,650,000 | RON | Romania Government Bond, 5.80%, due 07/26/27 | 521,831 | |||||||
9,090,000 | RON | Romania Government Bond, 5.85%, due 04/26/23 | 2,751,489 | |||||||
33,000,000 | RUB | Russian Federal Bond - OFZ, 5.00%, due 08/08/18†† | 504,782 | |||||||
182,000,000 | RUB | Russian Federal Bond - OFZ, 6.20%, due 01/31/18 | 2,804,598 | |||||||
224,750,000 | RUB | Russian Federal Bond - OFZ, 6.70%, due 05/15/19 | 3,439,655 | |||||||
6,960,000 | RUB | Russian Federal Bond - OFZ, 7.50%, due 03/15/18 | 109,361 | |||||||
67,880,000 | RUB | Russian Federal Bond - OFZ, 7.50%, due 02/27/19 | 1,058,786 | |||||||
20,000,000 | RUB | Russian Foreign Bond - Eurobond, Reg S, 7.85%, due 03/10/18‡‡‡ | 314,132 | |||||||
35,369,097 | ZAR | South Africa Government Bond, 6.75%, due 03/31/21 | 2,449,107 | |||||||
69,228,190 | ZAR | South Africa Government Bond, 8.00%, due 01/31/30 | 4,636,820 | |||||||
68,602,037 | ZAR | South Africa Government Bond, 8.25%, due 03/31/32 | 4,621,706 | |||||||
44,379,920 | ZAR | South Africa Government Bond, 8.50%, due 01/31/37 | 2,989,792 | |||||||
3,400,000 | ZAR | South Africa Government Bond, 8.75%, due 02/28/48 | 231,117 | |||||||
43,409,265 | ZAR | South Africa Government Bond, 8.88%, due 02/28/35 | 3,062,626 | |||||||
66,000,000 | ZAR | South Africa Government Bond, 10.50%, due 12/21/26 | 5,387,510 | |||||||
129,224,000 | THB | Thailand Government Bond, 3.63%, due 06/16/23 | 4,127,825 | |||||||
178,026,000 | THB | Thailand Government Bond, 3.88%, due 06/13/19 | 5,446,599 | |||||||
1,717,000 | THB | Thailand Government Bond, 4.68%, due 06/29/44 | 69,170 | |||||||
15,150,850 | THB | Thailand Government Bond, Reg S, 1.25%, due 03/12/28‡‡‡ | 409,586 | |||||||
8,186,000 | TRY | Turkey Government Bond, 7.40%, due 02/05/20 | 2,618,721 | |||||||
4,165,394 | TRY | Turkey Government Bond, 8.00%, due 03/12/25 | 1,274,113 | |||||||
11,644,741 | TRY | Turkey Government Bond, 8.30%, due 06/20/18 | 3,880,357 | |||||||
3,885,833 | TRY | Turkey Government Bond, 8.50%, due 07/10/19 | 1,291,552 | |||||||
1,710,885 | TRY | Turkey Government Bond, 8.50%, due 09/14/22 | 551,302 | |||||||
1,831,712 | TRY | Turkey Government Bond, 8.80%, due 11/14/18 | 614,627 | |||||||
10,517,174 | TRY | Turkey Government Bond, 9.00%, due 07/24/24 | 3,419,443 | |||||||
5,549,857 | TRY | Turkey Government Bond, 9.20%, due 09/22/21 | 1,858,140 | |||||||
3,832,000 | TRY | Turkey Government Bond, 9.50%, due 01/12/22 | 1,295,011 | |||||||
28,226,250 | TRY | Turkey Government Bond, 10.60%, due 02/11/26 | 10,047,142 | |||||||
10,565,453 | TRY | Turkey Government Bond, 10.70%, due 02/17/21 | 3,733,136 | |||||||
|
| |||||||||
225,758,318 | ||||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $502,818,589) | 484,787,560 | |||||||||
|
|
84 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 0.1% | ||||||||||
Oil & Gas — 0.1% | ||||||||||
73,737 | Halcon Resources Corp.* ¤ | 691,653 | ||||||||
552 | Penn Virginia Corp.* **** | 19,596 | ||||||||
690 | Penn Virginia Corp. New* **** | 24,495 | ||||||||
|
| |||||||||
735,744 | ||||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $1,141,468) | 735,744 | |||||||||
|
| |||||||||
WARRANTS — 0.0% | ||||||||||
Oil & Gas — 0.0% | ||||||||||
3,495 | Halcon Resources Corp. Strike Price $14.04, Expires 09/09/20* | 8,004 | ||||||||
|
| |||||||||
TOTAL WARRANTS (COST $—) | 8,004 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 7.9% | ||||||||||
Bank Deposit — 3.7% | ||||||||||
18,592,078 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/03/16 | 18,592,078 | ||||||||
|
| |||||||||
Securities Lending Collateral — 4.2% | ||||||||||
21,274,140 | State Street Institutional U.S. Government Money Market Fund, Premier Class *** | 21,274,140 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $39,866,218) | 39,866,218 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 104.2% (Cost $543,826,275) | 525,397,526 | |||||||||
Other Assets and Liabilities (net) — (4.2)% | (21,248,259 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 504,149,267 | ||||||||
|
|
See accompanying Notes to the Financial Statements. | 85 |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Notes to Schedule of Investments: | ||||||||||
* | 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 $44,091 which represents 0.0% of net assets. The aggregate tax cost of these securities held at September 30, 2016 was $88,903. | |||||||||
¤ | Illiquid security. The total market value of the securities at period end is $826,653 which represents 0.2% of net assets. The aggregate tax cost of these securities held at September 30, 2016 was $2,239,044. | |||||||||
† | Floating rate note. Rate shown is as of September 30, 2016. | |||||||||
†† | 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 $128,827,960 which represents 25.6% of net assets. |
86 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2016 (Unaudited)
Forward Foreign Currency Contracts
Settlement | Currency | Counterparty | Units of | Value | Unrealized | |||||||||||||||
Buys | ||||||||||||||||||||
12/21/16 | CLP | Citibank N.A. | 837,368,403 | $ | 1,262,531 | $ | 24,099 | |||||||||||||
12/21/16 | CLP | Goldman Sachs International | 2,916,401,597 | 4,397,164 | 52,348 | |||||||||||||||
12/21/16 | COP | Citibank N.A. | 16,305,094,860 | 5,585,713 | 230,651 | |||||||||||||||
12/21/16 | COP | Goldman Sachs International | 17,742,908,532 | 6,078,272 | 205,430 | |||||||||||||||
12/15/16 | EUR | Citibank N.A. | 500,000 | 563,808 | 58 | |||||||||||||||
12/21/16 | EUR | Citibank N.A. | 7,240,774 | 8,167,535 | (11,108 | ) | ||||||||||||||
05/18/17 | EUR | Deutsche Bank AG London | 4,000,000 | 4,543,058 | 53,138 | |||||||||||||||
10/20/16 | GBP | Deutsche Bank AG London | 309,578 | 402,284 | (50,226 | ) | ||||||||||||||
12/15/16 | GBP | Deutsche Bank AG London | 222,000 | 288,800 | (24,930 | ) | ||||||||||||||
05/18/17 | GBP | Deutsche Bank AG London | 1,000,000 | 1,305,327 | (6,673 | ) | ||||||||||||||
12/21/16 | HUF | Citibank N.A. | 180,740,000 | 657,519 | 581 | |||||||||||||||
12/21/16 | HUF | Goldman Sachs International | 162,729,560 | 591,998 | (850 | ) | ||||||||||||||
12/21/16 | IDR | Citibank N.A. | 16,844,100,000 | 1,275,553 | (4,714 | ) | ||||||||||||||
12/21/16 | IDR | Standard Chartered Bank | 56,661,141,000 | 4,290,777 | 51,895 | |||||||||||||||
12/21/16 | MXN | Barclays Bank Plc | 5,463,545 | 279,879 | 3,421 | |||||||||||||||
12/21/16 | MXN | Citibank N.A. | 46,320,000 | 2,372,815 | 36,017 | |||||||||||||||
12/21/16 | MXN | HSBC Bank Plc | 11,878,955 | 608,518 | 7,037 | |||||||||||||||
12/21/16 | MXN | JPMorgan Chase Bank N.A. London | 32,207,500 | 1,649,880 | 22,194 | |||||||||||||||
12/21/16 | MYR | Citibank N.A. | 3,930,000 | 946,637 | (5,628 | ) | ||||||||||||||
12/21/16 | MYR | Goldman Sachs International | 5,798,597 | 1,396,735 | (5,611 | ) | ||||||||||||||
12/21/16 | MYR | Standard Chartered Bank | 73,960,694 | 17,815,257 | (93,883 | ) | ||||||||||||||
12/21/16 | PEN | Citibank N.A. | 5,624,218 | 1,637,263 | 4,452 | |||||||||||||||
12/21/16 | PEN | Goldman Sachs International | 30,784,782 | 8,961,743 | 25,667 | |||||||||||||||
12/21/16 | PHP | Citibank N.A. | 30,030,000 | 617,921 | 2,136 | |||||||||||||||
12/21/16 | PHP | JPMorgan Chase Bank N.A. London | 169,816,700 | 3,494,282 | (38,414 | ) | ||||||||||||||
12/21/16 | PHP | Standard Chartered Bank | 427,470,300 | 8,795,966 | (70,551 | ) | ||||||||||||||
12/21/16 | PLN | Citibank N.A. | 75,273,295 | 19,638,120 | 282,837 | |||||||||||||||
03/15/17 | RUB | Citibank N.A. | 388,499,054 | 5,937,996 | 213,160 | |||||||||||||||
03/15/17 | RUB | Goldman Sachs International | 392,538,690 | 5,999,739 | 320,518 | |||||||||||||||
12/21/16 | THB | Barclays Bank Plc | 70,813,892 | 2,041,560 | 17,438 | |||||||||||||||
12/21/16 | THB | Citibank N.A. | 260,955,261 | 7,523,322 | 53,262 | |||||||||||||||
12/21/16 | THB | JPMorgan Chase Bank N.A. London | 78,821,993 | 2,272,433 | 21,019 | |||||||||||||||
12/21/16 | THB | Standard Chartered Bank | 293,249,582 | 8,454,366 | 68,462 | |||||||||||||||
12/21/16 | ZAR | Citibank N.A. | 21,960,000 | 1,572,988 | 32,869 | |||||||||||||||
|
| |||||||||||||||||||
$ | 1,416,101 | |||||||||||||||||||
|
| |||||||||||||||||||
Sales | ||||||||||||||||||||
12/02/16 | BRL | Citibank N.A. | 6,842,547 | $ | 2,070,767 | $ | (4,095 | ) | ||||||||||||
12/21/16 | BRL | Citibank N.A. | 1,920,000 | 577,631 | 334 | |||||||||||||||
12/21/16 | CLP | Citibank N.A. | 2,730,601,000 | 4,117,026 | (10,242 | ) | ||||||||||||||
12/21/16 | CLP | HSBC Bank Plc | 865,020,000 | 1,304,222 | (46,011 | ) | ||||||||||||||
02/15/17 | CNY | Citibank N.A. | 91,084,000 | 13,595,415 | (143,165 | ) | ||||||||||||||
02/15/17 | CNY | Goldman Sachs International | 4,050,000 | 604,513 | (5,799 | ) | ||||||||||||||
12/21/16 | COP | Barclays Bank Plc | 1,268,820,000 | 434,666 | (6,444 | ) | ||||||||||||||
12/21/16 | COP | Citibank N.A. | 5,521,935,700 | 1,891,675 | (8,781 | ) | ||||||||||||||
12/21/16 | COP | Goldman Sachs International | 2,938,825,869 | 1,006,767 | (15,253 | ) |
See accompanying Notes to the Financial Statements. | 87 |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2016 (Unaudited)
Forward Foreign Currency Contracts — continued
Settlement | Currency | Counterparty | Units of | Value | Unrealized | |||||||||||||||
12/21/16 | COP | HSBC Bank Plc | 4,050,701,831 | $ | 1,387,668 | $ | (24,392 | ) | ||||||||||||
12/21/16 | COP | JPMorgan Chase Bank N.A. London | 4,421,756,599 | 1,514,782 | (14,494 | ) | ||||||||||||||
12/21/16 | COP | Standard Chartered Bank | 11,516,450,000 | 3,945,244 | (145,640 | ) | ||||||||||||||
12/21/16 | EUR | Citibank N.A. | 520,669 | 587,311 | (1,100 | ) | ||||||||||||||
12/21/16 | EUR | HSBC Bank Plc | 969,331 | 1,093,397 | (2,039 | ) | ||||||||||||||
12/21/16 | HUF | Citibank N.A. | 423,717,383 | 1,541,452 | 2,032 | |||||||||||||||
12/21/16 | IDR | Standard Chartered Bank | 21,311,600,000 | 1,613,863 | (11,487 | ) | ||||||||||||||
12/21/16 | ILS | Citibank N.A. | 44,540,000 | 11,891,261 | (116,914 | ) | ||||||||||||||
12/21/16 | KRW | Citibank N.A. | 4,776,775,600 | 4,335,327 | (90,173 | ) | ||||||||||||||
12/21/16 | KRW | Standard Chartered Bank | 9,272,564,401 | 8,415,636 | (129,754 | ) | ||||||||||||||
12/21/16 | MXN | Citibank N.A. | 98,733,302 | 5,057,768 | 213,912 | |||||||||||||||
12/21/16 | MXN | Goldman Sachs International | 183,700,000 | 9,410,321 | 264,465 | |||||||||||||||
12/21/16 | MYR | Citibank N.A. | 22,278,974 | 5,366,440 | 31,060 | |||||||||||||||
12/21/16 | MYR | Goldman Sachs International | 2,298,666 | 553,690 | 5,596 | |||||||||||||||
12/21/16 | MYR | HSBC Bank Plc | 2,714,000 | 653,734 | 400 | |||||||||||||||
12/21/16 | RON | Citibank N.A. | 19,779,963 | 5,004,492 | 40 | |||||||||||||||
12/21/16 | SGD | Citibank N.A. | 800,000 | 587,019 | 178 | |||||||||||||||
12/21/16 | SGD | JPMorgan Chase Bank N.A. London | 15,454,000 | 11,339,733 | (29,721 | ) | ||||||||||||||
12/21/16 | TRY | Citibank N.A. | 15,239,050 | 4,999,728 | 67,159 | |||||||||||||||
12/21/16 | TRY | Goldman Sachs International | 10,240,000 | 3,359,607 | 21,112 | |||||||||||||||
12/21/16 | TWD | Citibank N.A. | 224,920,000 | 7,190,982 | (66,271 | ) | ||||||||||||||
12/21/16 | ZAR | Barclays Bank Plc | 28,127,627 | 2,014,774 | (50,636 | ) | ||||||||||||||
12/21/16 | ZAR | Citibank N.A. | 27,707,811 | 1,984,702 | (46,754 | ) | ||||||||||||||
12/21/16 | ZAR | Goldman Sachs International | 28,127,627 | 2,014,774 | (50,280 | ) | ||||||||||||||
12/21/16 | ZAR | HSBC Bank Plc | 4,576,977 | 327,848 | (11,371 | ) | ||||||||||||||
12/21/16 | ZAR | JPMorgan Chase Bank N.A. London | 15,020,000 | 1,075,878 | (34,128 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (458,656 | ) | ||||||||||||||||||
|
|
Cross-Currency Forwards
Settlement | Receive/Deliver | Counterparty | Contract Amount | Contract Amount | Unrealized | |||||||||||||||
12/21/16 | HUF/EUR | Goldman Sachs International | 473,240,000 | 1,531,834 | $ | (6,284 | ) |
Currency Abbreviations
BRL | — Brazilian Real |
CLP | — Chilean Peso |
CNY | — Chinese Yuan |
COP | — Colombian Peso |
EUR | — Euro |
GBP | — British Pound Sterling |
HUF | — Hungarian Forint |
IDR | — Indonesian Rupiah |
ILS | — Israeli Shekel |
KRW | — South Korean Won |
88 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2016 (Unaudited)
Currency Abbreviations— continued
MXN | — Mexican Peso |
MYR | — Malaysian Ringgit |
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 | ||||||||||||||||||||
42 | South Africa Government Bond, Series R186 | November 2016 | $ | 354,446 | $ | 2,556 | ||||||||||||||
39 | South Africa Government Bond, Series R2035 | November 2016 | 277,751 | 2,320 | ||||||||||||||||
469 | South Africa Government Bond, Series R2037 | November 2016 | 3,222,448 | 30,334 | ||||||||||||||||
30 | South Africa Government Bond, Series R204 | November 2016 | 226,265 | 971 | ||||||||||||||||
579 | South Africa Government Bond, Series R207 | November 2016 | 4,232,317 | 26,881 | ||||||||||||||||
253 | South Africa Government Bond, Series R208 | November 2016 | 1,764,438 | 13,514 | ||||||||||||||||
|
| |||||||||||||||||||
$ | 76,576 | |||||||||||||||||||
|
| |||||||||||||||||||
Sales | ||||||||||||||||||||
3 | U.S. Treasury Note 10-Year | December 2016 | $ | 393,375 | $ | (123 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | (123 | ) | ||||||||||||||||||
|
|
See accompanying Notes to the Financial Statements. | 89 |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2016 (Unaudited)
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Corporate Debt | 51.4 | ||||
Sovereign Debt Obligations | 44.8 | ||||
Forward Foreign Currency Contracts | 0.2 | ||||
Common Stocks | 0.1 | ||||
Futures Contracts | 0.0 | ||||
Warrants | 0.0 | ||||
Short-Term Investments | 7.9 | ||||
Other Assets and Liabilities (net) | (4.4 | ) | |||
|
| ||||
100.0 | % | ||||
|
|
90 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 89.8% | ||||||||||
Austria — 0.0% | ||||||||||
9,780 | ANDRITZ AG | 532,557 | ||||||||
|
| |||||||||
Bermuda — 1.2% | ||||||||||
342,911 | Cosan, Ltd. Class A | 2,451,814 | ||||||||
60,925 | Credicorp, Ltd. | 9,274,003 | ||||||||
16,908,000 | GOME Electrical Appliances Holding, Ltd.‡ | 2,071,004 | ||||||||
20,300 | Jardine Matheson Holdings, Ltd. | 1,230,383 | ||||||||
674,000 | Nine Dragons Paper Holdings, Ltd. | 630,032 | ||||||||
7,660,000 | SMI Holdings Group, Ltd. | 750,598 | ||||||||
|
| |||||||||
Total Bermuda | 16,407,834 | |||||||||
|
| |||||||||
Brazil — 5.0% | ||||||||||
30,500 | AES Tiete Energia SA | 150,301 | ||||||||
2,079,807 | AMBEV SA, ADR | 12,666,025 | ||||||||
437,400 | AMBEV SA | 2,668,411 | ||||||||
894,861 | Banco Bradesco SA, ADR | 8,116,389 | ||||||||
334,100 | Banco do Brasil SA | 2,344,670 | ||||||||
189,700 | BB Seguridade Participacoes SA | 1,744,690 | ||||||||
791,500 | BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros | 4,095,331 | ||||||||
63,800 | BRF SA | 1,086,359 | ||||||||
369,300 | CCR SA | 1,925,587 | ||||||||
165,718 | Cia de Saneamento Basico do Estado de Sao Paulo, ADR | 1,534,549 | ||||||||
346,800 | Cielo SA | 3,470,295 | ||||||||
174,800 | Cosan SA Industria e Comercio | 2,028,936 | ||||||||
19,500 | EDP - Energias do Brasil SA | 86,310 | ||||||||
7,200 | Engie Brasil Energia SA | 85,322 | ||||||||
79,500 | Equatorial Energia SA | 1,231,340 | ||||||||
181,100 | Hypermarcas SA | 1,553,552 | ||||||||
77,900 | Iguatemi Empresa de Shopping Centers SA | 712,138 | ||||||||
179,458 | Itau Unibanco Holding SA, ADR | 1,963,270 | ||||||||
699,800 | JBS SA | 2,546,020 | ||||||||
47,000 | Klabin SA | 246,512 | ||||||||
375,600 | Kroton Educacional SA | 1,709,874 | ||||||||
424,000 | Lojas Renner SA | 3,193,524 | ||||||||
99,200 | Natura Cosmeticos SA | 953,573 | ||||||||
135,200 | Porto Seguro SA | 1,240,951 | ||||||||
333,200 | Qualicorp SA | 1,967,089 | ||||||||
69,500 | Raia Drogasil SA | 1,417,874 | ||||||||
22,600 | Sul America SA | 112,901 | ||||||||
84,200 | Totvs SA | 787,354 | ||||||||
226,100 | Ultrapar Participacoes SA | 4,945,339 | ||||||||
153,200 | WEG SA | 832,760 | ||||||||
|
| |||||||||
Total Brazil | 67,417,246 | |||||||||
|
| |||||||||
Cayman Islands — 10.0% | ||||||||||
5,561 | 58.com, Inc., ADR* ‡ | 265,037 | ||||||||
152,434 | Alibaba Group Holding, Ltd., Sponsored ADR* ‡ | 16,125,993 |
See accompanying Notes to the Financial Statements. | 91 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Cayman Islands — continued | ||||||||||
44,722 | Baidu, Inc., Sponsored ADR* | 8,142,535 | ||||||||
2,609,000 | Belle International Holdings, Ltd. | 1,789,578 | ||||||||
193,942 | Bizlink Holding, Inc. | 1,011,613 | ||||||||
1,111,000 | Chailease Holding Co., Ltd. | 1,970,669 | ||||||||
1,149,000 | China Conch Venture Holdings, Ltd. | 2,239,942 | ||||||||
923,000 | China Evergrande Group‡ | 623,588 | ||||||||
32,596 | China Lodging Group, Ltd., ADR | 1,469,754 | ||||||||
1,963,000 | China Medical System Holdings, Ltd. | 3,300,372 | ||||||||
488,000 | China Resources Land, Ltd. | 1,359,060 | ||||||||
431,000 | Country Garden Holdings Co., Ltd. | 227,282 | ||||||||
24,251 | Ctrip.com International, Ltd., ADR* | 1,129,369 | ||||||||
5,610,000 | Dali Foods Group Co., Ltd. ‡ 144A | 2,958,361 | ||||||||
485,735 | Fu Shou Yuan International Group, Ltd. | 279,944 | ||||||||
7,490,000 | Geely Automobile Holdings, Ltd. | 6,682,715 | ||||||||
130,100 | Gourmet Master Co., Ltd. | 1,294,961 | ||||||||
159,500 | Hengan International Group Co., Ltd. | 1,322,320 | ||||||||
50,741 | JD.com, Inc., ADR* | 1,323,833 | ||||||||
6,756,652 | Lee & Man Paper Manufacturing, Ltd. | 6,132,947 | ||||||||
165,000 | Longfor Properties Co., Ltd. | 253,160 | ||||||||
59,525 | NetEase, Inc., ADR | 14,332,429 | ||||||||
63,875 | New Oriental Education & Technology Group, Inc., Sponsored ADR* | 2,961,245 | ||||||||
314,000 | Sands China, Ltd. | 1,362,322 | ||||||||
1,350,000 | Shimao Property Holdings, Ltd. | 1,827,629 | ||||||||
28,530 | Silicon Motion Technology Corp., ADR | 1,477,569 | ||||||||
675,000 | Sino Biopharmaceutical, Ltd. | 453,426 | ||||||||
1,405,000 | Sunac China Holdings, Ltd.‡ | 1,010,824 | ||||||||
276,000 | Sunny Optical Technology Group Co., Ltd. | 1,362,928 | ||||||||
28,150 | TAL Education Group, ADR* | 1,994,146 | ||||||||
72,092 | Tarena International, Inc., ADR | 1,043,892 | ||||||||
1,251,900 | Tencent Holdings, Ltd. | 34,380,663 | ||||||||
1,176,000 | Tianneng Power International, Ltd. | 1,000,728 | ||||||||
5,820,000 | Tongda Group Holdings, Ltd. | 1,418,240 | ||||||||
28,968 | Vipshop Holdings, Ltd., ADR* | 424,961 | ||||||||
3,445,000 | Want Want China Holdings, Ltd.‡ | 2,132,041 | ||||||||
7,829,332 | WH Group, Ltd. 144A | 6,299,039 | ||||||||
5,798,000 | Xinyi Solar Holdings, Ltd.* ‡ | 2,167,910 | ||||||||
2,203,500 | Xtep International Holdings, Ltd. | 1,025,617 | ||||||||
|
| |||||||||
Total Cayman Islands | 136,578,642 | |||||||||
|
| |||||||||
Chile — 0.8% | ||||||||||
20,790,950 | Banco de Chile | 2,319,186 | ||||||||
52,512 | Banco Santander Chile, ADR‡ | 1,086,473 | ||||||||
28,458,399 | Banco Santander Chile | 1,468,032 | ||||||||
966,311 | Cencosud SA | 2,890,823 | ||||||||
13,053 | Cia Cervecerias Unidas SA, Sponsored ADR | 263,540 | ||||||||
26,046 | Enersis Chile SA, ADR | 123,719 | ||||||||
219,306 | Enersis SA, Sponsored ADR | 1,796,116 | ||||||||
54,958 | Latam Airlines Group SA, Sponsored ADR* ‡ | 446,259 | ||||||||
|
| |||||||||
Total Chile | 10,394,148 | |||||||||
|
|
92 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
China — 9.4% | ||||||||||
10,262,000 | Agricultural Bank of China, Ltd. Class H | 4,392,736 | ||||||||
2,588,000 | Air China, Ltd. Class H | 1,743,792 | ||||||||
692,000 | Anhui Conch Cement Co., Ltd. Class H‡ | 1,895,964 | ||||||||
33,186,000 | Bank of China, Ltd. Class H | 15,146,879 | ||||||||
1,100,000 | Bank of Communications Co., Ltd. Class H | 838,195 | ||||||||
1,166,000 | Beijing Capital International Airport Co., Ltd. Class H | 1,321,455 | ||||||||
2,015,000 | China Cinda Asset Management Co., Ltd. Class H | 711,853 | ||||||||
2,228,000 | China CITIC Bank Corp., Ltd. Class H | 1,479,406 | ||||||||
5,994,000 | China Communications Services Corp., Ltd. Class H | 3,748,206 | ||||||||
24,104,000 | China Construction Bank Corp. Class H | 17,869,893 | ||||||||
5,408,000 | China Everbright Bank Co., Ltd. Class H | 2,517,149 | ||||||||
3,837,000 | China Galaxy Securities Co., Ltd. Class H | 3,497,649 | ||||||||
5,008,000 | China Petroleum & Chemical Corp. Class H | 3,648,193 | ||||||||
1,730,484 | China Shenhua Energy Co., Ltd. Class H | 3,382,453 | ||||||||
1,812,000 | China Shipping Development Co., Ltd. Class H | 978,897 | ||||||||
612,000 | China Telecom Corp., Ltd. Class H | 308,527 | ||||||||
138,000 | China Vanke Co., Ltd. Class H | 357,635 | ||||||||
1,189,000 | Chongqing Rural Commercial Bank Co., Ltd. Class H | 732,782 | ||||||||
1,524,000 | Dongfeng Motor Group Co., Ltd. Class H | 1,522,831 | ||||||||
2,514,000 | Great Wall Motor Co., Ltd. Class H | 2,447,244 | ||||||||
2,080,000 | Guangzhou R&F Properties Co., Ltd. Class H | 3,271,811 | ||||||||
34,258,000 | Industrial & Commercial Bank of China Class H | 21,422,431 | ||||||||
5,167,000 | People’s Insurance Co. Group of China, Ltd. (The) Class H | 2,105,186 | ||||||||
420,000 | PetroChina Co., Ltd. Class H | 275,634 | ||||||||
2,964,760 | PICC Property & Casualty Co., Ltd. Class H | 4,908,170 | ||||||||
1,602,000 | Ping An Insurance Group Co. Class H | 8,303,354 | ||||||||
148,000 | Shandong Weigao Group Medical Polymer Co., Ltd. Class H | 99,227 | ||||||||
2,344,500 | Sinopec Engineering Group Co., Ltd. Class H | 2,016,235 | ||||||||
3,490,000 | Sinopec Shanghai Petrochemical Co., Ltd. Class H* | 1,759,411 | ||||||||
1,454,800 | Sinopharm Group Co., Ltd. Class H | 6,987,062 | ||||||||
1,396,000 | Sinotrans, Ltd. Class H | 680,365 | ||||||||
1,613,000 | TravelSky Technology, Ltd. Class H | 3,826,636 | ||||||||
753,000 | Weichai Power Co., Ltd. Class H | 1,009,702 | ||||||||
1,776,000 | Zhejiang Expressway Co., Ltd. Class H | 1,873,101 | ||||||||
1,854,000 | Zijin Mining Group Co., Ltd. Class H | 595,215 | ||||||||
|
| |||||||||
Total China | 127,675,279 | |||||||||
|
| |||||||||
Colombia — 0.2% | ||||||||||
17,600 | Bancolombia SA, Sponsored ADR | 687,104 | ||||||||
349,536 | Cementos Argos SA | 1,393,289 | ||||||||
250,757 | Interconexion Electrica SA ESP | 848,917 | ||||||||
|
| |||||||||
Total Colombia | 2,929,310 | |||||||||
|
| |||||||||
Czech Republic — 0.1% | ||||||||||
438,540 | Moneta Money Bank AS* 144A | 1,397,042 | ||||||||
|
| |||||||||
Denmark — 0.2% | ||||||||||
23,094 | Carlsberg AS Class B | 2,202,765 | ||||||||
|
|
See accompanying Notes to the Financial Statements. | 93 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
France — 0.2% | ||||||||||
26,971 | Sanofi | 2,050,169 | ||||||||
|
| |||||||||
Hong Kong — 4.1% | ||||||||||
344,200 | AIA Group, Ltd. | 2,287,729 | ||||||||
179,000 | Beijing Enterprises Holdings, Ltd. | 907,007 | ||||||||
206,000 | China Everbright International, Ltd. | 244,885 | ||||||||
1,422,000 | China Everbright, Ltd. | 2,907,822 | ||||||||
100,000 | China Merchants Port Holdings Co., Ltd. | 266,247 | ||||||||
1,799,980 | China Mobile, Ltd. | 21,780,455 | ||||||||
2,292,658 | China Overseas Land & Investment, Ltd. | 7,774,277 | ||||||||
5,147,000 | China Power International Development, Ltd. | 1,977,586 | ||||||||
1,872,000 | China Resources Power Holdings Co., Ltd. | 3,224,611 | ||||||||
4,989,000 | CNOOC, Ltd. | 6,188,047 | ||||||||
2,028,000 | CSPC Pharmaceutical Group, Ltd. | 2,029,059 | ||||||||
102,000 | Far East Horizon, Ltd. | 96,267 | ||||||||
561,772 | Guangdong Investment, Ltd. | 892,351 | ||||||||
1,095,000 | Shanghai Industrial Holdings, Ltd. | 3,148,357 | ||||||||
2,798,000 | Shenzhen Investment, Ltd. | 1,331,187 | ||||||||
|
| |||||||||
Total Hong Kong | 55,055,887 | |||||||||
|
| |||||||||
Hungary — 0.8% | ||||||||||
556,290 | Magyar Telekom Telecommunications Plc | 910,234 | ||||||||
272,769 | OTP Bank Nyrt | 7,141,126 | ||||||||
140,456 | Richter Gedeon Nyrt | 2,844,688 | ||||||||
|
| |||||||||
Total Hungary | 10,896,048 | |||||||||
|
| |||||||||
India — 8.9% | ||||||||||
118,542 | Ashok Leyland, Ltd. | 142,258 | ||||||||
181,791 | Asian Paints, Ltd. | 3,167,281 | ||||||||
458,932 | Aurobindo Pharma, Ltd. | 5,907,250 | ||||||||
199,546 | Axis Bank, Ltd. | 1,627,418 | ||||||||
112,307 | Bajaj Auto, Ltd. | 4,790,506 | ||||||||
91,392 | Bharat Financial Inclusion, Ltd.* | 1,210,141 | ||||||||
547,700 | Bharat Petroleum Corp., Ltd. | 5,047,593 | ||||||||
80,322 | Cadila Healthcare, Ltd. | 470,194 | ||||||||
19,636 | Cipla, Ltd. | 170,967 | ||||||||
46,146 | Divi’s Laboratories, Ltd. | 901,018 | ||||||||
38,423 | Dr. Reddy’s Laboratories, Ltd., ADR‡ | 1,783,596 | ||||||||
573 | Eicher Motors, Ltd. | 214,230 | ||||||||
327,650 | Exide Industries, Ltd. | 901,062 | ||||||||
1,462,536 | Federal Bank, Ltd. | 1,578,300 | ||||||||
21,750 | GAIL India, Ltd. | 126,047 | ||||||||
9,764 | Glenmark Pharmaceuticals, Ltd. | 135,505 | ||||||||
15,554 | Godrej Consumer Products, Ltd. | 368,047 | ||||||||
777,503 | HCL Technologies, Ltd. Class T | 9,342,181 | ||||||||
79,369 | HDFC Bank, Ltd., ADR | 5,705,837 | ||||||||
124,331 | Hero MotoCorp Ltd. | 6,379,013 | ||||||||
968,012 | Hindalco Industries, Ltd. | 2,220,845 |
94 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
India — continued | ||||||||||
237,981 | Hindustan Petroleum Corp., Ltd. | 1,526,252 | ||||||||
307,274 | Hindustan Unilever, Ltd. | 4,017,390 | ||||||||
307,432 | Housing Development Finance Corp., Ltd. | 6,441,158 | ||||||||
171,656 | Idea Cellular, Ltd. | 204,322 | ||||||||
42,134 | Indiabulls Housing Finance, Ltd. | 523,289 | ||||||||
117,903 | Indraprastha Gas, Ltd. | 1,381,261 | ||||||||
591,040 | Infosys, Ltd. | 9,177,188 | ||||||||
196,828 | Infosys, Ltd., Sponsored ADR‡ | 3,105,946 | ||||||||
1,749,728 | ITC, Ltd. | 6,367,664 | ||||||||
1,067,567 | JSW Energy, Ltd. | 1,178,525 | ||||||||
18,603 | LIC Housing Finance, Ltd. | 162,001 | ||||||||
288,455 | Marico, Ltd. | 1,190,126 | ||||||||
56,283 | Maruti Suzuki India, Ltd. | 4,641,107 | ||||||||
330,072 | Motherson Sumi Systems, Ltd. | 1,579,467 | ||||||||
1,642 | Nestle India, Ltd. | 158,329 | ||||||||
193,273 | Oil & Natural Gas Corp., Ltd. | 755,472 | ||||||||
989,906 | Power Finance Corp., Ltd. | 1,785,637 | ||||||||
7,861 | Reliance Industries, Ltd. (London Exchange), GDR 144A | 257,841 | ||||||||
64,230 | Shriram Transport Finance Co., Ltd. | 1,126,774 | ||||||||
16,814 | State Bank of India, Ltd., Reg S, GDR‡‡‡ | 626,321 | ||||||||
8,019 | Sun Pharmaceutical Industries, Ltd. | 91,180 | ||||||||
192,361 | Tata Consultancy Services, Ltd. | 7,027,042 | ||||||||
810,610 | Tata Motors, Ltd.* | 6,508,743 | ||||||||
35,637 | Tata Motors, Ltd., Sponsored ADR‡ | 1,424,767 | ||||||||
16,001 | Tata Steel, Ltd. | 92,009 | ||||||||
13,815 | Tech Mahindra, Ltd. | 87,293 | ||||||||
47,680 | Torrent Pharmaceuticals, Ltd. | 1,173,739 | ||||||||
242,975 | Wipro, Ltd. | 1,748,230 | ||||||||
94,719 | Wipro, Ltd., ADR‡ | 919,721 | ||||||||
455,281 | Zee Entertainment Enterprises, Ltd. | 3,730,528 | ||||||||
|
| |||||||||
Total India | 121,198,611 | |||||||||
|
| |||||||||
Indonesia — 2.9% | ||||||||||
1,064,100 | Adaro Energy Tbk PT | 105,994 | ||||||||
10,889,600 | Astra International Tbk PT | 6,883,702 | ||||||||
724,100 | Bank Central Asia Tbk PT | 871,073 | ||||||||
1,836,000 | Bank Mandiri Persero Tbk PT | 1,575,603 | ||||||||
1,355,400 | Bank Negara Indonesia Persero Tbk PT | 576,390 | ||||||||
4,985,700 | Bank Rakyat Indonesia Persero Tbk PT | 4,660,604 | ||||||||
8,012,300 | Bank Tabungan Negara Persero Tbk PT | 1,178,731 | ||||||||
209,100 | Gudang Garam Tbk PT | 993,349 | ||||||||
337,700 | Indofood CBP Sukses Makmur Tbk PT | 245,170 | ||||||||
1,748,800 | Indofood Sukses Makmur Tbk PT | 1,165,777 | ||||||||
11,503,900 | Kalbe Farma Tbk PT | 1,512,205 | ||||||||
644,100 | Matahari Department Store Tbk PT | 911,788 | ||||||||
4,510,900 | Mitra Keluarga Karyasehat Tbk PT | 964,326 | ||||||||
377,000 | Semen Gresik Persero Tbk PT | 291,756 | ||||||||
31,727,000 | Telekomunikasi Indonesia Persero Tbk PT | 10,477,616 |
See accompanying Notes to the Financial Statements. | 95 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Indonesia — continued | ||||||||||
613,400 | Unilever Indonesia Tbk PT | 2,093,860 | ||||||||
2,553,710 | United Tractors Tbk PT | 3,463,387 | ||||||||
4,131,900 | Waskita Karya Persero Tbk PT | 829,483 | ||||||||
|
| |||||||||
Total Indonesia | 38,800,814 | |||||||||
|
| |||||||||
Japan — 0.2% | ||||||||||
88,500 | Honda Motor Co., Ltd. | 2,523,515 | ||||||||
11,800 | Makita Corp. | 834,326 | ||||||||
|
| |||||||||
Total Japan | 3,357,841 | |||||||||
|
| |||||||||
Luxembourg — 0.2% | ||||||||||
108,320 | Ternium SA, Sponsored ADR | 2,126,322 | ||||||||
|
| |||||||||
Malaysia — 1.3% | ||||||||||
8,071,215 | AirAsia Bhd | 5,445,216 | ||||||||
800,500 | AMMB Holdings Bhd | 791,693 | ||||||||
8,700 | British American Tobacco Malaysia Bhd | 103,378 | ||||||||
236,400 | CIMB Group Holdings Bhd | 269,240 | ||||||||
228,200 | Genting Bhd | 437,583 | ||||||||
1,560,300 | Genting Malaysia Bhd | 1,716,688 | ||||||||
243,200 | IHH Healthcare Bhd | 372,254 | ||||||||
43,800 | Kuala Lumpur Kepong Bhd | 253,978 | ||||||||
261,400 | Malayan Banking Bhd | 474,066 | ||||||||
165,700 | MISC Bhd | 302,511 | ||||||||
55,000 | Petronas Chemicals Group Bhd | 88,442 | ||||||||
876,900 | Public Bank Bhd | 4,202,674 | ||||||||
627,900 | Tenaga Nasional Bhd | 2,171,193 | ||||||||
932,200 | Westports Holdings Bhd | 989,568 | ||||||||
603,500 | YTL Corp. Bhd* | 261,217 | ||||||||
|
| |||||||||
Total Malaysia | 17,879,701 | |||||||||
|
| |||||||||
Mexico — 3.3% | ||||||||||
310,600 | Alsea SAB de CV | 1,052,960 | ||||||||
1,800,400 | America Movil SAB de CV Series L | 1,028,880 | ||||||||
67,900 | Arca Continental SAB de CV | 404,870 | ||||||||
114,737 | Cemex SAB de CV, Sponsored ADR* | 911,012 | ||||||||
1,750,700 | Fibra Uno Administracion SA de CV REIT | 3,206,775 | ||||||||
245,000 | Fomento Economico Mexicano SAB de CV | 2,259,289 | ||||||||
62,245 | Fomento Economico Mexicano SAB de CV, Sponsored ADR‡ | 5,729,030 | ||||||||
1,054,900 | Gentera SAB de CV | 1,909,378 | ||||||||
151,750 | Gruma SAB de CV Class B | 1,994,583 | ||||||||
210,800 | Grupo Aeroportuario del Pacifico SAB de CV Class B | 2,007,738 | ||||||||
15,319 | Grupo Aeroportuario del Sureste SAB de CV, ADR | 2,243,008 | ||||||||
54,435 | Grupo Aeroportuario del Sureste SAB de CV | 797,758 | ||||||||
1,201,215 | Grupo Financiero Banorte SAB de CV Series O | 6,317,807 | ||||||||
110,400 | Grupo Financiero Santander Mexico SAB de CV Class B, ADR‡ | 971,520 | ||||||||
255,400 | Grupo Lala SAB de CV | 488,273 |
96 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Mexico — continued | ||||||||||
1,996,619 | Grupo Mexico SAB de CV Series B | 4,892,122 | ||||||||
3,432 | Grupo Televisa SAB, Sponsored ADR | 88,168 | ||||||||
56,975 | Industrias Penoles SAB de CV | 1,365,975 | ||||||||
1,438,500 | Kimberly-Clark de Mexico SAB de CV Class A | 3,260,010 | ||||||||
514,200 | OHL Mexico SAB de CV* | 683,616 | ||||||||
66,695 | Promotora y Operadora de Infraestructura SAB de CV | 719,349 | ||||||||
1,233,400 | Wal-Mart de Mexico SAB de CV | 2,705,342 | ||||||||
|
| |||||||||
Total Mexico | 45,037,463 | |||||||||
|
| |||||||||
Netherlands — 0.4% | ||||||||||
776,392 | Steinhoff International Holdings NV | 4,434,913 | ||||||||
69,999 | Yandex NV Class A* | 1,473,479 | ||||||||
|
| |||||||||
Total Netherlands | 5,908,392 | |||||||||
|
| |||||||||
Philippines — 0.5% | ||||||||||
22,650 | Ayala Corp. | 400,269 | ||||||||
101,140 | Bank of the Philippine Islands | 218,985 | ||||||||
144,880 | BDO Unibank, Inc. | 328,030 | ||||||||
405,470 | Cebu Air, Inc. | 944,801 | ||||||||
14,220 | Globe Telecom, Inc. | 598,181 | ||||||||
201,390 | JG Summit Holdings, Inc. | 309,384 | ||||||||
29,860 | Jollibee Foods Corp. | 152,086 | ||||||||
9,905,600 | Metro Pacific Investments Corp. | 1,450,248 | ||||||||
4,465 | PLDT, Inc. | 157,626 | ||||||||
1,920,500 | SM Prime Holdings, Inc. | 1,114,797 | ||||||||
440,180 | Universal Robina Corp. | 1,615,673 | ||||||||
|
| |||||||||
Total Philippines | 7,290,080 | |||||||||
|
| |||||||||
Poland — 0.5% | ||||||||||
51,111 | Asseco Poland SA | 743,960 | ||||||||
172,564 | Eurocash SA | 1,916,200 | ||||||||
32,419 | KGHM Polska Miedz SA | 631,041 | ||||||||
15,445 | KRUK SA | 960,432 | ||||||||
94,279 | PGE Polska Grupa Energetyczna SA | 250,025 | ||||||||
1,195,075 | Polskie Gornictwo Naftowe i Gazownictwo SA | 1,576,843 | ||||||||
12,906 | Powszechna Kasa Oszczednosci Bank Polski SA | 87,201 | ||||||||
220,604 | Tauron Polska Energia SA* | 146,979 | ||||||||
|
| |||||||||
Total Poland | 6,312,681 | |||||||||
|
| |||||||||
Qatar — 0.4% | ||||||||||
93,917 | Commercial Bank QSC (The) | 995,386 | ||||||||
117,827 | Qatar National Bank SAQ | 5,046,956 | ||||||||
|
| |||||||||
Total Qatar | 6,042,342 | |||||||||
|
| |||||||||
Romania — 0.0% | ||||||||||
39,231 | New Europe Property Investments Plc | 443,627 | ||||||||
|
|
See accompanying Notes to the Financial Statements. | 97 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Russia — 2.0% | ||||||||||
590,966 | Gazprom PJSC, Sponsored ADR | 2,487,967 | ||||||||
906,455 | Gazprom PJSC (OTC Exchange), Sponsored ADR | 3,834,305 | ||||||||
25,467 | LUKOIL PJSC, Sponsored ADR | 1,241,007 | ||||||||
118,371 | LUKOIL PJSC (Euroclear Shares), Sponsored ADR | 5,763,484 | ||||||||
24 | Magnitogorsk Iron & Steel OJSC, Sponsored GDR | 142 | ||||||||
2,034,314 | Magnitogorsk Iron & Steel OJSC | 924,817 | ||||||||
131,852 | Mobile Telesystems PJSC, Sponsored ADR | 1,006,031 | ||||||||
1,004,050 | Moscow Exchange MICEX-RTS PJSC | 2,022,399 | ||||||||
7,128 | NOVATEK OJSC, Reg S, GDR‡‡‡ | 784,080 | ||||||||
242,877 | Rosneft Oil Co., Reg S, GDR‡‡‡ | 1,326,108 | ||||||||
92,659 | Rosneft Oil Co., Reg S, (London Exchange), GDR‡‡‡ | 505,918 | ||||||||
97,627 | Sberbank of Russia PJSC, Sponsored ADR | 919,646 | ||||||||
1,186 | Severstal PAO (London Exchange), GDR‡‡‡ | 14,171 | ||||||||
68,144 | Severstal PJSC, Reg S, GDR‡‡‡ | 822,498 | ||||||||
261,198 | Sistema PJSC FC, GDR‡‡‡ | 1,938,089 | ||||||||
137,124 | Surgutneftegas OJSC, Sponsored ADR | 659,567 | ||||||||
79,847 | Tatneft PJSC, Sponsored ADR | 2,464,078 | ||||||||
25,217 | Tatneft PJSC, (London Exchange), Sponsored ADR | 776,179 | ||||||||
|
| |||||||||
Total Russia | 27,490,486 | |||||||||
|
| |||||||||
Singapore — 0.4% | ||||||||||
115,058 | Flex, Ltd.* | 1,567,090 | ||||||||
416,100 | SembCorp Industries, Ltd.‡ | 790,421 | ||||||||
14,900 | Singapore Telecommunications, Ltd. | 43,385 | ||||||||
554,800 | Singapore Telecommunications, Ltd. (London Exchange) | 1,615,428 | ||||||||
116,338 | United Overseas Bank, Ltd. | 1,606,692 | ||||||||
|
| |||||||||
Total Singapore | 5,623,016 | |||||||||
|
| |||||||||
South Africa — 5.0% | ||||||||||
74,112 | Anglo American Platinum, Ltd.* | 2,082,708 | ||||||||
36,049 | AngloGold Ashanti, Ltd., Sponsored ADR* | 573,900 | ||||||||
140,434 | AVI, Ltd. | 959,460 | ||||||||
305,119 | Barclays Africa Group, Ltd. | 3,350,457 | ||||||||
156,651 | Bid Corp., Ltd.* | 2,952,176 | ||||||||
295,942 | Bidvest Group, Ltd. (The) | 3,477,379 | ||||||||
25,724 | Capitec Bank Holdings, Ltd. | 1,201,660 | ||||||||
94,214 | Clicks Group, Ltd. | 871,006 | ||||||||
79,515 | Exxaro Resources, Ltd.‡ | 489,247 | ||||||||
1,774,550 | FirstRand, Ltd.‡ | 6,129,706 | ||||||||
160,892 | Foschini Group, Ltd. (The) | 1,632,174 | ||||||||
309,412 | Gold Fields, Ltd., Sponsored ADR | 1,500,648 | ||||||||
390,382 | Growthpoint Properties, Ltd. REIT‡ | 718,522 | ||||||||
36,256 | Hyprop Investments, Ltd. REIT | 318,576 | ||||||||
127,073 | Impala Platinum Holdings, Ltd.* | 632,258 | ||||||||
52,828 | Imperial Holdings, Ltd. | 641,984 | ||||||||
144,408 | Investec, Ltd. | 886,007 | ||||||||
190,869 | Liberty Holdings, Ltd. | 1,616,416 | ||||||||
11,976 | Massmart Holdings, Ltd. | 103,385 |
98 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Africa — continued | ||||||||||
395,152 | MMI Holdings, Ltd. | 643,680 | ||||||||
112,070 | Mondi, Ltd. | 2,351,994 | ||||||||
28,748 | Mr Price Group, Ltd. | 320,924 | ||||||||
264,861 | MTN Group, Ltd. | 2,262,381 | ||||||||
60,884 | Naspers, Ltd. Class N | 10,516,345 | ||||||||
333,634 | Netcare, Ltd. | 815,934 | ||||||||
46,344 | Pick n Pay Stores, Ltd. | 231,126 | ||||||||
728,346 | Redefine Properties, Ltd. REIT | 605,399 | ||||||||
39,012 | Remgro, Ltd. | 651,257 | ||||||||
29,715 | Resilient, Ltd. REIT | 247,725 | ||||||||
345,629 | RMB Holdings, Ltd. | 1,476,142 | ||||||||
25,470 | Sanlam, Ltd. | 116,707 | ||||||||
81,008 | Sasol, Ltd. | 2,214,999 | ||||||||
533,320 | Sibanye Gold, Ltd. | 1,918,226 | ||||||||
158,017 | Spar Group, Ltd. (The) | 2,208,281 | ||||||||
249,736 | Standard Bank Group, Ltd. | 2,554,703 | ||||||||
357,615 | Super Group, Ltd.* | 1,104,475 | ||||||||
702,015 | Telkom SA SOC, Ltd. | 3,088,075 | ||||||||
28,903 | Tiger Brands, Ltd. | 814,465 | ||||||||
221,557 | Truworths International, Ltd.‡ | 1,143,936 | ||||||||
512,662 | Tsogo Sun Holdings, Ltd. | 1,160,934 | ||||||||
114,096 | Vodacom Group, Ltd. | 1,278,921 | ||||||||
78,677 | Woolworths Holdings, Ltd. | 442,210 | ||||||||
|
| |||||||||
Total South Africa | 68,306,508 | |||||||||
|
| |||||||||
South Korea — 12.3% | ||||||||||
28,189 | Able C&C Co., Ltd. | 611,719 | ||||||||
5,736 | Amorepacific Corp. | 2,025,972 | ||||||||
2,447 | AMOREPACIFIC Group | 367,711 | ||||||||
5,615 | BGF retail Co., Ltd. | 983,970 | ||||||||
1 | CJ CheilJedang Corp. | 330 | ||||||||
42,030 | Coway Co., Ltd. | 3,640,679 | ||||||||
16,150 | DGB Financial Group, Inc. | 132,414 | ||||||||
74,011 | Dongbu Insurance Co., Ltd. | 4,583,057 | ||||||||
24,252 | Doosan Heavy Industries & Construction Co., Ltd. | 569,223 | ||||||||
19,383 | Hana Financial Group, Inc. | 490,141 | ||||||||
39,613 | Hankook Tire Co., Ltd. | 2,136,480 | ||||||||
573 | Hanmi Pharm Co., Ltd. | 264,297 | ||||||||
116,763 | Hanwha Chemical Corp. | 2,565,637 | ||||||||
47,167 | Hanwha Corp. | 1,501,070 | ||||||||
30,717 | Hanwha Life Insurance Co., Ltd. | 160,648 | ||||||||
22,395 | Hyosung Corp. | 2,643,438 | ||||||||
18,267 | Hyundai Department Store Co., Ltd. | 1,965,442 | ||||||||
68,196 | Hyundai Development Co-Engineering & Construction | 3,176,515 | ||||||||
13,147 | Hyundai Engineering & Construction Co., Ltd. | 468,534 | ||||||||
2,799 | Hyundai Glovis Co., Ltd. | 459,998 | ||||||||
175,308 | Hyundai Marine & Fire Insurance Co., Ltd. | 5,770,114 | ||||||||
16,186 | Hyundai Mobis Co., Ltd. | 4,041,540 |
See accompanying Notes to the Financial Statements. | 99 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Korea — continued | ||||||||||
12,987 | Innocean Worldwide, Inc. | 863,166 | ||||||||
200,835 | Jcontentree Corp.* | 673,796 | ||||||||
166,992 | Kangwon Land, Inc. | 5,958,856 | ||||||||
133,113 | KB Financial Group, Inc. | 4,574,683 | ||||||||
104,775 | Kia Motors Corp. | 4,009,866 | ||||||||
27,534 | Koh Young Technology, Inc. | 1,141,260 | ||||||||
170,873 | Korea Electric Power Corp. | 8,378,029 | ||||||||
6,056 | Korea Petrochemical Ind Co., Ltd. | 1,173,974 | ||||||||
7,701 | Korea Zinc Co., Ltd. | 3,363,310 | ||||||||
114,707 | Korean Reinsurance Co. | 1,213,362 | ||||||||
25,403 | KT Corp., Sponsored ADR | 407,718 | ||||||||
64,467 | KT&G Corp. | 7,316,816 | ||||||||
2,409 | LG Chem, Ltd. | 528,237 | ||||||||
67,982 | LG Corp. | 3,993,676 | ||||||||
6,084 | LG Household & Health Care, Ltd. | 5,275,544 | ||||||||
8,287 | LG Uplus Corp. | 88,412 | ||||||||
13,163 | Loen Entertainment, Inc.* | 932,232 | ||||||||
6,707 | Lotte Chemical Corp. | 1,814,760 | ||||||||
15,458 | LS Corp. | 816,866 | ||||||||
9,226 | NAVER Corp. | 7,396,884 | ||||||||
2,793 | NCSoft Corp. | 749,382 | ||||||||
2,387 | Nong Shim Co., Ltd. | 680,545 | ||||||||
14,333 | Osstem Implant Co., Ltd.* | 793,856 | ||||||||
1,636 | POSCO | 337,197 | ||||||||
62,022 | Posco Daewoo Corp. | 1,379,706 | ||||||||
2,226 | Samsung Card Co., Ltd. | 101,260 | ||||||||
26,134 | Samsung Electronics Co., Ltd. | 37,919,037 | ||||||||
35,354 | Samsung Life Insurance Co., Ltd. | 3,386,614 | ||||||||
96,170 | Shinhan Financial Group Co., Ltd. | 3,505,902 | ||||||||
2,417 | Shinsegae, Inc. | 398,316 | ||||||||
26,758 | Silicon Works Co., Ltd. | 725,225 | ||||||||
100,634 | SK Hynix, Inc. | 3,673,207 | ||||||||
23,942 | SK Innovation Co., Ltd. | 3,510,812 | ||||||||
108,399 | SK Networks Co., Ltd. | 658,455 | ||||||||
34,805 | SK Telecom Co., Ltd. | 7,142,080 | ||||||||
23,858 | Soulbrain Co., Ltd. | 1,319,247 | ||||||||
27,734 | Value Added Technologies Co., Ltd. | 946,836 | ||||||||
94,909 | Woori Bank | 982,397 | ||||||||
|
| |||||||||
Total South Korea | 166,690,450 | |||||||||
|
| |||||||||
Sweden — 0.1% | ||||||||||
125,635 | Telefonaktiebolaget LM Ericsson Class B | 908,454 | ||||||||
|
| |||||||||
Switzerland — 0.5% | ||||||||||
90,462 | ABB, Ltd.* | 2,035,255 | ||||||||
27,503 | Cie Financiere Richemont SA‡ | 1,679,573 | ||||||||
22,905 | Nestle SA | 1,808,725 | ||||||||
4,205 | Syngenta AG | 1,843,537 | ||||||||
|
| |||||||||
Total Switzerland | 7,367,090 | |||||||||
|
|
100 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Taiwan — 11.0% | ||||||||||
2,577,000 | Advanced Semiconductor Engineering, Inc. | 3,091,200 | ||||||||
382,000 | Asustek Computer, Inc. | 3,406,199 | ||||||||
395,000 | Basso Industry Corp. | 1,253,848 | ||||||||
220,000 | Bioteque Corp. | 1,112,440 | ||||||||
912,000 | Catcher Technology Co., Ltd. | 7,404,699 | ||||||||
948,000 | Cathay Financial Holding Co., Ltd. | 1,212,767 | ||||||||
1,319,000 | China Airlines, Ltd.* | 393,442 | ||||||||
1,532,660 | China General Plastics Corp. | 1,014,586 | ||||||||
846,372 | China Life Insurance Co., Ltd. | 773,590 | ||||||||
549,000 | Chunghwa Telecom Co., Ltd. | 1,935,350 | ||||||||
5,782,000 | Compal Electronics, Inc. | 3,569,307 | ||||||||
2,777,889 | CTBC Financial Holding Co., Ltd. | 1,612,913 | ||||||||
3,988,915 | E.Sun Financial Holding Co., Ltd. | 2,271,526 | ||||||||
564,000 | Elite Material Co., Ltd. | 1,538,403 | ||||||||
89,000 | Far EasTone Telecommunications Co., Ltd. | 210,110 | ||||||||
146,720 | Feng TAY Enterprise Co., Ltd. | 650,622 | ||||||||
988,570 | First Financial Holding Co., Ltd. | 525,105 | ||||||||
496,000 | Formosa Petrochemical Corp. | 1,490,587 | ||||||||
968,400 | Foxconn Technology Co., Ltd. | 2,836,105 | ||||||||
3,435,997 | Fubon Financial Holding Co., Ltd. | 5,075,263 | ||||||||
168,000 | Grape King Bio, Ltd. | 1,393,501 | ||||||||
1,836,000 | Highwealth Construction Corp. | 2,840,791 | ||||||||
4,851,905 | Hon Hai Precision Industry Co., Ltd. | 12,228,246 | ||||||||
238,950 | Hua Nan Financial Holdings Co., Ltd. | 122,351 | ||||||||
832,000 | Innolux Corp. | 281,355 | ||||||||
212,000 | Inotera Memories, Inc.* | 186,668 | ||||||||
2,316,000 | Inventec Corp. | 1,891,487 | ||||||||
1,038,000 | King Yuan Electronics Co., Ltd. | 922,247 | ||||||||
26,000 | Largan Precision Co., Ltd. | 3,135,378 | ||||||||
1,650,195 | Lite-On Technology Corp. | 2,374,306 | ||||||||
521,000 | MediaTek, Inc. | 3,980,779 | ||||||||
973,000 | Mega Financial Holding Co., Ltd. | 684,457 | ||||||||
610,000 | Merida Industry Co., Ltd. | 2,880,158 | ||||||||
997,000 | Micro-Star International Co., Ltd. | 2,592,254 | ||||||||
134,000 | Novatek Microelectronics Corp. | 472,380 | ||||||||
1,509,000 | Pegatron Corp. | 3,880,155 | ||||||||
1,525,000 | Pou Chen Corp. | 2,145,523 | ||||||||
2,157,000 | Powertech Technology, Inc. | 5,594,554 | ||||||||
51,000 | President Chain Store Corp. | 405,130 | ||||||||
810,000 | Primax Electronics, Ltd. | 1,187,395 | ||||||||
311,000 | Realtek Semiconductor Corp. | 1,021,933 | ||||||||
311,000 | Shin Zu Shing Co., Ltd. | 1,026,894 | ||||||||
718,000 | Simplo Technology Co., Ltd. | 2,359,318 | ||||||||
439,164 | SinoPac Financial Holdings Co., Ltd. | 129,597 | ||||||||
757,087 | Taishin Financial Holding Co., Ltd. | 281,382 | ||||||||
178,000 | Taiwan Fertilizer Co., Ltd. | 238,503 | ||||||||
283,000 | Taiwan Paiho, Ltd. | 1,011,182 | ||||||||
4,725,000 | Taiwan Semiconductor Manufacturing Co., Ltd. | 27,509,930 |
See accompanying Notes to the Financial Statements. | 101 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
521,184 | Taiwan Semiconductor Manufacturing Co., Ltd., Sponsored ADR | 15,943,019 | ||||||||
116,000 | Teco Electric and Machinery Co., Ltd. | 99,919 | ||||||||
1,674,015 | Uni-President Enterprises Corp. | 3,140,230 | ||||||||
1,412,000 | Vanguard International Semiconductor Corp. | 2,639,715 | ||||||||
1,444,230 | Wistron Corp. | 1,073,537 | ||||||||
1,989,000 | WPG Holdings, Ltd. | 2,354,147 | ||||||||
|
| |||||||||
Total Taiwan | 149,406,483 | |||||||||
|
| |||||||||
Thailand — 2.8% | ||||||||||
249,300 | Airports of Thailand PCL Class F | 2,870,727 | ||||||||
5,199,500 | Ananda Development PCL Class F | 726,279 | ||||||||
4,129,800 | AP Thailand PCL Class F | 864,100 | ||||||||
1,992,400 | Bangkok Dusit Medical Services PCL Class F | 1,253,516 | ||||||||
1,584,400 | Charoen Pokphand Foods PCL, NVDR | 1,451,795 | ||||||||
1,273,800 | CP All PCL Class F | 2,260,857 | ||||||||
226,622 | Delta Electronics Thailand PCL | 518,320 | ||||||||
836,878 | Delta Electronics Thailand PCL Class C | 1,914,072 | ||||||||
4,645,200 | Home Product Center PCL Class F | 1,354,012 | ||||||||
359,100 | Home Product Center PCL Class N, NVDR | 103,636 | ||||||||
5,705,800 | IRPC PCL Class F | 803,587 | ||||||||
173,400 | Kasikornbank PCL, NVDR | 938,312 | ||||||||
332,000 | KCE Electronics PCL Class F | 1,015,642 | ||||||||
288,800 | Krungthai Card PCL Class F | 1,229,380 | ||||||||
561,700 | Minor International PCL Class F | 632,216 | ||||||||
421,200 | PTT Exploration & Production PCL Class N, NVDR | 984,623 | ||||||||
2,149,600 | PTT Global Chemical PCL | 3,644,704 | ||||||||
687,600 | PTT Global Chemical PCL, NVDR | 1,165,844 | ||||||||
382,150 | Siam Cement PCL (The) | 5,712,950 | ||||||||
1,311,000 | Thai Beverage PCL | 932,686 | ||||||||
1,540,500 | Thai Oil PCL | 3,045,433 | ||||||||
745,700 | Thai Oil PCL, NVDR | 1,474,183 | ||||||||
4,315,900 | Thai Union Group PCL, NVDR | 2,665,520 | ||||||||
|
| |||||||||
Total Thailand | 37,562,394 | |||||||||
|
| |||||||||
Turkey — 1.3% | ||||||||||
67,490 | Akbank TAS | 180,831 | ||||||||
161,605 | Arcelik AS | 1,137,434 | ||||||||
76,745 | BIM Birlesik Magazalar AS | 1,280,064 | ||||||||
3,426,282 | Emlak Konut Gayrimenkul Yatirim Ortakligi AS REIT | 3,471,156 | ||||||||
855,598 | Eregli Demir ve Celik Fabrikalari TAS | 1,177,598 | ||||||||
105,848 | Ford Otomotiv Sanayi AS | 1,116,789 | ||||||||
37,813 | Haci Omer Sabanci Holding AS | 117,067 | ||||||||
554,589 | KOC Holding AS | 2,382,328 | ||||||||
370,097 | Petkim Petrokimya Holding AS | 561,183 | ||||||||
299,122 | TAV Havalimanlari Holding AS | 1,233,092 | ||||||||
83,664 | Tupras Turkiye Petrol Rafinerileri AS | 1,584,214 | ||||||||
463,894 | Turkiye Halk Bankasi AS | 1,409,909 | ||||||||
819,196 | Turkiye Is Bankasi | 1,296,758 |
102 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Turkey — continued | ||||||||||
91,798 | Turkiye Sise ve Cam Fabrikalari AS | 97,283 | ||||||||
71,600 | Yapi ve Kredi Bankasi AS* | 87,331 | ||||||||
|
| |||||||||
Total Turkey | 17,133,037 | |||||||||
|
| |||||||||
United Arab Emirates — 1.0% | ||||||||||
7,599,676 | Aldar Properties PJSC | 5,524,404 | ||||||||
715,388 | Dubai Islamic Bank PJSC | 1,055,650 | ||||||||
2,415,302 | Emaar Malls PJSC | 1,788,626 | ||||||||
2,159,123 | Emaar Properties PJSC | 4,173,638 | ||||||||
417,993 | First Gulf Bank PJSC | 1,342,858 | ||||||||
|
| |||||||||
Total United Arab Emirates | 13,885,176 | |||||||||
|
| |||||||||
United Kingdom — 1.4% | ||||||||||
77,802 | Diageo Plc | 2,234,037 | ||||||||
447,807 | Evraz Plc* | 936,539 | ||||||||
116,099 | GlaxoSmithKline Plc | 2,477,851 | ||||||||
194,826 | Mondi Plc | 4,107,471 | ||||||||
1,224,780 | Old Mutual Plc‡ | 3,208,187 | ||||||||
166,088 | Polymetal International Plc | 2,089,522 | ||||||||
45,805 | Unilever Plc | 2,174,453 | ||||||||
54,416 | Wizz Air Holdings Plc* 144A | 1,159,257 | ||||||||
36,413 | WNS Holdings, Ltd., ADR* | 1,090,569 | ||||||||
|
| |||||||||
Total United Kingdom | 19,477,886 | |||||||||
|
| |||||||||
United States — 1.4% | ||||||||||
45,684 | Abbott Laboratories | 1,931,976 | ||||||||
25,556 | China Biologic Products, Inc.* ‡ | 3,181,211 | ||||||||
25,752 | Citigroup, Inc. | 1,216,267 | ||||||||
23,528 | Colgate-Palmolive Co. | 1,744,366 | ||||||||
25,687 | Crown Holdings, Inc.* | 1,466,471 | ||||||||
17,178 | Mastercard, Inc. Class A | 1,748,205 | ||||||||
45,548 | Microsoft Corp. | 2,623,565 | ||||||||
17,148 | Monsanto Co. | 1,752,525 | ||||||||
54,585 | Pfizer, Inc. | 1,848,794 | ||||||||
13,900 | Southern Copper Corp.‡ | 365,570 | ||||||||
10,290 | Yum! Brands, Inc. | 934,435 | ||||||||
|
| |||||||||
Total United States | 18,813,385 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $1,129,477,073) | 1,220,599,166 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 2.2% | ||||||||||
Brazil — 2.0% | ||||||||||
431,340 | Banco Bradesco SA, 5.95% | 3,939,196 | ||||||||
465,500 | Braskem SA, 10.32% | 3,597,798 | ||||||||
158,400 | Centrais Eletricas Brasileiras SA, 0.00%* | 1,163,799 | ||||||||
85,800 | Cia Brasileira de Distribuicao Grupo Pao de Acucar, 0.31% | 1,402,336 | ||||||||
102,236 | Cia de Transmissao de Energia Eletrica Paulista, 3.14% | 2,076,912 |
See accompanying Notes to the Financial Statements. | 103 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Brazil — continued | ||||||||||
289,200 | Cia Energetica de Minas Gerais, 5.74% | 763,758 | ||||||||
210,600 | Cia Paranaense de Energia, 3.69% | 2,179,996 | ||||||||
31,400 | Gerdau SA, 0.75% | 85,632 | ||||||||
456,300 | Itau Unibanco Holding SA, 3.79% | 4,988,773 | ||||||||
1,122,796 | Itausa - Investimentos Itau SA, 4.01% | 2,882,287 | ||||||||
292,200 | Petroleo Brasileiro SA, 0.00%* | 1,220,479 | ||||||||
646,800 | Suzano Papel e Celulose SA, 3.71% | 2,084,429 | ||||||||
41,300 | Telefonica Brasil SA, 4.58% | 596,837 | ||||||||
89,100 | Vale SA, 2.39% | 422,346 | ||||||||
|
| |||||||||
Total Brazil | 27,404,578 | |||||||||
|
| |||||||||
Colombia — 0.1% | ||||||||||
82,331 | Bancolombia SA, 3.16% | 798,725 | ||||||||
|
| |||||||||
Germany — 0.1% | ||||||||||
20,005 | Bayerische Motoren Werke AG, 4.75% | 1,475,244 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $23,829,136) | 29,678,547 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 9.2% | ||||||||||
Bank Deposit — 7.1% | ||||||||||
96,915,697 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/03/16 | 96,915,697 | ||||||||
|
| |||||||||
Investment Fund — 0.5% | ||||||||||
6,342,035 | State Street Institutional Treasury Plus Money Market Fund, Premier Class***** | 6,342,035 | ||||||||
|
| |||||||||
Securities Lending Collateral — 1.4% | ||||||||||
19,351,259 | State Street Institutional U.S. Government Money Market Fund, Premier Class*** | 19,351,259 | ||||||||
|
| |||||||||
U.S. Government and Agency Obligations — 0.2% | ||||||||||
1,700,000 | United States Treasury Bill, 0.26%, due 01/05/17** ‡‡ | 1,698,823 | ||||||||
1,700,000 | United States Treasury Bill, 0.12%, due 10/13/16** ‡‡ | 1,699,927 | ||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (COST $3,398,010) | 3,398,750 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $126,007,000) | 126,007,741 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 101.2% (Cost $1,279,313,209) | 1,376,285,454 | |||||||||
Other Assets and Liabilities (net) — (1.2)% | (16,614,783 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 1,359,670,671 | ||||||||
|
|
104 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (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 | |||||||||
** | All or a portion of this security is held for open futures collateral. | |||||||||
*** | Represents an investment of securities lending cash collateral. | |||||||||
***** | Security has been segregated to cover collateral requirements on open synthetic futures contracts. | |||||||||
‡ | 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 $12,071,540 which represents 0.9% of net assets. |
See accompanying Notes to the Financial Statements. | 105 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
September 30, 2016 (Unaudited)
Forward Foreign Currency Contracts
Settlement | Currency | Counterparty | Units of | Value | Unrealized | |||||||||||||||
Buys | ||||||||||||||||||||
12/21/16 | BRL | Citibank N.A. London | 136,668,000 | $ | 41,116,472 | $ | 339,118 | |||||||||||||
12/21/16 | CLP | Citibank N.A. London | 2,230,775,000 | 3,363,420 | 17,145 | |||||||||||||||
12/21/16 | COP | Citibank N.A. London | 25,187,000,000 | 8,628,429 | 100,101 | |||||||||||||||
12/21/16 | HKD | Citibank N.A. London | 130,684,000 | 16,862,790 | (2,662 | ) | ||||||||||||||
12/21/16 | HUF | Citibank N.A. London | 2,540,682,000 | 9,242,811 | 396 | |||||||||||||||
12/21/16 | IDR | Citibank N.A. London | 155,745,788,225 | 11,794,158 | 163,245 | |||||||||||||||
12/21/16 | ILS | Citibank N.A. London | 16,200,000 | 4,325,066 | 8,644 | |||||||||||||||
12/21/16 | INR | Citibank N.A. London | 1,649,229,000 | 24,447,812 | 137,805 | |||||||||||||||
12/21/16 | KRW | Citibank N.A. London | 17,706,061,000 | 16,069,746 | 143,389 | |||||||||||||||
12/21/16 | MXN | Citibank N.A. London | 107,269,000 | 5,495,023 | (133,953 | ) | ||||||||||||||
12/21/16 | MYR | Citibank N.A. London | 700,000 | 168,612 | (4,079 | ) | ||||||||||||||
12/21/16 | PLN | Citibank N.A. London | 12,771,000 | 3,331,838 | 25,460 | |||||||||||||||
12/21/16 | RUB | Citibank N.A. London | 884,000,000 | 13,774,206 | 351,661 | |||||||||||||||
12/21/16 | THB | Citibank N.A. London | 29,510,000 | 850,771 | 810 | |||||||||||||||
12/21/16 | TRY | Citibank N.A. London | 49,000 | 16,076 | (7 | ) | ||||||||||||||
12/21/16 | TWD | Citibank N.A. London | 362,904,000 | 11,602,507 | 26,425 | |||||||||||||||
12/21/16 | ZAR | Citibank N.A. London | 311,850,000 | 22,337,723 | 592,959 | |||||||||||||||
|
| |||||||||||||||||||
$ | 1,766,457 | |||||||||||||||||||
|
| |||||||||||||||||||
Sales | ||||||||||||||||||||
12/21/16 | BRL | Citibank N.A. London | 21,800,000 | $ | 6,558,515 | $ | (87,888 | ) | ||||||||||||
12/21/16 | CLP | Citibank N.A. London | 10,262,643,000 | 15,473,358 | (286,992 | ) | ||||||||||||||
12/21/16 | COP | Citibank N.A. London | 13,500,000,000 | 4,624,758 | (35,639 | ) | ||||||||||||||
12/21/16 | CZK | Citibank N.A. London | 18,690,000 | 781,162 | (5,678 | ) | ||||||||||||||
12/21/16 | HKD | Citibank N.A. London | 76,379,000 | 9,855,552 | 167 | |||||||||||||||
12/21/16 | IDR | Citibank N.A. London | 522,273,000 | 39,550 | 31 | |||||||||||||||
12/21/16 | ILS | Citibank N.A. London | 40,080,000 | 10,700,533 | (894 | ) | ||||||||||||||
12/21/16 | INR | Citibank N.A. London | 135,164,000 | 2,003,642 | (6,222 | ) | ||||||||||||||
12/21/16 | KRW | Citibank N.A. London | 6,600,000,000 | 5,990,058 | (87,742 | ) | ||||||||||||||
12/21/16 | MXN | Citibank N.A. London | 368,535,000 | 18,878,784 | 83,787 | |||||||||||||||
12/21/16 | MYR | Citibank N.A. London | 9,921,000 | 2,389,718 | 25,446 | |||||||||||||||
12/21/16 | PEN | Citibank N.A. London | 100,000 | 29,111 | 314 | |||||||||||||||
12/21/16 | PHP | Citibank N.A. London | 1,118,612,000 | 23,017,443 | 696,191 | |||||||||||||||
12/21/16 | PLN | Citibank N.A. London | 6,505,000 | 1,697,096 | (6,421 | ) | ||||||||||||||
12/21/16 | RUB | Citibank N.A. London | 6,033,000 | 94,004 | (295 | ) | ||||||||||||||
12/21/16 | SGD | Citibank N.A. London | 50,946,000 | 37,382,816 | 85,077 | |||||||||||||||
12/21/16 | THB | Citibank N.A. London | 53,325,000 | 1,537,356 | (2,922 | ) | ||||||||||||||
12/21/16 | TRY | Citibank N.A. London | 51,287,000 | 16,826,577 | 138,431 | |||||||||||||||
12/21/16 | TWD | Citibank N.A. London | 9,397,000 | 300,434 | 1,534 | |||||||||||||||
12/21/16 | ZAR | Citibank N.A. London | 93,200,000 | 6,675,888 | (268,374 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | 241,911 | |||||||||||||||||||
|
|
106 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
September 30, 2016 (Unaudited)
Currency Abbreviations
BRL | — Brazilian Real |
CLP | — Chilean Peso |
COP | — Colombian Peso |
CZK | — Czech Koruna |
HKD | — Hong Kong Dollar |
HUF | — Hungarian Forint |
IDR | — Indonesian Rupiah |
ILS | — Israeli Shekel |
INR | — Indian Rupee |
KRW | — South Korean Won |
MXN | — Mexican Peso |
MYR | — Malaysian Ringgit |
PEN | — Peruvian Nouveau Sol |
PHP | — Philippines Peso |
PLN | — Polish Zloty |
RUB | — Russian Ruble |
SGD | — Singapore Dollar |
THB | — Thai Baht |
TRY | — New Turkish Lira |
TWD | — Taiwan Dollar |
ZAR | — South African Rand |
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||||
Buys | ||||||||||||||||||||
69 | BIST 30 Index | October 2016 | $ | 216,552 | $ | (3,061 | ) | |||||||||||||
47 | KOSPI 200 Index | December 2016 | 5,509,330 | (65,846 | ) | |||||||||||||||
1,414 | MSCI Emerging Markets E-mini Index | December 2016 | 64,513,750 | (706,670 | ) | |||||||||||||||
116 | MSCI Singapore Index | October 2016 | 2,681,242 | 27,201 | ||||||||||||||||
42 | MSCI Taiwan Index | October 2016 | 1,435,140 | (18,566 | ) | |||||||||||||||
230 | SET50 Index | December 2016 | 1,254,944 | (6,213 | ) | |||||||||||||||
|
| |||||||||||||||||||
$ | (773,155 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Sales | ||||||||||||||||||||
53 | FTSE Bursa Malaysia KLCI Index | October 2016 | $ | 1,059,872 | $ | 6,114 | ||||||||||||||
457 | FTSE/JSE Top 40 Index | December 2016 | 15,263,077 | 255,014 | ||||||||||||||||
21 | Mexico Bolsa Index | December 2016 | 512,036 | (4,634 | ) | |||||||||||||||
882 | SGX Nifty 50 Index | October 2016 | 15,260,364 | 220,624 | ||||||||||||||||
|
| |||||||||||||||||||
$ | 477,118 | |||||||||||||||||||
|
|
See accompanying Notes to the Financial Statements. | 107 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
September 30, 2016 (Unaudited)
Synthetic Futures
Number of | Reference Entity | Expiration Date | Counterparty | Notional Value | Value | |||||||||||||
42,500 | BIST 30 Index | 10/31/2016 | Goldman Sachs International | $ | 1,378,097 | $ | (19,055 | ) | ||||||||||
9,400 | Taiwan Stock Exchange Capitalization Weighted Stock Index | 10/19/2016 | Goldman Sachs International | 2,764,369 | (29,409 | ) | ||||||||||||
(3,800 | ) | MSCI Mexico Index | 12/21/2016 | Goldman Sachs International | 187,996 | 1,356 | ||||||||||||
7,600 | Tel Aviv 25 Index | 10/28/2016 | Goldman Sachs International | 2,953,879 | (30,821 | ) | ||||||||||||
(8,055 | ) | MSCI South Africa Net Return Index | 12/21/2016 | Goldman Sachs International | 512,485 | 6,137 | ||||||||||||
(175 | ) | Brazil Bovespa Stock Index | 10/13/2016 | Goldman Sachs International | 3,194,247 | 15,617 | ||||||||||||
(25,214 | ) | MSCI South Africa Net Return Index | 12/21/2016 | Goldman Sachs International | 1,628,831 | 6,718 | ||||||||||||
(7,805 | ) | MSCI Poland Net Return Index | 12/20/2016 | Goldman Sachs International | 299,535 | 1,800 | ||||||||||||
291 | MSCI Turkey Net Return Index | 12/20/2016 | Goldman Sachs International | 90,549 | 347 | |||||||||||||
(298 | ) | SGX Nifty 50 Index | 10/27/2016 | Goldman Sachs International | 2,625,016 | 47,018 | ||||||||||||
(2,000 | ) | Warsaw WIG 20 Index | 12/16/2016 | Goldman Sachs International | 897,705 | 3,665 | ||||||||||||
(9,909 | ) | MSCI South Africa Net Return Index | 12/21/2016 | Goldman Sachs International | 643,607 | 6,178 | ||||||||||||
2,100 | MSCI Taiwan Index | 10/28/2016 | Goldman Sachs International | 726,079 | (8,510 | ) | ||||||||||||
78,500,000 | KOSPI 200 Index | 12/8/2016 | Goldman Sachs International | 18,703,821 | (224,070 | ) | ||||||||||||
(2,009 | ) | MSCI South Africa Net Return Index | 12/21/2016 | Goldman Sachs International | 127,282 | 2,190 | ||||||||||||
(9,219 | ) | MSCI South Africa Net Return Index | 12/21/2016 | Goldman Sachs International | 601,524 | (7,122 | ) | |||||||||||
24,850 | Hang Seng China Enterprises Index | 10/28/2016 | Goldman Sachs International | 31,082,256 | (318,594 | ) | ||||||||||||
1,863 | MSCI China Net Return Index | 12/21/2016 | Goldman Sachs International | 100,235 | 455 | |||||||||||||
(143 | ) | MSCI Brazil Net Return Index | 12/21/2016 | Goldman Sachs International | 27,999 | (605 | ) | |||||||||||
|
| |||||||||||||||||
$ | (546,705 | ) | ||||||||||||||||
|
|
108 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
September 30, 2016 (Unaudited)
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Banks | 12.8 | ||||
Semiconductors | 7.9 | ||||
Internet | 6.3 | ||||
Telecommunications | 4.5 | ||||
Oil & Gas | 4.1 | ||||
Diversified Financial Services | 4.0 | ||||
Food | 3.5 | ||||
Real Estate | 3.1 | ||||
Insurance | 3.0 | ||||
Pharmaceuticals | 2.8 | ||||
Electronics | 2.7 | ||||
Computers | 2.6 | ||||
Retail | 2.5 | ||||
Auto Manufacturers | 2.3 | ||||
Beverages | 2.3 | ||||
Chemicals | 2.3 | ||||
Electric | 2.0 | ||||
Commercial Services | 1.7 | ||||
Software | 1.5 | ||||
Holding Companies — Diversified | 1.4 | ||||
Mining | 1.4 | ||||
Engineering & Construction | 1.2 | ||||
Media | 1.2 | ||||
Agriculture | 1.1 | ||||
Leisure Time | 1.1 | ||||
Airlines | 0.8 | ||||
Cosmetics & Personal Care | 0.8 | ||||
Forest Products & Paper | 0.8 | ||||
Metal Fabricate & Hardware | 0.8 | ||||
Auto Parts & Equipment | 0.7 | ||||
Home Furnishings | 0.7 | ||||
Entertainment | 0.6 | ||||
Iron & Steel | 0.6 | ||||
Packaging & Containers | 0.6 | ||||
Household Products & Wares | 0.5 | ||||
Health Care — Products | 0.4 | ||||
Home Builders | 0.4 | ||||
Lodging | 0.4 | ||||
Building Materials | 0.3 | ||||
Distribution & Wholesale | 0.3 | ||||
Environmental Control | 0.3 | ||||
Health Care — Services | 0.3 | ||||
Machinery — Construction & Mining | 0.3 | ||||
Miscellaneous — Manufacturing | 0.3 | ||||
Transportation | 0.3 | ||||
Water | 0.3 | ||||
Apparel | 0.2 | ||||
Biotechnology | 0.2 | ||||
Coal | 0.2 | ||||
Electrical Components & Equipment | 0.2 |
See accompanying Notes to the Financial Statements. | 109 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
September 30, 2016 (Unaudited)
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Energy — Alternate Sources | 0.2 | ||||
Food Service | 0.2 | ||||
Gas | 0.2 | ||||
Hand & Machine Tools | 0.2 | ||||
REITS | 0.2 | ||||
Advertising | 0.1 | ||||
Machinery — Diversified | 0.1 | ||||
Oil & Gas Services | 0.1 | ||||
Textiles | 0.1 | ||||
Housewares | 0.0 | ||||
Short-Term Investments and Other Assets and Liabilities (net) | 8.0 | ||||
|
| ||||
100.0 | % | ||||
|
|
110 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 88.1% | ||||||||||
Australia — 1.3% | ||||||||||
228,292 | AGL Energy, Ltd. | 3,328,045 | ||||||||
165,618 | Telstra Corp., Ltd. | 656,509 | ||||||||
96,508 | Wesfarmers, Ltd. | 3,256,907 | ||||||||
398,069 | Woolworths, Ltd. | 7,088,564 | ||||||||
|
| |||||||||
Total Australia | 14,330,025 | |||||||||
|
| |||||||||
Austria — 1.9% | ||||||||||
185 | Agrana Beteiligungs AG | 22,017 | ||||||||
134,791 | BUWOG AG* | 3,649,108 | ||||||||
135,962 | CA Immobilien Anlagen AG* | 2,592,916 | ||||||||
177,994 | Conwert Immobilien Invest SE* | 3,351,497 | ||||||||
17,851 | EVN AG | 211,743 | ||||||||
34,272 | Flughafen Wien AG | 847,327 | ||||||||
5,124 | Lenzing AG | 598,869 | ||||||||
5,935 | Mayr Melnhof Karton AG | 652,969 | ||||||||
63,374 | Oesterreichische Post AG* | 2,244,845 | ||||||||
55,455 | OMV AG | 1,596,647 | ||||||||
26,222 | S IMMO AG* | 276,118 | ||||||||
175,068 | Telekom Austria AG* | 988,626 | ||||||||
81,082 | UNIQA Insurance Group AG | 527,129 | ||||||||
23,121 | Verbund AG | 385,853 | ||||||||
90,754 | Voestalpine AG | 3,141,272 | ||||||||
|
| |||||||||
Total Austria | 21,086,936 | |||||||||
|
| |||||||||
Belgium — 0.3% | ||||||||||
39,322 | Colruyt SA | 2,181,222 | ||||||||
32,340 | Elia System Operator SA | 1,653,274 | ||||||||
|
| |||||||||
Total Belgium | 3,834,496 | |||||||||
|
| |||||||||
Bermuda — 1.3% | ||||||||||
25,200 | Arch Capital Group, Ltd.* | 1,997,352 | ||||||||
22,000 | Aspen Insurance Holdings, Ltd. | 1,024,980 | ||||||||
22,400 | Axis Capital Holdings, Ltd. | 1,216,992 | ||||||||
140,000 | Cheung Kong Infrastructure Holdings, Ltd. | 1,203,979 | ||||||||
34,000 | Clear Media, Ltd. | 32,396 | ||||||||
286,000 | Emperor International Holdings, Ltd. | 65,269 | ||||||||
19,900 | Endurance Specialty Holdings, Ltd. | 1,302,455 | ||||||||
9,700 | Everest Re Group, Ltd. | 1,842,709 | ||||||||
34,900 | Genpact, Ltd.* | 835,855 | ||||||||
80,500 | Genting Hong Kong, Ltd.* | 22,137 | ||||||||
271,500 | Kerry Properties, Ltd. | 889,137 | ||||||||
29,800 | Mandarin Oriental International, Ltd. | 38,889 | ||||||||
9,900 | RenaissanceRe Holdings, Ltd. | 1,189,584 | ||||||||
17,452 | Stolt-Nielsen, Ltd. | 227,094 | ||||||||
24,700 | Validus Holdings, Ltd. | 1,230,554 | ||||||||
1,500 | White Mountains Insurance Group, Ltd. | 1,245,000 |
See accompanying Notes to the Financial Statements. | 111 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Bermuda — continued | ||||||||||
5,000 | Wing On Co. International, Ltd. | 15,472 | ||||||||
|
| |||||||||
Total Bermuda | 14,379,854 | |||||||||
|
| |||||||||
Canada — 4.1% | ||||||||||
89,392 | Atco, Ltd. Class I | 3,170,976 | ||||||||
48,900 | Bank of Montreal | 3,198,732 | ||||||||
68,857 | BCE, Inc. | 3,179,816 | ||||||||
12,900 | Canadian Imperial Bank of Commerce‡ | 998,529 | ||||||||
20,400 | Canadian Real Estate Investment Trust REIT | 730,473 | ||||||||
36,200 | Canadian Utilities, Ltd. Class A | 1,019,687 | ||||||||
26,100 | Capital Power Corp. | 409,497 | ||||||||
1,735 | Cogeco Communications, Inc. | 85,493 | ||||||||
10,200 | Cogeco, Inc. | 399,075 | ||||||||
38,700 | Crombie Real Estate Investment Trust REIT | 421,379 | ||||||||
25,100 | Dollarama, Inc. | 1,956,243 | ||||||||
200 | E-L Financial Corp., Ltd. | 106,525 | ||||||||
78,800 | Emera, Inc. | 2,836,620 | ||||||||
179,943 | First Capital Realty, Inc. | 3,009,433 | ||||||||
34,200 | George Weston, Ltd. | 2,847,897 | ||||||||
36,000 | H&R Real Estate Investment Trust REIT | 614,404 | ||||||||
56,700 | Loblaw Cos., Ltd. | 2,912,117 | ||||||||
6,200 | Manitoba Telecom Services, Inc.‡ | 177,851 | ||||||||
78,400 | Maple Leaf Foods, Inc. | 1,796,176 | ||||||||
117,000 | Pure Industrial Real Estate Trust REIT | 490,523 | ||||||||
74,900 | Rogers Communications, Inc. Class B | 3,172,101 | ||||||||
51,700 | Royal Bank of Canada | 3,196,608 | ||||||||
17,300 | Saputo, Inc. | 600,119 | ||||||||
124,700 | Shaw Communications, Inc. Class B | 2,547,609 | ||||||||
110,100 | Stornoway Diamond Corp.* | 98,853 | ||||||||
43,300 | Thomson Reuters Corp. (New York Exchange) | 1,791,754 | ||||||||
71,200 | Toronto-Dominion Bank | 3,155,174 | ||||||||
25,613 | Valener, Inc.‡ | 425,438 | ||||||||
|
| |||||||||
Total Canada | 45,349,102 | |||||||||
|
| |||||||||
Denmark — 0.0% | ||||||||||
7,855 | Matas AS | 147,001 | ||||||||
963 | Schouw & Co. | 62,858 | ||||||||
|
| |||||||||
Total Denmark | 209,859 | |||||||||
|
| |||||||||
Faroe Islands — 0.0% | ||||||||||
11,609 | Bakkafrost P/F | 484,707 | ||||||||
|
| |||||||||
Finland — 0.0% | ||||||||||
16,457 | Raisio OYJ Class V | 72,498 | ||||||||
6,190 | Tokmanni Group Corp.* | 67,059 | ||||||||
|
| |||||||||
Total Finland | 139,557 | |||||||||
|
|
112 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
France — 1.1% | ||||||||||
6,521 | Caisse Regionale de Credit Agricole Mutuel Nord de France | 122,456 | ||||||||
11,725 | GFI Informatique SA | 105,676 | ||||||||
2,886 | Kaufman & Broad SA | 119,223 | ||||||||
885 | Manutan International | 53,607 | ||||||||
153,501 | Sanofi | 11,668,200 | ||||||||
1,748 | Vetoquinol SA | 86,434 | ||||||||
|
| |||||||||
Total France | 12,155,596 | |||||||||
|
| |||||||||
Germany — 1.3% | ||||||||||
68,779 | Celesio AG | 1,993,795 | ||||||||
157,275 | Commerzbank AG | 1,014,166 | ||||||||
918 | Homag Group AG | 41,188 | ||||||||
6,693 | Hornbach Baumarkt AG | 207,596 | ||||||||
4,204 | Hornbach Holding AG & Co. KGaA | 289,184 | ||||||||
723 | KWS Saat SE | 243,630 | ||||||||
28,057 | Merck KGaA | 3,024,086 | ||||||||
78,113 | Rhoen-Klinikum AG | 2,375,419 | ||||||||
34,783 | Salzgitter AG | 1,140,035 | ||||||||
9,414 | STADA Arzneimittel AG | 523,260 | ||||||||
96,747 | Suedzucker AG | 2,689,295 | ||||||||
19,163 | Wuestenrot & Wuerttembergische AG | 384,730 | ||||||||
|
| |||||||||
Total Germany | 13,926,384 | |||||||||
|
| |||||||||
Hong Kong — 0.5% | ||||||||||
322,000 | CLP Holdings, Ltd. | 3,327,548 | ||||||||
28,900 | Hong Kong & China Gas Co., Ltd. | 54,551 | ||||||||
26,000 | Hong Kong Ferry Holdings Co., Ltd. | 30,103 | ||||||||
50,500 | Hongkong & Shanghai Hotels (The) | 50,136 | ||||||||
51,500 | Hopewell Holdings, Ltd. | 187,914 | ||||||||
60,000 | Liu Chong Hing Investment, Ltd. | 86,643 | ||||||||
40,000 | Miramar Hotel & Investment Co., Ltd. | 81,383 | ||||||||
397,000 | Regal Real Estate Investment Trust REIT | 105,956 | ||||||||
922,000 | Sunlight Real Estate Investment Trust REIT | 588,439 | ||||||||
51,500 | Swire Pacific, Ltd. Class A | 554,777 | ||||||||
|
| |||||||||
Total Hong Kong | 5,067,450 | |||||||||
|
| |||||||||
Ireland — 0.7% | ||||||||||
15,100 | Accenture Plc Class A | 1,844,767 | ||||||||
106,989 | Hibernia Plc REIT | 164,721 | ||||||||
25,145 | Kerry Group Plc Class A | 2,095,609 | ||||||||
32,200 | Medtronic Plc | 2,782,080 | ||||||||
33,657 | Total Produce Plc | 62,258 | ||||||||
87,510 | UDG Healthcare Plc | 728,660 | ||||||||
|
| |||||||||
Total Ireland | 7,678,095 | |||||||||
|
|
See accompanying Notes to the Financial Statements. | 113 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Israel — 0.6% | ||||||||||
251,247 | Amot Investments, Ltd. | 1,120,269 | ||||||||
407,621 | Bank Hapoalim BM | 2,309,646 | ||||||||
51,123 | Bank Leumi Le-Israel BM* | 194,159 | ||||||||
444,787 | Israel Discount Bank, Ltd. Class A* | 817,476 | ||||||||
39,238 | Teva Pharmaceutical Industries, Ltd., Sponsored ADR | 1,805,340 | ||||||||
|
| |||||||||
Total Israel | 6,246,890 | |||||||||
|
| |||||||||
Italy — 0.4% | ||||||||||
62,664 | Ascopiave Spa | 189,435 | ||||||||
159,731 | Enel Spa | 712,279 | ||||||||
426,430 | Hera Spa | 1,149,174 | ||||||||
768,501 | Parmalat Spa | 2,036,466 | ||||||||
88,003 | Terna Rete Elettrica Nazionale Spa | 453,743 | ||||||||
|
| |||||||||
Total Italy | 4,541,097 | |||||||||
|
| |||||||||
Japan — 3.5% | ||||||||||
28,900 | Alpen Co., Ltd.‡ | 519,980 | ||||||||
3,000 | AT-Group Co., Ltd. | 65,916 | ||||||||
66,900 | Canon, Inc. | 1,931,389 | ||||||||
15,000 | Cawachi, Ltd. | 361,724 | ||||||||
148,300 | Chubu Electric Power Co., Inc. | 2,146,919 | ||||||||
41,700 | Coca-Cola West Co., Ltd. | 1,160,838 | ||||||||
126,100 | Daiichi Sanyko Co., Ltd. | 3,007,273 | ||||||||
27,000 | Dydo Drinco, Inc. | 1,498,445 | ||||||||
7,200 | Earth Chemical Co., Ltd. | 338,794 | ||||||||
162,300 | EDION Corp.‡ | 1,352,700 | ||||||||
29,400 | Fuji Media Holdings, Inc. | 396,878 | ||||||||
16,000 | Geo Holdings Corp. | 205,718 | ||||||||
44,000 | Hyakugo Bank, Ltd. (The) | 158,159 | ||||||||
3,600 | J-Oil Mills, Inc. | 127,626 | ||||||||
6,000 | Joshin Denki Co., Ltd. | 51,311 | ||||||||
4,900 | Kato Sangyo Co., Ltd. | 115,357 | ||||||||
1,000 | KFC Holdings Japan, Ltd. | 18,239 | ||||||||
13,200 | Komeri Co., Ltd. | 319,360 | ||||||||
10,000 | KYORIN Holdings, Inc. | 225,053 | ||||||||
2,100 | Mitsubishi Shokuhin Co., Ltd. | 67,916 | ||||||||
154,700 | Mitsubishi Tanabe Pharma Corp. | 3,292,139 | ||||||||
7,600 | Mochida Pharmaceutical Co., Ltd. | 592,900 | ||||||||
7,700 | MOS Food Services, Inc.‡ | 244,082 | ||||||||
33,500 | Nippon Flour Mills Co., Ltd. | 512,102 | ||||||||
82,400 | Nippon Light Metal Holdings Co., Ltd.‡ | 176,574 | ||||||||
69,600 | Nippon Telegraph & Telephone Corp. | 3,171,228 | ||||||||
570,000 | Nisshin Oillio Group, Ltd. (The) | 2,639,905 | ||||||||
98,700 | North Pacific Bank, Ltd. | 346,983 | ||||||||
16,900 | Okinawa Cellular Telephone Co. | 510,680 | ||||||||
25,800 | Okinawa Electric Power Co., Inc. (The) | 579,873 | ||||||||
520,000 | Osaka Gas Co., Ltd.‡ | 2,167,501 | ||||||||
40,000 | Otsuka Holdings Co., Ltd. | 1,812,670 |
114 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
47,600 | Shimachu Co., Ltd. | 1,177,955 | ||||||||
78,000 | Showa Sangyo Co., Ltd. | 406,695 | ||||||||
43,100 | Sumitomo Dainippon Pharma Co., Ltd. | 828,674 | ||||||||
21,000 | Suzuken Co., Ltd. | 688,491 | ||||||||
30,100 | Taisho Pharmaceutical Holdings Co., Ltd. | 3,067,516 | ||||||||
11,400 | Takeda Pharmaceutical Co., Ltd. | 542,954 | ||||||||
26,000 | Toppan Printing Co., Ltd. | 233,131 | ||||||||
68,900 | Vital KSK Holdings, Inc. | 726,660 | ||||||||
11,000 | Yamanashi Chuo Bank, Ltd. (The) | 47,144 | ||||||||
24,100 | Yodogawa Steel Works, Ltd. | 643,047 | ||||||||
|
| |||||||||
Total Japan | 38,478,499 | |||||||||
|
| |||||||||
Luxembourg — 0.1% | ||||||||||
89,943 | Atento SA* | 762,717 | ||||||||
2,123 | Millicom International Cellular SA | 110,820 | ||||||||
|
| |||||||||
Total Luxembourg | 873,537 | |||||||||
|
| |||||||||
Netherlands — 0.9% | ||||||||||
3,239 | Accell Group | 82,391 | ||||||||
38,545 | Heineken Holding NV | 3,091,958 | ||||||||
35,461 | Heineken NV | 3,120,738 | ||||||||
136,275 | QIAGEN NV* | 3,739,386 | ||||||||
2,506 | Sligro Food Group NV | 93,021 | ||||||||
|
| |||||||||
Total Netherlands | 10,127,494 | |||||||||
|
| |||||||||
New Zealand — 2.3% | ||||||||||
229,644 | Air New Zealand, Ltd. | 310,615 | ||||||||
709,120 | Argosy Property, Ltd. | 577,552 | ||||||||
582,199 | Auckland International Airport, Ltd. | 3,111,806 | ||||||||
264,776 | Chorus, Ltd. | 752,851 | ||||||||
645,888 | Contact Energy, Ltd. | 2,367,236 | ||||||||
85,411 | Ebos Group, Ltd. | 1,170,790 | ||||||||
342,913 | Fisher & Paykel Healthcare Corp., Ltd. | 2,496,156 | ||||||||
48,914 | Fletcher Building, Ltd. | 381,669 | ||||||||
94,773 | Fonterra Co-operative Group, Ltd. | 410,067 | ||||||||
71,449 | Freightways, Ltd. | 341,362 | ||||||||
662,719 | Genesis Energy, Ltd.‡ | 1,007,232 | ||||||||
445,940 | Goodman Property Trust REIT | 423,195 | ||||||||
794,444 | Infratil, Ltd. | 1,871,811 | ||||||||
1,388,432 | Kiwi Property Group, Ltd. REIT | 1,514,501 | ||||||||
44,594 | Mainfreight, Ltd. | 575,610 | ||||||||
759,746 | Mercury NZ, Ltd. | 1,682,323 | ||||||||
173,592 | Metlifecare, Ltd. | 788,975 | ||||||||
57,486 | New Zealand Refining Co., Ltd. (The) | 102,419 | ||||||||
290,401 | Precinct Properties New Zealand, Ltd. | 274,533 | ||||||||
119,182 | Sky City Entertainment Group, Ltd. | 396,945 | ||||||||
678,552 | Spark New Zealand, Ltd. | 1,781,329 |
See accompanying Notes to the Financial Statements. | 115 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
New Zealand — continued | ||||||||||
268,778 | Summerset Group Holdings, Ltd. | 1,035,913 | ||||||||
11,949 | TrustPower, Ltd. | 66,908 | ||||||||
135,941 | Vector, Ltd. | 326,226 | ||||||||
262,022 | Z Energy, Ltd. | 1,600,556 | ||||||||
|
| |||||||||
Total New Zealand | 25,368,580 | |||||||||
|
| |||||||||
Norway — 1.6% | ||||||||||
5,758 | AF Gruppen ASA | 113,830 | ||||||||
20,824 | Atea ASA* | 211,046 | ||||||||
198,750 | Austevoll Seafood ASA | 1,672,352 | ||||||||
14,886 | DNB ASA | 195,008 | ||||||||
54,837 | Leroy Seafood Group ASA | 2,771,250 | ||||||||
188,033 | Marine Harvest ASA* | 3,366,681 | ||||||||
764,850 | Norsk Hydro ASA | 3,296,809 | ||||||||
343,961 | Orkla ASA | 3,554,819 | ||||||||
21,826 | SpareBank 1 SR-Bank ASA | 124,528 | ||||||||
139,498 | Telenor ASA | 2,392,950 | ||||||||
|
| |||||||||
Total Norway | 17,699,273 | |||||||||
|
| |||||||||
Panama — 0.0% | ||||||||||
6,500 | Carnival Corp. | 317,330 | ||||||||
|
| |||||||||
Portugal — 0.2% | ||||||||||
415,360 | EDP - Energias de Portugal SA | 1,395,210 | ||||||||
225,533 | REN - Redes Energeticas Nacionais SGPS SA‡ | 659,741 | ||||||||
|
| |||||||||
Total Portugal | 2,054,951 | |||||||||
|
| |||||||||
Singapore — 0.4% | ||||||||||
210,000 | Fortune Real Estate Investment Trust REIT | 260,742 | ||||||||
53,800 | Fraser and Neave, Ltd. | 84,442 | ||||||||
14,900 | Great Eastern Holdings, Ltd. | 222,934 | ||||||||
15,200 | Hong Leong Finance, Ltd. | 24,749 | ||||||||
52,700 | Metro Holdings, Ltd. | 35,560 | ||||||||
700,200 | OUE, Ltd. | 896,145 | ||||||||
139,200 | Sheng Siong Group, Ltd. | 108,220 | ||||||||
31,400 | SIA Engineering Co., Ltd. | 85,441 | ||||||||
39,200 | Singapore Airlines, Ltd. | 302,169 | ||||||||
460,800 | SPH REIT | 337,966 | ||||||||
809,400 | StarHub, Ltd.‡ | 2,036,189 | ||||||||
41,900 | Venture Corp., Ltd. | 277,192 | ||||||||
126,400 | Wilmar International, Ltd. | 298,513 | ||||||||
|
| |||||||||
Total Singapore | 4,970,262 | |||||||||
|
| |||||||||
Spain — 1.0% | ||||||||||
112,658 | Ebro Foods SA | 2,620,725 | ||||||||
133,476 | Endesa SA | 2,862,006 | ||||||||
460,289 | Iberdrola SA | 3,130,535 |
116 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
Spain — continued | ||||||||||
138,583 | Red Electrica Corp. SA | 2,990,979 | ||||||||
|
| |||||||||
Total Spain | 11,604,245 | |||||||||
|
| |||||||||
Sweden — 1.0% | ||||||||||
9,636 | Axfood AB | 170,284 | ||||||||
59,152 | Bonava AB Class B* | 747,047 | ||||||||
69,361 | Hennes & Mauritz AB Class B‡ | 1,959,213 | ||||||||
102,697 | Svenska Cellulosa AB SCA Class B | 3,054,275 | ||||||||
88,147 | Swedish Match AB | 3,238,868 | ||||||||
533,820 | Telia Co. AB | 2,393,884 | ||||||||
|
| |||||||||
Total Sweden | 11,563,571 | |||||||||
|
| |||||||||
Switzerland — 3.4% | ||||||||||
28,900 | Allied World Assurance Co. Holdings AG | 1,168,138 | ||||||||
7,658 | Allreal Holding AG* | 1,165,210 | ||||||||
720 | Alpiq Holding AG* | 66,845 | ||||||||
1,668 | ALSO Holding AG* | 147,030 | ||||||||
106 | APG SGA SA | 45,078 | ||||||||
876 | Banque Cantonale de Geneve | 267,481 | ||||||||
1,080 | Basler Kantonalbank | 75,424 | ||||||||
1,090 | Bell AG | 477,873 | ||||||||
1,206 | Berner Kantonalbank AG | 230,153 | ||||||||
18,242 | BKW AG | 875,970 | ||||||||
120 | Emmi AG* | 82,257 | ||||||||
11,145 | Flughafen Zuerich AG | 2,182,093 | ||||||||
1,590 | Galenica AG | 1,691,036 | ||||||||
204 | Graubuendner Kantonalbank | 346,804 | ||||||||
2,259 | Intershop Holding AG | 1,165,154 | ||||||||
244 | Luzerner Kantonalbank AG* | 100,618 | ||||||||
27 | Metall Zug AG Class B | 88,013 | ||||||||
4,804 | Mobimo Holding AG* | 1,226,026 | ||||||||
118,583 | Nestle SA | 9,364,069 | ||||||||
151,224 | Novartis AG | 11,918,211 | ||||||||
1,098 | St Galler Kantonalbank AG | 430,127 | ||||||||
32,481 | Swiss Prime Site AG* | 2,854,736 | ||||||||
331 | Swisscom AG | 157,647 | ||||||||
1,498 | Tamedia AG | 247,246 | ||||||||
2,099 | Thurgauer Kantonalbank | 194,873 | ||||||||
3,589 | Valora Holding AG | 1,025,534 | ||||||||
3,362 | Ypsomed Holding AG* | 690,504 | ||||||||
32 | Zug Estates Holding AG Class B* | 55,688 | ||||||||
|
| |||||||||
Total Switzerland | 38,339,838 | |||||||||
|
| |||||||||
United Kingdom — 7.5% | ||||||||||
41,913 | Advanced Medical Solutions Group Plc | 124,135 | ||||||||
19,600 | Aon Plc | 2,204,804 | ||||||||
15,678 | AstraZeneca Plc | 1,019,101 |
See accompanying Notes to the Financial Statements. | 117 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
126,653 | Atrium European Real Estate, Ltd. | 565,061 | ||||||||
272,396 | BCA Marketplace Plc | 636,916 | ||||||||
108,735 | Berendsen Plc | 1,757,110 | ||||||||
50,245 | British American Tobacco Plc | 3,217,725 | ||||||||
230,829 | Britvic Plc | 1,808,077 | ||||||||
67,568 | BTG Plc* | 556,467 | ||||||||
448,311 | Centrica Plc | 1,328,936 | ||||||||
25,177 | Compass Group Plc | 488,939 | ||||||||
17,150 | Cranswick Plc | 520,856 | ||||||||
7,565 | Dechra Pharmaceuticals Plc | 136,889 | ||||||||
109,385 | Diageo Plc | 3,140,924 | ||||||||
29,881 | EMIS Group Plc | 364,671 | ||||||||
174,582 | Enterprise Inns Plc* | 210,907 | ||||||||
6,588 | Gamma Communications Plc | 43,174 | ||||||||
149,757 | GlaxoSmithKline Plc | 3,196,199 | ||||||||
15,264 | Headlam Group Plc | 97,950 | ||||||||
39,599 | Hill & Smith Holdings Plc | 583,319 | ||||||||
60,007 | Imperial Brands Plc | 3,097,307 | ||||||||
108,104 | Inchcape Plc | 924,712 | ||||||||
152,166 | International Game Technology Plc | 3,709,807 | ||||||||
404,739 | J Sainsbury Plc | 1,292,308 | ||||||||
47,516 | JD Sports Fashion Plc | 911,653 | ||||||||
173,645 | Kcom Group Plc | 261,655 | ||||||||
144,494 | Kennedy Wilson Europe Real Estate Plc | 1,884,485 | ||||||||
664,749 | Kingfisher Plc | 3,254,565 | ||||||||
14,668,689 | Lloyds Banking Group Plc | 10,394,298 | ||||||||
252,640 | Melrose Industries Plc | 572,673 | ||||||||
7,432 | Millennium & Copthorne Hotels Plc | 41,996 | ||||||||
214,878 | National Grid Plc | 3,048,061 | ||||||||
18,738 | QinetiQ Group Plc | 57,639 | ||||||||
34,056 | Reckitt Benckiser Group Plc | 3,213,945 | ||||||||
114,230 | RELX Plc | 2,170,869 | ||||||||
1,087,037 | Rentokil Initial Plc | 3,139,012 | ||||||||
11,227 | Secure Income Plc REIT* | 44,116 | ||||||||
15,809 | Severn Trent Plc | 514,424 | ||||||||
19,802 | Shaftesbury Plc REIT | 249,511 | ||||||||
171,079 | Smith & Nephew Plc | 2,764,561 | ||||||||
145,853 | SSE Plc | 2,970,780 | ||||||||
1,492 | Stallergenes Greer* | 47,283 | ||||||||
5,052,448 | Tesco Plc* | 12,007,245 | ||||||||
658,218 | Tritax Big Box Plc REIT | 1,187,630 | ||||||||
59,838 | Tritax Big Box Plc REIT, (London Exchange)* ** ¤ | 5,363 | ||||||||
1,043,843 | Vodafone Group Plc | 3,006,823 | ||||||||
|
| |||||||||
Total United Kingdom | 82,774,881 | |||||||||
|
| |||||||||
United States — 52.7% | ||||||||||
18,800 | 3M Co. | 3,313,124 | ||||||||
1,500 | Adobe Systems, Inc.* | 162,810 |
118 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
10,100 | Alexandria Real Estate Equities, Inc. REIT | 1,098,577 | ||||||||
2,100 | Alleghany Corp.* | 1,102,542 | ||||||||
21,300 | Allstate Corp. (The) | 1,473,534 | ||||||||
8,811 | Alphabet, Inc. Class A* | 7,084,573 | ||||||||
23,241 | Alphabet, Inc. Class C* | 18,064,997 | ||||||||
60,500 | Altria Group, Inc. | 3,825,415 | ||||||||
2,500 | Amazon.com, Inc.* | 2,093,275 | ||||||||
31,900 | Amdocs, Ltd. | 1,845,415 | ||||||||
31,700 | Ameren Corp. | 1,559,006 | ||||||||
30,000 | American Campus Communities, Inc. REIT | 1,526,100 | ||||||||
25,000 | American Electric Power Co., Inc. | 1,605,250 | ||||||||
21,100 | American Financial Group, Inc. | 1,582,500 | ||||||||
16,800 | AmerisourceBergen Corp. | 1,357,104 | ||||||||
162,900 | Annaly Capital Management, Inc. REIT | 1,710,450 | ||||||||
13,900 | ANSYS, Inc.* | 1,287,279 | ||||||||
49,100 | Apple Hospitality, Inc. REIT | 908,841 | ||||||||
248,569 | Apple, Inc. | 28,100,725 | ||||||||
52,800 | Aramark | 2,007,984 | ||||||||
4,600 | Arrow Electronics, Inc.* | 294,262 | ||||||||
36,600 | Arthur J. Gallagher & Co. | 1,861,842 | ||||||||
99,200 | AT&T, Inc. | 4,028,512 | ||||||||
17,200 | Atmos Energy Corp. | 1,280,884 | ||||||||
1,900 | AutoZone, Inc.* | 1,459,846 | ||||||||
20,100 | Avnet, Inc. | 825,306 | ||||||||
19,600 | Bank of Hawaii Corp. | 1,423,352 | ||||||||
79,308 | Bank of New York Mellon Corp. (The) | 3,162,803 | ||||||||
27,900 | Baxter International, Inc. | 1,328,040 | ||||||||
12,900 | Becton Dickinson and Co. | 2,318,517 | ||||||||
2,900 | Bio-Rad Laboratories, Inc. Class A* | 475,049 | ||||||||
13,400 | Black Knight Financial Services, Inc. Class A* | 548,060 | ||||||||
14,500 | Boeing Co. (The) | 1,910,230 | ||||||||
7,700 | Boston Properties, Inc. REIT | 1,049,433 | ||||||||
25,700 | Brinker International, Inc. | 1,296,051 | ||||||||
18,600 | Broadridge Financial Solutions, Inc. | 1,260,894 | ||||||||
23,100 | Brown & Brown, Inc. | 871,101 | ||||||||
13,800 | Bruker Corp. | 312,570 | ||||||||
56,300 | CA, Inc. | 1,862,404 | ||||||||
2,100 | Cable One, Inc. | 1,226,400 | ||||||||
400 | Cabot Corp. | 20,964 | ||||||||
26,100 | Campbell Soup Co. | 1,427,670 | ||||||||
29,900 | Cardinal Health, Inc. | 2,323,230 | ||||||||
17,700 | Carlisle Cos., Inc. | 1,815,489 | ||||||||
10,400 | Carter’s, Inc. | 901,784 | ||||||||
32,000 | CDK Global, Inc. | 1,835,520 | ||||||||
47,400 | Centerpoint Energy, Inc. | 1,101,102 | ||||||||
19,400 | CH Robinson Worldwide, Inc. | 1,366,924 | ||||||||
57,900 | Chimera Investment Corp. REIT | 923,505 | ||||||||
22,000 | Church & Dwight Co., Inc. | 1,054,240 |
See accompanying Notes to the Financial Statements. | 119 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
35,000 | Cinemark Holdings, Inc. | 1,339,800 | ||||||||
12,200 | Clean Harbors, Inc.* | 585,356 | ||||||||
16,000 | Clorox Co. (The) | 2,002,880 | ||||||||
12,300 | Colgate-Palmolive Co. | 911,922 | ||||||||
30,400 | Columbia Property Trust, Inc. REIT | 680,656 | ||||||||
39,400 | Comcast Corp. Class A | 2,613,796 | ||||||||
30,965 | Commerce Bancshares, Inc. | 1,525,336 | ||||||||
14,400 | ConAgra Foods, Inc. | 678,384 | ||||||||
24,900 | Consolidated Edison, Inc. | 1,874,970 | ||||||||
10,300 | Cooper Cos. (The), Inc. | 1,846,378 | ||||||||
21,000 | Copart, Inc.* | 1,124,760 | ||||||||
29,600 | Corporate Office Properties Trust REIT | 839,160 | ||||||||
13,400 | Costco Wholesale Corp. | 2,043,634 | ||||||||
8,800 | CR Bard, Inc. | 1,973,664 | ||||||||
202,545 | CVS Health Corp. | 18,024,480 | ||||||||
31,700 | Danaher Corp. | 2,484,963 | ||||||||
28,900 | Darden Restaurants, Inc. | 1,772,148 | ||||||||
19,200 | Digital Realty Trust, Inc. REIT | 1,864,704 | ||||||||
700 | Domino’s Pizza, Inc. | 106,295 | ||||||||
21,200 | Dr Pepper Snapple Group, Inc. | 1,935,772 | ||||||||
20,400 | DTE Energy Co. | 1,910,868 | ||||||||
724,021 | eBay, Inc.* | 23,820,291 | ||||||||
26,500 | Edison International | 1,914,625 | ||||||||
27,300 | Eli Lilly & Co. | 2,191,098 | ||||||||
23,500 | Entergy Corp. | 1,803,155 | ||||||||
3,600 | EPR Properties REIT | 283,464 | ||||||||
17,100 | Equity LifeStyle Properties, Inc. REIT | 1,319,778 | ||||||||
4,100 | Erie Indemnity Co. Class A | 418,487 | ||||||||
5,500 | Essex Property Trust, Inc. REIT | 1,224,850 | ||||||||
44,600 | Exelon Corp. | 1,484,734 | ||||||||
11,800 | Exxon Mobil Corp. | 1,029,904 | ||||||||
2,100 | Facebook, Inc. Class A* | 269,367 | ||||||||
56,700 | FirstEnergy Corp. | 1,875,636 | ||||||||
5,300 | Fiserv, Inc.* | 527,191 | ||||||||
15,900 | General Dynamics Corp. | 2,467,044 | ||||||||
34,400 | General Mills, Inc. | 2,197,472 | ||||||||
14,100 | Hanover Insurance Group (The), Inc. | 1,063,422 | ||||||||
119,976 | HCA Holdings, Inc.* | 9,073,785 | ||||||||
35,200 | Healthcare Trust of America, Inc. REIT Class A | 1,148,224 | ||||||||
14,200 | Hershey Co. (The) | 1,357,520 | ||||||||
4,300 | Hill-Rom Holdings, Inc. | 266,514 | ||||||||
8,200 | Hologic, Inc.* | 318,406 | ||||||||
23,900 | Home Depot, Inc. (The) | 3,075,452 | ||||||||
26,300 | Honeywell International, Inc. | 3,066,317 | ||||||||
13,800 | Hormel Foods Corp. | 523,434 | ||||||||
41,100 | Hospitality Properties Trust REIT | 1,221,492 | ||||||||
11,500 | Huntington Ingalls Industries, Inc. | 1,764,330 | ||||||||
4,100 | IAC/InterActiveCorp | 256,127 |
120 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
15,500 | Ingredion, Inc. | 2,062,430 | ||||||||
595,327 | Intel Corp. | 22,473,594 | ||||||||
79,953 | International Business Machines Corp. | 12,700,534 | ||||||||
19,300 | Intuit, Inc. | 2,123,193 | ||||||||
10,400 | Jack Henry & Associates, Inc. | 889,720 | ||||||||
13,100 | JM Smucker Co. (The) | 1,775,574 | ||||||||
36,600 | Johnson & Johnson | 4,323,558 | ||||||||
22,500 | Kellogg Co. | 1,743,075 | ||||||||
2,000 | Kimberly-Clark Corp. | 252,280 | ||||||||
3,700 | Leidos Holdings, Inc. | 160,136 | ||||||||
8,700 | Liberty Property Trust REIT | 351,045 | ||||||||
10,700 | Lockheed Martin Corp. | 2,565,004 | ||||||||
253,711 | Lowe’s Cos., Inc. | 18,320,471 | ||||||||
8,500 | M&T Bank Corp. | 986,850 | ||||||||
200 | Madison Square Garden Co. (The) Class A* | 33,882 | ||||||||
142,148 | Mastercard, Inc. Class A | 14,466,402 | ||||||||
3,300 | McCormick & Co., Inc. | 329,736 | ||||||||
104,144 | McDonald’s Corp. | 12,014,052 | ||||||||
14,300 | McKesson Corp. | 2,384,525 | ||||||||
49,100 | Merck & Co., Inc. | 3,064,331 | ||||||||
90,100 | MFA Financial, Inc. REIT | 673,948 | ||||||||
418,608 | Microsoft Corp. | 24,111,821 | ||||||||
15,800 | Mid-America Apartment Communities, Inc. REIT | 1,485,042 | ||||||||
7,200 | Morningstar, Inc. | 570,744 | ||||||||
25,800 | Motorola Solutions, Inc. | 1,968,024 | ||||||||
1,400 | MSC Industrial Direct Co., Inc. Class A | 102,774 | ||||||||
8,700 | Murphy USA, Inc.* | 620,832 | ||||||||
24,200 | National Instruments Corp. | 687,280 | ||||||||
52,900 | New York Community Bancorp, Inc. | 752,767 | ||||||||
4,700 | Newmont Mining Corp. | 184,663 | ||||||||
17,300 | NextEra Energy, Inc. | 2,116,136 | ||||||||
9,500 | Northrop Grumman Corp. | 2,032,525 | ||||||||
200 | NVR, Inc.* | 327,974 | ||||||||
5,900 | O’Reilly Automotive, Inc.* | 1,652,649 | ||||||||
41,500 | Old Republic International Corp. | 731,230 | ||||||||
21,800 | Omnicom Group, Inc. | 1,853,000 | ||||||||
493,489 | Oracle Corp. | 19,384,248 | ||||||||
15,500 | Outfront Media, Inc. REIT | 366,575 | ||||||||
8,000 | Panera Bread Co. Class A* | 1,557,760 | ||||||||
21,400 | Patterson Cos., Inc. | 983,116 | ||||||||
423,356 | PayPal Holdings, Inc.* | 17,344,895 | ||||||||
30,700 | PepsiCo, Inc. | 3,339,239 | ||||||||
108,400 | Pfizer, Inc. | 3,671,508 | ||||||||
32,200 | PG&E Corp. | 1,969,674 | ||||||||
41,900 | Philip Morris International, Inc. | 4,073,518 | ||||||||
45,600 | Piedmont Office Realty Trust, Inc. REIT Class A | 992,712 | ||||||||
8,100 | Pilgrim’s Pride Corp. | 171,072 | ||||||||
17,400 | Pinnacle Foods, Inc. | 872,958 |
See accompanying Notes to the Financial Statements. | 121 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
4,000 | Pinnacle West Capital Corp. | 303,960 | ||||||||
14,200 | Pool Corp. | 1,342,184 | ||||||||
15,300 | Post Properties, Inc. REIT | 1,011,789 | ||||||||
200 | Priceline Group (The), Inc.* | 294,298 | ||||||||
41,800 | Procter & Gamble Co. (The) | 3,751,550 | ||||||||
37,300 | Progressive Corp. (The) | 1,174,950 | ||||||||
39,400 | Public Service Enterprise Group, Inc. | 1,649,678 | ||||||||
300 | Public Storage REIT | 66,942 | ||||||||
152,365 | QUALCOMM, Inc. | 10,437,002 | ||||||||
17,200 | Raytheon Co. | 2,341,436 | ||||||||
33,000 | Regal Entertainment Group Class A | 717,750 | ||||||||
34,700 | Republic Services, Inc. | 1,750,615 | ||||||||
5,100 | Resmed, Inc. | 330,429 | ||||||||
25,400 | Reynolds American, Inc. | 1,197,610 | ||||||||
19,500 | RPM International, Inc. | 1,047,540 | ||||||||
59,300 | Senior Housing Properties Trust REIT | 1,346,703 | ||||||||
1,900 | Simon Property Group, Inc. REIT | 393,319 | ||||||||
39,400 | Starbucks Corp. | 2,133,116 | ||||||||
17,600 | Stryker Corp. | 2,048,816 | ||||||||
44,600 | SunTrust Banks, Inc. | 1,953,480 | ||||||||
33,700 | Synopsys, Inc.* | 2,000,095 | ||||||||
41,900 | Sysco Corp. | 2,053,519 | ||||||||
11,700 | Tanger Factory Outlet Centers REIT | 455,832 | ||||||||
199,463 | Target Corp. | 13,699,119 | ||||||||
73,400 | TCF Financial Corp. | 1,065,034 | ||||||||
10,200 | Teleflex, Inc. | 1,714,110 | ||||||||
14,200 | Telephone & Data Systems, Inc. | 385,956 | ||||||||
21,700 | Texas Instruments, Inc. | 1,522,906 | ||||||||
16,200 | TFS Financial Corp. | 288,522 | ||||||||
14,500 | Thermo Fisher Scientific, Inc. | 2,306,370 | ||||||||
12,300 | Travelers Cos., Inc. (The) | 1,408,965 | ||||||||
30,100 | Tyson Foods, Inc. Class A | 2,247,567 | ||||||||
28,800 | UGI Corp. | 1,302,912 | ||||||||
21,000 | United Parcel Service, Inc. Class B | 2,296,560 | ||||||||
20,900 | UnitedHealth Group, Inc. | 2,926,000 | ||||||||
3,100 | US Bancorp | 132,959 | ||||||||
17,300 | Varian Medical Systems, Inc.* | 1,721,869 | ||||||||
18,700 | VCA, Inc.* | 1,308,626 | ||||||||
25,900 | Vectren Corp. | 1,300,180 | ||||||||
78,100 | Verizon Communications, Inc. | 4,059,638 | ||||||||
264,382 | Visa, Inc. Class A | 21,864,391 | ||||||||
35,600 | VWR Corp.* | 1,009,616 | ||||||||
45,100 | Wal-Mart Stores, Inc. | 3,252,612 | ||||||||
30,400 | Waste Management, Inc. | 1,938,304 | ||||||||
10,700 | Waters Corp.* | 1,695,843 | ||||||||
322,215 | Wells Fargo & Co. | 14,267,680 | ||||||||
23,500 | WP Carey, Inc. REIT | 1,516,455 | ||||||||
3,300 | Xcel Energy, Inc. | 135,762 |
122 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
249,212 | Yum! Brands, Inc. | 22,630,942 | ||||||||
15,900 | Zimmer Biomet Holdings, Inc. | 2,067,318 | ||||||||
|
| |||||||||
Total United States | 584,865,435 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $902,882,567) | 978,467,944 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 0.4% | ||||||||||
Germany — 0.3% | ||||||||||
26,000 | Henkel AG & Co. KGaA, 1.23% | 3,535,475 | ||||||||
|
| |||||||||
Japan — 0.1% | ||||||||||
199 | Shinkin Central Bank, 2.83% Class A | 452,572 | ||||||||
|
| |||||||||
Sweden — 0.0% | ||||||||||
3,915 | Akelius Residential Property AB, 6.22% | 146,914 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $3,320,313) | 4,134,961 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 11.8% | ||||||||||
Bank Deposit — 11.1% | ||||||||||
123,293,853 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/03/16 | 123,293,853 | ||||||||
|
| |||||||||
Securities Lending Collateral — 0.5% | ||||||||||
5,711,119 | State Street Institutional U.S. Government Money Market Fund, Premier Class*** | 5,711,119 | ||||||||
|
| |||||||||
U.S. Government and Agency Obligations — 0.2% | ||||||||||
1,600,000 | United States Treasury Bill, 0.12%, due 10/13/16**** ‡‡ | 1,599,931 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $130,604,785) | 130,604,903 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.3% (Cost $1,036,807,665) | 1,113,207,808 | |||||||||
Other Assets and Liabilities (net) — (0.3)% | (2,797,498 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 1,110,410,310 | ||||||||
|
|
See accompanying Notes to the Financial Statements. | 123 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2016 (Unaudited)
Notes to Schedule of Investments: | ||||||||||
ADR — American Depository Receipt | ||||||||||
REIT — Real Estate Investment Trust | ||||||||||
* | Non-income producing security | |||||||||
** | Security fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the security at period end is $5,363 which represents 0.0% of net assets. The aggregate tax cost of these securities held at September 30, 2016 was $0. | |||||||||
*** | Represents an investment of securities lending cash collateral. | |||||||||
**** | All or a portion of this security is held for open futures collateral. | |||||||||
‡ | All or a portion of this security is out on loan. | |||||||||
‡‡ | Interest rate presented is yield to maturity. | |||||||||
¤ | Illiquid security. The total market value of the securities at period end is $5,363 which represents 0.0% of net assets. The aggregate tax cost of these securities held at September 30, 2016 was $0. |
124 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
September 30, 2016 (Unaudited)
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||||
Buys | ||||||||||||||||||||
18 | Canadian Dollar | December 2016 | $ | 1,373,130 | $ | 6,210 | ||||||||||||||
195 | MSCI EAFE E-mini Index | December 2016 | 16,640,325 | 142,592 | ||||||||||||||||
244 | S&P 500 E-mini Index | December 2016 | 26,356,880 | (38,779 | ) | |||||||||||||||
10 | S&P/TSX 60 Index | December 2016 | 1,301,427 | 24,115 | ||||||||||||||||
|
| |||||||||||||||||||
$ | 134,138 | |||||||||||||||||||
|
|
See accompanying Notes to the Financial Statements. | 125 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
September 30, 2016 (Unaudited)
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Retail | 10.9 | ||||
Food | 7.6 | ||||
Pharmaceuticals | 7.3 | ||||
Electric | 6.0 | ||||
Software | 4.8 | ||||
Banks | 4.6 | ||||
Internet | 4.5 | ||||
Telecommunications | 4.4 | ||||
Computers | 4.2 | ||||
Commercial Services | 3.8 | ||||
REITS | 2.6 | ||||
Real Estate | 2.6 | ||||
Insurance | 2.4 | ||||
Health Care — Products | 2.2 | ||||
Semiconductors | 2.1 | ||||
Diversified Financial Services | 2.0 | ||||
Beverages | 1.8 | ||||
Agriculture | 1.7 | ||||
Health Care — Services | 1.5 | ||||
Aerospace & Defense | 1.0 | ||||
Miscellaneous — Manufacturing | 1.0 | ||||
Electronics | 0.9 | ||||
Household Products & Wares | 0.9 | ||||
Media | 0.9 | ||||
Gas | 0.8 | ||||
Engineering & Construction | 0.6 | ||||
Transportation | 0.6 | ||||
Entertainment | 0.5 | ||||
Environmental Control | 0.5 | ||||
Iron & Steel | 0.5 | ||||
Oil & Gas | 0.5 | ||||
Cosmetics & Personal Care | 0.4 | ||||
Biotechnology | 0.3 | ||||
Metal Fabricate & Hardware | 0.3 | ||||
Advertising | 0.2 | ||||
Chemicals | 0.2 | ||||
Distribution & Wholesale | 0.2 | ||||
Forest Products & Paper | 0.2 | ||||
Investment Companies | 0.2 | ||||
Machinery — Diversified | 0.2 | ||||
Shipbuilding | 0.2 | ||||
Apparel | 0.1 | ||||
Holding Companies — Diversified | 0.1 | ||||
Packaging & Containers | 0.1 | ||||
Savings & Loans | 0.1 | ||||
Airlines | 0.0 | ||||
Building Materials | 0.0 | ||||
Food Service | 0.0 | ||||
Home Builders | 0.0 | ||||
Leisure Time | 0.0 |
126 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
September 30, 2016 (Unaudited)
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Lodging | 0.0 | ||||
Mining | 0.0 | ||||
Water | 0.0 | ||||
Short-Term Investments and Other Assets and Liabilities (net) | 11.5 | ||||
|
| ||||
100.0 | % | ||||
|
|
See accompanying Notes to the Financial Statements. | 127 |
Table of Contents
Mercer Funds
Statements of Assets and Liabilities
September 30, 2016 (Unaudited)
Mercer US Large Cap Equity Fund (formerly known as Mercer US Large Cap Growth Equity Fund) | Mercer US Small/Mid Cap Equity Fund (formerly known as Mercer US Small/Mid Cap Growth Equity Fund) | Mercer Non-US Core Equity Fund | Mercer Core Fixed Income Fund | |||||||||||||||||
Assets | ||||||||||||||||||||
Investments, at value(a) | $ | 616,800,918 | $ | 985,325,331 | $ | 2,183,571,548 | $ | 960,357,220 | ||||||||||||
Foreign currency, at value(b) | — | — | 4,187,954 | — | ||||||||||||||||
Cash | — | 33,916 | 84,036 | 6,350 | ||||||||||||||||
Receivable for investments sold | 2,566,903 | 7,209,890 | 15,097,256 | 10,952,719 | ||||||||||||||||
Receivable for TBA securities sold | — | — | — | 26,260,674 | ||||||||||||||||
Receivable for Fund shares sold | — | — | 1,265,612 | — | ||||||||||||||||
Dividend and interest receivable | 644,930 | 983,595 | 5,183,002 | 5,464,986 | ||||||||||||||||
Cash collateral held at broker on open swap contracts | — | — | — | 860,000 | ||||||||||||||||
Cash collateral held at broker on open futures contracts | 50,000 | 750,000 | — | — | ||||||||||||||||
Receivable for variation margin on open futures contracts | 92,995 | 279,775 | 689,117 | — | ||||||||||||||||
Receivable for variation margin on open centrally cleared swap contracts | — | — | — | 74,824 | ||||||||||||||||
Foreign tax reclaims receivable | 242,546 | 50,707 | 2,170,792 | 521 | ||||||||||||||||
Securities lending income receivable | 6,809 | 7,534 | 30,225 | 4,374 | ||||||||||||||||
Prepaid expenses | 11,002 | 18,276 | 34,350 | 13,843 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total assets | 620,416,103 | 994,659,024 | 2,212,313,892 | 1,003,995,511 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Liabilities | ||||||||||||||||||||
Foreign currency overdraft, at value(b) | — | 59 | — | — | ||||||||||||||||
Payable for investments purchased | 3,575,903 | 5,355,704 | 9,902,150 | 4,527,000 | ||||||||||||||||
Payable for TBA and when-issued securities purchased | — | — | — | 79,201,162 | ||||||||||||||||
Payable for variation margin on open futures contracts | — | — | — | 300,220 | ||||||||||||||||
Payable for Fund shares repurchased | — | 101,791 | — | — | ||||||||||||||||
Due to custodian | 471,081 | — | — | — | ||||||||||||||||
Obligation to return securities lending collateral | 12,861,573 | 25,695,826 | 76,904,418 | 10,823,428 | ||||||||||||||||
Payable to affiliate for: | ||||||||||||||||||||
Advisory fees | 261,251 | 710,293 | 1,228,827 | 258,056 | ||||||||||||||||
Trustees fees | 642 | 372 | 3,188 | 1,371 | ||||||||||||||||
TBA Sale Commitments(c) | — | — | — | 1,555,565 | ||||||||||||||||
Interest payable on TBA securities | — | — | — | 542 | ||||||||||||||||
Accrued expenses | 110,658 | 166,644 | 461,776 | 183,468 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total liabilities | 17,281,108 | 32,030,689 | 88,500,359 | 96,850,812 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | $ | 603,134,995 | $ | 962,628,335 | $ | 2,123,813,533 | $ | 907,144,699 | ||||||||||||
|
|
|
|
|
|
|
|
128 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Funds
Statements of Assets and Liabilities (Continued)
September 30, 2016 (Unaudited)
Mercer US Large Cap Equity Fund (formerly known as Mercer US Large Cap Growth Equity Fund) | Mercer US Small/Mid Cap Equity Fund (formerly known as Mercer US Small/Mid Cap Growth Equity Fund) | Mercer Non-US Core Equity Fund | Mercer Core Fixed Income Fund | |||||||||||||||||
Net assets consist of: | ||||||||||||||||||||
Paid-in capital | $ | 549,411,775 | $ | 868,146,622 | $ | 2,034,172,138 | $ | 870,421,800 | ||||||||||||
Accumulated undistributed net investment income | 2,438,076 | 1,257,568 | 23,511,163 | 15,312,587 | ||||||||||||||||
Accumulated net realized gain (loss) | 14,876,244 | 17,844,498 | (50,898,944 | ) | 9,505,596 | |||||||||||||||
Net unrealized appreciation on investments, futures contracts, short sales, swap contracts and foreign currencies | 36,408,900 | 75,379,647 | 117,029,176 | 11,904,716 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | $ | 603,134,995 | $ | 962,628,335 | $ | 2,123,813,533 | $ | 907,144,699 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets attributable to: | ||||||||||||||||||||
Class Y-3 shares | $ | 603,134,995 | $ | 962,628,335 | $ | 2,123,813,533 | $ | 907,144,699 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding: | ||||||||||||||||||||
Class Y-3 | 60,680,045 | 86,872,924 | 210,382,545 | 86,561,837 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net asset value per share: | ||||||||||||||||||||
Class Y-3 | $ | 9.94 | $ | 11.08 | $ | 10.10 | $ | 10.48 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(a) Investments, at cost | $ | 580,448,936 | $ | 910,620,830 | $ | 2,067,478,832 | $ | 947,170,633 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(b) Foreign currency at cost | $ | — | $ | (59 | ) | $ | 4,128,266 | $ | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(c) Proceeds for TBA Sale Commitments | $ | — | $ | — | $ | — | $ | 1,556,660 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements. | 129 |
Table of Contents
Mercer Funds
Statements of Assets and Liabilities (Continued)
September 30, 2016 (Unaudited)
Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | Mercer Global Low Volatility Equity Fund | |||||||||||||
Assets | |||||||||||||||
Investments, at value(a) | $ | 525,397,526 | $ | 1,376,285,454 | $ | 1,113,207,808 | |||||||||
Foreign currency, at value(b) | 891,217 | 3,837,058 | 556,634 | ||||||||||||
Cash | — | 207,990 | 34,191 | ||||||||||||
Receivable for investments sold | 4,360,951 | 27,836,563 | 8,888,564 | ||||||||||||
Receivable for Fund shares sold | — | 1,126,211 | — | ||||||||||||
Dividend and interest receivable | 8,451,459 | 1,711,938 | 1,540,979 | ||||||||||||
Cash collateral held at broker on open futures contracts | 430,522 | 90,519 | 350,000 | ||||||||||||
Unrealized appreciation on open forward foreign currency contracts | 2,334,977 | 2,938,136 | — | ||||||||||||
Receivable for variation margin on open futures contracts | 14,835 | 1,539,213 | 291,352 | ||||||||||||
Synthetic futures, at value | — | 91,481 | — | ||||||||||||
Foreign tax reclaims receivable | 66,560 | 16,272 | 492,023 | ||||||||||||
Securities lending income receivable | 18,885 | 27,059 | 12,755 | ||||||||||||
Prepaid expenses | 8,041 | 21,989 | 19,115 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total assets | 541,974,973 | 1,415,729,883 | 1,125,393,421 | ||||||||||||
|
|
|
|
|
| ||||||||||
Liabilities | |||||||||||||||
Payable for investments purchased | 2,910,285 | 31,588,835 | 8,145,056 | ||||||||||||
Payable for TBA and when-issued securities purchased | 5,503,296 | — | — | ||||||||||||
Payable for Fund shares repurchased | — | — | 250,323 | ||||||||||||
Due to custodian | 5,886,976 | — | — | ||||||||||||
Synthetic futures, at value | — | 638,186 | — | ||||||||||||
Unrealized depreciation on open forward foreign currency contracts | 1,383,816 | 929,768 | — | ||||||||||||
Variation margin payable on open futures contracts | 18,973 | 703,827 | — | ||||||||||||
Obligation to return securities lending collateral | 21,274,140 | 19,351,259 | 5,711,119 | ||||||||||||
Payable to affiliate for: | |||||||||||||||
Advisory fees | 324,358 | 867,952 | 662,985 | ||||||||||||
Trustees fees | 203 | 1,938 | 1,614 | ||||||||||||
Payable for foreign capital gains tax | 367,920 | 1,348,250 | — | ||||||||||||
Accrued expenses | 155,739 | 629,197 | 212,014 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total liabilities | 37,825,706 | 56,059,212 | 14,983,111 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net assets | $ | 504,149,267 | $ | 1,359,670,671 | $ | 1,110,410,310 | |||||||||
|
|
|
|
|
| ||||||||||
Net assets consist of: | |||||||||||||||
Paid-in capital | 541,779,643 | 1,390,420,882 | 999,347,805 | ||||||||||||
Accumulated undistributed net investment income | 9,074,059 | 21,544,974 | 10,138,605 | ||||||||||||
Accumulated net realized gain (loss) | (28,940,872 | ) | (149,159,016 | ) | 24,433,744 | ||||||||||
Net unrealized appreciation (depreciation) on investments, futures contracts and foreign currencies | (17,763,563 | ) | 96,863,831 | 76,490,156 | |||||||||||
|
|
|
|
|
| ||||||||||
Net assets | $ | 504,149,267 | $ | 1,359,670,671 | $ | 1,110,410,310 | |||||||||
|
|
|
|
|
|
130 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Funds
Statements of Assets and Liabilities (Continued)
September 30, 2016 (Unaudited)
Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | Mercer Global Low Volatility Equity Fund | |||||||||||||
Net assets attributable to: | |||||||||||||||
Class Y-3 shares | $ | 504,149,267 | $ | 1,359,670,671 | $ | 1,110,410,310 | |||||||||
|
|
|
|
|
| ||||||||||
Shares outstanding: | |||||||||||||||
Class Y-3 | 55,582,014 | 144,993,818 | 89,665,055 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net asset value per share: | |||||||||||||||
Class Y-3 | $ | 9.07 | $ | 9.38 | $ | 12.38 | |||||||||
|
|
|
|
|
| ||||||||||
(a) Investments, at cost | $ | 543,826,275 | $ | 1,279,313,209 | $ | 1,036,807,665 | |||||||||
|
|
|
|
|
| ||||||||||
(b) Foreign currency, at cost | $ | 894,639 | $ | 3,831,317 | $ | 557,551 | |||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements. | 131 |
Table of Contents
Mercer Funds
For the Six Months Ended September 30, 2016 (Unaudited)
Mercer US Large Cap Equity Fund (formerly known as Mercer US Large Cap Growth Equity Fund) | Mercer US Small/Mid Cap Equity Fund (formerly known as Mercer US Small/Mid Cap Growth Equity Fund) | Mercer Non-US Core Equity Fund | Mercer Core Fixed Income Fund | |||||||||||||||||
Investment Income: | ||||||||||||||||||||
Interest | $ | 1,800 | $ | 4,020 | $ | 13,216 | $ | 12,077,232 | ||||||||||||
Dividends | 3,836,559 | 4,673,755 | 37,354,306 | 42,439 | ||||||||||||||||
Securities lending income | 40,151 | 150,420 | 548,265 | 19,455 | ||||||||||||||||
Withholding taxes | (63,668 | ) | (10,169 | ) | (3,209,496 | ) | (983 | ) | ||||||||||||
Non-recurring income(a) | 11,009 | 12,496 | 405,206 | 8,739 | ||||||||||||||||
Other income | — | — | 1,530 | 3,181 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total investment income | 3,825,851 | 4,830,522 | 35,113,027 | 12,150,063 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Expenses: | ||||||||||||||||||||
Advisory fees | 1,217,048 | 3,223,794 | 7,302,696 | 1,431,566 | ||||||||||||||||
Transfer agent fees | 10,602 | 10,778 | 11,270 | 11,360 | ||||||||||||||||
Custodian and fund accounting fees | 59,378 | 108,840 | 605,513 | 156,716 | ||||||||||||||||
Audit fees | 20,642 | 21,579 | 57,577 | 39,207 | ||||||||||||||||
Legal fees | 16,560 | 25,587 | 86,463 | 35,468 | ||||||||||||||||
Trustees fees | 13,714 | 20,946 | 62,480 | 25,399 | ||||||||||||||||
Registration fees | 24,725 | 35,946 | 14,431 | 17,221 | ||||||||||||||||
Interest expense | — | — | 71 | 325 | ||||||||||||||||
Miscellaneous | 12,368 | 16,157 | 69,307 | 28,245 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total expenses | 1,375,037 | 3,463,627 | 8,209,808 | 1,745,507 | ||||||||||||||||
Advisory fee refund(a) | 9,376 | 11,624 | 248,772 | 7,180 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net expenses | 1,384,413 | 3,475,251 | 8,458,580 | 1,752,687 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net investment income | 2,441,438 | 1,355,271 | 26,654,447 | 10,397,376 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Realized and Unrealized Gain (Loss): | ||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||
Investments | 3,601,160 | 16,390,015 | (20,106,268 | ) | 7,581,052 | |||||||||||||||
Swap contracts | — | — | — | (227,508 | ) | |||||||||||||||
Closed futures contracts | 1,226,765 | 3,277,589 | 4,007,780 | 1,977,788 | ||||||||||||||||
Forward foreign currency contracts and foreign currency related transactions | (323 | ) | (5,252 | ) | (242,529 | ) | (8,935 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized gain | 4,827,602 | 19,662,352 | (16,341,017 | ) | 9,322,397 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||||||
Investments | 35,255,242 | 45,714,104 | 90,583,788 | 7,396,399 | ||||||||||||||||
TBA Sale Commitments | — | — | — | 1,095 | ||||||||||||||||
Swap contracts | — | — | — | (343,245 | ) | |||||||||||||||
Open futures contracts | (227,888 | ) | 417,465 | 1,174,215 | (618,641 | ) | ||||||||||||||
Forward foreign currency contracts and foreign currency related translations | 180 | (2,973 | ) | (48,815 | ) | (4,205 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Change in net unrealized appreciation (depreciation) | 35,027,534 | 46,128,596 | 91,709,188 | 6,431,403 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized and unrealized gain (loss) | 39,855,136 | 65,790,948 | 75,368,171 | 15,753,800 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets resulting from operations | $ | 42,296,574 | $ | 67,146,219 | $ | 102,022,618 | $ | 26,151,176 | ||||||||||||
|
|
|
|
|
|
|
|
(a) | Non-recurring income represents a refund for overbilling of prior years’ custody fees, a portion of which was paid to the Advisor for prior years’ reimbursement of expenses. |
132 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Funds
Statements of Operations (Continued)
For the Six Months Ended September 30, 2016 (Unaudited)
Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | Mercer Global Low Volatility Equity Fund | |||||||||||||
Investment Income: | |||||||||||||||
Interest | $ | 15,570,933 | $ | 12,010 | $ | 23,275 | |||||||||
Dividends | — | 24,689,680 | 13,231,740 | ||||||||||||
Securities lending income | 93,311 | 153,644 | 132,421 | ||||||||||||
Withholding taxes | (119,876 | ) | (2,716,828 | ) | (779,877 | ) | |||||||||
Non-recurring income(a) | 10,831 | 139,526 | 4,444 | ||||||||||||
Other income | 21,750 | 1,165 | — | ||||||||||||
|
|
|
|
|
| ||||||||||
Total investment income | 15,576,949 | 22,279,197 | 12,612,003 | ||||||||||||
|
|
|
|
|
| ||||||||||
Expenses: | |||||||||||||||
Advisory fees | 1,851,003 | 4,876,036 | 3,844,140 | ||||||||||||
Transfer agent fees | 11,242 | 11,411 | 11,055 | ||||||||||||
Custodian and fund accounting fees | 179,767 | 901,602 | 179,324 | ||||||||||||
Audit fees | 32,489 | 54,366 | 30,865 | ||||||||||||
Legal fees | 18,894 | 52,197 | 43,674 | ||||||||||||
Trustees fees | 13,709 | 37,999 | 31,758 | ||||||||||||
Registration fees | 21,977 | 24,874 | 13,065 | ||||||||||||
Interest expense | 2,668 | 10,028 | 48 | ||||||||||||
Miscellaneous | 15,198 | 38,886 | 29,368 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total expenses | 2,146,947 | 6,007,399 | 4,183,297 | ||||||||||||
Reimbursement of expenses | (39,153 | ) | — | — | |||||||||||
Advisory fee refund(a) | 10,831 | 102,772 | — | ||||||||||||
|
|
|
|
|
| ||||||||||
Net expenses | 2,118,625 | 6,110,171 | 4,183,297 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net investment income | 13,458,324 | 16,169,026 | 8,428,706 | ||||||||||||
|
|
|
|
|
| ||||||||||
Realized and Unrealized Gain (Loss): | |||||||||||||||
Net realized gain (loss) on: | |||||||||||||||
Investments | (9,755,202 | ) | (40,116,559 | ) | 17,902,061 | ||||||||||
Closed futures contracts | 566,902 | 14,421,823 | 3,354,042 | ||||||||||||
Forward foreign currency contracts and foreign currency related transactions | (7,656,699 | ) | 2,176,335 | (1,178,170 | ) | ||||||||||
|
|
|
|
|
| ||||||||||
Net realized gain (loss) | (16,844,999 | ) | (23,518,401 | ) | 20,077,933 | ||||||||||
|
|
|
|
|
| ||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||
Investments | 33,241,842 | 126,681,502 | 21,806,801 | ||||||||||||
Open futures contracts | (220,624 | ) | (4,639,891 | ) | (524,434 | ) | |||||||||
Forward foreign currency contracts and foreign currency related translations | 3,175,335 | 400,450 | 3,989 | ||||||||||||
|
|
|
|
|
| ||||||||||
Change in net unrealized appreciation (depreciation) | 36,196,553 | 122,442,061 | 21,286,356 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net realized and unrealized gain (loss) | 19,351,554 | 98,923,660 | 41,364,289 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net increase in net assets resulting from operations | $ | 32,809,878 | $ | 115,092,686 | $ | 49,792,995 | |||||||||
|
|
|
|
|
|
(a) | Non-recurring income represents a refund for overbilling of prior years’ custody fees, a portion of which was paid to the Advisor for prior years’ reimbursement of expenses. |
See accompanying Notes to the Financial Statements. | 133 |
Table of Contents
Mercer Funds
Statements of Changes in Net Assets
Mercer US Large Cap Equity Fund (formerly known as Mercer US Large Cap Growth Equity Fund) | Mercer US Small/Mid Cap Equity Fund (formerly known as Mercer US Small/Mid Cap Growth Equity Fund) | |||||||||||||||||||
Six Months Ended September 30, 2016 (Unaudited) | Year Ended March 31, 2016 | Six Months Ended September 30, 2016 (Unaudited) | Year Ended March 31, 2016 | |||||||||||||||||
Increase (decrease) in Net Assets: | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income (loss) | $ | 2,441,438 | $ | 1,187,529 | $ | 1,355,271 | $ | (804,412 | ) | |||||||||||
Net realized gain (loss) | 4,827,602 | 24,886,587 | 19,662,352 | 7,264,017 | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | 35,027,534 | (36,723,410 | ) | 46,128,596 | (55,146,208 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | 42,296,574 | (10,649,294 | ) | 67,146,219 | (48,686,603 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||
Net investment income | ||||||||||||||||||||
Class Y-3 | — | (1,544,807 | ) | — | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net investment income | — | (1,544,807 | ) | — | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized gains | ||||||||||||||||||||
Class Y-3 | — | (38,484,951 | ) | — | (24,352,888 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net realized gains | — | (38,484,951 | ) | — | (24,352,888 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net share transactions (See Note 7): | ||||||||||||||||||||
Class Y-3 | 259,578,494 | (10,759,407 | ) | 468,056,553 | 29,572,449 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets resulting from net shares transactions | 259,578,494 | (10,759,407 | ) | 468,056,553 | 29,572,449 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | 301,875,068 | (61,438,459 | ) | 535,202,772 | (43,467,042 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets: | ||||||||||||||||||||
Beginning of period | 301,259,927 | 362,698,386 | 427,425,563 | 470,892,605 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 603,134,995 | $ | 301,259,927 | $ | 962,628,335 | $ | 427,425,563 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Undistributed (distributions in excess of) net investment income included in net assets at end of period | $ | 2,438,076 | $ | (3,362 | ) | $ | 1,257,568 | $ | (97,703 | ) | ||||||||||
|
|
|
|
|
|
|
|
134 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Funds
Statements of Changes in Net Assets (Continued)
Mercer Non-US Core Equity Fund | Mercer Core Fixed Income Fund | |||||||||||||||||||
Six Months Ended September 30, 2016 (Unaudited) | Year Ended March 31, 2016 | Six Months Ended September 30, 2016 (Unaudited) | Year Ended March 31, 2016 | |||||||||||||||||
Increase (decrease) in Net Assets: | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income (loss) | $ | 26,654,447 | $ | 32,027,708 | $ | 10,397,376 | $ | 23,898,914 | ||||||||||||
Net realized gain (loss) | (16,341,017 | ) | (7,197,050 | ) | 9,322,397 | 1,032,247 | ||||||||||||||
Change in net unrealized appreciation (depreciation) | 91,709,188 | (132,623,438 | ) | 6,431,403 | (17,182,435 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | 102,022,618 | (107,792,780 | ) | 26,151,176 | 7,748,726 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||
Net investment income | ||||||||||||||||||||
Class Y-3 | — | (32,290,964 | ) | — | (24,184,241 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net investment income | — | (32,290,964 | ) | — | (24,184,241 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized gains | ||||||||||||||||||||
Class Y-3 | — | (49,778,409 | ) | — | (8,369,548 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net realized gains | — | (49,778,409 | ) | — | (8,369,548 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net share transactions (See Note 7): | ||||||||||||||||||||
Class Y-3 | 80,156,645 | 58,515,147 | 97,118,540 | (83,968,766 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets resulting from net shares transactions | 80,156,645 | 58,515,147 | 97,118,540 | (83,968,766 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | 182,179,263 | (131,347,006 | ) | 123,269,716 | (108,773,829 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets: | ||||||||||||||||||||
Beginning of period | 1,941,634,270 | 2,072,981,276 | 783,874,983 | 892,648,812 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 2,123,813,533 | $ | 1,941,634,270 | $ | 907,144,699 | $ | 783,874,983 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Undistributed (distributions in excess of) net investment income included in net assets at end of period | $ | 23,511,163 | $ | (3,143,284 | ) | $ | 15,312,587 | $ | 4,915,211 | |||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements. | 135 |
Table of Contents
Mercer Funds
Statements of Changes in Net Assets (Continued)
Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | |||||||||||||||||||
Six Months Ended September 30, 2016 (Unaudited) | Year Ended March 31, 2016 | Six Months Ended September 30, 2016 (Unaudited) | Year Ended March 31, 2016 | |||||||||||||||||
Increase (decrease) in Net Assets: | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income (loss) | $ | 13,458,324 | $ | 24,954,703 | $ | 16,169,026 | $ | 19,019,703 | ||||||||||||
Net realized gain (loss) | (16,844,999 | ) | (35,118,225 | ) | (23,518,401 | ) | (100,628,113 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | 36,196,553 | (14,480,513 | ) | 122,442,061 | (43,988,114 | ) | ||||||||||||||
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Net increase (decrease) in net assets resulting from operations | 32,809,878 | (24,644,035 | ) | 115,092,686 | (125,596,524 | ) | ||||||||||||||
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Distributions to shareholders from: | ||||||||||||||||||||
Net investment income | ||||||||||||||||||||
Class Y-3 | — | (3,476,394 | ) | — | (11,714,562 | ) | ||||||||||||||
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Total distributions from net investment income | — | (3,476,394 | ) | — | (11,714,562 | ) | ||||||||||||||
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Net realized gains | ||||||||||||||||||||
Class Y-3 | — | (1,749,711 | ) | — | — | |||||||||||||||
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Total distributions from net realized gains | — | (1,749,711 | ) | — | — | |||||||||||||||
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Net share transactions (See Note 7): | ||||||||||||||||||||
Class Y-3 | 57,077,700 | 48,192,685 | 94,441,632 | 200,092,196 | ||||||||||||||||
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Increase in net assets resulting from net shares transactions | 57,077,700 | 48,192,685 | 94,441,632 | 200,092,196 | ||||||||||||||||
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Net increase in net assets | 89,887,578 | 18,322,545 | 209,534,318 | 62,781,110 | ||||||||||||||||
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Net assets: | ||||||||||||||||||||
Beginning of period | 414,261,689 | 395,939,144 | 1,150,136,353 | 1,087,355,243 | ||||||||||||||||
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End of period | $ | 504,149,267 | $ | 414,261,689 | $ | 1,359,670,671 | $ | 1,150,136,353 | ||||||||||||
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Undistributed (distributions in excess of) net investment income included in net assets at end of period | $ | 9,074,059 | $ | (4,384,265 | ) | $ | 21,544,974 | $ | 5,375,948 | |||||||||||
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136 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Funds
Statements of Changes in Net Assets (Continued)
Mercer Global Low Volatility Equity Fund | ||||||||||
Six Months Ended September 30, 2016 (Unaudited) | Year Ended March 31, 2016 | |||||||||
Increase (decrease) in Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income (loss) | $ | 8,428,706 | $ | 10,558,566 | ||||||
Net realized gain (loss) | 20,077,933 | 13,378,459 | ||||||||
Change in net unrealized appreciation (depreciation) | 21,286,356 | 12,025,245 | ||||||||
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Net increase in net assets resulting from operations | 49,792,995 | 35,962,270 | ||||||||
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Distributions to shareholders from: | ||||||||||
Net investment income | ||||||||||
Class Y-3 | — | (10,380,943 | ) | |||||||
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Total distributions from net investment income | — | (10,380,943 | ) | |||||||
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Net realized gains | ||||||||||
Class Y-3 | — | (47,787,568 | ) | |||||||
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Total distributions from net realized gains | — | (47,787,568 | ) | |||||||
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Net share transactions (See Note 7): | ||||||||||
Class Y-3 | 108,231,794 | 155,539,826 | ||||||||
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Increase in net assets resulting from net shares transactions | 108,231,794 | 155,539,826 | ||||||||
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Net increase in net assets | 158,024,789 | 133,333,585 | ||||||||
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Net assets: | ||||||||||
Beginning of period | 952,385,521 | 819,051,936 | ||||||||
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End of period | $ | 1,110,410,310 | $ | 952,385,521 | ||||||
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Undistributed net investment income included in net assets at end of period | $ | 10,138,605 | $ | 1,709,899 | ||||||
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See accompanying Notes to the Financial Statements. | 137 |
Table of Contents
Mercer US Large Cap Equity Fund (formerly known as Mercer US Large Cap Growth Equity Fund)
Period Ended 09/30/16 (Unaudited) | Year Ended 03/31/16 | Year Ended 03/31/15 | Year Ended 03/31/14 | Year Ended 03/31/13 | Year Ended 03/31/12 | |||||||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | ||||||||||||||||||||||||||||||
Net asset value at beginning of period | $ | 9.34 | $ | 11.11 | $ | 13.16 | $ | 13.56 | $ | 13.27 | $ | 12.19 | ||||||||||||||||||
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Net investment income† | 0.05 | (a) | 0.04 | 0.05 | 0.07 | 0.08 | 0.04 | |||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.55 | (0.43 | ) | 1.63 | 3.11 | 0.68 | 1.06 | |||||||||||||||||||||||
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Total from investment operations | 0.60 | (0.39 | ) | 1.68 | 3.18 | 0.76 | 1.10 | |||||||||||||||||||||||
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Less dividends and distributions: | ||||||||||||||||||||||||||||||
From net investment income | — | (0.05 | ) | (0.04 | ) | (0.09 | ) | (0.08 | ) | (0.02 | ) | |||||||||||||||||||
From net realized gain on investments | — | (1.33 | ) | (3.69 | ) | (3.49 | ) | (0.39 | ) | — | ||||||||||||||||||||
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Total dividends and distributions | — | (1.38 | ) | (3.73 | ) | (3.58 | ) | (0.47 | ) | (0.02 | ) | |||||||||||||||||||
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Net asset value at end of period | $ | 9.94 | $ | 9.34 | $ | 11.11 | $ | 13.16 | $ | 13.56 | $ | 13.27 | ||||||||||||||||||
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Total investment return | 6.42 | %** | (4.09 | )% | 13.63 | %(b) | 23.99 | %(b) | 6.03 | %(b) | 9.08 | %(b) | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net investment income to average net assets | 1.09 | %(a)* | 0.33 | % | 0.37 | % | 0.48 | % | 0.61 | % | 0.33 | % | ||||||||||||||||||
Net expenses to average daily net assets | 0.61 | %(d)* | 0.63 | %(c) | 0.60 | %(c) | 0.57 | % | 0.57 | % | 0.57 | % | ||||||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.61 | %* | 0.63 | %(c) | 0.63 | %(c) | 0.63 | % | 0.63 | % | 0.63 | % | ||||||||||||||||||
Portfolio turnover rate | 60 | %** | 66 | % | 118 | % | 50 | % | 65 | % | 64 | % | ||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 603,135 | $ | 301,260 | $ | 362,698 | $ | 358,862 | $ | 465,787 | $ | 465,641 |
(a) | Includes a non-recurring payment for overbilling of prior years’ custody fees, a portion of which was paid to the Advisor for prior years’ reimbursement of expenses. This amounted to less than $0.01 per share and less than 0.01% of average net assets. |
(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) | Includes a repayment to the Advisor, referenced above, for prior years’ reimbursement of expenses. The amount is less than 0.01% of average net assets. |
† | Computed using average shares outstanding throughout the period. |
* | Annualized |
** | Not annualized |
138 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Equity Fund (formerly known as Mercer US Small/Mid Cap Growth Equity Fund)
Financial Highlights (Continued)
Period Ended 09/30/16 (Unaudited) | Year Ended 03/31/16 | Year Ended 03/31/15 | Year Ended 03/31/14 | Year Ended 03/31/13 | Year Ended 03/31/12 | |||||||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | ||||||||||||||||||||||||||||||
Net asset value at beginning of period | $ | 10.30 | $ | 12.23 | $ | 12.44 | $ | 11.94 | $ | 11.62 | $ | 12.49 | ||||||||||||||||||
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Net investment income† | 0.02 | (a) | (0.02 | ) | (0.03 | ) | (0.02 | ) | (0.01 | ) | (0.04 | ) | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.76 | (1.28 | ) | 1.32 | 2.63 | 1.31 | 0.27 | |||||||||||||||||||||||
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Total from investment operations | 0.78 | (1.30 | ) | 1.29 | 2.61 | 1.30 | 0.23 | |||||||||||||||||||||||
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Less dividends and distributions: | ||||||||||||||||||||||||||||||
From net investment income | — | — | — | — | (0.01 | ) | — | |||||||||||||||||||||||
From net realized gain on investments | — | (0.63 | ) | (1.50 | ) | (2.11 | ) | (0.97 | ) | (1.10 | ) | |||||||||||||||||||
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Total dividends and distributions | — | (0.63 | ) | (1.50 | ) | (2.11 | ) | (0.98 | ) | (1.10 | ) | |||||||||||||||||||
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Net asset value at end of period | $ | 11.08 | $ | 10.30 | $ | 12.23 | $ | 12.44 | $ | 11.94 | $ | 11.62 | ||||||||||||||||||
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Total investment return | 7.57 | %** | (10.78 | )% | 11.11 | %(b) | 22.34 | %(b) | 12.11 | %(b) | 3.36 | %(b) | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net investment income (loss) to average net assets | 0.38 | %(a)* | (0.18 | )% | (0.25 | )% | (0.17 | )% | (0.05 | )% | (0.36 | )% | ||||||||||||||||||
Net expenses to average daily net assets | 0.98 | %(d)* | 0.98 | % | 0.98 | %(c) | 0.97 | % | 0.96 | % | 0.92 | % | ||||||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.97 | %* | 0.98 | % | 0.99 | %(c) | 0.99 | % | 1.01 | % | 1.01 | % | ||||||||||||||||||
Portfolio turnover rate | 92 | %** | 68 | % | 75 | % | 67 | % | 54 | % | 95 | % | ||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 962,628 | $ | 427,426 | $ | 470,893 | $ | 397,360 | $ | 442,080 | $ | 300,176 |
(a) | Includes a non-recurring payment for overbilling of prior years’ custody fees, a portion of which was paid to the Advisor for prior years’ reimbursement of expenses. This amounted to less than $0.01 per share and less than 0.01% of average net assets. |
(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) | Includes a repayment to the Advisor, referenced above, for prior years’ reimbursement of expenses. The amount is less than 0.01% of average net assets. |
† | Computed using average shares outstanding throughout the period. |
* | Annualized |
** | Not annualized |
See accompanying Notes to the Financial Statements. | 139 |
Table of Contents
Mercer Non-US Core Equity Fund
Financial Highlights (Continued)
Period Ended 09/30/16 (Unaudited) | Year Ended 03/31/16 | Year Ended 03/31/15 | Year Ended 03/31/14 | Year Ended 03/31/13 | Year Ended 03/31/12 | |||||||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | ||||||||||||||||||||||||||||||
Net asset value at beginning of period | $ | 9.61 | $ | 10.64 | $ | 11.92 | $ | 10.58 | $ | 9.72 | $ | 10.46 | ||||||||||||||||||
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Net investment income† | 0.13 | (a) | 0.16 | 0.19 | 0.29 | 0.21 | 0.25 | |||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.36 | (0.76 | ) | (0.22 | ) | 1.94 | 0.90 | (0.81 | ) | |||||||||||||||||||||
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Total from investment operations | 0.49 | (0.60 | ) | (0.03 | ) | 2.23 | 1.11 | (0.56 | ) | |||||||||||||||||||||
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Less dividends and distributions: | ||||||||||||||||||||||||||||||
From net investment income | — | (0.17 | ) | (0.27 | ) | (0.33 | ) | (0.25 | ) | (0.18 | ) | |||||||||||||||||||
From net realized gain on investments | — | (0.26 | ) | (0.98 | ) | (0.56 | ) | — | — | |||||||||||||||||||||
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Total dividends and distributions | — | (0.43 | ) | (1.25 | ) | (0.89 | ) | (0.25 | ) | (0.18 | ) | |||||||||||||||||||
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Net asset value at end of period | $ | 10.10 | $ | 9.61 | $ | 10.64 | $ | 11.92 | $ | 10.58 | $ | 9.72 | ||||||||||||||||||
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Total investment return | 5.10 | %** | (5.64 | )% | 0.19 | %(b) | 21.48 | %(b) | 11.53 | %(b) | (5.15 | )%(b) | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net investment income to average net assets | 2.63 | %(a)* | 1.60 | % | 1.72 | % | 2.52 | % | 2.17 | % | 2.57 | % | ||||||||||||||||||
Net expenses to average daily net assets | 0.83 | %(c)(d)* | 0.83 | %(c) | 0.84 | %(c) | 0.85 | % | 0.83 | % | 0.82 | % | ||||||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.81 | %(c)* | 0.83 | %(c) | 0.84 | %(c) | 0.86 | % | 0.86 | % | 0.92 | % | ||||||||||||||||||
Portfolio turnover rate | 45 | %** | 109 | % | 101 | % | 95 | %(e) | 90 | % | 105 | %(f) | ||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 2,123,814 | $ | 1,941,634 | $ | 2,072,981 | $ | 1,881,476 | $ | 2,138,930 | $ | 1,892,784 |
(a) | Includes a non-recurring payment for overbilling of prior years’ custody fees, a portion of which was paid to the Advisor for prior years’ reimbursement of expenses. This amounted to less than $0.01 per share and is 0.01% of average net assets. |
(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) | Includes a repayment to the Advisor, referenced above, for prior years’ reimbursement of expenses. The amount is 0.01% of average net assets. |
(e) | Portfolio turnover calculation does not include $177,821,966 of securities transferred out of the Fund as part of an in-kind redemption. |
(f) | 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 |
140 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Financial Highlights (Continued)
Period Ended 09/30/16 (Unaudited) | Year Ended 03/31/16 | Year Ended 03/31/15 | Year Ended 03/31/14 | Year Ended 03/31/13 | Year Ended 03/31/12 | |||||||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | ||||||||||||||||||||||||||||||
Net asset value at beginning of period | $ | 10.15 | $ | 10.43 | $ | 10.42 | $ | 10.68 | $ | 10.58 | $ | 10.23 | ||||||||||||||||||
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Net investment income† | 0.13 | (a) | 0.29 | 0.28 | 0.24 | 0.27 | 0.33 | |||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.20 | (0.17 | ) | 0.28 | (0.19 | ) | 0.37 | 0.46 | ||||||||||||||||||||||
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Total from investment operations | 0.33 | 0.12 | 0.56 | 0.05 | 0.64 | 0.79 | ||||||||||||||||||||||||
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Less dividends and distributions: | ||||||||||||||||||||||||||||||
From net investment income | — | (0.30 | ) | (0.33 | ) | (0.25 | ) | (0.31 | ) | (0.31 | ) | |||||||||||||||||||
From net realized gain on investments | — | (0.10 | ) | (0.22 | ) | (0.06 | ) | (0.23 | ) | (0.13 | ) | |||||||||||||||||||
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Total dividends and distributions | — | (0.40 | ) | (0.55 | ) | (0.31 | ) | (0.54 | ) | (0.44 | ) | |||||||||||||||||||
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Net asset value at end of period | $ | 10.48 | $ | 10.15 | $ | 10.43 | $ | 10.42 | $ | 10.68 | $ | 10.58 | ||||||||||||||||||
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Total investment return | 3.25 | %** | 1.26 | % | 5.43 | %(b) | 0.44 | %(b) | 6.15 | %(b) | 7.88 | %(b) | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net investment income to average net assets | 2.53 | %(a)* | 2.80 | % | 2.66 | % | 2.32 | % | 2.51 | % | 3.13 | % | ||||||||||||||||||
Net expenses to average daily net assets | 0.43 | %(c)(d)* | 0.42 | % | 0.40 | % | 0.37 | % | 0.37 | % | 0.37 | % | ||||||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.42 | %(c)* | 0.42 | % | 0.42 | % | 0.43 | % | 0.43 | % | 0.44 | % | ||||||||||||||||||
Portfolio turnover rate | 89 | %** | 88 | % | 192 | % | 187 | %(e) | 125 | % | 181 | % | ||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 907,145 | $ | 783,875 | $ | 892,649 | $ | 1,076,439 | $ | 1,093,253 | $ | 1,025,624 |
(a) | Includes a non-recurring payment for overbilling of prior years’ custody fees, a portion of which was paid to the Advisor for prior years’ reimbursement of expenses. This amounted to less than $0.01 per share and less than 0.01% of average net assets. |
(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) | Includes a repayment to the Advisor, referenced above, for prior years’ reimbursement of expenses. The amount is less than 0.01% of average net assets. |
(e) | 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 |
See accompanying Notes to the Financial Statements. | 141 |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Financial Highlights (Continued)
Period Ended 09/30/16 (Unaudited) | Year Ended 03/31/16 | 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 | $ | 8.44 | $ | 9.13 | $ | 10.43 | $ | 10.00 | ||||||||||||
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Net investment income† | 0.26 | (b) | 0.54 | 0.56 | 0.34 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.37 | (1.12 | ) | (1.32 | ) | 0.35 | ||||||||||||||
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Total from investment operations | 0.63 | (0.58 | ) | (0.76 | ) | 0.69 | ||||||||||||||
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|
| |||||||||||||
Less dividends and distributions: | ||||||||||||||||||||
From net investment income | — | (0.07 | ) | (0.47 | ) | (0.22 | ) | |||||||||||||
From net realized gain on investments | — | (0.04 | ) | (0.07 | ) | (0.04 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | — | (0.11 | ) | (0.54 | ) | (0.26 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net asset value at end of period | $ | 9.07 | $ | 8.44 | $ | 9.13 | $ | 10.43 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total investment return(c) | 7.46 | %** | (6.25 | )% | (7.36 | )% | 7.00 | %** | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net investment income to average net assets | 5.82 | %(b)* | 6.28 | % | 5.55 | % | 5.52 | %* | ||||||||||||
Net expenses to average daily net assets | 0.91 | %(d)(e)* | 0.90 | %(d) | 0.90 | %(d) | 0.90 | %* | ||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.93 | %(d)* | 0.95 | %(d) | 0.97 | %(d) | 1.17 | %* | ||||||||||||
Portfolio turnover rate | 28 | %** | 53 | % | 58 | % | 28 | %** | ||||||||||||
Net assets at end of period (in 000’s) | $ | 504,149 | $ | 414,262 | $ | 395,939 | $ | 260,581 |
(a) | The Fund commenced operations on August 21, 2013. |
(b) | Includes a non-recurring payment for overbilling of prior years’ custody fees, a portion of which was paid to the Advisor for prior years’ reimbursement of expenses. This amounted to less than $0.01 per share and less than 0.01% of average net assets. |
(c) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(d) | Includes interest expense that amounts to less than 0.01%. |
(e) | Includes a repayment to the Advisor, referenced above, for prior years’ reimbursement of expenses. The amount is less than 0.01% of average net assets. |
† | Computed using average shares outstanding throughout the period. |
* | Annualized |
** | Not annualized |
142 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Financial Highlights (Continued)
Period Ended 09/30/16 (Unaudited) | Year Ended 03/31/16 | 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 | $ | 8.59 | $ | 9.88 | $ | 9.99 | $ | 10.49 | $ | 10.00 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net investment income† | 0.11 | (b) | 0.16 | 0.17 | 0.18 | 0.10 | |||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.68 | (1.36 | ) | (0.09 | ) | (0.46 | ) | 0.46 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | 0.79 | (1.20 | ) | 0.08 | (0.28 | ) | 0.56 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions: | |||||||||||||||||||||||||
From net investment income | — | (0.09 | ) | (0.19 | ) | (0.19 | ) | (0.06 | ) | ||||||||||||||||
From net realized gain on investments | — | — | — | (0.03 | ) | (0.01 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | — | (0.09 | ) | (0.19 | ) | (0.22 | ) | (0.07 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value at end of period | $ | 9.38 | $ | 8.59 | $ | 9.88 | $ | 9.99 | $ | 10.49 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return | 9.20 | %** | (12.06 | )% | 0.81 | %(c) | (2.61 | )%(c) | 5.64 | %(c)** | |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net investment income to average net assets | 2.60 | %(b)* | 1.79 | % | 1.66 | % | 1.77 | % | 1.08 | %* | |||||||||||||||
Net expenses to average daily net assets | 0.98 | %(d)(e)* | 1.00 | %(d) | 0.98 | %(d) | 0.95 | %(d) | 0.95 | %(d)* | |||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.97 | %(d)* | 1.00 | %(d) | 1.00 | %(d) | 1.04 | %(d) | 1.15 | %(d)* | |||||||||||||||
Portfolio turnover rate | 53 | %** | 66 | % | 46 | % | 64 | % | 52 | %** | |||||||||||||||
Net assets at end of period (in 000’s) | $ | 1,359,671 | $ | 1,150,136 | $ | 1,087,355 | $ | 862,923 | $ | 517,085 |
(a) | The Portfolio commenced operations on May 1, 2012. |
(b) | Includes a non-recurring payment for overbilling of prior years’ custody fees, a portion of which was paid to the Advisor for prior years’ reimbursement of expenses. This amounted to less than $0.01 per share and less than 0.01% of average net assets. |
(c) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(d) | Includes interest expense that amounts to less than 0.01%. |
(e) | Includes a repayment to the Advisor, referenced above, for prior years’ reimbursement of expenses. The amount is 0.01% of average net assets. |
† | Computed using average shares outstanding throughout the period. |
* | Annualized |
** | Not annualized |
See accompanying Notes to the Financial Statements. | 143 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Financial Highlights (Continued)
Period Ended 09/30/16 (Unaudited) | Year Ended 03/31/16 | 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 | $ | 11.81 | $ | 12.11 | $ | 12.27 | $ | 11.19 | $ | 10.00 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net investment income† | 0.10 | (b) | 0.15 | 0.15 | 0.14 | 0.07 | |||||||||||||||||||
Net realized and unrealized gain on investments | 0.47 | 0.33 | 0.54 | 1.45 | 1.14 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | 0.57 | 0.48 | 0.69 | 1.59 | 1.21 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions: | |||||||||||||||||||||||||
From net investment income | — | (0.14 | ) | (0.19 | ) | (0.16 | ) | (0.02 | ) | ||||||||||||||||
From net realized gain on investments | — | (0.64 | ) | (0.66 | ) | (0.35 | ) | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | — | (0.78 | ) | (0.85 | ) | (0.51 | ) | (0.02 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value at end of period | $ | 12.38 | $ | 11.81 | $ | 12.11 | $ | 12.27 | $ | 11.19 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return | 4.83 | %** | 4.13 | % | 5.80 | %(c) | 14.40 | %(c) | 12.13 | %(c)** | |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net investment income to average net assets | 1.63 | %(b)* | 1.23 | % | 1.25 | % | 1.20 | % | 1.62 | %* | |||||||||||||||
Net expenses to average daily net assets | 0.81 | %(d)* | 0.82 | %(d) | 0.85 | %(d) | 0.85 | % | 0.85 | %* | |||||||||||||||
Total expenses (before reductions and reimbursements/recapture) to average daily net assets | 0.81 | %(d)* | 0.82 | %(d) | 0.84 | %(d) | 0.84 | % | 1.00 | %* | |||||||||||||||
Portfolio turnover rate | 33 | %** | 31 | % | 84 | % | 46 | % | 12 | %** | |||||||||||||||
Net assets at end of period (in 000’s) | $ | 1,110,410 | $ | 952,386 | $ | 819,052 | $ | 742,641 | $ | 301,230 |
(a) | The Fund commenced operations on November 6, 2012. |
(b) | Includes a non-recurring payment for overbilling of prior years’ custody fees, a portion of which was paid to the Advisor for prior years’ reimbursement of expenses. This amounted to less than $0.01 per share and less than 0.01% of average net assets. |
(c) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(d) | 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. |
Table of Contents
Mercer Funds
Notes to the Financial Statements
September 30, 2016 (Unaudited)
1. | Organization |
Mercer Funds (the “Trust”) consists of the following seven series: Mercer US Large Cap Equity Fund (“Large Cap”) (formerly Mercer US Large Cap Growth Equity Fund), Mercer US Small/Mid Cap Equity Fund (“Small/Mid Cap”) (formerly Mercer US Small/Mid Cap Growth Equity Fund), 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 | Long-term total return, which includes capital appreciation and income | |
Small/Mid Cap | 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, 2016, 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.
(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
145
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2016 (Unaudited)
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.
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.
146
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2016 (Unaudited)
In May 2015, the FASB issued Accounting Standards Update (“ASU”) 2015-07 “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or its Equivalent)” (“ASU 2015-07”). ASU 2015-07 removes the requirement to categorize within the fair value hierarchy all investments for which the fair value is measured using the net asset value per share practical expedient. ASU 2015-07 is effective for public entities for fiscal years beginning after December 15, 2015 and interim periods within those fiscal years, with early adoption permitted. Management has elected to early adopt the disclosure requirements prescribed by ASU 2015-07. At September 30, 2016, the Funds did not hold any investments valued at NAV as practical expedient, as such, there was no impact to the Funds’ financial statement disclosures.
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, 2016. 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, 2016.
At September 30, 2016, Large Cap and Small/Mid Cap 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, State Street Institutional U.S. Government Money Market Fund, Premier Class and a United States Treasury Bill, as shown in the schedule of investments, whose value was determined using Level 2 inputs.
The following is a summary of the inputs used as of September 30, 2016 in valuing the assets and liabilities of Non-US Core Equity, Core Fixed, Opportunistic Fixed, Emerging Markets and Global Low Volatility for which fair valuation was used:
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 | $ | 89,566,965 | $ | 0 | * | $ | — | $ | 89,566,965 | |||||||
Austria | 17,742,244 | — | — | 17,742,244 | ||||||||||||
Belgium | 12,400,650 | — | — | 12,400,650 | ||||||||||||
Bermuda | 3,993,735 | — | — | 3,993,735 | ||||||||||||
Brazil | 6,628,565 | — | — | 6,628,565 | ||||||||||||
Canada | 29,580,137 | — | — | 29,580,137 | ||||||||||||
Cayman Islands | 42,220,770 | — | — | 42,220,770 | ||||||||||||
China | 2,720,716 | — | — | 2,720,716 |
147
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2016 (Unaudited)
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Denmark | $ | 30,583,675 | $ | — | $ | — | $ | 30,583,675 | ||||||||
Faroe Islands | 716,142 | — | — | 716,142 | ||||||||||||
Finland | 24,701,813 | — | — | 24,701,813 | ||||||||||||
France | 163,263,737 | — | — | 163,263,737 | ||||||||||||
Germany | 202,233,357 | — | — | 202,233,357 | ||||||||||||
Gibraltar | 345,145 | — | — | 345,145 | ||||||||||||
Hong Kong | 26,202,157 | — | — | 26,202,157 | ||||||||||||
Hungary | 3,175,842 | — | — | 3,175,842 | ||||||||||||
India | 13,607,994 | — | — | 13,607,994 | ||||||||||||
Indonesia | 9,141,541 | — | — | 9,141,541 | ||||||||||||
Ireland | 17,584,741 | — | — | 17,584,741 | ||||||||||||
Isle Of Man | 2,371,043 | — | — | 2,371,043 | ||||||||||||
Israel | 5,145,793 | — | — | 5,145,793 | ||||||||||||
Italy | 18,983,332 | — | — | 18,983,332 | ||||||||||||
Japan | 374,283,695 | 1,383,885 | — | 375,667,580 | ||||||||||||
Luxembourg | 6,172,608 | — | — | 6,172,608 | ||||||||||||
Malaysia | 2,588,903 | — | — | 2,588,903 | ||||||||||||
Malta | 1,798,994 | — | — | 1,798,994 | ||||||||||||
Mauritius | 690,863 | — | — | 690,863 | ||||||||||||
Mexico | 8,988,977 | — | — | 8,988,977 | ||||||||||||
Netherlands | 76,680,331 | — | — | 76,680,331 | ||||||||||||
New Zealand | 14,808,608 | — | — | 14,808,608 | ||||||||||||
Norway | 17,369,962 | — | — | 17,369,962 | ||||||||||||
Philippines | 695,971 | — | — | 695,971 | ||||||||||||
Poland | 1,123,752 | — | — | 1,123,752 | ||||||||||||
Portugal | 12,861,695 | — | 0 | ** | 12,861,695 | |||||||||||
Russia | 3,424,460 | — | — | 3,424,460 | ||||||||||||
Singapore | 5,050,801 | — | — | 5,050,801 | ||||||||||||
South Africa | 1,312,870 | — | — | 1,312,870 | ||||||||||||
South Korea | 7,367,069 | — | — | 7,367,069 | ||||||||||||
Spain | 32,163,260 | — | 0 | ** | 32,163,260 | |||||||||||
Sweden | 53,841,391 | — | — | 53,841,391 | ||||||||||||
Switzerland | 173,961,275 | — | — | 173,961,275 | ||||||||||||
Taiwan | 12,307,771 | — | — | 12,307,771 | ||||||||||||
Thailand | 2,373,663 | — | — | 2,373,663 | ||||||||||||
Turkey | 858,055 | — | — | 858,055 | ||||||||||||
United Kingdom | 382,933,925 | — | — | 382,933,925 | ||||||||||||
United States | 49,988,839 | — | — | 49,988,839 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 1,966,557,832 | 1,383,885 | 0 | 1,967,941,717 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Companies | ||||||||||||||||
United States | 19,916,580 | — | — | 19,916,580 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investment Companies | 19,916,580 | — | — | 19,916,580 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | 2,054,574 | — | — | 2,054,574 | ||||||||||||
Germany | 18,414,517 | — | — | 18,414,517 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 20,469,091 | — | — | 20,469,091 | ||||||||||||
|
|
|
|
|
|
|
|
148
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2016 (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 | $ | — | $ | 93,641,469 | $ | — | $ | 93,641,469 | ||||||||
Securities Lending Collateral | — | 76,904,418 | — | 76,904,418 | ||||||||||||
U.S. Government and Agency Obligations | — | 4,698,273 | — | 4,698,273 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 175,244,160 | — | 175,244,160 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts† | ||||||||||||||||
Buys | 975,270 | — | — | 975,270 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | 975,270 | — | — | 975,270 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,007,918,773 | $ | 176,628,045 | $ | 0 | $ | 2,184,546,818 | ||||||||
|
|
|
|
|
|
|
|
* | Represents one or more Level 2 securities at $0 value as of September 30, 2016. |
** | Represents one or more Level 3 securities at $0 value as of September 30, 2016. |
† | 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 | $ | — | $ | 108,861,318 | $ | — | $ | 108,861,318 | ||||||||
Corporate Debt | — | 337,328,239 | 0 | ** | 337,328,239 | |||||||||||
Mortgage Backed Securities - Private Issuers | — | 86,904,918 | — | 86,904,918 | ||||||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations | — | 235,827,582 | — | 235,827,582 | ||||||||||||
Municipal Obligations | — | 10,333,786 | — | 10,333,786 | ||||||||||||
Sovereign Debt Obligations | — | 7,959,219 | — | 7,959,219 | ||||||||||||
U.S. Government and Agency Obligations | — | 103,370,524 | — | 103,370,524 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Debt Obligations | — | 890,585,586 | 0 | 890,585,586 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposits | — | 49,802,736 | — | 49,802,736 | ||||||||||||
Securities Lending Collateral | — | 10,823,428 | — | 10,823,428 | ||||||||||||
U.S. Government and Agency Obligations | — | 9,145,470 | — | 9,145,470 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 69,771,634 | — | 69,771,634 | ||||||||||||
|
|
|
|
|
|
|
|
149
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2016 (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 | $ | 70,946 | $ | — | $ | — | $ | 70,946 | ||||||||
Sales | 49,792 | — | — | 49,792 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | 120,738 | — | — | 120,738 | ||||||||||||
|
|
|
|
|
|
| �� | |||||||||
Swaps | ||||||||||||||||
Centrally Cleared Interest Rate Swaps† | — | 34,112 | — | 34,112 | ||||||||||||
Centrally Cleared Credit Default Swaps† | — | 90,830 | — | 90,830 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Swaps | — | 124,942 | — | 124,942 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 120,738 | $ | 960,482,162 | $ | 0 | $ | 960,602,900 | ||||||||
|
|
|
|
|
|
|
|
LIABILITIES VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
TBA Sale Commitments | $ | — | $ | (1,555,565 | ) | $ | — | $ | (1,555,565 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts† | ||||||||||||||||
Buys | (358,947 | ) | — | — | (358,947 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (358,947 | ) | — | — | (358,947 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Swaps | ||||||||||||||||
Centrally Cleared Interest Rate Swaps† | — | (1,165,331 | ) | — | (1,165,331 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Swaps | — | (1,165,331 | ) | — | (1,165,331 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (358,947 | ) | $ | (2,720,896 | ) | $ | — | $ | (3,079,843 | ) | |||||
|
|
|
|
|
|
|
|
** | Represents one or more Level 3 securities at $0 value as of September 30, 2016. |
† | Futures contracts and Centrally Cleared Swaps are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities. |
Opportunistic Fixed
ASSETS VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Debt Obligations | ||||||||||||||||
Corporate Debt | $ | — | $ | 259,029,242 | $ | — | $ | 259,029,242 | ||||||||
Sovereign Debt Obligations | — | 225,758,318 | — | 225,758,318 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Debt Obligations | — | 484,787,560 | — | 484,787,560 | ||||||||||||
|
|
|
|
|
|
|
|
150
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2016 (Unaudited)
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 | ||||||||||||||||
Oil & Gas | $ | 691,653 | $ | 44,091 | $ | — | $ | 735,744 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 691,653 | 44,091 | — | 735,744 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Warrants | ||||||||||||||||
Oil & Gas | 8,004 | — | — | 8,004 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Warrants | 8,004 | — | — | 8,004 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposits | — | 18,592,078 | — | 18,592,078 | ||||||||||||
Securities Lending Collateral | — | 21,274,140 | — | 21,274,140 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 39,866,218 | — | 39,866,218 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts† | ||||||||||||||||
Buys | — | 1,728,689 | — | 1,728,689 | ||||||||||||
Sales | — | 606,288 | — | 606,288 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | 2,334,977 | — | 2,334,977 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts† | ||||||||||||||||
Buys | 76,576 | — | — | 76,576 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | 76,576 | — | — | 76,576 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 776,233 | $ | 527,032,846 | $ | — | $ | 527,809,079 | ||||||||
|
|
|
|
|
|
|
|
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 | $ | — | $ | (312,588 | ) | $ | — | $ | (312,588 | ) | ||||||
Sales | — | (1,064,944 | ) | — | (1,064,944 | ) | ||||||||||
Cross-Currency Forwards | — | (6,284 | ) | — | (6,284 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | (1,383,816 | ) | — | (1,383,816 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts† | ||||||||||||||||
Sales | (123 | ) | — | — | (123 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (123 | ) | — | — | (123 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (123 | ) | $ | (1,383,816 | ) | $ | — | $ | (1,383,939 | ) | |||||
|
|
|
|
|
|
|
|
† | 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. |
151
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2016 (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 | ||||||||||||||||
Austria | $ | 532,557 | $ | — | $ | — | $ | 532,557 | ||||||||
Bermuda | 16,407,834 | — | — | 16,407,834 | ||||||||||||
Brazil | 67,417,246 | — | — | 67,417,246 | ||||||||||||
Cayman Islands | 136,578,642 | — | — | 136,578,642 | ||||||||||||
Chile | 10,394,148 | — | — | 10,394,148 | ||||||||||||
China | 127,675,279 | — | — | 127,675,279 | ||||||||||||
Colombia | 2,929,310 | — | — | 2,929,310 | ||||||||||||
Czech Republic | 1,397,042 | — | — | 1,397,042 | ||||||||||||
Denmark | 2,202,765 | — | — | 2,202,765 | ||||||||||||
France | 2,050,169 | — | — | 2,050,169 | ||||||||||||
Hong Kong | 55,055,887 | — | — | 55,055,887 | ||||||||||||
Hungary | 10,896,048 | — | — | 10,896,048 | ||||||||||||
India | 121,198,611 | — | — | 121,198,611 | ||||||||||||
Indonesia | 38,800,814 | — | — | 38,800,814 | ||||||||||||
Japan | 3,357,841 | — | — | 3,357,841 | ||||||||||||
Luxembourg | 2,126,322 | — | — | 2,126,322 | ||||||||||||
Malaysia | 17,879,701 | — | — | 17,879,701 | ||||||||||||
Mexico | 45,037,463 | — | — | 45,037,463 | ||||||||||||
Netherlands | 5,908,392 | — | — | 5,908,392 | ||||||||||||
Philippines | 7,290,080 | — | — | 7,290,080 | ||||||||||||
Poland | 6,312,681 | — | — | 6,312,681 | ||||||||||||
Qatar | 6,042,342 | — | — | 6,042,342 | ||||||||||||
Romania | 443,627 | — | — | 443,627 | ||||||||||||
Russia | 27,490,486 | — | — | 27,490,486 | ||||||||||||
Singapore | 5,623,016 | — | — | 5,623,016 | ||||||||||||
South Africa | 68,306,508 | — | — | 68,306,508 | ||||||||||||
South Korea | 166,690,450 | — | — | 166,690,450 | ||||||||||||
Sweden | 908,454 | — | — | 908,454 | ||||||||||||
Switzerland | 7,367,090 | — | — | 7,367,090 | ||||||||||||
Taiwan | 149,406,483 | — | — | 149,406,483 | ||||||||||||
Thailand | 19,215,953 | 18,346,441 | — | 37,562,394 | ||||||||||||
Turkey | 17,133,037 | — | — | 17,133,037 | ||||||||||||
United Arab Emirates | 13,885,176 | — | — | 13,885,176 | ||||||||||||
United Kingdom | 19,477,886 | — | — | 19,477,886 | ||||||||||||
United States | 18,813,385 | — | — | 18,813,385 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 1,202,252,725 | 18,346,441 | — | 1,220,599,166 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | 27,404,578 | — | — | 27,404,578 | ||||||||||||
Colombia | 798,725 | — | — | 798,725 | ||||||||||||
Germany | 1,475,244 | — | — | 1,475,244 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 29,678,547 | — | — | 29,678,547 | ||||||||||||
|
|
|
|
|
|
|
|
152
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2016 (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 | $ | — | $ | 96,915,697 | $ | — | $ | 96,915,697 | ||||||||
Investment Fund | — | 6,342,035 | — | 6,342,035 | ||||||||||||
Securities Lending Collateral | — | 19,351,259 | — | 19,351,259 | ||||||||||||
U.S. Government and Agency Obligations | — | 3,398,750 | — | 3,398,750 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 126,007,741 | — | 126,007,741 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts† | ||||||||||||||||
Buys | — | 1,907,158 | — | 1,907,158 | ||||||||||||
Sales | — | 1,030,978 | — | 1,030,978 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | 2,938,136 | — | 2,938,136 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts† | ||||||||||||||||
Buys | 27,201 | — | — | 27,201 | ||||||||||||
Sales | 481,752 | — | — | 481,752 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | 508,953 | — | — | 508,953 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Synthetic Futures | — | 91,481 | — | 91,481 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,232,440,225 | $ | 147,383,799 | $ | — | $ | 1,379,824,024 | ||||||||
|
|
|
|
|
|
|
|
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 | $ | — | $ | (140,701 | ) | $ | — | $ | (140,701 | ) | ||||||
Sales | — | (789,067 | ) | — | (789,067 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | (929,768 | ) | — | (929,768 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts† | ||||||||||||||||
Buys | (800,356 | ) | — | — | (800,356 | ) | ||||||||||
Sales | (4,634 | ) | — | — | (4,634 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (804,990 | ) | — | — | (804,990 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Synthetic Futures | — | (638,186 | ) | — | (638,186 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (804,990 | ) | $ | (1,567,954 | ) | $ | — | $ | (2,372,944 | ) | |||||
|
|
|
|
|
|
|
|
† | 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. |
153
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2016 (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 | $ | 14,330,025 | $ | — | $ | — | $ | 14,330,025 | ||||||||
Austria | 21,086,936 | — | — | 21,086,936 | ||||||||||||
Belgium | 3,834,496 | — | — | 3,834,496 | ||||||||||||
Bermuda | 14,379,854 | — | — | 14,379,854 | ||||||||||||
Canada | 45,349,102 | — | — | 45,349,102 | ||||||||||||
Denmark | 209,859 | — | — | 209,859 | ||||||||||||
Faroe Islands | 484,707 | — | — | 484,707 | ||||||||||||
Finland | 139,557 | — | — | 139,557 | ||||||||||||
France | 12,155,596 | — | — | 12,155,596 | ||||||||||||
Germany | 13,926,384 | — | — | 13,926,384 | ||||||||||||
Hong Kong | 5,067,450 | — | — | 5,067,450 | ||||||||||||
Ireland | 7,678,095 | — | — | 7,678,095 | ||||||||||||
Israel | 6,246,890 | — | — | 6,246,890 | ||||||||||||
Italy | 4,541,097 | — | — | 4,541,097 | ||||||||||||
Japan | 38,478,499 | — | — | 38,478,499 | ||||||||||||
Luxembourg | 873,537 | — | — | 873,537 | ||||||||||||
Netherlands | 10,127,494 | — | — | 10,127,494 | ||||||||||||
New Zealand | 25,368,580 | — | — | 25,368,580 | ||||||||||||
Norway | 17,699,273 | — | — | 17,699,273 | ||||||||||||
Panama | 317,330 | — | — | 317,330 | ||||||||||||
Portugal | 2,054,951 | — | — | 2,054,951 | ||||||||||||
Singapore | 4,970,262 | — | — | 4,970,262 | ||||||||||||
Spain | 11,604,245 | — | — | 11,604,245 | ||||||||||||
Sweden | 11,563,571 | — | — | 11,563,571 | ||||||||||||
Switzerland | 38,339,838 | — | — | 38,339,838 | ||||||||||||
United Kingdom | 82,769,518 | 5,363 | — | 82,774,881 | ||||||||||||
United States | 584,865,435 | — | — | 584,865,435 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 978,462,581 | 5,363 | — | 978,467,944 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Germany | 3,535,475 | — | — | 3,535,475 | ||||||||||||
Japan | 452,572 | — | — | 452,572 | ||||||||||||
Sweden | 146,914 | — | — | 146,914 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 4,134,961 | — | — | 4,134,961 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposits | — | 123,293,853 | — | 123,293,853 | ||||||||||||
Securities Lending Collateral | — | 5,711,119 | — | 5,711,119 | ||||||||||||
U.S. Government and Agency Obligations | — | 1,599,931 | — | 1,599,931 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 130,604,903 | — | 130,604,903 | ||||||||||||
|
|
|
|
|
|
|
|
154
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2016 (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 | $ | 172,917 | $ | — | $ | — | $ | 172,917 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | 172,917 | — | — | 172,917 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 982,770,459 | $ | 130,610,266 | $ | — | $ | 1,113,380,725 | ||||||||
|
|
|
|
|
|
|
|
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 | $ | (38,779 | ) | $ | — | $ | — | $ | (38,779 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (38,779 | ) | — | — | (38,779 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (38,779 | ) | $ | — | $ | — | $ | (38,779 | ) | ||||||
|
|
|
|
|
|
|
|
† | 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 | $ | — | $ | 1,383,885 | * | $ | 1,383,885 | * | $ | — | ||||||
|
|
|
|
|
|
|
|
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 | $ | 65,916 | ** | $ | — | $ | — | $ | 65,916 | ** | ||||||
|
|
|
|
|
|
|
|
* | Transfers occurred between Level 1 and Level 2 as a result of securities not receiving an exchange traded price. |
** | Transfers occurred between Level 1 and Level 2 as a result of 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.
155
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2016 (Unaudited)
The following tables include a rollforward of the amounts for the period ended September 30, 2016 for financial instruments classified as Level 3:
Non-US Core Equity
Investments | Balance as of March 31, 2016 | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Net Transfers In (Out) of Level 3 | Purchases | Balance as of September 30, 2016 | Change in Unrealized Appreciation (Depreciation) from Investments Held at September 30, 2016 | ||||||||||||||||||||||||||||
COMMON STOCKS |
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Portugal | $ | 0 | ^ | $ | — | $ | — | $ | — | $ | — | $ | 0 | ^^ | $ | — | |||||||||||||||||||
Spain | 0 | ^ | — | — | — | — | 0 | ^^ | — | ||||||||||||||||||||||||||
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Total | $ | 0 | ^ | $ | — | $ | — | $ | — | $ | — | $ | 0 | ^^ | $ | — | |||||||||||||||||||
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^ | Represents one security at $0 value as of March 31, 2016. |
^^ | Represents one security at $0 value as of September 30, 2016. |
Core Fixed
Investments | Balance as of March 31, 2016 | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Net Transfers In (Out) of Level 3 | Purchases/ Sales | Balance as of September 30, 2016 | Change in Unrealized Appreciation (Depreciation) from Investments Held at September 30, 2016 | ||||||||||||||||||||||||||||
DEBT OBLIGATIONS |
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Corporate Debt | $ | 0 | ^ | $ | — | $ | — | $ | — | $ | — | $ | 0 | ^^ | $ | — | |||||||||||||||||||
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Total | $ | 0 | ^ | $ | — | $ | — | $ | — | $ | — | $ | 0 | ^^ | $ | — | |||||||||||||||||||
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^ | Represents one security at $0 value as of March 31, 2016. |
^^ | Represents one security at $0 value as of September 30, 2016. |
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, Opportunistic Fixed and Global Low Volatility held warrants during the period as a result of corporate actions.
At September 30, 2016 and during the period then ended, the Funds had the following derivatives and transactions in derivatives, grouped into appropriate risk categories:
Large Cap
ASSET DERIVATIVES
Equity Risk | Total | |||||||
Futures Contracts(3) | $ | 56,738 | $ | 56,738 | ||||
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Total Value | $ | 56,738 | $ | 56,738 | ||||
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Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2016 (Unaudited)
NET REALIZED GAIN (LOSS)
Equity Risk | Total | |||||||
Futures Contracts(7) | $ | 1,226,765 | $ | 1,226,765 | ||||
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Total Realized Gain (Loss) | $ | 1,226,765 | $ | 1,226,765 | ||||
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CHANGE IN APPRECIATION (DEPRECIATION)
Equity Risk | Total | |||||||
Futures Contracts(11) | $ | (227,888 | ) | $ | (227,888 | ) | ||
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Total Change in Appreciation (Depreciation) | $ | (227,888 | ) | $ | (227,888 | ) | ||
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NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(13)
Equity Risk | Total | |||||||
Futures Contracts | 122 | 122 |
Small/Mid Cap
ASSET DERIVATIVES
Equity Risk | Total | |||||||
Futures Contracts(3) | $ | 675,122 | $ | 675,122 | ||||
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Total Value | $ | 675,122 | $ | 675,122 | ||||
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NET REALIZED GAIN (LOSS)
Equity Risk | Total | |||||||
Warrants(5) | $ | 0 | $ | 0 | ||||
Futures Contracts(7) | 3,277,589 | 3,277,589 | ||||||
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Total Realized Gain (Loss) | $ | 3,277,589 | $ | 3,277,589 | ||||
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CHANGE IN APPRECIATION (DEPRECIATION)
Equity Risk | Total | |||||||
Futures Contracts(11) | $ | 417,465 | $ | 417,465 | ||||
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Total Change in Appreciation (Depreciation) | $ | 417,465 | $ | 417,465 | ||||
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NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(13)
Equity Risk | Total | |||||||
Warrants | 27,862 | 27,862 | ||||||
Futures Contracts | 173 | 173 |
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Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2016 (Unaudited)
Non-US Core Equity
ASSET DERIVATIVES
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Futures Contracts(3) | $ | — | $ | 975,270 | $ | 975,270 | ||||||
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Total Value | $ | — | $ | 975,270 | $ | 975,270 | ||||||
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NET REALIZED GAIN (LOSS)
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Rights(5) | $ | — | $ | 8,689 | $ | 8,689 | ||||||
Futures Contracts(7) | — | 4,007,780 | 4,007,780 | |||||||||
Forward Foreign Currency Contracts(6) | 40,877 | — | 40,877 | |||||||||
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Total Realized Gain (Loss) | $ | 40,877 | $ | 4,016,469 | $ | 4,057,346 | ||||||
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CHANGE IN APPRECIATION (DEPRECIATION)
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Futures Contracts(11) | $ | — | $ | 1,174,215 | $ | 1,174,215 | ||||||
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Total Change in Appreciation (Depreciation) | $ | — | $ | 1,174,215 | $ | 1,174,215 | ||||||
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NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(13)
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Rights | — | 262,401 | 262,401 | |||||||||
Futures Contracts | — | 1,005 | 1,005 | |||||||||
Forward Foreign Currency Contracts | 196,380 | — | 196,380 |
Opportunistic Fixed
ASSET DERIVATIVES
Foreign Currency Risk | Interest Rate Risk | Equity Risk | Total | |||||||||||||
Warrants(1) | $ | — | $ | — | $ | 8,004 | $ | 8,004 | ||||||||
Futures Contracts(3) | — | 76,576 | — | 76,576 | ||||||||||||
Forward Foreign Currency Contracts(2) | 2,334,977 | — | — | 2,334,977 | ||||||||||||
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Total Value | $ | 2,334,977 | $ | 76,576 | $ | 8,004 | $ | 2,419,557 | ||||||||
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LIABILITY DERIVATIVES
Foreign Currency Risk | Interest Rate Risk | Equity Risk | Total | |||||||||||||
Futures Contracts(3) | $ | — | $ | (123 | ) | $ | — | $ | (123 | ) | ||||||
Forward Foreign Currency Contracts(4)† | (1,383,816 | ) | — | — | (1,383,816 | ) | ||||||||||
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Total Value | $ | (1,383,816 | ) | $ | (123 | ) | $ | — | $ | (1,383,939 | ) | |||||
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Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2016 (Unaudited)
NET REALIZED GAIN (LOSS)
Foreign Currency Risk | Interest Rate Risk | Equity Risk | Total | |||||||||||||
Futures Contracts(7) | $ | — | $ | 566,902 | $ | — | $ | 566,902 | ||||||||
Forward Foreign Currency | (2,936,214 | ) | — | — | (2,936,214 | ) | ||||||||||
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Total Realized Gain (Loss) | $ | (2,936,214 | ) | $ | 566,902 | $ | — | $ | (2,369,312 | ) | ||||||
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CHANGE IN APPRECIATION (DEPRECIATION)
Foreign Currency Risk | Interest Rate Risk | Equity Risk | Total | |||||||||||||
Warrants(9) | $ | — | $ | — | $ | 8,004 | $ | 8,004 | ||||||||
Futures Contracts(11) | — | (220,624 | ) | — | (220,624 | ) | ||||||||||
Forward Foreign Currency | 3,703,217 | — | — | 3,703,217 | ||||||||||||
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Total Change in Appreciation (Depreciation) | $ | 3,703,217 | $ | (220,624 | ) | $ | 8,004 | $ | 3,490,597 | |||||||
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NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(13)
Foreign Currency Risk | Interest Rate Risk | Equity Risk | Total | |||||||||||||
Warrants | — | — | 3,495 | 3,495 | ||||||||||||
Futures Contracts | — | 1,998 | — | 1,998 | ||||||||||||
Forward Foreign Currency Contracts† | (11,950,674 | ) | — | — | (11,950,674 | ) |
Core Fixed
ASSET DERIVATIVES
Credit Risk | Interest Rate Risk | Total | ||||||||||
Futures Contracts(3) | $ | — | $ | 120,738 | $ | 120,738 | ||||||
Centrally Cleared Swap Contracts | 90,830 | ** | 34,112 | ** | 124,942 | |||||||
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Total Value | $ | 90,830 | $ | 154,850 | $ | 245,680 | ||||||
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LIABILITY DERIVATIVES
Credit Risk | Interest Rate Risk | Total | ||||||||||
Futures Contracts(3) | $ | — | $ | (358,947 | ) | $ | (358,947 | ) | ||||
Centrally Cleared Swap Contracts | — | (1,165,331 | )** | (1,165,331 | ) | |||||||
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Total Value | $ | — | $ | (1,524,278 | ) | $ | (1,524,278 | ) | ||||
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NET REALIZED GAIN (LOSS)
Credit Risk | Interest Rate Risk | Total | ||||||||||
Swaps Contracts(8) | $ | (86,889 | ) | $ | (140,619 | ) | $ | (227,508 | ) | |||
Futures Contracts(7) | — | 1,977,788 | 1,977,788 | |||||||||
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Total Realized Gain (Loss) | $ | (86,889 | ) | $ | 1,837,169 | $ | 1,750,280 | |||||
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Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2016 (Unaudited)
CHANGE IN APPRECIATION (DEPRECIATION)
Credit Risk | Interest Rate Risk | Total | ||||||||||
Swaps Contracts(12) | $ | (131,503 | ) | $ | (211,742 | ) | $ | (343,245 | ) | |||
Futures Contracts(11) | — | (618,641 | ) | (618,641 | ) | |||||||
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Total Change in Appreciation (Depreciation) | $ | (131,503 | ) | $ | (830,383 | ) | $ | (961,886 | ) | |||
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NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(13)
Credit Risk | Interest Rate Risk | Total | ||||||||||
Swaps Contracts | 17,000,000 | 34,180,875 | 51,180,875 | |||||||||
Futures Contracts | — | 674 | 674 |
Emerging Markets
ASSET DERIVATIVES
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Futures Contracts(3)†† | $ | — | $ | 600,434 | $ | 600,434 | ||||||
Forward Foreign Currency Contracts(2) | 2,938,136 | — | 2,938,136 | |||||||||
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Total Value | $ | 2,938,136 | $ | 600,434 | $ | 3,538,570 | ||||||
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LIABILITY DERIVATIVES
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Futures Contracts(3)†† | $ | — | $ | (1,443,176 | ) | $ | (1,443,176 | ) | ||||
Forward Foreign Currency Contracts(4) | (929,768 | ) | — | (929,768 | ) | |||||||
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Total Value | $ | (929,768 | ) | $ | (1,443,176 | ) | $ | (2,372,944 | ) | |||
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NET REALIZED GAIN (LOSS)
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Rights(5) | $ | — | $ | 84,501 | $ | 84,501 | ||||||
Warrants(5) | — | 188,452 | 188,452 | |||||||||
Futures Contracts(7)†† | — | 14,421,823 | 14,421,823 | |||||||||
Forward Foreign Currency Contracts(6) | (814,843 | ) | — | (814,843 | ) | |||||||
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Total Realized Gain (Loss) | $ | (814,843 | ) | $ | 14,694,776 | $ | 13,879,933 | |||||
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CHANGE IN APPRECIATION (DEPRECIATION)
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Futures Contracts(11)†† | $ | — | $ | (4,639,891 | ) | $ | (4,639,891 | ) | ||||
Forward Foreign Currency Contracts(10) | 1,702,761 | — | 1,702,761 | |||||||||
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Total Change in Appreciation (Depreciation) | $ | 1,702,761 | $ | (4,639,891 | ) | $ | (2,937,130 | ) | ||||
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Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2016 (Unaudited)
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(13)
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Rights | — | 349,360 | 349,360 | |||||||||
Warrants | — | 834,500 | 834,500 | |||||||||
Futures Contracts†† | — | 106,135,457 | 106,135,457 | |||||||||
Forward Foreign Currency Contracts | 30,170,185 | — | 30,170,185 |
Global Low Volatility
ASSET DERIVATIVES
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Futures Contracts(3) | $ | 6,210 | $ | 166,707 | $ | 172,917 | ||||||
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Total Value | $ | 6,210 | $ | 166,707 | $ | 172,917 | ||||||
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LIABILITY DERIVATIVES
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Futures Contracts(3) | $ | — | $ | (38,779 | ) | $ | (38,779 | ) | ||||
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Total Value | $ | — | $ | (38,779 | ) | $ | (38,779 | ) | ||||
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NET REALIZED GAIN (LOSS)
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Rights(5) | $ | — | $ | 742,469 | $ | 742,469 | ||||||
Warrants(5) | — | 33,648 | 33,648 | |||||||||
Futures Contracts(7) | 21,856 | 3,332,186 | 3,354,042 | |||||||||
Forward Foreign Currency Contracts(6) | (137,405 | ) | — | (137,405 | ) | |||||||
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Total Realized Gain (Loss) | $ | (115,549 | ) | $ | 4,108,303 | $ | 3,992,754 | |||||
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CHANGE IN APPRECIATION (DEPRECIATION)
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Rights(9) | $ | — | $ | (77 | ) | $ | (77 | ) | ||||
Warrants(9) | — | (21,204 | ) | (21,204 | ) | |||||||
Futures Contracts(11) | (37,174 | ) | (487,260 | ) | (524,434 | ) | ||||||
Forward Foreign Currency Contracts(10) | 46,188 | — | 46,188 | |||||||||
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Total Change in Appreciation (Depreciation) | $ | 9,014 | $ | (508,541 | ) | $ | (499,527 | ) | ||||
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161
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2016 (Unaudited)
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(13)
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Rights | — | 3,001,196 | 3,001,196 | |||||||||
Warrants | — | 14,269 | 14,269 | |||||||||
Futures Contracts | 18 | 436 | 454 | |||||||||
Forward Foreign Currency Contracts | (5,400,033 | ) | — | (5,400,033 | ) |
** | 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) | Statements of Assets and Liabilities location: Unrealized depreciation on open forward foreign currency contracts. |
(5) | Statements of Operations location: Amounts are included in Net realized gain (loss) on Investments. |
(6) | Statements of Operations location: Amounts are included in Net realized gain (loss) on Forward foreign currency contracts and foreign currency related transactions. |
(7) | Statements of Operations location: Amounts are included in Net realized gain (loss) on Closed futures contracts. |
(8) | Statements of Operations location: Amounts are included in Net realized gain (loss) on Swap contracts. |
(9) | Statements of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Investments. |
(10) | Statements of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Forward foreign currency contracts and foreign currency related transactions. |
(11) | Statements of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Open futures contracts. |
(12) | Statements of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Swap contracts. |
(13) | Amounts disclosed represent average number of contracts, notional amounts, or shares outstanding for the time period that the Fund held such derivatives during the period ended September 30, 2016. |
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.
The following is a summary of open centrally cleared credit default swap positions held by Core Fixed at September 30, 2016:
Notional Amount* | Currency | Expiration Date | Buy/Sell | Receive (Pay) Fixed Rate | Deliverable on Default | Unrealized Appreciation (Depreciation) | Value | |||||||||||||||||||
$ | 17,000,000 | USD | 06/20/20 | Buy | (1.00 | %) | CDX.IG.24 CG24 | $ | 90,830 | $(224,101) |
* | The maximum potential amount of future undiscounted payments that the Fund could be required to make under a credit default swap contract would be the notional amount of the contract. These potential amounts would be partially offset by any recovery values of the referenced debt obligation or net amounts received from the settlement of purchased protection credit default swap contracts entered into by the Fund for the same referenced debt obligation. |
162
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2016 (Unaudited)
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.
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, 2016.
163
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Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2016 (Unaudited)
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 | $ | 20,859 | $ | (20,859 | ) | $ | — | $ | — | |||||||
Citibank N.A. | 1,194,837 | (508,945 | ) | — | 685,892 | |||||||||||
Deutsche Bank AG London | 53,138 | (53,138 | ) | — | — | |||||||||||
Goldman Sachs International | 895,136 | (84,077 | ) | — | 811,059 | |||||||||||
HSBC Bank Plc | 7,437 | (7,437 | ) | — | — | |||||||||||
JPMorgan Chase Bank N.A. London | 43,213 | (43,213 | ) | — | — | |||||||||||
Standard Chartered Bank | 120,357 | (120,357 | ) | — | — | |||||||||||
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$ | 2,334,977 | $ | (838,026 | ) | $ | — | $ | 1,496,951 | ||||||||
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Offsetting of Financial Liabilities and Derivative Liabilities:
Counterparty | Derivative Liabilities Subject to MNA | Derivative Assets/(Liabilities) available for offset | Collateral Pledged* | Net Amount of Derivative Assets(b) | ||||||||||||
Barclays Bank Plc | $ | (57,080 | ) | $ | 20,859 | $ | — | $ | (36,221 | ) | ||||||
Citibank N.A. | (508,945 | ) | 508,945 | — | — | |||||||||||
Deutsche Bank AG London | (81,829 | ) | 53,138 | — | (28,691 | ) | ||||||||||
Goldman Sachs International | (84,077 | ) | 84,077 | — | — | |||||||||||
HSBC Bank Plc | (83,813 | ) | 7,437 | — | (76,376 | ) | ||||||||||
JPMorgan Chase Bank N.A. London | (116,757 | ) | 43,213 | — | (73,544 | ) | ||||||||||
Standard Chartered Bank | (451,315 | ) | 120,357 | — | (330,958 | ) | ||||||||||
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|
|
|
|
|
|
| |||||||||
$ | (1,383,816 | ) | $ | 838,026 | $ | — | $ | (545,790 | ) | |||||||
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|
|
|
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|
(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 | $ | 2,938,136 | $ | (929,768 | ) | $ | — | $ | 2,008,368 | |||||||
Goldman Sachs International | 91,481 | (91,481 | ) | — | — | |||||||||||
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|
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|
|
|
| |||||||||
$ | 3,029,617 | $ | (1,021,249 | ) | $ | — | $ | 2,008,368 | ||||||||
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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 | $ | (929,768 | ) | $ | 929,768 | $ | — | $ | — | |||||||
Goldman Sachs International | (638,186 | ) | 91,481 | — | (546,705 | ) | ||||||||||
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|
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| |||||||||
$ | (1,567,954 | ) | $ | 1,021,249 | $ | — | $ | (546,705 | ) | |||||||
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|
|
|
|
|
|
|
(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.
(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
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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, 2016. If the market value of the collateral at the close of trading on a business day is less than 100% of the market value of the loaned securities at the close of trading on that day, the borrower shall be required to deliver, by the close of business on the following business day, an additional amount of collateral, so that the total amount of posted collateral is equal to at least 100% of the market value of all the loaned securities as of such preceding day. 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, 2016 were as follows:
Market Value of Loaned Securities | Value of Cash Collateral | Value of Non-Cash Collateral | ||||||||||
Large Cap | $ | 28,409,773 | $ | 12,861,573 | $ | 15,869,960 | ||||||
Small/Mid Cap | 50,516,381 | 25,695,826 | 25,371,713 | |||||||||
Non-US Core Equity | 73,679,242 | 76,904,418 | 843,978 | |||||||||
Core Fixed | 32,076,338 | 10,823,428 | 21,994,475 | |||||||||
Opportunistic Fixed | 22,160,683 | 21,274,140 | 1,284,000 | |||||||||
Emerging Markets | 38,975,512 | 19,351,259 | 22,072,774 | |||||||||
Global Low Volatility | 5,404,446 | 5,711,119 | — |
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 securities lending and other similar transactions that are accounted for as secured borrowings.
For Large Cap, Small/Mid Cap, Non-US Core Equity, Emerging Markets and Global Low Volatility, all of the securities on loan collateralized by cash are classified as Common Stocks in each Fund’s Schedule of Investments at September 30, 2016, with a contractual maturity of overnight and continuous.
For Core Fixed and Opportunistic Fixed, all of the securities on loan collateralized by cash are classified as Corporate Debt in the Fund’s Schedule of Investments at September 30, 2016, with a contractual maturity of overnight and continuous.
(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
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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, 2016, 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.
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
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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 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
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swap contracts are recorded for financial statement purposes as unrealized appreciation or depreciation of swap contracts (swap contracts, at value on the Statements of Assets and Liabilities).
Swap agreements are marked to market daily. The change in value, if any, is recorded as unrealized gain or loss in the Statements of Operations. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss in the Statements of Operations. Net periodic payments are included as part of realized gain (loss) on the Statements of Operations.
The swaps in which the Fund may engage may include instruments under which one party pays a single or periodic fixed amount(s) (or premium), and the other party pays periodic amounts based on the movement of a specified index. The Fund’s maximum risk of loss from counterparty credit risk, as opposed to investment and other types of risk, in respect of swaps is typically the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life to the extent that such amount is positive, plus the cost of entering into a similar transaction with another counterparty, if possible.
The use of swaps is a highly specialized activity that involves investment techniques and risks different from those associated with ordinary portfolio securities transactions. If the Advisor or Subadvisor is incorrect in its forecasts of market values, interest rates, and currency exchange rates, the investment performance of the Fund would be less favorable than it would have been if this investment technique were not used.
Like most other investments, swap agreements are subject to the risk that the market value of the instrument will change in a way detrimental to a Fund’s interest. A Fund bears the risk that Subadvisor will not accurately forecast future market trends or the values of assets, reference rates, indexes, or other economic factors in establishing swap positions for the Fund. If a Subadvisor attempts to use a swap as a hedge against, or as a substitute for, a portfolio investment, the Fund will be exposed to the risk that the swap will have or will develop imperfect or no correlation with the portfolio investment. This could cause substantial losses for the Fund. While hedging strategies involving swap instruments can reduce the risk of loss, they can also reduce the opportunity for gain or even result in losses by offsetting favorable price movements in other Fund investments.
During the period ended September 30, 2016, 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, 2016.
(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.
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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 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, 2016, Large Cap, Small/Mid Cap, 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, Small/Mid Cap, 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, 2016.
(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
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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.
As of September 30, 2016, none of the Funds held open options.
(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, 2016, 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 and Emerging Markets Schedules of Investments for a listing of open forward foreign currency contracts as of September 30, 2016.
(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
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prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated at exchange rates prevailing on the respective dates of such transactions. Unrealized gains and losses that result from changes in foreign currency exchange rates have been included in the unrealized gains (losses) on foreign currency translations within each Fund’s Statement of Operations. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions and the difference between the amounts of interest and dividends recorded on the books of the Fund and the amount actually received. The portion of foreign currency gains and losses related to fluctuations in exchange rates between the purchase settlement date and subsequent sale trade date is included in realized gains and losses on investment transactions.
(k) When-issued securities/TBA securities
Purchasing securities on a “when-issued” basis is a commitment by a Fund to buy a security before the security is actually issued. A Fund may purchase securities offered on a “when-issued” or “forward delivery” basis such as TBA securities. When so offered, the price, which is generally expressed in yield terms, is fixed at the time the commitment to purchase is made, but delivery and payment for the when-issued or forward delivery securities take place at a later date. During the period between purchase and settlement, no payment is made by the purchaser to the issuer and no interest on the when-issued or forward delivery security accrues to the purchaser. While when-issued or forward delivery securities may be sold prior to the settlement date, it is intended that a Fund will purchase such securities with the purpose of actually acquiring the securities unless a sale appears desirable for investment reasons. At the time a Fund makes the commitment to purchase a security on a when-issued or forward delivery basis, the Fund will record the transaction and reflect the value of the security in determining the Fund’s NAV. The market value of when-issued or forward delivery securities may be more or less than the purchase price. Certain risks may arise upon entering into when-issued or forward delivery securities transactions, including the potential inability of counterparties to meet the terms of their contracts, and the issuer’s failure to issue the securities due to political, economic, or other factors. Additionally, losses may arise due to declines in the value of the securities 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, 2016.
(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, 2016.
(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
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the Fund to a lower rate of return upon reinvestment of principal. The value of these securities may fluctuate in response to the market’s perception of the creditworthiness of the issuers. Additionally, although mortgages and mortgage-related securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers will meet their obligations.
One type of stripped mortgage-backed security has one class receiving all of the interest from the mortgage assets (the interest-only, or “IO” class), while the other class will receive all of the principal (the principal-only, or “PO” class). Payments received for the IOs are included in interest income on the Statements of Operations. Because principal will not be received at the maturity of an IO, adjustments are made to the cost basis of the security on a daily basis until maturity. These adjustments are included in interest income on the Statements of Operations. Payments received for POs are treated as reductions to the cost and par value of the securities. See the Schedule of Investments for mortgage-backed and asset-backed securities held by Core Fixed as of September 30, 2016.
(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, 2016.
(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, 2016, the Funds held no unfunded loan commitments.
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(p) Indexed securities
The Funds may invest in indexed securities where the redemption values and/or coupons are linked to the prices of other securities, securities indices, or other financial indicators. The Funds use indexed securities to increase or decrease their exposure to different underlying instruments and to gain exposure to markets in which it may be difficult to invest through conventional securities. Indexed securities may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment.
(q) Taxes and distributions
The Funds intend to qualify each year as regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended (“the Code”). The Funds intend to distribute substantially all of their net investment income and net realized short-term and long-term gains, if any, after giving effect to any available capital loss carryovers for U.S. federal income tax purposes. Therefore, no provision for U.S. federal and state income or excise tax is necessary.
The Funds’ policy is to declare and pay distributions from net investment income and net realized short-term and long-term gains at least annually. All distributions are paid in shares of the Funds, at NAV, unless the shareholder elects to receive cash distributions. A Fund may distribute such income dividends and capital gains more frequently, if necessary, in order to reduce or eliminate federal excise taxes on the Funds. The amount of any distribution will vary, and there is no guarantee that a Fund will pay either income dividends or capital gains distributions.
(r) Allocation of expenses and income
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated among the applicable Funds, taking into consideration, among other things, the nature and type of expense and the relative size of each applicable Fund.
(s) Redemption fees
While none of the Funds’ classes have initial or contingent deferred sales charges on purchases of Fund shares, redemptions of Fund shares held less than 30 days may be assessed a 2% short-term trading fee and recorded as paid-in capital.
3. | Credit agreement |
The Trust entered into a Credit Agreement on behalf of the Funds (“the Agreement”) with a bank pursuant to a committed, unsecured revolving line of credit through December 15, 2016. Borrowings for each Fund under the Agreement are limited to the lesser of $50,000,000 or 33 1/3% of a Fund’s Adjusted Net Assets provided borrowings did not exceed, in the aggregate, $50,000,000. Under the terms of the Agreement the Trust pays an annual commitment fee at the rate 0.25% per year on the difference between the total line of credit and the average daily amount of borrowings outstanding. Interest is charged to the Funds based on its borrowings at a variable rate equal to the higher of the Overnight Federal Funds Rate or 30-Day LIBOR plus 1.00%. The Funds did not borrow under the Agreement during the period ended September 30, 2016.
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.
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5. | Fees and other transactions with affiliates |
The Advisor provides investment advisory services to each Fund pursuant to an investment management agreement. Effective July 1, 2016, 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 up to $1 billion | Average net assets in excess of $1 billion | ||||||||||
Large Cap | 0.53 | % | 0.51 | % | 0.46 | % | ||||||
Small/Mid Cap | 0.90 | % | 0.88 | % | 0.83 | % | ||||||
Non-US Core Equity | 0.75 | % | 0.73 | % | 0.68 | % | ||||||
Core Fixed | 0.35 | % | 0.33 | % | 0.28 | % | ||||||
Opportunistic Fixed | 0.80 | % | 0.78 | % | 0.73 | % | ||||||
Emerging Markets | 0.80 | % | 0.78 | % | 0.73 | % | ||||||
Global Low Volatility | 0.75 | % | 0.73 | % | 0.68 | % |
* | Consists of the total advisory fee payable by the Funds to the Advisor. The Advisor is responsible for paying the subadvisory fees. |
Prior to July 1, 2016, pursuant to the investment management agreement, each Fund paid 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** | 0.53 | % | 0.51 | % | ||||
Small/Mid Cap | 0.90 | % | 0.88 | % | ||||
Non-US Core Equity | 0.75 | % | 0.73 | % | ||||
Core Fixed | 0.35 | % | 0.33 | % | ||||
Opportunistic Fixed | 0.80 | % | 0.78 | % | ||||
Emerging Markets | 0.80 | % | 0.78 | % | ||||
Global Low Volatility | 0.75 | % | 0.73 | % |
* | Consists of the total advisory fee payable by the Funds to the Advisor. The Advisor is responsible for paying the subadvisory fees. |
** | Prior to the acquisition (See Note 9), Large Cap paid the Advisor an annual rate of 0.55% on average net assets up to $750 million and 0.53% on average net assets in excess of $750 million for managing the Fund’s investments. |
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
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“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 entered into a written contractual fee waiver and expense reimbursement agreement pursuant to which the Advisor 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. This agreement expired on July 31, 2016. For the period ended September 30, 2016, 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. However, Class S, Class Y-1 and Class Y-2 shares have not commenced 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, 2016, there were no reimbursed expenses recovered by the Advisor from the Funds.
Pursuant to the Funds’ expense reimbursement agreement, the Advisor can recapture certain amounts waived or reimbursed over the 12-month period ended July 31, 2014 (and over the past three 12-month periods ended July 31, 2016 with respect to Opportunistic Fixed). The following amounts were available for recapture as of July 31, 2016:
Expenses Reimbursed in the 12-Months Ended July 31, | ||||||||||||
2014 | 2015 | 2016 | ||||||||||
Subject to Recapture until July 31, | ||||||||||||
2017 | 2018 | 2019 | ||||||||||
Large Cap | $ | 248,632 | $ | — | $ | — | ||||||
Small/Mid Cap | 54,175 | — | — | |||||||||
Non-US Core Equity | — | — | — | |||||||||
Core Fixed | 651,589 | — | — | |||||||||
Opportunistic Fixed | 253,811 | 208,082 | 176,732 | |||||||||
Emerging Markets | 556,688 | — | — | |||||||||
Global Low Volatility | — | — | — |
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, 2016, were as follows:
Long-Term U.S. Government Securities | Other Long-Term Securities | |||||||
Purchases | ||||||||
Large Cap* | $ | — | $ | 270,000,553 | ||||
Small/Mid Cap** | — | 644,159,441 | ||||||
Non-US Core Equity | — | 980,955,222 | ||||||
Core Fixed | 545,367,215 | 238,112,333 | ||||||
Opportunistic Fixed | — | 201,081,201 | ||||||
Emerging Markets | — | 730,953,131 | ||||||
Global Low Volatility | — | 414,596,026 |
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Long-Term U.S. Government Securities | Other Long-Term Securities | |||||||
Sales | ||||||||
Large Cap | $ | — | $ | 286,309,281 | ||||
Small/Mid Cap | — | 649,252,750 | ||||||
Non-US Core Equity | — | 860,315,866 | ||||||
Core Fixed | 481,975,141 | 214,178,774 | ||||||
Opportunistic Fixed | — | 124,119,148 | ||||||
Emerging Markets | — | 598,983,816 | ||||||
Global Low Volatility | — | 303,749,397 |
* | With respect to Large Cap’s merger with Mercer US Large Cap Value Equity Fund (“Large Cap Value”) (see Note 9) on June 24, 2016, Large Cap acquired long-term securities with a cost of $277,806,252 that are not included in the above other long-term securities purchases value. |
** | With respect to Small/Mid Cap’s merger with Mercer US Small/Mid Cap Value Equity Fund (“Small/Mid Cap Value”) (see Note 9) on June 24, 2016, Small/Mid Cap acquired long-term securities with a cost of $450,558,318 that are not included in the above other long-term securities purchases value. |
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
Six Months Ended September 30, 2016 | Year Ended March 31, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 2,981,114 | $ | 28,999,808 | 4,985,529 | $ | 54,996,490 | ||||||||||
Shares issued through acquisition | 30,126,230 | 274,762,972 | — | — | ||||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 4,072,203 | 40,029,758 | ||||||||||||
Shares repurchased | (4,673,654 | ) | (44,184,286 | ) | (9,458,703 | ) | (105,785,655 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 28,433,690 | $ | 259,578,494 | (400,971 | ) | $ | (10,759,407 | ) | ||||||||
|
|
|
|
|
|
|
|
Small/Mid Cap
Six Months Ended September 30, 2016 | Year Ended March 31, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 3,877,078 | $ | 41,536,238 | 4,942,894 | $ | 55,377,890 | ||||||||||
Shares issued through acquisition | 44,707,680 | 461,393,851 | — | — | ||||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 2,293,116 | 24,352,888 | ||||||||||||
Shares repurchased | (3,196,060 | ) | (34,873,536 | ) | (4,259,716 | ) | (50,158,329 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 45,388,698 | $ | 468,056,553 | 2,976,294 | $ | 29,572,449 | ||||||||||
|
|
|
|
|
|
|
|
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Non-US Core Equity
Six Months Ended September 30, 2016 | Year Ended March 31, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 15,893,246 | $ | 154,977,759 | 21,486,792 | $ | 213,382,507 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 8,452,047 | 82,069,373 | ||||||||||||
Shares repurchased | (7,601,613 | ) | (74,821,114 | ) | (22,605,539 | ) | (236,936,733 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 8,291,633 | $ | 80,156,645 | 7,333,300 | $ | 58,515,147 | ||||||||||
|
|
|
|
|
|
|
|
Opportunistic Fixed
Six Months Ended September 30, 2016 | Year Ended March 31, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 7,902,442 | $ | 69,233,449 | 10,534,645 | $ | 90,807,455 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 655,722 | 5,226,105 | ||||||||||||
Shares repurchased | (1,404,681 | ) | (12,155,749 | ) | (5,465,227 | ) | (47,840,875 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 6,497,761 | $ | 57,077,700 | 5,725,140 | $ | 48,192,685 | ||||||||||
|
|
|
|
|
|
|
|
Core Fixed
Six Months Ended September 30, 2016 | Year Ended March 31, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 17,471,035 | $ | 181,464,545 | 15,717,334 | $ | 161,679,985 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 3,294,918 | 32,553,789 | ||||||||||||
Shares repurchased | (8,176,297 | ) | (84,346,005 | ) | (27,303,611 | ) | (278,202,540 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 9,294,738 | $ | 97,118,540 | (8,291,359 | ) | $ | (83,968,766 | ) | ||||||||
|
|
|
|
|
|
|
|
Emerging Markets
Six Months Ended September 30, 2016 | Year Ended March 31, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 17,347,288 | $ | 151,201,999 | 37,663,658 | $ | 329,515,356 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 1,428,605 | 11,714,562 | ||||||||||||
Shares repurchased | (6,235,487 | ) | (56,760,367 | ) | (15,257,581 | ) | (141,137,722 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 11,111,801 | $ | 94,441,632 | 23,834,682 | $ | 200,092,196 | ||||||||||
|
|
|
|
|
|
|
|
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Global Low Volatility
Six Months Ended September 30, 2016 | Year Ended March 31, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 12,383,551 | $ | 149,025,527 | 15,663,054 | $ | 191,381,879 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | — | — | 5,098,029 | 58,168,511 | ||||||||||||
Shares repurchased | (3,356,074 | ) | (40,793,733 | ) | (7,747,497 | ) | (94,010,564 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 9,027,477 | $ | 108,231,794 | 13,013,586 | $ | 155,539,826 | ||||||||||
|
|
|
|
|
|
|
|
8. | Federal income taxes |
As of September 30, 2016, 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 | $ | 584,572,761 | $ | 46,437,721 | $ | (14,209,564 | ) | $ | 32,228,157 | |||||||
Small/Mid Cap | 914,921,542 | 91,805,231 | (21,401,442 | ) | 70,403,789 | |||||||||||
Non-US Core Equity | 2,084,428,223 | 205,171,386 | (106,028,061 | ) | 99,143,325 | |||||||||||
Core Fixed | 947,450,742 | 20,080,479 | (7,174,001 | ) | 12,906,478 | |||||||||||
Opportunistic Fixed | 544,399,778 | 14,823,747 | (33,825,999 | ) | (19,002,252 | ) | ||||||||||
Emerging Markets | 1,297,105,082 | 108,757,510 | (29,577,138 | ) | 79,180,372 | |||||||||||
Global Low Volatility | 1,039,663,461 | 100,102,299 | (26,557,952 | ) | 73,544,347 |
9. | Acquisition |
At the close of business on June 24, 2016, Large Cap, formerly Mercer US Large Cap Growth Equity Fund, with Class Y-3 net assets of $267,918,751 acquired all of the assets and liabilities of Large Cap Value, each a series of the Trust, in a tax-free reorganization. The acquisition was accomplished by a tax-free exchange of 30,880,775 Class Y-3 shares of Large Cap Value valued at $274,762,972 for 30,126,230 Class Y-3 shares of Large Cap. Large Cap Value’s net assets on June 24, 2016 were $274,762,972 for Class Y-3, including investments valued at $270,404,502 with a cost basis of $277,806,864. For financial reporting purposes, assets received, liabilities assumed, and shares issued by Large Cap were recorded at fair value; however, the cost basis of the investments received by Large Cap from Large Cap Value were carried forward to align ongoing reporting of Large Cap’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes. The aggregate net assets of Large Cap immediately after the acquisition was $542,681,723, which included $7,402,474 of acquired unrealized depreciation on investments and foreign currency transactions from Large Cap Value.
Assuming the acquisition had been completed on April 1, 2016, Large Cap’s pro-forma results of operations for the period ended September 30, 2016 are as follows:
Net investment income | $ | 3,768,723 | (a) | |
Net realized and unrealized gain on investments | 33,010,867 | (b) | ||
|
| |||
Net increase in net assets from operations | $ | 36,779,590 | ||
|
|
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of Large Cap Value that have been included in the Fund’s Statement of Operations since June 24, 2016.
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September 30, 2016 (Unaudited)
(a) $2,441,438 net investment income as reported at September 30, 2016 plus $1,258,593 from Large Cap Value pre-merger net investment income, plus $13,667 in lower net advisory fees, plus $55,025 of pro-forma eliminated other expenses.
(b) $36,408,900 unrealized appreciation as reported at September 30, 2016 minus $8,099,693 pro-forma March 31, 2016 unrealized appreciation, plus $4,827,602 net realized gain as reported at September 30, 2016 minus $125,942 in net realized loss from Large Cap Value pre-merger.
At the close of business on June 24, 2016, Small/Mid Cap, formerly Mercer US Small/Mid Cap Growth Equity Fund, with Class Y-3 net assets of $440,701,905 acquired all of the assets and liabilities of Small/Mid Cap Value, each a series of the Trust, in a tax-free reorganization. The acquisition was accomplished by a tax-free exchange of 53,005,209 Class Y-3 shares of Small/Mid Cap Value valued at $461,393,851 for 44,707,680 Y-3 shares of Small/Mid Cap. Small/Mid Cap Value’s net assets on June 24, 2016 were $461,393,851 for Class Y-3, including investments valued at $452,720,602 with a cost basis of $450,558,318. For financial reporting purposes, assets received, liabilities assumed, and shares issued by Small/Mid Cap were recorded at fair value; however, the cost basis of the investments received by Small/Mid Cap from Small/Mid Cap Value were carried forward to align ongoing reporting of Small/Mid Cap’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes. The aggregate net assets of Small/Mid Cap immediately after the acquisition was $902,095,756, which included $2,162,284 of acquired unrealized appreciation on investments from Small/Mid Cap Value.
Assuming the acquisition had been completed on April 1, 2016, Small/Mid Cap’s pro-forma results of operations for the period ended September 30, 2016 are as follows:
Net investment income | $ | 1,687,058 | (a) | |
Net realized and unrealized gain on investments | 63,187,690 | (b) | ||
|
| |||
Net increase in net assets from operations | $ | 64,874,748 | ||
|
|
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of Small/Mid Cap Value that have been included in the Fund’s Statement of Operations since June 24, 2016.
(a) $1,363,442 net investment income as reported at September 30, 2016 plus $259,669 from Small/Mid Cap Value pre-merger net investment income, plus $7,289 in lower net advisory fees, plus $56,658 of pro-forma eliminated other expenses.
(b) $75,379,647 unrealized appreciation as reported at September 30, 2016 minus $35,608,850 pro-forma March 31, 2016 unrealized appreciation, plus $19,654,181 net realized gain as reported at September 30, 2016 plus $3,762,712 in net realized gain from Small/Mid Cap Value pre-merger, respectively.
10. | Subsequent events |
Management has evaluated the impact of subsequent events through November 21, 2016, 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.
11. | Proxy Voting |
A description of the policies and procedures that the Advisor and each Fund’s Subadvisors use to determine how to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling 1-866-658-9896, and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov. Information about Funds’ proxy voting decisions are available without charge, online on the Funds’ website at http://www.mercer.us/mutual-funds-on-offer.
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12. | Quarterly Reporting |
The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q, which when filed, will be available on the SEC’s website at http://www.sec.gov. When filed, the Funds’ Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
13. | Board Approval of the Investment Management Agreement for the Funds and Subadvisory Agreements for the Funds during the period April 1, 2016 through September 30, 2016 |
June 16-17, 2016 Board Meeting
Mercer US Large Cap Equity Fund
(formerly Mercer US Large Cap Growth Equity Fund)
Mercer US Small/Mid Cap Equity Fund
(formerly Mercer US Small/Mid Cap Growth 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 16-17, 2016 (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”) subject to renewal, consisting of: Mercer US Large Cap Equity Fund (“Large Cap Fund” – formerly Mercer US Large Cap Growth Equity Fund (“Large Cap Growth Fund”), Mercer US Small/Mid Cap Equity Fund (“Small/Mid Cap Fund” – formerly Mercer US Small/Mid Cap Growth Fund (“Small/Mid Cap Growth Fund”), Mercer Non-US Core Equity Fund (“Non-US Core Equity 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 Fund”), and Mercer Opportunistic Fixed Income Fund (“Opportunistic Fixed Fund”).
With respect to the Large Cap Fund, the Board of Trustees took into consideration that the Mercer US Large Cap Value Equity Fund, another series then in the Trust (“Large Cap Value Fund”), was proposed to be reorganized with and into the Large Cap Fund in a transaction that was scheduled to be completed effective as of the close of business on June 24, 2016 (the “Large Cap Reorganization”). In connection with carrying out the Large Cap Reorganization, the Large Cap Fund had agreed to acquire all of the assets and all of the liabilities of the Large Cap Value Fund. Effective upon the closing of the Large Cap Reorganization, the Large Cap Fund adopted a new principal investment strategy with a focus on a “core equity” investment strategy, the Fund changed its name, and certain of the Subadvisors to the Large Cap Value Fund were retained as Subadvisors to the Large Cap Fund.
In addition, with respect to the Small/Mid Cap Fund, the Board of Trustees took into consideration that the Mercer US Small/Mid Cap Value Equity Fund, another series then in the Trust (“Small/Mid Cap Value Fund”), was proposed to be reorganized with and into the Small/Mid Cap Fund in a transaction that was scheduled to be completed effective as of the close of business on June 24, 2016 (the “Small/Mid Cap Reorganization”). In connection with carrying out the Small/Mid Cap Reorganization, the Small/Mid Cap Fund had agreed to acquire all of the assets and all of the liabilities of the Small/Mid Cap Value Fund. Effective upon the closing of the
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Small/Mid Cap Reorganization, the Small/Mid Cap Fund adopted a new principal investment strategy with a focus on a “core equity” investment strategy, the Fund changed its name and certain of the Subadvisors to the Small/Mid Cap Value Fund were retained as Subadvisors to the Small/Mid Cap 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 Broadridge Financial Solutions, Inc. (“Broadridge”), an independent, nationally recognized provider of investment company data (the “Broadridge 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 Funds, and that were identified by Broadridge in the Broadridge 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 Broadridge 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 and special 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 Independent Trustees 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 the 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 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 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 in connection with their duties and responsibilities when approving investment advisory agreements 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
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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.
(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 Broadridge 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 become profitable in the last few years 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.
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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 took into consideration the fact that the Adviser had agreed to implement a new breakpoint threshold for each Fund at the level of $1 billion in assets, which is in addition to the existing initial breakpoint at $750 million in assets, so that the Funds may obtain additional economies of scale upon reaching $1 billion in assets 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 requires. 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 continues to be proactive in seeking to replace and/or add Subadvisors, to reallocate assets among Subadvisors, and to implement new investment Subadvisor strategies, with a view to improving Fund performance over the long term.
While consideration was given to the Advisor’s performance reports and discussions at prior Board meetings, particular attention was given to the Broadridge Report prepared specifically for the June Meeting. In reviewing the performance of the Funds, the Trustees considered the performance of each respective Fund as compared to its applicable performance universe for the ten-year measurement period or the since inception period for those Funds that did not have ten years of performance, 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 fourth quintile, the performance of the Small/Mid Cap Growth Fund fell within the third quintile, the performance of the Small/Mid Cap Value Fund fell within the fourth quintile, the performance of the Non-US Core Equity Fund fell within the third quintile, the performance of the Emerging Markets Fund fell within the third quintile, the Global Low Volatility Fund’s performance fell within the second quintile, the Core Fixed Fund’s performance fell within the second quintile, and the Opportunistic Fixed Fund’s performance fell within the fifth quintile of their respective performance universes for these periods. The Trustees also recalled the Advisor’s expectations for the acceptable performance of each Fund with respect to a range of quintiles. The Trustees also discussed the supplemental performance information presented for the Large Cap Fund and Small/Mid Cap Fund showing performance results for each of these Funds as compared to other funds using the types of “core equity” strategies that were to be implemented by these Funds upon the completion of the Reorganization Transactions.
In the case of the Large Cap Growth Fund, the Trustees noted that the Fund’s performance for the one-, two-, three-, four-, five- and ten-year measurement periods placed it in the fifth, fifth, fourth, fourth, fourth, and third quintiles, respectively, of its peer universe. The Trustees also considered that the Large Cap Growth Fund’s performance for each of the six measurement periods placed the Fund’s performance in the fourth, fourth, fifth, fifth, fifth and fourth quintiles, respectively, of its peer group.
In the case of the Large Cap Value Fund, the Trustees noted that the Fund’s performance for the one-, two-, three-, four-, five- and ten-year measurement periods placed it in the fifth, fourth, second, first, first and fourth quintiles,
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respectively, of its peer universe. The Trustees also considered that the Large Cap Value Fund’s performance for the one-, two-, three-, four- and five-year measurement periods placed the Fund’s performance in the fifth, fourth, first, first and first quintiles, respectively, of its peer group. The Trustees also took into consideration that the Fund was to be reorganized effective as of June 24, 2016 in connection with the Large Cap Reorganization.
In the case of the Small/Mid Cap Growth Fund, the Trustees noted that the Fund’s performance for the one-, two-, three-, four-, five- and ten-year measurement periods placed it in the third quintile for all six measurement periods of its peer universe. The Trustees also considered that the Small/Mid Cap Growth Fund’s performance for each of the six measurement periods placed the Fund’s performance in the third quintile for each of the measurement periods of its peer group except for the three-year period where it fell within the fourth quintile.
In the case of the Small/Mid Cap Value Fund, the Trustees noted that the Fund’s performance for the one-, two-, three-, four-, five- and ten-year measurement periods placed it in the second, third, third, third, third and fourth measurement periods of its peer universe. The Trustees also considered that the Small/Mid Cap Value Fund’s performance for each of the measurement periods placed the Fund’s performance in the third quintile of its peer group for each of the measurement periods except for the ten-year period. The Trustees also took into consideration that the Fund was to be reorganized effective as of June 24, 2016 in connection with the Small/Mid Cap Reorganization.
In the case of the Non-US Core Equity Fund, the Trustees noted that the Fund’s performance for the one-, two-, three-, four-, five- and since inception measurement periods placed it in the first quintile for each measurement period of its peer universe except for the since inception period where it fell within the third quintile. The Trustees also considered that the Non-US Core Equity Fund’s performance for each of the six measurement periods placed the Fund’s performance in the second, second, first, first, first and third quintiles, respectively, of its peer group.
In the 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 the Fund’s performance for the one-, two-, three- and since inception measurement periods placed it in the third quintile for each measurement period of its peer universe. The Trustees also considered that the Emerging Markets Fund’s performance for each of the four measurement periods placed the Fund’s performance in the third quintile for each measurement period of its peer group.
In the 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 first quintile for the one-, two- and three year measurement periods and within the second quintile for the since inception measurement period of its peer universe. The Trustees also considered that the Global Low Volatility Fund’s performance for the one-year period was in the first quintile of its peer group and was in the third quintile for the two-year period for its peer group.
In the case of the Core Fixed Fund, the Trustees noted that the Fund’s performance for the one-, two-, three-, four-, five- and ten-year measurement periods placed it in the third, second, second, first, first and second quintiles, respectively, of its peer universe. The Trustees also considered that the Core Fixed Fund’s performance for each of the six measurement periods placed the Fund’s performance in the fourth, third, second, first, first, and fourth quintiles, respectively, of its peer group.
In the case of the Opportunistic Fixed Fund, the Trustees took note of the fact that the Fund had commenced operations in August of 2013. It was noted that the Fund’s performance for the one-year, two-year and since inception measurement periods placed it in the fifth quintile of its peer universe for each measurement period. The Trustees also considered that the Opportunistic Fixed Fund’s performance for each of the three measurement periods placed its performance in the fifth quintile of its peer group for each measurement period. In connection with their consideration of the performance results for the Opportunistic Fixed 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.
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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 further 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 Broadridge 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 Equity Fund
(formerly Mercer US Large Cap Growth Equity Fund)
Mercer US Small/Mid Cap Equity Fund
(formerly 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: Brandywine Global Investment Management, LLC, Columbia Management Investment Advisers, LLC, HS Management Partners, LLC, O’Shaughnessy Asset Management, LLC, and Parametric Portfolio Associates LLC (in the case of the Large Cap Fund, formerly the Large Cap Growth Fund); NWQ Investment Management Company, LLC, Westfield Capital Management Company and Parametric Portfolio Associates LLC (in the case of the Small/Mid Cap Fund, formerly the Small/Mid Cap Growth Fund); American Century Investment Management, Inc., Arrowstreet Capital, Limited Partnership, Massachusetts Financial Services Company and Parametric Portfolio Associates LLC (in the case of the Non-US Core Equity Fund); AQR Capital Management, LLC, Investec Asset Management Ltd., Kleinwort Benson Investors International Ltd. and Parametric Portfolio Associates LLC (in the case of the Emerging Markets Fund); Acadian Asset Management LLC, MFG Asset Management, Martingale Asset Management, L.P. and Parametric Portfolio Associates LLC (in the case of the Global Low Volatility Fund); Income Research & Management and Prudential Investment Management, Inc. (in the case of the Core Fixed Fund) and Franklin Advisers, Inc. and Investec Asset Management Ltd. (in the case of the Opportunistic Fixed 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 whose Subadvisory Agreement was being considered 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.
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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.
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 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 recognized that, because the subadvisory fees would be paid by the Advisor, and not the Funds, an analysis of economies of scale and profitability was more appropriate in the context of their consideration of the
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Management Agreement with the Advisor. In addition, 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 relevant to the Trustees’ deliberations. 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 scale. The Trustees considered each Subadvisor’s fee schedule for providing services to the applicable Fund, and noted that several of the Subadvisory Agreements 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 Emerging Markets Fund
Approval of New Subadvisory Agreements for the Fund
At the June Meeting, the Trustees, including the Independent Trustees, also considered and approved proposed new subadvisory agreements between the Advisor and three new Subadvisors on behalf of the Emerging Markets Fund (the “Fund”), consisting of Copper Rock Capital Partners LLC (“Copper Rock”), Mondrian Investment Partners Limited (“Mondrian”) and William Blair Investment Management, LLC (“William Blair”). The Board was informed by the Advisor that the proposed new Subadvisors were being recommended to replace a prior Subadvisor
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to the Fund that had previously been terminated by the Advisor, and the Advisor had presented the Board with a recommendation to retain each of the proposed new Subadvisors based upon the Advisor’s determination that each of these Subadvisors was qualified to serve as a new Subadvisor to the Fund, based upon the Advisor’s analysis of each of the firms.
In addition, also at the June Meeting, the Trustees, including the Independent Trustees, considered and approved a proposed new subadvisory agreement between the Advisor and Kleinwort Benson Investors International Ltd. (“KBI”), one of the Subadvisors to the Fund (the “New KBI Subadvisory Agreement”), due to a change in the ownership of KBI. The Board was informed by the Advisor that because of the change in the ownership of KBI, the prior subadvisory agreement that was in effect between the Advisor and KBI (the “Prior KBI Subadvisory Agreement”) was assigned for purposes of the 1940 Act. Because the assignment caused the automatic termination of the Prior KBI Subadvisory Agreement, the Board at the June Meeting approved the New KBI Subadvisory Agreement between the Advisor, on behalf of the Fund, and KBI. The New KBI Subadvisory Agreement, which became effective as of August 31, 2016, is essentially identical to the Prior KBI Subadvisory Agreement in all material respects. Prior to August 31, 2016, KBI was a subsidiary of BHF Kleinwort Benson Group SA (“BHFKB”). Effective as of August 31, 2016, a controlling interest in KBI was acquired by Amundi Asset Management, resulting in a change in control event for KBI (the “KBI Transaction”). The Advisor had informed the Board that they were of the view that the KBI Transaction was not expected to cause any change in the level or quality of services provided to the Fund by KBI. Previously, effective as of January 13, 2016, a controlling interest in BHFKB had been acquired by Oddo & Cie (“Oddo”), a French investment banking and capital management firm. Effective January 26, 2016, a controlling interest in BHFKB also had been acquired by Fosun International (“Fosun”). These acquisitions resulted in two separate change of control events for KBI (the “January Acquisitions”). As a result of these prior change of control events for KBI, the Board approved an interim KBI Subadvisory Agreement (the “Interim KBI Subadvisory Agreement”) at a meeting held on January 28, 2016, and the Board replaced the Interim KBI Subadvisory Agreement with the Prior KBI Subadvisory Agreement, approved at a Board meeting held on March 17-18, 2016.
Approval of a New Subadvisory Agreement with Copper Rock (the “Copper Rock Subadvisory Agreement”)
In considering the approval of the Copper Rock Subadvisory Agreement, the Trustees considered the information and materials from the Advisor, Copper Rock and counsel that included, as to Copper Rock and the Fund: (i) the Copper Rock Subadvisory Agreement; (ii) information regarding the process by which the Advisor had reviewed, selected, and recommended Copper Rock for the Board’s approval, and the Advisor’s rationale for recommending that Copper Rock be appointed as a Subadvisor to the Fund; (iii) the nature, extent, and quality of the services that Copper Rock proposed to provide to the Fund; (iv) the investment management business, portfolio management personnel, operations, prior investment experience, and reputation of Copper Rock; (v) Copper Rock’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by Copper Rock for its services to the Fund, and a comparison of those fees to other accounts that Copper Rock manages; (vii) a summary of Copper Rock’s compliance program; (viii) information regarding Copper Rock’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 Copper Rock. In addition, the Trustees considered presentations made by, and discussions held with, representatives of the Advisor and the Advisor’s favorable assessment of the nature, extent and quality of the subadvisory services expected to be provided to the Fund by Copper Rock.
The Trustees considered and analyzed factors that they deemed relevant with respect to Copper Rock, including: the nature, extent, and quality of the services to be provided to the Fund by Copper Rock; Copper Rock’s management style and investment decision-making process; Copper Rock’s historical performance record managing investment products similar to the Fund; the qualifications and experience of the members of Copper Rock’s portfolio management team; and Copper Rock’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
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regarding legal and industry standards in connection with their duties and responsibilities when approving investment advisory agreements and reviewed materials supplied by their independent legal counsel.
In particular, and as to Copper Rock, the Board, including the Independent Trustees, considered the following factors:
(a) The nature, extent, and quality of the services to be provided by Copper Rock. The Trustees reviewed the nature, extent, and quality of the services to be provided by Copper Rock to the Fund. The Trustees discussed the specific investment management process that Copper Rock 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 Copper Rock), the qualifications of Copper Rock’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 Copper Rock would be managing, and the performance record of Copper Rock as compared to a relevant benchmark. The Trustees considered Copper Rock’s infrastructure and resources, and whether Copper Rock’s organization appeared to support Copper Rock’s strategy adequately. The Trustees also discussed the Advisor’s review, selection, and due diligence process with respect to Copper Rock, 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 Copper Rock. The Trustees determined that the Fund and its shareholders would benefit from the quality and experience of Copper Rock’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 Copper Rock, as well as Copper Rock’s ability to render such services based on Copper Rock’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 Copper Rock would manage.
(b) Comparison of the services to be rendered and fees to be paid to Copper Rock under other advisory and subadvisory contracts, such as those with other clients. The Trustees discussed the services that would be rendered by Copper Rock and evaluated the compensation to be paid to Copper Rock by the Advisor for those services. The Trustees noted that the services that Copper Rock would furnish to the Fund appeared to be comparable to the services that Copper Rock currently provides to its other advisory and subadvisory clients having similar investment strategies. The Trustees also considered comparisons of the fees that will be paid to Copper Rock by the Advisor in light of the fees that are charged by Copper Rock to its other advisory clients, as disclosed in Copper Rock’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 Copper Rock were the result of an arm’s length bargain negotiated by unaffiliated parties.
The Trustees considered the review, selection, and due diligence process employed by the Advisor, in determining to recommend Copper Rock 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 Copper Rock for its services to the Fund were reasonable. The Trustees emphasized in their discussions that the subadvisory fees of Copper Rock 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 Copper Rock with respect to the assets of the Fund to be allocated to Copper Rock was supported by the services that were expected to be provided by Copper Rock to the Fund. The Trustees also considered the potential “fallout” or ancillary benefits that may accrue to Copper Rock from its relationship with the Fund and concluded that they were reasonable.
The Trustees recognized that, because the subadvisory fees would be paid by the Advisor, and not the Fund, an analysis of economies of scale and profitability was more appropriate in the context of the Board’s consideration of the Management Agreement with the Advisor. In addition, since the fees to be paid to Copper Rock 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 Copper Rock was not considered relevant to the Trustees’ deliberations. The Trustees took note of the Advisor’s explanation that the recommended appointment of Copper Rock was not
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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 Copper Rock may result in reduced profitability for 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 Independent 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 Copper Rock and the proposed fees to be paid to Copper Rock by the Advisor for managing its allocated portion of the Fund, the potential benefits accruing to Copper Rock 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 Copper Rock to the Fund.
(c) Investment performance of the Fund and Copper Rock. Because Copper Rock was a newly proposed Subadvisor to the Fund, the Trustees could not consider Copper Rock’s investment performance in managing the Fund as a factor in evaluating the Copper Rock Subadvisory Agreement. However, the Trustees reviewed Copper Rock’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 Copper Rock to a relevant benchmark index and concluded that Copper Rock’s historical performance record, viewed together with the other factors considered by the Trustees, supported a decision to approve the Copper Rock 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 Copper Rock 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 Copper Rock 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 Copper Rock Subadvisory Agreement was in the best interests of the Fund and its shareholders and approved the Copper Rock Subadvisory Agreement.
Approval of a New Subadvisory Agreement with Mondrian (the “Mondrian Subadvisory Agreement”)
In considering the approval of the Mondrian Subadvisory Agreement, the Trustees considered the information and materials from the Advisor, Mondrian and counsel that included, as to Mondrian and the Fund: (i) the Mondrian Subadvisory Agreement; (ii) information regarding the process by which the Advisor had reviewed, selected, and recommended Mondrian for the Board’s approval, and the Advisor’s rationale for recommending that Mondrian be appointed as a Subadvisor to the Fund; (iii) the nature, extent, and quality of the services that Mondrian proposed to provide to the Fund; (iv) the investment management business, portfolio management personnel, operations, prior investment experience, and reputation of Mondrian; (v) Mondrian’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by Mondrian for its services to the Fund, and a comparison of those fees to other accounts that Mondrian manages; (vii) a summary of Mondrian’s compliance program; (viii) information regarding Mondrian’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 Mondrian. In addition, the Trustees considered presentations made by, and discussions held with, representatives of the Advisor and the Advisor’s favorable assessment of the nature, extent and quality of the subadvisory services expected to be provided to the Fund by Mondrian.
The Trustees considered and analyzed factors that they deemed relevant with respect to Mondrian, including: the nature, extent, and quality of the services to be provided to the Fund by Mondrian; Mondrian’s management style and investment decision-making process; Mondrian’s historical performance record managing investment products similar to the Fund; the qualifications and experience of the members of Mondrian’s portfolio management team; and Mondrian’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 in connection with their duties and responsibilities when approving investment advisory agreements and reviewed materials supplied by their independent legal counsel.
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In particular, and as to Mondrian, the Board, including the Independent Trustees, considered the following factors:
(a) The nature, extent, and quality of the services to be provided by Mondrian. The Trustees reviewed the nature, extent, and quality of the services to be provided by Mondrian to the Fund. The Trustees discussed the specific investment management process that Mondrian 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 Mondrian), the qualifications of Mondrian’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 Mondrian would be managing, and the performance record of Mondrian as compared to a relevant benchmark. The Trustees considered Mondrian’s infrastructure and resources, and whether Mondrian’s organization appeared to support Mondrian’s strategy adequately. The Trustees also discussed the Advisor’s review, selection, and due diligence process with respect to Mondrian, 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 Mondrian. The Trustees determined that the Fund and its shareholders would benefit from the quality and experience of Mondrian’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 Mondrian, as well as Mondrian’s ability to render such services based on Mondrian’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 Mondrian would manage.
(b) Comparison of the services to be rendered and fees to be paid to Mondrian under other advisory and subadvisory contracts, such as those with other clients. The Trustees discussed the services that would be rendered by Mondrian and evaluated the compensation to be paid to Mondrian by the Advisor for those services. The Trustees noted that the services that Mondrian would furnish to the Fund appeared to be comparable to the services that Mondrian 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 Mondrian by the Advisor in light of the fees that are charged by Mondrian to its other advisory clients, as disclosed in Mondrian’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 Mondrian were the result of an arm’s length bargain negotiated by unaffiliated parties. The Trustees also noted that, while Mondrian’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 Mondrian 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 Mondrian for its services to the Fund were reasonable. The Trustees emphasized in their discussions that the subadvisory fees of Mondrian 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 Mondrian with respect to the assets of the Fund to be allocated to Mondrian was supported by the services that were expected to be provided by Mondrian to the Fund. The Trustees also considered the potential “fallout” or ancillary benefits that may accrue to Mondrian from its relationship with the Fund and concluded that they were reasonable.
The Trustees recognized that, because the subadvisory fees would be paid by the Advisor, and not the Fund, an analysis of economies of scale and profitability was more appropriate in the context of the Board’s consideration of the Management Agreement with the Advisor. In addition, since the fees to be paid to Mondrian 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 Mondrian was not considered relevant to the Trustees’ deliberations. The Trustees took note of the Advisor’s explanation that the recommended appointment of Mondrian 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 Mondrian was not expected to result in any change in the level of profitability of the Advisor, which had been reported to and reviewed by the Independent Trustees. On the basis of these considerations, the Board concluded that, in light of the nature, extent and quality of the services
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expected to be provided by Mondrian and the proposed fees to be paid to Mondrian by the Advisor for managing its allocated portion of the Fund, the potential benefits accruing to Mondrian 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 Mondrian to the Fund.
(c) Investment performance of the Fund and Mondrian. Because Mondrian was a newly proposed Subadvisor to the Fund, the Trustees could not consider Mondrian’s investment performance in managing the Fund as a factor in evaluating the Mondrian Subadvisory Agreement. However, the Trustees reviewed Mondrian’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 Mondrian to a relevant benchmark and concluded that Mondrian’s historical performance record, viewed together with the other factors considered by the Trustees, supported a decision to approve the Mondrian 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 Mondrian 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 Mondrian 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 Mondrian Subadvisory Agreement was in the best interests of the Fund and its shareholders and approved the Mondrian Subadvisory Agreement.
Approval of a New Subadvisory Agreement with William Blair (the “William Blair Subadvisory Agreement”)
In considering the approval of the William Blair Subadvisory Agreement, the Trustees considered the information and materials from the Advisor, William Blair and counsel that included, as to William Blair and the Fund: (i) the William Blair Subadvisory Agreement; (ii) information regarding the process by which the Advisor had reviewed, selected, and recommended William Blair for the Board’s approval, and the Advisor’s rationale for recommending that William Blair be appointed as a Subadvisor to the Fund; (iii) the nature, extent, and quality of the services that William Blair proposed to provide to the Fund; (iv) the investment management business, portfolio management personnel, operations, prior investment experience, and reputation of William Blair; (v) William Blair’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by William Blair for its services to the Fund, and a comparison of those fees to other accounts that William Blair manages; (vii) a summary of William Blair’s compliance program; (viii) information regarding William Blair’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 William Blair. In addition, the Trustees considered presentations made by, and discussions held with, representatives of the Advisor and the Advisor’s favorable assessment of the nature, extent and quality of the subadvisory services expected to be provided to the Fund by William Blair.
The Trustees considered and analyzed factors that they deemed relevant with respect to William Blair, including: the nature, extent, and quality of the services to be provided to the Fund by William Blair; William Blair’s management style and investment decision-making process; William Blair’s historical performance record managing investment products similar to the Fund; the qualifications and experience of the members of William Blair’s portfolio management team; and William Blair’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 in connection with their duties and responsibilities when approving investment advisory agreements and reviewed materials supplied by their independent legal counsel.
In particular, and as to William Blair, the Board, including the Independent Trustees, considered the following factors:
(a) The nature, extent, and quality of the services to be provided by William Blair. The Trustees reviewed the nature, extent, and quality of the services to be provided by William Blair to the Fund. The Trustees discussed the
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specific investment management process that William Blair 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 William Blair), the qualifications of William Blair’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 William Blair would be managing, and the performance record of William Blair as compared to a relevant benchmark. The Trustees considered William Blair’s infrastructure and resources, and whether William Blair’s organization appeared to support William Blair’s strategy adequately. The Trustees also discussed the Advisor’s review, selection, and due diligence process with respect to William Blair, 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 William Blair. The Trustees determined that the Fund and its shareholders would benefit from the quality and experience of William Blair’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 William Blair, as well as William Blair’s ability to render such services based on William Blair’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 William Blair would manage.
(b) Comparison of the services to be rendered and fees to be paid to William Blair under other advisory and subadvisory contracts, such as those with other clients. The Trustees discussed the services that would be rendered by William Blair and evaluated the compensation to be paid to William Blair by the Advisor for those services. The Trustees noted that the services that William Blair would furnish to the Fund appeared to be comparable to the services that William Blair 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 William Blair by the Advisor in light of the fees that are charged by William Blair to its other advisory clients, as disclosed in William Blair’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 William Blair were the result of an arm’s length bargain negotiated by unaffiliated parties. The Trustees also noted that, while William Blair’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 William Blair 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 William Blair for its services to the Fund were reasonable. The Trustees emphasized in their discussions that the subadvisory fees of William Blair 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 William Blair with respect to the assets of the Fund to be allocated to William Blair was supported by the services that were expected to be provided by William Blair to the Fund. The Trustees also considered the potential “fallout” or ancillary benefits that may accrue to William Blair from its relationship with the Fund and concluded that they were reasonable.
The Trustees recognized that, because the subadvisory fees would be paid by the Advisor, and not the Fund, an analysis of economies of scale and profitability was more appropriate in the context of the Board’s consideration of the Management Agreement with the Advisor. In addition, since the fees to be paid to William Blair 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 William Blair was not considered relevant to the Trustees’ deliberations. The Trustees took note of the Advisor’s explanation that the recommended appointment of William Blair 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 William Blair may result in reduced profitability for the Advisor as a result of increased subadvisory fees that will be paid out of the Advisor’s resources. 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 William Blair and the proposed fees to be paid to William Blair by the Advisor for managing its allocated portion of the Fund, the potential benefits accruing to William Blair as a result of serving as a subadvisor
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to the Fund were reasonable in relation to the services that were expected to be provided by William Blair to the Fund.
(c) Investment performance of the Fund and William Blair. Because William Blair was a newly proposed Subadvisor to the Fund, the Trustees could not consider William Blair’s investment performance in managing the Fund as a factor in evaluating the William Blair Subadvisory Agreement. However, the Trustees reviewed William Blair’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 William Blair to a relevant benchmark and concluded that William Blair’s historical performance record, viewed together with the other factors considered by the Trustees, supported a decision to approve the William Blair 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 William Blair 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 William Blair 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 William Blair Subadvisory Agreement was in the best interests of the Fund and its shareholders and approved the William Blair Subadvisory Agreement.
Approval of a New Subadvisory Agreement with KBI (the “KBI Subadvisory Agreement”)
In considering the approval of the New KBI Subadvisory Agreement, the Trustees considered the information and materials from the Advisor and counsel that included, as to KBI and the Fund: (i) the New KBI Subadvisory Agreement; (ii) information regarding the process by which the Advisor had initially reviewed, selected, and recommended KBI for the Board’s approval, and the Advisor’s rationale for continuing to retain KBI as a Subadvisor following the closing of the KBI Transaction; (iii) the nature, extent, and quality of the services that KBI has previously provided to the Fund; (iv) the investment management business, portfolio management personnel, operations, prior investment experience, and reputation of KBI and the effect that the KBI Transaction may have on KBI’s business and operations; (v) KBI’s brokerage and trading policies and practices; (vi) the level of subadvisory fees charged by KBI for its services to the Fund, and a comparison of those fees to other accounts that KBI manages; (vii) a summary of KBI’s compliance program; (viii) information regarding KBI’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 KBI before and after the KBI Transaction. 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 KBI, including: the nature, extent, and quality of the services to be provided to the Fund by KBI following the KBI Transaction; KBI’s management style and investment decision-making process; KBI’s historical performance record managing investment products similar to the Fund; the qualifications and experience of the members of KBI’s portfolio management team; and KBI’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 in connection with their duties and responsibilities when approving investment advisory agreements and reviewed materials supplied by their independent legal counsel.
In particular, and as to KBI, the Board, including all of the Independent Trustees, considered the following factors:
(a) The nature, extent, and quality of the services to be provided by KBI. The Trustees reviewed the nature, extent, and quality of the services that have been previously provided by KBI to the Fund under the Prior KBI Subadvisory Agreement and that are proposed to be provided by KBI to the Fund under the New KBI Subadvisory Agreement. The Trustees considered: (i) KBI’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
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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 KBI following the KBI Transaction. The Trustees also noted that the executive and portfolio management teams of KBI were expected to stay in place after the KBI Transaction. The Trustees also considered the Advisor’s representations regarding the high level of service that continued to be provided by KBI following the January Acquisitions. The Trustees concluded that the Fund and its shareholders would continue to benefit from the quality and experience of KBI’s investment professionals 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 provided by KBI under the Prior KBI Subadvisory Agreement, as well as KBI’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 New KBI 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 KBI following the KBI Transaction, as well as KBI’s ability to render such services based on KBI’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 KBI would continue to manage.
(b) Comparison of the services to be rendered and fees to be paid to KBI under other advisory and subadvisory contracts, such as those with other clients. The Trustees discussed the services that would be rendered by KBI and evaluated the compensation to be paid to KBI by the Advisor for those services. The Trustees considered the fees payable under the New KBI 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 KBI by the Advisor with respect to the assets allocated to KBI in its capacity as Subadvisor was supported by the services that were expected to be provided by KBI. The Trustees noted that the services that KBI would furnish to the Fund appeared to be comparable to the services that KBI currently provides to its other advisory and subadvisory clients having similar investment strategies. The Trustees also considered that the fees agreed to by KBI were the result of an arm’s length bargain negotiated by unaffiliated parties and would remain the same after the KBI Transaction.
The Trustees considered the review, selection, and due diligence process employed by the Advisor in determining to recommend that KBI continue to serve as a Subadvisor to the Fund following the KBI Transaction, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by the Advisor to KBI for its services to the Fund were reasonable. The Trustees emphasized in their discussions that the subadvisory fees of KBI 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 KBI with respect to the assets of the Fund allocated to KBI was supported by the services that were expected to be provided by KBI. The Trustees also considered the potential “fallout” or ancillary benefits that may accrue to KBI from its relationship with the Fund and concluded that they were reasonable.
The Trustees recognized that, because the subadvisory fees would be paid by the Advisor, and not the Fund, an analysis of economies of scale and profitability was more appropriate in the context of the Board’s consideration of the Management Agreement with the Advisor. In addition, since the fees to be paid to KBI 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 KBI was not considered relevant to the Trustees’ deliberations. The Trustees took note of the Advisor’s explanation that the recommendation that KBI continue to serve as a Subadvisor to the Fund following the KBI Transaction 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 KBI was not expected to result in any change in the level of profitability of the Advisor, which had been reported to and reviewed by the Independent Trustees. 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 KBI and the proposed fees to be paid to
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Notes to Financial Statements (Continued)
September 30, 2016 (Unaudited)
KBI by the Advisor for managing its allocated portion of the Fund following the KBI Transaction, the potential benefits accruing to KBI as a result of continuing to serve as a Subadvisor to the Fund were reasonable in relation to the services that were expected to be provided by KBI to the Fund.
(c) Investment performance of the Fund and KBI. The Trustees considered KBI’s prior investment performance in managing its allocated portion of the Fund’s portfolio as a factor in evaluating the New KBI Subadvisory Agreement. The Trustees also considered the Advisor’s conclusions, and the reasons supporting the Advisor’s conclusions, that the performance record of KBI supported the approval of the New KBI 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 KBI to 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 KBI was supported by the services that were expected to be provided to the Fund following the KBI Transaction. As a result, the Trustees concluded that the approval of the New KBI Subadvisory Agreement was in the best interests of the Fund and its shareholders and approved the New KBI Subadvisory Agreement.
April 25, 2016 Board Meeting
Mercer Core Fixed Income Fund
Approval of a New Subadvisory Agreement for the Fund
At a meeting of the Board of Trustees held on April 25, 2016 (the “April Meeting”), the Trustees, including the Independent Trustees, considered and approved a new subadvisory agreement (the “Manulife Subadvisory Agreement”) between the Advisor and Manulife Asset Management (US) LLC (“Manulife”), as a Subadvisor to the Core Fixed Fund (the “Fund”). The Board was informed by the Advisor that Manulife was being recommended to replace a prior Subadvisor to the Fund that had chosen to discontinue its services as a Subadvisor to the Fund, and the Advisor had presented the Board with a recommendation to retain Manulife based upon the Advisor’s determination that Manulife was qualified to serve as a new Subadvisor to the Fund, based upon the Advisor’s analysis of the firm.
In considering the approval of the Manulife Subadvisory Agreement, the Trustees considered the information and materials from the Advisor, Manulife and counsel that included, as to Manulife and the Fund: (i) the Manulife Subadvisory Agreement; (ii) information regarding the process by which the Advisor had reviewed, selected, and recommended Manulife for the Board’s approval, and the Advisor’s rationale for recommending that Manulife be appointed as a Subadvisor to the Fund; (iii) the nature, extent, and quality of the services that Manulife proposed to provide to the Fund; (iv) the investment management business, portfolio management personnel, operations, prior investment experience, and reputation of Manulife; (v) Manulife’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by Manulife for its services to the Fund, and a comparison of those fees to other accounts that Manulife manages; (vii) a summary of Manulife’s compliance program; (viii) information regarding Manulife’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 Manulife. In addition, the Trustees considered presentations made by, and discussions held with, representatives of the Advisor and the Advisor’s favorable assessment of the nature, extent and quality of the subadvisory services expected to be provided by Manulife.
The Trustees considered and analyzed factors that they deemed relevant with respect to Manulife, including: the nature, extent, and quality of the services to be provided to the Fund by Manulife; Manulife’s management style and investment decision-making process; Manulife’s historical performance record managing investment products similar to the Fund; the qualifications and experience of the members of Manulife’s portfolio management team; and Manulife’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
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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 Manulife, the Board, including the Independent Trustees, considered the following factors:
(a) The nature, extent, and quality of the services to be provided by Manulife. The Trustees reviewed the nature, extent, and quality of the services to be provided by Manulife to the Fund. The Trustees discussed the specific investment management process that Manulife 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 Manulife), the qualifications of Manulife’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 Manulife would be managing, and the performance record of Manulife as compared to a relevant benchmark. The Trustees considered Manulife’s infrastructure and resources, and whether Manulife’s organization appeared to support Manulife’s strategy adequately. The Trustees also discussed the Advisor’s review, selection, and due diligence process with respect to Manulife, 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 Manulife. The Trustees determined that the Fund and its shareholders would benefit from the quality and experience of Manulife’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 Manulife, as well as Manulife’s ability to render such services based on Manulife’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 Manulife would manage.
(b) Comparison of the services to be rendered and fees to be paid to Manulife under other advisory and subadvisory contracts, such as those with other clients. The Trustees discussed the services that would be rendered by Manulife and evaluated the compensation to be paid to Manulife by the Advisor for those services. The Trustees noted that the services that Manulife would furnish to the Fund appeared to be comparable to the services that Manulife 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 Manulife by the Advisor in light of the fees that are charged by Manulife to its other advisory clients, as disclosed in Manulife’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 Manulife were the result of an arm’s length bargain negotiated by unaffiliated parties. The Trustees also noted that, while Manulife’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 Manulife 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 Manulife for its services to the Fund were reasonable. The Trustees emphasized in their discussions that the subadvisory fees of Manulife 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 Manulife with respect to the assets of the Fund to be allocated to Manulife was supported by the services that were expected to be provided by Manulife to the Fund. The Trustees also considered the potential “fallout” or ancillary benefits that may accrue to Manulife from its relationship with the Fund and concluded that they were reasonable.
The Trustees recognized that, because the subadvisory fees would be paid by the Advisor, and not the Fund, an analysis of economies of scale and profitability was more appropriate in the context of the Board’s consideration of the Management Agreement with the Advisor. In addition, since the fees to be paid to Manulife 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 Manulife was not considered relevant to the Trustees’ deliberations. The Trustees took note of the Advisor’s explanation that the recommended appointment of Manulife was not affected by
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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 Manulife can be expected to result in an increase in the profitability to the Advisor as a result of decreased subadvisory fees that will be paid out of the Advisor’s resources, which had been reported to and reviewed by the Independent 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 Manulife and the proposed fees to be paid to Manulife by the Advisor for managing its allocated portion of the Fund, the potential benefits accruing to Manulife 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 Manulife to the Fund.
(c) Investment performance of the Fund and Manulife. Because Manulife was a newly proposed Subadvisor to the Fund, the Trustees could not consider Manulife’s investment performance in managing the Fund as a factor in evaluating the Manulife Subadvisory Agreement. However, the Trustees reviewed Manulife’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 Manulife to a relevant benchmark and concluded that Manulife’s historical performance record, viewed together with the other factors considered by the Trustees, supported a decision to approve the Manulife 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 Manulife 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 Manulife 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 Manulife Subadvisory Agreement was in the best interests of the Fund and its shareholders and approved the Manulife Subadvisory Agreement.
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Understanding Your Fund’s Expenses (Unaudited)
As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases, redemption fees and certain exchange fees and ongoing costs, including management fees, distribution fees (12b-1 fees), and other fund expenses. These costs are described in more detail in the Funds’ prospectus. The examples below are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds. The first line in the table for each Fund shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the Fund from April 1, 2016 through September 30, 2016. 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 — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 0.61 | % | 1,000.00 | 1,064.20 | 1,032.10 | 3.16 | |||||||||||||||||||
Hypothetical | 0.61 | % | 1,000.00 | 1,022.01 | 1,011.01 | 3.09 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.61%, multiplied by the average account value over the period, multiplied by 183/365 |
Small/Mid Cap — 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 | 1,075.70 | 1,037.85 | 5.10 | ||||||||||||||||||||
Hypothetical | 0.98% | 1,000.00 | 1,020.16 | 1,010.08 | 4.96 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.98%, multiplied by the average account value over the period, multiplied by 183/365 |
Non-US Core Equity — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 0.83%** | 1,000.00 | 1,051.00 | 1,025.50 | 4.27 | ||||||||||||||||||||
Hypothetical | 0.83%** | 1,000.00 | 1,020.91 | 1,010.46 | 4.20 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.83%, multiplied by the average account value over the period, multiplied by 183/365 |
** | Includes interest expense that amounts to less than 0.01%. |
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Understanding Your Fund’s Expenses (Unaudited) (Continued)
Core Fixed — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 0.43%** | 1,000.00 | 1,032.50 | 1,016.25 | 2.19 | ||||||||||||||||||||
Hypothetical | 0.43%** | 1,000.00 | 1,022.91 | 1,011.46 | 2.18 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.43%, multiplied by the average account value over the period, multiplied by 183/365 |
** | Includes interest expense that amounts to less than 0.01%. |
Opportunistic Fixed — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 0.91%** | 1,000.00 | 1,074.60 | 1,037.30 | 4.73 | ||||||||||||||||||||
Hypothetical | 0.91%** | 1,000.00 | 1,020.51 | 1,010.26 | 4.61 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.91%, multiplied by the average account value over the period, multiplied by 183/365 |
** | Includes interest expense that amounts to less than 0.01%. |
Emerging Markets — Class Y3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 0.98 | % | 1,000.00 | 1,092.00 | 1,046.00 | 5.14 | |||||||||||||||||||
Hypothetical | 0.98 | % | 1,000.00 | 1,020.16 | 1,010.08 | 4.96 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.98%, multiplied by the average account value over the period, multiplied by 183/365 |
Global Low Volatility — Class Y3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 0.81%** | 1,000.00 | 1,048.30 | 1,024.15 | 4.16 | ||||||||||||||||||||
Hypothetical | 0.81%** | 1,000.00 | 1,021.01 | 1,010.51 | 4.10 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.81%, multiplied by the average account value over the period, multiplied by 183/365 |
** | Includes interest expense that amounts to less than 0.01%. |
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Mercer Funds
Trustees and Officers (Unaudited)
The following tables list the Trust’s Trustees and Officers as of the date of this report; their address and age; their position with the Trust; the length of time holding that position with the Trust; their principal occupation(s) during the past five years; the number of portfolios in the fund complex they oversee; and other directorships they hold in companies subject to registration or reporting requirements of the Securities Exchange Act of 1934 (generally called “public companies”) or in registered investment companies. The Trust’s Statement of Additional Information (“SAI”) includes additional information about the Trust’s trustees, including changes subsequent to the date of the report. The SAI is available, without charge, upon request, by calling 1-866-658-9896, or on the SEC website at www.sec.gov.
Independent Trustees
Name, Address and Age | Position(s) | Term of | Principal | Number of Portfolios in Fund Complex* Overseen by Trustee | Other | ||||||||
Harrison M. Bains, Jr. 99 High Street Boston, MA 02110 (73) | Chairperson and Trustee | Chairperson since 2016; Trustee since 2005 | Mr. Bains is retired. | 7 | Mr. Bains is a director of Cara Therapeutics, Inc.; Mr. Bains was a director of BG Medicine, Inc. (2007 to 2014) and a trustee of BofA Funds Series Trust (11 portfolios) (2011 to 2016). | ||||||||
Adela M. Cepeda A.C. Advisory, Inc. 150 North Wacker Drive, Suite 2160 Chicago, IL 60606 (58) | Trustee | Since 2005 | Ms. Cepeda is Managing Director of PFM Financial Advisors LLC (a financial advisory firm) since September 2016. Ms. Cepeda was previously Founder and President of A.C. Advisory, Inc. (a financial advisory firm) 1995 — 2016. | 7 | Ms. Cepeda is a director or trustee of: The UBS Funds (15 portfolios); UBS Relationship Funds (11 portfolios); SMA Relationship Trust (5 portfolios); Consulting Group Capital Markets Funds (9 portfolios); BMO Financial Corp. (U.S. holding company for BMO Harris Bank N.A.); Ms. Cepeda was a director of Fort Dearborn Income Securities, Inc. (2000 to 2016); and Amalgamated Bank of Chicago (2003 to 2012). |
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Trustees and Officers (Unaudited) (Continued)
Name, Address and Age | Position(s) | Term of | Principal | Number of Portfolios in Fund Complex* Overseen by Trustee | Other | ||||||||
Gail A. Schneider 99 High Street Boston, MA 02110 (67) | Trustee | Trustee Since 2009 | Ms. Schneider is a self-employed consultant since 2007. | 7 | None |
Interested Trustee:
Name, Address and Age | Position(s) | Term of | Principal | Number of Portfolios in Fund Complex* Overseen by Trustee | Other | ||||||||
Richard Nuzum** (48) | Trustee, President, and Chief Executive Officer | Since 2010 | Mr. Nuzum is North America’s Regional Business Leader of Mercer’s Investment Management Business since 2011. Prior to 2011, he was Global Business Leader of Mercer’s Investment Management Business. | 7 | Mr. Nuzum is a trustee 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 seven portfolios. |
** | Mr. Nuzum is considered to be an “interested person,” as defined in the 1940 Act, of the Trust due to his relationship with the Advisor. |
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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 | |||
Richard S. Joseph (51) | Vice President | Since 2005 | Mr. Joseph is Vice President and Head of the US Mercer Delegated Solutions of Mercer Investment Management, Inc. since December 2015. Prior to December 2015, he was Chief Operating Officer of Mercer Investment Management, Inc. since 2005. | |||
Janice Desmond (64) | Treasurer and Chief Financial Officer | Since 2015 | Ms. Desmond is a CPA and has served as Head of Fund Administration for Mercer Investment Management, Inc. since 2010. | |||
Jeremiah France (45) | Vice President and Assistant Treasurer | Since 2005 | Mr. France is a partner and COO of North American Investments at Mercer Investment Management, Inc. since 2005. | |||
Scott M. Zoltowski (47) | Vice President, Chief Legal Officer, and Secretary | Since 2008 | Mr. Zoltowski is a partner of Mercer (US) Inc. and serves as Global Chief Counsel — Investment for Mercer Investment Management, Inc. and Mercer Investment Consulting LLC. | |||
Stan Mavromates (55) | 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 (2005-2012). | |||
Colin Dean (39) | Vice President and Assistant Secretary | Since 2010 | Mr. Dean has served as Senior Legal Counsel — Investments for Mercer Investment Management, Inc. and Mercer Investment Consulting LLC since 2010. | |||
Manny Weiss (67) | Vice President | Since 2010 | Mr. Weiss is a Portfolio Manager and Principal of Mercer Investment Management, Inc. since 2009. | |||
John Johnson (49) | Vice President | Since 2015 | Mr. Johnson is a Portfolio Manager and Principal of Mercer Investment Management, Inc. since 2015. Prior to joining Mercer, he was a Fixed Income Portfolio Manager and Trader for Aberdeen Asset Management. | |||
Larry Vasquez (49) | 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 (48) | Vice President and Chief Compliance Officer | Since 2016 | 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), 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. |
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Shares of Mercer Funds are distributed by MGI Funds Distributors, LLC.
Table of Contents
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.
Table of Contents
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 21, 2016 |
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 21, 2016 |
By (Signature and Title) | By: /S/ Janice Desmond | |||
Janice Desmond | ||||
Treasurer and Chief Financial Officer |
Date | November 21, 2016 |